COVENTRY GROUP, N-30D, 1996-06-05

COVENTRY GROUP
N-30D, 1996-06-05

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<PAGE>

The Shelby Fund
- --------------------------------------------------------------------------------

Dear Shareholder:
The first quarter of 1996 was very similar to the first quarter of 1995, as the
indices outperformed most funds and money managers. The S&P 500 returned 5.37%
in the quarter, the Russell 2000 returned 5.10% and the Shelby Fund trailed,
returning only 0.77%. For the trailing twelve month period, however, the fund
returned 31.41% versus 32.12% for the S&P 500 and 29.00% from the Russell 2000.
It seems that for the past two years liquidity has been dominated by 401(k) and
defined pension contributions finding their way into the markets during the
first quarter primarily in the form of index funds.

[Graph Appears Here]
VALUE OF $10,000 INVESTMENT

<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------
FUND/INDEX NAME 01/01/81 03/31/81 03/31/82 03/31/83 03/31/84 03/31/85 03/31/86 03/31/87 03/31/88
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
SHELBY FUND
- ----------------------------------------------------------------------------------------------------------------------------------
Shelby Fund $10,000 $10,393 $12,357 $16,633 $16,447 $16,800 $20,888 $24,001 $22,835
- ----------------------------------------------------------------------------------------------------------------------------------
S&P 500 $10,000 $10,596 $9,226 $13,287 $14,457 $17,189 $23,697 $29,860 $27,420
- ----------------------------------------------------------------------------------------------------------------------------------
Russell 2000 $10,000 $10,869 $9,287 $15,028 $15,416 $17,448 $22,915 $26,372 $23,045
- ----------------------------------------------------------------------------------------------------------------------------------

<CAPTION>
03/31/89 03/31/90 03/31/91 03/31/92 03/31/93 03/31/94 03/31/95 03/31/96
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$25,311 $31,849 $41,125 $47,666 $58,187 $66,912 $70,162 $92,201
-----------------------------------------------------------------------------------------------------
$32,378 $38,576 $44,124 $48,999 $56,459 $57,276 $66,199 $87,412
-----------------------------------------------------------------------------------------------------
$26,033 $27,475 $29,341 $35,508 $40,783 $45,272 $47,764 $61,656
-----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Return*
<S> <C> <C>
1 year: 31.41%
5 year: 17.52%
10 year: 16.01%
Since inception: 15.67%
</TABLE>

Past performance is not predictive of future results.

* The quoted performance of The Shelby Fund includes performance of certain
common trust funds and collective investment funds (the "Commingled Funds")
which were managed with full investment authority by principals of SMC Capital,
Inc. prior to the establishment of the Fund on July 1, 1994. The assets of the
Commingled Funds were converted into assets of the Fund upon the establishment
of the Fund. These Commingled Funds were operated with the same investment
objective and used investment strategies and techniques that are in all
material respects equivalent to those used for the Fund. During the time period
of their existence the Commingled Funds were not registered under the
Investment Company Act of 1940 (the "1940 Act") and therefore were not subject
to certain investment restrictions that are imposed under the 1940 Act. If the
Commingled Funds had been registered under the 1940 Act, the Commingled Funds'
performance may have been adversely affected.

We also experienced some of the same deterioration from the technology sector
during the first quarter, which was so pervasive in the fourth quarter. The
first two weeks of the year were particularly difficult as we had a couple of
earnings disappointments which led to the fund being down over 11% by January
15th. While we are disappointed with the first quarter results, we were very
encouraged by how the portfolio responded through the end of the period as we
made several wholesale changes. Our exposure to semiconductors and companies
related to the personal computer arena is now very minimal. We have focused our
technology weighting more towards telecommunications and networking, with
companies such as Ascend Communications, FORE Systems and Stratacom. In
addition, the fund's exposure to healthcare has been increased, which includes
a 12% weighting in biotechnology. In the consumer niche area, we had several
bright spots, including Just for Feet, Papa John's International, Oakley and
Landry's Seafood Restaurants. As a result, the fund closed the quarter in
strong fashion.

We are very excited with how the portfolio is positioned going forward. As we
enter the second quarter, our companies are reporting outstanding results and
more importantly, the stocks are responding by going up. One of our larger
holdings, Meridian Data, is up over 50% since March 31st, as the company
reported first quarter results 50% above expectations. We feel this type of
environment could continue over the next several months, just as it did from
May through September of 1995. The dollar is strengthening just as it did
during the same

- --------------------------------------------------------------------------------
-1-
<PAGE>

The Shelby Fund
- -------------------------------------------------------------------------------
period last year, and we feel the bond market will be a benign factor in the
coming months. We want to stress that we do not put a lot of credence in what
the bond market does in the context of the 30-year Treasury bond. Competition
for liquidity in the financial markets is centered around the short end of the
curve. Three month bills have only risen from a low of 4.9% to 5.2%.
Typically, bear markets or severe corrections do not occur until these rates
rise by an absolute 30%. Thus, it would take bill rates of 6.35% to really
choke off the economy, as well as the stock market.

In summary, we are quite bullish for the prospects of small to mid-size
capitalization growth stocks. This is where the greatest opportunity for
growth in the United States lies. In addition, the larger companies in America
have basically grown profits by cutting expenses, mainly labor costs. The rate
of revenue growth for the S&P 400 Industrials thus far in this decade is only
3.5%. This pales in comparison to the 10% level of the seventies and is
virtually half the rate of growth in the fifties and sixties. Ultimately,
companies have to exhibit unit volume growth and market share gains. Stock
prices have always followed earnings, ultimately. This is why we are so
enthusiastic about the prospects of the companies which we own.

/s/ B. Anthony Weber /s/ Darrell Wells

B. Anthony Weber Darrell Wells
Investment Advisor Investment Advisor

April 18, 1996

The performance of the Fund is measured against the Standard & Poor's 500
Index, an unmanaged index generally representative of the U.S. stock market,
and the Russell 2000 Index, an index of small cap stocks. These indices do not
reflect the deduction of expenses associated with a mutual fund, such as
investment management and fund accounting fees. However, the Fund's
performance reflects the deduction of the fees for these value-added services.

Performance data represents past performance and is not predictive of future
performance. Investment return and the principal value of an investment in the
Fund will fluctuate so that an investor's shares, when redeemed, may be worth
more or less than their original cost. The composition of the Fund's holdings
is subject to change.

For more complete information, including charges and expenses, call 1-800-774-
3529 for a prospectus, which you should read carefully before you invest or
send money. Shares are distributed by BISYS Fund Services.

SHARES OF THE FUND ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, SHELBY COUNTY TRUST BANK OR ITS AFFILIATES, AND SHARES ARE NOT
FEDERALLY INSURED BY THE FDIC OR ANY OTHER AGENCY. AN INVESTMENT IN MUTUAL
FUND SHARES INVOLVES INVESTMENT RISKS, INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL.

- -------------------------------------------------------------------------------
-2-
<PAGE>

TABLE OF CONTENTS

Report of Independent Public Accountants
Page 4

Statement of Assets and Liabilities
Page 5

Statement of Operations
Page 6

Statements of Changes in Net Assets
Page 7

Schedule of Portfolio Investments
Page 8

Notes to Financial Statements
Page 10

Financial Highlights
Page 14

-3-
<PAGE>

REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS The Shelby Fund
- -------------------------------------------------------------------------------

To the Shareholders and Board of
Trustees of The Coventry Group--The
Shelby Fund:

We have audited the accompanying statement of assets and liabilities of The
Shelby Fund of The Coventry Group (a Massachusetts business trust), including
the portfolio of investments, as of March 31, 1996, and the related statements
of operations and changes in net assets and the financial highlights for the
periods indicated thereon. These financial statements and financial highlights
are the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements and financial highlights
based on our audits.

We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits 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 securities
owned as of March 31, 1996, by correspondence with the 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 audits provide 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 The
Shelby Fund as of March 31, 1996, the results of its operations and the
changes in its net assets and the financial highlights for the periods
indicated thereon, in conformity with generally accepted accounting
principles.

Arthur Andersen LLP
Louisville, Kentucky,
April 26, 1996

- -------------------------------------------------------------------------------
-4-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1996

<TABLE>
<S> <C>
ASSETS:
Investments, at value.............................................. $90,941,447
Repurchase agreements.............................................. 4,589,182
-----------
Total Investments (cost $86,609,276)........................... 95,530,629
Interest and dividends receivable.................................. 4,629
Receivable from brokers for investments sold....................... 2,453,975
Unamortized organization costs..................................... 6,568
Prepaid expenses................................................... 7,013
-----------
Total Assets................................................... 98,002,814
-----------
LIABILITIES:
Payable to brokers for investments purchased....................... 2,528,163
Accrued expenses and other payables:
Investment advisory fees......................................... 80,004
Administration fees.............................................. 3,505
Accounting and transfer agent fees............................... 1,289
Legal and audit fees............................................. 24,590
Other............................................................ 8,015
-----------
Total Liabilities.............................................. 2,645,566
-----------
NET ASSETS:
Capital............................................................ 84,737,427
Net unrealized appreciation from investments....................... 8,921,353
Accumulated undistributed net realized gains from investment
transactions....................................................... 1,698,468
-----------
Net Assets..................................................... $95,357,248
===========
Outstanding units of beneficial interest (shares).................. 8,067,789
===========
Net asset value--offering and redemption price per share........... $ 11.82
===========
</TABLE>
See notes to financial statements.

-5-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

STATEMENT OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1996

<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest income.................................................... $ 385,959
Dividend income.................................................... 231,876
-----------
Total Income..................................................... 617,835
-----------
EXPENSES:
Investment advisory fees........................................... 819,585
Administration fees................................................ 163,988
Custodian and accounting fees...................................... 42,030
Legal and audit fees............................................... 37,257
Organization costs................................................. 25,506
Trustees' fees..................................................... 3,943
Transfer agent fees................................................ 13,316
Registration and filing fees....................................... 8,158
Printing costs..................................................... 14,216
Other.............................................................. 3,464
Expenses voluntarily reduced....................................... (41,200)
-----------
Total Expenses................................................... 1,090,263
-----------
Net investment loss................................................ (472,428)
-----------
REALIZED/UNREALIZED GAINS FROM INVESTMENTS:
Net realized gains from investment transactions.................... 18,737,990
Net change in unrealized appreciation from investments............. 2,503,779
-----------
Net realized/unrealized gains from investments..................... 21,241,769
-----------
Change in net assets resulting from operations..................... $20,769,341
===========
</TABLE>
See notes to financial statements.

-6-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
YEAR ENDED JULY 1, 1994 TO
MARCH 31, 1996 MARCH 31, 1995 (a)
-------------- ------------------
<S> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)................ $ (472,428) $ 333,953
Net realized gains (losses) from investment
transactions............................... 18,737,990 (388,642)
Net change in unrealized appreciation from
investments................................ 2,503,779 6,417,574
----------- -----------
Change in net assets resulting from
operations................................... 20,769,341 6,362,885
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.................. -- (344,785)
From net realized gains from investment
transactions................................ (15,886,419) (281,201)
----------- -----------
Change in net assets from shareholder
distributions................................ (15,886,419) (625,986)
----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued................. 17,304,965 63,316,773
Dividends reinvested........................ 15,832,397 625,986
Cost of shares redeemed..................... (6,819,876) (5,522,818)
----------- -----------
Change in net assets from share transactions. 26,317,486 58,419,941
----------- -----------
Change in net assets......................... 31,200,408 64,156,840
NET ASSETS:
Beginning of period......................... 64,156,840 --
----------- -----------
End of period............................... $95,357,248 $64,156,840
=========== ===========
SHARE TRANSACTIONS:
Issued...................................... 1,376,875 6,303,107
Reinvested.................................. 1,375,534 60,624
Redeemed.................................... (521,057) (527,294)
----------- -----------
Change in shares............................. 2,231,352 5,836,437
=========== ===========
</TABLE>
- ------
(a) Period from commencement of operations.

See notes to financial statements.

-7-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 1996

<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- -----------
<C> <S> <C>
COMMON STOCKS (95.4%):
Airlines (3.8%):
35,100 Southwest Airlines Co.................................. $ 1,039,837
102,400 ValuJet Airlines, Inc. (b)............................. 2,560,000
-----------
3,599,837
-----------
Banks (1.1%):
81,400 Riggs National Corp.................................... 1,007,325
-----------
Banks--Money Centers (5.1%):
36,400 Chemical Banking Corp.................................. 2,566,200
29,000 Citicorp............................................... 2,320,000
-----------
4,886,200
-----------
Computers & Peripherals (3.9%):
107,500 Data General Corp. (b)................................. 1,572,188
1,000 Red Brick Systems, Inc. (b)............................ 43,000
49,000 Sun Microsystems, Inc. (b)............................. 2,143,750
-----------
3,758,938
-----------
Entertainment (1.1%):
27,700 Regal Cinemas (b)...................................... 1,024,900
-----------
Financial Services (0.3%):
14,000 Sirrom Capital Corp.................................... 320,250
-----------
Household Goods--Appliances, Furnishings (0.8%):
58,300 Turbochef, Inc. (b).................................... 757,900
-----------
Lodging/Hotel (0.1%):
2,900 Red Roof Inns (b)...................................... 43,137
-----------
Manufacturing (0.5%):
34,600 Equity Marketing (b)................................... 467,100
-----------
Medical Services--Hospital,
Management & Nursing (3.9%):
1,000 Arthocare Corp. (b).................................... 22,000
39,800 MedPartners/Mullikin, Inc. (b)......................... 1,134,300
73,100 Vencor, Inc. (b)....................................... 2,521,950
-----------
3,678,250
-----------
Medical Supplies (5.6%):
3,000 Cytyc Corp. (b)........................................ 50,250
15,400 Gulf South Medical Supply, Inc. (b).................... 581,350
113,900 Isolyser Co., Inc. (b)................................. 1,879,350
5,000 Respironics, Inc. (b).................................. 105,000
</TABLE>
<PAGE>

<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Medical Supplies, continued:
165,400 Utah Medical Products, Inc. (b)........................ $ 2,770,450
-----------
5,386,400
-----------
Medical Supplies & Equipment (6.2%):
70,400 Advanced Technology Labs, Inc. (b)..................... 1,900,800
26,600 Guidant Corp........................................... 1,439,725
35,100 Medimmune, Inc. (b).................................... 552,825
25,700 MTS Systems Corp....................................... 963,750
9,500 OrthoLogic Corp. (b)................................... 241,063
46,700 Protocol Systems, Inc. (b)............................. 788,063
-----------
5,886,226
-----------
Oil & Gas--Exploration,
Production & Services (3.9%):
74,600 Barrett Resources Corp. (b)............................ 1,865,000
95,200 Global Marine, Inc. (b)................................ 952,000
133,100 Parker Drilling Co. (b)................................ 931,700
-----------
3,748,700
-----------
Pharmaceuticals (13.0%):
71,100 Alpha-Beta Technology, Inc. (b)........................ 888,750
71,000 Biochem Pharma, Inc. (b)............................... 2,911,000
21,200 Biogen, Inc. (b)....................................... 1,261,400
35,900 Genzyme Corp. (b)...................................... 1,974,500
20,000 Interneuron Pharmaceuticals, Inc. (b).................. 742,500
23,300 Neurogen Corp. (b)..................................... 803,850
96,900 SEQUUS Pharmaceuticals, Inc. (b)....................... 1,338,431
76,200 Somatogen, Inc. (b).................................... 1,343,025
42,800 Vertex Pharmaceuticals, Inc. (b)....................... 1,134,200
-----------
12,397,656
-----------
Restaurants (5.0%):
249,700 Landry's Seafood Restaurants,
Inc. (b).............................................. 4,557,025
5,650 Papa John's International, Inc. (b).................... 252,131
-----------
4,809,156
-----------
Retail--Specialty (8.5%):
15,600 Alrenco, Inc. (b)...................................... 241,800
69,300 Eagle Hardware & Garden, Inc. (b)...................... 710,325
27,200 Gadzooks, Inc. (b)..................................... 945,200
84,800 Just For Feet, Inc. (b)................................ 3,529,800
</TABLE>

Continued

-8-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
MARCH 31, 1996

<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------ -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Telecommunication (6.9%):
28,300 Ascend Communications, Inc. (b)....................... $1,524,663
21,900 FORE Systems, Inc. (b)................................ 1,565,850
47,000 Premiere Technologies, Inc. (b)....................... 1,092,750
33,400 Stratacom, Inc. (b)................................... 1,223,275
25,100 Tellabs, Inc. (b)..................................... 1,214,212
-----------
6,620,750
-----------
Temporary Services (2.5%):
78,570 Corestaff, Inc. (b)................................... 2,401,875
-----------
Water Transportation (1.3%):
32,200 Tidewater, Inc........................................ 1,223,600
-----------
Total Common Stocks 90,941,447
-----------
Total Investments, at Value 90,941,447
-----------
REPURCHASE AGREEMENTS (4.8%):
4,589,182 Fifth Third Bank, 4.95%, dated 3/29/96 due 4/1/96
(Collateralized by $4,652,000 Government National
Mortgage Assoc., 6.18%, 7/20/25 market value--
$4,681,075).......................................... 4,589,182
-----------
Total Repurchase Agreements 4,589,182
-----------
Total (Cost--$86,609,276) (a) $95,530,629
===========
</TABLE>
- --------
Percentages are based on net assets of $95,357,248.
(a) Represents cost for federal income tax purposes and differs from value by
net unrealized appreciation of securities as follows:

<TABLE>
<S> <C>
Unrealized appreciation.......... $12,183,936
Unrealized depreciation.......... (3,262,583)
-----------
Net unrealized appreciation...... $ 8,921,353
===========
</TABLE>

(b) Non-income producing securities.

See notes to financial statements.

-9-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1996

1.ORGANIZATION:

The Coventry Group (the "Group") was organized on January 8, 1992 as a
Massachusetts business trust, and is registered under the Investment Company
Act of 1940, as amended (the "1940 Act"), as a diversified, open-end
management investment company. Between the date of organization and the date
of commencement of operations (July 1, 1994) of The Shelby Fund (the
"Fund"), a series of the Group, the Fund earned no investment income and had
no operations other than incurring organizational expenses. The Fund's
investment objective is to seek capital appreciation by investing primarily
in a diversified portfolio of equity securities.

The Fund is authorized to issue an unlimited number of shares which are
units of beneficial interest with a par value of $0.01 per share. Sale of
shares of the Fund may be made to the general public.

2.SIGNIFICANT ACCOUNTING PRINCIPLES:

The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses for
the period. Actual results could differ from those estimates.

SECURITIES VALUATION:

Investments in common and preferred stocks, commercial paper, corporate
bonds, U.S. Government securities and U.S. Government agency securities
of The Shelby Fund are valued at their market values determined on the
basis of the latest available bid quotation in the principal market
(closing sales prices if the principal market is an exchange) in which
such securities are normally traded. Investments in investment companies
are valued at their respective net asset values as reported by such
companies. Securities, including restricted securities, for which market
quotations are not readily available, are valued at fair market value by
the investment adviser under the supervision of the Group's Board of
Trustees. The differences between the cost and market values of
investments held by the Fund are reflected as either unrealized
appreciation or depreciation.

SECURITY TRANSACTIONS AND RELATED INCOME:

Security transactions are accounted for on the date the security is
purchased or sold (trade date). Interest income is recognized on the
accrual basis and includes, where applicable, the pro rata amortization
of premium or discount. Dividend income is recorded on the ex-dividend
date. Gains or losses realized on sales of securities are determined by
comparing the identified cost of the security lot sold with the net sales
proceeds.

Continued

-10-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996

REPURCHASE AGREEMENTS:

The Fund may acquire repurchase agreements from financial institutions
such as banks and broker dealers which the investment adviser, Shelby
County Trust Bank, deems creditworthy under guidelines approved by the
Board of Trustees, subject to the seller's agreement to repurchase such
securities at a mutually agreed-upon date and price. The repurchase price
generally equals the price paid by the Fund plus interest negotiated on
the basis of current short-term rates, which may be more or less than the
rate on the underlying portfolio securities. The seller, under a
repurchase agreement, is required to maintain the value of collateral
held pursuant to the agreement at not less than the repurchase price
(including accrued interest). Securities subject to repurchase agreements
are held by the Fund's custodian or another qualified custodian or in the
Federal Reserve/Treasury book-entry system. Repurchase agreements are
considered to be loans by the Fund under the 1940 Act.

OPTIONS TRANSACTIONS:

The Fund enters into options transactions only as a hedge against
fluctuations in the value of securities which the Fund holds or intends
to purchase. During the year ended March 31, 1996, the Fund recognized
$539,699 of realized capital losses from options contracts which are
recorded in the net realized gains from investment transactions.

When the Fund writes a covered call or put option, an amount equal to the
net premium received is included in the Fund's statement of assets and
liabilities as a liability. The amount of the liability is subsequently
marked-to-market to reflect the current market value of the option. If an
option expires on its stipulated expiration date or if the Fund enters
into a closing purchase transaction, a gain or loss is realized. If a
written call option is exercised, a gain or loss is realized for the sale
of the underlying security and the proceeds from the sale are increased
by the premium originally received. If a written put option is exercised,
the cost of the security acquired is decreased by the premium originally
received.

When the Fund purchases a call or put option, an amount equal to the
premium paid is included in the Fund's statement of assets and
liabilities as an investment, and is subsequently marked-to-market to
reflect the current market value of the option. If an option expires on
the stipulated expiration date or if the Fund enters into a closing sale
transaction, a gain or loss is realized. If the Fund exercises a call
option, the cost of the security acquired is increased by the premium
paid for the call. If the Fund exercises a put option, a gain or loss is
realized from the sale of the underlying security, and the proceeds from
such sale are decreased by the premium originally paid. Written and
purchased options are non-income producing securities.

During the year ended March 31, 1996, the Fund entered into no options
transactions.

Continued

-11-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996

DIVIDENDS TO SHAREHOLDERS:

Dividends from net investment income are declared and paid quarterly and
distributable net realized capital gains, if any, are declared and
distributed at least annually for the Fund.

Dividends from net investment income and from net realized capital gains
are determined in accordance with income tax regulations which may differ
from generally accepted accounting principles. These differences are
primarily due to differing treatments for organization costs and
deferrals of certain losses.

FEDERAL INCOME TAXES:

It is the policy of the Fund to continue to qualify as a regulated
investment company by complying with the provisions available to certain
investment companies, as defined in applicable sections of the Internal
Revenue Code, and to make distributions of net investment income and net
realized capital gains sufficient to relieve it from all, or
substantially all, Federal income taxes.

During the year ended March 31, 1996, the Fund has reclassified $483,260
from accumulated undistributed net investment loss to accumulated
undistributed net realized gains from investments in compliance with
Statement of Position 93-2, "Determination, Disclosure, and Financial
Statement Presentation of Income, Capital Gain, and Return of Capital
Distributions by Investment Companies". This reclassification, which has
no impact on the net asset value of the Fund, is primarily attributable
to certain differences in the computation of net investment income and
capital gains under federal tax rules and generally accepted accounting
principles.

OTHER:

Expenses that are directly related to the Fund are charged directly to
the Fund. Expenses relating to the Group are prorated to all the
investment portfolios of the Group, including the Fund, on the basis of
each Fund's relative net assets.

ORGANIZATION COSTS:

All expenses in connection with the Fund's organization and registration
under the 1940 Act and the Securities Act of 1933 were paid by the Fund.
Such expenses are being amortized over a period of two years commencing
with the date of the initial public offering.

3.PURCHASES AND SALES OF SECURITIES:

Purchases and sales of securities (excluding short-term securities) for the
year ended March 31, 1996 were $232,101,063 and $222,138,117, respectively.

Continued

-12-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996

4.RELATED PARTY TRANSACTIONS:

Investment advisory services are provided to the Fund by Shelby County Trust
Bank. Under the terms of the investment advisory agreement, Shelby County
Trust Bank is entitled to receive fees computed daily based on a percentage
of the average net assets of the Fund. SMC Capital, Inc. is the sub-
investment adviser for the Fund.

BISYS Fund Services Limited Partnership d/b/a BISYS Fund Services ("BISYS"),
an Ohio limited partnership, and BISYS Fund Services Ohio, Inc. are
subsidiaries of The BISYS Group, Inc.

BISYS, with whom certain officers and trustees of the Group are affiliated,
serves the Fund as administrator. Such officers and trustees are paid no
fees directly by the Fund for serving as officers and trustees of the Group.
Under the terms of the administration agreement, BISYS' fees are computed
daily as a percentage of the average net assets of the Fund.

BISYS Fund Services Ohio, Inc. (the "Company"), serves the Fund as Transfer
Agent and Fund Accountant. Under the terms of the Transfer Agent and Fund
Accountant Agreements, the Company's fees are computed on the basis of the
number of shareholders and average net assets, respectively.

Fees may be voluntarily reduced to assist the Fund in maintaining
competitive expense ratios. Information regarding these transactions is as
follows for the year ended March 31, 1996:

<TABLE>
<S> <C>
INVESTMENT ADVISORY FEES:
Annual fee (percentage of average net assets)....................... 1.00%
ADMINISTRATION FEES:
Annual fee before voluntary fee reductions (percentage of average
net assets)......................................................... 0.20%
Voluntary fee reductions............................................ $41,200
TRANSFER AGENT & FUND ACCOUNTANT FEES:.............................. $45,742
</TABLE>

-13-
<PAGE>

THE COVENTRY GROUP
THE SHELBY FUND

FINANCIAL HIGHLIGHTS

<TABLE>
<CAPTION>
YEAR ENDED JULY 1, 1994 TO
MARCH 31, 1996 MARCH 31, 1995 (a)
-------------- ------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 10.99 $ 10.00
------- -------
INVESTMENT ACTIVITIES:
Net investment income (loss)................ (0.06) 0.06
Net realized and unrealized gains from
investments................................. 3.44 1.04
------- -------
Total from Investment Activities........... 3.38 1.10
------- -------
DISTRIBUTIONS:
Net investment income....................... -- (0.06)
Net realized gains.......................... (2.55) (0.05)
------- -------
Total Distributions........................ (2.55) (0.11)
------- -------
NET ASSET VALUE, END OF PERIOD............... $ 11.82 $ 10.99
======= =======
Total Return................................. 31.41% 11.04%(b)
RATIOS/SUPPLEMENTAL DATA
Net Assets at end of period (000)........... $95,357 $64,157
Ratio of expenses to average net assets..... 1.33% 1.41%(c)
Ratio of net investment income (loss) to
average net assets.......................... (0.58%) 0.74%(c)
Ratio of expenses to average net assets*.... 1.38% 1.46%(c)
Ratio of net investment (loss) income to
average net assets*......................... (0.63%) 0.69%(c)
Portfolio turnover.......................... 292.28% 101.86%
</TABLE>
- ------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.

See notes to financial statements.

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<PAGE>

INVESTMENT ADVISER
Shelby County Trust Bank
P.O. Box 249
Shelbyville, Kentucky 40066

SUB-INVESTMENT ADVISER
SMC Capital, Inc.
4350 Brownsboro Rd.
Suite 310
Louisville, Kentucky 40207

ADMINISTRATOR AND DISTRIBUTOR
BISYS Fund Services
3435 Stelzer Road
Columbus, Ohio 43219

LEGAL COUNSEL
Dechert Price & Rhoads
1500 K Street, N.W.
Washington, D.C. 20005

AUDITORS
Arthur Andersen LLP
2300 Meidinger Tower
Louisville Galleria
Louisville, Kentucky 40202

[LOGO FOR THE SHELBY FUND]

SHELBY COUNTY TRUST BANK
INVESTMENT ADVISER

SMC CAPITAL, INC.
SUB-INVESTMENT ADVISER

ANNUAL REPORT
TO
SHAREHOLDERS
MARCH 31, 1996

BISYS FUND SERVICES
3435 STELZER ROAD
COLUMBUS, OHIO 43219