UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-8411
---------------------------------------------
James Advantage Funds
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1349 Fairground Road, Beavercreek, Ohio 45385
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(Address of principal executive offices) (Zip code)
Barry R. James, P.O. Box 8, Alpha, Ohio 45301
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (937) 426-7640
----------------------------
Date of fiscal year end: 6/30
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Date of reporting period: 12/31/06
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
Item 1. Reports to Stockholders.
James Advantage Funds Semi-Annual Report
- --------------------------------------------------------------------------------
Semi-Annual
Report
December 31, 2006
(Unaudited)
James Balanced:
Golden Rainbow Fund
James Small Cap Fund
James Market Neutral Fund
James Equity Fund
James Mid Cap Fund
JAMES
ADVANTAGE
FUNDS
[LOGO]
Advised by James Investment Research, Inc.
937 - 426 -7640
www.jamesfunds.com
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
OF THE JAMES ADVANTAGE FUNDS
================================================================================
The rally we predicted in the latter part of 2006 did in fact develop and ran
through the end of the year. With inflation showing some signs of moderating and
the housing industry in hasty retreat, the Federal Reserve moved to the
sidelines, after 17 consecutive tightening moves. This gave the stock market the
green light to rally. Large companies generating much of their earnings from
abroad tended to do very well as the weakened dollar raised earnings
expectations. Small companies also rallied nicely.
The Market Over the Past Six Months
The S&P 500 bottomed on June 14 and the NASDAQ on July 18. Most indexes rallied
from the mid-summer lows through the end of the year to achieve respectable
total returns for the year. Over the last six months the Dow Jones Industrials
led the S&P 500, 13.12 percent compared with 12.73 percent, but the small
capitalization Russell 2000 Index rose only 9.39 percent. In each case the gains
came after a painful correction in May and June. This correction followed the
last rate hike by the Federal Reserve and was experienced by stock markets
around the world.
Investment Goals and Objectives
The objective of the James Balanced: Golden Rainbow Fund is to provide total
return through growth and income and preservation of capital in declining
markets. To achieve the income objective, the James Balanced: Golden Rainbow
Fund holds high quality bonds. Our independent research led us to add longer
term bonds to the portfolio in May, and bonds rallied into December. We have now
assumed a less aggressive position in bonds. Growth in the James Balanced:
Golden Rainbow Fund comes from its stocks, which we believe to be bargain
stocks. The Fund remains broadly diversified among the economic sectors with
some international securities as well.
James Small Cap Fund, James Mid Cap Fund and the James Equity Fund
The objective of the James Small Cap Fund, the James Equity Fund and the James
Mid Cap Fund is to provide long term capital appreciation. The James Equity Fund
has the additional objective of outperforming the S&P 500. These Funds are
invested in stocks selected after research is conducted on over 8500 companies.
The hunt for bargain securities helps our portfolio managers build portfolios of
stocks with strong value characteristics.
James Market Neutral Fund
The James Market Neutral Fund seeks to provide positive returns regardless of
the direction of the stock market. This objective incorporates a short selling
strategy to take advantage of stocks which we believe are trading well above
their intrinsic values and are due to correct. The Fund also holds long
positions in stocks we believe are undervalued, and it may hold some or many of
the same stocks owned by the other four James Advantage Funds.
Investment Philosophy
James Investment Research, Inc., adviser to the James Advantage Funds, holds a
conservative management philosophy: we don't buy companies without positive
earnings and we look for stocks that are relatively inexpensive given certain
characteristics such as low price earnings and price to sales ratios. In fact
our models contain over twenty such ratios and have helped our investment
committee identify stocks we label as bargains. Many academics would call our
approach "Value Investing". This approach helps us to avoid stock market bubbles
and to preserve capital in declining markets in addition to identifying stocks
that we believe poised to advance.
1
Strategy for Meeting Fund Objectives
Every Fall we create a new economic outlook for the coming year. The economic
outlook sets the stage and the investment committee selects securities our
research leads us to believe will outperform in the expected environment. This
requires Sector and Industry analysis, as well as stock analysis. In 2007, we
are currently favoring stocks in the Finance and Consumer Non-Cyclical sectors.
However, our diversification requirements lead us to have some exposure in all
sectors.
Over the coming months we see problems arising for the markets. One important
sign of this is the very high level of bullishness in the markets. When it is
hard to find any market bears, it is often hard for the market to continue to
rally. In this type of market environment, the conservative nature of the James
Balanced: Golden Rainbow Fund leads it to reduce exposure to stocks and increase
bond holdings. The other funds will remain close to fully invested, as their
mandate requires. However, we seek out less aggressive stocks and shift
shareholder money into more conservative sectors and industries.
Fund Performance
The James Balanced: Golden Rainbow Fund returned 7.90 percent for 2006, trailing
its blended benchmark's return of 10.67 percent. The Fund had an overweight in
Energy stocks, which served it well in the first half of the year, but pulled
down returns as oil prices corrected. The fund met its income objective, paying
an ordinary dividend every quarter and a capital gains dividend in December.
The James Equity Fund did beat its benchmark, the S&P 500, returning 16.19
percent for the year vs 15.79 percent on the index. The Fund also paid an
ordinary dividend in the fourth quarter. The James Small Cap Fund returned 12.49
percent for the year, trailing the Russell 2000, its benchmark, which returned
18.43 percent. The James Small Cap Fund paid an ordinary dividend and a long
term capital gains dividend in the fourth quarter. The James Market Neutral Fund
returned -0.43 percent for the year, which trailed its benchmark, the ninety day
Treasury Bill's 4.85 percent return. The James Market Neutral Fund paid an
ordinary dividend every quarter in 2006. The James Mid Cap Fund began on June
30, 2006. Over the following six months, the Fund returned 5.77 percent. Its
benchmark, the S&P 400 Value, returned 7.41 percent over that time period. The
James Mid Cap Fund also paid an ordinary dividend in the fourth quarter.
With the notable exception of the James Equity Fund, the James Advantage Funds
underperformed their benchmarks over the last six months of 2006. Our process
and strategies include some quantitative analysis which we believe has a strong
history of favorable comparisons to the relevant indexes. However, no strategy
will work every quarter or every year. Our research has shown that high relative
strength stocks performed poorly in the last half of 2006. Many stocks that had
done very well earlier in the year did an abrupt about face, especially stocks
of smaller capitalization companies. While there is some evidence this may have
reflected a concern over the November elections and investor fears of a change
in the tax rates, we consider the price action to be an aberration. Our research
team revalidates our processes every two years to make sure they still capture
those characteristics of value that will lead to strong performance. This has
been an ongoing process at the adviser for decades. However, we do not change
our process or strategy because they didn't work over a short time period, such
as a quarter or two. We remain true to our discipline, which has been rewarding
in the past and we believe will continue to be rewarding over the long term.
Expectations for the Future
2007 is a year before a presidential election in the United States. These
pre-election years have typically been very strong for the stock market, and
investors would have to look all the way back to 1937 to find a pre-election
year where the stock market actually declined. Perhaps that is why so many
investors are bullish as we begin the year! However, our research is again
painting the contrarian picture. While bond investors have pushed the yields on
bonds below the Fed Funds rate, the Fed remains concerned about inflation and
tight money seems to be in the cards for some time. This is not what the bulls
want to hear.
2
In addition, the return of gridlock in Washington is not friendly toward stocks.
Pre-election years are generally good years for the stock market because of the
additional spending pushed through Congress to spur economic activity in the
face of the election. Under political gridlock that spending is harder to
produce, eliminating a major bullish factor. What is left is an aging bull
market, slowing earnings growth (if not declining earnings) and too many bullish
investors. In short, we believe a significant correction is in order, and it
could last for many months.
These events can serve to create real opportunities for a longer term rally in
stocks. As the year wears on and the political situation becomes clearer,
reasons to be bullish may surface. However, in the short run, we believe a
conservative approach is in order and those managers who can fulfill their
preservation of capital mandates should outperform.
/s/ Thomas L. Mangan
Thomas L. Mangan
Chief Financial Officer
Average Annual Total Returns
As of December 31, 2006
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Six One Five Ten Since
Months** Year Years Years Inception
- ----------------------------------------------------------------------------------------------------
Golden Rainbow Fund........................... 5.00% 7.90% 9.15% 8.14% 9.11%
Standard & Poor's 500 Index................... 12.74% 15.80% 6.19% 8.42% 11.22%
Blended Index*................................ 7.44% 10.34% 6.96% 7.86% 9.42%
(Inception 7/1/91)
James Small Cap Fund.......................... 1.67% 12.49% 18.01% NA 12.12%
Russell 2000 Index............................ 9.38% 18.37% 11.39% NA 11.71%
(Inception 10/2/98)
James Market Neutral Fund..................... -4.34% -0.43% 4.13% NA 3.39%
90-Day U.S. Treasury Bill Index............... 2.60% 4.85% 2.43% NA 3.46%
(Inception 10/2/98)
James Equity Fund............................. 3.14% 16.19% 10.62% NA 2.02%
Standard & Poor's 500 Index................... 12.74% 15.80% 6.19% NA 2.20%
(Inception 11/1/99)
James Mid Cap Fund............................ 5.77% NA NA NA 5.77%**
Standard & Poor's 400 Value Index............. 7.42% NA NA NA 7.42%**
(Inception 6/30/06)
- ----------------------------------------------------------------------------------------------------
Past performance is not predictive of future results. The performance of the
above Funds does not reflect the deduction of taxes that a shareholder would pay
on Fund distributions or the redemption of Fund shares.
Current performance may be lower or higher than the performance data quoted.
Please call 1-800-995-2637 for most recent month-end performance information.
* The Blended Index is comprised of a 25% weighting in the Standard & Poor's
500 Index, a 25% weighting in the Russell 2000 Index and a 50% weighting
in the Lehman Brothers Intemediate Government/Credit Index.
** Returns not annualized.
3
JAMES ADVANTAGE FUNDS
REPRESENTATION OF PORTFOLIOS OF INVESTMENTS
December 31, 2006 (Unaudited)
================================================================================
The illustrations below provide the industry sectors for the James Balanced:
Golden Rainbow Fund, James Small Cap Fund, James Market Neutral Fund, James
Equity Fund and James Mid Cap Fund.
James Balanced: Golden Rainbow Fund
Industry Sector Allocation (% of Net Assets)
[PIE CHART]
BASIC MATERIALS - 4.4%
CONSUMER, CYCLICAL - 6.7%
CONSUMER, NON-CYCLICAL - 7.1%
ENERGY - 6.0%
FINANCIAL - 7.2%
INDUSTRIAL - 5.0%
TECHNOLOGY - 6.1%
UTILITIES - 6.0%
INTERNATIONAL EQUITY FUNDS - 3.3%
BONDS (over 10 years) - 11.0%
BONDS (2-10 years) - 24.2%
BONDS (less than 2 years) - 9.9%
CASH EQUIVALENTS - 2.5%
OTHER - 0.6%
James Small Cap Fund
Industry Sector Allocation (% of Net Assets)
[PIE CHART]
BASIC MATERIALS - 9.5%
CONSUMER, CYCLICAL - 14.2%
CONSUMER, NON-CYCLICAL - 15.2%
ENERGY - 8.4%
FINANCIAL - 15.0%
INDUSTRIAL - 10.0%
TECHNOLOGY - 11.0%
UTILITIES - 13.4%
CASH EQUIVALENTS - 8.5%
OTHER - -5.2%
4
JAMES ADVANTAGE FUNDS
REPRESENTATION OF PORTFOLIOS OF INVESTMENTS
(Continued)
================================================================================
James Market Neutral Fund
Industry Sector Allocation (% of Net Assets)
(Cash, Cash Equivalents and Other Assets in Excess of Liabilities not included)
[BAR CHART]
Longs Shorts
------- --------
BASIC MATERIALS 6.6% 1.5%
CONSUMER, CYCLICAL 13.6% 13.0%
CONSUMER, NON-CYCLICAL 9.7% 10.5%
ENERGY 12.3% 3.4%
FINANCIAL 11.8% 7.4%
INDUSTRIAL 3.3% 4.9%
TECHNOLOGY 12.4% 17.9%
UTILITIES 5.8% 2.6%
INTERNATIONAL EQUITY FUNDS 0.9%
James Equity Fund
Industry Sector Allocation (% of Net Assets)
[PIE CHART]
BASIC MATERIALS - 7.2%
CONSUMER, CYCLICAL - 13.7%
CONSUMER, NON-CYCLICAL - 14.7%
ENERGY - 14.8%
FINANCIAL - 14.5%
INDUSTRIAL - 10.7%
TECHNOLOGY - 11.6%
UTILITIES - 10.8%
CASH EQUIVALENTS - 6.0%
OTHER - -4.0%
5
JAMES ADVANTAGE FUNDS
REPRESENTATION OF PORTFOLIOS OF INVESTMENTS
(Continued)
================================================================================
James Mid Cap Fund
Industry Sector Allocation (% of Net Assets)
[PIE CHART]
BASIC MATERIALS - 9.4%
CONSUMER, CYCLICAL - 10.6%
CONSUMER, NON-CYCLICAL - 16.4%
ENERGY - 11.1%
FINANCIAL - 17.0%
INDUSTRIAL - 9.7%
TECHNOLOGY - 9.3%
UTILITIES - 12.1%
CASH EQUIVALENTS - 7.3%
OTHER - -2.9%
6
JAMES ADVANTAGE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2006 (Unaudited)
================================================================================
James
Balanced: James James James James
Golden Rainbow Small Cap Market Neutral Equity Mid Cap
Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------------------------
ASSETS
Investment securities:
At amortized cost .................. $ 275,064,327 $ 323,490,249 $ 40,923,477 $ 30,340,636 $ 4,144,298
=============== =============== =============== =============== ===============
At value ........................... $ 307,648,085 $ 345,719,180 $ 52,021,544 $ 36,865,339 $ 4,292,253
Segregated cash with brokers .......... -- -- 54,577,654 -- --
Dividends and interest receivable ..... 2,545,638 1,128,948 304,987 87,191 3,792
Receivable for capital shares sold .... 1,005,378 700,704 26,740 42,125 18,844
Other assets .......................... 30,114 -- -- -- --
--------------- --------------- --------------- --------------- ---------------
TOTAL ASSETS ................... 311,229,215 347,548,832 106,930,925 36,994,655 4,314,889
--------------- --------------- --------------- --------------- ---------------
LIABILITIES
Dividends payable ..................... 87,402 19,502 40,706 1,242 37
Payable for securities sold short
(proceeds $40,389,859) ............. -- -- 40,485,959 -- --
Payable for dividends on
securities sold short .............. -- -- 3,955 -- --
Payable for capital shares redeemed ... 948,500 404,206 167,634 61,290 --
Payable for securities purchased ...... 270,110 18,199,017 -- 1,445,937 137,915
Accrued expenses:
Management fees .................... 192,068 337,620 96,924 37,390 4,302
12b-1 distribution and service fees 186,127 111,861 32,331 18,167 2,490
Trustees' fees ..................... 2,534 -- -- -- --
Payable to other affiliates ........ 25,777 -- -- -- --
Other .............................. 1,830 -- -- -- --
--------------- --------------- --------------- --------------- ---------------
TOTAL LIABILITIES .............. 1,714,348 19,072,206 40,827,509 1,564,026 144,744
--------------- --------------- --------------- --------------- ---------------
NET ASSETS ............................ $ 309,514,867 $ 328,476,626 $ 66,103,416 $ 35,430,629 $ 4,170,145
=============== =============== =============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital ....................... $ 275,991,121 $ 309,053,935 $ 66,285,613 $ 30,696,488 $ 4,021,838
Accumulated net investment
income (loss) ...................... (6,878) (34,619) (42,662) 3,091 4
Accumulated net realized gains (losses)
from security transactions ......... 946,866 (2,771,621) (11,141,502) (1,793,653) 348
Net unrealized appreciation
on investments ..................... 32,583,758 22,228,931 11,001,967 6,524,703 147,955
--------------- --------------- --------------- --------------- ---------------
NET ASSETS ............................ $ 309,514,867 $ 328,476,626 $ 66,103,416 $ 35,430,629 $ 4,170,145
=============== =============== =============== =============== ===============
Shares of beneficial interest
outstanding (unlimited number
of shares authorized) .............. 17,532,429 14,032,594 5,548,078 3,116,881 395,811
=============== =============== =============== =============== ===============
Net asset value, offering price and
redemption price per share ......... $ 17.65 $ 23.41 $ 11.91 $ 11.37 $ 10.54
=============== =============== =============== =============== ===============
See accompanying notes to financial statements.
7
JAMES ADVANTAGE FUNDS
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2006 (Unaudited)
================================================================================
James
Balanced: James James James James
Golden Rainbow Small Cap Market Neutral Equity Mid Cap
Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (Net of withholding
taxes of $2,162, $0, $1,633,
$811, $33, respectively) ....... $ 1,144,785 $ 2,254,751 $ 508,558 $ 311,369 $ 27,063
Interest ........................... 4,183,444 346,893 1,693,370 34,743 4,389
--------------- --------------- --------------- --------------- ---------------
TOTAL INVESTMENT INCOME ........ 5,328,229 2,601,644 2,201,928 346,112 31,452
--------------- --------------- --------------- --------------- ---------------
EXPENSES
Management fees .................... 1,066,219 1,499,000 651,146 213,557 14,005
12b-1 distribution and service fees 342,987 301,863 89,580 43,462 2,806
Dividend expense on
securities sold short .......... -- -- 100,019 -- --
Administration fees ................ 81,495 -- -- -- --
Professional fees .................. 42,645 -- -- -- --
Transfer agent fees ................ 35,176 -- -- -- --
Accounting services fees ........... 24,399 -- -- -- --
Trustees' fees ..................... 9,113 10,319 8,160 7,167 23
Registration fees .................. 25,813 -- -- -- --
Custodian fees and expenses ........ 19,598 -- -- -- --
Shareholder report printing
and mailing .................... 16,399 -- -- -- --
Postage and supplies ............... 13,947 -- -- -- --
Compliance fees and expenses ....... 3,698 -- -- -- --
Other expenses ..................... 2,314 -- -- -- --
--------------- --------------- --------------- --------------- ---------------
TOTAL EXPENSES ................. 1,683,803 1,811,182 848,905 264,186 16,834
--------------- --------------- --------------- --------------- ---------------
NET INVESTMENT INCOME ................. 3,644,426 790,462 1,353,023 81,926 14,618
--------------- --------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED
GAINS (LOSSES)
ON INVESTMENTS
Net realized gains (losses) from
security transactions .......... 2,817,214 (474,215) 2,476,161 2,118 348
Net realized losses on closed
short positions ................ -- -- (1,872,301) -- --
Net change in unrealized
appreciation/depreciation on
investments .................... 7,665,245 5,714,683 (5,438,398) 818,892 147,955
--------------- --------------- --------------- --------------- ---------------
NET REALIZED AND
UNREALIZED GAINS (LOSSES)
ON INVESTMENTS ..................... 10,482,459 5,240,468 (4,834,538) 821,010 148,303
=============== =============== =============== =============== ===============
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS .................... $ 14,126,885 $ 6,030,930 $ (3,481,515) $ 902,936 $ 162,921
=============== =============== =============== =============== ===============
See accompanying notes to financial statements.
8
JAMES BALANCED: GOLDEN RAINBOW FUND
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
Six Months
Ended Year
December 31, Ended
2006 June 30,
(Unaudited) 2006
- ---------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income ........................................................... $ 3,644,426 $ 4,445,213
Net realized gains on investments ............................................... 2,817,214 4,354,056
Net change in unrealized appreciation/depreciation on investments ............... 7,665,245 3,509,577
------------- -------------
Net increase in net assets from operations ........................................... 14,126,885 12,308,846
------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ............................................ (3,651,315) (4,445,207)
Distributions from net realized gains ........................................... (5,273,855) (6,923,670)
------------- -------------
Decrease in net assets from distributions to shareholders ............................ (8,925,170) (11,368,877)
------------- -------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ....................................................... 60,196,714 156,716,472
Net asset value of shares issued in reinvestment of distributions to shareholders 8,607,498 10,968,299
Payments for shares redeemed .................................................... (33,257,004) (47,464,018)
------------- -------------
Net increase in net assets from capital share transactions ........................... 35,547,208 120,220,753
------------- -------------
TOTAL INCREASE IN NET ASSETS ......................................................... 40,748,923 121,160,722
NET ASSETS
Beginning of period ............................................................. 268,765,944 147,605,222
------------- -------------
End of period ................................................................... $ 309,514,867 $ 268,765,944
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) ............................................. $ (6,878) $ 2,871
============= =============
SUMMARY OF CAPITAL SHARE ACTIVITY
Shares sold ..................................................................... 3,423,977 9,025,280
Shares issued in reinvestment of distributions to shareholders .................. 485,412 638,737
Shares redeemed ................................................................. (1,894,665) (2,737,742)
------------- -------------
Net increase in shares outstanding .............................................. 2,014,724 6,926,275
Shares outstanding, beginning of period ......................................... 15,517,705 8,591,430
------------- -------------
Shares outstanding, end of period ............................................... 17,532,429 15,517,705
============= =============
See accompanying notes to financial statements.
9
JAMES SMALL CAP FUND
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
Six Months
Ended Year
December 31, Ended
2006 June 30,
(Unaudited) 2006
- ---------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) .................................................... $ 790,462 $ (238,195)
Net realized gains (losses) on investments ...................................... (474,215) 973,968
Net change in unrealized appreciation/depreciation on investments ............... 5,714,683 10,817,638
------------- -------------
Net increase in net assets from operations ........................................... 6,030,930 11,553,411
------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ............................................ (579,295) (140,631)
Distributions from net realized gains ........................................... (2,572,028) (1,110,529)
------------- -------------
Decrease in net assets from distributions to shareholders ............................ (3,151,323) (1,251,160)
------------- -------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ....................................................... 178,014,863 146,123,605
Net asset value of shares issued in reinvestment of distributions to shareholders 3,036,862 1,211,405
Payments for shares redeemed (A) ................................................ (25,945,117) (41,635,792)
------------- -------------
Net increase in net assets from capital share transactions ........................... 155,106,608 105,699,218
------------- -------------
TOTAL INCREASE IN NET ASSETS ......................................................... 157,986,215 116,001,469
NET ASSETS
Beginning of period ............................................................. 170,490,411 54,488,942
------------- -------------
End of period ................................................................... $ 328,476,626 $ 170,490,411
============= =============
ACCUMULATED NET INVESTMENT LOSS ...................................................... $ (34,619) $ --
============= =============
SUMMARY OF CAPITAL SHARE ACTIVITY
Shares sold ..................................................................... 7,697,389 6,488,734
Shares issued in reinvestment of distributions to shareholders .................. 129,997 56,228
Shares redeemed ................................................................. (1,118,620) (1,884,121)
------------- -------------
Net increase in shares outstanding .............................................. 6,708,766 4,660,841
Shares outstanding, beginning of period ......................................... 7,323,828 2,662,987
------------- -------------
Shares outstanding, end of period ............................................... 14,032,594 7,323,828
============= =============
(A) The cost of payments for shares redeemed is net of the 1% redemption fee
on Fund shares which have been held for less than the stated period in the
prospectus. For the periods ended December 31, 2006 and June 30, 2006,
these fees were $33,629 and $40,075, respectively. Effective February 21,
2007, the redemption fee was eliminated.
See accompanying notes to financial statements.
10
JAMES MARKET NEUTRAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
Six Months
Ended Year
December 31, Ended
2006 June 30,
(Unaudited) 2006
- ---------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income ........................................................... $ 1,353,023 $ 986,065
Net realized gains (losses) from:
Security transactions ....................................................... 2,476,161 1,432,520
Closed short positions ...................................................... (1,872,301) (11,320,096)
Net change in unrealized appreciation/depreciation on investments ............... (5,438,398) 11,995,675
------------- -------------
Net increase (decrease) in net assets from operations ................................ (3,481,515) 3,094,164
------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ............................................ (1,395,686) (1,008,466)
------------- -------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ....................................................... 17,891,889 55,571,273
Net asset value of shares issued in reinvestment of distributions to shareholders 1,314,050 951,011
Payments for shares redeemed (A) ................................................ (23,442,936) (30,693,297)
------------- -------------
Net increase (decrease) in net assets from capital share transactions ................ (4,236,997) 25,828,987
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS .............................................. (9,114,198) 27,914,685
NET ASSETS
Beginning of period ............................................................. 75,217,614 47,302,929
------------- -------------
End of period ................................................................... $ 66,103,416 $ 75,217,614
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) ............................................. $ (42,662) $ 1,351
============= =============
SUMMARY OF CAPITAL SHARE ACTIVITY
Shares sold ..................................................................... 1,422,224 4,486,840
Shares issued in reinvestment of distributions to shareholders .................. 108,370 76,956
Shares redeemed ................................................................. (1,910,858) (2,491,209)
------------- -------------
Net increase (decrease) in shares outstanding ................................... (380,264) 2,072,587
Shares outstanding, beginning of period ......................................... 5,928,342 3,855,755
------------- -------------
Shares outstanding, end of period ............................................... 5,548,078 5,928,342
============= =============
(A) The cost of payments for shares redeemed is net of the 1% redemption fee
on Fund shares which have been held for less than the stated period in the
prospectus. For the periods ended December 31, 2006 and June 30, 2006,
these fees were $20,603 and $37,999, respectively. Effective February 21,
2007, the redemption fee was eliminated.
See accompanying notes to financial statements.
11
JAMES EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
Six Months
Ended Year
December 31, Ended
2006 June 30,
(Unaudited) 2006
- ---------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income ........................................................... $ 81,926 $ 12,886
Net realized gains on investments ............................................... 2,118 1,393,779
Net change in unrealized appreciation/depreciation on investments ............... 818,892 3,117,729
------------- -------------
Net increase in net assets from operations ........................................... 902,936 4,524,394
------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ............................................ (50,617) (12,886)
Dividends in excess of net investment income .................................... -- (28,219)
------------- -------------
Decrease in net assets from distributions to shareholders ............................ (50,617) (41,105)
------------- -------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ....................................................... 13,224,313 17,542,319
Net asset value of shares issued in reinvestment of distributions to shareholders 49,374 40,392
Payments for shares redeemed (A) ................................................ (12,487,582) (5,107,288)
------------- -------------
Net increase in net assets from capital share transactions ........................... 786,105 12,475,423
------------- -------------
TOTAL INCREASE IN NET ASSETS ......................................................... 1,638,424 16,958,712
NET ASSETS
Beginning of period ............................................................. 33,792,205 16,833,493
------------- -------------
End of period ................................................................... $ 35,430,629 $ 33,792,205
============= =============
UNDISTRIBUTED NET INVESTMENT INCOME .................................................. $ 3,091 $ --
============= =============
SUMMARY OF CAPITAL SHARE ACTIVITY
Shares sold ..................................................................... 1,200,288 1,662,067
Shares issued in reinvestment of distributions to shareholders .................. 4,342 4,122
Shares redeemed ................................................................. (1,148,918) (499,385)
------------- -------------
Net increase in shares outstanding .............................................. 55,712 1,166,804
Shares outstanding, beginning of period ......................................... 3,061,169 1,894,365
------------- -------------
Shares outstanding, end of period ............................................... 3,116,881 3,061,169
============= =============
(A) The cost of payments for shares redeemed is net of the 1% redemption fee
on Fund shares which have been held for less than the stated period in the
prospectus. For the periods ended December 31, 2006 and June 30, 2006,
these fees were $6,933 and $4,373, respectively. Effective February 21,
2007, the redemption fee was eliminated.
See accompanying notes to financial statements.
12
JAMES MID CAP FUND
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
Six Months
Ended
December 31,
2006
(Unaudited)
- ---------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income ........................................................... $ 14,618
Net realized gains on investments ............................................... 348
Net change in unrealized appreciation/depreciation on investments ............... 147,955
-----------
Net increase in net assets from operations ........................................... 162,921
-----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ............................................ (14,614)
-----------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ....................................................... 3,909,554
Net asset value of shares issued in reinvestment of distributions to shareholders 14,577
Payments for shares redeemed (A) ................................................ (2,293)
-----------
Net increase in net assets from capital share transactions ........................... 3,921,838
-----------
TOTAL INCREASE IN NET ASSETS ......................................................... 4,070,145
NET ASSETS
Beginning of period ............................................................. 100,000
-----------
End of period ................................................................... $ 4,170,145
===========
UNDISTRIBUTED NET INVESTMENT INCOME .................................................. $ 4
===========
SUMMARY OF CAPITAL SHARE ACTIVITY
Shares sold ..................................................................... 384,653
Shares issued in reinvestment of distributions to shareholders .................. 1,383
Shares redeemed ................................................................. (225)
-----------
Net increase in shares outstanding .............................................. 385,811
Shares outstanding, beginning of period ......................................... 10,000
-----------
Shares outstanding, end of period ............................................... 395,811
===========
(A) The cost of payments for shares redeemed is net of the 1% redemption fee
on Fund shares which have been held for less than the stated period in the
prospectus. For the period ended December 31, 2006, these fees were $2.
Effective February 21, 2007, the redemption fee was eliminated.
See accompanying notes to financial statements.
13
JAMES BALANCED: GOLDEN RAINBOW FUND
FINANCIAL HIGHLIGHTS
================================================================================
Per Share Data for a Share Outstanding Throughout Each Period
- ----------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
December 31, Year Ended June 30,
2006 ---------------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of
period ....................... $ 17.32 $ 17.18 $ 15.28 $ 13.72 $ 13.80 $ 14.34
--------- --------- --------- --------- --------- ---------
Income from investment operations:
Net investment income ........ 0.22 0.34 0.26 0.26 0.27 0.40
Net realized and unrealized
gains on investments ..... 0.65 0.75 1.95 1.56 0.28 0.33
--------- --------- --------- --------- --------- ---------
Total from investment operations .. 0.87 1.09 2.21 1.82 0.55 0.73
--------- --------- --------- --------- --------- ---------
Less distributions:
From net investment income ... (0.22) (0.34) (0.26) (0.26) (0.27) (0.40)
From net realized gains on
investments .............. (0.32) (0.61) (0.05) (0.00)(A) (0.36) (0.87)
--------- --------- --------- --------- --------- ---------
Total distributions ............... (0.54) (0.95) (0.31) (0.26) (0.63) (1.27)
--------- --------- --------- --------- --------- ---------
Net asset value at end of period .. $ 17.65 $ 17.32 $ 17.18 $ 15.28 $ 13.72 $ 13.80
========= ========= ========= ========= ========= =========
Total return ...................... 5.00%(B) 6.48% 14.56% 13.32% 4.34% 5.37%
========= ========= ========= ========= ========= =========
Net assets at end of period (000's) $ 309,515 $ 268,766 $ 147,605 $ 83,893 $ 69,169 $ 65,456
========= ========= ========= ========= ========= =========
Ratios/Supplemental Data:
Ratio of net expenses to average
net assets ................... 1.17%(C) 1.21% 1.26% 1.28% 1.32% 1.24%
Ratio of net investment income
to average net assets ........ 2.53%(C) 2.11% 1.70% 1.77% 2.08% 2.84%
Portfolio turnover rate ........... 50%(C) 68% 36% 29% 61% 54%
(A) Amount rounds to less than $0.005.
(B) Not annualized.
(C) Annualized.
See accompanying notes to financial statements.
14
JAMES SMALL CAP FUND
FINANCIAL HIGHLIGHTS
================================================================================
Per Share Data for a Share Outstanding Throughout Each Period
- ----------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
December 31, Year Ended June 30,
2006 ---------------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of
period ........................ $ 23.28 $ 20.46 $ 18.66 $ 13.43 $ 12.08 $ 11.03
--------- --------- --------- --------- --------- ---------
Income (loss) from investment
operations:
Net investment income (loss) . 0.07 (0.04) 0.05 0.01 0.10 0.00(A)
Net realized and unrealized
gains on investments ..... 0.32 3.19 2.65 5.26 1.35 1.06
--------- --------- --------- --------- --------- ---------
Total from investment operations .. 0.39 3.15 2.70 5.27 1.45 1.06
--------- --------- --------- --------- --------- ---------
Less distributions:
From net investment income ... (0.04) (0.04) -- (0.01) (0.10) (0.01)
From net realized gains on
investments .............. (0.22) (0.30) (1.00) (0.05) -- --
--------- --------- --------- --------- --------- ---------
Total distributions ............... (0.26) (0.34) (1.00) (0.06) (0.10) (0.01)
--------- --------- --------- --------- --------- ---------
Paid-in capital from redemption
fees(B) ....................... 0.00(A) 0.01 0.10 0.02 -- --
--------- --------- --------- --------- --------- ---------
Net asset value at end of period .. $ 23.41 $ 23.28 $ 20.46 $ 18.66 $ 13.43 $ 12.08
========= ========= ========= ========= ========= =========
Total return ...................... 1.67%(C) 15.59% 15.39% 39.47% 12.20% 9.65%
========= ========= ========= ========= ========= =========
Net assets at end of period (000's) $ 328,477 $ 170,490 $ 54,489 $ 13,186 $ 9,199 $ 7,882
========= ========= ========= ========= ========= =========
Ratios/Supplemental Data:
Ratio of net expenses to average
net assets .................... 1.49%(D) 1.50% 1.50% 1.50% 1.50% 1.48%
Ratio of net investment income
(loss) to average net assets .. 0.65%(D) (0.25%) 0.45% 0.05% 0.90% 0.02%
Portfolio turnover rate ........... 79%(D) 59% 94% 45% 52% 78%
(A) Amount rounds to less than $0.005.
(B) Amount calculated based on average shares outstanding throughout the
period.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
15
JAMES MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
================================================================================
Per Share Data for a Share Outstanding Throughout Each Period
- ----------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
December 31, Year Ended June 30,
2006 ---------------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of
period ........................ $ 12.69 $ 12.27 $ 11.02 $ 9.97 $ 10.79 $ 10.12
--------- --------- --------- --------- --------- ---------
Income (loss) from investment
operations:
Net investment income (loss) . 0.22 0.17 0.01 (0.13) (0.10) 0.02
Net realized and unrealized
gains (losses) on
investments .............. (0.77) 0.42 1.23 1.18 (0.72) 0.69
--------- --------- --------- --------- --------- ---------
Total from investment operations .. (0.55) 0.59 1.24 1.05 (0.82) 0.71
--------- --------- --------- --------- --------- ---------
Less distributions:
From net investment income ... (0.23) (0.18) -- -- -- (0.04)
--------- --------- --------- --------- --------- ---------
Paid-in capital from redemption
fees(B) ....................... 0.00(A) 0.01 0.01 0.00(A) -- --
--------- --------- --------- --------- --------- ---------
Net asset value at end of period .. $ 11.91 $ 12.69 $ 12.27 $ 11.02 $ 9.97 $ 10.79
========= ========= ========= ========= ========= =========
Total return ...................... (4.34%)(C) 4.94% 11.34% 10.53% (7.60%) 7.06%
========= ========= ========= ========= ========= =========
Net assets at end of period (000's) $ 66,103 $ 75,218 $ 47,303 $ 12,528 $ 9,219 $ 8,676
========= ========= ========= ========= ========= =========
Ratios/Supplemental Data:
Ratio of net expenses to average
net assets, excluding
dividends on securities sold
short ........................ 1.93%(D) 1.95% 1.95% 1.95% 1.95% 1.95%
Ratio of dividend expense
on securities sold short ..... 0.26%(D) 0.62% 0.42% 0.64% 0.53% 0.28%
--------- --------- --------- --------- --------- ---------
Ratio of net expenses to average
net assets .................... 2.19%(D) 2.57% 2.37% 2.59% 2.48% 2.23%
--------- --------- --------- --------- --------- ---------
Ratio of net investment income
(loss) to average net assets . 3.49%(D) 1.52% 0.11% (1.43%) (0.98%) 0.25%
Portfolio turnover rate(E) ........ 53%(D) 27% 35% 13% 86% 154%
(A) Amount rounds to less than $0.005.
(B) Amount calculated based on average shares outstanding throughout the
period.
(C) Not annualized.
(D) Annualized.
(E) Calculation does not include short positions or short transactions.
Portfolio turnover rate would be lower if included.
See accompanying notes to financial statements.
16
JAMES EQUITY FUND
FINANCIAL HIGHLIGHTS
================================================================================
Per Share Data for a Share Outstanding Throughout Each Period
- ----------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
December 31, Year Ended June 30,
2006 ---------------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of
period ........................ $ 11.04 $ 8.89 $ 7.36 $ 6.18 $ 6.62 $ 7.65
--------- --------- --------- --------- --------- ---------
Income (loss) from investment
operations:
Net investment income ........ 0.03 0.01 0.01 0.02 0.03 0.01
Net realized and unrealized
gains (losses) on
investments .............. 0.32 2.16 1.53 1.18 (0.44) (1.03)
--------- --------- --------- --------- --------- ---------
Total from investment operations .. 0.35 2.17 1.54 1.20 (0.41) (1.02)
--------- --------- --------- --------- --------- ---------
Less distributions:
From net investment income ... (0.02) (0.01) (0.01) (0.02) (0.03) (0.01)
From distributions in excess
of net investment income . -- (0.01) -- -- -- --
--------- --------- --------- --------- --------- ---------
Total distributions .......... (0.02) (0.02) (0.01) (0.02) (0.03) (0.01)
--------- --------- --------- --------- --------- ---------
Paid-in capital from redemption
fees(B) ....................... 0.00(A) 0.00(A) 0.00(A) 0.00(A) -- --
--------- --------- --------- --------- --------- ---------
Net asset value at end of period .. $ 11.37 $ 11.04 $ 8.89 $ 7.36 $ 6.18 $ 6.62
========= ========= ========= ========= ========= =========
Total return ...................... 3.14%(C) 24.45% 20.96% 19.38% (6.14%) (13.29%)
========= ========= ========= ========= ========= =========
Net assets at end of period (000's) $ 35,431 $ 33,792 $ 16,833 $ 7,249 $ 5,379 $ 3,788
========= ========= ========= ========= ========= =========
Ratios/Supplemental Data:
Ratio of net expenses to average
net assets .................... 1.50%(D) 1.50% 1.50% 1.50% 1.50% 1.50%
Ratio of net investment income
to average net assets ........ 0.46%(D) 0.06% 0.22% 0.25% 0.56% 0.20%
Portfolio turnover rate ........... 57%(D) 43% 33% 70% 65% 87%
(A) Amount rounds to less than $0.005.
(B) Amount calculated based on average shares outstanding throughout the
period.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
17
JAMES MID CAP FUND
FINANCIAL HIGHLIGHTS
================================================================================
Per Share Data for a Share Outstanding Throughout the Period
- --------------------------------------------------------------------------------
Six Months
Ended
December 31,
2006
(Unaudited)
- --------------------------------------------------------------------------------
Net asset value at beginning of period ...................... $ 10.00
-------------
Income from investment operations:
Net investment income .................................. 0.04
Net realized and unrealized gains on investments........ 0.54
-------------
Total from investment operations ............................ 0.58
-------------
Less distributions:
From net investment income ............................. (0.04)
-------------
Paid-in capital from redemption fees(B) ..................... 0.00(A)
-------------
Net asset value at end of period ............................ $ 10.54
=============
Total return ................................................ 5.77%(C)
=============
Net assets at end of period (000's) ......................... 4,170
=============
Ratios/Supplemental Data:
Ratio of net expenses to average net assets ................. 1.48%(D)
Ratio of net investment income to average net assets......... 1.29%(D)
Portfolio turnover rate ..................................... 20%(D)
(A) Amount rounds to less than $0.005.
(B) Amount calculated based on average shares outstanding throughout the
period.
(C) Not annualized.
(D) Annualized.
See accompanying notes to financial statements.
18
JAMES BALANCED: GOLDEN RAINBOW FUND
SCHEDULE OF INVESTMENTS
December 31, 2006 (Unaudited)
================================================================================
Shares COMMON STOCKS -- 51.8% Value
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 4.4%
42,000 AEP Industries, Inc.*............................ $ 2,239,020
15,000 Alliance Resource Partners, L.P.................. 517,800
40,000 Barrick Gold Corporation......................... 1,228,000
35,000 Castle (A.M.) & Company.......................... 890,750
15,000 Dow Chemical Company............................. 599,100
40,000 Goldcorp, Inc.................................... 1,137,600
45,650 Methanex Corporation............................. 1,249,441
26,000 Newmont Mining Corporation....................... 1,173,900
19,000 Nucor Corporation................................ 1,038,540
175,000 Polyone Corporation - W/I*....................... 1,312,500
17,000 PPG Industries, Inc.............................. 1,091,570
30,000 RPM International, Inc........................... 626,700
19,500 Terra Nitrogen Company, L.P...................... 663,975
-------------
13,768,896
-------------
CONSUMER, CYCLICAL -- 6.7%
100,812 Air Methods Corporation*......................... 2,814,671
185,000 Interstate Hotels & Resorts*..................... 1,380,100
39,000 J.C. Penney Company, Inc. ....................... 3,017,040
30,000 McDonald's Corporation........................... 1,329,900
45,000 Men's Wearhouse, Inc............................. 1,721,700
20,000 Office Depot, Inc.*.............................. 763,400
34,950 PACCAR, Inc...................................... 2,268,255
13,000 Papa John's Intl., Inc.*......................... 377,130
26,000 Steven Madden Ltd................................ 912,340
29,000 The Buckle, Inc.................................. 1,474,650
49,000 The Pantry, Inc.*................................ 2,295,160
55,500 Watson Wyatt Worldwide, Inc...................... 2,505,825
-------------
20,860,171
-------------
CONSUMER, NON-CYCLICAL -- 7.1%
41,500 Archer-Daniels-Midland Company................... 1,326,340
53,500 Corvel Corporation*.............................. 2,544,995
201,000 EZCORP, Inc. - Class A*.......................... 3,266,250
48,000 Imperial Sugar Company........................... 1,162,080
12,000 Ingles Markets, Inc - CL A....................... 357,480
126,000 King Pharmaceuticals, Inc.*...................... 2,005,920
25,000 Magellan Health Services, Inc.*.................. 1,080,500
24,000 Manpower, Inc.................................... 1,798,320
60,000 Merck & Co., Inc................................. 2,616,000
97,000 Pfizer, Inc...................................... 2,512,300
9,000 Sierra Health Services, Inc.*.................... 324,360
20,534 The Andersons, Inc............................... 870,436
43,000 The Toro Company................................. 2,005,090
-------------
21,870,071
-------------
19
JAMES BALANCED: GOLDEN RAINBOW FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 51.8% (Continued) Value
- --------------------------------------------------------------------------------
ENERGY -- 6.0%
15,800 Apache Corporation............................... $ 1,050,858
41,500 Bolt Technology Corporation*..................... 925,450
32,940 Chevron Corporation.............................. 2,422,078
38,500 Cimarex Energy Company........................... 1,405,250
28,000 Devon Energy Corporation......................... 1,878,240
16,000 EOG Resources, Inc............................... 999,200
44,500 Exxon Mobil Corporation.......................... 3,410,036
36,400 Hess Corporation................................. 1,804,348
151,313 ICO Inc.*........................................ 853,405
10,000 Lufkin Industries, Inc........................... 580,800
28,300 Sunoco, Inc...................................... 1,764,788
28,000 Valero Energy Corporation........................ 1,432,480
-------------
18,526,933
-------------
FINANCIAL -- 7.2%
27,500 Alliance Bernstein Holding L.P................... 2,211,000
46,500 American Financial Group, Inc.................... 1,669,815
48,750 American Physicians Capital, Inc.*............... 1,951,950
11,500 Assurant, Inc.................................... 635,375
20,500 Bear Stearns Companies, Inc...................... 3,336,989
36,500 CIT Group, Inc................................... 2,035,605
28,000 CNA Surety Corporation*.......................... 602,000
14,000 KeyCorp.......................................... 532,420
40,000 Knight Capital Group, Inc.*...................... 766,800
47,500 Rent-A-Center, Inc.*............................. 1,401,725
20,000 SAFECO Corporation............................... 1,251,000
54,000 Safety Insurance Group, Inc...................... 2,738,340
82,500 W.R. Berkley Corporation......................... 2,847,075
-------------
21,980,094
-------------
INDUSTRIAL -- 5.0%
14,000 Cascade Corporation.............................. 740,600
62,000 CSX Corporation.................................. 2,134,660
21,500 Cummins, Inc..................................... 2,540,870
11,000 Eaton Corporation................................ 826,540
75,000 Metal Management, Inc............................ 2,838,750
29,000 Norfolk Southern Corporation..................... 1,458,410
36,200 OMI Corporation.................................. 766,354
57,000 PW Eagle, Inc.................................... 1,966,500
27,000 Superior Essex, Inc.*............................ 897,750
2,000 The Black & Decker Corporation................... 159,940
42,000 Timken Company................................... 1,225,560
-------------
15,555,934
-------------
20
JAMES BALANCED: GOLDEN RAINBOW FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 51.8% (Continued) Value
- --------------------------------------------------------------------------------
TECHNOLOGY -- 6.1%
42,000 Armor Holdings, Inc.*............................ $ 2,303,700
41,000 Arrow Electronics, Inc*.......................... 1,293,550
25,000 BTU International, Inc.*......................... 245,000
6,000 Ceradyne, Inc.*.................................. 339,000
35,000 Covansys Corporation*............................ 803,250
61,500 Hewlett-Packard Company.......................... 2,533,185
30,000 Intersections, Inc.*............................. 316,800
41,000 Komag, Inc.*..................................... 1,553,080
8,000 MicroStrategy, Inc.*............................. 912,080
17,000 Motorola, Inc.................................... 349,520
50,500 Northrop Grumman Corporation..................... 3,418,850
35,000 Sykes Enterprises, Inc.*......................... 617,400
30,000 WESCO International, Inc.*....................... 1,764,300
119,000 Western Digital Corporation*..................... 2,434,740
-------------
18,884,455
-------------
UTILITIES -- 6.0%
76,000 AT&T, Inc........................................ 2,717,000
39,500 CenturyTel, Inc.................................. 1,724,570
34,000 Edison International............................. 1,546,320
70,800 Energen Corporation.............................. 3,323,352
52,000 IDACORP, Inc..................................... 2,009,800
43,500 MDU Resources Group, Inc......................... 1,115,340
28,000 Otter Tail Corporation........................... 872,480
30,500 Sempra Energy.................................... 1,707,085
38,000 TXU Corporation.................................. 2,059,980
25,000 WPS Resources Corporation........................ 1,350,750
-------------
18,426,677
-------------
INTERNATIONAL EQUITY FUNDS -- 3.3%
27,000 Greater China Fund, Inc.......................... 849,960
30,000 India Fund, Inc.................................. 1,377,000
124,000 iShares MSCI Japan Index Fund.................... 1,760,800
10,300 iShares MSCI South Africa........................ 1,184,706
46,000 iShares MSCI Sweden.............................. 1,479,820
57,000 iShares MSCI Taiwan Index Fund................... 827,070
55,000 Japan Smaller Capitalization Fund, Inc........... 707,850
58,000 New Ireland Fund, Inc............................ 2,134,400
-------------
10,321,606
-------------
TOTAL COMMON STOCKS.............................. $ 160,194,837
-------------
21
JAMES BALANCED: GOLDEN RAINBOW FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Par Value U.S. GOVERNMENT & AGENCY BONDS -- 44.0% Value
- --------------------------------------------------------------------------------
$ 2,000,000 Federal Farm Credit Bank, 5.950%, 3/16/09........ $ 2,038,076
550,000 Federal Home Loan Bank, 4.500%, 2/17/10.......... 540,184
7,500,000 U.S. Treasury Bonds, 4.875%, 2/15/12............. 7,568,558
14,000,000 U.S. Treasury Bonds, 4.750%, 5/15/14............. 14,036,092
35,000,000 U.S. Treasury Bonds, 4.500%, 2/15/16............. 34,442,170
13,000,000 U.S. Treasury Bonds, 5.125%, 5/15/16............. 13,390,507
22,200,000 U.S. Treasury Bonds, 5.375%, 2/15/31............. 23,780,018
9,000,000 U.S. Treasury Bonds, 4.500%, 2/15/36............. 8,558,442
11,500,000 U.S. Treasury Notes, 3.250%, 8/15/07............. 11,375,570
14,000,000 U.S. Treasury Notes, 3.000%, 2/15/08............. 13,699,224
3,000,000 U.S. Treasury Notes, 4.625%, 3/31/08............. 2,987,226
2,000,000 U.S. Treasury Notes, 2.625%, 5/15/08............. 1,940,312
2,000,000 U.S. Treasury Notes, 4.000%, 2/15/15............. 1,905,234
-------------
TOTAL U.S. GOVERNMENT & AGENCY BONDS............. $ 136,261,613
-------------
================================================================================
Par Value CORPORATE BONDS -- 1.1% Value
- --------------------------------------------------------------------------------
$ 500,000 Anheuser-Busch Companies, Inc., 6.000%, 4/15/1... $ 512,816
500,000 Barrick Gold Finance, Inc., 7.500%, 5/1/07....... 503,401
500,000 Tennessee Valley Authority, 5.625%, 1/18/11...... 511,576
2,000,000 Walmart Stores, 5.250%, 9/1/35................... 1,836,597
-------------
TOTAL CORPORATE BONDS............................ $ 3,364,390
-------------
================================================================================
Shares SHORT TERM INVESTMENTS -- 2.5% Value
- --------------------------------------------------------------------------------
7,827,245 First American Treasury Obligations Fund......... $ 7,827,245
-------------
TOTAL INVESTMENT SECURITIES -- 99.4%
(Amortized Cost $275,064,327).................... $ 307,648,085
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.6%.... 1,866,782
-------------
NET ASSETS -- 100.0%............................. $ 309,514,867
=============
* Non-income producing security.
See accompanying notes to financial statements.
22
JAMES SMALL CAP FUND
SCHEDULE OF INVESTMENTS
December 31, 2006 (Unaudited)
================================================================================
Shares COMMON STOCKS -- 96.7% Value
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 9.5%
129,870 AEP Industries Inc.*............................. $ 6,923,369
27,500 Alliance Resource Partners, L.P.................. 949,300
93,270 Castle (A.M.) & Company.......................... 2,373,722
29,900 Compass Minerals International, Inc. ............ 943,644
22,700 Innospec, Inc.................................... 1,056,685
20,000 OM Group, Inc.*.................................. 905,600
86,600 Oregon Steel Mills, Inc.*........................ 5,404,706
783,800 Polyone Corporation*............................. 5,878,500
73,690 Schnitzer Steel Industries, Inc. - Class A....... 2,925,493
54,000 Shiloh Industries, Inc.*......................... 1,023,300
62,700 Universal Forest Products, Inc. ................. 2,923,074
-------------
31,307,393
-------------
CONSUMER, CYCLICAL -- 14.2%
275,700 Air Methods Corporation*......................... 7,697,544
160,650 Aldila, Inc. .................................... 2,395,292
344,350 Books-A-Million, Inc. ........................... 7,809,858
355,900 Charming Shoppes, Inc.*.......................... 4,815,327
586,600 Interstate Hotels & Resorts*..................... 4,376,036
41,300 JAKKS Pacific, Inc.*............................. 901,992
190,200 K2, Inc.*........................................ 2,508,738
103,200 Pinnacle Airlines Corporation*................... 1,738,920
71,500 Steiner Leisure Ltd.*............................ 3,253,250
116,800 The Buckle, Inc.................................. 5,939,280
112,575 The Pantry, Inc.*................................ 5,273,013
-------------
46,709,250
-------------
CONSUMER, NON-CYCLICAL -- 15.2%
207,250 Advocat, Inc.*................................... 3,330,508
427,400 Central Parking Corporation...................... 7,693,199
176,605 Corvel Corporation*.............................. 8,401,099
179,000 First Consulting Group, Inc.*.................... 2,463,040
158,900 Gentek, Inc.*.................................... 5,496,351
143,700 Imperial Sugar Company........................... 3,478,977
196,100 Ingles Markets, Inc. - Class A................... 5,841,819
137,000 Magellan Health Services, Inc.*.................. 5,921,140
332,556 Spartan Stores, Inc.............................. 6,960,397
-------------
49,586,530
-------------
ENERGY -- 8.4%
71,270 Copano Energy LLC................................ 4,251,256
60,000 Lufkin Industries, Inc. ......................... 3,484,800
357,900 Matrix Service Company*.......................... 5,762,190
225,675 RPC, Inc......................................... 3,809,394
90,000 Swift Energy Company*............................ 4,032,900
400,000 VAALCO Energy, Inc.*............................. 2,700,000
75,000 W-H Energy Services, Inc.*....................... 3,651,750
-------------
27,692,290
-------------
23
JAMES SMALL CAP FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 96.7% (Continued) Value
- --------------------------------------------------------------------------------
FINANCIAL -- 15.0%
105,420 1st Source Corporation........................... $ 3,387,145
75,600 American Physicians Capital, Inc.*............... 3,027,024
188,050 ASTA Funding, Inc................................ 5,724,242
236,100 CNA Surety Corporation*.......................... 5,076,150
192,100 FelCor Lodging Trust, Inc........................ 4,195,464
99,050 FPIC Insurance Group, Inc.*...................... 3,859,979
188,420 LTC Properties, Inc.............................. 5,145,750
293,917 MCG Capital Corporation.......................... 5,972,393
56,000 Piper Jaffray Companies, Inc.*................... 3,648,400
133,400 Safety Insurance Group, Inc...................... 6,764,714
99,400 United America Indemnity Ltd.*................... 2,517,802
-------------
49,319,063
-------------
INDUSTRIAL -- 10.0%
142,900 Arkansas Best Corporation........................ 5,144,400
112,900 Cascade Corporation.............................. 5,972,410
44,200 Commercial Vehicle Group, Inc.*.................. 963,560
52,600 Metal Management, Inc............................ 1,990,910
283,500 OMI Corporation.................................. 6,001,695
152,232 PW Eagle, Inc.................................... 5,252,004
212,430 Superior Essex, Inc.*............................ 7,063,298
17,200 Twin Disc, Inc................................... 610,600
-------------
32,998,877
-------------
TECHNOLOGY -- 11.0%
310,300 Datalink Corporation*............................ 2,333,456
70,100 Hurco Companies, Inc.*........................... 2,227,778
56,125 John H. Harland Company.......................... 2,817,475
129,700 Komag, Inc.*..................................... 4,913,036
120,600 Park Electrochemical Corporation................. 3,093,390
523,000 RealNetworks, Inc.*.............................. 5,721,620
65,820 Rofin-Sinar Technologies, Inc.*.................. 3,979,477
41,900 Teledyne Technologies, Inc.*..................... 1,681,447
224,600 United Online, Inc............................... 2,982,688
163,700 Xyratex Ltd.*.................................... 3,532,646
201,500 Zoran Corporation*............................... 2,937,870
-------------
36,220,883
-------------
UTILITIES -- 13.4%
352,200 Alaska Communications Systems Group Inc.......... 5,349,918
31,800 Atlantic Tele-Network, Inc....................... 931,740
279,400 Avista Corporation............................... 7,071,614
302,950 El Paso Electric Company*........................ 7,382,892
157,000 FairPoint Communications, Inc.................... 2,975,150
281,800 General Communication, Inc. - Class A*........... 4,432,714
177,100 Iowa Telecommunications Services, Inc. .......... 3,490,641
24
JAMES SMALL CAP FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 96.7% (Continued) Value
- --------------------------------------------------------------------------------
UTILITIES -- 13.4% (Continued)
200,470 Southwest Gas Corporation........................ $ 7,692,033
127,300 Unisource Energy Corporation..................... 4,650,269
-------------
43,976,971
-------------
TOTAL COMMON STOCKS.............................. $ 317,811,257
-------------
================================================================================
Shares SHORT TERM INVESTMENTS -- 8.5% Value
- --------------------------------------------------------------------------------
27,907,923 First American Treasury Obligations Fund......... $ 27,907,923
-------------
TOTAL INVESTMENT SECURITIES -- 105.2%
(Cost $323,490,249).............................. $ 345,719,180
LIABILITIES IN EXCESS OF OTHER ASSETS -- (5.2%) . (17,242,554)
-------------
NET ASSETS -- 100.0%............................. $ 328,476,626
=============
* Non-income producing security.
See accompanying notes to financial statements.
25
JAMES MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS
December 31, 2006 (Unaudited)
================================================================================
Shares COMMON STOCKS -- 76.4% Value
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 6.6%
16,000 Barrick Gold Corporation......................... $ 491,200
26,000 Castle (A.M.) & Company.......................... 661,700
35,000 Goldcorp, Inc.................................... 995,400
31,400 Methanex Corporation............................. 859,418
20,500 Schnitzer Steel Industries, Inc. - Class A....... 813,850
15,000 Terra Nitrogen Company, L.P...................... 510,750
-------------
4,332,318
-------------
CONSUMER, CYCLICAL -- 13.6%
40,000 Air Methods Corporation*......................... 1,116,800
26,000 Darden Restaurants, Inc. ........................ 1,044,420
18,000 J.C. Penney Company, Inc. ....................... 1,392,480
23,400 Office Depot, Inc.*.............................. 893,178
22,425 PACCAR, Inc. .................................... 1,455,383
32,000 The Buckle, Inc.................................. 1,627,199
29,900 The Pantry, Inc.*................................ 1,400,516
-------------
8,929,976
-------------
CONSUMER, NON-CYCLICAL -- 9.7%
30,000 Archer-Daniels-Midland Company................... 958,800
54,000 EZCORP, Inc. - Class A*.......................... 877,500
40,000 King Pharmaceuticals, Inc.*...................... 636,800
20,000 Magellan Health Services, Inc.*.................. 864,400
21,900 Merck & Co., Inc. ............................... 954,840
40,000 Pfizer, Inc...................................... 1,036,000
23,900 The Toro Company................................. 1,114,457
-------------
6,442,797
-------------
ENERGY -- 12.3%
10,096 Apache Corporation............................... 671,485
22,300 Devon Energy Corporation......................... 1,495,884
19,000 Exxon Mobil Corporation.......................... 1,455,970
15,000 Lufkin Industries, Inc. ......................... 871,200
22,000 Sunoco, Inc. .................................... 1,371,920
130,000 VAALCO Energy, Inc.*............................. 877,500
26,900 Valero Energy Corporation........................ 1,376,204
-------------
8,120,163
-------------
FINANCIAL -- 11.8%
11,450 Bear Stearns Companies, Inc. .................... 1,863,831
45,000 Berkley (W.R.) Corporation....................... 1,552,950
20,600 CIT Group, Inc. ................................. 1,148,862
40,000 CNA Surety Corporation*.......................... 860,000
5,650 Hospitality Properties Trust..................... 268,545
22,600 KeyCorp.......................................... 859,478
25,000 Safety Insurance Group........................... 1,267,750
-------------
7,821,416
-------------
26
JAMES MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 76.4% (Continued) Value
- --------------------------------------------------------------------------------
INDUSTRIAL -- 3.3%
20,000 CSX Corporation.................................. $ 688,600
7,000 Cummins, Inc..................................... 827,260
13,550 Norfolk Southern Corporation..................... 681,430
--------------
2,197,290
--------------
TECHNOLOGY -- 12.4%
46,000 Hewlett-Packard Company.......................... 1,894,740
43,000 Komag, Inc.*..................................... 1,628,840
15,600 Northrop Grumman Corporation..................... 1,056,120
63,000 Park Electrochemical Corporation................. 1,615,950
34,400 WESCO International, Inc.*....................... 2,023,063
--------------
8,218,713
--------------
UTILITIES -- 5.8%
30,000 CenturyTel, Inc. ................................ 1,309,800
31,200 MDU Resources Group, Inc......................... 799,968
10,000 Sempra Energy.................................... 559,700
21,900 TXU Corporation.................................. 1,187,199
--------------
3,856,667
--------------
INTERNATIONAL EQUITY FUNDS -- 0.9%
40,000 iShares MSCI Japan Index Fund.................... 568,000
--------------
TOTAL COMMON STOCKS.............................. $ 50,487,340
--------------
================================================================================
Par Value SHORT TERM INVESTMENTS -- 2.3% Value
- --------------------------------------------------------------------------------
1,534,204 First American Treasury Obligations Fund......... $ 1,534,204
-------------
TOTAL INVESTMENT SECURITIES -- 78.7%
(Cost $40,923,477)............................... $ 52,021,544
SEGREGATED CASH WITH BROKERS -- 82.6%............ 54,577,654
SECURITIES SOLD SHORT -- (61.2)%
(Proceeds $40,389,859)........................... (40,485,959)
LIABILITIES IN EXCESS OF OTHER ASSETS -- (.01%) . (9,823)
-------------
NET ASSETS -- 100.0%............................. $ 66,103,416
=============
* Non-income producing security.
See accompanying notes to financial statements.
27
JAMES MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT
December 31, 2006 (Unaudited)
================================================================================
Shares COMMON STOCKS -- 61.2% Value
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 1.5%
42,500 Massey Energy Company............................ $ 987,276
-------------
CONSUMER, CYCLICAL -- 13.0%
56,860 99 Cents Only Stores............................. 691,986
70,000 AFC Enterprises, Inc............................. 1,236,900
25,000 Amazon.com, Inc.................................. 986,500
54,000 Audiovox Corporation - Class A................... 760,860
42,000 InterContinental Hotels Group PLC - ADR.......... 1,060,500
55,000 JetBlue Airways Corporation...................... 781,000
100,000 Pathmark Stores, Inc............................. 1,115,000
60,500 Pep Boys - Manny, Moe & Jack..................... 899,030
75,000 XM Satellite Radio Holdings, Inc................. 1,083,750
-------------
8,615,526
-------------
CONSUMER, NON-CYCLICAL -- 10.5%
71,480 BearingPoint, Inc................................ 562,548
61,300 CV Therapeutics, Inc............................. 855,748
48,500 Discovery Holding Company........................ 780,365
50,000 Fresh Del Monte Produce, Inc. ................... 745,500
51,390 Impax Laboratories, Inc. ........................ 501,052
79,350 Keryx Biopharmaceuticals, Inc.................... 1,055,355
24,000 MedImmune, Inc................................... 776,880
37,420 Nektar Therapeutics.............................. 569,158
37,500 Onyx Pharmaceuticals, Inc........................ 396,750
68,600 Taro Pharmaceutical Industries Ltd............... 686,000
-------------
6,929,356
-------------
ENERGY -- 3.4%
30,300 Cheniere Energy, Inc............................. 874,761
35,000 Delta Petroleum Corporation...................... 810,600
48,160 FX Energy, Inc................................... 297,147
75,000 Syntroleum Corporation........................... 259,500
-------------
2,242,008
-------------
FINANCIAL -- 7.4%
71,000 Affordable Residential Communities............... 827,150
55,000 BankAtlantic Bancorp............................. 759,550
46,100 Brookline Bancorp, Inc........................... 607,137
45,000 Max Re Capital Ltd............................... 1,116,900
47,200 NewAlliance Bancshares, Inc...................... 774,080
71,000 Primus Guaranty Ltd.............................. 820,050
-------------
4,904,867
-------------
28
JAMES MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
================================================================================
Shares COMMON STOCKS -- 61.2% (Continued) Value
- --------------------------------------------------------------------------------
INDUSTRIAL -- 4.9%
90,000 American Superconductor Corporation.............. $ 882,900
24,500 Energy Conversion Devices, Inc. ................. 832,510
20,000 ESCO Technologies, Inc........................... 908,800
38,000 Tecumseh Products Company - Class A.............. 642,200
-------------
3,266,410
-------------
TECHNOLOGY -- 17.9%
50,000 3D Systems Corporation........................... 798,000
65,000 Activision, Inc.................................. 1,120,600
46,000 Affymetrix, Inc. ................................ 1,060,760
61,000 AudioCodes Ltd................................... 571,570
35,000 Cyberonics, Inc.................................. 722,400
105,000 Diversa Corporation.............................. 1,142,400
50,000 GSI Commerce, Inc................................ 937,500
60,000 Momenta Pharmaceutical, Inc...................... 943,800
90,000 O2Micro International Ltd. - ADR................. 769,500
40,000 Per-Se Technologies, Inc......................... 1,111,200
28,000 Rambus, Inc...................................... 530,040
44,200 SINA Corporation................................. 1,268,540
85,369 Wind River Systems, Inc.......................... 875,032
-------------
11,851,342
-------------
UTILITIES -- 2.6%
35,000 American Power Conversion Corporation............ 1,070,650
45,715 IDT Corporation.................................. 618,524
-------------
1,689,174
-------------
TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $40,389,859)........................... $ 40,485,959
=============
ADR - American Depository Receipt
See accompanying notes to financial statements.
29
JAMES EQUITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2006 (Unaudited)
================================================================================
Shares COMMON STOCKS -- 98.0% Value
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 7.2%
14,200 AEP Industries, Inc.*............................ $ 757,002
12,510 Alliance Resource Partners, L.P.................. 431,845
16,290 Methanex Corporation............................. 445,857
38,500 PolyOne Corporation*............................. 288,750
4,950 PPG Industries, Inc.............................. 317,840
7,965 Schnitzer Steel Industries, Inc. - Class A....... 316,211
--------------
2,557,505
--------------
CONSUMER, CYCLICAL -- 13.7%
19,500 Air Methods Corporation*......................... 544,440
19,400 Darden Restaurants, Inc. ........................ 779,298
3,900 Dillard's, Inc. ................................. 136,383
9,120 J.C. Penney Company, Inc. ....................... 705,523
28,500 K2, Inc.*........................................ 375,915
11,195 PACCAR, Inc. .................................... 726,556
10,200 Steven Madden Ltd................................ 357,918
12,700 The Buckle, Inc.................................. 645,795
12,500 The Pantry, Inc.*................................ 585,500
--------------
4,857,328
--------------
CONSUMER, NON-CYCLICAL -- 14.7%
14,715 Archer-Daniels-Midland Company................... 470,291
3,375 Corvel Corporation*.............................. 160,549
55,500 EZCORP, Inc. - Class A*.......................... 901,875
4,750 Ingles Markets, Inc. - Class A................... 141,503
26,100 King Pharmaceuticals, Inc.*...................... 415,512
11,700 Magellan Health Services, Inc.*.................. 505,674
6,210 Manpower, Inc. .................................. 465,315
14,850 Merck & Co., Inc. ............................... 647,460
19,710 Pfizer, Inc...................................... 510,489
11,790 The Toro Company................................. 549,768
10,000 Watson Wyatt Worldwide, Inc...................... 451,500
--------------
5,219,936
--------------
ENERGY -- 14.8%
6,875 Anadarko Petroleum Corporation................... 299,200
5,000 Apache Corporation............................... 332,550
9,000 Cimarex Energy Company........................... 328,500
1,750 Copano Energy LLC................................ 104,388
4,350 Devon Energy Corporation......................... 291,798
6,300 Exxon Mobil Corporation.......................... 482,769
22,860 Frontier Oil Corporation......................... 656,995
9,760 Hess Corporation................................. 483,803
8,100 Lufkin Industries, Inc. ......................... 470,448
5,865 Marathon Oil Corporation......................... 542,512
30
JAMES EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 98.0% (Continued) Value
- --------------------------------------------------------------------------------
ENERGY -- 14.8% (Continued)
6,970 Matrix Service Company*.......................... $ 112,217
7,020 Sunoco, Inc. .................................... 437,767
45,000 VAALCO Energy, Inc.*............................. 303,750
7,560 Valero Energy Corporation........................ 386,770
-------------
5,233,467
-------------
FINANCIAL -- 14.5%
5,580 AllianceBernstein Holding L.P.................... 448,632
10,665 American Financial Group, Inc. .................. 382,980
9,180 American Physicians Capital, Inc.*............... 367,567
4,220 Bear Stearns Companies, Inc. .................... 686,932
8,235 CIT Group, Inc. ................................. 459,266
20,250 CNA Surety Corporation*.......................... 435,375
19,215 Knight Capital Group, Inc.*...................... 368,352
15,750 Safety Insurance Group, Inc...................... 798,682
3,600 The Goldman Sachs Group, Inc..................... 717,660
13,500 W.R. Berkley Corporation......................... 465,885
-------------
5,131,331
-------------
INDUSTRIAL -- 10.7%
11,160 Cascade Corporation.............................. 590,364
6,880 Cummins, Inc. ................................... 813,078
7,830 Eaton Corporation................................ 588,346
2,095 Magna International, Inc. - Class A.............. 168,752
10,900 Metal Management, Inc. .......................... 412,565
5,490 Norfolk Southern Corporation..................... 276,092
6,950 PW Eagle, Inc.................................... 239,775
21,250 Superior Essex, Inc.*............................ 706,563
-------------
3,795,535
-------------
TECHNOLOGY -- 11.6%
60,000 Datalink Corporation*............................ 451,200
23,400 Hewlett-Packard Company.......................... 963,846
15,570 Komag, Inc.*..................................... 589,792
20,400 Park Electrochemical Corporation................. 523,260
11,700 WESCO International, Inc.*....................... 688,077
25,000 Western Digital Corporation*..................... 511,500
27,000 Zoran Corporation*............................... 393,660
-------------
4,121,335
-------------
UTILITIES -- 10.8%
8,640 American Electric Power.......................... 367,891
9,000 AT&T, Inc........................................ 321,750
13,310 CenturyTel, Inc. ................................ 581,115
7,110 El Paso Electric Company*........................ 173,271
10,890 Energen Corporation.............................. 511,177
15,300 Great Plains Energy, Inc......................... 486,540
2,650 IDACORP, Inc..................................... 102,423
31
JAMES EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 98.0% (Continued) Value
- --------------------------------------------------------------------------------
11,000 MDU Resources Group, Inc......................... $ 282,040
11,870 Sempra Energy.................................... 664,363
6,480 WPS Resources Corporation........................ 350,114
-------------
3,840,684
-------------
TOTAL COMMON STOCKS.............................. $ 34,757,121
-------------
================================================================================
Shares SHORT TERM INVESTMENTS -- 6.0% Value
- --------------------------------------------------------------------------------
2,108,218 First American Treasury Obligations Fund......... $ 2,108,218
TOTAL INVESTMENT SECURITIES -- 104.0%
(Cost $30,340,636) .............................. $ 36,865,339
LIABILITIES IN EXCESS OF OTHER ASSETS -- (4.0%).. (1,434,710)
-------------
NET ASSETS -- 100.0%............................. $ 35,430,629
=============
* Non-income producing security.
See accompanying notes to financial statements.
32
JAMES MID CAP FUND
SCHEDULE OF INVESTMENTS
December 31, 2006 (Unaudited)
================================================================================
Shares COMMON STOCKS -- 95.6% Value
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 9.4%
1,500 Albermarle Corporation........................... $ 107,700
3,500 Commercial Metals Company........................ 90,300
3,600 Goldcorp, Inc.................................... 102,384
3,400 Methanex Corporation............................. 93,058
-------------
393,442
-------------
CONSUMER, CYCLICAL -- 10.6%
3,900 Charming Shoppes, Inc.*.......................... 52,767
1,600 Darden Restaurants, Inc.......................... 64,272
3,000 Dillard's, Inc................................... 104,910
700 Genesco, Inc.*................................... 26,110
3,050 Men's Wearhouse, Inc............................. 116,693
1,650 The Pantry, Inc.*................................ 77,286
-------------
442,038
-------------
CONSUMER, NON-CYCLICAL -- 16.4%
900 Banta Corporation................................ 32,760
2,000 CenturyTel, Inc.................................. 87,320
2,400 EZCORP, Inc. - Class A*.......................... 39,000
4,400 King Pharmaceuticals, Inc.*...................... 70,048
2,400 Magellan Health Services, Inc.*.................. 103,728
1,600 Manpower, Inc.................................... 119,888
2,900 Newell Rubbermaid................................ 83,955
2,200 Pepsi Bottling Group, Inc........................ 68,002
1,700 The Toro Company................................. 79,271
-------------
683,972
-------------
ENERGY -- 11.1%
2,000 Cimarex Energy Company........................... 73,000
3,400 Frontier Oil Corporation......................... 97,716
1,200 Questar Corporation.............................. 99,660
2,100 Swift Energy Company*............................ 94,101
2,100 Whiting Petroleum Corporation*................... 97,860
-------------
462,337
-------------
FINANCIAL -- 17.0%
1,050 AllianceBernstein Holding L.P.................... 84,420
2,850 American Financial Group, Inc.................... 102,343
1,700 Assurant, Inc.................................... 93,925
1,600 Hospitality Properties TR........................ 76,048
4,600 Knight Capital Group, Inc.*...................... 88,182
3,500 Ohio Casualty Corporation........................ 104,334
1,400 SAFECO Corporation............................... 87,570
2,050 W.R. Berkley Corporation......................... 70,746
-------------
707,568
-------------
33
JAMES MID CAP FUND
SCHEDULE OF INVESTMENTS (Continued)
================================================================================
Shares COMMON STOCKS -- 95.6% (Continued) Value
- --------------------------------------------------------------------------------
INDUSTRIAL -- 9.7%
700 Cummins, Inc..................................... $ 82,726
1,300 GATX Corporation................................. 56,329
950 Greif Bros. Corporation.......................... 112,480
5,000 OMI Corporation.................................. 105,850
1,600 Timken Company................................... 46,688
-------------
404,073
-------------
TECHNOLOGY -- 9.3%
1,800 Ceradyne, Inc.*.................................. 101,700
1,100 Komag, Inc.*..................................... 41,668
2,000 Teledyne Technologies, Inc.*..................... 80,260
1,250 WESCO International, Inc.*....................... 73,513
4,400 Western Digital Corporation*..................... 90,024
-------------
387,165
-------------
UTILITIES -- 12.1%
2,450 Alliant Energy Corporation....................... 92,537
1,500 Comstock Resources, Inc.*........................ 46,590
1,400 Energen Corporation.............................. 65,716
2,000 Great Plains Energy, Inc......................... 63,600
2,200 IDACORP, Inc..................................... 85,030
3,650 MDU Resources Group, Inc......................... 93,586
1,100 WPS Resources Corporation........................ 59,433
-------------
506,492
-------------
TOTAL COMMON STOCKS.............................. $ 3,987,087
-------------
================================================================================
Shares SHORT TERM INVESTMENTS -- 7.3% Value
- --------------------------------------------------------------------------------
305,166 First American Treasury Obligations Fund ........ $ 305,166
-------------
TOTAL INVESTMENT SECURITIES -- 102.9%
(Cost $4,144,298)................................ $ 4,292,253
LIABILITIES IN EXCESS OF OTHER ASSETS -- (2.9%).. (122,108)
-------------
NET ASSETS -- 100.0%............................. $ 4,170,145
=============
* Non-income producing security.
See accompanying notes to financial statements.
34
JAMES ADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS
December 31, 2006 (Unaudited)
================================================================================
1. General Information and Significant Accounting Policies
James Balanced: Golden Rainbow Fund, James Small Cap Fund, and James Market
Neutral Fund are each a diversified series of James Advantage Funds (the
"Trust"), and James Equity Fund is a non-diversified series of the Trust
(individually the "Fund," collectively the "Funds"). The Trust is an open-end
management investment company that was organized as an Ohio business trust on
August 29, 1997. The Trust is registered under the Investment Company Act of
1940 (the "1940 Act"). James Balanced: Golden Rainbow Fund was originally
organized as a series of the Flagship Admiral Funds Inc., a Maryland
corporation. On June 26, 1998, pursuant to an Agreement and Plan of
Reorganization, James Balanced: Golden Rainbow Fund was restructured through a
tax-free reorganization as a series of the Trust. The James Small Cap Fund and
James Market Neutral Fund each commenced its public offering of shares on
October 2, 1998. The James Equity Fund commenced its public offering of shares
on November 1, 1999. The James Mid Cap Fund commenced its public offering of
shares on June 30, 2006.
James Balanced: Golden Rainbow Fund seeks to provide total return through a
combination of growth and income and preservation of capital in declining
markets. The Fund seeks to achieve its objective by investing primarily in
common stocks and/or debt securities that the Fund's adviser, James Investment
Research, Inc. ("James"), believes are undervalued.
James Small Cap Fund seeks to provide long-term capital appreciation. The Fund
seeks to achieve its objective by investing primarily in common stocks of small
capitalization companies.
James Market Neutral Fund seeks to provide positive returns regardless of the
direction of the stock markets. The Fund seeks to achieve its objective by
investing in common stocks that James believes are undervalued and more likely
to appreciate, and selling short common stocks that James believes are
overvalued and more likely to depreciate.
James Equity Fund seeks to provide long-term capital appreciation and outperform
the Standard & Poor's 500 Index (the "S&P 500 Index"). The Fund seeks to achieve
its objective by investing primarily in equity securities without regard to the
market capitalization of the stock. The Fund often buys stocks in the S&P 500
Index.
James Mid Cap Fund seeks to provide long-term capital appreciation. The Fund
seeks to achieve its objective by investing primarily in common stocks of mid
capitalization companies.
The following is a summary of significant accounting policies followed by the
Funds in preparation of their financial statements, in accordance with
accounting principles generally accepted in the United States of America (GAAP).
Share Valuation
The net asset value per share of each Fund is calculated daily by dividing the
total value of the Fund's assets, less liabilities, by the number of shares
outstanding. The net asset value is determined as of the close of the NYSE
(generally, 4:00 p.m., Eastern time) on each day that the NYSE is open for
business, and on any other day on which there is sufficient trading in a Fund's
securities to materially affect the net asset value.
Redemption Fees
Effective November 1, 2004, the James Small Cap Fund, James Market Neutral Fund
and James Equity Fund each charge a redemption fee of 1.00% of the amount
redeemed if the shares sold were held for fewer than 90 days. Redemption fees
are paid directly to the Fund. On February 21, 2007, the Board of Trustees of
the James Advantage Funds voted to abolish the redemption fee from the James
Small Cap Fund, the James Market Neutral Fund, the James Equity Fund, and the
James Mid Cap Fund. This change was effective immediately.
35
JAMES ADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
Securities Valuation
Securities that are traded on any exchange are valued at the last quoted sale
price. Lacking a last sale price, a security is valued at its last bid price
except when, in James's opinion, the last bid price does not accurately reflect
the current value of the security. Securities that are traded on the NASDAQ
over-the-counter market are valued at their NASDAQ Official Closing Price
("NOCP") for all NASDAQ National Market ("NNM") and NASDAQ Capital Market(R)
securities. When market quotations are not readily available, if an event occurs
after the close of the trading market (but before the time as of which the Fund
calculates its net asset value) that materially affects a security's value, when
James determines that the market quotation does not accurately reflect the
current value or when a restricted security is being valued, that security will
be valued at its fair value as determined in good faith in conformity with
guidelines adopted by and subject to review of the Board of Trustees. The Funds
may use pricing services to determine market value for securities.
In accordance with the Trust's good faith pricing guidelines, James is required
to consider all appropriate factors relevant to the value of securities for
which it has determined other pricing sources are not available or reliable as
described above. No single standard for determining fair value controls, since
fair value depends upon the circumstances of each individual case. As a general
principle, the current fair value of an issue of securities being valued by the
adviser would appear to be the amount which the owner might reasonably expect to
receive for them upon their current sale. Methods which are in accord with this
principle may, for example, be based on (i) a multiple of earnings; (ii) a
discount from market of a similar freely traded security (including a derivative
security or a basket of securities traded on other markets, exchanges or among
dealers); or (iii) yield to maturity with respect to debt issues, or a
combination of these and other methods.
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value
Measurements." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007 and interim periods within those fiscal years.
The changes to current generally accepted accounting principles from the
application of this Statement relate to the definition of fair value, the
methods used to measure fair value, and the expanded disclosures about fair
value measurements. As of December 31, 2006, the Funds do not believe the
adoption of SFAS No. 157 will impact the amounts reported in the financial
statements, however, additional disclosures may be required about the inputs
used to develop the measurements and the effect of certain of the measurements
reported on the statement of changes in net assets for a fiscal period.
Securities Transactions
Securities transactions are recorded on a trade date basis. Realized gains and
losses from security transactions are determined using the specific
identification method. Securities purchased or sold on a when-issued or delayed
delivery basis may have extended settlement periods. Any securities so purchased
are subject to market fluctuation during this period. The James Balanced: Golden
Rainbow Fund will instruct its custodian to segregate assets in a separate
account with a current value at least equal to the amount of its when-issued and
delayed delivery purchase commitments. As of December 31, 2006, the James
Balanced: Golden Rainbow Fund had no such outstanding purchase commitments.
Withholding taxes on foreign dividends have been provided for in accordance with
the Trust's understanding of the applicable country's tax rules and rates.
Short Sales and Segregated Cash
The James Market Neutral Fund actively sells short common stocks. Short sales
are transactions in which the Fund sells a security it does not own in
anticipation of a decline in the market value of that security. To complete such
a transaction, the Fund must borrow the security to deliver to the buyer upon
the short sale; the Fund is then obligated to replace the security borrowed by
purchasing it in the open market at some later date.
36
JAMES ADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
The Fund will incur a loss if the market price of the security increases between
the date of the short sale and the date on which the Fund replaces the borrowed
security. The Fund will realize a gain if the security declines in value between
those dates. If a security sold short pays a dividend while the Fund is short
that security, the Fund will pay the dividend and record that amount as an
expense.
All short sales are collateralized, as required by the Fund's prime broker. The
Fund maintains the collateral in segregated accounts consisting of cash and/or
high-grade liquid assets sufficient to collateralize the market value of its
short positions.
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income is
determined on the basis of interest accrued, adjusted for amortization of
premiums and accretion of discounts on all debt securities. Amortization and
accretion is calculated using the effective yield method.
Dividends and Distributions to Shareholders
Net investment income, if any, is generally declared and distributed to
shareholders of each Fund quarterly. Net realized capital gains from security
transactions, if any, are distributed to shareholders not less frequently than
annually. Furthermore, capital gains are distributed only to the extent they
exceed available capital loss carryforwards. Distributions to shareholders of
net investment income and net realized capital gains are recorded on the
ex-dividend date. The amount and timing of distributions are determined in
accordance with federal income tax regulations, which may differ from GAAP.
Accordingly, temporary overdistributions as a result of these differences may
occur and will be classified as either distributions in excess of net investment
income and/or distributions in excess of net realized gains from security
transactions, where applicable.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period.
Federal Income Taxes
The Funds generally intend to distribute all taxable income and capital gains to
shareholders and to otherwise comply with the requirements of Subchapter M of
the Internal Revenue Code applicable to regulated investment companies.
Therefore, no federal tax provision is required.
The tax character of distributions paid for the years ended June 30, 2006 and
2005 was as follows:
- --------------------------------------------------------------------------------
James Balanced: James Small Cap
Golden Rainbow Fund Fund
- --------------------------------------------------------------------------------
2006 2005 2006 2005
- --------------------------------------------------------------------------------
From ordinary income ....... $ 4,473,409 $ 1,715,612 $ 140,631 $ --
From long-term capital gains 6,895,468 289,929 1,110,529 756,432
----------- ----------- ----------- -----------
$11,368,877 $ 2,005,541 $ 1,251,160 $ 756,432
=========== =========== =========== ===========
- --------------------------------------------------------------------------------
37
JAMES ADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
- --------------------------------------------------------------------------------
James Market Neutral James Equity
Fund Fund
- --------------------------------------------------------------------------------
2006 2005 2006 2005
- --------------------------------------------------------------------------------
From ordinary income ............. $994,103 $ -- $ 41,105 $ 24,033
======== ======== ======== ========
- --------------------------------------------------------------------------------
James Mid Cap Fund commenced operations June 30, 2006, and made no distributions
during the period ended on that date.
The following information is computed on a tax basis for each item as of June
30, 2006:
- ----------------------------------------------------------------------------------------------------------
James James James James
Balanced: Golden Small Cap Market Neutral Equity
Rainbow Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------
Tax cost of portfolio investments . $ 241,826,981 $ 153,650,828 $ 114,373,045 $ 27,205,116
============= ============= ============= =============
Gross unrealized appreciation ..... $ 28,753,979 $ 22,520,772 $ 19,708,320 $ 6,694,777
Gross unrealized depreciation ..... (3,917,026) (6,006,524) (3,358,561) (988,966)
------------- ------------- ------------- -------------
Net unrealized appreciation ....... 24,836,953 16,514,248 16,349,759 5,705,811
Capital loss carryforward ......... -- -- (2,485,252) (1,795,771)
Post-October losses ............... -- -- (9,170,855) --
Undistributed net investment income 60,420 -- 15,714 --
Undistributed long-term gains ..... 3,482,207 168,768 -- --
Other temporary differences ....... (57,549) -- (14,362) --
------------- ------------- ------------- -------------
Accumulated earnings ......... $ 28,322,031 $ 16,683,016 $ 4,695,004 $ 3,910,040
============= ============= ============= =============
- ----------------------------------------------------------------------------------------------------------
During the year ended June 30, 2006, the James Mid Cap made no portfolio
investments.
The difference between the cost of portfolio investments and financial statement
cost for the Funds is due to certain timing differences in the recognition of
capital losses under income tax regulations and GAAP.
During the year ended June 30, 2006, the James Equity Fund utilized $1,393,779
of capital loss carryforwards. The capital loss carryforwards remaining as of
June 30, 2006 in the table above expire as follows:
- --------------------------------------------------------------------------------
Amount Expiration Date
- --------------------------------------------------------------------------------
James Market Neutral Fund..................... $ 82,513 June 30, 2008
$ 987,690 June 30, 2012
$ 773,042 June 30, 2013
$ 642,007 June 30, 2014
James Equity Fund............................. $ 1,487,712 June 30, 2010
$ 130,880 June 30, 2011
$ 177,179 June 30, 2012
- --------------------------------------------------------------------------------
The capital loss carryforwards may be utilized in future years to offset net
realized capital gains, if any, prior to distributing such gains to
shareholders.
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 or expected to be 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
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or 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. Recent SEC guidance allows
implementing FIN 48 in fund NAV calculations as late as the fund's last NAV
calculation in the first required financial statement reporting period. As a
result, the Fund will incorporate FIN 48 in its annual report on June 30, 2007.
Management is in the process of determing the impact of adoption.
38
JAMES ADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
Reclassification of Capital Accounts
Reclassifications result primarily from the difference in the tax treatment of
net investment losses and distributions in excess of net investment income. The
following reclassifications were made on the Statements of Assets and
Liabilities as of June 30, 2006, and have no impact on the net assets or net
asset value of the Funds:
- ----------------------------------------------------------------------------------------------
Undistributed Accumulated
Paid-In Net Investment Net Realized
Capital Income Gains (Losses)
- ----------------------------------------------------------------------------------------------
James Small Cap Fund ....................... $(139,932) $ 245,786 $(105,854)
James Market Neutral Fund .................. $ -- $ 1,350 $ (1,350)
James Equity Fund .......................... $ (28,218) $ 28,218 $ --
- ----------------------------------------------------------------------------------------------
Federal Tax Information
As of December 31, 2006, the James Advantage Funds had the following federal tax
cost resulting in net unrealized appreciation as follows:
- ------------------------------------------------------------------------------------------------
Gross Gross Net
Federal Tax Unrealized Unrealized Unrealized
Cost Appreciation Depreciation Apppreciation
- ------------------------------------------------------------------------------------------------
James Balanced: Golden Rainbow Fund .. $275,064,327 $ 36,533,630 $ (3,949,872) $ 32,583,758
Small Cap Fund ....................... $323,490,249 $ 32,565,887 $(10,336,956) $ 22,281,931
Market Neutral Fund .................. $ 41,014,083 $ 15,796,428 $ (4,885,067) $ 10,911,361
Equity Fund .......................... $ 30,340,636 $ 7,397,567 $ (872,864) $ 6,524,703
Mid Cap Fund ......................... $ 4,144,298 $ 241,701 $ (93,746) $ 147,955
- ------------------------------------------------------------------------------------------------
2. Securities Transactions
Purchases and sales (including maturities) of investments in long-term U.S.
Government obligations for James Balanced: Golden Rainbow Fund for the six
months ended December 31, 2006 were as follows:
- --------------------------------------------------------------------------------
Purchases Sales
- --------------------------------------------------------------------------------
James Balanced: Golden Rainbow Fund............. $49,307,344 $51,981,836
- --------------------------------------------------------------------------------
39
JAMES ADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
Purchases and sales (including maturities) of investments in other securities
for the six months ended December 31, 2006 were as follows:
- --------------------------------------------------------------------------------
Purchases Sales
- --------------------------------------------------------------------------------
James Balanced: Golden Rainbow Fund............. $ 72,589,130 $16,189,314
James Small Cap Fund............................ 242,795,762 90,108,690
James Market Neutral Fund....................... 14,765,462 18,361,851
James Equity Fund............................... 12,393,528 9,713,403
James Mid Cap Fund.............................. 4,074,494 235,710
- --------------------------------------------------------------------------------
For the six months ended December 31, 2006, the cost of securities purchased to
cover short sales and the proceeds from securities sold short were $24,497,666
and $10,554,384, respectively, for the James Market Neutral Fund.
3. Management Fee and Other Transactions with Affiliates
A trustee and certain officers of the Trust are also officers of James or
Integrated Investment Services, Inc. (Integrated), formerly Integrated Fund
Services, Inc., the administrative services agent, shareholder services and
transfer agent and accounting services agent for the Trust, or of IFS Fund
Distributors, Inc., the exclusive agent for the distribution of the Funds'
shares.
Investment Management Agreement
The Funds retain James to manage the Funds' investments. The investment
decisions for the Funds are made by a committee of James' personnel, which is
primarily responsible for the day-to-day management of each Fund's portfolio.
James Balanced: Golden Rainbow Fund is authorized to pay James a fee equal to an
annual rate of 0.74% of its average daily net assets. James Balanced: Golden
Rainbow Fund is responsible for the payment of all operating expenses of the
Fund.
James is authorized to receive a fee equal to (a) an annual rate of 1.25% of the
average daily net assets of the James Small Cap Fund, James Equity Fund, and
James Mid Cap Fund, and 1.70% of James Market Neutral Fund; minus (b) the fees
and expenses of the non-interested person trustees incurred by the applicable
Fund. James is responsible for the payment of all operating expenses of the
James Small Cap Fund, James Market Neutral Fund, James Equity Fund, and James
Mid Cap Fund, except for brokerage fees and commissions, taxes, interest
(including dividend expense on securities sold short), 12b-1 expenses, fees and
expenses of non-interested person trustees and extraordinary expenses.
Administrative Services Agreement
Under the terms of an Administrative Services Agreement with the Trust,
Integrated supplies executive and regulatory services, supervises the
preparation of tax returns, and coordinates the preparation of reports to
shareholders and reports to and filings with the Securities and Exchange
Commission and state securities authorities. For these services, Integrated
receives a monthly fee paid by James Balanced: Golden Rainbow Fund, and paid by
James for the James Small Cap Fund, James Market Neutral Fund, James Equity
Fund, and James Mid Cap Fund, based on each Fund's respective average daily net
assets, subject to a minimum monthly fee for each Fund.
Transfer Agent and Shareholder Service Agreement
Under the terms of the Transfer, Dividend Disbursing, Shareholder Service and
Plan Agency Agreement with the Trust, Integrated maintains the records of each
shareholder's account, answers shareholder inquiries concerning their accounts,
processes purchases and redemptions of each Funds' shares, acts as dividend and
distribution disbursing agent and performs other shareholder service functions.
For these services, Integrated receives a monthly fee paid by James Balanced:
Golden Rainbow Fund, and paid by James for the James Small Cap Fund, James
Market Neutral Fund, James Equity Fund, and James Mid Cap Fund, subject to a
minimum monthly fee for each Fund. In addition, James Balanced: Golden Rainbow
Fund and James pay Integrated out-of-pocket expenses including, but not limited
to, postage and supplies.
40
JAMES ADVANTAGE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
Accounting Services Agreement
Under the terms of the Accounting Services Agreement with the Trust, Integrated
calculates the daily net asset value per share and maintains the financial books
and records of each Fund. For these services, Integrated receives a monthly fee
from James Balanced: Golden Rainbow Fund and from James with respect to each of
the James Small Cap Fund, James Market Neutral Fund, James Equity Fund, and
James Mid Cap Fund. In addition, Integrated is reimbursed by James Balanced:
Golden Rainbow Fund and James for certain out-of-pocket expenses incurred by
Integrated in obtaining valuations of the Funds' portfolio securities.
Plan of Distribution
Each Fund has a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act
(the "Plan") under which the Fund may incur or reimburse James for expenses
related to the distribution and promotion of its shares. The annual limitation
for payment of such expenses under the Plans of James Balanced: Golden Rainbow
Fund, James Small Cap Fund, James Market Neutral Fund, James Equity Fund, and
James Mid Cap Fund is 0.25% of the average daily net assets of each respective
Fund.
Compliance Services Agreement
Under the terms of the Compliance Services Agreement between the Trust and
Integrated, Integrated provides certain compliance services to the Trust,
including developing and assisting in implementing a compliance program for
Integrated on behalf of the funds and providing administrative support services
to the Funds' Compliance Program and Chief Compliance Officer.
4. Commitments and Contingencies
The Funds indemnify the Trust's officers and trustees for certain liabilities
that might arise from their performance of their duties to the Funds.
Additionally, in the normal course of business, the Funds enter into contracts
that contain a variety of representations and warranties and that provide
general indemnifications. The Funds' maximum exposure under these arrangements
is unknown, as this would involve future claims that may be made against the
Funds that have not yet occurred. However, based on experience, the Funds expect
the risk of loss to be remote.
41
JAMES ADVANTAGE FUNDS
OTHER ITEMS (Unaudited)
================================================================================
Proxy Voting Guidelines
James is responsible for exercising the voting rights associated with the
securities purchased and held by the Funds. A description of the policies and
procedures that James uses in fulfilling this responsibility and information
regarding how those proxies were voted during the most recent twelve month
period ended June 30 are available without charge upon request by calling toll
free 1-800-995-2637. These items are also available on the Securities and
Exchange Commission's website at http://www.sec.gov. and on the James' website
at www.jamesfunds.com.
Quarterly Portfolio Disclosure
James files a complete listing of portfolio holdings for each Fund as of the end
of the first and third quarters of each fiscal year on Form N-Q. The complete
listing (i) is available on the Commission's website; (ii) may be reviewed and
copied at the Commission's Public Reference Room in Washington, DC; and (iii)
will be made available to shareholders upon request by calling 1-800-995-2637.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
Shareholder Expense Example
As a shareholder of the Funds, you incur two types of costs: (1) transaction
costs including applicable redemption fees; and (2) ongoing costs, including
management fees; distribution (12b-1) fees; and other Fund expenses. This
example is intended to help you 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.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period (July 1, 2006 through December 31, 2006).
Actual Expenses
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid 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 line under the heading entitled "Expenses Paid During the Six
Months Ended December 31, 2006" to estimate the expenses you paid on your
account during this period, if you held your shares for the entire period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical
account values and hypothetical expenses based on the Funds' actual expense
ratios and an assumed rate of return of 5% per year before expenses, which is
not the Funds' actual return. The hypothetical account values and expenses may
not be used to estimate the actual ending account balance or expenses you paid
for the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare these 5% hypothetical
examples with the 5% hypothetical examples that appear in the shareholder
reports of the other funds.
42
JAMES ADVANTAGE FUNDS
OTHER ITEMS (Continued)
================================================================================
Note that expenses shown in the table are meant to highlight your ongoing costs
only. The calculations also assume no shares were bought or sold during the
period. Your actual costs may have been higher or lower, depending on the amount
of your investment and the timing of any purchases or redemptions. Therefore,
the second line of the table is useful in comparing ongoing costs only, and will
not help you determine the relative total costs of owning different funds. The
James Small Cap Fund, James Market Neutral Fund, James Equity Fund and James Mid
Cap Fund each charge a redemption fee of 1.00% of the amount redeemed if the
shares sold were held for fewer than 90 days. If these transactional costs were
incurred and were included, your costs would have been higher.
- -----------------------------------------------------------------------------------------------------------------
Expenses Paid
Net Expense During the
Ratio Beginning Ending Six Months
Annualized Account Value Account Value Ended
December 31, July 1, December 31, December 31
2006 2006 2006 2006*
- -----------------------------------------------------------------------------------------------------------------
James Balanced: Golden Rainbow Fund
Actual ................................. 1.17% $1,000.00 $1,050.00 $ 6.05
Hypothetical............................ 1.17% $1,000.00 $1,019.31 $ 5.96
James Small Cap Fund
Actual ................................. 1.49% $1,000.00 $1,016.70 $ 7.57
Hypothetical............................ 1.49% $1,000.00 $1,017.69 $ 7.58
James Market Neutral Fund
Actual ................................ 2.19% $1,000.00 $ 956.60 $10.80
Hypothetical........................... 2.19% $1,000.00 $1,014.17 $11.12
James Equity Fund
Actual ................................ 1.50% $1,000.00 $1,031.40 $ 7.68
Hypothetical........................... 1.50% $1,000.00 $1,017.64 $ 7.63
James Mid Cap Fund
Actual ................................ 1.48% $1,000.00 $1,057.70 $ 7.68
Hypothetical........................... 1.48% $1,000.00 $1,017.74 $ 7.53
* Expenses are equal to the Fund's annualized expense ratio, multiplied by
the average account value over the period, multiplied by 184/365 (to
reflect the one-half year period).
43
INVESTMENT ADVISER
James Investment Research, Inc.
P.O. Box 8
Alpha, Ohio 45301
info@jamesfunds.com
O
CUSTODIAN
U.S. Bank
425 Walnut Street
Cincinnati, Ohio 45202
O
TRANSFER AGENT
Integrated Investment Services, Inc.
P.O. Box 5354
Cincinnati, Ohio 45201-5354
O
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
250 East Fifth Street
Suite 1900
Cincinnati, Ohio 45202
O
DISTRIBUTOR
IFS Fund Distributors, Inc.
303 Broadway
Cincinnati, Ohio 45202
O
LEGAL COUNSEL
Thompson Hine LLP
312 Walnut Street
14th Floor
Cincinnati, Ohio 45202
www.jamesfunds.com
For information about the Funds, or to
make inquiries about the Funds, please call
1-800-99JAMES (1-800-995-2637).
Item 2. Code of Ethics.
Not Applicable
Item 3. Audit Committee Financial Expert.
Not Applicable
Item 4. Principal Accountant Fees and Services.
Not Applicable
Item 5. Audit Committee of Listed Companies.
Not applicable.
Item 6. Schedule of Investments.
The schedule is included as part of the report to shareholders filed under Item
1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed End
Management Investment Companies.
Not Applicable.
Item 8. Portfolio Managers of Closed-End Funds.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Funds.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the 1940 Act) the registrant's
principal executive officer and principal financial officer have concluded that
the registrant's disclosure controls and procedures are effective as of a date
within 90 days of the filing date of this report.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications required by Item 12(a)(2) of Form N-CSR are filed
herewith.
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) The James Advantage Funds
---------------------------
By (Signature and Title)
/s/ Barry R. James
- ---------------------------
Barry R. James
President
Date: March 2, 2007
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 (Signature and Title)
/s/ Barry R. James
- ---------------------------
Barry R. James
President
Date: March 2, 2007
By (Signature and Title)
/s/ Thomas L. Mangan
- ---------------------------
Thomas L. Mangan
Treasurer, Chief Financial Officer
Date: March 2, 2007