N-CSR 1 fp0021329_ncsr.htm
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

811-08411
(Investment Company Act file number)

The James Advantage Funds
(Exact name of registrant as specified in charter)

1349 Fairground Road
Xenia, Ohio 45385
(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: June 30

Date of reporting period: July 1, 2015 – June 30, 2016


Item 1. Reports to Stockholders.
 
 
 
 
(FRONT PAGE)
 
 
(FRONT PAGE)
 
James Balanced: Golden Rainbow Fund
James Small Cap Fund
James Mid Cap Fund
James Micro Cap Fund
James Aggressive Allocation Fund
James Long-Short Fund

TABLE OF CONTENTS
  
Shareholder Letter
1
Growth of $10,000 or $50,000 Charts
5
Representation of Schedules of Investments
9
Disclosure of Fund Expenses
10
Schedule of Investments
 
James Balanced: Golden Rainbow Fund
12
James Small Cap Fund
23
James Mid Cap Fund
26
James Micro Cap Fund
28
James Aggressive Allocation Fund
30
James Long-Short Fund
33
Statements of Assets and Liabilities
36
Statements of Operations
38
Statements of Changes in Net Assets
39
Financial Highlights
 
James Balanced: Golden Rainbow Fund - Retail Class
46
James Balanced: Golden Rainbow Fund - Institutional Class
47
James Small Cap Fund
48
James Mid Cap Fund
49
James Micro Cap Fund
50
James Aggressive Allocation Fund
51
James Long-Short Fund
52
Notes to Financial Statements
53
Report of Independent Registered Public Accounting Firm
61
Additional Information
62
Disclosure Regarding Approval of Fund Advisory Agreements
63
Trustees & Officers
67
Privacy Policy
69

James Advantage Funds
Shareholder Letter

June 30, 2016 (Unaudited)
 
Thanks to you, the James Advantage Funds continue to attract additional investor interest.  Our Funds had over $4.5 billion in net assets, with the James Balanced: Golden Rainbow Fund leading the way at $4.4 billion as of June 30, 2016.  We try to keep in mind the reason most shareholders have trusted their savings with us in the James Balanced: Golden Rainbow Fund: we seek to provide total return through a combination of growth and income and preservation of capital in declining markets.  We are proud of the James Balanced: Golden Rainbow Fund’s long-term track record and our entire staff are dedicated to helping with your success.

Over the last year the markets have had to adapt to rapid changes in oil and precious metals prices; the Federal Reserve finally raising rates; and the United Kingdom voting to leave the European Union.  We also saw continued volatility in the Chinese stock market as their economy continues to retool.  Stocks presented a challenge as stock index returns were mixed over the past year.  Bonds started the period doing little, but rebounded in the first half of 2016.  Here are my thoughts about the year and how your Funds fared.

The Market Over the Past Year

The S&P 500® Index, a commonly used barometer of the stock market, rose 3.99% over the twelve months ended June 30, 2016.  The stock market has continued its lackluster run since the Federal Reserve stopped additional Quantitative Easing.  The market is attempting to stand on its own two feet: valuation and earnings.  Over these twelve months the Dow Jones Industrial Average only rose 4.50%, while smaller capitalization stocks, represented by the Russell 2000® Index, fell 6.73%.  At the end of June, our research found over half of the 8000+ stocks we follow are in their own personal bear market.  That is, they were down 20% or more from their yearly high.  The silver lining in the last year: the bond market.  The Barclays U.S. Aggregate Government/Credit Bond Index, a popular measure of the fixed income markets, rose 6.70%.

When looking at the various sector performances based on price appreciation we will review those in the Russell 3000® Index because it includes both large and small capitalization companies whereas the S&P 500® Index is heavily weighted towards the large caps. The Utility stocks led the market over the last twelve months, rising 23.31%.  In second place were Consumer Staple stocks, rising 15.19%.  The year was, in fact, a tale of two markets though, as five of the nine sectors declined.  The Energy Sector, affected by the volatility in oil prices, retreated 10.94%.   Healthcare stocks fell 6.63%.  Overall, the Russell 3000® Index rose 2.14%.

Bonds, especially long term U.S. Treasury bonds, performed well in the first half of 2016 after languishing in the second half of 2015.  Weakness in the U.S. economy seems to have taken root.  In fact, the last ten years have been the worst for economic growth since the 1940’s.  Manufacturing is in its own recession, as Regional Federal Reserve reports and Industrial Production figures have trended lower.  Bond investors have focused on international problems, a weak domestic economy, and a Federal Reserve unwilling to raise rates.  We believe this is why bonds have fared well.

Investment Goals and Objectives

Our research team uses our proprietary approach to try and identify securities we believe are undervalued.  In our experience, these stocks typically hold up better in difficult markets and have the potential to trade higher as the market rallies.  We do not drift from our style simply because the markets are embracing a current, but temporary, fad.  We believe value investing will outperform over the long run, a fact supported by much academic research. Investors must realize that value investing does not always outperform growth and there are no assurances that past outperformance will be repeated.  The Long-Short Fund invests in long positions that we view as undervalued and sells short securities that we view as overvalued and sells short securities that are overvalued.  The Aggressive Allocation Fund also invests in high quality fixed income securities.

The investment objectives of each Fund are stated in its Prospectus, and each Fund has a primary benchmark that may help investors understand broad trends and portfolio performance.  Of course, benchmarks don't take into account black-swan types of risks, unusual trends, or particularized investment goals.

Investment Philosophy

The Fund’s adviser does its own research using quantitative databases and statistical expertise and other elements to help measure risk levels and the potential impact on future stock and bond price movements.  The adviser employs a proprietary investment approach to select equity securities for the Funds that it believes are undervalued and more likely to appreciate.  The adviser focuses on characteristics such as being overlooked by Wall Street, management commitment, value and neglect.  The adviser also assesses a number of fundamental factors such as earnings, earnings trends, price earnings multiples, return on assets, other financial statement data as well as its own proprietary calculations.  The adviser evaluates over 8,000 companies of all capitalization ranges.  For the James Small Cap Fund and the James Mid Cap Fund, the adviser refines its approach by using a capitalization screen and evaluates thousands of companies within the appropriate capitalization range.  For all Funds, the adviser normally will sell a security when the investment no longer meets the adviser’s investment criteria.  The adviser’s Investment Committee has a great deal of investment experience, exceeding over 200 years in total with James.  We believe our combination of quantitative modeling and hands-on management makes us unique and creates the James Advantage Funds.
 

Annual Report  |  June 30, 2016
1

Shareholder Letter
James Advantage Funds

June 30, 2016 (Unaudited)
 
Fund Performance

The stock and bond markets have been roiled over the last year by several very unusual macro-economic events.  The devaluation of the Chinese yuan, the drop in the price of crude oil and the United Kingdom’s vote to leave the European Union (Brexit) each had a sharp and dramatic impact, pushing down stock prices and sending longer term bond prices higher.  All three of these proved to be short-lived as the stock market came back to pre-event levels each time.  Embedded in this market volatility were some underlying trends that impacted our Funds.  Over this period small capitalization stocks struggled, with the Russell 2000® Index dropping 6.73%.  Both the James Balanced: Golden Rainbow Fund and the Aggressive Allocation Fund will invest in small cap companies.  The Fed’s expressed intention to raise the Fed Funds Rate muddied the waters in the finance sector as well as in bonds.

The James Balanced: Golden Rainbow Fund Retail Class shares slipped 0.64% over the twelve months ended June 30, 2016.  Its blended secondary benchmark, a composite index comprised of the Russell 2000® Index, the S&P 500® Index and the Barclays Capital U.S. Intermediate Government/Credit Bond Index, rose by 1.71%.  The Fund trailed this benchmark as our type of value investing lagged growth stocks over the year.  As mentioned previously, most stocks are in their own bear market and the Fund wasn’t immune.  Previous winning industries, like Airlines and Refiners slipped when oil prices bounced back.  We lowered the Fund’s exposure to these areas, but it didn’t eliminate their impact on the Fund.  The bonds in the Fund offset most of the problems encountered with stocks, but they weren’t able to offset all of it because the current low yields on bonds cannot provide the income flow or the buffer that higher yield bonds have in the past, especially when the Federal Reserve has commenced a strategy of raising rates.

The James Small Cap Fund declined by 4.62% over the fiscal year versus a decline of 6.73% for the Russell 2000® Index, its benchmark.  Investments in Basic Material and Utility stocks were contributing factors in helping the Fund outperform its benchmark.  The adviser’s research was successful in identifying sectors and individual stocks that outperformed over the period.

The James Mid Cap Fund fell 2.46% over the year while its benchmark, the S&P 400® MidCap Value Index, rose 1.28%.  The Fund’s positions in oil refiners and grocery stores were a drag on performance as those industry groups were out of favor.  Rising concerns over international trade hurt shipping companies.

The James Micro Cap Fund fell 0.44% while its benchmark, the Russell Microcap® Index, fell 12.05% over the fiscal year.  This Fund focuses on companies with market capitalizations at the time of purchase no larger than the stocks in the Russell Microcap® Index, including exchange traded funds that invest primarily in such securities.  The Fund’s holdings in Richmont Mines, Inc. (2.27% of the portfolio), Patrick Industries (4.10% of the portfolio), and Hawaiian Holdings (2.95% of the portfolio) were the strongest performers with Richmont Mines, Inc. leading the way, rising 188.28% over the period.  Security selection was the primary contributor to the Fund’s outperformance versus its benchmark.

The James Long-Short Fund fell 1.96%, while its benchmark, the S&P 500® Index, rose 3.99%.  The Long-Short Fund can be leveraged up to 130%, but does not have to be leveraged, nor is it required to have any short positions at all.  This Fund attempts to take advantage of volatile markets where we can capitalize on market swings, both up and down.  The Fund’s prospectus advises shareholders and potential shareholders not to expect a tight correlation to the S&P 500® Index.  The Fund lagged its benchmark because many of the stocks sold short were growth stocks, which outperformed the stocks held in long positions.  The Fund did not use any bond investments during the year.

Finally, the James Aggressive Allocation Fund, the newest member of the James Advantage Funds, got its start on July 1, 2015.  The timing of the inception date did not help the early performance of the Fund, but the Fund was able to rebound some in the first half of 2016.  Since its inception through June 30, 2016, the Fund lost 4.98% while its blended secondary benchmark, 65% Russell 3000® and 35% Barclays U.S. Aggregate Government/Credit Bond Index, rose 3.67%.  Cash inflows at the top of the market and just prior to the Chinese devaluation in 2015 were invested at a peak, and the Fund struggled to recoup that disadvantage.  However for the six months ended June 30, 2016, the Fund rose 3.95%, while its benchmark rose 4.64%.  The Fund seeks to provide total return through a combination of growth and income.  Preservation of capital in declining markets is a secondary objective.  It is expected the Fund will usually run higher equity levels than the James Balanced: Golden Rainbow Fund.

Please see the following charts for longer term comparisons for all our Funds.

Expectations for the Future

The market has remained in the doldrums after the Federal Reserve stopped additional Quantitative Easing.  Investors have focused on valuations and earnings and both have been less than appealing.  Some measures of valuation, like Market Capitalization to GDP and the Schiller Cyclically Adjusted Price Earnings ratio are in our view a bit extended.  In addition, very modest economic growth has hampered earnings.  We have seen earnings fall each of the previous four quarters.  It is little wonder the market hasn’t moved very much since December of 2014.
 

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www.jamesfunds.com

James Advantage Funds
Shareholder Letter

June 30, 2016 (Unaudited)
 
Doldrums, though, can have a positive outcome.  Our research going back to 1900 shows such periods to be rare.  The next 18 months after those doldrums tend to be above average for stocks, but it usually begins with a slow start.  We believe the market is going through a transition, one where large growth stocks will eventually give way to smaller value stocks.  This is the history of the markets, with smaller value stocks outperforming larger growth stocks by about 5% a year going back to 1928.  However, the opposite has been in effect for the last 1, 3, 5 and 10 years.  This too is rare and historically, we have found that the next 3 years after these doldrums have tended to be strong for smaller value stocks while larger growth stocks stalled.  As a result, we believe the trend should reverse and where appropriate, we are gradually adding more small value securities.

The market is currently trying to digest the Exit vote in the United Kingdom.  In a recent study by the Funds’ adviser, it was concluded that the United States shouldn’t feel much impact on our trade and liquidity levels worldwide have been at record levels.  It is thought these funds might move into the U.S. as a result of Brexit.  The adviser believes the volatility created by the Brexit outcome should be considered a buying opportunity for U.S. investors.

Bonds have had a magnificent run, but we wouldn’t expect them to continue on such a pace in the new fiscal year.  We expect to see bonds provide a good offset to the risks in stocks, but they aren’t going to produce a lot of income.  In portfolios that hold bonds, we expect to start the year with modest durations in high quality bonds. There has been much written in the financial press about declining liquidity in the U.S. bond markets.  Because we invest in only high quality bonds, sovereigns and U.S. government obligations, we have not been noticeably impacted by bond liquidity issues.  However, the Funds’ bond traders are vigilant in this regard and continue to review trading strategies to deal with potential future
liquidity issues.

As we start the new fiscal year, we find our risk indicators are positive and we have increased equity levels where appropriate.  We still think the market will trade in a narrow range for a period of time, but better days for stocks and for our style are hopefully in the future.  I personally have increased my holdings in the Funds.  After more than forty years in the business, we have come to believe it is often best to invest when something has been temporarily lagging rather than chasing rapidly rising prices.  We believe this may be one of those times.

Barry R. James, CFA, CIC
President

The views of the author and information discussed in this commentary are as of the date of publication, are subject to change, and may not reflect the writer's current views. The views expressed represent an assessment of market conditions at a specific point in time, are opinions only and should not be relied upon as investment advice regarding a particular investment or markets in general. Such information does not constitute a recommendation to buy or sell specific securities or investment vehicles. It should not be assumed that any investment will be profitable or will equal the performance of the Funds or any securities or any sectors mentioned in this letter. The subject matter contained in this letter has been derived from several sources believed to be reliable and accurate at the time of compilation. Neither James Investment Research, Inc. nor the Funds accept any liability for losses either direct or consequential caused by the use of this information. Diversification cannot guarantee gain or prevent loss.

You should carefully consider the investment objectives, potential risks, management fees, and charges and expenses of the Fund before investing.

Holdings shown represent an average weight in the Fund for the time period June 30, 2015 to June 30, 2016.

The Funds’ prospectus contains this and other information about the Fund, and should be read carefully before investing. You may obtain a current copy of the Funds’ prospectus by calling 1-800-995-2637.

Past performance is no guarantee of future results. The investment return and principal value of an investment in any Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Barry R. James is a registered representative of ALPS Distributors, Inc.

CFA® is a trademark owned by the CFA Institute.

The Dow Jones Industrial Average is a price-weighted average of 30 actively traded Blue-Chip stocks.

Price/Earnings ratio is a valuation of a company’s current share price compared to its per-share earnings.
 

Annual Report  |  June 30, 2016
3


Shareholder Letter
James Advantage Funds

June 30, 2016 (Unaudited)
 
The Stock Market Capitalization to GDP Ratio is a ratio used to determine whether an overall market is undervalued or overvalued. The ratio can be used to focus on specific markets, such as the U.S. market, or it can be applied to the world market depending on what values are used in the calculation.

Shiller Cyclically Adjusted Price Earnings Ratio is a valuation measure usually applied to the US S&P 500 equity market. It is defined as price divided by the average of ten years of earnings (moving average), adjusted for inflation.

Indices are not actively managed and do not reflect any deduction for fees, expenses or taxes.  An investor may not invest directly in an index.

Quantitative easing is an unconventional monetary policy in which a central bank purchases government securities or other securities from the market in order to lower interest rates and increase the money supply. Quantitative easing increases the money supply by flooding financial institutions with capital in an effort to promote increased lending and liquidity. Quantitative easing is considered when short-term interest rates are at or approaching zero, and does not involve the printing of new banknotes.
 

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James Advantage Funds
Growth of $10,000 or $50,000 Charts

June 30, 2016 (Unaudited)
 
Comparison of the Change in Value of a $10,000 Investment in the James Balanced:  Golden Rainbow Fund – Retail Class
 
(LINE GRAPH)
 
James Balanced: Golden Rainbow Fund – Retail Class
Average Annual Total Returns
 
 
1 Year
5 Years
10 Years
Since Inception(2)
James Balanced: Golden Rainbow – Retail Class
-0.64%
5.98%
6.18%
7.90%
Blended Index(1)
1.71%
6.81%
6.09%
7.95%
Russell 2000® Index
-6.73%
8.35%
6.20%
9.51%
Barclays Capital U.S. Intermediate Government/Credit Bond Index
4.33%
2.90%
4.48%
5.64%
S&P 500® Index
3.99%
12.10%
7.42%
9.32%
 
(1) The Blended Index is comprised of a 25% weighting in the S&P 500® Index, a 25% weighting in the Russell 2000® Index and a 50% weighting in the Barclays Capital U.S. Intermediate Government/Credit Bond Index.
(2) Inception was July 1, 1991.
 
The total annual operating expense ratio as stated in the fee table of the most recent prospectus, dated November 1, 2015, was 0.97%.
 
Comparison of the Change in Value of a $50,000 Investment in the James Balanced:  Golden Rainbow Fund – Institutional Class
 
(LINE GRAPH)
 
James Balanced: Golden Rainbow Fund – Institutional Class
Average Annual Total Returns
 
 
1 Year
5 Years
Since Inception(2)
James Balanced: Golden Rainbow – Institutional Class
-0.43%
6.23%
9.81%
Blended Index(1)
1.71%
6.81%
11.43%
Russell 2000® Index
-6.73%
8.35%
18.49%
Barclays Capital U.S. Intermediate Government/Credit Bond Index
4.33%
2.90%
3.91%
S&P 500® Index
3.99%
12.10%
18.65%
 
(1) The Blended Index is comprised of a 25% weighting in the S&P 500® Index, a 25% weighting in the Russell 2000® Index and a 50% weighting in the Barclays Capital U.S. Intermediate Government/Credit Bond Index.
(2) Inception was March 2, 2009.
 
The total annual operating expense ratio as stated in the fee table of the most recent prospectus, dated November 1, 2015, was 0.72%.
 
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. These performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Please call 1-800-995-2637 for most recent month-end performance information.
 
The S&P 500® Index is an unmanaged index of 500 common stocks chosen for market size, liquidity and industry group representation.
 
The Russell 2000® Index is a widely recognized, unmanaged index comprised of the 2,000 smallest U.S. domiciled publicly-traded common stocks of the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000® Index, an unmanaged index of the 3,000 largest U.S. domiciled publicly-traded common stocks by market capitalization.
 
The Barclays Capital U.S. Intermediate Government/Credit Bond Index measures the performance of U.S. Dollar denominated U.S. Treasuries, government-related and investment grade U.S. corporate securities that have a remaining maturity of greater than one year and less than ten years.
 
The S&P 500® Index, Russell 2000® Index, Barclays Capital U.S. Intermediate Government/Credit Bond Index and Blended Index are widely recognized unmanaged indices of security prices and are representative of a broader market and range of securities than is found in the Fund’s portfolio. The Index returns do not reflect the deduction of expenses, which have been deducted from a Fund’s returns. The Index returns assume reinvestment of all distributions and do not reflect the deduction of taxes and fees. Individuals cannot invest directly in any Index; however, an individual can invest in exchange traded funds or other investment vehicles that attempt to track the performance of a benchmark index.
 

Annual Report  |  June 30, 2016
5

Growth of $10,000 or $50,000 Charts
James Advantage Funds

June 30, 2016 (Unaudited)
 
Comparison of the Change in Value of a $10,000 Investment in the James Small Cap Fund
 
(LINE GRAPH)
 
James Small Cap Fund
Average Annual Total Returns
 
 
1 Year
5 Years
10 Years
Since Inception(1)
James Small Cap Fund
-4.62%
7.03%
3.99%
7.71%
Russell 2000® Index
-6.73%
8.35%
6.20%
8.37%
 
(1) Fund inception was October 2, 1998.
 
The total annual operating expense ratio as stated in the fee table of the most recent prospectus, dated November 1, 2015, was 1.50%.
Comparison of the Change in Value of a $10,000 Investment in the James Mid Cap Fund
 
(LINE GRAPH)
 
James Mid Cap Fund
Average Annual Total Returns
 
 
1 Year
5 Years
10 Years
Since Inception(1)
James Mid Cap Fund
-2.46%
7.76%
5.35%
5.35%
S&P MidCap 400® Value Index
1.28%
10.96%
7.75%
7.75%
 
(1) Fund inception was June 30, 2006.
 
The total annual operating expense ratio as stated in the fee table of the most recent prospectus, dated November 1, 2015, was 1.50%.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. These performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Please call 1-800-995-2637 for most recent month-end performance information.
 
Mid, Small and Micro Cap investing involve greater risk not associated with investing in more established companies, such as greater price volatility, business risk, less liquidity and increased competitive threat.
 
The Mid Cap Fund invests in stocks of mid-cap companies which tend to be more volatile and can be less liquid than stocks of large-cap companies. Diversification does not guarantee a profit or protect against loss. Current and future portfolio holdings are subject to risk.
 
The Russell 2000® Index is a widely recognized, unmanaged index comprised of the 2,000 smallest U.S. domiciled publicly-traded common stocks of the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000® Index, an unmanaged index of the 3,000 largest U.S. domiciled publicly-traded common stocks by market capitalization.
 
The S&P MidCap 400® Value Index is a recognized, unmanaged index of mid cap stocks considered to be value stocks using Standard and
Poor’s methodology.
 
The Russell 2000® Index and S&P MidCap Value 400® Index are widely recognized unmanaged indices of security prices and are representative of a broader market and range of securities than is found in the Fund’s portfolio. The Index returns do not reflect the deduction of expenses, which have been deducted from a Fund’s returns. The Index returns assume reinvestment of all distributions and do not reflect the deduction of taxes and fees. Individuals cannot invest directly in any Index; however, an individual can invest in exchange traded funds or other investment vehicles that attempt to track the performance of a benchmark index.
 

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James Advantage Funds
Growth of $10,000 or $50,000 Charts

June 30, 2016 (Unaudited)
 
Comparison of the Change in Value of a $10,000 Investment in the James Micro Cap Fund
 
(LINE GRAPH)

James Micro Cap Fund
Average Annual Total Returns
 
 
1 Year
5 Year
Since Inception(1)
James Micro Cap Fund
-0.44%
9.84%
11.34%
Russell Microcap® Index
-12.05%
8.20%
12.12%
 
(1) Fund inception was July 1, 2010.
 
The total annual operating expense ratio as stated in the fee table of the most recent prospectus, dated November 1, 2015, was 1.51%.
Comparison of the Change in Value of a $10,000 Investment in the James Aggressive Allocation Fund
 
(LINE GRAPH)

James Aggressive Allocation Fund
Cumulative Annual Total Returns
 
 
1 Month
3 Month
Since Inception(2)
James Aggressive Allocation Fund
2.38%
2.49%
-4.98%
Blended Index(1)
0.90%
2.65%
3.67%
 
(1) The Blended Index is comprised of a 35% weighting in the Barclays U.S. Aggregate Government/Credit Bond Index and a 65% weighting in the Russell 3000® Index.
(2) Fund inception was July 1, 2015.
 
The total annual operating expense ratio as stated in the fee table of the most recent prospectus, dated November 1, 2015, was 0.99%.
 
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. These performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.  Please call 1-800-995-2637 for most recent month-end performance information.
 
Mid, Small and Micro Cap investing involve greater risk not associated with investing in more established companies, such as greater price volatility, business risk, less liquidity and increased competitive threat.
 
The Russell Microcap® Index measures the performance of the microcap segment of the U.S. equity market. It makes up less than 3% of the U.S. equity market. It includes 1,000 of the smallest securities in the small cap Russell 2000® Index, plus the next smallest eligible securities by market cap.
 
The Russell 3000® Index is a stock market index of U.S. stocks. The index measures the performance of 3,000 publicly held U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
 
The Barclays U.S. Aggregate Government/Credit Bond Index (an unmanaged index generally representative of dollar denominated U.S. Treasuries, government related and investment grade U.S. corporate securities that have a remaining maturity greater than one year).
 
The Russell Microcap® Index and the Blended Index are widely recognized unmanaged indices of security prices and are representative of a broader market and range of securities than is found in the Fund’s portfolio. The Index returns do not reflect the deduction of expenses, which have been deducted from a Fund’s returns. The Index returns assume reinvestment of all distributions and do not reflect the deduction of taxes and fees. Individuals cannot invest directly in any Index; however, an individual can invest in exchange traded funds or other investment vehicles that attempt to track the performance of a benchmark index.
 

Annual Report  |  June 30, 2016
7

Growth of $10,000 or $50,000 Charts
James Advantage Funds

June 30, 2016 (Unaudited)
 
Comparison of the Change in Value of a $10,000 Investment in the James Long-Short Fund
 
(LINE GRAPH)
 
James Long-Short Fund
Average Annual Total Returns
 
 
1 Year
5 Years
Since Inception(1)
James Long-Short Fund
-1.96%
5.26%
5.36%
S&P 500® Index
3.99%
12.10%
11.94%
 
(1) Fund inception was May 23, 2011.
 
The total annual operating expense ratio as stated in the fee table of the most recent prospectus, dated November 1, 2015, was 2.71%.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. These performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.  Please call 1-800-995-2637 for most recent month-end performance information.
 
Short selling incurs significant additional risk; theoretically, stocks sold short have unlimited upside risk potential. In addition, this strategy depends on the Adviser’s ability to correctly identify undervalued and overvalued stocks, and that the stock markets are reasonable and efficient. Periods of extreme volatility may harm the performance of this product. The Long-Short Fund may have a high portfolio turnover rate. A high portfolio turnover rate can result in increased brokerage commission costs and may expose taxable shareholders to potentially larger current tax liability.
 
The S&P 500® Index is an unmanaged index of 500 common stocks chosen for market size, liquidity and industry group representation.
 
The S&P 500® Index is a widely recognized unmanaged index of security prices and are representative of a broader market and range of securities than is found in the Fund’s portfolio. The Index return does not reflect the deduction of expenses, which have been deducted from a Fund’s returns. The Index return assumes reinvestment of all distributions and does not reflect the deduction of taxes and fees. Individuals cannot invest directly in any Index; however, an individual can invest in exchange traded funds or other investment vehicles that attempt to track the performance of a benchmark index.
 

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James Advantage Funds
Representation of Schedules of Investments

June 30, 2016 (Unaudited)
 
The illustrations below provide the industry sectors for the James Balanced: Golden Rainbow Fund, James Small Cap Fund, James Mid Cap Fund, James Micro Cap Fund, James Aggressive Allocation Fund and James Long-Short Fund.
 
James Balanced:  Golden Rainbow Fund - Industry Sector Allocation
(% of Net Assets)*
 
(PIE CHART)
 
James Mid Cap Fund - Industry Sector Allocation
(% of Net Assets)*
 
(PIE CHART)
 
James Aggressive Allocation Fund - Industry Sector Allocation
(% of Net Assets)*
 
(PIE CHART)
 
  
James Small Cap Fund - Industry Sector Allocation
(% of Net Assets)*
 
(PIE CHART)
 
James Micro Cap Fund - Industry Sector Allocation
(% of Net Assets)*
 
(PIE CHART)
 
James Long-Short Fund - Industry Sector Allocation
(% of Net Assets)*
(Cash and Cash Equivalents and Other Liabilities in Excess of Assets not included)
 
(BAR CHART)
 
 
* Holdings are subject to change, and may not reflect the current or future position of the portfolio.
 

Annual Report  |  June 30, 2016
9

Disclosure of Fund Expenses
 James Advantage Funds

 
June 30, 2016 (Unaudited)
 
Example. As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including reinvested dividends or other distributions, and 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 January 1, 2016 through June 30, 2016.

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 “Expense Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual returns. 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 a Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that expenses shown in the table are meant to highlight and help you compare ongoing costs only.  The calculations 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.
 
 
Net Expense Ratio Annualized
June 30, 2016(a)
Beginning
Account Value
January 1, 2016
Ending
Account Value
June 30, 2016
Expense
Paid During
Period(b)
James Balanced: Golden Rainbow Fund
 
 
 
 
Retail Class Actual
0.96%
$1,000.00  
$1,016.10
$4.81  
Retail Class Hypothetical (5% return before expenses)
0.96%
$1,000.00  
$1,020.09
$4.82  
 
 
 
 
 
Institutional Class Actual
0.71%
$1,000.00  
$1,017.10
$3.56  
Institutional Class Hypothetical (5% return before expenses)
0.71%
$1,000.00  
$1,021.33
$3.57  
 
 
 
 
 
James Small Cap Fund
 
 
 
 
 Actual
1.50%
$1,000.00  
$990.00
$7.42  
 Hypothetical (5% return before expenses)
1.50%
$1,000.00  
$1,017.40
$7.52  
 
 
 
 
 
James Mid Cap Fund
 
 
 
 
 Actual
1.50%
$1,000.00  
$988.30
$7.42  
 Hypothetical (5% return before expenses)
1.50%
$1,000.00  
$1,017.40
$7.52  
 
 
 
 
 
James Micro Cap Fund
 
 
 
 
 Actual
1.50%
$1,000.00  
$996.00
$7.44  
 Hypothetical (5% return before expenses)
1.50%
$1,000.00  
$1,017.40
$7.52  
 
 
 
 
 
James Aggressive Allocation Fund(c)
 
 
 
 
 Actual
0.98%
$1,000.00  
$1,039.50
$4.97  
 Hypothetical (5% return before expenses)
0.98%
$1,000.00  
$1,019.99
$4.92  
 
 
 
 
 
James Long-Short Fund
 
 
 
 
 Actual
2.84%(d)
$1,000.00  
$979.60
$13.98  
 Hypothetical (5% return before expenses)
2.84%(d)
$1,000.00  
$1,010.74
$14.20  
 

10
www.jamesfunds.com

James Advantage Funds
Disclosure of Fund Expenses

 
June 30, 2016 (Unaudited)
 
(a)
Annualized, based on the Fund's most recent fiscal half year expenses.
(b)
Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182), divided by 366.
(c)
Fund commenced operations on July 1, 2015.
(d)
Dividend and interest expense on securities sold short and interest expense totaled 1.34% (annualized) of average net assets for the six months ended June 30, 2016.  Total annual operating expense of 2.84% includes the 1.34% of dividend and interest expense.
 

Annual Report  |  June 30, 2016
11


Schedule of Investments
James Balanced: Golden Rainbow Fund

June 30, 2016
 
 
Shares or Principal Amount   Value  
COMMON STOCKS-48.6%  
    Basic Materials-4.6%      
 

6,388

  AEP Industries, Inc.   $ 513,978  
 

31,560

  Agnico Eagle Mines, Ltd.     1,688,460  
 

323,670

  Avery Dennison Corp.     24,194,333  
 

514,370

  Barrick Gold Corp.     10,981,799  
 

553,420

  Celanese Corp., Series A     36,221,339  
 

62,530

  Ciner Resources LP     1,752,091  
 

392,250

  Cooper Tire & Rubber Co.     11,696,895  
 

36,830

  Dow Chemical Co.     1,830,819  
 

32,130

  First Majestic Silver Corp.*     436,325  
 

1,120,260

  Goodyear Tire & Rubber Co.     28,745,872  
 

96,330

  Hecla Mining Co.     491,283  
 

288,855

  Innospec, Inc.     13,284,441  
 

59,010

  Lydall, Inc.*     2,275,426  
 

119,250

  Neenah Paper, Inc.     8,630,123  
 

1,037,820

  Newmont Mining Corp.     40,599,518  
 

48,650

  Novagold Resources, Inc.*     297,738  
 

26,900

  Pan American Silver Corp.     442,505  
 

459,420

  Richmont Mines, Inc.*     4,231,258  
 

168,720

  Universal Forest Products, Inc.     15,638,657  
          203,952,860  
             
      Consumer, Cyclical-5.1%        
 

737,220

  Alaska Air Group, Inc.     42,972,554  
 

406,780

  Best Buy Co., Inc.     12,447,468  
 

101,335

  Big Lots, Inc.     5,077,897  
 

409,475

  Cato Corp., Class A     15,445,397  
 

64,890

  Delta Air Lines, Inc.     2,363,943  
 

254,800

  Express, Inc.*     3,697,148  
 

71,220

  Flexsteel Industries, Inc.     2,821,736  
 

634,050

  Foot Locker, Inc.     34,783,983  
 

632,670

  Ford Motor Co.     7,952,662  
 

305,275

  Hawaiian Holdings, Inc.*     11,588,239  
 

70,940

  Insight Enterprises, Inc.*     1,844,440  
 

75,350

  Lennar Corp., Class A     3,473,635  
 

5,710

  Meritage Homes Corp.*     214,353  
 

141,480

  Patrick Industries, Inc.*     8,529,829  
 

117,260

  PC Connection, Inc.     2,790,788  
 

983,490

  Skechers U.S.A., Inc., Class A*     29,229,323  
 

771,725

  Southwest Airlines Co.     30,259,337  
 

34,945

  Wabash National Corp.*     443,802  
 

103,505

  Wal-Mart Stores, Inc.     7,557,935  
 

5,800

  Wayside Technology Group, Inc.     104,748  
          223,599,217  
             
      Consumer, Non-cyclical-10.3%        
 

322,580

  Aetna, Inc.     39,396,695  
 

312,115

  Anthem, Inc.     40,993,184  
 

128,305

  Cal-Maine Foods, Inc.     5,686,478  
 

17,970

  Coca-Cola Bottling Co. Consolidated     2,650,036  
 

133,035

  Convergys Corp.     3,325,875  
 

857,650

  Dr Pepper Snapple Group, Inc.     82,874,720  
 

255,410

  DST Systems, Inc.     29,737,386  
 
See Notes to Financial Statements.
 

12
www.jamesfunds.com

James Balanced: Golden Rainbow Fund
Schedule of Investments

 
June 30, 2016
 
Shares or Principal Amount   Value  
    Consumer, Non-cyclical (continued)      
 

239,070

  Eli Lilly & Co.   $ 18,826,763  
 

102,135

  Helen of Troy, Ltd.*     10,503,563  
 

325,675

  Ingles Markets, Inc., Class A     12,147,678  
 

21,600

  Ingredion, Inc.     2,795,256  
 

65,905

  John B Sanfilippo & Son, Inc.     2,809,530  
 

1,023,480

  Kroger Co.     37,653,829  
 

75,358

  ManpowerGroup, Inc.     4,848,534  
 

674,260

  Merck & Co., Inc.     38,844,119  
 

51,240

  National HealthCare Corp.     3,317,278  
 

115,190

  Natural Health Trends Corp.     3,247,206  
 

824,855

  Newell Rubbermaid, Inc.     40,063,207  
 

114,955

  Nutrisystem, Inc.     2,915,259  
 

242,090

  Omega Protein Corp.*     4,839,379  
 

777,530

  Pfizer, Inc.     27,376,831  
 

34,389

  Sanderson Farms, Inc.     2,979,463  
 

69,960

  Superior Uniform Group, Inc.     1,335,536  
 

105,621

  Toro Co.     9,315,772  
 

197,750

  UnitedHealth Group, Inc.     27,922,300  
          456,405,877  
             
      Energy-2.4%        
 

158,091

  BP PLC, Sponsored ADR     5,613,811  
 

215,790

  Exxon Mobil Corp.     20,228,155  
 

145,864

  HollyFrontier Corp.     3,467,187  
 

26,718

  Matrix Service Co.*     440,580  
 

1,359,710

  McDermott International, Inc.*     6,716,967  
 

8,350

  Noble Corp. PLC     68,804  
 

7,795

  PBF Energy, Inc., Class A     185,365  
 

8,180

  Rowan Cos., PLC, Class A     144,459  
 

136,580

  Star Gas Partners LP     1,212,830  
 

424,950

  Tesoro Corp.     31,837,254  
 

589,710

  Valero Energy Corp.     30,075,210  
 

99,695

  World Fuel Services Corp.     4,734,516  
          104,725,138  
             
      Financial-8.3%        
 

44,000

  Aircastle, Ltd.     860,640  
 

316,293

  American Financial Group, Inc.     23,383,541  
 

1,459,470

  AmTrust Financial Services, Inc.     35,757,015  
 

438,356

  Annaly Capital Management, Inc., REIT     4,852,601  
 

42,500

  Ares Commercial Real Estate Corp., REIT     522,325  
 

295,907

  Argo Group International Holdings, Ltd.     15,357,547  
 

97,760

  Ashford Hospitality Trust, Inc., REIT     524,971  
 

873,375

  Aspen Insurance Holdings, Ltd.     40,507,132  
 

411,215

  Brandywine Realty Trust, REIT     6,908,412  
 

466,926

  Chimera Investment Corp., REIT     7,330,738  
 

127,020

  Chubb, Ltd.     16,602,784  
 

75,625

  Dynex Capital, Inc., REIT     524,837  
 

183,330

  Endurance Specialty Holdings, Ltd.     12,312,443  
 

77,270

  ePlus, Inc.*     6,319,913  
 

417,510

  Fifth Third Bancorp     7,344,001  
 

24,865

  Getty Realty Corp., REIT     533,354  
 

55,000

  Goldman Sachs Group, Inc.     8,171,900  
 
See Notes to Financial Statements.
 

Annual Report  |  June 30, 2016
13

Schedule of Investments James Balanced: Golden Rainbow Fund 

June 30, 2016 
 
Shares or Principal Amount   Value  
    Financial (continued)      
 

233,959

  Government Properties Income Trust, REIT   $ 5,395,095  
 

17,890

  Hanover Insurance Group, Inc.     1,513,852  
 

446,970

  JPMorgan Chase & Co.     27,774,716  
 

1,207,600

  KeyCorp     13,343,980  
 

25,115

  LendingTree, Inc.*     2,218,408  
 

82,497

  LTC Properties, Inc., REIT     4,267,570  
 

65,700

  MainSource Financial Group, Inc.     1,448,685  
 

16,440

  MutualFirst Financial, Inc.     449,634  
 

24,260

  National Storage Affiliates Trust, REIT     505,093  
 

377,630

  Nelnet, Inc., Class A     13,122,643  
 

64,950

  PNC Financial Services Group, Inc.     5,286,281  
 

31,050

  Prospect Capital Corp.     242,811  
 

111,640

  Reading International, Inc., Class A*     1,394,384  
 

25,370

  Sunstone Hotel Investors, Inc., REIT     306,216  
 

172,770

  Torchmark Corp.     10,680,641  
  678,924   Travelers Cos., Inc.     80,819,113  
 

354,335

  Unum Group     11,264,310  
 

18,120

  Whitestone, REIT     273,250  
          368,120,836  
             
      Industrial-4.3%        
 

58,823

  Aegion Corp.*     1,147,637  
 

21,600

  AGCO Corp.     1,018,008  
 

10,283

  Alamo Group, Inc.     678,370  
 

173,830

  AMERCO     65,108,026  
 

315,210

  American Axle & Manufacturing Holdings, Inc.*     4,564,241  
 

118,690

  American Railcar Industries, Inc.     4,684,694  
 

126,530

  American Woodmark Corp.*     8,399,061  
 

118,200

  Costamare, Inc.     906,594  
 

93,290

  Covenant Transportation Group, Inc., Class A*     1,685,750  
 

40,470

  Crown Holdings, Inc.*     2,050,615  
 

91,515

  Culp, Inc.     2,528,559  
 

87,610

  Deere & Co.     7,099,914  
 

91,335

  DHT Holdings, Inc.     459,415  
 

32,400

  FedEx Corp.     4,917,672  
 

370,370

  Frontline, Ltd.     2,914,812  
 

69,395

  Gener8 Maritime, Inc.*     444,128  
 

173,300

  Global Brass & Copper Holdings, Inc.     4,729,357  
 

88,940

  Headwaters, Inc.*     1,595,584  
 

16,230

  Huntington Ingalls Industries, Inc.     2,727,127  
 

1,142,890

  Magna International, Inc.     40,081,152  
 

245,160

  Matson, Inc.     7,916,216  
 

14,330

  NACCO Industries, Inc., Class A     802,480  
 

54,080

  Republic Services, Inc.     2,774,845  
 

32,400

  Ryder System, Inc.     1,980,936  
 

162,258

  Ship Finance International, Ltd.     2,391,683  
 

168,105

  Smith & Wesson Holding Corp.*     4,569,094  
 

66,910

  Sonoco Products Co.     3,322,751  
 

10,433

  Strattec Security Corp.     425,353  
 

18,755

  Superior Industries International, Inc.     502,259  
 

140,870

  Teekay Tankers, Ltd., Class A     419,793  
 

10,470

  Tenneco, Inc.*     488,007  
 

53,970

  Unifi, Inc.*     1,469,603  

 

See Notes to Financial Statements.
 

14
www.jamesfunds.com

James Balanced: Golden Rainbow Fund Schedule of Investments 

  June 30, 2016 
 
Shares or Principal Amount   Value  
    Industrial (continued)      
 

43,180

  United Rentals, Inc.*   $ 2,897,378  
          187,701,114  
             
      Technology-7.8%        
 

600,377

  ACCO Brands Corp.*     6,201,894  
 

306,400

  Arrow Electronics, Inc.*     18,966,160  
 

255,210

  Avnet, Inc.     10,338,557  
 

47,640

  Cardtronics PLC*     1,896,548  
 

147,820

  Cisco Systems, Inc.     4,240,956  
 

138,000

  Cohu, Inc.     1,497,300  
 

237,810

  Corning, Inc.     4,870,349  
 

18,995

  CSG Systems International, Inc.     765,688  
 

958,915

  Deluxe Corp.     63,643,189  
 

149,701

  Ebix, Inc.     7,170,678  
 

18,680

  Equifax, Inc.     2,398,512  
 

61,759

  FormFactor, Inc.*     555,217  
 

184,910

  Hackett Group, Inc.     2,564,702  
 

421,000

  Intel Corp.     13,808,800  
 

22,120

  International Business Machines Corp.     3,357,374  
 

44,450

  Leidos Holdings, Inc.     2,127,821  
 

189,660

  Lexmark International, Inc., Class A     7,159,665  
 

267,430

  Lockheed Martin Corp.     66,368,103  
 

33,670

  NeuStar, Inc., Class A*     791,582  
 

376,220

  Northrop Grumman Corp.     83,626,182  
 

355,880

  Orbotech, Ltd.*     9,092,734  
 

268,600

  SYNNEX Corp.     25,468,652  
 

118,690

  WESCO International, Inc.*     6,111,348  
          343,022,011  
             
      Utilities-5.8%        
 

300,520

  American Electric Power Co., Inc.     21,063,447  
 

1,637,700

  AT&T, Inc.     70,765,017  
 

77,435

  Avista Corp.     3,469,088  
 

456,810

  BT Group PLC, Sponsored ADR     12,722,159  
 

339,850

  CenterPoint Energy, Inc.     8,156,400  
 

139,620

  DTE Energy Co.     13,839,134  
 

188,500

  Edison International     14,640,795  
 

119,560

  IDACORP, Inc.     9,726,206  
 

34,540

  Inteliquent, Inc.     687,001  
 

91,400

  PG&E Corp.     5,842,288  
 

97,210

  Pinnacle West Capital Corp.     7,879,843  
 

239,460

  PNM Resources, Inc.     8,486,462  
 

475,660

  Portland General Electric Co.     20,986,119  
 

367,120

  Public Service Enterprise Group, Inc.     17,111,463  
 

49,427

  Spark Energy, Inc., Class A     1,633,562  
 

240,510

  UGI Corp.     10,883,078  
 

281,920

  Verizon Communications, Inc.     15,742,413  
 

511,750

  Vonage Holdings Corp.*     3,121,675  
 
See Notes to Financial Statements.
 

Annual Report  |  June 30, 2016
15

Schedule of Investments
James Balanced: Golden Rainbow Fund

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Utilities (continued)
     
 
137,670
 
Westar Energy, Inc.
 
$
7,721,910
 
         
254,478,060
 
             
TOTAL COMMON STOCKS
(Cost $1,741,159,292)
   
2,142,005,113
 
             
CLOSED-END FUNDS-0.0%(a)
 
 
131,000
 
BlackRock Resources & Commodities Strategy Trust
   
1,008,700
 
   
TOTAL CLOSED-END FUNDS
(Cost $915,191)
   
1,008,700
 
             
EXCHANGE TRADED FUNDS-1.2%
 
 
107,910
 
iShares® MSCI All Peru Capped ETF
   
3,333,340
 
 
109,760
 
iShares® MSCI Canada ETF
   
2,690,218
 
 
94,410
 
iShares® MSCI Chile Capped ETF
   
3,474,288
 
 
61,530
 
iShares® MSCI Ireland Capped ETF
   
2,211,388
 
 
55,590
 
iShares® MSCI Philippines ETF
   
2,177,460
 
 
7,000
 
iShares® National AMT-Free Municipal Bond ETF
   
797,580
 
 
704,760
 
iShares® Silver Trust ETF*
   
12,594,061
 
 
194,610
 
SPDR® Gold Shares ETF*
   
24,622,057
 
     
 
       
TOTAL EXCHANGE TRADED FUNDS
(Cost $46,716,068)
   
51,900,392
 
             
CORPORATE BONDS-6.4%
 
     
Basic Materials-0.0%(a)
       
$
1,500,000
 
E.I. du Pont de Nemours & Co., 5.750%, 3/15/19
   
1,664,910
 
     
 
       
     
Communications-0.2%
       
 
8,000,000
 
Alphabet, Inc., 3.625%, 5/19/21
   
8,822,888
 
     
 
       
     
Consumer, Cyclical-0.5%
       
 
5,000,000
 
eBay, Inc., 2.600%, 7/15/22
   
4,951,635
 
 
5,000,000
 
Home Depot, Inc., 2.700%, 4/1/23
   
5,246,955
 
 
5,000,000
 
Home Depot, Inc., 5.950%, 4/1/41
   
6,903,915
 
 
785,000
 
McDonald's Corp., 5.700%, 2/1/39
   
977,879
 
 
2,000,000
 
Wal-Mart Stores, Inc., 5.250%, 9/1/35
   
2,628,658
 
     
 
   
20,709,042
 
     
Consumer, Non-cyclical-1.3%
       
 
10,000,000
 
Coca-Cola Co., 3.200%, 11/1/23
   
10,775,230
 
 
3,000,000
 
Hershey Co., 4.125%, 12/1/20
   
3,363,969
 
 
5,475,000
 
Johnson & Johnson, 4.500%, 9/1/40
   
6,762,255
 
 
5,000,000
 
Merck & Co., Inc., 2.800%, 5/18/23
   
5,249,820
 
 
10,000,000
 
Merck & Co., Inc., 4.150%, 5/18/43
   
11,269,530
 
 
10,000,000
 
PepsiCo, Inc., 5.000%, 6/1/18
   
10,731,000
 
 
10,000,000
 
Stryker Corp., 2.000%, 9/30/16
   
10,029,630
 
     
 
   
58,181,434
 
     
Energy-1.2%
       
 
5,000,000
 
Apache Corp., 3.250%, 4/15/22
   
5,122,640
 
 
5,000,000
 
BP Capital Markets PLC, 3.245%, 5/6/22
   
5,260,205
 
 
See Notes to Financial Statements.

16
www.jamesfunds.com

James Balanced: Golden Rainbow Fund
Schedule of Investments

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Energy (continued)
     
$
8,271,000
 
Chevron Corp., 3.326%, 11/17/25
 
$
8,844,147
 
 
10,000,000
 
Diamond Offshore Drilling, Inc., 5.875%, 5/1/19
   
10,250,740
 
 
5,050,000
 
Shell International Finance BV, 2.375%, 8/21/22
   
5,170,660
 
 
5,000,000
 
Shell International Finance BV, 6.375%, 12/15/38
   
6,796,170
 
 
2,625,000
 
Shell International Finance BV, 4.375%, 5/11/45
   
2,846,020
 
 
10,000,000
 
Statoil ASA, 2.250%, 11/8/19
   
10,255,850
 
     
 
   
54,546,432
 
     
Financial-1.8%
       
 
5,000,000
 
Aflac, Inc., 2.650%, 2/15/17
   
5,054,830
 
 
8,000,000
 
Aflac, Inc., 3.625%, 11/15/24
   
8,572,144
 
 
20,000,000
 
American Express Credit Corp., 2.800%, 9/19/16
   
20,084,960
 
 
5,000,000
 
Berkshire Hathaway, Inc., 3.750%, 8/15/21
   
5,517,625
 
 
5,000,000
 
Citigroup, Inc., 4.450%, 1/10/17
   
5,082,800
 
 
11,000,000
 
JPMorgan Chase & Co., 4.250%, 10/15/20
   
11,990,583
 
 
5,000,000
 
Morgan Stanley & Co., 4.750%, 3/22/17
   
5,124,035
 
 
6,000,000
 
PNC Bank Na, 2.950%, 2/23/25
   
6,199,602
 
 
5,000,000
 
UBS AG, 5.875%, 12/20/17
   
5,310,920
 
 
5,000,000
 
Wells Fargo & Co., 2.500%, 3/4/21
   
5,127,720
 
     
 
   
78,065,219
 
     
Industrial-0.5%
       
 
1,000,000
 
Caterpillar, Inc., 7.900%, 12/15/18
   
1,157,546
 
 
1,000,000
 
Caterpillar, Inc., 8.250%, 12/15/38
   
1,604,572
 
 
10,000,000
 
General Electric Capital Corp., 1.428%, 4/15/20(b)
   
10,101,960
 
 
2,000,000
 
General Electric Capital Corp., 6.875%, 1/10/39
   
3,020,644
 
 
5,000,000
 
United Technologies Corp., 3.100%, 6/1/22
   
5,330,375
 
     
 
   
21,215,097
 
     
Technology-0.7%
       
 
3,419,000
 
Apple, Inc., 1.550%, 2/7/20
   
3,444,632
 
 
5,000,000
 
Intel Corp., 3.300%, 10/1/21
   
5,421,260
 
 
3,000,000
 
International Business Machines Corp., 1.950%, 7/22/16
   
3,001,761
 
 
7,000,000
 
International Business Machines Corp., 1.875%, 8/1/22
   
6,968,444
 
 
3,700,000
 
Microsoft Corp., 5.200%, 6/1/39
   
4,567,191
 
 
5,000,000
 
Oracle Corp., 2.500%, 10/15/22
   
5,118,420
 
     
 
   
28,521,708
 
     
Utilities-0.2%
       
 
5,000,000
 
Duke Energy Florida LLC, Series A, 5.800%, 9/15/17
   
5,283,655
 
 
4,600,000
 
San Diego Gas & Electric Co., 3.000%, 8/15/21
   
4,923,260
 
     
 
   
10,206,915
 
TOTAL CORPORATE BONDS
(Cost $271,102,406)
   
281,933,645
 
             
MORTGAGE BACKED SECURITIES-0.5%
 
     
Federal National Mortgage Association-0.4%
       
$
12,961,059
 
3.500%, 9/1/33 
   
13,788,375
 
 
1,776,427
 
4.500%, 9/1/40 
   
1,874,371
 
     
 
   
15,662,746
 
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016  
17

Schedule of Investments
James Balanced: Golden Rainbow Fund

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Government National Mortgage Association-0.1%
     
$
3,773,451
 
4.000%, 12/20/40 
 
$
4,066,130
 
     
 
       
TOTAL MORTGAGE BACKED SECURITIES
(Cost $18,944,671)
   
19,728,876
 
             
U.S. GOVERNMENT AGENCIES-5.3%
 
     
Federal Farm Credit Banks-2.4%
       
 
10,000,000
 
1.170%, 5/16/19 
   
10,014,550
 
 
15,000,000
 
1.970%, 5/10/22 
   
15,004,875
 
 
15,000,000
 
2.000%, 10/20/22 
   
15,014,730
 
 
10,000,000
 
2.350%, 5/2/24 
   
10,034,740
 
 
10,000,000
 
2.980%, 11/25/25 
   
10,025,510
 
 
5,725,000
 
2.750%, 11/6/26 
   
6,116,373
 
 
10,000,000
 
2.800%, 6/2/28 
   
10,073,260
 
 
10,000,000
 
3.500%, 9/14/29 
   
10,060,060
 
 
7,325,000
 
3.400%, 11/25/30 
   
7,346,792
 
 
10,000,000
 
3.220%, 3/26/31 
   
10,946,140
 
     
 
   
104,637,030
 
     
Federal Home Loan Banks-2.0%
       
 
25,000,000
 
0.700%, 6/5/17 
   
25,018,675
 
 
11,250,000
 
1.200%, 5/23/19 
   
11,259,394
 
 
5,000,000
 
1.600%, 10/22/20 
   
5,000,065
 
 
10,000,000
 
2.050%, 6/9/23 
   
10,032,630
 
 
10,000,000
 
2.620%, 4/28/26 
   
10,026,640
 
 
9,500,000
 
3.000%, 4/18/31 
   
9,506,032
 
 
19,000,000
 
2.000%, 6/30/31 (c)
   
19,001,102
 
     
 
   
89,844,538
 
     
Federal Home Loan Mortgage Corporation-0.8%
       
 
20,000,000
 
0.850%, 10/27/17 
   
20,001,740
 
 
10,000,000
 
1.350%, 5/24/19 
   
10,005,470
 
 
5,000,000
 
1.000%, 8/26/19 (c)
   
5,001,100
 
     
 
   
35,008,310
 
     
United States Department of Housing and Urban Development-0.1%
       
 
5,000,000
 
2.050%, 8/1/19 
   
5,177,785
 
     
 
       
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $232,933,261)
   
234,667,663
 
             
U.S. TREASURY BONDS & NOTES-30.9%
 
     
U.S. Treasury Bonds-1.3%
       
$
40,000,000
 
5.375%, 2/15/31
   
59,337,520
 
     
 
       
     
U.S. Treasury Inflation Indexed Bonds-0.5%
       
 
21,228,000
 
0.625%, 7/15/21
   
22,349,390
 
     
 
       
     
U.S. Treasury Inflation Indexed Notes-1.2%
       
 
13,131,850
 
1.625%, 1/15/18
   
13,628,746
 
 
36,992,900
 
0.125%, 1/15/22
   
37,711,561
 
     
 
   
51,340,307
 
     
U.S. Treasury Notes-27.9%
       
 
80,000,000
 
0.500%, 1/31/17
   
80,031,280
 
 
See Notes to Financial Statements.

18
www.jamesfunds.com

James Balanced: Golden Rainbow Fund
Schedule of Investments

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
U.S. Treasury Notes (continued)
     
$
90,000,000
 
0.500%, 2/28/17
 
$
90,035,190
 
 
105,000,000
 
0.875%, 11/15/17
   
105,438,900
 
 
10,000,000
 
0.750%, 2/28/18
   
10,028,120
 
 
155,000,000
 
1.500%, 8/31/18
   
157,942,520
 
 
190,000,000
 
2.750%, 2/15/19
   
200,286,790
 
 
185,000,000
 
1.500%, 10/31/19
   
189,328,630
 
 
50,000,000
 
1.375%, 9/30/20
   
50,917,950
 
 
175,000,000
 
2.625%, 11/15/20
   
187,523,350
 
 
25,000,000
 
1.125%, 2/28/21
   
25,177,725
 
 
65,000,000
 
2.125%, 5/15/25
   
68,689,270
 
 
60,000,000
 
2.000%, 8/15/25
   
62,756,280
 
     
 
   
1,228,156,005
 
TOTAL U.S. TREASURY BONDS & NOTES
(Cost $1,320,804,730)
   
1,361,183,222
 
             
FOREIGN BONDS-0.8%
 
     
Australia Government-0.2%
       
AUD 10,000,000
 
5.250%, 3/15/19
   
8,188,206
 
     
 
       
     
Canada Government-0.2%
       
CAD 5,000,000
 
3.750%, 6/1/19
   
4,233,755
 
CAD 5,000,000
 
3.500%, 6/1/20
   
4,315,454
 
     
 
   
8,549,209
 
     
New Zealand Government-0.2%
       
NZD 15,000,000
 
5.000%, 3/15/19
   
11,540,766
 
     
 
       
     
Singapore Government-0.2%
       
SGD 10,000,000
 
2.250%, 6/1/21
   
7,702,200
 
     
 
       
TOTAL FOREIGN BONDS
(Cost $37,886,314)
   
35,980,381
 
             
MUNICIPAL BONDS-4.6%
 
     
California-0.0%(a)
       
 
1,000,000
 
Citrus Community College District General Obligation Unlimited Bonds, Series B, Prefunded 6/01/17 @ 100, 4.750%, 6/1/31 (d)
   
1,037,950
 
     
 
       
     
Colorado-0.0%(a)
       
 
1,000,000
 
Adams County School District No. 14 General Obligation Unlimited Bonds, Prefunded 12/01/16 @ 100, 5.000%, 12/1/26 (d)
   
1,018,080
 
     
 
       
     
Connecticut-0.2%
       
 
5,350,000
 
State of Connecticut, Series D, 5.000%, 11/1/25 
   
6,349,005
 
     
 
       
     
Florida-0.3%
       
 
10,775,000
 
Florida State Board of Education Capital Outlay General Obligation Bonds, Series C, 5.000%, 6/1/23 
   
13,520,147
 
 
1,000,000
 
Florida State Board of Education Capital Outlay General Obligation Bonds, Series D, 5.000%, 6/1/38 
   
1,082,820
 
     
 
   
14,602,967
 
     
Georgia-0.2%
       
 
3,000,000
 
State of Georgia General Obligation Unlimited Bonds, Series B, 4.500%, 1/1/29 
   
3,254,880
 
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016  
19

Schedule of Investments
James Balanced: Golden Rainbow Fund

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Georgia (continued)
     
$
5,000,000
 
State of Georgia General Obligation Unlimited Bonds, Series D, 5.000%, 2/1/25 
 
$
6,250,500
 
     
 
   
9,505,380
 
     
Hawaii-0.3%
       
 
9,000,000
 
City and County of Honolulu General Obligation Unlimited Bonds, Series B, 5.000%, 11/1/25 
   
11,069,010
 
     
 
       
     
Illinois-0.0%(a)
       
 
1,000,000
 
Village of Bolingbrook General Obligation Unlimited Bonds, 5.000%, 1/1/37 
   
1,043,260
 
     
 
       
     
Maryland-0.1%
       
 
5,000,000
 
County of Montgomery General Obligation Unlimited Bonds, Series A, 3.000%, 11/1/29 
   
5,193,200
 
     
 
       
     
Massachusetts-0.0%(a)
       
 
1,000,000
 
Commonwealth of Massachusetts General Obligation Limited Bonds, Series C, Prefunded 8/01/17 @ 100, 5.250%, 8/1/22 (d)
   
1,049,160
 
     
 
       
     
Michigan-0.0%(a)
       
 
1,000,000
 
Marysville Public School District General Obligation Unlimited Bonds (School Building & Site), Prefunded 5/1/17 @ 100, 5.000%, 5/1/32 (d)
   
1,036,240
 
     
 
       
     
Ohio-1.4%
       
 
7,450,000
 
Beavercreek City School District General Obligation Unlimited Bonds, 3.250%, 12/1/36 
   
7,842,093
 
 
6,395,000
 
City of Cincinnati General Obligation Unlimited Bonds, Series A, 3.000%, 12/1/27 
   
7,002,973
 
 
5,450,000
 
City of Columbus General Obligation Various Purpose Limited Tax Bonds, Series B, 3.250%, 8/15/24 
   
6,040,290
 
 
1,500,000
 
City of Newark General Obligation Limited Bonds, 1.750%, 5/16/17 
   
1,509,825
 
 
5,000,000
 
County of Cuyahoga General Obligation Limited (Capital Improvement), Series A, 4.000%, 12/1/37 
   
5,338,750
 
     
Greenville City School District General Obligation Unlimited Bonds (School Improvement):
       
 
5,000,000
 
5.000%, 1/1/46 
   
5,837,950
 
 
11,000,000
 
5.500%, 1/1/51 
   
12,645,380
 
 
1,100,000
 
Miamisburg City School District General Obligation Unlimited Bonds (School Facilities Construction & Improvement), Prerefunded 12/01/18 @ 100, 5.000%, 12/1/33 (d)
   
1,213,058
 
 
500,000
 
Mount Healthy City School District General Obligation Unlimited Bonds (School Improvement), Prefunded 6/01/18 @ 100, 5.000%, 12/1/26 (d)
   
541,060
 
 
1,000,000
 
Ohio State University General Recipients Revenue Bonds, Series C, 4.910%, 6/1/40 
   
1,283,730
 
 
105,000
 
Ohio State University Revenue Bonds, Series A, Prefunded 12/01/18 @ 100, 5.000%, 12/1/28 (d)
   
115,792
 
 
895,000
 
Ohio State University Revenue Bonds, Series A, Unrefunded Portion, 5.000%, 12/1/28 
   
984,724
 
 
500,000
 
Springboro Community City School District General Obligation Unlimited Bonds, 5.250%, 12/1/23 
   
617,675
 
     
State of Ohio General Obligation Unlimited Bonds, Series A, Prefunded 3/01/18 @ 100:
       
 
365,000
 
5.375%, 9/1/28 (d)
   
393,112
 
 
635,000
 
5.375%, 9/1/28 (d)
   
684,460
 
 
6,900,000
 
State of Ohio General Obligation Unlimited Bonds, Series S, 5.000%, 5/1/28 
   
8,987,319
 
 
1,000,000
 
Wright State University Revenue Bonds, 4.000%, 5/1/18 
   
1,057,860
 
     
 
   
62,096,051
 
     
Pennsylvania-0.9%
       
     
Commonwealth of Pennsylvania General Obligation Unlimited Bonds, First Series:
       
 
20,000,000
 
5.000%, 6/1/24
   
23,990,000
 
 
12,005,000
 
5.000%, 3/15/25 
   
15,038,904
 
     
 
   
39,028,904
 
     
Tennessee-0.2%
       
 
5,000,000
 
Metropolitan Government of Nashville & Davidson County TN General Obligation Unlimited Bonds, Series C, 4.000%, 7/1/24 
   
6,004,100
 
 
See Notes to Financial Statements.

20
www.jamesfunds.com

James Balanced: Golden Rainbow Fund
Schedule of Investments

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Texas-0.6%
     
$
1,000,000
 
Friendswood Independent School District General Obligation Unlimited Bonds (Schoolhouse), Prefunded 2/15/18 @ 100, 5.000%, 2/15/37 (d)
 
$
1,070,820
 
 
5,000,000
 
Houston Texas Independent School District General Obligation Limited Bonds, Series A, 5.000%, 2/15/28 
   
6,451,750
 
 
1,000,000
 
Judson Independent School District General Obligation Unlimited Bonds (School Building), Prefunded 2/01/17 @ 100, 5.000%, 2/1/37 (d)
   
1,025,380
 
 
500,000
 
Lamar Consolidated Independent School District General Obligation Unlimited Bonds (Schoolhouse), Prefunded 2/15/17 @ 100, 5.000%, 2/15/38 (d)
   
513,400
 
 
5,335,000
 
Port of Houston Authority General Obligation Unlimited Bonds, Series D-1, 5.000%, 10/1/35 
   
6,172,968
 
 
7,620,000
 
Referendum Transportation Community Mobility General Obligation Unlimited Bonds, Series A, 5.000%, 10/1/25 
   
9,957,968
 
 
475,000
 
Tyler Independent School District General Obligation Unlimited Bonds, Prefunded 2/15/18 @ 100, 5.000%, 2/15/34 (d)
   
507,842
 
 
525,000
 
Tyler Independent School District General Obligation Unlimited Bonds, Unrefunded Portion, 5.000%, 2/15/34 
   
561,141
 
     
 
   
26,261,269
 
     
Washington-0.3%
       
 
5,000,000
 
State of Washington General Obligation Unlimited Bonds, Series D, 4.000%, 2/1/37 
   
5,433,700
 
 
5,845,000
 
State of Washington General Obligation Various Purpose Unlimited Bonds, Series D, 5.000%, 2/1/20 
   
6,678,263
 
     
 
   
12,111,963
 
     
Wisconsin-0.1%
       
 
5,000,000
 
State of Wisconsin General Obligation Unlimited Bonds, Series C, Prefunded 5/1/21 @ 100, 5.000%, 5/1/25 (d)
   
5,949,050
 
     
 
       
TOTAL MUNICIPAL BONDS
(Cost $191,999,280)
   
203,355,589
 
             
SHORT TERM INVESTMENTS-3.3%
 
     
Mutual Funds-3.3%
       
 
143,414,502
 
First American Government Obligations Fund, Class Y, 7-Day Yield 0.006%
   
143,414,502
 
     
 
       
TOTAL SHORT TERM INVESTMENTS
(Cost $143,414,502)
   
143,414,502
 
             
TOTAL INVESTMENT SECURITIES-101.6%
(Cost $4,005,875,715)
   
4,475,178,083
 
LIABILITIES IN EXCESS OF OTHER ASSETS-(1.6)%
   
(69,618,483
)
NET ASSETS-100.0%
 
$
4,405,559,600
 
 
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. Those definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of net assets.
 
* Non-income producing security.
(a) Less than 0.05% of Net Assets.
(b) Floating or variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016.
(c) Step coupon.  Coupon increases periodically based upon a predetermined schedule.  Interest rate disclosed is that which is in effect as of June 30, 2016.
(d) Prefunded Issues are bonds which are prerefunded and collateralized by U.S. Treasury securities held in escrow and used to pay principal and interest on tax exempt issues and to retire the bonds in full at the earliest refunding date.
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016  
21

Schedule of Investments
James Balanced: Golden Rainbow Fund

June 30, 2016
 
AUD - Australian Dollar
CAD - Canadian Dollar
NZD - New Zealand Dollar
SGD - Singapore Dollar
 
See Notes to Financial Statements.

22
www.jamesfunds.com

James Small Cap Fund
Schedule of Investments

June 30, 2016
 
Shares
 
Value
 
COMMON STOCKS-98.6%
 
   
Basic Materials-14.8%
     
 
1,663
 
AEP Industries, Inc.
 
$
133,805
 
 
13,875
 
Ciner Resources LP
   
388,778
 
 
13,370
 
Cooper Tire & Rubber Co.
   
398,693
 
 
32,570
 
First Majestic Silver Corp.*
   
442,301
 
 
77,110
 
Hecla Mining Co.
   
393,261
 
 
36,780
 
Innospec, Inc.
   
1,691,512
 
 
99,080
 
Lydall, Inc.*
   
3,820,525
 
 
35,460
 
Neenah Paper, Inc.
   
2,566,240
 
 
49,380
 
Novagold Resources, Inc.*
   
302,206
 
 
21,500
 
Pan American Silver Corp.
   
353,675
 
 
152,645
 
Richmont Mines, Inc.*
   
1,405,860
 
 
6,260
 
Universal Forest Products, Inc.
   
580,239
 
         
12,477,095
 
             
     
Consumer, Cyclical-11.2%
       
 
3,450
 
Big Lots, Inc.
   
172,879
 
 
20,220
 
Cato Corp., Class A
   
762,698
 
 
24,775
 
Express, Inc.*
   
359,485
 
 
35,174
 
Flexsteel Industries, Inc.
   
1,393,594
 
 
38,900
 
Hawaiian Holdings, Inc.*
   
1,476,644
 
 
65,487
 
Insight Enterprises, Inc.*
   
1,702,662
 
 
4,670
 
Meritage Homes Corp.*
   
175,312
 
 
32,340
 
Patrick Industries, Inc.*
   
1,949,779
 
 
56,450
 
PC Connection, Inc.
   
1,343,510
 
 
3,730
 
Wayside Technology Group, Inc.
   
67,364
 
         
9,403,927
 
             
     
Consumer, Non-cyclical-16.4%
       
 
20,335
 
Cal-Maine Foods, Inc.
   
901,247
 
 
7,910
 
Coca-Cola Bottling Co. Consolidated
   
1,166,488
 
 
51,035
 
Convergys Corp.
   
1,275,875
 
 
24,930
 
Helen of Troy, Ltd.*
   
2,563,801
 
 
21,445
 
Ingles Markets, Inc., Class A
   
799,899
 
 
21,709
 
John B Sanfilippo & Son, Inc.
   
925,455
 
 
46,762
 
National HealthCare Corp.
   
3,027,372
 
 
32,963
 
Natural Health Trends Corp.
   
929,227
 
 
28,690
 
Omega Protein Corp.*
   
573,513
 
 
11,655
 
Sanderson Farms, Inc.
   
1,009,789
 
 
33,370
 
Superior Uniform Group, Inc.
   
637,033
 
         
13,809,699
 
             
     
Energy-3.3%
       
 
7,045
 
Matrix Service Co.*
   
116,172
 
 
139,030
 
McDermott International, Inc.*
   
686,808
 
 
6,590
 
Noble Corp. PLC
   
54,302
 
 
6,595
 
PBF Energy, Inc., Class A
   
156,829
 
 
6,470
 
Rowan Cos., PLC, Class A
   
114,260
 
 
136,433
 
Star Gas Partners LP
   
1,211,525
 
 
8,345
 
World Fuel Services Corp.
   
396,304
 
         
2,736,200
 
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016  
23

Schedule of Investments
James Small Cap Fund

June 30, 2016
 
Shares
 
Value
 
   
Financial-15.8%
     
 
40,155
 
Aircastle, Ltd.
 
$
785,432
 
 
42,832
 
Argo Group International Holdings, Ltd.
   
2,222,970
 
 
45,385
 
Aspen Insurance Holdings, Ltd.
   
2,104,956
 
 
14,960
 
Brandywine Realty Trust, REIT
   
251,328
 
 
29,936
 
ePlus, Inc.*
   
2,448,466
 
 
9,040
 
Government Properties Income Trust, REIT
   
208,462
 
 
15,850
 
Hanover Insurance Group, Inc.
   
1,341,227
 
 
9,300
 
LTC Properties, Inc., REIT
   
481,089
 
 
78,471
 
MainSource Financial Group, Inc.
   
1,730,286
 
 
3,340
 
MutualFirst Financial, Inc.
   
91,349
 
 
42,625
 
Premier Financial Bancorp, Inc.
   
718,231
 
 
24,560
 
Prospect Capital Corp.
   
192,059
 
 
35,253
 
Reading International, Inc., Class A*
   
440,310
 
 
20,040
 
Sunstone Hotel Investors, Inc., REIT
   
241,883
 
 
4,760
 
Whitestone, REIT
   
71,781
 
         
13,329,829
 
             
     
Industrial-6.2%
       
 
8,223
 
Aegion Corp.*
   
160,431
 
 
2,687
 
Alamo Group, Inc.
   
177,261
 
 
10,165
 
American Woodmark Corp.*
   
674,753
 
 
29,100
 
Costamare, Inc.
   
223,197
 
 
27,730
 
Covenant Transportation Group, Inc., Class A*
   
501,081
 
 
86,430
 
Headwaters, Inc.*
   
1,550,554
 
 
12,500
 
Ship Finance International, Ltd.
   
184,250
 
 
45,080
 
Smith & Wesson Holding Corp.*
   
1,225,275
 
 
2,668
 
Strattec Security Corp.
   
108,774
 
 
8,270
 
Tenneco, Inc.*
   
385,465
 
         
5,191,041
 
             
     
Technology-18.4%
       
 
43,735
 
Cardtronics PLC*
   
1,741,090
 
 
38,430
 
Cohu, Inc.
   
416,965
 
 
17,335
 
CSG Systems International, Inc.
   
698,774
 
 
38,603
 
Deluxe Corp.
   
2,562,081
 
 
27,982
 
FormFactor, Inc.*
   
251,557
 
 
40,940
 
Leidos Holdings, Inc.
   
1,959,798
 
 
68,660
 
NCI, Inc., Class A
   
964,673
 
 
30,640
 
NeuStar, Inc., Class A*
   
720,346
 
 
147,430
 
Orbotech, Ltd.*
   
3,766,837
 
 
25,885
 
SYNNEX Corp.
   
2,454,416
 
         
15,536,537
 
             
     
Utilities-12.5%
       
 
30,370
 
Avista Corp.
   
1,360,576
 
 
11,550
 
IDACORP, Inc.
   
939,593
 
 
24,890
 
Inteliquent, Inc.
   
495,062
 
 
59,555
 
PNM Resources, Inc.
   
2,110,629
 
 
62,870
 
Portland General Electric Co.
   
2,773,824
 
 
5,398
 
Spark Energy, Inc., Class A
   
178,404
 
 
See Notes to Financial Statements.

24
www.jamesfunds.com

James Small Cap Fund
Schedule of Investments

June 30, 2016
 
Shares
 
Value
 
   
Utilities (continued)
     
 
433,408
 
Vonage Holdings Corp.*
 
$
2,643,789
 
         
10,501,877
 
             
TOTAL COMMON STOCKS
(Cost $62,359,842)
   
82,986,205
 
             
SHORT TERM INVESTMENTS-1.7%
 
     
Mutual Funds-1.7%
       
 
1,473,421
 
First American Government Obligations Fund, Class Y, 7-Day Yield 0.006%
   
1,473,421
 
     
 
       
TOTAL SHORT TERM INVESTMENTS
(Cost $1,473,421)
   
1,473,421
 
             
TOTAL INVESTMENT SECURITIES-100.3%
(Cost $63,833,263)
   
84,459,626
 
LIABILITIES IN EXCESS OF OTHER ASSETS-(0.3)%
   
(233,961
)
NET ASSETS-100.0%
 
$
84,225,665
 

For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. Those definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of net assets.

*
Non-income producing security.
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016  
25
 

Schedule of Investments
James Mid Cap Fund

June 30, 2016
 
Shares
 
Value
 
COMMON STOCKS-93.7%
 
   
Basic Materials-12.9%
     
 
3,500
 
Agnico Eagle Mines, Ltd.
 
$
187,250
 
 
7,500
 
Avery Dennison Corp.
   
560,625
 
 
5,000
 
Celanese Corp., Series A
   
327,250
 
 
12,000
 
Goodyear Tire & Rubber Co.
   
307,920
 
 
12,000
 
Silver Wheaton Corp.
   
282,360
 
 
2,000
 
Universal Forest Products, Inc.
   
185,380
 
         
1,850,785
 
             
     
Consumer, Cyclical-12.0%
       
 
6,000
 
Alaska Air Group, Inc.
   
349,740
 
 
6,500
 
Foot Locker, Inc.
   
356,590
 
 
10,000
 
Hawaiian Holdings, Inc.*
   
379,600
 
 
5,000
 
Skechers U.S.A., Inc., Class A*
   
148,600
 
 
10,000
 
Vista Outdoor, Inc.*
   
477,300
 
         
1,711,830
 
             
     
Consumer, Non-cyclical-12.4%
       
 
20,000
 
Convergys Corp.
   
500,000
 
 
6,000
 
Helen of Troy, Ltd.*
   
617,040
 
 
3,500
 
Ingredion, Inc.
   
452,935
 
 
2,400
 
Toro Co.
   
211,680
 
         
1,781,655
 
             
     
Energy-5.4%
       
 
60,000
 
McDermott International, Inc.*
   
296,400
 
 
6,500
 
Newfield Exploration Co.*
   
287,170
 
 
2,500
 
Tesoro Corp.
   
187,300
 
         
770,870
 
             
     
Financial-16.0%
       
 
8,775
 
American Financial Group, Inc.
   
648,736
 
 
20,000
 
Annaly Capital Management, Inc., REIT
   
221,400
 
 
3,850
 
Argo Group International Holdings, Ltd.
   
199,815
 
 
4,000
 
Aspen Insurance Holdings, Ltd.
   
185,520
 
 
6,000
 
Brandywine Realty Trust, REIT
   
100,800
 
 
9,000
 
Chimera Investment Corp., REIT
   
141,300
 
 
6,000
 
First American Financial Corp.
   
241,320
 
 
5,000
 
Government Properties Income Trust, REIT
   
115,300
 
 
2,000
 
LTC Properties, Inc., REIT
   
103,460
 
 
7,000
 
Validus Holdings, Ltd.
   
340,130
 
         
2,297,781
 
             
     
Industrial-7.3%
       
 
1,500
 
AMERCO
   
561,825
 
 
1,000
 
Huntington Ingalls Industries, Inc.
   
168,030
 
 
11,500
 
Smith & Wesson Holding Corp.*
   
312,570
 
         
1,042,425
 
             
     
Technology-16.4%
       
 
7,750
 
Arrow Electronics, Inc.*
   
479,725
 
 
7,000
 
Avnet, Inc.
   
283,570
 
 
See Notes to Financial Statements.
 

26
www.jamesfunds.com

James Mid Cap Fund
Schedule of Investments

June 30, 2016
 
Shares
 
Value
 
   
Technology (continued)
     
 
13,950
 
Deluxe Corp.
 
$
925,861
 
 
5,000
 
Orbital ATK, Inc.
   
425,700
 
 
2,500
 
SYNNEX Corp.
   
237,050
 
         
2,351,906
 
             
     
Utilities-11.3%
       
 
8,000
 
CenterPoint Energy, Inc.
   
192,000
 
 
12,000
 
CMS Energy Corp.
   
550,320
 
 
4,975
 
DTE Energy Co.
   
493,122
 
 
4,000
 
Portland General Electric Co.
   
176,480
 
 
4,500
 
UGI Corp.
   
203,625
 
         
1,615,547
 
             
TOTAL COMMON STOCKS
(Cost $9,186,383)
   
13,422,799
 
             
EXCHANGE TRADED FUNDS-1.6%
 
 
12,500
 
iShares® Silver Trust ETF*
   
223,375
 
     
 
       
TOTAL EXCHANGE TRADED FUNDS
(Cost $170,062)
   
223,375
 
             
SHORT TERM INVESTMENTS-4.7%
 
     
Mutual Funds-4.7%
       
 
674,438
 
First American Government Obligations Fund, Class Y, 7-Day Yield 0.006%
   
674,438
 
     
 
       
TOTAL SHORT TERM INVESTMENTS
(Cost $674,438)
   
674,438
 
             
TOTAL INVESTMENT SECURITIES-100.0%
(Cost $10,030,883)
   
14,320,612
 
OTHER ASSETS IN EXCESS OF LIABILITIES-0.0%(a)
   
5,036
 
NET ASSETS-100.0%
 
$
14,325,648
 
 
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. Those definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of net assets.
 
* Non-income producing security.
(a) Less than 0.05% of Net Assets.
 
See Notes to Financial Statements.
 

Annual Report  |  June 30, 2016
27

Schedule of Investments
James Micro Cap Fund

June 30, 2016
 
Shares
 
Value
 
COMMON STOCKS-92.9%
 
   
Basic Materials-10.2%
     
 
1,597
 
AEP Industries, Inc.
 
$
128,495
 
 
11,755
 
Ciner Resources LP
   
329,375
 
 
20,830
 
Lydall, Inc.*
   
803,205
 
 
156,790
 
Richmont Mines, Inc.*
   
1,444,036
 
         
2,705,111
 
             
     
Consumer, Cyclical-19.5%
       
 
8,200
 
Cato Corp., Class A
   
309,304
 
 
33,001
 
Flexsteel Industries, Inc.
   
1,307,500
 
 
12,185
 
Hawaiian Holdings, Inc.*
   
462,543
 
 
27,581
 
Patrick Industries, Inc.*
   
1,662,858
 
 
52,668
 
PC Connection, Inc.
   
1,253,498
 
 
9,140
 
Wabash National Corp.*
   
116,078
 
 
3,380
 
Wayside Technology Group, Inc.
   
61,043
 
         
5,172,824
 
             
     
Consumer, Non-cyclical-16.6%
       
 
6,850
 
Coca-Cola Bottling Co. Consolidated
   
1,010,170
 
 
13,930
 
Ingles Markets, Inc., Class A
   
519,589
 
 
20,852
 
John B Sanfilippo & Son, Inc.
   
888,921
 
 
28,038
 
Natural Health Trends Corp.
   
790,391
 
 
26,855
 
Omega Protein Corp.*
   
536,831
 
 
33,857
 
Superior Uniform Group, Inc.
   
646,330
 
         
4,392,232
 
             
     
Energy-3.8%
       
 
6,767
 
Matrix Service Co.*
   
111,588
 
 
98,941
 
Star Gas Partners LP
   
878,596
 
         
990,184
 
             
     
Financial-16.4%
       
 
11,120
 
Ares Commercial Real Estate Corp., REIT
   
136,665
 
 
25,580
 
Ashford Hospitality Trust, Inc., REIT
   
137,365
 
 
19,785
 
Dynex Capital, Inc., REIT
   
137,308
 
 
18,568
 
ePlus, Inc.*
   
1,518,677
 
 
6,505
 
Getty Realty Corp., REIT
   
139,532
 
 
58,813
 
MainSource Financial Group, Inc.
   
1,296,827
 
 
2,955
 
MutualFirst Financial, Inc.
   
80,819
 
 
6,350
 
National Storage Affiliates Trust, REIT
   
132,207
 
 
20,370
 
Premier Financial Bancorp, Inc.
   
343,234
 
 
28,839
 
Reading International, Inc., Class A*
   
360,199
 
 
4,740
 
Whitestone, REIT
   
71,479
 
         
4,354,312
 
             
     
Industrial-11.4%
       
 
15,498
 
Aegion Corp.*
   
302,366
 
 
2,581
 
Alamo Group, Inc.
   
170,268
 
 
6,870
 
American Woodmark Corp.*
   
456,030
 
 
28,880
 
Costamare, Inc.
   
221,510
 
 
25,955
 
Covenant Transportation Group, Inc., Class A*
   
469,007
 
 
10,610
 
Culp, Inc.
   
293,154
 
 
See Notes to Financial Statements.
 

28
www.jamesfunds.com

James Micro Cap Fund
Schedule of Investments

June 30, 2016
 
Shares
 
Value
 
   
Industrial (continued)
     
 
23,900
 
DHT Holdings, Inc.
 
$
120,217
 
 
18,160
 
Gener8 Maritime, Inc.*
   
116,224
 
 
18,855
 
Global Brass & Copper Holdings, Inc.
   
514,553
 
 
2,740
 
Strattec Security Corp.
   
111,710
 
 
4,905
 
Superior Industries International, Inc.
   
131,356
 
 
36,860
 
Teekay Tankers, Ltd., Class A
   
109,843
 
         
3,016,238
 
             
     
Technology-11.0%
       
 
47,075
 
Cohu, Inc.
   
510,764
 
 
21,895
 
FormFactor, Inc.*
   
196,840
 
 
63,855
 
NCI, Inc., Class A
   
897,163
 
 
51,341
 
Orbotech, Ltd.*
   
1,311,762
 
         
2,916,529
 
             
     
Utilities-4.0%
       
 
12,445
 
Inteliquent, Inc.
   
247,531
 
 
13,025
 
Spark Energy, Inc., Class A
   
430,476
 
 
63,035
 
Vonage Holdings Corp.*
   
384,514
 
         
1,062,521
 
             
TOTAL COMMON STOCKS
(Cost $18,636,282)
   
24,609,951
 
             
SHORT TERM INVESTMENTS-7.2%
 
     
Mutual Funds-7.2%
       
 
1,918,955
 
First American Government Obligations Fund, Class Y, 7-Day Yield 0.006%
   
1,918,955
 
     
 
       
TOTAL SHORT TERM INVESTMENTS
(Cost $1,918,955)
   
1,918,955
 
             
TOTAL INVESTMENT SECURITIES-100.1%
(Cost $20,555,237)
   
26,528,906
 
LIABILITIES IN EXCESS OF OTHER ASSETS-(0.1)%
   
(14,344
)
NET ASSETS-100.0%
 
$
26,514,562
 

For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. Those definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of net assets. 
 
* Non-income producing security.
 
See Notes to Financial Statements.
 

Annual Report  |  June 30, 2016
29

Schedule of Investments
James Aggressive Allocation Fund

June 30, 2016
 
Shares or Principal Amount
 
Value
 
COMMON STOCKS-72.1%
 
   
Basic Materials-6.0%
     
 
1,600
 
Celanese Corp., Series A
 
$
104,720
 
 
1,500
 
Neenah Paper, Inc.
   
108,555
 
 
700
 
PPG Industries, Inc.
   
72,905
 
 
3,000
 
Silver Wheaton Corp.
   
70,590
 
 
800
 
Universal Forest Products, Inc.
   
74,152
 
         
430,922
 
             
     
Consumer, Cyclical-10.9%
       
 
2,000
 
Big Lots, Inc.
   
100,220
 
 
700
 
CVS Health Corp.
   
67,018
 
 
2,500
 
Delta Air Lines, Inc.
   
91,075
 
 
5,500
 
Express, Inc.*
   
79,805
 
 
2,000
 
Foot Locker, Inc.
   
109,719
 
 
7,000
 
Ford Motor Co.
   
87,990
 
 
650
 
Home Depot, Inc.
   
82,999
 
 
1,400
 
Southwest Airlines Co.
   
54,894
 
 
1,000
 
Tata Motors, Ltd., Sponsored ADR*
   
34,670
 
 
1,000
 
Wyndham Worldwide Corp.
   
71,230
 
         
779,620
 
             
     
Consumer, Non-cyclical-7.9%
       
 
3,000
 
Convergys Corp.
   
75,000
 
 
650
 
Dr Pepper Snapple Group, Inc.
   
62,810
 
 
800
 
Helen of Troy, Ltd.*
   
82,272
 
 
1,400
 
Kroger Co.
   
51,506
 
 
1,793
 
Newell Rubbermaid, Inc.
   
87,086
 
 
2,750
 
Pfizer, Inc.
   
96,828
 
 
800
 
UnitedHealth Group, Inc.
   
112,960
 
         
568,462
 
             
     
Energy-7.3%
       
 
1,000
 
Chevron Corp.
   
104,830
 
 
1,300
 
Exxon Mobil Corp.
   
121,862
 
 
30,000
 
McDermott International, Inc.*
   
148,199
 
 
3,200
 
Newfield Exploration Co.*
   
141,376
 
         
516,267
 
             
     
Financial-10.8%
       
 
1,250
 
American Financial Group, Inc.
   
92,413
 
 
1,200
 
Bank of Montreal
   
76,068
 
 
2,000
 
BBVA Banco Frances SA, ADR
   
41,260
 
 
750
 
Chubb, Ltd.
   
98,032
 
 
5,000
 
Government Properties Income Trust, REIT
   
115,300
 
 
1,200
 
Grupo Financiero Galicia SA, ADR
   
36,648
 
 
2,000
 
JPMorgan Chase & Co.
   
124,280
 
 
800
 
Travelers Cos., Inc.
   
95,232
 
 
3,000
 
Unum Group
   
95,370
 
         
774,603
 
             
     
Industrial-8.1%
       
 
900
 
American Woodmark Corp.*
   
59,742
 
 
See Notes to Financial Statements.
 

30
www.jamesfunds.com

James Aggressive Allocation Fund
Schedule of Investments

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Industrial (continued)
     
 
650
 
FedEx Corp.
 
$
98,657
 
 
1,200
 
Huntington Ingalls Industries, Inc.
   
201,636
 
 
2,150
 
Sonoco Products Co.
   
106,769
 
 
1,750
 
United Rentals, Inc.*
   
117,425
 
         
584,229
 
             
     
Technology-13.2%
       
 
10,000
 
ACCO Brands Corp.*
   
103,300
 
 
2,000
 
Arrow Electronics, Inc.*
   
123,800
 
 
3,000
 
Cisco Systems, Inc.
   
86,070
 
 
4,000
 
Corning, Inc.
   
81,920
 
 
2,000
 
Ebix, Inc.
   
95,800
 
 
2,000
 
Leidos Holdings, Inc.
   
95,740
 
 
325
 
Lockheed Martin Corp.
   
80,655
 
 
600
 
Northrop Grumman Corp.
   
133,368
 
 
1,300
 
Orbital ATK, Inc.
   
110,682
 
 
3,000
 
Wipro, Ltd., ADR
   
37,080
 
         
948,415
 
             
     
Utilities-7.9%
       
 
2,000
 
American Electric Power Co., Inc.
   
140,180
 
 
3,000
 
AT&T, Inc.
   
129,630
 
 
2,400
 
Avista Corp.
   
107,520
 
 
1,000
 
Pampa Energia SA, Sponsored ADR*
   
27,340
 
 
1,500
 
Pinnacle West Capital Corp.
   
121,590
 
 
2,000
 
Telecom Argentina SA, Sponsored ADR
   
36,660
 
         
562,920
 
             
TOTAL COMMON STOCKS
(Cost $4,828,834)
   
5,165,438
 
             
CLOSED-END FUNDS-1.5%
 
 
4,500
 
Aberdeen Chile Fund, Inc.
   
28,125
 
 
10,000
 
BlackRock Resources & Commodities Strategy Trust
   
77,000
 
     
 
       
TOTAL CLOSED-END FUNDS
(Cost $101,150)
   
105,125
 
             
EXCHANGE TRADED FUNDS-2.2%
 
 
1,000
 
Global X MSCI Argentina ETF
   
22,300
 
 
1,000
 
iShares® MSCI All Peru Capped ETF
   
30,890
 
 
655
 
iShares® MSCI Ireland Capped ETF
   
23,541
 
 
1,800
 
VanEck Vectors Agribusiness ETF
   
86,418
 
     
 
       
TOTAL EXCHANGE TRADED FUNDS
(Cost $154,717)
   
163,149
 
             
U.S. GOVERNMENT AGENCIES-1.4%
 
     
Federal Farm Credit Banks-1.4%
       
$
50,000
 
3.170%, 7/21/25 
   
50,052
 
 
See Notes to Financial Statements.
 

Annual Report  |  June 30, 2016
31

Schedule of Investments
James Aggressive Allocation Fund

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Federal Farm Credit Banks (continued)
     
$
50,000
 
3.500%, 9/14/29 
 
$
50,301
 
     
 
   
100,353
 
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $99,900)
   
100,353
 
             
U.S. TREASURY BONDS & NOTES-20.5%
 
     
U.S. Treasury Inflation Indexed Bonds-7.8%
       
$
530,700
 
0.625%, 7/15/21
   
558,734
 
     
 
       
     
U.S. Treasury Notes-12.7%
       
 
500,000
 
1.375%, 9/30/20
   
509,180
 
 
400,000
 
1.125%, 2/28/21
   
402,844
 
     
 
   
912,024
 
TOTAL U.S. TREASURY BONDS & NOTES
(Cost $1,452,647)
   
1,470,758
 
             
SHORT TERM INVESTMENTS-4.2%
 
     
Mutual Funds-4.2%
       
 
299,897
 
First American Government Obligations Fund, Class Y, 7-Day Yield 0.257%
   
299,897
 
     
 
       
TOTAL SHORT TERM INVESTMENTS
(Cost $299,897)
   
299,897
 
             
TOTAL INVESTMENT SECURITIES-101.9%
(Cost $6,937,145)
   
7,304,720
 
LIABILITIES IN EXCESS OF OTHER ASSETS-(1.9)%
   
(133,088
)
NET ASSETS-100.0%
 
$
7,171,632
 
 
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. Those definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of net assets.
 
* Non-income producing security.
 
See Notes to Financial Statements.
 

32
www.jamesfunds.com

James Long-Short Fund
Schedule of Investments

June 30, 2016
 
Shares or Principal Amount
 
Value
 
COMMON STOCKS-96.6%
 
   
Basic Materials-14.0%
     
 
11,690
 
Avery Dennison Corp.
 
$
873,828
 
 
12,840
 
Barrick Gold Corp.
   
274,134
 
 
11,250
 
Celanese Corp., Series A(a)
   
736,313
 
 
6,550
 
Cooper Tire & Rubber Co.(a)
   
195,321
 
 
17,790
 
Goodyear Tire & Rubber Co.(a)
   
456,491
 
 
11,990
 
Innospec, Inc.(a)
   
551,420
 
 
9,420
 
Lydall, Inc.*(a)
   
363,235
 
         
3,450,742
 
             
     
Consumer, Cyclical-10.0%
       
 
2,870
 
Alaska Air Group, Inc.(a)
   
167,292
 
 
7,440
 
Best Buy Co., Inc.
   
227,664
 
 
4,650
 
Big Lots, Inc.
   
233,011
 
 
15,080
 
Express, Inc.*
   
218,811
 
 
6,120
 
Meritage Homes Corp.*(a)
   
229,745
 
 
20,740
 
RR Donnelley & Sons Co.
   
350,921
 
 
15,320
 
Skechers U.S.A., Inc., Class A*(a)
   
455,310
 
 
15,080
 
Southwest Airlines Co.(a)
   
591,287
 
         
2,474,041
 
             
     
Consumer, Non-cyclical-23.9%
       
 
3,340
 
Aetna, Inc.(a)
   
407,914
 
 
1,840
 
Anthem, Inc.
   
241,666
 
 
8,680
 
Dr Pepper Snapple Group, Inc.(a)
   
838,748
 
 
5,300
 
DST Systems, Inc.
   
617,079
 
 
9,040
 
Helen of Troy, Ltd.*(a)
   
929,674
 
 
21,160
 
Kroger Co.(a)
   
778,476
 
 
19,685
 
Pfizer, Inc.(a)
   
693,109
 
 
3,060
 
Sanderson Farms, Inc.
   
265,118
 
 
3,850
 
Toro Co.
   
339,570
 
 
5,650
 
UnitedHealth Group, Inc.(a)
   
797,780
 
         
5,909,134
 
             
     
Energy-5.3%
       
 
10,710
 
BP PLC, Sponsored ADR
   
380,312
 
 
4,575
 
Exxon Mobil Corp.
   
428,861
 
 
2,190
 
HollyFrontier Corp.
   
52,056
 
 
6,120
 
Newfield Exploration Co.*
   
270,382
 
 
3,380
 
Valero Energy Corp.(a)
   
172,380
 
         
1,303,991
 
             
     
Financial-11.1%
       
 
19,560
 
AmTrust Financial Services, Inc.
   
479,220
 
 
1,960
 
Chubb, Ltd.
   
256,191
 
 
9,750
 
Fifth Third Bancorp
   
171,502
 
 
8,140
 
JPMorgan Chase & Co.(a)
   
505,820
 
 
5,830
 
PNC Financial Services Group, Inc.(a)
   
474,504
 
 
7,200
 
Travelers Cos., Inc.(a)
   
857,088
 
         
2,744,325
 
 
See Notes to Financial Statements.
 

Annual Report  |  June 30, 2016
33

Schedule of Investments
James Long-Short Fund

June 30, 2016
 
Shares or Principal Amount
 
Value
 
   
Industrial-10.1%
     
 
1,410
 
AMERCO(a)
 
$
528,115
 
 
1,500
 
FedEx Corp.
   
227,670
 
 
3,540
 
Magna International, Inc.(a)
   
124,148
 
 
5,160
 
Republic Services, Inc.
   
264,760
 
 
29,210
 
Smith & Wesson Holding Corp.*(a)
   
793,928
 
 
6,720
 
Sonoco Products Co.(a)
   
333,715
 
 
50,470
 
Tsakos Energy Navigation, Ltd.(a)
   
236,704
 
         
2,509,040
 
             
     
Technology-11.7%
       
 
2,550
 
Apple, Inc.
   
243,780
 
 
6,625
 
Deluxe Corp.(a)
   
439,701
 
 
1,680
 
International Business Machines Corp.
   
254,991
 
 
2,455
 
Lockheed Martin Corp.(a)
   
609,257
 
 
4,620
 
Northrop Grumman Corp.(a)
   
1,026,934
 
 
6,010
 
WESCO International, Inc.*
   
309,455
 
         
2,884,118
 
             
     
Utilities-10.5%
       
 
2,590
 
American Electric Power Co., Inc.(a)
   
181,533
 
 
11,180
 
CenterPoint Energy, Inc.
   
268,320
 
 
7,040
 
Edison International(a)
   
546,797
 
 
14,745
 
PNM Resources, Inc.(a)
   
522,563
 
 
9,810
 
Verizon Communications, Inc.
   
547,790
 
 
86,855
 
Vonage Holdings Corp.*(a)
   
529,816
 
         
2,596,819
 
             
TOTAL COMMON STOCKS
(Cost $19,280,689)
   
23,872,210
 
             
EXCHANGE TRADED FUNDS-2.8%
 
 
6,060
 
iShares® MSCI Ireland Capped ETF
   
217,796
 
 
2,090
 
SPDR® Gold Shares ETF*
   
264,427
 
 
4,970
 
VanEck Vectors® Junior Gold Miners ETF
   
211,821
 
     
 
       
TOTAL EXCHANGE TRADED FUNDS
(Cost $607,228)
   
694,044
 
 
See Notes to Financial Statements.
 

34
www.jamesfunds.com

James Long-Short Fund
Schedule of Investments

June 30, 2016
 
Shares or Principal Amount
 
Value
 
SHORT TERM INVESTMENTS-28.7%
 
   
Mutual Funds-28.7%
     
 
7,082,545
 
First American Government Obligations Fund, Class Y, 7-Day Yield 0.006%
 
$
7,082,545
 
     
 
       
TOTAL SHORT TERM INVESTMENTS
(Cost $7,082,545)
   
7,082,545
 
             
TOTAL INVESTMENT SECURITIES-128.1%
(Cost $26,970,462)
   
31,648,799
 
SECURITIES SOLD SHORT-0.0%(b)
(Proceeds $10,984)
   
(11,705
)
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS-(28.1)%
   
(6,932,579
)
NET ASSETS-100.0%
 
$
24,704,515
 
 
Shares
 
Value
 
SCHEDULE OF SECURITIES SOLD SHORT
COMMON STOCKS-0.0%(b)
 
   
Technology-0.0%(b)
     
 
(1,275
)
Brocade Communications Systems, Inc.
 
$
(11,705
)
   
TOTAL COMMON STOCKS SOLD SHORT
   
(11,705
)
(Proceeds $10,984)
       
             
TOTAL SECURITIES SOLD SHORT-0.0%(b)
(Proceeds $10,984)
 
$
(11,705
)
 
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. Those definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of net assets.
 
*
Non-income producing security.
(a) Security position is either entirely or partially held in a segregated account as collateral for securities sold short, aggregating a total security position market value of $11,592,817.
(b) Less than 0.05% of Net Assets.
 
See Notes to Financial Statements.
 

Annual Report  |  June 30, 2016
35

Statements of Assets and Liabilities
James Advantage Funds

June 30, 2016
 
 
James Balanced: Golden Rainbow Fund
   
James Small Cap Fund
   
James Mid Cap Fund
   
James Micro Cap Fund
   
James Aggressive Allocation Fund
   
James Long-Short Fund
 
ASSETS:
                                   
 
                                   
Investment securities:
                                   
At cost
 
$
4,005,875,715
   
$
63,833,263
   
$
10,030,883
   
$
20,555,237
   
$
6,937,145
   
$
26,970,462
 
At value
 
$
4,475,178,083
   
$
84,459,626
   
$
14,320,612
   
$
26,528,906
   
$
7,304,720
   
$
31,648,799
 
Cash
   
64,566
     
     
2,450
     
     
     
 
Dividends and interest receivable
   
13,300,918
     
58,415
     
19,682
     
20,675
     
7,926
     
18,999
 
Receivable for securities sold
   
33,071,921
     
     
     
     
     
 
Receivable for capital shares sold
   
2,856,545
     
96,320
     
100
     
114,950
     
50,000
     
100
 
Other assets
   
88,421
     
     
     
     
     
 
Total Assets
   
4,524,560,454
     
84,614,361
     
14,342,844
     
26,664,531
     
7,362,646
     
31,667,898
 
 
                                               
LIABILITIES:
                                               
 
                                               
Payable due to broker for short sales closed
   
     
     
     
     
     
6,920,568
 
Payable for securities sold short (proceeds $0, $0, $0, $0, $0 and $10,984, respectively)
   
     
     
     
     
     
11,705
 
Payable for dividends on securities sold short
   
     
     
     
     
     
1,107
 
Payable for capital shares redeemed
   
13,267,699
     
63,549
     
     
     
     
 
Payable for securities purchased
   
102,354,010
     
221,410
     
     
117,781
     
185,507
     
 
Payable for distributions
   
70
     
     
     
     
     
 
Accrued expenses:
                                               
Management fees
   
2,306,192
     
86,388
     
14,321
     
32,188
     
5,507
     
24,987
 
12b-1 distribution and service fees
   
595,057
     
17,349
     
2,875
     
     
     
5,016
 
Other payables
   
477,826
     
     
     
     
     
 
Total Liabilities
   
119,000,854
     
388,696
     
17,196
     
149,969
     
191,014
     
6,963,383
 
Net Assets
 
$
4,405,559,600
   
$
84,225,665
   
$
14,325,648
   
$
26,514,562
   
$
7,171,632
   
$
24,704,515
 
 
                                               
NET ASSETS CONSIST OF:
 
 
                                               
Paid-in capital
 
$
4,007,405,145
   
$
71,536,260
   
$
9,700,299
   
$
23,198,731
   
$
7,315,613
   
$
22,386,011
 
Accumulated net investment income/(loss)
   
8,370,344
     
(92,043
)
   
6,897
     
(97,981
)
   
22,902
     
(128,890
)
Accumulated net realized gain/(loss)
   
(79,523,685
)
   
(7,844,915
)
   
328,723
     
(2,559,857
)
   
(534,458
)
   
(2,230,222
)
Net unrealized appreciation
   
469,307,796
     
20,626,363
     
4,289,729
     
5,973,669
     
367,575
     
4,677,616
 
Net Assets
 
$
4,405,559,600
   
$
84,225,665
   
$
14,325,648
   
$
26,514,562
   
$
7,171,632
   
$
24,704,515
 
 
See Notes to Financial Statements.

36
www.jamesfunds.com

James Advantage Funds
Statements of Assets and Liabilities

June 30, 2016
 
    
 
James Balanced: Golden Rainbow Fund
   
James Small Cap Fund
   
James Mid Cap Fund
   
James Micro Cap Fund
   
James Aggressive Allocation Fund
   
James Long-Short Fund
 
PRICING OF RETAIL CLASS SHARES:
 
 
                                   
Net assets
 
$
2,892,809,094
     
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
Shares of beneficial interest outstanding (unlimited number of shares authorized,
no par)
   
119,852,016
     
N/A
 
    
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
Net assets value, offering price and redemption price per share
 
$
24.14
     
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
 
                                               
PRICING OF INSTITUTIONAL CLASS SHARES:
 
 
                                               
Net assets
 
$
1,512,750,506
     
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
Shares of beneficial interest outstanding (unlimited number of shares authorized,
no par)
   
63,308,247
     
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
Net assets value, offering price and redemption price per share
 
$
23.89
     
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
   
N/A
 
 
                                               
PRICING OF SHARES
                                               
 
                                               
Net assets
   
N/A
 
 
$
84,225,665
   
$
14,325,648
   
$
26,514,562
   
$
7,171,632
   
$
24,704,515
 
Shares of beneficial interest outstanding (unlimited number of shares authorized,
no par)
   
N/A
 
   
2,749,099
     
1,056,177
     
1,764,186
     
757,326
     
1,903,127
 
Net assets value, offering price and redemption price per share
   
N/A
 
 
$
30.64
   
$
13.56
   
$
15.03
   
$
9.47
   
$
12.98
 
 
See Notes to Financial Statements.

Annual Report | June 30, 2016
37

Statements of Operations
James Advantage Funds

For the Year Ended June 30, 2016
 
   
 
 
James Balanced: Golden Rainbow Fund
   
James Small Cap Fund
   
James Mid Cap Fund
   
James Micro Cap Fund
   
James Aggressive Allocation Fund(a)
   
James Long-Short Fund
 
INVESTMENT INCOME:
                                   
Dividends (Net of withholding taxes of $169,849, $40, $170, $–, $358 and $1,718, respectively)
 
$
45,699,747
   
$
2,171,885
   
$
365,047
   
$
329,859
   
$
70,024
   
$
500,075
 
Interest
   
41,203,865
     
1,169
     
     
1,535
     
20,701
     
 
Total Investment Income
   
86,903,612
     
2,173,054
     
365,047
     
331,394
     
90,725
     
500,075
 
EXPENSES:
 
Management fees
   
27,945,753
     
1,322,086
     
223,199
     
393,603
     
49,528
     
345,830
 
12b-1 distribution and service fees - Retail Class
   
7,401,415
     
     
     
     
     
 
12b-1 distribution and service fees
   
     
265,462
     
44,814
     
     
     
69,436
 
Dividend expense on securities sold short
   
     
     
     
     
     
68,607
 
Broker fees and charges on securities sold short
   
     
     
     
     
     
208,232
 
Administration fee
   
1,185,823
     
     
     
     
     
 
Transfer agent fee
   
376,695
     
     
     
     
     
 
Interest expense
   
     
127
     
33
     
     
     
123
 
Custodian fees
   
368,591
     
     
     
     
     
 
Professional fees
   
201,770
     
     
     
     
     
 
Trustee fees
   
199,491
     
5,224
     
875
     
1,198
     
170
     
1,348
 
Registration fees
   
256,074
     
     
     
     
     
 
Shareholder report printing and mailing
   
270,079
     
     
     
     
     
 
Other expenses
   
111,622
     
     
     
     
     
 
Total Expenses
   
38,317,313
     
1,592,899
     
268,921
     
394,801
     
49,698
     
693,576
 
Net Investment Income/(Loss)
   
48,586,299
     
580,155
     
96,126
     
(63,407
)
   
41,027
     
(193,501
)
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
 
Net realized gain/(loss) from:
                                               
Investments
   
(69,258,788
)
   
(7,871,318
)
   
328,256
     
(1,835,186
)
   
(534,928
)
   
(397,118
)
Securities sold short
   
     
     
     
     
     
625,430
 
Foreign currency transactions
   
(66,763
)
   
     
     
     
     
 
Long-term capital gain distributions from other investment companies
   
     
     
     
     
345
     
 
Total realized gain/(loss)
   
(69,325,551
)
   
(7,871,318
)
   
328,256
     
(1,835,186
)
   
(534,583
)
   
228,312
 
Net change in unrealized appreciation/(depreciation) on investments
   
(5,660,730
)
   
(3,461,143
)
   
(929,328
)
   
1,258,293
     
367,575
     
(687,147
)
Net change in unrealized appreciation on securities sold short
   
     
     
     
     
     
61,633
 
Net change in unrealized appreciation on foreign currency translation
   
49,372
     
     
     
     
     
 
Total change in unrealized appreciation/(depreciation)
   
(5,611,358
)
   
(3,461,143
)
   
(929,328
)
   
1,258,293
     
367,575
     
(625,514
)
Net Realized and Unrealized Loss on Investments
   
(74,936,909
)
   
(11,332,461
)
   
(601,072
)
   
(576,893
)
   
(167,008
)
   
(397,202
)
Net Decrease in Net Assets Resulting from Operations
 
$
(26,350,610
)
 
$
(10,752,306
)
 
$
(504,946
)
 
$
(640,300
)
 
$
(125,981
)
 
$
(590,703
)
 
(a)
Fund commenced operations on July 1, 2015.
 
See Notes to Financial Statements.

38
www.jamesfunds.com

James Balanced: Golden Rainbow Fund
Statements of Changes in Net Assets

 
  
 
For the
Year Ended
June 30, 2016
   
For the
Year Ended
June 30, 2015
 
FROM OPERATIONS:
 
 
           
Net investment income/(loss)
 
$
48,586,299
   
$
35,298,797
 
Net realized gain/(loss)
   
(69,325,551
)
   
105,279,369
 
Net change in unrealized appreciation/(depreciation)
   
(5,611,358
)
   
(30,759,773
)
Net Increase/(Decrease) in net assets resulting from operations
   
(26,350,610
)
   
109,818,393
 
 
               
DISTRIBUTIONS TO SHAREHOLDERS:
               
 
               
Retail Class Shares:
               
From net investment income
   
(28,056,929
)
   
(20,167,201
)
From net realized gain on investments
   
(52,436,229
)
   
(88,883,031
)
Institutional Class Shares:
               
From net investment income
   
(17,468,629
)
   
(11,369,896
)
From net realized gain on investments
   
(24,906,312
)
   
(35,788,504
)
Decrease in net assets from distributions to shareholders
   
(122,868,099
)
   
(156,208,632
)
 
               
CAPITAL SHARE TRANSACTIONS:
 
 
               
Retail Class Shares:
 
Proceeds from shares sold
   
798,326,471
     
1,083,291,781
 
Net asset value of shares issued in reinvestment of distributions to shareholders
   
78,274,626
     
106,212,553
 
Payments for shares redeemed
   
(853,387,658
)
   
(673,909,544
)
Net Increase in net assets from Retail Class capital share transactions
   
23,213,439
     
515,594,790
 
 
               
Institutional Class Shares:
 
Proceeds from shares sold
   
624,996,786
     
663,031,846
 
Net asset value of shares issued in reinvestment of distributions to shareholders
   
31,613,669
     
32,935,059
 
Payments for shares redeemed
   
(376,036,136
)
   
(213,184,051
)
Net Increase in net assets from Institutional Class capital share transactions
   
280,574,319
     
482,782,854
 
Total Increase in Net Assets
   
154,569,049
     
951,987,405
 
 
               
NET ASSETS:
 
 
               
Beginning of year
   
4,250,990,551
     
3,299,003,146
 
End of year
 
$
4,405,559,600
   
$
4,250,990,551
 
Accumulated Net Investment Income
 
$
8,370,344
   
$
73,489
 
See Notes to Financial Statements.

Annual Report | June 30, 2016
39


Statements of Changes in Net Assets
James Balanced: Golden Rainbow Fund

  
 
For the
Year Ended
June 30, 2016
   
For the
Year Ended
June 30, 2015
 
SUMMARY OF CAPITAL SHARE ACTIVITY:
 
 
           
Retail Class Shares:
           
Shares sold
   
32,952,333
     
43,126,510
 
Shares issued in reinvestment of distributions to shareholders
   
3,249,232
     
4,294,108
 
Shares redeemed
   
(35,477,042
)
   
(26,927,316
)
Net Increase in shares outstanding
   
724,523
     
20,493,302
 
Shares outstanding, beginning of period
   
119,127,493
     
98,634,191
 
Shares outstanding, end of period
   
119,852,016
     
119,127,493
 
 
               
Institutional Class Shares:
               
Shares sold
   
26,103,085
     
26,756,542
 
Shares issued in reinvestment of distributions to shareholders
   
1,325,565
     
1,342,995
 
Shares redeemed
   
(15,812,122
)
   
(8,578,394
)
Net Increase in shares outstanding
   
11,616,528
     
19,521,143
 
Shares outstanding, beginning of period
   
51,691,719
     
32,170,576
 
Shares outstanding, end of period
   
63,308,247
     
51,691,719
 
 
See Notes to Financial Statements.

40
www.jamesfunds.com

James Small Cap Fund
Statements of Changes in Net Assets

 
  
 
For the
Year Ended
June 30, 2016
   
For the
Year Ended
June 30, 2015
 
FROM OPERATIONS:
 
 
           
Net investment income/(loss)
 
$
580,155
   
$
63,755
 
Net realized gain/(loss)
   
(7,871,318
)
   
13,922,731
 
Net change in unrealized appreciation/(depreciation)
   
(3,461,143
)
   
(16,372,684
)
Net Decrease in net assets resulting from operations
   
(10,752,306
)
   
(2,386,198
)
 
               
DISTRIBUTIONS TO SHAREHOLDERS:
               
 
               
From net investment income
   
(517,833
)
   
 
From net realized gain on investments
   
(4,796,245
)
   
 
Decrease in net assets from distributions to shareholders
   
(5,314,078
)
   
 
 
               
CAPITAL SHARE TRANSACTIONS:
 
 
               
Proceeds from shares sold
   
49,359,102
     
19,950,230
 
Net asset value of shares issued in reinvestment of distributions to shareholders
   
4,858,141
     
 
Payments for shares redeemed
   
(79,070,682
)
   
(55,955,457
)
Net Decrease in net assets from capital share transactions
   
(24,853,439
)
   
(36,005,227
)
Total Decrease in Net Assets
   
(40,919,823
)
   
(38,391,425
)
 
               
NET ASSETS:
 
 
               
Beginning of year
   
125,145,488
     
163,536,913
 
End of year
 
$
84,225,665
   
$
125,145,488
 
Accumulated Net Investment Loss
 
$
(92,043
)
 
$
(160,754
)
 
               
SUMMARY OF CAPITAL SHARE ACTIVITY:
 
 
               
Shares sold
   
1,499,756
     
602,780
 
Shares issued in reinvestment of distributions to shareholders
   
148,790
     
 
Shares redeemed
   
(2,638,285
)
   
(1,690,399
)
Net Decrease in shares outstanding
   
(989,739
)
   
(1,087,619
)
Shares outstanding, beginning of period
   
3,738,838
     
4,826,457
 
Shares outstanding, end of period
   
2,749,099
     
3,738,838
 
 
See Notes to Financial Statements.

Annual Report | June 30, 2016
41

Statements of Changes in Net Assets
James Mid Cap Fund

 
  
 
For the
Year Ended
June 30, 2016
   
For the
Year Ended
June 30, 2015
 
FROM OPERATIONS:
 
 
           
Net investment income/(loss)
 
$
96,126
   
$
(24,974
)
Net realized gain/(loss)
   
328,256
     
1,310,582
 
Net change in unrealized appreciation/(depreciation)
   
(929,328
)
   
(1,497,518
)
Net Decrease in net assets resulting from operations
   
(504,946
)
   
(211,910
)
 
               
DISTRIBUTIONS TO SHAREHOLDERS:
               
 
               
From net investment income
   
(67,006
)
   
(8,282
)
From net realized gain on investments
   
(1,140,548
)
   
(1,523,309
)
Decrease in net assets from distributions to shareholders
   
(1,207,554
)
   
(1,531,591
)
 
               
CAPITAL SHARE TRANSACTIONS:
 
 
               
Proceeds from shares sold
   
2,250,018
     
5,839,177
 
Net asset value of shares issued in reinvestment of distributions to shareholders
   
1,167,652
     
1,395,032
 
Payments for shares redeemed
   
(8,569,249
)
   
(2,932,412
)
Net Increase/(Decrease) in net assets from capital share transactions
   
(5,151,579
)
   
4,301,797
 
Total Increase/(Decrease) in Net Assets
   
(6,864,079
)
   
2,558,296
 
 
               
NET ASSETS:
 
 
               
Beginning of year
   
21,189,727
     
18,631,431
 
End of year
 
$
14,325,648
   
$
21,189,727
 
Accumulated Net Investment Income/(Loss)
 
$
6,897
   
$
(21,753
)
 
               
SUMMARY OF CAPITAL SHARE ACTIVITY:
 
 
               
Shares sold
   
155,737
     
385,493
 
Shares issued in reinvestment of distributions to shareholders
   
83,563
     
96,071
 
Shares redeemed
   
(608,877
)
   
(190,331
)
Net Increase/(Decrease) in shares outstanding
   
(369,577
)
   
291,233
 
Shares outstanding, beginning of period
   
1,425,754
     
1,134,521
 
Shares outstanding, end of period
   
1,056,177
     
1,425,754
 
 
See Notes to Financial Statements.

42
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James Micro Cap Fund
Statements of Changes in Net Assets

 
  
 
For the
Year Ended
June 30, 2016
   
For the
Year Ended
June 30, 2015
 
FROM OPERATIONS:
 
 
           
Net investment income/(loss)
 
$
(63,407
)
 
$
69,593
 
Net realized gain/(loss)
   
(1,835,186
)
   
125,414
 
Net change in unrealized appreciation/(depreciation)
   
1,258,293
     
1,199,893
 
Net Increase/(Decrease) in net assets resulting from operations
   
(640,300
)
   
1,394,900
 
 
               
DISTRIBUTIONS TO SHAREHOLDERS:
               
 
               
From net investment income
   
(27,110
)
   
(28,924
)
From net realized gain on investments
   
     
(3,160,652
)
Decrease in net assets from distributions to shareholders
   
(27,110
)
   
(3,189,576
)
 
               
CAPITAL SHARE TRANSACTIONS:
 
 
               
Proceeds from shares sold
   
11,917,246
     
9,202,348
 
Net asset value of shares issued in reinvestment of distributions to shareholders
   
26,268
     
2,984,065
 
Payments for shares redeemed, net of redemption fees
   
(8,787,422
)
   
(2,621,653
)
Net Increase in net assets from capital share transactions
   
3,156,092
     
9,564,760
 
Total Increase in Net Assets
   
2,488,682
     
7,770,084
 
 
               
NET ASSETS:
 
 
               
Beginning of year
   
24,025,880
     
16,255,796
 
End of year
 
$
26,514,562
   
$
24,025,880
 
Accumulated Net Investment Loss
 
$
(97,981
)
 
$
(27,241
)
 
               
SUMMARY OF CAPITAL SHARE ACTIVITY:
 
 
               
Shares sold
   
785,068
     
606,052
 
Shares issued in reinvestment of distributions to shareholders
   
1,718
     
208,473
 
Shares redeemed
   
(612,860
)
   
(158,389
)
Net Increase in shares outstanding
   
173,926
     
656,136
 
Shares outstanding, beginning of period
   
1,590,260
     
934,124
 
Shares outstanding, end of period
   
1,764,186
     
1,590,260
 
 
See Notes to Financial Statements.

Annual Report | June 30, 2016
43


Statements of Changes in Net Assets
James Aggressive Allocation Fund

   
  
 
For the
Year Ended
June 30, 2016(a)
 
FROM OPERATIONS:
 
 
     
Net investment income/(loss)
 
$
41,027
 
Net realized gain/(loss)
   
(534,583
)
Net change in unrealized appreciation/(depreciation)
   
367,575
 
Net Decrease in net assets resulting from operations
   
(125,981
)
 
       
DISTRIBUTIONS TO SHAREHOLDERS:
       
 
       
From net investment income
   
(18,000
)
Decrease in net assets from distributions to shareholders
   
(18,000
)
 
       
CAPITAL SHARE TRANSACTIONS:
 
 
       
Proceeds from shares sold
   
7,734,959
 
Net asset value of shares issued in reinvestment of distributions to shareholders
   
17,190
 
Payments for shares redeemed
   
(436,536
)
Net Increase in net assets from capital share transactions
   
7,315,613
 
Total Increase in Net Assets
   
7,171,632
 
 
       
NET ASSETS:
 
 
       
Beginning of year
   
 
End of year
 
$
7,171,632
 
Accumulated Net Investment Income
 
$
22,902
 
 
       
SUMMARY OF CAPITAL SHARE ACTIVITY:
 
 
       
Shares sold
   
805,029
 
Shares issued in reinvestment of distributions to shareholders
   
1,873
 
Shares redeemed
   
(49,576
)
Net Increase in shares outstanding
   
757,326
 
Shares outstanding, beginning of period
   
 
Shares outstanding, end of period
   
757,326
 

(a) Fund commenced operations on July 1, 2015.
 
See Notes to Financial Statements.

44
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James Long-Short Fund
Statements of Changes in Net Assets

 
   
 
For the
Year Ended
June 30, 2016
   
For the
Year Ended
June 30, 2015
 
FROM OPERATIONS:
 
 
           
Net investment income/(loss)
 
$
(193,501
)
 
$
(286,084
)
Net realized gain/(loss)
   
228,312
     
(1,544,242
)
Net change in unrealized appreciation/(depreciation)
   
(625,514
)
   
349,528
 
Net Decrease in net assets resulting from operations
   
(590,703
)
   
(1,480,798
)
 
               
CAPITAL SHARE TRANSACTIONS:
 
 
               
Proceeds from shares sold
   
2,810,646
     
20,956,361
 
Payments for shares redeemed
   
(11,405,872
)
   
(9,031,159
)
Net Increase/(Decrease) in net assets from capital share transactions
   
(8,595,226
)
   
11,925,202
 
Total Increase/(Decrease) in Net Assets
   
(9,185,929
)
   
10,444,404
 
 
               
NET ASSETS:
 
 
               
Beginning of year
   
33,890,444
     
23,446,040
 
End of year
 
$
24,704,515
   
$
33,890,444
 
Accumulated Net Investment Loss
 
$
(128,890
)
 
$
(154,104
)
 
               
SUMMARY OF CAPITAL SHARE ACTIVITY:
 
 
               
Shares sold
   
211,922
     
1,516,178
 
Shares redeemed
   
(869,329
)
   
(654,209
)
Net Increase/(Decrease) in shares outstanding
   
(657,407
)
   
861,969
 
Shares outstanding, beginning of period
   
2,560,534
     
1,698,565
 
Shares outstanding, end of period
   
1,903,127
     
2,560,534
 
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016
45

Financial Highlights
James Balanced: Golden Rainbow Fund – Retail Class

For a share outstanding throughout the years indicated.
 
   
 
For the
Year Ended June 30, 2016
   
For the
Year Ended June 30, 2015
   
For the
Year Ended June 30, 2014
   
For the
Year Ended June 30, 2013
   
For the
Year Ended June 30, 2012
 
Net asset value - beginning of year
 
$
24.96
   
$
25.28
   
$
22.55
   
$
20.93
   
$
20.66
 
Income/(Loss) from investment operations:
 
Net investment income
   
0.25
(a) 
   
0.22
(a) 
   
0.24
(a) 
   
0.32
(a) 
   
0.25
 
Net realized and unrealized gain/(loss)
   
(0.41
)
   
0.49
     
2.96
     
1.75
     
0.55
 
Total from investment operations
   
(0.16
)
   
0.71
     
3.20
     
2.07
     
0.80
 
 
                                       
Less distributions:
                                       
From net investment income
   
(0.23
)
   
(0.18
)
   
(0.24
)
   
(0.30
)
   
(0.23
)
From net realized gain on investments
   
(0.43
)
   
(0.85
)
   
(0.23
)
   
(0.15
)
   
(0.30
)
Total distributions
   
(0.66
)
   
(1.03
)
   
(0.47
)
   
(0.45
)
   
(0.53
)
Net asset value at end of year
 
$
24.14
   
$
24.96
   
$
25.28
   
$
22.55
   
$
20.93
 
 
                                       
Total return
   
(0.64
)%
   
2.90
%
   
14.32
%
   
9.98
%
   
3.98
%
 
                                       
Net assets, end of year (in thousands)
 
$
2,892,809
   
$
2,973,350
   
$
2,493,030
   
$
1,735,736
   
$
1,249,228
 
 
                                       
Ratios/Supplemental Data:
 
Ratio of net expenses to average net assets
   
0.96
%
   
0.97
%
   
1.00
%
   
1.04
%
   
1.07
%
Ratio of net investment income to average net assets
   
1.03
%
   
0.87
%
   
0.99
%
   
1.45
%
   
1.26
%
Portfolio turnover rate
   
46
%
   
43
%
   
32
%
   
58
%
   
36
%
 
(a) Calculated using the average shares method.
 
See Notes to Financial Statements.

46
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James Balanced: Golden Rainbow Fund – Institutional Class
Financial Highlights

For a share outstanding throughout the years indicated.
 
  
 
For the
Year Ended June 30, 2016
   
For the
Year Ended June 30, 2015
   
For the
Year Ended June 30, 2014
   
For the
Year Ended June 30, 2013
   
For the
Year Ended June 30, 2012
 
Net asset value - beginning of year
 
$
24.72
   
$
25.05
   
$
22.35
   
$
20.81
   
$
20.61
 
Income/(Loss) from investment operations:
 
Net investment income
   
0.31
(a) 
   
0.28
(a) 
   
0.29
(a) 
   
0.38
(a) 
   
0.33
 
Net realized and unrealized gain/(loss)
   
(0.42
)
   
0.50
     
2.94
     
1.73
     
0.52
 
Total from investment operations
   
(0.11
)
   
0.78
     
3.23
     
2.11
     
0.85
 
 
                                       
Less distributions:
                                       
From net investment income
   
(0.29
)
   
(0.26
)
   
(0.30
)
   
(0.42
)
   
(0.35
)
From net realized gain on investments
   
(0.43
)
   
(0.85
)
   
(0.23
)
   
(0.15
)
   
(0.30
)
Total distributions
   
(0.72
)
   
(1.11
)
   
(0.53
)
   
(0.57
)
   
(0.65
)
Paid-in capital from redemption fees
   
     
     
     
0.00
(b) 
   
 
Net asset value at end of year
 
$
23.89
   
$
24.72
   
$
25.05
   
$
22.35
   
$
20.81
 
 
                                       
Total return
   
(0.43
)%
   
3.20
%
   
14.59
%
   
10.26
%
   
4.22
%
 
                                       
Net assets, end of year (in thousands)
 
$
1,512,751
   
$
1,277,641
   
$
805,973
   
$
555,766
   
$
304,731
 
 
                                       
Ratios/Supplemental Data:
 
Ratio of net expenses to average net assets
   
0.71
%
   
0.73
%
   
0.75
%
   
0.79
%
   
0.82
%
Ratio of net investment income to average net assets
   
1.28
%
   
1.11
%
   
1.24
%
   
1.71
%
   
1.52
%
Portfolio turnover rate
   
46
%
   
43
%
   
32
%
   
58
%
   
36
%
 
(a) Calculated using the average shares method.
(b) Amount rounds to less than $0.005 per share.
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016
47

Financial Highlights
James Small Cap Fund

For a share outstanding throughout the years indicated.
 
  
 
For the
Year Ended June 30, 2016
   
For the
Year Ended June 30, 2015
   
For the
Year Ended June 30, 2014
   
For the
Year Ended June 30, 2013
   
For the
Year Ended June 30, 2012
 
Net asset value - beginning of year
 
$
33.47
   
$
33.88
   
$
28.66
   
$
23.89
   
$
23.88
 
Income/(Loss) from investment operations:
 
Net investment income/(loss)
   
0.17
(a) 
   
0.01
(a) 
   
(0.00
)(a)(b)
   
0.36
(a) 
   
0.15
 
Net realized and unrealized gain/(loss)
   
(1.64
)
   
(0.42
)
   
6.12
     
4.92
     
(0.11
)
Total from investment operations
   
(1.47
)
   
(0.41
)
   
6.12
     
5.28
     
0.04
 
 
                                       
Less distributions:
                                       
From net investment income
   
(0.12
)
   
     
(0.90
)
   
(0.51
)
   
(0.03
)
From net realized gain on investments
   
(1.24
)
   
     
     
     
 
Total distributions
   
(1.36
)
   
     
(0.90
)
   
(0.51
)
   
(0.03
)
Net asset value at end of year
 
$
30.64
   
$
33.47
   
$
33.88
   
$
28.66
   
$
23.89
 
 
                                       
Total return
   
(4.62
)%
   
(1.21
)%
   
21.46
%
   
22.51
%
   
0.16
%
 
                                       
Net assets, end of year (in thousands)
 
$
84,226
   
$
125,145
   
$
163,537
   
$
161,271
   
$
134,727
 
 
                                       
Ratios/Supplemental Data:
 
Ratio of net expenses to average net assets
   
1.50
%
   
1.50
%
   
1.50
%
   
1.50
%
   
1.50
%
Ratio of net investment income/(loss) to average net assets
   
0.55
%
   
0.04
%
   
(0.00
)%(c)
   
1.39
%
   
0.58
%
Portfolio turnover rate
   
57
%
   
76
%
   
62
%
   
41
%
   
89
%
 
(a) Calculated using the average shares method.
(b) Amount rounds to less than ($0.005) per share.
(c) Amount rounds to less than (0.005%).
 
See Notes to Financial Statements.

48
www.jamesfunds.com

James Mid Cap Fund
Financial Highlights

For a share outstanding throughout the indicated.
  
  
 
For the
Year Ended June 30, 2016
   
For the
Year Ended June 30, 2015
   
For the
Year Ended June 30, 2014
   
For the
Year Ended June 30, 2013
   
For the
Year Ended June 30, 2012
 
Net asset value - beginning of year
 
$
14.86
   
$
16.42
   
$
12.97
   
$
10.69
   
$
11.38
 
Income/(Loss) from investment operations:
 
Net investment income/(loss)
   
0.08
(a) 
   
(0.02
)(a)
   
0.01
(a) 
   
0.08
(a) 
   
0.04
 
Net realized and unrealized gain/(loss)
   
(0.42
)
   
(0.15
)
   
3.87
     
2.23
     
(0.64
)
Total from investment operations
   
(0.34
)
   
(0.17
)
   
3.88
     
2.31
     
(0.60
)
 
                                       
Less distributions:
                                       
From net investment income
   
(0.05
)
   
(0.01
)
   
(0.04
)
   
(0.03
)
   
(0.09
)
From net realized gain on investments
   
(0.91
)
   
(1.38
)
   
(0.39
)
   
     
 
Total distributions
   
(0.96
)
   
(1.39
)
   
(0.43
)
   
(0.03
)
   
(0.09
)
Net asset value at end of year
 
$
13.56
   
$
14.86
   
$
16.42
   
$
12.97
   
$
10.69
 
 
                                       
Total return
   
(2.46
)%
   
(0.86
)%
   
30.34
%
   
21.68
%
   
(5.26
)%
 
                                       
Net assets, end of year (in thousands)
 
$
14,326
   
$
21,190
   
$
18,631
   
$
14,643
   
$
12,657
 
 
                                       
Ratios/Supplemental Data:
 
Ratio of net expenses to average net assets
   
1.50
%
   
1.50
%
   
1.50
%
   
1.50
%
   
1.50
%
Ratio of net investment income/(loss) to average net assets
   
0.54
%
   
(0.13
)%
   
0.05
%
   
0.64
%
   
0.32
%
Portfolio turnover rate
   
47
%
   
50
%
   
31
%
   
26
%
   
36
%
 
(a) Calculated using the average shares method.
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016
49

Financial Highlights
James Micro Cap Fund

For a share outstanding throughout the years indicated.
  
  
 
For the
Year Ended June 30, 2016
   
For the
Year Ended June 30, 2015
   
For the
Year Ended June 30, 2014
   
For the
Year Ended June 30, 2013
   
For the
Year Ended June 30, 2012
 
Net asset value - beginning of year
 
$
15.11
   
$
17.40
   
$
13.96
   
$
11.71
   
$
11.91
 
Income/(Loss) from investment operations:
 
Net investment income/(loss)
   
(0.04
)(a)
   
0.06
(a) 
   
(0.05
)(a)
   
0.14
(a) 
   
(0.01
)
Net realized and unrealized gain/(loss)
   
(0.06
)
   
1.12
     
3.50
     
2.25
     
(0.13
)
Total from investment operations
   
(0.10
)
   
1.18
     
3.45
     
2.39
     
(0.14
)
 
                                       
Less distributions:
                                       
From net investment income
   
(0.01
)
   
(0.02
)
   
(0.01
)
   
(0.14
)
   
 
From net realized gain on investments
   
     
(3.45
)
   
     
     
(0.06
)
Total distributions
   
(0.01
)
   
(3.47
)
   
(0.01
)
   
(0.14
)
   
(0.06
)
Paid-in capital from redemption fees
   
0.03
     
0.00
(b) 
   
0.00
(b) 
   
0.00
(b) 
   
0.00
(b) 
Net asset value at end of year
 
$
15.03
   
$
15.11
   
$
17.40
   
$
13.96
   
$
11.71
 
 
                                       
Total return
   
(0.44
)%
   
7.95
%
   
24.75
%
   
20.64
%
   
(1.15
)%
 
                                       
Net assets, end of year (in thousands)
 
$
26,515
   
$
24,026
   
$
16,256
   
$
11,817
   
$
10,173
 
 
                                       
Ratios/Supplemental Data:
 
Ratio of net expenses to average net assets
   
1.50
%
   
1.50
%
   
1.50
%
   
1.50
%
   
1.50
%
Ratio of net investment income/(loss) to average net assets
   
(0.24
)%
   
0.38
%
   
(0.31
)%
   
1.12
%
   
(0.14
)%
Portfolio turnover rate
   
44
%
   
52
%
   
96
%
   
46
%
   
85
%
 
(a) Calculated using the average shares method.
(b) Amount rounds to less than $0.005 per share.
 
See Notes to Financial Statements.

50
www.jamesfunds.com

James Aggressive Allocation Fund
Financial Highlights

For a share outstanding throughout the periods indicated.
 
  
 
For the
Year Ended
June 30, 2016(a)
 
Net asset value - beginning of year
 
$
10.00
 
Income/(Loss) from investment operations:
 
Net investment income(b)
   
0.07
 
Net realized and unrealized loss
   
(0.57
)
Total from investment operations
   
(0.50
)
 
       
Less distributions:
       
From net investment income
   
(0.03
)
Total distributions
   
(0.03
)
Net asset value at end of year
 
$
9.47
 
 
       
Total return
   
(4.98
)%
 
       
Net assets, end of year (in thousands)
 
$
7,172
 
 
       
Ratios/Supplemental Data:
 
Ratio of net expenses to average net assets
   
0.98
%
Ratio of net investment income to average net assets
   
0.81
%
Portfolio turnover rate
   
218
%
 
(a) Fund commenced operations on July 1, 2015.
(b) Calculated using the average shares method.
 
See Notes to Financial Statements.

Annual Report  |  June 30, 2016
51

Financial Highlights
James Long-Short Fund

For a share outstanding throughout the years indicated.
 
  
 
For the
Year Ended June 30, 2016
   
For the
Year Ended June 30, 2015
   
For the
Year Ended June 30, 2014
   
For the
Year Ended June 30, 2013
   
For the
Year Ended June 30, 2012
 
Net asset value - beginning of year
 
$
13.24
   
$
13.80
   
$
11.70
   
$
9.99
   
$
10.10
 
Income/(Loss) from investment operations:
 
Net investment income/(loss)
   
(0.09
)(a)
   
(0.13
)(a)
   
(0.06
)(a)
   
0.04
(a) 
   
(0.04
)
Net realized and unrealized gain/(loss)
   
(0.17
)
   
(0.43
)
   
2.16
     
1.71
     
(0.05
)
Total from investment operations
   
(0.26
)
   
(0.56
)
   
2.10
     
1.75
     
(0.09
)
 
                                       
Less distributions:
                                       
From net investment income
   
     
     
     
(0.04
)
   
(0.02
)
Total distributions
   
     
     
     
(0.04
)
   
(0.02
)
Net asset value at end of year
 
$
12.98
   
$
13.24
   
$
13.80
   
$
11.70
   
$
9.99
 
 
                                       
Total return
   
(1.96
)%
   
(4.06
)%
   
17.95
%
   
17.57
%
   
(0.93
)%
 
                                       
Net assets, end of year (in thousands)
 
$
24,705
   
$
33,890
   
$
23,446
   
$
15,694
   
$
9,160
 
 
                                       
Ratios/Supplemental Data:
 
Ratio of net expenses to average net assets(b)
   
2.50
%
   
2.70
%
   
2.57
%
   
2.70
%
   
2.66
%
Ratio of net investment income/(loss) to average net assets
   
(0.70
)%
   
(0.92
)%
   
(0.44
)%
   
0.35
%
   
(0.44
)%
Portfolio turnover rate
   
49
%
   
117
%
   
171
%
   
58
%
   
159
%
 
(a) Calculated using the average shares method.
(b) Dividend and interest expense on securities sold short and interest expense totaled 1.00%, 1.20%, 1.07%, 1.20% and 1.15% (annualized) of average net assets for the years ended June 30, 2016, June 30, 2015, June 30, 2014, June 30, 2013 and June 30, 2012, respectively.
 
See Notes to Financial Statements.

52
www.jamesfunds.com
 

James Advantage Funds
Notes to Financial Statements

June 30, 2016
 
1. ORGANIZATION
 
James Advantage 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, as amended (the “1940 Act”). James Balanced: Golden Rainbow Fund, James Small Cap Fund, James Mid Cap Fund, James Micro Cap Fund, James Aggressive Allocation Fund, and James Long-Short Fund are each a diversified series of the Trust (individually a “Fund,” collectively the “Funds”). Each class of James Balanced: Golden Rainbow Fund represents an interest in the same portfolio of investments and has the same rights, but differs primarily in distribution fees and shareholder features. The Retail Class shares are subject to distribution (12b-1) fees but have a lower minimum investment requirement and offer certain shareholder services not available to Institutional Class shareholders. The Institutional Class shares are not subject to distribution (12b-1) fees and are available only through investment advisers and bank trust departments that have made arrangements for shares of all of their clients investing in the Fund to be held in an omnibus account (as well as other investors that are approved by management of the Trust).

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” or the “Adviser”), 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. The Adviser defines small capitalization as those companies with market capitalizations at the time of purchase no larger than the stocks in the Fund’s benchmark, the Russell 2000® Index. As of June 30, 2016, the stock with the maximum capitalization in the Russell 2000® Index had a capitalization of $4.11 billion.
 
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 Adviser defines mid capitalization companies as those with market capitalizations at the time of purchase that fall within the range of the S&P MidCap 400® Value Index. As of June 30, 2016, the stock with the maximum capitalization in the S&P MidCap 400® Value Index had a capitalization of $9.76 billion.
 
James Micro Cap Fund seeks to provide long-term capital appreciation. The Fund seeks to achieve its objective by investing primarily in common stocks of micro capitalization companies. Micro capitalization companies are defined as those companies with market capitalizations at the time of purchase no larger than the stocks in the Russell Microcap® Index, including exchange traded funds (“ETFs”) that invest primarily in such securities. As of June 30, 2016, the stock with the maximum capitalization in the Russell Microcap® Index had a capitalization of $1.28 billion.
 
James Aggressive Allocation Fund seeks to provide total return through a combination of growth and income. Preservation of capital in declining markets is a secondary objective. This Fund will generally run equity allocations of 60% or higher and, therefore, could be more volatile than a more conservative fund that holds a smaller percentage of its assets in stocks.
 
James Long-Short Fund seeks to provide long-term capital appreciation. The Fund seeks to achieve its objective by investing primarily in foreign and domestic equity securities that the Adviser believes are undervalued and more likely to appreciate, and by selling short equity securities that the Adviser believes are overvalued and more likely to depreciate. The Fund also may take long positions in domestic and foreign fixed income securities that the Adviser believes are more likely to appreciate in the interest rate and spread environment anticipated by the Adviser, and short positions in fixed income securities that the Adviser believes are more likely to depreciate in the interest rate and spread environment anticipated by the Adviser. The Fund seeks to achieve positive returns on both the long positions and short positions that it takes in various securities.
 
2. SIGNIFICANT ACCOUNTING POLICIES
 
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”). The Funds are considered an investment company for financial reporting purposes under GAAP.
 
Share Valuation
The net asset value per share of each Fund, other than the James Balanced: Golden Rainbow 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 per share of each class of shares of the James Balanced: Golden Rainbow Fund is calculated daily by dividing the total value of the Fund’s assets attributable to that class, less liabilities attributable to that class, by the number of outstanding shares of that class. The offering price and redemption price per share is equal to the net asset value per share, except that shares of the James Micro Cap Fund are subject to a redemption fee of 2% if redeemed within 180 days of purchase. Redemption fees received by the James Micro Cap Fund were $45,020 and $48 for years ended June 30, 2016 and June 30, 2015, respectively. The redemption fee is reflected in the “Payment for shares redeemed, net of redemption fees” in the Statements of Changes in Net Assets.
 
Securities Valuation
Securities are valued at fair value. The Funds' portfolio securities, including short positions, are valued as of the close of the New York Stock Exchange (“NYSE”) (generally, 4:00 p.m., Eastern time) on each day that the NYSE is open for business. Equity securities that are traded on any exchange, including closed-end funds and exchange-traded funds, are valued at the last quoted sale price on the exchange or market in which such securities are principally traded. 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

Annual Report  |  June 30, 2016
53

Notes to Financial Statements
James Advantage Funds

June 30, 2016
 
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® 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 a 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 non-144A 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 “Board”). Corporate bonds, U.S. government agencies, U.S. Treasury bonds & notes, foreign, and municipal bonds are generally valued at the mean between the closing bid and asked prices provided by an independent pricing service. The pricing services generally use market models that consider trade data, yields, spreads, quotations from dealers and active market makers, credit worthiness, market information of comparable securities, and other relevant security specific information. Asset backed/commercial mortgage backed securities are generally valued at the mean between the closing bid and asked prices provided by an independent pricing service. The pricing service generally uses models that consider trade data, prepayment, and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. If the Adviser decides that a price provided by the pricing service does not accurately reflect the fair market value of the securities or when prices are not readily available from a pricing service, those securities will be priced at fair value as determined in good faith by the Adviser. Shares of open-end investment companies are valued at net asset value.
 
For valuation purposes, quotations of foreign securities in a foreign currency are converted to U.S. dollar equivalents at the time of pricing the Funds. The values of foreign portfolio securities are generally based upon market quotations which, depending upon the exchange or market, may be last sale price, last bid price or the average of the last bid and asked prices as of, in each case, the close of the appropriate exchange or another designated time.
 
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. There is no single standard for determining fair value, 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 that the owner might reasonably expect to receive for them upon their current sale. Methods which are in accordance 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.
 
Various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the three broad levels listed below:
 
Level 1 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date;
Level 2 - Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; or
Level 3 - Significant unobservable prices or inputs (including a Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.
 
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.
 
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2016:
 
James Balanced: Golden Rainbow Fund
 
 
 
Valuation Inputs
       
Investments in Securities at Value*
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
2,142,005,113
   
$
   
$
   
$
2,142,005,113
 
Closed-End Funds
   
1,008,700
     
     
     
1,008,700
 
Exchange Traded Funds
   
51,900,392
     
     
     
51,900,392
 
Corporate Bonds
   
     
281,933,645
     
     
281,933,645
 
Mortgage Backed Securities
   
     
19,728,876
     
     
19,728,876
 
U.S. Government Agencies
   
     
234,667,663
     
     
234,667,663
 
U.S. Treasury Bonds & Notes
   
1,361,183,222
     
     
     
1,361,183,222
 
Foreign Bonds
   
     
35,980,381
     
     
35,980,381
 
Municipal Bonds
   
     
203,355,589
     
     
203,355,589
 
Short Term Investments
   
143,414,502
     
     
     
143,414,502
 
Total
 
$
3,699,511,929
   
$
775,666,154
   
$
   
$
4,475,178,083
 
 

54
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James Advantage Funds
Notes to Financial Statements

June 30, 2016
 
James Small Cap Fund
 
 
 
Valuation Inputs
       
Investments in Securities at Value*
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
82,986,205
   
$
   
$
   
$
82,986,205
 
Short Term Investments
   
1,473,421
     
     
     
1,473,421
 
Total
 
$
84,459,626
   
$
   
$
   
$
84,459,626
 
 
James Mid Cap Fund
 
 
 
Valuation Inputs
       
Investments in Securities at Value*
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
13,422,799
   
$
   
$
   
$
13,422,799
 
Exchange Traded Funds
   
223,375
     
     
     
223,375
 
Short Term Investments
   
674,438
     
     
     
674,438
 
Total
 
$
14,320,612
   
$
   
$
   
$
14,320,612
 

James Micro Cap Fund
 
 
 
Valuation Inputs
       
Investments in Securities at Value*
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
24,609,951
   
$
   
$
   
$
24,609,951
 
Short Term Investments
   
1,918,955
     
     
     
1,918,955
 
Total
 
$
26,528,906
   
$
   
$
   
$
26,528,906
 

James Aggressive Allocation Fund
 
 
 
Valuation Inputs
       
Investments in Securities at Value*
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
5,165,438
   
$
   
$
   
$
5,165,438
 
Closed-End Funds
   
105,125
     
     
     
105,125
 
Exchange Traded Funds
   
163,149
     
     
     
163,149
 
U.S. Government Agencies
   
     
100,353
     
     
100,353
 
U.S. Treasury Bonds & Notes
   
1,470,758
     
     
     
1,470,758
 
Short Term Investments
   
299,897
     
     
     
299,897
 
Total
 
$
7,204,367
   
$
100,353
   
$
   
$
7,304,720
 

James Long-Short Fund
 
 
 
Valuation Inputs
       
Investments in Securities at Value*
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Common Stocks
 
$
23,872,210
   
$
   
$
   
$
23,872,210
 
Exchange Traded Funds
   
694,044
     
     
     
694,044
 
Short Term Investments
   
7,082,545
     
     
     
7,082,545
 
Total
 
$
31,648,799
   
$
   
$
   
$
31,648,799
 
 
             
 
 
Valuation Inputs
         
Other Financial Instruments*
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Liabilities
                               
Securities Sold Short
                               
Common Stocks
 
$
(11,705
)
 
$
   
$
   
$
(11,705
)
TOTAL
 
$
(11,705
)
 
$
   
$
   
$
(11,705
)
 
* For detailed descriptions of sector and industry, see the accompanying Schedule of Investments.
 

Annual Report  |  June 30, 2016
55

Notes to Financial Statements
James Advantage Funds

June 30, 2016
 
The Funds recognize transfer between levels as of the end of period. For the year ended June 30, 2016, the Funds did not have any transfer between Level 1 and Level 2 securities.

Investment Transactions
Investment transactions are recorded on a trade date basis. Gains and losses are determined using the specific identification method, which liquidates all losses first, before any gains. 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 Funds 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 June 30, 2016, the Funds did not hold when-issued securities or delayed delivery 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.
 
Foreign Currency Translation
The market value of investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the current exchange rate, provided by WM Reuters, at the close of each business day. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars based at the exchange rate on the date of the transaction.
 
Reported net realized foreign exchange gains or losses arise from sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized and between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from the changes in the value of assets and liabilities including investments in securities at the reporting period, resulting from changes in the exchange rate. The portion of realized and unrealized gains or losses on investments due fluctuations in foreign currency exchange rates is not separately disclosed and is included in realized and unrealized gains or losses on investments, when applicable.
 
Short Sales and Segregated Cash
The James Long-Short Fund may actively sell short equity and fixed income securities. 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.
 
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. The Fund is required to pay any dividend or interest due on securities sold short. Such dividends and interest are recorded as an expense. The Fund may pay fees or charges on the assets borrowed for securities sold short.

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 equity securities sufficient to collateralize the market value of the Fund’s short positions.
 
Investment Income
Dividend income and dividend expense on long securities and securities sold short are 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.
 
Dividend income includes dividends earned on Real Estate Investment Trusts (“REITs”), which may include a return of capital. As such, important taxation issues may arise, which the Funds account for when information is provided by the issuing REIT.
 
Due to the actual character of dividends paid by REITs not being available until the end of the calendar year, the net investment income and long-term capital gains of the Funds can be different on the tax return compared to this annual report. Substantial unanticipated levels of return of capital may affect the Funds’ earnings and profits from which distributions are made.
 
Distributions received from Limited Partnership investments of a Fund are usually recorded as a return of capital and are excluded from available income in the calculation of distributions paid by the Funds. Return of capital is recorded as a reduction to the cost of investments in the Statements of Assets and Liabilities and in the Schedule of Investments.
 
Dividends and Distributions to Shareholders
Net investment income, if any, is generally declared and distributed to shareholders of each Fund on at least an annual basis. 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.
 
Allocation of Income and Expense
Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation for the James Balanced: Golden Rainbow Fund is allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Class-specific expenses are charged directly to the class incurring the expense. Common expenses, which are not attributable to a specific class, are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Expenses not
 

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James Advantage Funds
Notes to Financial Statements

June 30, 2016
 
directly billed to a particular Fund are allocated proportionally among all Funds daily in relation to net assets of each Fund or another reasonable measure.
 
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. Actual results could differ from those estimates.
 
Federal Income Taxes
The Funds generally intend to distribute all taxable income and capital gains to shareholders, if any, and to otherwise continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Therefore, no federal tax provision is required.
 
As of and during the year ended June 30, 2016, the Funds did not have a liability for any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return for federal purposes and four years for most state returns. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
 
Reclassifications, which are determined in accordance with federal income tax regulations, result primarily from the differences in the GAAP (book) and tax treatment of certain investments such as partnerships, grantor trusts, collateralized debt instruments, foreign currency and, in some cases expenses paid on positions held short.
 
  
 
James Balanced: Golden Rainbow Fund
   
James Small Cap Fund
   
James Mid Cap Fund
   
James Micro Cap Fund
   
James Aggressive Allocation Fund
   
James Long-Short Fund
 
Paid-in capital
 
$
(8
)
 
$
(676
)
 
$
   
$
(37,187
)
 
$
   
$
(217,728
)
Accumulated net investment
   income/(loss)
   
5,236,114
     
6,389
     
(470
)
   
19,777
     
(125
)
   
218,715
 
Accumulated net realized gain/
   (loss)
   
(5,236,106
)
   
(5,713
)
   
470
     
17,410
     
125
     
(987
)
Included in the amounts reclassified above were net operating losses offset to Paid-in capital, were as follows
 
$
   
$
   
$
   
$
10,068
   
$
   
$
217,727
 
 
As of June 30, 2016, the components of distributable earnings on a tax basis were as follows:

  
 
James Balanced: Golden Rainbow Fund
   
James Small Cap Fund
   
James Mid Cap Fund
   
James Micro Cap Fund
   
James Aggressive Allocation Fund
   
James Long-Short Fund
 
Tax cost of portfolio investments
 
$
4,008,825,025
   
$
64,190,825
   
$
10,030,451
   
$
20,519,055
   
$
6,950,842
   
$
27,054,585
 
Gross unrealized appreciation
 
$
529,408,183
   
$
21,960,490
   
$
4,348,327
   
$
6,797,966
   
$
430,584
   
$
5,381,134
 
Gross unrealized depreciation
   
(63,055,125
)
   
(1,691,689
)
   
(58,166
)
   
(788,115
)
   
(76,706
)
   
(786,920
)
Net appreciation/(depreciation) of foreign currency and derivatives
   
5,428
     
     
     
     
     
(721
)
Net unrealized appreciation
   
466,358,486
     
20,268,801
     
4,290,161
     
6,009,851
     
353,878
     
4,593,493
 
Accumulated capital gains/(losses)
   
(76,581,942
)
   
(7,487,353
)
   
328,291
     
(2,596,039
)
   
(520,761
)
   
(2,146,099
)
Undistributed ordinary income
   
8,802,003
     
     
6,897
     
     
22,902
     
 
Other cumulative effect of timing differences
   
(424,092
)
   
(92,043
)
   
     
(97,981
)
   
     
(128,890
)
Total
 
$
398,154,455
   
$
12,689,405
   
$
4,625,349
   
$
3,315,831
   
$
(143,981
)
 
$
2,318,504
 
 
The difference between the cost of portfolio investments on a tax basis and financial statement cost for the Funds is due primarily to the deferral of wash sale losses and to the differing treatment of certain investments under income tax regulations and GAAP.
 

Annual Report  |  June 30, 2016
57

Notes to Financial Statements
James Advantage Funds

June 30, 2016
 
The tax character of distributions paid for the year ended June 30, 2016 was as follows:
 
  
 
James Balanced: Golden Rainbow Fund
   
James Small Cap Fund
   
James Mid Cap Fund
   
James Micro Cap Fund
   
James Aggressive Allocation Fund
   
James Long-Short Fund
 
Ordinary Income
 
$
45,525,513
   
$
517,857
   
$
67,006
   
$
27,110
   
$
18,000
   
$
 
Long-Term Capital Gains
   
77,342,586
     
4,796,221
     
1,140,548
     
     
     
 
Total
 
$
122,868,099
   
$
5,314,078
   
$
1,207,554
   
$
27,110
   
$
18,000
   
$
 
 
The tax character of distributions paid for the year ended June 30, 2015 was as follows:
 
  
 
James Balanced: Golden Rainbow Fund
   
James Small Cap Fund
   
James Mid Cap Fund
   
James Micro Cap Fund
   
James Long-Short Fund
 
Ordinary Income
 
$
36,104,504
   
$
   
$
50,911
   
$
29,482
   
$
 
Long-Term Capital Gains
   
120,104,128
     
     
1,480,680
     
3,160,094
     
 
Total
 
$
156,208,632
   
$
   
$
1,531,591
   
$
3,189,576
   
$
 
 
Capital Losses
Under the tax code, Capital Losses are carried over to future tax years and will retain their character as either short-term or long-term capital losses. These losses do not include any late year capital losses (losses arising in the period from November 1st through June 30th) that the funds have elected to defer for the current fiscal year. The Funds’ ability to utilize capital loss carryforwards in the future may be limited under the Internal Revenue Code and related regulations based on the results of future transactions.
 
Capital losses carried forward to the next tax year were as follows:
 
  
 
Short Term
   
Long Term
 
James Balanced: Golden Rainbow Fund
 
$
28,247,484
   
$
 
James Small Cap Fund
   
2,405,338
     
 
James Micro Cap Fund
   
1,465,490
     
6,594
 
James Aggressive Allocation Fund
   
243,759
     
 
James Long-Short Fund
   
1,519,624
     
 
 
The Funds elect to defer to the year ending June 30, 2017 capital losses recognized during the period November 1, 2015 through June 30, 2016 in the amount of:
 
 
Amount
 
James Balanced: Golden Rainbow Fund
 
$
48,334,458
 
James Small Cap Fund
   
5,082,015
 
James Micro Cap Fund
   
1,123,955
 
James Aggressive Allocation Fund
   
277,002
 
James Long-Short Fund
   
626,475
 
 
The Funds elect to defer to the year ended June 30, 2017 late year ordinary losses in the amount of:
 
  
 
Amount
 
James Balanced: Golden Rainbow Fund
 
$
424,092
 
James Small Cap Fund
   
90,436
 
James Micro Cap Fund
   
97,212
 
James Long-Short Fund
   
128,890
 
 
3. INVESTMENT TRANSACTIONS
 
Purchases and sales (including maturities) of investments in other long-term U.S. Government obligations for the year ended June 30, 2016 were as follows:
 
  
 
Purchases
   
Sales
 
James Balanced: Golden Rainbow Fund
 
$
1,021,890,944
   
$
786,110,658
 
James Small Cap Fund
   
2,494,881
     
2,496,203
 
James Micro Cap Fund
   
748,464
     
750,000
 
James Aggressive Allocation Fund
   
4,840,927
     
3,297,892
 

Purchases and sales (including maturities) of investments in other long-term securities for the year ended June 30, 2016 were as follows:
 
 
 
Purchases
   
Sales
 
James Balanced: Golden Rainbow Fund
 
$
1,224,378,755
   
$
1,160,882,497
 
James Small Cap Fund
   
56,254,331
     
83,065,792
 
James Mid Cap Fund
   
8,068,759
     
13,800,556
 
James Micro Cap Fund
   
12,414,449
     
10,161,882
 
James Aggressive Allocation Fund
   
12,874,447
     
7,248,957
 
James Long-Short Fund
   
14,904,065
     
32,862,730
 
 

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James Advantage Funds
Notes to Financial Statements

June 30, 2016
 
For the year ended June 30, 2016, the cost of securities purchased to cover short sales and the proceeds from securities sold short were $15,418,771 and $24,729,128, respectively, for the Long-Short Fund.
 
4. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
 
Investment Management Agreement
The Funds retain James Investment Research, Inc. (“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. The Funds pay James on a monthly basis at the annual rate set forth below of the Funds’ average daily net assets.
 
James Balanced: Golden Rainbow Fund
 
Average Total Net Assets
Contractual Fee
Up to and including $500 million
0.74%
Over $500 million and including $1 billion
0.70%
Over $1 billion and including $2 billion
0.65%
Over $2 billion
0.60%

James Small Cap Fund
 
Average Total Net Assets
Contractual Fee
Up to and including $500 million
1.25%
Over $500 million and including $1 billion
1.20%
Over $1 billion and including $2 billion
1.15%
Over $2 billion
1.10%
 
James Mid Cap Fund
 
Average Total Net Assets
Contractual Fee
Up to and including $500 million
1.25%
Over $500 million and including $1 billion
1.20%
Over $1 billion and including $2 billion
1.15%
Over $2 billion
1.10%
 
James Micro Cap Fund
 
Average Total Net Assets
Contractual Fee
Up to and including $500 million
1.50%
Over $500 million
1.45%
 
James Aggressive Allocation Fund
 
Average Total Net Assets
Contractual Fee
Up to and including $500 million
0.98%
Over $500 million and including $1 billion
0.95%
Over $1 billion and including $2 billion
0.90%
Over $2 billion
0.85%
 
James Long-Short Fund
 
Average Total Net Assets
Contractual Fee
Up to and including $500 million
1.25%
Over $500 million and including $1 billion
1.20%
Over $1 billion and including $2 billion
1.15%
Over $2 billion
1.10%

Advisory fees for the James Small Cap Fund, James Mid Cap Fund, James Micro Cap Fund, James Aggressive Allocation Fund and James Long-Short Fund are reduced by the fees and expenses of the non-interested trustees incurred by the applicable Fund. Under the investment management agreement, James is responsible for the payment of all operating expenses of the James Small Cap Fund, James Mid Cap Fund, James Micro Cap Fund, James Aggressive Allocation Fund and James Long-Short Fund, except for brokerage fees and commissions, taxes, interest (including dividend expense on securities sold short), fees and expenses of non-interested person trustees, 12b-1 expenses and extraordinary expenses.
 
Administrative Services Agreement
ALPS Fund Services, Inc. (“ALPS” or the “Administrator”) serves as administrator to the Funds. ALPS receives a monthly fee paid by James Balanced: Golden Rainbow Fund, for itself, and paid by James for the remaining Funds, subject to a minimum monthly fee. Pursuant to an administrative agreement, ALPS will provide operational services to the Funds including, but not limited to fund accounting and fund administration and generally assist in each Fund’s operations. Administration fees paid by the Funds for the year ended June 30, 2016 are disclosed in the Statements
of Operations.
 
Transfer Agency and Services Agreement
ALPS, pursuant to a Transfer Agency and Services Agreement with the Trust, serves as transfer agent for the Funds. Under the Transfer Agency and Services Agreement, ALPS receives an annual minimum fee, a fee based upon the number of shareholder accounts and is also reimbursed for out-of-pocket expenses. These fees and reimbursements for out-of-pocket expenses are paid and reimbursed by James Balanced: Golden Rainbow Fund, for itself, and by James for the remaining Funds. Transfer agent fees paid by the Funds for the year ended June 30, 2016 are disclosed in the Statements of Operations.
 
Plans of Distribution
The James Balanced: Golden Rainbow Fund (Retail Class), James Small Cap Fund, James Mid Cap Fund and James Long Short Fund have adopted a plan pursuant to Rule 12b-1 under the 1940 Act (collectively, the “Plans”) under which each Fund may incur expenses related to distribution of its shares and for services provided to shareholders. Payments under a Plan are made to James, which uses them to pay distribution and shareholder service expenses on behalf of and as agent of the Fund. The amount payable by each Fund (the Retail Class of the James Balanced: Golden Rainbow Fund), with a Plan, under its Plan is 0.25% of its average daily net assets for the year. The Plans are compensation plans,
 

Annual Report  |  June 30, 2016
59

Notes to Financial Statements
James Advantage Funds

June 30, 2016
 
which means that payments are made to James regardless of 12b-1 expenses actually incurred. Therefore, payments under a Plan may exceed distribution and shareholder service expenses incurred pursuant to the Plan, and James is permitted to retain the excess. It is also possible that 12b-1 expenses paid by James for a period will exceed the payments received by James, in which case James may pay such excess expenses out of its own resources. Payments received by James under the Plans are in addition to the fees paid to James pursuant to the Management Agreements. The Plans require that James act in the Funds’ best interests in expending the payments it receives from the Funds and use payments solely for the purpose of paying distribution and shareholder services expenses on behalf of the Funds. The Funds’ distributor, ALPS Distributors, Inc., validates all payment amounts to be made to brokers that have properly executed dealer agreements with the Funds before James will make such payments. The expenses of the Funds’ Plans are reflected as 12b-1 distribution and service fees – Retail Class on the Statements of Operations.
 
5. 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.
 
6. LINE OF CREDIT
 
Each Fund has a revolving line of credit agreement with U.S. Bank, N.A. (the “Bank”). Borrowings under these arrangements are secured by investments held in the Funds’ portfolios as notated on the Schedules of Investments and bear interest at the Bank’s prime rate. For the year ended June 30, 2016, the James Small Cap Fund, James Mid Cap Fund, and James Long-Short Fund utilized their line of credit. The average amount of borrowings was $653,500 over 2 days with a weighted-average interest rate of 3.50% for the James Small Cap Fund, the average amount of borrowings was $170,000 over 2 days with a weighted-average interest rate of 3.50% for the James Mid Cap Fund, and the average amount of borrowings was $151,667 over 9 day with a weighted-average interest rate of 3.25% for James Long-Short Fund. As of June 30, 2016, the James Small Cap Fund, James Mid Cap Fund, and James Long-Short Fund did not have an outstanding balance with respect to the line of credit. Interest on funded and unfunded loans can be found under interest expense on the Statements of Operations. For the remaining Funds, there were no borrowings on their line of credit during the year. Each Fund’s line of credit agreement expired on July 12, 2016 and was renewed for one year. The terms of the agreements can be characterized as follows:
 
Fund
 
Maximum
Balance
Available
 
Interest
Rate
Expiration Date
James Balanced: Golden Rainbow Fund
 
$
50,000,000
 
Prime Rate*
July 11, 2017
James Small Cap Fund
 
$
6,500,000
 
Prime Rate*
July 11, 2017
James Mid Cap Fund
 
$
715,000
 
Prime Rate*
July 11, 2017
James Micro Cap Fund
 
$
540,000
 
Prime Rate*
July 11, 2017
James Aggressive Allocation Fund
 
$
100,000
 
Prime Rate*
July 11, 2017
James Long-Short Fund
 
$
3,000,000
 
Prime Rate*
July 11, 2017
 
* The rate at which the Bank announces as its prime lending rate.


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James Advantage Funds
Report of Independent Registered Public Accounting Firm

 
To the Board of Trustees and Shareholders of James Advantage Funds:
 
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of James Advantage Funds (the “Funds”), comprising the James Balanced: Golden Rainbow Fund, James Small Cap Fund, James Mid Cap Fund, James Micro Cap Fund, James Aggressive Allocation Fund, and James Long-Short Fund, as of June 30, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended (as to the James Aggressive Allocation Fund, for the period from July 1, 2015 (commencement of operations) to June 30, 2016), and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
 
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2016, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds constituting the James Advantage Funds as of June 30, 2016, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
 
DELOITTE & TOUCHE LLP
 
Denver, Colorado
August 24, 2016
 

Annual Report  |  June 30, 2016
61

Additional Information
James Advantage Funds

June 30, 2016 (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 12-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 (the “Commission”) website at http://www.sec.gov.

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.

TAX DESIGNATION

Qualified Dividend Income
The percentage of ordinary income dividends distributed during the calendar year ended December 31, 2015 are designated as qualified dividend income (QDI) as defined in Section 1(h)(11) of the Internal Revenue Code in the following percentages:

 
Amount
James Balanced: Golden Rainbow Fund
100.00%
James Small Cap Fund
100.00%
James Mid Cap Fund
100.00%
James Micro Cap Fund
28.65%
James Long-Short Fund
0%
James Aggressive Allocation Fund
98.99%

Dividends Received Deduction
For corporate shareholders, the following ordinary dividends paid during the calendar year ended December 31, 2015 qualify for the corporate dividends received deduction:

 
Amount
James Balanced: Golden Rainbow Fund
99.95%
James Small Cap Fund
100.00%
James Mid Cap Fund
100.00%
James Micro Cap Fund
28.65%
James Long-Short Fund
0%
James Aggressive Allocation Fund
98.99%

Pursuant to Section 852(b)(3) of the Internal Revenue Code, James Balanced: Golden Rainbow Fund designated $77,342,586; James Small Cap Fund designated $4,796,221; and James Mid Cap Fund designated $1,140,548 as long-term capital gains dividend.
 

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James Advantage Funds
Disclosure Regarding Approval
of Fund Advisory Agreements

June 30, 2016 (Unaudited)
 
JAVAX

The Board of Trustees, including a majority of the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), approved the Management Agreement with James Investment Research (the “Adviser”) for the James Aggressive Allocation Fund (the “Fund”) at a meeting on May 27, 2015.

In renewing and approving the Management Agreements, the Board, including the Independent Trustees, considered the following factors with respect to the Fund.

Nature, Extent and Quality of Services

It was noted that during the executive session, the Trustees reviewed the services to be provided by the Adviser to the Fund. The Trustees also discussed the time anticipated to be spent by the Adviser servicing the Fund’s shareholders and that there were no material changes in the structure or relationships of the Adviser since the similar report to the Board in February 2015.

It was also noted that during the executive session, the Board reviewed a description of the other services to be provided to the Fund under the unitary fee arrangement, including that an employee of an affiliate of the Adviser serves as the CCO of the Funds and that the Adviser pays the CCO costs of the Funds pursuant to the Management Agreements. It was further noted that the Adviser monitors the expenses of each Fund and gives careful attention to the allocation of expenses among the Funds.

Based on the information provided, the Trustees determined that the nature, extent, and quality of services provided by the Adviser to the Fund were appropriate and acceptable for servicing the Fund.

Cost of Services Provided

The Trustees also reviewed during executive session the proposed unitary management fees of the Fund, comparing it with the management fees and total expense ratios of a peer group of funds with the same, or very similar, investment objectives and strategies.

Based on the information provided, the Trustees determined that the contractual management fee was higher than the peer group average but that, more importantly, the total expense ratio was significantly below the peer group average as a result of the unitary fee arrangement.

Comparable Accounts

It was noted that during the executive session, the Trustees reviewed a comparison of the fees to be charged by the Adviser to the Fund against fees charged to certain private account clients of the Adviser, which were wrap fee accounts.

Based on the information provided, the Trustees determined that the wrap fee arrangements were structured very differently from the proposed fee arrangements for the Fund, and of less value than the peer group data in analyzing the cost structure of the Fund.

Adviser Profitability

The Trustees reviewed during the executive session a projected profitability analysis provided by the Adviser with respect to the Fund, calculated at various potential asset levels.

The Trustees determined that, because the Fund had not yet launched,  there was no actual adviser profitability with respect to the Fund to be analyzed at this time.

Economies of Scale

The Trustees also considered whether economies of scale in the provision of services to the Fund would be passed along to the shareholders under the Management Agreement.

The Trustees determined that, because the Fund had not yet launched, there were no economies of scale with respect to the Fund to be analyzed at this time.
 

Annual Report  |  June 30, 2016
63

Disclosure Regarding Approval
of Fund Advisory Agreements
James Advantage Funds

June 30, 2016 (Unaudited)
 
Other Benefits to the Adviser

The Trustees reviewed and considered any other incidental benefits to be derived by the Adviser from its relationship with the Funds, noting that the Adviser does not have any soft dollar arrangements with broker-dealers and that the Adviser could benefit from its association with the Fund.

Other Considerations

After discussion, the Trustees determined that the fees to be paid to the Adviser are based on services provided that are in addition to, rather than duplicative of, the services provided under the advisory agreements of ETFs and similar products.

The Trustees revisited each of these topics in brief during the regular Board meeting.  At the conclusion of such discussion, the Trustees indicated that it was their consensus that the information presented and the discussion of the information were adequate for making a determination regarding the proposed Management Agreement. After further discussion, and based upon all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Trustees unanimously determined that the entering into the Management Agreement was in the best interests of the Fund and its shareholders.
FUNDS OTHER THAN JAVAX

The Board of Trustees, including a majority of the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), approved the Management Agreement with James Investment Research (the “Adviser”) for the James Balanced: Golden Rainbow Fund, the James Small Cap Fund, the James Long-Short Fund, the James Mid Cap Fund and the James Micro Cap Fund (the “Funds”) at a meeting on February 24, 2016.

In renewing and approving the Management Agreements, the Board, including the Independent Trustees, considered the following factors with respect to the Funds.

Nature, Extent and Quality of Services

The Board received and considered information regarding the nature, extent and quality of services to be provided to the Funds under the Management Agreements.  The Board reviewed certain background materials supplied by the Adviser, including its Form ADV.

The Board reviewed and considered information regarding the Adviser’s investment advisory personnel, its history as an asset manager and its performance, and the amount of assets currently under management by Adviser and its affiliated entities.  The Board also reviewed the research and decision-making processes used by the Adviser, including the methods adopted to seek to achieve compliance with the investment objectives, policies and restrictions of each Fund.  The Board noted that the Adviser relied primarily on in-house research when making its investment decisions for the Funds.

The Board considered the background and experience of the Adviser’s management in connection with the Funds, including reviewing the qualifications, backgrounds and responsibilities of the management team primarily responsible for the day-to-day portfolio management of
the Funds.

The Board also reviewed, among other things, the Adviser’s insider trading policies and procedures and its Code of Ethics.

The Board discussed each Fund’s strategy for investing in other investment companies, such as closed-end mutual funds and exchange-traded funds, to gain exposure to particular investment products, indexes, or foreign market sectors or indices.

Based on the information provided, the Board determined that the nature, extent and quality of services rendered by the Adviser to each Fund under the Management Agreements was adequate and appropriate in light of the needs of such Fund.  Based on the information provided, the Board also determined that the fees to be paid to the Adviser are based on services provided that are in addition to, rather than duplicative of, the services provided under the advisory agreements of other investment companies.

Cost of Services Provided

The Board also reviewed the current management fees and net annual operating expense ratios of each Fund, comparing them with the management fees of a peer group of funds with the same, or very similar, investment objectives and strategies.  According to the Adviser, each
 

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James Advantage Funds
Disclosure Regarding Approval
of Fund Advisory Agreements

June 30, 2016 (Unaudited)
 
peer group had been selected based on the investment style and strategies employed by the Funds, as well as by asset size, and was in large part, consistent with the peer group that had been used in prior periods.
 
The Board noted that all of the Funds, except the James Balanced: Golden Rainbow Fund, have a universal fee structure where the Adviser generally pays all of the expenses of the Fund.  The Board noted that for the universal fee Funds, it would not be unreasonable for the Adviser to be compensated with a higher management fee relative to the peer group members that do not employ this universal fee structure.  The Board reviewed calculations prepared by the Adviser to derive a “net adjusted management fee” for each of the universal fee Funds equal to the universal fee after deduction of all direct expenses of the Fund paid by the Adviser, not inclusive of any distribution expenses paid by the Adviser.  The Board reviewed the comparison of the net adjusted management fee for each Fund relative to its average management fee for its peer group.  The Board also reviewed the net annual operating expense ratio for each Fund relative to its peer group.

The Board further noted that some of the funds in the peer groups were one class of a fund that had many classes or were one fund of a much larger fund complex and, thus, could benefit from economies of scale provided by the other classes of such fund or complex.  The Board also noted the additional difficulty of comparing the net expense ratios of long short funds because of their widely differing expense levels regarding interest expenses, securities sold short, and other similar line items unique to those products.

Based on the information provided, the Board determined that the net expense ratios for the James Small Cap Fund and the James Balanced: Golden Rainbow Fund: Institutional Class were slightly lower than their respective peer group median expense ratios.  In contrast, the Board determined that the net expense ratios for the James Balanced: Golden Rainbow Fund: Retail Class, James Mid Cap Fund, James Micro Cap Fund and the James Long-Short Fund were generally higher than their respective peer group median expense ratios.  The Board concluded that these differences were reasonable in light of the long-term performance of each Fund, the services provided by the Adviser, and the net adjusted management fees paid by each Fund.

Performance

The Board reviewed the performance data for each Fund provided by the Adviser, including one-year, three-year, five-year and ten-year (or since inception, as applicable) average annual total returns as of December 31, 2015.  The Board also reviewed comparisons of each Fund’s performance against peer group performance, Morningstar group performance, and respective benchmarks.  The Board noted that, according to Morningstar, the James Balanced: Golden Rainbow Fund had earned 5 stars; the Small Cap Fund, the Micro Cap Fund and the Long-Short Fund had each earned 4 stars, and the Mid Cap Fund had earned 3 stars.

With respect to the James Balanced: Golden Rainbow Fund, they noted that the Fund’s Retail Class had outperformed its peer group average and Morningstar group average for the one-, three-, five- and ten-year periods, and that the Institutional Class had similarly outperformed those groups during the one-, three-, five-year and since inception periods.  For the James Small Cap Fund, the Board noted that the Fund had outperformed its peer group average and Morningstar group average for the one-, three-, and five-year periods while performing between the two averages for the ten-year period.  The Board then noted that the James Mid Cap Fund had outperformed its peer group average for the one-, three-, and five-year periods while performing between the two averages for the since inception period.  For the James Micro Cap Fund, the Board noted that the Fund had outperformed its peer group average and Morningstar group average during the one-, three-, and five-year periods.  For the James Long-Short Fund, the Board noted that the Fund had outperformed its peer group average and Morningstar group average during the three-year period, but underperformed during the one-year period.  The also noted that the James Mid Cap Fund and the James Micro Cap Fund also from time to time each outperformed its benchmark during the same periods.

Based on the information provided, the Board determined that the performance of each Fund was favorable over the periods considered for each Fund, and in general each Fund outperformed its peer group average and Morningstar group average during most, if not all, of the periods analyzed by the Board.

Comparable Accounts

The Board reviewed comparisons of the fees charged by the Adviser to each Fund against fees charged to certain private account and other registered investment company clients of the Adviser using similar strategies, if any.

Based on the information provided, the Board determined that, bearing in mind the limitations of comparing different types of clients and the different levels of service typically associated with such client accounts, the fee structures applicable to the Adviser’s other clients were not indicative of any unreasonableness with respect to the advisory fees payable by each Fund under the Management Agreements.


Annual Report  |  June 30, 2016
65

Disclosure Regarding Approval
of Fund Advisory Agreements
James Advantage Funds

June 30, 2016 (Unaudited)
 
Adviser Profitability

The Board reviewed a profitability analysis provided by the Adviser with respect to each Fund for the twelve months ended September 30, 2015, reflecting revenues net of certain fees and expenses under the Management Agreements, and incorporating the Adviser’s assumptions and estimates of, among other items, direct expenses and wage allocation applied to each Fund.  The Board also considered certain industry-related materials regarding the analysis of fund profitability and took note of other long term industry and cyclical trends regarding profitability generally.

The Board discussed the assumptions and estimates included in the fund profitability analysis, and received additional information from the Adviser about these assumptions and estimates.

Based on the information provided, the Board determined that the overall profitability of each Fund to the Adviser, before taking into account distribution expenses incurred by the Adviser, was not unreasonable.

Economies of Scale

The Board considered whether economies of scale in the provision of services to the Funds would be shared with, and passed along to, the Fund shareholders under the Management Agreements. The Board noted that each Management Agreement included breakpoints in the management fee for each Fund, and that several of the breakpoints for the James Balanced: Golden Rainbow Fund were currently in effect.

Based on the information provided, the Board determined there were mechanisms in place for each Fund to cause the benefits of economies of scale to be shared with, and passed along to, the Fund shareholders.

Other Benefits to the Adviser

The Board reviewed and considered material other incidental benefits derived or to be derived by the Adviser from its relationship with the Funds.  The Board noted that the Adviser does not have any soft dollar arrangements.  The Board also noted that the Adviser benefits from its association with the Funds, and that the Adviser currently benefits from favorable press and name recognition generated by the Funds.

Based on the information provided, the Board determined there were no material other incidental benefits accruing to the Adviser in connection with its relationship with the Funds.

The Board indicated that the information presented and the discussion of the information were adequate for making a determination regarding the renewal of the Management Agreements.  During the review process, the Board noted certain instances where clarification or follow-up was appropriate and others where the Board determined that further clarification or follow-up was not necessary.  In those instances where clarification or follow-up was requested, the Board determined that in each case either information responsive to its requests had been provided, or where any request was outstanding in whole or in part, given the totality of the information provided with respect to the Management Agreements, the Board had received sufficient information to renew and approve the applicable Agreement.

After further discussion, and based upon all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Trustee not necessarily attributing the same weight to each factor, the Board unanimously determined that the continuation of each Management Agreement for an additional year was in the best interests of the applicable Fund and its shareholders
 

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James Advantage Funds
Trustees & Officers

June 30, 2016 (Unaudited)

The Board of Trustees has overall responsibility for management of the Trust under the laws of Ohio governing the responsibilities of trustees of business trusts.  Following are the Trustees and executive officers of the Trust, their present occupation with the Trust or Funds, age and principal occupation during the past 5 years.
 
Additional information regarding the Fund’s Trustees is included in the Statement of Additional Information, which can be obtained without charge by calling 1-800-995-2637.
 
INTERESTED TRUSTEES
Name/Address/Age
Position(s) With
Fund/Time Served/
During Past 5 years1
Principal Occupation by Trustee
Number of Portfolios in Fund Complex Overseen
Other Directorships Held
by Trustee Outside During the Past Five Years
Barry R. James2, CFA
James Investment
Research, Inc.
1349 Fairground Road
Xenia, OH 45385
Year of Birth: 1956
President & Trustee since 1997
President and CEO, James Investment Research
(2005 - present); CEO and Director, James Capital
Alliance (1992 - present)
6
Director, Heart to Honduras (2006 – present);
Director, FAIR Foundation
(2010 - present)
 
INDEPENDENT TRUSTEES
Name/Address*/Age
Position(s) With
Fund/Time Served/
During Past 5 years1
Principal Occupation by Trustee
Number of Portfolios in Fund Complex Overseen
Other Directorships Held
by Trustee Outside During the Past Five Years
Anthony P. D’Angelo
Year of Birth: 1930
Trustee since 1997
Retired, Professor Emeritus, Graduate School of  Logistics and Acquisitions Management, Air Force Institute of Technology, Wright-Patterson AFB, Ohio (Retired since 1999)
6
None
Leslie L. Brandon
Year of Birth: 1942
Trustee since 2003
Retired Partner, Ernst & Young LLP, Columbus, Ohio (1966 - 2000)
6
None
Ronald D. Brown
Year of Birth: 1953
Trustee Since 2014
Chief Operating Officer, The Armor Group
(2013-Present);
Chief Financial Officer, Makino Inc. (2010 - 2013);
Managing Director, Taft Business Consulting LLC (2009 - 2013)
6
Director, Currently Lead Director, of AO Smith Corporation (2001 - present);
Board Trustee of University of Cincinnati (2013 - present); Director, Zep Inc. (2010-2015);
Director of Makino Inc. (2010 - 2013)
Robert F. Chelle
Year of Birth: 1948
Trustee since 2014
Retired Founding Director of the L. William Crotty Center for Entrepreneurial Leadership at the University of Dayton (1999 – 2015); President/CEO, High Voltage Maintenance Corp, Dayton, OH (1974-1999)
6
Director of DRT Mfg. Co., The Siebenthaler Company, PNC Bank – Dayton  Region, Prime Controls Mfg. Co. and School Outfitters; Trustee of The Entrepreneur’s Center – An Edison Business Incubator
Richard C. Russell
Year of Birth: 1946
Trustee since 2003
Consultant, Danis Companies (construction and real estate development firm), (2002 - present); Retired CEO & CFO, Danis Companies (1983-2002)
6
Director, Excellence in Motivation, Inc. (1996 - present);
Director, DRT Manufacturing, Co. (1999 - present)

* All Trustees may be contacted at c/o The James Advantage Funds, Attn: Secretary, 1349 Fairground Road, Xenia, OH 45385
1 Each Trustee is elected to serve in accordance with the Declaration of Trust and Bylaws of the Trust until his or her successor is duly elected and qualified.
2 Mr. James is an “interested person” of the Trust as defined in the 1940 Act because of his relationship to James Investment Research, Inc., which serves as the investment adviser to the Trust.
 

Annual Report  |  June 30, 2016  
67

Trustees & Officers
James Advantage Funds

June 30, 2016 (Unaudited)
 
OFFICERS
   
Name/Address/Age
Position(s) With Fund/Time Served
Principal Occupation by Officer
Thomas L. Mangan
James Investment Research, Inc.
1349 Fairground Road
Xenia, OH 45385
Year of Birth: 1949
Vice President, Secretary and Chief Financial Officer since 1997
Senior Vice President,
James Investment Research, Inc., Chief Compliance Officer, James Investment Research, Inc. (1997-2011)
Lesley Ott
James Investment Research, Inc.
1349 Fairground Road
Xenia, OH 45385
Year of Birth: 1983
Chief Compliance Officer since 2012
Chief Compliance Officer, James Investment Research, Inc. and James Capital Alliance, Inc. (since 2012), Deputy Chief Compliance Officer, James Investment Research, Inc. and James Capital Alliance, Inc. (2010-2011)
Richard Brian Culpepper
James Investment Research, Inc.
1349 Fairground Road
Xenia, OH 45385
Year of Birth: 1972
Assistant Secretary since 2011
Vice President, James Investment Research, Inc. (since 2014), First Vice President of James Investment Research, Inc. (2009-2014)
Andrea E. Kuchli,
c/o ALPS Fund Services, Inc.
1290 Broadway, Ste. 1100
Denver, CO 80203
Year of Birth: 1985
Assistant Secretary since 2015
Vice President and Senior Counsel of ALPS Fund Services, Inc. (2015 – present); Secretary of the Westcore Trust (2015 – present), Secretary of the Principal Real Estate Income Fund (2015 – present), Associate Attorney, Davis Graham & Stubbs LLP (2014 – 2015), Associate Attorney, Dechert LLP (2011 – 2014)
Amy Broerman
James Investment Research, Inc.
1349 Fairground Road
Xenia, OH 45385
Year of Birth: 1972
Treasurer since 2012
Assistant Vice President of Operations, James Investment Research, Inc. (since 2008), Assistant Treasurer of James Advantage Funds (2002-2012)
Jennell Panella
c/o ALPS Fund Services, Inc.
1290 Broadway, Ste. 1100
Denver, CO 80203
Year of Birth: 1974
Assistant Treasurer since 2013
Fund Controller of ALPS Fund Services, Inc. (since June 2012), Financial Reporting Manager, Parker Global Strategies, LLC (2009-2012)
Brian P. Shepardson
James Investment Research, Inc.
1349 Fairground Road
Xenia, OH 45385
Year of Birth: 1973
Assistant Treasurer since 2015
First Vice President, James Investment Research, Inc. (since 2014), Assistant Vice President of James Investment Research, Inc. (2009-2014).
 

68
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James Advantage Funds
Privacy Policy

June 30, 2016 (Unaudited)
Facts
What does James Advantage Funds do with your personal information?

Why?
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What?
The types of personal information we collect and share depends on the product or service that you have with us. This information can include:
Social Security number and wire transfer instructions
account transactions and transaction history
investment experience and purchase history

When you are no longer our customer, we continue to share your information as described in this notice.

How?
All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons James Advantage Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information:
Does James Advantage Funds
share information?
Can you limit this sharing?
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.
YES
NO
For our marketing purposes - to offer our products and services to you.
YES
NO
For joint marketing with other financial companies.
NO
We don’t share
For our affiliates’ everyday business purposes - information about your transactions and records.
NO
We don’t share
For our affiliates’ everyday business purposes - information about your credit worthiness.
NO
We don’t share
For our affiliates to market to you
NO
We don’t share
For non-affiliates to market to you
NO
We don’t share

Questions? Call 1-800-99 James

What we do:
How does James Advantage Funds protect my personal information?
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
 
Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.
How does James Advantage Funds
collect my personal information?
We collect your personal information, for example, when you
·     open an account or deposit money
·     direct us to buy securities or direct us to sell your securities
·     seek advice about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?
Federal law gives you the right to limit only:
·     sharing for affiliates’ everyday business purposes – information about your creditworthiness.
·     affiliates from using your information to market to you.
·     sharing for nonaffiliates to market to you.
State laws and individual companies may give you additional rights to limit sharing.

Definitions 
Affiliates
Companies related by common ownership or control. They can be financial and non-financial companies.
·     Our affiliates include financial companies, such as James Investment Research, Inc. and James Capital Alliance.
Non-affiliates
Companies not related by common ownership or control. They can be financial and non-financial companies.
·     James Advantage Funds does not share with nonaffiliates so they can market to you.
Joint marketing
A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
·     James Advantage Funds does not jointly market.
 

Annual Report  |  June 30, 2016  
69


Item 2. Code of Ethics.
 
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:

(1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;
(3) Compliance with applicable governmental laws, rules, and regulations;
(4) The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and
(5) Accountability for adherence to the code.

(c) Amendments: During the period covered by this report, there were no amendments to the provisions of the code of ethics.

(d) Waivers: During the period covered by this report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.

(e) Not applicable to this report.

(f) The Registrant’s Code of Ethics is attached as an Exhibit hereto.

Item 3. Audit Committee Financial Expert.

(a) The registrant’s board of trustees has determined that Leslie L. Brandon is an audit committee financial expert. Mr. Brandon is independent for purposes of this Item 3.

(b) For purposes of this Item, an “audit committee financial expert” means a person who has the following attributes:

(1) An understanding of generally accepted accounting principles and financial statements;
(2) The ability to assess the general application of such principles in connection with the accounting for estimates, accruals, and reserves;
(3) Experience preparing, auditing, analyzing, or evaluating financial statements that present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements, or experience actively supervising one or more persons engaged in such activities;
 

(4) An understanding of internal control over financial reporting; and
(5) An understanding of audit committee functions.

(c) A person shall have acquired such attributes through:

(1) Education and experience as a principal financial officer, principal accounting officer, controller, public accountant, or auditor or experience in one or more positions that involve the performance of similar functions;
(2) Experience actively supervising a principal financial officer, principal accounting officer, controller, public accountant, auditor, or person performing similar functions;
(3) Experience overseeing or assessing the performance of companies or public accountants with respect to the preparation, auditing, or evaluation of financial statements; or
(4) Other relevant experience.

(d)
(1) A person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for purposes of Section 11 of the Securities Act of 1933 (15 U.S.C. 77k), as a result of being designated or identified as an audit committee financial expert pursuant to this Item.
(2) The designation or identification of a person as an audit committee financial expert pursuant to this Item does not impose on such person any duties, obligations, or liability that are greater than the duties, obligations, and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
(3) The designation or identification of a person as an audit committee financial expert pursuant to this Item does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4. Principal Accountant Fees and Services.
 
(a) Audit Fees.

June 30, 2016
June 30, 2015
$106,800
$89,000

Such audit fees represent the aggregate fees billed for the fiscal years ended June 30, 2016 and June 30, 2015 for professional services rendered by Deloitte & Touche LLP for the audit of the registrant’s annual financial statements.


(b) Audit-Related Fees.

 
Registrant
Adviser
June 30, 2016
$0
$0
June 30, 2015
$0
$0

Neither the registrant nor the adviser was billed any fees by Deloitte & Touche LLP for the fiscal years ended June 30, 2016 and June 30, 2015 for assurance and related services that were reasonably related to the performance of the audit of the registrant’s financial statement and not otherwise included under “Audit Fees” above.

(c) Tax Fees.

 
Registrant
Adviser
June 30, 2016
$15,300
$0
June 30, 2015
$12,360
$0

“Tax fees” shown in the table above were for services provided by Deloitte & Touche LLP in relation to the preparation of excise filings and income tax returns for the registrant.

(d) All Other Fees.

 
Registrant
Adviser
June 30, 2016
$0
$0
June 30, 2015
$0
$0

The registrant was not billed any fees by Deloitte & Touche LLP for products and services provided by Deloitte & Touche LLP, other than the services reported above in items (a) - (c), for the fiscal years ended June 30, 2016 and June 30, 2015.

(e) Pre-Approval Policies and Procedures.

(1) Pursuant to the registrant’s Audit Committee Charter (the “Charter”), the Audit Committee is directly responsible for the appointment, termination, compensation, and oversight of the work of any registered public accounting firm employed by the registrant. In addition, the Charter provides that the Audit Committee is responsible for reviewing and approving in advance any and all proposals under which the independent auditor would provide “permissible non-audit services” (as defined in the Charter) to the registrant or to the investment adviser to the registrant (not including any sub-adviser whose role is primarily portfolio management and that is sub-contracted or overseen by the investment adviser to the registrant) or any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant if those permissible non-audit services relate directly to the operations and financial reporting of the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether such services are consistent with the independent auditor’s independence.


(2)

 
Registrant
Adviser
Audit Related
100%
n/a
Tax Fees
100%
n/a
Other Fees
n/a
n/a

(f) Not applicable to the registrant.

(g) Aggregate non-audit fees billed by the registrant’s accountant:

 
Registrant
Adviser
June 30, 2016
$11,930.06
$0
June 30, 2015
$16,270
$0

(h) The registrant’s audit committee of the board of trustees has considered that the provision of non-audit services that were rendered to an entity controlling, controlled by, or under common control with the registrant’s investment adviser that provides ongoing services to the registrant for the fiscal years ended June 30, 2016 and June 30, 2015, as identified above, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, are compatible with maintaining Deloitte & Touche LLP’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable to the registrant.

Item 6. Investments.

(a) The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

(b) Not applicable to the registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliates Purchasers.

Not applicable to the registrant.


Item 10. Submission of Matters to a Vote of Security Holders.

The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

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 Investment Company Act of 1940, as amended), 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 (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1)
Registrant’s Code of Ethics for Principal Executive and Principal Financial Officers, which is the subject of the disclosure required by Item 2 of Form N-CSR, is attached hereto as Exhibit 12(a)(1).

(a)(2)
Certifications required by Item 12(a)(2) of Form N-CSR are filed herewith as Exhibit 99.CERT.

(a)(3)
Not applicable.

(b)
Certifications required by Item 12(b) of Form N-CSR are filed herewith as Exhibit 99.906CERT.




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: September 7, 2016
 

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: September 7, 2016
 
   
By (Signature and Title)
 
   
/s/ Thomas L. Mangan
 
Thomas L. Mangan
 
Chief Financial Officer
 
   
Date: September 7, 2016