<PAGE> 1
[NATIONS FUNDS LOGO]
[GRAPHIC DEPICTING TREE]
INVESTMENTS FOR A LIFETIME(SM)
MANAGED NATIONS
INDEX(SM) MANAGED VALUE
FUNDS INDEX FUND
NATIONS
MANAGED INDEX
FUND
[GRAPHIC DEPICTING MAN WORKING IN A FIELD]
NATIONS
MANAGED SMALLCAP
VALUE INDEX FUND
NATIONS
MANAGED SMALLCAP
INDEX FUND
ANNUAL REPORT FOR THE
YEAR ENDED MARCH 31, 1999
<PAGE> 2
[GRAPHIC DEPICTING BASKETS]
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
IS NOT AFFILIATED WITH BANK OF
AMERICA NATIONAL TRUST AND
SAVINGS ASSOCIATION OR
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.
-----------------
NOT FDIC-
INSURED
-----------------
MAY LOSE VALUE
-----------------
NO BANK GUARANTEE
-----------------
<PAGE> 3
Presidents'
Message
Dear Shareholder:
We'd like to thank you for being a part of the
Nations Funds family. Your continued trust and
confidence are greatly appreciated. Many noteworthy
events have taken place during the past year. Let's
take a look.
A ROLLER-COASTER-RIDE OF A YEAR
We know the past 12 months have proved to be quite an
unsettling time for investors. You've seen major
market indexes reach all-time highs, even after the
significant market volatility of late summer-early
fall 1998. Much of the volatility was attributed to
financial crises in Brazil and Russia, the continuing
malaise in Asia, as well as a slowdown in U.S.
corporate earnings growth. However, the Federal
Reserve Board came to the rescue in late September
with the first of three successive cuts in interest
rates. By year-end, investors were feeling confident
once again and many stocks had soared, moving the Dow
Jones Industrial Average closer to the 10,000
milestone.*
While some stock indexes had another impressive year
of double-digit performance -- the Standard & Poor's
500 Composite Stock Price Index (S&P 500)** of
large-company stocks was up 18.46% for the 12 months
ending March 31, 1999 -- focusing on these particular
indexes doesn't give you the complete picture. For
example, during the same 12-month period, the
Standard & Poor's MidCap 400 Index*** posted a gain
of only 0.43% and the Russell 2000 Index(+) of
small-company stocks actually posted negative
performance of -16.20%. There was even divergence
among the stocks in the S&P 500, with the performance
of the 25 largest stocks accounting for approximately
70% of the Index's return.
THE VALUE OF ADVICE
Diversification, along with a long-term perspective,
are among the best tools for investors to weather
changing markets and create a balanced investment
portfolio. That's where the value of professional
financial advice comes in. The role of a good
financial adviser, especially during volatile times,
is to help you make smart investment decisions that
help you pursue your long-term goals. During last
year's downturn in
* The Dow Jones Industrial Average is a
price-weighted index of 30 of the largest, most
widely held
stocks traded on the New York Stock Exchange. It is
unmanaged and unavailable for investment.
** The Standard & Poor's 500 Composite Stock Price
Index is an unmanaged index of 500 widely
held common stocks. It is unavailable for investment.
*** The Standard & Poor's MidCap 400 Index is a
market-value weighted index that measures
the market value of 400 domestic stocks chosen for
market size, liquidity and industry
representation. It is unmanaged and unavailable for
investment.
+ The Russell 2000 Index is a capitalization-weighted
index that includes 2,000 of the smallest
stocks representing approximately 11% of the U.S.
equity market. It is unmanaged and
unavailable for investment.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
<PAGE> 4
Presidents'
Message continued...
the markets, many mutual fund shareholders who
invested through a financial adviser remained calm
and ignored short-term corrections.
Today, these same investors are probably glad they
did, as the markets continue their generally upward
trend. Of course, history tells us that these trends
do not continue indefinitely, and our belief is that
the best way to weather changing market conditions is
by working with a professional financial adviser.
YOUR MANAGERS OF DISTINCTION(SM)
Financial advisers are there to guide and assist you,
but it also helps to invest with a company that has
experienced fund managers who have weathered various
market cycles over time. At Nations Funds, we call
them our Managers of Distinction(SM).
In bringing you the wide range of funds we offer,
we've carefully selected a roster of specialized
investment management firms. Nations Funds Managers
of Distinction(SM) are all seasoned and
well-respected investment firms. We are pleased to
bring this talent together in one place to offer you
a variety of distinct money management styles.
And, our fund family should get even better with the
completion of our merger with Pacific Horizon
Funds -- the largest merger in mutual fund
history -- anticipated for May. Together, the new
Nations Funds family will be able to offer you an
even broader selection of mutual funds.
Of course, customer service continues to be of
tremendous importance to us and, for the second year
in a row, Nations Funds received the Key Honors award
for superior customer support from DALBAR, Inc. -- an
independent evaluator of customer service in the
mutual fund industry. Our commitment is to provide
you with the best products and services, and we will
seek to continue to do so in the coming year.
We are excited about the past year and the
opportunities ahead of us. If you have any questions
or comments on your annual report, please contact us
at 1.800.321.7854 or e-mail your comments to us via
our Web site at WWW.NATIONSBANK.COM/NATIONSFUNDS.
Once again, thank you for being a part of the Nations
Funds family.
Sincerely,
<TABLE>
<S> <C>
/s/ A. Max Walker /s/ Robert H. Gordon
A. Max Walker Robert H. Gordon
President and Chairman President
of the Board NationsBanc Advisors, Inc.
</TABLE>
March 31, 1999
P.S. On May 21, 1999, the Nations Funds/Pacific
Horizon Funds merger was successfully completed.
<PAGE> 5
Table
Of
Contents
<TABLE>
<S> <C>
NATIONS FUNDS SPECTRUM 2
ECONOMIC OVERVIEW 4
PORTFOLIO COMMENTARY
Nations Managed Value Index Fund 7
Nations Managed Index Fund 11
Nations Managed SmallCap Value Index Fund 16
Nations Managed SmallCap Index Fund 20
FINANCIAL STATEMENTS
Statements of Net Assets 24
Statements of Operations 44
Statements of Changes in Net Assets 45
Schedules of Capital Stock Activity 47
Financial Highlights 52
Notes to Financial Statements 60
</TABLE>
<TABLE>
<S> <C>
---------------------------------------------------------------------------------
Nations Funds [Dalbar Logo]
Recognized For
Outstanding DALBAR, Inc., is a well-respected research firm
Customer Service that measures customer service levels and
establishes benchmarks in the financial services
In recognition of our industry.
commitment to retail
shareholders through
consistently providing
superior customer service,
Nations Funds was awarded
DALBAR Key Honors in 1997
and 1998.
---------------------------------------------------------------------------------
</TABLE>
"Standard & Poor's" and "Standard & Poor's 500", are
trademarks of The McGraw-Hill Companies, Inc.
<PAGE> 6
<TABLE>
<CAPTION>
THE
GNATIONS FUNDS
FAMILY AT A GLANCE
POTENTIAL RETURN
MONEY SHORTER INTERMEDIATE LONGER TERM LARGE
MARKET MATURITY MATURITY DOMESTIC CAPITALIZATION
FUNDS BOND FUNDS BOND FUNDS BOND FUNDS VALUE FUNDS
- ----- ---------- ------------ ----------- -------------
<S> <C> <C> <C> <C>
*Nations *Nations Short- *Nations *Nations *Nations
Prime Fund Intermediate Strategic Fixed Diversified Value Fund
Government Income Fund Income Fund
*Nations Government Fund *Nations
Money Market *Nations *Nations Managed
Fund *Nations Government U.S. Government Value Index
Short-Term Securities Fund Bond Fund Fund
*Nations Income Fund
Treasury Fund *Nations *Nations *Nations
*Nations Short- Intermediate Municipal Balanced Assets
*Nations Tax Term Municipal Municipal Income Fund Fund
Exempt Fund Income Fund Bond Fund
*Nations
*Nations State-Specific
State-Specific Long-Term
Intermediate Municipal Bond
Municipal Bond Funds
Funds
---------------
GROWTH & INCOME
---------------
- ------------------------------------------------------------------------------------------------------------------------------
CURRENT INCOME
- ------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------
STABILITY
- -----------------------------------
RISK (VARIABILITY)
</TABLE>
2
<PAGE> 7
<TABLE>
<CAPTION>
[NATIONS FUNDS LOGO]
INVESTMENTS FOR A LIFETIME(SM)
LARGE
CAPITALI- LARGE MID SMALL REGION-SPECIFIC
ZATION CAPITALIZATION INTERNATIONAL CAPITALIZATION CAPITALIZATION INTERNATIONAL
FUNDS GROWTH FUNDS EQUITY FUNDS FUNDS FUNDS FUNDS
- --------- -------------- ------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
*Nations *Nations *Nations *Nations *Nations *Nations
Marsico Growth Marsico Focused International Emerging Small Company Emerging
& Income Fund Equities Fund Value Fund Growth Fund Growth Fund Markets Fund
*Nations *Nations *Nations *Nations
Equity Disciplined International Managed
Index Fund Equity Fund Growth Fund SmallCap
Index Fund
*Nations *Nations *Nations
Managed Capital Growth International *Nations
Index Fund Fund Equity Fund Managed
SmallCap
*Nations *Nations Value Index
Equity Strategic Equity Fund
Income Fund Fund
----------------------------------------------------------------------------
AGGRESSIVE GROWTH
----------------------------------------------------------------------------
- ---------------------------------------------------------------------
GROWTH
- ---------------------------------------------------------------------
- ----------------------------------
GROWTH & INCOME
- ----------------------------------
</TABLE>
--------------------------------------
LIFEGOAL PORTFOLIOS
* LifeGoal Income And Growth Portfolio
* LifeGoal Balanced Growth Portfolio
* LifeGoal Growth Portfolio
--------------------------------------
3
<PAGE> 8
Economic
Overview
The U.S. economy expanded strongly and the stock
market surged for the 12 months ending March 31,
1999.
Declining interest rates, confident consumers,
healthy corporate capital spending and an expanding
housing industry all helped propel the economy and
fuel a persistent rally in stocks, particularly of
large-capitalization companies. It was an
event-filled period, punctuated by abrupt changes in
investor sentiment and even some signs of a slowing
of growth in the middle of the year. Through it all,
the nation's Gross Domestic Product (the market value
of the goods and services produced) grew. In 1998,
the growth rate was an estimated 3.6%, only slightly
less than the healthy 3.9% growth rate of 1997.
Upon closer examination, the story of the 12-month
period actually was a tale of two economies -- a
strong consumer economy and a weak industrial sector.
Solid employment growth and increased real disposable
personal income translated to a high level of
consumer confidence. Industries linked closely to
consumer behavior -- including autos, housing and
retail -- were quite strong. At the same time, a
number of factors contributed to weakness on the
industrial side of the economy. The economic problems
of some of our key trading partners, combined with
the strength of the U.S. dollar, led to sluggishness
in exports. While the evidence remains mixed, the
worst of these problems for industrial industries may
be ending. The most recent view of the National
Association of Purchasing Managers, for example, is
that manufacturing conditions in the U.S. may have
bottomed.
Inflation, as measured by the Consumer Price Index,
averaged 1.5% in 1998, following a 2.3% rise in 1997.
Lower food and energy prices, combined with cheaper
import prices, contributed significantly to the tame
inflation picture. The low inflation rate came
despite a low unemployment rate of 5% or less for
most of the year. In the past, low unemployment
accompanied by growth in money supply has tended to
fuel inflation. However, that did not happen last
year, as concerns about a worldwide credit crunch,
global recession and deflation acted as a brake on
inflation. The U.S. Federal Reserve Board moved away
from its tight monetary policy stance of early 1998
and cut short-term interest rates three successive
times in the fall, easing the availability of credit
and liquidity. As we entered the second calendar
quarter of 1999, economists were debating what the
next move of the Federal Reserve Board might be.
If the economic story during the period was split
into two sections -- consumer and industrial -- the
year in the stock market was divided into three
periods. For the first seven months, the
Source for all statistical data -- TradeStreet
Investment Associates, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
4
<PAGE> 9
Economic
Overview continued...
market steadily progressed, peaking in July. Then,
the market abruptly reversed course, diving in August
through early October as international
concerns -- starting with the devaluation of the
Russian ruble -- overwhelmed relatively benign
reports about the U.S. economy. However, the Federal
Reserve Board's actions helped restore confidence,
and the market went on to new highs in late 1998 and
early 1999.
The fiscal year also encompassed several different
periods for bond market investors. Earlier in the
year, investor uneasiness about the possibility of a
revival of inflation worried the bond market, and
interest rates tended to rise and bond prices slumped
going into the summer of 1998. That situation changed
dramatically with the Russian economic crisis of
April. Fears about a global economic slowdown drove
investor dollars toward only the highest quality
securities -- principally U.S. Treasuries, and
interest rates fell sharply. This period of investor
anxiety ended in early October, however, as the
Federal Reserve Board's intervention calmed the
markets. For the remainder of the fiscal year,
corporate and mortgage-backed securities -- with
yield spread advantages over U.S.
Treasuries -- tended to return to favor.
International economic forces continue to send mixed
signals. In early 1999, we could see scattered signs
of an economic turnaround in Southeast Asia. Japan
was beginning to reform its banking system, and
investors were waiting to see the impact of an
injection of 40 trillion yen into the banking system.
Japan suffered through its worst economic performance
in 50 years during 1998. The key to its economic
rebound will be how quickly the business community,
consumers and investors regain confidence. Worth
watching will be whether Japan's export industry can
grow. Elsewhere, the international scene provided
additional signs of progress. The International
Monetary Fund (IMF) finally received funding from the
U.S. Congress, easing investor concerns. The
devaluation of the real -- the Brazilian
currency -- seemed to be postponed, but Brazil's
government remained under pressure to carry out
needed economic reforms.
But if U.S. investors found reasons for guarded
optimism in some international developments, they
also found sources for concern. China appeared unable
to meet its ambitious growth targets and Hong Kong's
economy remained under pressure. The world continued
to watch to see whether China would feel pressure to
devalue its currency. Meanwhile, the ability of
Russia to pay its bills remained in doubt and the
Russian domestic political situation raised questions
as Foreign Minister Primakov took over day-to-day
decision-making from an ailing Boris Yeltsin.
Our outlook for 1999 calls for a possible slowing,
but not reversal, of the domestic economic expansion.
In light of reports of a slowdown
5
<PAGE> 10
Economic
Overview continued...
in employment growth, a reduction in capital spending
and continued sluggishness in international trade, we
think economic expansion may have peaked. However, we
still see room for continued growth in 1999 at lower
levels than in 1998, perhaps at a rate of between 3%
and 3.5%.
Viewing the domestic stock market in early 1999, the
big question is whether the third quarter of 1998
represented a bottom for earnings and for stock
prices. Given expectations of a slowing of U.S.
economic growth and continued sluggishness in the
global economy, investors are concerned about
corporate earnings expectations for 1999. However, we
do not think the most recent stock market levels
reflected these investor concerns.
In the bond market, we see the potential of a more
stable interest rate climate over the next several
months, with the possibility of less dramatic changes
in investor sentiment than we saw over the past 12
months.
We believe the direction of the markets will depend
greatly on the economy's ability to continue to move
forward at a controlled pace.
C. Thomas Clapp
Chief Equity Investment Officer
TradeStreet Investment Associates, Inc.
March 31, 1999
6
<PAGE> 11
Nations
Managed Value Index
Fund Structured Products Management
Team Commentary*
<TABLE>
<S> <C>
In the following interview, the team shares its views on
Nations Managed Value Index Fund's performance for the
12-month period ended March 31, 1999, and its outlook for
the future.
PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY.
The Fund is managed by the Traditional index funds try to emulate the performance of a
Structured Products Management benchmark index without taking into account the wide
Team of TradeStreet Investment differences among the stocks that make it up. Nations
Associates, Inc., investment Managed Value Index Fund differs from these "passive" funds
sub-adviser to the Fund. by adding an overlay of active professional management. This
INVESTMENT OBJECTIVE added dimension is designed to reduce exposure to the least
The Fund seeks, over the long- attractive securities in the Fund's benchmark, the S&P/BARRA
term, to provide a total return Value Index (the Index). In this way, the Fund seeks
that (gross of fees and expenses) increased performance potential relative to the Index, while
exceeds the total return of the retaining its core characteristics. In addition, we manage
Standard & Poor's 500/BARRA Value the Fund with shareholders' taxes in mind, keeping turnover
Index (S&P/BARRA Value Index).** low in an effort to limit capital gains distributions.
PERFORMANCE REVIEW HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
For the 12-month period ended PREVAILED OVER THE PAST 12 MONTHS?+
March 31, 1999, Nations Managed The Fund (Investor A Shares) provided shareholders with a
Value Index Fund Investor A Shares return of 2.97%, trailing the 5.73% return of the S&P/BARRA
provided shareholders with a total Value Index. We employ a combination of measures in
return of 2.97%.*** selecting the securities held in the Fund. Unfortunately,
some of these measures were inverted in their stock
selection ability for the reporting period. That is, the
stocks that were ranked most favorably by some of our
measures had worse performance than the stocks ranked
unfavorably by the same measures. In large part, this was
due to a market that, in our view, paid insufficient
attention to valuation. Other aspects of our process worked
well, but were more than offset by the unusual degree of
inversion in a few measures.
</TABLE>
*The outlook for this Fund may differ from that
presented for other Nations Funds mutual funds.
**The S&P/BARRA Value Index is an unmanaged,
market-capitalization-weighted index
comprised of a subset of stocks of the S&P 500 Index
with low price-to-book ratios relative to
the S&P 500 Index as a whole. It is unavailable for
investment.
***The performance shown includes the effect of fee
waivers and expense reimbursements by
the investment adviser, which have the effect of
increasing total return.
+Portfolio characteristics are subject to change and
may not be representative of current
characteristics.
Source for all statistical data -- TradeStreet
Investment Associates, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
7
<PAGE> 12
Nations
Managed Value Index
Fund Structured Products Management
Team Commentary continued...
<TABLE>
<S> <C>
Performance was also hampered by the Fund's underweight
position in technology. Conversely, the Fund benefited from
an overweighting and good stock selection in the finance
sector.
THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS, OVER
THE LONG-TERM, TO PROVIDE A TOTAL RETURN THAT (GROSS OF FEES
AND EXPENSES) EXCEEDS THE TOTAL RETURN OF THE S&P/BARRA
VALUE INDEX. PLEASE ELABORATE.
The stocks that comprise the S&P/BARRA Value Index are a
subset of the widely-followed Standard & Poor's 500
Composite Stock Price Index (S&P 500 Index).(++) These
stocks have lower price-to-book ratios -- calculated by
dividing each company's current stock price by the book
value per share of the company's equity -- than the S&P 500
Index as a whole; they are generally considered "value"
stocks. The Fund does not attempt to outperform the whole
S&P 500 Index. Instead, its objective is to pursue better
performance than the value-oriented portion of it, known as
the S&P/BARRA Value Index.
WHAT INVESTMENT OPPORTUNITIES DO YOU ANTICIPATE FOR THE
COMING YEAR?
For the last few years, the market has been heavily biased
in favor of growth stocks, giving them a performance edge.
But the longer-term historic pattern has been for growth and
value stocks to cycle in and out of favor. After years of
narrow focus by investors on growth stocks, we believe that
the arguments for value investing have become more
compelling. For example, when we compare such fundamental
valuation measures as price-to-earnings(+++) and price-to-
book ratios for the S&P/BARRA Value Index to the same
measures for the S&P/BARRA Growth Index(#) we find a
significant disparity in favor of value-oriented stocks.
If history is any guide, investors will eventually return to
value investing; value stocks such as those that the Fund
holds would then be well-positioned for potential gains. In
our view, this performance potential favors investing in the
more reasonably valued issues that the S&P/BARRA Value Index
represents.
++The Standard & Poor's 500 Composite Stock Price Index is
an unmanaged index of 500 widely held common stocks. It is
unavailable for investment.
+++The price/earnings ratio gives investors an idea of how
much they are paying for a company's earnings power.
#The S&P/BARRA Growth Index is an unmanaged,
market-capitalization-weighted index comprised of a subset
of stocks of the S&P 500 Index with high price-to-book
ratios relative to the S&P 500 Index as a whole. It is
unavailable for investment.
</TABLE>
8
<PAGE> 13
Nations
Managed Value Index
Fund
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/99)
[PIE CHART]
2.8% Recreation
3.0% Automobiles and Trucks
3.1% Computer Related
3.2% Media
5.1% Insurance
6.2% Electric Power
6.9% Financial Services
9.2% Oil - International
9.7% Utilities - Telephone
12.9% Banking
37.9% Other
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 1999, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
<TABLE>
<C> <S> <C>
TOP TEN HOLDINGS
--------------------------------------------
1 Exxon Corporation 3.7%
--------------------------------------------
2 AT&T Corporation 3.1%
--------------------------------------------
3 Citigroup Inc. 3.0%
--------------------------------------------
4 Royal Dutch Petroleum Company 2.3%
--------------------------------------------
5 Time Warner Inc. 1.8%
--------------------------------------------
6 Chase Manhattan Corporation 1.8%
--------------------------------------------
7 Bell Atlantic Corporation 1.7%
--------------------------------------------
8 BellSouth Corporation 1.6%
--------------------------------------------
9 Fannie Mae 1.5%
--------------------------------------------
10 Hewlett-Packard Company 1.4%
--------------------------------------------
THE TOP TEN HOLDINGS ARE PRESENTED TO
ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND
SECURITIES IN WHICH THE FUND MAY INVEST.
</TABLE>
9
<PAGE> 14
Nations
Managed Value Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
[INVESTOR A RETURN CHART]
<TABLE>
<CAPTION>
S&P/BARRA|VALUE
MANAGED|VALUE INDEX|$11,704 INDEX|$12,056
--------------------------- ---------------
<S> <C> <C>
Nov. 24|1997 10000.00 10000.00
'1997' 10267.00 10222.00
11368.00 11403.00
11395.00 11462.00
9964.00 9982.00
'1998' 11659.00 11722.00
Mar. 31|1999 11704.00 12056.00
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
Since Inception
(11/24/97 through
3/31/99) 12.39%
The chart to the left shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Managed
Value Index Fund from the
inception of the shareclass.
Figures for the S&P/BARRA
Value Index, an unmanaged,
market-
capitalization-weighted
index comprised of a subset
of the S&P 500 Index,
include reinvestment of
dividends. It is unavailable
for investment. The
performance of Primary A
Shares may vary based on the
differences in fees paid by
the shareholders investing
in each class.
[CHART LEGEND]
TOTAL RETURN(AS OF 3/31/99)
<TABLE>
<CAPTION>
Primary A Investor A
<S> <C> <C> <C>
Inception Date 11/24/97 11/24/97
- -------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 3.06% 2.97%
- -------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
SINCE INCEPTION 12.54% 12.39%
</TABLE>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
10
<PAGE> 15
Nations
Managed Index
Fund Structured Products Management
Team Commentary*
<TABLE>
<S> <C>
In the following interview, the team shares its views on
Nations Managed Index Fund's performance for the 12-month
period ended March 31, 1999, and its outlook for the future.
PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY.
The Fund is managed by the Traditional index funds try to emulate the performance of a
Structured Products Management benchmark index without taking into account the wide
Team of TradeStreet Investment differences among the stocks that make it up. Nations
Associates, Inc., investment Managed Index Fund differs from these "passive" funds by
sub-adviser to the Fund. adding an overlay of active professional management. This
INVESTMENT OBJECTIVE added dimension is designed to reduce exposure to the least
The Fund seeks, over the long- attractive securities in the S&P 500 Index (the Index) and
term, to provide a total return to carefully seek lower levels of portfolio risk. In this
that (gross of fees and expenses) way, the Fund seeks increased performance potential relative
exceeds the total return of the to the its benchmark, the S&P 500 Index, while retaining its
Standard & Poor's 500 Composite core characteristics. Our carefully structured management
Stock Price Index (S&P 500 process has the further goal of reducing the risk of
Index).** underperforming the benchmark. In addition, we manage the
PERFORMANCE REVIEW Fund with shareholders' taxes in mind, keeping turnover low
For the 12-month period ended in an effort to limit capital gains distributions.
March 31, 1999, Nations Managed HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
Index Fund Investor A Shares PREVAILED OVER THE PAST 12 MONTHS?
provided shareholders with a total Nations Managed Index Fund (Investor A Shares) returned 15%,
return of 14.97%.*** but lagged the S&P 500 Index which returned 18.46%. One
aspect of the Fund's investment process is that we avoid
having excessive exposure to securities we believe are
expensive, or overvalued. Unfortunately, during the last
year the market focused on those companies within the Index
that were larger and had strong price momentum. Little
emphasis was placed on the relative value of the stocks
being bought. That factor more than any other led to the
underperformance the Fund experienced compared to the Index.
Having said that, the Fund outperformed its peer group, the
Lipper Growth & Income Funds Universe(+), which returned
5.47% for the period.
</TABLE>
*The outlook for this Fund may differ from that
presented for other Nations Funds mutual
funds.
**The Standard & Poor's 500 Composite Stock Price
Index is an unmanaged index of 500
widely held common stocks. It is unavailable for
investment.
***The performance shown includes the effect of fee
waivers by the investment adviser, which
have the effect of increasing total return.
+Lipper Inc., is an independent mutual fund
performance monitor. Funds in the Lipper
Growth & Income Funds Average combine a
growth-of-earnings orientation and an income
requirement for level and/or rising dividends.
Source for all statistical data -- TradeStreet
Investment Associates, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
11
<PAGE> 16
Nations
Managed Index
Fund Structured Products Management
Team Commentary continued...
<TABLE>
<S> <C>
THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS, OVER
THE LONG-TERM, TO PROVIDE A TOTAL RETURN THAT (GROSS OF FEES
AND EXPENSES) EXCEEDS THE TOTAL RETURN OF THE S&P 500 INDEX.
PLEASE ELABORATE.
Our stock selection process is based on a straightforward
approach that evaluates every stock in the S&P 500 Index.
The purpose of this analysis is to identify and eliminate
the least attractive securities and modestly emphasize the
most attractive while keeping portfolio characteristics in
line with the Index. While we seek to avoid the least
promising securities, we do not eliminate a stock if it
represents a major portion of the Index.
For example, we would not eliminate stocks like Microsoft
Corporation or General Electric Company because these stocks
are such large components of the S&P 500 Index; in an effort
to reduce benchmark risk, we would maintain some exposure in
these stocks regardless of their performance. Conversely, we
will not overweight a stock in the portfolio by more than 30
basis points of the benchmark index, with 100 basis points
equaling 1.0%. Thus, if a stock represents .50% of the
Index, the Fund's maximum position would be .80%.
We also seek to minimize taxable capital gains distributions
to shareholders, first by limiting portfolio turnover to no
more than 25% per year. To further manage realized capital
gains, the Fund employs the identified cost accounting
method. Through this strategy, when we decide to cut back
holdings of a particular stock, we first sell the shares
with the highest tax cost basis, thus reducing the amount of
capital gains that the Fund must recognize and distribute.
Another technique that helps us manage capital gains
distributions is called "tax-loss harvesting".(++) When we
review the gains the Fund has realized by selling stocks
profitably, the Fund may then choose to take losses in other
portfolio securities. By offsetting gains against losses in
this way, the amount of gain that must be paid out as a
capital gains distribution is reduced, helping to reduce
shareholders' potential tax liability.
++Tax-loss harvesting is a method whereby a mutual fund may,
at times, sell portfolio securities in order to realize
capital losses.
</TABLE>
12
<PAGE> 17
Nations
Managed Index
Fund Structured Products Management
Team Commentary continued...
<TABLE>
<S> <C>
WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE?(+++)
The Fund's overweighted position in communication services, a strong sector last year,
helped performance. The year's strongest performing sector was technology; while the
Fund held a number of technology companies that performed well, it was underweighted in
the sector due to the excessively high valuations we saw in many technology stocks. The
Fund was also hurt by a slightly overweighted position in capital goods stocks.
WHAT DO YOU ANTICIPATE FOR THE COMING YEAR?
We continue to be in a favorable market environment, benefiting from a near-ideal
combination of low inflation, high company productivity and an efficient economy.
Although we do not foresee a repetition of the exceptional results of the last few
years, we still anticipate positive returns for equities of the kind the Fund holds,
relative to other types of investments.
+++Portfolio characteristics are subject to change and may not be representative of
current characteristics.
</TABLE>
13
<PAGE> 18
Nations
Managed Index
Fund
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/99)
[PIE CHART]
3.3% Oil - International
3.4% Retail - General
3.5% Electrical Equipment
3.8% Insurance
5.4% Financial Services
6.0% Computer Software
6.3% Computer Related
8.2% Banking
8.6% Drugs
8.6% Utilities - Telephone
42.9% Other
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 1999, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
<TABLE>
<C> <S> <C>
TOP TEN HOLDINGS
--------------------------------------------
1 Microsoft Corporation 4.3%
--------------------------------------------
2 General Electric Company 3.5%
--------------------------------------------
3 Wal-Mart Stores, Inc. 2.0%
--------------------------------------------
4 Intel Corporation 1.9%
--------------------------------------------
5 Merck & Company, Inc. 1.8%
--------------------------------------------
6 AT&T Corporation 1.8%
--------------------------------------------
7 International Business Machines
Corporation 1.7%
--------------------------------------------
8 Pfizer Inc. 1.7%
--------------------------------------------
9 Cisco Systems, Inc. 1.7%
--------------------------------------------
10 MCI Worldcom, Inc. 1.6%
--------------------------------------------
THE TOP TEN HOLDINGS ARE PRESENTED TO
ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND
SECURITIES IN WHICH THE FUND MAY INVEST.
</TABLE>
14
<PAGE> 19
Nations
Managed Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
[INVESTOR A RETURN CHART]
<TABLE>
<CAPTION>
S&P 500|COMPOSITE|STOCK
MANAGED|INDEX|$20,334 PRICE|INDEX|$21,035
--------------------- -----------------------
<S> <C> <C>
July 31|1996 10000 10000
10744 10786
'1996' 11695 11684
12013 11998
14049 14094
15231 15148
'1997' 15578 15583
17686 17756
18221 18342
16277 16517
'1998' 19681 20035
Mar. 31|1999 20334 21035
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
Since Inception
(7/31/96 through
3/31/99) 30.50%
The chart to the left shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Managed
Index Fund from the
inception of the shareclass.
Figures for the Standard &
Poor's 500 Composite Stock
Price Index, an unmanaged
index of 500 widely held
common stocks, include
reinvestment of dividends.
It is unavailable for
investment. The performance
of Primary A and Primary B
Shares may vary based on the
differences in fees paid by
the shareholders investing
in each class.
[CHART LEGEND]
TOTAL RETURN (AS OF 3/31/99)
<TABLE>
<CAPTION>
Primary A Primary B Investor A
<S> <C> <C> <C> <C>
Inception Date 7/31/96 10/15/96 7/31/96
- --------------------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 15.25% 14.78% 14.97%
- --------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
SINCE INCEPTION 30.76% 30.34% 30.50%
</TABLE>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers by the investment
adviser, which have the effect of increasing total return.
15
<PAGE> 20
Nations
Managed SmallCap Value Index
Fund Structured Products Management
Team Commentary*
<TABLE>
<S> <C>
In the following interview, the team shares its views on
Nations Managed SmallCap Value Index Fund's performance for
the 12-month period ended March 31, 1999, and its outlook
for the future.
PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY.
The Fund is managed by the Traditional index funds try to emulate the performance of a
Structured Products Management benchmark index without taking into account the wide
Team of TradeStreet Investment differences among the stocks that make it up. Nations
Associates, Inc., investment Managed SmallCap Value Index Fund differs from these
sub-adviser to the Fund. "passive" funds by adding an overlay of active professional
INVESTMENT OBJECTIVE management. This added dimension is designed to reduce
The Fund seeks, over the long- exposure to the least attractive securities in the S&P/BARRA
term, to provide a total return SmallCap Value Index (the Index). In this way, the Fund
that (gross of fees and expenses) seeks increased performance potential relative to its
exceeds the total return of the benchmark, the S&P/BARRA SmallCap Value Index, while
Standard & Poor's SmallCap retaining the Index's core characteristics. In addition, we
600/BARRA Value Index (S&P/BARRA manage the Fund with shareholders' taxes in mind, keeping
SmallCap Value Index)** turnover low in an effort to limit capital gains
PERFORMANCE REVIEW distributions.
For the 12-month period ended HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
March 31, 1999, Nations Managed PREVAILED OVER THE PAST 12 MONTHS?(+)
SmallCap Value Index Fund Investor For the reporting period, the Fund (Investor A Shares)
A Shares provided a total return returned -20.23%, outperforming the S&P/BARRA SmallCap Value
of -20.23%.*** Index which returned -22.91%. The best performing sectors in
the Fund were finance and transportation. Additionally,
stock selection was very strong in the consumer cyclical and
capital goods sectors. Areas that detracted from performance
were technology and health-care.
</TABLE>
*The outlook for this Fund may differ from that
presented for other Nations Funds mutual
funds.
**The S&P/BARRA SmallCap Value Index is an unmanaged,
market-capitalization-weighted
index comprised of a subset of stocks of the S&P
SmallCap 600 Index with low price-to-book
ratios relative to the S&P SmallCap 600 Index as a
whole. It is unavailable for investment.
***The performance shown includes the effect of fee
waivers and expense reimbursements by
the investment adviser, which have the effect of
increasing total return.
+Portfolio characteristics are subject to change and
may not be representative of current
characteristics.
Source for all statistical data -- TradeStreet
Investment Associates, Inc.
BECAUSE SMALL COMPANIES HAVE NARROWER MARKETS AND
LIMITED
FINANCIAL RESOURCES AND THEIR STOCKS ARE NOT AS
WIDELY TRADED
AS LARGE COMPANY STOCKS, THEIR SHARE PRICES WILL BE
MORE
VOLATILE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
16
<PAGE> 21
Nations
Managed SmallCap Value Index
Fund Structured Products Management
Team Commentary continued...
<TABLE>
<S> <C>
THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS, OVER
THE LONG-TERM, TO PROVIDE A TOTAL RETURN THAT (BEFORE FEES
AND EXPENSES) EXCEEDS THE TOTAL RETURN OF THE S&P/BARRA
SMALLCAP VALUE INDEX. PLEASE ELABORATE.
The stocks that comprise the S&P/BARRA SmallCap Value Index
are part of the broader Standard & Poor's SmallCap 600 Index
(S&P SmallCap 600)(++). This subset of stocks has lower
price-to-book ratios -- calculated by dividing each
company's current stock price by the book value of the
company's equity -- than the S&P SmallCap 600 as a whole;
they are generally considered "value" stocks. The Fund does
not attempt to outperform the whole S&P SmallCap 600.
Instead, its aim is to outperform only a portion of
it -- the value-oriented stocks of this small-capitalization
index.
WHAT INVESTMENT OPPORTUNITIES DO YOU ANTICIPATE FOR THE
COMING YEAR?
The market has favored growth stocks almost exclusively
during the last few years, giving them a decided performance
edge over value stocks. But at some point such disparities
typically reverse; over longer periods, investor interest
has cycled between small-capitalization and
large-capitalization stocks as well as between companies
with growth and value characteristics.
After years of narrow focus on large-capitalization growth
stocks, we believe that the arguments for value investing in
the small-capitalization sector have become more compelling
than in the recent past. Small-capitalization value stocks
should eventually produce the potential for above-average
returns. Should that happen, the Fund is designed to seek
performance superior to the returns of the S&P/BARRA
SmallCap Value Index.
++The Standard & Poor's SmallCap 600 Index is an unmanaged,
market-capitalization-weighted index consisting of 600
common stocks. It is unavailable for investment.
</TABLE>
17
<PAGE> 22
Nations
Managed SmallCap Value Index
Fund
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/99)
[PIE CHART]
3.2% Building Materials
3.4% Apparel and Textiles
3.5% Oil and Gas
3.8% Restaurants and Lodging
4.0% Financial Services
4.1% Construction
4.7% Consumer Goods and Services
4.9% Electronics
5.7% Insurance
5.7% Retail - Specialty
57.0% Other
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 1999, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
<TABLE>
<C> <S> <C>
TOP TEN HOLDINGS
--------------------------------------------
1 Commercial Federal Corporation 1.1%
--------------------------------------------
2 Fremont General Corporation 1.1%
--------------------------------------------
3 Zale Corporation 1.0%
--------------------------------------------
4 AnnTaylor Stores Corporation 1.0%
--------------------------------------------
5 NAC Re Corporation 0.9%
--------------------------------------------
6 La-Z-Boy Inc. 0.9%
--------------------------------------------
7 AptarGroup Inc. 0.9%
--------------------------------------------
8 Sierra Pacific Resources 0.9%
--------------------------------------------
9 D.R. Horton Inc. 0.8%
--------------------------------------------
10 Southwest Gas Corporation 0.8%
--------------------------------------------
THE TOP TEN HOLDINGS ARE PRESENTED TO
ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND
SECURITIES IN WHICH THE FUND MAY INVEST.
</TABLE>
18
<PAGE> 23
Nations
Managed SmallCap Value Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
[INVESTOR A RETURN CHART]
<TABLE>
<CAPTION>
MANAGED|SMALLCAP|VALUE S&P/BARRA|SMALLCAP|VALUE
INDEX|$9,158 INDEX|$8,820
---------------------- ------------------------
<S> <C> <C>
Nov. 24|1997 10000 10000
'1997' 10410 10291
11479 11460
11239 11021
8983 8630
'1998' 10086 9755
Mar. 31|1999 9158 8820
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
Since Inception
(11/24/97 through
3/31/99) -6.32%
The chart to the left shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Managed
SmallCap Value Index Fund
from the inception of the
shareclass. Figures for the
S&P/BARRA SmallCap Value
Index, an unmanaged,
market-capitalization-weighted
index comprised of a subset
of the S&P SmallCap 600
Index, include reinvestment
of dividends. It is
unavailable for investment.
The performance of Primary A
Shares may vary based on the
differences in fees paid by
the shareholders investing
in each class.
[CHART LEGEND]
TOTAL RETURN (AS OF 3/31/99)
<TABLE>
<CAPTION>
Primary A Investor A
<S> <C> <C> <C>
Inception Date 11/24/97 11/24/97
- -----------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE -20.11% -20.23%
- -----------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
SINCE INCEPTION -6.17% -6.32%
</TABLE>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
19
<PAGE> 24
Nations
Managed SmallCap Index
Fund Structured Products Management
Team Commentary*
<TABLE>
<S> <C>
In the following interview, the team shares its views on
Nations Managed SmallCap Index Fund's performance for the
12-month period ended March 31, 1999, and its outlook for
the future.
PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY.
The Fund is managed by the Traditional index funds try to emulate the performance of a
Structured Products Management benchmark index without taking into account the wide
Team of TradeStreet Investment differences among the stocks that make it up. Nations
Associates, Inc., investment Managed SmallCap Index Fund differs from these "passive"
sub-adviser to the Fund. funds by adding an overlay of active professional
INVESTMENT OBJECTIVE management. This added dimension is designed to reduce
The Fund seeks, over the long- exposure to the least attractive securities in the S&P
term, to provide a total return SmallCap 600 Index (the Index) and to carefully seek lower
that (gross of fees and expenses) levels of portfolio risk. In this way, the Fund seeks
exceeds the total return of the increased performance potential relative to its benchmark,
Standard & Poor's SmallCap 600 the S&P SmallCap 600 Index, while maintaining its core
Index (S&P SmallCap 600 Index)** characteristics. In addition, we manage the Fund with
PERFORMANCE REVIEW shareholders' taxes in mind, employing various techniques
For the 12-month period ended such as limiting portfolio turnover in an effort to limit
March 31, 1999, Nations Managed capital gains distributions.
SmallCap Index Fund Investor A HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
Shares provided a total return of PREVAILED OVER THE PAST 12 MONTHS?
- -20.67%.*** For the reporting period, the Fund (Investor A Shares)
returned -20.67, slightly trailing the benchmark, the S&P
SmallCap 600 Index, which returned -19.13%. One aspect of
the Fund's investment process is that it avoids excessive
exposure to stocks we believe are expensive, or overvalued.
Unfortunately, during the last year, the market focused on
the largest companies within the small-company universe.
Little emphasis was placed on the relative value of the
stocks being bought. That factor, more than any other, led
to the performance the Fund experienced relative to the
benchmark.
</TABLE>
*The outlook for this Fund may differ from that
presented for other Nations Funds mutual
funds.
**The Standard & Poor's SmallCap 600 Index is an
unmanaged, market-capitalization-
weighted index consisting of 600 common stocks. It is
unavailable for investment.
***The performance shown includes the effect of fee
waivers and expense reimbursements by
the investment adviser, which have the effect of
increasing total return.
Source for all statistical data -- TradeStreet
Investment Associates, Inc.
BECAUSE SMALL COMPANIES HAVE NARROWER MARKETS AND
LIMITED
FINANCIAL RESOURCES AND THEIR STOCKS ARE NOT AS
WIDELY TRADED
AS LARGE COMPANY STOCKS, THEIR SHARE PRICES WILL BE
MORE
VOLATILE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
20
<PAGE> 25
Nations
Managed SmallCap Index
Fund Structured Products Management
Team Commentary continued...
<TABLE>
<S> <C>
THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS, OVER
THE LONG-TERM, TO PROVIDE A TOTAL RETURN THAT (GROSS OF FEES
AND EXPENSES) EXCEEDS THE TOTAL RETURN OF THE S&P SMALLCAP
600 INDEX. PLEASE ELABORATE.
Our stock selection process is based on a straightforward
approach that evaluates every stock in the S&P SmallCap 600
Index. The purpose of this analysis is to identify and
eliminate the least attractive securities and modestly
emphasize the most attractive while keeping portfolio
characteristics in line with the Index. While the Fund seeks
to avoid the least promising securities, we do not eliminate
a stock if it represents a major portion of the S&P SmallCap
600 Index.
We also seek to reduce taxable capital gains distributions
to shareholders by limiting portfolio turnover to no more
than 25% per year. To further manage capital gains, the Fund
employs the identified cost accounting method. Through this
strategy, when we decide to cut back holdings of a
particular stock, we first sell the shares with the highest
tax cost basis, thus reducing the amount of capital gains
that the Fund must recognize and distribute.
Another technique that helps manage capital gains
distributions is called "tax-loss harvesting".(+) When we
review the gains the Fund has realized by selling stocks at
a profit, the Fund may then choose to take losses in other
portfolio securities. By offsetting gains against losses in
this way, we reduce the amount of gain that must be paid out
as a capital gains distribution, helping to reduce
shareholders' potential tax liability.
WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED
UNFAVORABLE?(++)
Energy stocks were the poorest performing sector in the S&P
SmallCap 600 Index during the twelve months ending March 31,
1999. The Fund benefited from being underweighted in the
sector, and the stocks it held performed somewhat better
overall than those in the Index. The Fund's holdings in the
transportation sector performed well but the Fund had
difficulty in technology; although many technology stocks
delivered strong returns, the Fund's underweighted position
in the sector hurt performance. In the financial sector, the
characteristics that the Fund focuses on were not rewarded.
+Tax-loss harvesting is a method whereby a mutual fund may,
at times, sell portfolio securities in order to realize
capital losses.
++Portfolio characteristics are subject to change and may
not be representative of current characteristics.
</TABLE>
21
<PAGE> 26
Nations
Managed SmallCap Index
Fund Structured Products Management
Team Commentary continued...
<TABLE>
<S> <C>
WHAT DO YOU ANTICIPATE FOR THE COMING YEAR?
We are bullish on the small-capitalization market because
current valuations do not seem to reflect the potential
growth that we anticipate for many smaller companies. We are
optimistic that the next twelve months could see renewed
strength in small-capitalization stocks.
</TABLE>
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/99)
[PIE CHART]
3.2% Machinery and Equipment
3.2% Computer Related
3.3% Medical Services
4.0% Insurance
4.3% Retail - Specialty
4.4% Drugs
4.5% Electronics
4.7% Apparel and Textiles
5.0% Banking
5.7% Financial Services
57.7% Other
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 1999, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
<TABLE>
<C> <S> <C>
TOP TEN HOLDINGS
--------------------------------------------
1 VISX Inc. 1.3%
--------------------------------------------
2 Medimmune Inc. 1.1%
--------------------------------------------
3 Sanmina Corporation 1.0%
--------------------------------------------
4 Xylan Corporation 0.9%
--------------------------------------------
5 Express Scripts Inc., Class A 0.8%
--------------------------------------------
6 Velassis Communications Inc. 0.7%
--------------------------------------------
7 Zale Corporation 0.7%
--------------------------------------------
8 Acxiom Corporation 0.7%
--------------------------------------------
9 American Management Systems 0.7%
--------------------------------------------
10 Mohawk Industries Inc. 0.7%
--------------------------------------------
THE TOP TEN HOLDINGS ARE PRESENTED TO
ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND
SECURITIES IN WHICH THE FUND MAY INVEST.
</TABLE>
22
<PAGE> 27
Nations
Managed SmallCap Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
[INVESTOR A RETURN CHART]
<TABLE>
<CAPTION>
S&P|SMALLCAP|600
MANAGED|SMALLCAP|INDEX|$11,511 INDEX|$11,770
------------------------------ ----------------
<S> <C> <C>
Oct. 15|1996 10000.00 10000.00
'1996' 10315.00 10433.00
9848.00 9854.00
11573.00 11640.00
13373.00 13522.00
'1997' 13155.00 13104.00
14510.00 14554.00
14018.00 13904.00
11089.00 10998.00
'1998' 12906.00 12932.00
Mar. 31|1999 11511.00 11770.00
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
Since Inception
(10/15/96 through
3/31/99) 5.90%
The chart to the left shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Managed
SmallCap Index Fund from the
inception of the shareclass.
Figures for the S&P SmallCap
600 Index, an unmanaged
index of 600 common stocks
that capture the economic
and industry characteristics
of small company stock
performance, include
reinvestment of dividends.
It is unavailable for
investment. The performance
of Primary A Shares may vary
based on the differences in
fees paid by the
shareholders investing in
each class.
[CHART LEGEND]
TOTAL RETURN (AS OF 3/31/99)
<TABLE>
<CAPTION>
Primary A Investor A
<S> <C> <C> <C>
Inception Date 10/15/96 10/15/96
- -----------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE -20.50% -20.67%
- -----------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
SINCE INCEPTION 6.16% 5.90%
</TABLE>
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers by the investment
adviser, which have the effect of increasing total return.
23
<PAGE> 28
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.3%
AEROSPACE AND DEFENSE -- 1.9%
1,200 Boeing Company................................. $ 41
150 General Dynamics Corporation................... 10
350 Lockheed Martin Corporation.................... 13
250 Northrop Grumman Corporation................... 15
750 Raytheon Company, Class B...................... 44
------
123
------
APPAREL AND TEXTILES -- 0.7%
250 Nike, Inc., Class B............................ 14
450 Russell Corporation............................ 9
150 Springs Industries Inc. ....................... 4
350 V.F. Corporation............................... 17
------
44
------
AUTOMOBILE PARTS MANUFACTURERS -- 0.6%
350 Cooper Tire & Rubber Company................... 6
550 Dana Corporation............................... 22
250 Goodyear Tire & Rubber Company................. 12
------
40
------
AUTOMOBILES AND TRUCKS -- 3.0%
1,500 Ford Motor Company............................. 85
850 General Motors Corporation..................... 74
350 Navistar International Corporation++........... 14
500 PACCAR, Inc. .................................. 21
------
194
------
BANKING -- 13.0%
1,450 Banc One Corporation........................... 79
850 Bank of New York Inc. ......................... 31
250 BankBoston Corporation......................... 11
100 Bankers Trust N.Y. Corporation................. 9
300 BB&T Corporation............................... 11
1,400 Chase Manhattan Corporation.................... 113
3,000 Citigroup Inc. ................................ 191
150 Comerica Inc. ................................. 9
250 Fifth Third Bancorp............................ 16
1,250 First Union Corporation........................ 67
900 Fleet Financial Group, Inc. ................... 34
300 Golden West Financial Corporation.............. 29
250 Huntington Bancshares Inc. .................... 8
150 J.P. Morgan & Company Inc. .................... 19
850 KeyCorp........................................ 26
250 Mellon Bank Corporation........................ 18
150 Mercantile Bancorporation...................... 7
500 National City Corporation...................... 33
150 Northern Trust Corporation..................... 13
300 PNC Bank Corporation........................... 17
400 Regions Financial Corporation.................. 14
100 State Street Corporation....................... 8
200 Summit Bancorp................................. 8
500 SunTrust Banks, Inc. .......................... 31
250 Wachovia Corporation........................... 20
------
822
------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
BEVERAGES -- 0.5%
300 Adolph Coors Company, Class B.................. $ 16
350 Seagram Company Ltd. .......................... 18
------
34
------
CHEMICALS -- BASIC -- 2.6%
550 Air Products & Chemicals Inc. ................. 19
300 B.F. Goodrich Company.......................... 10
200 Dow Chemical Company........................... 19
1,500 E.I. duPont de Nemours and Company............. 88
250 FMC Corporation++.............................. 12
200 Mallinckrodt Group Inc. ....................... 5
150 PPG Industries, Inc. .......................... 8
150 Praxair Inc. .................................. 5
------
166
------
CHEMICALS -- DIVERSIFIED -- 0.5%
750 Monsanto Company............................... 34
------
CHEMICALS -- SPECIALTY -- 0.3%
150 Engelhard Corporation.......................... 3
400 Morton International Inc. ..................... 14
------
17
------
COMPUTER RELATED -- 3.1%
350 3Com Corporation++............................. 8
150 Apple Computer Inc.++.......................... 5
2,200 Compaq Computer Corporation.................... 70
1,350 Hewlett-Packard Company........................ 92
150 Honeywell Inc. ................................ 11
500 Seagate Technology Inc.++...................... 15
------
201
------
COMPUTER SERVICES -- 0.7%
100 Computer Sciences Corporation++................ 6
750 Electronic Data Systems........................ 36
------
42
------
COMPUTER SOFTWARE -- 0.6%
400 First Data Corporation......................... 17
800 Novell Inc.++.................................. 20
------
37
------
CONGLOMERATE -- 0.5%
1 Tyco International Ltd.++...................... 0
250 United Technologies Corporation................ 34
------
CONSTRUCTION -- 1.0%
400 Centex Corporation............................. 13
400 Crane Company.................................. 10
400 Fluor Corporation.............................. 11
550 Masco Corporation.............................. 15
650 Pulte Corporation.............................. 14
------
63
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE> 29
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
CONTAINERS -- 0.6%
450 Ball Corporation............................... $ 21
250 Crown Cork & Seal Company, Inc. ............... 7
500 Owens-Illinois, Inc. .......................... 13
------
41
------
DIVERSIFIED -- 1.7%
650 AlliedSignal Inc. ............................. 32
100 Eastern Enterprises............................ 4
700 Fortune Brands Inc. ........................... 27
500 Minnesota Mining & Manufacturing Company....... 35
150 Textron Inc. .................................. 12
------
110
------
DRUGS -- 0.5%
550 Pharmacia & Upjohn, Inc. ...................... 34
------
ELECTRIC POWER -- 6.3%
150 Ameren Corporation............................. 5
150 American Electric Power Inc. .................. 6
1,050 Central & South West Corporation............... 25
200 CINergy Corporation............................ 6
550 Consolidated Edison, Inc. ..................... 25
350 Dominion Resources, Inc. ...................... 13
300 DTE Energy Company............................. 12
350 Duke Energy Corporation........................ 19
1,000 Edison International........................... 22
800 Entergy Corporation............................ 22
750 FirstEnergy Corporation........................ 21
300 FPL Group Inc. ................................ 16
650 GPU, Inc. ..................................... 24
950 Northern States Power Corporation.............. 22
1,000 P G & E Corporation............................ 31
550 PECO Energy Company............................ 25
700 Public Service Enterprise Group................ 27
850 Reliant Energy Inc. ........................... 22
1,150 Southern Company............................... 27
150 Texas Utilities Company........................ 6
650 Unicom Corporation............................. 24
------
400
------
ELECTRICAL EQUIPMENT -- 0.4%
500 Emerson Electric Company....................... 26
------
ELECTRONICS -- 2.0%
150 AMP Inc. ...................................... 8
350 Applied Materials Inc.++....................... 22
250 Harris Corporation............................. 7
550 LSI Logic Corporation++........................ 17
750 Motorola, Inc. ................................ 55
300 National Semiconductor Corporation++........... 3
450 Rockwell International Corporation............. 19
------
131
------
ENVIRONMENTAL -- 0.5%
350 Johnson Controls Inc. ......................... 22
1,200 Laidlaw Inc. .................................. 7
------
29
------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
EXPLORATION AND DRILLING -- 0.2%
150 Burlington Resources Inc. ..................... $ 6
150 McDermott International Inc. .................. 4
------
10
------
FINANCIAL SERVICES -- 6.9%
500 American General Corporation................... 35
850 Associates First Capital Corporation........... 38
105 Bear Stearns Companies Inc. ................... 5
100 Capital One Financial Corporation.............. 15
450 Countrywide Credit Industries, Inc. ........... 17
1,400 Fannie Mae..................................... 96
450 Household International Inc. .................. 21
500 Lehman Brothers Holdings Inc. ................. 30
250 Marsh & McLennan Companies Inc. ............... 19
400 Merrill Lynch & Company Inc. .................. 35
750 Morgan Stanley Dean Witter & Company........... 75
300 Transamerica Corporation....................... 21
800 Washington Mutual, Inc. ....................... 33
------
440
------
FOOD PRODUCERS -- 0.4%
1,650 Archer-Daniels-Midland Company................. 24
------
FOREST AND PAPER PRODUCTS -- 1.7%
400 Boise Cascade Corporation...................... 13
250 Champion International Corporation............. 10
150 Georgia-Pacific Corporation.................... 11
650 International Paper Company.................... 28
450 Louisiana Pacific Corporation.................. 8
100 Mead Corporation............................... 3
150 Temple-Inland Inc. ............................ 9
500 Westvaco Corporation........................... 11
250 Weyerhaeuser Company........................... 14
100 Willamette Industries Inc. .................... 4
------
111
------
FURNITURE AND APPLIANCES -- 0.3%
350 Whirlpool Corporation.......................... 19
------
INSURANCE -- 5.1%
250 Aetna Life and Casualty Company................ 21
1,250 Allstate Corporation........................... 47
150 AON Corporation................................ 9
150 Chubb Corporation.............................. 9
300 CIGNA Corporation.............................. 25
200 Cincinnati Financial Corporation............... 7
850 Conseco Inc. .................................. 26
550 Hartford Financial Services Group, Inc. ....... 32
300 Jefferson-Pilot Corporation.................... 20
300 Lincoln National Corporation Ltd. ............. 30
150 Loews Corporation.............................. 11
450 MBIA Inc. ..................................... 26
300 MGIC Investment Corporation.................... 11
500 Provident Companies Inc. ...................... 17
150 SAFECO Corporation............................. 6
170 St. Paul Companies Inc. ....................... 5
200 Torchmark Corporation.......................... 6
400 Unum Corporation............................... 19
------
327
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE> 30
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MACHINERY AND EQUIPMENT -- 1.2%
300 Caterpillar Inc. .............................. $ 14
200 Cooper Industries Inc. ........................ 9
100 Cummins Engine Company, Inc. .................. 4
350 Foster Wheeler Corporation..................... 4
250 Illinois Tool Works, Inc. ..................... 15
300 Ingersoll-Rand Company......................... 15
100 Milacron Inc. ................................. 2
100 NACCO Industries Inc., Class A................. 7
500 Thermo Electron Corporation++.................. 7
150 Timken Company................................. 2
------
79
------
MEDIA -- 3.2%
650 CBS Corporation++.............................. 27
250 Clear Channel Communications, Inc.++........... 17
700 MediaOne Group, Inc. .......................... 44
1,650 Time Warner Inc. .............................. 117
------
205
------
MEDICAL PRODUCTS AND SUPPLIES -- 0.1%
100 Allergan, Inc. ................................ 9
------
MEDICAL SERVICES -- 1.2%
550 Columbia/HCA Healthcare Corporation............ 10
1,450 HEALTHSOUTH Corporation++...................... 15
600 Humana Inc.++.................................. 10
750 Tenet Healthcare Corporation++................. 14
550 United Healthcare Corporation.................. 30
------
79
------
METALS AND MINING -- 1.2%
850 Alcan Aluminium Ltd. .......................... 23
300 Alcoa Inc. .................................... 12
1,200 Barrick Gold Corporation....................... 20
150 Inco Ltd. ..................................... 2
750 Niagara Mohawk Holdings Inc. .................. 10
250 Reynolds Metals Company........................ 12
------
79
------
OFFICE EQUIPMENT -- 0.7%
350 Ikon Office Solutions Inc. .................... 4
800 Xerox Corporation.............................. 43
------
47
------
OIL -- DOMESTIC -- 1.2%
150 Amerada Hess Corporation....................... 8
300 Atlantic Richfield Company..................... 21
600 Coastal Corporation............................ 20
250 Phillips Petroleum Company..................... 12
150 Sunoco, Inc. .................................. 5
150 Unocal Corporation............................. 6
250 USX-Marathon Group Inc. ....................... 7
------
79
------
OIL -- INTERNATIONAL -- 9.1%
1 BP Amoco plc, ADR.............................. 0
850 Chevron Corporation............................ 75
3,350 Exxon Corporation.............................. 236
1,050 Mobil Corporation.............................. 92
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
OIL -- INTERNATIONAL -- (CONTINUED)
2,850 Royal Dutch Petroleum Company.................. $ 148
600 Texaco Inc. ................................... 34
------
585
------
OIL AND GAS -- 0.3%
350 Enron Corporation.............................. 22
------
OIL FIELD SERVICES & EQUIPMENT -- 1.4%
850 Baker Hughes Inc. ............................. 21
400 Halliburton Company............................ 15
600 Schlumberger Ltd. ............................. 36
900 Sempra Energy.................................. 17
------
89
------
PHOTO AND OPTICAL -- 0.3%
250 Eastman Kodak Company.......................... 16
------
PRINTING AND PUBLISHING -- 0.7%
450 American Greetings Corporation, Class A........ 11
250 Gannett Company, Inc. ......................... 16
350 Knight-Ridder Inc. ............................ 18
------
45
------
RECREATION -- 2.8%
400 Brunswick Corporation.......................... 8
700 Carnival Corporation........................... 34
450 Harrah's Entertainment Inc.++.................. 9
225 Hasbro, Inc. .................................. 7
150 Mattel, Inc. .................................. 4
450 Viacom Inc., Class B........................... 38
2,650 Walt Disney Company............................ 81
------
181
------
RESTAURANTS AND LODGING -- 2.0%
900 Cendant Corporation++.......................... 14
950 Darden Restaurants Inc. ....................... 20
1,050 Hilton Hotels Corporation...................... 15
1,700 McDonald's Corporation......................... 77
------
126
------
RETAIL -- FOOD -- 0.6%
200 Albertson's Inc. .............................. 11
250 American Stores Company........................ 8
100 Great Atlantic & Pacific Tea Company, Inc. .... 3
700 Supervalu Inc. ................................ 15
------
37
------
RETAIL -- GENERAL -- 2.2%
150 Costco Companies Inc.++........................ 14
650 Dillards, Inc., Class A........................ 16
600 Federated Department Stores, Inc. ............. 24
250 J.C. Penney Company, Inc. ..................... 10
2,100 K Mart Corporation++........................... 35
300 May Department Stores Company.................. 12
350 Sears, Roebuck and Company..................... 16
750 Toys R US Inc.++............................... 14
------
141
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 31
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL -- SPECIALTY -- 1.0%
100 Circuit City Stores - Circuit City Group...... $ 8
150 Fred Meyer, Inc.++............................ 9
150 Limited Inc. ................................. 6
150 Longs Drug Stores Corporation................. 5
300 Lowe's Companies Inc. ........................ 17
150 Nordstrom Inc. ............................... 6
500 Rite Aid Corporation.......................... 13
------
64
------
SEMICONDUCTORS -- 1.2%
950 Advanced Micro Devices++...................... 15
200 Micron Technology Inc.++...................... 10
500 Texas Instruments Inc. ....................... 49
------
74
------
STEEL -- 0.1%
400 Worthington Industries........................ 5
------
TELECOMMUNICATIONS -- 0.1%
250 Nextel Communications Inc. ................... 9
------
TOBACCO -- 0.4%
900 RJR Nabisco Holdings Corporation.............. 23
------
TRANSPORTATION -- 2.0%
150 AMR Corporation++............................. 9
1,050 Burlington Northern Santa Fe Inc. ............ 35
150 CSX Corporation............................... 6
500 Delta Air Lines, Inc. ........................ 34
150 FDX Corporation++............................. 14
350 Norfolk Southern Corporation.................. 9
350 Union Pacific Corporation..................... 19
------
126
------
TRUCKING AND SHIPPING -- 0.3%
650 Ryder System Inc. ............................ 18
------
UNIT INVESTMENT TRUST -- 0.3%
153 Standard and Poor's Depositary Receipts....... 20
------
UTILITIES -- NATURAL GAS -- 0.3%
100 Consolidated Natural Gas Company.............. 5
350 Williams Companies, Inc. ..................... 14
------
19
------
UTILITIES -- TELEPHONE -- 9.8%
250 ALLTEL Corporation............................ 16
2,500 AT&T Corporation.............................. 199
2,100 Bell Atlantic Corporation..................... 108
2,550 BellSouth Corporation......................... 101
1,200 GTE Corporation............................... 73
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
UTILITIES -- TELEPHONE -- (CONTINUED)
500 Sprint Corporation (FON Group)................ $ 49
900 Sprint Corporation (PCS Group)................ 40
650 U.S. West Inc. ............................... 36
------
622
------
TOTAL COMMON STOCKS
(Cost $5,586)................................ 6,352
------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- -----
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 0.1%
(Cost $5)
5 Nations Cash Reserves#.......................... 5
------
TOTAL INVESTMENTS
(Cost $5,591*).......................... 99.4% 6,357
------
OTHER ASSETS AND LIABILITIES (NET)....... 0.6%
Cash............................................ $ 1
Receivable for Fund shares sold................. 1
Dividends receivable............................ 9
Receivable from investment advisor.............. 18
Prepaid expenses and other assets............... 45
Payable for Fund shares redeemed................ (16)
Administration fee payable...................... (1)
Accrued Trustees' fees and expenses............. (8)
Accrued expenses and other liabilities.......... (10)
------
TOTAL OTHER ASSETS AND LIABILITIES (NET)........ 39
------
NET ASSETS............................... 100.0% $6,396
======
NET ASSETS CONSIST OF:
Accumulated net realized gain on investments
sold........................................... $ 334
Net unrealized appreciation of investments...... 766
Paid-in capital................................. 5,296
------
NET ASSETS...................................... $6,396
======
PRIMARY A SHARES:
Net asset value, offering and redemption price
per share ($4,291,722/375,760 shares
outstanding)...................................
$11.42
======
INVESTOR A SHARES:
Net asset value, offering and redemption price
per share ($2,104,399/184,005 shares
outstanding)...................................
$11.44
======
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $971 and gross depreciation
of $277 for Federal income tax purposes. At March 31, 1999, the aggregate
cost of securities for Federal income tax purposes was $5,663.
++ Non-income producing security.
++ Amount represents less than $500.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 32
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.2%
AEROSPACE AND DEFENSE -- 1.1%
75,200 Boeing Company........................... $ 2,566
27,000 EG&G, Inc. .............................. 712
15,000 General Dynamics Corporation............. 964
27,200 Lockheed Martin Corporation.............. 1,025
9,400 Northrop Grumman Corporation............. 563
23,500 Raytheon Company, Class B................ 1,378
8,400 TRW Inc. ................................ 382
--------
7,590
--------
APPAREL AND TEXTILES -- 0.5%
47,400 Fruit of the Loom, Inc., Class A......... 492
8,700 Liz Claiborne Inc. ...................... 284
3,500 National Service Industries, Inc. ....... 119
17,300 Russell Corporation...................... 348
2,200 Springs Industries Inc. ................. 60
43,300 V.F. Corporation......................... 2,043
--------
3,346
--------
AUTOMOBILE PARTS MANUFACTURERS -- 0.4%
8,000 AutoZone Inc.++.......................... 243
20,700 Cooper Tire & Rubber Company............. 380
17,000 Dana Corporation......................... 646
4,800 Eaton Corporation........................ 343
12,700 Genuine Parts Company.................... 366
11,300 Goodyear Tire & Rubber Company........... 563
--------
2,541
--------
AUTOMOBILES AND TRUCKS -- 1.9%
107,500 Ford Motor Company....................... 6,101
48,600 General Motors Corporation............... 4,222
16,700 ITT Industries, Inc. .................... 591
47,000 Navistar International Corporation++..... 1,889
18,700 PACCAR, Inc. ............................ 770
--------
13,573
--------
BANKING -- 8.1%
107,500 Banc One Corporation..................... 5,919
61,000 Bank of New York Inc. ................... 2,192
20,900 BankBoston Corporation................... 905
6,400 Bankers Trust N.Y. Corporation........... 565
20,000 BB&T Corporation......................... 724
75,100 Chase Manhattan Corporation.............. 6,106
155,900 Citigroup Inc. .......................... 9,957
27,300 Comerica Inc. ........................... 1,705
16,500 Fifth Third Bancorp...................... 1,088
81,300 First Union Corporation.................. 4,344
15,900 Firstar Corporation...................... 1,423
46,800 Fleet Financial Group, Inc. ............. 1,761
25,800 Golden West Financial Corporation........ 2,464
12,300 Huntington Bancshares Inc. .............. 381
11,800 J.P. Morgan & Company Inc. .............. 1,456
32,500 KeyCorp.................................. 985
18,200 Mellon Bank Corporation.................. 1,281
34,200 Mercantile Bancorporation................ 1,625
22,700 National City Corporation................ 1,507
8,000 Northern Trust Corporation............... 711
26,200 PNC Bank Corporation..................... 1,456
14,900 Regions Financial Corporation............ 516
11,300 State Street Corporation................. 929
12,600 Summit Bancorp........................... 491
14,200 SunTrust Banks, Inc. .................... 884
71,700 U.S. Bancorp............................. 2,442
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
BANKING -- (CONTINUED)
18,900 Wachovia Corporation..................... $ 1,534
95,100 Wells Fargo Company...................... 3,334
--------
58,685
--------
BEVERAGES -- 2.4%
18,400 Adolph Coors Company, Class B............ 994
33,500 Anheuser-Busch Companies, Inc. .......... 2,552
5,000 Brown-Forman Corporation, Class B........ 288
153,000 Coca-Cola Company........................ 9,391
24,200 Coca-Cola Enterprises Inc. .............. 732
78,400 PepsiCo, Inc. ........................... 3,072
--------
17,029
--------
BUSINESS SERVICES -- 0.1%
11,300 Paychex, Inc. ........................... 536
--------
CHEMICALS -- BASIC -- 0.9%
16,000 Air Products & Chemicals Inc. ........... 548
26,700 B.F. Goodrich Company.................... 916
52,100 E.I. duPont de Nemours and Company....... 3,024
12,700 FMC Corporation++........................ 627
20,000 Mallinckrodt Group Inc. ................. 533
3,600 Nalco Chemical Company................... 96
11,700 Praxair Inc. ............................ 422
12,900 Rohm & Haas Company...................... 433
--------
6,599
--------
CHEMICALS -- DIVERSIFIED -- 0.2%
23,900 Monsanto Company......................... 1,098
--------
CHEMICALS -- SPECIALTY -- 0.1%
22,900 Engelhard Corporation.................... 388
10,200 Great Lakes Chemical Corporation......... 375
21,200 W.R. Grace & Company..................... 257
--------
1,020
--------
COMPUTER RELATED -- 6.3%
40,100 3Com Corporation++....................... 935
41,600 Apple Computer Inc.++.................... 1,495
8,400 Ceridian Corporation++................... 307
120,200 Compaq Computer Corporation.............. 3,809
3,200 Data General Corporation................. 32
175,000 Dell Computer Corporation++.............. 7,153
34,200 EMC Corporation++........................ 4,369
24,600 Gateway 2000 Inc.++...................... 1,687
72,100 Hewlett-Packard Company.................. 4,889
11,000 Honeywell Inc. .......................... 834
20,000 IMS Health Inc. ......................... 663
69,400 International Business Machines
Corporation............................. 12,302
60,700 Seagate Technology Inc.++................ 1,794
26,400 Sun Microsystems, Inc.++................. 3,298
64,300 Unisys Corporation++..................... 1,780
--------
45,347
--------
COMPUTER SERVICES -- 0.2%
18,000 Automatic Data Processing Inc. .......... 745
10,400 Computer Sciences Corporation++.......... 574
--------
1,319
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 33
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
COMPUTER SOFTWARE -- 6.0%
28,800 Adobe Systems Inc. ...................... $ 1,634
11,900 Autodesk, Inc. .......................... 481
29,900 BMC Software, Inc.++..................... 1,108
40,400 Computer Associates International
Inc. ................................... 1,437
67,800 Compuware Corporation++.................. 1,619
24,600 First Data Corporation................... 1,052
343,000 Microsoft Corporation++ ++............... 30,742
72,900 Novell Inc.++............................ 1,836
125,700 Oracle Systems Corporation++............. 3,315
--------
43,224
--------
CONGLOMERATE -- 1.3%
53,000 Tyco International Ltd. ................. 3,803
29,500 Unilever NV, ADR......................... 1,960
24,700 United Technologies Corporation.......... 3,345
--------
9,108
--------
CONSTRUCTION -- 0.7%
7,600 Armstrong World Industries, Inc. ........ 343
31,400 Centex Corporation....................... 1,048
36,700 Crane Company............................ 888
13,800 Fluor Corporation........................ 373
31,700 Kaufman & Broad Home Corporation......... 715
23,800 Masco Corporation........................ 672
3,400 Owens-Corning Fiberglass Corporation..... 108
40,000 Pulte Corporation........................ 833
9,700 Sherwin-Williams Company................. 273
--------
5,253
--------
CONTAINERS -- 0.2%
19,900 Ball Corporation......................... 933
9,100 Crown Cork & Seal Company, Inc. ......... 260
9,900 Owens-Illinois, Inc. .................... 248
--------
1,441
--------
COSMETICS AND TOILETRIES -- 2.0%
3,000 Alberto-Culver Company, Class B.......... 70
10,100 Colgate-Palmolive Company................ 929
60,000 Gillette Company......................... 3,566
36,700 Kimberly-Clark Corporation............... 1,759
80,600 Procter & Gamble Company................. 7,895
--------
14,219
--------
DIVERSIFIED -- 0.5%
39,000 AlliedSignal Inc. ....................... 1,918
9,600 Eastern Enterprises...................... 349
10,800 Fortune Brands Inc. ..................... 418
12,100 Tenneco Inc. ............................ 338
11,600 Textron Inc. ............................ 898
--------
3,921
--------
DRUGS -- 8.5%
83,100 American Home Products Corporation....... 5,422
57,600 Amgen Inc.++............................. 4,313
135,600 Bristol-Myers Squibb Company............. 8,721
75,800 Eli Lilly and Company.................... 6,434
163,100 Merck & Company, Inc. ................... 13,078
86,400 Pfizer Inc. ............................. 11,987
34,200 Pharmacia & Upjohn, Inc. ................ 2,133
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
DRUGS -- (CONTINUED)
100,500 Schering-Plough Corporation.............. $ 5,559
57,800 Warner-Lambert Company................... 3,826
--------
61,473
--------
ELECTRIC POWER -- 2.2%
29,100 AES Corporation++........................ 1,084
10,200 Carolina Power & Light Company........... 386
19,300 Central & South West Corporation......... 452
20,900 CINergy Corporation...................... 575
23,300 Consolidated Edison, Inc. ............... 1,056
7,800 Dominion Resources, Inc. ................ 288
12,700 DTE Energy Company....................... 488
25,000 Duke Energy Corporation.................. 1,366
36,500 Edison International..................... 812
31,300 Entergy Corporation...................... 861
14,200 FPL Group Inc. .......................... 756
6,400 New Century Energies, Inc. .............. 218
27,100 Northern States Power Corporation........ 628
36,400 P G & E Corporation...................... 1,131
18,200 PECO Energy Company...................... 842
22,600 PP&L Resources Inc. ..................... 559
18,200 Public Service Enterprise Group.......... 695
19,700 Reliant Energy Inc. ..................... 513
67,400 Southern Company......................... 1,571
17,100 Texas Utilities Company.................. 713
18,900 Unicom Corporation....................... 691
--------
15,685
--------
ELECTRICAL EQUIPMENT -- 3.5%
224,100 General Electric Company................. 24,791
11,000 Thomas & Betts Corporation............... 413
--------
25,204
--------
ELECTRONICS -- 0.9%
14,900 AMP Inc. ................................ 800
15,000 Applied Materials Inc.++................. 925
5,800 Harris Corporation....................... 166
42,400 Motorola, Inc. .......................... 3,106
14,700 Rockwell International Corporation....... 624
15,400 Solectron Corporation++.................. 748
--------
6,369
--------
ENVIRONMENTAL -- 0.4%
20,900 Browning-Ferris Industries Inc. ......... 806
23,700 Johnson Controls Inc. ................... 1,478
58,100 Laidlaw Inc. ............................ 338
--------
2,622
--------
EXPLORATION AND DRILLING -- 0.1%
20,900 McDermott International Inc. ............ 529
--------
FINANCIAL SERVICES -- 5.4%
31,200 American Express Company................. 3,666
18,200 American General Corporation............. 1,283
50,800 Associates First Capital Corporation..... 2,286
22,970 Bear Stearns Companies Inc. ............. 1,026
4,400 Capital One Financial Corporation........ 664
27,500 Charles Schwab Corporation............... 2,643
34,500 Countrywide Credit Industries, Inc. ..... 1,294
72,500 Fannie Mae............................... 5,021
49,500 Freddie Mac.............................. 2,828
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 34
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
FINANCIAL SERVICES -- (CONTINUED)
32,500 Household International Inc. ............ $ 1,483
21,900 Lehman Brothers Holdings Inc. ........... 1,309
25,800 Marsh & McLennan Companies Inc. ......... 1,914
80,500 MBNA Corporation......................... 1,922
24,200 Merrill Lynch & Company Inc. ............ 2,140
47,400 Morgan Stanley Dean Witter & Company..... 4,737
9,500 Providian Financial Corporation.......... 1,045
17,500 Synovus Financial Corporation............ 358
13,400 Transamerica Corporation................. 951
53,800 Washington Mutual, Inc. ................. 2,199
--------
38,769
--------
FOOD PRODUCERS -- 0.8%
20,000 Bestfoods................................ 940
34,000 ConAgra Inc. ............................ 869
11,100 General Mills Inc. ...................... 839
25,400 H.J. Heinz Company....................... 1,204
7,900 Quaker Oats Company...................... 494
18,700 Ralston Purina Group..................... 499
45,700 Sara Lee Corporation..................... 1,131
--------
5,976
--------
FOREST AND PAPER PRODUCTS -- 0.5%
28,800 Boise Cascade Corporation................ 929
17,100 Fort James Corporation................... 542
11,600 Georgia-Pacific Corporation.............. 861
40,200 Louisiana Pacific Corporation............ 749
3,000 Temple-Inland Inc. ...................... 188
7,300 Weyerhaeuser Company..................... 405
--------
3,674
--------
FURNITURE AND APPLIANCES -- 0.4%
12,000 Black & Decker Corporation............... 665
21,200 Maytag Corporation....................... 1,280
19,600 Whirlpool Corporation.................... 1,066
--------
3,011
--------
HOUSEHOLD PRODUCTS -- 0.1%
7,200 Clorox Company........................... 844
--------
INSURANCE -- 3.8%
10,700 Aetna Life and Casualty Company.......... 888
86,700 Allstate Corporation..................... 3,213
79,100 American International Group, Inc. ...... 9,541
17,500 AON Corporation.......................... 1,107
14,600 CIGNA Corporation........................ 1,224
70,500 Conseco Inc. ............................ 2,177
16,900 Hartford Financial Services Group,
Inc. ................................... 960
17,800 Jefferson-Pilot Corporation.............. 1,206
24,900 Lincoln National Corporation Ltd. ....... 2,462
10,600 Loews Corporation........................ 791
9,200 MBIA Inc. ............................... 534
26,700 MGIC Investment Corporation.............. 936
5,200 Progressive Corporation.................. 746
16,800 Provident Companies Inc. ................ 581
11,300 Torchmark Corporation.................... 357
10,300 Unum Corporation......................... 490
--------
27,213
--------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
MACHINERY AND EQUIPMENT -- 1.3%
22,800 Briggs & Stratton Corporation............ $ 1,124
12,000 Caterpillar Inc. ........................ 551
10,600 Cooper Industries Inc. .................. 452
7,900 Cummins Engine Company, Inc. ............ 281
25,200 Deere & Company.......................... 973
22,300 Foster Wheeler Corporation............... 270
19,300 Illinois Tool Works, Inc. ............... 1,194
49,200 Ingersoll-Rand Company................... 2,443
17,600 Milacron Inc. ........................... 277
9,800 NACCO Industries Inc., Class A........... 726
15,900 Parker Hannifin Corporation.............. 545
10,500 Thermo Electron Corporation++............ 142
--------
8,978
--------
MANUFACTURING -- 0.1%
9,600 Danaher Corporation...................... 502
--------
MEDIA -- 1.4%
47,700 CBS Corporation++........................ 1,953
15,200 Comcast Corporation, Class A............. 957
22,600 MediaOne Group, Inc. .................... 1,435
11,700 Omnicom Group............................ 935
62,500 Time Warner Inc. ........................ 4,441
--------
9,721
--------
MEDICAL PRODUCTS AND SUPPLIES -- 2.9%
83,600 Abbott Laboratories...................... 3,914
21,300 Allergan, Inc. .......................... 1,872
3,800 Bausch & Lomb Inc. ...................... 247
12,500 Baxter International Inc. ............... 825
8,400 Becton Dickinson & Company............... 322
14,200 Cardinal Health, Inc. ................... 937
29,100 Guidant Corporation...................... 1,761
85,100 Johnson & Johnson........................ 7,972
33,900 Medtronic, Inc. ......................... 2,432
28,800 St. Jude Medical Inc.++.................. 702
--------
20,984
--------
MEDICAL SERVICES -- 0.9%
45,500 Columbia/HCA Healthcare Corporation...... 862
10,900 HBO & Company, Inc. ..................... 719
17,600 HCR Manor Care, Inc.++................... 402
109,100 HEALTHSOUTH Corporation++................ 1,132
62,600 Humana Inc.++............................ 1,080
23,900 Tenet Healthcare Corporation++........... 453
30,200 United Healthcare Corporation............ 1,588
--------
6,236
--------
METALS AND MINING -- 0.4%
15,300 Alcan Aluminium Ltd. .................... 395
24,200 Alcoa Inc. .............................. 997
24,500 Barrick Gold Corporation................. 418
52,400 Placer Dome Inc. ........................ 586
4,800 Reynolds Metals Company.................. 232
--------
2,628
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 35
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
NETWORKING EQUIPMENT AND PRODUCTS -- 1.8%
13,400 Ascend Communications, Inc.++............ $ 1,121
109,300 Cisco Systems, Inc.++.................... 11,976
--------
13,097
--------
OFFICE EQUIPMENT -- 0.4%
5,100 Moore Corporation Ltd. .................. 50
11,800 Pitney Bowes, Inc. ...................... 752
44,800 Xerox Corporation........................ 2,392
--------
3,194
--------
OIL -- DOMESTIC -- 0.3%
4,700 Ashland Inc. ............................ 192
13,700 Coastal Corporation...................... 452
5,500 Columbia Energy Group.................... 287
14,600 Sunoco, Inc. ............................ 527
16,400 USX-Marathon Group Inc. ................. 451
--------
1,909
--------
OIL -- INTERNATIONAL -- 3.3%
36,100 Chevron Corporation...................... 3,193
145,700 Exxon Corporation........................ 10,281
37,000 Mobil Corporation........................ 3,256
114,700 Royal Dutch Petroleum Company............ 5,964
14,500 Texaco Inc. ............................. 823
--------
23,517
--------
OIL FIELD SERVICES & EQUIPMENT -- 0.0%+
14,500 Sempra Energy............................ 278
--------
PHOTO AND OPTICAL -- 0.2%
22,900 Eastman Kodak Company.................... 1,463
--------
PRINTING AND PUBLISHING -- 0.8%
18,800 American Greetings Corporation, Class
A....................................... 477
25,900 Deluxe Corporation....................... 754
5,000 Dun & Bradstreet Corporation............. 178
21,400 Gannett Company, Inc. ................... 1,348
28,500 Knight-Ridder Inc. ...................... 1,425
13,800 McGraw-Hill Companies, Inc. ............. 752
4,900 Meredith Corporation..................... 154
22,100 New York Times Company, Class A.......... 630
10,300 R.R. Donnelley & Sons Company............ 332
--------
6,050
--------
PROFESSIONAL SERVICES -- 0.1%
9,900 Interpublic Group Companies, Inc. ....... 771
17,600 Service Corporation International........ 251
--------
1,022
--------
RECREATION -- 1.4%
22,600 Brunswick Corporation.................... 431
41,300 Carnival Corporation..................... 2,006
30,600 Fleetwood Enterprises Inc. .............. 876
9,100 Harrah's Entertainment Inc.++............ 173
10,800 Hasbro, Inc. ............................ 313
15,700 King World Productions Inc.++............ 480
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
RECREATION -- (CONTINUED)
30,200 Viacom Inc., Class B..................... $ 2,535
96,300 Walt Disney Company...................... 2,996
--------
9,810
--------
RESTAURANTS AND LODGING -- 0.9%
93,300 Cendant Corporation++.................... 1,469
43,700 Darden Restaurants Inc. ................. 901
82,400 McDonald's Corporation................... 3,735
8,500 Tricon Global Restaurants Inc. .......... 597
--------
6,702
--------
RETAIL -- FOOD -- 0.7%
17,400 Albertson's Inc. ........................ 945
17,100 American Stores Company.................. 564
22,100 Kroger Company++......................... 1,323
33,900 Safeway, Inc.++.......................... 1,740
36,400 Supervalu Inc. .......................... 751
--------
5,323
--------
RETAIL -- GENERAL -- 3.4%
6,500 Consolidated Stores Corporation++........ 197
12,000 Costco Companies Inc.++.................. 1,099
35,400 Dayton Hudson Corporation................ 2,358
37,200 Dillards, Inc., Class A.................. 944
41,700 Federated Department Stores, Inc. ....... 1,673
1,600 J.C. Penney Company, Inc. ............... 65
61,900 K Mart Corporation++..................... 1,041
12,000 May Department Stores Company............ 470
27,300 Sears, Roebuck and Company............... 1,234
36,200 Toys R US Inc.++......................... 681
155,400 Wal-Mart Stores, Inc. ................... 14,325
--------
24,087
--------
RETAIL -- SPECIALTY -- 2.9%
7,100 Circuit City Stores -- Circuit City
Group................................... 544
26,600 CVS Corporation.......................... 1,264
10,900 Fred Meyer, Inc.++....................... 642
43,600 Gap Inc. ................................ 2,935
103,200 Home Depot Inc. ......................... 6,423
22,400 Limited Inc. ............................ 888
12,500 Longs Drug Stores Corporation............ 380
26,300 Lowe's Companies Inc. ................... 1,591
10,200 Nordstrom Inc. .......................... 417
22,800 Rite Aid Corporation..................... 570
31,900 Staples Inc.++........................... 1,049
8,300 Tandy Corporation........................ 530
58,000 TJX Companies Inc. ...................... 1,972
44,300 Walgreen Company......................... 1,251
--------
20,456
--------
SEMICONDUCTORS -- 2.4%
45,800 Advanced Micro Devices++................. 710
114,800 Intel Corporation........................ 13,646
27,300 Texas Instruments Inc. .................. 2,710
--------
17,066
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 36
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
STEEL -- 0.0%+
13,100 Allegheny Teledyne Inc. ................. $ 248
6,300 Worthington Industries................... 74
--------
322
--------
TELECOMMUNICATIONS -- 3.2%
62,600 America Online Inc. ..................... 9,140
8,400 General Instruments Corporation.......... 255
88,400 Lucent Technologies, Inc. ............... 9,524
46,300 Northern Telecommunications Ltd. ........ 2,876
12,600 Tellabs, Inc.++.......................... 1,232
--------
23,027
--------
TOBACCO -- 0.8%
153,000 Philip Morris Companies Inc. ............ 5,383
22,300 RJR Nabisco Holdings Corporation......... 558
--------
5,941
--------
TRANSPORTATION -- 1.1%
15,100 AMR Corporation++........................ 884
69,600 Burlington Northern Santa Fe Inc. ....... 2,288
20,400 Delta Air Lines, Inc. ................... 1,418
12,600 FDX Corporation++........................ 1,169
39,400 Southwest Airlines Company............... 1,192
13,900 Union Pacific Corporation................ 743
6,200 US Airways Group Inc. ................... 303
--------
7,997
--------
TRUCKING AND SHIPPING -- 0.1%
19,600 Ryder System Inc. ....................... 541
--------
UTILITIES -- NATURAL GAS -- 0.1%
12,700 Baltimore Gas and Electric............... 322
6,700 Consolidated Natural Gas Company......... 326
3,300 NICOR Inc. .............................. 119
--------
767
--------
UTILITIES -- TELEPHONE -- 8.5%
40,200 AirTouch Communications, Inc. ........... 3,884
19,400 ALLTEL Corporation....................... 1,210
78,200 Ameritech Corporation.................... 4,526
158,490 AT&T Corporation......................... 12,648
107,900 Bell Atlantic Corporation................ 5,577
143,000 BellSouth Corporation.................... 5,729
69,100 GTE Corporation.......................... 4,181
127,500 MCI Worldcom, Inc.++..................... 11,292
134,000 SBC Communications Inc. ................. 6,315
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
UTILITIES -- TELEPHONE -- (CONTINUED)
29,300 Sprint Corporation (FON Group)........... $ 2,875
31,000 Sprint Corporation (PCS Group)........... 1,374
35,400 U.S. West Inc. .......................... 1,949
--------
61,560
--------
WASTE MANAGEMENT -- 0.3%
40,600 Waste Management Inc. ................... 1,802
--------
TOTAL COMMON STOCKS
(Cost $483,678)......................... 712,198
--------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.1%
(Cost $396)
U.S. TREASURY BILLS -- 0.1%
$ 400 4.110%** 06/24/99++...................... 396
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 3.1%
(Cost $21,877)
21,877 Nations Cash Reserves#.............. 21,877
-----
TOTAL INVESTMENTS
(Cost $505,951*).................... 102.4% 734,471
--------
OTHER ASSETS AND (2.4)%
LIABILITIES (NET)..................
Cash....................................... $ 1
Receivable for Fund shares sold............ 244
Dividends receivable....................... 782
Interest receivable........................ 22
Unamortized organization costs............. 5
Prepaid expenses........................... 8
Collateral on securities loaned............ (17,162)
Variation margin........................... (84)
Payable for Fund shares redeemed........... (846)
Investment advisory fee payable............ (88)
Administration fee payable................. (114)
Shareholder servicing and distribution
fees payable.............................. (12)
Accrued Trustees' fees and expenses........ (10)
Accrued expenses and other liabilities..... (143)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)......................... (17,397)
--------
NET ASSETS.......................... 100.0% $717,074
========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 37
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
(000)
- -------------------------------------------------------------------
<C> <S> <C> <C>
NET ASSETS CONSIST OF:
Accumulated net realized loss on
investments sold and futures contracts.... $ (2,566)
Net unrealized appreciation of investments
and futures contracts..................... 228,442
Paid-in capital............................ 491,198
--------
NET ASSETS................................. $717,074
========
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share ($665,630,750/34,330,242
shares outstanding)....................... $19.39
------
------
PRIMARY B SHARES:
Net asset value, offering and redemption
price per share ($4,118/213 shares
outstanding).............................. $19.38
------
------
INVESTOR A SHARES:
Net asset value, offering and redemption
price per share ($51,438,659/2,652,883
shares outstanding)....................... $19.39
------
------
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $243,569 and gross
depreciation of $16,542 for Federal income tax purposes. At March 31, 1999,
the aggregate cost of securities for Federal income tax purposes was
$507,444.
** Rate represents annualized yield at date of purchase.
++ Non-income producing security.
++ Security segregated as collateral for futures contracts.
+ Amount represents less than 0.1%.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 8). The portion that represents cash collateral is
$17,162.
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE> 38
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 101.9%
ADVERTISING AND MARKETING SERVICES -- 0.1%
950 Cyrk, Inc. .................................... $ 7
------
APPAREL AND TEXTILES -- 3.5%
900 Brown Group Inc. .............................. 12
1,450 Cone Mills Corporation......................... 7
1,300 Delta Woodside Industries Inc. ................ 6
1,000 Footstar Inc. ................................. 31
700 Galey & Lord, Inc. ............................ 3
1,100 Guilford Mills Inc. ........................... 10
500 Haggar Corporation............................. 5
1,800 Hartmarx Corporation++......................... 9
950 J. Baker Inc. ................................. 4
700 K-Swiss Inc. .................................. 18
400 Oxford Industries Inc. ........................ 10
1,250 Phillips-Van Heusen Corporation................ 9
2,100 Stride Rite Corporation........................ 25
400 Timberland Company, Class A++.................. 25
------
174
------
AUTOMOBILE PARTS MANUFACTURERS -- 1.9%
256 Borg-Warner Automotive, Inc. .................. 12
1,250 Intermet Corporation........................... 17
900 Myers Industries Inc. ......................... 18
400 Simpson Industries............................. 4
300 Spartan Motors Inc. ........................... 2
650 Standard Motor Products, Inc. ................. 13
400 Standard Products Company...................... 7
1,250 TBC Corporation++.............................. 8
950 Titan International Inc. ...................... 7
400 Wynn's International Inc. ..................... 7
------
95
------
AUTOMOBILES AND TRUCKS -- 0.1%
750 Walbro Corporation++........................... 7
------
BANKING -- 3.2%
600 BankNorth Group Inc. .......................... 17
700 Carolina First Corporation..................... 15
1,350 Downey Financial Corporation................... 25
1,200 MAF Bancorp Inc. .............................. 27
1,400 Provident Bankshares Corporation............... 36
1,350 Silicon Valley Bancshares++.................... 28
650 Susquehanna Bancshares Inc. ................... 12
------
160
------
BEVERAGES -- 0.8%
750 Canandaigua Brands Inc., Class A++............. 38
------
BUILDING MATERIALS -- 3.3%
850 Building Materials Holding Corporation++....... 9
150 Butler Manufacturing Company................... 4
900 Champion Enterprises Inc.++.................... 17
500 Florida Rock Industries........................ 17
1,100 Hughes Supply Inc. ............................ 24
800 Insteel Industries, Inc. ...................... 5
600 Lone Star Industries........................... 19
350 Skyline Corporation............................ 10
700 Texas Industries Inc. ......................... 17
1,150 Universal Forest Products...................... 23
1,200 Watsco Inc. ................................... 18
------
163
------
BUSINESS SERVICES -- 0.3%
1,150 CustomTracks Corporation++..................... 17
------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
CHEMICALS -- BASIC -- 0.3%
650 Cambrex Corporation............................ $ 14
------
CHEMICALS -- SPECIALTY -- 1.6%
350 Chemed Corporation............................. 9
800 ChemFirst Inc. ................................ 19
1,050 Hauser Inc.++.................................. 3
550 McWhorter Technologies Inc. ................... 7
950 OM Group, Inc. ................................ 31
450 Penford Corporation............................ 7
750 TETRA Technologies Inc. ....................... 5
------
81
------
COMMERCIAL SERVICES -- 0.8%
650 Insurance Auto Auctions Inc. .................. 8
2,300 Interim Services Inc.++........................ 34
------
42
------
COMPUTER RELATED -- 1.1%
650 BancTec Inc. .................................. 8
1,700 Exabyte Corporation............................ 8
850 Hutchinson Technology, Inc.++.................. 21
1,350 Standard Microsystems Corporation.............. 11
650 Wall Data Inc. ................................ 9
------
57
------
COMPUTER SERVICES -- 0.9%
1,100 Gerber Scientific Inc. ........................ 22
1,000 Primark Corporation++.......................... 21
------
43
------
CONSTRUCTION -- 4.2%
2,600 D.R. Horton Inc. .............................. 43
650 Insituform Technologies Inc., Class A.......... 11
1,000 M.D.C. Holdings, Inc. ......................... 14
2,650 Morrison Knudsen Corporation................... 26
850 Ryland Group Inc. ............................. 22
900 Southern Energy Homes Inc.++................... 5
1,250 Standard Pacific Corporation................... 16
250 Stone & Webster Inc. .......................... 6
850 TJ International Inc. ......................... 21
1,300 Toll Brothers Inc.++........................... 24
650 U.S. Home Corporation++........................ 21
------
209
------
CONSUMER GOODS AND SERVICES -- 4.8%
450 Angelica Corporation........................... 6
2,450 Fedders Corporation............................ 12
300 Gibson Greetings Inc.++........................ 2
850 Harman International Industries................ 31
1,700 Kaman Corporation.............................. 22
1,050 Kellwood Company............................... 23
2,300 La-Z-Boy Inc. ................................. 44
1,750 Oakwood Homes Corporation...................... 25
900 Richfood Holdings Inc. ........................ 19
950 Royal Appliance Manufacturing Company++........ 4
1,350 Smithfield Foods Inc.++........................ 31
500 Swiss Army Brands, Inc.++...................... 5
900 Thomas Industries Inc. ........................ 17
------
241
------
CONTAINERS -- 0.9%
1,700 AptarGroup Inc. ............................... 44
------
DISTRIBUTION AND WHOLESALE -- 0.1%
200 Lawson Products................................ 4
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE> 39
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
DIVERSIFIED -- 1.4%
1,550 Justin Industries Inc. ........................ $ 17
1,250 Sierra Pacific Resources....................... 44
400 Standex International Corporation.............. 9
------
70
------
DRUGS -- 2.4%
950 Alpharma Inc., Class A......................... 37
800 Bindley Western Industries..................... 23
1,600 Regeneron Pharmaceuticals, Inc. ............... 11
1,350 Roberts Pharmaceutical Corporation............. 28
800 Syncor International Corporation............... 22
------
121
------
ELECTRIC POWER -- 2.7%
450 Bangor Hydro-Electric Company.................. 6
250 Central Vermont Public Services................ 3
650 CILCORP Inc. .................................. 38
900 Commonwealth Energy System Companies........... 35
700 Eastern Utilities Association.................. 20
100 Green Mountain Power Corporation............... 1
500 TNP Enterprises Inc. .......................... 14
450 United Illuminating Company.................... 19
------
136
------
ELECTRICAL EQUIPMENT -- 0.8%
1,020 Intermagnetics General Corporation++........... 8
1,850 KEMET Corporation++............................ 22
350 Park Electrochemical Corporation............... 8
------
38
------
ELECTRONICS -- 5.1%
300 Analogic Corporation........................... 10
550 Bell Industries, Inc.++........................ 6
400 Benchmark Electronics Inc.++................... 12
1,650 Checkpoint Systems Inc.++...................... 14
250 CTS Corporation................................ 12
850 Dallas Semiconductor Corporation............... 34
500 Electro Scientific Industries, Inc. ........... 23
400 Etec Systems, Inc. ............................ 12
400 Hadco Corporation.............................. 13
500 Itron Inc. .................................... 5
1,500 Kent Electronics Corporation++................. 15
650 Kulicke & Soffa Industries Inc.++.............. 16
750 Methode Electronics Inc. ...................... 8
800 Oak Industries Inc.++.......................... 25
1,500 Pioneer Standard Electronics................... 10
650 Speedfam International Inc. ................... 8
1,500 VLSI Technology Inc. .......................... 29
------
252
------
ENERGY -- 0.9%
1,100 Barrett Resources Corporation++................ 27
1,600 Dames & Moore Group, Inc. ..................... 18
------
45
------
ENTERTAINMENT -- 0.3%
429 MGM Grand, Inc. ............................... 14
------
ENVIRONMENTAL -- 1.3%
300 American States Water Company.................. 7
1,000 Clarcor Inc. .................................. 17
1,350 IMCO Recycling Inc. ........................... 17
700 Ionics Inc.++.................................. 22
------
63
------
EXPLORATION AND DRILLING -- 1.4%
1,500 Energen Corporation............................ 23
500 Northwest Natural Gas Company.................. 11
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
2,350 Santa Fe Energy Resources, Inc. ............... $ 17
700 Snyder Oil Corporation......................... 10
1,250 Southwestern Energy Company.................... 9
------
70
------
FINANCIAL SERVICES -- 4.1%
1,700 AMRESCO Inc. .................................. 13
2,400 Commercial Federal Corporation................. 56
600 Dain Rauscher Corporation...................... 20
1,700 Enhance Financial Services Group Inc. ......... 39
350 JSB Financial Inc. ............................ 18
700 Raymond James Financial, Inc. ................. 14
1,150 Riggs National Corporation..................... 19
1,250 St. Paul Bancorp Inc. ......................... 27
------
206
------
FOOD PRODUCERS -- 1.9%
2,550 Chiquita Brands International Inc. ............ 26
1,300 Corn Products International Inc. .............. 31
750 J & J Snack Foods Corporation++................ 15
1,250 Ralcorp Holdings, Inc. ........................ 24
------
96
------
FOREST AND PAPER PRODUCTS -- 0.0%+
250 Pope & Talbot Inc. ............................ 2
------
FURNITURE AND APPLIANCES -- 1.4%
700 Bassett Furniture Industries, Inc. ............ 15
3,100 Interface Inc. ................................ 31
1,000 Juno Lighting Inc. ............................ 22
------
68
------
GAS AND ELECTRIC -- 1.0%
850 Central Hudson Gas & Electric.................. 31
350 Orange & Rockland Utilities Inc. .............. 20
------
51
------
HOUSEHOLD PRODUCTS -- 0.1%
150 National Presto Industries, Inc. .............. 5
------
INDUSTRIAL -- BASIC -- 0.3%
700 Geon Company................................... 16
------
INSURANCE -- 6.0%
1,250 Capital Re Corporation......................... 22
250 CompDent Corporation........................... 3
918 Delphi Financial Group Inc., Class A........... 31
500 Executive Risk Inc. ........................... 36
2,900 Fremont General Corporation.................... 55
1,600 Frontier Insurance Group Inc. ................. 19
850 NAC Re Corporation............................. 46
1,000 Orion Capital Corporation...................... 31
900 Selective Insurance Group...................... 16
1,550 Sierra Health Services, Inc.++................. 20
450 Trenwick Group Inc. ........................... 13
------
292
------
MACHINERY AND EQUIPMENT -- 0.8%
950 Applied Industrial Technologies, Inc. ......... 11
200 CPI Corporation................................ 4
2,300 Paxar Corporation++............................ 17
450 Robbins & Myers, Inc. ......................... 8
------
40
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 40
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MANUFACTURING -- 1.9%
1,400 A. O. Smith Corporation........................ $ 27
800 Belden Inc. ................................... 14
850 Cross (A.T.) Company........................... 6
750 Dixie Group Inc. .............................. 5
1,050 Griffon Corporation............................ 7
500 Integrated Circuit Systems Inc.++.............. 9
1,700 O'Sullivan Corporation......................... 14
1,000 Vicor Corporation++............................ 13
------
95
------
MEDICAL PRODUCTS AND SUPPLIES -- 2.8%
300 Datascope Corporation++........................ 8
600 Diagnostic Products Corporation................ 15
600 Hologic, Inc.++................................ 5
1,000 Maxxim Medical, Inc. .......................... 19
358 Priority Healthcare Corporation................ 16
600 SpaceLabs Medical Inc. ........................ 10
1,800 Summit Technology Inc.++....................... 20
1,550 Sunrise Medical Inc.++......................... 10
1,000 Vertex Pharmaceuticals Inc.++.................. 24
750 Vital Signs Inc. .............................. 14
------
141
------
MEDICAL SERVICES -- 1.7%
1,400 American Oncology Resources, Inc.++............ 13
1,150 Coherent Inc.++................................ 15
1,550 Genesis Health Ventures, Inc.++................ 8
1,950 Integrated Health Services Inc.++.............. 11
850 NCS Healthcare Inc., Class A................... 10
3,100 PhyCor Inc.++.................................. 14
850 Protein Design Labs Inc. ...................... 13
------
84
------
METALS AND MINING -- 3.0%
800 Amcast Industrial Corporation.................. 13
1,450 AMCOL International Corporation................ 15
350 Brush Wellman Inc. ............................ 5
450 Coeur D'alene Mines Corporation++.............. 2
900 Commercial Metals Company...................... 18
350 Commonwealth Industries, Inc. ................. 3
850 Getchell Gold Corporation...................... 22
900 Material Sciences Corporation++................ 6
600 Quanex Corporation............................. 9
700 Reliance Steel & Aluminum Company.............. 20
950 RTI International Metals, Inc.++............... 9
950 Steel Technologies Inc. ....................... 7
900 WHX Corporation................................ 7
600 Wolverine Tube Inc. ........................... 13
------
149
------
OFFICE EQUIPMENT -- 1.0%
950 Brady Corporation.............................. 20
1,800 John H. Harland Company........................ 23
600 Nashua Corporation++........................... 7
------
50
------
OIL AND GAS -- 3.6%
550 Daniel Industries.............................. 8
1,050 Devon Energy Corporation....................... 30
2,300 Input/Output, Inc.++........................... 15
400 New Jersey Resources Corporation............... 14
1,450 Oceaneering International Inc. ................ 22
1,000 Pool Energy Services Company................... 15
2,350 Pride International Inc. ...................... 19
1,450 Seitel Inc.++.................................. 20
1,900 Vintage Petroleum Inc. ........................ 17
950 Wicor Inc. .................................... 19
------
179
------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
OIL AND GAS -- (CONTINUED)
PRINTING AND PUBLISHING -- 1.3%
1,800 Bowne & Co. Inc. .............................. $ 21
1,000 Thomas Nelson, Inc. ........................... 10
1,550 World Color Press Inc. ........................ 33
------
64
------
PROFESSIONAL SERVICES -- 0.9%
900 Franklin Covey Company......................... 8
1,200 Norrell Corporation............................ 16
1,350 Offshore Logistics Inc.++...................... 16
450 Volt Information Sciences Inc.++............... 7
------
47
------
PROTECTION AND SAFETY SERVICES -- 0.1%
800 Rural/Metro Corporation........................ 6
------
RECREATION -- 1.7%
1,350 Arctic Cat Inc. ............................... 13
2,100 Aztar Corporation.............................. 10
550 Carmike Cinemas Inc., Class A.................. 10
1,350 Hollywood Park Inc.++.......................... 14
250 Huffy Corporation.............................. 3
600 K2 Inc. ....................................... 5
2,150 Players International, Inc.++.................. 13
1,350 Winnebago Industries........................... 19
------
87
------
RESTAURANTS AND LODGING -- 3.8%
1,250 Applebees International Inc. .................. 31
800 Au Bon Pain Company, Inc. ..................... 4
1,100 CKE Restaurant Inc. ........................... 22
400 IHOP Corporation............................... 16
1,250 Landry's Seafood Restaurants, Inc.++........... 8
1,350 Marcus Corporation............................. 16
2,100 Prime Hospitality Corporation++................ 21
1,600 Ruby Tuesday Inc. ............................. 28
2,150 Ryan's Family Steak Houses Inc.++.............. 26
1,500 Taco Cabana, Inc., Class A++................... 13
1,200 TCBY Enterprises Inc. ......................... 7
------
192
------
RETAIL -- FOOD -- 1.0%
1,750 Earthgrains Company............................ 39
800 Fleming Companies Inc. ........................ 7
600 Nash-Finch Company............................. 5
------
51
------
RETAIL -- GENERAL -- 1.0%
1,000 Cash America Investments Inc. ................. 13
950 MicroAge Inc.++................................ 5
1,050 ShopKo Stores, Inc.++.......................... 31
------
49
------
RETAIL -- SPECIALTY -- 6.0%
1,100 AnnTaylor Stores Corporation................... 49
1,650 Cato Corporation............................... 15
500 Discount Auto Parts Inc. ...................... 11
850 Dress Barn Inc.++.............................. 12
1,050 Eagle Hardware & Garden Inc.++................. 40
750 Gottschalks Inc.++............................. 5
1,350 Gymboree Corporation++......................... 12
1,550 Jan Bell Marketing Inc.++...................... 7
850 Jo-Ann Stores Inc.++........................... 12
1,800 Just For Feet Inc.++........................... 23
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE> 41
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL -- SPECIALTY -- (CONTINUED)
1,350 Michaels Stores Inc. .......................... $ 33
1,700 Pier 1 Imports Inc. ........................... 14
1,950 The Bombay Company, Inc.++..................... 8
650 The Sports Authority Inc.++.................... 5
1,450 Zale Corporation............................... 49
------
295
------
SEMICONDUCTORS -- 1.2%
2,000 International Rectifier Corporation++.......... 14
700 Lattice Semiconductor Corporation++............ 32
450 Watkins-Johnson Company........................ 10
216 Zilog Inc.++................................... 2
------
58
------
TECHNOLOGY -- 0.8%
1,450 Digital Microwave Corporation++................ 12
1,650 Komag Inc.++................................... 7
750 Marshall Industries++.......................... 10
1,150 S3 Inc.++...................................... 9
------
38
------
TELECOMMUNICATIONS -- 1.0%
1,300 Allen Telecom Inc.++........................... 8
150 Centigram Communications Corporation........... 1
3,000 General Communication, Inc., Class A........... 14
900 Network Equipment Technologies Inc. ........... 8
1,750 Picturetel Corporation++....................... 12
1,100 SymmetriCom Inc. .............................. 7
------
50
------
TRANSPORTATION -- 2.4%
800 Air Express International Corporation.......... 12
1,550 American Freightways Corporation++............. 20
1,700 Fritz Companies, Inc.++........................ 12
750 Kirby Corporation.............................. 14
900 Mesa Air Group Inc.++.......................... 6
900 Pittston BAX Group............................. 6
800 Railtex Inc. .................................. 9
1,250 U.S. Freightways Corporation................... 41
------
120
------
TRUCKING AND SHIPPING -- 2.3%
1,100 Arkansas Best Corporation...................... 7
900 Frozen Food Express Industries, Inc. .......... 6
650 M.S. Carriers Inc.++........................... 17
2,650 Rollins Truck Leasing Corporation.............. 25
1,150 Wabash National Corporation.................... 13
2,150 Werner Enterprises Inc. ....................... 35
600 Yellow Corporation++........................... 10
------
113
------
UTILITIES -- NATURAL GAS -- 2.5%
800 Atmos Energy Corporation....................... 19
850 Cascade Natural Gas Corporation................ 13
400 Connecticut Energy Corporation................. 10
900 Piedmont Natural Gas Company, Inc. ............ 32
1,550 Southwest Gas Corporation...................... 42
600 Valmont Industries Inc. ....................... 8
------
124
------
UTILITIES -- WATER -- 0.6%
1,550 United Water Resources Inc. ................... 32
------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
WASTE MANAGEMENT -- 0.5%
1,350 Superior Services Inc. ........................ $ 27
------
WIRE AND CABLE PRODUCTS -- 1.0%
1,550 Anixter International Inc.++................... 18
850 Barnes Group Inc. ............................. 16
1,500 Cable Design Technologies Corporation++........ 17
------
51
------
TOTAL COMMON STOCKS
(Cost $5,764)................................. 5,083
------
SHARES
(000)
- ------
INVESTMENT COMPANIES -- 0.6%
(Cost $32)
32 Nations Cash Reserves#......................... 32
------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS
(Cost $5,796*)........................... 102.5% 5,115
------
OTHER ASSETS AND LIABILITIES (NET)....... (2.5)%
Receivable for investment securities sold....... $ 8
Dividends receivable............................ 3
Receivable from investment advisor.............. 10
Prepaid expenses and other assets............... 48
Payable for Fund shares redeemed................ (184)
Administration fee payable...................... (1)
Accrued Trustees' fees and expenses............. (8)
Accrued expenses and other liabilities.......... (2)
------
TOTAL OTHER ASSETS AND LIABILITIES (NET)........ (126)
------
NET ASSETS............................... 100.0% $4,989
======
NET ASSETS CONSIST OF:
Undistributed net investment income............. $ 6
Accumulated net realized loss on investments
sold........................................... (83)
Net unrealized depreciation of investments...... (681)
Paid-in capital................................. 5,747
------
NET ASSETS...................................... $4,989
======
PRIMARY A SHARES:
Net asset value, offering and redemption price
per share ($3,084,382/343,485 shares
outstanding)................................... $8.98
======
INVESTOR A SHARES:
Net asset value, offering and redemption price
per share ($1,904,451/211,923 shares
outstanding)................................... $8.99
======
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $273 and gross depreciation
of $1,054 for Federal income tax purposes. At March 31, 1999, the aggregate
cost of securities for Federal income tax purposes was $5,896.
++ Non-income producing security.
+ Amount represents less than 0.1%.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 42
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 98.2%
ADVERTISING AND MARKETING SERVICES -- 1.1%
5,200 Catalina Marketing Corporation++......... $ 447
82,100 HA-LO Industries, Inc.++................. 1,010
29,400 True North Communications................ 827
--------
2,284
--------
AEROSPACE AND DEFENSE -- 1.1%
25,400 AAR Corporation.......................... 452
10,500 Alliant Techsystems Inc. ................ 816
33,300 BE Aerospace, Inc. ...................... 491
18,400 Orbital Sciences Corporation............. 521
--------
2,280
--------
APPAREL AND TEXTILES -- 4.7%
18,300 Authentic Fitness Corporation............ 283
18,600 Brown Group Inc. ........................ 245
32,500 Cone Mills Corporation................... 158
47,600 Delta Woodside Industries Inc. .......... 229
10,100 Footstar Inc. ........................... 323
13,600 Galey & Lord, Inc. ...................... 60
15,100 Guilford Mills Inc. ..................... 132
13,500 Haggar Corporation....................... 137
38,500 Hartmarx Corporation++................... 188
33,200 J. Baker Inc. ........................... 125
28,000 K-Swiss Inc. ............................ 707
24,500 Linens 'N Things Inc.++.................. 1,112
44,300 Mohawk Industries Inc.++................. 1,329
32,200 Nautica Enterprises Inc.++............... 364
29,200 Oshkosh B'Gosh Inc. ..................... 516
11,200 Oxford Industries Inc. .................. 273
22,000 Pacific Sunwear of California++.......... 765
40,000 Phillips-Van Heusen Corporation.......... 278
19,100 Pillowtex Corporation.................... 271
40,300 Stride Rite Corporation.................. 494
23,300 The Men's Wearhouse Inc.++............... 673
10,200 Timberland Company, Class A++............ 643
--------
9,305
--------
AUTOMOBILE PARTS MANUFACTURERS -- 1.3%
1,197 Borg-Warner Automotive, Inc. ............ 57
22,100 Intermet Corporation..................... 296
22,100 Myers Industries Inc. ................... 467
19,000 Simpson Industries....................... 183
11,600 Standard Motor Products, Inc. ........... 240
9,800 Standard Products Company................ 159
31,700 TBC Corporation++........................ 192
41,158 Tower Automotive, Inc. .................. 766
16,500 Wynn's International Inc. ............... 288
--------
2,648
--------
AUTOMOBILES AND TRUCKS -- 0.1%
16,000 Walbro Corporation++..................... 144
--------
BANKING -- 4.8%
17,400 Anchor Bancorp Wisconsin Inc. ........... 268
23,300 BankNorth Group Inc. .................... 658
9,800 Carolina First Corporation............... 216
13,700 Commerce Bancorp, Inc. .................. 565
13,900 Cullen Frost Bankers Inc. ............... 666
19,100 Downey Financial Corporation............. 350
8,300 First Midwest Bancorp Inc. .............. 315
23,200 Firstbank Corp. ......................... 558
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
BANKING -- (CONTINUED)
42,800 Firstmerit Corporation................... $ 1,103
23,100 HUBCO Inc. .............................. 775
23,900 MAF Bancorp Inc. ........................ 532
13,200 Provident Bankshares Corporation......... 345
14,900 Queens County Bancorp Inc. .............. 402
23,900 Silicon Valley Bancshares++.............. 494
6,100 Susquehanna Bancshares Inc. ............. 112
16,500 TrustCo Bank Corporation NY.............. 413
9,500 U.S. Trust Corporation................... 705
21,800 United Bankshares Inc. .................. 499
34,400 UST Corp................................. 751
--------
9,727
--------
BEVERAGES -- 0.5%
21,200 Canandaigua Brands Inc., Class A++....... 1,068
--------
BUILDING MATERIALS -- 2.2%
70,000 Building Materials Holding
Corporation++........................... 709
39,000 Champion Enterprises Inc.++.............. 756
11,200 Florida Rock Industries.................. 382
23,800 Hughes Supply Inc. ...................... 541
31,500 Insteel Industries, Inc. ................ 177
26,200 Lone Star Industries..................... 812
11,000 Republic Group Inc. ..................... 166
8,000 Skyline Corporation...................... 222
11,800 Universal Forest Products................ 242
22,100 Watsco Inc. ............................. 323
--------
4,330
--------
BUSINESS SERVICES -- 0.4%
16,100 Fair Issac & Company Inc. ............... 597
7,500 New England Business Service Inc. ....... 215
--------
812
--------
CHEMICALS -- BASIC -- 0.3%
18,400 Cambrex Corporation...................... 408
2,500 Scotts Company, Class A.................. 93
--------
501
--------
CHEMICALS -- SPECIALTY -- 0.9%
4,700 Chemed Corporation....................... 121
16,900 Lilly Industries Inc., Class A........... 261
17,700 MacDermid, Inc. ......................... 601
9,700 McWhorter Technologies Inc. ............. 132
13,100 OM Group, Inc. .......................... 432
16,800 Quaker Chemical Corporation.............. 237
--------
1,784
--------
COMMERCIAL SERVICES -- 1.7%
40,100 Computer Task Group Inc. ................ 857
53,000 Insurance Auto Auctions Inc. ............ 643
58,600 Interim Services Inc.++.................. 879
8,700 Lason Inc. .............................. 489
20,400 Prepaid Legal Services Inc.++............ 500
--------
3,368
--------
COMPUTER RELATED -- 3.1%
39,300 American Management Systems++............ 1,341
21,000 BancTec Inc. ............................ 259
38,200 Exabyte Corporation...................... 181
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE> 43
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
COMPUTER RELATED -- (CONTINUED)
22,100 Hutchinson Technology, Inc.++............ $ 550
15,100 Jack Henry & Associates.................. 555
23,550 Kronos Inc.++............................ 577
22,700 National Computer Systems Inc. .......... 556
37,700 Standard Microsystems Corporation........ 297
7,700 Wall Data Inc. .......................... 111
48,700 Xylan Corporation........................ 1,792
--------
6,219
--------
COMPUTER SERVICES -- 2.5%
50,600 Acxiom Corporation++..................... 1,341
58,100 Ciber Inc.++............................. 1,115
4,200 Factset Research Systems Inc. ........... 182
24,900 Gerber Scientific Inc. .................. 503
21,800 Primark Corporation++.................... 463
25,800 Technology Solutions Company++........... 184
10,400 The BISYS Group, Inc. ................... 585
30,300 Whittman-Hart, Inc.++.................... 651
--------
5,024
--------
COMPUTER SOFTWARE -- 2.5%
33,600 Avid Technology, Inc. ................... 586
12,200 Harbinger Corporation++.................. 82
23,000 HNC Software Inc.++...................... 753
55,900 Hyperion Solutions Corporation........... 811
25,800 Macromedia Inc.++........................ 1,168
18,600 Mercury Interactive Corporation++........ 663
15,400 Midway Games Inc. ....................... 134
93,000 Platinum Software Corporation++.......... 686
--------
4,883
--------
CONSTRUCTION -- 2.9%
62,100 D.R. Horton Inc. ........................ 1,040
14,800 Dycom Industries Inc.++.................. 644
37,100 Insituform Technologies Inc., Class A.... 649
23,900 M.D.C. Holdings, Inc. ................... 344
47,900 Morrison Knudsen Corporation............. 476
18,500 Ryland Group Inc. ....................... 468
20,300 Southern Energy Homes Inc.++............. 109
38,500 Standard Pacific Corporation............. 496
20,200 TJ International Inc. ................... 487
33,300 Toll Brothers Inc.++..................... 604
15,600 U.S. Home Corporation++.................. 509
--------
5,826
--------
CONSUMER GOODS AND SERVICES -- 3.1%
9,200 ABM Industries Inc. ..................... 281
18,300 ADVO Inc. ............................... 353
10,600 Angelica Corporation..................... 148
27,500 Fedders Corporation...................... 139
11,600 Gibson Greetings Inc.++.................. 85
13,900 Harman International Industries.......... 511
28,800 Kaman Corporation........................ 369
16,800 Kellwood Company......................... 371
58,100 La-Z-Boy Inc. ........................... 1,103
30,300 Oakwood Homes Corporation................ 426
30,600 Richfood Holdings Inc. .................. 660
12,400 Russ Berrie & Company Inc. .............. 324
29,600 Smithfield Foods Inc.++.................. 672
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
CONSUMER GOODS AND SERVICES -- (CONTINUED)
24,900 Thomas Industries Inc. .................. $ 467
29,900 Wolverine World Wide..................... 284
--------
6,193
--------
CONTAINERS -- 0.3%
26,300 AptarGroup Inc. ......................... 684
--------
CONTAINERS AND PACKAGING -- 0.1%
12,000 Shorewood Packaging Corporation++........ 236
--------
COSMETICS AND TOILETRIES -- 0.3%
32,900 Natures Sunshine Products Inc. .......... 362
52,900 NBTY Inc.++.............................. 258
--------
620
--------
DISTRIBUTION AND WHOLESALE -- 0.2%
71,700 Brightpoint Inc.++....................... 423
--------
DIVERSIFIED -- 1.1%
27,400 Justin Industries Inc. .................. 301
25,900 Sierra Pacific Resources................. 911
15,200 SPS Technologies Inc.++.................. 597
10,200 Standex International Corporation........ 223
5,100 Triarc Companies++....................... 89
--------
2,121
--------
DRUGS -- 4.3%
22,200 Alpharma Inc., Class A................... 871
29,600 Barr Laboratories, Inc.++................ 903
27,000 Bindley Western Industries............... 771
80,500 Bio-Technology General Corporation....... 480
37,000 Jones Pharma Inc. ....................... 1,286
34,900 Medimmune Inc.++......................... 2,066
14,500 Pharmaceutical Product Development,
Inc. ................................... 487
25,600 Regeneron Pharmaceuticals, Inc. ......... 170
42,900 Roberts Pharmaceutical Corporation....... 890
23,300 Syncor International Corporation......... 649
1,400 Watson Pharmaceutical, Inc.++............ 62
--------
8,635
--------
EDUCATION -- 0.4%
26,700 DeVry, Inc.++............................ 774
--------
ELECTRIC POWER -- 1.1%
16,500 Bangor Hydro-Electric Company............ 209
11,100 Central Vermont Public Services.......... 112
10,500 CILCORP Inc. ............................ 631
9,300 Eastern Utilities Association............ 263
12,800 TNP Enterprises Inc. .................... 368
12,800 United Illuminating Company.............. 537
--------
2,120
--------
ELECTRICAL EQUIPMENT -- 0.6%
13,100 C-COR Electronics++...................... 226
36,600 General Semiconductor, Inc.++............ 266
25,500 Intermagnetics General Corporation++..... 210
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE> 44
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRICAL EQUIPMENT -- (CONTINUED)
6,800 Micrel Inc.++............................ $ 341
4,400 Park Electrochemical Corporation......... 103
--------
1,146
--------
ELECTRONICS -- 4.4%
5,400 Analogic Corporation..................... 178
11,600 Bell Industries, Inc.++.................. 120
8,300 Benchmark Electronics Inc.++............. 249
22,500 Burr-Brown Corporation++................. 529
7,700 C-Cube Microsystems Inc.++............... 153
22,200 Checkpoint Systems Inc.++................ 185
15,500 CTS Corporation.......................... 766
11,500 Dallas Semiconductor Corporation......... 444
6,100 Dionex Corporation++..................... 230
4,400 Electro Scientific Industries, Inc. ..... 205
46,915 Gentex Corporation++..................... 1,012
5,400 Hadco Corporation........................ 170
7,000 Harmon Industries Inc. .................. 140
70,500 Intervoice Inc.++........................ 776
9,000 Kulicke & Soffa Industries Inc.++........ 227
8,000 Methode Electronics Inc. ................ 89
12,100 Oak Industries Inc.++.................... 384
30,700 Pioneer Standard Electronics............. 201
32,200 Sanmina Corporation++.................... 2,053
12,500 Technitrol Inc. ......................... 288
15,200 Unitrode Corporation++................... 216
9,500 VLSI Technology Inc. .................... 184
--------
8,799
--------
ENERGY -- 0.1%
25,800 Dames & Moore Group, Inc. ............... 289
--------
ENVIRONMENTAL -- 0.5%
5,900 American States Water Company............ 143
12,500 Clarcor Inc. ............................ 213
10,100 IMCO Recycling Inc. ..................... 130
19,800 Tetra Tech Inc.++........................ 417
--------
903
--------
EXPLORATION AND DRILLING -- 0.2%
29,400 Energen Corporation...................... 439
--------
FINANCIAL SERVICES -- 5.5%
64,800 Americredit Corporation++................ 851
33,600 AMRESCO Inc. ............................ 258
3,100 Astoria Financial Corporation............ 155
16,200 Centura Banks Inc. ...................... 943
22,700 CMAC Investment Corporation.............. 885
32,000 Commercial Federal Corporation........... 742
3,500 Dain Rauscher Corporation................ 119
15,800 Eaton Vance Corporation.................. 318
31,800 Enhance Financial Services Group Inc. ... 723
19,200 Jefferies Group Inc. .................... 911
6,700 JSB Financial Inc. ...................... 336
34,400 Legg Mason Inc. ......................... 1,159
18,800 Mutual Risk Management Ltd. ............. 719
39,700 Raymond James Financial, Inc. ........... 784
23,700 Riggs National Corporation............... 400
13,300 SEI Investment Company................... 1,231
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
FINANCIAL SERVICES -- (CONTINUED)
15,700 St. Paul Bancorp Inc. ................... $ 340
8,000 Whitney Holding Corporation.............. 295
--------
11,169
--------
FOOD PRODUCERS -- 0.7%
56,300 Chiquita Brands International Inc. ...... 574
11,800 J & J Snack Foods Corporation++.......... 237
28,200 Ralcorp Holdings, Inc. .................. 536
--------
1,347
--------
FOREST AND PAPER PRODUCTS -- 0.1%
9,000 Buckeye Technologies Inc.++.............. 126
6,700 Schweitzer-Mauduit International Inc. ... 77
--------
203
--------
FURNITURE AND APPLIANCES -- 0.9%
19,700 Ethan Allen Interiors, Inc. ............. 819
54,300 Interface Inc. .......................... 523
22,300 Juno Lighting Inc. ...................... 500
--------
1,842
--------
GAS AND ELECTRIC -- 0.4%
12,300 Central Hudson Gas & Electric............ 440
5,600 Orange & Rockland Utilities Inc. ........ 322
--------
762
--------
HEALTHCARE -- 0.7%
43,200 Coventry Health Care Inc.++.............. 324
6,100 MedQuist Inc.++.......................... 183
32,600 Orthodontic Centers of America++......... 513
11,800 Pediatrix Medical Group, Inc. ........... 332
--------
1,352
--------
HOUSEHOLD PRODUCTS -- 0.1%
24,800 USA Detergents, Inc. .................... 155
--------
INDUSTRIAL -- BASIC -- 0.2%
13,900 Geon Company............................. 316
--------
INSURANCE -- 3.9%
21,500 American Bankers Insurance Group,
Inc. ................................... 1,118
10,200 Arthur J. Gallagher & Company............ 469
30,000 Capital Re Corporation................... 518
5,800 CompDent Corporation..................... 73
22,995 Delphi Financial Group Inc., Class A..... 779
900 Executive Risk Inc. ..................... 64
32,400 Fidelity National Financial, Inc. ....... 486
52,500 First American Financial Corporation..... 830
64,200 Fremont General Corporation.............. 1,223
14,100 NAC Re Corporation....................... 757
22,900 Orion Capital Corporation................ 716
19,700 Selective Insurance Group................ 347
21,400 Sierra Health Services, Inc.++........... 278
7,300 Trenwick Group Inc. ..................... 205
--------
7,863
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE> 45
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MACHINERY AND EQUIPMENT -- 3.1%
34,600 Applied Power, Inc., Class A............. $ 942
25,600 Astec Industries Inc.++.................. 790
13,900 Baldor Electric Company.................. 280
21,600 Blount International, Inc., Class A...... 624
13,100 CPI Corporation.......................... 293
12,900 Flow International Corporation........... 127
20,100 Gardner Denver Machinery Inc.++.......... 319
11,500 Graco Inc. .............................. 254
42,000 JLG Industries Inc. ..................... 572
19,800 Manitowoc Company, Inc. ................. 829
26,600 Paxar Corporation++...................... 198
13,100 Regal Beloit............................. 237
31,100 Zebra Technologies Corporation++......... 739
--------
6,204
--------
MANUFACTURING -- 1.4%
25,900 A. O. Smith Corporation.................. 492
10,300 Belden Inc. ............................. 176
21,200 Dixie Group Inc. ........................ 151
17,500 Griffon Corporation...................... 120
14,000 Integrated Circuit Systems Inc.++........ 253
9,900 Libbey Inc. ............................. 307
17,500 O'Sullivan Corporation................... 144
4,000 Scott Technologies Inc.++................ 70
31,700 Tredegar Industries, Inc. ............... 981
--------
2,694
--------
MEDIA -- 0.4%
31,200 Xircom Inc. ............................. 784
--------
MEDICAL PRODUCTS AND SUPPLIES -- 2.8%
10,200 Ballard Medical Products................. 249
17,700 Cooper Companies Inc.++.................. 272
11,800 Datascope Corporation++.................. 319
10,100 Diagnostic Products Corporation.......... 245
30,446 Dura Pharmaceuticals Inc.++.............. 430
30,800 IDEXX Laboratories Inc.++................ 737
19,600 Liposome Company Inc. ................... 263
6,000 Maxxim Medical, Inc. .................... 113
18,300 Owens & Minor, Inc. ..................... 185
19,200 Patterson Dental Company++............... 830
8,000 Priority Healthcare Corporation.......... 362
35,900 Safeskin Corporation++................... 267
25,100 Sola International Inc. ................. 303
8,800 SpaceLabs Medical Inc. .................. 148
62,000 Summit Technology Inc.++................. 682
7,100 Vital Signs Inc. ........................ 128
--------
5,533
--------
MEDICAL SERVICES -- 3.3%
40,200 ADAC Laboratories Designs++.............. 548
26,700 American Oncology Resources, Inc.++...... 240
36,000 Cerner Corporation++..................... 578
24,500 Coherent Inc.++.......................... 337
17,900 Express Scripts Inc., Class A++.......... 1,538
34,800 Genesis Health Ventures, Inc.++.......... 170
47,800 Integrated Health Services Inc.++........ 263
19,400 Invacare Corporation..................... 472
42,000 NCS Healthcare Inc., Class A............. 504
74,800 PhyCor Inc.++............................ 355
1,000 Protein Design Labs Inc. ................ 15
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
MEDICAL SERVICES -- (CONTINUED)
26,700 Renal Care Group Inc.++.................. $ 524
22,200 Universal Health Services Inc., Class
B++..................................... 960
--------
6,504
--------
METALS AND MINING -- 1.8%
11,300 Amcast Industrial Corporation............ 182
30,800 AMCOL International Corporation.......... 308
14,900 Commercial Metals Company................ 298
10,200 Getchell Gold Corporation................ 267
32,000 Hecla Mining Company++................... 88
26,400 Mueller Industries Inc.++................ 590
19,400 Quanex Corporation....................... 301
16,000 Reliance Steel & Aluminum Company........ 461
7,000 RTI International Metals, Inc.++......... 66
16,600 Steel Technologies Inc. ................. 131
20,700 Stillwater Mining Company++.............. 546
17,000 WHX Corporation.......................... 134
12,500 Wolverine Tube Inc. ..................... 264
--------
3,636
--------
OFFICE EQUIPMENT -- 0.4%
12,000 Brady Corporation........................ 251
27,700 John H. Harland Company.................. 358
11,100 Nashua Corporation++..................... 128
--------
737
--------
OIL AND GAS -- 1.4%
23,700 Daniel Industries........................ 361
10,100 New Jersey Resources Corporation......... 359
32,000 Oceaneering International Inc. .......... 485
24,700 Pool Energy Services Company............. 378
56,100 Pride International Inc. ................ 463
27,500 Seitel Inc.++............................ 383
20,300 Wicor Inc. .............................. 411
--------
2,840
--------
PRINTING AND PUBLISHING -- 1.8%
36,200 Bowne & Co. Inc. ........................ 423
8,500 Consolidated Graphics Inc.++............. 491
19,000 Merrill Corporation...................... 254
21,100 Thomas Nelson, Inc. ..................... 211
27,200 Valassis Communications Inc. ............ 1,407
33,200 World Color Press Inc. .................. 706
--------
3,492
--------
PROFESSIONAL SERVICES -- 1.3%
17,200 CDI Corporation++........................ 414
23,400 Franklin Covey Company................... 211
8,000 InaCom Corporation....................... 62
21,300 National Data Corporation................ 894
31,800 Norrell Corporation...................... 415
27,500 Offshore Logistics Inc.++................ 320
10,700 Volt Information Sciences Inc.++......... 176
--------
2,492
--------
PROTECTION AND SAFETY SERVICES -- 0.1%
15,900 Rural/Metro Corporation.................. 126
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE> 46
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RECREATION -- 1.2%
20,300 Arctic Cat Inc. ......................... $ 202
52,600 Aztar Corporation........................ 253
32,500 Hollywood Park Inc.++.................... 335
20,000 Huffy Corporation........................ 240
9,700 K2 Inc. ................................. 76
45,700 Players International, Inc.++............ 286
17,500 Polaris Industries Inc. ................. 555
10,900 Thor Industries Inc. .................... 247
18,700 Winnebago Industries..................... 262
--------
2,456
--------
RESTAURANTS AND LODGING -- 3.0%
21,900 Applebees International Inc. ............ 543
16,500 CEC Entertainment Inc.++................. 592
36,400 CKE Restaurant Inc. ..................... 719
40,100 Foodmaker Inc. .......................... 1,023
8,700 IHOP Corporation......................... 341
30,900 Landry's Seafood Restaurants, Inc.++..... 198
14,700 Marcus Corporation....................... 176
21,100 Prime Hospitality Corporation++.......... 210
30,300 Ruby Tuesday Inc. ....................... 526
43,100 Ryan's Family Steak Houses Inc.++........ 520
14,200 Sonic Corporation++...................... 383
37,800 Taco Cabana, Inc., Class A++............. 333
28,100 TCBY Enterprises Inc. ................... 169
9,400 The Cheesecake Factory++................. 223
--------
5,956
--------
RETAIL -- FOOD -- 0.9%
44,900 Earthgrains Company...................... 997
18,300 Nash-Finch Company....................... 153
16,300 Whole Foods Market Inc.++................ 560
--------
1,710
--------
RETAIL -- GENERAL -- 1.1%
41,100 Casey's General Stores, Inc. ............ 606
11,800 Cash America Investments Inc. ........... 152
15,200 MicroAge Inc.++.......................... 82
31,350 Regis Corporation........................ 835
15,900 ShopKo Stores, Inc.++.................... 475
--------
2,150
--------
RETAIL -- SPECIALTY -- 4.2%
25,000 AnnTaylor Stores Corporation............. 1,104
55,200 Cato Corporation......................... 514
7,300 Discount Auto Parts Inc. ................ 157
20,800 Dress Barn Inc.++........................ 289
19,100 Eagle Hardware & Garden Inc.++........... 729
17,000 Goody's Family Clothing Inc.++........... 237
16,700 Gottschalks Inc.++....................... 115
16,400 Insight Enterprises Inc.++............... 406
42,800 Jan Bell Marketing Inc.++................ 182
21,000 Jo-Ann Stores Inc.++..................... 289
25,800 Just For Feet Inc.++..................... 323
27,100 Michaels Stores Inc. .................... 669
5,300 O'Reilly Automotive Inc.++............... 237
72,800 Pier 1 Imports Inc. ..................... 592
20,000 Stein Mart Inc.++........................ 200
31,100 The Bombay Company, Inc.++............... 124
2,300 Toro Company............................. 72
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
VALUE
SHARES (000)
<C> <S> <C>
RETAIL -- SPECIALTY -- (CONTINUED)
26,500 Williams-Sonoma Inc.++................... $ 749
40,000 Zale Corporation......................... 1,367
--------
8,355
--------
SEMICONDUCTORS -- 0.9%
21,500 International Rectifier Corporation++.... 151
10,000 Lattice Semiconductor Corporation++...... 456
15,000 Novellus Systems Inc.++.................. 826
11,800 Plexus Corporation++..................... 329
--------
1,762
--------
TECHNOLOGY -- 1.9%
7,200 Marshall Industries++.................... 97
28,100 Progress Software Corporation++.......... 959
21,000 Telxon Corporation....................... 198
24,000 VISX Inc.++.............................. 2,582
--------
3,836
--------
TELECOMMUNICATIONS -- 1.5%
20,400 Aspect Telecommunications++.............. 135
33,100 CommScope, Inc. ......................... 693
13,400 Dialogic Corporation..................... 409
20,300 Digi International Inc.++................ 137
33,000 Inter-Tel Inc. .......................... 514
18,900 Plantronics Inc.++....................... 1,182
--------
3,070
--------
TRANSPORTATION -- 2.3%
12,700 Air Express International Corporation.... 192
42,500 American Freightways Corporation++....... 547
23,100 Comair Holdings, Inc. ................... 546
12,800 Expeditors International of Washington,
Inc. ................................... 691
44,500 Fritz Companies, Inc.++.................. 306
15,600 Kirby Corporation........................ 295
13,900 Pittston BAX Group....................... 96
17,700 Railtex Inc. ............................ 201
30,600 Skywest Inc. ............................ 885
23,000 U.S. Freightways Corporation............. 756
--------
4,515
--------
TRUCKING AND SHIPPING -- 1.7%
35,900 Arkansas Best Corporation................ 245
11,400 Heartland Express Inc.++................. 173
12,000 Landstar System Inc. .................... 398
17,500 M.S. Carriers Inc.++..................... 463
78,400 Rollins Truck Leasing Corporation........ 739
22,000 Wabash National Corporation.............. 256
40,400 Werner Enterprises Inc. ................. 636
22,300 Yellow Corporation++..................... 387
--------
3,297
--------
UTILITIES -- NATURAL GAS -- 1.0%
19,100 Cascade Natural Gas Corporation.......... 285
12,300 Connecticut Energy Corporation........... 298
22,500 Piedmont Natural Gas Company, Inc. ...... 788
25,900 Southwest Gas Corporation................ 712
--------
2,083
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE> 47
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 1999
<TABLE>
<CAPTION>
VALUE
SHARES (000)
----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
UTILITIES -- WATER -- 0.6%
6,300 Aquarion Company......................... $ 173
11,400 Philadelphia Suburban Corporation........ 259
33,000 United Water Resources Inc. ............. 685
--------
1,117
--------
WASTE MANAGEMENT -- 0.1%
13,500 Superior Services Inc. .................. 267
--------
WIRE AND CABLE PRODUCTS -- 0.7%
46,600 Anixter International Inc.++............. 556
23,600 Barnes Group Inc. ....................... 443
32,000 Cable Design Technologies
Corporation++........................... 352
--------
1,351
--------
TOTAL COMMON STOCKS
(Cost $204,607).......................... 195,561
--------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.0%+
(Cost $49)
U.S. TREASURY BILLS -- 0.0%
$ 50 4.110%** 06/24/99++...................... 49
--------
SHARES
(000)
- --------
INVESTMENT COMPANIES -- 6.2%
(Cost $12,365)
12,365 Nations Cash Reserves#................... 12,365
--------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS
(Cost $217,021*).................... 104.4% 207,975
--------
OTHER ASSETS AND
LIABILITIES (NET).................. (4.4)%
Cash....................................... $ 3
Receivable for investment securities
sold...................................... 3,209
Receivable for Fund shares sold............ 719
Dividends receivable....................... 117
Interest receivable........................ 10
Receivable from investment advisor......... 5
Unamortized organization costs............. 5
Prepaid expenses........................... 3
Collateral on securities loaned............ (11,576)
Variation margin........................... (35)
Payable for Fund shares redeemed........... (1,048)
Administration fee payable................. (33)
Shareholder servicing and distribution fees
payable................................... (2)
Accrued Trustees' fees and expenses........ (10)
Accrued expenses and other liabilities..... (181)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)......................... (8,814)
--------
NET ASSETS.......................... 100% $199,161
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)
- -------------------------------------------------------------------
<C> <S> <C> <C>
NET ASSETS CONSIST OF:
Accumulated net realized loss on
investments sold and futures contracts.... $(16,655)
Net unrealized depreciation of investments
and futures contracts..................... (9,043)
Paid-in capital............................ 224,859
--------
NET ASSETS................................. $199,161
========
</TABLE>
<TABLE>
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share ($189,378,963/17,158,944
shares outstanding)......................... $11.04
======
INVESTOR A SHARES:
Net asset value, offering and redemption
price per share ($9,782,223/887,077 shares
outstanding)................................ $11.03
======
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $23,551 and gross
depreciation of $33,547 for Federal income tax purposes. At March 31, 1999,
the aggregate cost of securities for Federal income tax purposes was
$218,314.
** Rate represents annualized yield at date of purchase.
++ Non-income producing security.
++ Security segregated as collateral for futures contracts.
+ Amount represents less than 0.1%.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 8). The portion that represents cash collateral is
$11,576.
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE> 48
NATIONS FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
MANAGED
MANAGED SMALLCAP MANAGED
VALUE MANAGED VALUE SMALLCAP
INDEX INDEX INDEX INDEX
------------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Dividends................................................... $ 212 $9,151 $ 71 $ 2,048
Interest.................................................... 5 123 -- --
Securities lending.......................................... -- 18 -- 53
----- ------- ------- --------
Total investment income................................. 217 9,292 71 2,101
----- ------- ------- --------
EXPENSES:
Investment advisory fee..................................... 56 3,041 25 1,025
Administration fee.......................................... 12 650 5 219
Transfer agent fees......................................... 8 263 7 117
Custodian fees.............................................. 38 110 34 100
Legal and audit fees........................................ 30 72 27 54
Registration and filing fees................................ 34 158 35 93
Trustees' fees and expenses................................. 15 15 15 15
Amortization of organization costs.......................... -- 2 -- 2
Interest expense............................................ 3 -- --* 11
Other....................................................... 25 99 26 39
----- ------- ------- --------
Subtotal................................................ 221 4,410 174 1,675
Shareholder servicing and distribution fees:
Primary B Shares.......................................... -- -- -- 1
Investor A Shares......................................... 7 82 6 26
Investor C Shares+........................................ -- 44 1 9
----- ------- ------- --------
Total expenses.......................................... 228 4,536 181 1,711
Fees waived and expenses reimbursed by investment advisor
and/or distributor........................................ (165) (1,392) (151) (648)
Fees reduced by credits allowed by the custodian............ --* (2) --* (2)
----- ------- ------- --------
Net expenses............................................ 63 3,142 30 1,061
----- ------- ------- --------
NET INVESTMENT INCOME....................................... 154 6,150 41 1,040
----- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS:
Net realized gain/(loss) from:
Security transactions..................................... 403 (1,869) (77) (15,412)
Futures contracts......................................... -- 564 -- --
----- ------- ------- --------
Net realized gain/(loss) on investments..................... 403 (1,305) (77) (15,412)
----- ------- ------- --------
Change in unrealized appreciation/(depreciation) of:
Securities................................................ (229) 88,296 (1,162) (34,181)
Futures contracts......................................... -- (82) -- 3
----- ------- ------- --------
Net change in unrealized appreciation/(depreciation) of
investments............................................... (229) 88,214 (1,162) (34,178)
----- ------- ------- --------
Net realized and unrealized gain/(loss) on investments...... 174 86,909 (1,239) (49,590)
----- ------- ------- --------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ 328 $93,059 $(1,198) $(48,550)
===== ======= ======= ========
</TABLE>
- ---------------
* Amount represents less than $500.
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE> 49
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MANAGED MANAGED
VALUE INDEX INDEX
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
3/31/99 3/31/98(A) 3/31/99 3/31/98
----------------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
Net investment income....................................... $ 154 $ 38 $ 6,150 $ 2,004
Net realized gain/(loss) on investments..................... 403 (1) (1,305) 2,300
Net change in unrealized appreciation/(depreciation) of
investments............................................... (229) 995 88,214 64,010
------- ------ -------- --------
Net increase/(decrease) in net assets resulting from
operations................................................ 328 1,032 93,059 68,314
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (131) (29) (5,873) (1,917)
Primary B Shares.......................................... --* -- --* --
Investor A Shares......................................... (37) (8) (255) (117)
Investor C Shares+........................................ --* -- (20) (14)
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... (47) -- (3,308) (603)
Primary B Shares.......................................... --* -- --* --
Investor A Shares......................................... (14) -- (227) (48)
Investor C Shares+........................................ --* -- (38) (18)
Net increase/(decrease) in net assets from Fund share
transactions.............................................. (3,407) 8,709 229,499 293,292
------- ------ -------- --------
Net increase/(decrease) in net assets....................... (3,308) 9,704 312,837 358,889
------- ------ -------- --------
NET ASSETS:
Beginning of year........................................... 9,704 -- 404,237 45,348
------- ------ -------- --------
End of year................................................. $ 6,396 $9,704 $717,074 $404,237
======= ====== ======== ========
Undistributed net investment income/(distributions in excess
of net investment income) at end of year.................. $ -- $ 1 $ -- $ 17
======= ====== ======== ========
</TABLE>
- ---------------
* Amount represents less than $500.
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
(a) Managed Value Index commenced operations on November 24, 1997.
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE> 50
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
MANAGED MANAGED
SMALLCAP VALUE INDEX SMALLCAP INDEX
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
3/31/99 3/31/98(B) 3/31/99 3/31/98
----------------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
Net investment income....................................... $ 41 $ 8 $ 1,040 $ 412
Net realized gain/(loss) on investments..................... (77) 29 (15,412) 2,071
Net change in unrealized appreciation/(depreciation) of
investments............................................... (1,162) 480 (34,178) 27,093
------- ------ -------- --------
Net increase/(decrease) in net assets resulting from
operations................................................ (1,198) 517 (48,550) 29,576
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (26) (5) (1,025) (392)
Primary B Shares.......................................... --* -- --* --
Investor A Shares......................................... (14) (2) (26) (21)
Investor C Shares+........................................ --* -- --* --
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... (14) -- (1,102) (2,070)
Primary B Shares.......................................... --* -- (2) (5)
Investor A Shares......................................... (20) -- (140) (227)
Investor C Shares+........................................ --* -- (11) (4)
Net increase/(decrease) in net assets from Fund share
transactions.............................................. 2,280 3,471 133,128 48,742
------- ------ -------- --------
Net increase/(decrease) in net assets....................... 1,008 3,981 82,272 75,599
------- ------ -------- --------
NET ASSETS:
Beginning of year........................................... 3,981 -- 116,889 41,290
------- ------ -------- --------
End of year................................................. $ 4,989 $3,981 $199,161 $116,889
======= ====== ======== ========
Undistributed net investment income/(distributions in excess
of net investment income) at end of year.................. $ 6 $ 1 $ -- $ 11
======= ====== ======== ========
</TABLE>
- ---------------
* Amount represents less than $500.
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
(b) Managed SmallCap Value Index commenced operations on November 24, 1997.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE> 51
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
MANAGED VALUE INDEX
YEAR ENDED PERIOD ENDED
MARCH 31, 1999 MARCH 31, 1998(A)
------------------- -------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 448 $ 4,997 863 $ 8,875
Issued in exchange for assets of Common Equity
Index/Enhanced Market Fund (Note 10).................... -- -- -- --
Issued as reinvestment of dividends....................... 13 145 3 28
Redeemed.................................................. (733) (8,231) (218) (2,247)
---- ------- ---- -------
Net increase/(decrease)................................... (272) $(3,089) 648 $ 6,656
==== ======= ==== =======
PRIMARY B SHARES*:
Sold...................................................... -- $ -- -- $ --
Issued as reinvestment of dividends....................... -- -- -- --
Redeemed.................................................. -- -- -- --
---- ------- ---- -------
Net increase/(decrease)................................... -- $ -- -- $ --
==== ======= ==== =======
INVESTOR A SHARES:
Sold...................................................... 116 $ 1,289 438 $ 4,411
Issued as reinvestment of dividends....................... 5 51 1 8
Redeemed.................................................. (146) (1,653) (229) (2,370)
---- ------- ---- -------
Net increase/(decrease)................................... (25) $ (313) 210 $ 2,049
==== ======= ==== =======
INVESTOR C SHARES+:
Sold...................................................... 2 $ 22 --(b) $ 4
Issued as reinvestment of dividends....................... --(b) --(c) -- --
Redeemed.................................................. (2) (27) -- --
---- ------- ---- -------
Net increase/(decrease)................................... -- $ (5) -- $ 4
==== ======= ==== =======
Total net increase/(decrease)............................... (297) $(3,407) 858 $ 8,709
==== ======= ==== =======
</TABLE>
- ---------------
* There were no longer any public shareholders of the Primary B Share class as
of March 31, 1998.
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
(a) Managed Value Index commenced operations on November 24, 1997.
(b) Amount represents less than 500 shares.
(c) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE> 52
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED INDEX
YEAR ENDED PERIOD ENDED
MARCH 31, 1999 MARCH 31, 1998(A)
-------------------- --------------------
SHARES DOLLARS SHARES DOLLARS
----------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 16,315 $281,875 11,838 $183,806
Issued in exchange for assets of Common Equity
Index/Enhanced Market Fund (Note 10).................... -- -- 9,700 137,455
Issued as reinvestment of dividends....................... 279 4,881 82 1,156
Redeemed.................................................. (4,119) (73,925) (3,316) (50,451)
------ -------- ------ --------
Net increase/(decrease)................................... 12,475 $212,831 18,304 $271,966
====== ======== ====== ========
PRIMARY B SHARES:
Sold...................................................... --(b) $ --(c) --(b) $ 3
Issued as reinvestment of dividends....................... --(b) --(c) -- --
Redeemed.................................................. --(b) --(c) -- --
------ -------- ------ --------
Net increase/(decrease)................................... --(b) $ --(c) --(b) $ 3
====== ======== ====== ========
INVESTOR A SHARES:
Sold...................................................... 2,063 $ 37,053 1,473 $ 21,672
Issued as reinvestment of dividends....................... 25 434 10 145
Redeemed.................................................. (920) (15,876) (254) (3,882)
------ -------- ------ --------
Net increase/(decrease)................................... 1,168 $ 21,611 1,229 $ 17,935
====== ======== ====== ========
INVESTOR C SHARES+:
Sold...................................................... 188 $ 3,237 299 $ 4,214
Issued as reinvestment of dividends....................... 3 58 2 32
Redeemed.................................................. (441) (8,238) (58) (858)
------ -------- ------ --------
Net increase/(decrease)................................... (250) $ (4,943) 243 $ 3,388
====== ======== ====== ========
Total net increase/(decrease)............................... 13,393 $229,499 19,776 $293,292
====== ======== ====== ========
</TABLE>
- ---------------
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
(a) Managed Index Primary B Shares commenced operations on September 4, 1997.
(b) Amount represents less than 500 shares.
(c) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE> 53
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
MANAGED SMALLCAP VALUE INDEX
YEAR ENDED PERIOD ENDED
MARCH 31, 1999 MARCH 31, 1998(A)
------------------- -------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 304 $ 2,894 284 $ 2,883
Issued as reinvestment of dividends....................... 58 738 --(b) 5
Redeemed.................................................. (202) (2,003) (101) (1,075)
---- ------- ---- -------
Net increase/(decrease)................................... 160 $ 1,629 183 $ 1,813
==== ======= ==== =======
PRIMARY B SHARES*:
Sold...................................................... -- $ -- -- $ --
Issued as reinvestment of dividends....................... -- -- -- --
Redeemed.................................................. -- -- -- --
---- ------- ---- -------
Net increase/(decrease)................................... -- $ -- -- $ --
==== ======= ==== =======
INVESTOR A SHARES:
Sold...................................................... 178 $ 1,805 387 $ 3,912
Issued as reinvestment of dividends....................... 12 160 --(b) 2
Redeemed.................................................. (141) (1,322) (225) (2,270)
---- ------- ---- -------
Net increase/(decrease)................................... 49 $ 643 162 $ 1,644
==== ======= ==== =======
INVESTOR C SHARES+:
Sold...................................................... 10 $ 119 1 $ 15
Issued as reinvestment of dividends....................... --(b) --(c) --(b) --(c)
Redeemed.................................................. (12) (111) --(b) (1)
---- ------- ---- -------
Net increase/(decrease)................................... (2) $ 8 1 $ 14
==== ======= ==== =======
Total net increase/(decrease)............................... 207 $ 2,280 346 $ 3,471
==== ======= ==== =======
</TABLE>
- ---------------
* There were no longer any public shareholders of the Primary B Share class as
of March 31, 1998.
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
(a) Managed SmallCap Value Index commenced operations on November 24, 1997.
(b) Amount represents less than 500 shares.
(c) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE> 54
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED SMALLCAP INDEX
YEAR ENDED YEAR ENDED
MARCH 31, 1999 MARCH 31, 1998
-------------------- --------------------
SHARES DOLLARS SHARES DOLLARS
----------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 17,693 $229,414 7,842 $ 95,131
Issued as reinvestment of dividends....................... 58 738 73 918
Redeemed.................................................. (7,858) (94,934) (4,806) (59,103)
------ -------- ------ --------
Net increase/(decrease)................................... 9,893 $135,218 3,109 $ 36,946
====== ======== ====== ========
PRIMARY B SHARES*:
Sold...................................................... 6 $ 82 17 $ 197
Issued as reinvestment of dividends....................... -- -- -- 1
Redeemed.................................................. (17) (210) (15) (189)
------ -------- ------ --------
Net increase/(decrease)................................... (11) $ (128) 2 $ 9
====== ======== ====== ========
INVESTOR A SHARES:
Sold...................................................... 898 $ 10,749 1,260 $ 15,372
Issued as reinvestment of dividends....................... 12 160 19 243
Redeemed.................................................. (1,001) (12,589) (336) (4,256)
------ -------- ------ --------
Net increase/(decrease)................................... (91) $ (1,680) 943 $ 11,359
====== ======== ====== ========
INVESTOR C SHARES+:
Sold...................................................... 72 $ 964 39 $ 474
Issued as reinvestment of dividends....................... --(a) --(b) -- 4
Redeemed.................................................. (109) (1,246) (4) (50)
------ -------- ------ --------
Net increase/(decrease)................................... (37) $ (282) 35 $ 428
====== ======== ====== ========
Total net increase/(decrease)............................... 9,754 $133,128 4,089 $ 48,742
====== ======== ====== ========
</TABLE>
- ---------------
* There were no longer any public shareholders of the Primary B Share class as
of December 2, 1998.
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
(a) Amount represents less than 500 shares.
(b) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE> 55
[THIS PAGE INTENTIONALLY LEFT BLANK.]
51
<PAGE> 56
NATIONS FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET INCREASE/
NET ASSET NET REALIZED (DECREASE) IN DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED NET ASSET FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON VALUE FROM INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED VALUE INDEX
PRIMARY A
Year ended 3/31/1999#.................... $11.32 $0.16 $0.18 $0.34 $(0.19) $(0.05)
Period ended 3/31/1998*#................. 10.00 0.07 1.31 1.38 (0.06) --
INVESTOR A
Year ended 3/31/1999#.................... $11.32 $0.13 $0.20 $0.33 $(0.16) $(0.05)
Period ended 3/31/1998*#................. 10.00 0.05 1.32 1.37 (0.05) --
INVESTOR C
Year ended 3/31/1999#(c)................. $11.32 $0.12 $0.44 $0.56 $(0.11) $(0.05)
Period ended 3/31/1998*#................. 10.00 0.04 1.33 1.37 (0.05) --
</TABLE>
- ---------------
* Managed Value Index Primary A, Investor A and Investor C Shares commenced
operations on November 24, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
share method.
(a) 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, was less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
(c) Investor C Shares converted into Investor A Shares on March 19, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE> 57
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
RATIO OF NET AND/OR EXPENSE
OPERATING REIMBURSEMENTS
EXPENSES TO ---------------
RATIO OF AVERAGE RATIO OF NET RATIO OF
TOTAL NET ASSET NET ASSETS OPERATING NET ASSETS INVESTMENT OPERATING
DIVIDENDS VALUE END OF EXPENSES TO INCLUDING INCOME TO PORTFOLIO EXPENSES TO
AND END OF TOTAL PERIOD AVERAGE INTEREST AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS EXPENSES NET ASSETS RATE NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.24) $11.42 3.06% $4,292 0.50%(a) 0.55%(a) 1.45% 115% 1.99%(a)
(0.06) 11.32 13.78 7,330 0.50+(a)(b) -- 1.72+ 3 1.57+(a)
$(0.21) $11.44 2.97% $2,104 0.75%(a) 0.80%(a) 1.20% 115% 2.24%(a)
(0.05) 11.32 13.68 2,370 0.75+(a)(b) -- 1.47+ 3 1.82+(a)
$(0.16) $11.72 4.85% $ 0 1.00%(a) 1.05%(a) 0.95% 115% 2.99%(a)
(0.05) 11.32 13.69 4 1.00+(a)(b) -- 1.22+ 3 2.07+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE> 58
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET NET INCREASE/
NET ASSET REALIZED AND (DECREASE) IN DIVIDENDS DISTRIBUTIONS
VALUE NET UNREALIZED NET ASSET FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON VALUE FROM INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED INDEX:
PRIMARY A
Year ended 3/31/1999#.............. $17.14 $0.18 $2.40 $2.58 $(0.18) $(0.15)
Year ended 3/31/1998............... 11.89 0.15 5.42 5.57 (0.17) (0.15)
Period ended 3/31/1997*............ 10.00 0.15 1.87 2.02 (0.13) --
PRIMARY B
Year ended 3/31/1999#.............. $17.11 $0.09 $2.41 $2.50 $(0.08) $(0.15)
Period ended 3/31/1998**........... 14.52 0.14 2.73 2.87 (0.13) (0.15)
INVESTOR A
Year ended 3/31/1999#.............. $17.14 $0.14 $2.39 $2.53 $(0.13) $(0.15)
Year ended 3/31/1998............... 11.89 0.14 5.40 5.54 (0.14) (0.15)
Period ended 3/31/1997*............ 10.00 0.12 1.89 2.01 (0.12) --
INVESTOR C
Year ended 3/31/1999#(c)........... $17.14 $0.10 $2.62 $2.72 $(0.08) $(0.15)
Year ended 3/31/1998............... 11.90 0.10 5.39 5.49 (0.10) (0.15)
Period ended 3/31/1997*............ 10.00 0.11 1.90 2.01 (0.11) --
</TABLE>
- ---------------
<TABLE>
<C> <S>
* Managed Index Primary A, Investor A and Investor C Shares
commenced operations on July 31, 1996.
** Managed Index Primary B Shares commenced operations on
September 4, 1997.
+ Annualized.
++ Total return represents aggregate total return for the
period indicated, assumes reinvestment of all distributions,
and does not reflect the deduction of any applicable sales
charges.
# Per share net investment income has been calculated using
the monthly average share method.
(a) 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, was less than 0.01%.
(b) The effect of interest expense on the operating expense
ratio was less than 0.01%.
(c) Investor C Shares converted into Investor A Shares on March
19, 1999.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE> 59
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF NET RATIO OF
TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING
DIVIDENDS VALUE END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND END OF TOTAL PERIOD AVERAGE AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.33) $19.39 15.25% $665,631 0.50%(a) 1.03% 35% 0.73%(a)
(0.32) 17.14 47.54 374,504 0.50(a)(b) 1.26 30 0.80(a)
(0.13) 11.89 20.22 42,226 0.50+(a) 1.92+ 17 1.05+(a)
$(0.23) $19.38 14.78% $ 4 1.00%(a) 0.53% 35% 1.33%(a)
(0.28) 17.11 18.24 3 1.00+(a)(b) 0.76+ 30 1.30+(a)
$(0.28) $19.39 14.97% $ 51,439 0.75%(a) 0.78% 35% 0.98%(a)
(0.29) 17.14 47.21 25,447 0.75(a)(b) 1.01 30 1.05(a)
(0.12) 11.89 20.12 3,038 0.75+(a) 1.67+ 17 1.30+(a)
$(0.23) $19.63 16.05% $ 0 1.00%(a) 0.53% 35% 1.73%(a)
(0.25) 17.14 46.71 4,284 1.00(a)(b) 0.76 30 1.30(a)
(0.11) 11.90 20.11 83 1.00+(a) 1.42+ 17 1.55+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE> 60
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET NET INCREASE/
NET ASSETS REALIZED AND (DECREASE) IN DIVIDENDS DISTRIBUTIONS
VALUE NET UNREALIZED NET ASSET FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON VALUE FROM INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED SMALLCAP VALUE INDEX
PRIMARY A
Year ended 3/31/1999#..................... $11.46 $0.09 $(2.38) $(2.29) $(0.07) $(0.12)
Period ended 3/31/1998*................... 10.00 0.03 1.46 1.49 (0.03) --
INVESTOR A
Year ended 3/31/1999#..................... $11.46 $0.07 $(2.35) $(2.28) $(0.07) $(0.12)
Period ended 3/31/1998*................... 10.00 0.02 1.46 1.48 (0.02) --
INVESTOR C
Year ended 3/31/1999#(c).................. $11.46 $0.05 $(2.33) $(2.28) $(0.01) $(0.12)
Period ended 3/31/1998*................... 10.00 0.01 1.46 1.47 (0.01) --
</TABLE>
- ---------------
* Managed SmallCap Value Index Primary A, Investor A and Investor C Shares
commenced operations on November 24, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
share method.
(a) 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, was less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
(c) Investor C Shares converted into Investor A Shares on March 19, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
56
<PAGE> 61
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF NET RATIO OF
TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING
DIVIDENDS VALUE END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND END OF TOTAL PERIOD AVERAGE AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.19) $ 8.98 (20.11)% $3,084 0.50%(a)(b) 0.96% 136% 3.56%(a)
(0.03) 11.46 14.88 2,106 0.50+(a)(b) 0.78+ 30 2.17+(a)
$(0.19) $ 8.99 (20.23)% $1,904 0.75%(a)(b) 0.71% 136% 3.81%(a)
(0.02) 11.46 14.79 1,859 0.75+(a)(b) 0.53+ 30 2.42+(a)
$(0.13) $ 9.05 (20.06)% $ 0 1.00%(a)(b) 0.46% 136% 4.56%(a)
(0.01) 11.46 14.71 16 1.00+(a)(b) 0.28+ 30 2.67+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<PAGE> 62
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET INCREASE/
NET ASSET NET REALIZED (DECREASE) IN DIVIDENDS DISTRIBUTIONS TOTAL
VALUE NET AND UNREALIZED NET ASSET VALUE FROM NET FROM NET DIVIDENDS
BEGINNING INVESTMENT GAIN/(LOSS) ON FROM INVESTMENT REALIZED AND
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MANAGED SMALLCAP INDEX:
PRIMARY A
Year ended 3/31/1999#..... $14.10 $0.06 $(2.92) $(2.86) $(0.06) $(0.14) $(0.20)
Year ended 3/31/1998...... 9.83 0.06 4.58 4.64 (0.06) (0.31) (0.37)
Period ended 3/31/1997*... 10.00 0.03 (0.17) (0.14) (0.03) -- (0.03)
PRIMARY B+++
Year ended 3/31/1999#..... $14.09 $0.00 $(2.24) $(2.24) $(0.00) $(0.14) $(0.14)
Year ended 3/31/1998...... 9.83 0.00 4.58 4.58 (0.01) (0.31) (0.32)
Period ended 3/31/1997*... 10.00 0.02 (0.17) (0.15) (0.02) -- (0.02)
INVESTOR A
Year ended 3/31/1999#..... $14.08 $0.03 $(2.91) $(2.88) $(0.03) $(0.14) $(0.17)
Year ended 3/31/1998...... 9.82 0.03 4.57 4.60 (0.03) (0.31) (0.34)
Period ended 3/31/1997*... 10.00 0.03 (0.18) (0.15) (0.03) -- (0.03)
INVESTOR C
Year ended 3/31/1999#(c).. $14.09 $0.00 $(2.96) $(2.96) $(0.00) $(0.14) $(0.14)
Year ended 3/31/1998...... 9.83 0.01 4.58 4.59 (0.02) (0.31) (0.33)
Period ended 3/31/1997*... 10.00 0.03 (0.17) (0.14) (0.03) -- (0.03)
</TABLE>
- ---------------
* Managed SmallCap Index 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,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
+++ At March 31, 1999, there were no public shareholders in the Primary B Share
class. All publicly held Primary B Shares were redeemed on December 2, 1998.
The amounts reflected are for the period April 1, 1998 to December 2, 1998.
# Per share net investment income has been calculated using the monthly average
share method.
(a) 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, was less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
(c) Investor C Shares converted into Investor A Shares on March 19, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
58
<PAGE> 63
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF NET RATIO OF
NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING
VALUE END OF EXPENSES INCOME TO PORTFOLIO EXPENSES TO
END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE
PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$11.04 (20.50)% $189,379 0.50%(a)(b) 0.52% 65% 0.82%(a)
14.10 47.71 102,437 0.50(a)(b) 0.52 62 1.02(a)
9.83 (1.37) 40,851 0.50+ 1.05+ 18 1.21+
$11.71 (16.03)% $ 0 1.00%+(a)(b) 0.02%+ 65% 1.42%+(a)
14.09 47.04 160 1.00(a)(b) 0.02 62 1.52(a)
9.83 (1.51) 86 1.00+ 0.55+ 18 1.71+
$11.03 (20.67)% $ 9,782 0.75%(a)(b) 0.27% 65% 1.07%(a)
14.08 47.35 13,768 0.75(a)(b) 0.27 62 1.27(a)
9.82 (1.52) 334 0.75+ 0.80+ 18 1.46+
$10.99 (21.18)% $ 0 1.00%(a)(b) 0.02% 65% 1.82%(a)
14.09 47.10 524 1.00(a)(b) 0.02 62 1.52(a)
9.83 (1.46) 19 1.00+ 0.55+ 18 1.71+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<PAGE> 64
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS
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. At
March 31, 1999, the Trust offered thirty-eight separate portfolios. These
financial statements pertain only to the four managed index portfolios of the
Trust (each a "Fund" and collectively, the "Funds"). Financial statements for
the other portfolios of the Trust are presented under separate cover. The Funds
currently offer three classes of shares: Primary A Shares, Primary B Shares and
Investor A Shares. Primary B Shares are not currently offered to the public
except for the Managed Index Fund. Investor C Shares were converted into
Investor A Shares on March 19, 1999. 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 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: Securities which are traded on a recognized exchange or
on NASDAQ are valued at the last sales price on the exchange or market on which
such securities are primarily traded. Securities traded only over-the-counter
are valued at the closing bid prices or, if no sale occurred on such day, at the
mean of the current bid and asked prices. Restricted securities, securities for
which market quotations are not readily available, and certain other assets are
valued by the investment advisor under the supervision of the Board of Trustees.
Short-term investments that mature in 60 days or less are valued at amortized
cost.
Futures Contracts: Each Fund may invest in futures contracts. 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. 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.
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 trade date. Realized gains and losses are computed based on the
specific identification of securities sold. Interest income, adjusted for
accretion of discounts and amortization of premiums, is earned from settlement
date and recorded on an accrual basis. Dividend income is recorded on
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: Distributions from net investment
income are declared and paid each month by the Managed Index Fund; all other
Funds declare and pay distributions each calendar quarter. Each Fund will
distribute net realized capital gains (including net short-term capital gains),
at least annually after the fiscal year in which the capital gains were earned,
unless offset by any available capital loss carryforward. 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.
Certain reclassifications are made to each Fund's capital accounts to reflect
income and gains available for distribution (or available capital loss
carryforwards) under Federal income tax regulations.
60
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
These reclassifications are due to different book and tax accounting for
organization costs and currency gains and losses.
61
<PAGE> 65
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Reclassifications for the year ended March 31, 1999 were as follows:
<TABLE>
<CAPTION>
INCREASE/
(DECREASE) INCREASE/
INCREASE/ UNDISTRIBUTED (DECREASE)
(DECREASE) NET ACCUMULATED
PAID-IN INVESTMENT NET REALIZED
CAPITAL INCOME GAIN/(LOSS)
(000) (000) (000)
-------------------------------------------
<S> <C> <C> <C>
Managed Value
Index.............. $ (6) $ 12 $ (6)
Managed Index........ -- (20) 20
Managed SmallCap
Value Index........ (3) 3 --
Managed SmallCap
Index.............. (26) 1 25
</TABLE>
Federal Income Tax: Each Fund intends to continue to qualify as a regulated
investment company by complying with the applicable requirements of the Internal
Revenue Code of 1986, as amended, and by distributing substantially all of its
earnings to its shareholders. Therefore, no provision is made for Federal income
or excise taxes.
Expenses: General expenses of the Trust are allocated to the Funds based upon
relative net assets or other expense allocation methodologies determined by the
nature of the expense. Expenses directly attributable to a Fund or class of
shares are charged to such Fund or class. Expenses not directly attributable to
any class of shares are prorated based on the relative net assets of each class.
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.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS
The Trust has entered into an investment advisory agreement (the "Investment
Advisory Agreement") with NationsBanc Advisors, Inc. ("NBAI"), a wholly-owned
subsidiary of NationsBank, N.A. ("NationsBank"), which in turn is an indirect
wholly-owned banking subsidiary of Bank of America Corporation, a bank holding
company organized as a Delaware corporation, pursuant to which NBAI provides
investment advisory services to the Funds. Under this 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 entered into a sub-advisory agreement with NBAI and TradeStreet
Investment Associates, Inc. ("TradeStreet"), a wholly-owned subsidiary of
NationsBank, pursuant to which TradeStreet is entitled to receive a fee from
NBAI at the annual rate of 0.10% of each Fund's average daily net assets.
Stephens Inc. ("Stephens") serves as co-administrator of the Trust. On January
14, 1999, NBAI began serving as co-administrator of the Funds with Stephens.
Under the new arrangement, Stephens and NBAI are entitled to receive a combined
fee, computed daily and paid monthly, at the annual rate of 0.13% of each Fund's
average daily net assets. Prior to January 14, 1999, First Data Investor
Services Group, Inc. ("First Data"), a wholly-owned subsidiary of First Data
Corporation, served as co-administrator. Stephens and First Data were entitled
to receive a combined fee, computed daily and paid monthly, at the annual rate
of 0.10% of each Fund's average daily net assets. Effective January 14, 1999,
The Bank of New York ("BNY") began serving as the sub-administrator of the Trust
pursuant to an agreement with NBAI, and NBAI ceased to serve as
sub-administrator. For the year ended March 31, 1999, Stephens earned $588,578
from the Funds for its administration services, of which $82,933 was paid to
NBAI for its services.
The investment advisor, sub-advisor and distributor may, from time to time,
voluntarily reduce their fees payable by each Fund. For the year ended March 31,
1999, the investment advisor agreed to voluntarily reimburse expenses and/or
waive its advisory fee to the extent that total expenses (excluding shareholder
servicing and distribution fees) exceed 0.50% of each respective Fund's average
daily net assets.
Effective October 19, 1998, BNY began serving as the custodian of the Trust's
assets. Previously, NationsBank of Texas, N.A. ("NationsBank of Texas") served
as custodian until May 6, 1998, when it was merged with NationsBank. BNY acted
as sub-custodian to the Funds until that date. For the year ended March 31,
1999, NationsBank of Texas and NationsBank earned $14,123 for providing such
services. For the year ended March 31, 1999, expenses of the Funds were reduced
by $3,778 under expense offset arrangements with BNY. The Funds
62
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NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
could have invested a portion of the assets utilized in connection with the
expense offset arrangements in an income producing asset if they had not entered
into such arrangements.
First Data serves as the transfer agent for the Funds' shares. NationsBank of
Texas served as the sub-transfer agent for the Primary Shares of the Funds until
it merged with NationsBank on May 6, 1998. NationsBank began serving as the
sub-transfer agent for the Primary Shares of the Funds on that date and is
providing the same services as were previously provided by NationsBank of Texas.
For the year ended March 31, 1999, NationsBank of Texas and/or NationsBank
earned approximately $18,592 for providing such services.
Stephens serves as distributor of the Funds' shares. For the year ended March
31, 1999, the Funds were informed that the distributor received $0 in front end
sales charges for sales of Investor A Shares and $580 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.
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 plans 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 portfolio of Nations Fund,
Inc. The expense for the deferred compensation and retirement plans is included
in "Trustees' fees and expenses" in the Statements of Operations.
Certain Funds have made daily investments of cash balances in Nations Cash
Reserves, a portfolio of Nations Institutional Reserves, pursuant to an
exemptive order received from the Securities and Exchange Commission. For the
year ended March 31, 1999, the Funds earned $587,695 in aggregate from such
investments, which is included in interest income.
A significant portion of each Fund's Primary A Shares represents investments by
fiduciary accounts over which NationsBank and its affiliates have either sole or
joint investment discretion.
3. SHAREHOLDER SERVICING AND
DISTRIBUTION PLANS
The Trust has adopted a shareholder administration plan for Primary B Shares of
each Fund and shareholder servicing plans and distribution plans for the
Investor A and Investor C Shares of each Fund. The administration plan permits
the Funds to compensate institutions for shareholder administration services
provided to their customers that own Primary B Shares. The shareholder servicing
plans permit the Funds to compensate or reimburse servicing agents for
shareholder services provided by the servicing agents. The distribution plans,
adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to
compensate or reimburse the distributor (and for Investor A Shares, the
distributor and/or selling agents) for activities or expenses primarily intended
to result in the sale of the classes' shares. Payments are made at an annual
rate, as a percentage of average daily net assets set from time to time by the
Board of Trustees, and are charged as expenses of each Fund directly to the
applicable class. A substantial portion of the expenses incurred pursuant to
these plans is paid to affiliates of NationsBank and NBAI.
At March 31, 1999, the rates in effect and plan limits, as a percentage of
average daily net assets, were as follows:
<TABLE>
<CAPTION>
CURRENT PLAN
RATE LIMIT
----------------
<S> <C> <C>
Primary B Administration Plan............... 0.50% 0.60%
Investor A Shareholder Servicing and
Distribution Plan......................... 0.25% 0.25%
Investor C Distribution Plan................ 0.25% 0.75%
Investor C Shareholder Servicing Plan....... 0.25% 0.25%
</TABLE>
63
<PAGE> 67
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
long-term U.S. government securities and short-term investments, for the year
ended March 31, 1999 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
---------------------
<S> <C> <C>
Managed Value Index................... $ 13,354 $ 16,523
Managed Index......................... 448,919 224,487
Managed SmallCap Value Index.......... 8,933 6,442
Managed SmallCap Index................ 267,307 139,841
</TABLE>
There were no purchases or sales of long-term U.S. government securities for the
year ended March 31, 1999.
5. FUTURES CONTRACTS
At March 31, 1999, the following Funds had futures contracts open:
<TABLE>
<CAPTION>
UNREALIZED
VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/
NUMBER OF WHEN OPENED CONTRACTS (DEPRECIATION)
DESCRIPTION CONTRACTS (000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MANAGED INDEX:
S&P 500 Futures (long position) expiring June 1999(a)....... 15 $4,928 $4,850 $(78)
MANAGED SMALLCAP INDEX
Russell 2000 Futures (long position) expiring June
1999(a)................................................... 16 $3,185 3,188 3
</TABLE>
- ---------------
(a) Securities have been segregated as collateral for Managed Index and Managed
SmallCap Index for open futures contracts.
6. SHARES OF BENEFICIAL INTEREST
As of March 31, 1999, 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.
7. LINE OF CREDIT
The Trust participates in an uncommitted line of credit provided by BNY under a
line of credit agreement (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. Interest on borrowings is payable at the Federal Funds Rate plus
0.50% on an annualized basis. Each participating Fund maintains a ratio of no
less than 4 to 1 net assets (not including funds borrowed pursuant to the
Agreement) to the aggregate amount of indebtedness pursuant to the Agreement.
At March 31, 1999, there were no loans outstanding under this Agreement. For the
year ended March 31, 1999, borrowings by the Funds under the Agreement were as
follows:
<TABLE>
<CAPTION>
AVERAGE
AMOUNT AVERAGE
OUTSTANDING INTEREST
FUND (000) RATE
- ----------------------------------------------------------------
<S> <C> <C>
Managed Value Index.................... $ 77 5.21%
Managed SmallCap Value Index........... 18 5.69
Managed SmallCap Index................. 245 5.64
</TABLE>
The average amount outstanding was calculated based on daily balances in the
period.
8. SECURITIES LENDING
Under an agreement with BNY, the Funds can lend their portfolio securities to
approved brokers, dealers and other financial institutions. Loans are
collateralized by cash, in an amount at least equal to the market value of the
securities loaned. The cash collateral received is invested in Nations Cash
64
<PAGE> 68
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Reserves, a portfolio of Nations Institutional Reserves. A portion of the income
generated by the investment of the collateral, net of any rebates paid by BNY to
borrowers, is remitted to BNY as lending agent, and the remainder is paid to the
Fund. 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. The Fund bears the risk of loss with respect to
the investment of collateral.
At March 31, 1999, the following Funds had securities on loan:
<TABLE>
<CAPTION>
MARKET VALUE OF MARKET VALUE
LOANED SECURITIES OF COLLATERAL
FUND (000) (000)
- ------------------------------------------------------------------
<S> <C> <C>
Managed Index................. $16,452 $17,162
Managed SmallCap Index........ 10,961 11,576
</TABLE>
9. CAPITAL LOSS CARRYFORWARD
At March 31, 1999, the Managed Index Fund and Managed Small Cap Index Fund had
available for Federal income tax purposes unused capital losses expiring March
31, 2007 of $1,090,295 and $742,571, respectively.
10. REORGANIZATIONS
On November 12, 1997, Managed Index ("Acquiring Fund"), acquired the assets of
Equity Index/ Enhanced Market Fund, a common trust fund managed by NationsBank
("Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The
number and value of shares issued by the Acquiring Fund are presented in the
Schedule of Capital Stock Activity. Net assets and unrealized appreciation as of
the conversion date were as follows:
<TABLE>
<CAPTION>
TOTAL NET ASSETS OF ACQUIRED FUND
TOTAL NET ASSETS OF TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED
ACQUIRED FUND ACQUIRING FUND AFTER CONVERSION APPRECIATION
(000) (000) (000) (000)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C>
$137,455 $111,269 $248,724 $73,337
</TABLE>
11. SUBSEQUENT EVENTS
Effective May 14, 1999, the maximum contractual levels of advisory and combined
co-administration fees payable by the Funds changed. At that time, the maximum
contractual advisory fee that NBAI is entitled to receive from the Funds
decreased by 0.10% of the Funds' average daily net assets, and the combined
co-administration fee payable to NBAI and Stephens increased by the same amount.
65
<PAGE> 69
NATIONS FUNDS
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND TRUSTEES OF NATIONS FUND TRUST
In our opinion, the accompanying statements of net assets, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Nations Managed Value Index Fund, Nations Managed Index Fund, Nations
Managed SmallCap Value Index Fund and Nations Managed SmallCap Index Fund
(portfolios of Nations Fund Trust, hereafter referred to as the "Funds") at
March 31, 1999, and the results of each of their operations, the changes in each
of their net assets and the financial highlights for the periods indicated, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Funds' management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with generally
accepted auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 1999 by
correspondence with the custodian provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
May 28, 1999
66
<PAGE> 70
NATIONS FUNDS
TAX INFORMATION (UNAUDITED)
For the fiscal year ended March 31, 1999, the amount of long-term capital gains
designated by the Trust were as follows:
<TABLE>
<CAPTION>
FUND TOTAL
---- -----
<S> <C>
Managed Index............................................... $1,888,258
Managed SmallCap Index...................................... 279,674
</TABLE>
Of the ordinary income (including short-term capital gain) distributions made by
the Trust during the fiscal year ended March 31, 1999, the following percentages
qualify for the dividend received deduction available to corporate shareholders:
<TABLE>
<S> <C>
Managed Value Index......................................... 21.08%
Managed Index............................................... 96.65%
Managed SmallCap Value Index................................ 80.34%
Managed SmallCap Index...................................... 63.23%
</TABLE>
66
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[GRAPHIC DEPICTING BASKETS]
<PAGE> 72
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[NATIONS FUNDS LOGO] BULK RATE
U.S. POSTAGE
PAID
P.O. Box 32602 N READING, MA
Charlotte, NC 28234-4602 PERMIT NO.
Toll Free 1-800-982-2271 105
-------------
AR9 97495 3/99
