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Previous: NOTTINGHAM INVESTMENT TRUST II, N-30D, 1996-12-11 |
Next: QUALITY SEMICONDUCTOR INC, 8-K, 1996-12-11 |
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Value
Shares (note 1)
------------ --------------
<S> <C>
COMMON STOCKS - 64.14%
Aerospace & Defense - 0.73%
(a) Rockwell International Corporation 1,000 $56,375
---------------
Beverages - 0.73%
PepsiCo, Inc. 2,000 56,500
---------------
Brewery - 1.83%
Adolph Coors Company 3,000 66,000
Anheuser-Busch Companies, Inc. 2,000 75,250
---------------
141,250
---------------
Broadcast - Radio & Television - 0.51%
(a) U S West, Inc. 2,000 33,750
(a) ValueVision International, Inc. 1,000 5,625
---------------
39,375
---------------
Chemicals - 1.52%
Shulman (A.), Inc. 1,000 23,250
WD-40 Company 2,000 94,000
---------------
117,250
---------------
Commercial Services - 1.18%
Crawford & Company 2,000 41,250
Measurex Corporation 1,000 26,375
(a) Pinkerton's, Inc. 1,000 23,875
---------------
91,500
---------------
Computers - 5.16%
(a) AST Research, Inc. 1,000 5,000
(a) Amdahl Corporation 1,500 14,062
(a) Auspex Systems, Inc. 1,000 15,250
(a) Compaq Computer Corporation 3,000 192,375
(a) EMC Corporation 4,500 101,813
(a) Medar, Inc. 3,750 25,781
(a) NetFRAME Systems, Inc. 1,000 2,937
(a) Pinnacle Micro, Inc. 1,500 9,000
(a) Silicon Graphics, Inc. 1,000 22,125
(a) Tandem Computers, Inc. 1,000 10,750
---------------
399,093
---------------
Computer Software & Services - 7.75%
Adobe Systems, Inc. 1,000 37,250
(a) Artisoft, Inc. 2,500 14,531
Automatic Data Processing, Inc. 1,000 43,500
(a) Avid Technology, Inc. 500 6,813
(a) Banyan Systems, Inc. 2,000 10,750
</TABLE>
<PAGE>
(Continued)
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Value
Shares (note 1)
----------- ---------------
<S> <C>
COMMON STOCKS - (Continued)
Computer Software & Services - (Continued)
(a) Cisco Systems, Inc. 4,000 $248,000
(a) Concentra Corporation 1,000 6,125
(a) Cornerstone Imaging, Inc. 500 4,125
(a) FTP Software, Inc. 2,000 14,750
(a) INTERSOLV 3,000 27,750
(a) Interleaf, Inc. 2,000 4,750
(a) NETCOM On-Line Communication Services 500 8,562
(a) Novell, Inc. 3,000 33,000
(a) Parametric Technology Company 2,000 98,750
(a) ParcPlace Digitalk, Inc. 1,000 3,750
(a) Santa Cruz Operation, Inc. 2,000 13,250
(a) Viewlogic Systems, Inc. 2,000 23,250
------------
598,906
------------
Electrical Equipment - 0.83%
(a) Brooks Automation, Inc. 1,000 12,625
(a) Level One Communications, Inc. 1,500 51,375
------------
64,000
------------
Electronics - 4.82%
Logicon, Inc. 3,000 105,375
(a) Mentor Graphics Corporation 1,000 8,875
Motorola, Inc. 1,500 77,438
National Service Industries 2,000 70,000
(a) Sonic Solutions, Inc. 2,500 21,562
(a) VeriFone, Inc. 2,000 89,500
------------
372,750
------------
Electronics - Semiconductor - 2.16%
Intel Corporation 1,000 95,438
(a) LSI Logic Corporation 2,000 46,500
(a) Sierra Semiconductor Corporation 1,000 12,000
(a) Speedfam International, Inc. 1,000 12,875
------------
166,813
------------
Engineering & Construction - 0.41%
Stone & Webster, Inc. 1,000 31,375
------------
Entertainment - 1.48%
(a) GTECH Holdings Corporation 1,000 32,125
The Walt Disney Company 1,300 82,225
------------
114,350
------------
Environmental Control - 0.50%
(a) Harding Lawson Associates Group 1,000 6,000
WMX Technologies, Inc. 1,000 32,875
------------
38,875
------------
</TABLE>
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Value
Shares (note 1)
------------- ------------
<S> <C>
COMMON STOCKS - (Continued)
Financial - Banks, Commercial - 1.28%
Wachovia Corporation 2,000 $99,000
-------------
Food - Processing - 1.04%
(a) Grist Mill Company 3,000 18,750
Lance, Inc. 1,500 25,875
Sara Lee Corporation 1,000 35,750
-------------
80,375
-------------
Food - Wholesale - 0.04%
Earthgrains Company 80 3,090
-------------
Foreign Securities - 3.77%
(a) Cott Corporation 1,000 7,562
(a) Grupo Embotelladoras de Mexico SA de CV 2,000 17,000
(a) Grupo Televisa S.A. 1,000 28,875
Glaxo Wellcome plc 2,000 62,250
Guinness plc 1,500 52,470
Hanson plc 2,000 24,750
Imperial Oil Ltd. 1,000 42,500
Moore Corporation Ltd. 1,500 27,750
Nintendo Company Ltd. 2,000 16,250
Scitex Corporation Ltd. 1,000 12,375
-------------
291,782
-------------
Forest Products & Paper - 0.41%
St. Joe Paper Company 500 32,063
-------------
Household Products & Housewares - 0.63%
Rubbermaid, Inc. 2,000 49,000
-------------
Insurance - Life & Health - 1.51%
Jefferson-Pilot Corporation 2,250 116,438
-------------
Leisure Time - 0.30%
(a) Aldila, Inc. 2,000 7,875
(a) Coastcast Corporation 1,000 15,500
-------------
23,375
-------------
Lodging - 0.13%
(a) John Q Hammons Hotels, Inc. 1,000 9,875
-------------
Medical Supplies - 0.22%
(a) Datascope Corporation 1,000 17,250
-------------
</TABLE>
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Value
Shares (note 1)
-------------- --------------
<S> <C>
COMMON STOCKS - (Continued)
Medical - Hospital Management & Service - 1.05%
(a) Community Psychiatric Centers 2,000 $18,750
United Healthcare Corporation 1,500 62,437
--------------
81,187
--------------
Miscellaneous - Manufacturing - 0.45%
(a) ACX Technologies, Inc. 2,000 34,500
--------------
Office & Business Equipment - 0.71%
Cross (A.T.) Company 1,500 17,250
Deluxe Corporation 1,000 37,750
--------------
55,000
--------------
Oil & Gas - Domestic - 0.30%
Sun Company, Inc. 1,000 23,000
--------------
Oil & Gas - Equipment & Services - 1.09%
Schlumberger, Ltd. 1,000 84,500
--------------
Oil & Gas - Exploration - 0.16%
(a) Parker Drilling Company 2,000 12,750
--------------
Pharmaceuticals - 2.61%
Bristol-Myers Squibb Company 1,000 96,250
Merck & Co., Inc. 1,500 105,562
--------------
201,812
--------------
Publishing - Printing - 1.06%
Readers Digest Association, Inc. 2,000 82,250
--------------
Real Estate - 0.21%
Price Enterprises, Inc. 1,000 16,125
--------------
Restaurants & Food Service - 2.37%
(a) Buffets, Inc. 1,000 10,500
Cracker Barrel Old Country Store, Inc. 5,500 125,125
McDonald's Corporation 1,000 47,375
--------------
183,000
--------------
Retail - Apparel - 1.10%
Cato Corporation 2,000 11,000
DEB Shops, Inc. 2,000 10,000
(a) Designs, Inc. 1,000 6,625
The Limited, Inc. 3,000 57,375
--------------
85,000
--------------
</TABLE>
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Value
Shares (note 1)
-------------- ------------
<S> <C>
COMMON STOCKS - (Continued)
Retail - Department Stores - 1.72%
(a) 50-OFF Stores, Inc. 4,000 $1,125
Wal-Mart Stores, Inc. 5,000 131,875
----------
133,000
----------
Retail - Grocery - 2.22%
Food Lion, Inc. 10,000 90,000
Weis Markets, Inc. 2,500 81,562
----------
171,562
----------
Retail - Specialty Line - 1.16%
Circuit City Stores, Inc. 2,000 72,250
(a) Gibson Greetings, Inc. 1,000 14,500
Sun Television and Appliances, Inc. 1,000 3,250
----------
90,000
----------
Telecommunications - 0.10%
(a) 360 Communications Company 333 7,826
----------
Telecommunications Equipment - 0.15%
(a) Colonial Data Technologies Corporation 1,000 11,375
----------
Textiles - 1.84%
(a) Ashworth, Inc. 2,000 11,250
(a) Burlington Industries, Inc. 1,600 16,000
(a) Cone Mills Corporation 1,000 7,875
Liz Claiborne, Inc. 2,000 74,500
Russell Corporation 1,000 32,250
----------
141,875
----------
Tire & Rubber - 0.60%
The Goodyear Tire & Rubber Company 1,000 46,125
----------
Trucking & Leasing - 0.30%
Caliber System, Inc. 1,000 16,000
Roadway Express, Inc. 500 7,313
----------
23,313
----------
Utilities - Electric - 0.98%
Potomac Electric Power Company 3,000 76,125
----------
Utilities - Telecommunications - 4.55%
AT&T Corporation 1,000 52,250
BellSouth Corporation 2,000 74,000
GTE Corporation 2,000 76,750
Pacific Telesis Group 1,500 50,438
Sprint Corporation 1,000 38,750
(a) US West, Inc. 2,000 59,500
----------
351,688
----------
</TABLE>
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Value
Shares (note 1)
---------------------- ----------------------
<S> <C>
COMMON STOCKS - (Continued)
Wholesale - Special Line - 0.47%
(a) Pomeroy Computer Resources, Inc. 1,100 $36,025
----------------------
Total Common Stocks (Cost $3,784,333) 4,958,698
----------------------
</TABLE>
<TABLE>
<CAPTION>
Interest Maturity
Principal Rate Date
--------------- ----------- -----------
<S> <C>
CORPORATE OBLIGATIONS - 26.17%
A T & T Corporation $50,000 7.500% 06/01/06 51,125
A T & T Corporation 50,000 8.125% 01/15/22 51,250
A T & T Corporation 50,000 8.125% 07/15/24 51,250
A T & T Corporation 100,000 8.625% 12/01/31 104,500
American Express Company 50,000 8.625% 05/15/22 52,287
Anheuser-Busch Companies, Inc. 50,000 8.625% 12/01/16 51,313
Anheuser-Busch Companies, Inc. 25,000 9.000% 12/01/09 28,477
Archer Daniels Midland Corporation 100,000 6.250% 05/15/03 96,094
Archer Daniels Midland Corporation 25,000 8.875% 04/15/11 28,389
BellSouth Telecommunications 50,000 6.250% 05/15/03 48,437
BellSouth Telecommunications 125,000 6.750% 10/15/33 111,563
BellSouth Telecommunications 50,000 7.000% 02/01/05 49,812
BellSouth Telecommunications 25,000 7.875% 08/01/32 25,125
Boeing Company 150,000 8.750% 09/15/31 170,813
Coca-Cola Company 70,000 8.500% 02/01/22 76,759
Du Pont (E.I.) De Nemours & Company 60,000 6.000% 12/01/01 57,750
Du Pont (E.I.) De Nemours & Company 50,000 7.950% 01/15/23 50,263
Du Pont (E.I.) De Nemours & Company 50,000 8.125% 03/15/04 53,203
Duke Power Company 20,000 6.375% 03/01/08 18,200
Duke Power Company 100,000 6.750% 08/01/25 88,375
General Electric Capital Corporation 100,000 8.750% 05/21/07 111,728
International Business Machines 50,000 8.375% 11/01/19 53,500
Morgan Stanley Group, Inc. 75,000 7.500% 02/01/24 69,526
Pacific Telesis Group 100,000 6.250% 03/01/05 93,000
Sears, Roebuck and Company 50,000 9.250% 04/15/98 51,969
Wachovia Corporation 75,000 6.375% 04/15/03 72,472
Wal-Mart Stores, Inc. 25,000 6.500% 06/01/03 26,016
Wal-Mart Stores, Inc. 150,000 8.500% 09/15/24 156,440
Wal-Mart Stores, Inc. 25,000 8.875% 06/29/11 24,422
United Parcel Service of America 50,000 8.375% 04/01/20 55,172
US West, Inc. 50,000 6.875% 09/15/33 43,625
-------------
Total Corporate Obligations (Cost $1,943,177) 2,022,855
-------------
</TABLE>
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Interest Maturity Value
Principal Rate Date (note 1)
---------------- -------------- --------------- ---------------
<S> <C>
REPURCHASE AGREEMENT (b) - 9.18%
Wachovia Bank $710,133 5.750% 10/01/96 $710,133
---------------
(Cost $710,133)
Total Value of Investments (Cost $6,437,643 (c)) 99.49% 7,691,686
Other Assets Less Liabilities 0.51% 39,294
-------- -----------------
Net Assets 100.00% $7,730,980
======== =================
</TABLE>
(a) Non-income producing investment.
(b) The repurchase agreement is fully collateralized by U. S.
government and/or agency obligations based on market prices at
the date of the portfolio. The investment in the repurchase
agreement is through participation in a joint account with other
funds administered by The Nottingham Company.
(c) Aggregate cost for financial reporting and federal income tax
purposes is the same. Unrealized appreciation (depreciation) of
investments for financial reporting and federal income tax
purposes is as follows:
Unrealized appreciation $4,707,919
Unrealized depreciation (3,453,876)
-----------
Net unrealized appreciation $1,254,043
===========
<PAGE>
CAPITAL VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments, at value (cost $6,437,643) $7,691,686
Interest receivable 44,044
Dividends receivable 6,472
Reserve premium 2,350
Prepaid expenses 2,066
----------------
Total assets 7,746,618
----------------
LIABILITIES
Accrued expenses 11,206
Due to investment advisor 2,144
Disbursements in excess of cash on demand deposit 2,288
----------------
Total liabilities 15,638
----------------
NET ASSETS
(applicable to 632,733 Investor Class shares outstanding; unlimited
shares of no par value beneficial interest authorized) $7,730,980
================
NET ASSET VALUE AND REPURCHASE PRICE PER INVESTOR CLASS SHARE
($7,730,980 (divided by) 632,733 shares) $12.22
================
OFFERING PRICE PER SHARE
(100 (divided by) 96.5 of $12.22) $12.66
================
NET ASSETS CONSIST OF
Paid-in capital $6,436,712
Undistributed net investment income 1,447
Undistributed net realized gain on investments 38,778
Net unrealized appreciation on investments 1,254,043
----------------
$7,730,980
================
</TABLE>
See accompanying notes to financial statements
<PAGE>
CAPITAL VALUE FUND
STATEMENT OF OPERATIONS
Period ended September 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income
Interest $91,582
Dividends 47,460
------------
Total income 139,042
------------
Expenses
Investment advisory fees (note 2) 23,119
Distribution fees (note 3) 19,261
Fund accounting fees (note 2) 10,528
Fund administration fees (note 2) 9,633
Professional fees 9,466
Securities pricing fees 5,303
Custody fees 3,336
Shareholder recordkeeping fees 1,123
Registration and filing administration fees 1,103
Shareholder servicing expenses 3,334
Trustee fees and meeting expenses 2,816
Other operating expenses 2,233
Registration and filing expenses 1,433
Printing expenses 706
------------
Total expenses 93,394
------------
Less expense reimbursements (note 2) (187)
------------
Net expenses 93,207
------------
Net investment income 45,835
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain from investment transactions 68,563
Increase in unrealized appreciation on investments 120,601
------------
Net realized and unrealized gain on investments 189,164
------------
Net increase in net assets resulting from operations $234,999
============
</TABLE>
See accompanying notes to financial statements
<PAGE>
CAPITAL VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Unaudited)
<TABLE>
<CAPTION>
Period ended Year ended
September 30, March 31,
1996 1996
-------------------------------------------
<S> <C>
INCREASE IN NET ASSETS
Operations
Net investment income $ 45,835 $ 122,895
Net realized gain from investment transactions 68,563 38,601
Increase in unrealized appreciation on investments 120,601 919,595
---------- ---------
Net increase in net assets resulting from operations 234,999 1,081,091
---------- -----------
Distributions to shareholders from
Net investment income (44,388) (127,074)
Net realized gain from investment transactions 0 (222,742)
---------- -----------
Decrease in net assets resulting from distributions (44,388) (349,816)
---------- -----------
Capital share transactions
Decrease in net assets resulting from capital share transactions (a) (11,435) (44,966)
---------- -----------
Total increase in net assets 179,176 776,241
NET ASSETS
Beginning of period 7,551,803 6,775,562
---------- ------------
End of period (including undistributed net investment income
of $1,447 as of September 30, 1996 and $0
as of March 31, 1996) $7,730,980 $7,551,803
=========== =============
</TABLE>
(a) A summary of capital share activity follows:
<TABLE>
<CAPTION>
Period ended Year ended
September 30, 1996 March 31, 1996
Shares Values Shares Values
---------- ---------- -------- -------------
<S> <C>
Shares sold 517,663
Shares issued for reinvestment
of distributions 24,184 $293,251 44,207 348,199
---------- ---------- -------- -------------
3,604 44,061 29,596 348,199
---------- ---------- -------- -------------
27,788 337,312 73,803 865,862
Shares redeemed (28,819) (348,747) (70,329) (820,896)
---------- --------- -------- -------------
Net increase (decrease) (1,031) $(11,435) 3,474 (44,966)
========== ========= ======= =============
</TABLE>
See accompanying notes to financial statements
<PAGE>
CAPITAL VALUE FUND
FINANCIAL HIGHLIGHTS
(For a Share Outstanding Throughout the Period)
(Unaudited)
<TABLE>
<CAPTION>
Period ended Year ended
September 30, March 31,
1996 1996
---------------------- -------------
<S> <C>
Net asset value, beginning of period $11.92 $10.75
Income from investment operations
Net investment income 0.07 0.19
Net realized and unrealized gain on investments 0.30 1.53
---------------------- ----------------
Total from investment operations 0.37 1.72
---------------------- ----------------
Distributions to shareholders from
Net investment income (0.07) (0.20)
Net realized gain from investment transactions 0.00 (0.35)
---------------------- ----------------
Total distributions (0.07) (0.55)
---------------------- ----------------
Net asset value, end of period $12.22 $11.92
====================== ================
Total return 3.10% 16.16%
====================== ================
Ratios/supplemental data
Net assets, end of period $7,730,980 $7,551,803
====================== ================
Ratio of expenses to average net assets
Before expense reimbursements and waived fees 2.43%(a) 2.56%
After expense reimbursements and waived fees 2.41%(a) 2.33%
Ratio of net investment income to average net assets
Before expense reimbursements and waived fees 1.18%(a) 1.44%
After expense reimbursements and waived fees 1.20%(a) 1.66%
Portfolio turnover rate 4.75% 12.33%
</TABLE>
<TABLE>
<CAPTION>
Year ended Year ended Year ended Year ended
March 31, March 31, March 31, March 31,
1995 1994 1993 1992
------------ ------------ ------------- ------------
<S> <C>
Net asset value, beginning of period $10.42 $10.59 $10.05 $10.09
Income from investment operations
Net investment income 0.17 0.15 0.20 0.19
Net realized and unrealized gain on investments 0.73 0.41 0.88 0.00
---------- ------------- ------------- -------------
Total from investment operations 0.90 0.56 1.08 0.19
---------- ------------- ------------- -------------
Distributions to shareholders from
Net investment income (0.21) (0.11) (0.20) (0.19)
Net realized gain from investment transactions (0.36) (0.62) (0.34) (0.04)
---------- -------------- -------------- -------------
Total distributions (0.57) (0.73) (0.54) (0.23)
---------- ------------- ------------- -------------
Net asset value, end of period 10.75 $10.42 $10.59 $10.05
========== ============== ============== =============
Total return 8.66% 5.21% 11.23% 1.44%
========== ============== ============== =============
Ratios/supplemental data
Net assets, end of period $6,775,562 $6,257,240 $6,042,297 $5,384,160
=========== ============== ============= =============
Ratio of expenses to average net assets
Before expense reimbursements and waived fees 2.58% 2.64% 2.48% 2.96%
After expense reimbursements and waived fees 2.47% 2.43% 2.48% 2.73%
Ratio of net investment income to average net assets
Before expense reimbursements and waived fees 1.55% 1.22% 1.87% 1.81%
After expense reimbursements and waived fees 1.66% 1.43% 1.87% 2.04%
Portfolio turnover rate 24.67% 32.99% 24.79% 14.89%
</TABLE>
(a) Annualized.
See accompanying notes to financial statements
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
September 30, 1996
(Unaudited)
NOTE 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND OTHER INFORMATION
The Capital Value Fund (the "Fund") is a diversified series of
shares of beneficial interest of The Nottingham Investment Trust
II (the "Trust"). The Trust, an open-end investment company, was
organized on October 18, 1990 as a Massachusetts Business Trust
and is registered under the Investment Company Act of 1940, as
amended. The Fund began operations on November 16, 1990.
Pursuant to a plan approved by the Board of Trustees of the Trust,
the existing single class of shares of the Fund was redesignated
as the Investor shares of the Fund on June 15, 1995 and an
additional class of shares, the Institutional shares, was
authorized. To date, only Investor shares have been issued by the
Fund. The Institutional shares will be sold without a sales charge
and will bear no distribution and service fees. The Investor
shares are subject to a maximum 3.50% sales charge and bear
distribution and service fees which may not exceed 0.50% of the
Investor shares' average net assets annually. The following is a
summary of significant accounting policies followed by the Fund.
A. Security Valuation - The Fund's investments in securities
are carried at value. Securities listed on an exchange or
quoted on a national market system are valued at the last
sales price as of 4:00 p.m. New York time on the day of
valuation. Other securities traded in the over-the-counter
market and listed securities for which no sale was reported
on that date are valued at the most recent bid price.
Securities for which market quotations are not readily
available, if any, are valued by using an independent
pricing service or by following procedures approved by the
Board of Trustees. Short-term investments are valued at cost
which approximates value.
B. Federal Income Taxes - No provision has been made for
federal income taxes since it is the policy of the Fund to
comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies and to make
sufficient distributions of taxable income to relieve it
from all federal income taxes.
C. Investment Transactions - Investment transactions are
recorded on the trade date. Realized gains and losses are
determined using the specific identification cost method.
Interest income is recorded daily on the accrual basis.
Dividend income and distributions to shareholders are
recorded on the ex-dividend date.
D. Distributions to Shareholders - The Fund generally declares
dividends quarterly, payable in March, June, September and
December, on a date selected by the Trust's Trustees. In
addition, distributions may be made annually in December out
of net realized gains through October 31 of that year. The
Fund may make a supplemental distribution subsequent to the
end of its fiscal year ending March 31.
The Fund has elected to defer the recognition of $11,768 of
post-October losses for federal income tax purposes. These
capital losses will be recognized during the year ending
March 31, 1997. It is the intention of the Board of Trustees
of the Trust not to distribute any realized gains until
these capital losses have been offset.
(Continued)
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
September 30, 1996
(Unaudited)
E. Use of Estimates - The preparation of financial statements
in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that
affect the amount of assets, liabilities, expenses and
revenues reported in the financial statements. Actual
results could differ from those estimated.
F. Repurchase Agreements - The Fund may acquire U. S.
Government Securities or corporate debt securities subject
to repurchase agreements. A repurchase agreement
transaction occurs when the Fund acquires a security and
simultaneously resells it to the vendor (normally a member
bank of the Federal Reserve or a registered Government
Securities dealer) for delivery on an agreed upon future
date. The repurchase price exceeds the purchase price by an
amount which reflects an agreed upon market interest rate
earned by the Fund effective for the period of time during
which the repurchase agreement is in effect. Delivery
pursuant to the resale typically will occur within one to
five days of the purchase. The Fund will not enter into
repurchase agreement which will cause more than 10% of its
net assets to be invested in repurchase agreements which
extend beyond seven days. In the event of the bankruptcy of
the other party to a repurchase agreement, the Fund could
experience delays in recovering its cash or the securities
lent. To the extent that in the interim the value of the
securities purchased may have declined, the Fund could
experience a loss. In all cases, the creditworthiness of
the other party to a transaction is reviewed and found
satisfactory by the Advisor. Repurchase agreements are, in
effect, loans of Fund assets. The Fund will not engage in
reverse repurchase transactions, which are considered to be
borrowings under the Investment Company Act of 1940, as
amended.
NOTE 2 - INVESTMENT ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS
Pursuant to an investment advisory agreement, Capital Investment
Counsel, Inc. (the "Advisor") provides the Fund with a continuous
program of supervision of the Fund's assets, including the
composition of its portfolio, and furnishes advice and
recommendations with respect to investments, investment policies
and the purchase and sale of securities. As compensation for its
services, the Advisor receives a fee at the annual rate of 0.60%
of the first $250 million of the average daily net assets of the
Fund and 0.50% of average daily net assets over $250 million.
Currently, the Fund does not offer its shares for sale in states
which require limitations to be placed on its expenses. The
Advisor currently intends to voluntarily waive all or a portion of
its fee to limit total Fund operating expenses to 2.50% of the
average daily net assets of the Fund. There can be no assurance
that the foregoing voluntary fee waiver will continue.
The Fund's administrator, The Nottingham Company (the
"Administrator"), provides administrative services to and is
generally responsible for the overall management and day-to-day
operations of the Fund pursuant to an accounting and
administrative agreement with the Trust. As compensation for its
services, the Administrator receives a fee at the annual rate of
0.25% of the Fund's first $10 million of average daily net assets,
0.20% of the next $40 million of average daily net assets, 0.175%
of the next $50 million of average daily net assets, and 0.15% of
average daily net assets over $100 million. The Administrator also
receives a monthly fee of $1,750 for accounting and recordkeeping
services. Additionally, the Administrator charges the Fund for
servicing of shareholder accounts and registration of the Fund's
shares. The contract with the Administrator provides that the
aggregate fees
(Continued)
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
September 30, 1996
(Unaudited)
for the aforementioned administration, accounting and
recordkeeping services shall not be less than $3,000 per month.
The Administrator also charges the Fund for certain expenses
involved with the daily valuation of investment securities.
Capital Investment Group, Inc. (the "Distributor"), an affiliate
of the Advisor, serves as the Fund's principal underwriter and
distributor. The Distributor receives any sales charges imposed on
purchases of shares and re-allocates a portion of such charges to
dealers through whom the sale was made, if any. For the period
ended September 30, 1996, the Distributor retained sales charges
in the amount of $238.
Certain Trustees and officers of the Trust are also officers of
the Advisor, the Distributor or the Administrator.
NOTE 3 - DISTRIBUTION AND SERVICE FEES
The Board of Trustees, including a majority of the Trustees who
are not "interested persons" of the Trust as defined in the
Investment Company Act of 1940 (the "Act"), adopted a distribution
plan pursuant to Rule 12b-1 of the Act (the "Plan"). The Act
regulates the manner in which a regulated investment company may
assume expenses of distributing and promoting the sales of its
shares and servicing of its shareholder accounts.
The Plan provides that the Fund may incur certain expenses, which
may not exceed 0.50% per annum of the Investor shares' average
daily net assets for each year elapsed subsequent to adoption of
the Plan, for payment to the Distributor and others for items such
as advertising expenses, selling expenses, commissions, travel or
other expenses reasonably intended to result in sales of Investor
shares of the Fund or support servicing of shareholder accounts.
Expenditures incurred as service fees may not exceed 0.25% per
annum of the Investor shares' average daily net assets. The Fund
incurred $19,261 of such expenses under the Plan for the period
ended September 30, 1996.
NOTE 4 - DEFERRED ORGANIZATION EXPENSES
All expenses of the Fund incurred in connection with its
organization and the registration of its shares have been assumed
by the Fund. The organization expenses are being amortized over a
period of fifty- four months beginning six months after the Fund's
commencement of operations. Investors purchasing shares of the
Fund bear such expenses only as they are amortized against the
Fund's investment income. Organization expenses were fully
amortized as of March 31, 1996.
(continued)
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
September 30, 1996
(Unaudited)
NOTE 5 - PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of investments, other than short-term
investments, aggregated $341,475 and $810,182, respectively, for
the period ended September 30, 1996.
The Fund's prospectus provides that the Fund will limit foreign
investments to those traded domestically as sponsored American
Depository Receipts (ADR's). At September 30, 1996 Fund
investments included non-ADR foreign securities valued at $106,437
or 1.38% of total investments at value.
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