<PAGE>
Message From The Investment Advisor Brenton Mutual Funds
- -------------------------------------------------------------------------------
Dear Shareholders:
Expectations for the economy have shifted dramatically during the six months
since our last report to shareholders. During the final quarter of 1995, the
economy continued to exhibit sluggish growth with low inflation, falling
interest rates and good corporate earnings. This provided a very positive
environment for stocks and bonds, and both markets ended the year on a strong
note. As 1995 drew to a close, the consensus was for a continuation of
sluggish economic growth into 1996. However, during the first quarter of 1996,
we have seen perceptions of the economy shifting towards an expectation of
stronger growth. The mood surrounding the economy began to improve in February
as the dampening effect from the harsh blizzards in January, the strike at
Boeing and the partial shutdown of the U.S. Government began to fade. Economic
reports for retailers, homebuilders and autos improved in February as the
weather improved and tax refunds began to go out to consumers. However, what
really shifted expectations towards stronger economic growth was the much
larger-than-expected employment report for February, which showed a stunning
increase of 705,000 in nonfarm payrolls. This was the largest monthly increase
in 12 1/2 years! The March employment report was also stronger than expected,
with an increase of 140,000 in nonfarm payrolls versus expectations for an
increase of only 49,000. Longer-term interest rates have jumped sharply higher
on the stronger employment reports as investors are fearful that the Fed may not
ease monetary policy again if the economy continues to show signs of strength.
Moreover, the recent rise in oil and grain prices is also beginning to cause
concerns about the potential for higher inflation.
While recent reports suggest a firming economy, we suspect this has to do more
with short-term improvements rather than the beginning of a new cycle or
rising economic growth. In our view, there is still much evidence supporting a
continuation of sluggish growth. We observe that initial unemployment claims are
still in a rising trend, consumer debt levels are high and delinquencies and
bankruptcies are on the rise. In addition, annual M1 money growth is currently
negative, prices of raw materials are still in a declining trend, capital
spending is slowing, manufacturing and trade inventories have yet to be
significantly reduced, government spending is slowing and corporate operating
earnings have been down sequentially for the last three quarters. Also, the
recent large increase in long-term rates will not be stimulative to the economy.
Mortgage applications are already falling in response to higher mortgage rates.
Although we note that recent signs of an improving economy are contrary to our
view, we still expect the economy to return to a sluggish growth path later this
year.
INTERMEDIATE U.S. GOVERNMENT FUND AND INTERMEDIATE TAX-FREE FUND
Recent signs of employment strength have wreaked havoc in the bond market.
Longer-term interest rates have risen sharply as bond investors have begun to
SHARES OF THE FUNDS ARE NOT FDIC INSURED, NOR ARE THEY INSURED BY ANY
GOVERNMENT AGENCY. FUND SHARES ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF, OR
GUARANTEED OR ENDORSED BY, BRENTON BANK OR ITS AFFILIATES. AN INVESTMENT IN
THE FUNDS INVOLVES INVESTMENT RISKS, INCLUDING THE POSSIBLE LOSS OF THE
PRINCIPAL AMOUNT INVESTED.
THE BRENTON MUTUAL FUNDS ARE A FAMILY OF MUTUAL FUNDS DISTRIBUTED BY BISYS
FUND SERVICES WHICH IS INDEPENDENT OF BRENTON BANK AND IT AFFILIATES. BRENTON
BROKERAGE IS A REGISTERED BROKER-DEALER FROM WHOM SHARES OF THE BRENTON MUTUAL
FUNDS MAY BE PURCHASED.
- -------------------------------------------------------------------------------
-1-
<PAGE>
Message From The Investment Advisor Brenton Mutual Funds
- --------------------------------------------------------------------------------
doubt that the Fed will ease again soon. The yield on the 30-year U.S. Treasury
bond rose 69 basis points (0.69%) during the first quarter. This represents a
very strong move in a short period of time. As interest rates rise, bond prices
fall. This explains why investment returns for the bond market were negative
for the first quarter of 1996.
In view of our outlook for a sluggish economy, we believe the bond market has
overreacted to recent signs of economic strength. While such a large increase
in interest rates is always cause for concern, we think bonds have become much
more attractively valued and represent a buying opportunity. In response to the
sharp rise in interest rates, we lengthened the average maturity of the
Intermediate U.S. Government Fund during the first quarter. If the economy does
indeed remain sluggish as we expect, then interest rates should work their way
lower later in the year. If interest rates do decline, we would expect to
eventually shorten the average maturity of the Fund. We continue to maintain
high credit quality in both Funds. All securities in the Intermediate U.S.
Government Fund are rated AAA and the average credit quality of the holdings in
the Intermediate Tax-Free Fund is AA.
Longer term, we believe there are substantial positives for the bond market.
The current spread between the long-term Treasury yield and the underlying rate
of inflation is historically high. If inflation remains under control, which we
think it will, then long-term yields at some point could move significantly
lower. A resolution to the federal budget impasse would most likely help lower
interest rates as well. In the meantime, even without a budget agreement,
government spending is on the decline and the deficit is improving. Nearer
term, we expect upcoming economic reports to support the weak economy view.
This should allow the bond market to regain its footing and recover losses that
occurred during the first quarter.
LOGO
[GRAPH APPEARS HERE]
Intermediate U.S. Government Securities Fund
Value of a $10,000 Investment
<TABLE>
<CAPTION>
Intermediate Intermediate
U.S. Government U.S. Government
Securities Securities Merrill Lynch
Fund Fund 3-7 yr
DATE load no load Govt. Index
- ----------------------------------------------------------------
<S> <C> <C> <C>
08/09/94 9,653 10,000 10,000
03/31/95 9,983 10,342 10,435
03/31/96 10,730 11,116 11,510
</TABLE>
<TABLE>
<CAPTION>
Since
Date 1 Year Inception
(08/09/94)
- ---------------------------------------------
<S> <C> <C>
03/31/96 3.74%* 4.38%*
</TABLE>
*Reflects a 3.50% Sales Charge.
The performance of the Brenton Intermediate U.S. Government Securities Fund is
measured against the Merrill Lynch 3-7 year Government Index, which is
generally representative of the performance of intermediate U.S. Government
securities. The index does not reflect the deduction of fees associated with a
mutual fund, such as investment management and fund accounting fees.
- --------------------------------------------------------------------------------
-2-
<PAGE>
Message From The Investment Advisor Brenton Mutual Funds
- -------------------------------------------------------------------------------
LOGO
[GRAPH APPEARS HERE]
Intermediate Tax-Free Fund
Value of a $10,000 Investment
<TABLE>
<CAPTION>
Intermediate Intermediate
Tax-Free Tax-Free Merrill Lynch
Fund Fund 3-7 yr
DATE load no load Municipal Index
- -----------------------------------------------------------------
<S> <C> <C> <C>
08/09/94 9,653 10,000 10,000
03/31/95 9,775 10,127 10,272
03/31/96 10,349 10,722 11,008
</TABLE>
<TABLE>
<CAPTION>
Since
Date 1 Year Inception
(08/09/94)
- ---------------------------------------------
<S> <C> <C>
03/31/96 2.19%* 2.11%*
</TABLE>
*Reflects a 3.50% Sales Charge.
The performance of the Brenton Intermediate Tax-Free Fund is measured against
the Merrill Lynch 3-7 year Municipal Index, which is generally representative
of the performance of intermediate Municipal securities. The index does not
reflect the deduction of fees associated with a mutual fund, such as
investment management and fund accounting fees.
VALUE EQUITY FUND
Since our last report to shareholders, we have seen a shift in leadership in
the stock market. Large-capitalization growth stocks were the leaders in the
market during the last half of 1995. During the first quarter of 1996,
leadership shifted to cyclical stocks as the economy began to show signs of
firming. Unlike bonds, stocks were able to achieve positive returns during the
first quarter even though interest rates rose. Stocks were helped by large
inflows into mutual funds, as an estimated $55 billion flowed in to U.S. stock
funds during the first quarter.
We believe the current leadership exhibited by cyclical stocks is temporary.
If the economy remains sluggish as we expect, leadership should return to
stocks that offer defensive qualities such as consistent earnings growth rates
and above-average dividend yields. Corporate earnings growth should slow this
year as businesses have almost maximized the benefits from downsizing, low
wage gains and productivity improvements. In an environment of slowing
earnings growth, stocks that offer steady growth rates should become more
attractive. As cyclical stock rallied during the first quarter, we reduced our
exposure to cyclicals and increased our exposure to companies that have long
histories of steady earnings growth. Going forward, we will continue to look
for opportunities to increase the Fund's weighting in finance and consumer
staples and to reduce exposure in consumer cyclicals, capital goods and basic
industries.
- --------------------------------------3-----------------------------------------
<PAGE>
Message From The Investment Advisor Brenton Mutual Funds
- -------------------------------------------------------------------------------
LOGO
[GRAPH APPEARS HERE]
Value Equity Fund
Value of a $10,000 Investment
<TABLE>
<CAPTION>
Value Value
Equity Equity
Fund Fund S & P 500
DATE load no load Index
- ---------------------------------------------------------------
<S> <C> <C> <C>
08/09/94 9,597 10,000 10,000
03/31/95 10,485 10,925 11,132
03/31/96 13,225 13,781 14,706
</TABLE>
<TABLE>
<CAPTION>
Since
Date 1 Year Inception
(08/09/94)
- ---------------------------------------------
<S> <C> <C>
03/31/96 21.10%* 18.53%*
</TABLE>
*Reflects a 4.00% Sales Charge.
The performance of the Brenton Value Equity Fund is measured against the
Standard & Poor's 500 Index, which is generally representative of the
performance of the stock market as a whole. The index does not reflect the
deduction of fees associated with a mutual fund, such as investment management
and fund accounting fees.
U.S. GOVERNMENT MONEY MARKET FUND
Although the Federal Reserve lowered the target Fed Funds rate by 25 basis
points (0.25%) to 5.25% at the end of January, we expect the Fed to remain
neutral in the near term. The Fed will most likely not take any action until
it can more accurately determine if the recent strength in the economy is
sustainable. For the time being, we expect short-term interest rates to remain
stable. We continue to maintain high credit quality in the U.S. Government
Money Market Fund and have invested only in direct obligations of the U.S.
Government or its agencies.
Thank you for your continuing support of the Brenton Mutual Funds. We will
continue to do our best to meet your investment needs. If you have questions,
would like a prospectus, or require any assistance, please contact your
investment representative or call 1-800-706-FUND.
Sincerely,
/s/ Douglas P. Muenzenmay
Douglas P. Muenzenmay Trust Investment Officer/Portfolio Manager Brenton Bank
FOR MORE COMPLETE INFORMATION ON ANY OF THE BRENTON MUTUAL FUNDS, INCLUDING
FEES, EXPENSES AND SALES CHARGES, PLEASE CALL 1-800-706-FUND FOR A FREE
PROSPECTUS. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE INVESTING OR SENDING
MONEY.
THE INVESTMENT RETURN AND NET ASSET VALUE (NAV) WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL
COST. THE COMPOSITION OF THE FUNDS' HOLDINGS IS SUBJECT TO CHANGE.
/1/AN INVESTMENT IN THE FUND IS NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT. YIELDS WILL FLUCTUATE, AND THERE CAN BE NO ASSURANCE THAT THE FUND
WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE (NAV) OF $1 PER SHARE.
- -------------------------------------------------------------------------------
-4-
<PAGE>
TABLE OF CONTENTS
Report of Independent Auditors
Page 6
Statements of Assets and Liabilities
Page 7
Statements of Operations
Page 8
Statements of Changes in Net Assets
Page 9
Schedules of Portfolio Investments
Page 11
Notes to Financial Statements
Page 18
Financial Highlights
Page 24
-5-
<PAGE>
Report of Independent Auditors Brenton Mutual Funds
- -------------------------------------------------------------------------------
To the Shareholders and Trustees of
The Coventry Group-Brenton Mutual Funds
We have audited the accompanying statements of assets and liabilities,
including the schedules of portfolio investments of the Brenton Mutual Funds
(one of the series of portfolios constituting The Coventry Group, comprising,
respectively, Brenton U.S. Government Money Market Fund, Brenton Intermediate
U.S. Government Securities Fund, Brenton Intermediate Tax-Free Fund, and
Brenton Value Equity Fund) as of March 31, 1996, and the related statements of
operations, the statements of changes in net assets, and the financial
highlights presented herein for each of the respective years or periods in the
period ended March 31, 1996. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits 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 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
respective portfolios constituting the Brenton Mutual Funds of The Coventry
Group as of March 31, 1996, the results of their operations, the changes in
their net assets and the financial highlights presented herein for each of the
respective years or periods in the period ended March 31, 1996, in conformity
with generally accepted accounting principles.
/s/ Ernst & Young LLP
Columbus, Ohio
May 3, 1996
- -------------------------------------------------------------------------------
-6-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1996
<TABLE>
<CAPTION>
INTERMEDIATE
U.S. GOVERNMENT U.S. GOVERNMENT INTERMEDIATE VALUE
MONEY MARKET SECURITIES TAX-FREE EQUITY
FUND FUND FUND FUND
--------------- --------------- ------------ -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value
(cost $35,617,404;
$34,067,954; $7,208,304
and $27,202,858,
respectively).......... $35,617,404 $34,047,737 $7,322,967 $32,269,569
Interest and dividends
receivable............. 3,294 551,818 115,148 67,661
Receivable from brokers
for investments sold... -- -- -- 556,701
Unamortized organization
costs.................. 3,045 587 189 613
Prepaid expenses and
other assets........... 2,068 1,606 3,394 1,266
----------- ----------- ---------- -----------
Total Assets........ 35,625,811 34,601,748 7,441,698 32,895,810
----------- ----------- ---------- -----------
LIABILITIES:
Dividends payable....... 146,615 164,607 26,218 66,637
Payable for capital
shares redeemed........ 354 -- -- --
Investment securities
purchased.............. -- -- -- 430,055
Accrued expenses and
other payables:
Investment advisory
fees................. 5,228 13,086 -- 18,999
Administration fees... 1,895 1,686 365 1,579
Distribution and
shareholder services
fees................. 1,593 1,475 -- 1,365
Custodian, accounting
and transfer agent
fees................. 4,850 4,732 3,696 4,271
Legal and audit fees.. 24,176 22,422 5,402 17,265
Registration and
filing fees.......... 839 254 1,041 301
Other................. 3,922 3,286 1,771 2,456
----------- ----------- ---------- -----------
Total Liabilities... 189,472 211,548 38,493 542,928
----------- ----------- ---------- -----------
NET ASSETS:
Capital................. 35,436,152 34,395,032 7,283,454 27,405,492
Undistributed
(distributions in
excess of) net
investment income...... -- 32,487 5,088 (240)
Net unrealized
appreciation
(depreciation) from
investments............ -- (20,217) 114,663 5,066,711
Accumulated
undistributed net
realized gains (losses)
from investment
transactions........... 187 (17,102) -- (119,081)
----------- ----------- ---------- -----------
Net Assets.......... $35,436,339 $34,390,200 $7,403,205 $32,352,882
=========== =========== ========== ===========
Outstanding units of
beneficial interest
(shares)............... 35,436,152 3,390,127 728,285 2,498,806
=========== =========== ========== ===========
Net asset value--
redemption price per
share.................. $ 1.00 $ 10.14 $ 10.17 $ 12.95
=========== =========== ========== ===========
Maximum Sales Charge.... 3.50% 3.50% 4.50%
----------- ---------- -----------
Maximum Offering Price
(100%/(100%-Maximum
Sales Charge) of net
asset value adjusted to
nearest cent) per
share.................. $ 1.00(a) $ 10.51 $ 10.54 $ 13.56
=========== =========== ========== ===========
</TABLE>
- ------
(a) Offering price and redemption price are the same for the U.S. Government
Money Market Fund.
See notes to financial statements.
-7-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1996
<TABLE>
<CAPTION>
INTERMEDIATE
U.S. GOVERNMENT U.S. GOVERNMENT INTERMEDIATE
MONEY MARKET SECURITIES TAX-FREE VALUE EQUITY
FUND FUND FUND FUND
--------------- --------------- ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income......... $1,944,128 $1,984,231 $340,574 $ 3,487
Dividend income......... 59,016 31,883 6,273 527,042
---------- ---------- -------- ----------
Total Income.......... 2,003,144 2,016,114 346,847 530,529
---------- ---------- -------- ----------
EXPENSES:
Investment advisory
fees................... 139,512 137,790 28,294 172,324
Administration fees..... 69,756 58,526 14,147 46,574
Distribution and
shareholder services
fees................... 174,390 146,315 35,367 116,435
Custodian and accounting
fees................... 39,372 39,165 49,642 37,923
Legal and audit fees.... 35,565 29,719 7,356 24,622
Organization costs...... 8,781 1,638 535 1,661
Trustees' fees and
expenses............... 1,633 1,212 197 1,062
Transfer agent fees..... 25,414 25,414 21,103 35,042
Registration and filing
fees................... 4,221 3,195 2,187 3,733
Printing costs.......... 9,682 8,362 1,590 7,315
Other................... 2,223 962 288 782
Expenses voluntarily
reduced................ (249,495) (138,776) (62,327) (109,484)
---------- ---------- -------- ----------
Total expenses before
reimbursement by
investment adviser..... 261,054 313,522 98,379 337,989
Reimbursement of
expenses by investment
adviser................ -- -- (25,775) --
---------- ---------- -------- ----------
Total Expenses........ 261,054 313,522 72,604 337,989
---------- ---------- -------- ----------
Net Investment Income... 1,742,090 1,702,592 274,243 192,540
---------- ---------- -------- ----------
REALIZED/UNREALIZED
GAINS (LOSSES) FROM
INVESTMENTS:
Net realized gains from
investment
transactions........... 129 52,778 6,999 900,818
Net change in unrealized
appreciation
(depreciation) from
investments............ -- (98,776) 108,143 4,109,404
---------- ---------- -------- ----------
Net realized/unrealized
gains (losses) from
investments............ 129 (45,998) 115,142 5,010,222
---------- ---------- -------- ----------
Change in net assets
resulting from
operations............. $1,742,219 $1,656,594 $389,385 $5,202,762
========== ========== ======== ==========
</TABLE>
See notes to financial statements.
-8-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INTERMEDIATE
U.S. GOVERNMENT MONEY U.S. GOVERNMENT
MARKET FUND SECURITIES FUND
---------------------------- ------------------------
AUGUST 10, AUGUST 10,
YEAR ENDED 1994 TO YEAR ENDED 1994 TO
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1996 1995 (A) 1996 1995 (A)
------------- ------------- ----------- -----------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES:
OPERATIONS:
Net investment income.. $ 1,742,090 $ 815,087 $ 1,702,592 $ 480,445
Net realized gains
(losses) from
investment
transactions.......... 129 58 52,778 (69,915)
Net change in
unrealized
appreciation
(depreciation) from
investments........... -- -- (98,776) 78,559
------------- ------------- ----------- -----------
Change in net assets
resulting from
operations.............. 1,742,219 815,145 1,656,594 489,089
------------- ------------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income................ (1,742,090) (815,087) (1,681,389) (469,126)
------------- ------------- ----------- -----------
Change in net assets
from shareholder
distributions.......... (1,742,090) (815,087) (1,681,389) (469,126)
------------- ------------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares
issued................ 113,364,161 135,014,431 23,288,320 17,532,995
Dividends reinvested... 64,614 2,433 295,157 57,238
Cost of shares
redeemed.............. (105,802,190) (107,207,297) (5,606,941) (1,171,737)
------------- ------------- ----------- -----------
Change in net assets
from share
transactions.......... 7,626,585 27,809,567 17,976,536 16,418,496
------------- ------------- ----------- -----------
Change in net assets... 7,626,714 27,809,625 17,951,741 16,438,459
NET ASSETS:
Beginning of period.... 27,809,625 -- 16,438,459 --
------------- ------------- ----------- -----------
End of period.......... $ 35,436,339 $ 27,809,625 $34,390,200 $16,438,459
============= ============= =========== ===========
SHARE TRANSACTIONS:
Issued................. 113,364,161 135,014,431 2,259,352 1,758,263
Reinvested............. 64,614 2,433 28,770 5,830
Redeemed............... (105,802,190) (107,207,297) (544,042) (118,046)
------------- ------------- ----------- -----------
Change in shares........ 7,626,585 27,809,567 1,744,080 1,646,047
============= ============= =========== ===========
</TABLE>
- ------
(a) Period from commencement of operations.
See notes to financial statements.
-9-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INTERMEDIATE TAX-FREE VALUE EQUITY
FUND FUND
---------------------- ------------------------
AUGUST 10, AUGUST 10,
YEAR ENDED 1994 TO YEAR ENDED 1994 TO
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1996 1995 (A) 1996 1995 (A)
---------- ---------- ----------- -----------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income....... $ 274,243 $ 79,887 $ 192,540 $ 108,278
Net realized gains (losses)
from investment
transactions............... 6,999 (5,886) 900,818 146,754
Net change in unrealized
appreciation (depreciation)
from investments........... 108,143 6,520 4,109,404 957,307
---------- ---------- ----------- -----------
Change in net assets
resulting from operations... 389,385 80,521 5,202,762 1,212,339
---------- ---------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment income.. (271,491) (77,551) (190,473) (110,585)
Dividends to shareholders
from net realized gains
from investment
transactions............... (1,113) -- (1,166,653) --
---------- ---------- ----------- -----------
Change in net assets from
shareholder distributions... (272,604) (77,551) (1,357,126) (110,585)
---------- ---------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued. 1,668,561 7,403,398 14,541,750 15,156,029
Dividends reinvested........ 5,982 727 860,805 28,901
Cost of shares redeemed..... (796,391) (998,823) (2,523,709) (658,284)
---------- ---------- ----------- -----------
Change in net assets from
share transactions......... 878,152 6,405,302 12,878,846 14,526,646
---------- ---------- ----------- -----------
Change in net assets........ 994,933 6,408,272 16,724,482 15,628,400
NET ASSETS:
Beginning of period......... 6,408,272 -- 15,628,400 --
---------- ---------- ----------- -----------
End of period............... $7,403,205 $6,408,272 $32,352,882 $15,628,400
========== ========== =========== ===========
SHARE TRANSACTIONS:
Issued...................... 164,077 743,560 1,193,101 1,502,783
Reinvested.................. 588 74 70,242 2,869
Redeemed.................... (78,353) (101,661) (206,938) (63,251)
---------- ---------- ----------- -----------
Change in shares............. 86,312 641,973 1,056,405 1,442,401
========== ========== =========== ===========
</TABLE>
- ------
(a) Period from commencement of operations.
See notes to financial statements.
-10-
<PAGE>
THE COVENTRY GROUP
BRENTON U.S. GOVERNMENT MONEY MARKET FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES (99.6%):
Federal Farm Credit Bank:
3,000,000 5.25%, 4/1/96.......................................... $ 3,000,000
1,255,000 5.27%, 4/4/96.......................................... 1,254,449
1,510,000 5.12%, 4/10/96......................................... 1,508,067
1,500,000 5.15%, 4/18/96......................................... 1,496,253
2,525,000 5.26%, 4/29/96......................................... 2,514,670
Federal Home Loan Bank:
3,700,000 5.26%, 4/3/96.......................................... 3,698,919
1,500,000 5.27%, 4/10/96......................................... 1,498,024
2,500,000 5.24%, 4/15/96......................................... 2,494,905
5,000,000 5.32%, 4/16/96......................................... 4,988,917
6,650,000 5.27%, 4/22/96......................................... 6,629,557
3,230,000 4.97%, 5/7/96.......................................... 3,213,947
</TABLE>
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES, CONTINUED:
Tennessee Valley Authority:
3,000,000 5.15%, 5/3/96.......................................... $ 2,986,267
-----------
Total U.S. Government Agencies 35,283,975
-----------
INVESTMENT COMPANIES (0.9%):
333,429 Dreyfus Treasury Prime Money Market Fund............... 333,429
-----------
Total Investment Companies 333,429
-----------
Total (Cost--$35,617,404)(a) $35,617,404
===========
</TABLE>
- ------
Percentages indicated are based on net assets of $35,436,339.
(a) Cost for federal income tax purposes and financial reporting purposes are
the same.
See notes to financial statements.
-11-
<PAGE>
THE COVENTRY GROUP
BRENTON INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------ -----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (2.9%):
Federal National Mortgage Assoc.:
1,000,000 8.00%, 8/25/06........................................ $ 1,015,290
-----------
Total Collateralized Mortgage Obligations 1,015,290
-----------
U.S. GOVERNMENT AGENCIES (88.4%):
Federal Farm Credit Bank:
500,000 6.10%, 7/24/00........................................ 498,940
Federal Home Loan Bank:
1,000,000 7.32%, 4/21/95........................................ 1,043,380
1,000,000 7.02%, 7/6/99......................................... 1,027,600
500,000 7.00%, 6/20/01........................................ 516,010
1,000,000 7.44%, 8/10/01........................................ 1,052,580
1,000,000 8.50%, 2/8/02......................................... 1,032,650
2,000,000 6.50%, 6/5/02......................................... 2,000,240
1,000,000 6.89%, 4/6/04......................................... 1,018,420
1,000,000 7.36%, 7/1/04......................................... 1,043,770
500,000 6.85%, 5/26/05........................................ 506,085
3,000,000 6.32%, 6/28/05........................................ 2,927,250
1,000,000 6.15%, 11/28/05....................................... 963,420
Federal Home Loan Mortgage Corp.:
1,500,000 6.55%, 10/2/02........................................ 1,502,805
1,000,000 6.20%, 4/15/03........................................ 982,520
1,000,000 7.95%, 7/28/04........................................ 1,022,550
1,000,000 7.73%, 8/10/04........................................ 1,022,570
1,000,000 6.75%, 8/1/05......................................... 1,005,490
700,000 7.18%, 8/25/05........................................ 706,111
1,000,000 5.90%, 2/14/06........................................ 945,000
1,000,000 6.28%, 3/6/06......................................... 972,090
1,452,076 6.50%, 7/1/08, Pool# 000228........................... 1,427,957
</TABLE>
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES, CONTINUED:
Federal National Mortgage Assoc.:
1,000,000 5.24%, 7/15/98......................................... $ 980,530
1,000,000 8.60%, 12/12/01........................................ 1,012,550
700,000 6.85%, 4/5/04.......................................... 711,165
1,000,000 7.83%, 8/11/04......................................... 1,021,230
500,000 7.00%, 5/25/06......................................... 500,560
832,126 6.50%, 3/1/09, Pool# 190705............................ 816,416
Government National Mortgage Assoc.:
1,128,417 7.00%, 5/1/10, Pool #2025.............................. 1,121,342
Student Loan Marketing Assoc.:
500,000 8.30%, 12/9/99......................................... 504,575
500,000 7.67%, 3/8/00.......................................... 506,005
-----------
Total U.S. Government Agencies 30,391,811
-----------
U.S. TREASURY NOTES (6.5%):
200,000 7.38%, 11/15/97........................................ 204,912
1,000,000 5.88%, 2/15/04......................................... 969,590
1,000,000 7.25%, 5/15/04......................................... 1,053,740
-----------
Total U.S. Treasury Notes 2,228,242
-----------
INVESTMENT COMPANIES (1.2%):
412,394 Goldman Federal Money Market Portfolio................. 412,394
-----------
Total Investment Companies 412,394
-----------
Total (Cost--$34,067,954)(a) $34,047,737
===========
</TABLE>
- ------
Percentages indicated are based on net assets of $34,390,200.
(a) Represents cost for federal income tax purposes and differs from value by
net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation........... $ 362,993
Unrealized depreciation........... (383,210)
---------
Net unrealized depreciation....... $ (20,217)
=========
</TABLE>
See notes to financial statements.
-12-
<PAGE>
THE COVENTRY GROUP
BRENTON INTERMEDIATE TAX-FREE FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- ----------
<C> <S> <C>
MUNICIPAL BONDS (97.9%):
Arizona (1.2%):
90,000 Scottsdale, Street & Highway User Revenue, 4.75%,
7/1/00................................................ $ 90,900
----------
California (5.5%):
200,000 California State, Series C, 5.75%, 4/25/96............. 200,317
100,000 Los Angeles, GO, Series A, 5.50%, 9/1/04............... 104,500
100,000 South Orange County, Series C, 5.10%, 8/15/01.......... 101,875
----------
406,692
----------
Colorado (2.7%):
100,000 Jefferson County Public Library, 5.00%, 12/1/03........ 100,500
100,000 Pueblo County, School District # 60, 4.50%, 12/1/99.... 100,125
----------
200,625
----------
District of Columbia (1.4%):
100,000 District of Columbia, GO, Series C, 5.25%, 6/1/01...... 101,375
----------
Florida (2.8%):
200,000 Florida State Board of Education Capital Outlay, 5.75%,
6/1/09 Callable 6/1/04 @ 101.......................... 205,250
----------
Hawaii (1.4%):
100,000 Honolulu City & County, Series A, 4.70%, 1/1/98........ 100,750
----------
Illinois (4.9%):
200,000 Illinois State, 5.50%, 8/1/03.......................... 207,500
100,000 Illinois State Metropolitan Pier & Exposition
Authority, 5.05%, 6/15/98............................. 101,375
50,000 Illinois State Sales Tax Revenue, 6.70%, 6/15/96....... 50,250
----------
359,125
----------
Indiana (5.5%):
200,000 Concord Community Schools Building Corp., 5.30%,
1/1/04................................................ 204,000
200,000 Indiana Bond Bank, 5.25%, 2/1/01....................... 204,250
----------
408,250
----------
Iowa (14.9%):
200,000 Ames, GO, 5.20%, 6/1/05 Callable 6/1/03 @ 100.......... 202,750
110,000 Ames Hospital, Revenue Bonds, 5.70%, 8/15/00........... 114,537
100,000 Davenport, GO, Series A, 4.80%, 6/1/04 Callable 6/1/01
@ 100................................................. 98,500
80,000 Davenport Hospital, Facility Revenue, 5.10%, 7/1/97.... 81,100
100,000 Davenport, Series A, 5.40%, 6/1/06 Callable 6/1/02 @
100................................................... 100,750
100,000 Des Moines Hospital, Revenue Bonds, 5.00%, 8/15/05..... 100,000
100,000 Iowa Higher Education Loan Authority Revenue, Private
College Facilities, 6.00%, 8/1/07
Callable 8/1/96 @ 100................................. 100,129
150,000 Ottumwa, Community School District, 5.10%, 6/1/04...... 153,000
50,000 Polk County, GO, 6.10%, 6/1/99 Callable 6/1/98 @ 100... 51,813
100,000 Sioux City School District, 5.00%, 6/1/01.............. 101,750
----------
1,104,329
----------
</TABLE>
Continued
-13-
<PAGE>
THE COVENTRY GROUP
BRENTON INTERMEDIATE TAX-FREE FUND
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
MARCH 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Maryland (2.1%):
50,000 Maryland State, Fourth Series, 6.55%, 10/15/97......... $ 52,062
100,000 Prince Georges County, 5.40%, 1/15/01.................. 103,750
----------
155,812
----------
Massachusetts (0.7%):
50,000 Massachusetts State Water Authority, 7.00%, 4/1/99..... 53,313
----------
Minnesota (8.9%):
150,000 Bloomington, Ref-Highway, 6.00%, 12/1/99............... 158,625
250,000 Hennepin County, GO, 5.90%, 12/1/96.................... 254,088
90,000 Rosemount, Port Authority, 5.50%, 2/1/06 Callable
2/1/03 @ 100.......................................... 91,463
150,000 Southern Minnesota Municipal Power Agency, Series B,
5.00%, 1/1/98......................................... 151,312
----------
655,488
----------
Nebraska (1.7%):
125,000 Omaha, Public Power District, Series B, 4.80%, 2/1/01.. 126,250
----------
Nevada (2.6%):
200,000 Nevada State University, GO, 4.30%, 8/1/02............. 194,250
----------
New Mexico (1.3%):
100,000 Albuquerque, School District #12, 4.20%, 8/1/99........ 99,625
----------
New York (2.8%):
100,000 Hempstead Town, Series A, 5.40%, 3/1/05 Callable 3/1/02
@ 102................................................. 102,375
100,000 New York State University Dorm Authority Revenues,
5.50%, 5/15/06........................................ 102,875
----------
205,250
----------
North Carolina (2.8%):
200,000 North Carolina Municipal Power Agency, 5.90%, 1/1/03... 205,750
----------
North Dakota (1.0%):
75,000 West Fargo, Series D, 4.00%, 5/1/02 Callable 5/1/97 @
100................................................... 70,969
----------
Pennsylvania (1.4%):
100,000 Bensalem Township, Water & Sewer Revenue, 5.90%,
12/1/04 Callable 12/1/02 @ 100........................ 104,000
----------
Rhode Island (1.4%):
100,000 Providence, GO, 6.10%, 9/1/98.......................... 104,250
----------
South Carolina (2.7%):
200,000 Piedmont Municipal Power South Carolina Electric,
5.00%, 1/1/01......................................... 199,750
----------
South Dakota (1.4%):
100,000 South Dakota Housing Development Authority, Series E,
5.80%, 5/1/03......................................... 102,000
----------
Texas (11.3%):
100,000 Corpus Christi Authority, 4.90%, 2/1/01................ 101,500
25,000 Dallas, GO, 7.00%, 8/15/99 Callable 8/15/97 @ 100...... 26,062
</TABLE>
Continued
-14-
<PAGE>
THE COVENTRY GROUP
BRENTON INTERMEDIATE TAX-FREE FUND
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------- ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
150,000 Dallas, Independent School District, Public Property
Finance Contractual Obligation, 5.30%, 8/15/97........ $ 153,000
200,000 Houston, Series C, 5.80%, 3/1/02....................... 211,500
100,000 McLennan County, GO, 6.25%, 6/1/97..................... 102,625
100,000 Tarrant County, Water Revenue Bonds, 5.70%, 3/1/01..... 105,125
100,000 Texas State, Series B, 5.00%, 10/1/03.................. 101,375
35,000 Texas State National Research Laboratory, 6.90%,
4/1/98................................................ 36,794
----------
837,981
----------
Washington (7.6%):
100,000 Grant County, Public Utility, 5.10%, 1/1/00............ 101,625
150,000 Seattle Municipal Light & Power Revenue, 6.00%, 7/1/99. 157,125
100,000 Washington State, Series R-93B, 4.88%, 10/1/02......... 101,250
200,000 Washington State Housing Finance Revenue, Series 1A-1,
5.05%, 6/1/00......................................... 201,500
----------
561,500
----------
Wisconsin (8.0%):
50,000 Ashland, School District, 5.90%, 4/1/00................ 52,687
35,000 Beloit, GO, 5.55%, 4/1/00.............................. 36,225
100,000 Kenosha County, Series E, 5.70%, 11/1/08, Callable
11/01/03@100.......................................... 102,375
100,000 Milwaukee County, Series A, 5.50%, 12/1/06 Callable
12/1/04 @ 100......................................... 101,875
200,000 Wisconsin Housing & Economic Development Authority,
Series D, 5.75%, 1/1/04............................... 200,500
100,000 Wisconsin State, GO, Series 1, 4.40%, 5/1/98........... 100,625
----------
594,287
----------
Total Municipal Bonds 7,247,771
----------
INVESTMENT COMPANIES (1.0%):
75,196 Benchmark Tax Exempt Money Market Portfolio............ 75,196
----------
Total Investment Companies 75,196
----------
Total (Cost--$7,208,304)(a) $7,322,967
==========
</TABLE>
- ------
Percentages indicated are based on net assets of $7,403,205.
(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............. $118,638
Unrealized depreciation............. (3,975)
--------
Net unrealized appreciation......... $114,663
========
</TABLE>
GO--General Obligations
See notes to financial statements.
-15-
<PAGE>
THE COVENTRY GROUP
BRENTON VALUE EQUITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 1996
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- -------------------------------------------------------- -----------
<C> <S> <C>
COMMON STOCKS (91.3%):
Auto Parts (1.7%):
6,000 TRW, Inc................................................ $ 534,750
-----------
Banks (3.8%):
8,000 BankAmerica Corp........................................ 620,000
10,000 Barnett Banks, Inc...................................... 622,500
-----------
1,242,500
-----------
Beverages (1.8%):
8,700 Anheuser-Busch Co....................................... 586,162
-----------
Business Equipment & Services (1.5%):
15,500 WMX Technologies........................................ 492,125
-----------
Capital Equipment (2.0%):
10,000 Illinois Tool Works..................................... 646,250
-----------
Chemicals--Specialty (5.9%):
8,000 Eastman Chemical........................................ 553,000
6,700 Great Lakes Chemical Corp............................... 451,412
8,000 IMC Global, Inc......................................... 292,000
10,500 Sigma Aldrich Corp...................................... 601,125
-----------
1,897,537
-----------
Construction Materials (0.7%):
5,000 Sherwin-Williams Co..................................... 221,875
-----------
Electrical Equipment (6.6%):
13,000 AMP, Inc................................................ 537,875
7,000 Emerson Electric........................................ 565,250
7,500 General Electric Co..................................... 584,062
8,000 Intel Corp.............................................. 455,000
-----------
2,142,187
-----------
Electronic Components (1.9%):
13,000 Arrow Electronics, Inc.(b).............................. 611,000
-----------
Electronics (1.1%):
7,000 Motorola, Inc........................................... 371,000
-----------
Financial Services (5.5%):
24,000 Capital One Financial Corp.............................. 660,000
10,000 Dean Witter Discover & Co............................... 572,500
10,000 MGIC Investment Corp.................................... 545,000
-----------
1,777,500
-----------
Food & Related (6.2%):
31,095 Archer Daniels Midland Co............................... 571,371
</TABLE>
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- -------------------------------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Food & Related, continued:
15,600 ConAgra, Inc............................................ $ 633,750
8,000 Hershey Foods........................................... 596,000
6,400 Sara Lee Corp........................................... 208,800
-----------
2,009,921
-----------
Forest & Paper Products (1.5%):
6,500 Kimberly Clark Corp..................................... 484,250
-----------
Furniture & Furnishings (0.1%):
348 Earthgrains Co.(b)...................................... 10,397
-----------
Health Care--Drugs (3.6%):
6,500 Bristol Myers Squibb Corp............................... 556,562
9,600 Merck & Co., Inc........................................ 597,600
-----------
1,154,162
-----------
Hospital Supply & Management (3.3%):
10,000 Columbia HCA Healthcare Corp............................ 577,500
20,000 Humana, Inc.(b)......................................... 502,500
-----------
1,080,000
-----------
Household--General Products (1.9%):
22,500 Newell Co............................................... 601,875
-----------
Insurance (6.5%):
7,000 Loews Corp.............................................. 529,375
16,000 Safeco Corp............................................. 536,000
10,000 Unum Corp............................................... 595,000
16,000 Value Health, Inc.(b)................................... 440,000
-----------
2,100,375
-----------
Leisure Time Industry (1.4%):
20,000 Brunswick Corp.......................................... 460,000
-----------
Manufacturing (1.6%):
8,100 Minnesota Mining & Manufacturing........................ 525,488
-----------
Motor Vehicles (3.7%):
9,000 General Motors Corp., Class E........................... 513,000
11,000 General Motors Corp., Class H........................... 695,750
-----------
1,208,750
-----------
Multiple Industry (1.8%):
21,000 Dial Corp............................................... 588,000
-----------
Petroleum (5.1%):
7,500 Amoco Corp.............................................. 541,875
</TABLE>
Continued
-16-
<PAGE>
THE COVENTRY GROUP
BRENTON VALUE EQUITY 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:
Petroleum, continued:
4,100 Mobil Corp.............................................. $ 475,087
8,000 Schlumberger Limited.................................... 633,000
-----------
1,649,962
-----------
Retail (3.6%):
3,200 Dayton Hudson Corp...................................... 271,600
7,000 Dillard Department Stores............................... 242,375
10,000 Tandy Corp.............................................. 462,500
7,500 Toys R Us(b)............................................ 202,500
-----------
1,178,975
-----------
Shoes--Leather (1.3%):
15,000 Reebok International Ltd................................ 414,375
-----------
Tires & Rubber Products (0.8%):
5,000 Bandag, Inc............................................. 263,750
-----------
Tobacco (1.8%):
6,515 Philip Morris Co., Inc.................................. 571,691
-----------
Utilities--Electric (7.2%):
25,000 AES Corp.(b)............................................ 621,875
22,000 Boston Edison Co........................................ 594,000
26,000 Houston Industries, Inc................................. 562,250
25,000 Ohio Edison Co.......................................... 565,625
-----------
2,343,750
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
--------- ------------------------------------------------------ -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities--Gas & Pipeline (1.7%):
15,300 Sonat, Inc............................................ $ 550,800
-----------
Utilities--Telephone (3.9%):
12,300 General Telephone Electric Corp....................... 539,663
16,000 Worldcom, Inc.(b)..................................... 736,000
-----------
1,275,663
-----------
Wholesale (1.7%):
17,000 Sysco Corp............................................ 558,875
-----------
Total Common Stocks 29,553,945
-----------
INVESTMENT COMPANIES (8.4%):
1,500,000 Goldman Federal Money Market Portfolio............... 1,500,000
1,215,623 Goldman Sachs Treasury Obligations Money Market
Portfolio............................................. 1,215,623
-----------
Total Investment Companies 2,715,623
-----------
Total (Cost--$27,202,858)(a) $32,269,569
===========
</TABLE>
- ------
Percentages indicated are based on net assets of $32,352,882.
(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........... $5,465,157
Unrealized depreciation........... (398,446)
----------
Net unrealized appreciation....... $5,066,711
==========
</TABLE>
(b) Represents non-income producing securities.
See notes to financial statements.
-17-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
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 of the Brenton U.S. Government Money Market
Fund, the Brenton Intermediate U.S. Government Securities Fund, the Brenton
Intermediate Tax-Free Fund, and the Brenton Value Equity Fund,
(individually, a "Fund"; collectively, the "Funds"), each a series of the
Group, the Funds earned no investment income and had no operations other
than incurring organizational expenses.
The Group is authorized to issue an unlimited number of shares which are
units of beneficial interest with a par value of $0.01 per share. Sales of
shares of the Funds may be made to the general public.
2. SIGNIFICANT ACCOUNTING PRINCIPLES:
The following is a summary of significant accounting policies followed by
the Funds in the preparation of its financial statements. The policies are
in conformity with generally accepted accounting principles.
SECURITIES VALUATION:
Investments of the U.S. Government Money Market Fund are valued at either
amortized cost, which approximates market value, or at original cost
which, combined with accrued interest, approximates market value. Under
the amortized cost valuation method, discount or premium is amortized on
a constant basis to the maturity of the security. In addition, the U.S.
Government Money Market Fund may not (a) purchase any instrument with a
remaining maturity greater than thirteen months unless such investment is
subject to a demand feature, or (b) maintain a dollar-weighted-average
portfolio maturity which exceeds 90 days.
Investments in common and preferred stocks, commercial paper, corporate
bonds, municipal bonds, U.S. Government securities and U.S. Government
agency securities of the Intermediate U.S. Government Securities Fund,
the Intermediate Tax-Free Fund, and the Value Equity Fund (collectively
"the variable net asset value funds") 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 difference between the cost and market
values of investments held by the variable net asset value funds are
reflected as either unrealized appreciation or depreciation.
Continued
-18-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996
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.
REPURCHASE AGREEMENTS:
The Funds may acquire repurchase agreements from financial institutions
such as banks and broker dealers which the investment adviser 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 a 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 a Fund under the 1940 Act.
DIVIDENDS TO SHAREHOLDERS:
Dividends from net investment income are declared daily and paid monthly
for the U.S. Government Money Market Fund. Dividends from net investment
income are declared and paid monthly for the Intermediate U.S. Government
Securities Fund and the Intermediate Tax-Free Fund. Dividends from net
investment income are declared and paid quarterly for the Value Equity
Fund. Distributable net realized capital gains, if any, are declared and
distributed at least annually for each 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, expiring
capital loss carry forwards and deferrals of certain losses.
FEDERAL INCOME TAXES:
It is the policy of each of the Funds 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.
Continued
-19-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996
OTHER:
Expenses that are directly related to one of the Funds are charged
directly to that Fund. Expenses relating to the Funds collectively are
prorated to the Funds on the basis of each Fund's relative net assets.
Other expenses for the Group are prorated to the Funds and any other
portfolios of the Group on the basis of relative net assets.
ORGANIZATION COSTS:
All expenses in connection with the Funds' organization and registration
under the 1940 Act and the Securities Act of 1933 were paid by the Funds.
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 are as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- ----------
<S> <C> <C>
Intermediate U.S. Government Securities Fund........... $23,822,349 $8,311,061
Intermediate Tax-Free Fund............................. $ 2,013,142 $ 477,243
Value Equity Fund...................................... $19,395,421 $9,789,631
</TABLE>
4. RELATED PARTY TRANSACTIONS:
Investment advisory services are provided to the Group by Brenton Bank, N.A.
("Brenton Bank"). Under the terms of the investment advisory agreement,
Brenton Bank is entitled to receive fees computed daily based on a
percentage of the average net assets of each Fund. Brenton Bank also serves
as custodian to the Funds. The Northern Trust Company serves as sub-
investment adviser to the U.S. Government Money Market Fund. For such
services, the Northern Trust Company receives an annual fee of 0.08% of the
U.S. Government Money Market Fund's average daily net assets.
BISYS Fund Services Limited Partnership d/b/a BISYS Fund Services ("BISYS"),
an Ohio Limited Partnership, and BISYS Fund Services Ohio, Inc. ("BISYS
Ohio") are subsidiaries of the BISYS Group, Inc.
BISYS, with whom certain officers and trustees of the Group are affiliated,
serves the Funds as administrator. Such officers and trustees are paid no
fees directly by the Funds for serving as officers and trustees of the
Group. Under the terms of the administration agreement, BISYS's fees are
computed daily as a percentage of the average net assets of each of the
Funds.
BISYS Ohio serves as transfer agent to the Funds. Under the terms of the
transfer agency agreement, BISYS Ohio is entitled to receive fees based upon
a specified amount per shareholder with specified minimum per
Continued
-20-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996
portfolio amounts and surcharges, plus certain out-of-pocket expenses. BISYS
Ohio also serves as fund accountant. Under the terms of the fund accounting
agreement, BISYS Ohio receives fees monthly at an annual rate of $30,000 for
the U.S. Government Money Market Fund, the Intermediate U.S. Government
Securities Fund, and the Value Equity Fund, and $40,000 for the Intermediate
Tax-Free Fund, plus certain out-of-pocket expenses.
The Funds have adopted a Distribution and Shareholder Services Plan in
accordance with Rule 12b-1 under the Investment Company Act of 1940,
pursuant to which the Funds are authorized to pay or reimburse BISYS, as
distributor, a periodic amount, calculated at an annual rate not to exceed
0.50% of the average daily net asset value of the Funds. These fees are used
by BISYS to pay banks, including Brenton Bank, broker dealers and other
institutions, or to reimburse BISYS or its affiliates, for administration,
distribution and shareholder services in connection with the distribution of
Fund shares.
Fees may be voluntarily reduced to assist the Funds in maintaining
competitive expense ratios.
Continued
-21-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996
Information regarding these transactions is as follows for the year ended
March 31, 1996:
<TABLE>
<CAPTION>
U.S. INTERMEDIATE
GOVERNMENT U.S.
MONEY GOVERNMENT INTERMEDIATE VALUE
MARKET SECURITIES TAX-FREE EQUITY
FUND FUND FUND FUND
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT ADVISORY
FEES:
Annual fee before
voluntary fee
reductions............. 0.40% of first 0.50% of first 0.40% of first 0.74% of first
$250 million $25 million $25 million $25 million
0.30% in excess 0.30% in excess 0.30% in excess 0.60% in excess
Voluntary fee
reductions............. $87,172 $3,980 $26,960 $1,888
DISTRIBUTION AND
SERVICES FEES:
Annual fee before
voluntary fee
reductions............. 0.50% 0.50% 0.50% 0.50%
Voluntary fee
reductions............. $162,323 $134,796 $35,367 $107,596
CUSTODIAN FEES:......... $8,992 $5,851 $1,898 $6,235
FUND ACCOUNTING FEES:... $30,380 $33,314 $47,744 $31,688
TRANSFER AGENT FEES:.... $25,414 $25,414 $21,103 $35,042
</TABLE>
5. FEDERAL INCOME TAXES:
For federal income tax purposes, the following Fund has capital loss carry
forwards as of March 31, 1996, which are available to offset future capital
gains, if any:
<TABLE>
<CAPTION>
AMOUNT EXPIRES
------ -------
<S> <C> <C>
Intermediate U.S. Government Securities Fund................... $4,086 2003
13,052 2004
</TABLE>
6. ELIGIBLE DISTRIBUTIONS (UNAUDITED):
The Coventry Group designates the following eligible distributions for the
dividends received deductions for corporations:
<TABLE>
<CAPTION>
VALUE EQUITY
FUND
------------
<S> <C>
Dividend Income.................................................. $483,985
Dividend Income Per Share........................................ $0.088
</TABLE>
Continued
-22-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
MARCH 31, 1996
7. EXEMPT-INTEREST DIVIDENDS (UNAUDITED):
The Coventry Group designates the following exempt-interest dividends for
the taxable year ended March 31, 1996:
<TABLE>
<CAPTION>
VALUE EQUITY
FUND
------------
<S> <C>
Exempt-interest dividends....................................... $271,491(a)
Exempt-interest dividends per share............................. 0.388
</TABLE>
------
(a) $8,895 of exempt-interest dividends are subject to alternative minimum
taxes.
The percentage break-down of the exempt-interest income by state for the
Intermediate Tax-Free Fund's taxable year ended March 31, 1996 is as
follows:
<TABLE>
<S> <C>
Arizona................................................................ 1.3%
California............................................................. 5.9%
Colorado............................................................... 2.0%
District of Columbia................................................... 1.6%
Florida................................................................ 3.5%
Hawaii................................................................. 1.4%
Illinois............................................................... 5.6%
Indiana................................................................ 5.0%
Iowa................................................................... 11.2%
Maryland............................................................... 2.3%
Massachusetts.......................................................... 0.8%
Minnesota.............................................................. 9.5%
Nebraska............................................................... 2.4%
Nevada................................................................. 1.5%
New Mexico............................................................. 0.7%
New York............................................................... 3.3%
North Carolina......................................................... 3.4%
North Dakota........................................................... 0.9%
Pennsylvania........................................................... 1.7%
Rhode Island........................................................... 1.5%
South Carolina......................................................... 3.0%
South Dakota........................................................... 1.8%
Texas.................................................................. 12.5%
Washington............................................................. 6.2%
Wisconsin.............................................................. 11.0%
------
100.0%
</TABLE>
-23-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE
U.S. GOVERNMENT U.S. GOVERNMENT
MONEY MARKET FUND SECURITIES FUND
-------------------- --------------------
YEAR AUGUST 10, YEAR AUGUST 10,
ENDED 1994 TO ENDED 1994 TO
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1996 1995 (A) 1996 1995 (A)
--------- ---------- --------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.......................... $ 1.00 $ 1.00 $ 9.99 $ 10.00
------- ------- ------- -------
INVESTMENT ACTIVITIES
Net investment income........... 0.050 0.028 0.59 0.35
Net realized and unrealized
gains (losses) from
investments.................... -- -- 0.15 (0.02)
------- ------- ------- -------
Total from Investment
Activities.................... 0.050 0.028 0.74 0.33
------- ------- ------- -------
DISTRIBUTIONS
From net investment income...... (0.050) (0.028) (0.59) (0.34)
------- ------- ------- -------
Total Distributions............ (0.050) (0.028) (0.59) (0.34)
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD... $ 1.00 $ 1.00 $ 10.14 $ 9.99
======= ======= ======= =======
Total Return (excludes sales
charge)......................... 5.12% 2.84%(b) 7.48% 3.42%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000).......................... $35,436 $27,810 $34,390 $16,438
Ratio of expenses to average net
assets......................... 0.75% 0.97%(c) 1.07% 1.53%(c)
Ratio of net investment income
to average net assets.......... 4.99% 4.37%(c) 5.82% 5.71%(c)
Ratio of expenses to average net
assets*........................ 1.46% 1.66%(c) 1.55% 2.03%(c)
Ratio of net investment income
to average net assets*......... 4.28% 3.68%(c) 5.34% 5.21%(c)
Portfolio Turnover.............. 30.85% 20.69%
</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.
-24-
<PAGE>
THE COVENTRY GROUP
BRENTON MUTUAL FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE
TAX-FREE FUND VALUE EQUITY FUND
-------------------- --------------------
YEAR AUGUST 10, YEAR AUGUST 10,
ENDED 1994 TO ENDED 1994 TO
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1996 1995 (A) 1996 1995 (A)
--------- ---------- --------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.......................... $ 9.98 $10.00 $ 10.83 $ 10.00
------ ------ ------- -------
INVESTMENT ACTIVITIES
Net investment income........... 0.39 0.15 0.10 0.09
Net realized and unrealized
gains (losses) from
investments.................... 0.19 (0.03) 2.70 0.83
------ ------ ------- -------
Total from Investment
Activities.................... 0.58 0.12 2.80 0.92
------ ------ ------- -------
DISTRIBUTIONS
From net investment income...... (0.39) (0.14) (0.10) (0.09)
From net realized gains from
investment transactions........ -- -- (0.58) --
------ ------ ------- -------
Total Distributions............ (0.39) (0.14) (0.68) (0.09)
------ ------ ------- -------
NET ASSET VALUE, END OF PERIOD... $10.17 $ 9.98 $ 12.95 $ 10.83
====== ====== ======= =======
Total Return (excludes sales
charge)......................... 5.87% 1.27%(b) 26.13% 9.25%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000).......................... $7,403 $6,408 $32,353 $15,628
Ratio of expenses to average net
assets......................... 1.03% 2.47%(c) 1.45% 1.80%(c)
Ratio of net investment income
to average net assets.......... 3.88% 2.41%(c) 0.83% 1.39%(c)
Ratio of expenses to average net
assets*........................ 2.27% 2.97%(c) 1.92% 2.30%(c)
Ratio of net investment income
to average net assets*......... 2.63% 1.91%(c) 0.36% 0.89%(c)
Portfolio Turnover.............. 7.15% 3.03% 43.80% 18.30%
</TABLE>
- ------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and reimbursements 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.
-25-
<PAGE>
[This Page Intentionally Left Blank]
<PAGE>
INVESTMENT ADVISOR
Brenton Bank, N.A.
400 Locust Street
Des Moines, Iowa
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
Ernst & Young LLP
10 West Broad Street
Suite 2300
Columbus, Ohio 43215
[LOGO OF BRENTON
MUTUAL FUNDS]
[LOGO OF BRENTON BANK]
INVESTMENT ADVISOR
ANNUAL REPORT
TO
SHAREHOLDERS
MARCH 31, 1996
