E*TRADE S&P 500 Index Fund
Statement of Assets and Liabilities
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
ASSETS
Investments:
Investment in Master Investment Portfolio -
S&P 500 Index Master Portfolio, at market value .......... $ 27,125,959
---------------
Total Assets ............................................. 27,125,959
---------------
LIABILITIES
Payables:
Accrued administration fee....................................... 4,758
Accrued advisory expense ........................................ 381
Distribution to shareholders .................................... 53,853
---------------
Total Liabilities ........................................ 58,992
---------------
TOTAL NET ASSETS ................................................ $ 27,066,967
===============
Shares Outstanding ............................................. 2,445,089
===============
Net Asset Value, Offering Price and Redemption Price per Share .. $ 11.07
===============
Net assets consist of:
Paid-in capital ................................................. 25,894,053
Undistributed net investment income ............................. 5,076
Undistributed net realized gain on investments .................. 134,455
Net unrealized appreciation on investments ...................... 1,033,383
===============
TOTAL NET ASSETS ................................................ $ 27,066,967
===============
<PAGE>
E*TRADE S&P 500 Index Fund
Statement of Operations
Period from February 17, 1999 (commencement of operations) through June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME:
INVESTMENT INCOME AND EXPENSES FROM MASTER INVESTMENT PROTFOLIO -
S&P 500 INDEX MASTER PORTFOLIO
Dividends ............................................ $ 65,416
Interest ............................................. 12,923
Expenses (Note 2)..................................... (2,536)
Net Investment Income from Master Investment Portfolio -
---------------
S&P 500 Index Master Portfolio ............................ 75,802
---------------
EXPENSES (NOTE 2):
Advisory fees.................................................... 1,006
Administration .................................................. 12,574
---------------
Total expenses ....................................... 13,580
---------------
NET INVESTMENT INCOME ........................................... 62,222
---------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS ALLOCATED FROM
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
Net realized gain on sale of investments ........................ 134,455
Net unrealized appreciation of investments ...................... 1,033,383
---------------
Net Gain on Investments from
Master Investment Portfolio - S&P 500 Index Master Portfolio 1,167,838
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................................ $ 1,230,060
===============
<PAGE>
E*TRADE S&P 500 Index Fund
Statement of Changes in Net Assets
- ------------------------------------------------------------------------
Period from
February 17, 1999*
through
June 30, 1999
(Unaudited)
------------------
INCREASE IN NET ASSETS
Operations:
Net investment income ........................................... $ 62,222
Net realized gain on sale of investments ........................ 134,455
Net unrealized appreciation of investments ...................... 1,033,383
---------------
Net increase in net assets resulting from operations ............ 1,230,060
---------------
Dividends and Distributions to Shareholders from:
Net investment income ........................................... (57,146)
Net realized gain on sale of investments ........................ -
---------------
Total dividends and distributions to shareholders ............... (57,146)
---------------
Transactions in Shares of Common Stock:
Net proceeds from sale of shares ................................ 27,992,169
Net asset value of shares issued to shareholders in reinvestment
of dividends
and distributions ......................................... 2,809
Cost of shares redeemed ......................................... (2,100,925)
---------------
Net increase in net assets from transactions in shares of
common stock ................................................. 25,894,053
---------------
Net Increase in Net Assets ...................................... 27,066,967
NET ASSETS:
Beginning of period ............................................. -
---------------
End of period (including undistributed net investment income
of $5,076).................................................... $ 27,066,967
===============
<PAGE>
E*TRADE S&P 500 Index Fund
Financial Highlights
- --------------------------------------------------------------------------------
Period from
February 17, 1999*
through
June 30, 1999
(Unaudited)
------------------
For a Share Outstanding for the Period
Net Asset Value, beginning of period ............................ $ 10.00
---------------
Income from investment operations:
Net investment income ..................................... 0.03
Net realized and unrealized gain on investments ........... 1.07
---------------
Total income from investment operations ................... 1.10
---------------
Less dividends and distributions to shareholders:
Dividends from net investment income ...................... (0.03)
Distributions from net realized gains ..................... -
---------------
---------------
Total dividends and distributions ......................... (0.03)
---------------
Net asset value, end of period .................................. $ 11.07
===============
Total return .................................................... 10.97%(1)
Ratios / Supplemental Data:
Net assets, end of period (000s omitted) .................. $ 27,067
Ratio of expenses to average net assets .................. 0.32%(2)
Ratio of net investment income to average net assets....... 1.22%(2)
- -----------
* Commencement of operations.
(1) Not annualized.
(2) Annualized.
<PAGE>
S&P 500 Index Master Portfolio
Statement of Assets and Liabilities
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
ASSETS
Investments:
In securities, at market value (Cost $2,953,142,707).............$ 4,464,160,100
Receivables:
Investments sold ................................................ 23,089,562
Dividends and interest receivable ............................... 3,887,706
Variation margin on futures contracts............................ 3,562,497
---------------
Total Assets ............................................ 4,494,699,865
---------------
LIABILITIES
Payables:
Investment securities purchased ................................. 24,522,875
Collateral for securities loaned ................................ 45,893,935
Due to BGI ...................................................... 498,157
---------------
Total Liabilities ........................................ 70,914,967
---------------
TOTAL NET ASSETS ................................................$ 4,423,784,898
===============
<PAGE>
S&P 500 Index Master Portfolio
Statement of Operations
Period from March 1, 1999 through June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME:
Dividends ......................................................$ 17,734,367
Interest ....................................................... 3,786,695
---------------
Total Investment Income ................................... 21,521,062
EXPENSES:
Advisory fees .................................................. 703,881
---------------
Total Expenses ............................................ 703,881
---------------
NET INVESTMENT INCOME .......................................... 20,817,181
---------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on sale of investments ....................... 24,323,544
Net realized gain on sale of futures contracts ................. 14,661,345
Net change in unrealized appreciation of investments ........... 368,672,519
Net change in unrealized appreciation of future contracts ...... 8,658,007
---------------
Net Gain on Investments ........................................ 416,315,415
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................................$ 437,132,596
===============
<PAGE>
S&P 500 Index Master Portfolio
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Period from
March 1, 1999
through For the
June 30, 1999 Year Ended
(Unaudited) February 28, 1999
------------- -----------------
INCREASE IN NET ASSETS:
Operations:
Net investment income ................. $20,817,181 $43,674,276
Net realized gain on sale of
investments ........................ 24,323,544 143,991,139
Net realized gain on sale of
futures contracts .................. 14,661,345 37,982,701
Net change in unrealized appreciation
of investments ..................... 368,672,519 265,023,900
Net change in unrealized appreciation
(depreciation) of future contracts.. 8,658,007 (14,225,550)
------------- ---------------
Net increase in net assets resulting from
operations ............................... 437,132,596 476,446,466
------------- ---------------
Net increase in net assets resulting from ------------- ---------------
beneficial interest transactions ...... 299,559,524 856,583,098
Increase in Net Assets....................... 736,692,120 1,333,029,564
NET ASSETS:
Beginning of period..........................3,687,092,778 2,354,063,214
============= ===============
End of period ..............................$4,423,784,898 $ 3,687,092,778
============= ===============
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
COMMON STOCKS-- 95.56%
ADVERTISING-- 0.12%
Omnicom Group
Shares Value
66,266 $5,301,280
-----------
TOTAL ADVERTISING
- VALUE $5,301,280
- COST $3,249,848
AEROSPACE & DEFENSE-- 1.41%
Allied Signal, Inc.. 210,351 $13,252,113
Boeing Company 364,814 16,120,219
Briggs & Stratton Corporation 8,896 513,744
General Dynamics Corporation 47,742 3,270,327
Lockheed Martin Corporation 147,487 5,493,891
Northrop Grumman Corporation 25,622 1,699,059
Rockwell International Corporation 71,838 4,364,159
Textron, Inc. 59,645 4,909,529
United Technologies Corporation 180,299 12,925,185
-----------
TOTAL AEROSPACE & DEFENSE
- VALUE 62,548,226
- COST $43,519,466
AIRLINES-- 0.42%
AMR Corporation+ 62,277 $4,250,405
Delta Air Lines, Inc. 53,720 3,095,615
FDX Corporation+ 110,773 6,009,435
Southwest Airlines Company 125,880 3,918,015
USAirways Group, Inc.+ 32,988 1,437,040
-----------
TOTAL AIRLINES
- VALUE $18,710,510
- COST $12,752,079
APPAREL-- 0.23%
Liz Claiborne, Inc. 24,456 $892,644
Nike, Inc. Class B 107,581 6,811,222
Reebok International Ltd.+ 21,374 398,091
Russell Corporation 13,849 270,056
VF Corporation 45,079 1,927,127
-----------
TOTAL APPAREL
- VALUE $10,299,140
- COST $7,728,276
AUTO PARTS & EQUIPMENT-- 0.72%
Cooper Tire & Rubber Company 28,668 $677,282
Dana Corporation 62,225 2,866,239
Delphi Automotive Systems 208,453 3,869,502
Corporation+
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Deluxe Corporation 30,375 $1,182,727
Eaton Corporation 26,893 2,474,156
Genuine Parts Company 67,653 2,367,855
Goodyear Tire & Rubber Company 58,559 3,444,001
Illinois Tool Works, Inc. 93,904 7,700,128
ITT Industries, Inc. 39,027 1,487,904
Navistar International Corporation+ 25,255 1,262,750
PACCAR, Inc. 29,490 1,574,029
The Pep Boys - Manny Moe & Jack 20,046 433,495
TRW, Inc. 45,007 2,469,759
-----------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $31,809,827
- COST $20,893,339
AUTOMOBILES-- 0.95%
Ford Motor Company 454,189 $25,633,292
General Motors Corporation Class A 245,659 16,213,494
-----------
TOTAL AUTOMOBILES
- VALUE $41,846,786
- COST $31,145,444
BANK & FINANCE-- 11.80%
American Express Corporation 169,708 $22,083,254
Amsouth Bancorp 62,908 1,458,679
Associates First Capital Corporation 272,026 12,054,152
Bank of America Corporation 655,541 48,059,350
Bank of New York, Inc. 285,685 10,481,068
Bank One Corporation 443,092 26,391,667
BankBoston Corporation 110,398 5,644,098
BB&T Corporation 116,089 4,259,015
Bear Stearns Company, Inc. 44,342 2,072,989
Capital One Financial Corporation 73,954 4,118,313
Chase Manhattan 317,447 27,498,846
Citigroup, Inc. 1,273,050 60,469,876
Comerica, Inc. 58,426 3,472,695
Countrywide Credit Industries, Inc. 41,802 1,787,036
Equifax, Inc. 55,462 1,979,300
Federal Home Loan Mortgage Corporation 260,167 15,089,686
Federal National Mortgage Association 388,968 26,595,687
Fifth Third Bancorp 100,017 6,657,382
First Union Corporation 369,714 17,376,558
Firstar Corporation 259,023 7,252,644
Fleet Financial Group, Inc. 213,546 9,476,104
Franklin Resources, Inc. 95,233 3,868,841
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Golden West Financial 21,404 $2,097,592
Household International, Inc. 180,869 8,568,669
Huntington Bancshares, Inc. 79,326 2,776,410
Keycorp 170,513 5,477,730
Lehman Brothers Holdings 43,658 2,717,711
MBNA Corporation 300,604 9,205,998
Mellon Bank Corporation 196,234 7,138,012
Mercantile Bancorp 58,688 3,352,552
Merrill Lynch & Company, Inc. 137,388 10,982,453
MGIC Investment Corporation 41,148 2,000,822
Morgan (J P) & Company, Inc. 66,208 9,302,224
Morgan Stanley Dean Witter 216,900 22,232,250
National City Corporation 122,753 8,040,322
Northern Trust Corporation 41,758 4,050,526
Paine Webber Group, Inc. 53,100 2,482,425
PNC Bank Corporation 113,003 6,511,798
Regions Financial Corporation 82,699 3,178,743
Republic New York Corporation 40,408 2,755,321
Ryder System, Inc. 27,115 704,990
Schwab (Charles) Corporation 152,829 16,792,086
SLM Holding Corporation 62,339 2,855,905
State Street Boston Corporation 60,416 5,158,016
Summit Bancorp 65,195 2,725,966
SunTrust Banks, Inc. 119,863 8,322,987
Synovus Financial Corporation 99,789 1,983,306
U.S. Bancorp 272,663 9,270,542
Union Planters Corporation 51,833 2,316,287
Wachovia Corporation 76,124 6,513,360
Washington Mutual, Inc. 222,834 7,882,753
Wells Fargo & Company 620,240 26,515,260
----------
TOTAL BANK & FINANCE
- VALUE $522,060,256
- COST $348,660,186
BASIC INDUSTRIES-- 1.34%
Alcoa, Inc. 138,083 $8,543,886
ASARCO, Inc. 15,193 285,818
Avery-Dennison Corporation 43,786 2,643,580
Baker Hughes, Inc. 121,798 4,080,233
Bemis Company 19,727 784,148
Boise Cascade Corporation 21,261 914,223
Champion International Corporation 36,057 1,726,229
Cyprus Amax Minerals 34,729 527,447
Dover Corporation 83,902 2,936,570
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Fort James Corporation 82,919 $3,140,557
Georgia-Pacific Corporation 66,480 3,149,490
Homestake Mining Company 88,328 723,186
Ikon Office Solutions, Inc. 51,859 777,885
Inco Ltd. 67,703 1,218,654
Louisiana-Pacific Corporation 40,990 973,513
Mead Corporation 38,793 1,619,608
Minnesota Mining & Manufacturing Company 150,766 13,107,219
NACCO Industries, Inc. Class A 2,916 214,326
Newmont Mining Corporation 61,812 1,228,514
Potlatch Corporation 10,970 481,994
Sealed Air Corporation+ 31,249 2,027,279
Westvaco Corporation 38,385 1,113,165
Weyerhauser Company 74,653 5,132,394
Willamette Industries, Inc. 41,721 1,921,774
----------
TOTAL BASIC INDUSTRIES
- VALUE $59,271,692
- COST $47,174,375
BEVERAGES-- 2.39%
Anheuser-Busch, Inc. 179,453 $12,729,947
Coca-Cola Company 927,424 57,964,000
Coca-Cola Enterprises Company 157,294 4,836,791
Coors (Adolph) Company Class B 13,872 686,664
Diageo PLC ADR (UK) 17 731
Pepsico, Inc. 553,763 21,423,706
Seagrams Company Ltd. 159,552 8,037,432
----------
TOTAL BEVERAGES
- VALUE $105,679,271
- COST $81,850,767
BROADCASTING-- 0.95%
Clear Channel Communications, Inc.+ 123,823 $8,536,048
Kingworld Productions+ 27,655 962,740
MediaOne Group, Inc.+ 227,859 16,947,013
Tribune Company 44,665 3,891,438
Viacom, Inc. Class B+ 261,205 11,493,020
-----------
OTAL BROADCASTING
- VALUE $41,830,259
- COST $22,797,308
BUILDING MATERIALS & SERVICES-- 0.45%
Cooper Industries, Inc. 38,960 $2,025,920
Corning, Inc. 90,590 6,352,624
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Danaher Corporation 49,895 $2,900,147
Owens Corning Fiberglass Corporation 20,214 694,856
Owens Illinois, Inc.+ 58,402 1,909,015
PPG Industries, Inc. 66,706 3,939,823
Snap-On, Inc. 22,510 814,581
Stanley Works 33,628 1,082,401
----------
TOTAL BUILDING MATERIALS & SERVICES
- VALUE $19,719,367
- COST $15,466,960
BUSINESS SERVICES-- 0.31%
Cendant Corporation+ 304,427 $6,240,754
Dun & Bradstreet Corporation 62,820 2,226,184
Ecolab, Inc. 48,621 2,121,091
Paychex, Inc. 92,344 2,943,465
----------
TOTAL BUSINESS SERVICES
- VALUE $13,531,494
- COST $12,577,890
CHEMICALS-- 1.73%
Air Products & Chemicals, Inc. 87,040 $ 3,503,360
Clorox Company 43,611 4,658,200
Dow Chemical Company 83,117 10,545,469
Du Pont (E I) De Nemours 423,370 28,921,463
Eastman Chemical Company 29,702 1,537,079
FMC Corporation+ 12,561 858,073
Goodrich (B F) Company 27,461 1,167,093
Grace (W R) Company+ 28,052 515,456
Great Lakes Chemical Corporation 22,386 1,031,155
Hercules, Inc. 37,165 1,461,049
International Flavor & Fragrances 40,024 1,776,065
Monsanto Company 235,662 9,293,920
Nalco Chemical Company 24,795 1,286,241
Praxair, Inc. 59,412 2,907,475
Rohm & Haas Company 78,326 3,358,229
Sigma-Aldrich Corporation 38,048 1,310,278
Union Carbide Corporation 50,069 2,440,864
----------
TOTAL CHEMICALS
- VALUE $76,571,469
- COST $57,436,233
COMPUTER SOFTWARE-- 7.45%
3Com Corporation+ 134,720 $3,595,308
Adobe Systems, Inc. 24,729 2,031,643
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
America Online, Inc. 408,150 $45,100,575
Autodesk, Inc. 19,476 575,759
Automatic Data Processing 230,963 10,162,372
BMC Software, Inc.+ 87,237 4,710,798
Ceridian Corporation+ 53,845 1,760,058
Computer Associates International, 202,242 11,123,310
Inc.
Computer Sciences Corporation 59,363 4,107,178
Compuware Corporation+ 137,563 4,376,223
Electronic Data Systems Corporation 185,158 10,472,999
First Data Corporation 166,349 8,140,704
IMS Health, Inc. 120,385 3,762,031
Microsoft Corporation+ 1,919,845 173,146,021
Novell, Inc.+ 132,181 3,502,797
Oracle Systems Corporation+ 547,029 20,308,452
Parametric Technology Corporation+ 101,015 1,401,583
Peoplesoft, Inc.+ 87,166 1,503,614
Sun Microsystems, Inc.+ 290,009 19,974,370
-----------
TOTAL COMPUTER SOFTWARE
- VALUE $329,755,795
- COST $180,582,468
COMPUTER SYSTEMS-- 6.60%
Apple Computer, Inc.+ 58,065 $2,689,135
Cabletron Systems, Inc.+ 60,348 784,524
Cisco Systems, Inc.+ 1,200,958 77,461,791
Compaq Computer Corporation 638,026 15,113,241
Data General Corporation+ 18,545 270,062
Dell Computer Corporation+ 955,839 35,366,043
EMC Corporation+ 379,486 20,871,730
Gateway, Inc.+ 58,646 3,460,114
Harris Corporation 30,229 1,184,599
Hewlett-Packard Company 383,460 38,537,730
International Business Machine 682,440 88,205,370
Corporation
Seagate Technology, Inc.+ 92,082 2,359,601
Shared Medical System Corporation 9,969 650,477
Silicon Graphics, Inc.+ 70,496 1,154,372
Unisys Corporation+ 99,376 3,869,453
-----------
TOTAL COMPUTER SYSTEMS
- VALUE $291,978,242
- COST $132,071,622
CONTAINER & PACKAGING-- 0.30%
Ball Corporation 11,348 $479,453
Crown Cork & Seal Company 46,096 1,313,736
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
International Paper Company 153,806 $7,767,203
Temple-Inland, Inc. 21,013 1,434,137
Tenneco, Inc. 64,115 1,530,746
Tupperware Corporation 21,821 556,436
----------
TOTAL CONTAINER & PACKAGING
- VALUE $13,081,711
- COST $12,914,857
ELECTRICAL EQUIPMENT-- 3.81%
General Electric Company 1,230,599 $139,057,687
Grainger (W W), Inc. 35,843 1,928,801
Masco Corporation 127,725 3,688,059
Motorola, Inc. 226,064 21,419,564
National Service Industries, Inc. 15,836 570,096
Raychem Corporation 29,907 1,106,559
Thomas & Betts Corporation 21,002 992,345
----------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $168,763,111
- COST $94,311,502
ELECTRONICS-- 4.22%
Advanced Micro Devices+ 53,774 $971,293
Applied Materials, Inc.+ 139,236 10,286,060
CBS Corporation 266,099 11,558,675
EG&G, Inc. 17,016 606,195
Emerson Electric Company 165,454 10,402,920
General Instrument Corporation+ 63,040 2,679,200
Honeywell, Inc. 47,482 5,501,977
Intel Corporation 1,248,657 74,295,092
Johnson Controls, Inc. 31,873 2,209,197
KLA Instruments Corporation+ 32,577 2,113,433
LSI Logic Corporation+ 53,358 2,461,138
Micron Technology, Inc.+ 92,169 3,715,547
National Semiconductor+ 62,316 1,577,374
Pitney Bowes, Inc. 102,377 6,577,722
Raytheon Company Class B 126,632 8,911,727
Solectron Corporation+ 93,783 6,254,154
Tektronix, Inc. 17,968 542,409
Texas Instruments, Inc. 146,959 21,309,055
Xerox Corporation 247,524 14,619,386
----------
TOTAL ELECTRONICS
- VALUE $186,592,554
- COST $107,998,185
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
ENERGY & RELATED-- 6.16%
Amerada Hess Corporation 34,039 $2,025,321
Anadarko Petroleum Corporation 45,361 1,669,852
Apache Corporation 39,912 1,556,568
Ashland, Inc. 28,639 1,149,140
Atlantic Richfield Corporation 120,707 10,086,579
Burlington Resources, Inc. 66,714 2,885,381
Chevron Corporation 245,715 23,388,997
Coastal Corporation 79,931 3,197,240
Columbia Gas System, Inc. 31,378 1,967,008
Consolidated Natural Gas Company 36,097 2,192,893
Eastern Enterprises 8,114 322,532
Enron Corporation 132,151 10,803,344
Exxon Corporation 912,599 70,384,198
Halliburton Company 165,315 7,480,504
Helmerich & Payne, Inc. 19,093 454,652
Kerr-McGee Corporation 31,658 1,588,836
Mobil Corporation 293,678 29,074,122
NICOR, Inc. 17,984 684,516
Occidental Petroleum Corporation 130,243 2,751,383
ONEOK, Inc. 11,794 374,460
Peoples Energy Corporation 13,514 509,309
Phillips Petroleum Company 95,721 4,815,963
Rowan Company, Inc.+ 32,034 590,627
Royal Dutch Petroleum Corporation 805,644 48,540,051
Schlumberger Ltd. 205,005 13,056,256
Sonat Offshore Drilling Company 41,330 1,369,056
Sunoco, Inc. 35,303 1,065,709
Texaco, Inc. 200,843 12,552,688
Union Pacific Resources Group 94,981 1,549,378
Unocal Corporation 90,894 3,601,675
USX - Marathon Group 114,913 3,741,855
Williams Company, Inc. 161,009 6,852,946
-----------
TOTAL ENERGY & RELATED
- VALUE $272,283,039
- COST $190,210,375
ENGINEERING & CONSTRUCTION--0.11%
Armstrong World Industries, Inc. 14,991 $866,667
Centex Corporation 22,496 845,006
Fleetwood Enterprises, Inc. 13,229 349,742
Fluor Corporation 28,558 1,156,613
Foster Wheeler Corporation 15,385 217,313
Kaufman & Broad Home Corporation 17,299 430,313
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Pulte Corporation 16,487 $380,231
----------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $4,245,885
- COST $4,375,367
ENTERTAINMENT & LEISURE-- 1.50%
Brunswick Corporation 36,228 $1,009,856
Disney (Walt) Company 772,332 3,797,572
Harrah's Entertainment, Inc.+ 46,322 1,019,084
Hasbro, Inc. 73,877 2,063,939
Mattel, Inc. 153,745 4,064,633
Mirage Resorts, Inc.+ 70,396 1,179,133
Polaroid Corporation 16,861 465,785
Time Warner, Inc. 451,554 33,189,219
----------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $66,789,221
- COST $46,104,153
ENVIRONMENTAL CONTROL-- 0.34%
Browning-Ferris Industries, Inc. 65,117 $2,800,031
Waste Management, Inc. 227,848 12,246,830
----------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $15,046,861
- COST $13,259,791
FOOD & RELATED-- 3.26%
Albertson's, Inc. 157,185 $8,104,826
Archer-Daniels-Midland Company 223,077 3,443,751
Bestfoods 107,325 5,312,588
Brown-Forman Corporation Class B 25,912 1,689,139
Campbell Soup Company 168,302 7,805,005
ConAgra, Inc. 183,914 4,896,710
Darden Restaurants, Inc. 52,455 1,144,175
General Mills, Inc. 57,571 4,627,269
Great Atlantic & Pacific Tea Company 14,302 483,586
Heinz (H J) Company 136,011 6,817,551
Hershey Foods Corporation 53,828 3,196,038
Kellogg Company 152,289 5,025,537
Kroger Company+ 307,854 8,600,671
McDonald's Corporation 509,071 21,030,996
Nabisco Group Holdings Corporation 122,108 2,388,738
Pioneer Hi Bred International, Inc. 90,887 3,538,913
Quaker Oats Company 51,319 3,406,299
Ralston-Purina Group 119,934 3,650,491
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Safeway, Inc.+ 185,242 $9,169,479
Sara Lee Corporation 343,167 7,785,601
Super Value, Inc. 45,332 1,164,466
Sysco Corporation 125,584 3,743,973
Tricon Global Restaurants+ 57,477 3,110,943
Unilever NV 214,587 14,967,443
UST, Inc. 69,747 2,040,100
Wendy's International, Inc. 47,036 1,331,707
Winn-Dixie Stores, Inc. 55,895 2,064,622
Wrigley (W M) Jr Company 43,721 3,934,890
----------
TOTAL FOOD & RELATED
- VALUE $144,475,507
- COST $115,994,096
FURNITURE & APPLIANCES-- 0.21%
Maytag Corporation 33,886 $2,361,431
Newell Rubbermaid, Inc. 105,184 4,891,056
Whirlpool Corporation 28,588 2,115,512
----------
TOTAL FURNITURE & APPLIANCES
- VALUE $9,367,999
- COST $6,437,074
HEALTHCARE-- 0.42%
Cardinal Health, Inc. 101,261 $6,493,362
HCR Manor Care, Inc.+ 41,334 999,766
Healthsouth Corporation+ 159,255 2,378,872
McKesson HBOC, Inc. 101,935 3,274,662
St Jude Medical, Inc.+ 31,476 1,121,333
United Healthcare Corporation 69,855 4,374,669
----------
TOTAL HEALTHCARE
- VALUE $18,642,664
- COST $22,139,309
HOSPITAL & MEDICAL SUPPLIES--2.32%
Bard (C R), Inc. 20,280 $969,638
Bausch & Lomb, Inc. 21,028 1,608,642
Baxter International, Inc. 108,411 6,572,417
Becton Dickinson & Company 92,570 2,777,100
Biomet, Inc. 42,412 1,685,877
Boston Scientific Corporation+ 147,718 6,490,360
Columbia/HCA Healthcare Corporation 226,785 5,173,533
Guidant Corporation 113,120 5,818,610
Johnson & Johnson 505,381 49,527,338
Mallinckrodt Group, Inc. 26,842 976,378
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Medtronic, Inc. 218,804 $17,039,362
PE Corporation-Celera Genomics Group+ 1 8
PE Corporation-PE Biosystems Group 18,576 2,131,596
Tenet Healthcare Corporation+ 116,117 2,155,422
----------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $102,926,281
- COST $66,945,104
HOUSEHOLD PRODUCTS-- 2.04%
Alberto-Culver Company Class B 20,993 $558,939
Avon Products, Inc. 98,636 5,474,298
Colgate-Palmolive Company 109,962 10,858,748
Gillette Company 416,330 17,069,530
Kimberly-Clark Corporation 203,607 11,605,599
Procter & Gamble Company 499,038 44,539,142
----------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $90,106,256
- COST $64,050,310
INSURANCE-- 3.51%
Aetna, Inc. 53,742 $4,806,550
AFLAC Corporation 98,855 4,732,683
Allstate Corporation 308,060 11,051,652
American General Corporation 94,635 7,133,113
American International Group, Inc. 465,609 54,505,354
Aon Corporation 95,648 3,945,459
Chubb Corporation 61,316 4,261,462
CIGNA Corporation 77,534 6,900,526
Cincinnati Financial Corporation 62,638 2,352,840
Conseco, Inc. 119,115 3,625,563
Hartford Financial Services Group 87,760 5,117,505
Humana, Inc.+ 62,366 806,860
Jefferson-Pilot Corporation 39,939 2,643,463
Lincoln National Corporation 75,968 3,974,076
Loews Corporation 42,812 3,387,500
Marsh & McLennan Companies, Inc. 98,018 7,400,359
MBIA, Inc. 37,350 2,418,413
Progressive Corporation Ohio 27,210 3,945,450
Provident Company, Inc. 50,918 2,036,720
Providian Financial Corporation 53,305 4,984,018
SAFECO Corporation 51,361 2,266,304
St Paul Company 87,914 2,796,764
Torchmark Corporation 52,874 1,804,325
Transamerica Corporation 47,001 3,525,075
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
UNUM Corporation 52,100 $2,852,475
Wellpoint Health Networks+ 24,400 2,070,950
----------
TOTAL INSURANCE
- VALUE $155,345,459
- COST $109,744,321
LODGING-- 0.11%
Hilton Hotels Corporation 96,721 $1,372,229
Marriott International 93,906 3,509,737
----------
TOTAL LODGING
- VALUE $4,881,966
- COST $3,740,918
MACHINERY-- 0.57%
Black & Decker Corporation 33,224 $2,097,265
Case Corporation 27,688 1,332,485
Caterpillar, Inc. 134,755 8,085,300
Cummins Engine Company, Inc. 15,310 874,584
Deere & Company 89,650 3,552,381
Ingersoll-Rand Company 61,916 4,001,322
McDermott International, Inc. 22,593 638,252
Milacron, Inc. 14,659 271,192
Pall Corporation 46,870 1,039,928
Parker Hannifin Corporation 40,973 1,874,515
Thermo Electron Corporation+ 60,020 1,204,151
----------
TOTAL MACHINERY
- VALUE $24,971,375
- COST $19,201,097
MANUFACTURING-- 0.66%
Tyco International Ltd. 307,999 $29,182,905
----------
TOTAL MANUFACTURING
- VALUE $29,182,905
- COST $16,330,384
METAL FABRICATORS-- 0.42%
Alcan Aluminum Ltd. 85,687 $2,736,629
Allegheny Teledyne, Inc. 73,890 1,671,761
Barrick Gold Corporation 142,524 2,761,403
Battle Mountain Gold Company 86,358 210,498
Bethlehem Steel Corporation+ 48,628 373,828
Crane Company 26,005 817,532
Engelhard Corporation 53,820 1,217,678
Freeport McMoRan, Inc.+ 62,573 1,122,403
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
Nucor Corporation 33,034 $1,567,050
Phelps Dodge Corporation 21,794 1,349,866
Placer Dome, Inc. 115,431 1,363,529
Reynolds Metals Company 24,384 1,438,656
Timken Company 23,652 461,214
USX - U.S. Steel Group 32,955 889,785
Worthington Industries, Inc. 35,070 576,463
----------
TOTAL METAL FABRICATORS
- VALUE $18,558,295
- COST $19,940,205
PHARMACEUTICALS-- 7.65%
Abbott Laboratories 570,388 $25,952,654
Allergan, Inc. 24,602 2,730,822
ALZA Corporation+ 36,421 1,852,918
American Home Products Corporation 494,715 28,446,113
Amgen, Inc.+ 191,394 11,651,110
Bristol-Myers Squibb Company 746,230 52,562,576
Lilly (Eli) & Company 413,100 29,588,288
Merck & Company, Inc. 888,873 65,776,602
Millipore Corporation 16,614 673,905
Pfizer, Inc. 486,948 53,442,543
Pharmacia and Upjohn, Inc. 190,684 10,833,235
Schering-Plough Corporation 552,397 29,277,041
SouthTrust Corporation 60,934 2,338,342
Warner Lambert Company 318,893 22,123,202
Watson Pharmaceutical, Inc.+ 34,067 1,194,474
----------
TOTAL PHARMACEUTICALS
- VALUE $338,443,825
- COST $204,149,211
PUBLISHING-- 0.86%
American Greetings Corporation Class A 26,650 $802,831
Comcast Corporation Class A 277,375 10,661,602
Donnelley (R R) & Sons Company 51,095 1,893,708
Dow Jones & Company, Inc. 35,371 1,876,874
Gannett Company, Inc. 105,770 7,549,334
Interpublic Group Company, Inc. 52,010 4,505,366
Knight-Ridder, Inc. 29,607 1,626,535
McGraw-Hill, Inc. 73,843 3,982,907
Meredith Corporation 19,682 681,489
New York Times Company Class A 68,644 2,526,957
Times Mirror Company Class A 29,861 1,769,264
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
----------
TOTAL PUBLISHING
- VALUE $37,876,867
- COST $23,097,774
RETAIL & RELATED-- 5.85%
AutoZone, Inc.+ 57,563 $1,734,074
Best Buy Company, Inc.+ 75,800 5,116,500
Circuit City Stores, Inc. 37,511 3,488,523
Consolidated Stores Corporation+ 40,776 1,100,952
Costco Company, Inc.+ 81,678 6,539,345
CVS Corporation 146,080 7,468,340
Dayton-Hudson Corporation 165,431 10,753,015
Dillards, Inc. Class A 40,338 1,416,872
Dollar General Corporation 86,400 2,505,600
Eastman Kodak Company 121,718 8,246,395
Federated Department Stores, Inc.+ 77,150 4,084,128
Gap, Inc. 326,184 16,431,494
Harcourt General, Inc. 26,695 1,376,461
Home Depot, Inc. 556,349 35,849,739
Jostens, Inc. 13,630 287,082
K Mart Corporation+ 185,175 3,043,814
Kohls Corporation+ 60,179 4,645,067
Limited, Inc. 85,597 3,883,964
Longs Drug Stores Corporation 14,506 501,364
Lowe's Company, Inc. 138,371 7,843,906
May Department Stores Company 131,555 5,377,311
Nordstrom, Inc. 55,965 1,874,828
Office Depot, Inc.+ 137,300 3,029,181
Penney (J C) Company, Inc. 97,570 4,738,243
Rite Aid Corporation 97,138 2,392,023
Sears Roebuck & Company 144,032 6,418,426
Sherwin Williams Company 64,726 1,796,147
Staples, Inc.+ 174,928 5,411,835
Tandy Corporation 74,326 3,632,683
TJX Companies, Inc. 121,151 4,035,843
Toys R Us, Inc.+ 98,269 2,032,940
Walgreen Company 374,648 11,005,285
WalMart Stores, Inc. 1,673,036 80,723,987
----------
TOTAL RETAIL & RELATED
- VALUE $258,785,367
- COST $154,626,523
SERVICES-- 0.20%
Block (H R), Inc. 37,897 $1,894,850
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
CMS Energy Corporation 42,339 $1,772,946
Public Service Enterprise Group 85,846 3,508,955
Service Corporation International 98,113 1,888,675
----------
TOTAL SERVICES
- VALUE $9,065,426
- COST $8,435,877
TELECOMMUNICATIONS-- 10.58%
Alltel Corporation 104,760 $7,490,340
Ameritech Corporation 414,013 30,429,956
Andrew Corporation+ 32,698 619,218
AT & T Corporation 1,196,148 66,760,011
Bell Atlantic Corporation 582,839 38,103,100
BellSouth Corporation 716,731 33,596,766
CenturyTel, Inc. 50,508 2,007,693
Frontier Corporation 64,044 3,778,596
GTE Corporation 364,625 27,620,344
Lucent Technologies, Inc. 1,142,867 77,072,117
MCI WorldCom, Inc.+ 699,458 60,328,252
Network Appliance, Inc.+ 25,600 1,430,400
NEXTEL Communications Class A+ 109,746 5,507,877
Nortel Networks Corporation 248,867 21,604,801
SBC Communication, Inc. 737,614 42,781,612
Scientific-Atlanta, Inc. 28,337 1,020,132
Sprint Corporation 329,956 17,425,801
Sprint Corporation (PCS Group)+ 164,169 9,378,154
Tellabs, Inc.+ 146,170 9,875,611
U.S. West, Inc. 188,799 11,091,941
----------
TOTAL TELECOMMUNICATIONS
- VALUE $467,922,722
- COST $255,477,992
TEXTILES-- 0.01%
Fruit Of The Loom, Inc. Class A+ 27,405 $267,199
Springs Industries, Inc. Class A 6,901 301,056
----------
TOTAL TEXTILES
- VALUE $568,255
- COST $936,982
TOBACCO-- 0.89%
Fortune Brands, Inc. 64,490 $2,668,274
Philip Morris Company, Inc. 911,439 36,628,455
----------
TOTAL TOBACCO
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
- VALUE $39,296,729
- COST $32,586,336
TRANSPORTATION-- 0.76%
Burlington Northern Santa Fe 176,184 $5,461,704
Carnival Corporation Class A 229,144 11,113,484
CSX Corporation 81,996 3,715,444
Kansas City Southern Industries 40,244 2,568,070
Laidlaw, Inc. Class B 124,141 915,540
Norfolk Southern Corporation 142,440 4,291,005
Union Pacific Corporation 92,854 5,414,549
----------
TOTAL TRANSPORTATION
- VALUE $33,479,796
- COST $30,399,152
UTILITIES-- 1.93%
AES Corporation+ 70,440 $4,094,325
Ameren Corporation 51,666 1,982,683
American Electric Power, Inc. 71,907 2,701,007
Carolina Power & Light Company 57,002 2,440,398
Central & South West Corporation 79,933 1,868,434
Cinergy Corporation 59,810 1,913,920
Consolidated Edison, Inc. 87,581 3,963,040
Constellation Energy Group 56,187 1,664,540
Dominion Resources, Inc. 73,469 3,182,126
DTE Energy Company 54,593 2,183,720
Duke Power Company 135,981 7,393,967
Edison International 132,489 3,544,081
Entergy Corporation 92,567 2,892,719
FirstEnergy Corporation 88,339 2,738,509
Florida Progress Corporation 36,700 1,516,169
FPL Group, Inc. 68,009 3,714,992
GPU, Inc. 48,172 2,032,256
New Century Energies, Inc. 42,692 1,656,983
Niagra Mohawk Holdings, Inc.+ 70,580 1,133,691
Northern States Power Company 56,647 1,370,149
Pacificorp 111,901 2,056,181
PECO Energy Company 78,799 3,299,708
PG & E Corporation 143,877 4,676,003
PP & L Resources, Inc. 57,154 1,757,486
Reliant Energy, Inc. 108,778 3,004,992
Sempra Energy 90,394 2,045,164
Southern Company 261,964 6,942,046
Texas Utilities Company 105,760 4,362,600
Unicom Corporation 81,654 3,148,782
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
COMMON STOCKS (CONTINUED)
----------
TOTAL UTILITIES
- VALUE $85,280,671
- COST $74,564,175
TOTAL COMMON STOCKS
- VALUE $4,226,894,361
- COST $2,715,877,331
Security Maturity
Name Coupon Date Principal Value
SHORT TERM INSTRUMENTS-- 5.35%
U.S. TREASURY BILLS - 0.27%
U.S. Treasury Bills 4.56%09/23/99 $12,200 $12,069,911
-----------
$12,069,911
CASH EQUIVALENTS - 1.03%
Dreyfus Institutional $1,493,935 $1,493,935
Money Market Fund++
Janus Institutional 32,500,000 32,500,000
Money Market Fund++
Merrimac Cash 11,900,000 11,900,000
Fund-Premium Class++
-----------
$45,893,935
REPURCHASE AGREEMENTS - 4.05%
Morgan Stanley
Triparty Repurchase
Agreement dated 6/30/99, due
7/1/99 with a maturity value of 179,301,893 179,301,893
$179,324,555 and an effective -----------
yield of 4.55% collaterized by
U.S. Treasury Notes with a rate
of 5.75%, a maturity of 6/30/01
and a market value of $182,897,066.
$179,301,893
------------
TOTAL SHORT TERM INSTRUMENTS
- VALUE $237,265,739
- COST $237,265,739
TOTAL INVESTMENTS IN SECURITIES
(Cost $2,953,142,707) * (Notes 1 and 3) 100.9% $4,464,160,100
Other Assets and Liabilites, Net (0.9)% (40,375,202)
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO - JUNE 30, 1999 (Unaudited)
Portfolio of Investments
Shares Value
TOTAL NET ASSETS 100.0% $4,423,784,898
====== ==============
- -------------
* Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
Gross Unrealized Appreciation $1,547,455,120
Gross Unrealized (Depreciation) (36,437,727)
--------------
NET UNREALIZED APPRECIATION $1,511,017,393
==============
The accompanying notes are an integral part of these financial statements.
+ Non-income earning securities.
++ Represents collateral received from securities lending transactions.
See Note 4.
#Yield to maturity
<PAGE>
E*TRADE
S&P 500 Index Fund
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
The E*TRADE S&P 500 Index Fund ("the Fund"), is a diversified open-end
management investment company registered under the Investment Company Act of
1940, as amended. The Fund is a separate series of E*TRADE Funds (the "Trust").
The Trust was established as a Delaware business Trust organized pursuant to a
Declaration of Trust on November 4, 1998. The Fund pursues its investment
objective by investing all of its investable assets in the S&P 500 Index Master
Portfolio (the "Master Portfolio"), which is a series of Master Investment
Portfolio ("MIP"). The Master Portfolio has an investment objective and
investment policies consistent with the Fund. The performance of the Fund is
directly affected by the performance of the Master Portfolio. The financial
statements of the Master Portfolio, including the Portfolio of Investments, are
included elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
The following significant accounting policies are consistently followed by the
Fund in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
INVESTMENT POLICY AND SECURITY VALUATION
The value of the Fund's investment in the Master Portfolio reflects the Fund's
interest in the net assets of the Master Portfolio. As of June 30, 1999, the
value of the Fund's investment in the Master Portfolio was 0.61% of the
outstanding interests of the Master Portfolio. Investments of the Master
Portfolio are valued at the last reported sale price on the primary securities
exchange or national securities market on which such securities are traded.
Securities not listed on an exchange or national securities market, or
securities in which there was no last reported sales price, are valued at the
most recent bid prices. Debt securities are generally traded in the
over-the-counter market and are valued at a price deemed best to reflect fair
value as quoted by dealers who make markets in those securities or by an
independent pricing source. U.S. Government obligations are valued at the last
reported bid price. Debt securities maturing in 60 days or less are valued at
amortized cost, which approximates market value. Any securities, restricted
securities or other assets for which market quotations are not readily available
are valued at fair value as determined in good faith in accordance with policies
approved by the Master Portfolios' Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for by the Master Portfolio on the date the
securities are purchased or sold (trade date). Revenue is recognized by the
Master Portfolio as follows: dividend income is recognized on the ex-dividend
date and interest income is recognized on a daily accrual basis. Realized gains
and losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized as required by the Internal Revenue
Code of 1986, as amended (the "Code"). All net investment income and realized
and unrealized capital gains and losses of the Master Portfolio are allocated as
required by the Code.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Fund are declared
and distributed quarterly. Distributions to shareholders from any net realized
capital gains are declared and distributed annually, generally in December.
FEDERAL INCOME TAXES
The Fund has elected and intends to qualify each year as a "regulated investment
company" under Subchapter M of the Internal Revenue Code. If so qualified, the
Fund will not be subject to federal income tax to the extent it distributes its
net income to shareholders.
<PAGE>
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
E*TRADE Asset Management, Inc. (the "Investment Adviser") serves as the Fund's
investment adviser. For their services, the Adviser is paid by the Fund a fee at
an annual rate of 0.02% of the Fund's average daily net assets.
Barclays Global Fund Advisors, Inc. ("BGFA") serves as the Master Portfolio's
investment advisor. For its services, BGFA is paid by the Fund a fee calculated
at an annual rate of 0.05% of the Fund's average daily net assets. BGFA is an
indirect subsidiary of Barclays Bank PLC.
E*TRADE Asset Management, Inc. (the "Administrator") provides administrative
services to the Fund. Services provided by the Administrator include, but are
not limited to: managing the daily operations and business affairs of the Fund,
subject to the supervision of the Board of Trustees; overseeing the preparation
and maintenance of all documents and records required to be maintained by the
Fund; preparing or assisting in the preparation of regulatory filings,
prospectuses and shareholder reports; providing, at its own expense, the
services of its personnel to serve as officers of the Trust; and preparing and
disseminating material for meetings of the Board of Trustees and shareholders.
The Fund pays the Administrator a monthly fee calculated at an annual rate of
0.25% of the Fund's average daily net assets. The Administrator may not modify
or terminate these service agreements without the approval of the Board of
Trustees of the Fund.
E*TRADE Securities, Inc. serves as the shareholder servicing agent (the
"Shareholder Servicing Agent") for the Fund. The Shareholder Servicing Agent is
also responsible for maintaining the Fund's shareholder accounts. E*TRADE
Securities, Inc. also serves as the principal underwriter of the Fund.
3. PORTFOLIO SECURITIES LOANED
As of June 30, 1999, the Master Portfolio had loaned securities which were
collateralized by cash, money market mutual funds and repurchase agreements. The
Master Portfolio receives transaction fees for providing services in connection
with the securities lending program. The risks to the Portfolios associated with
securities lending are that the borrower may not provide additional collateral
when required or return the securities when due. The value of the securities on
loan and the value of the related collateral are disclosed in the Master
Portfolio's financial statements.
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware business
trust pursuant to an Agreement and Declaration of Trust dated May 14, 1993, and
had no operations prior to May 26, 1994. MIP currently issues the following
separate portfolios; the Asset Allocation, Bond Index, Extended Index, LifePath
2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market,
S&P 500 Index, U.S. Equity Index and U.S. Treasury Allocation Master Portfolios.
These financial statements contain the S&P 500 Index Master Portfolio (the
"Master Portfolio").
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
SECURITY VALUATION
The equity securities of the Master Portfolio are valued at the last
reported sale price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an exchange
or national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities are
generally traded in the over-the-counter market and are valued at a price deemed
best to reflect fair value as quoted by dealers who make markets in those
securities or by an independent pricing source. U.S. Government obligations are
valued at the last reported bid price. Debt securities maturing in 60 days or
less are valued at amortized cost, which approximates market value. Any
securities, restricted securities or other assets for which market quotations
are not readily available, are valued at fair value as determined in good faith
in accordance with policies approved by MIP's Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized under provisions of the Internal
Revenue Code of 1986, as amended (the "Code").
<PAGE>
FEDERAL INCOME TAXES
The Master Portfolio intends to qualify as a partnership for federal income
tax purposes. The Master Portfolio therefore believes that it will not be
subject to any federal income tax on its income and net realized capital gains
(if any). However, the investor in a Master Portfolio will be taxed on its
allocable share of the partnership's income and capital gains for purposes of
determining its federal income tax liability. The determination of such share
will be made in accordance with the applicable sections of the Code.
It is intended that the Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in a
Master Portfolio will be able to satisfy the requirements of Subchapter M of the
Code, assuming that the investment company invested all of its assets in the
corresponding Master Portfolio.
FUTURES CONTRACTS
The Master Portfolio may purchase futures contracts to gain exposure to
market changes as this may be more efficient or cost effective than actually
buying the securities. A futures contract is an agreement between two parties to
buy and sell a security at a set price on a future date and is exchange traded.
Upon entering into a futures contract, the Master Portfolio are required to
pledge to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Master Portfolio agree to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
the value of the contract. Such receipts or payments are known as "variation
margin" and are recorded by the Master Portfolio as unrealized gains or losses.
When the contract is closed, the Master Portfolio record a 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. Pursuant to regulations and/or published
positions of the Securities and Exchange Commission, the Master Portfolio are
required to segregate cash, U.S. Government obligations or high quality, liquid
debt instruments in connection with futures transactions in an amount generally
equal to the entire futures contract amount. Risks of entering into futures
contracts include the possibility that there may be an illiquid market and that
a change in the value of the contracts may not correlate with changes in the
value of the underlying securities. As of June 30, 1999, the Master Portfolio
had open long futures contracts outstanding:
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C><
Expiration Notional Net Unrealized
Number Of Type Date Contract Value Appreciation
Contracts
- --------------------------------------------------------------------------------
571 S&P 500 Index September 1999 $197,227,485 $5,676,093
- --------------------------------------------------------------------------------
</TABLE>
The Master Portfolio has pledged to brokers U.S. Treasury Bills for initial
margin requirements with a par value of $12,069,911.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Portfolio of Investments. The advisor to the Master
Portfolios may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the advisor's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements entered into on June 30, 1999 by the Master Portfolios are
collateralized by U.S. Government Securities.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with the Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of the Master Portfolio's assets.
BGFA is entitled to receive 0.05% of the average daily net assets of the Master
Portfolio as compensation for advisory services. BGFA is an indirect subsidiary
of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to the Master
Portfolio. IBT will not be entitled to receive fees for its custodial services
so long as it is entitled to receive a separate fee from Barclays Global
Investors, N.A. ("BGI") for its services as Sub-Administrator of each Master
Portfolio.
Stephens Inc. ("Stephens") is the placement agent for the Master Portfolios.
Certain officers and directors of MIP are also officers of Stephens. As of June
30, 1999, these officers of Stephens indirectly collectively owned less than 1%
of the Master Portfolios' outstanding beneficial interests.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
the Master Portfolio for the period ended June 30, 1999 are as follows:
-----------------------------------------
Aggregate Purchases S&P 500 Index
and Sales of: Master Portfolio
-----------------------------------------
U.S. GOVERNMENT
OBLIGATIONS:
Purchases at cost -
Sales Proceeds -
OTHER SECURITIES:
Purchases at cost $ 411,474,721
Sales proceeds $ 41,055,016
-----------------------------------------
4. PORTFOLIO SECURITIES LOANED
As of June 30, 1999, the Master Portfolio had loaned securities which were
collateralized by cash. Each Master Portfolio receives transaction fees for
providing services in connection with the securities lending program. The
risks to the Master Portfolios associated with securities lending are that
the borrower may not provide additional collateral when required or return
the securities when due. The value of the securities on loan and the value
of the related collateral was $44,668,152 and $45,893,935, respectively.
5. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the
Master Portfolio are as follows:
- ---------------------------------------------
For the For the
Period Year
Master Portfolio Ended Ended
June 30, February 28,
1999 1999
(unaudited)
- ---------------------------------------------
S&P 500 Index 1% 11%
- ---------------------------------------------
