N-Q 1 d64758.htm COMPASS CAPITAL APPRECIATION VARIABLE ACCOUNT Capital Appreciation Variable Account N-Q
UNITED STATES
 
SECURITIES AND EXCHANGE COMMISSION
 
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES 
 
Investment Company Act file number 811-3561
 
CAPITAL APPRECIATION VARIABLE ACCOUNT
(Exact name of registrant as specified in charter)
 
500 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
 
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116 
(Name and address of agents for service)
 
Registrant’s telephone number, including area code: (617) 954-5000 
Date of fiscal year end: December 31
Date of reporting period: March 31, 2006

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 
PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited)
Capital Appreciation Variable Account

Issuer Shares/Par   Value ($)  
 
COMMON STOCKS - 97.8%                 
 
Aerospace - 1.3%                 
United Technologies Corp.        54,800   $ 3,176,756  
 
 
Apparel Manufacturers - 2.7%                 
Cintas Corp.        60,300   $ 2,569,986  
NIKE, Inc., "B"        50,060     4,260,106  
 
 
            $ 6,830,092  
 
 
Automotive - 1.4%                 
Harman International Industries, Inc.        31,170   $ 3,463,922  
 
 
Banks & Credit Companies - 2.1%                 
American Express Co.        38,160   $ 2,005,308  
SLM Corp.        58,860     3,057,188  
UBS AG        3,130     344,206  
 
 
            $ 5,406,702  
 
 
Biotechnology - 6.1%                 
Amgen, Inc. (n)        58,900   $ 4,284,975  
Celgene Corp. (n)        57,600     2,547,072  
Genzyme Corp. (n)        73,440     4,936,637  
Gilead Sciences, Inc. (n)        59,930     3,728,845  
 
 
            $ 15,497,529  
 
 
Broadcast & Cable TV - 1.6%                 
Grupo Televisa S.A., ADR        66,680   $ 1,326,932  
Viacom, Inc., "B" (n)        36,100     1,400,680  
Walt Disney Co.        45,600     1,271,784  
 
 
            $ 3,999,396  
 
 
Brokerage & Asset Managers - 1.9%                 
Chicago Mercantile Exchange                 
Holdings, Inc.        6,770   $ 3,029,575  
Merrill Lynch & Co., Inc.        23,000     1,811,480  
 
 
            $ 4,841,055  
 
 
Business Services - 2.9%                 
Amdocs Ltd. (n)        112,940   $ 4,072,616  
First Data Corp.        42,900     2,008,578  
Getty Images, Inc. (n)        17,580     1,316,390  
 
 
            $ 7,397,584  
 
 
Chemicals - 0.6%                 
Ecolab, Inc.        36,600   $ 1,398,120  
 
 
Computer Software - 5.8%                 
Adobe Systems, Inc. (n)        137,000   $ 4,784,040  
Microsoft Corp.        208,770     5,680,632  
Oracle Corp. (n)        308,280     4,220,353  
 
 
            $ 14,685,025  
 
 
Computer Software - Systems - 3.3%                 
Dell, Inc. (n)        163,380   $ 4,862,189  
Hewlett-Packard Co.        38,700     1,273,230  
LG.Philips LCD Co., Ltd., ADR (n)        100,900     2,290,430  
 
 
            $ 8,425,849  
 
 
Consumer Goods & Services - 1.1%                 
Procter & Gamble Co.        48,600   $ 2,800,332  
 
 
Electrical Equipment - 3.7%                 
Cooper Industries Ltd., "A"        17,700   $ 1,538,130  
General Electric Co.        223,800     7,783,764  
 
 
            $ 9,321,894  
 
 
Electronics - 8.3%                 
Analog Devices, Inc.        33,500   $ 1,282,715  
Intel Corp.        268,920     5,203,602  
Marvell Technology Group Ltd. (n)        10,700     578,870  
Samsung Electronics Co. Ltd., GDR        21,440     7,005,520  
SanDisk Corp. (n)        55,950     3,218,244  
Taiwan Semiconductor Manufacturing                 
Co. Ltd., ADR        120,440     1,211,626  
Xilinx, Inc.        98,010     2,495,335  
 
 
            $ 20,995,912  
 
 
Food & Drug Stores - 1.1%                 
CVS Corp.        91,400   $ 2,730,118  
 
 
Food & Non-Alcoholic Beverages - 1.5%                 
PepsiCo, Inc.        49,300   $ 2,849,047  
SYSCO Corp.        25,500     817,275  
 
 
            $ 3,666,322  
 
 
Gaming & Lodging - 3.3%                 
Carnival Corp.        50,310   $ 2,383,185  
International Game Technology        73,100     2,574,582  
Las Vegas Sands Corp. (n)        19,200     1,087,872  
Starwood Hotels & Resorts                 
Worldwide, Inc.        33,500     2,268,955  
 
 
            $ 8,314,594  
 
 
General Merchandise - 5.3%                 
Kohl's Corp. (n)        71,600   $ 3,795,516  
Target Corp.        55,680     2,895,917  
Wal-Mart Stores, Inc.        141,210     6,670,760  
 
 
            $ 13,362,193  
 
 
Health Maintenance Organizations - 1.2%                 
UnitedHealth Group, Inc.        53,700   $ 2,999,682  
 
 
Insurance - 0.8%                 
American International Group, Inc.        30,070   $ 1,987,326  
 
 
Internet - 1.4%                 
Google, Inc., "A" (n)        6,640   $ 2,589,600  
Yahoo!, Inc. (n)        26,540     856,180  
 
 
            $ 3,445,780  
 
 
Leisure & Toys - 1.6%                 
Electronic Arts, Inc. (n)        72,240   $ 3,952,973  
 
 
Medical Equipment - 5.0%                 
Advanced Medical Optics, Inc. (n)        65,880   $ 3,072,643  
C.R. Bard, Inc.        18,400     1,247,704  
DENTSPLY International, Inc.        22,800     1,325,820  
Medtronic, Inc.        84,070     4,266,553  
St. Jude Medical, Inc. (n)        67,050     2,749,050  
 
 
            $ 12,661,770  
 
 

1  

 
PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited) - continued
Capital Appreciation Variable Account

Issuer Shares/Par   Value ($)  
 
COMMON STOCKS- continued                 
 
Network & Telecom - 9.7%                 
Cisco Systems, Inc. (n)        390,380   $ 8,459,535  
Corning, Inc. (n)        258,250     6,949,508  
Juniper Networks, Inc. (n)        33,000     630,960  
Nokia Corp., ADR        66,170     1,371,042  
QUALCOMM, Inc.        138,580     7,013,534  
 
 
            $ 24,424,579  
 
 
Oil Services - 3.0%                 
Noble Corp.        32,030   $ 2,597,633  
Transocean, Inc. (n)        30,500     2,449,150  
Weatherford International Ltd. (n)        55,900     2,557,425  
 
 
            $ 7,604,208  
 
 
Personal Computers & Peripherals - 3.3%                 
EMC Corp. (n)        489,200   $ 6,667,796  
Network Appliance, Inc. (n)        43,500     1,567,305  
 
 
            $ 8,235,101  
 
 
Pharmaceuticals - 9.0%                 
Eli Lilly & Co.        103,510   $ 5,724,103  
Johnson & Johnson        74,290     4,399,454  
Roche Holding AG        22,540     3,357,003  
Teva Pharmaceutical Industries Ltd., ADR        72,990     3,005,728  
Wyeth        128,520     6,235,790  
 
 
            $ 22,722,078  
 
 
Restaurants - 0.2%                 
Cheesecake Factory, Inc. (n)        11,700   $ 438,165  
 
 
Specialty Stores - 6.5%                 
Chico's FAS, Inc. (n)        63,600   $ 2,584,704  
Home Depot, Inc.        97,200     4,111,560  
Lowe's Cos., Inc.        22,500     1,449,900  
PETsMART, Inc.        75,610     2,127,665  
Staples, Inc.        111,500     2,845,480  
Williams-Sonoma, Inc. (n)        74,700     3,167,280  
 
 
            $ 16,286,589  
 
 
Trucking - 2.1%                 
FedEx Corp.        28,970   $ 3,271,872  
United Parcel Service, Inc., "B"        26,400     2,095,632  
 
 
            $ 5,367,504  
 
 
    Total Common Stocks            $ 246,439,150  
 
 
SHORT-TERM OBLIGATIONS- 1.6%                 
Citigroup Funding, Inc., 4.83%, due 4/03/06 (y)      $ 4,051,000   $ 4,049,913  
 
 
    Total Investments            $ 250,489,063  
 
 
OTHER ASSETS, LESS LIABILITIES - 0.6%              1,573,292  
 
 
    NET ASSETS - 100.0%            $ 252,062,355  
 
 
  (n) Non-income producing security.
  (y) The rate shown represents an annualized yield at time of purchase.

The following abbreviations are used in the Portfolio of Investments and are defined:
ADR American Depository Receipt
GDR Global Depository Receipt

For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

2  

 

ITEM 2. CONTROLS AND PROCEDURES.

(a) Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.

 

Notice

A copy of the Amended and Restated Declaration of Trust of the Registrant is on file with the Secretary of State of the Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: CAPITAL APPRECIATION VARIABLE ACCOUNT


By (Signature and Title)* MARIA F. DWYER  
  Maria F. Dwyer, President  

Date: May 23, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title)* MARIA F. DWYER  
  Maria F. Dwyer, President (Principal Executive Officer)  

Date: May 23, 2006


By (Signature and Title)* TRACY ATKINSON  
  Tracy Atkinson, Treasurer (Principal Financial Officer and Accounting Officer)  

Date: May 23, 2006


* Print name and title of each signing officer under his or her signature.