<PAGE> 1
[NATIONS FUNDS LOGO]
INVESTMENTS FOR A LIFETIME(SM)
MANAGED
INDEX(SM)
FUNDS NATIONS
MANAGED INDEX
FUND
[WATERMARK IN BACKGROUND]
NATIONS
MANAGED SMALLCAP
INDEX FUND
SEMI-ANNUAL REPORT FOR THE PERIOD
ENDED SEPTEMBER 30, 1997
<PAGE> 2
THIS REPORT IS SUBMITTED FOR
THE GENERAL INFORMATION OF
SHAREHOLDERS OF NATIONS FUNDS.
THIS MATERIAL MUST BE PRECEDED OR
ACCOMPANIED BY A CURRENT NATIONS
FUNDS PROSPECTUS.
NATIONS FUNDS DISTRIBUTOR:
STEPHENS INC. STEPHENS INC., WHICH [GRAPHIC DEPICTING BASKETS]
IS NOT AFFILIATED WITH NATIONSBANK,
N.A., IS NOT A BANK, AND SECURITIES
OFFERED BY IT ARE NOT GUARANTEED BY
ANY BANK OR INSURED BY THE FDIC.
STEPHENS INC., MEMBER NYSE, SIPC.
NATIONS FUNDS INVESTMENT ADVISER:
NATIONSBANC ADVISORS, INC.
NATIONS FUNDS INVESTMENT SUB-ADVISERS:
TRADESTREET INVESTMENT ASSOCIATES, INC.,
GARTMORE GLOBAL PARTNERS AND BOATMEN'S
CAPITAL MANAGEMENT, INC.
- ---------------------
NOT FDIC-
INSURED
- ---------------------
MAY LOSE VALUE
- ---------------------
NO BANK GUARANTEE
- ---------------------
<PAGE> 3
NATIONS FUNDS
DEAR SHAREHOLDER:
The capital markets, particularly the U.S. stock markets, have continued to
surprise participants with solid investment returns through the first nine
months of 1997. But as we had anticipated in January, the markets have become
more volatile than in the previous two years. Stock investors have experienced
more daily swings exceeding one percent of value than at any time in the 1990s.
Bond investors have seen yields move up and down in a broad range for most of
the year. Meanwhile, municipal securities have enjoyed better total returns than
their taxable counterparts.
Investors have continued to benefit from the outstanding economic conditions in
the U.S. Employment is high and jobs are being produced at a 200,000-plus rate
monthly. The growth rate for the U.S. economy has exceeded three percent in real
terms (after inflation) for the past four quarters. Corporate profits are
exceeding Wall Street estimates and should finish the year up about twelve
percent, which would make 1997 a record sixth consecutive year of double-digit
profit growth. Inflation is perhaps the biggest surprise of all: retail
inflation has registered a benign 2.2 percent for the past year, and wholesale
inflation has actually dropped over the same period.
As we have noted, investors have been the beneficiaries of strong economic and
market conditions over the past three years. However, we do not subscribe to the
notion that the historical business cycle has been "repealed." Indeed, we
encourage investors to maintain reasonable expectations about the future. A
recent national survey of 750 mutual fund investors conducted by Montgomery
Asset Management found that those shareholders surveyed anticipated average
annual returns of 34 percent on their investments over the next decade. Such
results, roughly triple the average annual return from stocks over the past 60
years, demonstrate the strong exuberance in the marketplace and give us some
cause for concern. We believe investors should temper their expectations of the
future and enjoy the rewards of the recent past.
That being said, there is little on the horizon that would suggest trouble for
investors as 1997 draws to a close. We believe that the pattern of the past
several years will continue to hold true and should produce a reasonable
investment environment as we move into the new year. The economy continues its
vigorous pace, monetary policy is neutral, inflation is virtually absent, and
the profit picture remains intact. However, any changes on any of these fronts
could translate into market volatility. On behalf of our shareholders, we will
stay vigilant in our work as we pursue the Funds' investment objectives.
Sincerely,
/s/ A. Max Walker /s/ Mark Williamson
A. Max Walker Mark Williamson
President and Chairman of the Board President, NationsBanc Advisors, Inc.
September 30, 1997
ADDENDUM
Since the date of this report, equity markets worldwide have experienced
enormous volatility sparked by events in the Pacific Rim. However, the U.S.
economic picture remains positive -- fundamentals have not changed. Although we
expect continued volatility, our long-term view of the domestic market remains
intact.
November 26, 1997
1
<PAGE> 4
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 99.3%
AEROSPACE AND DEFENSE -- 1.9%
15,470 Boeing Company.................. $ 842,148
1,500 EG&G Inc. ...................... 31,031
700 General Dynamics Corporation.... 60,987
3,000 Lockheed Martin Corporation..... 319,875
1,500 Northrop Grumman Corporation.... 182,063
3,400 Raytheon Company................ 201,025
2,700 TRW Inc. ....................... 148,163
3,400 United Technologies
Corporation................... 275,400
------------
2,060,692
------------
APPAREL AND TEXTILES -- 0.4%
1,100 Fruit of the Loom Inc., Class
A+............................ 30,937
1,700 Liz Claiborne Inc. ............. 93,394
1,900 Nike Inc., Class B.............. 100,700
800 Springs Industries Inc. ........ 42,000
2,300 V.F. Corporation................ 213,038
------------
480,069
------------
AUTOMOBILE AND TRUCK MANUFACTURERS -- 2.1%
10,100 Chrysler Corporation............ 371,806
19,800 Ford Motor Company.............. 895,950
11,800 General Motors Corporation...... 789,862
1,700 ITT Industries.................. 56,419
1,800 PACCAR, Inc. ................... 100,800
------------
2,214,837
------------
AUTOMOBILE PARTS MANUFACTURERS -- 0.5%
2,300 Dana Corporation................ 113,562
800 Eaton Corporation............... 73,900
600 Echlin Inc. .................... 21,037
2,500 Goodyear Tire & Rubber
Company....................... 171,875
5,500 Navistar International
Corporation+.................. 151,938
700 Snap-On Inc. ................... 32,244
------------
564,556
------------
BANKS -- 7.8%
6,100 Banc One Corporation............ 340,456
12,600 BankAmerica Corporation......... 923,737
2,200 BankBoston Corporation.......... 194,563
7,000 Bank of New York Inc. .......... 336,000
2,400 Bankers Trust N.Y.
Corporation................... 294,000
3,800 Barnett Banks Inc. ............. 268,850
6,500 Chase Manhattan Corporation..... 767,000
7,300 Citicorp........................ 977,744
2,500 Comerica Inc. .................. 197,344
1,500 CoreStates Financial
Corporation................... 99,281
2,200 Fifth Third Bancorp............. 143,825
6,100 First Chicago Corporation NBD... 459,025
10,900 First Union Corporation......... 545,681
3,800 Fleet Financial Group Inc. ..... 249,137
3,400 KeyCorp (New)................... 216,325
5,600 Mellon Bank Corporation......... 306,600
2,900 Morgan (J.P.) & Company Inc. ... 329,513
3,100 National City Corporation....... 190,844
6,100 Norwest Corporation............. 373,625
6,100 PNC Bank Corporation............ 297,756
1,700 Republic New York Corporation... 193,163
3,000 SunTrust Banks Inc. ............ 203,813
2,836 U.S. Bancorp.................... 273,674
2,600 Wachovia Corporation............ 187,200
------------
8,369,156
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
BEVERAGES -- 3.1%
4,000 Anheuser-Busch Companies,
Inc. ......................... $ 180,500
32,400 Coca-Cola Company............... 1,974,375
6,800 Coors (Adolph) Company,
Class B....................... 257,550
19,800 PepsiCo Inc. ................... 803,138
3,500 Seagram Company, Ltd. .......... 123,375
------------
3,338,938
------------
BIO SPECIALTY PHARMACEUTICALS -- 0.2%
3,500 Amgen Inc. ..................... 167,781
------------
CHEMICALS -- BASIC -- 2.5%
1,700 Air Products & Chemicals
Inc. ......................... 140,993
4,200 Dow Chemical Company............ 380,887
16,800 du Pont (E.I.) de Nemours &
Company....................... 1,034,250
800 Eastman Chemical Company........ 49,600
600 Ecolab Inc. .................... 29,137
500 FMC Corporation+................ 44,375
700 Goodrich (B.F.) Company......... 31,675
1,000 Hercules, Inc. ................. 49,750
800 Mallinckrodt Inc. .............. 28,800
4,900 Monsanto Company................ 191,100
500 Nalco Chemical Company.......... 20,031
3,000 PPG Industries, Inc. ........... 188,063
2,700 Praxair Inc. ................... 138,206
2,100 Rohm & Haas Company............. 201,469
1,220 Solutia Inc.+................... 24,400
2,700 Union Carbide Corporation....... 131,456
------------
2,684,192
------------
CHEMICALS -- SPECIALTY -- 0.2%
800 Avery Dennison Corporation...... 32,000
1,000 Grace (W.R.) & Company.......... 73,625
2,700 Morton International Inc.,
Industries.................... 95,850
------------
201,475
------------
COAL, GAS AND PIPELINE -- 0.2%
4,300 Coastal Corporation............. 263,375
------------
COMPUTER RELATED -- 5.2%
600 Ceridian Corporation+........... 22,200
6,700 Cisco Systems, Inc.+............ 489,519
11,800 Compaq Computer Corporation+.... 882,050
5,500 Data General Corporation+....... 146,437
5,000 Dell Computer Corporation+...... 484,375
3,000 Digital Equipment
Corporation+.................. 129,937
3,800 EMC Corporation+................ 221,825
12,900 Hewlett-Packard Company......... 897,356
2,500 Honeywell, Inc. ................ 167,969
15,400 International Business Machines
Corporation................... 1,631,438
3,600 Seagate Technology+............. 130,050
5,500 Sun Microsystems Inc.+.......... 257,469
2,300 3Com Corporation+............... 117,875
------------
5,578,500
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
2
<PAGE> 5
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
COMPUTER
SERVICES --
0.5%
2,100 Automatic Data Processing
Inc. ......................... $ 105,000
5,300 Computer Associates
International Inc. ........... 380,606
700 Computer Sciences
Corporation+.................. 49,525
------------
535,131
------------
COMPUTER SOFTWARE -- 2.4%
1,100 Adobe Systems Inc. ............. 55,412
17,200 Microsoft Corporation+.......... 2,275,775
6,950 Oracle Systems Corporation+..... 253,241
------------
2,584,428
------------
CONSTRUCTION -- 0.6%
3,000 Case Corporation................ 199,875
3,000 Centex Corporation.............. 175,125
2,900 Crane Company................... 119,262
1,700 Masco Corporation............... 77,881
600 Owens-Corning Fiberglass
Corporation................... 21,900
1,800 Sherwin-Williams Company........ 52,988
------------
647,031
------------
CONTAINERS -- 0.1%
800 Crown Cork & Seal Inc. ......... 36,900
2,200 Owens-Illinois, Inc.+........... 74,663
------------
111,563
------------
COSMETICS AND TOILETRY -- 1.8%
2,700 Colgate-Palmolive Company....... 188,156
5,900 Gillette Company................ 509,243
17,500 Procter & Gamble Company........ 1,208,594
------------
1,905,993
------------
DIVERSIFIED -- 1.9%
4,300 Aeroquip-Vickers Inc. .......... 210,700
7,800 AlliedSignal Inc. .............. 331,500
3,300 Corning Inc. ................... 155,925
2,700 Fortune Brands, Inc. ........... 90,956
3,100 Loews Corporation............... 350,106
4,000 Minnesota Mining & Manufacturing
Company....................... 370,000
1,800 Tenneco Inc. ................... 86,175
2,300 Textron, Inc. .................. 149,500
3,600 Tyco International Ltd. ........ 295,425
------------
2,040,287
------------
DRUGS -- 5.3%
1,200 ALZA Corporation+............... 34,800
7,100 American Home Products
Corporation................... 518,300
12,400 Bristol-Myers Squibb Company.... 1,026,100
6,300 Lilly (Eli) & Company........... 758,756
16,100 Merck & Company Inc. ........... 1,608,994
14,000 Pfizer, Inc. ................... 840,875
8,300 Schering-Plough Corporation..... 427,450
3,700 Warner-Lambert Company.......... 499,269
------------
5,714,544
------------
ELECTRIC POWER -- 2.8%
3,100 American Electric Power Inc. ... 141,050
3,100 Baltimore Gas & Electric
Company....................... 86,025
2,200 Carolina Power & Light
Company....................... 79,062
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRIC POWER -- (CONTINUED)
3,100 Central & South West
Corporation................... $ 68,781
2,500 CINergy Corporation............. 83,594
3,500 Consolidated Edison Company
New York Inc.................. 119,000
2,900 Dominion Resources Inc. ........ 109,837
1,800 DTE Energy Company.............. 54,787
5,401 Duke Energy Corporation......... 267,012
9,000 Edison International............ 227,250
3,300 Entergy Corporation, New........ 86,006
3,100 FPL Group Inc. ................. 158,875
4,600 GPU, Inc. ...................... 165,025
4,100 Houston Industries Inc. ........ 89,175
6,100 Niagara Mohawk Power
Corporation+.................. 58,331
1,800 Northern States Power
Corporation................... 89,550
3,100 Ohio Edison Company............. 72,656
4,200 PacifiCorp...................... 93,975
3,600 PECO Energy Company............. 84,375
7,300 PG&E Corporation................ 169,269
3,000 PP&L Resources Inc. ............ 65,625
3,500 Public Service Enterprise
Group......................... 90,125
9,800 Southern Company................ 221,113
3,502 Texas Utilities Company......... 126,072
3,800 Unicom Corporation.............. 88,825
1,700 Union Electric Company.......... 65,344
------------
2,960,739
------------
ELECTRICAL EQUIPMENT -- 3.3%
6,600 Emerson Electric Company........ 380,325
45,600 General Electric Company........ 3,103,650
700 Raychem Corporation............. 59,150
600 Thomas & Betts Corporation...... 32,775
------------
3,575,900
------------
ELECTRONICS -- 1.6%
3,200 AMP, Inc. ...................... 171,400
3,400 Applied Materials Inc.+......... 323,850
1,700 Harris Corporation.............. 77,775
8,300 Motorola, Inc. ................. 596,563
4,700 National Semiconductor
Corporation+.................. 192,700
2,900 Rockwell International
Corporation................... 182,519
2,300 Tektronix Inc. ................. 155,106
------------
1,699,913
------------
ENVIRONMENTAL -- 0.4%
3,600 Browning-Ferris Industries
Inc. ......................... 137,025
2,900 Johnson Controls Inc. .......... 143,731
3,300 Laidlaw Inc., Class B+.......... 49,294
2,100 LSI Logic Corporation+.......... 67,463
700 Safety-Kleen Corporation........ 16,756
------------
414,269
------------
EXPLORATION AND DRILLING -- 0.3%
1,900 Burlington Resources Inc. ...... 97,494
2,700 Helmerich & Payne, Inc. ........ 216,000
------------
313,494
------------
FINANCIAL SERVICES -- 4.6%
7,100 American Express Company........ 581,312
4,300 American General Corporation.... 223,062
700 Beneficial Corporation.......... 53,331
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
3
<PAGE> 6
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
FINANCIAL SERVICES -- (CONTINUED)
1,700 Countrywide Credit
Industries, Inc. ............. $ 61,944
10,600 Dean Witter, Discover &
Company....................... 573,062
9,800 Federal Home Loan Mortgage
Corporation................... 345,450
15,400 Federal National Mortgage
Association................... 723,800
2,200 Green Tree Financial
Corporation................... 103,400
1,500 Household International Inc. ... 169,781
2,500 Marsh & McLennan
Companies Inc. ............... 191,563
3,700 MBNA Corporation................ 149,850
6,900 Merrill Lynch & Company Inc. ... 511,894
4,300 Salomon Inc. ................... 323,263
2,300 State Street Corporation........ 140,156
800 Transamerica Corporation........ 79,600
10,700 Travelers Group Inc. ........... 730,275
------------
4,961,743
------------
FOOD PRODUCERS -- 2.1%
8,160 Archer-Daniels-Midland
Company....................... 195,330
4,200 Campbell Soup Company........... 205,800
3,600 ConAgra Inc. ................... 237,600
5,200 Heinz (H.J.) Company............ 240,175
2,100 Hershey Foods Corporation....... 118,650
6,100 Kellogg Company................. 256,963
2,000 Quaker Oats Company............. 100,750
900 Ralston-Purina Group............ 79,650
7,100 Sara Lee Corporation............ 365,650
2,300 Unilever N.V., ADR.............. 489,038
------------
2,289,606
------------
FOOD RETAILERS -- 0.5%
4,200 American Stores Company......... 102,375
5,500 Fleming Companies, Inc. ........ 100,719
2,900 Great Atlantic & Pacific Tea
Inc. ......................... 92,075
3,500 Kroger Company+................. 105,656
3,800 SuperValu Inc. ................. 149,150
------------
549,975
------------
FURNITURE AND APPLIANCES -- 0.5%
1,800 Armstrong World Industries
Inc. ......................... 120,712
900 Black & Decker Corporation...... 33,525
3,000 Maytag Corporation.............. 102,375
2,300 Newell Company.................. 92,000
900 Stanley Works................... 38,700
2,400 Whirlpool Corporation........... 159,150
------------
546,462
------------
INSURANCE -- 3.9%
1 Aegon N.V., ADR................. 80
2,100 Aetna Inc. ..................... 171,018
8,000 Allstate Corporation............ 643,000
10,300 American International
Group, Inc. .................. 1,062,831
2,500 Aon Corporation................. 132,187
2,700 Chubb Corporation............... 191,869
1,700 CIGNA Corporation............... 316,625
2,700 Conseco Inc. ................... 131,794
1,100 General Re Corporation.......... 218,350
2,500 Hartford Financial Services
Group, Inc. .................. 215,156
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
INSURANCE -- (CONTINUED)
900 Jefferson-Pilot Corporation..... $ 71,100
2,500 Lincoln National Corporation
Ltd. ......................... 174,063
800 MBIA, Inc. ..................... 100,350
1,500 MGIC Investment Corporation..... 85,969
2,000 Providian Corporation........... 79,375
1,700 SAFECO Corporation.............. 90,100
900 St. Paul Companies Inc. ........ 73,406
2,750 SunAmerica, Inc. ............... 107,766
5,000 Torchmark Corporation........... 196,250
1,500 UNUM Corporation................ 68,438
3,600 USF&G Corporation............... 82,575
------------
4,212,302
------------
MACHINERY AND EQUIPMENT -- 2.3%
7,200 Caterpillar Inc. ............... 388,350
2,500 Cooper Industries Inc. ......... 135,156
2,500 Cummings Engine Inc. ........... 195,156
5,200 Deere & Company................. 279,500
1,700 Dover Corporation............... 115,387
800 Grainger (W.W.), Inc. .......... 71,200
800 Harnischfeger Industries
Inc. ......................... 34,200
4,900 Illinois Tool Works Inc. ....... 245,000
5,500 Ingersoll-Rand Company.......... 236,844
2,700 NACCO Industries, Inc., Class
A............................. 317,419
4,500 Parker-Hannifin Corporation..... 202,500
1,500 Thermo Electron Corporation+.... 60,000
5,500 Timken Company.................. 220,344
------------
2,501,056
------------
MEDIA -- 0.6%
5,300 Comcast Corporation, Class A.... 136,475
8,300 Time Warner Inc. ............... 449,756
------------
586,231
------------
MEDICAL PRODUCTS AND SUPPLIES -- 1.9%
8,700 Abbott Laboratories............. 556,256
2,400 Baxter International Inc. ...... 125,400
2,700 Becton, Dickinson & Company..... 129,262
1,700 Guidant Corporation............. 95,200
16,600 Johnson & Johnson............... 956,575
3,300 Medtronic, Inc. ................ 155,100
1,000 United States Surgical
Corporation................... 29,188
------------
2,046,981
------------
MEDICAL SERVICES -- 0.8%
9,100 Beverly Enterprises+............ 158,112
9,800 Columbia/HCA Healthcare
Corporation................... 281,750
4,600 HEALTHSOUTH Corporation+........ 122,763
900 Manor Care, Inc. ............... 29,925
5,200 Tenet Healthcare Corporation+... 151,450
2,200 United Healthcare Corporation... 110,000
------------
854,000
------------
METALS AND MINING -- 0.9%
3,600 Alcan Aluminum Ltd. ............ 125,100
2,700 Aluminum Company of America..... 221,400
5,500 ASARCO Inc. .................... 176,000
3,600 Cyprus Amax Minerals Company.... 86,400
2,600 Inco Ltd. ...................... 65,163
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE> 7
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
METALS AND MINING -- (CONTINUED)
2,100 Phelps Dodge Corporation........ $ 163,013
900 Reynolds Metals Company......... 63,731
------------
900,807
------------
OFFICE EQUIPMENT -- 0.6%
2,500 Moore Corporation Ltd. ......... 47,500
2,300 Pitney Bowes Inc. .............. 191,331
4,600 Xerox Corporation............... 387,263
------------
626,094
------------
OIL -- DOMESTIC -- 2.8%
3,000 Amerada Hess Corporation........ 185,062
7,300 Amoco Corporation............... 703,537
1,700 Ashland Oil, Inc. .............. 92,437
5,700 Atlantic Richfield Company...... 486,994
2,300 Kerr-McGee Corporation.......... 158,269
500 Louisiana Land & Exploration
Company....................... 39,156
7,300 Occidental Petroleum
Corporation................... 189,344
2,500 Oryx Energy Company+............ 63,594
2,500 Pennzoil Company................ 199,219
4,600 Phillips Petroleum Company...... 237,475
5,100 Sun Company, Inc. .............. 223,444
3,600 Unocal Corporation.............. 155,700
7,300 USX-Marathon Group.............. 271,469
------------
3,005,700
------------
OIL -- INTERNATIONAL -- 6.0%
10,700 Chevron Corporation............. 890,106
35,700 Exxon Corporation............... 2,287,031
11,200 Mobil Corporation............... 828,800
31,600 Royal Dutch Petroleum Company,
ADR........................... 1,753,800
8,300 Texaco Inc. .................... 509,931
4,100 Union Pacific Resources
Group Inc. ................... 107,369
------------
6,377,037
------------
OIL SERVICES -- 1.2%
3,100 Baker Hughes Inc. .............. 135,625
3,100 Dresser Industries, Inc. ....... 133,300
2,700 Enron Corporation............... 103,950
3,300 Halliburton Company............. 171,600
2,900 Rowan Companies Inc.+........... 103,313
7,200 Schlumberger Ltd. .............. 606,150
700 Western Atlas, Inc.+............ 61,600
------------
1,315,538
------------
PAPER AND FOREST
PRODUCTS -- 1.5%
700 Boise Cascade Corporation....... 29,444
1,700 Champion International
Corporation................... 103,594
6,600 Fort James Corporation.......... 302,362
1,400 Georgia-Pacific Corporation..... 146,125
4,200 International Paper Company..... 231,263
6,700 Kimberly-Clark Corporation...... 327,881
700 Mead Corporation................ 50,575
900 Potlatch Corporation............ 45,281
500 Temple-Inland Inc. ............. 32,000
800 Union Camp Corporation.......... 49,350
2,500 Westvaco Corporation............ 90,156
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PAPER AND FOREST PRODUCTS -- (CONTINUED)
2,900 Weyerhaeuser Company............ $ 172,188
1,000 Willamette Industries Inc. ..... 38,250
------------
1,618,469
------------
PHOTO AND OPTICAL -- 0.3%
5,000 Eastman Kodak Company........... 324,687
------------
PRINTING AND PUBLISHING -- 1.0%
3,400 American Greetings Corporation,
Class A....................... 125,375
700 Dow Jones & Company Inc. ....... 32,725
2,500 Dun & Bradstreet Corporation.... 70,937
2,500 Gannett Company, Inc. .......... 269,844
700 Harcourt General Inc. .......... 34,694
900 Knight-Ridder Inc. ............. 49,163
700 McGraw-Hill Companies, Inc. .... 47,381
700 Meredith Corporation............ 23,188
3,800 New York Times Company,
Class A....................... 199,500
1,700 Times Mirror Company, Class A... 93,394
1,700 Tribune Company................. 90,631
------------
1,036,832
------------
PROFESSIONAL SERVICES -- 0.2%
1,050 Interpublic Group of
Companies, Inc. .............. 53,878
3,600 Service Corporation
International................. 115,875
------------
169,753
------------
RECREATION -- 1.3%
2,500 Brunswick Corporation........... 88,125
9,800 Disney (Walt) Company........... 790,125
700 Fleetwood Enterprises, Inc. .... 23,494
700 Harrah's Entertainment Inc.+.... 15,706
1,700 Hasbro Inc. .................... 47,813
3,000 King World Productions Inc. .... 129,750
2,800 Mattel, Inc. ................... 92,750
4,900 Viacom Inc., Class B+........... 154,963
------------
1,342,726
------------
RESTAURANTS AND LODGING -- 1.1%
3,800 Darden Restaurants Inc. ........ 43,937
2,400 HFS Inc.+....................... 178,650
3,400 Hilton Hotels Corporation....... 114,538
2,500 ITT Corporation+................ 169,375
2,200 Marriot International Inc. ..... 156,338
8,800 McDonald's Corporation.......... 419,100
2,500 Wendy's International Inc. ..... 53,125
------------
1,135,063
------------
RETAIL -- DISCOUNT -- 1.9%
15,500 Kmart Stores Corporation+....... 217,000
1,700 Rite Aid Corporation............ 94,244
6,600 TJX Companies Inc. ............. 201,713
4,100 Toys R Us Inc.+................. 145,550
32,900 Wal-Mart Stores Inc. ........... 1,204,963
5,600 Woolworth Corporation+.......... 123,900
------------
1,987,370
------------
RETAIL -- GENERAL -- 1.6%
5,800 Costco Companies, Inc.+......... 218,225
5,400 Dayton Hudson Corporation....... 323,662
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE> 8
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL -- GENERAL -- (CONTINUED)
4,200 Dillard Department Stores Inc.,
Class A....................... $ 184,012
5,500 Federated Department Stores
Inc.+......................... 237,187
3,400 May Department Stores Company... 185,300
700 Mercantile Stores Inc. ......... 44,056
2,700 Penney (J.C.) Company Inc. ..... 157,275
5,600 Sears, Roebuck & Company........ 318,850
------------
1,668,567
------------
RETAIL -- SPECIALTY -- 1.3%
3,500 CUC International, Inc.+........ 108,500
2,400 CVS Corporation................. 136,500
2,700 Gap Inc. ....................... 135,169
10,600 Home Depot, Inc. ............... 552,525
3,000 Limited Inc. ................... 73,313
2,900 Lowe's Companies, Inc. ......... 112,738
1,400 Tandy Corporation............... 47,075
7,400 Walgreen Company................ 189,625
------------
1,355,445
------------
SAVINGS AND LOANS -- 0.7%
3,800 Ahmanson (H.F.) & Company....... 215,887
2,500 Golden West Financial
Corporation................... 224,375
3,600 Washington Mutual, Inc. ........ 251,100
------------
691,362
------------
SEMICONDUCTORS -- 2.5%
2,500 Advanced Micro Devices Inc.+.... 81,406
22,900 Intel Corporation............... 2,113,956
3,600 Micron Technology, Inc.+........ 124,875
2,900 Texas Instruments Inc. ......... 391,863
------------
2,712,100
------------
STEEL -- 0.6%
1,500 Allegheny Teledyne Inc. ........ 42,937
10,400 Bethlehem Steel Corporation+.... 107,250
10,100 Inland Steel Industries,
Inc. ......................... 220,938
700 Nucor Corporation............... 36,881
6,100 USX-U.S. Steel Group............ 211,975
------------
619,981
------------
TELECOMMUNICATIONS -- 1.4%
3,700 AirTouch Communications,
Inc.+......................... 131,118
9,400 Lucent Technologies............. 764,925
4,100 Northern Telecommunications,
Ltd. ......................... 426,144
2,600 Tellabs, Inc.+.................. 133,900
------------
1,456,087
------------
TOBACCO -- 1.3%
33,700 Philip Morris Companies Inc. ... 1,400,656
------------
TRANSPORTATION -- AIRLINES -- 0.8%
2,700 AMR Corporation+................ 298,856
2,500 Delta Air Lines, Inc. .......... 235,469
5,600 Southwest Airlines Company...... 178,850
3,600 US Airways Group Inc.+.......... 148,950
------------
862,125
------------
TRANSPORTATION -- RAILROADS -- 0.8%
2,900 Burlington Northern
Santa Fe Inc. ................ 280,212
3,800 CSX Corporation................. 222,300
1,700 Norfolk Southern Corporation.... 175,525
3,600 Union Pacific Corporation....... 225,450
------------
903,487
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
TRUCKING AND SHIPPING -- 0.7%
5,300 Caliber Systems, Inc. .......... $ 287,525
3,800 Federal Express Corporation+.... 304,000
3,000 Ryder Systems Inc. ............. 107,813
------------
699,338
------------
UTILITIES -- NATURAL GAS -- 0.5%
700 Columbia Gas Systems Inc. ...... 49,000
1,400 Consolidated Natural Gas
Company....................... 81,462
700 NICOR Inc. ..................... 26,250
900 ONEOK Inc. ..................... 29,363
3,800 Pacific Enterprises............. 128,725
3,000 People's Energy Corporation..... 113,063
800 Sonat, Inc. .................... 40,700
2,300 Williams Companies Inc. ........ 107,669
------------
576,232
------------
UTILITIES -- TELEPHONE -- 5.8%
3,100 ALLTEL Corporation.............. 106,950
8,200 Ameritech Corporation........... 545,300
23,800 AT&T Corporation................ 1,054,637
12,329 Bell Atlantic Corporation....... 991,714
15,300 BellSouth Corporation........... 707,625
14,200 GTE Corporation................. 644,325
9,800 MCI Communications
Corporation................... 287,875
13,600 SBC Communications Inc. ........ 834,700
6,300 Sprint Corporation.............. 315,000
7,100 U.S. West Inc. ................. 273,350
12,700 WorldCom Inc.+.................. 449,263
------------
6,210,739
------------
WASTE DISPOSAL -- 0.2%
5,300 Waste Management Inc. .......... 185,169
------------
TOTAL COMMON STOCKS
(Cost $86,400,242)............ 106,156,583
============
<CAPTION>
PRINCIPAL
AMOUNT
=========
<S> <C> <C>
U.S. TREASURY BILL -- 0.1%
(Cost $99,385)
$100,000 5.150%** 11/13/1997............. 99,385
============
TOTAL SECURITIES
(Cost $86,499,627)............ 106,255,968
============
REPURCHASE AGREEMENT -- 3.9%
(Cost $4,191,000)
4,191,000 Agreement with Smith Barney,
5.480% dated 09/30/97, to be
repurchased at $4,191,640 on
10/01/97, collateralized by:
$1,784,626 U.S. Treasury Note,
7.375% due 11/15/97; $486,865
U.S. Treasury Bond, 11.250%
due 02/15/15; $1,254,547
Resolution Funding Corp.
Strips, Principal Only, due
04/15/05; $899,722 GNMA,
6.000% due 05/20/27........... 4,191,000
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE> 9
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $90,690,627*).................. 103.3% $110,446,968
OTHER ASSETS AND LIABILITIES (3.3) (3,481,030)
(NET)................................
----- ------------
NET ASSETS............................. 100.0% $106,965,938
===== ============
</TABLE>
- ---------------
* Aggregate cost for Federal tax purposes.
** Rate represents annualized yield at date of purchase.
+ Non-income producing security.
ABBREVIATION:
<TABLE>
<S> <C>
ADR American Depositary Receipt
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE> 10
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 95.6%
AEROSPACE AND DEFENSE -- 0.5%
4,400 AAR Corporation................... $ 146,850
4,600 BE Aerospace, Inc.+............... 165,600
7,600 Orbital Sciences Corporation+..... 186,200
----------
498,650
----------
AMMUNITION -- 0.4%
5,400 Alliant Techsystems, Inc.+........ 347,962
----------
APPAREL AND TEXTILES -- 2.7%
3,200 Brown Group Inc. ................. 58,200
5,800 Cone Mills Corporation+........... 48,212
16,400 Delta Woodside Industries,
Inc. ........................... 99,425
4,400 G & K Services Inc. .............. 152,900
7,000 Galey & Lord Inc.+................ 132,125
11,300 Guilford Mills Inc. .............. 293,800
8,900 Hartmarx Corporation+............. 76,762
5,200 Johnson Industries Inc. .......... 30,225
8,400 Mohawk Industries Inc.+........... 229,950
8,600 Nautica Enterprises Inc.+......... 241,875
6,500 Osh Kosh B'Gosh, Class A.......... 169,812
5,100 Oxford Industries Inc. ........... 172,762
6,400 Phillips-Van Heusen Corporation... 101,200
8,300 Pillowtex Corporation............. 236,550
3,900 St. John Knits Inc. .............. 175,256
2,700 Timberland Company, Class A+...... 215,325
15,700 Tultex Corporation+............... 94,200
----------
2,528,579
----------
AUTOMOBILE AND TRUCK MANUFACTURERS -- 0.1%
3,900 Spartan Motors, Inc. ............. 28,762
2,400 Walbro Corporation................ 52,500
----------
81,262
----------
AUTOMOBILE PARTS MANUFACTURERS -- 1.6%
3,100 Breed Technologies Inc. .......... 74,400
7,700 Intermet Corporation.............. 134,750
6,300 Myers Industries Inc. ............ 103,950
4,700 Simpson Industries................ 54,344
4,700 SPX Corporation................... 275,537
4,400 Standard Motor Products........... 102,850
8,600 Standard Products Company......... 226,288
16,000 TBC Corporation+.................. 151,000
10,200 Titan Wheel International Inc. ... 204,000
5,200 Wynn's International, Inc. ....... 172,900
----------
1,500,019
----------
BANKS -- 4.6%
1 Banc One Corporation.............. 56
4,814 Banker's Trust New York Corporation. 589,715
5,100 CCB Financial Corporation......... 411,187
5,100 Cullen Frost Bankers Inc. ........ 241,612
11,000 Deposit Guaranty Corporation...... 366,438
5,200 FirstBank of Puerto Rico.......... 169,000
9,100 First Financial Corporation
(Wisconsin)..................... 309,969
17,000 FirstMerit Corporation............ 459,000
8,100 Magna Group, Inc. ................ 319,444
9,800 Provident Financial Corporation... 463,662
3,500 RCSB Financial Inc. .............. 190,750
4,700 U.S. Trust Corporation............ 264,962
14,700 Zions Bancorporation.............. 551,250
----------
4,337,045
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
BASIC INDUSTRIES -- 0.4%
5,200 Commercial Metals................. $ 166,075
4,400 Dravo Corporation+................ 52,250
4,300 Greenfield Industries............. 123,625
3,300 Shorewood Packaging
Corporation+.................... 78,788
----------
420,738
----------
BEVERAGES -- 0.4%
6,700 Canandaigua Brands, Inc.+......... 315,737
1,500 Coca-Cola Company................. 86,250
----------
401,987
----------
BROADCASTING/ADVERTISING -- 0.3%
5,200 True North Communications......... 129,025
4,100 Westwood One, Inc.+............... 130,175
----------
259,200
----------
BUILDING MATERIALS -- 1.9%
6,900 BMC West Corporation+............. 219,506
3,200 Building Material Holding Corporation 41,800
1,700 Butler Manufacturing Company...... 57,375
11,500 Champion Enterprises Inc.+........ 219,938
3,600 Hughes Supply, Inc. .............. 108,675
4,700 Lone Star Industries.............. 253,800
5,400 Medusa Corporation................ 257,175
6,600 Republic Group Inc. .............. 123,750
3,300 Skyline Corporation............... 98,587
7,300 Texas Industries Inc. ............ 309,794
9,000 Universal Forest Products......... 157,500
----------
1,847,900
----------
BUSINESS SERVICES -- 0.1%
3,300 New England Business Service,
Inc. ........................... 105,600
----------
CHEMICALS -- BASIC -- 0.9%
4,700 Cambrex Corporation............... 219,138
7,700 Mississippi Chemical
Corporation..................... 150,150
7,100 The Scotts Company+............... 186,375
4,700 Tredegar Industries, Inc. ........ 330,175
----------
885,838
----------
CHEMICALS -- SPECIALTY -- 1.0%
2,400 Chemed Corporation................ 92,400
3,900 ChemFirst Inc.+................... 97,988
10,900 Geon Company...................... 223,450
5,200 Lilly Industries, Inc., Class A... 109,200
4,400 McWhorter Technologies, Inc.+..... 110,550
5,200 OM Group, Inc. ................... 207,675
1,500 Penwest LTD....................... 53,625
4,100 Quaker Chemical Corporation....... 76,875
----------
971,763
----------
COMMERCIAL SERVICES -- 0.6%
3,900 Billing Information Concepts
Corporation+.................... 136,500
2,200 Central Parking Corporation....... 103,400
5,700 Insurance Auto Auctions, Inc.+.... 71,250
9,400 Interim Services+................. 264,375
1,500 NFO Research Inc.+................ 41,250
----------
616,775
----------
COMPUTER RELATED -- 2.7%
4,800 American Management Systems, Inc.+.. 91,800
8,300 BancTec, Inc.+.................... 220,987
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE> 11
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
COMPUTER RELATED -- (CONTINUED)
4,400 BISYS Group, Inc.+................ $ 141,350
5,200 Chips and Technologies, Inc.+..... 83,200
6,100 Comverse Technology, Inc.+........ 321,775
2,700 Henry Jack & Associates........... 71,212
16,600 Keane Inc.+....................... 527,050
1,500 Kronos, Inc.+..................... 38,812
6,800 National Computer Systems Inc. ... 240,550
11,100 Read-Rite Corporation+............ 271,950
3,300 Standard Microsystems
Corporation+.................... 56,719
10,300 Tech Data Corporation+............ 473,800
4,000 Wall Data Inc.+................... 77,000
----------
2,616,205
----------
COMPUTER SERVICES -- 0.7%
5,200 Acxiom Corporation+............... 90,675
4,600 Ciber, Inc.+...................... 217,350
5,500 Gerber Scientific, Inc. .......... 133,031
8,600 Primark Corporation+.............. 254,238
----------
695,294
----------
COMPUTER SOFTWARE -- 0.7%
5,400 Auspex Systems Inc.+.............. 66,825
3,900 Hyperion Software Corporation+.... 121,631
12,600 Platinum Technology
Incorporated+................... 270,900
9,400 Viewlogic Systems, Inc.+.......... 223,838
----------
683,194
----------
CONSTRUCTION -- 2.0%
10,100 Apogee Enterprises Inc. .......... 247,450
1,500 Continental Homes Holding
Corporation..................... 43,969
16,300 M.D.C. Holdings, Inc. ............ 161,981
11,600 Morrison Knudsen Corporation+..... 140,650
5,500 Ryland Group Inc. ................ 97,625
3,500 Southern Energy Homes+............ 36,969
11,400 Standard Pacific Corporation...... 119,700
5,400 Stone & Webster, Inc. ............ 296,325
4,500 TJ International Inc. ............ 115,031
13,400 Toll Brothers, Inc.+.............. 311,550
7,300 U.S. Home Corporation+............ 281,962
----------
1,853,212
----------
CONSUMER GOODS -- DURABLE -- 1.8%
4,800 Boole & Babbage Inc.+............. 138,000
11,100 Fedders Corporation............... 66,600
12,500 Kaman Corporation, Class A........ 229,688
4,400 La-Z Boy Inc. .................... 162,800
10,300 Oakwood Homes Corporation......... 292,262
5,300 Royal Appliance Manufacturing
Company+........................ 46,375
8,200 Russ Berrie & Company, Inc. ...... 239,850
11,000 Smithfield Foods, Inc.+........... 330,000
7,500 Thomas Industries Inc. ........... 225,000
----------
1,730,575
----------
CONSUMER GOODS -- NON-DURABLE -- 1.6%
3,900 ABM Industries Inc. .............. 103,106
7,200 ADVO Inc. ........................ 131,400
1,500 Angelica Corporation.............. 29,812
6,100 Fieldcrest Cannon Inc.+........... 210,450
1,700 GoodMark Foods Inc. .............. 29,112
9,000 Kellwood Company.................. 318,938
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
CONSUMER GOODS -- NON-DURABLE -- (CONTINUED)
5,200 Paragon Trade Brands, Inc+........ $ 96,525
1,700 Plenum Publishing Corporation..... 81,600
10,000 Richfood Holdings Inc. ........... 259,375
8,900 Wolverine World Wide Inc. ........ 224,725
----------
1,485,043
----------
CONTAINERS/PACKAGING -- 0.3%
5,700 AptarGroup, Inc. ................. 318,844
----------
CONVENIENCE STORE -- 0.2%
8,600 Casey's General Stores Inc. ...... 211,775
----------
COSMETICS AND TOILETRY -- 0.2%
3,900 Nature's Sunshine Products
Inc. ........................... 92,138
5,200 NBTY, Inc.+....................... 109,850
----------
201,988
----------
DIVERSIFIED -- 1.2%
200 Core Industries, Inc. ............ 5,000
7,000 Figgie International, Inc., Class
A+.............................. 103,250
7,700 Justin Industries Inc. ........... 103,469
8,900 Sierra Pacific Resources.......... 285,356
6,000 SPS Technologies, Inc.+........... 282,000
3,200 Standex International
Corporation..................... 100,800
5,400 Triarc Companies, Inc.+........... 108,675
4,200 Zero Corporation.................. 118,912
----------
1,107,462
----------
DRUGS -- 0.6%
4,400 Cygnus, Inc.+..................... 86,900
8,300 ICN Pharmacy Services, Inc.+...... 408,256
2,400 U.S. Bioscience, Inc.+............ 27,300
----------
522,456
----------
ELECTRIC POWER -- 0.8%
3,900 Bangor HydroElectric Company...... 20,719
4,400 Central Vermont Public Service.... 58,300
3,300 CILCORP, Inc. .................... 137,981
5,900 Commonwealth Energy System
Companies....................... 159,300
3,900 Eastern Utilities Association..... 77,756
3,200 Green Mountain Power
Corporation..................... 60,400
5,000 TNP Enterprises, Inc. ............ 125,625
3,200 United Illuminating Company....... 116,600
----------
756,681
----------
ELECTRICAL EQUIPMENT -- 2.1%
3,300 Fluke Corporation................. 178,200
8,900 KEMET Corporation+................ 270,338
6,800 Kent Electronics Corporation+..... 268,600
5,400 Kulicke & Soffa Industries,
Inc.+........................... 250,088
12,700 Microchip Technology Inc.+........ 573,484
3,900 Pacific Scientific Co............. 64,350
5,200 Park Electrochemical
Corporation..................... 150,800
11,300 Rexel, Inc.+...................... 242,950
----------
1,998,810
----------
ELECTRONICS -- 3.4%
6,200 Bell Industries Inc.+............. 104,625
5,200 Benchmark Electronics, Inc.+...... 146,575
7,500 Checkpoint Systems, Inc.+......... 109,688
2,400 Cyrix Corporation+................ 80,400
5,900 Dallas Semiconductor
Corporation..................... 264,025
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE> 12
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRONICS -- (CONTINUED)
4,400 Dynatech Corporation+............. $ 180,675
3,300 Harmon Industries, Inc. .......... 87,450
1,500 InterVoice, Inc.+................. 15,188
8,100 Methode Electronics, Inc. ........ 208,575
3,900 Oak Industries, Inc.+............. 105,788
7,600 PictureTel Corporation+........... 78,850
9,300 Pioneer Standard Electronics...... 159,844
4,200 Sanmina Corporation+.............. 363,562
6,100 Tracor Inc.+...................... 187,575
1,700 Three Five Systems, Inc.+......... 37,400
1,400 Unitrode Corporation+............. 103,775
8,300 Vitesse Semiconductor
Corporation+.................... 411,369
15,500 VLSI Technology, Inc.+............ 537,656
----------
3,183,020
----------
ENERGY -- 1.7%
7,500 Barrett Resources Corporation+.... 292,031
4,700 Box Energy Corporation, Class B,
(non-voting)+................... 37,600
8,700 Camco International Inc. ......... 606,825
9,600 Dames & Moore Inc. ............... 126,000
12,200 Tuboscope Vetco International
Corporation+.................... 382,775
7,700 Wiser Oil Company................. 131,862
----------
1,577,093
----------
ENVIRONMENTAL -- 0.4%
3,900 Clarcor Inc. ..................... 111,637
1,500 IMCO Recycling, Inc. ............. 28,219
3,900 Ionics, Inc.+..................... 172,819
1,900 TETRA Technologies, Inc.+......... 43,938
----------
356,613
----------
FINANCIAL SERVICES -- 8.0%
8,700 AMRESCO Inc.+..................... 322,987
7,200 Astoria Financial Corporation..... 362,250
5,400 Centura Banks Inc. ............... 297,338
11,500 Charter One Financial, Inc. ...... 679,938
5,800 CMAC Investment Corporation....... 311,025
7,000 Commercial Federal Corporation.... 329,875
7,300 Eaton Vance Corporation (non-voting) 260,975
5,600 Enhance Financial Services
Group........................... 306,600
8,300 First Commercial Corporation...... 398,400
6,120 First Michigan Bank Corporation... 253,215
4,400 Gallagher (Arthur J.) & Company... 163,900
3,000 Interra Financial, Inc. .......... 180,188
2,400 JSB Financial Inc. ............... 117,450
12,300 Keystone Financial Inc. .......... 464,325
6,933 Legg Mason Inc. .................. 365,733
4,600 Mutual Risk Management............ 233,738
9,000 National Auto Credit Inc.+........ 72,562
5,600 North American Mortgage Company... 161,000
4,900 Onbancorp Inc. ................... 280,525
3,900 Piper Jaffray Companies Inc. ..... 119,194
5,800 Quick & Reilly Group, Inc. ....... 217,138
7,600 Raymond James Financial Inc. ..... 273,600
7,600 Riggs National Corporation........ 179,075
3,200 SEI Investment Company............ 105,600
11,700 St. Paul Bancorp Inc. ............ 292,500
10,100 TCF Financial Corporation......... 590,219
4,400 Whitney Holding Corporation....... 207,900
----------
7,547,250
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
FOOD PRODUCERS -- 0.9%
19,100 Chiquita Brands International
Inc. ........................... $ 307,988
8,200 DEKALB Genetics Corporation, Class
B............................... 363,875
11,500 J&J Snack Foods Corporation+...... 186,875
----------
858,738
----------
FOOD RETAILERS -- 1.0%
9,100 Earthgrains Company............... 391,300
8,300 Nash Finch Corporation............ 197,125
5,900 Rykoff-Sexton, Inc. .............. 152,662
4,800 Whole Foods Market, Inc.+......... 185,400
----------
926,487
----------
FURNITURE AND APPLIANCES -- 0.8%
3,300 Bassett Furniture................. 94,050
10,400 Ethan Allen Interiors Inc. ....... 322,400
8,600 Interface Inc. ................... 250,475
4,400 Juno Lighting Inc. ............... 75,350
1,500 Rival Company..................... 24,000
----------
766,275
----------
GAS AND ELECTRIC -- 0.5%
5,600 Central Hudson Gas & Electric..... 200,550
3,800 Interstate Power Company.......... 120,175
5,300 Orange and Rockland Utilities,
Inc. ........................... 197,756
----------
518,481
----------
HEALTH CARE SERVICES -- 1.5%
5,400 Ballard Medical Products.......... 130,275
5,200 Coherent, Inc.+................... 287,950
3,300 Envoy Corporation+................ 94,256
8,100 GranCare Inc.+.................... 95,681
19,300 Omnicare, Inc. ................... 627,250
10,300 Rotech Medical Corporation........ 198,275
----------
1,433,687
----------
INSURANCE -- 4.5%
6,800 ALLIED Group Inc. ................ 345,525
12,800 American Bankers Insurance Group
Inc. ........................... 467,200
5,200 Capital Re Corporation............ 317,200
2,400 Executive Risk Inc. .............. 164,100
3,400 Hilb, Rogal and Hamilton
Company......................... 62,475
8,100 Fidelity National Financial
Inc. ........................... 191,869
4,700 First American Financial
Corporation..................... 282,000
8,900 Fremont General Corporation....... 424,975
7,300 Frontier Insurance Group Inc. .... 277,400
4,400 Life Re Corporation............... 232,100
9,400 Orion Capital Corporation......... 425,938
7,600 Protective Life Corporation....... 383,800
5,200 Selective Insurance Group......... 267,800
4,000 Sierra Health Services+........... 146,500
3,000 Trenwick Group Inc. .............. 113,250
5,300 Washington National Corporation... 171,919
----------
4,274,051
----------
IRON/STEEL -- 0.2%
7,400 Birmingham Steel Corporation...... 128,112
5,200 Northwestern Steel & Wire Company+ 17,875
----------
145,987
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE> 13
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
MACHINERY AND EQUIPMENT -- 1.9%
12,600 Astec Industries.................. $ 212,625
5,600 Baldor Electric Company........... 170,450
4,600 Blount International Corporation,
Class A......................... 232,012
3,200 Flow International Corporation+... 34,800
7,600 Global Industrial Technologies
Inc.+........................... 157,225
4,700 Kuhlman Corporation............... 169,200
3,300 Lindsay Manufacturing Company..... 141,075
4,900 Manitowoc Inc. ................... 174,869
8,750 Paxar Corporation+................ 172,266
5,200 Regal Beloit...................... 159,900
5,100 Robbins & Meyers, Inc. ........... 196,350
----------
1,820,772
----------
MANUFACTURING -- 1.5%
4,300 Belden Inc. ...................... 162,056
4,900 Cognex Corporation+............... 161,088
13,200 Dixie Group Inc.+................. 178,200
7,400 Griffon Corporation+.............. 120,250
5,200 Insteel Industries, Inc. ......... 41,275
3,700 Innovex, Inc. .................... 119,325
3,400 Integrated Circuit Systems,
Inc.+........................... 125,800
3,600 Mycogen Corporation+.............. 84,600
10,000 Network General Corporation+...... 193,750
7,300 O'Sullivan Corporation+........... 78,475
2,800 Trimble Navigation Limited Designs+ 54,950
5,000 Vicor Corporation+................ 145,000
----------
1,464,769
----------
MEDICAL PRODUCTS AND SUPPLIES -- 1.6%
5,300 IDEXX Laboratories Inc.+.......... 88,775
3,300 Mentor Corporation (Minnesota).... 104,775
7,500 Owens & Minor Inc. (New).......... 106,875
5,300 Patterson Dental Company+......... 214,650
4,600 Respironics, Inc.+................ 126,500
3,100 Safeskin Corporation+............. 137,562
5,300 Sola International, Inc.+......... 181,856
1,500 SpaceLabs Medical, Inc.+.......... 32,812
7,400 STERIS Corporation+............... 304,325
7,200 Summit Technology Incorporated.... 53,100
3,200 Sunrise Medical, Inc.+............ 50,000
4,700 Tecnol Medical Products, Inc.+.... 94,588
3,200 Vital Signs, Inc. ................ 57,600
300 Zoll Medical Corporation+......... 2,100
----------
1,555,518
----------
MEDICAL SERVICES -- 3.5%
4,400 ADAC laboratories Designs......... 82,225
7,900 Cerner Corporation................ 189,106
3,900 Express Scripts, Inc., Class A+... 210,112
8,600 Genesis Health Ventures+.......... 334,862
9,900 Integrated Health Services
Inc. ........................... 331,031
5,900 Invacare Corporation.............. 138,650
7,700 Lincare Holdings Inc.+............ 388,369
5,700 Living Centers of America,
Inc.+........................... 232,275
7,100 Magellan Health Services Inc.+.... 225,425
7,000 Mariner Health Group, Inc.+....... 110,250
11,100 PhyCor Inc.+...................... 322,594
4,300 Protein Design Labs, Inc.+........ 166,625
3,600 Renal Treatment Centers, Inc.+.... 128,025
9,600 Universal Health Services, Inc.,
Class B+........................ 415,200
----------
3,274,749
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
METALS AND MINING -- 0.6%
8,600 AMCOL International Corporation... $ 178,450
3,200 Castle (A.M.) & Company........... 83,200
6,400 Commonwealth Industries Inc. ..... 123,200
3,300 Handy & Harman.................... 75,488
3,900 Materials Sciences Corporation+... 55,575
5,200 Steel Technologies Inc. .......... 64,675
----------
580,588
----------
METAL PROCESSORS & FABRICATES -- 0.8%
6,400 Amcast Industrial Corporation..... 156,800
5,600 Mueller Industries, Inc.+......... 254,450
5,900 Quanex Corporation................ 206,869
5,200 Wolverine Tube, Inc.+............. 163,150
----------
781,269
----------
OIL AND GAS -- 1.6%
6,800 Cabot Oil & Gas Corporation....... 156,825
8,300 Cross Timbers Oil Company......... 202,312
9,900 Devon Energy Corporation.......... 435,600
2,700 St. Mary Land & Exploration....... 122,512
6,500 United Meridian Corporation+...... 238,875
8,100 Vintage Petroleum Inc. ........... 398,925
----------
1,555,049
----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 0.8%
4,300 New Jersey Resources
Corporation..................... 139,212
10,300 Pool Energy Services Company+..... 348,912
2,700 Seitel, Inc.+..................... 119,812
4,400 Wicor, Inc. ...................... 190,025
----------
797,961
----------
OIL AND GAS -- EXPLORATION -- 2.1%
5,900 Benton Oil & Gas Company+......... 110,256
6,100 Energen Corporation............... 216,931
7,600 HS Resources, Inc.+............... 131,100
4,500 KCS Energy Inc. .................. 132,750
11,400 Monterey Resources, Inc. ......... 239,400
7,600 Northwest Natural Gas Company..... 195,700
2,829 Pioneer Natural Resources
Company......................... 118,464
7,600 Plains Resources, Inc.+........... 136,800
3,900 Pogo Producing Company............ 170,381
20,000 Santa Fe Energy Resources,
Inc.+........................... 250,000
7,600 Snyder Oil Corporation............ 172,425
8,200 Southwestern Energy Company....... 105,062
----------
1,979,269
----------
OIL AND GAS -- EXTRACTION -- 0.9%
9,300 New Field Exploration Company+.... 260,981
8,100 Oceaneering International,
Inc.+........................... 192,881
11,300 Pride International, Inc.+........ 384,200
----------
838,062
----------
PAPER AND FOREST PRODUCTS -- 1.1%
4,600 Buckeye Cellulose Corporation+.... 185,438
5,800 Caraustar Industries, Inc. ....... 198,650
6,400 Mosinee Paper Corporation......... 216,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE> 14
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PAPER AND FOREST PRODUCTS -- (CONTINUED)
8,900 Pope & Talbot Inc. ............... $ 188,569
6,100 Schweitzer-Maudit International, Inc. 259,250
----------
1,048,707
----------
PHARMACEUTICALS -- 0.5%
5,200 ALPHARMA Inc., Class A............ 116,350
1,500 Cor Therapeutics, Inc.+........... 24,938
5,200 Regeneron Pharmaceuticals,
Inc.+........................... 58,175
6,300 Syncor International
Corporation+.................... 91,744
5,800 Vertex Pharmaceuticals, Inc.+..... 218,950
----------
510,157
----------
POLLUTION CONTROL -- 0.1%
7,200 OHM Corporation+.................. 54,000
----------
PRINTING AND PUBLISHING -- 1.3%
8,600 Bowne & Co., Inc. ................ 302,075
5,000 Merrill Corporation............... 230,000
5,500 Thomas Nelson Publisher........... 76,312
12,800 Valassis Communications, Inc.+.... 408,000
8,300 World Color Press, Inc.+.......... 250,556
----------
1,266,943
----------
PRODUCER GOODS -- 1.0%
3,300 Dionex Corporation+............... 177,994
4,400 Fisher Scientific International... 206,525
3,900 Lydall, Inc.+..................... 91,406
7,500 Smith Corporation................. 297,188
5,600 Zebra Technologies Corporation,
Class A......................... 200,200
----------
973,313
----------
PROFESSIONAL SERVICES -- 1.2%
4,800 CDI Corporation+.................. 181,200
5,200 Norrell Corporation............... 178,750
11,100 Offshore Logistics, Inc.+......... 199,800
5,900 DeVRY, Inc.+...................... 176,262
5,500 Franklin Convey Company+.......... 153,656
5,300 National Data Corporation......... 217,300
----------
1,106,968
----------
RECREATION -- 1.8%
7,700 Arctic Cat Inc. .................. 88,550
7,000 Aztar Corporation+................ 51,625
6,300 Bell Sports Corporation+.......... 68,512
4,800 Carmike Cinemas, Inc., Class A+... 144,000
3,200 GC Companies+..................... 137,600
8,900 Grand Casinos, Inc.+.............. 136,281
800 Global Motorsport Group Inc.+..... 12,800
9,000 Hollywood Park, Inc.+............. 170,438
7,600 Huffy Corporation................. 125,400
4,200 K2 Inc. .......................... 105,525
5,200 Players International Inc.+....... 23,075
8,700 Regal Cinemas Inc.+............... 233,812
3,300 Showboat, Inc. ................... 67,238
4,700 Thor Industries, Inc. ............ 143,938
5,400 Winnebago Industries.............. 44,212
5,300 WMS Industries, Inc.+............. 159,994
----------
1,713,000
----------
RESTAURANTS AND LODGING -- 2.7%
7,600 Applebee's International, Inc. ... 190,000
9,600 CKE Restaurants Inc. ............. 403,200
12,200 Foodmaker, Inc.+.................. 229,512
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
RESTAURANTS AND LODGING -- (CONTINUED)
4,900 IHOP Corporation+................. $ 175,175
6,100 Landry's Seafood Restaurants,
Inc.+........................... 179,188
5,600 Luby's Cafeterias Inc. ........... 116,550
6,200 Marcus Corporation................ 180,575
14,200 Prime Hospitality Corporation+.... 320,388
8,200 Ruby Tuesday Inc. ................ 209,100
17,800 Ryan's Family Steak Houses,
Inc.+........................... 163,538
8,300 ShowBiz Pizza Time, Inc.+......... 190,900
3,300 Sonic Corporation+................ 92,400
4,700 Taco Cabana, Class A+............. 25,850
12,600 TCBY Enterprises, Inc. ........... 88,200
----------
2,564,576
----------
RETAIL -- DISCOUNT -- 1.0%
7,500 Filene's Basement Corporation+.... 62,344
14,700 Ross Stores, Inc. ................ 501,638
13,300 Shopko Stores, Inc. .............. 345,800
----------
909,782
----------
RETAIL -- GENERAL -- 1.9%
9,500 Arbor Drugs Inc. ................. 220,875
7,500 Carson Pirie Scott & Company+..... 295,781
14,800 Cash America International
Inc. ........................... 166,500
8,600 Damark International, Inc., Class
A+.............................. 120,938
5,670 Fred Meyer, Inc. +................ 301,928
7,700 MicroAge Inc.+.................... 223,300
7,500 Proffitt's, Inc.+................. 444,375
----------
1,773,697
----------
RETAIL -- SPECIALTY -- 2.7%
10,400 Cato Corporation, Class A......... 94,900
5,300 Designs, Inc.+.................... 25,175
5,300 Discount Auto Parts, Inc.+........ 127,200
12,000 Dress Barn, Inc.+................. 288,000
5,900 Eagle Hardware & Garden, Inc.+.... 116,156
8,200 Fabri-Centers of America, Class
A+.............................. 189,625
2,800 Galoob Toys, Inc.+................ 41,300
3,900 Jumbosports, Inc.+................ 13,650
2,400 Lillian Vernon Corporation........ 40,650
3,200 Mail Boxes Etc.+.................. 91,200
5,000 Men's Warehouse Inc., The,+....... 186,250
5,700 Michaels Stores, Inc.+............ 174,206
4,800 O'Reilly Automotive+.............. 109,200
16,200 Pier 1 Imports, Inc. ............. 290,588
5,200 Stein Mart, Inc.+................. 170,300
9,300 The Sports Authority, Inc.+....... 173,212
3,100 Toro Company...................... 122,838
6,200 Williams-Sonoma, Inc.+............ 265,050
----------
2,519,500
----------
SAVINGS AND LOANS -- 0.9%
6,200 Coast Savings Financial Inc.+..... 325,112
8,900 Downey Financial Corporation...... 216,938
15,700 Sovereign Bancorp Inc. ........... 274,750
----------
816,800
----------
SEMICONDUCTORS -- 2.2%
3,700 Etec Systems, Inc.+............... 210,900
9,500 International Rectifier
Corporation+.................... 222,062
5,400 Lattice Semiconductor
Corporation+.................... 351,675
4,400 Novellus Systems, Inc.+........... 554,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE> 15
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
SEMICONDUCTORS -- (CONTINUED)
2,700 Photronics, Inc.+................. $ 163,519
10,400 Plexus Corporation+............... 365,300
3,300 Watkins-Johnson Company........... 110,550
3,600 Zilog Inc.+....................... 78,525
----------
2,056,931
----------
TECHNOLOGY -- 1.7%
3,400 Advanced Tissue Sciences, Inc.+... 52,912
3,300 Amtech Corporation+............... 15,262
4,100 Digital Microwave Corporation+.... 183,475
12,600 Komag Inc.+....................... 256,725
4,400 Marshall Industries+.............. 170,500
3,400 Macdermid Inc. ................... 296,225
3,000 Progress Software Inc.+........... 67,125
11,100 S3 Incorporated+.................. 130,425
8,600 Sterling Software Inc.+........... 308,525
3,900 Telxon Corporation................ 95,550
4,700 Valence Technology, Inc.+......... 38,775
----------
1,615,499
----------
TELECOMMUNICATIONS -- 1.1%
5,700 Allen Group, Inc.+................ 162,450
7,000 Aspect Telecommunications+........ 163,625
5,400 Boston Technology Inc.+........... 182,925
12,700 Tel-Save Holdings, Inc.+.......... 305,594
1,500 Centigram Communications
Corporation+.................... 26,625
3,300 CommNet Cellular, Inc.+........... 115,706
6,100 Network Equipment Technologies,
Inc.+........................... 106,369
----------
1,063,294
----------
TOBACCO -- 0.3%
10,800 DiMon Inc. ....................... 270,000
----------
TRANSPORTATION -- AIRLINES -- 1.2%
7,900 Air Express International Corporation 288,350
7,000 American Freightways Inc.+........ 133,000
10,000 Comair Holdings, Inc. ............ 268,750
5,700 Expeditors International of
Washington, Inc. ............... 238,688
5,600 Pittston Burlington Group......... 158,900
2,400 Skywest Inc. ..................... 47,400
----------
1,135,088
----------
TRANSPORTATION -- MARINE -- 0.2%
7,600 Kirby Corporation+................ 145,825
----------
TRANSPORTATION -- RAILROADS -- 0.3%
1,500 Railtex, Inc.+.................... 25,500
8,700 U.S. Freightways Corporation...... 292,538
----------
318,038
----------
TRUCKING AND SHIPPING -- 1.8%
14,600 Arkansas Best Corporation+........ 165,162
3,300 Frozen Foods Express Industries... 30,938
7,400 Heartland Express Inc.+........... 204,425
3,100 Landstar System Inc.+............. 82,925
5,000 M.S. Carriers, Inc.+.............. 133,125
15,900 Rollins Truck Leasing
Corporation..................... 271,294
4,600 Wabash National Corporation....... 133,112
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
TRUCKING AND SHIPPING -- (CONTINUED)
12,200 Werner Enterprises Inc. .......... $ 295,850
11,600 Yellow Corporation+............... 377,725
----------
1,694,556
----------
UTILITIES -- NATURAL GAS -- 1.4%
6,100 Atmos Energy Corporation.......... 151,738
2,600 Cascade Natural Gas Corporation... 43,550
3,300 Connecticut Energy Corporation.... 81,469
7,600 KN Energy, Inc. .................. 347,700
1,000 Pennsylvania Enterprises, Inc. ... 30,500
9,100 Piedmont Natural Gas Company, Inc. 265,038
5,200 Public Service Company of North
Carolina, Inc. ................. 104,325
5,800 Southwest Gas Corporation......... 113,825
6,800 Valmont Industries Inc. .......... 144,925
----------
1,283,070
----------
UTILITIES -- WATER -- 0.4%
3,200 Aquarion Company.................. 88,800
1,500 Consumers Water Company........... 27,000
3,900 Philadelphia Suburban
Corporation..................... 84,338
3,200 Southern California Water
Company......................... 71,600
8,300 United Water Resources, Inc. ..... 154,588
----------
426,326
----------
WIRE AND CABLE PRODUCTS -- 0.2%
13,400 Anixter International Inc.+....... 230,312
----------
TOTAL COMMON STOCKS
(Cost $72,600,331).............. 90,716,927
==========
RIGHT -- 0.0%#
(Cost $0)
1 Alpharma Inc., Expires
11/25/97+....................... 4
==========
TOTAL SECURITIES
(Cost $72,600,331).............. 90,716,931
==========
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
=========
<C> <S> <C>
REPURCHASE AGREEMENT -- 2.8%
(Cost $2,663,000)
$2,663,000 Agreement with Smith Barney 5.480%
date 09/30/97, to be repurchased
at $2,663,405 on 10/01/97,
collateralized by: $1,133,968 U.S.
Treasury Note, 7.375% due
11/15/97; $309,359 U.S. Treasury
Bond, 11.250% due 02/15/15;
$797,151 Resolution Funding Corp.
Strips Principal Only, due
04/15/05; $571,692 GNMA, 6.000%
05/20/27.......................... 2,663,000
==========
TOTAL INVESTMENTS
(Cost $75,263,331*)................... 98.4% 93,379,931
OTHER ASSETS AND LIABILITIES (NET)...... 1.6 1,527,306
----- ------------
NET ASSETS.............................. 100.0% $ 94,907,237
===== ===========
</TABLE>
- ---------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
# Amount represents less than 0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE> 16
NATIONS FUNDS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 1997 (UNAUDITED)
- ---------------------------------------------------------------------------------------------------------
NATIONS
NATIONS MANAGED
MANAGED SMALLCAP
INDEX INDEX
FUND FUND
===========================
<S> <C> <C>
ASSETS:
Investments, at value (Note 1), See accompanying schedules:
Securities............................................................... $106,255,968 $90,716,931
Repurchase agreements.................................................... 4,191,000 2,663,000
------------ -----------
Total investments..................................................... 110,446,968 93,379,931
------------ -----------
Short-term investments held as collateral for loaned securities (Note 8)... 126,170 2,797,971
Cash....................................................................... 16,368 516
Dividends receivable....................................................... 146,998 51,419
Interest receivable........................................................ 638 405
Receivable for Fund shares sold............................................ 126,662 1,449,385
Receivable for investment securities sold.................................. -- 9,655
Unamortized organization costs (Note 6).................................... 7,369 7,412
Prepaid expenses and other assets.......................................... 90,559 78,095
------------ -----------
Total Assets.......................................................... 110,961,732 97,774,789
------------ -----------
LIABILITIES:
Collateral on securities loaned (Note 8)................................... 126,170 2,797,971
Payable for Fund shares redeemed........................................... 498,335 52,065
Payable for investment securities purchased................................ 3,331,342 --
Administration fee payable (Note 2)........................................ 8,453 7,403
Shareholder servicing and distribution fees payable (Note 3)............... 6,457 1,728
Custodian fees payable (Note 2)............................................ 8,154 --
Accrued Trustees' fees and expenses (Note 2)............................... 1,540 1,077
Accrued expenses and other payables........................................ 15,343 7,308
------------ -----------
Total Liabilities..................................................... 3,995,794 2,867,552
------------ -----------
NET ASSETS................................................................. $106,965,938 $94,907,237
============ ===========
Investments, at cost....................................................... $ 90,690,627 $75,263,331
============ ===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE> 17
NATIONS FUNDS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) SEPTEMBER 30,1997 (UNAUDITED)
- ---------------------------------------------------------------------------------------------------------
NATIONS
NATIONS MANAGED
MANAGED SMALLCAP
INDEX INDEX
FUND FUND
===========================
<S> <C> <C>
NET ASSETS CONSIST OF:
Undistributed net investment income........................................ $ 34,451 $ 16,813
Accumulated net realized gain/(loss) on investments and futures
contracts................................................................ (799,699) 1,193,434
Net unrealized appreciation of investments................................. 19,756,341 18,116,600
Paid-in capital............................................................ 87,974,845 75,580,390
------------ -----------
$106,965,938 $94,907,237
============ ===========
NET ASSETS:
Primary A Shares........................................................... $ 94,532,468 $85,979,299
============ ===========
Primary B Shares........................................................... $ 2,386 $ 287,336
============ ===========
Investor A Shares.......................................................... $ 10,630,652 $ 8,436,178
============ ===========
Investor C Shares.......................................................... $ 1,800,432 $ 204,424
============ ===========
SHARES OUTSTANDING:
Primary A Shares........................................................... 6,380,860 6,481,006
============ ===========
Primary B Shares........................................................... 161 21,661
============ ===========
Investor A Shares.......................................................... 717,558 636,394
============ ===========
Investor C Shares.......................................................... 121,527 15,410
============ ===========
PRIMARY A SHARES:
Net asset value, offering and redemption price per share................... $ 14.82 $ 13.27
============ ===========
PRIMARY B SHARES:
Net asset value, offering and redemption price per share................... $ 14.82 $ 13.27
============ ===========
INVESTOR A SHARES:
Net asset value, offering and redemption price per share................... $ 14.82 $ 13.26
============ ===========
INVESTOR C SHARES:
Net asset value and offering price per share*.............................. $ 14.82 $ 13.27
============ ===========
</TABLE>
- ---------------
* Redemption price per share is equal to Net Asset Value less any applicable
contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE> 18
NATIONS FUNDS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- ---------------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997 (UNAUDITED)
NATIONS
NATIONS MANAGED
MANAGED SMALLCAP
INDEX INDEX
FUND FUND
============================
<S> <C> <C>
INVESTMENT INCOME:
Dividends (Net of foreign withholding taxes of $124 and $18,
respectively)............................................................ $ 706,138 $ 327,977
Interest................................................................... 78,083 55,746
Security lending........................................................... 158 2,565
------------ ------------
Total investment income.................................................. 784,379 386,288
------------ ------------
EXPENSES:
Investment advisory fee (Note 2)........................................... 201,065 175,362
Administration fee (Note 2)................................................ 40,213 35,072
Transfer agent fees (Note 2)............................................... 16,574 11,738
Custodian fees (Note 2).................................................... 25,234 42,886
Legal and audit fees....................................................... 9,282 9,003
Registration and filing fees............................................... 48,746 21,208
Trustees' fees and expenses (Note 2)....................................... 829 674
Amortization of organization costs (Note 6)................................ 920 926
Interest expense (Note 7).................................................. 827 118
Other...................................................................... 2,951 2,517
------------ ------------
Subtotal.............................................................. 346,641 299,504
Shareholder servicing and distribution fees (Note 3):
Primary B Shares......................................................... 1 506
Investor A Shares........................................................ 8,272 5,109
Investor C Shares........................................................ 3,822 229
Fees waived and expenses reimbursed by investment adviser (Note 2)......... (144,913) (124,185)
------------ ------------
Total expenses........................................................ 213,823 181,163
------------ ------------
Fees reduced by credits allowed by the custodian (Note 2).................. -- (144)
------------ ------------
Net expenses............................................................. 213,823 181,019
------------ ------------
NET INVESTMENT INCOME...................................................... 570,556 205,269
------------ ------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS (NOTES 1 AND 4):
Net realized gain/(loss) from:
Security transactions.................................................... (840,458) 1,223,585
Futures contracts........................................................ 49,125 --
------------ ------------
Net realized gain/(loss) on investments during the period.................. (791,333) 1,223,585
------------ ------------
Change in unrealized appreciation of investments during the period......... 16,875,693 20,074,879
------------ ------------
Net realized and unrealized gain on investments............................ 16,084,360 21,298,464
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................... $16,654,916 $21,503,733
============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE> 19
NATIONS FUNDS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997 (UNAUDITED)
NATIONS
NATIONS MANAGED
MANAGED SMALLCAP
INDEX INDEX
FUND FUND
===========================
<S> <C> <C>
Net investment income...................................................... $ 570,556 $ 205,269
Net realized gain/(loss) on investments.................................... (791,333) 1,223,585
Change in unrealized appreciation of investments........................... 16,875,693 20,074,879
------------ -----------
Net increase in net assets resulting from operations....................... 16,654,916 21,503,733
Distributions to shareholders from net investment income:
Primary A Shares......................................................... (549,333) (190,274)
Primary B Shares......................................................... (2) (228)
Investor A Shares........................................................ (39,960) (8,527)
Investor C Shares........................................................ (6,554) (106)
Distributions to shareholders from net realized gain on investments:
Primary A Shares......................................................... (602,933) (236,472)
Primary B Shares......................................................... -- (537)
Investor A Shares........................................................ (48,138) (14,610)
Investor C Shares........................................................ (17,699) (112)
Net increase in net assets from Fund share transactions:
Primary A Shares......................................................... 38,598,861 25,418,865
Primary B Shares......................................................... 2,337 140,541
Investor A Shares........................................................ 6,261,601 6,847,144
Investor C Shares........................................................ 1,365,262 157,957
------------ -----------
Net increase in net assets................................................. 61,618,358 53,617,374
NET ASSETS:
Beginning of period........................................................ 45,347,580 41,289,863
------------ -----------
End of period.............................................................. $106,965,938 $94,907,237
============ ===========
Undistributed net investment income at end of period....................... $ 34,451 $ 16,813
============ ===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE> 20
NATIONS FUNDS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED MARCH 31, 1997
NATIONS
NATIONS MANAGED
MANAGED SMALLCAP
INDEX INDEX
FUND(a) FUND(b)
--------------------------
<S> <C> <C>
Net investment income....................................................... $ 376,759 $ 94,642
Net realized gain on investments............................................ 660,407 221,580
Change in unrealized appreciation/(depreciation) of investments............. 2,880,648 (1,958,279)
----------- -----------
Net increase/(decrease) in net assets resulting from operations............. 3,917,814 (1,642,057)
Distributions to shareholders from net investment income:
Primary A Shares.......................................................... (346,136) (94,006)
Primary B Shares.......................................................... -- (117)
Investor A Shares......................................................... (14,348) (505)
Investor C Shares......................................................... (235) (14)
Distributions to shareholders in excess of net investment income:
Primary A Shares.......................................................... -- (986)
Primary B Shares.......................................................... -- (3)
Investor A Shares......................................................... -- (6)
Investor C Shares......................................................... -- --
Distributions to shareholders from net realized gain on investments:
Primary A Shares.......................................................... -- (599)
Primary B Shares.......................................................... -- (2)
Investor A Shares......................................................... -- (3)
Investor C Shares......................................................... -- --
Net increase in net assets from Fund share transactions:
Primary A Shares.......................................................... 38,677,375 42,567,497
Primary B Shares.......................................................... -- 91,010
Investor A Shares......................................................... 3,027,866 349,649
Investor C Shares......................................................... 85,234 19,995
----------- -----------
Net increase in net assets.................................................. 45,347,570 41,289,853
NET ASSETS:
Beginning of year........................................................... 10 10
----------- -----------
End of year................................................................. $45,347,580 $41,289,863
=========== ===========
Undistributed net investment income at end of year.......................... $ 59,744 $ 10,679
=========== ===========
</TABLE>
- ---------------
(a) The Nations Managed Index Fund commenced operations on July 31, 1996.
(b) The Nations Managed SmallCap Index Fund commenced operations on October 15,
1996.
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE> 21
NATIONS FUNDS
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
SCHEDULE OF CAPITAL STOCK ACTIVITY
- --------------------------------------------------------------------------------------------
NATIONS MANAGED INDEX FUND
SIX MONTHS ENDED
SEPTEMBER 30, 1997 PERIOD ENDED
(UNAUDITED) MARCH 31, 1997(a)
------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
=======================================================
<S> <C> <C> <C> <C>
PRIMARY A SHARES:
Sold............................. 3,246,066 $44,378,427 3,689,780 $40,404,536
Issued as reinvestment of
dividends...................... 60,579 819,535 26,353 308,705
Redeemed......................... (476,797) (6,599,101) (165,121) (2,035,866)
--------- ----------- --------- -----------
Net increase..................... 2,829,848 $38,598,861 3,551,012 $38,677,375
========= =========== ========= ===========
PRIMARY B SHARES:
Sold............................. 161 $ 2,337
Issued as reinvestment of
dividends...................... -- --
Redeemed......................... -- --
--------- -----------
Net increase..................... 161 $ 2,337
========= ===========
INVESTOR A SHARES:
Sold............................. 567,323 $ 7,775,332 262,757 $ 3,116,171
Issued as reinvestment of
dividends...................... 5,811 78,462 1,165 14,151
Redeemed......................... (110,982) (1,592,193) (8,516) (102,456)
--------- ----------- --------- -----------
Net increase..................... 462,152 $ 6,261,601 255,406 $ 3,027,866
========= =========== ========= ===========
INVESTOR C SHARES:
Sold............................. 138,765 $ 1,696,474 7,424 $ 90,744
Issued as reinvestment of
dividends...................... 1,826 24,127 33 392
Redeemed......................... (26,051) (355,339) (470) (5,902)
--------- ----------- --------- -----------
Net increase..................... 114,540 $ 1,365,262 6,987 $ 85,234
========= =========== ========= ===========
<CAPTION>
NATIONS MANAGED SMALLCAP INDEX FUND
SIX MONTHS ENDED
SEPTEMBER 30, 1997 PERIOD ENDED
(UNAUDITED) MARCH 31, 1997(b)
----------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
===========================================================
<S> <C> <C> <C> <C>
PRIMARY A SHARES:
Sold............................. 3,663,101 $ 40,932,010 4,852,113 $49,652,580
Issued as reinvestment of
dividends...................... 16,654 183,556 2,903 28,920
Redeemed......................... (1,355,518) (15,696,701) (698,247) (7,114,003)
---------- ------------ --------- -----------
Net increase..................... 2,324,237 $ 25,418,865 4,156,769 $42,567,497
========== ============ ========= ===========
PRIMARY B SHARES:
Sold............................. 12,864 $ 140,443 8,788 $ 91,010
Issued as reinvestment of
dividends...................... 9 98 -- --
Redeemed......................... -- -- -- --
---------- ------------ --------- -----------
Net increase..................... 12,873 $ 140,541 8,788 $ 91,010
========== ============ ========= ===========
INVESTOR A SHARES:
Sold............................. 769,992 $ 8,885,964 34,925 $ 359,548
Issued as reinvestment of
dividends...................... 2,109 23,023 51 513
Redeemed......................... (169,676) (2,061,843) (1,007) (10,412)
---------- ------------ --------- -----------
Net increase..................... 602,425 $ 6,847,144 33,969 $ 349,649
========== ============ ========= ===========
INVESTOR C SHARES:
Sold............................. 14,154 $ 166,551 1,917 $ 19,980
Issued as reinvestment of
dividends...................... 10 112 2 15
Redeemed......................... (673) (8,706) -- --
---------- ------------ --------- -----------
Net increase..................... 13,491 $ 157,957 1,919 $ 19,995
========== ============ ========= ===========
</TABLE>
- ---------------
(a) Nations Managed Index Fund commenced operations on July 31, 1996.
(b) Nations Managed SmallCap Index Fund commenced operations on October 15,
1996.
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE> 22
NATIONS FUNDS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
NET ASSET NET REALIZED
VALUE NET AND UNREALIZED NET INCREASE IN
BEGINNING OF INVESTMENT GAIN ON NET ASSET VALUE
PERIOD INCOME INVESTMENTS FROM OPERATIONS
============================================================
<S> <C> <C> <C> <C>
NATIONS MANAGED INDEX FUND
PRIMARY A
Six months ended 09/30/1997#
(unaudited)...................... $11.89 $ 0.10 $ 3.07 $ 3.17
Period ended 03/31/1997*........... 10.00 0.15 1.87 2.02
PRIMARY B
Period ended 09/30/1997**#
(unaudited)...................... $11.89 $ 0.07 $ 2.94 $ 3.01
INVESTOR A
Six months ended 09/30/1997#
(unaudited)...................... $11.89 $ 0.08 $ 3.08 $ 3.16
Period ended 03/31/1997*........... 10.00 0.12 1.89 2.01
INVESTOR C
Six months ended 09/30/1997#
(unaudited)...................... $11.90 $ 0.07 $ 3.05 $ 3.12
Period ended 03/31/1997*........... 10.00 0.11 1.90 2.01
<CAPTION>
DIVIDENDS DISTRIBUTIONS TOTAL NET ASSET
FROM NET FROM NET DIVIDENDS VALUE
INVESTMENT REALIZED AND END OF
INCOME CAPITAL GAINS DISTRIBUTIONS PERIOD
=======================================================
<S> <C> <C> <C> <C>
NATIONS MANAGED INDEX FUND
PRIMARY A
Six months ended 09/30/1997#
(unaudited)...................... $ (0.09) $ (0.15) $ (0.24) $ 14.82
Period ended 03/31/1997*........... (0.13) -- (0.13) 11.89
PRIMARY B
Period ended 09/30/1997**#
(unaudited)...................... $ (0.08) -- $ (0.08) $ 14.82
INVESTOR A
Six months ended 09/30/1997#
(unaudited)...................... $ (0.08) $ (0.15) $ (0.23) $ 14.82
Period ended 03/31/1997*........... (0.12) -- (0.12) 11.89
INVESTOR C
Six months ended 09/30/1997#
(unaudited)...................... $ (0.05) $ (0.15) $ (0.20) $ 14.82
Period ended 03/31/1997*........... (0.11) -- (0.11) 11.90
</TABLE>
- ---------------
* Nations Managed Index Fund's Primary A, Investor A and Investor C Shares
commenced operations on July 31, 1996.
** Please note that the performance shown for Primary B Shares includes the
performance for Primary A Shares from their date of inception (7/31/96)
through 9/4/97, plus the performance for Primary B Shares from 9/4/97
through 9/30/97. The expense structures for Primary A and Primary B Shares
are similar, except that Primary B Shares are subject to a shareholder
servicing fee of up to 60 basis points. This will result in a slight
variance in the performance of Primary A and Primary B Shares.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the period
since use of the undistributed income method did not accord with the results
of operations.
(a) Average commission rate paid per share of securities purchased and sold by
the Fund.
(b) The effect of the fees reduced by credits allowed by the Custodian on the
operating expense ratio, with and without waivers and/or expense
reimbursements and net investment income per share was less than 0.01% and
$0.01, respectively.
(c) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE> 23
NATIONS FUNDS
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------------
WITHOUT WAIVERS AND/OR
EXPENSE REIMBURSEMENTS
------------------------------
RATIO OF RATIO OF RATIO OF
NET ASSETS OPERATING NET INVESTMENT OPERATING
END OF EXPENSES TO INCOME PORTFOLIO EXPENSES TO NET INVESTMENT AVERAGE
TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE NET INCOME COMMISSION RATE
RETURN++ (IN 000'S) ASSETS NET ASSETS RATE ASSETS PER SHARE PAID(a)
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
26.90% $ 94,532 0.50%+(c) 1.45%+ 11% 0.86%+ $ 0.07 $0.0217
20.22 42,226 0.50 +(b) 1.92 + 17 1.05 +(b) 0.12(b) 0.0259
26.86% $ 2 1.00%+(c) 0.95%+ 11% 1.36%+ $ 0.04 $0.0217
26.78% $ 10,631 0.75%+(c) 1.20%+ 11% 1.11%+ $ 0.05 $0.0217
20.12 3,038 0.75 +(b) 1.67 + 17 1.30 +(b) 0.09(b) 0.0259
26.50% $ 1,800 1.00%+(c) 0.95%+ 11% 1.36%+ $ 0.04 $0.0217
20.11 83 1.00 +(b) 1.42 + 17 1.55 +(b) 0.08(b) 0.0259
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE> 24
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/
VALUE NET AND UNREALIZED (DECREASE) IN
BEGINNING OF INVESTMENT GAIN/(LOSS) NET ASSET VALUE
PERIOD INCOME ON INVESTMENTS FROM OPERATIONS
----------------------------------------------------------
<S> <C> <C> <C> <C>
NATIONS MANAGED SMALLCAP INDEX FUND
PRIMARY A
Six months ended 09/30/1997 (unaudited)...... $ 9.83 $ 0.03 $ 3.49 $ 3.52
Period ended 03/31/1997*..................... 10.00 0.03 (0.17) (0.14)
PRIMARY B
Six months ended 09/30/1997 (unaudited)...... $ 9.83 $ 0.01 $ 3.49 $ 3.50
Period ended 03/31/1997*..................... 10.00 0.02 (0.17) (0.15)
INVESTOR A
Six months ended 09/30/1997 (unaudited)...... $ 9.82 $ 0.02 $ 3.49 $ 3.51
Period ended 03/31/1997*..................... 10.00 0.03 (0.18) (0.15)
INVESTOR C
Six months ended 09/30/1997 (unaudited)...... $ 9.83 $ 0.01 $ 3.49 $ 3.50
Period ended 03/31/1997*..................... 10.00 0.03 (0.17) (0.14)
<CAPTION>
DISTRIBUTIONS
DIVIDENDS IN EXCESS OF DISTRIBUTIONS TOTAL
FROM NET NET FROM NET DIVIDENDS
INVESTMENT INVESTMENT REALIZED AND
INCOME INCOME CAPITAL GAINS DISTRIBUTIONS
----------------------------------------------------------
<S> <C> <C> <C> <C>
NATIONS MANAGED SMALLCAP INDEX FUND
PRIMARY A
Six months ended 09/30/1997 (unaudited)...... $ (0.03) -- $ (0.05) $ (0.08)
Period ended 03/31/1997*..................... (0.03) $ (0.00)(b) -- (0.03)
PRIMARY B
Six months ended 09/30/1997 (unaudited)...... $ (0.01) -- $ (0.05) $ (0.06)
Period ended 03/31/1997*..................... (0.02) $ (0.00)(b) -- (0.02)
INVESTOR A
Six months ended 09/30/1997 (unaudited)...... $ (0.02) -- $ (0.05) $ (0.07)
Period ended 03/31/1997*..................... (0.03) $ (0.00)(b) -- (0.03)
INVESTOR C
Six months ended 09/30/1997 (unaudited)...... $ (0.01) -- $ (0.05) $ (0.06)
Period ended 03/31/1997*..................... (0.03) $ (0.00)(b) -- (0.03)
</TABLE>
- ---------------
* Nations Managed SmallCap Index Fund's Primary A, Primary B, Investor A and
Investor C Shares commenced operations on October 15, 1996.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
(a) Average commission rate paid per share of securities purchased and sold by
the Fund.
(b) Amount represents less than $0.01 per share.
(c) The effect of interest expense on the operating expense ratio was less than
0.01%.
(d) The effect of the fees reduced by credits allowed by the Custodian on the
operating expense ratio, with and without waivers and/or expense
reimbursements and net investment income per share was less than 0.01% and
$0.01, respectively.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE> 25
NATIONS FUNDS
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------------
WITHOUT WAIVERS AND/OR
EXPENSE REIMBURSEMENTS
-----------------------------
RATIO OF RATIO OF NET RATIO OF
NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING
VALUE END OF EXPENSES TO INCOME PORTFOLIO EXPENSES TO NET INVESTMENT AVERAGE
END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE NET INCOME/(LOSS) COMMISSION RATE
PERIOD RETURN++ (IN 000'S) ASSETS NET ASSETS RATE ASSETS PER SHARE PAID(a)
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$13.27 35.98% $85,979 0.50%+(c)(d) 0.60%+ 18% 0.85%+(d) $ 0.01(d) $0.0249
9.83 (1.37) 40,851 0.50 + 1.05 + 18 1.21 + 0.01 0.0279
$13.27 35.77% $ 287 1.00%+(c)(d) 0.10%+ 18% 1.35%+(d) $(0.01)(d) $0.0249
9.83 (1.51) 86 1.00 + 0.55 + 18 1.71 + 0.00 (b) 0.0279
$13.26 35.91% $ 8,436 0.75%+(c)(d) 0.35%+ 18% 1.10%+(d) $ 0.00 (d) $0.0249
9.82 (1.52) 334 0.75 + 0.80 + 18 1.46 + 0.01 0.0279
$13.27 35.80% $ 204 1.00%+(c)(d) 0.10%+ 18% 1.35%+(d) $(0.01)(d) $0.0249
9.83 (1.46) 19 1.00 + 0.55 + 18 1.71 + 0.01 0.0279
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE> 26
NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Nations Fund Trust (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as an open-end investment company. As of
the date of this report, the Trust offers thirty-three separate portfolios.
Information presented in these financial statements pertains only to Nations
Managed Index Fund and Nations Managed SmallCap Index Fund (each, a "Fund" and
collectively, the "Funds"). The financial statements for the remaining funds of
the Trust are presented under separate cover. The Funds currently offer Primary
A Shares, Primary B Shares, Investor A Shares and Investor C Shares.
Shareholders of a Fund have equal voting rights on matters affecting all
shareholders of the Fund. In addition, each class of shares of a Fund has
exclusive voting rights on matters that relate solely to its class and separate
voting rights on matters in which the interests of one class of shares differ
from the interests of any other class.
1. SIGNIFICANT ACCOUNTING POLICIES.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of
significant accounting policies followed by the Funds in the preparation of
their financial statements.
Securities Valuation: The Funds' portfolio securities which are traded on a
recognized stock exchange are valued at the last sales price on the securities
exchange on which such securities are primarily traded or at the last sale price
on a national securities market. Securities traded only on over-the-counter
markets (but not including securities reported on the NASDAQ National Market
System) are valued on the basis of the closing over-the-counter bid prices or,
if no sale occurred on such day, at the mean of the current bid and asked
prices. Certain securities may be valued by one or more principal market makers.
Securities reported on the NASDAQ National Market System are valued at the last
sales price on the valuation date. Restricted securities, securities for which
market quotations are not readily available, and other assets are valued by the
investment adviser under the supervision of the Board of Trustees. Short-term
investments that mature in 60 days or less are valued at amortized cost.
Repurchase Agreements: Each Fund may engage in repurchase agreement
transactions, including joint repurchase agreement transactions in which the
company along with other registered investment companies advised by NationsBanc
Advisors, Inc. ("NBAI"), a wholly-owned subsidiary of NationsBank, N.A.
("NationsBank"), invest their aggregate cash balances in one or more large
repurchase agreements. Under the terms of a typical repurchase agreement, the
Fund takes possession of an underlying debt obligation subject to an obligation
of the seller to repurchase, and the Fund to resell, the obligation at an
agreed-upon price and time, thereby determining the yield during the Fund's
holding period. This arrangement results in a fixed rate of return that is not
subject to market fluctuations during the Fund's holding period. The value of
the collateral is at least equal at all times to the total amount of the
repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred. There would be a potential loss to the Fund in the event the
Fund is delayed or prevented from exercising its right to dispose of the
collateral securities, including the risk of a possible decline in the value of
the underlying securities during the period while the Fund seeks to assert its
right. Unless expressly permitted by the Securities and Exchange Commission, the
Fund will not enter into repurchase agreements with the investment adviser,
distributor or any of their affiliates. The Funds' investment adviser, acting
under the supervision of the Board of Trustees, monitors the value of collateral
received as well as the creditworthiness of those banks and dealers with which
the Funds enter into repurchase agreements to evaluate potential risks.
Futures Contracts: The Funds may invest in futures contracts for the purpose of
hedging against changes in values of the Fund's securities or changes in the
prevailing levels of interest rates or currency exchange rates or for gaining
exposure to the equity market. Upon entering into a futures contract, the Fund
is required to deposit with the broker an amount of cash or cash equivalents
equal to a certain percentage of the contract amount. This is known as the
"initial margin." Subsequent payments ("variation margin") are made or received
by the Fund each day, depending on the daily fluctuation of the value of the
contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking-to-market" on
a daily basis to reflect the market value of the contract at the end of each
day. The Fund recognizes a realized gain or loss, when the contract is closed,
equal to the difference between the proceeds from (or cost of) the closing
transaction and the Fund's basis in the contract.
24
<PAGE> 27
NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Risks arise in the possible movement of the securities or indices underlying
those investments. Risks also include the possibility that there may not be a
liquid secondary market for these contracts, that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities or that the counterparty to a contract may default on its obligation
to perform.
Securities Transactions and Investment Income: Securities transactions are
accounted for on a trade date basis. Securities purchased or sold on a
when-issued or delayed-delivery basis may be settled a month or more after trade
date. Realized gains and losses are computed based on the specific
identification of the securities sold. Interest income, adjusted for accretion
of discounts and amortization of premiums calculated ratably, is earned from
settlement date and is recorded on an accrual basis. Dividend income is recorded
on the ex-dividend date. Each Fund's investment income and realized and
unrealized gains and losses are allocated among its classes based upon the
relative net assets of each class of shares.
Dividends and Distributions to Shareholders: It was the policy of both Funds to
declare and pay dividends from net investment income each calendar quarter.
However, effective July 1, 1997, Nations Managed Index Fund adopted a monthly
distribution cycle.
Each Fund will distribute net realized capital gains (including net short-term
capital gains), annually after the fiscal year in which the income is earned,
unless offset by any available capital loss carryforward. Additional
distributions of net investment income and capital gains may be made at the
discretion of the Board of Trustees in order to avoid application of the 4%
non-deductible Federal excise tax. Income distributions and capital gain
distributions on a Fund level are determined in accordance with Federal income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments of income and gains
on various investment securities held by the Fund, timing differences and
differing characterization of distributions made by the Fund as a whole.
Federal Income Tax: Each Fund intends to qualify as a regulated investment
company by complying with the requirements of the Internal Revenue Code of 1986,
as amended by the Tax Reform Act of 1997, applicable to regulated investment
companies and by distributing substantially all of its earnings to its
shareholders. Therefore, no Federal income or excise tax provision is
applicable.
Expenses: General expenses of the Trust are allocated to the relevant Funds
based upon relative net assets. Operating expenses directly attributable to a
Fund or class of shares are charged to such Fund's or class' operations.
Expenses of each Fund not directly attributable to the operations of any class
of shares are prorated among the classes based on the relative net assets of
each class of shares.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS.
The Trust has, on behalf of its Funds, entered into an investment advisory
agreement (the "Investment Advisory Agreement") with NBAI pursuant to which NBAI
provides investment advisory services to the Funds. Under the terms of the
Investment Advisory Agreement, NBAI is entitled to receive an advisory fee,
calculated daily and payable monthly, at the annual rate of 0.50% of each Fund's
average daily net assets.
The Trust has, on behalf of its Funds, entered into a sub-advisory agreement
(the "Sub-Advisory Agreement") with NBAI and TradeStreet Investment Associates,
Inc. ("TradeStreet"), a wholly-owned subsidiary of NationsBank. Under the terms
of the Sub-Advisory Agreement, TradeStreet is entitled to receive a sub-advisory
fee from NBAI for each Fund at the annual rate of 0.10% of each Fund's average
daily net assets.
Stephens Inc. ("Stephens") serves as the administrator of the Trust pursuant to
an administration agreement (the "Administration Agreement"). First Data
Investor Services Group, Inc. ("First Data"), a wholly-owned subsidiary of First
Data Corporation, serves as co-administrator of the Trust pursuant to a
co-administration agreement (the "Co-Administration Agreement"). Pursuant to the
Administration and Co-Administration Agreements, Stephens and First Data are
entitled to receive a combined fee, computed daily and paid monthly, at the
annual rate of 0.10% of the average daily net assets of the investment
portfolios of the Funds. NationsBank serves as the sub-administrator of the
Trust pursuant to a sub-administration agreement (the "Sub-Administration
Agreement") with Stephens. For the six months ended September 30, 1997, Stephens
earned $34,253 from the Funds for its administration services, of which $7,529
was paid to NationsBank for its services as sub-administrator.
25
<PAGE> 28
NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
The investment adviser, sub-adviser and administrator may, from time to time,
voluntarily reduce their fees payable by each Fund. For the six months ended
September 30, 1997, the investment adviser voluntarily waived fees and
reimbursed expenses as follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
BY ADVISER BY ADVISER
=================================
<S> <C> <C>
Nations Managed Index Fund................... $141,625 $3,288
Nations Managed SmallCap Index Fund.......... 114,392 9,793
</TABLE>
NationsBank of Texas, N.A.("NationsBank of Texas" and, collectively with The
Bank of New York ("BONY"), called "Custodians") acts as Custodian of the Trust's
assets and, for the six months ended September 30, 1997, earned $6,746 for
providing such services. BONY has entered into an agreement with each of the
Funds and NationsBank of Texas, whereby BONY will serve as sub-custodian for the
Funds. The Trust accrues a credit on daily cash balances held at BONY. The
earnings credit is applied to the monthly custody fee. For the six months ended
September 30, 1997 the earnings credit was $144.
First Data also serves as the transfer agent for the Funds' shares. NationsBank
of Texas also acts as the sub-transfer agent for the Primary Shares of the Funds
and, for the six months ended September 30, 1997, earned approximately $5,287
for providing such services.
Stephens also serves as distributor of the Funds' shares. For the six months
ended September 30, 1997, the Funds were informed that the distributor received
$143 in contingent deferred sales charges from shares which were subject to such
charges. A substantial portion of these fees is paid to affiliates of
NationsBank and NBAI.
No officer, director or employee of NationsBank, NBAI, TradeStreet, Stephens,
First Data or any affiliate thereof, receives any compensation from the Trust
for serving as a trustee or officer of the Trust. The Trust pays each
unaffiliated Trustee an annual fee of $1,000 ($3,000 for the Chairman of the
Board), plus $500 per Fund and an additional $1,000 for each in-person board
meeting, and $500 for each telephonic board meeting attended. The Trust also
reimburses expenses incurred by each unaffiliated Trustee in attending such
meetings.
The Trust's eligible Trustees may participate in non-qualified deferred
compensation and retirement plan which may be terminated at any time. All
benefits provided under these plans are unfunded and any payments to plan
participants are paid solely out of the Funds' assets. Income earned on each
plan participant's deferral account is tied to the rate of return of the
eligible mutual funds selected by the participants or, if no funds are selected,
to the rate of return of Nations Treasury Fund, a fund of Nations Fund, Inc. The
expense for the deferred compensation plan is included in "Trustees' fees and
expenses" in the Statements of Operations.
3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS.
The Trust has adopted a shareholder administration plan (the "Administration
Plan") for Primary B Shares of each Fund; a shareholder servicing and
distribution plan pursuant to Rule 12b-1 under the 1940 Act for Investor A
Shares of each Fund ("Investor A Plan"); a shareholder servicing plan
("Servicing Plan") for Investor C Shares of each Fund; and a distribution plan
("Distribution Plan") pursuant to Rule 12b-1 for Investor C Shares of each Fund
(collectively, the "Plans"). The Administration Plan permits the Funds to
compensate institutions for shareholder administration services provided to
their customers that own Primary B Shares. The Investor A Plan permits the Funds
to compensate (i) servicing agents and selling agents that have entered into a
servicing agreement with the Funds for services provided to their customers that
own Investor A Shares and (ii) Stephens for distribution-related expenses
incurred in connection with Investor A Shares. The Servicing Plan permits the
Funds to compensate servicing agents for services provided to their customers
that own Investor C Shares. The Distribution Plan permits the Funds to
compensate or reimburse Stephens for any activities or expenses primarily
intended to result in the sale of the Funds' Investor C Shares. Payments under
the Plans are accrued daily and paid monthly at a rate set, from time to time,
by the Funds. Fees incurred pursuant to the Plans are charged as expenses of
each Fund directly to the Primary B Shares, Investor A Shares and Investor C
Shares, respectively.
26
<PAGE> 29
NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
For the six months ended September 30, 1997, the effective rates incurred by the
Funds, as a percentage of average daily net assets, pursuant to the Plans were
as follows:
<TABLE>
<CAPTION>
PRIMARY B INVESTOR C INVESTOR C
ADMINISTRATION INVESTOR A DISTRIBUTION SERVICING
FUND PLAN PLAN PLAN PLAN
=======================================================================================================
<S> <C> <C> <C> <C>
Nations Managed Index Fund................... 0.50% 0.25% 0.25% 0.25%
Nations Managed SmallCap Index Fund.......... 0.50% 0.25% 0.25% 0.25%
</TABLE>
A substantial portion of the fees paid pursuant to the Plans described above are
paid to affiliates of NationsBank and NBAI.
4. PURCHASES AND SALES OF SECURITIES.
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. government securities and short-term investments, for the six months ended
September 30, 1997, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
===========================
<S> <C> <C>
Nations Managed Index Fund............................ $55,455,200 $ 8,604,090
Nations Managed SmallCap Index Fund................... 42,513,927 12,140,552
</TABLE>
At September 30, 1997, aggregate gross unrealized appreciation and unrealized
depreciation for tax purposes were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION
=============================
<S> <C> <C>
Nations Managed Index Fund........................... $ 20,166,422 $410,081
Nations Managed SmallCap Index Fund.................. 18,989,018 872,418
</TABLE>
5. SHARES OF BENEFICIAL INTEREST/CAPITAL STOCK.
As of September 30, 1997, an unlimited number of shares of beneficial interest
without par value were authorized for the Trust. The Trust's Declaration of
Trust authorizes the Board of Trustees to classify or reclassify any authorized,
but unissued shares into one or more additional classes or series of shares. See
Schedule of Capital Stock Activity.
6. ORGANIZATION COSTS.
The Funds bear all costs in connection with their organization, including the
fees and expenses of registering and qualifying their shares for distribution
under Federal and state securities regulations. All such costs are being
amortized on a straight-line basis over a period of five years from commencement
of operations. In the event that any of the shares issued by the Funds to their
sponsor prior to the commencement of the Funds' public offering ("initial
shares") are redeemed during such amortization period by any holder thereof, the
Funds will be reimbursed by the holder for any unamortized organization costs in
the same proportion as the number of initial shares redeemed bears to the number
of initial shares outstanding at the time of redemption.
7. LINE OF CREDIT.
The Trust participates in a uncommitted line of credit provided by BONY under a
line of credit agreement dated February 28, 1997 (the "Agreement"). Advances
under the Agreement are taken primarily for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. Under the Agreement, each Fund may borrow up
to the lesser of $25 million or 25% of its net assets. Interest on borrowings is
payable at the Federal Funds Rate plus 0.50% on an annualized basis. The
Agreement requires, among other things, that each participating Fund maintain a
ratio of no less than 4 to 1 net assets (not including funds borrowed pursuant
to the Agreement) to aggregate amount of indebtedness pursuant to the Agreement.
27
<PAGE> 30
NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Borrowings for the six months ended September 30, 1997 by the Funds under the
Agreement are disclosed below:
<TABLE>
<CAPTION>
MAXIMUM AVERAGE AVERAGE INTEREST RATE
AMOUNT AMOUNT AVERAGE DEBT ------------- INTEREST
FUND OUTSTANDING OUTSTANDING SHARES PER SHARE HIGH LOW EXPENSE
=======================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Nations Managed Index Fund.............. $2,300,000 $22,951 5,742,924 $0.00(a) 7.37% 6.74% $827
Nations Managed SmallCap Index Fund..... 300,000 3,825 5,981,724 0.00(a) 6.31 5.98 118
</TABLE>
- ---------------
(a) Amount represents less than $0.01 per share.
The average amount outstanding was calculated by adding the borrowings at the
end of each day and dividing the sum by the number of days in the six months
ended September 30, 1997.
8. LENDING OF PORTFOLIO SECURITIES.
Under an agreement with BONY, dated July 23, 1997, the Funds have the ability to
lend their securities to approved brokers, dealers and other financial
institutions. Loans of portfolio securities are collateralized by cash, in an
amount at least equal to 102% of the market value of the securities on loan.
Generally, in the event of counterparty default, the Fund has the right to use
the collateral to offset losses incurred. There would be a potential loss to the
Fund in the event the Fund is delayed or prevented from exercising its right to
dispose of the collateral.
At September 30, 1997, the following Funds had securities on loan:
<TABLE>
<CAPTION>
FUND MARKET VALUE % OF NET ASSETS
========================================================================================
<S> <C> <C>
Nations Managed Index Fund.............................. $ 121,484 0.11%
Nations Managed SmallCap Index Fund..................... 2,712,114 2.86
</TABLE>
28
<PAGE> 31
[GRAPHIC DEPICTING BASKETS]
<PAGE> 32
[NATIONS FUNDS LOGO]
--------------------
BULK RATE
P.O. Box 32602 U.S. POSTAGE
Charlotte, NC 28234-4602 PAID
Toll Free 1-800-982-2271 N READING, MA
PERMIT NO.
105
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