<PAGE>
PAINEWEBBER S&P 500 INDEX FUND ANNUAL REPORT
PERFORMANCE AT A GLANCE
================================================================================
Comparison of the change of a $10,000 investment in PaineWebber S&P 500 Index
Fund (Class Y) and the S&P 500 Index, for the period from commencement on
12/31/97 through 5/31/00.
[GRAPH]
PaineWebber S&P 500
Index Fund (Class Y) S&P 500 Index
Dec-97 10,000 10,172
Jan-98 10,000 10,172
Feb-98 10,112 10,284
Mar-98 10,832 11,025
Apr-98 11,384 11,590
May-98 11,496 11,708
Jun-98 11,296 11,507
Jul-98 11,760 11,974
Aug-98 11,640 11,847
Sep-98 9,952 10,135
Oct-98 10,584 10,785
Nov-98 11,352 11,660
Dec-98 12,096 12,367
Jan-99 12,793 13,079
Feb-99 13,321 13,626
Mar-99 12,907 13,202
Apr-99 13,418 13,730
May-99 13,929 14,262
Jun-99 13,589 13,925
Jul-99 14,343 14,698
Aug-99 13,897 14,240
Sep-99 13,824 14,168
Oct-99 13,434 13,780
Nov-99 14,279 14,652
Dec-99 14,571 14,950
Jan-00 15,399 15,829
Feb-00 14,617 15,034
Mar-00 14,340 14,750
Apr-00 15,727 16,193
May-00 15,248 15,705
14,928 15,383
Past performance is no guarantee of future performance. The performance of the
other classes will vary from the performance of the class shown because of
differences in sales charges and fees paid by shareholders investing in
different classes. As noted below, Class Y shares are offered to a limited group
of eligible investors.
The graph depicts the performance of PaineWebber S&P 500 Index Fund (Class Y)
versus the S&P 500 Index. It is important to note PaineWebber S&P 500 Index Fund
is professionally manged mutual fund while the Index is not available for
investment and is unmanaged. The comparison is shown for illustrative purposes
only.
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN, Periods Ended 5/31/00
--------------------------------------------------------------------------------
6 Months 1 Year Inception(0)
Class A* 2.44% 9.67% 25.00%
Before Deducting
Class C+ 2.02 8.89 24.43
Maximum Sales Charge
Class Y++ 2.45 9.86 18.01
After Deducting Class A* -0.13 6.92 23.11
Maximum Sales Charge Class C+ 1.03 7.89 24.43
Class Y++ 2.45 9.86 18.01
Lipper S&P 500 Index
Objective Funds Median 2.65 9.95 18.15
S&P 500 Index 2.90 10.47 18.65
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper Median is the return of the fund that places in the middle of the peer
group.
Past performance is no guarantee of future results. The investment return and
the principal value of an investment in the Fund will fluctuate, so that an
investor's shares, when redeemed, may be worth more or less than their original
cost. Returns for periods of less than one year are not annualized.
(0) Inception: since commencement of issuance on October 2, 1998 for Class A
shares, October 7, 1998 for Class C shares and December 31, 1997 for Class
Y shares. Index performance is shown as of inception of oldest share class
(Class Y).
* Maximum sales charge for Class A shares is 2.5% of the public offering
price. Class A shares bear ongoing 12b-1 service fees.
+ Maximum contingent deferred sales charge for Class C shares is 1.0% and is
reduced to 0% after one year. Class C shares bear ongoing 12b-1
distribution and service fees.
++ The Fund offers Class Y shares to a limited group of eligible
investors, including participants in certain investment programs that are
sponsored by PaineWebber and that may invest in PaineWebber mutual funds,
as well as the trustee of the PaineWebber 401(k) Plus Plan. Class Y shares
do not bear initial or contingent deferred sales charges or ongoing
distribution and service fees.
1
<PAGE>
ANNUAL REPORT PAINE WEBBER S&P 500 INDEX FUND
-----------------------------------
PAINEWEBBER S&P 500 INDEX FUND
Investment Goal:
Replicate the total return of
the S&P 500 Index before
fees and expenses
Portfolio Managers:
T. Kirkham Barneby
Frank Vallario
Mitchell Hutchins Asset
Management Inc.
Commencement:
December 31, 1997 (Class Y)
October 2, 1998 (Class A)
October 7, 1998 (Class C)
Dividend Payments:
Annually
-----------------------------------
July 15, 2000
Dear Shareholder,
We are pleased to present you with the annual report for PaineWebber S&P 500
Index Fund (the "Fund") for the fiscal year ended May 31, 2000.
MARKET REVIEW
================================================================================
During the first half of the fiscal year, the "new economy" remained the hot
theme, with investors interested mostly in "dot-com" and other high-technology
companies. As the fiscal year unfolded, however, uncertainty increased as the
Federal Reserve (the "Fed") continued to raise short-term interest rates, giving
rise to worries that higher rates might weaken the economy, and as a
consequence, corporate earnings. Stock prices showed periods of extreme
volatility, and the technology sector gave back much of its recently-achieved
gains. The U.S. economy continued to grow, but showed signs of slowing late in
the period, indications that the Fed's policy of tightening money to ward off
inflation might be working. The economy remained solid and corporate earnings
finished the fiscal year strongly. The NASDAQ Composite, which is heavily
weighted toward technology companies, gained 37.66% for the 12 months ended May
31, 2000. The Dow Jones Industrial Average (Dow), gained only 1.21% for the
fiscal year, whereas the Standard and Poor's 500 Index (S&P 500) managed a gain
of 10.47%. Uncertainty remains over whether the Fed can engineer a "soft"
landing for the economy, or whether it will overshoot the target and create a
"hard" landing. While business cycle concerns may affect the market near term,
we believe stocks will likely continue to be the best performing asset class
over time. The investment objective of the Fund is to enable investors to
participate in the market's performance by tracking the market as measured by
the S&P 500 Index.
PORTFOLIO REVIEW
================================================================================
The Fund attempts to match the performance of the S&P 500 Index, before
consideration of Fund-related fees and expenses, by buying and holding
substantially all the common stocks comprising the Index. The Fund may also
trade in options and futures contracts in order to simulate full investment in
the S&P 500 Index, while retaining a cash balance for portfolio management
purposes, to facilitate trading and to reduce transaction costs.
Technology was the hot story of 1999--as technology stocks made strong
gains they also contributed strongly to the total return of the Index during the
first half of the fiscal year. During the second half of the fiscal year
technology stocks faltered and gave back much of their earlier gains.
Nonetheless, the technology sector made a net contribution to the Index return
for the entire fiscal year. Technology stocks accounted for about 22% of the
Index as of May 31, 1999. By May 31, 2000, the Index's technology weighting had
risen to about 30%.
2
<PAGE>
PAINE WEBBER S&P 500 INDEX FUND ANNUAL REPORT
PORTFOLIO STATISTICS
Characteristics* 5/31/00 11/30/99
--------------------------------------------------------------------------------
Net Assets ($mm) $96.0 $70.4
Number of Securities 466 472
Stocks 99.6% 95.0%
Cash 0.4% 5.0%
--------------------------------------------------------------------------------
Top Ten Holdings* 5/31/00 11/30/99
--------------------------------------------------------------------------------
General Electric Co. 4.3% Microsoft 3.8%
Intel 3.4 General Electric Co. 3.5
Cisco Systems Inc. 3.2 Cisco Systems Inc. 2.4
Microsoft 2.7 Exxon/Mobil 2.3
Exxon/Mobil 2.4 Wal Mart Stores 2.1
Wal Mart Stores 2.1 Intel 2.1
Citigroup, Inc. 1.7 Lucent Technologies 1.8
Oracle Systems 1.7 Citigroup, Inc. 1.5
IBM Corp. 1.6 IBM Corp. 1.5
Lucent Technologies 1.5 Merck 1.5
--------------------------------------------------------------------------------
Total 24.6 Total 22.5
Top Five Sectors* 5/31/00 11/30/99
--------------------------------------------------------------------------------
Technology 31.1% Technology 25.4%
Financial Services 18.3 Financial Services 16.6
Consumer Cyclicals 12.3 Consumer Cyclicals 12.5
Healthcare 10.4 Healthcare 10.3
Utilities 8.6 Utilities 10.3
--------------------------------------------------------------------------------
Total 80.7 Total 75.1
* Weightings represent percentages of net assets as of the dates indicated.
The Fund's portfolio is actively managed and its composition will vary over
time.
3
<PAGE>
ANNUAL REPORT PAINEWEBBER S&P 500 INDEX FUND
Our ultimate objective in managing your investments is to help you
successfully meet your financial goals. We thank you for your continued support
and welcome any comments or questions you may have. For a Quarterly Review on
PaineWebber S&P 500 Index Fund or another Fund in the PaineWebber Family of
Funds,/1/ please contact your Financial Advisor.
Sincerely,
/s/ MARGO ALEXANDER /s/ BRIAN M. STORMS
MARGO ALEXANDER BRIAN M. STORMS
Chairman and Chief Executive Officer President and Chief Operating
Mitchell Hutchins Asset Management Inc. Officer
Mitchell Hutchins Asset Management
Inc.
/s/ T. KIRKHAM BARNEBY /s/ FRANK A. VALLARIO
T. KIRKHAM BARNEBY FRANK A. VALLARIO
Managing Director and Chief Investment Portfolio Manager
Officer-- PaineWebber S&P 500 Index Fund
Quantitative Investments
Mitchell Hutchins Asset Management Inc.
Portfolio Manager
PaineWebber S&P 500 Index Fund
This letter is intended to assist shareholders in understanding how the Fund
performed during the fiscal year ended May 31, 2000, and reflects our views at
the time of its writing. Of course, these views may change in response to
changing circumstances. We encourage you to consult your Financial Advisor
regarding your personal investment program.
1 Mutual funds are sold by prospectus only. The prospectuses for the funds
contain more complete information regarding risks, charges and expenses, and
should be read carefully before investing.
4
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
PERFORMANCE RESULTS (UNAUDITED)
<TABLE>
<CAPTION>
NET ASSET VALUE TOTAL RETURN/1/
-------------------------------- --------------------------------
12 MONTHS 6 MONTHS
05/31/00 11/30/99 05/31/99 ENDED 05/31/00 ENDED 05/31/00
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
SHARES $17.74 $17.90 $16.72 9.67% 2.44%
-----------------------------------------------------------------------------
CLASS C
SHARES 17.61 17.76 16.64 8.89 2.02
-----------------------------------------------------------------------------
PERFORMANCE SUMMARY CLASS A SHARES
<CAPTION>
NET ASSET VALUE
------------------
PERIOD CAPITAL GAINS TOTAL
COVERED BEGINNING ENDING DISTRIBUTED DIVIDENDS PAID/2/ RETURN/1/
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
10/02/98 -
12/31/98 $12.83 $15.75 -- $0.2186 24.56%
-----------------------------------------------------------------------------
1999 15.75 18.30 $0.0944 0.4977 20.10
-----------------------------------------------------------------------------
01/01/00 -
05/31/00 18.30 17.74 -- -- (3.06)
-----------------------------------------------------------------------------
TOTAL: $0.0944 $0.7163
-----------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AS OF 05/31/00: 45.02%
-----------------------------------------------------------------------------
PERFORMANCE SUMMARY CLASS C SHARES
<CAPTION>
NET ASSET VALUE
------------------
PERIOD CAPITAL GAINS TOTAL
COVERED BEGINNING ENDING DISTRIBUTED DIVIDENDS PAID/2/ RETURN/1/
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
10/07/98 -
12/31/98 $12.80 $15.73 -- $0.2031 24.57%
-----------------------------------------------------------------------------
1999 15.73 18.23 $0.0944 0.4125 19.24
-----------------------------------------------------------------------------
01/01/00 -
05/31/00 18.23 17.61 -- -- (3.40)
-----------------------------------------------------------------------------
TOTAL: $0.0944 $0.6156
-----------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AS OF 05/31/00: 43.49%
-----------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL TOTAL RETURN/1/
<TABLE>
<CAPTION>
% RETURN WITHOUT DEDUCTING % RETURN AFTER DEDUCTING
MAXIMUM SALES CHARGE MAXIMUM SALES CHARGE
---------------------------- --------------------------
CLASS CLASS
---------------------------- --------------------------
A* C** A* C**
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TWELVE MONTHS ENDED 06/30/00 6.35% 5.59% 3.70% 4.59%
-------------------------------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS THROUGH 06/30/00+ 25.36 24.79 23.55 24.79
-------------------------------------------------------------------------------------------------------
</TABLE>
/1/FIGURES ASSUME REINVESTMENT OF ALL DIVIDENDS AT NET ASSET VALUE ON THE
PAYABLE DATES AND DO NOT INCLUDE SALES CHARGES; RESULTS FOR EACH CLASS WOULD
BE LOWER IF SALES CHARGES WERE INCLUDED. TOTAL INVESTMENT RETURN FOR PERIODS
LESS THAN ONE YEAR HAS NOT BEEN ANNUALIZED.
/2/CERTAIN DISTRIBUTIONS MAY CONTAIN SHORT-TERM CAPITAL GAINS.
+COMMENCEMENT OF ISSUANCE DATES FOR CLASS A AND CLASS C SHARES ARE OCTOBER 2,
1998 AND OCTOBER 7, 1998, RESPECTIVELY.
*MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 2.5% OF THE PUBLIC OFFERING PRICE.
CLASS A SHARES BEAR ONGOING 12B-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% AND IS
REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR ONGOING 12B-1 DISTRIBUTION
AND SERVICE FEES.
NOTE:THE FUND OFFERS CLASS Y SHARES TO A LIMITED GROUP OF INVESTORS,
INCLUDING PARTICIPANTS IN CERTAIN INVESTMENT PROGRAMS THAT ARE SPONSORED BY
PAINEWEBBER AND THAT MAY INVEST IN PAINEWEBBER MUTUAL FUNDS. FOR THE YEAR
ENDED MAY 31, 2000 AND SINCE INCEPTION, DECEMBER 31, 1997 THROUGH MAY 31,
2000. CLASS Y SHARES HAVE A TOTAL RETURN OF 9.86% AND 49.28%, RESPECTIVELY.
FOR THE YEAR ENDED JUNE 30, 2000 AND FOR THE PERIOD SINCE INCEPTION THROUGH
JUNE 30, 2000, CLASS Y SHARES HAVE AN AVERAGE ANNUAL TOTAL RETURN OF 6.60%
AND 18.50%; RESPECTIVELY. CLASS Y SHARES DO NOT HAVE INITIAL OR CONTINGENT
DEFERRED SALES CHARGES OR ONGOING DISTRIBUTION AND SERVICE FEES.
THE DATA ABOVE REPRESENTS PAST PERFORMANCE OF THE FUND'S SHARES, WHICH IS NO
GUARANTEE OF FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE, SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
5
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
COMMON STOCKS -- 99.63%
AGRICULTURE, FOOD & BEVERAGE -- 3.15%
4,900 ARCHER-DANIELS-MIDLAND CO. ............................. $ 58,494
2,200 BESTFOODS CO. .......................................... 141,900
3,400 CAMPBELL SOUP CO. ...................................... 105,400
19,500 COCA-COLA CO. .......................................... 1,040,812
3,400 COCA-COLA ENTERPRISES, INC. ............................ 58,225
3,900 CONAGRA, INC. .......................................... 89,944
2,400 GENERAL MILLS, INC. .................................... 95,250
2,800 HEINZ, H. J. AND CO. ................................... 109,725
1,100 HERSHEY FOODS CORP. .................................... 57,063
3,200 KELLOGG CO. ............................................ 97,200
11,500 PEPSICO, INC. .......................................... 467,906
1,100 QUAKER OATS CO. ........................................ 80,919
2,700 RJR NABISCO GROUP HOLDINGS CORP. ....................... 58,894
7,200 SARA LEE CORP. ......................................... 129,600
1,100 SUPERVALUE, INC. ....................................... 22,894
2,600 SYSCO CORP. ............................................ 109,037
4,500 UNILEVER N.V. .......................................... 228,656
900 WRIGLEY, WM. JR. CO. ................................... 72,056
-----------
3,023,975
-----------
AIRLINES -- 0.19%
1,200 AMR CORP.*.............................................. 34,200
1,000 DELTA AIR LINES, INC. .................................. 51,438
3,900 SOUTHWEST AIRLINES CO. ................................. 74,831
600 US AIRWAYS GROUP, INC.*................................. 25,500
-----------
185,969
-----------
ALCOHOL -- 0.51%
3,600 ANHEUSER-BUSCH COMPANIES, INC. ......................... 279,000
500 BROWN FORMAN CORP. ..................................... 29,031
300 COORS ADOLPH CO. ....................................... 16,875
3,400 SEAGRAM CO. LTD. ....................................... 162,138
-----------
487,044
-----------
APPAREL, RETAIL -- 0.44%
6,700 GAP, INC. .............................................. 234,919
3,400 LIMITED, INC. .......................................... 82,025
500 LIZ CLAIBORNE, INC. .................................... 19,656
1,100 NORDSTROM, INC. ........................................ 27,638
2,500 TJX COMPANIES, INC. .................................... 54,062
-----------
418,300
-----------
APPAREL, TEXTILES -- 0.13%
2,200 NIKE, INC., CLASS B..................................... 94,325
1,000 V. F. CORP. ............................................ 28,688
-----------
123,013
-----------
</TABLE>
MAY 31, 2000
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
BANKS -- 7.00%
3,100 AMSOUTH BANCORPORATION.................................. $ 55,994
5,800 BANK OF NEW YORK COMPANY INC. .......................... 272,237
9,000 BANK ONE CORP. ......................................... 297,562
13,400 BANKAMERICA CORP. ...................................... 744,537
2,700 BB & T CORP. ........................................... 79,144
6,500 CHASE MANHATTAN CORP. .................................. 485,469
26,600 CITIGROUP, INC. ........................................ 1,654,187
1,300 COMERICA, INC. ......................................... 65,813
2,400 FIFTH THIRD BANCORP..................................... 163,200
7,800 FIRST UNION CORP. ...................................... 274,462
7,700 FIRSTAR CORP. .......................................... 196,831
7,200 FLEETBOSTON FINANCIAL CORP. ............................ 272,250
1,900 HUNTINGTON BANCSHARES, INC. ............................ 36,813
1,400 J.P. MORGAN & COMPANY, INC. ............................ 180,250
3,600 KEYCORP. ............................................... 75,600
4,000 MELLON FINANCIAL CORP. ................................. 154,250
4,900 NATIONAL CITY CORP. .................................... 98,000
1,700 NORTHERN TRUST CORP. ................................... 111,881
1,100 OLD KENT FINANCIAL CORP. ............................... 36,575
2,300 PNC BANK CORP. ......................................... 115,863
1,800 REGIONS FINANCIAL CORP. ................................ 40,725
1,400 SOUTHTRUST CORP. ....................................... 37,888
1,300 STATE STREET CORP. ..................................... 144,950
1,400 SUMMIT BANCORP, INC. ................................... 40,163
2,500 SUNTRUST BANKS, INC. ................................... 149,375
2,200 SYNOVUS FINANCIAL CORP. ................................ 44,000
1,200 UNION PLANTERS CORP. ................................... 37,500
6,000 US BANCORP, INC. ....................................... 156,000
1,600 WACHOVIA CORP. ......................................... 110,600
13,000 WELLS FARGO AND CO. .................................... 588,250
-----------
6,720,369
-----------
CHEMICALS -- 2.29%
1,800 AIR PRODUCTS & CHEMICALS, INC. ......................... 62,325
600 ASHLAND, INC. .......................................... 20,963
900 AVERY DENNISON CORP. ................................... 55,125
1,700 DOW CHEMICAL CO. ....................................... 182,006
8,200 DUPONT (E.I.) DE NEMOURS & CO. ......................... 401,800
600 EASTMAN CHEMICAL CO. ................................... 27,338
1,000 ECOLAB, INC. ........................................... 38,250
1,100 ENGELHARD CORP. ........................................ 19,181
300 FMC CORP.*.............................................. 18,225
1,300 GOODYEAR TIRE & RUBBER CO. ............................. 32,338
500 GREAT LAKES CHEMICAL CORP. ............................. 13,875
900 HERCULES, INC. ......................................... 14,906
2,400 ILLINOIS TOOL WORKS, INC. .............................. 139,350
800 KERR-MCGEE CORP. ....................................... 47,750
3,100 MINNESOTA MINING & MANUFACTURING CO. ................... 265,825
9,860 PHARMACIA CORP. ........................................ 512,104
</TABLE>
6
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CHEMICALS (CONCLUDED)
1,400 PPG INDUSTRIES, INC. ................................... $ 69,387
1,300 PRAXAIR, INC. .......................................... 54,600
1,700 ROHM & HAAS CO. ........................................ 58,012
700 SEALED AIR CORP.*....................................... 39,200
1,300 SHERWIN-WILLIAMS CO. ................................... 30,225
1,100 UNION CARBIDE CORP. .................................... 60,156
800 VULCAN MATERIALS CO. ................................... 37,400
-----------
2,200,341
-----------
COMPUTER HARDWARE -- 8.43%
2,700 3COM CORP.*............................................. 112,894
800 ADAPTEC INC.*........................................... 15,750
1,300 APPLE COMPUTER, INC.*................................... 109,200
1,400 CABLETRON SYSTEMS, INC.*................................ 32,113
54,000 CISCO SYSTEMS INC.*..................................... 3,074,625
13,400 COMPAQ COMPUTER CORP. .................................. 351,750
20,200 DELL COMPUTER CORP.*.................................... 871,125
8,000 EMC CORP.*.............................................. 930,500
2,500 GATEWAY, INC.*.......................................... 123,750
7,900 HEWLETT-PACKARD CO. .................................... 948,987
1,000 LEXMARK INTERNATIONAL GROUP, INC.*...................... 69,750
2,400 NETWORK APPLIANCE, INC.*................................ 154,950
2,100 PITNEY BOWES, INC. ..................................... 91,350
1,700 SEAGATE TECHNOLOGY, INC.*............................... 98,600
1,600 SILICON GRAPHICS, INC.*................................. 10,600
12,400 SUN MICROSYSTEMS, INC.*................................. 950,150
5,300 XEROX CORP. ............................................ 143,762
-----------
8,089,856
-----------
COMPUTER SOFTWARE -- 7.34%
1,000 ADOBE SYSTEMS, INC. .................................... 112,562
500 AUTODESK, INC. ......................................... 18,594
1,900 BMC SOFTWARE, INC.*..................................... 83,600
1,400 CITRIX SYSTEMS, INC.*................................... 73,675
4,600 COMPUTER ASSOCIATES INTERNATIONAL, INC. ................ 236,900
2,800 COMPUWARE CORP.*........................................ 28,525
14,200 IBM CORP. .............................................. 1,523,837
41,100 MICROSOFT CORP.*........................................ 2,571,319
800 NCR CORP.*.............................................. 33,750
2,600 NOVELL, INC.*........................................... 21,613
22,300 ORACLE SYSTEMS CORP.*................................... 1,602,812
2,200 PARAMETRIC TECHNOLOGY CORP.*............................ 23,375
2,100 PEOPLESOFT, INC.*....................................... 29,006
994 SABRE HOLDINGS CORP.*................................... 28,578
500 SAPIENT CORP.*.......................................... 49,969
1,500 SIEBEL SYSTEMS INC.*.................................... 175,500
2,500 UNISYS CORP.*........................................... 67,812
3,100 VERITAS SOFTWARE CO.*................................... 361,150
-----------
7,042,577
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
CONSTRUCTION -- 0.11%
500 CENTEX CORP. ........................................... $ 10,375
700 FLUOR CORP. ............................................ 22,750
3,600 MASCO CORP. ............................................ 70,875
-----------
104,000
-----------
CONSUMER DURABLES -- 0.15%
700 BLACK & DECKER CORP. ................................... 25,550
800 GRAINGER,W.W., INC. .................................... 31,950
1,600 LEGGETT & PLATT, INC. .................................. 32,100
700 MAYTAG CORP. ........................................... 22,925
600 WHIRLPOOL CORP. ........................................ 34,013
-----------
146,538
-----------
DEFENSE & AEROSPACE -- 0.66%
6,900 BOEING CO. ............................................. 269,531
1,600 GENERAL DYNAMICS CORP. ................................. 94,500
900 GOODRICH, B.F. CO. ..................................... 31,950
3,200 LOCKHEED MARTIN CORP. .................................. 78,400
600 NORTHROP GRUMMAN CORP. ................................. 45,975
2,700 RAYTHEON CO. ........................................... 63,281
1,000 TRW INC. ............................................... 48,500
-----------
632,137
-----------
DIVERSIFIED RETAIL -- 2.95%
3,500 COSTCO WHOLESALE CORP.*................................. 111,781
900 DILLARD'S, INC. ........................................ 13,444
1,700 FEDERATED DEPARTMENT STORES, INC.*...................... 65,450
2,200 J.C. PENNEY, INC. ...................................... 39,875
4,000 K MART CORP.*........................................... 34,000
2,600 KOHLS CORP.*............................................ 134,550
2,700 MAY DEPARTMENT STORES CO. .............................. 81,169
3,000 SEARS ROEBUCK & CO. .................................... 110,813
3,500 TARGET CORP. ........................................... 219,406
35,100 WAL MART STORES, INC. .................................. 2,022,637
-----------
2,833,125
-----------
DRUGS & MEDICINE -- 7.37%
1,000 ALLERGAN, INC. ......................................... 68,688
10,300 AMERICAN HOME PRODUCTS CORP. ........................... 554,912
8,000 AMGEN, INC.*............................................ 509,000
1,200 BIOGEN INC.*............................................ 65,400
15,600 BRISTOL-MYERS SQUIBB CO. ............................... 858,975
2,200 CARDINAL HEALTH, INC. .................................. 142,725
8,600 LILLY, ELI & CO. ....................................... 654,675
2,300 MCKESSON HBOC, INC. .................................... 37,806
18,400 MERCK & CO., INC. ...................................... 1,373,100
30,500 PFIZER, INC. ........................................... 1,359,156
11,600 SCHERING-PLOUGH CORP. .................................. 561,150
800 SIGMA-ALDRICH CORP. .................................... 26,700
</TABLE>
7
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS & MEDICINE (CONCLUDED)
6,800 WARNER LAMBERT CO. ..................................... $ 830,450
800 WATSON PHARMACEUTICALS, INC.*........................... 35,300
-----------
7,078,037
-----------
ELECTRIC UTILITIES -- 1.77%
1,600 AES CORP.*.............................................. 139,600
1,100 AMEREN CORP. ........................................... 40,356
1,500 AMERICAN ELECTRIC POWER, INC. .......................... 53,344
1,200 CAROLINA POWER & LIGHT CO. ............................. 41,250
1,700 CENTRAL & SOUTH WEST CORP. ............................. 35,381
1,300 CINERGY CORP. .......................................... 34,613
1,000 CMS ENERGY CORP. ....................................... 22,750
1,700 CONSOLIDATED EDISON, INC. .............................. 55,462
1,200 CONSTELLATION ENERGY GROUP, INC. ....................... 41,175
1,200 DTE ENERGY CO. ......................................... 41,475
2,900 DUKE ENERGY CORP. ...................................... 168,925
2,800 EDISON INTERNATIONAL, INC. ............................. 59,850
2,000 ENTERGY CORP. .......................................... 58,000
1,900 FIRST ENERGY CORP. ..................................... 47,738
800 FLORIDA PROGRESS CORP. ................................. 39,700
1,400 FPL GROUP, INC. ........................................ 69,300
1,000 GENERAL PUBLIC UTILITIES CORP. ......................... 28,250
900 NEW CENTURY ENERGIES INC. .............................. 30,263
1,600 NIAGARA MOHAWK HOLDINGS, INC.*.......................... 23,500
1,200 NORTHERN STATES POWER CO. .............................. 26,550
1,400 PECO ENERGY CO. ........................................ 61,512
3,000 PG&E CORP. ............................................. 77,812
700 PINNACLE WEST CAPITAL CORP. ............................ 25,025
1,200 PPL CORP. .............................................. 28,350
1,700 PUBLIC SERVICE ENTERPRISE GROUP, INC. .................. 63,325
2,400 RELIANT ENERGY, INC. ................................... 68,400
1,600 SEMPRA ENERGY .......................................... 30,100
5,300 SOUTHERN CO. ........................................... 137,469
2,200 TXU CORP.*.............................................. 78,650
1,700 UNICOM CORP. ........................................... 70,869
-----------
1,698,994
-----------
ELECTRICAL EQUIPMENT -- 6.02%
2,400 ADC TELECOMMUNICATIONS INC.*............................ 161,250
600 ANDREW CORP.*........................................... 21,075
1,200 COMVERSE TECHNOLOGY, INC.*.............................. 109,650
2,200 CORNING, INC. .......................................... 425,562
1,100 DANAHER CORP. .......................................... 53,006
1,600 DOVER CORP. ............................................ 74,400
600 EATON CORP. ............................................ 43,538
6,200 HONEYWELL, INC. ........................................ 339,063
700 JOHNSON CONTROLS, INC. ................................. 39,856
1,400 KLA-TENCOR CORP. *...................................... 69,388
25,100 LUCENT TECHNOLOGIES, INC. .............................. 1,440,112
400 MILLIPORE CORP. ........................................ 28,950
1,500 MOLEX INC. ............................................. 73,219
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
ELECTRICAL EQUIPMENT (CONCLUDED)
5,632 MOTOROLA, INC. ......................................... $ 528,000
22,800 NORTEL NETWORKS CORP. .................................. 1,238,325
1,600 PE CORP. ............................................... 88,800
5,800 QUALCOMM, INC.*......................................... 384,975
1,500 RADIOSHACK CORP. ....................................... 63,656
1,200 SCIENTIFIC-ATLANTA, INC. ............................... 67,650
4,700 SOLECTRON CORP.*........................................ 155,394
400 TEKTRONIX, INC. ........................................ 21,400
3,200 TELLABS, INC.*.......................................... 207,800
1,400 TERADYNE, INC.*......................................... 120,400
1,300 THERMO ELECTRON CORP.*.................................. 24,131
-----------
5,779,600
-----------
ELECTRICAL POWER -- 0.39%
1,700 AMERICAN POWER CONVERSION CORP.*........................ 60,244
800 COOPER INDUSTRIES, INC. ................................ 26,800
400 CUMMINS ENGINE COMPANY, INC. ........................... 13,025
3,400 EMERSON ELECTRIC CO. ................................... 200,600
1,500 ROCKWELL INTERNATIONAL CORP. ........................... 61,500
500 THOMAS & BETTS CORP. ................................... 14,187
-----------
376,356
-----------
ENERGY RESERVES & PRODUCTION -- 4.53%
800 AMERADA HESS CORP. ..................................... 53,100
1,000 ANADARKO PETROLEUM CORP. ............................... 53,063
900 APACHE CORP. ........................................... 54,787
1,700 BURLINGTON RESOURCES, INC. ............................. 77,775
5,200 CHEVRON CORP. .......................................... 480,675
27,200 EXXON/MOBIL CORP. ...................................... 2,266,100
3,000 OCCIDENTAL PETROLEUM CORP. ............................. 71,062
2,000 PHILLIPS PETROLEUM CO. ................................. 114,500
16,900 ROYAL DUTCH PETROLEUM CO., ADR.......................... 1,055,194
2,000 UNION PACIFIC RESOURCES GROUP, INC. .................... 47,375
2,000 UNOCAL CORP. ........................................... 76,875
-----------
4,350,506
-----------
ENTERTAINMENT -- 0.91%
4,900 CARNIVAL CORP. ......................................... 132,912
12,010 VIACOM, INC., CLASS B*.................................. 744,620
-----------
877,532
-----------
ENVIRONMENTAL SERVICES -- 0.11%
5,000 WASTE MANAGEMENT, INC. ................................. 101,875
-----------
FINANCIAL SERVICES -- 6.81%
10,500 AMERICAN EXPRESS CO. ................................... 565,031
2,000 AON CORP. .............................................. 70,250
5,800 ASSOCIATES FIRST CAPITAL CORP. ......................... 159,138
1,600 CAPITAL ONE FINANCIAL CORP. ............................ 75,600
</TABLE>
8
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONCLUDED)
5,600 CENDANT CORP.*.......................................... $ 74,200
900 COUNTRYWIDE CREDIT INDUSTRIES, INC. .................... 27,675
5,500 FEDERAL HOME LOAN MORTGAGE CORP. ....................... 244,750
8,100 FEDERAL NATIONAL MORTGAGE ASSOCIATION................... 487,012
77,700 GENERAL ELECTRIC CO. ................................... 4,088,962
800 H&R BLOCK, INC. ........................................ 24,700
3,700 HOUSEHOLD INTERNATIONAL, INC. .......................... 173,900
2,100 MARSH & MCLENNAN COMPANIES, INC. ....................... 231,131
6,300 MBNA CORP. ............................................. 175,613
1,100 PROVIDIAN CORP. ........................................ 97,831
1,300 SLM HOLDING CORP. ...................................... 43,794
-----------
6,539,587
-----------
FOOD RETAIL -- 0.48%
3,400 ALBERTSON'S, INC. ...................................... 124,525
6,600 KROGER CO.*............................................. 131,175
4,000 SAFEWAY, INC.*.......................................... 184,500
1,200 WINN DIXIE STORES, INC. ................................ 18,975
-----------
459,175
-----------
FOREST PRODUCTS, PAPER -- 0.79%
400 BEMIS, INC. ............................................ 13,750
500 BOISE CASCADE CORP. .................................... 14,563
800 CHAMPION INTERNATIONAL CORP. ........................... 58,400
1,700 FORT JAMES CORP. ....................................... 38,463
1,400 GEORGIA-PACIFIC CORP. .................................. 45,850
3,300 INTERNATIONAL PAPER CO. ................................ 114,881
4,400 KIMBERLY CLARK CORP. ................................... 266,200
800 MEAD CORP. ............................................. 24,650
1,500 PACTIV CORP.*........................................... 13,406
500 TEMPLE-INLAND, INC. .................................... 24,844
800 WESTVACO CORP. ......................................... 24,100
1,900 WEYERHAEUSER CO. ....................................... 94,287
900 WILLAMETTE INDUSTRIES, INC. ............................ 29,250
-----------
762,644
-----------
FREIGHT, AIR, SEA & LAND -- 0.09%
2,300 FEDEX CORP.*............................................ 81,363
-----------
GAS UTILITY -- 0.17%
700 COLUMBIA ENERGY GROUP................................... 45,281
200 EASTERN ENTERPRISES..................................... 12,338
1,800 EL PASO ENERGY CORP. ................................... 92,700
400 NICOR, INC. ............................................ 14,675
-----------
164,994
-----------
HEAVY MACHINERY -- 0.08%
1,900 DEERE & CO. ............................................ 78,969
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
HOTELS -- 0.12%
1,100 HARRAH'S ENTERTAINMENT, INC.*........................... $ 21,725
3,000 HILTON HOTELS CORP. .................................... 25,500
2,000 MARRIOTT INTERNATIONAL, INC. ........................... 72,500
-----------
119,725
-----------
HOUSEHOLD PRODUCTS -- 1.61%
1,900 AVON PRODUCTS, INC. .................................... 78,494
1,900 CLOROX CO. ............................................. 75,287
4,600 COLGATE-PALMOLIVE CO. .................................. 242,075
1,300 FORTUNE BRANDS, INC. ................................... 34,613
8,500 GILLETTE CO. ........................................... 283,687
900 INTERNATIONAL FLAVORS AND FRAGRANCES.................... 30,600
2,300 NEWELL RUBBERMAID, INC. ................................ 60,375
10,400 PROCTER & GAMBLE CO. ................................... 691,600
2,400 RALSTON PURINA CO. ..................................... 44,550
-----------
1,541,281
-----------
INDUSTRIAL PARTS -- 0.67%
2,800 CATERPILLAR, INC. ...................................... 107,100
600 CRANE CO. .............................................. 15,825
1,500 GENUINE PARTS CO. ...................................... 35,812
1,300 INGERSOLL RAND CO. ..................................... 59,231
700 ITT INDUSTRIES, INC. ................................... 24,194
1,000 PALL CORP. ............................................. 21,000
900 PARKER-HANNIFIN CORP. .................................. 37,519
500 SNAP-ON, INC. .......................................... 12,844
800 STANLEY WORKS........................................... 21,500
1,200 TEXTRON, INC. .......................................... 75,300
3,800 UNITED TECHNOLOGIES CORP. .............................. 229,662
-----------
639,987
-----------
INDUSTRIAL SERVICES & SUPPLIES -- 0.66%
500 RYDER SYSTEMS, INC. .................................... 9,594
13,300 TYCO INTERNATIONAL LTD., ADR............................ 625,931
-----------
635,525
-----------
INFORMATION & COMPUTER SERVICES -- 2.86%
18,000 AMERICA ONLINE INC.*.................................... 954,000
5,000 AUTOMATIC DATA PROCESSING, INC. ........................ 274,687
1,200 CERIDIAN CORP.*......................................... 28,950
1,300 COMPUTER SCIENCES CORP.*................................ 124,719
1,300 DUN & BRADSTREET CORP. ................................. 39,975
3,700 ELECTRONIC DATA SYSTEMS CORP. .......................... 237,956
1,100 EQUIFAX, INC. .......................................... 30,456
3,300 FIRST DATA CORP. ....................................... 185,006
2,400 IMS HEALTH, INC. ....................................... 39,600
2,200 INTERPUBLIC GROUP COMPANIES, INC. ...................... 94,463
1,400 OMNICOM GROUP, INC. .................................... 117,513
2,850 PAYCHEX, INC. .......................................... 99,750
</TABLE>
9
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INFORMATION & COMPUTER SERVICES (CONCLUDED)
900 QUINTILES TRANSNATIONAL CORP.*.......................... $ 13,275
4,200 YAHOO, INC.*............................................ 474,862
600 YOUNG & RUBICAM INC.*................................... 28,650
-----------
2,743,862
-----------
LEISURE -- 0.42%
800 BRUNSWICK CORP. ........................................ 15,400
1,800 DOMINION RESOURCES INC. ................................ 82,350
2,500 EASTMAN KODAK CO. ...................................... 149,375
2,400 HARLEY DAVIDSON INC. ................................... 89,400
1,400 HASBRO, INC. ........................................... 22,925
3,400 MATTEL, INC. ........................................... 46,113
-----------
405,563
-----------
LIFE INSURANCE -- 0.59%
1,100 AETNA LIFE & CASUALTY CO. .............................. 73,425
2,100 AFLAC, INC. ............................................ 108,544
1,900 AMERICAN GENERAL CORP. ................................. 121,719
1,300 CIGNA CORP. ............................................ 115,456
2,700 CONSECO, INC. .......................................... 16,875
1,500 LINCOLN NATIONAL CORP. ................................. 58,125
1,100 TORCHMARK, INC. ........................................ 29,906
1,900 UNUMPROVIDENT CORP. .................................... 43,106
-----------
567,156
-----------
LONG DISTANCE & PHONE COMPANIES -- 5.83%
25,200 AT&T CORP. ............................................. 874,125
12,200 BELL ATLANTIC CORP. .................................... 645,075
14,800 BELLSOUTH CORP. ........................................ 690,975
1,100 CENTURY TELEPHONE ENTERPRISES, INC. .................... 29,700
6,100 GLOBAL CROSSING LTD.*................................... 152,881
7,600 GTE CORP. .............................................. 480,700
22,400 MCI WORLDCOM INC.*...................................... 842,800
26,900 SBC COMMUNICATIONS, INC. ............................... 1,175,194
6,900 SPRINT CORP. ........................................... 417,450
4,000 U.S. WEST, INC. ........................................ 288,000
-----------
5,596,900
-----------
MEDIA -- 2.46%
2,700 CLEAR CHANNEL COMMUNICATIONS*........................... 202,163
7,300 COMCAST CORP., CLASS A*................................. 276,487
16,300 DISNEY, WALT CO. ....................................... 687,656
4,800 MEDIAONE GROUP, INC.*................................... 320,700
10,100 TIME WARNER, INC. ...................................... 797,269
1,900 TRIBUNE CO. ............................................ 73,150
-----------
2,357,425
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
MEDICAL PRODUCTS -- 2.65%
12,100 ABBOTT LABORATORIES..................................... $ 492,319
800 ALZA CORP.*............................................. 40,650
400 BARD, C.R., INC. ....................................... 18,250
500 BAUSCH & LOMB, INC. .................................... 34,750
2,300 BAXTER INTERNATIONAL, INC. ............................. 152,950
2,000 BECTON, DICKINSON & CO. ................................ 58,375
900 BIOMET, INC. ........................................... 32,456
3,300 BOSTON SCIENTIFIC CORP.*................................ 84,562
2,400 GUIDANT CORP.*.......................................... 121,500
11,000 JOHNSON & JOHNSON....................................... 984,500
600 MALLINCKRODT GROUP, INC. ............................... 17,363
9,400 MEDTRONIC, INC. ........................................ 485,275
700 ST. JUDE MEDICAL, INC.*................................. 25,156
-----------
2,548,106
-----------
MEDICAL PROVIDERS -- 0.37%
4,500 COLUMBIA/HCA HEALTHCARE CORP. .......................... 121,500
900 HCR MANOR CARE, INC.*................................... 6,356
3,200 HEALTHSOUTH CORP.*...................................... 20,600
2,500 TENET HEALTHCARE CORP.*................................. 64,063
1,400 UNITEDHEALTH GROUP INC. ................................ 104,387
500 WELLPOINT HEALTH NETWORKS, INC.*........................ 36,313
-----------
353,219
-----------
MINING & METALS -- 0.43%
1,800 ALCAN ALUMINUM, LTD. ................................... 59,062
3,430 ALCOA, INC. ............................................ 200,441
800 ALLEGHENY TECHNOLOGIES, INC. ........................... 18,050
1,100 CROWN CORK & SEAL, INC. ................................ 18,838
1,600 INCO LTD.*.............................................. 26,000
700 NUCOR CORP. ............................................ 27,213
1,200 OWENS ILLINOIS, INC.*................................... 13,500
700 PHELPS DODGE CORP.*..................................... 31,412
800 USX-U.S. STEEL GROUP, INC. ............................. 18,050
-----------
412,566
-----------
MOTOR VEHICLES -- 1.03%
1,400 DANA CORP. ............................................. 36,137
4,500 DELPHI AUTOMOTIVE SYSTEMS CORP. ........................ 81,281
9,600 FORD MOTOR CO. ......................................... 466,200
5,100 GENERAL MOTORS CORP. ................................... 360,187
500 NAVISTAR INTERNATIONAL CORP.*........................... 16,063
700 PACCAR, INC. ........................................... 29,313
-----------
989,181
-----------
OIL REFINING -- 1.22%
1,700 COASTAL CORP. .......................................... 104,338
4,900 CONOCO, INC. ........................................... 139,650
5,600 ENRON CORP. ............................................ 408,100
</TABLE>
10
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL REFINING (CONCLUDED)
800 SUNOCO, INC. ........................................... $ 25,850
4,300 TEXACO, INC. ........................................... 246,981
1,200 TOSCO CORP. ............................................ 36,750
2,500 USX-MARATHON GROUP...................................... 67,969
3,400 WILLIAMS COMPANIES, INC. ............................... 141,312
-----------
1,170,950
-----------
OIL SERVICES -- 0.72%
2,600 BAKER HUGHES, INC. ..................................... 94,250
3,500 HALLIBURTON CO. ........................................ 178,500
700 ROWAN COMPANIES, INC.*.................................. 21,744
4,300 SCHLUMBERGER LTD. ...................................... 316,318
1,658 TRANSOCEAN SEDCO FOREX, INC. ........................... 81,553
-----------
692,365
-----------
OTHER INSURANCE -- 2.23%
6,300 ALLSTATE CORP. ......................................... 166,950
12,200 AMERICAN INTERNATIONAL GROUP, INC. ..................... 1,373,262
1,400 CHUBB CORP. ............................................ 98,000
1,300 CINCINNATI FINANCIAL CORP. ............................. 52,183
1,700 HARTFORD FINANCIAL SERVICES GROUP, INC. ................ 100,512
800 JEFFERSON-PILOT CORP. .................................. 54,900
900 LOEWS CORP. ............................................ 59,288
800 MBIA INC. .............................................. 46,250
800 MGIC INVESTMENT CORP. .................................. 39,650
600 PROGRESSIVE CORP. ...................................... 56,325
1,100 SAFECO CORP. ........................................... 27,019
1,800 ST. PAUL COMPANIES, INC. ............................... 67,500
-----------
2,141,839
-----------
PRECIOUS METALS -- 0.14%
3,100 BARRICK GOLD CORP. ..................................... 55,994
1,400 FREEPORT-MCMORAN COPPER & GOLD, INC.*................... 12,863
2,200 HOMESTAKE MINING CO. ................................... 14,850
1,300 NEWMONT MINING CORP. ................................... 29,981
2,600 PLACER DOME, INC. ...................................... 21,450
-----------
135,138
-----------
PUBLISHING -- 0.50%
600 DELUXE CORP. ........................................... 14,813
1,100 DONNELLEY, R.R. & SONS CO. ............................. 27,156
700 DOW JONES & CO., INC. .................................. 47,600
2,200 GANNETT, INC. .......................................... 142,450
600 HARCOURT GENERAL, INC. ................................. 23,700
700 KNIGHT RIDDER, INC. .................................... 37,100
1,600 MCGRAW-HILL COMPANIES, INC. ............................ 82,300
1,400 NEW YORK TIMES CO., CLASS A............................. 53,725
500 TIMES MIRROR CO. ....................................... 48,250
-----------
477,094
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
RAILROADS -- 0.34%
3,600 BURLINGTON NORTHERN SANTA FE, INC. ..................... $ 85,050
1,800 CSX CORP. .............................................. 39,150
900 KANSAS CITY SOUTHERN INDUSTRIES, INC. .................. 60,525
3,100 NORFOLK SOUTHERN CORP. ................................. 55,219
2,000 UNION PACIFIC CORP. .................................... 84,625
-----------
324,569
-----------
RESTAURANTS -- 0.48%
1,100 DARDEN RESTAURANTS, INC. ............................... 18,906
10,700 MCDONALDS CORP. ........................................ 383,194
1,200 TRICON GLOBAL RESTAURANTS, INC.*........................ 35,175
1,000 WENDY'S INTERNATIONAL, INC. ............................ 19,563
-----------
456,838
-----------
SECURITIES & ASSET MANAGEMENT -- 1.50%
1,000 BEAR STEARNS CO., INC. ................................. 39,375
9,750 CHARLES SCHWAB CORP. ................................... 280,312
2,000 FRANKLIN RESOURCES, INC. ............................... 60,000
1,000 LEHMAN BROTHERS HOLDINGS, INC. ......................... 77,188
3,000 MERRILL LYNCH & CO., INC. .............................. 295,875
9,000 MORGAN STANLEY DEAN WITTER & CO. ....................... 647,437
1,000 T. ROWE PRICE & ASSOCIATES INC. ........................ 38,188
-----------
1,438,375
-----------
SEMICONDUCTOR -- 6.48%
1,200 ADVANCED MICRO DEVICES, INC.*........................... 97,725
1,600 ALTERA CORP.*........................................... 137,400
2,800 ANALOG DEVICES, INC.*................................... 215,600
6,000 APPLIED MATERIALS, INC.*................................ 501,000
1,700 CONEXANT SYSTEMS, INC.*................................. 63,963
26,400 INTEL CORP. ............................................ 3,291,750
2,400 LINEAR TECHNOLOGY CORP. ................................ 141,750
2,300 LSI LOGIC CORP.*........................................ 121,181
2,200 MAXIM INTEGRATED PRODUCTIONS INC.*...................... 139,563
4,300 MICRON TECHNOLOGY, INC.*................................ 300,731
1,300 NATIONAL SEMICONDUCTOR CORP.*........................... 69,875
400 PERKINELMER, INC. ...................................... 21,000
12,800 TEXAS INSTRUMENTS, INC. ................................ 924,800
2,500 XILINX, INC.*........................................... 190,312
-----------
6,216,650
-----------
SPECIALTY RETAIL -- 1.89%
1,100 AUTOZONE, INC.*......................................... 30,800
1,100 BED, BATH & BEYOND, INC.*............................... 40,494
1,600 BEST BUY COMPANY, INC.*................................. 102,400
1,600 CIRCUIT CITY STORES, INC. .............................. 79,700
900 CONSOLIDATED STORES CORP.*.............................. 11,700
3,100 CVS CORP. .............................................. 134,850
2,625 DOLLAR GENERAL CORP. ................................... 45,937
</TABLE>
11
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
COMMON STOCKS (CONCLUDED)
SPECIALTY RETAIL (CONCLUDED)
18,150 HOME DEPOT, INC. ....................................... $ 885,947
3,000 LOWE'S COMPANIES, INC. ................................. 139,687
2,600 OFFICE DEPOT, INC.*..................................... 18,363
2,200 RITE AID CORP. ......................................... 15,263
3,700 STAPLES, INC.*.......................................... 54,575
1,900 TOYS R US, INC.*........................................ 29,925
7,900 WALGREEN CO. ........................................... 224,162
-----------
1,813,803
-----------
THRIFT -- 0.19%
1,300 GOLDEN WEST FINANCIAL CORP. ............................ 54,275
4,600 WASHINGTON MUTUAL, INC. ................................ 132,250
-----------
186,525
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<C> <S> <C>
TOBACCO -- 0.53%
18,700 PHILIP MORRIS COMPANIES INC. ........................... $ 488,538
1,400 UST, INC. .............................................. 23,275
-----------
511,813
-----------
WIRELESS TELECOMMUNICATIONS -- 0.84%
2,500 ALLTEL CORP. ........................................... 163,594
2,900 NEXTEL COMMUNICATIONS, INC.*............................ 268,612
6,800 SPRINT CORP.*(1)........................................ 377,400
-----------
809,606
-----------
TOTAL COMMON STOCKS (COST -- $87,189,063).......................... 95,642,937
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATE RATE
--------- -------- --------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENT -- 0.16%
$155 REPURCHASE AGREEMENT DATED 05/31/00
WITH STATE STREET BANK & TRUST CO.,
COLLATERALIZED BY $158,837 U.S.
TREASURY NOTES, 5.50% DUE 08/31/01
(VALUE -- $158,514); PROCEEDS:
$155,022 (COST -- $155,000)......... 06/01/00 5.00% 155,000
-----------
TOTAL INVESTMENTS (COST -- $87,344,063)--99.79%. 95,797,937
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.21%.. 201,189
-----------
NET ASSETS -- 100.00%........................... $95,999,126
===========
</TABLE>
---------
* NON-INCOME PRODUCING SECURITY.
ADR AMERICAN DEPOSITARY RECEIPT.
(1) SECURITY OR PORTION THEREOF, WAS ON LOAN AT MAY 31, 2000.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES MAY 31, 2000
<TABLE>
<CAPTION>
<S> <C>
ASSETS
INVESTMENTS IN SECURITIES, AT VALUE (COST -- $87,344,063)......... $95,797,937
INVESTMENTS OF CASH COLLATERAL RECEIVED FOR SECURITIES LOANED, AT
VALUE (COST -- $335,502)......................................... 335,502
CASH.............................................................. 36,286
RECEIVABLE FOR SHARES OF BENEFICIAL INTEREST SOLD................. 171,242
DIVIDENDS AND INTEREST RECEIVABLE................................. 136,150
DEFERRED ORGANIZATIONAL EXPENSES.................................. 70,183
OTHER ASSETS...................................................... 29,651
-----------
TOTAL ASSETS...................................................... 96,576,951
-----------
LIABILITIES
PAYABLE FOR CASH COLLATERAL FOR SECURITIES LOANED................. 335,502
PAYABLE FOR SHARES OF BENEFICIAL INTEREST REPURCHASED............. 19,894
PAYABLE FOR INVESTMENTS PURCHASED................................. 60,244
PAYABLE TO AFFILIATES............................................. 43,831
ACCRUED EXPENSES AND OTHER LIABILITIES............................ 118,354
-----------
TOTAL LIABILITIES................................................. 577,825
-----------
NET ASSETS
BENEFICIAL INTEREST -- $0.001 PAR VALUE (UNLIMITED AMOUNT
AUTHORIZED)...................................................... 87,664,239
UNDISTRIBUTED NET INVESTMENT INCOME............................... 125,012
ACCUMULATED NET REALIZED LOSSES FROM INVESTMENT AND FUTURES
TRANSACTIONS..................................................... (243,999)
NET UNREALIZED APPRECIATION OF INVESTMENTS ....................... 8,453,874
-----------
NET ASSETS........................................................ $95,999,126
===========
CLASS A:
NET ASSETS........................................................ $33,409,260
-----------
SHARES OUTSTANDING................................................ 1,883,358
-----------
NET ASSET VALUE AND REDEMPTION VALUE PER SHARE.................... $17.74
======
MAXIMUM OFFERING PRICE PER SHARE (NET ASSET VALUE PLUS SALES
CHARGE OF 2.50% OF OFFERING PRICE)............................... $18.19
======
CLASS C:
NET ASSETS........................................................ $42,478,238
-----------
SHARES OUTSTANDING................................................ 2,411,886
-----------
NET ASSET VALUE AND OFFERING PRICE PER SHARE...................... $17.61
======
CLASS Y:
NET ASSETS........................................................ $20,111,628
-----------
SHARES OUTSTANDING................................................ 1,132,264
-----------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION VALUE PER SHARE.... $17.76
======
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEAR
ENDED
MAY 31, 2000
------------
<S> <C>
INVESTMENT INCOME:
DIVIDENDS (NET OF FOREIGN WITHHOLDING TAX OF $4,459)................ $ 876,638
INTEREST............................................................ 59,079
----------
935,717
----------
EXPENSES:
INVESTMENT ADVISORY AND ADMINISTRATION.............................. 145,401
SERVICE FEES -- CLASS A............................................. 65,635
SERVICE AND DISTRIBUTION FEES -- CLASS C............................ 350,602
FEDERAL AND STATE REGISTRATION...................................... 94,910
LEGAL AND AUDIT..................................................... 69,698
REPORTS AND NOTICES TO SHAREHOLDERS................................. 59,893
CUSTODY AND ACCOUNTING.............................................. 38,349
TRANSFER AGENCY..................................................... 35,298
AMORTIZATION OF ORGANIZATION EXPENSE................................ 15,094
TRUSTEES' FEES...................................................... 10,500
OTHER EXPENSES...................................................... 38,318
----------
923,698
LESS: FEE WAIVERS AND EXPENSE REIMBURSEMENTS FROM ADVISER........... (252,435)
----------
NET EXPENSES........................................................ 671,263
----------
NET INVESTMENT INCOME............................................... 264,454
----------
REALIZED AND UNREALIZED GAINS FROM INVESTMENT ACTIVITIES:
NET REALIZED GAINS FROM:
INVESTMENT TRANSACTIONS............................................ 823,284
FUTURES CONTRACTS.................................................. 97,213
NET CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION OF:
INVESTMENTS........................................................ 4,214,519
FUTURES CONTRACTS.................................................. 289,813
----------
NET REALIZED AND UNREALIZED GAINS FROM INVESTMENT ACTIVITIES........ 5,424,829
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $5,689,283
==========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE YEARS ENDED MAY
31,
--------------------------
2000 1999
------------ ------------
<S> <C> <C>
FROM OPERATIONS:
NET INVESTMENT INCOME.............................. $ 264,454 $ 190,247
NET REALIZED GAINS FROM INVESTMENT AND FUTURES
TRANSACTIONS...................................... 920,497 1,096,431
NET CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION
OF INVESTMENTS AND FUTURES........................ 4,504,332 2,743,704
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ 5,689,283 4,030,382
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
NET INVESTMENT INCOME -- CLASS A................... (146,116) (73,805)
NET INVESTMENT INCOME -- CLASS C................... (32,441) (25,116)
NET INVESTMENT INCOME -- CLASS Y................... (75,988) (49,729)
NET REALIZED GAINS FROM INVESTMENT TRANSACTIONS --
CLASS A.......................................... (707,088) (62,231)
NET REALIZED GAINS FROM INVESTMENT TRANSACTIONS --
CLASS C.......................................... (982,656) (24,361)
NET REALIZED GAINS FROM INVESTMENT TRANSACTIONS --
CLASS Y.......................................... (276,817) (41,894)
------------ ------------
TOTAL DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS.. (2,221,106) (277,136)
------------ ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
NET PROCEEDS FROM THE SALE OF SHARES............... 79,772,508 54,058,949
COST OF SHARES REPURCHASED......................... (38,486,287) (22,528,886)
PROCEEDS FROM DIVIDENDS REINVESTED................. 2,030,794 249,577
------------ ------------
NET INCREASE IN NET ASSETS FROM BENEFICIAL INTEREST
TRANSACTIONS...................................... 43,317,015 31,779,640
------------ ------------
NET INCREASE IN NET ASSETS......................... 46,785,192 35,532,886
NET ASSETS:
BEGINNING OF YEAR.................................. 49,213,934 13,681,048
------------ ------------
END OF YEAR (INCLUDING UNDISTRIBUTED NET INVESTMENT
INCOME OF $125,012 AND $114,767, RESPECTIVELY).... $ 95,999,126 $ 49,213,934
============ ============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
NOTES TO FINANCIAL STATEMENTS
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
PaineWebber S&P 500 Index Fund (the "Fund") is a series of PaineWebber Index
Trust (the "Trust") and is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended, as an open-
end, diversified management investment company. Organizational costs have been
deferred and are being amortized using the straight line method over a period
not to exceed 60 months from the date the Fund commenced operations.
Currently, the Fund offers Class A, Class C and Class Y shares. Each class
represents interests in the same assets of the Fund, and the classes are iden-
tical except for differences in their sales charge structures, ongoing service
and distribution charges and certain transfer agency expenses. All classes of
shares have equal voting privileges except that Class A and Class C shares have
exclusive voting rights with respect to their service and/or distribution plan.
Class Y shares have no service or distribution plan.
The preparation of financial statements in accordance with generally accepted
accounting principles requires Fund 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:
Valuation of Investments--The Fund calculates its net asset value based on the
current market value for the portfolio securities. The Fund normally obtains
market values for its securities from independent pricing sources. Independent
pricing sources may use reported last sale prices, current market quotations or
valuations from computerized "matrix" systems that derive values based on com-
parable securities. Securities traded in the over-the-counter ("OTC") market
and listed on The Nasdaq Stock Market, Inc. ("Nasdaq") normally are valued at
the last sale price on Nasdaq prior to valuation. Other OTC securities are val-
ued at the last bid price available prior to valuation. Securities which are
listed on U.S. and foreign stock exchanges normally are valued at the last sale
price on the day the securities are valued or, lacking any sales on such day,
at the last available bid price. In cases where securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by Mitchell Hutchins Asset Management Inc. ("Mitchell
Hutchins"), the investment adviser, administrator and distributor, and a wholly
owned asset management subsidiary of PaineWebber Incorporated ("PaineWebber").
If a market value is not available from an independent pricing source for a
particular security, that security is valued at fair value as determined in
good faith by or under the direction of the Trust's board of trustees (the
"board"). The amortized cost method of valuation, which approximates market
value, generally is used to value short-term debt instruments with sixty days
or less remaining to maturity, unless the board determines that this does not
represent fair value.
Repurchase Agreements--The Fund's custodian takes possession of the collateral
pledged for investments in repurchase agreements. The underlying collateral is
valued daily on a mark-to-market basis to ensure that the value, including ac-
crued interest, is at least equal to the repurchase price. In the event of de-
fault of the obligation to repurchase, the Fund has the right to liquidate the
collateral and apply the proceeds in satisfaction of the obligation. Under cer-
tain circumstances, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings. The Fund occasionally participates in joint repurchase
agreement transactions with other funds managed by Mitchell Hutchins.
Investment Transactions and Investment Income--Investment transactions are re-
corded on the trade date. Realized gains and losses from investment transac-
tions are calculated using the identified cost method. Interest income is re-
corded on an accrual basis. Dividend income is recorded on the ex-dividend
date. Discounts are accreted and premiums are amortized as adjustments to in-
terest income and the identified cost of investments.
16
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Income, expenses (excluding class-specific expenses) and realized/unrealized
gains/losses are allocated proportionately to each class of shares based upon
the relative net asset value of outstanding shares (or the value of dividend
eligible shares, as appropriate) of each class at the beginning of the day (af-
ter adjusting for current capital share activity of the respective classes).
Class-specific expenses are charged directly to the applicable class of shares.
Futures Contracts--Upon entering into a financial futures contract, the Fund
is required to pledge to a broker an amount of cash and/or U.S. securities
equal to a certain percentage of the contract amount. This amount is known as
the "initial margin." Subsequent, payments, known as "variation margin" are
made or received by the Fund each day, depending on the daily fluctuations in
the value of the underlying financial futures contracts. Such variation margin
is recorded for financial statement purposes on a daily basis as unrealized
gain or loss until the financial futures contract is closed, at which time the
net gain or loss is reclassified to realized.
Using financial futures contracts involves various market risks. The maximum
amount at risk from the purchase of a futures contract is the contract value.
The Fund uses financial futures contracts as an alternative to investing di-
rectly in the underlying securities or for hedging purposes. However, imperfect
correlations between futures contracts and the portfolio securities being
hedged, or market disruptions, do not normally permit full control of these
risks at all times.
Dividends and Distributions--Dividends and distributions to shareholders are
recorded on the ex-dividend date. The amount of dividends and distributions are
determined in accordance with federal income tax regulations, which may differ
from generally accepted accounting principles. These "book/tax" differences are
either considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified within the
capital accounts based on their federal tax-basis treatment; temporary
differences do not require reclassification.
INVESTMENT ADVISER AND ADMINISTRATOR
The board has approved an Investment Advisory and Administration Contract
("Advisory Contract") with Mitchell Hutchins, under which Mitchell Hutchins
serves as investment adviser and administrator of the Fund. In accordance with
the Advisory Contract, the Fund pays Mitchell Hutchins an investment advisory
and administration fee, which is accrued daily and paid monthly, at an annual
rate of 0.20% of the Fund's average daily net assets. For the year ended May
31, 2000, Mitchell Hutchins has voluntarily undertaken to waive all advisory
fees and reimburse a portion of other expenses in the amount of $106,843 to the
Fund. Mitchell Hutchins waived a portion of its investment advisory and admin-
istration fees in connection with the Fund's investment of cash collateral from
securities lending transactions in the Mitchell Hutchins Private Money Market
Fund LLC. For the year ended May 31, 2000, Mitchell Hutchins waived $191.
DISTRIBUTION PLANS
Mitchell Hutchins is the distributor of the Fund's shares and has appointed
PaineWebber as the exclusive dealer for the sale of those shares. There is no
distribution plan with respect to the Fund's Class Y shares. Under separate
plans of service and/or distribution pertaining to Class A and Class C shares,
the Fund pays Mitchell Hutchins monthly service fees at the annual rate of
0.25% of the average daily net assets of Class A and Class C and monthly dis-
tribution fees at the annual rate of 0.75% of the average daily net assets of
Class C. At May 31, 2000, the Fund owed Mitchell Hutchins $42,628 in service
and distribution fees.
Mitchell Hutchins also receives the proceeds of the initial sales charge paid
by the shareholders upon the purchase of Class A shares and the contingent de-
ferred sales charge paid by shareholders upon certain redemptions of Class C
shares. Mitchell Hutchins has informed the Fund that for the year ended May 31,
2000, it earned $105,337 in sales charges.
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
TRANSFER AGENCY SERVICE FEES
PaineWebber provides transfer agency related services to the Fund pursuant to
a delegation of authority from PFPC, Inc., the Fund's transfer agent, and is
compensated for these services by PFPC, Inc., not the Fund. For the year ended
May 31, 2000, PaineWebber received from PFPC, Inc., not the Fund, approximately
54% of the total transfer agency fees collected by PFPC, Inc. from the Fund.
SECURITY LENDING
The Fund may lend securities up to 33 1/3% of its total assets to qualified
institutions. The loans are secured at all times by cash, U.S. government
securities or irrevocable letters of credit that meet certain guidelines
established by Mitchell Hutchins, in an amount at least equal to the market
value of the securities loaned, plus accrued interest, determined on a daily
basis and adjusted accordingly. The Fund will regain record ownership of loaned
securities to exercise certain beneficial rights, however, the Fund may bear
the risk of delay in recovery of, or even loss of rights in, the securities
loaned should the borrower fail financially. The Fund receives compensation for
lending its securities from interest earned on the cash or U.S. government
securities held as collateral, net of fee rebates paid to the borrower plus
reasonable administrative and custody fees. For the year ended May 31, 2000,
the Fund earned $4,412 for lending securities. The Fund's lending agent is
PaineWebber, who earned $1,500 in compensation from the Fund in that capacity
for the year ended May 31, 2000. At May 31, 2000, the Fund owed PaineWebber
$1,203 in compensation.
As of May 31, 2000, the Fund held cash and/or cash equivalents having an ag-
gregate value of $335,502 as collateral for portfolio securities loaned having
a market value of $331,688 which was invested in the following money market
funds:
<TABLE>
<CAPTION>
NUMBER
OF
SHARES VALUE
------ --------
<C> <S> <C>
151,740 AIM LIQUID ASSETS MONEY MARKET PORTFOLIO.................... $151,740
1,555 AIM PRIME MONEY MARKET PORTFOLIO............................ 1,555
182,207 MITCHELL HUTCHINS PRIVATE MONEY MARKET FUND LLC............. 182,207
--------
TOTAL INVESTMENTS OF CASH COLLATERAL RECEIVED FOR SECURITIES ON LOAN
(COST -- $335,502).................................................. $335,502
========
</TABLE>
BANK LINE OF CREDIT
The Fund may participate with other funds managed by Mitchell Hutchins in a
$200 million committed credit facility ("Facility") to be utilized for
temporary financing until the settlement of sales or purchases of portfolio
securities, the repurchase or redemption of shares of the Fund at the request
of the shareholders and other temporary or emergency purposes. In connection
therewith, the Fund has agreed to pay a commitment fee, pro rata, based on the
relative asset size of the funds in the Facility. Interest is charged to the
Fund at rates based on prevailing market rates in effect at the time of
borrowings. For the year ended May 31, 2000, the Fund did not borrow under the
Facility.
INVESTMENTS IN SECURITIES
For federal income tax purposes, the cost of securities owned at May 31, 2000
was substantially the same as the cost of securities for financial statement
purposes.
At May 31, 2000, the components of net unrealized appreciation of investments
were as follows:
<TABLE>
<S> <C>
GROSS APPRECIATION (INVESTMENTS HAVING AN EXCESS OF VALUE OVER
COST)............................................................ $15,030,876
GROSS DEPRECIATION (INVESTMENTS HAVING AN EXCESS OF COST OVER
VALUE)........................................................... (6,577,002)
-----------
NET UNREALIZED APPRECIATION OF INVESTMENTS........................ $ 8,453,874
===========
</TABLE>
18
<PAGE>
NOTES TO FINANCIAL STATEMENTS
For the year ended May 31, 2000, total aggregate purchases and sales of port-
folio securities, excluding short-term securities, were as follows:
<TABLE>
<S> <C>
PURCHASES........................................................... $52,549,994
SALES............................................................... $ 3,574,996
</TABLE>
FEDERAL TAX STATUS
The Fund intends to distribute substantially all of its taxable income and to
comply with the other requirements of the Internal Revenue Code applicable to
regulated investment companies. Accordingly, no provision for federal income
taxes is required. In addition, by distributing during each calendar year,
substantially all of its net investment income, capital gains and certain other
amounts, if any, the Fund intends not to be subject to a federal excise tax.
To reflect reclassifications arising from permanent "book/tax" differences for
the year ended May 31, 2000, undistributed net investment income was increased
by $336, accumulated net realized losses were decreased by $70,128 and capital
stock was decreased by $70,464.
BENEFICIAL INTEREST
There is an unlimited number of $0.001 par value shares of beneficial interest
authorized. Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
CLASS A CLASS C CLASS Y
----------------------- ----------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- ------------ --------- ------------
FOR THE YEAR ENDED MAY
31, 2000:
<S> <C> <C> <C> <C> <C> <C>
SHARES SOLD............. 1,380,275 $ 24,612,272 1,536,427 $ 26,784,706 1,642,173 $ 28,375,530
SHARES REPURCHASED...... (671,104) (12,030,789) (610,517) (10,652,475) (915,284) (15,803,023)
DIVIDENDS REINVESTED.... 42,262 744,233 55,092 966,314 18,175 320,247
--------- ------------ --------- ------------ --------- ------------
NET INCREASE............ 751,433 $ 13,325,716 981,002 $ 17,098,545 745,064 $ 12,892,754
========= ============ ========= ============ ========= ============
</TABLE>
<TABLE>
<CAPTION>
CLASS A* CLASS C** CLASS X*** CLASS Y
---------------------- ---------------------- --------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- ----------- -------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEAR ENDED MAY 31, 1999:
SHARES SOLD............. 1,409,840 $21,361,104 1,620,838 $25,846,090 171,810 $ 2,361,185 295,702 $ 4,490,570
SHARES REPURCHASED...... (285,423) (4,514,742) (193,103) (3,095,455) (28,956) (398,536) (1,026,540) (14,520,153)
DIVIDENDS REINVESTED.... 7,508 111,868 3,149 46,857 -- -- 6,097 90,852
SHARES CONVERTED FROM
CLASS X TO CLASS Y..... -- -- -- -- (198,767) (2,627,695) 198,616 2,627,695
--------- ----------- --------- ----------- -------- ----------- ---------- ------------
NET INCREASE (DECREASE). 1,131,925 $16,958,230 1,430,884 $22,797,492 (55,913) $ (665,046) (526,125) $ (7,311,036)
========= =========== ========= =========== ======== =========== ========== ============
</TABLE>
---------
* COMMENCEMENT OF ISSUANCE OF SHARES--OCTOBER 2, 1998
** COMMENCEMENT OF ISSUANCE OF SHARES--OCTOBER 7, 1998
*** SHARES OF FORMER CLASS A WERE RENAMED CLASS X AND THEN CONVERTED INTO CLASS
Y ON SEPTEMBER 30, 1998
19
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD IS PRESENTED BELOW:
<TABLE>
<CAPTION>
CLASS A CLASS C
----------------------------- -----------------------------
FOR THE PERIOD FOR THE PERIOD
FOR THE OCTOBER 2, 1998+ FOR THE OCTOBER 7, 1998+
YEAR ENDED THROUGH YEAR ENDED THROUGH
MAY 31, 2000 MAY 31, 1999 MAY 31, 2000 MAY 31, 1999
------------ ---------------- ------------ ----------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $16.72 $12.83 $16.64 $12.80
------ ------ ------ ------
NET INVESTMENT INCOME
(LOSS)................. 0.12* 0.08* (0.01)* 0.02*
NET REALIZED AND
UNREALIZED GAINS
(LOSSES) FROM
INVESTMENTS AND
FUTURES................ 1.49* 4.03* 1.49* 4.02*
------ ------ ------ ------
NET INCREASE (DECREASE)
FROM INVESTMENT
OPERATIONS............. 1.61 4.11 1.48 4.04
------ ------ ------ ------
DIVIDENDS FROM NET
INVESTMENT INCOME...... (0.10) (0.12) (0.02) (0.10)
DISTRIBUTIONS FROM NET
REALIZED GAINS FROM
INVESTMENT
TRANSACTIONS........... (0.49) (0.10) (0.49) (0.10)
------ ------ ------ ------
TOTAL DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS........... (0.59) (0.22) (0.51) (0.20)
------ ------ ------ ------
NET ASSET VALUE, END OF
PERIOD................. $17.74 $16.72 $17.61 $16.64
====== ====== ====== ======
TOTAL INVESTMENT
RETURN(1).............. 9.67% 32.23% 8.89% 31.77%
====== ====== ====== ======
RATIOS/SUPPLEMENTAL
DATA:
NET ASSETS, END OF
PERIOD (000'S)......... $33,409 $18,920 $42,478 $23,813
EXPENSES TO AVERAGE NET
ASSETS NET OF WAIVERS
AND REIMBURSEMENTS FROM
ADVISER................ 0.60% 0.60%** 1.35% 1.35%**
EXPENSES TO AVERAGE NET
ASSETS BEFORE WAIVERS
AND REIMBURSEMENTS FROM
ADVISER................ 0.94% 1.52%** 1.70% 2.24%**
NET INVESTMENT INCOME
(LOSS) TO AVERAGE NET
ASSETS NET OF WAIVERS
AND REIMBURSEMENTS FROM
ADVISER................ 0.69% 0.87%** (0.06)% 0.17%**
NET INVESTMENT INCOME
(LOSS) TO AVERAGE NET
ASSETS BEFORE WAIVERS
AND REIMBURSEMENTS FROM
ADVISER................ 0.35% (0.06)%** (0.41)% (0.73)%**
PORTFOLIO TURNOVER RATE
....................... 5% 62% 5% 62%
</TABLE>
---------
* CALCULATED USING AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
** ANNUALIZED
+ COMMENCEMENT OF ISSUANCE OF SHARES
++ SHARES OF FORMER CLASS A WERE RENAMED CLASS X AND THEN CONVERTED INTO CLASS
Y ON SEPTEMBER 30, 1998.
(1) TOTAL INVESTMENT RETURN IS CALCULATED ASSUMING A $1,000 INVESTMENT ON THE
FIRST DAY OF THE PERIOD REPORTED, REINVESTMENT OF ALL DIVIDENDS AND
DISTRIBUTIONS, IF ANY, AT NET ASSET VALUE ON THE PAYABLE DATES AND A SALE
AT NET ASSET VALUE ON THE LAST DAY OF EACH PERIOD REPORTED. THE FIGURES DO
NOT INCLUDE ANY APPLICABLE SALES CHARGES OR PROGRAM FEES; RESULTS WOULD BE
LOWER IF THEY WERE INCLUDED. TOTAL INVESTMENT RETURN FOR PERIODS LESS THAN
ONE YEAR HAS NOT BEEN ANNUALIZED.
20
<PAGE>
<TABLE>
<CAPTION>
CLASS X CLASS Y
---------------------------------------- --------------------------------------------
FOR THE PERIOD
JUNE 1, 1998 FOR THE PERIOD FOR THE PERIOD
THROUGH DECEMBER 31, 1997+ FOR THE FOR THE DECEMBER 31, 1997+
SEPTEMBER 30, 1998++ THROUGH YEAR ENDED YEAR ENDED THROUGH
(UNAUDITED) MAY 31, 1998 MAY 31, 2000 MAY 31, 1999 MAY 31, 1998
-------------------- ------------------ ------------ ------------ ------------------
<S> <C> <C> <C> <C>
$14.11 $12.50 $16.74 $14.12 $12.50
------ ------ ------ ------ ------
0.05 * 0.03 0.17* 0.16 * 0.06
(0.94)* 1.58 1.47* 2.68 * 1.56
------ ------ ------ ------ ------
(0.89) 1.61 1.64 2.84 1.62
------ ------ ------ ------ ------
-- -- (0.13) (0.12) --
-- -- (0.49) (0.10) --
------ ------ ------ ------ ------
-- -- (0.62) (0.22) --
------ ------ ------ ------ ------
$13.22 $14.11 $17.76 $16.74 $14.12
====== ====== ====== ====== ======
(6.31)% 12.88% 9.86% 20.30% 12.96%
====== ====== ====== ====== ======
-- $789 $20,112 $6,480 $12,892
0.40%** 0.40%** 0.35% 0.35% 0.35%**
1.29%** 2.25%** 0.69% 1.29% 2.22%**
1.19%** 1.26%** 0.92% 1.12% 1.41%**
0.29%** (0.60)** 0.58% 0.18% (0.46)%**
73% 1% 5% 62% 1%
</TABLE>
21
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
22
<PAGE>
PAINEWEBBER S&P 500 INDEX FUND
REPORT OF INDEPENDENT AUDITORS
The Boards of Trustees and Shareholders
of PaineWebber S&P 500 Index Fund
We have audited the accompanying statement of assets and liabilities of the
PaineWebber S&P 500 Index Fund (the "Fund"), including the portfolio of invest-
ments, as of May 31, 2000, and the related statement of operations for the year
ended May 31, 2000, the statements of changes in net assets for each of the two
years in the period then ended May 31, 2000 and the financial highlights for
the periods indicated. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally ac-
cepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included con-
firmation of investments owned at March 31, 2000 by correspondence with the
custodian and brokers. An audit also includes assessing the accounting princi-
ples used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits pro-
vide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Fund at May 31, 2000, the results of its operations for the year ended May 31,
2000, and changes in net assets for each of the two years in the period then
ended May 31, 2000 and financial highlights for the periods indicated, in con-
formity with accounting principles generally accepted in the United States.
/s/ Ernst & Young LLP
New York, New York
July 25, 2000
23
<PAGE>
PAINWEBBER S&P 500 INDEX FUND
TAX INFORMATION (UNAUDITED)
We are required by Subchapter M of the Internal Revenue Code of 1986, as
amended, to advise you within 60 days of the Fund's fiscal year end (May 31,
2000) as to federal tax status of distributions received by shareholders during
such fiscal year. Accordingly, we are advising you that the following distribu-
tions paid during the fiscal year are taxable and are derived from the follow-
ing sources:
<TABLE>
<CAPTION>
PER SHARE DATA: CLASS A CLASS C CLASS Y
--------------- ------- ------- -------
<S> <C> <C> <C>
NET INVESTMENT INCOME*.............................. $0.1014 $0.0162 $0.1347
SHORT-TERM CAPITAL GAINS*........................... $0.3963 $0.3963 $0.3963
LONG-TERM CAPITAL GAINS............................. $0.0944 $0.0944 $0.0944
PERCENTAGE OF ORDINARY INCOME DIVIDENDS QUALIFYING
FOR THE DIVIDENDS
RECEIVED DEDUCTION AVAILABLE TO CORPORATE
SHAREHOLDERS....................................... 29.14% 29.14% 29.14%
</TABLE>
*TAXABLE AS ORDINARY INCOME
Dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not
be reported as taxable income. Some retirement trusts (e.g., corporate, Keogh
and 403(b)(7) plans) may need this information for their annual information re-
porting.
Since the Fund's fiscal year is not the calendar year, another notification
will be sent in respect of calendar year 2000. The second notification, which
will reflect the amount to be used by calendar year taxpayers on their federal
income tax returns, will be made in conjunction with Form 1099 DIV and will be
mailed in January 2001. Shareholders are advised to consult their own tax ad-
visers with respect to the tax consequences of their investment in the Fund.
24
<PAGE>
================================================================================
TRUSTEES
E. Garrett Bewkes, Jr. Meyer Feldberg
Chairman George W. Gowen
Margo N. Alexander Frederic V. Malek
Richard Q. Armstrong Carl W. Schafer
Richard R. Burt Brian M. Storms
Mary C. Farrell
PRINCIPAL OFFICERS
Margo N. Alexander Paul H. Schubert
President Vice President and Treasurer
Dianne E. O'Donnell T. Kirkham Barneby
Vice President and Secretary Vice President
INVESTMENT ADVISER,
ADMINISTRATOR AND DISTRIBUTOR
Mitchell Hutchins Asset Management Inc.
51 West 52nd Street
New York, New York 10019
A prospectus containing more complete information for any of the Funds listed on
the back cover can be obtained from a PaineWebber Financial Advisor or
corresponding firm. Read the prospectus carefully before investing.
This report is not to be used in conjunction with the offering of shares of the
Fund unless accompanied or preceded by an effective prospectus.
<PAGE>
PaineWebber offers a family of 26 funds which encompass a diversified range of
investment goals.
BOND FUNDS
. High Income Fund
. Investment Grade Income Fund
. Low Duration U.S. Government Income Fund
. Strategic Income Fund
. U.S. Government Income Fund
TAX-FREE BOND FUNDS
. California Tax Free Income Fund
. Municipal High Income Fund
. National Tax Free Income Fund
. New York Tax-Free Income Fund
STOCK FUNDS
. Enhanced S&P 500 Fund
. Enhanced Nasdaq-100 Fund
. Financial Services Growth Fund
. Growth Fund
. Growth and Income Fund
. Mid Cap Fund
. Small Cap Fund
. S&P 500 Index Fund
. Strategy Fund
. Tax-Managed Equity Fund
ASSET ALLOCATION FUNDS
. Balanced Fund
. Tactical Allocation Fund
GLOBAL FUNDS
. Asia Pacific Growth Fund
. Emerging Markets Equity Fund
. Global Equity Fund
. Global Income Fund
PAINE WEBBER MONEY MARKET FUND
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(C)2000 PaineWebber Incorporated
All Rights Reserved
Member SIPC
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