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Previous: DEFINED ASSET FUNDS MUNICIPAL INVT TR FD MULTISTATE SER 8O, 485BPOS, 1997-06-11 |
Next: NOTTINGHAM INVESTMENT TRUST II, N-30D, 1997-06-11 |
MANAGEMENT'S COMMENTS
CAPITAL VALUE FUND
The Capital Value Fund has enjoyed another good year. The trend for much of the
period was upwardly biased, yet a spike in interest rates in the first quarter
of 1997 caused some discomfort. Another troubling development was the narrow
advance of last year's rally. Back out the 50 largest stocks from the Standard
and Poor's 500 Index, and you find that the remaining 450 returned only 48% of
what their big brothers did. The economy continues to grow at a modest but
sustainable pace. Federal Reserve Chairman Alan Greenspan is hinting at another
increase in interest rates, yet the market continues to rise. We have positioned
the CVF to perform in the coming year. The portfolio consists of traditional
large cap stocks like Federal Express, Cracker Barrel, and Pepsi coupled with a
dose of smaller, nimbler competitors such as EMC, Adobe, and Pomeroy. The names
change every year, but the philosophy remains the same: buy cash rich, debt free
companies who are the leaders in their industries, but are currently selling at
multi-year lows. Large cap stocks should continue to perform at a steady rate,
but a surprise could come from our smaller companies. While large companies have
benefited from intense cost cutting over the past decade, cutting costs does not
increase sales. Many firms such as General Electric have enjoyed 15% growth over
the past five years, but over time their returns should drop back to a more
reasonable 9% to 10%. On the other hand many smaller firms are growing at
tremendous growth rates that have not been reflected in their stock price.
Hopefully, now is the time for these companies to shine. The Dow Jones 30 should
remain in a comfortable trading rage over the summer months, but as more stock
are now participating in the rally we could see another extension to this 15
year old bull market.
<PAGE>
Capital Value Fund
Performance Update - $10,000 Investment
For the period from December 31, 1991 to
March 31, 1997
Capital Value Fund 60% S&P/40% Lehman
31-Dec-91 9,650.00 10,000.00
31-Mar-92 9,541.00 9,797.00
30-Jun-92 9,729.00 10,068.00
30-Sep-92 9,929.00 10,432.00
31-Dec-92 10,159.00 10,753.00
31-Mar-93 10,616.00 11,213.00
30-Jun-93 10,739.00 11,364.00
30-Sep-93 10,898.00 11,659.00
31-Dec-93 11,255.00 11,823.00
31-Mar-94 11,099.00 11,418.00
30-Jun-94 10,927.00 11,400.00
30-Sep-94 11,395.00 11,763.00
31-Dec-94 11,363.00 11,779.00
31-Mar-95 12,084.00 12,711.00
30-Jun-95 13,050.00 13,759.00
30-Sep-95 13,474.00 14,547.00
31-Dec-95 13,802.00 15,331.00
31-Mar-96 14,037.00 15,767.00
30-Jun-96 14,438.00 16,266.00
30-Sep-96 14,473.00 16,702.00
31-Dec-96 15,164.00 17,803.00
31-Mar-97 15,031.00 18,098.00
This graph depicts the performance of the Capital Value Fund versus a combined
index of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index. It is
important to note the Capital Value Fund is a professionally managed mutual fund
while the indexes are not available for investment and are unmanaged. The
comparison is shown for illustrative purposes only.
Average Annual Total Return
Since Inception One Year Five Years
- -------------------------------------------------------------------------------
No Sales Load 8.80% 7.08% 9.52%
- -------------------------------------------------------------------------------
Maximum 3.5% Sales Load 8.07% 3.33% 8.74%
- -------------------------------------------------------------------------------
The graph assumes an initial $10,000 investment at December 31, 1991 ($9,650
after maximum sales load of 3.5%). All dividends and distributions are
reinvested.
At March 31, 1997, the Fund would have grown to $15,031 - total investment
return of 50.31% since December 31, 1991. Without the deduction of the 3.5%
maximum sales load, the Fund would have grown to $15,577 - total investment
return of 55.77% since December 31, 1991. The sales load is reduced or
eliminated for larger purchases.
At March 31, 1997, a similar investment in a combined index of 60% S&P 500 and
40% Lehman Brothers Aggregate Bond Index would have grown to $18,098 - total
investment return of 80.98% since December 31, 1991.
Past performance is not a guarantee of future performance. A mutual fund's share
price and investment return will vary with market conditions, and the principal
value of shares, when redeemed, may be worth more or less than the original
cost. Average annual returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming
reinvestments of dividends.
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
March 31, 1997
Value
Shares (note 1)
--------------- -----------------
COMMON STOCKS - 68.77%
Aerospace & Defense - 0.89%
The Boeing Company 42 $4,142
Rockwell International Corporation 1,000 64,875
-----------------
69,017
-----------------
Beverages - 0.84%
PepsiCo, Inc. 2,000 65,250
-----------------
Brewery - 1.91%
Adolph Coors Company 3,000 63,750
Anheuser-Busch Companies, Inc. 2,000 84,250
-----------------
148,000
-----------------
Broadcast - Radio & Television - 0.54%
(a) U S West, Inc. 2,000 37,250
(a) ValueVision International, Inc. 1,000 4,438
-----------------
41,688
-----------------
Chemicals - 1.57%
Shulman (A.), Inc. 1,000 19,000
WD-40 Company 2,000 102,000
-----------------
121,000
-----------------
Commercial Services - 0.96%
Crawford & Company 3,000 43,875
InteliData Technologies Corp. 1,000 5,000
Pinkerton's, Inc. 1,000 25,750
-----------------
74,625
-----------------
Computers - 6.15%
(a) AST Research, Inc. 1,000 4,750
(a) Amdahl Corporation 1,500 14,062
(a) Auspex Systems, Inc. 1,000 11,562
(a) Compaq Computer Corporation 3,000 229,875
(a) EMC Corporation 4,500 158,625
(a) Medar, Inc. 3,750 20,156
(a) NetFRAME Systems, Inc. 1,000 1,750
(a) Pinnacle Micro, Inc. 1,500 3,843
(a) Silicon Graphics, Inc. 1,000 19,500
(a) Tandem Computers, Inc. 1,000 11,875
-----------------
475,998
-----------------
Computer Software & Services - 7.80%
Adobe Systems, Inc. 1,000 40,125
(a) Artisoft, Inc. 2,500 7,812
Automatic Data Processing, Inc. 1,000 41,875
(a) Avid Technology, Inc. 500 6,593
Banyan Systems, Inc. 2,000 4,125
(a) Cadence Design Systems, Inc. 1,000 34,500
(a) Cisco Systems, Inc. 4,000 192,500
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
March 31, 1997
Value
Shares (note 1)
--------------- -----------------
COMMON STOCKS - (Continued)
Computer Software & Services - (Continued)
(a) Concentra Corporation 1,000 $5,250
(a) Cornerstone Imaging, Inc. 500 3,625
(a) FTP Software, Inc. 2,000 11,625
(a) Fractal Design Corporation 1,000 7,250
(a) Interleaf, Inc. 2,000 3,125
(a) INTERSOLV 3,000 25,125
(a) InterVoice, Inc. 1,000 10,750
(a) Metatec Corporation 1,000 4,015
(a) MetaTools, Inc. 1,000 10,000
(a) NETCOM On-Line Communication Services, Inc. 500 4,813
(a) Netscape Communications Corporation 500 15,031
(a) Novell, Inc. 3,000 28,500
(a) Parametric Technology Company 2,000 90,250
(a) ParcPlace Digitalk, Inc. 1,000 1,500
(a) Santa Cruz Operation, Inc. 2,000 12,500
(a) Spyglass, Inc. 1,000 7,125
(a) Verity, Inc. 1,000 7,750
(a) Viewlogic Systems, Inc. 2,000 27,875
-----------------
603,639
-----------------
Electrical Equipment - 0.73%
(a) Brooks Automation, Inc. 1,000 14,875
(a) Level One Communications, Inc. 1,500 41,250
-----------------
56,125
-----------------
Electronics - 4.70%
Logicon, Inc. 3,000 106,125
(a) Mentor Graphics Corporation 1,000 8,375
Motorola, Inc. 1,500 90,563
National Service Industries 2,000 78,250
(a) Sonic Solutions, Inc. 2,500 15,625
(a) VeriFone, Inc. 2,000 65,000
-----------------
363,938
-----------------
Electronics - Semiconductor - 3.33%
Intel Corporation 1,000 139,125
(a) LSI Logic Corporation 2,000 69,500
(a) Sierra Semiconductor Corporation 1,000 16,125
(a) Speedfam International, Inc. 1,000 33,000
-----------------
257,750
-----------------
Engineering & Construction - 0.47%
(a) Stone & Webster, Inc. 1,000 36,750
-----------------
Entertainment - 1.62%
GTECH Holdings Corporation 1,000 30,125
The Walt Disney Company 1,300 94,900
-----------------
125,025
-----------------
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
March 31, 1997
Value
Shares (note 1)
--------------- -----------------
COMMON STOCKS - (Continued)
Environmental Control - 0.48%
(a) Harding Lawson Associates Group 1,000 $6,875
WMX Technologies, Inc. 1,000 30,625
-----------------
37,500
-----------------
Financial - Banks, Commercial - 1.41%
Wachovia Corporation 2,000 109,000
-----------------
Food - Processing - 1.10%
(a) Grist Mill Company 3,000 17,625
Lance, Inc. 1,500 27,000
Sara Lee Corporation 1,000 40,500
-----------------
85,125
-----------------
Foreign Securities - 3.93%
(a) Cott Corporation 1,000 9,875
Energy Group PLC - ADR 250 8,031
Glaxo Wellcome plc - ADR 2,000 70,750
(a) Grupo Embotelladoras de Mexico S.A. de CV - ADR 2,000 19,750
(a) Grupo Televisa S.A. - ADR 1,000 24,875
Guinness plc - ADR 1,500 62,700
Hanson plc - ADR 250 5,688
Imperial Oil Ltd. 1,000 46,625
Moore Corporation Ltd. 1,500 30,000
Nintendo Company Ltd. 2,000 17,500
Scitex Corporation Ltd. 1,000 8,500
-----------------
304,294
-----------------
Forest Products & Paper - 0.48%
St. Joe Corporation 500 36,937
-----------------
Household Products & Housewares - 0.64%
Rubbermaid, Inc. 2,000 49,750
-----------------
Insurance - Life & Health - 1.58%
Jefferson-Pilot Corporation 2,250 122,344
-----------------
Leisure Time - 0.29%
(a) Aldila, Inc. 2,000 9,375
(a) Coastcast Corporation 1,000 13,125
-----------------
22,500
-----------------
Lodging - 0.12%
(a) John Q Hammons Hotels, Inc. 1,000 9,000
-----------------
Medical - Hospital Management & Service - 0.22%
(a) Transitional Hospitals Corp. 2,000 17,250
-----------------
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
March 31, 1997
Value
Shares (note 1)
--------------- -----------------
COMMON STOCKS - (Continued)
Medical Supplies - 0.24%
(a) Datascope Corporation 1,000 $18,250
-----------------
Miscellaneous - Manufacturing - 0.70%
(a) ACX Technologies, Inc. 2,000 38,500
Cross (A.T.) Company 1,500 15,375
-----------------
53,875
-----------------
Oil & Gas - Domestic - 0.34%
Sun Company, Inc. 1,000 26,125
-----------------
Oil & Gas - Equipment & Services - 1.39%
Schlumberger, Ltd. 1,000 107,250
-----------------
Oil & Gas - Exploration - 0.22%
Parker Drilling Company 2,000 16,750
-----------------
Pharmaceuticals - 3.21%
Bristol-Myers Squibb Company 2,000 121,500
Merck & Co., Inc. 1,500 126,563
-----------------
248,063
-----------------
Publishing - Printing - 1.16%
Deluxe Corporation 1,000 32,375
Readers Digest Association, Inc. 2,000 57,500
-----------------
89,875
-----------------
Real Estate - 0.24%
Price Enterprises, Inc. 1,000 18,375
-----------------
Restaurants & Food Service - 2.56%
(a) Buffets, Inc. 1,000 7,188
Cracker Barrel Old Country Store, Inc. 5,500 143,688
McDonald's Corporation 1,000 47,250
-----------------
198,126
-----------------
Retail - Apparel - 1.05%
Cato Corporation 2,000 11,500
DEB Shops, Inc. 2,000 9,000
Designs, Inc. 1,000 5,625
The Limited, Inc. 3,000 55,125
-----------------
81,250
-----------------
Retail - Department Stores - 1.80%
(a) 50-OFF Stores, Inc. 4,000 240
Wal-Mart Stores, Inc. 5,000 139,375
-----------------
139,615
-----------------
Retail - Grocery - 1.95%
Food Lion, Inc. 10,000 81,875
Weis Markets, Inc. 2,500 69,375
-----------------
151,250
-----------------
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
March 31, 1997
Value
Shares (note 1)
--------------- -----------------
COMMON STOCKS - (Continued)
Retail - Specialty Line - 1.16%
Circuit City Stores-Circuit City Group 2,000 $66,750
(a) Gibson Greetings, Inc. 1,000 20,750
Sun Television and Appliances, Inc. 1,000 2,000
-----------------
89,500
-----------------
Telecommunications - 0.39%
(a) 360 Communications Company 333 5,744
(a) Cone Mills Corporation 1,000 7,375
Lucent Technologies, Inc. 324 17,091
-----------------
30,210
-----------------
Telecommunications Equipment - 0.10%
(a) Premisys Communications, Inc. 1,000 8,125
-----------------
Textiles - 2.03%
(a) Ashworth, Inc. 2,000 16,000
(a) Burlington Industries, Inc. 1,600 18,400
Liz Claiborne, Inc. 2,000 87,250
Russell Corporation 1,000 35,750
-----------------
157,400
-----------------
Tire & Rubber - 0.68%
The Goodyear Tire & Rubber Company 1,000 52,250
-----------------
Transportation - Air - 1.01%
Federal Express Corporation 1,500 78,188
-----------------
Trucking & Leasing - 0.47%
Caliber System, Inc. 1,000 26,500
Roadway Express, Inc. 500 9,688
-----------------
36,188
-----------------
Utilities - Electric - 0.95%
Potomac Electric Power Company 3,000 73,500
-----------------
Utilities - Telecommunications - 4.94%
A T & T Corporation 1,000 34,750
BellSouth Corporation 2,000 84,500
GTE Corporation 2,000 93,250
Pacific Telesis Group 1,500 56,625
Sprint Corporation 1,000 45,500
U S WEST Communications Group 2,000 67,750
-----------------
382,375
-----------------
Wholesale - Specialty Line - 0.42%
Pomeroy Computer Resources, Inc. 1,650 32,588
-----------------
Total Common Stocks (Cost $3,884,489) 5,321,633
-----------------
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
March 31, 1997
Interest Maturity Value
Principal Rate Date (note 1)
------------- ------------- --------------- ------------
CORPORATE OBLIGATIONS - 25.51%
A T & T Corporation $50,000 7.500% 06/01/06 $50,500
A T & T Corporation 50,000 8.125% 01/15/22 49,938
A T & T Corporation 50,000 8.125% 07/15/24 49,875
A T & T Corporation 100,000 8.625% 12/01/31 104,000
American Express Company 50,000 8.625% 05/15/22 51,019
Anheuser-Busch Companies, Inc. 25,000 8.625% 12/01/16 25,625
Anheuser-Busch Companies, Inc. 25,000 9.000% 12/01/09 28,031
Archer Daniels Midland Corporation 100,000 6.250% 05/15/03 94,875
Archer Daniels Midland Corporation 25,000 8.875% 04/15/11 28,089
BellSouth Telecommunications 50,000 6.250% 05/15/03 47,500
BellSouth Telecommunications 125,000 6.750% 10/15/33 109,375
BellSouth Telecommunications 50,000 7.000% 02/01/05 49,250
BellSouth Telecommunications 25,000 7.875% 08/01/32 24,688
Du Pont (E.I.) De Nemours & Company 60,000 6.000% 12/01/01 57,600
Du Pont (E.I.) De Nemours & Company 50,000 7.950% 01/15/23 48,828
Du Pont (E.I.) De Nemours & Company 50,000 8.125% 03/15/04 52,047
Duke Power Company 20,000 6.375% 03/01/08 18,300
Duke Power Company 100,000 6.750% 08/01/25 86,125
General Electric Capital Corporation 100,000 8.750% 05/21/07 110,075
International Business Machines 50,000 8.375% 11/01/19 53,063
Morgan Stanley Group, Inc. 75,000 7.500% 02/01/24 69,864
Pacific Bell 100,000 6.250% 03/01/05 93,250
Sears, Roebuck and Company 50,000 9.250% 04/15/98 51,375
The Boeing Company 150,000 8.750% 09/15/31 170,837
The Coca-Cola Company 70,000 8.500% 02/01/22 74,594
United Parcel Service of America 50,000 8.375% 04/01/20 54,219
U S West, Inc. 50,000 6.875% 09/15/33 42,984
Wachovia Corporation 75,000 6.375% 04/15/03 71,930
Wal-Mart Stores, Inc. 75,000 6.500% 06/01/03 24,156
Wal-Mart Stores, Inc. 25,000 8.500% 09/15/24 26,083
Wal-Mart Stores, Inc. 150,000 8.875% 06/29/11 156,080
-----------------
Total Corporate Obligations (Cost $1,920,966) 1,974,175
-----------------
(Continued)
<PAGE>
CAPITAL VALUE FUND
PORTFOLIO OF INVESTMENTS
March 31, 1997
Interest Maturity Value
Principal Rate Date (note 1)
------------- ------------- --------------- ------------
REPURCHASE AGREEMENT (b) - 4.62%
Wachovia Bank, dated March 31, 1997 $357,601 6.50% 04/01/97 $357,601
------------
(Cost $357,601)
Total Value of Investments (Cost $6,163,056 (c)) 98.90% $7,653,409
Other Assets Less Liabilities 1.10% 84,846
--------------- ------------
Net Assets 100.00% $7,738,255
=============== ============
(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 (Note 1).
(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 $1,908,658
Unrealized depreciation (418,305)
-----------------
Net unrealized appreciation $1,490,353
=================
See accompanying notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CAPITAL VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1997
ASSETS
Investments, at value (cost $6,163,056) $7,653,409
Cash 8,330
Income receivable 48,976
Receivable for investments sold 40,000
Prepaid expenses 392
Other assets 2,350
--------------
Total assets 7,753,457
--------------
LIABILITIES
Accrued expenses 15,202
--------------
NET ASSETS
(applicable to 618,963 Investor Class Shares outstanding; unlimited
shares of no par value beneficial interest authorized) $7,738,255
==============
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE PER
INVESTOR CLASS SHARE
($7,738,255 / 618,963 shares) $12.50
==============
MAXIMUM OFFERING PRICE PER INVESTOR CLASS SHARE
(100 / 96.5 of $12.50) $12.95
==============
NET ASSETS CONSIST OF
Paid-in capital $6,247,902
Net unrealized appreciation on investments 1,490,353
--------------
$7,738,255
==============
See accompanying notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CAPITAL VALUE FUND
STATEMENT OF OPERATIONS
Year ended March 31, 1997
INVESTMENT INCOME
Income
Interest $184,630
Dividends 89,296
Miscellaneous 219
---------------
Total income 274,145
---------------
Expenses
Investment advisory fees (note 2) 47,054
Fund administration fees (note 2) 19,605
Distribution and service fees (note 3) 39,206
Custody fees 7,998
Registration and filing administration fees (note 2) 2,369
Fund accounting fees (note 2) 21,000
Audit fees 4,274
Legal fees 9,500
Securities pricing fees 11,700
Shareholder recordkeeping fees 2,179
Shareholder servicing expenses 4,995
Registration and filing expenses 3,018
Printing expenses 2,016
Trustee fees and meeting expenses 6,751
Other operating expenses 4,570
---------------
Total expenses 186,235
---------------
Net investment income 87,910
---------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain from investment transactions 98,880
Increase in unrealized appreciation on investments 356,911
---------------
Net realized and unrealized gain on investments 455,791
---------------
Net increase in net assets resulting from operations $543,701
===============
See accompanying notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CAPITAL VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended Year ended
March 31, March 31,
1997 1996
- ------------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
Operations
Net investment income $87,910 $122,895
Net realized gain from investment transactions 98,880 38,601
Increase in unrealized appreciation on investments 356,911 919,595
------- -------
Net increase in net assets resulting from operations 543,701 1,081,091
------- ---------
Distributions to shareholders from
Net investment income (87,910) (127,074)
Tax return of capital (8,006) 0
Net realized gain from investment transactions (69,095) (222,742)
------- --------
Decrease in net assets resulting from distributions (165,011) (349,816)
-------- --------
Capital share transactions
Increase (decrease) in net assets resulting from capital share transactions (192,238) 44,966
-------- ------
Total increase in net assets 186,452 776,241
======= =======
NET ASSETS
Beginning of year 7,551,803 6,775,562
========= =========
End of year $7,738,255 $7,551,803
=========== =========
(a) A summary of capital share activity follows:
- -------------------------------------------------------------------------------------------------------------
Year ended Year ended
March 31, 1997 March 31, 1996
- -------------------------------------------------------------------------------------------------------------
Shares Value Shares Value
---------- ---------- --------- ---------
Shares sold 44,461 $551,414 44,207 $517,663
------ -------- ------ --------
Shares issued for reinvestment
of distributions 13,109 163,984 29,596 348,199
------ ------- ------ -------
57,570 715,398 73,803 865,862
------ ------- ------ -------
Shares redeemed (72,371) (907,636) (70,329) (820,896)
------- -------- ------- --------
Net increase (decrease) (14,801) $(192,238) 3,474 $44,966
======= ========= ===== =======
See accompanying notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CAPITAL VALUE FUND
FINANCIAL HIGHLIGHTS
(For a Share Outstanding Throughout the Year)
- --------------------------------------------------------------------------------------------------------------------------------
Year ended Year ended Year ended Year ended Year ended
March 31, March 31, March 31, March 31, March 31,
1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year $11.92 $10.75 $10.42 $10.59 $10.05
Income from investment operations
Net investment income 0.15 0.19 0.17 0.15 0.20
Net realized and unrealized gain on investments 0.70 1.53 0.73 0.41 0.88
---- ---- ---- ---- ----
Total from investment operations 0.85 1.72 0.90 0.56 1.08
---- ---- ---- ---- ----
Distributions to shareholders from
Net investment income (0.15) (0.20) (0.21) (0.11) (0.20)
Tax return of capital (0.01) 0.00 0.00 0.00 0.00
Net realized gain from investment transactions (0.11) (0.35) (0.36) (0.62) (0.34)
----- ----- ----- ----- -----
Total distributions (0.27) (0.55) (0.57) (0.73) (0.54)
----- ----- ----- ----- -----
Net asset value, end of year $12.50 $11.92 $10.75 $10.42 $10.59
====== ====== ====== ====== ======
Total return 7.08% 16.16% 8.66% 5.21% 11.23%
Ratios/supplemental data
Net assets, end of year $7,738,255 $7,551,803 $6,775,562 $6,257,240 $6,042,297
========== ========== ========== ========== ==========
Ratio of expenses to average net assets
Before expense reimbursements and waived fees 2.38 % 2.56 % 2.58 % 2.64 % 2.48 %
After expense reimbursements and waived fees 2.38 % 2.33 % 2.47 % 2.43 % 2.48 %
Ratio of net investment income to average net assets
Before expense reimbursements and waived fees 1.12 % 1.44 % 1.55 % 1.22 % 1.87 %
After expense reimbursements and waived fees 1.12 % 1.66 % 1.66 % 1.43 % 1.87 %
Portfolio turnover rate 7.31 % 12.33 % 24.67 % 32.99 % 24.79 %
Average broker commissions per share (a) $0.10
(a) Represents total commission paid on portfolio securities divided by total
portfolio shares purchased or sold on which commissions were charged. This
disclosure is required for fiscal years beginning on or after September 1,
1995.
See accompanying notes to financial state
</TABLE>
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
March 31, 1997
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-ended 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 investment objective of the Fund is to provide its
shareholders with a maximum total return consisting of any combination of
capital appreciation, both realized and unrealized, and income under the
constantly varying market conditions by investing in a flexible portfolio of
equity securities, fixed income securities, and money market instruments. 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 Class of
shares of the Fund on June 15, 1995 and an additional class of shares, the
Institutional shares, was authorized. To date, only Investor Class shares have
been issued by the Fund. The Institutional Class shares will be sold without a
sales charge and will bear no distribution and service fees. The Investor Class
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 Class 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 - The Fund is considered a personal holding company as
defined under Section 542 of the Internal Revenue Code since 50% of the
value of the Fund's shares were owned directly or indirectly by five or
fewer individuals at certain times during the last half of the year. As a
personal holding company, the Fund is subject to federal income taxes on
undistributed personal holding company income at the maximum individual
income tax rate. No provision has been made for federal income taxes since
substantially all taxable income has been distributed to shareholders. 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.
Net investment income (loss) and net realized gains (losses) may differ for
financial statement and income tax purposes primarily because of losses
incurred subsequent to October 31, which are deferred for income tax
purposes. The character of distributions made during the year from net
investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. Also, due to the timing
of dividend distributions, the fiscal year in which amounts are distributed
may differ from the year that the income or realized gains were recorded by
the Fund.
(Continued)
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
March 31, 1997
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 is 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. Distributions to shareholders are recorded on the ex-dividend date.
The Fund may make a supplemental distribution subsequent to the end of its
fiscal year ending March 31.
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.
(Continued)
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
March 31, 1997
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 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 year ended March 31, 1997, the Distributor retained sales charges in the
amount of $597.
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"), as amended, 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 Class 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 Class shares' average daily net assets. The Fund incurred $39,206 of
such expenses under the Plan for the year ended March 31, 1997.
NOTE 4 - PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of investments, other than short-term investments,
aggregated $534,413 and $951,914, respectively, for the year ended March 31,
1997.
(Continued)
<PAGE>
CAPITAL VALUE FUND
NOTES TO FINANCIAL STATEMENTS
March 31, 1997
The Fund's prospectus provides that the Fund will generally limit foreign
investments to those traded domestically as sponsored American Depository
Receipts (ADR's). At March 31, 1997, Fund investments included non-ADR foreign
securities valued at $112,500 or 1.47% of total investments at value.
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Board of Trustees and Shareholders of
The Nottingham Investment Trust II:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of the Capital Value Fund (a portfolio of The
Nottingham Investment Trust II) as of March 31, 1997, and the related statements
of operations and changes in net assets, and financial highlights for the year
then ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit. The statement of changes in net assets for the year ended March 31, 1996
and the financial highlights for the four years in the period ended March 31,
1996 were audited by other auditors, whose reports thereon dated May 14, 1996,
expressed an unqualified opinion.
We conducted our audit in accordance with generally accepted auditing standards.
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. Our
procedures included confirmation of the securities owned as of March 31, 1997 by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. 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 1997 financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
Capital Value Fund as of March 31, 1997, the results of its operations, the
changes in its net assets and its financial highlights for the year then ended
in conformity with generally accepted accounting principles.
/S/ DELOITTE & TOUCHE LLP
Pittsburgh, Pennsylvania
April 25, 1997
<PAGE>
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