<PAGE> 1
[GRAPHIC: HAND WITH PUZZLE PIECES] Nations Managed
Value Index Fund
Nations Managed
Index Fund
Nations Managed
SmallCap Value
Index Fund
Nations Managed
SmallCap
Index Fund
MANAGED
INDEX FUNDS
ANNUAL REPORT FOR THE YEAR
ENDED MARCH 31, 2000
[NATIONS FUNDS LOGO]
<PAGE> 2
This Report is submitted for the general information of shareholders of Nations
Funds. This material must be preceded or accompanied by a current Nations Funds
prospectus.
Nations Funds distributor: Stephens Inc., which is not affiliated with Bank of
America 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: Banc of America Advisors, Inc.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
<PAGE> 3
PRESIDENTS' MESSAGE
Dear Shareholder:
As we report on the past 12 months ending March 31,
2000, we need to remind ourselves of two major
investment tenets -- diversification and investing
for the long term. Keep these points in mind as we
take a look back at the past year and where we are
today.
THE YEAR IN REVIEW
For most of 1999, the threat of Y2K was on everyone's
minds. Many companies in the U.S. and around the
world went to great lengths to make sure that
computer systems were compliant and ready to "squash"
the Y2K bug. Fortunately, we entered the 21st century
relatively unscathed. But in the months that led up
to the year 2000 and in the first quarter of the new
year, the markets have put on quite a show. We've
seen an unusual level of volatility and it doesn't
look like things are going to calm down any time
soon.
While large-company stocks continued to perform well
in 1999 and into 2000, markets began to broaden with
small and mid-size company stocks staging turnarounds
and actually outperforming large-company stocks. The
Standard & Poor's 500 Composite Stock Price Index was
up 17.94% for the 12 months ending March 31, 2000,
while the S&P MidCap 400 Index and Russell 2000 Index
were up 38.20% and 37.29%, respectively.* Value
stocks also regained some ground during the period
after several quarters of underperformance versus
growth stocks.
International markets also showed new life in 1999
and into 2000, especially in Asia where it's been a
long recovery since the Asian "malaise" began in
1997. The Morgan Stanley Capital International (MSCI)
Europe, Australasia and Far East (EAFE) Index gained
25.09% for the 12 months ending March 31, 2000,
thanks in large part to the economic recovery in
Japan.**
MARKET MAYHEM
As of late, we have witnessed wild swings in the U.S.
stock markets, setting new milestones for one-day
gains and losses. It's a tumultuous time in the
markets and now, more than ever, it's important to
remember that one key to a successful investment
strategy is diversification. Investing in a number of
sectors allows you to take advantage of those sectors
that are in favor today, and those that may be in
favor tomorrow. And, as shown by how quickly the
markets have rebounded from these dramatic highs and
lows, you need to remember to stay focused on
long-term goals. Investing takes discipline and a
conviction to hold true to your long-term objectives.
As we've said before, investors that took themselves
out of the market based on short-term volatility and
Y2K fears lost out on potential gains in their
investments during that time and face possible tax
implications and fees as a result of their
withdrawal. It's true that over the long term, the
market has trended upward. While there is no
assurance that this trend will continue, the
advantages of long-term investing are clear.
*The Standard & Poor's 500 Composite Stock Price
Index is an unmanaged index of 500 widely held common
stocks. 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 an unmanaged capitalization-weighted
index that tracks the performance of 2000 small
company stocks. It is unavailable for investment.
**The Morgan Stanley Capital International Europe,
Australasia and Far East Index is an unmanaged,
capitalization-weighted index that tracks stocks
traded in twenty countries in Europe, Australia, and
the Far East. It is unavailable for investment.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
<PAGE> 4
PRESIDENTS' MESSAGE CONTINUED...
At Nations Funds, we firmly believe in the value of
advice, especially in times of uncertainty. An
investment professional can keep you abreast of
current market conditions and work with you to
determine the best strategy for surviving short-term
volatility and successfully reaching your long-term
goals.
WHAT'S NEW AT NATIONS FUNDS
In its continuing effort to provide world-class
investment management, Bank of America reorganized a
number of internal investment management units into
Banc of America Capital Management, Inc. (BACAP).
Focusing on both equity and fixed income funds, this
Nations Funds Manager of Distinction(SM) is
responsible for the portfolio management of more than
40 Nations Funds. This entity was developed to
synergize research and investment capabilities into a
premier investment management organization. And the
media has taken notice. You may have seen BACAP
investment professionals regularly featured on
programs on CNBC and CNNfn. When the media looks to
the industry for expert analysis, they are now
turning regularly to the investment professionals of
BACAP.
In addition to the changes at BACAP, we enhanced our
investment management expertise with the addition of
MacKay Shields LLC as our newest Manager of
Distinction to manage Nations High Yield Bond Fund,
which debuted in February. The Fund rounds out our
line of fixed income fund offerings. On the equity
side, we launched a new Fund for a new era -- Nations
Marsico 21st Century Fund. This latest offering
managed by Marsico Capital Management, LLC is
positioned to invest in companies of any size that
are changing the way the world does business.
Not only are new products important to us. Quality
shareholder service continues to be of utmost
importance. We were recognized by DALBAR, Inc. -- an
independent evaluator of customer service in the
mutual fund industry -- with the 1999 Mutual Fund
Service Award. This award was given to us in
recognition of our commitment to provide shareholders
with the highest level of client service in the
mutual fund industry. We will strive to maintain this
level of excellence throughout 2000 and beyond.
We are excited about our growth over the past year
and the opportunities ahead of us. Should you have
any questions or comments on your annual report,
please contact your investment professional or call
us at 1.800.321.7854. You can also visit us online at
www.nations-funds.com.
Thank you for being a part of the Nations Funds
family.
Sincerely,
/s/ A. Max Walker
A. MAX WALKER
PRESIDENT AND CHAIRMAN OF THE BOARD
NATIONS FUNDS
/s/ Robert H. Gordon
ROBERT H. GORDON
PRESIDENT
BANC OF AMERICA ADVISORS, INC.
March 31, 2000
<PAGE> 5
TABLE OF CONTENTS
<TABLE>
<S> <C>
NATIONS FUNDS SPECTRUM 2
ECONOMIC OVERVIEW 3
PORTFOLIO COMMENTARY
Nations Managed Value Index Fund 5
Nations Managed Index Fund 9
Nations Managed SmallCap Value Index Fund 13
Nations Managed SmallCap Index Fund 17
FINANCIAL STATEMENTS
Statements of net assets 21
Statements of operations 40
Statements of changes in net assets 42
Schedules of capital stock activity 44
Financial highlights 48
Notes to financial statements 56
</TABLE>
<TABLE>
<S> <C>
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NATIONS FUNDS
RECOGNIZED FOR
OUTSTANDING
CUSTOMER SERVICE
IN RECOGNITION OF ITS COMMITMENT [DALBAR MUTUAL FUND SERVICE AWARD
TO PROVIDE SHAREHOLDERS WITH THE GRAPHIC AND HONORS COMMITMENT TO:
HIGHEST LEVEL OF CUSTOMER SERVICE FINANCIAL INTERMEDIARIES 1999
IN THE MUTUAL FUND INDUSTRY, GRAPHIC]
NATIONS FUNDS RECEIVED THE DALBAR
MUTUAL FUND SERVICE AWARD IN 1999. DALBAR, Inc., is a well-respected
research firm that measures
customer service levels and
establishes benchmarks in the
financial services industry.
------------------------------------------------------------------------------
</TABLE>
"Standard & Poor's" and "Standard & Poor's 500" are
trademarks of The McGraw-Hill Companies, Inc.
<PAGE> 6
THE NATIONS FUNDS FAMILY OF FUNDS
As of March 31, 2000
LOWER RISK/REWARD POTENTIAL
MONEY MARKET FUNDS
Nations Prime Fund
Nations Cash Reserves
Nations Money Market Reserves
Nations Government Money Market Fund
Nations Government Reserves
Nations Treasury Fund
Nations Treasury Reserves
Nations Tax Exempt Fund
Nations Municipal Reserves
Nations California Tax-Exempt Reserves
FIXED INCOME FUNDS
INCOME FUNDS
Nations High Yield Bond Fund
Nations Strategic Income Fund
Nations U.S. Government Bond Fund
Nations Government Securities Fund
Nations Investment Grade Bond Fund
Nations Intermediate Bond Fund
Nations Short-Intermediate Government Fund
Nations Short-Term Income Fund
TAX-EXEMPT INCOME FUNDS
Nations Municipal Income Fund
Nations State-Specific Long-Term Municipal
Bond Funds (CA, FL, GA,
MD, NC, SC, TN, TX, VA)
Nations Intermediate Municipal Bond Fund
Nations State-Specific Intermediate Municipal
Bond Funds (FL, GA, MD,
NC, SC, TN, TX, VA)
Nations Short-Term Municipal Income Fund
DOMESTIC EQUITY FUNDS
GROWTH FUNDS
Nations Small Company Fund
Nations MidCap Growth Fund
Nations Marsico Focused Equities Fund
Nations Disciplined Equity Fund
Nations Capital Growth Fund
Nations Strategic Growth Fund
Nations Blue Chip Fund
GROWTH AND INCOME FUNDS
Nations Marsico Growth & Income Fund
Nations Value Fund
Nations Equity Income Fund
Nations Asset Allocation Fund
Nations Balanced Assets Fund
Nations Convertible Securities Fund
INTERNATIONAL FUNDS
Nations Emerging Markets Fund
Nations International Growth Fund
Nations International Equity Fund
Nations International Value Fund
HIGHER RISK/REWARD POTENTIAL
INDEX FUNDS
Nations LargeCap Index Fund
Nations Managed Index Fund
Nations SmallCap Index Fund
Nations Managed SmallCap Value Index Fund
Nations Managed Value Index Fund
ASSET ALLOCATION PORTFOLIOS
Nations LifeGoal Balanced Growth Portfolio
Nations LifeGoal Growth Portfolio
Nations LifeGoal Income and Growth Portfolio
2
<PAGE> 7
ECONOMIC OVERVIEW
BANC OF AMERICA CAPITAL MANAGEMENT*
THE YEAR IN REVIEW
Both the U.S. economy and stock market scored
impressive performances in the year ended March 31,
2000. Our economy launched an unprecedented tenth
year of expansion, marking the longest upswing in
American history. And the stock market's continued
climb reflected favorable short-term fundamentals and
a long-term revolution in technology and
communications.
In the year ended March 31, the Standard & Poor's 500
Composite Stock Price Index advanced by 16.5%. While
investors turned in March to some of those economic
sectors largely overlooked in the rush to technology,
the Nasdaq Composite Index still sparkled with an 86%
advance for the past 12 months. A renewed interest in
smaller-capitalization stocks also drove the Russell
2000 Index 36% higher as of March 31.**
During the past year, U.S. real GDP (gross domestic
product) expanded an estimated 5%, while inflation
remained subdued. Despite a near tripling in oil
costs, consumer prices increased by only 2.4%. Two
primary forces deserve credit for this nearly
flawless performance. First, U.S. economic policies
have spawned an environment conducive to
non-inflationary growth. These policies include
deficit reduction, monetary discipline, deregulation
and free foreign trade. Second, a once-in-a-century
wave of innovation has sparked large gains in
productivity through advances in the internet,
computers and information sharing. These advances in
output per hour have restrained inflation and helped
companies achieve double-digit profit gains.
Economic and stock market advances have continued
despite five interest rate hikes enacted by the
Federal Reserve Board (the Fed) over the past year.
Three of those increases simply reversed the easings
triggered by Russia's crisis in 1998. The last two
advances in the Federal Funds Rate have restored the
monetary target to the 6.0% level of 1995. The Fed is
attempting to achieve a tempered and sustainable
economic growth rate consistent with an ongoing low
rate of inflation.
The long-term bond market appears confident that the
Fed will succeed. The yield on 30-year U.S. Treasury
bonds slid below 6.0% by the end of March 2000,
reflecting in part the conviction that economic
growth will ultimately moderate and that inflation
will stay in check. In addition, the Treasury's
decision to buy back $30 billion in government debt
because of the emergence of sizable federal budget
surpluses has been a major force pushing long-term
Treasury bond yields lower.
*Banc of America Capital Management is the investment
management group of Bank of America, N.A.
and includes Banc of America Capital Management,
Inc., investment sub-adviser to many Nations Funds,
and other non-bank affiliates of Bank of America.
**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 Nasdaq Composite Index tracks the performance of
domestic common stocks traded on the regular
Nasdaq market as National Market System traded
foreign stocks and ADRs. It is unmanaged and
unavailable for investment.
The Russell 2000 Index is an unmanaged,
capitalization-weighted index that tracks the
performance of 2000 small company stocks. It is
unavailable for investment.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
3
<PAGE> 8
ECONOMIC OVERVIEW CONTINUED...
The past 12 months have also witnessed the emergence
of a global recovery. Much of Asia has rebounded
smartly from the scourge of devaluations that began
in 1997. Japan's economy has continued to struggle
but appears to be on a modest upward track. The new
"Eurozone" has moved forward, although growth has
been moderate. Even Russia has begun to emerge from
the turmoil of 1998. Finally, while parts of Latin
America -- such as Venezuela and Argentina --
continue to struggle, Brazil appears to have turned
the corner and Mexico has prospered.
The major non-event of the year turned out to be the
"Y2K" date change. Although computer failures could
have wreaked havoc on financial markets and the
global economy, extensive investment and preparation
by the technology-dependent countries allowed markets
to celebrate the new year with barely a hiccup.
THE YEAR AHEAD
Look for the U.S. economy to continue its expansion
during the coming year, with no recession looming on
the horizon. We forecast growth to moderate, however,
to 3.5% or less over the course of the next 12
months. This pace will be more consistent with a
long-term sustainable trend.
Inflation should remain constrained. Although low
unemployment may cause additional upward pressure on
wages and benefits, productivity gains should offset
much of that increase. Meanwhile, a step-up in
production by oil producing countries should cause
energy prices to subside from the peaks reached in
early 2000.
We also anticipate one or two more interest rate
hikes from the Fed as monetary authorities attempt to
rein in growth and ensure that the economy does not
overheat. Long-term interest rates have already
largely incorporated expectations of such additional
tightening.
The stock market has displayed extreme volatility
recently, and large swings are likely to continue.
Strong profit growth and moderate interest rates
should support a further rise in overall stock prices
during the coming year. However, general gains of
more than 10% should be more difficult to achieve,
especially as the surge in the technology sector has
tended to overstate some of the general strength in
the market.
While the long-term fundamentals underpinning the
technology sector remain compelling, a reallocation
in portfolios generally has begun. Investors have
started to switch from internet, communications, and
biotechnology stocks with very high valuations to
other market segments with much lower
price-to-earnings ratios***. We think this
rebalancing of the market is healthy, especially as
it involves some broadening in its strength to
encompass the financial, consumer noncyclical and
industrial sectors of the market. Also, look for
investors to continue to discern between internet and
other new firms that are likely to be long-term
survivors and those that have set up shop with only a
concept and a promise.
LYNN REASER, PH.D.
CHIEF ECONOMIST
BANC OF AMERICA CAPITAL MANAGEMENT
March 31, 2000
***The price-to-earnings ratio gives investors an
idea of how much they are paying for a company's
earning power.
Source for all statistical data -- Banc of America
Capital Management.
4
<PAGE> 9
NATIONS MANAGED VALUE INDEX FUND
QUANTITATIVE STRATEGIES 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, 2000 AND ITS OUTLOOK FOR THE
FUTURE.
PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY.
The Fund is managed by the
Quantitative Strategies Team of Unlike traditional index funds, Nations Managed Value Index
Banc of America Capital Fund has an active management overlay. We believe by
Management, Inc., investment minimizing exposure to unattractive securities and by
sub-adviser to the Fund. seeking to control portfolio risk, we can maintain the
characteristics of the S&P/BARRA Value Index and provide
INVESTMENT OBJECTIVE investors with the potential for positive incremental
The Fund seeks, over the long performance relative to the benchmark index. In addition,
term, to provide a total return the Fund employs various techniques, such as limiting
that (before fees and expenses) portfolio turnover, to manage capital gains distributions.
exceeds the total return of the
Standard & Poor's 500/BARRA Value HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
Index (S&P/BARRA Value Index).** PREVAILED OVER THE PAST 12 MONTHS?+
PERFORMANCE REVIEW The Fund returned 7.78%, trailing the S&P/BARRA Value Index,
For the 12-month period ended which posted a return of 9.85% over the past 12 months. The
March 31, 2000, Nations Managed Fund's financial, technology, consumer staples and
Value Index Fund Investor A Shares communications services sectors performed well. Its energy,
provided shareholders with a total consumer cyclicals, utilities and capital goods positions
return of 7.78%.*** lagged the relevant sector returns in the Index. The
portfolio's technology stocks averaged returns of more than
125% for the year, beating the technology sector of the
Index, which had a return of approximately 110%.
PLEASE DESCRIBE THE INVESTMENT PROCESS.
Relative to the entire Standard & Poor's 500 Composite Stock
Price Index (S&P 500 Index)++, the stocks comprising the
subset of the S&P/BARRA Value Index have low price-to-book
ratios+++. These ratios are calculated by taking each
company's current stock price and dividing it by the book
value of the company's equity. The stocks in the S&P/BARRA
Value Index are generally considered to be value-oriented
stocks. The Fund does not attempt to outperform the S&P 500
Index. Rather, the Fund seeks to outperform only a portion
of it -- the value-oriented stocks of the S&P/BARRA Value
Index.
</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.
++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-to-book ratio compares a company's
market value to the value of total assets less total
liabilities (book value).
Source for all statistical data -- Banc of America
Capital Management, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
5
<PAGE> 10
NATIONS MANAGED VALUE INDEX FUND
QUANTITATIVE STRATEGIES TEAM COMMENTARY continued
<TABLE>
<S> <C>
The stock selection process uses quantitative analysis to
rank the attractiveness of each stock based on a
multi-factor model. Among the potential factors this model
takes into account are book value, earnings yield, cash
flow, growth and price momentum of each stock. Stocks are
then assigned a ranking. Generally, those stocks viewed as
most attractive will be overweighted while those viewed
least attractive will be underweighted or eliminated.
However, final selection decisions are made subject to the
Fund's overall risk control discipline. This strategy is
designed to produce a portfolio whose aggregate
characteristics closely resemble the benchmark, while
maximizing exposure to those attributes believed to be
indicative of superior performance.
By limiting portfolio turnover, the management team also
seeks to minimize the distribution of capital gains to
shareholders. To further manage realized capital gains, the
Fund employs the "highest in first out" (HIFO) accounting
methodology. This strategy permits, when "trimming" Fund
holdings of a security, the sale of specific shares with the
highest tax basis first to reduce the amount of any realized
capital gain.
In addition, the team may manage realized capital gains by
practicing tax-loss harvesting# to offset gains with losses.
This strategy can reduce the cumulative taxable gain of the
Fund.
WHAT INVESTMENT OPPORTUNITIES DO YOU ANTICIPATE FOR THE
COMING YEAR?
We believe we are in a less favorable overall stock market
environment than a year ago. The Federal Reserve Board (the
Fed) is sensitive to the robust growth in the economy. The
Fed has notched up interest rates, even though prices in the
economy reflect low inflation and high company productivity.
However, after five years of 20% annual gains in the broad
market, we would not be surprised to see lower returns in
the coming 12-month period.
</TABLE>
#Tax-loss harvesting is a method whereby a mutual
fund may, at times, sell portfolio securities in
order to realize capital losses.
6
<PAGE> 11
NATIONS MANAGED
VALUE INDEX FUND
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/00)
[PIE CHART]
<TABLE>
<C> <S>
1.9% Electric power
2.2% Chemicals -- Basic
2.4% Semiconductors
2.6% Media
3.8% Computer related
4.1% Insurance
5.7% Financial services
7.7% Oil-International
8.2% Utilities - Telephone
13.9% Banking
47.5% Other
</TABLE>
<TABLE>
<C> <S> <C>
TOP 10 HOLDINGS
-------------------------------------------------
1 Exxon Mobil Corporation 4.3%
-------------------------------------------------
2 Citigroup Inc. 3.5%
-------------------------------------------------
3 AT&T Corporation 3.1%
-------------------------------------------------
4 Hewlett-Packard Company 2.6%
-------------------------------------------------
5 American International Group, Inc. 2.2%
-------------------------------------------------
6 Morgan Stanley Dean Witter & Company 2.0%
-------------------------------------------------
7 BellSouth Corporation 1.8%
-------------------------------------------------
8 Royal Dutch Petroleum Company 1.8%
-------------------------------------------------
9 Chase Manhattan Corporation 1.5%
-------------------------------------------------
10 Motorola, Inc. 1.4%
-------------------------------------------------
THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE
EXAMPLES OF THE INDUSTRIES AND SECURITIES IN
WHICH THE FUND MAY INVEST.
</TABLE>
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 2000, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
7
<PAGE> 12
NATIONS MANAGED
VALUE INDEX FUND
PERFORMANCE
GROWTH OF A $10,000 INVESTMENT
[INVESTOR A SHARES]
<TABLE>
<CAPTION>
NATIONS MANAGED VALUE INDEX FUND
$12,614 S&P/BARRA VALUE INDEX $13,243
-------------------------------- -----------------------------
<S> <C> <C>
Nov. 24|1997 10000 10000
10267 10222
1998 11368 11403
11395 11462
9964 9982
11659 11722
1999 11704 12056
12955 13358
11702 12125
12739 13213
Mar. 31|2000 12614 13243
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
<TABLE>
<CAPTION>
SINCE INCEPTION
<S> <C>
(11/24/97
through
3/31/00) 10.40%
</TABLE>
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 share
class. 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 3/31/00)
<TABLE>
<CAPTION>
PRIMARY A INVESTOR A
<S> <C> <C> <C>
Inception date 11/24/97 11/24/97
-----------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 8.07% 7.78%
-----------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
SINCE INCEPTION 10.61% 10.40%
</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 distributions.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
8
<PAGE> 13
NATIONS MANAGED INDEX FUND
QUANTITATIVE STRATEGIES 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, 2000 AND ITS OUTLOOK FOR THE FUTURE.
PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY.
The Fund is managed by the Unlike traditional index funds, Nations Managed Index Fund
Quantitative Strategies Team of has an active management overlay. We believe by minimizing
Banc of America Capital exposure to unattractive securities and by seeking to
Management, Inc., investment control portfolio risk, we can maintain the characteristics
sub-adviser to the Fund. of the S&P 500 Index and provide investors with the
INVESTMENT OBJECTIVE potential for positive incremental performance relative to
The Fund seeks, over the long the benchmark index. In addition, the Fund employs various
term, to provide a total return techniques, such as limiting portfolio turnover, to manage
that (before fees and expenses) capital gains distributions.
exceeds the total return of the HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
Standard & Poor's 500 Composite PREVAILED OVER THE PAST 12 MONTHS?+
Stock Price Index (S&P 500 Technology almost single-handedly provided the market's
Index).** strength during the year, advancing more than 70%, while the
PERFORMANCE REVIEW energy and communication services sectors were up by
For the 12-month period ended double-digit percentages. Capital goods, consumer cyclicals
March 31, 2000, Nations Managed and basic materials posted positive single-digit percentage
Index Fund Investor A Shares returns, while financials, utilities, health care,
provided shareholders with a total transportation and consumer staples declined over the
return of 15.04%.*** period.
The Fund lagged the benchmark S&P 500 Index because a
concentration of extraordinarily high priced stocks in the
Index experienced astounding returns. In fact, ten stocks
contributed over 75% of the Index's return. The value
component of the Fund's stock selection model acted as a
penalty factor in this environment. Having said that, the
Fund significantly outperformed its peer group, the Lipper
LargeCap Value Funds Universe, returning 15.04% versus the
peer group's 9.37% return.++
PLEASE DESCRIBE THE INVESTMENT PROCESS.
The stock selection process uses quantitative analysis to
rank the attractiveness of each stock based on a
multi-factor model. Among the potential factors taken into
account in the model are book value, earnings yield, cash
flow, growth, and price momentum of each stock. Stocks are
then assigned a ranking. Generally, those stocks viewed as
most attractive will be overweighted while those viewed
least attractive will be underweighted or eliminated.
However, final selection decisions
</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 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.
++Lipper Inc. is an independent mutual fund
performance monitor. Funds included in the Lipper
LargeCap Value Universe seek long-term growth of
capital by investing in large-capitalization
companies that are considered to be undervalued.
Source for all statistical data -- Banc of America
Capital Management, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
9
<PAGE> 14
NATIONS MANAGED INDEX FUND
QUANTITATIVE STRATEGIES TEAM COMMENTARY continued
<TABLE>
<S> <C>
are made subject to the Fund's overall risk control
discipline. This strategy is designed to produce a portfolio
whose aggregate characteristics closely resemble the
benchmark S&P 500 Index while maximizing exposure to those
attributes believed to be indicative of superior
performance.
By limiting portfolio turnover, the management team also
seeks to minimize the distribution of capital gains to
shareholders. To manage realized capital gains further, the
Fund employs the "highest in first out" (HIFO) accounting
methodology. This strategy permits, when "trimming" Fund
holdings of a security, the sale of specific shares with the
highest tax basis first to reduce the amount of any realized
capital gain.
In addition, the team may manage realized capital gains by
practicing tax-loss harvesting+++ to offset gains with
losses. This strategy can reduce the cumulative taxable gain
of the Fund.
WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED
UNFAVORABLE?
The Fund's underweighted position in consumer staples as
well as stock selection within financial stocks provided
positive contributions to performance. The strongest sector
in terms of absolute performance was technology. However,
while the Fund's technology positions advanced approximately
75%, the Fund was underweighted due to historically high
valuations of technology stocks. This underweighting
detracted from relative performance. In addition,
performance lagged due to a slightly overweighted position
in utilities and an underweighted position in energy.
WHAT DO YOU ANTICIPATE FOR THE COMING YEAR?
We believe we are in a less favorable market environment
than a year ago. The Federal Reserve Board is sensitive to
the robust economic growth and has notched up interest
rates, even though prices in the economy continue to reflect
low inflation and high company productivity. However, after
five years of 20-percent-annual market gains, we would not
be surprised to see lower returns in the coming 12-month
period.
+++Tax-loss harvesting is a method whereby a mutual fund
may, at times, sell portfolio securities in order to realize
capital losses.
</TABLE>
10
<PAGE> 15
NATIONS MANAGED INDEX FUND
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/00)
[PIE CHART]
<TABLE>
<C> <S>
3.4% Media
3.5% Oil - International
4.7% Manufacturing
5.6% Networking equipment and products
6.4% Drugs
6.9% Semiconductors
7.1% Utilities - Telephone
7.2% Banking
8.0% Computer related
8.8% Computer software
38.4% Other
</TABLE>
<TABLE>
<C> <S> <C>
TOP 10 HOLDINGS
-------------------------------------------------
1 General Electric Company 4.3%
-------------------------------------------------
2 Microsoft Corporation 4.3%
-------------------------------------------------
3 Cisco Systems, Inc. 4.1%
-------------------------------------------------
4 Intel Corporation 3.5%
-------------------------------------------------
5 Wal-Mart Stores, Inc. 2.0%
-------------------------------------------------
6 Exxon Mobil Corporation 1.9%
-------------------------------------------------
7 International Business Machines
Corporation 1.8%
-------------------------------------------------
8 Citigroup Inc. 1.7%
-------------------------------------------------
9 Oracle Corporation 1.7%
-------------------------------------------------
10 Pfizer Inc. 1.6%
-------------------------------------------------
THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE
EXAMPLES OF THE INDUSTRIES AND SECURITIES IN
WHICH THE FUND MAY INVEST.
</TABLE>
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 2000, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
11
<PAGE> 16
NATIONS MANAGED INDEX FUND
PERFORMANCE
GROWTH OF A $10,000 INVESTMENT
[INVESTOR A SHARES AT MOP* RETURN CHART]
<TABLE>
<CAPTION>
NATIONS MANAGED INDEX FUND S&P 500 COMPOSITE STOCK PRICE
$23,391 INDEX $24,807
-------------------------- -----------------------------
<S> <C> <C>
July 31|1996 10000 10000
10744 10786
11695 11684
1997 12013 11998
14049 14094
15231 15148
15578 15583
1998 17686 17756
18221 18342
16277 16517
19681 20035
1999 20334 21035
21707 22518
20226 21111
23106 24252
Mar. 31|2000 23391 24807
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
<TABLE>
<CAPTION>
SINCE INCEPTION
<S> <C>
(7/31/96
through
3/31/00) 26.08%
</TABLE>
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 share class.
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 3/31/00)
<TABLE>
<CAPTION>
PRIMARY A PRIMARY B INVESTOR A
<S> <C> <C> <C> <C>
Inception date 7/31/96 9/4/97 7/31/96
------------------------------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 15.33% 14.70% 15.04%
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
3 YEARS 25.17% -- 24.87%
SINCE INCEPTION 26.36% 18.79% 26.08%
</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 distributions.
The performance shown includes the effect of fee waivers by the investment
adviser, which have the effect of increasing total return.
12
<PAGE> 17
NATIONS MANAGED SMALLCAP
VALUE INDEX FUND
QUANTITATIVE STRATEGIES 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, 2000 AND ITS OUTLOOK FOR
THE FUTURE.
PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY.
The Fund is managed by the Unlike traditional index funds, Nations Managed SmallCap
Quantitative Strategies Team of Value Index Fund has an active management overlay. We
Banc of America Capital believe by minimizing exposure to unattractive securities
Management, Inc., investment and by seeking to control portfolio risk to maintain the
sub-adviser to the Fund. characteristics of the S&P/BARRA SmallCap Value Index, we
INVESTMENT OBJECTIVE can provide investors with the potential for positive
The Fund seeks, over the long incremental performance relative to the benchmark index. In
term, to provide a total return addition, the Fund employs various techniques, such as
that (before fees and expenses) limiting portfolio turnover, to manage capital gains
exceeds the total return of the distributions.
Standard & Poor's SmallCap HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
600/BARRA Value Index (S&P/BARRA PREVAILED OVER THE PAST 12 MONTHS?+
SmallCap Value Index).** The Fund returned 13.89%, trailing the benchmark, which
PERFORMANCE REVIEW posted a return of 17.14% over the past 12 months. The
For the 12-month period ended Fund's financial and basic materials sectors performed well,
March 31, 2000, Nations Managed while technology and health care were particularly
SmallCap Value Index Fund Investor problematic. The strongest sector in terms of absolute
A Shares provided shareholders performance was technology, with the Fund's technology
with a total return of 13.89%.*** positions advancing approximately 130%. However, because of
historically high stock valuations in technology, the Fund
was underweighted in the sector, detracting from relative
performance. Similarly, the biotechnology group (included
within the health care sector of the Index) had a 300% gain.
The portfolio was underweighted in this area due to the
valuation component of the stock selection process,
detracting from performance.
</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 -- Banc of America
Capital Management, Inc.
BECAUSE SMALL COMPANIES OFTEN HAVE NARROWER MARKETS
AND LIMITED FINANCIAL RESOURCES, AND THEIR STOCKS ARE
NOT AS ACTIVELY TRADED AS LARGE COMPANY STOCKS, THEIR
SHARE PRICES MAY BE MORE VOLATILE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
13
<PAGE> 18
NATIONS MANAGED SMALLCAP
VALUE INDEX FUND
QUANTITATIVE STRATEGIES TEAM COMMENTARY continued
<TABLE>
<S> <C>
PLEASE DESCRIBE THE INVESTMENT PROCESS.
Relative to the entire Standard & Poor's SmallCap 600
Index++, the subset of stocks comprising the S&P/BARRA
SmallCap Value Index includes companies that have low
price-to-book ratios.+++ These ratios are calculated by
taking each company's current stock price and dividing it by
the book value of the company's equity. Stocks in the
S&P/BARRA SmallCap Value Index are generally considered to
be value-oriented stocks. The Fund does not attempt to
outperform the S&P SmallCap 600 Index. Rather, the Fund
seeks to outperform only a portion of it -- the
value-oriented stocks of this small company index.
The stock selection process uses quantitative analysis to
rank the attractiveness of each stock based on a
multi-factor model. Among the potential factors this model
takes into account are book value, earnings yield, cash
flow, growth and price momentum of each stock. Stocks are
then assigned a ranking. Generally, those stocks viewed as
most attractive will be overweighted while those viewed
least attractive will be underweighted or eliminated.
However, final selection decisions are made subject to the
Fund's overall risk control discipline. This strategy is
designed to produce a portfolio whose aggregate
characteristics closely resemble the benchmark, while
maximizing exposure to those attributes believed to be
indicative of superior performance.
By limiting portfolio turnover, the management team also
seeks to minimize the distribution of capital gains to
shareholders. To further manage realized capital gains, the
Fund employs the "highest in first out" (HIFO) accounting
methodology. This strategy permits, when "trimming" Fund
holdings of a security, the sale of specific shares with the
highest tax basis first to reduce the amount of any realized
capital gain.
In addition, the team may manage realized capital gains by
practicing tax-loss harvesting# to offset gains with losses.
This strategy can reduce the cumulative taxable gain of the
Fund.
WHAT INVESTMENT OPPORTUNITIES DO YOU ANTICIPATE FOR THE
COMING YEAR?
We believe we are in a less favorable overall stock market
environment than a year ago. The Federal Reserve Board is
sensitive to the robust economic growth and has notched up
interest rates, even though prices in the economy continue
to reflect low inflation and high company productivity.
However, after five years of 20-percent-annual market gains
in the larger capitalization broad market, we would not be
surprised to see lower returns in the coming 12-month
period.
</TABLE>
++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 price-to-book ratio compares a company's
market value to the value of total assets less total
liabilities (book value).
#Tax-loss harvesting is a method whereby a mutual
fund may, at times, sell portfolio securities in
order to realize capital losses.
14
<PAGE> 19
NATIONS MANAGED SMALLCAP
VALUE INDEX FUND
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/00)
[PIE CHART]
<TABLE>
<C> <S>
3.0% Medical services
3.0% Transportation
3.2% Insurance
3.3% Consumer goods and services
3.8% Metals and mining
4.3% Medical products and supplies
4.8% Financial services
5.5% Retail - Specialty
5.8% Banking
6.5% Oil and gas
56.8% Other
</TABLE>
<TABLE>
<C> <S> <C>
TOP 10 HOLDINGS
-------------------------------------------------
1 Silicon Valley Bancshares 1.7%
-------------------------------------------------
2 International Rectifier Corporation 1.6%
-------------------------------------------------
3 Radian Group Inc. 1.5%
-------------------------------------------------
4 Cullen Frost Bankers Inc. 1.3%
-------------------------------------------------
5 Zale Corporation 1.2%
-------------------------------------------------
6 Pogo Producing Company 1.1%
-------------------------------------------------
7 Vintage Petroleum, Inc. 1.1%
-------------------------------------------------
8 Cambrex Corporation 1.0%
-------------------------------------------------
9 Newfield Exploration Company 1.0%
-------------------------------------------------
10 Snyder Communications, Inc. 1.0%
-------------------------------------------------
THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE
EXAMPLES OF THE INDUSTRIES AND SECURITIES IN
WHICH THE FUND MAY INVEST.
</TABLE>
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 2000, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
15
<PAGE> 20
NATIONS MANAGED SMALLCAP
VALUE INDEX FUND
PERFORMANCE
GROWTH OF A $10,000 INVESTMENT
[INVESTOR A SHARES AT MOP* RETURN CHART]
<TABLE>
<CAPTION>
NATIONS MANAGED SMALLCAP VALUE S&P/BARRA SMALL CAP VALUE INDEX
INDEX FUND $10,429 $10,352
------------------------------ -------------------------------
<S> <C> <C>
Nov. 24|1997 10000 10000
10410 10291
1998 11479 11460
11239 11021
8983 8630
10086 9755
1999 9158 8820
10979 10596
10107 9810
10233 10066
Mar. 31|2000 10429 10352
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
<TABLE>
<CAPTION>
SINCE INCEPTION
<S> <C>
(11/24/97
through
3/31/00) 1.81%
</TABLE>
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
share class. 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 3/31/00)
<TABLE>
<CAPTION>
PRIMARY A INVESTOR A
<S> <C> <C>
Inception date 11/24/97 11/24/97
-------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 14.20% 13.89%
-------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
SINCE INCEPTION 2.02% 1.81%
</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 distributions.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
16
<PAGE> 21
NATIONS MANAGED SMALLCAP
INDEX FUND
QUANTITATIVE STRATEGIES 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, 2000 AND ITS OUTLOOK FOR THE
FUTURE.
PORTFOLIO MANAGEMENT EFFECTIVE MAY 12, 2000 NATIONS MANAGED SMALLCAP INDEX
The Fund is managed by the FUND WILL CHANGE ITS NAME, INVESTMENT OBJECTIVE AND
Quantitative Strategies Team of PRINCIPAL INVESTMENT STRATEGIES.
Banc of America Capital The Fund will be renamed Nations SmallCap Index Fund and
Management, Inc., investment its investment objective will be "to seek over the long
sub-adviser to the Fund. term, to provide a total return that (before fees and
INVESTMENT OBJECTIVE expenses) corresponds to the total return of the Standard
The Fund seeks, over the long & Poor's SmallCap 600 Index". After May 12, 2000, the
term, to provide a total return Fund will be managed as a passive index fund, replicating
that (before fees and expenses) the holdings of the S&P SmallCap 600 Index.
exceeds the total return of the PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY
Standard & Poor's SmallCap 600 DURING THE PERIOD.
Index (S&P SmallCap 600 Index).** Unlike traditional index funds, Nations Managed SmallCap
PERFORMANCE REVIEW Index Fund employed an active management overlay. By
For the 12-month period ended minimizing exposure to unattractive securities and by
March 31, 2000, Nations Managed seeking to control portfolio risk, we believed we could
SmallCap Index Fund Investor A maintain the characteristics of the S&P SmallCap 600 Index
Shares provided shareholders with while providing investors with the potential for positive
a total return of 22.67%.*** incremental performance relative to the benchmark index. In
addition, the Fund employed various techniques, such as
limiting portfolio turnover, to manage capital gains
distributions.
HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT
PREVAILED OVER THE PAST 12 MONTHS?+
Technology almost single-handedly provided the market's
strength during the year, advancing in excess of 125%.
Health care, driven by strong returns from biotechnology
companies, was up more than 40%, as was the energy sector.
Financials, consumer cyclicals and consumer staples declined
over the year.
The Fund lagged the benchmark S&P SmallCap 600 Index due the
extraordinary valuation profile of "concept" stocks that
advanced well over 200, 300, even 400%. In fact, 5% -- or 30
stocks -- of the S&P SmallCap 600 Index contributed
</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.
+Portfolio characteristics are subject to change and
may not reflect current characteristics.
Source for all statistical data -- Banc of America
Capital Management, 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
PRICE MAY BE MORE VOLATILE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
17
<PAGE> 22
NATIONS MANAGED SMALLCAP
INDEX FUND
QUANTITATIVE STRATEGIES TEAM COMMENTARY continued
<TABLE>
<S> <C>
more than 60% of the Index's return. These 30 companies
returned on average over 350%. The valuation component of
our stock selection model acted as a penalty factor in this
environment.
PLEASE DESCRIBE THE INVESTMENT PROCESS EMPLOYED DURING THE
PERIOD.
The stock selection process used quantitative analysis to
rank the attractiveness of each stock based on a
multi-factor model. Among the potential factors this model
took into account were book value, earnings yield, cash
flow, growth and price momentum of each stock. Stocks were
then assigned a ranking. Generally, those stocks viewed as
most attractive were overweighted while those viewed least
attractive were underweighted or eliminated. However, final
selection decisions were made subject to the Fund's overall
risk control discipline. This strategy was designed to
produce a portfolio whose aggregate characteristics closely
resembled the benchmark, while maximizing exposure to those
attributes believed to be indicative of superior
performance.
By limiting portfolio turnover, the management team also
sought to minimize the distribution of capital gains to
shareholders. To further manage realized capital gains, the
Fund employed the "highest in first out" (HIFO) accounting
methodology. This strategy permits, when "trimming" Fund
holdings of a security, the sale of specific shares with the
highest tax basis first to reduce the amount of any realized
capital gain.
In addition, the team managed realized capital gains by
practicing tax-loss harvesting++ to offset gains with
losses. This strategy can reduce the cumulative taxable gain
of the Fund.
WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED
UNFAVORABLE?
Although the portfolio's technology investments posted a
return approaching 120%, modest underweightings in
technology and in health care held back performance. In
addition, a modest overweighting in consumer cyclicals
contributed negatively to performance. This overweighting
was attributable to the stock selection model's valuation
component. The valuation penalty was consistently evident
across most of the portfolio's economic sectors.
WHAT DO YOU ANTICIPATE FOR THE COMING YEAR?
We believe we are in a less favorable market environment
than a year ago. The Federal Reserve Board is sensitive to
the robust economic growth and has notched up interest
rates, even though prices in the economy continue to reflect
low inflation and high company productivity. We would not be
surprised to see lower returns in the coming 12-month
period.
++Tax-loss harvesting is a method whereby a mutual fund may,
at times, sell portfolio securities in order to realize
capital losses.
</TABLE>
18
<PAGE> 23
NATIONS MANAGED SMALLCAP
INDEX FUND
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/00)
[PIE CHART]
<TABLE>
<C> <S>
2.7% Computer related
3.9% Commercial services
4.0% Electronics
4.0% Retail - Specialty
4.3% Medical products and supplies
4.3% Telecommunications
4.9% Banking
4.9% Drugs
6.2% Semiconductors
7.5% Computer software
53.3% Other
</TABLE>
<TABLE>
<C> <S> <C>
TOP 10 HOLDINGS
-------------------------------------------------
1 Mercury Interactive Corporation 1.2%
-------------------------------------------------
2 Burr-Brown Corporation 1.2%
-------------------------------------------------
3 IDEC Pharmaceuticals Corporation 1.0%
-------------------------------------------------
4 U.S. Trust Corporation 1.0%
-------------------------------------------------
5 KEMET Corporation 0.9%
-------------------------------------------------
6 Lattice Semiconductor Corporation 0.9%
-------------------------------------------------
7 Eaton Vance Corporation 0.9%
-------------------------------------------------
8 American Management Systems 0.8%
-------------------------------------------------
9 Micrel Inc. 0.7%
-------------------------------------------------
10 SEI Investment Company 0.7%
-------------------------------------------------
THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE
EXAMPLES OF THE INDUSTRIES AND SECURITIES IN
WHICH THE FUND MAY INVEST.
</TABLE>
PORTFOLIO HOLDINGS WERE CURRENT
AS OF MARCH 31, 2000, ARE
SUBJECT TO CHANGE AND MAY NOT BE
REPRESENTATIVE OF CURRENT HOLDINGS.
19
<PAGE> 24
NATIONS MANAGED SMALLCAP
INDEX FUND
PERFORMANCE
GROWTH OF A $10,000 INVESTMENT
[INVESTOR A SHARES RETURN CHART]
<TABLE>
<CAPTION>
NATIONS MANAGED SMALLCAP
INDEX FUND $14,122 S&P SMALLCAP 600 INDEX $15,386
------------------------------ ------------------------------
<S> <C> <C>
Oct. 15|1996 10000 10000
10315 10433
1997 9848 9854
11573 11640
13373 13522
13155 13104
1998 14510 14554
14018 13904
11089 10998
12906 12932
1999 11511 11770
13250 13585
12416 12929
13588 14539
Mar. 31|2000 14122 15386
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
Investor A Shares
<TABLE>
<CAPTION>
SINCE INCEPTION
<S> <C>
(10/15/96
through
3/31/00) 10.50%
</TABLE>
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 share
class. 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 3/31/00)
<TABLE>
<CAPTION>
PRIMARY A INVESTOR A
<S> <C> <C>
Inception date 10/15/96 10/15/96
---------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 22.97% 22.67%
---------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
3 YEARS 13.03% 12.77%
SINCE INCEPTION 10.77% 10.50%
</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 distributions.
The performance shown includes the effect of fee waivers by the investment
adviser, which have the effect of increasing total return.
20
<PAGE> 25
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
--------------------------------------------------------------
<C> <S> <C> <C>
COMMON STOCKS -- 83.9%
AEROSPACE AND DEFENSE -- 1.7%
875 Boeing Company++......................... $ 33
175 General Dynamics Corporation............. 9
175 Honeywell International Inc. ............ 9
175 Northrop Grumman Corporation............. 9
------
60
------
APPAREL AND TEXTILES -- 0.3%
50 National Service Industries, Inc. ....... 1
150 Nike, Inc., Class B...................... 6
50 Springs Industries Inc., Class A......... 2
50 V.F. Corporation......................... 1
------
10
------
AUTOMOBILE PARTS MANUFACTURERS -- 0.1%
175 Dana Corporation......................... 5
------
AUTOMOBILES AND TRUCKS -- 1.7%
900 Ford Motor Company++..................... 40
200 General Motors Corporation............... 17
50 PACCAR, Inc. ............................ 3
------
60
------
BANKING -- 13.9%
600 Banc One Corporation..................... 21
300 Bank of New York Company Inc. ........... 12
175 BB&T Corporation......................... 5
600 Chase Manhattan Corporation++............ 52
2,050 Citigroup Inc.++......................... 122
100 Comerica Inc. ........................... 4
675 Fannie Mae............................... 38
150 Fifth Third Bancorp...................... 9
1,025 Firstar Corporation...................... 24
875 FleetBoston Financial Corporation........ 32
450 Golden West Financial Corporation........ 14
175 Huntington Bancshares Incorporated....... 4
175 J.P. Morgan & Company Inc. .............. 23
400 KeyCorp.................................. 8
125 Northern Trust Corporation............... 8
500 PNC Financial Services Group............. 23
400 SouthTrust Corporation................... 10
50 State Street Corporation................. 5
200 SunTrust Banks, Inc. .................... 12
175 U.S. Bancorp............................. 4
150 Wachovia Corporation..................... 10
875 Wells Fargo Company++.................... 36
------
476
------
BEVERAGES -- 0.6%
100 Adolph Coors Company, Class B............ 5
175 Coca-Cola Enterprises Inc. .............. 4
200 Seagram Company Ltd. .................... 11
------
20
------
CHEMICALS -- BASIC -- 2.2%
150 Air Products & Chemicals Inc. ........... 4
175 Dow Chemical Company..................... 20
500 E.I. duPont de Nemours and Company....... 27
75 FMC Corporation=......................... 4
175 Mallinckrodt Group Inc. ................. 5
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
--------------------------------------------------------------
<C> <S> <C> <C>
CHEMICALS -- BASIC -- (CONTINUED)
75 PPG Industries, Inc. .................... $ 4
100 Praxair Inc. ............................ 4
175 Rohm & Haas Company...................... 8
------
76
------
COMPUTER RELATED -- 3.8%
175 Apple Computer Inc.=..................... 24
675 Hewlett-Packard Company++................ 89
200 Seagate Technology Inc.=................. 12
275 Unisys Corporation=...................... 7
------
132
------
COMPUTER SOFTWARE -- 1.5%
500 Cabletron Systems, Inc.=................. 15
475 Electronic Data Systems Corporation...... 30
175 First Data Corporation................... 8
------
53
------
CONGLOMERATE -- 1.4%
450 Dover Corporation........................ 21
150 Rockwell International Corporation....... 6
325 United Technologies Corporation.......... 21
------
48
------
CONSTRUCTION -- 0.8%
175 Fluor Corporation........................ 5
225 Masco Corporation........................ 5
875 Sherwin-Williams Company................. 19
------
29
------
CONTAINERS AND PACKAGING -- 0.2%
175 Ball Corporation......................... 6
100 Owens-Illinois, Inc.=.................... 2
------
8
------
DISTRIBUTION AND WHOLESALE -- 0.3%
175 Costco Wholesale Corporation............. 9
------
DIVERSIFIED -- 1.3%
325 Fortune Brands Inc. ..................... 8
350 Minnesota Mining & Manufacturing
Company................................ 31
100 Textron Inc. ............................ 6
------
45
------
DRUGS -- 1.2%
150 Monsanto Company......................... 8
575 Pharmacia & Upjohn, Inc.++............... 34
------
42
------
ELECTRIC POWER -- 1.9%
225 Consolidated Edison, Inc. ............... 7
175 Duke Energy Corporation.................. 9
400 Entergy Corporation...................... 8
75 Florida Progress Corporation............. 3
200 GPU, Inc. ............................... 5
350 P G & E Corporation...................... 7
325 Public Service Enterprise Group.......... 10
550 Southern Company......................... 13
175 Texas Utilities Company.................. 5
------
67
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE> 26
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
--------------------------------------------------------------
<C> <S> <C> <C>
ELECTRICAL EQUIPMENT -- 0.3%
200 Emerson Electric Company................. $ 11
------
ELECTRONICS -- 0.8%
75 KLA-Tencor Corporation................... 6
300 LSI Logic Corporation=................... 22
------
28
------
ENERGY -- 0.5%
400 Coastal Corporation...................... 18
------
ENVIRONMENTAL -- 0.3%
175 Johnson Controls Inc. ................... 9
------
FINANCIAL SERVICES -- 5.7%
175 American Express Company................. 26
125 Capital One Financial Corporation........ 6
150 Countrywide Credit Industries, Inc. ..... 4
575 Freddie Mac.............................. 25
500 Household International Inc. ............ 19
175 Marsh & McLennan Companies Inc. ......... 19
275 Merrill Lynch & Company Inc. ............ 29
825 Morgan Stanley Dean Witter & Company++... 68
------
196
------
FOOD PRODUCERS -- 0.2%
425 ConAgra Inc. ............................ 8
------
FOREST AND PAPER PRODUCTS -- 1.3%
175 Champion International Corporation....... 9
200 Georgia-Pacific Corporation.............. 8
50 International Paper Company.............. 2
100 Temple-Inland Inc. ...................... 5
200 Westvaco Corporation..................... 7
150 Weyerhaeuser Company..................... 9
100 Willamette Industries Inc. .............. 4
------
44
------
FURNITURE AND APPLIANCES -- 0.3%
175 Whirlpool Corporation.................... 10
------
HOUSEHOLD PRODUCTS -- 0.1%
125 The Clorox Company....................... 4
------
INSURANCE -- 4.1%
275 Aflac, Inc. ............................. 13
200 American General Corporation............. 11
675 American International Group, Inc.++..... 74
175 CIGNA Corporation........................ 13
200 Conseco Inc. ............................ 2
175 Jefferson-Pilot Corporation.............. 12
100 Loews Corporation........................ 5
200 MGIC Investment Corporation.............. 9
100 Torchmark Corporation.................... 2
50 UnumProvident Corporation................ 1
------
142
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
--------------------------------------------------------------
<C> <S> <C> <C>
MACHINERY AND EQUIPMENT -- 1.0%
125 Briggs & Stratton Corporation............ $ 5
125 Cooper Industries Inc. .................. 4
75 Cummins Engine Company, Inc. ............ 3
50 Deere & Company.......................... 2
150 Illinois Tool Works, Inc. ............... 8
175 Ingersoll-Rand Company................... 9
50 NACCO Industries Inc., Class A........... 2
------
33
------
MEDIA -- 2.6%
475 CBS Corporation=......................... 27
125 Clear Channel Communications, Inc.=...... 9
300 MediaOne Group, Inc.=.................... 24
600 Viacom Inc., Class B..................... 31
------
91
------
MEDICAL PRODUCTS AND SUPPLIES -- 1.1%
50 Bausch & Lomb Inc. ...................... 3
75 Becton Dickinson & Company............... 2
200 Biomet, Inc. ............................ 7
75 C.R. Bard, Inc. ......................... 3
475 Cardinal Health, Inc. ................... 22
------
37
------
MEDICAL SERVICES -- 0.7%
475 Columbia/HCA Healthcare Corporation...... 12
225 United Healthcare Corporation............ 13
------
25
------
METALS AND MINING -- 0.9%
200 Alcan Aluminum Ltd. ..................... 7
200 Alcoa Inc. .............................. 13
575 Barrick Gold Corporation................. 9
100 Inco Limited=............................ 2
75 Placer Dome Inc. ........................ 1
------
32
------
OIL -- DOMESTIC -- 1.9%
175 Amerada Hess Corporation................. 11
225 Atlantic Richfield Company............... 20
275 Kerr-McGee Corporation................... 16
175 Phillips Petroleum Company............... 8
400 USX-Marathon Group Inc. ................. 10
------
65
------
OIL -- INTERNATIONAL -- 7.7%
350 Chevron Corporation...................... 32
1,875 Exxon Mobil Corporation++................ 147
1,075 Royal Dutch Petroleum Company++.......... 62
350 Texaco Inc. ............................. 19
------
260
------
OIL AND GAS -- 0.1%
50 Apache Corporation....................... 2
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE> 27
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
--------------------------------------------------------------
<C> <S> <C> <C>
OIL FIELD SERVICES & EQUIPMENT -- 0.9%
175 Baker Hughes Inc. ....................... $ 5
200 Halliburton Company...................... 8
200 Schlumberger Ltd. ....................... 15
50 Transocean Sedco Forex Inc. ............. 3
------
31
------
PHOTO AND OPTICAL -- 0.3%
175 Eastman Kodak Company.................... 10
------
PRINTING AND PUBLISHING -- 0.7%
200 Gannett Company, Inc. ................... 14
175 Knight-Ridder Inc. ...................... 9
------
23
------
RECREATION -- 0.3%
175 Brunswick Corporation.................... 3
225 Harrah's Entertainment Inc.=............. 4
175 Hasbro, Inc. ............................ 3
------
10
------
RESTAURANTS AND LODGING -- 1.0%
475 Darden Restaurants Inc. ................. 8
675 McDonald's Corporation................... 26
------
34
------
RETAIL -- FOOD -- 0.8%
200 Safeway, Inc.=........................... 9
875 Supervalu Inc. .......................... 17
175 The Great Atlantic & Pacific Tea Company,
Inc. .................................. 3
------
29
------
RETAIL -- GENERAL -- 1.5%
275 Federated Department Stores, Inc.=....... 11
200 Sears, Roebuck and Company............... 6
350 Target Corporation....................... 26
450 Toys R Us, Inc.=......................... 7
------
50
------
RETAIL -- SPECIALTY -- 1.4%
125 Circuit City Stores - Circuit City
Group.................................. 8
150 CVS Corporation.......................... 6
175 Limited Inc. ............................ 7
175 Lowe's Companies Inc. ................... 10
75 Nordstrom Inc. .......................... 2
125 Office Depot, Inc. ...................... 1
700 Staples Inc.=............................ 14
------
48
------
SEMICONDUCTORS -- 2.4%
175 Micron Technology, Inc.=................. 22
350 Motorola, Inc.++......................... 49
175 National Semiconductor Corporation=...... 11
------
82
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
--------------------------------------------------------------
<C> <S> <C> <C>
TELECOMMUNICATIONS -- 0.9%
500 Scientific-Atlanta, Inc. ................ $ 32
------
TOBACCO -- 0.6%
1,025 Philip Morris Companies Inc. ............ 22
------
TRANSPORTATION -- 1.1%
500 Burlington Northern Santa Fe Inc. ....... 11
200 Delta Air Lines, Inc. ................... 10
175 FedEx Corporation=....................... 7
225 Union Pacific Corporation................ 9
------
37
------
TRUCKING AND SHIPPING -- 0.1%
200 Ryder System Inc. ....................... 5
------
UTILITIES -- ELECTRIC -- 0.9%
175 DTE Energy Company....................... 5
500 Edison International..................... 8
175 FPL Group Inc. .......................... 8
300 Unicom Corporation....................... 11
------
32
------
UTILITIES -- NATURAL GAS -- 0.3%
250 El Paso Energy Corporation............... 10
------
UTILITIES -- TELEPHONE -- 8.2%
150 ALLTEL Corporation....................... 9
1,900 AT&T Corporation++....................... 108
575 Bell Atlantic Corporation++.............. 35
1,300 BellSouth Corporation++.................. 62
175 CenturyTel, Inc. ........................ 6
300 GTE Corporation.......................... 21
575 Sprint Corporation (FON Group)++......... 37
------
278
------
WASTE MANAGEMENT -- 0.0%+
100 Waste Management, Inc. .................. 1
------
TOTAL COMMON STOCKS
(Cost $2,346)............................ 2,889
------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.3%
(Cost $10)
U.S. TREASURY BILLS -- 0.3%
$ 10 5.685%** 06/22/00++...................... 10
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE> 28
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
--------------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 15.8%
(Cost $542)
542 Nations Cash Reserves#................... $ 542
------
TOTAL INVESTMENTS
(Cost $2,898*).................... 100.0% 3,441
------
OTHER ASSETS AND
LIABILITIES (NET)............... 0.0%
Dividends receivable..................... $ 5
Receivable from investment advisor....... 50
Receivable for variation margin.......... 4
Administration fee payable............... (1)
Distributions payable.................... (2)
Accrued Trustees' fees and expenses...... (16)
Accrued expenses and other liabilities... (40)
------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)...................... 0
------
NET ASSETS........................ 100.0% $3,441
======
NET ASSETS CONSIST OF:
Undistributed net investment income...... $ 2
Accumulated net realized gain on
investments sold and futures
contracts.............................. 218
Net unrealized appreciation of
investments and futures contracts...... 546
Paid-in capital.......................... 2,675
------
NET ASSETS............................... $3,441
======
</TABLE>
<TABLE>
<CAPTION>
VALUE
--------------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share ($1,929,228 / 168,337
shares outstanding).................... $11.46
======
INVESTOR A SHARES
Net asset value and redemption price per
share ($1,511,885 / 131,735 shares
outstanding)........................... $11.48
======
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $511 on
investment securities was comprised of gross appreciation of $673 and gross
depreciation of $162 for Federal income tax purposes. At March 31, 2000, the
aggregate cost of securities for Federal income tax purposes was $2,930.
** Rate represents annualized yield at date of purchase.
= Non-income producing security.
++ All or a portion of 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 Banc of America Capital Management, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE> 29
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
COMMON STOCKS -- 99.3%
AEROSPACE AND DEFENSE -- 0.7%
112,100 Boeing Company........................ $ 4,253
4,400 Northrop Grumman Corporation.......... 233
--------
4,486
--------
APPAREL AND TEXTILES -- 0.1%
5,300 Nike, Inc., Class B................... 210
3,500 Springs Industries Inc., Class A...... 133
--------
343
--------
AUTOMOBILES AND TRUCKS -- 1.0%
84,200 Ford Motor Company.................... 3,868
22,300 General Motors Corporation............ 1,847
15,500 PACCAR, Inc. ......................... 775
--------
6,490
--------
BANKING -- 7.2%
84,800 AmSouth Bancorporation................ 1,267
76,800 Chase Manhattan Corporation........... 6,696
187,500 Citigroup Inc.++...................... 11,120
85,400 Fannie Mae............................ 4,820
141,700 FleetBoston Financial Corporation..... 5,172
42,800 Golden West Financial Corporation..... 1,335
33,700 J.P. Morgan & Company Inc. ........... 4,440
14,000 KeyCorp............................... 266
77,100 Mellon Financial Corporation.......... 2,274
21,200 Northern Trust Corporation............ 1,432
32,400 PNC Financial Services Group.......... 1,460
20,300 SouthTrust Corporation................ 516
7,500 State Street Corporation.............. 727
122,600 Wells Fargo Company................... 5,019
--------
46,544
--------
BEVERAGES -- 1.6%
33,700 Anheuser-Busch Companies, Inc. ....... 2,098
84,800 Coca-Cola Company++................... 3,979
38,100 Coca-Cola Enterprises Inc. ........... 822
66,100 PepsiCo, Inc. ........................ 2,285
21,800 Seagram Company Ltd. ................. 1,297
--------
10,481
--------
BUSINESS SERVICES -- 0.1%
12,500 Paychex, Inc. ........................ 655
--------
CHEMICALS -- BASIC -- 1.2%
36,600 Dow Chemical Company.................. 4,173
32,400 E.I. duPont de Nemours and Company.... 1,713
12,200 FMC Corporation=...................... 689
38,100 Mallinckrodt Group Inc. .............. 1,095
--------
7,670
--------
COMMERCIAL SERVICES -- 0.1%
4,400 Omnicom Group Inc. ................... 411
--------
COMPUTER RELATED -- 8.0%
9,000 Adaptec, Inc.= ....................... 348
30,900 Apple Computer Inc.= ................. 4,197
128,300 Dell Computer Corporation= ........... 6,920
50,900 EMC Corporation....................... 6,363
48,800 Hewlett-Packard Company............... 6,469
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
COMPUTER RELATED -- (CONTINUED)
100,000 International Business Machines
Corporation......................... $ 11,799
12,200 Lexmark International Group, Inc.,
Class A............................. 1,290
11,000 Network Appliance, Inc. .............. 910
53,900 Pitney Bowes, Inc. ................... 2,409
10,700 Seagate Technology Inc.= ............. 645
9,300 Silicon Graphics, Inc.= .............. 98
34,900 Solectron Corporation................. 1,398
78,900 Sun Microsystems, Inc. ............... 7,392
24,700 Unisys Corporation= .................. 630
--------
50,868
--------
COMPUTER SERVICES -- 0.2%
13,700 Automatic Data Processing Inc. ....... 661
9,800 Computer Sciences Corporation= ....... 775
--------
1,436
--------
COMPUTER SOFTWARE -- 8.8%
9,800 Adobe Systems Inc. ................... 1,091
10,400 Cabletron Systems, Inc.= ............. 305
9,000 Citrix Systems, Inc. ................. 596
41,600 Computer Associates International
Inc. ............................... 2,462
64,300 Electronic Data Systems Corporation... 4,127
28,800 First Data Corporation................ 1,274
260,700 Microsoft Corporation=++.............. 27,699
15,800 Novell Inc.= ......................... 452
141,100 Oracle Corporation.................... 11,015
13,400 Peoplesoft, Inc.= .................... 268
19,600 VERITAS Software Corporation.......... 2,568
26,200 Yahoo! Inc.= ......................... 4,490
--------
56,347
--------
CONGLOMERATE -- 1.9%
58,600 Dover Corporation..................... 2,805
7,200 Rockwell International Corporation.... 301
148,800 Tyco International Ltd. .............. 7,422
25,300 United Technologies Corporation....... 1,599
--------
12,127
--------
CONSTRUCTION -- 0.3%
36,900 Pulte Corporation..................... 770
63,100 Sherwin-Williams Company.............. 1,385
--------
2,155
--------
CONTAINERS AND PACKAGING -- 0.1%
3,000 Sealed Air Corporation= .............. 163
28,800 Tupperware Corporation................ 455
--------
618
--------
COSMETICS AND TOILETRIES -- 1.2%
36,900 Alberto-Culver Company, Class B....... 879
51,200 Colgate-Palmolive Company............. 2,886
33,400 Kimberly-Clark Corporation............ 1,870
34,000 Procter & Gamble Company.............. 1,913
--------
7,548
--------
DIVERSIFIED -- 0.8%
54,700 Minnesota Mining & Manufacturing
Company............................. 4,844
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE> 30
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
DRUGS -- 6.4%
51,500 American Home Products
Corporation++....................... $ 2,762
51,200 Amgen Inc. ........................... 3,142
105,000 Bristol-Myers Squibb Company.......... 6,064
146,400 Merck & Company, Inc. ................ 9,095
276,500 Pfizer Inc. .......................... 10,110
102,100 Schering-Plough Corporation........... 3,752
61,900 Warner-Lambert Company................ 6,035
--------
40,960
--------
ELECTRIC POWER -- 1.1%
24,400 Constellation Energy.................. 778
37,200 Duke Energy Corporation............... 1,953
28,600 Entergy Corporation................... 577
83,000 FirstEnergy Corporation............... 1,712
57,100 Public Service Enterprise Group....... 1,692
13,400 Reliant Energy Inc. .................. 314
--------
7,026
--------
ELECTRICAL COMPONENTS -- 0.1%
10,700 Conexant Systems Inc. ................ 760
--------
ELECTRONICS -- 0.7%
13,400 KLA-Tencor Corporation................ 1,129
14,900 LSI Logic Corporation= ............... 1,082
31,200 Teradyne, Inc. ....................... 2,566
--------
4,777
--------
ENERGY -- 0.1%
14,000 Coastal Corporation................... 644
--------
ENVIRONMENTAL -- 0.1%
15,800 Johnson Controls Inc. ................ 854
--------
FINANCIAL SERVICES -- 2.8%
3,800 American Express Company.............. 566
41,100 Charles Schwab Corporation............ 2,334
34,900 Freddie Mac........................... 1,542
14,000 Household International Inc. ......... 522
3,500 Lehman Brothers Holdings Inc. ........ 340
11,300 Marsh & McLennan Companies Inc. ...... 1,247
23,800 MBNA Corporation...................... 607
10,700 Merrill Lynch & Company Inc. ......... 1,124
92,000 Morgan Stanley Dean Witter &
Company............................. 7,503
6,900 Paine Webber Group, Inc. ............. 304
25,600 Providian Financial Corporation....... 2,218
--------
18,307
--------
FOOD PRODUCERS -- 1.8%
33,400 Bestfoods............................. 1,564
72,300 ConAgra Inc. ......................... 1,310
16,000 H.J. Heinz Company.................... 558
17,500 Kellogg Company....................... 448
120,800 Ralston Purina Group.................. 3,307
73,500 Sara Lee Corporation.................. 1,323
34,900 SYSCO Corporation..................... 1,245
40,800 Unilever NV........................... 1,964
--------
11,719
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
FOREST AND PAPER PRODUCTS -- 0.5%
14,600 Georgia-Pacific Corporation........... $ 578
13,700 Temple-Inland Inc. ................... 682
38,700 Weyerhaeuser Company.................. 2,206
--------
3,466
--------
FURNITURE AND APPLIANCES -- 0.2%
6,900 Black & Decker Corporation............ 259
16,300 Whirlpool Corporation................. 956
--------
1,215
--------
INSURANCE -- 2.3%
1,500 Aetna Inc. ........................... 84
28,600 Aflac, Inc. .......................... 1,303
53,900 American International Group, Inc. ... 5,901
20,900 CIGNA Corporation..................... 1,583
14,600 Conseco Inc. ......................... 167
47,100 Lincoln National Corporation Ltd. .... 1,578
62,800 Loews Corporation..................... 3,140
24,700 MGIC Investment Corporation........... 1,078
--------
14,834
--------
INTERNET -- 1.2%
114,300 America Online Inc.++................. 7,687
--------
MACHINERY AND EQUIPMENT -- 0.1%
10,700 Deere & Company....................... 407
--------
MANUFACTURING -- 4.7%
13,400 Corning Inc. ......................... 2,600
178,500 General Electric Company++............ 27,701
--------
30,301
--------
MEDIA -- 3.4%
38,100 CBS Corporation= ..................... 2,157
16,900 Clear Channel Communications,
Inc.= .............................. 1,167
46,500 Comcast Corporation, Class A
Special............................. 2,017
30,600 MediaOne Group, Inc.= ................ 2,479
64,900 Time Warner Inc. ..................... 6,490
34,900 Viacom Inc., Class B.................. 1,841
138,000 Walt Disney Company................... 5,710
--------
21,861
--------
MEDICAL PRODUCTS AND SUPPLIES -- 2.0%
77,100 Abbott Laboratories................... 2,713
12,500 Allergan, Inc. ....................... 625
62,800 Baxter International Inc. ............ 3,937
13,700 Becton Dickinson & Company............ 360
16,900 Cardinal Health, Inc. ................ 775
33,000 Johnson & Johnson..................... 2,312
23,800 Medtronic, Inc. ...................... 1,224
10,400 PE Corp-PE Biosystems Group........... 1,004
--------
12,950
--------
MEDICAL SERVICES -- 0.4%
10,400 Tenet Healthcare Corporation.......... 239
41,300 United Healthcare Corporation......... 2,463
--------
2,702
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 31
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
METALS AND MINING -- 0.6%
19,300 Alcan Aluminum Ltd. .................. $ 654
36,600 Alcoa Inc. ........................... 2,572
20,600 Barrick Gold Corporation.............. 323
13,400 Inco Limited= ........................ 245
9,600 Newmont Mining Corporation............ 215
--------
4,009
--------
NETWORKING EQUIPMENT AND
PRODUCTS -- 5.6%
17,100 3Com Corporation= .................... 951
13,400 ADC Telecommunications, Inc. ......... 722
341,600 Cisco Systems, Inc. .................. 26,410
3,800 Comverse Technology, Inc.= ........... 718
118,700 Lucent Technologies, Inc. ............ 7,211
--------
36,012
--------
OFFICE EQUIPMENT -- 0.0%+
29,400 IKON Office Solutions, Inc. .......... 182
--------
OIL -- DOMESTIC -- 1.6%
29,400 Amerada Hess Corporation.............. 1,900
16,300 Atlantic Richfield Company............ 1,386
39,900 Kerr-McGee Corporation................ 2,303
69,300 Occidental Petroleum Corporation...... 1,438
26,800 Phillips Petroleum Company............ 1,240
76,200 USX-Marathon Group Inc. .............. 1,986
--------
10,253
--------
OIL -- INTERNATIONAL -- 3.5%
57,400 Chevron Corporation................... 5,306
157,700 Exxon Mobil Corporation++............. 12,271
74,400 Royal Dutch Petroleum Company......... 4,283
16,900 Texaco Inc. .......................... 906
--------
22,766
--------
OIL AND GAS -- 0.0%+
5,900 Apache Corporation.................... 294
--------
OIL FIELD SERVICES & EQUIPMENT -- 0.5%
27,400 Schlumberger Ltd. .................... 2,096
27,100 Transocean Sedco Forex Inc. .......... 1,391
--------
3,487
--------
PHOTO AND OPTICAL -- 0.2%
27,700 Eastman Kodak Company................. 1,504
--------
PRINTING AND PUBLISHING -- 0.4%
33,000 Dow Jones & Company Inc. ............. 2,370
--------
PROFESSIONAL SERVICES -- 0.1%
14,600 Interpublic Group Companies, Inc. .... 690
--------
RECREATION -- 0.2%
11,300 Brunswick Corporation................. 214
900 Carnival Corporation.................. 22
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
RECREATION -- (CONTINUED)
8,400 Harley-Davidson Inc. ................. $ 667
14,300 Mirage Resorts, Inc.= ................ 277
--------
1,180
--------
RESTAURANTS AND LODGING -- 0.5%
55,900 Darden Restaurants Inc. .............. 996
20,300 Hilton Hotels Corporation............. 157
60,400 Tricon Global Restaurants Inc.= ...... 1,876
--------
3,029
--------
RETAIL -- FOOD -- 0.7%
47,900 Safeway, Inc.= ....................... 2,167
138,600 Supervalu Inc. ....................... 2,625
--------
4,792
--------
RETAIL -- GENERAL -- 2.9%
49,400 Federated Department Stores, Inc.= ... 2,062
45,800 Target Corporation.................... 3,424
234,500 Wal-Mart Stores, Inc.................. 13,015
--------
18,501
--------
RETAIL -- SPECIALTY -- 2.8%
37,200 Best Buy Company, Inc.= .............. 3,199
25,900 Circuit City Stores - Circuit City
Group............................... 1,577
50,300 Gap Inc. ............................. 2,506
110,400 Home Depot Inc. ...................... 7,120
10,100 Limited Inc. ......................... 425
26,500 Lowe's Companies Inc. ................ 1,547
36,300 Office Depot, Inc. ................... 420
16,300 TJX Companies Inc. ................... 362
27,700 Walgreen Company...................... 713
--------
17,869
--------
SEMICONDUCTORS -- 6.9%
17,500 Analog Devices, Inc. ................. 1,410
32,100 Applied Materials, Inc. .............. 3,025
172,600 Intel Corporation++................... 22,773
17,200 Micron Technology, Inc.= ............. 2,167
50,600 Motorola, Inc. ....................... 7,204
40,800 Texas Instruments Inc. ............... 6,528
16,000 Xilinx, Inc. ......................... 1,325
--------
44,432
--------
TELECOMMUNICATIONS -- 2.6%
39,000 Global Crossing, Ltd.= ............... 1,597
72,000 Nortel Networks Corporation........... 9,071
36,900 QUALCOMM Inc. ........................ 5,510
8,900 Scientific-Atlanta, Inc. ............. 565
--------
16,743
--------
TOBACCO -- 0.5%
146,700 Philip Morris Companies Inc. ......... 3,099
--------
TRANSPORTATION -- 0.5%
23,500 Burlington Northern Santa Fe Inc. .... 520
16,300 Delta Air Lines, Inc. ................ 868
8,400 FedEx Corporation= ................... 328
41,300 Union Pacific Corporation............. 1,615
--------
3,331
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 32
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
TRUCKING AND SHIPPING -- 0.1%
36,300 Ryder System Inc. .................... $ 824
--------
UTILITIES -- ELECTRIC -- 0.6%
16,300 Edison International.................. 270
44,000 PECO Energy Company................... 1,623
53,600 Unicom Corporation.................... 1,956
--------
3,849
--------
UTILITIES -- NATURAL GAS -- 0.2%
5,900 Peoples Energy Corporation............ 162
21,800 Williams Companies, Inc. ............. 958
--------
1,120
--------
UTILITIES -- TELEPHONE -- 7.1%
1,800 ALLTEL Corporation.................... 114
105,300 AT&T Corporation++.................... 5,923
74,400 Bell Atlantic Corporation............. 4,548
161,600 BellSouth Corporation................. 7,594
66,100 GTE Corporation....................... 4,693
135,100 MCI Worldcom, Inc.= .................. 6,122
18,700 Nextel Communications, Inc.= ......... 2,772
151,400 SBC Communications Inc. .............. 6,359
78,300 Sprint Corporation (FON Group)........ 4,933
44,000 Sprint Corporation (PCS Group)........ 2,874
--------
45,932
--------
WASTE MANAGEMENT -- 0.0%+
13,700 Waste Management, Inc. ............... 188
--------
TOTAL COMMON STOCKS
(Cost $374,972)....................... 639,949
--------
<CAPTION>
SHARES
(000)
-------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 3.5%
(Cost $22,870)
22,870 Nations Cash Reserves#................ 22,870
--------
TOTAL INVESTMENTS
(Cost $397,842*)............... 102.8% 662,819
--------
OTHER ASSETS AND
LIABILITIES (NET)............ (2.8)%
Receivable for investment securities
sold................................ $ 47
Receivable for Fund shares sold....... 65
Dividends receivable.................. 557
Interest receivable................... 16
Receivable for variation margin....... 21
Unamortized organization costs........ 3
Collateral on securities loaned....... (14,885)
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)
-----------------------------------------------------------
<C> <S> <C> <C>
Payable for Fund shares redeemed...... $ (595)
Investment advisory fee payable....... (113)
Administration fee payable............ (123)
Shareholder servicing and distribution
fees payable........................ (11)
Due to custodian...................... (47)
Payable for investment securities
purchased........................... (2,857)
Accrued Trustees' fees and expenses... (17)
Accrued expenses and other
liabilities......................... (124)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)............................... (18,063)
--------
NET ASSETS..................... 100.0% $644,756
========
NET ASSETS CONSIST OF:
Accumulated net realized gain on
investments sold and futures
contracts........................... 39,653
Net unrealized appreciation of
investments and futures contracts... 265,087
Paid-in capital....................... 340,016
--------
NET ASSETS............................ $644,756
========
PRIMARY A SHARES
Net asset value, offering and
redemption price per share
($593,317,273 / 26,923,021 shares
outstanding)........................ $22.04
======
PRIMARY B SHARES
Net asset value, offering and
redemption price per share
($5,695 / 257 shares outstanding)... $22.16
======
INVESTOR A SHARES
Net asset value and redemption price
per share ($51,432,809 / 2,333,888
shares outstanding)................. $22.04
======
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $261,883 on
investment securities was comprised of gross appreciation of $274,584 and
gross depreciation of $12,701 for Federal income tax purposes. At March 31,
2000, the aggregate cost of securities for Federal income tax purposes was
$400,936.
= Non-income producing security.
++ All or a portion of 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 Banc of America Capital Management, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 8). The portion that represents cash collateral is
$14,885.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 33
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
COMMON STOCKS -- 97.4%
ADVERTISING AND MARKETING SERVICES -- 1.2%
300 Cyrk, Inc.= .............................. $ 3
425 HA-LO Industries, Inc.= .................. 3
1,300 Snyder Communications, Inc.= ............. 29
------
35
------
AEROSPACE AND DEFENSE -- 0.6%
275 AAR Corporation........................... 5
450 BE Aerospace, Inc.= ...................... 3
550 GenCorp Inc. ............................. 4
450 Orbital Sciences Corporation= ............ 6
------
18
------
APPAREL AND TEXTILES -- 1.8%
200 Brown Shoe Company, Inc. ................. 2
600 Cone Mills Corporation= .................. 3
175 Footstar Inc.= ........................... 5
375 G & K Services, Inc., Class A............. 7
350 J. Baker Inc. ............................ 2
200 Kellwood Company.......................... 4
300 Nautica Enterprises Inc.= ................ 4
175 Oshkosh B'Gosh Inc. ...................... 3
550 Phillips-Van Heusen Corporation........... 4
200 Pillowtex Corporation..................... 1
525 Quiksilver, Inc. ......................... 9
1,000 Stride Rite Corporation................... 8
------
52
------
AUTOMOBILE PARTS MANUFACTURERS -- 2.1%
775 Intermet Corporation...................... 7
800 Mascotech, Inc. .......................... 9
600 Myers Industries Inc. .................... 7
575 Simpson Industries........................ 6
550 Spartan Motors Inc. ...................... 2
200 Standard Motor Products, Inc. ............ 3
775 TBC Corporation= ......................... 4
350 Titan International Inc. ................. 3
1,100 Tower Automotive Inc.= ................... 18
300 Wynn's International, Inc. ............... 4
------
63
------
AUTOMOBILES AND TRUCKS -- 0.2%
450 Group 1 Automotive, Inc.= ................ 5
------
BANKING -- 5.8%
500 BankNorth Group Inc. ..................... 13
1,025 Community First Bankshares, Inc. ......... 16
1,475 Cullen Frost Bankers Inc. ................ 39
550 Downey Financial Corporation.............. 12
200 First Midwest Bancorp, Inc. .............. 5
575 Firstbank Corporation..................... 10
175 MAF Bancorp Inc. ......................... 3
475 Provident Bankshares Corporation.......... 7
675 Silicon Valley Bancshares= ............... 50
750 Susquehanna Bancshares Inc. .............. 10
175 United Bankshares Inc. ................... 4
------
169
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
BEVERAGES -- 0.6%
375 Canandaigua Brands Inc., Class A= ........ $ 19
------
BUILDING MATERIALS -- 2.3%
500 Building Materials Holding
Corporation= ........................... 5
125 Butler Manufacturing Company.............. 3
150 Champion Enterprises Inc.= ............... 1
450 Coachmen Industries Inc. ................. 6
250 Florida Rock Industries................... 7
525 Insteel Industries, Inc. ................. 3
475 Monaco Coach Corporation.................. 9
425 Simpson Manufacturing Company, Inc.= ..... 16
700 Universal Forest Products................. 9
750 Watsco Inc. .............................. 8
------
67
------
CHEMICALS -- BASIC -- 1.0%
700 Cambrex Corporation....................... 30
------
CHEMICALS -- SPECIALTY -- 1.4%
250 Chemed Corporation........................ 8
375 Lilly Industries Inc., Class A............ 5
500 OM Group, Inc. ........................... 22
275 Penford Corporation....................... 5
------
40
------
COMMERCIAL SERVICES -- 1.7%
250 ABM Industries Incorporated............... 6
425 Insurance Auto Auctions Inc.= ............ 7
1,475 Interim Services Inc.= ................... 27
350 Lason, Inc.= ............................. 2
350 NFO Worldwide Inc.= ...................... 8
------
50
------
COMPUTER RELATED -- 0.6%
250 Hutchinson Technology, Inc.= ............. 4
925 Standard Microsystems Corporation= ....... 14
------
18
------
COMPUTER SERVICES -- 1.0%
675 Gerber Scientific Inc. ................... 13
600 Primark Corporation= ..................... 15
------
28
------
COMPUTER SOFTWARE -- 0.3%
475 Avid Technology, Inc.= ................... 8
------
CONSTRUCTION -- 2.5%
950 D.R. Horton Inc. ......................... 12
600 M.D.C. Holdings, Inc. .................... 11
1,600 Morrison Knudsen Corporation= ............ 12
500 Ryland Group Inc. ........................ 9
775 Standard Pacific Corporation.............. 8
750 Toll Brothers Inc.= ...................... 15
150 U.S. Home Corporation= ................... 6
------
73
------
CONSUMER GOODS AND SERVICES -- 3.3%
150 Angelica Corporation...................... 1
1,500 Fedders Corporation....................... 8
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 34
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
CONSUMER GOODS AND SERVICES -- (CONTINUED)
275 Harman International Industries........... $ 17
1,025 Kaman Corporation......................... 10
1,025 La-Z-Boy Inc. ............................ 16
225 New England Business Service, Inc. ....... 4
675 Oakwood Homes Corporation................. 3
575 Royal Appliance Manufacturing Company=.... 3
500 Russ Berrie & Company Inc. ............... 9
800 Smithfield Foods Inc.=.................... 16
125 The Kroll-O'Gara Company=................. 1
550 Thomas Industries Inc. ................... 10
------
98
------
CONTAINERS AND PACKAGING -- 1.1%
950 AptarGroup Inc. .......................... 26
250 Shorewood Packaging Corporation=.......... 5
------
31
------
DISTRIBUTION AND WHOLESALE -- 0.8%
300 Aviation Sales Company=................... 2
1,100 Brightpoint Inc.=......................... 13
275 Lawson Products........................... 7
------
22
------
DIVERSIFIED -- 0.7%
275 Justin Industries Inc. ................... 5
350 SPS Technologies Inc.=.................... 11
250 Standex International Corporation......... 4
------
20
------
DRUGS -- 2.4%
675 Bindley Western Industries................ 9
875 Dura Pharmaceuticals Inc.=................ 11
500 Medicis Pharmaceutical Corporation, Class
A=...................................... 20
1,250 NBTY, Inc.=............................... 17
425 Pharmaceutical Product Development,
Inc.=................................... 7
200 Syncor International Corporation=......... 7
------
71
------
ELECTRICAL EQUIPMENT -- 0.4%
350 Intermagnetics General Corporation=....... 6
200 Park Electrochemical Corporation.......... 5
------
11
------
ELECTRONICS -- 3.3%
700 Anixter International Inc.=............... 20
200 Benchmark Electronics Inc.=............... 7
550 BMC Industries, Inc. ..................... 3
875 Checkpoint Systems Inc.=.................. 7
275 Esterline Technologies Corporation=....... 4
325 Hadco Corporation=........................ 21
500 Itron Inc.=............................... 3
500 Kent Electronics Corporation=............. 15
1,125 Pioneer Standard Electronics.............. 18
------
98
------
ENERGY -- 0.3%
350 Barrett Resources Corporation=............ 10
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
ENTERTAINMENT -- 0.2%
125 Anchor Gaming=............................ $ 5
------
ENVIRONMENTAL -- 1.4%
250 American States Water Company............. 7
600 Clarcor Inc. ............................. 11
550 IMCO Recycling Inc. ...................... 6
725 Tetra Tech Inc. .......................... 17
------
41
------
EXPLORATION AND DRILLING -- 0.5%
575 Northwest Natural Gas Company............. 11
475 Southwestern Energy Company............... 3
------
14
------
FINANCIAL SERVICES -- 4.8%
1,650 Americredit Corporation=.................. 27
300 Centura Banks Inc. ....................... 14
850 Commercial Federal Corporation............ 14
350 Dain Rauscher Corporation................. 23
500 Mutual Risk Management Ltd. .............. 10
300 National Discount Brokers Group, Inc.=.... 15
925 Raymond James Financial, Inc. ............ 19
500 Riggs National Corporation................ 6
425 Whitney Holding Corporation............... 14
------
142
------
FOOD PRODUCERS -- 2.4%
125 Agribrands International, Inc.=........... 5
1,175 Chiquita Brands International Inc. ....... 6
875 Corn Products International Inc. ......... 21
625 Earthgrains Company....................... 9
175 J & J Snack Foods Corporation=............ 3
500 Michael Foods Inc. ....................... 11
550 Panera Bread Company, Class A=............ 4
775 Ralcorp Holdings, Inc.=................... 11
------
70
------
FOREST AND PAPER PRODUCTS -- 1.0%
175 Pope & Talbot Inc. ....................... 3
425 Schweitzer-Mauduit International Inc. .... 5
600 United Stationers Inc.=................... 22
------
30
------
FURNITURE AND APPLIANCES -- 0.4%
450 Bassett Furniture Industries, Inc. ....... 6
1,200 Interface Inc. ........................... 5
------
11
------
HEALTHCARE -- 0.5%
925 Magellan Health Services, Inc.=........... 4
350 Pediatrix Medical Group Inc.=............. 3
1,600 US Oncology, Inc.=........................ 7
------
14
------
HOUSEHOLD PRODUCTS -- 0.3%
600 SLI, Inc. ................................ 10
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 35
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
INSURANCE -- 3.2%
175 Delphi Financial Group Inc., Class A...... $ 5
1,025 Enhance Financial Services Group Inc. .... 14
650 Fidelity National Financial, Inc. ........ 9
875 First American Financial Corporation...... 12
1,200 Fremont General Corporation............... 7
900 Radian Group Inc. ........................ 44
850 Sierra Health Services, Inc.=............. 4
------
95
------
MACHINERY AND EQUIPMENT -- 2.6%
575 Applied Industrial Technologies, Inc. .... 9
475 Applied Power, Inc., Class A.............. 14
250 Astec Industries Inc.=.................... 7
500 Gardner Denver Machinery Inc.=............ 9
400 Hughes Supply Inc. ....................... 6
1,575 JLG Industries Inc. ...................... 14
900 Paxar Corporation=........................ 9
175 Regal Beloit.............................. 3
250 SpeedFam-IPEC, Inc.=...................... 5
------
76
------
MANUFACTURING -- 1.2%
750 A. O. Smith Corporation................... 14
500 Belden Inc. .............................. 13
475 Dixie Group Inc.=......................... 2
175 Lydall Inc.=.............................. 2
450 Sturm, Ruger & Company Inc. .............. 4
------
35
------
MEDICAL PRODUCTS AND SUPPLIES -- 4.3%
475 Coherent Inc.=............................ 24
400 Cooper Companies Inc. .................... 13
450 Datascope Corporation..................... 14
550 Hanger Orthopedic Group, Inc.=............ 3
575 IDEXX Laboratories Inc.=.................. 13
150 Owens & Minor, Inc. ...................... 2
250 Priority Healthcare Corporation........... 13
57 Sola International Inc.=.................. 4
375 SpaceLabs Medical Inc.=................... 6
525 Varian Medical Systems, Inc.=............. 24
475 Vital Signs Inc. ......................... 11
------
127
------
MEDICAL SERVICES -- 3.0%
525 Cerner Corporation=....................... 14
1,400 Coventry Health Care Inc.=................ 12
575 Invacare Corporation...................... 16
1,000 Orthodontic Centers of America=........... 19
425 PAREXEL International Corporation=........ 4
450 Universal Health Services Inc., Class
B=...................................... 22
------
87
------
METALS AND MINING -- 3.8%
875 AMCOL International Corporation........... 13
200 Brush Wellman Inc. ....................... 4
100 Commercial Metals Company................. 3
500 Commonwealth Industries, Inc. ............ 5
550 Material Sciences Corporation=............ 7
575 Mueller Industries Inc.=.................. 17
325 Northwestern Corporation.................. 7
375 Quanex Corporation........................ 7
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
METALS AND MINING -- (CONTINUED)
650 Reliance Steel & Aluminum Company......... $ 15
500 RTI International Metals, Inc.=........... 4
575 Steel Technologies Inc. .................. 5
425 Stillwater Mining Company=................ 16
275 Texas Industries Inc. .................... 9
------
112
------
OFFICE EQUIPMENT -- 0.7%
575 Brady Corporation......................... 18
375 Nashua Corporation=....................... 3
------
21
------
OIL AND GAS -- 6.5%
425 Cabot Oil & Gas Corporation............... 8
450 HS Resources, Inc.=....................... 10
450 Input/Output, Inc.=....................... 3
275 New Jersey Resources Corporation.......... 12
850 Newfield Exploration Company=............. 30
850 Oceaneering International Inc.=........... 16
1,150 Pogo Producing Company.................... 33
775 Pride International Inc.=................. 18
800 Seitel Inc.=.............................. 6
1,525 Vintage Petroleum, Inc. .................. 31
850 Wicor Inc. ............................... 26
------
193
------
OIL FIELD SERVICES & EQUIPMENT -- 0.5%
150 Offshore Logistics Inc.=.................. 2
200 Seacor Smit, Inc.=........................ 13
25 Tuboscope Inc.=++......................... 0
------
15
------
PRINTING AND PUBLISHING -- 0.5%
600 Bowne & Company Inc. ..................... 7
275 Consolidated Graphics Inc.=............... 4
600 Thomas Nelson, Inc. ...................... 5
------
16
------
PROFESSIONAL SERVICES -- 1.6%
475 CDI Corporation=.......................... 9
750 InaCom Corporation=....................... 2
675 National Data Corporation................. 17
750 URS Corporation=.......................... 10
275 Volt Information Sciences Inc.=........... 10
------
48
------
RECREATION -- 1.5%
550 Arctic Cat Inc. .......................... 6
850 Aztar Corporation=........................ 8
125 GC Companies Inc.=........................ 4
175 Huffy Corporation......................... 1
175 K2 Inc.=.................................. 1
850 Pinnacle Entertainment, Inc.=............. 18
250 Thor Industries Inc. ..................... 6
------
44
------
RESTAURANTS AND LODGING -- 1.5%
850 CKE Restaurant Inc. ...................... 5
500 IHOP Corporation.......................... 7
775 Landry's Seafood Restaurants Inc.=........ 5
150 Luby's Inc. .............................. 1
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 36
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
RESTAURANTS AND LODGING -- (CONTINUED)
200 Marcus Corporation........................ $ 3
1,175 Prime Hospitality Corporation=............ 9
375 Ruby Tuesday Inc. ........................ 7
650 Ryan's Family Steak Houses Inc.=.......... 6
------
43
------
RETAIL -- FOOD -- 0.3%
600 Fleming Companies Inc. ................... 9
------
RETAIL -- GENERAL -- 1.0%
500 Ames Department Stores=................... 13
650 Casey's General Stores, Inc. ............. 7
300 Cash America Investments Inc. ............ 4
250 ShopKo Stores, Inc.=...................... 4
------
28
------
RETAIL -- SPECIALTY -- 5.5%
650 AnnTaylor Stores Corporation=............. 15
375 Books-A-Million Inc.=..................... 2
1,000 Cato Corporation.......................... 12
250 Discount Auto Parts Inc.=................. 2
500 Dress Barn Inc.=.......................... 10
250 Goody's Family Clothing Inc.=............. 2
500 Gottschalks Inc.=......................... 3
1,100 Jan Bell Marketing Inc.=.................. 3
500 Jo-Ann Stores Inc.=....................... 4
475 Michaels Stores Inc.=..................... 19
1,600 Pier 1 Imports Inc. ...................... 16
1,000 The Bombay Company Inc.=.................. 3
850 The Men's Wearhouse Inc.=................. 25
350 Toro Company.............................. 10
750 Zale Corporation=......................... 36
------
162
------
SEMICONDUCTORS -- 2.5%
1,200 International Rectifier Corporation....... 46
175 Photronics, Inc.=......................... 6
575 Silicon Valley Group, Inc.=............... 16
125 Ultratech Stepper, Inc.=.................. 2
216 Zilog Inc.=............................... 2
------
72
------
STEEL -- 0.1%
475 Birmingham Steel Corporation.............. 2
------
TECHNOLOGY -- 0.8%
1,300 Komag, Incorporated=...................... 5
850 S3 Inc.=.................................. 18
------
23
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C> <C>
TELECOMMUNICATIONS -- 0.6%
475 Allen Telecom Inc.=....................... $ 8
250 Digi International Inc.=.................. 2
375 PictureTel Corporation=................... 3
475 SymmetriCom Inc.=......................... 5
------
18
------
TRANSPORTATION -- 3.0%
925 American Freightways Corporation=......... 14
675 Arkansas Best Corporation=................ 7
600 Fritz Companies, Inc.=.................... 6
425 M.S. Carriers Inc.=....................... 10
850 Mesa Air Group Inc.=...................... 5
175 Railamerica Inc.=......................... 1
500 SkyWest Inc. ............................. 20
700 U.S. Freightways Corporation.............. 26
------
89
------
TRUCKING AND SHIPPING -- 1.5%
600 Frozen Food Express Industries, Inc. ..... 2
1,600 Rollins Truck Leasing Corporation......... 14
350 Wabash National Corporation............... 5
800 Werner Enterprises Inc. .................. 13
600 Yellow Corporation=....................... 11
------
45
------
UTILITIES -- ELECTRIC -- 0.9%
375 Eastern Utilities Associates.............. 11
175 TNP Enterprises Inc. ..................... 8
175 United Illuminating Company............... 7
------
26
------
UTILITIES -- NATURAL GAS -- 1.3%
850 Energen Corporation....................... 14
425 Piedmont Natural Gas Company, Inc. ....... 11
225 Southwest Gas Corporation................. 4
450 Valmont Industries Inc. .................. 8
------
37
------
UTILITIES -- WATER -- 0.9%
750 United Water Resources Inc. .............. 26
------
WIRE AND CABLE PRODUCTS -- 1.2%
500 Barnes Group Inc. ........................ 7
850 Cable Design Technologies Corporation=.... 29
------
36
------
TOTAL COMMON STOCKS
(Cost $2,780)............................. 2,858
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 37
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 4.2%
(Cost $123)
123 Nations Cash Reserves#.................... 123
------
TOTAL INVESTMENTS
(Cost $2,903*)..................... 101.6% 2,981
------
OTHER ASSETS AND
LIABILITIES (NET)................ (1.6)%
Dividends receivable...................... $ 2
Receivable from investment advisor........ 85
Collateral on securities loaned........... (33)
Payable for Fund shares redeemed.......... (46)
Administration fee payable................ (1)
Distributions payable..................... (1)
Accrued Trustees' fees and expenses....... (16)
Accrued expenses and other liabilities.... (38)
------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)....................... (48)
------
NET ASSETS......................... 100.0% $2,933
======
NET ASSETS CONSIST OF:
Undistributed net investment income....... $ 5
Accumulated net realized loss on
investments sold and futures
contracts............................... (299)
Net unrealized appreciation of
investments............................. 78
Paid-in capital........................... 3,149
------
NET ASSETS................................ $2,933
======
</TABLE>
<TABLE>
<CAPTION>
VALUE
-----------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES
Net asset value, offering and redemption
price per share ($1,623,832 / 160,003
shares outstanding)..................... $10.15
======
INVESTOR A SHARES
Net asset value and redemption price per
share ($1,309,121 / 128,824 shares
outstanding)............................ $10.16
======
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $12 on
investment securities was comprised of gross appreciation of $530 and gross
depreciation of $518 for Federal income tax purposes. At March 31, 2000, the
aggregate cost of securities for Federal income tax purposes was $2,969.
= 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 Banc of America Capital Management, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 8). The portion that represents cash collateral is
$33.
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE> 38
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
COMMON STOCKS -- 92.0%
ADVERTISING AND MARKETING SERVICES -- 0.5%
23,800 HA-LO Industries, Inc.=............... $ 187
39,400 Snyder Communications, Inc.=.......... 887
--------
1,074
--------
AEROSPACE AND DEFENSE -- 0.4%
24,000 AAR Corporation....................... 401
7,300 Alliant Techsystems Inc.=............. 430
13,800 BE Aerospace, Inc.=................... 81
800 GenCorp Inc. ......................... 6
--------
918
--------
APPAREL AND TEXTILES -- 1.2%
14,600 Brown Shoe Company, Inc. ............. 175
6,500 Cone Mills Corporation=............... 28
2,700 Footstar Inc.=........................ 76
8,700 Haggar Corporation.................... 120
13,200 J. Baker Inc. ........................ 92
16,600 Kellwood Company...................... 292
12,800 Nautica Enterprises Inc.=............. 150
22,000 Oshkosh B'Gosh Inc. .................. 396
29,500 Phillips-Van Heusen Corporation....... 227
15,400 Quiksilver, Inc. ..................... 270
11,900 Timberland Company, Class A........... 608
--------
2,434
--------
AUTOMOBILE PARTS MANUFACTURERS -- 1.0%
20,400 Intermet Corporation.................. 186
11,800 Mascotech, Inc. ...................... 139
17,700 Myers Industries Inc. ................ 212
12,200 Simpson Industries.................... 120
27,800 Standard Motor Products, Inc. ........ 414
22,000 TBC Corporation=...................... 111
11,300 Tenneco Automotive Inc. .............. 90
37,500 Tower Automotive Inc.=................ 614
12,100 Wynn's International, Inc. ........... 167
--------
2,053
--------
AUTOMOBILES AND TRUCKS -- 0.1%
16,600 Copart, Inc. ......................... 291
--------
BANKING -- 4.9%
14,400 Anchor Bancorp Wisconsin Inc. ........ 229
15,900 BankNorth Group Inc. ................. 426
5,600 Charter One Financial, Inc. .......... 118
24,900 Commerce Bancorp, Inc. ............... 921
20,500 Community First Bankshares, Inc. ..... 328
47,500 Cullen Frost Bankers Inc.++........... 1,256
18,500 Downey Financial Corporation.......... 393
15,400 First Midwest Bancorp, Inc. .......... 373
16,400 Firstbank Corporation................. 289
52,300 Hudson United Bancorp................. 1,134
27,900 MAF Bancorp Inc. ..................... 452
13,800 Provident Bankshares Corporation...... 217
10,700 Queens County Bancorp Inc. ........... 193
14,600 Silicon Valley Bancshares=............ 1,049
7,500 Staten Island Bancorp, Inc. .......... 128
3,800 Susquehanna Bancshares Inc. .......... 52
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
BANKING -- (CONTINUED)
10,300 U.S. Trust Corporation++.............. $ 1,948
23,100 United Bankshares Inc. ............... 508
--------
10,014
--------
BEVERAGES -- 0.4%
17,700 Canandaigua Brands Inc., Class
A=++................................ 903
--------
BUILDING MATERIALS -- 0.8%
42,200 Building Materials Holding
Corporation=........................ 382
2,600 Champion Enterprises Inc.=............ 15
8,000 Coachmen Industries Inc. ............. 111
34,200 Insteel Industries, Inc. ............. 192
16,800 Monaco Coach Corporation.............. 319
3,400 Republic Group Incorporated........... 37
1,600 Simpson Manufacturing Company,
Inc.=............................... 63
8,300 Skyline Corporation................... 180
14,800 Universal Forest Products............. 183
20,500 Watsco Inc. .......................... 214
--------
1,696
--------
BUSINESS SERVICES -- 0.1%
3,300 Fair, Issac and Company Inc. ......... 128
--------
CHEMICALS -- BASIC -- 0.5%
13,100 Cambrex Corporation................... 570
21,200 Geon Company.......................... 456
--------
1,026
--------
CHEMICALS -- SPECIALTY -- 0.8%
3,300 Chemed Corporation.................... 99
11,600 Lilly Industries Inc., Class A........ 144
2,600 MacDermid, Inc. ...................... 69
12,500 OM Group, Inc. ....................... 568
11,500 Quaker Chemical Corporation........... 196
14,300 Scotts Company, Class A=.............. 600
--------
1,676
--------
COMMERCIAL SERVICES -- 3.9%
9,300 ABM Industries Incorporated........... 219
7,700 Catalina Marketing Corporation=....... 780
3,800 Central Parking Corporation........... 76
6,500 ChoicePoint Inc. ..................... 243
16,300 Computer Task Group Inc. ............. 179
12,400 Dendrite International, Inc. ......... 260
17,600 eLoyalty Corporation=................. 420
7,800 Factset Research Systems Inc. ........ 211
38,100 Insurance Auto Auctions Inc.=......... 643
28,200 Interim Services Inc.=................ 523
16,800 Lason, Inc.=.......................... 111
9,300 NFO Worldwide Inc.=................... 205
25,200 Prepaid Legal Services Inc.=.......... 748
12,800 SEI Investment Company++.............. 1,451
17,600 Technology Solutions Company=......... 161
23,600 The Profit Recovery Group
International, Inc. ................ 437
33,900 True North Communications++........... 1,332
--------
7,999
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE> 39
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
COMPUTER RELATED -- 2.7%
11,250 Cybex Computer Products Corporation... $ 423
18,400 Hutchinson Technology, Inc.=.......... 324
8,600 Jack Henry & Associates............... 317
8,200 Kronos Inc.=.......................... 243
13,000 Micros Systems, Inc.=................. 818
17,200 Pinnacle Systems, Inc.=............... 572
9,700 Plexus Corporation=................... 646
45,600 Standard Microsystems Corporation=.... 664
5,100 Three-Five Systems, Inc. ............. 306
24,200 Zebra Technologies Corporation=++..... 1,211
--------
5,524
--------
COMPUTER SERVICES -- 1.1%
19,800 Gerber Scientific Inc. ............... 382
25,000 MarchFirst, Inc.=..................... 893
15,600 Primark Corporation=.................. 376
2,200 QRS Corporation=...................... 166
4,700 ZixIt Corporation=.................... 342
--------
2,159
--------
COMPUTER SOFTWARE -- 7.5%
35,600 American Management Systems=++........ 1,559
16,200 Aspen Technology, Inc.=............... 654
16,200 Avid Technology, Inc.=................ 290
700 BARRA, Inc.=.......................... 24
23,300 Ciber Inc.=........................... 478
18,900 Epicor Software Corporation=.......... 161
26,500 FileNET Corporation=.................. 788
6,500 Great Plains Software, Inc.=.......... 347
12,700 Harbinger Corporation=................ 370
12,100 HNC Software Inc.=.................... 872
11,700 Hyperion Solutions Corporation=....... 380
21,700 MedQuist Inc.=........................ 590
31,800 Mercury Interactive Corporation++..... 2,519
26,600 Midway Games Inc.=.................... 352
25,200 National Computer Systems Inc.++...... 1,279
18,500 National Instruments Corporation...... 868
6,900 Project Software & Development,
Inc. ............................... 390
300 Read-Rite Corporation=................ 1
20,000 Remedy Corporation=................... 843
17,900 RSA Security Inc.=++.................. 927
10,400 The BISYS Group, Inc.=................ 692
16,100 THQ Inc. ............................. 288
11,900 Verity, Inc. ......................... 485
--------
15,157
--------
CONSTRUCTION -- 2.3%
23,300 D.R. Horton Inc. ..................... 304
27,600 Dycom Industries Inc.++............... 1,347
4,300 Elcor Corporation..................... 148
25,500 Insituform Technologies Inc., Class
A=.................................. 781
19,000 M.D.C. Holdings, Inc. ................ 341
42,700 Morrison Knudsen Corporation=......... 315
15,700 Ryland Group Inc. .................... 294
36,500 Standard Pacific Corporation.......... 365
20,400 Toll Brothers Inc.=................... 408
11,300 U.S. Home Corporation=................ 429
--------
4,732
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
CONSUMER GOODS AND SERVICES -- 1.8%
40,700 ADVO Inc.=............................ $ 1,017
7,700 Angelica Corporation.................. 77
28,800 Fedders Corporation................... 160
5,000 Harman International Industries....... 300
21,200 Kaman Corporation..................... 207
47,200 La-Z-Boy Inc. ........................ 726
19,700 Royal Appliance Manufacturing
Company=............................ 97
12,700 Russ Berrie & Company Inc. ........... 235
23,800 Smithfield Foods Inc.=................ 476
18,400 Thomas Industries Inc. ............... 345
4,100 Wolverine World Wide.................. 45
--------
3,685
--------
CONTAINERS AND PACKAGING -- 0.4%
23,400 AptarGroup Inc. ...................... 624
11,800 Shorewood Packaging Corporation=...... 253
--------
877
--------
COSMETICS AND TOILETRIES -- 0.1%
27,200 Natures Sunshine Products Inc. ....... 218
--------
DISTRIBUTION AND WHOLESALE -- 0.3%
12,800 Aviation Sales Company=............... 81
38,500 Brightpoint Inc.=..................... 471
1,000 Lawson Products....................... 24
--------
576
--------
DIVERSIFIED -- 0.5%
23,500 Justin Industries Inc. ............... 423
11,800 SPS Technologies Inc.=................ 360
11,100 Standex International Corporation..... 172
--------
955
--------
DRUGS -- 4.9%
23,700 Alpharma Inc., Class A................ 871
19,900 Barr Laboratories, Inc.=.............. 836
36,900 Bindley Western Industries............ 500
28,700 Bio-Technology General
Corporation=........................ 445
7,500 Cygnus, Inc.=......................... 109
34,100 Dura Pharmaceuticals Inc.=............ 420
8,500 Enzo Biochem, Inc.=................... 599
20,200 IDEC Pharmaceuticals Corporation++.... 1,984
40,200 Jones Pharma Incorporated++........... 1,221
14,100 Medicis Pharmaceutical Corporation,
Class A=............................ 564
43,200 NBTY, Inc.=........................... 591
20,200 Pharmaceutical Product Development,
Inc.=............................... 342
6,300 Protein Design Labs, Inc.=............ 501
14,200 Regeneron Pharmaceuticals, Inc.=...... 420
17,800 Syncor International Corporation=..... 587
--------
9,990
--------
ELECTRIC POWER -- 0.2%
12,100 Bangor Hydro-Electric Company......... 209
8,000 Central Vermont Public Services....... 84
6,800 Green Mountain Power Corporation...... 45
--------
338
--------
ELECTRICAL COMPONENTS -- 0.2%
23,600 Artesyn Technologies, Inc.=........... 447
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 40
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
ELECTRICAL EQUIPMENT -- 0.8%
4,800 C&D Technologies, Inc. ............... $ 283
24,300 General Semiconductor, Inc.=.......... 420
23,100 Intermagnetics General
Corporation=........................ 393
11,200 Park Electrochemical Corporation...... 274
6,300 Trimble Navigation Limited=........... 162
--------
1,532
--------
ELECTRONICS -- 4.0%
6,200 Analogic Corporation.................. 229
31,600 Anixter International Inc.=........... 881
13,800 BMC Industries, Inc. ................. 78
19,600 C-Cube Microsystems Inc.=++........... 1,428
19,500 Checkpoint Systems Inc.=.............. 163
20,900 CTS Corporation++..................... 1,191
10,000 Dallas Semiconductor Corporation...... 351
3,500 Dionex Corporation=................... 115
36,100 Gentex Corporation=++................. 1,339
9,600 Hadco Corporation=.................... 620
4,700 Itron Inc.=........................... 33
21,000 Kent Electronics Corporation=......... 613
2,400 Methode Electronics Inc. ............. 121
25,800 Pioneer Standard Electronics.......... 406
10,200 Technitrol Inc. ...................... 594
--------
8,162
--------
ENERGY -- 0.1%
9,600 Barrett Resources Corporation=........ 286
--------
ENVIRONMENTAL -- 0.5%
5,800 American States Water Company......... 173
8,800 Clarcor Inc. ......................... 156
13,000 IMCO Recycling Inc. .................. 144
19,900 Tetra Tech Inc. ...................... 472
--------
945
--------
EXPLORATION AND DRILLING -- 0.6%
37,200 Northwest Natural Gas Company......... 726
31,600 Southwestern Energy Company........... 209
6,300 Stone Energy Corporation=............. 310
--------
1,245
--------
FINANCIAL SERVICES -- 2.0%
64,300 Americredit Corporation=.............. 1,049
9,500 Centura Banks Inc. ................... 435
3,500 Dain Rauscher Corporation............. 231
41,400 Eaton Vance Corporation++............. 1,778
5,000 National Discount Brokers Group,
Inc.=............................... 247
14,100 Riggs National Corporation............ 172
7,800 Whitney Holding Corporation........... 254
--------
4,166
--------
FOOD PRODUCERS -- 1.1%
4,900 Agribrands International, Inc.=....... 193
40,600 Chiquita Brands International Inc. ... 193
23,500 Corn Products International Inc. ..... 565
35,100 Earthgrains Company................... 522
8,500 J & J Snack Foods Corporation=........ 169
12,600 Michael Foods Inc. ................... 265
22,900 Ralcorp Holdings, Inc.=............... 332
--------
2,239
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
FOREST AND PAPER PRODUCTS -- 0.8%
19,300 Buckeye Technologies Inc.=............ $ 340
2,400 Caraustar Industries, Inc. ........... 34
17,900 Pope & Talbot Inc. ................... 329
6,600 Schweitzer-Mauduit International
Inc. ............................... 85
25,200 United Stationers Inc.=............... 900
--------
1,688
--------
FURNITURE AND APPLIANCES -- 0.4%
21,800 Ethan Allen Interiors, Inc. .......... 545
43,300 Interface Inc. ....................... 184
--------
729
--------
HEALTHCARE -- 0.5%
15,900 Advance Paradigm, Inc.=............... 189
6,900 COR Therapeutics, Inc.=............... 455
22,300 Magellan Health Services, Inc.=....... 107
9,500 Pediatrix Medical Group Inc.=......... 69
41,400 US Oncology, Inc.=.................... 186
--------
1,006
--------
HOUSEHOLD PRODUCTS -- 0.1%
7,600 SLI, Inc. ............................ 129
--------
INDUSTRIAL -- 0.6%
21,800 Cognex Corporation=++................. 1,258
--------
INSURANCE -- 1.9%
900 Ace Limited........................... 21
14,600 Arthur J. Gallagher & Company......... 475
16,400 Delphi Financial Group Inc., Class
A++................................. 498
16,500 E.W. Blanch Holdings, Inc. ........... 330
28,400 Enhance Financial Services Group
Inc. ............................... 401
20,900 Fidelity National Financial, Inc. .... 289
26,900 First American Financial
Corporation......................... 382
29,200 Radian Group Inc.++................... 1,390
19,300 Sierra Health Services, Inc.=......... 95
--------
3,881
--------
MACHINERY AND EQUIPMENT -- 2.4%
1,500 Applied Industrial Technologies,
Inc. ............................... 24
16,500 Applied Power, Inc., Class A.......... 470
18,800 Astec Industries Inc.=................ 499
8,900 CPI Corporation....................... 207
16,900 Gardner Denver Machinery Inc.=........ 318
21,300 Graco Inc. ........................... 618
15,500 Helix Technology Corporation.......... 931
16,000 Hughes Supply Inc. ................... 248
37,100 JLG Industries Inc. .................. 339
25,500 Manitowoc Company, Inc. .............. 690
54,100 Paxar Corporation=.................... 521
2,600 Regal Beloit.......................... 46
--------
4,911
--------
MANUFACTURING -- 2.1%
23,600 A. O. Smith Corporation............... 425
10,600 Belden Inc. .......................... 292
5,644 Corning Inc.++ ....................... 1,096
31,600 Delta and Pine Land Company........... 624
21,500 Dixie Group Inc.=..................... 95
11,700 Griffon Corporation=.................. 91
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE> 41
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
MANUFACTURING -- (CONTINUED)
8,300 Libbey Inc. .......................... $ 227
2,100 Lydall Inc.=.......................... 18
18,500 Roper Industries, Inc. ............... 628
5,800 Scott Technologies, Inc.=............. 109
2,800 Sturm, Ruger & Company Inc. .......... 25
11,500 Tredegar Industries, Inc. ............ 310
19,400 Vicor Corporation=.................... 349
--------
4,289
--------
MEDICAL PRODUCTS AND SUPPLIES -- 4.3%
6,400 Alliance Pharmaceutical
Corporation=........................ 96
11,000 Biomatrix, Inc. ...................... 281
10,200 Cephalon, Inc.=....................... 383
15,600 Coherent Inc.=........................ 810
14,300 Cooper Companies Inc. ................ 460
10,300 Datascope Corporation................. 327
5,100 Diagnostic Products Corporation....... 125
3,800 Hanger Orthopedic Group, Inc.=........ 20
10,600 Hooper Holmes, Inc. .................. 364
19,300 IDEXX Laboratories Inc.=.............. 450
34,200 Liposome Company Inc.=................ 597
2,100 Mentor Corporation.................... 57
17,600 Owens & Minor, Inc. .................. 187
18,200 Patterson Dental Company=............. 696
10,500 Priority Healthcare Corporation....... 528
10,600 ResMed Inc.=.......................... 756
7,900 Respironics, Inc.=.................... 114
21,400 Sola International Inc.=.............. 131
5,000 SpaceLabs Medical Inc.=............... 80
25,800 Summit Technology Inc.=............... 235
10,100 Sunrise Medical Inc.=................. 63
4,200 Techne Corporation=................... 290
12,400 Varian Medical Systems, Inc.=......... 566
7,700 Vertex Pharmaceuticals, Inc.=......... 360
10,200 Vital Signs Inc. ..................... 234
18,500 Wesley Jessen Visioncare, Inc.=....... 665
--------
8,875
--------
MEDICAL SERVICES -- 1.5%
4,700 ADAC Laboratories Designs=............ 65
15,500 Advanced Tissue Sciences, Inc.=....... 105
8,500 Cerner Corporation=................... 230
33,700 Coventry Health Care Inc.=............ 286
18,500 Invacare Corporation.................. 508
6,200 Laser Vision Centers, Inc.=........... 43
29,500 Orthodontic Centers of America=....... 553
26,300 Renal Care Group, Inc.=............... 570
16,000 Universal Health Services Inc., Class
B=++................................ 783
--------
3,143
--------
METALS AND MINING -- 1.6%
23,400 AMCOL International Corporation....... 360
14,900 Commercial Metals Company............. 412
19,100 Commonwealth Industries, Inc. ........ 173
9,700 Material Sciences Corporation=........ 131
29,200 Mueller Industries Inc.=.............. 886
8,000 Northwestern Corporation.............. 165
18,100 Quanex Corporation.................... 326
22,700 Reliance Steel & Aluminum Company..... 508
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
METALS AND MINING -- (CONTINUED)
11,800 Steel Technologies Inc. .............. $ 94
5,800 Stillwater Mining Company=............ 232
11,400 WHX Corporation=...................... 78
--------
3,365
--------
NETWORKING EQUIPMENT AND PRODUCTS -- 0.2%
4,900 Auspex Systems, Inc.=................. 54
8,100 Concord Communications, Inc.=......... 288
--------
342
--------
OFFICE EQUIPMENT -- 0.5%
20,800 Brady Corporation..................... 649
26,600 John H. Harland Company............... 359
10,900 Nashua Corporation=................... 91
--------
1,099
--------
OIL AND GAS -- 2.1%
15,900 Cabot Oil & Gas Corporation........... 287
3,900 HS Resources, Inc.=................... 82
7,800 New Jersey Resources Corporation...... 333
19,100 Newfield Exploration Company=......... 673
22,200 Oceaneering International Inc.=....... 416
2,000 Plains Resources Inc.=................ 25
25,000 Pogo Producing Company................ 714
23,100 Pride International Inc.=............. 527
33,200 Seitel Inc.=.......................... 264
46,000 Vintage Petroleum, Inc. .............. 927
--------
4,248
--------
OIL FIELD SERVICES & EQUIPMENT -- 0.8%
12,400 Atwood Oceanics, Inc.=................ 822
39,400 Cross Timbers Oil Company............. 515
20,800 Offshore Logistics Inc.=.............. 289
700 Seacor Smit, Inc.=.................... 42
--------
1,668
--------
PRINTING AND PUBLISHING -- 0.2%
23,100 Bowne & Company Inc. ................. 298
7,100 Consolidated Graphics Inc.=........... 91
14,800 Thomas Nelson, Inc. .................. 117
--------
506
--------
PROFESSIONAL SERVICES -- 0.8%
14,900 CDI Corporation=...................... 283
9,500 InaCom Corporation=................... 26
6,600 Labor Ready, Inc. .................... 65
8,200 MAXIMUS, Inc.=........................ 250
15,800 National Data Corporation............. 411
12,800 StaffMark, Inc.=...................... 102
15,000 URS Corporation=...................... 197
9,800 Volt Information Sciences Inc.=....... 352
--------
1,686
--------
RECREATION -- 1.1%
22,000 Arctic Cat Inc. ...................... 226
48,000 Aztar Corporation=.................... 456
600 GC Companies Inc.=.................... 21
8,100 K2 Inc.=.............................. 64
21,900 Pinnacle Entertainment, Inc.=......... 445
18,100 Polaris Industries Inc. .............. 545
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 42
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
RECREATION -- (CONTINUED)
7,200 Thor Industries Inc. ................. $ 175
12,900 Winnebago Industries.................. 233
--------
2,165
--------
RESTAURANTS AND LODGING -- 1.8%
15,400 Applebees International Inc. ......... 433
23,800 CEC Entertainment Inc. ............... 645
1,600 IHOP Corporation...................... 22
33,400 Jack in the Box Inc.=................. 711
27,400 Landry's Seafood Restaurants Inc.=.... 175
35,800 Prime Hospitality Corporation=........ 260
23,400 Ruby Tuesday Inc. .................... 410
39,900 Ryan's Family Steak Houses Inc.=...... 382
10,100 Sonic Corporation=.................... 275
6,600 The Cheesecake Factory=............... 275
--------
3,588
--------
RETAIL -- FOOD -- 0.4%
28,700 Fleming Companies Inc. ............... 432
11,800 Nash-Finch Company.................... 96
6,900 Whole Foods Market Inc.=.............. 286
--------
814
--------
RETAIL -- GENERAL -- 0.6%
10,300 Ames Department Stores=............... 253
29,300 Casey's General Stores, Inc. ......... 319
6,200 Cash America Investments Inc. ........ 77
30,500 Regis Corporation..................... 451
6,400 ShopKo Stores, Inc.=.................. 114
--------
1,214
--------
RETAIL -- SPECIALTY -- 4.0%
2,933 99 Cents Only Stores.................. 115
13,800 AnnTaylor Stores Corporation=++....... 317
14,200 Books-A-Million Inc.=................. 85
50,100 Cato Corporation...................... 589
7,600 Cost Plus, Inc.=...................... 257
5,800 Discount Auto Parts Inc.=............. 52
15,100 Dress Barn Inc.=...................... 291
29,700 Fossil, Inc. ......................... 696
18,200 Gottschalks Inc.=..................... 96
19,200 Insight Enterprises Inc.=............. 700
34,300 Jan Bell Marketing Inc.=.............. 99
15,500 Jo-Ann Stores Inc.=................... 130
18,000 Linens 'N Things Inc.=++.............. 617
21,300 Michaels Stores Inc.=................. 868
13,100 O'Reilly Automotive Inc. ............. 186
18,900 Pacific Sunwear of California......... 728
24,600 Pier 1 Imports Inc. .................. 252
16,500 Stein Mart Inc.=...................... 136
25,000 The Bombay Company Inc.=.............. 83
22,700 The Men's Wearhouse Inc.=............. 672
9,300 Toro Company.......................... 278
20,900 Zale Corporation=++................... 985
--------
8,232
--------
SEMICONDUCTORS -- 6.2%
2,600 Actel Corporation=.................... 93
10,200 Alpha Industries, Inc.=............... 969
7,500 American Xtal Technology, Inc.=....... 243
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
SEMICONDUCTORS -- (CONTINUED)
44,300 Burr-Brown Corporation++.............. $ 2,408
10,000 Electro Scientific Industries,
Inc. ............................... 580
3,600 Electroglas, Inc.=.................... 123
37,200 International Rectifier
Corporation++....................... 1,418
30,200 KEMET Corporation=++.................. 1,910
15,500 Kulicke & Soffa Industries Inc.=...... 993
28,200 Lattice Semiconductor Corporation++... 1,909
15,300 Micrel Inc.++......................... 1,469
11,100 Silicon Valley Group, Inc.=........... 305
--------
12,420
--------
STEEL -- 0.0%+
7,200 Birmingham Steel Corporation.......... 37
--------
TECHNOLOGY -- 1.5%
26,400 Digital Microwave Corporation=++...... 894
19,500 Komag, Incorporated=.................. 74
28,300 P-Com, Inc.=.......................... 524
34,700 Progress Software Corporation......... 813
14,300 S3 Inc.=.............................. 300
10,400 Telxon Corporation=................... 183
8,800 Valence Technology, Inc.=............. 207
--------
2,995
--------
TELECOMMUNICATIONS -- 4.3%
16,000 Adaptive Broadband Corporation........ 856
7,400 Apex Inc.=............................ 275
21,400 Aspect Communications Corporation=.... 793
12,300 Black Box Corporation=................ 852
13,700 C-COR Electronics..................... 671
6,000 Centigram Communications
Corporation=........................ 114
26,700 CommScope, Inc.=++.................... 1,218
10,400 Digi International Inc.=.............. 96
24,300 Inter-Tel Inc. ....................... 665
30,200 Intervoice Inc.=...................... 872
12,100 Plantronics Inc.=..................... 1,128
3,000 Proxim, Inc.=......................... 359
14,200 SymmetriCom Inc.=..................... 150
17,600 Xircom Inc.=.......................... 651
--------
8,700
--------
TRANSPORTATION -- 2.1%
39,700 American Freightways Corporation=..... 593
29,900 Arkansas Best Corporation=............ 314
1,200 Atlantic Coast Airlines Holdings,
Inc.=............................... 31
14,400 EGL, Inc.=............................ 337
17,600 Expeditors International of
Washington, Inc. ................... 700
19,400 Fritz Companies, Inc.=................ 196
10,700 Kirby Corporation=.................... 211
17,000 M.S. Carriers Inc.=................... 400
28,200 Mesa Air Group Inc.=.................. 176
1,000 Midwest Express Holdings, Inc.=....... 26
9,066 Railamerica Inc.=..................... 61
14,800 SkyWest Inc. ......................... 579
19,100 U.S. Freightways Corporation.......... 715
--------
4,339
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE> 43
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2000
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-----------------------------------------------------------
<C> <S> <C> <C>
TRUCKING AND SHIPPING -- 1.0%
6,400 Heartland Express Inc.=............... $ 90
16,200 Landstar System Inc.=................. 887
63,100 Rollins Truck Leasing Corporation..... 532
12,600 Wabash National Corporation........... 176
21,800 Yellow Corporation=................... 402
--------
2,087
--------
UTILITIES -- ELECTRIC -- 0.5%
5,600 Eastern Utilities Associates.......... 176
9,700 TNP Enterprises Inc. ................. 424
9,600 United Illuminating Company........... 377
--------
977
--------
UTILITIES -- NATURAL GAS -- 0.9%
15,700 Cascade Natural Gas Corporation....... 253
39,100 Energen Corporation................... 623
18,300 Piedmont Natural Gas Company, Inc. ... 477
23,100 Southwest Gas Corporation............. 440
1,600 Valmont Industries Inc. .............. 28
--------
1,821
--------
UTILITIES -- TELEPHONE -- 0.3%
32,100 TALK.com, Inc.=....................... 514
--------
UTILITIES -- WATER -- 0.4%
11,800 Philadelphia Suburban Corporation..... 214
16,800 United Water Resources Inc. .......... 584
--------
798
--------
WIRE AND CABLE PRODUCTS -- 0.4%
17,800 Barnes Group Inc. .................... 258
14,000 Cable Design Technologies
Corporation=........................ 475
--------
733
--------
TOTAL COMMON STOCKS
(Cost $154,514)....................... 187,702
--------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.3%
(Cost $681)
U.S. TREASURY BILLS -- 0.3%
$ 690 5.720%** 06/22/00++................... 681
--------
<CAPTION>
SHARES
(000)
---------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 9.4%
(Cost $19,208)
19,208 Nations Cash Reserves#................ 19,208
--------
TOTAL INVESTMENTS
(Cost $174,403*)............. 101.7% 207,591
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)
-----------------------------------------------------------
<C> <S> <C> <C>
OTHER ASSETS AND LIABILITIES
(NET)........................ (1.7)%
Receivable for investment securities
sold................................ $ 3,666
Receivable for Fund shares sold....... 981
Dividends receivable.................. 73
Interest receivable................... 53
Receivable for variation margin....... 269
Unamortized organization costs........ 3
Collateral on securities loaned....... (7,508)
Payable for Fund shares redeemed...... (709)
Investment advisory fee payable....... (69)
Administration fee payable............ (41)
Shareholder servicing and distribution
fees payable........................ (2)
Due to custodian...................... (1)
Distributions payable................. (12)
Accrued Trustees' fees and expenses... (18)
Accrued expenses and other
liabilities......................... (73)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)................... (3,388)
--------
NET ASSETS..................... 100.0% $204,203
========
NET ASSETS CONSIST OF:
Undistributed net investment income... $ 24
Accumulated net realized loss on
investments sold and futures
contracts........................... (18,118)
Net unrealized appreciation of
investments and futures contracts... 32,265
Paid-in capital....................... 190,032
--------
NET ASSETS............................ $204,203
========
PRIMARY A SHARES
Net asset value, offering and
redemption price per share
($196,593,027 / 14,529,345 shares
outstanding)........................ $13.53
======
INVESTOR A SHARES
Net asset value and redemption price
per share ($7,610,072 / 562,918
shares outstanding)................. $13.52
======
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $32,053 on
investment securities was comprised of gross appreciation of $50,100 and
gross depreciation of $18,047 for Federal income tax purposes. At March 31,
2000, the aggregate cost of securities for Federal income tax purposes was
$175,538.
** Rate represents annualized yield at date of purchase.
= Non-income producing security.
++ All or a portion of 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 Banc of America Capital Management, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 8). The portion that represents cash collateral is
$7,508.
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE> 44
NATIONS FUNDS
STATEMENTS OF OPERATIONS
For the year ended March 31, 2000
<TABLE>
<CAPTION>
MANAGED
MANAGED SMALLCAP MANAGED
VALUE MANAGED VALUE SMALLCAP
INDEX INDEX INDEX INDEX
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Dividends (Net of foreign withholding taxes of $0,
$75, $1 and $0 respectively)..................... $ 111 $ 8,933 $ 55 $ 1,545
Interest........................................... 3 293 2 173
Securities lending................................. -- 22 -- 26
-------------- -------------- -------------- --------------
Total investment income........................ 114 9,248 57 1,744
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fee............................ 26 2,942 20 839
Administration fee................................. 13 1,543 10 442
Transfer agent fees................................ 3 303 4 77
Custodian fees..................................... 6 66 12 59
Legal and audit fees............................... 91 87 96 83
Registration and filing fees....................... 31 72 32 --*
Trustees' fees and expenses........................ 19 19 19 19
Amortization of organization costs................. -- 2 -- 2
Interest expense................................... 1 20 1 17
Printing expense................................... 33 62 34 36
Miscellaneous expense.............................. 71 29 71 --
-------------- -------------- -------------- --------------
Subtotal....................................... 294 5,145 299 1,574
Shareholder servicing and distribution fees:
Primary B Shares................................. -- --* -- --
Investor A Shares................................ 6 132 5 23
-------------- -------------- -------------- --------------
Total expenses................................. 300 5,277 304 1,597
Fees waived and expenses reimbursed by investment
advisor and/or distributor....................... (262) (1,560) (274) (537)
Fees reduced by credits allowed by the custodian... --* (6) --* (1)
-------------- -------------- -------------- --------------
Net expenses................................... 38 3,711 30 1,059
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME.............................. 76 5,537 27 685
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS:
Net realized gain/(loss) from:
Security transactions............................ 535 51,450 (196) (2,109)
Futures contracts................................ (8) 472 (3) 646
-------------- -------------- -------------- --------------
Net realized gain/(loss) on investments............ 527 51,922 (199) (1,463)
-------------- -------------- -------------- --------------
Change in unrealized appreciation/(depreciation) of
:
Securities....................................... (223) 36,458 758 42,234
Futures contracts................................ 3 188 -- (926)
-------------- -------------- -------------- --------------
Net change in unrealized
appreciation/(depreciation) of investments....... (220) 36,646 758 41,308
-------------- -------------- -------------- --------------
Net realized and unrealized gain/(loss) on
investments...................................... 307 88,568 559 39,845
-------------- -------------- -------------- --------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS:................................. $ 383 $ 94,105 $ 586 $ 40,530
============== ============== ============== ==============
</TABLE>
---------------
* Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE> 45
[This page intentionally left blank.]
41
<PAGE> 46
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
MANAGED VALUE INDEX
---------------------------------
-------------------------------
YEAR ENDED YEAR ENDED
3/31/00 3/31/99
-------------------------------
<S> <C> <C>
(IN THOUSANDS)
Net investment income....................................... $ 76 $ 154
Net realized gain/(loss) on investments..................... 527 403
Net change in unrealized appreciation/(depreciation) of
investments............................................... (220) (229)
-------------- --------------
Net increase/(decrease) in net assets resulting from
operations................................................ 383 328
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (50) (131)
Primary B Shares.......................................... -- --*
Investor A Shares......................................... (24) (37)
Investor C Shares+........................................ -- --*
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... (268) (47)
Primary B Shares.......................................... -- --*
Investor A Shares......................................... (138) (14)
Investor C Shares+........................................ -- --*
Net increase/(decrease) in net assets from Fund share
transactions.............................................. (2,858) (3,407)
-------------- --------------
Net increase/(decrease) in net assets....................... (2,955) (3,308)
-------------- --------------
NET ASSETS:
Beginning of year........................................... 6,396 9,704
-------------- --------------
End of year................................................. $ 3,441 $ 6,396
============== ==============
Undistributed net investment income/(distributions in excess
of net investment income) at end of year.................. $ 2 $ --
============== ==============
</TABLE>
---------------
* Amount represents less than $500.
+ Investor C Shares converted into Investor A Shares on March 19, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE> 47
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
MANAGED INDEX MANAGED SMALLCAP VALUE INDEX MANAGED SMALLCAP INDEX
----------------------------------- ------------------------------- -------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
3/31/00 3/31/99 3/31/00 3/31/99 3/31/00 3/31/99
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 5,537 $ 6,150 $ 27 $ 41 $ 685 $ 1,040
51,922 (1,305) (199) (77) (1,463) (15,412)
36,646 88,214 758 (1,162) 41,308 (34,178)
-------------- -------------- -------------- -------------- -------------- --------------
94,105 93,059 586 (1,198) 40,530 (48,550)
(5,273) (5,873) (20) (26) (654) (1,025)
--* --* -- --* -- --*
(290) (255) (8) (14) (7) (26)
-- (20) -- --* -- --*
(4,135) (3,308) (11) (14) -- (1,102)
-- --* -- --* -- (2)
(348) (227) (6) (20) -- (140)
-- (38) -- --* -- (11)
(156,377) 229,499 (2,597) 2,280 (34,827) 133,128
-------------- -------------- -------------- -------------- -------------- --------------
(72,318) 312,837 (2,056) 1,008 5,042 82,272
-------------- -------------- -------------- -------------- -------------- --------------
717,074 404,237 4,989 3,981 199,161 116,889
-------------- -------------- -------------- -------------- -------------- --------------
$ 644,756 $ 717,074 $ 2,933 $ 4,989 $ 204,203 $ 199,161
============== ============== ============== ============== ============== ==============
$ -- $ -- $ 5 $ 6 $ 24 $ --
============== ============== ============== ============== ============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE> 48
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
MANAGED VALUE INDEX
YEAR ENDED YEAR ENDED
MARCH 31, 2000 MARCH 31, 1999
----------------- -----------------
SHARES DOLLARS SHARES DOLLARS
----------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 70 $ 824 448 $ 4,997
Issued as reinvestment of dividends....................... 18 216 13 145
Redeemed.................................................. (295) (3,353) (733) (8,231)
---- ------- ---- -------
Net increase/(decrease)................................... (207) $(2,313) (272) $(3,089)
==== ======= ==== =======
INVESTOR A SHARES:
Sold...................................................... 66 $ 767 116 $ 1,289
Issued as reinvestment of dividends....................... 13 159 5 51
Redeemed.................................................. (131) (1,471) (146) (1,653)
---- ------- ---- -------
Net increase/(decrease)................................... (52) $ (545) (25) $ (313)
==== ======= ==== =======
INVESTOR C SHARES:+
Sold...................................................... -- $ -- 2 $ 22
Issued as reinvestment of dividends....................... -- -- --(a) --(b)
Redeemed.................................................. -- -- (2) (27)
---- ------- ---- -------
Net increase/(decrease)................................... -- $ -- -- $ (5)
==== ======= ==== =======
Total net increase/(decrease)............................. (259) $(2,858) (297) $(3,407)
==== ======= ==== =======
</TABLE>
---------------
+ Managed Value Index 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.
44
<PAGE> 49
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED INDEX
YEAR ENDED YEAR ENDED
MARCH 31, 2000 MARCH 31, 1999
-------------------- ------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 3,058 $ 62,607 16,315 $281,875
Issued as reinvestment of dividends....................... 267 5,408 279 4,881
Redeemed.................................................. (10,732) (217,683) (4,119) (73,925)
------- --------- ------ --------
Net increase/(decrease)................................... (7,407) $(149,668) 12,475 $212,831
======= ========= ====== ========
PRIMARY B SHARES:
Sold...................................................... --(a) $ 1 --(a) $ --(b)
Issued as reinvestment of dividends....................... --(a) --(b) --(a) --(b)
Redeemed.................................................. --(a) --(b) --(a) --(b)
------- --------- ------ --------
Net increase/(decrease)................................... --(a) $ 1 --(a) $ --(b)
======= ========= ====== ========
INVESTOR A SHARES:
Sold...................................................... 678 $ 13,827 2,063 $ 37,053
Issued as reinvestment of dividends....................... 27 538 25 434
Redeemed.................................................. (1,024) (21,075) (920) (15,876)
------- --------- ------ --------
Net increase/(decrease)................................... (319) $ (6,710) 1,168 $ 21,611
======= ========= ====== ========
INVESTOR C SHARES:+
Sold...................................................... -- $ -- 188 $ 3,237
Issued as reinvestment of dividends....................... -- -- 3 58
Redeemed.................................................. -- -- (441) (8,238)
------- --------- ------ --------
Net increase/(decrease)................................... -- $ -- (250) $ (4,943)
======= ========= ====== ========
Total net increase/(decrease)............................. (7,726) $(156,377) 13,393 $229,499
======= ========= ====== ========
</TABLE>
---------------
+ Managed Index 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.
45
<PAGE> 50
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED SMALLCAP VALUE INDEX
YEAR ENDED YEAR ENDED
MARCH 31, 2000 MARCH 31, 1999
----------------- -----------------
SHARES DOLLARS SHARES DOLLARS
----------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 79 $ 787 304 $ 2,894
Issued as reinvestment of dividends....................... 3 25 58 738
Redeemed.................................................. (265) (2,587) (202) (2,003)
---- ------- ---- -------
Net increase/(decrease)................................... (183) $(1,775) 160 $ 1,629
==== ======= ==== =======
INVESTOR A SHARES:
Sold...................................................... 31 $ 309 178 $ 1,805
Issued as reinvestment of dividends....................... 1 13 12 160
Redeemed.................................................. (115) (1,144) (141) (1,322)
---- ------- ---- -------
Net increase/(decrease)................................... (83) $ (822) 49 $ 643
==== ======= ==== =======
INVESTOR C SHARES:+
Sold...................................................... -- $ -- 10 $ 119
Issued as reinvestment of dividends....................... -- -- --(a) --(b)
Redeemed.................................................. -- -- (12) (111)
---- ------- ---- -------
Net increase/(decrease)................................... -- $ -- (2) $ 8
==== ======= ==== =======
Total net increase/(decrease)............................. (266) $(2,597) 207 $ 2,280
==== ======= ==== =======
</TABLE>
---------------
+ Managed SmallCap Value Index 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.
46
<PAGE> 51
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED SMALLCAP INDEX
YEAR ENDED YEAR ENDED
MARCH 31, 2000 MARCH 31, 1999
------------------- ------------------
SHARES DOLLARS SHARES DOLLARS
-------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 6,075 $ 76,898 17,693 $229,414
Issued as reinvestment of dividends....................... 18 233 58 738
Redeemed.................................................. (8,723) (107,969) (7,858) (94,934)
------ --------- ------ --------
Net increase/(decrease)................................... (2,630) $ (30,838) 9,893 $135,218
====== ========= ====== ========
PRIMARY B SHARES:+
Sold...................................................... -- $ -- 6 $ 82
Issued as reinvestment of dividends....................... -- -- -- --
Redeemed.................................................. -- -- (17) (210)
------ --------- ------ --------
Net increase/(decrease)................................... -- $ -- (11) $ (128)
====== ========= ====== ========
INVESTOR A SHARES:
Sold...................................................... 285 $ 3,621 898 $ 10,749
Issued as reinvestment of dividends....................... 1 7 12 160
Redeemed.................................................. (610) (7,617) (1,001) (12,589)
------ --------- ------ --------
Net increase/(decrease)................................... (324) $ (3,989) (91) $ (1,680)
====== ========= ====== ========
INVESTOR C SHARES:++
Sold...................................................... -- $ -- 72 $ 964
Issued as reinvestment of dividends....................... -- -- --(a) --(b)
Redeemed.................................................. -- -- (109) (1,246)
------ --------- ------ --------
Net increase/(decrease)................................... -- $ -- (37) $ (282)
====== ========= ====== ========
Total net increase/(decrease)............................. (2,954) $ (34,827) 9,754 $133,128
====== ========= ====== ========
</TABLE>
---------------
+ There were no longer any public shareholders of Managed SmallCap Index
Primary B Shares as of December 2, 1998.
++ Managed SmallCap Index 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.
47
<PAGE> 52
NATIONS FUNDS
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED VALUE INDEX
PRIMARY A SHARES
Year ended 3/31/2000#..................... $11.42 $0.15 $0.77 $0.92 $(0.16) $(0.72)
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 SHARES
Year ended 3/31/2000#..................... $11.44 $0.12 $0.77 $0.89 $(0.13) $(0.72)
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) --
</TABLE>
---------------
* Managed Value Index Primary A and Investor A 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 shares method.
(a) The effect of the custodial expense offset (Note 2) 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%.
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE> 53
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
RATIO OF NET AND/OR EXPENSE
OPERATING REIMBURSEMENTS
EXPENSES TO ---------------
RATIO OF AVERAGE NET RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING ASSETS NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCLUDING INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET INTEREST AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS EXPENSE ASSETS RATE NET ASSETS
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.88) $11.46 8.07% $1,929 0.50%(a) 0.52%(a) 1.30% 74% 4.70%(a)
(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)
$(0.85) $11.48 7.78% $1,512 0.75%(a) 0.77%(a) 1.05% 74% 4.95%(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)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE> 54
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED INDEX
PRIMARY A SHARES
Year ended 3/31/2000#............. $19.39 $0.16 $2.78 $2.94 $(0.16) $(0.13)
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 SHARES
Year ended 3/31/2000#............. $19.38 $0.06 $2.78 $2.84 $(0.06) $ --
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 SHARES
Year ended 3/31/2000#............. $19.39 $0.11 $2.78 $2.89 $(0.11) $(0.13)
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) --
</TABLE>
---------------
* Managed Index Primary A and Investor A 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 shares method.
(a) The effect of the custodial expense offset (Note 2) 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%.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE> 55
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.29) $22.04 15.33% $593,317 0.50%(a)(b) 0.80% 64% 0.72%(a)
(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)
$(0.06) $22.16 14.70% $ 6 1.00%(a)(b) 0.30% 64% 1.32%(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)
$(0.24) $22.04 15.04% $ 51,433 0.75%(a)(b) 0.55% 64% 0.97%(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)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE> 56
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED SMALLCAP VALUE INDEX
PRIMARY A SHARES
Year ended 3/31/2000#............. $ 8.98 $0.07 $ 1.20 $ 1.27 $(0.07) $(0.03)
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 SHARES
Year ended 3/31/2000#............. $ 8.99 $0.04 $ 1.20 $ 1.24 $(0.04) $(0.03)
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) --
</TABLE>
---------------
* Managed SmallCap Value Index Primary A and Investor A 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 shares method.
(a) The effect of the custodial expense offset (Note 2) 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%.
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE> 57
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF
NET OPERATING
RATIO OF EXPENSES TO RATIO OF
TOTAL NET ASSETS OPERATING AVERAGE NET NET INVESTMENT
DIVIDENDS NET ASSET END OF EXPENSES TO ASSETS INCLUDING INCOME TO PORTFOLIO
AND VALUE TOTAL PERIOD AVERAGE NET INTEREST AVERAGE NET TURNOVER
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS EXPENSE ASSETS RATE
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.10) $10.15 14.20% $1,624 0.50%(a) 0.51%(a) 0.67% 69%
(0.19) 8.98 (20.11) 3,084 0.50(a)(b) -- 0.96 136
(0.03) 11.46 14.88 2,106 0.50+(a)(b) -- 0.78+ 30
$(0.07) $10.16 13.89% $1,309 0.75%(a) 0.76%(a) 0.42% 69%
(0.19) 8.99 (20.23) 1,904 0.75(a)(b) -- 0.71 136
(0.02) 11.46 14.79 1,859 0.75+(a)(b) -- 0.53+ 30
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF
OPERATING
EXPENSES TO
AVERAGE
NET ASSETS
---------------
<S> <C>
6.24%(a)
3.56(a)
2.17+(a)
6.49%(a)
3.81(a)
2.42+(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 ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED SMALLCAP INDEX
PRIMARY A SHARES
Year ended 3/31/2000#............. $11.04 $0.04 $ 2.49 $ 2.53 $(0.04) $ 0.00
Year ended 3/31/1999#............. 14.10 0.06 (2.92) (2.86) (0.06) (0.14)
Year ended 3/31/1998.............. 9.83 0.06 4.58 4.64 (0.06) (0.31)
Period ended 3/31/1997*........... 10.00 0.03 (0.17) (0.14) (0.03) --
INVESTOR A SHARES
Year ended 3/31/2000#............. $11.03 $0.01 $ 2.49 $ 2.50 $(0.01) $ 0.00
Year ended 3/31/1999#............. 14.08 0.03 (2.91) (2.88) (0.03) (0.14)
Year ended 3/31/1998.............. 9.82 0.03 4.57 4.60 (0.03) (0.31)
Period ended 3/31/1997*........... 10.00 0.03 (0.18) (0.15) (0.03) --
</TABLE>
---------------
* Managed SmallCap Index Primary A and Investor A 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.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) The effect of the custodial expense offset (Note 2) 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%.
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE> 59
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF
NET OPERATING
RATIO OF EXPENSES TO RATIO OF
TOTAL NET ASSETS OPERATING AVERAGE NET NET INVESTMENT
DIVIDENDS NET ASSET END OF EXPENSES TO ASSETS INCLUDING INCOME TO PORTFOLIO
AND VALUE TOTAL PERIOD AVERAGE NET INTEREST AVERAGE NET TURNOVER
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS EXPENSE ASSETS RATE
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.04) $13.53 22.97% $196,593 0.50%(a) 0.51%(a) 0.35% 53%
(0.20) 11.04 (20.50) 189,379 0.50(a)(b) -- 0.52 65
(0.37) 14.10 47.71 102,437 0.50(a)(b) -- 0.52 62
(0.03) 9.83 (1.37) 40,851 0.50+ -- 1.05+ 18
$(0.01) $13.52 22.67% $ 7,610 0.75%(a) 0.76%(a) 0.10% 53%
(0.17) 11.03 (20.67) 9,782 0.75(a)(b) -- 0.27 65
(0.34) 14.08 47.35 13,768 0.75(a)(b) -- 0.27 62
(0.03) 9.82 (1.52) 334 0.75+ -- 0.80+ 18
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF
OPERATING
EXPENSES TO
AVERAGE
NET ASSETS
---------------
<S> <C>
0.77%(a)
0.82(a)
1.02(a)
1.21+
1.02%(a)
1.07(a)
1.27(a)
1.46+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE> 60
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, 2000, the Trust offered thirty-six separate portfolios. These
financial statements pertain only to the four managed index portfolios of the
Trust: Managed Value Index Fund, Managed Index Fund, Managed SmallCap Value
Index Fund and Managed SmallCap Index Fund (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 two classes of shares:
Primary A Shares and Investor A Shares. Managed Index Fund also offers Primary B
Shares. Shareholders of a Fund have equal voting rights on matters affecting all
shareholders of the Fund. In addition, each class of shares of a Fund has
exclusive voting rights on matters that relate solely to that 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 certain 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 sale price on the exchange or market on which
such securities are primarily traded. Securities traded only over-the-counter
are valued at the last sale price 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 may
be valued under procedures adopted by the Board of Trustees. Short-term
investments that mature in 60 days or less are valued at amortized cost, which
approximates current value.
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 specified 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 of investments in futures contracts include the possible movement of the
securities or indices underlying the contracts, the possibility that there may
not be a liquid secondary market for the 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. These reclassifications are
due to different book and tax accounting for futures contracts and equalization.
56
<PAGE> 61
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Reclassifications for the year ended March 31, 2000 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.............. 237 --* (237)
Managed Index........ 5,195 26 (5,221)
Managed SmallCap
Value Index........ -- --* --*
Managed SmallCap
Index.............. -- -- --
</TABLE>
---------------
* Amount represents less than $500.
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
their 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. 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 Banc of America Advisors, Inc. ("BAAI"), a wholly-
owned subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is
a wholly-owned banking subsidiary of Bank of America Corporation, a bank holding
company organized as a Delaware corporation, pursuant to which BAAI provides
investment advisory services to the Funds. Under the terms of the Investment
Advisory Agreement, BAAI is entitled to receive an advisory fee, calculated
daily and payable monthly, at the maximum annual rate of 0.40% of each Fund's
average daily net assets. Effective May 14, 1999, the maximum advisory fee
payable by the Funds decreased by 0.10% of the Funds' average daily net assets.
The Trust has entered into a sub-advisory agreement with BAAI and Banc of
America Capital Management, Inc. ("BACAP") (formerly known as TradeStreet
Investment Associates, Inc.), a wholly-owned subsidiary of Bank of America,
pursuant to which BACAP is entitled to receive a sub-advisory fee from BAAI at
the maximum annual rate of 0.10% of each Fund's average daily net assets.
Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust.
Under the co-administration agreements, Stephens and BAAI are entitled to
receive a combined fee, computed daily and paid monthly, at the maximum annual
rate of 0.23% of each Fund's average daily net assets. Effective May 14, 1999,
the combined co-administration fee payable by the Funds to Stephens and BAAI
increased by 0.10% of each Fund's average daily net assets. The Bank of New York
("BNY") serves as sub-administrator of the Trust pursuant to an agreement with
BAAI. For the year ended March 31, 2000, Stephens and BAAI earned $556,502 and
$897,727, respectively, from the Funds for their co-administration services.
BAAI and/or the sub-adviser and Stephens may, from time to time, reduce their
fees payable by each Fund. Effective August 1, 1999, BAAI and/or the sub-adviser
and Stephens agreed to reimburse expenses and/or waive their fees until July 31,
2000 to the extent that total expenses (excluding shareholder servicing and
distribution fees) exceed an annual rate of 0.50% of each respective Fund's
average daily net assets. Prior to that date, BAAI and/or the sub-adviser and
Stephens had voluntarily agreed to reimburse expenses and/or waive their fees to
maintain these total expense limits.
BNY serves as the custodian of the Trust's assets. For the year ended March 31,
2000, expenses of the Funds were reduced by $6,913 under expense offset
arrangements with BNY. The Funds 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.
Effective December 1, 1999, First Data Investor Services Group, Inc. ("First
Data"), the transfer agent for the Funds' shares, was acquired by PFPC Inc.
("PFPC"). PFPC provides the same services as the transfer agent for the Funds'
shares as were previously provided by First Data. Bank of America serves as the
sub-transfer agent for the Primary A and B Shares of the Funds. For the year
ended March 31, 2000, Bank of America earned approximately $16,426 for providing
such services. Stephens also serves as distributor of the Funds' shares.
57
<PAGE> 62
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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. another registered investment company in the Nations Funds family. 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 Reserves, pursuant to an exemptive order
received from the Securities and Exchange Commission. For the year ended March
31, 2000, the Funds earned $452,228 in the 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 Bank of America has 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
the Managed Index Fund and shareholder servicing plans and distribution plans
for the Investor A Shares of each Fund. The shareholder administration plan
permits the Managed Index Fund to compensate institutions for shareholder
administration services provided to 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 Bank of America and BAAI.
At March 31, 2000, 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 Shareholder Administration
Plan:
Managed Index Fund................... 0.50% 0.60%
Investor A Combined Shareholder
Servicing and Distribution Plan...... 0.25% 0.25%
</TABLE>
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, 2000 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
--------------------
<S> <C> <C>
Managed Value Index............... $ 4,441 $ 8,216
Managed Index..................... 445,421 606,962
Managed SmallCap Value Index...... 3,170 5,958
Managed SmallCap Index............ 104,328 152,310
</TABLE>
There were no purchases or sales of long-term U.S. government securities for the
year ended March 31, 2000.
58
<PAGE> 63
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. FUTURES CONTRACTS
At March 31, 2000, 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 VALUE INDEX:
Mini S&P 500 Futures (long position) expiring June 2000(a) 8 $ 603 $ 606 $ 3
MANAGED INDEX:
S&P 500 Futures (long position) expiring June 2000(a) 15 5,572 5,682 110
MANAGED SMALLCAP INDEX:
Russell 2000 Futures (long position) expiring June 2000(a) 51 14,829 13,906 (923)
</TABLE>
---------------
(a) Securities have been segregated as collateral for Managed Value Index,
Managed Index and Managed SmallCap Index for open futures contracts.
6. SHARES OF BENEFICIAL INTEREST
As of March 31, 2000, 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
Schedules of capital stock activity.
7. LINES OF CREDIT
The Trust participates with other Nations Funds 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 a
specified 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 amounts borrowed pursuant to the Agreement) to the aggregate amount of
indebtedness pursuant to the Agreement.
For the year ended March 31, 2000, 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............. $ 17 5.95%
Managed Index................... 348 5.87
Managed SmallCapValue Index..... 9 5.58
Managed SmallCap Index.......... 212 5.58
</TABLE>
The average amount outstanding was calculated based on daily balances in the
period.
The Trust also participates with other Nations Funds in a committed line of
credit provided by BNY. Interest on borrowings under the committed line is
payable at a specified Federal Funds rate plus 0.50% on an annualized basis. A
facility fee of 0.09% per annum of the total amounts available under the line of
credit is charged, of which each Fund has agreed to pay its pro rata share. This
fee is paid quarterly in arrears. Each participating Fund is required to
maintain an asset coverage ratio of at least 300% under the terms of the
arrangement. For the year ended March 31, 2000, there were no borrowings by the
Funds under the committed line of credit.
8. SECURITIES LENDING
Under an agreement with BNY, the Funds can lend their 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 Reserves, a portfolio
of Nations 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.
59
<PAGE> 64
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At March 31, 2000, 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........... $14,832 $14,885
Managed SmallCap Value
Index................. 31 33
Managed SmallCap
Index................. 7,174 7,508
</TABLE>
9. CAPITAL LOSS CARRYFORWARD
At March 31, 2000, the following Funds had available for Federal income tax
purposes the following unused capital losses expiring March 31:
<TABLE>
<CAPTION>
FUND 2007 2008
-----------------------------------------------------
<S> <C> <C>
Managed Small Cap Value Index..... -- $ 48
Managed Small Cap Index........... $1,115 16,268
</TABLE>
Under the current tax law, capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following fiscal year.
For the year ended March 31, 2000, the following Funds elected to defer losses
occurring between November 1, 1999 and March 31, 2000 under these rules:
<TABLE>
<CAPTION>
CAPITAL
LOSSES DEFERRED
FUND (000)
--------------------------------------------------------
<S> <C>
Managed Small Cap Value Index.......... $186
Managed Small Cap Index................ 523
</TABLE>
10. SUBSEQUENT EVENTS
On December 9, 1999, the Board of Trustees of Nations Fund Trust approved an
Agreement and Plan of Reorganization (the "Plan") pursuant to which Managed
Index Fund will acquire all of the assets of Managed Value Index Fund in
exchange for shares of equal value of Managed Index Fund and the assumption by
Managed Index Fund of all liabilities of Managed Value Index Fund. This Plan was
approved by shareholders of Managed Value Index Fund and the reorganization
occurred on May 12, 2000.
On December 9, 1999, the Board of Trustees of Nations Fund Trust approved an
Agreement and Plan of Reorganization (the "Plan") pursuant to which Managed
SmallCap Index Fund will acquire all of the assets of Managed SmallCap Value
Index Fund in exchange for shares of equal value of Managed SmallCap Index Fund
and the assumption by Managed SmallCap Index Fund of all liabilities of Managed
SmallCap Value Index Fund. This Plan was approved by shareholders of Managed
SmallCap Value Index Fund and the reorganization occurred on May 12, 2000.
Effective May 12, 2000, Managed SmallCap Index Fund changed its investment
objective and principal investment strategies to reflect that it will seek
investment results that (before fees and expenses) correspond to the total
return of the Standard & Poor's SmallCap 600 Stock Price Index. At that time,
the Fund also changed its name to Nations SmallCap Index Fund and BAAI and/or
the sub-advisor and Stephens have agreed to reimburse expenses and/or waive
their fees to the extent that the Fund's total expenses (excluding shareholder
servicing and distribution fees) exceed an annual rate of 0.40% of the Fund's
average daily net assets.
60
<PAGE> 65
NATIONS FUND
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
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, 2000,
the results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States. 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 auditing
standards generally accepted in the United States, 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, 2000 by correspondence with the custodian, provide a reasonable basis for
the opinion expressed above.
As described in Note 10 to the financial statements, shareholders of Nations
Managed Value Index Fund and Nations Managed SmallCap Value Index Fund have
approved reorganization plans pursuant to which those funds were acquired by
Nations Managed Index Fund and Nations Managed SmallCap Index Fund,
respectively.
PricewaterhouseCoopers LLP
New York, New York
May 19, 2000
61
<PAGE> 66
NATIONS FUNDS
TAX INFORMATION (UNAUDITED)
For the fiscal year ended March 31, 2000, the amount of long-term capital gains
designated by the Trust were as follows:
<TABLE>
<CAPTION>
FUND TOTAL
------------------------------------------------------------------------
<S> <C>
Managed Value Index......................................... $ 398,330
Managed Index............................................... 9,717,450
Managed SmallCap Value Index................................ 17,022
</TABLE>
Of the ordinary income (including short-term capital gain) distributions made by
the Trust during the fiscal year ended March 31, 2000, the following percentages
qualify for the dividend received deduction available to corporate shareholders:
<TABLE>
<S> <C>
Managed Value Index......................................... 31.13%
Managed Index............................................... 100.00%
Managed SmallCap Value Index................................ 91.66%
Managed SmallCap Index...................................... 100.00%
</TABLE>
62
<PAGE> 67
P.O. Box 34602
Charlotte, NC 28254-4602
Toll free 1.800.321.7854
NATIONS FUNDS
INDEXAR (3/00)
