Shelton Funds N-CSR/A Certified annual shareholder report (management investment company) (amended)

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number811-4417

Shelton Funds

(Exact name of registrant as specified in charter)

1875 Lawrence Street, Suite 300, Denver, CO 80202

(Address of principal executive offices) (Zip code)

(Name and address of agent for service)

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

Date of fiscal year end:August 31

Date of reporting period:August 31, 2019

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

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

This amendment adds the Code of Ethics of the Trust as an exhibit, and revised Section 4(g) disclosures relating to non-audit services.

ANNUAL REPORT

August 31, 2019

Green California Tax-Free Income Fund

U.S. Government Securities Fund

Short-Term U.S. Government Bond Fund

The United States Treasury Trust

S&P 500 Index Fund

S&P MidCap Index Fund

S&P SmallCap Index Fund

Shelton Core Value Fund

Nasdaq-100 Index Fund

Shelton Green Alpha Fund

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

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

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

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

Table of Contents August 31, 2019

Historical Performance and Manager’s Discussion	1
About Your Fund’s Expenses	7
Top Holdings and Sector Breakdowns	9
Portfolio of Investments	13
Statements of Assets & Liabilities	31
Statements of Operations	34
Statements of Changes in Net Assets	37
Financial Highlights	43
Notes to Financial Statements	53
Fund Holdings	60
Proxy Voting Policies, Procedures and Voting Records	60
Report of Independent Registered Public Accounting Firm	61
Board of Trustees and Executive Officers	62

Historical Performance and Manager’s Discussion (Unaudited) August 31, 2019

Bond Funds

US bond markets over the last fiscal year were heavily impacted by three inter-related issues: 1) concerns about slowing economic growth; 2) trade disputes, primarily with China; 3) Federal Reserve Board monetary policy. As the fiscal year began, there were signs that the long economic expansion was slowing, exacerbated by the escalating rhetoric and imposition of tariffs between the US and China and a hawkish Federal Reserve that was expected to raise rates several times over the coming year. US interest rates rose briefly across the curve over the first couple of months of the fiscal year, then fell across the curve for the remainder of the year. The Federal Reserve did raise the Fed Funds target rate by 25 bps in September and again in December 2018, but even as they raised the rates, their communications were becoming more dovish in response to the lack of progress on the trade dispute and concerns about slower equity earnings growth and economic momentum. The Federal Reserve indicated that their actions would be driven by the data as investors shifted to an expectation of easing monetary policy. While the labor market remained strong with historically low unemployment rates below 4%, the Q4 2018 US GDP was revised down from 2.6% to 2.2%, inflation was still failing to sustain the Federal Reserve target level of 2%, and trade issues were unresolved. The yield curve flattened to the point in late March that yields on the 3 month US Treasury Bill were higher than the 10 year US Treasury Note, historically an indicator of a coming recession. This inversion only lasted a few days, but returned in late May for the remainder of the fiscal year. The Summer of 2019 saw Federal Reserve communications grow more dovish as economic data showed continuing growth but a lack of momentum and weakening confidence from both business and consumers due to concerns over the impact of US-China trade issues. In July 2019, the Federal Reserve lowered the Fed Funds target rate by 25 bps, the first easing in 11 years. In August the US-China trade dispute was escalated with President Trump announcing a new 10% on $300 billion of Chinese imports that weren’t subject to tariff, which elicited retaliatory tariffs on US agricultural, auto and oil exports to China. Amid concerns about the economic impact of the trade tensions investors sought the safe haven of US bonds, driving bond yields lower at the end of the fiscal year, with the 30 year US Treasury yield falling below 2% for the first time in history in August 2019.

In response to the Federal Reserve’s transition from the initial hawkish stance and expectations of future tightening to a dovish stance and easing of monetary policy the three month T-Bill rates began the year at 2.10% and rose steadily until December, then traded within a range from 2.34% to 2.46% through mid-May. The increasingly dovish Federal Reserve pushed 3 month T-Bill yields down for the remainder of the fiscal year, ending at 1.98%. The yield on the two-year note started at 2.63% and rose early in the fiscal year, peaking at 2.97% in early November, then moving steadily downward to close out the fiscal year at 1.51%.

Intermediate and longer dated US Treasuries followed a very similar pattern to the two year notes, with the highest yields of the year for 5, 10 and 30 year US Treasuries all being in early November and followed by falling rates the rest of the year. The 5 year note yields rose from 2.74% to 3.09% from the start of the fiscal year until the early November peak, then fell at a fairly consistent pace, ending at 1.39%. The 10 year bond yield rose from 2.86% to 3.24% in the September – November period and then fell to end the year at 1.50%. The 30-year yield followed the same pattern, rising from 3.02% to 3.46% in September-November before falling, as previously mentioned, below 2% for the first time ever in August and ending the fiscal year at 1.96%.

The U.S. Government Securities Fund ended the fiscal year on August 31, 2019 with a duration of 4.55 years and a total return of the Direct Shares for the period of 7.48%. The Short-Term Government Bond Fund ended the fiscal year on August 31, 2019 with a duration of 1.09 years and a total return of the Direct Shares for the period of 2.89%. Returns for both funds, as is generally the case for fixed income investments, have benefited from the falling interest rates over the course of the fiscal year. All of the securities in the Fund are backed by the full faith and credit of the United States.

California municipal market bond yields do not necessarily move in lock step with US Treasury yields, but are subject to the level and shape of the benchmark U.S. Treasury curve, as well as the specific economic circumstances of both the State of California and each specific issuer. The relative value of municipal bonds to US Treasuries, as measured by the Bloomberg AAA Muni Yield % of Treasury, didn’t experience any extraordinary changes, with municipal bonds remaining at relatively expensive historical levels. There were no major events such as the prior fiscal year’s tax reform impacting municipal bonds, though the market is still experiencing secondary supply effects for issuance that was accelerated prior to the tax reform in 2017. Most California municipal bond investors continue to benefit from generally strong and improving economic conditions throughout the state. Standard & Poor’s and Moody’s maintained their rating on CA general obligation bonds at AA- and Aa3 respectively, while Fitch upgraded the state from AA- to AA in August 2019. The Bloomberg US California Muni yield curve flattened over the course of the year like the US Treasury curve, but the muni curve does remain positively sloped. The difference in yield between the 2 year and 10 year bonds fell from 0.88% to 0.33% over the course of the fiscal year.

The Green California Tax-Free Income Fund’s total return for the fiscal year ended August 31, 2019 was 6.10%, and the duration was 4.31 years at fiscal year-end. The portfolio average credit rating was maintained at AA.

1

Historical Performance and Manager’s Discussion (Unaudited) (Continued) August 31, 2019

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Green California Tax-Free Income Fund	6.10%	2.40%	3.51%	5.60%
Barclays Municipal Bond Index	8.72%	3.93%	4.66%	6.24%

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
U.S. Government Securities Fund	7.48%	1.81%	1.97%	5.31%
Barclays GNMA Index	6.70%	2.56%	3.29%	6.33%
Barclays Treasury Index	10.38%	3.03%	3.27%	6.19%

K SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
U.S. Government Securities Fund	6.87%	1.27%	1.46%	2.11%
Barclays GNMA Index	6.70%	2.56%	3.29%	4.09%
Barclays Treasury Index	10.38%	3.03%	3.27%	3.81%

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Short-Term U.S. Government Bond Fund	2.88%	0.61%	0.50%	2.01%
Barclays 1-3 Yr. Treasury Index	4.42%	1.34%	1.22%	2.89%

K SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Short-Term U.S. Government Bond Fund	2.45%	0.12%	0.02%	0.93%
Barclays 1-3 Yr. Treasury Index	4.42%	1.34%	1.22%	2.08%

2

Historical Performance and Manager’s Discussion (Unaudited) (Continued) August 31, 2019

Stock Funds

By definition, the objective for managing the index funds is to match the performance of the funds to their index benchmarks. Each of our index funds tracked their respective benchmarks tightly during this last fiscal year. We measure the index fund performance by using a correlation coefficient. This is a statistical measure that compares the daily performance of a fund against its benchmark index. A measure of 1.000 indicates that the performance is perfectly correlated and a measure of -1.000 implies they are negatively correlated. According to Bloomberg, LLC, The S&P 500 Index Fund had a correlation of 0.998 for the fiscal year. The S&P Nasdaq-100 Index Fund, SmallCap Fund and S&P MidCap Index Fund each had a correlation of 0.999.

During the fiscal year, the Direct shares of the S&P 500 Index Fund out-performed the Direct Shares of the S&P MidCap and SmallCap Index Fund by posting gains of 2.40%, compared to (6.85)% and (15.82)%, respectively. It’s important to note, however, that during the year the relative performance varied substantially. After the new tax bill that went into effect in the beginning of the year, the S&P SmallCap fund substantially outperformed the S&P 500 and MidCap Index funds. Though the returns of these three funds remained relatively flat for the balance of the fiscal year, the SmallCap fund had a strong rally compared to the other two funds during the last four months.

The Nasdaq-100 Index Fund (Direct Shares) finished up 1.72%, versus a benchmark performance of 1.60%. It is important to note that while this index is a popular and widely tracked investment benchmark, it is constructed in a different way than the S&P indices that we track. As of October 2019, Apple Inc. alone made up 10.99% of the index and the top ten holdings accounted for over 50% of the index. It provides investors a strong technology exposure as well as the related volatility.

The Shelton Core Value Fund is a value fund that focuses on income as well as the potential for capital appreciation. The Direct Shares returned 0.41% for the year. The performance of the fund trailed the U.S. stock market as measured by the S&P 500 Index by 2.51% and beat the LargeCap value market, as measured by the S&P 500 Value Index, by 0.84%. The optimism of the previous year was followed by a year where equity assets provided little return to investors. Macro risks such as a pending trade war with China and continued uncertainty around Brexit caused markets to respond negatively in the fourth quarter of 2018 where stocks fell dramatically. Through much of the first quarter and through April of 2019, markets strengthened with the exception of LargeCap stocks, which remained below where they had begun the year. After a massive turn-around in small business optimism since the Trump election, optimism fe1l through most of the period. As a favorable economic indicator, the optimism levels have remained above 100 for the entire period and this has helped lead to gains in hiring and ultimately, the lowest level of unemployment in the US over several decades.

The Shelton Core Value Fund lagged to overall market and, consistent with the conservative posturing of the portfolio, demonstrated lower overall risk as measured by volatility over the period. As hoped, it out-performed the S&P 500 during down markets (August-December and the month of May) and underperformed during rallies (January-April and June-July). The portfolio is generating a higher level of cashflow (with an indicated yield of 5.7% at the time of this writing) in an effort to meet the income needs of investors by investing primarily in dividend-paying stocks and selling call options on a portion of the portfolio to take advantage of the expected risk-adjusted return provided by a covered call strategy. One of the primary drivers of this strategy is slowing global growth combined with a historically-high price earnings multiple of the equity markets as measured by the S&P 500. With our view that future returns in the equity markets are limited by these factors, selling upside volatility for immediate cashflow will reduce risk and generate attractive high levels of cash flow.

Our view at the time of writing is that while growth will continue to come slowly, corporations will be profitable, and US equities represent an attractive investment opportunity for investors who are comfortable with the associated risks and volatility. The current political dysfunction, in our opinion, is singularly responsible for the poor economic growth we are seeing in the economy. We will become much more bullish if the political dialog about economic policy improves as we believe this is the simplest, most direct route to economic growth and labor market participation. Capital markets perform best with a strong rule of law governing property rights and minimal incremental government influence.

While we cannot predict what the future holds, we can easily make the case that investors who have continued to invest through troubled markets in the past have been rewarded for their tenacity. We encourage you to maintain a diversified portfolio using both stock and bond funds, in a balance that is appropriate for your particular investment objectives.

Shelton Green Alpha Fund

The Shelton Green Alpha Fund invests primarily in stocks of companies that are believed by the Sub-Advisor, Green Alpha Advisors, LLC, to be leaders in managing economic and environmental risks and opportunities, have above average growth potential and are reasonably valued relative to their growth potential. For the year ending August 31, 2019 the Shelton Green Alpha Fund’s return was 8.91%, outperforming the -0.83% return of the MSCI ACWI IMI (Investable Market Index), the Fund’s primary benchmark, and outperforming the 2.92% return of the S&P 500 Index, the Fund’s secondary benchmark.

The 9.74% performance lead over the Fund’s benchmark for the fiscal year was primarily the result of the Fund’s exposure to the renewable energy industry group and associated industries such as renewable energy financing and utilities. Sustainable REITs also contributed during the period.

Detracting from performance during the fiscal year was exposure to the communications sector, primarily the internet and telecommunications industry groups. Also detracting were the natural and organic food production and distribution aspects of the Consumer, non-cyclical sector.

In line with the Fund’s environmental focus, the Fund’s investments throughout the year reflected the Sub-Advisor’s view of a diversified portfolio of companies who are leaders in a number of industries including wind energy, solar photovoltaics, advanced biotech, artificial intelligence and machine learning, waste-to-value building materials, efficient industrial machinery and automation, electric transportation, mobile communications, internet of things, data infrastructure, energy efficiency and lighting, water desalination, and natural foods, among others.

3

Historical Performance and Manager’s Discussion (Unaudited) (Continued) August 31, 2019

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
S&P 500 Index Fund	2.40%	9.82%	13.16%	9.45%
S&P 500 Composite Stock Price Index	2.92%	10.10%	13.43%	9.63%

K SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
S&P 500 Index Fund	1.88%	9.28%	12.59%	8.13%
S&P 500 Composite Stock Price Index	2.92%	10.10%	13.43%	8.88%

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
S&P MidCap Index Fund	-6.85%	6.97%	12.50%	11.23%
S&P MidCap 400 Index	-6.45%	7.21%	12.83%	11.56%

K SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
S&P MidCap Index Fund	-7.27%	6.45%	11.94%	8.74%
S&P MidCap 400 Index	-6.45%	7.21%	12.83%	9.71%

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
S&P SmallCap Index Fund	-15.82%	7.55%	12.83%	9.11%
S&P SmallCap 600 Index	-15.09%	7.91%	13.18%	9.79%

4

Historical Performance and Manager’s Discussion (Unaudited) (Continued) August 31, 2019

K SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
S&P SmallCap Index Fund	-16.22%	7.02%	12.27%	8.68%
S&P SmallCap 600 Index	-15.09%	7.91%	13.18%	9.69%

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Shelton Core Value Fund	0.41%	5.79%	10.97%	7.82%
S&P / Citigroup Value Index	2.13%	7.29%	11.50%	7.88%
S&P 500 Composite Stock Price Index	2.92%	10.10%	13.43%	8.78%

K SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Shelton Core Value Fund	-0.08%	5.27%	10.42%	7.50%
S&P / Citigroup Value Index	2.13%	7.29%	11.50%	7.82%
S&P 500 Composite Stock Price Index	2.92%	10.10%	13.43%	8.88%

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Nasdaq-100 Index Fund	1.72%	13.77%	17.46%	3.90%
Nasdaq-100 Index	1.60%	14.82%	18.14%	4.55%

K SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Nasdaq-100 Index Fund	1.24%	13.21%	16.88%	11.10%
Nasdaq-100 Index	1.60%	14.82%	18.14%	12.18%

5

Historical Performance and Manager’s Discussion (Unaudited) (Continued) August 31, 2019

DIRECT SHARES

Average Annual Total Returns^*
for the periods ended 8/31/19

Fund/Benchmark	One Year	Five Year (Annualized)	Ten Year (Annualized)	Since Inception (Annualized)
Shelton Green Alpha Fund**	8.91%	3.93%	N/A	10.67%
S&P 500 Composite Stock Price Index	2.92%	10.10%	N/A	13.01%
MSCI ACWI IMI	-0.83%	6.01%	N/A	8.30%

^* Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

^** Shelton Green Alpha Fund commencement of operations was March 12, 2013.

6

About Your Fund’s Expenses (Unaudited)

August 31, 2019

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions, redemption fees, and exchange fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Funds’ gross income, directly reduce the investment return of the Funds. The Funds’ expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. This example is intended to help you understand your ongoing cost (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from March 1, 2019 to August 31, 2019.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

	Beginning Account Value March 1, 2019	Ending Account Value August 31, 2019	Expenses Paid During Period*	Net Annual Expense Ratio
Green California Tax-Free Income Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,040	$ 3.89	0.76%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,046	$ 3.90	0.76%
U.S. Government Securities Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,059	$ 3.87	0.75%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,046	$ 3.85	0.75%
K Shares
Based on Actual Fund Return	$ 1,000	$ 1,055	$ 6.44	1.25%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,044	$ 6.41	1.25%
Short-Term U.S. Government Bond Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,017	$ 3.03	0.60%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,047	$ 3.08	0.60%
K Shares
Based on Actual Fund Return	$ 1,000	$ 1,016	$ 5.56	1.10%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,044	$ 5.64	1.10%
The United States Treasury Trust
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,009	$ 2.67	0.53%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,047	$ 2.72	0.53%
K Shares
Based on Actual Fund Return	$ 1,000	$ 1,007	$ 5.18	1.03%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,045	$ 5.28	1.03%
S&P 500 Index Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,059	$ 2.58	0.50%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,047	$ 2.57	0.50%
K Shares
Based on Actual Fund Return	$ 1,000	$ 1,056	$ 5.15	1.00%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,045	$ 5.13	1.00%
S&P MidCap Index Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 989	$ 3.29	0.66%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,047	$ 3.39	0.66%
K Shares
Based on Actual Fund Return	$ 1,000	$ 987	$ 5.78	1.16%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,044	$ 5.94	1.16%

7

About Your Fund’s Expenses (Unaudited)

August 31, 2019 (Continued)

	Beginning Account Value March 1, 2019	Ending Account Value August 31, 2019	Expenses Paid During Period*	Net Annual Expense Ratio
S&P SmallCap Index Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 947	$ 3.90	0.80%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,046	$ 4.10	0.80%
K Shares
Based on Actual Fund Return	$ 1,000	$ 945	$ 6.39	1.31%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,043	$ 6.71	1.31%
Shelton Core Value Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,029	$ 3.97	0.78%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,046	$ 4.00	0.78%
K Shares
Based on Actual Fund Return	$ 1,000	$ 1,027	$ 6.50	1.28%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,044	$ 6.56	1.28%
Nasdaq-100 Index Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,077	$ 2.66	0.51%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,047	$ 2.62	0.51%
K Shares
Based on Actual Fund Return	$ 1,000	$ 1,074	$ 5.25	1.01%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,045	$ 5.18	1.01%
Shelton Green Alpha Fund
Direct Shares
Based on Actual Fund Return	$ 1,000	$ 1,051	$ 6.68	1.30%
Based on Hypothetical 5% Return before expenses	$ 1,000	$ 1,043	$ 6.66	1.30%

^* Expenses are equal to the Fund’s expense ratio annualized

8

Top Holdings and Sector Breakdowns (Unaudited) August 31, 2019

Green California Tax-Free Income Fund

Security		Description	Market Value	Percentage of Total Investment
1	East Side Union High School District	General Obligation Refunding Bonds (2012 Crossover)	$ 3,478,489	5.3%
2	William S Hart Union High School District	General Obligation Bonds; 2001 Election, Series B	3,031,268	4.6%
3	California State Public Works Board	Lease Revenue Bonds; 2009 Series I-1	3,024,840	4.6%
4	San Francisco Bay Area Rapid Transit District	San Francisco BART District GO Bonds 2017 Refunding Series E (Green Bonds)	2,918,677	4.5%
5	Los Rios Community College District	General Obligation Bonds; 2008 Election, Series B	2,858,375	4.4%
6	Mount San Antonio Community College District	General Obligation Bonds; Election of 2008, Series 2013A	2,680,194	4.1%
7	East Bay Municipal Utility District Water System Revenue	Water System Revenue Bonds; 2015 Series B	2,519,840	3.8%
8	California Health Facilities Financing Authority	Kaiser Permanente Revenue Bonds, Series 2017A-1	2,240,057	3.4%
9	Los Angeles Department of Water	Water System Revenue Bonds; 2015 Series B	2,199,916	3.4%
10	City of Los Angeles CA	General Obligation refunding Bonds; Series 2012-A	2,163,500	3.3%

U.S. Government Securities Fund

Security		Maturity	Market Value	Percentage of Total Investment
1	United States Treasury Note/Bond	05/15/2025	$ 2,283,402	11.8%
2	United States Treasury Note/Bond	08/15/2023	2,083,163	10.8%
3	United States Treasury Note/Bond	02/15/2021	2,056,875	10.6%
4	United States Treasury Note/Bond	02/15/2022	2,026,406	10.5%
5	United States Treasury Note/Bond	02/15/2020	1,496,426	7.7%
6	United States Treasury Note/Bond	02/29/2024	1,339,965	6.9%
7	United States Treasury Note/Bond	08/15/2020	1,309,979	6.8%
8	United States Treasury Note/Bond	11/15/2028	1,252,539	6.5%
9	United States Treasury Note/Bond	02/15/2026	1,024,234	5.3%
10	United States Treasury Note/Bond	08/15/2027	952,559	4.9%

Short-Term U.S. Government Bond Fund

Security		Maturity	Market Value	Percentage of Total Investment
1	United States Treasury Note/Bond	07/31/2020	$ 1,502,608	25.0%
2	United States Treasury Note/Bond	01/31/2021	1,207,852	20.1%
3	United States Treasury Note/Bond	01/31/2020	1,097,465	18.3%
4	United States Treasury Note/Bond	02/15/2020	897,855	14.9%
5	United States Treasury Note/Bond	07/31/2021	810,688	13.5%
6	United States Treasury Note/Bond	06/30/2022	407,789	6.8%
7	Ginnie Mae II Pool	11/20/2034	54,404	0.9%
8	Ginnie Mae II Pool	06/20/2034	31,145	0.5%

9

Top Holdings and Sector Breakdowns (Unaudited) (Continued) August 31, 2019

The United States Treasury Trust

Security		Maturity	Market Value	Percentage of Total Investment
1	United States Treasury Bill	10/03/2019	$ 8,183,649	20.9%
2	United States Treasury Bill	11/07/2019	6,574,200	16.8%
3	United States Treasury Bill	09/17/2019	5,194,812	13.3%
4	United States Treasury Bill	09/05/2019	4,798,414	12.3%
5	United States Treasury Bill	10/24/2019	3,489,698	8.9%
6	United States Treasury Bill	10/17/2019	2,493,283	6.4%
7	United States Treasury Bill	09/12/2019	1,598,954	4.1%
8	United States Treasury Bill	01/30/2020	1,586,244	4.1%
9	United States Treasury Bill	01/23/2020	1,191,182	3.0%
10	United States Treasury Bill	09/10/2019	999,445	2.6%

S&P 500 Index Fund

Security		Market Value	Percentage of Total Investment
1	Microsoft Corp	$ 8,278,355	4.3%
2	Apple Inc	7,173,976	3.8%
3	Amazon.com Inc	5,774,719	3.0%
4	Facebook Inc	3,482,039	1.8%
5	Berkshire Hathaway Inc	3,068,033	1.6%
6	Alphabet Inc - Class C	2,858,569	1.5%
7	Alphabet Inc - Class A	2,802,508	1.5%
8	JPMorgan Chase & Co	2,802,089	1.5%
9	Johnson & Johnson	2,690,169	1.4%
10	Visa Inc	2,472,352	1.3%

S&P MidCap Index Fund

Security		Market Value	Percentage of Total Investment
1	STERIS PLC	$ 878,845	0.8%
2	NVR Inc	806,176	0.7%
3	Teledyne Technologies Inc	744,936	0.7%
4	Zebra Technologies Corp	737,288	0.7%
5	Alleghany Corp	720,836	0.7%
6	West Pharmaceutical Services Inc	712,172	0.6%
7	Old Dominion Freight Line Inc	706,624	0.6%
8	FactSet Research Systems Inc	701,984	0.6%
9	Camden Property Trust	697,347	0.6%
10	WR Berkley Corp	686,779	0.6%

10

Top Holdings and Sector Breakdowns (Unaudited) (Continued) August 31, 2019

S&P SmallCap Index Fund

Security		Market Value	Percentage of Total Investment
1	Mercury Systems Inc	$ 414,021	0.6%
2	FTI Consulting Inc	385,087	0.6%
3	Repligen Corp	366,507	0.6%
4	Aerojet Rocketdyne Holdings Inc	354,119	0.5%
5	SolarEdge Technologies Inc	353,157	0.5%
6	Exponent Inc	350,197	0.5%
7	Strategic Education Inc	347,598	0.5%
8	Neogen Corp	344,349	0.5%
9	Cabot Microelectronics Corp	339,422	0.5%
10	RLI Corp	336,337	0.5%

Shelton Core Value Fund

Security		Market Value	Percentage of Total Investment
1	JPMorgan Chase & Co	$ 7,802,257	5.2%
2	Apple Inc	4,174,800	2.8%
3	Sprouts Farmers Market Inc	4,128,500	2.7%
4	Consolidated Edison Inc	4,000,500	2.6%
5	Bank of America Corp	3,851,400	2.5%
6	Wells Fargo & Co	3,725,600	2.5%
7	Masco Corp	3,665,700	2.4%
8	Amazon.com Inc	3,552,580	2.3%
9	Abbott Laboratories	3,507,505	2.3%
10	Chevron Corp	3,452,021	2.3%

Nasdaq-100 Index Fund

Security		Market Value	Percentage of Total Investment
1	Microsoft Corp	$ 66,559,494	10.5%
2	Apple Inc	66,441,525	10.5%
3	Amazon.com Inc	60,464,912	9.6%
4	Facebook Inc	31,123,119	4.9%
5	Alphabet Inc - Class C	28,867,266	4.6%
6	Alphabet Inc - Class A	25,360,670	4.0%
7	Intel Corp	16,281,068	2.6%
8	Comcast Corp	15,377,031	2.4%
9	Cisco Systems Inc	15,370,298	2.4%
10	PepsiCo Inc	14,702,167	2.3%

11

Top Holdings and Sector Breakdowns (Unaudited) (Continued) August 31, 2019

Shelton Green Alpha Fund

Security		Market Value	Percentage of Total Investment
1	Pattern Energy Group Inc	$ 3,665,250	6.7%
2	Vestas Wind Systems A/S	3,001,250	5.5%
3	First Solar Inc	2,768,322	5.0%
4	Applied Materials Inc	2,328,970	4.2%
5	Sunrun Inc	2,146,200	3.9%
6	TerraForm Power Inc	1,865,600	3.4%
7	JinkoSolar Holding Co Ltd	1,815,210	3.3%
8	Hannon Armstrong Sustainable Infrastructure Capital Inc	1,768,320	3.2%
9	International Business Machines Corp	1,761,890	3.2%
10	SunPower Corp	1,727,760	3.1%

12

Green California Tax-Free Income Fund Portfolio of Investments 8/31/19

Security Description	Par Value		Value (Note 1)
Municipal Bonds (95.88%)
BUTTE-GLENN COMMUNITY COLLEGE DISTRICT
Lease Revenue Bonds; 2009 Series I-1, 4.000%, 08/01/2026	$	1,000,000	$	1,089,540
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Kaiser Permanente Revenue Bonds, Series 2017A-1, 5.000%, 11/01/2027		1,700,000		2,240,057
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK
Clean Water State Revolving Fund Revenue Bonds, Series 2016 (Green Bonds), 2.000, 10/01/2019		200,000		200,182
Clean Water State Revolving Fund Revenue Bonds, Series 2016 (Green Bonds), 5.000%, 10/01/2033		1,200,000		1,481,400
CALIFORNIA DEPARTMENT OF PUBLIC WORKS BOARD
Lease Revenue Bonds; 2009 Series I-1, 6.125%, 11/01/2029		3,000,000		3,024,840
TRUSTEES OF THE CALIFORNIA STATE UNIVERSITY
Systemwide Revenue Bonds; Series 2012A, 4.000%, 11/01/2030		1,100,000		1,189,045
CITY AND COUNTY OF SAN FRANCISCO
General Obligation Bonds (Clean and Safe Neighborhood Parks Bonds, 2012); Series 2013A, 4.000%, 06/15/2033		1,000,000		1,046,080
CITY OF LOS ANGELES
General Obligation Refunding Bonds; Series 2012-A, 5.000%, 09/01/2021		2,000,000		2,163,500
CITY OF LOS ANGELES WASTEWATER SYSTEM REVENUE
Los Angeles CA Wastewater System Revenue Bond, 5.000%, 06/01/2044		500,000		591,285
Los Angeles CA Wastewater System Revenue Bond, 5.250%, 06/01/2047		1,500,000		1,869,015
CITY OF ROSEVILLE FINANCE AUTHORITY ELECTRIC SYSTEM REVENUE
Electric System Revenue Refunding Bonds; Series 2013, 5.000%, 02/01/2025		750,000		864,960
CITY OF SAN FRANCISCO PUBLIC UTILITIES COMMISSION WATER REVENUE
City of San Francisco CA Public Utilities Commission Water Revenue, 5.000%, 11/01/2036		1,170,000		1,405,685
San Francisco City & County Public Utilities Commission Wastewater Revenue, 5.000%, 11/01/2034		1,000,000		1,279,410
San Francisco City and Green Bond Series A, 5.000%, 11/01/2030		680,000		825,275
EAST BAY MUNICIPAL UTILITY DISTRICT WATER SYSTEM REVENUE
Water System Revenue Bonds; 2015 Series B, 5.000%, 06/01/2026		2,050,000		2,519,840
EAST SIDE UNION HIGH SCHOOL DISTRICT
General Obligation Refunding Bonds (2012 Crossover); 2006, 5.250%, 09/01/2023		2,975,000		3,478,489
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
Election of 1999 General Obligation Bonds; Series C, 0%, 08/01/2027		2,000,000		1,780,880
LA MIRADA REDEVELOPMENT AGENCY SUCCESSOR AGENCY
Subordinate Tax Allocation Refunding Bonds; 2014 Series A, 5.000%, 08/15/2023		1,000,000		1,157,300
LOS ANGELES COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; 2008 Election, Series G, 5.000%, 08/01/2028		865,000		1,029,687
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Proposition A First Tier Los Angeles County Met Transport, 4.000%, 07/01/2028		500,000		583,340
Proposition A First Tier Senior Sales Tax Revenue Refunding Bonds; Series 2012-A, 5.000%, 07/01/2021		1,000,000		1,075,550
Proposition C Sales Tax Revenue Refunding Bonds; Senior Bonds; Series 2013-A, 5.000%, 07/01/2023		1,500,000		1,731,855
LOS ANGELES DEPARTMENT OF WATER
Water System Revenue Bonds, 2012 Series A, 5.000%, 07/01/2037		1,985,000		2,199,916
LOS RIOS COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; 2008 Election, Series B, 5.000%, 08/01/2032		2,500,000		2,858,375
MIDPENINSULA REGIONAL OPEN SPACE DISTRICT
Midpeninsula Regional Open Space District, 4.000%, 09/01/2021		200,000		212,450
MOUNT DIABLO UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds; Election Of 2002, Series B, 5.000%, 07/01/2020		500,000		517,100
MOUNT SAN ANTONIO COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; Election of 2008, Series 2013A, 5.000%, 08/01/2034		2,345,000		2,680,194
PORT OF LOS ANGELES
Revenue Bonds; 2014 Series C, 4.000%, 08/01/2023		290,000		324,191
RANCHO SANTIAGO COMMUNITY COLLEGE DISTRICT
General Obligation Refunding Bonds; 2012, 4.000%, 09/01/2020		1,380,000		1,423,111
SACRAMENTO MUNICIPAL UTILITY DISTRICT
Electric Revenue Bonds; 1997 Series K, 5.250%, 07/01/2024		1,000,000		1,146,300
SAN DIEGO COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; Election of 2002, Series 2013, 5.000%, 08/01/2027		1,175,000		1,357,066
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT
San Francisco BART District GO Bonds 2017 Series A-1 (Green Bonds), 4.000%, 08/01/2034		645,000		761,758
San Francisco BART District GO Bonds 2017 Refunding Series E (Green Bonds), 5.000%, 08/01/2036		2,300,000		2,918,677
SAN FRANCISCO CITY & COUNTY AIRPORT COMMISSION
General Obligation Bonds (Clean and Safe Neighborhood Parks Bonds, 2012); Series 2013A, 5.000%, 05/01/2020		500,000		513,355

See accompanying notes to financial statements.

13

Green California Tax-Free Income Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Par Value		Value (Note 1)
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION WASTEWATER REVENUE
San Francisco City & County Public Utilities Commission Wastewater Revenue, 4.000%, 10/01/2021	$	700,000	$	744,324
SANTA CLARA VALLEY TRANSPORTATION AUTHORITY
2000 Measure A Sales Tax Revenue Refunding Bonds; 2015 Series A, 5.000%, 04/01/2034		1,000,000		1,193,400
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Election of 2004, Series 2005, 0%, 08/01/2029		2,500,000		2,056,850
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
Souther California Public Power Authority Windy Pt/Windy Flats Project 1, 5.000%, 07/01/2026		1,400,000		1,446,354
Windy Point/Windy Flats Project Revenue Bonds; 2010-1, 5.000%, 07/01/2023		1,000,000		1,034,030
STATE OF CALIFORNIA
Tax-Exempt Various Purpose General Obligation Bonds, 3.000%, 10/01/2028		900,000		964,566
Tax-Exempt Various Purpose General Obligation Bonds, 0.850%, 05/01/2034		1,300,000		1,300,000
TUOLUMNE WIND PROJECT AUTHORITY
Tuolumne Wind Project Authority, 5.000%, 01/01/2020		1,000,000		1,013,530
UNIVERSITY OF CALIFORNIA
General Revenue Bonds; 2014 Series AM, 5.000%, 05/15/2029		925,000		1,093,729
WILLIAM S HART UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; 2001 Election, Series B, 0%, 09/01/2029		3,595,000		3,031,268
Total Municipal Bonds (Cost $59,930,928)				63,417,759
Variable Rate Demand Notes (3.18%)
California Health Facilities Financing Authority, 5.000%, 07/01/2043*,**		1,000,000		1,004,530
Metropolitan Water District of Southern California, 1.050%, 07/01/2047*		100,000		100,000
Santa Clara Valley Transportation Authority, 0.850%, 04/01/2036*		300,000		300,000
State of California General Obligation, 1.000%, 05/01/2034*		200,000		200,000
State of California General Obligation, 1.000%, 05/01/2040*		500,000		500,000
Total Variable Rate Demand Notes (Cost $1,168,956)				2,104,530
Total Investments (Cost $61,099,884)(a) (99.06%)			$	65,522,289
Other Net Assets (0.94%)				622,058
Net Assets (100.00%)			$	66,144,347

(a) Aggregate cost for federal income tax purposes is $61,098,380.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

Unrealized appreciation	$	4,588,454
Unrealized depreciation		(164,545	)
Net unrealized appreciation	$	4,423,909

* Rate Effective as of August 31, 2019

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

See accompanying notes to financial statements.

14

U.S. Government Securities Fund Portfolio of Investments 8/31/19

Security Description	Par Value		Value (Note 1)
Government National Mortgage Association (4.66%)
5.000%, 07/15/2020	$	7,228	$	7,288
5.500%, 01/15/2025		32,162		34,589
6.000%, 01/15/2026		89,455		99,030
5.500%, 04/15/2036		127,702		145,126
5.000%, 03/15/2038		157,581		176,404
6.000%, 06/15/2038		68,590		78,885
3.500%, 11/20/2044		350,959		367,976
Total Government National Mortgage Association (Cost $847,071)				909,298
United States Treasury Bills (0.51%)
0%, 10/03/2019 (Cost $99,811)		100,000		99,834
United States Treasury Bonds (15.91%)
6.000%, 02/15/2026		800,000		1,024,234
6.375%, 08/15/2027		400,000		547,188
5.000%, 05/15/2037		500,000		752,588
2.750%, 08/15/2042		400,000		461,797
2.250%, 08/15/2046		300,000		317,713
Total United States Treasury Bonds (Cost $2,859,875)				3,103,520
United States Treasury Notes (77.90%)
1.750%, 11/30/2019		400,000		399,680
1.375%, 02/15/2020		1,500,000		1,496,426
2.625%, 08/15/2020		1,300,000		1,309,979
3.625%, 02/15/2021		2,000,000		2,056,875
2.000%, 02/15/2022		2,000,000		2,026,406
2.500%, 08/15/2023		2,000,000		2,083,163
2.125%, 02/29/2024		1,300,000		1,339,965
2.125%, 05/15/2025		2,200,000		2,283,402
2.250%, 08/15/2027		900,000		952,559
3.125%, 11/15/2028		1,100,000		1,252,539
Total United States Treasury Notes (Cost $14,816,292)				15,200,994
Total Investments (Cost $18,623,049)(a) (98.98%)			$	19,313,646
Other Net Assets (1.02%)				199,854
Net Assets (100.00%)			$	19,513,500

(a) Aggregate cost for federal income tax purposes is $18,623,049.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

Unrealized appreciation	$	693,764
Unrealized depreciation		(3,167	)
Net unrealized appreciation	$	690,597

See accompanying notes to financial statements.

15

Short-Term U.S. Government Bond Fund Portfolio of Investments 8/31/19

Security Description	Par Value		Value (Note 1)
Government National Mortgage Association (1.41%)
2.250%, 06/20/2034	$	30,536	$	31,145
1.625%, 11/20/2034		52,244		54,404
Total Government National Mortgage Association (Cost $83,136)				85,549
United States Treasury Notes (97.91%)
1.375%, 01/31/2020		1,100,000		1,097,465
1.375%, 02/15/2020		900,000		897,855
2.000%, 07/31/2020		1,500,000		1,502,608
2.125%, 01/31/2021		1,200,000		1,207,852
2.250%, 07/31/2021		800,000		810,688
2.125%, 06/30/2022		400,000		407,789
Total United States Treasury Notes (Cost $5,881,723)				5,924,257
Total Investments (Cost $5,964,859)(a) (99.32%)			$	6,009,806
Other Net Assets (0.68%)				41,076
Net Assets (100.00%)			$	6,050,882

(a) Aggregate cost for federal income tax purposes is $5,964,861.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

Unrealized appreciation	$	47,761
Unrealized depreciation		(2,816	)
Net unrealized appreciation	$	44,945

The United States Treasury Trust Portfolio of Investments 8/31/19

Security Description	Par Value		Value (Note 1)
United States Treasury Bills, DN(a) (100.02%)
09/05/2019	$	4,800,000	$	4,798,730
09/10/2019		1,000,000		999,501
09/12/2019		1,600,000		1,599,042
09/17/2019		5,200,000		5,195,117
09/26/2019		1,000,000		998,433
10/03/2019		8,200,000		8,184,144
10/17/2019		2,500,000		2,493,426
10/24/2019		3,500,000		3,489,889
11/07/2019		6,600,000		6,574,579
11/21/2019		1,000,000		995,636
01/23/2020		1,200,000		1,191,242
01/30/2020		1,600,000		1,586,335
04/23/2020		1,000,000		988,788
Total United States Treasury Bills, DN (Cost $39,094,862)				39,094,862
Total Investments (Cost $39,094,862)(b) (100.02%)				39,094,862
Liabilities in Excess of Other Assets (-0.02%)				(5,937	)
Net Assets (100.00%)			$	39,088,925

(a) Discount Note. Yield to maturity is between 1.75% - 2.21%.

(b) Aggregate cost for federal income tax purposes is $39,094,862.

See accompanying notes to financial statements.

16

S&P 500 Index Fund Portfolio of Investments 8/31/19

Security Description	Shares		Value (Note 1)
Common Stock (99.70%)
Basic Materials (2.15%)
Air Products & Chemicals Inc		1,615	$	364,861
Albemarle Corp		868		53,582
Celanese Corp		995		112,803
CF Industries Holdings Inc		1,795		86,501
Dow Inc		5,828		248,448
DuPont de Nemours Inc		5,828		395,896
Eastman Chemical Co		1,048		68,508
Ecolab Inc		1,937		399,622
FMC Corp		1,102		95,136
Freeport-McMoRan Inc		11,406		104,821
International Flavors & Fragrances Inc		683		74,959
International Paper Co		3,175		124,143
Linde PLC		4,315		815,147
LyondellBasell Industries NV		2,532		195,926
Newmont Goldcorp Corp		6,444		257,051
Nucor Corp		2,404		117,748
PPG Industries Inc		2,102		232,881
The Mosaic Co		2,068		38,031
The Sherwin-Williams Co		628		330,799
Total Basic Materials				4,116,863
Communications (14.95%)
Alphabet Inc - Class A*,(a)		2,354		2,802,508
Alphabet Inc - Class C*		2,406		2,858,569
Amazon.com Inc*		3,251		5,774,719
Arista Networks Inc*		415		94,047
AT&T Inc		56,729		2,000,265
Booking Holdings Inc*		339		666,613
CBS Corp		2,752		115,749
CenturyLink Inc		4,581		52,132
Charter Communications Inc*		1,352		553,766
Cisco Systems Inc		33,658		1,575,531
Comcast Corp		35,613		1,576,231
Corning Inc		7,332		204,196
Discovery Inc - Class A*		1,878		51,833
Discovery Inc - Class C*		1,878		48,884
DISH Network Corp*		1,784		59,871
eBay Inc		6,441		259,508
Expedia Group Inc		689		89,639
F5 Networks Inc*,(a)		602		77,495
Facebook Inc*		18,754		3,482,039
Fox Corp - Class A		2,714		90,023
Fox Corp - Class B		1,242		40,738
Juniper Networks Inc		2,718		62,949
Motorola Solutions Inc		1,430		258,701
Netflix Inc*		3,319		974,956
News Corp - Class A		3,745		51,494
News Corp - Class B		910		12,886
Omnicom Group Inc		1,982		150,751
Symantec Corp		5,172		120,249
The Interpublic Group of Cos Inc		3,241		64,431
The Walt Disney Co		13,819		1,896,796
T-Mobile US Inc*		2,482		193,720
TripAdvisor Inc*		850		32,292
Twitter Inc*		5,110		217,942
VeriSign Inc*		689		140,453
Verizon Communications Inc		32,518		1,891,247
Viacom Inc		2,740		68,445
Total Communications				28,611,668
Consumer, Cyclical (8.71%)
Advance Auto Parts Inc		548	$	75,597
Alaska Air Group Inc		963		57,510
American Airlines Group Inc		4,021		105,793
Aptiv PLC		2,173		180,728
AutoZone Inc*		192		211,524
Best Buy Co Inc		1,956		124,499
BorgWarner Inc		1,664		54,296
Capri Holdings Ltd*		1,328		35,033
CarMax Inc*		1,689		140,660
Carnival Corp		3,334		146,963
Chipotle Mexican Grill Inc*		234		196,190
Copart Inc*		1,585		119,493
Costco Wholesale Corp		3,457		1,018,985
Darden Restaurants Inc		933		112,874
Delta Air Lines Inc		5,026		290,804
Dollar General Corp		1,932		301,566
Dollar Tree Inc*		1,907		193,618
DR Horton Inc		2,495		123,428
Fastenal Co		4,028		123,337
Foot Locker Inc		1,044		37,782
Ford Motor Co		27,615		253,230
General Motors Co		10,151		376,501
Genuine Parts Co		1,170		105,639
Hanesbrands Inc		3,007		41,076
Harley-Davidson Inc		1,765		56,304
Hasbro Inc		950		104,947
Hilton Worldwide Holdings Inc		2,288		211,343
Kohl’s Corp		1,587		75,002
L Brands Inc		1,787		29,503
Leggett & Platt Inc		1,017		37,822
Lennar Corp		2,200		112,200
LKQ Corp*		2,347		61,656
Lowe’s Cos Inc		6,155		690,591
Macy’s Inc		2,961		43,704
Marriott International Inc		2,467		310,990
McDonald’s Corp		6,003		1,308,474
MGM Resorts International		3,988		111,903
Mohawk Industries Inc*		459		54,571
Newell Brands Inc		3,701		61,437
NIKE Inc		9,881		834,945
Nordstrom Inc		1,123		32,533
Norwegian Cruise Line Holdings Ltd*		1,599		81,149
O’Reilly Automotive Inc*		665		255,200
PACCAR Inc		2,601		170,522
PulteGroup Inc		2,804		94,775
PVH Corp		574		43,509
Ralph Lauren Corp		449		39,665
Ross Stores Inc		2,889		306,263
Royal Caribbean Cruises Ltd		1,236		128,890
Southwest Airlines Co		3,843		201,066
Starbucks Corp		9,523		919,541
Tapestry Inc		2,156		44,521
Target Corp		4,028		431,157
The Gap Inc		2,194		34,643
The Home Depot Inc		8,651		1,971,649
The TJX Cos Inc		9,534		524,084
Tiffany & Co		950		80,627
Tractor Supply Co		1,050		106,974
Ulta Beauty Inc*		468		111,258
Under Armour Inc - Class A*		1,210		22,518
Under Armour Inc - Class C*		1,218		20,609
United Airlines Holdings Inc*		1,732		146,025
VF Corp		2,588		212,087
Walgreens Boots Alliance Inc		6,346		324,852
Walmart Inc		10,998	$	1,256,631
Whirlpool Corp		570		79,281
WW Grainger Inc		441		120,680
Wynn Resorts Ltd		526		57,939
Yum! Brands Inc		2,700		315,306
Total Consumer, Cyclical				16,666,472
Consumer, Non-Cyclical (22.08%)
Abbott Laboratories		13,435		1,146,274
AbbVie Inc		11,623		764,096
ABIOMED Inc*		354		68,347
Alexion Pharmaceuticals Inc*		1,383		139,351
Align Technology Inc*		600		109,866
Allergan PLC		2,617		417,987
Altria Group Inc		14,863		650,108
AmerisourceBergen Corp		1,565		128,753
Amgen Inc		4,795		1,000,333
Anthem Inc		2,002		523,563
Archer-Daniels-Midland Co		4,902		186,521
Automatic Data Processing Inc		3,564		605,310
Avery Dennison Corp		891		102,973
Baxter International Inc		3,880		341,246
Becton Dickinson and Co		2,120		538,310
Biogen Inc*		1,524		334,899
Boston Scientific Corp*		11,526		492,506
Bristol-Myers Squibb Co		12,265		589,579
Brown-Forman Corp		1,728		101,935
Campbell Soup Co		1,449		65,205
Cardinal Health Inc		2,511		108,299
Celgene Corp*		5,545		536,756
Centene Corp*		2,584		120,466
Church & Dwight Co Inc		1,996		159,241
Cigna Corp		2,983		459,293
Cintas Corp		801		211,304
Colgate-Palmolive Co		6,558		486,276
Conagra Brands Inc		2,987		84,711
Constellation Brands Inc		1,083		221,311
Corteva Inc		5,828		170,877
Coty Inc		3,684		35,182
CVS Health Corp		10,096		615,048
Danaher Corp		4,953		703,772
DaVita Inc*		1,224		68,997
DENTSPLY SIRONA Inc		1,160		60,494
Edwards Lifesciences Corp*		1,716		380,677
Eli Lilly & Co		6,793		767,405
Equifax Inc		870		127,351
FleetCor Technologies Inc*		699		208,582
Gartner Inc*		714		95,440
General Mills Inc		4,683		251,945
Gilead Sciences Inc		10,033		637,497
Global Payments Inc		1,172		194,529
H&R Block Inc		1,994		48,295
HCA Healthcare Inc		2,209		265,522
Henry Schein Inc*		1,256		77,395
Hologic Inc*		2,135		105,405
Hormel Foods Corp		2,128		90,674
Humana Inc		1,191		337,303
IDEXX Laboratories Inc*		691		200,210
IHS Markit Ltd*		2,494		163,631
Illumina Inc*		1,143		321,572
Incyte Corp*		1,363		111,521
Intuitive Surgical Inc*		855		437,196
IQVIA Holdings Inc*		1,146		177,802
Johnson & Johnson(a)		20,958		2,690,169
Kellogg Co		1,816		114,045
Kimberly-Clark Corp		2,926		412,888

See accompanying notes to financial statements.

17

S&P 500 Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Laboratory Corp of America Holdings*		705	$	118,130
Lamb Weston Holdings Inc		406		28,578
MarketAxess Holdings Inc		296		117,696
McCormick & Co Inc		975		158,798
McKesson Corp		1,736		240,037
Medtronic PLC		10,510		1,133,924
Merck & Co Inc		20,243		1,750,412
Molson Coors Brewing Co		1,200		61,632
Mondelez International Inc		11,909		657,615
Monster Beverage Corp*		3,387		198,715
Moody’s Corp		1,293		278,745
Mylan NV*		3,101		60,376
Nektar Therapeutics*		1,277		22,437
Nielsen Holdings PLC		1,879		39,008
PayPal Holdings Inc*		9,238		1,007,404
PepsiCo Inc		11,085		1,515,652
Perrigo Co PLC		677		31,670
Pfizer Inc		43,652		1,551,829
Philip Morris International Inc		11,608		836,821
Quanta Services Inc		1,601		54,274
Quest Diagnostics Inc		1,168		119,568
Regeneron Pharmaceuticals Inc*		562		163,008
ResMed Inc		1,127		156,991
Robert Half International Inc		1,032		55,181
Rollins Inc		462		15,158
S&P Global Inc		2,019		525,324
Stryker Corp		2,434		537,086
Sysco Corp		3,758		279,332
Teleflex Inc		362		131,739
The Clorox Co		943		149,145
The Coca-Cola Co		30,037		1,653,236
The Cooper Cos Inc		374		115,847
The Estee Lauder Cos Inc		1,800		356,382
The Hershey Co		1,114		176,547
The JM Smucker Co		823		86,547
The Kraft Heinz Co		4,282		109,277
The Kroger Co		8,014		189,772
The Procter & Gamble Co		19,722		2,371,176
Thermo Fisher Scientific Inc		3,062		878,978
Total System Services Inc		1,190		159,722
Tyson Foods Inc		2,328		216,597
United Rentals Inc*		724		81,493
UnitedHealth Group Inc		7,607		1,780,038
Universal Health Services Inc		683		98,748
Varian Medical Systems Inc*		875		92,689
Verisk Analytics Inc		1,197		193,363
Vertex Pharmaceuticals Inc*		2,013		362,380
WellCare Health Plans Inc*		395		106,942
Zimmer Biomet Holdings Inc		1,338		186,250
Zoetis Inc		3,718		470,030
Total Consumer, Non-Cyclical				42,248,542
Energy (4.38%)
Apache Corp		2,792		60,223
Baker Hughes a GE Co		3,384		73,399
Cabot Oil & Gas Corp		3,164		54,168
Chevron Corp(a)		14,977		1,763,092
Cimarex Energy Co		657		28,106
Concho Resources Inc		1,114		81,489
ConocoPhillips		8,936		466,280
Devon Energy Corp		2,767		60,846
Diamondback Energy Inc		1,217		119,363
EOG Resources Inc		4,562		338,455
Exxon Mobil Corp(a)		33,268		2,278,193
Halliburton Co		6,883		129,676
Helmerich & Payne Inc		805	$	30,260
Hess Corp		1,823		114,758
HollyFrontier Corp		508		22,535
Kinder Morgan Inc		15,052		305,104
Marathon Oil Corp		5,187		61,414
Marathon Petroleum Corp		5,770		283,942
National Oilwell Varco Inc		3,192		65,213
Noble Energy Inc		2,616		59,069
Occidental Petroleum Corp		6,992		304,023
ONEOK Inc		3,307		235,723
Phillips 66		3,493		344,515
Pioneer Natural Resources Co		1,287		158,842
Schlumberger Ltd		11,025		357,541
TechnipFMC PLC		3,637		90,343
The Williams Cos Inc		9,527		224,837
Valero Energy Corp		3,459		260,394
Total Energy				8,371,803
Financial (17.83%)
Banks (6.09%)
Bank of America Corp		69,527		1,912,688
BB&T Corp		5,247		250,020
Citigroup Inc		18,182		1,170,012
Citizens Financial Group Inc		3,885		131,080
Comerica Inc		1,331		82,056
Fifth Third Bancorp		5,427		143,544
First Republic Bank		1,295		116,187
Huntington Bancshares Inc		5,456		72,292
JPMorgan Chase & Co		25,506		2,802,089
KeyCorp		6,704		111,286
M&T Bank Corp		1,180		172,528
Morgan Stanley		10,374		430,417
Northern Trust Corp		1,610		141,567
Regions Financial Corp		9,066		132,545
State Street Corp		3,093		158,702
SunTrust Banks Inc		3,809		234,292
SVB Financial Group*		411		79,989
The Bank of New York Mellon Corp		6,926		291,308
The Goldman Sachs Group Inc		2,819		574,822
The PNC Financial Services Group Inc		3,549		457,573
US Bancorp		12,265		646,243
Wells Fargo & Co(a)		32,401		1,508,915
Zions Bancorp NA		1,054		43,309
				11,663,464
Diversified Financial Service (4.52%)
Affiliated Managers Group Inc		409		31,342
Alliance Data Systems Corp		400		49,180
American Express Co		5,384		648,072
Ameriprise Financial Inc		1,052		135,687
BlackRock Inc		941		397,629
Capital One Financial Corp		4,021		348,299
Cboe Global Markets Inc		706		84,127
CME Group Inc		2,814		611,454
Discover Financial Services		2,538		202,964
E*TRADE Financial Corp		1,181		49,295
Franklin Resources Inc		3,105		81,599
Intercontinental Exchange Inc		4,245		396,823
Invesco Ltd		3,410		53,537
Jefferies Financial Group Inc		1,447		26,972
Mastercard Inc		7,066		1,988,160
Nasdaq Inc		1,127		112,520
Raymond James Financial Inc		1,004		78,824
Synchrony Financial		6,040		193,582
T Rowe Price Group Inc		1,965		217,368
The Charles Schwab Corp		9,317	$	356,562
The Western Union Co		4,688		103,699
Visa Inc		13,673		2,472,352
				8,640,047
Insurance (4.10%)
Aflac Inc		5,861		294,105
American International Group Inc		6,822		355,017
Aon PLC		2,040		397,494
Arthur J Gallagher & Co		1,374		124,636
Assurant Inc		596		73,308
Berkshire Hathaway Inc*		15,083		3,068,033
Chubb Ltd		3,685		575,892
Cincinnati Financial Corp		1,179		132,626
Everest Re Group Ltd		326		76,897
Globe Life Inc		1,176		104,970
Lincoln National Corp		1,590		84,079
Loews Corp		2,394		115,080
Marsh & McLennan Cos Inc		4,025		402,057
MetLife Inc		7,704		341,287
Principal Financial Group Inc		2,041		108,622
Prudential Financial Inc		3,541		283,599
The Allstate Corp		2,619		268,159
The Hartford Financial Services Group Inc		2,922		170,294
The Progressive Corp		4,123		312,523
The Travelers Cos Inc		2,059		302,591
Unum Group		2,266		57,579
Willis Towers Watson PLC		996		197,178
				7,846,026
Real Estate (3.10%)
Alexandria Real Estate Equities Inc		700		104,888
American Tower Corp		3,499		805,435
Apartment Investment & Management Co		1,069		54,519
AvalonBay Communities Inc		1,044		221,913
Boston Properties Inc		1,078		138,437
CBRE Group Inc*		2,058		107,572
Crown Castle International Corp		3,268		474,416
Digital Realty Trust Inc		1,637		202,382
Duke Realty Corp		2,792		92,890
Equinix Inc		661		367,701
Equity Residential		2,912		246,821
Essex Property Trust Inc		463		148,743
Extra Space Storage Inc		949		115,702
Federal Realty Investment Trust		548		70,807
HCP Inc		3,020		104,824
Host Hotels & Resorts Inc		5,173		82,975
Iron Mountain Inc		1,369		43,603
Kimco Realty Corp		2,994		55,030
Mid-America Apartment Communities Inc		858		108,691
Prologis Inc		5,000		418,100
Public Storage		1,035		274,006
Realty Income Corp		2,475		182,680
Regency Centers Corp		1,109		71,542
SBA Communications Corp		918		240,911
Simon Property Group Inc		2,175		323,945
SL Green Realty Corp		740		59,363
The Macerich Co		1,011		28,844
UDR Inc		2,033		97,950
Ventas Inc		2,904		213,125
Vornado Realty Trust		1,244		75,225
Welltower Inc		2,792		250,052
Weyerhaeuser Co		5,770		151,809
				5,934,901

See accompanying notes to financial statements.

18

S&P 500 Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Savings&Loans (0.02%)
People’s United Financial Inc		2,887	$	41,486
Total Financial				34,125,924
Industrial (9.18%)
3M Co		4,679		756,688
Agilent Technologies Inc		2,633		187,233
Allegion PLC		703		67,678
Amcor PLC*		12,762		125,323
AMETEK Inc		1,816		156,049
Amphenol Corp		2,372		207,645
AO Smith Corp		1,152		53,591
Arconic Inc		2,478		64,032
Ball Corp		2,268		182,370
Caterpillar Inc		4,752		565,488
CH Robinson Worldwide Inc		1,280		108,147
CSX Corp		6,044		405,069
Cummins Inc		1,302		194,350
Deere & Co		2,547		394,556
Dover Corp		1,334		125,049
Eaton Corp PLC		3,484		281,228
Emerson Electric Co		5,336		317,972
Expeditors International of Washington Inc		1,549		110,134
FedEx Corp		1,881		298,345
FLIR Systems Inc		1,158		57,055
Flowserve Corp		1,128		48,143
Fortive Corp		2,318		164,346
Fortune Brands Home & Security Inc		1,197		61,119
Garmin Ltd		806		65,745
General Dynamics Corp		2,204		421,559
General Electric Co		68,083		561,685
Honeywell International Inc		5,633		927,304
Huntington Ingalls Industries Inc		358		74,822
Illinois Tool Works Inc		2,349		352,021
Ingersoll-Rand PLC		2,109		255,379
Jacobs Engineering Group Inc		962		85,483
JB Hunt Transport Services Inc		690		74,548
Johnson Controls International plc		6,238		266,300
Kansas City Southern		811		102,024
Keysight Technologies Inc*		1,479		143,256
L3Harris Technologies Inc		1,767		373,561
Lockheed Martin Corp		1,981		760,922
Martin Marietta Materials Inc		463		117,496
Masco Corp		2,627		106,998
Mettler-Toledo International Inc*		202		132,672
Norfolk Southern Corp		2,091		363,939
Northrop Grumman Corp		1,335		491,106
Packaging Corp of America		752		75,636
Parker-Hannifin Corp		1,096		181,684
Pentair PLC		1,542		55,389
PerkinElmer Inc		1,021		84,437
Raytheon Co		2,190		405,851
Republic Services Inc		1,694		151,190
Rockwell Automation Inc		1,085		165,777
Roper Technologies Inc		694		254,531
Sealed Air Corp		1,582		62,995
Snap-on Inc		424		63,040
Stanley Black & Decker Inc		1,237		164,348
TE Connectivity Ltd		2,648		241,551
Textron Inc		2,069		93,105
The Boeing Co		4,114		1,497,866
TransDigm Group Inc		370		199,178
Union Pacific Corp		5,565		901,307
United Parcel Service Inc		5,289		627,593
United Technologies Corp		6,201	$	807,618
Vulcan Materials Co		956		135,035
Wabtec Corp		1,272		88,035
Waste Management Inc		3,352		400,061
Waters Corp*		682		144,509
Westrock Co		996		34,043
Xylem Inc		1,498		114,762
Total Industrial				17,557,971
Technology (17.20%)
Accenture PLC		5,015		993,823
Activision Blizzard Inc		5,269		266,611
Adobe Inc*		3,836		1,091,380
Advanced Micro Devices Inc*		5,848		183,920
Akamai Technologies Inc*		1,400		124,782
Analog Devices Inc		2,620		287,755
ANSYS Inc*		680		140,461
Apple Inc(a)		34,368		7,173,976
Applied Materials Inc		7,360		353,427
Autodesk Inc*		1,669		238,367
Broadcom Inc		3,102		876,749
Broadridge Financial Solutions Inc		913		118,179
Cadence Design Systems Inc*		2,246		153,806
Cerner Corp		2,120		146,089
Citrix Systems Inc		1,348		125,337
Cognizant Technology Solutions Corp		4,408		270,607
DXC Technology Co		2,234		74,213
Electronic Arts Inc*		2,629		246,285
Fidelity National Information Services Inc		4,804		654,401
Fiserv Inc*		3,330		356,110
Fortinet Inc*		1,141		90,344
Hewlett Packard Enterprise Co		10,529		145,511
HP Inc		11,843		216,608
Intel Corp		35,201		1,668,879
International Business Machines Corp		6,898		934,886
Intuit Inc		2,031		585,659
IPG Photonics Corp*		299		36,995
Jack Henry & Associates Inc		607		87,991
KLA Corp		1,217		179,994
Lam Research Corp		1,341		282,294
Maxim Integrated Products Inc		2,142		116,825
Microchip Technology Inc		1,401		120,948
Micron Technology Inc*		9,109		412,364
Microsoft Corp		60,049		8,278,355
MSCI Inc		713		167,291
NetApp Inc		2,586		124,283
NVIDIA Corp		4,645		778,084
Oracle Corp		19,079		993,253
Paychex Inc		2,454		200,492
Qorvo Inc*		1,120		80,002
QUALCOMM Inc		9,558		743,326
salesforce.com Inc*		6,068		947,033
Seagate Technology PLC		2,601		130,596
Skyworks Solutions Inc		1,431		107,711
Synopsys Inc*		1,189		168,612
Take-Two Interactive Software Inc*		902		119,037
Texas Instruments Inc		7,376		912,780
Western Digital Corp		2,052		117,518
Xerox Holdings Corp		2,577		74,707
Xilinx Inc		2,112		219,775
Total Technology				32,918,431
Utilities (3.22%)
AES Corp		4,674	$	71,652
Alliant Energy Corp		1,758		92,207
Ameren Corp		1,808		139,487
American Electric Power Co Inc		3,645		332,242
American Water Works Co Inc		1,374		174,938
Atmos Energy Corp		927		102,183
CenterPoint Energy Inc		2,979		82,489
CMS Energy Corp		2,062		130,009
Consolidated Edison Inc		2,227		197,980
Dominion Energy Inc		6,340		492,174
DTE Energy Co		1,258		163,112
Duke Energy Corp		5,180		480,393
Edison International		2,433		175,833
Entergy Corp		1,304		147,143
Evergy Inc		1,919		124,735
Eversource Energy		2,274		182,216
Exelon Corp		7,634		360,783
FirstEnergy Corp		3,123		143,658
NextEra Energy Inc		3,624		793,946
NiSource Inc		2,050		60,578
NRG Energy Inc		1,956		71,198
Pinnacle West Capital Corp		806		76,820
PPL Corp		4,208		124,346
Public Service Enterprise Group Inc		3,861		233,475
Sempra Energy		2,157		305,496
The Southern Co		7,566		440,795
WEC Energy Group Inc		2,388		228,699
Xcel Energy Inc		3,728		239,412
Total Utilities				6,167,999
Total Common Stock (Cost $70,950,211)				190,785,673
United States Treasury Bills (0.16%)
1.966%, 10/31/2019 (Cost $298,998)	$	300,000		299,062
Total Investments (Cost $71,249,209)(b) (99.86%)			$	191,084,735
Other Net Assets (0.14%)				249,680
Net Assets (100.00%)			$	191,334,415

* Non-income producing security.

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

(b) Aggregate cost for federal income tax purpose is $71,301,854.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

Unrealized appreciation	$	123,424,557
Unrealized depreciation		(3,641,676	)
Net unrealized appreciation	$	119,782,881

(c) Futures contracts at August 31, 2019:

Contracts - $50 times premium / delivery month / commitment / exchange

S&P 500 E-MINI	Notional Amount		Value		Unrealized Appreciation
3 / Sep 2019 / Long / CME	$	434,269	$	438,720	$	4,451

See accompanying notes to financial statements.

19

S&P MidCap Index Fund Portfolio of Investments 8/31/19

Security Description	Shares		Value (Note 1)
Common Stock (99.37%)
Basic Materials (4.80%)
Allegheny Technologies Inc*		8,230	$	163,119
Ashland Global Holdings Inc		4,179		306,070
Cabot Corp		3,895		155,800
Carpenter Technology Corp		3,157		153,556
Commercial Metals Co		7,857		123,119
Compass Minerals International Inc		2,257		112,241
Domtar Corp		4,269		140,664
Ingevity Corp*		2,823		215,028
Minerals Technologies Inc		2,347		113,125
NewMarket Corp		581		275,830
Olin Corp		10,985		186,525
PolyOne Corp		5,185		165,972
Reliance Steel & Aluminum Co		4,551		442,494
Royal Gold Inc		4,445		592,874
RPM International Inc		8,734		591,030
Sensient Technologies Corp		2,819		184,137
Steel Dynamics Inc		14,809		399,843
The Chemours Co		10,925		154,807
United States Steel Corp(a)		11,778		130,382
Valvoline Inc		12,831		289,981
Versum Materials Inc		7,402		384,904
Total Basic Materials				5,281,501
Communications (3.62%)
AMC Networks Inc*		3,034		147,149
Cable One Inc		330		428,215
Cars.com Inc*		4,206		37,475
Ciena Corp*		9,536		390,308
FactSet Research Systems Inc		2,580		701,984
GrubHub Inc*		6,109		362,508
InterDigital Inc		2,212		108,764
John Wiley & Sons Inc		3,002		133,589
LogMeIn Inc		3,449		230,531
Meredith Corp		2,763		120,964
Plantronics Inc		2,393		74,351
TEGNA Inc		14,641		209,513
Telephone & Data Systems Inc		6,361		160,297
The New York Times Co		9,283		271,064
ViaSat Inc*		3,110		246,716
World Wrestling Entertainment Inc		2,835		202,504
Yelp Inc*		4,736		158,703
Total Communications				3,984,635
Consumer, Cyclical (14.72%)
Adient PLC		5,796		116,905
American Eagle Outfitters Inc		11,372		191,277
AutoNation Inc*		3,804		180,538
Bed Bath & Beyond Inc		8,029		77,640
Boyd Gaming Corp		5,823		139,985
Brinker International Inc		2,681		101,878
Brunswick Corp		5,802		270,373
Caesars Entertainment Corp*		39,556		455,290
Carter’s Inc		3,088		282,490
Casey’s General Stores Inc		2,483		416,772
Churchill Downs Inc		2,357		290,524
Cinemark Holdings Inc		7,226		275,744
Cracker Barrel Old Country Store Inc		1,631		269,767
Dana Inc		9,921		126,294
Deckers Outdoor Corp*		1,941		286,200
Delphi Technologies PLC		6,288		83,190
Dick’s Sporting Goods Inc		4,500	$	153,180
Dillard’s Inc		1,253		73,326
Domino’s Pizza Inc		2,784		631,523
Dunkin’ Brands Group Inc		5,506		453,915
Eldorado Resorts Inc*		4,262		164,130
Five Below Inc*		3,783		464,817
Foot Locker Inc		7,525		272,330
Herman Miller Inc		3,918		165,653
HNI Corp		2,950		92,011
International Speedway Corp		1,729		77,840
Jack in the Box Inc		1,750		149,310
JetBlue Airways Corp*		20,053		347,318
KB Home		5,633		158,231
Landstar Systems Inc		2,721		303,446
Live Nation Entertainment Inc*		9,472		658,399
Marriott Vacations Worldwide Corp		2,668		263,038
Mattel Inc*		23,017		225,567
Medical Properties Trust Inc		25,745		478,600
MSC Industrial Direct Co Inc		3,063		207,120
Nu Skin Enterprises Inc		3,686		149,725
NVR Inc*		224		806,176
Ollie’s Bargain Outlet Holdings Inc*		3,572		198,067
Papa John’s International Inc		1,527		75,984
Penn National Gaming Inc*		6,066		116,285
Polaris Inc		3,887		318,812
Pool Corp		2,672		524,727
Resideo Technologies Inc*		8,815		121,471
Sally Beauty Holdings Inc*		8,063		98,610
Scientific Games Corp*		3,739		69,097
Signet Jewelers Ltd		3,605		44,125
Six Flags Entertainment Corp		4,962		293,602
Skechers U.S.A. Inc*		9,054		286,650
Tempur Sealy International Inc*		3,063		236,219
Texas Roadhouse Inc		4,276		220,043
The Cheesecake Factory Inc		2,829		107,474
The Goodyear Tire & Rubber Co		15,754		180,698
The Michaels Cos Inc*		6,098		34,576
The Scotts Miracle-Gro Co		2,666		283,449
The Toro Co(a)		7,200		518,472
The Wendy’s Co		12,144		267,168
Thor Industries Inc		3,464		159,032
Toll Brothers Inc		8,819		319,160
TRI Pointe Group Inc*		9,612		134,568
Tupperware Brands Corp		3,537		46,016
Urban Outfitters Inc*		4,569		106,960
Visteon Corp*		1,883		129,871
Watsco Inc		1,930		315,652
Williams-Sonoma Inc		5,251		345,516
World Fuel Services Corp		4,557		174,989
Wyndham Destinations Inc		6,409		284,175
Wyndham Hotels & Resorts Inc		6,641		341,215
Total Consumer, Cyclical				16,213,205
Consumer, Non-Cyclical (15.51%)
Aaron’s Inc		4,509		289,072
Acadia Healthcare Co Inc*		5,855		154,923
Adtalem Global Education Inc*		3,770		161,054
Amedisys Inc*		1,976		254,331
ASGN Inc*		3,518		219,769
Avanos Medical Inc*		3,165		105,015
Avis Budget Group Inc*		4,318		106,957
Bio-Rad Laboratories Inc*		1,366		461,312
Bio-Techne Corp		2,562		490,802
Cantel Medical Corp		2,540		233,502
Catalent Inc*		9,318	$	491,431
Charles River Laboratories International Inc*		3,272		429,286
Chemed Corp		1,083		465,073
CoreLogic Inc*		5,376		260,198
Edgewell Personal Care Co*		3,960		110,246
Encompass Health Corp		6,586		400,363
Exelixis Inc*		20,107		399,124
Flowers Foods Inc		12,448		283,814
Globus Medical Inc*		5,100		260,457
Graham Holdings Co		295		207,698
Green Dot Corp*		3,207		98,070
Haemonetics Corp*		3,460		462,014
Healthcare Services Group Inc		5,305		119,628
HealthEquity Inc*		3,845		228,239
Helen of Troy Ltd*		1,736		266,493
Hill-Rom Holdings Inc		4,543		489,190
ICU Medical Inc*		1,078		174,367
Ingredion Inc		4,523		349,492
Inogen Inc*		1,242		57,592
Insperity Inc		2,527		250,325
Integra LifeSciences Holdings Corp*		4,727		283,715
Lancaster Colony Corp		1,325		193,318
Ligand Pharmaceuticals Inc*		1,305		118,638
LivaNova PLC*		2,983		231,570
LiveRamp Holdings Inc*		4,622		195,788
Mallinckrodt PLC*		5,485		14,206
ManpowerGroup Inc		4,096		334,807
Masimo Corp*		2,951		452,241
MEDNAX Inc*		5,965		125,742
Molina Healthcare Inc*		4,237		551,996
NuVasive Inc*		2,872		182,429
Patterson Cos Inc		5,856		97,912
Post Holdings Inc*,(a)		4,511		449,702
PRA Health Sciences Inc*		3,625		358,295
Prestige Consumer Healthcare Inc*		3,633		115,820
Sabre Corp		14,745		348,572
Sanderson Farms Inc		1,299		194,356
Service Corp International		12,143		562,221
Sotheby’s*		2,205		127,339
Sprouts Farmers Market Inc*		7,859		141,069
STERIS PLC		5,692		878,845
Syneos Health Inc*		4,220		221,677
Tenet Healthcare Corp*		5,708		123,578
The Boston Beer Co Inc*		612		268,313
The Brink’s Co		3,322		249,981
The Hain Celestial Group Inc*		6,209		118,281
Tootsie Roll Industries Inc		1,425		52,269
TreeHouse Foods Inc*		3,798		192,369
United Therapeutics Corp*,(a)		2,770		228,691
Weight Watchers International Inc*		2,743		82,263
West Pharmaceutical Services Inc		4,896		712,172
WEX Inc*,(a)		2,900		593,195
Total Consumer, Non-Cyclical				17,081,207
Energy (2.63%)
Apergy Corp*		5,543		144,007
Callon Petroleum Co*		14,269		58,646
Chesapeake Energy Corp*		66,369		95,571
CNX Resources Corp*		13,127		104,622
Core Laboratories NV		2,429		96,164
EQT Corp		17,285		175,788
Equitrans Midstream Corp		13,801		186,175
First Solar Inc*,(a)		5,241		325,309

See accompanying notes to financial statements.

20

S&P MidCap Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Matador Resources Co*		7,147	$	111,851
McDermott International Inc*		12,878		60,784
Murphy Oil Corp		8,937		162,922
Murphy USA Inc*		2,035		181,929
NOW Inc*		7,894		93,860
Oasis Petroleum Inc*		19,091		59,564
Oceaneering International Inc*		6,591		85,419
Patterson-UTI Energy Inc		12,375		107,044
PBF Energy Inc		7,881		186,780
QEP Resources Inc		17,033		60,637
Range Resources Corp		14,087		50,150
Southwestern Energy Co*		35,965		56,825
Transocean Ltd*		31,902		145,154
Valaris plc		13,228		61,642
WPX Energy Inc*		26,816		288,540
Total Energy				2,899,383
Financial (26.05%)
Banks (6.66%)
Associated Banc-Corp		11,169		214,892
BancorpSouth Bank		5,929		163,581
Bank of Hawaii Corp		2,731		225,799
Bank OZK		8,055		207,819
Cathay General Bancorp		5,088		168,871
Commerce Bancshares Inc(a)		6,696		382,141
Cullen/Frost Bankers Inc		4,063		337,270
East West Bancorp Inc		9,835		404,514
First Financial Bankshares Inc		9,202		281,765
First Horizon National Corp		21,591		341,786
FNB Corp		21,639		232,619
Fulton Financial Corp		11,526		183,840
Hancock Whitney Corp		5,983		210,063
Home BancShares Inc		9,497		168,287
International Bancshares Corp		3,830		136,310
PacWest Bancorp(a)		8,196		279,320
Pinnacle Financial Partners Inc		4,820		253,869
Prosperity Bancshares Inc		4,502		292,270
Signature Bank		3,671		428,222
Synovus Financial Corp		8,453		300,420
TCF Financial Corp		10,501		404,919
Texas Capital Bancshares Inc*		3,508		189,011
Trustmark Corp		4,422		144,511
UMB Financial Corp		2,995		186,648
Umpqua Holdings Corp		14,691		230,796
United Bankshares Inc		6,927		255,468
Valley National Bancorp		18,619		195,686
Webster Financial Corp		6,139		274,782
Wintrust Financial Corp		3,775		237,183
				7,332,662
Diversified Financial Service (2.65%)
Deluxe Corp		2,963		136,535
Eaton Vance Corp(a)		7,813		336,897
Evercore Inc		2,736		218,223
Federated Investors Inc		6,496		208,132
Interactive Brokers Group Inc		5,053		238,502
Janus Henderson Group PLC		11,194		213,917
Legg Mason Inc		6,044		222,359
LendingTree Inc*		497		154,115
Navient Corp		14,764		188,093
SEI Investments Co		8,536		490,905
SLM Corp		30,078		253,858
Stifel Financial Corp		4,809		256,897
				2,918,433
Insurance (5.56%)
Alleghany Corp*		962		720,836
American Financial Group Inc		4,721		476,679
Brighthouse Financial Inc*		7,852	$	276,862
Brown & Brown Inc		15,751		581,054
CNO Financial Group Inc		10,661		154,371
First American Financial Corp		7,469		436,563
Genworth Financial Inc*		33,537		148,569
Kemper Corp		3,706		259,346
Mercury General Corp		1,883		100,741
Old Republic International Corp		17,345		405,179
Primerica Inc		2,889		344,282
Reinsurance Group of America Inc		4,238		652,525
RenaissanceRe Holdings Ltd		2,830		510,957
The Hanover Insurance Group Inc		2,752		366,429
WR Berkley Corp		9,639		686,779
				6,121,172
Real Estate (10.42%)
Alexander & Baldwin Inc		4,965		113,649
American Campus Communities Inc		9,297		432,125
Brixmor Property Group Inc		20,261		373,410
Camden Property Trust(a)		6,442		697,347
CoreCivic Inc		8,052		136,481
CoreSite Realty Corp		2,417		280,807
Corporate Office Properties Trust		7,042		203,443
Cousins Properties Inc		9,682		335,965
CyrusOne Inc		6,021		442,303
Douglas Emmett Inc		10,862		458,376
EastGroup Properties Inc		2,449		304,949
EPR Properties		4,422		346,022
First Industrial Realty Trust Inc		8,145		317,248
Healthcare Realty Trust Inc		7,860		261,188
Highwoods Properties Inc		7,026		303,593
Hospitality Properties Trust		10,957		264,502
JBG SMITH Properties		8,041		307,649
Jones Lang LaSalle Inc		3,095		414,885
Kilroy Realty Corp		6,874		535,210
Lamar Advertising Co(a)		5,778		442,884
Liberty Property Trust		10,038		523,181
Life Storage Inc		3,107		329,218
Mack-Cali Realty Corp		6,019		122,607
National Retail Properties Inc(a)		10,988		616,976
Omega Healthcare Investors Inc		14,003		569,642
Pebblebrook Hotel Trust		8,704		234,747
PotlatchDeltic Corp		3,261		125,483
PS Business Parks Inc		1,333		239,420
Rayonier Inc		8,785		235,438
Sabra Health Care REIT Inc		11,960		258,575
Senior Housing Properties Trust		16,800		142,632
Spirit Realty Capital Inc		5,819		278,963
Tanger Factory Outlet Centers Inc		6,683		94,498
Taubman Centers Inc		4,147		161,940
The GEO Group Inc		8,190		140,540
Uniti Group Inc		9,408		69,525
Urban Edge Properties		7,463		130,677
Weingarten Realty Investors		8,116		214,993
				11,461,091
Savings&Loans (0.76%)
New York Community Bancorp Inc		31,707		365,899
Sterling Bancorp		14,431		275,199
Washington Federal Inc		5,503		195,907
				837,005
Total Financial				28,670,363
Industrial (18.86%)
Acuity Brands Inc		2,706	$	339,359
AECOM*		10,590		375,733
AGCO Corp		4,360		301,363
AptarGroup Inc		4,210		514,546
Arrow Electronics Inc*		5,761		398,661
Avnet Inc		7,356		308,143
Axon Enterprise Inc*		3,939		236,222
Belden Inc		2,673		121,916
Carlisle Cos Inc		3,886		563,315
Clean Harbors Inc*		3,448		253,600
Cognex Corp		11,590		522,477
Coherent Inc*		1,611		233,531
Colfax Corp*		6,448		175,386
Crane Co		3,447		262,799
Curtiss-Wright Corp(a)		2,903		356,024
Donaldson Co Inc		8,677		419,620
Dycom Industries Inc*		2,187		97,322
Eagle Materials Inc		2,939		247,434
EMCOR Group Inc		3,799		332,185
Energizer Holdings Inc		4,237		163,125
EnerSys		2,978		166,768
Fluor Corp		9,323		164,737
GATX Corp		2,483		184,288
Genesee & Wyoming Inc*		3,819		423,451
Gentex Corp		17,030		452,998
Graco Inc		11,215		511,068
Granite Construction Inc		2,975		84,609
Greif Inc		1,958		68,902
Hubbell Inc		3,704		485,743
ITT Inc		5,929		337,479
Jabil Inc		9,552		275,193
KBR Inc		9,567		244,150
Kennametal Inc		5,634		168,400
Kirby Corp*		3,748		275,815
Knight-Swift Transportation Holdings Inc		8,451		288,517
Lennox International Inc		2,351		596,637
Lincoln Electric Holdings Inc		4,184		345,431
Littelfuse Inc		1,717		267,972
Louisiana-Pacific Corp		8,225		197,729
MasTec Inc*		4,309		270,907
MDU Resources Group Inc		13,199		354,921
MSA Safety Inc		2,387		252,139
National Instruments Corp		7,468		313,656
Nordson Corp		3,445		468,382
nVent Electric PLC		10,942		221,685
Old Dominion Freight Line Inc		4,315		706,624
Oshkosh Corp		4,752		333,923
Owens-Illinois Inc		10,422		105,992
Regal Beloit Corp		2,853		202,278
Ryder System Inc		3,743		180,300
Silgan Holdings Inc		5,244		156,061
Sonoco Products Co		6,666		381,295
Stericycle Inc*		5,784		259,644
SYNNEX Corp		2,764		231,651
Tech Data Corp*		2,431		225,427
Teledyne Technologies Inc*		2,414		744,936
Terex Corp		4,504		111,834
Tetra Tech Inc		2,575		208,884
The Timken Co		4,564		183,382
Trex Co Inc*		3,993		341,521
Trimble Inc*		16,766		629,060
Trinity Industries Inc		9,047		158,051
Universal Display Corp		2,876		590,932
Valmont Industries Inc		1,488		201,624

See accompanying notes to financial statements.

21

S&P MidCap Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Vishay Intertechnology Inc		8,970	$	141,995
Werner Enterprises Inc		3,170		103,596
Woodward Inc		3,725		401,741
Worthington Industries Inc		2,663		92,406
XPO Logistics Inc*		6,127		434,159
Total Industrial				20,771,654
Technology (8.72%)
ACI Worldwide Inc*		7,367		219,389
Allscripts Healthcare Solutions Inc*		11,090		100,697
Blackbaud Inc		2,675		243,345
CACI International Inc*		1,686		374,781
CDK Global Inc		8,104		349,769
Cirrus Logic Inc*		4,012		215,204
CommVault Systems Inc*		2,668		115,711
Covetrus Inc*		6,488		86,226
Cree Inc*		6,918		296,990
Cypress Semiconductor Corp(a)		24,346		560,201
Fair Isaac Corp*		1,774		625,725
j2 Global Inc		3,097		262,006
Lumentum Holdings Inc*		4,462		248,801
Manhattan Associates Inc*		4,411		364,481
MAXIMUS Inc		4,328		332,996
Medidata Solutions Inc*		4,277		391,688
MKS Instruments Inc		3,622		283,566
Monolithic Power Systems Inc		2,639		397,328
NCR Corp*		8,002		252,143
NetScout Systems Inc*		5,034		111,503
Perspecta Inc		9,325		241,984
PTC Inc*		6,899		451,678
Science Applications International Corp		3,057	$	269,047
Semtech Corp*		4,442		186,431
Silicon Laboratories Inc*		2,887		314,683
Synaptics Inc*		2,575		82,452
Teradata Corp*		7,958		245,663
Teradyne Inc		11,420		604,917
Tyler Technologies Inc*		2,470		633,654
Zebra Technologies Corp*		3,596		737,288
Total Technology				9,600,347
Utilities (4.48%)
ALLETE Inc		3,439		294,825
Aqua America Inc		12,086		535,289
Black Hills Corp		3,620		277,690
Hawaiian Electric Industries Inc		7,391		328,160
IDACORP Inc		3,357		368,632
National Fuel Gas Co		6,006		280,720
New Jersey Resources Corp		5,790		264,835
NorthWestern Corp		3,361		243,471
OGE Energy Corp		13,551		580,931
ONE Gas Inc		3,566		326,681
PNM Resources Inc		5,404		275,658
Southwest Gas Holdings Inc		3,218		293,578
Spire Inc		3,442		292,226
UGI Corp		11,795		574,063
Total Utilities				4,936,759
Total Common Stock (Cost $80,915,727)				109,439,054
United States Treasury Bills (0.54%)
1.966%, 10/31/2019 (Cost $598,124)		$600,000	$	598,124
Total Investments (Cost $81,513,851)(b) (99.93%)			$	110,037,178
Other Net Assets (0.07%)				93,596
Net Assets (100.00%)			$	110,130,774

* Non-income producing security.

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

(b) Aggregate cost for federal income tax purpose is $81,795,447.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

Unrealized appreciation	$	39,025,245
Unrealized depreciation		(10,783,521	)
Net unrealized appreciation	$	28,241,724

(c) Futures contracts at August 31, 2019:

Contracts - $100 times premium / delivery month / commitment / exchange

S&P MidCap E-MINI	Notional Amount		Value		Unrealized Depreciation
3 / Sep 2019 / Long / CME	$	565,559	$	564,420	$	(1,139	)

S&P SmallCap Index Fund Portfolio of Investments 8/31/19

Security Description	Shares		Value (Note 1)
Common Stock (99.54%)
Basic Materials (3.80%)
A Schulman Inc - CVR(a)		2,942	$	2,518
AdvanSix Inc*		2,892		64,607
AK Steel Holding Corp*		31,639		68,340
American Vanguard Corp		2,434		34,490
Balchem Corp		3,029		268,945
Century Aluminum Co*		4,940		27,219
Clearwater Paper Corp*		1,635		26,193
Ferro Corp*		8,296		84,536
Hawkins Inc		889		39,427
HB Fuller Co		4,768		203,164
Innophos Holdings Inc		1,960		55,056
Innospec Inc		2,391		198,883
Kaiser Aluminum Corp		1,511		133,618
Koppers Holdings Inc*		2,119		56,175
Kraton Corp*		3,201		87,835
Livent Corp*		14,547		89,464
Materion Corp		2,026		119,210
Mercer International Inc		4,141		49,858
Neenah Inc		1,669		106,449
PH Glatfelter Co		4,384		63,042
Quaker Chemical Corp		1,249		198,416
Rayonier Advanced Materials Inc		4,999		17,546
Rogers Corp*		1,737		230,014
Schweitzer-Mauduit International Inc		3,051	$	102,331
Stepan Co		1,999		190,685
Total Basic Materials				2,518,021
Communications (4.55%)
8x8 Inc*		9,332		226,861
ADTRAN Inc		4,820		49,501
ATN International Inc		1,090		61,934
CalAmp Corp*		3,588		34,445
Cincinnati Bell Inc*		4,841		26,287
Cogent Communications Holdings Inc		3,909		238,019
Consolidated Communications Holdings Inc		7,218		29,089
Digi International Inc*		2,432		31,081
ePlus Inc*		1,374		112,283
Extreme Networks Inc*		11,197		74,796
Finisar Corp*		6,518		147,372
Frontier Communications Corp*		10,665		8,537
Gannett Co Inc		11,003		115,752
Harmonic Inc*		8,550		56,345
HealthStream Inc*		2,593		65,525
Iridium Communications Inc*		9,005		217,741
Liquidity Services Inc*		2,609		19,750
NETGEAR Inc*		3,121		108,361
New Media Investment Group Inc		5,426	$	47,640
NIC Inc		6,674		138,953
Perficient Inc*		3,355		123,598
QuinStreet Inc*		3,564		40,808
Scholastic Corp		2,754		96,583
Shutterfly Inc*		3,327		169,278
Shutterstock Inc*		1,885		66,182
Spok Holdings Inc		1,924		22,607
Stamps.com Inc*		1,672		107,610
TechTarget Inc*		2,200		52,228
The EW Scripps Co		5,565		68,783
Viavi Solutions Inc*		12,643		175,611
Vonage Holdings Corp*		21,469		283,820
Total Communications				3,017,380
Consumer, Cyclical (13.69%)
Abercrombie & Fitch Co		6,560		95,907
Allegiant Travel Co		1,263		179,333
American Axle & Manufacturing Holdings Inc*		11,257		71,369
Anixter International Inc*		2,713		162,699
Asbury Automotive Group Inc*		1,942		183,131
Ascena Retail Group Inc*		16,548		4,119
Barnes & Noble Education Inc*		3,275		12,773
Big Lots Inc		3,990		90,773
BJ’s Restaurants Inc		2,118		77,180

See accompanying notes to financial statements.

22

S&P SmallCap Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Bloomin’ Brands Inc		5,070	$	91,463
Boot Barn Holdings Inc*		1,568		53,704
Caleres Inc		4,288		86,403
Callaway Golf Co		8,283		147,106
Cavco Industries Inc*		839		153,931
Century Communities Inc*		1,525		42,975
Chico’s FAS Inc		11,607		36,214
Chuy’s Holdings Inc*		1,589		40,313
Conn’s Inc*		2,348		47,336
Cooper Tire & Rubber Co		4,894		114,960
Cooper-Standard Holdings Inc*		1,609		60,241
Core-Mark Holding Co Inc		4,298		139,212
Daktronics Inc		3,984		28,804
Dave & Buster’s Entertainment Inc		3,410		146,801
Designer Brands Inc		5,534		91,256
Dorman Products Inc*		2,715		192,982
El Pollo Loco Holdings Inc*		2,051		20,941
Ethan Allen Interiors Inc		2,402		41,314
Express Inc*		7,585		16,080
EZCORP Inc*		4,843		38,114
Fiesta Restaurant Group Inc*		2,324		20,079
FirstCash Inc(b)		2,385		235,471
Fossil Group Inc*		4,397		56,282
Fox Factory Holding Corp*		3,576		257,615
GameStop Corp		10,222		40,581
Garrett Motion Inc*		7,461		73,416
Genesco Inc*		1,625		57,980
Gentherm Inc*		3,353		123,055
G-III Apparel Group Ltd*		4,180		85,732
GMS Inc*		1,785		52,586
Group 1 Automotive Inc		1,736		129,714
Guess? Inc		4,701		84,947
Haverty Furniture Cos Inc		1,917		36,711
Hawaiian Holdings Inc		4,824		117,754
Hibbett Sports Inc*		1,822		30,136
Installed Building Products Inc*		2,092		119,056
Interface Inc		6,070		67,074
iRobot Corp*		2,628		162,437
JC Penney Co Inc*		31,537		23,467
Kirkland’s Inc*		1,580		2,323
Kontoor Brands Inc		2,567		87,894
La-Z-Boy Inc		4,599		146,570
LCI Industries		2,343		198,569
LGI Homes Inc*		1,815		147,941
Lithia Motors Inc		2,094		274,461
Lumber Liquidators Holdings Inc*		2,806		26,404
M/I Home Inc*		2,766		99,963
MarineMax Inc*		2,374		34,328
MDC Holdings Inc		4,784		184,997
Meritage Homes Corp*		3,370		220,196
Methode Electronics Inc		3,654		115,978
Mobile Mini Inc		4,477		139,951
Monarch Casino & Resort Inc*		1,142		50,682
Motorcar Parts of America Inc*		1,857		26,982
Movado Group Inc		1,570		33,786
Nautilus Inc*		2,880		4,003
Office Depot Inc		53,903		70,074
Oxford Industries Inc		1,699		118,556
PetMed Express Inc		1,968		31,094
Red Robin Gourmet Burgers Inc*		1,277		42,767
Regis Corp*		3,006		48,607
RH*		1,513		216,737
Ruth’s Hospitality Group Inc		2,946		57,300
ScanSource Inc*		2,508	$	70,876
Shoe Carnival Inc		999		30,709
SkyWest Inc		4,800		274,848
Sleep Number Corp*		3,041		127,235
Sonic Automotive Inc		2,552		68,674
Standard Motor Products Inc		2,030		89,949
Steven Madden Ltd		7,317		243,071
Superior Industries International Inc		2,154		5,924
Tailored Brands Inc		4,990		27,046
The Buckle Inc		2,729		53,488
The Cato Corp		2,492		42,688
The Children’s Place Inc		1,484		129,479
The Marcus Corp		2,145		71,986
Tile Shop Holdings Inc		3,476		9,350
Titan International Inc		4,982		12,953
Unifi Inc*		1,447		27,840
UniFirst Corp		1,438		281,719
Universal Electronics Inc*		1,358		61,314
Vera Bradley Inc*		1,892		20,036
Veritiv Corp*		1,144		18,945
Vista Outdoor Inc*		5,502		30,756
Vitamin Shoppe Inc*		1,557		10,043
Wabash National Corp		5,495		74,952
William Lyon Homes*		2,798		49,441
Wingstop Inc		2,754		275,868
Winnebago Industries Inc		2,789		89,304
Wolverine World Wide Inc		8,316		215,800
Zumiez Inc*		1,661		43,153
Total Consumer, Cyclical				9,079,137
Consumer, Non-Cyclical (19.80%)
ABM Industries Inc		6,217		231,645
Acorda Therapeutics Inc*		3,939		12,723
Addus HomeCare Corp*		991		87,188
Akorn Inc*		9,531		27,545
AMAG Pharmaceuticals Inc*		3,411		37,248
American Public Education Inc*		1,645		39,858
AMN Healthcare Services Inc*		4,368		255,091
Amphastar Pharmaceuticals Inc*		3,566		80,092
AngioDynamics Inc*		3,693		67,840
ANI Pharmaceuticals Inc*		910		59,605
Anika Therapeutics Inc*		1,454		82,529
Arlo Technologies Inc*		6,180		19,405
Arrowhead Pharmaceuticals Inc*		5,242		179,119
Assertio Therapeutics Inc*		5,860		8,438
Avon Products Inc*		43,298		188,346
B&G Foods Inc		6,121		103,629
BioTelemetry Inc*		3,315		131,440
Calavo Growers Inc		1,467		130,050
Cal-Maine Foods Inc		2,954		119,755
Cambrex Corp*		3,307		198,189
Cardiovascular Systems Inc*		3,469		168,004
Cardtronics PLC*		3,733		110,571
Care.com Inc*		2,509		24,814
Career Education Corp*		6,635		136,084
Central Garden & Pet Co*		1,035		27,345
Central Garden & Pet Co - Class A*		4,012		96,529
Coca-Cola Consolidated Inc		446		150,128
Community Health Systems Inc*		11,035		27,477
CONMED Corp		2,433		245,173
Corcept Therapeutics Inc*		10,698		134,902
CorVel Corp*		849		71,511
Cross Country Healthcare Inc*		3,652		37,433
CryoLife Inc*		3,262		87,422
Cutera Inc*		1,289	$	37,213
Cytokinetics Inc*		5,112		71,824
Darling Ingredients Inc*		9,108		169,409
Dean Foods Co		9,166		9,258
Diplomat Pharmacy Inc*		5,700		33,117
Eagle Pharmaceuticals Inc*		1,123		63,326
Emergent BioSolutions Inc*		4,436		194,297
Enanta Pharmaceuticals Inc*		1,590		112,175
Endo International PLC*		20,210		47,898
EVERTEC Inc		5,617		195,809
Forrester Research Inc		996		34,731
FTI Consulting Inc*		3,561		385,087
Genomic Health Inc*		2,016		154,547
Harsco Corp*		7,513		134,483
Heidrick & Struggles International Inc		1,846		49,011
Heska Corp*		673		47,238
HMS Holdings Corp*		8,301		303,236
Innoviva Inc*		6,708		77,746
Integer Holdings Corp*		2,812		203,589
Inter Parfums Inc		1,699		109,229
Invacare Corp		3,327		16,103
J&J Snack Foods Corp		1,410		272,215
John B Sanfilippo & Son Inc		861		79,729
Kelly Services Inc		3,086		74,712
Korn Ferry		5,287		206,616
Lannett Co Inc*		2,918		30,055
Lantheus Holdings Inc*		3,880		84,429
LeMaitre Vascular Inc		1,530		48,440
LHC Group Inc*		2,744		325,164
LSC Communications Inc		3,223		4,190
Luminex Corp		4,147		85,014
Magellan Health Inc*		2,252		141,899
Matthews International Corp		3,224		94,495
Medifast Inc		1,114		111,355
Medpace Holdings Inc*		2,595		209,961
Meridian Bioscience Inc		4,249		39,218
Merit Medical Systems Inc*,(b)		5,154		179,256
MGP Ingredients Inc		1,267		61,031
Momenta Pharmaceuticals Inc*		9,815		123,963
Monro Inc		3,235		251,424
Myriad Genetics Inc*		6,875		161,769
Natus Medical Inc*		3,265		90,375
Navigant Consulting Inc		4,037		112,511
Neogen Corp*		4,883		344,349
NeoGenomics Inc*		9,060		226,319
OraSure Technologies Inc*		6,127		40,438
Orthofix Medical Inc*		1,892		96,189
Owens & Minor Inc		6,011		30,536
Phibro Animal Health Corp		1,987		41,032
Progenics Pharmaceuticals Inc*		7,397		32,547
Quanex Building Products Corp		3,418		58,858
REGENXBIO Inc*		2,935		101,228
Rent-A-Center Inc*		4,464		113,966
Repligen Corp*		3,949		366,507
Resources Connection Inc		2,990		49,485
RR Donnelley & Sons Co		6,596		15,962
Select Medical Holdings Corp*		10,762		174,560
Seneca Foods Corp*		660		18,137
SpartanNash Co		3,727		40,140
Spectrum Pharmaceuticals Inc*		10,511		77,151
Strategic Education Inc		2,054		347,598
Supernus Pharmaceuticals Inc*		5,197		140,475
Surmodics Inc*		1,330		62,590
Tactile Systems Technology Inc*		1,689		85,193

See accompanying notes to financial statements.

23

S&P SmallCap Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Team Inc*		2,930	$	48,286
The Andersons Inc		2,657		60,898
The Chefs’ Warehouse Inc*		2,331		89,930
The Ensign Group Inc		4,669		232,983
The Medicines Co*		6,505		272,950
The Providence Service Corp*		1,099		61,775
Tivity Health Inc*		4,670		85,274
TrueBlue Inc*		3,979		77,232
United Natural Foods Inc*		5,088		40,908
Universal Corp		2,341		117,190
US Physical Therapy Inc		1,244		166,099
USANA Health Sciences Inc*		735		49,958
Vanda Pharmaceuticals Inc*		5,279		74,381
Varex Imaging Corp*		3,808		100,341
Vector Group Ltd		10,179		118,891
Viad Corp		1,900		122,797
WD-40 Co		1,292		235,532
Xencor Inc*		2,648		98,717
Total Consumer, Non-Cyclical				13,131,677
Energy (3.73%)
Archrock Inc		12,975		125,987
Bonanza Creek Energy Inc*		1,864		42,052
C&J Energy Services Inc*		6,383		61,021
Carrizo Oil & Gas Inc*		8,776		72,753
CONSOL Energy Inc*		2,836		47,531
Denbury Resources Inc*		46,431		50,145
Diamond Offshore Drilling Inc*		6,436		41,770
DMC Global Inc		786		34,136
Dril-Quip Inc*		3,394		155,615
Era Group Inc*		2,067		19,595
Exterran Corp*		3,227		34,045
FutureFuel Corp		2,258		24,341
Geospace Technologies Corp*		1,047		12,815
Green Plains Inc		3,903		32,044
Gulf Island Fabrication Inc*		900		5,697
Gulfport Energy Corp*		15,178		36,427
Helix Energy Solutions Group Inc*		13,968		101,128
HighPoint Resources Corp*		9,646		11,286
KLX Energy Services Holdings Inc*		2,045		20,511
Laredo Petroleum Inc*		15,407		38,209
Matrix Service Co*		2,446		48,602
Nabors Industries Ltd		32,902		55,275
Newpark Resources Inc*		8,961		59,232
Noble Corp plc*		24,763		39,621
Oil States International Inc*		6,072		83,733
Par Pacific Holdings Inc*		2,984		64,872
PDC Energy Inc*		6,436		204,987
Penn Virginia Corp*		1,312		37,392
ProPetro Holding Corp*		6,944		73,954
Renewable Energy Group Inc*		3,755		45,698
REX American Resources Corp*		531		36,469
Ring Energy Inc*		5,422		7,916
SM Energy Co		5,709		54,121
SolarEdge Technologies Inc*		4,311		353,157
SRC Energy Inc*		23,938		120,169
SunCoke Energy Inc*		6,488		40,485
Superior Energy Services Inc*		15,582		5,217
TETRA Technologies Inc*		12,600		20,916
Unit Corp*		5,423		16,432
US Silica Holdings Inc		7,460		75,868
Whiting Petroleum Corp*		9,066		60,108
Total Energy				2,471,332
Financial (24.49%)
Banks (8.87%)
Ameris Bancorp		5,421	$	190,765
Banner Corp		3,113		167,822
Central Pacific Financial Corp		2,875		79,983
City Holding Co		1,547		115,019
Columbia Banking System Inc		6,892		237,843
Community Bank System Inc		4,828		294,460
Customers Bancorp Inc*		2,828		53,421
CVB Financial Corp		9,577		196,999
Eagle Bancorp Inc		3,182		129,635
First BanCorp		20,364		195,087
First Commonwealth Financial Corp		9,229		114,163
First Financial Bancorp		9,240		216,401
First Midwest Bancorp Inc		10,344		198,605
Flagstar Bancorp Inc		2,967		107,850
Franklin Financial Network Inc		1,168		33,790
Glacier Bancorp Inc(b)		7,926		314,576
Great Western Bancorp Inc		5,335		159,143
Hanmi Financial Corp		3,211		57,509
Heritage Financial Corp		3,361		87,991
HomeStreet Inc*		2,707		71,384
Hope Bancorp Inc		11,275		151,198
Independent Bank Corp		3,214		217,299
LegacyTexas Financial Group Inc		4,244		171,458
Meta Financial Group Inc		2,742		84,755
National Bank Holdings Corp		2,643		86,268
NBT Bancorp Inc		4,311		150,756
OFG Bancorp		4,362		89,508
Old National Bancorp		14,019		235,519
Opus Bank		2,188		45,423
Preferred Bank		1,334		66,647
S&T Bancorp Inc		3,468		118,675
Seacoast Banking Corp of Florida*		5,182		120,948
ServisFirst Bancshares Inc		4,533		137,803
Simmons First National Corp		9,302		223,248
Southside Bancshares Inc		3,155		103,894
Tompkins Financial Corp		1,219		96,423
Triumph Bancorp Inc*		2,315		69,427
TrustCo Bank Corp NY		9,676		74,215
United Community Banks Inc		7,406		195,592
Veritex Holdings Inc		4,539		107,120
Walker & Dunlop Inc		2,755		153,894
Westamerica Bancorporation		2,609		160,740
				5,883,256
Diversified Financial Service (1.57%)
Blucora Inc*		4,714		106,442
Boston Private Financial Holdings Inc		8,332		88,486
Encore Capital Group Inc*		2,392		88,265
Enova International Inc*		3,399		81,236
Greenhill & Co Inc		1,752		24,598
INTL. FCStone Inc*		1,498		58,737
Piper Jaffray Cos		1,416		103,028
PRA Group Inc*		4,604		157,181
Virtus Investment Partners Inc		724		77,244
Waddell & Reed Financial Inc		7,605		122,973
WisdomTree Investments Inc		11,401		54,839
World Acceptance Corp*		575		76,418
				1,039,447
Insurance (3.78%)
Ambac Financial Group Inc*		4,388		79,160
American Equity Investment Life Holding Co		8,799		189,618
AMERISAFE Inc		1,932	$	132,728
eHealth Inc*		1,827		152,207
Employers Holdings Inc		3,193		137,714
HCI Group Inc		756		29,461
Horace Mann Educators Corp		4,007		175,787
James River Group Holdings Ltd		2,891		142,468
NMI Holdings Inc*		6,628		187,838
ProAssurance Corp		5,035		196,717
RLI Corp		3,673		336,337
Safety Insurance Group Inc		1,369		132,026
Selective Insurance Group Inc(b)		3,275		260,788
Stewart Information Services Corp		2,381		85,287
Third Point Reinsurance Ltd*		7,370		69,425
United Fire Group Inc		2,126		96,010
United Insurance Holdings Corp		2,058		24,120
Universal Insurance Holdings Inc		3,272		81,800
				2,509,491
Real Estate (8.67%)
Acadia Realty Trust		7,755		212,099
Agree Realty Corp		3,744		279,639
American Assets Trust Inc		3,772		176,756
Apollo Commercial Real Estate Finance Inc		11,233		208,372
Armada Hoffler Properties Inc		4,539		78,706
ARMOUR Residential REIT Inc		4,911		80,639
Capstead Mortgage Corp		8,523		61,962
CareTrust REIT Inc		8,852		210,589
CBL & Associates Properties Inc		16,968		15,441
Cedar Realty Trust Inc		7,158		16,964
Chatham Lodging Trust		4,440		73,660
Chesapeake Lodging Trust		5,971		153,753
Community Healthcare Trust Inc		1,592		67,883
DiamondRock Hospitality Co		18,876		178,756
Easterly Government Properties Inc		6,058		124,492
Four Corners Property Trust Inc		6,547		186,524
Franklin Street Properties Corp		10,760		81,453
Getty Realty Corp		3,197		101,537
Global Net Lease Inc		8,353		160,211
Granite Point Mortgage Trust Inc		5,096		93,206
Hersha Hospitality Trust		3,592		49,929
Independence Realty Trust Inc		8,262		114,924
Innovative Industrial Properties Inc		974		86,842
Invesco Mortgage Capital Inc		12,048		181,081
iStar Inc		6,061		77,581
Kite Realty Group Trust		8,396		119,979
Lexington Realty Trust		19,586		203,499
LTC Properties Inc		3,723		181,682
Marcus & Millichap Inc*		2,142		77,283
National Storage Affiliates Trust		5,662		189,451
New York Mortgage Trust Inc		18,492		113,726
NorthStar Realty Europe Corp		4,963		84,024
Office Properties Income Trust		4,791		129,884
Pennsylvania Real Estate Investment Trust		7,059		36,283
PennyMac Mortgage Investment Trust		6,770		147,315
RE/MAX Holdings Inc - Class A		1,780		45,693
Realogy Holdings Corp		6,314		30,181
Redwood Trust Inc		9,626		159,792
Retail Opportunity Investments Corp		10,711		187,550
RPT Realty		7,667		91,237
Saul Centers Inc		1,169		58,719
Summit Hotel Properties Inc		10,506		117,247

See accompanying notes to financial statements.

24

S&P SmallCap Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Universal Health Realty Income Trust		1,242	$	120,089
Urstadt Biddle Properties Inc		2,991		62,781
Washington Prime Group Inc		18,663		60,281
Washington Real Estate Investment Trust		7,499		198,649
Whitestone REIT		3,993		49,593
Xenia Hotels & Resorts Inc		10,554		213,296
				5,751,233
Savings&Loans (1.60%)
Axos Financial Inc*		5,367		139,059
Banc of California Inc		4,101		59,752
Berkshire Hills Bancorp Inc		4,061		119,109
Brookline Bancorp Inc		8,059		113,148
Dime Community Bancshares Inc		2,890		57,309
Northfield Bancorp Inc		4,483		69,576
Northwest Bancshares Inc		10,116		159,934
Oritani Financial Corp		3,976		68,109
Pacific Premier Bancorp Inc		4,527		133,365
Provident Financial Services Inc		6,007		143,027
				1,062,388
Total Financial				16,245,815
Industrial (17.92%)
AAON Inc		3,922		188,138
AAR Corp		3,171		136,226
Actuant Corp		6,089		135,237
Advanced Energy Industries Inc*		3,582		184,974
Aegion Corp*		3,357		66,267
Aerojet Rocketdyne Holdings Inc*		6,780		354,119
AeroVironment Inc*		2,121		109,295
Alamo Group Inc		937		106,987
Alarm.com Holdings Inc*		3,306		157,366
Albany International Corp		2,871		236,054
American Woodmark Corp*		1,406		115,812
Apogee Enterprises Inc		2,707		99,970
Applied Industrial Technologies Inc		3,616		193,058
Applied Optoelectronics Inc*		1,964		17,480
ArcBest Corp		2,482		73,492
Arcosa Inc		4,530		147,180
Astec Industries Inc		2,327		64,225
Atlas Air Worldwide Holdings Inc*		2,496		64,522
AZZ Inc		2,578		106,394
Badger Meter Inc		2,728		140,710
Barnes Group Inc		4,429		198,641
Bel Fuse Inc		988		10,868
Benchmark Electronics Inc		3,613		95,672
Boise Cascade Co		3,900		122,460
Brady Corp		4,730		223,303
Briggs & Stratton Corp		4,252		18,369
Chart Industries Inc*		3,048		191,536
CIRCOR International Inc*		1,919		65,956
Comfort Systems USA Inc		3,458		133,686
Comtech Telecommunications Corp		2,370		63,398
DXP Enterprises Inc*		1,585		51,433
Echo Global Logistics Inc*		2,538		50,862
Encore Wire Corp		2,060		111,219
EnPro Industries Inc		1,943		121,010
ESCO Technologies Inc		2,555		194,512
Exponent Inc		4,940		350,197
Fabrinet*		3,451	$	174,241
FARO Technologies Inc*		1,657		81,591
Federal Signal Corp		5,933		176,269
Forward Air Corp		2,688		167,462
Franklin Electric Co Inc		3,824		175,330
Gibraltar Industries Inc*		3,137		126,327
Griffon Corp		3,397		59,278
Haynes International Inc		1,242		37,099
Heartland Express Inc		4,781		98,345
Hillenbrand Inc		5,867		160,990
Hub Group Inc*		3,325		143,175
Ichor Holdings Ltd*		2,215		47,091
II-VI Inc*		5,595		209,868
Insteel Industries Inc		1,735		32,445
Itron Inc*		3,134		217,656
John Bean Technologies Corp		3,023		309,313
Kaman Corp		2,618		152,865
KEMET Corp		5,811		97,334
Knowles Corp*		9,026		183,047
Lindsay Corp		1,030		90,908
LSB Industries Inc*		1,435		6,701
Lydall Inc*		1,743		35,052
Marten Transport Ltd		3,836		75,454
Matson Inc		4,012		142,546
Mesa Laboratories Inc		196		43,361
Moog Inc		3,043		247,244
Mueller Industries Inc		5,305		139,840
Myers Industries Inc		3,548		59,713
MYR Group Inc*		1,615		46,302
National Presto Industries Inc		504		43,198
Olympic Steel Inc		881		9,471
OSI Systems Inc*		1,577		165,601
Park Aerospace Corp		1,909		32,262
Patrick Industries Inc*		2,259		81,640
PGT Innovations Inc*		5,837		93,392
Plexus Corp*		2,820		161,332
Powell Industries Inc		838		30,436
Proto Labs Inc*,(b)		2,515		238,271
Raven Industries Inc		3,584		104,545
Saia Inc*		2,527		216,160
Sanmina Corp*		6,465		186,839
SEACOR Holdings Inc*		1,714		80,507
Simpson Manufacturing Co Inc		3,766		241,777
SMART Global Holdings Inc*		1,196		33,978
SPX Corp*		4,195		159,200
SPX FLOW Inc*		4,202		141,649
Standex International Corp		1,287		88,481
Sturm Ruger & Co Inc		1,780		72,998
Tennant Co		1,758		120,230
The Greenbrier Cos Inc		3,244		75,553
TimkenSteel Corp*		3,932		20,525
TopBuild Corp*		3,225		298,700
Tredegar Corp		2,521		43,588
Triumph Group Inc		4,765		99,017
TTM Technologies Inc*		9,342		99,586
Universal Forest Products Inc		5,748		224,747
US Concrete Inc*		1,585		64,224
US Ecology Inc		2,200		133,254
Vicor Corp*		1,588		48,418
Watts Water Technologies Inc		2,594		237,688
Total Industrial				11,884,742
Technology (9.32%)
3D Systems Corp*		11,420		79,940
Agilysys Inc*		1,424		38,804
Axcelis Technologies Inc*		3,225	$	49,375
Bottomline Technologies DE Inc*		3,707		152,877
Brooks Automation Inc		6,759		225,277
Cabot Microelectronics Corp		2,723		339,422
CEVA Inc*		2,229		70,013
Cohu Inc		4,066		48,467
Computer Programs & Systems Inc		1,062		22,461
Cray Inc*		4,078		142,445
CSG Systems International Inc		3,263		175,810
CTS Corp		3,313		94,520
Cubic Corp		2,685		185,990
Diebold Nixdorf Inc*		7,353		82,427
Diodes Inc*		3,881		141,851
Donnelley Financial Solutions Inc*		3,281		34,877
DSP Group Inc*		2,148		29,728
Ebix Inc		2,210		78,278
ExlService Holdings Inc*		3,217		217,791
FormFactor Inc*		7,104		121,407
Insight Enterprises Inc*		3,525		169,412
Kopin Corp*		6,036		5,597
Kulicke & Soffa Industries Inc		6,092		126,896
LivePerson Inc*		5,605		222,743
ManTech International Corp		2,644		185,820
MaxLinear Inc*		6,001		118,940
Mercury Systems Inc*		4,835		414,021
MicroStrategy Inc*		821		117,641
Monotype Imaging Holdings Inc		4,231		83,562
MTS Systems Corp		1,789		101,740
Nanometrics Inc*		2,280		62,221
NextGen Healthcare Inc*		4,741		67,370
Omnicell Inc*		3,862		277,292
OneSpan Inc*		2,814		37,989
PDF Solutions Inc*		2,557		29,942
Photronics Inc*		7,012		75,730
Pitney Bowes Inc		9,991		35,568
Power Integrations Inc		2,742		244,093
Progress Software Corp		4,169		157,505
Qualys Inc*		3,155		251,201
Rambus Inc*		11,045		138,504
Rudolph Technologies Inc*		3,191		70,170
SPS Commerce Inc*		3,412		172,442
Sykes Enterprises Inc*		3,994		115,826
Tabula Rasa HealthCare Inc*		1,693		96,162
TiVo Corp		12,338		92,905
TTEC Holdings Inc		1,380		64,736
Ultra Clean Holdings Inc*		3,885		46,387
Unisys Corp*		5,140		33,616
Veeco Instruments Inc*		4,630		42,874
Virtusa Corp*		2,769		100,072
Xperi Corp		4,873		89,273
Total Technology				6,180,010
Utilities (2.25%)
American States Water Co		3,447		318,951
Avista Corp(b)		6,160		288,904
California Water Service Group		4,510		254,544
El Paso Electric Co		3,805		253,794
Northwest Natural Holding Co		2,888		206,088
South Jersey Industries Inc		5,108		165,193
Total Utilities				1,487,474
Total Common Stock (Cost $55,357,711)				66,015,588

See accompanying notes to financial statements.

25

S&P SmallCap Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
United States Treasury Bills (0.15%)
1.966%, 10/31/2019 (Cost $99,659)		$100,000	$	99,687
Total Investments (Cost $55,457,370)(c) (99.70%)			$	66,115,275
Other Net Assets (0.30%)				204,624
Net Assets (100.00%)			$	66,319,899

* Non-income producing security.

(a) This security has been fair valued at August 31, 2019. The fair value was $2,518, or 0.00% of net assets.

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

(c) Aggregate cost for federal income tax purpose is $55,492,189.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:
Unrealized appreciation	$	20,683,566
Unrealized depreciation		(10,060,480	)
Net unrealized appreciation	$	10,623,086

(d) Futures contracts at August 31, 2019:

Contracts - $100 times premium / delivery month / commitment / exchange

Russell 2000 MINI	Notional Amount		Value		Unrealized Depreciation
4 / Sep 2019 / Long / CME	$	299,560	$	298,840	$	(720	)

Shelton Core Value Fund Portfolio of Investments 8/31/19

Security Description	Shares		Value (Note 1)
Common Stock (96.05%)
Basic Materials (3.43%)
Linde PLC(a)		15,167	$	2,865,198
PPG Industries Inc(a)		16,000		1,772,640
Sensient Technologies Corp		8,500		555,220
Total Basic Materials				5,193,058
Communications (9.27%)
Alphabet Inc - Class A*,(a)		1,600		1,904,848
Alphabet Inc - Class C*,(a)		1,600		1,900,960
Amazon.com Inc*		2,000		3,552,580
AT&T Inc(a)		57,669		2,033,409
Cisco Systems Inc(a)		52,500		2,457,525
Verizon Communications Inc(a)		37,842		2,200,891
Total Communications				14,050,213
Consumer, Cyclical (7.27%)
Ford Motor Co(a)		290,000		2,659,300
DR Horton Inc(a)		55,200		2,730,744
Lennar Corp		58,000		2,958,000
Marriott International Inc(a)		13,000		1,638,780
Target Corp(a)		9,639		1,031,759
Total Consumer, Cyclical				11,018,583
Consumer, Non-Cyclical (19.27%)
Celgene Corp*		7,500		726,000
Gilead Sciences Inc		31,200		1,982,448
Colgate-Palmolive Co(a)		20,400		1,512,660
The Procter & Gamble Co(a)		26,600		3,198,118
Conagra Brands Inc(a)		42,450		1,203,882
General Mills Inc(a)		37,900		2,039,020
Sprouts Farmers Market Inc*,(a)		230,000		4,128,500
Tyson Foods Inc(a)		20,000		1,860,800
Abbott Laboratories(a)		41,110		3,507,505
Centene Corp*,(a)		27,800		1,296,036
AbbVie Inc		33,610		2,209,521
AmerisourceBergen Corp(a)		22,912		1,884,970
Merck & Co Inc(a)		35,200		3,043,744
Takeda Pharmaceutical Co Ltd(a)		35,665		601,312
Total Consumer, Non-Cyclical				29,194,516
Energy (9.57%)
BP PLC(a)		81,437	$	3,009,097
Chevron Corp		29,324		3,452,021
ConocoPhillips(a)		19,648		1,025,233
Devon Energy Corp(a)		7,352		161,670
Exxon Mobil Corp		43,236		2,960,801
Royal Dutch Shell PLC		36,500		2,029,400
Baker Hughes a GE Co(a)		27,455		595,499
Schlumberger Ltd		39,100		1,268,013
Total Energy				14,501,734
Financial (26.20%)
Banks (16.83%)
Bank of America Corp		140,000		3,851,400
The Bank of New York Mellon Corp(a)		5,000		210,300
Citigroup Inc(a)		21,300		1,370,655
The Goldman Sachs Group Inc(a)		15,850		3,231,974
JPMorgan Chase & Co		71,020		7,802,257
Morgan Stanley(a)		47,050		1,952,105
State Street Corp(a)		3,200		164,192
US Bancorp(a)		60,600		3,193,014
Wells Fargo & Co(a)		80,000		3,725,600
				25,501,497
Diversified Financial Service (3.60%)
BlackRock Inc		5,900		2,493,104
Visa Inc(a)		16,400		2,965,448
				5,458,552
Insurance (2.42%)
Arthur J Gallagher & Co(a)		32,400		2,939,004
Principal Financial Group Inc(a)		13,650		726,453
				3,665,457
Real Estate (3.35%)
Digital Realty Trust Inc(a)		16,500		2,039,895
Public Storage(a)		11,500		3,044,510
				5,084,405
Total Financial				39,709,911
Industrial (6.51%)
The Boeing Co		2,900	$	1,055,861
Northrop Grumman Corp		2,600		956,462
United Technologies Corp		10,625		1,383,800
Masco Corp		90,000		3,665,700
Caterpillar Inc		21,442		2,551,598
Seaspan Corp		25,000		259,500
Total Industrial				9,872,921
Technology (10.49%)
Apple Inc(a)		20,000		4,174,800
DXC Technology Co(a)		4,294		142,647
Hewlett Packard Enterprise Co(a)		50,000		691,000
Seagate Technology PLC		38,000		1,907,980
Applied Materials Inc(a)		66,000		3,169,320
Intel Corp		61,000		2,892,010
Taiwan Semiconductor Manufacturing Co Ltd(a)		11,000		468,930
Microsoft Corp(a)		5,633		776,565
Oracle Corp		5,930		308,716
Paychex Inc(a)		17,000		1,388,900
Total Technology				15,920,868
Utilities (4.04%)
American Electric Power Co Inc(a)		11,200		1,020,880
Consolidated Edison Inc(a)		45,000		4,000,500
FirstEnergy Corp(a)		23,574		1,084,404
NextEra Energy Inc(a)		100		21,908
Total Utilities				6,127,692
Total Common Stock (Cost $109,950,884)				145,589,496
Preferred Stock (0.45%)
Amerityre Corp*,** (Cost $2,000,000; acquired 12/13/13)		2,000,000		700,000

See accompanying notes to financial statements.

26

Shelton Core Value Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
United States Treasury Bills (3.35%)
1.966%, 10/31/2019 (Cost $5,082,835)	$	5,100,000	$	5,084,058
Total Investments (Cost $117,033,719)(b) (99.85%)			$	151,373,554
Other Net Assets (0.15%)				225,355
Net Assets (100.00%)			$	151,598,909

* Non-income producing security.

** Restricted security - this security has been fair valued and deemed to be illiquid by the Advisor. At August 31, 2019, the fair value was $700,000, or 0.46% of net assets.

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

(b) Aggregate cost for federal income tax purpose is $117,392,204.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:
Unrealized appreciation	$	39,498,007
Unrealized depreciation		(5,516,657	)
Net unrealized appreciation	$	33,981,350

Written Call Options	Expiration Date		Contracts		Exercise Amount (Shares)		Strike Price		Notional Amount		Value
Abbott Laboratories		11/18/2019		411		41,100	$	85.00	$	3,493,500	$	(147,960	)
AbbVie Inc		10/21/2019		112		11,200		70.00		784,000		(6,720	)
Alphabet Inc - Class A		09/23/2019		6		600		1,170.00		702,000		(21,510	)
Alphabet Inc - Class C		09/23/2019		6		600		1,170.00		702,000		(20,736	)
Amazon.com Inc		10/21/2019		6		600		1,880.00		1,128,000		(13,698	)
American Electric Power Co Inc		09/23/2019		34		3,400		90.00		306,000		(7,480	)
AmerisourceBergen Corp		09/23/2019		75		7,500		90.00		675,000		(1,275	)
Apple Inc		09/23/2019		100		10,000		210.00		2,100,000		(49,000	)
Applied Materials Inc		09/23/2019		300		30,000		48.00		1,440,000		(45,000	)
Arthur J Gallagher & Co		10/21/2019		220		22,000		90.00		1,980,000		(60,500	)
AT&T Inc		09/23/2019		290		29,000		33.00		957,000		(69,600	)
Baker Hughes a GE Co		10/21/2019		100		10,000		27.00		270,000		(500	)
Bank of America Corp		10/21/2019		450		45,000		29.00		1,305,000		(18,000	)
BlackRock Inc		10/21/2019		20		2,000		440.00		880,000		(15,180	)
BP PLC		10/21/2019		300		30,000		41.00		1,230,000		(1,800	)
Caterpillar Inc		10/21/2019		72		7,200		125.00		900,000		(15,480	)
Centene Corp		09/23/2019		100		10,000		57.50		575,000		(800	)
Chevron Corp		10/21/2019		100		10,000		120.00		1,200,000		(24,000	)
Cisco Systems Inc		10/21/2019		262		26,200		57.50		1,506,500		(1,048	)
Citigroup Inc		09/23/2019		100		10,000		72.50		725,000		(200	)
Colgate-Palmolive Co		09/23/2019		102		10,200		72.50		739,500		(25,041	)
Conagra Brands Inc		09/23/2019		424		42,400		31.00		1,314,400		(3,816	)
ConocoPhillips		09/23/2019		75		7,500		65.00		487,500		(113	)
Consolidated Edison Inc		11/18/2019		220		22,000		87.50		1,925,000		(83,600	)
Devon Energy Corp		09/23/2019		73		7,300		29.00		211,700		(146	)
Digital Realty Trust Inc		09/23/2019		80		8,000		125.00		1,000,000		(10,000	)
DR Horton Inc		09/23/2019		300		30,000		47.00		1,410,000		(84,750	)
DXC Technology Co		09/23/2019		42		4,200		60.00		252,000		(105	)
Exxon Mobil Corp		10/21/2019		150		15,000		72.50		1,087,500		(7,350	)
FirstEnergy Corp		10/21/2019		235		23,500		44.00		1,034,000		(61,570	)
Ford Motor Co		09/23/2019		500		50,000		11.00		550,000		(500	)
General Mills Inc		10/21/2019		379		37,900		55.00		2,084,500		(49,270	)
Gilead Sciences Inc		10/21/2019		104		10,400		65.00		676,000		(13,832	)
Hewlett Packard Enterprise Co		09/23/2019		160		16,000		16.00		256,000		(240	)
Intel Corp		10/21/2019		200		20,000		50.00		1,000,000		(15,600	)
JPMorgan Chase & Co		10/21/2019		200		20,000		115.00		2,300,000		(24,600	)
Lennar Corp		10/21/2019		580		58,000		52.50		3,045,000		(98,600	)
Linde PLC		10/21/2019		151		15,100		200.00		3,020,000		(27,935	)
Marriott International Inc		10/21/2019		130		13,000		140.00		1,820,000		(5,850	)
Masco Corp		10/21/2019		300		30,000		42.00		1,260,000		(34,200	)
Merck & Co Inc		09/23/2019		175		17,500		82.50		1,443,750		(76,650	)
Microsoft Corp		09/23/2019		56		5,600		145.00		812,000		(2,184	)
Morgan Stanley		09/23/2019		160		16,000		47.00		752,000		(320	)
NextEra Energy Inc		09/23/2019		1		100		210.00		21,000		(1,076	)
Northrop Grumman Corp		10/21/2019		26		2,600		380.00		988,000		(18,980	)
Oracle Corp		10/21/2019		59		5,900		55.00		324,500		(4,779	)
Paychex Inc		09/23/2019		170		17,000		82.50		1,402,500		(18,700	)
PPG Industries Inc		09/23/2019		60		6,000		125.00		750,000		(150	)

See accompanying notes to financial statements.

27

Shelton Core Value Fund Portfolio of Investments (Continued) 8/31/19

Written Call Options	Expiration Date		Contracts		Exercise Amount (Shares)		Strike Price		Notional Amount		Value
Principal Financial Group Inc		10/21/2019		136		13,600	$	60.00	$	816,000	$	(2,040	)
Public Storage		09/23/2019		115		11,500		240.00		2,760,000		(289,800	)
Royal Dutch Shell PLC		10/21/2019		120		12,000		57.50		690,000		(7,200	)
Schlumberger Ltd		10/21/2019		130		13,000		35.00		455,000		(7,670	)
Seagate Technology PLC		10/21/2019		130		13,000		52.50		682,500		(14,950	)
Sprouts Farmers Market Inc		09/23/2019		500		50,000		20.00		1,000,000		(2,500	)
State Street Corp		09/23/2019		32		3,200		62.50		200,000		(112	)
Taiwan Semiconductor Manufacturing Co Ltd		09/23/2019		40		4,000		46.00		184,000		(400	)
Takeda Pharmaceutical Co Ltd		09/23/2019		120		12,000		17.50		210,000		(1,500	)
Target Corp		09/23/2019		96		9,600		87.50		840,000		(194,688	)
The Bank of New York Mellon Corp		09/23/2019		50		5,000		45.00		225,000		(450	)
The Boeing Co		10/21/2019		9		900		380.00		342,000		(7,236	)
The Goldman Sachs Group Inc		09/23/2019		75		7,500		220.00		1,650,000		(1,800	)
The Procter & Gamble Co		10/21/2019		100		10,000		115.00		1,150,000		(70,900	)
Tyson Foods Inc		10/21/2019		200		20,000		80.00		1,600,000		(275,400	)
United Technologies Corp		10/21/2019		40		4,000		135.00		540,000		(9,400	)
US Bancorp		09/23/2019		350		35,000		55.00		1,925,000		(7,000	)
Verizon Communications Inc		10/21/2019		100		10,000		60.00		600,000		(5,900	)
Visa Inc		10/21/2019		82		8,200		185.00		1,517,000		(28,700	)
Wells Fargo & Co		09/23/2019		275		27,500		50.00		1,375,000		(2,475	)
Total Written Call Options										73,587,350		(2,120,565	)
Premiums Received $2,076,679

Nasdaq-100 Index Fund Portfolio of Investments 8/31/19

Security Description	Shares		Value (Note 1)
Common Stock (99.97%)
Communications (35.76%)
Internet (28.11%)
Alphabet Inc - Class A*		21,302	$	25,360,670
Alphabet Inc - Class C*		24,297		28,867,266
Amazon.com Inc*,(a)		34,040		60,464,912
Baidu Inc*		21,444		2,240,255
Booking Holdings Inc*		3,378		6,642,533
Ctrip.com International Ltd*		40,186		1,301,223
eBay Inc		66,931		2,696,650
Expedia Group Inc		10,488		1,364,489
Facebook Inc*,(a)		167,626		31,123,119
JD.com Inc*		78,248		2,386,564
MercadoLibre Inc*		3,829		2,276,723
Netflix Inc*		33,660		9,887,625
Symantec Corp		52,618		1,223,369
VeriSign Inc*		9,247		1,885,001
				177,720,399
Media (4.41%)
Charter Communications Inc*		17,214		7,050,682
Comcast Corp		347,425		15,377,031
Fox Corp - Class A		29,817		989,030
Fox Corp - Class B		17,443		572,130
Liberty Global PLC - Class A*		17,321		462,817
Liberty Global PLC - Class C*		47,412		1,238,401
Sirius XM Holdings Inc		353,750		2,182,638
				27,872,729
Telecommunicatoins (3.24%)
Cisco Systems Inc		328,355		15,370,298
T-Mobile US Inc*		65,624		5,121,953
				20,492,251
Total Communications				226,085,379
Consumer, Cyclical (7.48%)
American Airlines Group Inc		41,028	$	1,079,447
Costco Wholesale Corp		33,801		9,963,183
Dollar Tree Inc*		20,122		2,042,987
Fastenal Co		50,020		1,531,612
Hasbro Inc		10,768		1,189,541
Lululemon Athletica Inc*		9,497		1,753,811
Marriott International Inc		25,658		3,234,447
O’Reilly Automotive Inc*		6,055		2,323,667
PACCAR Inc		26,605		1,744,224
Ross Stores Inc		28,284		2,998,387
Starbucks Corp		92,905		8,970,907
Tesla Inc*		13,665		3,082,961
Ulta Beauty Inc*		4,503		1,070,498
United Airlines Holdings Inc*		20,297		1,711,240
Walgreens Boots Alliance Inc		70,242		3,595,688
Wynn Resorts Ltd		8,957		986,614
Total Consumer, Cyclical				47,279,214
Consumer, Non-Cyclical (14.71%)
Alexion Pharmaceuticals Inc*		18,960		1,910,410
Align Technology Inc*		6,948		1,272,248
Amgen Inc		46,869		9,777,811
Automatic Data Processing Inc		33,501		5,689,810
Biogen Inc*		14,872		3,268,122
BioMarin Pharmaceutical Inc*		15,309		1,149,094
Celgene Corp*		54,171		5,243,753
Cintas Corp		8,059		2,125,964
Gilead Sciences Inc		97,675		6,206,270
Henry Schein Inc*		13,327		821,210
IDEXX Laboratories Inc*		6,675		1,934,015
Illumina Inc*		11,362		3,196,585
Incyte Corp*		18,354		1,501,724
Intuitive Surgical Inc*		8,902	$	4,551,949
Mondelez International Inc		110,595		6,107,056
Monster Beverage Corp*		41,763		2,450,235
Mylan NV*		45,153		879,129
PayPal Holdings Inc*		90,267		9,843,616
PepsiCo Inc		107,527		14,702,167
Regeneron Pharmaceuticals Inc*		8,275		2,400,164
The Kraft Heinz Co		93,702		2,391,275
Verisk Analytics Inc		12,648		2,043,158
Vertex Pharmaceuticals Inc*		19,673		3,541,533
Total Consumer, Non-Cyclical				93,007,298
Financial (0.31%)
Willis Towers Watson PLC		9,944		1,968,614
Industrial (0.82%)
CSX Corp		62,183		4,167,505
JB Hunt Transport Services Inc		9,517		1,028,217
Total Industrial				5,195,722
Technology (40.49%)
Computers (11.53%)
Apple Inc(a)		318,298		66,441,525
Check Point Software Technologies Ltd*		11,781		1,268,814
Cognizant Technology Solutions Corp		43,743		2,685,383
NetApp Inc		22,185		1,066,211
Western Digital Corp		25,103		1,437,649
				72,899,582
Semiconductors (12.17%)
Advanced Micro Devices Inc*		88,023		2,768,323
Analog Devices Inc		28,486		3,128,617
Applied Materials Inc		71,804		3,448,028
ASML Holding NV		5,976		1,330,317

See accompanying notes to financial statements.

28

Nasdaq-100 Index Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Broadcom Inc		30,363	$	8,581,798
Intel Corp		343,410		16,281,068
KLA Corp		13,618		2,014,102
Lam Research Corp		11,567		2,434,969
Maxim Integrated Products Inc		24,385		1,329,958
Microchip Technology Inc		20,376		1,759,060
Micron Technology Inc*		84,888		3,842,880
NVIDIA Corp		46,797		7,838,965
NXP Semiconductors NV		25,250		2,579,035
QUALCOMM Inc		93,334		7,258,585
Skyworks Solutions Inc		15,824		1,191,072
Texas Instruments Inc		71,965		8,905,669
Xilinx Inc		21,298		2,216,270
				76,908,716
Software (16.79%)
Activision Blizzard Inc		58,902		2,980,441
Adobe Inc*		37,514		10,673,108
Autodesk Inc*		16,903		2,414,086
Cadence Design Systems Inc*		21,629		1,481,154
Cerner Corp		25,019		1,724,059
Citrix Systems Inc		1,906		177,220
Electronic Arts Inc*		22,833		2,138,995
Fiserv Inc*		30,102		3,219,108
Intuit Inc		19,994		5,765,470
Microsoft Corp		482,805		66,559,494
NetEase Inc		5,612		1,431,060
Paychex Inc		27,631		2,257,453
Synopsys Inc*		12,896		1,828,782
Take-Two Interactive Software Inc*		9,920	$	1,309,142
Workday Inc*		12,508		2,217,418
				106,176,990
Total Technology				255,985,288
Utilities (0.40%)
Xcel Energy Inc		39,586		2,542,213
Total Common Stock (Cost $367,531,127)				632,063,728
United States Treasury Bills (0.03%)
1.966%, 10/31/2019 (Cost $199,375)	$	200,000		199,375
Total Investments (Cost $367,730,502)(b) (100.0%)			$	632,263,103
Other Net Assets (0.00%)				12,819
Net Assets (100.00%)			$	632,275,922

* Non-income producing security.

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

(b) Aggregate cost for federal income tax purpose is $368,028,003.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:
Unrealized appreciation	$	277,502,806
Unrealized depreciation		(13,267,694	)
Net unrealized appreciation	$	264,235,112

(c) Futures contracts at August 31, 2019:

Contracts - $20 times premium / delivery month / commitment / exchange

Nasdaq 100 E-MINI	Notional Amount		Value		Unrealized Depreciation
3 / Sep 2019 / Long / CME	$	464,119	$	461,445	$	(2,674	)

Shelton Green Alpha Fund Portfolio of Investments 8/31/19

Security Description	Shares		Value (Note 1)
Common Stock (97.26%)
Basic Materials (2.50%)
Daqo New Energy Corp*		18,000	$	928,800
Schnitzer Steel Industries Inc		22,000		487,080
Total Basic Materials				1,415,880
Communications (7.26%)
Alphabet Inc*		1,400		1,663,340
Arista Networks Inc*		2,000		453,240
Palo Alto Networks Inc*		2,000		407,240
Sierra Wireless Inc*		73,000		788,400
SoftBank Group Corp		35,200		797,280
Total Communications				4,109,500
Consumer, Cyclical (5.77%)
Herman Miller Inc		23,200		980,896
Interface Inc		40,000		442,000
Kandi Technologies Group Inc*		117,500		600,425
NIO Inc*		110,000		314,600
Tesla Inc*		4,100		925,001
Total Consumer, Cyclical				3,262,922
Consumer, Non-Cyclical (11.43%)
Bluebird Bio Inc*		2,900	$	299,599
CRISPR Therapeutics AG*		22,000		1,016,620
Danone SA		40,000		714,800
Editas Medicine Inc*		25,500		633,165
Exact Sciences Corp*		5,100		608,022
Gilead Sciences Inc		7,500		476,550
Illumina Inc*		1,800		506,412
Intellia Therapeutics Inc*		39,700		563,343
Invitae Corp*		46,000		1,115,960
The Hain Celestial Group Inc*		28,000		533,400
Total Consumer, Non-Cyclical				6,467,871
Energy (35.21%)
Canadian Solar Inc*		55,000		1,286,450
First Solar Inc*		44,600		2,768,322
JinkoSolar Holding Co Ltd*		83,000		1,815,210
Pattern Energy Group Inc		135,000		3,665,250
SolarEdge Technologies Inc*		5,200		425,984
SunPower Corp*		138,000		1,727,760
Sunrun Inc*		140,000		2,146,200
TerraForm Power Inc		110,000		1,865,600
TPI Composites Inc*		69,000		1,217,160
Vestas Wind Systems A/S		122,500		3,001,250
Total Energy				19,919,186
Financial (6.82%)
Alexandria Real Estate Equities Inc		4,900	$	734,216
Hannon Armstrong Sustainable Infrastructure Capital Inc		64,000		1,768,320
Horizon Technology Finance Corp		48,800		575,840
Liberty Property Trust		15,000		781,800
Total Financial				3,860,176
Industrial (9.19%)
ABB Ltd		41,600		791,232
Advanced Energy Industries Inc*		8,600		444,104
Garmin Ltd		8,000		652,560
Ichor Holdings Ltd*		30,000		637,800
Itron Inc*		6,200		430,590
Trex Co Inc*		7,000		598,710
Universal Display Corp		8,000		1,643,760
Total Industrial				5,198,756
Technology (16.80%)
Analog Devices Inc		7,700		845,691
Applied Materials Inc		48,500		2,328,970
Fortinet Inc*		6,500		514,670
International Business Machines Corp		13,000		1,761,890

See accompanying notes to financial statements.

29

Shelton Green Alpha Fund Portfolio of Investments (Continued) 8/31/19

Security Description	Shares		Value (Note 1)
Microchip Technology Inc		3,000	$	258,990
NVIDIA Corp		3,100		519,281
Omnicell Inc*		3,100		222,580
QUALCOMM Inc		6,800		528,836
Skyworks Solutions Inc		12,500		940,875
STMicroelectronics NV		46,500		823,050
Ultra Clean Holdings Inc*		32,500		388,050
Veeco Instruments Inc*		40,600		375,956
Total Technology				9,508,839
Utilities (2.28%)
Consolidated Water Co Ltd		88,000		1,290,080
Total Common Stock (Cost $44,973,351)				55,033,210
Total Investments (Cost $44,973,351)(a) (97.26%)			$	55,033,210
Other Net Assets (2.74%)				1,534,092
Net Assets (100.00%)			$	56,567,302

* Non-income producing security.

(a) Aggregate cost for federal income tax purpose is $45,002,348.

At August 31, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:
Unrealized appreciation	$	13,199,082
Unrealized depreciation		(3,168,220	)
Net unrealized appreciation	$	10,030,862

See accompanying notes to financial statements.

30

Statements of Assets & Liabilities

August 31, 2019

	Green California Tax-Free Income Fund		U.S. Government Securities Fund		Short-Term U.S. Government Bond Fund		The United States Treasury Trust
Assets
Investments in securities
Cost of investments	$	61,099,884	$	18,623,049	$	5,964,859	$	39,094,862
Market value of investments (Note 1)		65,522,289		19,313,646		6,009,806		39,094,862
Cash		117,792		152,798		36,657		25,164
Cash held at broker		—		—		—		—
Interest receivable		609,086		65,521		10,024		—
Dividend receivable		—		—		—		—
Variation margin receivable		—		—		—		—
Receivable from investment advisor		—		—		3,241		—
Receivable for fund shares sold		993		3,359		2,785		19,723
Receivable for investment securities sold		—		—		—		—
Prepaid expenses		—		—		—		—
Total assets	$	66,250,160	$	19,535,324	$	6,062,513	$	39,139,749
Liabilities
Written options, at value		—		—		—		—
Variation margin payable		—		—		—		—
Payable to investment advisor		28,102		4,410		—		8,319
Payable for investment securities purchased		—		—		—		—
Payable for fund shares redeemed		24,391		156		733		21,953
Distributions payable		25,963		578		113		—
Accrued 12b-1 fees		—		758		208		363
Accrued shareholder service fees		—		795		178		362
Accrued administration fees		4,913		1,434		440		2,918
Accrued CCO fees		1,661		339		97		534
Accrued custody fees		1,181		356		91		707
Accrued fund accounting fees		4,109		2,227		1,772		3,063
Accrued printing fees		1,600		1,535		1,132		988
Accrued registration fees		141		88		39		39
Accrued state registration fees		138		405		121		364
Accrued transfer agent fees		2,807		1,388		434		1,696
Accrued trustee fees		625		634		560		562
Accrued expenses		10,182		6,721		5,713		8,956
Total liabilities		105,813		21,824		11,631		50,824
Net assets	$	66,144,347	$	19,513,500	$	6,050,882	$	39,088,925
Net assets at August 31, 2019 consist of
Paid-in capital	$	61,656,113	$	18,869,584	$	6,008,984	$	39,091,172
Distributable earnings/(loss)		4,488,234		643,916		41,898		(2,247	)
Total net assets	$	66,144,347	$	19,513,500	$	6,050,882	$	39,088,925
Net assets
Direct Shares	$	66,144,347	$	17,263,109	$	5,562,611	$	37,478,562
K Shares			$	2,250,391	$	488,271	$	1,610,363
Shares outstanding
Direct Shares (no par value, unlimited shares authorized)		5,643,054		1,633,865		545,674		37,487,563
K Shares (no par value, unlimited shares authorized)				212,468		48,703		1,608,813
Net asset value per share
Direct Shares	$	11.72	$	10.57	$	10.19	$	1.00
K Shares			$	10.59	$	10.03	$	1.00

31

See accompanying notes to financial statements.

Statements of Assets & Liabilities
August 31, 2019 (Continued)

	S&P 500 Index Fund		S&P MidCap Index Fund		S&P SmallCap Index Fund		Shelton Core Value Fund
Assets
Investments in securities
Cost of investments	$	71,249,209	$	81,513,851	$	55,457,370	$	117,033,719
Market value of investments (Note 1)		191,084,735		110,037,178		66,115,275		151,373,554
Cash		9,199		79,943		241,239		70,221
Cash held at broker		—		—		—		1,660,658
Interest receivable		—		—		—		—
Dividend receivable		371,773		114,596		51,253		419,043
Variation margin receivable		—		1,170		—		—
Receivable from investment advisor		—		—		—		—
Receivable for fund shares sold		13,630		8,984		7,629		2,622
Receivable for investment securities sold		—		—		—		355,449
Prepaid expenses		—		—		—		—
Total assets	$	191,479,337	$	110,241,871	$	66,415,396	$	153,881,547
Liabilities
Written options, at value (proceeds $—, $—, $—, $2,076,679 respectively)		—		—		—		2,120,565
Variation margin payable		285		—		131		—
Payable to investment advisor		40,295		37,572		28,471		64,085
Payable for investment securities purchased		—		—		—		—
Payable for fund shares redeemed		40,020		29,842		27,761		32,380
Distributions payable		28		—		—		—
Accrued 12b-1 fees		1,622		870		1,495		806
Accrued shareholder service fees		2,525		838		1,649		1,024
Accrued administration fees		14,091		8,212		4,977		11,207
Accrued CCO fees		3,690		1,920		1,013		2,494
Accrued custody fees		2,096		1,720		1,959		2,227
Accrued fund accounting fees		6,810		5,054		4,158		5,828
Accrued printing fees		3,925		3,570		3,058		6,768
Accrued registration fees		174		287		282		205
Accrued state registration fees		125		994		1,057		643
Accrued transfer agent fees		4,534		3,839		2,963		14,734
Accrued trustee fees		554		629		556		579
Accrued expenses		24,148		15,750		15,967		19,093
Total liabilities		144,922		111,097		95,497		2,282,638
Net assets	$	191,334,415	$	110,130,774	$	66,319,899	$	151,598,909
Net assets at August 31, 2019 consist of
Paid-in capital	$	65,898,699	$	74,720,853	$	51,773,075	$	107,612,388
Distributable earnings/(loss)		125,435,716		35,409,921		14,546,824		43,986,521
Total net assets	$	191,334,415	$	110,130,774	$	66,319,899	$	151,598,909
Net assets
Direct Shares	$	185,169,741	$	107,053,821	$	61,412,248	$	148,997,467
K Shares	$	6,164,674	$	3,076,953	$	4,907,651	$	2,601,442
Shares outstanding
Direct Shares (no par value, unlimited shares authorized)		3,306,708		4,488,140		2,992,227		7,430,427
K Shares (no par value, unlimited shares authorized)		110,239		131,117		245,839		131,775
Net asset value per share
Direct Shares	$	56.00	$	23.85	$	20.52	$	20.05
K Shares	$	55.92	$	23.47	$	19.96	$	19.74

See accompanying notes to financial statements.

32

Statements of Assets & Liabilities
August 31, 2019 (Continued)

	Nasdaq-100 Index Fund		Shelton Green Alpha Fund
Assets
Investments in securities
Cost of investments	$	367,730,502	$	44,973,351
Market value of investments (Note 1)		632,263,103		55,033,210
Cash		17,555		1,714,979
Cash held at broker		—		—
Interest receivable		—		—
Dividend receivable		596,669		91,603
Variation margin receivable		—		—
Receivable from investment advisor		—		—
Receivable for fund shares sold		224,061		45,559
Receivable for investment securities sold		1,514,115		—
Prepaid expenses		—		—
Total assets	$	634,615,503	$	56,885,351
Liabilities
Written options, at value		—		—
Variation margin payable		1,001		—
Payable to investment advisor		105,474		47,560
Payable for investment securities purchased		1,519,375		215,222
Payable for fund shares redeemed		492,501		21,954
Distributions payable		677		—
Accrued 12b-1 fees		5,543		—
Accrued shareholder service fees		6,183		—
Accrued administration fees		46,761		4,160
Accrued CCO fees		8,403		946
Accrued custody fees		4,684		660
Accrued fund accounting fees		16,505		3,163
Accrued printing fees		28,695		5,454
Accrued registration fees		194		3,280
Accrued state registration fees		1,871		1,641
Accrued transfer agent fees		19,044		2,012
Accrued trustee fees		805		801
Accrued expenses		81,865		11,196
Total liabilities		2,339,581		318,049
Net assets	$	632,275,922	$	56,567,302
Net assets at August 31, 2019 consist of
Paid-in capital	$	359,269,001	$	46,708,590
Distributable earnings/(loss)		273,006,921		9,858,712
Total net assets	$	632,275,922	$	56,567,302
Net assets
Direct Shares	$	607,521,330	$	56,567,302
K Shares	$	24,754,592
Shares outstanding
Direct Shares (no par value, unlimited shares authorized)		32,344,916		3,067,609
K Shares (no par value, unlimited shares authorized)		1,357,984
Net asset value per share
Direct Shares	$	18.78	$	18.44
K Shares	$	18.23

33

See accompanying notes to financial statements.

Statements of Operations

August 31, 2019

	Green California Tax-Free Income Fund		U.S. Government Securities Fund			Short-Term U.S. Government Bond Fund			The United States Treasury Trust
Investment income
Interest income	$	1,827,441	$	421,254		$	124,381		$	1,118,575
Dividend income		—		—			—			—
Total		1,827,441		421,254			124,381			1,118,575
Expenses
Management fees (Note 2)		328,183		94,498			31,545			245,569
Administration fees (Note 2)		57,732		16,527			5,502			43,096
Transfer agent fees		16,729		10,491			2,992			9,801
Accounting services		38,177		22,493			18,156			28,077
Custodian fees		5,280		2,163			799			4,931
Broker Fees		—		—			—			—
Legal and audit fees		23,355		13,358			10,224			18,068
CCO fees (Note 2)		15,668		3,937			1,333			9,211
Trustees fees		6,027		6,035			5,961			5,963
Insurance		4,869		1,581			456			3,876
Printing		9,147		8,669			7,088			5,808
Registration and dues		2,949		7,954			2,556			3,681
12b-1 fees Class K (Note 2)		—		8,034			2,692			4,746
Shareholder service fees Class K (Note 2)		—		8,034			2,675			4,746
Licensing fee		—		—			—			—
Total expenses		508,116		203,774			91,979			387,573
Less class specific expenses waived		—		—			—			—
Less reimbursement from manager (Note 2)		—		(43,929	)		(48,141	)		(108,593	)
Net expenses		508,116		159,845			43,838			278,980
Net investment income		1,319,325		261,409			80,543			839,595
Realized and unrealized gain/(loss) on investments
Net realized gain/(loss) from security transactions and foreign currency		86,434		(46,105	)		(996	)		50
Net realized gain/(loss) from futures contracts		—		—			—			—
Net realized gain/(loss) from written options contracts		—		—			—			—
Change in unrealized appreciation/(depreciation) of investments		2,469,368		1,131,813			92,380			—
Change in unrealized appreciation/(depreciation) of futures		—		—			—			—
Change in unrealized appreciation/(depreciation) of written options contracts		—		—			—			—
Net realized and unrealized gain/(loss) on investments		2,555,802		1,085,708			91,384			50
Net increase/(decrease) in net assets resulting from operations	$	3,875,127	$	1,347,117		$	171,927		$	839,645

See accompanying notes to financial statements.

34

Statements of Operations
August 31, 2019 (Continued)

	S&P 500 Index Fund			S&P MidCap Index Fund			S&P SmallCap Index Fund			Shelton Core Value Fund
Investment income
Interest income	$	6,905		$	7,087		$	9,061		$	135,813
Dividend income (net of foreign tax withheld: $7,598, $608, $374 and $30,731 respectively)		3,726,736			1,849,235			1,103,004			3,951,425
Total		3,733,641			1,856,322			1,112,065			4,087,238
Expenses
Management fees (Note 2)		463,120			458,149			366,836			788,495
Administration fees (Note 2)		162,333			100,135			64,104			137,846
Transfer agent fees		26,724			19,510			18,306			136,075
Accounting services		69,690			51,371			48,248			54,974
Custodian fees		16,568			12,483			8,342			14,086
Broker Fees		—			—			—			120
Legal and audit fees		48,122			32,879			24,196			41,334
CCO fees (Note 2)		40,406			23,230			15,440			30,940
Trustees fees		5,955			6,031			5,958			5,981
Insurance		13,679			9,307			6,553			13,113
Printing		19,103			16,409			13,369			37,711
Registration and dues		14,810			11,893			7,373			37,419
12b-1 fees Class K (Note 2)		20,326			11,717			18,542			11,039
Shareholder service fees Class K (Note 2)		20,258			11,717			18,542			11,039
Licensing fee		42,203			26,252			15,866			—
Total expenses		963,297			791,083			631,675			1,320,172
Less class specific expenses waived		—			—			—			—
Less reimbursement from manager (Note 2)		—			—			—			—
Net expenses		963,297			791,083			631,675			1,320,172
Net investment income		2,770,344			1,065,239			480,390			2,767,066
Realized and unrealized gain/(loss) on investments
Net realized gain/(loss) from security transactions and foreign currency		5,390,498			8,714,563			4,497,013			12,516,989
Net realized gain/(loss) from futures contracts		73,975			(27,539	)		(226,099	)		—
Net realized gain/(loss) from written options contracts		—			—			—			2,544,749
Change in unrealized appreciation/(depreciation) of investments		(3,830,884	)		(19,229,730	)		(18,908,932	)		(18,519,706	)
Change in unrealized appreciation/(depreciation) of futures		(9,272	)		(16,069	)		(42,815	)		—
Change in unrealized appreciation/(depreciation) of written options contracts		—			—			—			(37,166	)
Net realized and unrealized gain/(loss) on investments		1,624,317			(10,558,775	)		(14,680,833	)		(3,495,134	)
Net increase/(decrease) in net assets resulting from operations	$	4,394,661		$	(9,493,536	)	$	(14,200,443	)	$	(728,068	)

35

See accompanying notes to financial statements.

Statements of Operations
August 31, 2019 (Continued)

	Nasdaq-100 Index Fund			Shelton Green Alpha Fund
Investment income
Interest income	$	104,178		$	—
Dividend income (net of foreign tax withheld: $5,757 and $34,373 respectively)		6,956,247			726,087
Total		7,060,425			726,087
Expenses
Management fees (Note 2)		3,070,634			485,219
Administration fees (Note 2)		538,283			42,413
Transfer agent fees		153,237			12,218
Accounting services		155,136			28,836
Custodian fees		47,466			4,587
Broker Fees		—			—
Legal and audit fees		155,253			19,923
CCO fees (Note 2)		117,102			9,263
Trustees fees		6,207			6,203
Insurance		46,734			4,192
Printing		108,286			17,709
Registration and dues		43,375			21,479
12b-1 fees Class K (Note 2)		64,223			—
Shareholder service fees Class K (Note 2)		64,384			—
Licensing fee		132,584			—
Total expenses		4,702,904			652,042
Less class specific expenses waived		—			—
Less reimbursement from manager (Note 2)		(1,448,548	)		—
Net expenses		3,254,356			652,042
Net investment income		3,806,069			74,045
Realized and unrealized gain/(loss) on investments
Net realized gain/(loss) from security transactions and foreign currency		18,230,973			229,266
Net realized gain/(loss) from futures contracts		(1,336,043	)		—
Net realized gain/(loss) from written options contracts		—			—
Change in unrealized appreciation/(depreciation) of investments		(14,036,710	)		3,860,410
Change in unrealized appreciation/(depreciation) of futures		(502,329	)		—
Change in unrealized appreciation/(depreciation) of written options contracts		—			—
Net realized and unrealized gain/(loss) on investments		2,355,891			4,089,676
Net increase/(decrease) in net assets resulting from operations	$	6,161,960		$	4,163,721

See accompanying notes to financial statements.

36

Statements of Changes in Net Assets

	Green California Tax-Free Income Fund
	Year Ended August 31, 2019			Year Ended August 31, 2018
Operations
Net investment income/(loss)	$	1,319,325		$	1,440,673
Net realized gain/(loss) on investments and foreign currency		86,434			98,984
Net realized gain/(loss) on futures contracts		—			—
Net realized gain/(loss) on written option contracts		—			—
Change in unrealized appreciation/(depreciation) of investments		2,469,368			(2,120,294	)
Change in unrealized appreciation/(depreciation) of written options contracts		—			—
Change in unrealized appreciation/(depreciation) of futures contracts		—			—
Net increase/(decrease) in net assets resulting from operations		3,875,127			(580,637	)
Distributions to shareholders
Distributions(a)
Direct shares		(1,432,047	)		—
K shares		—			—
Distributions from net investment income
Direct shares		—			(1,471,475	)
K shares		—			—
Distributions from realized capital gains on investments
Direct shares		—			(234,947	)
K shares		—			—
Capital share transactions
Increase/(decrease) in net assets resulting from capital share transactions		(4,551,692	)		(4,769,961	)
Total increase/(decrease)		(2,108,612	)		(7,057,020	)
Net assets
Beginning of year	$	68,252,959		$	75,309,979
End of year	$	66,144,347		$	68,252,959

(a) The SEC eliminated the requirement to disclose components of distributions paid to shareholders in September 2018.

37

See accompanying notes to financial statements.

Statements of Changes in Net Assets
(Continued)

	U.S. Government Securities Fund						Short-Term U.S. Government Bond Fund						The United States Treasury Trust
	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2019			Year Ended August 31, 2018
Operations
Net investment income/(loss)	$	261,409		$	275,977		$	80,543		$	38,967		$	839,595		$	525,502
Net realized gain/(loss) on investments and foreign currency		(46,105	)		50,784			(996	)		(1,308	)		50			(1	)
Net realized gain/(loss) on futures contracts		—			—			—			—			—			—
Net realized gain/(loss) on written option contracts		—			—			—			—			—			—
Change in unrealized appreciation/(depreciation) of investments		1,131,813			(763,008	)		92,380			(47,606	)		—			—
Change in unrealized appreciation/(depreciation) of written options contracts		—			—			—			—			—			—
Change in unrealized appreciation/(depreciation) of futures contracts		—			—			—			—			—			—
Net increase/(decrease) in net assets resulting from operations		1,347,117			(436,247	)		171,927			(9,947	)		839,645			525,501
Distributions to shareholders
Distributions(a)
Direct shares		(232,769	)		—			(71,224	)		—			(821,966	)		—
K shares		(31,691	)		—			(9,206	)		—			(23,550	)		—
Distributions from net investment income
Direct shares		—			(247,995	)		—			(35,380	)		—			(511,891	)
K shares		—			(34,940	)		—			(3,512	)		—			(12,864	)
Distributions from realized capital gains on investments
Direct shares		—			—			—			—			—			—
K shares		—			—			—			—			—			—
Capital share transactions
Increase/(decrease) in net assets resulting from capital share transactions		(928,466	)		(1,936,468	)		(443,046	)		1,127,333			(15,841,034	)		(4,336,408	)
Total increase/(decrease)		154,191			(2,655,650	)		(351,549	)		1,078,494			(15,846,905	)		(4,335,662	)
Net assets
Beginning of year	$	19,359,309		$	22,014,959		$	6,402,431		$	5,323,937		$	54,935,830		$	59,271,492
End of year	$	19,513,500		$	19,359,309		$	6,050,882		$	6,402,431		$	39,088,925		$	54,935,830

(a) The SEC eliminated the requirement to disclose components of distributions paid to shareholders in September 2018.

See accompanying notes to financial statements.

38

Statements of Changes in Net Assets
(Continued)

	S&P 500 Index Fund						S&P MidCap Index Fund						S&P SmallCap Index Fund
	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2019			Year Ended August 31, 2018
Operations
Net investment income/(loss)	$	2,770,344		$	2,775,317		$	1,065,239		$	1,136,376		$	480,390		$	372,943
Net realized gain/(loss) on investments and foreign currency		5,390,498			1,080,430			8,714,563			10,569,898			4,497,013			4,990,033
Net realized gain/(loss) on futures contracts		73,975			15,399			(27,539	)		78,996			(226,099	)		125,810
Net realized gain/(loss) on written option contracts		—			—			—			—			—			—
Change in unrealized appreciation/(depreciation) of investments		(3,830,884	)		27,825,235			(19,229,730	)		10,333,330			(18,908,932	)		14,383,763
Change in unrealized appreciation/(depreciation) of written options contracts		—			—			—			—			—			—
Change in unrealized appreciation/(depreciation) of futures contracts		(9,272	)		11,995			(16,069	)		18,540			(42,815	)		36,710
Net increase/(decrease) in net assets resulting from operations		4,394,661			31,708,376			(9,493,536	)		22,137,140			(14,200,443	)		19,909,259
Distributions to shareholders
Distributions(a)
Direct shares		(4,238,275	)		—			(12,498,880	)		—			(5,333,531	)		—
K shares		(170,153	)		—			(602,076	)		—			(650,066	)		—
Distributions from net investment income
Direct shares		—			(2,509,509	)		—			(964,222	)		—			(329,299	)
K shares		—			(100,982	)		—			(24,370	)		—			(10,369	)
Distributions from realized capital gains on investments
Direct shares		—			(2,439,715	)		—			(7,026,422	)		—			(5,770,141	)
K shares		—			(131,049	)		—			(362,108	)		—			(847,867	)
Capital share transactions
Increase/(decrease) in net assets resulting from capital share transactions		(932,499	)		2,225,805			1,818,458			(1,444,057	)		(2,248,373	)		11,559,832
Total increase/(decrease)		(946,266	)		28,752,926			(20,776,034	)		12,315,961			(22,432,413	)		24,511,415
Net assets
Beginning of year	$	192,280,681		$	163,527,755		$	130,906,808		$	118,590,847		$	88,752,312		$	64,240,897
End of year	$	191,334,415		$	192,280,681		$	110,130,774		$	130,906,808		$	66,319,899		$	88,752,312

(a) The SEC eliminated the requirement to disclose components of distributions paid to shareholders in September 2018.

39

See accompanying notes to financial statements.

Statements of Changes in Net Assets
(Continued)

	Shelton Core Value Fund						Nasdaq-100 Index Fund						Shelton Green Alpha Fund
	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2019			Year Ended August 31, 2018
Operations
Net investment income/(loss)	$	2,767,066		$	2,806,914		$	3,806,069			3,132,933		$	74,045		$	138,285
Net realized gain/(loss) on investments and foreign currency		12,516,989			20,547,811			18,230,973			(1,391,150	)		229,266			225,352
Net realized gain/(loss) on futures contracts		—			—			(1,336,043	)		2,333,214			—			—
Net realized gain/(loss) on written option contracts		2,544,749			1,568,983			—			—			—			—
Change in unrealized appreciation/(depreciation) of investments		(18,519,706	)		(5,065,257	)		(14,036,710	)		122,342,691			3,860,410			375,773
Change in unrealized appreciation/(depreciation) of written options contracts		(37,166	)		36,246			—			—			—			—
Change in unrealized appreciation/(depreciation) of futures contracts		—			—			(502,329	)		226,915			—			—
Net increase/(decrease) in net assets resulting from operations		(728,068	)		19,894,697			6,161,960			126,644,603			4,163,721			739,410
Distributions to shareholders
Distributions(a)
Direct shares		(28,993,868	)		—			(11,771,774	)		—			(701,393	)		—
K shares		(943,290	)		—			(431,446	)		—			—			—
Distributions from net investment income
Direct shares		—			(2,706,462	)		—			(2,998,938	)		—			(123,102	)
K shares		—			(63,142	)		—			(43,752	)		—			—
Distributions from realized capital gains on investments
Direct shares		—			(19,604,495	)		—			(4,963,602	)		—			(1,115,328	)
K shares		—			(607,991	)		—			(257,353	)		—			—
Capital share transactions
Increase/(decrease) in net assets resulting from capital share transactions		874,834			2,178,723			(21,100,264	)		58,588,483			3,739,230			9,608,699
Total increase/(decrease)		(29,790,392	)		(908,670	)		(27,141,524	)		176,969,441			7,201,558			9,109,679
Net assets
Beginning of year	$	181,389,301		$	182,297,971		$	659,417,446		$	482,448,005		$	49,365,744		$	40,256,065
End of year	$	151,598,909		$	181,389,301		$	632,275,922		$	659,417,446		$	56,567,302		$	49,365,744

(a) The SEC eliminated the requirement to disclose components of distributions paid to shareholders in September 2018.

See accompanying notes to financial statements.

40

Statements of Changes in Net Assets
(Continued)

Green California Tax-Free Income Fund	Direct Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value
Shares sold		237,620		$	2,723,601			192,489		$	2,198,940
Shares issued in reinvestment of distributions		93,572			1,065,456			114,416			1,299,956
Shares repurchased		(735,462	)		(8,340,749	)		(725,578	)		(8,268,857	)
Net increase/(decrease)		(404,270	)	$	(4,551,692	)		(418,673	)	$	(4,769,961	)

U.S. Government Securities Fund	Direct Shares												K Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018						Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value			Shares			Value			Shares			Value
Shares sold		601,122		$	6,107,337			410,925		$	4,134,669			64,599		$	656,760			64,564		$	649,806
Shares issued in reinvestment of distributions		22,226			225,880			23,995			241,135			3,120			31,691			3,468			34,940
Shares repurchased		(559,497	)		(5,656,952	)		(639,618	)		(6,428,304	)		(224,029	)		(2,293,182	)		(56,637	)		(568,714	)
Net increase/(decrease)		63,851		$	676,265			(204,698	)	$	(2,052,500	)		(156,310	)	$	(1,604,731	)		11,395		$	116,032

Short-Term U.S. Government Bond Fund	Direct Shares												K Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018						Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value			Shares			Value			Shares			Value
Shares sold		122,280		$	1,238,655			168,773		$	1,694,764			39,631		$	393,377			37,617		$	372,176
Shares issued in reinvestment of distributions		6,921			69,971			3,453			34,707			927			9,206			355			3,512
Shares repurchased		(94,369	)		(954,017	)		(71,877	)		(722,778	)		(120,461	)		(1,200,238	)		(25,768	)		(255,048	)
Net increase/(decrease)		34,832		$	354,609			100,349		$	1,006,693			(79,903	)	$	(797,655	)		12,204		$	120,640

The United States Treasury Trust	Direct Shares						K Shares
	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2019			Year Ended August 31, 2018
	Shares/ Value			Shares/ Value			Shares/ Value			Shares/ Value
Shares sold	$	25,745,448		$	29,856,493		$	982,597		$	1,133,945
Shares issued in reinvestment of distributions		801,707			519,278			23,254			13,556
Shares repurchased		(42,134,404	)		(34,454,055	)		(1,259,636	)		(1,405,625	)
Net increase/(decrease)	$	(15,587,249	)	$	(4,078,284	)	$	(253,785	)	$	(258,124	)

S&P 500 Index Fund	Direct Shares												K Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018						Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value			Shares			Value			Shares			Value
Shares sold		356,454		$	19,167,111			316,665		$	16,512,221			23,091		$	1,257,421			34,811		$	1,828,998
Shares issued in reinvestment of distributions		67,613			3,599,149			85,490			4,352,782			3,197			169,649			4,554			231,422
Shares repurchased		(372,022	)		(20,091,314	)		(359,933	)		(18,693,030	)		(93,296	)		(5,034,515	)		(38,443	)		(2,006,588	)
Net increase/(decrease)		52,045		$	2,674,946			42,222		$	2,171,973			(67,008	)	$	(3,607,445	)		922		$	53,832

41

See accompanying notes to financial statements.

Statements of Changes in Net Assets
(Continued)

S&P MidCap Index Fund	Direct Shares												K Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018						Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value			Shares			Value			Shares				Value
Shares sold		409,193		$	9,953,415			381,155		$	10,344,473			21,817		$	525,113			36,800		$	976,786
Shares issued in reinvestment of distributions		493,942			11,747,146			280,625			7,493,527			25,701			601,722			14,653			385,802
Shares repurchased		(750,908	)		(17,836,215	)		(720,298	)		(19,367,998	)		(134,174	)		(3,172,723	)		(47,611	)		(1,276,647	)
Net increase/(decrease)		152,227		$	3,864,346			(58,518	)	$	(1,529,998	)		(86,656	)	$	(2,045,888	)		3,842		$	85,941

S&P SmallCap Index Fund	Direct Shares												K Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018						Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value			Shares			Value			Shares			Value
Shares sold		654,930		$	13,948,340			742,607		$	17,856,841			36,453		$	769,788			45,402		$	1,051,669
Shares issued in reinvestment of distributions		235,831			5,059,555			259,328			5,899,905			31,086			650,066			38,713			858,236
Shares repurchased		(884,193	)		(18,493,861	)		(527,057	)		(12,344,987	)		(203,938	)		(4,182,261	)		(75,529	)		(1,761,832	)
Net increase/(decrease)		6,568		$	514,034			474,878		$	11,411,759			(136,399	)	$	(2,762,407	)		8,586		$	148,073

Shelton Core Value Fund	Direct Shares												K Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018						Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value			Shares			Value			Shares			Value
Shares sold		357,396		$	7,195,445			215,616		$	5,281,601			31,189		$	620,455			23,399		$	562,845
Shares issued in reinvestment of distributions		1,450,637			28,384,919			913,658			21,786,702			48,954			943,290			28,485			671,133
Shares repurchased		(1,552,776	)		(32,919,389	)		(1,030,515	)		(24,996,066	)		(170,089	)		(3,349,886	)		(47,086	)		(1,127,492	)
Net increase/(decrease)		255,257		$	2,660,975			98,759		$	2,072,237			(89,946	)	$	(1,786,141	)		4,798		$	106,486

Nasdaq-100 Index Fund	Direct Shares												K Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018						Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value			Shares			Value			Shares			Value
Shares sold		8,949,721		$	158,244,982			11,879,873		$	200,200,836			287,727		$	4,983,122			508,751		$	8,345,968
Shares issued in reinvestment of distributions		667,343			11,299,360			472,251			7,596,615			26,073			431,440			19,452			301,104
Shares repurchased		(10,743,437	)		(187,194,833	)		(9,057,208	)		(149,920,159	)		(516,329	)		(8,864,336	)		(480,106	)		(7,935,881	)
Net increase/(decrease)		(1,126,373	)	$	(17,650,491	)		3,294,916		$	57,877,292			(202,529	)	$	(3,449,774	)		48,097		$	711,191

Shelton Green Alpha Fund	Direct Shares
	Year Ended August 31, 2019						Year Ended August 31, 2018
	Shares			Value			Shares			Value
Shares sold		853,374		$	14,711,335			983,082		$	17,109,553
Shares issued in reinvestment of distributions		43,026			683,796			68,362			1,209,178
Shares repurchased		(698,967	)		(11,655,901	)		(504,940	)		(8,710,032	)
Net increase/(decrease)		197,433		$	3,739,230			546,504		$	9,608,699

See accompanying notes to financial statements.

42

Financial Highlights

(For a Share Outstanding Throughout Each Year)

Green California Tax-Free Income Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	11.29		$	11.65		$	11.93		$	11.69		$	11.81
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.23			0.23			0.25			0.29			0.28
Net gain/(loss) on securities (both realized and unrealized)		0.45			(0.31	)		(0.20	)		0.24			(0.07	)
Total from investment operations		0.68			(0.08	)		0.05			0.53			0.21
LESS DISTRIBUTIONS
Dividends from net investment income		(0.23	)		(0.24	)		(0.27	)		(0.29	)		(0.28	)
Distributions from capital gains		(0.02	)		(0.04	)		(0.06	)		—			(0.05	)
Total distributions		(0.25	)		(0.28	)		(0.33	)		(0.29	)		(0.33	)
Net asset value, end of year or period	$	11.72		$	11.29		$	11.65		$	11.93		$	11.69
Total return		6.10	%		(0.74	)%		0.43	%		4.60	%		1.78	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	66,144		$	68,253		$	75,310		$	84,422		$	89,213
Ratio of expenses to average net assets		0.77	%		0.76	%		0.69	%		0.69	%		0.71	%
Ratio of net investment income/(loss) to average net assets		2.01	%		2.02	%		2.20	%		2.47	%		2.41	%
Portfolio turnover		4	%		12	%		7	%		19	%		12	%

(a) Calculated based upon average shares outstanding.

43

See accompanying notes to financial statements.

Financial Highlights

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

U.S. Government Securities Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	9.98		$	10.32		$	10.61		$	10.42		$	10.40
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.15			0.14			0.14			0.14			0.14
Net gain/(loss) on securities (both realized and unrealized)		0.59			(0.33	)		(0.26	)		0.20			0.02
Total from investment operations		0.74			(0.19	)		(0.12	)		0.34			0.16
LESS DISTRIBUTIONS
Dividends from net investment income		(0.15	)		(0.15	)		(0.17	)		(0.15	)		(0.14	)
Total distributions		(0.15	)		(0.15	)		(0.17	)		(0.15	)		(0.14	)
Net asset value, end of year or period	$	10.57		$	9.98		$	10.32		$	10.61		$	10.42
Total return		7.48	%		(1.88	)%		(1.14	)%		3.25	%		1.58	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	17,263		$	15,668		$	18,316		$	19,754		$	19,855
Ratio of expenses to average net assets:
Before expense reimbursements		0.99	%		0.89	%		0.81	%		0.82	%		0.83	%
After expense reimbursements		0.76	%(b)		0.75	%(b)		0.74	%		0.74	%		0.74	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		1.24	%		1.29	%		1.27	%		1.25	%		1.29	%
After expense reimbursements		1.47	%		1.42	%		1.34	%		1.33	%		1.38	%
Portfolio turnover		8	%		13	%		10	%		18	%		18	%

K Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	10.01		$	10.35		$	10.64		$	10.43		$	10.41
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.10			0.09			0.09			0.09			0.09
Net gain/(loss) on securities (both realized and unrealized)		0.58			(0.33	)		(0.27	)		0.20			0.03
Total from investment operations		0.68			(0.24	)		(0.18	)		0.29			0.12
LESS DISTRIBUTIONS
Dividends from net investment income		(0.10	)		(0.10	)		(0.11	)		(0.08	)		(0.10	)
Total distributions		(0.10	)		(0.10	)		(0.11	)		(0.08	)		(0.10	)
Net asset value, end of year or period	$	10.59		$	10.01		$	10.35		$	10.64		$	10.43
Total return		6.87	%		(2.37	)%		(1.67	)%		2.77	%		1.13	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	2,250		$	3,691		$	3,699		$	4,712		$	5,349
Ratio of expenses to average net assets:
Before expense reimbursements		1.49	%		1.39	%		1.31	%		1.32	%		1.33	%
After expense reimbursements		1.26	%(b)		1.25	%(b)		1.24	%		1.24	%		1.24	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.73	%		0.78	%		0.77	%		0.75	%		0.77	%
After expense reimbursements		0.97	%		0.92	%		0.84	%		0.84	%		0.88	%
Portfolio turnover		8	%		13	%		10	%		18	%		18	%

(a) Calculated based upon average shares outstanding.

(b) CCO Fees are not included in the expense limitation.

See accompanying notes to financial statements.

44

Financial Highlights

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

Short-Term U.S. Government Bond Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	10.04		$	10.14		$	10.18		$	10.16		$	10.17
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.14			0.08			0.05			0.02			—
Net gain/(loss) on securities (both realized and unrealized)		0.15			(0.10	)		(0.05	)		0.02			(0.01	)
Total from investment operations		0.29			(0.02	)		—			0.04			(0.01	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.14	)		(0.08	)		(0.04	)		(0.02	)		—
Distributions from capital gains		—			—			—			—			—	(b)
Total distributions		(0.14	)		(0.08	)		(0.04	)		(0.02	)		—
Net asset value, end of year or period	$	10.19		$	10.04		$	10.14		$	10.18		$	10.16
Total return		2.88	%		(0.21	)%		0.09	%		0.38	%		(0.07	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	5,563		$	5,131		$	4,162		$	4,148		$	5,223
Ratio of expenses to average net assets:
Before expense reimbursements		1.38	%		1.10	%		0.97	%		0.95	%		0.97	%
After expense reimbursements		0.61	%(c)		0.60	%(c)		0.59	%		0.59	%		0.59	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.60	%		0.15	%		0.08	%		(0.12	)%		(0.36	)%
After expense reimbursements		1.37	%		0.81	%		0.46	%		0.24	%		0.02	%
Portfolio turnover		30	%		28	%		27	%		47	%		33	%

K Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	9.88		$	9.98		$	10.02		$	10.03		$	10.10
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.08			0.03			(0.01	)		(0.03	)		(0.05	)
Net gain/(loss) on securities (both realized and unrealized)		0.16			(0.10	)		(0.03	)		0.02			(0.02	)
Total from investment operations		0.24			(0.07	)		(0.04	)		(0.01	)		(0.07	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.09	)		(0.03	)		—			—			—
Distributions from capital gains		—			—			—	(b)		—			—	(b)
Total distributions		(0.09	)		(0.03	)		—			—			—
Net asset value, end of year or period	$	10.03		$	9.88		$	9.98		$	10.02		$	10.03
Total return		2.45	%		(0.72	)%		(0.35	)%		(0.10	)%		(0.66	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	488		$	1,271		$	1,162		$	1,330		$	1,503
Ratio of expenses to average net assets:
Before expense reimbursements		1.85	%		1.76	%		1.47	%		1.45	%		1.47	%
After expense reimbursements		1.11	%(c)		1.10	%(c)		1.09	%		1.09	%		1.09	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.11	%		(0.36	)%		(0.44	)%		(0.61	)%		(0.86	)%
After expense reimbursements		0.85	%		0.29	%		(0.06	)%		(0.26	)%		(0.48	)%
Portfolio turnover		30	%		28	%		27	%		47	%		33	%

(a) Calculated based upon average shares outstanding.

(b) Less than $0.01 per share.

(c) CCO Fees are not included in the expense limitation.

45

See accompanying notes to financial statements.

Financial Highlights

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

The United States Treasury Trust Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.02			0.01			—			—			—
Net gain/(loss) on securities (both realized and unrealized)		—			—	(b)		—			—			—
Total from investment operations		0.02			0.01			—			—			—
LESS DISTRIBUTIONS
Dividends from net investment income		(0.02	)		(0.01	)		—	(b)		—			—
Distributions from capital gains		—			—			—			—			—
Total distributions		(0.02	)		(0.01	)		—			—			—
Net asset value, end of year or period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total return		1.75	%		0.98	%		0.03	%		0.00	%		0.00	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	37,479		$	53,079		$	57,149		$	72,482		$	86,224
Ratio of expenses to average net assets:
Before expense reimbursements		0.77	%		0.77	%		0.71	%		0.71	%		0.70	%
After expense reimbursements		0.55	%(c)		0.46	%(d)		0.52	%(d)		0.22	%		0.03	%(d)
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		1.51	%		0.65	%		(0.16	)%		(0.49	)%		(0.67	)%
After expense reimbursements		1.73	%		0.96	%(d)		0.03	%(d)		0.00	%		0.00	%(d)

K Shares(e)	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.01			0.01			—			—			—
Net gain/(loss) on securities (both realized and unrealized)		—			—	(b)		—			—			—
Total from investment operations		0.01			0.01			—			—			—
LESS DISTRIBUTIONS
Dividends from net investment income		(0.01	)		(0.01	)		—	(b)		—			—
Distributions from capital gains		—			—			—			—			—
Total distributions		(0.01	)		(0.01	)		—			—			—
Net asset value, end of year or period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total return		1.25	%		0.65	%		0.03	%		0.00	%		0.00	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	1,610		$	1,864		$	2,122		$	2,470		$	2,651
Ratio of expenses to average net assets:
Before expense reimbursements		1.27	%		1.27	%		1.21	%		0.71	%		0.70	%
After expense reimbursements		1.05	%(c)		0.78	%(d)		0.52	%(d)		0.22	%		0.03	%(d)
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		1.01	%		0.16	%		(0.13	)%		(0.49	)%		(0.67	)%
After expense reimbursements		1.23	%		0.65	%(d)		0.03	%(d)		0.00	%		0.00	%(d)

(a) Calculated based upon average shares outstanding.

(b) Less than $0.01 per share.

(c) CCO Fees are not included in the expense limitation.

(d) Includes negative yield waiver adjustment.

(e) K Shares are not accruing 12B-1 or shareholder servicing fees

See accompanying notes to financial statements.

46

Financial Highlights

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

S&P 500 Index Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	56.03		$	48.26		$	42.86		$	39.88		$	40.61
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.82			0.82			0.78			0.76			0.72
Net gain/(loss) on securities (both realized and unrealized)		0.44			8.48			5.89			3.99			(0.58	)
Total from investment operations		1.26			9.30			6.67			4.75			0.14
LESS DISTRIBUTIONS
Dividends from net investment income		(0.88	)		(0.77	)		(0.83	)		(0.78	)		(0.70	)
Distributions from capital gains		(0.41	)		(0.76	)		(0.44	)		(0.99	)		(0.17	)
Total distributions		(1.29	)		(1.53	)		(1.27	)		(1.77	)		(0.87	)
Net asset value, end of year or period	$	56.00		$	56.03		$	48.26		$	42.86		$	39.88
Total return		2.40	%		19.64	%		15.89	%		12.21	%		0.29	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	185,170		$	182,362		$	155,022		$	135,346		$	123,138
Ratio of expenses to average net assets:
Before expense reimbursements		0.50	%		0.50	%		0.46	%		0.47	%		0.47	%
After expense reimbursements		0.50	%		0.45	%		0.36	%		0.36	%		0.36	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		1.52	%		1.53	%		1.63	%		1.77	%		1.63	%
After expense reimbursements		1.52	%		1.58	%		1.73	%		1.88	%		1.74	%
Portfolio turnover		3	%		3	%		5	%		1	%		3	%

K Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	55.96		$	48.24		$	42.88		$	39.87		$	40.50
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.54			0.56			0.55			0.56			0.51
Net gain/(loss) on securities (both realized and unrealized)		0.45			8.48			5.89			3.99			(0.57	)
Total from investment operations		0.99			9.04			6.44			4.55			(0.06	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.62	)		(0.56	)		(0.64	)		(0.55	)		(0.40	)
Distributions from capital gains		(0.41	)		(0.76	)		(0.44	)		(0.99	)		(0.17	)
Total distributions		(1.03	)		(1.32	)		(1.08	)		(1.54	)		(0.57	)
Net asset value, end of year or period	$	55.92		$	55.96		$	48.24		$	42.88		$	39.87
Total return		1.88	%		19.05	%		15.31	%		11.65	%		(0.19	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	6,165		$	9,919		$	8,506		$	7,981		$	8,063
Ratio of expenses to average net assets:
Before expense reimbursements		0.99	%		1.00	%		0.96	%		0.97	%		0.97	%
After expense reimbursements		0.99	%		0.95	%		0.86	%		0.86	%		0.86	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		1.02	%		1.03	%		1.13	%		1.26	%		1.13	%
After expense reimbursements		1.02	%		1.08	%		1.23	%		1.37	%		1.24	%
Portfolio turnover		3	%		3	%		5	%		1	%		3	%

(a) Calculated based upon average shares outstanding.

47

See accompanying notes to financial statements.

Financial Highlights

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

S&P Midcap Index Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	28.77		$	25.75		$	26.69		$	28.41		$	30.95
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.23			0.25			0.23			0.26			0.25
Net gain/(loss) on securities (both realized and unrealized)		(2.23	)		4.61			2.95			2.73			(0.36	)
Total from investment operations		(2.00	)		4.86			3.18			2.99			(0.11	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.24	)		(0.22	)		(0.21	)		(0.24	)		(0.28	)
Distributions from capital gains		(2.68	)		(1.62	)		(3.91	)		(4.47	)		(2.15	)
Total distributions		(2.92	)		(1.84	)		(4.12	)		(4.71	)		(2.43	)
Net asset value, end of year or period	$	23.85		$	28.77		$	25.75		$	26.69		$	28.41
Total return		(6.85	)%		19.48	%		13.01	%		11.86	%		(0.45	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	107,054		$	124,728		$	113,149		$	136,371		$	140,361
Ratio of expenses to average net assets:
Before expense reimbursements		0.67	%		0.66	%		0.62	%		0.62	%		0.62	%
After expense reimbursements		0.67	%		0.63	%		0.58	%		0.58	%		0.58	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.95	%		0.89	%		0.85	%		0.98	%		0.81	%
After expense reimbursements		0.95	%		0.92	%		0.89	%		1.02	%		0.85	%
Portfolio turnover		13	%		12	%		34	%		11	%		15	%

K Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	28.37		$	25.44		$	26.43		$	28.18		$	30.69
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.11			0.11			0.10			0.13			0.10
Net gain/(loss) on securities (both realized and unrealized)		(2.19	)		4.55			2.92			2.71			(0.35	)
Total from investment operations		(2.08	)		4.66			3.02			2.84			(0.25	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.14	)		(0.11	)		(0.10	)		(0.12	)		(0.11	)
Distributions from capital gains		(2.68	)		(1.62	)		(3.91	)		(4.47	)		(2.15	)
Total distributions		(2.82	)		(1.73	)		(4.01	)		(4.59	)		(2.26	)
Net asset value, end of year or period	$	23.47		$	28.37		$	25.44		$	26.43		$	28.18
Total return		(7.27	)%		18.86	%		12.45	%		11.31	%		(0.93	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	3,077		$	6,179		$	5,442		$	5,086		$	5,244
Ratio of expenses to average net assets:
Before expense reimbursements		1.17	%		1.16	%		1.12	%		1.12	%		1.12	%
After expense reimbursements		1.17	%		1.13	%		1.08	%		1.08	%		1.08	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.45	%		0.39	%		0.35	%		0.48	%		0.31	%
After expense reimbursements		0.45	%		0.42	%		0.39	%		0.51	%		0.35	%
Portfolio turnover		13	%		12	%		34	%		11	%		15	%

(a) Calculated based upon average shares outstanding.

See accompanying notes to financial statements.

48

Financial Highlights

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

S&P Smallcap Index Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	26.43		$	22.33		$	20.87		$	20.60		$	21.55
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.15			0.13			0.13			0.12			0.14
Net gain/(loss) on securities (both realized and unrealized)		(4.27	)		6.38			2.36			2.29			0.58
Total from investment operations		(4.12	)		6.51			2.49			2.41			0.72
LESS DISTRIBUTIONS
Dividends from net investment income		(0.15	)		(0.12	)		(0.12	)		(0.14	)		(0.13	)
Distributions from capital gains		(1.64	)		(2.29	)		(0.91	)		(2.00	)		(1.54	)
Total distributions		(1.79	)		(2.41	)		(1.03	)		(2.14	)		(1.67	)
Net asset value, end of year or period	$	20.52		$	26.43		$	22.33		$	20.87		$	20.60
Total return		(15.82	)%		30.95	%		12.12	%		12.48	%		3.50	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	61,412		$	78,902		$	56,076		$	47,351		$	40,823
Ratio of expenses to average net assets:
Before expense reimbursements		0.81	%		0.80	%		0.78	%		0.77	%		0.78	%
After expense reimbursements		0.81	%		0.77	%		0.74	%		0.74	%		0.74	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.70	%		0.53	%		0.56	%		0.56	%		0.62	%
After expense reimbursements		0.70	%		0.56	%		0.60	%		0.60	%		0.66	%
Portfolio turnover		14	%		18	%		31	%		12	%		12	%

K Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	25.77		$	21.85		$	20.47		$	20.24		$	21.18
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.05			0.01			0.02			0.02			0.03
Net gain/(loss) on securities (both realized and unrealized)		(4.16	)		6.23			2.31			2.25			0.59
Total from investment operations		(4.11	)		6.24			2.33			2.27			0.62
LESS DISTRIBUTIONS
Dividends from net investment income		(0.06	)		(0.03	)		(0.04	)		(0.04	)		(0.02	)
Distributions from capital gains		(1.64	)		(2.29	)		(0.91	)		(2.00	)		(1.54	)
Total distributions		(1.70	)		(2.32	)		(0.95	)		(2.04	)		(1.56	)
Net asset value, end of year or period	$	19.96		$	25.77		$	21.85		$	20.47		$	20.24
Total return		(16.22	)%		30.26	%		11.59	%		11.89	%		3.03	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	4,908		$	9,851		$	8,165		$	9,279		$	9,821
Ratio of expenses to average net assets:
Before expense reimbursements		1.31	%		1.31	%		1.28	%		1.28	%		1.28	%
After expense reimbursements		1.31	%		1.27	%		1.24	%		1.24	%		1.24	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.21	%		0.03	%		0.06	%		0.06	%		0.12	%
After expense reimbursements		0.21	%		0.06	%		0.10	%		0.10	%		0.16	%
Portfolio turnover		14	%		18	%		31	%		12	%		12	%

(a) Calculated based upon average shares outstanding.

49

See accompanying notes to financial statements.

Financial Highlights

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

Shelton Core Value Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	24.53		$	25.00		$	26.82		$	25.26		$	25.98
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.36			0.37			0.43			0.48			0.48
Net gain/(loss) on securities (both realized and unrealized)		(0.51	)		2.33			1.81			1.94			(0.74	)
Total from investment operations		(0.15	)		2.70			2.24			2.42			(0.26	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.68	)		(0.38	)		(0.59	)		(0.50	)		(0.46	)
Distributions from capital gains		(3.65	)		(2.79	)		(3.47	)		(0.36	)		—
Total distributions		(4.33	)		(3.17	)		(4.06	)		(0.86	)		(0.46	)
Net asset value, end of year or period	$	20.05		$	24.53		$	25.00		$	26.82		$	25.26
Total return		0.41	%		11.32	%		9.10	%		9.83	%		(1.07	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	148,997		$	176,019		$	176,929		$	175,317		$	180,408
Ratio of expenses to average net assets		0.82	%		0.78	%		0.75	%		0.78	%		0.76	%
Ratio of net investment income/(loss) to average net assets		1.77	%		1.52	%		1.71	%		1.90	%		1.80	%
Portfolio turnover		21	%		35	%		9	%		20	%		3	%

K Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	24.22		$	24.75		$	26.61		$	25.09		$	25.76
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.26			0.25			0.30			0.35			0.34
Net gain/(loss) on securities (both realized and unrealized)		(0.50	)		2.29			1.79			1.93			(0.73	)
Total from investment operations		(0.24	)		2.54			2.09			2.28			(0.39	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.59	)		(0.28	)		(0.48	)		(0.40	)		(0.28	)
Distributions from capital gains		(3.65	)		(2.79	)		(3.47	)		(0.36	)		—
Total distributions		(4.24	)		(3.07	)		(3.95	)		(0.76	)		(0.28	)
Net asset value, end of year or period	$	19.74		$	24.22		$	24.75		$	26.61		$	25.09
Total return		(0.08	)%		10.75	%		8.57	%		9.30	%		(1.56	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	2,601		$	5,370		$	5,369		$	5,897		$	5,789
Ratio of expenses to average net assets		1.32	%		1.28	%		1.25	%		1.28	%		1.26	%
Ratio of net investment income/(loss) to average net assets		1.27	%		1.02	%		1.22	%		1.40	%		1.30	%
Portfolio turnover		21	%		35	%		9	%		20	%		3	%

(a) Calculated based upon average shares outstanding.

See accompanying notes to financial statements.

50

Financial Highlights

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

Nasdaq-100 Index Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	18.85		$	15.24		$	12.25		$	11.00		$	10.47
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.11			0.10			0.10			0.09			0.11
Net gain/(loss) on securities (both realized and unrealized)		0.18			3.78			2.98			1.27			0.49
Total from investment operations		0.29			3.88			3.08			1.36			0.60
LESS DISTRIBUTIONS
Dividends from net investment income		(0.12	)		(0.10	)		(0.09	)		(0.11	)		(0.07	)
Distributions from capital gains		(0.24	)		(0.17	)		—			—			—
Total distributions		(0.36	)		(0.27	)		(0.09	)		(0.11	)		(0.07	)
Net asset value, end of year or period	$	18.78		$	18.85		$	15.24		$	12.25		$	11.00
Total return		1.72	%		25.73	%		25.29	%		12.46	%		5.78	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	607,521		$	630,845		$	460,021		$	298,123		$	231,322
Ratio of expenses to average net assets:
Before expense reimbursements		0.74	%		0.74	%		0.70	%		0.74	%		0.75	%
After expense reimbursements		0.50	%(b)		0.51	%(b)		0.49	%		0.49	%		0.49	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.40	%		0.36	%		0.53	%		0.57	%		0.72	%
After expense reimbursements		0.64	%		0.59	%		0.74	%		0.82	%		0.98	%
Portfolio turnover		18	%		2	%		4	%		7	%		9	%

K Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	18.31		$	14.83		$	11.93		$	10.69		$	10.18
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.02			0.01			0.03			0.03			0.05
Net gain/(loss) on securities (both realized and unrealized)		0.18			3.67			2.91			1.24			0.48
Total from investment operations		0.20			3.68			2.94			1.27			0.53
LESS DISTRIBUTIONS
Dividends from net investment income		(0.04	)		(0.03	)		(0.04	)		(0.03	)		(0.02	)
Distributions from capital gains		(0.24	)		(0.17	)		—			—			—
Total distributions		(0.28	)		(0.20	)		(0.04	)		(0.03	)		(0.02	)
Net asset value, end of year or period	$	18.23		$	18.31		$	14.83		$	11.93		$	10.69
Total return		1.24	%		25.03	%		24.70	%		11.96	%		5.25	%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	24,755		$	28,573		$	22,427		$	15,500		$	17,799
Ratio of expenses to average net assets:
Before expense reimbursements		1.24	%		1.24	%		1.20	%		1.24	%		1.24	%
After expense reimbursements		1.00	%(b)		1.01	%(b)		0.99	%		0.99	%		0.99	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		(0.10	)%		(0.15	)%		0.03	%		0.05	%		0.22	%
After expense reimbursements		0.14	%		0.08	%		0.24	%		0.30	%		0.48	%
Portfolio turnover		18	%		2	%		4	%		7	%		10	%

(a) Calculated based upon average shares outstanding.

(b) CCO Fees are not included in the expense limitation.

51

See accompanying notes to financial statements.

Financial Highlights

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

Shelton Green Alpha Fund Direct Shares	Year Ended August 31, 2019			Year Ended August 31, 2018			Year Ended August 31, 2017			Year Ended August 31, 2016			Year Ended August 31, 2015
Net asset value, beginning of year	$	17.20		$	17.32		$	14.53		$	13.67		$	15.90
INCOME FROM INVESTMENT OPERATIONS
Net investment income/(loss)(a)		0.03			0.05			0.02			(0.03	)		(0.08	)
Net gain/(loss) on securities (both realized and unrealized)		1.47			0.34			2.77			0.89			(2.15	)
Total from investment operations		1.50			0.39			2.79			0.86			(2.23	)
LESS DISTRIBUTIONS
Dividends from net investment income		(0.02	)		(0.05	)		—			—			—
Distributions from capital gains		(0.24	)		(0.46	)		—	(b)		—	(b)		—	(b)
Total distributions		(0.26	)		(0.51	)		—			—			—
Net asset value, end of year or period	$	18.44		$	17.20		$	17.32		$	14.53		$	13.67
Total return		8.91	%		2.19	%		19.20	%		6.29	%		(14.02	)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of year (000s)	$	56,567		$	49,366		$	40,256		$	36,880		$	29,596
Ratio of expenses to average net assets:
Before expense reimbursements		1.34	%		1.30	%		1.30	%		1.31	%		1.34	%
After expense reimbursements		1.34	%		1.30	%		1.30	%		1.31	%		1.34	%
Ratio of net investment income/(loss) to average net assets
Before expense reimbursements		0.15	%		0.30	%		0.13	%		(0.22	)%		(0.53	)%
After expense reimbursements		0.15	%		0.30	%		0.13	%		(0.22	)%		(0.53	)%
Portfolio turnover		12	%		13	%		24	%		13	%		22	%

(a) Calculated based upon average shares outstanding.

(b) Less than $0.01 per share.

See accompanying notes to financial statements.

52

Shelton Funds Notes to Financial Statements August 31, 2019

Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

The Shelton Funds began offering additional classes of shares, Class K, on October 16, 2003. Income, expenses (other than the expenses attributable to a specific class), realized and unrealized gains or losses on investments of the Funds are allocated proportionately to the two classes of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to K Shares. The following is a summary of significant accounting policies followed by the Funds.

(a) Security Valuation – Equity securities listed on a national exchange are valued at the last reported sales price. Futures contracts are valued at the settle price, depending on the exchange the contract trades on, typically as of 4:15 p.m., Eastern Time. Municipal securities are valued by an independent pricing service at a price determined by a matrix pricing method. This technique generally considers such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. U.S. government securities for which market quotations are readily available are valued at the mean between the closing bid and asked prices provided by an independent pricing service. U.S. agency securities consisting of mortgage pass-through certificates are valued using dealer quotations provided by an independent pricing service. U.S. Treasury Bills are valued at amortized cost which approximates market value. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. The United States Treasury Trust securities are valued at amortized cost, in accordance with procedures adopted by the Board of Trustees and which the Board of Trustees has determined in good faith reflects the market-based net asset value per share. The Fund receives options pricing data from the Trust’s third party pricing service who use the last traded price to quote options positions.

Securities for which market quotes are not readily available from the Trust’s third party pricing service are valued at fair value, determined in good faith and in accordance with procedures adopted by the Board of Trustees. The Board has delegated to its Pricing Committee the responsibility for determining the fair value, subject to the Board oversight and the review of the pricing decisions at its quarterly meetings.

(b) Futures Contracts – Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of cash, as collateral, for the account of the broker (a Fund’s agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, Shelton Green Alpha Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts.

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

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

(e) Security Transactions, Investment Income and Distributions to Shareholders – Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. Distributions to shareholders are recorded on the ex-dividend date for the Green California Tax-Free Income Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, Shelton Green Alpha Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for futures contracts, redemptions-in-kind and post-October capital losses. For The United States Treasury Trust, dividends from net investment income are declared daily and reinvested or paid in cash monthly. The U.S. Treasury Trust intends to maintain a continuous net asset value per share of $1.00. If net asset value per share using available market information deviates from $1.00 by $.005 or more, the Board of Trustees would consider what steps, if any, should be taken to restore net asset value per share to $1.00.

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

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

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

53

Shelton Funds Notes to Financial Statements (Continued) August 31, 2019

(i) Accounting for Uncertainty in Income Taxes – The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years (2016-2018), or expected to be taken in the Fund’s 2019 tax returns. Each Fund identifies its major tax jurisdictions as U.S. Federal, however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

(j) Fair Value Measurements – The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

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

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

The following table summarizes the valuation of the Trust’s securities at August 31, 2019 using fair value hierarchy:

	Level 1(a)		Level 2(a)		Level 3(a)					Level 1(a)		Level 1(a)		Level 2(a)
Fund	Investments in Securities(b)		Investments in Securities(c)		Investments in Securities			Total Assets		Futures Contracts - Assets(d)		Futures Contracts - Liabilities(d)		Written Options - Liabilities
Green California Tax-Free Income Fund	$	—	$	65,522,289	$	—		$	65,522,289	$	—	$	—	$	—
U.S. Government Securities Fund		—		19,313,646		—			19,313,646		—		—		—
Short-Term U.S. Government Bond Fund		—		6,009,806		—			6,009,806		—		—		—
The United States Treasury Trust Fund		—		39,094,862		—			39,094,862		—		—		—
S&P 500 Index Fund		190,785,673		299,062		—			191,084,735		—		285		—
S&P MidCap Index Fund		109,439,054		598,124		—			110,037,178		1,170		—		—
S&P SmallCap Index Fund		66,013,070		99,687		2,518			66,115,275		—		131		—
Shelton Core Value Fund		145,589,496		5,084,058		700,000	(e)		151,373,554		—		—		2,120,565
Nasdaq-100 Index Fund		632,063,728		199,375		—			632,263,103		—		1,001		—
Shelton Green Alpha Fund		55,033,210		—		—			55,033,210		—		—		—

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

(b) All publicly traded common stocks and preferred stocks held in the Funds are Level 1 securities, except those that are fair valued in the Basic Materials and Consumer Discretionary industries. For a detailed break-out of equity securities by major industry classification, please refer to the Portfolio of Investments.

(c) All fixed income securities held in the Funds are Level 2 securities. For a detailed break-out of fixed income securities by type, please refer to the Portfolio of Investments.

(d) Represents variation margin on the last day of the reporting period.

(e) Preferred Stock.

Level 3 Securities	S&P SmallCap Index Fund			Shelton Core Value Fund
	Common Stock - Basic Materials			Preferred Stock
Beginning Balance	$	2,962		$	1,000,000
Net Purchases		—			—
Net Sales		—			—
Total Realized Gain/(Loss)		—			—
Change in Unrealized Appreciation/(Depreciation)	$	(444	)	$	(300,000	)
Accrued Interest		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Ending Balance	$	2,518		$	700,000

54

Shelton Funds Notes to Financial Statements (Continued) August 31, 2019

	Fair Value as of 8/31/2019		Valuation Techniques	Unobservable Input	Input Values		Impact to valuation from an increase to input
A Schulman Inc Rights	$	2,518	Based on the difference between the value of the underlying security and the cash value of the right	Impact of pending litigation relating to right issuance		$0.85	Results of pending litigation may result in direct and proportional changes in the value of the security
Amerityre Corp. 5% Preferred Conv.	$	700,000	Estimated recovery proceeds	*Market quotes, yield quotes and option valuation		$0.35	Changes in the market quotes and option valuation will result in direct and proportional changes in the value of the security

^* Market quote on Amerityre common stock, five-year treasury yield and the option value of the conversion of preferred stock to common stock.

(j) Disclosure about Derivative Instruments and Hedging Activities – The Funds have adopted enhanced disclosure regarding derivative and hedging activity intended to improve financial reporting of derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.

S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, Nasdaq-100 Index Fund and Shelton Green Alpha Fund can use futures contracts and strategies for achieving the investment objectives.

Although the Funds’ primary risks are associated with changes in the stock market, there are other risks associated with the Funds. For the index funds, these risks generally apply to how well the Funds track the index. For example, the Funds invest in futures contracts to the extent that it holds cash in the portfolio. If these futures contracts do not track the index, the Fund’s performance relative to the respective index will change. For the non-indexed Funds, they may invest in futures contracts to the extent each Fund holds cash in the portfolio. If these futures contracts owned by each Fund do not perform well, the Funds’ performance will be impacted.

Under normal circumstances each Fund may follow a number of investment policies to achieve its objective. Losses involving futures can sometimes be substantial, in part because a relatively small price movement in a futures contract may result in an immediate and substantial loss for the Funds. In an effort to minimize this risk, the Funds will not use futures for speculative purposes or as leverage. It is the Funds’ policy to hold cash deposits equal or greater than the total market value of any futures position. The value of all futures and options contracts in which the Funds acquire an interest will not exceed 20% of current total assets.

At August 31, 2019, the number of open future contracts in the S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, and Nasdaq-100 Index Fund were 3, 3, 4, and 3, respectively. The Shelton Core Value Fund, and Shelton Green Alpha Fund held no futures contracts at August 31, 2019. Only current day’s variation margin is reported as an asset or liability within the statement of assets and liabilities.

The effect of derivative instruments on the Statements of Assets & Liabilities for the year ended August 31, 2019:

Derivatives Not Accounted for as Hedging Instruments	Variation Margin Receivable		Variation Margin Payable
S&P 500 Index Fund - Equity contracts	$	—	$	285
S&P MidCap Index Fund - Equity contracts		1,170		—
S&P SmallCap Index Fund - Equity contracts		—		131
Nasdaq-100 Index Fund - Equity contracts		—		1,001

The effect of derivative instruments on the Statements of Operations for the year ended August 31, 2019:

Derivatives Not Accounted for as Hedging Instruments	Realized Gain/ (Loss) on Futures Recognized in Income			Changes in Unrealized Appreciation/ (Depreciation) on Futures Recognized in Income
S&P 500 Index Fund - Equity contracts	$	73,975		$	(9,272	)
S&P MidCap Index Fund - Equity contracts		(27,539	)		(16,069	)
S&P SmallCap Index Fund - Equity contracts		(226,099	)		(42,815	)
Nasdaq-100 Index Fund - Equity contracts		(1,336,043	)		(502,329	)

The previously disclosed derivative instruments outstanding as of August 31, 2019, and their effect on the Statement of Operations for the year ending August 31, 2019, serve as indicators of the volume of financial derivative activity for the company. The following table indicates the average volume for the year:

Derivatives Not Accounted for as Hedging Instruments	Average Notional Value
S&P 500 Index Fund - Equity contracts	$	970,663
S&P MidCap Index Fund - Equity contracts		711,887
S&P SmallCap Index Fund - Equity contracts		815,412
Nasdaq-100 Index Fund - Equity contracts		5,410,574

55

Shelton Funds Notes to Financial Statements (Continued) August 31, 2019

Note 2 - INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS

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

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

	To $100 million in net assets	$100 million to $500 million in net assets	$500 million to $1 billion in net assets	In excess of $1 billion in net assets
Green California Tax-Free Income Fund	0.50%	0.45%	0.40%	0.40%
U.S. Government Securities Fund	0.50%	0.45%	0.40%	0.40%
U.S. Treasury Trust	0.50%	0.45%	0.40%	0.40%
Short-Term U.S. Government Bond Fund	0.50%	0.50%	0.45%	0.40%
S&P 500 Index Fund	0.25%	0.25%	0.25%	0.25%
S&P MidCap Index Fund	0.40%	0.40%	0.40%	0.40%
S&P SmallCap Index Fund	0.50%	0.50%	0.45%	0.40%
Shelton Core Value Fund	0.50%	0.50%	0.45%	0.40%
Nasdaq-100 Index Fund	0.50%	0.50%	0.45%	0.40%
Shelton Green Alpha Fund(a)	1.00%	1.00%	1.00%	1.00%

(a) The Advisor pays Green Alpha Advisors a sub-advisor fee of 0.50%

The Advisor contractually agreed to reduce total operating expense to certain Funds of the Trust. This additional contractual reimbursement is effective until January 2, 2020, unless renewed and is subject to recoupment within three fiscal years following reimbursement. Recoupment is limited to the extent the reimbursement does not exceed any applicable expense limit and the effect of the reimbursement is measured after all ordinary operating expenses are calculated; any such reimbursement is subject to the Board of Trustees’ review and approval. Reimbursements from the Advisor to affected Funds, and the voluntary expense limits, for the year ended August 31, 2019 are as follows:

	Voluntary Expense Limitation
Fund	Reimburse	Direct Shares	K Shares	Expiration
U.S. Government Securities Fund	0.23%	0.74%	1.24%	1/2/20
Short-Term U.S. Government Bond Fund	0.77%	0.59%	1.09%	1/2/20
The United States Treasury Trust	0.22%	0.53%	1.03%	1/2/20
Nasdaq-100 Index Fund	0.24%	0.49%	0.99%	1/2/20

At August 31, 2019, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $4,687,164. The Advisor may recapture a portion of the above amount no later than the dates as stated below. As of January 2, 2018, the S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund were no longer subject to contractual expense limitations.

Fund	Expires 8/31/20		Expires 8/31/21		Expires 8/31/22		Total
U.S. Government Securities Fund	$	16,422	$	27,929	$	43,929	$	88,280
Short-Term U.S. Government Bond Fund		23,105		36,555		48,141		107,801
The United States Treasury Trust		120,514		170,178		108,593		399,285
S&P 500 Index Fund		182,805		88,195		—		271,000
S&P MidCap Index Fund		72,425		43,839		—		116,264
S&P SmallCap Index Fund		39,066		23,398		—		62,464
Nasdaq-100 Index Fund		918,243		1,275,279		1,448,548		3,642,070
Total	$	1,372,580	$	1,665,373	$	1,649,211	$	4,687,164

A Fund must pay its current ordinary operating expenses before the Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is contingent upon Board of Trustee review and approval prior to the time the reimbursement is initiated.

As compensation for administrative duties not covered by the management agreement, Shelton Capital receives an administration fee, which was revised on January 1, 2011. The administration fee is based on assets held, in aggregate, by the Shelton Funds. The fee rates are 0.10% on the first $500 million, 0.08% on the next $500 million, and 0.06% on combined assets over $1 billion. Administration fees are disclosed on the Statement of Operations.

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

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

Shelton Funds adopted a Shareholder Services Plan (the “Services Plan”), whereby the K Shares of each Fund of the Shelton Funds pay RFS Partners, the Funds’ Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning K Shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund. The United States Treasury Trust Fund is not charging its Shareholder Servicing Fee.

56

Shelton Funds Notes to Financial Statements (Continued) August 31, 2019

For the year ended August 31, 2019, the following were paid by the Class K Shares of each Fund of the Trust:

Fund	Class K 12b-1 Fees		Class K Shareholder Service Fees
U.S. Government Securities Fund	$	8,034	$	8,034
Short-Term U.S. Government Bond Fund		2,692		2,675
U.S. Treasury Trust Fund		4,746		4,746
S&P 500 Index Fund		20,326		20,258
S&P MidCap Index Fund		11,717		11,717
S&P SmallCap Index Fund		18,542		18,542
Shelton Core Value Fund		11,039		11,039
Nasdaq-100 Index Fund		64,223		64,384

Management fees, Administration fees, Expense reimbursement from the manager, CCO fees and Trustees fees incurred during the period are included in the Statement of Operations.

Note 3 - PURCHASES AND SALES OF SECURITIES

Purchases and sales of securities other than short-term instruments for the year ended August 31, 2019 were as follows:

Fund	Purchases		Sales		Purchases (Excluding U.S. Government Obligations)		Sales (Excluding U.S. Government Obligations)
Green California Tax-Free Income Fund	$	2,213,775	$	6,855,963	$	2,213,775	$	6,855,963
U.S. Government Securities Fund		1,449,238		3,213,505		—		—
Short-Term U.S. Government Bond Fund		1,788,070		1,911,833		—		—
S&P 500 Index Fund		6,388,411		8,244,348		6,388,411		8,244,348
S&P MidCap Index Fund		15,347,377		25,033,325		15,347,377		25,033,325
S&P SmallCap Index Fund		10,215,391		16,568,810		10,215,391		16,568,810
Core Value Fund		32,248,902		52,269,484		32,248,902		52,269,484
Nasdaq-100 Index Fund		112,849,187		130,716,525		112,849,187		130,716,525
Green Alpha Fund		8,479,510		5,555,451		8,479,510		5,555,451

Note 4 – OPTIONS WRITTEN

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

At August 31, 2019, the Shelton Core Value Fund had written option contracts outstanding:

Derivatives not Accounted for as Hedging Instruments	Liability Derivatives Statement of Assets and Liabilities Location	Fair Value
Equity Contracts(written option contracts)	Written options, at value	$	2,120,565

The effect of derivative instruments on the Funds’ Statement of Operations for the year ended August 31, 2019, was as follows:

Derivatives not Accounted for as Hedging Instruments	Location of Gains/(Loss) on Derivatives Recognize in Income	Realized Gain/ (Loss) on Derivatives Recognized in Income		Change in Unrealized Gain/(Loss) on Derivatives Recognized in Income
Equity Contracts(written option contracts)	Net realized gains (losses) from: Written option contracts / Net change in unrealized appreciation (depreciation) on: Written option contracts	$	2,544,749	$	(37,166	)

Volume of derivative instruments held by the Funds during the year ended August 31, 2019, was as follows:

Derivative Type	Unit of Measurement	Average
Written Option Contracts	Contracts	$	(1,575,028	)

57

Shelton Funds Notes to Financial Statements (Continued) August 31, 2019

Note 5- TAX CHARACTER

Reclassifications: Accounting principles generally accepted in the United States of America require certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended August 31, 2019, there are permanent differences resulting from different book and tax accounting for net operating losses, expiration of capital loss carryforwards, distribution reclassifications, and treatment of accretion of discount. The reclassifications were as follows:

	Increase/(Decrease) Paid-In Capital			Increase/(Decrease) Accumulated Gain/(Loss)
U.S. Government Securities Fund	$	(246,727	)	$	246,727
The United States Treasury Trust		(5,175	)		5,175
S&P 500 Index Fund		(156	)		156
Shelton Green Alpha Fund		63,071			(63,071	)

Tax Basis of Distributable Earnings: The tax character of distributable earnings at August 31, 2019 was as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Capital Loss Carry Forwards			Unrealized Appreciation/ (Depreciation)			Post October and Other Losses			Total Distributable Earnings
Green California Tax-Free Income Fund	$	3,682	$	86,607	$	—		$	4,423,907		$	(25,962	)	$	4,488,234
U.S. Government Securities Fund		—		—		(46,105	)		690,599			(578	)		643,916
Short-Term U.S. Government Bond Fund		394		—		(3,327	)		44,943			(112	)		41,898
The United States Treasury Trust		—		—		(2,236	)		(11	)		—			(2,247	)
S&P 500 Index Fund		534,810		5,118,027		—			119,782,879			—			125,435,716
S&P MidCap Index Fund		109,576		7,058,634		—			28,241,711			—			35,409,921
S&P SmallCap Index Fund		32,014		3,891,720		—			10,623,090			—			14,546,824
Core Value Fund		264,261		9,784,796		—			33,937,464			—			43,986,521
Nasdaq-100 Index Fund		1,711,020		7,060,789		—			264,235,112			—			273,006,921
Green Alpha Fund		—		—		—			10,030,862			(172,150	)		9,858,712

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

Elective Deferrals: The Funds have not elected to defer capital losses recognized during the period November 1, 2018-August 31, 2019 to the period ending August 31, 2020.

The Funds have not elected to defer ordinary losses to the period ending August 31, 2020.

Capital Losses: Capital loss carry forwards, as of August 31, 2019, available to offset future capital gains, if any, are as follows:

Expiring	U.S. Government Securities Fund			Short- Term U.S. Government Bond Fund			United States Treasury Trust Fund
Long Term with No Expiration	$	(46,105	)	$	(3,327	)	$	—
Short Term with No Expiration		—			—			(2,236	)
Total	$	(46,105	)	$	(3,327	)	$	(2,236	)

58

Shelton Funds Notes to Financial Statements (Continued) August 31, 2019

Distributions to Shareholders: Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund.

The tax character of distributions paid during the years ended August 31, 2019 and 2018 were as follows:

Fund	Year		Return of Capital		Ordinary Income		Long-Term Capital Gains(a)		Exempt- Interest Dividends		Total Distributions
Green California Tax-Free Income Fund		2018	$	—	$	—	$	234,947	$	1,471,475	$	1,706,422
		2019		—		—		119,292		1,312,755		1,432,047
U.S. Government Securities Fund		2018		—		—		—		282,935		282,935
		2019		—		264,460		—		—		264,460
Short-Term U.S. Government Bond Fund		2018		—		38,892		—		—		38,892
		2019		—		80,430		—		—		80,430
The United States Treasury Trust		2018		—		524,755		—		—		524,755
		2019		—		845,516		—		—		845,516
S&P 500 Index Fund		2018		—		2,799,181		2,382,074		—		5,181,255
		2019		—		3,067,559		1,340,869		—		4,408,428
S&P MidCap Index Fund		2018		—		1,191,336		7,185,786		—		8,377,122
		2019		—		2,402,000		10,698,956		—		13,100,956
S&P SmallCap Index Fund		2018		—		1,056,028		5,901,648		—		6,957,676
		2019		—		738,251		5,245,346		—		5,983,597
Shelton Core Value Fund		2018		—		3,972,866		19,009,224		—		22,982,090
		2019		—		9,355,980		20,581,178		—		29,937,158
Nasdaq-100 Index Fund		2018		—		4,586,520		3,677,125		—		8,263,645
		2019		—		3,857,160		8,346,060		—		12,203,220
Green Alpha Fund		2018		—		123,102		1,115,328		—		1,238,430
		2019		—		148,555		552,838		—		701,393

(a) The Funds designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Internal Revenue Code for the year ended August 31, 2019.

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

The following is a summary of financial and derivative instruments and collateral received and pledged in connection with such arrangements.

								Gross Amounts Not Offset in the Statement of Assets & Liabilities
		Gross Amounts Recognized in the Statement of Assets & Liabilities		Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts Presented in the Statement of Assets & Liabilities		Financial Instruments		Collateral Pledged/ Received			Net Amount
S&P 500 Index Fund:	Assets
	Futures Contracts	$	—	$	—	$	—	$	—	$	—		$	—
			—		—		—		—		—			—
	Liabilities
	Future Contracts	$	285	$	—	$	285	$	—	$	(285	)	$	—
			285		—		285		—		(285	)		—
S&P MidCap Index Fund:	Assets
	Futures Contracts	$	1,170	$	—	$	1,170	$	—	$	(1,170	)	$	—
			1,170		—		1,170		—		(1,170	)		—
	Liabilities
	Future Contracts	$	—	$	—	$	—	$	—	$	—		$	—
			—		—		—		—		—			—
S&P SmallCap Index Fund:	Assets
	Futures Contracts	$	—	$	—	$	—	$	—	$	—		$	—
			—		—		—		—		—			—
	Liabilities
	Future Contracts	$	131	$	—	$	131	$	—	$	(131	)	$	—
			131		—		131		—		(131	)		—
Nasdaq-100 Index Fund:	Assets
	Futures Contracts	$	—	$	—	$	—	$	—	$	—		$	—
			—		—		—		—		—			—
	Liabilities
	Future Contracts	$	1,001	$	—	$	1,001	$	—	$	(1,001	)	$	—
			1,001		—		1,001		—		(1,001	)		—

59

Shelton Funds Notes to Financial Statements (Continued) August 31, 2019

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

Note 7 – SUBSEQUENT EVENTS

In preparing the financial statements as of August 31, 2019, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of issuance of the financial statements and has determined that there were no subsequent events requiring recognition or disclosure.

Fund Holdings (Unaudited)

The Fund holdings shown in this report are as of August 31, 2019. Holdings are subject to change at any time, so holdings shown in this report may not reflect current Fund holdings. The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling (800) 955-9988.

Proxy Voting Policies, Procedures and Voting Records (Unaudited)

The Funds’ Statement of Additional Information (“SAI”) containing a description of the policies and procedures that the Shelton Funds use to determine how to vote proxies relating to portfolio securities, along with each Fund’s proxy voting record relating to portfolio securities held during the 12-month period ended June 30, is available upon request, at no charge, at the phone number below, or on the SEC’s website at www.sec.gov.

This report is submitted for the general information of the shareholders of the Shelton Funds. It is authorized for distribution only if preceded or accompanied by a current Shelton Funds prospectus. Additional copies of the prospectus may be obtained by calling (800) 955-9988 or can be downloaded from the Funds’ website at www.sheltoncap.com. Please read the prospectus carefully before you invest or send money, as it explains the risks, fees and expenses of investing in the Funds.

60

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees
of Shelton Funds

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Green California Tax-Free Income Fund, U.S. Government Securities Fund, Short-Term U.S. Government Bond Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, Nasdaq-100 Index Fund and Shelton Green Alpha Fund (the “Funds”), each a series of Shelton Funds (the “Trust”), including the schedules of investments, as of August 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of August 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 1986.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers or through other appropriate auditing procedures where replies from brokers were unable to be obtained. We believe that our audits provide a reasonable basis for our opinion.

TAIT, WELLER & BAKER LLP

Philadelphia, Pennsylvania
October 29, 2019

61

Board of Trustees and Executive Officers (Unaudited)

Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:

Name	Address	Year of Birth	Position Held with the Trust	Length of Time Served
Stephen C. Rogers	1875 Lawrence Street, Suite 300 Denver, CO, 80202	1966	Chairman of the Board, Trustee, President	Since August 1999, Since August 1999, Since August 1999
Kevin T. Kogler	1875 Lawrence Street, Suite 300 Denver, CO, 80202	1966	Trustee	Since May 2006
Marco L. Quazzo	1875 Lawrence Street, Suite 300 Denver, CO, 80202	1962	Trustee	Since August 2014
Stephen H. Sutro	1875 Lawrence Street, Suite 300 Denver, CO, 80202	1969	Trustee	Since May 2006
William P. Mock	1875 Lawrence Street, Suite 300 Denver, CO, 80202	1966	Treasurer	Since February 2010
Gregory T. Pusch	1875 Lawrence Street, Suite 300 Denver, CO, 80202	1966	Chief Compliance Officer, Secretary	Since March 2017

Each Trustee oversees the Trust’s ten Funds. The principal occupations of the Trustees and Executive Officers of the Funds during the past five years and public directorships held by the Trustees are set forth below:

Stephen C. Rogers*	Chief Executive Officer, Shelton Capital Management, 1999 to present.
Kevin T. Kogler	President & Founder of MicroBiz, LLC, 2012 to present; Principal, Robertson Piper Software Group, 2006 to 2012; Senior Vice President, Investment Banking, Friedman, Billings Ramsey, 2003 to 2006.
Marco L. Quazzo	Principal, Bartko Zankel Bunzel & Miller, March 2015-Present; Partner, Barg Coffin Lewis & Trapp LLP (law firm), 2008 to March 2015.
Stephen H. Sutro	Managing Partner, Duane Morris, LLP (law firm) 2014 to present; Partner, Duane Morris LLP (law firm), 2003 to present.
William P. Mock	Portfolio Manager, Shelton Capital Management, 2010 to present.
Gregory T. Pusch	Principal Occupations Past five years: Global Head of Risk & Compliance, Matthews Asia 2015-2016; Head of Legal & Regulatory Compliance / CCO, HarbourVest Partners 2012-2015.

Additional information about the Trustees may be found in the SAI, which is available without charge by calling (800) 955-9988.

^* Trustee deemed to be an “interested person” of the Trust, as defined in the Investment Company Act of 1940. Mr. Rogers is an interested person because he is the CEO of Shelton Capital Management, the Trust’s Advisor and Administrator.

62

P.O. Box 87

Denver, CO 80201-0087

ITEM 2. CODE OF ETHICS.

(a) The Registrant has adopted a code of ethics that applies to its principal executive officers and principal financial and accounting officer.

(c) N/A

(d) N/A

(f) Pursuant to Item 12(a)(1), the Registrant is attaching as an exhibit a copy of its code of ethics that applies to its principal executive officer and principal financial and accounting officer. A copy of the code of ethics is available upon request, at no charge, at 1(800) 955-9988.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a)(1) Registrant does not have an audit committee financial expert serving on its audit committee.

(a)(2) N/A

(a)(3) The audit committee has determined that no single independent trustee meets the criteria of "audit committee financial expert", but the collective skills of the committee are sufficient to satisfy the requirements.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Audit Fees

The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant for the audit of the Registrant's annual financial statements or for services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements were $134,200 for the fiscal year ended August 31, 2019 and $135,300 for the fiscal year ended August 31, 2018.

(b) Audit-Related Fees

There were no fees paid to the principal accountant for assurance and related services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of Item 4.

(c) Tax Fees

The aggregate fees paid to the principal accountant for tax compliance, tax advice, and tax planning services rendered by the principal accountant to the Registrant were $28,400 for the fiscal year ended August 31, 2019 and $28,600 for the fiscal year ended August 31, 2018.

(d) All Other Fees

There were no other fees paid to the principal accountant for services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraphs (a)-(c) of Item 4.

(e)(1) The Registrant's audit committee is directly responsible for approving the services to be provided by the auditors, including:

(i) pre-approval of all audit and audit-related services;

(ii) pre-approval of all non-audit related services to be provided to  the Registrant by the auditors;

(iii) pre-approval of all non-audit related services to be provided to the Registrant by the auditors to the Registrant 's investment adviser or to any entity that controls, is controlled by or is under common control with the Registrant 's investment adviser and that provides ongoing services to the Registrant where the non-audit services relate directly to the operations or financial reporting of the Registrant; and

(e)(2) All of the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 were pre-approved by the audit committee.

(f) N/A

(g) The aggregate non-audit fees paid to the principal accountant for services rendered by the principal accountant to the Registrant and the Registrant's investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $7,000 for the fiscal year ended August 31, 2019 and $6,750 for the fiscal year ended August 31, 2018.

(h) N/A

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

N/A

ITEM 6. SCHEDULE OF INVESTMENTS

Included under Item 1.

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

N/A

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

N/A

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

N/A

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

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

ITEM 11. CONTROLS AND PROCEDURES.

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

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

ITEM 12. EXHIBITS

(a)(1) Code of Ethicsattached hereto.

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

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

SIGNATURES

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

SHELTON FUNDS
By	/s/ Stephen C. Rogers
	Stephen C. Rogers, Chairman
	Date: October 30, 2019

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

By	/s/ Stephen C. Rogers
	Stephen C. Rogers, Chairman
	Date: October 30, 2019
By	/s/ William P. Mock
	William P. Mock, Treasurer
	Date: October 30, 2019