UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES 811-5536 (Investment Company Act File Number) Capital One Funds _______________________________________________________________ (Exact Name of Registrant as Specified in Charter) 5800 Corporate Drive Pittsburgh, Pennsylvania 15237-7010 (412) 288-1900 (Registrant's Telephone Number) Gail C. Jones, Esquire Federated Investors Tower 1001 Liberty Avenue Pittsburgh, Pennsylvania 15222-3779 (Name and Address of Agent for Service) (Notices should be sent to the Agent for Service) Date of Fiscal Year End: 8/31/06 Date of Reporting Period: Fiscal year ended 8/31/06 ITEM 1. REPORTS TO STOCKHOLDERS
ANNUAL REPORT
AUGUST 31, 2006
MANAGEMENT 'S DISCUSSION OF FUND PERFORMANCE
FINANCIAL HIGHLIGHTS
SHAREHOLDER EXPENSE EXAMPLE
PORTFOLIO OF INVESTMENTS SUMMARY TABLES
FINANCIAL STATEMENTS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
BOARD OF TRUSTEES AND TRUST OFFICERS
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
QUARTERLY PORTFOLIO SCHEDULE
[Logo of Capital One Funds]
Capital One Capital Appreciation Fund
Class A Shares
Class B Shares
Capital One Louisiana Municipal Income Fund
Class A Shares
Class B Shares
Capital One Mid Cap Equity Fund
Class A Shares
Class B Shares
Capital One Total Return Bond Fund
Capital One U.S. Government Income Fund
Capital One Cash Reserve Fund
Class A Shares
Class B Shares
Capital One U.S. Treasury Money Market Fund
Not FDIC Insured * May Lose Value * No Bank Guarantee
Management's Discussion of Fund Performance
Capital One Capital Appreciation Fund
Annual Report/12-month period from September 1, 2005 through August 31, 2006
MARKET REVIEW
The U.S. equity markets experienced a great deal of volatility during the fund's fiscal year. The S&P 500 Index ("S&P 500") produced a total return of 8.87%1 for the year ended August 31, 2006, which was below the long-term average. Meanwhile, U.S. corporations continued an impressive streak of earnings growth. The S&P 500 experienced most of its gain in late 2005 and early 2006. Then, U.S. equities began a dramatic, albeit short-lived, pullback beginning in late April 2006. Through the second calendar quarter of 2006, the companies in the S&P 500 experienced 12 consecutive quarters of double-digit earnings growth. This was a feat almost unparalleled in U.S. market history, happening only one other time during the last 100 years. Even more impressively, the second quarter of 2006 saw a reacceleration of year-over-year earnings growth rates, which had been on a steady deceleration trend since the beginning of the current profit cycle in 2003. Given the late stage of the economic expansion, this was a truly remarkable feat.
Given that earnings growth remains strong and price action for the S&P 500 has been fairly mild, overall valuation levels appear to be in the neutral to attractive range by historical comparison.
PORTFOLIO PERFORMANCE
The Capital One Capital Appreciation Fund produced total returns of 6.98% for Class A Shares and 6.20% for Class B Shares for the fiscal year ended August 31, 2006, based on net asset value. The portfolio has been managed in close accordance with the Adviser's risk-controlled core diversified equity process.2
Fund strategy is very focused on delivering superior performance while managing theme (style, capitalization and beta3) risk accordingly, within acceptable parameters and consistent with the fund's investment objectives. During the fiscal year, portfolio underperformance derived mainly from two sub-par months--April and August 2006. The U.S. equity market experienced higher levels of cross-sectional volatility, or the volatility of factors in relation to each other, which is best exhibited by a high level of sector rotation. The Adviser's strategy of minimizing sector exposures in its risk-controlled process can lead to underperformance during a period of dramatic sector rotation. This higher level of volatility was the major cause of underperformance in those months.
STRATEGY
Portfolio strategy remains focused on seeking to deliver superior risk-adjusted returns in a context of controlling risk. The fund is always fully invested and thus makes no attempt to time the U.S. equity market. The fund is managed to generate performance competitive with other managers and its benchmark, the S&P 500.
1 The S&P 500 is a capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index is unmanaged and, unlike the fund, is not affected by cashflows. Investments cannot be made in an index.
2 Diversification does not assure a profit nor protect against loss.
3 Beta analyzes the market risk of a fund by showing how responsive the fund is to the market, which has a beta of 1.00. Usually, higher betas represent riskier investments.
Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. Current to the most recent month end performance is available on the Capital One Funds website at www.capitalone.com or call 1-800-999-0426 for after tax returns.
Capital One Capital Appreciation Fund--Class A Shares
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One Capital Appreciation Fund--Class A Shares (the "Fund") from August 31, 1996 to August 31, 2006, compared to the S&P 500 Index ("S&P 500").2
AVERAGE ANNUAL TOTAL RETURNS3 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year |
| 2.14% |
5 Years |
| 2.72% |
10 Years |
| 7.89% |
Performance data quoted represents past performance, which is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance, visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum sales charge of 4.50%.
1 Represents a hypothetical investment of $10,000 in the Fund after deducting the original maximum sales charge of 4.50% ($10,000 investment minus $450 sales charge = $9,550). Effective September 1, 1996, the maximum sales charge changed from 3.00% to 4.50%. The Fund's performance assumes the reinvestment of all dividends and distributions. The S&P 500 has been adjusted to reflect reinvestment of dividends on securities in the index.
2 The S&P 500 is not adjusted to reflect sales charges, expenses, or other fees that the Securities and Exchange Commission ("SEC") requires to be reflected in the Fund's performance. The index is unmanaged, and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3 Total returns quoted reflect the current 4.50% sales charge.
Capital One Capital Appreciation Fund--Class B Shares
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One Capital Appreciation Fund--Class B Shares (the "Fund") from December 2, 1996 (start of performance) to August 31, 2006, compared to the S&P 500 Index ("S&P 500").2
AVERAGE ANNUAL TOTAL RETURNS3 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year |
| 0.83% |
5 Years |
| 2.57% |
Start of Performance (12/2/96) |
| 6.20% |
Performance data quoted represents past performance, which is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance, visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum contingent deferred sales charge (CDSC) of 5.50% as applicable.
1 Represents a hypothetical investment of $10,000 in the Fund. The ending value of the Fund does not reflect a CDSC on any redemption over seven years from the purchase date. The maximum CDSC is 5.50% on any redemption less than one year from the purchase date. The Fund's performance assumes the reinvestment of all dividends and distributions. The S&P 500 has been adjusted to reflect reinvestment of dividends on securities in the index.
2 The S&P 500 is not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged, and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3 Total returns quoted reflect all applicable CDSC.
Capital One Louisiana Municipal Income Fund
Annual Report / 12-month period from September 1, 2005 through August 31, 2006
MARKET REVIEW
U.S. debt markets endured a roller coaster ride of fluctuating interest rates during the 12-month reporting period ended August 31, 2006, with taxable intermediate and long-term yields rising sharply through May and falling back some in July and August.1 High-grade tax-exempt bonds generally fluctuated in similar fashion although with significantly less volatility. Point to point, taxable bond yields rose significantly during the year and municipal yields rose only marginally. The foregoing summary implies that high-grade tax-exempt yields grew rich relative to the taxable market as U.S. Treasury yields rose last year, and have returned to more attractive valuations as taxable yields have fallen somewhat in recent months. With the headwinds of a rising interest rate environment, the Lehman Brothers Ten Year Insured Bond Index produced a lackluster 2.90%2 total return for the 12-months ended August 31, 2006.
PORTFOLIO PERFORMANCE
The Capital One Louisiana Municipal Income Fund's total return, based on net asset value, for the 12-month reporting period ended August 31, 2006 was 2.19% for Class A Shares and 1.32% for Class B Shares. Portfolio strategy continued to focus on seeking to deliver superior performance and managing duration risk accordingly, within acceptable parameters and consistent with the fund's objectives.3 Our analysis of liquidity conditions and interest rate trends in the U.S. economy concludes that we are in a rising interest rate environment. The portfolio strategy driven from that analysis in the last year was modestly defensive in nature toward interest rate risk. Consequently, the fund's total returns exceeded those of its benchmark index as interest rates rose last spring, and trailed the benchmark last summer as municipal yields declined in the summer rally, negating the benefits achieved in the spring.
STRATEGY
Portfolio strategy was generally focused on delivering a high level of yield exempt from both federal and Louisiana income taxes,4 consistent with a secondary objective of modest management of interest rate risk.
1 Bond prices are sensitive to changes in interest rates and a rise in interest rates can cause a decline in their prices.
2 The Lehman Brothers Ten Year Insured Bond Index includes all of the insured bonds in the Lehman Brothers Municipal Bond Index with a maturity of ten years.
3 Duration is the measure of a security's price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in the interest rates than securities of shorter durations.
4 Income may be subject to the federal alternative minimum tax.
Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. Current to the most recent month end performance is available on the Capital One Funds website at www.capitalone.com or call 1-800-999-0426 for after tax returns.
Capital One Louisiana Municipal Income Fund--Class A Shares
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One Louisiana Municipal Income Fund--Class A Shares (the "Fund") from August 31, 1996 to August 31, 2006, compared to the Lehman Brothers Ten Year Insured Bond Index ("LB10I").2
AVERAGE ANNUAL TOTAL RETURNS3 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year |
| (0.89 | )% |
5 Years |
| 3.40 | % |
10 Years |
| 4.89 | % |
Performance data quoted represents past performance which, is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance, visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum sales charge of 3.00%.
1 Represents a hypothetical investment of $10,000 in the Fund after deducting the original maximum sales charge of 3.00% ($10,000 investment minus $300 sales charge = $9,700). The Fund's performance assumes the reinvestment of all dividends and distributions. The LB10I has been adjusted to reflect reinvestment of income on securities in the index.
2 The LB10I is not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged, and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3 Total returns quoted reflect the current 3.00% sales charge.
Capital One Louisiana Municipal Income Fund--Class B Shares
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One Louisiana Municipal Income Fund--Class B Shares (the "Fund") from November 15, 2001 (start of performance) to August 31, 2006, compared to the Lehman Brothers Ten Year Insured Bond Index ("LB10I").2
AVERAGE ANNUAL TOTAL RETURNS3 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year |
| (3.94 | )% |
Start of Performance (11/15/01) |
| 2.78 | % |
Performance data quoted represents past performance, which is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance, visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum contingent deferred sales charge (CDSC) of 5.50% as applicable.
1 Represents a hypothetical investment of $10,000 in the Fund. The ending value of the Fund reflects a 2.00% CDSC on any redemption less than five years from the purchase date. The maximum CDSC is 5.50% on any redemption less than one year from the purchase date. The Fund's performance assumes the reinvestment of all dividends and distributions. The LB10I has been adjusted to reflect reinvestment of income on securities in the index.
2 The LB10I is not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged, and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3 Total returns quoted reflect all applicable CDSC.
Capital One Mid Cap Equity Fund
Annual Report/12-month period from September 1, 2005 through August 31, 2006
MARKET REVIEW
U.S. equity markets experienced a great deal of volatility during the fund's fiscal year. The S&P MidCap 400 Index ("S&P MidCap 400") produced a total return of 6.66%1 for the year ended August 31, 2006, which was below the long-term average. Meanwhile, U.S. corporations continued an impressive streak of earnings growth. The S&P MidCap 400 experienced most of its gain in late 2005 and early 2006. Then, U.S. equities began a dramatic pullback beginning in late April 2006. For the mid-cap space, this pullback continued through the end of the fund's fiscal year. Through the second calendar quarter of 2006, U.S. corporations experienced 12 consecutive quarters of double-digit earnings growth. This was a feat almost unparalleled in U.S. market history, happening only one other time in the last 100 years. Even more impressively, the second quarter of 2006 saw a reacceleration of year-over-year earnings growth rates, which had been on a steady deceleration trend since the beginning of the profit cycle in 2003. Given the late stage of the economic expansion, this was a truly remarkable feat.
Given that earnings growth remains strong and price action for the S&P MidCap 400 has been fairly mild, overall valuation levels appear to be in the neutral to attractive range by historical comparison.
PORTFOLIO PERFORMANCE
The Capital One Mid Cap Equity Fund's total return was 4.97% for Class A Shares and 4.19% for Class B Shares for the fiscal year ended August 31, 2006, based on net asset value. The portfolio has been managed in close accordance with the Adviser's risk-controlled core diversified equity process.2
Fund strategy is very focused on seeking to deliver superior performance while managing theme (style, capitalization and beta3) risk accordingly, within acceptable parameters and consistent with the fund's objectives. During the fiscal year, portfolio underperformance was largely derived from a two-month period from late September 2005 through November 2005. During that period, portfolio exposures to aforementioned risks were minimal, thus security selection was the main contributor. A number of securities identified by the Adviser as attractive holdings (specifically a number of housing industry related stocks as well as utilities stocks) significantly underperformed the rest of the portfolio causing the underperformance.
STRATEGY
Portfolio strategy remains focused on seeking to deliver superior risk-adjusted returns in a context of controlling risk. The fund is always fully invested and thus makes no attempt to time the U.S. equity market. The fund is managed to generate performance competitive with other managers and its benchmark, the S&P MidCap 400.
1 The S&P MidCap 400 is a capitalization-weighted index of common stocks representing all major industries in the mid-range of the U.S. stock market. The index is unmanaged and, unlike the fund, is not affected by cashflows. Investments cannot be made in an index.
2 Diversification does not assure a profit nor protect against loss.
3 Beta analyzes the market risk of a fund by showing how responsive it is to the market, which has a beta of 1.00. Usually, higher betas represent riskier investments.
Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. Current to the most recent month end performance is available on the Capital One Funds website at www.capitalone.com or call 1-800-999-0426 for after tax returns.
Capital One Mid Cap Equity Fund--Class A Shares
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One Mid Cap Equity Fund--Class A Shares (the "Fund") from August 31, 19962 to August 31, 2006, compared to the S&P MidCap 400 Index ("S&P MidCap 400").3
AVERAGE ANNUAL TOTAL RETURNS4 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year |
| 0.24 | % |
5 Years |
| 8.37 | % |
10 Years |
| 12.95 | % |
Performance data quoted represents past performance which is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum sales charge of 4.50%.
1 Represents a hypothetical investment of $10,000 in the Fund after deducting the original maximum sales charge of 4.50% ($10,000 investment minus $450 sales charge = $9,550), which was effective on July 13, 1998. The Fund's performance assumes the reinvestment of all dividends and distributions. The S&P MidCap 400 has been adjusted to reflect reinvestment of dividends on securities in the index.
2 Capital One Mid Cap Equity Fund--Class A Shares is the successor to a common trust fund. The quoted performance data includes performance of the common trust fund for the period from August 31, 1993 to July 12, 1998 when the Fund first commenced operation, as adjusted to reflect the Fund's anticipated expenses. The common trust fund was not registered under the Investment Company Act of 1940 ("1940 Act") and, therefore, was not subject to certain investment restrictions imposed by the 1940 Act. If the common trust fund had been registered under the 1940 Act, the performance may have been adversely affected.
3 The S&P MidCap 400 is not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged, and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
4 Total returns quoted reflect the current 4.50% sales charge.
Capital One Mid Cap Equity Fund--Class B Shares
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One Mid Cap Equity Fund--Class B Shares (the "Fund") from July 13, 1998 (start of performance) to August 31, 2006, compared to the S&P MidCap 400 Index ("S&P MidCap 400").2
AVERAGE ANNUAL TOTAL RETURNS3 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year | (1.27 | )% | |
5 Years | 8.28 | % | |
Start of Performance (7/13/98) | 9.10 | % |
Performance data quoted represents past performance which is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum contingent deferred sales charge (CDSC) of 5.50% as applicable.
1 Represents a hypothetical investment of $10,000 in the Fund. The ending value of the Fund does not reflect a CDSC on any redemption over seven years from the purchase date. The maximum CDSC is 5.50% on any redemption less than one year from the purchase date. The Fund's performance assumes the reinvestment of all dividends and distributions. The S&P MidCap 400 has been adjusted to reflect reinvestment of dividends on securities in the index.
2 The S&P MidCap 400 is not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged, and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3 Total returns quoted reflect all applicable CDSC.
Capital One Total Return Bond Fund
Annual Report / 12-month period from September 1, 2005 through August 31, 2006
MARKET REVIEW
U.S. debt markets endured a roller coaster ride of fluctuating interest rates during the 12-month reporting period ended August 31, 2006, with intermediate and long-term yields rising sharply through May and falling back some in July and August.1 Point to point, bond yields rose significantly during the year and the U.S. Treasury yield curve flattened as a result of the U.S. Federal Reserve Board's employment of more restrictive monetary policies. Corporate credit spreads widened only slightly in the last year and remain at historically narrow levels. With the headwinds of a rising interest rate environment, the fund's benchmark, the Lehman Brothers Aggregate Bond Index, produced a lackluster 1.71%2 total return for the 12-month period.
PORTFOLIO PERFORMANCE
The Capital One Total Return Bond Fund produced a total return of 0.37%, based on net asset value, for the 12-month period ended August 31, 2006. Performance improved later during the reporting period and the fund navigated the interest rate crosscurrents well during the year; however, returns were negatively impacted by bonds with company-specific issues late in 2005, which have since been disposed. The portfolio structure was modified this year to reduce risk relative to the fund's benchmark.
STRATEGY
Portfolio strategy has been focused on risk neutralization relative to the fund's benchmark this year.
1 Bond prices are sensitive to changes in interest rates and a rise in interest rates can cause a decline in their prices.
2 The Lehman Brothers Aggregate Bond Index is composed of securities from the Lehman Brothers Government/Corporate Bond Index, Mortgage-Backed Securities Index and Asset-Backed Securities Index. The index is unmanaged and, unlike the fund, is not affected by cashflows. Investments cannot be made in an index.
Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. Current to the most recent month end performance is available on the Capital One Funds website at www.capitalone.com or call 1-800-999-0426 for after tax returns.
Capital One Total Return Bond Fund
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One Total Return Bond Fund (the "Fund") from August 31, 1996 to August 31, 2006, compared to the Lehman Brothers Aggregate Bond Index ("LBAB").2
AVERAGE ANNUAL TOTAL RETURNS3 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year |
| (2.61 | )% |
5 Years |
| 2.62 | % |
10 Years |
| 4.82 | % |
Performance data quoted represents past performance, which is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum sales charge of 3.00%.
1 Represents a hypothetical investment of $10,000 in the Fund after deducting the maximum sales charge of 3.00% ($10,000 investment minus $300 sales charge = $9,700). The Fund's performance assumes the reinvestment of all dividends and distributions. The LBAB has been adjusted to reflect reinvestment of income on securities in the index.
2 The LBAB is not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged, and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3 Total returns quoted reflect the current 3.00% sales charge.
Capital One U.S. Government Income Fund
Annual Report /12-month period from September 1, 2005 through August 31, 2006
MARKET REVIEW
U.S. debt markets endured a roller coaster ride of fluctuating interest rates in the last year, with intermediate and long-term yields rising sharply through May and falling back some in July and August.1 Point to point, bond yields rose significantly during the year and the U.S. Treasury yield curve flattened as a result of the U.S. Federal Reserve Board's employment of more restrictive monetary policies. Spreads of U.S. government agency bonds and U.S. government sponsored entity (GSE) mortgage-backed bonds versus U.S. Treasurys varied modestly during the year and represented average value in general. With the headwinds of a rising interest rate environment, the fund's benchmark, the Lehman Brothers Intermediate Government Index ("LBIG") produced a lackluster 2.00%2 total return over the reporting period, while the Lehman Brothers U.S. Government Income Blend Index ("LBG") returned 2.46%,3 and the Lehman Brothers Intermediate Term Aggregate Index ("LBIA") returned 2.29%.4
PORTFOLIO PERFORMANCE
The Capital One U.S. Government Income Fund produced a total return of 2.01%, based on net asset value, for the 12-month period ended August 31, 2006. Performance has improved in recent quarters and the fund has navigated the interest rate crosscurrents well this year, utilizing risk neutralization tactics relative to the benchmark and identifying opportunities to capture attractive spreads within the target market sectors.
STRATEGY
Portfolio strategy has been focused on risk neutralization relative to the benchmark this year--a strategy that has proven successful in mitigating performance risk.
1 Bond prices are sensitive to changes in interest rates and a rise in interest rates can cause a decline in their prices.
2 The LBIG is comprised of all publicly issued non-convertible domestic debt of the U.S. government or any agency thereof, or any quasi-federal corporation and of corporate debt guaranteed by the U.S. government. Only notes and bonds with minimum outstanding principal of $1 million and minimum maturity of one year and maximum maturity of ten years are included. The index is unmanaged and, unlike the fund, is not affected by cashflows. Investments cannot be made in an index. The fund's Adviser elected to change the benchmark index from the LBIA to the LBIG because the LBIG is more reflective of the securities in which the fund invests.
3 The LBG is a custom blended index comprised of the LBIG (50%) and the Lehman Brothers Mortgage Index (50%). The index is unmanaged and, unlike the fund, is not affected by cashflows. Investments cannot be made in an index.
4 The LBIA tracks investment grade corporate and government bonds with maturities between one and ten years. The index is unmanaged and, unlike the fund, is not affected by cashflows. Investments cannot be made in an index.
Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. Current to the most recent month end performance is available on the Capital One Funds website at www.capitalone.com or call 1-800-999-0426 for after tax returns.
Capital One U.S. Government Income Fund
Growth of a $10,000 Investment
The graph below illustrates the hypothetical investment of $10,0001 in the Capital One U.S. Government Income Fund (the "Fund") from August 31, 1996 to August 31, 2006, compared to the Lehman Brothers Intermediate Government Index ("LBIG"),2 the Lehman Brothers U.S. Government Income Blend Index (LBG)2 and the Lehman Brothers Intermediate Term Aggregate Index (LBIA).2
AVERAGE ANNUAL TOTAL RETURNS3 FOR THE
PERIOD ENDED AUGUST 31, 2006
1 Year |
| (1.04 | )% |
5 Years |
| 3.07 | % |
10 Years |
| 5.09 | % |
Performance data quoted represents past performance, which is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance visit capitalone.com or call 1-800-999-0426 for after tax returns. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured. Total returns shown include the maximum sales charge of 3.00%.
1 Represents a hypothetical investment of $10,000 in the Fund after deducting the original maximum sales charge of 3.00% ($10,000 investment minus $300 sales charge = $9,700). The Fund's performance assumes the reinvestment of all dividends and distributions. The LBIG, LBG and LBIA have been adjusted to reflect reinvestment of income on securities in the indexes.
2 The LBIG, LBG and LBIA are not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The unmanaged LBG is a custom blended index compromised of the LBIG (50%) and the Lehman Brothers Mortgage Index (50%). The indexes are unmanaged, and, unlike the Fund, are not affected by cash flows. It is not possible to invest directly in an index. The Fund's Adviser elected to change the benchmark index from the LBIA to the LBIG because the LBIG is more reflective of the securities in which the Fund invests.
3 Total returns quoted reflect the current 3.00% sales charge.
Financial Highlights
Capital One Funds
August 31, 2006
(For a share outstanding throughout each period)
|
|
|
|
|
|
| ||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended | Net Asset | Net | Net Realized | Total from | Distributions | Distributions | ||||||
Capital Appreciation Fund--Class A Shares | ||||||||||||
2002 | $ 20.84 | 0.04 | (3.44) | (3.40) | (0.02) | (0.92) | ||||||
2003 | $ 16.50 | 0.08(3) | 1.31 | 1.39 | (0.07) | -- | ||||||
2004 | $ 17.82 | 0.08(3) | 1.62 | 1.70 | (0.07) | (1.14) | ||||||
2005 | $ 18.31 | 0.13(3) | 2.26 | 2.39 | (0.15) | (1.13) | ||||||
2006 | $ 19.42 | 0.11(3) | 1.17 | 1.28 | (0.08) | (1.51) | ||||||
Capital Appreciation Fund--Class B Shares | ||||||||||||
2002 | $ 20.19 | (0.11) | (3.31) | (3.42) | -- | (0.92) | ||||||
2003 | $ 15.85 | (0.04)(3) | 1.25 | 1.21 | -- | -- | ||||||
2004 | $ 17.06 | (0.06)(3) | 1.56 | 1.50 | -- | (1.14) | ||||||
2005 | $ 17.42 | (0.01)(3) | 2.14 | 2.13 | -- | (1.13) | ||||||
2006 | $ 18.42 | (0.03)(3) | 1.11 | 1.08 | -- | (1.51) | ||||||
Louisiana Municipal Income Fund--Class A Shares | ||||||||||||
2002 | $ 11.33 | 0.51 | 0.07 | 0.58 | (0.51) | (0.00)(4) | ||||||
2003 | $ 11.40 | 0.50 | (0.12) | 0.38 | (0.50) | (0.07) | ||||||
2004 | $ 11.21 | 0.48 | 0.17 | 0.65 | (0.47) | (0.03) | ||||||
2005 | $ 11.36 | 0.46 | (0.07) | 0.39 | (0.46) | (0.03) | ||||||
2006 | $ 11.26 | 0.40 | (0.17) | 0.23 | (0.40) | (0.33) | ||||||
Louisiana Municipal Income Fund--Class B Shares | ||||||||||||
2002(5) | $ 11.36 | 0.34 | 0.05 | 0.39 | (0.35) | (0.00)(4) | ||||||
2003 | $ 11.40 | 0.40 | (0.12) | 0.28 | (0.40) | (0.07) | ||||||
2004 | $ 11.21 | 0.38 | 0.19 | 0.57 | (0.38) | (0.03) | ||||||
2005 | $ 11.37 | 0.36 | (0.07) | 0.29 | (0.36) | (0.03) | ||||||
2006 | $ 11.27 | 0.30 | (0.16) | 0.14 | (0.31) | (0.33) | ||||||
(1) Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year, if any, are not annualized.
(2) This expense decrease is reflected in both the net expense and net investment income (loss) ratios.
(3) Based on average shares outstanding.
(4) Represents less than $0.01.
(5) Reflects operations for the period from November 15, 2001 (date of initial public offering) to August 31, 2002.
(6) Computed on an annualized basis.
|
|
| Ratios to Average Net Assets |
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total | Net | Total | Net | Net | Expense | Net Assets, End | Portfolio | |||||||
(0.94) | $ 16.50 | (17.18)% | 1.23% | 0.18% | -- | $ 217,744 | 3% | |||||||
(0.07) | $ 17.82 | 8.46% | 1.27% | 0.48% | -- | $ 234,905 | 29% | |||||||
(1.21) | $ 18.31 | 9.87% | 1.25% | 0.41% | -- | $ 239,871 | 22% | |||||||
(1.28) | $ 19.42 | 13.44% | 1.26% | 0.70% | -- | $ 240,297 | 32% | |||||||
(1.59) | $ 19.11 | 6.98% | 1.25% | 0.57% | -- | $ 224,576 | 51% | |||||||
(0.92) | $ 15.85 | (17.83)% | 1.98% | (0.57)% | -- | $ 11,849 | 3% | |||||||
-- | $ 17.06 | 7.63% | 2.02% | (0.27)% | -- | $ 11,865 | 29% | |||||||
(1.14) | $ 17.42 | 9.08% | 2.00% | (0.34)% | -- | $ 11,981 | 22% | |||||||
(1.13) | $ 18.42 | 12.56% | 2.01% | (0.04)% | -- | $ 9,077 | 32% | |||||||
(1.51) | $ 17.99 | 6.20% | 2.00% | (0.17)% | -- | $ 6,148 | 51% | |||||||
(0.51) | $ 11.40 | 5.32% | 0.71% | 4.59% | 0.33% | $ 84,361 | 10% | |||||||
(0.57) | $ 11.21 | 3.33% | 0.74% | 4.36% | 0.33% | $ 81,468 | 9% | |||||||
(0.50) | $ 11.36 | 5.88% | 0.75% | 4.20% | 0.33% | $ 78,288 | 11% | |||||||
(0.49) | $ 11.26 | 3.49% | 0.76% | 3.98% | 0.34% | $ 75,298 | 53% | |||||||
(0.73) | $ 10.76 | 2.19% | 0.77% | 3.64% | 0.36% | $ 60,324 | 10% | |||||||
(0.35) | $ 11.40 | 3.60% | 1.59%(6) | 3.76%(6) | 0.23%(6) | $ 2,824 | 10% | |||||||
(0.47) | $ 11.21 | 2.47% | 1.59% | 3.51% | 0.23% | $ 4,127 | 9% | |||||||
(0.41) | $ 11.37 | 5.08% | 1.60% | 3.35% | 0.23% | $ 3,569 | 11% | |||||||
(0.39) | $ 11.27 | 2.60% | 1.61% | 3.13% | 0.24% | $ 3,342 | 53% | |||||||
(0.64) | $ 10.77 | 1.32% | 1.62% | 2.79% | 0.26% | $ 2,672 | 10% | |||||||
Financial Highlights (continued)
Capital One Funds
August 31, 2006
(For a share outstanding throughout each period)
|
|
|
|
|
|
| ||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended | Net Asset | Net | Net Realized | Total from | Distributions | Distributions | ||||||
Mid Cap Equity Fund--Class A Shares | ||||||||||||
2002 | $ 12.57 | (0.02) | (1.01) | (1.03) | -- | (0.08) | ||||||
2003 | $ 11.46 | (0.05)(3) | 1.51 | 1.46 | -- | -- | ||||||
2004 | $ 12.92 | (0.02)(3) | 1.56 | 1.54 | -- | (0.07) | ||||||
2005 | $ 14.39 | 0.033) | 4.00 | 4.03 | -- | (0.72) | ||||||
2006 | $ 17.70 | 0.02(3) | 0.82 | 0.84 | (0.04) | (0.80) | ||||||
Mid Cap Equity Fund--Class B Shares | ||||||||||||
2002 | $ 12.28 | 0.18 | (1.26) | (1.08) | -- | (0.08) | ||||||
2003 | $ 11.12 | (0.14)(3) | 1.46 | 1.32 | -- | -- | ||||||
2004 | $ 12.44 | (0.12)(3) | 1.50 | 1.38 | -- | (0.07) | ||||||
2005 | $ 13.75 | (0.09)(3) | 3.81 | 3.72 | -- | (0.72) | ||||||
2006 | $ 16.75 | (0.10)(3) | 0.77 | 0.67 | -- | (0.80) | ||||||
Total Return Bond Fund | ||||||||||||
2002 | $ 10.16 | 0.52(3) | -- | 0.52 | (0.53) | -- | ||||||
2003 | $ 10.15 | 0.45(3) | (0.11) | 0.34 | (0.51) | -- | ||||||
2004 | $ 9.98 | 0.41(3) | (0.05) | 0.36 | (0.45) | -- | ||||||
2005 | $ 9.89 | 0.38(3) | (0.05) | 0.33 | (0.44) | -- | ||||||
2006 | $ 9.78 | 0.41(3) | (0.38) | 0.03 | (0.43) | -- | ||||||
(1) Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year, if any, are not annualized.
(2) This expense decrease is reflected in both the net expense and net investment income (loss) ratios.
(3) Based on average shares outstanding.
|
|
| Ratios to Average Net Assets |
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total | Net | Total | Net | Net | Expense | Net Assets, End | Portfolio | |||||||
(0.08) | $ 11.46 | (8.27)% | 1.57% | (0.51)% | -- | $ 42,545 | 12% | |||||||
-- | $ 12.92 | 12.74% | 1.55% | (0.48)% | -- | $ 59,735 | 25% | |||||||
(0.07) | $ 14.39 | 12.01% | 1.45% | (0.14)% | -- | $ 74,783 | 51% | |||||||
(0.72) | $ 17.70 | 28.80% | 1.36% | 0.20% | -- | $ 123,321 | 37% | |||||||
(0.84) | $ 17.70 | 4.97% | 1.30% | 0.13% | -- | $ 132,247 | 50% | |||||||
(0.08) | $ 11.12 | (8.87)% | 2.32% | (1.26)% | -- | $ 3,450 | 12% | |||||||
-- | $ 12.44 | 11.87% | 2.30% | (1.23)% | -- | $ 3,795 | 25% | |||||||
(0.07) | $ 13.75 | 11.19% | 2.20% | (0.89)% | -- | $ 4,321 | 51% | |||||||
(0.72) | $ 16.75 | 27.85% | 2.11% | (0.56)% | -- | $ 5,025 | 37% | |||||||
(0.80) | $ 16.62 | 4.19% | 2.05% | (0.62)% | -- | $ 4,112 | 50% | |||||||
(0.53) | $ 10.15 | 5.39% | 1.01% | 5.18% | 0.30% | $ 47,428 | 0% | |||||||
(0.51) | $ 9.98 | 3.38% | 1.01% | 4.38% | 0.40% | $ 48,563 | 20% | |||||||
(0.45) | $ 9.89 | 3.72% | 1.01% | 4.08% | 0.40% | $ 51,957 | 22% | |||||||
(0.44) | $ 9.78 | 3.39% | 0.98% | 3.92% | 0.41% | $ 53,319 | 123% | |||||||
(0.43) | $ 9.38 | 0.37% | 0.91% | 4.33% | 0.27% | $ 48,730 | 114% | |||||||
Financial Highlights (continued)
Capital One Funds
August 31, 2006
(For a share outstanding throughout each period)
|
|
|
|
|
| |||||
---|---|---|---|---|---|---|---|---|---|---|
Year Ended | Net Asset | Net Investment | Net Realized and | Total from | Distributions from | |||||
U.S. Government Income Fund | ||||||||||
2002 | $ 10.30 | 0.61 | 0.13 | 0.74 | (0.56) | |||||
2003 | $ 10.48 | 0.42(3) | (0.11) | 0.31 | (0.49) | |||||
2004 | $ 10.30 | 0.38(3) | 0.03 | 0.41 | (0.41) | |||||
2005 | $ 10.30 | 0.38(3) | (0.16) | 0.22 | (0.45) | |||||
2006 | $ 10.07 | 0.44(3) | (0.25) | 0.19 | (0.44) | |||||
Cash Reserve Fund--Class A Shares | ||||||||||
2002 | $ 1.00 | 0.01 | (0.00)(4) | 0.01 | (0.01) | |||||
2003 | $ 1.00 | 0.01 | 0.00(4) | 0.01 | (0.01) | |||||
2004 | $ 1.00 | 0.005 | 0.000(5) | 0.005 | (0.005) | |||||
2005 | $ 1.00 | 0.019 | (0.000)(5) | 0.019 | (0.019) | |||||
2006 | $ 1.00 | 0.040 | (0.000)(5) | 0.040 | (0.040) | |||||
Cash Reserve Fund--Class B Shares | ||||||||||
2002 | $ 1.00 | 0.01 | (0.00)(4) | 0.01 | (0.01) | |||||
2003 | $ 1.00 | 0.01 | 0.00(4) | 0.01 | (0.01) | |||||
2004 | $ 1.00 | 0.003 | 0.001 | 0.004 | (0.004) | |||||
2005 | $ 1.00 | 0.018 | (0.000)(5) | 0.018 | (0.018) | |||||
2006 | $ 1.00 | 0.039 | (0.000)(5) | 0.039 | (0.039) | |||||
U.S. Treasury Money Market Fund | ||||||||||
2002 | $ 1.00 | 0.01 | -- | 0.01 | (0.01) | |||||
2003 | $ 1.00 | 0.01 | -- | 0.01 | (0.01) | |||||
2004 | $ 1.00 | 0.003 | -- | 0.003 | (0.003) | |||||
2005 | $ 1.00 | 0.017 | (0.000)(5) | 0.017 | (0.017) | |||||
2006 | $ 1.00 | 0.036 | (0.000)(5) | 0.036 | (0.036) | |||||
(1) Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year, if any, are not annualized.
(2) This expense decrease is reflected in both the net expense and net investment income ratios.
(3) Based on average shares outstanding.
(4) Represents less than $0.01.
(5) Represents less than $0.001.
(See Notes which are an integral part of the Financial Statements)
|
| Ratios to Average Net Assets |
|
| ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Net | Total | Net | Net | Expense | Net Assets, | Portfolio | ||||||
$ 10.48 | 7.39% | 0.69% | 4.87% | 0.31% | $ 85,093 | 39% | ||||||
$ 10.30 | 3.01% | 0.70% | 3.97% | 0.31% | $ 89,573 | 31% | ||||||
$ 10.30 | 4.08% | 0.70% | 3.71% | 0.31% | $ 82,231 | 29% | ||||||
$ 10.07 | 2.14% | 0.74% | 3.74% | 0.33% | $ 71,695 | 86% | ||||||
$ 9.82 | 2.01% | 0.73% | 4.52% | 0.34% | $ 88,710 | 114% | ||||||
$ 1.00 | 1.27% | 0.84% | 1.28% | 0.06% | $ 212,320 | -- | ||||||
$ 1.00 | 0.80% | 0.53% | 0.81% | 0.40% | $ 182,575 | -- | ||||||
$ 1.00 | 0.55% | 0.56% | 0.55% | 0.40% | $ 166,616 | -- | ||||||
$ 1.00 | 1.97% | 0.56% | 1.89% | 0.42% | $ 134,356 | -- | ||||||
$ 1.00 | 4.08% | 0.53% | 4.04% | 0.41% | $ 179,836 | -- | ||||||
$ 1.00 | 0.84% | 1.30% | 0.81% | 0.35% | $ 696 | -- | ||||||
$ 1.00 | 0.57% | 0.89% | 0.45% | 0.79% | $ 677 | -- | ||||||
$ 1.00 | 0.40% | 0.71% | 0.39% | 1.00% | $ 417 | -- | ||||||
$ 1.00 | 1.81% | 0.71% | 1.78% | 1.02% | $ 387 | -- | ||||||
$ 1.00 | 3.92% | 0.68% | 3.86% | 1.01% | $ 395 | -- | ||||||
$ 1.00 | 1.38% | 0.62% | 1.37% | -- | $ 193,535 | -- | ||||||
$ 1.00 | 0.62% | 0.65% | 0.61% | -- | $ 221,334 | -- | ||||||
$ 1.00 | 0.34% | 0.66% | 0.34% | -- | $ 152,264 | -- | ||||||
$ 1.00 | 1.69% | 0.70% | 1.74% | -- | $ 204,027 | -- | ||||||
$ 1.00 | 3.69% | 0.62% | 3.57% | 0.03% | $ 156,318 | -- | ||||||
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase or redemption payments; and (2) ongoing costs, including management fees; to the extent applicable, distribution (12b-1) fees and/or shareholder services fees; and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from March 1, 2006 to August 31, 2006.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratios and assumed rates of return of 5% per year before expenses, which are not the Funds' actual returns. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are required to be provided to enable you to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) on purchase or redemption payments. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Beginning | Ending | Expenses Paid | |||
---|---|---|---|---|---|---|
Capital One Capital Appreciation Fund |
|
|
| |||
Actual |
|
|
| |||
Class A Shares | $1,000 | $1,005.30 | $ 6.27 | |||
Class B Shares | $1,000 | $1,001.10 | $ 9.99 | |||
Hypothetical (assuming a 5% return before expenses) |
|
|
| |||
Class A Shares | $1,000 | $1,018.95 | $ 6.31 | |||
Class B Shares | $1,000 | $1,015.22 | $10.06 | |||
Capital One Louisiana Municipal Income Fund |
|
|
| |||
Actual |
|
|
| |||
Class A Shares | $1,000 | $1,016.70 | $ 4.02 | |||
Class B Shares | $1,000 | $1,012.40 | $ 8.32 | |||
Hypothetical (assuming a 5% return before expenses) |
|
|
| |||
Class A Shares | $1,000 | $1,021.22 | $ 4.02 | |||
Class B Shares | $1,000 | $1,016.94 | $ 8.34 | |||
Capital One Mid Cap Equity Fund |
|
|
| |||
Actual |
|
|
| |||
Class A Shares | $1,000 | $ 981.70 | $ 6.49 | |||
Class B Shares | $1,000 | $ 977.60 | $10.17 | |||
Hypothetical (assuming a 5% return before expenses) |
|
|
| |||
Class A Shares | $1,000 | $1,018.65 | $ 6.61 | |||
Class B Shares | $1,000 | $1,014.92 | $10.36 | |||
Capital One Total Return Bond Fund |
|
|
| |||
Actual | $1,000 | $1,014.20 | $ 4.57 | |||
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,020.67 | $ 4.58 | |||
Capital One U.S. Government Income Fund |
|
|
| |||
Actual | $1,000 | $1,014.30 | $ 3.76 | |||
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,021.48 | $ 3.77 | |||
Capital One Cash Reserve Fund |
|
|
| |||
Actual |
|
|
| |||
Class A Shares | $1,000 | $1,023.00 | $ 2.65 | |||
Class B Shares | $1,000 | $1,022.20 | $ 3.42 | |||
Hypothetical (assuming a 5% return before expenses) |
|
|
| |||
Class A Shares | $1,000 | $1,022.58 | $ 2.65 | |||
Class B Shares | $1,000 | $1,021.83 | $ 3.41 | |||
Capital One U.S. Treasury Money Market Fund |
|
|
| |||
Actual | $1,000 | $1,020.90 | $ 3.06 | |||
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,022.18 | $ 3.06 | |||
(1) Expenses are equal to the Funds' annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The annualized net expense ratios were as follows:
Capital One Capital Appreciation Fund |
| |
Class A Shares | 1.24% | |
Class B Shares | 1.98% | |
Capital One Louisiana Municipal Income Fund |
| |
Class A Shares | 0.79% | |
Class B Shares | 1.64% | |
Capital One Mid Cap Equity Fund |
| |
Class A Shares | 1.30% | |
Class B Shares | 2.04% | |
Capital One Total Return Bond Fund | 0.90% | |
Capital One U.S. Government Income Fund | 0.74% | |
Capital One Cash Reserve Fund |
| |
Class A Shares | 0.52% | |
Class B Shares | 0.67% | |
Capital One U.S. Treasury Money Market Fund | 0.60% |
Portfolio of Investments Summary Table
CAPITAL APPRECIATION FUNDAt August 31, 2006, the Fund's sector composition(1) was as follows:
Sector | Percentage | |
---|---|---|
Finance | 21.7% | |
Electronic Technology | 12.5% | |
Health Technology | 8.7% | |
Energy Minerals | 8.3% | |
Consumer Non-Durables | 7.4% | |
Producer Manufacturing | 6.4% | |
Retail Trade | 4.9% | |
Technology Services | 4.6% | |
Consumer Services | 4.1% | |
Utilities | 3.6% | |
Process Industries | 3.0% | |
Communications | 2.9% | |
Distribution Services | 2.6% | |
Health Services | 2.2% | |
Transportation | 2.1% | |
Industrial Services | 1.6% | |
Non-Energy Minerals | 1.1% | |
Commercial Services | 0.9% | |
Consumer Durables | 0.7% | |
Cash Equivalents(2) | 0.5% | |
Other Assets and Liabilities--Net(3) | 0.2% | |
TOTAL | 100.0% | |
(1) Except for Cash Equivalents and Other Assets and Liabilities, sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS) except that the adviser assigns a classification to securities not classified by the GICS and to securities for which the adviser does not have access to the classification made by the GICS.
(2) Cash Equivalents include any investments in money market mutual funds.
(3) Assets, other than investments in securities, less liabilities. See Statements of Assets and Liabilities.
Portfolio of Investments
Capital One Funds
August 31, 2006
CAPITAL APPRECIATION FUND
Shares |
| Value | ||
---|---|---|---|---|
COMMON STOCKS--99.3% | ||||
Commercial Services--0.9% | ||||
64,100 | Donnelley (R.R.) & Sons Co. | $2,078,122 | ||
Communications--2.9% | ||||
104,500 | AT&T, Inc. | 3,253,085 | ||
94,900 | Verizon Communications | 3,338,582 | ||
Total | 6,591,667 | |||
Consumer Durables--0.7% | ||||
200,000 | Ford Motor Co. | 1,674,000 | ||
Consumer Non-Durables--7.4% | ||||
43,000 | Altria Group, Inc. | 3,591,790 | ||
25,000 | Colgate-Palmolive Co. | 1,496,500 | ||
28,700 | (1) Guess ?, Inc. | 1,170,960 | ||
78,000 | PepsiCo, Inc. | 5,091,840 | ||
57,400 | Procter & Gamble Co. | 3,553,060 | ||
62,800 | The Pepsi Bottling Group, Inc. | 2,198,628 | ||
Total | 17,102,778 | |||
Consumer Services--4.1% | ||||
82,100 | McDonald's Corp. | 2,947,390 | ||
218,800 | Walt Disney Co. | 6,487,420 | ||
Total | 9,434,810 | |||
Distribution Services--2.6% | ||||
119,600 | McKesson HBOC, Inc. | 6,075,680 | ||
Electronic Technology--12.5% | ||||
57,400 | (1) Apple Computer, Inc. | 3,894,590 | ||
214,920 | (1) Cisco Systems, Inc. | 4,726,091 | ||
121,600 | Hewlett-Packard Co. | 4,445,696 | ||
71,700 | (1) MEMC Electronic Materials, Inc. | 2,773,356 | ||
133,200 | National Semiconductor Corp. | 3,235,428 | ||
76,500 | Northrop Grumman Corp. | 5,110,965 | ||
19,000 | (1) Sandisk Corp. | 1,119,480 | ||
133,600 | (1) Tellabs, Inc. | 1,361,384 | ||
65,900 | Texas Instruments, Inc. | 2,147,681 | ||
Total | 28,814,671 | |||
Energy Minerals--8.3% | ||||
19,600 | Anadarko Petroleum Corp. | 919,436 | ||
33,800 | Apache Corp. | 2,206,464 | ||
104,300 | ConocoPhillips | $6,615,749 | ||
109,500 | Exxon Mobil Corp. | 7,409,865 | ||
32,600 | Valero Energy Corp. | 1,871,240 | ||
Total | 19,022,754 | |||
Finance--21.7% | ||||
52,600 | Allstate Corp. | 3,047,644 | ||
148,300 | Bank of America Corp. | 7,633,001 | ||
37,500 | Bear Stearns Cos., Inc. | 4,888,125 | ||
33,500 | Citigroup, Inc. | 1,653,225 | ||
47,200 | Countrywide Financial Corp. | 1,595,360 | ||
19,100 | Goldman Sachs Group, Inc. | 2,839,215 | ||
81,000 | J.P. Morgan Chase & Co. | 3,698,460 | ||
29,500 | Jones Lang LaSalle, Inc. | 2,456,170 | ||
50,100 | Merrill Lynch & Co., Inc. | 3,683,853 | ||
37,500 | MetLife, Inc. | 2,063,625 | ||
25,000 | Prologis | 1,411,500 | ||
38,300 | Prudential Financial, Inc. | 2,811,603 | ||
60,300 | SunTrust Banks, Inc. | 4,606,920 | ||
73,200 | The St. Paul Travelers Cos., Inc. | 3,213,480 | ||
83,400 | Wachovia Corp. | 4,556,142 | ||
Total | 50,158,323 | |||
Health Services--2.2% | ||||
77,500 | Quest Diagnostic, Inc. | 4,981,700 | ||
Health Technology--8.7% | ||||
46,700 | (1) Amgen, Inc. | 3,172,331 | ||
20,000 | (1) Barr Laboratories, Inc. | 1,130,000 | ||
35,600 | Becton, Dickinson & Co. | 2,481,320 | ||
124,200 | Johnson & Johnson | 8,030,772 | ||
95,700 | Merck & Co., Inc. | 3,880,635 | ||
53,700 | Pfizer, Inc. | 1,479,972 | ||
Total | 20,175,030 | |||
Industrial Services--1.6% | ||||
76,800 | (1) McDermott International, Inc. | 3,701,760 | ||
Non-Energy Minerals--1.1% | ||||
28,700 | Phelps Dodge Corp. | 2,568,650 | ||
Process Industries--3.0% | ||||
83,200 | Archer-Daniels-Midland Co. | 3,425,344 | ||
74,000 | Monsanto Co. | 3,510,560 | ||
Total | 6,935,904 | |||
Producer Manufacturing--6.4% | ||||
48,700 | Emerson Electric Co. | $4,000,705 | ||
71,700 | General Electric Co. | 2,442,102 | ||
15,100 | (1) Genlyte Group, Inc. | 989,503 | ||
26,550 | Graco, Inc. | 1,003,590 | ||
42,150 | PACCAR, Inc. | 2,304,340 | ||
47,900 | Textron Inc. | 4,016,894 | ||
Total | 14,757,134 | |||
Retail Trade--4.9% | ||||
72,500 | CVS Corp. | 2,432,375 | ||
48,700 | Home Depot, Inc. | 1,669,923 | ||
24,100 | (1) Kohl's Corp. | 1,506,491 | ||
47,800 | Penney (J.C.) Co., Inc. | 3,013,312 | ||
95,700 | TJX Cos., Inc. | 2,559,975 | ||
Total | 11,182,076 | |||
Technology Services--4.6% | ||||
48,600 | (1) Computer Sciences Corp. | 2,302,668 | ||
3,800 | (1) Google Inc. | 1,438,414 | ||
57,700 | (1) Intuit, Inc. | 1,743,694 | ||
142,500 | Microsoft Corp. | 3,660,825 | ||
100,000 | (1) Oracle Corp. | 1,565,000 | ||
Total | 10,710,601 | |||
Transportation--2.1% | ||||
38,300 | FedEx Corp. | $3,869,449 | ||
22,200 | Norfolk Southern Corp. | 948,606 | ||
Total | 4,818,055 | |||
Utilities--3.6% | ||||
38,300 | FirstEnergy Corp. | 2,185,398 | ||
71,700 | Questar Corp. | 6,204,918 | ||
Total | 8,390,316 | |||
TOTAL COMMON STOCKS | 229,174,031 | |||
MUTUAL FUND--0.5% | ||||
1,162,034 | Fidelity Institutional Cash Treasury Money Market Fund (at net asset value) | 1,162,034 | ||
TOTAL INVESTMENTS--99.8% | 230,336,065 | |||
OTHER ASSETS AND LIABILITIES--NET--0.2% | 387,648 | |||
TOTAL NET ASSETS--100% | $230,723,713 | |||
Portfolio of Investments Summary Table
LOUISIANA MUNICIPAL INCOME FUND
At August 31, 2006, the Fund's sector composition(1) was as follows:
Sector | Percentage | |
---|---|---|
General Obligation | 29.4% | |
Special Revenue | 25.9% | |
Miscellaneous | 13.9% | |
Sales Tax | 8.5% | |
Education | 6.2% | |
Mortgage | 4.6% | |
Transportation | 3.8% | |
Utilities | 3.4% | |
Hospitals | 0.4% | |
Cash Equivalents(2) | 3.1% | |
Other Assets and Liabilities--Net(3) | 0.8% | |
TOTAL | 100.0% | |
(1) Sector classifications, and the assignment of holdings to such sectors, are based upon the economic sector and/or revenue source of the underlying obligor, as determined by the Fund's adviser. For securities that have been enhanced by a third-party (other than a bond insurer), such as a guarantor, sector classifications are based upon the economic sector and/or revenue source of the third-party as determined by the Fund's adviser. Securities that are insured by a bond insurer are assigned to the "Insured" sector. Prerefunded securities are those whose debt service is paid from escrowed assets, usually U.S. government securities.
(2) Cash Equivalents includes any investments in money market mutual funds.
(3) Assets, other than investments in securities, less liabilities. See Statements of Assets and Liabilities.
LOUISIANA MUNICIPAL INCOME FUND
Principal Amount |
| Value | ||
---|---|---|---|---|
(2) MUNICIPAL BONDS--96.1% | ||||
Guam--1.8% | ||||
$1,020,000 | Guam Airport Authority, Revenue Bonds (Series A), 5.25%, 10/1/2014 | $1,110,729 | ||
Louisiana--87.9% | ||||
1,000,000 | Calcasieu Parish, LA, IDB, Sales Tax, 5.50% (AMBAC INS), 11/1/2019 | 1,022,290 | ||
1,000,000 | East Baton Rouge Parish, LA, LT GO, 4.25% (FSA INS)/(Original Issue Yield: 4.39%), 5/1/2018 | 1,010,950 | ||
705,000 | East Baton Rouge Parish, LA, Refunding Revenue Bonds (Series ST-B), 4.00% (AMBAC INS), 2/1/2008 | 709,089 | ||
750,000 | East Baton Rouge Parish, LA, Refunding Revenue Bonds, 5.00% (FGIC INS)/(Original Issue Yield: 4.72%), 2/1/2013 | 775,493 | ||
1,680,000 | East Baton Rouge Parish, LA, Revenue Bonds, 4.50%, 2/1/2013 | 1,757,263 | ||
165,000 | East Baton Rouge, LA Mortgage Finance Authority, SFM Purchasing Revenue Bonds (Series B), 5.40% (FNMA COL), 10/1/2025 | 165,100 | ||
270,000 | Ernest N. Morial-New Orleans, LA Exhibit Hall Authority, (Series C), 5.50% (MBIA Insurance Corp. INS)/(Original Issue Yield: 5.58%), 7/15/2018 | 273,054 | ||
200,000 | Ernest N. Morial-New Orleans, LA Exhibit Hall Authority, Special Tax, 5.60% (MBIA Insurance Corp. INS)/(Original Issue Yield: 5.65%), 7/15/2025 | 202,280 | ||
1,300,000 | Harahan, LA, Refunding Bonds, 6.10%, 6/1/2024 | 1,408,251 | ||
1,055,000 | Iberville Parish, LA, School District Number 005 UT GO, 5.00%, 10/1/2008 | 1,082,968 | ||
935,000 | Jefferson Parish, LA Home Mortgage Authority, Refunding Revenue Bonds (Series A), 6.15% (FNMA and GNMA COLs), 6/1/2028 | 942,059 | ||
700,000 | Jefferson Parish, LA School Board, GO UT, 5.10% accrual (FSA INS)/(Original Issue Yield: 5.10%), 3/1/2010 | 608,972 | ||
$1,340,000 | Jefferson Parish, LA School Board, Revenue Bonds (AMBAC INS), 2/1/2010 | $1,342,318 | ||
680,000 | Jefferson, LA Sales Tax District Special Sales Tax Revenue, (Series B), 5.75% (AMBAC INS)/(Original Issue Yield: 5.20%), 12/1/2014 | 749,054 | ||
1,745,000 | Jefferson, LA Sales Tax District Special Sales Tax Revenue, Revenue Bonds - Public Improvments, 4.00% (AMBAC INS), 12/1/2007 | 1,751,997 | ||
500,000 | Lafayette Parish, LA School Board, Refunding Revenue Bonds, 4.50% (FGIC INS)/(Original Issue Yield: 4.85%), 4/1/2013 | 512,265 | ||
1,500,000 | Lafayette, LA Public Improvement Sales Tax, (Series A), 5.625% (FGIC INS)/(Original Issue Yield: 5.69%), 3/1/2025 | 1,618,140 | ||
1,305,000 | Lafayette, LA Public Power Authority, (Series A), 5.00% (AMBAC INS)/(Original Issue Yield: 2.47%), 11/1/2008 | 1,337,077 | ||
140,000 | Louisiana HFA, SFM Revenue Bonds (Series 2005A), 3.85% (GNMA Collateralized Home Mortgage Program COL), 12/1/2012 | 139,555 | ||
90,000 | Louisiana HFA, SFM Revenue Bonds (Series 2005A), 3.95% (GNMA Collateralized Home Mortgage Program COL), 12/1/2013 | 89,850 | ||
85,000 | Louisiana HFA, SFM Revenue Bonds (Series 2005A), 4.05% (GNMA Collateralized Home Mortgage Program COL), 12/1/2014 | 84,978 | ||
195,000 | Louisiana HFA, SFM Revenue Bonds (Series 2005A), 4.30% (GNMA Collateralized Home Mortgage Program COL), 12/1/2017 | 196,269 | ||
1,000,000 | Louisiana Local Government Environmental Facilities Community Development Authority, (Series A) Revenue Bonds, 5.20% (Original Issue Yield: 5.30%), 6/1/2031 | 1,051,600 | ||
$1,835,000 | Louisiana Local Government Environmental Facilities Community Development Authority, 5.50% (MBIA Insurance Corp. INS), 12/1/2012 | $2,007,729 | ||
1,500,000 | Louisiana Local Government Environmental Facilities Community Development Authority, Refunding Revenue Bonds, 5.00% (MBIA Insurance Corp. INS), 12/1/2032 | 1,545,720 | ||
215,000 | Louisiana PFA, Hospital Revenue, Refunding Revenue Bonds, 5.00% (Louisiana Health System Corporate Project)/(FSA INS)/(Original Issue Yield: 5.10%), 10/1/2013 | 223,993 | ||
1,045,000 | Louisiana PFA, (Series A) Revenue Refunding Bonds, 5.125% (Tulane University, LA)/(Original Issue Yield: 5.25%), 7/1/2027 | 1,084,522 | ||
750,000 | Louisiana PFA, 4.50%, 10/15/2010 | 754,313 | ||
1,000,000 | Louisiana PFA, Refunding Revenue Bonds (Series A), 5.00% (Tulane University, LA)/(AMBAC INS)/(Original Issue Yield: 5.15%), 7/1/2022 | 1,038,070 | ||
1,000,000 | Louisiana PFA, Revenue Bonds, 5.00% (FSA INS)/(Original Issue Yield: 5.38%), 8/1/2017 | 1,040,190 | ||
500,000 | Louisiana PFA, Revenue Bonds, 5.10% (Tulane University, LA)/(MBIA Insurance Corp. INS)/(Original Issue Yield: 5.27%), 11/15/2021 | 513,215 | ||
1,845,000 | Louisiana PFA, Revenue Refunding Bonds (Series A), 6.75% (Bethany Home Project)/(FHA GTD), 8/1/2025 | 1,847,011 | ||
1,000,000 | Louisiana PFA, Revenue Refunding Bonds, 5.45% (AMBAC INS)/(Original Issue Yield: 5.45%), 2/1/2013 | 1,014,120 | ||
$1,000,000 | Louisiana State Office Facilities, Refunding Revenue Bonds, 4.70% (MBIA Insurance Corp. INS)/(Original Issue Yield: 4.79%), 11/1/2022 | $1,020,860 | ||
1,000,000 | Louisiana State Office Facilities, Refunding Revenue Bonds, 4.75% (MBIA Insurance Corp. INS)/(Original Issue Yield: 4.88%), 11/1/2023 | 1,022,180 | ||
1,000,000 | Louisiana State Transportation Authority Toll Revenue, Revenue Bonds, 5.00%, 9/1/2009 | 1,034,150 | ||
750,000 | Louisiana State University and Agricultural and Mechanical College, Refunding Revenue Bonds (Auxiliary Series A), 4.00% (AMBAC INS), 7/1/2012 | 760,695 | ||
1,250,000 | Louisiana State University and Agricultural and Mechanical College, University & College Improvement Revenue Refunding Bonds, 5.00% (University of New Orleans Project)/(AMBAC INS), 10/1/2030 | 1,275,600 | ||
1,500,000 | Louisiana State, (Series A), 5.00% (FGIC INS)/(Original Issue Yield: 5.23%), 11/15/2015 | 1,579,410 | ||
1,000,000 | Louisiana State, GO UT (Series B), 5.00% (FSA INS)/(Original Issue Yield: 5.17%), 4/15/2018 | 1,031,790 | ||
1,380,000 | Natchitoches Parish, LA School District No. 9, GO UT Refunding Bonds, 3.85%, 3/1/2016 | 1,358,099 | ||
250,000 | New Orleans, LA Aviation Board, Refunding Revenue Bonds, 6.00% (FSA INS)/(Original Issue Yield: 6.16%), 9/1/2019 | 250,385 | ||
970,000 | New Orleans, LA Home Mortgage Authority, Special Obligation Revenue Bonds, 6.25% (United States Treasury/REFCO Strips COL)/(Original Issue Yield: 6.518%), 1/15/2011 | 1,057,222 | ||
$1,455,000 | New Orleans, LA, LT GO, 3.00% (MBIA Insurance Corp. INS), 3/1/2007 | $1,448,569 | ||
1,145,000 | Orleans, LA Levee District, Refunding Revenue Bonds (Series A), 5.95% (FSA INS)/(Original Issue Yield: 6.039%), 11/1/2014 | 1,175,354 | ||
790,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT, 5.75% (FGIC INS)/(Original Issue Yield: 5.78%), 3/1/2020 | 844,984 | ||
780,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT, 5.75% (FGIC INS)/(Original Issue Yield: 5.81%), 3/1/2021 | 834,288 | ||
1,020,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT, 5.75% (FGIC INS)/(Original Issue Yield: 5.85%), 3/1/2024 | 1,090,992 | ||
85,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT Refunding Bonds, 3.00% (MBIA Insurance Corp. INS), 3/1/2007 | 84,649 | ||
85,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT Refunding Bonds, 3.25% (MBIA Insurance Corp. INS), 3/1/2008 | 84,441 | ||
90,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT Refunding Bonds, 3.25% (MBIA Insurance Corp. INS), 3/1/2009 | 88,925 | ||
575,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT Refunding Bonds, 4.00% (MBIA Insurance Corp. INS), 3/1/2011 | 582,855 | ||
705,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT Refunding Bonds, 4.00% (MBIA Insurance Corp. INS)/(Original Issue Yield: 4.06%), 3/1/2015 | 710,823 | ||
$535,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT Refunding Bonds, 4.00% (MBIA Insurance Corp. INS)/(Original Issue Yield: 4.15%), 3/1/2016 | $537,301 | ||
95,000 | Ouachita Parish, LA East Ouachita Parish School District, GO UT, 3.50% (MBIA Insurance Corp. INS), 3/1/2010 | 94,520 | ||
1,060,000 | Plaquemines Parish LA, Law Enforcement District GO UT, 4.00%, 3/1/2009 | 1,065,639 | ||
2,500,000 | Rapides Parish, LA Industrial Development, Refunding Revenue Bonds, 5.875% (AMBAC INS)/(Original Issue Yield: 5.95%), 9/1/2029 | 2,689,700 | ||
1,000,000 | Shreveport, LA, GO UT Public Improvement Bonds, 5.00%, 3/1/2017 | 1,033,550 | ||
870,000 | Shreveport, LA, GO UT (Series A), 4.00% (Original Issue Yield: 4.03%), 11/1/2012 | 877,543 | ||
815,000 | Shreveport, LA, Water & Sewer, (Series C), 4.00% (FGIC INS)/(Original Issue Yield: 3.80%), 6/1/2014 | 821,341 | ||
1,000,000 | St. Charles Parish, LA Public Improvement, 3.50%, 12/1/2008 | 996,210 | ||
Total | 55,351,830 | |||
Missouri--2.9% | ||||
1,840,000 | Wentzville, MO School District No. R 04, GO UT (Series PG-A), 4.00% (XL Capital Assurance Inc. INS), 3/1/2020 | 1,816,374 | ||
North Carolina--3.5% | ||||
2,250,000 | Johnston County, NC, GO UT, 4.00% (FGIC INS), 2/1/2021 | 2,231,685 | ||
TOTAL MUNICIPAL BONDS (identified cost $59,201,971) | 60,510,618 | |||
Shares |
| Value | ||
MUTUAL FUND--3.1% | ||||
1,978,186 | Goldman Sachs ILA Tax-Free Instruments (at net asset value) | $1,978,186 | ||
TOTAL INVESTMENTS--99.2% | 62,488,804 | |||
OTHER ASSETS AND LIABILITIES--NET--0.8% | 506,431 | |||
TOTAL NET ASSETS--100% | $62,995,235 | |||
Portfolio of Investments Summary Table
MID CAP EQUITY FUND
At August 31, 2006, the Fund's sector composition(1) was as follows:
Sector | Percentage | |
---|---|---|
Finance | 21.1% | |
Electronic Technology | 8.5% | |
Utilities | 8.5% | |
Retail Trade | 7.7% | |
Health Technology | 6.7% | |
Producer Manufacturing | 6.0% | |
Technology Services | 6.0% | |
Energy Minerals | 4.5% | |
Industrial Services | 4.2% | |
Commercial Services | 4.1% | |
Health Services | 4.1% | |
Transportation | 3.9% | |
Non-Energy Minerals | 3.1% | |
Consumer Non-Durables | 2.5% | |
Process Industries | 2.4% | |
Distribution Services | 2.0% | |
Consumer Services | 0.9% | |
Consumer Durables | 0.6% | |
Communications | 0.4% | |
Cash Equivalents(2) | 3.1% | |
Other Assets and Liabilities--Net(3) | (0.3)% | |
TOTAL | 100.0% | |
(1) Except for Cash Equivalents and Other Assets and Liabilities, sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS) except that the adviser assigns a classification to securities not classified by the GICS and to securities for which the adviser does not have access to the classification made by the GICS.
(2) Cash Equivalents include any investments in money market mutual funds.
(3) Assets, other than investments in securities, less liabilities. See Statements of Assets and Liabilities.
MID CAP EQUITY FUND
Shares |
| Value | ||
---|---|---|---|---|
COMMON STOCKS--97.2% | ||||
Commercial Services--4.1% | ||||
14,390 | (1) Dun & Bradstreet Corp. | $1,011,761 | ||
42,100 | Ikon Office Solutions, Inc. | 599,925 | ||
116,900 | (1) MPS Group, Inc. | 1,643,614 | ||
46,200 | SEI Investments Co. | 2,358,048 | ||
Total | 5,613,348 | |||
Communications--0.4% | ||||
6,180 | CenturyTel, Inc. | 246,088 | ||
7,920 | Telephone and Data System, Inc. | 335,887 | ||
Total | 581,975 | |||
Consumer Durables--0.6% | ||||
22,333 | D. R. Horton, Inc. | 489,763 | ||
10,000 | Newell Rubbermaid, Inc. | 269,900 | ||
Total | 759,663 | |||
Consumer Non-Durables--2.5% | ||||
36,100 | American Greetings Corp., Class A | 885,172 | ||
5,000 | Brown-Forman Corp., Class B | 384,900 | ||
32,200 | (1) Coach, Inc. | 972,118 | ||
30,900 | Hormel Foods Corp. | 1,132,485 | ||
Total | 3,374,675 | |||
Consumer Services--0.9% | ||||
43,900 | Bob Evans Farms, Inc. | 1,244,126 | ||
Distribution Services--2.0% | ||||
39,960 | (1) Avnet, Inc. | 781,618 | ||
6,480 | CDW Corp. | 377,784 | ||
10,000 | Grainger (W.W.), Inc. | 668,000 | ||
53,700 | (1) Ingram Micro, Inc., Class A | 966,600 | ||
Total | 2,794,002 | |||
Electronic Technology--8.5% | ||||
46,569 | Harris Corp. | 2,045,311 | ||
45,000 | Imation Corp. | 1,783,350 | ||
33,660 | Jabil Circuit, Inc. | 903,098 | ||
33,180 | (1) MEMC Electronic Materials, Inc. | 1,283,402 | ||
40,000 | (1) Micrel, Inc. | 400,800 | ||
99,780 | Microchip Technology, Inc. | 3,408,485 | ||
15,200 | Precision Castparts Corp. | 888,288 | ||
9,800 | (1) Sequa Corp., Class A | 899,640 | ||
Total | 11,612,374 | |||
Energy Minerals--4.5% | ||||
41,000 | (1) Newfield Exploration Co. | $1,772,840 | ||
51,900 | Tesoro Petroleum Corp. | 3,353,259 | ||
20,000 | (1) Unit Corp. | 1,054,200 | ||
Total | 6,180,299 | |||
Finance--21.1% | ||||
15,400 | AmerUs Group Co. | 1,044,120 | ||
58,400 | American Capital Strategies Ltd. | 2,261,832 | ||
50,000 | Assurant, Inc. | 2,572,500 | ||
68,595 | Bancorpsouth, Inc. | 1,924,776 | ||
32,200 | Bank of Hawaii Corp. | 1,572,004 | ||
90,000 | (1) CB Richard Ellis Services, Inc. | 2,070,000 | ||
15,400 | Edwards(AG), Inc. | 813,428 | ||
5,074 | Fidelity National Title Group, Inc., Class A | 102,292 | ||
35,500 | First American Financial Corp. | 1,442,010 | ||
98,700 | First BanCorp | 907,053 | ||
151,500 | HRPT Properties Trust | 1,757,400 | ||
20,000 | Hanover Insurance Group, Inc. | 890,000 | ||
43,000 | Hospitality Properties Trust | 1,991,760 | ||
41,100 | IndyMac Bancorp, Inc. | 1,607,010 | ||
7,400 | Jones Lang LaSalle, Inc. | 616,124 | ||
23,700 | Ohio Casualty Corp. | 615,015 | ||
23,380 | PMI Group, Inc. | 1,010,951 | ||
50,000 | Plum Creek Timber Co., Inc. | 1,741,500 | ||
18,930 | Radian Group, Inc. | 1,133,528 | ||
5,100 | Reinsurance Group of America | 263,568 | ||
24,000 | Ryder System, Inc. | 1,186,080 | ||
29,500 | Wilmington Trust Corp. | 1,299,475 | ||
Total | 28,822,426 | |||
Health Services--4.1% | ||||
15,000 | (1) Express Scripts, Inc., Class A | 1,261,200 | ||
40,000 | (1) Humana, Inc. | 2,437,200 | ||
30,000 | Pharmaceutical Product Development, Inc. | 1,143,600 | ||
15,600 | (1) Triad Hospitals, Inc. | 687,336 | ||
Total | 5,529,336 | |||
Health Technology--6.7% | ||||
69,800 | Applera Corp. | 2,139,370 | ||
8,200 | (1) Barr Laboratories, Inc. | 463,300 | ||
16,100 | (1) Charles River Laboratories International, Inc. | 654,304 | ||
9,860 | Hillenbrand Industries, Inc. | 562,710 | ||
19,200 | (1) Invitrogen Corp. | $1,168,320 | ||
19,720 | Mylan Laboratories, Inc. | 400,710 | ||
25,000 | (1) Respironics, Inc. | 922,750 | ||
30,000 | (1) Techne Corp. | 1,527,000 | ||
25,300 | (1) Varian Medical Systems, Inc. | 1,348,490 | ||
Total | 9,186,954 | |||
Industrial Services--4.2% | ||||
50,000 | (1) Allied Waste Industries, Inc. | 517,000 | ||
36,100 | BJ Services Co. | 1,238,591 | ||
7,000 | Fluor Corp. | 604,940 | ||
40,000 | Granite Construction, Inc. | 2,146,000 | ||
48,460 | Helmerich & Payne, Inc. | 1,188,724 | ||
Total | 5,695,255 | |||
Non-Energy Minerals--3.1% | ||||
23,100 | Florida Rock Industries, Inc. | 859,089 | ||
58,000 | Louisiana-Pacific Corp. | 1,134,480 | ||
41,600 | Steel Dynamics, Inc. | 2,196,064 | ||
Total | 4,189,633 | |||
Process Industries--2.4% | ||||
48,700 | Airgas, Inc. | 1,744,434 | ||
80,000 | Celanese Corp. | 1,479,200 | ||
Total | 3,223,634 | |||
Producer Manufacturing--6.0% | ||||
30,000 | Cummins, Inc. | 3,444,600 | ||
9,270 | (1) Energizer Holdings, Inc. | 619,792 | ||
9,860 | Johnson Controls, Inc. | 709,230 | ||
60,000 | Joy Global, Inc. | 2,612,400 | ||
33,000 | (1) TRW Automotive Holdings Corp. | 813,780 | ||
Total | 8,199,802 | |||
Retail Trade--7.7% | ||||
33,410 | Abercrombie & Fitch Co., Class A | 2,155,947 | ||
61,600 | Circuit City Stores, Inc. | 1,454,376 | ||
72,100 | Claire's Stores, Inc. | 1,970,493 | ||
20,000 | Fastenal Co. | 733,600 | ||
40,600 | Mens Wearhouse, Inc. | 1,439,270 | ||
40,000 | (1) NetFlix, Inc. | 800,400 | ||
32,200 | (1) Pacific Sunwear of California | 430,192 | ||
42,390 | Ross Stores, Inc. | 1,038,131 | ||
17,670 | Ruddick Corp. | 455,709 | ||
Total | 10,478,118 | |||
Technology Services--6.0% | ||||
65,000 | (1) Akamai Technologies, Inc. | $2,548,000 | ||
19,900 | (1) Autodesk, Inc. | 691,724 | ||
45,000 | (1) BMC Software, Inc. | 1,197,900 | ||
39,500 | Global Payments, Inc. | 1,502,975 | ||
96,300 | (1) Sybase, Inc. | 2,221,641 | ||
Total | 8,162,240 | |||
Transportation--3.9% | ||||
35,000 | Con-way, Inc. | 1,674,750 | ||
59,200 | OMI Corp. | 1,333,184 | ||
47,300 | Tidewater, Inc. | 2,251,953 | ||
Total | 5,259,887 | |||
Utilities--8.5% | ||||
25,000 | Allete, Inc. | 1,148,500 | ||
49,300 | Energen Corp. | 2,151,452 | ||
29,200 | Equitable Resources, Inc. | 1,076,312 | ||
85,350 | MDU Resources Group, Inc. | 2,091,075 | ||
20,000 | (1) NRG Energy, Inc. | 1,012,800 | ||
51,400 | National Fuel Gas Co. | 1,961,938 | ||
25,080 | Questar Corp. | 2,170,423 | ||
Total | 11,612,500 | |||
TOTAL COMMON STOCKS | 132,520,247 | |||
MUTUAL FUND--3.1% | ||||
4,303,398 | Fidelity Institutional Cash Treasury Money Market Fund (at net asset value) | 4,303,398 | ||
TOTAL INVESTMENTS--100.3% | 136,823,645 | |||
OTHER ASSETS AND LIABILITIES--NET--(0.3)% | (464,723) | |||
TOTAL NET ASSETS--100% | $136,358,922 | |||
Portfolio of Investments Summary Table
TOTAL RETURN BOND FUND
At August 31, 2006, the Fund's portfolio composition(1) was as follows:
Security Type | Percentage | |
---|---|---|
Mortgage-Backed Securities(2) | 41.0% | |
Corporate Bonds | 26.1% | |
Government Agencies | 16.8% | |
U.S. Treasury and Agency Securities(3) | 12.5% | |
Collateralized Mortgage Obligations | 11.3% | |
Cash Equivalents(4) | 0.7% | |
Other Assets and Liabilities--Net(5) | (8.4)% | |
TOTAL | 100.0% | |
(1) See the Fund's Prospectus and Statement of Additional Information for a description of these security types.
(2) For purposes of this table, mortgage-backed securities include mortgage-backed securities guaranteed by Government Sponsored Entities (GSEs) and adjustable rate mortgage-backed securities.
(3) For purposes of this table, U.S. Treasury and Agency Securities do not include mortgage-backed securities guaranteed by GSES.
(4) Cash Equivalents include any investments in money market mutual funds.
(5) Assets, other than investments in securities, less liabilities. See Statements of Assets and Liabilities.
TOTAL RETURN BOND FUND
Principal |
| Value | ||
---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS--11.3% | ||||
Bank--6.1% | ||||
$1,000,000 | Banc of America Commercial Mortgage 2000-2, 4.161%, 12/10/2042 | $966,875 | ||
2,000,000 | Citigroup/Deutsche Bank Commercial Mortgage 2006-CD2, Class A4, 5.544522%, 1/15/2046 | 1,985,782 | ||
Total | 2,952,657 | |||
Finance--5.2% | ||||
1,500,000 | Citigroup Commercial Mortgage Trust 2006-C4, Class A3, 5.911152%, 3/15/2049 | 1,535,737 | ||
1,000,000 | Morgan Stanley Capital Trust I 2006-HQ9, Class A4, 5.731%, 7/12/2044 | 1,020,345 | ||
Total | 2,556,082 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (identified cost $5,479,709) | 5,508,739 | |||
CORPORATE BONDS--26.1% | ||||
Communications--3.2% | ||||
225,000 | AT&T Wireless Services, Inc., 8.75%, 3/1/2031 | 285,064 | ||
850,000 | Cox Communications, Inc., Unsecd. Note, 5.45%, 12/15/2014 | 811,522 | ||
475,000 | Verizon Communications, Sr. Note, 6.50%, 9/15/2011 | 484,808 | ||
Total | 1,581,394 | |||
Communications-Telecom Wireless--1.2% | ||||
625,000 | Verizon Virginia, Inc., 4.625%, 3/15/2013 | 580,896 | ||
Consumer Durables--4.3% | ||||
950,000 | DaimlerChrysler North America Holding Corp., Company Guarantee, 7.75%, 1/18/2011 | 1,022,363 | ||
1,000,000 | Pulte Homes, Inc., Company Guarantee, 7.875%, 8/1/2011 | 1,075,184 | ||
Total | 2,097,547 | |||
Consumer Non-Durables--0.1% | ||||
75,000 | Kraft Foods, Inc., Note, 5.25%, 6/1/2007 | 74,872 | ||
Energy Minerals--0.4% | ||||
$225,000 | Canadian Natural Resources Ltd., 5.85%, 2/1/2035 | $214,200 | ||
Energy-Independent--2.0% | ||||
975,000 | Pemex Project Funding Master, Company Guarantee, 5.75%, 12/15/2015 | 952,575 | ||
Finance--12.1% | ||||
500,000 | American International Group, Inc., 5.05%, 10/1/2015 | 482,192 | ||
250,000 | Asian Development Bank, Bond, 6.75%, 6/11/2007 | 253,563 | ||
800,000 | General Electric Capital Corp., Note, 4.25%, 1/15/2008 | 790,421 | ||
75,000 | Goldman Sachs Group, Inc., 6.125%, 2/15/2033 | 74,533 | ||
600,000 | International Lease Finance Corp., Sr. Note, 5.00%, 4/15/2010 | 592,770 | ||
200,000 | Inter-American Development Bank, Bond, 7.375%, 1/15/2010 | 214,629 | ||
1,100,000 | iStar Financial, Inc., Unsecd. Note, 5.15%, 3/3/2012 | 1,070,383 | ||
1,150,000 | Morgan Stanley, Sub. Note, 4.75%, 4/1/2014 | 1,094,686 | ||
900,000 | Petrobras International Finance, Sr. Note, 9.75%, 7/6/2011 | 1,057,275 | ||
275,000 | Washington Mutual Bank, 5.125%, 1/15/2015 | 265,365 | ||
Total | 5,895,817 | |||
Foreign-Local-Govt--0.8% | ||||
175,000 | Ontario, Province of, Note, 4.50%, 2/3/2015 | 168,158 | ||
200,000 | Quebec, Province of, 5.75%, 2/15/2009 | 203,095 | ||
Total | 371,253 | |||
Health Technology--1.0% | ||||
225,000 | Genentech, Inc., Note, 4.75%, 7/15/2015 | 213,627 | ||
250,000 | Oncor, Inc., Sec. Fac. Bond, 6.375%, 5/1/2012 | 257,313 | ||
Total | 470,940 | |||
Retail Trade--0.3% | ||||
150,000 | Federated Department Stores, Inc., Note, 6.70%, 7/15/2034 | 150,524 | ||
Transportation--0.4% | ||||
$175,000 | Canadian National Railway, Note, 6.90%, 7/15/2028 | $197,554 | ||
Utilities--0.3% | ||||
150,000 | Pacific Gas & Electric Co., 6.05%, 3/1/2034 | 149,348 | ||
TOTAL CORPORATE BONDS (identified cost $12,933,626) | 12,736,920 | |||
GOVERNMENT AGENCIES--16.8% | ||||
Federal Home Loan Bank System--3.0% | ||||
713,000 | (5) Discount Bond, 5.150%, 9/13/2006 | 711,776 | ||
750,000 | Bond, 3.57%, 2/15/2007 | 744,413 | ||
Total | 1,456,189 | |||
Federal Home Loan Mortgage Corporation--1.0% | ||||
485,000 | (5) Discount Bond, Series RB, 5.160%, 9/5/2006 | 484,722 | ||
Federal National Mortgage Association--12.8% | ||||
1,263,000 | 5.170%, 9/13/2006 | 1,260,821 | ||
1,906,000 | 5.100% - 5.130%, 9/18/2006 | 1,901,403 | ||
1,000,000 | Note, 4.00%, 8/8/2008 | 979,680 | ||
1,000,000 | Note, 5.25%, 1/15/2009 | 1,008,033 | ||
1,000,000 | Unsecd. Note, 7.125%, 6/15/2010 | 1,072,375 | ||
Total | 6,222,312 | |||
TOTAL GOVERNMENT AGENCIES (identified cost $8,125,089) | 8,163,223 | |||
MORTGAGE-BACKED SECURITIES--41.0% | ||||
(3) Federal Home Loan Mortgage Corporation 15 Year--3.7% | ||||
578,969 | Pool E98632, 5.00%, 8/1/2018 | 568,910 | ||
1,145,717 | Pool G11536, 4.50%, 4/1/2014 | 1,113,422 | ||
124,000 | Pool TBA, 5.00%, 9/1/2020 | 121,442 | ||
Total | 1,803,774 | |||
(3) Federal Home Loan Mortgage Corporation 30 Year--6.0% | ||||
$734,590 | Pool A23881, 6.50%, 6/1/2034 | $748,639 | ||
1,213,265 | Pool G08003, 6.00%, 7/1/2034 | 1,218,800 | ||
100,000 | Pool TBA, 5.00%, 9/1/2036 | 95,969 | ||
859,000 | Pool TBA, 5.50%, 9/1/2036 | 844,504 | ||
Total | 2,907,912 | |||
(3) Federal National Mortgage Association 15 Year--7.8% | ||||
82,570 | 6.00%, 12/1/2020 | 83,594 | ||
940,771 | Pool 831124, 5.00%, 11/1/2020 | 923,955 | ||
367,280 | Pool 848931, 6.00%, 1/1/2021 | 371,721 | ||
541,431 | Pool 850142, 5.50%, 1/1/2021 | 540,889 | ||
1,980,000 | Pool TBA, 4.50%, 9/1/2021 | 1,904,512 | ||
Total | 3,824,671 | |||
(3) Federal National Mortgage Association 30 Year--19.1% | ||||
1,279,259 | Pool 725946, 5.50%, 11/1/2034 | 1,259,990 | ||
1,894 | Pool 76204, 11.00%, 6/1/2019 | 1,976 | ||
1,422,933 | Pool 797659, 5.00%, 9/1/2035 | 1,365,749 | ||
2,298,168 | Pool 817423, 5.50%, 8/1/2035 | 2,259,243 | ||
430,540 | Pool 825461, 6.00%, 6/1/2035 | 431,644 | ||
428,035 | Pool 830762, 5.00%, 8/1/2035 | 410,833 | ||
945,272 | Pool 830766, 5.00%, 8/1/2035 | 907,284 | ||
940,538 | Pool 832443, 5.00%, 9/1/2035 | 902,740 | ||
2,746 | Pool 85131, 11.00%, 5/1/2017 | 2,962 | ||
742,110 | Pool 868935, 5.50%, 5/1/2036 | 729,077 | ||
898,000 | Pool TBA, 6.00%, 9/1/2036 | 899,403 | ||
138,000 | Pool TBA, 6.50%, 9/1/2036 | 140,156 | ||
Total | 9,311,057 | |||
(3) Government National Mortgage Association 15 Year--0.1% | ||||
57,366 | Pool 420153, 7.00%, 9/15/2010 | 58,393 | ||
(3) Government National Mortgage Association 30 Year--4.3% | ||||
5,396 | Pool 147875, 10.00%, 3/15/2016 | 5,771 | ||
19,622 | Pool 168511, 8.00%, 7/15/2016 | 20,507 | ||
2,167 | Pool 174673, 8.00%, 8/15/2016 | 2,248 | ||
7,022 | Pool 177145, 8.00%, 1/15/2017 | 7,339 | ||
306 | Pool 188080, 8.00%, 9/15/2018 | 321 | ||
4,129 | Pool 212660, 8.00%, 4/15/2017 | 4,324 | ||
21,516 | Pool 216950, 8.00%, 6/15/2017 | 22,533 | ||
3,431 | Pool 217533, 8.00%, 5/15/2017 | 3,547 | ||
$2,377 | Pool 253449, 10.00%, 10/15/2018 | $2,563 | ||
5,469 | Pool 279619, 10.00%, 9/15/2019 | 5,945 | ||
3,500 | Pool 288967, 9.00%, 4/15/2020 | 3,771 | ||
1,485 | Pool 289082, 9.00%, 4/15/2020 | 1,538 | ||
5,892 | Pool 291100, 9.00%, 5/15/2020 | 6,339 | ||
19,771 | Pool 302101, 7.00%, 6/15/2024 | 20,499 | ||
28,472 | Pool 345031, 7.00%, 10/15/2023 | 29,521 | ||
34,206 | Pool 345090, 7.00%, 11/15/2023 | 35,434 | ||
22,962 | Pool 360772, 7.00%, 2/15/2024 | 23,808 | ||
12,096 | Pool 404653, 7.00%, 9/15/2025 | 12,524 | ||
25,641 | Pool 408884, 7.00%, 9/15/2025 | 26,552 | ||
25,495 | Pool 410108, 7.00%, 9/15/2025 | 26,397 | ||
92,388 | Pool 415427, 7.50%, 8/15/2025 | 96,272 | ||
21,966 | Pool 415865, 7.00%, 9/15/2025 | 22,743 | ||
83,601 | Pool 418781, 7.00%, 9/15/2025 | 86,572 | ||
57,947 | Pool 420157, 7.00%, 10/15/2025 | 60,026 | ||
204,097 | Pool 532641, 7.00%, 12/15/2030 | 211,140 | ||
752,032 | Pool 615486, 5.50%, 7/15/2034 | 746,251 | ||
233,553 | Pool 780717, 7.00%, 2/15/2028 | 241,733 | ||
134,000 | Pool TBA, 5.00%, 9/15/2035 | 130,022 | ||
228,000 | Pool TBA, 6.00%, 9/15/2033 | 230,351 | ||
Total | 2,086,591 | |||
TOTAL MORTGAGE-BACKED SECURITIES | 19,992,398 | |||
Principal |
| Value | ||
U.S. TREASURY--12.5% | ||||
U.S. Treasury Bonds--5.2% | ||||
$305,000 | 4.50%, 2/15/2036 | $287,034 | ||
1,055,000 | 5.25%, 2/15/2029 | 1,100,002 | ||
151,000 | 5.375%, 2/15/2031 | 160,650 | ||
813,000 | 6.50%, 11/15/2026 | 972,551 | ||
Total | 2,520,237 | |||
U.S. Treasury Notes--7.3% | ||||
245,000 | 3.75%, 3/31/2007 | 243,067 | ||
97,000 | 4.25%, 11/15/2013 | 94,196 | ||
1,979,000 | 4.375%, 11/15/2008 | 1,963,230 | ||
12,000 | 4.375%, 12/15/2010 | 11,850 | ||
163,000 | 4.625%, 3/31/2008 | 162,414 | ||
670,000 | 4.875%, 8/15/2009 | 673,036 | ||
99,000 | 4.875%, 8/15/2016 | 100,114 | ||
314,000 | 5.00%, 7/31/2008 | 315,178 | ||
Total | 3,563,085 | |||
TOTAL U.S. TREASURY | 6,083,322 | |||
MUTUAL FUND--0.7% | ||||
319,829 | Fidelity Institutional Cash Treasury Money Market Fund (at net asset value) | 319,829 | ||
TOTAL INVESTMENTS--108.4% | 52,804,431 | |||
OTHER ASSETS AND LIABILITIES--NET--(8.4)% | (4,074,802) | |||
TOTAL NET ASSETS--100% | $48,729,629 | |||
Portfolio of Investments Summary Table
U.S. GOVERNMENT INCOME FUND
At August 31, 2006, the Fund's portfolio composition(1) was as follows:
Security Type | Percentage | |
---|---|---|
U.S. Government Agency Mortgage-Backed Securities | 50.7% | |
U.S. Government Agency Securities | 23.8% | |
U.S. Treasury Notes | 21.4% | |
Collateralized Mortgage Obligations | 9.6% | |
Cash Equivalents(2) | 0.2% | |
Other Assets and Liabilities--Net(3) | (5.7)% | |
TOTAL | 100.0% | |
(1) See the Fund's Prospectus for a description of the principal types of securities in which the Fund invests.
(2) Cash Equivalents include any investments in money market mutual funds.
(3) Assets, other than investments in securities, less liabilities. See Statements of Assets and Liabilities.
U.S. GOVERNMENT INCOME FUND
Principal |
| Value | ||
---|---|---|---|---|
LONG-TERM OBLIGATIONS--105.5% | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS--9.6% | ||||
$1,000,000 | Banc of America Commercial Mortgage 2000-2, 4.161%, 12/10/2042 | $966,875 | ||
1,000,000 | Citigroup/Deutsche Bank Commercial Mortgage 2006-CD2, 1.00%, 1/15/2046 | 992,891 | ||
1,000,000 | GE Capital Commercial Mortgage Corp. 2005-C1, 4.353%, 6/10/2048 | 970,469 | ||
2,500,000 | Merrill Lynch Mortgage Investors, Inc., 6.720%, 11/15/2026 | 2,599,412 | ||
2,000,000 | Morgan Stanley Capital I 2005-HQ6, 4.989%, 8/13/2042 | 1,935,782 | ||
1,000,000 | Morgan Stanley Capital Trust I 2006-HQ9, 5.731%, 7/20/2044 | 1,020,345 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | 8,485,774 | |||
GOVERNMENT AGENCIES--20.1% | ||||
Federal Home Loan Bank System--2.0% | ||||
92,000 | 4.000%, 12/15/2009 | 89,354 | ||
180,000 | 4.375%, 9/17/2010 | 176,106 | ||
1,500,000 | 5.800%, 9/2/2008 | 1,519,816 | ||
Total | 1,785,276 | |||
Federal Home Loan Mortgage Corporation--8.5% | ||||
1,229,000 | 3.875%, 6/15/2008 | 1,204,275 | ||
2,770,000 | 4.000%, 8/17/2007 | 2,737,418 | ||
117,000 | 4.375%, 7/17/2015 | 111,259 | ||
1,000,000 | 4.500%, 12/16/2010 | 978,087 | ||
1,455,000 | 4.875%, 2/17/2009 | 1,451,022 | ||
750,000 | 5.125%, 4/18/2011 | 753,633 | ||
231,000 | 5.125%, 7/15/2012 | 232,025 | ||
91,000 | 5.150%, 9/20/2006 | 90,753 | ||
Total | 7,558,472 | |||
Federal National Mortgage Association--9.6% | ||||
215,000 | 4.125%, 5/15/2010 | 208,840 | ||
525,000 | 4.125%, 4/15/2014 | 494,364 | ||
525,000 | 4.250%, 8/15/2010 | 511,446 | ||
298,000 | 4.625%, 10/15/2014 | 289,711 | ||
29,000 | 5.000%, 3/15/2016 | 28,833 | ||
$1,392,000 | 5.130% - 5.150%, 9/18/2006 | $1,388,616 | ||
3,775,000 | 5.140% - 5.210%, 9/13/2006 | 3,768,493 | ||
520,000 | 5.375%, 11/15/2011 | 528,486 | ||
718,000 | 6.000%, 5/15/2011 | 748,143 | ||
500,000 | 6.375%, 6/15/2009 | 518,051 | ||
Total | 8,484,983 | |||
TOTAL GOVERNMENT AGENCIES | 17,828,731 | |||
GOVERNMENTS/AGENCIES--3.7% | ||||
Supranational--3.7% | ||||
3,281,000 | 5.110%, 9/15/2006 | 3,274,480 | ||
MORTGAGE-BACKED SECURITIES--50.7% | ||||
(3) Federal Home Loan Mortgage Corporation 15 Year--4.8% | ||||
1,546,717 | 4.500%, 4/1/2014 | 1,503,119 | ||
165,813 | 4.500%, 10/1/2020 | 159,512 | ||
240,000 | 4.500%, 9/1/2021 | 230,625 | ||
677,988 | 5.000%, 12/1/2019 | 665,360 | ||
425,000 | 5.000%, 9/1/2021 | 416,234 | ||
990,022 | 5.500%, 7/1/2021 | 986,743 | ||
315,000 | 6.000%, 9/1/2021 | 318,396 | ||
Total | 4,279,989 | |||
(3) Federal Home Loan Mortgage Corporation 30 Year--13.5% | ||||
169,999 | 5.000%, 4/1/2035 | 163,274 | ||
996,072 | 5.000%, 5/1/2036 | 956,042 | ||
2,483,345 | 5.000%, 6/1/2036 | 2,383,546 | ||
990,247 | 5.000%, 6/1/2036 | 951,070 | ||
338,318 | 5.500%, 1/1/2036 | 332,905 | ||
2,351,314 | 5.500%, 5/1/2036 | 2,312,223 | ||
107,206 | 5.500%, 5/1/2036 | 105,424 | ||
940,000 | 5.500%, 8/1/2036 | 924,372 | ||
730,000 | 5.500%, 9/1/2036 | 717,681 | ||
22,561 | 6.000%, 11/1/2006 | 22,576 | ||
606,632 | 6.000%, 7/1/2034 | 609,400 | ||
1,097,868 | 6.000%, 6/1/2036 | 1,100,476 | ||
825,000 | 6.000%, 9/1/2036 | 826,547 | ||
498,818 | 6.500%, 6/1/2036 | 506,955 | ||
47,486 | 8.750%, 2/1/2017 | 50,170 | ||
3,110 | 9.000%, 6/1/2016 | 3,287 | ||
$87 | 9.000%, 9/1/2016 | $91 | ||
426 | 9.000%, 10/1/2016 | 451 | ||
3,996 | 9.000%, 1/1/2017 | 4,223 | ||
11,276 | 10.000%, 6/1/2018 | 12,194 | ||
Total | 11,982,907 | |||
(3) Federal National Mortgage Association 15 Year--6.8% | ||||
708,696 | 4.000%, 10/1/2020 | 667,371 | ||
34,791 | 4.500%, 6/1/2020 | 33,506 | ||
283,257 | 4.500%, 6/1/2020 | 272,794 | ||
168,943 | 4.500%, 6/1/2020 | 162,703 | ||
64,741 | 4.500%, 7/1/2020 | 62,349 | ||
447,000 | 4.500%, 9/1/2021 | 429,958 | ||
109,079 | 5.000%, 6/1/2018 | 107,299 | ||
632,604 | 5.000%, 12/1/2018 | 622,087 | ||
80,456 | 5.000%, 1/1/2019 | 79,119 | ||
125,186 | 5.000%, 4/1/2019 | 123,027 | ||
119,548 | 5.000%, 7/1/2019 | 117,411 | ||
86,845 | 5.000%, 11/1/2019 | 85,292 | ||
114,589 | 5.000%, 4/1/2020 | 112,541 | ||
70,554 | 5.000%, 5/1/2020 | 69,293 | ||
615,345 | 5.000%, 5/1/2020 | 604,346 | ||
155,714 | 5.500%, 10/1/2016 | 155,947 | ||
142,796 | 5.500%, 2/1/2017 | 143,010 | ||
188,317 | 5.500%, 10/1/2017 | 188,482 | ||
105,312 | 5.500%, 12/1/2017 | 105,404 | ||
120,822 | 5.500%, 3/1/2018 | 120,928 | ||
151,543 | 5.500%, 1/1/2019 | 151,675 | ||
82,497 | 5.500%, 7/1/2021 | 82,259 | ||
489,277 | 5.500%, 12/1/2035 | 480,990 | ||
479,354 | 6.000%, 5/1/2016 | 485,630 | ||
496,424 | 6.000%, 6/1/2021 | 502,428 | ||
30,606 | 7.000%, 8/1/2012 | 31,479 | ||
Total | 5,997,328 | |||
(3) Federal National Mortgage Association 30 Year--20.4% | ||||
848,789 | 4.500%, 9/1/2035 | 791,867 | ||
107,909 | 5.000%, 4/1/2009 | 106,718 | ||
716,016 | 5.000%, 3/1/2034 | 689,703 | ||
$1,125,265 | 5.000%, 5/1/2035 | $1,080,044 | ||
111,913 | 5.000%, 6/1/2035 | 107,415 | ||
947,032 | 5.000%, 6/1/2035 | 908,973 | ||
744,791 | 5.000%, 7/1/2035 | 714,859 | ||
95,079 | 5.000%, 7/1/2035 | 91,258 | ||
481,947 | 5.000%, 12/1/2035 | 462,578 | ||
1,889,000 | 5.000%, 9/1/2036 | 1,811,669 | ||
2,224,143 | 5.500%, 6/1/2033 | 2,194,117 | ||
1,049,647 | 5.500%, 10/1/2034 | 1,033,837 | ||
1,206,282 | 5.500%, 2/1/2035 | 1,185,850 | ||
1,147,070 | 5.500%, 5/1/2035 | 1,127,642 | ||
864,412 | 5.500%, 6/1/2035 | 849,771 | ||
683,327 | 5.500%, 6/1/2035 | 671,753 | ||
1,179,480 | 6.000%, 8/1/2034 | 1,185,819 | ||
958,671 | 6.000%, 4/1/2035 | 963,824 | ||
440,000 | 6.000%, 8/1/2036 | 440,853 | ||
425,000 | 6.000%, 9/1/2036 | 425,664 | ||
59,676 | 6.500%, 1/1/2008 | 59,903 | ||
573,965 | 6.500%, 3/1/2034 | 583,866 | ||
385,756 | 6.500%, 3/1/2035 | 392,169 | ||
100,418 | 7.000%, 12/1/2031 | 103,299 | ||
124,903 | 7.500%, 7/1/2031 | 129,072 | ||
15,912 | 9.500%, 8/1/2020 | 17,178 | ||
Total | 18,129,701 | |||
(3) Government National Mortgage Association 15 Year--0.4% | ||||
18,819 | 6.500%, 2/15/2017 | 19,214 | ||
316,846 | 7.000%, 12/15/2008 | 320,250 | ||
4,491 | 7.000%, 11/15/2009 | 4,572 | ||
27,939 | 7.000%, 9/15/2010 | 28,439 | ||
Total | 372,475 | |||
(3) Government National Mortgage Association 30 Year--4.8% | ||||
883,222 | 5.000%, 7/15/2035 | 857,112 | ||
1,357,459 | 5.500%, 7/15/2034 | 1,347,023 | ||
40,000 | 5.500%, 9/1/2036 | 39,675 | ||
36,813 | 6.000%, 8/15/2034 | 37,236 | ||
561,132 | 6.000%, 8/15/2034 | 567,585 | ||
50,000 | 6.000%, 9/1/2036 | 50,516 | ||
97,176 | 6.500%, 4/15/2029 | 99,815 | ||
200,793 | 7.000%, 9/15/2023 | 207,997 | ||
155,339 | 7.000%, 6/20/2030 | 160,312 | ||
84,839 | 7.000%, 2/15/2032 | 87,752 | ||
$82,080 | 7.000%, 3/15/2032 | $84,885 | ||
46,373 | 7.500%, 10/15/2022 | 48,381 | ||
41,917 | 7.500%, 3/15/2026 | 43,679 | ||
81,397 | 7.500%, 9/15/2026 | 84,793 | ||
37,619 | 7.500%, 11/20/2029 | 38,993 | ||
47,342 | 7.500%, 12/20/2029 | 49,070 | ||
33,745 | 7.500%, 12/20/2030 | 34,966 | ||
73,539 | 8.000%, 1/15/2022 | 77,614 | ||
62,192 | 8.000%, 4/15/2022 | 65,794 | ||
54,245 | 8.000%, 8/15/2022 | 57,386 | ||
49,405 | 8.000%, 10/15/2029 | 52,173 | ||
25,599 | 8.000%, 1/20/2030 | 26,977 | ||
31,609 | 8.000%, 2/20/2030 | 33,301 | ||
35,542 | 8.000%, 3/20/2030 | 37,445 | ||
13,541 | 8.500%, 2/20/2025 | 14,395 | ||
17,742 | 9.000%, 2/15/2020 | 19,072 | ||
18,549 | 9.500%, 6/15/2020 | 20,128 | ||
Total | 4,244,075 | |||
TOTAL MORTGAGE-BACKED SECURITIES | 45,006,475 | |||
Principal | Value | |||
U.S. TREASURY--21.4% | ||||
U.S. Treasury Notes--21.4% | ||||
$2,219,000 | 2.750%, 8/15/2007 | $2,172,713 | ||
2,750,000 | 3.000%, 2/15/2008 | 2,678,672 | ||
1,295,000 | 3.250%, 1/15/2009 | 1,252,508 | ||
1,745,000 | 4.250%, 10/31/2007 | 1,731,367 | ||
235,000 | 4.250%, 1/15/2011 | 230,814 | ||
1,035,000 | 4.375%, 11/15/2008 | 1,026,752 | ||
213,000 | 4.500%, 11/15/2015 | 209,139 | ||
804,000 | 4.750%, 11/15/2008 | 804,000 | ||
160,000 | 4.875%, 5/31/2008 | 160,125 | ||
581,000 | 4.875%, 8/15/2009 | 583,633 | ||
891,000 | 4.875%, 4/30/2011 | 897,126 | ||
300,000 | 4.875%, 5/31/2011 | 302,109 | ||
2,430,000 | 4.875%, 7/31/2011 | 2,448,225 | ||
519,000 | 4.875%, 8/15/2016 | 524,839 | ||
735,000 | 5.000%, 7/31/2008 | 737,756 | ||
115,000 | 6.000%, 8/15/2009 | 119,043 | ||
2,804,000 | 6.500%, 2/15/2010 | 2,961,725 | ||
200,000 | 6.625%, 5/15/2007 | 202,078 | ||
TOTAL U.S. TREASURY | 19,042,624 | |||
TOTAL LONG-TERM OBLIGATIONS (identified cost $93,996,129) | 93,638,084 | |||
MUTUAL FUND--0.2% | ||||
153,476 | Fidelity Institutional Cash Treasury Money Market Fund (at net asset value) | 153,476 | ||
TOTAL INVESTMENTS--105.7% | 93,791,560 | |||
OTHER ASSETS AND LIABILITIES--NET--(5.7)% | (5,081,684) | |||
TOTAL NET ASSETS--100% | $88,709,876 | |||
Portfolio of Investments Summary Table
CASH RESERVE FUND
At August 31, 2006, the Fund's portfolio composition(1) was as follows:
Security Type | Percentage | |
---|---|---|
Commercial Paper | 69.5% | |
U.S. Government Agency Securities | 5.5% | |
Cash Equivalents(2) | 25.1% | |
Other Assets and Liabilities--Net(3) | (0.1)% | |
TOTAL | 100.0% | |
(1) See the Fund's Prospectus for a description of the principal types of securities in which the Fund invests.
(2) Cash Equivalents include any investments in money market mutual funds and overnight repurchase agreements.
(3) Assets, other than investments in securities, less liabilities. See Statements of Assets and Liabilities.
CASH RESERVE FUND
Principal |
| Value | ||
---|---|---|---|---|
(4) COMMERCIAL PAPER--69.5% | ||||
Consumer Durables--4.4% | ||||
$8,000,000 | Toyota Motor Credit Corp., 5.340%, 11/14/2006 | $7,913,338 | ||
Energy Minerals--4.4% | ||||
8,000,000 | Chevron Oil Finance Co., (Guaranteed by Chevron Corp.), 5.256%, 10/20/2006 | 7,943,269 | ||
Finance--56.3% | ||||
8,000,000 | American Express Co., 5.292%, 10/4/2006 | 7,961,500 | ||
8,000,000 | American General Investment Corp., (Guaranteed by American General Corp.), 5.286%, 9/25/2006 | 7,972,000 | ||
5,000,000 | Cargill Financial Services, 5.270%, 9/1/2006 | 5,000,000 | ||
8,000,000 | CIT Group, Inc., 5.436%, 10/6/2006 | 7,958,233 | ||
8,200,000 | Citicorp, 5.326%, 12/1/2006 | 8,091,179 | ||
8,400,000 | General Electric Capital Corp., 5.331%, 11/27/2006 | 8,293,222 | ||
8,000,000 | HSBC Finance Corp., 5.298%, 10/16/2006 | 7,947,500 | ||
8,000,000 | Jupiter Securitization Company LLC, 5.281%, 9/27/2006 | 7,969,609 | ||
8,000,000 | Prudential Funding Corp., 5.271%, 9/19/2006 | 7,979,040 | ||
8,500,000 | Rabobank USA Financial Corp., 5.413%, 10/5/2006 | 8,457,132 | ||
8,000,000 | Societe Generale North America, Inc., (Guaranteed by Societe Generale, Paris), 5.351%, 11/13/2006 | 7,914,347 | ||
8,000,000 | Three Rivers Funding Corp., 5.275%, 9/18/2006 | 7,980,167 | ||
8,000,000 | Wells Fargo & Co., 5.285%, 9/29/2006 | 7,967,333 | ||
Total | 101,491,262 | |||
Principal | Value | |||
Utilities--4.4% | ||||
$8,000,000 | BellSouth Telecommunications, Inc., 5.282%, 10/2/2006 | $7,963,902 | ||
TOTAL COMMERCIAL PAPER | 125,311,771 | |||
(5) GOVERNMENT AGENCIES--5.5% | ||||
Finance--5.5% | ||||
5,000,000 | Federal National Mortgage Association, 2.625%, 11/15/2006 | 4,974,339 | ||
5,000,000 | Federal National Mortgage Association, 3.000%, 11/22/2006 | 4,975,875 | ||
TOTAL GOVERNMENT AGENCIES | 9,950,214 | |||
MUTUAL FUND--3.0% | ||||
5,489,483 | Fidelity Institutional Cash Treasury Money Market Fund | 5,489,483 | ||
REPURCHASE AGREEMENT--22.1% | ||||
$39,743,000 | Interest in $39,743,000 repurchase agreement 5.22%, dated 8/31/2006 under which Morgan Stanley & Co., Inc. will repurchase a U.S. Government Agency security with a maturity of 2/15/2011 for $39,748,763 on 9/1/2006. The market value of the underlying security at the end of the period was 40,540,520. | 39,743,000 | ||
TOTAL INVESTMENTS--100.1% | 180,494,468 | |||
OTHER ASSETS AND LIABILITIES--NET--(0.1)% | (263,585) | |||
TOTAL NET ASSETS--100% | $180,230,883 | |||
Portfolio of Investments Summary Table
U.S. TREASURY MONEY MARKET FUND
At August 31, 2006, the Fund's portfolio composition(1) was as follows:
Security Type | Percentage | |
---|---|---|
U.S. Treasury Securities | 57.4% | |
Cash Equivalents(2) | 42.6% | |
Other Assets and Liabilities--Net(3) | 0.0% | |
TOTAL | 100.0% | |
(1) See the Fund's Prospectus for a description of the principal types of securities in which the Fund invests.
(2) Cash Equivalents include any investments in money market mutual funds and overnight repurchase agreements.
(3) Assets other than investments in securities, less liabilities. See Statements of Assets and Liabilities. Represents less than 0.0%.
U.S. TREASURY MONEY MARKET FUND
Principal |
| Value | ||
---|---|---|---|---|
U.S. TREASURY--57.4% | ||||
(5) U.S. Treasury Bills--25.6% | ||||
$10,000,000 | 5.045%, 9/7/2006 | $9,991,592 | ||
30,000,000 | 5.083%, 9/14/2006 | 29,944,934 | ||
Total | 39,936,526 | |||
U.S. Treasury Notes--31.8% | ||||
40,000,000 | 2.625%, 11/15/2006 | 39,799,221 | ||
10,000,000 | 2.875%, 11/30/2006 | 9,943,685 | ||
Total | 49,742,906 | |||
TOTAL U.S. TREASURY | 89,679,432 | |||
MUTUAL FUND--3.1% | ||||
4,842,876 | Fidelity Institutional Cash Treasury Money Market Fund | 4,842,876 | ||
REPURCHASE AGREEMENTS--39.5% | ||||
$35,000,000 | Interest in $35,000,000 repurchase agreement 5.15%, dated 8/31/2006 under which Goldman Sachs will repurchase a U.S. Treasury security with a maturity of 11/15/2028 for $35,005,007 on 9/1/2006. The market value of the underlying security at the end of the period was $35,702,940. | $35,000,000 | ||
26,817,000 | Interest in $26,817,000 repurchase agreement 5.17%, dated 8/31/2006 under which Morgan Stanley & Co., Inc. will repurchase a U.S. Treasury security with a maturity of 11/15/2024 for $26,820,851 on 9/1/2006. The market value of the underlying security at the end of the period was $27,354,946. | 26,817,000 | ||
TOTAL REPURCHASE AGREEMENTS | 61,817,000 | |||
TOTAL INVESTMENTS--100% | 156,339,308 | |||
OTHER ASSETS AND LIABILITIES--NET--0.0% | (21,419) | |||
TOTAL NET ASSETS--100% | $156,317,889 | |||
Notes to Portfolios of Investments
Capital One Funds
August 31, 2006
(1) Non-income producing.
(2) Securities that are subject to the federal alternative minimum tax (AMT) represent 1.5% of the Louisiana Municipal Income Fund's portfolio as calculated based upon total market value (percentage is unaudited).
(3) Because of monthly principal payments, the average lives of certain government securities are less than the indicated periods.
(4) Rate shown represents yield to maturity.
(5) These issues show the rate of discount at time of purchase.
The following abbreviations are used in these portfolios:
AMBAC --American Municipal Bond Assurance Corporation
COL --Collateralized
FGIC --Financial Guaranty Insurance Company
FNMA --Federal National Mortgage Association
FSA --Financial Security Assurance
GNMA --Government National Mortgage Association
GO --General Obligation
GTD --Guaranteed
HFA --Housing Finance Authority
IDB --Industrial Development Bond
INS --Insured
LT --Limited Tax
PFA --Public Facility Authority
SFM --Single Family Mortgage
UT --Unlimited Tax
Percentages listed on Capital Appreciation Fund's and Mid Cap Equity Fund's Portfolio of Investments beneath the heading "Common Stocks," represent the percentage of the respective portfolio invested in the identified economic sectors.
| For Federal Tax Purposes | |||
---|---|---|---|---|
Capital One Funds | Cost of Investments | Total Net Assets* | ||
Capital Appreciation Fund | $165,676,574 | $230,723,713 | ||
Louisiana Municipal Income Fund | 61,164,391 | 62,995,235 | ||
Mid Cap Equity Fund | 116,023,159 | 136,358,922 | ||
Total Return Bond Fund | 53,170,415 | 48,729,629 | ||
U.S. Government Income Fund | 94,097,796 | 88,709,876 | ||
Cash Reserve Fund | 180,494,468 | 180,230,883 | ||
U.S. Treasury Money Market Fund | 156,339,308 | 156,317,889 | ||
* The categories of investments are shown as a percentage of total net assets at August 31, 2006.
(See Notes which are an integral part of the Financial Statements)
Statements of Assets and Liabilities
Capital One Funds
August 31, 2006
Capital |
| Louisiana Municipal |
| Mid Cap | ||
---|---|---|---|---|---|---|
Assets: | ||||||
Investments in repurchase agreements | $ -- | $ -- | $ -- | |||
Investments in securities | 230,336,065 | 62,488,804 | 136,823,645 | |||
Total investments in securities, at value | 230,336,065 | 62,488,804 | 136,823,645 | |||
Cash | -- | -- | -- | |||
Income receivable | 510,950 | 873,849 | 156,440 | |||
Receivable for investments sold | -- | -- | -- | |||
Receivable for shares sold | 11,998 | -- | 26,494 | |||
Total assets | 230,859,013 | 63,362,653 | 137,006,579 | |||
Liabilities: |
|
|
| |||
Payable for investments purchased | -- | -- | -- | |||
Payable for shares redeemed | 29,596 | 192,953 | 570,768 | |||
Income distribution payable | -- | 120,052 | -- | |||
Payable for transfer and dividend disbursing agent fees and expenses | 28,220 | 17,321 | 23,298 | |||
Payable for Directors'/Trustees' fees | -- | -- | -- | |||
Payable for portfolio accounting fees (Note 5) | 19,743 | 17,655 | 18,381 | |||
Payable for distribution services fee (Note 5) | 52,341 | 9,394 | 30,470 | |||
Payable for shareholder services fee (Note 5) | 1,325 | 564 | 879 | |||
Accrued expenses | 4,075 | 9,479 | 3,861 | |||
Total liabilities | 135,300 | 367,418 | 647,657 | |||
Net Assets Consist of: | ||||||
Paid-in capital | 137,230,082 | 61,476,807 | 100,817,408 | |||
Net unrealized appreciation (depreciation) of investments | 64,659,491 | 1,308,647 | 20,830,277 | |||
Accumulated net realized gain (loss) on investments | 28,486,682 | 198,671 | 14,687,094 | |||
Undistributed net investment income | 347,458 | 11,110 | 24,143 | |||
Total Net Assets | $ 230,723,713 | $ 62,995,235 | $ 136,358,922 | |||
Net Assets: | $ 224,575,830(1) | $ 60,323,582(1) | $ 132,247,322(1) | |||
$ 6,147,883(2) | 2,671,653(2) | $ 4,111,600(2) | ||||
Shares Outstanding, No Par Value, Unlimited Shares Authorized: | 11,753,966(1) | 5,608,143(1) | 7,470,085(1) | |||
341,771(2) | 248,175(2) | 247,320(2) | ||||
Total Shares Outstanding | 12,095,737 | 5,856,318 | 7,717,405 | |||
Net Asset Value Per Share | $ 19.11(1) | $ 10.76(1) | $ 17.70(1) | |||
$ 17.99(2) | $ 10.77(2) | $ 16.62(2) | ||||
Offering Price Per Share* | $ 20.01(1)*** | $ 11.09(1)**** | $ 18.53(1)*** | |||
$ 17.99(2) | $ 10.77(2) | $ 16.62(2) | ||||
Redemption Proceeds Per Share** | $ 19.11(1) | $ 10.76(1) | $ 17.70(1) | |||
$ 17.00(2)***** | $ 10.18(2)***** | $ 15.71(2)***** | ||||
Investments, at identified cost | $ 165,676,574 | $ 61,180,157 | $ 115,993,368 | |||
(1) Represents Class A Shares.
(2) Represents Class B Shares.
* See "What Do Shares Cost" in the Prospectus.
** See "How to Redeem and Exchange Shares" in the Prospectus.
*** Computation of Offering Price: 100/95.50 of net asset value.
**** Computation of Offering Price: 100/97 of net asset value.
***** Computation of Redemption Proceeds: 94.50/100 of net asset value.
(See Notes which are an integral part of the Financial Statements)
Total Return | U.S. Government | Cash | U.S. Treasury | |||
---|---|---|---|---|---|---|
$ -- | $ -- | $ 39,743,000 | $ 61,817,000 | |||
52,804,431 | 93,791,560 | 140,751,468 | 94,522,308 | |||
52,804,431 | 93,791,560 | 180,494,468 | 156,339,308 | |||
57 | 10 | 50 | 198 | |||
379,493 | 482,614 | 113,339 | 414,526 | |||
-- | 968,348 | -- | -- | |||
421 | 271 | 275,181 | 533,309 | |||
53,184,402 | 95,242,803 | 180,883,038 | 157,287,341 | |||
|
|
|
| |||
4,363,828 | 6,250,479 | -- | -- | |||
1,511 | 1,488 | 288,833 | 524,145 | |||
53,222 | 226,707 | 295,233 | 407,273 | |||
4,563 | 12,705 | 34,600 | 16,676 | |||
-- | -- | -- | 617 | |||
6,621 | 15,691 | 18,409 | 9,054 | |||
10,343 | 11,262 | 14,803 | -- | |||
-- | -- | 84 | -- | |||
14,685 | 14,595 | 193 | 11,687 | |||
4,454,773 | 6,532,927 | 652,155 | 969,452 | |||
51,891,546 | 90,642,852 | 180,341,838 | 156,318,410 | |||
(330,801) | (358,045) | -- | -- | |||
(2,866,598) | (1,598,538) | (112,189) | (34,159) | |||
35,482 | 23,607 | 1,234 | 33,638 | |||
$ 48,729,629 | $ 88,709,876 | $ 180,230,883 | $ 156,317,889 | |||
$ 48,729,629 | $ 88,709,876 | $ 179,835,728(1) | $ 156,317,889 | |||
-- | -- | $ 395,155(2) | -- | |||
5,194,440 | 9,036,768 | 179,945,332(1) | 156,318,419 | |||
-- | -- | 396,506(2) | -- | |||
5,194,440 | 9,036,768 | 180,341,838 | 156,318,419 | |||
$ 9.38 | $ 9.82 | $ 1.00(1) | $ 1.00 | |||
$ -- | $ -- | $ 1.00(2) | $ -- | |||
$ 9.67 **** | $ 10.12 **** | $ 1.00(1) | $ 1.00 | |||
$ -- | $ -- | $ 1.00(2) | $ -- | |||
$ 9.38 | $ 9.82 | $ 1.00(1) | $ 1.00 | |||
$ -- | $ -- | $ 0.95(2)***** | $ -- | |||
$ 53,135,232 | $ 94,149,605 | $ 180,494,468 | $ 156,339,308 | |||
Statements of Operations
Capital One Funds
August 31, 2006
| Capital | Louisiana Municipal | Mid Cap | |||
---|---|---|---|---|---|---|
Investment Income: | ||||||
Dividends | $ 4,347,446 | $ -- | $ 1,804,801(1) | |||
Interest | 127,375 | 3,099,220 | 137,469 | |||
Total income | 4,474,821 | 3,099,220 | 1,942,270 | |||
Expenses: | ||||||
Investment adviser fee (Note 5) | 1,844,059 | 316,660 | 1,015,975 | |||
Administrative personnel and services fee (Note 5) | 224,224 | 64,484 | 123,080 | |||
Custodian fees (Note 5) | 54,175 | 17,592 | 32,093 | |||
Transfer and dividend disbursing agent fees and expenses | 89,187 | 56,946 | 76,584 | |||
Directors'/Trustees' fees | 22,865 | 7,269 | 12,039 | |||
Auditing fees | 25,082 | 17,107 | 18,711 | |||
Legal fees | 13,811 | 13,897 | 11,623 | |||
Portfolio accounting fees (Note 5) | 88,954 | 71,425 | 68,614 | |||
Distribution services fee (Note 5) | 653,353(2) | 190,209(3) | 361,687 (4) | |||
Shareholder services fee (Note 5) | 19,446 (6) | 7,233 (6) | 11,557 (6) | |||
Share registration costs | 26,972 | 24,860 | 26,841 | |||
Printing and postage | 13,821 | 7,687 | 7,718 | |||
Insurance premiums | 16,847 | 9,163 | 10,904 | |||
Miscellaneous | 30,341 | 11,677 | 20,773 | |||
Total expenses | 3,123,137 | 816,209 | 1,798,199 | |||
Waivers (Note 5): | ||||||
Waiver of investment adviser fee | -- | (185,464) | -- | |||
Waiver of distribution services fee | -- | (67,470)(7) | -- | |||
Total waivers | -- | (252,934) | -- | |||
Net expenses | 3,123,137 | 563,275 | 1,798,199 | |||
Net investment income | 1,351,684 | 2,535,945 | 144,071 | |||
Realized and Unrealized Gain (Loss) on Investments: | ||||||
Net realized gain (loss) on investments | 30,490,643 | 182,428 | 15,840,769 | |||
Net change in unrealized appreciation (depreciation) of investments | (15,302,059) | (1,445,201) | (9,722,533) | |||
Net realized and unrealized gain (loss) on investments | 15,188,584 | (1,262,773) | 6,118,236 | |||
Change in net assets resulting from operations | $ 16,540,268 | $ 1,273,172 | $ 6,262,307 | |||
(1) Net of foreign taxes withheld of $1,382.
(2) Represents distribution services fee of $595,015 and $58,338, for Class A Shares and Class B Shares, respectively.
(3) Represents distribution services fee of $168,511 and $21,698, for Class A Shares and Class B Shares, respectively.
(4) Represents distribution services fee of $327,016 and $34,671, for Class A Shares and Class B Shares, respectively.
(5) Represents distribution services fee of $447,287 and $2,957 for Class A Shares and Class B Shares, respectively.
(6) Represents shareholder services fee for Class B Shares.
(7) Represents distribution services fee waiver for Class A Shares.
(8) Represents distribution services fee waiver of $268,266 and $2,957 for Class A Shares and Class B Shares, respectively.
(See Notes which are an integral part of the Financial Statements)
Total Return | U.S. Government | Cash | U.S. Treasury | |||
---|---|---|---|---|---|---|
$ -- | $ -- | $ -- | $ -- | |||
2,672,350 | 3,929,419 | 8,179,998 | 6,973,848 | |||
2,672,350 | 3,929,419 | 8,179,998 | 6,973,848 | |||
269,107 | 336,467 | 716,953 | 665,833 | |||
46,617 | 67,969 | 161,047 | 154,139 | |||
14,999 | 18,693 | 40,848 | 38,292 | |||
30,405 | 36,020 | 129,272 | 63,839 | |||
4,906 | 6,749 | 11,306 | 18,353 | |||
15,867 | 18,802 | 20,855 | 21,589 | |||
12,203 | 16,018 | 14,265 | 11,234 | |||
51,987 | 66,548 | 65,567 | 44,979 | |||
127,446 | 187,201 | 450,244 (5) | -- | |||
-- | -- | 989 (6) | -- | |||
16,857 | 19,719 | 30,311 | 21,555 | |||
5,581 | 7,002 | 13,476 | 19,048 | |||
8,058 | 9,903 | 12,250 | 13,661 | |||
-- | 11,269 | 13,153 | 11,218 | |||
604,033 | 802,360 | 1,680,536 | 1,083,740 | |||
(140,054) | (180,281) | (469,914) | (54,727) | |||
-- | (74,770) | (271,223)(8) | -- | |||
(140,054) | (255,051) | (741,137) | (54,727) | |||
463,979 | 547,309 | 939,399 | 1,029,013 | |||
2,208,371 | 3,382,110 | 7,240,599 | 5,944,835 | |||
(766,233) | (1,406,693) | (62,946) | (33,766) | |||
(1,295,950) | (205,095) | -- | -- | |||
(2,062,183) | (1,611,788) | (62,946) | (33,766) | |||
$ 146,188 | $ 1,770,322 | $ 7,177,653 | $ 5,911,069 | |||
Statements of Changes in Net Assets
Capital One Funds
August 31, 2006
Capital | Louisiana Municipal | |||||||
---|---|---|---|---|---|---|---|---|
Year Ended | Year Ended | Year Ended | Year Ended | |||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ 1,351,684 | $ 1,699,665 | $ 2,535,945 | $ 3,194,766 | ||||
Net realized gain (loss) on investments | 30,490,643 | 24,795,577 | 182,428 | 2,316,326 | ||||
Net change in unrealized appreciation (depreciation) on investments | (15,302,059) | 5,777,075 | (1,445,201) | (2,752,612) | ||||
Change in net assets resulting from operations | 16,540,268 | 32,272,317 | 1,273,172 | 2,758,480 | ||||
Distributions to Shareholders: | ||||||||
Distributions from net investment income | (1,059,278)(1) | (1,968,218)(1) | (2,571,933)(4) | (3,221,806)(6) | ||||
Distributions from net realized gain on investments | (19,195,912)(2) | (15,427,956)(3) | (2,174,360)(5) | (242,663)(7) | ||||
Change in net assets from distributions to shareholders | (20,255,190) | (17,396,174) | (4,746,293) | (3,464,469) | ||||
Share Transactions: | ||||||||
Proceeds from sale of shares | 18,192,466 | 28,035,553 | 4,410,181 | 6,523,336 | ||||
Net asset value of shares issued to shareholders in payment of distributions declared | 15,131,260 | 12,553,314 | 2,536,213 | 1,221,597 | ||||
Cost of shares redeemed | (48,259,160) | (57,942,992) | (19,117,948) | (10,256,224) | ||||
Change in net assets from share transactions | (14,935,434) | (17,354,125) | (12,171,554) | (2,511,291) | ||||
Change in net assets | (18,650,356) | (2,477,982) | (15,644,675) | (3,217,280) | ||||
Net Assets: | ||||||||
Beginning of period | 249,374,069 | 251,852,051 | 78,639,910 | 81,857,190 | ||||
End of period | $ 230,723,713 | $ 249,374,069 | $ 62,995,235 | $ 78,639,910 | ||||
Undistributed net investment income included in net assets at end of period | $ 347,458 | $ 64,490 | $ 11,110 | $ 52,754 | ||||
(1) Represents income distributions for Class A Shares.
(2) Represents gain distributions of $18,491,565 and $704,347 for Class A Shares and Class B Shares, respectively.
(3) Represents gain distributions of $14,699,925 and $728,031 for Class A Shares and Class B Shares, respectively.
(4) Represents income distributions of $2,489,284 and $82,649 for Class A Shares and Class B Shares, respectively.
(5) Represents gain distributions of $2,083,572 and $90,788 for Class A Shares and Class B Shares, respectively.
(6) Represents income distributions of $3,111,074 and $110,732 for Class A Shares and Class B Shares, respectively.
(7) Represents gain distributions of $232,355 and $10,308 for Class A Shares and Class B Shares, respectively.
(8) Represents gain distributions of $5,612,365 and $218,240 for Class A Shares and Class B Shares, respectively.
(9) Represents gain distributions of $4,092,304 and $220,414 for Class A Shares and Class B Shares, respectively.
(See Notes which are an integral part of the Financial Statements)
Mid Cap Equity Fund | Total Return Bond Fund | U.S. Government Income Fund | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
$ 144,071 | $ 179,443 | $ 2,208,371 | $ 2,104,249 | $ 3,382,110 | $ 2,805,435 | |||||
15,840,769 | 4,796,529 | (766,233) | 995,265 | (1,406,693) | 2,586,778 | |||||
(9,722,533) | 20,942,844 | (1,295,950) | (1,324,572) | (205,095) | (3,795,326) | |||||
6,262,307 | 25,918,816 | 146,188 | 1,774,942 | 1,770,322 | 1,596,887 | |||||
(299,371)(1) | -- | (2,312,132) | (2,380,765) | (3,376,027) | (3,279,672) | |||||
(5,830,605)(8) | (4,312,718)(9) | -- | -- | -- | -- | |||||
(6,129,976) | (4,312,718) | (2,312,132) | (2,380,765) | (3,376,027) | (3,279,672) | |||||
27,795,912 | 53,270,556 | 5,516,561 | 11,370,453 | 32,336,741 | 8,899,103 | |||||
4,212,723 | 3,495,222 | 1,618,317 | 1,785,999 | 1,100,471 | 1,077,899 | |||||
(24,131,196) | (29,126,480) | (9,558,455) | (11,188,628) | (14,816,670) | (18,830,444) | |||||
7,877,439 | 27,639,298 | (2,423,577) | 1,967,824 | 18,620,542 | (8,853,442) | |||||
8,009,770 | 49,245,396 | (4,589,521) | 1,362,001 | 17,014,837 | (10,536,227) | |||||
128,349,152 | 79,103,756 | 53,319,150 | 51,957,149 | 71,695,039 | 82,231,266 | |||||
$ 136,358,922 | $ 128,349,152 | $ 48,729,629 | $ 53,319,150 | $ 88,709,876 | $ 71,695,039 | |||||
$ 24,143 | $ 179,443 | $ 35,482 | $ 49,569 | $ 23,607 | $ 96,187 | |||||
Statements of Changes in Net Assets (continued)
Capital One Funds
August 31, 2006
|
| Cash Reserve |
| U.S. Treasury | ||||
---|---|---|---|---|---|---|---|---|
|
| Year Ended |
| Year Ended |
| Year Ended |
| Year Ended |
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment income | $ 7,240,599 | $ 2,652,085 | $ 5,944,835 | $ 2,806,348 | ||||
Net realized loss on investments | (62,946) | (614) | (33,766) | -- | ||||
Change in net assets resulting from operations | 7,177,653 | 2,651,471 | 5,911,069 | 2,806,348 | ||||
Distributions to Shareholders: | ||||||||
Distributions from net investment income | (7,239,594)(1) | (2,651,462)(2) | (5,912,942) | (2,804,815) | ||||
Share Transactions: | ||||||||
Proceeds from sale of shares | 417,351,463 | 283,720,645 | 968,660,552 | 5,465,772,446 | ||||
Net asset value of shares issued to shareholders in payment of distributions declared | 3,940,554 | 1,144,073 | 1,750,792 | 634,739 | ||||
Cost of shares redeemed | (375,742,312) | (317,154,467) | (1,018,118,120) | (5,414,646,676) | ||||
Change in net assets from share transactions | 45,549,705 | (32,289,749) | (47,706,776) | 51,760,509 | ||||
Change in net assets | 45,487,764 | (32,289,740) | (47,708,649) | 51,762,042 | ||||
Net Assets: | ||||||||
Beginning of period | 134,743,119 | 167,032,859 | 204,026,538 | 152,264,496 | ||||
End of period | $ 180,230,883 | $ 134,743,119 | $ 156,317,889 | $ 204,026,538 | ||||
Undistributed net investment income included in net assets at end of period | $ 1,234 | $ 229 | $ 33,638 | $ 1,745 | ||||
(1) Represents income distributions of $7,224,338 and $15,256 for Class A Shares and Class B Shares, respectively.
(2) Represents income distributions of $2,644,626 and $6,836 for Class A Shares and Class B Shares, respectively.
(See Notes which are an integral part of the Financial Statements)
Combined Notes to Financial Statements
Capital One Funds
August 31, 2006
(1) ORGANIZATION
Capital One Funds (formerly, Hibernia Funds) (the "Trust"), organized as a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company. The Trust consists of seven portfolios (individually referred to as the "Fund," or collectively as the "Funds") which are presented herein:
Portfolio Name | Diversification | Investment Objective | ||
Capital One Capital Appreciation Fund | diversified | provide growth of capital and income | ||
Capital One Louisiana Municipal Income Fund | non-diversified | provide current income which is generally exempt from federal regular income tax and personal income taxes imposed by the state of Louisiana | ||
Capital One Mid Cap Equity Fund | diversified | total return | ||
Capital One Total Return Bond Fund | diversified | maximize total return | ||
Capital One U.S. Government Income Fund | diversified | provide current income | ||
Capital One Cash Reserve Fund | diversified | provide current income consistent with stability of principal | ||
Capital One U.S. Treasury Money Market Fund | diversified | provide current income consistent with stability of principal and liquidity |
The assets of each Fund are segregated and a shareholder's interest is limited to the Fund in which shares are held. Capital Appreciation Fund, Louisiana Municipal Income Fund, Mid Cap Equity Fund and Cash Reserve Fund offer two classes of shares: Class A Shares and Class B Shares. All shares of Capital Appreciation Fund, Louisiana Municipal Income Fund, Mid Cap Equity Fund and Cash Reserve Fund have equal rights with respect to voting, except on class-specific matters.
On April 24, 2006, the Trust changed its name to the Capital One Funds, the adviser changed its name to Capital One Asset Management, LLC, and the custodian changed its name to Capital One National Association.
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with generally accepted accounting principles (GAAP) in the United States of America.
Investment Valuations--Municipal bonds are valued by an independent pricing service, taking into consideration yield, liquidity, risk, credit quality, coupon, maturity, type of issue and any other factors or market data the pricing service deems relevant. Total Return Bond Fund and U.S. Government Income Fund generally value fixed income securities according to prices furnished by an independent pricing service, except that fixed income securities with remaining maturities of less than 60 days at the time of purchase may be valued at amortized cost, which approximates fair market value. Listed equity securities are valued at the last sale price or official closing price reported on a national securities exchange, if available. If unavailable, the security is generally valued at the mean between the last closing bid and asked prices. Cash Reserve Fund and U.S. Treasury Money Market Fund use the amortized cost method to value portfolio securities in accordance with Rule 2a-7 under the Act. Capital Appreciation Fund, Louisiana Municipal Income Fund, Mid Cap Equity Fund, Total Return Bond Fund and U.S. Government Income Fund generally value short-term securities according to prices furnished by an independent pricing service, except that short-term securities with remaining maturities of less than 60 days at the time of purchase may be valued at amortized cost, which approximates fair market value. Fixed income and short-term security prices furnished by an independent pricing service are intended to be indicative of the mean between the bid and asked prices currently offered to institutional investors for the securities. Investments in other open-end regulated investment companies are valued at net asset value. Securities for which no quotations are readily available are valued at fair value as determined in accordance with procedures established by and under general supervision of the Board of Trustees (the "Trustees").
Repurchase Agreements--It is the policy of the Funds to require the other party to a repurchase agreement to transfer to the Fund's custodian or sub-custodian eligible securities or cash with a market value (after transaction costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred to accounts with the custodian or sub-custodian in which the Funds hold "securities entitlement" and exercises "control" as those terms are defined in the Uniform Commercial Code. The Funds have established procedures for monitoring the market value of the transferred securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds the repurchase price or in exchange for other eligible securities of equivalent market value.
With respect to agreements to repurchase U.S. government securities and cash items, the Funds treat the repurchase agreement as an investment in the underlying securities and not as an obligation of the other party to the repurchase agreement. Other repurchase agreements are treated as obligations of the other party secured by the underlying securities. Nevertheless, the insolvency of the other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause the Funds to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Funds in excess of the repurchase price and related transaction costs must be remitted to the other party.
Investment Income, Gains and Losses, Expenses and Distributions--Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income are declared daily and paid monthly for Cash Reserve Fund and U.S. Treasury Money Market Fund. Distributions of net investment income are declared and paid quarterly for Capital Appreciation Fund and Mid Cap Equity Fund. Distributions of net investment income are declared and paid monthly for Louisiana Municipal Income Fund, Total Return Bond Fund and U.S. Government Income Fund. Non-cash dividends included in dividend income, if any, are recorded at fair value. Investment income, realized and unrealized gains and losses, and certain fund-level expenses are allocated to each class based on relative average daily net assets, except that each class bears certain expenses unique to that class such as distribution and shareholder services fees. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expenses.
Premium and Discount Amortization/Paydown Gains and Losses--All premiums and discounts on fixed income securities are amortized/accreted for financial statement purposes. Gains and losses realized on principal payment of mortgage-backed securities (paydown gains and losses) are classified as part of investment income.
Federal Taxes--It is the Funds' policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of their income. Accordingly, no provision for federal income tax is necessary.
Withholding taxes, and where appropriate, deferred withholding taxes, on foreign interest, dividends and capital gains has been provided for in accordance with the applicable country's tax rules and rates.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Funds' tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
When-Issued and Delayed Delivery Transactions--The Funds may engage in when-issued or delayed delivery transactions. The Funds record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
Use of Estimates--The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.
Other--Investment transactions are accounted for on a trade date basis. Realized gains and losses from investment transactions are recorded on an identified cost basis.
(3) SHARES OF BENEFICIAL INTEREST
The following tables summarize share activity:
EQUITY AND INCOME FUNDS
| Capital Appreciation Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class A Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 953,687 | $ 18,089,013 | 1,475,551 | $ 27,805,216 | ||||
Shares issued to shareholders in payment of distributions declared | 788,742 | 14,449,109 | 638,625 | 11,838,628 | ||||
Shares redeemed | (2,365,142) | (44,756,474) | (2,837,043) | (53,461,333) | ||||
Net change resulting from Class A Share transactions | (622,713) | $ (12,218,352) | (722,867) | $ (13,817,489) | ||||
| Capital Appreciation Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class B Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 5,762 | $ 103,453 | 12,967 | $ 230,337 | ||||
Shares issued to shareholders in payment of distributions declared | 39,522 | 682,151 | 40,677 | 714,686 | ||||
Shares redeemed | (196,283) | (3,502,686) | (248,648) | (4,481,659) | ||||
Net change resulting from Class B Share transactions | (150,999) | $ (2,717,082) | (195,004) | $ (3,536,636) | ||||
Net change resulting from Fund Share transactions | (773,712) | $ (14,935,434) | (917,871) | $ (17,354,125) | ||||
| Louisiana Municipal Income Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class A Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 406,205 | $ 4,370,281 | 561,409 | $ 6,361,770 | ||||
Shares issued to shareholders in payment of distributions declared | 223,864 | 2,404,097 | 101,474 | 1,146,892 | ||||
Shares redeemed | (1,708,313) | (18,421,550) | (867,702) | (9,823,280) | ||||
Net change resulting from Class A Share transactions | (1,078,244) | $ (11,647,172) | (204,819) | $ (2,314,618) | ||||
| Louisiana Municipal Income Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class B Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 3,701 | $ 39,900 | 14,201 | $ 161,566 | ||||
Shares issued to shareholders in payment of distributions declared | 12,284 | 132,116 | 6,606 | 74,705 | ||||
Shares redeemed | (64,342) | (696,398) | (38,242) | (432,944) | ||||
Net change resulting from Class B Share transactions | (48,357) | $ (524,382) | (17,435) | $ (196,673) | ||||
Net change resulting from Fund Share transactions | (1,126,601) | $ (12,171,554) | (222,254) | $ (2,511,291) | ||||
| Mid Cap Equity Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class A Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 1,533,396 | $ 27,343,755 | 3,272,065 | $ 52,844,795 | ||||
Shares issued to shareholders in payment of distributions declared | 237,655 | 4,013,365 | 214,458 | 3,294,077 | ||||
Shares redeemed | (1,267,939) | (22,622,571) | (1,717,402) | (28,277,635) | ||||
Net change resulting from Class A Share transactions | 503,112 | $ 8,734,549 | 1,769,121 | $ 27,861,237 | ||||
| Mid Cap Equity Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class B Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 26,691 | $ 452,157 | 27,268 | $ 425,761 | ||||
Shares issued to shareholders in payment of distributions declared | 12,538 | 199,358 | 13,758 | 201,145 | ||||
Shares redeemed | (91,846) | (1,508,625) | (55,315) | (848,845) | ||||
Net change resulting from Class B Share transactions | (52,617) | $ (857,110) | (14,289) | $ (221,939) | ||||
Net change resulting from Fund Share transactions | 450,495 | $ 7,877,439 | 1,754,832 | $ 27,639,298 | ||||
| Total Return Bond Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
| Shares | Dollars | Shares | Dollars | ||||
Shares sold | 585,470 | $ 5,516,561 | 1,161,593 | $ 11,370,453 | ||||
Shares issued to shareholders in payment of distributions declared | 172,233 | 1,618,317 | 182,796 | 1,785,999 | ||||
Shares redeemed | (1,017,878) | (9,558,455) | (1,144,736) | (11,188,628) | ||||
Net change resulting from Fund Share transactions | (260,175) | $ (2,423,577) | 199,653 | $ 1,967,824 | ||||
| U.S. Government Income Fund | ||||||||
---|---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | |||||||
| Shares | Dollars | Shares | Dollars | |||||
Shares sold | 3,316,047 | $ 32,336,741 | 877,702 | $ 8,899,103 | |||||
Shares issued to shareholders in payment of distributions declared | 112,044 | 1,100,471 | 106,283 | 1,077,899 | |||||
Shares redeemed | (1,509,253) | (14,816,670) | (1,852,318) | (18,830,444) | |||||
Net change resulting from Fund Share transactions | 1,918,838 | $ 18,620,542 | (868,333) | $ (8,853,442) | |||||
MONEY MARKET FUNDS
| Cash Reserve Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class A Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 417,281,440 | $ 417,281,440 | 283,641,622 | $ 283,641,622 | ||||
Shares issued to shareholders in payment of distributions declared | 3,926,406 | 3,926,406 | 1,137,501 | 1,137,501 | ||||
Shares redeemed | (375,666,289) | (375,666,289) | (317,039,025) | (317,039,025) | ||||
Net change resulting from Class A Share transactions | 45,541,557 | $ 45,541,557 | (32,259,902) | $ (32,259,902) | ||||
| Cash Reserve Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
Class B Shares | Shares | Dollars | Shares | Dollars | ||||
Shares sold | 70,023 | $ 70,023 | 79,023 | $ 79,023 | ||||
Shares issued to shareholders in payment of distributions declared | 14,148 | 14,148 | 6,572 | 6,572 | ||||
Shares redeemed | (76,023) | (76,023) | (115,442) | (115,442) | ||||
Net change resulting from Class B Share transactions | 8,148 | $ 8,148 | (29,847) | $ (29,847) | ||||
Net change resulting from Fund Share transactions | 45,549,705 | $ 45,549,705 | (32,289,749) | $ (32,289,749) | ||||
| U.S. Treasury Money Market Fund | |||||||
---|---|---|---|---|---|---|---|---|
| Year Ended | Year Ended | ||||||
| Shares | Dollars | Shares | Dollars | ||||
Shares sold | 968,660,552 | $ 968,660,552 | 5,465,772,446 | $ 5,465,772,446 | ||||
Shares issued to shareholders in payment of distributions declared | 1,750,792 | 1,750,792 | 634,739 | 634,739 | ||||
Shares redeemed | (1,018,118,120) | (1,018,118,120) | (5,414,646,676) | (5,414,646,676) | ||||
Net change resulting from Fund Share transactions | (47,706,776) | $ (47,706,776) | 51,760,509 | $ 51,760,509 | ||||
(4) FEDERAL TAX INFORMATION
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatments for Real Estate Investment Trust reclasses, and discount accretion/premium amortization on debt securities.
For the year ended August 31, 2006, permanent differences identified and reclassified among the components of net assets were as follows:
Fund | Undistributed | Accumulated | ||
---|---|---|---|---|
Capital Appreciation Fund | $ (9,438) | $ 9,438 | ||
Louisiana Municipal Income Fund | (5,656) | 5,656 | ||
Total Return Bond Fund | 89,674 | (89,674) | ||
U.S. Government Income Fund | (78,663) | 78,663 |
Net investment income, net realized gains (losses), and net assets were not affected by this reclassification.
The tax character of distributions as reported on the Statements of Changes in Net Assets for the years ended August 31, 2006 and 2005 were as follows:
| 2006 | 2005 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Fund | Tax-Exempt | Ordinary | Long-Term | Tax-Exempt | Ordinary | Long-Term | ||||||
Capital Appreciation Fund | $ -- | $ 1,526,353 | $ 18,728,837 | $ -- | $ 1,968,218 | $ 15,427,956 | ||||||
Louisiana Municipal Income Fund | 2,571,519 | 414 | 2,174,360 | 3,221,308 | 498 | 242,663 | ||||||
Mid Cap Equity Fund | -- | 873,786 | 5,256,190 | -- | 15,766 | 4,296,952 | ||||||
Total Return Bond Fund | -- | 2,312,132 | -- | -- | 2,380,765 | -- | ||||||
U.S. Government Income Fund | -- | 3,376,027 | -- | -- | 3,279,672 | -- | ||||||
Cash Reserve Fund | -- | 7,239,594 | -- | -- | 2,651,462 | -- | ||||||
U.S. Treasury Money Market Fund | -- | 5,912,942 | -- | -- | 2,804,815 | -- |
* For tax purposes short-term capital gain distributions are considered ordinary income.
As of August 31, 2006, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed | Undistributed | Undistributed | Net | Capital Loss | Dividend | Post | Other | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Appreciation Fund | $ -- | $ 347,458 | $ 28,486,682 | $ 64,659,491 | $ -- | $ -- | $ -- | $ -- | ||||||||
Louisiana Municipal | 197,159 | -- | 182,907 | 1,324,413 | -- | (186,049) | -- | 15,764 (1) | ||||||||
Mid Cap Equity Fund | -- | 96,027 | 14,645,002 | 20,800,486 | -- | -- | -- | (29,792)(2) | ||||||||
Total Return Bond Fund | -- | 212,758 | -- | (365,984) | (1,978,673) | (172,016) | (858,002) | (35,183)(1) | ||||||||
U.S. Government | -- | 343,479 | -- | (306,236) | (331,906) | (308,423) | (1,329,890) | 51,809 (3) | ||||||||
Cash Reserve Fund | -- | 296,467 | -- | -- | (49,243) | (295,233) | (62,946) | -- | ||||||||
U.S. Treasury Money Market Fund | -- | 440,911 | -- | -- | (393) | (407,273) | (33,766) | -- |
(1) For Louisiana Municipal Income Fund and Total Return Bond Fund, other temporary adjustments include adjustments for discount accretion/premium amortization on debt securities.
(2) For Mid Cap Equity Fund, other temporary adjustments include unreversed wash sales.
(3) For U.S. Government Income Fund, other temporary adjustments include adjustments for discount accretion/premium amortization on debt securities and unreversed wash sales.
For federal income tax purposes, the following amounts apply as of August 31, 2006:
Fund | Cost of | Unrealized | Unrealized | Net Unrealized | ||||
---|---|---|---|---|---|---|---|---|
Capital Appreciation Fund | $ 165,676,574 | $ 66,602,888 | $ 1,943,397 | $ 64,659,491 | ||||
Louisiana Municipal Income Fund | 61,164,391 | 1,514,095 | 189,682 | 1,324,413 | ||||
Mid Cap Equity Fund | 116,023,159 | 24,967,605 | 4,167,119 | 20,800,486 | ||||
Total Return Bond Fund | 53,170,415 | 251,073 | 617,057 | (365,984) | ||||
U.S. Government Income Fund | 94,097,796 | 408,566 | 714,802 | (306,236) | ||||
Cash Reserve Fund | 180,494,468 * | -- | -- | -- | ||||
U.S. Treasury Money Market Fund | 156,339,308 * | -- | -- | -- |
* at amortized cost.
The difference between book-basis and tax-basis unrealized appreciation/depreciation is due in part to differing treatments for tax deferral of losses on wash sales and discount accretion/premium amortization on debt securities.
At August 31, 2006, Total Return Bond Fund, U.S. Government Income Fund, Cash Reserve Fund and U.S. Treasury Money Market Fund had capital loss carryforwards, as noted below, which will reduce each Fund's taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve each Fund of any liability for federal income tax. Pursuant to the Code, such capital loss carryforwards will expire as follows:
| Expiration Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Fund | 2010 | 2011 | 2012 | 2013 | 2014 | Total | ||||||
Total Return Bond Fund | $ 51,198 | $ 1,926,558 | $ -- | $ -- | $ 917 | $ 1,978,673 | ||||||
U.S. Government Income Fund | -- | 90,023 | 180,486 | -- | 61,397 | 331,906 | ||||||
Cash Reserve Fund | 931 | 44,663 | 3,035 | -- | 614 | 49,243 | ||||||
U.S. Treasury Money Market Fund | -- | -- | -- | 393 | -- | 393 |
Under current tax regulations, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. As of August 31, 2006, for federal income tax purposes, Total Return Bond Fund, U.S. Government Income Fund, Cash Reserve Fund and U.S. Treasury Money Market Fund had post October losses as follows which were deferred to September 1, 2006.
Fund |
| |
---|---|---|
Total Return Bond Fund | $ 858,002 | |
U.S. Government Income Fund | 1,329,890 | |
Cash Reserve Fund | 62,946 | |
U.S. Treasury Money Market Fund | 33,766 |
(5) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Adviser Fee--Capital One Asset Management, LLC, the Funds' investment adviser (the "Adviser"), receives for its services an annual investment adviser fee based on a percentage of each Fund's average daily net assets as follows:
Fund | Annual | |
---|---|---|
Capital Appreciation Fund | 0.75% | |
Louisiana Municipal Income Fund | 0.45% | |
Mid Cap Equity Fund | 0.75% | |
Total Return Bond Fund | 0.50%(1) | |
U.S. Government Income Fund | 0.45% | |
Cash Reserve Fund | 0.40% | |
U.S. Treasury Money Market Fund | 0.40% |
(1) Prior to October 19, 2005, the advisory fee for Total Return Bond Fund was 0.70%.
The Adviser may voluntarily choose to waive any portion of its fee. The Adviser can modify or terminate this voluntary waiver at any time at its sole discretion. For the year ended August 31, 2006, the Adviser voluntarily waived a portion of its fee for the following Funds:
Fund |
| |
---|---|---|
Louisiana Municipal Income Fund | $ 185,464 | |
Total Return Bond Fund | 140,054 | |
U.S. Government Income Fund | 180,281 | |
Cash Reserve Fund | 469,914 | |
U.S. Treasury Money Market Fund | 54,727 |
Administrative Fee--Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Funds with administrative personnel and services. Effective November 1, 2005, the fee paid to FAS is based on the average
aggregate daily net assets of the Trust as specified below:
Maximum | Average Aggregate Daily Net Assets of | |
---|---|---|
0.100% | on the first $500 million | |
0.070% | on the next $500 million | |
0.050% | on assets in excess of $1 billion |
Prior to November 1, 2005, the fee paid to FAS was based on the average aggregate daily net assets of the Trust as specified below:
Maximum | Average Aggregate Daily Net Assets of | |
---|---|---|
0.150% | on the first $250 million | |
0.125% | on the next $250 million | |
0.100% | on the next $250 million | |
0.075% | on assets in excess of $750 million |
FAS may voluntarily choose to waive any portion of its fee. FAS can modify or terminate this voluntary waiver at any time at its sole discretion.
For the year ended August 31, 2006, the net fee paid to FAS was 0.091% of average aggregate net assets of the Funds.
Distribution Services Fee--The Funds have adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. Under the terms of the Plan, the Funds will reimburse Edgewood Services, Inc. (Edgewood), the distributor, from the net assets of the Funds to finance activities intended to result in the sale of each Fund's shares. Edgewood is a subsidiary of Federated Investors, Inc. The Plan provides that the Funds, except for Class B Shares of the Capital Appreciation Fund, Louisiana Municipal Income Fund, Mid Cap Equity Fund and Cash Reserve Fund, may incur distribution expenses up to 0.25% of the average daily net assets of the Funds, annually, to reimburse Edgewood. Class B Shares of the Capital Appreciation Fund, Louisiana Municipal Income Fund, Mid Cap Equity Fund and Cash Reserve Fund may incur distribution expenses of up to 0.75% of average daily net assets of the Class B Shares, annually, to reimburse Edgewood. Edgewood may voluntarily choose to waive any portion of its fee. Edgewood can modify or terminate this voluntary waiver at any time at its sole discretion. For the year ended August 31, 2006, Edgewood voluntarily waived a portion of its fee for the following Funds:
Fund |
| |
---|---|---|
Louisiana Municipal Income Fund | $ 67,470 | |
U.S. Government Income Fund | 74,770 | |
Cash Reserve Fund | 271,223 |
For the year ended August 31, 2006, the U.S. Treasury Money Market Fund did not incur a distribution services fee. When Edgewood receives fees, it may pay some or all of them to financial intermediaries whose customers purchase Shares. For the year ended August 31, 2006, Edgewood did not retain any distribution fees paid by the Funds.
Sales Charges--For the year ended August 31, 2006, Edgewood did not retain any sales charges from the sale of Class A Shares.
Shareholder Services Fee--Capital Appreciation Fund, Louisiana Municipal Income Fund, Mid Cap Equity Fund and Cash Reserve Fund may pay fees (Service Fees) up to 0.25% of the average daily net assets of each Fund's Class B Shares to financial intermediaries or to Federated Shareholder Services Company (FSSC) for providing services to shareholders and maintaining shareholder accounts. FSSC or these financial intermediaries may voluntarily choose to waive any portion of their fee. In addition, FSSC may voluntarily reimburse each Fund's Class B Shares for shareholder services fees. This voluntary waiver and/or reimbursement can be modified or terminated at any time. For the year ended August 31, 2006, FSSC did not receive any fees paid by the Funds.
Portfolio Accounting Fees--Federated Services Company (FServ) maintains the Funds' accounting records for which it receives a fee. The fee is based on the level of each Fund's average daily net assets for the reporting period, plus out-of-pocket expenses. FServ may voluntarily choose to waive any portion of its fee. FServ can modify or terminate this voluntary waiver at any time at its sole discretion.
Custodian Fees--Capital One National Association is the Funds' custodian for which it receives a fee. The fee is based on the level of each Fund's average daily net assets for the reporting period, plus out-of-pocket expenses.
General--Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies.
(6) INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended August 31, 2006 were as follows:
Fund | Purchases | Sales | ||
---|---|---|---|---|
Capital Appreciation Fund | $ 124,466,742 | $ 158,628,067 | ||
Louisiana Municipal Income Fund | 6,354,031 | 18,965,375 | ||
Mid Cap Equity Fund | 65,800,706 | 67,039,863 | ||
Total Return Bond Fund | 19,972,583 | 18,522,870 | ||
U.S. Government Income Fund | 8,441,883 | -- |
(7) CONCENTRATION OF CREDIT RISK
Since Louisiana Municipal Income Fund invests a substantial portion of its assets in issuers located in one state, it will be more susceptible to factors adversely affecting issuers of that state than would be a comparable tax-exempt mutual fund that invests nationally. In order to reduce the credit risk associated with such factors, at August 31, 2006, 66.2% of the securities in the portfolio of investments were backed by letters of credit or bond insurance of various financial institutions and financial guaranty assurance agencies. The largest percentage of investments insured by or supported (backed) by a letter of credit from any one institution or agency was 21.9% of total investments.
(8) FEDERAL TAX INFORMATION (UNAUDITED)
For the year ended August 31, 2006, the amount of long-term capital gain designated by the Funds was as follows:
Fund |
| |
---|---|---|
Capital Appreciation Fund | $ 18,728,837 | |
Louisiana Municipal Income Fund | 2,174,360 | |
Mid Cap Equity Fund | 5,256,190 |
At August 31, 2006, the following percentages represent the portion of distributions from net investment income which are exempt from federal income tax, other than AMT:
Fund |
| |
---|---|---|
Louisiana Municipal Income Fund | 99.98% |
Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2006, the following percentages qualify for the dividend received deduction available to corporate shareholders:
Fund |
| |
---|---|---|
Capital Appreciation Fund | 100% | |
Mid Cap Equity Fund | 72.3% |
For the fiscal year ended August 31, 2006, the following percentages of total ordinary dividends paid by the Funds are qualifying dividends which may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Act of 2003. Complete information is reported in conjunction with the reporting of your distributions on Form 1099-DIV. The percentages were as follows:
Fund |
| |
---|---|---|
Capital Appreciation Fund | 100% | |
Mid Cap Equity Fund | 72.3% |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Capital One Funds
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Capital One Funds (formerly Hibernia Funds) (the "Trust"), comprising the Capital One Capital Appreciation Fund (formerly Hibernia Capital Appreciation Fund), Capital One Louisiana Municipal Income Fund (formerly Hibernia Louisiana Municipal Income Fund), Capital One Mid Cap Equity Fund (formerly Hibernia Mid Cap Equity Fund), Capital One Total Return Bond Fund (formerly Hibernia Total Return Bond Fund), Capital One U.S. Government Income Fund (formerly Hibernia U.S. Government Income Fund), Capital One Cash Reserve Fund (formerly Hibernia Cash Reserve Fund) and Capital One U.S. Treasury Money Market Fund (formerly Hibernia U.S. Treasury Money Market Fund), as of August 31, 2006, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Trust's internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2006, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. 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 each of the portfolios constituting the Capital One Funds at August 31, 2006, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP
Boston, Massachusetts
October 13, 2006
Board of Trustees and Trust Officers
The following tables give information about the Independent Trustees (i.e., those Trustees who are not "interested persons" of the Trust, as defined in the 1940 Act) and the senior officers of the Trust. As of December 31, 2005, the Capital One Fund Complex consisted of seven portfolios. Each Officer is elected annually. Unless otherwise noted, each Board member oversees all portfolios in the Capital One Fund Complex and serves for an indefinite term. The Funds' Statement of Additional Information includes additional information about the Funds' Trustees and is available, without charge and upon request, by calling 1-800-999-0426.
INDEPENDENT TRUSTEE BACKGROUND
Name | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) | |
Arthur Rhew Dooley, Jr. | Principal Occupation: Chairman, Dooley Tackaberry, Inc. (distributors and fabricators of fire protection and safety equipment), 1967 to Present; Registered Professional Engineer (Inactive). Other Directorships Held: Director, Loop Cold Storage Company. | |
Teri G. Fontenot | Principal Occupation: President and Chief Executive Officer of Woman's Hospital, Baton Rouge, LA. Other Directorships Held: Past Chair of Louisiana Hospital Association; Federal Reserve Bank of Atlanta, Director; Committee of 100; Chair of Hospital Billing and Collection Services Board; National Institutes of Health, Advisory Committee on Research on Women's Health; Louisiana Research and Technology Foundation Executive Committee; American Hospital Association. | |
Joe N. Averett, Jr. | Principal Occupation: Director of Penn Virginia Corporation. Previous Position: President of Crystal Gas Storage, Inc., a wholly owned subsidiary of El Paso Corporation (NYSE:EP). Other Directorships Held: Sci Port Discovery Center, Past Chairman and Current Director; Sci-Port Foundation, Director; Community Foundation of Shreveport-Bossier, Treasurer and Director; Committee of 100, Director; Louisiana State University in Shreveport Foundation, Past President and Current Director; Petroleum Club of Shreveport, Past President and Director; Caddo Public Education Foundation, past Chairman and Director; Red River Radio Network (affiliate of National Public Radio), past Director; First United Methodist Church of Shreveport, Past Member of Administrative Board and Finance Committee. | |
Ernest E. Howard III | Principal Occupation: Retired. Previous Positions: President and Chief Executive Officer of FM Properties, predecessor to Stratus Properties, Inc. (NASDAQ:STRS) and Senior Vice President of Freeport-McMoRan Inc. and Freeport-McMoRan Copper & Gold Inc. (NYSE:FCX). Other Directorships Held: Director, Superior Energy Services, Inc. | |
OFFICERS
Name | Principal Occupation(s) for Past Five Years and Previous Position(s) | |
Charles L. Davis, Jr. | Principal Occupations: Director of Mutual Fund Services, Federated Services Company; Director of Sales Administration, Federated Securities Corp.; President, Edgewood Services, Inc.; and President, Southpointe Distribution Services Inc. Previous Positions: Director of Business Development, Federated Services Company; Business Manager, Mutual Fund Services, Federated Services Company; Director of Investor Relations, MNC Financial, Inc.; and Vice President, Maryland National Bank. | |
Donald P. Lee | Principal Occupations: Director, Private Client Group Risk Management, Hibernia Previous Positions: Corporate Counsel, Hibernia National Bank 2002-2003; General Counsel and Corporate Secretary IBERIA BANK, 1997-2001. | |
Richard N. Paddock | Principal Occupation: Vice President, Federated Administrative Services | |
Judith J. Mackin | Principal Occupation: Vice President, Mutual Fund Services Division, Federated Services Company. | |
Gail C. Jones | Principal Occupation: Counsel, Reed Smith LLP. Previous Positions: Corporate Counsel (January 1997 to September 2002) and Vice President January 1999 to September 2002 of Federated Services Company. | |
Mutual funds are not bank deposits, or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in
mutual funds involves investment risk, including the possible loss of principal. An investment in Capital One Cash Reserve Fund and Capital One U.S. Treasury Money Market Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Money Market Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these Funds.
This report is authorized for distribution to prospective investors only when preceded or accompanied by the Funds' prospectus, which contains facts concerning their objectives and policies, management fees, expenses and other information.
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to securities held in a Fund's portfolio is available, without change and upon request, by calling 1-800-562-9007, Ext. 3-3326. A report of how the Funds voted any such proxies during the most recent 12-month period ended June 30 is available through the Capital One Funds website. Go to
www.capitalone.com; select Proxy Voting Record; then select a Fund. This report on "Form N-PX" is also available from the EDGAR database on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Funds file with the SEC a complete schedule of their portfolio holdings, as of the close of the first and third quarters of their fiscal year, on "Form N-Q." These filings are available from the EDGAR database on the SEC's website at www.sec.gov; and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. (Call 1-800-SEC-0330 for information on the operation of the Public Reference Room).
Edgewood Services, Inc., Distributor of the Funds
35592 (10/06)
ITEM 2. CODE OF ETHICS (a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant's Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer. (c) Not Applicable (d) Not Applicable (e) Not Applicable (f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT The registrant's Board has determined that each member of the Board's Audit Committee is an "audit committee financial expert," and that each such member is "independent," for purposes of this Item. The Audit Committee consists of the following Board members: Joe N. Averett,Jr., Arthur Rhew Dooley, Jr., Teri G. Fontenot and Ernest E. Howard, III. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES (a) Audit Fees billed to the registrant for the two most recent fiscal years: Fiscal year ended 2006 - $149,100 Fiscal year ended 2005 - $138,861 (b) Audit-Related Fees billed to the registrant for the two most recent fiscal years: Fiscal year ended 2006 - $0 Fiscal year ended 2005 - $0 Amount requiring approval of the registrant's audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively. (c) Tax Fees billed to the registrant for the two most recent fiscal years: Fiscal year ended 2006 - $0 Fiscal year ended 2005 - $0 Amount requiring approval of the registrant's audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively. (d) All Other Fees billed to the registrant for the two most recent fiscal years: Fiscal year ended 2006 - $0 Fiscal year ended 2005 - $0 Amount requiring approval of the registrant's audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively. (e)(1) Audit Committee Policies regarding Pre-approval of Services. The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor's independence. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre- approval by the Audit Committee. Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate its responsibilities to pre-approve services performed by the independent auditor to management. The Audit Committee has delegated pre-approval authority to its Chairman. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable. AUDIT SERVICES The annual Audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee must approve any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters. In addition to the annual Audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other Audit Services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain Audit services, all other Audit services must be specifically pre-approved by the Audit Committee. AUDIT-RELATED SERVICES Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Company's financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor, and has pre-approved certain Audit-related services, all other Audit-related services must be specifically pre-approved by the Audit Committee. TAX SERVICES The Audit Committee believes that the independent auditor can provide Tax services to the Company such as tax compliance, tax planning and tax advice without impairing the auditor's independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain Tax services, all Tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee. ALL OTHER SERVICES With respect to the provision of services other than audit, review or attest services the pre-approval requirement is waived if: (1) The aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the registrant, the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant to its accountant during the fiscal year in which the services are provided; (2) Such services were not recognized by the registrant, the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant at the time of the engagement to be non-audit services; and (3) Such services are promptly brought to the attention of the Audit Committee of the issuer and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the board of directors to whom authority to grant such approvals has been delegated by the Audit Committee. The Audit Committee may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, and would not impair the independence of the auditor. The SEC's rules and relevant guidance should be consulted to determine the precise definitions of prohibited non-audit services and the applicability of exceptions to certain of the prohibitions. PRE-APPROVAL FEE LEVELS Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee. PROCEDURES Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by both the independent auditor and the Principal Accounting Officer and/or Internal Auditor, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC's rules on auditor independence. (e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: 4(b) Fiscal year ended 2006 - 0% Fiscal year ended 2005 - 0% Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively. 4(c) Fiscal year ended 2006 - 0% Fiscal year ended 2005 - 0% Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively. 4(d) Fiscal year ended 2006 - 0% Fiscal year ended 2005 - 0% Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively. (f) NA (g) Non-Audit Fees billed to the registrant, the registrant's investment adviser, and certain entities controlling, controlled by or under common control with the investment adviser: Fiscal year ended 2006 - $57,000 Fiscal year ended 2005 - $20,000 (h) The registrant's Audit Committee has considered that the provision of non-audit services that were rendered to the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not Applicable ITEM 6. SCHEDULE OF INVESTMENTS Not Applicable ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not Applicable ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not Applicable ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS Not Applicable ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS Not Applicable ITEM 11. CONTROLS AND PROCEDURES (a) The registrant's President and Treasurer have concluded that the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Act ) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR. (b) There were no changes in the registrant's internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS SIGNATURES PURSUANT TO THE REQUIREMENTS OF THE SECURITIES EXCHANGE ACT OF 1934 AND THE INVESTMENT COMPANY ACT OF 1940, THE REGISTRANT HAS DULY CAUSED THIS REPORT TO BE SIGNED ON ITS BEHALF BY THE UNDERSIGNED, THEREUNTO DULY AUTHORIZED. REGISTRANT CAPITAL ONE FUNDS BY /S/ RICHARD N. PADDOCK RICHARD N. PADDOCK, PRINCIPAL FINANCIAL OFFICER DATE OCTOBER 20, 2006 PURSUANT TO THE REQUIREMENTS OF THE SECURITIES EXCHANGE ACT OF 1934 AND THE INVESTMENT COMPANY ACT OF 1940, THIS REPORT HAS BEEN SIGNED BELOW BY THE FOLLOWING PERSONS ON BEHALF OF THE REGISTRANT AND IN THE CAPACITIES AND ON THE DATES INDICATED. BY /S/ CHARLES L. DAVIS, JR., CHARLES L. DAVIS, JR., PRINCIPAL EXECUTIVE OFFICER DATE OCTOBER 20, 2006 BY /S/ RICHARD N. PADDOCK, PRINCIPAL FINANCIAL OFFICER RICHARD N. PADDOCK, DATE OCTOBER 20, 2006