Paper copies of the Funds’ shareholder reports are no longer sent by mail, unless you specifically request them from the Funds or from your financial intermediary, such as a broker-dealer or bank. Shareholder reports are available online and you will be notified by mail each time a report is posted on the Funds’ website and provided with a link to access the report online.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling 1-877-835-4531. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.

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.

During the 12-month reporting period ending June 30, 2023, global financial markets gyrated in response to concerns about central bank monetary policy, the strength of the global economy, a crisis in the U.S. regional banking sector, and the politically charged U.S. debt-ceiling standoff.

The U.S. equity market experienced numerous periods of volatility as the Fed maintained its interest rate-hiking cycle for most of the reporting period in an effort to tame rising inflation. Headline inflation, as measured by the U.S. consumer-price index (“CPI”), decelerated during the one-year reporting period. The Fed raised the federal funds rate in seven increments totaling 2.25% between July and December 2022, then slowed the pace of increases to 0.25% in February, March and May 2023. The central bank then left its benchmark rate unchanged in a range of 5.00% to 5.25% in June.

In its announcement of the pause in its rate-hiking cycle following its meeting in mid-June, the Federal Open Market Committee (“FOMC”) commented, “Tighter credit conditions for households and businesses are likely to weigh on economic activity, hiring, and inflation. Holding the target range steady at this meeting allows the Committee to assess additional information and its implications for monetary policy.” During an appearance before the U.S. House of Representatives Committee on Financial Services the following week, Fed Chair Jerome Powell stated, “Nearly all [Federal Open Market Committee] participants expect that it will be appropriate to raise interest rates somewhat further by the end of the year. We will continue to make our decisions meeting by meeting, based on the totality of incoming data and their implications for the outlook for economic activity and inflation, as well as the balance of risks. We remain committed to bringing inflation back down to our 2 percent goal and to keeping longer-term inflation expectations well anchored.”

In early March 2023, the financial markets’ focus turned to the banking sector as two U.S.-based regional banks–Silicon Valley Bank (“SVB”) and Signature Bank–failed after depositors withdrew funds on fears regarding the valuation of the institutions’ bond portfolios. The Federal Deposit Insurance Corporation (“FDIC”) was appointed as receiver to SVB after the California Department of Financial Protection and Innovation– which oversees the operations of state-licensed financial institutions, including banks and credit unions–closed the bank. Occurring on the heels of the collapse of Silvergate Capital a few days earlier, SVB’s failure prompted investors to reconsider the safety of their positions across the banking industry. SVB is a unique entity, with a client base highly concentrated among startup, venture capital-backed companies. The deposits of the bank increased tremendously over the past few years and poor liquidity management of these assets appears to have been a significant contributor to the collapse. Both Silvergate Capital and Signature Bank, which was shut down by New York state regulators in mid-March, were closely aligned with the highly speculative cryptocurrency industry. In early May, U.S. regulators took control of California-based First Republic Bank. The California Department of Financial Protection and Innovation issued a statement announcing that it had taken over the bank and appointed the FDIC as receiver. The FDIC subsequently announced that it had accepted J.P. Morgan Chase Bank’s bid to “assume all deposits, including all uninsured deposits, and substantially all assets of First Republic Bank.”

The administration of President Joe Biden and the Republican Party majority in the U.S. House of Representatives engaged in a heated debate about raising the U.S. government’s $31.4 trillion debt ceiling. The debt ceiling comprises the total amount of money that the U.S. government is authorized to borrow to meet its existing legal obligations, including Social Security and Medicare benefits, military salaries, interest on the national debt, tax refunds, and other payments. U.S. Treasury Secretary Janet Yellen had warned that the U.S. would no longer be able to meet its financial obligations as of early June. After numerous one-on-one discussions, Biden and Kevin McCarthy, who had been elected Speaker of the House of Representatives after the Republicans secured a majority in the lower house of Congress following the national election in November 2022, reached an agreement on the debt

ceiling during the last week of May. Both the U.S. House of Representatives and the Senate passed the legislation –the Fiscal Responsibility Act– by wide margins, with strong support from Republicans and Democrats. The bill suspends the debt ceiling through January 1, 2025; maintains non-military spending close to current levels for the 2024 fiscal year, which begins in October; and implements a 1% cap on increases in non-military spending for the 2025 fiscal year. The fast-track approval of the legislation enabled the government to avoid a potential default on its debt.

The ongoing Russia-Ukraine war dominated the geopolitical news during the reporting period. Ukraine’s president, Volodymyr Zelenskyy, traveled to Washington, D.C., to address a joint session of the U.S. Congress in late December 2022, in an effort to secure additional financial aid from the U.S. and its allies. President Biden reiterated the U.S. government’s support for Ukraine in its conflict with Russia. In late December, the U.S. Congress approved $45 billion in additional financial assistance to Ukraine. In February 2023, nearly a year after the conflict began, President Biden made an unannounced trip to Ukraine to meet with President Volodymyr Zelenskyy and to encourage ongoing support from U.S. allies. The visit occurred as Russian President Vladimir Putin increased military activity in eastern Ukraine. President Biden’s trip was particularly risky as there was no protection from U.S. military personnel on the ground in Ukraine. In March, President Xi Jinping of China met with Russian President Vladimir Putin in Moscow to discuss China’s proposal to end the conflict with Ukraine. The Biden administration criticized the plan as “the ratification of Russian conquest” as it proposed a ceasefire that would recognize Russia’s right to occupy territory in Ukraine and provide Putin with time to bolster the nation’s military forces.

Late in the reporting period, the Wagner Group, a Russian paramilitary organization, began to retreat from the city of Bakhmut, Ukraine, in late May. The mercenaries were scheduled to complete their retreat by the beginning of June, and would be replaced by regular Russian troops. The Wagner Group had been fighting in Bakhmut since the summer of 2022. The withdrawal from the city occurred after the group’s leader, Yevgeny Prigozhin, claimed that Russian Defence Minister Sergei Shoigu and Valery Gerasimov, Chief of the General Staff, had intentionally withheld ammunition from Wagner Group fighters. In late June, the Wagner Group organized a short-lived mutiny against Russian President Vladimir Putin’s regime. The group occupied Rostov-On-Don in southern Russia, a significant command center for the Russian government’s invasion of Ukraine. The group’s leader, Yevgeny Prigozhin, subsequently agreed to be exiled to Belarus, and the mercenaries retreated from Rostov-On-Don.

Western nations responded to Russia’s invasion of Ukraine in late February with an array of sanctions, bans, and other coordinated actions—largely focused on disrupting the country’s financial, energy, technology and transportation activities, as well as state-owned enterprises and high-profile individuals in public and business positions. In addition to having mounted a fierce resistance to Russia’s invasion, Ukraine submitted a formal application for admission to the European Union (“EU”).

Liz Truss was elected U.K. Prime Minister in September 2022, but served just seven weeks before resigning. The disastrous reaction to her fiscal program sent gilt and sterling markets reeling, collapsing her support within the Conservative Party. Her departure cleared the way for Rishi Sunak to ascend as the Conservative Party leader and Prime Minister. Sunak’s administration was plagued by public-sector employee strikes and other job actions during the reporting period, as pay increases have not kept up with the U.K.’s inflation rate, which stood at 7.9% year-over-year in May. In the spring of 2023, however, the labor tensions appeared to be easing. The GMB union, which represent National Health Service (“NHS”) workers, announced that its members voted to accept the U.K. government’s offer to resolve a labor dispute following five months of contentious negotiations and strikes.

U.S. inflation, as measured by the CPI, peaked at an annual rate of 9.1% in June 2022, the largest year-over-year increase since December 1981, and then showed signs of cooling in the second half of the reporting period. The Department of Labor reported that the U.S. CPI, rose 4.0% year-over-year in May–the smallest annual increase since March 2021–due mainly to the sharp decline in energy prices. However, the annual inflation rate remains well above the Fed’s 2% target. The slowdown in core inflation, as measured by the CPI for all items less food and energy, has not kept pace with that of the headline inflation (as measured by the CPI), rising 5.3% over the previous 12 months. According to the Department of Commerce, the personal-consumption-expenditures (“PCE”) price index rose 3.8% over the 12-month period ending in May 2023. Food prices increased 5.8% year-over-year, while energy prices fell 13.4% during the same period. The PCE price

index is the Fed’s preferred gauge of inflation, as it tracks the change in prices paid by or on behalf of consumers for a more comprehensive set of goods and services than that of the CPI.

The Department of Commerce also reported that U.S. gross domestic product (“GDP”) grew at a better-than-expected annualized rate of 2.0% in the first quarter of 2023, up significantly from the second estimate of 1.3%, but down from the 2.6% rise in the fourth quarter of 2022. The largest increases for the first quarter of the year were in consumer spending, exports, and federal government spending. These gains offset reductions in private inventory investment (a measure of the changes in values of inventories from one time period to the next) and residential fixed investment (purchases of private residential structures and residential equipment that property owners use for rentals). The government attributed the increase in the GDP growth rate relative to the previous estimate to upward revisions to exports, consumer spending, state and local government spending, and residential fixed investment. These offset downward revisions to nonresidential fixed investment (purchases of both nonresidential structures and equipment and software) and federal government spending.

According to the Office for National Statistics, consumer prices in the U.K. rose 7.9% year-over-year in May, marginally higher than the 7.8% annual increase in April, but down from its peak of 9.6% in October 2022. Food and non-alcoholic beverages, as well as restaurants and hotels, were the most notable contributors to the annual increase in prices. Core inflation, which excludes volatile food and energy prices, rose at an annual rate of 6.5% in May, an upturn from the 6.2% year-over-year increase for the previous month. Eurostat estimated that the inflation rate in the eurozone fell 0.6% to 5.5% for the 12-month period ending in June, and that energy prices decreased 5.6% year-over-year, following a 1.8% decline in May. While prices for food, alcohol and tobacco, as well as industrial goods, led the upturn in the annual inflation rate in June, the pace of acceleration slowed. Core inflation, which excludes energy and food, rose to 5.4% for the month, up from 5.3% in May.

Global equity markets garnered positive returns despite numerous periods of volatility over the reporting period. Developed markets posted double-digit gains and significantly outperformed their emerging-market counterparts. The eurozone was the top-performing region among the developed markets for the reporting period due mainly to strength in Italy and Denmark. The Pacific ex-Japan market recorded a relatively modest positive return and was the most notable laggard among developed markets, hampered by significant weakness in Hong Kong, which posted a negative return for the period. The strongest performers among emerging markets included Europe (particularly Greece and Turkey) and Latin America (most notably Mexico and Brazil), which achieved double-digit gains for the reporting period. Conversely, China and Hong Kong experienced substantial downturns and were the weakest performers among emerging markets.

Global fixed-income assets saw modest losses over the reporting period, with the Bloomberg Global Aggregate Bond Index returning -1.3% in U.S. Dollar terms. Global high-yield and corporate bonds, however, posted gains and outperformed government securities. The U.S. Treasury yield curve became inverted in early July 2022, when yields on shorter-term bonds exceeded those on longer-dated securities (bond prices move inversely to interest rates). Yields on 1-month U.S. Treasury bills (“T-bills”) with maturities close to the U.S. government’s “X-date” for the default on its financial obligations in early June 2023, surged 2.11% over a 30-day period between late April and late May 2023, to 6.02% – the highest level since the introduction of the 1-month T-bill in July 2001–before tumbling to 5.28% over the last two days of the month following the announcement of an agreement on raising the debt ceiling. Investors had demanded higher yields as compensation for the additional risk that the U.S. government could default on its debt. The yield on the 10-year U.S. Treasury note ended the one-year reporting period up 0.83% to 3.81%, while the 2-year yield rose 1.95% to 4.87%. The spread between 10- and 2-year notes widened from +0.06% to -1.06%. The significant upturn in shorter-term bond yields reflected expectations for continued interest-rate hikes by the Fed; longer-term bonds showed signs of concerns regarding how monetary tightening might have a negative effect on economic growth. U.S. high-yield bonds ended the period with notable gains, outperforming Treasurys, corporate bonds, and mortgage-backed securities (“MBS”).

Global commodity prices, as measured by the Bloomberg Commodity Total Return Index, fell -9.6% in U.S. Dollar terms during the reporting period. However, gold prices rallied and ended the period in positive territory as the U.S. Dollar weakened (gold prices move inversely to the U.S. Dollar) and the Fed began to slow the pace of its interest-rate hikes. Prices for West Texas Intermediate crude oil and Brent crude oil declined sharply during the period amid concerns that additional interest-rate hikes from central banks will weigh on global economic growth and reduce demand. Wheat prices tumbled after Russia renewed a deal with the UN, Ukraine, and Turkey that allows the shipment of Ukrainian grain through the Black Sea. Additionally, Egypt made a large purchase tender for Russian wheat at a relatively low price.

Economists have been spending much of their time this year arguing when or if economic growth, inflation, corporate profits, interest rates, and equities will peak. Optimists and pessimists alike have been confounded by the ebb and flow of the data and the gyrations of the financial markets.

In general, input-price inflation has decelerated dramatically. Canada’s industrial producer price index has registered an outright decline in its price level, with a year-over-year change of -6.3% through May. The eurozone’s producer-price index (“PPI”) has witnessed the sharpest deceleration, falling from a peak annual rate of 43% through August 2022 to an April 2023 reading of just 1.0%. By contrast, the improvement in producer prices has been less dramatic in Japan (still rising at a 5.1% year-over-year pace as of May), although the country has logged a steep deceleration from earlier this year. We believe that these annual inflation PPI readings should continue to show improvement in the months immediately ahead owing to favorable base effects.

Core inflation, which excludes food and energy prices. Inflation is still accelerating in both the U.K. (reaching 7.1% in May) and in Japan (+2.7%). Improvement in the U.S. and the euro area has been modest, with annual core inflation running at 5.3% and 6.1%, respectively, in May. Only Canada has recorded significant progress in its core inflation rate, declining from a 12-month rate of 6.0% in June 2022 to 3.6% as of May 2023.

On a longer-term basis, we believe that demographic shifts are likely to keep labor markets tighter than has been the case at any point since the baby boomers–who were born between 1946 and 1964–first made their presence felt in the workforce in the 1970s. The new focus on supply-chain resiliency, reduced dependence on China as a manufacturing hub, the transition away from relatively cheap fossil-fuel energy to greener but more expensive sources of power, and the likelihood of significantly higher corporate taxes and financing costs in the years ahead, all suggest to us that inflation will tend to settle at 3% or more in advanced industrial economies instead of the previous norm of 2% or less.

Persistent inflation and ongoing labor-market tightness have forced most major developed-country central banks to keep raising their benchmark interest rates. The Fed, the Bank of Canada, and the European Central Bank already have benchmark rates that match or exceed the peak recorded in 2008. We think it’s likely that the Bank of England will soon join this group.

Although the FOMC chose to keep the funds rate unchanged at its June 2023 meeting, the central bank left open the possibility of more rate hikes. It wasn’t too long ago that markets were pricing in a June 2023 peak in the federal-funds rate, followed by at least three rate cuts before the end of 2023. Those cuts have now been taken out of the equation. As of the end of June, the CME Group’s FedWatch Tool had pushed the first rate cut out to January 2024, with a year-end 2024 implied rate at roughly 4%.

SEI does not dispute the fact that inflation will continue to decelerate, especially given the current weakness in energy and goods prices. It is only a question of timing and end point. We maintain our view that inflation pressures will remain persistent in labor-intensive service industries, at least until some slack opens up in the labor markets and spending by households fades more dramatically.

The rally in U.S. equities broadened at the end of the reporting period in June, but we think the valuation in the market again is a problem. The upturn occurred despite additional monetary tightening by the Fed and other central banks and a rebound in bond yields from the dip that took place following the panic in the U.S. banking system in mid-March. The overall market also appears to be overvalued relative to current bond yields. If corporate earnings experience a substantial contraction, history suggests that stock valuations also will fall.

Bloomberg Global Aggregate Index: is a broad-based benchmark that is considered representative of global investment-grade, fixed-income markets.

Bloomberg US Corporate Investment Grade Index: is a broad-based benchmark that measures the investment-grade, fixed-rate, taxable corporate bond market.

Bloomberg US Aggregate Bond Index: The Bloomberg U.S. Aggregate Bond Index is a benchmark index composed of U.S. securities in Treasury, government-related, corporate and securitized sectors. It includes securities that are of investment-grade quality or better, have at least one year to maturity and have an outstanding par value of at least $250 million.

Bloomberg U.S. Intermediate Aggregate Bond Index: is an unmanaged index generally representative of intermediate investment grade government and corporate debt securities with maturities of 10 years or less (Income Fund, Balanced Growth Fund and Balanced Income Fund).

Blended 60% Russell 3000^® Index/40% Bloomberg U.S. Intermediate Aggregate Bond Index: is a composite composed of 60% Russell 3000^® Index and 40% Bloomberg U.S. Intermediate Aggregate Bond Index (Balanced Growth Fund).

Blended 35% Russell 3000^® Index/65% Bloomberg U.S. Intermediate Aggregate Bond Index: is a composite composed of 35% Russell 3000^® Index and 65% Bloomberg U.S. Intermediate Aggregate Bond Index (Balanced Income Fund).

Dow Jones Industrial Average: The Index measures the stock performance of 30 large companies listed on stock exchanges in the United States.

FTSE UK Series All-Share Index: is a capitalization-weighted index, comprising around 600 of more than 2,000 companies traded on the London Stock Exchange.

ICE BofA US High Yield Constrained Index: tracks the performance of below-investment-grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market; exposure to individual issuers is capped at 2%.

JP Morgan EMBI Global Diversified Index: tracks the performance of external debt instruments (including U.S.-dollar-denominated and other external-currency-denominated Brady bonds, loans, eurobonds and local-market instruments) in emerging markets.

JP Morgan GBI-EM Global Diversified Composite Index: tracks the performance of debt instruments issued in local currencies by emerging-market governments.

MSCI Europe Index: is a free float-adjusted market-capitalization-weighted index designed to measure the performance of large- and mid-capitalization stocks across developed-market countries in Europe.

MSCI Emerging Markets Index: is a free float-adjusted market-capitalization-weighted index designed to measure the performance of global emerging-market equities.

MSCI World Index: is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity-market performance of developed markets. The Index consists of 24 developed-market country indexes.

Russell 1000^® Index: includes 1,000 of the largest U.S. stocks based on market cap and current index membership; it is used to measure the activity of the U.S. large-cap equity market.

Russell 2000^® Index: The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 8% of the total market capitalization of the Russell 3000^® Index.

Russell 3000^® Index: measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.

S&P 500 Index: is an unmanaged, market-weighted index that consists of 500 of the largest publicly-traded U.S. companies and is considered representative of the broad U.S. stock market.

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 produced 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, 2023, was Parametric Portfolio Associates LLC (“Parametric”). There were no sub-adviser changes during the reporting period.

III. Return vs. Benchmark

For the 12-month period ending June 30, 2023, the Fund’s Class A shares returned 18.83%. The Fund’s primary benchmark, the Russell 3000^® Index – which measures the performance of the 3000 largest U.S. companies and represents approximately 98% of the investable U.S. equity market–returned 18.95%.

IV. Fund Attribution

Information technology sector was the strongest-performing sector within the Russell 3000^® Index for the reporting period as growth stocks outperformed. The only two sectors to produce negative returns were real estate and utilities, which are sometimes thought of as bond substitutes. This explains some of their correlation with the poorly performing bond market during the period. Other traditionally less cyclical areas of the market, such as consumer staples and health care, also underperformed.

In this environment, the Fund marginally underperformed its benchmark for the reporting period. The Fund’s holdings in the consumer staples sector and in the retail segment of the consumer discretionary sector detracted from performance. Fund performance benefited from a modestly overweight allocation to the information technology sector, an underweight to the aerospace and defense industry, as wells as a modest underweight to the real estate sector.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

AVERAGE ANNUAL TOTAL RETURN¹
	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized 10 Year Return	Annualized Inception to Date
New Covenant Growth Fund	18.83%	13.41%	10.88%	11.20%	5.89%
Russell 3000^® Index	18.95%	13.89%	11.39%	12.34%	7.23%

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Growth Fund versus the Russell 3000^® Index.

For the periods ended June 30, 2023. 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.

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, 2023: Income Research & Management (“IRM”), Western Asset Management Company and Western Asset Management Company Limited (“Western”). There were no sub-adviser changes during the fiscal period.

III. Return vs. Benchmark

For the 12-month period ending June 30, 2023, the Fund’s Class A shares returned -0.78%. The Fund’s primary benchmark, the Bloomberg Intermediate US Aggregate Bond Index–a capitalization-weighted index that measures the performance of investment-grade bonds in the U.S. with maturities of less than 10 years–returned -0.60%.

IV. Fund Attribution

In a determined effort to tame historically high inflation, the U.S. Federal Reserve (“Fed”) raised its benchmark federal-funds rate by a total of 350 basis points (3.50%) to a range of 5.00% - 5.25% during the 12-month reporting period. The Fed hiked the rate by 25 basis points in February, March, and May, and then held rates steady for the first time since January 2022 at its meeting in June 2023. U.S. economic growth slowed in the first quarter of 2023, as the lagged effects of monetary policy continued to work their way through the financial system. Meanwhile, inflation moderated, but remained stubbornly elevated relative to its historical average and to central bank target levels. At the end of the reporting period, the core inflation rate (which excludes volatile food and energy prices) of 5.3% was more than twice the Fed’s 2% target. Markets have priced Fed rate cuts later into 2024 and began pricing-in additional rate hikes after the Fed’s June dot plot signaled the median federal funds rate increasing by an additional 50 basis points. Yields ratcheted higher across the U.S. Treasury curve, with short-term yields moving higher at a quicker pace than long-term yields, pushing the yield curve inversion closer to a record level. The yield curve, a predictor of past economic downturns, has been inverted for nearly a year, which is in the time frame typically associated with the onset of a recession. Following the collapse of Silicon

Valley Bank, a U.S. regional bank, in March 2023, credit conditions tightened further, providing a degree of offset for central bank monetary policy tightening that would have otherwise been required. The combination of tight labor markets, sticky core inflation, and tightening credit conditions during the reporting period challenged the Fed, and the runway for a soft landing for the economy continues to narrow.

The two-year Treasury note yield rose by 195 basis points over the 12 month reporting period, while the 10- and 30-year yields increased by 83 and 71 basis points, respectively. The rise in yields led to negative absolute returns for U.S. Treasury securities. Risk assets generally outperformed duration-neutral Treasurys during the period. Corporate bonds generated both positive absolute and excess returns during the period, with spreads tightening year-over-year. The Fed continued to grapple with inflation, while fears about a hard economic landing endured. Uncertainty surrounding the U.S. government’s debt ceiling contributed to volatility during the spring of 2023, but a resolution was reached and the debt ceiling was suspended until January 2025. From a credit-quality perspective, BBB rated issues outperformed higher quality bonds. Agency mortgage-backed securities (“MBS”) underperformed Treasurys during the reporting period; however, valuations became more attractive. Agency MBS are considered to be a liquid, high-quality substitute for Treasurys with a higher yield. Asset-backed securities (“ABS”) outperformed the overall market during the period, bolstered by strong fundamentals within consumer-related subsectors as the U.S. labor market remains healthy. Consumers were resilient, even in the face of elevated inflation, with rising wages supporting a robust level of consumer spending reflected in strong consumption and spending on services. With the COVID-19 pandemic fading as a health threat, consumers have been making up for lost time, adopting a more mobile lifestyle, thereby pressuring on labor-intensive, consumer-facing industries such as restaurants, airlines, hotels and entertainment/sporting events. Commercial mortgage-backed securities (“CMBS”) underperformed duration-neutral Treasurys as office buildings continue to be hampered by lower occupancy as many employees continue to work remotely.

The Fund modestly underperformed its benchmark, the Bloomberg Intermediate Aggregate Bond Index, during the reporting period. An overweight allocation to CMBS detracted from Fund performance for the period. Office space, in particular, remains under stress as companies continue to utilize remote work and the need for office space has declined since March 2020. The Fund’s long duration posture also weighed on performance as yields

continued to move higher given tightening monetary policy. Both the Fund’s overweight and positioning within corporate credit benefited Fund performance for the reporting period. Relative sector positioning within the corporate sector such as the overweight to industrials contributed positively to Fund performance, and security selection within the banking sector enhanced performance as the Fund’s managers preferred large money center banks. Security selection within agency MBS bolstered Fund performance as the managers preferred specified pools to TBA (to-be-announced) securities—which confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies (Fannie Mae, Freddie Mac and Ginnie Mae) that issue or guarantee MBS. This was partially offset by the Fund’s overweight to the sector as agency MBS underperformed during the period. An overweight to ABS had a positive impact on Fund performance. The sector continues to be supported by strong consumer spending as unemployment remains at historically low levels.

Among the Fund’s sub-advisers, IRM outperformed during the reporting period. Both security selection and an overweight position in the financials sector enhanced performance, while security selection in industrials had a negative impact. Positioning within ABS aided Fund performance, while an overweight allocation to CMBS was a detractor. Security selection in CMBS benefited Fund performance as IRM favored up-in-the-capital structure tranches. Western Asset Management Company and Western Asset Management Company Limited outperformed in part due to an overweight to corporate credit. Security selection within agency MBS also was a positive contributor to performance. Western moved the Fund to an overweight position in the MBS sector as valuations became more compelling during the first half of 2023. Western’s long duration posture detracted from Fund performance as yields continued to rise during the reporting period.

Regarding the use of derivatives, the Fund employed U.S. Treasury futures, eurodollar futures, and 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. None of these derivative positions had a meaningful impact on the Fund’s performance during the reporting period.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

AVERAGE ANNUAL TOTAL RETURN¹
	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized 10 Year Return	Annualized Inception to Date
New Covenant Income Fund	-0.78%	-3.11%	0.51%	1.10%	2.76%
Bloomberg Intermediate U.S. Aggregate Bond Index	-0.60%	-2.89%	0.83%	1.33%	3.89%

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Income Fund versus the Bloomberg Intermediate U.S. Aggregate Bond Index.

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 12-month period ending June 30, 2023, the Fund’s Class A shares returned 10.83%. The Fund’s primary benchmark, the Russell 3000^® Index – which measures the performance of the 3000 largest U.S. companies and represents approximately 98% of the investable U.S. equity market – returned 18.95%.

IV. Fund Attribution

U.S. equities rebounded during the 12-month reporting period as investors became somewhat less concerned about inflation, rising interest rates, and the Russia-Ukraine war. Supply-chain issues were believed to be largely resolved. The reduction in these concerns brought a “relief rally” in which the relatively more expensive stocks generally rose more than the lower-priced stocks, and larger-capitalization stocks outgained smaller-capitalization stocks.

Information technology was the strongest-performing sector within the Russell 3000^® Index for the reporting period as growth stocks outperformed. The only two sectors to produce negative returns were real estate and utilities, which are sometimes thought of as bond substitutes. This explains some of their correlation with the poorly performing bond market during the period. Other traditionally less cyclical areas of the market, such as consumer staples and health care, also underperformed.

In this environment, the Growth Fund marginally underperformed its benchmark, the Russell 3000^® Index, for the reporting period. The Fund’s holdings in the consumer staples sector and in the retail segment of the consumer discretionary sector detracted from performance. Fund performance benefited from a modestly overweight allocation to the information technology sector, an underweight to the aerospace and defense industry, as wells as a modest underweight to the real estate sector.

about a hard economic landing endured. Uncertainty surrounding the U.S. government’s debt ceiling contributed to volatility during the spring of 2023, but a resolution was reached and the debt ceiling was suspended until January 2025. From a credit-quality perspective, BBB rated issues outperformed higher quality bonds. Agency mortgage-backed securities (“MBS”) underperformed Treasurys during the reporting period; however, valuations became more attractive. Agency MBS are considered to be a liquid, high-quality substitute for Treasurys with a higher yield. Asset-backed securities (“ABS”) outperformed the overall market during the period, bolstered by strong fundamentals within consumer-related subsectors as the U.S. labor market remains healthy. Consumers were resilient, even in the face of elevated inflation, with rising wages supporting a robust level of consumer spending reflected in strong consumption and spending on services. With the COVID-19 pandemic fading as a health threat, consumers have been making up for lost time, adopting a more mobile lifestyle, thereby pressuring on labor-intensive, consumer-facing industries such as restaurants, airlines, hotels and entertainment/sporting events. Commercial mortgage-backed securities (“CMBS”) underperformed duration-neutral Treasurys as office buildings continue to be hampered by lower occupancy as many employees continue to work remotely.

In this environment, the Income Fund modestly underperformed its benchmark, the Bloomberg Intermediate US Aggregate Bond Index, during the reporting period. An overweight allocation to CMBS detracted from Fund performance. Office space, in particular, remains under stress as companies continue to utilize remote work and the need for office space has declined since March 2020. The Fund’s long duration posture also weighed on performance as yields continued to move higher given tightening monetary policy. Both the Fund’s overweight and positioning within corporate credit benefited Fund performance for the reporting period. Relative sector positioning within the corporate sector such as the overweight to industrials contributed positively to Fund performance, and security selection within the banking sector enhanced performance as the Fund’s managers preferred large money center banks. Security selection within agency MBS bolstered Fund performance as the managers preferred specified pools to TBA (to-be-announced) securities—which confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies (Fannie Mae, Freddie Mac and Ginnie Mae) that issue or guarantee MBS. This was partially offset by the Fund’s overweight to the sector as agency MBS underperformed during the period. An overweight to ABS had a positive impact on Fund performance. The sector

continues to be supported by strong consumer spending as unemployment remains at historically low levels.

The Income Fund employed U.S. Treasury futures, eurodollar futures, and 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. None of these derivative positions had a meaningful impact on the Fund’s performance during the reporting period.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

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	10.83%	6.74%	6.98%	7.26%	4.88%
Russell 3000^® Index	18.95%	13.89%	11.39%	12.34%	7.23%
Bloomberg Intermediate U.S. Aggregate Bond Index	-0.60%	-2.89%	0.83%	1.33%	3.69%
Blended 60% Russell 3000^® Index/40% Bloomberg U.S. Intermediate Aggregate Bond Index	11.07%	7.20%	7.48%	8.09%	6.12%

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

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 Intermediate U.S. 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 Balanced Income 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 50% and 75% 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 12-month period ending June 30, 2023, the Fund’s Class A shares returned 5.84%. The Fund’s primary benchmark, the Bloomberg Intermediate U.S. Aggregate Bond Index – which tracks the performance of U.S. securities in the Treasury, government-related, corporate and securitized sectors with a remaining maturity of less than 10 years – returned -0.60%.

IV. Fund Attribution

50 basis points. Yields ratcheted higher across the U.S. Treasury curve, with short-term yields moving higher at a quicker pace than long-term yields, pushing the yield curve inversion closer to a record level. The yield curve, a predictor of past economic downturns, has been inverted for nearly a year, which is in the time frame typically associated with the onset of a recession. Following the collapse of Silicon Valley Bank, a U.S. regional bank, in March 2023, credit conditions tightened further, providing a degree of offset for central bank monetary policy tightening that would have otherwise been required. The combination of tight labor markets, sticky core inflation, and tightening credit conditions during the reporting period challenged the Fed, and the runway for a soft landing for the economy continues to narrow.

In this market environment, the Income Fund modestly underperformed its benchmark, the Bloomberg Intermediate US Aggregate Bond Index, during the reporting period. An overweight allocation to CMBS detracted from Fund performance. Office space, in particular, remains under stress as companies continue to utilize remote work and the need for office space has declined since March 2020. The Fund’s long duration posture also weighed on performance as yields continued to move higher given tightening monetary policy. Both the Fund’s overweight and positioning within corporate credit benefited Fund performance for the reporting period. Relative sector positioning within the corporate sector such as the overweight to industrials contributed positively to Fund performance, and security selection within the banking sector enhanced performance as the Fund’s managers preferred large money center banks. Security selection within agency MBS bolstered Fund performance as the managers preferred specified pools to TBA (to-be-announced) securities — which confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies (Fannie Mae, Freddie Mac and Ginnie Mae) that issue or guarantee MBS. This was partially offset by the Fund’s overweight to the sector as agency MBS underperformed during the period. An overweight to ABS had a positive impact on Fund performance. The sector continues to be supported by strong consumer spending as unemployment remains at historically low levels.

In this environment, the Growth Fund marginally underperformed its benchmark, the Russell 3000^® Index, for the reporting period. The Growth Fund’s holdings in the consumer staples sector and in the retail segment

of the consumer discretionary sector detracted from performance. Fund performance benefited from a modestly overweight allocation to the information technology sector, an underweight to the aerospace and defense industry, as wells as a modest underweight to the real estate sector.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

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	5.84%³	2.58%	4.30%	4.66%	4.00%
Russell 3000^® Index	18.95%	13.89%	11.39%	12.34%	7.23%
Bloomberg Intermediate U.S. Aggregate Bond Index	-0.60%	-2.89%	0.83%	1.33%	3.69%
Blended 35% Russell 3000^® Index/65% Bloomberg Intermediate U.S. Aggregate Bond Index	6.18%	3.00%	4.81%	5.33%	5.22%

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

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 Intermediate U.S. 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.

3	Total returns disclosed in the Financial Highlights of the Annual Report may reflect adjustments to conform to generally accepted accounting principles.

^† Percentages based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable.


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† — 98.2%
Communication Services — 7.7%
Activision Blizzard Inc		3,725	$	314
Alphabet Inc, Cl A *		75,260		9,009
Alphabet Inc, Cl C *		69,700		8,432
AT&T Inc		119,675		1,909
Bandwidth Inc, Cl A *		74		1
Cable One Inc		79		52
Cardlytics Inc *		761		5
Cars.com Inc *		4,178		83
Charter Communications Inc, Cl A *		1,268		466
Cinemark Holdings Inc *		4,289		71
Cogent Communications Holdings Inc		148		10
Comcast Corp, Cl A		52,817		2,195
EchoStar Corp, Cl A *		1,124		19
Electronic Arts Inc		6,385		828
EverQuote Inc, Cl A *		1,468		10
EW Scripps Co/The, Cl A *		3,299		30
Fox Corp, Cl A		1,372		47
Fox Corp, Cl B		1,428		46
IAC Inc *		376		24
IMAX Corp *		2,244		38
Interpublic Group of Cos Inc/The		8,487		327
Iridium Communications Inc		366		23
John Wiley & Sons Inc, Cl A		236		8
Liberty Broadband Corp, Cl A *		81		6
Liberty Broadband Corp, Cl C *		343		27
Liberty Media Corp-Liberty Braves *		3,670		148
Liberty Media Corp-Liberty SiriusXM, Cl C *		234		8
Live Nation Entertainment Inc *		181		16
Lumen Technologies Inc		872		2
Madison Square Garden Entertainment, Cl A *		697		23
Madison Square Garden Sports Corp		39		7
Magnite Inc *		2,551		35
Match Group Inc *		1,841		77
Meta Platforms Inc, Cl A *		25,682		7,370
Netflix Inc *		4,263		1,878


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
New York Times Co/The, Cl A		439	$	17
News Corp, Cl A		829		16
Nexstar Media Group Inc, Cl A		94		16
Omnicom Group Inc		8,814		839
Paramount Global, Cl B		7,304		116
Pinterest Inc, Cl A *		3,339		91
ROBLOX Corp, Cl A *		6,473		261
Shenandoah Telecommunications Co		222		4
Shutterstock Inc		205		10
Sirius XM Holdings Inc		7,153		32
Sphere Entertainment Co *		697		19
Spotify Technology SA *		1,265		203
Take-Two Interactive Software Inc *		1,416		208
TechTarget Inc *		1,986		62
TEGNA Inc		3,052		50
T-Mobile US Inc *		6,126		851
Trade Desk Inc/The, Cl A *		8,290		640
TripAdvisor Inc *		1,712		28
Verizon Communications Inc		57,853		2,152
Vimeo Inc *		610		3
Walt Disney Co/The *		21,958		1,960
Warner Bros Discovery Inc *		4,164		52
World Wrestling Entertainment Inc, Cl A		780		85
Yelp Inc, Cl A *		1,355		49
Ziff Davis Inc *		2,547		178
ZoomInfo Technologies, Cl A *		2,021		51

				41,537
Consumer Discretionary — 11.1%
1-800-Flowers.com Inc, Cl A *		3,668		29
2U Inc *		871		4
Abercrombie & Fitch Co, Cl A *		788		30
Acushnet Holdings Corp		987		54
Adient PLC *		732		28
ADT Inc		4,942		30
Adtalem Global Education Inc *		5,431		187
Advance Auto Parts Inc		317		22
Airbnb Inc, Cl A *		3,103		398
Amazon.com Inc *		107,065		13,957
American Eagle Outfitters Inc		3,416		40
AMMO Inc *		6,414		14
Aptiv PLC *		3,490		356
Aramark		260		11
Asbury Automotive Group Inc *		70		17
AutoNation Inc *		970		160
AutoZone Inc *		235		586
Bath & Body Works Inc		638		24
Best Buy Co Inc		7,091		581
Big Lots Inc		1,758		16
Bloomin' Brands Inc		2,259		61
Booking Holdings Inc *		563		1,520
Boot Barn Holdings Inc *		199		17
BorgWarner Inc		321		16


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Bright Horizons Family Solutions Inc *		76	$	7
Brinker International Inc *		1,180		43
Brunswick Corp/DE		839		73
Buckle Inc/The		1,885		65
Burlington Stores Inc *		482		76
Capri Holdings Ltd *		1,319		47
CarMax Inc *		1,086		91
Carnival Corp *		15,800		298
Carter's Inc		471		34
Carvana Co, Cl A *		5,499		143
Cavco Industries Inc *		60		18
Cheesecake Factory Inc/The		1,236		43
Chegg Inc *		176		2
Chico's FAS Inc *		7,300		39
Children's Place Inc/The *		812		19
Chipotle Mexican Grill Inc, Cl A *		232		496
Choice Hotels International Inc		113		13
Columbia Sportswear Co		891		69
Cracker Barrel Old Country Store Inc		323		30
Dana Inc		2,660		45
Darden Restaurants Inc		705		118
Dave & Buster's Entertainment Inc *		1,283		57
Deckers Outdoor Corp *		1,186		626
Denny's Corp *		2,500		31
Designer Brands Inc, Cl A		3,316		33
Dick's Sporting Goods Inc		1,054		139
Dillard's Inc, Cl A		45		15
Domino's Pizza Inc		33		11
DoorDash Inc, Cl A *		523		40
Dorman Products Inc *		128		10
DR Horton Inc		1,973		240
eBay Inc		20,542		918
Etsy Inc *		1,162		98
Expedia Group Inc *		389		43
Fisker Inc *		2,626		15
Five Below Inc *		410		81
Floor & Decor Holdings Inc, Cl A *		232		24
Foot Locker Inc		1,308		35
Ford Motor Co		12,719		192
Fox Factory Holding Corp *		749		81
Frontdoor Inc *		251		8
GameStop Corp, Cl A *		2,040		49
Gap Inc/The		11,382		102
Garmin Ltd		418		44
General Motors Co		2,763		107
Gentex Corp		440		13
Gentherm Inc *		184		10
Genuine Parts Co		67		11
Goodyear Tire & Rubber Co/The *		989		14
Graham Holdings Co, Cl B		78		45
Grand Canyon Education Inc *		121		12
Group 1 Automotive Inc		86		22


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
GrowGeneration Corp *		2,599	$	9
H&R Block Inc		3,157		101
Hanesbrands Inc		13,319		60
Harley-Davidson Inc		306		11
Hasbro Inc		2,632		170
Helen of Troy Ltd *		57		6
Hilton Grand Vacations Inc *		3,016		137
Hilton Worldwide Holdings Inc		11,607		1,689
Home Depot Inc/The		13,012		4,042
Hyatt Hotels Corp, Cl A		135		15
Installed Building Products Inc		125		18
iRobot Corp *		1,013		46
Jack in the Box Inc		658		64
Johnson Outdoors Inc, Cl A		659		41
KB Home		4,733		245
Kohl's Corp		1,859		43
Kontoor Brands Inc		1,282		54
La-Z-Boy Inc, Cl Z		1,597		46
LCI Industries		483		61
Lear Corp		6,486		931
Leggett & Platt Inc		222		7
Lennar Corp, Cl B		122		14
LGI Homes Inc *		127		17
LKQ Corp		317		18
Lowe's Cos Inc		12,159		2,744
Lululemon Athletica Inc *		1,171		443
M/I Homes Inc *		198		17
Macy's Inc		4,042		65
Malibu Boats Inc, Cl A *		202		12
Marriott International Inc/MD, Cl A		3,599		661
Marriott Vacations Worldwide Corp		394		48
Mattel Inc *		711		14
McDonald's Corp		11,361		3,390
Meritage Homes Corp		794		113
Mohawk Industries Inc *		127		13
Monro Inc		626		25
Murphy USA Inc		422		131
National Vision Holdings Inc *		447		11
Newell Brands Inc		605		5
NIKE Inc, Cl B		17,693		1,953
Nordstrom Inc		3,866		79
Norwegian Cruise Line Holdings Ltd *		14,956		326
NVR Inc *		13		83
ODP Corp/The *		283		13
Ollie's Bargain Outlet Holdings Inc *		212		12
O'Reilly Automotive Inc *		677		647
Oxford Industries Inc		665		65
Papa John's International Inc		151		11
Peloton Interactive Inc, Cl A *		2,845		22
Penske Automotive Group Inc		957		159
PetMed Express Inc		366		5
Planet Fitness Inc, Cl A *		173		12


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Polaris Inc		966	$	117
PulteGroup Inc		5,125		398
PVH Corp		108		9
Ralph Lauren Corp, Cl A		690		85
Revolve Group Inc, Cl A *		2,223		36
RH *		45		15
Rivian Automotive Inc, Cl A *		1,274		21
Ross Stores Inc		3,209		360
Royal Caribbean Cruises Ltd *		8,804		913
Sabre Corp *		506		2
Sally Beauty Holdings Inc *		2,794		35
SeaWorld Entertainment Inc *		251		14
Service Corp International/US		250		16
Shake Shack Inc, Cl A *		157		12
Signet Jewelers Ltd		2,402		157
Six Flags Entertainment Corp *		248		6
Sleep Number Corp *		1,033		28
Standard Motor Products Inc		943		35
Starbucks Corp		16,902		1,674
Steven Madden Ltd		1,178		39
Stitch Fix Inc, Cl A *		1,021		4
Strategic Education Inc		331		22
Stride Inc *		348		13
Tapestry Inc		2,803		120
Taylor Morrison Home Corp, Cl A *		12,743		621
Tempur Sealy International Inc		2,272		91
Tesla Inc *		32,614		8,537
Texas Roadhouse Inc, Cl A		889		100
Thor Industries Inc		106		11
TJX Cos Inc/The		14,736		1,249
Toll Brothers Inc		269		21
TopBuild Corp *		476		127
Topgolf Callaway Brands Corp *		2,383		47
Tractor Supply Co		2,377		526
Travel + Leisure Co		307		12
Tri Pointe Homes Inc *		3,236		106
Udemy Inc *		3,378		36
Ulta Beauty Inc *		279		131
Under Armour Inc, Cl C *		556		4
Upbound Group Inc, Cl A		1,764		55
Urban Outfitters Inc *		417		14
Vail Resorts Inc		46		12
Valvoline Inc		11,216		421
VF Corp		4,023		77
Victoria's Secret & Co *		212		4
Visteon Corp *		85		12
Wayfair Inc, Cl A *		320		21
Wendy's Co/The		11,419		248
Whirlpool Corp		638		95
Williams-Sonoma Inc		160		20
Wingstop Inc		582		116
Winnebago Industries Inc		191		13


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Wolverine World Wide Inc		1,511	$	22
Wyndham Hotels & Resorts Inc		189		13
Yum! Brands Inc		8,356		1,158

				60,028
Consumer Staples — 6.1%
Andersons Inc/The		338		16
Archer-Daniels-Midland Co		5,103		386
B&G Foods Inc		862		12
BellRing Brands Inc *		136		5
Beyond Meat Inc *		166		2
Bunge Ltd		1,596		151
Calavo Growers Inc		571		17
Campbell Soup Co		10,354		473
Casey's General Stores Inc		65		16
Chefs' Warehouse Inc/The *		1,366		49
Church & Dwight Co Inc		1,025		103
Clorox Co/The		2,716		432
Coca-Cola Co/The		48,833		2,941
Colgate-Palmolive Co		13,653		1,052
Conagra Brands Inc		14,479		488
Costco Wholesale Corp		5,215		2,808
Coty Inc, Cl A *		1,026		13
Darling Ingredients Inc *		716		46
Dollar General Corp		2,608		443
Dollar Tree Inc *		1,320		189
Edgewell Personal Care Co		310		13
elf Beauty Inc *		1,902		217
Energizer Holdings Inc		231		8
Estee Lauder Cos Inc/The, Cl A		2,390		469
Flowers Foods Inc		555		14
Fresh Del Monte Produce Inc		1,442		37
General Mills Inc		13,887		1,065
Grocery Outlet Holding Corp *		263		8
Hain Celestial Group Inc/The *		461		6
Herbalife Nutrition Ltd *		1,088		14
Hershey Co/The		2,295		573
HF Foods Group Inc *		2,213		10
Hormel Foods Corp		4,797		193
Ingredion Inc		1,110		118
J M Smucker Co/The		6,494		959
Kellogg Co		6,713		452
Keurig Dr Pepper Inc		32,477		1,016
Kimberly-Clark Corp		6,484		895
Kraft Heinz Co/The		3,923		139
Kroger Co/The		17,094		803
Lamb Weston Holdings Inc		594		68
McCormick & Co Inc/MD		5,832		509
Medifast Inc		71		7
Mondelez International Inc, Cl A		17,402		1,269
Monster Beverage Corp *		889		51
National Beverage Corp *		344		17
PepsiCo Inc		23,368		4,328


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Performance Food Group Co *		1,023	$	62
Pilgrim's Pride Corp *		355		8
Post Holdings Inc *		108		9
PriceSmart Inc		179		13
Procter & Gamble Co/The		29,205		4,432
SpartanNash Co		1,252		28
Spectrum Brands Holdings Inc		183		14
Sprouts Farmers Market Inc *		623		23
Sysco Corp		17,657		1,310
Target Corp		6,577		867
TreeHouse Foods Inc *		237		12
Tyson Foods Inc, Cl A		1,410		72
US Foods Holding Corp *		2,211		97
Vita Coco Co Inc/The *		1,354		36
Walgreens Boots Alliance Inc		30,476		868
Walmart Inc		14,496		2,278

				33,029
Energy — 3.9%
Antero Midstream Corp		26,635		309
Antero Resources Corp *		6,426		148
APA Corp		332		11
Arch Resources Inc		94		11
Baker Hughes Co, Cl A		9,516		301
Borr Drilling Ltd *		11,900		90
Cactus Inc, Cl A		298		13
Callon Petroleum Co *		2,548		89
ChampionX Corp		383		12
Cheniere Energy Inc		6,249		952
Chesapeake Energy Corp		1,851		155
Civitas Resources Inc		179		12
Clean Energy Fuels Corp *		4,579		23
CNX Resources Corp *		1,745		31
ConocoPhillips		25,233		2,614
CONSOL Energy Inc		213		14
Coterra Energy Inc		22,434		568
CVR Energy Inc		1,596		48
Delek US Holdings Inc		2,494		60
Denbury Inc *		1,205		104
Devon Energy Corp		10,747		519
DHT Holdings Inc		1,338		11
Diamondback Energy Inc		4,378		575
Dril-Quip Inc *		1,072		25
DT Midstream Inc		405		20
EOG Resources Inc		12,533		1,434
EQT Corp		7,282		299
Equitrans Midstream Corp		2,185		21
Expro Group Holdings NV *		1,529		27
FLEX LNG Ltd		2,301		70
Golar LNG Ltd		3,888		78
Green Plains Inc *		2,069		67
Halliburton Co		9,891		326
Helix Energy Solutions Group Inc *		10,917		81


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Helmerich & Payne Inc		4,134	$	147
Hess Corp		6,554		891
HF Sinclair Corp		5,184		231
International Seaways Inc		329		13
Kinder Morgan Inc		89,784		1,546
Kinetik Holdings Inc, Cl A		2,668		94
Kosmos Energy Ltd *		44,503		267
Magnolia Oil & Gas Corp, Cl A		1,806		38
Marathon Oil Corp		16,949		390
Murphy Oil Corp		449		17
Nabors Industries Ltd *		367		34
New Fortress Energy Inc, Cl A		2,307		62
NextDecade Corp *		10,122		83
Noble Corp PLC *		1,325		55
Nordic American Tankers Ltd		3,610		13
NOV Inc		482		8
Occidental Petroleum Corp		6,975		410
ONEOK Inc		9,782		604
Ovintiv Inc		4,569		174
Patterson-UTI Energy Inc		4,952		59
PBF Energy Inc, Cl A		316		13
PDC Energy Inc		183		13
Peabody Energy Corp		612		13
Pioneer Natural Resources Co		5,512		1,142
Range Resources Corp		4,411		130
RPC Inc		1,226		9
Schlumberger NV		36,941		1,814
Scorpio Tankers Inc		270		13
SM Energy Co		840		27
Southwestern Energy Co *		21,739		131
Targa Resources Corp		10,556		803
Teekay Tankers Ltd, Cl A		1,755		67
Texas Pacific Land Corp		431		567
Uranium Energy Corp *		15,244		52
Valaris Ltd *		739		46
Vitesse Energy Inc		272		6
Williams Cos Inc/The		49,246		1,607
World Fuel Services Corp		4,395		91

				20,798
Financials — 13.2%
Affiliated Managers Group Inc		910		136
Affirm Holdings Inc, Cl A *		2,309		35
Aflac Inc		4,907		343
AGNC Investment Corp ^‡		2,838		29
Allstate Corp/The		3,458		377
Ally Financial Inc		1,575		43
Amalgamated Financial Corp		2,110		34
American Express Co		9,360		1,631
American Financial Group Inc/OH		89		11
American International Group Inc		6,597		380
Ameriprise Financial Inc		1,250		415
Ameris Bancorp		1,129		39


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
AMERISAFE Inc		743	$	40
Annaly Capital Management Inc ^‡		655		13
Aon PLC, Cl A		3,101		1,070
Apollo Commercial Real Estate Finance Inc ^‡		2,686		30
Apollo Global Management Inc		614		47
Arch Capital Group Ltd *		2,404		180
Ares Management Corp, Cl A		632		61
Argo Group International Holdings Ltd		750		22
Arthur J Gallagher & Co		1,610		354
Artisan Partners Asset Management Inc, Cl A		1,589		62
Associated Banc-Corp		4,274		69
Assurant Inc		87		11
Assured Guaranty Ltd		994		55
Atlantic Union Bankshares Corp		1,302		34
Axis Capital Holdings Ltd		825		44
Axos Financial Inc *		310		12
Bank of America Corp		87,545		2,512
Bank of Hawaii Corp		1,051		43
Bank of Marin Bancorp		1,079		19
Bank of New York Mellon Corp/The		12,656		563
Bank of NT Butterfield & Son Ltd/The		1,324		36
Bank OZK		366		15
BankUnited Inc		346		7
Banner Corp		851		37
Berkshire Hathaway Inc, Cl B *		21,019		7,167
Berkshire Hills Bancorp Inc		1,501		31
BlackRock Inc, Cl A		1,878		1,298
Blackstone Inc		6,935		645
Block Inc, Cl A *		4,127		275
BOK Financial Corp		568		46
Bread Financial Holdings Inc		1,335		42
Brighthouse Financial Inc *		268		13
Brown & Brown Inc		290		20
Cadence Bank		1,525		30
Capital One Financial Corp		3,914		428
Capitol Federal Financial Inc		3,529		22
Carlyle Group Inc/The		923		29
Cass Information Systems Inc		865		34
Cathay General Bancorp		1,291		42
Cboe Global Markets Inc		99		14
Central Pacific Financial Corp		1,651		26
Charles Schwab Corp/The		16,432		931
Chimera Investment Corp ^‡		2,402		14
Chubb Ltd		6,169		1,188
Cincinnati Financial Corp		891		87
Citigroup Inc		24,313		1,119
Citizens Financial Group Inc		3,587		94
City Holding Co		607		55
CME Group Inc, Cl A		4,726		876
CNA Financial Corp		253		10


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Cohen & Steers Inc		764	$	44
Columbia Banking System Inc		1,640		33
Comerica Inc		1,232		52
Commerce Bancshares Inc/MO		1,722		84
Community Bank System Inc		710		33
ConnectOne Bancorp Inc		1,891		31
Credit Acceptance Corp *		177		90
Cullen/Frost Bankers Inc		121		13
Dime Community Bancshares Inc		1,467		26
Discover Financial Services		11,446		1,337
Eagle Bancorp Inc		1,035		22
East West Bancorp Inc		1,710		90
eHealth Inc *		512		4
Ellington Financial Inc ^‡		2,748		38
Enterprise Financial Services Corp		1,063		42
Equitable Holdings Inc		432		12
Essent Group Ltd		970		45
Euronet Worldwide Inc *		74		9
Evercore Inc, Cl A		659		81
Everest Re Group Ltd		179		61
Eversource Energy		10,983		779
EVERTEC Inc		1,569		58
F&G Annuities & Life Inc		2,571		64
FactSet Research Systems Inc		306		123
FB Financial Corp		1,250		35
Federal Agricultural Mortgage Corp, Cl C		119		17
Fidelity National Financial Inc		1,063		38
Fidelity National Information Services Inc		7,874		431
Fifth Third Bancorp		4,599		121
First American Financial Corp		814		46
First BanCorp/Puerto Rico		821		10
First Busey Corp		1,790		36
First Citizens BancShares Inc/NC, Cl A		159		204
First Commonwealth Financial Corp		3,365		43
First Financial Bancorp		1,921		39
First Financial Bankshares Inc		1,378		39
First Hawaiian Inc		3,126		56
First Horizon Corp		22,027		248
First Interstate BancSystem Inc, Cl A		1,171		28
First Merchants Corp		1,182		33
FirstCash Holdings Inc		612		57
Fiserv Inc *		5,664		715
FleetCor Technologies Inc *		277		70
FNB Corp/PA		3,907		45
Franklin Resources Inc		6,856		183
Fulton Financial Corp		2,789		33
Genworth Financial Inc, Cl A *		10,439		52
German American Bancorp Inc		1,414		38
Global Payments Inc		2,965		292
Globe Life Inc		108		12
Goldman Sachs Group Inc/The		3,960		1,277
Goosehead Insurance Inc, Cl A *		215		14


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Hancock Whitney Corp		1,142	$	44
Hannon Armstrong Sustainable Infrastructure Capital Inc		9,246		231
Hanover Insurance Group Inc/The		124		14
HarborOne Bancorp Inc		861		7
Hartford Financial Services Group Inc/The		1,006		72
Heartland Financial USA Inc		1,003		28
Heritage Financial Corp/WA		1,744		28
Home BancShares Inc/AR		2,523		58
HomeStreet Inc		309		2
Hope Bancorp Inc		3,233		27
Horace Mann Educators Corp		1,125		33
Houlihan Lokey Inc, Cl A		192		19
Huntington Bancshares Inc/OH		9,540		103
Independent Bank Corp		580		26
Independent Bank Group Inc		846		29
Intercontinental Exchange Inc		5,170		585
Invesco Ltd		18,276		307
Invesco Mortgage Capital Inc ^‡		323		4
Jack Henry & Associates Inc		636		106
James River Group Holdings Ltd		1,180		22
Janus Henderson Group PLC		1,207		33
Jefferies Financial Group Inc		2,313		77
JPMorgan Chase & Co		35,839		5,212
KeyCorp		12,904		119
Kinsale Capital Group Inc		73		27
KKR & Co Inc		3,222		180
Lakeland Bancorp Inc		2,890		39
Lazard Ltd, Cl A		2,316		74
Lemonade Inc *		1,665		28
LendingTree Inc *		175		4
Lincoln National Corp		3,621		93
Loews Corp		222		13
LPL Financial Holdings Inc		1,036		225
M&T Bank Corp		1,519		188
MarketAxess Holdings Inc		144		38
Marsh & McLennan Cos Inc		12,569		2,364
Mastercard Inc, Cl A		12,101		4,759
Mercury General Corp		233		7
MetLife Inc		6,576		372
MFA Financial Inc ^‡		1,584		18
MGIC Investment Corp		3,455		55
Moelis & Co, Cl A		461		21
Moody's Corp		4,810		1,673
Morgan Stanley		15,681		1,339
Morningstar Inc		67		13
Mr Cooper Group Inc *		335		17
MSCI Inc, Cl A		635		298
Nasdaq Inc		7,134		356
NBT Bancorp Inc		1,213		39
Nelnet Inc, Cl A		145		14
New York Community Bancorp Inc		951		11


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
New York Mortgage Trust Inc ^‡		1,944	$	19
NMI Holdings Inc, Cl A *		1,470		38
Northern Trust Corp		7,549		560
Northfield Bancorp Inc		2,868		31
OFG Bancorp		2,119		55
Old National Bancorp/IN		5,093		71
OneMain Holdings Inc, Cl A		258		11
Orchid Island Capital Inc, Cl A ^‡		3,472		36
Pacific Premier Bancorp Inc		3,188		66
PacWest Bancorp		1,283		10
Palomar Holdings Inc, Cl A *		145		8
Pathward Financial Inc		266		12
PayPal Holdings Inc *		16,718		1,116
PennyMac Mortgage Investment Trust ^‡		24,099		325
Pinnacle Financial Partners Inc		1,489		84
PNC Financial Services Group Inc/The		5,690		717
Popular Inc		1,507		91
PRA Group Inc *		1,320		30
Primerica Inc		323		64
Principal Financial Group Inc		662		50
Priority Technology Holdings Inc *		10,659		39
ProAssurance Corp		1,351		20
PROG Holdings Inc *		832		27
Progressive Corp/The		7,459		987
Prosperity Bancshares Inc		1,192		67
Provident Financial Services Inc		1,988		32
Prudential Financial Inc		15,519		1,369
Radian Group Inc		1,924		49
Raymond James Financial Inc		1,949		202
Redwood Trust Inc ^‡		2,992		19
Regions Financial Corp		62,324		1,111
Reinsurance Group of America Inc, Cl A		578		80
RenaissanceRe Holdings Ltd		69		13
Renasant Corp		1,366		36
Repay Holdings Corp, Cl A *		7,436		58
Rithm Capital Corp ^‡		1,403		13
RLI Corp		545		74
S&P Global Inc		7,012		2,811
Sandy Spring Bancorp Inc		1,350		31
Seacoast Banking Corp of Florida		1,616		36
ServisFirst Bancshares Inc		187		8
SLM Corp		8,316		136
SouthState Corp		216		14
Starwood Property Trust Inc ^‡		2,000		39
State Street Corp		9,970		730
Stellar Bancorp Inc		1,869		43
Stifel Financial Corp		245		15
Synchrony Financial		4,720		160
Synovus Financial Corp		1,267		38
T Rowe Price Group Inc		2,711		304
Texas Capital Bancshares Inc *		822		42
TFS Financial Corp		573		7


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
TPG RE Finance Trust Inc ^‡		2,439	$	18
Travelers Cos Inc/The		4,033		700
TriCo Bancshares		1,219		40
Triumph Financial Inc *		822		50
Truist Financial Corp		14,236		432
Trustmark Corp		1,410		30
Two Harbors Investment Corp ^‡		1,597		22
UMB Financial Corp		715		44
Univest Financial Corp		1,820		33
Unum Group *		1,638		78
Upstart Holdings Inc *		1,290		46
US Bancorp		12,299		406
Valley National Bancorp		4,269		33
Veritex Holdings Inc		348		6
Virtu Financial Inc, Cl A		3,026		52
Visa Inc, Cl A		21,213		5,038
W R Berkley Corp		247		15
Walker & Dunlop Inc		749		59
Washington Trust Bancorp Inc		924		25
Webster Financial Corp		2,008		76
Wells Fargo & Co		34,863		1,488
Westamerica BanCorp		731		28
Western Alliance Bancorp		1,801		66
Western Union Co/The		425		5
WEX Inc *		55		10
Willis Towers Watson PLC		907		214
Wintrust Financial Corp		708		51
Zions Bancorp NA		1,771		48

				71,296
Health Care — 13.0%
10X Genomics Inc, Cl A *		954		53
Abbott Laboratories		27,119		2,957
AbbVie Inc		25,124		3,385
Acadia Healthcare Co Inc *		220		18
Accolade Inc *		956		13
AdaptHealth Corp, Cl A *		2,632		32
Adaptive Biotechnologies Corp *		1,704		11
Addus HomeCare Corp *		495		46
Agilent Technologies Inc		7,874		947
Agios Pharmaceuticals Inc *		1,062		30
Akero Therapeutics Inc *		913		43
Alector Inc *		2,628		16
Align Technology Inc *		691		244
Allogene Therapeutics Inc *		1,838		9
Alnylam Pharmaceuticals Inc *		1,202		228
Amedisys Inc *		56		5
American Well Corp, Cl A *		10,093		21
AmerisourceBergen Corp, Cl A		589		113
Amgen Inc		7,498		1,665
Amicus Therapeutics Inc *		5,193		65
AMN Healthcare Services Inc *		832		91
AnaptysBio Inc *		1,908		39


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Anika Therapeutics Inc *		920	$	24
Apollo Medical Holdings Inc *		344		11
Arcturus Therapeutics Holdings Inc *		483		14
Arcus Biosciences Inc *		2,371		48
Arrowhead Pharmaceuticals Inc *		251		9
Arvinas Inc *		1,298		32
Atara Biotherapeutics Inc *		3,254		5
AtriCure Inc *		1,029		51
Atrion Corp		71		40
Avanos Medical Inc *		301		8
Avantor Inc *		1,656		34
Avidity Biosciences Inc *		2,388		26
Avista Public Acquisition Corp II, Cl W *		2,263		11
Axonics Inc *		351		18
Azenta Inc *		207		10
Baxter International Inc		12,373		564
Becton Dickinson & Co		4,437		1,171
BioCryst Pharmaceuticals Inc *		1,030		7
Biogen Inc *		2,874		819
Biohaven Ltd *		45		1
BioLife Solutions Inc *		2,163		48
BioMarin Pharmaceutical Inc *		1,042		90
Bio-Rad Laboratories Inc, Cl A *		32		12
Bio-Techne Corp		212		17
Bluebird Bio Inc *		645		2
Boston Scientific Corp *		16,399		887
Bridgebio Pharma Inc *		241		4
Bristol-Myers Squibb Co		34,297		2,193
Brookdale Senior Living Inc *		7,397		31
Bruker Corp		233		17
Cara Therapeutics Inc *		2,942		8
Cardinal Health Inc		2,213		209
CareDx Inc *		6,310		54
Cassava Sciences Inc *		614		15
Castle Biosciences Inc *		730		10
Catalent Inc *		949		41
Catalyst Pharmaceuticals Inc *		11,416		153
Centene Corp *		4,805		324
Charles River Laboratories International Inc *		77		16
Cigna Group/The		7,185		2,016
Collegium Pharmaceutical Inc *		2,915		63
Cooper Cos Inc/The		236		90
Corcept Therapeutics Inc *		3,878		86
CorVel Corp *		125		24
Crinetics Pharmaceuticals Inc *		2,310		42
CryoPort Inc *		871		15
CVS Health Corp		8,384		580
Cytokinetics Inc *		7,134		233
Danaher Corp		7,586		1,821
DaVita Inc *		160		16
Deciphera Pharmaceuticals Inc *		716		10


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Denali Therapeutics Inc *		2,631	$	78
DENTSPLY SIRONA Inc		3,113		125
Dexcom Inc *		3,388		435
DICE Therapeutics *		2,263		105
Dynavax Technologies Corp *		4,355		56
Eagle Pharmaceuticals Inc/DE *		1,045		20
Editas Medicine Inc, Cl A *		1,596		13
Edwards Lifesciences Corp *		8,484		800
Elanco Animal Health Inc *		398		4
Elevance Health Inc		5,483		2,436
Eli Lilly & Co		11,234		5,269
Embecta Corp		887		19
Emergent BioSolutions Inc *		950		7
Enanta Pharmaceuticals Inc *		785		17
Encompass Health Corp		164		11
Enhabit Inc *		82		1
Enovis Corp *		485		31
Envista Holdings Corp *		317		11
Exact Sciences Corp *		930		87
Exelixis Inc *		4,344		83
Fate Therapeutics Inc *		3,277		16
FibroGen Inc *		1,053		3
Fulgent Genetics Inc *		853		32
GE HealthCare Technologies Inc		153		12
Gilead Sciences Inc		14,228		1,097
Glaukos Corp *		167		12
Globus Medical Inc, Cl A *		179		11
Haemonetics *		195		17
Halozyme Therapeutics Inc *		2,641		95
HCA Healthcare Inc		2,314		702
Health Catalyst Inc *		1,594		20
HealthEquity Inc *		673		43
Henry Schein Inc *		2,612		212
Hologic Inc *		927		75
Horizon Therapeutics PLC *		1,437		148
Humana Inc		887		397
ICON *		572		143
ICU Medical Inc *		62		11
Ideaya Biosciences Inc *		4,068		96
IDEXX Laboratories Inc *		707		355
IGM Biosciences Inc *		1,084		10
Illumina Inc *		3,200		600
ImmunityBio Inc *		12,691		35
Inari Medical Inc *		419		24
Incyte Corp *		1,063		66
Innoviva Inc *		3,557		45
Inogen Inc *		706		8
Insmed Inc *		2,129		45
Insulet Corp *		65		19
Integer Holdings Corp *		625		55
Integra LifeSciences Holdings Corp *		188		8
Intellia Therapeutics Inc *		1,231		50


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Intercept Pharmaceuticals Inc *		417	$	5
Intra-Cellular Therapies Inc *		3,894		247
Intuitive Surgical Inc *		4,209		1,439
Ionis Pharmaceuticals Inc *		782		32
Iovance Biotherapeutics Inc *		1,433		10
IQVIA Holdings Inc *		968		218
iRhythm Technologies Inc *		210		22
Ironwood Pharmaceuticals Inc, Cl A *		3,844		41
IVERIC bio Inc *		2,336		92
Johnson & Johnson		32,711		5,414
Karyopharm Therapeutics Inc *		2,929		5
Kezar Life Sciences Inc *		45,653		112
Kiniksa Pharmaceuticals Ltd, Cl A *		801		11
Kodiak Sciences Inc *		1,218		8
Krystal Biotech Inc *		823		97
Kura Oncology Inc *		3,438		36
Laboratory Corp of America Holdings		515		124
Lantheus Holdings Inc *		2,408		202
Ligand Pharmaceuticals Inc *		462		33
LivaNova PLC *		657		34
MacroGenics Inc *		1,782		10
Madrigal Pharmaceuticals Inc *		531		123
McKesson Corp		1,233		527
MeiraGTx Holdings plc *		4,240		28
Merck & Co Inc		36,681		4,233
Mersana Therapeutics Inc *		13,514		44
Mettler-Toledo International Inc *		771		1,011
Mirati Therapeutics Inc *		429		16
Moderna Inc *		4,368		531
Myriad Genetics Inc *		1,860		43
Natera Inc *		229		11
National Research Corp		779		34
Neogen Corp *		300		7
Neurocrine Biosciences Inc *		1,089		103
Nevro Corp *		83		2
NextGen Healthcare Inc *		3,392		55
Novavax Inc *		816		6
Novocure Ltd *		905		38
Omnicell Inc *		466		34
Option Care Health Inc *		648		21
OraSure Technologies Inc *		6,042		30
Organon & Co		649		14
Pediatrix Medical Group Inc *		417		6
Pennant Group Inc/The *		1,609		20
Penumbra Inc *		72		25
Pfizer Inc		73,662		2,702
Phreesia Inc *		361		11
PMV Pharmaceuticals *		18,090		113
Premier Inc, Cl A		2,266		63
Protagonist Therapeutics Inc *		1,083		30
PTC Therapeutics Inc *		1,021		42
QIAGEN NV *		2,338		105


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Quest Diagnostics Inc		865	$	122
Reata Pharmaceuticals Inc, Cl A *		537		55
Regeneron Pharmaceuticals Inc *		1,105		794
REGENXBIO *		456		9
Repligen Corp *		553		78
ResMed Inc		2,930		640
Revance Therapeutics Inc *		3,056		77
Revvity Inc		120		14
Rocket Pharmaceuticals Inc *		932		19
Sage Therapeutics Inc *		516		24
Sarepta Therapeutics Inc *		87		10
Seagen Inc *		750		144
Shockwave Medical Inc *		49		14
Simulations Plus Inc		1,477		64
STAAR Surgical Co *		2,233		117
Stryker Corp		3,476		1,060
Supernus Pharmaceuticals Inc *		2,174		65
Surmodics Inc *		1,169		37
Tactile Systems Technology Inc *		728		18
Tandem Diabetes Care Inc *		144		4
Teleflex Inc		742		180
Theravance Biopharma Inc *		2,200		23
Thermo Fisher Scientific Inc		4,827		2,518
Travere Therapeutics Inc *		3,434		53
Twist Bioscience Corp *		606		12
Ultragenyx Pharmaceutical Inc *		1,143		53
United Therapeutics Corp *		559		123
UnitedHealth Group Inc		11,675		5,611
Universal Health Services Inc, Cl B		80		13
US Physical Therapy Inc		428		52
Utah Medical Products Inc		515		48
Varex Imaging Corp *		1,631		38
Vaxcyte Inc *		1,042		52
Veeva Systems Inc, Cl A *		1,157		229
Veradigm Inc *		3,611		46
Vericel Corp *		1,218		46
Vertex Pharmaceuticals Inc *		3,305		1,163
Viatris Inc, Cl W		1,277		13
Waters Corp *		395		105
West Pharmaceutical Services Inc		1,875		717
Xencor Inc *		1,686		42
Y-mAbs Therapeutics Inc *		3,117		21
Zentalis Pharmaceuticals Inc *		497		14
Zimmer Biomet Holdings Inc		3,501		510
Zimvie Inc *		350		4
Zoetis Inc, Cl A		6,022		1,037

				70,439
Industrials — 8.9%
374Water *		37,665		90
3M Co		10,841		1,085
A O Smith Corp		1,708		124
AAON Inc		192		18


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
ABM Industries Inc		3,427	$	146
ACCO Brands Corp		5,214		27
Acuity Brands Inc		84		14
AerSale Corp *		12,013		177
AGCO Corp		149		20
Air Lease Corp, Cl A		1,053		44
Alamo Group Inc		86		16
Alaska Air Group Inc *		9,238		491
Albany International Corp, Cl A		652		61
Allegion PLC		855		103
Allison Transmission Holdings Inc		1,870		106
American Airlines Group Inc *		405		7
American Woodmark Corp *		461		35
AMETEK Inc		1,369		222
Amprius Technologies *		12,555		90
Apogee Enterprises Inc		1,229		58
Applied Industrial Technologies Inc		745		108
ArcBest Corp		336		33
Archer Aviation Inc, Cl A *		42,816		176
Arcosa Inc		1,128		86
Argan Inc		1,315		52
Armstrong World Industries Inc		161		12
ASGN Inc *		146		11
Astec Industries Inc		204		9
Astronics Corp *		3,653		73
Atkore Inc *		453		71
Automatic Data Processing Inc		9,709		2,134
Avis Budget Group Inc *		784		179
Axon Enterprise Inc *		2,519		492
AZZ Inc		1,071		47
Barnes Group Inc		807		34
BlackSky Technology *		55,215		123
Blink Charging Co *		1,491		9
Bloom Energy Corp, Cl A *		4,597		75
Brink's Co/The		540		37
Broadridge Financial Solutions Inc		720		119
Cadre Holdings Inc		1,351		29
Carlisle Cos Inc		311		80
Carrier Global Corp		6,184		307
CBIZ Inc *		1,805		96
Ceridian HCM Holding Inc *		792		53
CH Robinson Worldwide Inc		148		14
Chart Industries Inc *		576		92
Cintas Corp		1,907		948
Clarivate *		11,944		114
Clean Harbors Inc *		137		23
Comfort Systems USA Inc		988		162
Concentrix Corp		387		31
Construction Partners Inc, Cl A *		391		12
Copart Inc *		2,568		234
Crane		135		12
Crane NXT Co		135		8


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
CSG Systems International Inc		965	$	51
CSW Industrials Inc		116		19
CSX Corp		29,082		992
Cummins Inc		3,179		779
Custom Truck One Source *		15,463		104
Deere & Co		4,735		1,919
Delta Air Lines Inc		35,179		1,672
Deluxe Corp		981		17
Distribution Solutions Group *		2,445		127
Donaldson Co Inc		202		13
Dover Corp		383		57
Dycom Industries Inc *		1,064		121
Eaton Corp PLC		10,892		2,190
EMCOR Group Inc		565		104
Emerson Electric Co		6,592		596
Enerpac Tool Group Corp, Cl A		2,369		64
EnerSys		664		72
Enovix Corp *		4,020		73
EnPro Industries Inc		738		99
Enviri *		7,225		71
Equifax Inc		64		15
Esab Corp		485		32
ESCO Technologies Inc		568		59
ExlService Holdings Inc *		136		21
Expeditors International of Washington Inc		1,163		141
Exponent Inc		135		13
Fastenal Co		242		14
Federal Signal Corp		1,560		100
FedEx Corp		2,712		672
Flowserve Corp		239		9
Forrester Research Inc *		1,169		34
Fortune Brands Innovations Inc		174		13
Forward Air Corp		144		15
Franklin Electric Co Inc		180		19
FTC Solar Inc *		10,081		32
FTI Consulting Inc *		443		84
FuelCell Energy Inc *		8,509		18
Generac Holdings Inc *		203		30
General Electric Co		13,038		1,432
Genpact Ltd		6,870		258
Gibraltar Industries Inc *		164		10
Graco Inc		223		19
GrafTech International Ltd		954		5
Granite Construction Inc		1,780		71
Great Lakes Dredge & Dock Corp *		4,289		35
Greenbrier Cos Inc/The		1,583		68
GXO Logistics Inc *		1,041		65
Healthcare Services Group Inc		422		6
HEICO Corp		4,351		770
HEICO Corp, Cl A		2,955		416
Helios Technologies Inc		1,091		72
Herc Holdings Inc		1,012		139


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Hexcel Corp		17,118	$	1,301
Hillenbrand Inc		300		15
HireRight Holdings Corp *		4,409		50
HNI Corp		1,910		54
Howmet Aerospace Inc		7,379		366
Hubbell Inc, Cl B		78		26
Hyliion Holdings Corp *		4,149		7
ICF International Inc		545		68
IDEX Corp		68		15
Illinois Tool Works Inc		8,556		2,140
Ingersoll Rand Inc		2,900		190
Insperity Inc		592		70
Interface Inc, Cl A		23,910		210
ITT Inc		1,404		131
JB Hunt Transport Services Inc		437		79
JetBlue Airways Corp *		837		7
Joby Aviation *		15,834		162
John Bean Technologies Corp		439		53
Kadant Inc		65		14
Kaman Corp		36,136		879
Kelly Services Inc, Cl A		2,214		39
Kennametal Inc		1,343		38
Kforce Inc		444		28
Kirby Corp *		1,032		79
Knight-Swift Transportation Holdings Inc, Cl A		1,357		75
Korn Ferry		1,193		59
Landstar System Inc		83		16
Lennox International Inc		44		14
Leonardo DRS *		6,243		108
Li-Cycle Holdings Corp *		8,390		47
Lincoln Electric Holdings Inc		1,027		204
Lindsay Corp		91		11
Liquidity Services Inc *		2,249		37
Luxfer Holdings		3,194		45
Lyft Inc, Cl A *		7,511		72
ManpowerGroup Inc		3,586		285
Marten Transport Ltd		592		13
Masco Corp		245		14
Masterbrand Inc *		174		2
Matson Inc		1,273		99
Maximus Inc		682		58
McGrath RentCorp		666		62
MDU Resources Group Inc		386		8
Middleby Corp/The *		103		15
MillerKnoll Inc		2,900		43
MRC Global Inc *		3,597		36
MSC Industrial Direct Co Inc, Cl A		1,115		106
Nordson Corp		600		149
Norfolk Southern Corp		2,628		596
NOW Inc *		4,359		45
NV5 Global Inc *		202		22


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Old Dominion Freight Line Inc		42	$	16
Omega Flex Inc		70		7
OPENLANE Inc *		2,303		35
Oshkosh Corp		2,762		239
Otis Worldwide Corp		2,457		219
Owens Corning		4,958		647
PACCAR Inc		2,950		247
Park Aerospace Corp		965		13
Parker-Hannifin Corp		1,231		480
Paychex Inc		2,612		292
Paycom Software Inc		194		62
Paylocity Holding Corp *		417		77
Pentair PLC		245		16
Pitney Bowes Inc		11,792		42
Planet Labs PBC *		11,494		37
Plug Power Inc *		4,368		45
Primoris Services		1,960		60
Proto Labs Inc *		91		3
Quanta Services Inc		2,291		450
RB Global		132		8
RBC Bearings Inc *		64		14
Redwire Corp *		40,312		103
Regal Rexnord Corp		1,068		164
Republic Services Inc, Cl A		969		148
Resideo Technologies Inc *		448		8
Robert Half International Inc		806		61
Rocket Lab USA Inc *		16,898		101
Rockwell Automation Inc		1,620		534
Rollins Inc		3,532		151
RXO Inc *		1,041		24
Ryder System Inc		1,425		121
Saia Inc *		96		33
Schneider National Inc, Cl B		521		15
Shyft Group Inc/The		429		9
Simpson Manufacturing Co Inc		643		89
SiteOne Landscape Supply Inc *		361		60
Snap-on Inc		318		92
Southwest Airlines Co		322		12
SP Plus Corp *		1,169		46
Spirit AeroSystems Holdings Inc, Cl A		22,727		663
Spirit Airlines Inc		1,221		21
SPX Technologies Inc *		999		85
Stanley Black & Decker Inc		1,349		126
Steelcase Inc, Cl A		2,620		20
Stem Inc *		5,869		34
Stericycle Inc *		179		8
Sunrun Inc *		1,979		35
Tennant Co		639		52
Terex Corp		341		20
Tetra Tech Inc		564		92
Timken Co/The		204		19
Toro Co/The		1,175		119


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
TPI Composites Inc *		472	$	5
TransUnion		135		11
Trex Co Inc *		1,134		74
Trinity Industries Inc		511		13
Triton International Ltd		827		69
Triumph Group Inc *		1,853		23
TrueBlue Inc *		12,400		220
TTEC Holdings Inc		202		7
Uber Technologies Inc *		11,601		501
UFP Industries Inc		196		19
U-Haul Holding Co		28		2
U-Haul Holding Co, Cl B		252		13
UniFirst Corp/MA		235		36
Union Pacific Corp		7,120		1,457
United Airlines Holdings Inc *		289		16
United Parcel Service Inc, Cl B		8,569		1,536
United Rentals Inc		1,692		754
Univar Solutions Inc *		476		17
Upwork Inc *		3,753		35
Valmont Industries Inc		76		22
Verisk Analytics Inc, Cl A		1,729		391
Virgin Galactic Holdings Inc *		91,477		355
Wabash National Corp		3,217		83
Waste Management Inc		6,467		1,122
Watsco Inc		52		20
Watts Water Technologies Inc, Cl A		507		93
WESCO International Inc		3,661		656
Westinghouse Air Brake Technologies Corp		465		51
WillScot Mobile Mini Holdings Corp, Cl A *		590		28
Woodward Inc		139		17
WW Grainger Inc		2,142		1,689
XPO Inc *		1,041		61
Xylem Inc/NY		12,492		1,407
Zurn Elkay Water Solutions Corp		1,629		44

				48,039
Information Technology — 26.9%
8x8 Inc *		2,725		12
Accenture PLC, Cl A		11,297		3,486
ACI Worldwide Inc *		1,373		32
Adeia Inc		2,351		26
Adobe Inc *		8,090		3,956
ADTRAN Holdings Inc		979		10
Advanced Energy Industries Inc		725		81
Advanced Micro Devices Inc *		18,853		2,148
Agilysys Inc *		323		22
Akamai Technologies Inc *		7,949		714
Akoustis Technologies Inc *		2,669		8
Alarm.com Holdings Inc *		1,192		62
Altair Engineering Inc, Cl A *		269		20
Alteryx Inc, Cl A *		635		29
Ambarella Inc *		160		13
Amdocs Ltd		3,632		359


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Amkor Technology Inc		3,864	$	115
Amphenol Corp, Cl A		4,648		395
Analog Devices Inc		5,627		1,096
ANSYS Inc *		683		226
Appian Corp, Cl A *		1,246		59
Apple Inc		190,542		36,959
Applied Materials Inc		13,913		2,011
Arista Networks Inc *		3,072		498
Arlo Technologies Inc *		7,542		82
Arrow Electronics Inc *		1,639		235
Asana Inc, Cl A *		3,091		68
Aspen Technology Inc *		173		29
Atlassian Corp Ltd, Cl A *		76		13
Autodesk Inc *		3,559		728
Avnet Inc		325		16
Axcelis Technologies Inc *		1,474		270
Badger Meter Inc		775		114
Belden Inc		155		15
Benchmark Electronics Inc		1,447		37
Bentley Systems Inc, Cl B		1,422		77
BigCommerce Holdings Inc *		3,803		38
BILL Holdings Inc *		185		22
Black Knight Inc *		1,569		94
Blackbaud Inc *		629		45
Blackline Inc *		185		10
Box Inc, Cl A *		539		16
Broadcom Inc		4,787		4,152
Cadence Design Systems Inc *		2,312		542
CDW Corp/DE		806		148
Cerence Inc *		493		14
Ciena Corp *		1,223		52
Cirrus Logic Inc *		640		52
Cisco Systems Inc		73,689		3,813
Cloudflare Inc, Cl A *		1,522		99
Cognex Corp		203		11
Cognizant Technology Solutions Corp, Cl A		8,315		543
Coherent Corp *		265		14
CommScope Holding Co Inc *		7,086		40
CommVault Systems Inc *		219		16
Consensus Cloud Solutions Inc *		180		6
Corning Inc		6,104		214
Crowdstrike Holdings Inc, Cl A *		80		12
CTS Corp		301		13
Datadog Inc, Cl A *		1,589		156
Digital Turbine Inc *		4,674		43
DocuSign Inc, Cl A *		1,618		83
Dolby Laboratories Inc, Cl A		731		61
Domo Inc, Cl B *		297		4
Dropbox Inc, Cl A *		2,914		78
Dynatrace Inc *		465		24
Ebix Inc		299		8
Elastic NV *		183		12


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Enphase Energy Inc *		60	$	10
Envestnet Inc *		717		43
EPAM Systems Inc *		121		27
Extreme Networks Inc *		6,878		179
F5 Inc *		578		85
Fair Isaac Corp *		16		13
Fastly Inc, Cl A *		905		14
First Solar Inc *		3,538		673
Five9 Inc *		93		8
FormFactor Inc *		353		12
Fortinet Inc *		4,535		343
Gartner Inc *		326		114
Gen Digital Inc		4,737		88
Globant SA *		271		49
GoDaddy Inc, Cl A *		1,102		83
Guidewire Software Inc *		109		8
Hackett Group Inc/The		3,129		70
HubSpot Inc *		322		171
Infinera Corp *		6,579		32
Insight Enterprises Inc *		132		19
Intel Corp		51,878		1,735
InterDigital Inc		917		89
International Business Machines Corp		13,123		1,756
Intuit Inc		3,714		1,702
IPG Photonics Corp *		558		76
Itron Inc *		588		42
Jabil Inc		3,162		341
Juniper Networks Inc		7,826		245
Keysight Technologies Inc *		8,514		1,426
Kimball Electronics Inc *		2,142		59
KLA Corp		1,904		923
Knowles Corp *		2,314		42
Kulicke & Soffa Industries Inc		764		45
Kyndryl Holdings Inc *		2,624		35
Lam Research Corp		2,584		1,661
Lattice Semiconductor Corp *		369		35
Littelfuse Inc		60		17
Lumentum Holdings Inc *		660		37
Manhattan Associates Inc *		1,278		255
Marathon Digital Holdings Inc *		3,468		48
Marvell Technology Inc		7,143		427
Matterport Inc *		11,962		38
Microchip Technology Inc		1,268		114
Micron Technology Inc		11,221		708
Microsoft Corp		95,357		32,473
MicroStrategy Inc, Cl A *		69		24
MicroVision Inc *		2,858		13
MKS Instruments Inc		103		11
MongoDB Inc, Cl A *		574		236
Monolithic Power Systems Inc		64		35
N-able Inc *		317		5
National Instruments Corp		2,353		135


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
NCR Corp *		334	$	8
NetApp Inc		2,936		224
NetScout Systems Inc *		2,073		64
New Relic Inc *		952		62
Novanta Inc *		98		18
Nutanix Inc, Cl A *		359		10
NVIDIA Corp		32,100		13,579
Okta Inc, Cl A *		812		56
ON Semiconductor Corp *		9,649		913
Oracle Corp		24,339		2,899
OSI Systems Inc *		497		59
PagerDuty Inc *		1,821		41
Palantir Technologies Inc, Cl A *		12,031		184
Palo Alto Networks Inc *		2,616		668
Pegasystems Inc		150		7
Perficient Inc *		181		15
Plexus Corp *		589		58
Power Integrations Inc		196		19
Procore Technologies Inc *		1,013		66
Progress Software Corp		1,206		70
PROS Holdings Inc *		818		25
PTC Inc *		677		96
Pure Storage Inc, Cl A *		685		25
Qorvo Inc *		100		10
QUALCOMM Inc		17,833		2,123
Qualys Inc *		591		76
Rambus Inc *		3,633		233
Rapid7 Inc *		393		18
RingCentral Inc, Cl A *		699		23
Riot Platforms Inc *		3,379		40
Rogers Corp *		392		63
Roper Technologies Inc		187		90
Salesforce Inc *		16,945		3,580
Sanmina Corp *		189		11
ScanSource Inc *		1,292		38
Semtech Corp *		1,000		25
ServiceNow Inc *		2,243		1,261
Silicon Laboratories Inc *		437		69
Skyworks Solutions Inc		308		34
Smartsheet Inc, Cl A *		266		10
Snowflake Inc, Cl A *		3,330		586
SolarWinds Corp *		317		3
Splunk Inc *		1,357		144
SPS Commerce Inc *		152		29
Synaptics Inc *		142		12
Synopsys Inc *		1,235		538
TD SYNNEX Corp		387		36
Teledyne Technologies Inc *		31		13
Teradata Corp *		4,437		237
Teradyne Inc		4,784		533
Texas Instruments Inc		10,356		1,864
Trimble Inc *		2,035		108


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
TTM Technologies Inc *		3,386	$	47
Tucows Inc, Cl A *		170		5
Twilio Inc, Cl A *		2,168		138
Tyler Technologies Inc *		393		164
Ubiquiti Inc		48		8
UiPath Inc, Cl A *		4,174		69
Unisys Corp *		689		3
Unity Software Inc *		2,638		115
Universal Display Corp		2,553		368
Varonis Systems Inc, Cl B *		327		9
Verint Systems Inc *		947		33
VeriSign Inc *		802		181
ViaSat Inc *		693		29
Viavi Solutions Inc *		3,355		38
VMware Inc, Cl A *		3,153		453
Western Digital Corp *		2,423		92
Wolfspeed Inc *		248		14
Workday Inc, Cl A *		2,079		470
Workiva Inc, Cl A *		1,224		124
Xerox Holdings Corp		4,697		70
Xperi Inc *		940		12
Zebra Technologies Corp, Cl A *		438		130
Zoom Video Communications Inc, Cl A *		2,001		136
Zscaler Inc *		786		115

				145,081
Materials — 2.5%
AdvanSix Inc		1,143		40
Air Products and Chemicals Inc		4,688		1,404
Albemarle Corp		752		168
Alcoa Corp		5,657		192
Amcor PLC		4,821		48
AptarGroup Inc		1,944		225
Arconic Corp *		1,844		55
Ashland Inc		152		13
ATI Inc *		2,362		105
Avery Dennison Corp		88		15
Avient Corp		1,216		50
Axalta Coating Systems Ltd *		7,963		261
Balchem Corp		107		14
Ball Corp		15,648		911
Berry Global Group Inc		3,314		213
Cabot Corp		238		16
Carpenter Technology Corp		1,006		56
Celanese Corp, Cl A		93		11
CF Industries Holdings Inc		1,865		129
Chemours Co/The		2,832		105
Cleveland-Cliffs Inc *		11,888		199
Coeur Mining Inc *		6,945		20
Commercial Metals Co		1,211		64
Compass Minerals International Inc		851		29
Constellium SE, Cl A *		4,520		78
Corteva Inc		885		51


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Crown Holdings Inc		6,925	$	602
Dow Inc		6,392		340
DuPont de Nemours Inc		3,212		229
Eagle Materials Inc		126		24
Eastman Chemical Co		9,101		762
Ecolab Inc		2,293		428
FMC Corp		2,400		250
Freeport-McMoRan Inc		27,003		1,080
Graphic Packaging Holding Co		681		16
Greif Inc, Cl A		1,122		77
HB Fuller Co		158		11
Huntsman Corp		475		13
Ingevity Corp *		563		33
Innospec Inc		499		50
International Flavors & Fragrances Inc		2,307		184
International Paper Co		360		11
Knife River *		96		4
Livent Corp *		5,807		159
Louisiana-Pacific Corp		1,740		130
LyondellBasell Industries NV, Cl A		2,182		200
Martin Marietta Materials Inc		397		183
Minerals Technologies Inc		182		11
Mosaic Co/The		3,590		126
Newmont Corp		21,956		937
Novagold Resources Inc *		1,266		5
Nucor Corp		1,828		300
Packaging Corp of America		101		13
PPG Industries Inc		2,274		337
Quaker Chemical Corp		55		11
Reliance Steel & Aluminum Co		412		112
Royal Gold Inc		512		59
Schnitzer Steel Industries Inc, Cl A		1,418		43
Scotts Miracle-Gro Co/The		163		10
Sealed Air Corp		293		12
Sensient Technologies Corp		161		11
Sherwin-Williams Co/The		4,705		1,249
Sonoco Products Co		185		11
Southern Copper Corp		272		20
Steel Dynamics Inc		2,648		288
Stepan Co		138		13
Summit Materials Inc, Cl A *		447		17
Sylvamo Corp		32		1
TriMas Corp		1,583		44
Trinseo PLC		1,345		17
Tronox Holdings PLC		4,385		56
United States Lime & Minerals Inc		98		20
United States Steel Corp		3,709		93
Vulcan Materials Co		665		150
Warrior Met Coal Inc		969		38
Westlake Corp		137		16
Westrock Co		336		10


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Worthington Industries Inc		223	$	16

				13,304
Real Estate — 2.9%
Acadia Realty Trust ^‡		1,946		28
Agree Realty Corp ^‡		736		48
Alexander & Baldwin Inc ^‡		2,342		44
Alexandria Real Estate Equities Inc ^‡		1,497		170
American Homes 4 Rent, Cl A ^‡		375		13
American Tower Corp, Cl A ^‡		5,189		1,006
Anywhere Real Estate Inc *		4,621		31
Apartment Income Corp ^‡		304		11
Apartment Investment and Management Co, Cl A ^‡		1,711		15
Apple Hospitality Inc ^‡		718		11
AvalonBay Communities Inc ^‡		3,261		617
Boston Properties Inc ^‡		1,468		85
Brandywine Realty Trust ^‡		14,492		67
Brixmor Property Group Inc ^‡		4,703		103
Camden Property Trust ^‡		125		14
CareTrust Inc ^‡		2,438		48
CBRE Group Inc, Cl A *		17,256		1,393
Community Healthcare Trust Inc ^‡		1,136		38
Corporate Office Properties Trust ^‡		7,752		184
CoStar Group Inc *		3,260		290
Cousins Properties Inc ^‡		289		7
Crown Castle Inc ^‡		4,174		476
CubeSmart ^‡		377		17
DiamondRock Hospitality Co ^‡		4,575		37
Digital Realty Trust Inc ^‡		2,674		304
Douglas Emmett Inc ^‡		448		6
EastGroup Properties Inc ^‡		306		53
Elme Communities ^‡		1,705		28
Empire State Realty Trust Inc, Cl A ^‡		5,592		42
EPR Properties ^‡		735		34
Equinix Inc ^‡		1,035		811
Equity Commonwealth ^‡		846		17
Equity LifeStyle Properties Inc ^‡		167		11
Equity Residential ^‡		3,485		230
Essential Properties Realty Trust Inc ^‡		2,028		48
Essex Property Trust Inc ^‡		454		106
Extra Space Storage Inc ^‡		811		121
Federal Realty Investment Trust ^‡		114		11
First Industrial Realty Trust Inc ^‡		263		14
Four Corners Property Trust Inc ^‡		1,848		47
Gaming and Leisure Properties Inc ^‡		283		14
Global Net Lease Inc ^‡		2,484		26
Healthcare Realty Trust Inc, Cl A ^‡		392		7
Healthpeak Properties Inc ^‡		9,384		189
Highwoods Properties Inc ^‡		247		6
Host Hotels & Resorts Inc ^‡		17,568		296
Howard Hughes Corp/The *		795		63
Hudson Pacific Properties Inc ^‡		2,475		10


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Innovative Industrial Properties Inc, Cl A ^‡		59	$	4
Invitation Homes Inc ^‡		1,509		52
Iron Mountain Inc ^‡		5,996		341
JBG SMITH Properties ^‡		2,065		31
Jones Lang LaSalle Inc *		1,270		198
Kilroy Realty Corp ^‡		4,516		136
Kimco Realty Corp ^‡		5,716		113
Kite Realty Group Trust ^‡		3,286		73
Lamar Advertising Co, Cl A ^‡		1,059		105
Life Storage Inc ^‡		165		22
LTC Properties Inc ^‡		1,142		38
LXP Industrial Trust ^‡		966		9
Macerich Co/The ^‡		5,508		62
Marcus & Millichap Inc		1,380		43
Medical Properties Trust Inc ^‡		2,513		23
Mid-America Apartment Communities Inc ^‡		318		48
National Health Investors Inc ^‡		635		33
Newmark Group Inc, Cl A		3,753		23
Office Properties Income Trust ^‡		1,618		12
Omega Healthcare Investors Inc ^‡		1,229		38
Orion Office Inc ^‡		124		1
Outfront Media Inc ^‡		1,951		31
Paramount Group Inc ^‡		5,922		26
Park Hotels & Resorts Inc ^‡		1,996		26
Pebblebrook Hotel Trust ^‡		1,899		26
Physicians Realty Trust ^‡		2,753		39
Piedmont Office Realty Trust Inc, Cl A ^‡		2,333		17
PotlatchDeltic Corp ^‡		231		12
Prologis Inc ^‡		19,306		2,368
Public Storage ^‡		1,303		380
Rayonier Inc ^‡		1,593		50
RE/MAX Holdings Inc, Cl A		1,292		25
Realty Income Corp ^‡		4,725		283
Redfin Corp *		458		6
Regency Centers Corp ^‡		19,332		1,194
Rexford Industrial Realty Inc ^‡		241		13
RLJ Lodging Trust ^‡		2,849		29
RMR Group Inc/The, Cl A		1,095		25
RPT Realty ^‡		3,429		36
Ryman Hospitality Properties Inc ^‡		577		54
Safehold Inc ^‡		968		23
SBA Communications Corp, Cl A ^‡		684		159
Service Properties Trust ^‡		483		4
Simon Property Group Inc ^‡		3,706		428
SITE Centers Corp ^‡		3,734		49
SL Green Realty Corp ^‡		2,468		74
Spirit Realty Capital Inc ^‡		237		9
St Joe Co/The		460		22
STAG Industrial Inc ^‡		359		13
Star Holdings *^‡		480		7
Summit Hotel Properties Inc ^‡		4,173		27
Sun Communities Inc ^‡		272		35


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Tanger Factory Outlet Centers Inc ^‡		647	$	14
UDR Inc ^‡		250		11
Uniti Group Inc ^‡		1,247		6
Urban Edge Properties ^‡		2,679		41
Ventas Inc ^‡		3,279		155
VICI Properties Inc, Cl A ^‡		5,265		165
Vornado Realty Trust ^‡		2,903		53
Welltower Inc ^‡		4,270		345
Weyerhaeuser Co ^‡		17,005		570
WP Carey Inc ^‡		149		10
Xenia Hotels & Resorts Inc ^‡		2,347		29
Zillow Group Inc, Cl C *		1,112		56

				15,597
Utilities — 2.0%
AES Corp/The		5,282		109
ALLETE Inc		620		36
Alliant Energy Corp		213		11
Ameren Corp		141		11
American Electric Power Co Inc		5,930		499
American States Water Co		580		50
American Water Works Co Inc		2,717		388
Atmos Energy Corp		461		54
Avangrid Inc		1,720		65
CenterPoint Energy Inc		434		13
Clearway Energy Inc, Cl A		1,758		47
Clearway Energy Inc, Cl C		456		13
CMS Energy Corp		20,708		1,217
Consolidated Edison Inc		6,234		564
Constellation Energy Corp		631		58
Dominion Energy Inc		10,171		527
DTE Energy Co		876		96
Duke Energy Corp		11,833		1,062
Edison International		3,288		228
Entergy Corp		2,276		222
Essential Utilities Inc		331		13
Evergy Inc		180		11
Exelon Corp		11,090		452
FirstEnergy Corp		1,531		60
Hawaiian Electric Industries Inc		249		9
IDACORP Inc		108		11
MGE Energy Inc		631		50
National Fuel Gas Co		223		11
New Jersey Resources Corp		1,111		52
NextEra Energy Inc		27,072		2,009
NiSource Inc		419		11
Northwest Natural Holding Co		699		30
NRG Energy Inc		323		12
OGE Energy Corp		261		9
Ormat Technologies Inc		644		52
PG&E Corp *		692		12
Pinnacle West Capital Corp		2,640		215
PNM Resources Inc		975		44


Description	Shares		Market Value ($ Thousands)
COMMON STOCK^†^† (continued)
Portland General Electric Co		894	$	42
PPL Corp		2,577		68
Public Service Enterprise Group Inc		210		13
Sempra Energy		3,093		450
SJW Group		716		50
Southern Co/The		6,656		468
Sunnova Energy International Inc *		810		15
UGI Corp		253		7
Vistra Corp		2,088		55
WEC Energy Group Inc		2,560		226
Xcel Energy Inc		21,147		1,315

				11,042
Total Common Stock
(Cost $274,993) ($ Thousands)				530,190


FOREIGN COMMON STOCK^†^† — 1.0%

Ireland — 0.7%
Ardmore Shipping Corp		5,335		66
Cimpress PLC *		398		24
Jazz Pharmaceuticals PLC *		616		76
Linde PLC		4,706		1,793
Medtronic PLC		19,976		1,760
Perrigo Co PLC		211		7

				3,726

United Kingdom — 0.3%
Alkermes PLC *		2,433		76
Cushman & Wakefield PLC *		2,593		21
Gates Industrial Corp PLC *		886		12
Johnson Controls International PLC		8,308		566
nVent Electric PLC		457		24
Sensata Technologies Holding PLC		4,273		192
STERIS PLC		1,716		386
Trane Technologies PLC		1,779		341

				1,618

Total Foreign Common Stock
(Cost $4,112) ($ Thousands)				5,344


		Number of Rights
RIGHTS — 0.0%
Abiomed Inc *^‡^‡		332		–
Total Rights
(Cost $—) ($ Thousands)				–

A list of the open futures contracts held by the Fund at June 30, 2023 are as follows:

	Percentages are based on Net Assets of $540,035 ($ Thousands).
^†^†	Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.
^†	Investment in Affiliated Security (see Note 3).
^‡	Real Estate Investment Trust.
*	Non-income producing security.
**	The rate reported is the 7-day effective yield as of June 30, 2023.
^‡^‡	Expiration date not available.

The following is a summary of the level of inputs used as of June 30, 2023, 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

530,190

–

530,190

Foreign Common Stock

5,344

–

5,344

Rights

–

Cash Equivalent

2,867

–

2,867

Total Investments in Securities

538,401

–

538,401

Other Financial Instruments

Level 1
($)

Level 2
($)

Level 3
($)

Total
($)

Futures Contracts*

Unrealized Appreciation

–

Total Other Financial Instruments

–

This category includes securities with a value of $—.

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

The following is a summary of the Fund’s transactions with affiliates for the year ended June 30, 2023 ($ Thousands):

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

^† Percentages based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable.


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 44.5%
Agency Mortgage-Backed Obligations — 37.4%
FHLMC
6.500%, 12/01/2035 to 05/01/2053	$	539	$	553
6.000%, 03/01/2035 to 03/01/2053		763		786
5.500%, 12/01/2036 to 05/01/2053		1,501		1,504
5.000%, 04/01/2024 to 04/01/2053		1,253		1,244
4.500%, 06/01/2038 to 12/01/2052		3,379		3,305
4.278%, ICE LIBOR USD 12 Month + 1.598%, 06/01/2047(A)		338		335
4.118%, ICE LIBOR USD 12 Month + 1.625%, 10/01/2046(A)		511		509
4.000%, 07/01/2037 to 02/01/2053		2,772		2,648
3.500%, 04/01/2033 to 06/01/2052		2,865		2,649
3.098%, ICE LIBOR USD 12 Month + 1.621%, 02/01/2050(A)		115		109
3.005%, ICE LIBOR USD 12 Month + 1.628%, 11/01/2048(A)		361		338
3.000%, 09/01/2032 to 11/01/2051		3,747		3,352
2.872%, ICE LIBOR USD 12 Month + 1.619%, 11/01/2047(A)		114		108
2.500%, 08/01/2030 to 04/01/2052		9,015		7,807
2.000%, 10/01/2041 to 03/01/2052		5,731		4,742
1.500%, 11/01/2040 to 02/01/2051		1,462		1,184
FHLMC CMO, Ser 2011-3947, Cl SG, IO
0.757%, 10/15/2041(A)		71		6
FHLMC CMO, Ser 2012-4057, Cl UI, IO
3.000%, 05/15/2027		32		1


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2012-4085, Cl IO, IO
3.000%, 06/15/2027	$	70	$	2
FHLMC CMO, Ser 2012-4099, Cl ST, IO
0.807%, 08/15/2042(A)		44		4
FHLMC CMO, Ser 2013-4194, Cl BI, IO
3.500%, 04/15/2043		47		7
FHLMC CMO, Ser 2013-4203, Cl PS, IO
1.057%, 09/15/2042(A)		67		5
FHLMC CMO, Ser 2014-4310, Cl SA, IO
0.757%, 02/15/2044(A)		18		2
FHLMC CMO, Ser 2014-4335, Cl SW, IO
0.807%, 05/15/2044(A)		38		3
FHLMC CMO, Ser 2014-4415, Cl IO, IO
0.000%, 04/15/2041(A)(B)		18		1
FHLMC Multifamily Structured Pass Through Certificates, Ser 157, Cl A2
4.200%, 05/25/2033		200		196
FHLMC Multifamily Structured Pass Through Certificates, Ser K109, Cl A2
1.558%, 04/25/2030		100		83
FHLMC Multifamily Structured Pass Through Certificates, Ser K143, Cl A2
2.350%, 03/25/2032		100		85
FHLMC Multifamily Structured Pass Through Certificates, Ser K149, Cl A2
3.530%, 08/25/2032		200		186
FHLMC Multifamily Structured Pass-Through Certificates, Ser 1515, Cl X1, IO
1.636%, 02/25/2035(A)		2,286		263
FHLMC Multifamily Structured Pass-Through Certificates, Ser 1516, Cl X1, IO
1.629%, 05/25/2035(A)		844		99
FHLMC Multifamily Structured Pass-Through Certificates, Ser K118, Cl X1, IO
1.051%, 09/25/2030(A)		5,708		306
FHLMC Multifamily Structured Pass-Through Certificates, Ser K-1517, Cl X1, IO
1.436%, 07/25/2035(A)		235		25
FHLMC Multifamily Structured Pass-Through Certificates, Ser K740, Cl X1, IO
0.833%, 09/25/2027(A)		7,893		205
FHLMC Multifamily Structured Pass-Through Certificates, Ser KG06, Cl X1, IO
0.626%, 10/25/2031(A)		6,494		222
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2
6.567%, SOFR30A + 1.500%, 10/25/2041(A)(C)		230		224
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B
6.917%, SOFR30A + 1.850%, 01/25/2042(A)(C)		420		406


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC STACR REMIC Trust, Ser 2022-DNA2, Cl M1A
6.367%, SOFR30A + 1.300%, 02/25/2042(A)(C)	$	164	$	164
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A
7.267%, SOFR30A + 2.200%, 05/25/2042(A)(C)		248		249
FHLMC, Ser 2014-334, Cl S7, IO
0.907%, 08/15/2044(A)		21		2
FHLMC, Ser 2014-4391, Cl MZ
3.000%, 09/15/2044		130		112
FHLMC, Ser 2016-353, Cl S1, IO
0.807%, 12/15/2046(A)		65		6
FHLMC, Ser 2018-4813, Cl CJ
3.000%, 08/15/2048		29		25
FHLMC, Ser 2020-5010, Cl JI, IO
2.500%, 09/25/2050		241		38
FHLMC, Ser 2020-5010, Cl IK, IO
2.500%, 09/25/2050		267		39
FHLMC, Ser 2020-5013, Cl IN, IO
2.500%, 09/25/2050		81		12
FHLMC, Ser 2020-5018, Cl MI, IO
2.000%, 10/25/2050		84		11
FHLMC, Ser 2021-5071, Cl IH, IO
2.500%, 02/25/2051		502		68
FHLMC, Ser 2022-5224, Cl HL
4.000%, 04/25/2052		300		275
FNMA
7.000%, 11/01/2037 to 11/01/2038		12		12
6.500%, 01/01/2038 to 02/01/2053		382		395
6.000%, 07/01/2041 to 05/01/2053		292		299
5.500%, 02/01/2035 to 05/01/2053		1,714		1,718
5.000%, 11/01/2025 to 04/01/2053		3,280		3,265
4.680%, 07/01/2033		100		101
4.510%, 08/01/2033		400		403
4.500%, 02/01/2035 to 08/01/2058		6,554		6,402
4.393%, 01/01/2036(A)		20		19
4.310%, 02/01/2030		100		98
4.246%, ICE LIBOR USD 12 Month + 1.700%, 03/01/2036(A)		17		17
4.190%, ICE LIBOR USD 12 Month + 1.423%, 05/01/2043(A)		123		120
4.000%, 06/01/2025 to 06/01/2057		8,894		8,492
3.560%, 07/01/2032		100		93
3.500%, 04/01/2033 to 03/01/2057		9,505		8,808
3.450%, 03/01/2029		57		54
3.250%, 05/01/2029		77		72
3.000%, 07/01/2035 to 06/01/2052		10,661		9,567
2.930%, 06/01/2030		94		87
2.500%, 03/01/2035 to 09/01/2061		16,247		14,064
2.149%, 02/01/2032(A)		299		249


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
2.000%, 07/01/2031 to 04/01/2052	$	12,463	$	10,392
1.500%, 01/01/2051 to 03/01/2051		400		310
FNMA CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/2042		280		278
FNMA CMO, Ser 2012-93, Cl UI, IO
3.000%, 09/25/2027		105		4
FNMA CMO, Ser 2014-47, Cl AI, IO
0.000%, 08/25/2044(A)(B)		102		4
FNMA CMO, Ser 2015-55, Cl IO, IO
0.000%, 08/25/2055(A)(B)		12		–
FNMA CMO, Ser 2015-56, Cl AS, IO
1.000%, 08/25/2045(A)		30		3
FNMA Interest, Ser 2012-409, Cl C18, IO
4.000%, 04/25/2042		8		1
FNMA TBA
6.500%, 07/15/2053		100		102
6.000%, 07/15/2053		100		101
5.000%, 07/15/2053		300		294
4.000%, 07/15/2053		600		563
3.500%, 07/15/2053		800		729
3.000%, 07/15/2053		1,400		1,232
2.500%, 07/15/2053		600		509
2.000%, 07/15/2053		100		81
FNMA, Ser 2005-29, Cl ZA
5.500%, 04/25/2035		79		81
FNMA, Ser 2012-101, Cl BI, IO
4.000%, 09/25/2027		2		–
FNMA, Ser 2012-118, Cl VZ
3.000%, 11/25/2042		136		123
FNMA, Ser 2013-124, Cl SB, IO
0.800%, 12/25/2043(A)		21		2
FNMA, Ser 2013-26, Cl HI, IO
3.000%, 04/25/2032		1		–
FNMA, Ser 2013-54, Cl BS, IO
1.000%, 06/25/2043(A)		18		2
FNMA, Ser 2013-73, Cl IA, IO
3.000%, 09/25/2032		29		2
FNMA, Ser 2014-6, Cl Z
2.500%, 02/25/2044		127		105
FNMA, Ser 2017-76, Cl SB, IO
0.950%, 10/25/2057(A)		120		13
FNMA, Ser 2017-85, Cl SC, IO
1.050%, 11/25/2047(A)		59		5
FNMA, Ser 2018-74, Cl AB
3.500%, 10/25/2048		69		64
FNMA, Ser 2019-M19, Cl A2
2.560%, 09/25/2029		79		71
FNMA, Ser 2020-47, Cl GZ
2.000%, 07/25/2050		106		64
FNMA, Ser 2020-56, Cl AQ
2.000%, 08/25/2050		200		154


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA, Ser 2020-56, Cl DI, IO
2.500%, 08/25/2050	$	78	$	12
FNMA, Ser 2020-57, Cl TA
2.000%, 04/25/2050		103		88
FNMA, Ser 2020-96, Cl IN, IO
3.000%, 01/25/2051		719		114
FNMA, Ser 2021-1, Cl IG, IO
2.500%, 02/25/2051		428		70
FNMA, Ser 2021-61, Cl KI, IO
2.500%, 04/25/2049		537		73
FRESB Mortgage Trust, Ser 2018-SB48, Cl A10F
3.370%, 02/25/2028(A)		408		379
FRESB Mortgage Trust, Ser 2019-SB58, Cl A10F
3.610%, 10/25/2028(A)		568		535
GNMA
6.000%, 03/20/2053		99		100
5.500%, 02/20/2037 to 02/20/2053		354		355
5.000%, 12/20/2038 to 05/20/2053		1,466		1,460
4.600%, 09/15/2034		911		898
4.500%, 05/20/2040 to 09/20/2052		2,701		2,645
4.000%, 01/15/2041 to 06/20/2052		2,153		2,065
3.500%, 06/20/2044 to 12/20/2052		2,263		2,103
3.000%, 09/15/2042 to 12/20/2052		3,151		2,823
2.500%, 02/20/2027 to 02/20/2053		6,224		5,391
2.000%, 12/20/2050 to 01/20/2052		1,528		1,285
GNMA CMO, Ser 2012-34, Cl SA, IO
0.904%, 03/20/2042(A)		17		2
GNMA CMO, Ser 2012-H18, Cl NA
5.614%, ICE LIBOR USD 1 Month + 0.520%, 08/20/2062(A)		50		50
GNMA CMO, Ser 2012-H30, Cl GA
5.444%, ICE LIBOR USD 1 Month + 0.350%, 12/20/2062(A)		208		207
GNMA CMO, Ser 2013-85, Cl IA, IO
0.523%, 03/16/2047(A)		299		2
GNMA CMO, Ser 2013-95, Cl IO, IO
0.420%, 04/16/2047(A)		736		6
GNMA CMO, Ser 2013-H01, Cl TA
4.694%, ICE LIBOR USD 1 Month + 0.500%, 01/20/2063(A)		1		1
GNMA CMO, Ser 2013-H08, Cl BF
5.494%, ICE LIBOR USD 1 Month + 0.400%, 03/20/2063(A)		232		229
GNMA CMO, Ser 2014-105, Cl IO, IO
0.123%, 06/16/2054(A)		61		–
GNMA CMO, Ser 2014-186, Cl IO, IO
0.373%, 08/16/2054(A)		205		2
GNMA CMO, Ser 2015-H20, Cl FA
5.564%, ICE LIBOR USD 1 Month + 0.470%, 08/20/2065(A)		177		175


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA TBA
6.000%, 07/01/2034	$	100	$	101
5.000%, 07/01/2039		100		98
4.500%, 07/15/2039		200		193
4.000%, 07/01/2039		100		94
3.500%, 07/15/2041		600		554
2.500%, 07/15/2053		300		260
2.000%, 07/15/2053		200		168
GNMA, Ser 103, Cl AD
1.450%, 01/16/2063		117		90
GNMA, Ser 113, Cl Z
2.000%, 09/16/2061		2,244		1,439
GNMA, Ser 2013-107, Cl AD
2.841%, 11/16/2047(A)		38		34
GNMA, Ser 2013-H21, Cl FB
5.794%, ICE LIBOR USD 1 Month + 0.700%, 09/20/2063(A)		133		132
GNMA, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		45		8
GNMA, Ser 2018-168, Cl PA
4.000%, 08/20/2048		45		43
GNMA, Ser 2020-123, Cl NI, IO
2.500%, 08/20/2050		78		11
GNMA, Ser 2020-127, Cl IN, IO
2.500%, 08/20/2050		77		10
GNMA, Ser 2020-129, Cl IE, IO
2.500%, 09/20/2050		79		11
GNMA, Ser 2020-160, Cl YI, IO
2.500%, 10/20/2050		160		21
GNMA, Ser 2020-175, Cl GI, IO
2.000%, 11/20/2050		304		33
GNMA, Ser 2020-181, Cl WI, IO
2.000%, 12/20/2050		379		40
GNMA, Ser 2020-H04, Cl FP
4.938%, ICE LIBOR USD 1 Month + 0.500%, 06/20/2069(A)		119		118
GNMA, Ser 2020-H09, Cl FL
4.855%, ICE LIBOR USD 1 Month + 1.150%, 05/20/2070(A)		62		62
GNMA, Ser 2020-H13, Cl FA
4.423%, ICE LIBOR USD 1 Month + 0.450%, 07/20/2070(A)		389		375
GNMA, Ser 2020-H13, Cl FM
5.494%, ICE LIBOR USD 1 Month + 0.400%, 08/20/2070(A)		187		185
GNMA, Ser 2021-176, Cl IN, IO
2.500%, 10/20/2051		1,068		138
GNMA, Ser 2021-188, Cl PA
2.000%, 10/20/2051		222		186
GNMA, Ser 2021-57, Cl BI, IO
3.000%, 03/20/2051		1,377		201


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA, Ser 2021-96, Cl VI, IO
2.500%, 06/20/2051	$	1,241	$	163
GNMA, Ser 2022-189, Cl PT
2.500%, 10/20/2051		193		161
GNMA, Ser 220, Cl E
3.000%, 10/16/2064(A)		100		75
GNMA, Ser 3, Cl IO, IO
0.640%, 02/16/2061(A)		974		48
GNMA, Ser 82, Cl Z
2.000%, 02/16/2064		204		125


				130,376
Non-Agency Mortgage-Backed Obligations — 7.1%
280 Park Avenue Mortgage Trust, Ser 2017-280P, Cl A
6.062%, ICE LIBOR USD 1 Month + 0.880%, 09/15/2034(A)(C)		130		126
Atrium Hotel Portfolio Trust, Ser 2017-ATRM, Cl C
7.093%, ICE LIBOR USD 1 Month + 1.650%, 12/15/2036(A)(C)		410		382
Benchmark Mortgage Trust, Ser 2021-B26, Cl A3
2.391%, 06/15/2054		604		516
BPR Trust, Ser TY, Cl B
6.343%, ICE LIBOR USD 1 Month + 1.150%, 09/15/2038(A)(C)		370		344
BRAVO Residential Funding Trust, Ser 2021-NQM2, Cl A1
0.970%, 03/25/2060(A)(C)		27		25
BRAVO Residential Funding Trust, Ser 2022-NQM3, Cl A1
5.108%, 07/25/2062(A)(C)		345		332
BX Commercial Mortgage Trust, Ser 2019-XL, Cl A
6.182%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(A)(C)		808		802
BX Commercial Mortgage Trust, Ser AHP, Cl A
6.137%, TSFR1M + 0.990%, 01/17/2039(A)(C)		630		612
BX Commercial Mortgage Trust, Ser LP2, Cl A
6.160%, TSFR1M + 1.013%, 02/15/2039(A)(C)		381		369
BX Commercial Mortgage Trust, Ser VOLT, Cl A
5.893%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(A)(C)		635		614
BX Trust, Ser CLS, Cl A
5.760%, 10/13/2027(C)		534		514


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
BX Trust, Ser LBA6, Cl A
6.147%, TSFR1M + 1.000%, 01/15/2039(A)(C)	$	110	$	107
CAMB Commercial Mortgage Trust, Ser LIFE, Cl A
6.263%, ICE LIBOR USD 1 Month + 1.070%, 12/15/2037(A)(C)		110		109
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A
3.251%, 05/10/2035(C)		183		170
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS
4.017%, 10/10/2047		100		95
Citigroup Commercial Mortgage Trust, Ser 2016-P6, Cl AAB
3.512%, 12/10/2049		576		551
COLT Mortgage Loan Trust, Ser 2022-2, Cl A1
2.994%, 02/25/2067(C)(D)		82		72
COMM Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		20		18
COMM Mortgage Trust, Ser 2013-CR12, Cl C
5.201%, 10/10/2046(A)		10		5
COMM Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046(A)		20		15
Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1M2
6.717%, SOFR30A + 1.650%, 12/25/2041(A)(C)		440		426
Credit Suisse Mortgage Trust, Ser 2019-NQM1, Cl A3
3.064%, 10/25/2059(C)(D)		141		135
CSMC Trust, Ser 2014-USA, Cl B
4.185%, 09/15/2037(C)		470		378
CSMC Trust, Ser 2018-J1, Cl A2
3.500%, 02/25/2048(A)(C)		279		247
CSMC Trust, Ser 2021-NQM3, Cl A3
1.632%, 04/25/2066(A)(C)		158		129
CSMC Trust, Ser 2021-NQM5, Cl A1
0.938%, 05/25/2066(A)(C)		128		99
CSMC Trust, Ser 2021-NQM7, Cl A1
1.756%, 10/25/2066(A)(C)		103		85
CSMC Trust, Ser 2021-RPL3, Cl M3
3.910%, 01/25/2060(A)(C)		120		84
CSMC Trust, Ser 2021-RPL6, Cl A1
2.000%, 10/25/2060(A)(C)		131		113
CSMC Trust, Ser 2022-NQM1, Cl A1
2.265%, 11/25/2066(A)(C)		367		311
Deephaven Residential Mortgage Trust, Ser 2022-1, Cl A1
2.205%, 01/25/2067(A)(C)		287		251


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1
0.931%, 06/25/2066(A)(C)	$	287	$	227
Ellington Financial Mortgage Trust, Ser 2022-1, Cl A1
2.206%, 01/25/2067(A)(C)		96		80
GS Mortgage Securities II, Ser 2018-SRP5, Cl A
6.993%, ICE LIBOR USD 1 Month + 1.800%, 09/15/2031(A)(C)		556		456
GS Mortgage Securities II, Ser 2018-SRP5, Cl B
8.193%, ICE LIBOR USD 1 Month + 3.000%, 09/15/2031(A)(C)		386		204
GS Mortgage Securities Trust, Ser 2014-GC24, Cl A5
3.931%, 09/10/2047		419		404
GS Mortgage Securities Trust, Ser 2015-GC30, Cl A3
3.119%, 05/10/2050		951		900
GS Mortgage Securities Trust, Ser 2019-GC39, Cl A2
3.457%, 05/10/2052		466		455
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A
3.750%, 10/25/2057(C)		134		126
GS Mortgage-Backed Securities Trust, Ser 2020-INV1, Cl A14
2.927%, 10/25/2050(A)(C)		262		220
HarborView Mortgage Loan Trust, Ser 2005-9, Cl 2A1B
5.897%, ICE LIBOR USD 1 Month + 0.740%, 06/20/2035(A)		135		123
ILPT Commercial Mortgage Trust, Ser LPF2, Cl A
7.392%, TSFR1M + 2.245%, 10/15/2039(A)(C)		230		229
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl B
4.927%, 11/15/2045(A)		210		204
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B
5.048%, 01/15/2047(A)		30		27
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C
4.698%, 09/15/2047(A)		80		65
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C25, Cl A5
3.672%, 11/15/2047		578		554
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-FL7, Cl D
8.943%, ICE LIBOR USD 1 Month + 3.750%, 05/15/2028(A)(C)		115		102


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Ser ACB, Cl A
6.467%, SOFR30A + 1.400%, 03/15/2039(A)(C)	$	300	$	294
JPMorgan Mortgage Trust, Ser 2015-5, Cl A9
6.347%, 05/25/2045(A)(C)		17		17
JPMorgan Mortgage Trust, Ser 2018-3, Cl A1
3.500%, 09/25/2048(A)(C)		87		76
MAD Mortgage Trust, Ser 2017-330M, Cl A
3.294%, 08/15/2034(A)(C)		220		202
Metlife Securitization Trust, Ser 2020-INV1, Cl A2A
2.500%, 05/25/2050(A)(C)		255		208
Mill City Mortgage Loan Trust, Ser 2019-1, Cl A1
3.250%, 10/25/2069(A)(C)		166		156
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30, Ser C30, Cl A4
2.600%, 09/15/2049		471		432
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C24, Cl A4
3.732%, 05/15/2048		473		449
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5
3.635%, 10/15/2048		510		481
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2017-C34, Cl ASB
3.354%, 11/15/2052		508		480
Morgan Stanley Capital I Trust, Ser 2019-BPR, Cl A
7.093%, ICE LIBOR USD 1 Month + 1.650%, 05/15/2036(A)(C)		252		244
MSCG Trust, Ser 2015-ALDR, Cl A2
3.577%, 06/07/2035(A)(C)		410		374
MTN Commercial Mortgage Trust, Ser LPFL, Cl A
6.544%, TSFR1M + 1.397%, 03/15/2039(A)(C)		410		402
Natixis Commercial Mortgage Securities Trust, Ser 2019-FAME, Cl B
3.655%, 08/15/2036(C)		410		309
New Residential Mortgage Loan Trust, Ser 2018-RPL1, Cl M2
3.500%, 12/25/2057(A)(C)		240		195
New Residential Mortgage Loan Trust, Ser 2019-4A, Cl A1B
3.500%, 12/25/2058(A)(C)		154		140
New Residential Mortgage Loan Trust, Ser 2019-6A, Cl B2
4.250%, 09/25/2059(A)(C)		196		177


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
New Residential Mortgage Loan Trust, Ser 2019-6A, Cl B1
4.000%, 09/25/2059(A)(C)	$	196	$	178
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1
2.492%, 09/25/2059(A)(C)		91		82
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A3
1.516%, 11/27/2056(A)(C)		64		51
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1
1.156%, 11/27/2056(A)(C)		99		80
New Residential Mortgage Loan Trust, Ser 2022-NQM4, Cl A1
5.000%, 06/25/2062(C)(D)		336		324
OBX Trust, Ser 2021-NQM2, Cl A3
1.563%, 05/25/2061(A)(C)		203		154
OBX Trust, Ser 2021-NQM2, Cl A1
1.101%, 05/25/2061(A)(C)		246		191
OBX Trust, Ser 2021-NQM3, Cl A1
1.054%, 07/25/2061(A)(C)		142		107
OBX Trust, Ser 2022-NQM1, Cl A1
2.305%, 11/25/2061(A)(C)		343		287
Onslow Bay Mortgage Loan Trust, Ser 2021-NQM4, Cl A1
1.957%, 10/25/2061(A)(C)		224		181
PRKCM Trust, Ser 2021-AFC1, Cl A1
1.510%, 08/25/2056(A)(C)		196		153
PRKCM Trust, Ser 2021-AFC2, Cl A1
2.071%, 11/25/2056(A)(C)		136		111
Provident Funding Mortgage Trust, Ser 2021-INV1, Cl A1
2.500%, 08/25/2051(A)(C)		540		434
Residential Mortgage Loan Trust, Ser 2019-3, Cl A2
2.941%, 09/25/2059(A)(C)		40		39
Residential Mortgage Loan Trust, Ser 2019-3, Cl A3
3.044%, 09/25/2059(A)(C)		40		38
Residential Mortgage Loan Trust, Ser 2020-2, Cl A1
1.654%, 05/25/2060(A)(C)		39		38
Seasoned Credit Risk Transfer Trust Series, Ser 2017-2, Cl MA
3.000%, 08/25/2056		191		176
Seasoned Credit Risk Transfer Trust, Ser 2018-4, Cl MA
3.500%, 03/25/2058		495		464
Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl MA
3.500%, 07/25/2058		410		384


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Seasoned Credit Risk Transfer Trust, Ser 2019-2, Cl MA
3.500%, 08/25/2058	$	567	$	529
Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl MA
3.000%, 02/25/2059		743		678
Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl MA
2.000%, 11/25/2059		272		241
Seasoned Credit Risk Transfer Trust, Ser 2022-1, Cl MAU
3.250%, 11/25/2061		894		809
Sequoia Mortgage Trust, Ser 2021-1, Cl A1
2.500%, 03/25/2051(A)(C)		106		86
SG Residential Mortgage Trust, Ser 2022-1, Cl A1
3.166%, 03/27/2062(A)(C)		378		332
Shops at Crystals Trust, Ser 2016-CSTL, Cl A
3.126%, 07/05/2036(C)		100		90
SLG Office Trust, Ser 2021-OVA, Cl A
2.585%, 07/15/2041(C)		510		409
Towd Point Mortgage Trust, Ser 2019-HY2, Cl M2
7.050%, ICE LIBOR USD 1 Month + 1.900%, 05/25/2058(A)(C)		100		98
UBS-Barclays Commercial Mortgage Trust, Ser 2012-CN, Cl XA, IO
0.663%, 05/10/2063(A)(C)		48		–
Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS3, Cl ASB
3.371%, 09/15/2057		76		73
Wells Fargo Commercial Mortgage Trust, Ser C29, Cl A4
3.637%, 06/15/2048		606		575
WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl B
4.535%, 10/15/2057(A)		270		251
WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl XA, IO
0.694%, 10/15/2057(A)		901		4


				24,695
Total Mortgage-Backed Securities
(Cost $169,221) ($ Thousands)				155,071



CORPORATE OBLIGATIONS — 28.3%
Communication Services — 2.4%
Alphabet
2.050%, 08/15/2050		30		19
1.900%, 08/15/2040		40		28


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
1.100%, 08/15/2030	$	40	$	32
0.450%, 08/15/2025		20		18
AT&T
4.250%, 03/01/2027		150		146
2.550%, 12/01/2033		492		386
2.300%, 06/01/2027		120		108
1.650%, 02/01/2028		400		344
Charter Communications Operating
5.050%, 03/30/2029		220		210
4.908%, 07/23/2025		490		480
4.800%, 03/01/2050		40		30
4.400%, 04/01/2033		110		97
3.750%, 02/15/2028		200		183
Comcast
4.250%, 10/15/2030		40		38
4.150%, 10/15/2028		250		242
3.950%, 10/15/2025		210		205
3.750%, 04/01/2040		20		17
3.450%, 02/01/2050		40		30
3.400%, 04/01/2030		140		129
3.300%, 04/01/2027		30		28
3.250%, 11/01/2039		30		24
3.150%, 03/01/2026		30		29
2.937%, 11/01/2056		27		18
2.800%, 01/15/2051		30		20
Fox
4.709%, 01/25/2029		30		29
Prosus MTN
3.061%, 07/13/2031 (C)		410		320
TCI Communications
7.875%, 02/15/2026		240		255
T-Mobile USA
3.875%, 04/15/2030		390		359
3.750%, 04/15/2027		20		19
3.500%, 04/15/2025		369		355
2.550%, 02/15/2031		190		158
2.050%, 02/15/2028		20		17
Verizon Communications
4.862%, 08/21/2046		40		37
4.500%, 08/10/2033		30		28
4.329%, 09/21/2028		435		419
4.125%, 08/15/2046		40		33
4.000%, 03/22/2050		40		33
3.875%, 02/08/2029		30		28
3.850%, 11/01/2042		10		8
3.000%, 03/22/2027		120		112
2.650%, 11/20/2040		300		209
2.550%, 03/21/2031		1,264		1,055
2.355%, 03/15/2032		983		791
2.100%, 03/22/2028		90		79
Walt Disney
3.350%, 03/24/2025		223		216


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Warnermedia Holdings
6.412%, 03/15/2026	$	80	$	80
4.279%, 03/15/2032		330		293
4.054%, 03/15/2029		447		409
3.755%, 03/15/2027		190		177

				8,380

Consumer Discretionary — 1.6%
Amazon.com
4.250%, 08/22/2057		10		9
3.450%, 04/13/2029		160		151
3.300%, 04/13/2027		140		133
3.150%, 08/22/2027		470		442
1.200%, 06/03/2027		20		18
Aptiv
3.250%, 03/01/2032		639		547
Ferguson Finance
4.500%, 10/24/2028 (C)		459		440
3.250%, 06/02/2030 (C)		851		738
General Motors
5.600%, 10/15/2032		210		203
Home Depot
3.900%, 12/06/2028		10		10
3.900%, 06/15/2047		10		9
3.350%, 04/15/2050		50		38
3.300%, 04/15/2040		40		32
2.875%, 04/15/2027		170		160
2.500%, 04/15/2027		450		417
Honda Motor
2.534%, 03/10/2027		632		582
LKQ
5.750%, 06/15/2028 (C)		682		680
Lowe's
4.500%, 04/15/2030		30		29
1.700%, 09/15/2028		80		68
McDonald's MTN
4.200%, 04/01/2050		70		61
3.800%, 04/01/2028		280		268
3.700%, 01/30/2026		10		10
3.625%, 09/01/2049		10		8
3.500%, 03/01/2027		20		19
3.500%, 07/01/2027		10		9
3.300%, 07/01/2025		50		48
1.450%, 09/01/2025		10		9
NIKE
3.375%, 03/27/2050		30		24
2.750%, 03/27/2027		40		38
2.400%, 03/27/2025		40		38
Target
2.250%, 04/15/2025		80		76


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Toyota Motor
1.339%, 03/25/2026	$	210	$	191

				5,505

Consumer Staples — 0.5%
Cargill
1.375%, 07/23/2023 (C)		70		70
Coca-Cola
3.375%, 03/25/2027		30		29
2.600%, 06/01/2050		10		7
1.450%, 06/01/2027		80		71
Costco Wholesale
1.600%, 04/20/2030		90		75
1.375%, 06/20/2027		120		106
Hershey
0.900%, 06/01/2025		20		18
Kimberly-Clark
3.100%, 03/26/2030		20		18
Kroger
7.700%, 06/01/2029		565		632
Mars
3.200%, 04/01/2030 (C)		30		27
2.700%, 04/01/2025 (C)		60		58
Mondelez International
1.500%, 05/04/2025		180		168
PepsiCo
3.900%, 07/18/2032		90		87
2.625%, 03/19/2027		10		9
2.250%, 03/19/2025		10		10
1.625%, 05/01/2030		70		58
Procter & Gamble
3.000%, 03/25/2030		40		37
2.800%, 03/25/2027		10		9
Walmart
1.800%, 09/22/2031		160		133

				1,622

Energy — 2.4%
Berkshire Hathaway Energy
3.700%, 07/15/2030		140		129
BP Capital Markets America
3.633%, 04/06/2030		50		46
3.410%, 02/11/2026		90		87
3.119%, 05/04/2026		170		162
Cameron LNG
2.902%, 07/15/2031 (C)		60		52
Continental Resources
5.750%, 01/15/2031 (C)		10		9
4.375%, 01/15/2028		120		113
3.800%, 06/01/2024		190		186
Coterra Energy
4.375%, 03/15/2029		300		280


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.900%, 05/15/2027	$	160	$	151
Devon Energy
5.850%, 12/15/2025		210		211
5.250%, 10/15/2027		64		63
5.000%, 06/15/2045		70		61
4.500%, 01/15/2030		32		30
Diamondback Energy
3.500%, 12/01/2029		50		45
3.250%, 12/01/2026		30		28
3.125%, 03/24/2031		40		34
Ecopetrol
5.375%, 06/26/2026		140		134
Energy Transfer
4.950%, 06/15/2028		10		10
4.500%, 11/01/2023		60		60
3.750%, 05/15/2030		220		198
2.900%, 05/15/2025		140		133
Enterprise Products Operating
4.800%, 02/01/2049		30		28
4.200%, 01/31/2050		10		8
4.150%, 10/16/2028		140		134
3.950%, 02/15/2027		150		145
3.950%, 01/31/2060		10		8
3.700%, 01/31/2051		80		61
3.125%, 07/31/2029		210		188
2.800%, 01/31/2030		230		201
EOG Resources
4.375%, 04/15/2030		190		186
4.150%, 01/15/2026		160		156
EQT
6.125%, 02/01/2025		56		56
3.900%, 10/01/2027		140		129
KazMunayGas National JSC
5.375%, 04/24/2030 (C)		400		371
Kinder Morgan
5.550%, 06/01/2045		20		18
4.300%, 06/01/2025		60		59
Lukoil Capital DAC
3.600%, 10/26/2031 (C)		230		176
Occidental Petroleum
5.550%, 03/15/2026		170		168
3.400%, 04/15/2026		80		74
3.200%, 08/15/2026		130		118
3.000%, 02/15/2027		130		116
0.000%, 10/10/2036 (E)		1,346		715
Oncor Electric Delivery
4.150%, 06/01/2032		300		285
Petrobras Global Finance BV
6.850%, 06/05/2115		150		130
Petroleos del Peru
4.750%, 06/19/2032 (C)		400		306


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Pioneer Natural Resources
2.150%, 01/15/2031	$	70	$	58
1.900%, 08/15/2030		220		178
1.125%, 01/15/2026		50		45
Reliance Industries
3.625%, 01/12/2052 (C)		250		178
Schlumberger Holdings
3.900%, 05/17/2028 (C)		456		430
Shell International Finance BV
3.250%, 05/11/2025		150		145
3.250%, 04/06/2050		110		82
2.875%, 05/10/2026		90		85
2.750%, 04/06/2030		40		36
Sinopec Group Overseas Development
4.375%, 04/10/2024 (C)		290		287
Targa Resources
5.200%, 07/01/2027		170		167
Tennessee Gas Pipeline
2.900%, 03/01/2030 (C)		160		137
Transcontinental Gas Pipe Line
3.250%, 05/15/2030		100		89
Western Midstream Operating
4.300%, 02/01/2030		20		18
3.350%, 02/01/2025		30		29
Williams
5.100%, 09/15/2045		70		63
4.900%, 01/15/2045		90		78
3.750%, 06/15/2027		390		368
3.500%, 11/15/2030		20		18

				8,549

Financials — 12.4%
American Express
4.050%, 05/03/2029		200		191
3.375%, 05/03/2024		140		137
American International Group
2.500%, 06/30/2025		26		24
Aviation Capital Group
4.125%, 08/01/2025 (C)		160		149
1.950%, 01/30/2026 (C)		567		505
Banco Santander
4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (A)		200		187
2.746%, 05/28/2025		200		188
Bank of America
6.204%, U.S. SOFR + 1.990%, 11/10/2028 (A)		584		600
3.841%, U.S. SOFR + 1.110%, 04/25/2025 (A)		100		98
3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (A)		234		215


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.592%, U.S. SOFR + 2.150%, 04/29/2031 (A)	$	380	$	319
2.572%, U.S. SOFR + 1.210%, 10/20/2032 (A)		240		195
1.734%, U.S. SOFR + 0.960%, 07/22/2027 (A)		2,006		1,791
Bank of America MTN
4.376%, U.S. SOFR + 1.580%, 04/27/2028 (A)		100		96
4.250%, 10/22/2026		10		9
4.200%, 08/26/2024		210		206
4.125%, 01/22/2024		370		367
4.100%, 07/24/2023		280		280
4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (A)		40		33
4.000%, 04/01/2024		440		435
4.000%, 01/22/2025		80		78
3.974%, ICE LIBOR USD 3 Month + 1.210%, 02/07/2030 (A)		80		74
3.593%, ICE LIBOR USD 3 Month + 1.370%, 07/21/2028 (A)		210		195
3.500%, 04/19/2026		130		125
2.972%, U.S. SOFR + 1.330%, 02/04/2033 (A)		200		167
Bank of Montreal MTN
1.850%, 05/01/2025		130		121
Bank of New York Mellon MTN
4.289%, U.S. SOFR + 1.418%, 06/13/2033 (A)		320		303
3.300%, 08/23/2029		790		708
1.600%, 04/24/2025		40		38
Bank of Nova Scotia
1.300%, 06/11/2025		70		64
Blackstone Holdings Finance
1.600%, 03/30/2031 (C)		590		438
BNP Paribas
5.198%, ICE LIBOR USD 3 Month + 2.567%, 01/10/2030 (A)(C)		200		193
5.125%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.450%, 01/13/2029 (A)(C)		270		264
4.705%, ICE LIBOR USD 3 Month + 2.235%, 01/10/2025 (A)(C)		270		267
4.400%, 08/14/2028 (C)		200		189
2.871%, U.S. SOFR + 1.387%, 04/19/2032 (A)(C)		200		164
1.675%, U.S. SOFR + 0.912%, 06/30/2027 (A)(C)		290		256
BPCE
1.625%, 01/14/2025 (C)		1,085		1,013
Capital One Financial
4.927%, U.S. SOFR + 2.057%, 05/10/2028 (A)		30		29


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.300%, 10/30/2024	$	480	$	461
Carlyle Finance Subsidiary
3.500%, 09/19/2029 (C)		716		628
Charles Schwab
3.850%, 05/21/2025		110		106
Citigroup
8.125%, 07/15/2039		12		15
5.500%, 09/13/2025		450		447
5.300%, 05/06/2044		31		29
4.658%, U.S. SOFR + 1.887%, 05/24/2028 (A)		140		136
4.650%, 07/30/2045		28		25
4.450%, 09/29/2027		120		114
4.412%, U.S. SOFR + 3.914%, 03/31/2031 (A)		100		94
4.400%, 06/10/2025		160		155
4.300%, 11/20/2026		40		38
4.125%, 07/25/2028		40		38
4.075%, ICE LIBOR USD 3 Month + 1.192%, 04/23/2029 (A)		240		226
3.785%, U.S. SOFR + 1.939%, 03/17/2033 (A)		250		221
3.668%, ICE LIBOR USD 3 Month + 1.390%, 07/24/2028 (A)		340		318
3.400%, 05/01/2026		354		337
3.200%, 10/21/2026		287		269
3.106%, U.S. SOFR + 2.842%, 04/08/2026 (A)		150		143
2.572%, U.S. SOFR + 2.107%, 06/03/2031 (A)		200		167
2.520%, U.S. SOFR + 1.177%, 11/03/2032 (A)		110		89
Cooperatieve Rabobank UA
4.375%, 08/04/2025		500		483
3.649%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.220%, 04/06/2028 (A)(C)		580		537
Credit Agricole MTN
1.907%, U.S. SOFR + 1.676%, 06/16/2026 (A)(C)		250		230
Credit Suisse NY
7.950%, 01/09/2025		250		255
5.000%, 07/09/2027		530		512
4.750%, 08/09/2024		250		244
2.950%, 04/09/2025		250		235
Danske Bank
4.298%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 04/01/2028 (A)(C)		240		224
3.773%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.450%, 03/28/2025 (A)(C)		310		303


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Equitable Financial Life Global Funding
1.400%, 07/07/2025 (C)	$	673	$	612
GA Global Funding Trust
3.850%, 04/11/2025 (C)		1,114		1,061
Goldman Sachs Group
4.387%, U.S. SOFR + 1.510%, 06/15/2027 (A)		400		389
4.250%, 10/21/2025		190		183
4.223%, ICE LIBOR USD 3 Month + 1.301%, 05/01/2029 (A)		650		614
3.691%, ICE LIBOR USD 3 Month + 1.510%, 06/05/2028 (A)		400		376
3.615%, U.S. SOFR + 1.846%, 03/15/2028 (A)		30		28
3.500%, 04/01/2025		80		77
3.500%, 11/16/2026		90		84
2.650%, U.S. SOFR + 1.264%, 10/21/2032 (A)		110		90
Goldman Sachs Group MTN
4.000%, 03/03/2024		420		415
Guardian Life Global Funding
1.100%, 06/23/2025 (C)		30		27
HSBC Holdings PLC
4.583%, ICE LIBOR USD 3 Month + 1.535%, 06/19/2029 (A)		200		188
Intercontinental Exchange
4.600%, 03/15/2033		70		68
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (C)		200		194
JPMorgan Chase
4.565%, U.S. SOFR + 1.750%, 06/14/2030 (A)		998		959
4.452%, ICE LIBOR USD 3 Month + 1.330%, 12/05/2029 (A)		200		191
4.203%, ICE LIBOR USD 3 Month + 1.260%, 07/23/2029 (A)		773		735
4.023%, ICE LIBOR USD 3 Month + 1.000%, 12/05/2024 (A)		230		228
4.005%, ICE LIBOR USD 3 Month + 1.120%, 04/23/2029 (A)		100		94
3.875%, 09/10/2024		290		283
3.845%, U.S. SOFR + 0.980%, 06/14/2025 (A)		1,180		1,154
2.545%, U.S. SOFR + 1.180%, 11/08/2032 (A)		110		90
2.522%, U.S. SOFR + 2.040%, 04/22/2031 (A)		190		161
2.083%, U.S. SOFR + 1.850%, 04/22/2026 (A)		130		122
KKR Group Finance VI
3.750%, 07/01/2029 (C)		1,149		1,023
Lincoln National
3.400%, 01/15/2031		451		381


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Macquarie Bank
2.300%, 01/22/2025 (C)	$	1,188	$	1,127
Mitsubishi UFJ Financial Group
3.837%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.125%, 04/17/2026 (A)		200		192
3.407%, 03/07/2024		510		502
Moody's
2.000%, 08/19/2031		1,000		806
Morgan Stanley MTN
3.772%, ICE LIBOR USD 3 Month + 1.140%, 01/24/2029 (A)		150		140
3.622%, U.S. SOFR + 3.120%, 04/01/2031 (A)		475		428
2.699%, U.S. SOFR + 1.143%, 01/22/2031 (A)		200		170
2.188%, U.S. SOFR + 1.990%, 04/28/2026 (A)		400		376
NatWest Group
4.269%, ICE LIBOR USD 3 Month + 1.762%, 03/22/2025 (A)		200		196
New York Life Global Funding
0.950%, 06/24/2025 (C)		60		55
Peachtree Corners Funding Trust
3.976%, 02/15/2025 (C)		944		909
PNC Financial Services Group
5.812%, U.S. SOFR + 1.322%, 06/12/2026 (A)		240		239
Principal Life Global Funding II
1.250%, 06/23/2025 (C)		20		18
Royal Bank of Canada MTN
6.000%, 11/01/2027		1,209		1,238
1.150%, 06/10/2025		70		65
State Street
4.164%, U.S. SOFR + 1.726%, 08/04/2033 (A)		1,095		1,014
3.152%, U.S. SOFR + 2.650%, 03/30/2031 (A)		50		44
Swedbank
1.538%, 11/16/2026 (C)		400		350
Toronto-Dominion Bank MTN
4.693%, 09/15/2027		1,951		1,909
4.456%, 06/08/2032		210		199
3.200%, 03/10/2032		807		698
1.150%, 06/12/2025		80		74
Truist Financial MTN
6.047%, U.S. SOFR + 2.050%, 06/08/2027 (A)		90		90
UBS Group
4.253%, 03/23/2028 (C)		250		232
4.125%, 04/15/2026 (C)		634		605


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (A)(C)	$	575	$	448
UBS Group AG
4.194%, U.S. SOFR + 3.730%, 04/01/2031 (A)(C)		250		223
US Bancorp
5.775%, U.S. SOFR + 2.020%, 06/12/2029 (A)		100		100
3.375%, 02/05/2024		540		532
1.450%, 05/12/2025		160		149
US Bancorp MTN
2.215%, U.S. SOFR + 0.730%, 01/27/2028 (A)		60		53
USAA Capital
2.125%, 05/01/2030 (C)		150		125
Wells Fargo
3.000%, 10/23/2026		190		176
2.188%, U.S. SOFR + 2.000%, 04/30/2026 (A)		130		122
Wells Fargo MTN
5.013%, U.S. SOFR + 4.502%, 04/04/2051 (A)		380		354
4.900%, 11/17/2045		30		26
4.540%, U.S. SOFR + 1.560%, 08/15/2026 (A)		300		293
4.478%, U.S. SOFR + 4.032%, 04/04/2031 (A)		220		209
4.300%, 07/22/2027		200		192
3.750%, 01/24/2024		540		534
3.350%, U.S. SOFR + 1.500%, 03/02/2033 (A)		40		34
2.879%, TSFR3M + 1.432%, 10/30/2030 (A)		100		86
2.393%, U.S. SOFR + 2.100%, 06/02/2028 (A)		290		259

				43,208

Health Care — 2.1%
Abbott Laboratories
3.400%, 11/30/2023		175		173
AbbVie
4.250%, 11/21/2049		30		26
3.800%, 03/15/2025		40		39
3.750%, 11/14/2023		20		20
3.600%, 05/14/2025		10		10
3.200%, 11/21/2029		150		135
2.950%, 11/21/2026		20		19
2.600%, 11/21/2024		140		134
Becton Dickinson
4.685%, 12/15/2044		36		32
3.734%, 12/15/2024		7		7
3.363%, 06/06/2024		186		182


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Bristol-Myers Squibb
3.400%, 07/26/2029	$	16	$	15
3.200%, 06/15/2026		79		75
2.900%, 07/26/2024		154		150
Cigna
4.375%, 10/15/2028		420		406
4.125%, 11/15/2025		200		195
3.750%, 07/15/2023		16		16
3.500%, 06/15/2024		160		157
1.250%, 03/15/2026		725		651
CommonSpirit Health
6.073%, 11/01/2027		890		907
CVS Health
5.050%, 03/25/2048		60		55
4.300%, 03/25/2028		164		158
3.875%, 07/20/2025		95		92
3.625%, 04/01/2027		180		171
2.125%, 09/15/2031		150		121
1.875%, 02/28/2031		20		16
1.750%, 08/21/2030		200		160
CVS Pass-Through Trust
7.507%, 01/10/2032 (C)		912		952
5.773%, 01/10/2033 (C)		329		316
Elevance Health
4.100%, 05/15/2032		80		75
Gilead Sciences
2.500%, 09/01/2023		50		50
Humana
4.500%, 04/01/2025		10		10
3.700%, 03/23/2029		160		146
2.150%, 02/03/2032		30		24
Johnson & Johnson
0.950%, 09/01/2027		100		87
0.550%, 09/01/2025		50		46
Kenvue
5.350%, 03/22/2026 (C)		150		151
5.050%, 03/22/2028 (C)		200		202
Merck
1.900%, 12/10/2028		430		376
1.450%, 06/24/2030		50		41
0.750%, 02/24/2026		80		72
Pfizer
2.625%, 04/01/2030		100		89
1.700%, 05/28/2030		50		41
0.800%, 05/28/2025		110		102
UnitedHealth Group
4.450%, 12/15/2048		10		9
4.250%, 06/15/2048		10		9
4.000%, 05/15/2029		200		191
3.875%, 12/15/2028		30		29
3.750%, 07/15/2025		30		29
2.300%, 05/15/2031		20		17


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.000%, 05/15/2030	$	30	$	25
1.250%, 01/15/2026		20		18

				7,229

Industrials — 1.9%
3M
3.700%, 04/15/2050		150		119
2.375%, 08/26/2029		30		26
AerCap Ireland Capital DAC
3.000%, 10/29/2028		1,226		1,060
2.450%, 10/29/2026		190		170
Air Lease
5.300%, 02/01/2028		90		88
3.375%, 07/01/2025		100		95
Burlington Northern Santa Fe
4.550%, 09/01/2044		10		9
Carlisle
2.200%, 03/01/2032		634		500
Carrier Global
2.700%, 02/15/2031		10		8
Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024		479		463
Deere
3.750%, 04/15/2050		30		27
3.100%, 04/15/2030		10		9
Delta Air Lines Pass-Through Trust, Ser 2015-1, Cl AA
3.625%, 07/30/2027		443		403
Delta Air Lines Pass-Through Trust, Ser 2019-1, Cl AA
3.204%, 04/25/2024		621		609
John Deere Capital MTN
3.350%, 04/18/2029		934		869
Penske Truck Leasing Lp
5.550%, 05/01/2028 (C)		916		902
Republic Services
3.200%, 03/15/2025		180		173
Ryder System MTN
5.250%, 06/01/2028		609		601
3.350%, 09/01/2025		197		187
SMBC Aviation Capital Finance DAC
4.125%, 07/15/2023 (C)		200		200
Union Pacific
3.750%, 07/15/2025		20		19
2.891%, 04/06/2036		20		16

				6,553

Information Technology — 1.1%
Adobe
2.300%, 02/01/2030		210		184


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Apple
3.350%, 02/09/2027	$	210	$	202
2.900%, 09/12/2027		110		103
2.450%, 08/04/2026		70		65
1.125%, 05/11/2025		130		121
Broadcom
4.926%, 05/15/2037 (C)		33		30
4.150%, 11/15/2030		26		24
3.137%, 11/15/2035 (C)		420		322
Intel
5.125%, 02/10/2030		70		71
4.750%, 03/25/2050		10		9
3.700%, 07/29/2025		30		29
1.600%, 08/12/2028		50		43
Mastercard
3.850%, 03/26/2050		10		9
3.375%, 04/01/2024		60		59
Micron Technology
5.875%, 09/15/2033		20		20
2.703%, 04/15/2032		260		205
Microsoft
3.300%, 02/06/2027		210		202
NVIDIA
3.700%, 04/01/2060		90		74
3.500%, 04/01/2040		130		111
2.850%, 04/01/2030		90		82
NXP BV
5.000%, 01/15/2033		404		388
2.700%, 05/01/2025		40		38
Oracle
4.650%, 05/06/2030		70		68
2.875%, 03/25/2031		30		25
1.650%, 03/25/2026		130		118
PayPal Holdings
4.400%, 06/01/2032		80		77
1.650%, 06/01/2025		60		56
Salesforce
3.700%, 04/11/2028		150		145
1.500%, 07/15/2028		510		439
Texas Instruments
1.750%, 05/04/2030		40		34
TSMC Arizona
2.500%, 10/25/2031		250		210
1.750%, 10/25/2026		230		206
Visa
4.300%, 12/14/2045		10		9
3.150%, 12/14/2025		110		105
1.900%, 04/15/2027		60		55

				3,938


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Materials — 0.7%
Anglo American Capital
3.625%, 09/11/2024 (C)	$	200	$	194
Corp Nacional del Cobre de Chile
3.150%, 01/15/2051		420		294
Glencore Funding
4.125%, 03/12/2024 (C)		60		60
1.625%, 04/27/2026 (C)		90		81
MEGlobal BV MTN
4.250%, 11/03/2026 (C)		200		192
2.625%, 04/28/2028 (C)		230		200
OCP
4.500%, 10/22/2025 (C)		400		387
Orbia Advance
2.875%, 05/11/2031 (C)		200		159
Suzano Austria GmbH
3.125%, 01/15/2032		510		408
Vale Overseas
6.875%, 11/21/2036		148		155
6.250%, 08/10/2026		240		247

				2,377

Real Estate — 0.9%
Alexandria Real Estate Equities
3.450%, 04/30/2025		802		767
American Tower Trust #1
5.490%, 03/15/2028 (C)		554		554
Digital Realty Trust
3.600%, 07/01/2029		815		724
Healthpeak Properties
2.125%, 12/01/2028		769		648
Spirit Realty
2.100%, 03/15/2028		583		489

				3,182

Utilities — 2.3%
American Transmission Systems
2.650%, 01/15/2032 (C)		60		50
American Water Capital
4.450%, 06/01/2032		1,311		1,269
Commonwealth Edison
3.700%, 08/15/2028		468		441
Duke Energy Carolinas
2.850%, 03/15/2032		1,057		898
Duke Energy Florida
3.200%, 01/15/2027		440		417
Exelon
5.625%, 06/15/2035		343		347
FirstEnergy
1.600%, 01/15/2026		30		27
Florida Power & Light
2.450%, 02/03/2032		544		458


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
MidAmerican Energy
3.650%, 04/15/2029	$	140	$	130
Northern States Power
7.125%, 07/01/2025		1,190		1,226
NSTAR Electric
1.950%, 08/15/2031		1,000		801
Pacific Gas and Electric
2.100%, 08/01/2027		130		111
Perusahaan Perseroan Persero Perusahaan Listrik Negara MTN
5.450%, 05/21/2028 (C)		370		371
PG&E Wildfire Recovery Funding
4.022%, 06/01/2031		744		713
3.594%, 06/01/2030		720		682

				7,941

Total Corporate Obligations
(Cost $107,900) ($ Thousands)				98,484



U.S. TREASURY OBLIGATIONS — 16.3%
U.S. Treasury Bonds
4.000%, 11/15/2052		610		627
3.875%, 05/15/2043		380		371
3.625%, 08/15/2043		40		38
3.625%, 02/15/2053		100		96
3.625%, 05/15/2053		510		490
3.375%, 11/15/2048		190		172
3.125%, 08/15/2044		50		43
3.000%, 02/15/2049		1,010		854
2.875%, 08/15/2045		60		49
2.875%, 05/15/2049		320		264
2.875%, 05/15/2052		480		398
2.375%, 02/15/2042		618		481
2.375%, 05/15/2051		1,920		1,427
2.250%, 08/15/2049		280		203
2.250%, 02/15/2052		1,186		857
2.000%, 11/15/2041		830		608
2.000%, 08/15/2051		900		613
1.875%, 02/15/2041		600		436
1.875%, 02/15/2051		1,520		1,006
1.875%, 11/15/2051		780		515
1.750%, 08/15/2041		640		450
1.625%, 11/15/2050		1,080		671
1.375%, 11/15/2040		880		589
1.375%, 08/15/2050		2,130		1,238
1.250%, 05/15/2050		1,020		574
1.125%, 08/15/2040		430		276
U.S. Treasury Inflation-Protected Securities
1.125%, 01/15/2033		2,108		2,019
0.125%, 01/15/2030		1,053		945


Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Notes
3.625%, 05/15/2026	$	901	$	879
3.500%, 01/31/2028		7,567		7,348
3.375%, 05/15/2033		660		637
3.125%, 08/31/2027		8,114		7,760
2.750%, 08/15/2032		7,542		6,914
1.500%, 01/31/2027		3,769		3,414
1.250%, 11/30/2026		2,260		2,036
0.750%, 05/31/2026		11,310		10,159
0.250%, 05/31/2025		1,590		1,455
0.250%, 09/30/2025		10		9

Total U.S. Treasury Obligations
(Cost $63,808) ($ Thousands)				56,921



ASSET-BACKED SECURITIES — 9.3%
Automotive — 0.5%

Avis Budget Rental Car Funding AESOP, Ser 2020-2A, Cl A
2.020%, 02/20/2027 (C)		440		398
Avis Budget Rental Car Funding AESOP, Ser 2021-1A, Cl A
1.380%, 08/20/2027 (C)		430		378
Hertz Vehicle Financing III, Ser 2021-2A, Cl B
2.120%, 12/27/2027 (C)		160		140
Hertz Vehicle Financing III, Ser 2021-2A, Cl C
2.520%, 12/27/2027 (C)		300		259
Hertz Vehicle Financing, Ser 2021-1A, Cl B
1.560%, 12/26/2025 (C)		240		224
Hertz Vehicle Financing, Ser 2021-1A, Cl C
2.050%, 12/26/2025 (C)		210		195
				1,594

Home — 0.0%

Bayview Financial Mortgage Pass-Through Trust, Ser 2006-A, Cl M3
6.153%, ICE LIBOR USD 1 Month + 0.975%, 02/28/2041 (A)		11		10
Cascade MH Asset Trust, Ser 2021-MH1, Cl A1
1.753%, 02/25/2046 (C)		73		62
Master Asset-Backed Securities Trust, Ser 2007-NCW, Cl A1
5.450%, ICE LIBOR USD 1 Month + 0.300%, 05/25/2037 (A)(C)		145		121
				193


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Other Asset-Backed Securities — 8.8%

AEP Texas Restoration Funding, Ser 2019-1, Cl A2
2.294%, 08/01/2031	$	1,646	$	1,474
AMSR Trust, Ser 2023-SFR1, Cl A
4.000%, 04/17/2040 (C)		960		893
CF Hippolyta Issuer, Ser 2020-1, Cl A1
1.690%, 07/15/2060 (C)		205		184
CWHEQ Revolving Home Equity Loan Trust, Ser 2006-F, Cl 2A1A
5.333%, ICE LIBOR USD 1 Month + 0.140%, 07/15/2036 (A)		131		118
DB Master Finance, Ser 2021-1A, Cl A2II
2.493%, 11/20/2051 (C)		1,033		874
FirstKey Homes Trust, Ser 2021-SFR1, Cl A
1.538%, 08/17/2038 (C)		788		689
FirstKey Homes Trust, Ser 2021-SFR3, Cl A
2.135%, 12/17/2038 (C)		437		385
GoodLeap Sustainable Home Solutions Trust, Ser 2022-1GS, Cl B
2.940%, 01/20/2049 (C)		577		435
Hardee's Funding, Ser 2021-1A, Cl A2
2.865%, 06/20/2051 (C)		392		312
Home Partners of America Trust, Ser 2022-1, Cl A
3.930%, 04/17/2039 (C)		990		926
Merrill Lynch Mortgage Investors Trust, Ser 2004-WMC5, Cl M1
6.080%, ICE LIBOR USD 1 Month + 0.930%, 07/25/2035 (A)		141		136
MMAF Equipment Finance, Ser 2022-B, Cl A3
5.610%, 07/10/2028 (C)		339		338
Morgan Stanley ABS Capital I Trust, Ser 2004-NC7, Cl M1
6.005%, ICE LIBOR USD 1 Month + 0.855%, 07/25/2034 (A)		316		295
Navient Student Loan Trust, Ser 2016-3A, Cl A3
6.500%, ICE LIBOR USD 1 Month + 1.350%, 06/25/2065 (A)(C)		281		279
Navient Student Loan Trust, Ser 2016-6A, Cl A3
6.450%, ICE LIBOR USD 1 Month + 1.300%, 03/25/2066 (A)(C)		532		528
Oak Street Investment Grade Net Lease Fund, Ser 2021-1A, Cl A1
1.480%, 01/20/2051 (C)		934		818
Palmer Square CLO, Ser 2021-2A, Cl A1A3
6.260%, ICE LIBOR USD 3 Month + 1.000%, 10/17/2031 (A)(C)		693		685


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Palmer Square CLO, Ser 2022-2A, Cl A1
6.619%, TSFR3M + 1.570%, 07/20/2034 (A)(C)	$	400	$	395
Palmer Square Loan Funding, Ser 2022-2A, Cl A1
6.256%, TSFR3M + 1.270%, 10/15/2030 (A)(C)		764		756
Progress Residential Trust, Ser 2021-SFR2, Cl A
1.546%, 04/19/2038 (C)		592		526
Progress Residential Trust, Ser 2022-SFR2, Cl A
2.950%, 04/17/2027 (C)		978		881
Progress Residential Trust, Ser 2022-SFR3, Cl A
3.200%, 04/17/2039 (C)		509		462
Sabey Data Center Issuer, Ser 2020-1, Cl A2
3.812%, 04/20/2045 (C)		339		320
Sabey Data Center Issuer, Ser 2021-1, Cl A2
1.881%, 06/20/2046 (C)		1,027		891
SBA Small Business Investment, Ser 2023-10A, Cl 1
5.168%, 03/10/2033		910		901
SLC Student Loan Trust, Ser 2010-1, Cl A
6.271%, ICE LIBOR USD 3 Month + 0.875%, 11/25/2042 (A)		91		90
SLM Private Credit Student Loan Trust, Ser 2006-A, Cl A5
5.842%, ICE LIBOR USD 3 Month + 0.290%, 06/15/2039 (A)		153		145
SLM Private Education Loan Trust, Ser 2010-C, Cl A5
9.943%, ICE LIBOR USD 1 Month + 4.750%, 10/15/2041 (A)(C)		295		308
SLM Student Loan Trust, Ser 2021-10A, Cl A4
6.222%, ICE LIBOR USD 3 Month + 0.670%, 12/17/2068 (A)(C)		77		74
SMB Private Education Loan Trust 2020-A, Ser 2020-A, Cl A2A
2.230%, 09/15/2037 (C)		155		142
SMB Private Education Loan Trust, Ser 2021-A, Cl A2B
1.590%, 01/15/2053 (C)		286		248
SMB Private Education Loan Trust, Ser 2021-C, Cl B
2.300%, 01/15/2053 (C)		170		152
Stack Infrastructure Issuer, Ser 2019-1A, Cl A2
4.540%, 02/25/2044 (C)		332		327
Store Master Funding I-VII, Ser 2018-1A, Cl A1
3.960%, 10/20/2048 (C)		364		352


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Store Master Funding I-VII, Ser 2019-1, Cl A1
2.820%, 11/20/2049 (C)	$	315	$	283
Structured Asset Investment Loan Trust, Ser 2004-7, Cl A8
6.350%, ICE LIBOR USD 1 Month + 1.200%, 08/25/2034 (A)		140		136
Taco Bell Funding, Ser 2021-1A, Cl A2II
2.294%, 08/25/2051 (C)		584		480
Tricon American Homes Trust, Ser 2019-SFR1, Cl A
2.750%, 03/17/2038 (C)		270		249
Tricon Residential Trust, Ser 2021-SFR1, Cl A
1.943%, 07/17/2038 (C)		850		756
Triumph Rail Holdings, Ser 2021-2, Cl A
2.150%, 06/19/2051 (C)		266		229
TRP 2021, Ser 2021-1, Cl A
2.070%, 06/19/2051 (C)		480		410
United States Small Business Administration, Ser 2010-20H, Cl 1
3.520%, 08/01/2030		112		106
United States Small Business Administration, Ser 2011-20B, Cl 1
4.220%, 02/01/2031		104		99
United States Small Business Administration, Ser 2011-20J, Cl 1
2.760%, 10/01/2031		73		67
United States Small Business Administration, Ser 2013-20K, Cl 1
3.380%, 11/01/2033		324		306
United States Small Business Administration, Ser 2014-20F, Cl 1
2.990%, 06/01/2034		448		413
United States Small Business Administration, Ser 2015-20C, Cl 1
2.720%, 03/01/2035		382		350
United States Small Business Administration, Ser 2015-20E, Cl 1
2.770%, 05/01/2035		226		208
United States Small Business Administration, Ser 2015-20K, Cl 1
2.700%, 11/01/2035		283		261
United States Small Business Administration, Ser 2017-20J, Cl 1
2.850%, 10/01/2037		367		333
United States Small Business Administration, Ser 2018-20E, Cl 1
3.500%, 05/01/2038		736		682
United States Small Business Administration, Ser 2019-25G, Cl 1
2.690%, 07/01/2044		43		38
United States Small Business Administration, Ser 2021-25H, Cl 1
1.450%, 08/01/2046		1,466		1,170


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
United States Small Business Administration, Ser 2022-25D, Cl 1
3.500%, 04/01/2047	$	682	$	626
United States Small Business Administration, Ser 2022-25E, Cl 1
3.940%, 05/01/2047		950		896
United States Small Business Administration, Ser 2022-25F, Cl 1
4.010%, 06/01/2047		962		916
United States Small Business Administration, Ser 2022-25G, Cl 1
3.930%, 07/01/2047		953		904
United States Small Business Administration, Ser 2022-25H, Cl 1
3.800%, 08/01/2047		464		435
United States Small Business Administration, Ser 2022-25K, Cl 1
5.130%, 11/01/2047		541		546
United States Small Business Administration, Ser 2023-25F, Cl 1
4.930%, 06/01/2048		871		869
Vantage Data Centers, Ser 2020-2A, Cl A2
1.992%, 09/15/2045 (C)		1,000		842
Wendy's Funding, Ser 2019-1A, Cl A2I
3.783%, 06/15/2049 (C)		308		285
Wendy's Funding, Ser 2021-1A, Cl A2I
2.370%, 06/15/2051 (C)		606		501
Wendy's Funding, Ser 2021-1A, Cl A2II
2.775%, 06/15/2051 (C)		260		207
Wind River CLO, Ser 2021-3A, Cl A
6.400%, ICE LIBOR USD 3 Month + 1.150%, 07/20/2033 (A)(C)		614		597
				30,539

Total Asset-Backed Securities
(Cost $35,436) ($ Thousands)				32,326


MUNICIPAL BONDS — 1.4%
California — 0.4%
California Health Facilities Financing Authority, RB
3.378%, 06/01/2028		575		536
Regents of the University of California Medical Center Pooled Revenue, RB
4.132%, 05/15/2032		600		570
San Jose, Financing Authority, RB
1.311%, 06/01/2026		540		486

				1,592


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MUNICIPAL BONDS (continued)
Illinois — 0.3%
Sales Tax Securitization, RB
4.847%, 01/01/2031	$	930	$	920


Michigan — 0.2%
Michigan State, Finance Authority, RB
2.988%, 09/01/2049 (A)		755		735


New York — 0.3%
New York State Dormitory Authority, Ser B, RB
3.329%, 03/15/2031		415		374
New York State Urban Development, RB
3.350%, 03/15/2026 (F)		380		363
3.350%, 03/15/2026		285		272

				1,009

Wisconsin — 0.2%
State of Wisconsin, Ser A, RB, AGM
5.700%, 05/01/2026		595		600



Total Municipal Bonds
(Cost $5,085) ($ Thousands)				4,856



SOVEREIGN DEBT — 1.2%

Colombia Government International Bond
5.625%, 02/26/2044		280		208
5.200%, 05/15/2049		310		212
3.125%, 04/15/2031		220		166
Indonesia Government International Bond MTN
5.125%, 01/15/2045(C)		200		199
Korea Housing Finance
4.625%, 02/24/2033(C)		360		353
Mexico Government International Bond
3.500%, 02/12/2034		1,040		871
Panama Government International Bond
6.700%, 01/26/2036		190		203
4.300%, 04/29/2053		300		223
Peruvian Government International Bond
3.550%, 03/10/2051		90		67
Province of Quebec Canada, Ser A MTN
6.350%, 01/30/2026		1,010		1,037
Uruguay Government International Bond
5.750%, 10/28/2034		440		475
4.375%, 01/23/2031		120		118

Total Sovereign Debt
(Cost $4,728) ($ Thousands)				4,132


Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 0.4%
SEI Daily Income Trust, Government Fund, Institutional Class
4.880%**^†		1,278,066	$	1,278

Total Cash Equivalent
(Cost $1,278) ($ Thousands)				1,278



PURCHASED OPTIONS — 0.1%
Total Purchased Options
(Cost $132) ($ Thousands)				216


Total Investments in Securities — 101.5%
(Cost $387,588) ($ Thousands)			$	353,284


WRITTEN OPTIONS — (0.1)%
Total Written Options
(Premiums Received $116) ($ Thousands)			$	(216	)

A list of open exchange-traded options contracts held by the Fund at June 30, 2023 is as follows:

A list of the open futures contracts held by the Fund at June 30, 2023 are as follows:

For the year ended June 30, 2023, the total amount of all open options and futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

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

	Percentages are based on Net Assets of $348,025 ($ Thousands).
**	The rate reported is the 7-day effective yield as of June 30, 2023.
^†	Investment in Affiliated Security (see Note 3).
(A)	Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.
(B)	No interest rate available.
(C)	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, 2023, the value of these securities amounted to $58,099 ($ Thousands), representing 16.7% of the Net Assets of the Fund.
(D)	Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.
(E)	Zero coupon security.
(F)	Security is escrowed to maturity.

The following is a summary of the level of inputs used as of June 30, 2023, 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

–

155,071

–

155,071

Corporate Obligations

–

98,484

–

98,484

U.S. Treasury Obligations

–

56,921

–

56,921

Asset-Backed Securities

–

32,326

–

32,326

Municipal Bonds

–

4,856

–

4,856

Sovereign Debt

–

4,132

–

4,132

Purchased Options

216

–

216

Cash Equivalent

1,278

–

1,278

Total Investments in Securities

1,494

351,790

–

353,284

Other Financial Instruments	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Written Options		(216	)		–		–		(216	)
Futures Contracts*
Unrealized Appreciation		73			–		–		73
Unrealized Depreciation		(675	)		–		–		(675	)
Total Other Financial Instruments		(818	)		–		–		(818	)

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

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, 2023 ($ Thousands):

^†	Percentages are based on total investments.


Description	Shares		Market Value ($ Thousands)
AFFILIATED INVESTMENT FUNDS — 99.0%
Equity Fund — 61.7%
New Covenant Growth Fund ^†		3,668,326	$	207,077

Total Equity Fund
(Cost $96,090) ($ Thousands)				207,077
Fixed Income Fund — 37.3%
New Covenant Income Fund ^†		6,095,356		125,381

Total Fixed Income Fund
(Cost $137,795) ($ Thousands)				125,381


Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 0.9%
SEI Daily Income Trust, Government Fund, Institutional Class
4.880%**^†		3,144,919	$	3,145

Total Cash Equivalent
(Cost $3,145) ($ Thousands)				3,145


Total Investments in Securities — 99.9%
(Cost $237,030) ($ Thousands)			$	335,603

	Percentages are based on Net Assets of $335,791 ($ Thousands).
^†	Investment in Affiliated Security (see Note 3).
**	The rate reported is the 7-day effective yield as of June 30, 2023.

As of June 30, 2023, 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.

The following is a summary of the transactions with affiliates for the year ended June 30, 2023 ($ Thousands):

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

^†	Percentages are based on total investments.


Description	Shares		Market Value ($ Thousands)
AFFILIATED INVESTMENT FUNDS — 98.9%
Fixed Income Fund — 63.4%
New Covenant Income Fund ^†		2,401,394	$	49,397

Total Fixed Income Fund
(Cost $54,832) ($ Thousands)				49,397
Equity Fund — 35.5%
New Covenant Growth Fund ^†		489,236		27,617

Total Equity Fund
(Cost $10,554) ($ Thousands)				27,617


Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 1.0%
SEI Daily Income Trust, Government Fund, Institutional Class
4.880%**^†		764,874	$	765

Total Cash Equivalent
(Cost $765) ($ Thousands)				765


Total Investments in Securities — 99.9%
(Cost $66,151) ($ Thousands)			$	77,779

	Percentages are based on Net Assets of $77,879 ($ Thousands).
**	The rate reported is the 7-day effective yield as of June 30, 2023.
^†	Investment in Affiliated Security (see Note 3).

The following is a summary of the transactions with affiliates for the year ended June 30, 2023 ($ Thousands):

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

Glossary (abbeviations which may be used in the preceding Schedules of Investments):

Portfolio Abbreviations

ABS — Asset-Backed Security

AGM — Assured Guaranty Municipal

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FRESB — Freddie Mac Small Balance Mortgage Trust

GNMA — Government National Mortgage Association

ICE — Intercontinental Exchange

IO — Interest Only - face amount represents notional amount

JSC — Joint Stock Company

L.P. — Limited Partnership

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

PLC — Public Limited Company

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

SOFR — Secured Overnight Financing Rate

SOFR30A — Secured Overnight Financing Rate 30-day Average

STACR — Structured Agency Credit Risk

TBA — To Be Announced

TSFR1M — Term Secured Overnight Financing Rate 1 Month

TSFR3M — Term Secured Overnight Financing Rate 3 Month

USD — U.S. Dollar

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 (“SIMC” or 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 — Effective September 8, 2022, and pursuant to the requirements of the 1940 Act and Rule 2a-5, the administrator, as delegated by the Board of Trustees (the “Board”), has the responsibility for the valuation of Fund investments with readily available market quotations in accordance with the Funds' Valuation and Pricing Policy. The Trust's Board of Trustees has designated SEI Investments Management Corporation (“SIMC”) as the Valuation Designee for the Funds pursuant to Rule 2a-5 (the “Rule”) under the 1940 Act. The Valuation Designee has the responsibility for the fair value determination with respect to all Fund investments that do not have readily available market quotations or quotations that are no longer reliable. SIMC, in furtherance of the Board’s designation, has appointed a valuation committee of SIMC persons to function as the Valuation Designee (the “Committee”) and has established a Valuation and Pricing Policy to implement the Rule and the Fund’s' Valuation and Pricing Policy (together with SIMC’s Valuation and Pricing Policy, the “Fair Value Procedures”). Prior to September 8, 2022, fair-value determinations were performed in accordance with the Trust's Fair Value Procedures established by the Funds' Board of Trustees and were implemented through a Fair Value Committee designated by the Board.

When valuing portfolio securities, a Fund values securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. A Fund values securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or debt tranches of collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. 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. The assets of the Balanced Growth Fund and the Balanced Income Fund (the “Balanced Funds”) consist primarily

of investments in underlying affiliated investment companies. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable NAV per share. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above or in the case of an equity tranche of a CDO/CLO, a Fund will value the securities using a bid price from at least one independent broker.

On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Procedures until an independent source can be secured. Debt securities held by a Fund with remaining maturities of 60 days or less will be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument, and the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.

Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price. Futures and swaps cleared through a central clearing house (centrally cleared swaps) 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 and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a fund calculates its NAV, the settlement price may not be available at the time at which a 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 or centrally cleared swaps position. Foreign currency forward contracts are valued at the current day's interpolated foreign exchange rate, as calculated using forward rates provided by an independent source.

Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SIMC or a Sub-Adviser, as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service's prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds' administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds' administrator, in turn, will notify the Committee if it receives such notification from a Sub-Adviser, as applicable, or if the Funds' administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.

The Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board. However, when the change would not materially affect the valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, ratification may be obtained at the next regularly scheduled meeting of the Board. Securities for which market prices are not "readily available" are valued in accordance with Rule 2a-5 and the Procedures. The Committee must monitor for circumstances that may necessitate that a security be valued using Fair Value Procedures which can include: (i) the security's trading has been halted or suspended, (ii) the security has been de-listed from a national exchange, (iii) the security's primary trading market is temporarily closed at a time when under normal conditions it would be open, (iv) the security has not been traded for an extended period of time, (v) the security's primary pricing source is not able or willing to provide a price, (vi) trading of the security is subject to local government-imposed restrictions; or (vii) a significant event (as defined below). 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. Examples of factors the Committee may consider include: (i) the type of security or asset, (ii) the last trade price, (iii) evaluation of the forces that influence the market in which the security is purchased and sold, (iv) the liquidity of the security, (v) the size of the holding in a Fund or (vi) any other appropriate information.

The Committee is responsible for selecting and applying, in a consistent manner, the appropriate methodologies for determining and calculating the fair value of holdings of the Funds, including specifying the key inputs and assumptions specific to each asset class or holding. The determination of a security’s fair value price often involves the consideration of a number of subjective factors and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.

The Growth Fund uses a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the 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 in its portfolio that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

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 NAV. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a Significant Event), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares. A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser 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 calculate NAV, it may request that a Committee meeting be called. In addition, with respect to certain securities, the Funds’ administrator performs price comparisons and price movement review (among other processes), to monitor the pricing data supplied by various sources. Any identified discrepancies are researched and subject to the procedures described above.

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, 2023 maximized the use of observable inputs and minimized the use of unobservable inputs.

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, 2023, 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.

Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund may invest in swap contracts as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the- counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit default swaps involve the periodic payment by a Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or losses. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities/cash may be set aside as collateral by the Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund’s value from changes in interest rates; or expose a Fund to a different security or market.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Centrally cleared swaps are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for centrally cleared swaps are provided by an independent source. Net payments of interest are recorded as realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Schedule of Investments or the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. Counterparty risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty.

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, forwards 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.

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 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. Effective May 13, 2019, the voluntary expense limitation is 0.72% for the Growth Fund.

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.

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.

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.

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, 2023, 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.

Cash with a total market value of $166 and $615 ($ Thousands) for the Growth Fund and Income Fund, respectively, has been pledged as collateral for exchange-traded derivative instruments as of June 30, 2023.

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The effect of derivative instruments on the Statements of Operations or Consolidated Statements of Operations for the period ended June 30, 2023.

Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):

Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):

The following table discloses the volume of the Funds' futures contracts, option contracts, forward foreign currency

contracts and swap contracts (if applicable) activity during the year ended June 30, 2023 ($ Thousands):

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, 2023, 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, reclassifications of distributions, sales of passive foreign investment companies, and gains and losses on paydowns of mortgage and asset-backed securities for tax purposes. There are no permanent differences that are credited or charged to Paid-in Capital and Distributable Earnings as of June 30, 2023.

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

As of June 30, 2023, the components of distributable earnings (accumulated losses) were as follows:

For Federal income tax purposes, the cost of securities owned at June 30, 2023, 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.

For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, Funds are permitted to carry forward capital losses for an unlimited period. Losses carried forward are as follows:

The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at June 30, 2023 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, 2023, 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 a Balance Funds 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.

Derivatives Risk — The Funds’ use of futures, options and swaps is subject to market risk, leverage risk, correlation risk and liquidity risk. Market risk and liquidity risk are described below. Leverage risk is the risk that the Fund's total investment exposure substantially exceeds the value of its portfolio securities. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Liquidity risk is 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 lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument. The Fund's use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators have adopted and implemented regulations governing derivatives markets, the ultimate impact of which remains unclear.

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. Markets may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters, epidemics, pandemics or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-term.

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. Markets for fixed income securities may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental

and public health risks, such as natural disasters, epidemics, pandemics or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-term.

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, tax, accounting and audit 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. Investments in emerging markets are subject to the added risk that information in emerging market investments may be unreliable or outdated due to differences in regulatory, accounting or auditing and financial record keeping standards, or because less information about emerging market investments is publicly available. In addition, the rights and remedies associated with emerging market investments may be different than investments in developed markets. A lack of reliable information, rights and remedies increase the risks of investing in emerging markets in comparison to more developed markets. In addition, periodic U.S. Government restrictions on investments in issuers from certain foreign countries may require the Fund to sell such investments at inopportune times, which could result in losses to the Fund.

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 change in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Fund invests. Generally, the value of the Fund’s fixed income securities will vary inversely with the direction of prevailing interest rates. Changing interest rates may have unpredictable effects on the markets and may affect the value and liquidity of instruments held by the Fund. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movement movements due to changing interest rates.

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 taxes subject to ordinary income tax rates as opposed to more favorable capital gains rates, 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 (OTC). OTC stocks may trade less frequently and in smaller volume than exchange listed stocks and may have more price volatility than that of exchange-listed stocks.

Social-Witness Principles/Socially Responsible Investing Risk — The Fund considers social-witness principles and Sub-Advisers’ ESG criteria 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 still subject to the credit risk of the U.S. Government and 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. No assurance can be given that the U.S. Government will provide financial support to its agencies and instrumentalities if it is not obligated by law to do so.

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, 2023, the number of shareholders below held the following percentage of the outstanding shares of the Funds. These shareholders are affiliated with the Funds.

The U.K. Financial Conduct Authority stopped compelling or inducing banks to submit certain London Inter-Bank Offered Rate (LIBOR) rates. The publication of LIBOR on a representative basis ceased for the one-week and two-month U.S. dollar LIBOR settings immediately after December 31, 2021, and ceased for the remaining U.S. dollar LIBOR settings immediately after June 30, 2023. Investments impacted by the discontinuation of LIBOR may include bank loans, derivatives, floating rate securities, and other assets or liabilities tied to LIBOR. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Financing Rate (SOFR), which is intended to replace U.S. dollar LIBOR. Alternative reference rates for other currencies have also been announced or have already begun publication. In response to the discontinuation of LIBOR, investors have added fallback provisions to existing contracts for investments whose value is tied to LIBOR, with most fallback provisions requiring the adoption of SOFR as a replacement rate. On March 15, 2022, President Biden signed the Adjustable Interest Rate Act into law (the “LIBOR Act”), which, in conjunction with regulations adopted by the Federal Reserve Board, establishes SOFR as the default fallback rate for any U.S. contract without a fallback provision. In addition, on March 4, 2023, the U.K. Financial Conduct Authority announced that, starting July 1, 2023 and continuing through September 30, 2024, it will permit the publishing of 1-, 3- and 6-month synthetic U.S. dollar LIBOR settings based on SOFR to serve as a fallback for non-U.S. contracts.

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, 2023.

We have audited the accompanying statements of assets and liabilities of New Covenant Funds, comprised of 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, 2023, 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, 2023, 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 audit 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, 2023, by correspondence with 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 (January 1, 2023 to June 30, 2023).

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.

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 (each member, a “Trustee” and, collectively, the “Trustees” or 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 (or otherwise, as consistent with applicable laws, regulations and related guidance and relief) 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 connection with their consideration of such 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 renew 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 renew 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 that was engaged to prepare an assessment of the Funds in connection with the renewal of the Investment Advisory Agreements (the “Broadridge Report”); (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 20-22, 2023 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 renewed at meetings of the Board held during the course of the Trust’s fiscal year on September 6-8, 2022 and December 5-7, 2022. In each case, the Board’s

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

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 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 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 the 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 the 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.

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 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 the 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 renewal 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.

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 20-22, 2023, 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 remains reasonably designed to assess and manage each Fund’s liquidity risk and that the Program adequately and effectively managed each Fund’s liquidity risk during the 2022 calendar year. The SIMC Liquidity Risk Oversight Committee also reported that with respect to the Trust there were no reportable liquidity events during the period. The SIMC Liquidity Risk Oversight Committee noted that additional monitoring processes, including manual reviews of upcoming market closures, have been implemented.

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.

For shareholders who do not have a June 30, 2023 taxable year end, this notice is for information purposes only. For shareholders with a June 30, 2023 taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended June 30, 2023, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.

(2) The percentage in this column represents the amount of ‘‘Qualifying Dividend Income’’ and is reflected as a percentage of ‘‘Ordinary Income Distributions.’’ It is the intention of each of the aforementioned Funds to designate the maximum amount permitted by law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2023. Complete information will be computed and reported in conjunction with your 2023 Form 1099-DIV.

(3) ‘‘U.S. Government Interest’’ represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income.

(4) The percentage in this column represents the amount of “Interest Related Dividends” and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors.

(5) The percentage in this column represents the amount of “Short-Term Capital Gain Dividends” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors.

(6) The percentage in this column represents the amount of ordinary dividend income that qualified for 20% Business Income Deduction.

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

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

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

Trustees

Robert A. Nesher, Chairman

William M. Doran

Nina Lesavoy

James M. Williams

Hubert L. Harris, Jr.

Susan C. Cote

James B. Taylor

Christine Reynolds

Officers

Robert A. Nesher

President and Chief Executive Officer

Glenn R. Kurdziel

Controller and Chief Financial Officer

Stephen Panner

Chief Compliance Officer

Timothy D. Barto

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

Katie Mason

Vice President, Assistant Secretary

Stephen G. MacRae

Vice President

Donald Duncan

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 two audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are Susan C. Cote and Hubert L. Harris, Jr. Ms. Cote and Mr. 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 2023 and 2022 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 2023 and 2022 were $301,000 and $331,000, respectively. Non-audit fees consist of SSAE No. 16 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 in securities of unaffiliated issuers as of the close of the reporting period for the New Covenant Growth Fund, New Covenant Income Fund, New Covenant Balanced Growth Fund and New Covenant Balanced Income Fund are included as part of the report to shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

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.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

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		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation(Thousands)
Long Contracts
Russell 2000 Index E-MINI		4		Sep-2023	$	374	$	381	$	7
S&P 500 Index E-MINI		12		Sep-2023		2,654		2,693		39
					$	3,028	$	3,074	$	46

Security Description		Value 6/30/2022				Purchases at Cost				Proceeds from Sales				Realized Gain/(Loss)				Change in Unrealized Appreciation/(Depreciation)				Value 6/30/2023				Income				Capital Gains
SEI Daily Income Trust, Government Fund, Institutional Class		$	17,346			$	36,701			$	(51,180	)		$	—			$	—			$	2,867			$	175				$ —

Letter to Shareholders	1
Management’s Discussion and Analysis of Fund Performance	8
Schedules of Investments	17
Statements of Assets and Liabilities	56
Statements of Operations	57
Statements of Changes in Net Assets	58
Financial Highlights	60
Notes to Financial Statements	64
Report of Independent Registered Public Accounting Firm	79
Trustees and Officers of the Trust	80
Disclosure of Fund Expenses	84
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements	85
Notice to Shareholders	88

Description	Number of Contracts			Notional Amount (Thousands)			Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTIONS — 0.1%
Put Options
October 2023, SOFR 1 Year MidCurve Future Option*		35		$	8,398		$	97.00		10/21/2023	$	97
December 2023, SOFR 1 Year MidCurve Future Option*		72			17,276			96.00		12/16/2023		87
December 2023, SOFR 1 Year MidCurve Future Option*		31			7,439			95.88		12/16/2023		32

					33,113							216


Total Purchased Options				$	33,113						$	216
WRITTEN OPTIONS — (0.1)%
Put Options
October 2023, SOFR 1 Year MidCurve Future Option*		(35	)	$	(8,398	)	$	96.50		10/21/2023	$	(62	)
October 2023, SOFR 1 Year MidCurve Future Option*		(35	)		(8,398	)		96.25		10/21/2023		(47	)
December 2023, SOFR 1 Year MidCurve Future Option*		(62	)		(14,877	)		95.25		12/16/2023		(28	)
December 2023, SOFR 1 Year MidCurve Future Option*		(144	)		(34,553	)		95.38		12/16/2023		(79	)

					(66,226	)						(216	)


Total Written Options				$	(66,226	)					$	(216	)

	Growth Fund			Income Fund			Balanced Growth Fund			Balanced Income Fund
Assets:
Investments, at value^†	$	535,534		$	352,006		$	—		$	—
Affiliated investments, at value^†^†		2,867			1,278			335,603			77,779
Cash and cash equivalents		1,395			129			—			—
Dividends and interest receivable		377			2,146			302			120
Cash pledged as collateral for futures contracts		166			615			—			—
Receivable for fund shares sold		35			2			25			—
Foreign tax reclaim receivable		81			42			—			—
Receivable for variation margin on futures contracts		33			37			—			—
Receivable for investment securities sold		—			906			—			—
Due from Broker		—			41			—			—
Prepaid expenses		24			17			16			4
Total Assets		540,512			357,219			335,946			77,903
Liabilities:
Options written, at value^†^†^†		—			216			—			—
Payable for fund shares redeemed		80			36			69			—
Investment advisory fees payable		101			80			—			—
Administration fees payable		90			47			25			8
Social witness and licensing fees payable		66			41			—			—
Shareholder servicing fees payable		43			29			—			—
Trustees' fees payable		4			3			3			1
CCO fees payable		2			1			1			—
Payable for investment securities purchased		—			7,697			—			—
Income distribution payable		—			747			—			—
Payable for variation margin on futures contracts		—			194			—			—
Accrued expense payable		91			103			57			15
Total Liabilities		477			9,194			155			24
Net Assets	$	540,035		$	348,025		$	335,791		$	77,879
^† Cost of investments	$	279,105		$	386,310		$	—		$	—
^†^† Cost of affiliated investments		2,867			1,278			237,030			66,151
^†^†^† Premiums Received		—			116			—			—
Net Assets:
Paid-in Capital — (unlimited authorization — par value $0.001)	$	271,764		$	400,920		$	249,194		$	70,299
Total distributable earnings/(loss)		268,271			(52,895	)		86,597			7,580
Net Assets	$	540,035		$	348,025		$	335,791		$	77,879
Net Asset Value, Offering and Redemption Price Per Share	$	56.45		$	20.57		$	109.90		$	20.88
		($540,035,170 ÷ 9,566,044 shares	)		($348,025,183 ÷ 16,918,929 shares	)		($335,790,842 ÷ 3,055,339 shares	)		($77,879,112 ÷ 3,729,432 shares	)
Amounts designated as "—" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.

	Growth Fund						Income Fund
		2023			2022			2023			2022
Operations:
Net investment income	$	4,806		$	3,665		$	8,750		$	4,903
Net realized gain (loss)		14,365			13,643			(10,003	)		(6,337	)
Net change in unrealized appreciation (depreciation)		70,422			(94,548	)		(2,438	)		(39,277	)
Net increase (decrease) in net assets resulting from operations		89,593			(77,240	)		(3,691	)		(40,711	)
Distributions:
Total distributions		(9,786	)		(33,098	)		(9,100	)		(7,722	)
Capital Share Transactions:
Proceeds from shares issued		21,164			54,825			30,227			63,080
Reinvestment of dividends & distributions		6,039			29,378			767			1,569
Cost of shares redeemed		(64,130	)		(59,338	)		(51,440	)		(44,923	)
Increase (decrease) in net assets derived from capital share transactions		(36,927	)		24,865			(20,446	)		19,726
Net increase (decrease) in net assets		42,880			(85,473	)		(33,237	)		(28,707	)
Net Assets:
Beginning of Year		497,155			582,628			381,262			409,969
End of Year	$	540,035		$	497,155		$	348,025		$	381,262
Share Transactions:
Shares issued		420			996			1,440			2,725
Shares issued in lieu of dividends and distributions		122			482			37			68
Shares redeemed		(1,237	)		(1,008	)		(2,487	)		(2,025	)
Increase (decrease) in net assets derived from share transactions		(695	)		470			(1,010	)		768
Amounts designated as "—" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.


Growth Fund
		2023			2022		2021			2020				2019
Net Asset Value, Beginning of Year	$	48.45		$	59.51		$	43.44		$	42.86		$	43.17
Investment Activities:
Net investment income⁽¹⁾		0.48			0.37			0.36			0.51			0.50
Net realized and unrealized gains (losses) on securities and foreign currency transactions ⁽¹⁾		8.50			(7.95	)		17.75			2.56			2.28
Total from investment activities		8.98			(7.58	)		18.11			3.07			2.78
Dividends and Distributions from:
Net investment income		(0.44	)		(0.35	)		(0.40	)		(0.50	)		(0.50	)
Net realized gains		(0.54	)		(3.13	)		(1.64	)		(1.99	)		(2.59	)
Total dividends and distributions		(0.98	)		(3.48	)		(2.04	)		(2.49	)		(3.09	)
Net Asset Value, End of Year	$	56.45		$	48.45		$	59.51		$	43.44		$	42.86
Total Return^†		18.83	%		(13.92	)%		42.58	%		7.18	%		7.21	%
Supplemental Data and Ratios:
Net assets, end of year ($ Thousands)	$	540,035		$	497,155		$	582,628		$	461,493		$	448,958
Ratio of net expenses to average net assets		0.72	%		0.72	%		0.72	%		0.72	%		0.85	%
Ratio of expenses to average net assets, excluding waivers		0.97	%		0.97	%		0.97	%		0.99	%		1.12	%
Ratio of net investment income to average net assets		0.94	%		0.64	%		0.69	%		1.19	%		1.19	%
Portfolio turnover rate		7	%		5	%		4	%		19	%		47	%

^†	Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(1)	Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares.

	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	%

	Asset Derivatives				Liability Derivatives
	Statements of Assets and Liabilities Location	Fair Value			Statements of Assets and Liabilities Location	Fair Value
Growth Fund
Equity contracts	Unrealized appreciation on futures contracts	$	46	*	Unrealized depreciation on futures contracts	$	—	*
Total derivatives not accounted for as hedging instruments		$	46			$	—

Income Fund
Interest rate contracts	Investments, at value**	$	216	*	Options written, at value	$	216	*
Equity contracts	Unrealized appreciation on futures contracts	$	73	*	Unrealized depreciation on futures contracts	$	675	*
Total derivatives not accounted for as hedging instruments		$	289			$	891

Derivatives Not Accounted for as Hedging Instruments	Purchased Options and Swaptions			Written Options and Swaptions		Futures		Forward Currency Contracts		Swaps		Total
Growth Fund
Equity contracts	$	—		$	—	$	1,439	$	—	$	—	$	1,439
Income Fund
Equity contracts	$	(579	)	$	654	$	1,072	$	—	$	—	$	1,147

	Growth Fund		Income Fund
Futures Contracts:
Interest Contracts
Average Notional Balance Long	$	6,026	$	77,510
Average Notional Balance Short		—		62,944
Options/Swaptions:
Interest
Average Notional Balance Long		—		80
Average Notional Balance Short		—		117

	U.S. Gov't ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Growth Fund
Purchases	$	—	$	33,390	$	33,390
Sales		—		57,516		57,516
Income Fund
Purchases		361,485		24,491		385,976
Sales		356,814		47,392		404,206
Balanced Growth Fund
Purchases		—		26,815		26,815
Sales		—		45,069		45,069
Balanced Income Fund
Purchases		—		4,659		4,659
Sales		—		23,154		23,154

		Ordinary Income ($ Thousands)		Long Term Capital Gains ($ Thousands)		Total Distributions Paid ($ Thousands)
Growth Fund	2023	$	4,978	$	4,808	$	9,786
	2022		6,699		26,399		33,098
Income Fund	2023		9,100		—		9,100
	2022		7,072		650		7,772
Balanced Growth Fund	2023		4,071		10,098		14,169
	2022		5,584		9,900		15,584
Balanced Income Fund	2023		1,501		1,220		2,721
	2022		1,378		3,184		4,562

	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	$	841	$	12,252	$	—		$	—		$	255,177		$	1		$	268,271
Income Fund		834		—		(12,334	)		(6,121	)		(34,411	)		(863	)		(52,895	)
Balanced Growth Fund		940		—		—			—			85,656			1			86,597
Balanced Income Fund		311		—		(2,053	)		—			9,320			2			7,580

	Short-Term Loss ($ Thousands)		Long-Term Loss ($ Thousands)		Total ($ Thousands)
Income Fund	$	6,454	$	5,880	$	12,334
Balanced Income Fund		1,555		498		2,053

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Growth Fund	$	283,213	$	279,256	$	(24,079	)	$	255,177
Income Fund		387,698		511		(34,922	)		(34,411	)
Balanced Growth Fund		249,947		110,987		(25,331	)		85,656
Balanced Income Fund		68,459		17,064		(7,744	)		9,320

	# of Shareholders	% of Outstanding Shares
Growth Fund	3		77	%
Income Fund	3		86	%
Balanced Growth Fund	0		0	%
Balanced Income Fund	1		6	%

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 76 yrs. old	Chairman of the Board of Trustees*	since 2012	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	97	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. President, Chief Executive Officer and Trustee of SEI Liquid Asset Trust from 1989 to 2016. President, Chief Executive Officer and Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee of The KP Funds from 2013 to 2020. 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 from 2015 to 2018. Vice Chairman of Schroder Series Trust and Schroder Global Series Trust from 2017 to 2018. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Frost Family of Funds and Catholic Responsible Investments 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, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust and SEI Exchange Traded Funds.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 83 yrs. old	Trustee*	since 2012	Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003). Counsel to the Trust, SEI Investments, SIMC, the Administrator and the Distributor.	97	Director of SEI Investments since 1985; Secretary of SEI Investments 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 (closed-end investment company) from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of Winton Series Trust from 2014 to 2017. Trustee of The Advisors’ Inner Circle Fund and The Advisors’ Inner Circle Fund II from 1991 to 2018. Trustee of Bishop Street Funds from 2006 to 2018. Trustee of The KP Funds from 2013 to 2018. Trustee of Winton Diversified Opportunities Fund (closed-end investment company) from 2014 to 2018. Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee of Schroder Series Trust and Schroder Global Series Trust from 2017 to 2021. Trustee of The Advisors’ Inner Circle Fund III, Gallery Trust, Delaware Wilshire Private Markets Fund, Delaware Wilshire Private Markets Master Fund, Delaware Wilshire Private Markets Tender Fund, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Catholic Values Trust and SEI Exchange Traded Funds.
TRUSTEES
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 65 yrs. old	Trustee	since 2012	Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008.	97	Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. 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, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 75 yrs. old	Trustee	since 2012	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. Manager, Pension Asset Management, Ford Motor Company, 1997-1999.	97	Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. 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, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

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)
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 79 yrs. old	Trustee	since 2012	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 2005.	97	Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the boards of other non-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of SEI Liquid Asset Trust from 2008 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. 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, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.
Susan C. Cote One Freedom Valley Drive Oaks, PA 19456 68 years old	Trustee	since 2015	Retired since July 2015. Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women's Foundation from 2012 to 2017. Member of the Ernst & Young LLP Retirement Investment Committee, 2009-2015. Global Asset Management Assurance Leader, Ernst & Young LLP from 2006-2015. Partner, Ernst & Young LLP from 1997-2015. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Prudential, 1983-1997.	97	Trustee of SEI Insurance Products Trust from 2015 to 2020. Trustee/Director of SEI Structured Credit Fund, LP, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.
James B. Taylor One Freedom Valley Drive Oaks, PA 19456 72 years old	Trustee	since 2018	Retired since December 2017. Chief Investment Officer at Georgia Tech Foundation from 2008 to 2017. Chief Investment Officer at Delta Air Lines from 1983 to 2007. Member of the Investment Committee of Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer for Southern Benefits Conference from 1998 to 2000.	97	Trustee of SEI Insurance Products Trust from 2018 to 2020. 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 Catholic Values Trust and SEI Exchange Traded Funds.
Christine Reynolds One Freedom Valley Drive Oaks, PA 19456 64 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 2007-2008. 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.	97	Trustee of SEI Insurance Products Trust from 2019 to 2020. 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 Catholic Values Trust and SEI Exchange Traded Funds.

	Beginning Account Value 1/1/2023	Ending Account Value 6/30/2023	Annualized Expense Ratios	Expenses Paid During Period*
Growth Fund
Actual Fund Return	$ 1,000.00	$1,159.20	0.72%	$3.85
Hypothetical 5% Return	$ 1,000.00	$1,021.22	0.72%	$3.61
Income Fund
Actual Fund Return	$ 1,000.00	$1,017.84	0.80%	$4.00
Hypothetical 5% Return	$ 1,000.00	$1,020.83	0.80%	$4.01
Balanced Growth Fund
Actual Fund Return	$ 1,000.00	$1,100.74	0.13%	$0.68
Hypothetical 5% Return	$ 1,000.00	$1,024.15	0.13%	$0.65
Balanced Income Fund
Actual Fund Return	$ 1,000.00	$1,065.42	0.15%	$0.77
Hypothetical 5% Return	$1,000.00	$1,024.05	0.15%	$0.75

	(A) Long Term Capital Gains Distributions (Tax Basis)		(B) Return of Capital (Tax Basis)		(C) Ordinary Income Distributions (Tax Basis)		Total Distributions (Tax Basis)		(D) Dividends Qualifying for Corporate Dividends Rec. Deduction (1)
Growth Fund		49.14%		0.00%		50.86%		100.00%		97.87%
Income Fund		0.00%		0.00%		100.00%		100.00%		100.00%
Balanced Growth Fund		71.27%		0.00%		28.73%		100.00%		38.53%
Balanced Income Fund		44.83%		0.00%		55.17%		100.00%		19.12%

	(E) Qualifying Dividend Income (15% Tax Rate for QDI) (2)		(F) U.S. Government Interest (3)		Interest Related Dividends (4)		Short-Term Capital Gain Dividends (5)		Qualifying Business Income (6)
Growth Fund		98.07%		0.00%		0.75%		100.00%		4.60%
Income Fund		0.00%		10.71%		98.00%		0.00%		0.00%
Balanced Growth Fund		39.43%		0.00%		0.00%		0.00%		0.00%
Balanced Income Fund		19.16%		0.00%		0.00%		0.00%		0.00%

		Fiscal Year 2023			Fiscal Year 2022
		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)	$77,330	N/A	$0	$73,330	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	$301,000	$0	$0	$331,000	$0

	New Covenant Funds

By	/s/ Robert A. Nesher
	Robert A. Nesher
	President & CEO