<PAGE> 1
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS AGGRESSIVE FUND
INVESTOR DESTINATIONS MODERATELY AGGRESSIVE FUND
INVESTOR DESTINATIONS MODERATE FUND
INVESTOR DESTINATIONS MODERATELY CONSERVATIVE FUND
INVESTOR DESTINATIONS CONSERVATIVE FUND
NATIONWIDE SMALL CAP INDEX FUND
NATIONWIDE MID CAP MARKET INDEX FUND
NATIONWIDE INTERNATIONAL INDEX FUND
NATIONWIDE BOND INDEX FUND
MASTER SMALL CAP SERIES
MASTER MID CAP SERIES
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) SERIES
MASTER AGGREGATE BOND SERIES
MORLEY CAPITAL ACCUMULATION FUND
NORTHPOINTE SMALL CAP VALUE FUND
ANNUAL REPORT
OCTOBER 31, 2000
<PAGE> 2
NATIONWIDE(R) MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2000
TABLE OF CONTENTS
<TABLE>
<S> <C>
INVESTOR DESTINATIONS
---------------------
Investor Destinations Aggressive Fund....................... 3
Investor Destinations Moderately Aggressive Fund............ 4
Investor Destinations Moderate Fund......................... 5
Investor Destinations Moderately Conservative Fund.......... 6
Investor Destinations Conservative Fund..................... 7
Statements of Investments................................... 8
Statements of Assets and Liabilities........................ 13
Statements of Operations.................................... 14
Statements of Changes....................................... 15
Financial Highlights........................................ 16
Notes to Financial Statements............................... 21
Independent Auditors' Report................................ 29
FEEDER FUNDS
------------
Nationwide Small Cap Index Fund............................. 32
Nationwide Mid Cap Market Index Fund........................ 33
Nationwide International Index Fund......................... 34
Nationwide Bond Index Fund.................................. 35
Statements of Assets and Liabilities........................ 36
Statements of Operations.................................... 37
Statements of Changes....................................... 38
Financial Highlights........................................ 39
Notes to Financial Statements............................... 43
Independent Auditors' Report................................ 51
MASTER PORTFOLIOS
-----------------
October 31, 2000 (unaudited):
Master Small Cap Index Series............................... 52
Master Mid Cap Index Series................................. 72
Master International (Capitalization Weighted) Index
Series.................................................... 78
Master Aggregate Bond Index Series.......................... 86
December 31, 1999 (audited):
Master Small Cap Index Series............................... 91
Master Mid Cap Index Series................................. 113
Master International (Capitalization Weighted) Index
Series.................................................... 125
Master Aggregate Bond Index Series.......................... 140
MORLEY CAPITAL ACCUMULATION FUND
--------------------------------
Morley Capital Accumulation Fund............................ 154
Statement of Investments.................................... 155
Statements of Assets and Liabilities........................ 156
Statements of Operations.................................... 157
Statements of Changes....................................... 158
Financial Highlights........................................ 159
Notes to Financial Statements............................... 160
Independent Auditors' Report................................ 167
NORTHPOINTE SMALL CAP VALUE FUND
--------------------------------
NorthPointe Small Cap Value Fund............................ 170
Statement of Investments.................................... 171
Statements of Assets and Liabilities........................ 174
Statements of Operations.................................... 175
Statements of Changes....................................... 176
Financial Highlights........................................ 177
Notes to Financial Statements............................... 178
Independent Auditors' Report................................ 183
SHAREHOLDER MEETING......................................... 184
-------------------
</TABLE>
<PAGE> 3
INVESTOR DESTINATIONS AGGRESSIVE FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 7-month period ended October 31, 2000, the Investor Destinations
Aggressive Fund's return was -6.40%+ versus -0.94% for a combination of 65% S&P
500, 30% Capital International Europe, Australasia and Far East Index (MSCI
EAFE), and 5% Lehman Brothers Aggregate Bond. Returns for the individual indices
were -4.01% for the S&P 500, -2.34% for the MSCI EAFE Index, and 5.50% for the
Lehman Brothers Aggregate Bond Index. The Fund commenced operations on March 31,
2000.
The Aggressive Fund fell behind a combination of 65% S&P 500, 30% MSCI EAFE, and
5% Lehman Brothers Aggregate Bond due to its weightings in international and
small cap investments, with the best performance coming from its mid cap
investment. The Fund's investments currently include the Nationwide Small Cap
Index Fund, Deutsche Asset Management EAFE Equity Index Fund (one of the
international index funds invested in during the period) and the Vanguard Mid
Cap Index Fund. For the period March 31, 2000 through October 31, 2000, the
returns of these underlying funds were -11.26%, -13.93%, and 4.92%,
respectively. The Aggressive Fund's heavier weighting in the international index
fund pushed its return to the lowest end of the Investor Destination performance
spectrum.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Investment team with Bill Miller, Lead Manager
PORTFOLIO MARKET VALUE: $1,435,318
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
CLASS A CLASS B SERVICE
YEARS W/O SC** W/ SC(1) W/O SC** W/ SC(2) CLASS(3)
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------
Life* -6.40% -11.78% -6.70% -11.37% 6.30%
-------------------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data.
* Commenced operations on March 31, 2000.
** These returns do not reflect the effects of a sales charge.
(1) A 5.75% maximum front-end sales charge was deducted.
(2) A 5.00% maximum contingent deferred sales charge (CDSC) was deducted. The
CDSC declines to 0% after 6 years.
(3) Not subject to any sales charges.
<TABLE>
<CAPTION>
LB
SERVICE AGGREGATE MSCI
CLASS A CLASS B CLASS BOND S&P 500 CPI EAFE
------- ------- ------- --------- ------- --- ----
<S> <C> <C> <C> <C> <C> <C> <C>
03/00 9425 10000 10000 10000 10000 10000 10000
10/00 8822 8864 9370 10550 9599 10184 8633
<CAPTION>
BLENDED
-------
<S> <C>
03/00 10000
10/00 9349
</TABLE>
Comparative performance of $10,000 invested in Investor Destinations Aggressive
Fund, Lehman Brothers Aggregate Bond Index (LB Aggregate Bond)(4), S&P 500
Index(5), and the Consumer Price Index (CPI)(6), Morgan Stanley Capital
International-Europe, Australasia and Far East Index (MSCI EAFE)(7), and the
Blended Index (Blended)(8) since inception (3/31/00) to 10/31/00. Unlike our
Fund, these indices do not reflect any fees, expenses, or sales charges.
(4) The LB Aggregate Bond consists of investment grade debt issues that have at
least $100 million par amount outstanding and at least one year to final
maturity.
(5) The S&P 500 is a capitalization-weighted index of 500 stocks designed to
measure performance of the broad domestic economy through changes in the
aggregate market value of these 500 stocks which represent all major
industries.
(6) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
(7) The MSCI EAFE is an unmanaged index generally representative of the
performance of international stock markets.
(8) The Blended is a combination of 65% S&P 500, 30% MSCI EAFE, and 5% LB
Aggregate Bond.
3
<PAGE> 4
INVESTOR DESTINATIONS MODERATELY AGGRESSIVE FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 7-month period ended October 31, 2000, the Investor Destinations
Moderately Aggressive Fund's return was -4.08%+ versus -0.69% for a combination
of 55% S&P 500, 25% Capital International Europe, Australasia and Far East Index
(MSCI EAFE), and 20% Lehman Brothers Aggregate Bond. Returns for the individual
indices were -4.01% for the S&P 500, -2.34% for the MSCI EAFE Index, and 5.50%
for the Lehman Brothers Aggregate Bond Index. The Fund commenced operations on
March 31, 2000.
The Moderately Aggressive Fund fell behind a combination of 55% S&P 500, 25%
MSCI EAFE, and 20% Lehman Brothers Aggregate Bond due to its weightings in
international and small cap investments, with the best performance coming from
its mid cap investment. The Fund's investments currently include the Nationwide
Small Cap Index Fund (one of the international index funds invested in during
the period) Deutsche Asset Management EAFE Equity Index Fund and the Vanguard
Mid Cap Index Fund. For the period March 31, 2000 through October 31, 2000, the
returns of these underlying funds were -11.26%, -13.93%, -3.96%, and 4.92%,
respectively. The Moderately Aggressive Fund allocated less to international
investments and more generously to bonds than the Aggressive Fund. To some
extent, this allocation strategy sheltered performance for the stated period.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Investment team with Bill Miller, Lead Manager
PORTFOLIO MARKET VALUE: $1,023,336
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
CLASS A CLASS B SERVICE
YEARS W/O SC** W/ SC(1) W/O SC** W/ SC(2) CLASS(3)
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------
Life* -4.08% -9.60% -4.40% -9.18% -4.04%
-------------------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data.
* Commenced operations on March 31, 2000.
** These returns do not reflect the effects of a sales charge.
(1) A 5.75% maximum front-end sales charge was deducted.
(2) A 5.00% maximum contingent deferred sales charge (CDSC) was deducted. The
CDSC declines to 0% after 6 years.
(3) Not subject to any sales charges.
<TABLE>
<CAPTION>
LB
SERVICE AGGREGATE MSCI
CLASS A CLASS B CLASS BOND S&P 500 CPI EAFE
------- ------- ------- --------- ------- --- ----
<S> <C> <C> <C> <C> <C> <C> <C>
03/00 9425 10000 10000 10000 10000 10000 10000
10/00 9040 9082 9596 10550 9599 10184 8633
<CAPTION>
BLENDED
-------
<S> <C>
03/00 10000
10/00 9536
</TABLE>
Comparative performance of $10,000 invested in Investor Destinations Moderately
Aggressive Fund, Lehman Brothers Aggregate Bond Index (LB Aggregate Bond)(4),
S&P 500 Index(5), and the Consumer Price Index (CPI)(6), Morgan Stanley Capital
International-Europe, Australasia and Far East Index (MSCI EAFE)(7), and the
Blended Index (Blended)(8) since inception (3/31/00) to 10/31/00. Unlike our
Fund, these indices do not reflect any fees, expenses, or sales charges.
(4) The LB Aggregate Bond consists of investment grade debt issues that have at
least $100 million par amount outstanding and at least one year to final
maturity.
(5) The S&P 500 is a capitalization-weighted index of 500 stocks designed to
measure performance of the broad domestic economy through changes in the
aggregate market value of these 500 stocks which represent all major
industries.
(6) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
(7) The MSCI EAFE is an unmanaged index generally representative of the
performance of international stock markets.
(8) The Blended is a combination of 55% S&P 500, 25% MSCI EAFE, and 20% LB
Aggregate Bond.
4
<PAGE> 5
INVESTOR DESTINATIONS MODERATE FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 7-month period ended October 31, 2000, the Investor Destinations
Moderate Fund's return was -1.21%+ versus -0.28% for a combination of 45% S&P
500, 15% Capital International Europe, Australasia and Far East Index (MSCI
EAFE), and 40% Lehman Brothers Aggregate Bond. Returns for the individual
indices were -4.01% for the S&P 500, -2.34% for the MSCI EAFE Index, and 5.50%
for the Lehman Brothers Aggregate Bond Index. The Fund commenced operations on
March 31, 2000.
The Moderate Fund fell behind a combination of 45% S&P 500, 15% MSCI EAFE, and
40% Lehman Brothers Aggregate Bond due to its allocations to international and
small cap investments, with the best performance coming from its mid cap and
bond investments. The Fund's investments currently include the Nationwide Small
Cap Index Fund, Deutsche Asset Management EAFE Equity Index Fund (one of the
international index funds invested in during the period) the Vanguard Mid Cap
Index Fund, and the Vanguard Total Bond Market Index Fund. For the period March
31, 2000 through October 31, 2000, the returns of these underlying funds were
-11.26%, -13.93%, 4.92%, and 5.19% respectively. The Moderate Fund allocated
less to international investments and more generously to bonds than the more
aggressive Investor Destinations Series. To some extent, this allocation
strategy sheltered performance for the stated period.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Investment team with Bill Miller, Lead Manager
PORTFOLIO MARKET VALUE: $895,502
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
CLASS A CLASS B SERVICE
YEARS W/O SC** W/ SC(1) W/O SC** W/ SC(2) CLASS(3)
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------
Life* -1.21% -6.89% -1.61% -6.52% -1.10%
-------------------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data.
* Commenced operations on March 31, 2000.
** These returns do not reflect the effects of a sales charge.
(1) A 5.75% maximum front-end sales charge was deducted.
(2) A 5.00% maximum contingent deferred sales charge (CDSC) was deducted. The
CDSC declines to 0% after 6 years.
(3) Not subject to any sales charges.
<TABLE>
<CAPTION>
LB
SERVICE AGGREGATE MSCI
CLASS A CLASS B CLASS BOND S&P 500 CPI EAFE
------- ------- ------- --------- ------- --- ----
<S> <C> <C> <C> <C> <C> <C> <C>
03/00 9425 10000 10000 10000 10000 10000 10000
10/00 9311 9348 9890 10550 9599 10184 8633
<CAPTION>
BLENDED
-------
<S> <C>
03/00 10000
10/00 9823
</TABLE>
Comparative performance of $10,000 invested in Investor Destinations Moderate
Fund, Lehman Brothers Aggregate Bond Index (LB Aggregate Bond)(4), S&P 500
Index(5), and the Consumer Price Index (CPI)(6), Morgan Stanley Capital
International-Europe, Australasia and Far East Index (MSCI EAFE)(7), and the
Blended Index (Blended)(8) since inception (3/31/00) to 10/31/00. Unlike our
Fund, these indices do not reflect any fees, expenses, or sales charges.
(4) The LB Aggregate Bond consists of investment grade debt issues that have at
least $100 million par amount outstanding and at least one year to final
maturity.
(5) The S&P 500 is a capitalization-weighted index of 500 stocks designed to
measure performance of the broad domestic economy through changes in the
aggregate market value of these 500 stocks which represent all major
industries.
(6) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
(7) The MSCI EAFE is an unmanaged index generally representative of the
performance of international stock markets.
(8) The Blended is a combination of 45% S&P 500, 15% MSCI EAFE, and 40% LB
Aggregate Bond.
5
<PAGE> 6
INVESTOR DESTINATIONS MODERATELY CONSERVATIVE FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 7-month period ended October 31, 2000, the Investor Destinations
Moderately Conservative Fund's return was 0.10%+ versus 0.03% for a combination
of 30% S&P 500, 10% Capital International Europe, Australasia and Far East Index
(MSCI EAFE), and 60% Lehman Brothers Aggregate Bond. Returns for the individual
indices were -4.01% for the S&P 500, -2.34% for the MSCI EAFE Index, and 5.50%
for the Lehman Brothers Aggregate Bond Index. The Fund commenced operations on
March 31, 2000.
The Moderately Conservative Fund allocated a significant portion of its
underlying investments to the bond index fund, the Morley Enhanced Income Fund,
and the Nationwide Fixed Contract. During the period, these underlying
investments posted positive returns, ranging from 3.00% to 5.19%, and helped the
Moderately Conservative Fund to outperform the combination of 30% S&P 500, 10%
MSCI EAFE, and 60% Lehman Brothers Aggregate Bond.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Investment team with Bill Miller, Lead Manager
PORTFOLIO MARKET VALUE: $2,253,233
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
CLASS A CLASS B SERVICE
YEARS W/O SC** W/ SC(1) W/O SC** W/ SC(2) CLASS(3)
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------
Life* 0.10% -5.65% -0.26% -5.20% 0.18%
-------------------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data.
* Commenced operations on March 31, 2000.
** These returns do not reflect the effects of a sales charge.
(1) A 5.75% maximum front-end sales charge was deducted.
(2) A 5.00% maximum contingent deferred sales charge (CDSC) was deducted. The
CDSC declines to 0% after 6 years.
(3) Not subject to any sales charges.
<TABLE>
<CAPTION>
LB
SERVICE AGGREGATE MSCI
CLASS A CLASS B CLASS BOND S&P 500 CPI EAFE
------- ------- ------- --------- ------- --- ----
<S> <C> <C> <C> <C> <C> <C> <C>
03/00 9425 10000 10000 10000 10000 10000 10000
10/00 9435 9480 10018 10550 9599 10184 8633
<CAPTION>
BLENDED
-------
<S> <C>
03/00 10000
10/00 10062
</TABLE>
Comparative performance of $10,000 invested in Investor Destinations Moderately
Conservative Fund, Lehman Brothers Aggregate Bond Index (LB Aggregate Bond)(4),
S&P 500 Index(5), and the Consumer Price Index (CPI)(6), Morgan Stanley Capital
International-Europe, Australasia and Far East Index (MSCI EAFE)(7), and the
Blended Index (Blended)(8) since inception (3/31/00) to 10/31/00. Unlike our
Fund, these indices do not reflect any fees, expenses, or sales charges.
(4) The LB Aggregate Bond consists of investment grade debt issues that have at
least $100 million par amount outstanding and at least one year to final
maturity.
(5) The S&P 500 is a capitalization-weighted index of 500 stocks designed to
measure performance of the broad domestic economy through changes in the
aggregate market value of these 500 stocks which represent all major
industries.
(6) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
(7) The MSCI EAFE is an unmanaged index generally representative of the
performance of international stock markets.
(8) The Blended is a combination of 30% S&P 500, 10% MSCI EAFE, and 60% LB
Aggregate Bond.
6
<PAGE> 7
INVESTOR DESTINATIONS CONSERVATIVE FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 7-month period ended October 31, 2000, the Investor Destinations
Conservative Fund's return was 1.49%+ versus 0.35% for a combination of 15% S&P
500, 5% Capital International Europe, Australasia and Far East Index (MSCI
EAFE), and 80% Lehman Brothers Aggregate Bond. Returns for the individual
indices were -4.01% for the S&P 500, -2.34% for the MSCI EAFE Index, and 5.50%
for the Lehman Brothers Aggregate Bond Index. The Fund commenced operations on
March 31, 2000.
The Conservative Fund allocated a significant portion of its underlying
investments to the bond index fund, the Morley Enhanced Income Fund, and the
Nationwide Fixed Contract. During the period, these underlying investments
posted positive returns and helped the Conservative Fund to outperform the
combination of 15% S&P 500, 5% MSCI EAFE, and 80% Lehman Brothers Aggregate
Bond.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Investment team with Bill Miller, Lead Manager
PORTFOLIO MARKET VALUE: $516,538
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
CLASS A CLASS B SERVICE
YEARS W/O SC** W/ SC(1) W/O SC** W/ SC(2) CLASS(3)
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------
Life* 1.49% -4.35% 1.12% -3.87% 1.57%
-------------------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data.
* Commenced operations on March 31, 2000.
** These returns do not reflect the effects of a sales charge.
(1) A 5.75% maximum front-end sales charge was deducted.
(2) A 5.00% maximum contingent deferred sales charge (CDSC) was deducted. The
CDSC declines to 0% after 6 years.
(3) Not subject to any sales charges.
<TABLE>
<CAPTION>
LB
SERVICE AGGREGATE MSCI
CLASS A CLASS B CLASS BOND S&P 500 CPI EAFE
------- ------- ------- --------- ------- --- ----
<S> <C> <C> <C> <C> <C> <C> <C>
03/00 9425 10000 10000 10000 10000 10000 10000
10/00 9565 9613 10157 10550 9599 10184 8633
<CAPTION>
BLENDED
-------
<S> <C>
03/00 10000
10/00 10304
</TABLE>
Comparative performance of $10,000 invested in Investor Destinations
Conservative Fund, Lehman Brothers Aggregate Bond Index (LB Aggregate Bond)(4),
S&P 500 Index(5), and the Consumer Price Index (CPI)(6), Morgan Stanley Capital
International-Europe, Australasia and Far East Index (MSCI EAFE)(7), and the
Blended Index (Blended)(8) since inception (3/31/00) to 10/31/00. Unlike our
Fund, these indices do not reflect any fees, expenses, or sales charges.
(4) The LB Aggregate Bond consists of investment grade debt issues that have at
least $100 million par amount outstanding and at least one year to final
maturity.
(5) The S&P 500 is a capitalization-weighted index of 500 stocks designed to
measure performance of the broad domestic economy through changes in the
aggregate market value of these 500 stocks which represent all major
industries.
(6) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
(7) The MSCI EAFE is an unmanaged index generally representative of the
performance of international stock markets.
(8) The Blended is a combination of 15% S&P 500, 5% MSCI EAFE, and 80% LB
Aggregate Bond.
7
<PAGE> 8
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS AGGRESSIVE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000
<TABLE>
<CAPTION>
----------------------------------------------------------
SECURITY MARKET
SHARES DESCRIPTION VALUE
----------------------------------------------------------
<C> <S> <C>
MUTUAL FUNDS (100.4%)
EQUITY FUNDS (95.5%)
34,185 Deutsche Asset Management EAFE Equity
Index Fund, Premier Class $ 426,626
46,139 Nationwide S&P 500 Index Fund,
Institutional Class* 576,277
14,659 Nationwide Small Cap Index Fund,
Institutional Class* 142,189
16,375 Vanguard Mid Cap Index Fund,
Institutional Shares 216,636
133 Vanguard Small Cap Index Fund,
Investor Shares 3,112
----------
TOTAL EQUITY FUNDS 1,364,840
----------
FIXED INCOME FUNDS (4.9%)
7,236 Vanguard Total Bond Market Index
Fund,
Investor Shares 70,478
----------
TOTAL FIXED INCOME FUNDS 70,478
----------
TOTAL INVESTMENTS
(cost $1,417,588) $1,435,318
==========
</TABLE>
--------------------------------------
Cost for Federal income tax purposes:
$1,420,791.
Portfolio holding percentages based on
net assets of $1,428,560.
* Investment in affiliate.
See accompanying notes to the
financial statements.
8
<PAGE> 9
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS MODERATELY AGGRESSIVE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000
<TABLE>
<CAPTION>
----------------------------------------------------------
SECURITY MARKET
SHARES DESCRIPTION VALUE
----------------------------------------------------------
<C> <S> <C>
MUTUAL FUNDS (98.1%)
EQUITY FUNDS (80.8%)
20,373 Deutsche Asset Management EAFE Equity
Index Fund, Premier Class $ 254,252
28,856 Nationwide S&P 500 Index Fund,
Institutional Class* 360,406
5,036 Nationwide Small Cap Index Fund,
Institutional Class* 48,845
11,726 Vanguard Mid Cap Index Fund,
Institutional Shares 155,134
133 Vanguard Small Cap Index Fund,
Investor Shares 3,112
----------
TOTAL EQUITY FUNDS 821,749
----------
FIXED INCOME FUNDS (17.3%)
2,546 Morley Enhanced Income Fund,
Institutional Class* 25,176
15,524 Vanguard Total Bond Market Index
Fund,
Investor Shares 151,206
----------
TOTAL FIXED INCOME FUNDS 176,382
----------
TOTAL MUTUAL FUNDS
(cost $984,948) 998,131
----------
FIXED CONTRACT (2.5%)
25,205 Nationwide Fixed Contract, 5.75%*(a) 25,205
----------
TOTAL FIXED CONTRACT
(cost $25,205) 25,205
----------
TOTAL INVESTMENTS
(cost $1,010,153) $1,023,336
==========
</TABLE>
--------------------------------------
Cost for Federal income tax purposes:
$1,016,557.
Portfolio holding percentages based on
net assets of $1,017,602.
* Investment in affiliate.
(a) Nationwide Fixed Contract rate
changes quarterly. Security is
restricted. The security has been
deemed liquid pursuant to
procedures approved by the Board
of Trustees.
See accompanying notes to the
financial statements.
9
<PAGE> 10
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS MODERATE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000
<TABLE>
<CAPTION>
----------------------------------------------------------
SECURITY MARKET
SHARES DESCRIPTION VALUE
----------------------------------------------------------
<C> <S> <C>
MUTUAL FUNDS (93.1%)
EQUITY FUNDS (60.8%)
10,731 Deutsche Asset Management EAFE Equity
Index Fund, Premier Class $133,925
21,726 Nationwide S&P 500 Index Fund,
Institutional Class* 271,354
4,382 Nationwide Small Cap Index Fund,
Institutional Class* 42,501
6,827 Vanguard Mid Cap Index Fund,
Institutional Shares 90,327
133 Vanguard Small Cap Index Fund,
Investor Shares 3,112
--------
TOTAL EQUITY FUNDS 541,219
--------
FIXED INCOME FUNDS (32.3%)
6,704 Morley Enhanced Income Fund,
Institutional Class* 66,305
22,751 Vanguard Total Bond Market Index Fund,
Investor Shares 221,595
--------
TOTAL FIXED INCOME FUNDS 287,900
--------
TOTAL MUTUAL FUNDS
(cost $815,390) 829,119
--------
FIXED CONTRACT (7.5%)
66,382 Nationwide Fixed Contract, 5.75%*(a) 66,383
--------
TOTAL FIXED CONTRACT
(cost $66,383) 66,383
--------
TOTAL INVESTMENTS
(cost $881,773) $895,502
========
</TABLE>
--------------------------------------
Cost for Federal income tax purposes:
$884,686.
Portfolio holding percentages based on
net assets of $890,399.
* Investment in affiliate.
(a) Nationwide Fixed Contract rate
changes quarterly. Security is
restricted. The security has been
deemed liquid pursuant to
procedures approved by the Board
of Trustees.
See accompanying notes to the
financial statements.
10
<PAGE> 11
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS MODERATELY CONSERVATIVE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000
<TABLE>
<CAPTION>
-----------------------------------------------------------
SECURITY MARKET
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
<C> <S> <C>
MUTUAL FUNDS (87.7%)
EQUITY FUNDS (40.5%)
18,044 Deutsche Asset Management EAFE Equity
Index Fund, Premier Class $ 225,190
36,545 Nationwide S&P 500 Index Fund,
Institutional Class* 456,452
17,400 Vanguard Mid Cap Index Fund,
Institutional Shares 230,199
----------
TOTAL EQUITY FUNDS 911,841
----------
FIXED INCOME FUNDS (47.2%)
28,233 Morley Enhanced Income Fund,
Institutional Class* 279,224
80,351 Vanguard Total Bond Market Index
Fund,
Investor Shares 782,618
----------
TOTAL FIXED INCOME FUNDS 1,061,842
----------
TOTAL MUTUAL FUNDS
(cost $1,966,564) 1,973,683
----------
FIXED CONTRACT (12.4%)
279,550 Nationwide Fixed Contract, 5.75%*(a) 279,550
----------
TOTAL FIXED CONTRACT
(cost $279,550) 279,550
----------
TOTAL INVESTMENTS
(cost $2,246,114) $2,253,233
==========
</TABLE>
--------------------------------------
Cost also represents cost for Federal
income tax purposes.
Portfolio holding percentages based on
net assets of $2,250,767.
* Investment in affiliate.
(a) Nationwide Fixed Contract rate
changes quarterly. Security is
restricted. The security has been
deemed liquid pursuant to
procedures approved by the Board
of Trustees.
See accompanying notes to the
financial statements.
11
<PAGE> 12
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS CONSERVATIVE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000
<TABLE>
<CAPTION>
-----------------------------------------------------------
SECURITY MARKET
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
<C> <S> <C>
MUTUAL FUNDS (78.3%)
EQUITY FUNDS (20.5%)
2,080 Deutsche Asset Management EAFE Equity
Index Fund, Premier Class $ 25,960
4,200 Nationwide S&P 500 Index Fund,
Institutional Class* 52,463
2,004 Vanguard Mid Cap Index Fund,
Institutional Shares 26,508
--------
TOTAL EQUITY FUNDS 104,931
--------
FIXED INCOME FUNDS (57.8%)
11,686 Morley Enhanced Income Fund,
Institutional Class* 115,575
18,508 Vanguard Total Bond Market Index Fund,
Investor Shares 180,271
--------
TOTAL FIXED INCOME FUNDS 295,846
--------
TOTAL MUTUAL FUNDS
(cost $398,430) 400,777
--------
FIXED CONTRACT (22.6%)
115,761 Nationwide Fixed Contract, 5.75%*(a) 115,761
--------
TOTAL FIXED CONTRACT
(cost $115,761) 115,761
--------
TOTAL INVESTMENTS
(cost $514,191) $516,538
========
</TABLE>
--------------------------------------
Cost also represents cost for Federal income tax purposes.
Portfolio holding percentages based on
net assets of $512,235.
* Investment in affiliate.
(a) Nationwide Fixed Contract rate
changes quarterly. Security is
restricted. The security has been
deemed liquid pursuant to
procedures approved by the Board
of Trustees.
See accompanying notes to the
financial statements.
12
<PAGE> 13
NATIONWIDE(R) MUTUAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR INVESTOR
INVESTOR DESTINATIONS INVESTOR DESTINATIONS INVESTOR
DESTINATIONS MODERATELY DESTINATIONS MODERATELY DESTINATIONS
AGGRESSIVE AGGRESSIVE MODERATE CONSERVATIVE CONSERVATIVE
FUND FUND FUND FUND FUND
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities, affiliated, at value
(cost $710,631, $429,022, $371,880, $733,868,
$166,858, respectively) $ 718,467 $ 434,427 $380,161 $ 735,675 $168,038
Investments in securities, unaffiliated, at value
(cost $706,957, $555,926, $443,510, $1,232,696,
$231,572, respectively) 716,851 563,704 448,958 1,238,008 232,739
Investments in short-term securities, at value (cost
$0, $25,205, $66,383, $279,550, $115,761,
respectively) -- 25,205 66,383 279,550 115,761
Receivable for Fund shares sold -- -- 82 -- --
Receivable from adviser 16,387 16,389 15,696 15,384 15,759
Interest and dividends receivable 25 147 185 3,966 879
Prepaid and other assets 10,997 13,072 11,592 11,420 11,343
---------- ---------- -------- ---------- --------
Total Assets 1,462,727 1,052,944 923,057 2,284,003 544,519
---------- ---------- -------- ---------- --------
LIABILITIES:
Cash Overdrafts 1,154 1,470 1,331 1,306 836
Accrued expenses and other payables:
Investment Advisory fees 112 75 48 191 32
Transfer agent fees 76 72 69 80 68
Distribution fees 222 151 97 374 66
Other 32,603 33,574 31,113 31,285 31,282
---------- ---------- -------- ---------- --------
Total Liabilities 34,167 35,342 32,658 33,236 32,284
---------- ---------- -------- ---------- --------
NET ASSETS $1,428,560 $1,017,602 $890,399 $2,250,767 $512,235
========== ========== ======== ========== ========
NET ASSETS:
Capital $1,430,791 $1,024,582 $882,576 $2,249,043 $510,341
Accumulated net investment income -- 959 809 4,232 1,145
Net unrealized appreciation from investments 17,730 13,183 13,729 7,119 2,347
Accumulated net realized losses from investment
transactions (19,961) (21,122) (6,715) (9,627) (1,598)
---------- ---------- -------- ---------- --------
NET ASSETS $1,428,560 $1,017,602 $890,399 $2,250,767 $512,235
========== ========== ======== ========== ========
NET ASSETS:
Class A Shares $ 9,365 $ 9,591 $ 9,883 $ 10,011 $ 10,147
Class B Shares 9,333 9,559 9,844 9,977 10,111
Service Class Shares 1,409,862 998,452 870,672 2,230,779 491,977
---------- ---------- -------- ---------- --------
Total $1,428,560 $1,017,602 $890,399 $2,250,767 $512,235
========== ========== ======== ========== ========
SHARES OUTSTANDING (unlimited number of shares
authorized):
Class A Shares 1,000 1,000 1,007 1,012 1,016
Class B Shares 1,000 1,000 1,003 1,009 1,012
Service Class Shares 150,458 104,074 88,643 225,329 49,206
---------- ---------- -------- ---------- --------
Total 152,458 106,074 90,653 227,350 51,234
========== ========== ======== ========== ========
NET ASSET VALUE:
Class A Shares $ 9.37 $ 9.59 $ 9.81 $ 9.89 $ 9.99
Class B Shares** $ 9.33 $ 9.56 $ 9.81 $ 9.89 $ 9.99
Service Class Shares*** $ 9.37 $ 9.59 $ 9.82 $ 9.90 $ 10.00
MAXIMUM OFFERING PRICE (100%/(100% - Maximum Sales
Charge) of net asset value adjusted to nearest cent
per share):
Class A Shares* $ 9.94 $ 10.18 $ 10.41 $ 10.49 $ 10.60
---------- ---------- -------- ---------- --------
Maximum sales charge -- Class A 5.75% 5.75% 5.75% 5.75% 5.75%
========== ========== ======== ========== ========
</TABLE>
------------------------------------------------------
* Class A Shares includes a front-end sales charges.
** Class B Shares, the redemption price per share varies by the length of time
shares are held.
*** Service Class Shares does not have any sales charges.
See accompanying notes to the financial statements.
13
<PAGE> 14
NATIONWIDE(R) MUTUAL FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD FROM MARCH 31, 2000 TO OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR INVESTOR
INVESTOR DESTINATIONS INVESTOR DESTINATIONS INVESTOR
DESTINATIONS MODERATELY DESTINATIONS MODERATELY DESTINATIONS
AGGRESSIVE AGGRESSIVE MODERATE CONSERVATIVE CONSERVATIVE
FUND(a) FUND(a) FUND(a) FUND(a) FUND(a)
-------------- -------------- ------------ ---------------- ----------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Income, affiliated $ 614 $ 1,626 $ 1,196 $ 4,244 $ 1,515
Interest income, unaffiliated -- 143 248 1,230 530
Dividend income, unaffiliated 25 55 80 285 66
--------- --------- --------- --------- ---------
Total Income $ 639 $ 1,824 $ 1,524 $ 5,759 $ 2,111
EXPENSES:
Investment advisory fees 150 129 74 215 57
Fund administration fees 44,058 44,058 44,058 44,058 44,058
Custodian fees 1,592 539 567 471 475
Distribution fees 332 292 191 457 153
Professional fees 13,620 13,720 13,719 13,720 13,780
Trustees' fees and expenses 1,448 2,373 88 88 87
Transfer agent fees 112 101 92 103 91
Registration and filing fees 32,001 32,001 32,001 32,001 32,001
Shareholders' reports 10,501 10,503 10,503 10,503 10,503
Other 381 381 381 381 380
--------- --------- --------- --------- ---------
Total expenses before waived or
reimbursed expenses 104,195 104,097 101,674 101,997 101,585
Expenses waived or reimbursed (103,442) (103,446) (101,270) (100,944) (101,272)
--------- --------- --------- --------- ---------
Net expenses 753 651 404 1,053 313
--------- --------- --------- --------- ---------
NET INVESTMENT INCOME (LOSS) $ (114) $ 1,173 $ 1,120 $ 4,706 $ 1,798
========= ========= ========= ========= =========
REALIZED/UNREALIZED GAINS (LOSSES)
FROM INVESTMENTS:
Net realized losses on
investments with affiliates $ (19,939) $ (21,130) $ (6,670) $ (9,670) $ (1,604)
Net realized gains (losses) on
investments with unaffiliates (22) 8 (45) 43 6
Net change in unrealized
appreciation on investments 17,730 13,183 13,729 7,119 2,347
--------- --------- --------- --------- ---------
Net realized/unrealized gains
(losses) on investments (2,231) (7,939) 7,014 (2,508) 749
--------- --------- --------- --------- ---------
CHANGE IN NET ASSETS RESULTING FROM
OPERATIONS $ (2,345) $ (6,766) $ 8,134 $ 2,198 $ 2,547
========= ========= ========= ========= =========
</TABLE>
------------------------------------------------------
(a) Commenced operations on March 31, 2000.
See accompanying notes to the financial statements.
14
<PAGE> 15
NATIONWIDE(R) MUTUAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD FROM MARCH 31, 2000 TO OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR INVESTOR
INVESTOR DESTINATIONS INVESTOR DESTINATIONS INVESTOR
DESTINATIONS MODERATELY DESTINATIONS MODERATELY DESTINATIONS
AGGRESSIVE AGGRESSIVE MODERATE CONSERVATIVE CONSERVATIVE
FUND(a) FUND(a) FUND(a) FUND(a) FUND(a)
-------------- -------------- ------------ ---------------- ----------------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss) $ (114) $ 1,173 $ 1,120 $ 4,706 $ 1,798
Net realized losses on investments
with affiliates (19,939) (21,130) (6,670) (9,670) (1,604)
Net realized gains (losses) on
investments with unaffiliates (22) 8 (45) 43 6
Net change in unrealized
appreciation on investments 17,730 13,183 13,729 7,119 2,347
---------- ---------- -------- ---------- --------
Change in net assets resulting on
operations (2,345) (6,766) 8,134 2,198 2,547
---------- ---------- -------- ---------- --------
DISTRIBUTIONS TO CLASS A SHAREHOLDERS
FROM:
Net investment income -- (2) (69) (120) (158)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS
FROM:
Net investment income -- -- (29) (84) (121)
DISTRIBUTIONS TO SERVICE CLASS
SHAREHOLDERS FROM:
Net investment income -- (212) (213) (270) (374)
---------- ---------- -------- ---------- --------
CHANGE IN NET ASSETS FROM SHAREHOLDER
DISTRIBUTIONS -- (214) (311) (474) (653)
---------- ---------- -------- ---------- --------
CAPITAL TRANSACTIONS:(b)
Proceeds from shares issued 1,453,020 1,048,940 882,552 2,256,444 607,393
Distributions reinvested -- 214 313 475 653
Cost of shares redeemed (22,115) (24,572) (289) (7,876) (97,705)
---------- ---------- -------- ---------- --------
Change in net assets from capital
transactions 1,430,905 1,024,582 882,576 2,249,043 510,341
---------- ---------- -------- ---------- --------
Change in net assets 1,428,560 1,017,602 890,399 2,250,767 512,235
---------- ---------- -------- ---------- --------
NET ASSETS:
Beginning of period -- -- -- -- --
End of period $1,428,560 $1,017,602 $890,399 $2,250,767 $512,235
========== ========== ======== ========== ========
SHARE TRANSACTIONS:(b)
Sold 154,774 108,561 90,651 228,104 60,810
Reinvested -- 22 32 48 66
Redeemed (2,316) (2,509) (30) (802) (9,642)
---------- ---------- -------- ---------- --------
Change in shares 152,458 106,074 90,653 227,350 51,234
========== ========== ======== ========== ========
</TABLE>
------------------------------------------------------
(a) Commenced operations on March 31, 2000.
(b) Both the Capital and Share Transactions sections represent combined data for
all classes.
See accompanying notes to the financial statements.
15
<PAGE> 16
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS AGGRESSIVE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL OUTSTANDING
PERIOD FROM MARCH 31, 2000 TO OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES(a) CLASS B SHARES(a) SERVICE CLASS SHARES(a)
------------------ ------------------ ------------------------
<S> <C> <C> <C>
NET ASSET VALUE --
BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00
-------- -------- -------
INVESTMENT ACTIVITIES:
Net investment income (loss) 0.02 (0.02)+ (0.01)+
Net realized and unrealized loss (0.65) (0.65)+ (0.62)+
-------- -------- -------
Total investment activities (0.63) (0.67) (0.63)
-------- -------- -------
NET ASSET VALUE -- END OF PERIOD $ 9.37 $ 9.33 $ 9.37
======== ======== =======
Total Return (excluding sales charges) (6.30)%(d) (6.70)%(d) (6.30)%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 9 $ 9 $ 1,410
Ratio of expenses to average net assets 0.71%(b) 1.31%(b) 0.61%(b)
Ratio of net investment (loss) income to
average net assets 0.34%(b) (0.28)%(b) (0.11)%(b)
Ratio of expenses to average net assets* 394.30%(b) 393.40%(b) 56.64%(b)
Portfolio turnover rate (c) 253.64%(d) 253.64%(d) 253.64%(d)
</TABLE>
------------------------------------------------------
The expense ratios noted above do not include the effect of the expenses of the
underlying funds.
* Ratios calculated as if no expenses were waived and/or reimbursed.
+ Calculated using the average daily shares outstanding for the period.
(a) Commenced operations on March 31, 2000.
(b) Annualized.
(c) Portfolio Turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares.
(d) Not annualized.
See accompanying notes to the financial statements.
16
<PAGE> 17
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS MODERATELY AGGRESSIVE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL OUTSTANDING
PERIOD FROM MARCH 31, 2000 TO OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES(a) CLASS B SHARES(a) SERVICE CLASS SHARES(a)
------------------ ------------------ ------------------------
<S> <C> <C> <C>
NET ASSET VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00
------- ------- -------
INVESTMENT ACTIVITIES:
Net investment income 0.06 0.03 0.07+
Net realized and unrealized loss (0.47) (0.47) (0.47)+
------- ------- -------
Total investment activities (0.41) (0.44) (0.40)
------- ------- -------
DISTRIBUTIONS:
Net investment income -- -- (0.01)
------- ------- -------
Total distributions -- -- (0.01)
------- ------- -------
NET ASSET VALUE -- END OF PERIOD $ 9.59 $ 9.56 $ 9.59
======= ======= =======
Total Return (excluding sales charges) (4.08)%(d) (4.40)%(d) (4.04)%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 10 $ 10 $ 998
Ratio of expenses to average net assets 0.71%(b) 1.31%(b) 0.61%(b)
Ratio of net investment income to average
net assets 1.10%(b) 0.49%(b) 1.23%(b)
Ratio of expenses to average net assets* 396.10%(b) 397.48%(b) 66.76%(b)
Portfolio turnover rate (c) 270.89%(d) 270.89%(d) 270.89%(d)
</TABLE>
------------------------------------------------------
The expense ratios noted above do not include the effect of the expenses of the
underlying funds.
* Ratios calculated as if no expenses were waived and/or reimbursed.
+ Calculated using the average daily shares outstanding for the period.
(a) Commenced operations on March 31, 2000.
(b) Annualized.
(c) Portfolio Turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares.
(d) Not annualized.
See accompanying notes to the financial statements.
17
<PAGE> 18
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS MODERATE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL OUTSTANDING
PERIOD FROM MARCH 31, 2000 TO OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES(a) CLASS B SHARES(a) SERVICE CLASS SHARES(a)
------------------ ------------------ ------------------------
<S> <C> <C> <C>
NET ASSET VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00
-------- -------- --------
INVESTMENT ACTIVITIES:
Net investment income 0.11+ 0.08+ 0.11+
Net realized and unrealized loss (0.23)+ (0.24)+ (0.22)+
-------- -------- --------
Total investment activities (0.12) (0.16) (0.11)
-------- -------- --------
DISTRIBUTIONS:
Net investment income (0.07) (0.03) (0.07)
-------- -------- --------
Total distributions (0.07) (0.03) (0.07)
-------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 9.81 $ 9.81 $ 9.82
======== ======== ========
Total Return (excluding sales charges) (1.21)%(d) (1.61)%(d) (1.10)%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 10 $ 10 $ 871
Ratio of expenses to average net assets 0.71%(b) 1.31%(b) 0.61%(b)
Ratio of net investment income to average
net assets 1.97%(b) 1.35%(b) 2.04%(b)
Ratio of expenses to average net assets* 392.91%(b) 393.51%(b) 114.83%(b)
Portfolio turnover rate (c) 366.93%(d) 366.93%(d) 366.93%(d)
</TABLE>
------------------------------------------------------
The expense ratios noted above do not include the effect of the expenses of the
underlying funds.
* Ratios calculated as if no expenses were waived and/or reimbursed.
+ Calculated using the average daily shares outstanding for the period.
(a) Commenced operations on March 31, 2000.
(b) Annualized.
(c) Portfolio Turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares.
(d) Not annualized.
See accompanying notes to the financial statements.
18
<PAGE> 19
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS MODERATELY CONSERVATIVE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL OUTSTANDING
PERIOD FROM MARCH 31, 2000 TO OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES(a) CLASS B SHARES(a) SERVICE CLASS SHARES(a)
------------------ ------------------ ------------------------
<S> <C> <C> <C>
NET ASSET VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00
-------- -------- -------
INVESTMENT ACTIVITIES:
Net investment income 0.18+ 0.14+ 0.16+
Net realized and unrealized loss (0.17)+ (0.17)+ (0.14)+
-------- -------- -------
Total investment activities 0.01 (0.03) 0.02
-------- -------- -------
DISTRIBUTIONS:
Net investment income (0.12) (0.08) (0.12)
-------- -------- -------
Total distributions (0.12) (0.08) (0.12)
-------- -------- -------
NET ASSET VALUE -- END OF PERIOD $ 9.89 $ 9.89 $ 9.90
======== ======== =======
Total Return (excluding sales charges) 0.10%(d) (0.26)%(d) 0.18%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 10 $ 10 $ 2,231
Ratio of expenses to average net assets 0.71%(b) 1.31%(b) 0.61%(b)
Ratio of net investment income to average
net assets 3.02%(b) 2.44%(b) 2.85%(b)
Ratio of expenses to average net assets* 438.49%(b) 439.61%(b) 32.84%(b)
Portfolio turnover rate (c) 425.17%(d) 425.17%(d) 425.17%(d)
</TABLE>
------------------------------------------------------
The expense ratios noted above do not include the effect of the expenses of the
underlying funds.
* Ratios calculated as if no expenses were waived and/or reimbursed.
+ Calculated using the average daily shares outstanding for the period.
(a) Commenced operations on March 31, 2000.
(b) Annualized.
(c) Portfolio Turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares.
(d) Not annualized.
See accompanying notes to the financial statements.
19
<PAGE> 20
NATIONWIDE(R) MUTUAL FUNDS
INVESTOR DESTINATIONS CONSERVATIVE FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL OUTSTANDING
PERIOD FROM MARCH 31, 2000 TO OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES(a) CLASS B SHARES(a) SERVICE CLASS SHARES(a)
------------------ ------------------ ------------------------
<S> <C> <C> <C>
NET ASSET VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00
-------- -------- --------
INVESTMENT ACTIVITIES:
Net investment income 0.23+ 0.19+ 0.24+
Net realized and unrealized loss (0.08)+ (0.08)+ (0.09)+
-------- -------- --------
Total investment activities 0.15 0.11 0.15
-------- -------- --------
DISTRIBUTIONS:
Net investment income (0.16) (0.12) (0.15)
-------- -------- --------
Total distributions (0.16) (0.12) (0.15)
-------- -------- --------
NET ASSET VALUE -- END OF PERIOD $ 9.99 $ 9.99 $ 10.00
======== ======== ========
Total Return (excluding sales charges) 1.49%(d) 1.12%(d) 1.57%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 10 $ 10 $ 492
Ratio of expenses to average net assets 0.71%(b) 1.31%(b) 0.61%(b)
Ratio of net investment income to average
net assets 3.86%(b) 3.26%(b) 4.32%(b)
Ratio of expenses to average net assets* 441.97%(b) 443.13%(b) 154.74%(b)
Portfolio turnover rate (c) 449.16%(d) 449.16%(d) 449.16%(d)
</TABLE>
------------------------------------------------------
The expense ratios noted above do not include the effect of the expenses of the
underlying funds.
* Ratios calculated as if no expenses were waived and/or reimbursed.
+ Calculated using the average daily shares outstanding for the period.
(a) Commenced operations on March 31, 2000.
(b) Annualized.
(c) Portfolio Turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares.
(d) Not annualized.
See accompanying notes to the financial statements.
20
<PAGE> 21
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION
Nationwide Mutual Funds ("NMF" or the "Trust"), formerly known as Nationwide
Investing Foundation III, is an open-end management investment company. NMF was
created under the laws of Ohio as an Ohio business trust pursuant to a
Declaration of Trust dated as of October 31, 1997, as subsequently amended, and
is registered under the Investment Company Act of 1940, as amended. The Trust
currently offers shares in thirty-three separate series, or mutual funds, each
with its own investment objectives and strategies. This report contains the
financial statements and financial highlights of the five Investor Destination
Funds (individually the "Fund," collectively the "Funds") listed below.
- Investor Destinations Aggressive Fund (Aggressive)
- Investor Destinations Moderately Aggressive Fund (Moderately Aggressive)
- Investor Destinations Moderate Fund (Moderate)
- Investor Destinations Moderately Conservative Fund (Moderately
Conservative)
- Investor Destinations Conservative Fund (Conservative)
Each Fund is constructed as a "fund of funds" which means that it pursues its
investment objective primarily by allocating its investments among other mutual
funds (the "Underlying Funds"). The Underlying Funds typically invest, either
directly or indirectly, in stocks, bonds, and other securities. The Funds,
except for the Aggressive Fund, may also invest in a non-registered fixed
interest contract issued by Nationwide Life Insurance Company. Each Fund
currently offers Class A, Class B, and Service Class shares. Class A and B
shares are available to all investors. The Service Class of shares is available
to a limited group of institutional investors. The Class A shares are purchased
with a maximum 5.75% front-end sales load. The Class B shares contain a 5.00%
maximum deferred sales charge (known as a contingent deferred sales charge or
CDSC) if you sell your shares within six years of purchase and contain a
conversion feature to Class A shares after you have held them for seven years.
Sales charges are paid to the Fund's distributor, Nationwide Advisory Services,
Inc. (NAS) which either retains them or pays a selling representative. The
Service Class of shares has no sales charges.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with accounting principals generally accepted in the United States of
America. The preparation of financial statements requires management to make
estimates and assumptions that affect the reported amounts of assets,
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
(a) VALUATION PROCEDURES
1. Securities Valuation -- Shares of the Underlying Funds in which the
Funds invest are valued at their respective net asset values as reported by
the underlying Funds. The securities in the Underlying Funds are generally
valued as of the close of business of the regular session of trading on the
New York Stock Exchange. Underlying Funds generally value securities in
their portfolios for which market quotations are readily available at their
market value (generally the last reported sale price) and all other
securities and assets at fair value, pursuant to methods established in
good faith by the Board of Trustees or Directors of the Underlying Fund.
Under most circumstances, the fixed interest contract is valued at par each
day. The par value is calculated each day by the summation of the following
factors: prior day's par value, prior day's interest accrued (par
multiplied by guaranteed fixed rate), and current day net purchase or
redemption.
21
<PAGE> 22
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
2. Share Valuation -- The net asset value per share of each Portfolio
is calculated daily by dividing the total value of the Portfolio's assets,
less liabilities, by the number of shares outstanding, rounded to the
nearest cent.
3. Each Fund may enter into repurchase agreements with member banks of
the Federal Deposit Insurance Corporation and with registered
broker/dealers that the adviser deems creditworthy under guidelines
approved by the Board of Trustees, subject to the seller's agreement to
repurchase such securities at a mutually agreed-upon date and price. The
repurchase price generally equals the price paid by the Fund plus interest
negotiated on the basis of current short-term rates, which may be more or
less than the rate on the underlying portfolio securities. The seller,
under a repurchase agreement, is required to maintain the value of
collateral held pursuant to the agreement at not less than the repurchase
price (including accrued interest). Securities subject to repurchase
agreements are held by the Funds' custodian, another qualified custodian or
in the Federal Reserve/Treasury book-entry system. In the event of
counterparty default, the Fund has the right to use the collateral to
offset losses incurred. There is potential for loss to the Fund in the
event the Fund is delayed or prevented from exercising its rights to
dispose of the collateral securities, including the risk of a possible
decline in the value of the underlying securities during the period while
the Fund seeks to assert its rights.
(b) SECURITIES TRANSACTIONS AND RELATED INVESTMENT INCOME
Securities transactions are recorded on the date the security is purchased or
sold (trade date). Dividend income is recognized on the ex-dividend date. Gains
and losses realized sales of securities are determined by comparing the
identified cost of the security lot sold with the net sales proceeds. Interest
income for the fixed interest contract is accrued daily and reinvested the
following day.
(c) FEDERAL INCOME TAXES
Each Funds policy is to qualify or continue to qualify as a regulated investment
company under the Internal Revenue Code, and to distribute all taxable income,
if any, to its shareholders. Therefore no provision has been made for federal
income taxes as it is the intention of the Funds to continue such qualification.
To the extent net realized gains are offset through the application of a capital
loss carryover, they will not be distributed to shareholders and will be
retained by the applicable Fund. Withholding taxes have been paid or provided
for in accordance with the applicable tax rates and rules.
As of the fiscal year ended October 31, 2000, the Aggressive, Moderately
Aggressive, Moderate, Moderately Conservative, and Conservative Funds had net
capital loss carry forwards in the amounts of $16,758, $14,718, $3,802, $9,627,
and $1,598, respectively. If unused, they will expire in 8 years.
(d) DIVIDENDS TO SHAREHOLDERS
1. Dividend income, if any, is declared and paid quarterly and is
recorded on the ex-dividend date.
2. Distributable net realized capital gains, if applicable, are
declared and distributed at least annually.
3. Dividends and distributions to shareholders are determined in
accordance with federal income tax regulations, which may differ from
accounting principles generally accepted in the United States of America.
These "book/tax" differences are considered either permanent or temporary
in nature. In accordance with AICPA (American Institute of Certified Public
Accountants) Statement of Position 93-2, permanent differences (i.e.
reclass of market discounts, gain/loss, paydowns, and distributions) are
reclassified within the capital accounts based on their nature for federal
income tax purposes; temporary differences do not require reclassification.
Dividends and distributions that exceed net investment income and net
realized gains for
22
<PAGE> 23
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
financial reporting purposes but not for tax purposes are reported as
dividends in excess of net investment income and net realized gains. To the
extent distributions exceed current and accumulated earnings and profits
for federal income tax purposes, they are reported as distributions of
paid-in-capital. These reclassifications have no effect upon the net asset
value of the respective Funds.
Accordingly, as of October 31, 2000 undistributed net investment income and
capital paid in excess of par value have been adjusted. Negative amounts
represent credits and positive amounts represent debits. The adjustments are as
follows:
<TABLE>
<CAPTION>
CAPITAL
PAID IN UNDISTRIBUTED
EXCESS OF NET INVESTMENT
PAR VALUE INCOME
--------- --------------
<S> <C> <C>
Aggressive Fund..................................... $(114) $114
</TABLE>
(e) EXPENSES
General expenses of the Trust, not directly attributable to a Fund or to any
class of shares, are charged to all Funds based upon each Fund's relative
average net assets or some other appropriate basis, as approved by the Trust's
Board of Trustees. Once these expenses are charged to a Fund, they are charged
to the classes based on total shares outstanding of each class.
Direct expenses of a Fund are applied to that Fund and charged to the classes in
the methods mentioned above.
Direct expenses of a class are charged to that class unless otherwise directed
by the Trust's Board of Trustees. For example, distribution fees are borne by
the specific class of shares to which they apply.
23
<PAGE> 24
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
(f) CAPITAL SHARE TRANSACTIONS
Transactions in capital shares of the Funds were as follows:
<TABLE>
<CAPTION>
MODERATELY MODERATELY
AGGRESSIVE AGGRESSIVE MODERATE CONSERVATIVE CONSERVATIVE
-------------- -------------- -------------- -------------- --------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 2000 2000 2000
TO OCTOBER 31, TO OCTOBER 31, TO OCTOBER 31, TO OCTOBER 31, TO OCTOBER 31,
2000(a) 2000(a) 2000(a) 2000(a) 2000(a)
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS A SHARES:
Proceeds from shares issued....... $ 10,000 $ 10,000 $ 10,064 $ 10,000 $ 10,000
Distributions reinvested.......... -- 2 69 120 158
Cost of shares redeemed........... -- -- -- -- --
---------- ---------- -------- ---------- --------
Change in capital............... $ 10,000 $ 10,002 $ 10,133 $ 10,120 $ 10,158
========== ========== ======== ========== ========
CLASS B SHARES:
Proceeds from shares issued....... $ 10,017 $ 10,000 $ 10,082 $ 10,000 $ 10,000
Distributions reinvested.......... -- -- 29 84 121
Cost of shares redeemed........... -- -- -- -- --
---------- ---------- -------- ---------- --------
Change in capital............... $ 10,017 $ 10,000 $ 10,111 $ 10,084 $ 10,121
========== ========== ======== ========== ========
SERVICE CLASS SHARES:
Proceeds from shares issued....... $1,429,003 $1,028,940 $862,406 $2,236,444 $587,393
Distributions reinvested.......... -- 212 215 271 374
Cost of shares redeemed........... (18,115) (24,572) (289) (7,876) (97,705)
---------- ---------- -------- ---------- --------
Change in capital............... $1,410,888 $1,004,580 $862,332 $2,228,839 $490,062
========== ========== ======== ========== ========
SHARE TRANSACTIONS:
CLASS A SHARES:
Issued............................ 1,000 1,000 1,000 1,000 1,000
Reinvested........................ -- -- 7 12 16
Redeemed.......................... -- -- -- -- --
---------- ---------- -------- ---------- --------
Change in shares................ 1,000 1,000 1,007 1,012 1,016
========== ========== ======== ========== ========
CLASS B SHARES:
Issued............................ 1,000 1,000 1,000 1,000 1,000
Reinvested........................ -- -- 3 9 12
Redeemed.......................... -- -- -- -- --
---------- ---------- -------- ---------- --------
Change in shares................ 1,000 1,000 1,003 1,009 1,012
========== ========== ======== ========== ========
SERVICE CLASS SHARES:
Issued............................ 152,353 106,561 88,651 226,104 58,810
Reinvested........................ -- 22 22 27 38
Redeemed.......................... (1,895) (2,509) (30) (802) (9,642)
---------- ---------- -------- ---------- --------
Change in shares................ 150,458 104,074 88,643 225,329 49,206
========== ========== ======== ========== ========
</TABLE>
---------------
(a) Funds commenced operations on March 31, 2000.
3. TRANSACTION WITH AFFILIATES
Under the terms of the Investment Advisory Agreement the adviser, Villanova
Mutual Fund Capital Trust ("VMF") manages the investment of the assets and
supervises the daily business affairs of the Funds. Under the terms of the
investment advisory agreement, the Funds pays VMF a management fee, based on the
Fund's average daily net assets.
24
<PAGE> 25
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Additional information regarding investment advisory fees incurred is as follows
for the period ended October 31, 2000:
<TABLE>
<CAPTION>
ADVISORY
ADVISORY FEE
FEES SCHEDULE
-------- --------
<S> <C> <C>
Aggressive.................................................. $150 0.13%
Moderately Aggressive....................................... 129 0.13%
Moderate.................................................... 74 0.13%
Moderately Conservative..................................... 215 0.13%
Conservative................................................ 57 0.13%
</TABLE>
VMF has entered into an Expense Limitation Agreement with the Trust on behalf of
the Funds. Pursuant to the Expense Limitation Agreements, VMF has agreed to
waive fees, or otherwise reimburse expenses for the Funds (except for Rule 12b-1
Fees) in order to limit annual Fund operating expenses at or below stated
expense caps. To the extent that the Funds do not continue to increase net
assets, the Funds are reliant upon the ability of VMF to continue to provide fee
waivers and reimbursements. The following table illustrates the expense caps for
each class of shares of the Funds for the period ended October 31, 2000:
<TABLE>
<CAPTION>
EXPENSE CAPS
---------------------------
SERVICE
CLASS A CLASS B CLASS
SHARES SHARES SHARES
------- ------- -------
<S> <C> <C> <C>
Aggressive.................................................. 0.71% 1.31% 0.61%
Moderately Aggressive....................................... 0.71% 1.31% 0.61%
Moderate.................................................... 0.71% 1.31% 0.61%
Moderately Conservative..................................... 0.71% 1.31% 0.61%
Conservative................................................ 0.71% 1.31% 0.61%
</TABLE>
During the period ended October 31, 2000, VMF reduced expenses for the Fund as
follows:
<TABLE>
<CAPTION>
TOTAL FEES
TOTAL FUND FEES OTHER FEES WAIVED/ NET FUND
EXPENSES WAIVED* REIMBURSED REIMBURSED EXPENSES
---------- ------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C>
Aggressive........................ $104,195 $44,320 $59,122 $103,442 $ 753
Moderately Aggressive............. 104,097 44,289 59,157 103,446 651
Moderate.......................... 101,674 44,224 57,046 101,270 404
Moderately Conservative........... 101,997 44,376 56,568 100,944 1,053
Conservative...................... 101,585 44,206 57,066 101,272 313
</TABLE>
* Includes advisory, transfer agent and fund administration.
Reimbursement by the Fund of the advisory fees waived or limited and other
expenses reimbursed by VMF pursuant to the Expense Limitation Agreement may be
made at a later date not to exceed five fiscal years from commencement of
operations if the Fund has reached a sufficient asset size to permit
reimbursement to be made without causing the total annual operating expense
ratio of the Fund to exceed the limits set forth above. No reimbursement will be
made unless: (i) the Fund's assets exceed $100 million; (ii) the total annual
expense ratio of the Class making such reimbursement is less than the limit set
forth above; and (iii) the payment of such reimbursement is approved by the
Board of Trustees on a quarterly basis. Except as provided for in the Expense
Limitation Agreement, reimbursement of amounts previously waived or assumed by
VMF is not permitted. As of October 31, 2000, the cumulative reimbursements were
$103,442, $103,446, $101,270, $100,944, and $101,272 for the Aggressive,
Moderately Aggressive, Moderate, Moderately Conservative, and Conservative
Funds, respectively.
25
<PAGE> 26
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Under the terms of a Distribution Plan under Rule 12b-1 of the 1940 Act, NAS,
the Funds' Distributor, is compensated by the Funds for expenses associated with
the distribution of shares of the Funds. These fees, based on average daily net
assets of the respective class, are not to exceed an annual rate of 0.25% for
Class A and Service Class of shares, and 1.00% the Class B shares. Additional
information regarding distribution fees incurred by the Fund's is as follows for
the period ended October 31, 2000:
<TABLE>
<CAPTION>
SERVICE
CLASS A CLASS B CLASS
SHARES SHARES SHARES
------- ------- -------
<S> <C> <C> <C>
Aggressive............................................... $14 $58 $260
Moderately Aggressive.................................... 15 57 220
Moderate................................................. 16 64 111
Moderately Conservative.................................. 15 58 384
Conservative............................................. 15 59 79
</TABLE>
Under the terms of a Fund Administration Agreement, Villanova SA Capital Trust
("VSA") receives fees from the Funds for providing various administrative and
accounting services. These fees are calculated daily based on each Fund's
average daily net assets and paid monthly. Additional information regarding fund
administration fees incurred by the Fund's is as follows for the period ended
October 31, 2000:
<TABLE>
<CAPTION>
FUND FUND
ADMINISTRATION ADMINISTRATION
FEES(a) FEE SCHEDULE
-------------- ----------------------------------------------------
<S> <C> <C> <C>
Aggressive................. $44,058
Moderately Aggressive...... 44,058 Up to $250 million................... 0.07%
Moderate................... 44,058 On the next $750 million............. 0.05%
Moderately Conservative.... 44,058 On $1 billion and more............... 0.04%
Conservative............... 44,058
</TABLE>
---------------
(a) Subject to a minimum of $75,000 per year per Fund.
Nationwide Investors Services, Inc. ("NISI"), a subsidiary of VSA, serves as
Transfer and Dividend Disbursing Agent for the Funds. For these services, NISI
received fees an annual rate of $18 per account for Class A and B shares
(effective October 1, 2000, fees were increased to $20), and 0.01% of the
average daily net assets of the Service Class shares. Additional information
regarding transfer and dividend disbursing agent fees incurred by the Fund's is
as follows for the period ended October 31, 2000:
<TABLE>
<CAPTION>
SERVICE
CLASS A CLASS B CLASS
SHARES SHARES SHARES
------- ------- -------
<S> <C> <C> <C>
Aggressive............................................... $51 $51 $10
Moderately Aggressive.................................... 49 44 8
Moderate................................................. 44 44 4
Moderately Conservative.................................. 44 44 15
Conservative............................................. 44 44 3
</TABLE>
VSA has entered into agreements with BISYS Fund Services Ohio, Inc., to provide
sub-administration and sub-transfer agent services to the Funds.
26
<PAGE> 27
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Under the terms of an Administrative Services Plan, the Funds pay fees to
servicing organizations, such as broker-dealers, may include Nationwide
Financial Services (NFS), Inc. and financial institutions, which agree to
provide administrative support services. These services include, but are not
limited, to the following: establishing and maintaining shareholder accounts,
processing purchase and redemption transactions, arranging bank wires,
performing shareholder sub-accounting, answering inquires regarding the Fund,
and other such services. These fees are based on an annual rate of up to 0.25%
of the average daily net assets of the Service Class. For the period ended
October 31, 2000, the Fund's incurred no administrative services fees.
Pursuant to an Underwriting Agreement, NAS serves as principal underwriter of
the Funds in the continuous distribution of its shares and receives commissions
in the form of a front-end sales charge. Such fees are deducted from and are not
included in proceeds from sales of Class A shares. From such fees, NAS pays
sales commissions, salaries, and other expenses in connection with generating
new sales of shares of the Fund. For the period ended October 31, 2000, there
were no commissions collected.
NAS receives fees for services as principal underwriter for Class B shares of
the Funds. Such fees are contingent deferred sales charges (CDSCs) ranging from
1% to 5% imposed on redemptions of Class B shares which may cause the current
value of an account to fall below the total purchase payments made during the
past five years. There were no CDSCs collected for the period ended October 31,
2000, on redemptions of Class B Shares.
4. BANK LOANS
NMF currently has an unsecured bank line of credit of $50,000,000. Borrowings
under this arrangement bear interest at the Federal Funds rate plus .50%. These
interest costs are included in custodian fees in the Statements of Operations.
No compensating balances are required under the terms of this arrangement.
5. INVESTMENT TRANSACTIONS
Purchases and sales of registered investment companies for the period ended
October 31, 2000, are summarized as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------- ----------
<S> <C> <C>
Aggressive.................................................. $2,157,576 $ 720,027
Moderately Aggressive....................................... 1,562,263 556,193
Moderate.................................................... 1,301,251 479,146
Moderately Conservative..................................... 3,034,208 1,058,017
Conservative................................................ 718,159 318,150
</TABLE>
Realized gains and losses have been computed on the first-in, first-out basis
unless otherwise specified by the adviser. Cost for financial reporting purposes
differs from cost for federal income tax purposes by the amount of losses
recognized for financial reporting in excess of federal income tax reporting of
$3,203, $6,404, $2,913, $0, and $0 for the Aggressive, Moderately Aggressive,
Moderate, Moderately Conservative, and Conservative, respectively.
27
<PAGE> 28
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Cost for federal income tax purposes differs from market value by net unrealized
appreciation of securities as follows:
<TABLE>
<CAPTION>
GROSS GROSS NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION (DEPRECIATION) APPRECIATION
------------ -------------- ------------
<S> <C> <C> <C>
Aggressive.................................. $19,831 $(5,304) $14,527
Moderately Aggressive....................... 13,749 (6,970) 6,779
Moderate.................................... 13,997 (3,181) 10,816
Moderately Conservative..................... 8,403 (1,284) 7,119
Conservative................................ 2,624 (277) 2,347
</TABLE>
6. FEDERAL INCOME TAX INFORMATION (UNAUDITED)
For corporate shareholders, none of the Funds' income dividends and short-term
capital gain distributions in the fiscal year ended October 31, 2000, qualify
for the dividend received deductions available to certain corporate
shareholders.
7. SUBSEQUENT EVENT
At a regular quarterly meeting of the Board of Trustees on December 14 and 15,
2000, the Board the considered and approved the following transactions:
(a) Approved the change in the principal underwriter of Nationwide Mutual
Funds from Nationwide Advisory Services, Inc. to Villanova Distribution
Services, Inc. This change will occur as soon as practicable after all
necessary regulatory approvals are received.
(b) Approved the addition of Class C shares for each of the Funds. These
shares will be available for sale no earlier than March 1, 2001.
28
<PAGE> 29
INDEPENDENT AUDITORS' REPORT
The Shareholders and Board of Trustees of
Nationwide Mutual Funds:
We have audited the accompanying statements of assets and liabilities of
Nationwide Mutual Funds -- Investor Destinations Aggressive Fund, Investor
Destinations Moderately Aggressive Fund, Investor Destinations Moderate Fund,
Investor Destinations Moderately Conservative Fund and Investor Destinations
Conservative Fund (the Funds), including the statements of investments, as of
October 31, 2000, and the related statements of operations, statements of
changes in net assets and the financial highlights for the period March 31, 2000
(commencement of operations) to October 31, 2000. These financial statements and
the financial highlights are the responsibility of the Funds' 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 accepted
in the United States of America. 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. Our procedures included confirmation of
securities owned as of October 31, 2000, by confirmation with the custodian and
other appropriate audit procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide 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 each
of the aforementioned Funds as of October 31, 2000, the results of their
operations, the changes in their net assets and the financial highlights for the
period March 31, 2000 to October 31, 2000, in conformity with accounting
principles generally accepted in the United States of America.
KPMG LLP
Columbus, Ohio
December 18, 2000
29
<PAGE> 30
(This page intentionally left blank)
30
<PAGE> 31
NATIONWIDE INDEX FUNDS:
NATIONWIDE(R) SMALL CAP INDEX FUND
NATIONWIDE(R) MID CAP MARKET INDEX FUND
NATIONWIDE(R) INTERNATIONAL INDEX FUND
NATIONWIDE(R) BOND INDEX FUND
ASSOCIATED MASTER PORTFOLIOS:
MASTER SMALL CAP SERIES
MASTER MID CAP SERIES
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) SERIES
MASTER AGGREGATE BOND SERIES
NATIONWIDE MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2000
31
<PAGE> 32
NATIONWIDE SMALL CAP INDEX FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 10 month period ended October 31, 2000, the Nationwide Small Cap Index
Fund returned -2.71%+ versus -0.47% for the Russell 2000 Index, the benchmark
index. The Fund commenced operations on December 29, 1999.
The returns for small capitalization securities were particularly lackluster.
Year to date, small cap stocks measured by the Russell 2000 Index returned
-0.47%. Large cap stocks measured by the S&P 500 Index fared worse, returning
-1.81%. Mid cap stocks, on the other hand, reigned supreme. The S&P Mid Cap 400
Index returned an impressive 18.07%.
Throughout 2000, U.S. equity markets experienced extreme volatility. For the
Fund, this was particularly true in May and June when there was great
speculation around the Russell 2000 Index's annual "reconstitution." This event
significantly impacted Index and Fund returns.
The Russell Indices in particular, the Russell 2000 Index experienced their
highest rate of turnover in years due to the significant number of IPOs, as well
as the considerable outperformance in the technology sector. With smaller cap
stocks outperforming larger issues over the first six months of the year 2000,
many of the Russell 2000's stellar performers graduated to the larger cap
Russell 1000 Index. In total, 118 stocks out of 2000 went from the Russell 2000
to the Russell 1000 Index; 79 of those were from the technology sector. The
reconstitution reduced the technology sector's weighting in the Russell 2000
Index by approximately 4%.
Growth-oriented issues were the largest drag on the Russell 2000 Index and the
Fund's overall return. The Russell 2000 Growth Index returned -10.69% versus
13.21% for the Russell 2000 Value Index.
During the 10-month period, energy and health care sectors made the largest
positive contribution to Index and Fund returns, while consumer discretionary,
utilities, and oil sectors detracted from performance.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Merrill Lynch Investment Management -- Adviser to the Master
portfolio
FUND NET ASSETS: $2,333,301
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
Class A
YEARS W/O SC** W/ SC(1) INSTITUTIONAL CLASS(2)
<S> <C> <C> <C>
---------------------------------------------------
Life* -2.71% -8.30% -2.30%
----------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data. Class
B was not operational as of October 31, 2000.
* Commenced operations on December 29, 1999.
** These returns do not reflect the effects of a sales charge (SC).
(1) A 5.75% maximum front-end sales charge was deducted.
(2) Not subject to any sales charges.
<TABLE>
<CAPTION>
CLASS A INSTITUTIONAL RUSSELL 2000 TR CPI
------- ------------- --------------- ---
<S> <C> <C> <C> <C>
12/99 9425 10000 10000 10000
10/00 9170 9770 9953 10354
</TABLE>
Comparative performance of $10,000 invested in Nationwide Small Cap Index Fund,
Russell 2000 Small Stock Index (Russell 2000)(3), and the Consumer Price Index
(CPI)(4) since inception (12/29/99) to 10/31/00. Unlike our Fund, these indices
do not reflect any fees, expenses, or sales charges.
(3) The Russell 2000 is comprised of approximately 2000 companies with small
market capitalizations relative to the market capitalizations of other U.S.
companies.
(4) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
32
<PAGE> 33
NATIONWIDE MID CAP MARKET INDEX FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 10-month period ended October 31, 2000, the Nationwide Mid Cap Market
Index Fund returned 18.51%+ versus 18.07% for the S&P MidCap 400 Index, the
benchmark index. The Fund commenced operations on December 29, 1999.
During the period, mid-cap stocks reigned supreme. The S&P Midcap 400 Index
returned an impressive 18.07%. The returns for small and large-capitalization
securities, on the other hand, were particularly lackluster. Year to date,
large-cap stocks measured by the S&P 500 Index returned -1.81% and small-cap
stocks measured by the Russell 2000 Index -- returned -0.47%.
For the first 10 months of 2000, the energy, health care and capital goods
sectors posted double-digit returns and contributed positively to Index and Fund
returns. The transportation, basic materials, and communication sectors did not
fare as well.
As of October 31, 2000, technology stocks represented more than 24% of the
Index's and the Fund's total capitalization. Several of the largest technology
stocks graduated to the S&P 500 Index, including Siebel and Veritas. During the
period, the Mid Cap Index, and as a result, the Fund, went through 64
composition changes. The Fund was able to benefit from its trading of these
Index changes, as on average our executions were superior to the Index's
inclusion prices.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Merrill Lynch Investment Management -- Adviser to the Master
Portfolio
FUND NET ASSETS: $11,005,804
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
Class A
YEARS W/O SC** W/ SC(1) INSTITUTIONAL CLASS(2)
<S> <C> <C> <C>
---------------------------------------------------
Life* 18.51% 11.70% 19.03%
----------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data. Class
B was not operational as of October 31, 2000.
* Commenced operations on December 29, 1999.
** These returns do not reflect the effects of a sales charge (SC).
(1) A 5.75% maximum front-end sales charge was deducted.
(2) Not subject to any sales charges.
<TABLE>
<CAPTION>
S&P MIDCAP 400
CLASS A INSTITUTIONAL INDEX CPI
------- ------------- -------------- ---
<S> <C> <C> <C> <C>
12/99 9425 10000 10000 10000
10/00 11170 11903 11807 10354
</TABLE>
Comparative performance of $10,000 invested in Nationwide Mid Cap Index Fund,
S&P MidCap 400(3) Index, and the Consumer Price Index (CPI)(4) since inception
(12/29/99) to 10/31/00. Unlike our Fund, these indices do not reflect any fees,
expenses, or sales charges.
(3) The S&P Midcap 400 Index consists of 400 stocks designed to measure
performance of the mid cap company economy through changes in the aggregate
market value of these 400 stocks which represent all major industries.
(4) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
33
<PAGE> 34
NATIONWIDE INTERNATIONAL INDEX FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 10-month period ending October 31, 2000 the Nationwide International
Index Fund had a total return of -13.03%+ versus -13.71% for the Morgan Stanley
Capital International Europe, Australasia, and Far East Index (MSCI EAFE), the
benchmark index. The Fund commenced operations on December 29, 1999.
Throughout 2000, markets worldwide experienced considerable volatility on a
daily, as well as a monthly, basis. The U.S. outperformed most global regions
over the period. The Far East was the worst performer.
On a country-by-country basis in the EAFE Index, 12 of the 20 countries
experienced negative returns New Zealand was down 30.07%; Belgium was down
18.10%; and Austria was down 14.55%. The countries with the largest positive
performance included Finland, up 25.29%; Denmark, up 14.92%, and Norway, up
11.46%.
In November, MSCI will re-establish its European company constituents.
Furthermore, MSCI has decided to adopt a free-float adjustment to their index
construction methodology following the lead of other global index providers,
such as FTSE and Dow Jones. Implementation plans will be announced by the end of
2000.
Adjusting to a free float methodology will reduce weightings in those companies
where a large portion of shares are closely held and not available in the public
marketplace to trade. For example, if the founders of the company own 40% of the
shares themselves and only 60% of the shares are available in the open market,
MSCI will reduce the company's inclusion rate from 100% (full weight) to 60%
(float-adjusted weight). These changes are expected to create high turnover
within the current index; however, we anticipate the transaction costs
associated with managing the Fund to the new Index to be lower.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Merrill Lynch Investment Management -- Adviser to the Master
Portfolio
FUND NET ASSETS: $3,142,014
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
CLASS A CLASS B()
YEARS W/O SC** W/ SC(1) W/O SC** W/ SC(2) INSTITUTIONAL CLASS(3)
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------
Life* -13.03% -18.03% -13.62% -17.93% -12.65%
--------------------------------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data.
* Commenced operations on December 29, 1999.
** These returns do not reflect the effects of a sales charge (SC).
(1) A 5.75% maximum front-end sales charge was deducted.
(2) A 5.00% maximum contingent deferred sales charge (CDSC) would be deducted.
The CDSC declines to 0% after 6 years.
(3) Not subject to any sales charges.
<TABLE>
<CAPTION>
CLASS A CLASS B INSTITUTIONAL MSCI EAFE CPI
------- ------- ------------- --------- ---
<S> <C> <C> <C> <C> <C>
12/99 9425 10000 10000 10000 10000
10/00 8197 8207 8735 8629 10354
</TABLE>
Comparative performance of $10,000 invested in Nationwide International Index
Fund, Morgan Stanley Capital International -- Europe, Australasia, and Far East
Index (MSCI EAFE)(4), and the Consumer Price Index (CPI)(5) since inception
(12/29/99) to 10/31/00. Unlike our Fund, these indices do not reflect any fees,
expenses, or sales charges.
(4) The MSCI EAFE is an unmanaged index generally representative of the
performance of international stock markets.
(5) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
34
<PAGE> 35
NATIONWIDE BOND INDEX FUND
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
For the 10-month period ended October 31, 2000, the Nationwide Bond Index Fund
returned 5.92%+ versus 7.82% for the Lehman Brothers Aggregate Bond Index, the
benchmark index. The Fund commenced operations on December 29, 1999.
The Fund uses a stratified sampling approach to construct the portfolio.
Management actively seeks to match the characteristics of the securities within
the portfolio to those of the benchmark. However, factors that contribute to
performance are always marginal when talking about management of an index fund.
In this case, during the period of January 1, 2000 through October 31, 2000, the
Fund had a marginal over-allocation in Treasury securities in relation to Agency
securities. Treasuries outperformed Agencies after it became apparent that
budget surpluses would result in decreased issuance of Treasuries. Also, the
buyback of existing Treasuries helped that sector to outperform.
As indicated, Treasury securities performed well and were the highest performer
for the period. The Corporate sector was the poorest performer due to earning
pressures and signals of economic weakening.
Government issues (comprised of the Treasury sub-sector and the Agency
sub-sector) continued to have the highest representation in the Index, and
therefore, in the Fund. However, the Index's allocation relative to the mortgage
sector has been in steady decline. During the year, holdings in the government
sector declined from 41.6% to 38.3%, while holdings in the mortgage sector
increased from 36.9% to 38.0%. In the near future, we anticipate the mortgage
sector to have the largest representation in the Index and in the Fund.
---------------
+ Performance of Class A shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager: Merrill Lynch Investment Management -- Adviser to the Master
Portfolio
FUND NET ASSETS: $12,115,300
OCTOBER 31, 2000
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
CLASS A INSTITUTIONAL
YEARS W/O SC** W/ SC(1) CLASS(2)
<S> <C> <C> <C>
------------------------------------------------
Life* 5.92% -0.17% 6.47%
-------------------------------------------------
</TABLE>
All figures showing the effect of a sales charge reflect the maximum charge
possible, because it has the most dramatic effect on the performance data. Class
B was not operational as of October 31, 2000.
* Commenced operations on December 29, 1999.
** These returns do not reflect the effects of a sales charge (SC).
(1) A 5.75% maximum front-end sales charge was deducted.
(2) Not subject to any sales charges.
<TABLE>
<CAPTION>
LB AGGREGATE BOND
CLASS A INSTITUTIONAL TR CPI
------- ------------- ----------------- ---
<S> <C> <C> <C> <C>
12/99 9425.00 10000.00 10000.00 10000.00
10/00 9983.00 10647.00 10782.00 10354.00
</TABLE>
Comparative performance of $10,000 invested in Nationwide Bond Index Fund,
Lehman Brothers Aggregate Bond Index (LB Aggregate Bond)(3), and the Consumer
Price Index (CPI)(4) since inception (12/29/99) to 10/31/00. Unlike our Fund,
these indices do not reflect any fees, expenses, or sales charges.
(3) The Lehman Brothers Aggregate Bond Index consists of investment grade debt
issues that have at least $100 million par amount outstanding and at least
one year to final maturity.
(4) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
35
<PAGE> 36
NATIONWIDE(R) MUTUAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP
SMALL CAP MARKET INTERNATIONAL BOND
INDEX FUND INDEX FUND INDEX FUND INDEX FUND
-------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in Master Portfolios, at value $2,347,688 $11,029,211 $3,152,757 $12,198,099
Receivable for Fund shares sold -- 86 1,620 --
Receivable from adviser 15,208 20,893 14,284 11,785
Prepaid and other assets 4,547 4,679 6,455 5,018
---------- ----------- ---------- -----------
Total Assets 2,367,443 11,054,869 3,175,116 12,214,902
---------- ----------- ---------- -----------
LIABILITIES:
Distributions payable -- -- -- 63,775
Payable for capital shares redeemed -- 1 -- --
Accrued expenses and other payables:
Fund administration fees 6,353 6,352 6,353 6,353
Transfer agent fees 75 92 321 98
Distribution fees 5 631 90 1,773
Other 27,709 41,989 26,338 27,603
---------- ----------- ---------- -----------
Total Liabilities 34,142 49,065 33,102 99,602
---------- ----------- ---------- -----------
NET ASSETS $2,333,301 $11,005,804 $3,142,014 $12,115,300
========== =========== ========== ===========
NET ASSETS:
Capital $2,415,466 $10,059,644 $3,384,282 $12,116,666
Accumulated net investment income from investments and
foreign transactions 3,540 13,284 1,651 --
Net unrealized appreciation (depreciation) from
investments and foreign transactions (51,955) 474,258 (214,337) (1,281)
Accumulated net realized gains (losses) from investment
transactions and foreign transactions (33,750) 458,618 (29,582) (85)
---------- ----------- ---------- -----------
NET ASSETS $2,333,301 $11,005,804 $3,142,014 $12,115,300
========== =========== ========== ===========
NET ASSETS:
Class A Shares $ 31,925 $ 3,049,183 $ 230,261 $ 8,351,832
Class B Shares(a) -- -- 53,427 --
Institutional Class Shares 2,301,376 7,956,621 2,858,326 3,763,468
---------- ----------- ---------- -----------
Total $2,333,301 $11,005,804 $3,142,014 $12,115,300
========== =========== ========== ===========
SHARES OUTSTANDING (unlimited number of shares
authorized):
Class A Shares 3,302 258,972 26,605 828,232
Class B Shares(a) -- -- 6,195 --
Institutional Class Shares 237,331 674,230 329,949 373,170
---------- ----------- ---------- -----------
Total 240,633 933,202 362,749 1,201,402
========== =========== ========== ===========
NET ASSET VALUE:
Class A Shares $ 9.67 $ 11.77 $ 8.65 $ 10.08
Class B Shares** -- -- $ 8.62 --
Institutional Class Shares*** $ 9.70 $ 11.80 $ 8.66 $ 10.09
MAXIMUM OFFERING PRICE (100%/(100%-Maximum Sales Charge)
of net asset value adjusted to nearest cent per share):
Class A Shares* $ 10.26 $ 12.49 $ 9.18 $ 10.69
---------- ----------- ---------- -----------
Maximum sales charge -- Class A Shares 5.75% 5.75% 5.75% 5.75%
========== =========== ========== ===========
</TABLE>
------------------------------------------------------
* Class A Shares include a front-end sales charge.
** For Class B Shares, the redemption price per share varies by length of time
shares are held.
*** Institutional Class Shares are not subject to a front-end sales charge.
(a) Class B was not active in Small Cap Index, Mid Cap Index, and Bond Index
Funds.
See accompanying notes to the financial statements.
36
<PAGE> 37
NATIONWIDE(R) MUTUAL FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD DECEMBER 29, 1999 TO OCTOBER 31, 2000 (a)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP BOND
SMALL CAP MARKET INDEX INTERNATIONAL INDEX
INDEX FUND FUND INDEX FUND FUND
---------- ------------ ------------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Investment income from portfolio $ 9,505 $ 97,219 $ 12,633 $ 140,521
Master expenses (534) (4,374) (657) (2,891)
--------- ---------- --------- ---------
Total income 8,971 92,845 11,976 137,630
EXPENSES:
Fund administration fees 63,115 63,115 63,115 63,115
Custodian fees 385 579 366 385
Distribution fees 26 5,839 542 3,044
Professional fees 12,570 15,030 11,190 12,522
Trustees' fees and expenses 126 151 126 126
Transfer agent fees 141 412 1,087 177
Registration and filing fees 39,457 52,701 39,967 34,082
Shareholders' reports 10,762 10,762 11,050 10,762
Other 538 6,251 540 5,854
--------- ---------- --------- ---------
Total expenses before waived or reimbursed
expenses 127,120 154,840 127,983 130,067
Expenses waived or reimbursed (126,209) (130,524) (124,905) (120,468)
--------- ---------- --------- ---------
Net expenses 911 24,316 3,078 9,599
--------- ---------- --------- ---------
NET INVESTMENT INCOME $ 8,060 $ 68,529 $ 8,898 $ 128,031
========= ========== ========= =========
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS:
Net realized gains (losses) on investment
transactions and foreign transactions (33,750) 458,618 (29,582) (85)
Net change in unrealized appreciation
(depreciation) on investments and foreign
transactions (51,955) 474,258 (214,337) (1,281)
--------- ---------- --------- ---------
Net realized/unrealized gains (losses) on
investments and foreign transactions (85,705) 932,876 (243,919) (1,366)
--------- ---------- --------- ---------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $ (77,645) $1,001,405 $(235,021) $ 126,665
========= ========== ========= =========
</TABLE>
------------------------------------------------------
(a) Period from commencement of operations.
See accompanying notes to the financial statements.
37
<PAGE> 38
NATIONWIDE(R) MUTUAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD DECEMBER 29, 1999 TO OCTOBER 31, 2000 (a,b)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP
SMALL CAP MARKET INTERNATIONAL BOND
INDEX FUND INDEX FUND INDEX FUND INDEX FUND
---------- ----------- ------------- -----------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income $ 8,060 $ 68,529 $ 8,898 $ 128,031
Net realized gains (losses) from investment
transactions (33,750) 458,618 (29,582) (85)
Net change in unrealized appreciation
(depreciation) from investments (51,955) 474,258 (214,337) (1,281)
---------- ----------- ----------- -----------
Change in net assets resulting from operations (77,645) 1,001,405 (235,021) 126,665
---------- ----------- ----------- -----------
DISTRIBUTIONS TO CLASS A SHAREHOLDERS FROM:
Net investment income (72) (19,837) (947) (74,037)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS FROM:
Net investment income -- -- (68) --
DISTRIBUTIONS TO INSTITUTIONAL CLASS SHAREHOLDERS
FROM:
Net investment income (4,448) (35,508) (6,232) (53,994)
---------- ----------- ----------- -----------
CHANGE IN NET ASSETS FROM SHAREHOLDER DISTRIBUTIONS (4,520) (55,345) (7,247) (128,031)
---------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:*
Proceeds from shares issued 2,688,329 10,366,079 6,288,153 13,697,559
Distributions reinvested 4,519 55,328 7,228 64,213
Cost of shares redeemed (277,382) (361,663) (2,911,099) (1,645,106)
---------- ----------- ----------- -----------
Change in net assets from capital transactions 2,415,466 10,059,744 3,384,282 12,116,666
---------- ----------- ----------- -----------
Change in net assets 2,333,301 11,005,804 3,142,014 12,115,300
---------- ----------- ----------- -----------
NET ASSETS:
Beginning of period -- -- -- --
End of period $2,333,301 $11,005,804 $ 3,142,014 $12,115,300
========== =========== =========== ===========
SHARE TRANSACTIONS:*
Sold 268,229 959,410 693,927 1,357,699
Reinvested 454 4,814 812 6,350
Redeemed (28,050) (31,022) (331,990) (162,647)
---------- ----------- ----------- -----------
Change in shares 240,633 933,202 362,749 1,201,402
========== =========== =========== ===========
</TABLE>
------------------------------------------------------
* Both the Capital Transactions and Share Transactions sections represent
combined data for all classes of shares.
(a) Period from commencement of operations.
(b) Class B was not active in Small Cap Index, Mid Cap Index, and Bond Index
Funds.
See accompanying notes to the financial statements.
38
<PAGE> 39
NATIONWIDE(R) MUTUAL FUNDS
SMALL CAP INDEX FUND
FINANCIAL HIGHLIGHTS
FOR THE PERIOD DECEMBER 29, 1999 TO OCTOBER 31, 2000 (a,b)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES INSTITUTIONAL CLASS
-------------- -------------------
<S> <C> <C>
NET ASSETS VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00
-------- -------
INVESTMENT ACTIVITIES:
Net investment income 0.07 0.09
Net realized and unrealized loss (0.34) (0.32)
-------- -------
Total investment activities (0.27) (0.23)
-------- -------
DISTRIBUTIONS:
Net investment income (0.06) (0.07)
-------- -------
Total distributions (0.06) (0.07)
-------- -------
NET ASSET VALUE -- END OF PERIOD $ 9.67 $ 9.70
======== =======
Total Return (excluding sales charges)(c) (2.71)% (2.30)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 32 $ 2,301
Ratio of expenses to average net assets(d) 0.79% 0.29%
Ratio of net investment income to average net assets(d) 1.00% 1.69%
Ratio of expenses to average net assets*(d) 329.04% 19.76%
Portfolio Turnover rate(c,e) 48.27% 48.27%
</TABLE>
------------------------------------------------------
* During the period certain fees were waived and/or reimbursed. If such
waivers/reimbursements had not occurred, the ratios would have been as
indicated.
(a) Period from commencement of operations.
(b) Class B was not active in Small Cap Index Fund.
(c) Not annualized.
(d) Annualized.
(e) Portfolio Turnover is based on the Master Portfolios. (See notes to the
financial statements).
See accompanying notes to the financial statements.
39
<PAGE> 40
NATIONWIDE(R) MUTUAL FUNDS
MID CAP MARKET INDEX FUND
FINANCIAL HIGHLIGHTS
FOR THE PERIOD DECEMBER 29, 1999 TO OCTOBER 31, 2000 (a,b)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES INSTITUTIONAL CLASS
-------------- -------------------
<S> <C> <C>
NET ASSETS VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00
-------- -------
INVESTMENT ACTIVITIES:
Net investment income 0.09 0.14+
Net realized and unrealized gain 1.76 1.76+
-------- -------
Total investment activities 1.85 1.90
-------- -------
DISTRIBUTIONS:
Net investment income (0.08) (0.10)
-------- -------
Total distributions (0.08) (0.10)
-------- -------
NET ASSET VALUE -- END OF PERIOD $ 11.77 $ 11.80
======== =======
Total Return (excluding sales charges)(c) 18.51% 19.03%
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 3,049 $ 7,957
Ratio of expenses to average net assets(d) 0.81% 0.31%
Ratio of net investment income to average net assets(d) 0.95% 1.49%
Ratio of expenses to average net assets*(d) 3.12% 2.76%
Portfolio Turnover rate(c,e) 35.19% 35.19%
</TABLE>
------------------------------------------------------
* During the period certain fees were waived and/or reimbursed. If such
waivers/reimbursements had not occurred, the ratios would have been as
indicated.
+ Calculated using the average daily shares outstanding for the period.
(a) Period from commencement of operations.
(b) Class B was not active in Mid Cap Market Index Fund.
(c) Not annualized.
(d) Annualized.
(e) Portfolio Turnover is based on the Master Portfolios. (See notes to the
financial statements).
See accompanying notes to the financial statements.
40
<PAGE> 41
NATIONWIDE(R) MUTUAL FUNDS
INTERNATIONAL INDEX FUND
FINANCIAL HIGHLIGHTS
FOR THE PERIOD DECEMBER 29, 1999 TO OCTOBER 31, 2000 (a)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES CLASS B SHARES INSTITUTIONAL CLASS
-------------- -------------- -------------------
<S> <C> <C> <C>
NET ASSETS VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00
------- ------- -------
INVESTMENT ACTIVITIES:
Net investment income 0.06 0.02 0.09
Net realized and unrealized loss (1.36) (1.38) (1.35)
------- ------- -------
Total investment activities (1.30) (1.36) (1.26)
------- ------- -------
DISTRIBUTIONS:
Net investment income (0.05) (0.02) (0.08)
------- ------- -------
Total distributions (0.05) (0.02) (0.08)
------- ------- -------
NET ASSET VALUE -- END OF PERIOD $ 8.65 $ 8.62 $ 8.66
======= ======= =======
Total Return (excluding sales charges)(b) (13.03)% (13.62)% (12.65)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 230 $ 53 $ 2,858
Ratio of expenses to average net assets(c) 0.86% 1.46% 0.36%
Ratio of net investment income to average net
assets(c) 1.01% 0.39% 1.16%
Ratio of expenses to average net assets*(c) 49.77% 63.29% 8.18%
Portfolio Turnover rate(b,d) 5.66% 5.66% 5.66%
</TABLE>
------------------------------------------------------
* During the period certain fees were waived and/or reimbursed. If such
waivers/reimbursements had not occurred, the ratios would have been as
indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio Turnover is based on the Master Portfolios. (See notes to the
financial statements).
See accompanying notes to the financial statements.
41
<PAGE> 42
NATIONWIDE(R) MUTUAL FUNDS
BOND INDEX(B)
FINANCIAL HIGHLIGHTS
FOR THE PERIOD DECEMBER 29, 1999 TO OCTOBER 31, 2000 (a,b)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS A SHARES INSTITUTIONAL CLASS
-------------- -------------------
<S> <C> <C>
NET ASSETS VALUE -- BEGINNING OF PERIOD $ 10.00 $ 10.00
------- -------
INVESTMENT ACTIVITIES:
Net investment income 0.50 0.54
Net realized and unrealized gain 0.08 0.09
------- -------
Total investment activities 0.58 0.63
------- -------
DISTRIBUTIONS:
Net investment income (0.50) (0.54)
------- -------
Total distributions (0.50) (0.54)
------- -------
NET ASSET VALUE -- END OF PERIOD $ 10.08 $ 10.09
======= =======
Total Return (excluding sales charges)(c) 5.92% 6.47%
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 8,352 $ 3,763
Ratio of expenses to average net assets(d) 0.81% 0.31%
Ratio of net investment income to average net assets(d) 6.06% 6.49%
Ratio of expenses to average net assets*(d) 3.48% 10.87%
Portfolio Turnover rate(c,e) 35.74% 35.74%
</TABLE>
------------------------------------------------------
* During the period certain fees were waived and/or reimbursed. If such
waivers/reimbursements had not occurred, the ratios would have been as
indicated.
(a) Period from commencement of operations.
(b) Class B is not active in Bond Index Fund.
(c) Not annualized.
(d) Annualized.
(e) Portfolio Turnover is based on the Master Portfolios. (See notes to the
financial statements.)
See accompanying notes to the financial statements.
42
<PAGE> 43
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION
Nationwide Mutual Funds ("NMF" or the "Trust") is an open-end management
investment company. NMF was created under the laws of Ohio as an Ohio business
trust pursuant to a Declaration of Trust dated as of October 31, 1997, as
subsequently amended, and is registered under the Investment Company Act of
1940, as amended. The Trust currently offers shares in thirty-three separate
series, or mutual funds each with its own investment objectives and strategies.
This report contains the financial statements and financial highlights of the
following:
- Nationwide Small Cap Index Fund (Small Cap Index)
- Nationwide Mid Cap Market Index Fund (Mid Cap Market Index)
- Nationwide International Index Fund (International Index)
- Nationwide Bond Index Fund (Bond Index)
Unlike traditional mutual funds, the structure of these Funds is sometimes
called a "master/feeder" structure. Each Fund (individually a "Feeder Fund",
collectively the "Feeder Funds") seeks to achieve its investment objectives by
investing substantially all its assets in a corresponding series ("Master
Portfolio") of the Quantitative Master Series Trust that is advised by Fund
Asset Management, LP ("FAM"). Each Feeder Fund invests in a Master Portfolio
(individually a "Master Portfolio", collectively the "Master Portfolios") which
has the same investment objectives as those of the Feeder Fund.
<TABLE>
<CAPTION>
PROPORTIONATE
INTEREST
ON OCTOBER 31,
FEEDER FUNDS MASTER PORTFOLIOS 2000
------------ ------------------------------------- ----------------------
<S> <C> <C>
Small Cap Index...................... Master Small Cap Index Series 1.40%
Mid Cap Market Index................. Master Mid Cap Index Series 96.99%
International Index.................. Master International (Capitalization
Weighted) Index Series 19.93%
Bond Index........................... Master Aggregate Bond Index Series 4.07%
</TABLE>
Fund Assets Management, L.P. (FAM), is the investment adviser of the Master
Portfolios for which the Feeder Funds invest. Under the terms of the investment
advisory agreement, each Master Portfolio pays FAM a management fee based on the
Master Portfolio's average daily net assets.
Additional information regarding investment advisory fees of the Master
Portfolios is as follows for the period ended October 31, 2000:
<TABLE>
<CAPTION>
ADVISORY
FEE
SCHEDULE
--------
<S> <C>
Master Small Cap Index Series*.............................. 0.08%
Master Mid Cap Market Index Series.......................... 0.01%
Master International Index Series........................... 0.01%
Master Bond Index Series*................................... 0.06%
</TABLE>
------------------------------------------------------
* FAM has entered into contractual agreements that currently limits management
fees to 0.01%.
The Master Portfolios typically invest, either directly or indirectly, in
stocks, bonds, and other securities. The value of each Feeder Fund's investment
in each corresponding Master Portfolio included in the accompanying statements
of assets and liabilities reflects each Feeder Fund's proportionate beneficial
interest in the net assets of that Master Portfolio. The performance of each
Feeder Fund is directly affected by the performance of its corresponding Master
Portfolio. The most recently audited Financial Statements of each Master
Portfolio, including its statement of
43
<PAGE> 44
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
investments, are included elsewhere within this report and should be read in
conjunction with each corresponding Feeder Funds' financial statements.
The Feeder Funds commenced operations on December 29, 1999 with three classes of
shares, Class A, Class B, and Institutional Class, however, Class B shares of
Small Cap Index, Mid Cap Market Index, and Bond Index were not operational as of
the Report Date. Class A and B shares (when operational) are available to all
investors. The Institutional Class shares is available to a limited group of
investors. The Class A shares are purchased with a maximum 5.75% front-end sales
load. The Class B are subject to a 5.00% maximum deferred sales charge (known as
a contingent deferred sales charge or CDSC) if you sell your shares within six
years of purchase and contain a conversion feature to Class A shares after you
have held them for seven years. Sales charges are paid to the Feeder Fund's
distributor, Nationwide Advisory Services, Inc. (NAS) which either retains them
or pays a selling representative. The Institutional Class shares have no sales
charges.
The Class A shares pay distribution and/or service (12b-1) fees under a
Distribution Plan of 0.25%. The Class B shares pay 1.00% 12b-1 fee. These fees
are either retained or paid by NAS to brokers for distribution and shareholders
services.
The Class A shares pay administrative service fees of up to 0.25%. These fees
are paid to brokers and other entities that provide administrative support
services to the beneficial owners of the applicable shares.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with accounting principals generally accepted in the Unite States of
America. The preparation of financial statements requires management to make
estimates and assumptions that affect the reported amounts of assets,
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
(a) VALUATION PROCEDURES
1. Securities Valuation -- Shares of the securities in which the
Master Portfolios invest are valued at their respective net asset
values as determined under the Investment Company Act of 1940. The
securities in the Master Portfolios are valued as of the close of
business of the regular session of trading on the New York Stock
Exchange. The Master Portfolios generally value securities in their
portfolios for which market quotations are readily available at
their market value (generally the last reported sale price) and all
other securities and assets at fair value, pursuant to methods
established in good faith by the Board of Trustees of the Master
Portfolios.
2. Share Valuation -- The net asset value per share of each respective
class of each Feeder Fund is calculated daily by dividing each
class' value of the Feeder Funds' assets, less liabilities, by the
number of shares outstanding, rounded to the nearest cent.
(b) FEEDER FUNDS
The Feeder Funds record daily their pro-rata share of their respective
Portfolio's income, expenses and realized and unrealized gains and losses. In
addition, the Feeder Funds accrue their own expenses daily as incurred. Realized
gains or losses and changes in unrealized appreciation or depreciation represent
the Fund's share of such elements allocated from the Portfolio.
44
<PAGE> 45
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
(c) SECURITIES TRANSACTIONS AND RELATED INVESTMENT INCOME
The Feeder Funds purchase and sell shares of the corresponding Master Portfolio.
The Feeder Funds recognize their proportionate share of the net investment
income and realized and unrealized gains and losses recognized by the
corresponding Master Portfolio on a daily basis. The net investment income and
realized and unrealized gains and losses are allocated daily to each Feeder
Funds respective class of shares based on the total shares outstanding of each
class.
(d) FEDERAL INCOME TAXES
Each Feeder Fund's policy is to qualify or continue to qualify as a regulated
investment company under the Internal Revenue Code, and to distribute
substantially all taxable income, if any, to its shareholders. Therefore no
provision has been made for federal income taxes as it is the intention of the
Feeder Funds to continue such qualification. Withholding taxes have been paid or
provided for in accordance with the applicable tax rates and rules.
(e) DISTRIBUTIONS TO SHAREHOLDERS
1. Net investment income, if any, is declared and paid quarterly and
is recorded on the ex-dividend date.
2. Distributable net realized capital gains, if applicable, are
declared and distributed at least annually.
3. Dividends and distributions to shareholders are determined in
accordance with federal income tax regulations, which may differ
from accounting principles generally accepted in the United States
of America. These "book/tax" differences are considered either
permanent or temporary in nature. In accordance with AICPA
(American Institute of Certified Public Accountants) Statement of
Position 93-2, permanent differences (i.e. reclass of market
discounts, gain/loss, paydowns, and distributions) are reclassified
within the capital accounts based on their nature for federal
income tax purposes; temporary differences do not require
reclassification. Dividends and distributions that exceed net
investment income and net realized gains for financial reporting
purposes but not for tax purposes are reported as dividends in
excess of net investment income and net realized gains. To the
extent distributions exceed current and accumulated earnings and
profits for federal income tax purposes, they are reported as
distributions of paid-in-capital. These reclassifications have no
effect upon the net asset value of the respective Feeder Funds.
For the fiscal year ended December 31, 1999, the following reclassifications
were necessary:
<TABLE>
<CAPTION>
CAPITAL PAID UNDISTRIBUTED UNDISTRIBUTED
IN EXCESS OF NET INVESTMENT CAPITAL
FUND PAR VALUE INCOME GAIN
---- ------------ -------------- -------------
<S> <C> <C> <C>
Mid Cap Market Index $-- $ (100) $ 100
</TABLE>
(f) EXPENSES
General expenses of the Trust, not directly attributable to a Feeder Fund or to
any class of shares, are charged to all Funds based upon each Feeder Fund's
relative average net assets or some other appropriate basis, as approved by the
Trust's Board of Trustees. Once these expenses are allocated to a Feeder Fund,
they are allocated to the classes based on total shares outstanding of each
class.
Direct expenses of a Feeder Fund are applied to that Fund and allocated to the
classes in the methods mentioned above.
Direct expenses of a class are charged to that class unless otherwise directed
by the Trust's Board of Trustees. For example, distribution fees are borne by
the specific class of shares to which they apply.
45
<PAGE> 46
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
(g) CAPITAL SHARE TRANSACTIONS
Transactions in Capital shares of the Feeder Funds were as follows:
<TABLE>
<CAPTION>
SMALL CAP MID CAP INTERNATIONAL BOND
INDEX MARKET INDEX INDEX INDEX
-------------- -------------- -------------- --------------
PERIOD FROM PERIOD FROM PERIOD FROM PERIOD FROM
DECEMBER 29, DECEMBER 29, DECEMBER 29, DECEMBER 29,
1999 1999 1999 1999
TO OCTOBER 31, TO OCTOBER 31, TO OCTOBER 31, TO OCTOBER 31,
2000(a) 2000(a) 2000(a) 2000(a)
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS A SHARES:
Proceeds from shares issued........................ $ 32,136 $2,626,384 $ 275,537 $8,352,143
Distributions reinvested........................... 72 19,826 929 32,018
Cost of shares redeemed............................ (21) (41,010) (16,835) (19,063)
---------- ---------- ---------- ----------
Change in capital................................ $ 32,187 $2,605,200 $ 259,631 $8,365,098
========== ========== ========== ==========
CLASS B SHARES:(b)
Proceeds from shares issued........................ $ -- $ -- $ 61,506 $ --
Distributions reinvested........................... -- -- 68 --
Cost of shares redeemed............................ -- -- (2,824) --
---------- ---------- ---------- ----------
Change in capital................................ $ -- $ -- $ 58,750 $ --
========== ========== ========== ==========
INSTITUTIONAL CLASS SHARES:
Proceeds from shares issued........................ $2,656,193 $7,739,695 $5,951,110 $5,345,416
Distributions reinvested........................... 4,447 35,502 6,231 32,195
Cost of shares redeemed............................ (277,361) (320,653) (2,891,440) (1,626,043)
---------- ---------- ---------- ----------
Change in capital................................ $2,383,279 $7,454,544 $3,065,901 $3,751,568
========== ========== ========== ==========
SHARE TRANSACTIONS:
CLASS A SHARES:
Issued............................................. 3,297 260,519 28,328 826,955
Reinvested......................................... 7 1,742 99 3,164
Redeemed........................................... (2) (3,289) (1,822) (1,887)
---------- ---------- ---------- ----------
Change in shares................................. 3,302 258,972 26,605 828,232
========== ========== ========== ==========
CLASS B SHARES:(b)
Issued............................................. -- -- 6,498 --
Reinvested......................................... -- -- 7 --
Redeemed........................................... -- -- (310) --
---------- ---------- ---------- ----------
Change in shares................................. -- -- 6,195 --
========== ========== ========== ==========
INSTITUTIONAL CLASS SHARES:
Issued............................................. 264,932 698,891 659,101 530,744
Reinvested......................................... 447 3,072 706 3,186
Redeemed........................................... (28,048) (27,733) (329,858) (160,760)
---------- ---------- ---------- ----------
Change in shares................................. 237,331 674,230 329,949 373,170
========== ========== ========== ==========
</TABLE>
------------------------------------------------------
(a) Funds commenced operations on December 29, 1999.
(b) Class B was not active in Small Cap Index, Mid Cap Index, and Bond Index.
3. TRANSACTIONS WITH AFFILIATES
Villanova SA Capital Trust (VSA) as Fund Administrator has entered into an
Expense Limitation Agreement with the Trust on behalf of the Funds. Pursuant to
the Expense Limitation Agreement, VMF has agreed to waive or limit its fees and
to assume other expenses to the extent necessary to limit the total annual
operating expenses of each Class of the Funds. To the extent that the Funds do
not continue to increase net assets, the Funds are reliant upon the
46
<PAGE> 47
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
ability of VMF to continue to provide fee waivers and reimbursements. The
following table illustrates the expense caps for each Share class of the Funds
for the period ended October 31, 2000:
<TABLE>
<CAPTION>
EXPENSE CAPS
-----------------------------------
CLASS A CLASS B INSTITUTIONAL
SHARES SHARES CLASS
------- ------- -------------
<S> <C> <C> <C>
Small Cap Index...................................... 0.79% 1.39% 0.29%
Mid Cap Market Index................................. 0.81% 1.41% 0.31%
International Index.................................. 0.86% 1.46% 0.36%
Bond Index........................................... 0.81% 1.41% 0.31%
</TABLE>
During the period ended October 31, 2000, expenses were reduced as follows:
<TABLE>
<CAPTION>
OTHER TOTAL FEES
TOTAL FUND FEES/EXPENSES WAIVED/ NET FUND
EXPENSES FEE WAIVED* REIMBURSED REIMBURSED EXPENSES
---------- ----------- ------------- ---------- --------
<S> <C> <C> <C> <C> <C>
Small Cap Index...... $127,120 $63,256 $62,953 $126,209 $ 911
Mid Cap Market
Index.............. 154,840 63,527 66,997 130,524 24,316
International
Index.............. 127,983 64,203 60,702 124,905 3,078
Bond Index........... 130,067 63,293 57,175 120,468 9,599
</TABLE>
------------------------------------------------------
* Includes transfer agent and fund administration fees.
Reimbursement by the Fund of the advisory fees waived or limited and other
expenses reimbursed by VMF pursuant to the Expense Limitation Agreement may be
made at a later date not to exceed five fiscal years from commencement of
operations if the Fund has reached a sufficient asset size to permit
reimbursement to be made without causing the total annual operating expense
ratio of the Fund to exceed the limits set forth above. No reimbursement will be
made unless: (i) the Fund's assets exceed $100 million; (ii) the total annual
expense ratio of the Class making such reimbursement is less than the limit set
forth above; and (iii) the payment of such reimbursement is approved by the
Board of Trustees on a quarterly basis. Except as provided for in the Expense
Limitation Agreement, reimbursement of amounts previously waived or assumed by
VMF is not permitted. As of October 31, 2000, the cumulative reimbursements were
$126,209, $130,524, $124,905, and $120,468 for the Small Cap Index, Mid Cap
Market Index, International Index, and Bond Index Funds, respectively.
Under the terms of a Distribution Plan under Rule 12b-1 of the 1940 Act, NAS,
the Feeder Funds' Distributor, is compensated by the Feeder Funds for expenses
associated with the distribution of shares of the Feeder Funds. These fees,
based on average daily net assets of the respective class, are not to exceed an
annual rate of 0.25% for Class A and 1.00% the Class B shares. Additional
information regarding distribution fees incurred by the Fund's are as follows
for the period ended October 31, 2000:
<TABLE>
<CAPTION>
CLASS A CLASS B
SHARES SHARES
------- -------
<S> <C> <C>
Small Cap Index............................................. $ 26 $ --
Mid Cap Market Index........................................ 5,839 --
International Index......................................... 298 244
Bond Index.................................................. 3,044 --
</TABLE>
Pursuant to an Underwriting Agreement, NAS serves as principal underwriter of
the Feeder Funds in the continuous distribution of their shares and receives
commissions in the form of a front-end sales charge on the Class A Shares. Such
fees are deducted from and are not included in the proceeds from sales of Class
A shares. From such fees, NAS
47
<PAGE> 48
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
pays sales commissions, salaries, and other expenses in the connection with
generating new sales of Class A shares of the Feeder Funds. For the period ended
October 31, 2000, the commissions were collected as follows:
<TABLE>
<CAPTION>
CLASS A
SHARES
-------
<S> <C>
Small Cap Index............................................. $ --
Mid Cap Market Index........................................ --
International Index......................................... 1,902
Bond Index.................................................. --
</TABLE>
NAS also receives fees for services as principal underwriter for Class B shares
of the Feeder Funds. Such fees are contingent deferred sales charges (CDSCs)
ranging from 1% to 5% imposed on redemptions of Class B shares which may cause
the current value of a shareholders account to fall below the total purchase
payments made during the past five years; the CDSC, if applicable, will be
imposed on redemptions made within 6 years of the purchase. CDSCs collected on
for the period ended October 31, 2000, on redemptions of Class B Shares were as
follows:
<TABLE>
<CAPTION>
CLASS B
SHARES
-------
<S> <C>
Small Cap Index............................................. $ --
Mid Cap Market Index........................................ --
International Index......................................... 666
Bond Index.................................................. --
</TABLE>
Under the terms of a Fund Administration Agreement, VSA receives fees from the
Feeder Funds for providing various administrative and accounting services. These
fees are calculated daily based on each Feeder Fund's average daily net assets
and paid monthly. Additional information regarding fund administration fees
incurred by the Fund's are as follows for the period ended October 31, 2000:
<TABLE>
<CAPTION>
FUND FUND
ADMINISTRATION ADMINISTRATION
FEES* FEE SCHEDULE
-------------- ----------------------------------------
<S> <C> <C> <C>
Small Cap Index................... $63,115 Up to $250 million 0.27%
On $250 million and more 0.24%
Mid Cap Market Index.............. 63,115 Up to $250 million 0.29%
On $250 million and more 0.26%
International Index............... 63,115 Up to $250 million 0.34%
On $250 million and more 0.31%
Bond Index........................ 63,115 Up to $250 million 0.29%
On $250 million and more 0.26%
</TABLE>
---------------
* Subject to a $75,000 minimum per year.
Nationwide Investors Services, Inc. ("NISI"), a subsidiary of VSA, serves as
Transfer and Dividend Disbursing Agent for the Feeder Funds. For these services,
NISI received fees at an annual rate of $18 per Class A and B shares (effective
October 1, 2000, fees were increased to $20) and 0.01% of the average daily net
assets of the Institutional
48
<PAGE> 49
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Class shares. Additional information regarding transfer and dividend disbursing
agent fees incurred by the Fund's are as follows for the period ended October
31, 2000:
<TABLE>
<CAPTION>
CLASS A CLASS B INSTITUTIONAL
SHARES SHARES CLASS
------- ------- -------------
<S> <C> <C> <C>
Small Cap Index...................................... $ 94 $ -- $ 47
Mid Cap Market Index................................. 103 -- 309
International Index.................................. 604 417 66
Bond Index........................................... 94 -- 83
</TABLE>
VSA has entered into agreements with Fund Asset Management, L.P. (FAM) and BISYS
Fund Services Ohio, Inc., to provide sub-administration to the Feeder Funds. VSA
has also entered into an agreement with BISYS Fund Services Ohio, Inc., to
provide sub-transfer agent services to the Feeder Funds.
Under the terms of an Administrative Services Plan, the Feeder Funds pay fees to
servicing organizations, such as broker-dealers, including Nationwide Financial
Services (NFS), Inc., and financial institutions, which agree to provide
administrative support services to those shareholders; these servicing
organizations may include Nationwide Financial Services, Inc. These services
include, but are not limited to, the following: establishing and maintaining
shareholder accounts, processing purchase and redemption transactions, arranging
bank wires, performing shareholder sub-accounting, answering inquiries regarding
the Feeder Fund, and other such services. These fees are based on an annual rate
of up to 0.25% of the average daily net assets of the Class A. For the period
ended October 31, 2000, the Mid Cap Market Index Fund incurred $4 of
administrative services fees, and the other Feeder Funds incurred no fees.
Affiliate NFS received payments (which are included in the total administrative
service fees) of $7.
4. BANK LOANS
NMF currently has an unsecured bank line of credit of $50,000,000. Borrowings
under this arrangement bear interest at the Federal Funds rate plus .50%. These
interest costs are included in custodian fees in the Statements of Operations.
No compensating balances are required under the terms of this arrangement.
5. INVESTMENT TRANSACTIONS
Contributions and withdrawals of the respective Feeder Fund for the period ended
October 31, 2000 totaled:
<TABLE>
<CAPTION>
CONTRIBUTIONS WITHDRAWALS
------------- -----------
<S> <C> <C>
Small Cap Index............................................ $ 2,692,849 $ 277,383
Mid Cap Market Index....................................... 10,421,406 361,663
International Index........................................ 6,295,382 2,911,099
Bond Index................................................. 13,761,772 1,645,106
</TABLE>
Realized gains and losses have been computed on the first-in, first-out basis
unless otherwise specified by the adviser. Cost for financial reporting purposes
may differ from cost for federal income tax purposes by the amount of losses
recognized for financial reporting in excess of federal income tax reporting.
49
<PAGE> 50
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
6. SUBSEQUENT EVENT
At a regular quarterly meeting of the Board of Trustees on December 14 and 15,
2000, the Board the considered and approved the following transactions:
Approved the change in the principal underwriter of Nationwide Mutual Funds from
Nationwide Advisory Services, Inc. to Villanova Distribution Services, Inc. This
change will occur as soon as practicable after all necessary regulatory
approvals are received.
50
<PAGE> 51
INDEPENDENT AUDITORS' REPORT
The Shareholders and Board of Trustees of
Nationwide Mutual Funds:
We have audited the accompanying statements of assets and liabilities of
Nationwide Mutual Funds -- Nationwide Small Cap Index Fund, Nationwide Mid Cap
Market Index Fund, Nationwide International Index Fund and Nationwide Bond Index
Fund (the Funds), as of October 31, 2000, and the related statements of
operations, statements of changes in net assets and the financial highlights for
the period December 29, 1999 (commencement of operations) to October 31, 2000.
These financial statements and the financial highlights are the responsibility
of the Funds' 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 accepted
in the United States of America. 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. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide 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 each
of the aforementioned Funds as of October 31, 2000, the results of their
operations, the changes in their net assets and the financial highlights for the
period December 29, 1999 to October 31, 2000, in conformity with accounting
principles generally accepted in the United States of America.
KPMG LLP
Columbus, Ohio
December 18, 2000
51
<PAGE> 52
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (87.3%)
600 +1-800-FLOWERS.COM, Inc. $ 2,344
1,508 1st Source Corporation 23,657
3,912 +24/7 Media, Inc. 20,294
3,602 3Dfx Interactive, Inc. 15,309
5,000 the 3DO Company 15,313
1,700 +4Kids Entertainment, Inc. 24,544
1,733 +99 Cents Only Stores 38,884
4,125 A. Schulman, Inc. 45,117
3,237 A.O. Smith Corporation 45,723
4,249 AAR Corp. 50,722
2,800 +ABIOMED, Inc. 81,200
2,339 ABM Industries, Inc. 65,346
9,100 +ACNielsen Corporation 217,831
1,900 +ACT Manufacturing, Inc. 62,462
4,933 +ACTV, Inc. 48,559
3,700 +ADAC Laboratories 48,100
1 +ADC Telecommunications, Inc. 20
1,300 +ADE Corporation 23,237
2,982 +ADVO Systems, Inc. 109,775
8,850 AGCO Corporation 100,669
1,200 +AGENCY.COM Inc. 12,600
9,332 AGL Resources Inc. 190,139
14,400 AK Steel Holding Corporation 133,200
12,400 ALLETE 267,375
6,862 AMCOL International Corporation 50,607
4,979 AMCORE Financial, Inc. 97,713
5,164 AMETEK, Inc. 112,317
4,776 +ANADIGICS, Inc. 106,863
4,400 +APAC Customer Services Inc. 23,650
4,400 +ARIAD Pharmaceuticals, Inc. 40,150
3,997 +ATMI, Inc. 75,443
3,600 +ATS Medical, Inc. 65,925
7,400 +AVANT Immunotherapeutics, Inc. 62,437
5,130 +AVT Corporation 32,223
4,886 +AXENT Technologies, Inc. 93,750
2,624 +AXT, Inc. 101,024
2,211 Aaron Rents, Inc. 37,034
15,000 +Abercrombie & Fitch Co. (Class
A) 353,437
2,483 +About.com, Inc. 59,592
2,100 +Acacia Research Corporation 66,806
1,829 +Accredo Health, Incorporated 79,104
1,300 +Accrue Software, Inc. 6,012
1,512 The Ackerley Group, Inc. 15,687
1,600 +Aclara Biosciences Inc. 28,600
1,100 +Acme Communications, Inc. 6,738
3,437 +Actel Corp. 125,880
5,078 Actuant Corporation (Class A) 18,408
9,070 +Actuate Corporation 255,661
3,114 +Acuson Corporation 71,038
6,084 +Adaptive Broadband Corporation 97,724
3,100 +Adelphia Business Solutions,
Inc. 19,375
1,500 +Adept Technology, Inc. 41,812
3,176 +Administaff, Inc. 112,748
3,383 +Advance Paradigm, Inc. 165,344
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
8,061 +Advanced Digital Information
Corporation $ 104,793
1,826 +Advanced Energy Industries, Inc. 31,498
2,200 +Advanced Lighting Technologies,
Inc. 26,262
900 Advanced Marketing Services, Inc. 16,200
3,616 +Advanced Radio Telecom Corp. 14,238
10,600 +Advanced Tissue Sciences, Inc. 75,525
4,342 Advanta Corp. 44,505
1,418 +Advantage Learning Systems, Inc. 42,097
4,174 +Advent Software, Inc. 249,657
4,185 +Aeroflex Incorporated 249,007
3,627 +Affiliated Managers Group, Inc. 218,073
1,853 +Agribrands International, Inc. 80,605
1,600 +AirGate PCS, Inc. 62,200
8,110 +AirTran Holdings, Inc. 35,988
8,554 Airborne Freight Corporation 86,609
8,187 +Airgas, Inc. 55,262
1,000 +Airnet Communications
Corporation 15,219
1,811 Alabama National BanCorporation 35,201
1,500 +Alamosa PCS Holdings, Inc. 22,781
4,386 +Alaska Air Group, Inc. 113,762
1,000 +Alaska Communications Systems
Holdings, Inc. 6,812
2,608 +Albany International Corp.
(Class A) 28,036
3,028 +Albany Molecular Research, Inc. 176,002
3,648 +Albemarle 84,588
5,800 Alberto-Culver Company (Class B) 194,662
6,682 +Alexander & Baldwin, Inc. 166,632
386 +Alexander's, Inc. 29,505
1,654 Alexandria Real Estate Equities,
Inc. 56,029
2,000 +Alexion Pharmaceuticals, Inc. 206,750
6,340 +Alfa Corporation 122,045
2,140 +Allaire Corporation 15,649
767 +Alleghany Corporation 147,408
4,332 +Allen Telecom Inc. 80,954
8,200 +Alliance Pharmaceutical Corp. 115,825
4,004 +Alliance Semiconductor
Corporation 80,080
1,660 +Alliant Techsystems Inc. 149,296
11,731 Allied Capital Corporation 241,952
5,500 +Allied Riser Communications
Corporation 17,531
300 Allos Therapeutics Inc. 3,225
3,200 +Allscripts, Inc. 38,400
4,002 Alpharma, Inc. (Class A) 155,328
1,198 +Amerco 24,259
12,292 +AmeriCredit Corp. 330,347
4,059 +AmeriPath, Inc. 72,808
8,233 +AmeriSource Health Corporation
(Class A) 357,621
6,294 +America West Holdings
Corporation (Class B) 62,547
1,333 +American Axle & Manufacturing
Holdings, Inc. 16,579
3,800 American Capital Strategies, Ltd. 83,837
1,257 +American Classic Voyages Co. 17,362
</TABLE>
Continued
52
<PAGE> 53
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
3,900 +American Eagle Outfitters, Inc. $ 134,306
5,200 +American Financial Holdings,
Inc. 92,950
4,008 +American Freightways Corporation 64,629
10,900 American Greetings Corporation
(Class A) 198,244
2,409 +American Industrial Properties
REIT 29,811
2,410 +American Italian Pasta Company
(Class A) 48,351
1,800 American National Insurance
Company 121,950
2,005 American States Water Company 62,531
3,179 +American Superconductor
Corporation 151,797
800 +American Technical Ceramics
Corp. 12,240
8,000 +American TeleSource
International, Inc. 12,000
3,076 +Ames Department Stores, Inc. 12,112
2,017 +Amli Residential Properties
Trust 46,643
2,700 +Ampal-American Israel
Corporation (Class A) 21,600
8,800 +Amylin Pharmaceuticals, Inc. 89,100
855 Analogic Corporation 30,192
2,982 Analysts International
Corporation 18,637
1,800 +Anaren Microwave, Inc. 187,200
3,829 Anchor Bancorp, Inc. 59,110
1,284 +Anchor Gaming 109,060
1,372 Andover Bancorp, Inc. 41,160
3,764 +Anixter International Inc. 91,277
4,326 +AnnTaylor Stores Corporation 129,780
5,208 +AnswerThink Consulting Group,
Inc. 85,281
200 +Antigenics Inc. 2,987
2,333 +Aperian, Inc. 8,165
2,100 +Aphton Corporation 63,000
4,268 Applebee's International, Inc. 128,907
3,260 +Applica Incorporated 16,504
3,069 Applied Industrial Technologies,
Inc. 51,981
2,300 Applied Science and Technology,
Inc. 33,062
1,367 +AppliedTheory Corporation 6,493
6,037 +Apria Healthcare Group Inc. 120,740
5,537 +AptarGroup, Inc. 114,547
3,200 +Aradigm Corporation 70,800
2,620 +Arch Capital Group Ltd. 40,610
2,650 Arch Chemicals, Inc. 51,509
2,367 Arch Coal, Inc. 25,741
7,800 +Arch Wireless, Inc. 23,400
2,373 Arctic Cat Inc. 30,404
10,000 Arden Realty, Inc. 240,000
1,238 Area Bancshares Corporation 25,843
1,800 +AremisSoft Corporation 76,950
2,621 Argonaut Group, Inc. 45,048
3,897 +Argosy Gaming Company 63,326
1,547 +Arguss Communications, Inc. 19,337
3,100 +Arkansas Best Corporation 49,600
2,200 +Armor Holdings, Inc. 34,237
4,100 Armstrong Holdings, Inc. 11,787
2,629 Arnold Industries, Inc. 46,172
1,649 Arrow International, Inc. 66,475
</TABLE>
<TABLE>
<CAPTION>
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SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
4,963 +Artesyn Technologies, Inc. $ 201,622
3,300 +ArthroCare Corporation 74,869
6,010 Arthur J. Gallagher & Co. 379,381
12,262 ArvinMeritor, Inc. 205,388
3,200 +Ask Jeeves, Inc. 41,600
800 +Aspect Medical Systems, Inc. 7,100
4,315 +Aspen Technology, Inc. 178,263
2,962 +Astec Industries, Inc. 30,546
7,800 Astoria Financial Corporation 292,500
5,077 +Asyst Technologies, Inc. 76,155
2,688 +Atlantic Coast Airlines
Holdings, Inc. 96,096
2,358 +Atlas Air, Inc. 85,477
4,707 Atmos Energy Corporation 108,849
1,662 +Atwood Oceanics, Inc. 55,781
3,000 Audiovox Corporation (Class A) 41,062
3,200 +Aurora Biosciences Corporation 195,000
1,672 +Aurora Food Inc. 4,703
6,671 +Avant! Corporation 112,156
500 +Avenue A, Inc. 2,125
4,163 +Avid Technology, Inc. 57,762
2,200 +Avigen, Inc. 85,250
2,979 +Aviron 194,752
3,914 +Avis Rent A Car, Inc. 116,931
8,119 Avista Corporation 182,170
6,926 +Avocent Corporation 491,313
2,643 +Aware, Inc. 81,768
6,780 +Aztar Corporation 102,547
5,700 +Azurix Corp. 35,625
1,976 +BARRA, Inc. 120,783
1,488 BOK Financial Corporation 28,272
7,529 BRE Properties, Inc. 238,105
1,020 BSB Bancorp, Inc. 14,790
1,700 +BSQUARE Corporation 26,562
2,409 BT Financial Corporation 47,126
1,200 +BUY.COM 2,587
500 +Bacou USA, Inc. 12,500
3,630 Baldor Electric Company 72,146
2,453 Baldwin & Lyons, Inc. (Class B) 46,454
5,100 +Ball Corporation 179,137
4,236 +Bally Total Fitness Holding
Corporation 105,635
412 BancFirst Corporation 14,935
12,970 BancorpSouth, Inc. 169,421
1,750 Bandag, Incorporated 62,453
5,512 Bank United Corp. (Class A) 312,461
1,471 Bank of Granite Corp. 34,201
3,590 Banta Corporation 82,794
7,700 +Barnes & Noble, Inc. 145,337
2,366 Barnes Group Inc. 45,545
2,970 +barnesandnoble.com inc. 11,602
3,184 +Barr Laboratories, Inc. 200,990
4,943 +Barrett Resources Corporation 179,802
2,661 +Basin Exploration, Inc. 52,721
25,786 +Battle Mountain Gold Company 35,456
3,928 +Bay View Capital Corporation 31,915
</TABLE>
Continued
53
<PAGE> 54
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
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HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
4,900 +Be Free, Inc. $ 19,294
1,800 Beasley Broadcast Group, Inc.
(Class A) 14,850
1,000 bebe stores, inc. 15,250
2,504 Bedford Property Investors, Inc. 49,298
1,200 Bel Fuse Inc. 48,150
1,500 +Belco Oil & Gas Corp. 13,687
3,651 Belden Inc. 94,698
2,825 +Bell & Howell Company 53,675
2,783 +Benchmark Electronics, Inc. 112,016
21,700 Bergen Brunswig Corporation
(Class A) 196,656
3,230 Berkley (W.R.) Corporation 110,022
2,430 Berry Petroleum Company (Class A) 41,766
18,488 +Bethlehem Steel Corporation 53,153
14,762 +Beverly Enterprises, Inc. 73,810
6,196 +Billing Concepts Corp. 18,588
5,515 +BindView Development Corporation 43,086
3,685 Bindley Western Industries, Inc. 132,430
1,221 +Bio-Rad Laboratories, Inc.
(Class A) 36,508
9,381 +Bio-Technology General Corp. 98,500
1,800 +BioCryst Pharmaceuticals, Inc. 16,425
2,500 +BioMarin Pharmaceutical Inc. 32,500
2,027 +Biomatrix, Inc. 38,766
2,200 +Biopure Corporation 45,237
2,300 +Biosite Diagnostics Incorporated 50,600
3,122 +Black Box Corporation 205,662
3,091 Black Hills Corporation 96,594
3,200 +BlackRock, Inc. 136,400
1,495 +Block Drug Company, Inc. (Class
A) 78,207
1,465 +Blount International, Inc. 11,628
2,400 +Bluestone Software, Inc. 51,600
5,400 Blyth, Inc. 140,400
5,244 Bob Evans Farms, Inc. 98,653
4,076 +Boca Resorts, Inc. (Class A) 55,281
700 +Bone Care International, Inc. 17,237
12,679 +Borders Group, Inc. 175,921
4,200 BorgWarner, Inc. 158,550
1,344 +Bottomline Technologies, Inc. 47,124
5,206 Bowne & Co., Inc. 43,600
5,100 +Boyd Gaming Corporation 20,081
9,450 +The Boyds Collection, Ltd. 75,009
2,177 Boykin Lodging Company 19,729
5,930 Brandywine Reality Trust 113,411
1,100 +Braun Consulting, Inc. 8,284
1,400 +Breakaway Solutions, Inc. 8,050
1,837 Brenton Banks, Inc. 22,733
3,800 Briggs & Stratton Corporation 135,612
2,369 +Bright Horizons Family
Solutions, Inc. 59,225
9,567 +Brightpoint, Inc. 63,680
2,888 +Brio Technology, Inc. 23,645
5,000 +Broadbase Software, Inc. 53,750
328 +Brokat AG (ADR) 6,888
1,281 Brookline Bancorp, Inc. 13,851
2,598 +Brooks Automation, Inc. 68,847
</TABLE>
<TABLE>
<CAPTION>
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HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,153 +Brooktrout Inc. $ 31,084
3,168 Brown & Brown 102,960
2,502 Brown Shoe Company, Inc. 24,551
2,621 Brush Engineered Materials Inc. 53,567
1,900 +Buca, Inc. 29,687
4,231 +Buckeye Technologies Inc. 72,456
823 +The Buckle, Inc. 13,837
2,288 Burlington Coat Factory Warehouse
Corporation 36,036
4,104 Burnham Pacific Properties, Inc. 22,316
854 Bush Boake Allen Inc. 41,312
1,949 Bush Industries, Inc. 22,657
4,022 C&D Technologies, Inc. 237,801
4,267 +C-COR.net Corp. 66,672
6,821 +C-Cube Microsystems Inc. 133,009
1,000 C-bridge Internet Solutions, Inc. 14,750
2,026 +CACI International Inc. (Class
A) 41,786
1,290 +CAIS Internet, Inc. 5,442
700 CARBO Ceramics Inc. 20,956
2,902 +CB Richard Ellis Services Inc. 36,275
4,375 CBL & Associates Properties, Inc. 101,172
9,971 CBRL Group, Inc. 178,232
3,328 +CCC Information Services Group
Inc. 22,880
1,727 +CDI Corp. 27,416
4,653 +CEC Entertainment Inc. 148,314
2,380 CFW Communications Company 47,302
2,964 CH Energy Group, Inc. 116,707
6,935 +CIBER, Inc. 54,180
3,643 CLARCOR Inc. 69,672
2,302 CNA Surety Corporation 26,761
1,654 +CNET Networks, Inc. 52,101
8,200 CNF Transportation Inc. 218,837
2,844 +CONMED Corporation 41,771
4,237 CONSOL Energy Inc. 71,764
1,714 CPB Inc. 43,278
1,776 CPI Corp. 35,853
2,591 +CSK Auto Corporation 9,068
1,369 +CSS Industries, Inc. 28,407
2,478 CT Communications, Inc. 49,715
2,771 +CTC Communications Group, Inc. 26,757
4,499 CTS Corporation 193,176
2,502 +CUNO Incorporated 63,488
2,400 +CV Therapeutics, Inc. 189,000
2,365 CVB Financial Corp. 39,466
12,600 +CYTOGEN Corporation 72,450
6,904 +Cable Design Technology 159,223
6,224 Cabot Industrial Trust 117,478
3,850 +Cabot Microelectronics
Corporation 170,122
4,248 Cabot Oil & Gas Corporation
(Class A) 83,367
4,948 +Cadiz Inc. 52,572
2,145 +Cal Dive International, Inc. 106,714
1,200 +Caldera Systems, Inc. 4,200
4,796 Calgon Carbon Corporation 28,176
3,600 +Calico Commerce, Inc. 11,025
</TABLE>
Continued
54
<PAGE> 55
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,300 +California Amplifier, Inc. $ 57,500
2,350 California Water Service Group 63,303
600 +Caliper Technologies Corp. 33,825
13,034 Callaway Golf Compnay 208,544
400 +Callon Petroleum Company 6,100
3,970 Cambrex Corporation 158,552
4,378 +Cambridge Technology Partners,
Inc. 16,965
6,460 Camden Property Trust 184,918
900 +Caminus Corporation 28,350
3,941 +CapRock Communications Corp. 28,080
3,477 +Capital Automotive 44,821
1,160 Capital City Bank Group, Inc. 22,765
6,421 Capitol Federal Financial 93,104
2,200 Capstead Mortgage Corporation 21,037
4,091 Caraustar Industries, Inc. 41,166
4,500 +CardioDynamics International
Corporation 23,625
3,332 +Career Education Corporation 128,907
32,294 +Caremark Rx, Inc. 403,675
5,100 Carlisle Companies Incorporated 212,287
3,260 Carpenter Technology Corporation 101,060
1,200 +Carreker Corporation 22,200
1,447 +Carrier Access Corporation 18,087
3,041 Carter-Wallace, Inc. 83,437
2,423 Cascade Natural Gas Corporation 44,674
3,213 +Casella Waste Systems, Inc. 27,913
8,000 Casey's General Stores, Inc. 100,000
3,323 Cash America International, Inc. 17,238
5,501 +Catalytica, Inc. 73,920
17,400 +Catellus Development Corporation 316,462
1,232 Cathay Bancorp, Inc. 60,753
2,860 The Cato Corporation (Class A) 34,320
2,000 +Celeritek, Inc. 66,125
5,700 +Cell Genesys, Inc. 131,456
2,631 +Cell Pathways, Inc. 20,061
4,850 +Cell Therapeutics, Inc. 324,420
7,100 +Celsion Corporation 14,200
1,100 Centennial Communications Corp. 21,450
3,154 CenterPoint Properties
Corporation 140,156
999 Centex Construction Products,
Inc. 25,912
9,900 Centex Corporation 366,300
600 +Centillium Communications, Inc. 22,791
1,512 +Central Garden & Pet Company 12,001
1,731 Central Parking Corporation 33,214
1,600 +Century Aluminum Company 14,000
10,724 +Century Business Services, Inc. 12,064
2,369 Century South Banks, Inc. 43,530
3,972 +Cerner Corporation 246,016
1,600 +Cerus Corporation 89,400
4,656 +Champion Enterprises, Inc. 18,042
1,515 +Championship Auto Racing Teams,
Inc. 37,686
3,577 +Charles E. Smith Residential
Realty, Inc. 157,388
13,722 +Charming Shoppes, Inc. 84,047
</TABLE>
<TABLE>
<CAPTION>
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SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,682 Charter Municipal Mortgage
Acceptance Company $ 36,180
3,259 Chatequ Communities, Inc. 91,659
2,100 +Cheap Tickets, Inc. 22,312
4,282 +Checkpoint Systems, Inc. 33,988
4,589 +The Cheesecake Factory
Incorporated 203,350
2,292 Chelsea GCA Realty, Inc. 73,917
2,585 ChemFirst Inc. 59,455
1,576 Chemed Corporation 51,811
1,974 Chemical Financial Corporation 42,194
2,343 Chesapeake Corporation 45,981
16,024 Chesapeake Energy Corporation 90,135
2,362 Chico's FAS, Inc. 76,470
2,966 +The Children's Place Retail
Stores, Inc. 76,931
5,033 Chiquita Brands International,
Inc. 9,751
4,282 Chittenden Corporation 113,741
8,286 +Choice Hotels International,
Inc. 97,361
1,100 +Choice One Communications Inc. 11,894
1,000 +Chordiant Software, Inc. 6,094
2,000 +ChromaVision Medical Systems,
Inc. 9,500
5,635 Church & Dwight Co., Inc. 111,291
1,824 Churchill Downs Incorporated 51,072
8,960 +Cirrus Logic, Inc. 386,400
3,689 +Citadel Communications
Corporation 44,729
8,216 Citizens Banking Corporation 195,643
1,200 CityBank 28,350
7,000 Claire's Stores, Inc. 140,875
1,900 +Clarent Corporation 59,019
2,200 +Clarus Corporation 22,000
15,600 +Clayton Homes, Inc. 143,325
900 +Clayton Williams Energy, Inc. 25,031
3,870 Cleco Corporation 184,067
1,831 Cleveland-Cliffs Inc. 37,764
1,200 +click2learn.com, Inc. 17,400
672 +Closure Medical Corporation 16,296
1,800 +CoStar Group Inc. 56,250
1,743 Coachmen Industries, Inc. 14,598
4,500 +Cobalt Networks, Inc. 248,062
200 Coca-Cola Bottling Co.
Consolidated 7,200
1,124 +Cognizant Technology Solutions
Corporation 46,084
4,336 +Coherent, Inc. 150,947
3,682 Cohu, Inc. 58,222
2,938 +Coinstar, Inc. 38,745
750 +Coldwater Creek Inc. 22,266
1,000 +Collateral Therapeutics, Inc. 25,281
9,859 +Collins & Aikman Corporation 46,830
15,000 The Colonial BancGroup, Inc. 132,188
3,929 Colonial Properties Trust 96,506
3,702 +Columbia Laboratories, Inc. 22,674
1,186 +Columbia Sportswear Company 50,701
1,782 Columbus McKinnon Corporation 23,834
3,948 +Com21, Inc. 42,688
3,728 Comfort Systems USA, Inc. 10,951
</TABLE>
Continued
55
<PAGE> 56
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
5,128 Commerce Bancorp, Inc. $ 310,564
3,960 The Commerce Group, Inc. 101,227
9,700 Commercial Federal Corporation 169,750
1,998 Commercial Metals Company 54,445
4,026 Commercial Net Lease Realty 40,763
1,615 +Commonwealth Telephone
Enterprises, Inc. 55,919
8,773 Community First Bankshares, Inc. 135,981
1,200 CompX International Inc. 14,325
4,552 +Complete Business Solutions,
Inc. 47,227
2,290 +CompuCredit Corporation 70,704
5,772 +Computer Horizons Corp. 28,860
4,202 +Computer Network Technology
Corporation 127,701
3,700 +Comstock Resources, Inc. 38,387
3,700 +Concord Camera Corp. 114,469
2,887 +Concord Communications, Inc. 22,374
8,444 +Concurrent Computer Corporation 148,825
15,200 Conectiv, Inc. 272,650
5,100 Connetics Corporation 26,695
3,050 +Consolidated Products, Inc. 23,066
2,552 +Constellation Brands, Inc.
(Class A) 124,410
9,135 +Conventry Health Care Inc. 166,714
1,200 +Convergent Communications, Inc. 5,100
2,526 +Cooper Companies, Inc. 90,304
11,300 Cooper Tire & Rubber Company 123,594
770 +CoorsTek, Inc. 22,522
6,450 +Copart, Inc. 97,153
600 +CorVel Corporation 19,013
614 +CoreComm Limited 3,530
300 Corillian Corporation 4,275
900 +Corinthian Colleges, Inc. 62,213
3,228 +Corixa Corporation 143,646
6,031 Corn Products International, Inc. 151,529
5,405 Cornerstone Realty Income Trust,
Inc. 56,752
3,290 +The Corporate Executive Board
Company 151,751
30,123 +Corrections Corporation of
America 24,475
3,100 Corsair Communications, Inc. 18,794
1,190 Corus Bankshares, Inc. 47,228
3,551 +Cost Plus, Inc. 99,428
3,004 +Coulter Pharmaceutical, Inc. 115,091
6,333 +Cousins Properties, Inc. 164,658
8,648 +Covance Inc. 74,589
5,430 Crawford & Company (Class B) 67,875
2,114 +Credit Acceptance Corporation 12,948
1,905 +Crestline Capital Corporation 39,767
18,388 Crompton Corporation 147,104
11,745 Cross Timbers Oil Company 220,953
999 +Crossman Communities, Inc. 17,920
2,200 +Crossroads Systems, Inc. 15,262
1,900 +Crown Media Holdings, Inc.
(Class A) 26,362
1,300 +CryoLife, Inc. 51,756
1,400 Cubic Corporation 38,325
4,300 +Cubist Pharmaceuticals, Inc. 184,766
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
8,700 Cullen/Frost Bankers, Inc. $ 289,819
6,800 Cummins Engine Company, Inc. 231,200
5,294 +Cumulus Media Inc. (Class A) 33,087
3,900 +CuraGen Corporation 252,037
723 Curtiss-Wright Corporation 34,071
7,400 +Cyber-Care, Inc. 36,306
1,300 +CyberOptics Corporation 30,550
3,800 +CyberSource Corporation 20,900
3,112 +Cyberonics, Inc. 72,354
4,289 +Cygnus, Inc. 38,333
4,000 +Cylink Corporation 16,875
4,664 +Cymer, Inc. 116,600
600 +Cypress Communications, Inc. 1,612
850 Cysive, Inc. 6,747
6,981 +Cytec Industries Inc. 241,717
1,800 +DDi Corp. 71,887
9,158 D.R. Horton, Inc. 169,423
1,800 +DSET Corporation 10,237
4,200 +DSL.net, Inc. 11,025
4,328 +DSP Group, Inc. 122,807
2,400 +DUSA Pharmaceuticals, Inc. 62,700
1,082 +DVI, Inc. 18,123
10,926 +DaVita, Inc. 122,918
1,891 Dain Rauscher Corporation 177,399
8,676 +Dal-Tile International Inc. 107,365
1,300 +Daleen Technologies, Inc. 12,959
10,324 +Data Broadcasting Corporation 45,490
1,900 +Data Return Corporation 21,850
1,917 +Datascope Corp. 66,376
2,159 +Datastream Systems, Inc. 26,448
2,300 +Davox Corporation 22,425
6,100 Dean Foods Company 195,200
7,944 +Del Monte Foods Company 48,160
3,186 +Del Webb Corporation 85,624
4,745 +Delco Remy International, Inc. 31,732
2,246 +Delphi Financial Group, Inc.
(Class A) 83,102
6,527 Delta and Pine Land Company 159,504
2,200 +Deltathree.com, Inc. (Class A) 6,600
900 +Deltek Systems, Inc. 5,962
1,416 Deltic Timber Corporation 27,523
1,300 +Denbury Resources Inc. 8,937
4,808 +Dendrite International, Inc. 104,574
10,606 Developers Diversified Realty
Corporation 126,609
2,056 Diagnostic Products Corporation 93,805
14,600 The Dial Corporation 163,338
3,100 +Diametrics Medical, Inc. 25,575
2,494 +Diamond Technology Partners
Incorporated 111,295
1,900 +Digene Corporation 61,661
1,600 +Digimarc Corporation 23,900
4,700 +Digital Courier Technologies,
Inc. 13,659
1,400 +Digital Impact, Inc. 7,612
3,300 +Digital Insight Corporation 63,731
5,700 +Digital Island 71,962
</TABLE>
Continued
56
<PAGE> 57
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
3,221 +Digital River, Inc. $ 21,037
700 +DigitalThink, Inc. 24,664
1,300 +Digitas Inc. 15,519
14,500 Dillard's, Inc. (Class A) 152,250
1,635 Dime Community Bancshares 36,277
2,000 Dinaldson, Lufkin & Jenrette,
Inc.-DLJdirect 10,125
3,899 +Dionex Corporation 126,474
2,313 +Direct Focus, Inc. 102,928
1,000 +Diversa Corporation 25,437
2,476 +Documentum, Inc. 210,460
8,100 Dole Food Company, Inc. 97,706
4,336 +Dollar Thrifty Automotive Group,
Inc. 66,666
6,384 Donaldson Company, Inc. 144,438
4,858 Doral Financial Corporation 86,837
1,100 +Dot Hill Systems Corp. 3,781
2,879 Dover Downs Entertainment, Inc. 33,828
3,372 Downey Financial Corp. 161,013
3,000 Dreyer's Grand Ice Cream, Inc. 73,875
2,734 +The Dress Barn, Inc. 68,521
1,300 +Dril-Quip, Inc. 42,900
3,800 +Drugstore.com, Inc. 9,975
819 +DuPont Photomasks, Inc. 45,966
3,157 +Duane Read Inc. 92,145
2,682 +Dura Automotive Systems, Inc. 22,629
7,525 +Dura Pharmaceuticals, Inc. 259,142
5,265 +EEX Corporation 24,680
5,122 +EGL, Inc. 145,977
3,100 +E-LOAN, Inc. 8,912
1,925 +EMCOR Group, Inc. 49,930
3,868 +EMCORE Corporation 158,588
1,400 +ESCO Technologies Inc. 25,462
4,241 +ESS Technology, Inc. 65,735
2,595 E.W. Blanch Holdings, Inc. 48,981
7,371 The Earthgrains Company 149,263
1,063 +EarthLink, Inc. 6,943
3,408 EarthShell Corporation 10,650
4,261 East West Bancorp, Inc. 80,693
2,084 EastGroup Properties, Inc. 42,462
4,750 Eaton Vance Corp. 236,609
1,100 eBenX Inc. 13,131
5,847 +Eclipsys Corporation 144,348
2,600 Edison Schools, Inc. 71,337
2,981 +Education Management Corporation 92,411
9,400 +Edwards Lifesciences Corporation 126,312
4,600 eGain Communications Corporation 29,900
8,200 eGlobe, Inc. 3,331
3,200 +Elantec Semiconductor, Inc. 356,000
3,546 +Elcor Corporation 55,185
1,844 +Electric Lightwave, Inc. 10,603
1,783 +Electro Rent Corporation 24,405
4,152 +Electro Scientific Industries,
Inc. 145,060
3,760 +Electroglas, Inc. 52,875
700 Electronics Boutique Holdings
Corp. 10,937
7,432 +eLoyalty Corporation 71,533
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
9,566 +El Paso Electric Company $ 114,696
2,000 +eMachines, Inc. 2,063
3,600 +eMagin Corporation 31,140
600 +Embarcadero Technologies, Inc. 36,262
5,900 +e-MedSoft.com 8,850
900 +eMerge Interactive, Inc. (Class
A) 10,069
2,500 +Emisphere Technologies, Inc. 63,281
2,647 Empire District Electric Company 73,289
9,670 +Encompass Services Corporation 44,119
2,000 +Endocare, Inc. 35,375
4,048 Energen Corporation 115,874
2,200 +Energy Conversion Devices, Inc. 71,225
26 Energy East Corporation 525
700 EnergyNorth, Inc. 42,875
4,000 Enhance Financial Services Group
Inc. 46,500
3,208 Entertainment Properties Trust 35,489
2,568 +EntreMed, Inc. 79,929
200 +Envision Development Corporation 662
3,671 +Enzo Biochem, Inc. 141,333
6,575 +Enzon, Inc. 468,469
1,200 +EpicEdge, Inc. 1,425
500 +ePlus Inc. 7,305
4,599 +ePresence, Inc. 32,480
500 +Eprise Corporation 1,500
4,706 Equity Inns Inc. 29,118
1,700 +eSPEED, Inc. (Class A) 35,700
9,502 +e.spire Communications, Inc. 26,131
3,135 Essex Property Trust, Inc. 163,020
2,457 +Esterline Technologies
Corporation 54,822
6,681 Ethan Allen Interiors Inc. 195,419
8,403 Ethyl Corporation 16,806
1,603 E'Town Corporation 108,002
10,700 +eToys Inc. 40,125
2,077 +Evergreen Resources, Inc. 57,117
5,990 +Exar Corporation 267,678
1,964 +Excalibur Technologies
Corporation 115,630
1,600 +Excel Technology, Inc. 40,000
4,900 +eXcelon Corporation 39,813
1,300 +Exchange Applications, Inc. 4,164
1,400 +Exelixis, Inc. 30,887
3,097 Exide Corporation 31,164
800 +Expedia, Inc. (Class A) 10,250
11,224 +Extended Stay America, Inc. 138,196
1,100 +Extended Systems Incorporated 42,900
900 +Extensity, Inc. 11,475
2,700 +F5 Networks, Inc. 83,700
1,867 FBL Financial Group, Inc. (Class
A) 29,989
2,200 +FEI Company 52,112
5,700 The FINOVA Group Inc. 14,606
2,203 F&M BanCorp. 44,886
3,731 F&M National Corporation 96,540
3,535 F.N.B. Corporation 76,002
4,513 +FSI International, Inc. 42,027
2,245 +F.Y.I. Incorporated 90,081
3,193 FactSet Research Systems Inc. 120,919
</TABLE>
Continued
57
<PAGE> 58
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
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SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,108 +Factory 2-U Stores Inc. $ 67,324
1,802 Fair, Isaac and Company,
Incorporated 73,882
5,763 +Fairfield Communities, Inc. 73,118
124 Farmer Brothers Co. 24,188
1,351 Farmers Capital Bank Corporation 46,947
3,506 Fedders Corporation 14,900
6,827 Federal Realty Investment Trust 131,420
7,780 Federal Signal Corporation 181,858
8,100 Federal-Mogul Corporation 26,325
8,100 FelCor Lodging Trust Inc. 177,694
5,283 Ferro Corporation 108,301
1,200 +FiberNet Telecom Group, Inc. 12,825
9,138 Fidelity National Financial, Inc. 224,452
5,911 +FileNET Corporation 156,641
1,383 +Financial Federal Corporation 29,302
800 +Fire Pond, Inc. 6,400
8,508 The First American Financial
Corporation 178,136
986 First Busey Corporation 18,056
4,723 First Charter Corporation 72,911
930 First Citizens BancShares, Inc.
(Class A) 68,820
9,347 First Commonwealth Financial
Corporation 92,886
2,502 +First Consulting Group, Inc. 16,732
2,099 First Federal Capital Corp. 24,663
6,038 First Financial BanCorp. 93,589
1,256 First Financial Bankshares, Inc. 38,622
1,362 First Financial Corporation 38,817
1,907 First Financial Holdings, Inc. 32,181
1,337 First Indiana Corporation 30,751
6,544 First Industrial Reality Trust,
Inc. 202,046
2,322 First Merchants Corporation 53,406
7,034 First Midwest Bancorp, Inc. 176,290
3,060 First Niagara Financial Group,
Inc. 27,731
5,079 First Sentinel Bancorp Inc. 47,139
1,737 First Washington Realty Trust,
Inc. 43,859
2,179 +FirstFed Financial Corp. 55,565
3,100 +FirstWorld Communications Inc.
(Class B) 4,650
3,075 Firstbank Corp. 70,533
6,475 +Fisher Scientific International
Inc. 248,883
6,073 Fleetwood Enterprises, Inc. 80,088
6,946 Fleming Companies, Inc. 98,546
3,022 Florida Rock Industries, Inc. 117,480
5,689 +Flowserve Corporation 114,491
3,289 +Footstar, Inc. 117,993
2,500 +Forcenergy Inc. 54,375
2,588 Forest City Enterprises, Inc.
(Class A) 95,756
5,829 +Forest Oil Corporation 80,513
1,760 +Forrester Research, Inc. 72,270
2,446 +Forward Air Corporation 100,592
2,661 +Fossil, Inc. 34,759
</TABLE>
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
5,373 Foster Wheeler Corporation $ 39,626
16,700 +Foundation Health Systems, Inc.
(Class A) 337,131
9,500 Franchise Finance Corporation of
America 192,969
680 Franklin Electric Co., Inc. 46,325
1,900 Fred's, Inc. 40,138
22,600 +Freeport-McMoRan Copper & Gold,
Inc. (Class B) 179,388
7,500 Fremont General Corporation 27,188
4,956 +Friede Goldman Halter, Inc. 28,497
3,069 +Friedman, Billings, Ramsey
Group, Inc. (Class A) 24,552
3,967 +Fritz Companies, Inc. 32,232
3,336 +Frontier Airlines, Inc. 78,396
1,949 Frontier Financial Corporation 36,544
5,700 +Frontier Oil Corporation 45,244
3,900 +Frontline Capital Group 55,575
1,300 +FuelCell Energy, Inc. 99,531
12,000 Fulton Financial Corporation 262,500
8,515 +Furniture Brands International,
Inc. 143,691
7,600 +FutureLink Corp. 13,775
3,614 G & K Services, Inc. (Class A) 99,837
1,977 GBC BanCorp. 63,017
1,356 +GC Companies, Inc. 3,221
1,300 +GRIC Communications, Inc. 6,500
6,114 +GTECH Holdings Corporation 105,849
2,500 GaSonics International
Corporation 51,094
500 Gabelli Aseet Management Inc.
(Class A) 18,000
4,245 Gables Residential Trust 108,248
2,300 +Gadzoox Networks, Inc. 8,481
800 +Gaiam, Inc. 12,900
1,655 +Gardner Denver Inc. 30,411
12,500 Gartner Group, Inc. (Class A) 118,750
7,438 +Gaylord Container Corporation
(Class A) 16,271
2,707 Gaylord Entertainment Company 64,291
2,748 +Geltex Pharmaceuticals, Inc. 136,370
4,845 GenCorp Inc. 40,577
3,933 +GenRad, Inc. 35,889
3,900 +Gene Logic Inc. 85,069
4,303 General Cable Corporation 25,818
5,951 +General Communication, Inc.
(Class A) 46,492
5,242 +General Semiconductor, Inc. 59,955
3,987 +Genesco Inc. 70,769
1,739 +The Genlyte Group Incorporated 44,997
3,900 +Genome Therapeutics Corp. 58,256
800 Genomic Solutions Inc. 11,200
2,900 +Genta Incorporated 23,381
795 Gentek, Inc. 13,267
3,600 +Gentiva Health Services, Inc. 42,525
3,200 +Genzyme Transgenics Corporation 68,600
5,735 Georgia Gulf Corporation 76,706
</TABLE>
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58
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MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
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COMMON STOCK (CONTINUED)
2,000 +Geoworks Corporation $ 9,812
2,997 Gerber Scientific, Inc. 23,976
3,700 +Geron Corporation 86,950
1,799 Gibraltar Steel Corporation 22,600
9,967 +Glenayre Technologies, Inc. 82,228
4,237 Glenborough Realty Trust
Incorporated 68,057
1,800 Gliatech Inc. 11,588
3,552 +Glimcher Realty Trust 46,176
3,400 +GlobalNet Financial.com, Inc. 15,300
290 +GlobalSCAPE, Inc. 0
2,657 +Globix Corporation 26,902
2,200 +GoAmerica, Inc. 22,962
4,300 +GoTo.com, Inc. 61,006
6,600 Gold Banc Corporation 30,525
1,300 Golden Telecom, Inc. 20,150
3,183 Graco Inc. 114,389
2,969 Granite Construction Incorporated 67,730
1,100 Great American Financial
Resources, Inc. 19,525
2,285 +The Great Atlantic & Pacific Tea
Company, Inc. 22,850
8,000 Great Lakes Chemical Corporation 267,000
2,128 +Great Lakes REIT, Inc. 36,043
2,069 +Great Plains Software, Inc. 80,562
6,788 Greater Bay BanCorp. 221,034
2,066 +Greif Bros. Corporation (Class
A) 66,112
101 Grey Global Group Inc. 56,560
27,137 +Grey Wolf, Inc. 125,509
5,552 +Griffon Corporation 42,334
2,125 +Group 1 Automotive, Inc. 21,117
783 +Guess?, Inc. 5,824
4,148 +Guilford Pharmaceuticals Inc. 102,404
3,171 +Guitar Center, Inc. 42,016
700 +Gulf Island Fabrication, Inc. 9,144
8,240 +HA-LO Industries, Inc. 31,930
2,475 H.B. Fuller Company 83,686
6,508 HCC Insurance Holdings, Inc. 124,059
1,700 HEICO Corporation (Class A) 20,506
170 HEICO Corporation (Class A) 1,870
4,304 +HNC Software Inc. 87,425
8,700 HON INDUSTRIES Inc. 209,344
22,700 HRPT Properties Trust 146,131
3,052 +HS Resources, Inc. 94,993
4,958 +HSB Group, Inc. 196,151
3,615 +Haemonetics Corporation 84,952
4,988 +Hain Celestial Group, Inc. 197,961
1,600 +Hall, Kinion & Associates, Inc. 42,300
1,226 Hancock Holding Company 38,159
4,312 +Handleman Company 42,581
20,500 +Hanover Direct, Inc. 11,531
3,023 Harbor Florida Bancshares, Inc. 37,032
799 +Harbor Global Company Ltd. 3,173
1,955 Harleysville Group Inc. 45,087
1,215 Harleysville National Corporation 37,357
</TABLE>
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<C> <S> <C>
COMMON STOCK (CONTINUED)
5,508 Harman International Industries,
Incorporated $ 264,384
6,468 Harsco Corporation 130,573
2,059 Haverty Furniture Companies, Inc. 23,164
5,514 Hawaiian Electric Industries,
Inc. 181,617
2,639 +Hayes Lemmerz International,
Inc. 28,864
8,192 +Health Care Property Investors,
Inc. 240,640
4,137 +Health Care REIT, Inc. 73,173
7,008 +Healthcare Reality Trust, Inc. 139,722
1,840 +Heartland Express, Inc. 31,970
3,124 +Heidrick & Struggles
International, Inc. 193,102
3,950 Helix Technology Corporation 110,106
4,026 +Henry Schein, Inc. 98,134
1,158 Herbalife International, Inc.
(Class A) 9,771
3,458 +Hexcel Corporation 37,822
2,700 Hickory Tech Corporation 61,425
1,253 +hi/fn, Inc. 77,373
6,000 +High Speed Access Corp. 17,625
10,000 +Highwoods Properties, Inc. 216,250
2,401 Hilb, Rogal and Hamilton Company 95,140
5,600 Hollinger International Inc. 86,450
4,622 +Hollywood Entertainment
Corporation 14,155
2,100 +Hollywood.com, Inc. 15,881
3,579 +Home Properties of New York,
Inc. 97,304
10,000 Hooper Holmes, Inc. 94,900
7,309 Horace Mann Educators Corporation 122,883
1,800 +Horizon Offshore, Inc. 24,750
8,299 +Hospitality Properties Trust 178,947
1,600 +Hot Topic, Inc. 54,800
1,000 +Hotel Reservations Network, Inc.
(Class A) 35,000
2,900 HotJobs.com, Ltd. 45,312
4,700 Houghton Mifflin Company 173,019
1,019 +The Houston Exploration Company 22,928
8,537 Hudson United BanCorp. 191,015
3,703 Hughes Supply, Inc. 69,431
25,600 +Humana Inc. 310,400
1,723 +Hypercom Corporation 11,846
5,140 +Hyperion Solutions Corporation 71,960
1,500 +Hyseq, Inc. 43,594
4,418 +Hutchinson Technology
Incorporated 96,920
6,360 IDAcorp Inc. 313,627
4,814 IDEX Corporation 155,251
6,063 +IDEXX Laboratories, Inc. 145,512
3,920 +IDT Corporation 140,140
2,305 +IDX Systems Corporation 73,760
1,895 +IGEN International, Inc. 47,138
2,679 +IHOP Corp. 56,594
1,200 +II-VI Incorporated 24,825
25,800 IKON Office Solutions, Inc. 83,850
3,965 +ILEX Oncology, Inc. 143,731
2,734 +IMPATH Inc. 206,759
1,000 +IMPCO Technologies, Inc. 19,687
1,800 +IMPSAT Fiber Networks Inc. 21,600
</TABLE>
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59
<PAGE> 60
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
2,992 +IMRglobal Corp. $ 24,684
2,300 +INAMED Corporation 64,400
4,078 IRT Property Company 33,389
3,000 +I-STAT Corporation 58,875
6,169 +ITC/DeltaCom, Inc. 49,930
2,668 +ITT Educational Services, Inc. 42,021
1,300 +ITXC Corp. 13,731
2,830 +IVEX Packaging Corporation 27,769
1,000 +IXYS Corporation 25,313
2,000 +iBasis, Inc. 15,500
1,400 +iBEAM Broadcasting Corporation 7,875
1,500 +Ibis Technology Corporation 56,813
3,895 +Identix Incorporated 56,088
5,321 +iGATE Capital Corporation 26,938
3,500 +Illuminet Holdings, Inc. 84,273
6,095 +Imation Corp. 120,757
12,400 +Imatron Inc. 26,738
1,900 +Immersion Corporation 18,762
4,900 +The Immune Response Corporation 29,706
5,700 +ImmunoGen, Inc. 195,937
5,100 +Immunomedics, Inc. 117,937
6,644 +Imperial BanCorp. 161,532
6,151 +InFocus Corporation 271,797
11,354 +Independence Community Bank
Corp. 166,762
2,700 Independent Bank Corp. 29,025
1,800 +Indus International, Inc. 7,312
11,495 IndyMac Mortgage Holdings, Inc. 239,958
1,008 Infogrames, Inc. 11,088
4,039 +infoUSA Inc. 13,127
3,974 +Informatica Corporation 375,543
3,600 +Information Architects Corp. 13,500
1,314 +Information Holdings Inc. 34,246
200 +Inforte Corp. 6,125
2,562 Ingles Markets, Incorporated
(Class A) 25,300
5,230 +Inhale Therapeutic Systems 260,192
6,595 Innkeepers USA Trust 67,187
8,000 +Inprise Corporation 51,000
5,552 +Input/Output, Inc. 46,845
6,900 +Insight Communications Company,
Inc. 95,737
4,827 +Insight Enterprises, Inc. 156,877
3,009 +Insignia Financial Group, Inc. 29,150
3,423 +Insituform Technologies, Inc.
(Class A) 122,158
900 Insurance Auto Auctions, Inc. 10,800
2,569 Integra Bank Corporation 66,312
1,900 +Integrated Circuit Systems, Inc. 25,887
4,716 +Integrated Electrical Services,
Inc. 32,422
4,000 +Integrated Silicon Solution,
Inc. 53,500
14,500 +Intelect Communications, Inc. 15,859
5,900 +InteliData Technologies
Corporation 31,528
1,600 The InterCept Group, Inc. 43,300
2,558 +InterDigital Communications
Corporation 27,978
2,800 +Interact Commerce Corporation 25,725
</TABLE>
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
600 +Interactive Intelligence, Inc. $ 21,900
7,024 Interface, Inc. 64,094
6,626 +Intergraph Corp. 41,412
4,500 +Interliant Inc. 27,000
2,000 +Interlink Electronics, Inc. 44,750
1,937 +Interlogix Inc. 23,849
8,287 +Intermedia Communications Inc. 183,350
1,000 +Intermune Pharmaceuticals, Inc. 50,000
2,607 International Bancshares
Corporation 93,363
4,023 +International FiberCom, Inc. 51,796
2,817 International Multifoods 47,713
1,600 +International Specialty Products
Inc. 10,000
1,700 +internet.com Corporation 35,381
2,900 +Internet Pictures Corporation 6,208
1,600 Interpool, Inc. 20,600
6,600 Interstate Bakeries Corporation 92,400
4,106 +InterTAN, Inc. 45,423
3,750 Inter-Tel Inc. 43,359
9,800 +Intertrust Technologies
Corporation 98,000
5,807 +InterVoice-Bright, Inc. 56,800
3,400 InterWorld Corporation 7,437
5,500 +Interwoven, Inc. 554,125
900 +IntraBiotics Pharmaceuticals,
Inc. 13,387
2,800 +IntraNet Solutions, Inc. 130,200
1,422 +Intraware, Inc. 10,398
1,900 +Intrusion.com, Inc. 19,475
3,685 Invacare Corp. 105,022
4,500 +Investment Technology Group,
Inc. 162,000
4,942 Investors Financial Services 354,280
5,153 +Invitrogen Corporation 391,950
42,731 +Iomega Corporation 209,809
2,361 +Ionics, Inc. 49,433
1,274 Irwin Financial Corporation 19,667
6,527 +Isis Pharmaceuticals, Inc. 67,310
4,700 +Isle of Capri Casinos, Inc. 51,700
2,513 +iVillage Inc. 5,968
6,500 iXL Enterprises, Inc. 16,656
3,567 +JAKKS Pacific, Inc. 31,434
3,039 +J.B. Hunt Transport Services,
Inc. 39,697
8,700 J.D. Edwards & Company 225,112
3,115 +JDA Software Group, Inc. 46,920
4,395 JDN Realty Corporation 48,070
5,910 JLG Industries, Inc. 82,371
3,798 The J.M. Smucker Company 84,506
900 +JNI Corp. 80,156
1,424 JP Realty, Inc. 22,784
6,565 +Jack in the Box Inc. 160,843
3,854 +Jacobs Engineering Group Inc. 159,459
3,714 Jeffreries Group, Inc. 101,206
4,221 John H. Harland Company 58,566
932 The John Nuveen Company (Class A) 44,503
7,400 John Wiley & Sons, Inc. (Class A) 151,238
4,748 +Jones Lang Lasalle Inc. 60,537
7,273 +Journal Register Co. 129,550
2,844 +Juno Online Services, Inc. 7,554
</TABLE>
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60
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MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
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HELD ISSUE VALUE
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COMMON STOCK (CONTINUED)
3,627 +Jupiter Media Metrix, Inc. $ 49,418
3,666 +Kaiser Aluminum Corporation 18,559
3,275 Kaman Corp. (Class A) 47,488
977 Kansas City Life Insurance
Company 31,386
10,400 Kansas City Power & Light Company 250,250
8,200 Kaufman and Broad Home
Corporation 243,950
5,369 Kaydon Corp. 117,782
1,400 Keithley Instruments, Inc. 74,900
3,749 Kellwood Co. 72,871
2,557 Kelly's Services, Inc. (Class A) 56,733
5,302 Kennametal Inc. 155,746
1,200 +Kenneth Cole Productions, Inc.
(Class A) 54,525
4,368 +Kent Electronics Corporation 81,354
2,435 +Key3Media Group, Inc. 23,132
16,524 +Key Energy Services, Inc. 148,716
2,000 +Key Production Company, Inc. 44,000
2,800 +Keynote Systems, Inc. 67,200
7,406 +kforce.com, Inc. 30,087
4,586 +Kilroy Realty Corporation 119,523
5,075 Kimball International, (Class B) 78,980
3,586 +Kirby Corporation 66,117
881 Knight Transportation, Inc. 13,986
3,708 Koger Equity, Inc. 59,096
5,928 +Korn/Ferry International 207,480
1,100 +Kos Pharmaceuticals, Inc. 21,794
600 +Krispy Kreme Doughnuts, Inc. 59,137
2,161 +Kronos, Inc. 78,741
7,610 +Kulicke and Soffa Industries 111,772
2,692 +Kv Pharmacecutical Co Cl B 104,988
2,000 +LCC International, Inc. (Class
A) 30,000
3,467 LNR Property Corp. 74,974
9,053 The LTV Corporation 10,750
7,494 +LTX Corporation 104,916
5,800 LaBranche & Co. Inc. 229,825
1,041 LaSalle Hotel Properties 14,964
4,997 +Labor Ready, Inc. 14,991
2,836 +Laboratory Corporation of
America Holdings 382,505
2,535 Laclede Gas Company 55,453
5,500 Lancaster Colony Corporation 129,937
3,666 Lance, Inc. 36,889
1,292 LandAmerica Financial Group, Inc. 38,114
4,384 Landry's Seafood Restaurants 35,346
2,396 +Land's End, Inc. 61,457
1,640 +Landstar System, Inc. 77,490
2,150 +Lante Corporation 7,928
2,900 +Latitude Communications, Inc. 16,675
661 Lawson Products, Inc. 17,930
9,742 La-Z-Boy Inc. 153,436
4,278 +Leap Wireless International,
Inc. 212,831
10,700 +Lear Corporation 291,575
1,886 +Learning Tree International,
Inc. 85,341
7,104 Lee Enterprises, Incorporated 196,248
</TABLE>
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HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
13,700 +Legato Systems, Inc. $ 122,016
8,147 Lennar Corporation 261,722
6,400 Lennox International Inc. 50,800
5,912 Leucadia National Corporation 147,061
700 +Level 8 Systems, Inc. 6,737
1,460 +Lexicon Genetics Incorporated 29,565
3,610 +Lexington Corporate Properties
Trust 40,387
2,216 Libbey, Inc. 60,386
2,403 The Liberty Corporation 83,204
2,162 Liberty Financial Companies, Inc. 58,374
300 +Liberty Livewire Corporation
(Class A) 6,300
2,100 +LifeMinders, Inc. 24,412
5,343 +LifePoint Hospitals, Inc. 207,041
8,101 +Ligand Pharmaceuticals
Incorporated (Class B) 120,502
2,000 +LightPath Technologies, Inc.
(Class A) 54,500
3,000 Lightbridge, Inc. 32,062
3,876 Lilly Industries, Inc. (Class A) 116,280
6,600 +Lincare Holdings Inc. 277,612
5,600 Lincoln Electric Holdings, Inc. 96,250
1,752 Lindsay Manufacturing Co. 36,792
6,400 +Linens 'n Things, Inc. 196,800
283 Liqui-Box Corporation 10,135
3,402 +Littelfuse Inc. 98,658
2,300 +LodgeNet Entertainment
Corporation 40,394
4,423 +Lone Star Steakhouse & Saloon,
Inc. 37,319
4,023 +Lone Star Technology 161,523
4,600 Longs Drug Stores Corporation 100,625
8,189 Longview Fibre Company 111,575
6,500 +LookSmart, Ltd. 45,906
400 +Loudeye Technologies, Inc. 1,525
3,755 +Louis Dreyfus Natural Gas Corp. 120,395
17,700 Louisiana-Pacific Corporation 150,450
9,100 The Lubrizol Corporation 197,356
3,879 Luby's Cafeterias Inc. 22,789
700 +Luminex Corporation 18,987
1,500 +Lynx Therapeutics, Inc. 26,250
3,764 MAF Bancorp, Inc. 90,336
1,696 +MAXIMUS, Inc. 41,658
1,800 +MCK Communications, Inc. 28,125
1,876 +MCSi, Inc. 53,935
3,363 MDC Holdings, Inc. 92,062
9,871 MDU Resources Group 288,727
5,433 +MEMC Electronic Materials, Inc. 53,990
1,100 +META Group, Inc. 10,588
2,900 MGI Pharma, Inc. 81,200
6,282 +MIPS Technologies, Inc. (Class
A) 252,065
700 +MKS Instruments, Inc. 12,862
3,000 +MP3.com, Inc. 10,594
8,074 +MRV Communications, Inc. 318,923
1,103 M.S. Carriers, Inc. 17,234
5,400 +MTI Technology Corporation 28,012
2,692 MacDermid, Inc. 57,878
5,525 +Macerich Company 108,428
</TABLE>
Continued
61
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MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
2,344 Madison Gas & Electric Co. $ 50,982
2,445 +Magnetek, Inc. 26,589
6,841 +Mail-Well, Inc. 33,777
7,200 +Mail.com, Inc. 23,400
800 +The Management Network Group,
Inc. 10,550
696 +Manhattan Associates, Inc. 44,555
4,424 The Manitowoc Co., Inc. 120,278
12,600 +Manor Care, Inc. 210,262
3,383 Manu Home Communications 84,152
3,725 +Manugistics Group, Inc. 424,417
2,550 +MapInfo Corporation 83,353
3,183 Marcus Corporation 45,159
2,600 +Marimba, Inc. 15,437
842 +Markel Corporation 121,985
385 +MarketWatch.com, Inc. 1,805
2,600 +Martek Biosciences Corporation 55,900
1,800 +Martha Stewart Living Omnimedia,
Inc. (Class A) 45,112
6,582 Mascotech, Inc. 109,837
2,654 Mathews International Corp.
(Class A) 71,658
4,200 +Matrix Pharmaceutical, Inc. 60,375
800 +MatrixOne, Inc. 23,750
3,000 +Mattson Technology, Inc. 35,250
3,135 +Maverick Tube Corporation 48,788
3,700 +Maxim Pharmaceuticals, Inc. 164,187
11,159 +Maxtor Corporation 87,180
1,100 +Maxygen Inc. 44,275
1,200 +McAfee.com Corporation 8,250
3,300 The McClatchy Company (Class A) 125,400
1,945 McGrath RentCorp. 33,551
1,888 +McMoRan Exploration Co. 22,562
1,700 +Meade Instruments Corp. 31,131
3,558 +Mechanical Technology
Incorporated 26,685
2,087 +MedQuist Inc. 23,479
1,235 Medallion Financial Corp. 18,988
2,100 +Media 100 Inc. 20,737
3,300 Media General, Inc. (Class A) 125,400
3,300 Mediacom Communications
Corporation 56,100
1,900 +Mediaplex, Inc. 4,097
1,100 +MedicaLogic/Medscape, Inc. 4,469
2,597 +Medical Assurance, Inc. 36,033
4,678 +Medicis Pharmaceutical (Class A) 344,418
21,900 +Meditrust Companies 60,225
1,604 +MemberWorks Incorporated 55,137
5,449 +The Men's Warehouse, Inc. 159,383
3,807 +Mentor Corporation 67,098
10,220 +Mentor Graphics Corporation 239,531
2,541 +Mercator Software, Inc. 11,593
2,503 Merchants New York Bancorp, Inc. 51,937
3,699 +Mercury Computer Systems, Inc. 114,669
4,200 Mercury General Corporation 153,825
6,000 Meredith Corporation 190,500
1,600 +The Meridian Resource
Corporation 11,100
6,148 Meristar Hospitality Corp. 117,581
</TABLE>
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
4,743 +Mesa Air Group, Inc. $ 27,865
1,416 +Mesaba Holdings, Inc. 15,310
4,100 +MetaCreations Corporation 41,000
6,164 Metals USA, Inc. 17,336
1,400 +Metasolv Software, Inc. 17,412
900 +Metawave Communications
Corporation 11,925
5,763 Methode Electronics 216,833
2,738 +Metricom, Inc. 48,600
9,408 Metris Companies Inc. 304,584
7,200 +Metrocall, Inc. 9,225
10,200 +Metromedia International Group,
Inc. 37,944
6,471 +Mettler-Toledo International 302,115
2,171 Michael Foods, Inc. 58,481
5,049 +Michael's Stores 122,754
4,460 +MicroStrategy Incorporated 106,761
5,384 +Micron Electronics, Inc. 42,567
3,000 +Micros Systems, Inc. 59,250
1,900 +Microsemi Corporation 76,000
2,000 +Microvision, Inc. 68,125
7,782 +Mid Atlantic Medical Services,
Inc. 132,294
2,493 Mid-America Apartment
Communities, Inc. 54,846
1,005 MidAmerica BanCorp. 24,999
2,596 Midas Group, Inc. 36,020
2,400 Midcoast Energy Resources, Inc. 48,600
900 The Midland Company 26,213
1,434 Mid-State Bancshares 42,303
4,294 +Midway Games Inc. 33,278
1,878 +Midwest Express Holdings 35,682
6,466 Milacron Inc. 103,052
10,200 Millennium Chemicals Inc. 164,475
3,064 Mills Corp. 52,280
1,240 Mine Safety Appliances Company 26,040
3,566 Minerals Technologies, Inc. 111,660
2,500 +Miravant Medical Technologies 37,812
1,464 Mississippi Valley Bancshares,
Inc. 38,521
3,606 Mitchell Energy & Development
Corp. (Class A) 165,876
1,900 +Mobile Mini, Inc. 37,881
1,802 +Modem Media Inc. 10,587
3,512 Modine Manufacturing Co. 92,629
14,000 +Modis Professional Services,
Inc. 57,750
6,600 +Mohawk Industries, Inc. 143,962
2,607 +Molecular Devices Corporation 178,254
2,001 +Monaco Coach Corporation 34,142
1,116 +Moog Inc. (Class A) 32,503
3,228 Morgan Keenan, Inc. 64,358
1,755 Morrison Management Specialists,
Inc. 58,792
5,644 +Motient Corporation 68,434
200 +Mount10, Inc. 7,111
4,904 MPower Communications Corp. 31,876
5,849 +Mueller Industries, Inc. 136,355
2,556 +Multex.com Inc. 33,068
3,511 +Musicland Stores Corporation 28,527
</TABLE>
Continued
62
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MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
3,300 +MyPoints.com, Inc. $ 7,425
2,484 Myers Industries, Inc. 32,913
5,343 +Mynd Corporation 68,123
3,200 Myriad Genetics, Inc. 384,000
840 NACCO Industries, Inc. (Class A) 31,973
2,200 +NBC Internet, Inc. (Class A) 13,613
2,845 NBT Bancorp Inc. 42,675
10,045 +NBTY Inc. 65,293
274 NCH Corporation 10,686
2,891 +NCI Building Systems, Inc. 44,991
3,507 +NCO Group, Inc. 76,716
958 +NEON Communications, Inc. 11,556
480 NEON Systems, Inc. 3,390
1,200 NETsilicon, Inc. 17,025
1,700 NHancement Technologies Inc. 42,713
3,342 NL Industries, Inc. 78,955
1,300 +NPC International, Inc. 14,463
3,300 +NPS Pharmaceuticals, Inc. 141,488
3,100 +NS Group, Inc. 26,505
2,395 NUI Corporation 74,694
1,422 +NVR, Inc. 147,035
3,300 +NYFIX, Inc. 130,350
6,400 +Nabi 39,100
2,200 +Nanogen, Inc. 34,100
900 +Nanometrics Incorporated 20,700
5,600 National Data Corporation 213,500
1,573 +National Discount Brokers Group,
Inc. 76,585
1,717 National Golf Properties, Inc. 34,125
3,110 National Health Investors, Inc. 19,438
3,300 +National Infomation Consortium,
Inc. 11,138
2,532 National Penn Bancshares, Inc. 53,805
591 National Presto Industries, Inc. 17,952
700 +National Processing, Inc. 11,069
7,100 National Service Industries, Inc. 145,106
5,574 National Steel Corp. 16,374
355 +National Western Life Insurance
Company (Class A) 31,418
4,757 +NationsRent, Inc. 10,703
7,009 +Nationwide Health Properties,
Inc. 104,697
5,300 +Natural MicroSystems Corporation 239,494
4,860 +Nautica Enterprises, Inc. 61,358
6,432 +Navigant Consulting, Inc. 24,522
5,900 +The Neiman Marcus Group, Inc.
(Class A) 219,038
3,500 +NeoRx Corporation 56,875
2,000 +Neose Technologies, Inc. 72,375
1,700 +Net2000 Communications, Inc. 10,200
1,900 +Net2Phone, Inc. 35,269
4,430 +Net.B@nk, Inc. 38,486
800 NetCreations, Inc. 5,975
500 +net.Genesis Corp. 1,750
700 +netGuru, Inc. 3,500
3,800 +NetIQ Corporation 327,275
7,300 +NetManage, Inc. 9,353
2,123 +NetObjects Inc. 6,236
</TABLE>
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HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,658 Net Perceptions, Inc. $ 8,805
500 +NetRatings, Inc. 9,000
2,000 +NetScout Systems, Inc. 37,375
700 +NetSolve, Incorporated 5,250
4,300 NetZero, Inc. 6,316
3,500 Netcentives Inc. 24,938
4,200 Netegrity, Inc. 327,600
2,000 Netopia, Inc. 21,750
800 +Netpliance, Inc. 1,450
5,500 +Netro Corporation 119,969
700 Netsol International, Inc. 6,103
2,400 +Network Access Solutions
Corporation 6,525
4,700 +Network Commerce Inc. 13,953
3,139 +Network Equipment Technologies,
Inc. 29,821
2,898 +Network Peripherals Inc. 31,516
2,200 +Network Plus Corp. 17,325
3,400 Neurocrine Biosciences, Inc. 131,750
2,496 +Neurogen Corporation 78,468
1,615 New England Business Services,
Inc. 28,061
4,000 +New Era of Networks, Inc. 62,250
2,618 New Jersey Resources Corporation 104,556
14,900 New Plan Excel Realty Trust 183,456
12,268 +Newpark Resources, Inc. 110,412
4,958 Newport News Shipbuilding Inc. 243,872
1,800 +Nexell Therapeutics Inc. 12,853
6,036 +NextCard, Inc. 46,025
1,300 +Niku Corporation 20,475
4,790 Nordson Corporation 137,413
1,239 +Nortek, Inc. 23,309
3,062 North Pittsburgh Systems, Inc. 36,361
1,884 Northwest Bancorp, Inc. 14,012
3,768 +Northwest Natural Gas Company 88,313
3,354 Northwestern Corporation 74,207
2,600 +Novadigm, Inc. 26,000
3,200 +Noven Pharmaceuticals, Inc. 142,600
2,685 +Novoste Corporation 67,796
6,500 Nu Skin Enterprises, Inc. (Class
A) 35,344
800 +Nuance Communications Inc. 69,000
1,100 Nucentrix Broadband Networks,
Inc. 24,888
2,533 +Nuevo Energy Company 45,911
800 +Numerical Technologies, Inc. 16,400
6,200 +Nx Networks, Inc. 17,631
1,531 O'Charley's Inc. 22,391
13,100 OGE Energy Corp. 269,369
3,867 OM Group, Inc. 178,849
5,012 ONEOK, Inc. 198,601
3,326 ONYX Software Corporation 52,800
600 +ORATEC Interventions, Inc. 6,000
5,406 +O'Reilly Automotive, Inc. 97,308
3,700 +OSI Pharmaceuticals, Inc. 266,400
800 OTG Software, Inc. 25,200
6,800 +Oak Technology, Inc. 190,825
4,105 +Oakley, Inc. 86,205
3,200 +Objective Systems Integrators,
Inc. 28,800
2,477 +OceanFirst Financial Corp. 51,862
</TABLE>
Continued
63
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MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
4,046 +Oceaneering International, Inc. $ 56,897
3,247 +Ocular Sciences, Inc. 40,182
4,621 Ocwen Financial Corporation 27,148
17,278 +OfficeMax, Inc. 49,674
4,053 +Offshore Logistics, Inc. 69,914
8,722 Ogden Corporation 119,928
10,887 Ohio Casualty Corporation 91,519
6,432 Olin Corporation 114,168
1,823 Omega Financial Corporation 52,639
15,600 Omnicare, Inc. 273,000
4,245 Omnova Solutions Inc. 23,878
4,700 On2.com Inc. 10,716
3,789 +On Assignment, Inc. 95,435
1,053 +On Command Corporation 11,057
2,196 Oneida Ltd. 23,333
1,700 Onvia.com, Inc. 4,463
5,706 +Open Market, Inc. 18,901
538 +Optical Cable Corporation 8,574
5,317 +Orbital Sciences Corporation 42,204
1,100 +Orchid Biosciences 22,481
600 +Organic, Inc. 1,950
5,042 +Organogenesis Inc. 63,227
1,462 Oriental Financial Group Inc. 17,910
6,893 +Orthodontic Centers of America,
Inc. 230,054
2,168 OshKosh B'Gosh, Inc. (Class A) 34,688
2,688 Oshkosh Truck Corporation 110,544
1,600 +Osicom Technologies, Inc. 51,200
3,810 Otter Tail Power Company 84,534
3,815 Overseas Shipholding Group, Inc. 91,560
5,815 Owens & Minor, Inc. 87,952
9,400 Owens Corning 12,925
11,776 +P-Com, Inc. 66,240
1,362 P.F. Chang's China Bistro, Inc. 55,842
3,980 P.H. Glatfelter Company 41,541
3,553 +PAREXEL International
Corporation 31,089
700 +PC Connection, Inc. 19,086
2,300 +PC-Tel, Inc. 39,675
19,494 +PETsMART, Inc. 86,505
1,666 +PFF Bancorp, Inc. 30,821
1,674 +PICO Holdings, Inc. 21,553
2,416 +PLX Technology, Inc. 57,984
2,301 PMA Capital Corporation (Class A) 37,679
1,300 PRAECIS Pharmaceuticals
Incorporated 32,988
3,268 +PRI Automation, Inc. 73,939
4,207 PS Business Parks, Inc. 110,434
12,658 +PSS World Medical, Inc. 37,974
2,600 Pac-West Telecomm, Inc. 22,588
3,884 Pacific Capital BanCorp. 103,897
3,401 Pacific Gulf Properties, Inc. 90,339
1,851 Pacific Northwest BanCorp. 24,757
5,450 +Pacific Sunwear of California,
Inc. 111,725
7,300 +Packaging Corp. of America 107,219
1,900 +Packard BioScience Company 30,638
2,600 +Packeteer, Inc. 64,675
</TABLE>
<TABLE>
<CAPTION>
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HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
27,300 +Pactiv Corporation $ 286,650
2,827 +Palm Harbor Homes, Inc. 41,345
933 Pan Pacific Retail Properties,
Inc. 19,068
3,596 +Papa John's International, Inc. 90,350
1,200 +Paradigm Genetics, Inc. 19,050
2,900 +Paradyne Networks, Inc. 11,600
1,782 Park Electrochemical Corp. 117,723
1,366 Park National Corporation 130,624
12,166 +Parker Drilling Company 72,996
1,373 +ParkerVision, Inc. 76,545
1,276 Parkway Properties, Inc. 36,526
2,300 Patina Oil & Gas Corporation 40,394
5,677 +Patterson Energy, Inc. 159,666
5,581 +Paxar Corporation 45,694
4,879 +Paxson Communications
Corporation 55,499
3,800 +Payless ShoeSource, Inc. 220,163
4,277 +Pegasus Systems, Inc. 72,976
800 Penn Engineering & Manufacturing
Corp. 30,250
900 +Penn National Gaming, Inc. 15,750
700 Penn Virginia Corporation 18,550
2,700 +Pennaco Energy, Inc. 33,581
2,512 Pennsylvania Real Estate
Investment Trust 43,175
13,437 +Pennzoil-Quaker State Company 157,885
3,266 Penton Media, Inc. 99,817
5,300 People's Bank 107,325
6,000 Peoples Energy Corporation 206,250
8,973 The Pep Boys-Manny, Moe & Jack 40,379
2,900 +PepsiAmericas, Inc. 10,513
2,299 +Performance Food Group Company 93,110
3,200 +Pericom Semiconductor
Corporation 84,800
10,000 +Perot Systems Corporation (Class
A) 99,375
8,904 +Perrigo Company 58,989
4,606 +Per-Se Technologies, Inc. 20,295
2,100 +Persistence Software, Inc. 24,675
2,839 +Pharmaceutical Product
Development, Inc. 88,896
3,100 +Pharmacopeia, Inc. 56,575
2,739 +Pharmacyclics, Inc. 147,392
1,630 +Philadelphia Consolidated
Holding Corp. 36,369
5,354 Philadelphia Suburban Corporation 125,484
2,898 Phillips-Van Heusen Corporation 34,414
6,677 +Phoenix Investment Partners,
Ltd. 104,328
4,258 +Phoenix Technologies Ltd. 68,394
1,300 +Photogen Technologies, Inc. 5,688
2,000 Photon Dynamics, Inc. 72,000
3,882 +Photronics, Inc. 87,588
4,800 Piedmont Natural Gas Company,
Inc. 146,400
15,627 Pier 1 Imports, Inc. 207,058
2,007 Pilgrim's Pride Corporation 13,547
3,060 +Pinnacle Entertainment, Inc. 69,806
7,922 +Pinnacle Systems, Inc. 100,015
16,070 +Pioneer Natural Resources
Company 209,914
</TABLE>
Continued
64
<PAGE> 65
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
5,736 Pioneer-Standard Electronics,
Inc. $ 79,587
9,019 Pittston Brink's Group 143,177
1,100 +Pixelworks, Inc. 36,644
2,110 +Plains Resources Inc. 40,354
7,919 +Plantronics, Inc. 361,304
2,736 +Playboy Enterprises, Inc. 35,397
4,230 +Playtex Products, Inc. 42,829
5,830 +Plexus Corporation 367,654
6,949 Pogo Producing Company 173,725
3,539 Polaris Industries, Inc. 122,980
6,386 Polaroid Corporation 64,259
9,200 Polo Ralph Lauren Corporation 180,550
1,800 PolyMedica Corporation 103,500
13,425 PolyOne Corporation 105,722
2,619 +Polymer Group, Inc. 16,041
2,800 Pope & Talbot, Inc. 43,575
4,457 Potlatch Corporation 149,310
4,226 +Power Integrations, Inc. 56,787
8,218 Precision Castparts Corp. 310,230
500 +Predictive Systems, Inc. 6,938
3,038 Premier National Bancorp, Inc. 62,279
6,181 Prentiss Properties Trust 156,843
3,337 +Pre-Paid Legal Services, Inc. 146,411
4,005 Presidential Life, Corporation 58,323
4,074 +Presstek, Inc. 64,166
7,068 +Price Communications Corporation 152,846
600 +PriceSmart, Inc. 21,563
1,200 +Prima Energy Corporation 53,325
2,166 Prime Group Realty Trust 32,219
7,090 +Prime Hospitality Corp. 67,355
1,232 Primex Technologies, Inc. 36,113
2,100 +Primus Knowledge Solutions,
Inc. 17,063
4,721 +Primus Telecommunications Group,
Incorporated 23,900
1,701 +Priority Healthcare Corporation
(Class B) 91,429
1,700 +Private Media Group, Inc. 14,716
200 +Prize Energy Corporation 3,350
2,194 +ProBusiness Services, Inc. 71,716
800 +Procom Technology, Inc. 18,150
3,011 +Prodigy Communications
Corporation (Class A) 13,173
800 +Professional Detailing, Inc. 70,900
3,877 +The Profit Recovery Group
International, Inc. 20,839
5,280 +Progress Software Corporation 83,490
2,513 +Project Software & Development,
Inc. 32,669
3,700 +ProsoftTraining.com 25,900
4,066 Provident Bancshares Corporation 77,000
3,900 Provident Financial Group, Inc. 117,975
5,101 +Province Healthcare Company 214,880
4,056 +Proxim, Inc. 245,895
6,114 Public Service Company of New
Mexico 168,517
1,668 Pulitzer Inc. 68,305
</TABLE>
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<C> <S> <C>
COMMON STOCK (CONTINUED)
5,303 Pulte Corporation $ 176,656
5,100 +Puma Technology, Inc. 69,169
3,200 +PurchasePro.com, Inc. 86,400
7,500 +Pure Resources, Inc. 123,750
2,263 +QRS Corporation 19,094
2,144 Quanex Corporation 42,478
12,600 Quantum Corporation-Hard Disk
Drive 144,113
3,048 +Queens County Bancorp Inc. 85,344
3,900 +QuickLogic Corporation 34,613
4,058 +Quiksilver, Inc. 77,609
3,200 +Quintus Corporation 23,900
3,000 +Quokka Sports, Inc. 9,188
12,303 +Quorum Health Group, Inc. 164,553
2,697 R & G Financial Corporation
(Class B) 26,464
5,591 R.H. Donnelley Corporation 126,496
3,036 +RARE Hospitality International,
Inc. 70,587
6,039 +REMEC, Inc. 180,038
3,870 RFS Hotel Investors, Inc. 49,826
6,137 RGS Energy Group Inc. 181,042
971 RLI Corp. 37,990
1,700 RPC, Inc. 21,144
18,100 RPM, Inc. 161,769
2,415 +RTI International Metals, Inc. 35,018
2,251 +RadiSys Corporation 59,652
2,472 +Radiant Systems, Inc. 45,578
3,600 +Rainbow Technologies, Inc. 89,550
5,208 +Ralcorp Holdings, Inc. 73,238
3,100 +Ramp Networks, Inc. 5,813
5,042 +Rare Medium Group, Inc. 23,319
6,099 Raymond James Financial, Inc. 206,222
4,584 Rayonier Inc. 161,300
4,225 +Rayovac Corporation 62,319
1,743 +Razorfish, Inc. 7,844
4,300 Realty Income Corporation 98,900
9,038 Reckson Associates Realty
Corporation 204,485
7,622 +Reebok International Ltd. 164,349
3,237 Regal-Beloit Corporation 54,220
5,026 +Regency Realty Corporation 113,085
2,824 +Regeneron Pharmaceuticals, Inc. 75,542
3,100 +Regent Communications, Inc. 18,600
6,243 Regis Corporation 94,425
600 +Register.com, Inc. 4,200
2,300 +RehabCare Group, Inc. 99,331
34,505 Reliance Group Holdings, Inc. 2,157
3,191 Reliance Steel & Aluminum Co. 75,786
4,054 +Remedy Corporation 69,425
7,720 +Renal Care Group, Inc. 181,420
2,984 +Rent A Center Inc. 87,096
4,076 +Rent-Way, Inc. 20,635
6,557 Republic Bancorp Inc. 62,292
8,859 Republic Security Financial
Corporation 60,075
2,469 +Res-Care, Inc. 13,580
5,034 +ResMed Inc. 128,367
</TABLE>
Continued
65
<PAGE> 66
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
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SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
1,500 +Research Frontiers Incorporated $ 28,875
5,774 +Respironics, Inc. 113,315
7,650 +Retek Inc. 301,697
1,100 +Revlon, Inc. (Class A) 6,394
6,000 +Rhythms NetConnections Inc. 13,125
1,400 +Ribozyme Pharmaceuticals, Inc. 29,663
900 +Rica Foods, Inc. 13,725
5,084 Richmond County Financial Corp. 119,474
2,529 Riggs National Corporation 28,451
1,200 +Rightchoice Managed Care, Inc.
(Class A) 33,150
1,800 Riviana Foods Inc. 30,600
1,614 Roadway Express, Inc. 33,188
990 Robbins & Myers, Inc. 23,946
1,601 +The Robert Mondavi Corporation
(Class A) 72,445
6,100 +Robotic Vision Systems, Inc. 33,359
1,625 Rock-Tenn Company (Class A) 14,523
2,250 +Rogers Corporation 80,438
7,034 Rollins Truck Leasing Corp. 36,929
2,850 Rollins, Inc. 51,478
5,269 +Roper Industries, Inc. 184,415
11,300 Roslyn Bancorp, Inc. 245,069
10,676 Ruby Tuesday, Inc. 144,793
4,376 Ruddick Corporation 57,435
600 +Rudolph Technologies, Inc. 23,400
1,500 +Rural Cellular Corporation
(Class A) 80,625
1,355 Russ Berrie and Company, Inc. 30,742
4,565 Russell Corporation 73,040
6,227 +Ryan's Family Steak Houses,
Inc. 52,151
10,100 Ryder System, Inc. 199,475
3,146 Ryerson Tull, Inc. 23,595
1,873 +The Ryland Group, Inc. 60,404
14,566 +S3 Incorporated 131,549
4,373 +SAGA Systems, Inc. 23,505
2,300 +SAVVIS Communications
Corporation 8,913
4,300 +SBA Communications Corporation 215,538
2,200 +SBS Technologies, Inc. 56,650
2,100 +SCM Microsystems, Inc. 79,800
2,736 +SCP Pool Corporation 70,794
1,991 SCPIE Holdings Inc. 37,829
3,009 +SEACOR SMIT Inc. 126,002
3,580 SEMCO Energy, Inc. 55,490
2,438 SERENA Software, Inc. 124,033
6,191 +SICOR Inc. 79,322
3,470 +SIPEX Corporation 136,631
6,790 +SITEL Corporation 19,097
248 SJW Corp. 29,481
3,859 SL Green Realty Corp. 103,469
2,180 SLI, Inc. 17,985
2,001 +SPS Technologies, Inc. 103,302
1,278 +SPSS Inc. 28,755
2,500 STAAR Surgical Company 39,375
4,247 S&T Bancorp, Inc. 80,162
9,951 +STERIS Corporation 149,265
</TABLE>
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<CAPTION>
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HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
1,732 +SVI Holdings, Inc. $ 7,863
600 +Saba Software, Inc. 14,063
799 Saga Communications, Inc. (Class
A) 13,184
2,904 +Sagnet Technology, Inc. 7,442
3,300 +Salem Communications Corporation
(Class A) 39,600
1,826 +Salton, Inc. 41,770
2,000 +Sanchez Computer Associates,
Inc. 32,125
1,998 Sandy Spring Bancorp, Inc. 44,206
2,936 +SangStat Medical Corporation 29,360
800 Santander BanCorp 12,200
1,400 +SatCon Technology Corporation 35,700
2,800 Sauer-Danfoss, Inc. 21,175
2,370 Saul Centers, Inc. 36,291
2,469 +Scholastic Corporation 197,520
3,298 +School Specialty, Inc. 50,707
2,431 +Schweitzer-Manduit
International, Inc. 39,352
5,600 +SciClone Pharmaceuticals, Inc. 45,150
3,700 +SciQuest.com, Inc. 16,534
1,600 +Scientific Learning Corporation 8,950
1,722 +Scott Technologies, Inc. 39,606
2,331 +The Scotts Company (Class A) 83,333
2,600 +SeaChange International, Inc. 57,200
3,308 Seacoast Financial Services
Corporation 35,148
4,300 +Secure Computing Corporation 98,900
5,451 +Security Capital Group
Incorporated (Class B) 103,910
3,553 +Seitel, Inc. 53,295
700 +Selectica, Inc. 18,463
3,781 Selective Insurance Group, Inc. 65,222
5,000 +Seminis, Inc. (Class A) 4,375
3,100 +Semitool, Inc. 40,494
1,600 Senior Housing Properties Trust 14,900
11,861 +Sensormatic Electronics
Corporation 213,498
883 +Sequa Corporation (Class A) 32,561
1,100 +Sequenom Inc. 35,613
1,200 +Sequoia Software Corporation 6,000
46,900 Service Corporation International 108,456
2,300 +The Shaw Group Inc. 187,450
4,338 +ShopKo Stores, Inc. 27,655
4,425 +Shurgard Storage Centers, Inc.
(Class A) 100,392
13,272 Sierra Pacific Resources 228,113
28,500 +Silicon Graphics, Inc. 128,250
5,000 +Silicon Image, Inc. 58,750
6,504 +Silicon Valley Bancshares 300,810
5,404 +Silicon Valley Group, Inc. 177,994
1,800 +SilverStream Software, Inc. 40,500
1,195 +Simpson Manufacturing Co., Inc. 50,937
7,962 +Sinclair Broadcast Group, Inc.
(Class A) 73,400
5,495 +Sirius Satellite Radio Inc. 276,124
2,600 +Skechers U.S.A., Inc. (Class A) 39,488
13,721 Sky Financial Group, Inc. 228,118
</TABLE>
Continued
66
<PAGE> 67
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
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HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
3,683 SkyWest, Inc. $ 185,992
1,770 Skyline Corporation 38,387
3,000 +Smart & Final Inc. 20,625
900 +SmartDisk Corporation 4,613
600 +SmartServ Online, Inc. 11,625
8,805 +Smithfield Foods, Inc. 252,593
9,800 Snap-On Incorporated 250,513
5,000 Sodexho Marriott Services, Inc. 91,875
4,228 +SoftNet Systems, Inc. 19,555
500 Software Technologies Corporation 8,500
17,200 Solutia Inc. 219,300
4,300 +Somera Communications, Inc. 48,375
2,500 +Sonic Automotive, Inc. 22,344
3,195 +Sonic Corp. 116,618
1,700 +Sonic Foundry, Inc. 10,838
200 +Sonic Innovations, Inc. 963
3,800 +SonicWALL, Inc. 56,763
1,700 SonoSite, Inc. 21,675
6,500 +Sotheby's Holdings, Inc. (Class
A) 176,719
2,356 +The Source Information
Management Company 12,958
6,635 The South Financial Group, Inc. 67,594
2,180 South Jersey Industries, Inc. 63,493
4,898 Southern Peru Limited 68,266
4,571 +Southern Union Company 85,992
4,924 +Southwest Bancorporation of
Texas, Inc. 179,726
4,482 Southwest Gas Corporation 93,562
2,839 Southwest Securities Group, Inc. 80,202
4,412 +Southwestern Energy Company 35,296
1,547 +Sovran Self Storage, Inc. 29,200
5,600 +Spanish Broadcasting System,
Inc. (Class A) 50,400
2,250 Spartech Corporation 34,734
1,708 +Specialty Equipment Companies,
Inc. 51,774
500 Spectra-Physics Lasers, Inc. 17,656
1,900 +SpectraLink Corporation 14,131
4,433 +SpeedFam-IPEC, Inc. 42,114
2,000 +Speedway Motorsports, Inc. 34,875
8,197 +Spherion Corporation 97,339
3,425 Spiegel, Inc. (Class A) 23,761
900 +Spinnaker Exploration Company 27,225
3,231 +SportsLine USA, Inc. 27,665
2,395 Springs Industries, Inc. (Class
A) 56,432
6,000 +Stamps.com Inc. 23,625
5,152 StanCorp Financial Group, Inc. 209,944
2,200 +Standard Microsystems
Corporation 52,800
4,011 Standard Pacific Corp. 75,206
1,684 The Standard Register Company 20,208
1,490 Standex International Corporation 27,286
800 +Stanford Microdevices, Inc. 20,050
4,100 +Star Scientific, Inc. 16,272
7,100 +StarBase Corporation 36,166
6,300 +StarMedia Network, Inc. 38,588
1,054 +StarTek, Inc. 26,811
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
1,668 State Auto Financial Corporation $ 22,518
5,676 Staten Island Bancorp, Inc. 109,618
6,073 +Station Casinos, Inc. 97,927
6,752 +Steel Dynamics, Inc. 81,024
4,955 +Stein Mart, Inc. 76,803
460 Stepan Company 8,913
2,653 +Stericycle, Inc. 85,891
4,906 Sterling Bancshares, Inc. 84,322
2,100 +Steve Madden, Ltd. 20,016
5,125 +Stewart & Stevenson Services,
Inc. 123,000
18,300 Stewart Enterprises, Inc. (Class
A) 38,888
2,464 Stewart Information Services
Corporation 38,808
6,554 +Stillwater Mining Company 190,066
5,044 St. Mary Land & Exploration
Company 118,219
600 +Stockwalk.com Group, Inc. 2,025
2,872 +Stone Energy Corporation 147,046
1,707 +Stoneridge, Inc. 16,643
15,200 +Storage Technology Corporation 148,200
4,432 +Storage USA, Inc. 123,819
891 Strayer Education, Inc. 21,440
6,954 The Stride Rite Corporation 37,378
6,285 +Structural Dynamics Research
Corporation 64,814
783 The Student Loan Corporation 41,891
3,267 Sturm, Ruger & Company, Inc. 27,565
4,941 +Suiza Foods Corporation 228,830
4,428 +Summit Properties Inc. 106,272
3,187 Sun Communities, Inc. 96,805
9,960 +Sunbeam Corporation 9,338
5,289 +Sunglass Hut International,
Inc. 40,990
3,346 +Sunrise Assisted Living, Inc. 78,213
8,584 +Sunrise Technologies
International, Inc. 61,966
2,800 +Superconductor Technologies
Inc. 28,350
3,373 +SuperGen, Inc. 43,427
8,100 +Superior Energy Services, Inc. 72,900
2,834 +Superior Industries
International, Inc. 96,533
1,160 Superior TeleCom Inc. 5,728
1,500 +Supertex, Inc. 42,563
1,100 +SurModics, Inc. 57,750
6,119 Susquehanna Bancshares, Inc. 86,431
3,401 +Swift Energy Company 110,533
6,932 +Swift Transportation Co., Inc. 98,781
1,300 Switchboard Incorporated 8,450
2,680 +Sykes Enterprises, Incorporated 14,405
4,700 +Sylvan Learning System, Inc. 72,556
4,350 +SymmetriCom, Inc. 55,463
3,300 +Symyx Technologies 155,719
3,240 +Syncor International Corporation 83,228
600 +Syntel, Inc. 5,663
5,712 +Syntroleum Corporation 111,384
3,140 +Systemax Inc. 7,458
</TABLE>
Continued
67
<PAGE> 68
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
5,025 +Systems & Computer Technology
Corporation $ 72,548
10,836 +TALK.com, Inc. 33,524
3,382 +THQ Inc. 69,331
4,700 +Take-Two Interactive Software,
Inc. 58,456
1,253 Tanger Factory Outlet Centers,
Inc. 26,313
2,300 +Tanning Technology Corporation 12,398
4,700 +Targeted Genetics Corporation 47,000
6,416 Taubman Centers, Inc. 70,175
11,800 +Techniclone Corporation 28,025
1,904 +Technitrol, Inc. 211,106
6,256 +Technology Solutions Company 14,858
2,900 Tecumseh Products Company (Class
A) 115,638
671 Tejon Ranch Co. 15,098
2,900 TelCom Semiconductor, Inc. 40,781
900 +Telaxis Communications
Corporation 4,022
4,800 Teledyne Technologies
Incorporated 120,300
6,400 Teleflex Incorporated 221,200
3,200 +Teligent, Inc. (Class A) 24,300
800 +Telocity, Inc. 2,300
2,900 Telxon Corporation 65,069
2,820 +TenFold Corporation 12,161
1,334 Tennant Company 58,029
7,100 Tenneco Automotive Inc. 30,619
3,749 +Terex Corporation 46,160
19,300 +Terremark Worldwide, Inc. 50,759
4,202 +Tesoro Petroleum Corporation 43,596
6,033 +Tetra Tech, Inc. 209,647
6,300 +Texas Biotechnology Corporation 92,925
3,231 Texas Industries, Inc. 75,323
1,975 Texas Regional Bancshares, Inc.
(Class A) 59,003
3,393 +Theragenics Corporation 15,905
2,200 +Therma-Wave Inc. 45,100
1,948 +Thermo Cardiosystems Inc. 15,949
800 +Thermo Fibertek Inc. 3,300
2,286 Thomas Industries Inc. 48,006
883 Thor Industries, Inc. 17,660
2,100 +Thoratec Laboratories
Corporation 25,594
3,400 +Three-Five Systems, Inc. 117,300
2,592 +The Timberland Company (Class A) 133,812
7,789 The Timken Company 109,533
2,200 TiVo Inc. 28,738
3,600 +Titan Pharmaceuticals, Inc. 151,488
3,696 +Toll Brothers, Inc. 120,120
1,900 Tollgrade Communications, Inc. 181,925
4,839 +Tom Brown, Inc. 110,692
4,700 Too Inc. 107,806
7,763 +The Topps Company, Inc. 70,110
1,830 The Toro Company 64,050
7,189 +Tower Automotive, Inc. 79,079
3,149 +Town & Country Trust 58,257
3,755 +Trammell Crow Company 50,223
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
4,654 +Trans World Entertainment
Corporation $ 39,559
3,391 +TransMontaigne Inc. 13,140
5,221 +Transaction Systems Architects,
Inc. (Class A) 70,484
3,441 +Transkaryotic Therapies, Inc. 128,177
2,053 +Travelocity.com Inc. 28,999
3,986 Tredegar Corporation 75,983
400 +Trendwest Resorts, Inc. 7,575
1,110 +Trex Company, Inc. 41,486
2,100 The TriZetto Group, Inc. 42,000
2,562 +Triad Guaranty Inc. 74,458
5,775 +Triad Hospitals, Inc. 160,256
4,601 +Triangle Pharmaceuticals, Inc. 38,677
2,331 +Triarc Companies, Inc. 58,129
4,100 +Trico Marine Services, Inc. 68,163
2,600 Tricord Systems, Inc. 42,088
3,579 +Trimble Navigation Limited 85,001
2,600 +Trimeris, Inc. 183,950
6,678 Trinity Industries, Inc. 160,689
1,712 +Triumph Group, Inc. 58,208
9,453 TrustCo Bank Corp NY 113,436
2,095 The Trust Company of New Jersey 30,116
10,400 Trustmark Corporation 197,600
3,171 Tucker Anthony Sutro Corporation 73,329
1,401 +Tuesday Morning Corporation 6,129
1,500 +Tularik Inc. 47,625
1,500 +Tumbleweed Communications
Corporation 25,688
9,853 Tupperware Corporation 168,733
2,565 +Tut Systems, Inc. 85,286
2,764 +Tweeter Home Entertainment
Group, Inc. 66,509
2,771 +Twinlab Corporation 14,548
2,263 U.S.B. Holding Co., Inc. 28,146
7,314 +UCAR International Inc. 60,341
1,900 UCBH Holdings, Inc. 69,113
3,943 UGI Corporation 91,428
5,646 +UICI 41,992
2,555 UIL Holdings Corporation 119,606
2,446 +UMB Financial Corporation 82,858
6,247 +UNOVA, Inc. 30,064
1,889 +URS Corporation 24,203
600 +U.S. Aggregates, Inc. 8,400
12,489 USEC Inc. 64,006
4,600 USFreightways Corporation 118,450
13,000 U.S. Industries, Inc. 115,375
3,300 +U.S. Interactive, Inc. 3,300
2,055 +US LEC Corp. (Class A) 12,330
11,111 +US Oncology, Inc. 59,722
1,900 +U.S. Wireless Corporation 29,213
5,082 +UTI Energy Corp. 101,958
600 +Ulticom, Inc. 28,650
1,600 +Ultimate Electronics, Inc. 57,800
3,952 +Ultratech Stepper, Inc. 92,872
</TABLE>
Continued
68
<PAGE> 69
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
4,503 +UniSource Energy Corporation $ 67,264
8,446 +Unifi, Inc. 73,375
2,800 +Unify Corporation 1,400
829 +Unigraphics Solution Inc. 15,233
2,600 +Uniroyal Technology Corporation 26,488
5,800 +Unit Corporation 77,213
729 +United Auto Group, Inc. 5,832
5,446 +United Bankshares, Inc. 106,197
6,481 United Community Financial Corp. 45,367
17,526 +United Dominion Realty Trust,
Inc. 184,023
2,260 United National Bancorp 40,115
1,100 +United Natural Foods, Inc. 13,819
5,100 +United Rentals, Inc. 109,650
5,535 +United Stationers, Inc. 166,396
597 United Television, Inc. 79,998
2,200 +United Therapeutics Corporation 117,700
1,700 +Universal Access, Inc. 24,863
1,100 +Universal Compression Holdings,
Inc. 31,763
4,685 Universal Corporation 131,180
1,900 Universal Display Corporation 32,775
2,600 Universal Electronics Inc. 47,775
7,929 +Universal Foods Corporation 156,598
1,448 Universal Forest Products, Inc. 19,548
1,700 VASCO Data Security
International, Inc. 21,569
2,200 VIA NET.WORKS, Inc. 16,294
8,700 +VISX, Incorporated 186,506
5,100 +VIVUS, Inc. 16,575
1,952 +Vail Resorts, Inc. 41,358
5,170 +Valence Technology, Inc. 72,057
4,100 Valentis, Inc. 35,363
1,200 Valhi, Inc. 14,775
2,300 The viaLink Company 16,531
2,187 +Valmont Industries, Inc. 44,560
6,000 The Valspar Corporation 163,860
1,648 +Value City Department Stores,
Inc. 13,390
300 Value Line, Inc. 10,463
300 +ValueClick, Inc. 1,256
6,598 +ValueVision International, Inc.
(Class A) 133,610
2,500 +Vans, Inc. 32,344
5,204 +Varian Inc. 160,348
5,213 +Varian Medical Systems, Inc. 254,785
5,167 +Varian Semiconductor Equipment
Associates, Inc. 118,841
9,500 +Vasomedical, Inc. 36,516
1,500 +VaxGen, Inc. 41,156
2,245 Vector Group Ltd. 31,290
9,959 Vectren Corporation 230,302
3,819 +Veeco Instruments Inc. 252,830
22,300 +Venator Group, Inc. 314,988
1,838 +Ventana Medical Systems, Inc. 48,248
8,611 +Ventas, Inc. 43,055
2,200 +Ventiv Health, Inc. 23,650
4,000 +Ventro Corporation 19,250
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
4,672 +Veritas DGC Inc. $ 140,160
4,562 +Verity, Inc. 107,207
500 +Versata, Inc. 8,250
5,200 +Vertel Corporation 27,625
1,600 +Vertex Interactive, Inc. 24,000
2,800 +ViaSat, Inc. 61,600
1,900 +Viador Inc. 8,788
6,900 +Viasystems Group, Inc. 97,894
7,468 +Viatel, Inc. 71,880
3,504 +Vical Incorporated 74,460
1,000 +Vicinity Corporation 10,500
3,150 +Vicor Corporation 170,100
7,464 Vintage Petroleum, Inc. 157,677
3,566 +Visual Networks, Inc. 13,150
558 Vital Signs, Inc. 17,368
1,117 +Volt Information Sciences, Inc. 24,295
1,000 +Vyyo Inc. 22,125
2,315 +WD-40 Company 50,641
2,927 +WESCO International, Inc. 24,514
1,300 WFS Financial Inc. 20,475
2,733 W.H. Brady Co. 84,723
4,201 W Holding Company, Inc. 38,859
3,167 +WMS Industries Inc. 70,466
4,526 WPS Resources Corporation 145,681
3,024 +W.R. Grace & Co. 11,529
3,181 Wabash National Corporation 25,448
4,044 Wabtec Corporation 40,946
2,103 +The Wackenhut Corporation (Class
A) 26,550
7,124 +Wallace Computer Services, Inc. 103,298
5,462 +Walter Industries, Inc. 40,624
9,700 The Warnaco Group, Inc. 25,463
8,975 Washington Federal, Inc. 200,255
7,880 +Washington Gas Light Company 200,940
4,745 +Washington Group International,
Inc. 49,823
5,255 Washington Real Estate Investment
Trust 105,100
3,013 +Waste Connections, Inc. 77,020
1,800 +WatchGuard Technologies, Inc. 90,000
2,955 Watsco, Inc. 27,836
2,424 Watts Industries, Inc. (Class A) 27,119
8,103 +Wausau -- Mosinee Paper
Corporation 70,901
7,163 +Wave Systems Corp. (Class A) 82,822
843 +Waypoint Financial Corp. 8,114
7,962 +WebLink Wireless, Inc. 63,198
1,992 +WebTrends Corporation 64,024
300 +Websense, Inc. 5,400
8,562 Webster Financial Corporation 208,699
4,326 Weingarten Realty Investors 181,422
3,700 Weirton Steel Corporation 8,788
5,872 Wellman, Inc. 88,080
4,397 +Werner Enterprises, Inc. 61,558
2,957 WesBanco, Inc. 68,565
1,365 West Pharmaceuticial Services,
Inc. 30,030
6,200 +Westamerica Bancorporation 222,813
6,100 WestPoint Stevens Inc. 43,844
</TABLE>
Continued
69
<PAGE> 70
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
1,383 Westcorp $ 21,437
4,288 +Westell Technologies, Inc. 23,584
21,333 +Western Digital Corporation 127,998
3,647 Western Gas Resources, Inc. 80,006
3,625 Western Properties Trust 45,992
11,600 Western Resources, Inc. 247,950
5,641 Westfield America, Inc. 78,974
2,900 +White Electronic Desgins
Corporation 27,731
2,763 +Whitehall Jewellers, Inc. 22,104
3,604 Whitney Holding Corporation 133,123
4,431 +Whole Foods Market, Inc. 204,934
3,817 +Wild Oats Markets, Inc. 24,095
1,200 Wilsons The Leather Experts, Inc. 18,375
3,300 +Wink Communications, Inc. 33,825
1,795 Winnebago Industries, Inc. 20,643
8,740 +Wisconsin Central Transportation
Corporation 111,981
12,200 +Wit Soundview Group, Inc. 86,925
1,139 +Wolverine Tube, Inc. 15,519
6,329 Wolverine World Wide, Inc. 68,432
1,200 +Women.com Networks, Inc. 1,763
1,500 Woodhead Industries, Inc. 33,000
1,244 Woodward Governor Company 55,708
7,335 +World Access, Inc. 35,758
2,300 +World Wrestling Federation
Entertainment, Inc. 34,788
2,271 +WorldGate Communications, Inc. 42,439
4,727 +WorldPages.com, Inc. 12,113
12,294 Worthington Industries, Inc. 117,561
21,864 +Wyndham International, Inc. 35,529
2,200 +XM Satellite Radio Holdings Inc.
(Class A) 63,800
2,500 +X-Rite, Incorporated 16,875
1,822 +XTRA Corporation 82,901
2,375 +Xceed Inc. 1,855
3,207 +Xircom, Inc. 45,299
1,100 +Xpedior Incorporated 2,063
4,700 +Xybernaut Corporation 22,178
2,000 +The Yankee Candle Company, Inc. 29,375
4,653 +Yellow Corporation 83,754
6,500 York International Corporation 176,719
1,833 +Young Broadcasting Inc. (Class
A) 45,481
5,900 +Zale Corporation 199,863
4,327 +Zebra Technologies Corporation
(Class A) 189,577
1,141 Zenith National Insurance Corp. 25,958
2,649 +ZixIt Corporation 64,735
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
1,600 +Zoll Medical Corporation $ 79,300
4,908 +Zomax Incorporated 29,755
2,200 +Zoran Corporation 110,275
1,600 +Z-Tel Technologies, Inc. 13,900
2,000 +Zygo Corporation 99,000
------------
TOTAL COMMON STOCKS
(cost $150,506,489) 146,924,516
------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
SHORT-TERM OBLIGATIONS
COMMERCIAL PAPER*
7,000,000 The CIT Group Holdings, Inc.,
6.64% due 11/01/2000 7,000,000
7,000,000 General Electric Capital Corp.,
6.64% due 11/01/2000 7,000,000
3,781,000 General Motors Acceptance Corp.,
6.63% due 11/01/2000 3,781,000
------------
TOTAL SHORT-TERM OBLIGATIONS
(cost $17,781,000) 17,781,000
------------
TOTAL INVESTMENTS -- 97.9%
(cost $168,287,489) 164,705,516
VARIATION MARGIN ON FINANCIAL
FUTURES CONTRACTS** -- 0.3% 489,339
OTHER ASSETS LESS
LIABILITIES -- 1.8% 3,076,625
------------
NET ASSETS -- 100.0% $168,271,480
============
</TABLE>
-------------------------------------------------------
* Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the series.
+ Non-income producing security.
** Financial futures contracts purchased as of October 31, 2000 were as follows:
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION
CONTRACTS ISSUE DATE VALUE
--------- ----------------------- ---------- -----------
<C> <S> <C> <C>
December
85 Russell 2000 2000 $21,271,250
-----------
(Total contract price $22,356,476) $21,271,250
===========
</TABLE>
See accompanying notes to the financial statements.
70
<PAGE> 71
MASTER SMALL CAP INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
OCTOBER 31, 2000
----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $168,287,489) $164,705,516
Cash on deposit for financial futures contracts 1,657,500
Cash 64,092
Receivables:
Securities sold $18,943,502
Variation margin 489,339
Contributions 291,696
Dividends 130,386 19,854,923
-----------
Prepaid expenses and other assets 40,429
------------
Total Assets 186,322,460
------------
LIABILITIES:
Payables:
Securities purchased 17,842,337
Withdrawals 156,558
Investment adviser 670 17,999,565
-----------
Accrued expenses and other liabilities 51,415
------------
Total Liabilities 18,050,980
------------
NET ASSETS:
Net assets $168,271,480
============
NET ASSETS CONSIST OF:
Partners' capital $172,938,679
Unrealized depreciation on investments -- net (4,667,199)
------------
Net assets $168,271,480
============
</TABLE>
71
<PAGE> 72
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (84.2%)
3,700 +3Com Corporation $ 65,675
400 A. Schulman, Inc. 4,375
800 A.G. Edwards, Inc. 40,600
1,100 A.H. Belo Corporation (Class A) 21,106
700 +ACNielsen Corporation 16,756
300 AGCO Corporation 3,412
500 AGL Resources Inc. 10,187
1,000 AK Steel Holding Corporation 9,250
600 ALLETE 12,937
200 AMETEK, Inc. 4,350
400 +ANTEC Corporation 4,875
1,100 +Abercrombie & Fitch Co. (Class A) 25,919
200 +Acuson Corporation 4,562
1,000 +Acxiom Corp. 40,250
400 +Adtran, Inc. 15,200
600 +Affiliated Computer Services,
Inc. (Class A) 33,412
500 Airborne Freight Corporation 5,062
300 +Airgas, Inc. 2,025
300 +Alaska Air Group, Inc. 7,781
100 +Albany International Corp. (Class
A) 1,075
300 Albemarle 6,956
300 Alexander & Baldwin, Inc. 7,481
1,100 Allegheny Energy, Inc. 45,031
800 Alliant Energy Corporation 24,250
500 Allmerica Financial Corporation 31,531
700 Ambac Financial Group, Inc. 55,869
500 +American Eagle Outfitters, Inc. 17,219
400 American Financial Group, Inc. 8,575
700 +American Standard Companies,
Inc. 32,112
900 American Water Works Company,
Inc. 21,937
500 +AmeriSource Health Corporation
(Class A) 21,719
700 +Apollo Group, Inc. (Class A) 27,387
700 +Apria Healthcare Group Inc. 14,000
100 Arnold Industries, Inc. 1,756
1,000 +Arrow Electronics, Inc. 32,000
700 ArvinMeritor, Inc. 11,725
740 Associated Banc-Corp 17,806
600 Astoria Financial Corporation 22,500
400 +Atlas Air, Inc. 14,500
5,600 +Atmel Corporation 83,650
1,000 Avnet, Inc. 26,875
500 +Avocent Corporation 35,469
800 +BJ Services Company 41,950
800 +BJ's Wholesale Club, Inc. 26,350
100 Bandag, Incorporated 3,569
1,500 Banknorth Group, Inc. 27,187
100 Banta Corporation 2,306
800 +Barnes & Noble, Inc. 15,100
300 Beckman Coulter Inc. 21,019
1,100 Bergen Brunswig Corporation (Class
A) 9,969
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
500 +Beverly Enterprises, Inc. $ 2,500
100 Black Hills Corporation 3,125
400 Blyth, Inc. 10,400
200 Bob Evans Farms, Inc. 3,762
600 +Borders Group, Inc. 8,325
300 BorgWarner, Inc. 11,325
600 Bowater Incorporated 32,475
700 +Brinker International, Inc. 27,475
2,300 +Broadwing Inc. 64,975
500 C.H. Robinson Worldwide, Inc. 27,344
600 CBRL Group, Inc. 10,725
900 +CDW Computer Centers, Inc 57,994
500 CNF Transportation Inc. 13,344
600 +CSG Systems International, Inc. 27,862
800 Cabot Corporation 17,600
368 +Cabot Microelectronics
Corporation 16,261
2,600 +Cadence Design Systems, Inc. 66,787
900 Callaway Golf Compnay 14,400
1,400 +Calpine Corporation 110,512
600 +Cambridge Technology Partners,
Inc. 2,325
400 Carlisle Companies Incorporated 16,650
300 Carpenter Technology Corporation 9,300
400 Carter-Wallace, Inc. 10,975
800 +CheckFree Corp. 39,800
1,900 +Chiron Corporation 82,294
306 +Chris-Craft Industries, Inc. 22,491
200 Church & Dwight Co., Inc. 3,950
1,800 Cintas Corporation 83,475
700 +Cirrus Logic, Inc. 30,187
500 City National Corporation 17,187
500 Claire's Stores, Inc. 10,062
1,000 Clayton Homes, Inc. 9,187
200 Cleco Corporation 9,512
1,300 Comdisco, Inc. 16,006
600 +CommScope, Inc. 15,187
1,400 Compass Bancshares, Inc. 25,462
2,200 +Concord EFS, Inc. 90,887
1,100 Conectiv, Inc. 19,731
540 +Cooper Cameron Corporation 29,430
300 +Covance Inc. 2,587
400 +Credence Systems Corporation 7,500
900 Crompton Corporation 7,200
1,200 +Cypress Semiconductor Corporation 44,925
500 +Cytec Industries Inc. 17,312
500 DENTSPLY International Inc. 17,344
1,270 DPL Inc. 36,036
700 DQE, Inc. 24,456
300 +DSP Group, Inc. 8,512
1,300 +DST Systems, Inc. 80,112
700 +DeVry, Inc. 25,856
400 Dean Foods Company 12,800
1,200 The Dial Corporation 13,425
</TABLE>
Continued
72
<PAGE> 73
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
800 Diebold, Incorporated $ 20,800
1,000 Dime Bancorp, Inc. 24,437
300 Dole Food Company, Inc. 3,619
1,050 +Dollar Tree Stores, Inc. 41,081
300 Donaldson Company, Inc. 6,787
200 Dreyer's Grand Ice Cream, Inc. 4,925
3,000 +E*TRADE Group, Inc. 43,687
600 +EGL, Inc. 17,100
1,500 ENSCO International Incorporated 49,875
500 +Edwards Lifesciences Corporation 6,719
1,400 +Electronic Arts Inc. 70,000
900 +Energizer Holdings, Inc. 17,775
1,200 Energy East Corporation 24,225
500 Everest Re Group, Ltd. 29,312
400 +Express Scripts, Inc. (Class A) 26,875
1,600 Family Dollar Stores, Inc. 31,100
400 Fastenal Company 22,975
700 Federal-Mogul Corporation 2,275
400 Federal Signal Corporation 9,350
200 Ferro Corporation 4,100
600 +First Health Group Corp. 23,400
1,300 First Tennessee National
Corporation 29,900
400 First Virginia Banks, Inc. 16,550
800 FirstMerit Corporation 18,250
1,300 +Fiserv, Inc. 68,169
1,200 Flowers Industries, Inc. 18,450
400 +Flowserve Corporation 8,050
900 +Forest Laboratories, Inc. 119,250
1,200 +Foundation Health Systems, Inc.
(Class A) 24,225
700 +Furniture Brands International,
Inc. 11,812
400 GATX Corporation 16,825
300 +GTECH Holdings Corporation 5,194
1,000 Galileo International, Inc. 19,750
700 +Gartner Group, Inc. (Class B) 6,125
900 +Genzyme Corporation 63,900
700 Georgia-Pacific Corporation
(Timber Group) 19,819
500 +Gilead Sciences, Inc. 43,000
1,800 +Global Marine Inc. 47,700
200 Granite Construction Incorporated 4,562
1,200 +Grant Prideco, Inc. 22,275
500 Greater Bay Bancorp 16,281
1,000 GreenPoint Financial Corp. 29,750
200 H.B. Fuller Company 6,762
500 HON INDUSTRIES Inc. 12,031
400 HSB Group, Inc. 15,825
600 +Hanover Compressor Company 19,575
800 Harris Corporation 25,350
300 Harsco Corporation 6,056
600 Harte-Hanks, Inc. 13,275
300 Hawaiian Electric Industries,
Inc. 9,881
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,500 +Health Management Associates,
Inc. (Class A) $ 49,531
600 Helmerich & Payne, Inc. 18,862
900 Herman Miller, Inc. 23,513
1,500 Hibernia Corporation (Class A) 17,906
700 Hillenbrand Industries, Inc. 32,375
1,100 +Hispanic Broadcasting Corporation 34,375
400 Horace Mann Educators Corporation 6,725
1,300 Hormel Foods Corporation 21,856
400 Houghton Mifflin Company 14,725
800 Hubbell Incorporated (Class B) 19,150
1,000 IBP, inc 20,562
800 ICN Pharmaceuticals, Inc. 30,450
400 IDAcorp Inc. 19,725
500 +IDEC Pharmaceuticals Corporation 98,062
1,400 IMC Global Inc. 18,112
1,000 IPALCO Enterprises, Inc. 22,437
1,700 +IVAX Corporation 73,950
400 +Imation Corp. 7,925
400 +InFocus Corporation 17,675
600 +Incyte Pharmaceuticals, Inc. 21,975
2,800 +Informix Corporation 11,900
1,100 +Integrated Device Technology,
Inc. 61,944
855 +International Game Technology 31,314
600 +International Rectifier Corp. 26,775
500 International Speedway Corp.
(Class A) 16,062
600 Interstate Bakeries Corporation 8,400
2,100 +Intuit Inc. 129,019
400 +Investment Technology Group,
Inc. 14,400
200 +J.B. Hunt Transport Services,
Inc. 2,612
200 The J.M. Smucker Company 4,450
2,000 +Jabil Circuit, Inc. 114,125
200 +Jacobs Engineering Group Inc. 8,275
1,200 +Jones Apparel Group, Inc. 33,375
700 Kansas City Power & Light Company 16,844
200 Kaydon Corp. 4,387
600 +Keane, Inc. 7,800
200 Kelly's Services, Inc. (Class A) 4,437
400 Kennametal Inc. 11,750
1,100 Kinder Morgan, Inc. 42,419
400 +Korn/Ferry International 14,000
400 +L-3 Communications Holdings,
Inc. 26,375
1,200 +LAM Research Corp. 23,250
1,500 LG&E Energy Corp. 36,844
400 Lancaster Colony Corporation 9,450
200 Lance, Inc. 2,012
300 +Land's End, Inc. 7,695
1,000 +Lattice Semiconductor Corporation 29,188
800 +Lear Corporation 21,800
300 Lee Enterprises, Incorporated 8,288
1,000 +Legato Systems, Inc. 8,906
600 Legg Mason, Inc. 31,163
</TABLE>
Continued
73
<PAGE> 74
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
700 Lennar Corporation $ 22,488
600 +Lincare Holdings Inc. 25,238
400 +Litton Industries, Inc. 20,775
600 Lone Star Steakhouse & Saloon,
Inc. 5,063
400 Longview Fibre Company 5,450
700 The Lubrizol Corporation 15,181
1,400 Lyondell Chemical Company 20,125
186 M&T Bank Corporation 9,326
100 +MAXXAM Inc. 1,900
1,000 MCN Energy Group Inc. 24,625
400 The MONY Group Inc. 16,450
500 +Macromedia, Inc. 38,531
200 +Magnetek, Inc. 2,175
900 +Mandalay Resort Group 18,731
900 Manpower Inc. 31,331
1,200 +MarchFirst, Inc. 6,975
1,000 Marshall & Ilsley Corporation 45,313
500 Martin Marietta Materials, Inc. 19,200
600 +MasTec, Inc. 17,363
700 McCormick & Company Incorporated 22,181
200 Media General, Inc. (Class A) 7,600
700 +Mentor Graphics Corporation 16,406
800 Mercantile Bankshares Corporation 30,100
800 +Micrel, Inc. 36,200
1,175 +Microchip Technology 37,159
2,100 +Millennium Pharmaceuticals, Inc. 152,381
300 Minerals Technologies, Inc. 9,394
600 +MiniMed Inc. 43,763
200 Modine Manufacturing Co. 5,275
500 +Modis Professional Services,
Inc. 2,063
700 +Mohawk Industries, Inc. 15,269
1,000 +The Montana Power Company 28,250
500 Murphy Oil Corporation 28,969
1,200 Mylan Laboratories, Inc. 33,600
200 +Mynd Corporation 2,550
300 +NCO Group, Inc. 6,563
700 +NOVA Corporation 10,981
600 NSTAR 23,213
700 +NVIDIA Corporation 43,498
1,990 National Commerce Bancorporation 42,288
500 National Fuel Gas Company 26,813
400 +The Neiman Marcus Group, Inc.
(Class A) 14,850
1,400 +Network Associates, Inc. 26,950
700 +The New Dun & Bradstreet
Corporation 15,137
400 Newport News Shipbuilding Inc. 19,675
1,400 NiSource Inc. 34,913
600 Noble Affiliates, Inc. 22,013
1,400 +Noble Drilling Corporation 58,188
200 Nordson Corporation 5,738
1,700 North Fork Bancorporation 34,319
1,600 Northeast Utilities 32,600
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
900 OGE Energy Corp. $ 18,506
1,600 +Ocean Energy Inc. 22,200
1,800 +OfficeMax, Inc. 5,175
500 +Ogden Corporation 6,875
600 Ohio Casualty Corporation 5,044
1,100 Old Republic International
Corporation 28,600
400 Olin Corporation 7,100
1,100 Omnicare, Inc. 19,250
900 +Outback Steakhouse, Inc. 25,650
200 Overseas Shipholding Group, Inc. 4,800
800 +Oxford Health Plans, Inc. 27,000
200 P.H. Glatfelter Company 2,087
500 The PMI Group, Inc. 36,938
700 +PSS World Medical, Inc. 2,100
300 +PacifiCare Health Systems, Inc. 3,131
1,000 Pacific Century Financial
Corporation 12,688
300 +Papa John's International, Inc. 7,538
3,000 +Park Place Entertainment
Corporation 38,250
305 +Payless ShoeSource, Inc. 17,671
1,100 Pennzoil-Quaker State Company 12,925
500 Pentair, Inc. 14,906
300 +Perrigo Company 1,988
1,200 +Pioneer Natural Resources Company 15,675
400 Pittston Brink's Group 6,350
700 +Polycom, Inc. 45,500
1,100 Potomac Electric Power Company 25,163
600 +Powerwave Technologies, Inc. 28,875
600 Precision Castparts Corp. 22,650
600 +Price Communications Corporation 12,975
500 Protective Life Corporation 11,563
100 +Protein Design Labs, Inc. 13,508
600 Provident Financial Group, Inc. 18,150
500 Public Service Company of New
Mexico 13,781
1,000 Puget Sound Energy, Inc. 24,563
900 +QLogic Corporation 87,075
600 +Quanta Services, Inc. 18,638
1,500 +Quantum Corporation-DLT & Storage
Systems 22,500
450 +Quest Diagnostics Incorporated 43,313
900 Questar Corporation 24,356
800 +Quorum Health Group, Inc. 10,700
1,000 R.J. Reynolds Tobacco Holdings,
Inc. 35,750
900 RPM, Inc. 8,044
2,000 +Rational Software Corporation 119,375
300 Rayonier Inc. 10,556
1,000 The Reader's Digest Association,
Inc. (Class A) 36,688
500 +Retek Inc. 19,719
700 Reynolds & Reynolds Company (Class
A) 12,513
1,900 +Robert Half International Inc. 57,950
</TABLE>
Continued
74
<PAGE> 75
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
100 Rollins, Inc. $ 1,806
775 Roslyn Bancorp, Inc. 16,808
1,000 Ross Stores, Inc. 13,188
200 Ruddick Corporation 2,625
100 Ryerson Tull, Inc. 750
979 SCANA Corporation 25,944
1,500 +SCI Systems, Inc. 64,500
400 SEI Investments Company 36,300
300 +SPX Corporation 37,088
600 +STERIS Corporation 9,000
1,100 +Saks Incorporated 11,206
500 +Sawtek Inc. 25,438
200 +Scholastic Corporation 16,000
600 +Semtech Corporation 19,350
900 +Sensormatic Electronics
Corporation 16,200
800 +Sepracor Inc. 54,500
100 +Sequa Corporation (Class A) 3,688
1,200 Shaw Industries, Inc. 22,275
700 Sierra Pacific Resources 12,031
500 +Silicon Valley Bancshares 23,125
600 +Six Flags, Inc. 9,375
500 +Smith International, Inc. 35,250
1,100 Solutia Inc. 14,025
800 Sonoco Products Company 15,450
600 +Sotheby's Holdings, Inc. (Class
A) 16,313
400 Southdown, Inc. 28,350
1,800 Sovereign Bancorp, Inc. 14,963
400 Stewart & Stevenson Services,
Inc. 9,600
1,000 +Storage Technology Corporation 9,750
400 +Structural Dynamics Research
Corporation 4,125
2,100 Stryker Corporation 98,963
300 +Suiza Foods Corporation 13,894
1,400 +Sungard Data Systems Inc. 71,575
200 Superior Industries International,
Inc. 6,813
500 +Swift Transportation Co., Inc. 7,125
1,000 +Sybase, Inc. 20,938
1,000 +Sybron International Corporation 24,750
400 +Sykes Enterprises, Incorporated 2,150
300 +Sylvan Learning System, Inc. 4,631
600 +Symantec Corporation 23,438
1,450 Symbol Technologies, Inc. 65,884
700 +Synopsys, Inc. 24,413
900 TCF Financial Corporation 36,394
1,400 TECO Energy, Inc. 39,025
500 +Tech Data Corporation 20,813
200 Tecumseh Products Company (Class
A) 7,975
400 Teleflex Incorporated 13,825
600 Telephone and Data Systems, Inc. 63,300
600 Tidewater Inc. 27,713
570 +The Titan Corporation 7,624
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
300 +Transaction Systems Architects,
Inc. (Class A) $ 4,050
800 +TranSwitch Corporation 46,200
400 +Trigon Healthcare, Inc. 28,675
400 Trinity Industries, Inc. 9,625
800 +TriQuint Semiconductor, Inc. 30,650
500 True North Communications Inc. 18,844
2,200 Tyson Foods, Inc. (Class A) 24,613
300 +UCAR International Inc. 2,475
500 USG Corporation 8,531
1,000 Ultramar Diamond Shamrock
Corporation 26,250
300 +Unifi, Inc. 2,606
600 +United Rentals, Inc. 12,900
600 Unitrin, Inc. 18,638
200 Universal Corporation 5,600
600 +Universal Foods Corporation 11,850
2,200 +Univision Communications Inc.
(Class A) 84,150
1,100 UtiliCorp United Inc. 29,219
600 +VISX, Incorporated 12,863
600 +Valassis Communications, Inc. 16,650
700 Valero Energy Corporation 23,144
500 The Valspar Corporation 13,655
1,152 +Varco International, Inc. 19,872
500 Vectren Corporation 11,563
100 +Vertex Pharmaceuticals
Incorporated 9,311
800 Viad Corp. 17,100
1,400 +Vishay Intertechnology, Inc. 42,000
1,870 +Vitesse Semiconductor Corporation 130,783
800 Waddell & Reed Financial, Inc.
(Class A) 25,500
500 Wallace Computer Services, Inc. 7,250
800 The Warnaco Group, Inc. 2,100
400 +Washington Gas Light Company 10,200
99 The Washington Post Company 52,878
1,600 +Waters Corporation 116,100
200 Wausau -- Mosinee Paper
Corporation 1,750
1,100 +Weatherford International, Inc. 40,150
500 Webster Financial Corporation 12,188
300 Wellman, Inc. 4,500
500 Westamerica Bancorporation 17,969
850 Western Resources, Inc. 18,169
300 WestPoint Stevens Inc. 2,156
1,100 +Westwood One, Inc. 20,831
1,300 Whitman Corporation 16,900
700 +Williams-Sonoma, Inc. 14,569
400 Wilmington Trust Corporation 21,050
700 +Wind River Systems, Inc. 28,744
700 +Wisconsin Central Transportation
Corporation 8,969
1,400 Wisconsin Energy Corporation 26,338
</TABLE>
Continued
75
<PAGE> 76
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
400 York International Corporation $ 10,875
1,000 Zions Bancorporation 57,438
-----------
TOTAL COMMON STOCKS
(cost $9,103,776) 9,574,318
-----------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
SHORT-TERM OBLIGATIONS
US GOVERNMENT AGENCY OBLIGATIONS*
$1,283,000 Student Loan Marketing
Association, 6.45% due 11/01/2000 1,283,000
TOTAL SHORT-TERM OBLIGATIONS
(cost $1,283,000) 1,283,000
-----------
TOTAL INVESTMENTS -- 95.5%
(cost $10,386,776) 10,857,318
VARIATION MARGIN ON FINANCIAL
FUTURES CONTRACTS** -- 0.1% 8,500
OTHER ASSETS LESS
LIABILITIES -- 4.4% 506,232
-----------
NET ASSETS -- 100.0% $11,372,050
===========
</TABLE>
-------------------------------------------------------
+ Non-income producing security.
* US Government Agency Obligations are traded on a discount basis; the interest
rate shown reflects the discount rate paid at the time of purchase by the
series.
** Financial futures contracts purchased as of October 31, 2000:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
CONTRACTS ISSUE DATE VALUE
--------- ---------------------- ------------- --------
<C> <S> <C> <C>
2 S&P Midcap December 2000 $521,250
--------
(Total Contract Price $512,890) $521,250
========
</TABLE>
76
<PAGE> 77
MASTER MID CAP INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
OCTOBER 31, 2000
----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $10,386,776) $10,857,318
Deposits on open financial futures contracts 163,627
Receivables:
Contributions $1,071,462
Investment adviser 59,696
Variation margin 8,500
Securities sold 6,550
Dividends 4,991 1,151,199
----------
Prepaid expenses and other assets 14,438
-----------
Total Assets 12,186,582
-----------
LIABILITIES:
Payables:
Custodian bank 710,483
Securities purchased 42,954
Withdrawals 505 753,942
----------
Accrued expenses and other liabilities 60,590
-----------
Total Liabilities 814,532
-----------
NET ASSETS:
Net assets $11,372,050
===========
NET ASSETS CONSIST OF:
Partners' capital $10,893,148
Unrealized appreciation on investments -- net 478,902
-----------
Net assets $11,372,050
===========
</TABLE>
77
<PAGE> 78
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
AUSTRALIA (2.4%)
1,862 AMP Limited $ 16,779
1,262 Amcor Limited 3,499
979 Australian Gas Light Company Limited 5,898
1,506 Boral Limited 1,522
445 Brambles Industries Limited 11,534
3,161 Broken Hill Proprietary Company
Limited 30,631
2,249 CSR Limited 4,605
2,444 Coles Myer Limited 8,853
2,252 Commonwealth Bank of Australia 33,503
1,277 Computershare Limited 5,526
4,020 Foster's Brewing Group Limited 9,103
1,014 Lend Lease Corporation Limited 11,869
6,779 M.I.M. Holdings Limited 3,759
2,664 National Australia Bank Limited 36,997
3,122 The News Corporation Limited 32,645
3,846 The News Corporation Limited
(Preferred) 34,482
2,613 Normandy Mining Limited 1,259
790 OneSteel Limited(a) 377
1,556 Origin Energy Limited 1,669
420 Paperlinx Limited(a) 718
1,332 QBE Insurance Group Limited 6,141
654 Rio Tinto Limited 8,975
1,916 Santos Limited 6,096
1,558 Southcorp Limited 4,024
799 TABCORP Holdings Limited 4,342
13,550 Telstra Corporation Limited 44,208
2,286 WMC Limited 8,736
4,113 Westfield Trust 6,626
3,043 Westpac Banking Corporation Limited 20,774
2,088 Woolworths Limited 8,317
-----------
TOTAL INVESTMENTS IN AUSTRALIA
(cost $437,810) 373,467
-----------
AUSTRIA (0.2%)
203 Bank Austria AG 10,969
67 Boehler-Uddeholm AG 2,101
65 Mayr-Melnhof Karton AG 2,521
57 OMV AG 3,863
52 Oesterreichische
Elektrizitaetswirtschafts-AG
"Verbund" 'A'(a) 4,186
45 VA Technologie AG 1,819
-----------
TOTAL INVESTMENTS IN AUSTRIA
(cost $31,811) 25,459
-----------
BELGIUM (0.7%)
91 Delhaize "Le Lion" SA 4,165
101 Electrabel SA 21,907
1,304 Fortis (B) 39,900
49 Groupe Bruxelles Lambert SA 11,214
550 KBC Bancassurance Holding 22,750
151 Solvay SA 7,679
292 UCB SA 10,395
-----------
TOTAL INVESTMENTS IN BELGIUM
(cost $138,574) 118,010
-----------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
DENMARK (0.8%)
1 A/S Dampskibsselskabet Svendborg 'B' $ 13,210
72 Bang & Olufsen Holding A/S 'B' 3,509
133 Carlsberg A/S 'B' 5,559
2 D/S 1912 'B' 19,132
171 Danisco A/S 6,757
102 Danske Bank 14,752
60 ISS A/S(a) 3,690
14 NKT Holding A/S 3,308
46 Navision Software A/S(a) 1,257
127 Novo Nordisk A/S 'B' 26,901
363 Tele Danmark A/S 17,156
240 Vestas Wind Systems A/S 12,982
48 William Demant A/S 2,296
-----------
TOTAL INVESTMENTS IN DENMARK
(cost $127,474) 130,509
-----------
FINLAND (2.4%)
53 Finnlines Oyj 867
383 Metso Oyj(a) 2,922
7,966 Nokia Oyj 327,404
53 Pohjola Group Insurance Corporation
'B' 1,923
360 Raisio Group PLC 543
110 Sampo Insurance Company Ltd. 'A' 4,475
24 Sanitec Oyj(a) 148
1,326 Sonera Oyj 29,177
180 Tietoenator Oyj 3,456
474 UPM-Kymmene Oyj 13,399
122 Wartsila Oyj 'B' 1,965
-----------
TOTAL INVESTMENTS IN FINLAND
(cost $456,320) 386,279
-----------
FRANCE (10.5%)
352 Accor SA 14,231
171 Air Liquide 20,190
1,902 Alcatel 115,912
1,182 Aventis SA 85,158
668 Axa 88,327
776 Banque Nationale de Paris (BNP) 66,826
590 Bouygues SA 30,005
222 Canal Plus 32,082
212 Cap Gemini SA 33,782
1,202 Carrefour SA 80,588
20 Club Mediterranee SA(a) 1,577
297 Compagnie Generale des
Etablissements Michelin 'B' 8,584
141 Compagnie de Saint Gobain 18,632
137 Dassault Systemes SA 10,433
157 Etablissements Economiques du Casino
Guichard-Perrachon SA 13,693
1,729 France Telecom SA 180,550
264 Groupe Danone 36,877
1,164 L'Oreal SA 88,795
856 LVMH (Louis Vuitton Moet Hennessy) 62,397
185 Lafarge SA (Ordinary) 13,642
230 Lagardere S.C.A. 13,042
82 PSA Peugeot Citroen 15,082
</TABLE>
Continued
78
<PAGE> 79
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
FRANCE (CONTINUED)
180 Pechiney SA 'A' $ 6,713
101 Pernod Ricard 4,623
217 Pinault-Printemps-Redoute SA 38,680
279 Publicis SA 9,116
1,513 STMicroelectronics NV 76,240
48 Sagem SA (New Shares) 8,862
1,266 Sanofi-Synthelabo SA(a) 66,530
291 Schneider SA 18,930
49 Sidel SA 2,573
741 Societe Generale 'A' 42,018
282 Societe Generale d'Entreprises SA 14,162
45 Sodexho Alliance 7,037
349 Suez Lyonnaise des Eaux SA 53,187
333 Thomson CSF 14,931
1,267 Total Fina SA 'B' 181,061
606 Usinor SA 6,600
175 Valeo SA 7,609
1,055 Vivendi 75,740
-----------
TOTAL INVESTMENTS IN FRANCE
(cost $1,793,264) 1,665,017
-----------
GERMANY (8.1%)
107 Adidas-Salomon AG 4,906
419 Allianz AG (Registered Shares) 141,898
1,086 BASF AG 42,527
1,281 Bayer AG 55,537
160 Beiersdorf AG 15,325
238 Buderus AG 4,505
1,735 DaimlerChrysler AG 79,853
1,059 Deutsche Bank AG (Registered Shares) 86,601
683 Deutsche Lufthansa AG (Registered
Shares) 13,315
5,166 Deutsche Telekom AG (Registered
Shares) 193,758
916 Dresdner Bank AG (Registered Shares) 38,121
267 EM.TV & Merchandising AG(a) 7,919
121 Fresenius Medical Care AG 9,617
126 Gehe AG 4,582
35 Heidelberger Zement AG 1,661
741 HypoVereinsbank 40,668
130 Kamps AG 2,066
59 Karstadt AG 1,923
253 Linde AG 10,979
87 MAN AG 2,291
168 Merck KGaA 6,379
543 Metro AG 21,862
309 Muenchener Rueckversicherungs-
Gesellschaft AG (Registered Shares) 97,037
338 Preussag AG 10,998
847 RWE AG 33,922
221 RWE AG (Preferred) 6,708
255 SAP AG (Systeme, Anwendungen,
Produkte in der Datenverarbeitung) 41,909
234 SAP AG (Systeme, Anwendungen,
Produkte in der Datenverarbeitung)
(Preferred) 47,107
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
GERMANY (CONTINUED)
344 Schering AG $ 19,244
1,019 Siemens AG 129,599
844 Thyssen Krupp AG(a) 12,018
1,304 Veba AG 66,206
562 Volkswagen AG 28,043
215 WCM Beteiligungs-und Grundbesitz AG 4,200
-----------
TOTAL INVESTMENTS IN GERMANY
(cost $1,475,732) 1,283,284
-----------
HONG KONG (1.9%)
2,272 Bank of East Asia, Ltd. 5,127
3,500 CLP Holdings Limited 16,335
6,000 Cathay Pacific Airways 10,886
3,300 Hang Seng Bank Limited 38,928
3,000 Henderson Land Development Company
Limited 12,925
7,700 Hong Kong and China Gas Company Ltd. 9,725
7,400 Hutchison Whampoa Limited 92,036
5,500 Johnson Electric Holdings Limited 11,072
4,000 Li & Fung Limited 7,437
3,039 New World Development Company Ltd. 3,604
25,108 Pacific Century CyberWorks
Limited(a) 19,316
3,000 QPL International Holdings
Limited(a) 1,693
6,000 Sino Land Company Limited 2,673
4,000 Sun Hung Kai Properties Ltd. 32,824
21 Sunevision Holdings Limited(a) 10
3,000 Swire Pacific Limited 'A' 18,502
1,000 Television Broadcasts Ltd. 5,475
5,000 Wharf (Holdings) Ltd. 10,193
-----------
TOTAL INVESTMENTS IN HONG KONG
(cost $354,532) 298,761
-----------
IRELAND (0.3%)
1,641 Allied Irish Banks PLC 16,688
255 CRH PLC 3,865
354 DCC PLC 3,045
1,473 Fyffes PLC 1,086
1,018 Greencore Group PLC 2,373
167 Irish Continental Group PLC 920
770 Irish Life & Permanent PLC 7,708
1,387 Jefferson Smurfit Group PLC 2,469
268 Jurys Doyle Hotel Group PLC 2,033
320 Ryanair Holdings PLC(a) 2,509
1,460 Tullow Oil PLC(a) 1,423
1,651 Waterford Wedgwood PLC(a) 2,015
1,810 eircom PLC 5,047
-----------
TOTAL INVESTMENTS IN IRELAND
(cost $57,184) 51,181
-----------
ITALY (4.2%)
980 Alitalia SpA(a) 1,653
2,140 Assicurazioni Generali 70,287
249 Autogrill SpA 2,746
8,867 Banca Intesa SpA 36,752
588 Banca Popolare di Milano (BPM) 3,688
10,310 Banca di Roma SpA 10,853
</TABLE>
Continued
79
<PAGE> 80
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
ITALY (CONTINUED)
2,795 Benetton Group SpA $ 5,070
204 Bulgari SpA 2,398
13,850 ENI SpA 74,896
12,741 Enel SpA(a) 47,193
654 Fiat SpA 15,189
1,109 Immsi SpA(a) 1,222
501 Italgas SpA 2,068
645 La Rinascente SpA 3,291
2,083 Mediaset SpA 30,103
855 Mediobanca SpA 9,501
378 Mondadori (Arnoldo) Editore SpA 4,421
8,756 Olivetti SpA(a) 26,495
4,343 Parmalat Finanziaria SpA 6,258
3,861 Pirelli SpA 11,192
1,290 Riunione Adriatica di Sicurta SpA 16,915
2,503 San Paolo-IMI SpA 40,521
1,109 Sirti SpA 1,589
2,288 Telecom Italia Mobile (TIM) SpA 12,121
11,427 Telecom Italia Mobile (TIM) SpA 97,049
6,423 Telecom Italia SpA 74,312
1,817 Telecom Italia SpA (Registered
Shares) 9,872
8,795 Unicredito Italiano SpA 44,728
-----------
TOTAL INVESTMENTS IN ITALY
(cost $694,484) 662,383
-----------
JAPAN (23.7%)
200 Acom Co., Ltd. 16,174
200 Advantest Corporation 26,065
1,000 Ajinomoto Co., Inc. 11,173
1,000 Alps Electric Co., Ltd. 19,782
1,000 Amada Co., Ltd. 7,785
100 Aoyamma Trading Co., Ltd. 815
5,000 The Asahi Bank, Ltd. 19,690
1,000 Asahi Breweries Limited 9,873
3,000 Asahi Chemical Industry Co., Ltd. 18,573
2,000 Asahi Glass Company, Limited 20,515
100 Asatsu-Dk Inc. 2,665
1,000 The Bank of Fukuoka, Ltd. 4,909
8,000 The Bank of Tokyo-Mitsubishi, Ltd. 95,906
2,000 The Bank of Yokohama, Ltd. 9,799
200 Benesse Corporation 10,990
2,000 Bridgestone Corp. 19,819
100 CSK Corporation 1,365
2,000 Canon, Inc. 79,311
1,000 Casio Computer Co., Ltd. 10,074
3 Central Japan Railway Company 18,271
1,000 Chugai Pharmaceutical Co., Ltd. 16,961
1,000 The Chuo Trust & Banking Co., Ltd. 3,050
1,000 Citizen Watch Co. 9,809
400 Credit Saison Co., Ltd. 8,462
1,000 Dai Nippon Printing Co., Ltd. 15,661
1,000 The Daiei, Inc. 1,703
1,000 Daiichi Pharmaceutical Co., Ltd. 28,391
2,000 The Daiwa Bank, Ltd. 4,066
1,000 Daiwa House Industry Co., Ltd. 6,273
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
JAPAN (CONTINUED)
2,000 Daiwa Securities Group Inc. $ 22,145
1,000 Denki Kagaku Kogyo Kabushiki Kaisha 3,590
1,000 Denso Corporation 22,804
7 East Japan Railway Company 40,196
1,000 Ebara Corporation 15,523
1,000 Eisai Company, Ltd. 30,772
400 Fanuc Ltd. 35,901
100 Fuji Machine Mfg. Co., Ltd. 2,729
1,000 Fuji Photo Film 37,091
100 Fuji Soft ABC Incorporated 6,576
1 Fuji Television Network,
Incorporated 10,990
1,000 Fujikura Ltd. 8,810
4,000 Fujitsu Limited 71,215
1,000 The Furukawa Electric Co., Ltd. 26,284
100 Hirose Electric Co., Ltd. 11,540
6,000 Hitachi Ltd. 64,292
2,000 Honda Motor Co., Ltd. 69,054
1,000 Ito-Yokado Co., Ltd. 45,151
3,000 Itochu Corporation(a) 12,776
1,000 JGC Corporation 6,237
3,000 Japan Airlines Company, Ltd. (JAL) 12,007
3 Japan Tobacco, Inc. 20,606
2,000 Kajima Corporation 5,202
1,200 Kansai Electric Power Company, Inc. 19,639
1,000 Kao Corporation 29,948
2,000 Kawasaki Heavy Industries Ltd.(a) 2,070
7,000 Kawasaki Steel Corporation(a) 6,860
2,000 Kinki Nippon Railway Co., Ltd. 8,664
2,000 Kirin Brewery Company, Ltd. 20,844
2,000 Komatsu Ltd. 8,865
200 Konami Co., Ltd. 16,851
2,000 Kubota Corporation 6,722
1,000 Kuraray Co., Ltd. 9,387
300 Kyocera Corporation 39,015
1,000 Kyowa Hakko Kogyo Co., Ltd. 7,995
2,000 Marubeni Corporation 4,671
1,000 Marui Co., Ltd. 14,745
4,000 Matsushita Electric Industrial
Company, Ltd. 116,128
100 Meitec Corp. 4,195
1,000 Minebea Company Ltd. 9,983
3,000 Mitsubishi Chemical Corporation 9,479
3,000 Mitsubishi Corporation 24,728
4,000 Mitsubishi Electric Corporation 28,721
3,000 Mitsubishi Estate Company, Limited 31,871
6,000 Mitsubishi Heavy Industries, Ltd.(a) 23,299
2,000 Mitsubishi Materials Corporation 5,880
2,000 Mitsubishi Trust & Banking Corp. 16,210
2,000 Mitsui & Co., Ltd. 13,280
2,000 Mitsui Fudosan Co., Ltd. 24,215
1,000 Mitsui Marine and Fire Insurance
Company, Ltd. 5,074
1,000 Mitsui Mining & Smelting Co., Ltd. 8,426
1,000 Mitsukoshi, Ltd.(a) 3,563
16 Mizuho Holdings, Inc. 122,942
</TABLE>
Continued
80
<PAGE> 81
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
JAPAN (CONTINUED)
3,000 NEC Corporation $ 57,148
1,000 NGK Insulators, Ltd. 13,234
1,000 NGK Spark Plug Co., Ltd. 15,377
1,000 NSK Limited 7,198
100 Namco Ltd. 2,583
100 Nichiei Co., Ltd. 440
100 Nidec Corporation 6,127
1,000 Nikon Corporation 14,525
200 Nintendo Company Ltd. 33,062
2,000 Nippon Express Co., Ltd. 11,997
1,000 Nippon Meat Packers, Inc. 12,675
3,000 Nippon Mitsubishi Oil Corp. 16,128
2,000 Nippon Paper Industries Co. Ltd. 11,393
1,000 Nippon Sheet Glass Company, Ltd. 15,203
12,000 Nippon Steel Corporation 19,452
20 Nippon Telegraph & Telephone
Corporation (NTT) 181,885
2,000 Nippon Yusen Kabushiki Kaisha 9,378
7,000 Nissan Motor Co., Ltd.(a) 48,017
1,000 Nisshinbo Industries Inc. 4,799
3,000 The Nomura Securities Co., Ltd. 63,605
1,000 Obayashi Corporation 4,140
1,000 Oji Paper Co., Ltd. 5,816
100 Oriental Land Co., Ltd. 6,045
200 Orix Corporation 20,973
2,000 Osaka Gas Co. 4,927
1,000 Pioneer Corporation 30,955
200 Promise Co., Ltd. 15,001
1,000 Renown Incorporated(a) 733
200 Rohm Company Ltd. 50,389
100 SMC Corporation 14,140
7,000 The Sakura Bank, Ltd. 50,966
1,000 Sankyo Company, Ltd. 22,026
3,000 Sanyo Electric Co., Ltd. 22,804
1,000 Secom Co., Ltd. 71,252
200 Sega Enterprises Ltd.(a) 1,420
1,000 Sekisui Chemical Co., Ltd. 2,885
2,000 Sekisui House, Ltd. 21,137
2,000 Sharp Corporation 25,460
1,000 Shin-Etsu Chemical Co., Ltd. 41,029
1,000 Shionogi & Co., Ltd. 19,507
1,000 Shiseido Company, Limited 12,913
1,000 The Shizuoka Bank, Ltd. 9,076
1,000 Snow Brand Milk Products Co., Ltd. 3,627
600 Softbank Corp. 35,992
1,500 Sony Corporation 119,791
6,000 The Sumitomo Bank, Ltd. 72,809
2,000 Sumitomo Chemical Co., Ltd. 9,854
2,000 Sumitomo Corporation 17,584
1,000 Sumitomo Electric Industries 18,454
1,000 Sumitomo Heavy Industries, Ltd. 1,951
1,000 The Sumitomo Marine & Fire Insurance
Co., Ltd. 6,099
1,000 Sumitomo Metal Industries, Ltd.(a) 550
1,000 Sumitomo Metal Mining Co. 5,156
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
JAPAN (CONTINUED)
1,000 Sumitomo Osaka Cement Co., Ltd. $ 4,259
1,000 Taisho Pharmaceutical Company, Ltd. 28,757
1,000 Takara Shuzo Co., Ltd. 16,842
1,000 Takeda Chemical Industries, Ltd. 65,849
300 Takefuji Corporation 29,673
2,000 Teijin Limited 9,048
1,000 Terumo Corporation 28,299
500 Tohoku Electric Power Co., Inc. 6,731
4,000 The Tokai Bank Ltd. 21,431
3,000 The Tokio Marine & Fire Insurance
Co. Ltd. 33,135
2,400 Tokyo Electric Power 58,247
5,000 Tokyo Gas Co. 13,051
2,000 Tokyu Corporation 10,331
1,000 Toppan Printing Co., Ltd. 8,829
3,000 Toray Industries, Inc. 11,677
6,000 Toshiba Corporation 42,861
1,000 Toto Limited 7,583
6,000 Toyota Motor Corporation 239,582
100 Trans Cosmos Inc. 7,226
100 Uni-Charm Corporation 4,277
100 World Co., Ltd. 3,718
1,000 Yamaha Corporation 8,609
1,000 Yamanouchi Pharmaceutical Co., Ltd. 45,242
1,000 Yamato Transport Co., Ltd. 20,194
1,000 Yokogawa Electric Corporation 7,840
-----------
TOTAL INVESTMENTS IN JAPAN
(cost $4,353,591) 3,746,669
-----------
NETHERLANDS (5.2%)
2,258 ABN AMRO Holding NV 52,249
746 ASM Lithography Holding NV(a) 20,367
2,248 Aegon NV 89,173
528 Akzo Nobel NV 24,010
230 Buhrmann NV 6,277
1,190 Elsevier NV 15,180
663 Getronics NV 7,446
191 Hagemeyer NV 4,509
449 Heineken NV 24,357
85 IHC Caland NV 3,746
1,706 ING Groep NV 117,014
1,675 KPN NV 33,889
2,199 Koninklijke (Royal) Philips
Electronics NV(a) 86,316
1,308 Koninklijke Ahold NV 37,949
101 Koninklijke Luchtvaart Maatschappij
NV (KLM)(a) 1,841
216 Oce NV 3,213
3,460 Royal Dutch Petroleum Company 204,966
881 TNT Post Group NV 18,638
1,007 Unilever NV 'A' 50,444
238 Vedior NV 'A' 3,540
476 Wolters Kluwer NV 'A' 10,700
-----------
TOTAL INVESTMENTS IN THE NETHERLANDS
(cost $871,172) 815,824
-----------
</TABLE>
Continued
81
<PAGE> 82
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
NEW ZEALAND (0.1%)
4,563 Carter Holt Harvey Limited $ 3,024
1,001 Fletcher Challenge Energy 3,278
529 Lion Nathan Limited 1,018
3,618 Telecom Corporation of New Zealand
Limited 8,013
-----------
TOTAL INVESTMENTS IN NEW ZEALAND
(cost $21,563) 15,333
-----------
NORWAY (0.4%)
963 Christiania Bank Og Kreditkasse 5,011
62 Elkem ASA 1,070
14 Hands ASA(a) 44
295 Kvaerner ASA 'A'(a) 2,902
224 Merkantildata ASA(a) 1,055
451 Norsk Hydro ASA 17,894
474 Orkla ASA 'A' 8,537
176 Petroleum Geo-Services(a) 2,422
171 Schibsted ASA 2,592
844 Storebrand ASA(a) 5,899
185 Tomra Systems ASA 7,419
-----------
TOTAL INVESTMENTS IN NORWAY
(cost $58,184) 54,845
-----------
PORTUGAL (0.4%)
1,117 BPI-SGPS, SA (Registered Shares) 3,626
1,117 BPI-SGPS, SA (Rights)(c) 157
3,525 Banco Comercial Portugues, SA (BCP)
(Registered Shares) 17,598
302 Brisa-Auto Estradas de Portugal, SA 2,332
353 Cimpor-Cimentos de Portugal, SGPS,
SA 7,869
5,102 Electricidade de Portugal, SA (EDP) 13,838
166 Jeronimo Martins SGPS, SA 1,598
1,801 Portugal Telecom SA (Registered
Shares) 16,028
550 Sonae, S.G.P.S., SA 667
2,302 Sonae, S.G.P.S., SA (New Shares)(a) 2,693
-----------
TOTAL INVESTMENTS IN PORTUGAL
(cost $80,352) 66,406
-----------
SINGAPORE (0.9%)
2,000 Chartered Semiconductor
Manufacturing Limited(a) 8,659
2,000 City Developments Limited 9,228
2,000 DBS Group Holdings Limited 23,583
4,000 DBS Land Limited 6,084
2,000 Keppel Corporation Ltd. 3,987
1,000 NatSteel Electronics Ltd. 2,598
2,000 Neptune Orient Lines Limited(a) 1,698
2,000 Oversea-Chinese Banking Corporation
Ltd. 12,760
2,000 Singapore Airlines Limited(a) 20,051
1,000 Singapore Press Holdings Ltd. 14,298
3,000 Singapore Technologies Engineering
Ltd. 4,836
11,000 Singapore Telecommunications, Ltd. 18,234
1,000 United Overseas Bank Ltd. 7,405
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
SINGAPORE (CONTINUED)
1,000 Venture Manufacturing (Singapore)
Ltd. $ 9,684
-----------
TOTAL INVESTMENTS IN SINGAPORE
(cost $179,232) 143,105
-----------
SPAIN (2.7%)
138 ACS, Actividades de Construccion y
Servicios, SA 3,017
108 Acerinox SA 3,002
715 Altadis(a) 10,696
854 Autopistas, Concesionaria Espanola
SA 6,486
5,309 Banco Bilbao Vizcaya, SA(a) 70,649
7,794 Banco Santander Central Hispano, SA 75,443
1,881 Endesa SA 30,611
325 Fomento de Construcciones y
Contratas SA 5,964
880 Gas Natural SDG, SA 'E' 15,067
492 Grupo Dragados SA 4,775
1,554 Iberdrola SA 18,980
2,176 Repsol-YPF, SA 34,527
460 TelePizza, SA(a) 1,758
7,415 Telefonica SA(a) 141,223
587 Union Electrica Fenosa, SA 10,841
-----------
TOTAL INVESTMENTS IN SPAIN
(cost $497,052) 433,039
-----------
SWEDEN (2.7%)
353 Atlas Copco AB 'A' 7,469
724 Electrolux AB 'B' 9,104
647 ForeningsSparbanken AB 9,266
316 Gambro AB 'B' 2,476
1,482 Hennes & Mauritz AB 'B' 27,658
276 NetCom AB 'B'(a) 12,919
3,882 Nordbanken Holding AB 29,057
1,422 Nordic Baltic Holding AB(a) 10,688
179 OM Gruppen AB 6,377
142 SKF AB 'B' 2,104
515 Sandvik AB 11,333
534 Securitas AB 'B' 11,351
1,598 Skandia Forsakrings AB 27,032
1,254 Skandinaviska Enskilda Banken (SEB)
'A' 14,768
249 Skanska AB 'B' 9,841
483 Svenska Cellulosa AB (SCA) 'B' 9,882
1,181 Svenska Handelsbanken AB 18,505
13,259 Telefonaktiebolaget LM Ericsson AB
'B' 175,993
2,486 Telia AB(a) 15,382
358 Trelleborg AB (Class B) 2,001
620 Volvo AB 'B' 9,529
475 WM-Data AB 'B' 1,650
-----------
TOTAL INVESTMENTS IN SWEDEN
(cost $500,847) 424,385
-----------
SWITZERLAND (5.8%)
525 ABB Ltd.(a) 46,643
32 Adecco SA (Registered Shares) 22,121
464 Credit Suisse Group (Registered
Shares) 86,963
20 Givaudan (Registered)(a) 4,794
</TABLE>
Continued
82
<PAGE> 83
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
SWITZERLAND (CONTINUED)
11 Holderbank Financiere Glarus AG 'B' $ 11,556
2 Jemoli Holding AG 2,503
15 Lonza AG (Registered Shares)(a) 7,191
68 Nestle SA (Registered Shares) 140,871
123 Novartis AG (Registered Shares) 186,542
2 Roche Holding AG (Bearer) 21,606
12 Roche Holding AG (Genuss) 109,582
20 SAirGroup 2,703
2 SGS Societe Generale de Surveillance
Holding SA 'B'(a) 2,447
25 Schweizerische Rueckversicherungs-
Gesellschaft (Registered Shares) 49,288
7 Sulzer AG (Registered Shares)(a) 4,520
7 The Swatch Group AG 'B' 9,265
14 The Swatch Group AG (Registered
Shares) 3,807
129 Swisscom AG (Registered Shares) 32,750
739 UBS AG (Registered) 102,336
138 Zurich Financial Services AG 66,930
-----------
TOTAL INVESTMENTS IN SWITZERLAND
(cost $979,580) 914,418
-----------
UNITED KINGDOM (20.3%)
997 3i Group PLC 22,657
891 AMEC PLC 3,759
1,605 ARM Holdings PLC(a) 15,848
779 AWG PLC(a) 6,742
241,490 AWG PLC (Registered Shares)(a) 210
2,537 Abbey National PLC 35,035
744 Airtours PLC 2,107
1,135 Amvescap PLC 25,381
2,559 AstraZeneca Group PLC 119,950
1,890 BAA PLC 15,726
767 BBA Group PLC 4,216
6,211 BG Group PLC(a) 24,892
947 BOC Group PLC 13,201
38,282 BP Amoco PLC 324,919
492 BP Amoco PLC (ADR)(b) 25,061
2,557 Barclays PLC 73,221
608 Barratt Developments PLC 2,516
1,548 Bass PLC 15,162
1,139 Blue Circle Industries PLC 6,963
1,704 Boots Company PLC(a) 13,609
5,414 British Aerospace PLC 30,778
2,142 British Airways PLC 9,580
3,902 British American Tobacco PLC 27,367
1,167 The British Land Company PLC 6,982
3,149 British Sky Broadcasting Group PLC
("BSkyB")(a) 45,498
11,221 British Telecommunications PLC 131,656
1,103 Bunzl PLC 6,311
3,604 CGU PLC 48,252
308 CRH PLC 4,725
3,432 Cadbury Schweppes PLC 21,230
1,391 Canary Wharf Finance PLC(a) 10,867
699 Capita Group PLC 5,329
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (CONTINUED)
1,169 Carlton Communications PLC $ 9,421
493 Celltech Group PLC(a) 9,808
6,628 Centrica PLC 22,810
7,155 Corus Group PLC(a) 6,442
5,976 Diageo PLC 56,449
3,137 Dixons Group PLC 9,338
1,386 EMI Group PLC 10,385
155 Eidos PLC(a) 630
232 Electrocomponents PLC 2,318
1,092 FKI PLC 2,826
1,290 GKN PLC 14,798
1,362 George Wimpey PLC 2,967
5,238 Glaxo Wellcome PLC(a) 150,905
3,962 Granada Compass PLC(a) 34,174
1,831 The Great Universal Stores PLC 12,656
15,022 HSBC Holdings PLC 214,207
3,944 Halifax PLC 31,041
1,529 Hanson PLC 8,071
3,066 Hays PLC 16,751
3,149 Hilton Group PLC 8,757
763 IMI PLC 2,493
1,459 Imperial Chemical Industries PLC 8,941
2,296 International Power PLC 9,269
6,576 Invensys PLC 15,708
3,248 J Sainsbury PLC 18,264
504 Johnson Matthey PLC 7,867
2,374 Kingfisher PLC 14,203
2,172 LASMO PLC 4,621
1,051 Land Securities PLC 10,836
6,211 Lattice Group PLC(a) 13,258
7,396 Legal & General Group PLC 18,419
9,473 Lloyds TSB Group PLC 96,565
817 Logica PLC 24,190
4,796 Marconi PLC(a) 60,589
4,834 Marks & Spencer PLC 13,477
1,020 Misys PLC 10,635
2,554 National Grid Group PLC 22,159
1,232 Nycomed Amersham PLC 11,038
537 Ocean Group PLC 9,194
1,284 P & O Princess Cruises PLC(a) 5,048
1,423 Pearson PLC 38,207
1,284 The Peninsular and Oriental Steam
Navigation Company 5,295
1,321 Pilkington PLC 1,885
275 Provident Financial PLC 3,510
3,513 Prudential Corporation PLC 47,288
490 Psion PLC 2,967
646 RMC Group PLC 5,741
889 Railtrack Group PLC 13,761
2,062 Rank Group PLC 5,120
1,926 Reed International PLC 17,815
4,328 Rentokil Initial PLC 9,993
2,491 Reuters Group PLC 48,543
1,910 Rio Tinto PLC (Registered Shares) 30,925
4,578 Royal Bank of Scotland Group PLC 102,841
</TABLE>
Continued
83
<PAGE> 84
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
-----------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (CONTINUED)
1,088 SEMA Group PLC $ 13,745
1,705 The Sage Group PLC 12,453
321 Schroders PLC 5,813
3,339 ScottishPower PLC 25,091
394 Seton Scholl Healthcare Group PLC 4,591
527 Slough Estates PLC 2,824
1,195 Smith & Nephew PLC 4,911
8,260 SmithKline Beecham PLC 106,750
723 Smiths Industries PLC 7,748
2,330 Stagecoach Holdings PLC 2,334
1,025 TI Group PLC 5,537
828 Tate & Lyle PLC 2,651
12,339 Tesco PLC 47,078
697 Thames Water PLC 12,226
5,211 Unilever PLC 35,281
834 Uniq PLC 2,483
1,091 United Utilities PLC 10,979
104,616 Vodafone AirTouch PLC 435,610
1,321 WPP Group PLC 17,744
1,626 Williams PLC 7,792
1,415 Wolseley PLC 7,828
-----------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM
(cost $3,470,217) 3,206,638
-----------
UNITED STATES (0.0%)
83 InFocus Corporation(a) 3,668
-----------
TOTAL INVESTMENTS IN THE UNITED
STATES
(cost $1,617) 3,668
-----------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
SHORT-TERM SECURITIES
US GOVERNMENT AGENCY OBLIGATIONS*
$161,000 Student Loan Marketing Association,
6.45% due 11/01/2000 161,000
-----------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES
(cost $161,000) 161,000
-----------
TOTAL INVESTMENTS -- 94.7%
(cost $16,741,592) 14,979,680
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE
CONTRACTS** -- 0.0% 865
VARIATION MARGIN ON FINANCIAL
FUTURES CONTRACTS*** -- (0.3%) (40,996)
OTHER ASSETS LESS
LIABILITIES -- 5.6% 877,363
-----------
NET ASSETS -- 100.0% $15,816,912
===========
</TABLE>
-------------------------------------------------------
* Certain US Government Obligations are traded on a discount basis; the
interest rate shown reflects the discount rate paid at the time of purchase
by the Series.
** Forward foreign exchange contracts as of October 31, 2000 were as follows:
<TABLE>
<CAPTION>
FOREIGN
CURRENCY EXPIRATION UNREALIZED APPRECIATION
PURCHASED DATE (DEPRECIATION)
---------------- ------------- -----------------------
<S> <C> <C>
E 754,849 November 2000 $ 3,834
L 191,776 November 2000 1,330
Y 38,023,400 November 2000 (2,813)
-------
TOTAL (US Commitment $1,265,852) $ 2,351
=======
</TABLE>
<TABLE>
<CAPTION>
FOREIGN EXPIRATION UNREALIZED APPRECIATION
CURRENCY SOLD DATE (DEPRECIATION)
---------------- ------------- -----------------------
<S> <C> <C>
E 325,030 November 2000 $(1,718)
L 81,931 November 2000 (8)
Y 16,519,360 November 2000 240
-------
TOTAL (US Commitment $545,001) $(1,486)
=======
TOTAL UNREALIZED APPRECIATION --
NET ON FORWARD FOREIGN EXCHANGE
CONTRACTS $ 865
=======
</TABLE>
*** Financial futures contracts purchased as of October 31, 2000 were as
follows:
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION
CONTRACTS ISSUE EXCHANGE DATE VALUE
---------- ------------ ------------ ------------- ----------
<C> <S> <C> <C> <C>
1 SPI Ordinary SPI Ordinary December 2000 $ 42,492
3 Nikkei 225 OSAKA December 2000 75,474
3 FTSE 1000 LIFFE December 2000 282,724
2 DAX DAX December 2000 301,915
2 CAC CAC December 2000 109,450
1 IBEX IBEX November 2000 88,172
1 TOPIX TOPIX December 2000 126,294
----------
TOTAL FINANCIAL FUTURES CONTRACTS PURCHASED (Total
Contract Price $1,008,791) $1,026,521
==========
</TABLE>
(a) Non-income producing security.
(b) American Depositary Receipts (ADR).
(c) The rights may be exercised until 11/17/2000.
See accompanying notes to the financial statements.
Continued
84
<PAGE> 85
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
OCTOBER 31, 2000
----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $16,741,592) $14,979,680
Unrealized appreciation on forward foreign exchange contracts 865
Cash 482,206
Foreign cash 56,312
Receivables:
Contributions $216,063
Investment adviser 118,187
Dividends 22,543
Securities sold 7,393 364,186
--------
Prepaid expenses and other assets 47,545
-----------
Total Assets 15,930,794
-----------
LIABILITIES:
Payables:
Variation margin 40,996
Securities purchased 7,312 48,308
--------
Accrued expenses 65,574
-----------
Total Liabilities 113,882
-----------
NET ASSETS:
Net assets $15,816,912
===========
NET ASSETS CONSIST OF:
Partners' capital $17,560,984
Unrealized depreciation on investments and foreign
currency transactions -- net (1,744,072)
-----------
Net assets $15,816,912
===========
</TABLE>
85
<PAGE> 86
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
FACE INTEREST MATURITY
ISSUE AMOUNT RATE DATE(S) VALUE
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
US GOVERNMENT & AGENCY OBLIGATIONS (38.9%)
Fannie Mae
$ 1,200,000 5.625% 3/15/2001 $ 1,195,310
300,000 5.45 10/10/2003 291,186
220,000 6.85 4/05/2004 222,325
1,600,000 7.125 3/15/2007 1,644,496
2,000,000 5.75 2/15/2008 1,902,600
Financing Corp.
700,000 9.80 11/30/2017 920,500
Freddie Mac
4,600,000 6.25 10/15/2002 4,585,602
6,600,000 5.75 7/15/2003 6,485,556
1,300,000 7.18 6/27/2006 1,335,894
400,000 7.00 3/15/2010 407,936
4,600,000 6.75 9/15/2029 4,561,921
Tennessee Valley Authority, Series E
2,000,000 6.25 12/15/2017 1,880,620
United States Treasury Bonds
800,000 8.75 11/15/2008 857,000
15,900,000 8.75 5/15/2017 20,428,956
950,000 8.50 2/15/2020 1,217,187
5,900,000 6.375 8/15/2027 6,218,069
United States Treasury Notes
500,000 5.50 7/31/2001 496,795
4,900,000 5.50 8/31/2001 4,866,288
2,200,000 5.875 11/30/2001 2,190,364
13,200,000 6.50 5/31/2002 13,278,408
5,100,000 6.25 7/31/2002 5,117,544
5,000,000 4.75 2/15/2004 4,832,800
2,700,000 5.875 2/15/2004 2,699,163
7,300,000 5.25 5/15/2004 7,156,263
2,000,000 6.00 8/15/2004 2,009,380
1,500,000 5.875 11/15/2004 1,501,410
8,150,000 5.875 11/15/2005 8,178,036
4,000,000 6.625 5/15/2007 4,163,760
3,300,000 6.125 8/15/2007 3,346,398
2,500,000 5.50 5/15/2009 2,443,750
-----------
TOTAL INVESTMENTS IN US GOVERNMENT & AGENCY OBLIGATIONS
(cost $117,604,033) 116,435,517
-----------
US GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS** (34.6%)
Fannie Mae
1,103,853 5.50 6/01/2011 1,044,193
-2/01/2014
4,514,412 6.00 2/01/2013 4,350,084
-6/01/2015
7,752,486 6.00 1/01/2026 7,286,697
-5/01/2029
200,000 6.00 TBA(1) 187,656
4,795,196 6.50 1/01/2013 4,707,701
-11/01/2014
14,367,627 6.50 12/01/2025 13,830,272
-1/01/2030
6,810,336 7.00 4/01/2027 6,686,128
-9/01/2030
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
FACE INTEREST MATURITY
ISSUE AMOUNT RATE DATE(S) VALUE
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
US GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS** (CONTINUED)
Fannie Mae (continued)
$ 400,000 7.00 TBA(1) $ 391,872
3,063,008 7.50 10/01/2027 3,060,275
-9/01/2030
2,181,223 8.00 4/01/2030 2,207,953
-10/01/2030
200,000 8.00 TBA(1) 202,562
Freddie Mac -- Gold Program
1,247,121 5.50 10/01/2013 1,179,458
-1/01/2014
1,390,727 5.50 12/01/2028 1,263,940
-2/01/2029
517,969 6.00 4/01/2013 499,697
-8/01/2013
6,297,622 6.50 1/01/2026 6,065,174
-7/01/2029
200,000 6.50 TBA(1) 192,469
3,076,136 7.00 1/01/2011 3,066,163
-11/01/2015
8,241,704 7.00 9/01/2025 8,097,823
-4/01/2030
200,000 7.00 TBA(1) 196,250
1,507,787 7.50 5/01/2007 1,522,489
-11/01/2015
7,200,577 7.50 1/01/2023 7,207,334
-10/01/2030
400,000 7.50 TBA(1) 399,938
2,852,662 8.00 6/01/2024 2,895,158
-7/01/2030
1,240,851 8.50 5/01/2028 1,271,310
-8/01/2030
624,315 9.50 2/01/2019 656,371
Government National Mortgage Association
1,778,384 6.00 4/20/2026 1,677,096
-2/15/2029
367,235 6.50 2/15/2014 361,586
-5/15/2014
5,843,814 6.50 4/15/2026 5,648,029
-7/15/2029
185,420 7.00 4/15/2013 185,804
6,477,072 7.00 7/15/2027 6,393,044
-5/15/2030
4,786,449 7.50 3/15/2024 4,809,799
-9/15/2030
400,000 7.50 TBA(1) 401,372
3,596,664 8.00 12/15/2022 3,660,725
-8/15/2030
300,000 8.00 TBA(1) 305,063
925,004 8.50 11/15/2017 950,642
-8/15/2030
</TABLE>
Continued
86
<PAGE> 87
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
FACE INTEREST MATURITY
ISSUE AMOUNT RATE DATE(S) VALUE
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
US GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS** (CONTINUED)
Government National Mortgage Association (continued)
$ 669,223 9.00 11/15/2016 $ 699,490
-11/15/2024
53,102 9.50 9/15/2021 55,746
-----------
TOTAL US GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (cost
$105,201,701) 103,617,363
-----------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------
S&P MOODY'S FACE CORPORATE BONDS &
RATINGS RATINGS AMOUNT NOTES VALUE
----------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (24.8%)
BANKING (3.0%)
Bank of America Corp.:
A Aa3 $1,000,000 6.875% due
6/01/2003 996,120
A+ Aa2 1,000,000 7.875% due
5/16/2005 1,026,980
A Aa3 1,500,000 Bank One Corp.,
7.625% due
8/01/2005 1,515,015
A A1 1,000,000 Chase Manhattan
Corporation, 9.75%
due 11/01/2001 1,024,580
Citicorp:
A+ A1 500,000 9.50% due 2/01/2002 514,605
A+ A1 500,000 6.375% due
11/15/2008 470,480
A A1 1,000,000 First Bank Systems,
Inc., 7.55% due
6/15/2004 1,007,050
NR* A3 1,020,000 Fleet/Norstar
Financial Group,
Inc., 8.125% due
7/01/2004 1,051,487
A Aa3 500,000 NationsBank
Corporation, 7.50%
due 9/15/2006 504,575
A- aa2 1,000,000 Wells Fargo
Capital, 8.125% due
12/01/2026(a) 925,008
------------
9,035,900
------------
FINANCIAL SERVICES (5.4%)
AA- A2 800,000 Boeing Capital
Corporation, 7.10%
due 9/27/2005 805,920
A aa2 500,000 Citigroup Capital
II, 7.75% due
12/01/2036 449,572
A- A2 1,500,000 Deutsche Telekom
International
Finance, 8% due
6/15/2010 1,528,920
BBB+ Baa1 500,000 EOP Operating LP,
6.75% due 2/15/2008 465,630
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------
S&P MOODY'S FACE CORPORATE BONDS &
RATINGS RATINGS AMOUNT NOTES VALUE
----------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Ford Motor Credit Company:
A A2 $1,000,000 7.75% due
11/15/2002 $ 1,012,330
A A2 1,500,000 7.20% due 6/15/2007 1,460,625
A A2 1,000,000 7.875% due
6/15/2010 1,002,770
General Electric Capital Corp.:
AAA Aaa 300,000 8.375% due
3/01/2001 301,236
AAA Aaa 1,000,000 7.375% due
1/19/2010 1,028,190
General Motors Acceptance
Corporation:
A A2 1,400,000 9% due
10/15/2002(b) 1,451,856
A A2 1,200,000 7.75% due 1/19/2010 1,204,416
A A2 600,000 8.80% due 3/01/2021 649,974
Lehman Brothers Holdings, Inc.:
A A2 500,000 7.625% due
6/01/2006 497,735
A A2 1,000,000 7.20% due 8/15/2009 950,620
AA- Aa3 1,000,000 Morgan Stanley
Group, Inc., 6.50%
due 3/30/2001 996,810
A Aa3 2,000,000 Salomon, Smith
Barney Holdings,
Inc., 6.25% due
5/15/2003 1,967,960
BBB+ Baa1 500,000 Simon Debartolo,
6.75% due 7/15/2004 479,155
------------
16,253,719
------------
FINANCIAL SERVICES -- CONSUMER (1.1%)
Associates Corporation of North
America:
A+ A1 500,000 6.50% due 7/15/2002 495,880
A+ A1 500,000 7.23% due 5/17/2006 502,160
A A2 1,000,000 Household Finance
Corp., 5.875% due
2/01/2009 892,790
Washington Mutual Inc.:
A- A3 500,000 7.25% due 6/15/2001 499,485
BBB+ A3 1,000,000 7.50% due 8/15/2006 980,270
------------
3,370,585
------------
FOREIGN GOVERNMENT OBLIGATIONS (1.6%)
AA+ Aa1 500,000 Canada Government
Bond, 5.25% due
11/05/2008 453,790
AA- Aa2 1,000,000 Province of British
Columbia, 7.25% due
9/01/2036 985,280
AA- Aa3 500,000 Province of
Ontario, 7.375% due
1/27/2003 507,185
</TABLE>
Continued
87
<PAGE> 88
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
----------------------------------------------------------------
S&P MOODY'S FACE CORPORATE BONDS &
RATINGS RATINGS AMOUNT NOTES VALUE
----------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED)
A+ A1 $ 750,000 Province of
Saskatchewan, 8%
due 7/15/2004 $ 780,938
AA Aa3 1,000,000 Republic of Italy,
6.875% due
9/27/2023 991,380
BB+ Baa3 1,000,000 United Mexican
States, 9.875% due
2/01/2010 1,040,000
------------
4,758,573
------------
INDUSTRIAL -- CONSUMER GOODS (1.6%)
A+ A1 1,000,000 Anheuser-Busch
Companies, Inc.,
6.75% due
11/01/2006 977,240
A A2 1,000,000 Coca-Cola
Enterprises, 6.75%
due 9/15/2028 862,950
AA Aa2 1,000,000 Kimberly-Clark
Corporation, 7.10%
due 8/01/2007 1,019,150
Nabisco Inc.:
BBB Baa2 1,000,000 6% due 2/15/2011 992,740
BBB Baa2 500,000 6.375% due
2/01/2035 472,515
A A2 365,000 Phillip Morris
Companies, Inc.,
6.95% due 6/01/2006 362,489
------------
4,687,084
------------
INDUSTRIAL -- ENERGY (1.3%)
BBB+ Baa1 1,000,000 Apache Corporation,
7% due 2/01/2018 932,190
A- A3 500,000 Burlington
Resources, 7.375%
due 3/01/2029 477,655
BBB+ A2 500,000 Consolidated
Natural Gas
Company, 6.625% due
12/01/2008 477,205
BBB+ Baa1 500,000 Enron Corp., 6.625%
due 10/15/2003 494,490
BBB- Baa2 500,000 KN Energy, Inc.,
6.65% due 3/01/2005 488,505
BBB- Baa3 500,000 Occidental
Petroleum Corp.,
8.45% due 2/15/2029 525,195
BBB Baa2 500,000 Phillips Petroleum,
8.86% due 5/15/2022 501,315
------------
3,896,555
------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------
S&P MOODY'S FACE CORPORATE BONDS &
RATINGS RATINGS AMOUNT NOTES VALUE
----------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
INDUSTRIAL -- MANUFACTURING (2.5%)
AA+ Aa2 $ 500,000 Atlantic Richfield
Company, 8.44% due
2/21/2012 $ 555,545
A+ A1 150,000 Chrysler Corp.,
7.45% due 3/01/2027 140,648
A+ A1 1,000,000 DaimlerChrysler
North America
Holdings Corp.,
7.75% due 6/15/2005 1,016,570
BBB Baa2 1,000,000 Delphi Auto Systems
Corporation, 7.125%
due 5/01/2029 842,580
BBB- Baa2 500,000 Georgia-Pacific
Corp., 7.375% due
12/01/2025 425,490
A+ A1 1,000,000 International
Business Machines
Corp., 7.125% due
12/01/2096 912,730
BBB- Baa3 500,000 Lockheed Martin
Corp., 7.25% due
5/15/2006 498,905
BBB- Baa2 600,000 Raytheon Co., 6.75%
due 3/15/2018 536,346
BBB Baa2 1,500,000 Union Carbide
Corp., 6.25% due
6/15/2003 1,480,425
BBB Baa2 1,000,000 Visteon Corp.,
8.25% due 8/01/2010 989,230
------------
7,398,469
------------
INDUSTRIAL -- OTHER (0.8%)
BBB- Baa3 750,000 Delta Airlines,
10.375% due
2/01/2011 808,867
BBB Baa1 500,000 Norfolk Southern
Corporation, 7.70%
due 5/15/2017 487,215
BBB- Baa3 1,000,000 Union Pacific
Corp., 9.625% due
12/15/2002 1,044,210
------------
2,340,292
------------
INDUSTRIAL -- SERVICES (2.6%)
BBB+ Baa1 500,000 Computer Associates
International,
Inc., 6.375% due
4/15/2005 455,815
A A2 1,000,000 Dayton Hudson
Corp., 10% due
1/01/2011 1,157,500
A- A3 1,000,000 Hertz Corp., 7% due
1/15/2028 844,670
BBB- Baa3 200,000 J.C. Penney
Company, Inc.,
7.95% due 4/01/2017 106,320
</TABLE>
Continued
88
<PAGE> 89
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS (IN US DOLLARS) -- OCTOBER 31, 2000 (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
----------------------------------------------------------------
S&P MOODY'S FACE CORPORATE BONDS &
RATINGS RATINGS AMOUNT NOTES VALUE
----------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
INDUSTRIAL -- SERVICES (CONTINUED)
BBB- Baa3 $1,000,000 News America Inc.,
7.25% due 5/18/2018 $ 887,090
A- A3 500,000 Sears Discover
Credit Corp., 9.14%
due 3/13/2012 554,975
A A2 1,375,000 Tele-Communications
Inc., 8.25% due
1/15/2003 1,398,444
Time Warner Inc.:
BBB Baa3 1,000,000 7.75% due 6/15/2005 1,019,190
BBB Baa3 500,000 6.875% due
6/15/2018 457,110
BBB+ Baa1 1,000,000 Viacom Inc., 7.75%
due 6/01/2005 1,020,380
------------
7,901,494
------------
UTILITIES -- COMMUNICATIONS (1.5%)
A A1 1,000,000 AT&T Corporation,
6% due 3/15/2009 878,970
A+ Aa2 1,000,000 Bell Atlantic, PA,
6.00% due
12/01/2028 789,740
BBB+ Baa1 1,000,000 Qwest Capital
Funding, 7.90% due
8/15/2010(a) 1,015,188
AA- Aa2 500,000 Southwestern Bell
Telecommunications,
6.625% due
7/15/2007 518,080
A- A3 1,250,000 WorldCom, Inc., 8%
due 5/15/2006 1,286,175
------------
4,454,768
------------
UTILITIES -- GAS & ELECTRIC (1.7%)
AA- A1 1,470,000 Baltimore Gas &
Electric Co.,
8.375% due
8/15/2001 1,482,039
BBB+ Baa2 500,000 Commonwealth
Edison, Inc., 6.95%
due 7/15/2018 455,400
Dominion Resources Inc.:
BBB+ Baa1 500,000 7.625% due
7/15/2005 504,960
BBB+ Baa1 1,000,000 8.125% due
6/15/2010 1,031,060
A A3 1,000,000 Duke Capital Corp.,
7.50% due
10/01/2009 1,005,630
BBB+ A3 500,000 Houston Lighting
and Power, 8.75%
due 3/01/2022 520,610
------------
4,999,699
------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------
S&P MOODY'S FACE CORPORATE BONDS &
RATINGS RATINGS AMOUNT NOTES VALUE
----------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
YANKEE -- CORPORATE (1.7%)
A- A3 $ 500,000 BHP Finance USA
Limited, 6.42% due
3/01/2026 $ 491,725
A+ A2 1,000,000 Hydro-Quebec,
8.875% due
3/01/2026 1,145,140
BBB Baa2 1,000,000 Korea Development
Bank, 6.625% due
11/21/2003 959,280
BBB Baa2 500,000 Korea Telecom,
7.625% due
4/15/2007 484,210
A A2 500,000 Norsk Hydro A/S,
6.70% due 1/15/2018 456,100
A A1 1,000,000 Santander Financial
Issuances Ltd.,
7.00% due 4/01/2006 976,960
A- Baa1 500,000 Tyco International
Group SA, 6.88% due
1/15/2029 435,960
A A2 300,000 WMC Finance USA,
7.25% due
11/15/2013 280,581
------------
5,229,956
------------
TOTAL INVESTMENTS IN CORPORATE BONDS & NOTES
(cost $77,255,693) 77,255,693
------------
SHORT-TERM SECURITIES (0.7%)
REPURCHASE AGREEMENTS*** (0.7%)
2,211,000 Morgan Stanley &
Company, purchased
on 10/31/2000 to
yield 6.54% to
11/01/2000 2,211,000
------------
TOTAL INVESTMENTS IN SHORT-TERM SECURITIES
(cost $2,211,000) 2,211,000
------------
TOTAL INVESTMENTS -- 99.0%
(cost $302,272,427) 296,590,974
------------
OTHER ASSETS LESS LIABILITIES -- 1.0% 3,099,866
------------
NET ASSETS -- 100.0% $299,690,840
============
</TABLE>
-------------------------------------------------------
* Not Rated.
** Mortgage-Backed Obligations are subject to principal paydowns as a result of
prepayments or refinancing of the underlying mortgage instruments. As a
result, the average life may be substantially less than the original
maturity.
*** Repurchase Agreements are fully collateralized by US Government Agency
Obligations.
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) Represents a zero coupon or step bond; the interest rate shown reflects the
effective yield at the time of purchase by the Series.
(1) Represents or includes a "to-be-announced" (TBA) transaction. The Series
has committed to purchase securities for which all specific information is
not available at this time.
89
<PAGE> 90
MASTER AGGREGATE BOND INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
OCTOBER 31, 2000
----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $302,272,427) $296,590,974
Cash 935
Receivables:
Interest $4,728,030
Securities sold 2,315,797
Contributions 415,922
Paydowns 302,216 7,761,965
----------
Deferred organization expenses 3,823
Prepaid expenses and other assets 42,140
------------
Total Assets 304,399,837
------------
LIABILITIES:
Payables:
Securities purchased 4,313,705
Withdrawals 224,642
Investment adviser 2,442 4,540,789
----------
Accrued expenses and other liabilities 168,208
------------
Total Liabilities 4,708,997
------------
NET ASSETS:
Net assets $299,690,840
============
NET ASSETS CONSIST OF:
Partners' capital $305,372,293
Unrealized appreciation on investments -- net (5,681,453)
------------
Net assets $299,690,840
============
</TABLE>
90
<PAGE> 91
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999
(AUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCK (82.8%)
1,063 1st Source Corporation $ 26,575
2,768 +3Dfx Interactive, Inc. 27,161
1,584 +24/7 Media, Inc. 89,100
1,150 +99 Cents Only Stores 43,988
3,260 A. Schulman, Inc. 53,179
2,000 A.M. Castle & Company 23,750
2,122 A.O. Smith Corporation 46,419
3,674 AAR Corp. 65,902
1,933 ABM Industries, Inc. 39,385
3,752 +ACTV, Inc. 171,419
2,735 +ADVO Systems, Inc. 64,956
6,682 AGCO Corporation 89,789
3,700 AGL Resources Inc. 62,900
5,200 +ALARIS Medical, Inc. 9,750
3,504 AMCOL International Corporation 56,502
3,700 AMCORE Financial, Inc. 88,800
3,383 AMETEK, Inc. 64,488
6,700 +AMF Bowling, Inc. 20,937
1,750 +ANADIGICS, Inc. 82,578
3,137 +ANTEC Corporation 114,500
1,900 +ATMI, Inc. 62,819
1,511 +AVT Corporation 71,017
3,295 +AXENT Technologies, Inc. 69,195
2,659 Aaron Rents, Inc. 47,197
1,326 +Abgenix, Inc. 175,695
484 +About.com, Inc. 43,439
2,600 +Acceptance Insurance Companies
Inc. 15,112
1,736 Ace Limited 28,972
2,535 +Actel Corp. 60,840
1,735 +Action Performance Companies, Inc. 19,952
3,159 +Activision, Inc. 48,372
3,036 +Actuate Corporation 130,168
2,600 +Acuson Corporation 32,662
2,002 +Adaptive Broadband Corporation 147,773
2,262 +Adtran, Inc. 116,352
2,220 +Advance Paradigm, Inc. 47,869
2,454 +Advanced Digital Information
Corporation 119,326
1,274 +Advanced Energy Industries, Inc. 62,744
7,719 +Advanced Fibre Communications,
Inc. 344,943
3,222 +Advanced Radio Telecom Corp. 77,328
2,839 Advanta Corp. 51,812
1,536 +Advent Software, Inc. 98,976
1,500 +Aerial Communications, Inc. 91,312
2,455 +Aeroflex Incorporated 25,471
2,757 +Affiliated Managers Group, Inc. 111,486
1,684 +Affymetrix, Inc. 285,754
3,026 +Aftermarket Technology Corp. 36,123
1,393 +Agribrands International, Inc. 64,078
3,778 Air Express International
Corporation 122,077
5,158 Airborne Freight Corporation 113,476
6,541 +Airgas, Inc. 62,139
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
7,404 +AirTran Holdings, Inc. $ 33,549
2,490 +Alaska Air Group, Inc. 87,461
2,042 +Albany International Corp. (Class
A) 31,651
2,358 Albemarle 45,244
4,444 Alexander & Baldwin, Inc. 101,379
1,665 Alexandria Real Estate Equities,
Inc. 52,968
4,465 Alfa Corporation 72,835
2,038 +Algos Pharmaceutical Corporation 22,418
2,609 +Alkermes, Inc. 128,167
720 +Allaire Corporation 104,400
378 +Alleghany Corporation 70,119
3,741 +Allen Telecom Inc. 43,255
2,100 Alliance Bancorp 38,850
1,014 +Alliant Techsystems Inc. 63,185
6,341 Allied Capital Corporation 116,120
1,936 +Alpha Industries, Inc. 109,868
2,134 Alpharma, Inc. (Class A) 65,620
2,892 +Alterra Healthcare Corporation 24,040
753 +Amdocs Limited 25,978
1,375 +Amerco 34,375
2,749 +America Retirement Corporation 21,820
4,286 +America West Holdings (Class B) 88,934
2,769 +American Freightways Corporation 44,823
2,357 +American Italian Pasta Company
(Class A) 72,478
4,562 +American Management Systems,
Incorporated 143,133
1,581 American States Water Company 56,916
1,923 +American Xtal Technology, Inc. 33,532
6,707 +AmeriCredit Corp. 124,079
5,042 +AmeriSource Health Corporation
(Class A) 76,575
1,659 AmerUs Life Holdings, Inc. (Class
A) 38,157
3,194 +Ames Department Stores, Inc. 92,027
9,182 +Amkor Technology, Inc. 259,391
2,255 Amli Residential Properties Trust 45,523
1,806 +Amphenol Corp. (Class A) 120,212
2,843 Analysts International Corporation 35,537
3,212 Anchor Bancorp, Inc. 48,581
912 +Anchor Gaming 39,615
2,916 +Ancor Communications, Incorporated 197,923
8,657 +Andrew Corporation 163,942
3,053 +Anixter International Inc. 62,968
2,275 +AnnTaylor Stores Corporation 78,345
3,242 +AnswerThink Consulting Group, Inc. 111,038
2,152 +Apex Inc. 69,402
2,869 Applebee's International, Inc. 84,635
2,650 Applied Industrial Technologies,
Inc. 44,056
4,125 Applied Power Inc. (Class A) 151,594
1,144 +AppliedTheory Corporation 31,746
5,869 +Apria Healthcare Group Inc. 105,275
3,471 AptarGroup, Inc. 87,209
</TABLE>
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COMMON STOCK (CONTINUED)
1,542 Aquarion Company $ 57,054
5,455 +Arcadia Financial Ltd. 24,207
2,614 Arch Chemicals, Inc. 54,731
2,000 Arch Coal, Inc. 22,625
1,858 +Ardent Software, Inc. 72,462
1,700 Argonaut Group, Inc. 33,787
2,951 Arnold Industries, Inc. 41,498
1,174 Arrow International, Inc. 34,046
3,740 +Artesyn Technologies, Inc. 78,072
1,764 Arthur J. Gallagher & Co. 114,219
2,415 Arvin Industries, Inc. 68,526
4,490 +Ascent Entertainment Group, Inc. 56,967
5,361 +Aspect Communications Corporation 209,749
2,616 +Aspect Development, Inc. 179,196
2,000 +Aspen Technology, Inc. 52,875
3,106 Associated Estates Realty
Corporation 24,266
1,898 +Astec Industries, Inc. 35,706
1,473 +Asyst Technologies, Inc. 96,574
1,814 +Atlas Air, Inc. 49,772
3,641 Atmos Energy Corporation 74,413
1,302 +Atwood Oceanics, Inc. 50,290
3,782 Auspex Systems, Inc. 38,765
3,402 Avado Brands, Inc. 14,352
3,922 +Avant! Corporation 58,830
1,344 +Aviation Sales Company 22,176
2,599 +Avid Technology, Inc. 33,949
1,644 +Aviron 25,996
2,768 +Avis Rent A Car, Inc. 70,757
4,948 Avista Corporation 76,385
1,947 +Aware, Inc. 70,822
5,400 +Aztar Corporation 58,725
3,871 BRE Properties, Inc. 87,823
2,590 BT Financial Corporation 56,988
3,256 Baldor Electric Company 59,015
2,012 Baldwin & Lyons, Inc. (Class B) 44,515
2,750 +Bally Total Fitness Holding
Corporation 73,391
5,745 BancorpSouth, Inc. 93,715
3,446 BancWest Corporation 67,197
1,429 Bandag, Incorporated 35,725
1,979 Bank of Granite Corp. 42,548
2,233 Bank United Corp. (Class A) 60,849
8,246 BankAtlantic Bancorp, Inc. (Class
B) 42,261
2,841 Banknorth Group, Inc. 75,997
2,743 Banta Corporation 61,889
2,026 Barnes Group Inc. 33,049
3,131 +barnesandnoble.com inc. 44,421
1,400 +Barr Laboratories, Inc. 43,925
3,043 +Barrett Resources Corporation 89,578
2,001 Bassett Furniture Industries,
Incorporated 31,141
5,000 +Battle Mountain Gold Company 10,312
2,472 Bay View Capital Corporation 35,071
3,090 Bedford Property Investors, Inc. 52,723
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COMMON STOCK (CONTINUED)
2,459 Belden Inc. $ 51,639
1,961 +Bell & Howell Company 62,384
1,880 +Benchmark Electronics, Inc. 43,122
800 +Beringer Wine Estates Holdings,
Inc. (Class B) 31,900
1,500 Berkley (W.R.) Corporation 31,312
3,069 Berry Petroleum Company (Class A) 46,419
13,423 +Bethlehem Steel Corporation 112,418
10,054 +Beverly Enterprises, Inc. 43,986
2,523 +Beyond.com Corporation 19,711
5,194 +Billing Concepts Corp. 33,761
2,054 +BindView Development Corporation 102,058
2,820 Bindley Western Industries, Inc. 42,476
2,066 +Biomatrix, Inc. 39,770
1,400 +Bio-Rad Laboratories, Inc. (Class
A) 32,725
6,338 +Bio-Technology General Corp. 96,654
2,056 +Black Box Corporation 137,752
2,175 Black Hills Corporation 48,258
1,524 Block Drug Company, Inc. (Class A) 46,863
4,100 +Blount International, Inc. 65,344
4,393 Bob Evans Farms, Inc. 67,817
472 +Boca Resorts, Inc. (Class A) 4,602
5,392 +The Bombay Company, Inc. 24,264
8,356 +Borders Group, Inc. 134,218
4,089 Bowne & Co., Inc. 55,201
5,400 +Boyd Gaming Corporation 31,387
6,121 +The Boyds Collection, Ltd. 42,464
2,812 Boykin Lodging Company 30,756
3,093 Bradley Real Estate, Inc. 53,934
4,162 Brandywine Realty Trust 68,153
1,352 +Brightpoint, Inc. 17,745
5,940 +BroadVision, Inc. 1,010,171
1,524 +Brooks Automation, Inc. 49,625
1,224 Brown & Brown 46,894
2,817 Brown Shoe Company, Inc. 39,790
2,608 Brush Wellman, Inc. 43,847
2,722 +Buckeye Technologies Inc. 40,490
5,207 +Buffets, Inc. 52,070
3,118 +Building One Services Corporation 29,426
2,715 Burlington Coat Factory Warehouse
Corporation 37,671
6,806 +Burlington Industries, Inc. 27,224
4,766 Burnham Pacific Properties, Inc. 44,681
4,140 +Burr-Brown Corp. 149,557
4,234 +C-Cube Microsystems Inc. 263,566
1,603 C&D Technologies, Inc. 68,127
2,477 +CB Richard Ellis Services Inc. 30,653
2,333 CBL & Associates Properties, Inc. 48,118
6,003 CBRL Group, Inc. 58,248
3,487 +CCC Information Services Group
Inc. 59,715
1,546 +CDI Corp. 37,297
2,089 +CDnow, Inc. 20,629
</TABLE>
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COMMON STOCK (CONTINUED)
3,088 +CEC Entertainment Inc. $ 87,622
1,715 CFS Bancorp, Inc. 15,971
2,193 CFW Communications Company 76,207
1,300 CH Energy Group, Inc. 42,900
4,608 C.H. Robinson Worldwide, Inc. 183,168
4,925 +CIBER, Inc. 135,437
789 +CIRCOR International, Inc. 8,137
5,656 CKE Restaurants, Inc. 33,229
3,348 CLARCOR Inc. 60,264
3,023 CMP Group Inc. 83,321
2,062 +CONMED Corporation 53,354
4,090 +COR Therapeutics, Inc. 109,919
2,073 +CORT Business Services Corporation 36,148
1,568 CPI Corp. 35,378
2,407 +CSK Auto Corporation 42,122
1,300 +CSS Industries, Inc. 27,787
1,260 CT Communications, Inc. 70,560
2,934 CTS Corporation 221,150
2,300 +CUNO Incorporated 47,617
1,855 CVB Financial Corp. 42,897
3,116 +Cable Design Technology 71,668
4,531 Cabot Industrial Trust 83,257
2,968 Cabot Oil & Gas Corporation (Class
A) 47,673
4,976 +Cadiz Inc. 47,272
5,322 Calgon Carbon Corporation 31,599
1,858 California Water Service Group 56,321
8,073 Callaway Golf Company 142,791
2,606 Cambrex Corporation 89,744
5,522 +Cambridge Technology Partners,
Inc. 144,952
3,600 Camden Property Trust 98,550
1,473 +Canadaigu Brands, Inc. (Class A) 75,123
7,145 Capitol Federal Financial 69,664
3,741 +CapRock Communications Corp. 121,349
4,900 Capstead Mortgage Corporation 20,519
2,570 Caraustar Industries, Inc. 61,680
1,378 +Career Education Corporation 52,881
7,570 +Caremark Rx, Inc. 38,323
1,700 +Carmike Cinemas, Inc. (Class A) 13,281
2,952 Carolina First Corporation 53,874
2,210 Carpenter Technology Corporation 60,637
1,113 +Carrier Access Corporation 74,919
2,510 Carter-Wallace, Inc. 45,023
5,989 Casey's General Stores, Inc. 62,510
3,867 Cash America International, Inc 37,703
3,000 +Castle & Cooke, Inc 38,062
6,184 +Catalytica, Inc 83,870
710 Cathay Bancorp, Inc 29,110
2,653 The Cato Corporation (Class A) 33,494
2,813 +Celera Genomics 419,137
2,299 +Celgene Corporation 160,930
5,763 +CellNet Data Systems, Inc. 6,483
3,178 +Centennial Bancorp 34,163
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COMMON STOCK (CONTINUED)
3,780 Center Trust, Inc. $ 36,619
2,263 CenterPoint Properties Corporation 81,185
6,643 +Century Business Services, Inc. 56,050
3,318 +Cephalon, Inc. 114,678
3,124 +Cerner Corporation 61,504
4,517 +Champion Enterprises, Inc. 38,677
1,462 +Championship Auto Racing Teams,
Inc. 33,626
2,114 Charles E. Smith Residential
Realty, Inc. 74,783
12,362 +Charming Shoppes, Inc. 81,898
4,036 Charter Municipal Mortgage
Acceptance Company 47,423
2,254 Chateau Communities, Inc. 58,463
1,320 +Chattem, Inc. 25,080
3,956 +Checkpoint Systems, Inc. 40,302
2,165 +The Cheesecake Factory
Incorporated 75,775
1,707 Chelsea GCA Realty, Inc. 50,783
1,641 Chemed Corporation 46,974
2,432 ChemFirst Inc. 53,200
1,832 Chemical Financial Corporation 58,395
2,024 Chesapeake Corporation 61,732
1,282 Chicago Title Corporation 59,293
2,131 +The Children's Place Retail
Stores, Inc. 35,028
4,910 Chiquita Brands International, Inc. 23,322
1,739 +ChiRex Inc. 25,433
2,521 Chittenden Corporation 74,685
6,162 +Choice Hotels International, Inc. 105,524
3,130 +ChoicePoint Inc. 129,504
3,798 Church & Dwight Co., Inc. 101,359
1,300 Churchill Downs Incorporated 29,331
1,653 Circle International Group, Inc. 36,779
6,959 +Cirrus Logic, Inc. 92,642
2,189 +Citadel Communications Corporation 142,011
4,441 Citizens Banking Corporation 99,367
2,179 City Holding Company 30,506
2,388 +Clarify Inc. 300,888
2,445 Cleco Corporation 78,393
1,540 Cleveland-Cliffs Inc. 47,932
2,499 Coachmen Industries, Inc. 37,797
3,749 +Cognex Corporation 146,211
3,036 +Coherent, Inc. 81,213
2,600 Cohu, Inc. 80,600
2,034 +Coinstar, Inc. 28,476
1,200 +Coldwater Creek Inc. 24,600
8,119 Collins & Aikman Corporation 46,684
2,900 Colonial Properties Trust 67,244
3,716 +Columbia Laboratories, Inc. 27,870
2,229 +Com21, Inc. 50,013
2,512 Commerce Bancorp, Inc. 101,579
2,255 The Commerce Group, Inc. 58,912
2,092 Commercial Metals Company 70,997
3,941 Commercial Net Lease Realty 39,164
2,500 +CommNet Cellular Inc. 80,312
</TABLE>
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93
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SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
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COMMON STOCK (CONTINUED)
2,648 Commonwealth Bancorp, Inc. $ 44,023
1,268 +Commonwealth Telephone
Enterprises, Inc. 67,045
5,003 +CommScope, Inc. 201,683
4,626 Community First Bankshares, Inc. 72,859
827 Community Trust Bancorp, Inc. 16,540
2,870 +Complete Business Solutions, Inc. 72,109
10,461 +CompUSA Inc. 53,613
2,923 +Computer Network Technology
Corporation 67,046
2,136 Computer Task Group, Incorporated 31,639
4,524 +Concentric Network Corporation 139,396
1,632 +Concord Communications, Inc. 72,420
1,759 +Concur Technologies, Inc. 51,011
6,579 +Concurrent Computer Corporation 122,945
1,395 Connecticut Energy Corporation 54,231
2,484 Conning Corporation 20,493
3,400 +Consolidated Freightways
Corporation 26,987
1,543 +Consolidated Graphics, Inc. 23,049
3,636 +Consolidated Products, Inc. 36,809
1,586 Cooper Companies, Inc. 47,778
2,328 +Copart, Inc. 101,268
2,262 +Corixa Corporation 38,454
3,914 Corn Products International, Inc. 128,183
5,015 Cornerstone Realty Income Trust,
Inc. 48,896
1,137 +The Corporate Executive Board
Company 63,530
2,542 +Cost Plus, Inc. 90,559
2,088 +Coulter Pharmaceutical, Inc. 47,371
2,647 Cousins Properties, Inc. 89,833
4,122 Crawford & Company (Class B) 56,162
2,384 +Credence Systems Corporation 206,216
2,746 +Cree, Inc. 234,440
5,416 Cross Timbers Oil Company 49,082
6,084 Crown American Realty Trust 33,462
2,254 +Cumulus Media Inc. (Class A) 114,390
1,467 +Cybex Computer Products
Corporation 59,413
3,075 +Cymer, Inc. 141,450
10,961 +Cypress Semiconductor Corporation 354,862
4,445 +Cytec Industries Inc. 102,791
2,105 +Cytyc Corporation 128,537
5,055 D.R. Horton, Inc. 69,822
3,182 +The DII Group, Inc. 225,823
1,406 +DSP Group, Inc. 130,758
1,386 Dain Rauscher Corporation 64,449
2,860 Dallas Semiconductor Corporation 184,291
6,119 +Dal-Tile International Inc. 61,955
4,165 +Data Broadcasting Corporation 34,361
1,512 +Data Transmission Network
Corporation 26,082
2,020 Datascope Corp. 80,800
2,363 +Datastream Systems, Inc. 58,041
1,855 +Dave & Buster's, Inc. 15,188
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COMMON STOCK (CONTINUED)
5,754 +Del Monte Foods Company $ 70,846
3,856 +Delco Remy International, Inc. 31,812
1,578 +Delphi Financial Group, Inc.
(Class A) 47,340
4,075 Delta and Pine Land Company 70,803
1,804 Deltic Timber Corporation 39,462
3,267 +Dendrite International, Inc. 110,670
2,077 +Department 56, Inc. 46,992
5,863 Developers Diversified Realty
Corporation 75,486
2,256 The Dexter Corporation 89,676
7,157 +Digital Microwave Corporation 167,742
1,828 +Digital River, Inc. 60,895
2,300 Dime Community Bancshares 42,550
2,452 +Dionex Corporation 100,992
1,916 +Documentum, Inc. 114,720
2,938 +Dollar Thrifty Automotive Group,
Inc. 70,328
4,107 Donaldson Company, Inc. 98,825
3,660 Doral Financial Corporation 45,064
1 +DoubleClick Inc. 152
1,995 Downey Financial Corp. 40,274
2,620 +The Dress Barn, Inc. 43,557
2,450 Dreyer's Grand Ice Cream, Inc. 41,650
2,131 +Duane Read Inc. 58,736
669 Duff & Phelps Credit Rating Co. 59,499
1,974 +Dura Automotive Systems, Inc. 34,422
4,837 +Dura Pharmaceuticals, Inc. 67,416
2,801 +Duramed Pharmaceuticals, Inc. 19,957
2,858 +Dycom Industries, Inc. 125,931
1,375 E.W. Blanch Holdings, Inc. 84,219
1,983 +Eagle USA Airfreight, Inc. 85,517
4,524 The Earthgrains Company 72,949
830 +EarthWeb Inc. 41,759
2,100 Eastern Enterprises 120,619
1,656 Eastern Utilities Associates 50,197
2,679 EastGroup Properties, Inc. 49,561
3,249 Eaton Vance Corp. 123,462
3,989 +Eclipsys Corporation 102,218
2,495 +Education Management Corporation 34,930
7,887 +El Paso Electric Company 77,391
2,569 Elcor Corporation 77,391
1,557 +Electro Scientific Industries,
Inc. 113,661
2,571 +Electroglas, Inc. 65,239
1,791 +Emmis Communications Corporation
(Class A) 223,231
2,010 Empire District Electric Company 45,476
3,618 +Emulex Corporation 407,025
3,390 Energen Corporation 61,232
2,328 Enesco Group Inc. 25,753
2,524 Enhance Financial Services Group
Inc. 41,015
2,287 +Entercom Communications Corp. 150,942
1,633 +EntreMed, Inc. 41,846
1,828 +Entrust Technologies Inc. 109,566
</TABLE>
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94
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COMMON STOCK (CONTINUED)
2,738 +Enzo Biochem, Inc. $ 123,381
4,081 +Enzon, Inc. 177,013
3,600 +Epicor Software Corporation 18,225
3,052 Equitable Resources, Inc. 101,860
5,304 Equity Inns Inc. 35,802
1,808 Essex Property Trust, Inc. 61,472
2,895 +Esterline Technologies Corporation 33,473
2,275 +Etec Systems, Inc. 102,091
4,387 Ethan Allen Interiors Inc. 140,658
1,100 E'Town Corporation 68,475
2,591 Exide Corporation 21,538
8,137 +Extended Stay America, Inc. 62,045
442 F&M Bancorp 8,950
2,678 F&M National Corporation 73,812
1,653 F.N.B. Corporation 36,469
1,646 +F.Y.I. Incorporated 55,964
1,535 FBL Financial Group, Inc. (Class A) 30,700
1,530 +FPIC Insurance Group, Inc. 25,532
3,498 +FSI International, Inc. 40,227
1,209 FactSet Research Systems Inc. 96,267
1,648 Fair, Isaac and Company,
Incorporated 87,344
4,972 +Fairfield Communities, Inc. 53,449
1,677 +Family Golf Centers, Inc. 2,358
1,382 Farmers Capital Bank Corporation 41,633
3,852 Federal Realty Investment Trust 72,466
4,542 Federal Signal Corporation 72,956
3,526 Ferro Corporation 77,572
2,675 Fidelity National Financial, Inc. 38,453
3,921 +FileNET Corporation 99,985
5,630 The First American Financial
Corporation 70,023
2,310 First Charter Corporation 34,361
800 First Citizens BancShares, Inc.
(Class A) 55,800
1,457 First Commerce BancShares, Inc.
(Class B) 28,685
7,046 First Commonwealth Financial
Corporation 84,552
3,605 First Financial Bancorp 77,057
1,605 First Financial Bankshares, Inc. 49,354
5,245 +First Health Group Corp. 140,959
3,048 First Industrial Realty Trust, Inc. 83,629
2,020 First Merchants Corporation 53,025
3,496 First Midwest Bancorp, Inc. 92,644
1,443 +First Republic Bank 33,910
5,876 First Sentinel Bancorp Inc. 45,906
2,158 +First Sierra Financial, Inc. 36,956
2,956 First United Bancshares, Inc. 39,536
2,265 First Washington Bancorp, Inc. 33,409
2,317 Firstbank Corp. 48,078
2,909 +FirstFed Financial Corp. 40,908
2,900 +Fisher Scientific International
Inc. 104,762
1,461 +FlashNet Communications, Inc. 9,040
</TABLE>
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COMMON STOCK (CONTINUED)
3,043 Fleetwood Enterprises, Inc. $ 62,762
4,374 Fleming Companies, Inc. 44,833
3,166 Florida East Coast Industries, Inc. 132,180
1,965 Florida Rock Industries, Inc. 67,670
3,869 Flowserve Corporation 65,773
2,499 +Footstar, Inc. 76,219
2,003 Foremost Corporation of America 56,835
900 Forest City Enterprises, Inc.
(Class A) 25,200
4,009 +Forest Oil Corporation 52,869
1,707 +Fossil, Inc. 39,474
4,129 Foster Wheeler Corporation 36,645
3,230 +Franklin Covey Co. 24,225
669 Franklin Electric Co., Inc. 46,955
2,355 Freedom Securities Corporation 26,494
3,286 +Friedman, Billings, Ramsey Group,
Inc. (Class A) 25,877
2,954 +Fritz Companies, Inc. 31,017
1,984 Frontier Financial Corporation 39,680
3,392 Frontier Insurance Group, Inc. 11,660
5,266 +Furniture Brands International,
Inc. 115,852
2,036 G & K Services, Inc. (Class A) 65,915
2,001 GBC Bancorp 38,644
900 +GC Companies, Inc. 23,287
3,894 +GTECH Holdings Corporation 85,668
2,531 Gables Residential Trust 60,744
7,089 +Gaylord Container Corporation
(Class A) 48,294
1,872 Gaylord Entertainment Company 56,043
1,960 +Geltex Pharmaceuticals, Inc. 25,112
3,387 GenCorp Inc. 33,447
3,522 General Cable Corporation 26,635
401 General Electric Company 62,055
3,404 +Genesco Inc. 44,252
3,262 +GenRad, Inc. 52,600
2,663 Gentek, Inc. 27,795
2,166 The Geon Company 70,395
3,382 Georgia Gulf Corporation 102,940
2,509 Gerber Scientific, Inc. 55,041
2,914 +Getty Images, Inc. 142,422
4,868 +Gilead Sciences, Inc. 263,481
2,100 +Glenayre Technologies, Inc. 23,756
3,250 Glenborough Realty Trust
Incorporated 43,469
3,148 Glimcher Realty Trust 40,530
3,900 +Global Industrial Technologies,
Inc. 50,212
6,209 +Global Industries, Ltd. 53,553
2,167 +Go2Net, Inc. 188,529
1,761 Golf Trust of America, Inc. 29,827
1,629 Graco Inc. 58,440
3,988 +The Grand Union Company 40,378
1,904 Granite Construction Incorporated 35,105
2,550 Gray Communications Systems, Inc. 45,103
1,755 The Great Atlantic & Pacific Tea
Company, Inc. 48,921
</TABLE>
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95
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SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
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COMMON STOCK (CONTINUED)
3,202 Great Lakes REIT, Inc. $ 46,029
1,225 +Great Plains Software, Inc. 91,569
1,795 Greater Bay Bancorp 76,961
2,428 +Greif Bros. Corporation (Class A) 72,233
4,762 +Griffon Corporation 37,203
2,216 +Group 1 Automotive, Inc. 30,885
3,919 +Group Maintenance America Corp. 41,884
2,681 +Guilford Pharmaceuticals Inc. 45,577
2,798 +Guitar Center, Inc. 28,155
3,835 +The Gymboree Corporation 21,572
1,355 H.B. Fuller Company 75,795
3,800 +HA-LO Industries, Inc. 28,500
2,707 +HNC Software Inc. 286,265
3,033 +HS Resources, Inc. 52,319
3,056 HSB Group, Inc. 103,331
1,555 +Hadco Corporation 79,305
3,180 +Haemonetics Corporation 75,724
1,842 +The Hain Food Group, Inc. 41,215
1,202 Hancock Holding Company 46,577
4,804 +Handleman Company 64,253
2,768 +Hanger Orthopedic Group, Inc. 27,680
3,168 +Hanover Compressor Company 119,592
4,598 +Harbinger Corporation 146,274
454 Harleysville National Corporation 14,755
1,863 Harman International Industries,
Incorporated 104,561
2,846 +Harmonic Inc. 270,192
3,606 Harsco Corporation 114,490
2,693 Haverty Furniture Companies, Inc. 33,999
2,671 Hawaiian Electric Industries, Inc. 77,125
1,990 +Hayes Lemmerz International, Inc. 34,701
5,123 Health Care Property Investors,
Inc. 122,312
3,130 Health Care REIT, Inc. 47,341
4,024 Healthcare Realty Trust, Inc. 62,875
995 +Healtheon Corporation 37,312
2,065 +Heidrick & Struggles
International, Inc. 87,246
2,707 Helix Technology Corporation 121,307
4,542 Helmerich & Payne, Inc. 99,072
3,792 +Hemispherx Biopharma, Inc. 37,683
2,613 +Henry Schein, Inc. 34,786
2,558 +Hexcel Corporation 14,229
688 +hi/fn, inc. 26,617
2,082 Hilb, Rogal and Hamilton Company 58,816
3,723 +Hollywood Entertainment
Corporation 53,983
2,879 +Hollywood Park, Inc. 64,598
2,208 Home Properties of New York, Inc. 60,582
3,446 Hooper Holmes, Inc. 88,734
3,916 Horace Mann Educators Corporation 76,851
4,290 Hospitality Properties Trust 81,778
3,582 Hudson United Bancorp 91,565
2,229 Hughes Supply, Inc. 48,063
2,443 +Human Genome Sciences, Inc. 372,863
</TABLE>
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COMMON STOCK (CONTINUED)
5,316 Hussmann International, Inc. $ 80,072
2,798 +Hutchinson Technology Incorporated 59,457
3,479 +Hyperion Solutions Corporation 151,336
5,291 +ICG Communications, Inc. 98,876
2,966 IDAcorp Inc. 79,526
4,390 +IDEC Pharmaceuticals Corporation 431,317
2,995 IDEX Corporation 90,973
4,262 +IDEXX Laboratories, Inc. 68,725
2,329 +IDT Corporation 43,960
1,658 +IDX Systems Corporation 51,813
1,344 +IGEN International, Inc. 39,984
2,670 +IHOP Corp. 44,556
2,643 IMCO Recycling Inc. 33,368
994 +IPC Communications, Inc. 70,574
6,421 IRT Property Company 50,164
2,661 +ISS Group, Inc. 189,264
3,271 +The IT Group, Inc. 30,052
4,719 +ITCP DeltaCom, Inc. 130,362
1,893 +ITT Educational Services, Inc. 29,223
2,877 +IVEX Packaging Corporation 28,770
3,624 +Identix Incorporated 32,843
4,406 +Imation Corp. 147,876
2,862 +Imclone Systems 113,407
3,845 +Imperial Bancorp 92,761
5,097 Imperial Credit Commercial Mortgage
Investment Corp. 57,978
3,755 +Imperial Credit Industries, Inc. 23,469
2,912 +In Focus Systems, Inc. 67,522
4,900 +InaCom Corp. 35,831
2,738 +Incyte Pharmaceuticals, Inc. 164,280
7,306 Independence Community Bank Corp. 91,325
3,100 Independent Bank Corp. 38,750
2,550 Indiana Energy, Inc. 45,263
7,964 IndyMac Mortgage Holdings, Inc. 101,541
3,208 +InfoCure Corporation 100,050
979 +Informatica Corporation 104,141
4,393 +Information Resources, Inc. 40,635
14,900 +Informix Corporation 169,488
3,973 +infoUSA Inc. 55,374
1,883 +Inhale Therapeutic Systems 80,145
5,180 Innkeepers USA Trust 42,411
2,514 Insight Enterprises, Inc. 102,131
2,950 +Insignia Financial Group, Inc. 25,628
3,500 +Insituform Technologies, Inc.
(Class A) 98,875
8,785 +Integrated Device Technology, Inc. 254,765
3,396 +Integrated Electrical Services,
Inc. 34,172
3,900 +Integrated Health Services, Inc. 351
2,745 +Integrated Systems 92,129
2,000 +InterDigital Communications
Corporation 150,000
5,509 +Intergraph Corp. 25,823
6,512 +Interim Services 161,172
5,114 +Intermedia Communications Inc. 198,487
</TABLE>
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SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
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COMMON STOCK (CONTINUED)
1,381 International Bancshares
Corporation $ 61,109
2,592 +International Home Foods, Inc. 45,036
2,465 International Multifoods 32,661
5,690 +International Rectifier Corp. 147,940
2,441 Inter-Tel Inc. 61,025
3,722 +InterVoice, Inc. 86,537
1,119 +InterVu Inc. 117,495
2,153 Interwest Bancorp Inc. 41,445
2,901 Invacare Corp. 58,201
1,815 Investors Financial Services 83,490
5,400 +Iomega Corporation 18,225
1,959 +Ionics, Inc. 55,097
2,811 +Iron Mountain Incorporated 110,507
3,961 +Isis Pharmaceuticals 24,756
1,381 +iTurf Inc. (Class A) 17,176
1,589 +iVillage Inc. 32,177
2,687 J.B. Hunt Transport Services, Inc. 37,198
2,862 The J. M. Smucker Company (Class A) 55,809
3,210 +JDA Software Group, Inc. 52,564
3,656 JDN Realty Corporation 58,953
5,109 JLG Industries, Inc. 81,425
933 JSB Financial, Inc. 48,399
1,710 Jack Henry & Associates, Inc. 91,806
4,657 +Jack in the Box Inc. 96,342
2,517 +Jacobs Engineering Group Inc. 81,803
2,485 Jefferies Group, Inc. 54,670
2,528 +Jo-Ann Stores Inc. 28,440
4,080 John H. Harland Company 74,715
1,241 The John Nuveen Company (Class A) 44,754
1,181 +Jones Lang Lasalle Inc. 14,024
3,963 Jones Pharmaceuticals, Inc. 171,895
4,251 Jostens, Inc. 103,352
5,138 +Journal Register Co. 79,318
2,520 +Just for Feet, Inc. 1,575
4,080 Kaman Corp. (Class A) 52,530
4,538 Kaufman and Broad Home Corporation 109,763
3,320 Kaydon Corp. 89,018
3,253 Kellwood Co. 63,230
2,021 Kelly's Services, Inc. (Class A) 50,778
4,039 +Kemet Corp. 182,007
2,814 Kennametal Inc. 94,621
3,181 +Kent Electronics Corporation 72,368
6,492 +Key Energy Services, Inc. 33,677
3,097 Kilroy Realty Corporation 68,134
4,385 Kimball International (Class B) 72,353
2,511 +King Pharmaceuticals, Inc. 140,773
2,582 +Kirby Corporation 52,931
3,351 Koger Equity, Inc. 56,548
3,000 +Komag, Incorporated 9,375
3,052 +Kopin Corporation 128,184
2,992 +Korn/Ferry International 108,834
1,573 +Kronos, Inc. 94,380
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COMMON STOCK (CONTINUED)
2,581 +Kulicke and Soffa Industries $ 109,854
1,995 +Kv Pharmaceutical Co. (Class B) 42,768
1,479 The L.S. Starrett Company (Class A) 33,185
4,111 +LAM Research Corp. 458,633
3,143 LNR Property Corp. 62,467
4,666 LTC Properties 39,369
10,989 The LTV Corporation 45,330
4,357 +LTX Corporation 97,488
5,766 La-Z-Boy Inc. 96,941
4,508 +Labor Ready, Inc. 54,660
2,464 Laclede Gas Company 53,284
3,045 Lance, Inc. 30,450
1,629 LandAmerica Financial Group, Inc. 29,933
1,529 Landauer, Inc. 33,447
3,699 +Landry's Seafood Restaurants 32,135
1,565 +Land's End, Inc. 54,384
1,507 +Landstar System, Inc. 64,518
2,974 +Laser Vision Centers, Inc. 31,413
1,738 +Lason, Inc. 19,118
4,612 +Lattice Semiconductor Corporation 217,341
2,585 +Leap Wireless International, Inc. 202,923
4,440 Lee Enterprises, Incorporated 141,803
4,484 Lennar Corporation 72,865
3,668 Leucadia National Corporation 84,823
4,429 Lexington Corporate Properties
Trust 40,691
1,727 Libbey, Inc. 49,651
1,610 The Liberty Corporation 67,922
1,038 Liberty Financial Companies, Inc. 23,809
3,970 +LifePoint Hospitals, Inc. 46,896
5,494 +Ligand Pharmaceuticals
Incorporated (Class B) 70,735
3,497 Lilly Industries, Inc. (Class A) 46,991
3,505 Lincoln Electric Holdings, Inc. 72,072
2,332 Lindsay Manufacturing Co. 42,559
4,373 +The Liposome Company, Inc. 53,364
2,518 +Littelfuse Inc. 61,101
4,272 +Local Financial Corp. 44,055
4,505 +Lone Star Steakhouse & Saloon,
Inc. 40,193
3,260 +Lone Star Technology 90,873
5,534 Longview Fibre Company 78,860
2,173 +Louis Dreyfus Natural Gas Corp. 39,386
3,089 Luby's Cafeterias Inc. 35,137
2,591 +Lydall, Inc. 17,165
4,963 M.A. Hanna Company 54,283
2,390 MAF Bancorp, Inc. 50,041
2,999 +MAPICS INC. 37,862
1,416 +MAXIMUS, Inc. 48,056
2,600 MDC Holdings, Inc. 40,788
4,533 MDU Resources Group 90,660
3,816 +MEMC Electronic Materials, Inc. 46,746
2,103 +MGC Communications, Inc. 106,727
3,754 MGI Properties, Inc. 19,709
</TABLE>
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COMMON STOCK (CONTINUED)
1,394 +MIPS Technologies, Inc. (Class A) $ 72,488
3,409 +MMC Networks, Inc. 117,184
2,796 MMI Companies, Inc. 24,116
4,493 The MONY Group Inc. 131,139
2,914 +MRV Communications, Inc. 183,218
3,307 +MSC Industrial Direct Co., Inc.
(Class A) 43,818
3,358 +MTI Technology Corporation 123,826
1,718 MacDermid, Inc. 70,545
3,300 Macerich Company 68,681
1,712 +Macrovision Corporation 125,832
2,423 Madison Gas & Electric Co. 48,763
3,812 +Magnetek, Inc. 29,305
4,195 +Mail-Well, Inc. 56,633
2,989 The Manitowoc Co., Inc. 101,626
2,900 Manu Home Communications 70,506
2,627 +Manugistics Group, Inc. 84,885
3,801 Marcus Corporation 51,076
5,861 +Marine Drilling Co., Inc. 131,506
4,873 Mark IV 86,191
340 +Markel Corporation 52,700
3,956 MascoTech, Inc. 50,192
2,287 +MasTec, Inc. 101,772
3,958 +Mastech Corp. 97,961
2,188 Mathews International Corp. (Class
A) 60,170
4,841 +Maxtor Corporation 35,097
2,976 +Medical Assurance, Inc. 63,054
3,186 +Medicis Pharmaceutical (Class A) 135,604
3,903 +MedQuist Inc. 100,746
4,132 Medtris Companies Inc. 147,461
1,603 +MemberWorks Incorporated 53,099
3,129 +The Men's Warehouse, Inc. 91,914
2,300 +Mentor Corporation 59,369
7,750 Mentor Graphics Corporation 102,203
3,236 Merchants New York Bancorp, Inc. 55,417
4,034 +Mercury Interactive Corp. 435,420
5,473 Meristar Hospitality Corp. 87,568
3,256 +MessageMedia, Inc. 45,788
3,723 +Metamor Worldwide, Inc. 108,432
3,986 Methode Electronics 128,050
1,000 +Metricom, Inc. 78,625
6,688 +Metromedia International Group,
Inc. 31,768
4,035 +Mettler-Toledo International 154,087
1,818 Michael Foods, Inc. 44,768
2,867 +Michaels Stores, Inc. 81,710
3,016 +Micrel, Inc. 171,724
4,192 +Micro Warehouse, Inc. 77,552
1,248 +Micromuse, Inc. 212,160
4,210 +Micron Electronics, Inc. 46,836
2,000 +Micros Systems, Inc. 148,000
4,192 +MicroStrategy Incorporated 880,320
5,747 +Mid Atlantic Medical Services,
Inc. 47,772
</TABLE>
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COMMON STOCK (CONTINUED)
2,240 Mid-America Apartment Communities,
Inc. $ 50,680
2,585 Midas Group, Inc. 56,547
1,553 Mid-State Bancshares 49,502
3,567 +Midway Games Inc. 85,385
1,731 +Midwest Express Holdings 55,176
3,648 Milacron Inc. 56,088
3,874 +Millennium Pharmaceuticals, Inc. 472,628
2,400 Mills Corp. 42,900
1,913 Minerals Technologies, Inc. 76,640
4,017 Mississippi Chemical 24,855
2,897 Mitchell Energy & Development Corp.
(Class A) 63,915
2,564 Modine Manufacturing Co. 64,100
1,420 +Molecular Devices Corporation 73,840
2,266 +Monaco Coach Corporation 57,925
316 +Moog Inc. (Class A) 8,532
3,309 Morgan Keenan, Inc. 55,633
1,740 +Mpath Interactive, Inc. 46,328
3,806 +Mueller Industries, Inc. 137,968
1,522 +Multex.com Inc. 57,265
3,835 +Musicland Stores Corporation 32,358
2,061 Myers Industries, Inc. 32,461
778 NACCO Industries, Inc. (Class A) 43,228
1,022 +NBC Internet, Inc. (Class A) 78,950
6,301 +NBTY Inc. 72,855
2,420 +NCI Building Systems, Inc. 44,770
1,207 +NCO Group, Inc. 36,361
2,740 +NFO Worldwide, Inc. 61,308
2,815 NL Industries, Inc. 42,401
799 NSTAR 32,360
1,978 NUI Corporation 52,170
1,889 +NVIDIA Corporation 88,665
1,275 +NVR, Inc. 60,881
1 +Nabors Industries, Inc. 26
1,186 National Bancorp of Alaska, Inc. 33,282
1,229 National City Bancshares, Inc. 30,879
3,502 National Computer Systems, Inc. 131,763
1,312 +National Discount Brokers Group,
Inc. 34,604
3,567 +National Equipment Services, Inc. 22,294
2,797 National Health Investors, Inc. 41,605
2,807 +National Instruments Corporation 107,368
2,592 National Penn Bancshares, Inc. 65,124
1,501 +National RV Holding, Inc. 28,894
3,721 National Steel Corp. 27,675
5,169 +National-Oilwell, Inc. 81,089
5,075 Nationwide Health Properties, Inc. 69,781
2,717 Natures Sunshine Products, Inc. 21,736
4,069 +Nautica Enterprises, Inc. 46,031
4,061 +Navigant Consulting, Inc. 44,163
2,450 +Net.B@nk, Inc. 45,784
3,086 +Network Equipment Technologies,
Inc. 36,453
</TABLE>
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98
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(AUDITED)
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COMMON STOCK (CONTINUED)
1,000 +Network Peripherals Inc. $ 47,250
2,100 New England Business Services, Inc. 51,319
1,411 New Jersey Resources Corporation 55,117
3,862 +Newfield Exploration Company 103,309
7,549 +Newpark Resources, Inc. 46,238
3,500 Newport News Shipbuilding Inc. 96,250
1,549 Nordson Corporation 74,739
2,170 Northwest Natural Gas Company 47,604
2,388 Northwestern Corporation 52,536
1,832 +Novoste Corporation 30,228
2,214 +Nuevo Energy Company 41,513
1,697 +OEA, Inc. 8,273
2,293 OM Group, Inc. 78,965
2,710 OMEGA Healthcare Investors, Inc. 34,383
3,052 ONEOK, Inc. 76,682
2,127 +Oak Industries Inc. 225,728
2,627 +Oceaneering International, Inc. 39,241
2,625 OceanFirst Financial Corp. 45,445
6,038 +OfficeMax, Inc. 33,209
2,882 +Offshore Logistics, Inc. 27,019
4,924 Ohio Casualty Corporation 79,092
4,151 Olin Corporation 82,242
7,606 Olsten Corporation 86,043
1,697 Omega Financial Corporation 49,213
3,424 +Omnipoint Corporation 413,020
3,387 Omnova Solutions Inc. 26,249
1,988 +On Assignment, Inc. 59,392
3,421 One Valley Bancorp, Inc. 104,768
1,849 Oneida Ltd. 40,216
2,299 +OneMain.com, Inc. 34,485
3,406 +Open Market, Inc. 153,696
1,336 Optical Coating Laboratory, Inc. 395,456
3,979 +Orbital Sciences Corporation 73,860
3,793 Oregon Steel Mills, Inc. 30,107
3,850 +O'Reilly Automotive, Inc. 82,775
3,881 +Organogenesis Inc. 33,716
1,880 Oriental Financial Group Inc. 41,478
4,499 +Orthodontic Centers of America,
Inc. 53,707
2,546 OshKosh B'Gosh, Inc. (Class A) 53,625
1,531 Oshkosh Truck Corporation 44,877
1,950 +Osteotech, Inc. 26,081
1,411 Otter Tail Power Company 52,913
3,685 Overseas Shipholding Group, Inc. 54,584
3,990 Owens & Minor, Inc. 35,661
2,854 P.H. Glatfelter Company 41,561
3,113 +PAREXEL International Corporation 36,772
6,600 +P-Com, Inc. 58,369
2,000 +PETCO Animal Supplies, Inc. 29,750
2,200 +PETsMART, Inc. 12,650
2,124 PFF Bancorp, Inc. 41,153
2,100 +PICO Holdings, Inc. 25,856
1,598 +PLX Technology, Inc. 30,262
</TABLE>
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COMMON STOCK (CONTINUED)
2,841 PMA Capital Corporation (Class A) $ 56,465
2,085 +PRI Automation, Inc. 139,956
3,119 PS Business Parks, Inc. 70,957
606 +PSINet Inc. 37,442
2,505 Pacific Capital Bancorp 77,029
1,766 +Pacific Gateway Exchange, Inc. 30,132
2,453 Pacific Gulf Properties, Inc. 49,673
3,367 +Pacific Sunwear of California,
Inc. 108,375
7,466 +PairGain Technologies, Inc. 105,924
2,266 +Palm Harbor Homes, Inc. 40,788
2,337 +Papa John's International, Inc. 60,908
1,340 Park Electrochemical Corp. 35,594
672 Park National Corporation 64,512
1,651 +Parker Drilling Company 5,263
1,516 Parkway Properties, Inc. 43,680
2,037 +PathoGenesis Corporation 43,668
2,580 +Patterson Dental Company 109,973
3,879 +Patterson Energy, Inc. 50,427
5,235 +Paxar Corporation 44,170
3,627 +Paxson Communications Corporation 43,297
1,463 +Pegasus Communications Corporation 140,448
1,672 +Pegasus Systems, Inc. 100,843
3,916 +Pegasystems Inc. 44,055
7,778 Pennzoil-Quaker State Company 79,238
2,446 Penton Media, Inc. 58,704
3,058 +PeopleSoft, Inc. 65,179
4,983 The Pep Boys-Manny, Moe & Jack 45,470
2,905 +Peregrine Systems, Inc. 240,026
1,781 +Performance Food Group Company 43,412
4,521 PerkinElmer, Inc. 188,469
6,686 +Perrigo Company 53,488
4,166 +Personnel Group of America, Inc. 42,181
2,102 +Pervasive Software Inc. 35,603
2,274 +Pharmaceutical Product
Development, Inc. 27,004
1,570 +Pharmacyclics, Inc. 64,763
3,228 Philadelphia Suburban Corporation 66,779
4,169 Phillips-Van Heusen Corporation 34,655
6,142 Phoenix Investment Partners, Ltd. 49,904
3,396 +Phoenix Technologies Ltd. 53,699
2,355 +Photronics, Inc. 67,412
5,713 +PictureTel Corporation 24,637
2,481 Piedmont Natural Gas Company, Inc. 75,050
10,759 Pier 1 Imports, Inc. 68,589
2,769 +Pinnacle Holdings Inc. 117,336
2,134 +Pinnacle Systems, Inc. 86,827
3,138 +The Pioneer Group, Inc. 49,424
10,476 +Pioneer Natural Resources Company 93,629
3,564 Pioneer-Standard Electronics, Inc. 51,455
3,506 Pittson BAX Group 37,251
4,044 Pittston Brink's Group 88,968
</TABLE>
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99
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SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
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COMMON STOCK (CONTINUED)
1,200 Pittway Corporation $ 54,075
1,869 +Plantronics, Inc. 133,750
2,442 +Playboy Enterprises, Inc. 59,371
3,129 +Playtex Products, Inc. 48,108
1,883 +Plexus Corporation 82,852
4,369 Pogo Producing Company 89,565
2,646 Polaris Industries, Inc. 95,918
4,584 Polaroid Corporation 86,237
3,748 +Policy Management Systems
Corporation 95,808
2,416 +Polycom, Inc. 153,869
3,898 Polymer Group, Inc. 71,139
2,047 Potlatch Corporation 91,347
2,526 +Power Integrations, Inc. 121,090
2,795 +Powertel, Inc. 280,548
1,652 +Powerwave Technologies, Inc. 96,436
2,299 Precision Castparts Corp. 60,349
3,138 Premier Bancshares, Inc. 42,755
4,400 +Premiere Technologies, Inc. 30,800
3,973 Prentiss Properties Trust 83,433
2,460 +Pre-Paid Legal Services, Inc. 59,040
2,845 Presidential Life Corporation 52,277
1,646 +Preview Travel, Inc. 85,798
5,314 +Price Communications Corporation 147,796
5,835 +Pride International, Inc. 85,337
2,460 +Primark Corporation 68,419
5,971 +Prime Hospitality Corp. 52,619
5,550 Prime Retail, Inc. 31,219
2,000 Primex Technologies, Inc. 41,500
2,722 +Primus Telecommunications Group,
Incorporated 104,117
598 +Priority Healthcare Corporation
(Class B) 17,305
1,726 +ProBusiness Services, Inc. 62,136
3,451 +The Profit Recovery Group
International, Inc. 91,667
2,359 +Progress Software Corporation 133,873
2,150 +Protein Design Labs, Inc. 150,500
3,430 Provident Bancshares Corporation 59,382
1,138 +Proxicom, Inc. 141,468
1,337 +Proxim, Inc. 147,070
2,579 +ProxyMed, Inc. 25,145
4,040 Public Service Company of New
Mexico 65,650
2,664 Public Service Company of North
Carolina, Incorporated 86,081
2,808 Pulte Corporation 63,180
1,294 +QRS Corporation 134,980
3,070 +QuadraMed Corporation 26,767
2,386 Quanex Corporation 60,843
3,168 +Quanta Services, Inc. 89,496
3,866 Quebecor Printing Inc. 86,019
2,250 Queens County Bancorp Inc. 61,031
3,177 +Quest Diagnostics Incorporated 97,097
2,704 +Quiksilver, Inc. 41,912
</TABLE>
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<C> <S> <C>
COMMON STOCK (CONTINUED)
7,660 +Quorum Health Group, Inc. $ 71,334
3,878 R.H. Donnelley Corporation 73,197
2,697 +REMEC, Inc. 68,774
3,725 RFS Hotel Investors, Inc. 38,880
3,576 RGS Energy Group Inc. 73,532
1,169 RLI Corp. 39,746
4,058 +RSA Security Inc. 314,495
3,402 Radian Group Inc. 162,446
3,398 +Ralcorp Holdings, Inc. 67,748
4,356 +Rare Medium Group, Inc. 148,649
4,206 Raymond James Financial, Inc. 78,600
2,423 Rayonier Inc. 117,061
3,149 +Rayovac Corporation 59,437
2,862 Realty Income Corporation 59,029
4,383 Reckson Associates Realty
Corporation 89,852
555 Reckson Associates Realty
Corporation 12,626
5,343 +Reebok International Ltd. 43,746
2,725 Regal-Beloit Corporation 56,203
3,000 Regency Realty Corporation 60,000
3,122 +Regeneron Pharmaceuticals, Inc. 39,806
3,402 Regis Corporation 64,213
1,400 Reliance Bancorp, Inc. 48,300
4,985 Reliance Group Holdings, Inc. 33,337
2,332 Reliance Steel & Aluminum Co. 54,656
2,738 +Remedy Corporation 129,713
2,700 +Renaissance Worldwide, Inc. 19,913
4,827 +Renal Care Group, Inc. 112,831
2,145 +Rent A Center Inc. 42,498
2,347 +Rent-Way, Inc. 43,860
6,443 Republic Bancorp Inc. 78,222
6,601 Republic Security Financial
Corporation 47,238
2,171 +Res-Care, Inc. 27,680
1,752 +ResMed Inc. 73,146
2,830 Resource America, Inc. (Class A) 22,286
3,843 +Respironics, Inc. 30,624
3,646 +Rexall Sundown, Inc. 37,599
3,443 Richmond County Financial Corp. 62,189
2,028 Riggs National Corporation 26,744
2,700 +Risk Capital Holdings, Inc. 34,088
2,594 Rock-Tenn Company (Class A) 38,262
1,234 +Rogers Corporation 47,201
6,575 Rollins Truck Leasing Corp. 78,489
3,412 Rollins, Inc. 51,180
5,000 +Romac International, Inc. 67,188
3,333 Roper Industries, Inc. 126,029
3,721 Ruby Tuesday, Inc. 67,676
3,620 Ruddick Corporation 56,110
3,363 Russell Corporation 56,330
5,210 +Ryan's Family Steak Houses, Inc. 44,122
2,109 Ryerson Tull, Inc. 40,994
1,904 The Ryland Group, Inc. 43,911
2,698 S&T Bancorp, Inc. 62,560
</TABLE>
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100
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MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
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HELD ISSUE VALUE
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<C> <S> <C>
COMMON STOCK (CONTINUED)
2,833 +S1 Corporation $ 221,328
6,248 +S3 Incorporated 72,243
3,872 +SAGA Systems, Inc. 77,198
1,491 +SCM Microsystems, Inc. 95,331
1,494 SCPIE Holdings Inc. 47,995
1,394 +SEACOR SMIT Inc. 72,140
6,445 +SICOR Inc. 49,949
1,927 SIGCORP, Inc. 43,839
2,323 +SIPEX Corporation 57,059
2,721 SL Green Realty Corp. 59,182
1,817 +SLI, Inc. 24,643
1,487 +SPS Technologies, Inc. 47,491
2,589 +SS&C Technologies, Inc. 16,829
4,748 +STAR Telecommunications, Inc. 37,539
6,981 +STERIS Corporation 71,992
3,722 +SVI Holdings, Inc. 44,664
857 +Sabratek Corporation 69
4,886 +Safeskin Corporation 59,243
1,205 +Salton, Inc. 40,292
1,492 +Sanchez Computer Associates, Inc. 61,452
2,261 +SanDisk Corporation 217,621
2,259 +SangStat Medical Corporation 67,205
2,761 +Sawtek Inc. 183,779
1,433 +Scholastic Corporation 89,115
2,655 +School Specialty, Inc. 40,157
2,157 Schweitzer-Manduit International,
Inc. 28,985
1,954 +Scott Technologies, Inc. 36,882
2,087 +The Scotts Company (Class A) 84,002
4,129 Seacoast Financial Services
Corporation 42,064
3,189 +Security Capital Group
Incorporated (Class B) 39,863
3,016 +Seitel, Inc. 20,358
3,313 Selective Insurance Group, Inc. 56,942
3,336 +Semtech Corporation 173,889
7,452 +Sensormatic Electronics
Corporation 129,944
1,124 +Sequa Corporation (Class A) 60,626
2,969 +Serologicals Corporation 17,814
2,814 +Shire Pharmaceuticals Group PLC
(ADR)(a) 81,949
3,181 +ShopKo Stores, Inc. 73,163
2,741 +Shorewood Packaging Corporation 51,908
2,636 Shurgard Storage Centers, Inc.
(Class A) 61,122
3,209 +Sierra Health Services, Inc. 21,460
1,871 Sierra Pacific Resources 32,392
1,554 +Silgan Holdings Inc. 20,785
2,332 +Silicon Valley Bancshares 115,434
690 +Silicon Valley Group, Inc. 12,248
370 +Siliconix Incorporated 48,655
515 Simmons First National Corporation
(Class A) 12,875
3,444 Simpson Industries, Inc. 38,745
1,093 +Simpson Manufacturing Co., Inc. 47,819
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,821 +Sinclair Broadcast Group, Inc.
(Class A) $ 34,425
1,796 +Sirius Satellite Radio Inc. 79,922
6,491 Sky Financial Group, Inc. 130,631
1,525 Skyline Corporation 35,838
2,479 SkyWest, Inc. 69,412
4,991 +Smithfield Foods, Inc. 119,784
2,042 +SoftNet Systems, Inc. 51,305
2,724 +Sola International Inc. 37,796
1,547 +Solectron Corporation 147,158
2,342 +Sonic Corp. 66,747
1,486 South Jersey Industries, Inc. 42,258
4,359 Southern Peru Limited 67,292
4,992 +Southern Union Company 95,472
3,841 +Southwest Bancorporation of Texas,
Inc. 76,100
2,621 Southwest Gas Corporation 60,283
1,379 Southwest Securities Group, Inc. 37,750
4,019 Southwestern Energy Company 26,375
2,108 Sovran Self Storage, Inc. 39,920
1,780 Spartech Corporation 57,405
3,217 +SpeedFam-IPEC, Inc. 41,620
1,932 +SportsLine USA, Inc. 96,842
1,325 Springs Industries, Inc. (Class A) 52,917
2,105 +Spyglass, Inc. 79,826
1,541 St. Mary Land & Exploration Company 38,140
2,522 +Staff Leasing, Inc. 23,959
3,562 Standard Pacific Corp. 39,182
1,163 The Standard Register Company 22,533
1,026 Starwood Financial Inc. 17,378
4,835 Staten Island Bancorp, Inc. 87,030
2,896 +Station Casinos, Inc. 64,979
4,782 +Steel Dynamics, Inc. 76,213
1,565 +Steinway Musical Instruments, Inc. 31,691
4,646 Sterling Bancshares, Inc. 51,977
3,307 Stewart & Stevenson Services, Inc. 39,167
4,334 +Stillwater Mining Company 138,146
1,200 Stone & Webster, Incorporated 20,175
1,769 +Stone Energy Corporation 63,021
2,662 Storage USA, Inc. 80,526
5,850 The Stride Rite Corporation 38,025
3,060 Sturm, Ruger & Company, Inc. 27,158
3,483 +Suiza Foods Corporation 138,014
2,587 Summit Properties Inc. 46,243
5,034 +Summit Technology, Inc. 58,835
1,962 Sun Communities, Inc. 63,152
9,898 +Sunbeam Corporation 41,448
5,371 +Sunglass Hut International, Inc. 60,424
2,070 +Sunrise Assisted Living, Inc. 28,463
3,953 +Sunrise Medical Inc. 24,459
3,600 +Sunrise Technologies
International, Inc. 42,525
4,120 +Sunterra Corporation 47,380
2,449 Superior Industries International,
Inc. 65,664
2,558 +Superior National Insurance Group,
Inc. 19,345
</TABLE>
Continued
101
<PAGE> 102
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
252 +Superior Trust Inc. (Preferred) $ 8,442
4,625 Susquehanna Bancshares, Inc. 73,422
2,700 +Swift Energy Company 31,050
4,419 +Swift Transportation Co., Inc. 77,885
9,166 +Sybase, Inc. 155,822
2,526 +Sykes Enterprises, Incorporated 110,828
1,275 +Syncor International Corporation 37,134
3,953 +Syntroleum Corporation 31,871
4,437 +Systemax Inc. 37,715
3,837 +Systems & Computer Technology
Corporation 62,351
4,499 +TALK.com, Inc. 79,857
2,238 +THQ Inc. 51,894
2,165 TJ International, Inc. 90,659
1,408 TNP Enterprises, Inc. 58,080
1,741 +TSI International Software Ltd. 98,584
1,522 The Talbots, Inc. 67,919
3,769 Taubman Centers, Inc. 40,517
2,813 +Techne Corporation 154,891
1,947 Technitrol, Inc. 86,642
4,932 +Technology Solutions Company 161,523
3,248 +Tekelec 73,080
4,630 Tektronix, Inc. 179,991
3,600 +Telebanc Financial Corporation 93,150
2,886 +TeleTech Holdings, Inc. 97,267
1,404 Tennant Company 45,981
1,605 +Terayon Communication Systems,
Inc. 100,814
2,937 +Terex Corporation 81,502
3,682 +Tesoro Petroleum Corporation 42,573
4,290 +Tetra Tech, Inc. 65,959
2,324 Texas Industries, Inc. 98,915
2,118 Texas Regional Bancshares, Inc.
(Class A) 61,422
1,820 +theglobe.com, inc. 15,243
3,246 +Theragenics Corporation 29,417
2,160 +Thermo Cardiosystems Inc. 14,175
2,889 Thomas Industries Inc. 59,044
4,656 The Timken Company 95,157
4,861 +The Titan Corporation 229,075
3,188 +Toll Brothers, Inc. 59,377
3,561 +Tom Brown, Inc. 47,628
5,781 +The Topps Company, Inc. 59,978
1,645 The Toro Company 61,379
8,201 +Total Renal Care Holdings, Inc. 54,844
4,285 +Tower Automotive, Inc. 66,150
2,764 Town & Country Trust 49,579
3,139 +Trammell Crow Company 36,491
5,000 +Trans World Airlines, Inc. 14,063
3,853 +Trans World Entertainment
Corporation 40,457
3,418 +Transaction Systems Architects,
Inc. (Class A) 95,704
2,125 +Transkaryotic Therapies, Inc. 81,813
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
3,580 +TransMontaigne Inc. $ 25,060
2,761 +TranSwitch Corporation 200,345
2,293 Tredegar Corporation 47,436
1,761 Trenwick Group Inc. 29,827
2,030 +Triad Guaranty Inc. 46,183
3,728 +Triad Hospitals, Inc. 56,386
3,891 Triangle Bancorp, Inc. 75,388
3,095 +Triangle Pharmaceuticals, Inc. 39,655
2,231 +Triarc Companies, Inc. 40,995
1,644 +TriQuint Semiconductor, Inc. 182,895
3,378 +Trimble Navigation Limited 73,049
3,738 Trinity Industries, Inc. 106,299
1,513 +Triumph Group, Inc. 36,596
4,556 True North Communications Inc. 203,596
4,954 TrustCo Bank Corp NY 65,641
2,294 The Trust Company of New Jersey 52,475
4,701 +Tuboscope Inc. 74,628
5,654 Tupperware Corporation 95,765
1,475 +Tut Systems, Inc. 79,097
2,861 +Twinlab Corporation 22,709
6,135 +Tyler Technologies, Inc. 33,743
2,136 +U.S. Franchise Systems, Inc. 9,612
1,434 +U.S. Home Corporation 36,657
4,720 +UCAR International Inc. 84,075
3,200 UGI Corporation 65,400
4,093 +UICI 43,232
1,941 UMB Financial Corporation 73,273
4,480 +UNOVA, Inc. 58,240
1,856 +URS Corporation 40,252
7,365 +US Oncology, Inc. 36,365
2,644 USBANCORP, Inc. 31,067
9,171 USEC Inc. 64,197
2,956 USFreightways Corporation 141,519
1,956 +USinternetworking, Inc. 136,676
4,185 UST Corp. 132,874
2,910 +Ultratech Stepper, Inc. 46,924
6,653 +Unifi, Inc. 81,915
2,319 UniFirst Corporation 29,277
4,093 UniSource Energy Corporation 45,790
1,300 +Unistar Financial Service Corp. 1,300
5,012 United Asset Management Corporation 93,035
4,619 United Bankshares, Inc. 110,279
4,128 United Community Financial Corp. 41,022
9,546 United Dominion Realty Trust, Inc. 94,267
1,723 The United Illuminating Company 88,519
755 United National Bancorp 16,752
3,453 +United Stationers, Inc. 98,626
307 United Television, Inc. 42,942
2,934 United Water Resources Inc. 100,306
2,835 Universal Corporation 64,673
5,090 Universal Foods Corporation 103,709
1,308 Urban Shopping Centers, Inc. 35,480
</TABLE>
Continued
102
<PAGE> 103
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
2,995 +Vail Resorts, Inc. $ 53,723
5,111 Valero Energy Corporation 101,581
2,844 Valmont Industries, Inc. 45,682
3,097 +ValueVision International, Inc.
(Class A) 177,497
6,153 +Varco International, Inc. 62,684
3,660 +Varian Inc. 82,350
3,074 +Varian Medical Systems, Inc. 91,644
3,327 +Varian Semiconductor Equipment
Associates, Inc. 113,118
1,001 +Veeco Instruments Inc. 46,859
1,806 +Ventana Medical Systems, Inc. 44,924
2,739 +Veritas DGC Inc. 38,346
3,450 +Verity, Inc. 146,841
2,870 +Vertex Pharmaceuticals
Incorporated 100,450
3,704 +VerticalNet, Inc. 607,456
3,097 +Veterinary Centers of America,
Inc. 39,874
1,468 +Viatel, Inc. 78,722
2,408 +Vical Incorporated 72,090
2,196 +Vicor Corporation 88,938
4,973 Vintage Petroleum, Inc. 59,987
2,969 +Visio Corporation 141,028
2,365 +Visual Networks, Inc. 187,426
3,622 +Vlasic Foods International Inc. 20,600
2,324 W.H. Brady Co. 78,871
6,716 +W.R. Grace & Co. 93,184
2,161 WD-40 Company 47,812
3,374 +WESCO International, Inc. 29,944
5,070 W Holding Company, Inc. 52,601
3,280 WICOR, Inc. 95,735
2,894 +WMS Industries Inc. 37,984
2,160 WPS Resources Corporation 54,270
2,828 Wabash National Corporation 42,420
2,143 The Wackenhut Corporation (Class A) 32,011
2,155 +Wackenhut Corrections Corporation 25,187
2,962 Walden Residential Properties, Inc. 64,053
4,059 Wallace Computer Services, Inc. 67,481
4,485 Walter Industries, Inc. 48,494
4,419 Washington Federal, Inc. 87,275
4,200 Washington Gas Light Company 115,500
3,987 Washington Real Estate Investment
Trust 59,805
1,856 +Waste Connections, Inc. 26,796
2,700 Watsco, Inc. 31,219
1,996 Watts Industries, Inc. (Class A) 29,441
5,436 Wausau-Mosinee Paper Corporation 63,533
4,380 +Wave Systems Corp. (Class A) 52,286
3,842 +Wavo Corp. 14,888
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES
HELD ISSUE VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
5,359 +WebLink Wireless, Inc. $ 83,065
3,465 Webster Financial Corporation 81,644
785 +WebTrends Corporation 63,585
2,104 Weingarten Realty Investors 81,925
3,730 Wellman, Inc. 69,471
4,971 +Wellsford Real Properties Inc. 42,254
3,634 Werner Enterprises, Inc. 51,103
1,966 WesBanco, Inc. 51,116
2,099 +Wesley Jessen VisionCare, Inc. 79,500
2,910 West Coast Bancorp 39,285
1,554 West Pharmaceuticial Services, Inc. 48,077
10,549 +Western Digital Corporation 44,174
5,022 Western Properties Trust 48,023
2,278 Westfield America, Inc. 28,048
5,008 Westinghouse Air Brake Co. 88,892
3,875 +Westwood One, Inc. 294,500
1,687 +The Wet Seal, Inc. (Class A) 20,666
474 White Mountains Insurance Group
Inc. 57,117
2,359 Whitney Holding Corporation 87,430
2,792 +Whole Foods Market, Inc. 129,479
2,200 +Wild Oats Markets, Inc. 48,813
3,831 +Wind River Systems, Inc. 140,789
2,701 +Windmere-Durable Holdings, Inc. 45,917
2,038 Winnebago Industries, Inc. 40,887
5,497 +Wisconsin Central Transportation
Corporation 73,866
1,995 +Wolverine Tube, Inc. 28,179
5,292 Wolverine World Wide, Inc. 57,881
5,135 +World Access, Inc. 98,849
1,000 +WorldGate Communications, Inc. 47,563
7,598 Worthington Industries, Inc. 125,367
2,816 Wynn's International, Inc. 39,776
1,600 +XTRA Corporation 68,200
2,376 +Xircom, Inc. 178,200
1,454 Yankee Energy System, Inc. 63,885
3,325 +Yellow Corporation 55,902
1,100 +Young Broadcasting Inc. (Class A) 56,100
2,630 +Zebra Technologies Corporation
(Class A) 153,855
797 Zenith National Insurance Corp. 16,438
1,782 +Ziff-Davis Inc.--ZDNet 37,422
1,775 +ZixIt Corporation 70,334
------------
TOTAL COMMON STOCKS
(cost $83,840,802) 95,051,790
------------
</TABLE>
Continued
103
<PAGE> 104
MASTER SMALL CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
SHORT-TERM OBLIGATIONS
COMMERCIAL PAPER*
$5,000,000 American Home Products, Inc.,
4.50% due 1/03/2000 $ 4,998,750
5,000,000 Associates First Capital Corp.,
4% due 1/03/2000 4,998,889
5,000,000 The CIT Group Holdings, Inc.,
4.75% due 1/03/2000 4,998,680
4,288,000 General Motors Acceptance Corp.,
5% due 1/03/2000 4,286,809
------------
TOTAL SHORT-TERM OBLIGATIONS
(cost $19,283,128) 19,283,128
------------
TOTAL INVESTMENTS -- 99.6%
(cost $103,123,930) 114,334,918
VARIATION MARGIN ON FINANCIAL
FUTURES CONTRACTS** -- 0.3% 384,000
OTHER ASSETS LESS
LIABILITIES -- 0.1% 80,243
------------
NET ASSETS -- 100.0% $114,799,161
============
</TABLE>
-------------------------------------------------------
* Commercial Paper is traded on a discount basis; the interest rates shown
reflect the discount rates paid at the time of purchase by the Series.
** Financial futures contracts purchased as of December 31, 1999 were as
follows:
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION
CONTRACTS ISSUE DATE VALUE
--------- ------------ ---------- -----------
<C> <S> <C> <C>
80 Russell 2000 March 2000 $20,398,000
-----------
(Total Contract Price
$18,976,246) $20,398,000
===========
</TABLE>
+ Non-income producing security.
(a) American Depositary Receipt (ADR).
See accompanying notes to the financial statements.
104
<PAGE> 105
MASTER SMALL CAP INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
DECEMBER 31, 1999
-----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $103,123,930) $114,334,918
Cash on deposit for financial futures contracts 920,000
Receivables:
Contributions $500,645
Variation margin 384,000
Securities sold 204,002
Dividends 107,440
Investment adviser 9,157 1,205,244
--------
Deferred organization expenses 2,933
Prepaid expenses and other assets 31,211
------------
Total Assets 116,494,306
------------
LIABILITIES:
Payables:
Withdrawals 849,917
Custodian bank 610,771
Securities purchased 185,001 1,645,689
--------
Accrued expenses and other liabilities 49,456
------------
Total Liabilities 1,695,145
------------
NET ASSETS:
Net assets $114,799,161
============
NET ASSETS CONSIST OF:
Partners' capital $102,166,419
Unrealized appreciation on investments -- net 12,632,742
------------
Net assets $114,799,161
============
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements.
105
<PAGE> 106
MASTER SMALL CAP INDEX SERIES
STATEMENT OF OPERATIONS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
DECEMBER 31, 1999
------------------
<S> <C>
INVESTMENT INCOME:
Dividends (net of $235 foreign withholding tax) $ 1,015,721
Interest and discount earned 776,195
-----------
Total income 1,791,916
-----------
EXPENSES:
Professional fees 73,981
Investment advisory fees 46,744
Custodian fees 31,227
Amortization of organization expenses 1,304
Trustees' fees and expenses 1,055
Accounting services 321
Other 654
-----------
Total expenses before reimbursement 155,286
Reimbursement of expenses (23,839)
-----------
Total expenses after reimbursement 131,447
-----------
INVESTMENT INCOME -- NET 1,660,469
-----------
REALIZED/UNREALIZED GAIN ON INVESTMENTS -- NET:
Realized gain from investments -- net 4,277,316
Change in unrealized appreciation/depreciation on
investments -- net 12,859,318
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $18,797,103
===========
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements.
106
<PAGE> 107
MASTER SMALL CAP INDEX SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
DECEMBER 31,
1999 1998
------------ ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Investment income -- net $ 1,660,469 $ 1,124,877
Realized gain on investments -- net 4,277,316 6,658,814
Change in unrealized appreciation/depreciation on
investments -- net 12,859,318 (7,991,435)
------------ ------------
Net increase (decrease) in net assets resulting from
operations 18,797,103 (207,744)
------------ ------------
NET CAPITAL CONTRIBUTIONS:
Increase (decrease) in net assets derived from net capital
contributions 12,171,403 (11,706,710)
------------ ------------
NET ASSETS:
Total increase (decrease) in net assets 30,968,506 (11,914,454)
Beginning of year 83,830,655 95,745,109
------------ ------------
End of year* $114,799,161 $ 83,830,655
------------ ------------
Undistributed investment income -- net* $ 3,594,481 $ 1,934,012
============ ============
</TABLE>
------------------------------------------------------
* Annualized.
See accompanying notes to the financial statements.
107
<PAGE> 108
MASTER SMALL CAP INDEX SERIES
FINANCIAL HIGHLIGHTS
(AUDITED)
--------------------------------------------------------------------------------
The following ratios have been derived from information provided in the
financial statements.
<TABLE>
<CAPTION>
FOR THE YEAR ENDED FOR THE PERIOD
DECEMBER 31, APRIL 9, 1997+ TO
1999 1998 DECEMBER 31, 1997
-------- ------- -----------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement 0.14% 0.17% 0.18%*
-------- ------- -------
Expenses 0.17% 0.28% 0.29%*
-------- ------- -------
Investment income -- net 1.83% 1.46% 1.78%*
-------- ------- -------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $114,799 $83,831 $95,745
-------- ------- -------
Portfolio turnover 51.20% 48.16% 16.45%
======== ======= =======
</TABLE>
------------------------------------------------------
+ Commencement of operations.
* Annualized.
See accompanying notes to the financial statements.
108
<PAGE> 109
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Master Small Cap Index Series (the "Series") (formerly Merrill Lynch Small Cap
Index Series) is part of Quantitative Master Series Trust (the "Trust")
(formerly Merrill Lynch Index Trust). The Trust is registered under the
Investment Company Act of 1940 and is organized as a Delaware business trust.
The Series' financial statements are prepared in accordance with generally
accepted accounting principles, which may require the use of management accruals
and estimates. The following is a summary of significant accounting policies
followed by the Series.
(a) VALUATION OF INVESTMENTS
Portfolio securities that are traded on stock exchanges are valued at the last
sale price as of the close of business on the day the securities are being
valued or, lacking any sales, at the closing bid price. Securities traded in the
over-the-counter market are valued at the last quoted bid price at the close of
trading on the New York Stock Exchange on each day by brokers that make markets
in the securities. Securities traded in the NASDAQ National Market System are
valued at the last sale price prior to the time of valuation. Portfolio
securities that are traded both in the over-the-counter market and on a stock
exchange are valued according to the broadest and most representative market.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. In the case of options traded in the over-the-counter
market, valuation is the last asked price (options written) or the last bid
price (options purchased). Short-term securities are valued at amortized cost,
which approximates market value. Other investments, including futures contracts
and related options, are stated at market value. Securities and assets for which
market quotations are not readily available are valued at fair market value, as
determined in good faith by or under the direction of the Trust's Board of
Trustees.
(b) DERIVATIVE FINANCIAL INSTRUMENTS
The Series may engage in various portfolio investment techniques to provide
liquidity, or in connection with the Series' arbitrage strategies. Losses may
arise due to changes in the value of the contract or if the counterparty does
not perform under the contract.
- Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts as a proxy for a
direct investment in securities underlying the Series' index. Upon
entering into a contract, the Series deposits and maintains as collateral
such initial margin as required by the exchange on which the transaction
is effected. Pursuant to the contract, the Series agrees to receive from
or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation
margin and are recorded by the Series as unrealized gains or losses. When
the contract is closed, the Series records a realized gain or loss equal
to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
- Options -- The Series is authorized to purchase and write call and put
options. When the Series writes an option, an amount equal to the premium
received by the Series is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market
to reflect the current market value of the option written. When a
security is purchased or sold through an exercise of an option, the
related premium paid (or received) is added to (or deducted from) the
basis of the security acquired or deducted from (or added to) the
proceeds of the security sold. When an option expires (or the Series
enters into a closing transaction), the Series realizes a gain or loss on
the option to the extent of the premiums received or paid (or a gain or
loss to the extent that the cost of the closing transaction exceeds the
premium paid or received).
Written and purchased options are non-income producing investments.
109
<PAGE> 110
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
(c) INCOME TAXES
The Series is classified as a partnership for Federal income tax purposes. As a
partnership for Federal income tax purposes, the Series will not incur Federal
income tax liability. Items of partnership income, gain, loss and deduction will
pass through to investors as partners in the Series. Therefore, no Federal
income tax provision is required. Under the applicable foreign tax law, a
withholding tax may be imposed on interest, dividends and capital gains at
various rates.
(d) SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on the date the securities are purchased
or sold (the trade dates). Dividend income is recorded on the ex-dividend dates.
Interest income (including amortization of discount) is recognized on the
accrual basis. Realized gains and losses on security transactions are determined
on the identified cost basis.
(e) DEFERRED ORGANIZATION EXPENSES
Deferred organization expenses are charged to expense on a straight-line basis
over a period not exceeding five years.
(f) CUSTODIAN BANK
The series recorded an amount payable to the custodian bank reflecting an
overnight overdraft.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML &
Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .08% of the average daily value of the Series' net
assets. Effective August 2, 1999, the annual rate was changed to .01%. For the
year ended December 31, 1999, FAM earned fees of $46,744, of which $23,839 were
voluntarily waived.
Merrill Lynch Trust Company, an indirect wholly-owned subsidiary of ML & Co., is
the Series' custodian.
Accounting services are provided to the Series by FAM at cost.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. INVESTMENTS
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 1999 were $44,306,190 and $38,966,636, respectively.
110
<PAGE> 111
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
Net realized gains for the year ended December 31, 1999 and net unrealized gains
as of December 31, 1999 were as follows:
<TABLE>
<CAPTION>
REALIZED UNREALIZED
GAINS GAINS
---------- -----------
<S> <C> <C>
Long-term investments................................ $2,704,207 $11,210,988
Financial futures contracts.......................... 1,573,109 1,421,754
---------- -----------
Total........................................... $4,277,316 $12,632,742
========== ===========
</TABLE>
As of December 31, 1999, net unrealized appreciation for Federal income tax
purposes aggregated $11,104,529, of which $23,641,082 related to appreciated
securities and $12,536,553 related to depreciated securities. At December 31,
1999, the aggregate cost of investments for Federal income tax purposes was
$103,230,389.
111
<PAGE> 112
MASTER SMALL CAP INDEX SERIES
INDEPENDENT AUDITORS' REPORT
--------------------------------------------------------------------------------
THE BOARD OF TRUSTEES AND INVESTORS,
MASTER SMALL CAP INDEX SERIES
(FORMERLY MERRILL LYNCH SMALL CAP INDEX SERIES):
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Small Cap Index Series (one of the series
constituting Quantitative Master Series Trust (formerly Merrill Lynch Index
Trust)) as of December 31, 1999, the related statements of operations for the
year then ended, changes in net assets for each of the years in the two-year
period then ended, and the financial highlights for each of the years in the
two-year period then ended and for the period April 9, 1997 (commencement of
operations) to December 31, 1997. These financial statements and the financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and the financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the 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. Our procedures included confirmation of securities owned at December
31, 1999 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Master Small Cap
Index Series of Quantitative Master Series Trust as of December 31, 1999, the
results of its operations, the changes in its net assets, and the financial
highlights for the respective stated periods in conformity with generally
accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 22, 2000
112
<PAGE> 113
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999
(AUDITED)
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (94.9%)
200 A. Schulman, Inc. $ 3,263
500 A.G. Edwards, Inc. 16,031
600 A.H. Belo Corporation (Class A) 11,438
300 +ACNielsen Corporation 7,388
300 AGCO Corporation 4,031
300 AGL Resources Inc. 5,100
600 AK Steel Holding Corporation 11,325
100 AMETEK, Inc. 1,906
500 +Abercrombie & Fitch Co. (Class A) 13,344
100 +Acuson Corporation 1,256
500 +Acxiom Corp. 12,000
200 +Adtran, Inc. 10,288
300 +Affiliated Computer Services,
Inc. (Class A) 13,800
300 Airborne Freight Corporation 6,600
300 +Airgas, Inc. 2,850
200 +Alaska Air Group, Inc. 7,025
100 +Albany International Corp. (Class
A) 1,550
200 Albemarle 3,838
300 Alexander & Baldwin, Inc. 6,844
500 Allegheny Energy, Inc. 13,469
400 Alliant Energy Corporation 11,000
300 Allmerica Financial Corporation 16,688
1,000 +Altera Corporation 49,563
400 Ambac Financial Group, Inc. 20,875
200 +American Eagle Outfitters, Inc. 9,000
300 American Financial Group, Inc. 7,913
1,000 +American Power Conversion
Corporation 26,375
400 +American Standard Companies, Inc. 18,350
500 American Water Works Company, Inc. 10,625
400 +Apollo Group, Inc. (Class A) 8,025
300 +Apria Healthcare Group Inc. 5,381
100 Arnold Industries, Inc. 1,406
500 +Arrow Electronics, Inc. 12,688
200 Arvin Industries, Inc. 5,675
400 Associated Banc-Corp. 13,700
300 Astoria Financial Corporation 9,131
1,000 +Atmel Corporation 29,563
200 Avnet, Inc. 12,100
400 +BJ Services Company 16,725
400 BJ's Wholesale Club, Inc. 14,600
100 Bandag, Incorporated 2,500
100 Banta Corporation 2,256
300 +Barnes & Noble, Inc. 6,188
200 Beckman Coulter Inc. 10,175
700 Bergen Brunswig Corporation (Class
A) 5,819
500 +Beverly Enterprises, Inc. 2,188
800 +Biogen, Inc. 67,600
100 Black Hills Corporation 2,219
200 +Blyth Industries, Inc. 4,913
200 Bob Evans Farms, Inc. 3,088
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
400 +Borders Group, Inc. $ 6,425
200 Borg-Warner Automotive, Inc. 8,100
300 Bowater Incorporated 16,294
300 +Brinker International, Inc. 7,200
1,100 Broadwing Inc. 40,563
200 +Buffets, Inc. 2,000
300 +Burlington Industries, Inc. 1,200
300 CBRL Group, Inc. 2,911
200 CCB Financial Corporation 8,713
200 +CDW Computer Centers, Inc. 15,725
600 CK Witco Corporation 8,025
100 CMP Group Inc. 2,756
300 CNF Transportation Inc. 10,350
300 COMSAT Corporation 5,963
300 Cabot Corporation 6,113
1,200 +Cadence Design Systems, Inc. 28,800
400 Callaway Golf Company 7,075
300 +Calpine Corporation 19,200
300 +Cambridge Technology Partners,
Inc. 7,875
200 Carlisle Companies Incorporated 7,200
100 Carpenter Technology Corporation 2,744
200 Carter-Wallace, Inc. 3,588
1,100 Charter One Financial, Inc. 21,038
300 +CheckFree Holdings Corporation 31,350
100 Chesapeake Corporation 3,050
1,000 +Chiron Corporation 42,375
200 +Chris-Craft Industries, Inc. 14,425
200 Church & Dwight Co., Inc. 5,338
600 Cintas Corporation 31,875
400 +Cirrus Logic, Inc. 5,325
200 City National Corporation 6,588
300 Claire's Stores, Inc. 6,713
700 Clayton Homes, Inc. 6,431
100 Cleco Corporation 3,206
100 Cleveland-Cliffs Inc. 3,113
800 Comdisco, Inc. 29,800
500 +CompUSA Inc. 2,563
600 Compass Bancshares, Inc. 13,388
1,100 +Concord EFS, Inc. 28,325
400 Conectiv, Inc. 6,725
500 Consolidated Papers, Inc. 15,906
800 +Convergys Corporation 24,600
200 Cordant Technologies Inc. 6,600
300 +Covance Inc. 3,244
600 +Cypress Semiconductor Corporation 19,425
200 +Cytec Industries Inc. 4,625
300 DENTSPLY International Inc. 7,088
800 DPL Inc. 13,850
400 DQE, Inc. 13,850
300 +DST Systems, Inc. 22,894
400 +DeVry, Inc. 7,450
200 Dean Foods Company 7,950
</TABLE>
Continued
113
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MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
400 Devon Energy Corporation $ 13,150
100 The Dexter Corporation 3,975
600 The Dial Corporation 14,588
400 Diebold, Incorporated 9,400
500 Dime Bancorp, Inc. 7,563
300 Dole Food Company, Inc. 4,875
300 +Dollar Tree Stores, Inc. 14,531
200 Donaldson Company, Inc. 4,813
100 Dreyer's Grand Ice Cream, Inc. 1,700
1,300 +E*TRADE Group, Inc. 33,963
700 ENSCO International Incorporated 16,013
300 +Electronic Arts Inc. 25,200
600 Energy East Corporation 12,488
300 Ethyl Corporation 1,181
300 Everest Reinsurance Holdings, Inc. 6,694
200 +Express Scripts, Inc. (Class A) 12,800
300 The FINOVA Group Inc. 10,650
900 Family Dollar Stores, Inc. 14,681
200 Fastenal Company 8,988
400 Federal-Mogul Corporation 8,050
300 Federal Signal Corporation 4,819
200 Ferro Corporation 4,400
300 +First Health Group Corp. 8,063
1,000 First Security Corporation 25,500
700 First Tennessee National
Corporation 19,950
200 First Virginia Banks, Inc. 8,600
400 FirstMerit Corporation 9,200
700 +Fiserv, Inc. 26,819
600 Flowers Industries, Inc. 9,563
200 Flowserve Corporation 3,400
400 +Forest Laboratories, Inc. 24,575
600 +Foundation Health Systems, Inc.
(Class A) 5,963
300 +Furniture Brands International,
Inc. 6,600
200 GATX Corporation 6,750
200 +GTECH Holdings Corporation 4,400
400 +Gartner Group, Inc. (Class B) 5,525
400 +Genzyme Corporation 18,000
200 Georgia Gulf Corporation 6,088
400 Georgia-Pacific Corporation
(Timber Group) 9,850
200 +Gilead Sciences, Inc. 10,825
900 +Global Marine Inc. 14,963
200 Granite Construction Incorporated 3,688
500 GreenPoint Financial Corp. 11,906
100 H.B. Fuller Company 5,594
100 HSB Group, Inc. 3,381
200 Hannaford Bros. Co 13,863
200 +Hanover Compressor Company 7,550
800 Harley-Davidson, Inc. 51,250
400 Harris Corporation 10,675
200 Harsco Corporation 6,350
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
300 Harte-Hanks, Inc. $ 6,525
200 Hawaiian Electric Industries, Inc. 5,775
1,300 +Health Management Associates,
Inc. (Class A) 17,388
400 Heilig-Meyers Company 1,100
300 Helmerich & Payne, Inc. 6,544
400 Herman Miller, Inc. 9,200
800 Hibernia Corporation (Class A) 8,500
300 Hillenbrand Industries, Inc. 9,506
300 +Hispanic Broadcasting Corporation 27,666
300 Hon Industries Inc. 6,581
200 Horace Mann Educators Corporation 3,925
400 Hormel Foods Corporation 16,250
200 Houghton Mifflin Company 8,438
300 Hubbell Incorporated (Class B) 8,175
400 IBP, Inc. 7,200
400 ICN Pharmaceuticals, Inc. 10,125
200 IDAcorp Inc. 5,363
600 IMC Global Inc. 9,825
400 IPALCO Enterprises, Inc 6,825
600 +IVAX Corporation 15,450
400 Illinova Corporation 13,900
200 +Imation Corp. 6,713
100 Indiana Energy, Inc. 1,775
1,100 +Informix Corporation 12,513
500 +Integrated Device Technology,
Inc. 14,500
400 International Game Technology 8,125
100 International Multifoods 1,325
300 International Speedway Corp.
(Class A) 15,112
400 Interstate Bakeries Corporation 7,250
1,000 +Intuit Inc. 59,937
200 Investment Technology Group, Inc. 5,750
200 J.B. Hunt Transport Services, Inc. 2,769
100 The J. M. Smucker Company (Class
A) 1,950
400 +Jabil Circuit, Inc. 29,200
100 +Jacobs Engineering Group Inc. 3,250
600 +Jones Apparel Group, Inc. 16,275
400 Kansas City Power & Light Company 8,825
100 Kaydon Corp. 2,681
400 +Keane, Inc. 12,700
200 Kelly's Services, Inc. (Class A) 5,025
200 Kennametal Inc. 6,725
700 KeySpan Corporation 16,231
200 Keystone Financial, Inc. 4,212
600 Kinder Morgan, Inc. 12,112
700 LG&E Energy Corp. 12,206
200 Lancaster Colony Corporation 6,625
100 Lance, Inc. 1,000
200 +Land's End, Inc. 6,950
300 +Lear Corporation 9,600
200 Lee Enterprises, Incorporated 6,387
400 +Legato Systems, Inc. 27,525
</TABLE>
Continued
114
<PAGE> 115
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
300 Legg Mason, Inc. $ 10,875
300 +Lincare Holdings Inc. 10,406
800 Linear Technology Corporation 57,250
200 +Litton Industries, Inc. 9,975
200 +Lone Star Steakhouse & Saloon,
Inc. 1,784
200 Longview Fibre Company 2,850
300 The Lubrizol Corporation 9,262
600 Lyondell Chemical Company 7,650
300 M.A. Hanna Company 3,281
500 MCN Energy Group Inc. 11,875
200 +Magnetek, Inc. 1,537
500 +Mandalay Resort Group 10,062
400 Manpower Inc. 15,050
200 Mark IV 3,537
500 Marshall & Ilsley Corporation 31,406
300 Martin Marietta Materials, Inc. 12,300
1,400 +Maxim Integrated Products, Inc. 66,062
300 McCormick & Company Incorporated 8,925
300 +MedImmune, Inc. 49,762
100 Media General, Inc. (Class A) 5,200
400 +Mentor Graphics Corporation 5,275
300 Mercantile Bankshares Corporation 9,581
400 Meritor Automotive, Inc. 7,750
200 +Micro Warehouse, Inc. 3,700
300 +Microchip Technology 20,531
300 MidAmerican Energy Holdings
Company 10,106
200 +Millennium Pharmaceuticals, Inc. 24,400
100 Minerals Technologies, Inc. 4,006
200 +MiniMed Inc. 14,650
300 Minnesota Power & Light Co. 5,081
100 Modine Manufacturing Co. 2,500
500 +Modis Professional Services, Inc. 7,125
300 +Mohawk Industries, Inc. 7,912
600 The Montana Power Company 21,637
200 Murphy Oil Corporation 11,475
700 Mylan Laboratories, Inc. 17,631
100 +NCO Group, Inc. 3,012
500 +NCR Corporation 18,937
400 +NOVA Corporation 12,625
300 NSTAR 12,150
700 +Nabors Industries, Inc. 21,656
600 National Commerce Bancorporation 13,612
200 National Fuel Gas Company 9,300
200 +Navigant Consulting, Inc. 2,175
300 +The Neiman Marcus Group, Inc.
(Class A) 8,381
700 +Network Associates, Inc. 18,637
300 New England Electric System 15,525
200 Newport News Shipbuilding Inc. 5,500
700 NiSource Inc. 12,512
300 Noble Affiliates, Inc. 6,431
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
700 +Noble Drilling Corporation $ 22,925
100 Nordson Corporation 4,825
700 North Fork Bancorporation 12,250
600 Northeast Utilities 12,338
200 +Novellus Systems, Inc. 24,506
400 OGE Energy Corp. 7,600
900 +Ocean Energy Inc. 6,975
600 +OfficeMax, Inc. 3,300
200 Ogden Corporation 2,387
400 Ohio Casualty Corporation 6,425
600 Old Republic International
Corporation 8,175
300 Olin Corporation 5,944
500 Olsten Corporation 5,656
400 Omnicare, Inc. 4,800
200 Oregon Steel Mills, Inc. 1,587
400 +Outback Steakhouse, Inc. 10,375
100 Overseas Shipholding Group, Inc. 1,481
400 +Oxford Health Plans, Inc. 5,075
200 P.H. Glatfelter Company 2,913
200 The PMI Group, Inc. 9,762
400 +PSS World Medical, Inc. 3,775
200 +PacifiCare Health Systems, Inc. 10,600
400 Pacific Century Financial
Corporation 7,475
200 +Papa John's International, Inc. 5,212
1,500 +Park Place Entertainment
Corporation 18,750
200 +Payless ShoeSource, Inc. 9,400
500 Pennzoil-Quaker State Company 5,094
300 Pentair, Inc. 11,550
300 +Perrigo Company 2,400
500 +Pioneer Natural Resources Company 4,469
200 Pittston Brink's Group 4,400
200 +Policy Management Systems
Corporation 5,112
200 +Polycom, Inc. 12,737
600 Potomac Electric Power Company 13,762
100 Precision Castparts Corp. 2,625
400 +Premier Parks Inc. 11,550
300 Protective Life Corporation 9,544
200 Provident Financial Group, Inc. 7,175
200 Public Service Company of New
Mexico 3,250
400 Puget Sound Energy, Inc. 7,750
200 +QLogic Corporation 31,975
800 +Quantum Corporation-DLT & Storage
Systems 12,100
400 Questar Corporation 6,000
400 +Quorum Health Group, Inc. 3,725
500 R.J. Reynolds Tobacco Holdings,
Inc. 8,812
500 RPM, Inc. 5,094
400 +Rational Software Corporation 19,650
200 Rayonier Inc. 9,662
</TABLE>
Continued
115
<PAGE> 116
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
600 The Reader's Digest Association,
Inc. (Class A) $ 17,550
500 ReliaStar Financial Corp. 19,594
400 Reynolds & Reynolds Company (Class
A) 9,000
400 +Robert Half International Inc. 11,425
100 Rollins, Inc. 1,500
500 Ross Stores, Inc. 8,969
200 Ruddick Corporation 3,100
100 Ryerson Tull, Inc. 1,944
600 SCANA Corporation 16,125
400 +SCI Systems, Inc. 32,875
200 +SPX Corporation 16,162
400 +STERIS Corporation 4,125
700 +Saks Incorporated 10,894
300 +Sanmina Corporation 29,962
1,000 +Santa Fe Snyder Corporation 8,000
100 +Scholastic Corporation 6,219
400 +Sensormatic Electronics
Corporation 6,975
200 +Sepracor Inc. 19,837
700 Shaw Industries, Inc. 10,806
1,000 +Siebel Systems, Inc. 84,000
400 Sierra Pacific Resources 6,925
300 +Smith International, Inc. 14,906
600 Solutia Inc. 9,262
500 Sonoco Products Company 11,375
300 Sotheby's Holdings, Inc. (Class A) 9,000
200 Southdown, Inc. 10,325
1,100 Sovereign Bancorp, Inc. 8,198
100 The Standard Register Company 1,937
900 +Starbucks Corporation 21,825
400 +Sterling Commerce, Inc. 13,625
500 +Sterling Software, Inc. 15,750
200 Stewart & Stevenson Services, Inc. 2,369
600 Stewart Enterprises, Inc. (Class
A) 2,850
500 +Storage Technology Corporation 9,219
200 +Structural Dynamics Research
Corporation 2,550
500 Stryker Corporation 34,812
200 +Suiza Foods Corporation 7,925
600 +Sungard Data Systems Inc. 14,250
100 Superior Industries International,
Inc. 2,681
300 +Swift Transportation Co., Inc. 5,287
500 +Sybron International Corporation 12,344
200 +Sykes Enterprises, Incorporated 8,775
300 +Sylvan Learning System, Inc. 3,900
300 +Symantec Corporation 17,587
500 Symbol Technologies, Inc. 31,781
400 +Synopsys, Inc. 26,700
500 TCF Financial Corporation 12,437
700 TECO Energy, Inc. 12,994
300 +Tech Data Corporation 8,138
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------
SHARES
HELD ISSUE VALUE
---------------------------------------------------------
<C> <S> <C>
COMMON STOCK (CONTINUED)
100 Tecumseh Products Company (Class
A) $ 4,719
200 Teleflex Incorporated 6,262
300 Telephone and Data Systems, Inc. 37,800
300 Tidewater Inc. 10,800
400 Tiffany & Co 35,700
400 +Total Renal Care Holdings, Inc. 2,675
200 +Transaction Systems Architects,
Inc. (Class A) 5,600
200 +Trigon Healthcare, Inc. 5,900
200 Trinity Industries, Inc. 5,687
1,200 Tyson Foods, Inc. (Class A) 19,500
600 +U.S. Foodservice 10,050
300 +UCAR International Inc. 5,344
300 USG Corporation 14,137
400 Ultramar Diamond Shamrock
Corporation 9,075
300 +Unifi, Inc. 3,694
400 Unitrin, Inc. 15,050
200 Universal Corporation 4,562
200 Universal Foods Corporation 4,075
500 +Univision Communications Inc.
(Class A) 51,094
500 UtiliCorp United Inc. 9,719
1,300 +VERITAS Software Corporation 186,062
300 +VISX, Incorporated 15,525
300 Valero Energy Corporation 5,963
400 +Varco International, Inc. 4,075
500 Viad Corp. 13,937
400 +Vishay Intertechnology, Inc. 12,650
800 +Vitesse Semiconductor Corporation 41,950
200 Wallace Computer Services, Inc. 3,325
300 The Warnaco Group, Inc. 3,694
300 Washington Gas Light Company 8,250
47 The Washington Post Company 26,126
300 +Waters Corporation 15,900
200 Wausau - Mosinee Paper Corporation 2,337
500 +Weatherford International, Inc. 19,969
300 Webster Financial Corporation 7,069
200 Wellman, Inc. 3,725
200 Westamerica Bancorporation 5,587
300 WestPoint Stevens Inc. 5,250
300 +Westwood One, Inc. 22,800
700 Whitman Corporation 9,406
300 +Williams-Sonoma, Inc. 13,800
200 Wilmington Trust Corporation 9,650
300 +Wisconsin Central Transportation
Corporation 4,031
600 Wisconsin Energy Corporation 11,550
200 York International Corporation 5,487
500 Zions Bancorporation 29,594
-----------
TOTAL COMMON STOCKS
(cost $4,744,825) 4,774,280
-----------
</TABLE>
Continued
116
<PAGE> 117
MASTER MID CAP INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
----------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
----------------------------------------------------------
<C> <S> <C>
SHORT-TERM OBLIGATIONS (99.4%)
COMMERCIAL PAPER*
$ 250,000 Associates First Capital Corp.,
4% due 1/03/2000 $ 249,944
250,000 The CIT Group Holdings, Inc.,
4.75% due 1/03/2000 249,934
250,000 General Motors Acceptance Corp.,
5% due 1/03/2000 249,931
-----------
US GOVERNMENT AGENCY OBLIGATIONS*
1,250,000 Federal Farm Credit Banks, 4.35%
due 1/14/2000 1,248,036
509,000 Federal Home Loan Banks, 5.15%
due 1/26/2000 507,180
1,250,000 Federal Home Loan Mortgage
Corporation, 4.30% due 1/13/2000 1,248,208
1,250,000 Federal National Mortgage
Association, 4% due 1/19/2000 1,247,500
-----------
TOTAL SHORT-TERM OBLIGATIONS
(cost $5,000,733) 5,000,733
-----------
TOTAL INVESTMENTS -- 194.3%
(cost $9,745,558) 9,775,013
VARIATION MARGIN ON FINANCIAL
FUTURES CONTRACTS** -- 0.0% 26,525
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (94.3)% (4,769,525)
-----------
NET ASSETS -- 100.0% $ 5,032,013
===========
</TABLE>
-------------------------------------------------------
* Commercial Paper and certain US Government Agency Obligations are traded on a
discount basis; the interest rates shown reflect the discount rates paid at
the time of purchase by the Series.
** Financial futures contracts purchased as of December 31, 1999 were as
follows:
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION
CONTRACTS ISSUE DATE VALUE
--------- ------------------------- ---------- --------
<C> <S> <C> <C>
1 S&P Midcap March 2000 $224,575
--------
(Total Contract Price $223,050) $224,575
========
</TABLE>
+ Non-income producing security.
See accompanying notes to the financial statements.
Continued
117
<PAGE> 118
MASTER MID CAP INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
DECEMBER 31, 1999
-----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $9,745,558) $9,775,013
Deposits on open financial futures contracts 25,000
Receivables:
Variation margin $ 1,525
Investment adviser 232 1,757
----------
Prepaid expenses and other assets 11,900
----------
Total Assets 9,813,670
----------
LIABILITIES:
Payables:
Securities purchased 4,744,824
Custodian bank 24,679 4,769,503
----------
Accrued expenses and other liabilities 12,154
----------
Total Liabilities 4,781,657
----------
NET ASSETS:
Net assets $5,032,013
==========
NET ASSETS CONSIST OF:
Partners' capital $5,001,033
Unrealized appreciation on investments -- net 30,980
----------
Net assets $5,032,013
==========
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements.
118
<PAGE> 119
MASTER MID CAP INDEX SERIES
STATEMENT OF OPERATIONS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1999+
TO DECEMBER 31, 1999
--------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest and discount earned $ 955
-------
EXPENSES:
Accounting services $ 110
Offering costs 100
Pricing fees 24
Custodian fees 20
Investment advisory fees 3
-----
Total expenses before reimbursement 257
Reimbursement of expenses (235)
-----
Total expenses after reimbursement 22
-------
INVESTMENT INCOME -- NET 933
-------
REALIZED/UNREALIZED GAIN ON INVESTMENTS -- NET:
Realized gain from investments -- net --
Unrealized appreciation on investments -- net 30,980
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $31,913
=======
</TABLE>
------------------------------------------------------
+ Commencement of operations.
See accompanying notes to the financial statements.
119
<PAGE> 120
MASTER MID CAP INDEX SERIES
STATEMENT OF CHANGES IN NET ASSETS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1999+
TO DECEMBER 31, 1999
--------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Investment income -- net $ 933
Realized gain on investments -- net --
Unrealized appreciation on investments -- net 30,980
----------
Net increase in net assets resulting from operations 31,913
----------
NET CAPITAL CONTRIBUTIONS:
Increase in net assets derived from net capital
contributions 5,000,100
----------
NET ASSETS:
Total increase in net assets 5,032,013
Beginning of period --
----------
End of period $5,032,013
==========
</TABLE>
------------------------------------------------------
+ Commencement of operations.
See accompanying notes to the financial statements.
120
<PAGE> 121
MASTER MID CAP INDEX SERIES
FINANCIAL HIGHLIGHTS
(AUDITED)
--------------------------------------------------------------------------------
The following ratios have been derived from information provided in the
financial statements.
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1999+
TO DECEMBER 31, 1999
--------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSET VALUE:
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement 0.08%*
------
Expenses 0.94%*
------
Investment income -- net 3.40%*
------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $5,032
------
Portfolio turnover --
======
</TABLE>
------------------------------------------------------
+ Commencement of operations.
* Annualized.
See accompanying notes to the financial statements.
121
<PAGE> 122
MASTER MID CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Master Mid Cap Index Series (the "Series") is part of Quantitative Master Series
Trust (the "Trust"). The Trust is registered under the Investment Company Act of
1940 and is organized as a Delaware business trust. The Series' financial
statements are prepared in accordance with generally accepted accounting
principles, which may require the use of management accruals and estimates. The
following is a summary of significant accounting policies followed by the
Series.
(a) VALUATION OF INVESTMENTS
Portfolio securities that are traded on stock exchanges are valued at the last
sale price as of the close of business on the day the securities are being
valued or, lacking any sales, at the closing bid price. Securities traded in the
over-the-counter market are valued at the last quoted bid price at the close of
trading on the New York Stock Exchange on each day by brokers that make markets
in the securities. Securities traded in the NASDAQ National Market System are
valued at the last sale price prior to the time of valuation. Portfolio
securities that are traded both in the over-the-counter market and on a stock
exchange are valued according to the broadest and most representative market.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. In the case of options traded in the over-the-counter
market, valuation is the last asked price (options written) or the last bid
price (options purchased). Short-term securities are valued at amortized cost,
which approximates market value. Other investments, including futures contracts
and related options, are stated at market value. Securities and assets for which
market quotations are not readily available are valued at fair market value, as
determined in good faith by or under the direction of the Trust's Board of
Trustees.
(b) DERIVATIVE FINANCIAL INSTRUMENTS
The Series may engage in various portfolio investment techniques to provide
liquidity, or in connection with the Series' arbitrage strategies. Losses may
arise due to changes in the value of the contract or if the counterparty does
not perform under the contract.
- Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts as a proxy for a
direct investment in securities underlying the Series' index. Upon entering
into a contract, the Series deposits and maintains as collateral such initial
margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Series agrees to receive from or pay to the
broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Series as unrealized gains or losses. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
- Options -- The Series is authorized to purchase and write call and put
options. When the Series writes an option, an amount equal to the premium
received by the Series is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or
sold through an exercise of an option, the related premium paid (or received)
is added to (or deducted from) the basis of the security acquired or deducted
from (or added to) the proceeds of the security sold. When an option expires
(or the Series enters into a closing transaction), the Series realizes a gain
or loss on the option to the extent of the premiums received or paid (or a
gain or loss to the extent that the cost of the closing transaction exceeds
the premium paid or received).
Written and purchased options are non-income producing investments.
122
<PAGE> 123
MASTER MID CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
(c) INCOME TAXES
The Series is classified as a partnership for Federal income tax purposes. As a
partnership for Federal income tax purposes, the Series will not incur Federal
income tax liability. Items of partnership income, gain, loss and deduction will
pass through to investors as partners in the Series. Therefore, no Federal
income tax provision is required.
(d) SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on the date the securities are purchased
or sold (the trade dates). Dividend income is recorded on the ex-dividend dates.
Interest income (including amortization of discount) is recognized on the
accrual basis. Realized gains and losses on security transactions are determined
on the identified cost basis.
(e) CUSTODIAN BANK
The Series recorded an amount payable to the Custodian Bank reflecting an
overnight overdraft.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML &
Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series' net
assets. For the period December 30, 1999 to December 31, 1999, FAM earned fees
of $3, all of which were voluntarily waived. FAM also reimbursed the Series for
additional expenses of $232.
Merrill Lynch Trust Company ("MLTC"), an indirect wholly-owned subsidiary of ML
& Co., is the Series' custodian.
Accounting services are provided to the Series by FAM at cost.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, MLTC, and/or ML & Co.
3. INVESTMENTS
Purchases of investments, excluding short-term securities, for the period
December 30, 1999 to December 31, 1999 were $4,774,824.
Net unrealized gains as of December 31, 1999 were as follows:
<TABLE>
<CAPTION>
UNREALIZED
GAINS
----------
<S> <C>
Long-term investments....................................... $29,455
Financial futures contracts................................. 1,525
-------
Total.................................................. $30,980
=======
</TABLE>
As of December 31, 1999, net unrealized appreciation for Federal income tax
purposes aggregated $29,455, of which $62,423 related to appreciated securities
and $32,968 related to depreciated securities. At December 31, 1999, the
aggregate cost of investments for Federal income tax purposes was $9,745,558.
123
<PAGE> 124
MASTER MID CAP INDEX SERIES
INDEPENDENT AUDITORS' REPORT
--------------------------------------------------------------------------------
THE BOARD OF TRUSTEES AND INVESTORS,
MASTER MID CAP INDEX SERIES:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Mid Cap Index Series (one of the series
constituting Quantitative Master Series Trust) as of December 31, 1999, the
related statements of operations and changes in net assets and the financial
highlights for the period December 30, 1999 (commencement of operations) to
December 31, 1999. These financial statements and the financial highlights are
the responsibility of the Trust's management. Our responsibility is to express
an opinion on these financial statements and the financial highlights based on
our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and the 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. Our
procedures included confirmation of securities owned at December 31, 1999 by
correspondence with the custodian and broker. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all materials respects, the financial position of Master Mid Cap
Index Series of Quantitative Master Series Trust as of December 31, 1999, the
result of its operations, the changes in its net assets, and the financial
highlights for the respective stated period in conformity with generally
accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 16, 2000
124
<PAGE> 125
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
AUSTRALIA (2.4%)
1,336 AMP Limited $ 14,698
1,262 Amcor Limited 5,885
3,013 Boral Limited 4,648
114 Brambles Industries Limited 3,139
1,822 Broken Hill Proprietary Company
Limited 23,822
2,249 CSR Limited 5,440
1,686 Coles Myer Limited 8,672
1,591 Colonial Limited 7,083
2,739 Foster's Brewing Group Limited 7,824
708 Lend Lease Corporation Limited 9,876
1,645 National Australia Bank Limited 25,055
1,734 The News Corporation Limited 16,765
1,810 The News Corporation Limited
(Preferred) 15,441
2,465 Normandy Mining Limited 1,740
1,811 North Limited 4,250
1,741 Pioneer International Limited 5,224
426 Rio Tinto Limited 9,112
799 TABCORP Holdings Limited 5,387
7,172 Telstra Corporation Limited 38,819
1,264 WMC Limited 6,941
2,226 Westpac Banking Corporation Limited 15,289
2,008 Woolworths Limited 6,878
-----------
TOTAL INVESTMENTS IN AUSTRALIA
(cost $242,570) 241,988
-----------
AUSTRIA (0.2%)
83 Bank Austria AG 4,681
67 Boehler-Uddeholm AG 3,090
65 Mayr-Melnhof Karton AG 3,011
57 OMV AG 5,539
14 Oesterreichische
Elektrizitaetswirtschafts-AG
"Verbund" 'A'(a) 1,967
45 VA Technologie AG 2,968
-----------
TOTAL INVESTMENTS IN AUSTRIA
(cost $21,159) 21,256
-----------
BELGIUM (0.9%)
91 Delhaize "Le Lion" SA 6,854
53 Electrabel SA 17,346
693 Fortis 'B' 24,997
38 Groupe Bruxelles Lambert SA 7,653
291 KBC Bancassurance Holding NV 15,677
82 Solvay SA 6,771
208 UCB SA 9,017
-----------
TOTAL INVESTMENTS IN BELGIUM (cost
$87,912) 88,315
-----------
DENMARK (0.9%)
1 A/S Dampskibsselskabet Svendborg 'B' 16,651
72 Bang & Olufsen Holding A/S 'B' 2,632
1 D/S 1912 'B' 11,778
57 Danisco A/S 2,222
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
DENMARK (CONTINUED)
39 Den Danske Bank Group $ 4,276
60 ISS International Service System A/S
'B'(a) 4,037
46 Navision Software A/S(a) 3,332
95 Novo Nordisk A/S 'B' 12,603
243 Tele Danmark A/S 18,060
112 Unidanmark A/S 'A' 7,884
24 Vestas Wind Systems A/S(a) 4,256
-----------
TOTAL INVESTMENTS IN DENMARK
(cost $87,354) 87,731
-----------
FINLAND (2.9%)
53 Finnlines Oyj 1,654
122 Metra Oyj 'B' 2,273
106 Metso Oyj(a) 1,377
1,175 Nokia Oyj 212,980
53 Pohjola Group Insurance Corporation
'B' 3,202
360 Raisio Group PLC 1,425
110 Sampo Insurance Company Ltd. 'A' 3,844
735 Sonera Oyj 50,367
103 Tietoenator Oyj 6,431
312 UPM-Kymmene Oyj 12,567
-----------
TOTAL INVESTMENTS IN FINLAND
(cost $294,768) 296,120
-----------
FRANCE (10.1%)
166 Accor SA 8,019
81 Air Liquide 13,556
186 Alcatel 42,705
807 Aventis SA 46,890
328 Axa 45,713
422 Banque Nationale de Paris (BNP) 38,926
32 Bouygues SA 20,333
134 Canal Plus 19,499
83 Cap Gemini SA 21,062
326 Carrefour SA 60,108
20 Club Mediterranee SA(a) 2,312
100 Compagnie de Saint Gobain 18,801
194 Compagnie Generale des Etablissements
Michelin 'B' 7,619
137 Dassault Systemes SA 8,926
92 Etablissements Economiques du Casino
Guichard-Perrachon SA 10,534
989 France Telecom SA 130,765
84 Groupe Danone SA 19,794
62 L'Oreal SA 49,729
90 LVMH (Louis Vuitton Moet Hennessy) 40,303
125 Lafarge SA (Ordinary) 14,551
155 Lagardere SCA 8,429
54 PSA Peugeot Citroen 12,257
107 Pechiney SA 'A' 7,645
101 Pernod Ricard 5,777
</TABLE>
Continued
125
<PAGE> 126
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
FRANCE (CONTINUED)
123 Pinault-Printemps-Redoute SA $ 32,452
14 Publicis SA 5,287
274 STMicroelectronics 42,160
11 Sagem SA 7,643
767 Sanofi-Synthelabo SA(a) 31,930
178 Schneider SA 13,972
49 Sidel SA 5,058
110 Societe Generale 'A' 25,588
45 Sodexho Alliance 7,962
175 Suez Lyonnaise des Eaux SA 28,037
187 Thomson CSF 6,175
710 Total Fina SA 'B' 94,734
338 Usinor SA 6,348
116 Valeo SA 8,948
545 Vivendi 49,201
-----------
TOTAL INVESTMENTS IN FRANCE
(cost $1,015,087) 1,019,748
-----------
GERMANY (10.3%)
23 Adidas-Salomon AG 1,721
248 Allianz AG (Registered Shares) 83,412
654 BASF AG 33,719
777 Bayer AG 36,853
42 Beiersdorf AG 2,819
956 DaimlerChrysler AG 74,127
634 Deutsche Bank AG (Registered Shares) 53,463
473 Deutsche Lufthansa AG (Registered
Shares) 11,289
2,946 Deutsche Telekom AG 210,630
464 Dresdner Bank AG 25,699
145 EM.TV & Merchandising AG 9,111
95 Fresenius Medical Care AG 8,313
126 Gehe AG 4,885
35 Heidelberger Zement AG 2,731
373 HypoVereinsbank 25,542
65 Kamps AG 4,484
59 Karstadt AG 2,373
155 Linde AG 8,569
87 MAN AG 3,228
506 Mannesmann AG 123,309
87 Merck KGaA 2,716
234 Metro AG 12,583
164 Muenchener Rueckversicherungs-
Gesellschaft AG (Registered Shares) 42,030
216 Preussag AG 12,309
540 RWE AG 21,099
56 SAP AG (Systeme, Anwendungen,
Produkte in der Datenverarbeitung) 27,350
45 SAP AG (Systeme, Anwendungen,
Produkte in der Datenverarbeitung)
(Preferred) 27,144
90 Schering AG 10,953
582 Siemens AG 74,431
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
GERMANY (CONTINUED)
560 Thyssen Krupp AG $ 17,002
552 Veba AG 26,932
600 Viag AG 10,996
349 Volkswagen AG 19,600
215 WCM Beteiligungs-und Grundbesitz AG 8,422
-----------
TOTAL INVESTMENTS IN GERMANY
(cost $1,035,096) 1,039,844
-----------
HONG KONG (2.3%)
2,200 Bank of East Asia, Ltd. 6,128
2,500 CLP Holdings Limited 11,514
2,000 Cathay Pacific Airways 3,564
2,000 Cheung Kong (Holdings) Ltd. 25,344
1,800 Hang Seng Bank Limited 20,552
7,000 Hong Kong and China Gas Company Ltd. 9,591
12,800 Hong Kong Telecom Limited 36,969
4,000 Hutchison Whampoa Limited 58,150
1,000 Johnson Electric Holdings Limited 6,420
3,000 New World Development Company Ltd. 6,754
6,000 Sino Land Company Limited 3,473
1,000 Swire Pacific Limited 'A' 5,905
3,000 Wharf (Holdings) Ltd. 6,966
-----------
TOTAL INVESTMENTS IN HONG KONG
(cost $233,134) 232,592
-----------
IRELAND (0.4%)
587 Allied Irish Banks PLC 6,691
254 CRH PLC 5,474
354 DCC PLC 2,638
1,810 eircom PLC 7,892
1,473 Fyffes PLC 2,967
1,018 Greencore Group PLC 3,127
167 Irish Continental Group PLC 1,715
1,387 Jefferson Smurfit Group PLC 4,190
268 Jurys Doyle Hotel Group PLC 1,984
160 Ryanair Holdings PLC(a) 1,724
1,278 Tullow Oil PLC(a) 1,660
1,622 Waterford Wedgwood PLC 1,650
-----------
TOTAL INVESTMENTS IN IRELAND
(cost $41,734) 41,712
-----------
ITALY (4.2%)
980 Alitalia SpA 2,334
1,185 Assicurazioni Generali 39,140
249 Autogrill SpA 3,134
7,032 Banca di Roma SpA 9,036
4,582 Banca Intesa SpA 18,595
588 Banca Popolare di Milano (BPM) 4,577
2,795 Benetton Group SpA 6,417
7,750 ENI SpA 42,611
7,186 Enel SpA(a) 30,103
449 Fiat SpA 12,818
</TABLE>
Continued
126
<PAGE> 127
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
ITALY (CONTINUED)
645 La Rinascente SpA $ 4,137
1,047 Mediaset SpA 16,279
855 Mediobanca SpA 8,722
189 Mondadori (Arnoldo) Editore SpA 5,995
3,840 Montedison SpA 6,284
5,093 Olivetti SpA(a) 14,745
1,495 Parmalat Finanziaria SpA 1,912
2,932 Pirelli SpA 8,046
882 Riunione Adriatica di Sicurta SpA 8,846
1,593 San Paolo-IMI SpA 21,640
1,109 Sirti SpA 3,965
1,034 Telecom Italia Mobile (TIM) SpA 4,925
6,232 Telecom Italia Mobile (TIM) SpA 69,597
3,405 Telecom Italia SpA 48,004
1,187 Telecom Italia SpA (Registered) 7,232
4,316 Unicredito Italiano SpA 21,210
-----------
TOTAL INVESTMENTS IN ITALY
(cost $417,828) 420,304
-----------
JAPAN (26.9%)
200 Acom Co., Ltd. 19,591
100 Advantest Corporation 26,421
1,000 Ajinomoto Co., Inc. 10,422
100 Aoyamma Trading Co., Ltd. 2,143
3,000 The Asahi Bank, Ltd. 18,495
1,000 Asahi Breweries Limited 10,940
2,000 Asahi Chemical Industry Co., Ltd. 10,275
2,000 Asahi Glass Company, Limited 15,481
100 Asatsu-Dk Inc. 6,752
1,000 The Bank of Fukuoka, Ltd. 6,938
4,000 The Bank of Tokyo-Mitsubishi, Ltd. 55,739
2,000 The Bank of Yokohama, Ltd. 9,218
100 Benesse Corporation 24,073
1,000 Bridgestone Corp. 22,018
100 CSK Corporation 16,244
1,000 Canon, Inc. 39,730
1,000 Casio Computer Co., Ltd. 8,318
2 Central Japan Railway Company 12,545
1,000 Citizen Watch Co. 6,361
1,000 Dai Nippon Printing Co., Ltd. 15,951
1,000 The Daiei, Inc. 3,963
1,000 Daiichi Pharmaceutical Co., Ltd. 13,005
2,000 The Daiwa Bank, Ltd. 5,871
1,000 Daiwa House Industry Co., Ltd. 7,437
1,000 Daiwa Securities Group Inc. 15,647
1,000 Denki Kagaku Kogyo Kabushiki Kaisha 2,985
1,000 Denso Corporation 23,877
5 East Japan Railway Company 26,960
1,000 Ebara Corporation 11,156
200 Fanuc Ltd. 25,462
3,000 The Fuji Bank, Limited 29,152
100 Fuji Machine Manufacturing Co., Ltd. 8,063
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
JAPAN (CONTINUED)
1,000 Fuji Photo Film $ 36,501
100 Fuji Soft ABC Incorporated 7,828
2,000 Fujitsu Limited 91,203
1,000 The Furukawa Electric Co., Ltd. 15,168
100 Hirose Electric Co. Ltd. 22,419
3,000 Hitachi Ltd. 48,146
1,000 Honda Motor Co., Ltd. 37,186
3,000 The Industrial Bank of Japan, Limited 28,917
2,000 Itochu Corporation(a) 9,962
1,000 Japan Airlines Company, Ltd. (JAL) 2,965
2 Japan Tobacco, Inc. 15,305
800 Kansai Electric Power Company, Inc. 13,943
1,000 Kao Corporation 28,525
2,000 Kawasaki Heavy Industries Ltd. 2,662
2,000 Kawasaki Steel Corporation(a) 3,581
1,000 Kinki Nippon Railway Co., Ltd. 4,012
1,000 Kirin Brewery Company, Ltd. 10,520
2,000 Komatsu Ltd. 9,199
100 Konami Co., Ltd. 17,859
2,000 Kubota Corporation 7,652
1,000 Kuraray Co., Ltd. 10,128
200 Kyocera Corporation 51,864
2,000 Marubeni Corporation 8,396
1,000 Marui Co., Ltd. 14,933
2,000 Matsushita Electric Industrial
Company, Ltd. 55,387
100 Meitec Corp. 3,180
1,000 Minebea Company Ltd. 17,154
2,000 Mitsubishi Chemical Corporation 7,046
1,000 Mitsubishi Corporation 7,721
2,000 Mitsubishi Electric Corporation 12,917
2,000 Mitsubishi Estate Company, Limited 19,513
4,000 Mitsubishi Heavy Industries, Ltd. 13,348
2,000 Mitsubishi Materials Corporation 4,893
1,000 Mitsubishi Trust & Banking Corp. 8,807
1,000 Mitsui & Co., Ltd. 6,997
1,000 Mitsui Fudosan Co., Ltd. 6,772
1,000 Mitsui Marine and Fire Insurance
Company, Ltd. 5,930
2,000 The Mitsui Trust & Banking Co., Ltd. 4,521
1,000 Mitsukoshi, Ltd.(a) 3,523
2,000 NEC Corporation 47,656
1,000 NGK Insulators, Ltd. 7,427
1,000 NGK Spark Plug Co., Ltd. 9,150
100 Namco Ltd. 6,478
100 Nichiei Co., Ltd. 2,172
100 Nintendo Company Ltd. 16,616
2,000 Nippon Express Co., Ltd. 11,058
1,000 Nippon Meat Packers, Inc. 12,966
2,000 Nippon Mitsubishi Oil Corp. 8,807
1,000 Nippon Paper Industries Co. Ltd. 5,509
1,000 Nippon Sheet Glass Company, Ltd. 5,186
</TABLE>
Continued
127
<PAGE> 128
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
JAPAN (CONTINUED)
6,000 Nippon Steel Corporation $ 14,033
12 Nippon Telegraph & Telephone
Corporation (NTT) 205,499
2,000 Nippon Yusen Kabushiki Kaisha 8,181
4,000 Nissan Motor Co., Ltd.(a) 15,735
1,000 Nisshinbo Industries Inc. 4,521
2,000 The Nomura Securities Co., Ltd. 36,109
1,000 Obayashi Corporation 4,726
1,000 Oji Paper Co., Ltd. 6,018
100 Oriental Land Co., Ltd. 8,592
100 Orix Corporation 22,527
1,000 Osaka Gas Co. 2,407
200 Promise Co., Ltd. 10,177
1,000 Renown Incorporated 2,446
100 Rohm Company Ltd. 41,100
100 SMC Corporation 22,125
4,000 The Sakura Bank, Ltd. 23,173
1,000 Sankyo Company, Ltd. 20,550
2,000 Sanyo Electric Co., Ltd. 8,122
200 Sega Enterprises Ltd. 6,361
1,000 Sekisui Chemical Co., Ltd. 4,433
1,000 Sekisui House, Ltd. 8,856
1,000 Sharp Corporation 25,590
1,000 Shin-Etsu Chemical Co., Ltd. 43,057
1,000 Shionogi & Co., Ltd. 12,144
1,000 Shiseido Company, Limited 14,581
1,000 The Shizuoka Bank, Ltd. 10,255
100 Softbank Corporation 95,704
400 Sony Corporation 118,603
3,000 The Sumitomo Bank, Ltd. 41,071
1,000 Sumitomo Chemical Co., Ltd. 4,697
1,000 Sumitomo Corporation 9,698
1,000 Sumitomo Electric Industries 11,557
1,000 Sumitomo Heavy Industries, Ltd. 2,740
1,000 Sumitomo Metal Industries, Ltd. 753
1,000 Sumitomo Metal Mining Co. 2,231
1,000 Taisho Pharmaceutical Company, Ltd. 29,357
1,000 Takeda Chemical Industries, Ltd. 49,418
200 Takefuji Corporation 25,032
2,000 Teijin Limited 7,378
300 Tohoku Electric Power Co., Inc. 4,462
2,000 The Tokai Bank Ltd. 12,604
2,000 The Tokio Marine & Fire Insurance Co.
Ltd. 23,388
1,400 Tokyo Electric Power 37,538
4,000 Tokyo Gas Co. 9,747
1,000 Toppan Printing Co., Ltd. 9,981
2,000 Toray Industries, Inc. 7,750
4,000 Toshiba Corporation 30,531
1,000 Toto Limited 6,048
4,000 Toyota Motor Corporation 193,757
100 Uni-Charm Corporation 5,764
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
JAPAN (CONTINUED)
100 World Co., Ltd. $ 12,428
1,000 Yamaha Corporation 6,498
1,000 Yamato Transport Co., Ltd. 38,751
1,000 Yokogawa Electric Corporation 7,055
-----------
TOTAL INVESTMENTS IN JAPAN
(cost $2,689,269) 2,706,700
-----------
NETHERLANDS (5.2%)
1,434 ABN AMRO Holding NV 35,812
136 ASM Lithography Holding NV(a) 15,106
625 Aegon NV 60,357
310 Akzo Nobel NV 15,546
301 Baan Company, NV(a) 4,253
226 Buhrmann NV 3,402
843 Elsevier NV 10,068
136 Getronics NV 10,847
191 Hagemeyer NV 4,422
261 Heineken NV 12,726
85 IHC Caland NV 3,103
896 ING Groep NV 54,082
486 KPN NV 47,423
626 Koninklijke Ahold NV 18,527
101 Koninklijke Luchtvaart Maatschappij
NV (KLM) 2,594
317 Koninklijke (Royal) Philips
Electronics NV 43,095
216 Oce NV 3,650
2,047 Royal Dutch Petroleum Company 125,432
408 TNT Post Group NV 11,689
505 Unilever NV 'A' 27,888
238 Vedior NV 'A' 2,445
250 Wolters Kluwer NV 'A' 8,459
-----------
TOTAL INVESTMENTS IN THE NETHERLANDS
(cost $518,544) 520,926
-----------
NEW ZEALAND (0.1%)
1,001 Fletcher Challenge Energy 2,612
529 Lion Nathan Limited 1,229
2,337 Telecom Corporation of New Zealand
Limited 10,977
-----------
TOTAL INVESTMENTS IN NEW ZEALAND
(cost $14,801) 14,818
-----------
NORWAY (0.4%)
232 ASK Proxima ASA(a) 1,623
963 Christiania Bank Og Kreditkasse 4,752
62 Elkem ASA 1,433
224 Merkantildata ASA 2,715
410 NCL Holdings ASA(a) 1,772
204 Norsk Hydro ASA 8,564
306 Orkla ASA 'A' 5,276
176 Petroleum Geo-Services(a) 3,144
</TABLE>
Continued
128
<PAGE> 129
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
NORWAY (CONTINUED)
171 Schibsted ASA $ 3,183
449 Storebrand ASA(a) 3,422
-----------
TOTAL INVESTMENTS IN NORWAY
(cost $35,732) 35,884
-----------
PORTUGAL (0.4%)
1,117 BPI-SGPS, SA (Registered Shares) 4,758
1,074 Banco Comercial Portugues, SA (BCP)
(Registered Shares) 5,959
302 Brisa-Auto Estradas de Portugal, SA 2,317
587 EDP-Electricidade de Portugal, SA 10,244
166 Jeronimo Martins SGPS, SA 4,246
1,070 Portugal Telecom SA (Registered
Shares) 11,734
110 Sonae SGPS, SA 5,804
-----------
TOTAL INVESTMENTS IN PORTUGAL
(cost $44,857) 45,062
-----------
SINGAPORE (1.0%)
1,000 City Developments Limited 5,856
2,000 DBS Group Holdings Limited 32,793
1,000 DBS Land Limited 1,970
2,000 Keppel Corporation Ltd. 5,237
2,000 Neptune Orient Lines Limited(a) 2,679
2,000 Oversea-Chinese Banking Corporation
Ltd. 18,378
1,000 Singapore Airlines Ltd. 11,351
1,000 Singapore Technologies Engineering
Ltd. 1,549
6,000 Singapore Telecommunications, Ltd. 12,396
1,000 United Overseas Bank Ltd. 8,829
-----------
TOTAL INVESTMENTS IN SINGAPORE
(cost $101,385) 101,038
-----------
SPAIN (2.7%)
138 ACS, Actividades de Construccion y
Servicios, SA 3,273
108 Acerinox SA 4,307
512 Altadis 7,321
606 Argentina, Caja Postal y Banco
Hipotecario de Espana, SA 14,237
2,243 Banco Bilbao Vizcaya, SA 31,938
3,326 Banco Santander Central Hispano, SA 37,646
1,120 Endesa SA 22,230
360 Gas Natural SDG, SA 'E' 8,291
492 Grupo Dragados SA 4,340
1,081 Iberdrola SA 14,979
1,289 Repsol-YPF, SA 29,880
3,191 Telefonica SA(a) 79,691
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
SPAIN (CONTINUED)
460 TelePizza, SA(a) $ 1,945
416 Union Electrica Fenosa, SA 7,264
-----------
TOTAL INVESTMENTS IN SPAIN
(cost $266,121) 267,342
-----------
SWEDEN (2.7%)
216 Atlas Copco AB 'A' 6,396
442 Electrolux AB 'B' 11,136
647 ForeningsSparbanken AB 9,521
750 Hennes & Mauritz AB 'B' 25,165
123 NetCom AB 'B'(a) 8,659
179 OM Gruppen AB 3,899
142 SKF AB 'B' 3,461
105 Sandvik AB 'A' 3,294
136 Sandvik AB 'B' 4,339
285 Securitas AB 'B' 5,167
500 Skandia Forsakrings AB 15,128
884 Skandinaviska Enskilda Banken (SEB)
'A' 8,950
176 Skanska AB 'B' 6,568
292 Svenska Cellulosa AB (SCA) 'B' 8,663
538 Svenska Handelsbanken AB 6,777
1,868 Telefonaktiebolaget LM Ericsson 'B' 120,296
358 Trelleborg AB (Class B) 3,224
391 Volvo AB 'B' 10,127
95 WM-Data AB 'B' 5,883
-----------
TOTAL INVESTMENTS IN SWEDEN
(cost $265,223) 266,653
-----------
SWITZERLAND (5.6%)
293 ABB Ltd.(a) 35,850
20 Adecco SA (Registered Shares) 15,581
10 Alusuisse Lonza Group AG (Registered
Shares) 7,376
255 Credit Suisse Group (Registered
Shares) 50,705
7 Holderbank Financiere Glarus AG 'B' 9,587
2 Jemoli Holding AG 2,387
7 Lonza AG (Registered Shares)(a) 4,257
39 Nestle SA (Registered Shares) 71,473
71 Novartis AG (Registered Shares) 104,290
7 Roche Holdings AG (Bearer) 83,119
1 Roche Holdings AG (Genusss) 16,335
20 SAirGroup 4,027
2 SGS Societe Generale de Surveillance
Holding SA 'B'(a) 2,551
15 Schweizerische Rueckversicherungs-
Gesellschaft (Registered Shares) 30,826
7 Sulzer AG (Registered Shares) 4,552
5 The Swatch Group AG 'B' 5,761
6 The Swatch Group AG (Registered
Shares) 1,398
76 Swisscom AG (Registered Shares) 30,749
</TABLE>
Continued
129
<PAGE> 130
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
SWITZERLAND (CONTINUED)
201 UBS AG (Registered Shares) $ 54,300
49 Zurich Allied AG 27,952
-----------
TOTAL INVESTMENTS IN SWITZERLAND
(cost $560,898) 563,076
-----------
UNITED KINGDOM (18.9%)
747 3i Group PLC 13,324
206 ARM Holdings PLC(a) 13,890
1,206 Abbey National PLC 19,273
744 Airtours PLC 4,564
1,744 Allied Zurich PLC 20,537
819 Amvescap PLC 9,519
409 Arjo Wiggins Appleton PLC 1,485
1,678 AstraZeneca Group PLC 69,558
1,357 BAA PLC 9,529
184 BBA Group PLC 1,485
3,351 BG Group PLC 21,637
352 BOC Group PLC 7,557
18,779 BP Amoco PLC 188,699
1,371 Barclays PLC 39,437
608 Barratt Developments PLC 2,827
1,070 Bass PLC 13,308
1,139 Blue Circle Industries PLC 6,614
1,163 Boots Company PLC 11,301
3,145 British Aerospace PLC 20,814
1,369 British Airways PLC 8,928
2,577 British American Tobacco PLC 14,632
838 The British Land Company PLC 5,546
1,576 British Sky Broadcasting Group PLC
("BSkyB") 25,351
6,218 British Telecommunications PLC 151,861
331 Burmah Castrol PLC 6,038
1,337 CGU PLC 21,528
2,078 Cadbury Schweppes PLC 12,545
1,086 Canary Wharf Finance PLC(a) 6,749
233 Capita Group PLC 4,231
875 Carlton Communications PLC 8,517
287 Celltech Group PLC(a) 2,451
3,291 Centrica PLC 9,323
491 Compass Group PLC 6,737
3,931 Corus Group PLC 10,216
2,984 Diageo PLC 23,988
497 Dixons Group PLC 11,946
984 EMI Group PLC 9,649
31 Eidos PLC(a) 2,720
232 Electrocomponents PLC 2,567
1,092 FKI PLC 4,230
554 GKN PLC 8,719
1,362 George Wimpey PLC 2,440
3,428 Glaxo Wellcome PLC 96,836
1,516 Granada Group PLC 15,356
1,318 The Great Universal Stores PLC 7,702
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (CONTINUED)
8,050 HSBC Holdings PLC $ 112,141
2,037 Halifax PLC 22,573
876 Hanson PLC 7,339
671 Hays PLC 10,680
2,157 Hilton Group PLC 6,903
763 IMI PLC 3,301
902 Imperial Chemical Industries PLC 9,544
3,316 Invensys PLC 18,039
1,478 J Sainsbury PLC 8,332
1,107 Kingfisher PLC 12,276
2,172 LASMO PLC 4,128
795 Land Securities PLC 8,906
4,107 Legal & General Group PLC 11,171
5,100 Lloyds TSB Group PLC 63,760
321 Logica PLC 8,275
2,587 Marconi PLC 45,747
3,347 Marks & Spencer PLC 15,925
651 Misys PLC 10,141
1,095 National Grid Group PLC 8,325
1,622 National Power PLC 9,386
952 Nycomed Amersham PLC 5,924
516 Pearson PLC 16,692
761 The Peninsular and Oriental Steam
Navigation Company 12,689
1,321 Pilkington PLC 1,802
1,751 Prudential Corporation PLC 34,483
98 Psion PLC 4,271
124 RMC Group PLC 1,701
484 Racal Electronic PLC 4,336
588 Railtrack Group PLC 9,871
377 Rank Group PLC 1,193
1,386 Reed International PLC 10,370
2,921 Rentokil Initial PLC 10,644
1,322 Reuters Group PLC 18,128
918 Rio Tinto PLC (Registered Shares) 22,153
1,005 Royal Bank of Scotland Group PLC 17,813
547 SEMA Group PLC 9,836
1,371 The Sage Group PLC 16,720
197 Schroders PLC 3,962
2,140 Scottish Power PLC 16,201
394 Seton Scholl Healthcare Group PLC 4,988
527 Slough Estates PLC 2,999
1,461 Smith & Nephew PLC 4,905
5,260 SmithKline Beecham PLC 67,076
480 Smiths Industries PLC 7,167
2,330 Stagecoach Holdings PLC 5,999
483 TI Group PLC 3,703
414 Tarmac PLC 3,676
828 Tate & Lyle PLC 5,319
5,731 Tesco PLC 17,415
573 Thames Water PLC 7,140
834 Unigate PLC 4,173
</TABLE>
Continued
130
<PAGE> 131
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
SHARES
HELD INVESTMENTS VALUE
------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (CONTINUED)
2,468 Unilever PLC $ 18,146
1,020 United Biscuits (Holdings) PLC 4,363
811 United Utilities PLC 8,424
29,226 Vodafone AirTouch PLC 144,714
619 WPP Group PLC 9,802
247 Williams PLC 1,123
843 Wolseley PLC 6,460
-----------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM (cost $1,906,376) 1,899,437
-----------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
SHORT-TERM SECURITIES (99.8%)
COMMERCIAL PAPER* (14.9%)
$ 500,000 Associates First Capital Corp., 4%
due 1/03/2000 $ 499,889
500,000 The CIT Group Holdings, Inc.,
4.75% due 1/03/2000 499,868
500,000 General Motors Acceptance Corp.,
5% due 1/03/2000 499,861
-----------
TOTAL INVESTMENTS IN
COMMERCIAL PAPER
(cost $1,499,618) 1,499,618
-----------
US GOVERNMENT AGENCY OBLIGATIONS*
(84.9%)
2,500,000 Federal Farm Credit Banks, 4.35%
due 1/14/2000 2,496,073
1,047,000 Federal Home Loan Banks, 5.15% due
1/26/2000 1,043,256
2,500,000 Federal Home Loan Mortgage
Corporation, 4.30% due 1/13/2000 2,496,417
2,500,000 Federal National Mortgage
Association, 4% due 1/19/2000 2,495,000
-----------
TOTAL INVESTMENTS IN US GOVERNMENT
AGENCY OBLIGATIONS
(cost $8,530,746) 8,530,746
-----------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES
(cost $10,030,364) 10,030,364
-----------
TOTAL INVESTMENTS -- 198.3%
(cost $19,910,212) 19,940,910
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (98.3)% (9,886,592)
-----------
NET ASSETS -- 100.0% $10,054,318
===========
</TABLE>
-------------------------------------------------------
* Commercial Paper and certain US Government Agency Obligations are traded on a
discount basis; the interest rates shown reflect the discount rates paid at
the time of purchase by the Series.
(a) Non-income producing security.
See accompanying notes to the financial statements.
131
<PAGE> 132
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
DECEMBER 31, 1999
-----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $19,910,212) $19,940,910
Cash 856
Investment adviser receivable 298
Prepaid expenses 11,900
-----------
Total Assets 19,953,964
-----------
LIABILITIES:
Securities purchased payable 9,887,404
Accrued expenses 12,242
-----------
Total Liabilities 9,899,646
-----------
NET ASSETS:
Net assets $10,054,318
===========
NET ASSETS CONSIST OF:
Partners' capital $10,031,175
Unrealized appreciation on investments and foreign currency transactions -- net 23,143
-----------
Net assets $10,054,318
===========
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements.
132
<PAGE> 133
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
STATEMENT OF OPERATIONS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1999+
TO DECEMBER 31, 1999
--------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest and discount earned $ 1,219
EXPENSES:
Accounting services $ 150
Offering costs 100
Pricing fees 50
Custodian fees 42
Investment advisory fees 6
-------
Total expenses before reimbursement 348
Reimbursement of expenses (304)
-------
Total expenses after reimbursement 44
-------
INVESTMENT INCOME -- NET 1,175
-------
UNREALIZED GAIN (LOSS) ON INVESTMENTS & FOREIGN CURRENCY
TRANSACTIONS -- NET:
Unrealized appreciation/depreciation on:
Investments -- net 30,698
Foreign currency transactions -- net (7,555) 23,143
------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $24,318
=======
</TABLE>
------------------------------------------------------
+ Commencement of operations.
See accompanying notes to the financial statements.
133
<PAGE> 134
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
STATEMENT OF CHANGES IN NET ASSETS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1999+
TO DECEMBER 31, 1999
--------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Investment income -- net $ 1,175
Unrealized appreciation on investments and foreign currency
transactions -- net 23,143
-----------
Net increase in net assets resulting from operations 24,318
-----------
NET CAPITAL CONTRIBUTIONS:
Increase in net assets derived from net capital contributions 10,030,000
-----------
NET ASSETS:
Total increase in net assets 10,054,318
Beginning of period --
-----------
End of period $10,054,318
===========
</TABLE>
------------------------------------------------------
+ Commencement of operations.
See accompanying notes to the financial statements.
134
<PAGE> 135
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
FINANCIAL HIGHLIGHTS
(AUDITED)
--------------------------------------------------------------------------------
The following ratios have been derived from information provided in the
financial statements.
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1999+
TO DECEMBER 31, 1999
--------------------
<S> <C>
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement 0.08%*
-------
Expenses 0.63%*
-------
Investment income -- net 2.14%*
-------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $10,054
-------
Portfolio turnover 0.00%
=======
</TABLE>
------------------------------------------------------
* Annualized.
+ Commencement of operations.
See accompanying notes to the financial statements.
135
<PAGE> 136
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
(AUDITED)
--------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Master International (Capitalization Weighted) Index Series (the "Series") is
part of Quantitative Master Series Trust (the "Trust"). The Trust is registered
under the Investment Company Act of 1940 and is organized as a Delaware business
trust. The Series' financial statements are prepared in accordance with
generally accepted accounting principles, which may require the use of
management accruals and estimates. The following is a summary of significant
accounting policies followed by the Series.
(a) VALUATION OF INVESTMENTS
Portfolio securities that are traded on stock exchanges are valued at the last
sale price as of the close of business on the day the securities are being
valued or, lacking any sales, at the closing bid price. Securities traded in the
over-the-counter market are valued at the last quoted bid price at the close of
trading on the New York Stock Exchange on each day by brokers that make markets
in the securities. Securities traded in the NASDAQ National Market System are
valued at the last sale price prior to the time of valuation. Portfolio
securities that are traded both in the over-the-counter market and on a stock
exchange are valued according to the broadest and most representative market.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. In the case of options traded in the over-the-counter
market, valuation is the last asked price (options written) or the last bid
price (options purchased). Short-term securities are valued at amortized cost,
which approximates market value. Other investments, including futures contracts
and related options, are stated at market value. Securities and assets for which
market quotations are not readily available are valued at fair market value, as
determined in good faith by or under the direction of the Trust's Board of
Trustees.
(b) DERIVATIVE FINANCIAL INSTRUMENTS
The Series may engage in various portfolio investment techniques to provide
liquidity, or in connection with the Series' arbitrage strategies. Losses may
arise due to changes in the value of the contract or if the counterparty does
not perform under the contract.
- Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts as a proxy for a
direct investment in securities underlying the Series' index. Upon entering
into a contract, the Series deposits and maintains as collateral such initial
margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Series agrees to receive from or pay to the
broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Series as unrealized gains or losses. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
- Options -- The Series is authorized to purchase and write call and put
options. When the Series writes an option, an amount equal to the premium
received by the Series is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or
sold through an exercise of an option, the related premium paid (or received)
is added to (or deducted from) the basis of the security acquired or deducted
from (or added to) the proceeds of the security sold. When an option expires
(or the Series enters into a closing transaction), the Series realizes a gain
or loss on the option to the extent of the premiums received or paid (or a
gain or loss to the extent that the cost of the closing transaction exceeds
the premium paid or received).
Written and purchased options are non-income producing investments.
- Forward foreign exchange contracts -- The Series is authorized to enter into
forward foreign exchange contracts as a hedge against either specific
transactions or portfolio positions. Such contracts are not entered on the
Series' records. However, the effect on operations is recorded from the date
the Series enters into such contracts.
136
<PAGE> 137
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
(AUDITED)
--------------------------------------------------------------------------------
- Foreign currency options and futures -- The Series may also purchase or sell
listed or over-the-counter foreign currency options, foreign currency futures
and related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions may
be effected with respect to hedges on non-US dollar denominated securities
owned by the Series, sold by the Series but not yet delivered, or committed or
anticipated to be purchased by the Series.
(c) FOREIGN CURRENCY TRANSACTIONS
Transactions denominated in foreign currencies are recorded at the exchange rate
prevailing when recognized. Assets and liabilities denominated in foreign
currencies are valued at the exchange rate at the end of the period. Foreign
currency transactions are the result of settling (realized) or valuing
(unrealized) assets or liabilities expressed in foreign currencies into US
dollars. Realized and unrealized gains or losses from investments include the
effects of foreign exchange rates on investments.
(d) INCOME TAXES
The Series is classified as a partnership for Federal income tax purposes. As a
partnership for Federal income tax purposes, the Series will not incur Federal
income tax liability. Items of partnership income, gain, loss and deduction will
pass through to investors as partners in the Series. Therefore, no Federal
income tax provision is required. Under the applicable foreign tax law, a
withholding tax may be imposed on interest, dividends, and capital gains at
various rates.
(e) SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on the date the securities are purchased
or sold (the trade dates). Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Series has determined the ex-dividend date.
Interest income (including amortization of discount) is recognized on the
accrual basis. Realized gains and losses on security transactions are determined
on the identified cost basis.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML &
Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series' net
assets. For the period December 30, 1999 to December 31, 1999, FAM earned fees
of $6, all of which were waived. FAM also reimbursed the Fund for additional
expenses of $298.
Accounting services are provided to the Series by FAM at cost.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. INVESTMENTS
Purchases of investments, excluding short-term securities, for the period
December 30, 1999 to December 31, 1999 was $9,879,849.
137
<PAGE> 138
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
(AUDITED)
--------------------------------------------------------------------------------
Net unrealized gains (losses) as of December 31, 1999 were as follows:
<TABLE>
<CAPTION>
UNREALIZED
GAINS
(LOSSES)
--------------
<S> <C>
Investments:
Long-term................................................. $30,698
-------
Total investments................................. 30,698
-------
Currency Transactions:
Foreign currency transactions............................. (7,555)
-------
Total currency transactions....................... (7,555)
-------
Total............................................. $23,143
-------
</TABLE>
As of December 31, 1999, net unrealized appreciation for Federal income tax
purposes aggregated $30,698, of which $45,565 related to appreciated securities
and $14,867 related to depreciated securities. At December 31, 1999, the
aggregate cost of investments for Federal income tax purposes was $19,910,212.
4. COMMITMENTS
At December 31, 1999, the Series entered into foreign exchange contracts, under
which it had agreed to purchase foreign currency with the approximate value of
$9,989,000.
138
<PAGE> 139
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES
INDEPENDENT AUDITORS' REPORT
--------------------------------------------------------------------------------
THE BOARD OF TRUSTEES AND INVESTORS,
MASTER INTERNATIONAL (CAPITALIZATION WEIGHTED) INDEX SERIES:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master International (Capitalization Weighted)
Index Series (one of the series constituting Quantitative Master Series Trust)
as of December 31, 1999, the related statements of operations and changes in net
assets and the financial highlights for the period December 30, 1999
(commencement of operations) to December 31, 1999. These financial statements
and the financial highlights are the responsibility of the Trust's management.
Our responsibility is to express an opinion on these financial statements and
the financial highlights based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and the 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. Our
procedures included confirmation of securities owned at December 31, 1999 by
correspondence with the custodian and broker. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Master International
(Capitalization Weighted) Index Series of Quantitative Master Series Trust as of
December 31, 1999, the result of its operations, the changes in its net assets,
and the financial highlights for the respective stated period in conformity with
generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 15, 2000
139
<PAGE> 140
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
US GOVERNMENT & AGENCY OBLIGATIONS (42.5%)
$ 5,800,000 Federal Home Loan Mortgage
Corporation, 5.75% due 7/15/2003 $ 5,611,691
1,300,000 Federal Home Loan Mortgage
Corporation, 7.18% due 6/27/2006 1,311,978
1,200,000 Federal National Mortgage
Association, 5.625% due
3/15/2001 1,188,496
300,000 Federal National Mortgage
Association, 5.45% due
10/10/2003 286,317
220,000 Federal National Mortgage
Association, 6.85% due 4/05/2004 219,803
1,700,000 Federal National Mortgage
Association, 5.75% due 2/15/2008 1,565,261
700,000 Financing Corp., 9.80% due
11/30/2017 875,217
1,490,000 Tennessee Valley Authority,
Series E, 6.25% due 12/15/2017 1,337,275
800,000 United States Treasury Bonds,
8.75% due 11/15/2008 855,872
24,850,000 United States Treasury Bonds,
8.75% due 5/15/2017 29,680,094
8,000,000 United States Treasury Bonds,
6.625% due 2/15/2027 7,928,720
5,400,000 United States Treasury Bonds,
6.375% due 8/15/2027 5,186,538
1,600,000 United States Treasury Bonds,
6.125% due 11/15/2027 1,488,992
8,900,000 United States Treasury Notes,
5.375% due 2/15/2001 8,824,884
4,700,000 United States Treasury Notes,
5.00% due 2/28/2001 4,639,793
5,300,000 United States Treasury Notes,
4.875% due 3/31/2001 5,218,009
4,700,000 United States Treasury Notes,
5.00% due 4/30/2001 4,630,957
9,600,000 United States Treasury Notes,
5.25% due 5/31/2001 9,477,024
4,000,000 United States Treasury Notes,
5.50% due 7/31/2001 3,956,880
4,900,000 United States Treasury Notes,
5.50% due 8/31/2001 4,844,091
2,200,000 United States Treasury Notes,
5.875% due 11/30/2001 2,185,898
12,530,000 United States Treasury Notes,
6.50% due 5/31/2002 12,590,645
2,400,000 United States Treasury Notes,
5.50% due 1/31/2003 2,344,872
2,800,000 United States Treasury Notes,
5.25% due 8/15/2003 2,699,816
3,500,000 United States Treasury Notes,
5.75% due 8/15/2003 3,428,355
5,200,000 United States Treasury Notes,
4.25% due 11/15/2003 4,829,500
7,400,000 United States Treasury Notes,
4.75% due 2/15/2004 6,980,272
3,400,000 United States Treasury Notes,
5.875% due 2/15/2004 3,339,956
7,700,000 United States Treasury Notes,
5.25% due 5/15/2004 7,376,369
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
US GOVERNMENT & AGENCY OBLIGATIONS (CONTINUED)
$ 3,120,000 United States Treasury Notes,
6.00% due 8/15/2004 $ 3,071,234
6,200,000 United States Treasury Notes,
5.875% due 11/15/2005 6,018,836
5,550,000 United States Treasury Notes,
6.25% due 2/15/2007 5,460,700
5,400,000 United States Treasury Notes,
6.625% due 5/15/2007 5,421,114
3,200,000 United States Treasury Notes,
6.125% due 8/15/2007 3,120,000
4,400,000 United States Treasury Notes,
5.50% due 5/15/2009 4,099,568
600,000 United States Treasury Notes,
6.00% due 8/15/2009 581,250
------------
TOTAL INVESTMENTS IN US
GOVERNMENT & AGENCY OBLIGATIONS
(cost $179,447,005) 172,676,277
------------
US GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS** (34.1%)
1,318,435 Federal Home Loan Mortgage
Corporation -- Gold Program,
5.50% due 10/01/2013-1/01/2014 1,226,065
1,446,507 Federal Home Loan Mortgage
Corporation -- Gold Program,
5.50% due 12/01/2028-2/01/2029 1,282,217
575,842 Federal Home Loan Mortgage
Corporation -- Gold Program,
6.00% due 4/01/2013-8/01/2013 547,996
495,529 Federal Home Loan Mortgage
Corporation -- Gold Program,
6.00% due 5/01/2029 454,131
7,276,253 Federal Home Loan Mortgage
Corporation -- Gold Program,
6.50% due 1/01/2026-7/01/2029 6,875,007
3,737,217 Federal Home Loan Mortgage
Corporation -- Gold Program,
7.00% 1/01/2008-6/01/2013 3,709,974
13,231,361 Federal Home Loan Mortgage
Corporation -- Gold Program,
7.00% due 9/01/2025-10/01/2029 12,821,418
1,380,608 Federal Home Loan Mortgage
Corporation -- Gold Program,
7.50% due 5/01/2007-5/01/2013 1,393,694
5,733,740 Federal Home Loan Mortgage
Corporation -- Gold Program,
7.50% due 1/01/2023-11/01/2029 5,683,889
4,220,546 Federal Home Loan Mortgage
Corporation -- Gold Program,
8.00% due 6/01/2024-1/01/2028 4,257,428
554,003 Federal Home Loan Mortgage
Corporation -- Gold Program,
8.50% due 5/01/2028-2/01/2029 568,806
432,543 Federal Home Loan Mortgage
Corporation -- Gold Program,
9.00% due 6/01/2025 452,093
</TABLE>
Continued
140
<PAGE> 141
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
US GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS**
(CONTINUED)
$ 639,790 Federal Home Loan Mortgage
Corporation -- Gold Program,
9.50% due 2/01/2019 $ 682,651
1,201,958 Federal National Mortgage
Association, 5.50% due
6/01/2011-2/01/2014 1,117,287
8,635,388 Federal National Mortgage
Association, 6.00% due
2/01/2013-7/01/2014 8,203,758
11,894,468 Federal National Mortgage
Association, 6.00% due
1/01/2026-7/01/2029 10,897,788
395,498 Federal National Mortgage
Association, 6.50%(2) due
10/01/2004 390,381
7,732,002 Federal National Mortgage
Association, 6.50% due
1/01/2013-7/01/2014 7,515,371
25,092,813 Federal National Mortgage
Association, 6.50% due
12/01/2025-5/01/2029 23,699,537
393,925 Federal National Mortgage
Association, 7.00% due 6/01/2014 389,699
8,052,446 Federal National Mortgage
Association, 7.00% due
4/01/2027-9/01/2028 7,800,016
4,179,813 Federal National Mortgage
Association, 7.50% due
8/01/2027-11/01/2027 4,137,050
400,000 Federal National Mortgage
Association, 7.50% due TBA(1) 395,750
197,989 Government National Mortgage
Association, 5.50% due 4/15/2029 174,881
553,741 Government National Mortgage
Association, 6.00% due
6/15/2011-2/15/2012 529,482
2,525,259 Government National Mortgage
Association, 6.00% due
4/20/2026-6/15/2029 2,301,535
180,213 Government National Mortgage
Association, 6.50% due 2/15/2014 174,807
8,510,529 Government National Mortgage
Association, 6.50% due
4/15/2026-7/20/2029 7,991,144
192,727 Government National Mortgage
Association, 7.00% due 4/15/2013 190,983
10,130,466 Government National Mortgage
Association, 7.00% due
12/15/2023-10/15/2029 9,799,427
400,000 Government National Mortgage
Association, 7.00% due TBA(1) 395,872
6,307,171 Government National Mortgage
Association, 7.50% due
3/15/2024-12/15/2029 6,244,022
3,125,069 Government National Mortgage
Association, 8.00% due
12/15/2022-12/15/2029 3,164,002
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
US GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS**
(CONTINUED)
$ 500,000 Government National Mortgage
Association, 8.00% due TBA(1) $ 505,000
1,427,602 Government National Mortgage
Association, 8.50% due
11/15/2017-3/15/2028 1,470,044
799,144 Government National Mortgage
Association, 9.00% due
11/15/2016-11/15/2024 839,023
82,962 Government National Mortgage
Association, 9.50% due 9/15/2021 88,302
------------
TOTAL US GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS
(cost $143,720,973) 138,370,530
------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------
S&P MOODY'S FACE
RATINGS RATINGS AMOUNT CORPORATE BONDS & NOTES VALUE
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIES -- BANKING (2.8%)
A Aa3 $1,000,000 BankAmerica
Corporation, 6.875% due
6/01/2003 989,680
NR A2 2,000,000 BankBoston NA, 8.375%
due 12/15/2002 2,051,720
Chase Manhattan Corporation:
A A1 1,000,000 9.75% due 11/01/2001 1,047,340
A A1 500,000 6.75% due 8/15/2008 475,700
Citicorp:
A+ A1 500,000 9.50% due 2/01/2002 524,445
A+ A1 500,000 7.625% due 5/01/2005 505,430
A+ A1 500,000 6.375% due 11/15/2008 462,205
A A1 1,000,000 First Bank Systems,
Inc., 7.55% due
6/15/2004 999,890
A- A3 1,020,000 Fleet/Norstar Financial
Group, Inc., 8.125% due
7/01/2004 $ 1,044,531
A+ Aa3 1,335,000 Norwest Corp., 5.75%
due 2/01/2003 1,284,911
A- A1 1,050,000 Republic New York,
7.53% due 12/04/2026 913,847
AA Aa2 230,000 Swiss Bank Corp., NY,
7.50% due 7/15/2025 219,618
A- Aa3 1,000,000 Wells Fargo Capital,
8.125% due
12/01/2026(a) 942,231
-----------
11,461,548
-----------
FINANCIAL SERVICES (2.0%)
A+ Aa3 500,000 Citigroup Capital II,
7.75% due 12/01/2036 456,726
BBB Baa1 500,000 EOP Operating LP, 6.75%
due 2/15/2008 459,845
A A2 500,000 Equitable Companies
Inc., 9% due 12/15/2004 530,580
A- A3 200,000 Heller Financial Inc.,
7% due 5/15/2002 198,906
Lehman Brothers Holdings Inc.:
A Baa1 500,000 7.625% due 6/01/2006 496,030
A Baa1 1,000,000 7.20% due 8/15/2009 954,400
</TABLE>
Continued
141
<PAGE> 142
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
-------------------------------------------------------------------
S&P MOODY'S FACE
RATINGS RATINGS AMOUNT CORPORATE BONDS & NOTES VALUE
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
FINANCIAL SERVICES (CONTINUED)
A+ Aa3 $1,000,000 Morgan Stanley Group,
Inc., 6.50% due
3/30/2001 $ 994,580
BBB+ Baa1 1,000,000 PaineWebber Group Inc.,
7.74% due 1/30/2012 971,110
A Aa3 2,000,000 Salomon Smith Barney
Holdings, Inc., 6.25%
due 5/15/2003 1,938,800
BBB+ Baa1 500,000 Simon Debartolo, 6.75%
due 7/15/2004 470,600
BBB Baa2 500,000 Spieker Properties LP,
6.875% due 2/01/2005 475,975
-----------
7,947,552
-----------
FINANCIAL SERVICES -- CONSUMER (0.9%)
Associates Corp. NA:
AA- Aa3 500,000 6.50% due 7/15/2002 494,615
AA- Aa3 500,000 7.23% due 5/17/2006 496,935
A+ Aa3 200,000 CIT Group Holdings,
Inc., 5.875% due
10/15/2008 176,538
A A2 1,000,000 Household Finance
Corp., 5.875% due
2/01/2009 884,610
BBB Baa3 1,000,000 Newcourt Credit Group,
6.875% due 2/16/2005 979,620
A- A3 500,000 Washington Mutual,
Inc., 7.25% due
6/15/2001 499,665
-----------
3,531,983
-----------
FOREIGN GOVERNMENT OBLIGATIONS (1.0%)
AA+ Aa2 500,000 Canada Government Bond,
5.25% due 11/05/2008 440,950
AA- Aa2 1,000,000 Province of British Co-
lumbia, 7.25% due
9/01/2036 945,770
Province of Ontario:
AA- Aa3 500,000 7.375% due 1/27/2003 505,200
AA- Aa3 500,000 7.625% due 6/22/2004 510,940
A A2 750,000 Province of
Saskatchewan, 8% due
7/15/2004 775,860
AA Aa3 1,000,000 Republic of Italy,
6.875% due 9/27/2023 947,290
-----------
4,126,010
-----------
INDUSTRIAL -- CONSUMER GOODS (1.5%)
A+ A1 1,000,000 Anheuser-Busch Compa-
nies, Inc., 6.75% due
11/01/2006 963,970
A+ A3 1,000,000 Coca-Cola Enterprises,
6.75% due 9/15/2028 881,120
BBB- Baa3 1,000,000 Fred Meyer Inc., 7.45%
due 3/01/2008 973,800
AA Aa2 1,000,000 McDonald's Corp., 5.35%
due 9/15/2008 877,650
Nabisco Inc.:
BBB Baa2 1,000,000 6% due 2/15/2011 985,060
BBB Baa2 500,000 6.375% due 2/01/2035 464,360
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------
S&P MOODY'S FACE
RATINGS RATINGS AMOUNT CORPORATE BONDS & NOTES VALUE
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL -- CONSUMER GOODS (CONTINUED)
Philip Morris Companies, Inc.:
A A2 $ 500,000 9% due 1/01/2001 $ 506,900
A A2 365,000 6.95% due 6/01/2006 359,562
-----------
6,012,422
-----------
INDUSTRIAL -- ENERGY (1.3%)
BBB- Baa3 500,000 CMS Panhandle Holding
Co., 6.50% due
7/15/2009(a) 457,195
AA- A2 500,000 Consolidated Natural
Gas Company, 6.625% due
12/01/2008 464,120
Enron Corp.:
BBB+ Baa2 500,000 6.625% due 10/15/2003 485,580
BBB Baa3 1,000,000 6.75% due 7/01/2005 957,630
KN Energy, Inc.:
BBB- Baa2 500,000 6.45% due 3/01/2003 486,035
BBB- Baa2 500,000 6.65% due 3/01/2005 478,525
BBB Baa3 500,000 Occidental Petroleum
Corp., 8.45% due
2/15/2029 518,590
A- A3 1,000,000 Phillips Petroleum,
8.86% due 5/15/2022 1,011,490
BBB- Baa2 150,000 USX Corp., 8.125% due
7/15/2023 149,867
BBB Baa2 500,000 Ultramar Diamond Sham-
rock, 8% due 4/01/2023 477,570
-----------
5,486,602
-----------
INDUSTRIAL -- MANUFACTURING (3.3%)
A A2 500,000 Atlantic Richfield Com-
pany, 8.44% due
2/21/2012 541,990
AA- A1 500,000 Boeing Co., 6.35% due
6/15/2003 489,700
A+ A1 150,000 Chrysler Corp., 7.45%
due 3/01/2027 145,351
A- Baa1 500,000 Dana Corporation, 7%
due 3/01/2029 435,060
Ford Motor Credit Company:
A A1 1,000,000 7.75% due 11/15/2002 1,016,650
A A1 1,500,000 7.20% due 6/15/2007 1,472,115
AAA Aaa 300,000 General Electric
Capital Corp., 8.375%
due 3/01/2001 305,520
General Motors Acceptance Corp.:
A A2 100,000 9.375% due 4/01/2000 100,789
A A2 1,400,000 9% due 10/15/2002(b) 1,466,598
A A2 600,000 8.80% due 3/01/2021 659,856
BBB- Baa2 500,000 Georgia-Pacific Corp.,
7.375% due 12/01/2025 458,300
A+ A1 1,000,000 International Business
Machines Corp., 7.125%
due 12/01/2096 913,890
Lockheed Martin Corp.:
BBB+ Baa1 500,000 7.25% due 5/15/2006 476,930
BBB+ Baa1 500,000 7.70% due 6/15/2008 479,645
</TABLE>
Continued
142
<PAGE> 143
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
-------------------------------------------------------------------
S&P MOODY'S FACE
RATINGS RATINGS AMOUNT CORPORATE BONDS & NOTES VALUE
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL -- MANUFACTURING (CONTINUED)
A A2 $ 400,000 Lucent Technologies
Inc., 6.90% due
7/15/2001 $ 400,784
BBB Baa1 600,000 Raytheon Co., 6.75% due
3/15/2018 521,136
BBB A3 500,000 Saga Petroleum ASA,
7.25% due 9/23/2027 452,545
BBB Ba1 500,000 Seagate Technology,
Inc., 7.45% due
3/01/2037 435,685
BBB Baa1 1,000,000 TRW Inc., 6.25% due
1/15/2010 878,390
NR* Baa2 1,500,000 Union Carbide Corpora-
tion, 6.25% due
6/15/2003 1,451,865
BBB+ A2 500,000 Xerox Capital Trust I,
8% due 2/01/2027 449,884
-----------
13,552,683
-----------
INDUSTRIAL -- OTHER (0.9%)
CSX Corp.:
BBB Baa2 500,000 7.45% due 5/01/2007 491,510
BBB Baa2 200,000 7.90% due 5/01/2017 198,182
BBB- Baa3 750,000 Delta Airlines, 10.375%
due 2/01/2011 857,258
BBB+ Baa1 500,000 Norfolk Southern Corpo-
ration, 7.70% due
5/15/2017 488,450
BBB- Baa3 1,000,000 Union Pacific Corp.,
9.625% due 12/15/2002 1,060,860
BB+ Baa3 650,000 United Airlines, 9% due
12/15/2003 670,111
-----------
3,766,371
-----------
INDUSTRIAL -- SERVICES (3.0%)
BBB Baa3 450,000 Comcast Cable Communi-
cations, 8.375% due
5/01/2007 465,155
A- Baa1 500,000 Computer Associates In-
ternational, Inc.,
6.375% due 4/15/2005 465,065
A- A3 1,000,000 Dayton Hudson Corp.,
10% due 1/01/2011 1,169,360
A- A3 1,000,000 Hertz Corp., 7% due
1/15/2028 885,990
J.C. Penney Company, Inc.:
BBB+ A3 1,000,000 7.60% due 4/01/2007 929,540
BBB+ A3 200,000 7.95% due 4/01/2017 177,824
BBB- Baa3 1,000,000 J Seagrams & Sons, 7%
due 4/15/2008 950,600
A+ A1 360,000 The May Department
Stores Company, 7.60%
due 6/01/2025 352,753
BBB- Baa3 2,000,000 News America Inc.,
7.25% due 5/18/2018 1,813,240
AA Aa2 500,000 The Procter & Gamble
Company, 8% due
9/01/2024 537,040
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------
S&P MOODY'S FACE
RATINGS RATINGS AMOUNT CORPORATE BONDS & NOTES VALUE
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
INDUSTRIAL -- SERVICES (CONTINUED)
A- A2 $ 500,000 Sears Discover Credit
Corp., 9.14% due
3/13/2012 $ 532,745
A- A2 500,000 Sears, Roebuck & Co.,
6.25% due 1/15/2004 474,570
BBB Baa1 1,000,000 Service Corp. Interna-
tional, 6% due
12/15/2005 700,450
Tele-Communications Inc.:
AA- A2 1,375,000 8.25% due 1/15/2003 1,422,836
AA- A2 100,000 9.80% due 2/01/2012 116,834
BBB Baa3 1,000,000 Time Warner Inc., 7.75%
due 6/15/2005 1,011,030
-----------
12,005,032
-----------
UTILITIES -- COMMUNICATIONS (1.8%)
A A2 1,000,000 360 Communications Co.,
7.125% due 3/01/2003 994,480
AA- A1 1,000,000 AT&T Corporation, 6%
due 3/15/2009 907,120
AA Aa2 1,000,000 Bell Atlantic, PA, 6%
due 12/01/2028 789,950
AAA Aaa 900,000 BellSouth Telecommuni-
cations, Inc., 6.75%
due 10/15/2033 793,206
A Baa1 750,000 GTE Corp., 7.83% due
5/01/2023 711,998
A- A3 150,000 MCI Communications
Corp., 7.50% due
8/20/2004 151,614
A- A3 750,000 MCI WorldCom Inc.,
7.75% due 4/01/2007 764,843
AA Aa3 500,000 Southwestern Bell Tele-
communications, 6.625%
due 7/15/2007 478,655
BBB+ Baa1 500,000 Sprint Capital Corpora-
tion, 6.125% due
11/15/2008 453,340
A+ Baa1 700,000 US West Communica-
tions, 6.875% due
9/15/2033 594,734
A- A3 500,000 WorldCom Inc., 6.40%
due 8/15/2005 478,915
-----------
7,118,855
-----------
UTILITIES -- GAS & ELECTRIC (1.4%)
AA- A1 1,470,000 Baltimore Gas &
Electric Co., 8.375%
due 8/15/2001 1,505,545
BBB Baa3 500,000 Commonwealth Edison,
Inc., 6.95% due
7/15/2018 443,685
BBB+ Baa3 500,000 Consumers Energy,
6.375% due 2/01/2008 454,000
Detroit Edison Company:
A- A3 100,000 5.93% due 2/01/2001 99,002
A- A3 500,000 7.22% due 8/01/2002 499,045
</TABLE>
Continued
143
<PAGE> 144
MASTER AGGREGATE BOND INDEX SERIES
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 1999 (CONTINUED)
(AUDITED)
<TABLE>
<CAPTION>
-------------------------------------------------------------------
S&P MOODY'S FACE
RATINGS RATINGS AMOUNT CORPORATE BONDS & NOTES VALUE
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
UTILITIES -- GAS & ELECTRIC (CONTINUED)
AA- Aa3 $1,000,000 Florida Power Corp.,
6.875% due 2/01/2008 $ 965,840
A- A3 500,000 Houston Lighting and
Power, 8.75% due
3/01/2022 510,070
AA+ Aa2 1,250,000 Wisconsin Electric and
Power, 7.25% due
8/01/2004 1,249,138
-----------
5,726,325
-----------
YANKEE -- CORPORATE (2.3%)
AA- Aa3 425,000 Abbey National First
Capital, 8.20% due
10/15/2004 438,311
A A1 500,000 BCH Ltd. (Cayman Is-
lands), 6.50% due
2/15/2006 471,340
A- A3 500,000 BHP Finance USA Lim-
ited, 6.42% due
3/01/2026 484,380
BBB+ Baa2 528,000 Celulosa Arauco, 6.75%
due 12/15/2003 504,504
BBB+ Baa3 400,000 Fairfax Financial
Holdings Ltd., 8.30%
due 4/15/2026 354,656
A+ A1 550,000 Grand Metropolitan In-
vestment Corp., 9% due
8/15/2011 611,369
A+ A2 1,000,000 Hydro-Quebec, 8.875%
due 3/01/2026 1,111,430
BBB- Baa3 1,000,000 Korea Development Bank,
6.625% due 11/21/2003 960,110
BBB- Baa3 500,000 Korea Telecom, 7.625%
due 4/15/2007 480,650
BBB Baa2 1,000,000 Noranda Forest Inc.,
6.875% due 11/15/2005 922,110
A A2 500,000 Norsk Hydro A/S, 6.70%
due 1/15/2018 441,550
BBB+ A3 500,000 Phillips Electronics
NV, 7.75% due 5/15/2025 476,365
A A1 1,000,000 Santander Financial
Issuances Ltd., 7% due
4/01/2006 969,930
A+ Aa3 500,000 Sony Corporation,
6.125% due 3/04/2003 487,475
A- Baa1 500,000 Tyco International
Group SA, 6.875% due
1/15/2029 424,935
A A2 300,000 WMC Finance USA, 7.25%
due 11/15/2013 278,502
-----------
9,417,617
-----------
TOTAL INVESTMENTS IN
CORPORATE BONDS
& NOTES
(cost $96,004,752) 90,153,000
-----------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------
FACE
AMOUNT ISSUE VALUE
------------------------------------------------------------
<C> <S> <C>
) REPURCHASE AGREEMENTS*** (0.4%
$1,640,000 Donaldson, Lufkin & Jenrette,
Inc., purchased on 12/31/1999 to
yield 2.50% to 1/03/2000 $ 1,640,000
TOTAL REPURCHASE AGREEMENTS (cost
$1,640,000) 1,640,000
------------
TOTAL INVESTMENTS -- 99.2%
(cost $420,812,730) 402,839,807
------------
OTHER ASSETS LESS
LIABILITIES -- 0.8% 3,308,471
------------
NET ASSETS -- 100.0% $406,148,278
============
</TABLE>
-------------------------------------------------------
* Not Rated.
** Mortgage-Backed Obligations are subject to principal paydowns as a result of
prepayments or refinancing of the underlying mortgage instruments. As a
result, the average life may be substantially less than the original
maturity.
*** Repurchase Agreements are fully collateralized by US Government Agency
Obligations.
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase by the Series.
(1) Represents or includes a "to-be-announced" (TBA) transaction. The Series
has committed to purchase securities for which all specific information is
not available at this time.
(2) Represents balloon mortgages that amortize on a 30-year schedule and have
7-year maturities.
See accompanying notes to the financial statements.
144
<PAGE> 145
MASTER AGGREGATE BOND INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AS OF
DECEMBER 31, 1999
-----------------
<S> <C> <C>
ASSETS:
Investments, at value (identified cost -- $420,812,730) $402,839,807
Receivables:
Interest $5,122,516
Securities sold 456,220
Contributions 220,130 5,798,866
----------
Deferred organization expenses 3,823
Prepaid expenses 90,239
------------
Total Assets 408,732,735
------------
LIABILITIES:
Payables:
Securities purchased 1,812,571
Withdrawals 678,776
Investment adviser 3,958 2,495,305
----------
Accrued expenses and other liabilities 89,152
------------
Total Liabilities 2,584,457
------------
NET ASSETS:
Net assets $406,148,278
============
NET ASSETS CONSIST OF:
Partners capital $424,121,201
Unrealized depreciation on investments -- net (17,972,923)
------------
Net assets $406,148,278
============
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements.
145
<PAGE> 146
MASTER AGGREGATE BOND INDEX SERIES
STATEMENT OF OPERATIONS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR
ENDED
DECEMBER 31, 1999
-----------------
<S> <C> <C>
INVESTMENT INCOME:
Interest and discount earned $ 28,387,184
Other 800
------------
Total income 28,387,984
------------
EXPENSES:
Investment advisory fees $185,365
Accounting services 97,195
Custodian fees 58,019
Professional fees 53,603
Pricing fees 26,996
Trustees' fees and expenses 3,795
Amortization of organization expenses 1,697
Other 4,690
--------
Total expenses 431,360
------------
INVESTMENT INCOME -- NET 27,956,624
------------
REALIZED/UNREALIZED LOSS ON INVESTMENTS -- NET:
Realized loss from investments -- net (884,394)
Change in unrealized appreciation/depreciation on
investments -- net (32,485,362)
------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (5,413,132)
============
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements.
146
<PAGE> 147
MASTER AGGREGATE BOND INDEX SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR
ENDED ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Investment income -- net $ 27,956,624 $ 24,615,843
Realized gain (loss) on investments -- net (884,394) 1,822,916
Change in unrealized appreciation/depreciation on
investments -- net (32,485,362) 7,171,047
------------ ------------
Net increase (decrease) in net assets resulting from
operations (5,413,132) 33,609,806
------------ ------------
NET CAPITAL CONTRIBUTIONS:
Increase (decrease) in net assets derived from net capital
contributions (23,373,384) 93,584,591
------------ ------------
NET ASSETS:
Total increase (decrease) in net assets (28,786,516) 127,194,397
Beginning of year 434,934,794 307,740,397
------------ ------------
End of year $406,148,278 $434,934,794
============ ============
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements.
147
<PAGE> 148
MASTER AGGREGATE BOND INDEX SERIES
FINANCIAL HIGHLIGHTS
(AUDITED)
--------------------------------------------------------------------------------
The following ratios have been derived from information provided in the
financial statements.
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED APRIL 3, 1997+ TO
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1997
----------------- ----------------- -----------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement 0.10% 0.12% 0.15%*
-------- -------- --------
Expenses 0.10% 0.13% 0.18%*
-------- -------- --------
Investment income net 6.30% 6.20% 6.34%*
-------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $406,148 $434,935 $307,740
-------- -------- --------
Portfolio turnover 61.82% 27.89% 86.58%
-------- -------- --------
</TABLE>
------------------------------------------------------
+ Commencement of operations
* Annualized
See accompanying notes to the financial statements.
148
<PAGE> 149
MASTER AGGREGATE BOND INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Master Aggregate Bond Index Series (the "Series") (formerly Merrill Lynch
Aggregate Bond Index Series) is part of Quantitative Master Series Trust (the
"Trust") (formerly Merrill Lynch Index Trust). The Trust is registered under the
Investment Company Act of 1940 and is organized as a Delaware business trust.
The Series' financial statements are prepared in accordance with generally
accepted accounting principles, which may require the use of management accruals
and estimates. The following is a summary of significant accounting policies
followed by the Series.
(a) VALUATION OF INVESTMENTS
Portfolio securities that are traded on stock exchanges are valued at the last
sale price as of the close of business on the day the securities are being
valued or, lacking any sales, at the closing bid price. Securities traded in the
over-the-counter market are valued at the last quoted bid price at the close of
trading on the New York Stock Exchange on each day by brokers that make markets
in the securities. Securities traded in the NASDAQ National Market System are
valued at the last sale price prior to the time of valuation. Securities that
are traded both in the over-the-counter market and on a stock exchange are
valued according to the broadest and most representative market. Options written
or purchased are valued at the last sale price in the case of exchange-traded
options. In the case of options traded in the over-the-counter market, valuation
is the last asked price (options written) or the last bid price (options
purchased). Other investments, including futures contracts and related options,
are stated at market value. Short-term securities are valued at amortized cost,
which approximates market value. Securities and assets for which market
quotations are not readily available are valued at fair market value, as
determined in good faith by or under the direction of the Trust's Board of
Trustees.
(b) REPURCHASE AGREEMENTS
The Series invests in securities pursuant to repurchase agreements. Under such
agreements, the counterparty agrees to repurchase the security at a mutually
agreed upon time and price. The Series takes possession of the underlying
securities, marks to market such securities and, if necessary, receives
additional securities daily to ensure that the contract is fully collateralized.
If the counterparty defaults and the fair value of the collateral declines,
liquidation of the collateral by the Series may be delayed or limited.
(c) DERIVATIVE FINANCIAL INSTRUMENTS
The Series may engage in various portfolio investment techniques to provide
liquidity, or in connection with the Series' arbitrage strategies. Losses may
arise due to changes in the value of the contract or if the counterparty does
not perform under the contract.
- Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts as a proxy for a
direct investment in securities underlying the Series' index. Upon entering
into a contract, the Series deposits and maintains as collateral such initial
margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Series agrees to receive from or pay to the
broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Series as unrealized gains or losses. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
- Options -- The Series is authorized to purchase and write call and put
options. When the Series writes an option, an amount equal to the premium
received by the Series is reflected as an asset and an equivalent liability.
149
<PAGE> 150
MASTER AGGREGATE BOND INDEX SERIES
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or
sold through an exercise of an option, the related premium paid (or received)
is added to (or deducted from) the basis of the security acquired or deducted
from (or added to) the proceeds of the security sold. When an option expires
(or the Series enters into a closing transaction), the Series realizes a gain
or loss on the option to the extent of the premiums received or paid (or a
gain or loss to the extent that the cost of the closing transaction exceeds
the premium paid or received).
Written and purchased options are non-income producing investments.
(d) INCOME TAXES
The Series is classified as a partnership for Federal income tax purposes. As a
partnership for Federal income tax purposes, the Series will not incur Federal
income tax liability. Items of partnership income, gain, loss and deduction will
pass through to investors as partners in the Series. Therefore, no Federal
income tax provision is required.
(e) SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on the date the securities are purchased
or sold (the trade dates). Interest income (including amortization of discount)
is recognized on the accrual basis. Realized gains and losses on security
transactions are determined on the identified cost basis.
(f) DEFERRED ORGANIZATION EXPENSES
Deferred organization expenses are charged to expense on a straight-line basis
over a period not exceeding five years.
(g) DOLLAR ROLLS
The Series may sell securities for delivery in the current month and
simultaneously contract to repurchase substantially similar (same type, coupon
and maturity) securities on a specific future date.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML &
Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .06% of the average daily value of the Series' net
assets. Effective August 2, 1999, the annual rate was changed to .01%.
Merrill Lynch Trust Company, an indirect wholly-owned subsidiary of ML & Co., is
the Series' custodian.
Accounting services are provided to the Series by FAM at cost.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
150
<PAGE> 151
MASTER AGGREGATE BOND INDEX SERIES
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
DECEMBER 31, 1999
(AUDITED)
--------------------------------------------------------------------------------
3. INVESTMENTS
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 1999 were $272,285,312 and $267,488,412, respectively.
Net realized losses for the year ended December 31, 1999 and net unrealized
losses as of December 31, 1999 were as follows:
<TABLE>
<CAPTION>
REALIZED UNREALIZED
LOSSES LOSSES
--------- ------------
<S> <C> <C>
Long-term investments................................ $(884,394) $(17,972,923)
--------- ------------
Total........................................... $(884,394) $(17,972,923)
========= ============
</TABLE>
As of December 31, 1999, net unrealized depreciation for Federal income tax
purposes aggregated $18,078,179, of which $165,826 related to appreciated
securities and $18,244,005 related to depreciated securities. At December 31,
1999, the aggregate cost of investments for Federal income tax purposes was
$420,917,986.
4. CAPITAL LOSS CARRYFORWARD
At December 31, 1999, the Series had a net capital loss carryforward of
approximately $115,000, all of which expires in 2007. This amount will be
available to offset like amounts of any future taxable gains.
151
<PAGE> 152
MASTER AGGREGATE BOND INDEX SERIES
INDEPENDENT AUDITORS' REPORT
--------------------------------------------------------------------------------
THE BOARD OF TRUSTEES AND INVESTORS,
MASTER AGGREGATE BOND INDEX SERIES
(FORMERLY MERRILL LYNCH AGGREGATE BOND INDEX SERIES):
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Aggregate Bond Index Series (one of the
series constituting Quantitative Master Series Trust (formerly Merrill Lynch
Index Trust)) as of December 31, 1999, the related statements of operations for
the year then ended and changes in net assets for each of the years in the
two-year period then ended, and the financial highlights for each of the years
in the two-year period then ended and the period April 3, 1997 (commencement of
operations) to December 31, 1997. These financial statements and the financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and the financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the 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. Our procedures included confirmation of securities owned at December
31, 1999 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Master Aggregate
Bond Index Series of Quantitative Master Series Trust as of December 31, 1999,
the results of its operations, the changes in its net assets, and the financial
highlights for the respective stated periods in conformity with generally
accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 22, 2000
152
<PAGE> 153
MORLEY CAPITAL ACCUMULATION FUND
NATIONWIDE MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2000
153
<PAGE> 154
MORLEY CAPITAL ACCUMULATION FUND
MANAGEMENT DISCUSSION OF PERFORMANCE
For the 12-month period ended October 31, 2000, the Morley Capital Accumulation
Fund returned 5.52%+ versus 5.81% for the Lipper Money Market Fund Index, the
benchmark index.
During this period when interest rates generally rose for the first seven months
and then declined for the next five the Fund's net assets grew some 143% to
$19.66 million. The Fund took advantage of the generally higher level of rates
by deploying its new cash resources into seasoned federal agency mortgage-backed
securities. These assets offered stable duration and cash flow characteristics
as well as an attractive positive spread to U.S. Treasury securities. In
addition, the Fund was able to purchase high-grade corporate securities at
attractive spreads. The yield of the Fund, as measured by end-of-period 30-day
SEC yields, increased by 70 basis points over the 12-month period. Both Agency
and corporate securities contributed to this increase in yield.
Since late May, bond prices have improved steadily as data continue to suggest a
potential slowing of economic activity and, as a result, a possible end to this
interest rate cycle. Based on this outlook, one would expect some pressure on
corporate spreads, as credit concerns emerge in the context of less favorable
business conditions. This indeed has occurred as the Fund's Corporate bond
holdings modestly underperformed its Agency securities. However, because the
Fund is a stable-value investment, its book value maintenance agreements (or
"wrap contracts") maintain a net asset value of $10.00 per share it will
generally experience neither price appreciation nor price depreciation per
share. The wrap contracts will generally absorb any fluctuation in the relative
performance of the Fund's securities holdings.
Over the past 12 months, the Fund has continued to diversify its holdings by
adding significant positions in selected high-quality corporate names. After
careful analysis of the potential risks to maintaining its target duration, the
Fund also purchased callable securities issued by the Federal Home Loan Bank
System.
Looking forward, the Fund expects to continue to deploy new shareholder
investments into spread product rather than into U.S. Treasury securities. If
the interest rate environment remains benign, assets such as seasoned
mortgage-backed securities, medium term corporate notes, and asset-backed
securities should provide attractive yields relative to Treasuries with only
modest fluctuation in duration, and produce high dividend income for
shareholders. The Fund's wrap contracts should also continue to provide stable
net asset value per share.
---------------
+ Performance of Service Class shares without sales charge and assuming all
distributions are reinvested.
Portfolio Manager:
Union Bond & Trust Company -- Adviser
Thomas F. Mitchell -- Portfolio Manager
PORTFOLIO MARKET VALUE: $19,892,970
OCTOBER 31, 2000
FUND COMPOSITION
Repurchase Agreement 6.9%
Corporate Bonds 20.3%
U.S. Government Obligations 72.8%
AVERAGE ANNUAL (COMPOUND) TOTAL RETURN
(For Periods Ended October 31, 2000)
<TABLE>
<CAPTION>
SERVICE INSTITUTIONAL
CLASS CLASS IRA
YEARS SHARES SHARES SHARES
<S> <C> <C> <C>
-----------------------------------------
1 5.52% 5.93% 5.51%
Life* 5.23% 5.65% 5.23%
-----------------------------------------
</TABLE>
Past performance is no guarantee of future results.
There are no sales charges on the Shares of the Morley Capital Accumulation
Fund.
* All 3 classes of shares were first offered to the public on February 1, 1999.
<TABLE>
<CAPTION>
INST. SERVICE
SERVICE CLASS IRA SHARES LBIC/GB CPI
------- ------------- ---------- ------- ---
<S> <C> <C> <C> <C> <C>
02/99 10000 10000 10000 10000 10000
10/99 10358 10389 10358 10005 10237
10/00 10930 11006 10829 10649 10606
<CAPTION>
LIPPER MONEY
MARKET FUND
------------
<S> <C>
02/99 10000
10/99 10344
10/00 10946
</TABLE>
Comparative performance of $10,000 invested in the Fund, the Lipper Money Market
Fund(1), the Consumer Price Index (CPI)(2), and the Lehman Brothers Intermediate
Corporate/Government Bond Index (LBIC/GB)(3) since inception (2/1/99) to
10/31/00. Unlike our Fund, the Indices do not reflect any fees or expenses.
(1) The Lipper Money Market Fund generally reflects the return on selected Money
Market Mutual Funds maintaining a constant price per share. The Fund changed
to this benchmark index to more accurately reflect the securities in which
the Fund invests.
(2) The CPI represents changes in prices of a basket of goods and services
purchased for consumption by urban households.
(3) The LBIC/GB generally reflects the total return of intermediate-term U.S.
government and corporate securities.
154
<PAGE> 155
NATIONWIDE(R) MUTUAL FUNDS
MORLEY CAPITAL ACCUMULATION FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000
<TABLE>
<CAPTION>
----------------------------------------------------------
PRINCIPAL SECURITY VALUE
----------------------------------------------------------
<C> <S> <C>
US GOVERNMENT SPONSORED AND AGENCY
OBLIGATIONS (73.6%)
GOVERNMENT-AGENCY (8.8%)
$1,230,000 FHLB, 7.02%, 09/13/04 $ 1,227,838
500,000 FHLB, 6.81%, 09/27/04 498,251
-----------
1,726,089
-----------
GOVERNMENT-SPONSORED MORTGAGE-BACKED
OBLIGATIONS (64.8%)
878,894 FHLMC, Pool E00241, 6.00%,
10/01/08 857,937
641,145 FHLMC, Pool E74820, 6.00%,
01/01/09 625,857
847,344 FHLMC, Pool E00315, 7.50%,
04/01/09 857,794
1,334,644 FHLMC, Pool G10665, 7.00%,
03/01/12 1,332,068
1,529,028 FHLMC, Pool E00489, 7.00%,
06/01/12 1,525,097
1,100,882 FHLMC, Pool E00616, 6.00%,
01/01/14 1,062,046
914,221 FNMA, Pool 496705, 6.50%,
08/01/06 902,201
1,005,575 FNMA, Pool 252318, 6.00%,
02/01/09 980,185
983,654 FNMA, Pool 303880, 7.00%,
05/01/11 983,478
958,656 FNMA, Pool 313409, 6.50%,
03/01/12 944,082
1,751,061 FNMA REMIC, Series 98-24 BA,
6.00%, 11/18/23 1,683,532
1,030,026 GNMA REMIC, Series 99-18 B,
6.25%, 07/16/26 993,883
-----------
12,748,160
-----------
TOTAL US GOVERNMENT SPONSORED
AND AGENCY OBLIGATIONS
(cost $14,578,058) 14,474,249
-----------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------
PRINCIPAL SECURITY VALUE
----------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS (20.6%)
FINANCIAL SERVICES (20.6%)
$ 950,000 Associates Corp., 6.69%,
04/01/03 $ 944,512
950,000 Bank of America, 5.75%, 03/01/04 917,783
850,000 Morgan Stanley Dean Witter,
5.63%, 01/20/04 814,001
805,000 Norwest Financial, 5.38%,
09/30/03 769,688
600,000 Wachovia Corp., 6.70%, 06/21/04 591,737
-----------
TOTAL CORPORATE BONDS
(cost $3,996,371) 4,037,721
-----------
REPURCHASE AGREEMENT (7.0%)
1,381,000 Fifth Third Bank, 6.35%,
10/31/00, matures 11/01/00,
Collateralized by $1,401,093
FNMA Pool 303741, 7.00%
02/01/11, Market Value
$1,408,620
TOTAL REPURCHASE AGREEMENT
(cost $1,381,000) 1,381,000
-----------
TOTAL INVESTMENTS
(cost $19,955,429) $19,892,970
===========
</TABLE>
-------------------------------------------------------
The abbreviations in the above statement stand for the following:
<TABLE>
<S> <C>
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
REMIC Real Estate Mortgage Investment Conduit
FHLB Federal Home Loan Bank
</TABLE>
<TABLE>
<S> <C>
VALUE OF WRAP CONTRACTS:
Wrap contract with Bank of America NT&SA $21,664
Wrap contract with Deutsche Bank America 21,664
Wrap contract with Transamerica Life Insurance
Company 21,665
-------
TOTAL WRAP CONTRACTS $64,993
-------
</TABLE>
Wrap Contracts: Each wrap contract obligates the wrap provider to maintain the
"book value" of a portion of the Fund's assets upon the occurrence of certain
specified events. The value of wrap contracts is the fair value as determined
under valuation procedures approved by the Trust's Board of Trustees.
Cost also represents cost for federal income tax purposes.
Portfolio holding percentages based on net assets of $19,660,085.
See accompanying notes to the financial statements.
155
<PAGE> 156
NATIONWIDE(R) MUTUAL FUNDS
MORLEY CAPITAL ACCUMULATION FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments in securities, at value (cost $18,574,428) $18,511,970
Repurchase agreements, at value (cost $1,381,000) 1,381,000
Wrap contracts, at value 64,993
Cash 656
Receivable from advisor 18,309
Interest and dividends receivable 126,175
Prepaid and other assets 1,912
-----------
Total Assets 20,105,015
-----------
LIABILITIES:
Distributions payable 97,327
Payable for investment securities purchased 313,498
Accrued expenses and other payables:
Investment advisory fees 4,084
Fund administration fees 4,242
Transfer agent fees 164
Distribution fees 2,220
Administrative servicing fees 740
Wrap contract premiums 2,124
Other 20,531
-----------
Total Liabilities 444,930
-----------
NET ASSETS $19,660,085
===========
NET ASSETS:
Capital $19,660,109
Accumulated net investment income (24)
Net unrealized appreciation from investments and wrap
contracts 2,535
Accumulated net realized losses from investment
transactions (2,535)
-----------
Net Assets $19,660,085
===========
NET ASSETS:
Service Class Shares $ 8,820,471
Institutional Class Shares 8,973,024
IRA Shares 1,866,590
-----------
Total $19,660,085
===========
SHARES OUTSTANDING (unlimited number of shares authorized):
Service Class Shares(a) 882,043
Institutional Class Shares 897,311
IRA Shares 186,660
-----------
Total 1,966,014
===========
NET ASSET VALUE AND OFFERING PRICE:*
Service Class Shares(a) $ 10.00
Institutional Class Shares $ 10.00
IRA Shares $ 10.00
</TABLE>
------------------------------------------------------
* None of the shares classes are subject to a front-end sales charge.
(a) Formerly known as Institutional Service Class.
See accompanying notes to the financial statements.
156
<PAGE> 157
NATIONWIDE(R) MUTUAL FUNDS
MORLEY CAPITAL ACCUMULATION FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest income $913,909
--------
EXPENSES:
Investment management fees 48,755
Fund administration fees 50,000
Custodian fees 2,508
Distribution fees 18,337
Administrative servicing fees 6,212
Professional fees 35,677
Trustees' fees and expenses 185
Transfer agent fees 1,393
Wrap contract premiums 19,765
Registration and filing fees 17,769
Shareholders' reports 24,890
Other 3,460
--------
Total expenses before waived or reimbursed expenses 228,951
Expenses waived or reimbursed (122,899)
--------
Net expenses 106,052
--------
NET INVESTMENT INCOME $807,857
========
NET REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
WRAP CONTRACTS:
Net realized losses on investment transactions $ (2,535)
Net change in unrealized appreciation on investments 8,295
--------
Net realized/unrealized gains on investments and wrap
contracts 5,760
--------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $813,617
========
</TABLE>
------------------------------------------------------
See accompanying notes to the financial statements
157
<PAGE> 158
NATIONWIDE(R) MUTUAL FUNDS
MORLEY CAPITAL ACCUMULATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD FROM
FOR THE YEAR ENDED FEBRUARY 1, 1999 TO
OCTOBER 31, 2000 OCTOBER 31, 1999(a)
------------------ -------------------
<S> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income $ 807,857 $ 207,909
Net realized (losses) on investment transactions and wrap
contracts (2,535) (178,390)
Net change in unrealized appreciation on investments 8,295 178,390
----------- -----------
Change in net assets resulting from operations 813,617 207,909
----------- -----------
DISTRIBUTIONS TO SERVICE CLASS SHAREHOLDERS FROM:(b)
Net investment income (313,130) (36,651)
DISTRIBUTIONS TO INSTITUTIONAL CLASS SHAREHOLDERS FROM:
Net investment income (397,936) (130,488)
DISTRIBUTIONS TO IRA FUND SHAREHOLDERS FROM:
Net investment income (102,551) (40,794)
----------- -----------
CHANGE IN NET ASSETS FROM SHAREHOLDER DISTRIBUTIONS (813,617) (207,933)
----------- -----------
CAPITAL TRANSACTIONS:*
Proceeds from shares issued 17,873,703 9,324,720
Distributions reinvested 687,811 207,718
Cost of shares redeemed (6,911,522) (1,522,321)
----------- -----------
Change in net assets from capital transactions 11,649,992 8,010,117
----------- -----------
Change in net assets 11,649,992 8,010,093
NET ASSETS:
Beginning of period 8,010,093 --
----------- -----------
End of period $19,660,085 $ 8,010,093
=========== ===========
SHARE TRANSACTIONS:*
Sold 1,787,371 932,471
Reinvested 68,781 20,773
Redeemed (691,150) (152,232)
----------- -----------
Change in shares 1,165,002 801,012
=========== ===========
</TABLE>
------------------------------------------------------
* Both the capital transactions and share transactions sections represent
combined data for all three classes of shares.
(a) Fund commenced operations and all three classes of shares were offered first
on February 1, 1999.
(b) Formerly known as Institutional Service Class.
See accompanying notes to the financial statements.
158
<PAGE> 159
NATIONWIDE(R) MUTUAL FUNDS
MORLEY CAPITAL ACCUMULATION FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SERVICE CLASS(b) INSTITUTIONAL CLASS IRA CLASS(a)
----------------------------- ----------------------------- -----------------------------
PERIOD FROM PERIOD FROM PERIOD FROM
FOR THE YEAR FEBRUARY 1, FOR THE YEAR FEBRUARY 1, FOR THE YEAR FEBRUARY 1,
ENDED 1999 ENDED 1999 ENDED 1999
OCTOBER 31, TO OCTOBER 31, OCTOBER 31, TO OCTOBER 31, OCTOBER 31, TO OCTOBER 31,
2000 1999(a) 2000 1999(a) 2000 1999(a)
------------ -------------- ------------ -------------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS VALUE --
BEGINNING OF PERIOD $10.00 $10.00 $10.00 $10.00 $10.00 $10.00
------ ------ ------ ------ ------ ------
INVESTMENT ACTIVITIES:
Net investment income 0.53 0.35 0.57 0.38 0.53 0.35
Net realized and unrealized
gain 0.01 -- 0.01 -- 0.01 --
------ ------ ------ ------ ------ ------
Total investment
activities 0.54 0.35 0.58 0.38 0.54 0.35
------ ------ ------ ------ ------ ------
DISTRIBUTIONS:
Net investment income (0.54) (0.35) (0.58) (0.38) (0.54) (0.35)
------ ------ ------ ------ ------ ------
Total distributions (0.54) (0.35) (0.58) (0.38) (0.54) (0.35)
------ ------ ------ ------ ------ ------
NET ASSET VALUE --
END OF PERIOD 10.00 10.00 10.00 10.00 10.00 10.00
====== ====== ====== ====== ====== ======
Total Return (excluding
sales charges) 5.52% 3.60%(c) 5.93% 3.91%(c) 5.51% 3.60%(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period
(000) $8,820 $1,051 $8,973 $5,130 $1,867 $1,829
Ratio of expenses to average
net assets 0.95% 0.95%(d) 0.55% 0.55%(d) 0.95% 0.95%(d)
Ratio of net investment income
to average net assets 5.51% 4.74%(d) 5.85% 5.17%(d) 5.38% 4.77%(d)
Ratio of expenses to average
net assets* 1.80% 6.10%(d) 1.47% 4.18%(d) 1.81% 4.65%(d)
Portfolio turnover rate(e) 28.30% 8.20%(c) 28.30% 8.20%(c) 28.30% 8.20%(c)
</TABLE>
------------------------------------------------------
* During the period certain fees were waived and/or reimbursed. If such
waivers/reimbursements had not occurred, the ratios would have been as
indicated.
(a) Commenced operations on February 1, 1999.
(b) Formerly known as Institutional Service Class.
(c) Not Annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the class of shares.
See accompanying notes to the financial statements.
159
<PAGE> 160
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS
OCTOBER 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION
Nationwide Mutual Funds ("NMF" or the "Trust") is an open-end management
investment company. NMF was created under the laws of Ohio as an Ohio business
trust pursuant to a Declaration of Trust dated as of October 31, 1997, as
subsequently amend, and is registered under the Investment Company Act of 1940,
as amended. The Trust currently offers shares in thirty-three separate series,
or mutual funds (collectively known as the "Funds"), each with its own
investment objectives and strategies. The accompanying financial statements and
financial highlights relate to the Morley Capital Accumulation Fund (the
"Fund"), a non-diversified portfolio.
The Fund currently offers three classes of shares; Service Class (formerly known
as Institutional Service Class), Institutional Class, and IRA Class of shares.
Each class is available to a limited group of investors. The classes have no
front-end sales charges or deferred sales charges (known as a contingent
deferred sales charge or CDSC) but can charge a 2.00% redemption fee from the
proceeds of shares redeemed under certain conditions. These fees would be
retained by the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with accounting principles generally accepted in the United States of
America. The preparation of financial statements requires management to make
estimates and assumptions that affect the reported amounts of assets,
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
(a) SECURITIES VALUATION
1. Securities traded on a national securities exchange are valued at
the last quoted sale price as provided by an independent pricing agent.
Securities traded in the over-the-counter (OTC) market are valued at the
last quoted sale price, or if there is no sale price, the last quoted bid
price as provided by an independent pricing agent.
2. U.S. Government securities are valued at the last quoted bid price
as provided by an independent pricing agent. All of the debt securities are
valued by a combination of daily quotes and matrix evaluations as provided
by an independent pricing agent.
3. Each Fund may enter into repurchase agreements with member banks of
the Federal Deposit Insurance Corporation and with registered
broker/dealers that the adviser deems creditworthy under guidelines
approved by the Board of Trustees, subject to the seller's agreement to
repurchase such securities at a mutually agreed upon date and price. The
repurchase price generally equals the price paid by the Fund plus interest
negotiated on the basis of current short-term rates, which may be more or
less than the rate on the underlying portfolio securities. The seller,
under a repurchase agreement, is required to maintain the value of
collateral held pursuant to the agreement at not less than the repurchase
price (including accrued interest). Securities subject to repurchase
agreements are held by the Funds' custodian, another qualified custodian or
in the Federal Reserve/Treasury book-entry system. In the event of
counterparty default, the Fund had the right to use the collateral to
offset losses incurred. There is potential for loss to the Fund in the
event the Fund is delayed or prevented from exercising its rights to
dispose of the collateral securities, including the risk of a possible
decline in the value of the underlying securities during the period while
the Fund seeks to assert its rights.
160
<PAGE> 161
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
4. The aggregate value of the Fund's wrap contracts (see note 1. (g))
will typically equal the difference between the Fund's Book Value (purchase
price of the underlying assets minus sale price of the underlying assets
liquidated to fund share redemptions, plus interest accrued at the
crediting rate) and market value (plus accrued interest). The wrap
contracts will be an asset on the balance sheet if the book value is
greater than market value or a liability on the balance sheet if the book
value is less than market value. The Trust's Board of Trustees has approved
a fair valuation methodology to value the wrap contracts. The Fund's
investment adviser considers the ability of each wrap provider to fulfill
its contractual obligations when making such determinations.
5. Securities for which reliable market quotations are not available,
or for which an independent pricing agent does not provide a value or
provides a value that does not represent fair value in the judgement of the
Fund's Investment adviser, are valued in accordance with procedures
authorized by the Trust's Board of Trustees.
6. The Trustees have approved amortized cost procedures for short-term
money market obligations that have 60 days or less to maturity which are
purchased by a non-money market fund.
(b) SECURITIES TRANSACTIONS AND RELATED INVESTMENT INCOME
Securities transactions are recorded on the date the security is purchased or
sold (trade date). Dividend income is recognized on the ex-dividend date. Gains
and losses realized from sales of securities are determined by comparing the
identified cost of the security lot sold with the net sales proceeds. Interest
income is recognized on an accrual basis and includes, where applicable, the pro
rata amortization/accretion of premium or discount.
(c) FEDERAL INCOME TAXES
The Fund's policy is to qualify or continue to qualify as a regulated investment
company under the Internal Revenue Code, and to distribute substantially all
taxable income, if any, to its shareholders. Therefore no provision has been
made for federal income taxes as it is the intention of the Fund to continue
such qualification. To the extent net realized gains are offset through the
application of a capital loss carryover, they will not be distributed to
shareholders and will be retained by the applicable Fund. Withholding taxes have
been paid or provided for in accordance with the applicable tax rates and rules.
As of the fiscal year ended October 31, 2000, the Morley Capital Accumulation
Fund had a net capital loss carry forward of $4,348. If unused it will expire in
7 years.
(d) DISTRIBUTIONS TO SHAREHOLDERS
1. Net investment income is declared and recorded daily and paid
monthly.
2. Distributable net realized capital gains, if any, are declared and
distributed at least annually.
3. Dividends and distributions to shareholders are determined in
accordance with federal income tax regulations, which may differ from
accounting principles generally accepted in the United States of America.
These "book/tax" differences are considered either permanent or temporary
in nature. In accordance with AICPA (American Institute of Certified Public
Accountants) Statement of Position 93-2, permanent differences (i.e.
reclass of market discounts, gain/loss, paydowns, and distributions) are
reclassified within the capital accounts based on their nature for federal
income tax purposes; temporary differences do not require reclassification.
Dividends and distributions that exceed net investment income and net
realized gains for financial reporting purposes but not for tax purposes
are reported as dividends in excess of net investment income and net
realized gains. To the extent distributions exceed current and accumulated
earnings and profits
161
<PAGE> 162
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
for federal income tax purposes, they are reported as distributions of
paid-in-capital. These reclassifications have no effect upon the net asset
value of the respective Fund. For the fiscal year ended October 31, 2000,
the following reclassifications were necessary:
<TABLE>
<CAPTION>
UNDISTRIBUTED UNDISTRIBUTED
NET INVESTMENT CAPITAL
INCOME GAIN
FUND -------------- -------------
<S> <C> <C>
Morley Capital Accumulation............................ $ (1,813) $ 1,813
</TABLE>
(e) EXPENSES
General expenses of the Trust, not directly attributable to a Fund or to any
class of shares, are charged to the Fund based upon the Fund's relative average
net assets or some other appropriate basis, as approved by the Trust's Board of
Trustees. Once these expenses are allocated to a Fund, they are allocated to the
classes based on total settled shares outstanding of each class.
Direct expenses of a Fund are applied to that Fund and allocated to the classes
in the methods mentioned above.
Direct expenses of a class are charged to that class unless otherwise directed
by the Trust's Board of Trustees. For example, distribution and administrative
servicing fees are borne by the specific class of shares to which they apply.
(g) WRAP CONTRACT - MORLEY CAPITAL ACCUMULATION FUND
In connection with its investment objective of maintaining a stable net asset
value per share, the Fund has entered into book value maintenance ("wrap
contracts") with the following institutions: Bank of America NT&SA, Deutsche
Bank America and Transamerica Life Insurance Co. (collectively the "wrap
providers"). The wrap contracts obligate the wrap providers to make payments in
specified circumstances, and allow the Fund under most circumstances to maintain
net asset value at $10.00 per share.
162
<PAGE> 163
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
(h) CAPITAL SHARE TRANSACTIONS
<TABLE>
<CAPTION>
MORLEY CAPITAL
ACCUMULATION
-----------------------------------------
YEAR PERIOD FROM
ENDED FEBRUARY 1, 1999 TO
OCTOBER 31, 2000 OCTOBER 31, 1999(a)
---------------- --------------------
<S> <C> <C>
CAPITAL TRANSACTIONS:
SERVICE CLASS:(b)
Proceeds from shares issued...................... $13,790,230 $2,536,393
Distributions reinvested......................... 258,727 36,448
Cost of shares redeemed.......................... (6,279,089) (1,522,286)
----------- ----------
Change in capital............................. $ 7,769,868 $1,050,555
=========== ==========
INSTITUTIONAL CLASS:
Proceeds from shares issued...................... $ 4,083,473 $5,000,556
Distributions reinvested......................... 339,170 130,476
Cost of shares redeemed.......................... (580,595) --
----------- ----------
Change in capital............................. $ 3,842,048 $5,131,032
=========== ==========
IRA CLASS:
Proceeds from shares issued...................... $ -- $1,787,771
Distributions reinvested......................... 89,914 40,794
Cost of shares redeemed.......................... (51,838) (35)
----------- ----------
Change in capital............................. $ 38,076 $1,828,530
=========== ==========
SHARE TRANSACTIONS:
SERVICE CLASS:(b)
Issued........................................... 1,379,023 253,639
Reinvested....................................... 25,873 3,645
Redeemed......................................... (627,909) (152,228)
----------- ----------
Change in shares.............................. 776,987 105,056
=========== ==========
INSTITUTIONAL CLASS:
Issued........................................... 408,348 500,055
Reinvested....................................... 33,917 13,048
Redeemed......................................... (58,057) --
----------- ----------
Change in shares.............................. 384,208 513,103
=========== ==========
IRA CLASS:
Issued........................................... -- 178,777
Reinvested....................................... 8,991 4,080
Redeemed......................................... (5,184) (4)
----------- ----------
Change in shares.............................. 3,807 182,853
=========== ==========
</TABLE>
------------------------------------------------------
(a) Fund commenced operations on February 1, 1999.
(b) Formerly known as Institutional Service Class.
163
<PAGE> 164
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
3. TRANSACTIONS WITH AFFILIATES
Under the terms of its investment advisory agreement, Union Bond & Trust Company
("UBT") manages the investment of the assets and supervises the daily business
affairs of the Fund. UBT is a majority owned subsidiary of Morley Financial
Services, Inc., a wholly owned subsidiary of Villanova Capital, Inc, which is a
majority owned subsidiary of Nationwide Financial Services ("NFS").
Under the terms of the Investment Advisory Agreement, UBT is entitled to an
advisory fee of 0.35% of the fund's average daily net assets. Additional
information regarding investment advisory fees is as follows for the for the
year ended October 31, 2000:
<TABLE>
<CAPTION>
TOTAL ADVISORY
ADVISORY FEES FEE TOTAL FEES
FEES RETAINED SCHEDULE FEES RETAINED
-------- -------- ---------- ----- --------
<S> <C> <C> <C> <C> <C>
Morley Capital Accumulation*........ $48,755 $34,825 All assets 0.35% 0.25%
</TABLE>
------------------------------------------------------
* UBT has agreed voluntarily to waive 0.10% of the management fee until further
written notice to the shareholders.
UBT has entered into Expense Limitation Agreements with the Fund. Pursuant to
the Expense Limitation Agreements, UBT has agreed to waive fees or otherwise
reimburse expenses for the Fund in order to limit the total annual operating
expenses of each class of shares of the Fund at or below stated expense caps.
Fund expenses were limited to 0.70% for the Service Class Shares, 0.55% for the
Institutional Class Shares and 0.70% for the IRA . During the year ended October
31, 2000, fees were waived as per the following table:
<TABLE>
<CAPTION>
TOTAL FEES
TOTAL FUND FEES OTHER FEES WAIVED/ NET FUND
EXPENSES WAIVED* REIMBURSED REIMBURSED EXPENSES
---------- -------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C>
Morley Capital Accumulation.... $228,951 $100,148 $22,751 $122,899 $106,052
</TABLE>
------------------------------------------------------
* Waived fees include Management fees, Fund Administration fees, and Transfer
Agent fees.
Reimbursement by the Fund of the advisory fees waived or limited and other
expenses reimbursed by VMF pursuant to the Expense Limitation Agreement may be
made at a later date not to exceed five fiscal years from commencement of
operations if the Fund has reached a sufficient asset size to permit
reimbursement to be made without causing the total annual operating expense
ratio of the Fund to exceed the limits set forth below. No reimbursement will be
made unless: (i) the Fund's assets exceed $100 million; (ii) the total annual
expense ratio of the Class making such reimbursement is less than the limit set
forth below; and (iii) the payment of such reimbursement is approved by the
Board of Trustees on a quarterly basis. Except as provided for in the Expense
Limitation Agreement, reimbursement of amounts previously waived or assumed by
VMF is not permitted. As of October 31, 2000, the cumulative potential
reimbursements totaled $287,100.
Under the terms of a Distribution Plan under Rule 12b-1 of the 1940 Act, NAS,
the Funds' Distributor, is compensated by the Funds for expenses associated with
the distribution of shares of the Funds. These fees, based on average daily net
assets of the respective class, are not to exceed an annual rate for Service
Class and IRA Class of 0.25%. Additional information regarding distribution fees
incurred buy the Fund is as follows for the period ended October 31, 2000:
<TABLE>
<CAPTION>
DISTRIBUTION FEES
--------------------------
SERVICE CLASS IRA CLASS
------------- ---------
<S> <C> <C>
Morley Capital Accumulation................................. $13,728 $4,609
</TABLE>
164
<PAGE> 165
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Under the terms of a Fund Administration Agreement, Villanova SA Capital Trust
("VSA") receives fees from the Fund for providing various administrative and
accounting services. These fees are calculated daily based on the Funds' average
daily net assets and paid monthly. During the year ended October 31, 2000, the
Fund incurred fund administration fees according to the following schedule:
<TABLE>
<CAPTION>
FUND FUND
ADMINISTRATION ADMINISTRATION
FEE* FEE SCHEDULE
-------------- ----------------------------------------
<S> <C> <C> <C>
Morley Capital Accumulation*.... $50,000 Up to $250 million 0.07%
On the next $750 million 0.05%
On $1 billion and more 0.04%
</TABLE>
------------------------------------------------------
* The Fund Administration fee is subject to a minimum of $50,000 per year.
Nationwide Investors Services, Inc. ("NISI"), a subsidiary of VSA, serves as
Transfer and Dividend Disbursing Agent for the Funds. For these services, NISI
received fees at 0.01% of the average daily net assets for the classes of
shares. During the year ended October 31, 2000, the Fund incurred transfer agent
fees totaling $1,393 consisting of $549 for Service Class, $660 for
Institutional Class and $184 for IRA Class of Shares, respectively.
VSA has entered into agreements with BISYS Fund Services Ohio, Inc., to provide
sub-administration and sub-transfer agent services to the Fund.
Under the terms of an Administrative Services Plan, the Funds pays fees to
servicing organizations, such as broker-dealers, including Nationwide Financial
Services (NFS), other affiliates of the Fund, and financial institutions, which
agree to provide administrative support services. These services include, but
are not limited, to the following: establishing and maintaining shareholder
accounts, processing purchase and redemption transactions, arranging bank wires,
performing shareholder sub-accounting, answering inquires regarding the Fund,
and other such services. These fees are based on an annual rate of up to 0.15%
of the Service and IRA Class of shares of the Fund. Affiliate, NFS received
payments of $6,406 (which are included in the total administrative fees).
<TABLE>
<CAPTION>
ADMINISTRATIVE SERVICING
FEES
--------------------------
SERVICE CLASS IRA CLASS
------------- ---------
<S> <C> <C>
Morley Capital Accumulation................................. $6,212 --
</TABLE>
A redemption fee of 2.0% may be incurred (on the amount redeemed) by a
shareholder if the shareholder redeems shares when the yield of the Fund
(computed before subtraction of expenses) has fallen, and remains, below the
Dealer Commercial Paper (CP) 90-day Index. The redemption fee will be retained
by the Fund to help minimize the impact such redemptions may have on Fund
performance and to support administrative costs associated with redemptions from
the Funds. Additionally, the fee may discourage market timing by those
shareholders igniting redemptions to take advantage of short-term movements in
interest rates. During the period ended October 31, 2000, the events that would
trigger the imposition of a redemption fee did not occur and the Fund did not
collect any redemption fees.
4. BANK LOANS
NMF currently has an unsecured bank line of credit of $50,000,000. Borrowings
under these arrangements bear interest at the Federal Funds rate plus .50%.
These interest costs are included in custodian fees in the Statements of
Operations. No compensating balances are required under the terms of the line of
credit. The average borrowings outstanding during the year ended October 31,
2000 for the Fund was $3,764 at an average interest rate of 6.97%.
165
<PAGE> 166
NATIONWIDE(R) MUTUAL FUNDS
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
5. INVESTMENT TRANSACTIONS
Purchases and sales of securities (excluding U.S. Government and short-term
securities) and purchases and sales of U.S. Government securities for the period
ended October 31, 2000, are summarized as follows:
<TABLE>
<CAPTION>
NON U.S. GOVERNMENT U.S. GOVERNMENT
SECURITIES SECURITIES
------------------- -------------------------
PURCHASES SALES PURCHASES SALES
---------- ----- ----------- ----------
<S> <C> <C> <C> <C>
Morley Capital Accumulation............. $3,996,371 -- $14,413,555 $3,582,606
</TABLE>
Realized gains and losses have been computed on the first-in, first-out basis.
Cost for financial reporting purposes may differ from cost for federal income
tax purposes by the amount of losses recognized for financial reporting in
excess of federal income tax reporting. Included in net unrealized appreciation
for Federal income tax purposes at October 31, 2000, the following:
<TABLE>
<CAPTION>
GROSS GROSS NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION (DEPRECIATION) APPRECIATION
------------ -------------- ------------
<S> <C> <C> <C>
Morley Capital Accumulation................... $165,881 $(163,346) $2,535
</TABLE>
6. SUBSEQUENT EVENT
At a regular quarterly meeting of the Board of Trustees on December 14 and 15,
2000, the Board the considered and approved the following transactions:
Approved the change in the principal underwriter of Nationwide Mutual Funds from
Nationwide Advisory Services, Inc. to Villanova Distribution Services, Inc. This
change will occur as soon as practicable after all necessary regulatory
approvals are received.
166
<PAGE> 167
INDEPENDENT AUDITORS' REPORT
THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
NATIONWIDE MUTUAL FUNDS:
We have audited the accompanying statement of assets and liabilities of
Nationwide Mutual Funds-Morley Capital Accumulation Fund (the Fund), including
the statement of investments, as of October 31, 2000, and the related statement
of operations, statements of changes in net assets and the financial highlights
for each of the periods indicated herein. These financial statements and the
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 accepted
in the United States of America. 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. Our procedures included confirmation of
securities owned as of October 31, 2000, by confirmation with the custodian,
correspondence with brokers and other appropriate audit procedures. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide 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 as of October 31, 2000, the results of its operations, the changes in its
net assets and the financial highlights for each of the periods indicated
herein, in conformity with accounting principles generally accepted in the
United States of America.
KPMG LLP
Columbus, Ohio
December 18, 2000
167
<PAGE> 168
(This page intentionally left blank)
168
<PAGE> 169
NORTHPOINTE SMALL CAP
VALUE FUND
NATIONWIDE MUTUAL FUNDS
ANNUAL REPORT
OCTOBER 31, 2000
169
<PAGE> 170
NORTHPOINTE SMALL CAP VALUE FUND
MANAGEMENT DISCUSSION OF PERFORMANCE
For the 4-month period ended October 31, 2000, the NorthPointe Small Cap Value
Fund returned 5.14%+ versus -0.47% for the Russell 2000 Small Stock Index, the
benchmark index. The Fund commenced operations on June 29, 2000.
At the start of the new millennium, the equity markets reverted back to "old"
standards. Market participants stopped chasing stocks simply because prices were
going up. Investors came back to the notion that "valuation does matter." This
shift in market sentiment was not only good for our investment style, but
healthy for the market as a whole.
In nearly every economic sector of the portfolio, good stock selection has been
the main driver of our outperformance versus the benchmark. In particular,
stocks in the consumer discretionary, finance, and health care sectors have
performed well. Our technology holdings have been the weakest performers,
consistent with the overall market. Given the fact that we focus on fundamental
stock picking and that we limit our sector exposures, sector selection had very
little impact on the portfolio.
The Fund's ten largest holdings for the year accounted for approximately 15% of
the portfolio and were up, on average, 25% for the period. Everest Re, a
reinsurance company in the financial service sector, Health Management
Associates, a hospital management company in the health care sector, and
Venator, a retailer in the consumer discretionary sector were up in excess of
37% in the period and have added significantly to the portfolio's return. These
positive contributions were offset slightly by the poor performance of our
technology holdings; for example, Micro Component Technology and Genesis
Microchip were down more 47% and 20%, respectively, during the 4-month period.
We believe the portfolio is well-positioned for what we see as a more balanced,
broader market going forward. The portfolio remains diversified across all
economic sectors in stocks that we believe show strong forward earnings
prospects at valuations substantially below what we consider fair value.
---------------
+ Performance of Institutional Class shares without sales charge and assuming
all distributions are reinvested.
Portfolio Manager: NorthPointe Capital -- Subadvisor
PORTFOLIO MARKET VALUE: $23,448,519
OCTOBER 31, 2000
PORTFOLIO COMPOSITION
(Subject to Change)
Repurchase Agreement 6.6%
Common Stock 93.4%
AVERAGE ANNUAL TOTAL RETURN
(For Period Ended October 31, 2000)
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
YEARS W/O SC**
<S> <C> <C>
-------------------------------
Life* 5.14%
-------------------------------
</TABLE>
Past performance is no guarantee of future results.
* Commenced operations on June 29, 2000.
** There are no sales charges (SC).
<TABLE>
<CAPTION>
INSTITUTIONAL RUSSELL 2000 TR CPI
------------- --------------- ---
<S> <C> <C> <C>
6/00 10000 10000 10000
10/00 10514 9659 10113
</TABLE>
Comparative performance of $10,000 invested in NorthPointe Small Cap Value Fund,
Russell 2000 Small Stock Index (Russell 2000)(1), and the Consumer Price Index
(CPI)(2) over 4-month period ended 10/31/00. Unlike our Fund, these indices do
not reflect any fees, expenses, or sales charges.
(1) The Russell 2000 is comprised of approximately 2000 companies with small
market capitalizations relative to the market capitalizations of other U.S.
companies.
(2) The CPI represents changes in prices of a basket of goods and services
purchase for consumption by urban households.
170
<PAGE> 171
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES SECURITY VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (93.8%)
ADVERTISING AGENCIES (0.9%)
9,000 R.H. Donnelley Corp.* $ 203,625
-----------
AEROSPACE (1.1%)*
2,900 Alliant Techsystems, Inc.* 260,819
-----------
AIR TRANSPORT (0.8%)
5,100 Atlas Air, Inc.* 184,875
-----------
AUTO PARTS -- AFTER MARKET (0.9%)
6,300 Superior Industries
International, Inc. 214,594
-----------
AUTO PARTS -- ORIGINAL EQUIPMENT (0.7%)
6,100 Lear Corp.* 166,225
-----------
AUTO TRUCKS & PARTS (1.1%)
6,100 Oshkosh Truck Corp. 250,863
-----------
BANKS -- OUTSIDE NEW YORK CITY (3.1%)
17,400 Bancwest Corp. 355,612
3,400 Commerce Bancorp, Inc. 205,912
7,000 Hudson United Bancorp 156,625
-----------
718,149
-----------
BEVERAGE -- SOFT DRINKS (0.9%)
16,000 Whitman Corp. 208,000
-----------
BIOTECHNOLOGICAL RESEARCH & PRODUCTION (2.0%)
6,900 Edwards Lifesciences Corp.* 92,719
11,100 IDEXX Laboratories, Inc.* 266,400
1,500 Invitrogen Corp.* 114,094
-----------
473,213
-----------
CASINOS & GAMBLING (0.5%)
6,700 Station Casinos, Inc.* 108,038
-----------
CHEMICALS (0.8%)
5,700 Cytec Industries, Inc.* 197,363
-----------
COMPUTER SERVICES -- SOFTWARE & SYSTEMS (1.1%)
9,200 AXENT Technologies, Inc.* 176,525
4,400 CACI International, Inc.* 90,750
-----------
267,275
-----------
COSMETICS (1.1%)
9,600 Alberto-Culver Co. 266,400
-----------
DIVERSIFIED FINANCIAL SERVICES (0.5%)
4,300 Heller Financial, Inc. 125,775
-----------
DIVERSIFIED MANUFACTURING (3.4%)
18,400 Engelhard Corp. 384,099
14,900 Olin Corp. 264,475
5,100 York International Corp. 138,656
-----------
787,230
-----------
DRUG & GROCERY STORE CHAINS (0.8%)
14,300 Ruddick Corp. 187,688
-----------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES SECURITY VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS AND PHARMACEUTICALS (0.7%)
2,300 Medicis Pharmaceutical Corp.* $ 169,338
-----------
ELECTRONIC EQUIPMENT AND COMPONENTS (0.0%)
400 AMETEK, Inc. 8,700
-----------
ELECTRONICS (1.4%)
16,300 Avid Technology, Inc.* 226,163
23,100 Micro Component Technology, Inc.* 103,950
-----------
330,113
-----------
ELECTRONICS -- SEMI-CONDUCTORS/ COMPONENTS
(1.6%)
4,500 Cirrus Logic, Inc.* 194,063
11,800 Genesis Microchip, Inc.* 168,150
-----------
362,213
-----------
ELECTRONICS -- TECHNOLOGY (1.8%)
4,300 Litton Industries, Inc.* 223,331
10,800 Sensormatic Electronics Corp.* 194,400
-----------
417,731
-----------
ENERGY -- MISCELLANEOUS (0.4%)
6,100 Trico Marine Services, Inc.* 101,413
-----------
ENGINEERING & CONTRACTING SERVICES (0.9%)
5,000 Jacobs Engineering Group, Inc.* 206,875
-----------
FINANCE COMPANIES (1.1%)
9,000 American Capital Strategies Ltd. 198,563
11,200 American Home Mortgage Holdings,
Inc.* 53,200
-----------
251,763
-----------
FINANCE -- SMALL LOAN (1.1%)
9,700 Americredit Corp.* 260,688
-----------
FINANCIAL -- MISCELLANEOUS (2.0%)
7,700 Metris Companies, Inc. 249,287
3,100 Radian Group, Inc. 219,713
-----------
469,000
-----------
FINANCIAL DATA PROCESSING SERVICES (0.4%)
6,100 NOVA Corp.* 95,694
-----------
FINANCIAL INFORMATION SERVICES (0.3%)
4,900 Multex.Com, Inc. 63,394
-----------
FINANCIAL PRODUCTS & SERVICES (2.0%)
4,200 City National Corp. 144,375
9,900 Cullen/Frost Bankers, Inc. 329,794
-----------
474,169
-----------
FOODS (2.4%)
14,800 Hormel Foods Corp. 248,824
6,900 Interstate Bakeries Corp. 96,600
11,400 Universal Foods Corp.* 225,150
-----------
570,574
-----------
</TABLE>
Continued
171
<PAGE> 172
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES SECURITY VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH & PERSONAL CARE (1.2%)
14,000 Apria Healthcare Group, Inc.* $ 280,000
-----------
HEALTH CARE FACILITIES (2.3%)
15,800 Health Management Associates,
Inc.* 313,037
6,900 Pharmaceutical Product
Development, Inc.* 216,056
-----------
529,093
-----------
HEALTH CARE MANAGEMENT SERVICES (0.3%)
17,100 PER-SE Technologies, Inc.* 75,347
-----------
HOME BUILDING (0.9%)
3,800 Centex Corp. 140,600
2,100 Pulte Corp. 69,956
-----------
210,556
-----------
HOTEL / MOTEL (0.7%)
13,700 Extended Stay America, Inc.* 168,681
-----------
HOUSEHOLD FURNISHINGS (0.4%)
3,500 Springs Industries, Inc. 82,469
-----------
IDENTIFICATION CONTROL & FILTER DEVICES (1.7%)
4,600 Cuno, Inc.* 116,725
13,600 Flowserve Corp. 273,700
-----------
390,425
-----------
INSURANCE -- LIFE (1.1%)
9,600 Amerus Group Co. 253,200
-----------
INSURANCE -- PROPERTY & CASUALTY (1.1%)
4,400 Everest Re Group Ltd. 257,950
-----------
INSURANCE -- MULTI-LINE (2.0%)
7,700 Old Republic International Corp. 200,200
6,800 StanCorp Financial Group, Inc. 277,100
-----------
477,300
-----------
INVESTMENT MANAGEMENT COMPANIES (1.0%)
4,000 Affiliated Managers Group, Inc.* 240,500
-----------
MACHINERY -- CONSTRUCTION & HANDLING (1.4%)
13,300 Stewart & Stevenson Services,
Inc. 319,200
-----------
MACHINERY -- OIL WELL EQUIPMENT & SERVICES
(2.8%)
6,800 Hanover Compressor Co.* 221,849
4,200 Helmerich & Payne, Inc. 132,038
2,200 Hydril Co.* 38,500
18,500 Key Energy Services, Inc.* 166,500
2,600 Seacor Holdings, Inc.* 108,875
-----------
667,762
-----------
MEDICAL & DENTAL INSTRUMENTS & SUPPLIES (3.7%)
6,600 Cooper Cos., Inc. 235,950
5,300 Dura Pharmaceuticals, Inc.* 182,519
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES SECURITY VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDICAL & DENTAL INSTRUMENTS & SUPPLIES
(CONTINUED)
2,800 PolyMedica Corp.* $ 161,000
14,200 Respironics, Inc.* 278,674
-----------
858,143
-----------
MEDICAL EQUIPMENT & SUPPLIES (1.0%)
15,400 Owens & Minor, Inc. 232,925
-----------
METAL FABRICATION (0.6%)
8,300 Maverick Tube Corp.* 129,169
-----------
OIL -- CRUDE PRODUCERS (1.4%)
2,800 Stone Energy Corp.* 143,360
8,200 Vintage Petroleum, Inc. 173,225
-----------
316,585
-----------
PAPER (0.7%)
3,000 Bowater, Inc. 162,375
-----------
PRODUCTION TECHNOLOGY EQUIPMENT (2.6%)
19,800 Accord Networks, LTD* 170,776
10,700 Esterline Technologies Corp.* 238,743
5,900 Lam Research Corp.* 114,313
3,300 Varian Semiconductor Equipment,
Inc.* 75,900
-----------
599,732
-----------
REAL ESTATE (0.5%)
10,000 Jones Lang LaSalle, Inc.* 127,500
-----------
REAL ESTATE INVESTMENT TRUSTS (REIT) (6.6%)
12,300 Brandywine Realty Trust 235,238
13,800 Cabot Industrial Trust 260,475
5,000 Camden Property Trust 143,125
8,100 Developers Diversified Realty
Corp. 96,694
11,100 Meristar Hospitality Corp. 212,288
10,800 Pacific Gulf Properties, Inc. 286,874
11,600 Prentiss Properties Trust 294,349
-----------
1,529,043
-----------
RENTAL & LEASING SERVICES -- COMMERCIAL (1.3%)
14,300 United Rentals, Inc.* 307,450
-----------
RESTAURANTS (0.5%)
6,700 CBRL Group, Inc. 119,763
-----------
RETAIL (4.2%)
21,800 Charming Shoppes, Inc.* 133,525
12,500 Family Dollar Stores, Inc. 242,969
7,100 Footstar, Inc.* 254,712
23,200 Venator Group, Inc. 327,699
-----------
958,905
-----------
SAVINGS & LOAN (4.0%)
5,100 Astoria Financial Corp. 191,250
3,900 Bank United Corp. 221,080
7,900 FirstFed Financial Corp.* 201,449
</TABLE>
Continued
172
<PAGE> 173
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
STATEMENT OF INVESTMENTS -- OCTOBER 31, 2000 (CONTINUED)
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES SECURITY VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SAVINGS & LOAN (CONTINUED)
4,900 Golden State Bancorp, Inc. $ 128,013
17,100 Local Financial Corp.* 181,688
-----------
923,480
-----------
SECURITIES BROKERAGE & SERVICES (1.2%)
2,900 Investment Technology Group,
Inc.* 104,400
8,800 Morgan Keegan, Inc. 175,450
-----------
279,850
-----------
SERVICES -- COMMERCIAL (2.2%)
7,500 Kirby Corp.* 138,281
11,100 Pegasus Systems, Inc.* 189,394
7,200 Waste Connections, Inc.* 184,050
-----------
511,725
-----------
SHOES (1.6%)
15,300 Finish Line, Inc.* 116,663
12,000 Reebok International Ltd.* 258,750
-----------
375,413
-----------
STEEL (1.5%)
7,100 Carpenter Technology Corp. 220,100
6,400 HARSCO Corp. 129,200
-----------
349,300
-----------
TEXTILE APPAREL MANUFACTURERS (0.5%)
7,900 Russell Corp. 126,400
-----------
UTILITIES -- ELECTRIC (2.2%)
5,200 Idacorp, Inc. 256,425
9,700 Scana Corp. 257,050
-----------
513,475
-----------
UTILITIES -- WATER (0.6%)
4,200 American States Water Co. 130,988
-----------
UTILITIES -- GAS DISTRIBUTORS (3.0%)
4,600 New Jersey Resources Corp. 183,712
9,000 Questar Corp. 243,562
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
SHARES SECURITY VALUE
-----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UTILITIES -- GAS DISTRIBUTORS (CONTINUED)
7,900 Semco Energy, Inc. $ 122,450
6,100 Washington Gas & Light Co. 155,550
-----------
705,274
-----------
UTILITIES -- MISCELLANEOUS (0.9%)
8,100 Utilicorp United, Inc. 215,156
-----------
UTILITIES -- TELECOMMUNICATIONS (0.3%)
3,100 Intermedia Communications, Inc.* 68,588
-----------
TOTAL COMMON STOCKS
(cost $20,452,697) 21,895,519
-----------
<CAPTION>
-----------------------------------------------------------
FACE
AMOUNT SECURITY VALUE
-----------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (6.6%)
STATE BANKS, FEDERAL RESERVE (6.6%)
$1,553,000 Fifth Third Bank, 6.35%,
10/31/00, matures 11/01/00,
Collateralized by $1,603,570
FHLMC Gold Pool #E00527, 6.50%,
01/01/13, market value
$1,584,060.
TOTAL REPURCHASE AGREEMENT
(cost $1,553,000) 1,553,000
-----------
TOTAL INVESTMENTS
(cost $22,005,697) $23,448,519
===========
</TABLE>
-------------------------------------------------------
* Denotes a non-income producing security.
The abbreviation in the above statement stands for the following:
FHLMC Federal Home Loan Mortgage Company
Cost also represents cost for Federal income tax purposes.
Portfolio holding percentages based on net assets of $23,359,493.
See accompanying notes to the financial statements.
173
<PAGE> 174
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments in securities, at value (cost $20,452,697) $21,895,519
Repurchase Agreements, at value (cost $1,553,000) 1,553,000
Cash 101
Interest and dividends receivable 9,877
Receivable from advisor 15,066
Prepaid and other assets 6,005
-----------
Total Assets 23,479,568
-----------
LIABILITIES:
Payable for investment securities purchased 78,284
Accrued expenses and other payables:
Investment advisory fees 16,431
Fund administration fees 6,353
Other 19,007
-----------
Total Liabilities 120,075
-----------
NET ASSETS $23,359,493
===========
NET ASSETS:
Capital $22,427,837
Accumulated net investment income 27,370
Net unrealized appreciation from investments 1,442,822
Accumulated net realized losses from investment
transactions (538,536)
-----------
Net Assets $23,359,493
===========
NET ASSETS:
Institutional Class $23,359,493
===========
SHARES OUTSTANDING (unlimited number of shares authorized):
Institutional Class(a) 2,224,295
-----------
Total 2,224,295
===========
NET ASSET VALUE AND OFFERING PRICE PER SHARE:*
Institutional Class $ 10.50
</TABLE>
------------------------------------------------------
* Institutional Class Share are not subject to a front-end sales charge.
(a) The fund had only the Institutional Class of shares operational.
See accompanying notes to the financial statements.
174
<PAGE> 175
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD JUNE 29, 2000 TO OCTOBER 31, 2000 (a)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest income $ 27,164
Dividend income 94,639
--------
Total Income 121,803
EXPENSES:
Investment advisory fees 56,914
Fund administration fees 24,795
Custodian fees 3,600
Professional fees 8,559
Trustees' fees and expenses 10
Transfer agent fees 669
Registration and filing fees 5,000
Shareholders' reports 11,452
Other 6,010
--------
Total expenses before waived or reimbursed expenses 117,009
Expenses waived or reimbursed (50,052)
--------
Net expenses 66,957
--------
Net Investment Income $ 54,846
========
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS:
Net realized losses on investment transactions (538,536)
Net change in unrealized appreciation on investments 1,442,822
--------
Net realized/unrealized gains on investments 904,286
--------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $959,132
========
</TABLE>
------------------------------------------------------
(a) Period from commencement of operations.
See accompanying notes to the financial statements.
175
<PAGE> 176
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD JUNE 29, 2000 TO OCTOBER 31, 2000 (a)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income $ 54,846
Net realized losses on investment transactions (538,536)
Net change in unrealized appreciation on investments 1,442,822
-----------
Change in net assets resulting from operations 959,132
-----------
DISTRIBUTIONS TO INSTITUTIONAL CLASS SHAREHOLDERS FROM:
Net investment income (31,030)
-----------
CHANGE IN NET ASSETS FROM SHAREHOLDER DISTRIBUTIONS (31,030)
-----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued 22,814,419
Distributions reinvested 17,301
Cost of shares redeemed (400,329)
-----------
Change in net assets from capital transactions 22,431,391
-----------
Change in net assets 23,359,493
NET ASSETS:
Beginning of period --
-----------
End of period $23,359,493
===========
SHARE TRANSACTIONS:
Sold 2,260,624
Reinvested 1,653
Redeemed (37,982)
-----------
Change in shares 2,224,295
===========
</TABLE>
------------------------------------------------------
(a) Period from commencement of operations.
See accompanying notes to the financial statements.
176
<PAGE> 177
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JUNE 29, 2000 TO
OCTOBER 31, 2000(a)
-------------------
INSTITUTIONAL
CLASS
-------------------
<S> <C>
NET ASSETS VALUE --
BEGINNING OF PERIOD $ 10.00
--------
INVESTMENT ACTIVITIES:
Net investment income 0.02
Net realized and unrealized gain 0.49
--------
Total investment activities 0.51
--------
DISTRIBUTIONS:
Net investment income (0.01)
--------
Total distributions (0.01)
--------
NET ASSET VALUE --
END OF PERIOD $ 10.50
========
Total Return (excluding sales charges)(b) 5.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, at end of period (000) $ 23,359
Ratio of expenses to average net assets(c) 1.00%
Ratio of net investment income to average net assets(c) 0.82%
Ratio of expenses to average net assets*(c) 1.79%
Portfolio turnover rate(b) 49.93%
</TABLE>
------------------------------------------------------
* During the period certain fees were waived and/or reimbursed. If such
waivers/reimbursements had not occurred, the ratios would have been as
indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See accompanying notes to the financial statements.
177
<PAGE> 178
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
NOTES TO THE FINANCIAL STATEMENTS
OCTOBER 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION
Nationwide Mutual Funds ("NMF" or the "Trust") is an open-end management
investment company. NMF was created under the laws of Ohio as an Ohio business
trust pursuant to a Declaration of Trust dated as of October 31, 1997, as
subsequently amended, and is registered under the Investment Company Act of
1940, as amended. The Trust offers shares in thirty-three separate series, or
mutual funds, each with its own investment objectives. The accompanying
financial statements and financial highlights relate to the NorthPointe Small
Cap Value Fund (the "Fund") only, a diversified portfolio.
The Fund commenced operations on June 29, 2000 and currently offers one class of
shares; Institutional Class of Shares. The Institutional Class is available to a
limited group of investors and has no sales charges.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with accounting principals generally accepted in the United States of
America. The preparation of financial statements requires management to make
estimates and assumptions that affect the reported amounts of assets,
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
(a) SECURITY VALUATION
1. Securities traded on a national securities exchange are valued at
the last quoted sale price as provided by an independent pricing agent.
Securities traded in the over-the-counter (OTC) market are valued at the
last quoted sale price, or if there is no sale price, the last quoted bid
price as provided by an independent pricing agent.
2. U.S. Government securities are valued at the last quoted bid price
as provided by an independent pricing agent. All of the debt securities are
valued by a combination of daily quotes and matrix evaluations as provided
by an independent pricing agent.
3. The Fund may enter into repurchase agreements with member banks of
the Federal Deposit Insurance Corporation and with registered
broker/dealers that the adviser deems creditworthy under guidelines
approved by the Board of Trustees, subject to the seller's agreement to
repurchase such securities at a mutually agreed-upon date and price. The
repurchase price generally equals the price paid by the Fund plus interest
negotiated on the basis of current short-term rates, which may be more or
less than the rate on the underlying portfolio securities. The seller,
under a repurchase agreement, is required to maintain the value of
collateral held pursuant to the agreement at not less than the repurchase
price (including accrued interest). Securities subject to repurchase
agreements are held by the Funds' custodian, another qualified custodian or
in the Federal Reserve/Treasury book-entry system. In the event of
counterparty default, the Fund has the right to use the collateral to
offset losses incurred. There is potential for loss to the Fund in the
event the Fund is delayed or prevented from exercising its rights to
dispose of the collateral securities, including the risk of a possible
decline in the value of the underlying securities during the period while
the Fund seeks to assert its rights.
4. Securities for which reliable market quotations are not available,
or for which an independent pricing agent does not provide a value or
provides a value that does not represent fair value in the judgement of the
178
<PAGE> 179
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Fund's administrator or sub-administrator, are valued in accordance with
procedures authorized by the Trust's Board of Trustees.
(b) SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are recorded on the trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on an accrual
basis and includes, where applicable, the pro rata amortization of premium or
discount.
(c) FEDERAL INCOME TAXES
Each Funds policy is to qualify as a regulated investment company under the
Internal Revenue Code, and to distribute substantially all taxable income, if
any, to its shareholders. Therefore no provision has been made for federal
income taxes as it is the intention of the Funds to continue such qualification.
Withholding taxes have been paid or provided for in accordance with the
applicable tax rates and rules.
As of the fiscal year ended October 31, 2000, the NorthPointe Small Cap Value
Fund had a net capital loss carry forward of $538,536, respectively. If unused
it will expire in 8 years.
(d) DISTRIBUTIONS TO SHAREHOLDERS
1. Net investment income, if any, is declared and paid quarterly and
is recorded on the ex-dividend date.
2. Distributable net realized capital gains, if any, are declared and
distributed at least annually.
3. Dividends and distributions to shareholders are determined in
accordance with federal income tax regulations, which may differ
from accounting principles generally accepted in the United States
of America. These "book/tax" differences are considered either
permanent or temporary in nature. In accordance with AICPA
(American Institute of Certified Public Accountants) Statement of
Position 93-2, permanent differences are reclassified within the
capital accounts based on their nature for federal income tax
purposes; temporary differences do not require reclassification.
Dividends and distributions that exceed net investment income and
net realized gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment
income and net realized gains. To the extent distributions exceed
current and accumulated earnings and profits for federal income tax
purposes, they are reported as distributions of paid-in-capital.
These reclassifications have no effect upon the net asset value of
the Fund. For the fiscal year ended October 31, 2000 the following
reclassifications were necessary.
<TABLE>
<CAPTION>
CAPITAL PAID
IN EXCESS UNDISTRIBUTED
OF NET INVESTMENT
FUND PAR VALUE INCOME
---- ------------ --------------
<S> <C> <C>
NorthPointe Small Cap Value.......................... ($3,554) $3,554
</TABLE>
(e) EXPENSES
General expenses of the Trust, not directly attributable to a Fund or to any
class of shares, are charged to the Fund based upon the Fund's relative average
net assets or some other appropriate basis, as approved by the Trust's Board of
Trustees.
Direct expenses of the Fund are applied to the Fund.
179
<PAGE> 180
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
(f) CAPITAL SHARE TRANSACTIONS
Transactions in class level shares of the Fund were as follows:
<TABLE>
<CAPTION>
NORTHPOINTE SMALL CAP VALUE
---------------------------
PERIOD FROM
JUNE 29, 2000 TO
OCTOBER 31, 2000(a)
---------------------------
<S> <C>
CAPITAL TRANSACTIONS:
INSTITUTIONAL SERVICE CLASS:
Proceeds from shares issued............................... $22,814,419
Dividends reinvested...................................... 17,301
Cost of shares redeemed................................... (400,329)
-----------
Change in capital...................................... $22,431,391
===========
SHARE TRANSACTIONS:
INSTITUTIONAL SERVICE CLASS:
Issued.................................................... 2,260,624
Reinvested................................................ 1,653
Redeemed.................................................. (37,982)
-----------
Change in shares....................................... 2,224,295
===========
</TABLE>
---------------
(a) Fund commenced operations on June 29, 2000
2. TRANSACTIONS WITH AFFILIATES
Under the terms of the Investment Advisory Agreement the advisor, Villanova
Mutual Fund Capital Trust ("VMF") manages the investment of the assets and
supervises the daily business affairs of the Fund. VMF also provides investment
management evaluation services in initially selecting and monitoring on an
ongoing basis the performance of the subadviser for the Fund. NorthPointe
Capital, LLC ("NorthPointe"), subadviser for the Fund, manages the Fund's
investments and has the responsibility for making all investment decisions for
that Fund. NorthPointe is a majority owned subsidiary of Villanova Capital,
Inc., which is also the parent of VMF.
Under the terms of the investment advisory agreement, the Funds pay their
respective investment adviser management fees based on each Fund's average daily
net assets. From such fees, pursuant to the sub-advisory agreement, VMF pays to
NorthPointe with respect to the Fund fees. Additional information regarding
investment advisory fees and subadvisory fees is as follows for the period of
June 29, 2000 through October 31, 2000 for the Fund:
<TABLE>
<CAPTION>
TOTAL ADVISORY
ADVISORY FEES SUB-ADVISORY FEE TOTAL FEES PAID TO
FEES RETAINED FEES SCHEDULE FEES RETAINED SUB-ADVISOR
-------- -------- ------------ ------------ ----- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
NorthPointe Small Cap
Value.............. $56,914 $ -- $56,914 All assets 0.85% 0.00% 0.85%
</TABLE>
VMF has entered into Expense Limitation Agreements with the Fund. Pursuant to
the Expense Limitation Agreements, VMF has agreed to waive fees or otherwise
reimburse expenses for the Fund in order to limit the total annual operating
expenses of each class of shares of the Fund at or below stated expense caps.
Fund expenses were limited to 1.00% for Institutional shares.
180
<PAGE> 181
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
During the period ended October 31, 2000, the advisor reduced expenses for the
Funds as follows:
<TABLE>
<CAPTION>
TOTAL FEES
TOTAL FUND FEES OTHER FEES WAIVED/ NET FUND
EXPENSES WAIVED* REIMBURSED REIMBURSED EXPENSES
---------- -------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C>
NorthPointe Small Cap Value.... $117,009 $ 50,052 $ -- $50,052 $66,957
</TABLE>
------------------------------------------------------
* Includes advisory, transfer agent, and fund administrative fees.
VMF may request and receive reimbursement from the Fund of the advisory fees
waived or limited and other expenses reimbursed by VMF pursuant to the Expense
Limitation Agreement when the Fund has reached a sufficient asset size to permit
reimbursement to be made without causing the total annual operating expense
ratio of the Fund to exceed the limits set forth below. No reimbursement will be
made unless: (i) the Fund's assets exceed $100 million; (ii) the total annual
expense ratio of the Class making such reimbursement is less than the limit set
forth below; and (iii) the payment of such reimbursement is approved by the
Board of Trustees on a quarterly basis. Except as provided for in the Expense
Limitation Agreement, reimbursement of amounts previously waived or assumed by
VMF is not permitted. As of October 31, 2000, cumulative potential
reimbursements totaled $50,052.
Under the terms of a Fund Administration Agreement, Villanova SA Capital Trust
("VSA") receives fees from the Funds for providing various administrative and
accounting services. These fees are calculated daily based on the Funds' average
daily net assets and paid monthly. During the period ended October 31, 2000, the
Fund incurred fund administration fees according to the following schedule:
<TABLE>
<CAPTION>
FUND FUND
ADMINISTRATION ADMINISTRATION
FEE* FEE SCHEDULE
-------------- ----------------------------------------
<S> <C> <C> <C>
NorthPointe Small Cap Value......... $24,795 Up to $1 billion 0.05%
On $1 billion and more 0.04%
</TABLE>
------------------------------------------------------
* The Fund Administration fee is subject to a minimum of $75,000 per year.
Nationwide Investors Services, Inc. ("NISI"), a subsidiary of VSA, serves as
Transfer and Dividend Disbursing Agent for the Funds. For these services, NISI
receives fees at 0.01% of the average daily net assets for the Institutional
Service Class shares.
3. BANK LOANS
NMF currently has an unsecured bank line of credit of $50,000,000. Borrowings
under these arrangements bear interest at the Federal Funds rate plus .50%.
These interest costs are included in custodian fees in the Statements of
Operations. No compensating balances are required under the terms of the line of
credit. There were no borrowings outstanding for the Fund during the period
ended October 31, 2000.
4. INVESTMENT TRANSACTIONS
Purchases and sales of securities (excluding U.S. Government and short-term
securities) for the period ended October 31, 2000, are summarized below. There
were no purchases or sales of U.S. Government Securities.
<TABLE>
<CAPTION>
PURCHASES SALES
----------- ----------
<S> <C> <C>
NorthPointe Small Cap Value................................. $29,967,517 $8,976,284
</TABLE>
181
<PAGE> 182
NATIONWIDE(R) MUTUAL FUNDS
NORTHPOINTE SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
Realized gains and losses have been computed on the first-in, first-out basis
unless otherwise specified by the Advisor or Subadvisor. Cost for financial
reporting purposes may differ from cost for federal income tax purposes by the
amount of losses recognized for financial reporting in excess of federal income
tax reporting. Included in net unrealized appreciation for federal income tax
purposes at October 31, 2000, the following:
<TABLE>
<CAPTION>
GROSS GROSS NET
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION (DEPRECIATION) APPRECIATION
------------ -------------- --------------
<S> <C> <C> <C>
NorthPointe Small Cap Value.................. $2,456,280 $1,013,458 $1,442,822
</TABLE>
5. FEDERAL INCOME TAX INFORMATION (UNAUDITED)
For corporate shareholders, 100% of the Funds income dividends and short-term
capital gain distributions in the fiscal year ended October 31, 2000, qualify
for the dividend received deductions available to certain corporate
shareholders.
6. SUBSEQUENT EVENT
At a regular quarterly meeting of the Board of Trustees on December 14 and 15,
2000, the Board the considered and approved the following transactions:
Approved the change in the principal underwriter of Nationwide Mutual Funds from
Nationwide Advisory Services, Inc. to Villanova Distribution Services, Inc. This
change will occur as soon as practicable after all necessary regulatory
approvals are received.
End of Notes to the Financial Statements.
182
<PAGE> 183
INDEPENDENT AUDITORS' REPORT
THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
NATIONWIDE MUTUAL FUNDS:
We have audited the accompanying statement of assets and liabilities of
Nationwide Mutual Funds-Northpointe Small Cap Value Fund (the Fund), including
the statement of investments, as of October 31, 2000, and the related statement
of operations, statement of changes in net assets and the financial highlights
for the period June 29, 2000 (commencement of operations) to October 31, 2000.
These financial statements and the 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 audit.
We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. 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. Our procedures included confirmation of
securities owned as of October 31, 2000, by confirmation with the custodian,
correspondence with brokers and other appropriate audit procedures. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audit provides 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 as of October 31, 2000, the results of its operations, the changes in its
net assets and the financial highlights for the period June 29, 2000 to October
31, 2000, in conformity with accounting principles generally accepted in the
United States of America.
KPMG LLP
Columbus, Ohio
December 18, 2000
183
<PAGE> 184
NATIONWIDE(R) MUTUAL FUNDS
SHAREHOLDER MEETING
OCTOBER 31, 2000
--------------------------------------------------------------------------------
SHAREHOLDER MEETING (UNAUDITED)
At the Annual Meeting of Shareholders of Nationwide Mutual Funds held on July
26, 2000 shareholders acted upon and approved the following matters:
PROPOSAL 1
ELECTION OF TWELVE TRUSTEES
<TABLE>
<CAPTION>
WITHHOLD AUTHORITY
NAME FOR TO VOTE FOR
---- ------------- -------------------
<S> <C> <C>
Charles E. Allen............................................ 1,210,772,374 27,409,050
Paula H. J. Cholmondeley.................................... 1,210,595,553 27,585,870
C. Brent DeVore............................................. 1,210,760,725 27,420,699
Robert M. Duncan............................................ 1,210,511,422 27,670,001
Joseph J. Gasper............................................ 1,208,526,105 29,655,318
Barbara Hennigar............................................ 1,210,762,798 27,418,626
Paul J. Hondros............................................. 1,210,374,609 27,806,815
Thomas J. Kerr IV........................................... 1,210,723,620 27,457,804
Douglas F. Kridler.......................................... 1,210,285,022 27,896,402
Dimon R. McFerson........................................... 1,207,073,052 31,108,372
Arden L. Shisler............................................ 1,210,645,041 27,536,382
David C. Wetmore............................................ 1,211,159,071 27,022,352
</TABLE>
PROPOSAL 2
RATIFICATION OF BOARD OF TRUSTEES' SELECTION OF
KPMG LLP AS TRUST'S AUDITORS FOR
THE FISCAL YEAR ENDING OCTOBER 31, 2000
<TABLE>
<CAPTION>
SERIES FOR AGAINST ABSTAIN TOTAL
------ ------------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Mid Cap Growth Fund.................... 392,953 6,553 56,343 455,849
Growth Fund............................ 29,420,887 1,083,286 1,765,968 32,270,141
Nationwide Fund........................ 41,708,118 652,212 1,616,954 43,977,284
Bond Fund.............................. 7,055,764 37,856 326,750 7,420,370
Tax-Free Income Fund................... 10,875,825 151,369 764,561 11,791,755
Long-Term U.S. Government Bond Fund.... 1,504,410 3,959 112,030 1,620,399
Intermediate U.S. Government Bond
Fund................................. 8,570,166 41,535 158,603 8,770,304
Money Market Fund...................... 1,032,957,631 22,226,133 38,225,984 1,093,409,748
S&P 500 Index Fund..................... 14,589,716 178,031 620,230 15,387,977
Morley Capital Accumulation Fund....... 1,058,429 -- -- 1,058,429
Morley Enhanced Income Fund............ 1,109,538 -- -- 1,109,538
Value Opportunities Fund............... 106,180 -- 785 106,965
High Yield Bond Fund................... 10,485,743 -- -- 10,485,743
Prestige Large Cap Value Fund.......... 2,796,280 7,171 8,362 2,811,813
Prestige Large Cap Growth Fund......... 2,875,424 1,973 19,391 2,896,788
Prestige Small Cap Fund................ 1,953,699 3,087 7,408 1,964,194
Prestige Balanced Fund................. 729,593 62 26,853 756,508
Prestige International Fund............ 1,346,839 -- 3,588 1,350,427
Small Cap Index Fund................... 2,453 -- -- 2,453
</TABLE>
184
<PAGE> 185
NATIONWIDE(R) MUTUAL FUNDS
SHAREHOLDER MEETING -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
PROPOSAL 2 (CONTINUED)
<TABLE>
<CAPTION>
SERIES FOR AGAINST ABSTAIN TOTAL
------ ------------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
International Index Fund............... 12,881 -- 998 13,879
Bond Index Fund........................ 4,777 -- -- 4,777
Mid Cap Market Index Fund.............. 501,087 -- -- 501,087
Investor Destinations Aggressive
Fund................................. 3,000 -- -- 3,000
Investor Destinations Moderately
Aggressive Fund...................... 3,000 -- -- 3,000
Investor Destinations Moderate Fund.... 3,000 -- -- 3,000
Investor Destinations Moderately
Conservative Fund.................... 3,000 -- -- 3,000
Investor Destinations Conservative
Fund................................. 3,000 -- -- 3,000
------------- ---------- ---------- -------------
All twenty-seven Funds................. 1,170,073,393 24,393,227 43,714,808 1,238,181,428
</TABLE>
PROPOSAL 3
AMEND FUNDS' FUNDAMENTAL INVESTMENT POLICY
REGARDING MAKING LOANS
<TABLE>
<CAPTION>
SERIES FOR AGAINST ABSTAIN TOTAL
------ ----------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Morley Capital Accumulation Fund......... 1,058,429 -- -- 1,058,429
Small Cap Index Fund..................... 2,453 -- -- 2,453
International Index Fund................. 12,679 202 998 13,879
Bond Index Fund.......................... 4,777 -- -- 4,777
Mid Cap Market Index Fund................ 501,087 -- -- 501,087
Investor Destinations Aggressive Fund.... 3,000 -- -- 3,000
Investor Destinations Moderately
Aggressive Fund........................ 3,000 -- -- 3,000
Investor Destinations Moderate Fund...... 3,000 -- -- 3,000
Investor Destinations Moderately
Conservative Fund...................... 3,000 -- -- 3,000
Investor Destinations Conservative
Fund................................... 3,000 -- -- 3,000
</TABLE>
PROPOSAL 4
AMEND FUNDS' FUNDAMENTAL INVESTMENT POLICY
REGARDING COMMODITIES AND COMMODITIES CONTRACTS
<TABLE>
<CAPTION>
SERIES FOR AGAINST ABSTAIN TOTAL
------ ----------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Morley Capital Accumulation Fund......... 1,058,429 -- -- 1,058,429
Small Cap Index Fund..................... 2,453 -- -- 2,453
International Index Fund................. 12,679 202 998 13,879
Bond Index Fund.......................... 4,777 -- -- 4,777
Mid Cap Market Index Fund................ 501,087 -- -- 501,087
Investor Destinations Aggressive Fund.... 3,000 -- -- 3,000
Investor Destinations Moderately
Aggressive Fund........................ 3,000 -- -- 3,000
Investor Destinations Moderate Fund...... 3,000 -- -- 3,000
</TABLE>
185
<PAGE> 186
NATIONWIDE(R) MUTUAL FUNDS
SHAREHOLDER MEETING -- (CONTINUED)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
PROPOSAL 4 (CONTINUED)
<TABLE>
<CAPTION>
SERIES FOR AGAINST ABSTAIN TOTAL
------ ----------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Investor Destinations Moderately
Conservative Fund...................... 3,000 -- -- 3,000
Investor Destinations Conservative
Fund................................... 3,000 -- -- 3,000
</TABLE>
PROPOSAL 5
AMEND FUNDS' FUNDAMENTAL INVESTMENT POLICY
REGARDING REAL ESTATE
<TABLE>
<CAPTION>
SERIES FOR AGAINST ABSTAIN TOTAL
------ ----------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Morley Capital Accumulation Fund......... 1,058,429 -- -- 1,058,429
Small Cap Index Fund..................... 2,453 -- -- 2,453
International Index Fund................. 12,679 202 998 13,879
Bond Index Fund.......................... 4,777 -- -- 4,777
Mid Cap Market Index Fund................ 501,087 -- -- 501,087
</TABLE>
At such Annual Meeting, shareholders of the other Funds of the Trust voted upon
these and other proposals. Results of such voting are not reported here in their
entirety to the extent they do not directly affect the Funds. However, for more
information about the results of the Annual Meeting, interested shareholders
should contact the Trust.
186
