<PAGE> 1
[NATIONS FUNDS LOGO]
Managed
Index(SM)
Funds
Annual Report For The
Year Ended March 31, 1998
[PICTURE OF TREE]
Investments For A Lifetime
Nations
Managed Value
Index Fund
Nations
Managed Index
Fund
Nations
Managed SmallCap
Value Index Fund
Nations
Managed SmallCap
Index Fund
<PAGE> 2
[BACKGROUND DEPICTING BASKETS]
This Report is submitted for
the general information of
shareholders of Nations Funds.
This material must be preceded or
accompanied by a current Nations
Funds prospectus.
Nations Funds Distributor:
Stephens Inc. Stephens Inc., which
is not affiliated with NationsBank,
N.A., is not a bank, and securities
offered by it are not guaranteed by
any bank or insured by the FDIC.
Stephens Inc., member NYSE, SIPC.
Nations Funds Investment Adviser:
NationsBanc Advisors, Inc.
Nations Funds Investment Sub-
Advisers: TradeStreet Investment
Associates, Inc., Gartmore Global
Partners, Boatmen's Capital
Management, Inc. and Marsico
Capital Management, LLC.
- -----------------
[DOWNWARD ARROW]
NOT FDIC-
INSURED
- -----------------
May Lose Value
- -----------------
No Bank Guarantee
- -----------------
<PAGE> 3
Presidents'
Message
Dear Shareholder:
The past 12 months have been very rewarding for many
investors. Even with domestic markets feeling the
effects of the Asian financial crisis, the Standard &
Poor's 500 Composite Stock Price Index (S&P 500
Index) -- a widely known indicator of stock market
activity -- returned 47.98%.*
Even though the markets have experienced recent
success, the prudent investor realizes these conditions
cannot continue indefinitely. While the markets have
continued to perform well during the first three months
of 1998, we encourage you to consider:
-- BUILDING A DIVERSIFIED PORTFOLIO. A portfolio
comprised of different types of
investments -- stocks, bonds, money market
instruments -- has the potential to serve you best
in volatile markets.
-- CHOOSING AN INVESTMENT STRATEGY THAT COMPLEMENTS
YOUR LIFESTYLE AND FINANCIAL OBJECTIVES, and
maintaining that strategy as you pursue your
investment goals.
-- INVESTING FOR THE LONG TERM. If you can afford to
invest throughout inevitable market fluctuations,
you should benefit since historically, market prices
have generally gone up over the long term. This is
often a better strategy than attempting to "time"
the market.
-- INVESTING ON A REGULAR BASIS. This technique, known
as dollar-cost averaging, may enable you to buy more
shares when prices are lower and fewer when prices
are higher. Systematic investing generally provides
an easy, disciplined way to increase your assets.
Such a strategy does not assure a profit and does
not protect against loss in declining markets. Since
this strategy involves continuous investment in
securities regardless of fluctuating price levels,
you should carefully consider your financial ability
to continue your purchases through periods of
declining price levels.
Following these guidelines may help you create an
investment portfolio with the potential to make the
most of current market conditions, as well as those to
come.
With Nations Funds as a component of that portfolio,
your investment is part of over $33 billion in assets
under management. We are very pleased with the overall
performance of the Funds over the past 12 months.
Please refer to the individual fund commentary for
performance results.
NEW OPPORTUNITIES FOR YOUR DIVERSIFIED PORTFOLIO
We have continued to expand the Nations Funds family of
funds, including the addition of two new growth funds
managed by Tom Marsico, one of
* The S&P 500 Index is an unmanaged index of 500 widely
held common stocks. It is unavailable for investment.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
<PAGE> 4
Presidents'
Message continued...
the most respected portfolio managers in the industry.
Mr. Marsico is widely known in the investment community
for having managed the Janus Twenty Fund and Janus
Growth and Income Fund; during his tenure of nearly 10
years at Janus, these Funds grew from $7 million in
assets to more than $7 billion.
In addition, we created Nations Annuity Trust, which
consists of eight investment portfolios that serve as
underlying investment vehicles for annuity products.
One of those products, Nations Variable Annuity issued
by Hartford Life Insurance Company, is now available
for your long-term tax-deferred investing needs.
RECOGNITION FOR SUPERIOR SHAREHOLDER SERVICES
The Nations Funds product line and its performance,
however, lacks importance if it isn't backed by
helpful, professional services to its shareholders.
That's why, among all the Funds' accomplishments this
year, we are particularly proud of the recognition the
industry bestowed on Nations Funds.
In its first year as a participant in the annual survey
conducted by DALBAR, Inc. -- an independent research
firm that measures customer service and establishes
benchmarks in the financial services industry --
Nations Funds was honored with the Key Honors Award for
superior customer service. This award "designates those
firms that demonstrate their commitment to the
shareholder by providing consistently solid service."
NATIONS FUNDS PROVIDES INVESTMENTS FOR A LIFETIME
We want to thank you for your confidence in Nations
Funds, and for making them part of your investment
strategy. As we strive to provide an ever-diverse range
of investment products, we recognize that the
strongest, most important asset is you, the
shareholder.
Sincerely,
<TABLE>
<S> <C>
/s/ A. Max Walker /s/ Robert H. Gordon
A. Max Walker Robert H. Gordon
President and Chairman President
of the Board NationsBanc Advisors, Inc.
</TABLE>
March 31, 1998
P.S.: If you have any questions or comments on your
annual report or the information in it, please contact
us at 1-800-321-7854 or send us a message from the
Nations Funds Web Site at
WWW.nationsbank.com/nationsfunds.
<PAGE> 5
Table
Of
Contents
<TABLE>
<S> <C>
NATIONS FUNDS SPECTRUM 2
ECONOMIC OVERVIEW 4
PORTFOLIO MANAGER COMMENTARY
Nations Managed Value Index Fund 6
Nations Managed Index Fund 10
Nations Managed SmallCap Value Index Fund 14
Nations Managed SmallCap Index Fund 18
FINANCIAL STATEMENTS
Schedule of Investments 22
Statements of Assets and Liabilities 43
Statements of Operations 45
Statements of Changes in Net Assets 46
Schedule of Capital Stock Activity 48
Financial Highlights 50
Notes to Financial Statements 58
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Nations Funds [DALBAR KEY HONORS LOGO]
Recognized For DALBAR, Inc., is a well-respected research firm
Outstanding that measures customer service levels and
Customer Service establishes benchmarks in the financial services
industry.
In recognition of our
commitment to retail
shareholders through
consistently providing
superior customer service,
Nations Funds was awarded
DALBAR Key Honors in 1997.
---------------------------------------------------------------------------------
</TABLE>
<PAGE> 6
<TABLE>
<CAPTION>
The
Nations Funds
Family At A Glance
STABILITY
- ---------------- CURRENT INCOME
- ----------------------------------------------------------------------------------
GROWTH & INCOME
-----------------------
MONEY SHORTER INTERMEDIATE LONGER TERM LARGE CAPITALIZATION
MARKET MATURITY MATURITY DOMESTIC VALUE FUNDS
FUNDS BOND FUNDS BOND FUNDS AND GLOBAL
BOND FUNDS
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
- - Nations - Nations Short- - Nations - Nations Global - Nations
Prime Fund Intermediate Strategic Fixed Government Value Fund
Government Income Fund Income Fund
- - Nations Government Fund - Nations
Money Market - Nations - Nations Managed
Fund - Nations Government Diversified Value Index
Short-Term Securities Fund Income Fund Fund
- - Nations Income Fund
Treasury Fund - Nations - Nations - Nations
- - Nations Tax - Nations Short- Intermediate U.S. Government Equity Income
Exempt Fund Term Municipal Municipal Bond Fund Fund
Income Fund Bond Fund
- Nations - Nations
- Nations Municipal Balanced Assets
State-Specific Income Fund Fund
Intermediate
Municipal Bond - Nations
Funds State-Specific
Long-Term
Municipal Bond
Funds
</TABLE>
RISK (VARIABILITY)
POTENTIAL RETURN
2
<PAGE> 7
[NATIONS FUNDS LOGO]
Investments For A Lifetime(SM)
<TABLE>
<CAPTION>
GROWTH & INCOME
- -------------------------
GROWTH
- ----------------------------------------------------------
AGGRESSIVE GROWTH
-------------------------------------------------------------------------------
LARGE LARGE MID SMALL
CAPITALIZATION CAPITALIZATION INTERNATIONAL CAPITALIZATION CAPITALIZATION REGION-SPECIFIC
FUNDS GROWTH FUNDS EQUITY FUNDS FUNDS FUNDS INTERNATIONAL FUNDS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- - Nations - Nations - Nations - Nations - Nations - Nations
Marsico Marsico Focused International Emerging Small Company Emerging
Growth Equities Fund Growth Fund Growth Fund Growth Fund Markets Fund
& Income
Fund - Nations - Nations - Nations - Nations
Disciplined International Managed Pacific Growth
- - Nations Equity Fund Equity Fund SmallCap Fund
Managed Index Fund
Index Fund - Nations
Capital Growth - Nations
Fund Managed
SmallCap
Value Index
Fund
</TABLE>
The Nations Funds family also includes Nations Equity Index Fund, which seeks
investment results that correspond, before fees and expenses, to the total
return of the Standard and Poor's 500 Composite Stock Price Index.
LIFEGOAL PORTFOLIOS
- - LifeGoal Income and Growth Portfolio
- - LifeGoal Balanced Growth Portfolio
- - LifeGoal Growth Portfolio
3
<PAGE> 8
Economic
Overview
For the 12-month period ended March 31, 1998, economic
conditions in the United States were stellar, fueling a
steady rise in the financial markets and giving
investors plenty to cheer about.
Economic activity was robust, and the pace of growth
for the year was the fastest of the current expansion,
which is now entering its eighth year. With business
booming, corporate profits rose by more than 10%.
Nearly three million new jobs were created, sending the
national unemployment rate down to a 30-year low of
4.6%. What's more, in this high employment environment,
U.S. workers have enjoyed rising wages.
Fortunately, the inflationary impact of rising labor
costs has been more than offset by other strong forces.
In fact, overall inflation was almost nonexistent for
the reporting period, with the Consumer Price Index,
the most commonly used measure of inflation at the
retail level, up less than 2%. Meanwhile, wholesale
inflation actually dropped over the past 12 months.
What explains the economic balancing act that allows
for continual growth without the threat of inflation?
The answer is that the United States is benefiting from
a moderate economic expansion, driven by capital
spending that is expanding capacity rather than
pressuring it. Productivity gains have been impressive,
and inflation is being subdued by increasingly global
markets for labor and products, along with a freer
world trade environment. As long as these trends remain
in place, our economy should continue to grow while
experiencing stable prices for goods and services. We
remain bullish about long-term economic prospects in
the United States.
These ideal economic conditions have helped propel the
financial markets to new significant highs. During the
past 12 months, the Dow Jones Industrial Average* broke
through the 7,000 and 8,000 barriers, closing the
period at 8,799.81 -- up over 35%. Even more amazing is
that the Dow soared by over 20% for the third year in a
row, an unprecedented feat for the blue-chip average.
All other domestic stock indexes rose as well, some
higher than others. By all measures, the past year was
a rewarding one for stock investors.
* The Dow Jones Industrial Average is a price-weighted
index of 30 of the largest, most widely held stocks
traded on the New York Stock Exchange. It is unmanaged
and unavailable for investment.
Source for all statistical data -- TradeStreet
Investment Associates, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
4
<PAGE> 9
Economic
Overview continued...
With news on the inflation front remaining positive,
the bond market also performed well during the period.
Interest rates drifted to lower levels and bond values
rose accordingly. This translated into attractive
results for bond funds, with total returns generally
ranging from 9% to 12% for the period.
Looking ahead, the next several months will likely be
dominated by news about the financial crisis in Asia
and its impact on U.S. companies. However, we do not
expect the so-called "Asian contagion" to cause U.S.
economic conditions to deteriorate. We believe the
positive cyclical themes of 1997 -- moderate growth,
low inflation and continued profit growth -- will
remain intact in the year ahead, and we remain
optimistic that the expansion will continue
uninterrupted.
The U.S. economy has climbed to a level envied by most
other countries in the world. For stock investors in
particular, the view from this lofty perch is
spectacular. Could our markets soar to even higher
levels? Yes, as long as favorable conditions remain in
place.
But investors must remember that stock markets do not
go up indefinitely. Today, our challenge is to fight
off the euphoria that can often accompany a bull market
and remind ourselves that investing is a long-term
endeavor. Historically, stocks have risen over time,
but there have been plenty of ups and downs along the
way. The next stock market correction may be out there,
even if we can't see any dark clouds yet.
On behalf of Nations Funds shareholders, we will keep
our eye on the horizon.
E. KEITH WIRTZ, CFA
CHIEF INVESTMENT OFFICER
TRADESTREET INVESTMENT ASSOCIATES, INC.
March 31, 1998
5
<PAGE> 10
Nations
Managed Value Index
Fund Portfolio Manager Commentary*
IN THE FOLLOWING INTERVIEW, MR. MOSER SHARES HIS VIEWS
ON NATIONS MANAGED VALUE INDEX FUND'S PERFORMANCE FOR
THE PERIOD FROM NOVEMBER 24, 1997 THROUGH MARCH 31,
1998, AND HIS CURRENT OUTLOOK.
<TABLE>
<S> <C>
PORTFOLIO MANAGER PLEASE DESCRIBE THE FUND'S INVESTMENT PHILOSOPHY AND STYLE.
Jeffrey C. Moser, CFA, is Unlike traditional index funds, Nations Managed Value Index
Senior Portfolio Manager of Fund has an active management overlay. We believe that by
Nations Managed Value Index minimizing exposure to unattractive securities and carefully
Fund and Senior Product seeking to reduce portfolio risk, while maintaining the
Manager, Equity Management for characteristics of S&P/BARRA Value Index, we can provide
TradeStreet Investment investors with the potential for positive incremental
Associates, Inc., investment performance relative to the benchmark index. We believe that
sub-adviser to the Fund. our carefully structured process also reduces the risk of
underperforming the Index. In addition, we employ various
INVESTMENT OBJECTIVE techniques, such as limiting portfolio turnover, to try to
The Fund seeks, over the long manage capital gains distributions.
term, to provide a total return NATIONS MANAGED VALUE INDEX FUND WAS INTRODUCED IN NOVEMBER
that (gross of fees and 1997. HOW HAS IT PERFORMED SINCE ITS INCEPTION?
expenses) exceeds the total The Fund (Primary A Shares) provided an absolute return of
return of the Standard & Poor's 13.78% since inception on November 24, 1997. It should be
500/BARRA Value Index very attractive to investors looking for a fund that can
(S&P/BARRA Value Index).** serve as the core large-capitalization value holding in
PERFORMANCE REVIEW their asset allocation strategies.
Nations Managed Value Index The Fund's since-inception return modestly trailed the 14.7%
Fund commenced operations on return of the S&P/BARRA Value Index. The primary source of
November 24, 1997. From its underperformance was poor stock selection in the consumer
inception through March 31, staples sector. The Fund's return from stocks within that
1998, Primary A Shares of the sector was 11.9%, while the Index's consumer staples sector
Fund provided a total return of return was 19.2%. In particular, the Fund did not own Lowes
13.78%.*** Companies or Albertsons, both strong performers.
Also, the Fund was modestly overweighted in the basic
materials sector. This negatively impacted returns since
basic materials was an underperforming group.
*The outlook of this Fund's portfolio manager 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. "Standard & Poor's" and "Standard & Poor's
500" are trademarks of The McGraw-Hill Companies, Inc.
***The performance shown includes the effect of fee waivers
and expense reimbursements by the investment adviser, which
have the effect of increasing total return.
Source for all statistical data -- TradeStreet Investment
Associates, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
</TABLE>
6
<PAGE> 11
Nations
Managed Value Index
Fund Portfolio Manager Commentary continued...
<TABLE>
<S> <C>
On the positive side, the Fund benefited by carrying a
modest overweighting in Ford Motor Company, Maytag and
Viacom. Each was up over 50% during the period.+
THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS TO
PROVIDE A TOTAL RETURN THAT (GROSS OF FEES AND EXPENSES)
EXCEEDS THE TOTAL RETURN OF THE S&P/BARRA VALUE INDEX.
PLEASE ELABORATE.
The subset of stocks comprising the S&P/BARRA Value Index
have low price-to-book ratios -- calculated by taking the
current stock price and dividing it by the book
value -- relative to the Standard & Poor's 500 Composite
Stock Price Index (S&P 500 Index)++ as a whole and are
considered value-oriented stocks. The Fund is not attempting
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 500 Index.
THE FUND IS DESIGNED TO SEEK TO The performance of the value funds in the S&P 500 Index has
OUTPERFORM THE S&P/BARRA VALUE generally been cyclical. In the past three to four years,
INDEX, AND HAS THE POTENTIAL TO the growth stocks of the index have had an edge. But, if
OUTPERFORM THE S&P 500 INDEX. history is any guide, value investing should eventually
produce the potential for above-average returns. Should that
happen, the Fund is designed to seek to outperform the
S&P/BARRA Value Index, and has the potential to outperform
the S&P 500 Index.
In addition, we manage the Fund to provide the added
advantage of tax management to attempt to limit capital
gains distributions to shareholders.
WHAT INVESTMENT OPPORTUNITIES DO YOU ANTICIPATE IN THE
COMING YEAR?
Again, historically, there's been a cyclical pattern to
growth and value investing in which one outperforms and the
other underperforms. We have been in a market the past few
years that has favored growth stocks. Due to the cyclical
history of the market, we believe value investing is now
more attractive than in the recent past. Our reasoning
behind this opinion is illustrated in the comparison of the
price-to-earnings -- calculated by taking a company's
forecasted 12-month earnings per share and dividing it by
the current stock share price -- and price-to-book ratios of
the S&P/BARRA Growth Index and the S&P/BARRA Value Index.
The tremendous difference in these ratios between the growth
and value indexes, in our view, favors investing in the
stocks of the S&P/BARRA Value Index.
+Portfolio holdings were current as of March 31, 1998, are
subject to change and may not be representative of current
holdings.
++The S&P 500 Index is an unmanaged,
market-capitalization-weighted index consisting of 500
common stocks that measures the market value of 400
industrial stocks, 60 transportation and utility company
stocks and 40 financial issues. It is unavailable for
investment.
</TABLE>
7
<PAGE> 12
Nations
Managed Value Index
Fund
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/98)
[PIE CHART]
<TABLE>
<C> <S> <C>
TOP TEN HOLDINGS
(AS A % OF NET ASSETS AS OF 3/31/98)
4.1% Automobile and -----------------------------------------
Truck Manufacturers---------------------- 1 Exxon Corporation 3.6%
-----------------------------------------
5.1% Insurance---------------------------- 2 Royal Dutch Petroleum Company,
ADR 2.5%
5.2% Financial Services----------------- -----------------------------------------
3 AT&T Corporation 2.4%
6.6% Electric Power------------------- [PIE CHART] -----------------------------------------
4 Ford Motor Company 1.9%
6.7% Utilities - Telephone---------- -----------------------------------------
5 International Business
9.4% Oil - International-------------- Machines Corporation 1.9%
-----------------------------------------
12.5% Banks------------------------------ 6 Disney (Walt) Company 1.5%
-----------------------------------------
50.4% Other------------------------------------ 7 Travelers Group Inc. 1.5%
-----------------------------------------
8 BellSouth Corporation 1.5%
-----------------------------------------
9 Mobil Corporation 1.5%
-----------------------------------------
10 BankAmerica Corporation 1.5%
-----------------------------------------
THE TOP TEN 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, 1998, ARE SUBJECT TO CHANGE
AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS.
8
<PAGE> 13
Nations
Managed Value Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
Primary A Shares (as of 3/31/98)
Assumes the reinvestment of all distributions
<TABLE>
<CAPTION>
Measurement Period Managed Value S&P/BARRA Value
(Fiscal Year Covered) Index Fund $11,378 Index $11,838
<S> <C> <C>
Nov. 24 1997 10000 10000
1997 10271 10612
Mar. 31 1998 11378 11838
</TABLE>
Investor C Shares (as of 3/31/98)
Assumes the reinvestment of all distributions
<TABLE>
<CAPTION>
Measurement Period Managed Value S&P/BARRA Value
(Fiscal Year Covered) Index Fund $11,369 Index $11,838
<S> <C> <C>
Nov. 24 1997 10000 10000
1997 10271 10612
Mar. 31 1998 11369 11838
</TABLE>
<TABLE>
<S> <C>
AVERAGE ANNUAL TOTAL RETURN
Primary A Shares
Since Inception
(11/24/97 through 3/31/98) 13.78%
The charts to the left show the growth
in value of a hypothetical $10,000
investment in Primary A and Investor C
Shares of Nations Managed Value Index
Fund from the date each class of shares
was first offered. Figures for the
S&P/BARRA Value Index, an unmanaged,
market-capitalization-weighted index
comprised of a subset of stocks of the
S&P 500 Index, include reinvestment of
dividends. It is unavailable for
investment. The performance shown
reflects the performance of Primary A
and Investor C Shares. The performance
of Investor A shares may vary based on
the differences in sales loads and fees
paid by the shareholders investing in
each class.
AVERAGE ANNUAL TOTAL RETURN
Investor C Shares
Since Inception
(11/24/97 through 3/31/98) 13.69%
</TABLE>
TOTAL RETURN (AS OF 3/31/98)
<TABLE>
<CAPTION>
PRIMARY A INVESTOR A INVESTOR C
Inception Date 11/24/97 11/24/97 11/24/97
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
Since Inception 13.78% 13.68% 13.69%
</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 total returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
9
<PAGE> 14
Nations
Managed Index
Fund Portfolio Manager Commentary*
IN THE FOLLOWING INTERVIEW, MR. GOLDEN SHARES HIS VIEWS
ON NATIONS MANAGED INDEX FUND'S PERFORMANCE FOR THE
12-MONTH PERIOD ENDED MARCH 31, 1998, AND HIS CURRENT
OUTLOOK.
<TABLE>
<S> <C>
PORTFOLIO MANAGER PLEASE DESCRIBE THE FUND'S INVESTMENT PHILOSOPHY AND STYLE.
Greg W. Golden is Portfolio Unlike traditional index funds, Nations Managed Index Fund
Manager of Nations Managed has an active management overlay. We believe that by
Index Fund and Structured minimizing exposure to unattractive securities and carefully
Products Manager, Equity seeking to reduce portfolio risk, while maintaining the
Management for TradeStreet characteristics of the S&P 500 Index, we can provide
Investment Associates, Inc., investors with the potential for positive incremental
investment sub-adviser to the performance relative to the benchmark index. We believe that
Fund. our carefully structured process also reduces the risk of
INVESTMENT OBJECTIVE underperforming the Index. In addition, we employ various
The Fund seeks, over the long techniques, such as limiting portfolio turnover, to try to
term, to provide a total return manage capital gains distributions.
that (gross of fees and
expenses) exceeds the total HOW DID THE FUND PERFORM DURING THE FISCAL YEAR ENDING MARCH
return of the Standard & Poor's 31, 1998?
500 Composite Stock Price Index With a return of 47.54%, Nations Managed Index Fund (Primary
(S&P 500 Index).** A Shares) slightly underperformed the S&P 500 Index, which
PERFORMANCE REVIEW returned 47.98% during the fiscal year ended March 31, 1998.
For the 12-month period ended The Fund substantially outperformed its Lipper Growth and
March 31, 1998, Nations Managed Income Funds Universe, which returned on average 40.15% over
Index Fund Primary A Shares the same period.+
provided a total return of
47.54%.*** THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS, OVER
THE LONG TERM, TO PROVIDE A TOTAL RETURN THAT (GROSS OF FEES
AND EXPENSES) EXCEEDS THE TOTAL RETURN OF THE S&P 500 INDEX.
PLEASE ELABORATE.
Our stock selection process is based on a straight-forward
approach that screens every stock within the S&P 500 Index.
We underweight or eliminate the least attractive securities
and modestly emphasize the most attractive securities, while
keeping the overall characteristics of the portfolio in line
with the Index. While we seek to eliminate the least
attractive securities, we would not eliminate a stock if it
is a major portion of the S&P 500 Index.
*The outlook of this Fund's portfolio manager may differ
from that presented for other Nations Funds mutual funds.
**The S&P 500 Index is an unmanaged,
market-capitalization-weighted index consisting of 500
common stocks that measures the market value of 400
industrial stocks, 60 transportation and utility company
stocks and 40 financial issues. It is unavailable for
investment. "Standard & Poor's" and "Standard & Poor's 500"
are trademarks of The McGraw-Hill Companies, Inc.
***The performance shown includes the effect of fee waivers
and expense reimbursements by the investment adviser, which
have the effect of increasing total return.
+Lipper Analytical Services, Inc., an independent mutual
fund performance monitor. Funds included in the Lipper
Growth and Income Funds Universe combine a growth of
earnings orientation and income requirement for level and/or
rising dividends.
Source for all statistical data -- TradeStreet Investment
Associates, Inc.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
</TABLE>
10
<PAGE> 15
Nations
Managed Index
Fund Portfolio Manager Commentary continued...
<TABLE>
<S> <C>
For example, we would not eliminate a stock like Microsoft
Corporation or General Electric Company because these stocks
are such large components of the S&P 500 Index; to reduce
risk, we would maintain some exposure in these stocks
regardless of their performance. Conversely, we will not
overweight a stock in the portfolio by more than 30 basis
points of the benchmark index, with 100 basis points
equaling 1.0%.++
THE FUND SUBSTANTIALLY We also seek to minimize the distribution of capital gains
OUTPERFORMED ITS LIPPER GROWTH to the shareholder, limiting portfolio turnover to no more
AND INCOME FUNDS PEER GROUP. than 25% per year. To further manage realized capital gains,
the Fund employs the "Highest In First Out" (HIFO)
accounting methodology. This strategy enables us, when
"trimming" Fund holdings of a security, to sell first those
specific shares with the highest tax basis to reduce the
amount of the recognized capital gain.
In addition, we also manage realized capital gains by
practicing tax-loss harvesting+++. When we calculate the
stocks sold at a gain, we may choose to sell other portfolio
securities at a loss. This offsets gains against losses,
neutralizing the cumulative gain and reducing overall
current tax liability.
WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED
UNFAVORABLE?
The Fund was modestly overweighted in financial services,
consumer durables and capital goods, the top three sectors
of the S&P 500 Index. However, the Fund was underweighted in
consumer non-durables and materials & services, which also
performed well.
OUR STOCK SELECTION PROCESS IS The Fund was overweighted in energy stocks, which paid off
BASED ON A STRAIGHT-FORWARD very handsomely until the fourth quarter, when energy prices
APPROACH THAT SCREENS EVERY declined. The Fund was also overweighted in transportation
STOCK WITHIN THE S&P 500 INDEX. stocks, whose positive showing was tied to the movement of
energy stocks. According to our quantitative screening
process, the health care sector has become more attractive
than it was in 1997, and we have adjusted the portfolio
accordingly.
WHAT DO YOU ANTICIPATE FOR THE COMING YEAR?
We are in an unprecedented market environment due to low
inflation, high company productivity and an efficient
economy. Though we may not see as good a year as we had this
past year, we still expect positive returns relative to
other types of investments.
++Portfolio holdings were current as of March 31, 1998, are
subject to change and may not be representative of current
holdings.
+++Tax-loss harvesting is a method whereby a mutual fund
may, at times, sell portfolio securities in order to realize
capital losses.
</TABLE>
11
<PAGE> 16
Nations
Managed Index
Fund
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/98)
[PIE CHART]
<TABLE>
<C> <C> <S> <C>
TOP TEN HOLDINGS (AS A % OF NET ASSETS AS
3.9% Insurance---------------------------------- OF 3/31/98)
-----------------------------------------
4.4% Computer Related---------------------- 1 General Electric Company 3.2%
-----------------------------------------
5.0% Oil - International-------------- 2 Microsoft Corporation 2.4%
-----------------------------------------
5.3% Financial Services---------- 3 Coca-Cola Company 2.1%
[PIE CHART] -----------------------------------------
6.6% Drugs----------------------- 4 Exxon Corporation 1.9%
-----------------------------------------
7.0% Utilities - Telephone------------ 5 Merck & Company Inc. 1.7%
-----------------------------------------
8.0% Bank---------------------------------- 6 Pfizer, Inc. 1.4%
-----------------------------------------
59.8% Other-------------------------------------- 7 Intel Corporation 1.4%
-----------------------------------------
8 Wal-Mart Stores Inc. 1.3%
-----------------------------------------
9 Royal Dutch Petroleum
Company, ADR 1.3%
-----------------------------------------
10 AT&T Corporation 1.3%
-----------------------------------------
THE TOP TEN 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, 1998, ARE SUBJECT TO
CHANGE AND MAY NOT BE REPRESENTATIVE
OF CURRENT HOLDINGS.
12
<PAGE> 17
Nations
Managed Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
Primary A Shares (as of 3/31/98)
Assumes the reinvestment of all distributions.
<TABLE>
<CAPTION>
Measurement Period Managed Index S&P 500 Composite
(Fiscal Year Covered) Fund $17,738 Stock Price Index $17,752
<S> <C> <C>
July 31 1996 10000 10000
10744 10785
1996 11700 11684
12022 11998
14066 14090
15257 15146
1997 15614 15580
Mar. 31 1998 17738 17752
</TABLE>
Investor C Shares (as of 3/31/98)
Assumes the reinvestment of all distributions.
<TABLE>
<CAPTION>
Measurement Period Managed Index S&P 500 Composite Stock
(Fiscal Year Covered) Fund $17,621 Price Index $17,752
<S> <C> <C>
July 31 1996 10000 10000
10744 10785
1996 11688 11684
12011 11998
14025 14090
15194 15146
1997 15540 15580
Mar. 31 1998 17621 17752
</TABLE>
_____ S&P 500 Composite Stock Price Index
- - - - Managed Index Fund
<TABLE>
<S> <C>
AVERAGE ANNUAL TOTAL RETURN
Primary A Shares
Since Inception
(7/31/96 through 3/31/98) 41.04%
The charts to the left show the growth
in value of a hypothetical $10,000
investment in Primary A and Investor C
Shares of Nations Managed Index Fund
from the date each class of shares was
first offered. 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 shown reflects the
performance of Primary A and Investor C
shares. The performance of Primary B
and Investor A shares may vary based on
the differences in sales loads and fees
paid by the shareholders investing in
each class.
AVERAGE ANNUAL TOTAL RETURN
Investor C Shares
Since Inception
(7/31/96 through 3/31/98) 40.48%
</TABLE>
TOTAL RETURN (AS OF 3/31/98)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PRIMARY A PRIMARY B INVESTOR A INVESTOR C
Inception Date 7/31/96 7/31/96** 7/31/96 7/31/96
- -----------------------------------------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 47.54% 46.88% 47.21% 46.71%
- -----------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
Since Inception 41.04% 40.66% 40.78% 40.48%
</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 total returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
**Please note that the performance shown for Primary B Shares includes the
performance for Primary A Shares from their date of inception (7/31/96) through
9/4/97, plus the performance for Primary B Shares from their date of inception
(9/4/97) through 3/31/98.
13
<PAGE> 18
Nations
Managed SmallCap Value Index
Fund Portfolio Manager Commentary*
IN THE FOLLOWING INTERVIEW, MR. MOSER SHARES HIS VIEWS
ON NATIONS MANAGED SMALLCAP VALUE INDEX FUND'S
PERFORMANCE FOR THE PERIOD FROM NOVEMBER 24, 1997
THROUGH MARCH 31, 1998, AND HIS CURRENT OUTLOOK.
<TABLE>
<S> <C>
PORTFOLIO MANAGER PLEASE DESCRIBE THE FUND'S INVESTMENT PHILOSOPHY AND VALUE
Jeffrey C. Moser, CFA, is STYLE.
Senior Portfolio Manager of Unlike traditional index funds, Nations Managed SmallCap
Nations Managed SmallCap Value Index Fund has an active management overlay. We believe that
Index Fund and Senior Portfolio by minimizing exposure to unattractive securities and
Manager, Equity Management for carefully seeking to reduce portfolio risk, while
TradeStreet Investment maintaining the characteristics of the S&P/BARRA SmallCap
Associates, Inc., investment Value Index, we can provide investors with the potential for
sub-adviser to the Fund. positive incremental performance relative to the benchmark
INVESTMENT OBJECTIVE index. We believe that our carefully structured process also
The Fund seeks, over the long reduces the risk of underperforming the index. In addition,
term, to provide a total return we employ various techniques, such as limiting portfolio
that (gross of fees and turnover, to try to manage capital gains distributions.
expenses) exceeds the total NATIONS MANAGED SMALLCAP VALUE INDEX FUND WAS INTRODUCED IN
return of the Standard & Poor's NOVEMBER 1997. HOW HAS IT PERFORMED SINCE ITS INCEPTION?
SmallCap 600/ BARRA Value Index The Fund (Primary A Shares) provided an absolute return of
(S&P/ BARRA SmallCap Value 14.88% since inception on November 24, 1997. It should be
Index).** very attractive to investors looking for a fund that can
PERFORMANCE REVIEW serve as the core small-capitalization value holding in
Nations Managed SmallCap Value their asset allocation strategies.
Index Fund commenced operations The Fund's since inception return slightly trailed the 15.6%
on November 24, 1997. From its return of the S&P/ BARRA SmallCap Value Index. The
inception through March 31, best-returning sectors in the Fund were capital goods and
1998, Primary A Shares of the construction (up 24.6%), financial (up 23.9%) and health
Fund provided a total return of care (up 21.2%).+
14.88%.*** Surprisingly, within the small-capitalization value asset
class, technology was the worst performing sector. However,
the Fund's technology sector return was -1.0%. The Fund
benefited by being underweighted in the technology sector.
*The outlook of this Fund's portfolio manager 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. "Standard &
Poor's" and "Standard & Poor's 500" are trademarks of The
McGraw-Hill Companies, Inc.
***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 were current as of March 31,
1998, are subject to change and may not be representative of
current holdings.
Source for all statistical data -- TradeStreet Investment
Associates, Inc.
BECAUSE SMALL COMPANIES HAVE NARROWER MARKETS AND LIMITED
FINANCIAL RESOURCES AND THEIR STOCKS ARE NOT AS WIDELY
TRADED AS LARGE COMPANY STOCKS, THEIR SHARE PRICE WILL BE
MORE VOLATILE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
</TABLE>
14
<PAGE> 19
Nations
Managed SmallCap Value Index
Fund Portfolio Manager Commentary* continued...
<TABLE>
<S> <C>
THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS, OVER
THE LONG TERM, TO PROVIDE A TOTAL RETURN THAT (GROSS OF FEES
AND EXPENSES) EXCEEDS THE TOTAL RETURN OF THE S&P/BARRA
SMALLCAP VALUE INDEX. PLEASE ELABORATE.
The subset of stocks in the S&P/BARRA SmallCap Value Index
have low price-to-book ratios -- calculated by taking the
current stock price and dividing it by the book
value -- relative to the S&P SmallCap 600 Index+ as a whole
and are considered value-oriented stocks. We are not
attempting 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 capitalization index.
The performance of small-capitalization stocks compared to
large-capitalization stocks has generally been cyclical. For
the past several years, large capitalization companies have
had a significant edge. But, if history is any guide,
small-capitalization stocks should eventually produce the
potential for above average returns. Should that happen, the
Fund is designed to seek to outperform the S&P/BARRA
SmallCap Value Index.
In addition, we manage the Fund to provide the added benefit
of tax management to attempt to limit the capital gains
distributions to shareholders.
WHAT INVESTMENT OPPORTUNITIES DO YOU ANTICIPATE IN THE
COMING YEAR?
Again, historically, there's been a cyclical pattern to
large-capitalization and small-capitalization investing in
which one outperforms and the other underperforms. We have
been in a market the past few years that has favored
large-capitalization stocks. Due to the cyclical history of
the market, we feel small-capitalization investing is now
more attractive than in the recent past.
As just one illustration of this cyclical phenomenon, look
at how 1997's Asian financial crisis is beginning to affect
the domestic market. U.S. companies are beginning to feel
the effects of the Asian financial crisis, particularly in
their exports to Asia. This could influence large-
capitalization companies much more than small-capitalization
companies, which would benefit the Fund going forward.
+The S&P SmallCap 600 Index is an unmanaged,
market-capitalization-weighted index consisting of 600
common stocks. It is unavailable for investment.
</TABLE>
15
<PAGE> 20
Nations
Managed SmallCap Value Index
Fund
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/98)
[PIE CHART]
<TABLE>
<C> <C> <S> <C>
TOP TEN HOLDINGS
3.4% Retail Speciality----------------------------- (AS A % OF NET ASSETS AS OF 3/31/98)
-----------------------------------------
3.5% Medical Services------------------------- 1 American Bankers Insurance
Group Inc. 1.5%
3.9% Restaurant and Lodging-------------- -----------------------------------------
2 Sterling Software Inc. 1.4%
4.6% Apparel and Textiles----------- -----------------------------------------
[PIE CHART] 3 Fremont General Corporation 1.3%
4.6% Construction------------------- -----------------------------------------
4 Integrated Health Services
6.4% Financial Services------------------ Inc. 1.2%
-----------------------------------------
8.5% Insurance-------------------------------- 5 Mohawk Industries Inc. 1.1%
-----------------------------------------
65.1% Other----------------------------------------- 6 Enhance Financial Services
Group 1.0%
-----------------------------------------
7 Texas Industries Inc. 1.0%
-----------------------------------------
8 World Color Press, Inc. 1.0%
-----------------------------------------
9 Deposit Guaranty Trust 0.9%
-----------------------------------------
10 Devon Energy Corporation 0.9%
-----------------------------------------
THE TOP TEN 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, 1998, ARE SUBJECT TO
CHANGE AND MAY NOT BE REPRESENTATIVE
OF CURRENT HOLDINGS.
16
<PAGE> 21
Nations
Managed SmallCap Value Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
Primary A Shares (as of 3/31/98)
Assumes the reinvestment of all distributions.
<TABLE>
<CAPTION>
Measurement Period Managed SmallCap Value S&P/BARRA SmallCap Value
(Fiscal Year Covered) Index Fund $11,488 Index $11,517
<S> <C> <C>
Nov. 24 1997 10000 10000
1997 10413 10340
Mar. 31 1998 11488 11517
</TABLE>
Investor C Shares (as of 3/31/98)
Assumes the reinvestment of all distributions.
<TABLE>
<CAPTION>
Measurement Period Managed SmallCap Value S&P/BARRA SmallCap Value
(Fiscal Year Covered) Index Fund $11,471 Index $11,517
<S> <C> <C>
Nov. 24 1997 10000 10000
1997 10410 10340
Mar. 31 1998 11471 11517
</TABLE>
_____ S&P/BARRA SmallCap Value Index
- - - - Managed SmallCap Value Index Fund
<TABLE>
<S> <C>
AVERAGE ANNUAL TOTAL RETURN
Primary A Shares
Since Inception
(11/24/97 through 3/31/98) 14.88%
The charts to the left show the growth
in value of a hypothetical $10,000
investment in Primary A and Investor C
Shares of Nations Managed SmallCap
Value Index Fund from the date each
class of shares was first offered.
Figures for the S&P/BARRA SmallCap
Value Index, an unmanaged,
market-capitalization-weighted index
comprised of a subset of stocks of the
S&P SmallCap 600 Index, include
reinvestment of dividends. It is
unavailable for investment. The
performance shown reflects the
performance of Primary A and Investor C
Shares. The performance of Investor A
Shares may vary based on the
differences in sales loads and fees
paid by the shareholders investing in
each class.
AVERAGE ANNUAL TOTAL RETURN
Investor C Shares
Since Inception
(11/24/97 through 3/31/98) 14.71%
</TABLE>
TOTAL RETURN (AS OF 3/31/98)
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PRIMARY A INVESTOR A INVESTOR C
Inception Date 11/24/97 11/24/97 11/24/97
- ------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
Since Inception 14.88% 14.79% 14.71%
</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 total returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
17
<PAGE> 22
Nations
Managed SmallCap Index
Fund Portfolio Manager Commentary*
IN THE FOLLOWING INTERVIEW, MR. GOLDEN SHARES HIS VIEWS
ON NATIONS MANAGED SMALLCAP INDEX FUND'S PERFORMANCE FOR
THE 12-MONTH PERIOD ENDED MARCH 31, 1998, AND HIS
CURRENT OUTLOOK.
<TABLE>
<S> <C>
PORTFOLIO MANAGER PLEASE DESCRIBE THE FUND'S INVESTMENT PHILOSOPHY AND STYLE.
Greg W. Golden is Senior Unlike traditional index funds, Nations Managed SmallCap
Portfolio Manager of Nations Index Fund has an active management overlay. We believe that
Managed SmallCap Index Fund and by minimizing exposure to unattractive securities and
Structured Products Manager, carefully seeking to reduce portfolio risk, while
Equity Management for maintaining the characteristics of the S&P SmallCap 600
TradeStreet Investment Index, we can provide investors with the potential for
Associates, Inc., investment positive incremental performance relative to the benchmark
sub-adviser to the Fund. index. We believe that our carefully structured process also
INVESTMENT OBJECTIVE reduces the risk of underperforming the Index. In addition,
The Fund seeks, over the long we employ various techniques, such as limiting portfolio
term, to provide a total return turnover, to try to manage capital gains distributions.
that (gross of fees and HOW DID THE FUND PERFORM DURING THE YEAR ENDING MARCH 31,
expenses) exceeds the total 1998?
return of the Standard & Poor's With a return of 47.71%, Nations Managed SmallCap Index Fund
SmallCap 600 Index (S&P (Primary A Shares) slightly outperformed the S&P SmallCap
SmallCap 600 Index).** 600 Index, which returned 47.68%. The Fund also outperformed
PERFORMANCE REVIEW the Lipper SmallCap Funds Universe, which returned 43.53%+.
For the 12-month period ended In particular, the consumer non-durables and finance sectors
March 31, 1998, Nations Managed performed very well in terms of stock selection and group
SmallCap Index Fund Primary A weighting. The stock selection in the materials & services,
Shares provided a total return capital goods and consumer durables sectors was also
of 47.71%.*** positive. Stock selection was not as strong in the
transportation and utilities sectors.
THE INVESTMENT OBJECTIVE STATES THAT THE FUND SEEKS, OVER
THE LONG TERM, TO PROVIDE A TOTAL RETURN THAT (GROSS OF FEES
AND EXPENSES) EXCEEDS THE TOTAL RETURN OF THE S&P SMALLCAP
600 INDEX. PLEASE ELABORATE.
Our stock selection process is based on a straight-forward
approach that screens every stock within the S&P SmallCap
600 Index. We underweight or eliminate the least attractive
securities and modestly emphasize the most attractive
securities while keeping the overall characteristics of the
portfolio in line with the Index.
*The outlook of this Fund's portfolio manager may differ
from that presented for other Nations Funds mutual funds.
**The S&P SmallCap 600 Index is an unmanaged,
market-capitalization-weighted index consisting of 600
common stocks. It is unavailable for investment. "Standard &
Poor's" and "S&P SmallCap 600" are trademarks of The
McGraw-Hill Companies, Inc.
***The performance shown includes the effect of fee waivers
and expense reimbursements by the investment adviser, which
have the effect of increasing total return.
+Lipper Analytical Services, Inc., an independent mutual
funds performance monitor. Funds included in the Lipper
SmallCap Funds Universe invest primarily in companies with
market capitalizations of less than $1 billion at time of
purchase.
Source for all statistical data -- TradeStreet Investment
Associates, Inc.
BECAUSE SMALL COMPANIES HAVE NARROWER MARKETS AND LIMITED
FINANCIAL RESOURCES AND THEIR STOCKS ARE NOT AS WIDELY
TRADED AS LARGE COMPANY STOCKS, THEIR SHARE PRICE WILL BE
MORE VOLATILE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
</TABLE>
18
<PAGE> 23
Nations
Managed SmallCap Index
Fund Portfolio Manager Commentary continued...
<TABLE>
<S> <C>
WHILE WE SEEK TO ELIMINATE THE While we seek to eliminate the least attractive securities,
LEAST ATTRACTIVE SECURITIES, WE we would not eliminate a stock if it is a major portion of
WOULD NOT ELIMINATE A STOCK IF the Index.
IT IS A MAJOR PORTION OF THE
INDEX. We also seek to minimize the distribution of capital gains
to the shareholder. We seek to keep portfolio turnover to no
more than 25% per year. To further manage capital gains, the
Fund employs the "Highest In First Out" (HIFO) accounting
methodology. This strategy enables us, when trimming fund
holdings of a security, to first sell those specific shares
with the highest tax basis to reduce the amount of the
recognized capital gain.
In addition, we also manage capital gains by practicing
tax-loss harvesting.++ When we calculate the stocks sold at
a gain, we may choose to sell other portfolio securities at
a loss. This offsets gains against losses, neutralizing the
cumulative gain and reducing overall current tax liability.
WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED
UNFAVORABLE?
The Fund was overweighted in financials, whose strong
performance benefited the Fund due to industry consolidation
and low interest rates. Falling energy prices also affected
Nations Managed SmallCap Index Fund. The Fund was
overweighted in energy, which paid off very handsomely until
the fourth quarter. The Fund was also overweighted in
transportation stocks, whose positive showing was tied to
the movement of energy stocks.+++
WE BELIEVE 1998 COULD BE A VERY WHAT DO YOU ANTICIPATE FOR THE COMING YEAR?
STRONG YEAR FOR We are bullish on the small cap market. Considering the
SMALL-CAPITALIZATION STOCKS. expected growth rates compared to current valuations, we
believe 1998 could be a very strong year for
small-capitalization stocks.
++Tax-loss harvesting is a method whereby a mutual fund may,
at times, sell portfolio securities in order to realize
capital losses.
+++Portfolio characteristics were current as of March 31,
1998, are subject to change and may not be representative of
current characteristics.
</TABLE>
19
<PAGE> 24
Nations
Managed SmallCap Index
Fund
PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/98)
[PIE CHART]
<TABLE>
<S> <C> <S> <C>
TOP TEN HOLDINGS
(AS A % OF NET ASSETS AS OF 3/31/98)
3.4% Retail - Specialty -----------------------------------------
1 ICN Pharmacy Services, Inc. 0.9%
3.5% Construction -----------------------------------------
2 Sterling Software Inc. 0.9%
3.9% Banks -----------------------------------------
3 Keane Inc. 0.8%
3.9% Medical Services -----------------------------------------
4 American Bankers Insurance
4.1% Apparel & Textiles Group Inc. 0.7%
-----------------------------------------
5.4% Insurance 5 Legg Mason Inc. 0.7%
-----------------------------------------
7.2% Financial Services 6 Ross Stores, Inc. 0.7%
-----------------------------------------
68.6% Other 7 Deposit Guaranty Corporation 0.6%
-----------------------------------------
8 First Commercial Corporation 0.6%
-----------------------------------------
9 Integrated Health Services,
Inc. 0.6%
-----------------------------------------
10 Ethan Allen Interiors, Inc. 0.6%
-----------------------------------------
THE TOP TEN 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, 1998, ARE SUBJECT TO
CHANGE AND MAY NOT BE REPRESENTATIVE
OF CURRENT HOLDINGS.
20
<PAGE> 25
Nations
Managed SmallCap Index
Fund Performance
GROWTH OF $10,000 INVESTMENT
Primary A Shares (as of 3/31/98)
Assumes the reinvestment of all distributions.
<TABLE>
<CAPTION>
Measurement Period Managed SmallCap Index S&P SmallCap 600
(Fiscal Year Covered) Fund $14,569 Index $14,556
<S> <C> <C>
Oct. 15 1996 10000 10000
1996 10317 10544
9863 9935
11603 11708
13412 13575
1997 13203 13129
Mar. 31 1998 14569 14556
</TABLE>
Investor C Shares (as of 3/31/98)
Assumes the reinvestment of all distributions.
<TABLE>
<CAPTION>
Measurement Period Managed SmallCap Index S&P SmallCap 600
(Fiscal Year Covered) Fund $14,496 Index $14,556
<S> <C> <C>
Oct. 15 1996 10000 10000
1996 10317 10544
9854 9935
11588 11708
13383 13575
1997 13158 13129
Mar. 31 1998 14496 14556
</TABLE>
_____ S&P SmallCap 600 Index
- - - - Managed SmallCap Index Fund
<TABLE>
<S> <C>
AVERAGE ANNUAL TOTAL RETURN
Primary A Shares
Since Inception
(10/15/96 through 3/31/98) 29.41%
The charts to the left show the growth
in value of a hypothetical $10,000
investment in Primary A and Investor C
Shares of Nations Managed SmallCap
Index Fund from the date each class of
shares was first offered. Figures for
the S&P SmallCap 600 Index, an
unmanaged, market-
capitalization-weighted index
consisting of 600 common stocks,
include reinvestment of dividends. It
is unavailable for investment. The
performance shown reflects the
performance of Primary A and Investor C
Shares. The performance of Primary B
and Investor A Shares may vary based on
the differences in sales loads and fees
paid by the shareholders investing in
each class.
AVERAGE ANNUAL TOTAL RETURN
Investor C Shares
Since Inception
(10/15/96 through 3/31/98) 28.96%
</TABLE>
TOTAL RETURN (AS OF 3/31/98)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PRIMARY A PRIMARY B INVESTOR A INVESTOR C
Inception Date 10/15/96 10/15/96 10/15/96 10/15/96
- ------------------------------------------------------------------------------------------------------------------------------
1 YEAR PERFORMANCE 47.71% 47.04% 47.35% 47.10%
- ------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
Since Inception 29.41% 28.88% 29.06% 28.96%
</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 total returns are
historical in nature and measure net investment income and capital gain or loss
from portfolio investments assuming reinvestment of dividends.
The performance shown includes the effect of fee waivers and expense
reimbursements by the investment adviser, which have the effect of increasing
total return.
21
<PAGE> 26
NATIONS FUNDS
Nations Managed Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 96.3%
AEROSPACE AND DEFENSE -- 2.6%
2,050 Boeing Company.......................... $ 106,856
100 General Dynamics Corporation............ 8,612
400 Lockheed Martin Corporation............. 45,000
50 Northrop Grumman Corp. ................. 5,372
63 Raytheon Company Class A................ 3,583
750 Raytheon Company Class B................ 43,781
400 United Technologies Corporation......... 36,925
----------
250,129
----------
APPAREL AND TEXTILES -- 0.9%
50 Liz Claiborne Inc. ..................... 2,494
200 Nike Inc., Class B...................... 8,850
550 Springs Industries Inc. ................ 30,215
800 V.F. Corporation........................ 42,050
----------
83,609
----------
AUTOMOBILE AND TRUCK MANUFACTURERS -- 4.1%
1,400 Chrysler Corporation.................... 58,187
2,900 Ford Motor Company...................... 187,956
1,700 General Motors Corporation.............. 114,643
450 ITT Industries.......................... 17,128
400 PACCAR, Inc. ........................... 23,825
----------
401,739
----------
AUTOMOBILE PARTS MANUFACTURERS -- 1.0%
950 Cooper Tire & Rubber.................... 22,562
250 Dana Corporation........................ 14,546
350 Eaton Corporation....................... 33,315
300 Goodyear Tire & Rubber Company.......... 22,725
----------
93,148
----------
BANKS -- 12.5%
1,385 Banc One Corporation.................... 87,601
1,750 BankAmerica Corporation................. 144,593
450 BankBoston Corporation.................. 49,612
650 Bank of New York Inc. .................. 40,828
350 Bankers Trust N.Y. Corporation.......... 42,109
1,000 Citicorp................................ 142,000
550 Comerica Inc. .......................... 58,196
350 CoreStates Financial Corporation........ 31,412
700 First Chicago Corporation NBD........... 61,688
1,350 First Union Corporation................. 76,612
950 Fleet Financial Group Inc. ............. 80,809
700 KeyCorp. ............................... 26,469
400 Mellon Bank Corporation................. 25,400
400 Morgan (J.P.) & Company Inc. ........... 53,725
200 National City Corporation............... 14,662
1,128 Nationsbank Corporation................. 82,273
1,650 Norwest Corporation..................... 68,578
450 PNC Bank Corporation.................... 26,971
250 Republic New York Corporation........... 33,343
450 SunTrust Banks Inc. .................... 33,918
350 Wachovia Corporation.................... 29,684
----------
1,210,483
----------
BEVERAGES -- 0.2%
450 Coors (Adolph) Company, Class B......... 15,750
200 Seagram Company, Ltd. .................. 7,638
----------
23,388
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
CHEMICALS -- BASIC -- 1.7%
300 Air Products & Chemicals Inc. .......... $ 24,862
550 Dow Chemical Company.................... 53,488
750 Goodrich (B.F.) Company................. 38,297
400 PPG Industries, Inc. ................... 27,175
400 Union Carbide Corporation............... 20,050
----------
163,872
----------
CHEMICALS -- SPECIALTY -- 0.3%
800 Morton International Inc., Industries... 26,250
----------
COAL, GAS AND PIPELINE -- 0.3%
450 Coastal Corporation..................... 29,306
----------
COMPUTER RELATED -- 3.4%
400 Data General Corporation+............... 7,075
600 Digital Equipment Corporation+.......... 31,387
1,250 Hewlett-Packard Company................. 79,218
1,750 International Business Machines
Corporation............................ 181,781
350 Seagate Technology+..................... 8,838
550 Silicon Graphics+....................... 7,666
950 Unisys Corporation+..................... 18,050
----------
334,015
----------
CONSTRUCTION -- 0.7%
400 Case Corporation........................ 27,250
550 Centex Corporation...................... 20,969
450 Pulte Corporation....................... 20,925
----------
69,144
----------
CONTAINERS -- 0.2%
400 Crown Cork & Seal Inc. ................. 21,400
----------
DIVERSIFIED -- 1.2%
950 Allied Signal Corp. .................... 39,900
400 Loews Corporation....................... 41,700
450 Textron, Inc. .......................... 34,650
----------
116,250
----------
DRUGS -- 0.5%
1,000 Pharmacia & Upjohn Inc. ................ 43,750
----------
ELECTRIC POWER -- 6.6%
900 American Electric Power Inc. ........... 45,225
550 Apache Corp. ........................... 20,212
950 Baltimore Gas & Electric Company........ 31,053
850 Carolina Power & Light Company.......... 38,462
1,000 Consolidated Edison Company New York
Inc. .................................. 46,750
1,400 Dominion Resources Inc.................. 58,800
550 DTE Energy Company...................... 21,622
650 Duke Energy Corporation................. 38,715
1,600 Edison International.................... 47,000
600 FPL Group Inc. ......................... 38,550
850 GPU, Inc. .............................. 37,612
100 Northern States Power Corporation....... 5,900
950 PacifiCorp.............................. 23,394
1,100 PECO Energy Company..................... 24,337
950 PG&E Corporation........................ 31,350
1,000 PP&L Resources Inc. .................... 23,625
800 Public Service Enterprise Group......... 30,300
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE> 27
NATIONS FUNDS
Nations Managed Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
ELECTRIC POWER -- (CONTINUED)
1,550 Southern Company........................ $ 42,916
850 Texas Utilities Company................. 33,415
----------
639,238
----------
ELECTRICAL EQUIPMENT -- 0.5%
750 Emerson Electric Company................ 48,891
----------
ELECTRONICS -- 1.7%
400 AMP, Inc. .............................. 17,525
550 Harris Corporation...................... 28,669
550 LSI Logic Corporation+.................. 13,888
1,100 Motorola, Inc. ......................... 66,688
350 National Semiconductor Corporation+..... 7,328
550 Rockwell International Corporation...... 31,556
----------
165,654
----------
ENVIRONMENTAL -- 1.1%
950 Browning-Ferris Industries Inc. ........ 30,994
750 Johnson Controls Inc. .................. 45,516
2,200 Laidlaw Inc., Class B+.................. 34,925
----------
111,435
----------
EXPLORATION AND DRILLING -- 0.4%
400 Burlington Resources Inc. .............. 19,175
750 Helmerich & Payne, Inc. ................ 23,438
----------
42,613
----------
FINANCIAL SERVICES -- 5.2%
800 American General Corporation............ 51,750
50 Cincinnati Financial Corp. ............. 6,263
400 Countrywide Credit Industries, Inc. .... 21,275
1,300 Federal Home Loan Mortgage Corporation.. 61,669
450 First Data Corporation.................. 14,625
450 Green Tree Financial Corporation........ 12,797
100 Household International Inc. ........... 13,775
600 Merrill Lynch & Company Inc. ........... 49,800
1,050 Morgan Stanley Dean Witter & Company.... 76,519
2,489 Travelers Group Inc. ................... 149,340
150 Wells Fargo & Company................... 49,688
----------
507,501
----------
FOOD PRODUCERS -- 0.3%
1,200 Archer-Daniels-Midland Company.......... 26,325
----------
FOOD RETAILERS -- 0.7%
900 American Stores Company................. 23,400
400 Great Atlantic & Pacific Tea Inc. ...... 12,100
750 SuperValu Inc. ......................... 34,969
----------
70,469
----------
FURNITURE AND APPLIANCES -- 0.9%
550 Black & Decker Corporation.............. 29,184
400 Maytag Corporation...................... 19,125
600 Whirlpool Corporation................... 41,138
----------
89,447
----------
INSURANCE -- 5.1%
1,200 Allstate Corporation.................... 110,325
50 Chubb Corporation....................... 3,919
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
INSURANCE -- (CONTINUED)
150 CIGNA Corporation....................... $ 30,750
800 Conseco Inc. ........................... 45,300
150 General Re Corporation.................. 33,094
550 Hartford Financial Services Group,
Inc. .................................. 59,675
200 Lincoln National Corporation Ltd. ...... 16,975
550 MBIA, Inc. ............................. 42,625
400 Providian Corporation................... 22,975
550 St. Paul Companies Inc. ................ 49,019
350 SunAmerica, Inc. ....................... 16,756
600 Torchmark Corporation................... 27,488
1,300 USF&G Corporation....................... 32,419
----------
491,320
----------
MACHINERY AND EQUIPMENT -- 2.7%
700 Ball Corp. ............................. 22,925
850 Caterpillar Inc. ....................... 46,803
400 Cincinnati Milacron..................... 12,750
300 Cooper Industries Inc. ................. 17,831
350 Cummins Engine Inc. .................... 19,294
300 Deere & Company......................... 18,581
750 Ingersoll-Rand Company.................. 35,953
300 KLA Instruments Corporation+............ 11,475
200 NACCO Industries, Inc., Class A......... 26,800
650 Parker-Hannifin Corporation............. 33,313
600 Timken Company.......................... 20,288
----------
266,013
----------
MEDIA -- 1.9%
1,300 CBS Corporation......................... 44,119
200 Clear Channel Communication+............ 19,600
1,150 Time Warner Inc. ....................... 82,800
1,000 US West Media+.......................... 34,750
----------
181,269
----------
MEDICAL PRODUCTS AND SUPPLIES -- 0.1%
350 United States Surgical Corporation...... 11,550
----------
MEDICAL SERVICES -- 1.6%
1,700 Columbia/HCA Healthcare Corporation..... 54,825
450 Humana Inc.+............................ 11,166
1,000 Tenet Healthcare Corporation+........... 36,313
800 United Healthcare Corporation........... 51,800
----------
154,104
----------
METALS AND MINING -- 1.3%
850 Alcan Aluminum Ltd. .................... 26,563
550 Aluminum Company of America............. 37,847
1,200 Barrick Gold Corp. ..................... 25,950
600 Cyprus Amax Minerals Company............ 9,975
350 Phelps Dodge Corporation................ 22,597
----------
122,932
----------
OIL -- DOMESTIC -- 3.5%
1,000 Amoco Corporation....................... 86,375
550 Ashland Oil, Inc. ...................... 31,144
550 Atlantic Richfield Company.............. 43,244
350 Columbia Energy Group................... 27,213
100 Kerr-McGee Corporation.................. 6,956
900 Occidental Petroleum Corporation........ 26,381
350 Pennzoil Company........................ 22,619
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE> 28
NATIONS FUNDS
Nations Managed Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
OIL -- DOMESTIC -- (CONTINUED)
850 Phillips Petroleum Company.............. $ 42,447
450 Sun Company, Inc. ...................... 18,394
950 USX-Marathon Group...................... 35,744
----------
340,517
----------
OIL -- INTERNATIONAL -- 9.4%
1,100 Chevron Corporation..................... 88,344
5,200 Exxon Corporation....................... 351,650
1,900 Mobil Corporation....................... 145,588
4,300 Royal Dutch Petroleum Company, ADR...... 244,294
1,300 Texaco Inc. ............................ 78,325
----------
908,201
----------
OIL SERVICES -- 0.7%
800 Baker Hughes Inc. ...................... 32,200
150 Dresser Industries, Inc. ............... 7,209
550 Enron Corporation....................... 25,506
100 Western Atlas, Inc.+.................... 7,738
----------
72,653
----------
PAPER AND FOREST PRODUCTS -- 1.9%
450 Champion International Corporation...... 24,441
350 Fort James Corporation.................. 16,034
450 Georgia-Pacific Corporation............. 29,138
350 Georgia-Pacific (Timber Group).......... 8,991
850 International Paper Company............. 39,791
400 Potlatch Corporation.................... 17,225
400 Union Camp Corporation.................. 23,900
850 Westvaco Corporation.................... 26,138
----------
185,658
----------
PHOTO AND OPTICAL -- 0.4%
600 Eastman Kodak Company................... 38,925
----------
PRINTING AND PUBLISHING -- 1.0%
750 American Greetings Corporation, Class
A...................................... 34,500
850 Donnelley (R.R.) & Sons................. 34,903
800 Ikon Office Solutions Inc. ............. 27,650
----------
97,053
----------
PROFESSIONAL SERVICES -- 0.2%
120 Cendant Corporation+.................... 4,755
300 Deluxe Corporation...................... 9,881
----------
14,636
----------
RECREATION -- 2.8%
600 Brunswick Corporation................... 20,925
1,400 Disney (Walt) Company................... 149,450
50 Fleetwood Enterprises, Inc. ............ 2,328
450 Harrah's Entertainment Inc.+............ 11,053
1,000 Hasbro Inc. ............................ 35,313
900 Viacom Inc., (non-voting), Class B+..... 48,375
----------
267,444
----------
RESTAURANTS AND LODGING -- 1.0%
1,600 Darden Restaurants Inc. ................ 24,900
1,150 McDonald's Corporation.................. 69,000
----------
93,900
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
RETAIL -- DISCOUNT -- 0.7%
2,250 Kmart Stores Corporation+............... $ 37,547
600 Toys R Us Inc.+......................... 18,038
300 Woolworth Corporation+.................. 7,500
----------
63,085
----------
RETAIL -- GENERAL -- 2.2%
2,300 Charming Shoppes+....................... 10,925
400 Costco Companies, Inc.+................. 21,350
850 Dillards Inc. Class A................... 31,397
950 Federated Department Stores Inc.+....... 49,222
400 May Department Stores Company........... 25,400
100 Nordstrom Inc. ......................... 6,381
400 Penney (J.C.) Company Inc. ............. 30,275
650 Sears, Roebuck & Company................ 37,334
----------
212,284
----------
RETAIL -- SPECIALTY -- 0.1%
200 Pep Boys -- Manny, Moe & Jack........... 4,638
150 Tandy Corporation....................... 7,050
----------
11,688
----------
SAVINGS AND LOANS -- 0.8%
600 Ahmanson (H.F.) & Company............... 46,500
300 Golden West Financial Corporation....... 28,744
----------
75,244
----------
SEMICONDUCTORS -- 0.1%
350 Micron Technology, Inc.+................ 10,172
----------
STEEL -- 0.7%
1,350 Bethlehem Steel Corporation+............ 18,309
400 Inland Steel Industries, Inc. .......... 11,050
400 Nucor Corporation....................... 21,775
550 USX-U.S. Steel Group.................... 20,763
----------
71,897
----------
TELECOMMUNICATIONS -- 0.4%
650 AirTouch Communications, Inc.+.......... 31,809
150 DSC Communications+..................... 2,728
250 Scientific-Atlantic Inc. ............... 4,891
----------
39,428
----------
TRANSPORTATION -- AIRLINES -- 0.9%
350 AMR Corporation+........................ 50,115
300 Delta Air Lines, Inc. .................. 35,475
----------
85,590
----------
TRANSPORTATION -- RAILROADS -- 1.0%
350 Burlington Northern Santa Fe Inc. ...... 36,400
300 CSX Corporation......................... 17,850
600 Norfolk Southern Corporation............ 22,425
400 Union Pacific Corporation............... 22,475
----------
99,150
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE> 29
NATIONS FUNDS
Nations Managed Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
TRUCKING AND SHIPPING -- 0.8%
640 FDX Corporation+........................ $ 45,520
950 Ryder Systems Inc. ..................... 36,100
----------
81,620
----------
UTILITIES -- NATURAL GAS -- 1.0%
350 Consolidated Natural Gas Company........ 20,191
600 NICOR Inc. ............................. 25,350
400 Pacific Enterprises..................... 16,325
1,050 Williams Companies Inc. ................ 33,600
----------
95,466
----------
UTILITIES -- TELEPHONE -- 6.7%
750 ALLTEL Corporation...................... 32,766
3,600 AT&T Corporation........................ 236,250
2,200 BellSouth Corporation................... 148,638
1,200 MCI Communications Corporation.......... 59,400
750 Sprint Corporation...................... 50,766
850 U.S. West Inc. ......................... 46,538
2,000 WorldCom Inc.+.......................... 86,125
----------
660,483
----------
WASTE DISPOSAL -- 0.3%
850 Waste Management Inc. .................. 26,192
----------
TOTAL COMMON STOCKS
(Cost $8,351,231)....................... 9,346,530
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- -----------------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANY -- 2.8% (Cost $268,000)
268,000 Nations Cash Reserves(a)................. $ 268,000
----------
TOTAL INVESTMENTS
(Cost $8,619,231*).......................... 99.1% 9,614,530
OTHER ASSETS AND
LIABILITIES (NET)........................... 0.9 89,406
----- ----------
NET ASSETS................................... 100.0% $9,703,936
===== ==========
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $1,020,846 and gross
depreciation of $25,553 for federal income tax purposes. At March 31, 1998,
the aggregate cost of securities for federal income tax purposes was
$8,619,237.
+ Non-income producing security.
(a) Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by TradeStreet Investment Associates, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE> 30
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.1%
AEROSPACE AND DEFENSE -- 1.7%
34,600 Boeing Company........................ $ 1,803,525
7,500 General Dynamics Corporation.......... 645,937
9,500 Lockheed Martin Corporation........... 1,068,750
3,200 Northrop Grumman Corporation.......... 343,800
23,700 Raytheon Company, Class B............. 1,383,487
8,200 TRW Inc. ............................. 452,025
11,600 United Technologies Corporation....... 1,070,825
------------
6,768,349
------------
APPAREL AND TEXTILES -- 0.4%
6,100 Liz Claiborne Inc. ................... 304,237
2,900 Reebok International Ltd.+............ 88,450
1,100 Russell Corporation................... 29,494
4,000 Springs Industries Inc. .............. 219,750
15,900 V.F. Corporation...................... 835,744
------------
1,477,675
------------
AUTOMOBILE AND TRUCK MANUFACTURERS -- 2.4%
41,900 Chrysler Corporation.................. 1,741,469
65,700 Ford Motor Company.................... 4,258,181
35,400 General Motors Corporation............ 2,387,287
17,400 ITT Industries........................ 662,287
12,600 PACCAR, Inc. ......................... 750,487
------------
9,799,711
------------
AUTOMOBILE PARTS MANUFACTURERS -- 0.9%
6,900 Autozone Inc.+........................ 233,737
14,100 Cooper Tire & Rubber.................. 334,875
9,300 Dana Corporation...................... 541,144
9,800 Eaton Corporation..................... 932,837
2,900 Echlin Inc. .......................... 152,069
10,900 Goodyear Tire & Rubber Company........ 825,675
18,200 Navistar International Corporation+... 637,000
3,500 Snap-On Inc. ......................... 159,687
------------
3,817,024
------------
BANKS -- 8.0%
30,600 Banc One Corporation.................. 1,935,450
18,800 Bank of New York Inc. ................ 1,180,875
40,300 BankAmerica Corporation............... 3,329,787
6,900 BankBoston Corporation................ 760,725
7,800 Bankers Trust N.Y. Corporation........ 938,437
6,800 BB&T Corporation...................... 460,275
21,300 Chase Manhattan Corporation........... 2,872,837
22,000 Citicorp.............................. 3,124,000
7,500 Comerica Inc.......................... 793,594
5,500 CoreStates Financial Corporation...... 493,625
7,500 Fifth Third Bancorp................... 641,250
14,100 First Chicago Corporation NBD......... 1,242,563
34,800 First Union Corporation............... 1,974,900
13,300 Fleet Financial Group Inc. ........... 1,131,331
9,100 Huntington Bancshares................. 331,581
20,200 KeyCorp............................... 763,812
16,300 Mellon Bank Corporation............... 1,035,050
6,800 Morgan (J.P.) & Company Inc. ......... 913,325
10,300 National City Corporation............. 755,119
5,149 Nationsbank Corporation............... 375,555
5,300 Northern Trust Corporation............ 396,175
39,300 Norwest Corporation................... 1,633,406
19,700 PNC Bank Corporation.................. 1,180,769
9,100 Republic New York Corporation......... 1,213,713
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
BANKS -- (CONTINUED)
8,500 Summit Bancorp........................ $ 425,531
9,500 SunTrust Banks Inc. .................. 716,063
9,700 U.S. Bancorp.......................... 1,210,075
5,500 Wachovia Corporation.................. 466,469
------------
32,296,292
------------
BEVERAGES -- 3.1%
14,300 Anheuser-Busch Companies, Inc. ....... 662,269
111,900 Coca-Cola Company..................... 8,665,256
11,900 Coors (Adolph) Company, Class B....... 416,500
62,600 PepsiCo Inc. ......................... 2,672,237
------------
12,416,262
------------
BIO SPECIALTY PHARMACEUTICALS -- 0.1%
7,200 Amgen Inc.+........................... 438,300
------------
CHEMICALS -- BASIC -- 2.3%
5,500 Air Products & Chemicals Inc. ........ 455,813
10,500 Dow Chemical Company.................. 1,021,125
54,900 du Pont (E.I.) de Nemours & Company... 3,733,200
4,000 Eastman Chemical Company.............. 269,750
1,600 FMC Corporation+...................... 125,600
6,800 Goodrich (B.F.) Company............... 347,225
2,200 Great Lakes Chemical Corporation...... 118,800
2,600 Hercules, Inc. ....................... 128,375
3,800 Mallinckrodt Inc. .................... 150,100
16,200 Monsanto Company...................... 842,400
8,200 PPG Industries, Inc. ................. 557,088
8,000 Praxair Inc. ......................... 411,500
2,900 Rohm & Haas Company................... 299,606
5,200 Sigma-Aldrich......................... 193,700
9,100 Union Carbide Corporation............. 456,138
------------
9,110,420
------------
CHEMICALS -- SPECIALTY -- 0.2%
5,500 Avery Dennison Corporation............ 293,563
3,400 Grace (W.R.) & Company................ 284,538
4,000 Morton International Inc.,
Industries........................... 131,250
------------
709,351
------------
COAL, GAS AND PIPELINE -- 0.2%
10,900 Coastal Corporation................... 709,863
------------
COMPUTER RELATED -- 4.4%
2,200 Ceridian Corporation+................. 118,663
31,500 Cisco Systems, Inc.+.................. 2,153,812
76,700 Compaq Computer Corporation........... 1,984,613
2,300 Data General Corporation+............. 40,681
29,900 Dell Computer Corporation+............ 2,025,725
25,000 Digital Equipment Corporation+........ 1,307,813
24,700 EMC Corporation+...................... 933,969
42,700 Hewlett-Packard Company............... 2,706,112
7,500 Honeywell, Inc. ...................... 620,156
47,000 International Business Machines
Corporation.......................... 4,882,125
6,800 Seagate Technology+................... 171,700
18,600 Sun Microsystems Inc.+................ 775,969
------------
17,721,338
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 31
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMPUTER SERVICES -- 0.8%
6,200 Automatic Data Processing Inc. ....... $ 421,988
10,200 Bay Networks Inc. .................... 276,675
27,500 Computer Associates International
Inc. ................................ 1,588,125
6,900 Computer Sciences Corporation+........ 379,500
24,900 Unisys Corporation+................... 473,100
------------
3,139,388
------------
COMPUTER SOFTWARE -- 2.6%
3,200 Adobe Systems Inc. ................... 144,600
6,400 Apple Computer Inc.+.................. 176,000
108,900 Microsoft Corporation+................ 9,746,550
16,300 Oracle Systems Corporation+........... 514,469
------------
10,581,619
------------
CONSTRUCTION -- 0.9%
9,500 Case Corporation...................... 647,187
21,200 Centex Corporation.................... 808,250
2,500 Crane Company......................... 132,500
3,700 Fluor Corporation..................... 184,075
21,500 Kaufman & Broad Home Corporation...... 700,094
8,100 Masco Corporation..................... 481,950
13,400 Pulte Corporation..................... 623,100
6,600 Sherwin-Williams Company.............. 234,300
------------
3,811,456
------------
CONTAINERS -- 0.1%
3,100 Crown Cork & Seal Inc. ............... 165,850
6,800 Owens-Illinois, Inc.+................. 294,100
------------
459,950
------------
COSMETICS AND TOILETRY -- 1.8%
21,300 Gillette Company...................... 2,528,044
58,000 Proctor & Gamble Company.............. 4,893,750
------------
7,421,794
------------
DIVERSIFIED -- 1.2%
14,400 Aeroquip-Vickers Inc. ................ 832,500
13,500 Allied Signal Corp.................... 567,000
7,800 Fortune Brands, Inc. ................. 311,025
7,200 Loews Corporation..................... 750,600
8,200 Tenneco Inc. ......................... 350,037
8,000 Textron, Inc. ........................ 616,000
25,000 Tyco International Ltd. .............. 1,365,625
------------
4,792,787
------------
DRUGS -- 6.6%
26,800 American Home Products Corporation.... 2,556,050
40,500 Bristol-Myers Squibb Company.......... 4,224,656
43,000 Lilly (Eli) & Company................. 2,563,875
54,800 Merck & Company Inc. ................. 7,034,950
57,500 Pfizer, Inc. ......................... 5,732,031
29,100 Schering-Plough Corporation........... 2,377,106
10,700 Warner-Lambert Company................ 1,822,344
------------
26,311,012
------------
ELECTRIC POWER -- 3.2%
6,100 Ameren Corp. ......................... 256,962
9,300 American Electric Power Inc. ......... 467,325
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
ELECTRIC POWER -- (CONTINUED)
4,400 Apache Corp. ......................... $ 161,700
19,500 Baltimore Gas & Electric Company...... 637,406
7,000 Carolina Power & Light Company........ 316,750
9,400 Central & South West Corporation...... 251,450
5,300 CINergy Corporation................... 196,100
20,100 Consolidated Edison Company Inc. ..... 939,675
8,900 Dominion Resources Inc. .............. 373,800
21,800 DTE Energy Company.................... 857,012
17,000 Duke Energy Corporation............... 1,012,562
4,000 Eastern Enterprises................... 172,000
27,500 Edison International.................. 807,813
11,100 Entergy Corporation................... 330,225
23,900 FirstEnergy Corporation............... 736,419
10,500 FPL Group Inc. ....................... 674,625
6,100 GPU, Inc. ............................ 269,925
13,100 Houston Industries Inc. .............. 376,625
20,000 Niagara Mohawk Power Corporation+..... 260,000
3,200 Northern States Power Corporation..... 188,800
14,900 PacifiCorp............................ 366,912
12,000 PECO Energy Company................... 265,500
19,600 PG&E Corporation...................... 646,800
7,900 PP&L Resources Inc. .................. 186,637
11,000 Public Service Enterprise Group....... 416,625
28,500 Southern Company...................... 789,094
11,700 Texas Utilities Company............... 459,956
9,900 Unicom Corporation.................... 346,500
------------
12,765,198
------------
ELECTRICAL EQUIPMENT -- 3.7%
16,100 Emerson Electric Company.............. 1,049,519
149,900 General Electric Company.............. 12,919,506
6,600 Raychem Corporation................... 274,313
8,100 Thomas & Betts Corporation............ 518,400
------------
14,761,738
------------
ELECTRONICS -- 0.9%
2,800 AMP, Inc. ............................ 122,675
17,100 Applied Materials Inc.+............... 603,844
3,900 Harris Corporation.................... 203,288
24,400 Motorola, Inc. ....................... 1,479,250
12,600 National Semiconductor Corporation+... 263,813
9,900 Rockwell International Corporation.... 568,013
11,600 Tektronix Inc. ....................... 517,650
------------
3,758,533
------------
ENVIRONMENTAL -- 0.6%
21,000 Browning-Ferris Industries Inc........ 685,125
10,300 Johnson Controls Inc. ................ 625,081
22,200 Laidlaw Inc., Class B................. 352,425
5,500 LSI Logic Corporation+................ 138,875
2,200 Pioneer Hi Bred International......... 214,638
9,500 Safety-Kleen Corporation.............. 269,562
------------
2,285,706
------------
EXPLORATION AND DRILLING -- 0.3%
8,600 Burlington Resources Inc. ............ 412,263
28,600 Helmerich & Payne, Inc. .............. 893,750
------------
1,306,013
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 32
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 5.3%
22,400 American Express Company.............. $ 2,056,600
15,300 American General Corporation.......... 989,719
2,600 Beneficial Corporation................ 323,212
2,600 Cincinnati Financial Corp. ........... 325,650
5,300 Countrywide Credit Industries,
Inc. ................................ 281,894
33,600 Federal Home Loan Mortgage
Corporation.......................... 1,593,900
49,300 Federal National Mortgage
Association.......................... 3,118,225
7,800 Green Tree Financial Corporation...... 221,813
5,000 Household International Inc. ......... 688,750
13,300 Lehman Brothers Holdings Inc. ........ 995,837
7,900 Marsh & McLennan Companies Inc. ...... 689,769
23,800 MBNA Corporation...................... 852,337
15,600 Merrill Lynch & Company Inc. ......... 1,294,800
34,700 Morgan Stanley Dean Witter Co......... 2,528,763
12,800 Schwab (Charles) Corp. ............... 486,400
8,100 State Street Corporation.............. 551,306
3,200 Transamerica Corporation.............. 372,800
53,400 Travelers Group Inc. ................. 3,204,000
2,900 Wells Fargo & Company................. 960,625
------------
21,536,400
------------
FOOD PRODUCERS -- 1.5%
26,900 Archer-Daniels-Midland Company........ 590,119
13,400 Campbell Soup Company................. 760,450
11,700 ConAgra Inc. ......................... 375,862
11,200 Heinz (H.J.) Company.................. 653,800
9,900 Kellogg Company....................... 426,938
6,400 Quaker Oats Company................... 366,400
10,200 Sara Lee Corporation.................. 628,575
31,600 Unilever N.V., ADR.................... 2,168,550
1,340 Vlasic Foods International+........... 34,254
------------
6,004,948
------------
FOOD RETAILERS -- 0.6%
11,900 Alberton's Inc........................ 626,237
11,700 American Stores Company............... 304,200
9,100 Great Atlantic & Pacific Tea Inc. .... 275,275
15,000 Kroger Company+....................... 692,813
12,600 SuperValu Inc. ....................... 587,475
------------
2,486,000
------------
FURNITURE AND APPLIANCES -- 0.5%
2,200 Armstrong World Industries Inc. ...... 190,437
8,900 Black & Decker Corporation............ 472,256
9,300 Maytag Corporation.................... 444,656
4,100 Newell Company........................ 198,594
4,600 Stanley Works......................... 256,450
8,600 Whirlpool Corporation................. 589,638
------------
2,152,031
------------
INSURANCE -- 3.9%
4,100 Aetna Inc. ........................... 342,094
25,800 Allstate Corporation.................. 2,371,987
32,901 American International Group, Inc. ... 4,143,470
8,100 Aon Corporation....................... 524,475
8,400 Chubb Corporation..................... 658,350
3,700 CIGNA Corporation..................... 758,500
12,600 Conseco Inc. ......................... 713,475
3,900 General Re Corporation................ 860,438
5,700 Hartford Financial Services Group,
Inc. ................................ 618,450
3,700 Jefferson-Pilot Corporation........... 329,069
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
INSURANCE -- (CONTINUED)
5,000 Lincoln National Corporation Ltd. .... $ 424,375
9,800 MBIA, Inc. ........................... 759,500
5,700 MGIC Investment Corporation........... 374,419
3,700 Progressive Corporation............... 498,344
4,200 Providian Financial Corporation....... 241,237
6,400 SAFECO Corporation.................... 349,800
4,300 St. Paul Companies Inc. .............. 383,237
9,100 SunAmerica, Inc. ..................... 435,663
7,800 Torchmark Corporation................. 357,338
7,000 UNUM Corporation...................... 386,312
5,100 USF&G Corporation..................... 127,181
------------
15,657,714
------------
MACHINERY AND EQUIPMENT -- 2.3%
13,400 Ball Corp............................. 438,850
26,400 Caterpillar Inc. ..................... 1,453,650
12,000 Cincinnati Milacron Inc. ............. 382,500
7,200 Cooper Industries Inc. ............... 427,950
8,500 Cummins Engine Inc. .................. 468,562
17,100 Deere & Company....................... 1,059,131
11,800 Dover Corporation..................... 448,400
2,500 Grainger (W.W.), Inc. ................ 257,031
2,500 Harnischfeger Industries Inc. ........ 85,469
13,100 Illinois Tool Works Inc. ............. 848,225
17,700 Ingersoll-Rand Company................ 848,494
6,700 NACCO Industries, Inc., Class A....... 897,800
2,400 National Services Industries Inc. .... 141,150
15,900 Parker-Hannifin Corporation........... 814,875
5,100 Thermo Electron Corporation+.......... 205,913
21,200 Timken Company........................ 716,825
------------
9,494,825
------------
MEDIA -- 1.2%
16,200 CBS Corp. ............................ 549,787
3,900 Clear Channel Communications+......... 382,200
11,800 Comcast Corporation, Class A.......... 416,687
9,900 HBO & Company......................... 597,713
8,000 Omnicom Group Inc. ................... 376,500
27,100 Time Warner Inc. ..................... 1,951,200
20,900 US West Media Group+.................. 726,275
------------
5,000,362
------------
MEDICAL PRODUCTS AND SUPPLIES -- 2.1%
33,000 Abbott Laboratories................... 2,485,312
6,600 Baxter International Inc. ............ 363,825
5,700 Becton, Dickinson & Company........... 387,956
6,200 Biomet Inc. .......................... 186,000
7,500 Guidant Corporation................... 550,312
59,900 Johnson & Johnson..................... 4,391,419
3,700 United States Surgical Corporation.... 122,100
------------
8,486,924
------------
MEDICAL SERVICES -- 0.6%
14,200 Columbia/HCA Healthcare Corporation... 457,950
18,900 HEALTHSOUTH Corporation+.............. 530,381
7,300 Humana Inc.+.......................... 181,131
3,200 Manor Care, Inc. ..................... 118,400
16,200 Tenet Healthcare Corporation+......... 588,263
8,800 United Healthcare Corporation......... 569,800
------------
2,445,925
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 33
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
METALS AND MINING -- 0.3%
12,200 Alcan Aluminum Ltd. .................. $ 381,250
8,200 Aluminum Company of America........... 564,263
2,800 Phelps Dodge Corporation.............. 180,775
------------
1,126,288
------------
OFFICE EQUIPMENT -- 0.6%
14,100 Pitney Bowes Inc. .................... 707,644
15,200 Xerox Corporation..................... 1,617,850
------------
2,325,494
------------
OIL -- DOMESTIC -- 1.9%
4,600 Amerada Hess Corporation.............. 268,237
23,800 Amoco Corporation..................... 2,055,725
10,300 Ashland Oil, Inc. .................... 583,238
15,200 Atlantic Richfield Company............ 1,195,100
2,200 Kerr-McGee Corporation................ 153,037
15,600 Occidental Petroleum Corporation...... 457,275
5,400 Oryx Energy Company+.................. 140,400
7,000 Pennzoil Company...................... 452,375
12,200 Phillips Petroleum Company............ 609,237
14,100 Sun Company, Inc. .................... 576,338
12,100 Unocal Corporation.................... 468,119
13,900 USX-Marathon Group.................... 522,987
------------
7,482,068
------------
OIL -- INTERNATIONAL -- 5.0%
31,200 Chevron Corporation................... 2,505,750
116,400 Exxon Corporation..................... 7,871,550
36,700 Mobil Corporation..................... 2,812,137
92,700 Royal Dutch Petroleum Company, ADR.... 5,266,519
24,900 Texaco Inc. .......................... 1,500,225
13,800 Union Pacific Resources Group Inc. ... 329,475
------------
20,285,656
------------
OIL SERVICES -- 1.2%
10,100 Baker Hughes Inc. .................... 406,525
10,300 Dresser Industries, Inc. ............. 495,044
15,700 Enron Corporation..................... 728,087
13,000 Halliburton Company................... 652,437
8,900 Rowan Companies Inc.+................. 258,100
24,300 Schlumberger Ltd. .................... 1,840,725
4,800 Western Atlas, Inc.+.................. 371,400
------------
4,752,318
------------
PAPER AND FOREST PRODUCTS -- 0.8%
3,200 Boise Cascade Corporation............. 115,400
6,700 Champion International Corporation.... 363,894
19,100 Fort James Corporation................ 875,019
4,300 Georgia-Pacific Corporation........... 278,425
14,300 International Paper Company........... 669,419
8,900 Mead Corporation...................... 318,731
1,600 Potlatch Corporation.................. 68,900
3,000 Union Camp Corporation................ 179,250
6,800 Westvaco Corporation.................. 209,100
6,300 Weyerhaeuser Company.................. 355,950
------------
3,434,088
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
PRINTING AND PUBLISHING -- 1.1%
6,600 American Greetings Corporation, Class
A.................................... $ 303,600
7,000 Donnelley (RR) & Sons................. 287,437
2,800 Dow Jones & Company Inc. ............. 148,225
11,900 Dun & Bradstreet Corporation.......... 406,831
14,600 Gannett Company, Inc. ................ 1,049,375
5,900 Ikon Office Solutions Inc. ........... 203,919
4,300 Knight-Ridder Inc. ................... 240,263
4,600 McGraw-Hill Companies, Inc. .......... 349,888
3,200 Meredith Corporation.................. 134,800
8,600 New York Times Company, Class A....... 602,000
5,500 Times Mirror Company, Class A......... 348,563
5,700 Tribune Company....................... 401,850
------------
4,476,751
------------
PROFESSIONAL SERVICES -- 0.6%
27,800 Cendant Corporation+.................. 1,101,575
6,800 Cognizant Corporation................. 390,150
5,100 Deluxe Corporation.................... 167,981
5,700 Interpublic Group of Companies,
Inc. ................................ 354,112
12,000 Service Corporation International..... 509,250
------------
2,523,068
------------
RECREATION -- 1.7%
15,600 Brunswick Corporation................. 544,050
31,800 Disney (Walt) Company................. 3,394,650
9,700 Fleetwood Enterprises, Inc. .......... 451,656
3,000 Harrah's Entertainment Inc.+.......... 73,687
8,200 Hasbro Inc. .......................... 289,563
18,800 King World Productions Inc.+.......... 549,900
14,100 Mattel, Inc. ......................... 558,712
16,900 Viacom Inc., Class B+................. 908,375
------------
6,770,593
------------
RESTAURANTS AND LODGING -- 1.0%
65,900 Darden Restaurants Inc. .............. 1,025,569
11,600 Hilton Hotels Corporation............. 369,750
3,900 Marriot International Inc. Class A.... 139,669
3,900 Marriot International Inc. ........... 145,031
28,000 McDonald's Corporation................ 1,680,000
8,600 Mirage Reports Inc.+.................. 209,088
975 Sodexho Marriott Services............. 25,898
6,427 Starwood Hotels & Resort.............. 343,443
7,200 Wendy's International Inc. ........... 160,650
------------
4,099,098
------------
RETAIL -- DISCOUNT -- 1.9%
41,500 Kmart Stores Corporation+............. 692,531
15,500 Rite Aid Corporation.................. 530,875
14,200 TJX Companies Inc. ................... 642,550
13,800 Toys R Us Inc.+....................... 414,863
105,600 Wal-Mart Stores Inc. ................. 5,365,800
7,200 Woolworth Corporation+................ 180,000
------------
7,826,619
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 34
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
RETAIL -- GENERAL -- 1.9%
19,900 Costco Companies, Inc.+............... $ 1,062,163
19,700 Dayton Hudson Corporation............. 1,733,600
13,500 Dillard Department Stores Inc., Class
A.................................... 498,656
17,800 Federated Department Stores Inc.+..... 922,263
17,100 May Department Stores Company......... 1,085,850
4,300 Mercantile Stores Inc. ............... 288,906
3,900 Nordstrom Inc. ....................... 248,869
11,700 Penney (J.C.) Company Inc. ........... 885,544
18,600 Sears, Roebuck & Company.............. 1,068,338
------------
7,794,189
------------
RETAIL -- SPECIALTY -- 1.6%
8,000 CVS Corporation....................... 604,000
19,700 Gap Inc. ............................. 886,500
34,600 Home Depot, Inc. ..................... 2,333,337
26,600 Limited Inc. ......................... 763,088
8,900 Lowe's Companies, Inc. ............... 624,669
5,700 Tandy Corporation..................... 267,900
23,200 Walgreen Company...................... 816,350
------------
6,295,844
------------
SAVINGS AND LOANS -- 0.6%
13,100 Ahmanson (H.F.) & Company............. 1,015,250
7,000 Golden West Financial Corporation..... 670,688
12,200 Washington Mutual, Inc. .............. 874,969
------------
2,560,907
------------
SEMICONDUCTORS -- 1.6%
3,200 Advanced Micro Devices Inc.+.......... 93,000
72,300 Intel Corporation..................... 5,643,919
5,600 Micron Technology, Inc.+.............. 162,750
12,800 Texas Instruments Inc. ............... 692,800
------------
6,592,469
------------
STEEL -- 0.7%
8,900 Allegheny Teledyne Inc. .............. 247,531
31,500 Armco Inc.+........................... 185,063
47,100 Bethlehem Steel Corporation+.......... 638,794
25,600 Inland Steel Industries, Inc. ........ 707,200
4,400 Nucor Corporation..................... 239,525
17,900 USX-U.S. Steel Group.................. 675,725
------------
2,693,838
------------
TELECOMMUNICATIONS -- 1.9%
23,900 AirTouch Communications, Inc.+........ 1,169,606
3,900 Andrew Corporation+................... 77,269
5,100 DSC Communications Corporation+....... 92,756
30,900 Lucent Technologies................... 3,951,337
26,800 Northern Telecommunications, Ltd. .... 1,731,950
8,500 Tellabs, Inc. +....................... 570,563
------------
7,593,481
------------
TOBACCO -- 0.9%
86,100 Philip Morris Companies Inc. ......... 3,589,294
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION -- AIRLINES -- 0.9%
8,600 AMR Corporation+...................... $ 1,231,412
10,100 Delta Air Lines, Inc. ................ 1,194,325
29,100 Southwest Airlines Company............ 860,269
5,500 US Airways Group Inc.+................ 407,687
------------
3,693,693
------------
TRANSPORTATION -- RAILROADS -- 0.7%
8,600 Burlington Northern Santa Fe Inc...... 894,400
10,400 CSX Corporation....................... 618,800
18,300 Norfolk Southern Corporation.......... 683,963
12,200 Union Pacific Corporation............. 685,488
------------
2,882,651
------------
TRUCKING AND SHIPPING -- 0.3%
12,400 FDX Corporation+...................... 881,950
13,100 Ryder Systems Inc. ................... 497,800
------------
1,379,750
------------
UTILITIES -- NATURAL GAS -- 0.4%
2,500 Columbia Energy Group................. 194,375
4,400 Consolidated Natural Gas Company...... 253,825
6,200 NICOR Inc. ........................... 261,950
1,000 ONEOK Inc. ........................... 40,750
4,100 Pacific Enterprises................... 167,331
1,800 People's Energy Corporation........... 65,475
4,200 Sonat, Inc. .......................... 182,700
15,100 Williams Companies Inc. .............. 483,200
------------
1,649,606
------------
UTILITIES -- TELEPHONE -- 7.0%
16,500 ALLTEL Corporation.................... 720,844
53,000 Ameritech Corporation................. 2,620,187
77,400 AT&T Corporation...................... 5,079,375
36,500 Bell Atlantic Corporation............. 3,741,250
51,700 BellSouth Corporation................. 3,492,981
46,800 GTE Corporation....................... 2,802,150
32,400 MCI Communications Corporation........ 1,603,800
81,700 SBC Communications Inc. .............. 3,564,163
14,600 Sprint Corporation.................... 988,237
24,000 Tele Communication, Class A+.......... 746,250
23,200 U.S. West Inc. ....................... 1,270,200
36,100 WorldCom Inc.+........................ 1,554,556
------------
28,183,993
------------
WASTE DISPOSAL -- 0.1%
11,900 Waste Management Inc. ................ 366,669
------------
TOTAL COMMON STOCKS
(Cost $260,078,885)................... 400,303,333
-----------
INVESTMENT COMPANY -- 0.6% (Cost $2,598,000)
2,598,000 Nations Cash Reserves(a).............. 2,598,000
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 35
NATIONS FUNDS
Nations Managed Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.1% (Cost $347,641)
U.S. TREASURY NOTES -- 0.1%
$100,000 US Treasury Bill Disc Note
5.154%** 05/14/1998++.................. $ 99,393
250,000 US Treasury Bill Disc Note
5.114%** 05/21/1998++.................. 248,248
------------
347,641
------------
TOTAL INVESTMENTS
(Cost $263,024,526*)....................... 99.8% 403,248,974
OTHER ASSETS AND
LIABILITIES (NET).......................... 0.2 988,884
---- -----------
NET ASSETS.................................. 100.0% $404,237,858
===== ============
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF NET UNREALIZED
CONTRACTS APPRECIATION
- -----------------------------------------------------------------
<C> <S> <C>
FUTURES CONTRACTS -- LONG POSITION
6 S&P 500 Index Futures, June 1998.............. $4,040
=====
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $139,319,541 and gross
depreciation of $338,417 for federal income tax purposes. At March 31, 1998,
the aggregate cost of securities for federal income tax purposes was
$264,267,850.
** Rate represents annualized yield at date of purchase.
+ Non-income producing security.
++ Security segregated as collateral for futures contracts.
(a) Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by TradeStreet Investment Associates, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 36
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 96.2%
AEROSPACE AND DEFENSE -- 1.1%
200 Alliant Techsystems Inc.+.................. $ 12,550
700 Orbital Sciences Corporation+.............. 31,413
----------
43,963
----------
APPAREL AND TEXTILES -- 4.6%
1,300 Baker J.,Inc. ............................. 10,238
400 Cone Mills Corporation+.................... 3,575
800 Footstar, Inc.+............................ 28,800
800 Guilford Mills Inc. ....................... 23,600
100 Hartmarx Corporation+...................... 832
400 K-Swiss Inc., Class A...................... 7,700
1,400 Mohawk Industries Inc.+.................... 44,100
300 Osh Kosh B'Gosh, Class A................... 11,981
300 Oxford Industries Inc. .................... 9,412
1,300 Phillips-Van Heusen Corporation............ 16,006
380 Pillowtex Corporation...................... 18,406
300 Stride Rite Corporation.................... 4,069
----------
178,719
----------
AUTOMOBILE PARTS MANUFACTURERS -- 2.2%
1,000 Myers Industries Inc. ..................... 20,875
100 Simpson Industries......................... 1,400
700 Standard Motor Products+................... 13,431
800 Standard Products Company.................. 26,350
1,300 TBC Corporation+........................... 13,000
600 Titan International Inc. .................. 11,550
----------
86,606
----------
BANKS -- 2.8%
300 Cullen Frost Bankers Inc. ................. 17,719
600 Deposit Guaranty Corporation............... 33,975
900 Firstmerit Corporation..................... 30,206
500 Magna Group, Inc. ......................... 29,031
----------
110,931
----------
BASIC INDUSTRIES -- 0.8%
600 Commercial Metals.......................... 21,000
900 Dravo Corporation+......................... 9,731
----------
30,731
----------
BEVERAGES -- 0.4%
300 Canandaigua Brands, Inc. Class A+.......... 17,138
----------
BUILDING MATERIALS -- 2.1%
400 Lone Star Industries....................... 27,775
700 Texas Industries Inc. ..................... 40,469
300 Universal Forest Products.................. 5,100
400 Watsco, Inc Class A........................ 10,750
----------
84,094
----------
CHEMICALS -- BASIC -- 0.5%
100 Cambrex Corporation........................ 5,038
400 Scotts Company (The), Class A+............. 13,850
----------
18,888
----------
CHEMICALS -- SPECIALTY -- 1.1%
700 Geon Company............................... 15,663
600 Hauser, Inc. .............................. 4,800
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
CHEMICALS -- SPECIALTY -- (CONTINUED)
300 OM Group Inc. ............................. $ 12,638
600 Quaker Chemical Corporation................ 11,400
----------
44,501
----------
COMMERCIAL SERVICES -- 0.9%
600 Insurance Auto Auctions, Inc.+............. 6,600
600 Interim Services+.......................... 20,250
600 PMT Services+.............................. 10,763
----------
37,613
----------
COMPUTER RELATED -- 0.9%
600 Applied Magnetics Corporation+............. 6,938
100 BancTec, Inc.+............................. 2,463
200 National Computer Systems Inc. ............ 4,500
300 Standard Microsystems Corporation+......... 2,925
1,100 Read-Rite Corporation+..................... 15,194
300 Wall Data Inc.+............................ 4,500
----------
36,520
----------
COMPUTER SERVICES -- 1.1%
100 Filenet Corporation+....................... 4,888
300 Gerber Scientific, Inc. ................... 7,819
600 Primark Corporation+....................... 25,650
500 Vanstar Corporation+....................... 6,250
----------
44,607
----------
COMPUTER SOFTWARE -- 0.0%#
200 Auspex Systems Inc.+....................... 1,750
----------
CONSTRUCTION -- 4.6%
200 Continental Homes Holding Corporation...... 9,300
1,200 Insituform Technologies, Inc., Class A+.... 13,425
900 M.D.C. Holdings, Inc. ..................... 15,975
1,500 Morrison Knudsen Corporation+.............. 16,781
800 Ryland Group Inc. ......................... 22,100
1,200 Standard Pacific Corporation............... 18,225
600 Stone & Webster, Inc. ..................... 28,050
600 TJ International Inc. ..................... 19,200
500 Toll Brothers, Inc.+....................... 14,063
600 U.S. Home Corporation+..................... 27,488
----------
184,607
----------
CONSUMER GOODS -- DURABLE -- 2.3%
600 Kaman Corporation, Class A................. 11,025
600 La-Z Boy Inc. ............................. 29,963
700 Oakwood Homes Corporation.................. 25,638
300 Russ Berrie & Company, Inc. ............... 9,094
800 Thomas Industries Inc. .................... 17,800
----------
93,520
----------
CONSUMER GOODS -- NON-DURABLE -- 0.5%
400 Kellwood Company........................... 12,350
200 Wolverine Tube Inc. ....................... 8,025
----------
20,375
----------
CONTAINERS/PACKAGING -- 0.6%
400 AptarGroup, Inc. .......................... 24,025
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 37
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
CONVENIENCE STORE -- 0.5%
1,200 Casey's General Stores Inc. ............... $ 19,200
----------
DIVERSIFIED -- 1.5%
1,100 Justin Industries Inc. .................... 15,469
700 Sierra Pacific Resources................... 26,294
300 SPS Technologies, Inc.+.................... 16,069
----------
57,832
----------
ELECTRIC POWER -- 2.7%
1,000 Central Vermont Public Service............. 14,875
700 Commonwealth Energy System Companies....... 27,913
800 Eastern Utilities Association.............. 21,800
300 Green Mountain Power Corporation........... 5,662
700 TNP Enterprises, Inc. ..................... 23,144
300 United Illuminating Company................ 14,513
----------
107,907
----------
ELECTRICAL EQUIPMENT -- 0.9%
300 Fluke Corporation.......................... 7,163
900 Pacific Scientific Co. .................... 27,281
----------
34,444
----------
ELECTRONICS -- 2.7%
100 Bell Industries Inc.+...................... 1,413
400 Benchmark Electronics, Inc.+............... 9,525
450 Burr-Brown Corporation+.................... 11,250
400 Checkpoint Systems, Inc.+.................. 8,500
200 Electroglas Inc.+.......................... 3,200
100 Kent Electronics Corporation+.............. 2,105
400 Kulicke & Soffa Industries+................ 8,700
100 Oak Industries, Inc.+...................... 3,250
1,000 Pioneer Standard Electronics............... 12,250
200 Speedfam International Inc.++.............. 5,163
300 Tracor Inc.+............................... 9,619
100 Three Five Systems, Inc.+.................. 1,894
200 Ultratech Stepper, Inc.+................... 4,075
1,500 VLSI Technology, Inc.+..................... 28,125
----------
109,069
----------
ENERGY -- 0.7%
400 Barrett Resources Corporation+............. 13,975
900 Dames & Moore Inc. ........................ 11,981
----------
25,956
----------
ENTERTAINMENT -- 0.7%
6,700 Cineplex Odeon Corporation+................ 11,306
500 Regal Cinemas Inc.+........................ 15,000
----------
26,306
----------
FINANCIAL SERVICES -- 6.4%
600 AMRESCO Inc.+.............................. 19,650
400 Astoria Financial Corporation.............. 24,725
400 Coast Federal Litigation Contingent Payment
Rights Trust.............................. 6,500
900 Commercial Federal Corporation............. 32,738
300 Dain Rauscher Corp......................... 17,269
100 Eaton Vance Corporation (non-voting)....... 4,819
600 Enhance Financial Services Group........... 41,663
800 Interface Inc. ............................ 33,250
400 Legg Mason Inc. ........................... 23,725
200 Onbancorp Inc. ............................ 13,850
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- (CONTINUED)
400 Riggs National Corporation................. $ 11,300
1,000 St. Paul Bancorp Inc. ..................... 25,375
----------
254,864
----------
FOOD PRODUCERS -- 0.7%
900 Chiquita Brands International Inc. ........ 12,319
800 J&J Snack Foods Corporation+............... 15,650
----------
27,969
----------
FOOD RETAILERS -- 0.9%
700 Earthgrains Company........................ 30,931
300 Nash Finch Corporation..................... 5,963
----------
36,894
----------
GAS AND ELECTRIC -- 1.1%
700 Central Hudson Gas & Electric.............. 30,538
400 Interstate Power Company................... 14,325
----------
44,863
----------
INSURANCE -- 8.5%
400 ALLIED Group Inc. ......................... 12,900
900 American Bankers Insurance Group Inc. ..... 58,050
300 Capital Re Corporation..................... 19,275
700 Fidelity National Financial Inc. .......... 25,725
500 First American Financial Corporation....... 32,000
900 Fremont General Corporation................ 52,931
500 Frontier Insurance Group Inc. ............. 13,813
200 Life Re Corporation........................ 14,750
300 NAC Re Corporation......................... 15,731
400 Orion Capital Corporation.................. 21,875
400 Protective Life Corporation................ 29,200
1,000 Selective Insurance Group.................. 26,875
200 Sierra Health Services+.................... 7,975
200 Trenwick Group Inc. ....................... 7,500
----------
338,600
----------
IRON/STEEL -- 0.2%
400 Birmingham Steel Corporation............... 6,550
----------
MACHINERY AND EQUIPMENT -- 1.5%
300 Applied Industrial Technologies, Inc. ..... 8,081
600 Astec Industries........................... 15,300
900 CPI Corporation............................ 22,781
900 Global Industrial Technologies Inc.+....... 14,850
----------
61,012
----------
MANUFACTURING -- 1.4%
700 Dixie Group Inc.+.......................... 8,094
700 Griffon Corporation+....................... 11,113
1,200 O'Sullivan Corporation+.................... 11,250
600 Smith (A.O.) Corporation................... 26,850
----------
57,307
----------
MEDIA -- 0.6%
600 True North Communications.................. 19,800
300 Xircom Inc.+............................... 4,144
----------
23,944
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE> 38
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
MEDICAL PRODUCTS AND SUPPLIES -- 1.4%
400 Cephalon Inc.+............................. $ 5,600
300 Collagen Corporation....................... 6,638
400 IDEXX Laboratories Inc.+................... 7,200
800 Liposome Company Inc.+..................... 4,450
300 Sola International, Inc.+.................. 12,431
300 SpaceLabs Medical, Inc.+................... 6,638
400 Vertex Pharmaceuticals Inc.+............... 12,775
300 Zoll Medical Corporation+.................. 1,688
----------
57,420
----------
MEDICAL SERVICES -- 3.5%
200 American Oncology Resources+............... 3,050
200 Express Scripts, Inc., Class A+............ 16,956
800 Genesis Health Ventures+................... 22,500
1,200 Integrated Health Services Inc. ........... 47,175
1,100 Mariner Health Group, Inc.+................ 18,838
500 Universal Health Services, Inc., Class
B+........................................ 28,875
----------
137,394
----------
METALS AND MINING -- 1.3%
1,300 AMCOL International Corporation............ 19,663
200 Coeur D'Alene Mines Corporation+........... 2,575
100 Commonwealth Industries Inc. .............. 1,744
600 Handy & Harman............................. 21,113
400 Hecla Mining Company+...................... 2,650
400 Steel Technologies Inc. ................... 4,788
----------
52,533
----------
OFFICE SUPPLIES -- 0.1%
200 Nashua Corporation......................... 2,913
----------
OIL AND GAS -- 2.1%
900 Devon Energy Corporation................... 34,988
700 Input/Output, Inc.+........................ 16,363
1,500 Vintage Petroleum Inc. .................... 31,500
----------
82,851
----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 0.5%
300 Pool Energy Services Company+.............. 7,013
300 Wicor, Inc. ............................... 14,512
----------
21,525
----------
OIL AND GAS -- EXPLORATION -- 2.1%
200 Benton Oil & Gas+.......................... 2,212
600 Energen Corporation........................ 13,200
1,000 HS Resources, Inc.+........................ 15,625
650 Ocean Energy, Inc.+........................ 15,316
1,100 Remington Oil & Gas Corporation Class B+... 6,806
1,500 Santa Fe Energy Resources+................. 16,500
1,300 Southwestern Energy Company................ 13,812
----------
83,471
----------
PAPER AND FOREST PRODUCTS -- 0.3%
900 Pope & Talbot Inc. ........................ 13,669
----------
PHARMACEUTICALS -- 1.2%
600 ALPHARMA Inc., Class A..................... 13,012
1,700 Immulogic Pharmeceutical Corporation+...... 2,816
1,000 Pharmaceutical Marketing Services+......... 14,750
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
PHARMACEUTICALS -- (CONTINUED)
300 Regeneron Pharmaceuticals, Inc.+........... $ 2,212
800 Syncor International Corporation+.......... 14,550
----------
47,340
----------
PRINTING AND PUBLISHING -- 1.1%
100 Bowne & Co., Inc. ......................... 4,137
1,100 World Color Press, Inc.+................... 38,225
----------
42,362
----------
PROFESSIONAL SERVICES -- 1.0%
800 Offshore Logistics, Inc.+.................. 15,900
1,000 Franklin Convey Company+................... 24,312
----------
40,212
----------
RECREATION -- 3.0%
1,400 Arctic Cat Inc. ........................... 13,037
2,300 Aztar Corporation+......................... 19,838
1,100 Bell Sports Corporation+................... 9,419
100 Carmike Cinemas, Inc., Class A+............ 3,212
1,500 Grand Casinos, Inc.+....................... 25,593
300 Global Motorsport Group Inc.+.............. 5,437
1,000 Huffy Corporation.......................... 16,187
200 Players International Inc.+................ 987
700 Showboat, Inc. ............................ 20,956
100 Thor Industries, Inc. ..................... 4,094
----------
118,760
----------
RESTAURANTS AND LODGING -- 3.9%
400 Au Bon Pain Company Inc.+.................. 3,375
700 Bertucci's, Inc.+.......................... 5,381
400 Capstar Hotel Company+..................... 13,875
600 Landry's Seafood Restaurants, Inc.+........ 18,450
1,200 Marcus Corporation......................... 21,150
1,100 Prime Hospitality Corporation+............. 21,450
700 Ruby Tuesday Inc. ......................... 22,050
2,200 Ryan's Family Steak Houses, Inc.+.......... 19,937
400 Sonic Corporation+......................... 13,400
1,800 TCBY Enterprises, Inc. .................... 18,000
----------
157,068
----------
RETAIL -- DISCOUNT -- 0.8%
1,100 Filene's Basement Corporation+............. 5,912
800 Shopko Stores, Inc.+....................... 25,350
----------
31,262
----------
RETAIL -- GENERAL -- 0.8%
1,300 Cash America International Inc. ........... 21,125
100 Damark International, Inc., Class A+....... 1,237
700 MicroAge Inc.+............................. 8,837
----------
31,199
----------
RETAIL -- SPECIALTY -- 3.4%
1,500 Bombay (The) Company, Inc.+................ 7,500
900 Books-a-Million+........................... 5,231
1,100 Cato Corporation, Class A.................. 13,062
800 Discount Auto Parts, Inc.+................. 19,400
800 Dress Barn, Inc.+.......................... 23,000
900 Eagle Hardware & Garden, Inc.+............. 15,862
300 Fabri-Centers of America, Class A+......... 9,337
800 Gottschalks, Inc.+......................... 6,350
1,000 Jan Bel Marketing, Inc.+................... 4,937
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE> 39
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
RETAIL -- SPECIALTY -- (CONTINUED)
300 Just For Feet, Inc.+....................... $ 6,112
300 Lillian Vernon Corporation................. 5,231
400 Michaels Stores, Inc.+..................... 14,950
200 Sports Authority, Inc (The)+............... 3,275
----------
134,247
----------
SAVINGS AND LOANS -- 0.4%
500 Downey Financial Corporation............... 16,187
----------
SEMICONDUCTORS -- 0.7%
900 International Rectifier Corporation+....... 10,575
300 Lattice Semiconductor Corporation+......... 15,431
100 Watkins-Johnson Company.................... 2,706
27 Zilog Inc.+................................ 540
----------
29,252
----------
TECHNOLOGY -- 2.7%
1,000 Komag Inc.+................................ 14,500
200 Marshall Industries+....................... 6,675
200 Progress Software Inc.+.................... 6,000
1,300 S3 Incorporated+........................... 9,181
1,000 Sterling Software Inc.+.................... 56,500
600 Telxon Corporation......................... 15,900
----------
108,756
----------
TELECOMMUNICATIONS -- 0.9%
100 Allen Telecom Inc.+........................ 1,575
400 California Microwave, Inc.+................ 8,550
300 Digi International Inc.+................... 8,268
800 Network Equipment Technologies, Inc.+...... 13,000
900 Picturetel Corporation+.................... 6,075
----------
37,468
----------
TRANSPORTATION -- AIRLINES -- 0.8%
300 American Freightways Inc.+................. 3,300
800 Mesa Air Group, Inc.+...................... 7,350
700 Pittston Burlington Group.................. 10,937
300 Skywest Inc. .............................. 10,950
----------
32,537
----------
TRANSPORTATION -- MARINE -- 0.2%
300 Kirby Corporation+......................... 7,218
----------
TRANSPORTATION -- RAILROADS -- 1.0%
600 Railtex, Inc.+............................. 9,900
800 U.S. Freightways Corporation............... 28,800
----------
38,700
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
TRUCKING AND SHIPPING -- 2.3%
600 Arkansas Best Corporation+................. $ 6,562
600 Frozen Foods Express Industries............ 5,662
400 M.S. Carriers, Inc.+....................... 13,550
2,100 Rollins Truck Leasing Corporation.......... 29,006
900 Werner Enterprises Inc. ................... 22,950
700 Yellow Corporation+........................ 13,387
----------
91,117
----------
UTILITIES -- NATURAL GAS -- 1.7%
600 Connecticut Energy Corporation............. 18,450
400 KN Energy, Inc. ........................... 23,625
700 Piedmont Natural Gas Company, Inc. ........ 24,325
----------
66,400
----------
UTILITIES -- WATER -- 0.8%
400 Aquarion Company........................... 12,975
700 Consumers Water Company.................... 14,437
----------
27,412
----------
WIRE AND CABLE PRODUCTS -- 0.7%
1,500 Anixter International Inc.+................ 27,656
----------
TOTAL COMMON STOCKS
(Cost $3,347,948).......................... 3,828,234
----------
INVESTMENT COMPANY -- 2.2% (Cost $88,000)
88,000 Nations Cash Reserves(a)................... 88,000
----------
TOTAL INVESTMENTS
(Cost $3,435,948*)........................... 98.4% 3,916,234
OTHER ASSETS AND
LIABILITIES (NET)............................ 1.6 65,186
----- ----------
NET ASSETS.................................... 100.0% $3,981,420
===== ==========
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $554,488 and gross
depreciation of $79,955 for federal income tax purposes. At March 31, 1998,
the aggregate cost of securities for federal income tax purposes was
$3,441,701.
+ Non-income producing security.
# Amount represents less than 0.01%.
(a) Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by TradeStreet Investment Associates, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 40
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.5%
AEROSPACE AND DEFENSE -- 0.8%
11,300 AAR Corporation....................... $ 307,925
10,000 BE Aerospace, Inc.+................... 281,250
8,700 Orbital Sciences Corporation+......... 390,413
------------
979,588
------------
AGRICULTURE -- 0.2%
5,401 Delta & Pine Land Company............. 280,852
------------
AMMUNITION -- 0.3%
6,400 Alliant Techsystems, Inc.+............ 401,600
------------
APPAREL AND TEXTILES -- 4.1%
6,700 Authentic Fitness Corporation......... 133,163
3,700 Brown Group Inc. ..................... 53,188
6,700 Cone Mills Corporation+............... 59,881
7,100 Delta Woodside Industries, Inc. ...... 39,938
13,500 Footstar, Inc+........................ 486,000
4,900 G & K Services Inc. .................. 214,988
6,100 Galey & Lord Inc.+.................... 140,300
8,400 Guilford Mills Inc. .................. 247,800
10,500 Hartmarx Corporation+................. 87,282
6,200 Johnson Industries Inc. .............. 36,425
19,500 K-Swiss Inc., Class A................. 375,375
6,000 Linens 'N Things, Class A+............ 329,625
21,100 Mohawk Industries Inc.+............... 664,647
10,100 Nautica Enterprises Inc.+............. 310,575
7,500 Osh Kosh B'Gosh, Class A.............. 299,531
6,100 Oxford Industries Inc. ............... 191,388
7,400 Phillips-Van Heusen Corporation....... 91,113
5,800 Pillowtex Corporation................. 280,938
4,400 St. John Knits Inc. .................. 207,900
14,800 Stride Rite Corporation............... 200,725
3,400 Timberland Company, Class A+.......... 243,100
18,300 Tultex Corporation+................... 69,769
------------
4,763,651
------------
AUTOMOBILE AND TRUCK MANUFACTURERS -- 0.1%
4,400 Spartan Motors, Inc. ................. 34,650
3,100 Walbro Corporation+................... 37,975
------------
72,625
------------
AUTOMOBILE PARTS MANUFACTURERS -- 1.6%
3,500 Breed Technologies Inc. .............. 81,594
9,000 Intermet Corporation.................. 202,500
7,300 Myers Industries Inc. ................ 152,388
5,600 Simpson Industries.................... 78,400
5,600 SPX Corporation....................... 427,350
4,900 Standard Motor Products............... 94,019
10,100 Standard Products Company............. 332,669
18,800 TBC Corporation+...................... 188,000
9,400 Titan Wheel International Inc. ....... 180,950
7,900 Wynn's International, Inc. ........... 179,725
------------
1,917,595
------------
BANKS -- 3.9%
6,100 CCB Financial Corporation............. 674,431
6,600 Cullen Frost Bankers Inc. ............ 389,813
13,100 Deposit Guaranty Corporation.......... 741,788
6,200 FirstBank of Puerto Rico.............. 285,588
19,800 FirstMerit Corporation................ 664,538
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
BANKS -- (CONTINUED)
6,600 HUBCO, Inc. .......................... $ 252,863
9,700 Magna Group, Inc. .................... 563,206
11,200 Provident Financial Corporation....... 590,800
5,600 U.S. Trust Corporation................ 368,200
------------
4,531,227
------------
BASIC INDUSTRIES -- 0.3%
6,200 Commercial Metals..................... 217,000
4,900 Dravo Corporation+.................... 52,981
3,800 Shorewood Packaging Corporation+...... 101,888
------------
371,869
------------
BEVERAGES -- 0.7%
11,300 Canandaigua Brands, Inc. Class A+..... 645,513
2,300 Coca-Cola Company..................... 132,825
------------
778,338
------------
BROADCASTING/ADVERTISING -- 0.3%
6,200 True North Communications............. 204,600
4,500 Westwood One, Inc.+................... 139,500
------------
344,100
------------
BUILDING MATERIALS -- 2.1%
8,000 BMC West Corporation+................. 155,500
3,700 Building Material Holding
Corporation.......................... 50,413
2,200 Butler Manufacturing Company.......... 79,200
13,700 Champion Enterprises Inc.+............ 365,619
4,200 Hughes Supply, Inc. .................. 151,988
5,600 Lone Star Industries.................. 388,850
6,200 Medusa Corporation.................... 378,975
6,100 Republic Group Inc. .................. 124,288
3,800 Skyline Corporation................... 115,900
9,500 Texas Industries Inc. ................ 549,219
8,500 Universal Forest Products............. 144,500
------------
2,504,452
------------
BUSINESS SERVICES -- 0.1%
3,800 New England Business Service, Inc. ... 130,150
------------
CHEMICALS -- BASIC -- 0.8%
4,700 Cambrex Corporation................... 236,762
8,800 Mississippi Chemical Corporation...... 176,550
7,200 Scotts Company (The), Class A+........ 249,300
3,800 Tredegar Industries, Inc. ............ 275,263
------------
937,875
------------
CHEMICALS -- SPECIALTY -- 0.9%
3,100 Chemed Corporation.................... 127,100
4,400 ChemFirst Inc.+....................... 117,150
10,000 Geon Company.......................... 223,750
3,100 Lilly Industries, Inc., Class A....... 61,225
4,900 McWhorter Technologies, Inc.+......... 124,031
6,200 OM Group, Inc. ....................... 261,175
1,400 Penford Corporation................... 48,650
4,500 Quaker Chemical Corporation........... 85,500
------------
1,048,581
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE> 41
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMMERCIAL SERVICES -- 0.9%
8,700 Billing Concepts Corporation+......... $ 225,656
7,700 Central Parking Corporation........... 367,675
6,700 Insurance Auto Auctions, Inc.+........ 73,700
10,900 Interim Services+..................... 367,875
------------
1,034,906
------------
COMPUTER RELATED -- 2.9%
10,800 Applied Magnetics Corporation+........ 124,875
8,500 BancTec, Inc.+........................ 209,313
4,900 BISYS Group, Inc.+.................... 172,725
9,800 Comverse Technology, Inc.+............ 478,975
3,800 HADCO Corporation+.................... 150,575
3,300 Henry Jack & Associates............... 118,800
17,400 Keane Inc.+........................... 983,100
1,400 Kronos, Inc.+......................... 49,175
15,800 National Computer Systems Inc. ....... 355,500
3,800 Standard Microsystems Corporation+.... 37,050
15,300 Tech Data Corporation+................ 589,050
4,500 Wall Data Inc.+....................... 67,500
------------
3,336,638
------------
COMPUTER SERVICES -- 1.1%
6,200 Acxiom Corporation+................... 158,875
6,000 Analysts International Corporation.... 175,500
5,000 Ciber, Inc.+.......................... 349,688
6,700 Gerber Scientific, Inc. .............. 174,618
9,000 Primark Corporation+.................. 384,750
------------
1,243,431
------------
COMPUTER SOFTWARE -- 0.8%
6,400 Auspex Systems Inc.+.................. 56,000
6,100 Broderbund Software, Inc+............. 111,325
4,400 Hyperion Software Corporation+........ 194,700
20,700 Platinum Technology Incorporated+..... 533,025
------------
895,050
------------
CONSTRUCTION -- 3.5%
8,100 Apogee Enterprises Inc. .............. 107,325
8,400 Continental Homes Holding
Corporation.......................... 390,600
25,200 D.R. Horton, Inc. .................... 535,500
25,000 Halter Marine Group, Inc+............. 396,875
15,400 Insituform Technologies, Inc., Class
A+................................... 172,288
18,900 MDC Holdings Inc. .................... 335,475
13,800 Morrison Knudsen Corporation+......... 154,388
9,300 Ryland Group Inc. .................... 256,913
4,000 Southern Energy Homes+................ 48,500
27,900 Standard Pacific Corporation.......... 423,731
6,400 Stone & Webster, Inc. ................ 299,200
5,000 TJ International Inc. ................ 160,000
15,400 Toll Brothers, Inc.+.................. 433,124
8,400 U.S. Home Corporation+................ 384,825
------------
4,098,744
------------
CONSUMER GOODS -- DURABLE -- 2.1%
8,750 Boole & Babbage Inc.+................. 214,375
13,200 Fedders Corporation................... 75,900
14,600 Kaman Corporation, Class A............ 268,275
4,900 La-Z Boy Inc. ........................ 244,694
13,800 Oakwood Homes Corporation............. 505,425
13,700 Royal Appliance Manufacturing
Company+............................. 82,200
9,900 Russ Berrie & Company, Inc. .......... 300,094
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
CONSUMER GOODS -- DURABLE -- (CONTINUED)
13,100 Smithfield Foods, Inc.+............... $ 451,950
13,200 Thomas Industries Inc. ............... 293,700
------------
2,436,613
------------
CONSUMER GOODS -- NON-DURABLE -- 1.5%
4,400 ABM Industries Inc. .................. 136,675
12,100 ADVO Inc.+............................ 334,263
5,200 Angelica Corporation.................. 119,925
2,200 GoodMark Foods Inc. .................. 48,125
10,600 Kellwood Company...................... 327,275
1,300 Plenum Publishing Corporation......... 84,825
11,400 Richfood Holdings Inc. ............... 364,800
10,500 Wolverine World Wide Inc. ............ 296,625
------------
1,712,513
------------
CONTAINERS/PACKAGING -- 0.3%
6,300 AptarGroup, Inc. ..................... 378,394
------------
CONVENIENCE STORE -- 0.3%
19,900 Casey's General Stores Inc. .......... 318,400
------------
COSMETICS AND TOILETRY -- 0.4%
4,400 Nature's Sunshine Products Inc. ...... 117,975
6,200 NBTY, Inc.+........................... 376,650
------------
494,625
------------
DIVERSIFIED -- 1.2%
8,100 Figgie International, Inc., Class
A+................................... 112,388
9,000 Justin Industries Inc. ............... 126,563
8,900 Sierra Pacific Resources.............. 334,305
7,100 SPS Technologies, Inc.+............... 380,294
3,700 Standex International Corporation..... 113,313
8,700 Triarc Companies, Inc.+............... 228,375
4,600 Zero Corporation...................... 129,950
------------
1,425,188
------------
DRUGS -- 1.1%
4,800 Cygnus, Inc.+......................... 79,200
20,400 ICN Pharmacy Services, Inc.+.......... 1,004,700
3,400 Medimmune, Inc.+...................... 187,425
------------
1,271,325
------------
ELECTRIC POWER -- 1.0%
4,400 Bangor HydroElectric Company+......... 34,650
4,900 Central Vermont Public Service........ 72,888
3,800 CILCORP, Inc. ........................ 183,350
6,800 Commonwealth Energy System
Companies............................ 271,150
4,400 Eastern Utilities Association......... 119,900
3,700 Green Mountain Power Corporation...... 69,837
6,000 TNP Enterprises, Inc. ................ 198,375
3,700 United Illuminating Company........... 178,988
------------
1,129,138
------------
ELECTRICAL EQUIPMENT -- 0.9%
7,500 Fluke Corporation..................... 179,063
10,500 KEMET Corporation+.................... 194,906
7,900 Kent Electronics Corporation+......... 166,394
6,400 Kulicke & Soffa Industries, Inc.+..... 139,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 42
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
ELECTRICAL EQUIPMENT -- (CONTINUED)
6,100 Pacific Scientific Co. ............... $ 184,906
6,200 Park Electrochemical Corporation...... 160,037
------------
1,024,506
------------
ELECTRONICS -- 2.9%
6,500 Bell Industries Inc.+................. 91,813
5,600 Benchmark Electronics, Inc.+.......... 133,350
8,500 Checkpoint Systems, Inc.+............. 180,625
8,200 Dallas Semiconductor Corporation...... 275,725
4,900 Dynatech Corporation+................. 236,119
4,500 Electro Scientific Industries, Inc+... 173,813
5,600 Harmon Industries, Inc. .............. 114,100
1,400 InterVoice, Inc.+..................... 13,038
9,700 Methode Electronics, Inc. ............ 144,894
1,800 Oak Industries, Inc.+................. 58,500
10,800 Pioneer Standard Electronics.......... 132,300
6,100 Sanmina Corporation+.................. 426,619
5,000 Technitrol, Inc. ..................... 195,938
7,200 Tracor Inc,+.......................... 230,850
2,200 Three Five Systems, Inc.+............. 41,663
7,100 Unitrode Corporation.+................ 132,238
9,900 Vitesse Semiconductor Corporation+.... 466,843
16,200 VLSI Technology, Inc.+................ 303,750
------------
3,352,178
------------
ENERGY -- 0.7%
8,500 Barrett Resources Corporation+........ 296,968
11,000 Dames & Moore Inc. ................... 146,438
14,300 Tuboscope Vetco International
Corporation+......................... 271,700
7,100 Wiser Oil Company..................... 90,525
------------
805,631
------------
ENVIRONMENTAL -- 0.4%
4,400 Clarcor Inc. ......................... 146,300
4,800 IMCO Recycling, Inc. ................. 83,400
4,300 Ionics, Inc.+......................... 185,169
1,602 NSC Corp. ............................ 3,204
------------
418,073
------------
FINANCIAL SERVICES -- 7.2%
10,300 AMRESCO Inc.+......................... 337,325
8,800 Astoria Financial Corporation......... 543,950
7,700 Centura Banks Inc. ................... 548,625
6,700 CMAC Investment Corporation........... 447,225
6,300 Coast Federal Litigation Contingent
Payment Rights Trust................. 102,375
11,900 Commercial Federal Corporation........ 432,863
4,600 Dain Rauscher Corp. .................. 264,788
6,900 Eaton Vance Corporation (non-voting).. 332,494
6,600 Enhance Financial Services Group...... 458,288
10,300 First Commercial Corporation.......... 720,342
4,900 Gallagher (Arthur J.) & Company....... 212,231
3,100 JSB Financial Inc. ................... 173,406
13,900 Keystone Financial Inc. .............. 569,900
13,701 Legg Mason Inc. ...................... 812,641
10,800 Mutual Risk Management................ 365,175
9,900 National Auto Credit Inc.+............ 495
6,700 Onbancorp Inc. ....................... 463,975
4,400 Piper Jaffray Companies Inc. ......... 162,800
8,700 Raymond James Financial Inc. ......... 378,994
8,700 Riggs National Corporation............ 245,775
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- (CONTINUED)
3,700 SEI Investment Company................ $ 252,525
12,100 St. Paul Bancorp Inc. ................ 307,036
4,900 Whitney Holding Corporation........... 294,000
------------
8,427,228
------------
FOOD PRODUCERS -- 1.0%
22,100 Chiquita Brands International Inc. ... 302,494
9,100 DEKALB Genetics Corporation, Class
B.................................... 608,563
13,700 J&J Snack Foods Corporation+.......... 268,006
------------
1,179,063
------------
FOOD RETAILERS -- 1.2%
10,700 Earthgrains Company................... 472,806
15,100 Fleming Companies..................... 299,169
9,900 Nash Finch Corporation................ 196,763
5,900 Whole Foods Market, Inc.+............. 411,525
------------
1,380,263
------------
FURNITURE AND APPLIANCES -- 1.1%
2,000 Bassett Furniture..................... 61,375
11,900 Ethan Allen Interiors Inc. ........... 711,025
10,100 Interface Inc. ....................... 419,781
4,900 Juno Lighting Inc. ................... 103,513
1,400 Rival Company......................... 24,150
------------
1,319,844
------------
GAS AND ELECTRIC -- 0.5%
6,600 Central Hudson Gas & Electric......... 287,925
4,400 Interstate Power Company.............. 157,575
3,900 Orange and Rockland Utilities,
Inc. ................................ 175,013
------------
620,513
------------
HEALTH CARE SERVICES -- 0.4%
6,400 Ballard Medical Products.............. 172,800
7,300 Coherent, Inc.+....................... 176,569
3,800 Envoy Corporation+.................... 163,400
------------
512,769
------------
INFORMATION SERVICES -- 0.1%
10,500 Fritz Companies, Inc.+................ 166,688
------------
INSURANCE -- 5.4%
10,700 ALLIED Group Inc. .................... 345,075
13,000 American Bankers Insurance Group
Inc. ................................ 838,500
5,600 Capital Re Corporation................ 359,800
3,100 Executive Risk Inc. .................. 220,875
10,600 Fidelity National Financial Inc. ..... 389,550
8,400 First American Financial
Corporation.......................... 537,600
10,500 Fremont General Corporation........... 617,531
10,400 Frontier Insurance Group Inc. ........ 287,300
3,700 Hilb, Rogal and Hamilton Company...... 68,681
4,800 Life Re Corporation................... 354,000
7,900 NAC Re Corp. ......................... 414,256
10,900 Orion Capital Corporation............. 596,094
8,700 Protective Life Corporation........... 635,100
10,600 Selective Insurance Group............. 284,875
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE> 43
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
INSURANCE -- (CONTINUED)
4,500 Sierra Health Services+............... $ 179,438
3,600 Trenwick Group Inc. .................. 135,000
------------
6,263,675
------------
IRON/STEEL -- 0.1%
8,400 Birmingham Steel Corporation.......... 137,550
6,200 Northwestern Steel & Wire Company+.... 22,669
------------
160,219
------------
MACHINERY AND EQUIPMENT -- 2.3%
9,000 Applied Industrial Technologies,
Inc. ................................ 242,438
5,900 Applied Power Inc., Class A........... 227,150
14,700 Astec Industries+..................... 374,850
8,800 Baldor Electric Company............... 237,050
10,500 Blount International Corporation,
Class A.............................. 312,375
3,700 Flow International Corporation+....... 37,694
8,700 Global Industrial Technologies
Inc.+................................ 143,550
5,600 Kuhlman Corporation................... 272,650
1,400 Lindsay Manufacturing Company......... 63,788
5,900 Manitowoc Inc. ....................... 227,886
10,400 Paxar Corporation+.................... 147,550
6,200 Regal Beloit.......................... 196,850
6,100 Robbins & Meyers, Inc. ............... 232,563
------------
2,716,394
------------
MANUFACTURING -- 1.5%
4,800 Belden Inc. .......................... 201,000
31,500 Dixie Group Inc. ..................... 364,219
8,400 Griffon Corporation+.................. 133,350
6,200 Insteel Industries, Inc. ............. 49,213
4,300 Innovex, Inc. ........................ 104,813
3,900 Integrated Circuit Systems, Inc.+..... 81,656
13,800 JLG Industries, Inc. ................. 229,425
8,400 O'Sullivan Corporation.+.............. 78,750
6,300 Smith (A.O.) Corporation.............. 281,925
6,100 Trimble Navigation Limited
Designs.+............................ 108,656
5,900 Vicor Corporation.+................... 166,306
------------
1,799,313
------------
MEDICAL PRODUCTS AND SUPPLIES -- 2.3%
2,900 Collagen Corporation.................. 64,163
4,600 Cooper Companies Inc. (The)+.......... 195,213
6,200 IDEXX Laboratories Inc.+.............. 111,600
3,700 Mentor Corporation (Minnesota)........ 102,213
8,500 Owens & Minor Inc. (New).............. 153,531
9,400 Patterson Dental Company+............. 291,400
8,050 PSS World Medical, Inc.+.............. 189,175
5,000 Respironics, Inc.+.................... 144,688
7,700 Safeskin Corporation+................. 568,838
6,300 Sola International, Inc.+............. 261,056
1,400 SpaceLabs Medical, Inc.+.............. 30,975
8,400 STERIS Corporation+................... 453,600
3,700 Sunrise Medical, Inc.+................ 58,969
3,400 Vital Signs, Inc. .................... 76,922
300 Zoll Medical Corporation+............. 1,688
------------
2,704,031
------------
MEDICAL SERVICES -- 3.9%
4,900 ADAC laboratories Designs............. 113,313
9,300 Cerner Corporation+................... 199,369
4,400 Express Scripts, Inc., Class A+....... 373,038
10,100 Genesis Health Ventures+.............. 284,063
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
MEDICAL SERVICES -- (CONTINUED)
18,300 Integrated Health Services Inc. ...... $ 719,419
6,800 Invacare Corporation.................. 176,800
9,000 Lincare Holdings Inc.+................ 635,625
8,000 Magellan Health Services Inc.+........ 208,000
15,300 Mariner Health Group, Inc.+........... 262,013
12,726 Paragon Health Network Inc.+.......... 252,927
14,800 PhyCor Inc.+.......................... 333,925
4,700 Protein Design Labs, Inc.+............ 184,475
6,200 Renal Care Group, Inc.+............... 235,600
10,800 Universal Health Services, Inc., Class
B+................................... 623,700
------------
4,602,267
------------
METALS AND MINING -- 0.6%
14,800 AMCOL International Corporation....... 223,850
3,700 Castle (A.M.) & Company............... 85,563
4,700 Commonwealth Industries Inc. ......... 81,956
3,700 Handy & Harman........................ 130,194
4,400 Materials Sciences Corporation+....... 48,125
13,300 Steel Technologies Inc. .............. 159,184
700 WHX Corporation+...................... 11,419
------------
740,291
------------
METAL PROCESSORS & FABRICATES -- 0.8%
5,500 Amcast Industrial Corporation......... 118,937
6,600 Mueller Industries, Inc.+............. 417,863
6,000 Quanex Corporation.................... 180,375
5,600 Wolverine Tube, Inc.+................. 224,700
------------
941,875
------------
OFFICE SUPPLIES -- 0.2%
6,000 Brady (WH) Company.................... 201,000
325 Gradco Systems Inc+................... 2,316
------------
203,316
------------
OIL AND GAS -- 1.7%
7,900 Cabot Oil & Gas Corporation........... 178,738
14,400 Cross Timbers Oil Company............. 289,800
11,100 Devon Energy Corporation.............. 431,513
18,600 Input/Output, Inc+.................... 434,775
9,490 Ocean Energy, Inc.+................... 223,607
100 St. Mary Land & Exploration........... 3,822
18,800 Vintage Petroleum Inc. ............... 394,800
------------
1,957,055
------------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 0.7%
4,800 New Jersey Resources Corporation...... 188,100
11,800 Pool Energy Services Company+......... 275,825
6,400 Seitel, Inc.+......................... 96,800
4,900 Wicor, Inc. .......................... 237,038
------------
797,763
------------
OIL AND GAS -- EXPLORATION -- 1.5%
6,800 Benton Oil & Gas Company+............. 75,225
14,400 Energen Corporation................... 316,800
8,700 HS Resources, Inc.+................... 135,938
4,900 KCS Energy Inc. ...................... 78,400
8,700 Northwest Natural Gas Company......... 244,688
8,400 Plains Resources, Inc.+............... 142,800
4,300 Pogo Producing Company................ 136,525
5,600 Remington Oil & Gas Corporation Class
B+................................... 34,650
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE> 44
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
OIL AND GAS -- EXPLORATION -- (CONTINUED)
31,200 Santa Fe Energy Resources, Inc.+...... $ 343,200
8,500 Snyder Oil Corporation................ 173,186
9,900 Southwestern Energy Company........... 105,188
------------
1,786,600
------------
OIL AND GAS -- EXTRACTION -- 0.7%
10,800 New Field Exploration Company+........ 281,475
9,700 Oceaneering International, Inc.+...... 191,575
16,900 Pride International, Inc.+............ 403,488
------------
876,538
------------
PAPER AND FOREST PRODUCTS -- 0.7%
10,300 Buckeye Technologies Inc.+............ 218,875
6,700 Caraustar Industries, Inc. ........... 221,100
8,300 Pope & Talbot Inc. ................... 126,056
6,500 Schweitzer-Maudit International,
Inc. ................................ 224,250
------------
790,281
------------
PHARMACEUTICALS -- 0.7%
6,200 ALPHARMA Inc., Class A................ 134,463
1,400 Cor Therapeutics, Inc.+............... 17,325
10,200 PharmaceuticalMarketing Services+..... 150,450
12,200 Roberts Pharmaceutical Corporation+... 173,850
6,200 Regeneron Pharmaceuticals, Inc.+...... 45,725
13,600 SEQUUS Pharmaceuticals, Inc+.......... 143,650
10,800 Syncor International Corporation+..... 196,425
------------
861,888
------------
POLLUTION CONTROL -- 0.1%
12,400 OHM Corporation+...................... 166,625
------------
PRINTING AND PUBLISHING -- 1.6%
10,100 Bowne & Co., Inc...................... 417,888
11,500 Merrill Corporation................... 253,000
6,500 Thomas Nelson Publisher............... 89,375
13,500 Valassis Communications, Inc.+........ 553,500
14,700 World Color Press, Inc.+.............. 510,825
------------
1,824,588
------------
PRODUCER GOODS -- 0.4%
1,800 Dionex Corporation+................... 100,350
4,400 Lydall, Inc.+......................... 79,475
6,600 Zebra Technologies Corporation, Class
A+................................... 254,100
------------
433,925
------------
PROFESSIONAL SERVICES -- 1.4%
5,900 CDI Corporation+...................... 254,069
6,200 Norrell Corporation................... 139,888
13,200 Offshore Logistics, Inc.+............. 262,350
6,700 DeVRY, Inc.+.......................... 229,056
6,500 Franklin Covey Company+............... 158,031
6,300 National Data Corporation............. 261,844
2,900 NFO Worldwide, Inc.+.................. 60,900
4,400 Volt Information Sciences, Inc.+...... 245,300
------------
1,611,438
------------
RECREATION -- 2.2%
9,000 Arctic Cat Inc. ...................... 83,813
8,100 Aztar Corporation+.................... 69,863
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
RECREATION -- (CONTINUED)
28,400 Bell Sports Corporation+.............. $ 243,175
4,900 Carmike Cinemas, Inc., Class A+....... 157,413
3,400 GC Companies+......................... 177,863
32,900 Grand Casinos, Inc.+.................. 561,356
600 Global Motorsport Group Inc.+......... 10,875
7,500 Hollywood Park, Inc.+................. 88,125
8,700 Huffy Corporation..................... 140,831
4,600 K2 Inc. .............................. 102,635
6,200 Players International Inc.+........... 30,613
10,300 Regal Cinemas Inc.+................... 309,000
3,800 Showboat, Inc. ....................... 113,763
5,600 Thor Industries, Inc. ................ 229,250
6,400 Winnebago Industries.................. 75,600
6,200 WMS Industries, Inc.+................. 194,138
------------
2,588,313
------------
RESTAURANTS AND LODGING -- 3.1%
8,700 Applebee's International, Inc. ....... 201,188
4,400 Capstar Hotel Company+................ 152,625
3,900 Cheesecake Factory (The)+............. 129,919
12,100 CKE Restaurants Inc. ................. 444,675
6,500 Consolidated Products, Inc.+.......... 125,125
14,300 Foodmaker, Inc.+...................... 277,060
5,900 IHOP Corporation+..................... 226,413
7,200 Landry's Seafood Restaurants, Inc.+... 221,400
6,600 Luby's Cafeterias Inc. ............... 125,400
10,900 Marcus Corporation.................... 192,113
16,600 Prime Hospitality Corporation+........ 323,700
9,900 Ruby Tuesday Inc. .................... 311,850
20,700 Ryan's Family Steak Houses, Inc.+..... 187,594
9,900 ShowBiz Pizza Time, Inc.+............. 329,794
5,800 Sonic Corporation+.................... 194,300
5,600 Taco Cabana, Class A+................. 38,500
14,700 TCBY Enterprises, Inc. ............... 147,000
------------
3,628,656
------------
RETAIL -- DISCOUNT -- 1.1%
8,500 Filene's Basement Corporation+........ 45,688
17,300 Ross Stores, Inc. .................... 763,363
15,400 Shopko Stores, Inc. .................. 487,987
------------
1,297,038
------------
RETAIL -- GENERAL -- 1.2%
16,600 Arbor Drugs Inc. ..................... 391,137
28,600 Cash America International Inc. ...... 464,750
7,200 Damark International, Inc., Class
A+................................... 89,100
6,300 Hancock Fabrics, Inc. ................ 98,044
8,900 MicroAge Inc.+........................ 112,363
7,100 Regis Corporation..................... 213,000
------------
1,368,394
------------
RETAIL -- SPECIALTY -- 3.4%
22,400 Cato Corporation, Class A............. 266,000
6,300 Designs, Inc.+........................ 12,600
6,300 Discount Auto Parts, Inc.+............ 152,775
14,100 Dress Barn, Inc.+..................... 405,375
6,800 Eagle Hardware & Garden, Inc.+........ 119,850
9,900 Fabri-Centers of America, Class A+.... 308,138
3,300 Galoob Toys, Inc.+.................... 32,794
9,300 Lillian Vernon Corporation............ 162,169
6,000 Men's Warehouse Inc., The+............ 222,000
17,900 Michaels Stores, Inc.+................ 669,013
5,900 O'Reilly Automotive+.................. 162,619
18,800 Pier 1 Imports, Inc. ................. 509,950
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE> 45
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
RETAIL -- SPECIALTY -- (CONTINUED)
6,100 Stein Mart, Inc+...................... $ 217,311
10,800 Sports Authority, Inc (The)+.......... 176,850
3,600 Toro Company.......................... 137,925
7,200 Williams-Sonoma, Inc+................. 416,700
------------
3,972,069
------------
SAVINGS AND LOANS -- 0.8%
10,500 Downey Financial Corporation.......... 339,938
32,000 Sovereign Bancorp Inc. ............... 582,000
------------
921,938
------------
SEMICONDUCTORS -- 1.3%
4,200 Etec Systems, Inc.+................... 247,800
14,900 International Rectifier
Corporation+......................... 175,075
4,200 Lattice Semiconductor Corporation+.... 216,037
10,400 Novellus Systems, Inc.+............... 449,800
6,400 Photronics, Inc.+..................... 179,200
6,600 Plexus Corporation+................... 131,175
4,300 Speedfam International, Inc.+......... 110,994
------------
1,510,081
------------
TECHNOLOGY -- 2.4%
3,800 Amtech Corporation+................... 14,963
12,000 Digital Microwave Corporation+........ 177,000
4,900 Marshall Industries+.................. 163,537
11,500 Macdermid Inc. ....................... 330,625
15,800 Progress Software Inc.+............... 474,000
13,200 S3 Incorporated+...................... 93,225
17,700 Sterling Software Inc.+............... 1,000,050
18,800 Telxon Corporation.................... 498,200
5,600 Valence Technology, Inc+.............. 27,650
------------
2,779,250
------------
TELECOMMUNICATIONS -- 1.3%
6,700 Allen Telecom Inc+.................... 105,525
8,100 Aspect Telecommunications+............ 217,181
4,700 California Microwave, Inc+............ 100,463
2,300 Dialogic Corporations+................ 98,181
18,100 Digi International Inc+............... 498,881
14,500 Tel-Save Holdings, Inc.+.............. 329,875
1,400 Centigram Communications
Corporation+......................... 18,550
10,500 Network Equipment Technologies,
Inc.+................................ 170,625
------------
1,539,281
------------
TOBACCO -- 0.2%
16,600 DiMon Inc. ........................... 277,013
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION -- AIRLINES -- 1.5%
9,300 Air Express International
Corporation.......................... $ 247,031
8,100 American Freightways Inc.+............ 89,100
19,800 Comair Holdings, Inc. ................ 524,700
6,700 Expeditors International of
Washington, Inc. .................... 287,263
6,600 Pittston Burlington Group............. 103,125
12,100 Skywest Inc. ......................... 441,650
------------
1,692,869
------------
TRANSPORTATION -- MARINE -- 0.2%
8,700 Kirby Corporation+.................... 209,339
------------
TRANSPORTATION -- RAILROADS -- 0.3%
1,400 Railtex, Inc.+........................ 23,100
10,300 U.S. Freightways Corporation.......... 370,800
------------
393,900
------------
TRUCKING AND SHIPPING -- 1.7%
17,100 Arkansas Best Corporation+............ 187,031
3,800 Frozen Foods Express Industries....... 35,863
8,400 Heartland Express Inc.+............... 233,100
3,600 Landstar System Inc.+................. 116,100
9,000 M.S. Carriers, Inc.+.................. 304,875
27,900 Rollins Truck Leasing Corporation..... 385,369
5,000 Wabash National Corporation........... 145,000
13,500 Werner Enterprises Inc. .............. 344,250
13,800 Yellow Corporation+................... 263,925
------------
2,015,513
------------
UTILITIES -- NATURAL GAS -- 1.5%
7,200 Atmos Energy Corporation.............. 213,300
3,300 Cascade Natural Gas Corporation....... 54,450
3,800 Connecticut Energy Corporation........ 116,850
8,700 KN Energy, Inc. ...................... 513,843
800 Pennsylvania Enterprises, Inc. ....... 20,200
10,700 Piedmont Natural Gas Company, Inc. ... 371,825
6,200 Public Service Company of North
Carolina, Inc. ...................... 127,100
6,700 Southwest Gas Corporation............. 139,863
7,900 Valmont Industries Inc. .............. 191,575
------------
1,749,006
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE> 46
NATIONS FUNDS
Nations Managed SmallCap Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- WATER -- 0.5%
3,700 Aquarion Company...................... $ 120,019
1,400 Consumers Water Company............... 28,875
5,901 Philadelphia Suburban Corporation..... 127,240
3,700 Southern California Water Company..... 96,200
9,900 United Water Resources, Inc. ......... 178,819
------------
551,153
------------
WIRE AND CABLE PRODUCTS -- 0.5%
15,400 Anixter International Inc.+........... 283,938
8,200 Cable Design Technologies+............ 247,025
------------
530,963
------------
TOTAL COMMON STOCKS
(Cost $91,172,075).................... 116,307,082
------------
INVESTMENT COMPANY -- 2.7% (Cost $3,165,000)
3,165,000 Nations Cash Reserves(a).............. 3,165,000
------------
TOTAL SECURITIES
(Cost $94,337,075)................... 119,472,082
------------
TOTAL INVESTMENTS
(Cost $94,337,075*)....................... 102.2% 119,472,082
OTHER ASSETS AND
LIABILITIES (NET)......................... (2.2) (2,582,687)
----- ------------
NET ASSETS................................. 100.0% $116,889,395
===== ============
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $26,296,911 and gross
depreciation of $2,403,352 for federal income tax purposes. At March 31,
1998, the aggregate cost of securities for federal income tax purposes was
$95,578,523.
+ Non-income producing security.
(a) Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by TradeStreet Investment Associates, Inc.
Comprehensive Abbreviation listing for all 3/31/98 Nations Managed Index Funds
<TABLE>
<S> <C>
ABBREVIATIONS:
ADR American Depositary Receipt
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE> 47
NATIONS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 1998
<TABLE>
<CAPTION>
MANAGED
MANAGED SMALLCAP MANAGED
VALUE MANAGED VALUE SMALLCAP
INDEX INDEX INDEX INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (See accompanying schedules).......... $9,614,530 $403,248,974 $3,916,234 $119,472,082
Cash........................................................ 84 608 167 585
Short-term investments held as collateral for loaned
securities................................................ -- 1,190,343 -- 3,226,229
Dividends receivable........................................ 11,307 447,496 1,964 61,529
Receivable for Fund shares sold............................. 19,984 791,014 3,417 632,533
Receivable from investment advisor.......................... 14,001 7,304 14,522 --
Variation margin on future contracts........................ -- 7,200 -- --
Unamortized organization costs.............................. -- 6,447 -- 6,485
Prepaid expenses and other assets........................... 61,282 20,878 58,870 --
---------- ------------ ---------- ------------
Total Assets.............................................. 9,721,188 405,720,264 3,995,174 123,399,443
---------- ------------ ---------- ------------
LIABILITIES:
Collateral on securities loaned............................. -- 1,190,343 -- 3,226,229
Payable for Fund shares redeemed............................ -- 123,481 -- 92,231
Payable for investment securities purchased................. -- -- -- 3,079,410
Investment advisory fee payable............................. 670 80,428 193 13,476
Administration fee payable.................................. 796 29,331 329 9,211
Shareholder servicing and distribution fees payable......... 1,763 15,044 1,302 5,019
Transfer agent fees payable................................. 1,963 21,717 1,619 4,062
Custodian fees payable...................................... 4,000 15,344 4,000 34,598
Accrued Trustees' fees and expenses......................... 135 6,718 70 1,270
Accrued expenses and other payables......................... 7,925 -- 6,241 44,542
---------- ------------ ---------- ------------
Total Liabilities......................................... 17,252 1,482,406 13,754 6,510,048
---------- ------------ ---------- ------------
NET ASSETS.................................................. $9,703,936 $404,237,858 $3,981,420 $116,889,395
========== ============ ========== ============
Investments, at cost........................................ $8,619,231 $263,024,526 $3,435,948 $ 94,337,075
========== ============ ========== ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE> 48
NATIONS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) MARCH 31, 1998
<TABLE>
<CAPTION>
MANAGED
MANAGED SMALLCAP MANAGED
VALUE MANAGED VALUE SMALLCAP
INDEX INDEX INDEX INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid-in capital............................................. $8,708,568 $261,700,013 $3,471,549 $ 91,756,974
Undistributed net investment income......................... 1,265 17,276 775 11,400
Accumulated net realized gain/(loss) on investments sold and
futures contracts......................................... (1,196) 2,292,081 28,810 (13,986)
Net unrealized appreciation of investments and futures
contracts................................................. 995,299 140,228,488 480,286 25,135,007
---------- ------------ ---------- ------------
$9,703,936 $404,237,858 $3,981,420 $116,889,395
========== ============ ========== ============
NET ASSETS:
Primary A Shares............................................ $7,330,214 $374,503,607 $2,105,931 $102,437,310
Primary B Shares............................................ -- 3,217 -- 159,929
Investor A Shares........................................... 2,369,649 25,446,712 1,859,404 13,768,330
Investor C Shares........................................... 4,073 4,284,322 16,085 523,826
SHARES OUTSTANDING:
Primary A Shares............................................ 647,457 21,854,994 183,771 7,266,768
Primary B Shares............................................ -- 188 -- 11,350
Investor A Shares........................................... 209,306 1,484,868 162,260 977,519
Investor C Shares........................................... 360 249,970 1,404 37,172
PRIMARY A SHARES:
Net asset value, offering and redemption price per share.... $11.32 $17.14 $11.46 $14.10
PRIMARY B SHARES:
Net asset value, offering and redemption price per share.... -- $17.11 -- $14.09
INVESTOR A SHARES:
Net asset value, offering and redemption price per share.... $11.32 $17.14 $11.46 $14.08
INVESTOR C SHARES:
Net asset value, offering and redemption price per share.... $11.32 $17.14 $11.46 $14.09
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE> 49
NATIONS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1998
<TABLE>
<CAPTION>
MANAGED
MANAGED SMALLCAP MANAGED
VALUE MANAGED VALUE SMALLCAP
INDEX(a) INDEX INDEX(b) INDEX
----------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends................................................... $ 47,786 $ 2,731,510 $ 12,644 $ 761,327
Interest.................................................... 4,156 126,140 3,361 88,659
Securities lending.......................................... -- 2,077 -- 15,275
---------- ------------ -------- -----------
Total investment income............................... 51,942 2,859,727 16,005 865,261
---------- ------------ -------- -----------
EXPENSES:
Investment advisory fee..................................... 11,695 810,013 6,094 419,108
Administration fee.......................................... 2,339 162,003 1,219 83,822
Transfer agent fees......................................... 1,964 82,099 1,619 46,418
Custodian fees.............................................. 9,826 74,596 10,228 153,989
Legal and audit fees........................................ 5,084 21,605 5,046 19,024
Registration and filing fees................................ 3,900 114,795 2,064 99,105
Trustees' fees and expenses................................. 142 7,188 77 1,716
Amortization of organization costs.......................... -- 1,842 -- 1,853
Interest expense............................................ 75 6,641 474 12,742
Other....................................................... 1,789 20,321 172 26,827
---------- ------------ -------- -----------
Subtotal................................................ 36,814 1,301,103 26,993 864,604
Shareholder servicing and distribution fees:
Primary B Shares.......................................... -- 8 -- 1,026
Investor A Shares......................................... 1,760 30,542 1,291 19,228
Investor C Shares......................................... 3 9,879 23 1,100
Fees waived and expenses reimbursed by investment adviser... (25,026) (485,549) (20,423) (432,196)
---------- ------------ -------- -----------
Total expenses........................................ 13,551 855,983 7,884 453,762
Fees reduced by credits allowed by the custodian............ (39) (38) (26) (993)
---------- ------------ -------- -----------
Net expenses.......................................... 13,512 855,945 7,858 452,769
---------- ------------ -------- -----------
NET INVESTMENT INCOME....................................... 38,430 2,003,782 8,147 412,492
---------- ------------ -------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS:
Net realized gain/(loss) from:
Security transactions..................................... (1,196) 1,657,892 28,810 2,070,618
Futures contracts......................................... -- 642,555 -- --
---------- ------------ -------- -----------
Net realized gain/(loss) on investments..................... (1,196) 2,300,447 28,810 2,070,618
---------- ------------ -------- -----------
Change in unrealized appreciation of:
Securities (Note 8)....................................... 995,299 64,006,415 480,286 27,093,286
Future contracts.......................................... -- 4,040 -- --
---------- ------------ -------- -----------
Net change in unrealized appreciation of investments........ 995,299 64,010,455 480,286 27,093,286
---------- ------------ -------- -----------
Net realized and unrealized gain on investments............. 994,103 66,310,902 509,096 29,163,904
---------- ------------ -------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $1,032,533 $ 68,314,684 $517,243 $29,576,396
========== ============ ======== ===========
</TABLE>
- ---------------
(a) Managed Value Index commenced operations on November 24, 1997.
(b) Managed SmallCap Value Index commenced operations on November 24, 1997.
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE> 50
NATIONS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MANAGED
VALUE INDEX MANAGED INDEX
------------ ----------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED
3/31/98(a) 3/31/98 3/31/97(b)
--------------------------------------------
<S> <C> <C> <C>
Net investment income....................................... $ 38,430 $ 2,003,782 $ 376,759
Net realized gain on investments............................ (1,196) 2,300,447 660,407
Net change in unrealized appreciation/(depreciation) of
investments............................................... 995,299 64,010,455 2,880,648
---------- ------------ -----------
Net increase in net assets resulting from operations........ 1,032,533 68,314,684 3,917,814
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (29,056) (1,917,398) (346,136)
Primary B Shares.......................................... -- (10) --
Investor A Shares......................................... (8,100) (116,636) (14,348)
Investor C Shares......................................... (9) (14,048) (235)
Distributions to shareholders in excess of net investment
income:
Primary A Shares.......................................... -- -- --
Primary B Shares.......................................... -- -- --
Investor A Shares......................................... -- -- --
Investor C Shares......................................... -- -- --
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... -- (602,933) --
Primary B Shares.......................................... -- -- --
Investor A Shares......................................... -- (48,138) --
Investor C Shares......................................... -- (17,699) --
Net increase in net assets from Fund share transactions:
Primary A Shares.......................................... 6,655,737 271,965,726 38,677,375
Primary B Shares.......................................... -- 2,735 --
Investor A Shares......................................... 2,049,124 17,935,409 3,027,866
Investor C Shares......................................... 3,707 3,388,586 85,234
---------- ------------ -----------
Net increase in net assets.................................. 9,703,936 358,890,278 45,347,570
NET ASSETS:
Beginning of year........................................... -- 45,347,580 10
---------- ------------ -----------
End of year................................................. $9,703,936 $404,237,858 $45,347,580
========== ============ ===========
Undistributed net investment income at end of year.......... $ 1,265 $ 17,276 $ 59,744
========== ============ ===========
</TABLE>
- ---------------
(a) Managed Value Index commenced operations on November 24, 1997.
(b) Managed Index commenced operations on July 31, 1996.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE> 51
NATIONS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MANAGED SMALLCAP
VALUE INDEX MANAGED SMALLCAP INDEX
---------------- ----------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED
3/31/98(c) 3/31/98 3/31/97(d)
------------------------------------------------
<S> <C> <C> <C>
Net investment income....................................... $ 8,147 $ 412,492 $ 94,642
Net realized gain on investments............................ 28,810 2,070,618 221,580
Net unrealized appreciation/(depreciation) of investments... 480,286 27,093,286 (1,958,279)
---------- ------------ -----------
Net increase/(decrease) in net assets resulting from 517,243 29,576,396 (1,642,057)
operations................................................
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (5,007) (392,253) (94,006)
Primary B Shares.......................................... -- (228) (116)
Investor A Shares......................................... (2,350) (21,208) (505)
Investor C Shares......................................... (15) (143) (15)
Distributions to shareholders in excess of net investment
income:
Primary A Shares.......................................... -- -- (1,585)
Primary B Shares.......................................... -- -- (5)
Investor A Shares......................................... -- -- (9)
Investor C Shares......................................... -- -- --
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... -- (2,070,401) --
Primary B Shares.......................................... -- (4,945) --
Investor A Shares......................................... -- (226,466) --
Investor C Shares......................................... -- (4,164) --
Net increase in net assets from Fund share transactions:
Primary A Shares.......................................... 1,812,961 36,945,743 42,567,497
Primary B Shares.......................................... -- 9,088 91,010
Investor A Shares......................................... 1,644,463 11,359,879 349,649
Investor C Shares......................................... 14,125 428,234 19,995
---------- ------------ -----------
Net increase in net assets.................................. 3,981,420 75,599,532 41,289,853
NET ASSETS:
Beginning of year........................................... -- 41,289,863 10
---------- ------------ -----------
End of year................................................. $3,981,420 $116,889,395 $41,289,863
========== ============ ===========
Undistributed net investment income at end of year.......... $ 775 $ 11,400 $ 10,679
========== ============ ===========
</TABLE>
- ---------------
(c) Managed SmallCap Value Index commenced operations on November 24, 1997.
(d) Managed SmallCap Index commenced operations on October 15, 1996.
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE> 52
NATIONS FUNDS
- --------------------------------------------------------------------------------
SCHEDULE OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
MANAGED VALUE INDEX MANAGED INDEX
PERIOD ENDED YEAR ENDED PERIOD ENDED
MARCH 31, 1998(a) MARCH 31, 1998(c) MARCH 31, 1997(b)
----------------------- -------------------------- ------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PRIMARY A SHARES:
Sold......................................... 863,139 $ 8,875,535 11,837,517 $183,806,029 3,689,780 $40,404,536
Issued in exchange for Assets of NationsBank
Common Trust Equity Index/Enhanced Market
Fund (Note 8).............................. 9,700,456 137,455,457 -- --
Issued as reinvestment of dividends.......... 2,514 27,674 81,985 1,155,891 26,353 308,705
Redeemed..................................... (218,196) (2,247,472) (3,315,976) (50,451,651) (165,121) (2,035,866)
-------- ----------- ---------- ------------ --------- -----------
Net increase................................. 647,457 $ 6,655,737 18,303,982 $271,965,726 3,551,012 $38,677,375
-------- ----------- ---------- ------------ --------- -----------
PRIMARY B SHARES:
Sold......................................... -- $ -- 188 $ 2,735 -- $ --
Issued as reinvestment of dividends.......... -- -- -- -- -- --
Redeemed..................................... -- -- -- -- -- --
-------- ----------- ---------- ------------ --------- -----------
Net increase................................. -- $ -- 188 $ 2,735 -- $ --
-------- ----------- ---------- ------------ --------- -----------
INVESTOR A SHARES:
Sold......................................... 437,965 $ 4,411,191 1,473,301 $ 21,672,456 262,757 $ 3,116,171
Issued as reinvestment of dividends.......... 733 8,041 10,286 144,740 1,165 14,151
Redeemed..................................... (229,392) (2,370,108) (254,125) (3,881,787) (8,516) (102,456)
-------- ----------- ---------- ------------ --------- -----------
Net increase................................. 209,306 $ 2,049,124 1,229,462 $ 17,935,409 255,406 $ 3,027,866
-------- ----------- ---------- ------------ --------- -----------
INVESTOR C SHARES:
Sold......................................... 359 $ 3,698 298,771 $ 4,214,106 7,424 $ 90,744
Issued as reinvestment of dividends.......... 1 9 2,302 32,403 33 392
Redeemed..................................... -- -- (58,090) (857,923) (470) (5,902)
-------- ----------- ---------- ------------ --------- -----------
Net increase................................. 360 $ 3,707 242,983 $ 3,388,586 6,987 $ 85,234
-------- ----------- ---------- ------------ --------- -----------
</TABLE>
- ---------------
(a) Managed Value Index commenced operations on November 24, 1997.
(b) Managed Index commenced operations on July 31, 1996.
(c) Managed Index Primary B Shares commenced operations on September 4, 1997.
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE> 53
NATIONS FUNDS
- --------------------------------------------------------------------------------
SCHEDULE OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED SMALLCAP
VALUE INDEX MANAGED SMALLCAP INDEX
PERIOD ENDED YEAR ENDED PERIOD ENDED
MARCH 31, 1998(b) MARCH 31, 1998 MARCH 31, 1997(c)
----------------------- -------------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PRIMARY A SHARES:
Sold........................................ 284,487 $ 2,883,313 7,842,387 $ 95,131,109 4,852,113 $49,652,580
Issued as reinvestment of dividends......... 441 4,687 73,245 917,467 2,903 28,920
Redeemed.................................... (101,157) (1,075,039) (4,805,633) (59,102,833) (698,247) (7,114,003)
-------- ----------- ---------- ------------ ---------- -----------
Net increase................................ 183,771 $ 1,812,961 3,109,999 $ 36,945,743 4,156,769 $42,567,497
-------- ----------- ---------- ------------ ---------- -----------
PRIMARY B SHARES:
Sold........................................ -- $ -- 17,077 $ 196,943 8,788 $ 91,010
Issued as reinvestment of dividends......... -- -- 67 841 -- --
Redeemed.................................... -- -- (14,582) (188,696) -- --
-------- ----------- ---------- ------------ ---------- -----------
Net increase................................ -- $ -- 2,562 $ 9,088 8,788 $ 91,010
-------- ----------- ---------- ------------ ---------- -----------
INVESTOR A SHARES:
Sold........................................ 386,757 $ 3,911,988 1,260,477 $ 15,372,377 34,925 $ 359,548
Issued as reinvestment of dividends......... 217 2,341 19,178 242,776 51 513
Redeemed.................................... (224,714) (2,269,866) (336,105) (4,255,274) (1,007) (10,412)
-------- ----------- ---------- ------------ ---------- -----------
Net increase................................ 162,260 $ 1,644,463 943,550 $ 11,359,879 33,969 $ 349,649
-------- ----------- ---------- ------------ ---------- -----------
INVESTOR C SHARES:
Sold........................................ 1,466 $ 14,790 38,832 $ 474,391 1,917 $ 19,980
Issued as reinvestment of dividends......... 1 15 326 4,067 2 15
Redeemed.................................... (63) (680) (3,905) (50,224) -- --
-------- ----------- ---------- ------------ ---------- -----------
Net increase................................ 1,404 $ 14,125 35,253 $ 428,234 1,919 $ 19,995
-------- ----------- ---------- ------------ ---------- -----------
</TABLE>
- ---------------
(b) Managed SmallCap Value Index commenced operations on November 24, 1997.
(c) Managed SmallCap Index commenced operations on October 15, 1996.
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE> 54
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET REALIZED
NET ASSET AND NET INCREASE IN DIVIDENDS DISTRIBUTIONS TOTAL
VALUE NET UNREALIZED NET ASSET FROM NET FROM NET DIVIDENDS
BEGINNING INVESTMENT GAIN ON VALUE FROM INVESTMENT REALIZED AND
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MANAGED VALUE INDEX
PRIMARY A
Period ended
03/31/1998*#............. $10.00 $0.07 $1.31 $1.38 $(0.06) -- $(0.06)
INVESTOR A
Period ended
03/31/1998*#............. $10.00 $0.05 $1.32 $1.37 $(0.05) -- $(0.05)
INVESTOR C
Period ended
03/31/1998*#............. $10.00 $0.04 $1.33 $1.37 $(0.05) -- $(0.05)
</TABLE>
- ---------------
* Managed Value Index Primary A, Investor A and Investor C commenced
operations on November 24, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
share method.
(a) Average commission rate paid per share of securities purchased and sold by
the Fund.
(b) The effect of the fees reduced by credits allowed by the custodian on the
operating expense ratio, with and without waivers and/or expense
reimbursements, was less than 0.01%.
(c) 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
NET ASSETS OPERATING NET INVESTMENT OPERATING
NET ASSET END OF EXPENSES TO INCOME PORTFOLIO EXPENSES TO AVERAGE
VALUE TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE COMMISSION
END OF PERIOD RETURN++ (IN 000'S) NET ASSETS NET ASSETS RATE NET ASSETS RATE PAID(a)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$11.32 13.78% $7,330 0.50%+(b)(c) 1.72%+ 3% 1.57%+(b) $0.0255
$11.32 13.68% $2,370 0.75%+(b)(c) 1.47%+ 3% 1.82%+(b) $0.0255
$11.32 13.69% $ 4 1.00%+(b)(c) 1.22%+ 3% 2.07%+(b) $0.0255
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE> 56
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE IN DIVIDENDS
VALUE NET AND UNREALIZED NET ASSET VALUE FROM NET
BEGINNING INVESTMENT GAIN ON FROM INVESTMENT
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MANAGED INDEX
PRIMARY A
Year ended 03/31/1998........................ $11.89 $0.15 $5.42 $5.57 $(0.17)
Period ended 03/31/1997*..................... 10.00 0.15 1.87 2.02 (0.13)
PRIMARY B
Period ended 03/31/1998**.................... $14.52 $0.14 $2.73 $2.87 $(0.13)
INVESTOR A
Year ended 03/31/1998........................ $11.89 $0.14 $5.40 $5.54 $(0.14)
Period ended 03/31/1997*..................... 10.00 0.12 1.89 2.01 (0.12)
INVESTOR C
Year ended 03/31/1998........................ $11.90 $0.10 $5.39 $5.49 $(0.10)
Period ended 03/31/1997*..................... 10.00 0.11 1.90 2.01 (0.11)
<CAPTION>
DISTRIBUTIONS TOTAL
FROM NET DIVIDENDS
REALIZED AND
CAPITAL GAINS DISTRIBUTIONS
-----------------------------
<S> <C> <C>
MANAGED INDEX
PRIMARY A
Year ended 03/31/1998........................ $(0.15) $(0.32)
Period ended 03/31/1997*..................... -- (0.13)
PRIMARY B
Period ended 03/31/1998**.................... $(0.15) $(0.28)
INVESTOR A
Year ended 03/31/1998........................ $(0.15) $(0.29)
Period ended 03/31/1997*..................... -- (0.12)
INVESTOR C
Year ended 03/31/1998........................ $(0.15) $(0.25)
Period ended 03/31/1997*..................... -- (0.11)
</TABLE>
- ---------------
* Managed Index Primary A, Investor A and Investor C shares commenced
operations on July 31, 1996.
** Managed Index Primary B Shares commenced operations on September 4, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
(a) Average commission rate paid per share of securities purchased and sold by
the Fund.
(b) The effect of the fees reduced by credits allowed by the custodian on the
operating expense ratio, with and without waivers and/or expense
reimbursements, was less than 0.01%.
(c) 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>
WITHOUT WAIVERS AND/OR
EXPENSE REIMBURSEMENTS
----------------------
RATIO OF RATIO OF RATIO OF
NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING
VALUE END OF EXPENSES TO INCOME PORTFOLIO EXPENSES TO AVERAGE
END OF TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE COMMISSION
PERIOD RETURN++ (IN 000'S) NET ASSETS NET ASSETS RATE NET ASSETS RATE PAID(a)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$17.14 47.54% $374,504 0.50%(b)(c) 1.26% 30% 0.80%(b) $0.0267
11.89 20.22 42,226 0.50+(b) 1.92+ 17 1.05+(b) 0.0259
$17.11 18.24% $ 3 1.00%+(b)(c) 0.76%+ 30% 1.30%+(b) $0.0267
$17.14 47.21% $ 25,447 0.75%(b)(c) 1.01% 30% 1.05%(b) $0.0267
11.89 20.12 3,038 0.75+(b) 1.67+ 17 1.30+(b) 0.0259
$17.14 46.71% $ 4,284 1.00%(b)(c) 0.76% 30% 1.30%(b) $0.0267
11.90 20.11 83 1.00+(b) 1.42+ 17 1.55+(b) 0.0259
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE> 58
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE IN DIVIDENDS
VALUE NET AND UNREALIZED NET ASSET VALUE FROM NET
BEGINNING INVESTMENT GAIN FROM INVESTMENT
OF PERIOD INCOME ON INVESTMENTS OPERATIONS INCOME
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MANAGED SMALLCAP VALUE INDEX
PRIMARY A
Period ended 03/31/1998*..................... $10.00 $0.03 $1.46 $1.49 $(0.03)
INVESTOR A
Period ended 03/31/1998*..................... $10.00 $0.02 $1.46 $1.48 $(0.02)
INVESTOR C
Period ended 03/31/1998*..................... $10.00 $0.01 $1.46 $1.47 $(0.01)
<CAPTION>
DISTRIBUTIONS TOTAL
FROM NET DIVIDENDS
REALIZED AND
CAPITAL GAINS DISTRIBUTIONS
-----------------------------
<S> <C> <C>
MANAGED SMALLCAP VALUE INDEX
PRIMARY A
Period ended 03/31/1998*..................... -- $(0.03)
INVESTOR A
Period ended 03/31/1998*..................... -- $(0.02)
INVESTOR C
Period ended 03/31/1998*..................... -- $(0.01)
</TABLE>
- ---------------
* Managed SmallCap Value Primary A, Investor A and Investor C commenced
operations on November 24, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
(a) Average commission rate paid per share of securities purchased and sold by
the Fund.
(b) The effect of the fees reduced by credits allowed by the custodian on the
operating expense ratio, with and without waivers and/or expense
reimbursements, was less than 0.01%.
(c) The effect of interest expense on the operating expense ratio was 0.04%.
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE> 59
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS AND/OR
EXPENSE REIMBURSEMENTS
----------------------
RATIO OF RATIO OF RATIO OF
NET ASSETS OPERATING NET INVESTMENT OPERATING
NET ASSET END OF EXPENSES TO INCOME PORTFOLIO EXPENSES TO AVERAGE
VALUE TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE COMMISSION
END OF PERIOD RETURN++ (IN 000'S) NET ASSETS NET ASSETS RATE NET ASSETS RATE PAID(a)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$11.46 14.88% $2,106 0.50%+(b)(c) 0.78%+ 30% 2.17%+(b) $0.0250
$11.46 14.79% $1,859 0.75%+(b)(c) 0.53%+ 30% 2.42%+(b) $0.0250
$11.46 14.71% $ 16 1.00%+(b)(c) 0.28%+ 30% 2.67%+(b) $0.0250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE> 60
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) NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME ON INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED SMALLCAP INDEX
PRIMARY A
Year ended 03/31/1998............... $ 9.83 $0.06 $ 4.58 $ 4.64 $(0.06) $(0.31)
Period ended 03/31/1997*............ 10.00 0.03 (0.17) (0.14) (0.03) --
PRIMARY B
Year ended 03/31/1998............... $ 9.83 $0.00 $ 4.58 $ 4.58 $(0.01) $(0.31)
Period ended 03/31/1997*............ 10.00 0.02 (0.17) (0.15) (0.02) --
INVESTOR A
Year ended 03/31/1998............... $ 9.82 $0.03 $ 4.57 $ 4.60 $(0.03) $(0.31)
Period ended 03/31/1997*............ 10.00 0.03 (0.18) (0.15) (0.03) --
INVESTOR C
Year ended 03/31/1998............... $ 9.83 $0.01 $ 4.58 $ 4.59 $(0.02) $(0.31)
Period ended 03/31/1997*............ 10.00 0.03 (0.17) (0.14) (0.03) --
<CAPTION>
TOTAL
DIVIDENDS
AND
DISTRIBUTIONS
-------------
<S> <C>
MANAGED SMALLCAP INDEX
PRIMARY A
Year ended 03/31/1998............... $(0.37)
Period ended 03/31/1997*............ (0.03)
PRIMARY B
Year ended 03/31/1998............... $(0.32)
Period ended 03/31/1997*............ (0.02)
INVESTOR A
Year ended 03/31/1998............... $(0.34)
Period ended 03/31/1997*............ (0.03)
INVESTOR C
Year ended 03/31/1998............... $(0.33)
Period ended 03/31/1997*............ (0.03)
</TABLE>
- ---------------
* Managed SmallCap Index Primary A, Primary B, Investor A and Investor C
commenced operations on October 15, 1996.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
(a) Average commission rate paid per share of securities purchased and sold by
the Fund.
(b) The effect of the fees reduced by credits allowed by the custodian on the
operating expense ratio, with and without waivers and/or expense
reimbursements, was less than 0.01%.
(c) The effect of interest expense on the operating expense ratio was 0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
56
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NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS AND/OR
EXPENSE REIMBURSEMENTS
----------------------
RATIO OF RATIO OF RATIO OF
NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING
VALUE END OF EXPENSES TO INCOME PORTFOLIO EXPENSES TO AVERAGE
END OF TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE COMMISSION
PERIOD RETURN++ (IN 000'S) NET ASSETS NET ASSETS RATE NET ASSETS RATE PAID(a)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$14.10 47.71% $102,437 0.50%(b)(c) 0.52% 62% 1.02%(b) $0.0266
9.83 (1.37) 40,851 0.50+ 1.05+ 18 1.21+ 0.0279
$14.09 47.04% $ 160 1.00%(b)(c) 0.02% 62% 1.52%(b) $0.0266
9.83 (1.51) 86 1.00+ 0.55+ 18 1.71+ 0.0279
$14.08 47.35% $ 13,768 0.75%(b)(c) 0.27% 62% 1.27%(b) $0.0266
9.82 (1.52) 334 0.75+ 0.80+ 18 1.46+ 0.0279
$14.09 47.10% $ 524 1.00%(b)(c) 0.02% 62% 1.52%(b) $0.0266
9.83 (1.46) 19 1.00+ 0.55+ 18 1.71+ 0.0279
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
57
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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, 1998, the Trust offered thirty-seven separate portfolios. Information
presented in these financial statements pertains only to the four managed index
portfolios of the Trust (each a "Fund" and collectively, the "Funds"). The
financial statements for the other portfolios of the Trust are presented under
separate cover. The Funds currently offer four classes of shares: Primary A
Shares, Primary B Shares, Investor A Shares and Investor C Shares. Shareholders
of a Fund have equal voting rights on matters affecting all shareholders of the
Fund. In addition, each class of shares of a Fund has exclusive voting rights on
matters that relate solely to its class and separate voting rights on matters in
which the interests of one class of shares differ from the interests of any
other class.
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of
significant accounting policies followed by the Funds in the preparation of
their financial statements.
Securities Valuation: The Funds' portfolio securities which are traded on a
recognized stock exchange or on the NASDAQ system are valued at the last sales
price on the securities exchange or market on which such securities are
primarily traded. Securities traded only on over-the-counter markets (other than
on the NASDAQ system) are valued at the closing over-the-counter bid prices or,
if no sale occurred on such day, at the mean of the current bid and asked
prices. Restricted securities, securities for which market quotations are not
readily available, and certain other assets are valued by the investment adviser
under the supervision of the Board of Trustees. Short-term investments that
mature in 60 days or less are valued at amortized cost.
Futures Contracts: Each Fund may invest in futures contracts for the purpose of
hedging against changes in values of the Fund's securities or changes in the
prevailing levels of interest rates or currency exchange rates or for gaining
exposure to the equity markets. Upon entering into a futures contract, the Fund
is required to deposit with the broker an amount of cash or cash equivalents
equal to a certain percentage of the contract amount. This is known as the
"initial margin." Subsequent payments ("variation margin") are made or received
by the Fund each day, depending on the daily fluctuation of the value of the
contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking-to-market" on
a daily basis to reflect the market value of the contract at the end of each
day. The Fund recognizes a realized gain or loss when the contract is closed,
equal to the difference between the proceeds from (or cost of) the closing
transaction and the Fund's basis in the contract.
Risks arise in the possible movement of the securities or indices underlying
those investments. Risks also include the possibility that there may not be a
liquid secondary market for these contracts, that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities or that the counterparty to a contract may default on its obligation
to perform.
Securities Transactions and Investment Income: Securities transactions are
accounted for on a trade date basis. Realized gains and losses are computed
based on the specific identification of the securities sold. Interest income,
adjusted for accretion of discounts and amortization of premiums, is earned from
settlement date and is recorded on an accrual basis. Dividend income is recorded
on the ex-dividend date. Each Fund's investment income and realized and
unrealized gains and losses are allocated among its classes based upon the
relative net assets of each class of shares.
Dividends and Distributions to Shareholders: 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), 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.
58
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NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 organization costs and currency gains and losses.
Reclassifications for the year ended March 31, 1998 were as follows:
<TABLE>
<CAPTION>
INCREASE/(DECREASE) INCREASE/(DECREASE)
INCREASE/(DECREASE) UNDISTRIBUTED NET ACCUMULATED NET
PAID-IN CAPITAL INVESTMENT INCOME REALIZED GAIN/(LOSS)
----------------------------------------------------------------
<S> <C> <C> <C>
Managed Value Index.......................... $ -- $ -- $ --
Managed Index................................ (1,842) 1,842 --
Managed SmallCap Value Index................. -- -- --
Managed SmallCap Index....................... (1,853) 2,061 (208)
</TABLE>
Federal Income Tax: Each Fund intends to continue to qualify as a regulated
investment company by complying with the requirements of the Internal Revenue
Code of 1986, as amended, applicable to regulated investment companies and by
distributing substantially all of its earnings to its shareholders. Therefore,
no Federal income or excise tax provision is applicable.
Expenses: General expenses of the Trust are allocated to the relevant Funds
based upon relative net assets. Operating expenses directly attributable to a
Fund or class of shares are charged to such Fund's or class's operations.
Expenses of each Fund not directly attributable to the operations of any class
of shares are prorated among the classes based on the relative net assets of
each class of shares. 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, on behalf of its Funds, entered into an investment advisory
agreement (the "Investment Advisory Agreement") with NationsBanc Advisors, Inc.
("NBAI") pursuant to which NBAI provides investment advisory services to the
Funds. Under the terms of this Investment Advisory Agreement, NBAI is entitled
to receive a fee, calculated daily and payable monthly, at the annual rate of
0.50% of each Fund's average daily net assets.
The Trust has, on behalf of its Funds, entered into a sub-advisory agreement
with NBAI and TradeStreet Investment Associates, Inc. ("TradeStreet"), a
wholly-owned subsidiary of NationsBank, N.A. ("NationsBank"), pursuant to which,
TradeStreet is entitled to receive a sub-advisory fee from NBAI at the annual
rate of 0.10% of each Fund's average daily net assets.
Stephens Inc. ("Stephens") serves as the administrator of the Trust. First Data
Investor Services Group, Inc. ("First Data"), a wholly-owned subsidiary of First
Data Corporation, serves as the co-administrator of the Trust. Stephens and
First Data are entitled to receive a combined fee, computed daily and paid
monthly, at the annual rate of 0.10% of average daily net assets of each Fund.
Effective November 18, 1997, NBAI became the sub-administrator of the Trust
pursuant to a sub-administration agreement with Stephens. Prior to that date,
NationsBank served as administrator. For the year ended March 31, 1998, Stephens
earned $147,395 from the Funds for its administration services, of which $13,132
and $11,842 was paid to NBAI and NationsBank, respectively, for their services
as sub-administrator.
The investment adviser, sub-adviser and administrator may, from time to time,
voluntarily reduce their fees payable by each Fund. For the year ended March 31,
1998, the fee waivers and reimbursements were as follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
BY ADVISER BY ADVISER
----------------------------------
<S> <C> <C>
Managed Value Index............ $ 11,025 $14,001
Managed Index.................. 449,019 36,530
Managed SmallCap Value Index... 5,901 14,522
Managed SmallCap Index......... 419,108 13,088
</TABLE>
NationsBank of Texas, N.A. ("NationsBank of Texas") served as custodian of the
Trust's assets and for the year ended March 31, 1998, earned $13,311
59
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NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
for providing such services. The Bank of New York ("BONY") has entered into an
agreement with each of the Funds and NationsBank of Texas, whereby BONY serves
as sub-custodian for the Funds. For the year ended March 31, 1998, expenses of
the Funds were reduced by $1,096 under expense offset arrangements with BONY.
Custodian fees reported in the Statements of Operations exclude these credits.
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.
First Data serves as the transfer agent for the Funds' shares. NationsBank of
Texas served as the sub-transfer agent for the Primary Shares of the Funds and,
for the year ended March 31, 1998, earned approximately $10,516 for providing
such services.
Stephens serves as distributor of the Funds' shares. For the year ended March
31, 1998, the Funds were informed that the distributor received $266 in
contingent deferred sales charges from shares which were subject to such
charges. A substantial portion of these fees are paid to affiliates of
NationsBank and NBAI.
The Trust pays each unaffiliated Trustee an annual fee of $1,000 ($3,000 for the
Chairman of the Board), plus $500 per Fund and an additional $1,000 for each
in-person board meeting, and $500 for each telephonic board meeting attended.
The Trust also reimburses expenses incurred by each unaffiliated Trustee in
attending such meetings.
The Trust's eligible Trustees may participate in non-qualified deferred
compensation and retirement plans which may be terminated at any time. All
benefits provided under these plans are unfunded and any payments to plan
participants are paid solely out of the Funds' assets. Income earned on each
plan participant's deferral account is tied to the rate of return of the
eligible mutual funds selected by the participants or, if no funds are selected,
to the rate of return of Nations Treasury Fund, a portfolio of Nations Fund,
Inc. The expense for the deferred compensation and retirement plans is included
in "Trustees' fees and expenses" in the Statements of Operations.
Certain of the Funds have made daily investments of cash balances in Nations
Cash Reserves, a portfolio of Nations Institutional Reserves, pursuant to an
exemptive order received from the Securities and Exchange Commission. For the
year ended March 31, 1998, the managed index portfolios earned $197,707 in the
aggregate from such investments.
A significant portion of each Fund's Primary A Shares represent investments by
fiduciary accounts over which NationsBank N.A. 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
each Fund and shareholder servicing and distribution plans for the Investor A
and Investor C Shares of each Fund. The administration plan permits the Funds to
compensate institutions for shareholder administration services provided to
their customers that own Primary B Shares. The 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
are paid to affiliates of NationsBank and NBAI.
At March 31, 1998, the current rates and plan limits in effect, as a percentage
of average daily net assets, were as follows:
<TABLE>
<CAPTION>
PLAN
CURRENT RATE LIMIT
---------------------
<S> <C> <C>
Primary B Administration Plan.............. 0.50% 0.60%
Investor A Shareholder Servicing and
Distribution Plan......................... 0.25 0.25
Investor C Shareholder Servicing Plan...... 0.25 0.25
Investor C Distribution Plan............... 0.25 0.75
</TABLE>
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. government securities and short-term investments, for the year ended March
31, 1998, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
---------------------------
<S> <C> <C>
Managed Value Index................. $ 8,490,260 $ 137,834
Managed Index....................... 267,140,703 49,109,300
Managed SmallCap Value Index........ 4,186,552 867,414
Managed SmallCap Index.............. 96,954,474 48,859,245
</TABLE>
60
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NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
There were no purchases or sales of long-term U.S. government securities for the
year ended March 31, 1998.
5. SHARES OF BENEFICIAL INTEREST/CAPITAL STOCK
As of March 31, 1998, an unlimited number of shares of beneficial interest
without par value were authorized for the Trust. The Trust's Declaration of
Trust authorizes the Board of Trustees to classify or reclassify any authorized,
but unissued shares into one or more additional classes or series of shares. See
Schedule of Capital Stock Activity.
6. LINE OF CREDIT
The Trust participates in an uncommitted line of credit provided by BONY under a
line of credit agreement (the "Agreement"). Advances under the Agreement are
taken primarily for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. Interest on borrowings is payable at the federal funds rate plus
0.50% on an annualized basis. The Agreement requires, among other things, that
each participating Fund maintain a ratio of no less than 4 to 1 net assets (not
including funds borrowed pursuant to the Agreement) to the aggregate amount of
indebtedness pursuant to the Agreement.
For the year ended March 31, 1998, borrowings by the Funds, under the
agreements, were as follows:
<TABLE>
<CAPTION>
AVERAGE AVERAGE
AMOUNT AVERAGE DEBT
FUND OUTSTANDING SHARES PER SHARE
- -------------------------------------------------------------------
<S> <C> <C> <C>
Managed Value Index........ $ 1,233 636,056 $ --(a)
Managed Index.............. 87,422 10,911,376 --(a)
Managed SmallCap Value
Index..................... 7,945 342,173 0.02
Managed SmallCap Index..... 207,644 6,722,921 0.03
</TABLE>
- ---------------
(a) Amount represents less than $0.01 per share.
The average amount outstanding was calculated based on daily balances in the
period.
7. LENDING OF PORTFOLIO SECURITIES
Under an agreement with BONY, the Funds have the ability to lend their
securities to approved brokers, dealers and other financial institutions. Loans
of portfolio securities are collateralized by cash, in an amount at least equal
to the market value of the securities on loan. The cash collateral received is
invested in Nations Cash Reserves, a portfolio of Nations Institutional
Reserves. A portion of the income generated by the investment of the collateral,
net of any rebates paid by BONY to borrowers, is remitted to BONY as lending
agent, and the remainder is paid to the Fund. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred. There would be a potential loss to the Fund in the event the
Fund is delayed or prevented from exercising its right to dispose of the
collateral. The Fund bears the risk of loss with respect to the investment of
collateral.
At March 31, 1998, the following Funds had securities on loan:
<TABLE>
<CAPTION>
MARKET VALUE OF MARKET VALUE
FUND LOANED SECURITIES OF COLLATERAL
- ---------------------------------------------------------------------
<S> <C> <C>
Managed Value Index.............. $ -- $ --
Managed Index.................... 1,155,583 1,190,343
Managed SmallCap Value Index..... -- --
Managed SmallCap Index........... 3,140,013 3,226,229
</TABLE>
61
<PAGE> 66
NATIONS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
8. REORGANIZATION
On November 12, 1997, Managed Index ("Acquiring Fund"), acquired the assets of
Equity Index/Enhanced Market Fund, a common trust fund managed by NationsBank
("Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The
number and value of shares issued by the Acquiring Fund are presented in the
Schedule of Capital Stock Activity. Net assets and unrealized appreciation as of
the conversion date were as follows:
<TABLE>
<CAPTION>
TOTAL NET ASSETS
TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND ACQUIRED FUND
OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION UNREALIZED APPRECIATION
- ----------------------------------------------------------------------------------
<S> <C> <C> <C>
$137,455,457 $111,268,594 $248,724,051 $73,337,385
</TABLE>
9. SUBSEQUENT EVENT
NationsBank of Texas merged into NationsBank on May 6, 1998. NationsBank began
serving as custodian of the Trust's assets and sub-transfer agent for the
Primary Shares of the Funds on that date and is providing the same services as
were previously provided by NationsBank of Texas.
62
<PAGE> 67
NATIONS FUNDS
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND TRUSTEES OF NATIONS FUND TRUST
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, 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, 1998, and the results of each of their
operations, the changes in each of their net assets and the financial highlights
for the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at March 31, 1998 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where securities purchased had not been received by the custodian, provide a
reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
May 28, 1998
63
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NATIONS FUNDS
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TAX INFORMATION (UNAUDITED)
For the year ended March 31, 1998, the amount of long-term capital gain
distributed to shareholders by the Managed Index Fund was $92,424 of which
$92,424, is taxable as 28% rate gain.
Of the ordinary income (including short-term capital gain) distributions made by
the Trust during the fiscal year ended March 31, 1998, the following percentages
qualify for the dividend received deduction available to corporate shareholders:
<TABLE>
<S> <C>
Managed Value Index......................................... 100.00%
Managed Index............................................... 84.38
Managed SmallCap Value Index................................ 100.00
Managed SmallCap Index...................................... 22.43
</TABLE>
64
<PAGE> 69
[BACKGROUND DEPICTING BASKETS]
<PAGE> 70
[NATIONS FUNDS LOGO] BULK RATE
U.S. POSTAGE
P.O. BOX 32602 PAID
Charlotte, NC 28234-4602 N READING, MA
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105
AR9 97495 3/98
