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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09025
New Covenant Funds
(Exact name of registrant as specified in charter)
200 East Twelfth Street, Jeffersonville, IN 47130
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-858-6127
Date of fiscal year end: June 30
Date of reporting period: December 31, 2006
Item 1. Reports to Stockholders.
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You can get free copies of reports and the SAI, or request other information and discuss your questions about the Funds by contacting a broker that sells the Funds, or by contacting the Funds at:
New Covenant Funds
3435 Stelzer Road
Columbus, OH 43219
Telephone: 800-858-6127
Internet: http://www.NewCovenantFunds.com
3435 Stelzer Road
Columbus, OH 43219
Telephone: 800-858-6127
Internet: http://www.NewCovenantFunds.com
You can review and get copies of the Funds’ reports and SAI at the Public Reference Room of the Securities and Exchange Commission. You can get text-only copies:
• | For a duplicating fee: by writing the Public Reference Section of the Commission, Washington, DC 20549-6009, by calling 202-942-8090, or by electronic request by e-mailing the SEC at the following address: publicinfo@sec.gov | |
• | Free from the Commission’s website at http://www.sec.gov. |
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to our shareholders
NEW COVENANT FUNDS
December 31, 2006
December 31, 2006
Dear Shareholders:
We are pleased to present this semi-annual report for the six-month period between July 1 and December 31, 2006. Economic growth moderated during that period, while the stock and bond markets posted strong gains.
The Federal Reserve Board (the “Fed”) entered July concerned that historically high energy prices would lead to rising inflation. The Fed immediately prior to this six-month period, raised its target short-term interest rate, the Federal Funds rate, to 5.25%, marking the 17th consecutive quarter-point rate increase since June, 2004. That policy was designed to constrain inflation by removing monetary stimulus from the economy.
The housing market experienced a dramatic downturn that weighed on economic growth. Meanwhile, energy prices declined substantially. Those factors, along with the Fed’s prior interest-rate increases, reduced the inflationary pressure on the economy. The Federal Reserve as a result saw fit to leave interest rates unchanged during the second half of 2006.
The large decline in energy prices boosted consumers’ discretionary income, and combined with healthy employment growth to support solid consumer spending. Business spending also held up well, as corporations with very strong balance sheets invested in hiring and other expansion-related activity. Those factors helped the economy continue to grow at a moderate pace, despite the effects of the housing slowdown and somewhat restrictive short-term interest rates.
Stocks rallied in that environment. The equity markets began the period at a low point, after concerns about inflation, interest rates and economic growth led to a spring swoon. Conditions improved during the second half of 2006, allowing the Standard & Poor’s 500 index1 (“S&P 500”) to post positive returns during the last five months of the year, the first time that had occurred since 1996.
Investors bid up equities in the expectation that falling energy prices would decrease the likelihood of higher inflation, potentially allowing the Federal Reserve to reduce interest rates during the coming months. A surge in merger-and-acquisition activity also boosted stock returns. Large-capitalization stocks outperformed smaller shares by a slight margin, possibly marking a shift in market leadership following smaller stocks’ seven-year run.
Telecommunications stocks posted strong gains. A wave of consolidation and healthy profit growth attracted investors to the sector, which had largely stagnated following the bear market earlier in the decade. Financial stocks also rallied, as they typically do after the Federal Reserve completes an interest-rate tightening cycle. The gains in those sectors helped value indices dramatically outperform growth-oriented benchmarks during the period. A large number of private-equity buyouts also boosted value stocks, which are more likely than growth stocks to be the subject of buyout offers. Among growth stocks, technology shares rebounded on projections for solid corporate technology spending, while consumer discretionary shares benefited from healthier-than-expected consumer spending.
Foreign stocks generally outperformed the U.S. market, as investors prized the brighter economic growth outlook overseas. Emerging markets posted particularly strong returns, in part because of strong demand for raw materials from China and other fast-growing foreign economies.
The Federal Reserve’s decision to stop raising short-term interest rates, and investors’ anticipation of future rate decreases, helped the bond market post good gains. Stronger-than-expected economic growth late in the period led investors to reconsider some of their assumptions about a potential rate cut, however, leading to a modest pullback toward the end of 2006. Corporate bonds and mortgage- and asset-backed securities outperformed Treasury issues of comparable maturities during the period.
The New Covenant Growth Fund
The New Covenant Growth Fund gained 11.06% during the six-month period ended December 31, 2006, compared to a 12.73% return for the Fund’s benchmark, the S&P 500.
This Fund takes a core-satellite approach to diversification, by investing the majority of the Fund’s assets in a core portfolio and adding satellite portfolios of value, growth and international stocks. The Fund also spreads its assets among small-, mid- and large-cap shares to gain exposure to the broad equity market.2
Average Annual | New Covenant | |||
Total Returns | Growth Fund | |||
Latest Quarter* | 6.62 | % | ||
Year to Date* | 13.42 | % | ||
1 Year | 13.42 | % | ||
3 Years | 10.46 | % | ||
5 Years | 6.26 | % | ||
10 Years | 5.72 | % |
That diversification hurt returns relative to the benchmark during the six-month period. The Fund’s allocation to growth stocks weighed on relative performance, as did its positions in small caps. Stock selection by managers of some of the Fund’s underlying portfolios also detracted from returns versus the benchmark. Conversely, the Fund’s allocations to international stocks and value shares boosted relative returns.2
The New Covenant Income Fund
The New Covenant Income Fund returned 4.64% during the six-month period ended December 31, 2006, compared to a 5.09% return for its benchmark, the Lehman Aggregate Bond Index.3
The Fund held an underweight position in corporate bonds. That strategy dragged on relative performance as corporate securities outperformed Treasuries. Security selection within the corporate bond sector also weighed on performance against the benchmark. An overweight position in mortgage-backed securities helped relative returns, as those securities performed well.2
Average Annual | New Covenant | |||
Total Returns | Income Fund | |||
Latest Quarter* | 1.06 | % | ||
Year to Date* | 3.90 | % | ||
1 Year | 3.90 | % | ||
3 Years | 3.20 | % | ||
5 Years | 4.54 | % | ||
10 Years | 5.42 | % |
2
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to our shareholders (continued)
NEW COVENANT FUNDS
December 31, 2006
December 31, 2006
The New Covenant Balanced Growth Fund
The New Covenant Balanced Growth Fund gained 8.52% during the six-month period ended December 31, 2006, compared to a 9.63% return for its benchmark, a composite index that is comprised of a 60% weighting in the S&P 500 and a 40% weighting in the Lehman Aggregate Bond Index.
A modestly overweight position in stocks throughout the period helped the Fund’s returns against its benchmark, as stocks in general outperformed bonds. The slight underperformance of the Fund’s stock and bond allocations versus their respective benchmarks weighed on relative returns, however. As of December 31, 2006, the Fund held 63.4% of its investments in the Growth Fund and 35.0% in the Income Fund.2
New Covenant | ||||
Average Annual | Balanced | |||
Total Returns | Growth Fund | |||
Latest Quarter* | 4.48 | % | ||
Year to Date* | 9.73 | % | ||
1 Year | 9.73 | % | ||
3 Years | 7.59 | % | ||
5 Years | 5.89 | % | ||
10 Years | 6.01 | % |
The New Covenant Balanced Income Fund
The New Covenant Balanced Income Fund gained 6.91% during the six-month period ended December 31, 2006, compared to a 7.73% return for its benchmark, a composite index with a 35% allocation to the S&P 500 and a 65% allocation to the Lehman Aggregate Bond Index.
The Balanced Income Fund, like the Balanced Growth Fund, held a slightly overweight allocation to stocks during the period under review. As of the end of the period, the Fund held 39.2% of its investments in the Growth Fund, with 59.5% of its investments in the Income Fund. That overweight equity stake buoyed the Fund’s relative performance. That said, lagging returns in the Fund’s stock and bond allocations offset the positive contribution of the Fund’s equity weighting.2
New Covenant | ||||
Average Annual | Balanced | |||
Total Returns | Income Fund | |||
Latest Quarter* | 3.11 | % | ||
Year to Date* | 7.37 | % | ||
1 Year | 7.37 | % | ||
3 Years | 5.82 | % | ||
5 Years | 5.46 | % | ||
10 Years | 5.78 | % |
George W. Rue III
Senior Vice President and Chief Investment Officer
NCF Investment Department of
New Covenant Trust Company, N.A.4
Senior Vice President and Chief Investment Officer
NCF Investment Department of
New Covenant Trust Company, N.A.4
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price, reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please call 877-835-4531 or visit our website at www.NewCovenantFunds.com.
* | Aggregate total return. | |
** | The performance information for all of the New Covenant Funds reflects performance prior to the July 1, 1999 inception date of the Funds. It represents performance records of the private pools previously managed by the Presbyterian Church (U.S.A.) Foundation, the predecessor entity to the Advisor. These private pools had investment objectives and policies in all material respects equivalent to those of the Funds. They were not subject to the requirements of the Investment Company Act of 1940 or the Internal Revenue Code of 1986, which may adversely affect performance results. The performance has been restated to reflect the total expenses of the Funds. | |
1 | The Standard & Poor’s 500 Composite Index of stocks is an unmanaged, capitalization weighted index that measures the performance of 500 large-capitalization stocks representing all major industries. It is not possible to invest directly in any index. | |
2 | Portfolio composition is subject to change. | |
3 | The Lehman Aggregate Bond Index is an unmanaged index of U.S. bonds, which includes reinvestment of any earnings. It is widely used to measure the overall performance of the U.S. bond market. It is not possible to invest directly in any index. | |
4 | A subsidiary of the Presbyterian Foundation. |
Portfolio Allocation (unaudited) (subject to change)
GROWTH FUND: ***
Percentage of | ||||
Security Allocation | Value of Investments | |||
Financials | 21.0 | % | ||
Information Technology | 18.0 | % | ||
Health Care | 15.9 | % | ||
Consumer Discretionary | 13.8 | % | ||
Industrials | 12.0 | % | ||
Energy | 7.9 | % | ||
Consumer Staples | 5.7 | % | ||
Telecommunications | 2.2 | % | ||
Materials | 1.9 | % | ||
Utilities | 1.6 | % | ||
Total | 100 | % |
BALANCED GROWTH FUND:
Percentage of | ||||
Security Allocation | Value of Investments | |||
Investment Companies | 98.5 | % | ||
Cash Equivalents | 1.5 | % | ||
Total | 100 | % |
INCOME FUND:***
Percentage of | ||||
Security Allocation | Value of Investments | |||
Government Agency/MBS | 43.4 | % | ||
Non-Government Agency/MBS | 17.6 | % | ||
Corporates | 14.3 | % | ||
Treasuries | 13.8 | % | ||
Asset Backed | 1.6 | % | ||
Cash | 7.9 | % | ||
Investment Companies | 1.4 | % | ||
Total | 100 | % |
BALANCED INCOME FUND:
Percentage of | ||||
Security Allocation | Value of Investments | |||
Investment Companies | 98.7 | % | ||
Cash Equivalents | 1.3 | % | ||
Total | 100 | % |
*** Amounts do not include investments held as collateral for loaned securities.
3
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portfolio of investments
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (97.9%): | ||||||||
Advertising (1.1%) | ||||||||
342,300 | Interpublic Group of Cos., Inc.(b) (L) | $ | 4,189,752 | |||||
6,600 | Live Nation, Inc.(b) | 147,840 | ||||||
60,600 | Omnicom Group, Inc. | 6,335,124 | ||||||
7,663 | PagesJaunes SA | 152,262 | ||||||
10,824,978 | ||||||||
Aerospace (0.1%) | ||||||||
3,000 | Armor Holdings, Inc.(b) (L) | 164,550 | ||||||
29,700 | Empresa Brasileira de Aeronautica SA (R) | 306,881 | ||||||
2,800 | Empresa Brasiliera de Aeronautica SA — ADR | 115,948 | ||||||
587,379 | ||||||||
Automotive (1.4%) | ||||||||
4,700 | Aftermarket Technology Corp.(b) (L) | 100,016 | ||||||
5,500 | Bayerische Motoren Werke AG | 316,175 | ||||||
29,400 | BorgWarner, Inc. | 1,735,188 | ||||||
9,500 | DaimlerChrysler AG | 587,832 | ||||||
52,500 | Goodyear Tire & Rubber Co.(b) (L) | 1,101,975 | ||||||
106,100 | Honda Motor Co. Ltd. (L) | 4,195,194 | ||||||
26,000 | NGK Spark Plug Co. | 488,837 | ||||||
80,100 | Nissan Motors | 963,432 | ||||||
15,550 | Noble International, Ltd. | 311,777 | ||||||
2,100 | Renault SA | 251,964 | ||||||
3,300 | Scania AB, Class B | 232,024 | ||||||
31,400 | Suzuki Motor Corp. | 885,546 | ||||||
14,180 | Tenneco Automotive, Inc.(b) | 350,530 | ||||||
41,800 | Trw Automotive Holdings Corp.(b) | 1,081,366 | ||||||
6,300 | Volkswagen AG | 714,029 | ||||||
3,600 | Volkswagen AG PFD | 268,040 | ||||||
13,583,925 | ||||||||
Banking (6.4%) | ||||||||
20,942 | ABN AMRO Holdings NV | 672,351 | ||||||
48,900 | ABSA Group, Ltd. | 868,738 | ||||||
111,008 | Akbank Turk Anonim Sirketi | 674,678 | ||||||
48,000 | Banca Intesa Spa | 370,234 | ||||||
77,900 | Banco Bilbao Vizcaya | 1,873,445 | ||||||
46,100 | Banco Santander Central Hispano SA | 859,467 | ||||||
368,191 | Bank of America Corp. | 19,657,717 | ||||||
101,400 | Bank of East Asia Ltd. | 574,351 | ||||||
8,000 | Bank of Yokohama Ltd. | 62,582 | ||||||
7,500 | Banque Nationale de Paris | 817,303 | ||||||
16,500 | Barclays Plc | 235,710 | ||||||
125,000 | BOC Hong Kong (Holdings) Ltd. | 339,145 | ||||||
3,500 | Canadian Imperial Bank of Commerce | 295,728 | ||||||
498,000 | China Construction Bank (R) | 316,977 | ||||||
9,700 | Citizens Banking Corp. | 257,050 | ||||||
13,000 | City Holding Co. (L) | 531,570 | ||||||
45,400 | Comerica, Inc. | 2,664,072 | ||||||
6,409 | Commerzbank AG | 242,944 | ||||||
25,700 | Corus Bankshares, Inc. (L) | 592,899 | ||||||
6,350 | Credit Suisse Group | 443,574 | ||||||
18,600 | Depfa Bank Plc | 332,546 | ||||||
2,200 | Deutsche Bank AG | 294,652 | ||||||
2,000 | Downey Financial Corp. (L) | 145,160 | ||||||
13,500 | East West Bancorp, Inc. (L) | 478,170 | ||||||
8,200 | Farmers Capital Bank Corp. (L) | 279,866 | ||||||
2,920 | First Citizens Bancshares, Inc., Class A (L) | 591,709 | ||||||
5,900 | First Community Bancorp (L) | 308,393 | ||||||
7,500 | First Regional Bancorp(b) (L) | 255,675 | ||||||
8,200 | Flagstar Bancorp, Inc. (L) | 121,688 | ||||||
14,400 | Fortis | 613,449 | ||||||
12,000 | HSBC Holdings Plc | 218,626 | ||||||
231,000 | Industrial and Commerical Bank of China(b) (R) | 143,467 | ||||||
48,056 | JP Morgan Chase & Co. | 2,321,105 | ||||||
2,600 | Kazkommertsbank(b) | 60,580 | ||||||
24,082 | Kookmin Bank — ADR(b) | 1,941,972 | ||||||
34,200 | Lloyds TSB Group Plc | 382,484 | ||||||
6,432 | Macquarie Bank Ltd. | 400,049 | ||||||
33 | Mitsubishi Tokyo Financial Group, Inc. | 407,168 | ||||||
72 | Mizuho Financial Group, Inc. | 513,681 | ||||||
841,500 | PT Bank Mandiri | 271,482 | ||||||
14,600 | R & G Financial Corp., Class B (L) | 111,690 | ||||||
41,100 | Royal Bank of Scotland Group Plc | 1,602,949 | ||||||
8,200 | SanPaolo IMI Spa | 190,285 | ||||||
3,400 | SCBT Financial Corp. (L) | 141,882 | ||||||
2,800 | Signature Bank(b) | 86,744 | ||||||
3,780 | Societe Generale | 640,931 | ||||||
49,300 | Standard Bank | 661,609 | ||||||
14,000 | Standard Chartered Plc | 408,759 | ||||||
267 | Sumitomo Mitsui Financial Group | 2,734,094 | ||||||
9,900 | SVB Financial Group(b) (L) | 461,538 | ||||||
80,001 | Turkiye Garanti Bankasi AG | 264,597 | ||||||
209,400 | U.S. Bancorp | 7,578,186 | ||||||
15,000 | United Overseas Bank Ltd. | 189,712 | ||||||
43,100 | Wachovia Corp. | 2,454,545 | ||||||
70,400 | Wells Fargo & Co. | 2,503,424 | ||||||
4,200 | Wintrust Financial Corp. (L) | 201,684 | ||||||
62,665,086 | ||||||||
Chemicals (1.1%) | ||||||||
2,900 | Arch Chemicals, Inc. | 96,599 | ||||||
5,900 | CF Industries Holdings, Inc. (L) | 151,276 | ||||||
12,500 | Dow Chemical Co. | 499,250 | ||||||
7,200 | FMC Corp. | 551,160 | ||||||
7,200 | Imperial Chemical Industries Plc | 63,686 | ||||||
6,200 | Innospec, Inc. (L) | 288,610 | ||||||
154,200 | Lyondell Chemical Co. | 3,942,894 | ||||||
81,100 | Mosaic Co., Inc.(b) (L) | 1,732,296 | ||||||
9,700 | Nitto Denko Corp. | 485,244 | ||||||
7,500 | Pioneer Cos., Inc.(b) | 214,950 | ||||||
7,600 | Potash Corp. of Saskatchewan, Inc. | 1,090,940 | ||||||
27,700 | Symyx Technologies, Inc(b) | 598,043 | ||||||
12,300 | Takeda Chemical Industries | 843,470 | ||||||
2,000 | Tokuyama Corp. | 30,418 | ||||||
16,500 | US BioEnergy Corp.(b) | 280,500 | ||||||
4,300 | W.R. Grace & Co.(b) | 85,140 | ||||||
10,954,476 | ||||||||
Commercial Services (2.1%) | ||||||||
16,369 | Aaron Rents, Inc. (L) | 471,100 | ||||||
162,500 | Accenture Ltd., Class A | 6,001,125 | ||||||
1,600 | Advisory Board Co.(b) | 85,664 | ||||||
39,001 | Brambles Ltd.(b) | 394,300 | ||||||
2,200 | Corporate Executive Board Co. | 192,940 | ||||||
17,790 | CSG Systems International, Inc.(b) | 475,527 | ||||||
400 | Exlservice Holdings, Inc.(b) | 8,416 | ||||||
10,680 | Gevity HR, Inc. (L) | 253,009 | ||||||
6,200 | Hertz Global Holdings, Inc.(b) | 107,818 | ||||||
22,900 | IAC/InterActiveCorp(b) | 850,964 | ||||||
10,000 | Jackson Hewitt Tax Service, Inc. (L) | 339,700 | ||||||
16,290 | John H. Harland Co. | 817,758 | ||||||
18,300 | Manpower, Inc. | 1,371,219 | ||||||
11,400 | McGrath Rentcorp (L) | 349,182 |
See accompanying notes to financial statements.
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portfolio of investments (continued)
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (cont.): | ||||||||
Commercial Services (cont.) | ||||||||
83,100 | Move, Inc.(b) | $ | 457,881 | |||||
12,700 | Priceline.com, Inc.(b) (L) | 553,847 | ||||||
4,300 | Steiner Leisure Ltd.(b) | 195,650 | ||||||
800 | Strayer Education, Inc. | 84,840 | ||||||
4,300 | Travelzoo, Inc.(b) (L) | 128,785 | ||||||
3,200 | Vertrue, Inc.(b) (L) | 122,912 | ||||||
6,200 | Weight Watchers International, Inc. (L) | 325,686 | ||||||
148,128 | Western Union Co. | 3,321,030 | ||||||
181,800 | Xerox Corp.(b) | 3,081,510 | ||||||
19,990,863 | ||||||||
Computer Services and Software (7.2%) | ||||||||
38,000 | Actuate Corp.(b) (L) | 225,720 | ||||||
8,100 | Advent Software, Inc.(b) (L) | 285,849 | ||||||
32,900 | Affiliated Computer Services Inc., Class A (b) (L) | 1,606,836 | ||||||
2,020 | ANSYS, Inc.(b) (L) | 87,850 | ||||||
39,900 | Automatic Data Processing, Inc. | 1,965,075 | ||||||
2,600 | Belden CDT, Inc. | 101,634 | ||||||
34,100 | BMC Software, Inc.(b) | 1,098,020 | ||||||
32,000 | Brocade Communications Systems, Inc.(b) | 262,720 | ||||||
388,800 | Cisco Systems, Inc.(b) | 10,625,904 | ||||||
5,400 | Covansys Corp.(b) | 123,930 | ||||||
5,400 | Dassault Systemes SA | 286,219 | ||||||
30,300 | DST Systems, Inc.(b) | 1,897,689 | ||||||
2,600 | FactSet Research Systems, Inc. | 146,848 | ||||||
270,600 | Hewlett Packard Co. | 11,146,014 | ||||||
18,800 | Infosys Technologies Ltd. | 1,025,728 | ||||||
8,700 | Infousa, Inc. (L) | 103,617 | ||||||
7,900 | InterDigital Communications Corp.(b) (L) | 265,045 | ||||||
100,300 | International Business Machines Corp. | 9,744,145 | ||||||
1,400 | Isilon Systems, Inc.(b) | 38,640 | ||||||
26,800 | Jack Henry & Associates, Inc. | 573,520 | ||||||
19,090 | Komag, Inc.(b) (L) | 723,129 | ||||||
6,269 | L-1 Identity Solutions, Inc.(b) (L) | 94,850 | ||||||
782,000 | Lenovo Group Ltd. | 317,751 | ||||||
22,900 | Lexmark International, Inc.(b) | 1,676,280 | ||||||
4,600 | Manhattan Associates, Inc.(b) | 138,368 | ||||||
3,500 | Mantech International Corp., Class A (b) (L) | 128,905 | ||||||
493,500 | Microsoft Corp. | 14,735,910 | ||||||
4,170 | Microstrategy, Inc.(b) (L) | 475,422 | ||||||
196,800 | Oracle Corp.(b) | 3,373,152 | ||||||
8,760 | Parametric Technology Corp.(b) | 157,855 | ||||||
17,100 | Radyne Corp.(b) (L) | 183,654 | ||||||
73,600 | Red Hats, Inc.(b) (L) | 1,692,800 | ||||||
13,600 | SAP AG | 723,359 | ||||||
12,000 | Sonic Solutions(b) (L) | 195,600 | ||||||
9,070 | Sybase, Inc.(b) | 224,029 | ||||||
12,500 | Sykes Enterprises, Inc.(b) | 220,500 | ||||||
8,200 | Syntel, Inc. (L) | 219,760 | ||||||
8,600 | TALX Corp. (L) | 236,070 | ||||||
27,700 | THQ, Inc.(b) (L) | 900,804 | ||||||
12,000 | Trend Micro, Inc. | 351,519 | ||||||
36,130 | United Online, Inc. | 479,806 | ||||||
86,300 | Wind River Systems, Inc.(b) | 884,575 | ||||||
69,745,101 | ||||||||
Construction and Building Materials (1.1%) | ||||||||
16,000 | Agco Corp.(b) | 495,040 | ||||||
31,030 | Bouygues SA | 1,989,596 | ||||||
7,200 | Cemex SAB de CV — ADR | 243,576 | ||||||
3,600 | Ceradyne, Inc.(b) (L) | 203,400 | ||||||
29,000 | China Communications Construction Co. Ltd.(b) (R) | 28,676 | ||||||
18,581 | CRH Plc | 773,678 | ||||||
12,630 | Eagle Materials | 545,995 | ||||||
2,900 | Grupo Ferrovial SA | 282,758 | ||||||
20,100 | Gujarat Ambuja Cement Ltd. — ADR | 64,119 | ||||||
70,600 | Gujarat Ambuja Cement Ltd. — GDR (R) | 224,995 | ||||||
9,641 | Holcim Ltd. | 882,415 | ||||||
28,000 | Jacobs Engineering Group, Inc.(b) | 2,283,120 | ||||||
3,400 | Lafarge SA | 505,221 | ||||||
1,062 | Orascom Construction Industries — GDR (R) | 101,751 | ||||||
5,600 | Orascom Construction Industries — GDR (R) | 536,541 | ||||||
6,900 | Quanex Corp. (L) | 238,671 | ||||||
39,063 | Rinker Group Ltd. | 555,607 | ||||||
5,100 | Washington Group International, Inc.(b) | 304,929 | ||||||
10,260,088 | ||||||||
Consumer Products (3.6%) | ||||||||
60,309 | Amcor Ltd. | 344,544 | ||||||
54,900 | Avon Products, Inc. | 1,813,896 | ||||||
8,900 | Black & Decker Corp. | 711,733 | ||||||
31,000 | Cintas Corp. | 1,231,010 | ||||||
11,800 | Clorox Co. | 756,970 | ||||||
18,900 | Colgate-Palmolive Co. | 1,233,036 | ||||||
26,500 | Crocs, Inc.(b) (L) | 1,144,800 | ||||||
4,000 | Deckers Outdoor Corp.(b) (L) | �� | 239,800 | |||||
24,800 | Energizer Holdings, Inc.(b) | 1,760,552 | ||||||
83,700 | General Mills, Inc. | 4,821,120 | ||||||
8,200 | Harman International Industries, Inc. | 819,262 | ||||||
11,000 | Herman Miller, Inc. | 399,960 | ||||||
5,300 | K-Swiss, Inc., Class A (L) | 162,922 | ||||||
77,200 | Kimberly-Clark Corp. | 5,245,740 | ||||||
32,500 | Knoll, Inc. | 715,000 | ||||||
6,000 | L’OREAL SA | 600,443 | ||||||
74,000 | Li & Fung Ltd. | 230,272 | ||||||
8,600 | Mannatech, Inc. (L) | 126,678 | ||||||
3,800 | Michelin | 363,246 | ||||||
2,500 | NBTY, Inc.(b) | 103,925 | ||||||
40,280 | NIKE, Inc., Class B | 3,988,928 | ||||||
14,000 | Nikon Corp. | 306,698 | ||||||
2,600 | Nintendo Co. | 674,333 | ||||||
60,922 | Procter & Gamble Co. | 3,915,457 | ||||||
41,600 | Skechers U.S.A., Inc., Class A (b) (L) | 1,385,696 | ||||||
4,820 | Stanley Furniture Co., Inc. (L) | 103,389 | ||||||
8,600 | Stride Rite Corp. | 129,688 | ||||||
64,900 | Tempur-Pedic International, Inc.(b) (L) | 1,327,854 | ||||||
37,000 | Toto Ltd. | 370,186 | ||||||
7,300 | WD-40 Co. (L) | 254,551 | ||||||
35,281,689 | ||||||||
Diversified Operations (3.1%) | ||||||||
59,100 | 3M Co. | 4,605,663 | ||||||
7,600 | Acuity Brands, Inc. (L) | 395,504 | ||||||
5,500 | Cornell Cos., Inc.(b) (L) | 100,375 | ||||||
52,100 | Dover Corp. | 2,553,942 | ||||||
148,128 | First Data Corp. | 3,780,227 | ||||||
374,000 | General Electric Co. | 13,916,540 | ||||||
5,040 | Harsco Corp. | 383,544 | ||||||
51,500 | IOI Corp. Berhad | 268,746 | ||||||
22,100 | Martha Stewart Living Omnimedia, Inc., Class A (L) | 483,990 | ||||||
31,500 | Mitsubishi Corp. | 592,244 | ||||||
12,000 | Mitsui & Co., Ltd. | 179,285 |
See accompanying notes to financial statements.
5
Table of Contents
portfolio of investments (continued)
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (cont.): | ||||||||
Diversified Operations (cont.) | ||||||||
4,400 | Rofin-Sinar Technologies, Inc.(b) (L) | $ | 266,024 | |||||
9,500 | Shin-Etsu Chemical Co., Ltd. | 635,513 | ||||||
71,000 | Sumitomo Corp. | 1,061,365 | ||||||
73,000 | Swire Pacific Ltd., Class A | 784,265 | ||||||
30,007,227 | ||||||||
Electronics (3.8%) | ||||||||
13,600 | Advanced Energy Industries, Inc.(b) (L) | 256,632 | ||||||
55,300 | Altera Corp.(b) | 1,088,304 | ||||||
30,600 | Amkor Technology, Inc.(b) (L) | 285,804 | ||||||
62,400 | Arm Holdings Plc | 153,555 | ||||||
13,939 | AU Optronics Corp. — ADR (L) | 192,497 | ||||||
12,700 | Benchmark Electronics, Inc.(b) (L) | 309,372 | ||||||
30,300 | Cirrus Logic, Inc.(b) | 208,464 | ||||||
20,800 | Cree Research, Inc.(b) (L) | 360,256 | ||||||
8,110 | Diodes, Inc.(b) (L) | 287,743 | ||||||
8,500 | Eagle Test Systems, Inc.(b) (L) | 123,930 | ||||||
3,500 | Elpida Memory, Inc.(b) (R) | 192,127 | ||||||
136,200 | Emerson Electric Co. | 6,002,334 | ||||||
5,800 | Fanuc Co., Ltd. | 570,556 | ||||||
442,800 | Flextronics International Ltd.(b) | 5,083,344 | ||||||
5,500 | Hirose Electric Co., Ltd. | 623,678 | ||||||
45,822 | Hon Hai Precision Industry Co., Ltd. | 653,898 | ||||||
101,200 | Lam Research Corp.(b) | 5,122,744 | ||||||
101,200 | Lattice Semiconductor Corp.(b) | 655,776 | ||||||
111,900 | MEMC Electronic Materials, Inc.(b) | 4,379,766 | ||||||
22,000 | Nippon Electric Glass Co., Ltd. | 461,642 | ||||||
44 | Nippon Telegraph & Telephone Corp. | 216,418 | ||||||
1,500 | Novellus Systems, Inc.(b) | 51,630 | ||||||
38,800 | Pixelworks, Inc.(b) (L) | 88,852 | ||||||
12,600 | PortalPlayer, Inc.(b) | 169,470 | ||||||
3,700 | Rohm Co., Ltd. | 368,012 | ||||||
300 | Samsung Electronics Co., Ltd. | 197,848 | ||||||
3,624 | Samsung Electronics Co., Ltd. — GDR | 1,192,296 | ||||||
115,600 | Solectron Corp.(b) | 372,232 | ||||||
8,200 | Sony Corp. | 351,016 | ||||||
28,300 | Synopsis, Inc.(b) | 756,459 | ||||||
154,316 | Taiwan Semiconductor — ADR (L) | 1,686,674 | ||||||
4,400 | Teradyne, Inc.(b) | 65,824 | ||||||
81,300 | Texas Instruments, Inc. | 2,341,440 | ||||||
5,000 | Tokyo Electron, Ltd. | 393,654 | ||||||
77,000 | Toshiba Corp. | 500,881 | ||||||
21,800 | TTM Technologies, Inc.(b) | 246,994 | ||||||
12,500 | Ushio, Inc. | 256,526 | ||||||
7,200 | Varian Semiconductor Equipment Associates, Inc.(b) (L) | 327,744 | ||||||
2,600 | Yamada Denki Co., Ltd. | 220,413 | ||||||
36,816,805 | ||||||||
Energy (2.8%) | ||||||||
144,100 | AES Corp.(b) | 3,175,964 | ||||||
395,500 | China Shenhua Energy Co. Ltd. | 952,019 | ||||||
43,700,000 | Companhia Energetica de Sao Paulo(b) (R) | 511,949 | ||||||
207,300 | El Paso Corp. | 3,167,544 | ||||||
5,700 | Energy Conversion Devices, Inc.(b) (L) | 193,686 | ||||||
39,474 | Exelon Corp. | 2,443,046 | ||||||
7,200 | FirstEnergy Corp. | 433,512 | ||||||
4,000 | Iberdrola SA | 174,674 | ||||||
9,300 | NorthWestern Corp. | 329,034 | ||||||
9,000 | NRG Energy, Inc.(b) | 504,090 | ||||||
17,900 | Oklahoma Gas & Electric Co. (L) | 716,000 | ||||||
24,400 | Pepco Holdings, Inc. (L) | 634,644 | ||||||
55,100 | PG&E Corp. (L) | 2,607,883 | ||||||
7,000 | PNM Resources, Inc. (L) | 217,700 | ||||||
4,155 | Reliance Energy Ltd. — GDR (R) | 149,580 | ||||||
11,000 | Scottish & Southern Energy Plc | 334,514 | ||||||
5,900 | Suncor Energy, Inc. | 465,499 | ||||||
10,900 | SunPower Corp., Class A (b) (L) | 405,153 | ||||||
14,400 | Tokyo Electric Power Co. | 465,335 | ||||||
44,000 | Tokyo Gas Ltd. | 233,775 | ||||||
83,500 | TXU Corp. | 4,526,535 | ||||||
7,667 | UIL Holdings Corp. (L) | 323,471 | ||||||
7,800 | Verasun Energy Corp.(b) | 154,050 | ||||||
15,130 | Westar Energy, Inc. | 392,775 | ||||||
156,400 | Xcel Energy, Inc. (L) | 3,606,584 | ||||||
27,119,016 | ||||||||
Entertainment and Leisure (1.2%) | ||||||||
3,900 | Ambassadors Group, Inc. (L) | 118,365 | ||||||
6,200 | Carnival Plc | 313,998 | ||||||
42,300 | K2, Inc.(b) | 557,937 | ||||||
16,129 | Town Sports International Holdings, Inc.(b) (L) | 265,806 | ||||||
293,100 | Walt Disney Co. | 10,044,537 | ||||||
11,300,643 | ||||||||
Financial Services (7.7%) | ||||||||
12,110 | Advanta, Class B (L) | 528,359 | ||||||
5,800 | Affiliated Managers Group, Inc.(b) (L) | 609,754 | ||||||
21,200 | Americredit Corp.(b) | 533,604 | ||||||
1,800 | Calamos Asset Management | 48,294 | ||||||
6,800 | Capital One Financial Corp. | 522,376 | ||||||
113,846 | CapitalSource, Inc. (L) | 3,109,134 | ||||||
281,476 | Citigroup, Inc. | 15,678,213 | ||||||
111,800 | Commerce Assets Holdings | 245,732 | ||||||
6,320 | CompuCredit Corp.(b) (L) | 251,599 | ||||||
132,898 | Countrywide Credit Industries, Inc. | 5,641,520 | ||||||
9,400 | Daewoo Securities Co., Ltd. | 189,618 | ||||||
60,000 | E*TRADE Financial Corp.(b) | 1,345,200 | ||||||
71,000 | Fannie Mae | 4,216,690 | ||||||
7,100 | Federal Home Loan Mortgage Corp. | 482,090 | ||||||
1,800 | Federated Investors, Inc. | 60,804 | ||||||
5,700 | First Marblehead Corp. | 311,505 | ||||||
2,000 | Firstfed Financial Corp.(b) (L) | 133,940 | ||||||
45,000 | Fubon Financial Holding Co., Ltd. — GDR (R) | 421,205 | ||||||
39,260 | Goldman Sachs Group, Inc. | 7,826,481 | ||||||
10,400 | Greenhill & Co., Inc. (L) | 767,520 | ||||||
28,900 | HBOS Plc | 640,199 | ||||||
2,200 | Huron Consulting Group, Inc.(b) | 99,748 | ||||||
�� | 32,579 | ING Groep NV | 1,442,868 | |||||
22,000 | Jefferies Group, Inc. | 590,040 | ||||||
400 | KBW, Inc.(b) (L) | 11,756 | ||||||
81,600 | Lehman Brothers Holdings, Inc. | 6,374,592 | ||||||
62,100 | Merrill Lynch & Co. | 5,781,510 | ||||||
29,100 | Morgan Stanley Dean Witter & Co. | 2,369,613 | ||||||
4,000 | Morningstar, Inc.(b) | 180,200 | ||||||
8,510 | ORIX Corp. | 2,460,714 | ||||||
52,700 | Paychex, Inc. | 2,083,758 | ||||||
3,800 | Piper Jaffray Cos., Inc.(b) | 247,570 | ||||||
47,000 | PNC Financial Services Group | 3,479,880 | ||||||
6,000 | Prudential Financial, Inc. | 515,160 | ||||||
710 | Reliance Capital Ventures Ltd. — GDR(b) (c) (R) | 9,771 |
See accompanying notes to financial statements.
6
Table of Contents
portfolio of investments (continued)
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (cont.): | ||||||||
Financial Services (cont.) | ||||||||
4,980 | Shinhan Financial Group Co., Ltd.(b) | $ | 254,492 | |||||
14,600 | SWS Group, Inc. (L) | 521,220 | ||||||
219,100 | TD Ameritrade Holding Corp.(b) | 3,545,038 | ||||||
9,300 | Triad Guaranty, Inc.(b) (L) | 510,291 | ||||||
10,560 | UBS AG | 640,747 | ||||||
74,682,805 | ||||||||
Food and Beverages (3.0%) | ||||||||
20,000 | Cadbury Schweppes Plc | 213,890 | ||||||
1,500 | Coca-Cola Bottling Co. Consolidated | 102,645 | ||||||
13,300 | Coca-Cola Co. | 641,725 | ||||||
4,700 | Groupe Danone | 711,408 | ||||||
53,700 | Hormel Foods Corp. | 2,005,158 | ||||||
4,300 | Imperial Sugar Co. (L) | 104,103 | ||||||
21,200 | J.M. Smucker Co. | 1,027,564 | ||||||
4,241 | Koninklijke Numico NV | 227,863 | ||||||
118,700 | Kraft Foods, Inc., Class A (L) | 4,237,590 | ||||||
230 | Lindt & Spruengli AG | 566,896 | ||||||
3,396 | Nestle SA | 1,204,907 | ||||||
100,000 | Pepsi Bottling Group, Inc. | 3,091,000 | ||||||
127,500 | PepsiCo, Inc. | 7,975,125 | ||||||
12,100 | Pyaterochka Holding NV — GDR (b) (R) | 314,600 | ||||||
52,300 | Sysco Corp. | 1,922,548 | ||||||
161,700 | Unilever NV — ADR | 4,406,325 | ||||||
7,950 | Unilever Plc | 222,160 | ||||||
17,579 | Woolworths Ltd. | 331,068 | ||||||
29,306,575 | ||||||||
Forest and Paper Products (0.2%) | ||||||||
27,800 | Abitibi-Consolidated, Inc. | 71,447 | ||||||
10,800 | Bowater, Inc. (L) | 243,000 | ||||||
22,400 | Longview Fibre Co. (L) | 491,680 | ||||||
32,784 | Norske Skogsindustrier Asa | 566,231 | ||||||
9,000 | Sappi Ltd. | 150,177 | ||||||
7,200 | Sappi Ltd. — ADR (L) | 120,744 | ||||||
13,500 | Stora Enso Oyj, R Shares | 213,596 | ||||||
3,200 | Universal Forest Products, Inc. (L) | 149,184 | ||||||
15,100 | UPM-Kymmene Oyj | 380,666 | ||||||
2,386,725 | ||||||||
Health Services (3.8%) | ||||||||
226,000 | Bristol-Myers Squibb Co. | 5,948,320 | ||||||
13,000 | Candela Corp.(b) | 160,810 | ||||||
4,500 | Corvel Corp.(b) | 214,065 | ||||||
26,750 | Coventry Health Care, Inc.(b) | 1,338,837 | ||||||
31,900 | Express Scripts, Inc., Class A(b) | 2,284,040 | ||||||
68,700 | Health Management Associates, Inc., Class A (L) | 1,450,257 | ||||||
41,800 | Healthspring, Inc.(b) (L) | 850,630 | ||||||
4,000 | LHC Group, Inc.(b) (L) | 114,040 | ||||||
15,200 | Lifepoint Hospitals, Inc.(b) | 512,240 | ||||||
4,900 | Lincare Holdings, Inc.(b) | 195,216 | ||||||
12,400 | Magellan Healthcare-Services, Inc.(b) | 535,928 | ||||||
91,100 | McKesson Corp. | 4,618,770 | ||||||
7,400 | Nighthawk Radiology Holdings, Inc.(b) (L) | 188,700 | ||||||
8,300 | Pediatrix Medical Group, Inc.(b) | 405,870 | ||||||
40,800 | Quest Diagnostics, Inc. | 2,162,400 | ||||||
44,200 | Stryker Corp. | 2,435,862 | ||||||
128,320 | UnitedHealth Group, Inc. | 6,894,634 | ||||||
67,500 | Universal Healthcare-Services, Inc, Class B | 3,741,525 | ||||||
46,000 | Varian Medical Systems, Inc.(b) | 2,188,220 | ||||||
4,300 | WellCare Health Plans, Inc.(b) | 296,270 | ||||||
36,536,634 | ||||||||
Insurance (6.9%) | ||||||||
70,200 | Ace Ltd. | 4,252,014 | ||||||
23,131 | Aegon NV | 440,393 | ||||||
64,400 | Aetna, Inc. | 2,780,792 | ||||||
43,500 | AFLAC, Inc. | 2,001,000 | ||||||
3,600 | Allianz AG | 735,293 | ||||||
53,179 | American International Group, Inc. | 3,810,807 | ||||||
115,600 | Aon Corp. | 4,085,304 | ||||||
43,490 | Arch Capital Group Ltd.(b) | 2,940,359 | ||||||
9,500 | Aspen Insurance Holdings Ltd. | 250,420 | ||||||
78,500 | Assurant, Inc. | 4,337,125 | ||||||
6,600 | Axa | 266,892 | ||||||
75,900 | Axis Capital Holdings Ltd. | 2,532,783 | ||||||
45 | Berkshire Hathaway, Inc., Class A (b) | 4,949,550 | ||||||
6,667 | China Life Insurance Co. — ADR (L) | 336,725 | ||||||
71,700 | Chubb Corp. | 3,793,647 | ||||||
25,400 | CIGNA Corp. | 3,341,878 | ||||||
6,200 | Commerce Group, Inc. (L) | 184,450 | ||||||
2,600 | Ehealth, Inc.(b) | 52,286 | ||||||
106,600 | Genworth Financial, Inc., Class A | 3,646,786 | ||||||
57,300 | Hartford Financial Services Group, Inc. | 5,346,663 | ||||||
61,356 | Insurance Australia Group Ltd. | 307,012 | ||||||
68,200 | Marsh & McLennan Cos., Inc. | 2,091,012 | ||||||
15,400 | Millea Holdings, Inc. | 542,891 | ||||||
15,000 | Mitsui Marine and Fire | 163,925 | ||||||
3,100 | NYMAGIC, Inc. (L) | 113,460 | ||||||
7,300 | Onebeacon Insurance Group Ltd.(b) | 204,400 | ||||||
8,200 | Platinum Underwriters Holdings Ltd. | 253,708 | ||||||
14,192 | Promina Group Ltd. | 77,388 | ||||||
16,303 | QBE Insurance Group Ltd. | 370,628 | ||||||
57,600 | Reinsurance Group of America, Inc. (L) | 3,208,320 | ||||||
2,700 | Safety Insurance Group, Inc. (L) | 136,917 | ||||||
1,340 | Samsung Fire & Marine Insurance Co., Ltd. | 232,824 | ||||||
93,339 | St. Paul Cos., Inc. | 5,011,371 | ||||||
11,840 | Swiss Re | 1,005,100 | ||||||
144,800 | UnumProvident Corp. | 3,008,944 | ||||||
15,300 | Yasuda F & M Insurance | 186,852 | ||||||
66,999,919 | ||||||||
Internet Services (1.1%) | ||||||||
18,200 | Checkfree Corp.(b) (L) | 730,912 | ||||||
61,800 | CNET Networks, Inc.(b) | 561,762 | ||||||
11,100 | j2 Global Communications, Inc.(b) (L) | 302,475 | ||||||
18,100 | Packeteer, Inc.(b) (L) | 246,160 | ||||||
29,500 | Silicon Image, Inc.(b) (L) | 375,240 | ||||||
80,300 | Softbank Corp. | 1,560,303 | ||||||
309,412 | Symantec Corp.(b) | 6,451,240 | ||||||
708 | Yahoo Japan Corp. | 281,679 | ||||||
10,509,771 | ||||||||
Lodging (0.1%) | ||||||||
5,000 | Accor SA | 386,979 | ||||||
156,000 | Shangri-La Asia Ltd. | 402,191 | ||||||
789,170 | ||||||||
Machinery and Equipment (1.3%) | ||||||||
11,100 | American Axle & Manufacturing Holdings, Inc. (L) | 210,789 | ||||||
53,400 | Fastenal Co. (L) | 1,915,992 | ||||||
18,750 | Graco, Inc. | 742,875 | ||||||
12,200 | Immucor, Inc.(b) (L) | 356,606 | ||||||
7,600 | Lennox International, Inc. | 232,636 | ||||||
50,700 | Manitowoc Co., Inc. | 3,013,101 | ||||||
3,800 | Regal-Beloit Corp. (L) | 199,538 |
See accompanying notes to financial statements.
7
Table of Contents
portfolio of investments (continued)
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (cont.): | ||||||||
Machinery and Equipment (cont.) | ||||||||
11,200 | Schneider SA | $ | 1,241,918 | |||||
2,000 | SMC Corp. | 283,364 | ||||||
28,700 | Terex Corp.(b) | 1,853,446 | ||||||
20,200 | Whirlpool Corp. (L) | 1,677,004 | ||||||
35,100 | Zebra Technologies Corp., Class A (b) (L) | 1,221,129 | ||||||
12,948,398 | ||||||||
Manufacturing (1.6%) | ||||||||
10,950 | Applied Industrial Tech, Inc. (L) | 288,094 | ||||||
13,100 | Assa Abloy AB, Class B | 285,320 | ||||||
4,000 | Chaparral Steel Co. | 177,080 | ||||||
25,300 | Corus Group PLC | 262,649 | ||||||
10,100 | Danaher Corp. | 731,644 | ||||||
10,800 | Eaton Corp. | 811,512 | ||||||
10,600 | FEI Co.(b) | 279,522 | ||||||
3,200 | Greif Inc., Class A (L) | 378,880 | ||||||
31,030 | Hankook Tire Co., Ltd.(b) | 527,460 | ||||||
55,400 | Illinois Tool Works, Inc. | 2,558,926 | ||||||
10,000 | Kao Corp. | 269,431 | ||||||
7,500 | Kellwood Co. (L) | 243,900 | ||||||
4,000 | Kimball International, Inc., Class B | 97,200 | ||||||
7,400 | Maidenform Brands, Inc.(b) (L) | 134,088 | ||||||
72,000 | Mitsubishi Heavy Industries Ltd. | 326,943 | ||||||
1,800 | NACCO Industries, Inc. | 245,880 | ||||||
7,500 | Nordson Corp. (L) | 373,725 | ||||||
2,490 | OAO TMK — GDR(b) | 87,150 | ||||||
57,400 | Parker Hannifin Corp. | 4,412,912 | ||||||
10,900 | Precision Castparts Corp. | 853,252 | ||||||
10,200 | Siemens AG | 1,016,719 | ||||||
95,300 | Skyworks Solutions, Inc.(b) (L) | 674,724 | ||||||
5,200 | Sun Hydraulics Corp. (L) | 106,652 | ||||||
8,600 | Tennant Co. (L) | 249,400 | ||||||
4,500 | Tokyo Seimitsu Co., Ltd. | 212,271 | ||||||
15,605,334 | ||||||||
Media (2.9%) | ||||||||
73,100 | CBS Corp., Class B | 2,279,258 | ||||||
39,600 | Charter Communications, Inc., Class A(b) (L) | 121,176 | ||||||
14,200 | CKX, Inc.(b) (L) | 166,566 | ||||||
114,872 | Comcast Corp., New Class A (b) | 4,862,532 | ||||||
7,600 | Comcast Corp., Special Class A (b) | 318,288 | ||||||
28,300 | Echostar Communications Corp., Class A (b) | 1,076,249 | ||||||
31,800 | Entravision Communications Corp.(b) | 261,396 | ||||||
59,400 | Gemstar-TV Guide International, Inc.(b) | 238,194 | ||||||
35,200 | Grupo Televisa SA — ADR | 950,752 | ||||||
45,700 | Liberty Media Holding Corp. — Capital(b) | 4,477,686 | ||||||
69,600 | McGraw-Hill Companies, Inc. | 4,734,192 | ||||||
10,400 | Naspers Ltd. | 245,168 | ||||||
28,000 | Reed International Plc | 307,117 | ||||||
254,700 | Time Warner, Inc. | 5,547,366 | ||||||
15,900 | Trinity Mirror Plc | 146,084 | ||||||
10,800 | Vivendi SA | 421,639 | ||||||
2,260 | Washington Post Co., Class B | 1,685,056 | ||||||
38,800 | Yell Group Plc | 432,790 | ||||||
28,271,509 | ||||||||
Medical Products (4.1%) | ||||||||
29,300 | Affymetrix, Inc.(b) (L) | 675,658 | ||||||
9,300 | Alcon, Inc. | 1,039,461 | ||||||
55,300 | Alkermes, Inc.(b) | 739,361 | ||||||
73,100 | Amgen, Inc.(b) | 4,993,461 | ||||||
12,400 | Amsurg Corp.(b) (L) | 285,200 | ||||||
15,650 | Applera Corp.-Celera Genomics Group(b) | 218,943 | ||||||
74,600 | Baxter International, Inc. | 3,460,694 | ||||||
29,400 | Beckman Coulter, Inc. (L) | 1,758,120 | ||||||
36,500 | Biomet, Inc. | 1,506,355 | ||||||
172,100 | Boston Scientific Corp.(b) | 2,956,678 | ||||||
13,700 | C. R. Bard, Inc. | 1,136,689 | ||||||
35,000 | Depomed, Inc.(b) (L) | 120,750 | ||||||
20,664 | Genzyme Corp.(b) | 1,272,489 | ||||||
9,600 | Geron Corp.(b) (L) | 84,288 | ||||||
6,600 | Hoya Corp. | 257,042 | ||||||
1,000 | ICU Medical, Inc.(b) | 40,680 | ||||||
49,800 | Johnson & Johnson, Inc. | 3,287,796 | ||||||
62,400 | Kinetic Concepts, Inc.(b) (L) | 2,467,920 | ||||||
4,100 | Medical Action Industries Inc.(b) (L) | 132,184 | ||||||
32,400 | Medtronic, Inc. | 1,733,724 | ||||||
4,226 | Metabasis Therapeutics, Inc.(b) (L) | 31,780 | ||||||
12,500 | Millipore Corp.(b) | 832,500 | ||||||
5,700 | Palomar Medical Technologies, Inc.(b) (L) | 288,819 | ||||||
27,000 | Patterson Co., Inc.(b) | 958,770 | ||||||
29,300 | Sanofi-Synthelabo SA | 2,702,303 | ||||||
141,600 | Schering-Plough Corp. | 3,347,424 | ||||||
20,900 | Smith & Nephew Plc | 217,994 | ||||||
70,600 | Vertex Pharmaceuticals, Inc.(b) (L) | 2,641,852 | ||||||
20,380 | Zeneca Group Plc | 1,094,357 | ||||||
40,283,292 | ||||||||
Metals and Mining (2.1%) | ||||||||
5,600 | AgloGold Ashanti Ltd.-ADR (L) | 263,704 | ||||||
19,900 | Alcan, Inc. | 969,926 | ||||||
174,000 | Alcoa, Inc. | 5,221,740 | ||||||
10,800 | Barrick Gold Corp. | 331,560 | ||||||
25,600 | Bhp Billiton PLC | 468,155 | ||||||
35,700 | Cameco Corp. | 1,448,375 | ||||||
10,390 | Carpenter Technology Corp. | 1,065,183 | ||||||
2,600 | Cleveland-Cliffs, Inc. (L) | 125,944 | ||||||
16,480 | Commercial Metals Co. | 425,184 | ||||||
71,700 | Freeport-McMoRan Copper & Gold, Inc., Class B (L) | 3,995,841 | ||||||
1,600 | GMK Norilsk Nickel (L) | 251,200 | ||||||
40,903 | Harmony Gold Mining Co., Ltd.(b) | 645,926 | ||||||
13,800 | Harmony Gold Mining Co., Ltd. — ADR(b) (L) | 217,350 | ||||||
6,500 | Mueller Industries, Inc. (L) | 206,050 | ||||||
2,300 | Oregon Steel Mills, Inc.(b) | 143,543 | ||||||
970 | POSCO | 322,464 | ||||||
17,700 | Repsol YPF SA | 611,439 | ||||||
13,700 | Rio Tinto Plc | 728,686 | ||||||
5,200 | Ryerson, Inc. (L) | 130,468 | ||||||
42,800 | Southern Copper Corp. (L) | 2,306,492 | ||||||
7,800 | Usec, Inc.(b) | 99,216 | ||||||
8,000 | Usinas Siderurgicas de Minas Gerais SA | 301,781 | ||||||
6,133 | Xstrata Plc | 306,044 | ||||||
20,586,271 | ||||||||
Oil and Gas (7.7%) | ||||||||
41,300 | Apache Corp. | 2,746,863 | ||||||
27,800 | Cal Dive International, Inc.(b) | 348,890 | ||||||
22,000 | Canadian Natural Resources Ltd. | 1,175,262 | ||||||
144,092 | ChevronTexaco Corp. | 10,595,085 | ||||||
180,938 | ConocoPhillips | 13,018,489 |
See accompanying notes to financial statements.
8
Table of Contents
portfolio of investments (continued)
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (cont.): | ||||||||
Oil and Gas (cont.) | ||||||||
9,600 | Delek US Holdings, Inc. | $ | 157,344 | |||||
5,350 | Eni SpA | 179,735 | ||||||
3,500 | EXCO Resources, Inc.(b) | 59,185 | ||||||
172,800 | Exxon Mobil Corp. | 13,241,664 | ||||||
5,600 | FMC Technologies, Inc.(b) | 345,128 | ||||||
13,800 | Grant Prideco, Inc.(b) | 548,826 | ||||||
10,000 | Harvest Natural Resources, Inc.(b) | 106,300 | ||||||
8,000 | Helix Energy Solutions Group, Inc.(b) | 250,960 | ||||||
96,900 | Hess Corp. | 4,803,333 | ||||||
2,700 | Idemitsu Kosan Co., Ltd.(b) | 271,496 | ||||||
12 | Inpex Holdings, Inc.(b) | 98,506 | ||||||
2,421 | L’Air Liquide | 574,255 | ||||||
55,100 | Marathon Oil Corp. | 5,096,750 | ||||||
29,400 | Meridian Resource Corp.(b) | 90,846 | ||||||
8,200 | Neste Oil OYJ | 248,993 | ||||||
138,200 | NiSource, Inc. | 3,330,620 | ||||||
6,900 | OAO Gazprom — ADR | 317,745 | ||||||
116,400 | Occidental Petroleum Corp. | 5,683,812 | ||||||
5,100 | Oil States International, Inc.(b) | 164,373 | ||||||
23,200 | Parker Drilling Co.(b) | 189,544 | ||||||
1,800 | Patterson-UTI Energy, Inc. | 41,814 | ||||||
324,000 | PetroChina Co. Ltd. | 459,114 | ||||||
2,185 | Petroplus Holdings AG(b) | 132,489 | ||||||
7,000 | Pioneer Drilling Co.(b) (L) | 92,960 | ||||||
15,100 | Range Resources Corp. | 414,646 | ||||||
29,800 | Royal Dutch Shell — ADR | 2,109,542 | ||||||
54,946 | Royal Dutch Shell, A Shares | 1,935,759 | ||||||
44,600 | Sasol Ltd. | 1,639,098 | ||||||
19,000 | SeaDrill Ltd. | 321,291 | ||||||
5,100 | St. Mary Land & Exploration Co. (L) | 187,884 | ||||||
7,900 | Swift Energy Co.(b) (L) | 353,999 | ||||||
15,500 | TETRA Technologies, Inc.(b) | 396,490 | ||||||
10,400 | Total SA | 749,380 | ||||||
8,500 | Trico Marine Services, Inc.(b) (L) | 325,635 | ||||||
22,000 | Tupras-Turkiye Petrol Rafinerileri A.S. | 376,254 | ||||||
18,800 | Ugi Corp. | 512,864 | ||||||
33,000 | XTO Energy, Inc. | 1,552,650 | ||||||
75,245,873 | ||||||||
Pharmaceuticals (5.0%) | ||||||||
145,500 | Abbott Laboratories | 7,087,305 | ||||||
54,800 | Amylin Pharmaceuticals(b) (L) | 1,976,636 | ||||||
15,000 | Array Biopharma, Inc.(b) (L) | 193,800 | ||||||
10,770 | Astrazeneca Plc | 578,558 | ||||||
4,600 | Bayer AG | 247,637 | ||||||
24,600 | Cardinal Health, Inc. | 1,584,978 | ||||||
41,240 | Cephalon, Inc.(b) (L) | 2,903,708 | ||||||
46,700 | Cubist Pharmaceuticals, Inc.(b) (L) | 845,737 | ||||||
17,250 | CV Therapeutics, Inc.(b) (L) | 240,810 | ||||||
19,200 | Dendreon Corp.(b) (L) | 80,064 | ||||||
25,860 | Encysive Pharmaceuticals, Inc.(b) (L) | 108,871 | ||||||
100,600 | Forest Laboratories, Inc.(b) | 5,090,360 | ||||||
27,400 | Gilead Sciences, Inc.(b) | 1,779,082 | ||||||
16,200 | Human Genome Sciences, Inc.(b) (L) | 201,528 | ||||||
21,000 | ICOS Corp.(b) | 709,590 | ||||||
12,400 | IMS Health, Inc. | 340,752 | ||||||
48,800 | Incyte Pharmaceutical, Inc.(b) (L) | 284,992 | ||||||
92,000 | Medarex, Inc.(b) (L) | 1,360,680 | ||||||
38,300 | Merck & Co.. Inc. | 1,669,880 | ||||||
176,900 | Millennium Pharmaceuticals, Inc.(b) | 1,928,210 | ||||||
13,300 | Neurogen Corp.(b) | 79,135 | ||||||
42,101 | Novartis AG | 2,423,464 | ||||||
4,100 | Novo Nordisk A/S, Class B | 341,286 | ||||||
41,580 | NPS Pharmaceuticals, Inc.(b) (L) | 188,357 | ||||||
18,600 | Perrigo Co. (L) | 321,780 | ||||||
280,315 | Pfizer, Inc. | 7,260,159 | ||||||
28,460 | Regeneron Pharmaceuticals, Inc.(b) (L) | 571,192 | ||||||
27,500 | Rigel Pharmaceuticals, Inc.(b) (L) | 326,425 | ||||||
4,067 | Roche Holding AG | 728,154 | ||||||
7,900 | Sciele Pharma, Inc.(b) (L) | 189,600 | ||||||
19,900 | Teva Pharmaceutical Industries Ltd. | 618,492 | ||||||
7,100 | UCB SA | 486,321 | ||||||
48,100 | Watson Pharmaceutical, Inc.(b) | 1,252,043 | ||||||
86,800 | Wyeth | 4,419,856 | ||||||
18,280 | Zymogenetics, Inc.(b) (L) | 284,620 | ||||||
48,704,062 | ||||||||
Real Estate (0.7%) | ||||||||
4,500 | Agree Realty Corp. (L) | 154,665 | ||||||
171,000 | Amoy Properties Ltd. | 428,770 | ||||||
19,060 | Anthracite Capital, Inc. (L) | 242,634 | ||||||
20,600 | Capital Lease Funding, Inc. (L) | 238,960 | ||||||
4,200 | Cousins Properties, Inc. | 148,134 | ||||||
18,700 | Diamondrock Hospitality Co. | 336,787 | ||||||
51,000 | Hang Lung Group, Ltd. | 155,094 | ||||||
14,600 | Hersha Hospitality Trust | 165,564 | ||||||
13,800 | Highland Hospitality Corp. (L) | 196,650 | ||||||
24,600 | Impac Mortgage Holdings, Inc. (L) | 216,480 | ||||||
35,090 | IndyMac Mortgage Holdings, Inc. (L) | 1,584,664 | ||||||
4,800 | Jer Investors Trust, Inc. | 99,216 | ||||||
8,100 | KKR Financial Corp. | 216,999 | ||||||
4,700 | Maguire Properties, Inc. (L) | 188,000 | ||||||
25,000 | Mitsubishi Estate Co. | 646,298 | ||||||
5 | NTT Urban Development Corp. | 9,653 | ||||||
13,500 | Reckson Associates Realty Corp. | 615,600 | ||||||
6,100 | Resource Capital Corp. (L) | 103,395 | ||||||
1,800 | Ryland Group, Inc. (L) | 98,316 | ||||||
10,000 | Sumitomo Realty & Development Co., Ltd. | 320,631 | ||||||
26,000 | Sun Hung Kai Properties | 298,718 | ||||||
11,675 | Technical Olympic USA (L) | 118,735 | ||||||
6,583,963 | ||||||||
Restaurants (0.6%) | ||||||||
48,300 | Cheesecake Factory, Inc.(b) (L) | 1,188,180 | ||||||
39,600 | Darden Restaurants, Inc. | 1,590,732 | ||||||
4,500 | P.F. Chang’s China Bistro, Inc.(b) (L) | 172,710 | ||||||
3,500 | Panera Bread Co., Class A (b) (L) | 195,685 | ||||||
38,900 | YUM! Brands, Inc. | 2,287,320 | ||||||
5,434,627 | ||||||||
Retail (4.7%) | ||||||||
5,500 | Aeropostale, Inc.(b) | 169,785 | ||||||
15,300 | AnnTaylor Stores Corp.(b) | 502,452 | ||||||
48,300 | Bed Bath & Beyond, Inc.(b) | 1,840,230 | ||||||
6,100 | Bon-Ton Stores, Inc. (L) | 211,365 | ||||||
6,000 | Books-A-Million, Inc. (L) | 136,080 | ||||||
5,800 | Brown Shoe Co., Inc. | 276,892 | ||||||
19,305 | Cato Corp. (L) | 442,278 | ||||||
4,900 | Cawachi Ltd. | 133,666 | ||||||
44,000 | Chico’s Fas, Inc.(b) (L) | 910,360 | ||||||
32,000 | Circuit City Stores, Inc. | 607,360 | ||||||
400 | Columbia Sportswear Co. | 22,280 | ||||||
27,300 | Compagnie Financiere Richemont AG | 1,588,250 | ||||||
9,500 | Dick’s Sporting Goods, Inc.(b) | 465,405 |
See accompanying notes to financial statements.
9
Table of Contents
portfolio of investments (continued)
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (cont.): | ||||||||
Retail (cont.) | ||||||||
54,900 | Dillard’s, Inc., Class A (L) | $ | 1,919,853 | |||||
92,000 | Dollar General Corp. | 1,477,520 | ||||||
11,700 | Dress Barn, Inc.(b) (L) | 272,961 | ||||||
83,400 | DSW, Inc.(b) (L) | 3,216,738 | ||||||
76,600 | Edgars Consolidated Stores Ltd. | 424,353 | ||||||
226,200 | Gap, Inc. | 4,410,900 | ||||||
293,000 | GOME Electrical Appliances Holdings, Ltd. | 229,822 | ||||||
7,800 | J Crew Group, Inc.(b) | 300,690 | ||||||
34,100 | Jusco Ltd. | 737,011 | ||||||
18,400 | Kesa Electricals Plc | 122,154 | ||||||
61,200 | Kingfisher Plc | 285,634 | ||||||
64,600 | Kohl’s Corp.(b) | 4,420,578 | ||||||
112,100 | Limited Brands, Inc. | 3,244,174 | ||||||
25,000 | Lojas Renner SA | 359,653 | ||||||
6,703 | Lotte Shopping Co. — GDR(b) (R) | 136,071 | ||||||
20,500 | Massmart Holdings Ltd. | 204,368 | ||||||
104,520 | Office Depot, Inc.(b) | 3,989,528 | ||||||
83,500 | Quiksilver, Inc.(b) (L) | 1,315,125 | ||||||
8,250 | Select Comfort Corp.(b) (L) | 143,467 | ||||||
5,000 | Shimamura Co., Ltd. | 573,695 | ||||||
520 | Shinsegae Co., Ltd.(b) | 324,476 | ||||||
4,300 | Shoe Carnival, Inc.(b) (L) | 135,880 | ||||||
5,800 | Shoppers Drug Mart Corp. | 249,718 | ||||||
33,000 | Tesco Plc | 261,218 | ||||||
18,600 | TJX Cos., Inc. | 529,728 | ||||||
8,500 | Urban Outfitters, Inc(b) | 195,755 | ||||||
74,300 | Wal-Mart Stores, Inc. | 3,431,174 | ||||||
43,000 | Walgreen Co. | 1,973,270 | ||||||
314,712 | Walmart De Mexico SA | 1,381,851 | ||||||
14,500 | Weis Markets, Inc. (L) | 581,595 | ||||||
32,200 | Wet Seal, Inc., Class A(b) (L) | 214,774 | ||||||
33,800 | Whole Foods Market, Inc. | 1,586,234 | ||||||
45,956,371 | ||||||||
Technology (0.8%) | ||||||||
34,000 | Aquantive, Inc.(b) (L) | 838,440 | ||||||
63,700 | Brooks Automation, Inc.(b) | 917,280 | ||||||
6,600 | Canon, Inc. | 371,160 | ||||||
5,100 | CommScope, Inc.(b) (L) | 155,448 | ||||||
12,800 | Cymer, Inc.(b) | 562,560 | ||||||
12,500 | Digimarc Corp.(b) (L) | 110,250 | ||||||
4,000 | Dolby Laboratories, Inc., Class A (b) | 124,080 | ||||||
40,700 | Eresearch Technology, Inc.(b) (L) | 273,911 | ||||||
114,090 | Intel Corp. | 2,310,323 | ||||||
41,200 | Linear Technology Corp. | 1,249,184 | ||||||
3,200 | Park Electrochemical Corp. (L) | 82,080 | ||||||
2,400 | Philippine Long Distance Telephone Co. — ADR | 122,712 | ||||||
133,300 | RF Micro Devices, Inc.(b) | 905,107 | ||||||
4,700 | Western Digital Corp.(b) | 96,162 | ||||||
8,118,697 | ||||||||
Telecommunications (5.5%) | ||||||||
39,300 | America Movil, Series L — ADR | 1,777,146 | ||||||
28,500 | Arris Group, Inc.(b) | 356,535 | ||||||
237,700 | AT&T, Inc. | 8,497,775 | ||||||
43,900 | Avaya, Inc.(b) | 613,722 | ||||||
94,300 | BellSouth Corp. | 4,442,473 | ||||||
59,900 | CenturyTel, Inc. | 2,615,234 | ||||||
27,500 | Consolidated Communications Holdings, Inc. | 574,750 | ||||||
188,400 | Corning, Inc.(b) | 3,524,964 | ||||||
68,000 | Koninklijke (Royal) KPN NV | 965,614 | ||||||
12,100 | KT Corp. — ADR(b) (L) | 306,735 | ||||||
71,000 | Magyar Telekom Nyrt.(b) | 394,228 | ||||||
72,500 | Maxis Communications Berhad | 209,728 | ||||||
9,900 | Mobile TeleSystems — ADR | 496,881 | ||||||
428,800 | Motorola, Inc. | 8,816,128 | ||||||
43,500 | Polycom, Inc.(b) | 1,344,585 | ||||||
1,107,000 | PT Telekomunikasi Indonesia | 1,243,820 | ||||||
40,900 | Qualcomm, Inc. | 1,545,611 | ||||||
296,200 | Qwest Communications International, Inc.(b) | 2,479,194 | ||||||
3,700 | SBA Communications Corp.(b) | 101,750 | ||||||
17,000 | SES Global | 295,871 | ||||||
378,575 | Singapore Telecommunications Ltd. (R) | 809,522 | ||||||
358,681 | Sprint Corp. | 6,775,484 | ||||||
1,773 | Swisscom AG | 670,105 | ||||||
6,300 | Syniverse Holdings, Inc.(b) (L) | 94,437 | ||||||
70,000 | Telefonaktiebolaget LM Ericsson | 282,922 | ||||||
17,303 | Telefonica De Espana | 367,761 | ||||||
11,400 | Telekom Austria AG | 305,126 | ||||||
12,400 | Telenor ASA | 233,592 | ||||||
26,000 | Teliasonera Ab | 213,782 | ||||||
75,000 | Telstra Corp., Ltd. | 244,673 | ||||||
34,000 | Telstra Corp., Ltd. Installment Receipts(b) (R) | 72,070 | ||||||
8,600 | Tim Participacoes SA — ADR (L) | 297,732 | ||||||
3,200 | Vimpel-Communications — ADR(b) | 252,640 | ||||||
742,684 | Vodafone Group Plc | 2,056,513 | ||||||
53,279,103 | ||||||||
Transportation (2.3%) | ||||||||
7,200 | Alaska Air Group, Inc.(b) (L) | 284,400 | ||||||
9,000 | Companhia de Consessoes Rodoviarias (CCR) | 121,673 | ||||||
49,500 | CSX Corp. | 1,704,285 | ||||||
15,800 | Deutsche Post AG | 477,058 | ||||||
42,800 | Expeditors International of Washington, Inc. | 1,733,400 | ||||||
12,500 | Fedex Corp. | 1,357,750 | ||||||
42,000 | Hankyu Holdings, Inc. | 239,718 | ||||||
12,200 | Horizon Lines, Inc., Class A | 328,912 | ||||||
18,700 | Hub Group, Inc., Class A(b) (L) | 515,185 | ||||||
21,700 | Overseas Shipholding Group, Inc. (L) | 1,221,710 | ||||||
4,900 | Pacer International, Inc. (L) | 145,873 | ||||||
100,437 | Qantas Airways, Ltd. | 413,132 | ||||||
30,100 | Rent-A-Center, Inc.(b) (L) | 888,251 | ||||||
40,550 | Ryder System, Inc. | 2,070,483 | ||||||
259,100 | Southwest Airlines Co. | 3,969,412 | ||||||
41,000 | Tokyu Corp. | 262,229 | ||||||
67,900 | United Parcel Service, Inc., Class B | 5,091,142 | ||||||
9,480 | Veolia Environnement | 729,962 | ||||||
16,900 | Werner Enterprises, Inc. (L) | 295,412 | ||||||
35,000 | Yamato Transport | 537,603 | ||||||
22,387,590 | ||||||||
Waste Management (0.8%) | ||||||||
225,100 | Waste Management, Inc. | 8,276,927 | ||||||
Total Common Stocks | 952,030,892 | |||||||
See accompanying notes to financial statements.
10
Table of Contents
portfolio of investments (continued)
NEW COVENANT GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Shares or | Value | |||||||
Principal Amount | (Note 2) | |||||||
CASH EQUIVALENTS (2.1%): | ||||||||
$19,745,956 | JP Morgan Cash Trade Execution (c) | $ | 19,745,956 | |||||
Total Cash Equivalents | 19,745,956 | |||||||
INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (11.8%): | ||||||||
975,375 | Banc of America Repurchase Agreement, 5.20%, 1/2/07 (Purchased on 12/29/06, proceeds at maturity $975,939 collateralized by various corporate bonds, fair value $994,883) | 975,375 | ||||||
3,329,624 | Bear Stearns ABS, 5.40%, 1/25/07 | 3,329,624 | ||||||
5,998,525 | CC USA, Inc. MTN, 5.38%, 1/2/07 | 5,998,525 | ||||||
5,000,000 | CIC New York Yankee CD, 5.34%, 1/2/07 | 5,000,000 | ||||||
5,000,000 | Citigroup Global Markets, Inc. Master Note, 5.38%, 1/7/07 | 5,000,000 | ||||||
5,000,000 | Citigroup, Inc. MTN, 5.41%, 1/2/07 | 5,000,000 | ||||||
5,000,000 | Dexia Credit Local du France Time Deposit, 5.34%, 1/2/07 | 5,000,000 | ||||||
5,000,000 | Dorada Finance, Inc. MTN, 5.37%, 1/2/07 | 5,000,000 | ||||||
4,034,100 | Goldman Sachs Asset Allocation ABS, 5.44%, 1/2/07 | 4,034,100 | ||||||
5,000,000 | Goldman Sachs Group, Inc. MTN, 5.42%, 1/2/07 | 5,000,000 | ||||||
4,998,126 | K2 (USA) LLC MTN, 5.38%, 1/2/07 | 4,998,126 | ||||||
1,178,541 | Lehman Brothers Mortgage Loan Term ABS, 5.39%, 1/2/07 | 1,178,541 | ||||||
3,000,000 | Lehman Holdings MTN, 5.46%, 1/2/07 | 3,000,000 | ||||||
12,000,000 | Lehman Holdings MTN, 5.43%, 1/2/07 | 12,000,000 | ||||||
3,999,804 | Liberty Lighthouse US Capital MTN, 5.33%, 1/2/07 | 3,999,804 | ||||||
10,004,132 | Merrill Lynch and Company MTN, 5.39%, 1/2/07 | 10,004,132 | ||||||
5,000,000 | Merrill Lynch Securities Repurchase Agreement, 5.38%, 1/2/07 (Purchased on 12/29/06, proceeds at maturity $5,002,989 collateralized by various corporate bonds, fair value $5,250,000) | 5,000,000 | ||||||
Value | ||||||||
Principal Amount | (Note 2) | |||||||
INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (cont.): | ||||||||
$ | 5,000,000 | Monumental Global Funding II MTN, 5.47%, 1/2/07 | $ | 5,000,000 | ||||
4,000,000 | Morgan Stanley Master Note, 5.49%, 1/2/07 | 4,000,000 | ||||||
6,750,000 | Natexis Banques Populaires New York Yankee CD, 5.35%, 1/2/07 | 6,750,000 | ||||||
3,000,000 | Santander US Debt SA Uni MTN, 5.43%, 3/5/07 | 3,000,000 | ||||||
5,000,000 | United of Omaha Life Insurance Funding Agreement, 5.43%, 1/2/07 | 5,000,000 | ||||||
4,999,279 | Wachovia Bank NA Bank Note, 5.37%, 1/2/07 | 4,999,279 | ||||||
1,500,000 | Wachovia Bank NA Bank Note, 5.45%, 1/2/07 | 1,500,000 | ||||||
Total Investments Held as Collateral For Loaned Securities | 114,767,506 | |||||||
TOTAL INVESTMENTS — 111.8% | ||||||||
(Cost $908,738,476) (a) | $ | 1,086,544,354 | ||||||
Liabilities in excess of other assets — (11.8)% | (114,292,399 | ) | ||||||
NET ASSETS — 100.0% | $ | 972,251,955 | ||||||
(a) | See accompanying notes to financial statements for tax unrealized appreciation (depreciation) of securities. | |
(b) | Non-income producing security. | |
(c) | Fair valued security. | |
(L) | A portion or all of the security is on loan. | |
(R) | Security exempt from registration under Rule 144A of the Securities Act of 1933 or otherwise restricted as to resale. These securities may be resold in transactions exempt from registration, normally for qualified buyers. The Advisor, using procedures approved by the Board of Trustees, has deemed these securities liquid. | |
ABS | Asset Backed Security | |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
MTN | Medium Term Note |
Growth Fund Foreign Currency Contracts as of December 31, 2006:
Contract Amount | Contract Value | Current Value | Unrealized Appreciation/ | |||||||||||||||||
Delivery Date | (Local Currency) | U.S. Dollar | U.S. Dollar | (Depreciation) | ||||||||||||||||
Brazilian Real | 1/2/2007 | 57,555 | $ | 26,823 | $ | 26,970 | $ | 147 | ||||||||||||
Short Contracts | 1/3/2007 | 57,855 | 26,988 | 27,096 | 108 | |||||||||||||||
Great British Pound | 1/2/2007 | 125,714 | 245,948 | 246,010 | 62 | |||||||||||||||
Short Contracts | 1/3/2007 | 22,488 | 44,131 | 44,007 | (124 | ) | ||||||||||||||
1/4/2007 | 5,155 | 10,089 | 10,087 | (2 | ) | |||||||||||||||
Indonesian Rupiah | 1/3/2007 | 288,968,650 | 31,842 | 32,147 | 305 | |||||||||||||||
Short Contracts | 1/4/2007 | 95,553,726 | 10,582 | 10,630 | 48 | |||||||||||||||
Japanese Yen | 1/4/2007 | 1,351,868 | 11,398 | 11,353 | (45 | ) | ||||||||||||||
Short Contracts | 1/4/2007 | 1,825,724 | 15,399 | 15,333 | (66 | ) | ||||||||||||||
1/5/2007 | 1,813,192 | 15,244 | 15,230 | (14 | ) | |||||||||||||||
Singapore Dollar | 1/3/2007 | 38,458 | 25,017 | 25,076 | 59 | |||||||||||||||
Short Contracts | 1/4/2007 | 38,458 | 25,065 | 25,078 | 13 | |||||||||||||||
Swiss Franc | 1/3/2007 | 955,407 | 779,702 | 783,095 | 3,393 | |||||||||||||||
Short Contracts | ||||||||||||||||||||
See accompanying notes to financial statements.
11
Table of Contents
portfolio of investments (continued)
NEW COVENANT INCOME FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Principal Amount | (Note 2) | |||||||
ASSET BACKED SECURITIES (1.7%): | ||||||||
$ | 565,000 | Lehman XS Trust, 5.76%, 11/25/35 * | $ | 550,416 | ||||
575,000 | Lehman XS Trust, 5.11%, 7/25/35 * | 542,440 | ||||||
4,860,000 | Master Asset Backed Securities Trust 5.23%, 11/25/35 * | 4,817,776 | ||||||
2,895,000 | Residential Asset Mortgage Products, Inc., 5.46%, 5/25/32 | 2,886,143 | ||||||
Total Asset Backed Securities | 8,796,775 | |||||||
CORPORATE BONDS (15.2%): | ||||||||
2,000,000 | Abbott Laboratories, 5.88%, 5/15/16 | 2,063,762 | ||||||
2,165,000 | Alcan, Inc., 6.13%, 12/15/33 (L) | 2,147,970 | ||||||
850,000 | Allergan, Inc., 5.75%, 4/1/16 | 861,159 | ||||||
2,500,000 | American International Group, 4.70%, 10/1/10 | 2,458,560 | ||||||
1,000,000 | Bank of America Corp., 4.38%, 12/1/10 (L) | 972,825 | ||||||
3,800,000 | Burlington Northern Santa Fe, 6.75%, 7/15/11 | 4,015,357 | ||||||
2,800,000 | Carolina Power & Light, 6.50%, 7/15/12 | 2,937,418 | ||||||
1,500,000 | Caterpillar Financial Services Corp., 3.70%, 8/15/08 | 1,463,382 | ||||||
10,000,000 | Coca-Cola Enterprises, 0.00%, 6/20/20 | 4,562,670 | ||||||
3,600,000 | E.I. Du Pont De Nemours, 5.25%, 12/15/16 | 3,532,979 | ||||||
1,600,000 | EOP Operating LP, 6.80%, 1/15/09 (L) | 1,654,136 | ||||||
825,000 | Federated Retail Holdings, 5.90%, 12/1/16 | 825,248 | ||||||
1,885,311 | FedEx Corp., 6.72%, 1/15/22 | 2,020,629 | ||||||
1,950,000 | Firstar Bank, 7.13%, 12/1/09 | 2,051,782 | ||||||
4,910,000 | General Electric Capital Corp., 6.13%, 2/22/11 | 5,080,082 | ||||||
3,350,000 | General Mills, Inc., 6.00%, 2/15/12 | 3,435,181 | ||||||
2,000,000 | Home Depot, Inc., 5.40%, 3/1/16 | 1,959,576 | ||||||
600,000 | Household Finance Corp., 4.75%, 5/15/09 | 593,837 | ||||||
1,500,000 | Household Finance Corp., 4.13%, 11/16/09 (L) | 1,459,293 | ||||||
116,000 | International Paper Co., 5.93%, 10/30/12 | 118,520 | ||||||
1,070,000 | International Paper Co., 6.50%, 11/15/07 | 1,075,455 | ||||||
1,750,000 | Kinder Morgan Energy Partners, 7.40%, 3/15/31 | 1,921,176 | ||||||
2,235,000 | May Department Stores Co., 7.45%, 9/15/11 | 2,386,828 | ||||||
4,000,000 | Merrill Lynch & Co. , 4.13%, 9/10/09 (L) | 3,896,168 | ||||||
4,250,000 | Metlife, Inc., 5.00%, 6/15/15 (L) | 4,128,981 | ||||||
1,250,000 | National City Corp., 4.50%, 3/15/10 | 1,217,519 | ||||||
1,185,000 | National City Corp., 6.88%, 5/15/19 | 1,307,791 | ||||||
3,785,000 | PNC Funding Corp., 6.13%, 2/15/09 | 3,850,216 | ||||||
2,000,000 | Prologis Trust, 5.63%, 11/15/16 | 1,988,780 | ||||||
3,925,000 | Sprint Capital Corp., 6.88%, 11/15/28 | 3,940,013 | ||||||
1,300,000 | Sprint Nextel Corp, 6.00%, 12/1/16 | 1,269,343 | ||||||
2,000,000 | SunTrust Banks, Inc., 4.25%, 10/15/09 | 1,949,522 | ||||||
775,000 | Time Warner, Inc., 6.88%, 5/1/12 | 819,892 | ||||||
3,000,000 | Washington Mutual, Inc., 4.20%, 1/15/10 | 2,906,946 | ||||||
3,500,000 | Wells Fargo Corp., 4.20%, 1/15/10 | 3,412,080 | ||||||
Total Corporate Bonds | 80,285,076 | |||||||
MORTGAGE BACKED SECURITIES (65.1%): | ||||||||
3,310,000 | Banc of America Commercial Mortgage, Inc., 5.30%, 6/10/39 * | 3,337,260 | ||||||
3,825,000 | Banc of America Commercial Mortgage, Inc., 4.88%, 7/10/42 | 3,720,018 | ||||||
1,133,089 | Banc of America Funding Corp., 5.17%, 7/20/36 * | 1,125,456 | ||||||
2,685,000 | Banc of America Funding Corp., 5.75%, 7/20/36 | 2,685,662 | ||||||
4,615,000 | Bear Stearns Commercial Mortgage Securities, 5.54%, 6/11/41 | 4,648,676 | ||||||
500,879 | Commercial Mortgage Pass-Through Certificate , 2.96%, 3/10/39 * | 488,736 | ||||||
5,786,000 | CS First Boston Mortgage Securities Corp., 2.85%, 5/15/38 | 5,606,715 | ||||||
4,305,000 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, 5.25%, 6/25/35 | 4,259,718 | ||||||
Fannie Mae | ||||||||
899,597 | 6.13%, 10/1/08 | 904,766 | ||||||
3,492,452 | 6.36%, 8/1/08 | 3,514,986 | ||||||
4,659,301 | 6.10%, 4/1/11 | 4,804,177 | ||||||
1,539,638 | 7.01%, 11/1/08 | 1,567,380 | ||||||
7,811,298 | 6.20%, 1/1/11 | 8,025,355 | ||||||
2,581,166 | 6.48%, 1/1/11 | 2,673,150 | ||||||
2,793,197 | 6.23%, 1/1/08 | 2,793,390 | ||||||
1,301,471 | 6.31%, 5/1/11 | 1,344,412 | ||||||
930,871 | 6.09%, 5/1/11 | 954,415 | ||||||
914,706 | 4.88%, 1/1/13 | 902,793 | ||||||
1,043,786 | 4.92%, 4/1/11 | 1,031,221 | ||||||
5,846,378 | 3.95%, 7/1/13 | 5,471,375 | ||||||
1,484,160 | 4.96%, 11/1/08 | 1,470,456 | ||||||
2,305,000 | 6.28%, 8/1/11 | 2,393,261 | ||||||
2,467,002 | 6.14%, 10/1/11 | 2,547,925 | ||||||
521,349 | 7.50%, 12/1/30 | 544,425 | ||||||
1,211,035 | 6.50%, 8/1/17 | 1,240,702 | ||||||
3,128,136 | 6.00%, 12/25/16 | 3,169,747 | ||||||
4,045,294 | 5.90%, 7/25/42 | 4,064,031 | ||||||
960,000 | 4.50%, 7/25/33 | 930,558 | ||||||
1,191,106 | 4.50%, 9/25/25 | 1,175,227 | ||||||
964,625 | 5.50%, 7/25/34 | 964,736 | ||||||
5,738,000 | 5.00%, 10/25/30 | 5,592,577 | ||||||
932,294 | 5.00%, 5/25/32 | 911,968 | ||||||
4,675,297 | 5.50%, 12/25/34 | 4,678,050 | ||||||
2,945,000 | 5.50%, 9/25/32 | 2,926,674 | ||||||
3,107,250 | 7.26%, 12/1/10 | 3,296,778 | ||||||
4,774,548 | 5.50%, 2/1/35 | 4,727,370 | ||||||
3,787,241 | 5.53%, 3/1/36 | 3,807,236 | ||||||
3,753,033 | 5.00%, 1/1/21 | 3,698,979 | ||||||
4,053,648 | 5.36%, 9/1/35 | 4,004,394 | ||||||
651,004 | 5.50%, 10/1/35 | 643,772 | ||||||
3,874,579 | 5.00%, 8/1/35 | 3,791,164 | ||||||
2,435,175 | 5.50%, 8/1/35 | 2,408,122 | ||||||
4,438,028 | 5.48%, 1/1/36 | 4,453,653 | ||||||
3,322,442 | 5.88%, 7/1/36 | 3,362,105 | ||||||
2,178,644 | 5.52%, 2/1/36 | 2,190,264 | ||||||
1,258,687 | 5.46%, 1/1/36 | 1,268,661 | ||||||
23,216 | 7.50%, 8/1/29 | 24,246 | ||||||
626,519 | 7.00%, 6/1/32 | 644,688 | ||||||
1,121,173 | 7.21%, 5/1/07 | 1,119,193 | ||||||
17,230,000 | 5.00%, 1/1/22 (b) | 16,939,244 |
See accompanying notes to financial statements.
12
Table of Contents
portfolio of investments (continued)
NEW COVENANT INCOME FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Principal Amount | (Note 2) | |||||||
MORTGAGE BACKED SECURITIES (cont.): | ||||||||
Fannie Mae (cont.) | ||||||||
$ | 3,450,000 | 5.50%, 1/1/37 (b) | $ | 3,410,111 | ||||
935,306 | 5.50%, 3/1/36 | 939,444 | ||||||
4,353,541 | 5.70%, 5/1/36 | 4,363,119 | ||||||
15,870,000 | 6.00%, 1/1/37 (b) | 15,979,106 | ||||||
7,555,360 | 5.94%, 11/1/36 | 7,612,567 | ||||||
1,218,567 | 5.77%, 6/1/13 | 1,249,270 | ||||||
3,665,000 | 5.50%, 2/25/32 | 3,625,234 | ||||||
Freddie Mac | ||||||||
3,079,717 | 6.00%, 5/15/17 | 3,122,997 | ||||||
5,270,000 | 5.00%, 8/15/31 | 5,113,501 | ||||||
3,105,000 | 4.50%, 7/15/16 | 3,049,841 | ||||||
4,165,000 | 5.00%, 10/15/32 | 4,052,377 | ||||||
1,230,000 | 5.00%, 3/15/32 | 1,192,550 | ||||||
1,869,774 | 4.06%, 8/15/13 | 1,845,609 | ||||||
1,490,000 | 4.50%, 8/15/13 | 1,475,236 | ||||||
1,240,000 | 5.50%, 4/15/30 | 1,233,198 | ||||||
1,210,000 | 5.50%, 8/15/30 | 1,201,494 | ||||||
4,165,000 | 5.00%, 7/15/30 | 4,072,665 | ||||||
4,150,000 | 5.00%, 6/15/33 | 3,964,384 | ||||||
1,040,000 | 5.00%, 10/15/33 | �� | 992,679 | |||||
3,395,000 | 5.00%, 3/15/34 | 3,240,399 | ||||||
3,734,508 | 5.00%, 5/15/31 | 3,680,501 | ||||||
950,000 | 5.00%, 9/15/34 | 904,476 | ||||||
1,115,000 | 5.00%, 6/15/34 | 1,062,662 | ||||||
3,023,238 | 5.00%, 6/15/31 | 2,979,160 | ||||||
4,150,000 | 5.00%, 2/15/20 | 4,110,809 | ||||||
7,860,000 | 5.50%, 6/15/32 | 7,804,444 | ||||||
6,017,633 | 5.00%, 2/15/32 | 5,914,290 | ||||||
657,280 | 6.50%, 9/1/19 | 671,671 | ||||||
1,285,000 | 6.90%, 12/1/10 | 1,355,418 | ||||||
5,502,678 | 6.98%, 10/1/10 | 5,808,077 | ||||||
3,937,898 | 5.00%, 4/1/21 | 3,870,294 | ||||||
6,226,604 | 5.48%, 5/1/36 | 6,263,319 | ||||||
1,098,857 | 5.34%, 4/1/36 | 1,098,268 | ||||||
4,006,708 | 5.00%, 12/1/20 | 3,937,922 | ||||||
1,370,000 | General Electric Capital Commercial Mortgage Corp., 4.66%, 11/10/38 | 1,315,893 | ||||||
1,230,000 | GMAC Commercial Mortgage Securities, Inc., 5.37%, 8/10/38 | 1,226,922 | ||||||
2,641,246 | Goldman Sachs Mortgage Securities Corp., 2.90%, 1/10/40 | 2,600,058 | ||||||
4,724,466 | Indymac Index Mortgage Loan Trust, 5.88%, 6/25/36 * | 4,744,001 | ||||||
1,155,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.40%, 1/12/39 | 1,091,565 | ||||||
5,555,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.83%, 3/12/39 | 5,407,809 | ||||||
4,000,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.38%, 6/12/41 * | 4,052,288 | ||||||
1,130,757 | JP Morgan Chase Commercial Mortgage Securities Corp., 2.80%, 6/12/41 | 1,101,943 | ||||||
4,000,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.81%, 6/12/43 * | 4,139,670 | ||||||
4,364,000 | LB-UBS Commercial Mortgage Trust, 4.79%, 10/15/29 | 4,226,950 | ||||||
3,885,000 | LB-UBS Commercial Mortgage Trust, 5.00%, 9/15/35 | 3,815,272 | ||||||
1,200,000 | Morgan Stanley Capital I, 5.43%, 6/15/38 * | 1,209,745 | ||||||
2,795,000 | Morgan Stanley Mortgage Loan Trust, 5.96%, 6/25/36 * | 2,791,602 | ||||||
560,000 | Nomura Asset Acceptance Corp., 6.41%, 5/25/36 | 566,720 | ||||||
2,625,000 | Nomura Asset Acceptance Corp., 6.43%, 8/25/36 | 2,658,421 | ||||||
1,051,685 | Residential Funding Mortgage Securities I, 5.89%, 8/25/36 * | 1,059,346 | ||||||
2,400,000 | Time Warner, Inc., 7.63%, 4/15/31 | 2,689,022 | ||||||
1,414,680 | Wachovia Bank Commercial Mortgage Trust, 3.00%, 4/15/35 | 1,383,670 | ||||||
4,995,000 | Wachovia Bank Commercial Mortgage Trust, 5.22%, 1/15/41 | 4,956,486 | ||||||
4,544,444 | Wachovia Mortgage Loan Trust, LLC, 5.24%, 5/20/36 | 4,500,931 | ||||||
4,130,000 | Washington Mutual, Inc., 4.68%, 5/25/35 | 4,039,634 | ||||||
1,125,000 | Washington Mutual, Inc., 3.99%, 10/25/33 * | 1,099,216 | ||||||
5,320,000 | Wells Fargo Mortgage Backed Securities Trust, 5.62%, 5/25/36 * | 5,325,308 | ||||||
7,174,078 | Wells Fargo Mortgage Backed Securities Trust, 5.61%, 7/25/36 * | 7,185,513 | ||||||
Total Mortgage Backed Securities | 343,234,944 | |||||||
U.S. TREASURY OBLIGATIONS (14.7%): | ||||||||
U.S. Treasury Bonds | ||||||||
17,825,000 | 7.25%, 8/15/22 (L) | 22,360,643 | ||||||
11,800,000 | 6.00%, 2/15/26 (L) | 13,386,557 | ||||||
8,890,000 | 7.50%, 11/15/16 (L) | 10,805,519 | ||||||
U.S. Treasury Notes | ||||||||
7,565,000 | 4.25%, 8/15/15 (L) | 7,322,686 | ||||||
24,330,000 | 3.38%, 11/15/08 (L) | 23,714,159 | ||||||
Total U.S. Treasury Obligations | 77,589,564 | |||||||
CLOSED END INVESTMENT COMPANIES (1.5%): | ||||||||
358,900 | MFS Government Markets Income Trust | 2,340,028 | ||||||
223,100 | MFS Intermediate Income Trust | 1,369,834 | ||||||
148,700 | Putnam Master Intermediate Income Trust (L) | 954,654 | ||||||
279,900 | Putnam Premier Income Trust | 1,799,757 | ||||||
72,500 | Western Asset/Claymore US Treasury Inflation Protected Securities Fund | 827,950 | ||||||
73,600 | Western Asset/Claymore US Treasury Inflation Protected Securities Fund 2 | 851,552 | ||||||
Total Closed End Investment Companies | 8,143,775 | |||||||
CASH EQUIVALENTS (8.4%): | ||||||||
44,519,344 | JP Morgan Cash Trade Execution (c) | 44,519,344 | ||||||
Total Cash Equivalents | 44,519,344 | |||||||
INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (12.9%): | ||||||||
1,161,561 | Banc of America Securities LLC Repurchase Agreement, 5.20%, 1/2/2007 (Purchased on 12/29/06, proceeds at maturity $1,162,233, collateralized by various government bonds, fair value $1,184,793) | 1,161,561 | ||||||
4,998,771 | CC USA, Inc. MTN, 5.38%, 1/2/2007 * | 4,998,771 | ||||||
3,000,000 | CIC New York Yankee CD, 5.34%, 1/2/2007 * | 3,000,000 | ||||||
1,000,000 | Citigroup Global Markets, Inc. Master Note, 5.36%, 1/2/07 * | 1,000,000 |
See accompanying notes to financial statements.
13
Table of Contents
portfolio of investments (continued)
NEW COVENANT INCOME FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Value | ||||||||
Principal Amount | (Note 2) | |||||||
INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (cont.): | ||||||||
4,000,000 | Citigroup Global Markets, Inc. Master Note, 5.38%, 1/2/07 * | $ | 4,000,000 | |||||
1,000,000 | Citigroup, Inc. MTN, 5.41%, 1/2/2007 * | 1,000,000 | ||||||
925,557 | CWL 2006-14 2A1 ABS, 5.40%, 1/25/2007 * | 925,557 | ||||||
2,000,000 | Dresdner Bank Repurchase Agreement, 5.36%, 1/2/2007 (Purchased on 12/29/06, proceeds at maturity $2,001,192 collateralized by various corporate bonds, fair value $2,100,000) | 2,000,000 | ||||||
3,000,000 | Dresdner Bank Repurchase Agreement, 5.36%, 1/2/2007 (Purchased on 12/29/06, proceeds at maturity $3,001,788, collateralized by various corporate bonds, fair value $3,150,000) | 3,000,000 | ||||||
2,000,000 | Lehman Holdings MTN, 5.43%, 1/2/2007 * | 2,000,000 | ||||||
2,000,000 | Merrill Lynch Repurchase Agreement, 5.38%, 1/2/2007 (Purchased on 12/29/06, proceeds at maturity $2,001,196, collateralized by various corporate bonds, fair value $2,100,000) | 2,000,000 | ||||||
2,000,000 | Monumental Global Funding II MTN, 5.47%, 1/2/2007 * | 2,000,000 | ||||||
2,000,000 | Morgan Stanley Master Note, 5.49%, 1/2/2007 * | 2,000,000 | ||||||
35,000,000 | Morgan Stanley Repurchase Agreement, 5.36%, 1/2/2007 (Purchased on 12/29/06, proceeds at maturity $35,020,854, collateralized by various corporate bonds, fair value $36,750,000) | 35,000,000 | ||||||
1,000,000 | Natexis Banques Populaires New York Yankee CD, 5.35%, 1/2/2007 * | 1,000,000 | ||||||
2,000,000 | Santander US Debt SA Uni MTN, 5.43%, 3/5/2007 * | 2,000,000 | ||||||
1,000,000 | Wachovia Bank NA Bank Note, 5.45%, 1/2/2007 * | 1,000,000 | ||||||
Total Investments Held as Collateral For Loaned Securities | 68,085,889 | |||||||
TOTAL INVESTMENTS — 119.5% | ||||||||
(Cost $629,448,580)(a) | $ | 630,655,367 | ||||||
Liabilities in excess of other assets — (19.5)% | (103,098,009 | ) | ||||||
NET ASSETS — 100.0% | $ | 527,557,358 | ||||||
(a) | See accompanying notes to financial statements for tax unrealized appreciation (depreciation) of securities. | |
* | Variable rate security. The interest rate shown reflects the rate in effect as of December 31, 2006. | |
(b) | Securities purchased on a when-issued or delayed delivery basis. | |
(c) | All or a portion of this security has been segregated as collateral for securities purchased on a when-issued or delayed delivery basis. | |
(L) | A portion or all of the security is on loan. |
MTN Medium Term Note
See accompanying notes to financial statements.
14
Table of Contents
portfolio of investments (continued)
NEW COVENANT BALANCED GROWTH FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Shares or | Value | |||||||
Principal Amount | (Note 2) | |||||||
INVESTMENT COMPANIES (98.5%): | ||||||||
5,921,233 | New Covenant Growth Fund (b) | $ | 214,526,288 | |||||
4,773,433 | New Covenant Income Fund (b) | 118,619,800 | ||||||
Total Investment Companies | 333,146,088 | |||||||
CASH EQUIVALENTS (1.5%): | ||||||||
$5,219,776 | JP Morgan Cash Trade Execution | 5,219,776 | ||||||
Total Cash Equivalents | 5,219,776 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $285,384,389)(a) | $ | 338,365,864 | ||||||
Liabilities in excess of other assets — (0.0)% | (47,395 | ) | ||||||
NET ASSETS — 100.0% | $ | 338,318,469 | ||||||
(a) | See notes to financial statements for tax unrealized appreciation (depreciation) of securities. | |
(b) | Investment in affiliate in accordance with Section 12(d)(1)(G) of the Investment Company Act of 1940, as amended. |
NEW COVENANT BALANCED INCOME FUND
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Shares or | Value | |||||||
Principal Amount | (Note 2) | |||||||
INVESTMENT COMPANIES (98.7%): | ||||||||
1,318,792 | New Covenant Growth Fund (b) | $ | 47,779,834 | |||||
2,912,949 | New Covenant Income Fund (b) | 72,386,793 | ||||||
Total Investment Companies | 120,166,627 | |||||||
CASH EQUIVALENTS (1.3%): | ||||||||
$1,571,955 | JP Morgan Cash Trade Execution | 1,571,955 | ||||||
Total Cash Equivalents | 1,571,955 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $107,020,058)(a) | $ | 121,738,582 | ||||||
Liabilities in excess of other assets — (0.0)% | (15,758 | ) | ||||||
NET ASSETS — 100.0% | $ | 121,722,824 | ||||||
(a) | See notes to financial statements for tax unrealized appreciation (depreciation) of securities. | |
(b) | Investment in affiliate in accordance with Section 12(d)(1)(G) of the Investment Company Act of 1940, as amended. |
See accompanying notes to financial statements.
15
Table of Contents
statements of assets and liabilities
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Balanced | Balanced | |||||||||||||||
Growth Fund | Income Fund | Growth Fund | Income Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments, at value (Cost $793,970,970, $561,362,691, $5,219,776 and $1,571,955, respectively) | $ | 971,776,848 | $ | 562,569,478 | $ | 5,219,776 | $ | 1,571,955 | ||||||||
Investments in affiliates, at value (Cost $0, $0, $280,164,613 and $105,448,103, respectively) | — | — | 333,146,088 | 120,166,627 | ||||||||||||
Investments held as collateral for loaned securities (Cost $114,767,506, $68,085,889, $0, and $0, respectively) | 114,767,506 | 68,085,889 | — | — | ||||||||||||
Total Investments | 1,086,544,354 | 630,655,367 | 338,365,864 | 121,738,582 | ||||||||||||
Cash | 79,047 | — | — | — | ||||||||||||
Foreign currency, at value (Cost $6,851, $0, $0 and $0, respectively) | 6,851 | — | — | — | ||||||||||||
Interest and dividends receivable | 1,166,775 | 3,417,397 | 21,601 | 8,984 | ||||||||||||
Receivable for investments sold | 1,893,006 | 4,806,398 | — | — | ||||||||||||
Receivable for forward foreign currency contracts | 196 | — | — | — | ||||||||||||
Receivable from Advisor | — | — | 77,031 | 26,658 | ||||||||||||
Reclaims receivable | 32,242 | — | — | — | ||||||||||||
Prepaid expenses | 28,871 | 21,006 | 13,773 | 10,007 | ||||||||||||
Total Assets | 1,089,751,342 | 638,900,168 | 338,478,269 | 121,784,231 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investments purchased | 1,615,068 | 38,440,754 | — | — | ||||||||||||
Payable for capital shares redeemed | 91,698 | 614,989 | — | — | ||||||||||||
Payable for forward foreign currency contracts | 4,190 | — | — | — | ||||||||||||
Payable for return of collateral received on securities loaned | 114,767,506 | 68,085,889 | — | — | ||||||||||||
Cash overdraft | — | 3,776,278 | — | — | ||||||||||||
Accrued expenses and other payables: | ||||||||||||||||
Investment advisory | 683,114 | 254,030 | — | — | ||||||||||||
Administration | 4,417 | 2,978 | 1,735 | 660 | ||||||||||||
Shareholder service | 145,142 | 74,858 | 77,994 | 26,426 | ||||||||||||
Transfer agent | 14,942 | 12,160 | 26,517 | 13,358 | ||||||||||||
Accounting | 24,007 | 10,057 | 6,962 | 1,969 | ||||||||||||
Chief Compliance Officer | 7,954 | 2,733 | 2,827 | 949 | ||||||||||||
Other | 141,349 | 68,084 | 43,765 | 18,045 | ||||||||||||
Total Liabilities | 117,499,387 | 111,342,810 | 159,800 | 61,407 | ||||||||||||
NET ASSETS | $ | 972,251,955 | $ | 527,557,358 | $ | 338,318,469 | $ | 121,722,824 | ||||||||
NET ASSETS consist of: | ||||||||||||||||
Paid-in Capital | 827,057,867 | 533,638,196 | 310,933,611 | 113,106,692 | ||||||||||||
Undistributed (distributions in excess of) net investment income | (1,082,005 | ) | (1,568 | ) | (385,727 | ) | (167,666 | ) | ||||||||
Accumulated net realized losses from investment and foreign currency transactions | (31,531,855 | ) | (7,286,057 | ) | (25,210,890 | ) | (5,934,726 | ) | ||||||||
Net unrealized appreciation on investment transactions and translation of assets and liabilities denominated in foreign currency | 177,807,948 | 1,206,787 | 52,981,475 | 14,718,524 | ||||||||||||
Net Assets | $ | 972,251,955 | $ | 527,557,358 | $ | 338,318,469 | $ | 121,722,824 | ||||||||
Shares outstanding | 26,836,365 | 21,226,773 | 3,879,078 | 6,091,835 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 36.23 | $ | 24.85 | $ | 87.22 | $ | 19.98 |
See accompanying notes to financial statements.
16
Table of Contents
statements of operations
NEW COVENANT FUNDS
For the six months ended December 31, 2006
(Unaudited)
For the six months ended December 31, 2006
(Unaudited)
Balanced | Balanced | |||||||||||||||
Growth Fund | Income Fund | Growth Fund | Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest | $ | 254,998 | $ | 13,759,506 | $ | 121,830 | $ | 45,059 | ||||||||
Dividend | 7,940,452 | 268,646 | — | — | ||||||||||||
Dividend income from affiliates | — | — | 3,484,820 | 1,842,460 | ||||||||||||
Foreign tax withholding | (81,071 | ) | — | — | — | |||||||||||
Income from securities lending | 257,511 | 34,704 | — | — | ||||||||||||
Total Income | 8,371,890 | 14,062,856 | 3,606,650 | 1,887,519 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory | 4,647,924 | 2,012,704 | — | — | ||||||||||||
Administration | 93,890 | 53,668 | 32,499 | 12,407 | ||||||||||||
Shareholder service | 853,798 | 425,219 | 393,669 | 151,939 | ||||||||||||
Transfer agent | 31,532 | 30,363 | 72,110 | 37,971 | ||||||||||||
Accounting | 145,475 | 83,392 | 42,380 | 16,686 | ||||||||||||
Custodian | 51,148 | 4,457 | 21 | 25 | ||||||||||||
Chief Compliance Officer | 3,965 | 2,751 | 1,397 | 652 | ||||||||||||
Other | 178,777 | 103,155 | 68,175 | 30,416 | ||||||||||||
Total expenses before contractual fee reductions | 6,006,509 | 2,715,709 | 610,251 | 250,096 | ||||||||||||
Expenses contractually reduced by Advisor | (846,018 | ) | (432,869 | ) | (392,780 | ) | (152,116 | ) | ||||||||
Expenses contractually reduced by Administrator | (68,871 | ) | (39,367 | ) | (23,839 | ) | (9,101 | ) | ||||||||
Expenses paid indirectly | (42,429 | ) | — | — | — | |||||||||||
Total Expenses | 5,049,191 | 2,243,473 | 193,632 | 88,879 | ||||||||||||
NET INVESTMENT INCOME | 3,322,699 | 11,819,383 | 3,413,018 | 1,798,640 | ||||||||||||
REALIZED AND UNREALIZED GAINS/(LOSSES) FROM INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: | ||||||||||||||||
Net realized gains/(losses) from investment and foreign currency transactions | 25,880,912 | (255,053 | ) | (84,678 | ) | 49,969 | ||||||||||
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currency | 69,305,543 | 12,600,431 | 23,067,948 | 6,425,968 | ||||||||||||
Net realized/ unrealized gains from investments and foreign currency | 95,186,455 | 12,345,378 | 22,983,270 | 6,475,937 | ||||||||||||
Change in net assets resulting from operations | $ | 98,509,154 | $ | 24,164,761 | $ | 26,396,288 | $ | 8,274,577 | ||||||||
See accompanying notes to financial statements.
17
Table of Contents
statements of changes in net assets
NEW COVENANT FUNDS
Growth Fund | Income Fund | |||||||||||||||
For the six | For the six | |||||||||||||||
months ended | For the year | months ended | For the year | |||||||||||||
December 31, | ended | December 31, | ended | |||||||||||||
2006 | June 30, 2006 | 2006 | June 30, 2006 | |||||||||||||
(unaudited) | (unaudited) | |||||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income | $ | 3,322,699 | $ | 5,279,004 | $ | 11,819,383 | $ | 21,712,238 | ||||||||
Net realized gains/(losses) from investment and foreign currency transactions | 25,880,912 | 79,446,959 | (255,053 | ) | (5,468,313 | ) | ||||||||||
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currency | 69,305,543 | 2,215,704 | 12,600,431 | (21,045,802 | ) | |||||||||||
Change in net assets resulting from operations | 98,509,154 | 86,941,667 | 24,164,761 | (4,801,877 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (3,974,388 | ) | (5,561,246 | ) | (11,820,951 | ) | (22,526,735 | ) | ||||||||
From net realized gains on investments | — | — | — | (236,126 | ) | |||||||||||
Tax return of capital | — | — | — | (7,219 | ) | |||||||||||
Change in net assets from distributions to shareholders | (3,974,388 | ) | (5,561,246 | ) | (11,820,951 | ) | (22,770,080 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | 24,121,759 | 46,592,143 | 21,530,565 | 77,699,741 | ||||||||||||
Dividends reinvested | 305,632 | 398,185 | 860,676 | 1,894,158 | ||||||||||||
Cost of shares redeemed | (52,719,834 | ) | (100,943,787 | ) | (33,536,271 | ) | (52,871,436 | ) | ||||||||
Change in net assets from capital transactions | (28,292,443 | ) | (53,953,459 | ) | (11,145,030 | ) | 26,722,463 | |||||||||
Change in net assets | 66,242,323 | 27,426,962 | 1,198,780 | (849,494 | ) | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 906,009,632 | 878,582,670 | 526,358,578 | 527,208,072 | ||||||||||||
End of period | $ | 972,251,955 | $ | 906,009,632 | $ | 527,557,358 | $ | 526,358,578 | ||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued | 700,478 | 1,430,614 | 864,717 | 3,095,727 | ||||||||||||
Reinvested | 8,756 | 12,377 | 34,545 | 76,612 | ||||||||||||
Redeemed | (1,532,194 | ) | (3,151,687 | ) | (1,348,057 | ) | (2,124,522 | ) | ||||||||
Net increase (decrease) from share transactions | (822,960 | ) | (1,708,696 | ) | (448,795 | ) | 1,047,817 | |||||||||
Undistributed (distributions in excess of) net investment income | $ | (1,082,005 | ) | $ | (430,316 | ) | $ | (1,568 | ) | $ | — | |||||
See accompanying notes to financial statements.
18
Table of Contents
statements of changes in net assets (continued)
NEW COVENANT FUNDS
Balanced Growth Fund | Balanced Income Fund | |||||||||||||||
For the six | For the six | |||||||||||||||
months ended | For the year | months ended | For the year | |||||||||||||
December 31, | ended | December 31, | ended | |||||||||||||
2006 | June 30, 2006 | 2006 | June 30, 2006 | |||||||||||||
(unaudited) | (unaudited) | |||||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income | $ | 3,413,018 | $ | 5,745,091 | $ | 1,798,640 | $ | 3,392,679 | ||||||||
Net realized gains/(losses) from investment transactions | (84,678 | ) | (326,125 | ) | 49,969 | (139,528 | ) | |||||||||
Net change in unrealized appreciation/depreciation on investments | 23,067,948 | 12,330,244 | 6,425,968 | 744,992 | ||||||||||||
Change in net assets resulting from operations | 26,396,288 | 17,749,210 | 8,274,577 | 3,998,143 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (3,798,745 | ) | (5,762,319 | ) | (1,966,644 | ) | (3,400,312 | ) | ||||||||
Tax return of capital | — | (617 | ) | — | — | |||||||||||
Change in net assets from distributions to shareholders | (3,798,745 | ) | (5,762,936 | ) | (1,966,644 | ) | (3,400,312 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | 14,576,536 | 33,824,396 | 2,181,759 | 13,534,324 | ||||||||||||
Dividends reinvested | 2,872,030 | 4,321,801 | 1,207,515 | 2,072,777 | ||||||||||||
Cost of shares redeemed | (13,804,694 | ) | (43,579,142 | ) | (10,486,729 | ) | (18,501,980 | ) | ||||||||
Change in net assets from capital transactions | 3,643,872 | (5,432,945 | ) | (7,097,455 | ) | (2,894,879 | ) | |||||||||
Change in net assets | 26,241,415 | 6,553,329 | (789,522 | ) | (2,297,048 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 312,077,054 | 305,523,725 | 122,512,346 | 124,809,394 | ||||||||||||
End of period | $ | 338,318,469 | $ | 312,077,054 | $ | 121,722,824 | $ | 122,512,346 | ||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued | 170,669 | 414,257 | 111,454 | 702,194 | ||||||||||||
Reinvested | 33,484 | 53,383 | 60,995 | 108,749 | ||||||||||||
Redeemed | (163,707 | ) | (535,931 | ) | (533,608 | ) | (960,940 | ) | ||||||||
Net increase (decrease) from share transactions | 40,446 | (68,291 | ) | (361,159 | ) | (149,997 | ) | |||||||||
Undistributed (distributions in excess of) net investment income | $ | (385,727 | ) | $ | — | $ | (167,666 | ) | $ | 338 | ||||||
See accompanying notes to financial statements.
19
Table of Contents
financial highlights
NEW COVENANT FUNDS
For a Share outstanding throughout each period.
Growth Fund | ||||||||||||||||||||||||
For the six | ||||||||||||||||||||||||
months | For the year | For the year | For the year | For the year | For the year | |||||||||||||||||||
ended | ended | ended | ended | ended | ended | |||||||||||||||||||
December | June 30, | June 30, | June 30, | June 30, | June 30, | |||||||||||||||||||
31, 2006 | 2006 | 2005 | 2004 | 2003 | 2002 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 32.76 | $ | 29.92 | $ | 28.07 | $ | 23.51 | $ | 24.13 | $ | 29.26 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income | 0.13 | 0.18 | 0.21 | 0.07 | 0.10 | 0.04 | ||||||||||||||||||
Net realized and unrealized gains/(losses) from investment and foreign currency transactions | 3.49 | 2.86 | 1.85 | 4.58 | (0.63 | ) | (5.11 | ) | ||||||||||||||||
Total from Investment Activities | 3.62 | 3.04 | 2.06 | 4.65 | (0.53 | ) | (5.07 | ) | ||||||||||||||||
DIVIDENDS: | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.20 | ) | (0.21 | ) | (0.09 | ) | (0.09 | ) | (0.01 | ) | ||||||||||||
Tax return of capital | — | — | — | — | — | (0.05 | ) | |||||||||||||||||
Total Dividends | (0.15 | ) | (0.20 | ) | (0.21 | ) | (0.09 | ) | (0.09 | ) | (0.06 | ) | ||||||||||||
Change in net asset value per share | 3.47 | 2.84 | 1.85 | 4.56 | (0.62 | ) | (5.13 | ) | ||||||||||||||||
Net Asset Value, End of Period | $ | 36.23 | $ | 32.76 | $ | 29.92 | $ | 28.07 | $ | 23.51 | $ | 24.13 | ||||||||||||
Total Return | 11.06 | % | 10.17 | % | 7.38 | % | 19.81 | % | (2.17 | )% | (17.34 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 972,252 | $ | 906,010 | $ | 878,583 | $ | 834,575 | $ | 708,885 | $ | 695,622 | ||||||||||||
Ratio of expenses to average net assets | 1.08 | % | 1.07 | % | 1.11 | % | 1.13 | % | 1.13 | % | 1.11 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.71 | % | 0.58 | % | 0.75 | % | 0.32 | % | 0.47 | % | 0.15 | % | ||||||||||||
Ratio of expenses to average net assets (a) | 1.28 | % | 1.28 | % | 1.36 | % | 1.39 | % | 1.13 | % | 1.11 | % | ||||||||||||
Portfolio turnover rate | 26 | % | 51 | % | 76 | % | 94 | % | 63 | % | 79 | % |
(a) | Ratios excluding waivers and expenses paid indirectly. |
See accompanying notes to financial statements.
20
Table of Contents
financial highlights (continued)
NEW COVENANT FUNDS
For a Share outstanding throughout each period.
Income Fund | ||||||||||||||||||||||||
For the six | ||||||||||||||||||||||||
months | For the year | For the year | For the year | For the year | For the year | |||||||||||||||||||
ended | ended | ended | ended | ended | ended | |||||||||||||||||||
December | June 30, | June 30, | June 30, | June 30, | June 30, | |||||||||||||||||||
31, 2006 | 2006 | 2005 | 2004 | 2003 | 2002 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 24.28 | $ | 25.56 | $ | 25.17 | $ | 26.62 | $ | 25.54 | $ | 24.83 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income | 0.56 | 1.00 | 0.94 | 0.96 | 1.00 | 1.21 | ||||||||||||||||||
Net realized and unrealized gains/(losses) from investments | 0.57 | (1.23 | ) | 0.55 | (0.96 | ) | 1.42 | 0.73 | ||||||||||||||||
Total from Investment Activities | 1.13 | (0.23 | ) | 1.49 | — | 2.42 | 1.94 | |||||||||||||||||
DIVIDENDS: | ||||||||||||||||||||||||
Net investment income | (0.56 | ) | (1.04 | ) | (1.04 | ) | (0.90 | ) | (1.06 | ) | (1.23 | ) | ||||||||||||
Net realized gains | — | (0.01 | ) | (0.06 | ) | (0.44 | ) | (0.28 | ) | — | ||||||||||||||
Tax return of capital | — | — | * | — | (0.11 | ) | — | — | ||||||||||||||||
Total Dividends | (0.56 | ) | (1.05 | ) | (1.10 | ) | (1.45 | ) | (1.34 | ) | (1.23 | ) | ||||||||||||
Change in net asset value per share | 0.57 | (1.28 | ) | 0.39 | (1.45 | ) | 1.08 | 0.71 | ||||||||||||||||
Net Asset Value, End of Period | $ | 24.85 | $ | 24.28 | $ | 25.56 | $ | 25.17 | $ | 26.62 | $ | 25.54 | ||||||||||||
Total Return | 4.64 | % | (0.90 | )% | 6.02 | % | 0.00 | % | 9.63 | % | 7.97 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 527,557 | $ | 526,359 | $ | 527,208 | $ | 524,025 | $ | 525,734 | $ | 545,356 | ||||||||||||
Ratio of expenses to average net assets | 0.84 | % | 0.84 | % | 0.86 | % | 0.86 | % | 0.85 | % | 0.84 | % | ||||||||||||
Ratio of net investment income to average net assets | 4.40 | % | 4.04 | % | 3.68 | % | 3.70 | % | 3.79 | % | 4.72 | % | ||||||||||||
Ratio of expenses to average net assets (a) | 1.01 | % | 1.01 | % | 1.08 | % | 1.11 | % | 0.85 | % | 0.84 | % | ||||||||||||
Portfolio turnover rate | 96 | % | 263 | % | 206 | % | 242 | % | 226 | % | 290 | % |
* | Less than $0.005. | |
(a) | Ratios excluding waivers and expenses paid indirectly. |
See accompanying notes to financial statements.
21
Table of Contents
financial highlights (continued)
NEW COVENANT FUNDS
For a Share outstanding throughout each period.
Balanced Growth Fund | ||||||||||||||||||||||||
For the six | ||||||||||||||||||||||||
months | For the year | For the year | For the year | For the year | For the year | |||||||||||||||||||
ended | ended | ended | ended | ended | ended | |||||||||||||||||||
December | June 30, | June 30, | June 30, | June 30, | June 30, | |||||||||||||||||||
31, 2006 | 2006 | 2005 | 2004 | 2003 | 2002 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 81.30 | $ | 78.20 | $ | 74.65 | $ | 67.88 | $ | 67.25 | $ | 81.92 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income (a) | 0.89 | 1.52 | 1.41 | 1.34 | 1.27 | 1.52 | ||||||||||||||||||
Net realized and unrealized gains/(losses) from investments (a) | 6.02 | 3.10 | 3.54 | 6.73 | 0.71 | (7.44 | ) | |||||||||||||||||
Total from Investment Activities | 6.91 | 4.62 | 4.95 | 8.07 | 1.98 | (5.92 | ) | |||||||||||||||||
DIVIDENDS: | ||||||||||||||||||||||||
Net investment income | (0.99 | ) | (1.52 | ) | (1.40 | ) | (1.23 | ) | (1.27 | ) | (1.34 | ) | ||||||||||||
Net realized gains | — | — | — | — | (0.08 | ) | (7.00 | ) | ||||||||||||||||
Tax return of capital | — | — | * | — | (0.07 | ) | — | (0.41 | ) | |||||||||||||||
Total Dividends | (0.99 | ) | (1.52 | ) | (1.40 | ) | (1.30 | ) | (1.35 | ) | (8.75 | ) | ||||||||||||
Change in net asset value per share | 5.92 | 3.10 | 3.55 | 6.77 | 0.63 | (14.67 | ) | |||||||||||||||||
Net Asset Value, End of Period | $ | 87.22 | $ | 81.30 | $ | 78.20 | $ | 74.65 | $ | 67.88 | $ | 67.25 | ||||||||||||
Total Return | 8.52 | % | 5.93 | % | 6.68 | % | 11.95 | % | 3.10 | % | (7.79 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 338,318 | $ | 312,077 | $ | 305,524 | $ | 302,446 | $ | 272,467 | $ | 286,314 | ||||||||||||
Ratio of expenses to average net assets | 0.12 | % | 0.12 | % | 0.14 | % | 0.15 | % | 0.14 | % | 0.11 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.10 | % | 1.85 | % | 1.83 | % | 1.52 | % | 1.96 | % | 2.02 | % | ||||||||||||
Ratio of expenses to average net assets (b) | 0.38 | % | 0.38 | % | 0.22 | % | 0.15 | % | 0.14 | % | 0.11 | % | ||||||||||||
Portfolio turnover rate | 2 | % | 10 | % | 5 | % | 12 | % | 15 | % | 18 | % |
* | Less than $0.005. | |
(a) | Includes income or gains/(losses) from affiliates. | |
(b) | Ratios excluding waivers. |
See accompanying notes to financial statements.
22
Table of Contents
financial highlights (continued)
NEW COVENANT FUNDS
For a Share outstanding throughout each period.
Balanced Income Fund | ||||||||||||||||||||||||
For the six | ||||||||||||||||||||||||
months | For the year | For the year | For the year | For the year | For the year | |||||||||||||||||||
ended | ended | ended | ended | ended | ended | |||||||||||||||||||
December | June 30, | June 30, | June 30, | June 30, | June 30, | |||||||||||||||||||
31, 2006 | 2006 | 2005 | 2004 | 2003 | 2002 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.99 | $ | 18.90 | $ | 18.24 | $ | 17.52 | $ | 17.10 | $ | 18.88 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income (a) | 0.29 | 0.52 | 0.48 | 0.53 | 0.52 | 0.57 | ||||||||||||||||||
Net realized and unrealized gains/(losses) from investments (a) | 1.02 | 0.09 | 0.66 | 0.70 | 0.47 | (0.84 | ) | |||||||||||||||||
Total from Investment Activities | 1.31 | 0.61 | 1.14 | 1.23 | 0.99 | (0.27 | ) | |||||||||||||||||
DIVIDENDS: | ||||||||||||||||||||||||
Net investment income | (0.32 | ) | (0.52 | ) | (0.48 | ) | (0.48 | ) | (0.52 | ) | (0.54 | ) | ||||||||||||
Net realized gains | — | — | — | — | (0.05 | ) | (0.94 | ) | ||||||||||||||||
Tax return of capital | — | — | — | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
Total Dividends | (0.32 | ) | (0.52 | ) | (0.48 | ) | (0.51 | ) | (0.57 | ) | (1.51 | ) | ||||||||||||
Change in net asset value per share | 0.99 | 0.09 | 0.66 | 0.72 | 0.42 | (1.78 | ) | |||||||||||||||||
Net Asset Value, End of Period | $ | 19.98 | $ | 18.99 | $ | 18.90 | $ | 18.24 | $ | 17.52 | $ | 17.10 | ||||||||||||
Total Return | 6.91 | % | 3.26 | % | 6.32 | % | 7.07 | % | 6.00 | % | (1.55 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 121,723 | $ | 122,512 | $ | 124,809 | $ | 124,915 | $ | 122,576 | $ | 114,013 | ||||||||||||
Ratio of expenses to average net assets | 0.14 | % | 0.15 | % | 0.17 | % | 0.18 | % | 0.16 | % | 0.14 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.90 | % | 2.71 | % | 2.58 | % | 2.34 | % | 3.08 | % | 3.13 | % | ||||||||||||
Ratio of expenses to average net assets (b) | 0.40 | % | 0.41 | % | 0.25 | % | 0.18 | % | 0.16 | % | 0.14 | % | ||||||||||||
Portfolio turnover rate | 2 | % | 13 | % | 6 | % | 12 | % | 18 | % | 11 | % |
(a) | Includes income or gains/(losses) from affiliates. | |
(b) | Ratios excluding waivers. |
See accompanying notes to financial statements.
23
Table of Contents
notes to financial statements
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
1. Organization
New Covenant Funds (the “Trust”), an open-end, diversified management investment company, was organized as a Delaware business trust on September 30, 1998. It currently consists of four investment funds: New Covenant Growth Fund (“Growth Fund”), New Covenant Income Fund (“Income Fund”), New Covenant Balanced Growth Fund (“Balanced Growth”), and New Covenant Balanced Income Fund (“Balanced Income”), (individually, a “Fund,” and collectively, the “Funds”). The Funds commenced operations on July 1, 1999. The Trust’s authorized capital consists of an unlimited number of shares of beneficial interest of $0.001 par value. The Funds’ investment advisor is the NCF Investment Department of New Covenant Trust Company, N.A., a wholly owned subsidiary of the Presbyterian Church (U.S.A.) Foundation (the “Advisor”).
The objectives of the Funds are as follows:
Growth Fund | Long-term capital appreciation. Dividend income, if any, will be incidental. | |
Income Fund | High level of current income with preservation of capital. | |
Balanced Growth Fund | Capital appreciation with less risk than would be present in a portfolio of only common stocks. | |
Balanced Income Fund | Current income and long-term growth of capital. |
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Trust enters into contracts with its vendors and others that provide general indemnification. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against a Fund. However, based on experience, the Funds expect the risk of loss to be remote.
2. Significant Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted in the United States (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The policies are in conformity with GAAP.
Portfolio Valuation: Fund investments are recorded at market value. Portfolio securities listed on a domestic or foreign exchange are valued at the last sale price on the day of valuation or, if there was no sale that day, at the last reported bid price as of the close of trading. Equity securities traded on NASDAQ use the official closing price. Equity securities which are traded in the over-the-counter market only, but which are not included on NASDAQ, are valued at the mean between the last preceding bid and ask prices. Debt securities with a remaining maturity of sixty days or more are valued using a pricing service when such prices are believed to reflect fair market value. Debt securities with a remaining maturity of less than sixty days are valued at amortized cost, which approximates market value. Investment companies are valued at net asset value. All other securities and securities with no readily determinable market values are valued using procedures adopted by the Board of Trustees. Factors used in determining fair value include but are not limited to: type of security or asset, fundamental analytical data relating to the investment in the security, evaluation of the forces that influence the market in which the security is purchased and sold, and information as to any transactions or offers with respect to the security.
Foreign securities traded outside the United States are generally valued as of the time their trading is complete, which is usually different from the close of the New York Stock Exchange (“NYSE”). Occasionally, events affecting the value of such securities may occur between such times and the close of the NYSE that will not be reflected in the security’s market value. If events materially affecting the value of such securities occur during such period, these securities will be valued at their fair value according to procedures adopted by the Board of Trustees. All securities and other assets of a Fund initially expressed in foreign currencies will be converted to U.S. dollar values at the foreign exchange rate every business day, generally at 4:00 PM EST.
Securities Transactions and Investment Income: During the period, security transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on trade date on the last business day of the reporting period. Securities sold are determined on a specific identification basis. Interest income is recognized on the accrual basis and includes, where applicable, the amortization of premium or accretion of discount for both financial reporting and tax purposes. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.
24
Table of Contents
notes to financial statements (continued)
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Options: The Income Fund may purchase or write options which are traded over-the-counter to hedge fluctuation risks in the prices of certain securities. When the Fund writes a call or put option, an amount equal to the premium received is reflected as a liability. The liability is subsequently “marked-to-market” to reflect the current market value of the option written. The premium paid by the Fund for the purchase of a call or put option is recorded as an investment and subsequently “marked-to-market” to reflect the current market value of the option purchased. The Fund is subject to the risk of an imperfect correlation between movement in the price of the option and the price of the underlying security. Risks may also arise due to illiquid secondary markets for the options. There were no options outstanding at December 31, 2006.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Investment valuation and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investments and income and expenses are converted into U.S. dollars based upon exchange rates prevailing on the respective dates of such transactions. That portion of unrealized gains or losses on investments due to fluctuations in foreign currency exchange rates is not separately disclosed.
The Funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in the market prices of such securities. The Funds report gains and losses on foreign currency related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such
gains and losses are treated as ordinary income or loss for U.S. federal income tax purposes.
gains and losses are treated as ordinary income or loss for U.S. federal income tax purposes.
Forward Foreign Currency Contracts: The Growth Fund may enter into forward foreign currency contracts as hedges against either specific transactions or portfolio positions. All commitments are “marked-to-market” daily at the applicable foreign exchange rate and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains and losses at the time foreign forward contracts are extinguished.
Loans of Portfolio Securities: The Growth Fund and the Income Fund may lend their securities pursuant to a securities lending agreement (“Lending Agreement”) with JPMorgan Chase Bank, N.A. (“JPMorgan”). Security loans made pursuant to the Lending Agreement are required at all times to be secured by collateral valued at least 102% of the market value of the securities loaned. Cash collateral received is invested by JPMorgan pursuant to the terms of the Lending Agreement. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. To the extent a loan is secured by noncash collateral, the borrower is required to pay a loan premium. Non-cash collateral received cannot be sold or repledged. Net income earned on the investment of cash collateral and loan premiums received on non-cash collateral are allocated between JPMorgan and the Funds in accordance with the Lending Agreement. Income allocated to the Funds is included in investment income in the respective Statements of Operations.
At December 31, 2006, the cash collateral received by the Growth Fund and the Income Fund was invested in repurchase agreements and other short-term securities. Information on the investment of cash collateral is shown in the Portfolio of Investments. The Growth Fund and the Income Fund receive payments from borrowers equivalent to the dividends and interest that would have been earned on the securities lent while simultaneously seeking to earn income on the investment cash collateral, a portion of which is retained by the Advisor. One of the risks in lending portfolio securities, as with other extensions of credit, is the possible delay in the recovery of the securities or possible loss of rights in the collateral should the borrower fail financially. There is also the risk that, when lending portfolio securities, the securities may not be available to a Fund on a timely basis and a Fund may, therefore, lose the opportunity to sell the securities at a desirable price. In addition, in the event that a borrower of securities would file for bankruptcy or become insolvent, disposition of the securities may be delayed pending court action. However, loans will be made only to borrowers deemed by the Advisor to be creditworthy under guidelines established by the Board of Trustees and when, in the judgment of the Advisor, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Funds or the borrower at any time, and are, therefore, not considered to be illiquid investments.
The value of the loaned securities and related collateral at December 31, 2006, was as follows:
Value of | Value of | Value of | ||||||||||
Fund | Securities loaned | Cash Collateral | Non-Cash Collateral | |||||||||
Growth Fund | $ | 110,746,077 | $ | 114,767,506 | $ | — | ||||||
Income Fund | 72,495,615 | 68,085,889 | 5,886,277 | |||||||||
Repurchase Agreements: The Funds 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.
25
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notes to financial statements (continued)
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Forward Commitments, When-Issued Securities and Delayed-Delivery Transactions: The Growth Fund and the Income Fund may purchase or sell securities on a when-issued or delayed-delivery basis and make contracts to purchase or sell securities for a fixed price at a future date beyond customary settlement time. Debt securities are often issued on that basis. No income will accrue on securities purchased on a when-issued or delayed-delivery basis until the securities are delivered. Securities purchased or sold on a when-issued, delayed-delivery of forward-commitment basis involve a risk of loss if the value of the security to be purchased declines prior to settlement date. Although the Funds would generally purchase securities on a when-issued, delayeddelivery or a forward-commitment basis with the intention of acquiring the securities, the Funds may dispose of such securities prior to settlement if the portfolio manager deems it appropriate to do so.
The Funds may dispose of or renegotiate a when-issued or forward commitment. The Funds will normally realize a capital gain or loss in connection with these transactions. For purposes of determining the Income Fund’s average dollar-weighted maturity, the maturity of when-issued or forward-commitment securities will be calculated from the commitment date.
When the Funds purchase securities on a when-issued, delayed-delivery or forward-commitment basis, the Funds will maintain cash, U.S. government securities or other liquid portfolio securities having a value (determined daily) at least equal to the amount of the Funds’ purchase commitments. In the case of a forward commitment to sell portfolio securities, the custodian will hold the portfolio securities in a segregated account while the commitment is outstanding. These procedures are designed to ensure that the Funds will maintain sufficient assets at all times to cover their obligations under when-issued purchases, forward-commitments and delayed-delivery transactions.
As of December 31, 2006, the Funds had outstanding when-issued or delayed-delivery purchase commitments with corresponding assets segregated, as follows:
Fund | Amount | |||
Income Fund | $ | 44,519,344 | ||
Dividends and Distributions to Shareholders: Dividends from net investment income of all Funds are declared and paid at least annually. For all Funds, all net realized long-term or short-term capital gains, if any, will be declared and distributed at least annually. Interest and dividend payments will normally be distributed as income dividends on a quarterly basis for each of the Funds.
Income dividends and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income, gains and losses on various investment securities held by a Fund, timing differences in the recognition of income, gains and losses and differing characterizations of distributions made by the Fund.
These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassifications. To the extent that distributions exceed net investment income and net realized gains for tax purposes, they are reported as returns of capital.
Federal Income Taxes: It is each Fund’s intention to continue to qualify annually as a regulated investment company by complying with the appropriate provisions of the Internal Revenue Code of 1986, as amended. Accordingly, no provision for federal income tax has been made.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required no later than the last business day on the first financial statement reporting period for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management has not completed their analysis on whether the adoption of FIN 48 will have an impact to the financial statements.
Allocation of Expenses: Expenses directly attributable to a Fund are charged directly to that Fund, while expenses which are attributable to more than one Fund of the Trust are allocated among the respective Funds based upon relative net assets or some other reasonable method.
Expenses Paid Indirectly: The Growth Fund directs certain portfolio trades to brokers who rebate a portion of their commissions in cash to the Fund. The recaptured commissions are used to pay expenses of the Fund, including, but not limited to,
26
Table of Contents
notes to financial statements (continued)
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
administration fees, custody fees, audit fees and printing fees, as directed by the Trust. Under this arrangement, the Growth Fund had expenses reduced by $42,429, or 0.01%, as a percentage of the average daily net assets of the Fund on an annualized basis for the period ended December 31, 2006.
3. Investment Advisory and Other Agreements
The Trust, on behalf of each Fund, has entered into an Investment Advisory Agreement with the NCF Investment Department of New Covenant Trust Company, N.A. (the “Advisor”). Under the Agreement, the Advisor is responsible for managing the Funds’ investments as well as furnishing the Funds with certain administrative services. The Growth Fund pays the Advisor a monthly fee at the annual rate of 0.99% of the Growth Fund’s average daily net assets and the Income Fund pays the Advisor a monthly fee at the annual rate of 0.75% of the Income Fund’s average daily net assets. The Advisor does not receive advisory fees for the Balanced Growth and Balanced Income Funds (the “Balanced Funds”). The Advisor has entered into Sub-Advisory Agreements with six Sub-Advisors to assist in the selection and management of the Growth Fund’s and Income Fund’s investment securities. It is the responsibility of the Sub-Advisors, under the direction of the Advisor, to make day-to-day investment decisions for these Funds. The Advisor, not the Funds, pays each Sub-Advisor a quarterly fee for their services. The Advisor pays the Sub-Advisor’s fee directly from its own advisory fees. The sub-advisory fees are based on the assets of a Fund for which the Sub-Advisor is responsible for making investment decisions.
The following are the Sub-Advisors for the Growth Fund: Capital Guardian Trust Company, Mazama Capital Management Inc., Santa Barbara Asset Management Inc., Sound Shore Management Inc., and Wellington Management Company, LLP.
Tattersall Advisory Group is the Sub-Advisor for the Income Fund.
The Trust employs a Chief Compliance Officer (“CCO”) who receives a portion of his compensation as approved by the Board of Trustees, as well as reimbursement of out-of-pocket expenses. The CCO is also an employee of the Advisor.
The Trust is a party to a Shareholder Services Agreement pursuant to which each Fund is authorized to make payments to certain entities which may include investment advisors, banks, trust companies and other types of organizations (“Authorized Service Providers”) for providing administrative services with respect to shares of the Funds attributable to or held in the name of the Authorized Service Provider for its clients or other parties with whom they have a servicing relationship. Under the terms of the Shareholder Services Agreement, each Fund is authorized to pay monthly an Authorized Service Provider (which may include affiliates of the Funds) a shareholder services fee at the rate of 0.25% on an annual basis of the average daily net assets of the shares of the Fund attributable to or held in the name of the Authorized Service Provider for providing certain administrative services to Fund shareholders with whom the Authorized Service Provider has a servicing relationship. In connection with the Shareholder Services Agreement, the Advisor has agreed to waive the amount of the investment advisory fees payable to it by any Fund to the extent of the amount paid in fees by a Fund to any affiliated Authorized Service Provider under the Shareholder Services Agreement.
The Trust has entered into servicing agreements with BISYS Fund Services Ohio, Inc. (“BISYS Ohio”), an indirect, wholly owned subsidiary of The BISYS Group, Inc. (“BISYS”). Under the servicing agreements, BISYS Ohio provides transfer agency, administrative and fund accounting services to the Funds. Under the terms of the Transfer Agency Agreement, BISYS Ohio 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. Under the Fund Accounting Agreement, BISYS Ohio is entitled to a fee computed at an annual rate of 0.03% of the Trust’s average daily net assets for the first $500,000,000, 0.0225% for $500,000,001 to $5,000,000,000, and 0.01% over $5,000,000,000. Under the Administration Agreement, BISYS is entitled to a fee computed at an annual rate of 0.02% of the Trust’s average daily net assets. However, as a result of an April 22, 2005 amendment to the Administration Agreement, BISYS Ohio annually waives $280,000.
The Trust issues shares of the Funds pursuant to a Distribution Agreement with New Covenant Funds Distributor, Inc. (the “Distributor”), a wholly-owned subsidiary of New Covenant Trust Company, N.A., a subsidiary of the Presbyterian Church (U.S.A.) Foundation, under which the Distributor serves as the principal distributor of the Funds’ shares. The Funds do not pay the Distributor in its capacity as principal distributor.
The Trust has a Custodian Agreement with JPMorgan.
No officer, trustee or employee of the Trust, BISYS, or any affiliate thereof, except the CCO, receives any compensation from the Funds for serving as a Trustee or officer of the Trust. The Funds reimburse expenses incurred by the Trustees and Officers in attending Board and Committee meetings.
27
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notes to financial statements (continued)
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
4. Purchases and Sales of Securities
The cost of purchases and proceeds from sales of securities, excluding short-term U.S. government and other short-term investments, for the six months ended December 31, 2006, were as follows:
Purchases | Sales | |||||||||||||||
(excluding U.S. | (excluding U.S. | Purchases of U.S. | Sales of U.S. | |||||||||||||
Fund | Government) | Government) | Government | Government | ||||||||||||
Growth Fund | $ | 240,895,098 | $ | 266,605,411 | $ | — | $ | — | ||||||||
Income Fund | 66,387,316 | 73,733,838 | 434,939,780 | 464,494,295 | ||||||||||||
Balanced Growth Fund | 10,210,957 | 7,618,068 | — | — | ||||||||||||
Balanced Income Fund | 2,179,228 | 9,381,387 | — | — | ||||||||||||
5. Risk Factors
The performance of a Fund’s investments in non-U.S. companies and in companies operating internationally or in foreign countries will depend principally on economic conditions in their product markets, the securities markets where their securities are traded, and currency exchange rates. These risks are present because of uncertainty in future exchange rates back into U.S. dollars and possible political instability, which could affect foreign financial markets and local economies. There are also risks related to social and economic developments abroad, as well as risks resulting from the differences between the regulations to which U.S. and foreign issuers and markets are subject.
The Funds will not invest more than 15% of the value of their net assets in securities that are illiquid because of restrictions on transferability or other reasons. Repurchase agreements with deemed maturities in excess of seven days and securities that are not registered under the Securities Act of 1933, as amended, but that may be purchased by institutional buyers pursuant to Rule 144A are subject to this 15% limit (unless such securities are variable-amount master-demand notes with maturities of nine months or less or unless the Board determines that a liquid trading market exists). The Funds may purchase securities which are not registered under the Securities Act but which can be sold to “qualified institutional buyers” in accordance with Rule 144A under the Securities Act. In some cases, such securities are classified as “illiquid securities”; however, any such security will not be considered illiquid so long as it is determined by the Advisor, under guidelines approved by the Board of Trustees, that an adequate trading market exists for that security. This investment practice could have the effect of increasing the level of illiquidity in a Fund during any period that qualified institutional buyers become uninterested in purchasing these restricted securities.
The Income Fund may invest a limited amount of assets in debt securities which are rated below investment grade (hereinafter referred to as “lower-rated securities”) or which are unrated but deemed equivalent to those rated below investment grade by the portfolio managers. The lower the ratings of such debt securities, the greater their risks. These debt instruments generally offer a higher current yield than that available from higher-grade issues, and typically involve greater risks. The yields on lowerrated securities will fluctuate over time. In general, prices of all bonds rise when interest rates fall and fall when interest rates rise. Lower-rated securities are subject to adverse changes in general economic conditions and to changes in the financial condition of their issuers. During periods of economic downturn or rising interest rates, issuers of these instruments may experience financial stress that could adversely affect their ability to make payments of principal and interest, and increase the possibility of default.
The Balanced Funds invest their assets primarily in the Growth Fund and the Income Fund. By investing primarily in shares of these Funds, shareholders of the Balanced Funds indirectly pay a portion of the operating expenses, management expenses and brokerage costs of the underlying Funds as well as their own operating expenses. Thus, shareholders of the Balanced Funds may indirectly pay slightly higher total operating expenses and other costs than they would pay by directly owning shares of the Growth Fund and Income Fund. Total fees and expenses to be borne by investors in either Balanced Fund will depend on the portion of the Funds’ assets invested in the Growth Fund and in the Income Fund. A change in the asset allocation of either Balanced Fund could increase or reduce the fees and expenses actually borne 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 underperform other funds with similar investment objectives. For the Balanced Growth Fund, it is possible after rebalancing from equities into a greater percentage of fixed-income securities, that equities will outperform fixed-income investments. For the Balanced Income Fund, it is possible that after rebalancing from fixed-income securities into a greater percentage of equity securities, that fixed-income securities will outperform equity investments. The performance of the Balanced Growth Fund and the Balanced Income Fund depends on the performance of the underlying Funds in which they invest.
28
Table of Contents
notes to financial statements (continued)
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
6. Federal Income Taxes
As of June 30, 2006, the Funds had available for federal tax purposes unused capital loss carryforwards expiring as follows:
2011 | 2012 | 2013 | 2014 | Total | ||||||||||||||||
Growth Fund | $ | 35,331,694 | $ | 14,207,521 | $ | — | $ | — | $ | 49,539,215 | ||||||||||
Income Fund | — | — | — | 1,591,357 | 1,591,357 | |||||||||||||||
Balanced Growth Fund | — | 1,737,647 | 6,966,124 | 2,286,304 | 10,990,075 | |||||||||||||||
Balanced Income Fund | — | 2,825,156 | 792,155 | — | 3,617,311 | |||||||||||||||
Under tax law, certain capital and foreign currency losses realized after October 31, and within the taxable year may be deferred and treated as occurring on the first business day of the following fiscal year. For the tax year ended June 30, 2006, the Funds deferred to July 1, 2006, post-October capital losses of:
Post-October losses | ||||
Growth Fund | $ | 9,013 | ||
Income Fund | 5,150,428 |
At December 31, 2006, the cost, gross unrealized appreciation and gross unrealized depreciation on securities, for federal income tax purposes, were as follows:
Net Unrealized | ||||||||||||||||
Tax Unrealized | Tax Unrealized | Appreciation | ||||||||||||||
Tax Cost | Appreciation | (Depreciation) | (Depreciation) | |||||||||||||
Growth Fund | $ | 918,088,517 | $ | 181,451,705 | $ | (12,995,868 | ) | $ | 168,455,837 | |||||||
Income Fund | 630,045,740 | 4,143,863 | (3,534,236 | ) | 1,609,627 | |||||||||||
Balanced Growth Fund | 299,647,115 | 39,394,932 | (676,183 | ) | 38,718,749 | |||||||||||
Balanced Income Fund | 109,361,865 | 12,884,560 | (507,843 | ) | 12,376,717 | |||||||||||
29
Table of Contents
supplemental data (unaudited)
NEW COVENANT FUNDS
December 31, 2006
(Unaudited)
December 31, 2006
(Unaudited)
Proxy Voting Policy and Proxy Voting Record
A description of the policies and procedures that the Trust uses to determine how to vote proxies related to portfolio securities and information regarding how the Funds voted proxies related to portfolio securities held during the most recent 12-month period ended June 30, are available (i) without charge, upon request, by calling 800-858-6127; (ii) on the Funds’ website at www. NewCovenantFunds.com; and (iii) on the Securities and Exchange Commission’s website at http://www.sec.gov.
Quarterly Holdings
Portfolio holdings statements for the Funds for the quarters ended March 31 and September 30, are available, without charge, on the Securities and Exchange Commission’s website at http://www.sec.gov.
Additional Fund Information — Hypothetical Cost of Investing
As a shareholder of the New Covenant Funds, you incur ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the New Covenant Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning | Ending | Expense Paid | Expense Ratio | |||||||||||||
Account Value | Account Value | During Period* | During Period** | |||||||||||||
7/1/06 | 12/31/06 | 7/1/06 - 12/31/06 | 7/1/06 - 12/31/06 | |||||||||||||
Growth Fund | $ | 1,000.00 | $ | 1,110.60 | $ | 5.75 | 1.08 | % | ||||||||
Income Fund | 1,000.00 | 1,046.40 | 4.33 | 0.84 | % | |||||||||||
Balanced Growth Fund | 1,000.00 | 1,085.20 | 0.63 | 0.12 | % | |||||||||||
Balanced Income Fund | 1,000.00 | 1,069.10 | 0.73 | 0.14 | % | |||||||||||
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each of the New Covenant Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expense Paid | Expense Ratio | |||||||||||||
Account Value | Account Value | During Period* | During Period** | |||||||||||||
7/1/06 | 12/31/06 | 7/1/06 - 12/31/06 | 7/1/06 - 12/31/06 | |||||||||||||
Growth Fund | $ | 1,000.00 | $ | 1,019.76 | $ | 5.50 | 1.08 | % | ||||||||
Income Fund | 1,000.00 | 1,020.97 | 4.28 | 0.84 | % | |||||||||||
Balanced Growth Fund | 1,000.00 | 1,024.60 | 0.61 | 0.12 | % | |||||||||||
Balanced Income Fund | 1,000.00 | 1,024.50 | 0.71 | 0.14 | % | |||||||||||
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. | |
** | Annualized. |
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) New Covenant Funds
By (Signature and Title)* | /s/ Martin R. Dean | |||
Martin R. Dean, Treasurer |
Date February 26, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Robert E. Leech | |||
Robert E. Leech, President |
Date February 26, 2007
By (Signature and Title)* | /s/ Martin R. Dean | |||
Martin R. Dean, Treasurer |
Date February 26, 2007
* Print the name and title of each signing officer under his or her signature.