EX-99.17.W 31 e27325exv99w17ww.htm EX-99.17.W: SIGNAL FUNDS SEMI-ANNUAL REPORT EX-99.17.W
 

Exhibit 17(w)

Investment Advisor
Signal Capital Management, Inc.
One Main Street
Evansville, Indiana 47708
Administrator and Transfer Agent
BISYS Fund Services, Inc.
3435 Stelzer Road
Columbus, Ohio 43219
Distributor
BISYS Fund Services, Limited Partnership
3435 Stelzer Road
Columbus, Ohio 43219
Custodian
Huntington National Bank
7 Easton Oval
Columbus, Ohio 43219
Counsel
Dechert LLP
1775 I Street, NW
Washington, DC 20006
Independent Registered Public Accounting Firm
Ernst & Young LLP
1100 Huntington Center
41 South High Street
Columbus, Ohio 43215
This report is for the information of the shareholders of the Signal Funds. Its use in connection with any offering of the Funds’ shares is authorized only in case of concurrent or prior delivery of the Funds’ current prospectus.
Federal law requires the Funds, and each of its investment advisers, to adopt procedures for voting proxies (“Proxy Voting Guidelines”) and to provide a summary of those Proxy Voting Guidelines used to vote the securities held by the Funds. The Funds’ proxy voting policies and procedures are available without charge (i)  upon request, by calling 800-468-0347, or (ii)  on the U.S. Securities and Exchange Commission’s web site at www.sec.gov.
Statement Regarding Availability of Quarterly Portfolio Schedule.
The Signal Funds file complete schedules of portfolio holdings for each Fund with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at http://www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330; and the Funds make the information on Form N-Q available upon request without charge.
Statement Regarding Availability of Proxy Voting Record.
Information regarding how the Fund voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800-468-0347, and on the Commission’s website at http://www.sec.gov.
 
 
 
(THE SIGNAL FUNDS LOGO)
 
 
Semi-Annual Report
September 30, 2006
 
 
(SIGNAL CAPITAL MANAGEMENT LOGO)
 
 
 
Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, Old National Bancorp., and are not insured by the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other agency. Shares of the Funds involve investment risk, including possible loss of principal. Past performance is not indicative of future results.


 


 

SIGNAL FUNDS
Large Cap Growth Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)

                           
Shares or                  
Principal   Security              
Amount ($)   Description   Value ($)          
           
       
 
                 
       
Common Stocks — 97.1%
                 
       
Aerospace/Defense — 1.3%
                 
  7,800    
United Technologies Corp
    494,130            
       
 
               
       
 
                 
       
Air Freight & Logistics — 1.7%
                 
  14,000    
Expeditors International of Washington, Inc
    624,120            
       
 
               
       
 
                 
       
Applications Software — 1.5%
                 
  15,100    
Citrix Systems, Inc.*
    546,771            
       
 
               
       
 
                 
       
Banking — 5.9%
                 
  20,000    
Bank of America Corp.
    1,071,400            
  14,200    
Zions Bancorp
    1,133,302            
       
 
               
       
 
    2,204,702            
       
 
               
       
 
                 
       
Business Services — 3.7%
                 
  11,000    
Jacobs Engineering Group, Inc.*
    822,030            
  22,000    
Staples, Inc
    535,260            
       
 
               
       
 
    1,357,290            
       
 
               
       
 
                 
       
Communications Equipment — 5.1%
                 
  47,700    
Cisco Systems, Inc.*
    1,097,100            
  18,300    
Harris Corp
    814,167            
       
 
               
       
 
    1,911,267            
       
 
               
       
 
                 
       
Distiller & Vintners — 1.2%
                 
  16,000    
Constellation Brands, Inc.*
    460,480            
       
 
               
       
 
                 
       
Educational Services — 1.3%
                 
  11,500    
Bright Horizons Family Solutions Inc.*
    479,895            
       
 
               
       
 
                 
       
Electronics — 1.7%
                 
  8,000    
L-3 Communications Holdings, Inc.
    626,640            
       
 
               
       
 
                 
       
Finance - Investment Bankers and Brokers — 8.2%
                 
  7,000    
Franklin Resources, Inc.
    740,250            
  6,500    
Goldman Sachs Group, Inc
    1,099,605            
  20,000    
UBS AG-ADR
    1,186,200            
       
 
               
       
 
    3,026,055            
       
 
               
       
 
                 
       
General Merchandise — 2.0%
                 
  13,200    
Target Corp
    729,300            
       
 
               
       
 
                 
       
Healthcare - Equipment — 1.9%
                 
  14,000    
Stryker Corp.
    694,260            
       
 
               
                 
Shares or          
Principal   Security      
Amount ($)   Description   Value ($)  
 
       
 
       
       
Healthcare Services — 2.8%
       
  15,000    
Caremark Rx, Inc
    850,050  
  3,000    
Covance, Inc.*
    199,140  
       
 
     
       
 
    1,049,190  
       
 
     
       
 
       
       
Household Products — 1.8%
       
  17,000    
Church & Dwight Co., Inc.
    664,870  
       
 
     
       
 
       
       
Industrial Conglomerates — 1.1%
       
  12,000    
General Electric Co
    423,600  
       
 
     
       
 
       
       
Industrial Gases — 2.1%
       
  13,100    
Praxair, Inc.
    774,996  
       
 
     
       
 
       
       
Insurance - Life — 3.4%
       
  22,500    
MetLife, Inc.
    1,275,300  
       
 
     
       
 
       
       
Insurance-Multi-Line — 2.9%
       
  4,500    
American International Group, Inc.
    298,170  
  10,000    
Wellpoint, Inc.*
    770,500  
       
 
     
       
 
    1,068,670  
       
 
     
       
 
       
       
Machinery - Industrial — 2.8%
       
  10,400    
Danaher Corp.
    714,168  
  7,200    
Illinois Tool Works, Inc
    323,280  
       
 
     
       
 
    1,037,448  
       
 
     
       
 
       
       
Manufacturing - Machinery — 1.1%
       
  10,000    
Thermo Electron Corp.*
    393,300  
       
 
     
       
 
       
       
Oil & Gas - Integrated — 3.8%
       
  7,000    
BP PLC - ADR
    459,060  
  14,300    
Exxon Mobil Corp.
    959,530  
       
 
     
       
 
    1,418,590  
       
 
     
       
 
       
       
Oil & Gas Exploration Services — 5.5%
       
  23,000    
Noble Energy, Inc.
    1,048,570  
  26,000    
Smith International, Inc
    1,008,800  
       
 
     
       
 
    2,057,370  
       
 
     
       
 
       
       
Personal Products — 2.8%
       
  16,600    
Procter & Gamble Co.
    1,028,868  
       
 
     


continued

1


 

SIGNAL FUNDS
Large Cap Growth Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)

                           
Shares or                  
Principal   Security              
Amount ($)   Description   Value ($)          
           
       
 
                 
       
Pharmaceuticals — 4.4%
                 
  5,200    
Barr Laboratories, Inc.*
    270,088            
  10,000    
Johnson & Johnson
    649,400            
  12,500    
Novartis AG — ADR
    730,500            
       
 
               
       
 
    1,649,988            
       
 
               
       
 
                 
       
Prepackaged Software — 5.3%
                 
  16,000    
DST Systems, Inc.*
    986,720            
  20,700    
Fiserv, Inc.*
    974,763            
       
 
               
       
 
    1,961,483            
       
 
               
       
 
                 
       
Real Estate Investment Trusts — 2.3%
                 
  15,000    
Prologis Trust
    855,900            
       
 
               
       
 
                 
       
Retail - Computer/Electronics — 2.1%
                 
  14,400    
Best Buy Co., Inc.
    771,264            
       
 
               
       
 
                 
       
Retail - Drugs — 2.3%
                 
  19,300    
Walgreen Co.
    856,727            
       
 
               
       
 
                 
       
Retail - Restaurants — 1.9%
                 
  18,000    
McDonald’s Corp.
    704,160            
       
 
               
       
 
                 
       
Soft Drinks — 2.8%
                 
  15,900    
PepsiCo, Inc
    1,037,634            
       
 
               
       
 
                 
       
Systems Software — 3.4%
                 
  19,000    
Microsoft Corp.
    519,270            
  15,000    
SAP AG — ADR
    742,500            
       
 
               
       
 
    1,261,770            
       
 
               
       
 
                 
       
Transportation Services — 2.3%
                 
  11,800    
Burlington Northern Santa Fe Corp
    866,592            
       
 
               
       
 
                 
       
Utilities - Electric — 3.6%
                 
  8,400    
Entergy Corp.
    657,132            
  15,200    
FPL Group, Inc
    684,000            
       
 
               
       
 
    1,341,132            
       
 
               
       
 
                 
       
Wireless Equipment — 1.1%
                 
  16,700    
Motorola, Inc.
    417,500            
       
 
               
       
 
                 
       
 
                 
       
 
                 
       
 
                 
       
 
                 
       
 
                 
       
 
                 
       
 
                 
                 
Shares or          
Principal   Security      
Amount ($)   Description   Value ($)  
 
       
 
       
       
Total Common Stocks
(cost - $28,120,704)
    36,071,262  
       
 
     
       
 
       
       
Investment Companies - 2.4%
       
  898,955    
Huntington Money Market Fund - Trust Class
    898,955  
       
 
     
       
 
       
       
Total Investment Companies
(cost - $898,955)
    898,955  
       
 
     
       
 
       
       
Total Investments - 99.5%
(cost - $29,019,658)
    36,970,217  
       
 
     
 
Percentages indicated are based on net assets of $37,128,169.
*  
Non-income producing securities.
ADR – American Depositary Receipt


See notes to financial statements.

2


 

SIGNAL FUNDS
Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                    
Principal       Interest   Maturity      
Amount ($)   Security Description   Rate   Date   Value ($)  
 
       
Corporate Bonds — 28.9%
                   
       
Aerospace/Defense — 0.8%
                   
  750,000    
General Dynamics Corp.
  4.50%     8/15/10       733,266  
       
 
                 
       
 
                   
       
Banking — 6.5%
                   
  500,000    
Bank of America Corp.
  5.38     6/15/14       502,152  
  500,000    
Credit Suisse First Boston USA, Inc.
  4.63     1/15/08       496,356  
  105,000    
First Union National Bank, BKNT
  5.80     12/1/08       106,541  
  300,000    
MBNA Bank
  5.38     1/15/08       300,011  
  500,000    
MBNA Bank
  6.13     3/1/13       521,515  
  500,000    
National City Corp.
  4.50     3/15/10       487,903  
  750,000    
U.S. Bancorp
  3.95     8/23/07       741,236  
  1,000,000    
Washington Mutual Bank
  5.50     1/15/13       999,439  
  1,000,000    
Washington Mutual Bank
  5.65     8/15/14       1,001,963  
  500,000    
Wells Fargo Co.
  3.50     4/4/08       488,114  
       
 
                 
       
 
                5,645,230  
       
 
                 
       
 
                   
       
Brewery — 0.6%
                   
  500,000    
Anheuser Busch
  4.70     4/15/12       489,068  
       
 
                 
       
 
                   
       
Computer Hardware — 0.7%
                   
  500,000    
Hewlett-Packard Co.
  5.75     12/15/06       500,289  
  100,000    
International Business Machines Corp.
  4.88     10/1/06       100,000  
       
 
                 
       
 
                600,289  
       
 
                 
       
 
                   
       
Department Stores — 0.8%
                   
  750,000    
Target Corp.
  5.88     3/1/12       773,204  
       
 
                 
       
 
                   
       
Electric & Electronic Equipment — 1.5%
                   
  1,300,000    
General Electric Co.
  5.00     2/1/13       1,285,311  
       
 
                 
       
 
                   
       
Financial Services — 10.6%
                   
  500,000    
American General Finance Corp.
  4.00     3/15/11       473,904  
  500,000    
Associates Corp.
  6.88     11/15/08       516,655  
  500,000    
Bear Stearns Co., Inc.
  4.50     10/28/10       486,597  
  500,000    
Boeing Capital Corp.
  5.80     1/15/13       516,060  
  750,000    
Countrywide Financial
  4.25     12/19/07       740,852  
  345,000    
General Electric Capital Corp., MTN
  6.13     2/22/11       357,944  
  75,000    
Goldman Sachs Group, Inc.
  6.88     1/15/11       79,490  
  500,000    
Goldman Sachs Group, Inc.
  5.70     9/1/12       508,504  
  400,000    
Goldman Sachs Group, Inc.
  5.15     1/15/14       391,069  
  250,000    
Household Finance Corp.
  8.00     7/15/10       273,118  
  500,000    
Household Finance Corp.
  4.75     7/15/13       482,926  
  20,000    
J.P. Morgan & Co., Inc.
  5.75     10/15/08       20,167  
  155,000    
J.P. Morgan & Co., Inc., MTN
  6.00     1/15/09       157,285  
  500,000    
J.P. Morgan Chase & Co.
  5.75     1/2/13       511,308  
  500,000    
J.P. Morgan Chase & Co.
  5.25     5/1/15       491,522  
continued

3


 

SIGNAL FUNDS
Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                    
Principal       Interest     Maturity        
Amount ($)   Security Description   Rate     Date       Value ($)  
 
  395,000    
J.P. Morgan Chase Bank
  6.13     11/1/08       403,302  
  500,000    
Morgan Stanley
  3.63     4/1/08       488,421  
  400,000    
Morgan Stanley
  4.25     5/15/10       386,808  
  1,000,000    
Prudential Financial, Inc.
  4.50     7/15/13       948,061  
  500,000    
SLM Corp.
  5.38     1/15/13       498,688  
  500,000    
SLM Corp.
  5.38     5/15/14       496,123  
       
 
                 
       
 
                9,228,804  
       
 
                 
       
 
                   
       
Food Products & Services — 0.5%
                   
  140,000    
Campbell Soup Co.
  6.90     10/15/06       140,060  
  300,000    
Kraft Foods, Inc.
  4.00     10/1/08       292,888  
       
 
                 
       
 
                432,948  
       
 
                 
       
 
                   
       
Insurance — 1.1%
                   
  1,000,000    
Everest Reinsurance Holding
  5.40     10/15/14       975,075  
       
 
                 
       
 
                   
       
Insurance - Life — 0.6%
                   
  513,000    
Lincoln National Corp
  6.50     3/15/08       521,229  
       
 
                 
       
 
                   
       
Investment Management and Advisory Services — 0.6%
                   
  500,000    
FMR Corp.*
  4.75     3/1/13       485,811  
       
 
                 
       
 
                   
       
Medical - Drugs — 0.9%
                   
  800,000    
Bristol-Meyers Squibb Co.
  5.75     10/1/11       814,906  
       
 
                 
       
 
                   
       
Real Estate Operation/Development — 0.4%
                   
350,000  
EOP Operating Limited Partnership
  4.75     3/15/14       331,062  
       
 
                 
       
 
                   
       
Restaurants — 1.2%
                   
  800,000    
Darden Restaurants
  4.88     8/15/10       783,231  
  280,000    
McDonald’s Corp.
  6.00     4/15/11       288,601  
       
 
                 
       
 
                1,071,832  
       
 
                 
       
 
                   
       
Retail — 0.2%
                   
  200,000    
Sherwin-Williams Co.
  6.85     2/1/07       200,664  
       
 
                 
       
 
                   
       
Utilities - Electric — 1.9%
                   
  950,000    
National Rural Utilities
  3.25     10/1/07       931,699  
  200,000    
Tennessee Valley Authority, Series A
  5.63     1/18/11       204,995  
  500,000    
Union Electric Co.
  6.75     5/1/08       509,890  
       
 
                 
       
 
                1,646,584  
       
 
                 
       
Total Corporate Bonds (cost - $25,674,372)
                25,235,283  
       
 
                 
continued

4


 

SIGNAL FUNDS
Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                      
Principal         Interest     Maturity        
Amount ($)     Security Description   Rate     Date       Value ($)  
 
       
 
                   
       
U.S. Government Agencies — 60.5%
                   
  400,000    
Fannie Mae
  7.13     3/15/07       403,188  
  1,000,000    
Fannie Mae
  3.63     7/27/07       987,426  
  1,500,000    
Fannie Mae
  4.30     5/5/08       1,484,154  
  1,000,000    
Fannie Mae
  4.00     9/2/08       980,246  
  250,000    
Fannie Mae
  5.25     1/15/09       251,581  
  500,000    
Fannie Mae, Callable 11/30/07 @ 100
  4.00     11/30/09       486,427  
  200,000    
Fannie Mae
  4.25     7/28/10       194,810  
  150,000    
Fannie Mae
  6.25     2/1/11       156,831  
  1,000,000    
Fannie Mae
  4.55     3/9/11       978,478  
  750,000    
Fannie Mae
  5.38     11/15/11       766,081  
  100,000    
Fannie Mae
  5.25     8/1/12       100,523  
  750,000    
Fannie Mae
  6.00     12/14/12       749,816  
  300,000    
Fannie Mae
  5.00     4/15/13       294,405  
  500,000    
Fannie Mae
  4.63     10/15/14       489,000  
  500,000    
Fannie Mae
  5.31     11/3/14       492,230  
  467,789    
Fannie Mae
  5.00     6/25/16       459,543  
  800,000    
Fannie Mae, Callable 4/26/10 @ 100
  5.00     4/26/17       774,592  
  901,778    
Fannie Mae
  5.68     2/25/20       887,842  
  456,323    
Fannie Mae
  4.50     6/25/33       436,561  
  324,877    
Fannie Mae
  5.00     3/25/34       320,283  
  2,000,000    
Fed Farm Credit Bank
  5.20     3/21/16       2,032,218  
  500,000    
Federal Farm Credit Bank, MTN
  5.87     9/2/08       507,819  
  750,000    
Federal Farm Credit Bank
  5.20     2/24/10       745,444  
  420,000    
Federal Farm Credit Bank
  5.81     1/10/11       433,602  
  750,000    
Federal Farm Credit Bank, Callable 11/29/06 @ 100
  4.65     11/29/11       733,180  
  250,000    
Federal Farm Credit Bank
  5.22     10/20/14       245,292  
  500,000    
Federal Farm Credit Bank
  5.63     10/19/20       490,982  
  285,000    
Federal Home Loan Bank, Series TV06
  4.88     11/15/06       284,823  
  800,000    
Federal Home Loan Bank
  4.50     6/6/08       792,393  
  500,000    
Federal Home Loan Bank
  4.05     8/13/08       491,341  
  1,065,000    
Federal Home Loan Bank, Series 100
  5.80     9/2/08       1,077,980  
  325,000    
Federal Home Loan Bank, Series 8D08
  5.25     11/14/08       326,385  
  875,000    
Federal Home Loan Bank
  5.49     12/22/08       881,350  
  400,000    
Federal Home Loan Bank
  4.28     10/30/09       391,413  
  200,000    
Federal Home Loan Bank, Series 5
  4.00     3/30/10       198,392  
  1,250,000    
Federal Home Loan Bank, Series 1
  4.75     3/30/10       1,232,611  
  550,000    
Federal Home Loan Bank
  4.00     4/22/10       533,120  
  1,500,000    
Federal Home Loan Bank
  5.00     8/9/10       1,479,660  
  750,000    
Federal Home Loan Bank
  5.20     10/28/10       744,339  
  500,000    
Federal Home Loan Bank
  5.00     2/24/11       498,185  
  100,000    
Federal Home Loan Bank, Series 1N11
  6.00     5/13/11       104,513  
  1,000,000    
Federal Home Loan Bank
  5.00     8/3/11       986,382  
  1,000,000    
Federal Home Loan Bank, Callable 2/16/07 @ 100
  4.75     2/16/12       976,861  
  500,000    
Federal Home Loan Bank
  5.00     2/21/12       492,514  
  1,200,000    
Federal Home Loan Bank
  5.25     5/3/12       1,186,717  
  200,000    
Federal Home Loan Bank
  4.50     10/29/13       197,461  
continued

5


 

SIGNAL FUNDS
Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                      
Principal         Interest     Maturity        
Amount ($)     Security Description   Rate     Date       Value ($)  
 
  500,000    
Federal Home Loan Bank
  4.25     1/30/15       495,653  
  1,000,000    
Federal Home Loan Bank
  5.74     4/20/15       992,586  
  500,000    
Federal Home Loan Bank
  4.00     6/26/18       483,739  
  500,000    
Federal Home Loan Bank
  5.65     3/22/19       490,440  
  500,000    
Federal Home Loan Bank, Callable 11/4/09 @ 100
  5.30     11/4/19       484,560  
  500,000    
Federal Home Loan Bank, Callable 12/27/06 @ 100
  5.85     12/27/19       492,478  
  1,000,000    
Federal Home Loan Mortgage Corp.
  4.13     8/1/18       981,216  
  200,000    
Freddie Mac
  3.25     3/14/08       195,106  
  50,000    
Freddie Mac
  5.75     4/15/08       50,548  
  750,000    
Freddie Mac
  4.85     12/1/09       742,667  
  117,056    
Freddie Mac
  3.75     4/15/11       116,713  
  1,000,000    
Freddie Mac
  6.25     3/5/12       1,003,782  
  750,000    
Freddie Mac, Callable 11/5/07 @ 100
  5.25     11/5/12       742,734  
  1,500,000    
Freddie Mac
  4.80     7/30/13       1,448,567  
  500,000    
Freddie Mac
  5.13     8/6/13       491,995  
  1,500,000    
Freddie Mac, Callable 1/30/07 @ 100
  5.00     1/30/14       1,485,422  
  895,000    
Freddie Mac
  4.00     8/26/14       887,319  
  1,500,000    
Freddie Mac
  4.00     10/14/14       1,478,823  
  500,000    
Freddie Mac, Callable 10/27/06 @ 100
  5.00     10/27/14       495,012  
  750,000    
Freddie Mac
  5.00     11/13/14       741,485  
  1,000,000    
Freddie Mac
  5.40     9/22/15       983,555  
  2,000,000    
Freddie Mac, Callable
  5.00     2/13/18       1,955,919  
  500,000    
Freddie Mac, Callable
  4.50     7/15/18       479,951  
  496,000    
Freddie Mac, Callable
  5.00     7/30/18       474,958  
  1,500,000    
Freddie Mac
  5.00     1/15/19       1,488,656  
  725,000    
Freddie Mac
  5.00     6/11/21       681,997  
  356,907    
Freddie Mac
  4.75     3/15/22       350,045  
  1,458,800    
Freddie Mac
  5.00     8/15/27       1,443,401  
  558,291    
Freddie Mac, Series 2664
  5.00     4/15/30       552,610  
  265,825    
Freddie Mac
  5.50     10/15/31       266,178  
       
 
                 
       
Total U.S. Government Agencies (cost - $53,262,811)
                52,737,109  
       
 
                 
       
 
                   
       
U.S. Treasury Securities — 9.7%
                   
  1,500,000    
U.S. Treasury Notes
  4.50     2/15/09       1,494,668  
  3,000,000    
U.S. Treasury Notes
  3.63     1/15/10       2,911,055  
  150,000    
U.S. Treasury Notes
  3.50     2/15/10       144,850  
  500,000    
U.S. Treasury Notes
  4.00     3/15/10       490,508  
  500,000    
U.S. Treasury Notes
  4.50     2/28/11       498,125  
  1,750,000    
U.S. Treasury Notes
  4.00     11/15/12       1,695,039  
  200,000    
U.S. Treasury Notes
  4.75     5/15/14       201,695  
  750,000    
U.S. Treasury Notes
  4.25     11/15/14       731,426  
  250,000    
U.S. Treasury Notes
  1.63     1/15/15       253,428  
       
 
                 
       
Total U.S. Treasury Securities (cost - $8,598,328)
                8,420,794  
       
 
                 
continued

6


 

SIGNAL FUNDS
Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                      
Principal         Interest     Maturity        
Amount ($)     Security Description   Rate     Date       Value ($)  
 
       
 
                   
       
Investment Companies — 0.1%
                   
  134,140    
Huntington Money Market Fund - Trust Class
                134,140  
       
 
                 
 
       
Total Investment Companies (cost - $134,140)
                134,140  
       
 
                 
       
Total Investments – 99.2% (cost - $87,669,651)
                86,527,326  
       
 
                 
     
 
Percentages indicated are based on net assets of $87,216,032
*
  144A security is restricted as to resale to institutional investors. These securities have been deemed liquid under guidelines established by the Board of Trustees.
 
   
BKNT – Bank Note
MTN – Medium Term Note
See notes to financial statements.

7


 

SIGNAL FUNDS
Tax-Exempt Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                      
Principal         Interest     Maturity        
Amount ($)     Security Description   Rate     Date       Value ($)  
 
       
 
                   
       
Municipal Bonds — 98.5%
                   
       
 
                   
       
Alabama — 1.1%
                   
  210,000    
Daphne Alabama, GO, Callable 2/1/13 @ 100, Insured by: AMBAC
    4.00%     8/1/14       213,041  
       
 
                 
       
 
                   
       
California — 1.3%
                   
  250,000    
La Mirada California Redevelopment Agency, Callable 8/15/14 @ 100, Insured by: FSA
  4.25     8/15/19       253,498  
       
 
                 
       
 
                   
       
Florida — 1.9%
                   
  380,000    
Hillsborough County Florida Individual Development Authority
  5.00     10/1/07       384,210  
       
 
                 
       
 
                   
       
Illinois — 2.6%
                   
  20,000    
Du Page County Illinois High School District
  5.05     12/1/14       20,330  
  180,000    
Du Page County Illinois High School District
  5.05     12/1/14       183,091  
  300,000    
Northlake Illinois, Series A, GO, Callable 12/1/08 @ 100, Insured by: AMBAC
  5.00     6/1/14       308,571  
       
 
                 
       
 
                511,992  
       
 
                 
       
 
                   
       
Indiana — 56.6%
                   
  200,000    
Anderson Indiana School Building Corp., Insured by: FSA
  4.00     7/15/15       203,102  
  260,000    
Bloomington Indiana Municipal Facilities Corp., Callable 2/1/08 @ 101
  4.80     8/1/12       266,061  
  200,000    
Carmel Indiana Redevelopment Authority, Insured by: MBIA
  4.25     8/1/11       205,524  
  380,000    
Center Grove Indiana Building Corp., Insured by: FGIC
  3.50     1/15/11       378,190  
  150,000    
Clarksville Indiana High School Building Corp., Callable 7/15/08 @ 101, Insured by: MBIA
  5.00     7/15/14       154,964  
  225,000    
Cloverdale Indiana Multi-School Building Corp., Callable 1/15/08 @ 102, Insured by: MBIA
  4.95     1/15/11       233,372  
  200,000    
Crown Point Indiana Multi-School Building Corp., Callable 7/15/09 @ 101, Insured by: MBIA
  4.80     1/15/14       207,558  
  295,000    
Delaware County Indiana Edit Corp., Callable 12/1/07 @ 101, Insured by: MBIA
  5.00     12/1/12       302,528  
  125,000    
Eagle Union Middle School Building Corp. Indiana, Callable 7/5/11 @ 100, Insured by: AMBAC
  4.85     7/5/15       130,706  
  300,000    
East Washington Indiana Multi School Building Corp., Insured by : MBIA
  3.90     7/15/14       303,000  
  295,000    
Elkhart Indiana Community Schools, Callable 7/15/14
  4.30     7/15/18       299,865  
  100,000    
Fall Creek Indiana Regulatory Waste District, Callable 9/1/10 @ 100, Insured by: MBIA
  4.70     3/1/13       103,824  
  165,000    
Fort Wayne Indiana Stormwater Managemet District Revenue, Insured by : MBIA
  4.00     8/1/13       167,955  
  260,000    
Greencastle Indiana Multi-School Building Corp., Callable 7/10/12 @100, Insured by: FGIC
  4.10     1/10/13       265,343  
  300,000    
Greencastle Indiana Waterworks Revenue, Callable 1/1/12 @ 100, Insured by: MBIA
  4.25     7/1/13       307,782  
  275,000    
Indiana Bank Revenue, Insured by: MBIA
  4.00     4/1/09       277,926  
  290,000    
Indiana Bank Revenue, Series A, Callable 2/1/09 @ 102, Insured by: FSA
  4.60     2/1/13       299,744  
  200,000    
Indiana Bank Revenue
  4.80     2/1/13       204,872  
  65,000    
Indiana Bank Revenue
  4.80     2/1/13       66,711  
  70,000    
Indiana Health Facilities Financing Authority, Callable 8/15/07 @ 102, Insured by: RADIAN
  5.50     2/15/10       72,537  
  325,000    
Indiana State Educatonal Facilities Authority, Callable 10/15/08 @ 101
  4.95     10/15/12       335,439  
  300,000    
Indiana State Office Building Community Facilities, Series A, Callable 7/1/08 @ 101
  4.70     7/1/11       308,019  
continued

8


 

SIGNAL FUNDS
Tax-Exempt Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                      
Principal         Interest     Maturity        
Amount ($)     Security Description   Rate     Date       Value ($)  
 
  100,000    
Johnson County Indiana, GO, Insured by: FSA
  4.10     7/15/07       100,438  
  265,000    
La Porte Indiana Multi School Building Corp., Insured by: FSA
  4.00     1/15/10       268,487  
  305,000    
Lafayette Indiana Redevelopment Authority, Callable 2/1/13 @ 100
  3.75     8/1/13       304,988  
  75,000    
Marion County Indiana Convention and Recreational Facilities Authority, Series A, Callable 6/1/08 @ 101
  5.00     6/1/12       77,428  
  275,000    
Mitchell Indiana Multi-School Building Corp.
  4.65     7/5/13       290,133  
  300,000    
Montgomery County Indiana Jail Facility Building Corp., Callable 1/15/15 @ 100, Insured by: FSA
  4.00     7/15/16       301,248  
  150,000    
Mt. Vernon of Hancock County Indiana Multi-School Building Corp., Series B, Callable 7/15/11 @ 100, Insured by: AMBAC
  4.70     1/15/12       156,845  
  200,000    
Munster Indiana School Building Corp., Callable 7/5/08 @ 101, Insured by: FSA
  4.60     7/5/10       205,512  
  265,000    
Nobelsville Indiana Redevelopment Authority
  4.00     8/1/08       267,173  
  400,000    
North Montgomery Indiana High School Building Corp., Callable 1/15/11 @ 100, Insured by: FGIC
  5.05     7/15/15       420,203  
  100,000    
Northwest Allen County Indiana Middle School Building Corp., Callable 1/15/09 @ 101, Insured by: MBIA
  4.75     1/15/12       103,591  
  200,000    
Northwest Allen County Indiana Middle School Building Corp., Callable 1/15/09 @ 101, Insured by: MBIA
  4.90     1/15/14       207,834  
  240,000    
Perry Township Indiana Multi-School Building Corp., Callable 7/15/10 @101, Insured by: FGIC
  4.63     1/15/15       249,497  
  300,000    
Porter County Indiana Jail Building Corp., Callable 7/10/11 @ 100, Insured by: FSA
  5.00     7/10/16       315,009  
  275,000    
Princeton Indiana Sewer Works Revenue, Callable 5/1/09 @ 101
  4.50     5/1/13       275,894  
  200,000    
Purdue University Indiana, University Revenue
  4.00     7/1/12       203,380  
  50,000    
Purdue University Indiana Certificates Participation, Callable 7/1/08 @ 100
  4.50     7/1/09       50,709  
  250,000    
Rochester Indiana Community School Building Corp., Callable 7/15/08 @ 102, Insured by: AMBAC
  5.00     7/15/13       260,840  
  200,000    
South Bend Indiana Community School Building Corp., Callable 1/1/10 @ 101, Insured by: FSA
  4.60     7/1/13       206,598  
  225,000    
South Bend Indiana Community School Building Corp., Callable 1/1/10 @ 101, Insured by: FSA
  5.10     7/1/17       236,594  
  400,000    
Sunman-Dearbon Indiana High School Building Corp., Insured by: MBIA
  4.00     7/15/12       407,219  
  125,000    
Terre Haute Indiana San District, GO, Callable 1/1/07 @ 102, Insured by: AMBAC
  4.60     7/1/10       127,663  
  300,000    
Terre Haute Indiana San District, Callable 1/1/15 @ 100, Insured by: AMBAC
  4.00     7/1/17       301,032  
  200,000    
Vinton-Tecumseh Indiana School Building Corp., Callable 1/5/08 @ 101, Insured by: SAW
  5.00     7/5/13       205,376  
  300,000    
Warren Township Indiana School Building Corp., Callable 7/5/08 @ 101, Insured by: FSA
  5.00     7/5/14       309,822  
  275,000    
Whitley County Indiana Middle School Building Corp., Callable 7/10/08 @ 101, Insured by: FSA
  4.80     1/10/11       283,550  
       
 
                 
       
 
                11,232,085  
       
 
                 
continued

9


 

SIGNAL FUNDS
Tax-Exempt Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                    
Principal       Interest     Maturity        
Amount ($)   Security Description   Rate     Date       Value ($)  
 
       
 
                   
       
Kansas — 1.2%
                   
  250,000    
Kansas State Development Finance Authority Revenue
  3.25     11/1/09       248,118  
       
 
                 
       
 
                   
       
Kentucky — 2.2%
                   
  250,000    
Jessamine County Kentucky School District, Insured by: AMBAC
  4.00     1/1/14       254,715  
  185,000    
Kentucky Rural Water Financial Corp., Series C, Callable 2/01/12 @ 101, Insured by: MBIA
  3.88     2/1/14       187,054  
       
 
                 
       
 
                441,769  
       
 
                 
       
 
                   
       
Michigan — 5.3%
                   
  250,000    
Green Oak Township Michigan — Sewer, GO, Callable 5/1/12 @ 100, Insured by: MBIA
  4.00     5/1/17       251,610  
  300,000    
Macomb Township Michigan Building Authority, GO, Callable 4/1/11 @ 100, Insured by: AMBAC
  4.75     4/1/16       314,697  
  150,000    
Michigan Higher Education Facilities Authority Revenue, Callable 12/1/12 @ 100
  5.00     12/1/20       155,867  
  320,000    
Warren Michigan Downtown Development, GO, Insured by: MBIA
  4.00     10/1/14       325,923  
       
 
                 
       
 
                1,048,097  
       
 
                 
       
 
                   
       
Missouri — 2.6%
                   
  200,000    
Creve Coeur Missouri, SO
  3.50     1/1/13       198,332  
  300,000    
Jefferson County Missouri School District, GO, Callable 3/1/14 @ 100, Insured by: MBIA
  4.35     3/1/16       310,950  
       
 
                 
       
 
                509,282  
       
 
                 
       
 
                   
       
Nevada — 1.3%
                   
  250,000    
University of Nevada Community College, Series A, Callable 7/1/11 @ 100, Insured by: FGIC
  4.45     7/1/12       257,745  
       
 
                 
       
 
                   
       
New York — 2.2%
                   
  400,000    
New York General Obligation Unlimited
  5.00     8/1/18       431,200  
       
 
                 
       
 
                   
       
North Carolina — 1.5%
                   
  300,000    
Davie County NC
  3.75     6/1/11       301,392  
       
 
                 
       
 
                   
       
North Dakota — 1.5%
                   
  300,000    
North Dakota State Building Authority Lease Revenue, Callable 12/1/13 @ 100
  3.70     12/1/15       297,228  
       
 
                 
       
 
                   
       
Ohio — 1.3%
                   
  250,000    
Akron Ohio Package Facility Project, Series A, Insured by: AMBAC
  3.50     12/1/10       249,705  
       
 
                 
       
 
                   
       
Pennsylvania — 0.8%
                   
  150,000    
Pennsylvania State Higher Educational Facilities Authority College & University Revenue, Callable 7/1/11 @ 100, Insured by: ASST GTY
  5.38     7/1/23       157,892  
       
 
                 
continued

10


 

SIGNAL FUNDS
Tax-Exempt Income Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                    
Principal       Interest     Maturity        
Amount ($)   Security Description   Rate     Date       Value ($)  
 
       
 
                   
       
Texas — 2.9%
                   
  350,000    
Brownsville Texas, GO, Callable 2/15/14 @ 100, Insured by: AMBAC
  4.00     2/15/17       350,650  
  225,000    
Keller Texas, Insured by: MBIA
  3.75     2/15/11       226,253  
       
 
                 
       
 
                576,903  
       
 
                 
       
 
                   
       
Utah — 2.5%
                   
  200,000    
South Davis Recreation District Utah, Callable 1/1/15 @ 100, Insured by: XLCA
  4.38     1/1/20       203,102  
  300,000    
Utah State Building Ownership Authority Lease Revenue
  3.25     5/15/09       296,178  
       
 
                 
       
 
                499,280  
       
 
                 
       
 
                   
       
Virginia — 1.4%
                   
  285,000    
Chesterfield County VA Certificates Participation
  4.25     11/1/06       285,131  
       
 
                 
       
 
                   
       
Washington — 4.6%
                   
  300,000    
Seattle Washington Municipal Light and Power Revenue, Insured by: FSA
  3.25     8/1/11       292,716  
  300,000    
Washington State, Series 2003A, GO, Callable 7/1/12 @ 100
  5.00     7/1/14       319,512  
  300,000    
Washington State, Callable 4/1/14 @ 100, Insured by: MBIA
  4.25     10/1/15       308,532  
       
 
                 
       
 
                920,760  
       
 
                 
       
 
                   
       
Wisconsin — 3.8%
                   
  400,000    
Chilton Wisconsin School District, Callable 4/1/12, Insured by: FGIC
  4.00     4/1/13       404,919  
  50,000    
Elmbrook Wisconsin School District, GO, Callable 4/1/12 @ 100
  4.13     4/1/15       50,477  
  295,000    
Green Bay Wisconsin Area Public School District, Insured by: FGIC, Series B
  3.38     4/1/10       293,127  
       
 
                 
       
 
                748,523  
       
 
                 
       
Total Municipal Bonds (cost - $19,260,103)
                19,567,851  
       
 
                 
       
 
                   
       
Money Market — 1.0%
                   
  200,948    
Fidelity Institutional Tax-Exempt Portfolio
                200,948  
       
 
                 
       
Total Money Market (cost - $200,948)
                200,948  
       
 
                 
       
Total Investments – 99.5% (cost - $19,461,051)
                19,768,799  
       
 
                 
 
Percentages indicated are based on net assets of $19,858,800.
AMBAC – AMBAC Indemnity Corp.
ASST GTY – Asset Guaranty
FGIC – Financial Guaranty Insurance Co.
FSA – Financial Security Assurance, Inc.
GO – General Obligation
MBIA – Municipal Bond Insurance Assoc.
RADIAN – RADIAN Guaranty, Inc.
SAW – State Aid Withholding
SO – Special Obligation
XLCA – XL Capital Assurance, Inc.
See notes to financial statements.

11


 

SIGNAL FUNDS
Money Market Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                    
Principal       Interest     Maturity        
Amount ($)   Security Description   Rate     Date       Value ($)  
 
       
 
                   
       
Asset Backed Securities — 27.0%
                   
       
 
                   
       
Finance Services — 27.0%
                   
  1,000,000    
Amsterdam Funding* (a)(b)
    5.26%     10/5/06       999,416  
  1,250,000    
Barton Capital, LLC. *
  5.26     11/6/06       1,243,425  
  2,250,000    
Fairway Finance Co., LLC. * (a)(b)
  5.26     12/13/06       2,226,001  
  1,200,000    
Fountain Square *
  5.25     10/12/06       1,198,075  
  1,149,000    
Fountain Square *
  5.26     10/13/06       1,146,985  
  1,500,000    
Grampian Funding, LLC. * (a)
  5.37     10/25/06       1,494,630  
  500,000    
Grampian Funding, LLC. * (a)
  5.09     10/16/06       498,940  
  2,500,000    
Kitty Hawk Funding * (a)
  5.26     10/18/06       2,493,790  
  2,500,000    
Old Line Funding Corp. * (a)
  5.26     10/12/06       2,495,982  
  2,000,000    
Sheffield Receivables *
  5.26     11/2/06       1,990,649  
  2,300,000    
Stratford Receivables * (b)
  5.28     10/6/06       2,298,313  
  2,250,000    
Thames Asset Global *
  5.27     11/14/06       2,235,508  
  2,300,000    
Three Pillars Funding *
  5.26     10/16/06       2,294,959  
  2,500,000    
Windmill Funding, Corp. * (a) (b)
  5.26     10/5/06       2,498,539  
       
 
                 
       
Total Asset Backed Securities (cost - $25,115,212)
                25,115,212  
       
 
                 
       
 
                   
       
Certificates of Deposit — 16.0%
                   
       
 
                   
       
Foreign Bank & Branches & Agencies — 7.7%
                   
  500,000    
BNP Paribas
  5.47     10/24/06       500,027  
  2,250,000    
CIBC
  5.32     12/13/06       2,250,000  
  2,500,000    
Societe Generale
  5.25     11/27/06       2,479,218  
  2,000,000    
Toronto Dominion
  5.33     11/8/06       2,000,000  
       
 
                 
       
 
                7,229,245  
       
 
                 
       
 
                   
       
National Banks, Commercial — 2.9%
                   
  2,700,000    
Wells Fargo Bank
  5.27     10/25/06       2,700,000  
       
 
                 
       
 
                   
       
Security Brokers & Dealers — 5.4%
                   
  1,500,000    
Credit Suisse (a)(b)
  5.31     11/20/06       1,500,010  
  3,500,000    
UBS Finance *
  5.29     10/31/06       3,499,989  
       
 
                 
       
 
                4,999,999  
       
 
                 
       
Total Certificates of Deposit (cost - $14,929,244)
                14,929,244  
       
 
                 
       
 
                   
       
Commercial Paper — 28.6%
                   
       
 
                   
       
Bank Holdings Companies — 7.4%
                   
  2,250,000    
Bank of America Corp. *
  5.25     10/27/06       2,241,469  
  3,700,000    
Citigroup Funding *
  5.25     10/19/06       3,690,287  
  1,000,000    
Greenwich Capital**
  5.15     10/23/06       996,853  
       
 
                 
       
 
                6,928,609  
       
 
                 
       
 
                   
       
Foreign Bank & Branches & Agencies — 17.4%
                   
  2,000,000    
ABN AMRO *
  5.25     11/6/06       1,989,500  
  2,500,000    
Barclays US Funding, LLC. *
  5.31     10/10/06       2,496,681  
  2,250,000    
CBA DEL Finance *
  5.36     10/6/06       2,248,325  
  1,500,000    
Deutsche Bank *
  5.25     10/20/06       1,495,844  
  2,500,000    
Dexia DEL, LLC. *
  5.26     10/10/06       2,496,706  
  1,500,000    
Dexia DEL, LLC. *
  5.26     10/16/06       1,496,713  
  2,500,000    
HBOS Treasury Services *
  5.25     11/9/06       2,485,592  
  1,500,000    
Societe Generale *
  5.25     1/8/07       1,478,344  
       
 
                 
       
 
                16,187,705  
       
 
                 
continued

12


 

SIGNAL FUNDS
Money Market Fund
Schedule of Portfolio Investments
September 30, 2006
(Unaudited)
                             
Shares or                    
Principal       Interest     Maturity        
Amount ($)   Security Description   Rate     Date       Value ($)  
 
       
 
                   
       
Personal Credit Institutions — 3.8%
                   
  3,500,000    
General Electric Cap Corp. *
  5.26     10/17/06       3,491,818  
       
 
                 
       
Total Commercial Paper (cost - $26,608,132)
                26,608,132  
       
 
                 
       
 
                   
       
U.S. Government Agencies — 12.9%
                   
  2,000,000    
Federal Farm Credit Bank**
  5.05     1/22/07       2,000,483  
  1,000,000    
Federal Home Loan Bank
  4.38     10/26/06       1,000,000  
  500,000    
Federal Home Loan Bank
  5.44     8/16/07       500,000  
  500,000    
Federal Home Loan Bank
  5.50     8/21/07       500,000  
  1,250,000    
Federal Home Loan Bank**
  4.58     2/22/07       1,250,000  
  1,250,000    
Federal Home Loan Bank**
  4.48     3/2/07       1,250,000  
  1,500,000    
Federal Home Loan Bank**
  4.53     5/4/07       1,498,073  
  1,000,000    
Federal Home Loan Bank**
  5.05     5/15/07       999,981  
  1,100,000    
Federal Home Loan Mortgage Corp.
  4.75     1/22/07       1,100,000  
  900,000    
Federal Home Loan Mortgage Corp.
  4.80     2/20/07       900,000  
  1,000,000    
Federal National Mortgage Association**
  5.26     12/22/06       999,993  
       
 
                 
       
Total U.S. Government Agencies (cost - $11,998,530)
                11,998,530  
       
 
                 
       
 
                   
       
Investment Companies — 2.8%
                   
  940,390    
BlackRock Provident Institutional Temp Fund
                940,390  
  51,662    
Goldman Sachs Financial Square Prime Obligations Fund
                51,662  
  376    
Merrill Lynch Premiere Institutional Fund
                376  
  1,648,040    
Morgan Stanley Liquidity Prime Fund
                1,648,040  
       
 
                 
       
Total Investment Companies (cost - $2,640,468)
                2,640,468  
       
 
                 
       
 
                   
       
Repurchase Agreements — 12.9%
                   
       
 
                   
       
Security Broker & Dealers — 12.9%
                   
  4,000,000    
Merrill Lynch (Dated 09/29/06, due 10/02/06, proceeds at maturity $4,001,667, fully collateralized by U.S.Treasury Note 3.0%, due 07/15/12, valued at $4,070,310)
                4,000,000  
       
 
                 
  4,000,000    
Morgan Stanley (Dated 09/29/06, due 10/02/06, proceeds at maturity $4,001,640, fully collateralized by U.S.Treasury Note 6.5%, due 02/15/10, valued at $4,032,990)
                4,000,000  
       
 
                 
  4,000,000    
Wachovia (Dated 09/29/06, due 10/02/06, proceeds at maturity $4,001,670, fully collateralized by U.S.Treasury Note 11.25%, due 02/15/15, valued at $4,003,601)
                4,000,000  
       
 
                 
       
Total Repurchase Agreements (cost - $12,000,000)
                12,000,000  
       
 
                 
       
Total Investments - 100.2% (cost - $93,291,586)***
                93,291,586  
       
 
                 
 
Percentages indicated are based on net assets of $93,024,622.
*   Discount Note securities. The rate reflected on the Schedule of Portfolio Investment is the effective rate of the security.
**   Variable rate securities having liquidity agreements. The interest rate, which will change periodically, is based upon an index of market rates. The rate reflect on the Schedule of Portfolio Investments is the rate in effect at September 30, 2006.
***   Cost for federal income tax purposes is the same.
(a)   4-2 security exempt from registration under the Securities Act of 1933. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(b)   Security exempt from registration under Rule 144a of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See notes to financial statements.

13


 

SIGNAL FUNDS
Statements of Assets and Liabilities
September 30, 2006
(Unaudited)
                                 
    Large Cap             Tax-Exempt        
    Growth     Income     Income     Money Market  
    Fund     Fund     Fund     Fund  
Assets:
                               
Investments, at value (Cost $29,019,658; $87,669,651;
                               
$19,461,051; and $81,291,586, respectively)
    $36,970,217       $86,527,326       $19,768,799       $81,291,586  
Repurchase agreements, at cost
                      12,000,000  
 
                       
Total Investments
    36,970,217       86,527,326       19,768,799       93,291,586  
Cash
                      17,474  
Interest and dividends receivable
    23,947       1,001,155       224,114       153,228  
Receivable for capital shares issued
    15,171       74,710       1,418        
Receivable for investments sold
    167,995                    
Prepaid expenses and other assets
    5,285       3,742       1,428       3,915  
 
                       
Total Assets
    37,182,615       87,606,933       19,995,759       93,466,203  
 
                       
 
                               
Liabilities:
                               
Distributions payable
    9,907       337,301       52,953       400,032  
Payable for capital shares redeemed
    2,620       4,619       68,740        
Accrued expenses and other payables:
                               
Investment advisory fees
    18,083       20,259       1,645       4,184  
Administration fees
    1,019       2,460       521       3,140  
Distribution fees
    143       56       31        
Transfer agent fees
    6,134       5,785       4,452       4,636  
Trustee fees
    802       547       185       1,003  
Chief Compliance Officer fees
    74       679       65       112  
Other liabilities
    15,664       19,195       8,367       28,474  
 
                       
Total Liabilities
    54,446       390,901       136,959       441,581  
 
                       
 
                               
Net Assets:
    $37,128,169       $87,216,032       $19,858,800       $93,024,622  
 
                       
 
                               
Composition of Net Assets:
                               
Capital
    25,081,401       88,803,757       19,522,609       93,024,753  
Distributions in excess of net investment income
    (668 )     18,595             (2 )
Accumulated net realized gains (losses) on investment transactions
    4,096,877       (463,995 )     28,443       (129 )
Net unrealized appreciation (depreciation) on investment transactions
    7,950,559       (1,142,325 )     307,748        
 
                       
Net Assets
    $37,128,169       $87,216,032       $19,858,800       $93,024,622  
 
                       
 
                               
Class A Shares:
                               
Net assets
    $675,794       $268,372       $136,960        
 
                       
Shares outstanding ($0.001 par value)
    57,141       27,777       13,943        
 
                       
Net Asset Value and Redemption Price per share
    $11.83       $9.66       $9.82        
 
                       
Maximum Sales Load
    4.75%       3.25%       3.25%        
 
                       
Maximum Offering Price per share (100%/(100%—maximum sales charge)
of net asset value adjusted to the nearest cent)
    $12.42       $9.98       $10.15        
 
                       
 
                               
Class I Shares:
                               
Net assets
    $36,452,375       $86,947,660       $19,721,840       $93,024,622  
 
                       
Shares outstanding ($0.001 par value)
    3,055,629       8,998,416       2,007,688       93,029,325  
 
                       
Net Asset Value, Offering Price, and Redemption Price per share
    $11.93       $9.66       $9.82       $1.00  
 
                       
See notes to financial statements.

14


 

SIGNAL FUNDS
Statements of Operations
For the period ended September 30, 2006
(Unaudited)
                                 
    Large Cap             Tax-Exempt        
    Growth     Income     Income     Money Market  
    Fund     Fund     Fund     Fund  
Investment Income:
                               
Interest
    $4,563       $2,390,542       $418,388       $2,409,550  
Dividends
    231,967       58,333       6,007       150,439  
 
                       
Total Investment Income
    236,530       2,448,875       424,395       2,559,989  
 
                       
 
                               
Expenses:
                               
Investment advisory
    147,427       246,913       50,430       50,189  
Administration
    37,348       93,827       19,163       120,453  
Distribution (Class A)
    882       355       180        
Fund accounting
    28,197       37,524       33,845       21,221  
Custodian
    3,149       6,554       1,453       23,570  
Transfer agent
    21,255       19,481       14,803       15,880  
Trustee
    689       2,863       524       2,355  
Chief Compliance Officer
    1,438       3,380       757       3,733  
Other
    19,110       39,748       10,118       40,303  
 
                       
Total expenses before fee reductions
    259,495       450,645       131,273       277,704  
Expenses voluntarily reduced by Investment Advisor
    (39,314 )     (123,456 )     (40,344 )     (25,095 )
 
                       
Net Expenses
    220,181       327,189       90,929       252,609  
 
                       
Net Investment Income
    16,349       2,121,686       333,466       2,307,380  
 
                       
 
                               
Realized/Unrealized Gains (Losses) on Investments:
                               
Net realized gains (losses) on investment transactions
    1,234,587       (126,438 )     26,997       (13 )
Change in unrealized appreciation/depreciation on investments
    (2,022,710 )     1,044,967       133,292        
 
                       
Net realized/unrealized gains (losses) on investments
    (788,123 )     918,529       160,289       (13 )
 
                       
Change in net assets resulting from operations
    $(771,774 )     $3,040,215       $493,755       $2,307,367  
 
                       
See notes to financial statements.

15


 

SIGNAL FUNDS
Statements of Changes in Net Assets
                                 
    Large Cap Growth Fund     Income Fund  
 
    Period Ended     Year Ended     Period Ended     Year Ended  
    September 30,     March 31,     September 30,     March 31,  
    2006     2006     2006     2006  
    (Unaudited)             (Unaudited)          
Operations:
                               
Net investment income
    $16,349       $35,062       $2,121,686       $3,979,572  
Net realized gains (losses) on investment transactions
    1,234,587       3,942,408       (126,438 )     (232,518 )
Change in unrealized appreciation/depreciation on investment transactions
    (2,022,710 )     1,442,253       1,044,967       (1,672,828 )
 
                       
Change in net assets from operations
    (771,774 )     5,419,723       3,040,215       2,074,226  
 
                       
Distributions to Shareholders:
                               
Class A:
                               
From net investment income
          (46 )     (5,732 )     (13,601 )
From net realized gain on investment
          (40,847 )            
Class B:
                               
From net investment income
                      (269 )
From net realized gain on investment
                       
Class I:
                               
From net investment income
    (17,017 )     (42,737 )     (2,105,460 )     (3,976,073 )
From net realized gain on investment
          (2,414,054 )            
 
                       
Change in net assets from shareholder distributions
    (17,017 )     (2,497,684 )     (2,111,192 )     (3,989,943 )
 
                       
Change in net assets from capital share transactions
    (1,078,746 )     (3,013,200 )     (11,840,954 )     2,021,021  
 
                       
Change in net assets
    (1,867,537 )     (91,161 )     (10,911,931 )     105,304  
 
                       
Net Assets:
                               
Beginning of period
    38,995,706       39,086,867       98,127,963       98,022,659  
 
                       
End of period*
    $37,128,169       $38,995,706       $87,216,032       $98,127,963  
 
                       
Capital Transactions:
                               
Class A Shares
                               
Proceeds from shares issued
    $17,071       $291,268       $—       $102,698  
Dividends reinvested
          40,720       5,639       13,923  
Cost of shares redeemed
    (80,707 )     (213,464 )     (58,103 )     (109,706 )
 
                       
Change in net assets from Class A capital transactions
    ($63,636 )     $118,524       ($52,464 )     $6,915  
 
                       
Class B Shares
                               
Proceeds from shares issued
    $—       $—       $—       $—  
Dividends reinvested
                      96  
Cost of shares redeemed
          (123,670 )           (28,549 )
 
                       
Change in net assets from Class B capital transactions
          ($123,670 )           ($28,453 )
 
                       
Class I Shares
                               
Proceeds from shares issued
    $6,298,844       $13,486,131       $8,738,980       $24,607,646  
Dividends reinvested
    2,508       1,040,335       369,022       762,599  
Cost of shares redeemed
    (7,316,462 )     (17,534,520 )     (20,896,492 )     (23,327,686 )
 
                       
Change in net assets from Class I capital transactions
    ($1,015,110 )     ($3,008,054 )     ($11,788,490 )     $2,042,559  
 
                       
Share Transactions:
                               
Class A Shares
                               
Issued
    1,423       27,039             10,297  
Reinvested
          3,445       590       1,427  
Redeemed
    (6,843 )     (17,813 )     (6,097 )     (11,266 )
 
                       
Net change
    (5,420 )     12,671       (5,507 )     458  
 
                       
Class B Shares
                               
Issued
                       
Reinvested
                      10  
Redeemed
          (12,869 )           (2,792 )
 
                       
Net change
          (12,869 )           (2,782 )
 
                       
Class I Shares
                               
Issued
    528,195       1,158,732       916,236       2,521,979  
Reinvested
    212       87,364       38,611       78,175  
Redeemed
    (612,590 )     (1,466,755 )     (2,172,635 )     (2,384,473 )
 
                       
Net change
    (84,183 )     (220,659 )     (1,217,788 )     215,681  
 
                       
* Includes accumulated (distributions in excess of) net investment income of $(668), $0, $18,595, and $8,101, respectively.
See notes to financial statements.

16


 

SIGNAL FUNDS
Statements of Changes in Net Assets
                                 
    Tax-exempt Income Fund     Money Market Fund  
 
    Period Ended     Year Ended     Period Ended     Year Ended  
    September 30,     March 31,     September 30,     March 31,  
    2006     2006     2006     2006  
    (Unaudited)             (Unaudited)          
Operations:
                               
Net investment income
    $333,466       $746,370       $2,307,380       $3,043,118  
Net realized gains (losses) on investment transactions
    26,997       27,245       (13 )     (97 )
Change in unrealized appreciation/depreciation on investment transactions
    133,292       (327,308 )            
 
                       
Change in net assets from operations
    493,755       446,307       2,307,367       3,043,021  
 
                       
Distributions to Shareholders:
                               
Class A:
                               
From net investment income
    (2,208 )     (4,872 )            
From net realized gain on investment
          (382 )            
Class B:
                               
From net investment income
          (307 )            
From net realized gain on investment
                       
Class I:
                               
From net investment income
    (331,258 )     (741,191 )     (2,307,380 )     (3,043,273 )
From net realized gain on investment
          (48,546 )            
 
                       
Change in net assets from shareholder distributions
    (333,466 )     (795,298 )     (2,307,380 )     (3,043,273 )
 
                       
Change in net assets from capital share transactions
    (1,795,088 )     (59,906 )     (8,582,342 )     8,296,145  
 
                       
Change in net assets
    (1,634,799 )     (408,897 )     (8,582,355 )     8,295,893  
 
                       
Net Assets:
                               
Beginning of period
    21,493,599       21,902,496       101,606,977       93,311,084  
 
                       
End of period*
    $19,858,800       $21,493,599       $93,024,622       $101,606,977  
 
                       
Capital Transactions:
                               
Class A Shares
                               
Proceeds from shares issued
    $—       $38,148       $—       $—  
Dividends reinvested
    1,977       5,123              
Cost of shares redeemed
    (9,926 )     (32,568 )            
 
                       
Change in net assets from Class A capital transactions
    ($7,949 )     $10,703       $—       $—  
 
                       
Class B Shares
                               
Proceeds from shares issued
    $—       $—       $—       $—  
Dividends reinvested
          386              
Cost of shares redeemed
          (39,247 )            
 
                       
Change in net assets from Class B capital transactions
    $—       ($38,861 )     $—       $—  
 
                       
Class I Shares
                               
Proceeds from shares issued
    $1,508,951       $5,944,177       $67,010,450       $189,005,851  
Dividends reinvested
    6,941       44,839       138       137  
Cost of shares redeemed
    (3,303,031 )     (6,020,764 )     (75,592,930 )     (180,709,843 )
 
                       
Change in net assets from Class I capital transactions
    ($1,787,139 )     ($31,748 )     ($8,582,342 )     $8,296,145  
 
                       
Share Transactions:
                               
Class A Shares
                               
Issued
    $—       3,741              
Reinvested
    202       518              
Redeemed
    (1,010 )     (3,305 )            
 
                       
Net change
    (808 )     954              
 
                       
Class B Shares
                               
Issued
                       
Reinvested
          39              
Redeemed
          (3,851 )            
 
                       
Net change
          (3,812 )            
 
                       
Class I Shares
                               
Issued
    155,188       599,454       67,010,450       189,005,851  
Reinvested
    713       4,561       138       137  
Redeemed
    (339,947 )     (608,437 )     (75,592,931 )     (180,709,843 )
 
                       
Net change
    (184,046 )     (4,422 )     (8,582,343 )     8,296,145  
 
                       
* Includes accumulated (distributions in excess of) net investment income of $0, $0, $(2), and $(2), respectively.
See notes to financial statements.

17


 

SIGNAL FUNDS
Financial Highlights
For a Share Outstanding Throughout Each Period
                                                                                                                 
            Change in Net Assets Resulting                        
            from Operations:   Less Dividends from:                   Ratios/Supplementary Data:
                    Net   Change                                                                   Ratio of    
                    Realized and   in Net                                           Net           Ratio of Net   Expenses    
    Net Asset   Net   Unrealized\   Asset Value           Net Realized           Net Asset           Assets,   Ratio of   Investment   to    
    Value,   Investment   Gains   Resulting   Net   Gains           Value,           End of   Expenses   Income to   Average   Portfolio
    Beginning   Income   (Losses) on   from   Investment   (Losses) on   Total   End of   Total   Period   to Average   Average Net   Net   Turnover
Class A   of Period   (loss)   Investments   Operations   Income   Investments   Dividends   Period   Return*   (000’s)   Net Assets   Assets   Assets**   (c)
 
Large Cap Growth Fund
                                                                                                               
Period ended Sept. 30, 2006 (Unaudited)
  $ 12.08     $ (0.01 )   $ (0.24 )   $ (0.25 )     $—       $—       $—     $ 11.83       (2.07 %)   (a)   676       1.37 % (b)   (0.17 %) (b)   1.57 % (b)   26.39 %
Year ended March 31, 2006
    11.35       (0.07 )     1.49       1.42         (e)   (0.69 )     (0.69 )     12.08       12.65 %     756       1.34 %     (0.60 %)     1.54 %     36.43 %
Year ended March 31, 2005
    11.29       (0.01 )     1.00       0.99             (0.93 )     (0.93 )     11.35       8.74 %     566       1.43 %     (0.15 %)     1.63 %     39.77 %
Year ended March 31, 2004
    9.05       (0.01 )     2.58       2.57         (e)   (0.33 )     (0.33 )     11.29       28.60 %     466       1.44 %     (0.16 %)     1.64 %     39.64 %
Period ended March 31, 2003(d)
    10.00         (e)   (0.95 )     (0.95 )       (e)               9.05       (9.40 %)   (a)   224       1.45 % (b)   0.11 % (b)   1.67 % (b)   34.11 %
 
Income Fund
                                                                                                               
Period ended Sept. 30, 2006 (unaudited)
    9.57       0.19       0.09       0.28       (0.19 )           (0.19 )     9.66       2.99 %   (a)   268       0.91 % (b)   4.06 % (b)   1.16 % (b)   6.84 %
Year ended March 31, 2006
    9.77       0.37       (0.20 )     0.17       (0.37 )           (0.37 )     9.57       1.76 %     319       0.90 %     3.81 %     1.15 %     24.47 %
Year ended March 31, 2005
    10.19       0.35       (0.42 )     (0.07 )     (0.35 )           (0.35 )     9.77       (0.64 %)     321       0.95 %     3.56 %     1.20 %     14.91 %
Year ended March 31, 2004
    10.21       0.34       (0.02 )     0.32       (0.34 )       (e)   (0.34 )     10.19       3.17 %     263       0.98 %     3.31 %     1.23 %     43.76 %
Period ended March 31, 2003(d)
    10.00       0.31       0.25       0.56       (0.31 )     (0.04 )     (0.35 )     10.21       5.65 %   (a)   218       1.07 % (b)   3.54 % (b)   1.32 % (b)   7.47 %
 
Tax-Exempt Income Fund
                                                                                                               
Period ended Sept. 30, 2006 (unaudited)
    9.74       0.15       0.08       0.23       (0.15 )           (0.15 )     9.82       2.38 %   (a)   137       1.15 % (b)   3.06 % (b)   1.55 % (b)   8.03 %
Year ended March 31, 2006
    9.89       0.31       (0.13 )     0.18       (0.31 )     (0.02 )     (0.33 )     9.74       1.82 %     144       1.08 %     3.11 %     1.51 %     11.64 %
Year ended March 31, 2005
    10.22       0.32       (0.25 )     0.07       (0.32 )     (0.08 )     (0.40 )     9.89       0.73 %     136       1.12 %     3.21 %     1.62 %     18.11 %
Year ended March 31, 2004
    10.18       0.33       0.08       0.41       (0.33 )     (0.04 )     (0.37 )     10.22       4.14 %     137       1.09 %     3.25 %     1.58 %     9.11 %
Period ended March 31, 2003(d)
    10.00       0.27       0.21       0.48       (0.27 )     (0.03 )     (0.30 )     10.18       4.85 %   (a)   57       1.09 % (b)   3.36 % (b)   1.52 % (b)   8.54 %
 
Class I
                                                                                                               
 
Large Cap Growth Fund
                                                                                                               
Period ended Sept. 30, 2006 (unaudited)
    12.18       0.01       (0.25 )     (0.24 )     (0.01 )           (0.01 )     11.93       (2.01 %)   (a)   36,452       1.12 % (b)   0.09 % (b)   1.32 % (b)   26.39 %
Year ended March 31, 2006
    11.42       0.01       1.45       1.46       (0.01 )     (0.69 )     (0.70 )     12.18       12.95 %     38,240       1.08 %     0.09 %     1.28 %     36.43 %
Year ended March 31, 2005
    11.33       0.01       1.02       1.03       (0.01 )     (0.93 )     (0.94 )     11.42       9.08 %     38,377       1.18 %     0.10 %     1.38 %     39.77 %
Year ended March 31, 2004
    9.06       0.01       2.60       2.61       (0.01 )     (0.33 )     (0.34 )     11.33       29.00 %     33,600       1.19 %     0.09 %     1.39 %     39.64 %
Period ended March 31, 2003(d)
    10.00       0.02       (0.94 )     (0.92 )     (0.02 )           (0.02 )     9.06       (9.20 %)   (a)   31,260       1.21 % (b)   0.32 % (b)   1.43 % (b)   34.11 %
 
Income Fund
                                                                                                               
Period ended Sept. 30, 2006 (unaudited)
    9.57       0.20       0.09       0.29       (0.20 )           (0.20 )     9.66       3.12 %   (a)   86,948       0.66 % (b)   4.30 % (b)   0.91 % (b)   6.84 %
Year ended March 31, 2006
    9.77       0.40       (0.20 )     0.20       (0.40 )           (0.40 )     9.57       2.01 %     97,809       0.65 %     4.06 %     0.90 %     24.47 %
Year ended March 31, 2005
    10.19       0.38       (0.42 )     (0.04 )     (0.38 )           (0.38 )     9.77       (0.39 %)     97,675       0.69 %     3.82 %     0.94 %     14.91 %
Year ended March 31, 2004
    10.21       0.36       (0.02 )     0.34       (0.36 )       (e)   (0.36 )     10.19       3.43 %     61,481       0.73 %     3.56 %     0.98 %     43.76 %
Period ended March 31, 2003(d)
    10.00       0.29       0.25       0.54       (0.29 )     (0.04 )     (0.33 )     10.21       5.47 %   (a)   59,724       0.82 % (b)   3.88 % (b)   1.07 % (b)   7.47 %
 
Tax-Exempt Income Fund
                                                                                                               
Period ended Sept. 30, 2006 (unaudited)
    9.74       0.16       0.08       0.24       (0.16 )           (0.16 )     9.82       2.50 %   (a)   19,722       0.90 % (b)   3.31 % (b)   1.30 % (b)   8.03 %
Year ended March 31, 2006
    9.89       0.33       (0.13 )     0.20       (0.33 )     (0.02 )     (0.35 )     9.74       2.07 %     21,350       0.82 %     3.36 %     1.26 %     11.64 %
Year ended March 31, 2005
    10.22       0.35       (0.25 )     0.10       (0.35 )     (0.08 )     (0.43 )     9.89       0.98 %     21,728       0.87 %     3.46 %     1.37 %     18.11 %
Year ended March 31, 2004
    10.18       0.36       0.08       0.44       (0.36 )     (0.04 )     (0.40 )     10.22       4.41 %     18,660       0.83 %     3.52 %     1.33 %     9.11 %
Period ended March 31, 2003(d)
    10.00       0.26       0.21       0.47       (0.26 )     (0.03 )     (0.29 )     10.18       4.75 %   (a)   19,154       0.86 % (b)   3.58 % (b)   1.27 % (b)   8.54 %
 
Money Market Fund
                                                                                                               
Period ended Sept. 30, 2006 (unaudited)
    1.000       0.023             0.023       (0.023 )           (0.023 )     1.000       2.33 %   (a)   93,025       0.50 % (b)   4.60 % (b)   0.55 % (b)   N/A  
Year ended March 31, 2006
    1.000       0.032         (e)   0.032       (0.032 )           (0.032 )     1.000       3.24 %     101,607       0.51 %     3.18 %     0.56 %     N/A  
Year ended March 31, 2005
    1.000       0.012             0.012       (0.012 )           (0.012 )     1.000       1.23 %     93,311       0.51 %     1.30 %     0.56 %     N/A  
Year ended March 31, 2004
    1.000       0.006             0.006       (0.006 )           (0.006 )     1.000       0.57 %     70,829       0.54 %     0.57 %     0.59 %     N/A  
Period ended March 31, 2003(d)
    1.000       0.007             0.007       (0.007 )           (0.007 )     1.000       0.72 %   (a)   110,327       0.53 % (b)   1.02 % (b)   0.58 % (b)   N/A  
 
         
*
Excludes sales and redemption charges.   (c) Portfolio turnover is calculated on the basis of the fund as a whole without distinguishing among the classes of shares issued.
**
During the period certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as indicated.   (d) For the period july 15, 2002 through March 31, 2003.
(a)
Not annualized.   (e) Amount is less than $0.005.
(b)
Annualized.      
See notes to financial statements.

18


 

SIGNAL FUNDS
Notes to Financial Statements – September 30, 2006 (Unaudited)
1. Organization:
The Coventry Group (the “Group”) was organized on January 8, 1992 as a Massachusetts business trust, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Group contains the following Signal Funds (individually a “Fund,” collectively the “Funds”):
         
Fund Legal Name   Short Name  
Signal Large Cap Growth Fund
  Large Cap Growth Fund
Signal Income Fund
  Income Fund
Signal Tax-Exempt Income Fund
  Tax-Exempt Income Fund
Signal Money Market Fund
  Money Market Fund
Financial statements for all other series of the Group are published separately.
Under the Group’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Group. In addition, in the normal course of business, the Group may enter into contracts with their vendors and others that provide for general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The policies are in conformity with generally accepted accounting principles (“GAAP”) in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that may affect the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
Securities Valuation:
The value of each equity security is based either on the last sale price on a national securities exchange, or in the absence of recorded sales, at the closing bid prices on such exchanges, or at the quoted bid price in the over-the-counter market. Equity securities traded on the NASDAQ stock market are valued at the NASDAQ official closing price.
Bonds and other fixed income securities (other than short-term obligations but including listed issues) are valued on the basis of valuations furnished by a pricing service, the use of which has been approved by the Group’s Board of Trustees. In making such valuations, the pricing service utilizes both dealer-supplied valuations and electronic data processing techniques which take into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, and trading characteristics other than market data and without exclusive reliance upon quoted prices or exchanges or over-the-counter prices, since such valuations are believed to reflect more accurately the fair value of such securities. All short-term debt portfolio securities with a remaining maturity of 60 days or less and securities held in the Money Market Fund are valued at amortized cost, which approximates market value. Under the amortized cost method, discount or premium, if any, is accreted or amortized, respectively, on a constant (straight-line) basis to the maturity of the security.
Securities or other assets for which market quotations are not readily available (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event occurs that materially affects the furnished price) are valued at fair value as determined in good faith by or at the direction of the Group’s Board of Trustees.
New Accounting Pronouncements
In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, “Fair Value Measurements.” This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Funds do not believe the adoption of SFAS No. 157 will impact the financial statement amounts, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
continued

19


 

SIGNAL FUNDS
Notes to Financial Statements – September 30, 2006 (Unaudited)
Repurchase Agreements:
The Funds may enter into repurchase agreements with banks or broker-dealers that Signal Capital Management, Inc., (the “Advisor”), a wholly owned subsidiary of Old National Trust Company, deems creditworthy. The repurchase price generally equals the price paid by a Fund plus interest negotiated on the basis of current short-term rates, which may be more or less than the rate on the underlying portfolio securities. The seller, under a repurchase agreement, is required to maintain the collateral held pursuant to the agreement, with a market value equal to or greater than the repurchase price (including accrued interest). Collateral subject to repurchase agreements is held by the Funds’ custodian or another qualified custodian or in the Federal Reserve/Treasury book-entry system. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited.
Security Transactions and Related Income:
Changes in holdings of portfolio securities shall be reflected no later than in the first calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio security transactions are reported on trade date. Interest income is recognized on the accrual basis and includes, where applicable, the amortization of premium or discount. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Income and realized and unrealized gains and losses on investments are allocated to each class of shares based upon relative net assets or other appropriate basis.
Expenses:
Expenses directly attributable to a Fund are charged directly to the Fund. Expenses relating to the Group are allocated proportionately to each Fund within the Group according to the relative net assets of each Fund or on another reasonable basis. Each class of shares bears its respective pro-rata portion of the expenses, except that each class separately bears expenses related specifically to that class, such as distribution fees.
Dividends to Shareholders:
Dividends from net investment income, if any, are declared daily and paid monthly for all of the Funds, except the Large Cap Growth Fund. Dividends for the Large Cap Growth Fund are declared and distributed quarterly. Dividends from net realized gains, if any, are declared and distributed annually for all Funds.
The amounts of dividends from net investment income and of distributions from net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These ''book/tax’’ differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital.
Federal Income Taxes:
Each Fund intends to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in Subchapter M of the Internal Revenue Code, and to make distributions from net investment income and from net realized capital gains sufficient to relieve it from all, or substantially all, federal income and excise taxes.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management has not completed their analysis on whether the adoption of FIN 48 will have an impact to the financial statements.
continued

20


 

SIGNAL FUNDS
Notes to Financial Statements – September 30, 2006 (Unaudited)
3. Related Party Transactions:
Investment Advisor:
The Funds and the Advisor are parties to an Investment Advisory Agreement under which the Advisor is entitled to receive an annual fee, computed daily and paid monthly, equal to the average daily net assets of each Fund, at the following annual percentage rates:
         
Name   Fee Rate*
 
Large Cap Growth Fund
    0.75 %
Income Fund
    0.50  
Tax-Exempt Income Fund
    0.50  
Money Market Fund
    0.10  
 
* The Advisor voluntarily waived fees during the year. With these voluntary fee waivers by the Advisor, net advisory fees for the Funds on an annual basis are 0.55% for the Large Cap Growth Fund, 0.25% for the Income Fund, 0.10% for the Tax-Exempt Income Fund, and 0.05% for the Money Market Fund.
The Advisor may from time to time voluntarily reduce all or a portion of its advisory fee with respect to a Fund.
Administration:
The Funds and BISYS Fund Services Ohio, Inc. (“BISYS Ohio” or the “Administrator”), a wholly owned subsidiary of The BISYS Group, Inc., are parties to an Administration Agreement under which the Administrator provides services for a fee that is computed daily and paid monthly at an annual rate of 0.14% of the average daily net assets of the Funds. Certain officers and trustees of the Group are also employees of the Administrator and are paid no fees directly by the Funds for serving as officers of the Group, except for the Chief Compliance Officer (the “CCO”). BISYS Ohio also provides fund accounting and transfer agency services to the Funds pursuant to certain fee arrangements. For transfer agency services, BISYS Ohio receives a fee based on the number of shareholders of record and reimbursement of certain expenses. For fund accounting, BISYS Ohio receives a fee from each Fund for such services equal to an annual rate of three one-hundredths of one percent (.03%) of that Funds’ average daily net assets, subject to certain minimums.
Under a Compliance Services Agreement between the Funds and BISYS Ohio (the “CCO Agreement”), BISYS Ohio makes an employee available to serve as the Funds’ CCO. Under the CCO Agreement, BISYS Ohio also provides infrastructure and support in implementing the written policies and procedures comprising the Funds’ compliance program, including support services to the CCO. For the services provided under the CCO Agreement, the Funds paid BISYS Ohio $13,075 for the six months ended September 30, 2006, plus certain out of pocket expenses. BISYS Ohio pays the salary and other compensation earned by any such individuals as employees of BISYS Ohio.
Pursuant to a Sub-Administration agreement, the Advisor provides certain administration services to the Funds. For their services, the Advisor is entitled to a fee payable by the Administrator of 0.05% for the Large Cap Fund, Income Fund and the Tax-Exempt Fund, and 0.10% for the Money Market Fund.
Distribution:
The Funds and BISYS Fund Services Limited Partnership (the “Distributor”), a wholly owned subsidiary of The BISYS Group, Inc., are parties to a Distribution Agreement under which shares of the Funds are sold on a continuous basis. The Group has adopted a Service and Distribution Plan for Class A and Class B shares pursuant to Rule 12b-1 under the 1940 Act under which the Class A and Class B shares of each fund are authorized to pay the Distributor for payments it makes to banks, other institutions and broker-dealers, and for expenses the Distributor and any of its affiliates incur for providing distribution or shareholder service assistance to the Funds. The calculated annual rate will not exceed 0.25% of the average daily net asset value of Class A shares.
For the six months ended September 30, 2006, the Distributor received $699 from commissions earned on sales of Class A shares and redemption of Class B shares, none of which the Distributor re-allowed to affiliated broker-dealers of the Funds.
There is no initial sales charge on purchases of $1 million or more of the Class A Shares of the Funds. However, a contingent deferred sales charge (“CDSC”) will be charged to the shareholder if shares are redeemed in the first 18 months after purchase. The Funds collected no CDSC fees on Class A Shares during the six months ended September 30, 2006.
continued

21


 

SIGNAL FUNDS
Notes to Financial Statements – September 30, 2006 (Unaudited)
4. Purchases and Sales of Securities:
Purchases and sales of investment securities, excluding short-term and U.S. government securities, for the six months ended September 30, 2006, totaled:
                 
Fund     Purchases       Sales  
Large Cap Growth Fund
    $9,957,331       $10,763,467  
Income Fund
    7,351,288       19,376,473  
Tax-Exempt Income Fund
    1,566,833       3,790,734  
 
5. Federal Tax Information:
At September 30, 2006, the cost, gross unrealized appreciation and gross unrealized depreciation on securities, for federal income tax purposes, were as follows:
                                 
                            Net Unrealized
            Tax Unrealized   Tax Unrealized   Appreciation
Fund   Tax Cost   Appreciation   (Depreciation)   (Depreciation)
 
Large Cap Growth Fund
    $29,022,253       $8,192,259       $(244,295 )     $7,947,964  
Income Fund
    87,669,651       301,697       (1,444,022 )     (1,142,325 )
Tax-Exempt Income Fund
    19,461,051       368,888       (61,140 )     307,748  
As of March 31, 2006, for Federal income tax purposes, the following Funds have capital loss carryforwards, which are available to offset future realized gains, if any, to the extent provided by the treasury regulations:
               
    Amount   Expires
Income Fund
  $ 70,328       2012  
 
    222,752       2014  
               
    Amount   Expires
Money Market
  $ 46       2014  
Capital losses after October 31 (“post-October losses”) within the taxable year are deemed to arise on the first business day of the Funds
next taxable year. After October 31, 2005, the following Funds incurred and elected to defer net capital losses, for federal income tax purposes, were as follows:
     
    Post-October Loss
Income Fund
  $44,477
Money Market
  70
The tax character of distributions paid during the fiscal year ended March 31, 2006 were as follows:
                                         
    Distributions paid from            
            Net Long Term   Total Taxable   Tax Exempt   Total Distributions
Fund   Ordinary Income   Capital Gains   Distributions   Distributions   Paid1
 
Large Cap Growth Fund
    $58,614       $2,454,901       $2,513,515       $—       $2,513,515  
Income Fund
    4,028,378             4,028,378             4,028,378  
Tax-Exempt Income Fund
    6,909       48,928       55,837       743,148       798,985  
Money Market Fund
    2,873,806               2,873,806             2,873,806  
1Total distributions paid may differ from the amount reported in the Statement of Changes in Net Assets because for tax purposes distributions are recognized when actually paid.
The tax character year distributions paid and the tax basis of the current components of accumulated earnings (deficit) will be determined at the end of current tax year, March 31, 2007.
continued

22


 

SIGNAL FUNDS
Notes to Financial Statements – September 30, 2006 (Unaudited)
Expense Comparison:
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases, (2) ongoing costs, including management fees; distribution 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 from April 1, 2006 through September 30, 2006.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
                     
        Beginning   Ending Account   Expense Paid   Expense Ratio
        Account Value   Value   During Period*   During Period
        4/1/06   9/30/06   4/1/06 - 9/30/06   4/1/06 - 9/30/06
Large Cap Growth Fund
  Class A   $1,000.00   $979.30   $6.80   1.37%
 
  Class I     1,000.00     979.90     5.56   1.12%
Income Fund
  Class A     1,000.00   1,029.90     4.63   0.91%
 
  Class I     1,000.00   1,031.20     3.36   0.66%
Tax-Exempt Income Fund
  Class A     1,000.00   1,023.80     5.83   1.15%
 
  Class I     1,000.00   1,025.00     4.57   0.90%
Money Market Fund
  Class I     1,000.00   1,023.30     2.54   0.50%
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
                     
        Beginning   Ending Account   Expense Paid   Expense Ratio
        Account Value   Value   During Period*   During Period
        4/1/06   9/30/06   4/1/06 - 9/30/06   4/1/06 - 9/30/06
Large Cap Growth Fund
  Class A   $1,000.00   $1,018.20   $6.93   1.37%
 
  Class I     1,000.00     1,019.45     5.67   1.12%
Income Fund
  Class A     1,000.00     1,020.51     4.61   0.91%
 
  Class I     1,000.00     1,021.76     3.35   0.66%
Tax-Exempt Income Fund
  Class A     1,000.00     1,019.30     5.82   1.15%
 
  Class I     1,000.00     1,020.56     4.56   0.90%
Money Market Fund
  Class I     1,000.00     1,022.56     2.54   0.50%
* Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent half-year divided by the number of days in the fiscal year.

23


 

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