united states
securities and exchange commission
washington, d.c. 20549
form n-csr
certified shareholder report of registered management
investment companies
Investment Company Act file number 811-07254
Johnson Mutual Funds Trust
(Exact name of registrant as specified in charter)
3777 West Fork Road, Cincinnati, Ohio 45247
(Address of principal executive offices) (Zip code)
Marc E. Figgins, CFO, 3777 West Fork Road, Cincinnati, Ohio 45247
(Name and address of agent for service)
Registrant's telephone number, including area code (513) 661-3100
Date of fiscal year end: December 31
Date of reporting period: June 30, 2023
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. § 3507.
Item 1. Reports to Stockholders.
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 |
Table of Contents
| Our Message to You | 1 |
| Performance Review and Management Discussion | |
| Equity Income Fund | 3 |
| Opportunity Fund | 4 |
| International Fund | 6 |
| Fixed Income Fund | 7 |
| Municipal Income Fund | 8 |
| Portfolio of Investments | |
| Equity Income Fund | 10 |
| Opportunity Fund | 11 |
| International Fund | 13 |
| Fixed Income Fund | 15 |
| Municipal Income Fund | 20 |
| Statements of Assets and Liabilities | 26 |
| Statements of Operations | 28 |
| Statements of Changes in Net Assets | 30 |
| Financial Highlights | |
| Equity Income Fund | 33 |
| Opportunity Fund | 34 |
| International Fund | 35 |
| Fixed Income Fund | 36 |
| Municipal Income Fund | 37 |
| Notes to the Financial Statements | 38 |
| Disclosure of Expenses | 46 |
| Review and Renewal of Management Agreements | 47 |
| Additional Information | 49 |
| Trustees and Officers, Transfer Agent and Fund Accountant, Custodian, Independent Registered Public Accounting Firm, Legal Counsel | Back Page |
| LETTER FROM THE FUND PRESIDENT | JUNE 2023 |
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We are pleased to present you with the Johnson Mutual Funds’ June 30, 2023 Semi-Annual Report to Shareholders. On the following pages, we have provided commentary on the performance of each of the Funds in the first half of 2023 as well as the relative performance compared to an appropriate benchmark.
The remainder of the report provides the holdings of each Johnson Mutual Fund as well as other financial data and notes.
ENDING OF FED TIGHTENING CYCLE?
The Federal Reserve (Fed) continued on their path of inflation fighting by moving rates 75bps higher in the first half of 2023. On top of the seven increases in 2022, the Fed Funds rate is now above 5%. Market expectations are for 1-2 more increases in the second half of 2023, followed by rate reductions in 2024.
Clearly the higher cost of capital and liquidity being drained from the system are having an impact. Look no further than the banking stress that occurred in March or Leading Economic Indicators (LEI) down 7.9% from a year ago. We have never experienced this level of decline in LEI without being in a recession or close to entering into one. Finally, and thankfully, the rate of increase in inflation has slowed, with the Consumers Price Index registering a 3% increase over last year. While still running hotter than desired, the Fed is closer to getting inflation back towards their long term 2% objective.
STOCK MARKET REBOUNDS IN VERY CONCENTRATED FASHION
On the surface, the stock market could appear to be signaling that the Fed has engineered a soft landing for the economy, and future earnings growth will resume in a positive fashion. The S&P 500 registered a 16.89% gain for the first half of 2023. However, when you look under the surface, a different story emerges. The majority of gains were concentrated in a handful of the largest technology and growth-oriented stocks. The top seven stocks accounted for over 73% of the market’s total return. Apple and Microsoft now represent over 14% of the S&P 500 and a whopping 25% of the Nasdaq index. Prior to June, the remaining 493 names in the index were actually down for the year. The equal weighted S&P 500 was only up 6.99% for the first half of the year. The difference between that and the market capitalization weighted S&P index was the largest spread since 1998, another large cap dominated period.
The majority of this positive market movement was driven by multiple expansion, or the level an investor is willing to pay for a dollar of earnings. Earnings are barely positive this year in sharp contrast to the up market. If the concerns around a slowing economic environment materialize, it could make it much more challenging for companies to hit the earnings growth that the market is currently forecasting.
Earlier this year, we saw the number of constituent stocks in the S&P 500 that were outperforming the Index over the past three months fall below 30%. Historically, that level of narrowness tends to reverse. In prior periods, following hitting that concentration level, the equal weighted S&P 500 has outperformed the market cap weighted S&P 500 by an average of 8.4% over the next twelve months. This could be an argument for active management.
And finally, as we discuss concerns over earnings, it is also important to highlight that the valuation on the market is not cheap, and that is based on earnings that may come under further pressure. Utilizing current consensus earnings estimates, the S&P 500 is trading at 19.1x forward earnings. While valuation is a poor predictor of return in the short term, it can provide a good indication toward longer term, 10-year return expectations. With the starting Price-to-Earnings ratio of 19.1x the regression would indicate equity returns over the next 10 years to average in the 3-6% range.
BONDS ARE BACK AS DIVERSIFIER IN PORTFOLIOS
Bond yields, which have risen greatly over the past year, remain virtually unchanged for this year. Bond yields fell sharply during the first quarter as investors wrestled with the fear of widespread bank failures. During the second quarter of 2023, however, investors grew confident that the banking system woes would remain contained, helping to push the 10-year Treasury yield within just four basis points of where it started the year. The yield curve remains significantly inverted across all parts of the curve. Like rates, credit spreads are largely unchanged from the beginning of the year, finishing three basis points tighter despite a volatile first half of the year. The result of all that is that the aggregate bond index was up 2.1%.
| LETTER FROM THE FUND PRESIDENT | JUNE 2023 |
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The yield on an intermediate duration bond portfolio is now above 5%. Having higher yields on fixed income securities provides for the diversification benefit that did not exist in the lower rate environments of the past several years. In periods of risk aversion, fixed income will again be able to provide a benefit to portfolios as a hedge against increasing risks. And with bond portfolios yielding 5% or better, the outlook for bond returns going forward have not been this high in many years (The best indication of long-term returns for fixed income is the starting yield).
LOOKING AHEAD
Diversification in portfolios will matter again as it always has. This narrow equity market leadership is unlikely to last forever. If we experience a repeat of what happened in the first half of the year, the seven largest stocks would represent over a third of the S&P 500. Apple, which recently surpassed a market capitalization of $3 trillion, would have to grow enough to justify a valuation worth more than the annual GDP of any single country on earth except China or the United States. If history teaches us anything, it is that we would be wise to avoid that level of concentration in portfolios. From energy producers in 1980, to Japanese conglomerates in the 1990s, to tech stocks in the 2000s, to emerging markets commodity producers in the 2010s, every decade provides a new example of why it is unwise to concentrate on themes that drove the market in the recent past.
Looking forward, we may be in for a challenging environment and the valuations for the large market leaders could fall under pressure if current economic trends persist. Bonds, for their part, look to be particularly attractive in that scenario, given the increases we have experienced in interest rates. Conversely, if the economy improves, the stock market is likely to broaden with more stocks participating in the rally. Either way, the playbook here at Johnson will remain the same: a diversified portfolio of high-quality securities is the most resilient and reliable path to long-term success.
| JOHNSON EQUITY INCOME FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
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The Johnson Equity Income Fund had a net total return of 8.25% through the first six months of 2023, underperforming the S&P 500 Index’s 16.89% return. While the headline return has been quite positive, the year-to-date index results have been heavily dependent on a few large stocks, resulting in a large gap between the index (up 16.89%) and the average stock in the index (up 7.17%). Stocks with the highest forward growth expectations, valuation multiples, betas, and artificial intelligence exposure were among the best performers, while high income yield and low beta stocks underperformed. Consumer Discretion, Communication Services, and Technology were the only sectors to outperform the index. Energy, Utilities, Financials, and Healthcare have all produced negative returns for the first six months of the year.
Stock selection and sector allocation equally contributed to the fund’s underperformance. Style trends supporting high growth mega cap stocks did not favor the fund’s Technology underweight and Financials overweight. As for stock selection, the fund’s negative relative returns were primarily driven by what we did not own as opposed to what we owned. The top negative contributors to the fund’s relative performance included names such as Nvidia, Meta, Tesla, and Amazon. In addition to having poor shareholder yield characteristics, these stocks trade at valuations that carry considerable risk should growth expectations ultimately disappoint the market.
The fund benefited from a few positive contributors. AmerisourceBergen, a new position in the fund, added meaningfully to the relative outperformance in healthcare. The fund’s underweight position in pharmaceutical names such as Pfizer and Johnson & Johnson also contributed to the sector’s positive security selection. The fund benefitted from the prevalent artificial intelligence theme through select positions. Alphabet and Adobe added to both absolute returns and relative returns.
Looking forward, the team believes this year’s narrow leadership is unsustainable based on historical trends. Reviewing forward returns in prior periods of similarly concentrated markets, the equal weighted index tends to outperform the market cap weighted index once concentration begins to unwind. The average stock in the S&P 500 was down year-to-date through May, but positive returns started to broaden in June. This could be a potential harbinger for further broadening, which would have a positive impact on relative returns for the fund.
In summary, the first half of 2023 was certainly a challenging one for the fund. Underperformance thus far has been mostly attributed to areas of the market that do not provide the valuation and shareholder yield characteristics we seek. Our team’s attention is focused on participating more fully in a further broadening of the market and controlling portfolio risk should corporate earnings decline in an economic slowdown. Should either come to fruition, the fund’s quality discipline should be beneficial as we aim to invest in companies with more stable and consistent operating results throughout the business cycle.
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | EQUITY INCOME FUND | S&P 500 INDEX |
| SIX MONTHS | 8.25% | 16.89% |
| ONE YEAR | 13.71% | 19.59% |
| THREE YEARS | 14.34% | 14.60% |
| FIVE YEARS | 12.43% | 12.31% |
| TEN YEARS | 11.55% | 12.86% |
| HOLDINGS BY INDUSTRY SECTOR |
| SECTOR ALLOCATION | | % OF NET ASSETS |
| TECHNOLOGY | | | 25.5 | % |
| HEALTH CARE | | | 17.1 | % |
| INDUSTRIALS | | | 12.6 | % |
| FINANCIALS | | | 11.5 | % |
| CONSUMER DISCRETIONARY | | | 8.0 | % |
| CONSUMER STAPLES | | | 7.1 | % |
| COMMUNICATIONS | | | 5.4 | % |
| ENERGY | | | 5.3 | % |
| UTILITIES | | | 4.2 | % |
| REAL ESTATE | | | 1.7 | % |
| CASH EQUIVALENTS | | | 1.6 | % |
| OTHER: | | | 0.0 | %* |
| NET OTHER ASSETS (LIABILITIES) | | | 0.0 | %* |
| | | | 100.0 | % |
| | | | | |
| * | Percentage rounds to less than 0.1%. |
Above average dividend income and long-term capital growth is the objective of the Johnson Equity Income Fund, and the primary assets are stocks of large-sized U.S. companies. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Six-month returns are not annualized. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. A shareholder cannot invest directly in the S&P 500 Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The S&P 500 Index is the established benchmark. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON OPPORTUNITY FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
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The Johnson Opportunity Fund had a net total return of 7.38% through the first half of 2023, trailing the Russell 2500 Index’s 8.79% return. Equities have been a standout asset class this year, recapturing some of the 2022 bear market losses. Risk-taking has been rewarded, and stocks with a low volatility profile have underperformed. SMID Cap Growth outperformed Value, with the Russell 2500 Growth Index returning 13.4%, compared to a 5.8% return for the Value Index. Expanding growth stock multiples can be partially attributed to enthusiasm about an emerging growth theme in artificial intelligence (AI).
Underperformance year-to-date can be attributed to security selection, which was influenced by the Fund’s lower risk approach. Sector positioning was favorable, driven by an overweight in Industrials and an underweight in Energy. Given the market’s style preferences, most of the top performing stocks in the quarter were within growth-oriented areas, including Health Care, Industrials, and Technology. The top performer was US Physical Therapy, which delivered stronger-than-expected growth on higher utilization rates. nVent Electric and Watsco also benefited from rising earnings expectations on above-trend business activity and sturdy pricing power. Tyler Technologies and Sapiens International were the Fund’s top contributors in Technology, the market’s leading sector.
The two worst performing stocks in the Fund were bank stocks. Signature Bank was taken over by regulators after a shocking bank run on deposits in March, leaving its shares nearly worthless. This industry crisis involved a few banks that had a high proportion of large customers well above the FDIC insurance limit, and too many of those customers pulled out their deposits in fear. Arrow Financial’s performance suffered from its failure to release its 10-K and 10-Q SEC filings on a timely basis. This involved some internal control issues that the bank is currently addressing.
It seems unlikely that such a wide disparity between high growth and low beta stocks will continue. While there is growing optimism for a “soft landing” economic scenario, the team believes an economic slowdown is likely still in the early stages of development, threatening corporate earnings growth forecasts in the second half of the year. Even if the Federal Reserve stops raising interest rates, a soft landing is still a tough needle to thread due to a lag effect to monetary policy.
The strategy continues to take a more diversified approach and maintain its core style rather than tilt toward growth. Index concentration has become a significant issue for active large cap managers, but the SMID Cap market is much more diversified with the largest stock in the Russell 2500 having only a 0.3% weight. This is an asset class that offers broader exposure and trades at a two standard deviation valuation discount to large cap stocks, making for a compelling opportunity.
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | OPPORTUNITY | |
| | FUND | RUSSELL 2500 INDEX |
| SIX MONTHS | 7.38% | 8.79% |
| ONE YEAR | 14.61% | 13.58% |
| THREE YEARS | 15.35% | 12.29% |
| FIVE YEARS | 7.43% | 6.55% |
| TEN YEARS | 9.51% | 9.38% |
Long-term capital growth is the objective of the Johnson Opportunity Fund, and the primary assets are equity securities of medium sized companies. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. Six-month returns are not annualized. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. A shareholder cannot invest directly in the Russell 2500 Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Russell 2500 Index is the established benchmark. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON OPPORTUNITY FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
| HOLDINGS BY INDUSTRY SECTOR |
| | | % OF |
| SECTOR ALLOCATION | | NET ASSETS |
| TECHNOLOGY | | | 21.7 | % |
| INDUSTRIALS | | | 21.1 | % |
| FINANCIALS | | | 11.5 | % |
| HEALTH CARE | | | 10.5 | % |
| MATERIALS | | | 8.6 | % |
| REAL ESTATE | | | 6.6 | % |
| CONSUMER DISCRETIONARY | | | 6.6 | % |
| UTILITIES | | | 4.1 | % |
| CONSUMER STAPLES | | | 3.6 | % |
| ENERGY | | | 2.1 | % |
| COMMUNICATIONS | | | 1.5 | % |
| CASH EQUIVALENTS | | | 2.1 | % |
| OTHER: | | | | |
| NET OTHER ASSETS (LIABILITIES) | | | 0.0 | %* |
| | | | 100.0 | % |
| | | | | |
| * | Percentage rounds to less than 0.1%. |
| JOHNSON INTERNATIONAL FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
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The Johnson International Fund had a total net return of 12.58% in the first six months of the year, outperforming the MSCI ACWI ex-U.S. Index’s 9.47% return. Equities have been a standout asset class this year, recapturing some of the 2022 bear market losses.
International markets have lagged the major U.S. stock indices again, in large part due to the outstanding performance of high growth stocks, which are more heavily weighted in the U.S. market. The trade-weighted U.S. Dollar was close to the level where it began the year, so the currency impact is negligible when comparing U.S. and global market returns for this period. The Fund’s outperformance can mostly be attributed to positive security selection, which occurred in eight of the eleven sectors. The Fund’s regional positioning was also well placed, including an overweight in developed markets, which outperformed emerging markets in the first half of the year.
International markets have a Technology weight that is less than half of the U.S sector’s weight, but the influence of the sector led global market returns. Five of the top ten contributing stocks in the Fund were in Technology, including Open Text, Lenovo Group, Taiwan Semiconductor Manufacturing, United Microelectronics, and CGI Inc. Enthusiasm about an emerging growth theme in artificial intelligence (AI) drove multiples higher in the Technology sector as investors contemplated the rapid future growth potential. An overweight position in undervalued Western European stocks was also advantageous, capturing alpha in stocks such as Schneider Electric, Publicis Groupe, and Novo Nordisk.
The Fund’s worst performers were heavily represented by emerging markets stocks, such as Vale, JD.com, Infosys, and PDD Holdings. An underweight in Chinese stocks added value though. China is the largest country in emerging markets and was the only major foreign market with negative returns during the first half of the year, missing the recovery that most other global markets have seen in 2023.
Economic growth is slowing as the war in Ukraine continues, China flounders, and global central banks keep monetary policy tight. International stocks have been in a long multiyear performance slump compared to U.S. stocks. Relative valuation has gotten even cheaper for foreign stocks as technology sector performance pushes the U.S.’s more concentrated indexes to higher valuations. This makes for a compelling opportunity for international stocks as an asset class that offers broader exposure and trades at a two standard deviation valuation discount to large cap stocks.
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | INTERNATIONAL | MSCI ACWI EX US |
| | FUND | INDEX |
| SIX MONTHS | 12.58% | 9.47% |
| ONE YEAR | 16.97% | 12.72% |
| THREE YEARS | 9.31% | 7.22% |
| FIVE YEARS | 4.75% | 3.52% |
| TEN YEARS | 4.95% | 4.75% |
| ASSET ALLOCATION | | | | | | |
| BY COUNTRY% OF | | | | | | |
| INVESTMENTS | | | | | | AS OF JUNE 30, 2023 |
| JAPAN | | | 15.59 | % | | AUSTRALIA | | | 3.20 | % |
| UNITED KINGDOM | | | 9.90 | % | | MEXICO | | | 2.63 | % |
| FRANCE | | | 9.55 | % | | BRAZIL | | | 2.50 | % |
| CANADA | | | 8.87 | % | | INDIA | | | 2.22 | % |
| SWITZERLAND | | | 8.10 | % | | SOUTH KOREA | | | 2.03 | % |
| GERMANY | | | 6.71 | % | | SPAIN | | | 1.95 | % |
| TAIWAN | | | 3.64 | % | | DENMARK | | | 1.82 | % |
| HONG KONG | | | 3.62 | % | | UNITED STATES | | | 1.73 | % |
| CHINA | | | 3.43 | % | | SWEDEN | | | 1.70 | % |
| CAYMAN ISLANDS | | | 3.37 | % | | OTHER* | | | 7.51 | % |
| | | | | | | | | | | |
| * | Countries in “Other” category include: Israel, Italy, Jersey, Luxembourg, Netherlands, Norway, Phillipines, Singapore, South Africa, and Russia. |
Long-term capital growth is the objective of the Johnson International Fund, and the primary assets are equity securities of foreign companies traded on U.S. exchanges and ADRs (American Depository Receipts). The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Six-month returns are not annualized. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. The Fund’s performance is after all fees and expenses, whereas neither Index incurs fees nor expenses. A shareholder cannot invest directly in the MSCI ACWI ex US Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The MSCI ACWI ex US Index is the primary benchmark. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON FIXED INCOME FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
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The Johnson Fixed Income Fund provided a total return of 1.90% during the first half of 2023, compared to a 2.09% return for the Bloomberg US Aggregate Index.
Bond investors spent the first six months of 2023 searching for signs we may be nearing the end of the Fed’s historic tightening cycle. Despite a flurry of intra-year volatility, the 10 Year Treasury finished the first half of the year virtually unchanged. Fear of widespread bank failures pushed yields lower during the first quarter. By late Spring, however, investors grew increasingly confident that banking system stress was more likely to remain contained. As a result, the Fed and its ongoing fight on inflation once again took center stage. Despite pausing the Fed’s tightening campaign in June, Chair Powell took great care to emphasize that the Fed’s job may not be done. As a result, the bond market reacted quickly, pricing out any remaining near-term rate cuts, causing yields to rise sharply across the curve. The Fund’s longer duration positioning relative to its benchmark was a slight headwind to performance during the first half of the year. However, the barbelled structure of the Fund’s government bond allocation was additive to performance as the yield curve resumed its flattening bias.
Corporate bond spreads followed a similar path to interest rates during the first six months of the year. By late spring corporate bond spreads had widened 33 basis points, but ultimately ended the first half of the year seven basis points tighter than at the start of the year. Overall, the Fund’s emphasis on corporate bonds was a tailwind to performance as spreads tightened but was partially offset by sector allocation and security selection within financials. The Fund remains overweight financials, which underperformed industrial and utility peers during the first half of the year. Furthermore, the Fund’s emphasis on regional banks versus large, multinational banks was an additional headwind to relative performance.
As we look toward the second half of the year, we continue to position the Fund defensively. While labor markets remain surprisingly resilient, there are signs the economic moderation continues to grow deeper and more widespread. Manufacturing activity has cooled significantly and is consistent with prior recessions. While still steady overall, consumer spending continues to gradually slow. The good news is this economic moderation has also ushered in several months of softer inflation data. While inflation remains above the Fed’s desired target, much progress has been made in bringing consumer price growth back to more tolerable levels. At the same time, interest rates are approaching their cycle highs and we continue to believe that positioning the Fund modestly long duration relative to its benchmark will allow us to capture historically attractive yields while also building a reliable hedge against future uncertainty and volatility. Similarly, corporate bond spreads remain quite low, and are tighter than economic fundamentals would imply. As a result, we have continued to reduce exposure to select issuers that we view as overvalued. Lastly, Agency MBS remain an attractive alternative to high-quality corporates, and we continue to add exposure to the sector.
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | | BLOOMBERG |
| | FIXED INCOME | AGGREGATE BOND |
| | FUND | INDEX |
| SIX MONTHS | 1.90% | 2.09% |
| ONE YEAR | -1.43% | -0.94% |
| THREE YEARS | -4.89% | -3.96% |
| FIVE YEARS | 0.24% | 0.77% |
| TEN YEARS | 1.24% | 1.52% |
| HOLDINGS BY INDUSTRY SECTOR |
| | | % OF |
| SECTOR ALLOCATION | | NET ASSETS |
| U.S. TREASURY OBLIGATIONS | | | 29.8 | % |
| FINANCE | | | 20.0 | % |
| COLLATERALIZED MORTGAGE | | | 19.5 | % |
| OBLIGATIONS | | | | |
| INDUSTRIALS | | | 13.2 | % |
| UTILITIES | | | 11.1 | % |
| MUNICIPAL BONDS | | | 2.7 | % |
| U.S. GOVERNMENT & AGENCIES | | | 2.6 | % |
| PREFERRED STOCKS | | | 0.6 | % |
| CASH EQUIVALENTS | | | 0.4 | % |
| OTHER: | | | | |
| NET OTHER ASSETS (LIABILITIES) | | | 0.1 | % |
| | | | 100.0 | % |
A high level of income over the long term consistent with preservation of capital is the objective of the Johnson Fixed Income Fund, and the primary assets are investment-grade fixed income securities. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Six-month returns are not annualized. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. A shareholder cannot invest directly in the Bloomberg U.S. Aggregate Bond Index. The Bloomberg U.S. Aggregate Bond Index is the benchmark. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON MUNICIPAL INCOME FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
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The Johnson Municipal Income fund provided a total return of 1.93% compared to 2.67% for the Bloomberg Municipal Bond Index during the first half of the year. The Fund trailed the Index during the first 6 months of the year as a result of record low new issue supply, causing lower quality and longer maturity bonds to outperform as investors reached for yield, both of which the fund is underweight versus the benchmark.
After rising sharply across the curve throughout 2022, municipal bond investors began to see relief in the first half of 2023 as municipal bond rates fell along intermediate to long maturities while rate increases were concentrated in short-end maturities. Tax-exempt municipal bonds outperformed most other fixed income asset classes as municipal bond yields moved favorably relative to corresponding U.S. treasury yields, and municipal credit spreads tightened due to lackluster municipal bond issuance. Investor sentiment regarding municipal bonds generally improved as Federal Reserve communications signaled approaching the end of the rate hike cycle, drastically slowing the pace of fund outflows which commenced in 2022 as the Fed began hiking interest rates. New municipal bond issuance in the first half of the year fell short of historical averages as market volatility remained elevated compared to prior years, and refunding economics were unattractive for issuers as rates sat well above historical averages. The dwindling supply in the higher-than-average interest rate environment resulted in both low- and high-quality issuer spreads tightening, with low-quality benefitting the most as investors reached for yield. The Fund’s focus on higher-quality securities and underweight to the longest maturities detracted from relative performance throughout the first half of the year as lower-quality and longer duration securities outperformed.
We maintain a high-quality focus as downgrade activity in economically sensitive sectors has increased following obstinate inflationary pressures and increased borrowing costs contributing to budgetary stress. Higher quality municipal credit health remains strong as many enjoyed boosts to tax-revenue collections as a result of robust housing and labor markets, establishing durable positions for an economic slowdown and potential drops in tax-revenue. In the coming months, rate stability and investor demand have the potential to play a significant role in municipal bond mutual fund flows, which can be an important driver of performance and relative valuations. The Fund is diversified by issuer and sector, while approximately 70% of its assets are rated AA or higher and approximately 21% of its assets are invested in states other than Ohio.
As we look toward the second half of the year, we continue to position portfolios defensively. While labor markets remain surprisingly resilient, there are signs that economic moderation continues to grow deeper as manufacturing activity has cooled and consumer spending has begun to slow. The good news is this economic moderation has also ushered in several months of softer inflation data. While inflation remains above the Fed’s
desired target, much progress has been made in bringing consumer price growth back to more tolerable levels, likely bringing us closer to the end of the rate-hike cycle. The Fund’s duration will be longer versus its benchmark as longer duration municipal bonds provide the greatest relative value at current levels, allowing us to capture historically attractive yields. Finally, the current levels of rates are likely to offer attractive opportunities for long-term returns going forward.
A high level of federally tax-free income over the long term consistent with preservation of capital is the objective of the Johnson Municipal Income Fund, and the primary assets are intermediate term Ohio municipal bonds. The data on this page is unaudited and represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Six-month returns are not annualized. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. A shareholder cannot invest directly in the Bloomberg Capital Municipal Bond Index nor in the Bloomberg Capital Five Year General Obligation Municipal Bond Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Bloomberg Capital Municipal Bond Index is the primary benchmark, and the Bloomberg Capital Five Year General Obligation Municipal Bond Index is a supplementary index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON MUNICIPAL INCOME FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | | | BLOOMBERG |
| | MUNICIPAL | BLOOMBERG | MUNICIPAL |
| | INCOME | MUNICIPAL | BOND: 5 YEAR |
| | FUND | BOND INDEX | GO INDEX |
| SIX MONTHS | 1.93% | 2.67% | 1.16% |
| ONE YEAR | 2.39% | 3.19% | 1.35% |
| THREE YEARS | -1.40% | -0.58% | -0.69% |
| FIVE YEARS | 1.16% | 1.84% | 1.44% |
| TEN YEARS | 1.69% | 2.68% | 1.68% |
| * | As rated by either Standard & Poor’s or Moody’s Rating Agencies. (If rated by both, the lower rating is represented.) |
| HOLDINGS BY STATE OF ISSUANCE % OF INVESTMENTS |
| OHIO | | | 78.51 | % | | TEXAS | | | 1.19 | % |
| KENTUCKY | | | 6.29 | % | | SOUTH CAROLINA | | | 0.54 | % |
| MISSOURI | | | 3.04 | % | | ALABAMA | | | 0.49 | % |
| N/A | | | 2.64 | % | | VIRGINIA | | | 0.47 | % |
| PENNSYLVANIA | | | 2.24 | % | | GEORGIA | | | 0.44 | % |
| COLORADO | | | 1.99 | % | | MICHIGAN | | | 0.34 | % |
| INDIANA | | | 1.55 | % | | NORTH DAKOTA | | | 0.27 | % |
| EQUITY INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COMMON STOCKS — 98.4% | | Shares | | | Value | |
| Communications — 5.4% | | | | | | | | |
| Alphabet, Inc. - Class A (a) | | | 175,812 | | | $ | 21,044,696 | |
| Comcast Corp. - Class A | | | 177,800 | | | | 7,387,590 | |
| Walt Disney Co. (The) (a) | | | 44,850 | | | | 4,004,208 | |
| | | | | | | | 32,436,494 | |
| Consumer Discretionary — 8.0% | | | | | | | | |
| Genuine Parts Co. | | | 72,000 | | | | 12,184,560 | |
| Lowe’s Cos., Inc. | | | 57,000 | | | | 12,864,900 | |
| McDonald’s Corp. | | | 39,500 | | | | 11,787,195 | |
| TJX Cos., Inc. (The) | | | 132,485 | | | | 11,233,403 | |
| | | | | | | | 48,070,058 | |
| Consumer Staples — 7.1% | | | | | | | | |
| Coca-Cola Co. (The) | | | 175,120 | | | | 10,545,726 | |
| Dollar General Corp. | | | 52,800 | | | | 8,964,384 | |
| PepsiCo, Inc. | | | 30,700 | | | | 5,686,254 | |
| Procter & Gamble Co. (The) | | | 36,690 | | | | 5,567,341 | |
| Walmart, Inc. | | | 75,555 | | | | 11,875,735 | |
| | | | | | | | 42,639,440 | |
| Energy — 5.3% | | | | | | | | |
| Chevron Corp. | | | 95,160 | | | | 14,973,426 | |
| Williams Cos., Inc. (The) | | | 514,300 | | | | 16,781,609 | |
| | | | | | | | 31,755,035 | |
| Financials — 11.5% | | | | | | | | |
| American Financial Group, Inc. | | | 93,400 | | | | 11,091,250 | |
| Axis Capital Holdings Ltd. | | | 356,550 | | | | 19,193,087 | |
| Marsh & McLennan Cos., Inc. | | | 66,400 | | | | 12,488,512 | |
| Nasdaq, Inc. | | | 309,300 | | | | 15,418,605 | |
| Willis Towers Watson plc | | | 44,870 | | | | 10,566,885 | |
| | | | | | | | 68,758,339 | |
| Health Care — 17.1% | | | | | | | | |
| Abbott Laboratories | | | 100,518 | | | | 10,958,472 | |
| AmerisourceBergen Corp. | | | 109,100 | | | | 20,994,113 | |
| Danaher Corp. | | | 69,443 | | | | 16,666,320 | |
| Medtronic plc | | | 146,336 | | | | 12,892,202 | |
| UnitedHealth Group, Inc. | | | 35,250 | | | | 16,942,560 | |
| Zimmer Biomet Holdings, Inc. | | | 86,600 | | | | 12,608,960 | |
| Zoetis, Inc. | | | 65,892 | | | | 11,347,261 | |
| | | | | | | | 102,409,888 | |
| Industrials — 12.6% | | | | | | | | |
| Amphenol Corp. - Class A | | | 150,800 | | | | 12,810,460 | |
| Honeywell International, Inc. | | | 53,350 | | | | 11,070,125 | |
| Illinois Tool Works, Inc. | | | 52,000 | | | | 13,008,320 | |
| Nordson Corp. | | | 46,300 | | | | 11,490,734 | |
| nVent Electric plc | | | 288,300 | | | | 14,896,461 | |
| Waste Management, Inc. | | | 68,600 | | | | 11,896,612 | |
| | | | | | | | 75,172,712 | |
| Real Estate — 1.7% | | | | | | | | |
| American Tower Corp. | | | 51,387 | | | | 9,965,995 | |
| COMMON STOCKS — 98.4% | | Shares | | | Value | |
| Technology — 25.5% | | | | | | | | |
| Accenture plc - Class A | | | 41,790 | | | $ | 12,895,558 | |
| Adobe, Inc. (a) | | | 30,260 | | | | 14,796,837 | |
| Analog Devices, Inc. | | | 59,200 | | | | 11,532,752 | |
| Apple, Inc. | | | 85,260 | | | | 16,537,882 | |
| Fidelity National Information | | | | | | | | |
| Services, Inc. | | | 158,500 | | | | 8,669,950 | |
| Intuit, Inc. | | | 27,850 | | | | 12,760,592 | |
| Mastercard, Inc. - Class A | | | 32,350 | | | | 12,723,255 | |
| Microsoft Corp. | | | 70,170 | | | | 23,895,692 | |
| Roper Technologies, Inc. | | | 26,000 | | | | 12,500,800 | |
| S&P Global, Inc. | | | 34,757 | | | | 13,933,734 | |
| Visa, Inc. - Class A | | | 50,600 | | | | 12,016,488 | |
| | | | | | | | 152,263,540 | |
| Utilities — 4.2% | | | | | | | | |
| Alliant Energy Corp. | | | 199,065 | | | | 10,446,931 | |
| American Electric Power Co., Inc. | | | 174,300 | | | | 14,676,060 | |
| | | | | | | | 25,122,991 | |
| Total Common Stocks | | | | | | | | |
| (Cost $432,453,326) | | | | | | $ | 588,594,492 | |
| | | | | | | | | |
| MONEY MARKET FUNDS — 1.6% | | | | | | | | |
| First American Government Obligations Fund - Class Z, 4.97% (b) (Cost $9,491,108) | | | 9,491,108 | | | $ | 9,491,108 | |
| | | | | | | | | |
| Investments at Value — 100.0% | | | | | | | | |
| (Cost $441,944,434) | | | | | | $ | 598,085,600 | |
| | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.0% (c) | | | | | | | 140,152 | |
| | | | | | | | | |
| Net Assets — 100.0% | | | | | | $ | 598,225,752 | |
| (a) | Non-income producing security. |
| (b) | The rate shown is the 7-day effective yield as of June 30, 2023. |
| (c) | Percentage rounds to less than 0.1%. |
plc - Public Limited Company
| The accompanying notes are an integral part of these financial statements. |
| OPPORTUNITY FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COMMON STOCKS — 97.9% | | Shares | | | Value | |
| Communications — 1.5% | | | | | | | | |
| New York Times Co. (The) - Class A | | | 46,600 | | | $ | 1,835,108 | |
| | | | | | | | | |
| Consumer Discretionary — 6.6% | | | | | | | | |
| Floor & Decor Holdings, Inc. - Class A (a) | | | 13,600 | | | | 1,413,856 | |
| LKQ Corp. | | | 40,100 | | | | 2,336,627 | |
| NVR, Inc. (a) | | | 250 | | | | 1,587,655 | |
| Steven Madden Ltd. | | | 42,300 | | | | 1,382,787 | |
| Williams-Sonoma, Inc. | | | 10,900 | | | | 1,364,026 | |
| | | | | | | | 8,084,951 | |
| Consumer Staples — 3.6% | | | | | | | | |
| BJ’s Wholesale Club Holdings, Inc. (a) | | | 28,700 | | | | 1,808,387 | |
| Coca-Cola Consolidated, Inc. | | | 3,000 | | | | 1,908,060 | |
| Reynolds Consumer Products, Inc. | | | 26,800 | | | | 757,100 | |
| | | | | | | | 4,473,547 | |
| Energy — 2.1% | | | | | | | | |
| DT Midstream, Inc. | | | 25,000 | | | | 1,239,250 | |
| World Kinect Corp. | | | 63,100 | | | | 1,304,908 | |
| | | | | | | | 2,544,158 | |
| Financials — 11.5% | | | | | | | | |
| American Financial Group, Inc. | | | 18,000 | | | | 2,137,500 | |
| Arrow Financial Corp. | | | 53,978 | | | | 1,087,117 | |
| Axis Capital Holdings Ltd. | | | 36,700 | | | | 1,975,561 | |
| Diamond Hill Investment Group, Inc. | | | 4,900 | | | | 839,370 | |
| Everest Re Group Ltd. | | | 6,500 | | | | 2,222,090 | |
| Farmers National Banc Corp. | | | 130,400 | | | | 1,613,048 | |
| SEI Investments Co. | | | 35,100 | | | | 2,092,662 | |
| Wintrust Financial Corp. | | | 30,300 | | | | 2,200,386 | |
| | | | | | | | 14,167,734 | |
| Health Care — 10.5% | | | | | | | | |
| Charles River Laboratories International, Inc. (a) | | | 8,200 | | | | 1,724,050 | |
| Chemed Corp. | | | 4,200 | | | | 2,275,014 | |
| Jazz Pharmaceuticals plc (a) | | | 11,600 | | | | 1,438,052 | |
| LeMaitre Vascular, Inc. | | | 17,700 | | | | 1,190,856 | |
| Option Care Health, Inc. (a) | | | 45,300 | | | | 1,471,797 | |
| Repligen Corp. (a) | | | 9,900 | | | | 1,400,454 | |
| U.S. Physical Therapy, Inc. | | | 15,400 | | | | 1,869,406 | |
| Universal Health Services, Inc. - Class B | | | 10,200 | | | | 1,609,254 | |
| | | | | | | | 12,978,883 | |
| Industrials — 21.1% | | | | | | | | |
| A.O. Smith Corp. | | | 30,900 | | | | 2,248,902 | |
| AMN Healthcare Services, Inc. (a) | | | 23,800 | | | | 2,597,056 | |
| Applied Industrial Technologies, Inc. | | | 17,000 | | | | 2,462,110 | |
| Comfort Systems USA, Inc. | | | 8,200 | | | | 1,346,440 | |
| COMMON STOCKS — 97.9% | | Shares | | | Value | |
| Donaldson Co., Inc. | | | 29,100 | | | $ | 1,819,041 | |
| Gorman-Rupp Co. (The) | | | 50,500 | | | | 1,455,915 | |
| Hubbell, Inc. | | | 4,800 | | | | 1,591,488 | |
| IDEX Corp. | | | 6,900 | | | | 1,485,294 | |
| Littelfuse, Inc. | | | 4,600 | | | | 1,340,026 | |
| Nordson Corp. | | | 9,300 | | | | 2,308,074 | |
| nVent Electric plc | | | 54,300 | | | | 2,805,681 | |
| SiteOne Landscape Supply, Inc. (a) | | | 8,200 | | | | 1,372,352 | |
| Watsco, Inc. | | | 4,000 | | | | 1,525,880 | |
| Watts Water Technologies, Inc. - Class A | | | 8,400 | | | | 1,543,332 | |
| | | | | | | | 25,901,591 | |
| Materials — 8.6% | | | | | | | | |
| Avery Dennison Corp. | | | 11,600 | | | | 1,992,880 | |
| H.B. Fuller Co. | | | 27,600 | | | | 1,973,676 | |
| Hawkins, Inc. | | | 40,000 | | | | 1,907,600 | |
| RPM International, Inc. | | | 15,600 | | | | 1,399,788 | |
| Sonoco Products Co. | | | 26,700 | | | | 1,575,834 | |
| UFP Industries, Inc. | | | 18,000 | | | | 1,746,900 | |
| | | | | | | | 10,596,678 | |
| Real Estate — 6.6% | | | | | | | | |
| Camden Property Trust | | | 6,400 | | | | 696,768 | |
| Community Healthcare Trust, Inc. | | | 49,300 | | | | 1,627,886 | |
| Equity LifeStyle Properties, Inc. | | | 24,600 | | | | 1,645,494 | |
| Jones Lang LaSalle, Inc. (a) | | | 8,800 | | | | 1,371,040 | |
| NNN REIT, Inc. | | | 34,400 | | | | 1,471,976 | |
| STAG Industrial, Inc. | | | 37,400 | | | | 1,341,912 | |
| | | | | | | | 8,155,076 | |
| Technology — 21.7% | | | | | | | | |
| Amdocs Ltd. | | | 14,200 | | | | 1,403,670 | |
| Bentley Systems, Inc. | | | 25,200 | | | | 1,366,596 | |
| Black Knight, Inc. (a) | | | 18,800 | | | | 1,122,924 | |
| Blackbaud, Inc. (a) | | | 23,800 | | | | 1,694,084 | |
| CACI International, Inc. - Class A (a) | | | 5,300 | | | | 1,806,452 | |
| Fair Isaac Corp. (a) | | | 1,600 | | | | 1,294,736 | |
| Genpact Ltd. | | | 42,200 | | | | 1,585,454 | |
| Globant S.A. (a) | | | 7,400 | | | | 1,329,928 | |
| ICF International, Inc. | | | 8,700 | | | | 1,082,193 | |
| Jack Henry & Associates, Inc. | | | 8,400 | | | | 1,405,572 | |
| Leidos Holdings, Inc. | | | 19,700 | | | | 1,743,056 | |
| Lumentum Holdings, Inc. (a) | | | 14,700 | | | | 833,931 | |
| MAXIMUS, Inc. | | | 22,800 | | | | 1,926,828 | |
| Paylocity Holding Corp. (a) | | | 6,900 | | | | 1,273,257 | |
| PTC, Inc. (a) | | | 9,200 | | | | 1,309,160 | |
| Sapiens International Corp. N.V. | | | 71,000 | | | | 1,888,600 | |
| Tyler Technologies, Inc. (a) | | | 6,500 | | | | 2,707,055 | |
| WEX, Inc. (a) | | | 4,900 | | | | 892,143 | |
| | | | | | | | 26,665,639 | |
| Utilities — 4.1% | | | | | | | | |
| Atmos Energy Corp. | | | 14,500 | | | | 1,686,930 | |
| The accompanying notes are an integral part of these financial statements. |
| OPPORTUNITY FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COMMON STOCKS — 97.9% | | Shares | | | Value | |
| Portland General Electric Co. | | | 32,200 | | | $ | 1,507,926 | |
| Unitil Corp. | | | 35,700 | | | | 1,810,347 | |
| | | | | | | | 5,005,203 | |
| Total Common Stocks | | | | | | | | |
| (Cost $99,963,192) | | | | | | $ | 120,408,568 | |
| | | | | | | | | |
| MONEY MARKET FUNDS — 2.1% | | | | | | | | |
| First American Government Obligations Fund - Class Z, 4.97% (b) (Cost $2,581,372) | | | 2,581,372 | | | $ | 2,581,372 | |
| | | | | | | | | |
| Investments at Value — 100.0% | | | | | | | | |
| (Cost $102,544,564) | | | | | | $ | 122,989,940 | |
| | | | | | | | |
| Other Assets in Excess of Liabilities — 0.0% (c) | | | | | | | 35,782 | |
| | | | | | | | | |
| Net Assets — 100.0% | | | | | | $ | 123,025,722 | |
| (a) | Non-income producing security. |
| (b) | The rate shown is the 7-day effective yield as of June 30, 2023. |
| (c) | Percentage rounds to less than 0.1%. |
N.V.- Naamloze Vennootschap
plc - Public Limited Company
S.A. - Societe Anonyme
| The accompanying notes are an integral part of these financial statements. |
| INTERNATIONAL FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COMMON STOCKS — 97.2% | | Shares | | | Value | |
| Communications — 9.2% | | | | | | | | |
| Baidu, Inc. - ADR (a) | | | 1,800 | | �� | $ | 246,438 | |
| Deutsche Telekom AG - ADR | | | 7,100 | | | | 155,135 | |
| KDDI Corp. - ADR | | | 22,600 | | | | 349,622 | |
| Orange S.A. - ADR | | | 7,500 | | | | 87,300 | |
| PDLT, Inc. - ADR | | | 11,000 | | | | 257,070 | |
| Publicis Groupe S.A. - ADR | | | 22,100 | | | | 428,740 | |
| RTL Group S.A. - ADR | | | 15,000 | | | | 60,191 | |
| SK Telecom Co. Ltd. - ADR | | | 4,600 | | | | 89,746 | |
| Telenor A.S.A. - ADR | | | 9,600 | | | | 96,864 | |
| Tencent Holdings Ltd. - ADR | | | 8,400 | | | | 356,916 | |
| WPP plc - ADR | | | 1,800 | | | | 94,104 | |
| | | | | | | | 2,222,126 | |
| Consumer Discretionary — 10.2% | | | | | | | | |
| adidas AG - ADR | | | 600 | | | | 58,404 | |
| Alibaba Group Holding Ltd. - ADR (a) | | | 2,000 | | | | 166,700 | |
| Bridgestone Corp. - ADR | | | 8,200 | | | | 168,022 | |
| Bunzl plc - ADR | | | 7,700 | | | | 293,986 | |
| CIE Financiere Richemont S.A. - ADR | | | 22,000 | | | | 373,120 | |
| Daimler Truck Holding AG - ADR | | | 2,200 | | | | 39,798 | |
| Honda Motor Co. Ltd. - ADR | | | 5,500 | | | | 166,705 | |
| JD.com, Inc. - ADR | | | 1,700 | | | | 58,021 | |
| Kering S.A. - ADR | | | 6,000 | | | | 332,100 | |
| Magna International, Inc. | | | 6,000 | | | | 338,640 | |
| Mercedes-Benz Group AG | | | 3,600 | | | | 290,268 | |
| Toyota Motor Corp. - ADR | | | 1,100 | | | | 176,825 | |
| | | | | | | | 2,462,589 | |
| Consumer Staples — 7.9% | | | | | | | | |
| ITOCHU Corp. - ADR | | | 3,700 | | | | 293,854 | |
| L’Oreal S.A. - ADR | | | 2,800 | | | | 261,296 | |
| Nestlé S.A. - ADR | | | 2,800 | | | | 336,980 | |
| Reckitt Benckiser Group plc - ADR | | | 5,900 | | | | 89,621 | |
| Shoprite Holdings Ltd. - ADR | | | 32,100 | | | | 390,818 | |
| Unilever plc - ADR | | | 2,200 | | | | 114,686 | |
| Wal-Mart de Mexico S.A.B. de C.V.-ADR | | | 10,600 | | | | 417,746 | |
| | | | | | | | 1,905,001 | |
| Energy — 4.1% | | | | | | | | |
| BP plc - ADR | | | 4,000 | | | | 141,160 | |
| Daqo New Energy Corp. - ADR (a) | | | 3,700 | | | | 146,890 | |
| Equinor A.S.A. - ADR | | | 4,000 | | | | 116,840 | |
| Gazprom PJSC - ADR (a)(b) | | | 14,000 | | | | 140 | |
| Shell plc - ADR | | | 4,600 | | | | 277,748 | |
| TotalEnergies SE - ADR | | | 2,352 | | | | 135,569 | |
| Woodside Energy Group Ltd. - ADR | | | 7,599 | | | | 176,221 | |
| | | | | | | | 994,568 | |
| Financials — 18.2% | | | | | | | | |
| Admiral Group plc - ADR | | | 8,200 | | | | 216,644 | |
| COMMON STOCKS — 97.2% | | Shares | | | Value | |
| Allianz SE - ADR | | | 10,700 | | | $ | 248,454 | |
| Banco Bradesco S.A. - ADR | | | 21,678 | | | | 75,006 | |
| Banco Santander S.A. - ADR | | | 37,155 | | | | 137,845 | |
| Bank of Montreal | | | 1,240 | | | | 111,984 | |
| Barclays plc - ADR | | | 15,000 | | | | 117,900 | |
| BNP Paribas S.A. - ADR | | | 4,000 | | | | 126,560 | |
| China Construction Bank Corp. - ADR | | | 23,000 | | | | 296,470 | |
| Deutsche Boerse AG - ADR | | | 7,000 | | | | 129,080 | |
| Industrial & Commercial Bank of China Ltd. - ADR | | | 33,800 | | | | 359,632 | |
| KB Financial Group, Inc. - ADR | | | 2,400 | | | | 87,360 | |
| Legal & General Group plc - ADR | | | 9,900 | | | | 145,283 | |
| Manulife Financial Corp. | | | 7,720 | | | | 145,985 | |
| Mitsubishi UFJ Financial Group, Inc. - ADR | | | 40,000 | | | | 294,800 | |
| National Australia Bank Ltd. - ADR | | | 8,700 | | | | 76,343 | |
| ORIX Corp. - ADR | | | 2,450 | | | | 223,465 | |
| Royal Bank of Canada | | | 1,900 | | | | 181,469 | |
| Sumitomo Mitsui Financial Group, Inc. - ADR | | | 56,100 | | | | 482,459 | |
| Tokio Marine Holdings, Inc. - ADR | | | 18,900 | | | | 434,321 | |
| Toronto-Dominion Bank (The) | | | 2,700 | | | | 167,427 | |
| United Overseas Bank Ltd. - ADR | | | 4,100 | | | | 170,314 | |
| Zurich Insurance Group AG - ADR | | | 3,240 | | | | 153,803 | |
| | | | | | | | 4,382,604 | |
| Health Care — 9.9% | | | | | | | | |
| Alcon, Inc. | | | 3,796 | | | | 311,690 | |
| Astellas Pharma, Inc. - ADR | | | 17,600 | | | | 261,712 | |
| Bayer AG - ADR | | | 10,700 | | | | 147,874 | |
| Dr. Reddy’s Laboratories Ltd. - ADR | | | 3,340 | | | | 210,787 | |
| Novartis AG - ADR | | | 2,480 | | | | 250,257 | |
| Novo Nordisk A/S - ADR | | | 2,700 | | | | 436,941 | |
| Roche Holding AG - ADR | | | 10,500 | | | | 401,100 | |
| Sanofi - ADR | | | 2,000 | | | | 107,800 | |
| Takeda Pharmaceutical Co. Ltd. - ADR | | | 9,340 | | | | 146,731 | |
| Taro Pharmaceutical Industries Ltd. (a) | | | 3,000 | | | | 113,790 | |
| | | | | | | | 2,388,682 | |
| Industrials — 7.4% | | | | | | | | |
| ABB Ltd. - ADR | | | 2,900 | | | | 113,825 | |
| Accelleron Industries AG | | | 145 | | | | 3,466 | |
| Atlas Copco AB - ADR | | | 28,400 | | | | 409,244 | |
| BAE Systems plc - ADR | | | 3,800 | | | | 182,248 | |
| Canadian National Railway Co. | | | 1,400 | | | | 169,498 | |
| Compass Group plc - ADR | | | 6,500 | | | | 185,380 | |
| Schneider Electric SE - ADR | | | 13,200 | | | | 479,952 | |
| Sensata Technologies Holding plc | | | 2,200 | | | | 98,978 | |
| The accompanying notes are an integral part of these financial statements. |
| INTERNATIONAL FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COMMON STOCKS — 97.2% | | Shares | | | Value | |
| Siemens AG - ADR | | | 1,800 | | | $ | 150,138 | |
| | | | | | | | 1,792,729 | |
| Materials — 8.5% | | | | | | | | |
| Air Liquide S.A. - ADR | | | 5,025 | | | | 180,498 | |
| BASFSE-ADR | | | 7,400 | | | | 89,688 | |
| BHP Group Ltd. - ADR | | | 5,400 | | | | 322,218 | |
| Cemex S.A.B. de C.V. - ADR (a) | | | 30,300 | | | | 214,524 | |
| Companhia Siderurgica Nacional S.A.-ADR | | | 57,100 | | | | 147,889 | |
| Newcrest Mining Ltd. - ADR | | | 10,900 | | | | 194,565 | |
| Nitto Denko Corp. - ADR | | | 6,900 | | | | 255,783 | |
| POSCO Holdings, Inc. - ADR | | | 4,200 | | | | 310,590 | |
| Rio Tinto plc - ADR | | | 1,570 | | | | 100,229 | |
| Vale S.A. - ADR | | | 17,300 | | | | 232,166 | |
| | | | | | | | 2,048,150 | |
| Real Estate — 1.5% | | | | | | | | |
| Sun Hung Kai Properties Ltd. - ADR | | | 27,600 | | | | 348,864 | |
| | | | | | | | | |
| Technology — 16.9% | | | | | | | | |
| ASML Holding N.V. | | | 360 | | | | 260,910 | |
| Capgemini SE - ADR | | | 4,000 | | | | 152,000 | |
| CGI, Inc. (a) | | | 5,100 | | | | 537,692 | |
| Infosys Ltd. - ADR | | | 20,100 | | | | 323,007 | |
| Lenovo Group Ltd. - ADR | | | 24,800 | | | | 521,172 | |
| Open Text Corp. | | | 11,500 | | | | 477,825 | |
| PDD Holdings, Inc. - ADR (a) | | | 1,200 | | | | 82,968 | |
| RELX plc - ADR | | | 4,200 | | | | 140,406 | |
| SAPSE-ADR | | | 2,200 | | | | 300,982 | |
| Sony Group Corp. - ADR | | | 4,500 | | | | 405,180 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | | | 4,300 | | | | 433,956 | |
| United Microelectronics Corp. - ADR | | | 55,700 | | | | 439,473 | |
| | | | | | | | 4,075,571 | |
| Utilities — 3.4% | | | | | | | | |
| Enel S.p.A. - ADR | | | 33,700 | | | | 225,453 | |
| Iberdrola S.A. - ADR | | | 6,300 | | | | 329,300 | |
| National Grid plc - ADR | | | 1,629 | | | | 109,681 | |
| SSE plc - ADR | | | 6,900 | | | | 161,771 | |
| | | | | | | | 826,205 | |
| Total Common Stocks | | | | | | | | |
| (Cost $17,618,669) | | | | | | $ | 23,447,089 | |
| PREFERRED STOCKS — 0.6% | | Shares | | | Value | |
| Financials — 0.6% | | | | | | | | |
| Itau Unibanco Holding S.A. - ADR (Cost $129,573) | | | 24,800 | | | $ | 146,320 | |
| | | | | | | | | |
| MONEY MARKET FUNDS — 1.7% | | | | | | | | |
| First American Government Obligations Fund - Class Z, 4.97% (c) (Cost $414,270) | | | 414,270 | | | | 414,270 | |
| | | | | | | | | |
| Investments at Value — 99.5% | | | | | | | | |
| (Cost $18,162,512) | | | | | | $ | 24,007,679 | |
| | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.5% | | | | | | | 119,555 | |
| | | | | | | | | |
| Net Assets — 100.0% | | | | | | $ | 24,127,234 | |
| (a) | Non-income producing security. |
| (b) | This security is currently restricted from trading and is valued using Level 3 inputs as of June 30, 2023. |
| (c) | The rate shown is the 7-day effective yield as of June 30, 2023. |
A/S - Aktieselskab
AB - Aktiebolag
ADR - American Depositary Receipt
AG - Aktiengesellschaft
A.S.A. - Aksjeselskop
N.V. - Naamloze Vennootschap
PJSC - Public Joint-Stock Company
plc - Public Limited Company
S.A. - Societe Anonyme
S.A.B. de C.V. - Sociedad Anonima Bursatil de Capital Variable
SE - Societe Europaea
S.p.A. - Societa per Azioni
| The accompanying notes are an integral part of these financial statements. |
| FIXED INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 44.3% | | Coupon | | Maturity | | Par Value | | | Value | |
| Finance — 20.0% | | | | | | | | | | | | |
| Allstate Corp. (The) | | 5.250% | | 03/30/33 | | $ | 18,775,000 | | | $ | 18,714,713 | |
| American Express Co. | | 1.650% | | 11/04/26 | | | 2,870,000 | | | | 2,553,809 | |
| American Express Co. | | 2.550% | | 03/04/27 | | | 4,011,000 | | | | 3,654,948 | |
| AON Corp. | | 3.750% | | 05/02/29 | | | 7,846,000 | | | | 7,262,477 | |
| Bank of America Corp. | | 5.202% | | 04/25/29 | | | 18,650,000 | | | | 18,449,997 | |
| Essex Property Trust, Inc. | | 3.625% | | 05/01/27 | | | 2,298,000 | | | | 2,146,564 | |
| Fifth Third Bancorp | | 4.300% | | 01/16/24 | | | 13,815,000 | | | | 13,599,541 | |
| Huntington Bancshares, Inc. | | 2.625% | | 08/06/24 | | | 3,045,000 | | | | 2,913,453 | |
| Huntington Bancshares, Inc. | | 4.443% | | 08/04/28 | | | 8,500,000 | | | | 7,907,278 | |
| Huntington Bancshares, Inc. | | 2.550% | | 02/04/30 | | | 5,628,000 | | | | 4,510,881 | |
| JPMorgan Chase & Co. (SOFR + 379) (a) | | 4.493% | | 03/24/31 | | | 20,555,000 | | | | 19,744,393 | |
| KeyCorp, Series O | | 4.100% | | 04/30/28 | | | 8,300,000 | | | | 7,188,464 | |
| KeyCorp | | 2.550% | | 10/01/29 | | | 6,430,000 | | | | 4,854,058 | |
| Marsh & McLennan Cos., Inc. | | 4.375% | | 03/15/29 | | | 13,402,000 | | | | 13,022,362 | |
| Morgan Stanley, Series F | | 3.700% | | 10/23/24 | | | 4,529,000 | | | | 4,421,477 | |
| Morgan Stanley, Series F | | 4.000% | | 07/23/25 | | | 3,050,000 | | | | 2,961,669 | |
| PNC Financial Services Group, Inc. (The) | | 3.900% | | 04/29/24 | | | 5,991,000 | | | | 5,881,952 | |
| PNC Financial Services Group, Inc. (The) | | 3.450% | | 04/23/29 | | | 8,500,000 | | | | 7,675,220 | |
| Prologis, Inc. | | 3.875% | | 09/15/28 | | | 3,470,000 | | | | 3,283,734 | |
| Prologis, Inc. | | 5.125% | | 01/15/34 | | | 5,600,000 | | | | 5,557,597 | |
| Suntrust Bank, Inc. | | 4.000% | | 05/01/25 | | | 3,000,000 | | | | 2,902,707 | |
| Truist Financial Corp. | | 2.250% | | 03/11/30 | | | 14,716,000 | | | | 11,701,957 | |
| U.S. Bancorp, Series Y | | 3.000% | | 07/30/29 | | | 15,180,000 | | | | 12,865,050 | |
| U.S. Bancorp, Series BB (a) | | 4.967% | | 07/22/33 | | | 6,000,000 | | | | 5,440,332 | |
| Wells Fargo & Co., Series M | | 4.100% | | 06/03/26 | | | 9,500,000 | | | | 9,117,920 | |
| Wells Fargo & Co., Series O | | 4.300% | | 07/22/27 | | | 9,600,000 | | | | 9,215,146 | |
| | | | | | | | | | | | 207,547,699 | |
| Industrials — 13.2% | | | | | | | | | | | | |
| Becton Dickinson & Co. | | 3.700% | | 06/06/27 | | | 9,500,000 | | | | 9,030,178 | |
| Becton Dickinson & Co. | | 2.823% | | 05/20/30 | | | 1,000,000 | | | | 874,266 | |
| Cincinnati Children’s Hospital Medical Center, Series 2016Y | | 2.853% | | 11/15/26 | | | 1,085,000 | | | | 997,983 | |
| CVS Health Corp. | | 4.300% | | 03/25/28 | | | 10,898,000 | | | | 10,509,519 | |
| CVS Health Corp. | | 3.750% | | 04/01/30 | | | 4,000,000 | | | | 3,668,632 | |
| Dover Corp. | | 3.150% | | 11/15/25 | | | 2,802,000 | | | | 2,652,603 | |
| Dover Corp. | | 2.950% | | 11/04/29 | | | 8,323,000 | | | | 7,316,949 | |
| Duke Energy Corp. | | 2.450% | | 06/01/30 | | | 11,000,000 | | | | 9,237,272 | |
| Emerson Electric Co. | | 1.800% | | 10/15/27 | | | 675,000 | | | | 598,398 | |
| Enterprise Products Operating, LLC | | 4.150% | | 10/16/28 | | | 11,617,000 | | | | 11,120,071 | |
| Johnson Controls International plc | | 3.900% | | 02/14/26 | | | 5,430,000 | | | | 5,218,284 | |
| Kroger Co. (The) | | 3.500% | | 02/01/26 | | | 6,350,000 | | | | 6,092,057 | |
| Lowes Cos., Inc. | | 4.500% | | 04/15/30 | | | 15,817,000 | | | | 15,382,792 | |
| McDonald’s Corp. | | 3.600% | | 07/01/30 | | | 9,000,000 | | | | 8,373,995 | |
| Roper Technologies, Inc. | | 2.950% | | 09/15/29 | | | 10,460,000 | | | | 9,255,709 | |
| Starbucks Corp. | | 3.550% | | 08/15/29 | | | 4,450,000 | | | | 4,156,078 | |
| Starbucks Corp. | | 2.250% | | 03/12/30 | | | 2,621,000 | | | | 2,218,061 | |
| Verizon Communications, Inc. | | 4.016% | | 12/03/29 | | | 18,390,000 | | | | 17,155,203 | |
| Walt Disney Co. (The) | | 3.800% | | 03/22/30 | | | 12,400,000 | | | | 11,721,832 | |
| Xylem, Inc. | | 1.950% | | 01/30/28 | | | 1,535,000 | | | | 1,347,243 | |
| | | | | | | | | | | | 136,927,125 | |
| The accompanying notes are an integral part of these financial statements. |
| FIXED INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 44.3% | | Coupon | | Maturity | | Par Value | | | Value | |
| Utilities — 11.1% | | | | | | | | | | | | |
| Berkshire Hathaway, Inc. | | 3.700% | | 07/15/30 | | $ | 2,900,000 | | | $ | 2,661,437 | |
| Duke Energy Corp. | | 2.650% | | 09/01/26 | | | 6,000,000 | | | | 5,549,280 | |
| Eversource Energy, Series M | | 3.300% | | 01/15/28 | | | 6,440,000 | | | | 5,929,102 | |
| Eversource Energy, Series O | | 4.250% | | 04/01/29 | | | 11,229,000 | | | | 10,697,632 | |
| Eversource Energy, Series R | | 1.650% | | 08/15/30 | | | 232,000 | | | | 184,395 | |
| Florida Power & Light Co. | | 5.050% | | 04/01/28 | | | 4,730,000 | | | | 4,768,171 | |
| Florida Power & Light Co. | | 5.100% | | 04/01/33 | | | 15,945,000 | | | | 16,206,977 | |
| Georgia Power Co., Series 2019-A | | 2.200% | | 09/15/24 | | | 260,000 | | | | 248,545 | |
| Georgia Power Co., Series 2019B | | 2.650% | | 09/15/29 | | | 17,141,000 | | | | 14,820,555 | |
| Interstate Power & Light Co. | | 3.400% | | 08/15/25 | | | 1,000,000 | | | | 946,992 | |
| Interstate Power & Light Co. | | 4.100% | | 09/26/28 | | | 11,880,000 | | | | 11,240,060 | |
| Interstate Power & Light Co. | | 2.300% | | 06/01/30 | | | 4,920,000 | | | | 4,088,161 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 3.400% | | 02/07/28 | | | 335,000 | | | | 312,169 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 2.400% | | 03/15/30 | | | 15,950,000 | | | | 13,498,470 | |
| Virginia Electric & Power Co., Series B | | 2.950% | | 11/15/26 | | | 2,550,000 | | | | 2,361,239 | |
| Virginia Electric & Power Co., Series A | | 3.500% | | 03/15/27 | | | 2,845,000 | | | | 2,695,472 | |
| Xcel Energy, Inc. | | 3.300% | | 06/01/25 | | | 1,201,000 | | | | 1,150,542 | |
| Xcel Energy, Inc. | | 4.000% | | 06/15/28 | | | 12,182,000 | | | | 11,628,084 | |
| Xcel Energy, Inc. | | 3.400% | | 06/01/30 | | $ | 6,750,000 | | | $ | 6,013,879 | |
| | | | | | | | | | | | 115,001,162 | |
| Total Corporate Bonds (Cost $517,150,653) | | | | | | | | | | $ | 459,475,986 | |
| | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 19.5% | | | | | | | | | | | | |
| Federal Home Loan Mortgage Corporation — 4.5% | | | | | | | | | | | | |
| FHLMC, Series 2877, Class AL | | 5.000% | | 10/15/24 | | | 6,340 | | | | 6,300 | |
| FHLMC, Series 2985, Class GE | | 5.500% | | 06/15/25 | | | 18,538 | | | | 18,411 | |
| FHLMC, Series 4287, Class AB | | 2.000% | | 12/15/26 | | | 380,858 | | | | 359,380 | |
| FHLMC, Pool #ZA-3721 | | 3.000% | | 06/01/29 | | | 4,381,924 | | | | 4,163,801 | |
| FHLMC, Pool #C0-1005 | | 8.000% | | 06/01/30 | | | 529 | | | | 565 | |
| FHLMC, Pool #G1-8642 | | 3.500% | | 04/01/32 | | | 1,499,615 | | | | 1,440,241 | |
| FHLMC, Pool #G1-8667 | | 3.500% | | 11/01/32 | | | 755,049 | | | | 725,154 | |
| FHLMC, Pool #78-0439 (H15T1Y + 222.3) (a) | | 5.223% | | 04/01/33 | | | 14,447 | | | | 14,338 | |
| FHLMC, Pool #G0-8068 | | 5.500% | | 07/01/35 | | | 424,946 | | | | 434,686 | |
| FHLMC, Pool #G0-6616 | | 4.500% | | 12/01/35 | | | 193,091 | | | | 190,317 | |
| FHLMC, Pool #G3-0933 | | 4.000% | | 01/01/36 | | | 6,700,722 | | | | 6,519,414 | |
| FHLMC, Series 3109, Class ZN | | 5.500% | | 02/15/36 | | | 625,646 | | | | 630,851 | |
| FHLMC, Pool #G3-1087 | | 4.000% | | 07/01/38 | | | 1,132,946 | | | | 1,100,224 | |
| FHLMC, Pool #A8-9335 | | 5.000% | | 10/01/39 | | | 58,967 | | | | 59,478 | |
| FHLMC, Series 3592, Class BZ | | 5.000% | | 10/15/39 | | | 405,553 | | | | 405,454 | |
| FHLMC, Pool #SC-0047 | | 3.000% | | 01/01/40 | | | 12,804,041 | | | | 11,700,934 | |
| FHLMC, Series 3946, Class LN | | 3.500% | | 04/15/41 | | | 119,803 | | | | 114,685 | |
| FHLMC, Series 4105, Class PJ | | 3.500% | | 06/15/41 | | | 359,796 | | | | 344,467 | |
| FHLMC, Pool #2B-0350 (a) | | 4.610% | | 04/01/42 | | | 51,398 | | | | 50,582 | |
| FHLMC, Series 4180, Class ME | | 2.500% | | 10/15/42 | | | 878,372 | | | | 810,507 | |
| FHLMC, Series 4517, Class PC | | 2.500% | | 05/15/44 | | | 628,841 | | | | 583,731 | |
| FHLMC, Series 4689, Class DA | | 3.000% | | 07/15/44 | | | 297,244 | | | | 282,567 | |
| FHLMC, Series 4831, Class BA | | 3.500% | | 10/15/44 | | | 315,788 | | | | 306,903 | |
| FHLMC, Series 4567, Class LA | | 3.000% | | 08/15/45 | | | 123,106 | | | | 113,755 | |
| The accompanying notes are an integral part of these financial statements. |
| FIXED INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 19.5% | | Coupon | | Maturity | | Par Value | | | Value | |
| FHLMC, Series 4582, Class PA | | 3.000% | | 11/15/45 | | $ | 1,107,700 | | | $ | 1,015,151 | |
| FHLMC, Series 4709, Class EA | | 3.000% | | 01/15/46 | | | 374,093 | | | | 349,481 | |
| FHLMC, Series 4906, Class DE | | 2.500% | | 09/25/49 | | | 3,687,900 | | | | 3,236,907 | |
| FHLMC, Pool #SD-2170 | | 3.000% | | 07/01/51 | | | 12,896,115 | | | | 11,450,421 | |
| | | | | | | | | | | | 46,428,705 | |
| Federal National Mortgage Association — 13.6% | | | | | | | | | | | | |
| FNMA, Series 2003-79, Class NJ | | 5.000% | | 08/25/23 | | | 495 | | | | 495 | |
| FNMA, Pool #MA0384 | | 5.000% | | 04/01/30 | | | 280,398 | | | | 279,413 | |
| FNMA, Pool #AL6923 | | 3.000% | | 05/01/30 | | | 3,054,278 | | | | 2,902,139 | |
| FNMA, Pool #AS5794 | | 3.000% | | 09/01/30 | | | 913,347 | | | | 867,106 | |
| FNMA, Pool #AS6548, Series 2016 | | 2.500% | | 01/01/31 | | | 2,142,852 | | | | 1,991,361 | |
| FNMA, Pool #MA4424 | | 1.500% | | 09/01/31 | | | 22,357,589 | | | | 20,113,379 | |
| FNMA, Pool #AL9309 | | 3.500% | | 10/01/31 | | | 453,628 | | | | 435,688 | |
| FNMA, Pool #725027 | | 5.000% | | 11/01/33 | | | 137,384 | | | | 137,053 | |
| FNMA, Pool #725704 | | 6.000% | | 08/01/34 | | | 54,793 | | | | 57,019 | |
| FNMA, Pool #BM1971 | | 3.500% | | 12/01/35 | | | 1,273,118 | | | | 1,214,527 | |
| FNMA, Pool #888223 | | 5.500% | | 01/01/36 | | | 192,521 | | | | 196,704 | |
| FNMA, Pool #995112 | | 5.500% | | 07/01/36 | | | 134,636 | | | | 136,867 | |
| FNMA, Pool #MA2773 | | 3.000% | | 10/01/36 | | | 3,168,892 | | | | 2,935,950 | |
| FNMA, Pool #AL9623 | | 4.000% | | 12/01/36 | | | 1,597,719 | | | | 1,556,401 | |
| FNMA, Pool #MA3186 | | 4.000% | | 11/01/37 | | | 5,391,011 | | | | 5,216,073 | |
| FNMA, Pool #MA3337 | | 4.000% | | 04/01/38 | | | 1,548,395 | | | | 1,498,289 | |
| FNMA, Pool #AA4392 | | 4.000% | | 04/01/39 | | | 341,130 | | | | 327,597 | |
| FNMA, Pool #FM9469 | | 4.000% | | 08/01/39 | | | 3,450,761 | | | | 3,340,830 | |
| FNMA, Pool #CB0114 | | 2.500% | | 04/01/41 | | | 7,375,537 | | | | 6,490,635 | |
| FNMA, Series 2013-6, Class BC | | 1.500% | | 12/25/42 | | | 189,122 | | | | 179,022 | |
| FNMA, Series 2015-72, Class GB | | 2.500% | | 12/25/42 | | | 1,116,063 | | | | 1,043,448 | |
| FNMA, Series 2013-75, Class EG | | 3.000% | | 02/25/43 | | | 252,971 | | | | 234,458 | |
| FNMA, Series 2014-28, Class PA | | 3.500% | | 02/25/43 | | | 104,942 | | | | 100,355 | |
| FNMA, Pool #AU7025 | | 3.000% | | 11/01/43 | | | 9,995,713 | | | | 9,035,654 | |
| FNMA, Series 2014-4, Class PC | | 3.000% | | 02/25/44 | | | 978,603 | | | | 924,298 | |
| FNMA, Series 2016-79, Class L | | 2.500% | | 10/25/44 | | | 515,115 | | | | 473,724 | |
| FNMA, Series 2016-39, Class LA | | 2.500% | | 03/25/45 | | | 507,461 | | | | 463,418 | |
| FNMA, Series 2016-64, Class PG | | 3.000% | | 05/25/45 | | | 2,059,021 | | | | 1,909,579 | |
| FNMA, Series 2016-40, Class PA | | 3.000% | | 07/25/45 | | | 106,267 | | | | 98,417 | |
| FNMA, Series 4768, Class GA | | 3.500% | | 09/15/45 | | | 2,122,029 | | | | 2,029,150 | |
| FNMA, Series 2016-49, Class PA | | 3.000% | | 09/25/45 | | | 857,169 | | | | 788,898 | |
| FNMA, Series 2016-02, Class PB | | 2.000% | | 02/25/46 | | | 218,408 | | | | 197,701 | |
| FNMA, Series 2018-67, Class BA | | 4.500% | | 03/25/46 | | | 1,554,468 | | | | 1,530,488 | |
| FNMA, Series 2018-25, Class P | | 3.500% | | 03/25/46 | | | 2,255,263 | | | | 2,138,801 | |
| FNMA, Pool #BM5003 | | 4.000% | | 03/01/47 | | | 1,242,953 | | | | 1,194,598 | |
| FNMA, Series 2022-25, Class KA | | 4.000% | | 09/25/48 | | | 9,241,755 | | | | 8,848,388 | |
| FNMA, Series 2020-95, Class GA | | 1.000% | | 01/25/51 | | | 2,527,891 | | | | 1,912,253 | |
| FNMA, Pool #FM9631 | | 3.000% | | 11/01/51 | | | 2,924,631 | | | | 2,599,324 | |
| FNMA, Pool #FS3678 | | 3.000% | | 12/01/51 | | | 13,610,021 | | | | 12,127,223 | |
| FNMA, Pool #CB3051 | | 3.000% | | 03/01/52 | | | 7,576,871 | | | | 6,748,197 | |
| FNMA, Pool #FS4520 | | 3.000% | | 04/01/52 | | | 28,470,306 | | | | 25,341,304 | |
| FNMA, Pool #FS4608 | | 3.000% | | 05/01/52 | | | 4,708,447 | | | | 4,197,684 | |
| FNMA, Pool #FS2724 | | 3.000% | | 07/01/52 | | | 8,349,846 | | | | 7,408,151 | |
| | | | | | | | | | | | 141,222,059 | |
| The accompanying notes are an integral part of these financial statements. |
| FIXED INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 19.5% | | Coupon | | Maturity | | Par Value | | | Value | |
| Government National Mortgage Association — 1.4% | | | | | | | | | | | | |
| GNMA, Pool #004847M | | 4.000% | | 11/01/25 | | $ | 40,119 | | | $ | 39,225 | |
| GNMA, Pool #780400X | | 7.000% | | 12/01/25 | | | 396 | | | | 398 | |
| GNMA, Pool #780420X | | 7.500% | | 08/01/26 | | | 308 | | | | 312 | |
| GNMA, Pool #002658M | | 6.500% | | 10/01/28 | | | 5,481 | | | | 5,656 | |
| GNMA, Pool #002945M | | 7.500% | | 07/01/30 | | | 424 | | | | 439 | |
| GNMA, Pool #004187M | | 5.500% | | 07/01/38 | | | 7,314 | | | | 7,516 | |
| GNMA, Series 2021-175, Class DG | | 2.000% | | 10/20/51 | | | 16,597,760 | | | | 13,871,130 | |
| | | | | | | | | | | | 13,924,676 | |
| Total Collateralized Mortgage Obligations (Cost $215,613,185) | | | | | | | | | | $ | 201,575,440 | |
| | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCIES — 2.6% | | | | | | | | | | | | |
| Federal National Mortgage Association — 2.1% | | | | | | | | | | | | |
| FNMA | | 3.320% | | 04/01/28 | | $ | 6,000,000 | | | $ | 5,662,230 | |
| FNMA | | 3.740% | | 07/01/28 | | | 6,438,000 | | | | 6,171,331 | |
| FNMA | | 3.650% | | 01/01/29 | | | 5,000,000 | | | | 4,766,975 | |
| FNMA | | 3.150% | | 06/01/29 | | | 5,000,000 | | | | 4,627,730 | |
| | | | | | | | | | | | 21,228,266 | |
| Federal Home Loan Bank — 0.5% | | | | | | | | | | | | |
| FHLB | | 4.750% | | 12/10/32 | | | 5,385,000 | | | | 5,483,815 | |
| | | | | | | | | | | | | |
| Total U.S. Government & Agencies (Cost $28,263,975) | | | | | | | | | | $ | 26,712,081 | |
| | | | | | | | | | | | | |
| MUNICIPAL BONDS — 2.7% | | | | | | | | | | | | |
| Higher Education — 0.9% | | | | | | | | | | | | |
| Pennsylvania State University, Series 2020 D | | 1.893% | | 09/01/26 | | $ | 4,635,000 | | | $ | 4,218,721 | |
| University of Cincinnati Ohio General Receipts Revenue, Series 2019 B | | 2.162% | | 06/01/25 | | | 2,185,000 | | | | 2,061,714 | |
| University of Washington Revenue, Series 2009B | | 5.400% | | 06/01/36 | | | 3,000,000 | | | | 3,124,800 | |
| | | | | | | | | | | | 9,405,235 | |
| Hospital/Health Bonds — 0.4% | | | | | | | | | | | | |
| Hamilton County Ohio Health Care FACS Revenue, Series 2019 | | 3.374% | | 06/01/34 | | | 5,000,000 | | | | 4,245,370 | |
| | | | | | | | | | | | | |
| Other Revenue — 1.4% | | | | | | | | | | | | |
| Kansas Development Finance Authority Revenue, Series 2015 H | | 3.941% | | 04/15/26 | | | 8,000,000 | | | | 7,700,423 | |
| Texas Natural Gas Securitization Finance Corp. Revenue, Series 2023 A-1 | | 5.102% | | 04/01/35 | | | 6,000,000 | | | | 6,022,266 | |
| | | | | | | | | | | | 13,722,689 | |
| State Agency — 0.0% (b) | | | | | | | | | | | | |
| Kentucky Property and Buildings Commission Revenue, Series 2009C | | 6.164% | | 08/01/23 | | | 273,000 | | | | 273,025 | |
| | | | | | | | | | | | | |
| Total Municipal Bonds (Cost $29,177,254) | | | | | | | | | | $ | 27,646,319 | |
| | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS — 29.8% | | | | | | | | | | | | |
| U.S. Treasury Bonds — 13.1% | | | | | | | | | | | | |
| U.S. Treasury Bonds | | 2.375% | | 02/15/42 | | $ | 49,000,000 | | | $ | 38,158,749 | |
| U.S. Treasury Bonds | | 2.500% | | 02/15/45 | | | 45,500,000 | | | | 35,219,867 | |
| U.S. Treasury Bonds | | 2.500% | | 05/15/46 | | | 23,500,000 | | | | 18,069,291 | |
| U.S. Treasury Bonds | | 2.750% | | 08/15/47 | | | 32,000,000 | | | | 25,740,000 | |
| The accompanying notes are an integral part of these financial statements. |
| FIXED INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| U.S. TREASURY OBLIGATIONS — 29.8% | | Coupon | | Maturity | | Par Value | | | Value | |
| U.S. Treasury Bonds | | 2.000% | | 02/15/50 | | $ | 26,625,000 | | | $ | 18,254,766 | |
| | | | | | | | | | | | 135,442,673 | |
| U.S. Treasury Notes — 16.7% | | | | | | | | | | | | |
| U.S. Treasury Notes | | 1.375% | | 11/15/31 | | | 15,500,000 | | | | 12,780,231 | |
| U.S. Treasury Notes | | 2.875% | | 05/15/32 | | | 63,000,000 | | | | 58,422,672 | |
| U.S. Treasury Notes | | 4.125% | | 11/15/32 | | | 49,000,000 | | | | 50,079,470 | |
| U.S. Treasury Notes | | 3.500% | | 02/15/33 | | | 53,600,000 | | | | 52,218,138 | |
| | | | | | | | | | | | 173,500,511 | |
| Total U.S. Treasury Obligations (Cost $335,043,235) | | | | | | | | | | $ | 308,943,184 | |
| | | | | | | | | | | | | |
| PREFERRED STOCKS — 0.6% | | | | | | Shares | | | Value | |
| Financials — 0.6% | | | | | | | | | | | | |
| Allstate Corp. (The), 5.10%, 01/15/2053 (Cost $6,491,218) | | | | | | | 264,996 | | | $ | 6,643,450 | |
| | | | | | | | | | | | �� | |
| MONEY MARKET FUNDS — 0.4% | | | | | | | | | | | | |
| First American Government Obligations Fund - Class Z, 4.97% (c) (Cost $3,880,606) | | | | | | | 3,880,606 | | | $ | 3,880,606 | |
| | | | | | | | | | | | | |
| Investments at Value — 99.9% (Cost $1,135,620,126) | | | | | | | | | | $ | 1,034,877,066 | |
| | | | | | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.1% | | | | | | | | | | | 1,400,806 | |
| | | | | | | | | | | | | |
| Net Assets — 100.0% | | | | | | | | | | $ | 1,036,277,872 | |
| | | | | | | | | | | | | |
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread. |
| (b) | Percentage rounds to less than 0.1%. |
| (c) | The rate shown is the 7-day effective yield as of June 30, 2023. |
H15T1Y - U.S. Treasury yield curve rate for U.S. Treasury note with a constant maturity of 1 year.
plc - Public Limited Company
SOFR - Secured Overnight Financing Rate.
| The accompanying notes are an integral part of these financial statements. |
| MUNICIPAL INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MUNICIPAL BONDS — 98.8% | | Coupon | | Maturity | | Par Value | | | Value | |
| General Obligation - City — 7.8% | | | | | | | | | | | | |
| Cincinnati Ohio GO Unlimited, Series 2017-A | | 4.000% | | 12/01/30 | | $ | 685,000 | | | $ | 713,763 | |
| Cincinnati Ohio GO Unlimited, Series 2017-A | | 4.000% | | 12/01/32 | | | 1,000,000 | | | | 1,040,510 | |
| Columbus Ohio GO Unlimited, Series 2015-A | | 3.000% | | 07/01/27 | | | 2,565,000 | | | | 2,563,286 | |
| Columbus Ohio GO Unlimited, Series 2017-A | | 4.000% | | 04/01/31 | | | 1,000,000 | | | | 1,031,540 | |
| Columbus Ohio GO Unlimited, Series 2018-A | | 5.000% | | 04/01/32 | | | 600,000 | | | | 670,416 | |
| Columbus Ohio GO Unlimited, Series 2022-A | | 5.000% | | 04/01/38 | | | 750,000 | | | | 854,393 | |
| Columbus Ohio GO Unlimited, Series 2022-A | | 5.000% | | 04/01/41 | | | 3,120,000 | | | | 3,512,152 | |
| Copley Township Ohio Safety Facilities Improvement, Series 2023 | | 4.000% | | 12/01/36 | | | 775,000 | | | | 792,879 | |
| Copley Township Ohio Safety Facilities Improvement, Series 2023 | | 4.000% | | 12/01/37 | | | 810,000 | | | | 823,689 | |
| Dublin Ohio CSD GO Unlimited, Series 2019-A | | 4.000% | | 12/01/34 | | | 500,000 | | | | 522,420 | |
| Dublin Ohio GO Limited, Series 2015 | | 4.000% | | 12/01/28 | | | 500,000 | | | | 515,550 | |
| Lakewood Ohio GO Limited, Series A | | 4.000% | | 12/01/28 | | | 840,000 | | | | 869,652 | |
| Lakewood Ohio GO Limited, Series A | | 4.000% | | 12/01/29 | | | 300,000 | | | | 310,494 | |
| Reynoldsburg Ohio GO Limited, Series 2018 | | 4.000% | | 12/01/30 | | | 1,000,000 | | | | 1,046,380 | |
| Reynoldsburg Ohio GO Limited, Series 2018 | | 4.000% | | 12/01/31 | | | 595,000 | | | | 622,049 | |
| Strongsville Ohio GO Limited, Series 2016 | | 4.000% | | 12/01/30 | | | 350,000 | | | | 355,611 | |
| | | | | | | | | | | | 16,244,784 | |
| General Obligation - County — 2.3% | | | | | | | | | | | | |
| Butler County Ohio GO Unlimited | | 5.250% | | 12/01/26 | | | 1,000,000 | | | | 1,042,250 | |
| Hamilton Ohio Sewer System Revenue, Series 2019-A | | 5.000% | | 12/01/30 | | | 1,000,000 | | | | 1,134,019 | |
| Lorain County Ohio GO Unlimited, Series 2017 | | 4.000% | | 12/01/30 | | | 450,000 | | | | 456,773 | |
| Lucas County Ohio GO Limited, Series 2017 | | 4.000% | | 10/01/28 | | | 1,000,000 | | | | 1,025,750 | |
| Lucas County Ohio GO Limited, Series 2018 | | 4.000% | | 10/01/29 | | | 605,000 | | | | 620,591 | |
| Summit County Ohio GO Limited, Series 2016 | | 4.000% | | 12/01/31 | | | 500,000 | | | | 507,565 | |
| | | | | | | | | | | | 4,786,948 | |
| General Obligation - State — 1.5% | | | | | | | | | | | | |
| Pennsylvania GO Unlimited, Series 2018 | | 4.000% | | 03/01/37 | | | 1,000,000 | | | | 1,023,650 | |
| Washington GO Unlimited, Series 2022-A | | 5.000% | | 08/01/44 | | | 2,000,000 | | | | 2,187,560 | |
| | | | | | | | | | | | 3,211,210 | |
| Higher Education — 23.2% | | | | | | | | | | | | |
| Bowling Green State University Ohio Revenue, Series 2017-B | | 5.000% | | 06/01/30 | | | 750,000 | | | | 802,020 | |
| Bowling Green State University Ohio Revenue, Series 2017-B | | 5.000% | | 06/01/31 | | | 500,000 | | | | 534,650 | |
| Bowling Green State University Ohio Revenue, Series 2017-B | | 5.000% | | 06/01/32 | | | 500,000 | | | | 534,450 | |
| Bowling Green State University Ohio Revenue, Series 2020-A | | 5.000% | | 06/01/37 | | | 1,000,000 | | | | 1,085,000 | |
| Bowling Green State University Ohio Revenue, Series 2020-A | | 4.000% | | 06/01/45 | | | 2,830,000 | | | | 2,669,549 | |
| Cuyahoga County Ohio Community College GO Unlimited, Series 2018 | | 4.000% | | 12/01/33 | | | 1,275,000 | | | | 1,312,268 | |
| Indiana Financial Authorities Educational Facilities Revenue, Series 2021 | | 4.000% | | 02/01/29 | | | 940,000 | | | | 967,429 | |
| Indiana Financial Authorities Educational Facilities Revenue, Series 2021 | | 5.000% | | 02/01/32 | | | 1,065,000 | | | | 1,185,760 | |
| Kent State University Ohio Revenue, Series 2019 | | 5.000% | | 05/01/31 | | | 1,000,000 | | | | 1,149,850 | |
| Kent State University Ohio Revenue, Series 2022 | | 5.000% | | 05/01/35 | | | 2,000,000 | | | | 2,281,179 | |
| Kent State University Ohio Revenue, Series 2020-A | | 5.000% | | 05/01/45 | | | 950,000 | | | | 1,008,805 | |
| Miami University Ohio General Receipts Revenue, Series 2017 | | 5.000% | | 09/01/31 | | | 735,000 | | | | 784,679 | |
| Miami University Ohio General Receipts Revenue, Series 2020-A | | 4.000% | | 09/01/36 | | | 1,000,000 | | | | 1,023,550 | |
| Miami University Ohio General Receipts Revenue, Series 2020-A | | 4.000% | | 09/01/45 | | | 3,110,000 | | | | 3,024,269 | |
| Ohio Higher Education Facilities Revenue - Oberlin College, Series A | | 5.250% | | 10/01/53 | | | 1,000,000 | | | | 1,111,430 | |
| Ohio Higher Education Facilities Revenue, Series 2018-A | | 5.000% | | 10/01/32 | | | 1,545,000 | | | | 1,714,069 | |
| Ohio Higher Education Facilities Revenue - Case Western Reserve University, Series 2021-A | | 4.000% | | 12/01/44 | | | 1,250,000 | | | | 1,229,596 | |
| Ohio Higher Education Facilities Revenue - Denison University | | 5.000% | | 11/01/30 | | | 400,000 | | | | 448,580 | |
| Ohio Higher Education Facilities Revenue - Denison University | | 5.000% | | 11/01/33 | | | 325,000 | | | | 362,430 | |
| The accompanying notes are an integral part of these financial statements. |
| MUNICIPAL INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MUNICIPAL BONDS — 98.8% | | Coupon | | Maturity | | Par Value | | | Value | |
| Ohio Higher Education Facilities Revenue - Denison University, Series 2017-A | | 5.000% | | 11/01/42 | | $ | 1,700,000 | | | $ | 1,774,341 | |
| Ohio Higher Education Facilities Revenue - University of Dayton, Series 2018-B | | 4.000% | | 12/01/33 | | | 620,000 | | | | 635,128 | |
| Ohio Higher Education Facilities Revenue - University of Dayton, Series 2018-A | | 5.000% | | 02/01/35 | | | 1,350,000 | | | | 1,483,245 | |
| Ohio Higher Education Facilities Revenue - University of Dayton | | 4.000% | | 02/01/36 | | | 1,050,000 | | | | 1,064,711 | |
| Ohio Higher Education Facilities Revenue - University of Dayton, Series 2018-A | | 5.000% | | 12/01/36 | | | 2,010,000 | | | | 2,137,937 | |
| Ohio Higher Education Facilities Revenue - University of Dayton, Series 2018-B | | 5.000% | | 12/01/36 | | | 470,000 | | | | 499,916 | |
| Ohio Higher Education Facilities Revenue - Xavier University, Series 2020 | | 5.000% | | 05/01/29 | | | 540,000 | | | | 585,436 | |
| Ohio Higher Education Facilities Revenue - Xavier University, Series 2020 | | 5.000% | | 05/01/30 | | | 570,000 | | | | 625,307 | |
| Ohio Higher Education Facilities Revenue - Xavier University, Series 2020 | | 5.000% | | 05/01/32 | | | 630,000 | | | | 692,414 | |
| Ohio Higher Education Facilities Revenue - Xavier University, Series 2015-C | | 5.000% | | 05/01/32 | | | 1,000,000 | | | | 1,025,490 | |
| Ohio Higher Education Facilities Revenue - Xavier University | | 4.500% | | 05/01/36 | | | 1,000,000 | | | | 1,016,820 | |
| Ohio Higher Education Facilities Revenue - Xavier University, Series 2020 | | 4.000% | | 05/01/38 | | | 600,000 | | | | 583,353 | |
| University of Akron Ohio General Receipts Revenue, Series 2019-A | | 4.000% | | 01/01/27 | | | 2,050,000 | | | | 2,101,045 | |
| University of Akron Ohio General Receipts Revenue, Series 2016-A | | 5.000% | | 01/01/27 | | | 350,000 | | | | 367,224 | |
| University of Akron Ohio General Receipts Revenue, Series 2015-A | | 5.000% | | 01/01/28 | | | 410,000 | | | | 419,565 | |
| University of Akron Ohio General Receipts Revenue, Series 2016-A | | 5.000% | | 01/01/29 | | | 435,000 | | | | 457,137 | |
| University of Akron Ohio General Receipts Revenue, Series 2014-A | | 5.000% | | 01/01/29 | | | 650,000 | | | | 654,966 | |
| University of Akron Ohio General Receipts Revenue, Series 2015-A | | 5.000% | | 01/01/30 | | | 720,000 | | | | 738,029 | |
| University of Akron Ohio General Receipts Revenue, Series 2016-A | | 5.000% | | 01/01/33 | | | 1,000,000 | | | | 1,051,370 | |
| University of Akron Ohio General Receipts Revenue, Series 2018-A | | 5.000% | | 01/01/34 | | | 400,000 | | | | 432,352 | |
| University of Cincinnati General Receipts Revenue, Series 2014-B | | 4.000% | | 06/01/36 | | | 250,000 | | | | 251,135 | |
| University of Cincinnati General Receipts Revenue, Series 2019-A | | 5.000% | | 06/01/36 | | | 1,250,000 | | | | 1,375,638 | |
| University of Cincinnati General Receipts Revenue, Series C | | 5.000% | | 06/01/39 | | | 1,250,000 | | | | 1,285,225 | |
| University of North Dakota Certificate of Participation, Series 2021-A | | 4.000% | | 06/01/37 | | | 555,000 | | | | 561,566 | |
| University of Toledo Revenue, Series B | | 5.000% | | 06/01/27 | | | 1,590,000 | | | | 1,691,951 | |
| University of Toledo Revenue, Series B | | 5.000% | | 06/01/31 | | | 500,000 | | | | 562,010 | |
| University of Toledo Revenue, Series 2017-A | | 5.000% | | 06/01/34 | | | 1,000,000 | | | | 1,063,330 | |
| | | | | | | | | | | | 48,366,204 | |
| Hospital/Health Bonds — 8.1% | | | | | | | | | | | | |
| Butler County Ohio Cincinnati Childrens Hospital Medical Center Revenue, Series 2016-X | | 5.000% | | 05/15/30 | | | 1,005,000 | | | | 1,118,264 | |
| Franklin County Ohio Hospital Revenue Nationwide Childrens, Series 2016-C | | 5.000% | | 11/01/32 | | | 500,000 | | | | 537,505 | |
| Franklin County Ohio Hospital Revenue Nationwide Childrens, Series 2016-C | | 4.000% | | 11/01/36 | | | 800,000 | | | | 804,344 | |
| Franklin County Ohio Hospital Revenue Nationwide Childrens, Series 2016-C | | 4.000% | | 11/01/40 | | | 1,340,000 | | | | 1,318,208 | |
| Franklin County Ohio Hospital Revenue Nationwide Childrens, Series 2019-A | | 5.000% | | 11/01/48 | | | 3,100,000 | | | | 3,429,622 | |
| Hamilton County Ohio Hospital Facilities Revenue Cincinnati Children’s, Series 2019-CC | | 5.000% | | 11/15/41 | | | 2,410,000 | | | | 2,723,903 | |
| The accompanying notes are an integral part of these financial statements. |
| MUNICIPAL INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MUNICIPAL BONDS — 98.8% | | Coupon | | Maturity | | Par Value | | | Value | |
| Hamilton County Ohio Hospital Facilities Revenue Cincinnati Children’s Hospital, Series 2019-CC | | 5.000% | | 11/15/49 | | $ | 1,300,000 | | | $ | 1,451,502 | |
| Ohio Hospital Facility Revenue Refunding Cleveland Clinic Health, Series 2017-A | | 5.000% | | 01/01/31 | | | 1,000,000 | | | | 1,086,480 | |
| Ohio Hospital Facility Revenue Refunding Cleveland Clinic Health, Series 2017-A | | 4.000% | | 01/01/36 | | | 3,100,000 | | | | 3,164,263 | |
| Ohio Hospital Facility Revenue Refunding Cleveland Clinic Health, Series 2019-B | | 4.000% | | 01/01/42 | | | 1,320,000 | | | | 1,318,462 | |
| | | | | | | | | | | | 16,952,553 | |
| Housing — 7.8% | | | | | | | | | | | | |
| Colorado State Certificate of Participation, Series 2020-A | | 4.000% | | 12/15/34 | | | 1,000,000 | | | | 1,045,940 | |
| Colorado State Certificate of Participation, Series 2020-A | | 4.000% | | 12/15/39 | | | 2,000,000 | | | | 2,019,740 | |
| FHLMC, Series M-053 | | 2.550% | | 06/15/35 | | | 3,773,560 | | | | 3,018,029 | |
| FHLMC Multifamily ML Certificates (Freddie Mac Guaranty Agreement), Series A-US | | 3.400% | | 01/25/36 | | | 1,869,307 | | | | 1,711,850 | |
| Kentucky Certificates of Participation, Series 2018-A | | 4.000% | | 04/15/28 | | | 695,000 | | | | 722,466 | |
| Kentucky Certificates of Participation, Series A | | 4.000% | | 04/15/31 | | | 500,000 | | | | 514,655 | |
| Kentucky Property and Buildings Commission Revenue, Series A | | 5.000% | | 05/01/34 | | | 2,340,000 | | | | 2,653,655 | |
| Missouri State Housing Development Commission Single Family Mortgage Revenue, Series 2019 SER C | | 3.875% | | 05/01/50 | | | 1,290,000 | | | | 1,276,659 | |
| Missouri State Housing Development Commission Single Family Mortgage Revenue, Series 2020-C | | 3.500% | | 11/01/50 | | | 2,075,000 | | | | 2,024,150 | |
| Missouri State Housing Development Commission Single Family Mortgage Revenue, Series 2020-A | | 3.500% | | 11/01/50 | | | 700,000 | | | | 685,236 | |
| Ohio Housing Finance Agency Residential Mortgage Revenue, Series 2017-A | | 3.700% | | 03/01/32 | | | 520,000 | | | | 503,351 | |
| | | | | | | | | | | | 16,175,731 | |
| Other Revenue — 6.8% | | | | | | | | | | | | |
| Akron Ohio Certificate of Participation, Series 2018 | | 5.000% | | 12/01/25 | | | 500,000 | | | | 518,050 | |
| Akron Ohio Income Tax Revenue, Series 2019 | | 4.000% | | 12/01/31 | | | 870,000 | | | | 901,616 | |
| Cincinnati Ohio Economic Development Revenue (Baldwin 300 Project), Series D | | 4.750% | | 11/01/30 | | | 500,000 | | | | 526,130 | |
| Cincinnati Ohio Economic Development Revenue (Baldwin 300 Project), Series D | | 5.000% | | 11/01/32 | | | 525,000 | | | | 555,608 | |
| Hamilton County Ohio Economic Development King Highland Community Urban Redevelopment Corp. Revenue, Series 2015 | | 5.000% | | 06/01/30 | | | 655,000 | | | | 675,318 | |
| Mobile Alabama Industrial Development Board Pollution Control Revenue, Series 2008-B | | 2.900% | | 07/15/34 | | | 1,025,000 | | | | 1,020,104 | |
| Monroe County Georgia Development Authority Pollution Control Revenue, Series 2009 | | 1.000% | | 07/01/49 | | | 1,000,000 | | | | 918,256 | |
| Ohio Special Obligation Revenue, Series 2016-C | | 5.000% | | 12/01/29 | | | 510,000 | | | | 546,990 | |
| Ohio Special Obligation Revenue, Series 2018-A | | 5.000% | | 10/01/31 | | | 1,945,000 | | | | 2,159,320 | |
| Ohio Special Obligation Revenue, Series 2020-B | | 5.000% | | 04/01/39 | | | 1,000,000 | | | | 1,091,090 | |
| Ohio Turnpike Revenue, Series 2021-A | | 5.000% | | 02/15/46 | | | 1,990,000 | | | | 2,174,732 | |
| Riversouth Ohio Authority Revenue, Series 2016 | | 4.000% | | 12/01/31 | | | 700,000 | | | | 718,424 | |
| St. Xavier High School, Inc. Ohio Revenue, Series 2020-A | | 4.000% | | 04/01/36 | | | 400,000 | | | | 398,220 | |
| St. Xavier High School, Inc. Ohio Revenue, Series 2020-A | | 4.000% | | 04/01/37 | | | 575,000 | | | | 562,307 | |
| St. Xavier High School, Inc. Ohio Revenue, Series 2020-A | | 4.000% | | 04/01/38 | | | 400,000 | | | | 385,634 | |
| St. Xavier High School, Inc. Ohio Revenue, Series 2020-A | | 4.000% | | 04/01/39 | | | 400,000 | | | | 382,076 | |
| Summit County Ohio Development Finance Authority, Series 2018 | | 4.000% | | 12/01/27 | | | 220,000 | | | | 223,509 | |
| The accompanying notes are an integral part of these financial statements. |
| MUNICIPAL INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MUNICIPAL BONDS — 98.8% | | Coupon | | Maturity | | Par Value | | | Value | |
| Summit County Ohio Development Finance Authority, Series 2018 | | 4.000% | | 12/01/28 | | $ | 435,000 | | | $ | 441,234 | |
| | | | | | | | | | | | 14,198,618 | |
| Revenue Bonds - Facility — 2.3% | | | | | | | | | | | | |
| Franklin County Convention Facilities Authority, Series 2019 | | 5.000% | | 12/01/28 | | | 450,000 | | | | 490,019 | |
| Franklin County Convention Facilities Authority, Series 2019 | | 5.000% | | 12/01/29 | | | 375,000 | | | | 413,948 | |
| Franklin County Convention Facilities Authority, Series 2019 | | 5.000% | | 12/01/30 | | | 600,000 | | | | 663,851 | |
| Franklin County Convention Facilities Authority, Series 2019 | | 5.000% | | 12/01/32 | | | 505,000 | | | | 558,813 | |
| Ohio Parks and Recreation Capital Facilities Revenue, Series 2015-A | | 5.000% | | 02/01/30 | | | 500,000 | | | | 515,090 | |
| Ohio Parks and Recreation Capital Facilities Revenue, Series 2020-A | | 5.000% | | 12/01/31 | | | 710,000 | | | | 830,423 | |
| Ohio Parks and Recreation Capital Facilities Revenue, Series 2018-A | | 5.000% | | 12/01/35 | | | 1,160,000 | | | | 1,269,782 | |
| | | | | | | | | | | | 4,741,926 | |
| Revenue Bonds - Water & Sewer — 8.8% | | | | | | | | | | | | |
| Cincinnati Ohio Water System Revenue, Series C | | 4.000% | | 12/01/30 | | | 1,000,000 | | | | 1,039,840 | |
| Cleveland Ohio Water Revenue, Series 2020-FF | | 5.000% | | 01/01/33 | | | 500,000 | | | | 567,290 | |
| Ohio State Water Development Authority Revenue, Series 2020-A | | 5.000% | | 12/01/39 | | | 1,165,000 | | | | 1,291,670 | |
| Ohio State Water Development Authority Revenue, Series 2021 | | 5.000% | | 06/01/46 | | | 4,215,000 | | | | 4,634,602 | |
| Ohio State Water Development Authority Revenue, Series 2021-A | | 4.000% | | 12/01/46 | | | 3,880,000 | | | | 3,894,822 | |
| Ohio Water Development Authority Revenue, Series 2006-A | | 5.250% | | 12/01/34 | | | 2,000,000 | | | | 2,396,140 | |
| Ohio Water Development Authority Revenue Pollution Control, Series 2017-A | | 5.000% | | 12/01/31 | | | 1,130,000 | | | | 1,225,587 | |
| Ohio Water Development Authority Revenue Pollution Control, Series 2020-B | | 5.000% | | 06/01/33 | | | 615,000 | | | | 711,309 | |
| Ohio Water Development Authority Revenue Pollution Control, Series 2021-A | | 5.000% | | 12/01/40 | | | 1,000,000 | | | | 1,125,030 | |
| St. Charles County Missouri Public Water Supply Dist. 2 Certificates of Participation, Series 2016-C | | 4.000% | | 12/01/31 | | | 400,000 | | | | 410,500 | |
| Wise County Virginia Soil & Wastewater, Series 2010-A | | 1.200% | | 11/01/40 | | | 1,000,000 | | | | 969,511 | |
| | | | | | | | | | | | 18,266,301 | |
| School District — 23.6% | | | | | | | | | | | | |
| Arcanum-Butler Ohio LSD GO, Series 2016 | | 4.000% | | 12/01/29 | | | 675,000 | | | | 684,653 | |
| Arcanum-Butler Ohio LSD GO, Series 2016 | | 4.000% | | 12/01/30 | | | 650,000 | | | | 659,302 | |
| Ashland Ohio CSD GO Unlimited, Series 2021 | | 4.000% | | 11/01/28 | | | 505,000 | | | | 535,012 | |
| Athens City School District, Series 2019-A | | 4.000% | | 12/01/33 | | | 750,000 | | | | 783,428 | |
| Baytown Texas Certificates Obligation, Series 2022 | | 4.250% | | 02/01/40 | | | 1,045,000 | | | | 1,072,578 | |
| Bellbrook-Sugarcreek Ohio LSD GO Unlimited, Series 2016 | | 4.000% | | 12/01/31 | | | 325,000 | | | | 333,561 | |
| Bellefontaine Ohio SCD GO Unlimited (National RE Insured), Series 2005 | | 5.500% | | 12/01/26 | | | 615,000 | | | | 646,181 | |
| Berea Ohio CSD GO Unlimited, Series 2017 | | 4.000% | | 12/01/31 | | | 500,000 | | | | 513,985 | |
| Bexar Texas Refunding Limited, Series 2019 | | 4.000% | | 06/15/37 | | | 1,360,000 | | | | 1,388,723 | |
| Big Walnut Ohio LSD GO Unlimited, Series 2019 | | 4.000% | | 12/01/33 | | | 500,000 | | | | 520,520 | |
| Bloom Carroll Ohio LSD GO Unlimited (SDCP), Series 2018-A | | 4.000% | | 11/01/29 | | | 325,000 | | | | 342,700 | |
| Brecksville Ohio GO Limited, Series 2022 | | 4.000% | | 12/01/51 | | | 1,885,000 | | | | 1,819,669 | |
| Bullit Kentucky School District Finance Corp., Series 2023-A | | 4.000% | | 03/01/37 | | | 1,255,000 | | | | 1,261,313 | |
| Chillicothe Ohio SD GO Unlimited (AGM Insured), Series 2016 | | 4.000% | | 12/01/29 | | | 400,000 | | | | 405,816 | |
| Cleveland Heights and University Heights Ohio CSD GO Unlimited, Series 2017 | | 4.000% | | 12/01/32 | | | 1,000,000 | | | | 1,035,710 | |
| Colorado State Building Excellent Schools Today Certificate of Participation, Series 2018-L | | 4.000% | | 03/15/30 | | | 1,000,000 | | | | 1,043,640 | |
| Columbus Ohio CSD GO Unlimited, Series 2017 | | 5.000% | | 12/01/27 | | | 500,000 | | | | 538,960 | |
| Columbus Ohio CSD GO Unlimited, Series 2016-B | | 4.000% | | 12/01/29 | | | 400,000 | | | | 412,464 | |
| Daviess County Kentucky SD GO Unlimited, Series 2020 | | 5.000% | | 06/01/27 | | | 1,825,000 | | | | 1,946,617 | |
| The accompanying notes are an integral part of these financial statements. |
| MUNICIPAL INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MUNICIPAL BONDS — 98.8% | | Coupon | | Maturity | | Par Value | | | Value | |
| Dexter Michigan CSD GO Unlimited, Series 2017 | | 4.000% | | 05/01/31 | | $ | 670,000 | | | $ | 693,537 | |
| Elyria Ohio SCD GO Unlimited (SDCP), Series A | | 4.000% | | 12/01/30 | | | 1,000,000 | | | | 1,034,160 | |
| Festus Missouri SD Certificates of Participation, Series 2021-B | | 4.000% | | 04/01/26 | | | 875,000 | | | | 894,530 | |
| Glenwillow Village Ohio Bond Anticipation Notes Service Center Building Improvement, Series 2023 | | 4.250% | | 10/18/23 | | | 1,700,000 | | | | 1,701,240 | |
| Grandview Heights Ohio Municipal Facilities Construction and Improvement, Series 2023 | | 4.000% | | 12/01/46 | | | 3,000,000 | | | | 3,002,159 | |
| Green County Ohio Vocational SD GO Unlimited, Series 2019 | | 4.000% | | 12/01/35 | | | 1,000,000 | | | | 1,030,100 | |
| Hudson Ohio CSD GO Unlimited, Series 2018 | | 4.000% | | 12/01/33 | | | 800,000 | | | | 823,384 | |
| Huntington County Indiana Countryside School Building Corp. Revenue, Series 2018 | | 4.000% | | 01/15/28 | | | 1,000,000 | | | | 1,040,890 | |
| Jackson Milton Ohio LSD Certificates of Participation (BAM Insured), Series 2016 | | 4.000% | | 06/01/31 | | | 270,000 | | | | 273,275 | |
| Johnstown-Monroe Ohio LSD GO Unlimited, Series 2016 | | 4.000% | | 12/01/29 | | | 800,000 | | | | 827,984 | |
| Kettering Ohio CSD GO Unlimited, Series 2016 | | 4.000% | | 12/01/30 | | | 400,000 | | | | 412,140 | |
| Kettering Ohio CSD GO Unlimited, Series 2007 | | 5.250% | | 12/01/31 | | | 500,000 | | | | 553,050 | |
| Lakewood Ohio GO Limited, Series A | | 5.000% | | 12/01/36 | | | 500,000 | | | | 529,790 | |
| Logan Hocking Ohio LSD Certificates of Participation, Series 2018 | | 4.000% | | 12/01/32 | | | 420,000 | | | | 426,842 | |
| McCracken County Kentucky SD Finance Corp., Series 2022 | | 5.000% | | 08/01/32 | | | 580,000 | | | | 663,155 | |
| McCreary County Kentucky SD Finance Corp., Series 2022 | | 4.000% | | 12/01/35 | | | 560,000 | | | | 569,940 | |
| Menifee County Kentucky SD Financial Corp. Revenue, Series 2019 | | 3.000% | | 08/01/27 | | | 615,000 | | | | 604,586 | |
| Milford Ohio Exempt Village SD Go Unlimited (AGM Insured), Series 2007 | | 5.500% | | 12/01/30 | | | 1,260,000 | | | | 1,420,877 | |
| North Olmstead Ohio CSD Go Unlimited, Series 2017 | | 4.000% | | 12/01/29 | | | 500,000 | | | | 519,710 | |
| Olentangy LSD Ohio Go Unlimited, Series 2016 | | 4.000% | | 12/01/31 | | | 1,000,000 | | | | 1,034,659 | |
| Orchard Farm Missouri SD Certificate of Participation, Series 2020 | | 4.000% | | 04/01/29 | | | 550,000 | | | | 585,723 | |
| Owen County Kentucky SD Revenue, Series 2017 | | 4.000% | | 04/01/27 | | | 1,320,000 | | | | 1,357,739 | |
| Palm Beach Florida SD Certificate of Participation, Series 2021-A | | 5.000% | | 08/01/39 | | | 1,000,000 | | | | 1,103,890 | |
| Pickerington Ohio LSD Capital Appreciation Refunding, Series 2023 | | 4.375% | | 12/01/49 | | | 1,000,000 | | | | 1,011,350 | |
| Princeton Ohio CSD Certificates of Participation, Series 2012 | | 3.500% | | 12/01/26 | | | 275,000 | | | | 275,025 | |
| Princeton Ohio CSD GO Unlimited (National RE Insured), Series 2006 | | 5.250% | | 12/01/30 | | | 1,735,000 | | | | 1,968,409 | |
| Pulaski County Kentucky SD Finance Corp. School Building Revenue, Series 2023 | | 4.250% | | 06/01/40 | | | 1,000,000 | | | | 1,008,350 | |
| Southwest Ohio LSD of Hamilton County GO Unlimited (SDCP), Series 2017 | | 4.000% | | 12/01/27 | | | 965,000 | | | | 1,004,633 | |
| Teays Valley Ohio LSD Refunding, Series 2016 | | 4.000% | | 12/01/32 | | | 580,000 | | | | 591,948 | |
| Toledo Ohio CSD GO Unlimited, Series 2015 | | 5.000% | | 12/01/29 | | | 660,000 | | | | 691,931 | |
| Trotwood-Madison Ohio CSD GO Unlimited (SDCP), Series 2016 | | 4.000% | | 12/01/28 | | | 410,000 | | | | 424,473 | |
| Trotwood-Madison Ohio CSD GO Unlimited (SDCP), Series 2016 | | 4.000% | | 12/01/29 | | | 500,000 | | | | 517,490 | |
| Trotwood-Madison Ohio CSD GO Unlimited (SDCP), Series 2016 | | 4.000% | | 12/01/30 | | | 350,000 | | | | 361,956 | |
| Upper Arlington Ohio CSD Construction and Improvement, Series 2018-A | | 4.000% | | 12/01/30 | | | 1,380,000 | | | | 1,445,177 | |
| Upper Arlington Ohio Special Obligation Income Tax Revenue Community Center, Series 2023 | | 4.000% | | 12/01/35 | | | 500,000 | | | | 521,375 | |
| Upper Arlington Ohio Special Obligation Income Tax Revenue Community Center, Series 2023 | | 4.000% | | 12/01/37 | | | 500,000 | | | | 510,510 | |
| Wentzville R-IV SD of Saint Charles County Missouri Certificates of Participation, Series 2016 | | 4.000% | | 04/01/30 | | | 395,000 | | | | 401,316 | |
| Westerville Ohio SCD Certificate of Participation, Series 2018 | | 5.000% | | 12/01/32 | | | 555,000 | | | | 605,982 | |
| The accompanying notes are an integral part of these financial statements. |
| MUNICIPAL INCOME FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MUNICIPAL BONDS — 98.8% | | Coupon | | Maturity | | Par Value | | | Value | |
| Willoughby-Eastlake Ohio CSD Certificates of Participation (BAM Insured), Series 2017 | | 4.000% | | 03/01/30 | | $ | 810,000 | | | $ | 817,995 | |
| | | | | | | | | | | | 49,206,112 | |
| State Agency — 6.6% | | | | | | | | | | | | |
| Kentucky Association of Counties Finance Corp. Revenue, Series 2018-E | | 4.000% | | 02/01/29 | | | 575,000 | | | | 593,480 | |
| Kentucky Property and Buildings Commission Revenue, Series A | | 5.000% | | 08/01/29 | | | 600,000 | | | | 622,050 | |
| Kentucky Property and Buildings Commission Revenue | | 5.000% | | 08/01/30 | | | 600,000 | | | | 622,062 | |
| Ohio Common Schools, Series 2019-A | | 5.000% | | 06/15/34 | | | 1,000,000 | | | | 1,124,590 | |
| Ohio Common Schools, Series 2019-A | | 5.000% | | 06/15/35 | | | 1,000,000 | | | | 1,116,950 | |
| Ohio Common Schools, Series 2019-A | | 5.000% | | 06/15/39 | | | 2,000,000 | | | | 2,181,380 | |
| Ohio Higher Education, Series 2018-A | | 5.000% | | 02/01/24 | | | 550,000 | | | | 555,847 | |
| Ohio Higher Education, Series 2017-A | | 5.000% | | 05/01/31 | | | 850,000 | | | | 884,485 | |
| Ohio Housing Finance Agency Residential Mortgage Revenue, Series 2021-A | | 3.000% | | 03/01/52 | | | 1,805,000 | | | | 1,729,816 | |
| Ohio Infrastructure Improvement, Series 2021-A | | 5.000% | | 03/01/41 | | | 1,500,000 | | | | 1,679,610 | |
| Pennsylvania State Refunding, Series 2017 | | 4.000% | | 01/01/30 | | | 645,000 | | | | 668,336 | |
| South Carolina Jobs Economic Development Authority Hospital Facilities Revenue, Series 2022-A | | 5.000% | | 10/01/35 | | | 1,000,000 | | | | 1,122,300 | |
| Washington Certificates of Participation, Series 2022-A | | 5.000% | | 01/01/41 | | | 675,000 | | | | 751,127 | |
| | | | | | | | | | | | 13,652,033 | |
| Total Municipal Bonds (Cost $219,071,464) | | | | | | | | | | $ | 205,802,420 | |
| | | | | | | | | | | |
| MONEY MARKET FUNDS — 0.3% | | | | | | Shares | | | Value | |
| Dreyfus AMT-Free Tax Cash Management Fund - Institutional Class, 3.86% (a) (Cost $721,252) | | | | | | | 721,658 | | | $ | 721,586 | |
| | | | | | | | | | | | | |
| Investments at Value — 99.1% (Cost $219,792,716) | | | | | | | | | | $ | 206,524,006 | |
| | | | | | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.9% | | | | | | | | | | | 1,879,103 | |
| | | | | | | | | | | | | |
| Net Assets — 100.0% | | | | | | | | | | $ | 208,403,109 | |
| (a) | The rate shown is the 7-day effective yield as of June 30, 2023. |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Assets and Liabilities | |
| | | Equity | | | Opportunity | | | International | |
| | | Income Fund | | | Fund | | | Fund | |
| Assets: | | | | | | | | | | | | |
| Investment Securities at Value* | | $ | 598,085,600 | | | $ | 122,989,940 | | | $ | 24,007,679 | |
| Cash | | | — | | | | — | | | | 710 | |
| Dividends and Interest Receivable | | | 703,346 | | | | 95,790 | | | | 109,216 | |
| Reclaims Receivable | | | — | | | | — | | | | 67,304 | |
| Fund Shares Sold Receivable | | | 561,356 | | | | 105,017 | | | | 14,289 | |
| Total Assets | | $ | 599,350,302 | | | $ | 123,190,747 | | | $ | 24,199,198 | |
| | | | | | | | | | | | | |
| Liabilities: | | | | | | | | | | | | |
| Accrued Management Fees | | $ | 478,447 | | | $ | 98,294 | | | $ | 19,728 | |
| Fund Shares Redeemed Payable | | | 646,103 | | | | 66,731 | | | | 52,236 | |
| Total Liabilities | | $ | 1,124,550 | | | $ | 165,025 | | | $ | 71,964 | |
| | | | | | | | | | | | | |
| Net Assets | | $ | 598,225,752 | | | $ | 123,025,722 | | | $ | 24,127,234 | |
| | | | | | | | | | | | | |
| Net Assets Consist of: | | | | | | | | | | | | |
| Paid-In Capital | | $ | 426,473,617 | | | $ | 101,190,130 | | | $ | 18,318,655 | |
| Accumulated Earnings | | | 171,752,135 | | | | 21,835,592 | | | | 5,808,579 | |
| | | | | | | | | | | | | |
| Net Assets | | $ | 598,225,752 | | | $ | 123,025,722 | | | $ | 24,127,234 | |
| Shares Outstanding (Unlimited Amount Authorized) | | | 17,877,118 | | | | 2,595,113 | | | | 817,132 | |
| | | | | | | | | | | | | |
| Offering, Redemption and Net Asset Value Per Share | | $ | 33.46 | | | $ | 47.41 | | | $ | 29.53 | |
| | | | | | | | | | | | | |
| *Identified Cost of Investment Securities | | $ | 441,944,434 | | | $ | 102,544,564 | | | $ | 18,162,512 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Assets and Liabilities – Continued | |
| | | Fixed | | | Municipal | |
| | | Income Fund | | | Income Fund | |
| Assets: | | | | | | | | |
| Investment Securities at Value* | | $ | 1,034,877,066 | | | $ | 206,524,006 | |
| Dividends and Interest Receivable | | | 8,493,056 | | | | 1,646,810 | |
| Paydowns Receivable | | | 361 | | | | — | |
| Fund Shares Sold Receivable | | | 2,283,684 | | | | 404,018 | |
| Total Assets | | $ | 1,045,654,167 | | | $ | 208,574,834 | |
| | | | | | | | | |
| Liabilities: | | | | | | | | |
| Accrued Management Fees | | $ | 725,798 | | | $ | 111,769 | |
| Distributions Payable | | | 63,813 | | | | — | |
| Fund Shares Redeemed Payable | | | 8,586,684 | | | | 59,956 | |
| Total Liabilities | | $ | 9,376,295 | | | $ | 171,725 | |
| | | | | | | | | |
| Net Assets | | $ | 1,036,277,872 | | | $ | 208,403,109 | |
| | | | | | | | | |
| Net Assets Consist of: | | | | | | | | |
| Paid-In Capital | | $ | 1,169,310,487 | | | $ | 225,361,435 | |
| Accumulated Deficit | | | (133,032,615 | ) | | | (16,958,326 | ) |
| | | | | | | | | |
| Net Assets | | $ | 1,036,277,872 | | | $ | 208,403,109 | |
| Shares Outstanding (Unlimited Amount Authorized) | | | 70,024,330 | | | | 12,818,537 | |
| | | | | | | | | |
| Offering, Redemption and Net Asset Value Per Share | | $ | 14.80 | | | $ | 16.26 | |
| | | | | | | | | |
| *Identified Cost of Investment Securities | | $ | 1,135,620,126 | | | $ | 219,792,716 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Operations | |
| | | Equity | | | Opportunity | | | International | |
| | | Income Fund | | | Fund | | | Fund | |
| | | Six Months | | | Six Months | | | Six Months | |
| | | Ended | | | Ended | | | Ended | |
| | | 6/30/2023 | | | 6/30/2023 | | | 6/30/2023 | |
| Investment Income: | | | | | | | | | | | | |
| Dividends | | $ | 5,765,002 | | | $ | 1,026,748 | | | $ | 497,031 | |
| Less: Foreign withholding taxes on dividends | | | (1,065 | ) | | | (4,438 | ) | | | (69,282 | ) |
| Total Investment Income | | | 5,763,937 | | | | 1,022,310 | | | | 427,749 | |
| | | | | | | | | | | | | |
| Expenses: | | | | | | | | | | | | |
| Management Fee | | $ | 2,819,363 | | | $ | 586,312 | | | $ | 115,738 | |
| Net Expenses | | $ | 2,819,363 | | | $ | 586,312 | | | $ | 115,738 | |
| | | | | | | | | | | | | |
| Net Investment Income | | $ | 2,944,574 | | | $ | 435,998 | | | $ | 312,011 | |
| | | | | | | | | | | | | |
| Realized and Unrealized Gains: | | | | | | | | | | | | |
| Net Realized Gains from Security Transactions and Foreign Currency Transactions | | $ | 6,987,001 | | | $ | 950,703 | | | $ | 369,011 | |
| Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Translations | | | 35,833,074 | | | | 7,175,630 | | | | 2,028,733 | |
| | | | | | | | | | | | | |
| Net Gains on Investments | | $ | 42,820,075 | | | $ | 8,126,333 | | | $ | 2,397,744 | |
| | | | | | | | | | | | | |
| Net Change in Net Assets from Operations | | $ | 45,764,649 | | | $ | 8,562,331 | | | $ | 2,709,755 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Operations – Continued | |
| | | Fixed | | | Municipal | |
| | | Income Fund | | | Income Fund | |
| | | Six Months | | | Six Months | |
| | | Ended | | | Ended | |
| | | 6/30/2023 | | | 6/30/2023 | |
| Investment Income: | | | | | | | | |
| Dividends | | $ | 408,754 | | | $ | 59,362 | |
| Interest | | | 15,289,607 | | | | 3,245,303 | |
| Total Investment Income | | | 15,698,361 | | | | 3,304,665 | |
| | | | | | | | | |
| Expenses: | | | | | | | | |
| Management Fee | | $ | 4,224,288 | | | $ | 679,660 | |
| Net Expenses | | $ | 4,224,288 | | | $ | 679,660 | |
| | | | | | | | | |
| Net Investment Income | | $ | 11,474,073 | | | $ | 2,625,005 | |
| | | | | | | | | |
| Realized and Unrealized Gains (Losses): | | | | | | | | |
| Net Realized Losses from Security Transactions | | $ | (13,427,791 | ) | | $ | (284,639 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 18,092,322 | | | | 1,328,571 | |
| | | | | | | | | |
| Net Gains on Investments | | $ | 4,664,531 | | | $ | 1,043,932 | |
| | | | | | | | | |
| Net Change in Net Assets from Operations | | $ | 16,138,604 | | | $ | 3,668,937 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS |
| |
| Statements of Changes in Net Assets |
| | | Equity Income Fund | | | Opportunity Fund | |
| | | Six Months | | | | | | Six Months | | | | |
| | | Ended | | | Year Ended | | | Ended | | | Year Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 6/30/2023* | | | 12/31/2022 | |
| Operations: | | | | | | | | | | | | | | | | |
| Net Investment Income | | $ | 2,944,574 | | | $ | 4,742,153 | | | $ | 435,998 | | | $ | 689,723 | |
| Net Realized Gains from Security Transactions | | | 6,987,001 | | | | 22,613,287 | | | | 950,703 | | | | 4,000,716 | |
| Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 35,833,074 | | | | (87,056,215 | ) | | | 7,175,630 | | | | (20,425,797 | ) |
| Net Change in Net Assets from Operations | | $ | 45,764,649 | | | $ | (59,700,775 | ) | | $ | 8,562,331 | | | $ | (15,735,358 | ) |
| | | | | | | | | | | | | | | | | |
| Distributions to Shareholders (see Note 2) | | $ | — | | | $ | (33,573,348 | ) | | $ | — | | | $ | (4,854,826 | ) |
| | | | | | | | | | | | | | | | | |
| Capital Share Transactions: | | | | | | | | | | | | | | | | |
| Proceeds From Sale of Shares | | $ | 36,360,340 | | | $ | 63,916,017 | | | $ | 6,211,311 | | | $ | 15,283,773 | |
| Shares Issued on Reinvestment of Distributions | | | — | | | | 33,429,609 | | | | — | | | | 4,843,718 | |
| Cost of Shares Redeemed | | | (35,169,531 | ) | | | (62,514,498 | ) | | | (6,839,636 | ) | | | (10,533,218 | ) |
| Net Change in Net Assets from Capital Share Transactions | | $ | 1,190,809 | | | $ | 34,831,128 | | | $ | (628,325 | ) | | $ | 9,594,273 | |
| | | | | | | | | | | | | | | | | |
| Net Change in Net Assets | | $ | 46,955,458 | | | $ | (58,442,995 | ) | | $ | 7,934,006 | | | $ | (10,995,911 | ) |
| | | | | | | | | | | | | | | | | |
| Net Assets at Beginning of Period | | $ | 551,270,294 | | | $ | 609,713,289 | | | $ | 115,091,716 | | | $ | 126,087,627 | |
| Net Assets at End of Period | | $ | 598,225,752 | | | $ | 551,270,294 | | | $ | 123,025,722 | | | $ | 115,091,716 | |
| | | | | | | | | | | | | | | | | |
| Capital Share Activity(a) | | | | | | | | | | | | | | | | |
| Shares Sold | | | 1,149,553 | | | | 1,921,920 | | | | 136,379 | | | | 328,998 | |
| Share Reinvested | | | — | | | | 1,076,638 | | | | — | | | | 109,044 | |
| Shares Redeemed | | | (1,105,757 | ) | | | (1,898,568 | ) | | | (148,092 | ) | | | (227,509 | ) |
| Net Increase (Decrease) in Shares Outstanding | | | 43,796 | | | | 1,099,990 | | | | (11,713 | ) | | | 210,533 | |
| | | | | | | | | | | | | | | | | |
| Shares Outstanding, beginning of period | | | 17,833,322 | | | | 16,733,332 | | | | 2,606,826 | | | | 2,396,293 | |
| Shares Outstanding, end of period | | | 17,877,118 | | | | 17,833,322 | | | | 2,595,113 | | | | 2,606,826 | |
| (a) | There were an unlimited number of shares of beneficial interest authorized for each Fund. Each Fund records purchases of its capital shares at the daily net asset value determined after receipt of a shareholder’s order in proper form. Redemptions are recorded at the net asset value determined following receipt of a shareholder’s written or telephone request in proper form. |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS |
| |
| Statements of Changes in Net Assets – Continued |
| | | International Fund | | | Fixed Income Fund | |
| | | Six Months | | | | | | Six Months | | | | |
| | | Ended | | | Year Ended | | | Ended | | | Year Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 6/30/2023* | | | 12/31/2022 | |
| Operations: | | | | | | | | | | | | | | | | |
| Net Investment Income | | $ | 312,011 | | | $ | 432,254 | | | $ | 11,474,073 | | | $ | 16,541,631 | |
| Net Realized Gains (Losses) from Security Transactions and Foreign Currencies | | | 369,011 | | | | (505,496 | ) | | | (13,427,791 | ) | | | (17,572,092 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | | | 2,028,733 | | | | (3,140,573 | ) | | | 18,092,322 | | | | (149,150,886 | ) |
| Net Change in Net Assets from Operations | | $ | 2,709,755 | | | $ | (3,213,815 | ) | | $ | 16,138,604 | | | $ | (150,181,347 | ) |
| | | | | | | | | | | | | | | | | |
| Distributions to Shareholders (see Note 2) | | $ | — | | | $ | (259,658 | ) | | $ | (11,629,236 | ) | | $ | (17,676,650 | ) |
| | | | | | | | | | | | | | | | | |
| Capital Share Transactions: | | | | | | | | | | | | | | | | |
| Proceeds From Sale of Shares | | $ | 1,273,267 | | | $ | 2,727,725 | | | $ | 187,255,913 | | | $ | 354,912,688 | |
| Shares Issued on Reinvestment of Distributions | | | — | | | | 259,556 | | | | 11,508,968 | | | | 17,451,919 | |
| Cost of Shares Redeemed | | | (1,330,153 | ) | | | (2,946,103 | ) | | | (57,596,186 | ) | | | (349,273,156 | ) |
| Net Change in Net Assets from Capital Share Transactions | | $ | (56,886 | ) | | $ | 41,178 | | | $ | 141,168,695 | | | $ | 23,091,451 | |
| | | | | | | | | | | | | | | | | |
| Net Change in Net Assets | | $ | 2,652,869 | | | $ | (3,432,295 | ) | | $ | 145,678,063 | | | $ | (144,766,546 | ) |
| | | | | | | | | | | | | | | | | |
| Net Assets at Beginning of Period | | $ | 21,474,365 | | | $ | 24,906,660 | | | $ | 890,599,809 | | | $ | 1,035,366,355 | |
| Net Assets at End of Period | | $ | 24,127,234 | | | $ | 21,474,365 | | | $ | 1,036,277,872 | | | $ | 890,599,809 | |
| | | | | | | | | | | | | | | | | |
| Capital Share Activity(a) | | | | | | | | | | | | | | | | |
| Shares Sold | | | 45,021 | | | | 101,529 | | | | 12,489,370 | | | | 22,973,161 | |
| Share Reinvested | | | — | | | | 9,809 | | | | 774,162 | | | | 1,153,110 | |
| Shares Redeemed | | | (46,695 | ) | | | (106,074 | ) | | | (3,854,552 | ) | | | (22,812,483 | ) |
| Net Increase (Decrease) in Shares Outstanding | | | (1,674 | ) | | | 5,264 | | | | 9,408,980 | | | | 1,313,788 | |
| Shares Outstanding, beginning of period | | | 818,806 | | | | 813,542 | | | | 60,615,350 | | | | 59,301,562 | |
| Shares Outstanding, end of period | | | 817,132 | | | | 818,806 | | | | 70,024,330 | | | | 60,615,350 | |
| (a) | There were an unlimited number of shares of beneficial interest authorized for each Fund. Each Fund records purchases of its capital shares at the daily net asset value determined after receipt of a shareholder’s order in proper form. Redemptions are recorded at the net asset value determined following receipt of a shareholder’s written or telephone request in proper form. |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS |
| |
| Statements of Changes in Net Assets – Continued |
| | | Municipal Income Fund | |
| | | Six Months | | | | |
| | | Ended | | | Year Ended | |
| | | 6/30/2023* | | | 12/31/2022 | |
| Operations: | | | | | | | | |
| Net Investment Income | | $ | 2,625,005 | | | $ | 4,933,576 | |
| Net Realized Losses from Security Transactions | | | (284,639 | ) | | | (3,424,940 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 1,328,571 | | | | (25,029,424 | ) |
| Net Change in Net Assets from Operations | | $ | 3,668,937 | | | $ | (23,520,788 | ) |
| | | | | | | | | |
| Distributions to Shareholders (see Note 2) | | $ | (2,604,614 | ) | | $ | (4,943,306 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds From Sale of Shares | | $ | 48,244,319 | | | $ | 123,997,751 | |
| Shares Issued on Reinvestment of Distributions | | | 2,562,490 | | | | 4,869,439 | |
| Cost of Shares Redeemed | | | (33,968,571 | ) | | | (184,886,138 | ) |
| Net Change in Net Assets from Capital Share Transactions | | $ | 16,838,238 | | | $ | (56,018,948 | ) |
| | | | | | | | | |
| Net Change in Net Assets | | $ | 17,902,561 | | | $ | (84,483,042 | ) |
| | | | | | | | | |
| Net Assets at Beginning of Period | | $ | 190,500,548 | | | $ | 274,983,590 | |
| Net Assets at End of Period | | $ | 208,403,109 | | | $ | 190,500,548 | |
| | | | | | | | | |
| Capital Share Activity(a) | | | | | | | | |
| Shares Sold | | | 2,942,944 | | | | 7,566,583 | |
| Share Reinvested | | | 156,848 | | | | 300,932 | |
| Shares Redeemed | | | (2,079,487 | ) | | | (11,362,467 | ) |
| Net Increase (Decrease) in Shares Outstanding | | | 1,020,305 | | | | (3,494,952 | ) |
| | | | | | | | | |
| Shares Outstanding, beginning of period | | | 11,798,232 | | | | 15,293,184 | |
| Shares Outstanding, end of period | | | 12,818,537 | | | | 11,798,232 | |
| (a) | There were an unlimited number of shares of beneficial interest authorized for each Fund. Each Fund records purchases of its capital shares at the daily net asset value determined after receipt of a shareholder’s order in proper form. Redemptions are recorded at the net asset value determined following receipt of a shareholder’s written or telephone request in proper form. |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | EQUITY INCOME FUND |
Selected Data for a Share Outstanding Throughout each Period:
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 30.91 | | | $ | 36.44 | | | $ | 31.35 | | | $ | 28.50 | | | $ | 22.48 | | | $ | 25.12 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 0.16 | | | | 0.28 | | | | 0.21 | | | | 0.25 | | | | 0.29 | | | | 0.28 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 2.39 | | | | (3.82 | ) | | | 7.92 | | | | 3.24 | | | | 7.37 | | | | (0.97 | ) |
| Total Operations | | $ | 2.55 | | | $ | (3.54 | ) | | $ | 8.13 | | | $ | 3.49 | | | $ | 7.66 | | | $ | (0.69 | ) |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | — | | | | (0.30 | ) | | | (0.21 | ) | | | (0.25 | ) | | | (0.29 | ) | | | (0.28 | ) |
| Net Realized Capital Gains | | | — | | | | (1.69 | ) | | | (2.83 | ) | | | (0.39 | ) | | | (1.35 | ) | | | (1.67 | ) |
| Total Distributions | | $ | — | | | $ | (1.99 | ) | | $ | (3.04 | ) | | $ | (0.64 | ) | | $ | (1.64 | ) | | $ | (1.95 | ) |
| Net Asset Value, end of period | | $ | 33.46 | | | $ | 30.91 | | | $ | 36.44 | | | $ | 31.35 | | | $ | 28.50 | | | $ | 22.48 | |
| Total Return(a) | | | 8.25 | % (b) | | | (9.74 | %) | | | 25.96 | % | | | 12.24 | % | | | 34.07 | % | | | (2.68 | %) |
| Net Assets, end of period (millions) | | $ | 598.23 | | | $ | 551.27 | | | $ | 609.71 | | | $ | 464.81 | | | $ | 400.82 | | | $ | 273.66 | |
| Ratios/supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets | | | 1.00 | % (c) | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| Ratio of Net Investment Income to average net assets | | | 1.04 | % (c) | | | 0.84 | % | | | 0.62 | % | | | 0.91 | % | | | 1.11 | % | | | 1.23 | % |
| Portfolio turnover rate | | | 15.33 | % (b) | | | 22.66 | % | | | 29.91 | % | | | 27.55 | % | | | 31.91 | % | | | 30.17 | % |
| (a) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
The accompanying notes are an integral part of these financial statements.
| FINANCIAL HIGHLIGHTS | OPPORTUNITY FUND |
Selected Data for a Share Outstanding Throughout each Period:
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 44.15 | | | $ | 52.62 | | | $ | 45.55 | | | $ | 42.48 | | | $ | 34.47 | | | $ | 42.89 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 0.17 | | | | 0.29 | | | | 0.38 | | | | 0.25 | | | | 0.28 | | | | 0.31 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 3.09 | | | | (6.83 | ) | | | 13.55 | | | | 3.08 | | | | 9.58 | | | | (6.40 | ) |
| Total Operations | | $ | 3.26 | | | $ | (6.54 | ) | | $ | 13.93 | | | $ | 3.33 | | | $ | 9.86 | | | $ | (6.09 | ) |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | — | | | | (0.29 | ) | | | (0.39 | ) | | | (0.26 | ) | | | (0.30 | ) | | | (0.30 | ) |
| Net Realized Capital Gains | | | — | | | | (1.64 | ) | | | (6.47 | ) | | | — | | | | (1.39 | ) | | | (2.03 | ) |
| Return of Capital | | | — | | | | — | | | | — | | | | — | | | | (0.16 | ) | | | — | |
| Total Distributions | | $ | — | | | $ | (1.93 | ) | | $ | (6.86 | ) | | $ | (0.26 | ) | | $ | (1.85 | ) | | $ | (2.33 | ) |
| Net Asset Value, end of period | | $ | 47.41 | | | $ | 44.15 | | | $ | 52.62 | | | $ | 45.55 | | | $ | 42.48 | | | $ | 34.47 | |
| Total Return(a) | | | 7.38 | % (b) | | | (12.46 | %) | | | 30.59 | % | | | 7.84 | % | | | 28.63 | % | | | (14.16 | %) |
| Net Assets, end of period (millions) | | $ | 123.03 | | | $ | 115.09 | | | $ | 126.09 | | | $ | 93.29 | | | $ | 76.50 | | | $ | 62.18 | |
| Ratios/supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets | | | 1.00 | % (c) | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| Ratio of Net Investment Income to average net assets | | | 0.74 | % (c) | | | 0.63 | % | | | 0.84 | % | | | 0.67 | % | | | 0.67 | % | | | 0.69 | % |
| Portfolio turnover rate | | | 9.21 | % (b) | | | 26.51 | % | | | 38.97 | % | | | 32.89 | % | | | 36.19 | % | | | 61.22 | % |
| (a) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
The accompanying notes are an integral part of these financial statements.
| FINANCIAL HIGHLIGHTS | INTERNATIONAL FUND |
Selected Data for a Share Outstanding Throughout each Period:
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 26.23 | | | $ | 30.62 | | | $ | 28.60 | | | $ | 27.13 | | | $ | 23.17 | | | $ | 26.37 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 0.38 | | | | 0.53 | | | | 0.64 | | | | 0.43 | | | | 0.53 | | | | 0.55 | |
| Net Realized and Unrealized Gains (Losses) on Securities and Foreign Currencies | | | 2.92 | | | | (4.60 | ) | | | 2.22 | | | | 1.36 | | | | 4.03 | | | | (3.17 | ) |
| Total Operations | | $ | 3.30 | | | $ | (4.07 | ) | | $ | 2.86 | | | $ | 1.79 | | | $ | 4.56 | | | $ | (2.62 | ) |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | — | | | | (0.32 | ) | | | (0.77 | ) | | | (0.32 | ) | | | (0.60 | ) | | | (0.58 | ) |
| Return of Capital | | | — | | | | — | | | | (0.07 | ) | | | — | | | | — | | | | — | |
| Total Distributions | | $ | — | | | $ | (0.32 | ) | | $ | (0.84 | ) | | $ | (0.32 | ) | | $ | (0.60 | ) | | $ | (0.58 | ) |
| Net Asset Value, end of period | | $ | 29.53 | | | $ | 26.23 | | | $ | 30.62 | | | $ | 28.60 | | | $ | 27.13 | | | $ | 23.17 | |
| Total Return(a) | | | 12.58 | % (b) | | | (13.30 | %) | | | 10.00 | % | | | 6.59 | % | | | 19.69 | % | | | (9.93 | %) |
| Net Assets, end of period (millions) | | $ | 24.13 | | | $ | 21.47 | | | $ | 24.91 | | | $ | 21.10 | | | $ | 21.08 | | | $ | 17.95 | |
| Ratios/supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets | | | 1.00 | % (c) | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| Ratio of Net Investment Income to average net assets | | | 2.69 | % (c) | | | 2.02 | % | | | 2.09 | % | | | 1.77 | % | | | 2.02 | % | | | 2.21 | % |
| Portfolio turnover rate | | | 4.17 | % (b) | | | 6.63 | % | | | 6.62 | % | | | 7.85 | % | | | 4.33 | % | | | 6.87 | % |
| (a) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
The accompanying notes are an integral part of these financial statements.
| FINANCIAL HIGHLIGHTS | FIXED INCOME FUND |
Selected Data for a Share Outstanding Throughout each Period:
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 14.69 | | | $ | 17.46 | | | $ | 18.23 | | | $ | 17.38 | | | $ | 16.39 | | | $ | 16.84 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 0.17 | | | | 0.28 | | | | 0.24 | | | | 0.30 | | | | 0.36 | | | | 0.34 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.11 | | | | (2.75 | ) | | | (0.68 | ) | | | 1.11 | | | | 1.00 | | | | (0.44 | ) |
| Total Operations | | $ | 0.28 | | | $ | (2.47 | ) | | $ | (0.44 | ) | | $ | 1.41 | | | $ | 1.36 | | | $ | (0.10 | ) |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.17 | ) | | | (0.30 | ) | | | (0.26 | ) | | | (0.32 | ) | | | (0.37 | ) | | | (0.35 | ) |
| Return of Capital | | | — | | | | — | | | | (0.07 | ) | | | (0.24 | ) | | | — | | | | — | |
| Total Distributions | | $ | (0.17 | ) | | $ | (0.30 | ) | | $ | (0.33 | ) | | $ | (0.56 | ) | | $ | (0.37 | ) | | $ | (0.35 | ) |
| Net Asset Value, end of period | | $ | 14.80 | | | $ | 14.69 | | | $ | 17.46 | | | $ | 18.23 | | | $ | 17.38 | | | $ | 16.39 | |
| Total Return(a) | | | 1.90 | % (b) | | | (14.21 | %) | | | (2.37 | %) | | | 8.17 | % | | | 8.35 | % | | | (0.56 | %) |
| Net Assets, end of period (millions) | | $ | 1,036.28 | | | $ | 890.60 | | | $ | 1,035.37 | | | $ | 958.50 | | | $ | 797.49 | | | $ | 623.44 | |
| Ratios/supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets | | | 0.85 | % (c) | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % |
| Ratio of Net Investment Income to average net assets | | | 2.31 | % (c) | | | 1.77 | % | | | 1.38 | % | | | 1.66 | % | | | 2.15 | % | | | 2.17 | % |
| Portfolio turnover rate | | | 12.75 | % (b) | | | 30.22 | % | | | 38.78 | % | | | 25.08 | % | | | 21.33 | % | | | 23.40 | % |
| (a) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
The accompanying notes are an integral part of these financial statements.
| FINANCIAL HIGHLIGHTS | MUNICIPAL INCOME FUND |
Selected Data for a Share Outstanding Throughout each Period:
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 16.15 | | | $ | 17.98 | | | $ | 18.28 | | | $ | 17.73 | | | $ | 17.12 | | | $ | 17.29 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 0.20 | | | | 0.37 | | | | 0.32 | | | | 0.33 | | | | 0.32 | | | | 0.32 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.11 | | | | (1.83 | ) | | | (0.27 | ) | | | 0.57 | | | | 0.64 | | | | (0.16 | ) |
| Total Operations | | $ | 0.31 | | | $ | (1.46 | ) | | $ | 0.05 | | | $ | 0.90 | | | $ | 0.96 | | | $ | 0.16 | |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.20 | ) | | | (0.37 | ) | | | (0.32 | ) | | | (0.33 | ) | | | (0.32 | ) | | | (0.32 | ) |
| Net Realized Capital Gains | | | — | | | | — | | | | (0.03 | ) | | | (0.02 | ) | | | (0.03 | ) | | | (0.01 | ) |
| Return of Capital | | | — | | | | — | | | | (0.00 | ) (a) | | | — | | | | — | | | | — | |
| Total Distributions | | $ | (0.20 | ) | | $ | (0.37 | ) | | $ | (0.35 | ) | | $ | (0.35 | ) | | $ | (0.35 | ) | | $ | (0.33 | ) |
| Net Asset Value, end of period | | $ | 16.26 | | | $ | 16.15 | | | $ | 17.98 | | | $ | 18.28 | | | $ | 17.73 | | | $ | 17.12 | |
| Total Return(b) | | | 1.93 | % (c) | | | (8.10 | %) | | | 0.30 | % | | | 5.12 | % | | | 5.66 | % | | | 0.90 | % |
| Net Assets, end of period (millions) | | $ | 208.40 | | | $ | 190.50 | | | $ | 274.98 | | | $ | 259.73 | | | $ | 225.13 | | | $ | 178.97 | |
| Ratios/supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets | | | 0.65 | % (d) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
| Ratio of Net Investment Income to average net assets | | | 2.51 | % (d) | | | 2.14 | % | | | 1.78 | % | | | 1.86 | % | | | 1.90 | % | | | 1.94 | % |
| Portfolio turnover rate | | | 3.45 | % (c) | | | 21.30 | % | | | 9.11 | % | | | 5.98 | % | | | 10.54 | % | | | 10.45 | % |
| (a) | Amount rounds to less than $0.005 per share. |
| (b) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
The accompanying notes are an integral part of these financial statements.
| JOHNSON MUTUAL FUNDS | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
1) Organization:
The Johnson Equity Income Fund, Johnson Opportunity Fund, Johnson International Fund, Johnson Fixed Income Fund, and Johnson Municipal Income Fund (each individually a “Fund” and collectively the “Funds”) are each a series of the Johnson Mutual Funds Trust (the “Trust”), and are registered under the Investment Company Act of 1940, as amended, as no-load, open-end investment companies. The Johnson Mutual Funds Trust was established as an Ohio business trust under an Agreement and Declaration of Trust dated September 30, 1992. The Fixed Income Fund began offering its shares publicly on January 4, 1993. The Opportunity Fund and Municipal Income Fund began offering their shares publicly on May 16, 1994. The Equity Income Fund began offering its shares publicly on December 30, 2005. The International Fund began offering its shares publicly on December 8, 2008. All the Funds are managed by Johnson Investment Counsel, Inc. (the “Adviser”).
The investment objectives of the Funds are as follows:
| Equity Income Fund | Above average dividend income and long-term capital growth |
| Opportunity Fund | Long-term capital growth |
| International Fund | Long-term capital growth |
| Fixed Income Fund | A high level of income over the long-term consistent with preservation of capital |
| Municipal Income Fund | A high level of federally tax-free income over the long-term consistent with preservation of capital |
The Funds are each diversified. The Municipal Income Fund invests primarily in debt instruments of municipal issuers whose ability to meet their obligations may be affected by economic and political developments in the state of Ohio.
2) Significant Accounting Policies:
BASIS OF ACCOUNTING:
The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The Funds are investment companies and accordingly follow the investment company guidance of Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, “Financial Services — Investment Companies.”
INVESTMENT INCOME AND REALIZED CAPITAL GAINS AND LOSSES ON INVESTMENT SECURITIES:
Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Dividend and interest income are recorded net of foreign taxes. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Gains and losses on sales of investments are calculated using the specific identification method, mainly using high-cost lots. Discounts and premiums on securities purchased are amortized over the lives or to the earliest call date of the respective securities in accordance with GAAP. Distributions received from investments in securities that represent a return of capital or capital gains are recorded as a reduction of the cost of investment or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the calendar year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported. Estimates are based on the most recent REIT distributions information available. Gains and losses on paydowns of mortgage-backed securities are reflected in interest income on the Statements of Operations. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country or region.
FOREIGN CURRENCY TRANSLATION:
Securities and other assets and liabilities denominated in or expected to settle in foreign currencies, if any, are translated into U.S. dollars based on exchange rates on the following basis:
| A. | The fair values of investment securities and other assets and liabilities are translated as of the close of the NYSE each day. |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
2) Significant Accounting Policies, continued
| B. | Purchases and sales of investment securities and income and expenses are translated at the rate of exchange prevailing as of 4:00 p.m. Eastern time on the respective date of such transactions. |
| C. | The Fund does not isolate that portion of the results of operations caused by changes in foreign exchange rates on investments from those caused by changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses on investments. |
Reported net realized foreign exchange gains or losses arise from 1) purchases and sales of foreign currencies, 2) currency gains or losses realized between trade and settlement dates on securities transactions, and 3) the difference between the amounts of dividends and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Reported net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, that result from changes in exchange rates.
FEDERAL INCOME TAX:
The Funds have qualified and intend to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Qualification generally will relieve the Fund of liability for federal income taxes to the extent is net investment income and net realized capital gains are distributed in accordance with the Code.
In order to avoid imposition of a federal excise tax applicable to regulated investment companies, it is also the Funds’ intention to declare and pay as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the 12 months ended December 31, 2022 for the Opportunity, Fixed Income, and Municipal Income Funds, and October 31, 2022 for the Equity Income and International Funds) plus undistributed amounts from prior years.
The following information is computed for each item as of December 31, 2022:
| | | Equity Income | | | Opportunity | | | International | | | Fixed Income | | | Municipal Income | |
| Cost of Portfolio Investments | | | 430,627,577 | | | | 101,829,846 | | | | 17,744,367 | | | | 1,003,603,859 | | | | 203,956,557 | |
| Gross unrealized appreciation | | | 138,381,619 | | | | 21,157,156 | | | | 5,877,604 | | | | 858,270 | | | | 314,847 | |
| Gross unrealized depreciation | | | (18,088,090 | ) | | | (7,887,410 | ) | | | (2,201,964 | ) | | | (119,693,652 | ) | | | (14,912,128 | ) |
| Net unrealized appreciation/(depreciation) | | | 120,293,530 | | | | 13,269,746 | | | | 3,675,640 | | | | (118,835,382 | ) | | | (14,597,281 | ) |
| Undistributed ordinary income | | | 818,817 | | | | — | | | | 97,023 | | | | 35,638 | | | | — | |
| Undistributed capital gains | | | 4,875,139 | | | | 3,515 | | | | — | | | | — | | | | — | |
| Other accumulated gains/(losses) | | | — | | | | — | | | | (673,839 | ) | | | (18,742,239 | ) | | | (3,425,368 | ) |
| Accumulated Earnings | | | 125,987,486 | | | | 13,273,261 | | | | 3,098,824 | | | | (137,541,983 | ) | | | (18,022,649 | ) |
As of December 31, 2022, the following Funds had capital loss carryovers which will reduce each Fund’s taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. The capital loss carryovers, which may be carried forward on indefinite period of time, are as follows:
| | | | | | | | | Total Capital | |
| | | Long-Term | | | Short-Term | | | Loss Carryover | |
| Johnson International Fund | | | 560,811 | | | | 113,028 | | | | 673,839 | |
| Johnson Fixed Income Fund | | | 8,853,646 | | | | 9,888,593 | | | | 18,742,239 | |
| Johnson Municipal Income Fund | | | 3,206,469 | | | | 218,899 | | | | 3,425,368 | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
2) Significant Accounting Policies, continued
The federal tax cost, unrealized appreciation (depreciation) as of June 30, 2023 is as follows:
| | | Equity Income | | | Opportunity | | | International | | | Fixed Income | | | Municipal Income | |
| Cost of Investments and Foreign Currencies | | $ | 441,958,996 | | | $ | 102,544,564 | | | $ | 18,162,524 | | | $ | 1,135,620,126 | | | $ | 219,792,716 | |
| Gross unrealized appreciation | | | 171,131,579 | | | | 26,570,304 | | | | 7,788,355 | | | | 1,501,321 | | | | 606,432 | |
| Gross unrealized depreciation | | | (15,004,975 | ) | | | (6,124,928 | ) | | | (1,943,200 | ) | | | (102,244,381 | ) | | | (13,875,142 | ) |
| Net unrealized appreciation (depreciation) | | $ | 156,126,604 | | | $ | 20,445,376 | | | $ | 5,845,155 | | | $ | (100,743,060 | ) | | $ | (13,268,710 | ) |
The difference between the federal income tax cost and the financial statement cost of Funds’ portfolio investments is due to wash sales and PFIC adjustments.
The Funds recognize the tax benefits or expenses of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on Federal income tax returns for the current and all open tax years (generally three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements. The Funds identify its major tax jurisdictions as U.S. Federal and certain State tax authorities. The Funds are not aware of any tax positions for which it is reasonably likely that the total amounts of unrecognized tax benefits or expenses will change materially in the next twelve months. The Funds recognize interest and penalties, if any, related to unrecognized tax expenses as income tax expense in the Statements of Operations. During the six months ended June 30, 2023, the Funds did not incur any interest or penalties.
DISTRIBUTIONS:
Distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The Fixed Income Fund and Municipal Income Fund intend to distribute net investment income on a calendar quarter basis. The Equity Income, Opportunity and International Funds intend to distribute net investment income, if any, at least once a year. The Funds intend to distribute their net realized long-term capital gains and their net realized short-term capital gains, if any, at least once a year. The treatment for financial reporting purposes of distributions made to shareholders during the year from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations, or net asset values (“NAV”) per share of the Funds.
The tax character of the distributions paid, for the periods ended December 31, 2022 and June 30, 2023, is as follows:
| | | | | | | | | | | Net Realized | | | Total Taxable | | | | | | Total | |
| | | | | Ordinary | | | Tax Exempt | | | Long-Term | | | Distributions | | | Return of | | | Distributions | |
| | | | | Income | | | Income | | | Capital Gain | | | Paid | | | Capital | | | Paid | |
| Johnson Equity Income Fund | | 12/31/2022 | | $ | 13,206,417 | | | $ | — | | | $ | 20,366,931 | | | $ | 33,573,348 | | | $ | — | | | $ | 33,573,348 | |
| | | 6/30/2023 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Johnson Opportunity Fund | | 12/31/2022 | | | 907,777 | | | | — | | | | 3,947,049 | | | | 4,854,826 | | | | — | | | | 4,854,826 | |
| | | 6/30/2023 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Johnson International Fund | | 12/31/2022 | | | 259,658 | | | | — | | | | — | | | | 259,658 | | | | — | | | | 259,658 | |
| | | 6/30/2023 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Johnson Fixed Income Fund | | 12/31/2022 | | | 17,676,650 | | | | — | | | | — | | | | 17,676,650 | | | | — | | | | 17,676,650 | |
| | | 6/30/2023 | | | 11,629,236 | | | | — | | | | — | | | | 11,629,236 | | | | — | | | | 11,629,236 | |
| Johnson Municipal Income Fund | | 12/31/2022 | | | — | | | | 4,934,004 | | | | — | | | | 4,934,004 | | | | 9,302 | | | | 4,943,306 | |
| | | 6/30/2023 | | | — | | | | 2,604,614 | | | | — | | | | 2,604,614 | | | | — | | | | 2,604,614 | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
3) Security Valuation and Transactions
The Funds utilize various methods to measure the fair value of their investments on a recurring basis. The Board has assigned the Adviser as their Valuation Designee to consider all appropriate factors relevant to the value of securities, in accordance with the Trust’s valuation policies and fair value determinations. The Funds’ portfolio securities are valued as of the close of business of the regular session of the New York Stock Exchange (normally 4:00 p.m., Eastern time).
Securities for which representative market quotations are not readily available or are considered unreliable by the Investment Adviser are valued as determined in good faith by, or under the direction of, the Board of Trustees. Various inputs may be reviewed in order to make a good faith determination of a security’s fair value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.
GAAP established 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 Funds have 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.
FAIR VALUE MEASUREMENTS:
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows:
Equity Securities (Common Stock, Real Estate Investment Trusts). Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. When adjustments to observable prices are applied or when the market is considered inactive, securities will be categorized in Level 2 of the fair value hierarchy.
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
3) Security Valuation and Transactions, continued
Corporate Bonds. The fair value of Corporate Bonds is estimated using quotations from pricing vendors, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations for similar securities (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they would be categorized in Level 3.
Certificates of Deposit. Certificates of Deposit are generally valued at prices obtained from pricing vendors. Certificates of Deposit which are traded on the open market are normally valued using a market approach valuation technique that incorporates observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Certificates of Deposit are categorized in Level 2 of the fair value hierarchy.
Municipal Bonds. Municipal Bonds are normally valued using quotations from pricing vendors that incorporate observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Municipal Bonds are categorized in Level 2 of the fair value hierarchy.
U.S. Government Securities. U.S. government securities, including U.S. Treasury Obligations, are normally valued using market approach valuation techniques that incorporate observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. U.S. government securities are categorized in Level 2 of the fair value hierarchy.
U.S. Agency Securities. U.S. agency securities are comprised of two main categories consisting of agency issued debt and mortgage-backed securities. Agency issued debt securities are generally valued in a manner similar to U.S. government securities. Mortgage-backed securities are generally valued based on models that consider the estimated cash flows of each tranche of the entity, establishes a benchmark yield, and develops an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Depending on market activity levels and whether quotations or other data are used, these securities are typically categorized in Level 2 of the fair value hierarchy.
Preferred Stocks. Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Money Market. Investments in mutual funds, including money market mutual funds (notated throughout these financial statements as cash equivalents), are generally priced at the ending NAV provided by the service agent of the funds. These securities will be categorized as Level 1 securities.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value each Fund’s investment securities as of June 30, 2023:
| Equity Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Common Stocks* | | $ | 588,594,492 | | | $ | — | | | $ | — | | | $ | 588,594,492 | |
| Money Market Funds | | | 9,491,108 | | | | — | | | | — | | | | 9,491,108 | |
| Total | | $ | 598,085,600 | | | $ | — | | | $ | — | | | $ | 598,085,600 | |
| | | | | | | | | | | | | | | | | |
| Opportunity Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Common Stocks* | | $ | 120,408,568 | | | $ | — | | | $ | — | | | $ | 120,408,568 | |
| Money Market Funds | | | 2,581,372 | | | | — | | | | — | | | | 2,581,372 | |
| Total | | $ | 122,989,940 | | | $ | — | | | $ | — | | | $ | 122,989,940 | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
3) Security Valuation and Transactions, continued
| International Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Common Stocks* | | $ | 23,446,949 | | | $ | — | | | $ | 140 | ** | | $ | 23,447,089 | |
| Preferred Stocks | | | 129,573 | | | | — | | | | — | | | | 129,573 | |
| Money Market Funds | | | 414,270 | | | | — | | | | — | | | | 414,270 | |
| Total | | $ | 24,007,539 | | | $ | — | | | $ | 140 | | | $ | 24,007,679 | |
| | | | | | | | | | �� | | | | | | | |
| Fixed Income Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Corporate Bonds* | | $ | — | | | $ | 459,475,986 | | | $ | — | | | $ | 459,475,986 | |
| Collateralized Mortgage Obligations | | | — | | | | 201,575,440 | | | | — | | | | 201,575,440 | |
| U.S. Government & Agencies | | | — | | | | 26,712,081 | | | | — | | | | 26,712,081 | |
| Municipal Bonds | | | — | | | | 27,646,319 | | | | — | | | | 27,646,319 | |
| U.S. Treasury Obligations | | | — | | | | 308,943,184 | | | | — | | | | 308,943,184 | |
| Preferred Stocks | | | 6,643,450 | | | | — | | | | — | | | | 6,643,450 | |
| Money Market Funds | | | 3,880,606 | | | | — | | | | — | | | | 3,880,606 | |
| Total | | $ | 10,524,056 | | | $ | 1,024,353,010 | | | $ | — | | | $ | 1,034,877,066 | |
| | | | | | | | | | | | | | | | | |
| Municipal Income Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Municipal Bonds* | | $ | — | | | $ | 205,802,420 | | | $ | — | | | $ | 205,802,420 | |
| Money Market Funds | | | 721,586 | | | | — | | | | — | | | | 721,586 | |
| Total | | $ | 721,586 | | | $ | 205,802,420 | | | $ | — | | | $ | 206,524,006 | |
| * | See Portfolio of Investments for sector classifications. |
| ** | Includes a Russian ADR valued at $0.01 per share by management, given the halting of foreign investors’ ability to sell Russian securities and ADRs. The change in unrealized appreciation (depreciation) of this security that is reflected in the Statement of Operations is $ —. Given The insignificance of Level 3 securities, a rollforward of Level 3 activity is not presented. |
Other than Johnson International Fund, no other Fund held Level 3 securities during the year.
In accordance with GAAP, the Funds are required to enhance the disclosures relating to transactions in derivatives and hedging activities, including how such activities are accounted for and their effect on the Funds’ financial position, performance, and cash flows. The Funds did not engage in any derivative transactions as of or during the six months ended June 30, 2023.
4) Portfolio Risks:
Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. As of December 31, 2022, the Overnight and 12-Month USD LIBOR settings will continue to report daily rates through June 30, 2023. Management expects the bonds currently held by the Funds using the LIBOR rate to set the variable rates for the bonds to be sold or mature prior to this date. In the event that a bond may still be held as of this final date, it appears that either the bond will switch over to SOFR (Secured Overnight Financing Rate — a replacement for LIBOR), or the bond will lock in the last known coupon and become a fixed rate bond. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Fund’s performance and/or NAV. Currently, the Funds have securities (less than 1% of holdings) using LIBOR as a basis for their variable rates.
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
4) Portfolio Risks, continued
depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
The investment advisory agreements provide that the Adviser will pay all of the Funds’ operating expenses, excluding brokerage fees and commissions, borrowing costs (such as interest), and extraordinary expenses. The investment advisory agreements provide for fees to be paid monthly at an annual rate listed below, of each Funds’ average daily net assets.
The Funds incurred management fees for the six months ended June 30, 2023, as indicated below.
| | | | | Management | | | Payable as of | |
| Fund | | Fee | | Fee | | | June 30, 2023 | |
| Equity Income Fund | | 1.00% | | $ | 2,819,363 | | | $ | 478,447 | |
| Opportunity Fund | | 1.00% | | | 586,312 | | | | 98,294 | |
| International Fund | | 1.00% | | | 115,738 | | | | 19,728 | |
| Fixed Income Fund | | 0.85% | | | 4,224,288 | | | | 725,798 | |
| Municipal Income Fund | | 0.65% | | | 679,660 | | | | 111,769 | |
6) Related Party Transactions:
All officers and one trustee of the Trust are employees of the Adviser. Total compensation for the independent Trustees as a group was $50,000 for the six months ended June 30, 2023, and as a group they received no additional compensation from the Trust. Compensation of the Trustees was paid by the Adviser. The Trust consists of ten Funds: Johnson Equity Income Fund, Johnson Opportunity Fund, Johnson International Fund, Johnson Fixed Income Fund, Johnson Municipal Income Fund, Johnson Institutional Short Duration Bond Fund, Johnson Institutional Intermediate Bond Fund, Johnson Institutional Core Bond Fund, Johnson Core Plus Bond Fund and Johnson Enhanced Return Fund. The Adviser is not a registered broker-dealer of securities and thus does not receive commissions on trades made on behalf of the Funds.
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of the Fund, under Section 2(a)(9) of the Investment Company Act of 1940. At June 30, 2023, client accounts managed by the Adviser and held by Charles Schwab & Co, with full advisory discretion, held in aggregate the following:
| Equity Income Fund | | 76.09% |
| Opportunity Fund | | 83.37% |
| International Fund | | 34.05% |
| Fixed Income Fund | | 94.68% |
| Municipal Income Fund | | 97.67% |
Johnson Financial, Inc. is a wholly-owned subsidiary of the Adviser. Johnson Financial, Inc. provided transfer agency and administration services to the Funds until March 31, 2023. These services were paid for by the Adviser.
Ultimus Fund Solutions, LLC (“Ultimus”) provides fund accounting to the Funds. Effective March 31, 2023, Ultimus started providing administration services to the Funds and transfer agency services effective April 24, 2023. All services are paid for by the Adviser.
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
6) Related Party Transactions, continued
From January 1, 2023 through June 30, 2023, purchases and sales of investment securities aggregated:
| | | Investment Securities Other Than | | | | | | | |
| | | Short-Term Investments and | | | | | | | |
| | | U.S. Government Obligations | | | U.S. Government Obligations | |
| Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
| Johnson Equity Income Fund | | $ | 86,189,767 | | | $ | 86,304,271 | | | $ | — | | | $ | — | |
| Johnson Opportunity Fund | | | 10,778,647 | | | | 13,339,279 | | | | — | | | | — | |
| Johnson International Fund | | | 1,222,480 | | | | 944,609 | | | | — | | | | — | |
| Johnson Fixed Income Fund | | | 77,728,966 | | | | 72,795,195 | | | | 210,531,390 | | | | 51,873,521 | |
| Johnson Municipal Income Fund | | | 24,043,022 | | | | 6,866,496 | | | | — | | | | — | |
8) Borrowings:
The Equity Income Fund, Opportunity Fund, International Fund, Fixed Income Fund, and Municipal Income Fund each has an unsecured line of credit through April 29, 2024 with U.S. Bank National Association, up to 33.3% of its net assets, with a total maximum borrowing limit of $60,000,000 for the Trust.
Borrowings under the agreement bear interest at the Prime lending rate. There were no borrowings for any of the Funds at any time during the six months ended June 30, 2023.
9) Estimates:
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
10) Indemnification:
In the normal course of business, the Trust, on behalf of the Funds, enters into contracts that provide general indemnifications.
The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.
11) Subsequent Events:
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment to or disclosure in the financial statements.
| DISCLOSURE OF EXPENSES (UNAUDITED) | JUNE 30, 2023 |
Shareholders of the Johnson Equity Income, Opportunity, International, Fixed Income and Municipal Income Funds (the “Funds”) incur ongoing operating expenses consisting solely of management fees. The following example is intended to help you understand your ongoing expenses of investing in the Funds and to compare these expenses with similar costs of investing in other mutual funds. The example is based on an investment of $1,000 invested in the Funds on January 1, 2023 and held through June 30, 2023.
The first line of the table below provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6) and then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period.”
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios 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 paid by a shareholder for the period. Shareholders may use this information to compare the ongoing expenses of investing in the Funds and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in other funds’ shareholder reports.
| | | | | | | | | Expenses Paid During |
| | | | | | | | | Period* |
| | | Beginning Account Value | | Ending Account Value | | Net Expense | | January 1, 2023 - |
| | | January 1, 2023 | | June 30, 2023 | | Ratio* | | June 30, 2023 |
| Johnson Equity Income Fund | | | | | | | | |
| Actual Fund Return | | $1,000 | | $1,082.50 | | 1.00% | | $5.16 |
| Hypothetical 5% Return | | $1,000 | | $1,019.84 | | 1.00% | | $5.01 |
| Johnson Opportunity Fund | | | | | | | | |
| Actual Fund Return | | $1,000 | | $1,073.80 | | 1.00% | | $5.14 |
| Hypothetical 5% Return | | $1,000 | | $1,019.84 | | 1.00% | | $5.01 |
| Johnson International Fund | | | | | | | | |
| Actual Fund Return | | $1,000 | | $1,125.80 | | 1.00% | | $5.27 |
| Hypothetical 5% Return | | $1,000 | | $1,019.84 | | 1.00% | | $5.01 |
| Johnson Fixed Income Fund | | | | | | | | |
| Actual Fund Return | | $1,000 | | $1,019.00 | | 0.85% | | $4.26 |
| Hypothetical 5% Return | | $1,000 | | $1,020.58 | | 0.85% | | $4.26 |
| Johnson Municipal Income Fund | | | | | | | | |
| Actual Fund Return | | $1,000 | | $1,019.30 | | 0.65% | | $3.25 |
| Hypothetical 5% Return | | $1,000 | | $1,021.57 | | 0.65% | | $3.26 |
| * | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| MANAGEMENT AGREEMENT BETWEEN JOHNSON MUTUAL FUNDS AND JOHNSON INVESTMENT COUNSEL, INC. |
During the May 17, 2023 regular Johnson Mutual Funds Trust Board meeting, the Independent Trustees adjourned for an executive session with legal counsel to discuss the approval of the management agreement.
The Trustees, including the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), then considered the renewal of the Management Agreements between the Trust and the Adviser. The Trustees were assisted by experienced independent legal counsel throughout the contract review process. The Independent Trustees discussed the proposed continuance in executive session with such counsel at which no representatives of the Adviser were present. The Independent Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Management Agreements and the weight to be given to each such factor. Among other factors, the Trustees considered (i) the investment performance of each Fund and the Adviser; (ii) the nature, extent and quality of the services provided by the Adviser; (iii) the cost of services provided and the profits to be realized by the Adviser and its affiliates from the relationship with the Funds; and (iv) economies of scale. The conclusions reached by the Independent Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Additionally, each Independent Trustee may have afforded different weight to the various factors in reaching his or her conclusions with respect to the Management Agreements.
The Trustees evaluated the Adviser’s responses and information prepared by the Adviser in the board materials, noting the Adviser’s financial resources, its personnel and operations, advisory, administrative and compliance services provided by the Adviser to the Funds, and the overall compensation received for management services. The Board considered and discussed each Fund’s performance for various periods, the profitability of the Adviser with respect to each of the Funds and economies of scale.
With respect to the nature, extent and quality of services provided by the Adviser, the Trustees reviewed the information describing the Adviser’s business and personnel and discussed the Adviser’s extensive experience and resources. The Board noted that the Adviser has been providing services to the Trust since 1992. The Trustees and representatives of the Adviser noted the continuance of their cooperative working relationship on Fund matters. The Board reviewed the individuals who serve as portfolio managers for the Funds and indicated that they continued to be satisfied with the portfolio management being provided to the Funds. The Trustees then discussed the Adviser’s and Trust’s compliance programs with the Trust’s chief compliance officer. A representative of the Adviser discussed the Adviser’s financial status and reviewed the Adviser’s resources in providing services to the Funds. The Trustees, including the Independent Trustees, concluded that the nature and extent of services provided by the Adviser was satisfactory, and that the overall quality of services was excellent. The Trustees also concluded that the Adviser had the appropriate level of resources to continue to provide quality advisory services to the Funds.
Next, the Trustees discussed the performance information provided by the Adviser for each of the Funds. The Trustees considered performance data showing each Fund’s performance for various periods ended March 31, 2023 and year-to-date as compared to each Fund’s benchmark index. The Board noted the Adviser’s expectations as to each Fund’s risk/return profile.
The Trustees considered and discussed the performance of the Equity Income, Opportunity, International, Fixed Income and Municipal Income Funds. The Trustees noted that the Equity Income Fund had outperformed the S&P 500 Index for the 1-year period and was generally in line with the Index for the 3 and 5-year periods. With respect to the Opportunity Fund, the Trustees noted that the Fund had outperformed the Russell 2500 Total Return Index for the 1, 3 and 5-year periods. The Trustees next reviewed the International Fund’s performance, which outperformed its benchmark, the MSCI All Country World Index, for the 1-year period, and was in line with each of the 3 and 5-year periods. Next, the Trustees reviewed the performance of the Fixed Income Fund, noting that the Fund’s return had slightly underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, for the 1, 3 and 5-year periods. The Trustees then discussed the Municipal Income Fund’s returns, noting that the Fund had underperformed the Bloomberg Municipal Bond Index for the 1-year, 3-year and 5-year periods. After discussion, the Trustees agreed that the performance of each of the retail Funds was satisfactory.
The Trustees considered the performance of each of the Institutional Funds. They noted that the Short Duration Bond Fund had generally performed in line with its benchmark, the ICE BofA U.S. Corporate & Government 1-3 Year Index, for 3 and 5-year periods and slightly lagged for the 1-year period. Next, the Trustees discussed the performance of the Intermediate Bond Fund, noting that it has slightly underperformed the Bloomberg Intermediate Government/Credit Index for the 1-year period and was generally in line
| MANAGEMENT AGREEMENT BETWEEN JOHNSON MUTUAL FUNDS AND JOHNSON INVESTMENT COUNSEL, INC. |
for the 3 and 5-year periods. With respect to the Core Bond Fund, the Board noted that the Fund had slightly underperformed the Bloomberg U.S. Aggregate Bond Index for the 1 and 3-year periods but had outperformed for the 5-year period. The Trustees next evaluated the performance for the Enhanced Return Fund. The Board reviewed its performance, noting that the Enhanced Return Fund had underperformed the S&P 500 Index for the 1, 3 and 5-year periods. Finally, the Board reviewed the performance for the Core Plus Bond Fund, noting that it slightly outperformed its benchmark, the Bloomberg U.S. Aggregate Bond index, for the 1-year period, the only period available for this Fund. After discussion, the Trustees indicated that it was their consensus all five of Institutional Funds continued to have reasonable performance given their respective investment objectives, risks and strategies.
As to the cost of the services provided and the profits realized by the Adviser from the relationship with the Funds, the Trustees reviewed the fees paid to the Adviser for the year ended December 31, 2022 by each of the Funds. As in past years, the Board and counsel discussed that the total expense ratio for each Fund (with the exception of Core Plus) was a more meaningful comparison than the actual advisory fee because the Management Agreements for the Funds have a unitary fee structure which requires the Adviser to pay substantially all of the operating expenses of each Fund and is compensated with a single fee (noting that most of the funds in the Peer Group comparisons do not share this structure). The expense ratios for Municipal Income Fund, Short Duration Bond Fund, Intermediate Bond Fund, Opportunity Fund, Core Bond Fund, Equity Income Fund, International Fund, and Enhanced Return Fund were below the mean of each Fund’s respective category, while the expense ratio for the Fixed Income Fund was slightly above the average for its category. The Trustees noted the contractual fee waivers which were in effect during the period for the Short Duration Bond Fund, the Intermediate Bond Fund and the Core Bond Fund as well as the overall fees paid to the Adviser by each Fund for the period. The Trustees also discussed the profitability of each of the Funds to the Adviser and the profitability of the Adviser with respect to the Funds in the aggregate. Representatives of the Adviser reported on the Adviser’s profitability on a fund-by-fund basis and discussed their methodologies in determining the profitability of the Adviser. The Trustees, including the Independent Trustees, concluded that the Management Fee payable by each Fund was reasonable and that the Adviser’s level of profitability from its relationship with the Funds is not excessive.
The Trustees then considered economies of scale. The Trustees noted that they concluded that the Funds’ expense ratios were not unreasonable and that there were no excessive profits being derived from any of the Funds by the Adviser as a result of its management of each of the Funds. The Board further noted that they would continue to evaluate the Funds’ expense ratios with the Adviser. The Board also noted that the Adviser had agreed to extend its contractual fee waiver with respect to the Core Bond, Short Duration and Intermediate Bond Funds for another year. The Trustees and representatives from the Adviser again agreed to discuss the possibility of fee breakpoints in the future, depending on the asset level of a Fund. After a discussion, the Trustees agreed that they would continue to evaluate the potential for establishing breakpoints with the Adviser, but that that no breakpoints are necessary at this time.
After a discussion, the Trustees concluded and agreed, including all Independent Trustees, that renewal of each Management Agreement was in the best interests of each Fund and its shareholders.
| ADDITIONAL INFORMATION | JUNE 30, 2023 (UNAUDITED) |
PROXY DISCLOSURE
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted those proxies during the most recent 12-month period ended June 30 are available without charge: (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; or (2) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
AVAILABILITY OF SCHEDULES OF PORTFOLIO INVESTMENTS:
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year at www.johnsonmutualfunds.com or on Form N-PORT. The Funds’ holdings are available, without charge, (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; (2) by visiting www.johnsonmutualfunds.com; or (3) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
CODE OF ETHICS
The Trust’s Code of Ethics is available on request without charge; please call for your copy at 513-661-3100 or 1-800-541-0170 or write us at:
Johnson Mutual Funds
3777West Fork Road
Cincinnati OH 45247
| Trustees and Officers |
| Ronald H. McSwain | Independent Trustee, Chairman |
| Timothy E. Johnson | Interested Trustee |
| Jonathan Adams | Independent Trustee |
| James J. Berrens | Independent Trustee |
| Dale Coates | Interested Trustee |
| John R. Green | Independent Trustee |
| Julie Murphy | Independent Trustee |
| Jeri B. Ricketts | Independent Trustee |
| Gregory Simpson | Independent Trustee |
| |
| Jason Jackman | President |
| Scott J. Bischoff | Chief Compliance Officer |
| Marc E. Figgins | Chief Financial Officer, Treasurer |
| Jennifer J. Kelhoffer | Secretary |
| |
| Transfer Agent and Fund Accountant |
| Ultimus Fund Solutions, LLC |
| 225 Pictoria Drive, Suite 450 |
| Cincinnati, Ohio 45246 |
| |
| Custodian |
| US Bank |
| 425 Walnut Street |
| Cincinnati, OH 45202 |
| |
| Independent Registered Public Accounting Firm |
| Cohen & Company, Ltd. |
| 1350 Euclid Avenue, Suite 800 |
| Cleveland, Ohio 44115 |
| |
| Legal Counsel |
| Thompson Hine LLP |
| 312 Walnut Street, 14th Floor |
| Cincinnati, Ohio 45202 |
| |
| |
| This report is authorized for distribution to prospective investors only when accompanied or preceded by the Funds’ prospectus, which illustrates each Fund’s objectives, policies, management fees, and other information that may be helpful in making an investment decision. |
| |
| |
| Investment Company Act #811-7254 |
| |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 (UNAUDITED) |
Table of Contents
| Our Message to You | 1 |
| Performance Review and Management Discussion | |
| Institutional Short Duration Bond Fund | 3 |
| Institutional Intermediate Bond Fund | 5 |
| Institutional Core Bond Fund | 7 |
| Enhanced Return Fund | 9 |
| Core Plus Bond Fund | 10 |
| Portfolio of Investments | |
| Institutional Short Duration Bond Fund | 11 |
| Institutional Intermediate Bond Fund | 15 |
| Institutional Core Bond Fund | 18 |
| Enhanced Return Fund | 22 |
| Core Plus Bond Fund | 26 |
| Statements of Assets and Liabilities | 29 |
| Statements of Operations | 31 |
| Statements of Changes in Net Assets | 33 |
| Financial Highlights | |
| Institutional Short Duration Bond Fund | 35 |
| Institutional Intermediate Bond Fund | 37 |
| Institutional Core Bond Fund | 39 |
| Enhanced Return Fund | 41 |
| Core Plus Bond Fund | 42 |
| Notes to the Financial Statements | 43 |
| Disclosure of Expenses | 55 |
| Review and Renewal of Management Agreements | 56 |
| Additional Information | 58 |
| Trustees and Officers, Transfer Agent and Fund Accountant, Custodian, Independent Registered Public Accounting Firm, Legal Counsel | Back Page |
| | |
| LETTER FROM THE FUND PRESIDENT | JUNE 2023 |
We are pleased to present you with the Johnson Mutual Funds’ June 30, 2023 Semi-Annual Report to Shareholders. On the following pages, we have provided commentary on the performance of each of the Funds in the first half of 2023 as well as the relative performance compared to an appropriate benchmark.
The remainder of the report provides the holdings of each Johnson Mutual Fund as well as other financial data and notes.
ENDING OF FED TIGHTENING CYCLE?
The Federal Reserve (Fed) continued on their path of inflation fighting by moving rates 75bps higher in the first half of 2023. On top of the seven increases in 2022, the Fed Funds rate is now above 5%. Market expectations are for 1-2 more increases in the second half of 2023, followed by rate reductions in 2024.
Clearly the higher cost of capital and liquidity being drained from the system are having an impact. Look no further than the banking stress that occurred in March or Leading Economic Indicators (LEI) down 7.9% from a year ago. We have never experienced this level of decline in LEI without being in a recession or close to entering into one. Finally, and thankfully, the rate of increase in inflation has slowed, with the Consumers Price Index registering a 3% increase over last year. While still running hotter than desired, the Fed is closer to getting inflation back towards their long term 2% objective.
STOCK MARKET REBOUNDS IN VERY CONCENTRATED FASHION
On the surface, the stock market could appear to be signaling that the Fed has engineered a soft landing for the economy, and future earnings growth will resume in a positive fashion. The S&P 500 registered a 16.89% gain for the first half of 2023. However, when you look under the surface, a different story emerges. The majority of gains were concentrated in a handful of the largest technology and growth-oriented stocks. The top seven stocks accounted for over 73% of the market’s total return. Apple and Microsoft now represent over 14% of the S&P 500 and a whopping 25% of the Nasdaq index. Prior to June, the remaining 493 names in the index were actually down for the year. The equal weighted S&P 500 was only up 6.99% for the first half of the year. The difference between that and the market capitalization weighted S&P index was the largest spread since 1998, another large cap dominated period.
The majority of this positive market movement was driven by multiple expansion, or the level an investor is willing to pay for a dollar of earnings. Earnings are barely positive this year in sharp contrast to the up market. If the concerns around a slowing economic environment materialize, it could make it much more challenging for companies to hit the earnings growth that the market is currently forecasting.
Earlier this year, we saw the number of constituent stocks in the S&P 500 that were outperforming the Index over the past three months fall below 30%. Historically, that level of narrowness tends to reverse. In prior periods, following hitting that concentration level, the equal weighted S&P 500 has outperformed the market cap weighted S&P 500 by an average of 8.4% over the next twelve months. This could be an argument for active management.
And finally, as we discuss concerns over earnings, it is also important to highlight that the valuation on the market is not cheap, and that is based on earnings that may come under further pressure. Utilizing current consensus earnings estimates, the S&P 500 is trading at 19.1x forward earnings. While valuation is a poor predictor of return in the short term, it can provide a good indication toward longer term, 10-year return expectations. With the starting Price-to-Earnings ratio of 19.1x the regression would indicate equity returns over the next 10 years to average in the 3-6% range.
BONDS ARE BACK AS DIVERSIFIER IN PORTFOLIOS
Bond yields, which have risen greatly over the past year, remain virtually unchanged for this year. Bond yields fell sharply during the first quarter as investors wrestled with the fear of widespread bank failures. During the second quarter of 2023, however, investors grew confident that the banking system woes would remain contained, helping to push the 10-year Treasury yield within just four basis points of where it started the year. The yield curve remains significantly inverted across all parts of the curve. Like rates, credit spreads are largely unchanged from the beginning of the year, finishing three basis points tighter despite a volatile first half of the year. The result of all that is that the aggregate bond index was up 2.1%.
| LETTER FROM THE FUND PRESIDENT | JUNE 2023 |
The yield on an intermediate duration bond portfolio is now above 5%. Having higher yields on fixed income securities provides for the diversification benefit that did not exist in the lower rate environments of the past several years. In periods of risk aversion, fixed income will again be able to provide a benefit to portfolios as a hedge against increasing risks. And with bond portfolios yielding 5% or better, the outlook for bond returns going forward have not been this high in many years (The best indication of long-term returns for fixed income is the starting yield).
LOOKING AHEAD
Diversification in portfolios will matter again as it always has. This narrow equity market leadership is unlikely to last forever. If we experience a repeat of what happened in the first half of the year, the seven largest stocks would represent over a third of the S&P 500. Apple, which recently surpassed a market capitalization of $3 trillion, would have to grow enough to justify a valuation worth more than the annual GDP of any single country on earth except China or the United States. If history teaches us anything, it is that we would be wise to avoid that level of concentration in portfolios. From energy producers in 1980, to Japanese conglomerates in the 1990s, to tech stocks in the 2000s, to emerging markets commodity producers in the 2010s, every decade provides a new example of why it is unwise to concentrate on themes that drove the market in the recent past.
Looking forward, we may be in for a challenging environment and the valuations for the large market leaders could fall under pressure if current economic trends persist. Bonds, for their part, look to be particularly attractive in that scenario, given the increases we have experienced in interest rates. Conversely, if the economy improves, the stock market is likely to broaden with more stocks participating in the rally. Either way, the playbook here at Johnson will remain the same: a diversified portfolio of high-quality securities is the most resilient and reliable path to long-term success.
| JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
The Johnson Institutional Short Duration Bond Fund provided a total return of 1.24% during the first half of 2023, compared to a 1.16% return for the ICE BofA 1-3 Year U.S. Corporate & Government.
Bond investors spent the first six months of 2023 searching for signs we may be nearing the end of the Fed’s historic tightening cycle. Despite a flurry of intra-year volatility, the 10 Year Treasury finished the first half of the year virtually unchanged. Fear of widespread bank failures pushed yields lower during the first quarter. By late Spring, however, investors grew increasingly confident that banking system stress was more likely to remain contained. As a result, the Fed and its ongoing fight on inflation once again took center stage. Despite pausing the Fed’s tightening campaign in June, Chair Powell took great care to emphasize that the Fed’s job may not be done. As a result, the bond market reacted quickly, pricing out any remaining near-term rate cuts, the short end of the yield curve reacted the most, as the two-year Treasury yield approached multi-year highs. The Fund’s longer duration positioning relative to its benchmark was a slight headwind to performance during the first half of the year. However, the barbelled structure of the Fund’s government bond allocation was additive to performance as the yield curve resumed its flattening bias.
Corporate bond spreads followed a similar path to interest rates during the first six months of the year. By late spring corporate bond spreads had widened 60 basis points, but ultimately ended the first half of the year essentially flat. Overall, the Fund’s emphasis on corporate bonds was a tailwind to performance as spreads tightened but was partially offset by sector allocation and security selection within financials. The Fund remains overweight financials, which underperformed industrial and utility peers during the first half of the year. Furthermore, the Fund’s emphasis on regional banks versus large, multinational banks was an additional headwind to relative performance.
As we look toward the second half of the year, we continue to position the Fund defensively. While labor markets remain surprisingly resilient, there are signs the economic moderation continues to grow deeper and more widespread. Manufacturing activity has cooled significantly and is consistent with prior recessions. While still steady overall, consumer spending continues to gradually slow. The good news is this economic moderation has also ushered in several months of softer inflation data. While inflation remains above the Fed’s desired target, much progress has been made in bringing consumer price growth back to more tolerable levels. At the same time, interest rates are approaching their cycle highs and we continue to believe that positioning the Fund modestly long duration relative to its benchmark will allow us to capture historically attractive yields while also building a reliable hedge against future uncertainty and volatility. Similarly, corporate bond spreads remain quite low, and are tighter than economic fundamentals would imply. As a result, we have continued to reduce exposure to select issuers that we view as overvalued. Lastly, Agency MBS remain an attractive alternative to high-quality corporates, and we continue to add exposure to the sector.
Performance Information
Class I Shares
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | JOHNSON | |
| | INSTITUTIONAL | ICE BOFA |
| | SHORT DURATION | GOVERNMENT & |
| | BOND FUND - | CORPORATE 1-3 YEAR |
| | CLASS I SHARES | INDEX |
| SIX MONTHS | 1.24% | 1.16% |
| ONE YEAR | 0.87% | 0.56% |
| FIVE YEARS | 1.11% | 1.15% |
| TEN YEARS | 1.18% | 1.01% |
| JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
Performance Information
Class F Shares
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | JOHNSON | |
| | INSTITUTIONAL | ICE BOFA |
| | SHORT DURATION | GOVERNMENT & |
| | BOND FUND - | CORPORATE 1-3 YEAR |
| | CLASS F SHARES | INDEX |
| SIX MONTHS | 1.16% | 1.16% |
| ONE YEAR | 0.71% | 0.56% |
| FIVE YEARS | 0.92% | 1.15% |
| TEN YEARS | 1.07% | 1.01% |
| SINCE INCEPTION* | 2.63% | 2.59% |
| * | Inception date was May 1, 2018 |
| HOLDINGS BY INDUSTRY SECTOR |
| | | % OF |
| SECTOR ALLOCATION | | NET ASSETS |
| FINANCE | | | 31.7 | % |
| INDUSTRIALS | | | 15.5 | % |
| UTILITIES | | | 13.8 | % |
| COLLATERALIZED MORTGAGE OBLIGATIONS | | | 12.4 | % |
| U.S. TREASURY OBLIGATIONS | | | 11.7 | % |
| U.S. GOVERNMENT & AGENCIES | | | 9.9 | % |
| MUNICIPAL BONDS | | | 4.3 | % |
| CERTIFICATES OF DEPOSIT | | | 0.1 | % |
| CASH EQUIVALENTS | | | 0.1 | % |
| OTHER: | | | | |
| NET OTHER ASSETS (LIABILITIES) | | | 0.5 | % |
| | | | 100.0 | % |
| A high level of income over the long term consistent with capital preservation is the objective of the Johnson Institutional Short Duration Bond Fund. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees, whereas the Index does not incur fees. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ICE BofA Corporate & Government 1-3 year Index is the established benchmark. A shareholder cannot invest directly in the ICE BofA Corporate & Government 1-3 year Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170. |
| |
| JOHNSON INSTITUTIONAL INTERMEDIATE BOND FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
The Johnson Institutional Intermediate Bond Fund provided a total return of 1.43% during the first half of 2023, compared to a 1.50% return for the Bloomberg Capital Intermediate Government/Credit Index.
Bond investors spent the first six months of 2023 searching for signs we may be nearing the end of the Fed’s historic tightening cycle. Despite a flurry of intra-year volatility, the 10 Year Treasury finished the first half of the year virtually unchanged. Fear of widespread bank failures pushed yields lower during the first quarter. By late Spring, however, investors grew increasingly confident that banking system stress was more likely to remain contained. As a result, the Fed and its ongoing fight on inflation once again took center stage. Despite pausing the Fed’s tightening campaign in June, Chair Powell took great care to emphasize that the Fed’s job may not be done. As a result, the bond market reacted quickly, pricing out any remaining near-term rate cuts, the intermediate part of the curve rose modestly, as the two-year Treasury yield approached multi-year highs. The Fund’s longer duration positioning relative to its benchmark was a slight headwind to performance during the first half of the year. However, the negative impact from duration positioning was mitigated by the strategy’s yield advantage and key rate positioning, which were both additive to performance as the yield curve resumed is flattening bias.
Corporate bond spreads followed a similar path to interest rates during the first six months of the year. By late spring corporate bond spreads had widened 40 basis points, but ultimately ended the first half of the year 7 basis points tighter. Overall, the Fund’s emphasis on corporate bonds was a tailwind to performance as spreads tightened but was partially offset by sector allocation and security selection within financials. The Fund remains overweight financials, which underperformed industrial and utility peers during the first half of the year. Furthermore, the Fund’s emphasis on regional banks versus large, multinational banks was an additional headwind to relative performance.
As we look toward the second half of the year, we continue to position the Fund defensively. While labor markets remain surprisingly resilient, there are signs the economic moderation continues to grow deeper and more widespread. Manufacturing activity has cooled significantly and is consistent with prior recessions. While still steady overall, consumer spending continues to gradually slow. The good news is this economic moderation has also ushered in several months of softer inflation data. While inflation remains above the Fed’s desired target, much progress has been made in bringing consumer price growth back to more tolerable levels. At the same time, interest rates are approaching their cycle highs and we continue to believe that positioning the Fund modestly long duration relative to its benchmark will allow us to capture historically attractive yields while also building a reliable hedge against future uncertainty and volatility. Similarly, corporate bond spreads remain quite low, and are tighter than economic fundamentals would imply. As a result, we have continued to reduce exposure to select issuers that we view as overvalued in favor of government weight. Lastly, Agency MBS remain an attractive alternative to high-quality corporates, and we continue to maintain exposure to the sector.
Performance Information
Class I Shares
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | JOHNSON | |
| | INSTITUTIONAL | BLOOMBERG |
| | INTERMEDIATE BOND | CAPITAL |
| | FUND - CLASS I | INTERMEDIATE GOVT/ |
| | SHARES | CREDIT INDEX |
| SIX MONTHS | 1.43% | 1.50% |
| ONE YEAR | -0.10% | -0.10% |
| FIVE YEARS | 1.17% | 1.23% |
| TEN YEARS | 1.74% | 1.41% |
| JOHNSON INSTITUTIONAL INTERMEDIATE BOND FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
Performance Information
Class F Shares
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | JOHNSON | |
| | INSTITUTIONAL | BLOOMBERG |
| | INTERMEDIATE BOND | CAPITAL |
| | FUND - CLASS F | INTERMEDIATE GOVT/ |
| | SHARES | CREDIT INDEX |
| SIX MONTHS | 1.40% | 1.50% |
| ONE YEAR | -0.28% | -0.10% |
| FIVE YEARS | 0.96% | 1.23% |
| TEN YEARS | 1.64% | 1.41% |
| SINCE INCEPTION* | 3.59% | 3.58% |
| * | Inception date was May 1, 2018 |
| HOLDINGS BY INDUSTRY SECTOR |
| | | % OF |
| SECTOR ALLOCATION | | NET ASSETS |
| U.S. TREASURY OBLIGATIONS | | | 33.6 | % |
| FINANCE | | | 24.2 | % |
| UTILITIES | | | 12.0 | % |
| INDUSTRIALS | | | 11.8 | % |
| U.S. GOVERNMENT & AGENCIES | | | 7.5 | % |
| COLLATERALIZED MORTGAGE OBLIGATIONS | | | 7.2 | % |
| MUNICIPAL BONDS | | | 1.9 | % |
| PREFERRED STOCKS | | | 0.6 | % |
| CASH EQUIVALENTS | | | 0.5 | % |
| OTHER: | | | | |
| NET OTHER ASSETS (LIABILITIES) | | | 0.7 | % |
| | | | 100.0 | % |
A high level of income over the long term consistent with capital preservation is the objective of the Johnson Institutional Intermediate Bond Fund. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees, whereas the Index does not incur fees. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Bloomberg Intermediate Government/Credit Index is the established benchmark. A shareholder cannot invest directly in the Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON INSTITUTIONAL CORE BOND FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
The Johnson Institutional Core Bond Fund provided a total return of 2.06% during the first half of 2023, compared to a 2.09% return for the Bloomberg US Aggregate Index.
Bond investors spent the first six months of 2023 searching for signs we may be nearing the end of the Fed’s historic tightening cycle. Despite a flurry of intra-year volatility, the 10 Year Treasury finished the first half of the year virtually unchanged. Fear of widespread bank failures pushed yields lower during the first quarter. By late Spring, however, investors grew increasingly confident that banking system stress was more likely to remain contained. As a result, the Fed and its ongoing fight on inflation once again took center stage. Despite pausing the Fed’s tightening campaign in June, Chair Powell took great care to emphasize that the Fed’s job may not be done. As a result, the bond market reacted quickly, pricing out any remaining near-term rate cuts, causing yields to rise sharply across the curve. The Fund’s longer duration positioning relative to its benchmark was a slight headwind to performance during the first half of the year. However, the barbelled structure of the Fund’s government bond allocation was additive to performance as the yield curve resumed its flattening bias.
Corporate bond spreads followed a similar path to interest rates during the first six months of the year. By late spring corporate bond spreads had widened 33 basis points, but ultimately ended the first half of the year seven basis points tighter than at the start of the year. Overall, the Fund’s emphasis on corporate bonds was a tailwind to performance as spreads tightened but was partially offset by sector allocation and security selection within financials. The Fund remains overweight financials, which underperformed industrial and utility peers during the first half of the year. Furthermore, the Fund’s emphasis on regional banks versus large, multinational banks was an additional headwind to relative performance.
As we look toward the second half of the year, we continue to position the Fund defensively. While labor markets remain surprisingly resilient, there are signs the economic moderation continues to grow deeper and more widespread. Manufacturing activity has cooled significantly and is consistent with prior recessions. While still steady overall, consumer spending continues to gradually slow. The good news is this economic moderation has also ushered in several months of softer inflation data. While inflation remains above the Fed’s desired target, much progress has been made in bringing consumer price growth back to more tolerable levels. At the same time, interest rates are approaching their cycle highs and we continue to believe that positioning the Fund modestly long duration relative to its benchmark will allow us to capture historically attractive yields while also building a reliable hedge against future uncertainty and volatility. Similarly, corporate bond spreads remain quite low, and are tighter than economic fundamentals would imply. As a result, we have continued to reduce exposure to select issuers that we view as overvalued. Lastly, Agency MBS remain an attractive alternative to high-quality corporates, and we continue to add exposure to the sector.
Performance Information
Class I Shares
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | JOHNSON | |
| | INSTITUTIONAL CORE | BLOOMBERG U.S. |
| | BOND FUND - CLASS I | AGGREGATE BOND |
| | SHARES | INDEX |
| SIX MONTHS | 2.06% | 2.09% |
| ONE YEAR | -0.98% | -0.94% |
| FIVE YEARS | 0.95% | 0.77% |
| TEN YEARS | 1.89% | 1.52% |
| JOHNSON INSTITUTIONAL CORE BOND FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
Performance Information
Class F Shares
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | JOHNSON | |
| | INSTITUTIONAL CORE | BLOOMBERG U.S. |
| | BOND FUND - CLASS | AGGREGATE BOND |
| | F SHARES | INDEX |
| SIX MONTHS | 2.03% | 2.09% |
| ONE YEAR | -1.06% | -0.94% |
| FIVE YEARS | 0.73% | 0.77% |
| TEN YEARS | 1.77% | 1.52% |
| SINCE INCEPTION* | 4.06% | 3.83% |
| * | Inception date was May 1, 2018 |
| HOLDINGS BY INDUSTRY SECTOR |
| | | % OF |
| SECTOR ALLOCATION | | NET ASSETS |
| U.S. TREASURY OBLIGATIONS | | | 28.7 | % |
| FINANCE | | | 21.0 | % |
| COLLATERALIZED MORTGAGE OBLIGATIONS | | | 19.4 | % |
| UTILITIES | | | 11.9 | % |
| INDUSTRIALS | | | 11.8 | % |
| U.S. GOVERNMENT & AGENCIES | | | 4.2 | % |
| MUNICIPAL BONDS | | | 1.8 | % |
| PREFERRED STOCKS | | | 0.4 | % |
| CASH EQUIVALENTS | | | 0.1 | % |
| OTHER: | | | | |
| NET OTHER ASSETS (LIABILITIES) | | | 0.7 | % |
| | | | 100.0 | % |
A high level of income over the long term consistent with capital preservation is the objective of the Johnson Institutional Core Bond Fund and the primary assets are investment-grade government and corporate bonds. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees, whereas the Index does not incur fees. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Bloomberg U.S. Aggregate Bond Index is the established benchmark. A shareholder cannot invest directly in the Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON ENHANCED RETURN FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
The total return for the Johnson Enhanced Return Fund in the first half of 2023 was 15.10% compared to 16.89% for the S&P 500 Index. The Fund’s underperformance was driven by rising short and intermediate bond yields which detracted from total returns in the bond portion of the portfolio, as well as by elevated cost-of-carry on the Fund’s futures contracts positions which are utilized by the fund to track the S&P 500 Index’s performance.
2023 saw a rebound for both equity markets, with the S&P 500 up a surprisingly strong 16.89% despite a moderating economic outlook. This was primarily driven by outstanding performance from a handful of the largest technology, communication, and consumer discretionary stocks in the index rather than broad-based strength. Within fixed income markets, short-term interest rates experienced significant volatility in the first half of the year. Fear of widespread bank failures pushed yields lower during the first quarter. By late Spring, however, investors grew increasingly confident that banking system stress was likely to remain contained. As a result, the Fed and its ongoing fight on inflation once again took center stage. Despite pausing the Fed’s tightening campaign in June, Chair Powell took great care to emphasize that the Fed’s job may not be done. As a result, the bond market reacted quickly, pricing out any remaining near-term rate cuts, causing yields to rise sharply across the curve.
Corporate bond spreads followed a similar path to interest rates during the first half of the year. By late spring, corporate bond spreads had widened 33 basis points, but ultimately ended the first half of the year seven basis points tighter than at the start of the year. Overall, the Fund’s emphasis on corporate bonds was a tailwind to performance as spreads tightened but was partially offset by sector allocation and security selection within financials. Over half of the Fund’s bond allocation is to investment-grade rated corporate securities, which is a key reason why its yield is traditionally higher than the cost of carry in the futures contracts. Over time, this yield advantage is critical to the Fund’s ability to outperform its benchmark.
As we look toward the second half of the year, we continue to position the Fund defensively. While labor markets remain surprisingly resilient, there are signs the economic moderation continues to grow deeper and more widespread. Manufacturing activity has cooled significantly and is consistent with prior recessions. While still steady overall, consumer spending continues to gradually slow. The good news is this economic moderation has also ushered in several months of softer inflation data. While inflation remains above the Fed’s desired target, much progress has been made in bringing consumer price growth back to more tolerable levels. At the same time, interest rates are approaching their cycle highs and we continue to believe that positioning the Fund modestly longer in duration versus recent history will allow us to capture historically attractive yields while also building a reliable hedge against future uncertainty and volatility. Similarly, corporate bond spreads remain quite low and are tighter than economic fundamentals would imply. As a result, we have continued to reduce exposure to select issuers that we view as overvalued.
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | ENHANCED | |
| | RETURN FUND | S&P 500 INDEX |
| SIX MONTHS | 15.10% | 16.89% |
| ONE YEAR | 15.14% | 19.59% |
| FIVE YEARS | 10.54% | 12.31% |
| TEN YEARS | 11.97% | 12.86% |
| HOLDINGS BY INDUSTRY SECTOR |
| | | % OF |
| SECTOR ALLOCATION | | NET ASSETS |
| FINANCE | | | 29.4 | % |
| U.S. TREASURY OBLIGATIONS | | | 16.9 | % |
| INDUSTRIALS | | | 15.2 | % |
| UTILITIES | | | 14.3 | % |
| COLLATERLIZED MORTGAGE OBLIGATIONS | | | 11.6 | % |
| U.S. GOVERNMENT & AGENCIES | | | 6.8 | % |
| MUNICIPAL BONDS | | | 2.4 | % |
| CASH EQUIVALENTS | | | 1.4 | % |
| OTHER: | | | | |
| NET OTHER ASSETS (LIABILITIES) | | | 2.0 | % |
| | | | 100.0 | % |
Outperforming the Fund’s benchmark, the S&P 500 Index, over a full market cycle is the objective of the Johnson Enhanced Return Fund and the primary assets are stock index futures contracts and short-term investment-grade fixed income securities. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees, whereas the Index does not incur fees. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. A shareholder cannot invest directly in the S&P 500 Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON CORE PLUS BOND FUND | PERFORMANCE REVIEW – JUNE 30, 2023 |
The Johnson Core Plus Bond Fund provided a total return of 2.18% during the first half of 2023, compared to a 2.09% return for the Bloomberg US Aggregate Index.
Bond investors spent the first six months of 2023 searching for signs we may be nearing the end of the Fed’s historic tightening cycle. Despite a flurry of intra-year volatility, the 10 Year Treasury finished the first half of the year virtually unchanged. Fear of widespread bank failures pushed yields lower during the first quarter. By late Spring, however, investors grew increasingly confident that banking system stress was more likely to remain contained. As a result, the Fed and its ongoing fight on inflation once again took center stage. Despite pausing the Fed’s tightening campaign in June, Chair Powell took great care to emphasize that the Fed’s job may not be done. As a result, the bond market reacted quickly, pricing out any remaining near-term rate cuts, causing yields to rise sharply across the curve. The Fund’s longer duration positioning relative to its benchmark was a slight headwind to performance during the first half of the year. The Fund does seek to use Treasury Futures to adjust duration and yield curve exposure. While the use of futures amplified the negative impact of duration on the portfolio, the barbelled structure of the Fund’s government bond allocation was additive to performance as the yield curve resumed its flattening bias.
Corporate bond spreads followed a similar path to interest rates during the first six months of the year. By late spring corporate bond spreads had widened 33 basis points, but ultimately ended the first half of the year seven basis points tighter than at the start of the year. Overall, the Fund’s emphasis on corporate bonds was a tailwind to performance as spreads tightened but was partially offset by sector allocation and security selection within financials. The Fund remains overweight financials, which underperformed industrial and utility peers during the first half of the year. Furthermore, the Fund’s emphasis on regional banks versus large, multinational banks was an additional headwind to relative performance. The Fund also has the flexibility to own securities rated below Investment Grade to maximize current income. High yield bond spreads tightened meaningfully during the first half of the year, and the Fund’s exposure to these securities was beneficial to relative performance.
As we look toward the second half of the year, we continue to position the Fund defensively. While labor markets remain surprisingly resilient, there are signs the economic moderation continues to grow deeper and more widespread. Manufacturing activity has cooled significantly and is consistent with prior recessions. While still steady overall, consumer spending continues to gradually slow. The good news is this economic moderation has also ushered in several months of softer inflation data. While inflation remains above the Fed’s desired target, much progress has been made in bringing consumer price growth back to more tolerable levels. At the same time, interest rates are approaching their cycle highs and we continue to believe that positioning the Fund modestly long duration relative to its benchmark will allow us to capture historically attractive yields while also building a reliable hedge against future uncertainty and volatility. Similarly, corporate bond spreads remain quite low, and are tighter than economic
fundamentals would imply. As a result, we have continued to reduce exposure to select issuers that we view as overvalued. Lastly, Agency MBS remain an attractive alternative to high-quality corporates, and we continue to add exposure to the sector.
| AVERAGE ANNUAL TOTAL RETURNS | AS OF JUNE 30, 2023 |
| | | BLOOMBERG U.S. |
| | CORE PLUS BOND | AGGREGATE BOND |
| | FUND | INDEX |
| SIX MONTHS | 2.18% | 2.09% |
| ONE YEAR | -0.41% | -0.94% |
| SINCE INCEPTION* | -7.24% | -6.88% |
| HOLDINGS BY INDUSTRY SECTOR |
| | | % OF |
| SECTOR ALLOCATION | | NET ASSETS |
| COLLATERLIZED MORTGAGE OBLIGATIONS | | | 27.7 | % |
| INDUSTRIALS | | | 22.1 | % |
| FINANCE | | | 19.0 | % |
| U.S. TREASURY OBLIGATIONS | | | 16.7 | % |
| UTILITIES | | | 10.5 | % |
| U.S. GOVERNMENT & AGENCIES | | | 2.1 | % |
| PREFERRED STOCKS | | | 1.0 | % |
| CASH EQUIVALENTS | | | 0.2 | % |
| OTHER: | | | | |
| NET OTHER ASSETS (LIABILITIES) | | | 0.7 | % |
| | | | 100.0 | % |
| * | Fund Inception was November 17, 2021 |
The investment objective of the Johnson Core Plus Bond Fund is to maximize total return over the long term consistent with the preservation of capital, and the primary assets are government and corporate bonds and other fixed income securities. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees, whereas the Index does not incur fees. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Bloomberg U.S. Aggregate Bond Index is the established benchmark. A shareholder cannot invest directly in the Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
| JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 61.0% | | Coupon | | Maturity | | Par Value | | | Value | |
| Finance — 31.7% | | | | | | | | | | | | |
| American Express Co. | | 2.500% | | 07/30/24 | | $ | 2,900,000 | | | $ | 2,803,961 | |
| AON plc | | 3.500% | | 06/14/24 | | | 2,385,000 | | | | 2,334,629 | |
| AON plc | | 3.875% | | 12/15/25 | | | 2,700,000 | | | | 2,602,209 | |
| Bank of America Corp., Series L | | 3.875% | | 08/01/25 | | | 2,765,000 | | | | 2,690,334 | |
| Branch Banking & Trust Co. | | 3.625% | | 09/16/25 | | | 1,500,000 | | | | 1,400,835 | |
| Chubb INA Holdings, Inc. | | 3.350% | | 05/15/24 | | | 2,697,000 | | | | 2,642,220 | |
| Essex Portfolio, L.P. | | 3.875% | | 05/01/24 | | | 1,950,000 | | | | 1,913,116 | |
| Essex Portfolio, L.P. | | 3.375% | | 04/15/26 | | | 2,654,000 | | | | 2,513,258 | |
| Fifth Third Bancorp | | 4.300% | | 01/16/24 | | | 3,440,000 | | | | 3,386,350 | |
| Fifth Third Bancorp | | 2.375% | | 01/28/25 | | | 1,770,000 | | | | 1,661,037 | |
| Huntington Bancshares, Inc. | | 2.625% | | 08/06/24 | | | 5,000,000 | | | | 4,783,994 | |
| JPMorgan Chase & Co. | | 3.875% | | 09/10/24 | | | 1,745,000 | | | | 1,703,813 | |
| JPMorgan Chase & Co. | | 3.540% | | 05/01/28 | | | 1,000,000 | | | | 935,262 | |
| KeyCorp, Series O | | 4.150% | | 10/29/25 | | | 4,700,000 | | | | 4,357,628 | |
| M&T Bank Corp. | | 3.550% | | 07/26/23 | | | 3,431,000 | | | | 3,424,333 | |
| Marsh & McLennan Co., Inc. | | 3.500% | | 06/03/24 | | | 1,365,000 | | | | 1,336,689 | |
| Marsh & McLennan Co., Inc. | | 3.500% | | 03/10/25 | | | 1,000,000 | | | | 969,941 | |
| Microsoft Corp. | | 3.125% | | 11/03/25 | | | 2,500,000 | | | | 2,405,968 | |
| Morgan Stanley, Series F | | 3.700% | | 10/23/24 | | | 1,675,000 | | | | 1,635,234 | |
| Morgan Stanley, Series F | | 4.000% | | 07/23/25 | | | 2,750,000 | | | | 2,670,357 | |
| National Retail Properties, Inc. | | 3.900% | | 06/15/24 | | | 1,197,000 | | | | 1,172,172 | |
| National Retail Properties, Inc. | | 4.000% | | 11/15/25 | | | 2,965,000 | | | | 2,822,351 | |
| PNC Bank NA | | 3.800% | | 07/25/23 | | | 1,000,000 | | | | 998,048 | |
| PNC Financial Services Group, Inc. (The) | | 3.900% | | 04/29/24 | | | 3,440,000 | | | | 3,377,385 | |
| Private Export Funding Corp., 144A | | 5.500% | | 03/14/25 | | | 2,000,000 | | | | 2,000,440 | |
| Suntrust Bank, Inc. | | 4.000% | | 05/01/25 | | | 3,002,000 | | | | 2,904,642 | |
| U.S. Bancorp, Series W | | 3.600% | | 09/11/24 | | | 1,594,000 | | | | 1,548,063 | |
| U.S. Bancorp, Series MTN | | 3.100% | | 04/27/26 | | | 2,655,000 | | | | 2,478,209 | |
| Wells Fargo & Co., Series N | | 3.550% | | 09/29/25 | | | 600,000 | | | | 575,618 | |
| Wells Fargo & Co., Series M | | 4.100% | | 06/03/26 | | | 2,550,000 | | | | 2,447,442 | |
| | | | | | | | | | | | 68,495,538 | |
| Industrials — 15.5% | | | | | | | | | | | | |
| Becton Dickinson and Co. | | 3.363% | | 06/06/24 | | | 2,235,000 | | | | 2,187,464 | |
| Burlington Northern Santa Fe | | 3.850% | | 09/01/23 | | | 1,160,000 | | | | 1,156,128 | |
| Burlington Northern Santa Fe | | 3.750% | | 04/01/24 | | | 1,460,000 | | | | 1,440,418 | |
| CVS Health Corp. | | 3.875% | | 07/20/25 | | | 4,600,000 | | | | 4,472,851 | |
| Dover Corp. | | 3.150% | | 11/15/25 | | | 4,548,000 | | | | 4,305,511 | |
| Enterprise Products Operating, LLC | | 3.750% | | 02/15/25 | | | 1,500,000 | | | | 1,459,712 | |
| Johnson Controls International plc | | 3.625% | | 07/02/24 | | | 2,936,000 | | | | 2,876,460 | |
| Johnson Controls International plc | | 3.900% | | 02/14/26 | | | 555,000 | | | | 533,361 | |
| Kroger Co. (The) | | 4.000% | | 02/01/24 | | | 4,600,000 | | | | 4,553,632 | |
| Norfolk Southern Corp. | | 5.590% | | 05/17/25 | | | 1,000,000 | | | | 998,860 | |
| Roper Technologies, Inc. | | 1.000% | | 09/15/25 | | | 4,230,000 | | | | 3,846,280 | |
| Shell International | | 3.250% | | 05/11/25 | | | 3,115,000 | | | | 3,011,659 | |
| Union Pacific Corp. | | 3.150% | | 03/01/24 | | | 1,700,000 | | | | 1,671,838 | |
| Verizon Communications, Inc. | | 2.100% | | 03/22/28 | | | 1,000,000 | | | | 878,611 | |
| | | | | | | | | | | | 33,392,785 | |
| Utilities — 13.8% | | | | | | | | | | | | |
| Duke Energy Corp. | | 0.900% | | 09/15/25 | | | 4,112,000 | | | | 3,742,072 | |
| Eversource Energy, Series H | | 3.150% | | 01/15/25 | | | 500,000 | | | | 480,920 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 61.0% | | Coupon | | Maturity | | Par Value | | | Value | |
| Eversource Energy, Series U | | 1.400% | | 08/15/26 | | $ | 1,240,000 | | | $ | 1,100,651 | |
| Florida Power & Light Co. | | 4.400% | | 05/15/28 | | | 4,390,000 | | | | 4,307,604 | |
| Georgia Power Co., Series 2020-A | | 2.100% | | 07/30/23 | | | 3,045,000 | | | | 3,036,130 | |
| Georgia Power Co., Series 2019-A | | 2.200% | | 09/15/24 | | | 2,043,000 | | | | 1,952,992 | |
| Interstate Power & Light Co. | | 3.250% | | 12/01/24 | | | 449,000 | | | | 433,561 | |
| Interstate Power & Light Co. | | 3.400% | | 08/15/25 | | | 4,472,000 | | | | 4,234,948 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 2.950% | | 02/07/24 | | | 1,830,000 | | | | 1,798,945 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 2.850% | | 01/27/25 | | | 2,505,000 | | | | 2,408,187 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 3.250% | | 11/01/25 | | | 900,000 | | | | 856,612 | |
| Virginia Electric & Power Co., Series A | | 3.500% | | 03/15/27 | | | 1,000,000 | | | | 947,442 | |
| Xcel Energy, Inc. | | 3.300% | | 06/01/25 | | | 4,720,000 | | | | 4,521,698 | |
| | | | | | | | | | | | 29,821,762 | |
| Total Corporate Bonds (Cost $138,893,974) | | | | | | | | | | $ | 131,710,085 | |
| | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.4% | | | | | | | | | | | | |
| Federal Home Loan Mortgage Corporation — 4.6% | | | | | | | | | | | | |
| FHLMC, Series 2989, Class TG | | 5.000% | | 06/01/25 | | $ | 46,096 | | | $ | 45,736 | |
| FHLMC, Pool #SB-0037 | | 2.500% | | 12/01/27 | | | 469,688 | | | | 447,787 | |
| FHLMC, Pool #G1-5973 | | 3.000% | | 07/01/31 | | | 849,612 | | | | 794,769 | |
| FHLMC, Pool #V6-1479, Series V6-1479 | | 2.500% | | 01/01/32 | | | 2,955,566 | | | | 2,743,487 | |
| FHLMC, Pool #G1-8642 | | 3.500% | | 04/01/32 | | | 960,236 | | | | 922,217 | |
| FHLMC, Pool #ZT-1964 | | 3.500% | | 06/01/32 | | | 792,587 | | | | 761,319 | |
| FHLMC, Pool #G1-6330 | | 3.500% | | 08/01/32 | | | 840,560 | | | | 808,468 | |
| FHLMC, Series 4980, Class DB | | 1.250% | | 10/25/34 | | | 2,422,533 | | | | 2,127,848 | |
| FHLMC, Pool #ZS-9286 | | 4.500% | | 04/01/35 | | | 733,879 | | | | 726,253 | |
| FHLMC, Series 4198, Class BE | | 2.000% | | 10/15/40 | | | 101,415 | | | | 98,822 | |
| FHLMC, Series 4125, Class KP | | 2.500% | | 05/15/41 | | | 449,111 | | | | 418,743 | |
| FHLMC, Series 4009, Class PA | | 2.000% | | 06/15/41 | | | 69,565 | | | | 64,801 | |
| FHLMC, Pool #2B-0350 (a) | | 4.610% | | 04/01/42 | | | 11,306 | | | | 11,126 | |
| | | | | | | | | | | | 9,971,376 | |
| Federal National Mortgage Association — 7.8% | | | | | | | | | | | | |
| FNMA, Series 2003-79, Class NJ | | 5.000% | | 08/25/23 | | | 270 | | | | 270 | |
| FNMA, Series 2013-1, Class LA | | 1.250% | | 02/25/28 | | | 692,788 | | | | 641,106 | |
| FNMA, Pool #AL9230 | | 3.500% | | 12/01/29 | | | 427,007 | | | | 411,632 | |
| FNMA, Pool #MA0384 | | 5.000% | | 04/01/30 | | | 178,030 | | | | 177,405 | |
| FNMA, Pool #MA4424 | | 1.500% | | 09/01/31 | | | 5,861,415 | | | | 5,273,058 | |
| FNMA, Pool #FM1926 | | 3.000% | | 09/01/32 | | | 899,253 | | | | 853,725 | |
| FNMA, Series 2013-3, Class DK | | 1.750% | | 02/25/33 | | | 534,356 | | | | 482,709 | |
| FNMA, Pool #FM2287 | | 4.500% | | 03/01/34 | | | 847,019 | | | | 830,098 | |
| FNMA, Series 2020 B | | 4.500% | | 07/01/34 | | | 1,137,502 | | | | 1,121,414 | |
| FNMA, Pool #FM2989 | | 3.000% | | 09/01/34 | | | 832,850 | | | | 788,996 | |
| FNMA, Pool #AL7077 | | 4.000% | | 07/01/35 | | | 502,813 | | | | 491,271 | |
| FNMA, Series 2020-044, Class TE | | 2.000% | | 12/25/35 | | | 1,803,842 | | | | 1,642,590 | |
| FNMA, Series 2013-6, Class BC | | 1.500% | | 12/25/42 | | | 126,081 | | | | 119,348 | |
| FNMA, Pool #AY0089 (a) | | 3.850% | | 12/01/44 | | | 119,207 | | | | 119,450 | |
| FNMA, Pool #AL8183 (a) | | 5.812% | | 02/01/46 | | | 94,758 | | | | 95,218 | |
| FNMA, Series 2020-95, Class GA | | 1.000% | | 01/25/51 | | | 4,954,666 | | | | 3,748,018 | |
| | | | | | | | | | | | 16,796,308 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.4% | | Coupon | | Maturity | | Par Value | | | Value | |
| Government National Mortgage Association — 0.0% (b) | | | | | | | | | | | | |
| GNMA, Pool #726475X | | 4.000% | | 11/15/24 | | $ | 13,400 | | | $ | 13,195 | |
| | | | | | | | | | | | | |
| Total Collateralized Mortgage Obligations (Cost $29,991,072) | | | | | | | | | | $ | 26,780,879 | |
| | | | | | | | | | | | | |
| MUNICIPAL BONDS — 4.3% | | | | | | | | | | | | |
| Allegheny County Pennsylvania, Series C-79 | | 0.843% | | 11/01/24 | | $ | 600,000 | | | $ | 563,663 | |
| Allegheny County Pennsylvania, Series C-79 | | 0.973% | | 11/01/25 | | | 1,835,000 | | | | 1,660,669 | |
| Commonwealth Financing Authority Pennsylvania Revenue, Series 2006-C | | 5.197% | | 06/01/26 | | | 1,035,000 | | | | 1,019,816 | |
| Franklin County Ohio Convention Facilities Authority, Series 2020-B | | 1.255% | | 12/01/25 | | | 500,000 | | | | 453,080 | |
| Kentucky State Property and Buildings Commission, Series D | | 2.080% | | 11/01/23 | | | 700,000 | | | | 691,000 | |
| Pennsylvania State University, Series D | | 1.545% | | 09/01/24 | | | 1,145,000 | | | | 1,094,384 | |
| Pennsylvania State University, Series D | | 1.645% | | 09/01/25 | | | 2,000,000 | | | | 1,856,880 | |
| Wisconsin State GO Revenue, Series A | | 4.330% | | 05/01/27 | | | 2,000,000 | | | | 1,961,396 | |
| Total Municipal Bonds (Cost $9,851,933) | | | | | | | | | | | 9,300,888 | |
| | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCIES — 9.9% | | | | | | | | | | | | |
| Federal National Mortgage Association — 2.7% | | | | | | | | | | | | |
| FNMA | | 0.500% | | 06/17/25 | | $ | 1,195,000 | | | $ | 1,096,487 | |
| FNMA | | 0.375% | | 08/25/25 | | | 5,130,000 | | | | 4,662,056 | |
| | | | | | | | | | | | 5,758,543 | |
| Federal Home Loan Bank — 5.5% | | | | | | | | | | | | |
| FHLB | | 3.875% | | 09/15/23 | | | 1,325,000 | | | | 1,320,496 | |
| FHLB | | 4.300% | | 09/26/23 | | | 1,000,000 | | | | 997,895 | |
| FHLB | | 3.500% | | 12/08/23 | | | 2,000,000 | | | | 1,982,480 | |
| FHLB | | 5.000% | | 12/19/23 | | | 1,000,000 | | | | 996,774 | |
| FHLB | | 4.625% | | 03/14/25 | | | 1,870,000 | | | | 1,852,628 | |
| FHLB | | 1.375% | | 08/26/26 | | | 3,700,000 | | | | 3,335,521 | |
| FHLB | | 1.375% | | 09/29/26 | | | 1,585,000 | | | | 1,429,253 | |
| | | | | | | | | | | | 11,915,047 | |
| Federal Home Loan Mortgage Corporation — 1.7% | | | | | | | | | | | | |
| FHLMC | | 0.450% | | 07/22/24 | | | 4,000,000 | | | | 3,783,208 | |
| | | | | | | | | | | | | |
| Total U.S. Government & Agencies (Cost $22,791,111) | | | | | | | | | | $ | 21,456,798 | |
| | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS — 11.7% | | | | | | | | | | | | |
| U.S. Treasury Notes — 11.7% | | | | | | | | | | | | |
| U.S. Treasury Notes | | 2.250% | | 04/30/24 | | $ | 2,200,000 | | | $ | 2,143,196 | |
| U.S. Treasury Notes | | 2.000% | | 11/15/26 | | | 4,300,000 | | | | 3,977,835 | |
| U.S. Treasury Notes | | 2.750% | | 07/31/27 | | | 11,310,000 | | | | 10,663,215 | |
| U.S. Treasury Notes | | 2.750% | | 02/15/28 | | | 9,090,000 | | | | 8,543,891 | |
| Total U.S. Treasury Obligations (Cost $25,568,992) | | | | | | | | | | | 25,328,137 | |
| | | | | | | | | | | | | |
| CERTIFICATE OF DEPOSIT — 0.1% | | | | | | | | | | | | |
| Financials — 0.1% | | | | | | | | | | | | |
| Goldman Sachs Group, Inc. (The) (Cost $249,927) | | 3.400% | | 10/17/23 | | $ | 250,000 | | | $ | 248,758 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MONEY MARKET FUNDS — 0.1% | | Shares | | | Value | |
| First American Government Obligations Fund - Class Z, 4.97% (c) (Cost $150,864) | | | 150,864 | | | $ | 150,864 | |
| | | | | | | | | |
| Investments at Value — 99.5% (Cost $227,497,873) | | | | | | $ | 214,976,409 | |
| | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.5% | | | | | | | 1,138,811 | |
| | | | | | | | | |
| Net Assets—100.0% | | | | | | $ | 216,115,220 | |
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread. |
| (b) | Percentage rounds to less than 0.1%. |
| (c) | The rate shown is the 7-day effective yield as of June 30, 2023. |
144A - Security was purchased in a transaction exempt from registration in compliance with Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total value of such securities is $2,000,440 as of June 30, 2023, representing 0.9% of net assets.
plc - Public Limited Company
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL INTERMEDIATE BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 48.0% | | Coupon | | Maturity | | Par Value | | | Value | |
| Finance — 24.2% | | | | | | | | | | | | |
| Allstate Corp. (The) | | 5.250% | | 03/30/33 | | $ | 1,000,000 | | | $ | 996,789 | |
| American Express Co. | | 3.950% | | 08/01/25 | | | 4,250,000 | | | | 4,124,425 | |
| AON Corp. | | 3.750% | | 05/02/29 | | | 4,300,000 | | | | 3,980,200 | |
| Bank of America Corp. | | 5.202% | | 04/25/29 | | | 4,920,000 | | | | 4,867,238 | |
| Branch Banking & Trust Co. | | 3.625% | | 09/16/25 | | | 1,145,000 | | | | 1,069,304 | |
| Essex Portfolio, L.P. | | 3.375% | | 04/15/26 | | | 1,000,000 | | | | 946,970 | |
| Essex Portfolio, L.P. | | 4.000% | | 03/01/29 | | | 1,216,000 | | | | 1,123,133 | |
| Essex Portfolio, L.P. | | 3.000% | | 01/15/30 | | | 2,120,000 | | | | 1,814,457 | |
| Fifth Third Bancorp | | 4.300% | | 01/16/24 | | | 1,700,000 | | | | 1,673,487 | |
| Fifth Third Bancorp | | 2.375% | | 01/28/25 | | | 3,114,000 | | | | 2,922,299 | |
| Huntington Bancshares, Inc. | | 4.000% | | 05/15/25 | | | 1,225,000 | | | | 1,174,118 | |
| Huntington Bancshares, Inc. | | 4.443% | | 08/04/28 | | | 2,775,000 | | | | 2,581,494 | |
| JPMorgan Chase & Co. | | 3.875% | | 09/10/24 | | | 3,065,000 | | | | 2,992,657 | |
| JPMorgan Chase & Co. (SOFR + 379) (a) | | 4.493% | | 03/24/31 | | | 2,500,000 | | | | 2,401,410 | |
| KeyCorp, Series O | | 4.150% | | 10/29/25 | | | 2,000,000 | | | | 1,854,310 | |
| Marsh & McLennan Co., Inc. | | 3.500% | | 06/03/24 | | | 1,500,000 | | | | 1,468,889 | |
| Morgan Stanley, Series F | | 3.700% | | 10/23/24 | | | 4,135,000 | | | | 4,036,831 | |
| Morgan Stanley, Series I (SOFR + 166.9) (a) | | 4.679% | | 07/17/26 | | | 1,674,000 | | | | 1,642,505 | |
| PNC Financial Services Group, Inc. (The) | | 3.500% | | 01/23/24 | | | 2,000,000 | | | | 1,972,464 | |
| PNC Financial Services Group, Inc. (The) | | 3.450% | | 04/23/29 | | | 1,000,000 | | | | 902,967 | |
| Prologis, Inc. | | 5.125% | | 01/15/34 | | | 2,000,000 | | | | 1,984,856 | |
| Suntrust Bank, Inc. | | 4.000% | | 05/01/25 | | | 920,000 | | | | 890,163 | |
| Truist Financial Corp., Series J | | 3.800% | | 10/30/26 | | | 1,500,000 | | | | 1,369,413 | |
| U.S. Bancorp, Series Y | | 3.000% | | 07/30/29 | | | 1,625,000 | | | | 1,377,188 | |
| U.S. Bancorp, Series BB (a) | | 4.967% | | 07/22/33 | | | 4,000,000 | | | | 3,626,888 | |
| Wells Fargo & Co., Series M | | 4.100% | | 06/03/26 | | | 2,050,000 | | | | 1,967,551 | |
| Wells Fargo & Co., Series Q | | 3.196% | | 06/17/27 | | | 1,000,000 | | | | 939,440 | |
| Wells Fargo & Co., Series O | | 4.300% | | 07/22/27 | | | 2,600,000 | | | | 2,495,769 | |
| | | | | | | | | | | | 59,197,215 | |
| Industrials — 11.8% | | | | | | | | | | | | |
| Becton Dickinson & Co. | | 3.700% | | 06/06/27 | | | 4,000,000 | | | | 3,802,180 | |
| Burlington Northern Santa Fe | | 3.650% | | 09/01/25 | | | 485,000 | | | | 470,466 | |
| CVS Health Corp. | | 4.300% | | 03/25/28 | | | 3,200,000 | | | | 3,085,930 | |
| Dover Corp. | | 3.150% | | 11/15/25 | | | 2,650,000 | | | | 2,508,707 | |
| Dover Corp. | | 2.950% | | 11/04/29 | | | 1,495,000 | | | | 1,314,290 | |
| Johnson Controls International plc | | 3.900% | | 02/14/26 | | | 2,282,000 | | | | 2,193,025 | |
| Kroger Co. (The) | | 3.500% | | 02/01/26 | | | 2,100,000 | | | | 2,014,696 | |
| Lowes Cos., Inc. | | 4.500% | | 04/15/30 | | | 2,250,000 | | | | 2,188,233 | |
| Norfolk Southern Corp. | | 2.900% | | 06/15/26 | | | 3,790,000 | | | | 3,569,824 | |
| Verizon Communications, Inc. | | 4.016% | | 12/03/29 | | | 3,935,000 | | | | 3,670,784 | |
| Xylem, Inc. | | 3.250% | | 11/01/26 | | | 4,000,000 | | | | 3,763,840 | |
| Xylem, Inc. | | 1.950% | | 01/30/28 | | | 500,000 | | | | 438,842 | |
| | | | | | | | | | | | 29,020,817 | |
| Utilities — 12.0% | | | | | | | | | | | | |
| Berkshire Hathaway, Inc. | | 3.250% | | 04/15/28 | | | 3,500,000 | | | | 3,220,119 | |
| Duke Energy Corp. | | 2.650% | | 09/01/26 | | | 1,550,000 | | | | 1,433,564 | |
| Eversource Energy, Series AA | | 4.750% | | 05/15/26 | | | 1,500,000 | | | | 1,471,610 | |
| Eversource Energy, Series M | | 3.300% | | 01/15/28 | | | 2,700,000 | | | | 2,485,804 | |
| Florida Power & Light Co. | | 4.400% | | 05/15/28 | | | 4,515,000 | | | | 4,430,258 | |
| Georgia Power Co., Series 2019-A | | 2.200% | | 09/15/24 | | | 325,000 | | | | 310,681 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL INTERMEDIATE BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 48.0% | | Coupon | | Maturity | | Par Value | | | Value | |
| Georgia Power Co., Series 2019B | | 2.650% | | 09/15/29 | | $ | 3,500,000 | | | $ | 3,026,191 | |
| Interstate Power & Light Co. | | 3.400% | | 08/15/25 | | | 1,035,000 | | | | 980,137 | |
| Interstate Power & Light Co. | | 4.100% | | 09/26/28 | | | 2,367,000 | | | | 2,239,497 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 3.400% | | 02/07/28 | | | 3,090,000 | | | | 2,879,410 | |
| Virginia Electric & Power Co., Series 2014A | | 3.450% | | 02/15/24 | | | 565,000 | | | | 556,151 | |
| Virginia Electric & Power Co., Series 2015A | | 3.100% | | 05/15/25 | | | 394,000 | | | | 376,217 | |
| Virginia Electric & Power Co., Series A | | 3.800% | | 04/01/28 | | | 2,250,000 | | | | 2,133,072 | |
| Xcel Energy, Inc. | | 3.300% | | 06/01/25 | | | 4,050,000 | | | | 3,879,847 | |
| | | | | | | | | | | | 29,422,558 | |
| Total Corporate Bonds (Cost $127,718,324) | | | | | | | | | | $ | 117,640,590 | |
| | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 7.2% | | | | | | | | | | | | |
| Federal Home Loan Mortgage Corporation — 3.7% | | | | | | | | | | | | |
| FHLMC, Series 2985, Class GE | | 5.500% | | 06/15/25 | | $ | 14,830 | | | $ | 14,729 | |
| FHLMC, Pool #J1-2635 | | 4.000% | | 07/01/25 | | | 47,756 | | | | 46,832 | |
| FHLMC, Pool #G1-8642 | | 3.500% | | 04/01/32 | | | 511,762 | | | | 491,500 | |
| FHLMC, Series 4151, Class PA | | 2.000% | | 01/15/33 | | | 954,041 | | | | 874,342 | |
| FHLMC, Pool #SB-0297 | | 3.000% | | 03/01/35 | | | 1,949,380 | | | | 1,827,624 | |
| FHLMC, Pool #G0-8068 | | 5.500% | | 07/01/35 | | | 76,918 | | | | 78,681 | |
| FHLMC, Pool #SC-0047 | | 3.000% | | 01/01/40 | | | 3,050,142 | | | | 2,787,363 | |
| FHLMC, Series 3946, Class LN | | 3.500% | | 04/15/41 | | | 215,892 | | | | 206,669 | |
| FHLMC, Pool #2B-0350 (a) | | 4.610% | | 04/01/42 | | | 12,113 | | | | 11,921 | |
| FHLMC, Series 5189, Class PG | | 2.500% | | 09/25/51 | | | 3,057,050 | | | | 2,687,125 | |
| | | | | | | | | | | | 9,026,786 | |
| Federal National Mortgage Association — 3.5% | | | | | | | | | | | | |
| FNMA, Pool #MA0384 | | 5.000% | | 04/01/30 | | | 71,212 | | | | 70,962 | |
| FNMA, Pool #MA1237 | | 3.000% | | 11/01/32 | | | 807,644 | | | | 757,153 | |
| FNMA, Pool #FM5050 | | 2.500% | | 02/01/35 | | | 2,272,248 | | | | 2,115,682 | |
| FNMA, Series 2016-99, Class TA | | 3.500% | | 03/25/36 | | | 201,776 | | | | 193,567 | |
| FNMA, Pool #FS0140 | | 4.000% | | 11/01/37 | | | 3,538,920 | | | | 3,424,973 | |
| FNMA, Pool #AA4392 | | 4.000% | | 04/01/39 | | | 84,753 | | | | 81,391 | |
| FNMA, Series 2011-52, Class PC | | 3.000% | | 03/25/41 | | | 289,629 | | | | 277,374 | |
| FNMA, Pool #AJ7509 (a) | | 4.030% | | 12/01/41 | | | 37,267 | | | | 36,738 | |
| FNMA, Series 2012-128, Class TP | | 2.000% | | 11/25/42 | | | 450,224 | | | | 410,091 | |
| FNMA, Series 2015-37, Class BA | | 3.000% | | 08/25/44 | | | 659,422 | | | | 612,667 | |
| FNMA, Pool #AY0089 (a) | | 3.850% | | 12/01/44 | | | 122,442 | | | | 122,691 | |
| FNMA, Series 2016-39, Class LA | | 2.500% | | 03/25/45 | | | 507,461 | | | | 463,418 | |
| | | | | | | | | | | | 8,566,707 | |
| Total Collateralized Mortgage Obligations (Cost $19,719,468) | | | | | | | | | | $ | 17,593,493 | |
| | | | | | | | | | | | | |
| MUNICIPAL BONDS — 1.9% | | | | | | | | | | | | |
| Kansas Development Finance Authority, Series 2015 H | | 4.091% | | 04/15/27 | | | 3,000,000 | | | $ | 2,882,409 | |
| Pennsylvania State University, Series 2020 D | | 1.893% | | 09/01/26 | | | 2,000,000 | | | | 1,820,376 | |
| | | | | | | | | | | | | |
| Total Municipal Bonds (Cost $5,097,302) | | | | | | | | | | $ | 4,702,785 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL INTERMEDIATE BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| U.S. TREASURY OBLIGATIONS — 33.6% | | Coupon | | Maturity | | Par Value | | | Value | |
| U.S. Treasury Notes — 33.6% | | | | | | | | | | | | |
| U.S. Treasury Notes | | 2.000% | | 08/15/25 | | $ | 1,500,000 | | | $ | 1,414,805 | |
| U.S. Treasury Notes | | 1.625% | | 05/15/26 | | | 650,000 | | | | 599,930 | |
| U.S. Treasury Notes | | 2.250% | | 08/15/27 | | | 6,500,000 | | | | 6,008,438 | |
| U.S. Treasury Notes | | 0.625% | | 12/31/27 | | | 13,000,000 | | | | 11,108,903 | |
| U.S. Treasury Notes | | 2.750% | | 02/15/28 | | | 9,700,000 | | | | 9,117,243 | |
| U.S. Treasury Notes | | 3.125% | | 11/15/28 | | | 13,000,000 | | | | 12,385,541 | |
| U.S. Treasury Notes | | 2.625% | | 02/15/29 | | | 14,000,000 | | | | 12,969,683 | |
| U.S. Treasury Notes | | 1.500% | | 02/15/30 | | | 13,450,000 | | | | 11,522,871 | |
| U.S. Treasury Notes | | 1.375% | | 11/15/31 | | | 14,000,000 | | | | 11,543,434 | |
| U.S. Treasury Notes | | 2.875% | | 05/15/32 | | | 6,150,000 | | | | 5,703,166 | |
| | | | | | | | | | | | | |
| Total U.S. Treasury Obligations (Cost $85,523,798) | | | | | | | | | | | 82,374,014 | |
| | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCIES — 7.5% | | | | | | | | | | | | |
| Federal National Mortgage Association — 1.0% | | | | | | | | | | | | |
| FNMA | | 3.320% | | 04/01/28 | | $ | 2,500,000 | | | $ | 2,359,263 | |
| | | | | | | | | | | | | |
| Federal Home Loan Bank — 6.5% | | | | | | | | | | | | |
| FHLB | | 2.875% | | 09/13/24 | | | 1,500,000 | | | | 1,453,920 | |
| FHLB | | 1.950% | | 09/10/25 | | | 4,000,000 | | | | 3,747,332 | |
| FHLB | | 3.250% | | 11/16/28 | | | 1,800,000 | | | | 1,723,160 | |
| FHLB | | 4.750% | | 12/10/32 | | | 9,000,000 | | | | 9,165,149 | |
| | | | | | | | | | | | 16,089,561 | |
| Total U.S. Government & Agencies (Cost $19,351,908) | | | | | | | | | | $ | 18,448,824 | |
| | | | | | | | | | | | | |
| PREFERRED STOCKS — 0.6% | | | | | | Shares | | | Value | |
| Financials — 0.6% | | | | | | | | | | | | |
| Allstate Corp. (The), 5.10%, 01/15/2053 (Cost $1,446,031) | | | | | | | 59,890 | | | $ | 1,501,442 | |
| | | | | | | | | | | | | |
| MONEY MARKET FUNDS — 0.5% | | | | | | | | | | | | |
| First American Government Obligations Fund - Class Z, 4.97% (b) (Cost $1,137,893) | | | | | | | 1,137,893 | | | $ | 1,137,893 | |
| | | | | | | | | | | | | |
| Investments at Value — 99.3% (Cost $259,994,724) | | | | | | | | | | $ | 243,399,041 | |
| | | | | | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.7% | | | | | | | | | | | 1,789,315 | |
| | | | | | | | | | | | | |
| Net Assets — 100.0% | | | | | | | | | | $ | 245,188,356 | |
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread. |
| (b) | The rate shown is the 7-day effective yield as of June 30, 2023. |
plc - Public Limited Company
SOFR - Secured Overnight Financing Rate.
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL CORE BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 44.7% | | Coupon | | Maturity | | Par Value | | | Value | |
| Finance — 21.0% | | | | | | | | | | | | |
| Allstate Corp. (The) | | 5.250% | | 03/30/33 | | $ | 9,000,000 | | | $ | 8,971,101 | |
| American Express Co. | | 2.550% | | 03/04/27 | | | 2,000,000 | | | | 1,822,462 | |
| AON Corp. | | 3.750% | | 05/02/29 | | | 3,800,000 | | | | 3,517,386 | |
| AON plc | | 3.875% | | 12/15/25 | | | 1,850,000 | | | | 1,782,995 | |
| Bank of America Corp. | | 5.202% | | 04/25/29 | | | 10,960,000 | | | | 10,842,465 | |
| Essex Portfolio, L.P. | | 3.000% | | 01/15/30 | | | 9,426,000 | | | | 8,067,487 | |
| Fifth Third Bancorp | | 4.300% | | 01/16/24 | | | 2,000,000 | | | | 1,968,808 | |
| Fifth Third Bancorp | | 2.375% | | 01/28/25 | | | 4,913,000 | | | | 4,610,551 | |
| Huntington Bancshares, Inc. | | 2.625% | | 08/06/24 | | | 5,230,000 | | | | 5,004,059 | |
| Huntington Bancshares, Inc. | | 2.550% | | 02/04/30 | | | 5,000,000 | | | | 4,007,535 | |
| JPMorgan Chase & Co. (SOFR + 379) (a) | | 4.493% | | 03/24/31 | | | 12,000,000 | | | | 11,526,767 | |
| KeyCorp, Series O | | 4.100% | | 04/30/28 | | | 3,740,000 | | | | 3,239,139 | |
| KeyCorp | | 2.550% | | 10/01/29 | | | 3,325,000 | | | | 2,510,069 | |
| Marsh & McLennan Cos., Inc. | | 4.375% | | 03/15/29 | | | 6,490,000 | | | | 6,306,158 | |
| PNC Financial Services Group, Inc. (The) | | 3.450% | | 04/23/29 | | | 11,850,000 | | | | 10,700,159 | |
| Truist Financial Corp., Series H | | 3.875% | | 03/19/29 | | | 5,160,000 | | | | 4,620,780 | |
| Truist Financial Corp. | | 2.250% | | 03/11/30 | | | 8,000,000 | | | | 6,361,488 | |
| U.S. Bancorp, Series Y | | 3.000% | | 07/30/29 | | | 7,275,000 | | | | 6,165,563 | |
| U.S. Bancorp, Series BB (a) | | 4.967% | | 07/22/33 | | | 4,985,000 | | | | 4,520,009 | |
| Wells Fargo & Co., Series M | | 4.100% | | 06/03/26 | | | 7,530,000 | | | | 7,227,151 | |
| Wells Fargo & Co., Series O | | 4.300% | | 07/22/27 | | | 4,599,000 | | | | 4,414,631 | |
| | | | | | | | | | | | 118,186,763 | |
| Industrials — 11.8% | | | | | | | | | | | | |
| Becton Dickinson & Co. | | 2.823% | | 05/20/30 | | | 10,000,000 | | | | 8,742,660 | |
| Cincinnati Children’s Hospital Medical Center, Series 2016Y | | 2.853% | | 11/15/26 | | | 750,000 | | | | 689,850 | |
| CVS Health Corp. | | 4.300% | | 03/25/28 | | | 9,000,000 | | | | 8,679,177 | |
| CVS Health Corp. | | 3.750% | | 04/01/30 | | | 1,000,000 | | | | 917,158 | |
| Dover Corp. | | 3.150% | | 11/15/25 | | | 1,500,000 | | | | 1,420,023 | |
| Dover Corp. | | 2.950% | | 11/04/29 | | | 4,500,000 | | | | 3,956,058 | |
| Duke Energy Corp. | | 2.450% | | 06/01/30 | | | 5,000,000 | | | | 4,198,760 | |
| Emerson Electric Co. | | 1.950% | | 10/15/30 | | | 4,160,000 | | | | 3,447,929 | |
| Enterprise Products Operating, LLC | | 4.150% | | 10/16/28 | | | 5,000,000 | | | | 4,786,120 | |
| Home Depot, Inc. (The) | | 3.250% | | 04/15/32 | | | 4,520,000 | | | | 4,061,753 | |
| Johnson Controls International plc | | 3.900% | | 02/14/26 | | | 1,000,000 | | | | 961,010 | |
| Lowes Cos., Inc. | | 4.500% | | 04/15/30 | | | 6,685,000 | | | | 6,501,483 | |
| Roper Technologies, Inc. | | 2.950% | | 09/15/29 | | | 1,885,000 | | | | 1,667,974 | |
| Starbucks Corp. | | 2.250% | | 03/12/30 | | | 3,550,000 | | | | 3,004,241 | |
| Verizon Communications, Inc. | | 4.329% | | 09/21/28 | | | 1,675,000 | | | | 1,613,965 | |
| Verizon Communications, Inc. | | 4.016% | | 12/03/29 | | | 9,821,000 | | | | 9,161,569 | |
| Xylem, Inc. | | 1.950% | | 01/30/28 | | | 2,695,000 | | | | 2,365,356 | |
| | | | | | | | | | | | 66,175,086 | |
| Utilities — 11.9% | | | | | | | | | | | | |
| Duke Energy Corp. | | 2.650% | | 09/01/26 | | | 6,350,000 | | | | 5,872,988 | |
| Eversource Energy, Series M | | 3.300% | | 01/15/28 | | | 2,500,000 | | | | 2,301,670 | |
| Eversource Energy, Series O | | 4.250% | | 04/01/29 | | | 6,579,000 | | | | 6,267,675 | |
| Florida Power & Light Co. | | 5.100% | | 04/01/33 | | | 11,235,000 | | | | 11,419,591 | |
| Georgia Power Co., Series 2019B | | 2.650% | | 09/15/29 | | | 11,000,000 | | | | 9,510,886 | |
| Interstate Power & Light Co. | | 3.400% | | 08/15/25 | | | 1,525,000 | | | | 1,444,163 | |
| Interstate Power & Light Co. | | 4.100% | | 09/26/28 | | | 8,805,000 | | | | 8,330,701 | |
| Interstate Power & Light Co. | | 2.300% | | 06/01/30 | | | 1,490,000 | | | | 1,238,081 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL CORE BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 44.7% | | Coupon | | Maturity | | Par Value | | | Value | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 3.400% | | 02/07/28 | | $ | 2,000,000 | | | $ | 1,863,696 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 3.700% | | 03/15/29 | | | 3,900,000 | | | | 3,614,777 | |
| Virginia Electric & Power Co., Series B | | 2.950% | | 11/15/26 | | | 2,075,000 | | | | 1,921,400 | |
| Virginia Electric & Power Co., Series A | | 3.500% | | 03/15/27 | | | 1,932,000 | | | | 1,830,458 | |
| Xcel Energy, Inc. | | 4.000% | | 06/15/28 | | | 7,500,000 | | | | 7,158,975 | |
| Xcel Energy, Inc. | | 3.400% | | 06/01/30 | | | 4,500,000 | | | | 4,009,253 | |
| | | | | | | | | | | | 66,784,314 | |
| | | | | | | | | | | | | |
| Total Corporate Bonds (Cost $287,649,172) | | | | | | | | | | $ | 251,146,163 | |
| | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 19.4% | | | | | | | | | | | | |
| Federal Home Loan Mortgage Corporation — 6.8% | | | | | | | | | | | | |
| FHLMC, Pool #J0-9921 | | 4.000% | | 07/01/24 | | $ | 10,958 | | | $ | 10,843 | |
| FHLMC, Series 2985, Class GE | | 5.500% | | 06/15/25 | | | 12,977 | | | | 12,888 | |
| FHLMC, Pool #ZK-6713 | | 3.000% | | 06/01/29 | | | 2,839,153 | | | | 2,697,826 | |
| FHLMC, Pool #V6-1479, Series V6-1479 | | 2.500% | | 01/01/32 | | | 2,645,697 | | | | 2,455,852 | |
| FHLMC, Pool #G1-8642 | | 3.500% | | 04/01/32 | | | 767,642 | | | | 737,249 | |
| FHLMC, Pool #ZT-1964 | | 3.500% | | 06/01/32 | | | 3,205,534 | | | | 3,079,075 | |
| FHLMC, Pool #G1-8667 | | 3.500% | | 11/01/32 | | | 625,547 | | | | 600,780 | |
| FHLMC, Series 4151, Class PA | | 2.000% | | 01/15/33 | | | 1,670,244 | | | | 1,530,715 | |
| FHLMC, Pool #G0-8068 | | 5.500% | | 07/01/35 | | | 173,901 | | | | 177,887 | |
| FHLMC, Pool #G0-1880 | | 5.000% | | 08/01/35 | | | 28,656 | | | | 28,726 | |
| FHLMC, Pool #G0-6616 | | 4.500% | | 12/01/35 | | | 66,547 | | | | 65,591 | |
| FHLMC, Pool #G3-0933 | | 4.000% | | 01/01/36 | | | 3,935,344 | | | | 3,828,862 | |
| FHLMC, Pool #G3-1087 | | 4.000% | | 07/01/38 | | | 679,982 | | | | 660,343 | |
| FHLMC, Series 4887, Class A | | 3.250% | | 09/15/38 | | | 592,731 | | | | 556,076 | |
| FHLMC, Pool #SC-0047 | | 3.000% | | 01/01/40 | | | 10,158,525 | | | | 9,283,336 | |
| FHLMC, Series 3946, Class LN | | 3.500% | | 04/15/41 | | | 215,892 | | | | 206,669 | |
| FHLMC, Pool #2B-0350 (a) | | 4.610% | | 04/01/42 | | | 12,113 | | | | 11,921 | |
| FHLMC, Series 4087, Class PT | | 3.000% | | 07/15/42 | | | 387,587 | | | | 360,229 | |
| FHLMC, Series 4161, Class QA | | 3.000% | | 02/15/43 | | | 100,836 | | | | 94,437 | |
| FHLMC, Series 4689, Class DA | | 3.000% | | 07/15/44 | | | 333,982 | | | | 317,491 | |
| FHLMC, Series 4582, Class PA | | 3.000% | | 11/15/45 | | | 516,927 | | | | 473,737 | |
| FHLMC, Series 4709, Class EA | | 3.000% | | 01/15/46 | | | 531,047 | | | | 496,108 | |
| FHLMC, Pool #SD-2170 | | 3.000% | | 07/01/51 | | | 11,771,556 | | | | 10,451,929 | |
| | | | | | | | | | | | 38,138,570 | |
| Federal National Mortgage Association — 11.5% | | | | | | | | | | | | |
| FNMA, Series 2003-79, Class NJ | | 5.000% | | 08/25/23 | | | 165 | | | | 165 | |
| FNMA, Pool #MA0384 | | 5.000% | | 04/01/30 | | | 56,970 | | | | 56,770 | |
| FNMA, Pool #AL6923 | | 3.000% | | 05/01/30 | | | 1,910,444 | | | | 1,815,281 | |
| FNMA, Pool #MA4424 | | 1.500% | | 09/01/31 | | | 12,863,066 | | | | 11,571,897 | |
| FNMA, Pool #AL9309 | | 3.500% | | 10/01/31 | | | 274,926 | | | | 264,053 | |
| FNMA, Pool #MA1107 | | 3.500% | | 07/01/32 | | | 294,935 | | | | 281,535 | |
| FNMA, Pool #FM5394 | | 3.000% | | 03/01/34 | | | 5,339,051 | | | | 5,022,082 | |
| FNMA, Pool #FM3388 | | 4.000% | | 03/01/34 | | | 811,214 | | | | 791,346 | |
| FNMA, Pool #FM5050 | | 2.500% | | 02/01/35 | | | 1,208,836 | | | | 1,125,543 | |
| FNMA, Pool #AL7077 | | 4.000% | | 07/01/35 | | | 2,010,250 | | | | 1,964,105 | |
| FNMA, Series 2005-64, Class PL | | 5.500% | | 07/25/35 | | | 26,354 | | | | 26,612 | |
| FNMA, Series 2016-99, Class TA | | 3.500% | | 03/25/36 | | | 170,733 | | | | 163,787 | |
| FNMA, Pool #995112 | | 5.500% | | 07/01/36 | | | 67,318 | | | | 68,434 | |
| FNMA, Series 2014-20, Class AC | | 3.000% | | 08/25/36 | | | 93,513 | | | | 90,072 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL CORE BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 19.4% | | Coupon | | Maturity | | Par Value | | | Value | |
| FNMA, Pool #MA2773 | | 3.000% | | 10/01/36 | | $ | 1,262,997 | | | $ | 1,170,156 | |
| FNMA, Pool #889050 | | 6.000% | | 05/01/37 | | | 114,294 | | | | 119,308 | |
| FNMA, Pool #MA3337 | | 4.000% | | 04/01/38 | | | 471,981 | | | | 456,707 | |
| FNMA, Pool #AA4392 | | 4.000% | | 04/01/39 | | | 84,753 | | | | 81,391 | |
| FNMA, Pool #FM9469 | | 4.000% | | 08/01/39 | | | 2,759,137 | | | | 2,671,239 | |
| FNMA, Pool #CB0114 | | 2.500% | | 04/01/41 | | | 9,240,046 | | | | 8,131,444 | |
| FNMA, Series 2011-53, Class DT | | 4.500% | | 06/25/41 | | | 105,132 | | | | 103,034 | |
| FNMA, Pool #AJ7509 (a) | | 4.030% | | 12/01/41 | | | 37,267 | | | | 36,738 | |
| FNMA, Series 2012-128, Class TP | | 2.000% | | 11/25/42 | | | 563,724 | | | | 513,474 | |
| FNMA, Series 2015-72, Class GB | | 2.500% | | 12/25/42 | | | 378,398 | | | | 353,779 | |
| FNMA, Series 2014-28, Class PA | | 3.500% | | 02/25/43 | | | 104,942 | | | | 100,355 | |
| FNMA, Series 2013-83, Class MH | | 4.000% | | 08/25/43 | | | 134,039 | | | | 127,860 | |
| FNMA, Series 2016-79, Class L | | 2.500% | | 10/25/44 | | | 629,585 | | | | 578,997 | |
| FNMA, Series 2016-39, Class LA | | 2.500% | | 03/25/45 | | | 1,285,567 | | | | 1,173,991 | |
| FNMA, Series 2016-99, Class PH | | 3.000% | | 01/25/46 | | | 1,559,965 | | | | 1,443,223 | |
| FNMA, Series 2018-67, Class BA | | 4.500% | | 03/25/46 | | | 371,129 | | | | 365,404 | |
| FNMA, Series 2019-60, Class DA | | 2.500% | | 03/25/49 | | | 1,793,434 | | | | 1,552,986 | |
| FNMA, Series 2020-95, Class GA | | 1.000% | | 01/25/51 | | | 4,676,598 | | | | 3,537,669 | |
| FNMA, Pool #FM9631 | | 3.000% | | 11/01/51 | | | 5,256,262 | | | | 4,671,608 | |
| FNMA, Pool #FS4520 | | 3.000% | | 04/01/52 | | | 8,193,748 | | | | 7,293,222 | |
| FNMA, Pool #FS4608 | | 3.000% | | 05/01/52 | | | 5,509,685 | | | | 4,912,005 | |
| FNMA, Pool #FS2724 | | 3.000% | | 07/01/52 | | | 7,014,918 | | | | 6,223,776 | |
| | | | | | | | | | | | 68,860,048 | |
| Government National Mortgage Association — 1.1% | | | | | | | | | | | | |
| GNMA, Series 2021-175, Class DG | | 2.000% | | 10/20/51 | | | 7,647,418 | | | | 6,391,123 | |
| | | | | | | | | | | | | |
| Total Collateralized Mortgage Obligations (Cost $122,302,838) | | | | | | | | | | $ | 113,389,741 | |
| | | | | | | | | | | | | |
| MUNICIPAL BONDS — 1.8% | | | | | | | | | | | | |
| Kansas Development Finance Authority, Series 2015 H | | 3.741% | | 04/15/25 | | $ | 3,705,000 | | | $ | 3,586,318 | |
| Kansas Development Finance Authority, Series 2015 H | | 4.091% | | 04/15/27 | | | 125,000 | | | | 120,100 | |
| Kentucky Property and Buildings Commission Revenue, Series 2010C | | 5.373% | | 11/01/25 | | | 450,000 | | | | 445,878 | |
| Ohio University General Receipts, Series 2020 | | 1.766% | | 12/01/26 | | | 2,000,000 | | | | 1,797,792 | |
| Texas Natural Gas Securitization Finance Corp. Revenue, Series 2023 A-1 | | 5.102% | | 04/01/35 | | | 4,000,000 | | | | 4,014,844 | |
| Total Municipal Bonds (Cost $10,336,143) | | | | | | | | | | $ | 9,964,932 | |
| | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS — 28.7% | | | | | | | | | | | | |
| U.S. Treasury Bonds — 12.7% | | | | | | | | | | | | |
| U.S. Treasury Bonds | | 2.375% | | 02/15/42 | | $ | 16,000,000 | | | $ | 12,460,000 | |
| U.S. Treasury Bonds | | 2.500% | | 02/15/45 | | | 34,500,000 | | | | 26,705,173 | |
| U.S. Treasury Bonds | | 2.500% | | 05/15/46 | | | 20,800,000 | | | | 15,993,245 | |
| U.S. Treasury Bonds | | 2.750% | | 08/15/47 | | | 12,290,000 | | | | 9,885,769 | |
| U.S. Treasury Bonds | | 2.000% | | 02/15/50 | | | 9,550,000 | | | | 6,547,719 | |
| | | | | | | | | | | | 71,591,906 | |
| U.S. Treasury Notes — 16.0% | | | | | | | | | | | | |
| U.S. Treasury Notes | | 2.875% | | 05/15/32 | | | 24,750,000 | | | | 22,951,764 | |
| U.S. Treasury Notes | | 4.125% | | 11/15/32 | | | 30,500,000 | | | | 31,171,915 | |
| U.S. Treasury Notes | | 3.500% | | 02/15/33 | | | 33,500,000 | | | | 32,636,336 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON INSTITUTIONAL CORE BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| U.S. TREASURY OBLIGATIONS — 28.7% | | Coupon | | Maturity | | Par Value | | | Value | |
| U.S. Treasury Notes | | 3.375% | | 05/15/33 | | $ | 3,500,000 | | | $ | 3,375,859 | |
| | | | | | | | | | | | 90,135,874 | |
| Total U.S. Treasury Obligations (Cost $173,139,171) | | | | | | | | | | $ | 161,727,780 | |
| | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCIES — 4.2% | | | | | | | | | | | | |
| Federal National Mortgage Association — 2.2% | | | | | | | | | | | | |
| FNMA | | 3.320% | | 04/01/28 | | $ | 3,000,000 | | | $ | 2,831,115 | |
| FNMA | | 3.740% | | 07/01/28 | | | 2,500,000 | | | | 2,396,448 | |
| FNMA | | 3.150% | | 06/01/29 | | | 3,000,000 | | | | 2,776,638 | |
| | | | | | | | | | | | 8,004,201 | |
| Federal Home Loan Bank — 2.0% | | | | | | | | | | | | |
| FHLB | | 4.750% | | 12/10/32 | | | 10,940,000 | | | | 11,140,749 | |
| | | | | | | | | | | | | |
| Total U.S. Government & Agencies (Cost $20,006,020) | | | | | | | | | | $ | 19,144,950 | |
| | | | | | | | | | | | | |
| PREFERRED STOCKS — 0.4% | | | | | | | | | | | | |
| Financials — 0.4% | | | | | | | | | | | | |
| Allstate Corp. (The), 5.10 %, 01/15/2053 (Cost $2,034,817) | | | | | | | 83,000 | | | $ | 2,080,810 | |
| | | | | | | | | | | | | |
| MONEY MARKET FUNDS — 0.1% | | | | | | | | | | | | |
| First American Government Obligations Fund - Class Z, 4.97% (b) (Cost $782,374) | | | | | | | 782,374 | | | $ | 782,374 | |
| | | | | | | | | | | | | |
| Investments at Value — 99.3% (Cost $616,250,535) | | | | | | | | | | $ | 558,236,750 | |
| | | | | | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.7% | | | | | | | | | | | 4,211,099 | |
| | | | | | | | | | | | | |
| Net Assets — 100.0% | | | | | | | | | | $ | 562,447,849 | |
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread. |
| (b) | The rate shown is the 7-day effective yield as of June 30, 2023. |
plc - Public Limited Company
SOFR - Secured Overnight Financing Rate.
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON ENHANCED RETURN FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 58.9% | | Coupon | | Maturity | | Par Value | | | Value | |
| Finance — 29.4% | | | | | | | | | | | | |
| Allstate Corp. | | 0.750% | | 12/15/25 | | $ | 2,000,000 | | | $ | 1,792,452 | |
| American Express Co. | | 2.500% | | 07/30/24 | | | 3,647,000 | | | | 3,526,222 | |
| AON plc | | 3.500% | | 06/14/24 | | | 660,000 | | | | 646,061 | |
| AON plc | | 3.875% | | 12/15/25 | | | 3,999,000 | | | | 3,854,159 | |
| Bank of America Corp., Series L | | 3.875% | | 08/01/25 | | | 4,599,000 | | | | 4,474,810 | |
| Branch Banking & Trust Co. | | 3.625% | | 09/16/25 | | | 4,540,000 | | | | 4,239,861 | |
| Chubb INA Holdings, Inc. | | 3.350% | | 05/15/24 | | | 3,164,000 | | | | 3,099,736 | |
| Essex Portfolio, L.P. | | 3.875% | | 05/01/24 | | | 2,177,000 | | | | 2,135,822 | |
| Essex Portfolio, L.P. | | 3.500% | | 04/01/25 | | | 1,720,000 | | | | 1,654,294 | |
| Essex Portfolio, L.P. | | 3.375% | | 04/15/26 | | | 565,000 | | | | 535,038 | |
| Fifth Third Bancorp | | 4.300% | | 01/16/24 | | | 3,964,000 | | | | 3,902,177 | |
| Goldman Sachs Group, Inc. (The) | | 3.625% | | 02/20/24 | | | 1,000,000 | | | | 985,379 | |
| Huntington Bancshares, Inc. | | 2.625% | | 08/06/24 | | | 3,840,000 | | | | 3,674,108 | |
| JPMorgan Chase & Co. | | 3.875% | | 09/10/24 | | | 4,704,000 | | | | 4,592,972 | |
| KeyCorp, Series O | | 4.150% | | 10/29/25 | | | 4,562,000 | | | | 4,229,681 | |
| Marsh & McLennan Co., Inc. | | 3.500% | | 06/03/24 | | | 3,010,000 | | | | 2,947,570 | |
| Marsh & McLennan Co., Inc. | | 3.500% | | 03/10/25 | | | 765,000 | | | | 742,005 | |
| Morgan Stanley, Series F | | 3.700% | | 10/23/24 | | | 200,000 | | | | 195,252 | |
| Morgan Stanley, Series F | | 4.000% | | 07/23/25 | | | 4,200,000 | | | | 4,078,364 | |
| National Retail Properties, Inc. | | 4.000% | | 11/15/25 | | | 3,450,000 | | | | 3,284,017 | |
| PNC Bank NA | | 3.800% | | 07/25/23 | | | 1,998,000 | | | | 1,994,100 | |
| PNC Financial Services Group, Inc. (The) | | 3.900% | | 04/29/24 | | | 1,345,000 | | | | 1,320,518 | |
| Private Export Funding Corp., 144A | | 5.500% | | 03/14/25 | | | 2,000,000 | | | | 2,000,440 | |
| U.S. Bancorp, Series MTN | | 3.100% | | 04/27/26 | | | 4,790,000 | | | | 4,471,044 | |
| Wells Fargo & Co., Series N | | 3.550% | | 09/29/25 | | | 830,000 | | | | 796,271 | |
| Wells Fargo & Co., Series M | | 4.100% | | 06/03/26 | | | 2,770,000 | | | | 2,658,593 | |
| | | | | | | | | | | | 67,830,946 | |
| Industrials — 15.2% | | | | | | | | | | | | |
| Becton Dickinson and Co. | | 3.363% | | 06/06/24 | | | 750,000 | | | | 734,048 | |
| Burlington Northern Santa Fe | | 3.750% | | 04/01/24 | | | 500,000 | | | | 493,294 | |
| Burlington Northern Santa Fe | | 3.650% | | 09/01/25 | | | 3,970,000 | | | | 3,851,031 | |
| CVS Health Corp. | | 3.875% | | 07/20/25 | | | 4,100,000 | | | | 3,986,672 | |
| Dover Corp. | | 3.150% | | 11/15/25 | | | 4,515,000 | | | | 4,274,269 | |
| Enterprise Products Operating, LLC | | 3.750% | | 02/15/25 | | | 500,000 | | | | 486,571 | |
| Johnson Controls International plc | | 3.625% | | 07/02/24 | | | 4,252,000 | | | | 4,165,774 | |
| Kroger Co. (The) | | 4.000% | | 02/01/24 | | | 3,795,000 | | | | 3,756,746 | |
| Norfolk Southern Corp. | | 5.590% | | 05/17/25 | | | 1,280,000 | | | | 1,278,541 | |
| Norfolk Southern Corp. | | 3.650% | | 08/01/25 | | | 3,300,000 | | | | 3,175,300 | |
| Roper Technologies, Inc. | | 1.000% | | 09/15/25 | | | 1,555,000 | | | | 1,413,940 | |
| Union Pacific Corp. | | 3.150% | | 03/01/24 | | | 2,800,000 | | | | 2,753,615 | |
| Union Pacific Corp. | | 3.750% | | 03/15/24 | | | 450,000 | | | | 444,057 | |
| Verizon Communications, Inc. | | 2.100% | | 03/22/28 | | | 1,000,000 | | | | 878,611 | |
| Walt Disney Co. (The) | | 1.750% | | 01/13/26 | | | 3,429,000 | | | | 3,175,120 | |
| | | | | | | | | | | | 34,867,589 | |
| Utilities — 14.3% | | | | | | | | | | | | |
| Duke Energy Corp. | | 2.650% | | 09/01/26 | | | 4,610,000 | | | | 4,263,697 | |
| Duke Energy Ohio, Inc. | | 3.800% | | 09/01/23 | | | 890,000 | | | | 886,999 | |
| Eversource Energy, Series H | | 3.150% | | 01/15/25 | | | 1,495,000 | | | | 1,437,951 | |
| Eversource Energy, Series AA | | 4.750% | | 05/15/26 | | | 795,000 | | | | 779,953 | |
| Eversource Energy, Series U | | 1.400% | | 08/15/26 | | | 1,260,000 | | | | 1,118,404 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON ENHANCED RETURN FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 58.9% | | Coupon | | Maturity | | Par Value | | | Value | |
| Florida Power & Light Co. | | 4.400% | | 05/15/28 | | $ | 4,370,000 | | | $ | 4,287,978 | |
| Georgia Power Co., Series 2020-A | | 2.100% | | 07/30/23 | | | 2,950,000 | | | | 2,941,407 | |
| Georgia Power Co., Series 2019-A | | 2.200% | | 09/15/24 | | | 500,000 | | | | 477,972 | |
| Interstate Power & Light Co. | | 3.250% | | 12/01/24 | | | 1,910,000 | | | | 1,844,323 | |
| Interstate Power & Light Co. | | 3.400% | | 08/15/25 | | | 2,895,000 | | | | 2,741,542 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 2.950% | | 02/07/24 | | | 2,625,000 | | | | 2,580,454 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 2.850% | | 01/27/25 | | | 1,875,000 | | | | 1,802,535 | |
| Virginia Electric & Power Co., Series A | | 3.800% | | 04/01/28 | | | 3,585,000 | | | | 3,398,695 | |
| Xcel Energy, Inc. | | 3.300% | | 06/01/25 | | | 4,610,000 | | | | 4,416,319 | |
| | | | | | | | | | | | 32,978,229 | |
| | | | | | | | | | | | | |
| Total Corporate Bonds (Cost $142,905,820) | | | | | | | | | | $ | 135,676,764 | |
| | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.6% | | | | | | | | | | | | |
| Federal Home Loan Mortgage Corporation — 3.9% | | | | | | | | | | | | |
| FHLMC, Pool #J1-2635 | | 4.000% | | 07/01/25 | | $ | 15,009 | | | $ | 14,719 | |
| FHLMC, Series 4287, Class AB | | 2.000% | | 12/15/26 | | | 203,125 | | | | 191,670 | |
| FHLMC, Pool #J3-2364 | | 2.500% | | 11/01/28 | | | 834,910 | | | | 781,110 | |
| FHLMC, Pool #ZS-7207 | | 3.500% | | 07/01/30 | | | 774,279 | | | | 744,004 | |
| FHLMC, Pool #G1-8642 | | 3.500% | | 04/01/32 | | | 716,466 | | | | 688,099 | |
| FHLMC, Pool #ZT-1964 | | 3.500% | | 06/01/32 | | | 1,541,122 | | | | 1,480,325 | |
| FHLMC, Pool #G1-6330 | | 3.500% | | 08/01/32 | | | 795,125 | | | | 764,767 | |
| FHLMC, Pool #SB-0380 | | 3.500% | | 02/01/34 | | | 821,535 | | | | 787,755 | |
| FHLMC, Series 4271, Class CE | | 2.000% | | 08/15/36 | | | 11,087 | | | | 11,087 | |
| FHLMC, Series 4198, Class BE | | 2.000% | | 10/15/40 | | | 279,842 | | | | 272,688 | |
| FHLMC, Series 5050, Class BG | | 1.000% | | 01/15/41 | | | 856,587 | | | | 762,044 | |
| FHLMC, Series 5902, Class XC | | 1.500% | | 01/15/41 | | | 1,879,970 | | | | 1,617,169 | |
| FHLMC, Series 4009, Class PA | | 2.000% | | 06/15/41 | | | 240,804 | | | | 224,312 | |
| FHLMC, Series 4709, Class EA | | 3.000% | | 01/15/46 | | | 649,058 | | | | 606,354 | |
| | | | | | | | | | | | 8,946,103 | |
| Federal National Mortgage Association — 7.7% | | | | | | | | | | | | |
| FNMA, Pool #AN2351 | | 2.150% | | 09/01/26 | | | 2,000,000 | | | | 1,840,704 | |
| FNMA, Pool #AT2060 | | 2.500% | | 04/01/28 | | | 811,153 | | | | 757,935 | |
| FNMA, Pool #AL9230 | | 3.500% | | 12/01/29 | | | 711,678 | | | | 686,053 | |
| FNMA, Pool #FM1536 | | 2.500% | | 11/01/30 | | | 322,341 | | | | 306,185 | |
| FNMA, Pool #MA4424 | | 1.500% | | 09/01/31 | | | 1,158,868 | | | | 1,042,543 | |
| FNMA, Pool #MA1106 | | 3.000% | | 07/01/32 | | | 1,944,456 | | | | 1,822,896 | |
| FNMA, Series 2013-3, Class DK | | 1.750% | | 02/25/33 | | | 534,356 | | | | 482,709 | |
| FNMA, Pool #FM2287 | | 4.500% | | 03/01/34 | | | 637,687 | | | | 624,948 | |
| FNMA, Pool #FM2989 | | 3.000% | | 09/01/34 | | | 957,777 | | | | 907,346 | |
| FNMA, Pool #AL7077 | | 4.000% | | 07/01/35 | | | 1,010,836 | | | | 987,632 | |
| FNMA, Pool #833200 | | 5.500% | | 09/01/35 | | | 224,942 | | | | 229,830 | |
| FNMA, Series 2020-044, Class TE | | 2.000% | | 12/25/35 | | | 2,208,418 | | | | 2,010,998 | |
| FNMA, Pool #FM2293 | | 4.000% | | 09/01/36 | | | 1,771,120 | | | | 1,725,317 | |
| FNMA, Pool #FM7224 | | 4.500% | | 11/01/38 | | | 915,766 | | | | 902,815 | |
| FNMA, Pool #AJ7509 (a) | | 4.030% | | 12/01/41 | | | 37,267 | | | | 36,738 | |
| FNMA, Series 2013-6, Class BC | | 1.500% | | 12/25/42 | | | 85,190 | | | | 80,640 | |
| FNMA, Series 2015-28, Class P | | 2.500% | | 05/25/45 | | | 2,318,714 | | | | 2,095,121 | |
| FNMA, Series 2020-95, Class GA | | 1.000% | | 01/25/51 | | | 1,617,850 | | | | 1,223,842 | |
| | | | | | | | | | | | 17,764,252 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON ENHANCED RETURN FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.6% | | Coupon | | Maturity | | Par Value | | | Value | |
| Government National Mortgage Association — 0.0% (b) | | | | | | | | | | | | |
| GNMA, Pool #726475X | | 4.000% | | 11/15/24 | | $ | 13,400 | | | $ | 13,195 | |
| GNMA, Pool #728920 | | 4.000% | | 12/15/24 | | | 18,327 | | | | 18,036 | |
| | | | | | | | | | | | 31,231 | |
| Total Collateralized Mortgage Obligations (Cost $29,866,469) | | | | | | | | | | $ | 26,741,586 | |
| | | | | | | | | | | | | |
| MUNICIPAL BONDS — 2.4% | | | | | | | | | | | | |
| Allegheny County Pennsylvania, Series C-79 | | 0.694% | | 11/01/23 | | $ | 2,200,000 | | | $ | 2,165,018 | |
| Franklin County Ohio Convention Facilities, Series 2020 B | | 1.155% | | 12/01/24 | | | 550,000 | | | | 516,093 | |
| Kentucky State Property and Buildings Commission Revenue, Series 2009C | | 6.155% | | 11/01/29 | | | 2,750,000 | | | | 2,784,100 | |
| Total Municipal Bonds (Cost $5,626,901) | | | | | | | | | | | 5,465,211 | |
| | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS — 16.9% | | | | | | | | | | | | |
| U.S. Treasury Notes — 16.9% | | | | | | | | | | | | |
| U.S. Treasury Notes | | 2.250% | | 04/30/24 | | $ | 3,895,000 | | | $ | 3,794,431 | |
| U.S. Treasury Notes (13WK T-BILL + 750) (a) | | 5.174% | | 04/30/24 | | | 3,000,000 | | | | 2,997,669 | |
| U.S. Treasury Notes | | 1.500% | | 02/15/25 | | | 4,000,000 | | | | 3,775,468 | |
| U.S. Treasury Notes | | 2.000% | | 08/15/25 | | | 8,170,000 | | | | 7,705,969 | |
| U.S. Treasury Notes | | 2.750% | | 07/31/27 | | | 10,280,000 | | | | 9,692,118 | |
| U.S. Treasury Notes | | 2.750% | | 02/15/28 | | | 11,795,000 | | | | 11,086,379 | |
| Total U.S. Treasury Obligations (Cost $39,618,415) | | | | | | | | | | | 39,052,034 | |
| | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCIES — 6.8% | | | | | | | | | | | | |
| Federal Home Loan Bank — 5.2% | | | | | | | | | | | | |
| FHLB | | 5.000% | | 12/19/23 | | $ | 4,700,000 | | | $ | 4,684,838 | |
| FHLB | | 4.625% | | 03/14/25 | | | 2,180,000 | | | | 2,159,748 | |
| FHLB | | 1.375% | | 08/26/26 | | | 4,100,000 | | | | 3,696,117 | |
| FHLB | | 1.375% | | 09/29/26 | | | 1,600,000 | | | | 1,442,779 | |
| | | | | | | | | | | | 11,983,482 | |
| Federal Home Loan Mortgage Corporation — 1.6% | | | | | | | | | | | | |
| FHLMC | | 0.450% | | 07/22/24 | | | 4,000,000 | | | | 3,783,208 | |
| | | | | | | | | | | | | |
| Total U.S. Government & Agencies (Cost $16,587,949) | | | | | | | | | | $ | 15,766,690 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON ENHANCED RETURN FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| MONEY MARKET FUNDS — 1.4% | | Shares | | | Value | |
| First American Government Obligations Fund - Class Z, 4.97% (c) (Cost $3,266,864) | | | 3,266,864 | | | $ | 3,266,864 | |
| | | | | | | | | |
| Investments at Value — 98.0% (Cost $237,872,418) | | | | | | $ | 225,969,149 | |
| | | | | | | | | |
| Other Assets in Excess of Liabilities — 2.0% | | | | | | | 4,600,053 | |
| | | | | | | | | |
| Net Assets — 100.0% | | | | | | $ | 230,569,202 | |
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread. |
| (b) | Percentage rounds to less than 0.1%. |
| (c) | The rate shown is the 7-day effective yield as of June 30, 2023. |
144A - Security was purchased in a transaction exempt from registration in compliance with Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total value of such securities is $2,000,440 as of June 30, 2023, representing 0.9% of net assets.
plc - Public Limited Company
| JOHNSON ENHANCED RETURN FUND | SCHEDULE OF FUTURES CONTRACTS AS OF JUNE 30, 2023 – UNAUDITED |
| | | | | | | | | | Value/ | |
| | | | | Expiration | | Notional | | | Unrealized | |
| FUTURES CONTRACTS | | Contracts | | Date | | Value | | | Appreciation | |
| Index Futures | | | | | | | | | | | | |
| E-MINI S&P 500 FUTURE | | 1,026 | | 9/15/2023 | | $ | 230,247,225 | | | $ | 4,346,203 | |
The average monthly notional value of futures contracts during the six months ended June 30, 2023 was $219,498,348.
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON CORE PLUS BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| CORPORATE BONDS — 51.6% | | Coupon | | Maturity | | Par Value | | | Value | |
| Finance — 19.0% | | | | | | | | | | | | |
| Allstate Corp. (The) | | 5.250% | | 03/30/33 | | $ | 300,000 | | | $ | 299,037 | |
| American Express Co. | | 1.650% | | 11/04/26 | | | 250,000 | | | | 222,457 | |
| AON Corp. | | 3.750% | | 05/02/29 | | | 180,000 | | | | 166,613 | |
| AON plc | | 4.750% | | 05/15/45 | | | 70,000 | | | | 62,404 | |
| Bank of America Corp. | | 5.202% | | 04/25/29 | | | 325,000 | | | | 321,514 | |
| Essex Portfolio, L.P. | | 3.000% | | 01/15/30 | | | 225,000 | | | | 192,572 | |
| Huntington Bancshares, Inc. | | 2.550% | | 02/04/30 | | | 230,000 | | | | 184,347 | |
| JPMorgan Chase & Co. (SOFR + 379) (a) | | 4.493% | | 03/24/31 | | | 270,000 | | | | 259,352 | |
| KeyCorp | | 2.550% | | 10/01/29 | | | 220,000 | | | | 166,080 | |
| Marsh & McLennan Cos., Inc. | | 4.375% | | 03/15/29 | | | 205,000 | | | | 199,193 | |
| Morgan Stanley, Series F | | 4.000% | | 07/23/25 | | | 130,000 | | | | 126,235 | |
| National Retail Properties, Inc. | | 4.300% | | 10/15/28 | | | 220,000 | | | | 205,175 | |
| PNC Financial Services Group, Inc. (The) | | 3.450% | | 04/23/29 | | | 335,000 | | | | 302,494 | |
| Truist Financial Corp. | | 2.250% | | 03/11/30 | | | 315,000 | | | | 250,484 | |
| U.S. Bancorp, Series Y | | 3.000% | | 07/30/29 | | | 295,000 | | | | 250,013 | |
| | | | | | | | | | | | 3,207,970 | |
| Industrials — 22.1% | | | | | | | | | | | | |
| Becton Dickinson & Co. | | 2.823% | | 05/20/30 | | | 230,000 | | | | 201,081 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp., 144A | | 5.375% | | 06/01/29 | | | 185,000 | | | | 167,272 | |
| Charles River Laboratories International, Inc., 144A | | 4.250% | | 05/01/28 | | | 180,000 | | | | 165,326 | |
| CVS Health Corp. | | 4.300% | | 03/25/28 | | | 210,000 | | | | 202,514 | |
| Dover Corp. | | 2.950% | | 11/04/29 | | | 250,000 | | | | 219,781 | |
| Duke Energy Corp. | | 2.450% | | 06/01/30 | | | 235,000 | | | | 197,342 | |
| Emerson Electric Co. | | 1.950% | | 10/15/30 | | | 320,000 | | | | 265,225 | |
| Enterprise Products Operating, LLC | | 2.800% | | 01/31/30 | | | 230,000 | | | | 201,661 | |
| Kroger Co. (The) | | 2.200% | | 05/01/30 | | | 270,000 | | | | 223,456 | |
| Lowes Cos., Inc. | | 4.500% | | 04/15/30 | | | 205,000 | | | | 199,372 | |
| Mattel, Inc. | | 3.750% | | 04/01/29 | | | 190,000 | | | | 166,831 | |
| McDonald’s Corp. | | 3.600% | | 07/01/30 | | | 270,000 | | | | 251,220 | |
| Roper Technologies, Inc. | | 2.950% | | 09/15/29 | | | 240,000 | | | | 212,368 | |
| Starbucks Corp. | | 2.250% | | 03/12/30 | | | 295,000 | | | | 249,648 | |
| Verizon Communications, Inc. | | 4.016% | | 12/03/29 | | | 280,000 | | | | 261,199 | |
| Walt Disney Co. (The) | | 3.800% | | 03/22/30 | | | 355,000 | | | | 335,585 | |
| Xylem, Inc. | | 1.950% | | 01/30/28 | | | 235,000 | | | | 206,256 | |
| | | | | | | | | | | | 3,726,137 | |
| Utilities — 10.5% | | | | | | | | | | | | |
| Berkshire Hathaway, Inc. | | 3.250% | | 04/15/28 | | | 220,000 | | | | 202,407 | |
| Eversource Energy, Series R | | 1.650% | | 08/15/30 | | | 250,000 | | | | 198,702 | |
| Florida Power & Light Co. | | 5.100% | | 04/01/33 | | | 300,000 | | | | 304,929 | |
| Georgia Power Co., Series 2019B | | 2.650% | | 09/15/29 | | | 230,000 | | | | 198,864 | |
| Interstate Power & Light Co. | | 4.100% | | 09/26/28 | | | 210,000 | | | | 198,688 | |
| National Rural Utilities Cooperative Finance Corp. (The) | | 3.400% | | 02/07/28 | | | 290,000 | | | | 270,236 | |
| Virginia Electric & Power Co., Series A | | 3.500% | | 03/15/27 | | | 215,000 | | | | 203,700 | |
| Xcel Energy, Inc. | | 3.400% | | 06/01/30 | | | 220,000 | | | | 196,008 | |
| | | | | | | | | | | | 1,773,534 | |
| Total Corporate Bonds (Cost $9,843,462) | | | | | | | | | | $ | 8,707,641 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON CORE PLUS BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 27.7% | | Coupon | | Maturity | | Par Value | | | Value | |
| Federal Home Loan Mortgage Corporation — 9.5% | | | | | | | | | | | | |
| FHLMC, Pool #ZS-9278 | | 4.000% | | 05/01/37 | | $ | 347,241 | | | $ | 337,009 | |
| FHLMC, Series 4709, Class EA | | 3.000% | | 01/15/46 | | | 200,618 | | | | 187,419 | |
| FHLMC, Series 5220, Class KC | | 3.500% | | 01/25/46 | | | 382,189 | | | | 366,740 | |
| FHLMC, Series 5189, Class PG | | 2.500% | | 09/25/51 | | | 337,772 | | | | 296,899 | |
| FHLMC, Pool #SD-0767 | | 3.000% | | 11/01/51 | | | 471,697 | | | | 419,764 | |
| | | | | | | | | | | | 1,607,831 | |
| Federal National Mortgage Association — 18.2% | | | | | | | | | | | | |
| FNMA, Pool #MA4424 | | 1.500% | | 09/01/31 | | | 417,342 | | | | 375,450 | |
| FNMA, Pool #MA1222 | | 4.000% | | 10/01/32 | | | 354,521 | | | | 343,630 | |
| FNMA, Pool #AL5491 | | 4.000% | | 06/01/34 | | | 309,324 | | | | 300,900 | |
| FNMA, Pool #MA3071 | | 4.000% | | 07/01/37 | | | 378,639 | | | | 366,353 | |
| FNMA, Pool #FM9469 | | 4.000% | | 08/01/39 | | | 224,410 | | | | 217,261 | |
| FNMA, Pool #AU7025 | | 3.000% | | 11/01/43 | | | 360,370 | | | | 325,758 | |
| FNMA, Pool #MA2895 | | 3.000% | | 02/01/47 | | | 440,277 | | | | 393,483 | |
| FNMA, Pool #FS4520 | | 3.000% | | 04/01/52 | | | 460,156 | | | | 409,582 | |
| FNMA, Pool #FS4608 | | 3.000% | | 05/01/52 | | | 385,777 | | | | 343,929 | |
| | | | | | | | | | | | 3,076,346 | |
| Total Collateralized Mortgage Obligations (Cost $4,945,266) | | | | | | | | | | $ | 4,684,177 | |
| | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS — 16.7% | | | | | | | | | | | | |
| U.S. Treasury Bonds — 9.1% | | | | | | | | | | | | |
| U.S. Treasury Bonds | | 2.375% | | 02/15/42 | | $ | 785,000 | | | $ | 611,318 | |
| U.S. Treasury Bonds | | 2.500% | | 02/15/45 | | | 390,000 | | | | 301,885 | |
| U.S. Treasury Bonds | | 2.000% | | 02/15/50 | | | 260,000 | | | | 178,263 | |
| U.S. Treasury Bonds | | 2.000% | | 08/15/51 | | | 645,000 | | | | 439,809 | |
| | | | | | | | | | | | 1,531,275 | |
| U.S. Treasury Notes — 7.6% | | | | | | | | | | | | |
| U.S. Treasury Notes | | 1.500% | | 11/30/24 | | | 135,000 | | | | 128,171 | |
| U.S. Treasury Notes | | 3.125% | | 11/15/28 | | | 375,000 | | | | 357,275 | |
| U.S. Treasury Notes | | 2.875% | | 05/15/32 | | | 440,000 | | | | 408,031 | |
| U.S. Treasury Notes | | 3.500% | | 02/15/33 | | | 400,000 | | | | 389,688 | |
| | | | | | | | | | | | 1,283,165 | |
| Total U.S. Treasury Obligations (Cost $3,103,535) | | | | | | | | | | $ | 2,814,440 | |
| | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCIES — 2.1% | | | | | | | | | | | | |
| Federal Home Loan Bank — 2.1% | | | | | | | | | | | | |
| FHLB (Cost $366,453) | | 4.750% | | 12/10/32 | | $ | 350,000 | | | $ | 356,423 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON CORE PLUS BOND FUND | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2023 – UNAUDITED |
| PREFERRED STOCKS — 1.0% | | Shares | | | Value | |
| Financials — 1.0% | | | | | | | | |
| Allstate Corp. (The), 5.10%, 01/15/2053 (Cost $170,386) | | | 6,500 | | | $ | 162,955 | |
| | | | | | | | | |
| MONEY MARKET FUNDS — 0.2% | | | | | | | | |
| First American Government Obligations Fund - Class Z, 4.97% (b) (Cost $38,394) | | | 38,394 | | | $ | 38,394 | |
| | | | | | | | | |
| Investments at Value — 99.3% (Cost $18,467,496) | | | | | | $ | 16,764,030 | |
| | | | | | | | | |
| Other Assets in Excess of Liabilities — 0.7% | | | | | | | 124,831 | |
| | | | | | | | | |
| Net Assets — 100.0% | | | | | | $ | 16,888,861 | |
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread (in basis points) are indicated parenthetically. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities, therefore, do not indicate a reference rate and spread. |
| (b) | The rate shown is the 7-day effective yield as of June 30, 2023. |
144A - Security was purchased in a transaction exempt from registration in compliance with Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total value of such securities is $332,598 as of June 30, 2023, representing 2.0% of net assets.
plc - Public Limited Company
SOFR - Secured Overnight Financing Rate.
| JOHNSON CORE PLUS BOND FUND | SCHEDULE OF FUTURES CONTRACTS AS OF JUNE 30, 2023 – UNAUDITED |
| | | | | | | | | | Value/ | |
| | | | | Expiration | | Notional | | | Unrealized | |
| FUTURES CONTRACTS | | Contracts | | Date | | Value | | | Depreciation | |
| Index Futures | | | | | | | | | | |
| Ultra 10-Year U.S. Treasury Note Future | | 6 | | 9/29/2023 | | $ | 710,628 | | | $ | (3,823 | ) |
The average monthly notional value of futures contracts during the six months ended June 30, 2023 was $759,496.
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Assets and Liabilities |
| | | Johnson | | | Johnson | | | Johnson | |
| | | Institutional | | | Institutional | | | Institutional | |
| | | Short Duration | | | Intermediate | | | Core | |
| | | Bond Fund | | | Bond Fund | | | Bond Fund | |
| Assets: | | | | | | | | | | | | |
| Investment Securities at Value* | | $ | 214,976,409 | | | $ | 243,399,041 | | | $ | 558,236,750 | |
| Dividends and Interest Receivable | | | 1,678,115 | | | | 1,855,089 | | | | 4,444,946 | |
| Fund Shares Sold Receivable | | | 204,919 | | | | 83,129 | | | | 44,923 | |
| Investments Sold Receivable | | | — | | | | 1,944,734 | | | | — | |
| Pay downs Receivable | | | 61 | | | | 66 | | | | 66 | |
| Total Assets | | $ | 216,859,504 | | | $ | 247,282,059 | | | $ | 562,726,685 | |
| | | | | | | | | | | | | |
| Liabilities: | | | | | | | | | | | | |
| Accrued Management Fee | | $ | 44,736 | | | $ | 50,467 | | | $ | 116,422 | |
| Accrued Distribution Fee | | | 1 | | | | 1 | | | | 443 | |
| Fund Shares Redeemed Payable | | | 699,547 | | | | 63,052 | | | | 161,971 | |
| Investments Purchased Payable | | | — | | | | 1,980,183 | | | | — | |
| Total Liabilities | | $ | 744,284 | | | $ | 2,093,703 | | | $ | 278,836 | |
| | | | | | | | | | | | | |
| Net Assets | | $ | 216,115,220 | | | $ | 245,188,356 | | | $ | 562,447,849 | |
| | | | | | | | | | | | | |
| Net Assets Consist of: | | | | | | | | | | | | |
| Paid-in Capital | | $ | 233,916,475 | | | $ | 275,013,363 | | | $ | 657,563,088 | |
| Accumulated Deficit | | | (17,801,255 | ) | | | (29,825,007 | ) | | | (95,115,239 | ) |
| | | | | | | | | | | | | |
| Net Assets | | $ | 216,115,220 | | | $ | 245,188,356 | | | $ | 562,447,849 | |
| | | | | | | | | | | | | |
| Pricing of Class I Shares | | | | | | | | | | | | |
| Net assets applicable to Class I Shares | | $ | 216,108,208 | | | $ | 245,181,564 | | | $ | 558,855,136 | |
| Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | | | 15,048,904 | | | | 17,180,127 | | | | 39,182,146 | |
| Net Asset Value, Offering price and redemption price | | $ | 14.36 | | | $ | 14.27 | | | $ | 14.26 | |
| | | | | | | | | | | | | |
| Pricing of Class F Shares | | | | | | | | | | | | |
| Net assets applicable to Class F Shares | | $ | 7,012 | | | $ | 6,792 | | | $ | 3,592,713 | |
| Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | | | 482 | | | | 466 | | | | 248,019 | |
| Net Asset Value, Offering price and redemption price | | | $14.53 | ^ | | | $14.57 | ^ | | $ | 14.49 | |
| | | | | | | | | | | | | |
| * Identified Cost of Investment Securities | | $ | 227,497,873 | | | $ | 259,994,724 | | | $ | 616,250,535 | |
| ^ | Net Assets divided by Shares do not calculate to the stated Net Asset Value because Net Assets and Shares shown are rounded. |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Assets and Liabilities – Continued | |
| | | Johnson | | | Johnson | |
| | | Enhanced | | | Core Plus | |
| | | Return Fund | | | Bond Fund | |
| Assets: | | | | | | | | |
| Investment Securities at Value* | | $ | 225,969,149 | | | $ | 16,764,030 | |
| Dividend and Interest Receivable | | | 1,925,691 | | | | 129,215 | |
| Fund Shares Sold Receivable | | | 31,150 | | | | — | |
| Variation Margin Receivable | | | 2,696,590 | | | | 1,781 | |
| Total Assets | | $ | 230,622,580 | | | $ | 16,895,026 | |
| | | | | | | | | |
| Liabilities: | | | | | | | | |
| Accrued Management Fee | | $ | 48,448 | | | $ | 6,165 | |
| Fund Shares Redeemed Payable | | | 4,930 | | | | — | |
| Total Liabilities | | $ | 53,378 | | | $ | 6,165 | |
| | | | | | | | | |
| Net Assets | | $ | 230,569,202 | | | $ | 16,888,861 | |
| | | | | | | | | |
| Net Assets Consist of: | | | | | | | | |
| Paid-in Capital | | $ | 279,197,798 | | | $ | 19,415,794 | |
| Accumulated Deficit | | | (48,628,596 | ) | | | (2,526,933 | ) |
| | | | | | | | | |
| Net Assets | | $ | 230,569,202 | | | $ | 16,888,861 | |
| Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | | | 16,382,618 | | | | 1,324,669 | |
| Net Asset Value, Offering price and redemption price | | | 14.07 | | | | 12.75 | |
| | | | | | | | | |
| * Identified Cost of Investment Securities | | $ | 237,872,418 | | | $ | 18,467,496 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Operations | |
| | | Johnson | | | Johnson | | | Johnson | |
| | | Institutional | | | Institutional | | | Institutional | |
| | | Short Duration | | | Intermediate | | | Core | |
| | | Bond Fund | | | Bond Fund | | | Bond Fund | |
| | | Six Months | | | Six Months | | | Six Months | |
| | | Ended | | | Ended | | | Ended | |
| | | 6/30/2023 | | | 6/30/2023 | | | 6/30/2023 | |
| Investment Income: | | | | | | | | | | | | |
| Interest | | $ | 2,199,797 | | | $ | 3,362,108 | | | $ | 8,219,936 | |
| Dividends | | | 56,324 | | | | 90,172 | | | | 153,843 | |
| Total Investment Income | | $ | 2,256,121 | | | $ | 3,452,280 | | | $ | 8,373,779 | |
| | | | | | | | | | | | | |
| Expenses: | | | | | | | | | | | | |
| Gross Management Fee | | | 331,809 | | | | 353,422 | | | | 841,808 | |
| Distribution Fee | | | 5 | | | | 5 | | | | 2,457 | |
| Total Expenses | | $ | 331,814 | | | $ | 353,427 | | | $ | 844,265 | |
| Management Fee Waiver (Note 5) | | | (55,303 | ) | | | (58,905 | ) | | | (140,305 | ) |
| Net Expenses | | $ | 276,511 | | | $ | 294,522 | | | $ | 703,960 | |
| | | | | | | | | | | | | |
| Net Investment Income | | $ | 1,979,610 | | | $ | 3,157,758 | | | $ | 7,669,819 | |
| | | | | | | | | | | | | |
| Realized and Unrealized Gains (Losses): | | | | | | | | | | | | |
| Net Realized Losses from Security Transactions | | $ | (935,528 | ) | | $ | (3,254,745 | ) | | $ | (14,881,352 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 1,818,698 | | | | 3,216,986 | | | | 18,773,625 | |
| | | | | | | | | | | | | |
| Net Gains (Losses) on Investments | | $ | 883,170 | | | $ | (37,759 | ) | | $ | 3,892,273 | |
| | | | | | | | | | | | | |
| Net Change in Net Assets from Operations | | $ | 2,862,780 | | | $ | 3,119,999 | | | $ | 11,562,092 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | JUNE 30, 2023 – UNAUDITED |
| | |
| Statements of Operations – Continued | |
| | | Johnson | | | Johnson | |
| | | Enhanced | | | Core Plus | |
| | | Return Fund | | | Bond Fund | |
| | | Six Months | | | Six Months | |
| | | Ended | | | Ended | |
| | | 6/30/2023 | | | 6/30/2023 | |
| Investment Income: | | | | | | | | |
| Interest | | $ | 2,338,780 | | | $ | 241,696 | |
| Dividends | | | 133,526 | | | | 12,087 | |
| Total Investment Income | | $ | 2,472,306 | | | $ | 253,783 | |
| | | | | | | | | |
| Expenses: | | | | | | | | |
| Management Fee | | $ | 373,044 | | | $ | 34,377 | |
| Fund Accounting | | | — | | | | 17,544 | |
| Audit & Tax Fees | | | — | | | | 12,250 | |
| Trustee Fees | | | — | | | | 10,000 | |
| Shareholder Servicing | | | — | | | | 7,832 | |
| Registration | | | — | | | | 6,252 | |
| Pricing | | | — | | | | 2,304 | |
| Filings | | | — | | | | 1,738 | |
| Total Expenses | | $ | 373,044 | | | $ | 92,297 | |
| Fee Waiver (Note 5) | | | — | | | | (57,920 | ) |
| Net Expenses | | $ | 373,044 | | | $ | 34,377 | |
| | | | | | | | | |
| Net Investment Income | | $ | 2,099,262 | | | $ | 219,406 | |
| | | | | | | | | |
| Realized and Unrealized Gains (Losses): | | | | | | | | |
| Net Realized Losses from Security Transactions | | $ | (582,670 | ) | | $ | (195,526 | ) |
| Net Realized Gains from Futures Contracts | | | 15,799,977 | | | | 7,939 | |
| Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 621,204 | | | | 269,925 | |
| Net Change in Unrealized Appreciation (Depreciation) on Futures Contracts | | | 13,116,306 | | | | (609 | ) |
| | | | | | | | | |
| Net Gains on Investments | | $ | 28,954,817 | | | $ | 81,729 | |
| | | | | | | | | |
| Net Change in Net Assets from Operations | | $ | 31,054,079 | | | $ | 301,135 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS |
| |
| Statements of Changes in Net Assets |
| | | Johnson Institutional Short | | | Johnson Institutional | | | Johnson Institutional | |
| | | Duration Bond Fund | | | Intermediate Bond Fund | | | Intermediate Bond Fund | |
| | | Six Months | | | | | | Six Months | | | | | | Six Months | | | | |
| | | Ended | | | Year Ended | | | Ended | | | Year Ended | | | Ended | | | Year Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 6/30/2023* | | | 12/31/2022 | | | 6/30/2023* | | | 12/31/2022 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | $ | 1,979,610 | | | $ | 2,800,438 | | | $ | 3,157,758 | | | $ | 5,338,963 | | | $ | 7,669,819 | | | $ | 11,954,537 | |
| Net Realized Losses from Security Transactions | | | (935,528 | ) | | | (3,627,011 | ) | | | (3,254,745 | ) | | | (9,646,154 | ) | | | (14,881,352 | ) | | | (19,214,620 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 1,818,698 | | | | (12,626,694 | ) | | | 3,216,986 | | | | (21,903,838 | ) | | | 18,773,625 | | | | (81,050,130 | ) |
| Net Change in Net Assets from Operations | | $ | 2,862,780 | | | $ | (13,453,267 | ) | | $ | 3,119,999 | | | $ | (26,211,029 | ) | | $ | 11,562,092 | | | $ | (88,310,213 | ) |
| Distributions to Shareholders (see Note 2): | | | | | | | | | | | | | | | | | | | | | | | | |
| From Class I | | | (2,107,178 | ) | | | (3,205,467 | ) | | | (3,217,360 | ) | | | (5,586,931 | ) | | | (7,835,006 | ) | | | (12,972,468 | ) |
| From Class F | | | (61 | ) | | | (74 | ) | | | (85 | ) | | | (132 | ) | | | (46,542 | ) | | | (87,351 | ) |
| Total Distributions to Shareholders | | $ | (2,107,239 | ) | | $ | (3,205,541 | ) | | $ | (3,217,445 | ) | | $ | (5,587,063 | ) | | $ | (7,881,548 | ) | | $ | (13,059,819 | ) |
| Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | |
| From Class I | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from shares sold | | $ | 14,591,865 | | | $ | 33,124,435 | | | $ | 29,173,837 | | | $ | 100,013,627 | | | $ | 64,127,102 | | | $ | 156,618,484 | |
| Net Asset Value of Shares Issued on Reinvestment of Dividends | | | 639,637 | | | | 1,170,546 | | | | 1,441,964 | | | | 2,466,260 | | | | 6,247,923 | | | | 9,837,264 | |
| Payments for Shares Redeemed | | | (29,349,247 | ) | | | (135,485,750 | ) | | | (18,993,996 | ) | | | (91,743,251 | ) | | | (85,047,721 | ) | | | (136,712,628 | ) |
| Net Increase (Decrease) from Class I share capital transactions | | $ | (14,117,745 | ) | | $ | (101,190,769 | ) | | $ | 11,621,805 | | | $ | 10,736,636 | | | $ | (14,672,696 | ) | | $ | 29,743,120 | |
| From Class F | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from shares sold | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | 691,660 | | | $ | 2,845,544 | |
| Net Asset Value of Shares Issued on Reinvestment of Dividends | | | 61 | | | | 74 | | | | 85 | | | | 132 | | | | 46,542 | | | | 80,952 | |
| Payments for Shares Redeemed | | | — | | | | — | | | | — | | | | — | | | | (180,996 | ) | | | (3,319,363 | ) |
| Net Increase (Decrease) from Class F share capital transactions | | $ | 61 | | | $ | 74 | | | $ | 85 | | | $ | 132 | | | $ | 557,206 | | | $ | (392,867 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Net Assets | | $ | (13,362,143 | ) | | $ | (117,849,503 | ) | | $ | 11,524,444 | | | $ | (21,061,324 | ) | | $ | (10,434,946 | ) | | $ | (72,019,779 | ) |
| Net Assets at Beginning of Period | | $ | 229,477,363 | | | $ | 347,326,866 | | | $ | 233,663,912 | | | $ | 254,725,236 | | | $ | 572,882,795 | | | $ | 644,902,574 | |
| Net Assets at End of Period | | $ | 216,115,220 | | | $ | 229,477,363 | | | $ | 245,188,356 | | | $ | 233,663,912 | | | $ | 562,447,849 | | | $ | 572,882,795 | |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS |
| |
| Statements of Changes in Net Assets – Continued |
| | | Johnson Enhanced Return Fund | | | Johnson Core Plus Bond Fund | |
| | | Six Months | | | | | | Six Months | | | | |
| | | Ended | | | Year Ended | | | Ended | | | Year Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 6/30/2023* | | | 12/31/2022 | |
| Operations: | | | | | | | | | | | | | | | | |
| Net Investment Income | | $ | 2,099,262 | | | $ | 2,350,473 | | | $ | 219,406 | | | $ | 318,723 | |
| Net Realized Losses from Security Transactions | | | (582,670 | ) | | | (5,197,795 | ) | | | (195,526 | ) | | | (388,563 | ) |
| Net Realized Gains (Losses) from Futures Contracts | | | 15,799,977 | | | | (45,276,080 | ) | | | 7,939 | | | | (220,931 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on Investments | | | 621,204 | | | | (10,460,513 | ) | | | 269,925 | | | | (1,987,737 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on Futures Contracts | | | 13,116,306 | | | | (13,965,599 | ) | | | (609 | ) | | | 5,553 | |
| Net Change in Net Assets from Operations | | $ | 31,054,079 | | | $ | (72,549,514 | ) | | $ | 301,135 | | | $ | (2,272,955 | ) |
| Distributions to Shareholders (see Note 2) | | $ | (2,266,065 | ) | | $ | (15,063,308 | ) | | $ | (225,373 | ) | | $ | (367,362 | ) |
| Capital Share Transactions: | | | | | | | | | | | | | | | | |
| Proceeds from shares sold | | $ | 4,448,392 | | | $ | 20,528,636 | | | $ | 6,634,718 | | | $ | 1,126,671 | |
| Net Asset Value of Shares Issued on Reinvestment of Dividends | | | 2,264,040 | | | | 14,970,444 | | | | 211,586 | | | | 367,362 | |
| Payments for Shares Redeemed | | | (11,413,282 | ) | | | (64,297,348 | ) | | | (4,391,612 | ) | | | (916,246 | ) |
| Net Increase (Decrease) from capital transactions | | $ | (4,700,850 | ) | | $ | (28,798,268 | ) | | $ | 2,454,692 | | | $ | 577,787 | |
| Net Change in Net Assets | | $ | 24,087,164 | | | $ | (116,411,090 | ) | | $ | 2,530,454 | | | $ | (2,062,530 | ) |
| Net Assets at Beginning of Period | | $ | 206,482,038 | | | $ | 322,893,128 | | | $ | 14,358,407 | | | $ | 16,420,937 | |
| Net Assets at End of Period | | $ | 230,569,202 | | | $ | 206,482,038 | | | $ | 16,888,861 | | | $ | 14,358,407 | |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND |
| | |
| Class I |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 14.32 | | | $ | 15.15 | | | $ | 15.44 | | | $ | 15.12 | | | $ | 14.80 | | | $ | 14.96 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income(a) | | | 0.13 | | | | 0.14 | | | | 0.13 | | | | 0.26 | | | | 0.35 | | | | 0.31 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.05 | | | | (0.79 | ) | | | (0.27 | ) | | | 0.33 | | | | 0.33 | | | | (0.14 | ) |
| Total Operations | | $ | 0.18 | | | $ | (0.65 | ) | | $ | (0.14 | ) | | $ | 0.59 | | | $ | 0.68 | | | $ | 0.17 | |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.14 | ) | | | (0.18 | ) | | | (0.15 | ) | | | (0.27 | ) | | | (0.36 | ) | | | (0.33 | ) |
| Return of Capital | | | — | | | | — | | | | — | | | | — | | | | (0.00 | ) (b) | | | — | |
| Net Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | $ | (0.14 | ) | | $ | (0.18 | ) | | $ | (0.15 | ) | | $ | (0.27 | ) | | $ | (0.36 | ) | | $ | (0.33 | ) |
| Net Asset Value, end of period | | $ | 14.36 | | | $ | 14.32 | | | $ | 15.15 | | | $ | 15.44 | | | $ | 15.12 | | | $ | 14.80 | |
| Total Return(c) | | | 1.24 | % (d) | | | (4.29 | %) | | | (0.91 | %) | | | 3.91 | % | | | 4.65 | % | | | 1.16 | % |
| Net Assets, end of period (millions) | | $ | 216.11 | | | $ | 229.47 | | | $ | 347.32 | | | $ | 327.10 | | | $ | 164.80 | | | $ | 142.03 | |
| Ratios/supplemental data(e) | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets before Waiver | | | 0.30 | % (f) | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % |
| Ratio of expenses to average net assets after Waiver | | | 0.25 | % (f) | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % |
| Ratio of Net Investment Income to average net assets before Waiver | | | 1.74 | % (f) | | | 1.00 | % | | | 0.76 | % | | | 1.54 | % | | | 2.30 | % | | | 2.06 | % |
| Ratio of Net Investment Income to average net assets after Waiver | | | 1.79 | % (f) | | | 1.05 | % | | | 0.81 | % | | | 1.59 | % | | | 2.35 | % | | | 2.11 | % |
| Portfolio Turnover Rate | | | 24.12 | % (d) | | | 21.53 | % | | | 58.31 | % | | | 37.11 | % | | | 48.01 | % | | | 39.88 | % |
| (a) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. |
| (b) | Amount shown is less than $0.005 per share. |
| (c) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would have been lower if the Adviser had not reduced fees. |
| (e) | The Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.25%. The Adviser intends this fee waiver to be permanent, although the Adviser retains the right to remove the waiver after April 30, 2024. (Note 5) |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON INSTITUTIONAL SHORT DURATION BOND FUND |
| |
| Class F |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | | | | | | | | | | | | | | | | Eight | |
| | | Six Months | | | | | | | | | | | | | | | Months | |
| | | Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 12/31/2021 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018^ | |
| Net Asset Value, beginning of period | | $ | 14.49 | | | $ | 15.33 | | | $ | 15.63 | | | $ | 15.20 | | | $ | 14.91 | | | $ | 14.79 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income(a) | | | 0.12 | | | | 0.14 | | | | 0.10 | | | | 0.16 | | | | 0.32 | | | | 0.18 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.05 | | | | (0.82 | ) | | | (0.27 | ) | | | 0.42 | | | | 0.33 | | | | 0.02 | |
| Total Operations | | $ | 0.17 | | | $ | (0.68 | ) | | $ | (0.17 | ) | | $ | 0.58 | | | $ | 0.65 | | | $ | 0.20 | |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.13 | ) | | | (0.16 | ) | | | (0.13 | ) | | | (0.15 | ) | | | (0.36 | ) | | | (0.08 | ) |
| Net Asset Value, end of period | | $ | 14.53 | | | $ | 14.49 | | | $ | 15.33 | | | $ | 15.63 | | | $ | 15.20 | | | $ | 14.91 | |
| Total Return(b) | | | 1.16 | % (c) | | | (4.47 | %) | | | (1.09 | %) | | | 3.82 | % | | | 4.36 | % | | | 1.37 | % (c) |
| Net Assets, end of period (millions) | | $ | 0.007 | | | $ | 0.007 | | | $ | 0.007 | | | $ | 0.007 | | | $ | 0.003 | | | $ | 0.001 | |
| Ratios/supplemental data(d) | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets before Waiver | | | 0.55 | % (e) | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % (e) |
| Ratio of expenses to average net assets after Waiver | | | 0.40 | % (e) | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % (e) |
| Ratio of Net Investment Income to average net assets before Waiver | | | 1.58 | % (e) | | | 0.75 | % | | | 0.51 | % | | | 1.33 | % | | | 1.98 | % | | | 1.06 | % (e) |
| Ratio of Net Investment Income to average net assets after Waiver | | | 1.63 | % (e) | | | 0.90 | % | | | 0.66 | % | | | 1.48 | % | | | 2.13 | % | | | 1.21 | % (e) |
| Portfolio Turnover Rate | | | 24.12 | % (c) | | | 21.53 | % | | | 58.31 | % | | | 37.11 | % | | | 48.01 | % | | | 39.88 | % (c) |
| ^ | Fund began operations on May 1, 2018. |
| (a) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. |
| (b) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would have been lower if the Adviser had not reduced fees. |
| (d) | The Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.25%, and a portion of the 0.25% 12b-1 fee to sustain a new distribution fee of 0.15%. The Adviser intends this fee waiver to be permanent, although the Adviser retains the rights to remove the waiver after April 30, 2024. (Note 5) |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON INSTITUTIONAL INTERMEDIATE BOND FUND |
| |
| Class I |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 14.26 | | | $ | 16.03 | | | $ | 16.60 | | | $ | 15.98 | | | $ | 15.27 | | | $ | 15.63 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income(a)(b) | | | 0.19 | | | | 0.30 | | | | 0.25 | | | | 0.34 | | | | 0.41 | | | | 0.41 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.02 | (c) | | | (1.77 | ) | | | (0.52 | ) | | | 0.80 | | | | 0.73 | | | | (0.35 | ) |
| Total Operations | | $ | 0.21 | | | $ | (1.47 | ) | | $ | (0.27 | ) | | $ | 1.14 | | | $ | 1.14 | | | $ | 0.06 | |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.20 | ) | | | (0.30 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (0.42 | ) | | | (0.42 | ) |
| Net Realized Capital Gains | | | — | | | | — | | | | (0.04 | ) | | | (0.17 | ) | | | (0.01 | ) | | | — | |
| Total Distributions | | $ | (0.20 | ) | | $ | (0.30 | ) | | $ | (0.30 | ) | | $ | (0.52 | ) | | $ | (0.43 | ) | | $ | (0.42 | ) |
| Net Asset Value, end of period | | $ | 14.27 | | | $ | 14.26 | | | $ | 16.03 | | | $ | 16.60 | | | $ | 15.98 | | | $ | 15.27 | |
| Total Return(d) | | | 1.43 | % (e) | | | (9.18 | %) | | | (1.66 | %) | | | 7.20 | % | | | 7.53 | % | | | 0.42 | % |
| Net Assets, end of period (millions) | | $ | 245.18 | | | $ | 233.65 | | | $ | 254.72 | | | $ | 219.62 | | | $ | 153.73 | | | $ | 138.42 | |
| Ratios/supplemental data(f) | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets before Waiver | | | 0.30 | % (g) | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % |
| Ratio of expenses to average net assets after Waiver | | | 0.25 | % (g) | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % |
| Ratio of Net Investment Income to average net assets before Waiver | | | 2.63 | % (g) | | | 1.93 | % | | | 1.45 | % | | | 1.99 | % | | | 2.57 | % | | | 2.61 | % |
| Ratio of Net Investment Income to average net assets after Waiver | | | 2.68 | % (g) | | | 1.98 | % | | | 1.50 | % | | | 2.04 | % | | | 2.62 | % | | | 2.66 | % |
| Portfolio Turnover Rate | | | 23.43 | % (e) | | | 46.94 | % | | | 32.34 | % | | | 41.17 | % | | | 32.83 | % | | | 39.66 | % |
| (a) | Interest Expense had less than a 0.01% impact on the ratios of net investment income and expenses to average net assets. |
| (b) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. |
| (c) | Represents a balancing figure derived from other amounts in the financial highlights table that captures all other changes affecting net asset value per share. This per share amount does not correlate to the aggregate of the net realized and unrealized losses on the Statements of Operations for the same period. |
| (d) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would have been lower if the Adviser had not reduced fees. |
| (f) | The Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.25%. The Adviser intends this fee waiver to be permanent, although the Adviser retains the right to remove the waiver after April 30, 2024. (Note 5) |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON INSTITUTIONAL INTERMEDIATE BOND FUND |
| | |
| Class F |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | | | | | | | | | | | | | | | | Eight | |
| | | Six Months | | | | | | | | | | | | | | | Months | |
| | | Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 12/31/2021 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018^ | |
| Net Asset Value, beginning of period | | $ | 14.55 | | | $ | 16.37 | | | $ | 16.84 | | | $ | 16.09 | | | $ | 15.39 | | | $ | 15.25 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income(a)(b) | | | 0.18 | | | | 0.27 | | | | 0.22 | | | | 0.26 | | | | 0.37 | | | | 0.22 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.03 | (c) | | | (1.80 | ) | | | (0.53 | ) | | | 0.87 | | | | 0.75 | | | | 0.04 | |
| Total Operations | | $ | 0.21 | | | $ | (1.53 | ) | | $ | (0.31 | ) | | $ | 1.13 | | | $ | 1.12 | | | $ | 0.26 | |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.19 | ) | | | (0.29 | ) | | | (0.12 | ) | | | (0.21 | ) | | | (0.41 | ) | | | (0.12 | ) |
| Net Realized Capital Gains | | | — | | | | — | | | | (0.04 | ) | | | (0.17 | ) | | | (0.01 | ) | | | — | |
| Total Distributions | | $ | (0.19 | ) | | $ | (0.29 | ) | | $ | (0.16 | ) | | $ | (0.38 | ) | | $ | (0.42 | ) | | $ | (0.12 | ) |
| Net Asset Value, end of period | | $ | 14.57 | | | $ | 14.55 | | | $ | 16.37 | | | $ | 16.84 | | | $ | 16.09 | | | $ | 15.39 | |
| Total Return(d) | | | 1.40 | % (e) | | | (9.32 | %) | | | (1.83 | %) | | | 7.07 | % | | | 7.35 | % | | | 1.72 | % (e) |
| Net Assets, end of period (millions) | | $ | 0.007 | | | $ | 0.007 | | | $ | 0.007 | | | $ | 0.008 | | | $ | 0.003 | | | $ | 0.001 | |
| Ratios/supplemental data(f) | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets before Waiver | | | 0.55 | % (g) | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % (g) |
| Ratio of expenses to average net assets after Waiver | | | 0.40 | % (g) | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % (g) |
| Ratio of Net Investment Income to average net assets before Waiver | | | 2.46 | % (g) | | | 1.66 | % | | | 1.20 | % | | | 1.75 | % | | | 2.26 | % | | | 1.31 | % (g) |
| Ratio of Net Investment Income to average net assets after Waiver | | | 2.51 | % (g) | | | 1.81 | % | | | 1.35 | % | | | 1.90 | % | | | 2.41 | % | | | 1.46 | % (g) |
| Portfolio Turnover Rate | | | 23.43 | % (e) | | | 46.94 | % | | | 32.34 | % | | | 41.17 | % | | | 32.83 | % | | | 39.66 | % (e) |
| ^ | Fund began operations on May 1, 2018. |
| (a) | Interest Expense had less than a 0.01% impact on the ratios of net investment income and expenses to average net assets. |
| (b) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. |
| (c) | Represents a balancing figure derived from other amounts in the financial highlights table that captures all other changes affecting net asset value per share. This per share amount does not correlate to the aggregate of the net realized and unrealized losses on the Statements of Operations for the same period. |
| (d) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would have been lower if the Adviser had not reduced fees. |
| (f) | The Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.25%, and a portion of the 0.25% 12b-1 fee to sustain a new distribution fee of 0.15%. The Adviser intends this fee waiver to be permanent, although the Adviser retains the rights to remove the waiver after April 30, 2024. (Note 5) |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON INSTITUTIONAL CORE BOND FUND |
| |
| Class I |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 14.17 | | | $ | 16.80 | | | $ | 17.45 | | | $ | 16.41 | | | $ | 15.49 | | | $ | 15.91 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income(a) | | | 0.20 | | | | 0.32 | | | | 0.26 | | | | 0.34 | | | | 0.43 | | | | 0.40 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.09 | | | | (2.61 | ) | | | (0.62 | ) | | | 1.24 | | | | 0.94 | | | | (0.40 | ) |
| Total Operations | | $ | 0.29 | | | $ | (2.29 | ) | | $ | (0.36 | ) | | $ | 1.58 | | | $ | 1.37 | | | $ | (0.00 | ) |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.20 | ) | | | (0.34 | ) | | | (0.29 | ) | | | (0.36 | ) | | | (0.44 | ) | | | (0.42 | ) |
| Net Realized Capital Gains | | | — | | | | — | | | | — | | | | (0.18 | ) | | | (0.01 | ) | | | — | |
| Total Distributions | | $ | (0.20 | ) | | $ | (0.34 | ) | | $ | (0.29 | ) | | $ | (0.54 | ) | | $ | (0.45 | ) | | $ | (0.42 | ) |
| Net Asset Value, end of period | | $ | 14.26 | | | $ | 14.17 | | | $ | 16.80 | | | $ | 17.45 | | | $ | 16.41 | | | $ | 15.49 | |
| Total Return(b) | | | 2.06 | % (c) | | | (13.70 | %) | | | (2.04 | %) | | | 9.71 | % | | | 8.94 | % | | | 0.13 | % |
| Net Assets, end of period (millions) | | $ | 558.86 | | | $ | 569.86 | | | $ | 640.68 | | | $ | 559.67 | | | $ | 261.28 | | | $ | 217.25 | |
| Ratios/supplemental data(d) | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets before Waiver | | | 0.30 | % (e) | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % |
| Ratio of expenses to average net assets after Waiver | | | 0.25 | % (e) | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % |
| Ratio of Net Investment Income to average net assets before Waiver | | | 2.68 | % (e) | | | 2.04 | % | | | 1.46 | % | | | 1.83 | % | | | 2.59 | % | | | 2.62 | % |
| Ratio of Net Investment Income to average net assets after Waiver | | | 2.73 | % (e) | | | 2.09 | % | | | 1.51 | % | | | 1.88 | % | | | 2.64 | % | | | 2.67 | % |
| Portfolio Turnover Rate | | | 29.08 | % (c) | | | 33.21 | % | | | 42.67 | % | | | 30.08 | % | | | 28.83 | % | | | 39.62 | % |
| (a) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. |
| (b) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would have been lower if the Adviser had not reduced fees. |
| (d) | The Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.25%. The Adviser intends this fee waiver to be permanent, although the Adviser retains the right to remove the waiver after April 30, 2024. (Note 5) |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON INSTITUTIONAL CORE BOND FUND |
| |
| Class F |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | | | | | | | | | | | | | | | | Eight | |
| | | Six Months | | | | | | | | | | | | | | | Months | |
| | | Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 12/31/2021 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018^ | |
| Net Asset Value, beginning of period | | $ | 14.39 | | | $ | 17.06 | | | $ | 17.61 | | | $ | 16.49 | | | $ | 15.61 | | | $ | 15.41 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income(a) | | | 0.19 | | | | 0.32 | | | | 0.33 | | | | 0.26 | | | | 0.40 | | | | 0.23 | |
| Net Realized and Unrealized Gains (Losses) on Securities | | | 0.10 | | | | (2.66 | ) | | | (0.71 | ) | | | 1.31 | | | | 0.92 | | | | 0.10 | |
| Total Operations | | $ | 0.29 | | | $ | (2.34 | ) | | $ | (0.38 | ) | | $ | 1.57 | | | $ | 1.32 | | | $ | 0.33 | |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | (0.19 | ) | | | (0.33 | ) | | | (0.17 | ) | | | (0.27 | ) | | | (0.43 | ) | | | (0.13 | ) |
| Net Realized Capital Gains | | | — | | | | — | | | | — | | | | (0.18 | ) | | | (0.01 | ) | | | — | |
| Total Distributions | | $ | (0.19 | ) | | $ | (0.33 | ) | | $ | (0.17 | ) | | $ | (0.45 | ) | | $ | (0.44 | ) | | $ | (0.13 | ) |
| Net Asset Value, end of period | | $ | 14.49 | | | $ | 14.39 | | | $ | 17.06 | | | $ | 17.61 | | | $ | 16.49 | | | $ | 15.61 | |
| Total Return(b) | | | 2.03 | % (c) | | | (13.81 | %) | | | (2.15 | %) | | | 9.57 | % | | | 8.56 | % | | | 2.14 | % (c) |
| Net Assets, end of period (millions) | | $ | 3.593 | | | $ | 3.020 | | | $ | 4.222 | | | $ | 6.867 | | | $ | 0.148 | | | $ | 0.001 | |
| Ratios/supplemental data(d) | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets before Waiver | | | 0.55 | % (e) | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % (e) |
| Ratio of expenses to average net assets after Waiver | | | 0.40 | % (e) | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % (e) |
| Ratio of Net Investment Income to average net assets before Waiver | | | 2.55 | % (e) | | | 1.76 | % | | | 1.19 | % | | | 1.33 | % | | | 2.18 | % | | | 1.29 | % (e) |
| Ratio of Net Investment Income to average net assets after Waiver | | | 2.60 | % (e) | | | 1.91 | % | | | 1.34 | % | | | 1.48 | % | | | 2.33 | % | | | 1.44 | % (e) |
| Portfolio Turnover Rate | | | 29.08 | % (c) | | | 33.21 | % | | | 42.67 | % | | | 30.08 | % | | | 28.83 | % | | | 39.62 | % (c) |
| ^ | Fund began operations on May 1, 2018. |
| (a) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. |
| (b) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would have been lower if the Adviser had not reduced fees. |
| (d) | The Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.25%, and a portion of the 0.25% 12b-1 fee to sustain a new distribution fee of 0.15%. The Adviser intends this fee waiver to be permanent, although the Adviser retains the rights to remove the waiver after April 30, 2024. (Note 5) |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON ENHANCED RETURN FUND |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | Year Ended December 31 | |
| | | 6/30/2023* | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, beginning of period | | $ | 12.35 | | | $ | 17.41 | | | $ | 19.12 | | | $ | 16.97 | | | $ | 14.21 | | | $ | 16.27 | |
| Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 0.13 | | | | 0.14 | | | | 0.16 | | | | 0.21 | | | | 0.37 | | | | 0.35 | |
| Net Realized and Unrealized Gains (Losses) on Securities and Futures | | | 1.73 | | | | (4.25 | ) | | | 4.92 | | | | 3.00 | | | | 4.40 | | | | (1.32 | ) |
| Total Operations | | $ | 1.86 | | | $ | (4.11 | ) | | $ | 5.08 | | | $ | 3.21 | | | $ | 4.77 | | | $ | (0.97 | ) |
| Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment income | | | (0.14 | ) | | | (0.17 | ) | | | (0.18 | ) | | | (0.23 | ) | | | (0.38 | ) | | | (0.35 | ) |
| Net Realized Capital Gains | | | — | | | | (0.78 | ) | | | (6.61 | ) | | | (0.83 | ) | | | (1.63 | ) | | | (0.74 | ) |
| Total Distributions | | $ | (0.14 | ) | | $ | (0.95 | ) | | $ | (6.79 | ) | | $ | (1.06 | ) | | $ | (2.01 | ) | | $ | (1.09 | ) |
| Net Asset Value, end of period | | $ | 14.07 | | | $ | 12.35 | | | $ | 17.41 | | | $ | 19.12 | | | $ | 16.97 | | | $ | 14.21 | |
| Total Return(a) | | | 15.10 | % (b) | | | (23.56 | %) | | | 26.51 | % | | | 19.38 | % | | | 33.80 | % | | | (6.06 | %) |
| Net Assets, end of period (millions) | | $ | 230.57 | | | $ | 206.48 | | | $ | 322.89 | | | $ | 261.29 | | | $ | 183.93 | | | $ | 125.93 | |
| Ratios/supplemental data | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratio of expenses to average net assets | | | 0.35 | % (c) | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % | | | 0.35 | % |
| Ratio of Net Investment Income to average net assets | | | 1.94 | % (c) | | | 0.96 | % | | | 0.65 | % | | | 1.27 | % | | | 2.21 | % | | | 2.00 | % |
| Portfolio Turnover Rate | | | 23.80 | % (b) | | | 42.99 | % | | | 40.89 | % | | | 96.76 | % | | | 46.04 | % | | | 73.00 | % |
| (a) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
| The accompanying notes are an integral part of these financial statements. |
| FINANCIAL HIGHLIGHTS | JOHNSON CORE PLUS BOND FUND |
| |
| Selected Data for a Share Outstanding Throughout each Period: |
| | | Six Months | | | | | | Period | |
| | | Ended | | | Year Ended | | | Ended | |
| | | 6/30/2023* | | | 12/31/2022 | | | 12/31/2021^ | |
| Net Asset Value, beginning of period | | $ | 12.66 | | | $ | 15.04 | | | $ | 15.00 | |
| Operations: | | | | | | | | | | | | |
| Net Investment Income | | | 0.18 | | | | 0.29 | | | | 0.03 | |
| Net Realized and Unrealized Gains (Losses) on Securities and Futures | | | 0.10 | | | | (2.34 | ) | | | 0.04 | |
| Total Operations | | $ | 0.28 | | | $ | (2.05 | ) | | $ | 0.07 | |
| Distributions: | | | | | | | | | | | | |
| Net Investment Income | | | (0.19 | ) | | | (0.33 | ) | | | (0.03 | ) |
| Net Realized Capital Gains | | | — | | | | — | | | | — | |
| Total Distributions | | $ | (0.19 | ) | | $ | (0.33 | ) | | $ | (0.03 | ) |
| Net Asset Value, end of period | | $ | 12.75 | | | $ | 12.66 | | | $ | 15.04 | |
| Total Return(a) | | | 2.18 | % (b) | | | (13.71 | %) | | | 0.44 | % (b) |
| Net Assets, end of period (millions) | | $ | 16.89 | | | $ | 14.36 | | | $ | 16.42 | |
| Ratios/supplemental data(c) | | | | | | | | | | | | |
| Ratio of expenses to average net assets before Waiver | | | 1.21 | % (d) | | | 1.14 | % | | | 0.55 | % (d) |
| Ratio of expenses to average net assets after Waiver | | | 0.45 | % (d) | | | 0.45 | % | | | 0.45 | % (d) |
| Ratio of Net Investment Income to average net assets before Waiver | | | 2.11 | % (d) | | | 1.43 | % | | | 1.55 | % (d) |
| Ratio of Net Investment Income to average net assets after Waiver | | | 2.87 | % (d) | | | 2.12 | % | | | 1.65 | % (d) |
| Portfolio Turnover Rate | | | 17.78 | % (b) | | | 42.09 | % | | | 69.02 | % (b) |
| ^ | Fund began operations on November 17,2021. |
| (a) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would have been lower if the Adviser had not reduced fees. |
| (c) | The Adviser waived a portion of the fees (Note 5). |
| The accompanying notes are an integral part of these financial statements. |
| JOHNSON MUTUAL FUNDS | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
1) Organization:
The Johnson Institutional Short Duration Bond Fund, Johnson Institutional Intermediate Bond Fund, Johnson Institutional Core Bond Fund (the “Bond Funds,”), Johnson Enhanced Return Fund and the Johnson Core Plus Bond Fund (each individually a “Fund” and collectively the “Funds”) are each a diversified series of the Johnson Mutual Funds Trust (the “Trust”), and are registered under the Investment Company Act of 1940, as amended, as no-load, open-end investment companies. The Johnson Mutual Funds Trust was established as an Ohio business trust under an Agreement and Declaration of Trust dated September 30, 1992. The Bond Funds began offering their shares publicly on August 31, 2000. The Johnson Enhanced Return Fund began offering shares publicly on December 30, 2005. The Johnson Core Plus Bond Fund began offering shares publicly on November 17, 2021. All Funds are managed by Johnson Investment Counsel, Inc. (the “Adviser”).
The Bond Funds also have an additional share class, Class F shares. Each class of shares for each Fund has identical rights and privileges except with respect to distribution (12b-1) fees and voting rights on matters affecting a single class of shares. Class F shares have a maximum distribution (12b-1) fee of 0.25%, currently waived by the Adviser to 0.15% (see Note 5).
The investment objective of the Bond Funds is a high level of income over the long term consistent with preservation of capital. The investment objective of the Johnson Enhanced Return Fund is to outperform the Fund’s benchmark, the S&P 500 Composite Stock Index, over a full market cycle. The investment objective of the Johnson Core Plus Bond Fund is to maximize total return over the long term consistent with the preservation of capital.
2) Summary of Significant Accounting Policies:
BASIS OF ACCOUNTING:
The financial statements are prepared in accordance with accounting principles generally accepted in the United State of Americas (GAAP). The Funds are investment companies and accordingly follow the investment company guidance of Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, “Financial Services — Investment Companies”.
FINANCIAL FUTURES CONTRACTS:
The Enhanced Return Fund invests in stock index futures (equity risk) in an attempt to replicate the returns of the leading large capitalization companies in the leading industries in the U.S. economy. The Fund enters into S&P 500 E-Mini contracts four times a year generally near the time the contracts would expire (contracts expire the third Friday of March, June, September and December). The contracts are generally held until it is time to roll into the next contracts. The average daily notional value for the six months ended June 30, 2023 was $219,498,348. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin,” are made or received by the Fund each day, depending on the daily fluctuations in the fair value of the futures contract. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. The amount of the daily variation margin is reflected as an asset or liability within the Statements of Assets and Liabilities, while the cumulative change in unrealized gains (losses) on futures contracts is reported separately within the Statements of Operations. The Net Unrealized Gains on futures contracts, as of June 30, 2023, was $4,346,203. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss at the contract settlement date. A realized gain or loss is recognized when a contract is sold and is the difference between the fair value of the contract at purchase and the fair value of the contract when sold. Realized gains (losses) on futures contracts are reported separately within the Statements of Operations. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged asset, as well as the risk that the counterparty will fail to perform its obligations.
As of June 30, 2023, Wells Fargo Services holds U.S. Treasury Notes with the custodian, which serves as collateral for future contracts, with a value of $13,320,130. The net variation margin receivable on futures contracts as of June 30, 2023 was $2,696,590.
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
2) Significant Accounting Policies, continued
The Core Plus Bond Fund may enter into various exchange-traded and over-the-counter derivative transactions for both hedging and non-hedging purposes, including for purposes of enhancing returns. These derivative transactions may include futures, options, swaps, foreign currency futures and forwards. In particular, the Fund may use interest rate swaps, credit default swaps (including buying and selling credit default swaps on individual securities and/or baskets of securities), options (including options on credit default swaps and options on futures) and futures contracts to a significant extent, although the amounts invested in these instruments may change from time to time. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin,” are made or received by the Fund each day, depending on the daily fluctuations in the fair value of the futures contract. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. The amount of the daily variation margin is reflected as an asset or liability within the Statements of Assets and Liabilities, while the cumulative change in unrealized gain/loss on futures contracts is reported separately within the Statements of Operations. The Net Unrealized Losses on futures contracts, as of June 30, 2023, was $3,823. As of June 30, 2023, the Core Plus Fund held contracts of U.S. Treasury Ultra Treasury Bond CBT. Average daily notional value for the contracts held in the Core Plus Fund for the six months ended June 30, 2023 was $759,496. As of June 30, 2023, Wells Fargo Services holds U.S. Treasury Notes with the custodian, which serves as collateral for future contracts, with a value of $33,240. The net variation margin receivable on these futures contracts as of June 30, 2023 was $1,781.
OFFSETTING ASSETS AND LIABILITIES:
The Enhanced Return Fund and the Core Plus Bond Fund have adopted financial reporting rules regarding offsetting assets and liabilities and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The Fund’s policy is to recognize a net asset/liability equal to the net variation margin for the futures contracts. As of June 30, 2023, the Funds each have only one position and the variation margin applicable to each of those positions is presented in the Statement of Assets and Liabilities.
The following table presents the Enhanced Return Fund and Core Plus Bond Fund’s liability derivatives available for offset under a master netting agreement, net of collateral pledged as of June 30, 2023.
Enhanced Fund
Assets
| | | | | | | | | | | | Gross Amounts Not Offset | | | | |
| | | | | | | | | | | | in the Statement of | | | | |
| | | | | | | | | | | | Assets and Liabilities | | | | |
| | | | | | Gross | | | | | | | | | | | | | |
| | | | | | Amounts | | | Net Amounts | | | | | | | | | | |
| | | Gross | | | Offset in the | | | Presented in | | | | | | Cash | | | | |
| | | Amounts of | | | Statement of | | | the Statement | | | | | | Collateral | | | | |
| | | Recognized | | | Assets and | | | of Assets and | | | Financial | | | Pledged/ | | | | |
| Description | | Assets | | | Liabilities | | | Liabilities | | | Instruments* | | | Received | | | Net Amount | |
| Futures Contracts | | $ | 2,696,590 | | | $ | — | | | $ | 2,696,590 | | | $ | (2,696,590 | ) | | $ | — | | | $ | — | |
| * | The Amount is limited to the derivative balance, and accordingly, does not include excess collateral pledged. |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
2) Significant Accounting Policies, continued
Core Plus Bond Fund
Assets
| | | | | | | | | | | | Gross Amounts Not Offset | | | | |
| | | | | | | | | | | | in the Statement of | | | | |
| | | | | | | | | | | | Assets and Liabilities | | | | |
| | | | | | Gross | | | | | | | | | | | | | |
| | | | | | Amounts | | | Net Amounts | | | | | | | | | | |
| | | Gross | | | Offset in the | | | Presented in | | | | | | Cash | | | | |
| | | Amounts of | | | Statement of | | | the Statement | | | | | | Collateral | | | | |
| | | Recognized | | | Assets and | | | of Assets and | | | Financial | | | Pledged/ | | | | |
| Description | | Assets | | | Liabilities | | | Liabilities | | | Instruments* | | | Received | | | Net Amount | |
| Futures Contracts | | $ | 1,781 | | | $ | — | | | $ | 1,781 | | | $ | (1,781 | ) | | $ | — | | | $ | — | |
| * | The Amount is limited to the derivative balance, and accordingly, does not include excess collateral pledged. |
INVESTMENT INCOME AND REALIZED CAPITAL GAINS AND LOSSES ON INVESTMENT SECURITIES:
Interest income is recorded on an accrual basis. Gains and losses on sales of investments are calculated using the specific identification method. Discounts and premiums on securities purchased are amortized over the lives or to the earliest call date of the respective securities, in accordance with GAAP. Gains and losses on paydowns of mortgage-backed securities are reflected in interest income on the Statements of Operations. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country or region.
FEDERAL INCOME TAX:
The Funds have qualified and intend to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Qualification generally will relieve the Fund of liability for federal income taxes to the extent is net investment income and net realized capital gains are distributed in accordance with the Code.
In order to avoid imposition of a federal excise tax applicable to regulated investment companies, it is also the Funds’ intention to declare and pay as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the 12 months ended December 31 for the Bond Funds, and October 31 for the Enhanced Return and Core Plus Bond Fund) plus undistributed amounts from prior years.
The following information is computed for each item as of December 31 2022:
| | | | | | | | | | | | Enhanced | | | | |
| | | Short Duration | | | Intermediate | | | Core | | | Return | | | Core Plus | |
| Cost of Investments | | | 242,289,216 | | | | 251,774,889 | | | | 645,761,627 | | | | 214,760,598 | | | | 16,218,683 | |
| Gross unrealized appreciation | | | 43,599 | | | | 404,893 | | | | 466,389 | | | | 8,822,875 | | | | 20,709 | |
| Gross unrealized depreciation | | | (14,508,797 | ) | | | (20,295,093 | ) | | | (77,445,020 | ) | | | (21,558,427 | ) | | | (1,994,100 | ) |
| Net unrealized depreciation | | | (14,465,198 | ) | | | (19,890,200 | ) | | | (76,978,631 | ) | | | (12,735,552 | ) | | | (1,973,391 | ) |
| Undistributed ordinary income | | | 58,696 | | | | 58,896 | | | | 87,136 | | | | 87,800 | | | | 2,511 | |
| Other accumulated gains/(losses) | | | (4,150,294 | ) | | | (9,896,257 | ) | | | (21,904,287 | ) | | | (64,768,858 | ) | | | (631,815 | ) |
| Accumulated Earnings | | | (18,556,796 | ) | | | (29,727,561 | ) | | | (98,795,782 | ) | | | (77,416,610 | ) | | | (2,602,695 | ) |
The difference between the federal income tax cost and the financial statement cost of Funds’ investments is due to certain timing differences in the recognition of capital gains and losses under income tax regulations and GAAP. The timing differences are temporary in nature and are due to the tax deferral of losses on amortization of bonds, mark to market on futures contracts and wash sales.
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
2) Significant Accounting Policies, continued
As of December 31, 2022, the following Funds had capital loss carryovers which will reduce each Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. The capital loss carryovers which may be carried forward for an indefinite period are as follows:
| | | Long-term | | | Short-term | | | Total | |
| Short Duration | | | 2,417,814 | | | | 1,732,480 | | | | 4,150,294 | |
| Intermediate | | | 5,793,226 | | | | 4,103,031 | | | | 9,896,257 | |
| Core | | | 6,900,901 | | | | 15,003,386 | | | | 21,904,287 | |
| Enhanced | | | 38,721,216 | | | | 26,047,642 | | | | 64,768,858 | |
| Core Plus | | | 149,414 | | | | 482,401 | | | | 631,815 | |
The federal tax cost, unrealized appreciation (depreciation) as of June 30, 2023 is as follows:
| | | | | | | | | | | | Enhanced | | | | |
| | | Short Duration | | | Intermediate | | | Core | | | Return | | | Core Plus | |
| Cost of Portfolio Investments | | $ | 227,622,910 | | | $ | 260,340,311 | | | $ | 616,441,758 | | | $ | 238,080,071 | | | $ | 18,500,879 | |
| Gross unrealized appreciation | | | 40,827 | | | | 214,871 | | | | 727,759 | | | | 46,029 | | | | 13,018 | |
| Gross unrealized depreciation | | | (12,687,328 | ) | | | (17,156,141 | ) | | | (58,932,767 | ) | | | (12,156,951 | ) | | | (1,749,867 | ) |
| Net unrealized depreciation | | | (12,646,501 | ) | | | (16,941,270 | ) | | | (58,205,008 | ) | | | (12,110,922 | ) | | | (1,736,849 | ) |
The difference between the federal income tax cost and the financial statement cost of the Fund’s investments is due to certain timing differences in the recognition of capital gains and losses under income tax regulations and GAAP. These timing differences are temporary in nature and are due to the tax deferral of losses on amortization of bands, mark to market on futures contracts and wash sales.
The Funds recognize the tax benefits or expenses of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on Federal income tax returns for the current and all open tax years (generally three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements. The Funds identify its major tax jurisdictions as U.S. Federal and certain State tax authorities. The Funds are not aware of any tax positions for which it is reasonably likely that the total amounts of unrecognized tax benefits or expenses will change materially in the next twelve months. The Funds recognize interest and penalties, if any, related to unrecognized tax expenses as income tax expense in the Statements of Operations. During the six months ended June 30, 2023, the Funds did not incur any interest or penalties.
ALLOCATIONS BETWEEN CLASSES:
Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Class specific expenses are charged directly to the class incurring the expense. Common expenses which are not attributable to a specific class are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund.
DISTRIBUTIONS:
Distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The Funds intend to distribute net investment income on a monthly basis for the Bond Funds and Core Plus Fund, and on a calendar quarter basis for the Enhanced Return Fund. The Funds intend to distribute their net realized long-term capital gains and their net realized short-term capital gains, if any, at least once a year. The treatment for financial reporting purposes of distributions made to shareholders during the year from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
2) Significant Accounting Policies, continued
components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations, or net asset values per share of the Funds.
The tax character of the distributions paid for the periods ended December 31, 2022 and June 30, 2023 are as follows:
| | | | | | | | Net Realized | | | Total Taxable | | | Total | |
| | | | | Ordinary | | | Long-Term | | | Distributions | | | Distributions | |
| | | | | Income | | | Capital Gain | | | Paid | | | Paid | |
| Short Duration Bond Fund | | 12/31/2022 | | $ | 3,205,541 | | | $ | — | | | $ | 3,205,541 | | | $ | 3,205,541 | |
| | | 6/30/2023 | | | 2,107,239 | | | | — | | | | 2,107,239 | | | | 2,107,239 | |
| Intermediate Bond Fund | | 12/31/2022 | | | 5,587,063 | | | | — | | | | 5,587,063 | | | | 5,587,063 | |
| | | 6/30/2023 | | | 3,217,445 | | | | — | | | | 3,217,445 | | | | 3,217,445 | |
| Core Bond Fund | | 12/31/2022 | | | 13,059,819 | | | | — | | | | 13,059,819 | | | | 13,059,819 | |
| | | 6/30/2023 | | | 7,881,548 | | | | — | | | | 7,881,548 | | | | 7,881,548 | |
| Enhanced Return Fund | | 12/31/2022 | | | 7,515,155 | | | | 7,548,153 | | | | 15,063,308 | | | | 15,063,308 | |
| | | 6/30/2023 | | | 2,266,065 | | | | — | | | | 2,266,065 | | | | 2,266,065 | |
| Core Plus Fund | | 12/31/2022 | | | 367,362 | | | | — | | | | 367,362 | | | | 367,362 | |
| | | 6/30/2023 | | | 225,373 | | | | — | | | | 225,373 | | | | 225,373 | |
| * | Short-Term Capital Gains were combined with Ordinary Income, as they are taxed at the Ordinary Income tax rate. |
3) Security Valuation and Transactions:
The Funds’ portfolio securities are valued as of the close of business of the regular session of the New York Stock Exchange (normally 4:00 p.m., Eastern time). The Board has assigned the Adviser as their Valuation Designee to consider all appropriate factors relevant to the value of securities, in accordance with the Trust’s valuation policies and fair value determinations. Fixed income securities typically are valued on the basis of prices furnished by a pricing service when the Adviser believes such prices accurately reflect the market value of such securities. A pricing service utilizes electronic data processing techniques based on yield spreads relating to securities with similar characteristics to determine prices for normal institutional-size trading units of debt securities without regard to sale or bid prices. When the Adviser decides that a price provided by the pricing service does not accurately reflect the market value of the securities, when prices are not readily available from the pricing service, or when restricted or illiquid securities are being valued, securities are valued at fair value as determined in good faith by the Adviser, in conformity with guidelines adopted by and subject to review of the Board of Trustees. Various inputs may be reviewed in order to make a good faith determination of a security’s fair value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.
The Funds utilizes various methods to measure the fair value of its investments on a recurring basis. GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements.
GAAP established 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 Funds have the ability to access. |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
3) Security Valuation and Transactions, continued
| ● | 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 or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. 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 of 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.
FAIR VALUE MEASUREMENTS:
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows.
Corporate Bonds. Corporate bonds are generally valued at prices obtained from pricing vendors. The fair value of corporate bonds is estimated using market approach valuation techniques, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations for similar securities (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they will be categorized in Level 3.
Certificates of Deposit. Certificates of Deposit are generally valued at prices obtained from pricing vendors. Certificates of Deposit which are traded on the open market are normally valued using a market approach valuation technique that incorporates observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Certificates of Deposit are categorized in Level 2 of the fair value hierarchy.
U.S. Government Securities. U.S. government securities are generally valued at prices obtained from pricing vendors. U.S. government securities, including U.S. Treasury Obligations, are normally valued using market approach valuation techniques that incorporate observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. U.S. government securities are categorized in Level 2 of the fair value hierarchy.
U.S. Agency Securities. U.S. agency securities are generally valued at prices obtained from pricing vendors. U.S. agency securities are comprised of two main categories consisting of agency issued debt and mortgage-backed securities. Agency issued debt securities are generally valued in a manner similar to U.S. government securities. Mortgage-backed securities are generally valued based on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Depending on market activity levels and whether quotations or other data are used, these securities are typically categorized in Level 2 of the fair value hierarchy.
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
3) Security Valuation and Transactions, continued
Municipal Bonds. Municipal bonds are generally valued at prices obtained from pricing vendors. Municipal Bonds are normally valued using a market approach valuation technique that incorporates observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Municipal Bonds are categorized in Level 2 of the fair value hierarchy.
Preferred Stocks. Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Money Market. Investments in mutual funds, including money market mutual funds (notated throughout these financial statements as cash equivalents), are generally priced at the ending net asset value (“NAV”) provided by the service agent of the funds. These securities will be categorized as Level 1 securities.
Derivative Instruments. Listed derivatives, including futures contracts that are actively traded, are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy.
The following is a summary of the inputs used to value each Fund’s investments as of June 30, 2023:
| Short Duration Bond Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Corporate Bonds* | | $ | — | | | $ | 131,710,085 | | | $ | — | | | $ | 131,710,085 | |
| Collateralized Mortgage Obligations | | | — | | | | 26,780,879 | | | | — | | | | 26,780,879 | |
| Municipal Bonds | | | — | | | | 9,300,888 | | | | — | | | | 9,300,888 | |
| U.S. Government & Agencies | | | — | | | | 21,456,798 | | | | — | | | | 21,456,798 | |
| U.S. Treasury Obligations | | | — | | | | 25,328,137 | | | | — | | | | 25,328,137 | |
| Certificate of Deposit | | | — | | | | 248,758 | | | | — | | | | 248,758 | |
| Money Market Funds | | | 150,864 | | | | — | | | | — | | | | 150,864 | |
| Total | | $ | 150,864 | | | $ | 214,825,545 | | | $ | — | | | $ | 214,976,409 | |
| | | | | | | | | | | | | | | | | |
| Intermediate Bond Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Corporate Bonds* | | $ | — | | | $ | 117,640,590 | | | $ | — | | | $ | 117,640,590 | |
| Collateralized Mortgage Obligations | | | — | | | | 17,593,493 | | | | — | | | | 17,593,493 | |
| Municipal Bonds | | | — | | | | 4,702,785 | | | | — | | | | 4,702,785 | |
| U.S. Treasury Obligations | | | — | | | | 82,374,014 | | | | — | | | | 82,374,014 | |
| U.S. Government & Agencies | | | — | | | | 18,448,824 | | | | — | | | | 18,448,824 | |
| Preferred Stocks | | | 1,501,442 | | | | — | | | | — | | | | 1,501,442 | |
| Money Market Funds | | | 1,137,893 | | | | — | | | | — | | | | 1,137,893 | |
| Total | | $ | 2,639,335 | | | $ | 240,759,706 | | | $ | — | | | $ | 243,399,041 | |
| | | | | | | | | | | | | | | | | |
| Core Bond Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Corporate Bonds* | | $ | — | | | $ | 251,146,163 | | | $ | — | | | $ | 251,146,163 | |
| Collateralized Mortgage Obligations | | | — | | | | 113,389,741 | | | | — | | | | 113,389,741 | |
| Municipal Bonds | | | — | | | | 9,964,932 | | | | — | | | | 9,964,932 | |
| U.S. Treasury Obligations | | | — | | | | 161,727,780 | | | | — | | | | 161,727,780 | |
| U.S. Government & Agencies | | | — | | | | 19,144,950 | | | | — | | | | 19,144,950 | |
| Preferred Stocks | | | 2,080,810 | | | | — | | | | — | | | | 2,080,810 | |
| Money Markets Funds | | | 782,374 | | | | — | | | | — | | | | 782,374 | |
| Total | | $ | 2,863,184 | | | $ | 555,373,566 | | | $ | — | | | $ | 558,236,750 | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
3) Security Valuation and Transactions, continued
| Enhanced Return Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Corporate Bonds* | | $ | — | | | $ | 135,676,764 | | | $ | — | | | $ | 135,676,764 | |
| Collateralized Mortgage Obligations | | | — | | | | 26,741,586 | | | | — | | | | 26,741,586 | |
| Municipal Bonds | | | — | | | | 5,465,211 | | | | — | | | | 5,465,211 | |
| U.S. Treasury Obligations | | | — | | | | 39,052,034 | | | | — | | | | 39,052,034 | |
| U.S. Government & Agencies | | | — | | | | 15,766,690 | | | | — | | | | 15,766,690 | |
| Money Market Funds | | | 3,266,864 | | | | — | | | | — | | | | 3,266,864 | |
| Sub-total | | $ | 3,266,864 | | | $ | 222,702,285 | | | $ | — | | | $ | 225,969,149 | |
| Other Financial Instruments** | | | 4,346,203 | | | | — | | | | — | | | | 4,346,203 | |
| Total | | $ | 7,613,067 | | | $ | 222,702,285 | | | $ | — | | | $ | 230,315,352 | |
| | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| Corporate Bonds* | | $ | — | | | $ | 8,707,641 | | | $ | — | | | $ | 8,707,641 | |
| Collateralized Mortgage Obligations | | | — | | | | 4,684,177 | | | | — | | | | 4,684,177 | |
| U.S. Treasury Obligations | | | — | | | | 2,814,440 | | | | — | | | | 2,814,440 | |
| U.S. Government & Agencies | | | — | | | | 356,423 | | | | — | | | | 356,423 | |
| Preferred Stocks | | | 162,955 | | | | — | | | | — | | | | 162,955 | |
| Money Market Funds | | | 38,394 | | | | — | | | | — | | | | 38,394 | |
| Sub-total | | $ | 201,349 | | | $ | 16,562,681 | | | $ | — | | | $ | 16,764,030 | |
| Other Financial Instruments** | | | (3,823 | ) | | | — | | | | — | | | | (3,823 | ) |
| Total | | $ | 197,526 | | | $ | 16,562,681 | | | $ | — | | | $ | 16,760,207 | |
| * | See Portfolio of Investments for sector classifications. |
| ** | Other financial instruments are futures contracts reflected separately in the Portfolio of Investments, and are reflected at the net unrealized appreciation (depreciation) on futures contracts |
The Funds did not hold any investments at any time during the reporting period in which unobservable inputs were used in determining fair value. Therefore, no reconciliation of Level 3 securities is included for this reporting period.
4) Portfolio Risks:
Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. As of December 31, 2022, the overnight and 12-Month USD LIBOR settings will continue to report daily rates through June 30, 2023. Management expects the bonds currently held by the Funds using the LIBOR rate to set the variable rates for the bonds to be sold or mature prior to this date. In the event that a bond may still be held as of this final date, it appears that either the bond will switch over to SOFR (Secured Overnight Financing Rate — a replacement for LIBOR), or the bond will lock in the last known coupon and become a fixed rate bond. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Fund’s performance and/or net asset value. Currently, the Funds have securities (less than 1% of holdings) using LIBOR as a basis for their variable rates.
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
5) Investment Advisory Agreement and 12b-1 Fees:
As of June 30, 2023, the Short Duration Bond Fund, Intermediate Bond Fund, Core Bond Fund and Enhanced Return Fund, each receive investment management and advisory services from the Adviser under management agreements that provide for fees to be paid monthly at an annual rate of 0.30%, 0.30%, 0.30% and 0.35%, respectively, for each of the Fund’s average daily net assets, subject to any waivers defined below. The investment advisory agreements provide that the Adviser will pay all of the Funds operating expenses, excluding brokerage fees and commissions, borrowing costs, taxes, acquired fund fees, and extraordinary expenses. The Short Duration, Intermediate and Core Bond Funds F share classes also incur 12b-1 fee at the annual rate of 0.25% (before the contractual waiver described below) of the Fund’s average daily net assets, which is accrued daily and paid monthly.
Effective May 1, 2022, the Adviser has agreed to waive a part of the management fee for the Short Duration, Intermediate and Core Bond Funds from a maximum of 0.30% to an effective fee ratio of 0.25%, unchanged from the prior period. In addition, the adviser has agreed to waive a part of the 12b-1 fee from a maximum of 0.25% to an effective annual rate of 0.15%. The Adviser has the right to remove this fee waiver any time after April 30, 2024. These waivers are not subject to recoupment.
As of June 30, 2023, the Johnson Core Plus Bond Fund receives investment management and advisory services from the Adviser under a management agreement that provide for fees to be paid monthly, at an annual rate of 0.45% of the Fund’s average daily net assets.
For the Core Plus Bond Fund, the Adviser has contractually agreed to waive management fees and/or to reimburse expenses to limit Fund expenses, at least until April 30, 2024, so that the total annual operating expenses (exclusive of any front-end or contingent deferred loads; brokerage fees and commissions, acquired fund fees and expenses; fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the adviser)) of the Fund will not exceed 0.45% of the Fund’s average daily net assets. Fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years on a rolling three-year basis (within the three years from the date in which the fees were waived or reimbursed) if such recoupment can be achieved within the foregoing expense limit and any expense limitation in place at the time of recoupment. The Adviser does not intend to recoup these waived amounts. This agreement may be terminated only by the Board of Trustees on 60 days written notice to the adviser.
As of June 30, 2023, the remaining cumulative unreimbursed amount paid and/or waived by the Adviser on behalf of the Core Plus Fund was $174,492. The Adviser may recapture a portion of the above amount no later than the dates as stated below:
| | | Expires | | | Expires | | | Expires | | | | |
| Fund | | 12/31/24 | | | 12/31/25 | | | 6/30/26 | | | Total | |
| Core Plus Bond Fund | | $ | 12,347 | | | $ | 104,225 | | | $ | 57,920 | | | $ | 174,492 | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
6) Related Party Transactions:
All officers and one Trustee of the Trust are employees of the Adviser. Total compensation for the Independent Trustees as a group was $50,000 for the six months ended June 30, 2023, which was paid by the Adviser, and as a group they received no additional compensation from the Trust. The Trust consists of nine Funds: Johnson Equity Income Fund, Johnson Opportunity Fund, Johnson International Fund, Johnson Fixed Income Fund, Johnson Municipal Income Fund, Johnson Institutional Short Duration Bond Fund, Johnson Institutional Intermediate Bond Fund, Johnson Institutional Core Bond Fund, Johnson Enhanced Return Fund and Johnson Core Plus Bond Fund. The Adviser is not a registered broker-dealer of securities and thus does not receive commissions on trades made on behalf of the Funds. The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the Fund, under Section 2(a)(9) of the Investment Company Act of 1940. As of June 30, 2023, the following are identified as having an ownership of more than 25%:
| Short Duration Bond Fund (Class I Shares): | | | |
| Covenant Trust Company | | | 47.82 | % |
| | | | | |
| Short Duration Bond Fund (Class F Shares): | | | | |
| Client accounts held by the Adviser | | | 100.00 | % |
| | | | | |
| Intermediate Bond Fund (Class I Shares): | | | | |
| Covenant Trust Company | | | 40.39 | % |
| Client accounts managed by the Advisor and held by Charles Schwab & Co. | | | 32.36 | % |
| | | | | |
| Intermediate Bond Fund (Class F Shares): | | | | |
| Client accounts held by the Adviser | | | 100.00 | % |
| | | | | |
| Core Bond Fund (Class I Shares): | | | | |
| Client accounts managed by the Adviser and held by Charles Schwab & Co. | | | 38.05 | % |
| | | | | |
| Core Bond Fund (Class F Shares): | | | | |
| LPL Financial Group | | | 89.37 | % |
| | | | | |
| Enhanced Return Fund: | | | | |
| Client accounts managed by the Adviser and held by Charles Schwab & Co. | | | 98.25 | % |
| | | | | |
| Core Plus Bond Fund: | | | | |
| Client accounts managed by the Adviser and held by Charles Schwab & Co. | | | 70.25 | % |
| Saxon & Co. (for the benefit of its customers) | | | 29.74 | % |
Johnson Financial, Inc. is a wholly-owned subsidiary of Johnson Investment Counsel, Inc., the Adviser. Johnson Financial, Inc. provided transfer agency and administration services to the Funds until March 31, 2023. These services were paid for by the Adviser.
Ultimus Fund Solutions, LLC (“Ultimus”) provides fund accounting services to the Funds. Effective March 31, 2023, Ultimus started providing administration services to the Funds and transfer agency services effective April 24, 2023. All services are paid for by the Adviser, except as relates to the Core Plue Bond Fund.
7) Purchases and Sales of Securities:
For the six months ended June 30, 2023, purchases and sales of investment securities aggregated:
| | | Investment Securities Other Than | | | | | | | |
| | | Short-Term Investments and | | | | | | | |
| | | U.S. Government Obligations | | | U.S. Government Obligations | |
| Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
| Short Duration Bond Fund | | $ | 23,060,540 | | | $ | 43,932,917 | | | $ | 29,823,902 | | | $ | 22,448,926 | |
| Intermediate Bond Fund | | | 21,276,878 | | | | 24,428,020 | | | | 46,414,323 | | | | 34,430,663 | |
| Core Bond Fund | | | 40,343,627 | | | | 77,853,813 | | | | 121,917,446 | | | | 86,725,279 | |
| Enhanced Return Fund | | | 31,457,258 | | | | 25,519,274 | | | | 40,703,036 | | | | 24,016,556 | |
| Core Plus Bond Fund | | | 2,446,696 | | | | 1,961,021 | | | | 3,264,475 | | | | 632,830 | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
8) Capital Share Transactions:
As of June 30, 2023, there were an unlimited number of shares of beneficial interest authorized for each Fund. Each Fund records purchases of its shares at the daily net asset value determined after receipt of a shareholder’s order in proper form. Redemptions are recorded at the net asset value determined following receipt of a shareholder’s written or telephone request in proper form.
| | | Short Duration Bond Fund | |
| | | Class I Shares | | | Class F Shares | |
| | | Six Months | | | Year Ended | | | Six Months | | | Year Ended | |
| | | Ended 6/30/2023 | | | 12/31/2022 | | | Ended 6/30/2023 | | | 12/31/2022 | |
| Issued | | | 1,010,433 | | | | 2,260,082 | | | | — | | | | — | |
| Reinvested | | | 44,425 | | | | 80,605 | | | | 4 | | | | 5 | |
| Redeemed | | | (2,034,086 | ) | | | (9,243,938 | ) | | | — | | | | — | |
| Change in Shares outstanding | | | (979,228 | ) | | | (6,903,251 | ) | | | 4 | | | | 5 | |
| Shares outstanding, beginning of period | | | 16,028,132 | | | | 22,931,383 | | | | 478 | | | | 473 | |
| Shares outstanding, end of period | | | 15,048,904 | | | | 16,028,132 | | | | 482 | | | | 478 | |
| | | | | | | | | | | | | | | | | |
| | | Intermediate Bond Fund | |
| | | Class I Shares | | | Class F Shares | |
| | | Six Months | | | Year Ended | | | Six Months | | | Year Ended | |
| | | Ended 6/30/2023 | | | 12/31/2022 | | | Ended 6/30/2023 | | | 12/31/2022 | |
| Issued | | | 2,008,819 | | | | 6,600,967 | | | | — | | | | — | |
| Reinvested | | | 100,169 | | | | 168,372 | | | | 6 | | | | 9 | |
| Redeemed | | | (1,319,133 | ) | | | (6,271,324 | ) | | | — | | | | — | |
| Change in Shares outstanding | | | 789,855 | | | | 498,015 | | | | 6 | | | | 9 | |
| Shares outstanding, beginning of period | | | 16,390,272 | | | | 15,892,257 | | | | 460 | | | | 451 | |
| Shares outstanding, end of period | | | 17,180,127 | | | | 16,390,272 | | | | 466 | | | | 460 | |
| | | | | | | | | | | | | | | | | |
| | | Core Bond Fund | |
| | | Class I Shares | | | Class F Shares | |
| | | Six Months | | | Year Ended | | | Six Months | | | Year Ended | |
| | | Ended 6/30/2023 | | | 12/31/2022 | | | Ended 6/30/2023 | | | 12/31/2022 | |
| Issued | | | 4,437,090 | | | | 10,511,107 | | | | 46,892 | | | | 175,932 | |
| Reinvested | | | 434,360 | | | | 663,377 | | | | 3,187 | | | | 5,355 | |
| Redeemed | | | (5,901,212 | ) | | | (9,097,881 | ) | | | (12,232 | ) | | | (218,589 | ) |
| Change in Shares outstanding | | | (1,029,762 | ) | | | 2,076,603 | | | | 37,847 | | | | (37,302 | ) |
| Shares outstanding, beginning of period | | | 40,211,908 | | | | 38,135,305 | | | | 210,172 | | | | 247,474 | |
| Shares outstanding, end of period | | | 39,182,146 | | | | 40,211,908 | | | | 248,019 | | | | 210,172 | |
| | | | | | | | | | | | | | | | | |
| | | | | | Enhanced Return Fund | |
| | | | | | | | | Six Months | | | Year Ended | |
| | | | | | | | | Ended 6/30/2023 | | | 12/31/2022 | |
| Issued | | | | | | | | | | | 343,474 | | | | 1,416,102 | |
| Reinvested | | | | | | | | | | | 168,348 | | | | 1,210,951 | |
| Redeemed | | | | | | | | | | | (854,215 | ) | | | (4,451,944 | ) |
| Change in Shares outstanding | | | | (342,393 | ) | | | (1,824,891 | ) |
| Shares outstanding, beginning of period | | | | 16,725,011 | | | | 18,549,902 | |
| Shares outstanding, end of period | | | | 16,382,618 | | | | 16,725,011 | |
| NOTES TO THE FINANCIAL STATEMENTS | JUNE 30, 2023 UNAUDITED |
8) Capital Share Transactions, continued
| | | Core Plus Bond Fund | |
| | | Six Months | | | Year Ended | |
| | | Ended 6/30/2023 | | | 12/31/2022 | |
| Issued | | | 516,383 | | | | 82,986 | |
| Reinvested | | | 16,457 | | | | 27,848 | |
| Redeemed | | | (342,436 | ) | | | (68,506 | ) |
| Change in Shares outstanding | | | 190,404 | | | | 42,328 | |
| Shares outstanding, beginning of period | | | 1,134,265 | | | | 1,091,937 | |
| Shares outstanding, end of period | | | 1,324,669 | | | | 1,134,265 | |
9) Borrowings:
The Short Duration Bond Fund, Intermediate Bond Fund, Core Bond Fund, Enhanced Return Fund, and Core Plus Bond Fund each has an unsecured line of credit through April 29, 2024 with U.S. Bank National Association, up to 33.3% of its net assets, with a total maximum borrowing limit of $60,000,000 for the Trust.
Borrowings under the agreement bear interest at the Prime lending rate. There were no borrowings for any of the Funds at any time during the six months ended June 30, 2023.
10) Estimates:
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
11) Indemnification:
In the normal course of business, the Trust, on behalf of the Funds, enters into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.
12) Subsequent Events:
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment to or disclosure in the financial statements.
| DISCLOSURE OF EXPENSES (UNAUDITED) | JUNE 30, 2023 |
Shareholders of the Short Duration Bond, Intermediate Bond, Core Bond, Enhanced Return, and Core Plus Bond Funds (the “Funds”) incur ongoing operating expenses consisting of management fees, and for the Core Plus Bond Fund, additional operational and administrative fees. The following example is intended to help you understand your ongoing expenses of investing in the Funds and to compare these expenses with similar costs of investing in other mutual funds. The example is based on an investment of $1,000 invested in the Funds on January 1, 2023 and held through June 30, 2023.
The first line of the table below provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6) and then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period.”
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios 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 paid by a shareholder for the period. Shareholders may use this information to compare the ongoing expenses of investing in the Funds and other funds 5% hypothetical examples with the 5% hypothetical examples that appear in other funds’ shareholder reports.
| | | | | | | | | Expenses Paid |
| | | Beginning Account | | Ending Account | | | | During Period* |
| | | Value | | Value | | Net | | January 1, 2023 |
| | | January 1, 2023 | | June 30, 2023 | | Expense Ratio* | | - June 30, 2023 |
| Short Duration Bond Fund | | | | | | | | |
| Class I - Actual Fund Return | | $1,000.00 | | $1,012.40 | | 0.25% | | $1.25 |
| Class I - Hypothetical 5% Return | | $1,000.00 | | $1,023.55 | | 0.25% | | $1.25 |
| Class F - Actual Fund Return | | $1,000.00 | | $1,011.60 | | 0.40% | | $2.00 |
| Class F - Hypothetical 5% Return | | $1,000.00 | | $1,022.81 | | 0.40% | | $2.01 |
| Intermediate Bond Fund | | | | | | | | |
| Class I - Actual Fund Return | | $1,000.00 | | $1,014.30 | | 0.25% | | $1.25 |
| Class I - Hypothetica 5% l Return | | $1,000.00 | | $1,023.55 | | 0.25% | | $1.25 |
| Class F - Actual Fund Return | | $1,000.00 | | $1,014.00 | | 0.40% | | $2.00 |
| Class F - Hypothetical 5% Return | | $1,000.00 | | $1,022.81 | | 0.40% | | $2.01 |
| Core Bond Fund | | | | | | | | |
| Class I - Actual Fund Return | | $1,000.00 | | $1,020.60 | | 0.25% | | $1.25 |
| Class I - Hypothetical 5% Return | | $1,000.00 | | $1,023.55 | | 0.25% | | $1.25 |
| Class F - Actual Fund Return | | $1,000.00 | | $1,020.30 | | 0.40% | | $2.00 |
| Class F - Hypothetical 5% Return | | $1,000.00 | | $1,022.81 | | 0.40% | | $2.01 |
| Enhanced Return Fund | | | | | | | | |
| Actual Fund Return | | $1,000.00 | | $1,151.00 | | 0.35% | | $1.87 |
| Hypothetical 5% Return | | $1,000.00 | | $1,023.06 | | 0.35% | | $1.76 |
| Core Plus Bond Fund | | | | | | | | |
| Actual Fund Return | | $1,000.00 | | $1,021.80 | | 0.45% | | $2.26 |
| Hypothetical 5% Return | | $1,000.00 | | $1,022.56 | | 0.45% | | $2.26 |
| * | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| MANAGEMENT AGREEMENT BETWEEN JOHNSON MUTUAL FUNDS AND JOHNSON INVESTMENT COUNSEL, INC. |
During the May 17, 2023 regular Johnson Mutual Funds Trust Board meeting, the Independent Trustees adjourned for an executive session with legal counsel to discuss the approval of the management agreement.
The Trustees, including the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), then considered the renewal of the Management Agreements between the Trust and the Adviser. The Trustees were assisted by experienced independent legal counsel throughout the contract review process. The Independent Trustees discussed the proposed continuance in executive session with such counsel at which no representatives of the Adviser were present. The Independent Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Management Agreements and the weight to be given to each such factor. Among other factors, the Trustees considered (i) the investment performance of each Fund and the Adviser; (ii) the nature, extent and quality of the services provided by the Adviser; (iii) the cost of services provided and the profits to be realized by the Adviser and its affiliates from the relationship with the Funds; and (iv) economies of scale. The conclusions reached by the Independent Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Additionally, each Independent Trustee may have afforded different weight to the various factors in reaching his or her conclusions with respect to the Management Agreements.
The Trustees evaluated the Adviser’s responses and information prepared by the Adviser in the board materials, noting the Adviser’s financial resources, its personnel and operations, advisory, administrative and compliance services provided by the Adviser to the Funds, and the overall compensation received for management services. The Board considered and discussed each Fund’s performance for various periods, the profitability of the Adviser with respect to each of the Funds and economies of scale.
With respect to the nature, extent and quality of services provided by the Adviser, the Trustees reviewed the information describing the Adviser’s business and personnel and discussed the Adviser’s extensive experience and resources. The Board noted that the Adviser has been providing services to the Trust since 1992. The Trustees and representatives of the Adviser noted the continuance of their cooperative working relationship on Fund matters. The Board reviewed the individuals who serve as portfolio managers for the Funds and indicated that they continued to be satisfied with the portfolio management being provided to the Funds. The Trustees then discussed the Adviser’s and Trust’s compliance programs with the Trust’s chief compliance officer. A representative of the Adviser discussed the Adviser’s financial status and reviewed the Adviser’s resources in providing services to the Funds. The Trustees, including the Independent Trustees, concluded that the nature and extent of services provided by the Adviser was satisfactory, and that the overall quality of services was excellent. The Trustees also concluded that the Adviser had the appropriate level of resources to continue to provide quality advisory services to the Funds.
Next, the Trustees discussed the performance information provided by the Adviser for each of the Funds. The Trustees considered performance data showing each Fund’s performance for various periods ended March 31, 2023 and year-to-date as compared to each Fund’s benchmark index. The Board noted the Adviser’s expectations as to each Fund’s risk/return profile.
The Trustees considered and discussed the performance of the Equity Income, Opportunity, International, Fixed Income and Municipal Income Funds. The Trustees noted that the Equity Income Fund had outperformed the S&P 500 Index for the 1-year period and was generally in line with the Index for the 3 and 5-year periods. With respect to the Opportunity Fund, the Trustees noted that the Fund had outperformed the Russell 2500 Total Return Index for the 1, 3 and 5-year periods. The Trustees next reviewed the International Fund’s performance, which outperformed its benchmark, the MSCI All Country World Index, for the 1-year period, and was in line with each of the 3 and 5-year periods. Next, the Trustees reviewed the performance of the Fixed Income Fund, noting that the Fund’s return had slightly underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, for the 1, 3 and 5-year periods. The Trustees then discussed the Municipal Income Fund’s returns, noting that the Fund had underperformed the Bloomberg Municipal Bond Index for the 1-year, 3-year and 5-year periods. After discussion, the Trustees agreed that the performance of each of the retail Funds was satisfactory.
The Trustees considered the performance of each of the Institutional Funds. They noted that the Short Duration Bond Fund had generally performed in line with its benchmark, the ICE BofA U.S. Corporate & Government 1-3 Year Index, for 3 and 5-year periods and slightly lagged for the 1-year period. Next, the Trustees discussed the performance of the Intermediate Bond Fund, noting that it has slightly underperformed the Bloomberg Intermediate Government/Credit Index for the 1-year period and was generally in line
| MANAGEMENT AGREEMENT BETWEEN JOHNSON MUTUAL FUNDS AND JOHNSON INVESTMENT COUNSEL, INC. |
for the 3 and 5-year periods. With respect to the Core Bond Fund, the Board noted that the Fund had slightly underperformed the Bloomberg U.S. Aggregate Bond Index for the 1 and 3-year periods but had outperformed for the 5-year period. The Trustees next evaluated the performance for the Enhanced Return Fund. The Board reviewed its performance, noting that the Enhanced Return Fund had underperformed the S&P 500 Index for the 1, 3 and 5-year periods. Finally, the Board reviewed the performance for the Core Plus Bond Fund, noting that it slightly outperformed its benchmark, the Bloomberg U.S. Aggregate Bond index, for the 1-year period, the only period available for this Fund. After discussion, the Trustees indicated that it was their consensus all five of Institutional Funds continued to have reasonable performance given their respective investment objectives, risks and strategies.
As to the cost of the services provided and the profits realized by the Adviser from the relationship with the Funds, the Trustees reviewed the fees paid to the Adviser for the year ended December 31, 2022 by each of the Funds. As in past years, the Board and counsel discussed that the total expense ratio for each Fund (with the exception of Core Plus) was a more meaningful comparison than the actual advisory fee because the Management Agreements for the Funds have a unitary fee structure which requires the Adviser to pay substantially all of the operating expenses of each Fund and is compensated with a single fee (noting that most of the funds in the Peer Group comparisons do not share this structure). The expense ratios for Municipal Income Fund, Short Duration Bond Fund, Intermediate Bond Fund, Opportunity Fund, Core Bond Fund, Equity Income Fund, International Fund, and Enhanced Return Fund were below the mean of each Fund’s respective category, while the expense ratio for the Fixed Income Fund was slightly above the average for its category. The Trustees noted the contractual fee waivers which were in effect during the period for the Short Duration Bond Fund, the Intermediate Bond Fund and the Core Bond Fund as well as the overall fees paid to the Adviser by each Fund for the period. The Trustees also discussed the profitability of each of the Funds to the Adviser and the profitability of the Adviser with respect to the Funds in the aggregate. Representatives of the Adviser reported on the Adviser’s profitability on a fund-by-fund basis and discussed their methodologies in determining the profitability of the Adviser. The Trustees, including the Independent Trustees, concluded that the Management Fee payable by each Fund was reasonable and that the Adviser’s level of profitability from its relationship with the Funds is not excessive.
The Trustees then considered economies of scale. The Trustees noted that they concluded that the Funds’ expense ratios were not unreasonable and that there were no excessive profits being derived from any of the Funds by the Adviser as a result of its management of each of the Funds. The Board further noted that they would continue to evaluate the Funds’ expense ratios with the Adviser. The Board also noted that the Adviser had agreed to extend its contractual fee waiver with respect to the Core Bond, Short Duration and Intermediate Bond Funds for another year. The Trustees and representatives from the Adviser again agreed to discuss the possibility of fee breakpoints in the future, depending on the asset level of a Fund. After a discussion, the Trustees agreed that they would continue to evaluate the potential for establishing breakpoints with the Adviser, but that that no breakpoints are necessary at this time.
After a discussion, the Trustees concluded and agreed, including all Independent Trustees, that renewal of each Management Agreement was in the best interests of each Fund and its shareholders.
| ADDITIONAL INFORMATION | JUNE 30, 2023 (UNAUDITED) |
PROXY DISCLOSURE
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted those proxies during the most recent 12-month period ended June 30 are available without charge: (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; or (2) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
AVAILABILITY OF SCHEDULES OF PORTFOLIO INVESTMENTS:
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year at www.johnsonmutualfunds.com or on Form N-PORT. The Funds’ holdings are available, without charge, (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; (2) by visiting www.johnsonmutualfunds.com; or (3) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
CODE OF ETHICS
The Trust’s Code of Ethics is available on request without charge; please call for your copy at 513-661-3100 or 1-800-541-0170 or write us at:
Johnson Mutual Funds
3777 West Fork Road
Cincinnati OH 45247
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| Trustees and Officers |
| Ronald H. McSwain | Independent Trustee, Chairman |
| Timothy E. Johnson | Interested Trustee |
| Jonathan Adams | Independent Trustee |
| James J. Berrens | Independent Trustee |
| Dale Coates | Interested Trustee |
| John R. Green | Independent Trustee |
| Julie Murphy | Independent Trustee |
| Jeri B. Ricketts | Independent Trustee |
| Gregory Simpson | Independent Trustee |
| |
| Jason Jackman | President |
| Scott J. Bischoff | Chief Compliance Officer |
| Marc E. Figgins | Chief Financial Officer, Treasurer |
| Jennifer J. Kelhoffer | Secretary |
| |
| Transfer Agent and Fund Accountant |
| Ultimus Fund Solutions, LLC |
| 225 Pictoria Drive, Suite 450 |
| Cincinnati, Ohio 45246 |
| |
| Custodian |
| US Bank |
| 425 Walnut Street |
| Cincinnati, OH 45202 |
| |
| Independent Registered Public Accounting Firm |
| Cohen & Company, Ltd. |
| 1350 Euclid Avenue, Suite 800 |
| Cleveland, Ohio 44115 |
| |
| Legal Counsel |
| Thompson Hine LLP |
| 312 Walnut Street, 14th Floor |
| Cincinnati, Ohio 45202 |
| |
| |
| This report is authorized for distribution to prospective investors only when accompanied or preceded by the Funds’ prospectus, which illustrates each Fund’s objectives, policies, management fees, and other information that may be helpful in making an investment decision. |
| |
| |
| Investment Company Act #811-7254 |
| |
Item 2. Code of Ethics.
Not applicable to semiannual report.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual report.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual report.
Item 5. Audit Committee of Listed Companies.
Not applicable.
Item 6. Schedule of Investments.
Not applicable – schedule filed with Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds.
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Funds.
Not applicable.
Item 9. Purchases of Equity Securities by Closed End Funds and Affiliated Purchases.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant's board of trustees.”
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of June 16, 2022, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not required
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto
(1) Not applicable
(2) Change in the registrant’s independent public accountants: Attached hereto
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto
Exhibit 99.CERT Certifications required by Rule 30a-2(a) under the Act
Exhibit 99.906CERT Certifications required by Rule 30a-2(b) under the Act
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.
Johnson Mutual Funds Trust
By: /s/ Jason O. Jackman
Jason O. Jackman, President
Date September 5, 2023
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/ Jason O. Jackman
Jason O. Jackman, President
Date September 5, 2023
By /s/ Marc E. Figgins
Marc E. Figgins, Treasurer
Date September 5, 2023
* Print the name and title of each signing officer under his or her signature.
