ANNUAL REPORT
JUNE 30, 2000
[GRAPHIC OF NEW COVENANT FUNDS (TRADEMARK) LOGO OMITTED]
NEW COVENANT GROWTH FUND
NEW COVENANT INCOME FUND
NEW COVENANT BALANCED GROWTH FUND
NEW COVENANT BALANCED INCOME FUND
<PAGE>
TABLE OF CONTENTS
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SHAREHOLDER LETTER ............................................. 2
PORTFOLIO OF INVESTMENTS ....................................... 7
STATEMENTS OF ASSETS AND LIABILITIES ........................... 35
STATEMENTS OF OPERATIONS ....................................... 36
STATEMENTS OF CHANGES IN NET ASSETS ............................ 37
FINANCIAL HIGHLIGHTS ........................................... 39
NOTES TO FINANCIAL STATEMENTS .................................. 41
REPORT OF INDEPENDENT AUDITORS ................................. 50
1
<PAGE>
TO OUR SHAREHOLDERS
Dear Shareholders,
We are pleased to issue our first annual report on the New Covenant Funds for
the year ended June 30, 2000. New Covenant Funds were organized in 1999 with the
full participation of the Presbyterian Church (U.S.A.) Foundation to provide
responsible financial management of the investment and endowment assets of the
Presbyterian Church (U.S.A.) and of the charitable organizations that are part
of or associated with the Presbyterian Church (U.S.A.).
The New Covenant Growth Fund outperformed the Wilshire 5000 Stock Index, its
benchmark, during the six months ended June 30, 2000. The benchmark returned
minus 0.7% for the period, while the New Covenant Growth Fund returned minus
0.5% after expenses. These results were a direct consequence of the Fund's shift
in April to an improved core strategy for investing equity assets. Performance
for the year ended June 30, 2000 was 6.4% versus the Lipper Growth and Income
Funds average total return of 2.1%.
The improved strategy invests the core portfolio through a structured-equity
approach. The sub-adviser for this core portfolio is Wellington Management Group
in Boston. The core portfolio is balanced with funds managed by "satellite"
managers. Our objective for use of the satellites is appreciation potential plus
international diversification.
The strategy worked. The benefits from this balanced approach were evident
immediately in the three months ended June 30, 2000. While the Wilshire 5000's
total return for that quarter was negative 4.5%, the New Covenant Growth Fund's
total return was negative 2.4%. For the year ended June 30, 2000, the Wilshire
5000 Index returned 8.4% versus 6.4% for the Fund.
Volatility and sector rotation are good terms to describe both the second half
and the full year for both equity and fixed-income markets. The terms also
describe both domestic and international markets. On some days or weeks growth
stocks outperform. Then when a few earnings disappointments are announced, money
suddenly shifts, sometimes violently, from growth stocks into value stocks.
Several weeks later the situation is reversed. Speculation seems to be the order
of the day. And, over both the equity and fixed-income markets is the
uncertainty of what the Federal Reserve Board may do to interest rates, and what
such action (or inaction) may do to economic activity and corporate earnings.
The Income Fund had a return of 2.8% for the six months ended June 30. This was
below the benchmark (The Lehman Brothers Government/Corporate Bond Index) return
of 4.2%, but was positive nonetheless. Rising interest rates throughout most of
the six and twelve months ending June 30, 2000, made it very difficult for
managers to deliver either positive absolute returns or good results relative to
fixed-income benchmarks. For the year ending June 30, the Income Fund had a
positive return of 3.6% versus 4.3% for the benchmark. A small exposure to
high-yield and international bonds hurt performance during both the six and
twelve months.
The Balanced Growth Fund, a blend of approximately 60% New Covenant Growth Fund
and 40% New Covenant Income Fund, appreciated 0.7% during the six months ending
June 30, and was up 5.1% for the twelve months ending June 30, 2000. These
results were slightly ahead of the average balanced fund for the year and
slightly behind the average balanced fund for the most recent six months, as
represented by the Lipper Balanced Fund Average/Total Index. Performance for the
year ended June 30, 2000 was 5.1% for the Balanced Growth Fund versus 7.2% for
its blended index.
2
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TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
The Balanced Income Fund, a blend of approximately 35% New Covenant Growth Fund
and 65% New Covenant Income Fund, appreciated 1.5% for the six months ending
June 30, and was up 4.4% for the year. These results were the same as the
average balanced fund for the twelve months and slightly ahead of the average
balanced fund for the six months, as represented by the Lipper Balanced Fund
Average/Total Index. Performance for the year ended June 30, 2000 was 4.4% for
the Balanced Income Fund versus 6.2% for its blended index.
As the coming year progresses, we expect that the financial markets will prove
to be filled with volatility. The outsized gains of the past few years are
almost certainly behind us. The economy seems to be slowing in response to
interest rate increases. Corporate profits are moderate and earnings revisions
are trending downward. In contrast to recent years when the riskiest and highest
priced stocks posted the strongest returns, the current climate favors solid
business models and sensible valuations. We will strive to do our work well so
that our portfolios will achieve solid returns even in a slowing economy.
We would like to encourage all shareholders to visit us on the web at
www.newcovenantfunds.com to find daily net asset values and quarterly
performance reports. For your convenience, you can download an additional
prospectus directly from our site. Contact us at 800-858-6127 or 877-835-4531 if
you have any comments or questions.
/S/ SIGNATURE
Dennis J. Murphy
Executive Vice President
and Chief Investment Officer
New Covenant Trust Company, N.A.
3
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TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
JUNE 30, 2000
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
NEW COVENANT GROWTH FUND*
VS.
THE WILSHIRE 5000 INDEX+
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Growth Wilshire 5000
$10,000.0 $10,000.0
6/91 9,655.0 10,353.6
6/92 10,679.4 11,477.5
6/93 11,640.5 12,993.8
6/94 12,470.5 12,835.1
6/95 14,640.4 15,619.7
6/96 17,969.6 19,310.9
6/97 22,627.3 24,520.9
6/98 25,973.9 31,140.3
6/99 28,823.2 36,747.2
6/00 30,650.6 39,769.4
+ WILSHIRE 5000 INDEX MEASURES THE PERFORMANCE OF ALL U.S. HEADQUARTERED EQUITY
SECURITIES WITH READILY AVAILABLE PRICE DATA. OVER 7,000 CAPITALIZATION
WEIGHTED SECURITY RETURNS ARE USED TO ADJUST THE INDEX.
--------------------------------------------------------------------------------
1 YEAR 5 YEAR 10 YEAR
RETURN** RETURN** RETURN**
Growth Fund 6.38% 15.91% 11.84%
Wilshire 5000 Index 8.22% 20.53% 14.79%
--------------------------------------------------------------------------------
JUNE 30, 2000
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
NEW COVENANT INCOME FUND*
VS.
THE LEHMAN BROTHERS INTERMEDIATE GOVT/CORP BOND INDEX+
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Income Lehman
$10,000.0 $10,000.0
6/91 11,031.0 11,022.0
6/92 12,528.0 12,583.5
6/93 13,972.0 14,237.9
6/94 13,821.0 14,030.0
6/95 15,113.0 15,820.5
6/96 15,966.0 16,557.1
6/97 17,290.0 17,840.8
6/98 18,979.0 19,853.5
6/99 19,197.0 20,388.7
6/00 19,877.0 21,269.2
+ THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX IS REPRESENTATIVE OF
INTERMEDIATE AND LONG-TERM GOVERNMENT AND INVESTMENT GRADE CORPORATE DEBT
SECURITIES.
--------------------------------------------------------------------------------
1 YEAR 5 YEAR 10 YEAR
RETURN** RETURN** RETURN**
Income Fund 3.55% 5.63% 7.11%
Lehman Govt./Cr. Bd. Index 4.32% 6.09% 7.83%
--------------------------------------------------------------------------------
* THE PERFORMANCE INFORMATION FOR ALL OF THE NEW COVENANT FUNDS REFLECTS
PERFORMANCE PRIOR TO THE JULY 1, 1999 INCEPTION DATE OF THE FUNDS. IT
REPRESENTS PERFORMANCE RECORDS OF THE PRIVATE POOLS PREVIOUSLY MANAGED BY
THE PRESBYTERIAN CHURCH (U.S.A.) FOUNDATION, THE PREDECESSOR ENTITY TO
THE ADVISER. THESE PRIVATE POOLS HAD INVESTMENT OBJECTIVES AND POLICIES
IN ALL MATERIAL RESPECTS EQUIVALENT TO THOSE OF THE FUNDS. THEY WERE NOT
SUBJECT TO THE REQUIREMENTS OF THE INVESTMENT COMPANY ACT OF 1940 OR THE
INTERNAL REVENUE CODE OF 1986, WHICH MAY ADVERSELY AFFECT PERFORMANCE
RESULTS. THE PERFORMANCE HAS BEEN RESTATED TO REFLECT THE TOTAL ESTIMATED
EXPENSES OF THE FUNDS.
** RETURNS SHOWN ARE AVERAGE ANNUAL RETURNS, ASSUMING REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS.
NOTE: PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
4
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TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
JUNE 30, 2000
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
NEW COVENANT BALANCED GROWTH FUND*
VS.
THE BLENDED INDEX+
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Balanced Growth Blended Index
$10,000.0 $10,000.0
6/91 10,339.0 10,621.0
6/92 11,483.5 11,919.9
6/93 12,540.0 13,491.5
6/94 12,926.2 13,313.1
6/95 14,702.3 15,700.0
6/96 17,025.3 18,209.4
6/97 20,246.5 21,848.9
6/98 22,910.9 26,625.6
6/99 24,693.4 30,203.8
6/00 25,957.7 32,369.3
+ THE BLENDED INDEX IS A COMPOSITE INDEX COMPOSED OF 60% WILSHIRE 5000
INDEX AND 40% LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX.
--------------------------------------------------------------------------------
1 YEAR 5 YEAR 10 YEAR
RETURN** RETURN** RETURN**
Balanced Growth Fund 5.13% 12.03% 10.00%
Blended Index 7.17% 15.55% 12.45%
--------------------------------------------------------------------------------
JUNE 30, 2000
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
NEW COVENANT BALANCED INCOME FUND*
VS.
THE BLENDED INDEX+
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:
Balanced Income Blended Index
$10,000.0 $10,000.0
6/91 10,656.0 10,788.1
6/92 12,047.7 12,196.4
6/93 13,323.5 13,802.5
6/94 13,547.4 13,611.8
6/95 15,181.2 15,750.2
6/96 16,952.8 17,520.9
6/97 19,341.5 20,178.8
6/98 21,614.1 23,803.9
6/99 22,712.1 26,114.2
6/00 23,704.6 27,744.2
+ THE BLENDED INDEX IS A COMPOSITE INDEX COMPOSED OF 65% LEHMAN BROTHERS
GOVERNMENT/CORPORATE BOND INDEX AND 35% WILSHIRE 5000 INDEX.
--------------------------------------------------------------------------------
1 YEAR 5 YEAR 10 YEAR
RETURN** RETURN** RETURN**
Balanced Income Fund 4.40% 9.31% 9.01%
Blended Index 6.24% 11.98% 10.73%
--------------------------------------------------------------------------------
* THE PERFORMANCE INFORMATION FOR ALL OF THE NEW COVENANT FUNDS REFLECTS
PERFORMANCE PRIOR TO THE JULY 1, 1999 INCEPTION DATE OF THE FUNDS. IT
REPRESENTS PERFORMANCE RECORDS OF THE PRIVATE POOLS PREVIOUSLY MANAGED BY
THE PRESBYTERIAN CHURCH (U.S.A.) FOUNDATION, THE PREDECESSOR ENTITY TO
THE ADVISER. THESE PRIVATE POOLS HAD INVESTMENT OBJECTIVES AND POLICIES
IN ALL MATERIAL RESPECTS EQUIVALENT TO THOSE OF THE FUNDS. THEY WERE NOT
SUBJECT TO THE REQUIREMENTS OF THE INVESTMENT COMPANY ACT OF 1940 OR THE
INTERNAL REVENUE CODE OF 1986, WHICH MAY ADVERSELY AFFECT PERFORMANCE
RESULTS. THE PERFORMANCE HAS BEEN RESTATED TO REFLECT THE TOTAL ESTIMATED
EXPENSES OF THE FUNDS.
** RETURNS SHOWN ARE AVERAGE ANNUAL RETURNS, ASSUMING REINVESTMENT OF ALL
DIVIDENDS AND DISTRIBUTIONS.
NOTE: PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
5
<PAGE>
TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
New Covenant Growth Fund
TEN LARGEST STOCK HOLDINGS
at June 30, 2000
Security Market Value % of Portfolio Sector
-------- ------------ -------------- ------
Intel Corporation $25,482,174 2.8% Technology
Citigroup, Inc. 19,288,857 2.1% Financial Services
Merck & Company, Inc. 16,026,119 1.8% Pharmaceuticals
Cisco Systems, Inc. 15,106,264 1.7% Technology
International Business
Machines Corporation 14,785,459 1.6% Technology
Johnson & Johnson 13,453,612 1.5% Medical Products
Microsoft Corporation 12,648,000 1.4% Computer Services
and Software
Corning, Inc. 12,217,241 1.4% Diversified Operations
Morgan Stanley Dean Witter
& Company 10,019,970 1.1% Financial Services
Emerson Electric Company 9,865,275 1.1% Electronics
6
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PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- 93.3%
ADVERTISING -- 0.3%
350 PubliGroupe S.A .................................. $ 261,754
3,600 R.H. Donnelley Corporation+ ...................... 69,750
31,900 Young & Rubicam, Inc. ............................ 1,824,281
----------
2,155,785
----------
AEROSPACE -- 0.2%
2,000 AAR Corporation .................................. 24,000
57,300 Honeywell International, Inc. .................... 1,930,294
----------
1,954,294
----------
AUTOMOTIVE -- 0.9%
14,300 BorgWarner, Inc. ................................. 502,287
35,000 Cycle & Carriage Ltd. ............................ 82,281
54,469 Delphi Automotive Systems Corporation ............ 793,205
75,800 Ford Motor Company ............................... 3,259,400
10,253 General Motors Corporation ....................... 595,315
7,500 Honda Motor Company .............................. 255,172
30,322 Hyundai Motor Company Ltd.+ ...................... 194,061
2,300 Michelin (CGDE) .................................. 74,338
89,000 Mitsubishi Motors Corporation+ (L) ............... 379,973
172,000 Nissan Motor Company Ltd.+ ....................... 1,013,147
1,300 Peugeot S.A ...................................... 260,881
21,000 Suzuki Motor Corporation ......................... 270,751
1,700 Tower Automotive, Inc.+ .......................... 21,250
5,000 TRW, Inc. ........................................ 216,875
9,925 Visteon Corporation+ ............................. 120,337
----------
8,039,273
----------
BANKING -- 2.8%
36,848 ABN AMRO Holdings NV ............................. 902,688
30,000 Allied Irish Banks Plc ........................... 268,366
56,717 Australia & New Zealand Banking Group Ltd. ....... 434,510
26,000 Banco Exterior de Espana ......................... 388,468
1,796 Bank Handlowy W. Warszawie ....................... 27,569
50,908 Bank of America Corporation ...................... 2,189,044
16,000 Bank of Nova Scotia .............................. 392,432
5,200 Bank of Scotland ................................. 49,451
45,400 Bank One Corporation ............................. 1,205,937
15,000 Bayerische HypoVereinsbank ....................... 453,244
67,650 Chase Manhattan Corporation ...................... 3,116,128
9,000 Comerica, Inc. ................................... 403,875
550 Credit Suisse Group (L) .......................... 109,407
33,300 Cullen/Frost Bankers, Inc. ....................... 876,206
2,500 Deutsche Bank A.G ................................ 205,738
5,200 First Citizens BancShares, Inc. .................. 309,400
23,800 First Union Corporation .......................... 590,537
27,000 ForeningsSparbanken AB ........................... 394,898
29,000 Fuji Bank Ltd. (L) ............................... 220,291
7,900 Hudson United Bancorp ............................ 177,256
2,800 Independence Community Bank Corporation .......... 37,100
217,000 Keppel TatLee Bank Ltd. .......................... 369,415
136,240 Lloyds TSB Group Plc ............................. 1,286,343
115,600 MBNA Corporation ................................. 3,135,650
See accompanying notes to financial statements.
7
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PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
BANKING -- (CONTINUED)
900 M&T Bank Corporation ............................. $ 405,000
29,200 National Bank of Canada .......................... 436,027
21,300 National City Corporation ........................ 363,431
23,400 Pacific Century Financial Corporation ............ 342,225
26,900 Royal Bank of Scotland Group Plc ................. 450,168
78,300 San Paolo IMI S.p.A .............................. 1,389,659
3,000 Southwest Bancorporation of Texas, Inc.+ ......... 62,250
3,400 Staten Island Bancorp, Inc. ...................... 59,925
6,700 State Street Corporation ......................... 710,619
36,000 Summit Bancorp ................................... 886,500
35,000 Svenska Handelsbanken, Series A .................. 507,937
8,500 Toronto-Dominion Bank ............................ 206,757
21,000 UnionBanCal Corporation .......................... 389,812
21,100 Wachovia Corporation ............................. 1,144,675
73,204 Westpac Banking Corporation Ltd. (L) ............. 527,545
----------
25,426,483
----------
BROADCASTING AND MEDIA -- 3.1%
6,300 Ackerley Group, Inc. ............................. 74,025
111,450 AMFM, Inc.+ ...................................... 7,690,050
124,400 Cable & Wireless HKT Ltd. ........................ 359,882
18,400 Cablevision Systems Corporation+ ................. 1,248,900
8,600 Clear Channel Communications, Inc.+ .............. 645,000
81,900 Cinar Corporation+ ............................... 409,500
9,100 Comcast Corporation, Special Class A+ ............ 368,550
7,600 E.W. Scripps Company (The), Class A .............. 374,300
29,100 Gannett Company, Inc. ............................ 1,740,544
48,400 Infinity Broadcasting Corporation, Class A+ ...... 1,763,575
8,355 News Corporation (The) Ord ....................... 245,062
48,900 Reuters Group Plc ................................ 833,874
259 Reuters Group Plc, Sponsored ADR (L) ............. 25,884
83,200 Time Warner, Inc. ................................ 6,323,200
74,400 Viacom, Inc.+ .................................... 5,073,150
14,300 Wink Communications, Inc.+ (L) ................... 436,150
4,500 Yahoo! Inc.+ ..................................... 557,437
14,063,834 Yapi ve Kredi Bankasi A.S.+ ...................... 156,412
----------
28,325,495
----------
CHEMICALS -- 1.2%
10,600 BOC Group Plc .................................... 152,369
7,400 Cambrex Corporation .............................. 333,000
5,500 Degussa AG ....................................... 156,475
46,500 Dow Chemical Company ............................. 1,403,719
14,184 DSM NV ........................................... 454,993
55,217 du Pont (E.I.) de Nemours & Company .............. 2,415,744
31,400 Engelhard Corporation ............................ 535,762
20,200 Laporte Plc ...................................... 146,710
323,200 Laporte Plc, Class B ............................. 4,890
40,300 MacDermid, Inc. (L) .............................. 947,050
1,600 Minerals Technologies, Inc. ...................... 73,600
11,900 Norsk Hydro ASA (L) .............................. 499,272
101,740 Praxair, Inc. .................................... 3,808,891
----------
10,932,475
----------
See accompanying notes to financial statements.
8
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
COMMERCIAL SERVICES -- 0.3%
2,800 ACNielsen Corporation+ ........................... $ 61,600
1,700 Acxiom Corporation+ .............................. 46,325
345 Adecco S.A., Sponsored ADR ....................... 293,122
2,100 American Management Systems, Inc.+ ............... 68,939
3,200 CDI Corporation+ ................................. 65,200
35,200 Concord EFS, Inc.+ ............................... 915,200
28,000 Manpower, Inc. ................................... 896,000
2,800 Maximus, Inc.+ ................................... 61,950
3,100 Spherion Corporation+ ............................ 55,025
2,500 The Profit Recovery Group International, Inc.+ ... 41,563
-----------
2,504,924
-----------
COMPUTER SERVICES AND SOFTWARE -- 7.7%
8,300 Adaptec, Inc.+ ................................... 188,825
800 Affiliated Computer Services+ .................... 26,450
62,300 America Online, Inc.+ ............................ 3,286,325
8,050 Apple Computer, Inc.+ ............................ 421,619
52,200 ASM Lithography Holding N.V.+ (L) ................ 2,260,754
12,500 BEA Systems, Inc.+ ............................... 617,969
2,400 Bell & Howell Company+ ........................... 58,200
15,000 BMC Software, Inc.+ .............................. 547,266
11,700 BroadVision, Inc.+ ............................... 594,506
25,800 Computer Associates International, Inc. .......... 1,320,637
11,000 Creative Technology Ltd. (L) ..................... 263,709
90,100 Dell Computer Corporation+ ....................... 4,443,056
750 Dycom Industries, Inc.+ .......................... 34,500
3,700 eBay, Inc.+ ...................................... 200,956
56,700 Electronic Data Systems Corporation .............. 2,338,875
109,900 EMC Corporation+ ................................. 8,455,431
13,900 Exodus Communications, Inc.+ ..................... 640,269
7,900 Handspring, Inc.+ ................................ 213,300
78,100 Hewlett-Packard Company .......................... 9,752,737
31,300 Informix Corporation+ ............................ 232,794
600 Intershop Communications AG+ ..................... 270,944
900 ITT Educational Services+ ........................ 15,806
158,100 Microsoft Corporation+ ........................... 12,648,000
2,000 National Data Corporation ........................ 46,000
3,600 Nidec Corporation (L) ............................ 312,144
75,200 Oracle Corporation+ .............................. 6,321,500
2,200 Phone.com, Inc.+ ................................. 143,275
1,400 RadiSys Corporation+ ............................. 79,450
13,600 Rational Software Corporation+ ................... 1,263,950
1,600 Satyam Computer Services Ltd. .................... 106,869
3,100 Siebel Systems, Inc.+ ............................ 507,044
1,500 Storage Technology Corporation+ .................. 16,406
84,140 Sun Microsystems, Inc.+ .......................... 7,651,481
3,100 Transaction Systems Architects, Inc.+ ............ 53,087
76,400 Unisys Corporation+ .............................. 1,112,575
7,901 VeriSign, Inc.+ .................................. 1,394,438
7,700 Veritas Software Corporation+ .................... 870,220
9,200 Vignette Corporation+ ............................ 478,544
-----------
69,189,911
-----------
See accompanying notes to financial statements.
9
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
CONSTRUCTION AND BUILDING MATERIALS -- 0.6%
1,600 Bouygues S.A.+ (L) ............................. $ 1,069,264
258 Cemex, S.A.+ (L) ............................... 6,031
20,281 CRH Plc ........................................ 365,947
39,400 Gartner Group, Inc., Class A ................... 472,800
315 Holderbank Financiere Glarus AG, Class B ....... 386,195
7,400 Martin Marietta Materials, Inc. ................ 299,238
99,600 Masco Corporation .............................. 1,799,025
50,000 Sekisui House Ltd. ............................. 462,278
-----------
4,860,778
-----------
CONSUMER PRODUCTS -- 2.1%
60,600 Black & Decker Corporation ..................... 2,382,337
55,500 Cintas Corporation (L) ......................... 2,036,156
79,840 Clorox Company ................................. 3,577,830
18,700 Colgate-Palmolive Company ...................... 1,119,662
3,000 Ethan Allen Interiors, Inc. .................... 72,000
12,700 Furniture Brands International, Inc.+ .......... 192,088
107,300 Gillette Company ............................... 3,748,794
57,400 Legget & Platt, Inc. ........................... 947,100
15,700 Liz Claiborne, Inc. ............................ 553,425
24,700 Pall Corporation ............................... 456,950
7,400 Pennzoil-Quaker State Company .................. 89,263
57,300 Procter & Gamble Company ....................... 3,280,425
12,300 Rayovac Corporation+ ........................... 275,213
326 Reckitt & Coleman Ltd. ......................... 3,650
35,000 Unilever N.V ................................... 211,834
-----------
18,946,727
-----------
CONTAINERS -- 0.3%
4,100 Packaging Corp of America+ ..................... 41,512
28,200 Sealed Air Corporation+ (L) .................... 1,476,975
34,700 Sonoco Products Company ........................ 713,519
-----------
2,232,006
-----------
COSMETICS -- 0.4%
77,800 Avon Products, Inc. ............................ 3,462,100
123 Givaudan+ ...................................... 37,436
-----------
3,499,536
-----------
DIVERSIFIED OPERATIONS -- 3.2%
45,270 Corning, Inc. .................................. 12,217,241
12,300 Eaton Corporation .............................. 824,100
72,400 First Data Corporation ......................... 3,592,850
28,200 Fluor Corporation .............................. 891,825
49,500 Hutchison Whampoa Ltd .......................... 622,282
249,900 Invensys Plc ................................... 937,747
38,700 Minnesota Mining and Manufacturing Company ..... 3,192,750
40,900 PPG Industries, Inc. ........................... 1,812,381
48,500 Swire Pacific Ltd. ............................. 284,324
13,400 Textron, Inc. .................................. 727,787
73,800 Tyco International Ltd. ........................ 3,496,275
8,800 Vivendi ........................................ 776,706
-----------
29,376,268
-----------
See accompanying notes to financial statements.
10
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PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
ELECTRONICS -- 7.5%
40 Advanced Micro Devices, Inc.+ (L) .............. $ 3,090
5,700 Advantest Corporation .......................... 1,270,487
2,500 Aixtron AG+ .................................... 343,692
9,100 Amkor Technology+ .............................. 321,344
16,600 Analog Devices, Inc.+ .......................... 1,261,600
1,000 Anixter International, Inc.+ ................... 26,500
78,800 Applied Materials, Inc.+ ....................... 7,141,250
140,083 Asustek Computer, Inc. ......................... 1,274,756
19,400 Atmel Corporation+ ............................. 715,375
2,000 Broadcom Corporation+ .......................... 437,875
16,000 Chartered Semiconductor Manufacturing Ltd.+ (L) 139,896
13,845 Compal Electronics, Inc. ....................... 166,140
5,700 Credence Systems Corporation+ .................. 314,569
19,200 Cypress Semiconductor Corporation+ ............. 811,200
2,500 Electronics for Imaging, Inc.+ ................. 63,281
163,400 Emerson Electric Company ....................... 9,865,275
3,200 Epcos AG+ ...................................... 319,221
57,480 General Motors Corporation, Class H+ ........... 5,043,870
3,500 General Semiconductor, Inc.+ ................... 51,625
5,100 Hirose Electric Company Ltd. (L) ............... 793,563
43,000 Johnson Electric Holdings, Ltd.+ ............... 408,184
28,100 Infineon Technologies AG+ (L) .................. 2,218,795
9,600 Integrated Device Technology, Inc.+ ............ 574,800
10,100 Jabil Circuit, Inc.+ ........................... 501,213
19,400 JDS Uniphase Corporation+ ...................... 2,325,575
7,300 KLA-Tencor Corporation+ ........................ 427,506
10,700 LSI Logic Corporation+ ......................... 579,137
4,400 Mentor Graphics Corporation+ ................... 87,450
2,500 Micron Electronics, Inc.+ ...................... 31,250
20,800 Micron Technology, Inc. ........................ 1,831,700
48,625 Molex, Inc., Class A ........................... 1,701,875
7,000 Murata Manufacturing Company Ltd. .............. 1,004,100
6,000 Nichicon Corporation ........................... 147,024
6,600 Nintendo Company Ltd. .......................... 1,151,991
15,500 Novellus Systems, Inc.+ ........................ 876,719
3,300 PMC-Sierra, Inc.+ .............................. 586,369
6,200 Quantum Corporation-Hard Disk Drive+ ........... 68,588
3,300 Rohm Company Ltd. .............................. 964,139
10,306 Samsung Electronics ............................ 2,014,823
12,000 Sanmina Corporation+ ........................... 1,026,000
17,100 SCI Systems, Inc.+ ............................. 670,106
4,000 Sensormatic Electronics Corporation+ ........... 63,250
27,900 Solectron Corporation+ ......................... 1,168,313
36,000 Sony Corporation (L) ........................... 3,358,937
1,400 Sony Corporation, Sponsored ADR ................ 132,038
92,170 STMicroelectronics N.V. (L) .................... 5,916,162
15,600 STMicroelectronics ............................. 982,960
52,997 Taiwan Semiconductor Manufacturing Company Ltd.,
Sponsored ADR+ (L) ........................... 2,053,634
7,000 Taiyo Yuden Company, Ltd. ...................... 438,057
3,000 TDK Corporation ................................ 430,894
10,000 Teradyne, Inc.+ ................................ 735,000
17,700 Tokyo Electron Ltd. ............................ 2,422,167
See accompanying notes to financial statements.
11
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--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
----------------------------------------------------------------
Value
Shares (Note 2)
----------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
ELECTRONICS -- (CONTINUED)
700 Tokyo Seimitsu Company Ltd. ........ $ 93,681
6,500 Xilinx, Inc.+ ...................... 536,656
-----------
67,893,702
-----------
ENERGY -- 2.6%
31,500 Calpine Corporation+ ............... 2,071,125
69,864 Conoco, Inc. ....................... 1,716,034
35,000 Constellation Energy Group ......... 1,139,687
600 Devon Energy Corporation ........... 33,713
6,300 Duke Energy Corporation ............ 355,162
4,600 Dynegy, Inc. ....................... 314,237
117,550 El Paso Energy Corporation ......... 5,987,703
19,400 Enron Corporation .................. 1,251,300
361,900 Ente Nazionale Idrocarburi (L) ..... 2,090,312
34,100 Entergy Corporation ................ 927,094
116,900 Halliburton Company ................ 5,516,219
19,900 PECO Energy ........................ 802,219
20,000 Suncor Energy, Inc. ................ 462,162
10,000 Talisman Energy+ ................... 331,250
1,400 Total Fina 'B' Bearer Shares ....... 214,655
-----------
23,212,872
-----------
ENTERTAINMENT AND LEISURE -- 0.9%
61,500 Carnival Corporation ............... 1,199,250
160,770 Disney (Walt) Company .............. 6,239,886
1,100 Felcor Lodging Trust, Inc. ......... 20,350
2,700 Prime Hospitality Corporation+ ..... 25,481
90,000 Rank Group Plc ..................... 208,354
-----------
7,693,321
-----------
FINANCIAL SERVICES -- 7.5%
9,300 A.G. Edwards, Inc. ................. 362,700
3,350 AIFUL Corporation+ ................. 308,779
111,780 American Express Company ........... 5,826,532
13,600 American General Corporation ....... 829,600
32,200 Associates First Capital Corporation 718,462
23,600 Bear Stearns Companies, Inc. ....... 982,350
320,147 Citigroup, Inc. .................... 19,288,857
121,600 Fannie Mae ......................... 6,346,000
85,200 Fleet Boston Corporation ........... 2,896,800
50,900 Franklin Resources, Inc. ........... 1,546,088
14,900 Goldman Sachs Group, Inc. .......... 1,413,637
23,000 Halifax Group Plc .................. 220,640
2,700 Heller Financial, Inc. ............. 55,350
62,900 KeyCorp ............................ 1,108,612
10,900 ING Groep NV, CVA Shares ........... 736,761
169,410 Mellon Financial Corporation ....... 6,172,877
27,000 Merrill Lynch & Company, Inc. ...... 3,105,000
120,360 Morgan Stanley Dean Witter & Company 10,019,970
2,400 Orix Corporation ................... 353,989
19,800 PNC Financial Services Group ....... 928,125
24,000,000 Sanwa International Finance Ltd. ... 228,340
490 Shohkoh Fund & Company ............. 110,372
9,000 Unibanco-Sponsored GDR (L) ......... 258,750
52,000 UniCredito Italiano SpA (L) ........ 248,719
See accompanying notes to financial statements.
12
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--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
FINANCIAL SERVICES -- (CONTINUED)
33,200 Washington Mutual, Inc. .......... $ 958,650
77,200 Wells Fargo Company .............. 2,991,500
----------
68,017,460
----------
FOOD AND BEVERAGES -- 3.8%
7,300 Bestfoods ........................ 505,525
135,000 Cadbury Schweppes Plc ............ 886,525
107,701 Coca-Cola Amatil ................. 190,248
31,300 Coca-Cola Enterprises, Inc. ...... 510,581
4,600 Danone ........................... 610,435
108,400 Flowers Industries, Inc. (L) ..... 2,161,225
20,800 Heinz (H.J.) Company ............. 910,000
44,100 Hershey Foods Corporation ........ 2,138,850
62,400 Kroger Company+ .................. 1,376,700
68,800 McCormick & Company, Inc. ........ 2,236,000
29,300 Nabisco Group Holdings Corporation 759,969
234 Nestle S.A., Registered Shares ... 468,344
27,300 Pepsi Bottling Group, Inc. ....... 796,819
167,500 PepsiCo, Inc. .................... 7,443,281
2,900 Ralcorp Holdings, Inc.+ .......... 35,525
22,100 Sara Lee Corporation ............. 426,806
97,800 SYSCO Corporation ................ 4,119,825
34,000 Tate & Lyle Plc .................. 169,770
151,153 Tesco Plc ........................ 469,998
145,660 The Coca-Cola Company ............ 8,366,346
6,500 Whitman Corporation .............. 80,438
----------
34,663,210
----------
FORESTRY AND PAPER PRODUCTS -- 0.8%
4,400 Bowater, Inc. .................... 194,150
47,600 International Paper Company ...... 1,419,075
59,600 Kimberly-Clark Corporation ....... 3,419,550
27,000 Sumitomo Forestry ................ 181,433
14,900 Temple-Inland, Inc. .............. 625,800
30,900 UPM-Kymmene Oyj (L) .............. 767,006
16,200 Weyerhaeuser Company ............. 696,600
----------
7,303,614
----------
HEALTH SERVICES -- 1.8%
2,500 AmeriSource Health Corporation+ .. 77,500
13,200 Amgen, Inc.+ ..................... 927,300
2,000 Apria Healthcare Group, Inc.+ .... 24,500
23,400 Cardinal Health, Inc. ............ 1,731,600
120,970 HCA-The Healthcare Corporation ... 3,674,464
32,000 IMS Health, Inc. ................. 576,000
9,000 Kao Corporation .................. 274,822
1,200 MedQuist, Inc.+ .................. 40,800
465 Novartis AG, Registered Shares ... 736,566
14,000 Sankyo Company Ltd. .............. 316,008
30,400 Tenet Healthcare Corporation+ .... 820,800
73,900 UnitedHealth Group, Inc. ......... 6,336,925
10,600 Wellpoint Health Networks, Inc.+ . 767,837
----------
16,305,122
----------
See accompanying notes to financial statements.
13
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PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
INSURANCE -- 2.9%
33,600 Aegon N.V .................................... $ 1,195,545
9,800 Aetna, Inc. .................................. 629,038
1,200 Allianz AG ................................... 431,105
27,200 Allstate Corporation ......................... 605,200
75,531 American International Group, Inc. ........... 8,874,893
8,200 Assicurazioni Generali S.p.A. (L) ............ 281,045
19,100 Cigna Corporation ............................ 1,785,850
16,000 Clarica Life Insurance Company ............... 327,568
2,700 Everest Reinsurance Holdings, Inc. ........... 88,763
1,700 Gallagher (Arthur J.) & Company .............. 71,400
35,900 Hartford Financial Services Group, Inc. ...... 2,008,156
10,400 Jefferson-Pilot Corporation .................. 586,950
30,029 Lend Lease Corporation Ord ................... 382,667
37,700 Lincoln National Corporation ................. 1,361,913
5,800 Manulife Financial Corporation (L) ........... 70,541
20,400 Marsh & McLennan Companies, Inc. ............. 2,130,525
45,000 Mitsui Marine and Fire Insurance Company, Ltd. 216,295
14,500 Progressive Corporation (L) .................. 1,073,000
900 Radian Group, Inc. ........................... 46,575
15,700 Reinsurance Group of America, Inc. ........... 472,963
1,600 RenaissanceRe Holdings Ltd. .................. 69,700
54,891 Royal & Sun Alliance Insurance Group Plc ..... 356,308
181 Swiss Re (L) ................................. 368,924
132,900 UnumProvident Corporation .................... 2,666,306
----------
26,101,230
----------
MACHINERY AND EQUIPMENT -- 1.5%
21,100 American Power Conversion Corporation+ ....... 861,144
11,200 Caterpillar, Inc. ............................ 379,400
17,800 Deere & Company .............................. 658,600
97,900 Dover Corporation ............................ 3,971,069
7,000 Fanuc Ltd. ................................... 711,842
74,600 Grainger (W.W.), Inc. ........................ 2,298,612
1,000 Harman International Industries, Inc. ........ 61,000
22,600 Illinois Tool Works, Inc. .................... 1,288,200
30,300 Ingersoll-Rand Company ....................... 1,219,575
17,500 Parker-Hannifin Corporation .................. 599,375
10,500 Power-One, Inc.+ ............................. 1,196,344
1,500 Regal-Beloit Corporation ..................... 24,094
2,300 Snap-On, Inc. ................................ 61,238
5,000 Ushio, Inc. .................................. 137,600
----------
13,468,093
----------
MANUFACTURING -- 0.6%
42,000 Nikon Corporation ............................ 1,555,629
19,000 Nippon Sheet Glass Company, Ltd. (L) ......... 263,946
10,000 Pechiney International ....................... 417,204
5,100 Saint Gobain Shares+ ......................... 689,446
16,300 Siemens AG NPV Registered Shares ............. 2,458,735
51,000 Toray Industries, Inc. ....................... 206,682
----------
5,591,642
----------
See accompanying notes to financial statements.
14
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
MEDICAL PRODUCTS -- 3.2%
10,900 Bausch & Lomb, Inc. ............................... $ 843,387
19,900 Baxter International, Inc. ........................ 1,399,219
137,800 Becton, Dickinson and Company ..................... 3,953,137
9,700 Biomet, Inc. ...................................... 372,844
146,600 Boston Scientific Corporation+ .................... 3,216,037
900 Dendrite International, Inc.+ ..................... 29,981
2,500 Dentsply International, Inc. ...................... 77,031
17,900 Genzyme Corporation+ .............................. 1,063,931
4,400 Human Genome Sciences, Inc.+ ...................... 586,850
3,300 Invacare Corporation .............................. 86,625
132,060 Johnson & Johnson ................................. 13,453,612
33,800 Medtronic, Inc. ................................... 1,683,662
33,200 Precision Castparts Corporation ................... 1,502,300
15,000 Sanofi-Synthelabo S.A ............................. 714,593
8,500 Steris Corporation+ ............................... 75,438
900 Varian Medical Systems, Inc.+ ..................... 35,213
-----------
29,093,860
-----------
METALS AND MINING -- 0.9%
191,360 Alcoa, Inc. ....................................... 5,549,440
118,200 Broken Hill Proprietary Company Ltd. .............. 1,396,118
20,000 Broken Hill Proprietary Company Ltd., Sponsored ADR 475,000
12,700 China Steel Corporation, GDR+ ..................... 168,910
12,000 Inco Ltd.+ ........................................ 184,500
33,600 Steel Dynamics, Inc.+ ............................. 304,500
9,000 Stillwater Mining Company+ ........................ 250,875
-----------
8,329,343
-----------
MISCELLANEOUS -- NON CATEGORIZED -- 0.1%
122,000 Legend Holdings ................................... 118,158
112 SGS Holdings ...................................... 193,612
4,000 Shin Etsuchem Company ............................. 202,818
4,500 UTD Pan Europe+ ................................... 117,672
-----------
632,260
-----------
OIL -- 3.0%
19,200 Amerada Hess Corporation .......................... 1,185,600
31,100 Baker Hughes, Inc. ................................ 995,200
800 Barrett Resources Corporation+ .................... 24,350
46,300 Chevron Corporation ............................... 3,926,819
13,900 Coastal Corporation ............................... 846,162
88,970 Diamond Offshore Drilling, Inc. (L) ............... 3,125,071
34,500 Enterprise Oil Plc ................................ 287,633
114,337 Exxon Mobil Corporation ........................... 8,975,454
12,100 Helmerich & Payne, Inc. ........................... 452,238
9,500 Kerr-McGee Corporation ............................ 559,906
43,800 Schlumberger Ltd. ................................. 3,268,575
56,700 Texaco, Inc. ...................................... 3,019,275
12,030 Tosco Corporation ................................. 340,599
18,700 Union Pacific Resources Group, Inc. ............... 411,400
-----------
27,418,282
-----------
OFFICE AUTOMATION & EQUIPMENT -- 0.1%
3,100 Standard Register Company ......................... 44,175
26,500 Xerox Corporation ................................. 549,875
-----------
594,050
-----------
See accompanying notes to financial statements.
15
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
PHARMACEUTICALS -- 6.6%
86,800 Abbott Laboratories ................... $ 3,868,025
98,200 American Home Products Corporation .... 5,769,250
75,550 AstraZeneca Group Plc ................. 3,519,645
71,300 Bristol-Myers Squibb Company .......... 4,153,225
12,000 Chugai Pharmaceutical Company, Ltd. (L) 226,757
27,300 Eli Lilly and Company ................. 2,726,587
800 Enzon, Inc.+ .......................... 34,000
11,600 Forest Laboratories, Inc.+ ............ 1,171,600
19,200 Immunex Corporation+ .................. 949,200
209,150 Merck & Company, Inc. ................. 16,026,119
5,200 Millennium Pharmaceuticals, Inc.+ ..... 581,750
205,215 Pfizer, Inc. .......................... 9,850,320
92,135 Pharmacia Corporation ................. 4,762,228
72 Roche Holdings AG ..................... 700,889
43,500 Schering-Plough Corporation ........... 2,196,750
17,000 Shionogi & Company Ltd. ............... 322,841
45,400 Teva Pharmaceutical Industries, Inc. .. 2,516,862
-----------
59,376,048
-----------
PHOTO EQUIPMENT AND SUPPLIES -- 0.2%
22,000 Eastman Kodak Company ................. 1,309,000
3,400 Polaroid Corporation .................. 61,413
-----------
1,370,413
-----------
PRINTING AND PUBLISHING -- 0.4%
3,600 Banta Corporation ..................... 68,175
1,800 Houghton Mifflin Company .............. 84,038
19,500 Knight-Ridder, Inc. ................... 1,037,156
22,900 New York Times Company ................ 904,550
29,968 Singapore Press Holdings Ltd. ......... 468,521
38,500 Thomson Corporation ................... 1,317,584
2,300 Valassis Communications, Inc.+ ........ 87,688
-----------
3,967,712
-----------
REAL ESTATE -- 0.3%
24,000 Cheung Kong Holdings Ltd. ............. 263,998
51,100 Equity Office Properties Trust ........ 1,408,444
20,600 Equity Residential Properties Trust ... 947,600
40,000 Mitsui Fudosan Company Ltd. ........... 433,533
-----------
3,053,575
-----------
RESTAURANTS -- 0.4%
123,200 McDonald's Corporation ................ 4,057,900
-----------
RETAIL -- 4.3%
85,100 AutoZone, Inc.+ ....................... 1,872,200
14,300 Bed Bath & Beyond, Inc.+ .............. 518,375
10,900 Best Buy Company, Inc.+ ............... 689,425
4,400 Borders Group, Inc.+ .................. 68,475
9,000 Brinker International, Inc.+ .......... 263,250
23,037 Coles Myer Ltd. ....................... 88,367
61,900 CVS Corporation ....................... 2,476,000
142,157 Dollar General Corporation ............ 2,772,061
9,100 Dollar Tree Stores, Inc.+ ............. 360,019
27,200 Family Dollar Stores, Inc. ............ 532,100
See accompanying notes to financial statements.
16
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
RETAIL -- (CONTINUED)
27,900 Federated Department Stores, Inc.+ ............. $ 941,625
26,800 The Gap, Inc. .................................. 837,500
80,650 Home Depot, Inc. ............................... 4,027,459
10,800 Intimate Brands, Inc. .......................... 213,300
19,000 Jusco Company Ltd. ............................. 359,927
10,100 Kohl's Corporation+ ............................ 561,813
127,590 Lowe's Companies, Inc. ......................... 5,239,164
29,300 May Department Stores Company .................. 703,200
186,100 Office Depot, Inc.+ ............................ 1,163,125
16,600 Pacific Sunwear of California, Inc.+ ........... 311,250
5,800 Pier 1 Imports, Inc. ........................... 56,550
8,400 RadioShack Corporation ......................... 397,950
22,900 Safeway, Inc.+ ................................. 1,033,363
41,600 Staples, Inc.+ ................................. 639,600
51,300 Target Corporation ............................. 2,975,400
23,200 TJX Companies, Inc. ............................ 435,000
2,400 United Stationers, Inc.+ ....................... 77,700
165,840 Wal-Mart Stores, Inc. .......................... 9,556,530
1,800 Whole Foods Market, Inc.+ ...................... 74,363
-----------
39,245,091
-----------
TECHNOLOGY -- 8.1%
68,200 3Com Corporation+ .............................. 3,930,025
13,700 Automatic Data Processing, Inc. ................ 733,806
300 Black Box Corporation+ ......................... 23,752
237,660 Cisco Systems, Inc.+ ........................... 15,106,264
55,700 Compaq Computer Corporation .................... 1,423,831
190,610 Intel Corporation .............................. 25,482,174
134,950 International Business Machines Corporation .... 14,785,459
4,800 Network Appliance, Inc.+ ....................... 386,400
5,100 Seagate Technology, Inc.+ ...................... 280,500
97,600 Texas Instruments, Inc. ........................ 6,703,900
80,800 United Technologies Corporation ................ 4,757,100
-----------
73,613,211
-----------
TELECOMMUNICATIONS -- 10.7%
65,000 Alcatel ........................................ 4,263,215
2,300 Allen Telecom, Inc.+ ........................... 40,681
11,600 Alltel Corporation ............................. 718,475
13,100 Andrew Corporation+ ............................ 439,669
900 Antec Corporation+ ............................. 37,406
211,200 AT & T Corporation ............................. 5,267,688
123,250 AT & T Corporation+ ............................ 3,897,781
39,600 BellSouth Corporation .......................... 1,687,950
5,100 Brightpoint, Inc.+ ............................. 44,147
10,900 Broadwing, Inc. ................................ 282,719
1,400 Ciena Corporation+ ............................. 233,363
24,300 Comverse Technology, Inc.+ ..................... 2,259,900
33 DDI Corporation ................................ 317,233
9,800 Deutsche Telekom AG ............................ 559,493
10,000 Digital Microwave Corporation+ ................. 381,250
10,200 EchoStar Communications Corporation, Class A+ .. 337,716
1,200 Ericsson (LM) Telefonaktiebolaget, Sponsored ADR 24,000
42,000 Ericsson (LM) Telefonaktiebolaget .............. 830,952
See accompanying notes to financial statements.
17
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
TELECOMMUNICATIONS -- (CONTINUED)
18,400 Global Crossing Ltd.+ .................. $ 484,150
36,600 GTE Corporation ........................ 2,278,350
200 Korea Telecom Corporation, Sponsored ADR 9,675
143,600 Lucent Technologies, Inc. .............. 8,508,300
126,600 Motorola, Inc. ......................... 3,679,312
85,480 Nextel Communications, Inc.+ ........... 5,230,307
59 Nippon Telegraph & Telephone Corporation 784,035
63,690 Nokia Oyj, Sponsored ADR ............... 3,180,519
49,300 Nokia Oyj .............................. 2,515,717
81,680 Nortel Networks Corporation ............ 5,574,660
108 NTT Mobile Communications Network, Inc. 2,921,257
50,000 Portugal Telecom S.A ................... 561,364
16,600 Qualcomm, Inc.+ ........................ 996,000
159,328 SBC Communications, Inc. ............... 6,890,936
48,750 Scientific-Atlanta, Inc. ............... 3,631,875
24,600 Sprint Corporation ..................... 1,254,600
35,200 Sprint Corporation (PCS Group)+ ........ 2,094,400
2,477 Swisscom AG ............................ 857,908
40,000 Telecel-Comunicacoes Pessoais S.A ...... 607,189
97,100 Telecom Italia S.p.A ................... 644,275
15,000 Telecom Italia S.p.A ................... 206,215
15,900 Telecom Italia S.p.A ................... 79,997
9,500 Telefonica de Argentina, S.A ........... 301,625
90,925 Telefonica C.A.+ (L) ................... 1,953,138
1,000 Telefonica S.A.+ (L) ................... 64,063
25,000 Telefonos de Mexico, S.A. (L) .......... 1,428,125
20,000 Television Franchaise 1 ................ 1,393,863
20,500 U.S. West, Inc. ........................ 1,757,875
78,300 Verizon Communications ................. 3,978,619
1,089,562 Vodafone AirTouch Plc .................. 4,401,804
10,300 VoiceStream Wireless Corporation+ ...... 1,197,858
132,700 WorldCom, Inc.+ ........................ 6,087,612
----------
97,179,261
----------
TRANSPORTATION -- 0.8%
22,900 AMR Corporation+ ....................... 605,419
69,333 BG Group Plc ........................... 447,956
48,000 British Airways ........................ 275,989
59,200 Burlington Northern Santa Fe Corporation 1,357,900
2,400 CNF Transportation, Inc. ............... 54,600
21,300 Delta Air Lines, Inc. .................. 1,076,981
38,200 FedEx Corporation+ ..................... 1,451,600
3,000 Fuji Warehouse and Transportation ...... 177,843
47,900 Mesa Air Group, Inc.+ .................. 264,947
55,000 Shell Transport & Trading Company ...... 458,961
9,600 SkyWest, Inc. .......................... 355,800
21,600 USFreightways Corporation .............. 530,550
8,100 United Parcel Service, Inc., Class B ... 477,900
----------
7,536,446
----------
UTILITIES -- 1.0%
99,896 AES Corporation+ ....................... 4,557,755
24,900 FPL Group, Inc. ........................ 1,232,550
10,200 Pinnacle West Capital Corporation ...... 345,525
See accompanying notes to financial statements.
18
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
COMMON STOCK -- (CONTINUED)
UTILITIES -- (CONTINUED)
24,700 Public Service Enterprise Group, Inc. $ 855,238
48,400 Unicom Corporation ................... 1,872,475
3,200 VEBA AG .............................. 154,280
------------
9,017,823
------------
WASTE MANAGEMENT -- 0.2%
108,000 Waste Management, Inc. ............... 2,052,000
------------
Total Common Stock
(Cost $743,716,930) ............... 844,231,496
------------
Principal
Amount*
---------
CORPORATE FIXED INCOME SECURITIES -- 0.0%#
FINANCIAL SERVICES -- 0.0%#
35,000,000 TTB Finance Cayman Ltd.
0.750% due 09/29/2049 ............. 301,824
------------
Total Corporate Fixed Income Securities
(Cost $341,358) ................... 301,824
------------
U.S. TREASURY OBLIGATIONS -- 0.9%
U.S. TREASURY BILLS -- 0.9%
500,000 5.740% due 08/17/2000 (L) ............ 496,413
7,500,000 5.760-5.815% due 09/14/2000 (L) ...... 7,412,121
500,000 5.990% due 11/09/2000 ................ 489,465
------------
8,397,999
------------
Total U.S. Treasury Obligations
(Cost $8,393,089) ................. 8,397,999
------------
REPURCHASE AGREEMENT -- 5.5% (Cost $49,657,000)
49,657,000 Agreement with State Street Bank, 6.400% to be repurchased at
$49,683,484 on 07/03/2000, collateralized by $4,125,000,
$39,950,000 and $1,880,000 Federal National Mortgage
Association 6.100%, 6.000% and 6.000% due 09/14/2001,
11/15/2001, 07/16/2001, market value $4,166,250,
$39,750,250 and $1,915,250, respectively;
collateralized by $845,000 and $3,990,000 FFCB 5.700%
and 6.000% due 05/17/2002 and 10/01/2001,
market value $832,325 and $4,004,963,
respectively. ..................... 49,657,000
------------
TOTAL INVESTMENTS
(Cost $802,108,377) .............................. 99.7% $902,588,319
OTHER ASSETS AND LIABILITIES (NET) .................. 0.3% 2,497,877
----- ------------
NET ASSETS .......................................... 100.0% $905,086,196
===== ============
--------------------
* Principal amount is stated in the currency of the country in which the
security is denominated.
+ Non-income producing security.
# Amount less than 0.1%.
(L) Securities in whole or in part on loan at June 30, 2000.
ABBREVIATIONS:
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
Ord. -- Ordinary
See accompanying notes to financial statements.
19
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PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
CORPORATE FIXED INCOME SECURITIES -- 37.8%
Adelphia Communications Corporation
175,000 9.250% due 10/01/2002 .................... $ 171,500
100,000 8.125% due 07/15/2003 .................... 93,500
Allied Waste North America
125,000 7.375% due 01/01/2001 .................... 112,813
200,000 7.625% due 01/01/2006 (L) ................ 176,000
1,900,000 Aluminum Company of America
6.500% due 06/15/2018 .................... 1,691,570
1,125,000 American Express Credit Corporation
6.550% due 08/16/2000 .................... 1,115,994
1,600,000 American Financial Group, Inc.
7.125% due 04/15/2009 .................... 1,404,896
2,575,000 American General Finance Corporation
6.860% due 11/22/2002 .................... 2,539,233
750,000 American Standard, Inc
7.125% due 02/15/2003 .................... 708,750
1,000,000 Amresco, Inc.
9.875% due 03/15/2005 .................... 540,000
2,375,000 Amvescap Plc
6.600% due 05/15/2005 .................... 2,235,614
600,000 APP International Finance Ltd.
10.761% due 04/17/2002(b) ................ 597,000
AT&T Corporation
525,000 6.000% due 03/15/2009 .................... 466,835
1,085,000 6.500% due 03/15/2029 .................... 911,042
1,200,000 Avalonbay Communities
6.625% due 01/15/2005 .................... 1,137,540
3,360,000 Bank of New York Company, Inc.
6.625% due 06/15/2003 .................... 3,288,734
2,160,000 BankAmerica Corporation
5.875% due 02/15/2009 .................... 1,901,988
1,650,000 BB&T Corporation
6.375% due 06/30/2005 .................... 1,559,695
625,000 Beckman Coulter, Inc.
7.450% due 03/04/2008 .................... 569,200
950,000 BellSouth Capital Funding Corporation
7.875% due 02/15/2030 .................... 951,682
1,180,000 BellSouth Telecommunications, Inc.
6.375% due 06/01/2028 .................... 980,014
1,125,000 BRE Properties, Inc.
7.125% due 02/15/2013 .................... 997,020
1,175,000 Cabot Industrial Properties
7.125% due 05/01/2004 .................... 1,130,092
400,000 Cable Systems Corporation, Class A
8.125% due 08/15/2009 .................... 388,828
Charter Communications Holdings, LLC
625,000 8.250% due 04/01/2007 .................... 553,125
300,000 11.750% due 01/15/2010** ................. 170,250
1,000,000 Chattem, Inc.
8.875% due 04/01/2008 .................... 820,000
360,000 Cho Hung Bank Company, Ltd.
11.500% due 04/01/2010(a) ................ 342,000
See accompanying notes to financial statements.
20
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
2,000,000 City National Bank
6.375% due 01/15/2008 .................... $ 1,843,140
400,000 Cleveland Electric Illuminating Company
7.430% due 11/01/2009 .................... 377,144
2,350,000 Coastal Corporation
6.200% due 05/15/2004 .................... 2,240,866
3,175,000 Coca-Cola Enterprises, Inc.
6.750% due 01/15/2038 .................... 2,659,157
Colt Telecom Group Plc
525,000 12.000% due 12/15/2006 ................... 462,000
400,000 2.000% due 04/03/2007 .................... 347,511
600,000 4.490% due 07/31/2008 (L) ................ 338,060
225,000 Conmed Corporation
9.000% due 03/15/2008 .................... 206,438
500,000 Conseco Finance Trust III
8.796% due 04/01/2027 (L) ................ 217,500
1,975,000 Conseco, Inc.
6.800% due 06/15/2005 .................... 1,283,750
2,150,000 Cox Communications, Inc.
7.500% due 08/15/2004 .................... 2,134,240
2,000,000 CSX Corporation
7.250% due 05/01/2004 .................... 1,947,100
2,350,000 CVS Corporation
5.500% due 02/15/2004 .................... 2,147,618
Daimler Chrysler North American Holdings
2,350,000 6.900% due 09/01/2004 .................... 2,295,433
2,875,000 7.400% due 01/20/2005 .................... 2,852,259
1,515,000 Dayton-Hudson Corporation
5.875% due 11/01/2008 (L) ................ 1,345,594
1,800,000 Delphi Auto Systems Corporation
6.125% due 05/01/2004 .................... 1,685,664
Delta Air Lines, Inc.
375,000 7.900% due 12/15/2009 (L) ................ 350,475
1,675,000 8.300% due 12/15/2029 .................... 1,464,536
1,225,000 Disney (Walt) Company
7.300% due 02/08/2005 .................... 1,234,347
2,250,000 Dow Chemical Company
7.375% due 11/01/2029 .................... 2,181,533
375,000 D.R. Horton, Inc.
10.500% due 04/01/2005 (L) ............... 374,063
1,265,000 Duke Realty LP
7.050% due 03/01/2016 .................... 1,196,311
1,200,000 EdperBrascan Corporation
7.125% due 12/16/2003 .................... 1,126,356
650,000 Emerson Electric Company
7.875% due 06/01/2005 (L) ................ 668,213
Enron Corporation
1,450,000 7.875% due 06/15/2003 .................... 1,458,802
1,900,000 7.375% due 05/15/2019 .................... 1,788,489
EOP Operating LP
3,150,000 6.500% due 06/15/2004 .................... 2,996,972
1,600,000 6.800% due 01/15/2009 (L) ................ 1,455,808
1,415,000 ERP Operating LP
6.550% due 11/15/2001 .................... 1,394,581
125,000 Esat Telecom Group Plc, ADR
11.875% due 11/01/2009 ................... 149,171
See accompanying notes to financial statements.
21
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
Exide Holdings SA
400,000 9.125% due 04/15/2004 (L) ................ $ 183,537
500,000 10.000% due 04/15/2005 ................... 442,500
850,000 Exodus Communications, Inc.
11.375% due 07/03/2008 ................... 787,491
1,000,000 Extendicare Health Services
9.350% due 12/15/2007 .................... 420,000
2,201,064 FDX Corporation
6.720% due 01/15/2022 .................... 2,001,494
3,450,000 Firstar Bank
7.125% due 12/01/2009 .................... 3,273,429
1,775,000 First Union Corp.
7.500% due 07/15/2006 (L) ................ 1,748,606
275,000 Flextronics International Ltd.
9.750% due 07/01/2010 .................... 268,286
1,175,000 Florida Windstorm
7.125% due 02/25/2019 .................... 1,074,964
Ford Motor Credit Company
5,275,000 6.700% due 07/16/2004 .................... 5,110,736
2,410,000 5.800% due 01/12/2009 .................... 2,096,676
400,000 Fort James Corporation
6.875% due 09/15/2007 .................... 378,708
Fox Sports Networks LLC
375,000 8.875% due 08/15/2007 .................... 373,125
350,000 9.750% due 08/15/2007** (L) .............. 285,250
3,145,000 General Motors Acceptance Corporation
5.850% due 01/14/2009 .................... 2,754,611
615,000 General Motors Corporation
8.800% due 03/01/2021 .................... 663,757
1,000,000 Global Crossing Holding Ltd.
9.625% due 05/15/2008 (L) ................ 975,000
500,000 Golden State Holdings, Inc.
7.125% due 08/01/2005 .................... 452,795
2,525,000 Goldman Sachs Group, Inc.
7.500% due 01/28/2005 (L) ................ 2,505,886
2,300,000 Great Lakes Chemical Corporation
7.000% due 07/15/2009 (L) ................ 2,178,721
500,000 Grove Worldwide LLC
9.250% due 05/01/2008 .................... 193,750
725,000 Guangdong Enterprises Holdings
8.875% due 05/22/2007 + .................. 297,250
400,000 Host Marriott Hotels Corporation
8.375% due 02/15/2006 .................... 376,000
2,490,000 Household Finance Corporation
5.875% due 09/25/2004 .................... 2,322,274
250,000 Huntsman ICI Chemicals LLC
10.125% due 07/01/2009 ................... 251,250
1,675,000 Huntsman ICI Holdings LLC
0.000% due 12/31/2009*** ................. 552,750
200,000 IBJ Preferred Capital Company LLC
8.790% due 12/29/2049(a) ................. 181,474
2,275,000 Ingersoll-Rand Company
6.443% due 11/15/2027 .................... 2,143,664
630,000 Innova S. de R.L.
12.875% due 04/01/2007 ................... 585,900
See accompanying notes to financial statements.
22
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
1,000,000 Integrated Health Services, Inc.
9.250% due 01/15/2008 + .................. $ 20,000
2,250,000 International Business Machines Corporation
6.500% due 01/15/2028 (L) ................ 2,028,510
2,150,000 International Lease Finance Corporation
5.640% due 04/01/2002 .................... 2,096,658
875,000 International Paper Company
8.000% due 07/08/2003 .................... 878,658
230,000 IPC Magazines Group, Inc.
10.750% due 03/15/2008 ................... 205,328
125,000 Konhinklijke Ahold NV
4.000% due 05/16/2005 .................... 130,302
275,000 Lamar Media Corporation
8.625% due 06/15/2007 (L) ................ 264,000
825,000 Lear Corporation
7.960% due 05/15/2005 .................... 773,801
Level 3 Communications, Inc.
150,000 10.750% due 03/15/2008 ................... 134,613
75,000 11.250% due 03/15/2010 ................... 68,448
500,000 12.875% due 03/15/2010 ................... 273,750
1,200,000 Liberty Mutual Insurance Company
7.697% due 10/15/2097 .................... 876,456
225,000 Lilly Industries, Inc.
7.750% due 12/01/2007 .................... 202,414
300,000 Lite-On Technology Corporation
0.000% due 12/01/2002++*** ............... 342,000
1,025,000 Marsh & McLennan Companies, Inc.
6.625% due 06/15/2004 .................... 991,133
May Department Stores Company, Debentures,
675,000 7.450% due 09/15/2011 .................... 660,589
1,200,000 7.875% due 03/01/2030 (L) ................ 1,162,800
1,135,000 MCI Communications Corporation
6.500% due 04/15/2010 (L) ................ 1,029,796
McLeodUSA, Inc.
350,000 10.500% due 03/01/2007** ................. 288,750
675,000 9.500% due 11/01/2008 .................... 654,750
875,000 Meditrust Companies
7.820% due 09/10/2026 .................... 682,499
1,650,000 Merck & Company, Inc.
5.760% due 05/03/2037 .................... 1,650,000
1,950,000 Merita Bank Ltd.
7.150% due 12/29/2049 .................... 1,907,627
2,375,000 Merrill Lynch & Company, Inc.
6.550% due 07/17/2000 .................... 2,368,950
3,975,000 Merry Land & Investment Company, Inc.
6.875% due 11/01/2004 .................... 3,816,159
700,000 Metromedia Fiber Network
10.000% due 12/15/2009 ................... 641,559
2,475,000 Morgan Stanley Dean Witter & Company
7.125% due 01/15/2003 (L) ................ 2,459,135
2,300,000 National Australia Bank Ltd.
8.600% due 05/19/2010 .................... 2,409,986
National City Corporation
2,440,000 7.200% due 05/15/2005 .................... 2,380,342
See accompanying notes to financial statements.
23
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
2,460,000 6.875% due 05/15/2019 .................... $ 2,109,020
775,000 National Westminster Bank Plc
7.750% due 04/29/2049 .................... 742,946
2,075,000 Nations Bank Corporation
8.125% due 06/15/2002 .................... 2,103,386
400,000 Nextel Communications, Inc. Class A
9.375% due 11/15/2009 .................... 382,000
1,000,000 Nextlink Communications, Inc.
9.450% due 04/15/2008** .................. 625,000
750,000 Niagara Mohawk Power
8.500% due 07/01/2010** .................. 572,130
600,000 Nordbanken AB
8.950% due 11/29/2049 .................... 599,322
4,020,000 Northern Trust Company Bank
7.100% due 08/01/2009 .................... 3,852,969
2,150,000 Norwest Financial, Inc.
5.375% due 09/30/2003 .................... 2,023,322
1,000,000 NVR Inc.
8.000% due 05/06/2001 .................... 917,500
400,000 Ocean Energy, Inc.
7.625% due 07/01/2005 .................... 376,000
Owens-Illinois, Inc.
200,000 7.150% due 05/15/2005 (L) ................ 182,824
200,000 7.500% due 05/15/2010 .................... 173,452
PACCAR Financial Corporation
2,000,000 5.560% due 04/15/2002 .................... 1,951,800
2,475,000 6.920% due 08/15/2003 .................... 2,453,021
Pacific Bell
1,120,000 6.625% due 11/01/2009 (L) ................ 1,037,277
580,000 8.875% due 09/30/2027 (L) ................ 489,375
650,000 PanAmSat Corporation
6.125% due 01/15/2005 .................... 578,832
2,075,000 Pepsi Bottling Group, Inc.
7.000% due 03/01/2029 .................... 1,874,327
PNC Funding Corporation
3,050,000 6.125% due 09/01/2003 .................... 2,893,564
3,480,000 6.125% due 02/15/2009 .................... 3,084,150
Premier Parks, Inc.
425,000 9.250% due 04/01/2006 .................... 402,688
200,000 9.750% due 06/15/2007 .................... 192,500
Prologis Trust
1,025,000 7.000% due 10/01/2003 .................... 995,911
850,000 6.700% due 04/15/2004 .................... 810,008
PSINet, Inc.
50,000 10.500% due 12/01/2006 ................... 47,250
75,000 11.500% due 11/01/2008 ................... 70,500
250,000 11.000% due 08/01/2009 ................... 223,161
275,000 PTC International Finance II
11.250% due 12/01/2009 ................... 275,013
625,000 PX Escrow Corporation
9.625% due 02/01/2006 .................... 290,625
500,000 PXRE Capital Trust I
8.850% due 02/01/2027 .................... 363,585
See accompanying notes to financial statements.
24
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
200,000 Qwest Communications International, Inc.
7.500% due 11/01/2008 ..................... $ 191,402
100,000 Remy Cointreau S.A.
10.000% due 07/30/2005 .................... 104,540
2,230,000 Rohm & Haas Company
7.850% due 07/15/2029 ..................... 2,255,021
Royal Caribbean Cruises Ltd.
900,000 7.000% due 10/15/2007 .................... 759,654
975,000 7.500% due 10/15/2027 .................... 721,139
RSL Communications Plc
175,000 12.000% due 11/01/2008 ................... 130,375
700,000 10.125% due 03/01/2008** ................. 280,000
325,000 9.875% due 11/15/2009 .................... 227,500
3,600,000 Safeway, Inc.
7.250% due 09/15/2004 .................... 3,541,176
900,000 Salem Communications, Inc.
9.500% due 10/01/2007 .................... 846,000
625,000 Scotts Company (The), Class A
8.625% due 11/15/2009 .................... 603,125
Simon Property Group, Inc.
1,400,000 6.750% due 02/09/2004 .................... 1,331,190
1,000,000 7.125% due 06/24/2005 .................... 947,540
125,000 Slovak Wireless Finance Company
11.250% due 03/30/2007 ................... 122,918
440,000 Smithfield Food, Inc.
7.625% due 02/15/2008 .................... 393,800
450,000 Speedway Motor Sports, Inc.
8.500% due 08/15/2007 .................... 418,500
Sprint Capital Corporation
1,025,000 5.700% due 11/15/2003 .................... 966,862
1,450,000 6.875% due 11/15/2028 .................... 1,260,442
200,000 Stagecoach Holdings Plc
8.625% due 11/15/2009 .................... 162,360
1,100,000 St. George Bank Ltd.
7.150% due 10/15/2005 .................... 1,068,518
845,000 SunTrust Banks, Inc.
6.125% due 02/15/2004 .................... 802,175
2,250,000 TCI Communications, Inc.
6.375% due 05/01/2003 .................... 2,187,360
1,200,000 Tenet Healthcare Corporation
6.000% due 12/01/2005 .................... 996,000
Time Warner, Inc.
375,000 7.750% due 06/15/2005 .................... 376,864
1,700,000 6.625% due 05/15/2029 (L) ................ 1,403,231
725,000 Times Mirror Company
7.450% due 10/15/2009 .................... 711,841
500,000 Tricon Global Restaurants, Inc.
7.450% due 05/15/2005 .................... 461,890
2,450,000 TRW, Inc.
6.625% due 06/01/2004 .................... 2,322,429
2,725,000 Tyco International Group
6.875% due 09/05/2002 .................... 2,673,961
2,000,000 U.S. Bancorp
6.000% due 05/15/2004 .................... 1,894,702
1,070,000 Union Camp Corporation
6.500% due 11/15/2007 (L) ................ 973,572
See accompanying notes to financial statements.
25
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
CORPORATE FIXED INCOME SECURITIES -- (CONTINUED)
520,000 United Mexican States
11.375% due 09/15/2016 ................... $ 598,000
1,090,000 United Parcel Service
8.375% due 04/01/2030 .................... 1,155,651
Versatel Telecom BV,
40,000 4.000% due 12/17/2004 .................... 44,298
60,000 4.000% due 03/30/2005 .................... 53,845
Vodafone AirTouch Plc
1,675,000 7.625% due 02/15/2005 .................... 1,676,223
900,000 7.750% due 02/15/2010 .................... 877,914
Wachovia Corporation
2,450,000 5.625% due 12/15/2008 .................... 2,109,107
1,510,000 6.150% due 03/15/2009 (L) ................ 1,345,440
1,825,000 Washington Mutual, Inc.
7.500% due 08/15/2006 .................... 1,770,945
Waste Management, Inc.
1,255,000 6.500% due 12/15/2002 .................... 1,164,264
975,000 6.875% due 05/15/2009 (L) ................ 854,237
3,025,000 Wells Fargo Company
6.625% due 07/15/2004 .................... 2,942,629
Williams Communications Group, Inc.
325,000 10.700% due 10/01/2007 ................... 323,375
200,000 10.875% due 10/01/2009 ................... 196,000
50,000 Winstar Communications, Inc.
12.750% due 04/15/2010 ................... 45,347
WMX Technologies, Inc.
300,000 6.375% due 12/01/2003 (L) ................ 277,713
705,000 7.100% due 08/01/2026 .................... 663,560
------------
Total Corporate Fixed Income Securities
(Cost $229,549,671) ...................... 215,985,036
------------
FOREIGN GOVERNMENT FIXED INCOME SECURITIES -- 0.8%
Argentina Republic
396,000 7.375% due 03/31/2005 (b) ................ 360,360
235,000 11.750% due 06/15/2015 ................... 214,437
Brazil Federal Republic
1,000,000 14.500% due 10/15/2009 ................... 1,070,000
925,000 7.438% due 04/15/2012 (b) ................ 678,719
671,118 8.000% due 04/15/2014 (L) ................ 492,467
370,000 Bulgaria National Republic
2.750% due 07/28/2012(a) ................. 271,839
350,000 Peru Republic
3.750% due 03/07/2017 .................... 215,373
220,000 Philippines, Republic of the
10.625% due 03/16/2025 ................... 187,000
1,000,000 Quebec Province
8.800% due 04/15/2003 .................... 1,040,640
215,000 Venezuela Republic
9.250% due 09/15/2027 .................... 141,577
------------
Total Foreign Government Fixed Income Securities
(Cost $4,633,920) ........................ 4,672,412
------------
See accompanying notes to financial statements.
26
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES -- 36.2%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.7%
511 8.000% due 05/01/2006 .................... $ 514
2,694,202 7.200% due 10/01/2006 .................... 2,682,078
2,700,000 5.750% due 03/15/2009 (L) ................ 2,459,106
3,710,389 6.500% due 12/01/2014 .................... 3,579,338
2,308,607 6.500% due 01/01/2029 .................... 2,181,634
5,480,507 6.000% due 07/01/2029 .................... 5,021,515
1,957,547 7.500% due 12/01/2029 .................... 1,931,238
2,466,416 7.000% due 02/01/2030 .................... 2,383,175
2,305,165 7.230% due 02/01/2030 .................... 2,284,995
200,309 7.370% due 02/01/2030 .................... 199,714
2,310,961 7.500% due 02/01/2030 .................... 2,279,902
5,107,791 7.500% due 04/01/2030 .................... 5,039,142
2,480,000 7.000% due 06/01/2030 .................... 2,396,300
------------
32,438,651
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 24.2%
2,238,681 7.245% due 09/01/2003 .................... 2,223,527
3,274,458 7.280% due 10/01/2003 .................... 3,248,690
3,909,852 6.880% due 02/01/2004 .................... 3,836,145
2,481,597 7.085% due 05/01/2004 .................... 2,448,240
1,648 8.000% due 08/01/2004 .................... 1,653
2,000,000 6.500% due 11/25/2007 .................... 1,958,740
3,680,000 6.500% due 01/25/2008 .................... 3,608,682
4,364,258 6.140% due 04/01/2009 .................... 4,060,106
5,490,000 6.625% due 09/15/2009 (L) ................ 5,303,834
2,440,000 7.000% due 07/18/2012 .................... 2,363,750
1,470,000 7.000% due 06/01/2015 .................... 1,441,967
1,539,720 9.000% due 08/01/2025 .................... 1,584,942
1,743,543 6.000% due 01/01/2029 .................... 1,595,882
135,967 6.000% due 02/01/2029 .................... 124,452
1,239,215 6.000% due 04/01/2029 .................... 1,134,266
3,780,631 6.500% due 04/01/2029 .................... 3,568,677
111,469 6.000% due 05/01/2029 .................... 102,029
658,282 6.500% due 05/01/2029 .................... 621,254
4,266,370 6.000% due 06/01/2029 .................... 3,905,051
1,645,180 6.500% due 06/01/2029 .................... 1,552,639
670,692 6.000% due 07/01/2029 .................... 613,891
4,213,322 6.500% due 07/01/2029 .................... 3,975,269
5,185,488 6.500% due 08/01/2029 .................... 4,893,491
250,080 7.500% due 08/01/2029 .................... 246,721
1,069,661 6.000% due 09/01/2029 .................... 979,071
2,003,350 7.000% due 10/01/2029 .................... 1,933,853
896,679 7.500% due 10/01/2029 .................... 883,785
1,298,542 7.000% due 12/01/2029 .................... 1,253,495
1,243,078 6.960% due 01/01/2030 .................... 1,221,523
2,297,894 7.000% due 01/01/2030 .................... 2,218,180
5,148,871 7.500% due 01/01/2030 .................... 5,074,830
5,123,644 6.500% due 02/01/2030 .................... 4,835,439
349,679 7.000% due 02/01/2030 .................... 337,548
3,280,419 7.500% due 02/01/2030 .................... 3,233,246
2,701,944 7.500% due 03/01/2030 .................... 2,663,089
10,436,621 7.500% due 04/01/2030 .................... 10,286,581
1,296,539 7.000% due 05/01/2030 .................... 1,251,562
10,475,242 7.500% due 05/01/2030 .................... 10,324,608
400,000 7.000% due 06/01/2030 .................... 386,124
See accompanying notes to financial statements.
27
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES -- (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- (CONTINUED)
2,575,002 7.500% due 06/01/2030 .................... $ 2,537,973
2,545,266 6.637% due 10/01/2039 .................... 2,470,512
6,665,000 6.500% due 12/01/2099 .................... 6,317,124
10,075,000 8.000% due 12/01/2099 .................... 10,115,905
2,500,000 6.000% due 12/31/2099 .................... 2,364,844
11,100,000 7.000% due 12/31/2099 .................... 10,805,251
2,325,000 8.500% due 12/31/2099 .................... 2,364,595
------------
138,273,036
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 6.3%
2,494,235 9.000% due 12/15/2017 .................... 2,605,678
2,966,102 6.750% due 08/20/2022 .................... 2,981,852
1,401,811 6.375% due 04/20/2024 .................... 1,404,446
143,440 7.000% due 12/15/2025 .................... 139,629
1,055,895 7.000% due 01/15/2028 .................... 1,026,519
2,401,822 7.000% due 02/15/2028 .................... 2,335,003
1,322,430 7.000% due 03/15/2028 .................... 1,285,640
1,073,943 7.000% due 04/15/2028 .................... 1,044,066
891,861 7.000% due 05/15/2028 .................... 867,049
69,523 7.000% due 06/15/2028 .................... 67,589
3,479,964 7.000% due 07/15/2028 .................... 3,383,151
3,945,886 8.000% due 07/15/2029 .................... 3,990,277
1,667,730 7.500% due 08/15/2029 .................... 1,655,739
2,285,819 8.000% due 10/15/2029 .................... 2,310,095
311,428 8.000% due 11/15/2029 .................... 314,735
6,498,717 8.000% due 12/15/2029 .................... 6,567,732
2,345,890 5.500% due 01/20/2030 .................... 2,287,618
1,946,651 8.000% due 04/15/2030 .................... 1,967,324
------------
36,234,142
------------
Total Mortgage-Backed Securities
(Cost $208,445,243) 206,945,829
------------
ASSET-BACKED SECURITIES -- 11.0%
2,100,000 Advanta Mortgage Loan Trust,
7.040% due 01/25/2029 .................... 2,056,644
1,550,000 American Express Credit Account Master Trust
5.600% due 11/15/2006 .................... 1,470,066
2,000,000 ANRC Auto Owner Trust
6.940% due 04/17/2006 .................... 1,984,479
2,375,000 ARG Funding Corporation
6.020% due 05/20/2005 .................... 2,290,747
2,142,941 Bear Stearns Mortgage Securities, Inc.
6.750% due 04/30/2030 .................... 2,034,240
2,000,000 Chase Commercial Mortgage
Securities Corporation
6.600% due 12/19/2007 .................... 1,810,320
2,400,000 Chase Credit Card Master Trust
6.950% due 01/15/2007 .................... 2,365,032
1,715,000 DLJ Commercial Mortgage Corporation
7.340% due 09/10/2009 .................... 1,697,867
500,000 FMAC Loan Receivables Trust
8.140% due 04/15/2019 .................... 464,530
3,000,000 Ford Credit Auto Owner Trust
7.370% due 07/15/2004 .................... 3,003,750
See accompanying notes to financial statements.
28
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- (CONTINUED)
3,321,256 General Electric Capital Mortgage Services, Inc.
7.250% due 04/25/2015 .................... $ 3,262,337
GMAC Commercial Mortgage Securities, Inc.
1,700,000 6.175% due 05/15/2033 .................... 1,559,628
4,418,648 6.150% due 05/15/2035 .................... 4,224,051
LB Commercial Conduit Mortgage Trust
1,365,000 6.210% due 10/15/2008 .................... 1,261,833
3,191,897 6.410% due 06/15/2031 .................... 3,079,193
1,500,000 MBNA Master Credit Card Trust
6.600% due 12/15/2006 .................... 1,457,805
Merrill Lynch Mortgage Investors, Inc.
2,368,218 6.690% due 11/21/2028 .................... 2,338,129
2,100,000 6.960% due 11/21/2028 .................... 1,925,142
2,135,891 Mid-State Trust
7.340% due 07/01/1935 2,058,465
Mortgage Capital Funding, Inc.
1,777,070 6.325% due 10/18/2007 .................... 1,711,776
3,000,000 7.117% due 11/20/2007 .................... 2,795,173
Morgan Stanley Capital I
3,240,230 6.250% due 07/15/2007 .................... 3,135,195
2,500,000 6.210% due 09/15/2008 .................... 2,318,375
2,065,000 6.480% due 06/03/2030 .................... 1,955,142
Oakwood Mortgage Investors, Inc.
684,641 6.450% due 01/15/2021 .................... 678,873
3,570,000 7.500% due 01/15/2021 .................... 3,357,746
2,231,845 SLM Student Loan Trust
5.095% due 04/25/2006 .................... 2,223,420
2,550,000 Toyota Auto Receivables Owner Trust
7.210% due 04/15/2007 .................... 2,545,219
1,000,000 Vanderbilt Mortgage Finance Corporation, Inc.
6.750% due 10/07/2028 .................... 847,025
1,200,000 Variable Funding Capital Corporation
6.560% due 08/16/2000 .................... 1,190,379
------------
Total Asset-Backed Securities
(Cost $64,015,669) ....................... 63,102,581
------------
U.S. TREASURY OBLIGATIONS -- 7.8%
U.S. TREASURY BONDS -- 6.6%
5,925,000 9.250% due 02/15/2016 (L) ................ 7,688,635
13,750,000 8.875% due 08/15/2017 (L) ................ 17,526,987
7,400,000 8.125% due 05/15/2021 (L) ................ 9,029,184
425,000 8.125% due 05/15/2022 (L) ................ 377,188
2,950,000 8.125% due 05/15/2023 (L) ................ 3,095,199
------------
37,717,193
------------
U.S. TREASURY INFLATION INDEX NOTES -- 1.2%
2,431,748 3.625% due 07/15/2002 (L) ................ 2,415,017
4,727,188 3.375% due 01/15/2007 (L) ................ 4,533,656
------------
6,948,673
------------
TREASURY BILL -- 0.0%#
1,770,000,000 Chase Turkish T-Bill
0.000% due 08/12/2001 .................... 33,655
------------
Total Treasury Obligations
(Cost $44,289,820) ....................... 44,699,521
------------
See accompanying notes to financial statements.
29
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Principal Value
Amount* (Note 2)
--------------------------------------------------------------------------------
FEDERAL AGENCY SECURITIES -- 1.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
3,700,000 6.515% due 08/17/2000 .................... $ 3,669,868
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
2,375,000 6.440% due 07/17/2000 .................... 2,369,052
------------
Total Federal Agency Securities
(Cost $6,038,920) ........................ 6,038,920
------------
Shares
------
COMMON STOCK -- 0.0%#
2,800 Adelphia Communications Corporation ......... 282,099
------------
Total Common Stock
(Cost $296,800) .......................... 282,099
------------
CLOSED-ENDINVESTMENT COMPANIES -- 4.4%
389,700 BlackRock 2001 Term Trust, Inc. ............. 3,556,012
372,400 BlackRock North American Government
Income Trust, Inc. ....................... 3,630,900
409,400 BlackRock Strategic Term Trust, Inc. ........ 3,607,838
53,400 Dresdner Global Strategies Fund ............. 330,413
39,400 Dreyfus Strategic Governments
Income Fund, Inc. ........................ 359,525
85,600 First Commonwealth Fund ..................... 775,750
1,000 Fresenius Medical Capital Trust II .......... 89,250
602,700 Hyperion 2002 Term Trust, Inc. .............. 4,972,274
133,500 Hyperion Total Return Fund, Inc. (L) ........ 1,051,313
37,600 Mentor Income Fund, Inc. .................... 289,050
415,500 MFS Government Markets Income Trust ......... 2,544,938
333,000 MFS Intermediate Income Trust ............... 2,102,063
19,200 Oppenheimer Multi-Sector Income Trust, Inc. . 156,000
196,900 Templeton Global Income Fund ................ 1,218,319
------------
Total Investment Companies
(Cost $24,480,540) ....................... 24,683,645
------------
PREFERRED STOCK -- 0.5%
54,000 Equity Office Properties Trust (L) .......... 2,281,500
30,000 Golden State Bancorp ........................ 635,625
------------
Total Preferred Stock
(Cost $3,462,850) ........................ 2,917,125
------------
Principal
Amount
---------
REPURCHASE AGREEMENT -- 1.9% (Cost $10,594,000)
$10,594,000 Agreement with State Street Bank, 6.400%
to be repurchased at $10,599,650 on 07/03/2000,
collateralized by $3,095,000, $880,000, and
$6,745,000 Federal National Mortgage Association
6.375% , 6.270%, and 5.860%, due 01/16/2002,
11/29/2001, and 11/07/2000, market values
$3,156,900, $877,800 and $6,778,725
respectively. ............................ 10,594,000
------------
See accompanying notes to financial statements.
30
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Number of Expiration Strike Value
Contracts Date Price (Note 2)
--------------------------------------------------------------------------------
CALL OPTIONS PURCHASED -- 0.1%
CALL OPTIONS PURCHASED -- 0.1%
3,350 10 Year U.S. Treasury Bond Call 08/01/2000 $ 95 $ 125,893
700 10 Year U.S. Treasury Bond Cal 08/11/2000 99 28,266
3,600 10 Year U.S. Treasury Bond Call 08/11/2000 103 145,368
5,880 10 Year U.S. Treasury Bond Call 09/07/2000 102 85,436
5,175 10 Year U.S. Treasury Note Call 09/19/2000 108 4,037
2,450 10 Year U.S. Treasury Note Cal 09/20/2000 102 41,895
2,575 10 Year U.S. Treasury Bond Call 09/25/2000 102 44,805
7,700 10 Year U.S. Treasury Bond Call 09/29/2000 104 59,059
------------
534,759
------------
FOREIGN CALL OPTIONS PURCHASED -- 0.0%#
325 Mexican Pesos Call ............ 04/12/2001 10 6,656
650 Mexican Pesos Call ............ 04/12/2001 8 845
------------
7,501
------------
Total Call Options Purchased
(Cost $416,894) ............. 542,260
------------
PUT OPTIONS PURCHASED -- 0.0%#
PUT OPTIONS PURCHASED -- 0.0%#
52 10 Year Federal National Mortgage Association Put
(Cost $7,479) ............. 09/19/2000 95 4,606
------------
TOTAL INVESTMENTS
(Cost $596,231,806) ..................................... 101.6% $580,468,034
----- ------------
WRITTEN OPTIONS -- (0.1)%
CALL OPTIONS WRITTEN -- 0.0%#
3,350 10 Year U.S. Treasury Bonds Call 08/01/2000 98 (41,440)
700 10 Year U.S. Treasury Bonds Call 08/11/2000 103 (7,322)
3,600 10 Year U.S. Treasury Bonds Call 08/11/2000 103 (37,656)
104 30 Year Federal National Mortgage
Association Call 09/07/2000 98 (90,563)
2,575 10 Year U.S. Treasury Bonds Call 09/25/2000 106 (9,682)
------------
(186,663)
------------
FOREIGN CALL OPTIONS WRITTEN -- 0.0%#
325 Mexican Pesos Put Options 04/12/2001 9 (988)
650 Mexican Pesos Put Options 04/12/2001 10 (3,672)
------------
(4,660)
------------
Total Call Options Written
(Premiums $128,894) ......................... (191,323)
------------
PUT OPTIONS WRITTEN -- 0.0%#
2,450 10 Year U.S. Treasury Note Put 09/20/2000 100 (10,021)
2,575 10 Year U.S. Treasury Bond Put 09/25/2000 99 (5,047)
7,700 10 Year U.S. Treasury Bond Put 09/29/2000 103 (107,723)
------------
Total Put Options Written
(Premiums $202,441) ......................... (122,791)
------------
Total Written Options
(Premiums $331,335) ................... (0.1)% $ (314,114)
----- ------------
See accompanying notes to financial statements.
31
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
(Note 2)
--------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (NET) ................ (1.5)% (8,484,839)
----- ------------
NET ASSETS ........................................ 100.0% $571,669,081
===== ============
-------------------------
* Principal amount is stated in the currency of the country in which the
security is denominated.
+ Security in default.
++ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2000,
the value of these securities amounted to $6,582,844 or 1.15% of net assets.
** Zero coupon security as of June 30, 2000. The coupon shown is the step-up
rate.
*** Zero Coupon Bond.
# Amount represents less than 0.1%.
(a) Variable Rate Security. The interest rate shown reflects the rate in effect
at June 30, 2000.
(b) Floating Note. The interest rate shown reflects the rate in effect at
June 30, 2000.
(L) Securities in whole or in part on loan at June 30, 2000.
ABBREVIATIONS:
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See accompanying notes to financial statements.
32
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT BALANCED GROWTH FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 96.9%
4,936,484 New Covenant Growth Fund ...................... $207,677,894
5,225,920 New Covenant Income Fund ...................... 124,847,229
------------
Total Investment Companies
(Cost $292,330,885) ........................ 332,525,123
Principal
Amount
---------
REPURCHASE AGREEMENT -- 3.1% (Cost $10,589,000)
$10,589,000 Agreement with State Street Bank, 6.400% to
be repurchased at $10,594,647 on 07/03/2000,
collateralized by $10,845,000 Federal Home
Loan Mortgage Corporation 5.960% due
03/30/2002, market value $10,804,331. ...... 10,589,000
------------
TOTAL INVESTMENTS
(Cost $302,919,885) ............................. 100.0% $343,114,123
OTHER ASSETS AND LIABILITIES (NET) ................. 0.0%# 117,329
----- ------------
NET ASSETS ......................................... 100.0% $343,231,452
===== ============
-----------------------
# Amount represents less than 0.1%.
See accompanying notes to financial statements.
33
<PAGE>
PORTFOLIO OF INVESTMENTS
--------------------------------------------------------------------------------
NEW COVENANT BALANCED INCOME FUND
JUNE 30, 2000
--------------------------------------------------------------------------------
Value
Shares (Note 2)
--------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 97.0%
1,082,986 New Covenant Growth Fund ...................... $ 45,561,219
3,158,656 New Covenant Income Fund ...................... 75,460,300
------------
Total Investment Companies
(Cost $114,438,208) ........................ 121,021,519
Principal
Amount
---------
REPURCHASE AGREEMENT -- 3.0% (Cost $3,771,000)
$3,771,000 Agreement with State Street Bank, 6.400%
to be repurchased at $3,773,011 on 07/03/2000,
collateralized by $3,905,000 Federal
Farm Credit Bank 5.700% due 05/17/2002,
market value $3,846,425 .................... 3,771,000
------------
TOTAL INVESTMENTS
(Cost $118,209,208) ............................... 100.0% $124,792,519
OTHER ASSETS AND LIABILITIES (NET) ................... 0.0%# 16,189
----- ------------
NET ASSETS ........................................... 100.0% $124,808,708
===== ============
-------------------
# Amount represents less than 0.1%.
See accompanying notes to financial statements.
34
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
NEW COVENANT NEW COVENANT
NEW COVENANT NEW COVENANT BALANCED BALANCED
GROWTH FUND INCOME FUND GROWTH FUND INCOME FUND
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note 2) ..... $902,588,319 $580,468,034 $343,114,123 $124,792,519
Foreign currency, at value
(Cost $253,813) ................. -- 257,768 -- --
Unrealized appreciation on foreign
exchange contracts .............. 37,888 26,578 -- --
Cash ............................... 1,548,064 2,363 44 97
Receivable for investments sold .... 87,206,698 18,414,944 6,267 103,417
Receivable for fund shares sold .... 18,320 1,704 133,824 18,478
Dividends and interest receivable .. 834,009 6,859,063 5,648 2,011
Prepaid expenses and other assets .. -- 5,502 -- --
------------ ------------ ------------ ------------
Total Assets ....................... 992,233,298 606,035,956 343,259,906 124,916,522
------------ ------------ ------------ ------------
LIABILITIES:
Foreign currency, at value
(Cost $11,163,647) .............. 11,134,282 -- -- --
Payable for securities purchased ... 75,028,023 33,497,575 -- --
Payable for fund shares redeemed ... 120,499 107,826 6,033 80,171
Options written
(Premiums received $331,335). ... -- 314,114 -- --
Distributions payable .............. 1,790 -- 365 18
Advisory fee payable ............... 738,902 353,596 -- --
Other accrued expenses ............. 123,606 93,764 22,056 27,625
------------ ------------ ------------ ------------
Total Liabilities .................. 87,147,102 34,366,875 28,454 107,814
------------ ------------ ------------ ------------
NET ASSETS ............................. $905,086,196 $571,669,081 $343,231,452 $124,808,708
============ ============ ============ ============
Investments, at Identified Cost ........ $802,108,377 $596,231,806 $302,919,885 $118,209,208
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital .................... 689,428,844 603,917,133 298,612,770 117,225,006
Undistributed / (distributions
in excess of) net investment income (3,831,429) 369,022 -- --
Accumulated net realized gain / (loss)
on investments and foreign
currency transactions ........... 119,006,207 (16,892,099) 4,424,444 1,000,391
Net unrealized appreciation /
(depreciation) on investments
and foreign currency transactions 100,482,574 (15,724,975) 40,194,238 6,583,311
------------ ------------ ------------ ------------
Total Net Assets ................... $905,086,196 $571,669,081 $343,231,452 $124,808,708
============ ============ ============ ============
NET ASSET VALUE, offering price
and redemption price per share of
beneficial interest outstanding .... $ 42.07 $ 23.89 $ 91.84 $ 20.01
============ ============ ============ ============
Number of Portfolio
shares outstanding .............. 21,511,798 23,926,584 3,737,290 6,238,052
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements.
35
<PAGE>
STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
FOR THE YEAR ENDED JUNE 30, 2000
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------
NEW COVENANT NEW COVENANT
NEW COVENANT NEW COVENANT BALANCED BALANCED
GROWTH FUND (A) INCOME FUND (A) GROWTH FUND (A) INCOME FUND (A)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes
withheld of $389,359, $5,808,
$0 and $0, respectively) ........ $10,644,547 $ 2,168,376 $11,462,298 $5,621,956
Interest ........................... 2,062,016 38,026,367 271,143 94,261
----------- ------------ ----------- ----------
Total Investment Income ............ 12,706,563 40,194,743 11,733,441 5,716,217
----------- ------------ ----------- ----------
EXPENSES:
Investment advisory fees (Note 3) .. 8,566,696 4,333,190 -- --
Administration fees ................ 95,071 77,301 39,911 16,786
Accounting and custody fees ........ 364,065 151,925 8,353 9,217
Legal and audit fees ............... 40,229 32,015 16,019 6,751
Transfer agent fees ................ 70,517 87,846 157,027 91,215
Directors' expenses ................ 2,653 8,669 1,263 537
Registration fees .................. 16,392 16,520 13,328 12,933
Shareholder report expenses ........ 12,992 9,450 5,095 2,064
Organizational expenses ............ 90,224 62,298 40,816 21,482
Insurance expense .................. 13,632 10,109 6,078 3,530
Miscellaneous expenses ............. 28,465 6,957 24,335 13,556
----------- ------------ ----------- ----------
Total expenses ..................... 9,300,936 4,796,280 312,225 178,071
----------- ------------ ----------- ----------
NET INVESTMENT INCOME .............. 3,405,627 35,398,463 11,421,216 5,538,146
----------- ------------ ----------- ----------
NET REALIZED AND UNREALIZED
GAIN / (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain / (loss) on:
Investments ..................... 144,299,254 (16,858,599) 3,842,347 1,210,325
Foreign currency transactions ... (3,782,255) 179,503 -- --
Realized gains received from
underlying funds ............. -- -- 2,711,873 624,854
----------- ------------ ----------- ----------
Net realized gain / (loss) on
investments and foreign currency 140,516,999 (16,679,096) 6,554,220 1,835,179
----------- ------------ ----------- ----------
Net change in unrealized appreciation /
depreciation of investments and
foreign currency transactions ... (88,675,865) 779,217 591,204 (1,867,337)
----------- ------------ ----------- ----------
Net realized and unrealized gain / (loss)
on investments and foreign
currency transactions ........... 51,841,134 (15,899,879) 7,145,424 (32,158)
----------- ------------ ----------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS .......... $55,246,761 $ 19,498,584 $18,566,640 $5,505,988
=========== ============ =========== ==========
</TABLE>
----------------------
(a) The Fund commenced investment operations on July 1, 1999.
See accompanying notes to financial statements.
36
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
FOR THE YEAR ENDED JUNE 30, 2000
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
NEW COVENANT NEW COVENANT
GROWTH FUND (A) INCOME FUND (A)
-------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income ...................... $ 3,405,627 $ 35,398,463
Net realized gain / (loss) on investments
and foreign currency transactions ....... 140,516,999 (16,679,096)
Net change in unrealized appreciation /
depreciation of investments and
foreign currency transactions ........... (88,675,865) 779,217
------------ ------------
Net increase in net assets
resulting from operations ............... 55,246,761 19,498,584
------------ ------------
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
From net investment income ................. (6,312,018) (35,292,282)
From net realized gains on investments
and foreign currency .................... (22,508,009) --
------------ ------------
(28,820,027) (35,292,282)
------------ ------------
SHARE TRANSACTIONS:
Net increase in net assets
from shares of beneficial interest
transactions (Note 7)(b) ................ 878,659,462 587,462,779
------------ ------------
Net increase in net assets ................. 905,086,196 571,669,081
------------ ------------
NET ASSETS:
Beginning of year .......................... -- --
------------ ------------
End of year ................................ $905,086,196 $571,669,081
============ ============
</TABLE>
------------------
(a) The Fund commenced investment operations on July 1, 1999.
(b) Amount includes proceeds from Common Trust conversion.
See accompanying notes to financial statements.
37
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
FOR THE YEAR ENDED JUNE 30, 2000
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
NEW COVENANT NEW COVENANT
BALANCED GROWTH FUND (A) BALANCED INCOME FUND (A)
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income ...................... $ 11,421,216 $ 5,538,146
Net realized gain on investments ........... 6,554,220 1,835,179
Net change in unrealized appreciation
of investments .......................... 591,204 (1,867,337)
------------ ------------
Net increase in net assets
resulting from operations ............... 18,566,640 5,505,988
------------ ------------
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
From net investment income ................. (11,476,614) (5,576,584)
From net realized gains on investments ..... (2,107,031) (813,536)
------------ ------------
(13,583,645) (6,390,120)
------------ ------------
SHARE TRANSACTIONS:
Net increase in net assets from shares
of beneficial interest transactions ..... 338,248,457 125,692,840
------------ ------------
Net increase in net assets ................. 343,231,452 124,808,708
------------ ------------
NET ASSETS:
Beginning of year .......................... -- --
------------ ------------
End of year ................................ $343,231,452 $124,808,708
============ ============
</TABLE>
---------------------
(a) The Fund commenced investment operations on July 1, 1999.
See accompanying notes to financial statements.
38
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
FOR THE YEAR ENDED JUNE 30, 2000
For a Share outstanding throughout each period.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
NEW COVENANT NEW COVENANT
GROWTH FUND* INCOME FUND*
-------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of year** ....... $ 40.81 $ 24.52
-------- --------
Net investment income ...................... 0.15 1.47
Net realized and unrealized gain / (loss) on
investments and foreign currency transactions 2.49 (0.63)
-------- --------
Total from investment operations ........... 2.64 0.84
======== ========
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income ....... (0.30) (1.47)
Distributions from net realized gains ...... (1.08) 0.00
-------- --------
Total distributions ........................ (1.38) (1.47)
-------- --------
NET ASSET VALUE, END OF YEAR ............... $ 42.07 $ 23.89
======== ========
Total return ............................... 6.38% 3.55%
======== ========
RATIOS TO AVERAGE NET ASSETS
AND SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ....... $905,086 $571,669
Ratio of net investment income to
average net assets ........................ 0.37% 6.12%
Ratio of operating expenses to
average net assets ........................ 1.07% 0.83%
Portfolio turnover rate .................... 152% 182%
</TABLE>
---------------------
* The Fund commenced operations on July 1, 1999.
** Represents net asset value of predecessor Common Trust Fund.
See accompanying notes to financial statements.
39
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
FOR THE YEAR ENDED JUNE 30, 2000
For a Share outstanding throughout each period.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
NEW COVENANT NEW COVENANT
BALANCED GROWTH FUND* BALANCED INCOME FUND*
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of year** ....... $ 90.96 $ 20.16
-------- --------
Net investment income ...................... 3.18 0.89
Net realized and unrealized gain / (loss)
on investments ............................ 1.48 (0.02)
-------- --------
Total from investment operations ........... 4.66 0.87
======== ========
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income ....... (3.19) (0.89)
Distributions from net realized gains ...... (0.59) (0.13)
-------- --------
Total distributions ........................ (3.78) (1.02)
-------- --------
NET ASSET VALUE, END OF YEAR ............... $ 91.84 $ 20.01
======== ========
Total return ............................... 5.13% 4.40%
======== ========
RATIOS TO AVERAGE NET ASSETS
AND SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ....... $343,231 $124,809
Ratio of net investment income to
average net assets ........................ 3.50% 4.46%
Ratio of operating expenses to
average net assets ........................ 0.10% 0.14%
Portfolio turnover rate .................... 8% 12%
</TABLE>
------------------------
* The Fund commenced operations on July 1, 1999.
** Represents net asset value of predecessor Common Trust Fund.
See accompanying notes to financial statements.
40
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
1. ORGANIZATION
New Covenant Funds (the "Trust"), an open-end, diversified management investment
company, was organized as a Delaware business trust on September 30, 1998. It
currently consists of four investment funds: New Covenant Growth Fund ("Growth
Fund"), New Covenant Income Fund ("Income Fund"), New Covenant Balanced Growth
Fund ("Balanced Growth Fund") and New Covenant Balanced Income Fund ("Balanced
Income Fund"), (individually, a "Fund", and collectively, the "Funds"). The
Funds commenced investment operations on July 1, 1999. The Trust's authorized
capital consists of an unlimited number of shares of beneficial interest of
$0.001 par value. The Funds' investment adviser is New Covenant Trust Company,
N.A. (the "Adviser").
The objectives of the Funds are as follows:
GROWTH FUND Long-term capital appreciation. Dividend income, if
any, will be incidental.
INCOME FUND High level of current income with preservation of
capital.
BALANCED GROWTH FUND Produce capital appreciation with less risk than
would be present in a portfolio of only common stocks.
BALANCED INCOME FUND Produce current income and long-term growth of capital.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of the
significant accounting policies consistently followed by the Funds in the
preparation of their financial statements. These policies are in conformity with
generally accepted accounting principles.
PORTFOLIO VALUATION: Generally, a Fund's investments are valued at market value
or, in the absence of market value with respect to any portfolio securities, at
fair value as determined by, or under the direction of, the Board of Trustees.
Equity securities which are traded in the over-the-counter market only, but
which are not included in the NASDAQ National Market System, will be valued at
the mean between the last preceding bid and asked prices. Valuations may also be
obtained from pricing services when such prices are believed to reflect fair
market value. Securities with a remaining maturity of sixty days or less are
valued at amortized cost, which approximates market value. Short-term notes are
valued at cost. Corporate bonds, municipal bonds, receivables and portfolio
securities not currently quoted as indicated above, and other assets will be
valued at fair value as determined in good faith by the Board of Trustees.
Foreign securities traded outside the United States are generally valued as of
the time their trading is complete, which is usually different from the close of
the New York Stock Exchange. Occasionally, events affecting the value of such
securities may occur between such times and the close of the New York Stock
Exchange that will not be reflected in the computation of a Fund's net asset
value. If events materially affecting the value of such securities occur during
such period, these securities will be valued at their fair value according to
procedures decided upon in good faith by the Funds' Board of Trustees. All
securities and other assets of a Fund initially expressed in foreign currencies
will be converted to U.S. dollar values at the
41
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
mean of the bid and offer prices of such currencies against U.S. dollars last
quoted on a valuation date by any recognized dealer.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
accounted for on a trade date basis. Net realized gains or losses on sales of
securities are determined by the identified cost method. Interest income,
adjusted for accretion of discounts and amortization of premiums, is recorded on
the accrual basis. Dividend income is recorded on the ex-dividend date, except
that certain dividends from foreign securities are recorded as soon as the Funds
are informed of the ex-dividend date, if the ex-dividend date has passed.
OPTIONS: The Income Fund may purchase or write options which are traded over the
counter to hedge fluctuation risks in the prices of certain securities. When a
Fund writes a call or put option, an amount equal to the premium received is
reflected as a liability. The liability is subsequently "marked-to-market" to
reflect the current market value of the option written. The premium paid by a
Fund for the purchase of a call or put option is recorded as an investment and
subsequently "marked-to-market" to reflect the current market value of the
option purchased. The Fund is subject to the risk of an imperfect correlation
between movement in the price of the instrument and the price of the underlying
security or transaction. Risks may also arise due to illiquid secondary markets
for the instruments.
Transactions in options written during the year ended June 30, 2000 for the
Income Fund were as follows:
Number of Premiums
Contracts Received
--------- --------
Options written outstanding at July 1, 1999 ......... -- $ --
Options written during the year ..................... 80,139 1,412,261
Options terminated in closing purchase transactions . (49,457) (1,016,863)
Options expired during the year ..................... (6,653) (64,063)
------- -----------
Options written outstanding at June 30, 2000 ........ 24,029 $ 331,335
======= ===========
The following written options were outstanding at June 30, 2000:
<TABLE>
<CAPTION>
Number of Exercise Expiration Net Appreciation/
Description Contracts Price Date (Depreciation)
----------- --------- -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
10 Year U.S. Treasury Bond Call (3,350) 98 August 2000 $(20,502)
10 Year U.S. Treasury Bond Call (3,600) 103 August 2000 (19,094)
10 Year U.S. Treasury Bond Call (700) 103 August 2000 (3,713)
30 Year FNMA Call (104) 98 September 2000 (29,918)
10 Year U.S. Treasury Note Put (2,450) 100 September 2000 27,495
10 Year U.S. Treasury Bond Put (2,575) 99 September 2000 25,129
10 Year U.S. Treasury Bond Call (2,575) 106 September 2000 3,595
10 Year U.S. Treasury Bond Put (7,700) 103 September 2000 27,027
Mexican Pesos Put (650) 10 April 2001 5,525
Mexican Pesos Put (325) 9 April 2001 1,677
--------
17,221
========
</TABLE>
42
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
FOREIGN CURRENCY TRANSLATION: The books and records of the Funds are maintained
in U.S. dollars. Investment valuations and other assets and liabilities
initially expressed in foreign currencies are converted each business day into
U.S. dollars based upon current exchange rates. Purchases and sales of foreign
investments and income and expenses are converted into U.S. dollars based upon
exchange rates prevailing on the respective dates of such transactions. That
portion of unrealized gains or losses on investments due to fluctuations in
foreign currency exchange rates is not separately disclosed.
FORWARD FOREIGN CURRENCY CONTRACTS: Certain of the Funds enter into forward
foreign currency contracts as hedges against either specific transactions or
portfolio positions. All commitments are "marked-to-market" daily at the
applicable foreign exchange rate and any resulting unrealized gains or losses
are recorded currently. The Fund realizes gains or losses at the time forward
contracts are extinguished.
LOANS OF PORTFOLIO SECURITIES: New Covenant Growth and New Covenant Income Funds
loaned securities during the period to certain brokers, with the Funds'
custodian acting as lending agent. Upon such loans, the Funds receive collateral
which is maintained by the custodian and earns income in the form of negotiated
lenders' fees, which are included in interest income in the Statement of
Operations. On a daily basis, the Funds monitor the market value of securities
loaned and maintain collateral against the securities loaned in an amount not
less than the value of the securities loaned. The Funds may receive collateral
in the form of cash or other eligible securities. Risks may arise upon entering
into securities lending to the extent that the value of the collateral is less
than the value of the securities loaned due to changes in the value of
collateral or the loaned securities.
The value of loaned securities and related collateral outstanding at June 30,
2000, was as follows:
VALUE OF VALUE OF
FUND SECURITIES LOANED COLLATERAL
---- ----------------- ----------
Growth Fund $ 37,912,764 $ 39,198,451
Income Fund 74,805,486 76,474,129
REPURCHASE AGREEMENTS: The Funds may enter into repurchase agreements with a
bank, broker-dealer or other financial institution, which are secured by
obligations of the U.S. Government. Each repurchase agreement is at least 100%
collateralized and marked to market daily. However, in the event of default or
bankruptcy by the counterparty to the agreement, realization of the collateral
may be subject to certain costs, losses or delays.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income of all Funds are declared and paid at least annually. For all Funds, all
net realized long-term or short-term capital gains, if any, will be declared and
distributed at least annually. Interest and dividend payments will normally be
distributed as income dividends on a quarterly basis for each of the Funds.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments of income, gains and
losses on various investment securities held by the Funds, timing differences,
and differing characterizations of distributions made by each of the Funds.
43
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
FEDERAL INCOME TAXES: It is the Funds' intention to continue to qualify as a
regulated investment company by complying with the appropriate provisions of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to shareholders. Accordingly, no provision for federal income tax has been made.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust, on behalf of each Fund, has entered into an Investment Advisory
Agreement with New Covenant Trust Company, N.A. (or the "Adviser"). Under the
Agreement, the Adviser is responsible for managing the Funds' investments as
well as furnishing the Funds with certain administrative services. The Growth
Fund pays the Adviser a monthly fee at the annual rate of 0.99% of the Growth
Fund's average daily net assets and the Income Fund pays the Adviser a monthly
fee at the annual rate of 0.75% of the Income Fund's average daily net assets.
The Adviser does not receive advisory fees for the Balanced Growth and Balanced
Income Funds. The Adviser has entered into Sub-Advisory Agreements with seven
Sub-Advisers to assist in the selection and management of each Fund's investment
securities.
It is the responsibility of the Sub-Advisers, under the direction of the
Adviser, to make day-to-day investment decisions for the Funds. The Adviser pays
each Sub-Adviser a quarterly fee for their services in managing assets of the
Funds. The Adviser pays the Sub-Advisers' fees directly from its own advisory
fees. The Sub-Advisory fees are based on the assets of a Fund to which a
Sub-Adviser is responsible for making investment decisions.
The following are the Sub-Advisers for the Growth Fund: John W. Bristol & Co.,
Inc.; Capital Guardian Trust Company; Lazard Asset Management; Seneca Capital
Management; and Wellington Capital Management.
The following are the Sub-Advisers for the Income Fund: Standish, Ayer & Wood,
Inc. and Tattersall Advisory Group.
The Trust has a Services Agreement with PFPC Inc. ("PFPC"). Under the Services
Agreement, PFPC provides certain transfer agency and administrative services to
the Funds. Fees charged for Fund administration are 0.15% of the first $50
million of total net assets, 0.10% of the next $50 million of total net assets
and 0.05% of total net assets over $100 million. The maximum annual combined fee
for Fund administration is $250,000 for all four Funds. Fees charged for
transfer agency services are $20 per shareholder account for each Fund with a
minimum annual fee of $27,000 per Fund.
The Trust has a Distribution Agreement with Provident Distributors Inc. (the
"Distributor") to serve as the principal distributor of the Funds' shares. The
Funds do not pay any fees to the Distributor in its capacity as principal
distributor.
44
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
4. PURCHASES AND SALES OF SECURITIES
The cost of purchases and proceeds from sales of securities, excluding U.S.
Government and short-term investments, for the year ended June 30, 2000 were as
follows:
--------------------------------------------------------------------------------
FUND PURCHASES SALES
--------------------------------------------------------------------------------
Growth Fund ............................... $1,268,162,213 $1,302,410,519
Income Fund ............................... 1,060,500,444 1,018,237,442
Balanced Growth ........................... 315,123,260 26,634,722
Balanced Income ........................... 127,746,250 14,518,366
--------------------------------------------------------------------------------
The cost of purchases and proceeds from sales of long-term U.S. Government
securities for the year ended June 30, 2000 were as follows:
--------------------------------------------------------------------------------
FUND PURCHASES SALES
--------------------------------------------------------------------------------
Income Fund ............................... $346,658,068 $377,307,517
--------------------------------------------------------------------------------
At June 30, 2000, the aggregate cost of investments, gross unrealized
appreciation and depreciation and net unrealized appreciation/(depreciation) for
federal tax purposes was as follows:
--------------------------------------------------------------------------------
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
FUND COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------------------------------------------------------------------------------
Growth Fund ...... $802,478,926 $145,508,946 $ 45,399,553 $100,109,393
Income Fund ...... 598,043,081 4,365,023 21,940,070 (17,575,047)
Balanced Growth .. 303,273,883 45,822,327 5,982,087 39,840,240
Balanced Income .. 118,488,596 10,040,776 3,736,853 6,303,923
--------------------------------------------------------------------------------
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Growth Fund had the following open forward foreign cross currency contracts
as of June 30, 2000:
--------------------------------------------------------------------------------
NET UNREALIZED
SETTLEMENT APPRECIATION/
CONTRACTS TO RECEIVE IN EXCHANGE FOR DATE (DEPRECIATION)
-------------------------------------------------------------------------------
GBP 25,600 EUR 44,560 08/04/2000 $ (3,876)
GBP 59,944 EUR 96,576 09/05/2000 (1,764)
EUR 1,870,779 AUD, JPY 145,067,282 07/19/2000 45,828
EUR 208,853 GBP 123,077 07/31/2000 13,458
EUR 887,272 AUD, GBP, CAD 1,213,474 08/10/2000 36,133
EUR 187,606 JPY 61,994,880 08/28/2000 (23,739)
EUR 517,844 GBP 325,496 09/01/2000 3,205
EUR 166,014 CAD 233,000 09/07/2000 1,468
EUR 368,874 JPY 35,356,600 11/27/2000 12,930
EUR 943,256 JPY 97,994,880 02/20/2001 (50,944)
-------------------------------------------------------------------------------
$ 32,699
===============================================================================
45
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
The Income Fund had the following open forward foreign currency contracts and
forward foreign cross currency contracts as of June 30, 2000:
--------------------------------------------------------------------------------
NET UNREALIZED
SETTLEMENT APPRECIATION/
CONTRACTS TO RECEIVE IN EXCHANGE FOR DATE (DEPRECIATION)
--------------------------------------------------------------------------------
ARS 678,600 USD 678,980 09/07/2000 $28,980
ARS 289,788 USD 289,950 10/10/2000 3,570
ARS 345,038 USD 345,232 04/17/2002 41,901
HUF 194,212,170 EUR 741,692 08/08/2000 (47)
MXN 2,264,535 USD 230,370 06/23/2003 54,141
SKK 10,451,413 EUR 245,945 09/11/2000 (2,338)
USD 287,457 ARS 287,296 07/10/2000 (1,077)
USD 1,055,430 ARS 1,054,839 04/17/2002 (90,869)
USD 12,123 GBP 8,000 09/20/2000 (102)
USD 48,808 EUR 50,951 08/24/2000 4,742
USD 1,952,562 EUR 2,035,000 09/20/2000 (484)
USD 431,958 EUR 450,000 09/27/2000 (6,550)
USD 100,644 EUR 103,000 08/22/2001 810
USD 638,018 HKD 4,971,316 08/13/2001 (8,631)
--------------------------------------------------------------------------------
$24,046
================================================================================
6. SHARES OF BENEFICIAL INTEREST
The Trust Instrument authorizes the issuance of an unlimited number of shares
for each of the Funds, with a par value of $0.001 per share. Each issued and
outstanding share of each Fund is entitled to participate equally in dividends
and distributions declared by such Fund and in the net assets of such Fund
upon liquidation or dissolution remaining after satisfaction of outstanding
liabilities.
YEAR ENDED 06/30/2000
--------------------------------------------------------------------------------
SHARES AMOUNT
--------------------------------------------------------------------------------
GROWTH FUND:
Sold ......................................... 2,049,892 $ 86,622,044
Conversion proceeds from Presbyterian
Growth Common Trust ....................... 21,214,324 865,685,430
Issued as reinvestment of dividends .......... 51,882 2,155,413
Redeemed ..................................... (1,804,300) (75,803,425)
--------------------------------------------------------------------------------
Net increase ................................. 21,511,798 $878,659,462
================================================================================
YEAR ENDED 06/30/2000
--------------------------------------------------------------------------------
SHARES AMOUNT
--------------------------------------------------------------------------------
INCOME FUND:
Sold ......................................... 2,427,427 $ 59,462,887
Conversion proceeds from Presbyterian
Fixed Income Common Trust ................. 23,310,788 571,501,884
Issued as reinvestment of dividends .......... 63,189 1,527,146
Redeemed ..................................... (1,874,820) (45,029,138)
--------------------------------------------------------------------------------
Net increase ................................. 23,926,584 $587,462,779
================================================================================
46
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
YEAR ENDED 06/30/2000
--------------------------------------------------------------------------------
SHARES AMOUNT
--------------------------------------------------------------------------------
BALANCED GROWTH FUND:
Sold ......................................... 537,929 $ 48,598,046
Conversion proceeds from Presbyterian
Balanced Growth Common Trust .............. 3,470,356 314,086,094
Issued as reinvestment of dividends .......... 106,678 9,754,793
Redeemed ..................................... (377,673) (34,190,476)
--------------------------------------------------------------------------------
Net increase ................................. 3,737,290 $338,248,457
================================================================================
YEAR ENDED 06/30/2000
--------------------------------------------------------------------------------
SHARES AMOUNT
--------------------------------------------------------------------------------
BALANCED INCOME FUND:
Sold ......................................... 688,822 $13,723,452
Conversion proceeds from Presbyterian
Balanced Income Common Trust .............. 6,112,598 123,173,316
Issued as reinvestment of dividends .......... 197,243 3,938,117
Redeemed ..................................... (760,611) (15,142,045)
--------------------------------------------------------------------------------
Net increase ................................. 6,238,052 $125,692,840
================================================================================
7. NEW COVENANT TRUST CONVERSION
On July 1, 1999, pursuant to a plan of reorganization approved by the
shareholders, the Presbyterian Growth Common Trust, Presbyterian Fixed Income
Common Trust, Presbyterian Balanced Growth Common Trust and Presbyterian
Balanced Income Common Trust converted 100% of their assets into the New
Covenant Growth Fund, New Covenant Income Fund, New Covenant Balanced Growth
Fund and New Covenant Balanced Income Fund, respectively. The net assets
immediately before the tax-free conversion, unrealized gain/(loss) included in
that amount and the number of shares issued at the time of the conversion were
as follows:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------
NET ASSETS UNREALIZED
PRIOR TO CONVERSION GAIN/(LOSS) SHARES ISSUED
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Presbyterian Growth Common Trust $865,685,430 $189,158,439 21,214,324
Presbyterian Fixed Income Common Trust 571,501,884 (16,504,192) 23,310,788
Presbyterian Balanced Growth Common Trust 314,086,094 39,603,034 3,470,356
Presbyterian Balanced Income Common Trust 123,173,316 8,450,648 6,112,598
------------------------------------------------------------------------------------------------------
</TABLE>
8. RISK FACTORS
The performance of a Fund's investments in non-U.S. companies and in companies
operating internationally will depend principally on economic conditions in
their product markets, the securities markets where their securities are traded,
and on currency exchange rates. These risks are present because of uncertainty
in future exchange rates back into U.S. dollars, and possible political
instability which could affect foreign financial markets and local economies.
There are also risks related to social and economic developments abroad, as well
as risks resulting from the differences between the regulations to which U.S.
and foreign issuers and markets are subject.
47
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
The Funds will not invest more than 15% of the value of their net assets in
securities that are illiquid because of restrictions on transferability or other
reasons. Repurchase agreements with deemed maturities in excess of seven days
and securities that are not registered under the Securities Act of 1933, as
amended, but that may be purchased by institutional buyers pursuant to Rule 144A
are subject to this 15% limit (unless such securities are variable-amount
master-demand notes with maturities of nine months or less or unless the Board
determines that a liquid trading market exists). The Funds may purchase
securities which are not registered under the Securities Act but which can be
sold to "qualified institutional buyers" in accordance with Rule 144A under the
Securities Act. In some cases, such securities are classified as "illiquid
securities", however, any such security will not be considered illiquid so long
as it is determined by the Adviser, under guidelines approved by the Board of
Trustees, that an adequate trading market exists for that security. This
investment practice could have the effect of increasing the level of illiquidity
in the Fund during any period that qualified institutional buyers become
uninterested in purchasing these restricted securities.
The Income Fund may invest a limited amount of assets in debt securities which
are rated below investment grade (hereinafter referred to as "lower-rated
securities") or which are unrated but deemed equivalent to those rated below
investment grade by the portfolio managers. The lower the ratings of such debt
securities, the greater their risks. These debt instruments generally offer a
higher current yield than that available from higher-grade issues, and typically
involve greater risk. The yields on high-yield/high-risk bonds will fluctuate
over time. In general, prices of all bonds rise when interest rates fall and
fall when interest rates rise. While less sensitive to changing interest rates
than investment-grade debt, lower-rated securities are especially subject to
adverse changes in general economic conditions and to changes in the financial
condition of their issuers. During periods of economic downturn or rising
interest rates, issuers of these instruments may experience financial stress
that could adversely affect their ability to make payments of principal and
interest, and increase the possibility of default.
The Balanced Growth Fund and Balanced Income Fund (the "Balanced Funds"), invest
their assets primarily in the Growth Fund and the Income Fund. By investing
primarily in shares of these Funds, shareholders of the Balanced Funds
indirectly pay a portion of the operating expenses, management expenses and
brokerage costs of the underlying Funds as well as their own operating expenses.
Thus, shareholders of the Balanced Funds may indirectly pay slightly higher
total operating expenses and other costs than they would pay by directly owning
shares of the Growth Fund and Income Fund. Total fees and expenses to be borne
by investors in either Balanced Fund will depend on the portion of the Funds'
assets invested in the Growth Fund and in the Income Fund. A change in the asset
allocation of either Balanced Fund could increase or reduce the fees and
expenses actually borne by investors in that Fund. The Balanced Funds are also
subject to rebalancing risk. Rebalancing activities, while undertaken to
maintain the Fund's investment risk-to-reward ratio, may cause the Fund to
underperform other funds with similar investment objectives. For the Balanced
Growth Fund, it is possible after rebalancing from equities into a greater
percentage of fixed-income securities, that equities will outperform
fixed-income investments. For the Balanced Income Fund, it is possible that
after rebalancing from fixed-income securities into a greater percentage of
equity securities, that fixed-income securities will outperform equity
investments. The performance of the Balanced Growth Fund and the Balanced Income
Fund depends on the performance of the underlying funds in which they invest.
48
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
9. FEDERAL INCOME TAXES
Permanent differences incurred during the year ended June 30, 2000, resulting
from differences in book and tax accounting have been reclassified at year end
to undistributed net investment income, accumulated realized gain/(loss) and
paid-in capital as follows:
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
INCREASE/(DECREASE) INCREASE/(DECREASE) INCREASE/(DECREASE)
PAID-IN UNDISTRIBUTED NET ACCUMULATED
CAPITAL INVESTMENT INCOME REALIZED GAIN/(LOSS)
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Growth Fund ................ $(72,179) $(925,038) $997,217
Income Fund ................ (49,838) 262,841 (213,003)
Balanced Growth Fund ....... (32,653) 55,398 (22,745)
Balanced Income Fund ....... (17,186) 38,438 (21,252)
---------------------------------------------------------------------------------------------
</TABLE>
As of June 30, 2000, the Fund had available for federal tax purposes unused
capital loss carryforwards as follows:
--------------------------------------------------------------------------------
EXPIRING IN 2008
--------------------------------------------------------------------------------
Income Fund ........................................... $6,329,680
--------------------------------------------------------------------------------
49
<PAGE>
REPORT OF INDEPENDENT AUDITORS
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NEW COVENANT FUNDS
JUNE 30, 2000
To the Shareholders and Board of Trustees
New Covenant Funds
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments of New Covenant Growth Fund, New Covenant Income
Fund, New Covenant Balanced Growth Fund and New Covenant Balanced Income Fund
(the "Funds") as of June 30, 2000, and the related statements of operations,
statements of changes in net assets, and financial highlights for the year then
ended. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit.
We conducted our audit in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of June 30, 2000, by correspondence with the
Funds' custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds at June 30, 2000, and the results of their operations,
changes in their net assets, and their financial highlights for the year then
ended, in conformity with accounting principles generally accepted in the United
States.
/S/ ERNST & YOUNG LLP SIGNATURE
Philadelphia, Pennsylvania
August 16, 2000
50
<PAGE>
TAX INFORMATION (UNAUDITED)
--------------------------------------------------------------------------------
NEW COVENANT FUNDS
JUNE 30, 2000
The information set forth below is for the Funds' fiscal year as required by
Federal laws. Shareholders, however, must report distributions on a calendar
year basis for income tax purposes, which may include distributions for portions
of two fiscal years of a fund. Accordingly, the information needed by
shareholders for income tax purposes will be sent to them in early 2001. Please
consult your tax advisor for proper treatment of this information.
Pursuant to Internal Revenue Code Section 852(b)(3), the amounts of long-term
capital gains designated for the fiscal year ended June 30, 2000 were as
follows:
Growth Fund ................................................... $ 92,575,426
Income Fund ................................................... $ --
Balanced Growth Fund .......................................... $ 2,711,873
Balanced Income Fund .......................................... $ 624,855
See accompanying notes to financial statements.
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NCF AR 6/00
