April 30, 1996
Dear CarolinasFund Shareholder:
Your Fund ended the fiscal year on February 29, 1996 with an annualized total
return of 18.59% in Investor Class Shares. Institutional Shares, first issued
May 22, 1995, had a total investment return of 17.68% through the end of the
fiscal year.
Based on the strength and diversity of the Carolinas' economies, as reflected in
the Fund's portfolio, we remain optimistic that it will continue to reward our
shareholders.
The CarolinasFund is a modified index fund containing the 50 largest market
capitalization companies in North and South Carolina. Companies are ranked, or
indexed, quarterly according to market capitalization (share price times number
of shares outstanding). The amount invested in any company depends on its
percentage of the total market capitalization with no company receiving more
than 3% of total dollars available; The 15 biggest companies are capped at 3%.
As a result of this investment strategy, smaller companies are "overweighted",
taking advantage of their historical tendency to outperform large cap stocks.
Thank you for your confidence in The CarolinasFund. I trust it will continue to
be merited.
Bob Thompson
President
<PAGE>
THE CAROLINASFUND
INVESTOR SHARES
Performance Update - $10,000 Investment
For the period from January 3, 1995 (commencement of
operations) to February 29, 1996
[GRAPH APPEARS HERE]
CarolinasFund-
Investor class fund S&P 500
03-Jan-95 9650 9650
28-Feb-95 10174 10244
31-May-95 10429 11212
31-Aug-95 11516 11810
30-Nov-95 11671 12724
29-Feb-96 12066 13461
THIS GRAPH DEPICTS THE PERFORMANCE OF THE CAROLINASFUND INVESTOR SHARES VERSUS
THE S&P 500 INDEX. IT IS IMPORTANT TO NOTE THAT THE CAROLINASFUND IS A
PROFESSIONALLY MANAGED MUTUAL FUND WHILE THE INDEX IS NOT AVAILABLE FOR
INVESTMENT AND IS UNMANAGED. THE COMPARISON IS SHOWN FOR ILLUSTRATIVE
PURPOSES ONLY.
ANNUALIZED TOTAL RETURN
Commencement One Year ended
of operations 2/29/96
through 2/29/96
Maximum 3.5% Sales Load 17.63% 14.40%
No Sales Load 21.32% 18.59%
(bullet) The graph assumes an initial $10,000 investment at January 3, 1995
($9,650 after maximum sales load of 3.5%). All dividends and
distributions are reinvested.
(bullet) At February 29, 1996, the Investor Shares of the Fund would have
grown to $12,066 - total investment return of 20.66% since
January 3, 1995. Without the deduction of the 3.5% maximum sales
load, the Investor Shares of the Fund would have grown to $12,530 -
total investment return of 25.03% since January 3, 1995. The sales
load may be reduced or eliminated for larger purchases.
(bullet) At February 29, 1996, a similar investment in the S&P 500 Index (after
maximum sales load of 3.5%) would have grown to $13,461 - total
investment return of 34.61% since January 3, 1995.
(bullet) Past performance is not a guarantee of future results. A mutual
fund's share price and investment return will vary with market
conditions, and the principal value of shares, when redeemed,
may be worth more or less than the original cost. Average annual
returns are historical in nature and measure net investment income
and capital gain or loss from portfolio investments assuming
reinvestments of dividends.
<PAGE>
The CarolinasFund
PORTFOLIO OF INVESTMENTS
February 29, 1996
<TABLE>
<CAPTION>
Value
Shares (note 1)
<S> <C> <C>
COMMON STOCKS - 96.86%
Beverages - 0.66%
Coca-Cola Bottling Company 400 $12,600
Building Materials - 2.22%
Martin Marietta Materials, Inc. 1,900 42,750
Commercial Services - 3.78%
(a) Quintiles Transnational Corporation 1,100 72,600
Computer Software & Services - 4.15%
(a) Medic Computer Systems, Inc. 500 33,750
(a) Policy Management Systems Corporation 900 46,012
79,762
Electrical Equipment - 4.37%
AVX Corporation 1,700 41,650
(a) Kemet Corporation 1,800 42,300
83,950
Electronics - Semiconductor - 0.31%
(a) Cree Research, Inc. 400 6,050
Entertainment - 1.57%
(a) Speedway Motorsports, Inc. 700 30,275
Financial Services - 0.37%
(a) World Acceptance Corporation 700 7,088
Financial - Banks, Commercial - 20.39%
CCB Financial Corporation 700 35,175
Centura Banks, Inc. 900 31,162
First Citizens BancShares, Inc. 400 23,800
First Union Corporation 1,200 72,600
NationsBank Corporation 1,000 73,750
Southern National Corporation 2,100 58,800
United Carolina Bancshares 1,050 26,775
Wachovia Corporation 1,500 69,750
391,812
Food - Processing - 0.75%
Lance, Inc. 900 14,400
Forest Products & Paper - 2.50%
Bowater, Inc. 1,300 48,100
</TABLE>
(Continued)
<PAGE>
The CarolinasFund
PORTFOLIO OF INVESTMENTS
February 29, 1996
<TABLE>
<CAPTION>
Value
Shares (note 1)
<S> <C> <C>
COMMON STOCKS (Continued)
Insurance - Life & Health - 5.49%
Jefferson-Pilot Corporation 1,350 $75,094
Liberty Corporation 900 30,487
105,581
Insurance - Property & Casualty - 3.11%
Integon Corporation 700 14,000
United Dominion Industries, Ltd. 1,900 45,838
59,838
Iron & Steel - 2.80%
Nucor Corporation 1,000 53,875
Manufactured Housing - 2.55%
Oakwood Homes Corp 1,100 49,087
Medical - Hospital Mgmt & Service - 0.14%
(a) Coastal Physician Group 200 2,600
Packaging & Containers - 3.04%
Sonoco Products Company 2,135 58,446
Real Estate - 0.42%
(a) Insignia Financial Group, Inc. 400 8,150
Real Estate Investment Trust - 1.56%
Highwoods Properties, Inc. 600 18,000
Summit Properties, Inc. 600 12,075
30,075
Restaurants & Food Service - 0.62%
(a) Ryan's Family Steak Houses, Inc. 1,800 11,925
Retail - General Merchandise - 2.36%
Family Dollar Stores, Inc. 3,300 45,375
Retail - Grocery - 3.89%
Food Lion, Inc. 9,700 53,956
Ruddick Corporation 1,900 20,900
74,856
Retail - Specialty Line - 4.49%
(a) Baby Superstore, Inc. 800 33,700
Lowe's Companies, Inc. 1,700 52,700
86,400
Telecommunications - 1.95%
(a) Vanguard Cellular Systems, Inc. 1,700 37,400
</TABLE>
(Continued)
<PAGE>
The CarolinasFund
PORTFOLIO OF INVESTMENTS
February 29, 1996
<TABLE>
<CAPTION>
Value
Shares (note 1)
<S> <C> <C>
COMMON STOCKS (Continued)
Telecommunications Equipment - 7.42%
(a) BroadBand Technologies, Inc. 100 $2,450
(a) Glenayre Technologies, Inc. 1,925 84,941
SCANA Corporation 2,000 55,000
142,391
Textiles - 7.31%
(a) Burlington Industries, Inc. 3,000 34,125
(a) Collins & Aikman Corporation 2,800 18,550
(a) Cone Mills Corporation 800 9,100
Guilford Mills, Inc. 500 10,500
Springs Industries, Inc. 400 17,300
Unifi, Inc. 2,100 50,925
140,500
Utilities - Electric - 6.72%
Carolina Power & Light Company 1,800 65,700
Duke Power Company 1,300 63,538
129,238
Utilities - Gas - 1.92%
Piedmont Natural Gas Company, Inc. 1,200 27,000
Public Service Company of North Carolina, Inc. 600 9,900
36,900
Total Common Stocks (Cost $1,660,731) 1,862,024
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
<S> <C> <C> <C>
REPURCHASE AGREEMENT (b) - 3.19%
Wachovia Bank $61,370 61,370
5.23%, due March 1, 1996
(Cost $61,370)
Total Value of Investments (Cost $1,722,101) 100.05% 1,923,394
Liabilities In Excess of Other Assets (0.05)% (1,004)
Net Assets 100.00% $1,922,390
</TABLE>
(a) Non-income producing investment.
(b) Joint repurchase agreement entered into February 29, 1996, with a
maturity value of $68,302,116 collateralized by $71,660,000 U.S.
Treasury Bills, due September 19, 1996. The aggregate market value
of the collateral at February 29, 1996 was $69,697,130. The Fund's
pro rata interest in the market value of the collateral at February
29, 1996 was $62,658. The Fund's pro rata interest in the joint
repurchase agreement collateral is taken into possession by the
Fund's custodian upon entering into the repurchase agreement. The
collateral is marked to market daily to ensure its market value is
at least 102 percent of the sales price of the repurchase agreement.
(Continued)
<PAGE>
The CarolinasFund
PORTFOLIO OF INVESTMENTS
February 29, 1996
(c) Aggregate cost for federal income tax purposes is $1,722,188.
Unrealized appreciation (depreciation) of investments for federal
income tax purposes is as follows:
Unrealized appreciation $249,160
Unrealized depreciation (47,954)
Net unrealized appreciation $201,206
See accompanying notes to financial statements
<PAGE>
The CarolinasFund
STATEMENT OF ASSETS AND LIABILITIES
February 29, 1996
ASSETS
Investments at value (cost $1,722,101) $1,923,394
Receivable for fund shares sold 9,650
Dividends receivable 4,050
Interest receivable 230
Other assets 257
Due from advisor (note 2) 1,821
Deferred organization expenses, net (note 4) 35,680
Total assets 1,975,082
LIABILITIES
Payable for investment purchases 36,411
Accrued professional fees 8,500
Accrued expenses 7,781
Total liabilities 52,692
NET ASSETS $1,922,390
NET ASSETS CONSIST OF:
Paid-in capital $1,720,832
Undistributed net realized gain on investments 265
Net unrealized appreciation on investments 201,293
$1,922,390
INVESTOR CLASS
Net asset value ($1,897,814 (division sign) 152,513
shares outstanding) $12.44
Maximum offering price per share (100 (division sign)
96.5 of $12.44) $12.89
INSTITUTIONAL CLASS
Net asset value and offering price per share ($24,576
(division sign) 1,955 shares outstanding) $12.57
See accompanying notes to financial statements
<PAGE>
The CarolinasFund
STATEMENT OF OPERATIONS
Year ended February 29, 1996
INVESTMENT INCOME
Income
Dividends $22,903
Interest 2,476
Total income 25,379
Expenses
Fund accounting fees (note 2) 29,250
Professional fees 14,107
Investment advisory fees (note 2) 11,386
Custody fees 8,150
Distribution fees (note 3) 5,651
Fund administration fees (note 2) 4,120
Securities pricing fees 3,056
Registration and filing administration fees 1,422
Shareholder recordkeeping fees 1,208
Amortization of deferred organization expenses (note 4) 9,326
Trustee fees and meeting expenses 7,199
Shareholder servicing expenses 4,551
Registration and filing expenses 2,588
Printing expenses 1,614
Other operating expenses 3,493
Total expenses 107,121
Less:
Expense reimbursements (note 2) (69,248)
Investment advisory fees waived (note 2) (11,386)
Distribution fees waived (note 3) (1,860)
Net expenses 24,627
Net investment income 752
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain from investment transactions 3,855
Increase in unrealized appreciation on investments 190,112
Net realized and unrealized gain on investments 193,967
Net increase in net assets resulting from operations $194,719
See accompanying notes to financial statements
<PAGE>
The CarolinasFund
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the
period from
January 3, 1995
(commencement
Year ended of operations) to
February 29, February 28,
1996 1995
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net investment income $752 $987
Net realized gain from investment transactions 3,855 0
Increase in unrealized appreciation on investments 190,112 11,181
Net increase in net assets resulting from operations 194,719 12,168
Distributions to shareholders from
Net investment income - Investor Class (1,987) 0
Net investment income - Institutional Class (1) 0
Net realized gain from investment transactions - Investor Class (3,336) 0
Net realized gain from investment transactions - Institutional Class (5) 0
Decrease in net assets resulting from distributions (5,329) 0
Capital share transactions
Increase in net assets resulting from capital share transactions (a) 1,460,617 260,215
Total increase in net assets 1,650,007 272,383
NET ASSETS
Beginning of period 272,383 0
End of period $1,922,390 $272,383
</TABLE>
(a) A summary of capital share activity follows:
<TABLE>
<CAPTION>
INVESTOR CLASS INSTITUTIONAL CLASS
Year ended For the period from For the period from May 22, 1995
February 29, 1996 January 3, 1995 to (commencement of operations)
February 28, 1995 to February 29, 1996
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
Shares sold 135,220 $1,540,284 25,836 $260,215 1,954 $23,186
Shares issued for reinvestment
of distributions 329 3,765 0 0 1 6
135,549 1,544,049 25,836 260,215 1,955 23,192
Shares redeemed (8,872) (106,624) 0 0 0 0
Net increase 126,677 $1,437,425 25,836 $260,215 1,955 $23,192
</TABLE>
See accompanying notes to financial statements
<PAGE>
The CarolinasFund
FINANCIAL HIGHLIGHTS
(For a Share Outstanding Throughout the Period)
<TABLE>
<CAPTION>
INVESTOR INVESTOR INSTITUTIONAL
CLASS CLASS CLASS
For the For the
period from period from
January 3, 1995 May 22, 1995
(commencement (commencement
Year ended of operations) to of operations) to
February 29, February 28, February 29,
1996 1995 1996
<S> <C> <C> <C>
Net asset value, beginning of period $10.54 $10.00 $10.72
Income from investment operations
Net investment income 0.01(a) 0.04 0.02
Net realized and unrealized gain on investments 1.95 0.50 1.88
Total from investment operations 1.96 0.54 1.90
Distributions to shareholders from
Net investment income (0.03) 0.00 (0.02)
Net realized gain from investment transactions (0.03) 0.00 (0.03)
Total distributions (0.06) 0.00 (0.05)
Net asset value, end of period $12.44 $10.54 $12.57
Total return 18.59%(b) 5.40%(d) 17.68%(c)
Ratios/supplemental data
Net assets, end of period $1,897,814 $272,383 $24,576
Ratio of expenses to average net assets
Before expense reimbursements and waived fees 9.45% 37.10%(e) 8.40%(e)
After expense reimbursements and waived fees 2.17% 2.21%(e) 1.69%(e)
Ratio of net investment income (loss) to average net assets
Before expense reimbursements and waived fees (7.21)% (32.27)%(e) (6.07)%(e)
After expense reimbursements and waived fees 0.06% 2.62%(e) 0.64%(e)
Portfolio turnover rate 16.35% 0.00% 16.35%
</TABLE>
(a) Calculation based upon average shares outstanding for the year.
(b) Total return does not reflect payment of a sales charge.
(c) Annualized total return is 23.44%.
(d) Total return does not reflect payment of a sales charge. Annualized
total return was 35.20%
(e) Annualized.
See accompanying notes to financial statements
<PAGE>
The CarolinasFund
NOTES TO FINANCIAL STATEMENTS
February 29, 1996
NOTE 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND OTHER INFORMATION
The CarolinasFund (the "Fund") is a non-diversified series of shares of
beneficial interest of The Nottingham Investment Trust (the "Trust"), formerly
known as Amelia Earhart Eagle Investments. The Trust, an open-end investment
company, was organized on August 12, 1992 as a Massachusetts Business Trust and
is registered under the Investment Company Act of 1940. The Fund began
operations on January 3, 1995. The Fund is currently authorized to issue two
classes of shares - Investor shares and Institutional shares.
Each class of shares has equal rights as to assets of the Fund, and the classes
are identical except for differences in their sales charge structures and
ongoing distribution fees. Income, expenses (other than distribution fees, which
are attributable to each class based upon a set percentage of its net assets),
and realized and unrealized gains or losses on investments are allocated to each
class of shares based upon its relative net assets. Investor shares purchased
are subject to a maximum sales charge of 3.50 percent. Both classes have equal
voting privileges, except where otherwise required by law or when the Board of
Trustees determines that the matter to be voted on affects only the interests of
the shareholders of a particular class. The following is a summary of
significant accounting policies followed by the Fund.
A. Security Valuation - The Fund's investments in securities are
carried at value. Securities listed on an exchange or quoted
on a national market system are valued at 4:00 p.m. New York
time on the day of valuation. Other securities traded in the
over-the-counter market and listed securities for which no
sale was reported on that date are valued at the most recent
bid price. Securities for which market quotations are not
readily available, if any, are valued by using an independent
pricing service or by following procedures approved by the
Board of Trustees. Short-term investments are valued at cost
which approximates value.
B. Federal Income Taxes - No provision has been made for federal
income taxes since it is the policy of the Fund to comply with
the provisions of the Internal Revenue Code applicable to
regulated investment companies and to make sufficient
distributions of taxable income to relieve it from all federal
income taxes.
C. Investment Transactions - Investment transactions are recorded
on the trade date. Realized gains and losses are determined
using the specific identification cost method. Interest income
is recorded daily on the accrual basis. Dividend income and
distributions to shareholders are recorded on the ex-dividend
date.
D. Distributions to Shareholders - The Fund may declare dividends
quarterly, payable in March, June, September and December, on
a date selected by the Trust's Trustees. In addition,
distributions may be made annually in December out of net
realized gains through October 31 of that year. The Fund may
make a supplemental distribution subsequent to the end of its
fiscal year ended February 29, 1996.
E. Use of Estimates - Management makes a number of estimates in
the preparation of the Fund's financial statements. Actual
results could differ significantly from those estimates.
(Continued)
<PAGE>
The CarolinasFund
NOTES TO FINANCIAL STATEMENTS
February 29, 1996
NOTE 2 - INVESTMENT ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS
Pursuant to an investment advisory agreement, Morehead Capital Advisors LLC.
(the "Advisor") provides the Fund with a continuous program of supervision of
the Fund's assets, including the composition of its investment portfolio, and
furnishes advice and recommendations with respect to investments, investment
policies, and the purchase and sale of securities. As compensation for its
services, the Advisor receives a fee at the annual rate of 1.00% of the Fund's
average daily net assets.
The Advisor has voluntarily agreed to reimburse expenses of the Fund if the
Fund's total expenses, exclusive of interest, taxes, brokerage commissions,
sales charges, and extraordinary expenses, exceed 2.25% of the average daily
value of Investor shares outstanding for any fiscal year, or exceed 1.75% of the
average daily value of Institutional shares outstanding for any fiscal year, or
the limits set by applicable state securities laws or other applicable laws if
such limits are lower.
Currently, the Fund does not offer its shares for sale in states which require
limitations to be placed on its expenses. The Advisor has voluntarily waived its
fee amounting to $11,386 ($0.12 per share) and has agreed to reimburse a portion
of the Fund's operating expenses for the fiscal year ended February 29, 1996.
The total fees waived and expenses to be reimbursed amounted to $80,634. There
can be no assurance that the foregoing voluntary fee waiver or expense
reimbursements will continue.
The Fund's administrator, The Nottingham Company (the "Administrator"), provides
administrative services to and is generally responsible for the overall
management and day-to-day operations of the Fund pursuant to an accounting and
administrative agreement with the Trust. As compensation for its services, the
Administrator receives a fee at the annual rate of 0.20% of the Fund's first $50
million of average daily net assets, 0.175% on the next $50 million of average
daily net assets, and 0.15% on average daily net assets over $100 million. The
Administrator also receives a monthly fee of $2,750 for accounting and
recordkeeping services. Additionally, the Administrator charges the Fund for
servicing of shareholder accounts and registration of the Fund's shares. The
contract with the Administrator provides that the aggregate fees for the
aforementioned administration, accounting and recordkeeping services shall not
be less than $3,000 per month. The Administrator also charges the Fund for
certain expenses involved with the daily valuation of portfolio securities.
Capital Investment Group, Inc. (the "Distributor") serves as the Fund's
principal underwriter and distributor. The Distributor receives any sales
charges imposed on purchases of shares and re-allocates a portion of such
charges to dealers through whom the sale was made, if any. For the year ended
February 29, 1996, the Distributor retained sales charges in the amount of
$5,198.
Certain Trustees and officers of the Trust are also officers or directors of the
Advisor or the Administrator.
(Continued)
<PAGE>
The CarolinasFund
NOTES TO FINANCIAL STATEMENTS
February 29, 1996
NOTE 3 - DISTRIBUTION FEES
The Board of Trustees, including a majority of the Trustees who are not
"interested persons" of the Trust as defined in the Investment Company Act of
1940 (the "Act"), adopted a distribution plan with respect to Investor shares
pursuant to Rule 12b-1 of the Act (the "Plan"). Rule 12b-1 regulates the manner
in which a regulated investment company may assume costs of distributing and
promoting the sales of its shares.
The Plan provides that the Fund may incur certain costs, which may not exceed
0.50% per annum of the Fund's average daily net asset value of Investor shares,
for each year elapsed subsequent to adoption of the Plan for payment to the
Distributor for items such as advertising expenses, selling expenses,
commissions, travel, or other expenses reasonably intended to result in sales of
Investor shares. The Fund incurred $3,791 of such expenses, net of a fee waiver,
under the Plan for the year ended February 29, 1996.
NOTE 4 - DEFERRED ORGANIZATION EXPENSES
All expenses of the Fund incurred in connection with its organization and the
registration of its shares have been assumed by the Fund. The organization
expenses are being amortized over a period of sixty months. Investors purchasing
shares of the Fund bear such expenses only as they are amortized against the
Fund's investment income.
In the event any of the initial shares of the Fund are redeemed during the
amortization period, the redemption proceeds will be reduced by a pro rata
portion of any unamortized organization expenses in the same proportion as the
number of initial shares being redeemed bears to the number of initial shares of
the Fund outstanding at the time of the redemption.
NOTE 5 - PURCHASES AND SALES OF INVESTMENTS
Purchases of investments other than short-term investments aggregated $1,605,570
during the year ended February 29, 1996. Other than short-term investments,
investments sold aggregated $170,800 during the year ended February 29, 1996.
NOTE 6 - DISTRIBUTIONS TO SHAREHOLDERS
All distributions from net realized gain from investment transactions for the
year ended February 29, 1996 represent short-term capital gain distributions,
and are taxable as ordinary income to shareholders for federal income tax
purposes. Shareholders should consult a tax advisor on how to report
distributions for state and local income tax purposes.
<PAGE>
(KPMG Peat Marwick LLP logo)
Independent Auditors' Report
To the Board of Trustees and Shareholders
The Nottingham Investment Trust:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of The CarolinasFund (the "Fund"), a series of The
Nottingham Investment Trust, as of February 29, 1996, the related statement of
operations for the year then ended, and the statements of changes in net assets
and financial highlights for the year ended February 29, 1996 and the period
from January 3, 1995 (commencement of operations) to February 28, 1995. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
February 29, 1996 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
The CarolinasFund as of February 29, 1996, the results of its operations for the
year then ended, and the changes in its net assets and financial highlights for
the year ended February 29, 1996 and the period from January 3, 1995
(commencement of operations) to February 28, 1995 in conformity with generally
accepted accounting principles.
/s/ KPMG Peat Marwick LLP
Richmond, Virginia
April 5, 1996
