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[LOGO]
Annual Report
LIFEPATH FUNDS-TM-
February 29, 2000
LifePath Opportunity Fund
LifePath 2010-TM- Fund
LifePath 2020-TM- Fund
LifePath 2030-TM- Fund
LifePath 2040-TM- Fund
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LIFEPATH FUNDS
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS.........................................................1
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PERFORMANCE AT A GLANCE
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PORTFOLIO REVIEW.............................................................2
STRATEGIC OVERVIEW...........................................................3
LIFEPATH FUNDS
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STATEMENTS OF ASSETS AND LIABILITIES.........................................8
STATEMENTS OF OPERATIONS.....................................................9
STATEMENTS OF CHANGES IN NET ASSETS.........................................10
FINANCIAL HIGHLIGHTS........................................................12
NOTES TO FINANCIAL STATEMENTS
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SIGNIFICANT ACCOUNTING POLICIES.............................................16
AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES...........................17
CAPITAL SHARE TRANSACTIONS..................................................17
INDEPENDENT AUDITORS' REPORT..................................................19
LIFEPATH MASTER PORTFOLIOS
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PORTFOLIOS OF INVESTMENTS...................................................20
STATEMENTS OF ASSETS AND LIABILITIES........................................88
STATEMENTS OF OPERATIONS....................................................89
STATEMENTS OF CHANGES IN NET ASSETS.........................................90
NOTES TO FINANCIAL STATEMENTS
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SIGNIFICANT ACCOUNTING POLICIES.............................................92
AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES...........................93
INVESTMENT PORTFOLIO TRANSACTIONS...........................................93
PORTFOLIO SECURITIES LOANED.................................................94
FINANCIAL HIGHLIGHTS........................................................94
INDEPENDENT AUDITORS' REPORT..................................................95
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LIFEPATH FUNDS SHAREHOLDER LETTER
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DEAR VALUED SHAREHOLDER,
Creating and maintaining a diversified portfolio can be challenging in
today's market. That's why it's so exciting that you've chosen Wells Fargo
LifePath-Registered Trademark-Funds to help you meet your investment goals.
It's our ongoing commitment to offer you quality investment options through
Wells Fargo Funds, which offers 61 mutual funds and has more than $60 billion
in mutual fund assets under management.
During the fiscal year ended February 29, 2000, investors experienced
volatile markets. The Dow Jones Industrial Average (the "Dow") first closed
above the 10,000 mark in March 1999, then climbed to a record 11,722 in
January 2000 before falling nearly 12% by the end of the fiscal year. All in
all, the Dow gained nearly 9% during this period. And in the reversal of a
long-term trend, small and mid cap growth stocks outperformed large cap growth
stocks.
With the worst of the global financial crisis past, the question throughout
1999 was whether or not the Federal Reserve Board (the "Fed") would raise
interest rates as a pre-emptive strike against inflation. Although inflation
rose a mere 1.9% in 1999, inflationary fears triggered volatility in the
markets during the second quarter, curbing technology, communications and
financial stocks, while sparking a resurgence of cyclical stocks.
On June 30, 1999, the Fed initiated the first of four quarter-point interest
rate hikes. At first, equity markets shrugged off the rate increases in light
of attractive earnings for domestic companies, strong economic fundamentals, a
budget surplus and unshaken consumer confidence. In fact, the Dow rallied
during the fourth quarter of 1999, with stocks climbing more than 18% on
average. Sentiment quickly turned early in 2000, as the Fed signaled its
intent to raise rates during the year to curtail a super-charged U.S. economy.
At that point, blue-chip stocks slumped due to worries about the impact of
higher rates on corporate earnings.
Throughout 1999, bonds fared poorly, turning in their second-worst
performance in 25 years. Yet interest rate increases also helped calm jittery
bond markets, with yields rising to 6.7% on the benchmark 30-year Treasury
bond during January -- the highest point since mid-1997 -- before closing the
fiscal year at 6.1%. With yields decreasing, stability returned to the bond
markets.
Each LifePath Fund offers a unique asset allocation strategy designed to
reflect different investment goals and risk tolerances. More importantly, each
Fund contains a mix of asset classes to guide portfolios through the markets'
ups and downs. However, from time to time, you may need to refine your asset
allocation to reflect your changing goals or risk tolerance. Should that need
arise, we recommend that you review your portfolio with your investment
professional to fine-tune your investment strategy.
In closing, we would like to thank you for investing in Wells Fargo Funds. We
wish you continued success and prosperity.
Sincerely,
<TABLE>
<S> <C>
[SIGNATURE] [SIGNATURE]
MICHAEL J. HOGAN W. RODNEY HUGHES
EXECUTIVE VICE PRESIDENT, PRESIDENT,
WELLS FARGO BANK, N.A. WELLS FARGO FUNDS
</TABLE>
1
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LIFEPATH FUNDS ANNUAL REPORT
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LIFEPATH FUNDS
The LifePath Funds (the "Funds") are globally diversified asset allocation
funds designed to maximize assets while gradually reducing the potential for
investment risk over specific investment time horizons.
Each LifePath Fund may be allocated across as many as 17 asset classes,
covering a variety of equity, fixed-income and cash indexes, including three
indexes that offer international exposure. Allocations among these asset
classes are determined by a proprietary investment model that examines a large
amount of information, including economic trends, pricing and other financial
data.
The Funds are managed by Barclays Global Fund Advisors, one of the largest
providers of index products in the world.
PORTFOLIO REVIEW
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The Funds invest for higher returns early on, then reallocate toward a more
conservative mix of stocks, bonds and cash as their target date approaches.
For example, the LifePath Opportunity Fund, a Fund suited for investors with
short-term investment horizons, ended the year with an allocation of 21%
stocks, 64% short-term bonds and 15% cash.
Conversely, the LifePath 2040 Fund is appropriate for investors with longer
time horizons. Since the Fund reaches its target date in 40 years, 91% of
portfolio holdings were invested in stocks at February 29, 2000, as stocks
have historically outperformed bonds over the long term. Yet 40 years from
today, the LifePath 2040 Fund will resemble the LifePath Opportunity Fund in
its portfolio composition, with adjustments reflecting market conditions at
that time.
PERFORMANCE HIGHLIGHTS
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The performance of the LifePath Funds during the fiscal year ended February
29, 2000, reflected strong equity markets at home and abroad, and a volatile
bond market. Within U.S. equity markets, gains by large and mid cap growth
stocks, and an unprecedented rally in small cap growth stocks, helped to
overcome the impact of rising interest rates on the Funds' longer-term bond
holdings. The rapidly changing market conditions investors experienced early
in 2000 served to underscore the importance of portfolio diversification, a
key attribute of the Funds.
The LifePath 2040 Fund benefited from its equity holdings, including
significant exposure to large cap growth stocks and international stocks. The
strong performance of small and mid cap equities during the period also
contributed to the Fund's performance. During the 12-month period, the
Class A shares of the LifePath 2040 Fund returned 15.65% (excluding sales
charges).
The LifePath 2030 Fund also performed well due to attractive returns among
U.S. and international stocks. Yet the Fund's 14% allocation among long-term
government bonds partially offset the portfolio's equity performance during
the period. Still, the Fund's Class A shares once again outperformed the
Lipper Flexible Portfolio Funds Average(1) during the period with a return of
12.63% (excluding sales charges).
The LifePath 2020 and 2010 Funds also benefited from strong stock returns,
yet investments in intermediate-term bonds paid off for investors during the
period. The Class A shares of the LifePath 2020 Fund returned 10.45%, while
the Class A shares of the LifePath 2010 Fund returned 7.50% during the period
(excluding sales charges).
The LifePath Opportunity Fund fared well due to its heavy concentration of
intermediate-term bonds. The Fund's equity holdings also contributed to its
overall performance as the Fund's Class A shares returned 4.47% during the
period (excluding sales charges).
MARKET IMPACT
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Throughout the period, international markets recovered from the Asian crisis
to outpace U.S. markets for the first time since 1993. Japan staged a
sustained comeback, with Southeast Asia's economies also posting attractive
growth. In Europe, markets in Germany and France continued to perform well
following the introduction of the Euro. Finland and Sweden were standouts
among global markets, with both equity markets experiencing strong returns
attributed to their fast-growing telecommunications sectors.
Indeed, technology emerged as the dominate force in global financial markets
during the year. That was certainly the case in U.S. markets, where the
tech-laden Nasdaq Composite Index began a year-end rally that lifted the index
to record-breaking highs during the period. The Funds, particularly the more
aggressive portfolios, capitalized on Nasdaq's rise through their diverse
small cap technology holdings.
Gains from a bullish stock market were partly offset by a bearish bond
market. A series of interest rate hikes engineered by the Federal Reserve
Board (the "Fed") most affected Fund portfolios with higher concentrations of
longer-term U.S. Treasury bonds.
Keep in mind that market conditions affect each Fund differently. That's
because each Fund maintains an asset allocation strategy consistent with an
investor's goals, risk tolerance and investment time horizon. Still, the Funds
share certain characteristics. For example, fund managers employ tactical
shifts to capitalize on opportunities within the marketplace, but they
maintain a strategic long-term market perspective to avoid knee-jerk reactions
to immediate market events. In addition, the Funds are diversified across most
asset classes, with limited exposure to any particular sector, to help
investors earn more balanced potential returns. That's a formula for success
that continues to serve investors well amid a volatile marketplace.
2
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ANNUAL REPORT LIFEPATH FUNDS
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STRATEGIC OUTLOOK
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The LifePath Funds are not designed to be sector rotation funds. The Funds
are designed to be broadly diversified with limited exposure to any particular
sector. The market outlook as it pertains to the LifePath Funds is a long-term
view. It's a market where: small capitalization stocks outperform large cap
stocks; stocks outperform bonds; longer duration bonds outperform shorter
duration bonds; money market instruments offer a small premium over inflation;
and risk bearing is rewarded.
Looking ahead, the Funds' strategic and tactical models allow each LifePath
Fund to remain well positioned to take advantage of opportunities within both
the stock and bond markets based on market conditions.
AVERAGE ANNUAL TOTAL RETURNS(1) (%) (AS OF FEBRUARY 29, 2000)
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<TABLE>
<CAPTION>
With Load(2) Without load
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Fund Name 1-Year 5-Year Since Inception (3/1/94) 1-Year 5-Year Since Inception (3/1/94)
<S> <C> <C> <C> <C> <C> <C>
LIFEPATH OPPORTUNITY -- A (1.52) 7.17 6.32 4.47 8.46 7.38
LIFEPATH OPPORTUNITY -- B (1.05) 7.64 6.74 3.87 7.94 6.86
LIFEPATH OPPORTUNITY -- C 2.93 7.91 6.84 3.91 7.91 6.84
LIFEPATH OPPORTUNITY --
INSTITUTIONAL 4.40 8.45 7.37
LIFEPATH 2010 -- A 1.32 11.94 10.46 7.50 13.28 11.56
LIFEPATH 2010 -- B 2.10 12.42 10.87 6.96 12.67 10.97
LIFEPATH 2010 -- C 5.94 12.66 10.96 6.91 12.66 10.96
LIFEPATH 2010 --
INSTITUTIONAL 7.33 13.24 11.53
LIFEPATH 2020 -- A 4.09 15.30 13.36 10.45 16.67 14.49
LIFEPATH 2020 -- B 4.94 15.85 13.81 9.90 16.07 13.90
LIFEPATH 2020 -- C 8.87 16.05 13.89 9.87 16.05 13.89
LIFEPATH 2020 --
INSTITUTIONAL 10.55 16.69 14.51
LIFEPATH 2030 -- A 6.14 17.91 15.48 12.63 19.31 16.62
LIFEPATH 2030 -- B 7.19 18.45 15.91 12.13 18.65 15.99
LIFEPATH 2030 -- C 11.06 18.63 15.97 12.05 18.63 15.97
LIFEPATH 2030 --
INSTITUTIONAL 12.60 19.30 16.62
LIFEPATH 2040 -- A 9.00 20.47 17.79 15.65 21.90 18.96
LIFEPATH 2040 -- B 10.07 21.01 18.22 15.07 21.19 18.29
LIFEPATH 2040 -- C 14.07 21.20 18.30 15.07 21.20 18.30
LIFEPATH 2040 --
INSTITUTIONAL 15.70 21.91 18.97
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PORTFOLIO ALLOCATION (AS OF FEBRUARY 29, 2000)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
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STOCKS BONDS CASH
<S> <C> <C> <C>
LIFEPATH OPPORTUNITY FUND 21% 64% 15%
LIFEPATH 2010 FUND 42% 47% 11%
LIFEPATH 2020 FUND 63% 27% 10%
LIFEPATH 2030 FUND 76% 14% 10%
LIFEPATH 2040 FUND 91% 1% 8%
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LIFEPATH FUNDS ANNUAL REPORT
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FUND CHARACTERISTICS (AS OF FEBRUARY 29, 2000)
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<TABLE>
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
OPPORTUNITY 2010 2020 2030 2040
<S> <C> <C> <C> <C> <C>
AVERAGE COUPON OF BOND PORTFOLIO 6.76% 6.59% 6.68% 7.70% 7.43%
AVERAGE MATURITY OF BOND PORTFOLIO 4.3 YEARS 4.3 YEARS 6.3 YEARS 16.9 YEARS 18.2 YEARS
ESTIMATED DURATION OF BOND PORTFOLIO 3.5 YEARS 3.5 YEARS 4.3 YEARS 8.8 YEARS 9.4 YEARS
NUMBER OF HOLDINGS 1,181 1,336 1,461 1,365 1,381
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BREAKDOWN BY INDEXES (AS OF FEBRUARY 29, 2000)
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<TABLE>
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
ASSET CLASS OPPORTUNITY 2010 2020 2030 2040
<S> <C> <C> <C> <C> <C>
BILLS 13.08% 5.55% 3.40% 2.37% 0.46%
INTERMEDIATE GOVERNMENT 65.07% 49.73% 25.47% 3.67% 0.18%
LONG GOVERNMENT 0.83% 0.59% 3.84% 11.39% 0.64%
INTERMEDIATE CORPORATE 0.00% 0.00% 0.00% 0.00% 0.00%
LONG CORPORATE 0.00% 0.00% 0.00% 0.00% 0.00%
MORTGAGE BACKED SECURITIES 0.00% 0.00% 0.00% 0.00% 0.00%
LARGE VALUE 4.26% 14.50% 22.31% 27.17% 30.55%
LARGE GROWTH 5.54% 14.14% 23.57% 28.37% 37.22%
INTERMEDIATE VALUE 2.48% 2.45% 2.98% 3.95% 4.97%
INTERMEDIATE GROWTH 1.38% 2.15% 2.86% 3.19% 4.91%
INTERMEDIATE UTILITIES 0.04% 0.02% 0.17% 0.03% 0.01%
SMALL VALUE 0.35% 0.26% 0.32% 0.38% 0.41%
SMALL GROWTH 0.58% 0.45% 0.53% 0.65% 0.72%
MICRO 0.20% 0.20% 0.28% 0.33% 0.31%
NON-U.S. WGBI 0.00% 0.00% 0.00% 0.00% 0.00%
EAFE EX-JAPAN 4.77% 7.68% 11.02% 13.92% 14.95%
JAPAN 1.42% 2.28% 3.25% 4.58% 4.67%
TOTAL 100% 100% 100% 100% 100%
</TABLE>
4
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ANNUAL REPORT LIFEPATH FUNDS
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GROWTH OF A $10,000 INVESTMENT(3)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH Opportunity Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LIFEPATH LEHMAN BROTHERS S&P 500 IMONEYNET TAXABLE WELLS FARGO LIFEPATH
OPPORTUNITY CLASS A TREASURY BOND INDEX COMPOSITE INDEX MONEY FUND AVERAGE OPPORTUNITY INSTITUTIONAL CLASS
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar.94 $9,295 $9,776 $9,564 $10,024 $9,862
Apr.94 $9,247 $9,699 $9,687 $10,049 $9,811
May.94 $9,257 $9,687 $9,846 $10,078 $9,821
Jun.94 $9,192 $9,666 $9,604 $10,108 $9,753
Jul.94 $9,344 $9,842 $9,920 $10,140 $9,914
Aug.94 $9,420 $9,844 $10,326 $10,173 $9,995
Sep.94 $9,292 $9,706 $10,074 $10,209 $9,859
Oct.94 $9,321 $9,700 $10,300 $10,245 $9,889
Nov.94 $9,206 $9,680 $9,925 $10,285 $9,767
Dec.94 $9,244 $9,740 $10,072 $10,328 $9,808
Jan.95 $9,400 $9,920 $10,333 $10,373 $9,973
Feb.95 $9,623 $10,132 $10,736 $10,420 $10,210
Mar.95 $9,713 $10,195 $11,052 $10,468 $10,306
Apr.95 $9,851 $10,329 $11,377 $10,516 $10,452
May.95 $10,125 $10,746 $11,831 $10,564 $10,743
Jun.95 $10,221 $10,831 $12,106 $10,613 $10,844
Jul.95 $10,320 $10,791 $12,507 $10,660 $10,950
Aug.95 $10,389 $10,916 $12,538 $10,707 $11,023
Sep.95 $10,506 $11,021 $13,067 $10,754 $11,146
Oct.95 $10,536 $11,191 $13,020 $10,800 $11,178
Nov.95 $10,706 $11,364 $13,591 $10,848 $11,359
Dec.95 $10,831 $11,527 $13,853 $10,895 $11,492
Jan.96 $10,933 $11,600 $14,324 $10,940 $11,600
Feb.96 $10,872 $11,362 $14,457 $10,985 $11,535
Mar.96 $10,849 $11,264 $14,596 $11,029 $11,510
Apr.96 $10,859 $11,192 $14,811 $11,073 $11,521
May.96 $10,869 $11,174 $15,191 $11,118 $11,532
Jun.96 $10,940 $11,315 $15,249 $11,162 $11,607
Jul.96 $10,846 $11,342 $14,575 $11,207 $11,507
Aug.96 $10,908 $11,318 $14,883 $11,251 $11,574
Sep.96 $11,136 $11,505 $15,719 $11,296 $11,815
Oct.96 $11,305 $11,757 $16,153 $11,342 $11,994
Nov.96 $11,579 $11,961 $17,372 $11,387 $12,286
Dec.96 $11,485 $11,838 $17,028 $11,433 $12,186
Jan.97 $11,593 $11,850 $18,091 $11,478 $12,300
Feb.97 $11,604 $11,864 $18,234 $11,524 $12,312
Mar.97 $11,445 $11,736 $17,486 $11,570 $12,143
Apr.97 $11,631 $11,904 $18,528 $11,618 $12,340
May.97 $11,882 $12,007 $19,661 $11,667 $12,607
Jun.97 $12,088 $12,141 $20,535 $11,714 $12,826
Jul.97 $12,409 $12,490 $22,168 $11,765 $13,166
Aug.96 $12,243 $12,363 $20,927 $11,815 $12,990
Sep.97 $12,493 $12,551 $22,071 $11,864 $13,255
Oct.97 $12,471 $12,769 $21,334 $11,915 $13,232
Nov.97 $12,549 $12,836 $22,322 $11,965 $13,315
Dec.97 $12,683 $12,971 $22,706 $12,016 $13,457
Jan.98 $12,791 $13,170 $22,958 $12,068 $13,571
Feb.98 $12,995 $13,130 $24,613 $12,115 $13,788
Mar.98 $13,172 $13,166 $25,873 $12,167 $13,976
Apr.98 $13,245 $13,225 $26,137 $12,217 $14,053
May.98 $13,221 $13,362 $25,688 $12,268 $14,027
Jun.98 $13,355 $13,516 $26,731 $12,319 $14,170
Jul.98 $13,331 $13,538 $26,447 $12,370 $14,144
Aug.98 $13,025 $13,905 $22,626 $12,422 $13,820
Sep.98 $13,337 $14,293 $24,076 $12,473 $14,150
Oct.98 $13,571 $14,247 $26,031 $12,529 $14,399
Nov.98 $13,731 $14,244 $27,608 $12,582 $14,569
Dec.98 $13,970 $14,272 $29,232 $12,631 $14,822
Jan.99 $14,062 $14,355 $30,454 $12,679 $14,919
Feb.99 $13,825 $13,988 $31,401 $12,721 $14,668
3.31.1999 $14,000 $14,042 $32,657 $12,768 $14,854
4.30.1999 $14,145 $14,075 $33,920 $12,814 $15,008
5.31.1999 $13,986 $13,944 $33,120 $12,860 $14,840
6.30.1999 $14,144 $13,915 $34,922 $12,905 $15,007
7.31.1999 $14,077 $13,903 $33,831 $12,954 $14,936
8.31.1999 $14,051 $13,905 $33,664 $13,005 $14,908
9.30.1999 $14,074 $14,012 $32,741 $13,055 $14,933
10.31.1999 $14,249 $14,027 $34,814 $13,108 $15,119
11.30.1999 $14,384 $14,000 $35,520 $13,160 $15,247
12.31.1999 $14,598 $13,907 $37,613 $13,217 $15,462
1.31.2000 $14,331 $13,943 $35,724 $13,273 $15,196
2.29.2000 $14,443 $14,153 $35,049 $13,328 $15,314
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH 2010 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LIFEPATH LEHMAN BROTHERS S&P 500 IMONEYNET TAXABLE WELLS FARGO LIFEPATH
2010 CLASS A TREASURY BOND INDEX COMPOSITE INDEX MONEY FUND AVERAGE 2010 INSTITUTIONAL CLASS
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar.94 $9,276 $9,776 $9,564 $10,024 $9,841
Apr.94 $9,228 $9,699 $9,687 $10,049 $9,791
May.94 $9,266 $9,687 $9,846 $10,078 $9,831
Jun.94 $9,189 $9,666 $9,604 $10,108 $9,750
Jul.94 $9,360 $9,842 $9,920 $10,140 $9,931
Aug.94 $9,465 $9,844 $10,326 $10,173 $10,042
Sep.94 $9,319 $9,706 $10,074 $10,209 $9,888
Oct.94 $9,396 $9,700 $10,300 $10,245 $9,969
Nov.94 $9,195 $9,680 $9,925 $10,285 $9,756
Dec.94 $9,269 $9,740 $10,072 $10,328 $9,834
Jan.95 $9,444 $9,920 $10,333 $10,373 $10,020
Feb.95 $9,737 $10,132 $10,736 $10,420 $10,331
Mar.95 $9,888 $10,195 $11,052 $10,468 $10,491
Apr.95 $10,075 $10,329 $11,377 $10,516 $10,689
May.95 $10,429 $10,746 $11,831 $10,564 $11,065
Jun.95 $10,570 $10,831 $12,106 $10,613 $11,214
Jul.95 $10,768 $10,791 $12,507 $10,660 $11,425
Aug.95 $10,808 $10,916 $12,538 $10,707 $11,467
Sep.95 $11,016 $11,021 $13,067 $10,754 $11,688
Oct.95 $11,016 $11,191 $13,020 $10,800 $11,688
Nov.95 $11,286 $11,364 $13,591 $10,848 $11,974
Dec.95 $11,453 $11,527 $13,853 $10,895 $12,151
Jan.96 $11,656 $11,600 $14,324 $10,940 $12,367
Feb.96 $11,626 $11,362 $14,457 $10,985 $12,335
Mar.96 $11,639 $11,264 $14,596 $11,029 $12,349
Apr.96 $11,721 $11,192 $14,811 $11,073 $12,436
May.96 $11,804 $11,174 $15,191 $11,118 $12,524
Jun.96 $11,863 $11,315 $15,249 $11,162 $12,586
Jul.96 $11,625 $11,342 $14,575 $11,207 $12,334
Aug.96 $11,728 $11,318 $14,883 $11,251 $12,444
Sep.96 $12,099 $11,505 $15,719 $11,296 $12,837
Oct.96 $12,318 $11,757 $16,153 $11,342 $13,069
Nov.96 $12,818 $11,961 $17,372 $11,387 $13,600
Dec.96 $12,656 $11,838 $17,028 $11,433 $13,427
Jan.97 $12,932 $11,850 $18,091 $11,478 $13,721
Feb.97 $12,975 $11,864 $18,234 $11,524 $13,766
Mar.97 $12,714 $11,736 $17,486 $11,570 $13,490
Apr.97 $13,068 $11,904 $18,528 $11,618 $13,866
May.97 $13,540 $12,007 $19,661 $11,667 $14,366
Jun.97 $13,905 $12,141 $20,535 $11,714 $14,753
Jul.97 $14,478 $12,490 $22,168 $11,765 $15,361
Aug.96 $14,056 $12,363 $20,927 $11,815 $14,914
Sep.97 $14,507 $12,551 $22,071 $11,864 $15,392
Oct.97 $14,300 $12,769 $21,334 $11,915 $15,172
Nov.97 $14,518 $12,836 $22,322 $11,965 $15,403
Dec.97 $14,714 $12,971 $22,706 $12,016 $15,612
Jan.98 $14,866 $13,170 $22,958 $12,068 $15,773
Feb.98 $15,369 $13,130 $24,613 $12,115 $16,306
Mar.98 $15,760 $13,166 $25,873 $12,167 $16,722
Apr.98 $15,878 $13,225 $26,137 $12,217 $16,847
May.98 $15,772 $13,362 $25,688 $12,268 $16,734
Jun.98 $16,047 $13,516 $26,731 $12,319 $17,026
Jul.98 $15,976 $13,538 $26,447 $12,370 $16,951
Aug.98 $14,958 $13,905 $22,626 $12,422 $15,871
Sep.98 $15,474 $14,293 $24,076 $12,473 $16,418
Oct.98 $16,105 $14,247 $26,031 $12,529 $17,087
Nov.98 $16,522 $14,244 $27,608 $12,582 $17,530
Dec.98 $17,020 $14,272 $29,232 $12,631 $18,058
Jan.99 $17,275 $14,355 $30,454 $12,679 $18,328
Feb.99 $16,893 $13,988 $31,401 $12,721 $17,923
Mar.99 $17,225 $14,042 $32,657 $12,768 $18,276
Apr.99 $17,571 $14,075 $33,920 $12,814 $18,643
May.99 $17,289 $13,944 $33,120 $12,860 $18,344
Jun.99 $17,672 $13,915 $34,922 $12,905 $18,750
Jul.99 $17,479 $13,903 $33,831 $12,954 $18,545
Aug.99 $17,415 $13,905 $33,664 $13,005 $18,477
Sep.99 $17,353 $14,012 $32,741 $13,055 $18,412
Oct.99 $17,781 $14,027 $34,814 $13,108 $18,866
Nov.99 $18,067 $14,000 $35,520 $13,160 $19,141
Dec.99 $18,569 $13,907 $37,613 $13,217 $19,668
Jan.00 $18,076 $13,943 $35,724 $13,273 $19,148
Feb.00 $18,160 $14,153 $35,049 $13,328 $19,237
</TABLE>
5
<PAGE>
LIFEPATH FUNDS ANNUAL REPORT
- --------------------------------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH 2020 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LIFEPATH LEHMAN BROTHERS S&P 500 IMONEYNET TAXABLE WELLS FARGO LIFEPATH
2020 CLASS A TREASURY BOND INDEX COMPOSITE INDEX MONEY FUND AVERAGE 2020 INSTITUTIONAL CLASS
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar.94 $9,248 $9,776 $9,564 $10,024 $9,812
Apr.94 $9,239 $9,699 $9,687 $10,049 $9,802
May.94 $9,295 $9,687 $9,846 $10,078 $9,862
Jun.94 $9,184 $9,666 $9,604 $10,108 $9,744
Jul.94 $9,364 $9,842 $9,920 $10,140 $9,935
Aug.94 $9,516 $9,844 $10,326 $10,173 $10,097
Sep.94 $9,334 $9,706 $10,074 $10,209 $9,903
Oct.94 $9,439 $9,700 $10,300 $10,245 $10,015
Nov.94 $9,200 $9,680 $9,925 $10,285 $9,761
Dec.94 $9,293 $9,740 $10,072 $10,328 $9,859
Jan.95 $9,495 $9,920 $10,333 $10,373 $10,074
Feb.95 $9,814 $10,132 $10,736 $10,420 $10,412
Mar.95 $10,002 $10,195 $11,052 $10,468 $10,612
Apr.95 $10,225 $10,329 $11,377 $10,516 $10,849
May.95 $10,595 $10,746 $11,831 $10,564 $11,241
Jun.95 $10,774 $10,831 $12,106 $10,613 $11,431
Jul.95 $11,029 $10,791 $12,507 $10,660 $11,701
Aug.95 $11,058 $10,916 $12,538 $10,707 $11,733
Sep.95 $11,318 $11,021 $13,067 $10,754 $12,008
Oct.95 $11,278 $11,191 $13,020 $10,800 $11,966
Nov.95 $11,613 $11,364 $13,591 $10,848 $12,321
Dec.95 $11,814 $11,527 $13,853 $10,895 $12,534
Jan.96 $12,075 $11,600 $14,324 $10,940 $12,812
Feb.96 $12,065 $11,362 $14,457 $10,985 $12,801
Mar.96 $12,106 $11,264 $14,596 $11,029 $12,844
Apr.96 $12,218 $11,192 $14,811 $11,073 $12,963
May.96 $12,350 $11,174 $15,191 $11,118 $13,103
Jun.96 $12,406 $11,315 $15,249 $11,162 $13,163
Jul.96 $12,038 $11,342 $14,575 $11,207 $12,773
Aug.96 $12,181 $11,318 $14,883 $11,251 $12,924
Sep.96 $12,665 $11,505 $15,719 $11,296 $13,437
Oct.96 $12,901 $11,757 $16,153 $11,342 $13,688
Nov.96 $13,590 $11,961 $17,372 $11,387 $14,419
Dec.96 $13,375 $11,838 $17,028 $11,433 $14,190
Jan.97 $13,769 $11,850 $18,091 $11,478 $14,609
Feb.97 $13,833 $11,864 $18,234 $11,524 $14,677
Mar.97 $13,473 $11,736 $17,486 $11,570 $14,295
Apr.97 $13,955 $11,904 $18,528 $11,618 $14,806
May.97 $14,620 $12,007 $19,661 $11,667 $15,511
Jun.97 $15,115 $12,141 $20,535 $11,714 $16,037
Jul.97 $15,924 $12,490 $22,168 $11,765 $16,895
Aug.96 $15,288 $12,363 $20,927 $11,815 $16,220
Sep.97 $15,920 $12,551 $22,071 $11,864 $16,891
Oct.97 $15,562 $12,769 $21,334 $11,915 $16,512
Nov.97 $15,920 $12,836 $22,322 $11,965 $16,891
Dec.97 $16,169 $12,971 $22,706 $12,016 $17,156
Jan.98 $16,356 $13,170 $22,958 $12,068 $17,354
Feb.98 $17,149 $13,130 $24,613 $12,115 $18,195
Mar.98 $17,757 $13,166 $25,873 $12,167 $18,840
Apr.98 $17,909 $13,225 $26,137 $12,217 $19,002
May.98 $17,698 $13,362 $25,688 $12,268 $18,778
Jun.98 $18,127 $13,516 $26,731 $12,319 $19,233
Jul.98 $17,974 $13,538 $26,447 $12,370 $19,071
Aug.98 $16,209 $13,905 $22,626 $12,422 $17,197
Sep.98 $16,893 $14,293 $24,076 $12,473 $17,924
Oct.98 $17,874 $14,247 $26,031 $12,529 $18,965
Nov.98 $18,572 $14,244 $27,608 $12,582 $19,705
Dec.98 $19,340 $14,272 $29,232 $12,631 $20,519
Jan.99 $19,752 $14,355 $30,454 $12,679 $20,957
Feb.99 $19,211 $13,988 $31,401 $12,721 $20,383
Mar.99 $19,717 $14,042 $32,657 $12,768 $20,920
Apr.99 $20,286 $14,075 $33,920 $12,814 $21,523
May.99 $19,872 $13,944 $33,120 $12,860 $21,084
Jun.99 $20,544 $13,915 $34,922 $12,905 $21,798
Jul.99 $20,220 $13,903 $33,831 $12,954 $21,453
Aug.99 $20,116 $13,905 $33,664 $13,005 $21,343
Sep.99 $19,895 $14,012 $32,741 $13,055 $21,109
Oct.99 $20,664 $14,027 $34,814 $13,108 $21,925
Nov.99 $21,108 $14,000 $35,520 $13,160 $22,394
Dec.99 $21,993 $13,907 $37,613 $13,217 $23,349
Jan.00 $21,189 $13,943 $35,724 $13,273 $22,502
Feb.00 $21,217 $14,153 $35,049 $13,328 $22,532
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH 2030 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LIFEPATH LEHMAN BROTHERS S&P 500 IMONEYNET TAXABLE WELLS FARGO LIFEPATH
2030 CLASS A TREASURY BOND INDEX COMPOSITE INDEX MONEY FUND AVERAGE 2030 INSTITUTIONAL CLASS
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar.94 $9,144 $9,776 $9,564 $10,024 $9,702
Apr.94 $9,144 $9,699 $9,687 $10,049 $9,702
May.94 $9,210 $9,687 $9,846 $10,078 $9,772
Jun.94 $9,044 $9,666 $9,604 $10,108 $9,595
Jul.94 $9,262 $9,842 $9,920 $10,140 $9,827
Aug.94 $9,500 $9,844 $10,326 $10,173 $10,079
Sep.94 $9,284 $9,706 $10,074 $10,209 $9,851
Oct.94 $9,418 $9,700 $10,300 $10,245 $9,993
Nov.94 $9,150 $9,680 $9,925 $10,285 $9,708
Dec.94 $9,265 $9,740 $10,072 $10,328 $9,830
Jan.95 $9,477 $9,920 $10,333 $10,373 $10,055
Feb.95 $9,805 $10,132 $10,736 $10,420 $10,403
Mar.95 $10,020 $10,195 $11,052 $10,468 $10,632
Apr.95 $10,273 $10,329 $11,377 $10,516 $10,899
May.95 $10,709 $10,746 $11,831 $10,564 $11,362
Jun.95 $10,915 $10,831 $12,106 $10,613 $11,581
Jul.95 $11,198 $10,791 $12,507 $10,660 $11,881
Aug.95 $11,227 $10,916 $12,538 $10,707 $11,912
Sep.95 $11,541 $11,021 $13,067 $10,754 $12,245
Oct.95 $11,482 $11,191 $13,020 $10,800 $12,182
Nov.95 $11,874 $11,364 $13,591 $10,848 $12,598
Dec.95 $12,114 $11,527 $13,853 $10,895 $12,853
Jan.96 $12,406 $11,600 $14,324 $10,940 $13,163
Feb.96 $12,406 $11,362 $14,457 $10,985 $13,163
Mar.96 $12,461 $11,264 $14,596 $11,029 $13,221
Apr.96 $12,622 $11,192 $14,811 $11,073 $13,392
May.96 $12,784 $11,174 $15,191 $11,118 $13,564
Jun.96 $12,829 $11,315 $15,249 $11,162 $13,611
Jul.96 $12,381 $11,342 $14,575 $11,207 $13,136
Aug.96 $12,544 $11,318 $14,883 $11,251 $13,309
Sep.96 $13,114 $11,505 $15,719 $11,296 $13,913
Oct.96 $13,379 $11,757 $16,153 $11,342 $14,195
Nov.96 $14,228 $11,961 $17,372 $11,387 $15,096
Dec.96 $13,971 $11,838 $17,028 $11,433 $14,823
Jan.97 $14,443 $11,850 $18,091 $11,478 $15,324
Feb.97 $14,517 $11,864 $18,234 $11,524 $15,402
Mar.97 $14,082 $11,736 $17,486 $11,570 $14,940
Apr.97 $14,661 $11,904 $18,528 $11,618 $15,555
May.97 $15,462 $12,007 $19,661 $11,667 $16,405
Jun.97 $16,077 $12,141 $20,535 $11,714 $17,057
Jul.97 $17,083 $12,490 $22,168 $11,765 $18,125
Aug.96 $16,246 $12,363 $20,927 $11,815 $17,237
Sep.97 $17,053 $12,551 $22,071 $11,864 $18,093
Oct.97 $16,574 $12,769 $21,334 $11,915 $17,585
Nov.97 $17,032 $12,836 $22,322 $11,965 $18,070
Dec.97 $17,344 $12,971 $22,706 $12,016 $18,402
Jan.98 $17,535 $13,170 $22,958 $12,068 $18,605
Feb.98 $18,582 $13,130 $24,613 $12,115 $19,715
Mar.98 $19,374 $13,166 $25,873 $12,167 $20,556
Apr.98 $19,555 $13,225 $26,137 $12,217 $20,748
May.98 $19,273 $13,362 $25,688 $12,268 $20,449
Jun.98 $19,832 $13,516 $26,731 $12,319 $21,041
Jul.98 $19,617 $13,538 $26,447 $12,370 $20,813
Aug.98 $17,204 $13,905 $22,626 $12,422 $18,254
Sep.98 $18,002 $14,293 $24,076 $12,473 $19,100
Oct.98 $19,285 $14,247 $26,031 $12,529 $20,462
Nov.98 $20,217 $14,244 $27,608 $12,582 $21,450
Dec.98 $21,229 $14,272 $29,232 $12,631 $22,524
Jan.99 $21,756 $14,355 $30,454 $12,679 $23,083
Feb.99 $21,045 $13,988 $31,401 $12,721 $22,329
Mar.99 $21,689 $14,042 $32,657 $12,768 $23,012
Apr.99 $22,439 $14,075 $33,920 $12,814 $23,808
May.99 $21,910 $13,944 $33,120 $12,860 $23,247
Jun.99 $22,794 $13,915 $34,922 $12,905 $24,185
Jul.99 $22,326 $13,903 $33,831 $12,954 $23,688
Aug.99 $22,153 $13,905 $33,664 $13,005 $23,505
Sep.99 $21,821 $14,012 $32,741 $13,055 $23,152
Oct.99 $22,847 $14,027 $34,814 $13,108 $24,240
Nov.99 $23,464 $14,000 $35,520 $13,160 $24,867
Dec.99 $24,723 $13,907 $37,613 $13,217 $26,202
Jan.00 $23,647 $13,943 $35,724 $13,273 $25,068
Feb.00 $23,703 $14,153 $35,049 $13,328 $25,142
</TABLE>
6
<PAGE>
ANNUAL REPORT LIFEPATH FUNDS
- --------------------------------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO LIFEPATH 2040 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LIFEPATH LEHMAN BROTHERS S & P 500 IMONEYNET TAXABLE WELLS FARGO LIFEPATH
2040 CLASS A TREASURY BOND INDEX COMPOSITE INDEX MONEY FUND AVERAGE 2040 INSTITUTIONAL CLASS
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar-94 $9,084 $9,776 $9,564 $10,024 $9,638
Apr-94 $9,159 $9,699 $9,687 $10,049 $9,718
May-94 $9,263 $9,687 $9,846 $10,078 $9,828
Jun-94 $9,056 $9,666 $9,604 $10,108 $9,609
Jul-94 $9,303 $9,842 $9,920 $10,140 $9,870
Aug-94 $9,615 $9,844 $10,326 $10,173 $10,202
Sep-94 $9,391 $9,706 $10,074 $10,209 $9,964
Oct-94 $9,534 $9,700 $10,300 $10,245 $10,116
Nov-94 $9,230 $9,680 $9,925 $10,285 $9,793
Dec-94 $9,356 $9,740 $10,072 $10,328 $9,927
Jan-95 $9,567 $9,920 $10,333 $10,373 $10,150
Feb-95 $9,921 $10,132 $10,736 $10,420 $10,526
Mar-95 $10,175 $10,195 $11,052 $10,468 $10,796
Apr-95 $10,425 $10,329 $11,377 $10,516 $11,061
May-95 $10,838 $10,746 $11,831 $10,564 $11,500
Jun-95 $11,084 $10,831 $12,106 $10,613 $11,761
Jul-95 $11,441 $10,791 $12,507 $10,660 $12,139
Aug-95 $11,441 $10,916 $12,538 $10,707 $12,139
Sep-95 $11,795 $11,021 $13,067 $10,754 $12,514
Oct-95 $11,698 $11,191 $13,020 $10,800 $12,411
Nov-95 $12,124 $11,364 $13,591 $10,848 $12,863
Dec-95 $12,370 $11,527 $13,853 $10,895 $13,125
Jan-96 $12,719 $11,600 $14,324 $10,940 $13,495
Feb-96 $12,788 $11,362 $14,457 $10,985 $13,568
Mar-96 $12,870 $11,264 $14,596 $11,029 $13,655
Apr-96 $13,101 $11,192 $14,811 $11,073 $13,900
May-96 $13,332 $11,174 $15,191 $11,118 $14,145
Jun-96 $13,377 $11,315 $15,249 $11,162 $14,193
Jul-96 $12,844 $11,342 $14,575 $11,207 $13,627
Aug-96 $13,045 $11,318 $14,883 $11,251 $13,841
Sep-96 $13,704 $11,505 $15,719 $11,296 $14,540
Oct-96 $13,957 $11,757 $16,153 $11,342 $14,808
Nov-96 $14,916 $11,961 $17,372 $11,387 $15,826
Dec-96 $14,647 $11,838 $17,028 $11,433 $15,541
Jan-97 $15,262 $11,850 $18,091 $11,478 $16,193
Feb-97 $15,368 $11,864 $18,234 $11,524 $16,305
Mar-97 $14,858 $11,736 $17,486 $11,570 $15,765
Apr-97 $15,549 $11,904 $18,528 $11,618 $16,498
May-97 $16,538 $12,007 $19,661 $11,667 $17,546
Jun-97 $17,261 $12,141 $20,535 $11,714 $18,313
Jul-97 $18,401 $12,490 $22,168 $11,765 $19,524
Aug-96 $17,399 $12,363 $20,927 $11,815 $18,460
Sep-97 $18,333 $12,551 $22,071 $11,864 $19,451
Oct-97 $17,649 $12,769 $21,334 $11,915 $18,726
Nov-97 $18,205 $12,836 $22,322 $11,965 $19,315
Dec-97 $18,527 $12,971 $22,706 $12,016 $19,657
Jan-98 $18,762 $13,170 $22,958 $12,068 $19,907
Feb-98 $20,080 $13,130 $24,613 $12,115 $21,305
Mar-98 $21,091 $13,166 $25,873 $12,167 $22,377
Apr-98 $21,303 $13,225 $26,137 $12,217 $22,602
May-98 $20,879 $13,362 $25,688 $12,268 $22,152
Jun-98 $21,592 $13,516 $26,731 $12,319 $22,909
Jul-98 $21,356 $13,538 $26,447 $12,370 $22,659
Aug-98 $18,123 $13,905 $22,626 $12,422 $19,229
Sep-98 $19,081 $14,293 $24,076 $12,473 $20,245
Oct-98 $20,687 $14,247 $26,031 $12,529 $21,949
Nov-98 $21,868 $14,244 $27,608 $12,582 $23,201
Dec-98 $23,191 $14,272 $29,232 $12,631 $24,606
Jan-99 $23,863 $14,355 $30,454 $12,679 $25,318
Feb-99 $23,088 $13,988 $31,401 $12,721 $24,496
Mar-99 $23,939 $14,042 $32,657 $12,768 $25,399
Apr-99 $24,870 $14,075 $33,920 $12,814 $26,387
May-99 $24,236 $13,944 $33,120 $12,860 $25,715
Jun-99 $25,439 $13,915 $34,922 $12,905 $26,991
Jul-99 $24,818 $13,903 $33,831 $12,954 $26,332
Aug-99 $24,610 $13,905 $33,664 $13,005 $26,112
Sep-99 $24,144 $14,012 $32,741 $13,055 $25,617
Oct-99 $25,517 $14,027 $34,814 $13,108 $27,073
Nov-99 $26,333 $14,000 $35,520 $13,160 $27,922
Dec-99 $28,066 $13,907 $37,613 $13,217 $29,767
Jan-00 $26,659 $13,943 $35,724 $13,273 $28,296
Feb-00 $26,701 $14,153 $35,049 $13,328 $28,341
</TABLE>
(1) FIGURES QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The Fund's manager has waived a portion of its management
fees or assumed responsibility for other expenses, which reduces operating
expenses and increases total return to shareholders. Without these reductions
the Fund's returns would have been lower.
Performance shown for Class A, Class B and Class C shares of each of the Wells
Fargo LifePath Funds for periods prior to November 8, 1999, reflects performance
of the Class A, Class B and Class C shares of the corresponding Stagecoach
LifePath Funds, their predecessor funds. Performance shown for the Class B
shares for periods prior to August 1, 1998, reflects the performance for the
Class A shares of the corresponding Stagecoach LifePath Fund, adjusted to
reflect Class B share sales charges and expenses. Performance shown for Class C
shares prior to December 1, 1998, reflects the performance of Class B shares,
adjusted for Class C shares sales charges and expenses. Performance shown for
Institutional Class shares of each of the Wells Fargo LifePath Funds for periods
prior to November 8, 1999, reflects performance of the Class A shares of the
corresponding Stagecoach LifePath Funds, their predecessor funds, adjusted to
reflect the sales charges and expenses of the Institutional Class shares.
Effective at the close of business November 5, 1999, the Stagecoach Funds were
reorganized into the Wells Fargo Funds.
(2) For Class A shares, the maximum front-end sales charge is 5.75%. The
maximum contingent deferred sales charge for Class B shares is 5.00%. The
maximum contingent deferred sales charge for Class C shares is 1.00%. Class B
and C share performance including sales charge assumes the maximum contingent
deferred sales charge for the corresponding time period. Institutional
Class shares are sold without sales charges.
(3) The charts compare the performance of the Wells Fargo LifePath Funds
Class A and Institutional Class shares since inception with the S&P 500 Index,
Lehman Brothers Treasury Bond Index and the IMoneyNet Taxable Money Fund
Average. The charts assume a hypothetical $10,000 investment in Class A and
Institutional Class shares and reflects all operating expenses and, for Class A
shares, assumes the maximum initial sales charge of 5.75%. The S&P 500 Index is
an unmanaged index of 500 widely held common stocks representing, among others,
industrial, financial, utility and transportation companies listed or traded on
national exchanges or over the counter markets. The Lehman Brothers Treasury
Bond Index is an unmanaged index composed of bonds, mortgage-backed securities
and asset-backed securities. IMoneyNet Taxable Money Fund Average is an average
of money market funds whose returns are subject to federal, state and local
income taxes. The yields are higher than those of tax-free funds because of the
kinds of instruments in which taxable funds can invest. The indexes presented do
not incur expenses and are not available directly for investment. Had these
indexes incurred operating expenses, their performance would have been lower.
7
<PAGE>
LIFEPATH FUNDS STATEMENTS OF ASSETS AND LIABILITES - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
OPPORTUNITY 2010 2020 2030 2040
FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
ASSETS
INVESTMENT
IN CORRESPONDING MASTER
PORTFOLIO, AT MARKET
VALUE (NOTE 1)....... $59,370,070 $127,004,906 $231,575,569 $180,889,962 $409,281,488
RECEIVABLES
RECEIVABLE FROM WELLS
FARGO BANK
(NOTE 2)............. 14,774 38,333 65,315 84,780 121,237
CAPITAL SHARES SOLD.... 53,156 255,799 370,271 282,662 787,551
----------- ------------ ------------ ------------ ------------
TOTAL ASSETS............. 59,438,000 127,299,038 232,011,155 181,257,404 410,190,276
----------- ------------ ------------ ------------ ------------
LIABILITIES
PAYABLES
DUE TO SPONSOR AND
DISTRIBUTOR.......... 72,755 98,588 86,674 131,345 198,853
CAPITAL SHARES
REDEEMED............. 636,961 1,088,509 912,408 1,218,531 2,746,065
DUE TO TRUSTEES........ 2,675 2,518 2,518 2,518 2,517
ACCRUED EXPENSES....... 89,613 91,267 189,719 136,906 318,705
----------- ------------ ------------ ------------ ------------
TOTAL LIABILITIES........ 802,004 1,280,882 1,191,319 1,489,300 3,266,140
----------- ------------ ------------ ------------ ------------
TOTAL NET ASSETS......... $58,635,996 $126,018,156 $230,819,836 $179,768,104 $406,924,136
----------- ------------ ------------ ------------ ------------
NET ASSETS CONSIST OF
- ----------------------------------------------------------------------------------------------
PAID-IN CAPITAL........ $54,731,272 $109,784,677 $181,958,225 $132,257,917 $297,991,252
UNDISTRIBUTED
(DISTRIBUTIONS IN
EXCESS OF) NET
INVESTMENT INCOME.... 329,372 476,276 485,672 205,994 (343,529)
UNDISTRIBUTED NET
REALIZED GAIN ON
INVESTMENTS.......... 578,115 1,974,521 3,609,972 2,252,729 5,852,984
NET UNREALIZED
APPRECIATION OF
INVESTMENTS.......... 2,997,237 13,782,682 44,765,967 45,051,464 103,423,429
----------- ------------ ------------ ------------ ------------
TOTAL NET ASSETS......... $58,635,996 $126,018,156 $230,819,836 $179,768,104 $406,924,136
----------- ------------ ------------ ------------ ------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PER SHARE
- ----------------------------------------------------------------------------------------------
NET ASSETS - CLASS A..... $44,801,110 $ 89,056,153 $176,459,786 $140,866,799 $306,002,464
SHARES OUTSTANDING -
CLASS A................ 4,349,766 6,916,434 11,937,172 8,305,372 16,292,973
NET ASSET VALUE -
CLASS A................ $ 10.30 $ 12.88 $ 14.78 $ 16.96 $ 18.78
OFFERING PRICE PER SHARE
- CLASS A *............ $ 10.93 $ 13.67 $ 15.68 $ 17.99 $ 19.93
NET ASSETS - CLASS B..... $ 6,457,251 $ 29,937,188 $ 47,471,527 $ 36,405,807 $ 93,757,309
SHARES OUTSTANDING -
CLASS B................ 618,574 2,325,011 3,237,795 2,177,616 5,113,338
NET ASSET VALUE AND
OFFERING PRICE PER
SHARE - CLASS B........ $ 10.44 $ 12.88 $ 14.66 $ 16.72 $ 18.34
NET ASSETS - CLASS C..... $ 7,243,388 $ 5,364,161 $ 3,009,143 $ 1,292,662 $ 6,095,105
SHARES OUTSTANDING -
CLASS C................ 693,569 413,701 204,184 77,235 332,372
NET ASSET VALUE AND
OFFERING PRICE PER
SHARE - CLASS C........ $ 10.44 $ 12.97 $ 14.74 $ 16.74 $ 18.34
NET ASSETS -
INSTITUTIONAL CLASS.... $ 134,247 $ 1,660,654 $ 3,879,380 $ 1,202,836 $ 1,069,258
SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... 12,963 128,225 260,492 70,480 56,584
NET ASSET VALUE AND
OFFERING PRICE PER
SHARE - INSTITUTIONAL
CLASS.................. $ 10.36 $ 12.95 $ 14.89 $ 17.07 $ 18.90
</TABLE>
* MAXIMUM OFFERING PRICE IS COMPUTED AS 100/94.25 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE THE OFFERING PRICE IS REDUCED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
8
<PAGE>
STATEMENTS OF OPERATIONS -- FOR THE YEAR ENDED FEBRUARY 29, 2000 LIFEPATH FUNDS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
OPPORTUNITY 2010 2020 2030 2040
FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
DIVIDENDS.............. $ 185,945 $ 735,332 $ 1,980,809 $ 1,923,982 $ 4,703,604
INTEREST............... 2,809,482 3,767,836 4,094,640 1,978,855 926,422
EXPENSES............... (360,236) (661,277) (1,185,752) (950,038) (2,023,744)
----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME
ALLOCATED FROM
CORRESPONDING
MASTER PORTFOLIO....... 2,635,191 3,841,891 4,889,697 2,952,799 3,606,282
----------- ----------- ----------- ----------- -----------
EXPENSES
ADMINISTRATION FEES.... 82,072 152,631 273,408 218,479 467,551
SHAREHOLDER SERVICING
FEES - CLASS A....... 132,564 229,661 434,848 349,046 703,711
SHAREHOLDER SERVICING
FEES - CLASS B....... 11,995 62,669 98,824 80,457 202,959
SHAREHOLDER SERVICING
FEES - CLASS C....... 18,880 7,500 3,502 1,481 11,682
SHAREHOLDER SERVICING
FEES - INSTITUTIONAL
CLASS................ 28 515 1,474 378 273
TRANSFER AGENCY FEES -
CLASS A.............. 72,229 121,778 220,620 186,161 399,459
TRANSFER AGENCY FEES -
CLASS B.............. 5,424 35,455 61,224 59,224 172,858
TRANSFER AGENCY FEES -
CLASS C.............. 5,993 3,453 1,900 1,567 6,429
TRANSFER AGENCY FEES -
INSTITUTIONAL
CLASS................ 4 62 177 45 33
DISTRIBUTION COSTS -
CLASS A.............. 132,564 229,661 385,363 349,046 703,711
DISTRIBUTION COSTS -
CLASS B.............. 35,985 188,008 296,473 241,370 608,876
DISTRIBUTION COSTS -
CLASS C.............. 56,641 22,499 10,505 4,442 35,047
LEGAL AND AUDIT
SERVICES............. 33,120 33,120 36,800 40,480 47,840
REGISTRATION COSTS..... 48,120 52,915 80,883 69,475 103,776
COMPENSATION OF
TRUSTEES............. 4,416 4,416 4,416 4,416 4,416
MISCELLANEOUS.......... 32,932 32,931 33,300 33,300 34,037
----------- ----------- ----------- ----------- -----------
TOTAL EXPENSES........... 672,967 1,177,274 1,943,717 1,639,367 3,502,658
----------- ----------- ----------- ----------- -----------
LESS
EXPENSES WAIVED BY
WELLS FARGO BANK..... (121,194) (136,309) (126,008) (182,554) (319,983)
TOTAL NET EXPENSES....... 551,773 1,040,965 1,817,709 1,456,813 3,182,675
----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME.... 2,083,418 2,800,926 3,071,988 1,495,986 423,607
----------- ----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED FROM CORRESPONDING MASTER
PORTFOLIOS
- ------------------------------------------------------------------------------------------
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 1,469,429 8,899,499 19,784,120 19,860,580 37,204,754
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ (731,426) (3,290,077) (2,581,357) (1,364,080) 12,984,142
----------- ----------- ----------- ----------- -----------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. $ 2,821,421 $ 8,410,348 $20,274,751 $19,992,486 $50,612,503
----------- ----------- ----------- ----------- -----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
9
<PAGE>
LIFEPATH FUNDS STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH OPPORTUNITY FUND LIFEPATH 2010 FUND
------------------------------------ ------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 2000 FEBRUARY 28, 1999 FEBRUARY 29, 2000 FEBRUARY 28, 1999
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT INCOME.... $ 2,083,418 $ 2,084,500 $ 2,800,926 $ 2,417,067
NET REALIZED GAIN ON SALE
OF INVESTMENTS......... 1,469,429 3,019,339 8,899,499 6,911,433
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ (731,426) (1,177,805) (3,290,077) 205,255
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 2,821,421 3,926,034 8,410,348 9,533,755
----------------- ----------------- ----------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM NET INVESTMENT
INCOME
CLASS A.............. (1,774,716) (2,170,495) (2,248,636) (2,197,828)
CLASS B.............. (112,865) (5,044)* (446,138) (191,805)
CLASS C**............ (186,515) (1,953) (42,059) (155)
INSTITUTIONAL
CLASS+............. (45) 0 (68) 0
INSTITUTIONAL
CLASS***........... 0 0 0 (699)
FROM NET REALIZED GAIN
ON SALE OF
INVESTMENTS
CLASS A.............. (1,532,576) (3,320,738) (6,882,880) (5,320,365)
CLASS B.............. (186,146) (52,805)* (2,170,213) (962,303)
CLASS C**............ (245,417) (65,502) (355,190) (3,893)
INSTITUTIONAL
CLASS+............. (308) 0 (2,219) 0
INSTITUTIONAL
CLASS***........... 0 (816) 0 (1,053)
FROM CAPITAL SHARE
TRANSACTIONS
PROCEEDS FROM SHARES
SOLD - CLASS A....... 6,574,771 9,453,827 23,363,595 13,690,774
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 3,221,869 5,322,835 8,919,850 7,366,734
COST OF SHARES REDEEMED
- CLASS A............ (21,045,108) (24,139,883) (30,355,853) (22,044,386)
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ (11,248,468) (9,363,221) 1,927,592 (986,878)
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 5,000,653 3,167,735* 14,362,891 13,244,359
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 288,921 56,110* 2,506,196 1,119,505
COST OF SHARES REDEEMED
- CLASS B............ (1,876,102) (19,170)* (4,029,059) (2,444,836)
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 3,413,472 3,204,675 * 12,840,028 11,919,028
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES SOLD
- CLASS C**............ 4,930,010 4,874,851 4,917,785 711,359
REINVESTMENT OF DIVIDENDS
- CLASS C**............ 385,896 47,033 376,724 1,944
COST OF SHARES REDEEMED -
CLASS C**.............. (2,667,692) (75,349) (363,828) (31,189)
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS C**.............. 2,648,214 4,846,535 4,930,681 682,114
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS+............... 134,071 N/A 1,684,424 N/A
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 353 N/A 1,793 N/A
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS+............... 0 N/A (5,949) N/A
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS+... 134,424 N/A 1,680,268 N/A
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS***............. N/A 0 N/A 0
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS***............. N/A 816 N/A 1,751
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS***............. N/A (15,138) N/A (31,722)
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL
CLASS***............... N/A (14,322) N/A (29,971)
----------------- ----------------- ----------------- -----------------
NET CHANGE IN NET
ASSETS................. (6,269,525) (3,017,652) 17,641,514 12,439,947
----------------- ----------------- ----------------- -----------------
NET ASSETS
- -----------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS... 64,905,521 67,923,173 108,376,642 95,936,695
----------------- ----------------- ----------------- -----------------
ENDING NET ASSETS........ $ 58,635,996 $ 64,905,521 $ 126,018,156 $ 108,376,642
----------------- ----------------- ----------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 329,372 $ 292,470 $ 485,672 $ 412,251
----------------- ----------------- ----------------- -----------------
SHARES ISSUED AND
REDEEMED
SHARES SOLD -
CLASS A.............. 622,436 867,014 1,745,047 1,020,734
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS A.............. 309,437 499,441 682,164 560,450
SHARES REDEEMED -
CLASS A.............. (1,998,048) (2,221,613) (2,260,746) (1,646,679)
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ (1,066,175) (855,158) 166,465 (65,495)
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
CLASS B.............. 468,173 294,447* 1,061,559 992,503
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS B.............. 27,459 5,288* 192,039 85,527
SHARES REDEEMED -
CLASS B.............. (175,035) (1,758)* (299,185) (184,348)
----------------- ----------------- ----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS B................ 320,597 297,977* 954,413 893,682
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
CLASS C**............ 460,702 450,487 360,709 52,970
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS C**............ 36,635 4,435 28,745 149
SHARES REDEEMED -
CLASS C**............ (251,700) (6,990) (26,560) (2,312)
----------------- ----------------- ----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS C**.............. 245,637 447,932 362,894 50,807
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS+............... 12,929 N/A 128,549 N/A
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 34 N/A 137 N/A
SHARES REDEEMED -
INSTITUTIONAL
CLASS+............... 0 N/A (461) N/A
----------------- ----------------- ----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS I+............... 12,963 N/A 128,225 N/A
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS***............. N/A 0 N/A 0
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
INSTITUTIONAL
CLASS***............. N/A 79 N/A 150
SHARES REDEEMED -
INSTITUTIONAL
CLASS***............. N/A (1,434) N/A (2,676)
----------------- ----------------- ----------------- -----------------
NET DECREASE IN SHARES
OUTSTANDING -
INSTITUTIONAL
CLASS***............... N/A (1,355) N/A (2,526)
----------------- ----------------- ----------------- -----------------
</TABLE>
* THIS CLASS OF SHARES COMMENCED OPERATIONS ON AUGUST 1, 1998.
** THIS CLASS OF SHARES COMMENCED OPERATIONS ON DECEMBER 1, 1998 FOR ALL OF
THE FUNDS, WITH THE EXCEPTION OF LIFEPATH 2040, WHICH COMMENCED OPERATIONS
ON JULY 1, 1998.
*** THIS CLASS OF SHARES CEASED OPERATIONS ON JANUARY 6, 1999.
+ THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
10
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS LIFEPATH FUNDS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 FUND LIFEPATH 2030 FUND
------------------------------------ ------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 2000 FEBRUARY 28, 1999 FEBRUARY 29, 2000 FEBRUARY 28, 1999
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT INCOME.... $ 3,071,988 $ 2,897,313 $ 1,495,986 $ 1,500,432
NET REALIZED GAIN ON SALE
OF INVESTMENTS......... 19,784,120 15,353,077 19,860,580 11,793,389
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ (2,581,357) 2,752,974 (1,364,080) 4,892,573
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 20,274,751 21,003,364 19,992,486 18,186,394
----------------- ----------------- ----------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM NET INVESTMENT
INCOME
CLASS A.............. (2,575,166) (2,773,594) (1,299,292) (1,462,037)
CLASS B.............. (366,795) (193,399) (131,952) (104,378)
CLASS C**............ (9,038) (1) (1,604) 0
INSTITUTIONAL
CLASS+............. (36) 0 (8) 0
INSTITUTIONAL
CLASS***........... 0 (1,220) 0 (559)
FROM NET REALIZED GAIN
ON SALE OF
INVESTMENTS
CLASS A.............. (15,751,326) (13,075,329) (16,444,081) (9,449,001)
CLASS B.............. (4,154,453) (1,978,109) (4,146,917) (1,610,010)
CLASS C**............ (204,002) (4) (98,996) (3)
INSTITUTIONAL
CLASS+............. (2,588) 0 (1,355) 0
INSTITUTIONAL
CLASS***........... 0 (1,585) 0 (1,567)
FROM CAPITAL SHARE
TRANSACTIONS
PROCEEDS FROM SHARES
SOLD - CLASS A....... 45,347,548 19,089,185 23,091,770 20,226,565
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 18,127,812 15,740,947 17,589,322 10,816,180
COST OF SHARES REDEEMED
- CLASS A............ (51,191,084) (38,288,618) (32,632,803) (28,172,918)
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ 12,284,276 (3,458,486) 8,048,289 2,869,827
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 21,335,112 16,631,623 12,769,264 12,693,677
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 4,421,801 2,101,648 4,222,622 1,681,154
COST OF SHARES REDEEMED
- CLASS B............ (5,603,377) (2,530,778) (4,933,395) (2,187,820)
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 20,153,536 16,202,493 12,058,491 12,187,011
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES SOLD
- CLASS C**............ 2,978,099 193,699 1,281,354 92,434
REINVESTMENT OF DIVIDENDS
- CLASS C**............ 206,178 5 95,675 4
COST OF SHARES REDEEMED -
CLASS C**.............. (246,473) 0 (111,904) 0
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS C**.............. 2,937,804 193,704 1,265,125 92,438
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS+............... 4,524,652 N/A 1,225,712 N/A
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 2,627 N/A 1,363 N/A
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS+............... (538,346) N/A (4,605) N/A
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS+... 3,988,933 N/A 1,222,470 N/A
----------------- ----------------- ----------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS***............. N/A 0 N/A 0
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS***............. N/A 2,804 N/A 2,125
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS***............. N/A (89,689) N/A (51,813)
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL
CLASS***............... N/A (86,885) N/A (49,688)
----------------- ----------------- ----------------- -----------------
NET CHANGE IN NET
ASSETS................. 36,575,896 15,830,949 20,462,656 20,658,427
----------------- ----------------- ----------------- -----------------
NET ASSETS
- -----------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS... 194,243,940 178,412,991 159,305,448 138,647,021
----------------- ----------------- ----------------- -----------------
ENDING NET ASSETS........ $ 230,819,836 $ 194,243,940 $ 179,768,104 $ 159,305,448
----------------- ----------------- ----------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ 494,495 $ 373,542 $ 205,994 $ 142,864
----------------- ----------------- ----------------- -----------------
SHARES ISSUED AND
REDEEMED
SHARES SOLD -
CLASS A.............. 2,942,926 1,264,123 1,297,036 1,172,524
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS A.............. 1,204,588 1,080,114 1,018,892 651,658
SHARES REDEEMED -
CLASS A.............. (3,314,672) (2,544,176) (1,822,149) (1,654,268)
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ 832,842 (199,939) 493,779 169,914
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
CLASS B.............. 1,381,742 1,115,798 718,794 751,326
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS B.............. 296,431 145,849 248,236 102,843
SHARES REDEEMED -
CLASS B.............. (365,159) (170,526) (278,116) (131,556)
----------------- ----------------- ----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS B................ 1,313,014 1,091,121 688,914 722,613
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
CLASS C**............ 193,809 12,981 72,541 5,432
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS C**............ 13,764 0 5,622 0
SHARES REDEEMED -
CLASS C**............ (16,370) 0 (6,360) 0
----------------- ----------------- ----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS C**.............. 191,203 12,981 71,803 5,432
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS+............... 296,678 N/A 70,657 N/A
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 174 N/A 79 N/A
SHARES REDEEMED -
INSTITUTIONAL
CLASS+............... (36,360) N/A (256) N/A
----------------- ----------------- ----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS I+............... 260,492 N/A 70,480 N/A
----------------- ----------------- ----------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS***............. N/A 0 N/A 0
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
INSTITUTIONAL
CLASS***............. N/A 203 N/A 131
SHARES REDEEMED -
INSTITUTIONAL
CLASS***............. N/A (6,383) N/A (3,060)
----------------- ----------------- ----------------- -----------------
NET DECREASE IN SHARES
OUTSTANDING -
INSTITUTIONAL
CLASS***............... N/A (6,180) N/A (2,929)
----------------- ----------------- ----------------- -----------------
<CAPTION>
LIFEPATH 2040 FUND
------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
FEBRUARY 29, 2000 FEBRUARY 28, 1999
<S> <C> <C>
- -------------------------
FROM OPERATIONS
NET INVESTMENT INCOME.... $ 423,607 $ 1,019,258
NET REALIZED GAIN ON SALE
OF INVESTMENTS......... 37,204,754 25,933,476
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 12,984,142 14,368,095
----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 50,612,503 41,320,829
----------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM NET INVESTMENT
INCOME
CLASS A.............. (730,397) (1,148,509)
CLASS B.............. 0 (31,745)
CLASS C**............ 0 0
INSTITUTIONAL
CLASS+............. (1) 0
INSTITUTIONAL
CLASS***........... 0 (147)
FROM NET REALIZED GAIN
ON SALE OF
INVESTMENTS
CLASS A.............. (25,934,712) (21,855,410)
CLASS B.............. (8,331,309) (4,844,750)
CLASS C**............ (504,901) (66,713)
INSTITUTIONAL
CLASS+............. (908) 0
INSTITUTIONAL
CLASS***........... 0 (1,998)
FROM CAPITAL SHARE
TRANSACTIONS
PROCEEDS FROM SHARES
SOLD - CLASS A....... 76,986,658 42,012,833
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 26,384,953 22,879,013
COST OF SHARES REDEEMED
- CLASS A............ (71,883,878) (63,023,916)
----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ 31,487,733 1,867,930
----------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 30,756,321 33,585,155
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 8,268,110 4,826,840
COST OF SHARES REDEEMED
- CLASS B............ (10,987,034) (7,422,017)
----------------- -----------------
----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 28,037,397 30,989,978
----------------- -----------------
PROCEEDS FROM SHARES SOLD
- CLASS C**............ 3,425,050 3,077,483
REINVESTMENT OF DIVIDENDS
- CLASS C**............ 479,802 54,206
COST OF SHARES REDEEMED -
CLASS C**.............. (1,012,203) (8,777)
----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS C**.............. 2,892,649 3,122,912
----------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS+............... 1,158,507 N/A
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 909 N/A
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS+............... (62,618) N/A
----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS+... 1,096,798 N/A
----------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS***............. N/A 23
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS***............. N/A 2,145
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS***............. N/A (31,077)
----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL
CLASS***............... N/A (28,909)
----------------- -----------------
NET CHANGE IN NET
ASSETS................. 78,624,852 49,323,468
----------------- -----------------
NET ASSETS
- -------------------------
BEGINNING NET ASSETS... 328,299,284 278,975,816
----------------- -----------------
ENDING NET ASSETS........ $ 406,924,136 $ 328,299,284
----------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED NET
INVESTMENT INCOME...... $ (343,529) $ (36,738)
----------------- -----------------
SHARES ISSUED AND
REDEEMED
SHARES SOLD -
CLASS A.............. 4,004,929 2,357,636
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS A.............. 1,379,057 1,345,789
SHARES REDEEMED -
CLASS A.............. (3,739,848) (3,591,842)
----------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ 1,644,138 111,583
----------------- -----------------
SHARES SOLD -
CLASS B.............. 1,636,843 1,928,530
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS B.............. 442,382 289,911
SHARES REDEEMED -
CLASS B.............. (583,543) (435,742)
----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS B................ 1,495,682 1,782,699
----------------- -----------------
SHARES SOLD -
CLASS C**............ 182,445 173,900
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS C**............ 25,672 3,257
SHARES REDEEMED -
CLASS C**............ (52,406) (496)
----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS C**.............. 155,711 176,661
----------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS+............... 59,838 N/A
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 47 N/A
SHARES REDEEMED -
INSTITUTIONAL
CLASS+............... (3,301) N/A
----------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS I+............... 56,584 N/A
----------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS***............. N/A 0
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
INSTITUTIONAL
CLASS***............. N/A 133
SHARES REDEEMED -
INSTITUTIONAL
CLASS***............. N/A (1,768)
----------------- -----------------
NET DECREASE IN SHARES
OUTSTANDING -
INSTITUTIONAL
CLASS***............... N/A (1,635)
----------------- -----------------
</TABLE>
* THIS CLASS OF SHARES COMMENCED OPERATIONS ON AUGUST 1, 1998.
** THIS CLASS OF SHARES COMMENCED OPERATIONS ON DECEMBER 1, 1998 FOR ALL OF
THE FUNDS, WITH THE EXCEPTION OF LIFEPATH 2040, WHICH COMMENCED OPERATIONS
ON JULY 1, 1998.
*** THIS CLASS OF SHARES CEASED OPERATIONS ON JANUARY 6, 1999.
+ THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
11
<PAGE>
LIFEPATH FUNDS FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
NET REALIZED
BEGINNING NET AND DIVIDENDS DISTRIBUTIONS
NET ASSET INVESTMENT UNREALIZED FROM NET FROM NET
VALUE PER INCOME GAIN (LOSS) ON INVESTMENT REALIZED
SHARE (LOSS) INVESTMENTS INCOME GAINS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
LIFEPATH OPPORTUNITY FUND
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... $ 10.52 $ 0.38 $ 0.09 $ (0.36) $ (0.33)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 10.83 0.36 0.32 (0.37) (0.62)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 10.71 0.43 0.81 (0.44) (0.68)
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 10.64 0.42 0.28 (0.42) (0.21)
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 9.92 0.40 0.86 (0.41) (0.13)
B SHARES*
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 10.61 0.27 0.14 (0.25) (0.33)
AUGUST 1, 1998 TO
FEBRUARY 28, 1999...... 10.91 0.07 0.29 (0.04) (0.62)
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 10.62 0.29 0.12 (0.26) (0.33)
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 11.24 0.04 (0.04) (0.01) (0.61)
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 10.66 0.08 0.00 (0.05) (0.33)
LIFEPATH 2010 FUND
- -------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 13.27 0.34 0.66 (0.34) (1.05)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 13.16 0.32 0.94 (0.33) (0.82)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 12.20 0.36 1.82 (0.38) (0.84)
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 11.42 0.34 0.95 (0.34) (0.17)
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 9.99 0.32 1.58 (0.33) (0.14)
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 13.25 0.25 0.68 (0.25) (1.05)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 13.10 0.22 0.97 (0.22) (0.82)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 12.02 0.19 1.88 (0.15) (0.84)
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 13.29 0.21 0.72 (0.20) (1.05)
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 13.98 0.04 0.09 0.00+ (0.82)
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 13.83 0.07 0.13 (0.03) (1.05)
LIFEPATH 2020 FUND
- -------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 14.91 0.24 1.33 (0.24) (1.46)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 14.70 0.24 1.47 (0.25) (1.25)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 12.98 0.28 2.73 (0.29) (1.00)
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 11.98 0.27 1.43 (0.28) (0.42)
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 10.17 0.27 2.03 (0.28) (0.21)
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 14.79 0.15 1.33 (0.15) (1.46)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 14.55 0.15 1.48 (0.15) (1.24)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 12.79 0.14 2.74 (0.12) (1.00)
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 14.82 0.11 1.37 (0.10) (1.46)
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 15.82 0.01 0.22 0.00+ (1.23)
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 16.01 0.06 0.30 (0.02) (1.46)
</TABLE>
(1) THESE RATIOS INCLUDE INCOME EARNED AND EXPENSES CHARGED TO THE MASTER
PORTFOLIO. ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
(2) REPRESENTS THE PORTFOLIO TURNOVER RATE OF EACH FUND'S MASTER PORTFOLIO.
* THIS CLASS OF SHARES COMMENCED OPERATIONS ON AUGUST 1, 1998.
** THIS CLASS OF SHARES COMMENCED OPERATIONS ON DECEMBER 1, 1998.
*** THIS CLASS OF SHARES COMMENCED OPERATIONS ON MARCH 1, 1997.
+ DISTRIBUTION WAS LESS THAN $.01 PER SHARE.
++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
+++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON JULY 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
12
<PAGE>
FINANCIAL HIGHLIGHTS LIFEPATH FUNDS
- --------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
ENDING RATIO TO AVERAGE NET ASSETS (I)
NET ASSETS ---------------------------------- PORTFOLIO NET ASSETS,
VALUE PER NET INVESTMENT NET GROSS TOTAL TURNOVER END OF YEAR
SHARE INCOME(LOSS) EXPENSES EXPENSES RETURN RATE(2) (000'S OMITTED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
LIFEPATH OPPORTUNITY FUND
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... $ 10.30 3.29% 1.30% 1.45% 4.47% 55% $ 44,801
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 10.52 3.27% 1.25% 1.31% 6.40% 66% 56,986
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 10.83 3.83% 1.20% N/A 11.99% 39% 67,909
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 10.71 3.93% 1.20% N/A 6.74% 108% 84,949
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 10.64 4.00% 1.20% N/A 12.98% 84% 100,070
B SHARES*
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 10.44 2.76% 1.80% 2.17% 3.87% 55% 6,457
AUGUST 1, 1998 TO
FEBRUARY 28, 1999...... 10.61 2.24% 1.70% 3.01% 3.35% 66% 3,161
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 10.44 2.77% 1.80% 2.13% 3.91% 55% 7,243
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 10.62 2.27% 1.76% 2.66% 0.02% 66% 4,758
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 10.36 3.56% 1.00% 1.05% 0.53% 55% 134
LIFEPATH 2010 FUND
- -------------------------------------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 12.88 2.45% 1.30% 1.39% 7.50% 49% 89,056
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 13.27 2.42% 1.25% 1.28% 9.91% 38% 89,543
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 13.16 2.85% 1.20% N/A 18.45% 46% 89,659
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 12.20 3.16% 1.20% N/A 11.60% 73% 82,971
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 11.42 3.06% 1.20% N/A 19.40% 39% 67,178
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 12.88 1.93% 1.80% 1.94% 6.96% 49% 29,937
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 13.25 1.90% 1.76% 1.84% 9.30% 38% 18,158
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 13.10 2.15% 1.70% N/A 17.64% 46% 6,248
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 12.97 1.88% 1.80% 2.52% 6.91% 49% 5,364
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 13.29 2.04% 1.76% 7.72% 1.11% 38% 675
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 12.95 2.72% 1.00% 1.01% 1.08% 49% 1,661
LIFEPATH 2020 FUND
- -------------------------------------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 14.78 1.52% 1.30% 1.33% 10.45% 43% 176,460
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 14.91 1.61% 1.25% 1.26% 12.02% 36% 165,584
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 14.70 2.05% 1.20% N/A 23.97% 41% 166,198
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 12.98 2.33% 1.20% N/A 14.65% 61% 146,226
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 11.98 2.45% 1.20% N/A 22.94% 49% 122,488
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 14.66 1.02% 1.80% 1.95% 9.90% 43% 47,472
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 14.79 1.04% 1.76% 1.84% 11.56% 36% 28,467
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 14.55 1.33% 1.70% N/A 23.05% 41% 12,129
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 14.74 0.92% 1.80% 3.28% 9.87% 43% 3,009
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 14.82 0.76% 1.71% 52.02% 1.70% 36% 192
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 14.89 1.69% 1.00% 1.01% 1.74% 43% 3,879
</TABLE>
(1) THESE RATIOS INCLUDE INCOME EARNED AND EXPENSES CHARGED TO THE MASTER
PORTFOLIO. ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
(2) REPRESENTS THE PORTFOLIO TURNOVER RATE OF EACH FUND'S MASTER PORTFOLIO.
* THIS CLASS OF SHARES COMMENCED OPERATIONS ON AUGUST 1, 1998.
** THIS CLASS OF SHARES COMMENCED OPERATIONS ON DECEMBER 1, 1998.
*** THIS CLASS OF SHARES COMMENCED OPERATIONS ON MARCH 1, 1997.
+ DISTRIBUTION WAS LESS THAN $.01 PER SHARE.
++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
+++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON JULY 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
13
<PAGE>
LIFEPATH FUNDS FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
NET REALIZED
BEGINNING NET AND DIVIDENDS DISTRIBUTIONS
NET ASSET INVESTMENT UNREALIZED FROM NET FROM NET
VALUE PER INCOME GAIN (LOSS) ON INVESTMENT REALIZED
SHARE (LOSS) INVESTMENTS INCOME GAINS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
LIFEPATH 2030 FUND
- -------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... $ 17.15 $ 0.17 $ 2.03 $ (0.17) $ (2.22)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 16.51 0.18 1.93 (0.19) (1.28)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 13.83 0.23 3.54 (0.23) (0.86)
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 12.34 0.22 1.83 (0.23) (0.33)
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 10.17 0.21 2.45 (0.22) (0.27)
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 16.93 0.08 2.01 (0.08) (2.22)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 16.28 0.09 1.92 (0.10) (1.26)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 13.63 0.10 3.50 (0.09) (0.86)
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 16.94 0.06 2.01 (0.05) (2.22)
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 17.89 0.00 0.31 0.00+ (1.26)
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 18.73 0.03 0.54 (0.01) (2.22)
LIFEPATH 2040 FUND
- -------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 17.87 0.05 2.78 (0.05) (1.87)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 17.07 0.08 2.39 (0.08) (1.59)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 14.50 0.13 4.17 (0.14) (1.59)
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 12.84 0.16 2.35 (0.16) (0.69)
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 10.37 0.15 2.82 (0.16) (0.34)
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 17.52 (0.04) 2.73 0.00 (1.87)
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 16.76 (0.01) 2.33 (0.01) (1.55)
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 14.29 0.03 4.06 (0.03) (1.59)
C SHARES+++
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 17.53 (0.04) 2.72 0.00 (1.87)
JULY 1, 1998 TO FEBRUARY
28, 1999............... 18.01 (0.01) 1.08 0.00 (1.55)
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 19.97 0.00 0.80 0.00 (1.87)
</TABLE>
(1) THESE RATIOS INCLUDE INCOME EARNED AND EXPENSES CHARGED TO THE MASTER
PORTFOLIO. ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
(2) REPRESENTS THE PORTFOLIO TURNOVER RATE OF EACH FUND'S MASTER PORTFOLIO.
* THIS CLASS OF SHARES COMMENCED OPERATIONS ON AUGUST 1, 1998.
** THIS CLASS OF SHARES COMMENCED OPERATIONS ON DECEMBER 1, 1998.
*** THIS CLASS OF SHARES COMMENCED OPERATIONS ON MARCH 1, 1997.
+ DISTRIBUTION WAS LESS THAN $.01 PER SHARE.
++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
+++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON JULY 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
14
<PAGE>
FINANCIAL HIGHLIGHTS LIFEPATH FUNDS
- --------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
ENDING RATIO TO AVERAGE NET ASSETS (I)
NET ASSETS ---------------------------------- PORTFOLIO NET ASSETS,
VALUE PER NET INVESTMENT NET GROSS TOTAL TURNOVER END OF YEAR
SHARE INCOME(LOSS) EXPENSES EXPENSES RETURN RATE(2) (000'S OMITTED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
LIFEPATH 2030 FUND
- -------------------------------------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... $ 16.96 0.96% 1.30% 1.37% 12.63% 26% $ 140,867
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 17.15 1.07% 1.23% 1.26% 13.25% 19% 134,008
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 16.51 1.50% 1.20% N/A 28.01% 27% 126,131
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 13.83 1.81% 1.20% N/A 17.01% 42% 101,078
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 12.34 1.92% 1.20% N/A 26.53% 39% 83,012
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 16.72 0.44% 1.80% 1.98% 12.13% 26% 36,406
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 16.93 0.52% 1.75% 1.84% 12.64% 19% 25,206
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 16.28 0.76% 1.70% N/A 26.93% 27% 12,469
C SHARES**
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 16.74 0.36% 1.80% 5.37% 12.05% 26% 1,293
DECEMBER 1, 1998 TO
FEBRUARY 28, 1999...... 16.94 0.16% 1.73% 72.87% 1.98% 19% 92
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 17.07 1.06% 1.00% 1.02% 2.39% 26% 1,203
LIFEPATH 2040 FUND
- -------------------------------------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 18.78 0.24% 1.30% 1.36% 15.65% 29% 306,002
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 17.87 0.42% 1.25% 1.26% 14.98% 19% 261,808
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 17.07 0.82% 1.20% N/A 30.66% 34% 248,195
MARCH 1, 1996 TO FEBRUARY
28, 1997............... 14.50 1.22% 1.20% N/A 20.17% 48% 189,560
MARCH 1, 1995 TO FEBRUARY
29, 1996............... 12.84 1.29% 1.20% N/A 28.91% 29% 142,738
B SHARES***
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 18.34 -0.28% 1.80% 1.95% 15.07% 29% 93,757
MARCH 1, 1998 TO FEBRUARY
28, 1999............... 17.52 -0.12% 1.75% 1.78% 14.37% 19% 63,395
MARCH 1, 1997 TO FEBRUARY
28, 1998............... 16.76 0.08% 1.70% N/A 29.47% 34% 30,754
C SHARES+++
MARCH 1, 1999 TO FEBRUARY
29, 2000............... 18.34 -0.30% 1.80% 2.55% 15.07% 29% 6,095
JULY 1, 1998 TO FEBRUARY
28, 1999............... 17.53 -0.39% 1.71% 4.71% 6.40% 19% 3,096
INSTITUTIONAL SHARES++
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 18.90 0.24% 1.00% 1.01% 3.27% 29% 1,069
</TABLE>
(1) THESE RATIOS INCLUDE INCOME EARNED AND EXPENSES CHARGED TO THE MASTER
PORTFOLIO. ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
(2) REPRESENTS THE PORTFOLIO TURNOVER RATE OF EACH FUND'S MASTER PORTFOLIO.
* THIS CLASS OF SHARES COMMENCED OPERATIONS ON AUGUST 1, 1998.
** THIS CLASS OF SHARES COMMENCED OPERATIONS ON DECEMBER 1, 1998.
*** THIS CLASS OF SHARES COMMENCED OPERATIONS ON MARCH 1, 1997.
+ DISTRIBUTION WAS LESS THAN $.01 PER SHARE.
++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON NOVEMBER 8, 1999.
+++ THIS CLASS OF SHARES COMMENCED OPERATIONS ON JULY 1, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
15
<PAGE>
LIFEPATH FUNDS NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
- --------------------------------------------------------------------------------
ORGANIZATION
Wells Fargo Funds Trust (the "Trust") (successor to Stagecoach Trust) is
registered under the Investment Company Act of 1940, as amended (the "1940
Act"), as an open-end management investment company. The Trust commenced
operations on November 8, 1999, and is currently comprised of 61 separate
series. These financial statements represent the LifePath Opportunity,
LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds (each a
"Fund," collectively, the "Funds").
The following significant accounting policies are consistently followed by
the Trust 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
Each Fund is authorized to issue four classes of shares: Class A, Class B,
Class C and Institutional Class. Each Fund's Institutional Class shares
commenced operations on November 8, 1999. The four classes of shares differ
principally in their respective distribution fees and sales charges.
Shareholders of each class bear certain expenses that pertain to that
particular class. All shareholders bear the common expenses of the Fund and
earn income from the portfolio, pro rata based on the average daily net assets
of each class. Dividends are determined separately for each class based on
income and expenses allocable to each class. Gains are allocated to each class
pro rata based upon net assets of each class on the date of distribution. No
class has preferential dividend rights; differences in per share dividend
rates are generally due to differences in separate class expenses, including
distribution fees and from the weightings of pro rata income and gain
allocations.
INVESTMENT POLICIES AND SECURITY VALUATION
Each Fund invests all of its assets in a separate series (each, a "Master
Portfolio") of Master Investment Portfolio ("MIP"). Each Master Portfolio has
the same investment objective as the Fund bearing the corresponding name. The
value of each Fund's investment in its corresponding Master Portfolio reflects
that Fund's interest in the net assets of that Master Portfolio (63.12%,
55.40%, 58.85%, 66.45%, and 75.81%) for the LifePath Opportunity,
LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds,
respectively, at February 29, 2000. The method by which the MIP values its
securities is discussed in Note 1 of the MIP's Notes to Financial Statements,
which are included elsewhere in this report.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Each Fund records its proportionate interest in the net investment income and
realized and unrealized capital gains and losses of its corresponding Master
Portfolio, on a daily basis.
The performance of each Fund is directly affected by the performance of its
corresponding Master Portfolio. The financial statements of each Master
Portfolio, including the Portfolios of Investments, are included elsewhere in
this report and should be read in conjunction with the corresponding Fund's
financial statements.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Each Fund declares and pays dividends to shareholders from net investment
income quarterly. Distributions to shareholders from any net realized capital
gains are declared and distributed at least annually.
Due to the timing of distributions and the differences in accounting for
income and realized gains (losses) for financial statement and federal income
tax purposes, the fiscal year in which amounts are distributed may differ from
the year in which the income and realized gains (losses) were recorded by the
Funds.
FEDERAL INCOME TAXES
Each Fund is treated as a separate entity for federal income tax purposes. It
is the policy of each Fund to continue to qualify as a regulated investment
company by complying with the provisions applicable to regulated investment
companies, as defined in the Internal Revenue Code of 1986, as amended and to
distribute annually substantially all of its income and any gains (taking into
account capital loss
16
<PAGE>
NOTES TO FINANCIAL STATEMENTS LIFEPATH FUNDS
- --------------------------------------------------------------------------------
carryforwards) sufficient to relieve it from all, or substantially all,
federal income and excise taxes. Accordingly, no provision for federal taxes
was required at February 29, 2000.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
- --------------------------------------------------------------------------------
Wells Fargo Bank ("WFB") is contractually obligated to reimburse each Fund
for some of its operating expenses or to waive a portion of the fees payable
to it in order to maintain a certain operating expense ratio. The minimum term
of the contract is one year from the closing date of the reorganization, which
was November 5, 1999. After this time, the contract remains in effect unless
the Board acts to reduce or eliminate such waivers. Actual reimbursements and
waivers have a positive effect on performance information. For the year ended
February 29, 2000, Wells Fargo Bank waived a portion of each Fund's expenses.
Expense waiver information is included in the Funds' Statements of Operations.
On March 26, 1999, the Trust entered into an Administration Agreement with
WFB on behalf of the Funds. Under the Administration Agreement, WFB acts as
sole Administrator of the Funds and is entitled to receive on a monthly basis,
fees at an annual rate of 0.15% of the average daily net assets of the Funds.
Investors Bank & Trust Company ("IBT") serves as the Sub-Administrator to each
Fund. IBT is entitled to receive a separate fee from WFB for its
Sub-Administrator services. Prior to March 26, 1999, Stagecoach Trust had
entered into administration agreements on behalf of the Funds whereby WFB as
administrator and Stephens Inc. ("Stephens") as co-administrator provided the
Funds with administrative services. For these services, WFB and Stephens were
entitled to receive monthly fees at the annual rates of 0.03% and 0.04%,
respectively, of each Funds average daily net assets.
The Trust has entered into an agreement with Boston Financial Data Services
("BFDS") as the transfer agent for the Trust. WFB will continue to provide
sub-transfer agency services to the Funds. Prior to July 17,1999, Stagecoach
Trust had entered into transfer and dividend disbursing agency service
arrangements with WFB. For providing the transfer and dividend disbursing
agency services, Stagecoach Trust paid on a monthly basis, fees at the annual
rate of 0.14% for Class A, Class B and Class C of each Fund's average daily
net assets.
On behalf of the Funds, the Trust may enter into servicing agreements with
certain financial institutions, securities dealers and other industry
professionals (collectively, "Shareholder Servicing Agents") for the provision
of certain services to Fund shareholders. For the services provided pursuant
to a Shareholder Servicing Agreement, Class A, Class B, Class C and
Institutional Class may pay each Shareholder Servicing Agent a fee of up to
0.25% of the average daily net asset value of each Fund's shares beneficially
owned by customers of the Shareholder Servicing Agent. The Trust has entered
into a Shareholder Servicing Agreement with Barclays Global Investors, N.A.
("BGI").
The Trust has entered into an agreement with Stephens on behalf of its shares
for distribution services and has adopted a Plan of Distribution pursuant to
Rule 12b-1 under the 1940 Act, whereby Stephens may be compensated for
services incurred on behalf of the Class A, Class B and Class C shares. For
providing these services, Stephens is entitled to receive 0.25% of the average
daily net assets of Class A shares on an annual basis and 0.75% of the average
daily net assets of Class B and Class C shares on an annual basis. There are
no Rule 12b-1 fees charged for the Institutional Class shares.
Certain officers of the Trust are also officers of Stephens. As of February
29, 2000, these officers of Stephens collectively owned less than 1% of the
outstanding shares of each Fund.
3. CAPITAL SHARE TRANSACTIONS
- --------------------------------------------------------------------------------
As of February 29, 2000, the Trust has authorized an unlimited number of
shares of beneficial interest without par value. Transactions in capital
shares for each Fund are disclosed in detail in the Statement of Changes in
Net Assets.
17
<PAGE>
(This page has been left blank intentionally.)
18
<PAGE>
INDEPENDENT AUDITORS' REPORT LIFEPATH FUNDS
- --------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
WELLS FARGO FUNDS TRUST:
We have audited the accompanying statements of assets and liabilities of
LifePath Opportunity Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030
Fund and LifePath 2040 Fund (five of the funds comprising Wells Fargo Funds
Trust (successor to Stagecoach Trust)), as of February 29, 2000, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the years in the two-year period then ended and the
financial highlights for the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Trust'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 generally accepted auditing
standards. 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 of Wells Fargo Funds Trust as of February 29, 2000,
the results of their operations, the changes in their net assets and their
financial highlights for the periods indicated above in conformity with
generally accepted accounting principles.
/s/ KPMG LLP
San Francisco, California
April 7, 2000
19
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS
PERCENT OF NET ASSETS 21.04% 44.20%
U.S. COMMON STOCKS
PERCENT OF NET ASSETS 14.60% 33.69%
ADVERTISING
PERCENT OF NET ASSETS 0.03% 0.06%
APAC CUSTOMER SERVICES
INC.+ 100 $ 793 176 $ 1,391
GOLDEN BOOKS FAMILY
ENTERTAINMENT INC. 1 1 0 --
HARTE-HANKS INC. 100 2,181 328 7,154
INTERPUBLIC GROUP OF
COMPANIES INC. 66 2,652 1,298 52,163
LAMAR ADVERTISING CO.+ 0 -- 0 --
OMNICOM GROUP INC. 211 19,874 615 57,925
R.H. DONNELLEY CORP.+ 36 607 252 4,253
SNYDER COMMUNICATIONS
INC.+ 0 -- 252 6,111
TMP WORLDWIDE INC.+ 0 -- 0 --
VENTIV HEALTH INC.+ 0 -- 150 1,200
YOUNG & RUBICAM INC. 100 5,050 64 3,232
----------- ------------
$ 31,158 $ 133,429
AEROSPACE / DEFENSE
PERCENT OF NET ASSETS 0.13% 0.36%
BOEING CO. 692 $ 25,517 6,477 $ 238,839
CORDANT TECHNOLOGIES INC. 232 7,511 240 7,770
GENCORP INC. 0 -- 0 --
GENERAL DYNAMICS CORP. 206 8,909 1,337 57,825
GOODRICH (B.F.) CO. 82 1,963 735 17,594
HONEYWELL INTERNATIONAL
INC. 679 32,677 4,895 235,572
HOWMET INTERNATIONAL
INC.+ 0 -- 76 1,392
LITTON INDUSTRIES INC.+ 201 6,017 143 4,281
LOCKHEED MARTIN CORP. 110 1,918 2,443 42,600
NORTHROP GRUMMAN CORP. 129 5,861 429 19,493
PRIMEX TECHNOLOGIES INC. 94 1,974 98 2,058
RAYTHEON CO. "B" 174 3,219 2,028 37,518
SEQUA CORP. "A"+ 110 4,077 0 --
TELEDYNE TECHNOLOGIES
INC.+ 0 -- 179 1,555
UNITED TECHNOLOGIES CORP. 448 22,820 2,899 147,668
----------- ------------
$ 122,463 $ 814,165
AGRICULTURE
PERCENT OF NET ASSETS 0.00% 0.00%
DELTA & PINE LAND CO. 0 $ -- 240 $ 4,305
----------- ------------
AIRLINES
PERCENT OF NET ASSETS 0.05% 0.09%
AIRTRAN HOLDINGS INC.+ 300 $ 1,228 176 $ 721
AMR CORP.+ 134 7,085 1,067 56,418
CONTINENTAL AIRLINES INC.
"B"+ 300 9,487 328 10,373
DELTA AIR LINES INC. 142 6,479 953 43,481
NORTHWEST AIRLINES CORP.
"A"+ 100 1,725 516 8,901
SOUTHWEST AIRLINES CO. 163 3,005 3,037 55,995
UAL CORP.+ 300 14,625 504 24,570
US AIRWAYS GROUP INC.+ 13 243 418 7,811
----------- ------------
$ 43,877 $ 208,270
</TABLE>
20
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS
PERCENT OF NET ASSETS 67.34% 82.62% 98.73%
U.S. COMMON STOCKS
PERCENT OF NET ASSETS 52.10% 63.00% 77.80%
ADVERTISING
PERCENT OF NET ASSETS 0.12% 0.14% 0.19%
APAC CUSTOMER SERVICES
INC.+ 451 $ 3,574 457 $ 3,620 630 $ 4,995
GOLDEN BOOKS FAMILY
ENTERTAINMENT INC. 2 2 1 1 0 --
HARTE-HANKS INC. 852 18,584 782 17,057 2,520 54,967
INTERPUBLIC GROUP OF
COMPANIES INC. 3,690 148,292 2,936 117,991 8,200 329,538
LAMAR ADVERTISING CO.+ 100 4,356 100 4,356 200 8,712
OMNICOM GROUP INC. 2,415 227,463 1,945 183,195 5,256 495,049
R.H. DONNELLEY CORP.+ 550 9,281 489 8,252 1,320 22,275
SNYDER COMMUNICATIONS
INC.+ 514 12,464 525 12,731 1,313 31,840
TMP WORLDWIDE INC.+ 100 13,594 100 13,594 100 13,594
VENTIV HEALTH INC.+ 170 1,360 141 1,128 371 2,968
YOUNG & RUBICAM INC. 738 37,269 246 12,423 1,483 74,891
------------ ------------ ------------
$ 476,239 $ 374,348 $ 1,038,829
AEROSPACE / DEFENSE
PERCENT OF NET ASSETS 0.56% 0.68% 0.76%
BOEING CO. 16,828 $ 620,533 14,272 $ 526,280 30,395 $ 1,120,816
CORDANT TECHNOLOGIES INC. 768 24,864 621 20,105 1,866 60,412
GENCORP INC. 425 3,320 0 -- 0 --
GENERAL DYNAMICS CORP. 3,314 143,330 2,696 116,602 6,137 265,425
GOODRICH (B.F.) CO. 1,884 45,098 1,409 33,728 3,479 83,279
HONEYWELL INTERNATIONAL
INC. 13,509 650,121 11,265 542,128 25,215 1,213,472
HOWMET INTERNATIONAL
INC.+ 251 4,596 68 1,245 695 12,727
LITTON INDUSTRIES INC.+ 521 15,597 696 20,836 1,736 51,971
LOCKHEED MARTIN CORP. 6,530 113,867 5,486 95,662 12,034 209,843
NORTHROP GRUMMAN CORP. 1,123 51,026 849 38,576 2,008 91,239
PRIMEX TECHNOLOGIES INC. 188 3,948 152 3,192 222 4,662
RAYTHEON CO. "B" 5,635 104,248 4,693 86,820 10,161 187,978
SEQUA CORP. "A"+ 120 4,448 91 3,373 0 --
TELEDYNE TECHNOLOGIES
INC.+ 458 3,979 410 3,562 802 6,967
UNITED TECHNOLOGIES CORP. 8,148 415,039 6,790 345,866 15,135 770,939
------------ ------------ ------------
$ 2,204,014 $ 1,837,975 $ 4,079,730
AGRICULTURE
PERCENT OF NET ASSETS 0.00% 0.00% 0.00%
DELTA & PINE LAND CO. 100 $ 1,794 100 $ 1,794 188 $ 3,372
------------ ------------ ------------
AIRLINES
PERCENT OF NET ASSETS 0.14% 0.18% 0.22%
AIRTRAN HOLDINGS INC.+ 450 $ 1,842 278 $ 1,138 719 $ 2,943
AMR CORP.+ 2,909 153,813 2,422 128,063 5,639 298,162
CONTINENTAL AIRLINES INC.
"B"+ 1,027 32,479 1,050 33,206 2,761 87,317
DELTA AIR LINES INC. 2,526 115,249 2,085 95,128 4,715 215,122
NORTHWEST AIRLINES CORP.
"A"+ 1,052 18,147 1,786 30,808 3,910 67,447
SOUTHWEST AIRLINES CO. 8,396 154,801 6,950 128,141 16,606 306,173
UAL CORP.+ 1,152 56,160 871 42,461 3,191 155,561
US AIRWAYS GROUP INC.+ 1,148 21,453 955 17,847 2,302 43,019
------------ ------------ ------------
$ 553,944 $ 476,792 $ 1,175,744
</TABLE>
21
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
APPAREL
PERCENT OF NET ASSETS 0.03% 0.06%
BURLINGTON INDUSTRIES
INC.+ 729 $ 2,050 419 $ 1,178
FRUIT OF THE LOOM LTD.
"A"+ 187 280 570 855
HARTMARX CORP.+ 81 258 202 644
JONES APPAREL GROUP INC.+ 300 6,787 1,000 22,625
LIZ CLAIBORNE INC. 81 3,032 455 17,034
NIKE INC. "B" 193 5,488 1,886 53,633
OSHKOSH B'GOSH INC. "A" 52 988 86 1,634
PHILLIPS-VAN HEUSEN
CORPORATION 0 -- 0 --
REEBOK INTERNATIONAL
LTD.+ 0 -- 309 2,472
RUSSELL CORP. 0 -- 283 3,909
STRIDE RITE CORP. 63 346 330 1,815
UNIFI INC.+ 168 1,606 892 8,530
VF CORP. 120 2,963 756 18,664
WARNACO GROUP INC. "A" 100 1,087 892 9,700
----------- ------------
$ 24,885 $ 142,693
AUTO MANUFACTURERS
PERCENT OF NET ASSETS 0.09% 0.31%
FORD MOTOR CO. 961 $ 40,002 8,317 $ 346,195
GENERAL MOTORS CORP. "A" 451 34,304 4,242 322,657
NAVISTAR INTERNATIONAL
CORP.+ 124 4,061 456 14,934
PACCAR INC. 93 4,005 552 23,771
----------- ------------
$ 82,372 $ 707,557
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.06% 0.09%
AUTOLIV INC. 444 $ 12,099 1,043 $ 28,422
BANDAG INC. 0 -- 88 2,068
BANDAG INC. "A" 100 2,137 88 1,881
BREED TECHNOLOGIES INC.+ 0 -- 0 --
COLLINS & AIKMAN CORP. 0 -- 0 --
COOPER TIRE & RUBBER CO. 65 703 514 5,558
DANA CORP. 209 4,454 1,181 25,170
DELPHI AUTOMOTIVE SYSTEMS 221 3,688 2,991 49,912
FEDERAL-MOGUL CORP. 296 4,033 516 7,030
GOODYEAR TIRE & RUBBER
CO. 237 5,377 925 20,986
LEAR CORP.+ 200 4,225 516 10,900
MERITOR AUTOMOTIVE INC. 170 2,380 1,094 15,316
OEA INC.+ 0 -- 0 --
STRATTEC SECURITY CORP.+ 10 332 25 831
SUPERIOR INDUSTRIES
INTERNATIONAL INC. 322 7,688 229 5,467
TENNECO AUTOMOTIVE INC. 0 -- 233 1,718
TRW INC. 121 5,808 715 34,320
----------- ------------
$ 52,924 $ 209,579
BANKS
PERCENT OF NET ASSETS 0.71% 1.81%
AMSOUTH BANCORP 495 $ 7,177 4,029 $ 58,420
ASSOCIATED BANCCORP. 150 3,797 538 13,618
ASTORIA FINANCIAL CORP. 330 7,858 481 11,454
BANCWEST CORPORATION 400 6,075 128 1,944
BANK OF AMERICA CORP. 1,253 57,716 11,136 512,952
BANK OF NEW YORK CO. INC. 478 15,923 4,689 156,202
</TABLE>
22
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
APPAREL
PERCENT OF NET ASSETS 0.09% 0.11% 0.11%
BURLINGTON INDUSTRIES
INC.+ 1,096 $ 3,082 769 $ 2,163 1,880 $ 5,288
FRUIT OF THE LOOM LTD.
"A"+ 1,347 2,020 936 1,404 2,118 3,177
HARTMARX CORP.+ 441 1,406 416 1,326 646 2,059
JONES APPAREL GROUP INC.+ 1,984 44,888 1,964 44,435 4,263 96,450
LIZ CLAIBORNE INC. 859 32,159 789 29,538 1,858 69,559
NIKE INC. "B" 4,884 138,889 4,076 115,911 8,387 238,505
OSHKOSH B'GOSH INC. "A" 400 7,600 152 2,888 392 7,448
PHILLIPS-VAN HEUSEN
CORPORATION 359 2,491 259 1,797 0 --
REEBOK INTERNATIONAL
LTD.+ 996 7,968 793 6,344 1,424 11,392
RUSSELL CORP. 537 7,417 606 8,370 726 10,028
STRIDE RITE CORP. 883 4,856 731 4,020 1,381 7,596
UNIFI INC.+ 1,674 16,008 1,512 14,458 3,350 32,034
VF CORP. 2,069 51,078 1,686 41,623 3,741 92,356
WARNACO GROUP INC. "A" 1,502 16,334 1,239 13,474 2,926 31,820
------------ ------------ ------------
$ 336,196 $ 287,751 $ 607,712
AUTO MANUFACTURERS
PERCENT OF NET ASSETS 0.46% 0.56% 0.61%
FORD MOTOR CO. 21,002 $ 874,208 17,768 $ 739,593 38,500 $ 1,602,563
GENERAL MOTORS CORP. "A" 10,967 834,177 9,319 708,826 20,425 1,553,577
NAVISTAR INTERNATIONAL
CORP.+ 977 31,997 834 27,314 1,914 62,683
PACCAR INC. 1,213 52,235 998 42,976 2,263 97,450
------------ ------------ ------------
$ 1,792,617 $ 1,518,709 $ 3,316,273
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.13% 0.17% 0.19%
AUTOLIV INC. 1,901 $ 51,802 1,515 $ 41,284 5,697 $ 155,243
BANDAG INC. 175 4,112 89 2,091 265 6,227
BANDAG INC. "A" 175 3,741 179 3,826 353 7,545
BREED TECHNOLOGIES INC.+ 0 -- 0 -- 89 61
COLLINS & AIKMAN CORP. 0 -- 0 -- 453 2,293
COOPER TIRE & RUBBER CO. 981 10,607 998 10,791 2,047 22,133
DANA CORP. 2,710 57,757 2,343 49,935 4,872 103,835
DELPHI AUTOMOTIVE SYSTEMS 9,445 157,613 7,748 129,295 17,358 289,662
FEDERAL-MOGUL CORP. 811 11,050 1,237 16,854 2,920 39,785
GOODYEAR TIRE & RUBBER
CO. 2,708 61,438 2,397 54,382 4,936 111,986
LEAR CORP.+ 1,027 21,695 1,061 22,414 2,673 56,467
MERITOR AUTOMOTIVE INC. 1,868 26,152 1,914 26,796 3,930 55,020
OEA INC.+ 270 1,839 299 2,037 0 --
STRATTEC SECURITY CORP.+ 63 2,095 44 1,463 0 --
SUPERIOR INDUSTRIES
INTERNATIONAL INC. 398 9,502 296 7,067 450 10,744
TENNECO AUTOMOTIVE INC. 580 4,278 486 3,584 954 7,036
TRW INC. 2,075 99,600 1,695 81,360 3,753 180,144
------------ ------------ ------------
$ 523,281 $ 453,179 $ 1,048,181
BANKS
PERCENT OF NET ASSETS 2.63% 3.27% 3.79%
AMSOUTH BANCORP 7,113 $ 103,138 6,545 $ 94,902 20,130 $ 291,885
ASSOCIATED BANCCORP. 886 22,427 837 21,187 3,480 88,087
ASTORIA FINANCIAL CORP. 881 20,979 1,244 29,623 2,847 67,794
BANCWEST CORPORATION 852 12,940 492 7,472 2,096 31,833
BANK OF AMERICA CORP. 29,184 1,344,288 24,467 1,127,011 54,592 2,514,644
BANK OF NEW YORK CO. INC. 12,470 415,407 10,671 355,478 23,311 776,548
</TABLE>
23
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
BANK ONE CORP. 965 $ 24,912 7,413 $ 191,348
BB&T CORP. 200 4,700 1,749 41,101
CCB FINANCIAL CORP. 200 7,425 152 5,643
CENTURA BANKS INC. 200 6,750 352 11,880
CHARTER ONE FINANCIAL
INC. 569 8,962 1,357 21,373
CHASE MANHATTAN CORP. 658 52,393 5,193 413,493
CITY NATIONAL CORP. 100 2,756 328 9,040
COLONIAL BANCGROUP INC. 100 887 200 1,775
COMERICA INC. 194 7,166 872 32,210
COMMERCE BANCSHARES INC. 263 7,561 606 17,423
COMMERCIAL FEDERAL CORP. 0 -- 804 10,402
COMPASS BANCSHARES INC. 500 8,094 988 15,993
CULLEN/FROST BANKERS INC. 0 -- 504 10,836
DIME BANCORP INC. 600 7,312 1,220 14,869
FIFTH THIRD BANCORP 239 12,443 1,762 91,734
FIRST SECURITY CORP. 841 19,501 1,520 35,245
FIRST TENNESSEE NATIONAL
CORP. 616 10,626 1,378 23,770
FIRST UNION CORP. 601 17,729 6,093 179,745
FIRST VIRGINIA BANKS INC. 238 7,497 390 12,285
FIRSTAR CORP. 934 16,637 7,864 140,077
FIRSTMERIT CORP. 200 2,837 804 11,407
FLEETBOSTON FINANCIAL
CORP. 554 15,096 5,778 157,450
FULTON FINANCIAL CORP. 100 1,650 777 12,820
GOLDEN STATE BANCORP
INC.+ 100 1,287 528 6,798
GOLDEN WEST FINANCIAL
CORP. 162 4,617 1,400 39,900
GREENPOINT FINANCIAL
CORP. 400 6,375 880 14,025
HIBERNIA CORP. "A" 700 6,344 1,372 12,434
HUNTINGTON BANCSHARES
INC. 108 2,255 1,424 29,724
INDYMAC MORTGAGE HOLDINGS
INC. 200 2,537 892 11,317
KEYCORP 144 2,439 2,513 42,564
KEYSTONE FINANCIAL INC. 100 1,562 604 9,437
M&T BANK CORP. 0 -- 88 32,472
MARSHALL & ILSLEY CORP. 458 21,039 1,079 49,567
MELLON FINANCIAL CORP. 184 5,543 3,226 97,183
MERCANTILE BANKSHARES
CORP. 254 6,382 723 18,165
MORGAN (J.P.) & COMPANY 116 12,876 1,309 145,299
NATIONAL CITY CORP. 542 10,433 3,622 69,723
NATIONAL COMMERCE BANCORP 300 5,100 1,244 21,148
NORTH FORK BANCORP. 600 9,825 1,396 22,859
NORTHERN TRUST CORP. 238 13,447 1,350 76,275
OCWEN FINANCIAL CORP.+ 0 -- 364 2,161
OLD KENT FINANCIAL CORP. 233 6,102 1,164 30,482
OLD NATIONAL BANCORP 569 14,225 72 1,800
PACIFIC CENTURY FINANCIAL
CORP. 548 8,323 998 15,157
PEOPLE'S BANK 100 1,994 152 3,033
PEOPLES HERITAGE
FINANCIAL GROUP INC. 100 1,062 1,044 11,092
PNC BANK CORP. 219 8,473 1,985 76,795
PROVIDENT FINANCIAL GROUP
INC. 100 2,806 64 1,800
REGIONS FINANCIAL CORP. 70 1,417 1,337 27,074
SOUTHTRUST CORP. 186 4,266 2,152 49,362
SOVEREIGN BANCORP INC. 600 4,350 1,748 12,673
STATE STREET CORP. 205 14,939 857 62,454
SUMMIT BANCORP 174 4,165 1,280 30,640
SUNTRUST BANKS INC. 338 17,175 2,418 122,865
SYNOVUS FINANCIAL CORP. 97 1,588 1,550 25,381
TCF FINANCIAL CORP. 400 7,925 1,056 20,922
</TABLE>
24
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
BANK ONE CORP. 19,896 $ 513,566 16,497 $ 425,829 36,387 $ 939,240
BB&T CORP. 5,774 135,689 4,667 109,674 10,619 249,546
CCB FINANCIAL CORP. 601 22,312 514 19,082 1,578 58,583
CENTURA BANKS INC. 338 11,407 725 24,469 1,225 41,344
CHARTER ONE FINANCIAL
INC. 2,771 43,643 2,444 38,493 7,764 122,283
CHASE MANHATTAN CORP. 14,055 1,119,129 11,830 941,964 26,302 2,094,297
CITY NATIONAL CORP. 864 23,814 782 21,554 2,131 58,736
COLONIAL BANCGROUP INC. 400 3,550 300 2,662 700 6,212
COMERICA INC. 2,667 98,512 2,270 83,848 4,734 174,862
COMMERCE BANCSHARES INC. 1,123 32,286 1,001 28,779 3,633 104,444
COMMERCIAL FEDERAL CORP. 300 3,881 200 2,587 500 6,469
COMPASS BANCSHARES INC. 1,956 31,663 2,411 39,028 5,715 92,512
CULLEN/FROST BANKERS INC. 300 6,450 200 4,300 400 8,600
DIME BANCORP INC. 2,291 27,922 2,836 34,564 6,583 80,230
FIFTH THIRD BANCORP 5,238 272,703 4,312 224,494 9,648 502,299
FIRST SECURITY CORP. 2,798 64,885 2,504 58,061 9,952 230,756
FIRST TENNESSEE NATIONAL
CORP. 2,502 43,159 2,311 39,865 7,242 124,924
FIRST UNION CORP. 16,753 494,214 13,953 411,612 31,252 921,934
FIRST VIRGINIA BANKS INC. 852 26,838 1,176 37,044 2,941 92,641
FIRSTAR CORP. 16,520 294,262 14,441 257,230 34,721 618,468
FIRSTMERIT CORP. 1,953 27,708 1,796 25,481 3,633 51,543
FLEETBOSTON FINANCIAL
CORP. 15,576 424,446 12,886 351,143 28,947 788,806
FULTON FINANCIAL CORP. 300 4,931 300 4,950 500 8,219
GOLDEN STATE BANCORP
INC.+ 952 12,257 971 12,502 2,308 29,715
GOLDEN WEST FINANCIAL
CORP. 2,591 73,843 2,321 66,149 4,883 139,165
GREENPOINT FINANCIAL
CORP. 1,502 23,938 1,429 22,775 4,893 77,982
HIBERNIA CORP. "A" 3,005 27,233 3,828 34,691 8,549 77,475
HUNTINGTON BANCSHARES
INC. 3,740 78,073 3,094 64,587 6,677 139,382
INDYMAC MORTGAGE HOLDINGS
INC. 1,778 22,558 1,618 20,528 3,491 44,292
KEYCORP 7,294 123,542 6,247 105,809 13,649 231,180
KEYSTONE FINANCIAL INC. 1,315 20,547 1,150 17,969 2,750 42,969
M&T BANK CORP. 88 32,472 89 32,841 65 23,985
MARSHALL & ILSLEY CORP. 2,031 93,299 1,860 85,444 5,882 270,204
MELLON FINANCIAL CORP. 8,592 258,834 7,414 223,347 15,872 478,144
MERCANTILE BANKSHARES
CORP. 1,770 44,471 1,852 46,531 3,939 98,967
MORGAN (J.P.) & COMPANY 2,912 323,232 2,655 294,705 5,472 607,392
NATIONAL CITY CORP. 10,348 199,199 8,502 163,664 19,148 368,599
NATIONAL COMMERCE BANCORP 2,291 38,947 2,243 38,131 4,716 80,172
NORTH FORK BANCORP. 2,454 40,184 3,293 53,923 7,422 121,535
NORTHERN TRUST CORP. 3,762 212,553 3,062 173,003 6,970 393,805
OCWEN FINANCIAL CORP.+ 726 4,311 636 3,776 1,172 6,959
OLD KENT FINANCIAL CORP. 2,181 57,115 1,993 52,192 5,834 152,778
OLD NATIONAL BANCORP 565 14,125 195 4,875 1,177 29,433
PACIFIC CENTURY FINANCIAL
CORP. 1,702 25,849 1,487 22,584 4,225 64,167
PEOPLE'S BANK 501 9,996 425 8,480 1,325 26,438
PEOPLES HERITAGE
FINANCIAL GROUP INC. 400 4,250 300 3,187 700 7,437
PNC BANK CORP. 5,167 199,898 4,076 157,690 9,060 350,509
PROVIDENT FINANCIAL GROUP
INC. 326 9,169 246 6,919 972 27,337
REGIONS FINANCIAL CORP. 3,450 69,863 3,105 62,876 6,253 126,623
SOUTHTRUST CORP. 3,237 74,249 3,179 72,918 8,214 188,409
SOVEREIGN BANCORP INC. 3,719 26,963 3,493 25,324 7,778 56,390
STATE STREET CORP. 2,727 198,730 2,190 159,596 5,011 365,177
SUMMIT BANCORP 2,897 69,347 2,596 62,142 5,252 125,720
SUNTRUST BANKS INC. 5,419 275,353 4,507 229,012 10,062 511,275
SYNOVUS FINANCIAL CORP. 4,666 76,406 3,542 58,000 8,873 145,295
TCF FINANCIAL CORP. 2,116 41,923 2,511 49,749 5,058 100,212
</TABLE>
25
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
TRUSTMARK CORP. 100 $ 1,694 616 $ 10,433
U.S. BANCORP 371 6,794 4,108 75,228
UNION PLANTERS CORP. 173 4,736 742 20,312
UNIONBANCAL CORPORATION 100 3,212 200 6,425
US TRUST CORP. 0 -- 0 --
VALLEY NATIONAL BANCORP 110 2,551 634 14,701
WACHOVIA CORP. 172 9,836 1,444 82,579
WASHINGTON FEDERAL INC. 143 2,190 826 12,648
WASHINGTON MUTUAL INC. 294 6,505 3,853 85,248
WELLS FARGO & COMPANY 1,397 46,188 11,318 374,201
WESTAMERICA BANCORP 100 2,269 416 9,438
WILMINGTON TRUST CORP. 192 9,012 249 11,687
ZIONS BANCORP 300 15,919 780 41,389
----------- ------------
$ 663,257 $ 4,153,379
BEVERAGES
PERCENT OF NET ASSETS 0.14% 0.45%
ANHEUSER-BUSCH COMPANIES
INC. 222 $ 14,236 2,140 $ 137,228
BROWN-FORMAN CORP. "B" 64 3,048 418 19,907
COCA-COLA CO. 1,387 67,183 11,944 578,537
COCA-COLA ENTERPRISES 516 12,061 2,215 51,776
COORS (ADOLPH) COMPANY
"B" 59 2,589 308 13,514
PEPSI BOTTLING GROUP INC. 100 1,675 200 3,350
PEPSICO INC. 767 24,736 6,882 221,944
WHITMAN CORP. 364 4,550 1,024 12,800
----------- ------------
$ 130,078 $ 1,039,056
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.23% 0.41%
AFFYMETRIX INC.+ 0 $ -- 0 $ --
AMGEN INC.+ 238 16,229 4,706 320,890
BIOGEN INC.+ 636 68,648 1,324 142,909
CHIRON CORP.+ 296 14,800 1,037 51,850
GENENTECH INC.+ 0 -- 0 --
GENZYME GENERAL DIVISION+ 126 7,237 798 45,835
GENZYME TISSUE REPAIR+ 44 371 10 84
IDEC PHARMACEUTICALS
CORP.+ 0 -- 0 --
IMMUNEX CORP.+ 400 78,950 656 129,519
MILLENNIUM
PHARMACEUTICALS INC.+ 0 -- 0 --
MONSANTO CO 510 19,794 3,851 149,467
PE CORP. (CELERA GENOMICS
GROUP)+ 18 4,392 386 94,184
XOMA LTD.+ 188 1,739 0 --
----------- ------------
$ 212,160 $ 934,738
BUILDING MATERIALS
PERCENT OF NET ASSETS 0.06% 0.07%
AMERICAN STANDARD
COMPANIES+ 100 $ 3,487 616 $ 21,483
ARMSTRONG WORLD
INDUSTRIES INC. 92 1,748 284 5,396
DAL-TILE INTERNATIONAL
INC.+ 0 -- 0 --
HUSSMANN INTERNATIONAL
INC. 32 462 385 5,558
JOHNS MANVILLE CORP. 100 812 340 2,762
LAFARGE CORP. 300 5,906 240 4,725
MARTIN MARIETTA MATERIALS
INC. 0 -- 88 3,124
MASCO CORP. 22 393 2,343 41,881
MODINE MANUFACTURING CO. 309 7,049 220 5,019
OWENS CORNING 18 261 91 1,319
</TABLE>
26
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
TRUSTMARK CORP. 1,865 $ 31,588 1,696 $ 28,726 3,745 $ 63,431
U.S. BANCORP 12,229 223,944 10,090 184,773 23,848 436,716
UNION PLANTERS CORP. 2,258 61,813 1,831 50,124 6,957 190,448
UNIONBANCAL CORPORATION 800 25,700 604 19,403 1,190 38,229
US TRUST CORP. 0 -- 0 -- 100 13,850
VALLEY NATIONAL BANCORP 1,362 31,581 1,300 30,144 3,069 71,162
WACHOVIA CORP. 3,415 195,295 3,108 177,739 6,273 358,737
WASHINGTON FEDERAL INC. 1,672 25,603 1,368 20,948 3,148 48,204
WASHINGTON MUTUAL INC. 9,678 214,126 8,502 188,107 17,994 398,117
WELLS FARGO & COMPANY 29,425 972,864 24,778 819,223 55,601 1,838,308
WESTAMERICA BANCORP 952 21,598 871 19,761 2,208 50,094
WILMINGTON TRUST CORP. 719 33,748 696 32,668 1,833 86,036
ZIONS BANCORP 1,602 85,006 1,239 65,744 3,921 208,058
------------ ------------ ------------
$ 10,351,744 $ 8,895,665 $ 20,458,251
BEVERAGES
PERCENT OF NET ASSETS 0.80% 0.95% 1.25%
ANHEUSER-BUSCH COMPANIES
INC. 6,638 $ 425,662 5,271 $ 338,003 14,272 $ 915,192
BROWN-FORMAN CORP. "B" 1,110 52,864 820 39,053 1,930 91,916
COCA-COLA CO. 36,542 1,770,003 29,962 1,451,284 78,955 3,824,383
COCA-COLA ENTERPRISES 7,109 166,173 5,849 136,720 13,090 305,979
COORS (ADOLPH) COMPANY
"B" 523 22,947 641 28,124 779 34,179
PEPSI BOTTLING GROUP INC. 400 6,700 300 5,025 700 11,725
PEPSICO INC. 21,239 684,958 16,985 547,766 45,894 1,480,082
WHITMAN CORP. 2,587 32,338 2,384 29,800 5,657 70,712
------------ ------------ ------------
$ 3,161,645 $ 2,575,775 $ 6,734,168
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.61% 0.75% 1.02%
AFFYMETRIX INC.+ 0 $ -- 0 $ -- 100 $ 28,962
AMGEN INC.+ 15,050 1,026,222 12,254 835,570 32,402 2,209,411
BIOGEN INC.+ 2,222 239,837 2,260 243,939 7,272 784,921
CHIRON CORP.+ 2,125 106,250 1,943 97,150 4,574 228,700
GENENTECH INC.+ 200 38,575 0 -- 600 115,725
GENZYME GENERAL DIVISION+ 631 36,243 664 38,138 1,401 80,470
GENZYME TISSUE REPAIR+ 162 1,367 146 1,232 148 1,249
IDEC PHARMACEUTICALS
CORP.+ 0 -- 0 -- 200 28,175
IMMUNEX CORP.+ 1,552 306,423 1,484 292,997 3,632 717,093
MILLENNIUM
PHARMACEUTICALS INC.+ 200 52,025 0 -- 600 156,075
MONSANTO CO 10,769 417,972 8,974 348,303 20,030 777,414
PE CORP. (CELERA GENOMICS
GROUP)+ 774 188,856 748 182,512 1,646 401,624
XOMA LTD.+ 269 2,488 272 2,516 0 --
------------ ------------ ------------
$ 2,416,258 $ 2,042,357 $ 5,529,819
BUILDING MATERIALS
PERCENT OF NET ASSETS 0.10% 0.13% 0.17%
AMERICAN STANDARD
COMPANIES+ 1,427 $ 49,767 1,061 $ 37,002 2,573 $ 89,733
ARMSTRONG WORLD
INDUSTRIES INC. 613 11,647 674 12,806 928 17,632
DAL-TILE INTERNATIONAL
INC.+ 0 -- 0 -- 177 1,239
HUSSMANN INTERNATIONAL
INC. 898 12,965 712 10,280 1,453 20,978
JOHNS MANVILLE CORP. 789 6,411 704 5,720 1,878 15,259
LAFARGE CORP. 589 11,596 514 10,119 1,590 31,303
MARTIN MARIETTA MATERIALS
INC. 275 9,762 179 6,354 400 14,200
MASCO CORP. 7,458 133,312 6,004 107,321 13,657 244,119
MODINE MANUFACTURING CO. 408 9,307 299 6,821 442 10,083
OWENS CORNING 602 8,729 441 6,394 1,475 21,388
</TABLE>
27
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
RAYONIER INC. 156 $ 6,201 196 $ 7,791
SOUTHDOWN INC. 275 13,647 240 11,910
USG CORP. 100 3,250 240 7,800
VULCAN MATERIALS CO. 190 7,600 846 33,840
YORK INTERNATIONAL CORP. 202 3,661 258 4,676
----------- ------------
$ 54,477 $ 157,284
CHEMICALS
PERCENT OF NET ASSETS 0.21% 0.43%
AIR PRODUCTS & CHEMICALS
INC. 80 $ 2,060 1,501 $ 38,651
AIRGAS INC.+ 400 2,775 704 4,884
ALBEMARLE CORP. 113 1,702 29 437
ARCH CHEMICALS INC. 135 2,573 334 6,367
ASHLAND INC. 99 3,081 481 14,971
CABOT CORP. 210 4,646 827 18,297
CHEMFIRST INC. 35 682 74 1,443
CK WITCO CORP. 449 4,771 1,910 20,294
CYTEC INDUSTRIES INC.+ 100 2,425 240 5,820
DOW CHEMICAL CO. 191 20,723 1,594 172,949
DU PONT (E.I.) DE NEMOURS 880 44,440 6,618 334,209
EASTMAN CHEMICAL CO. 114 4,097 511 18,364
ENGELHARD CORP. 0 -- 656 8,938
ETHYL CORP. 1,031 3,286 889 2,834
FERRO CORP. 457 8,626 330 6,229
FULLER (H. B.) CO. 0 -- 0 --
GEON CO. 0 -- 0 --
GEORGIA GULF CORP. 237 5,392 317 7,212
GRACE (W.R.) & COMPANY+ 42 423 241 2,425
GREAT LAKES CHEMICAL
CORP. 67 1,947 418 12,148
HANNA (M.A.) CO. 280 3,202 572 6,542
HERCULES INC. 82 1,353 538 8,877
IMC GLOBAL INC. 436 5,886 1,243 16,780
INTERNATIONAL SPECIALTY
PRODUCTS INC.+ 0 -- 276 1,829
LUBRIZOL CORP. 329 8,163 857 21,264
LYONDELL CHEMICAL CO. 76 651 698 5,977
MILLENNIUM CHEMICALS INC. 310 4,340 1,099 15,386
MISSISSIPPI CHEMICAL
CORP. 11 82 24 180
OCTEL CORP.+ 19 178 118 1,106
OLIN CORP. 270 4,185 669 10,369
OMNOVA SOLUTIONS INC. 0 -- 0 --
PRAXAIR INC. 198 6,682 921 31,084
ROHM & HAAS CO. "A" 190 7,671 1,553 62,702
RPM INC. 272 2,720 1,183 11,830
SCHULMAN (A.) INC. 403 5,340 369 4,889
SHERWIN-WILLIAMS CO. 81 1,549 1,054 20,158
SIGMA-ALDRICH CORPORATION 118 2,802 558 13,252
SOLUTIA INC. 543 7,500 1,172 16,188
TERRA INDUSTRIES INC. 500 1,156 352 814
UNION CARBIDE CORP. 125 6,711 726 38,977
VALHI INC. 100 1,112 100 1,112
VALSPAR CORP. 100 3,281 328 10,762
WELLMAN INC. 363 6,761 246 4,582
----------- ------------
$ 194,974 $ 981,132
</TABLE>
28
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
RAYONIER INC. 556 $ 22,101 537 $ 21,346 1,418 $ 56,365
SOUTHDOWN INC. 560 27,790 762 37,814 2,131 105,751
USG CORP. 777 25,252 604 19,630 1,666 54,145
VULCAN MATERIALS CO. 1,658 66,320 1,288 51,520 4,190 167,600
YORK INTERNATIONAL CORP. 904 16,385 884 16,022 2,383 43,192
------------ ------------ ------------
$ 411,344 $ 349,149 $ 892,987
CHEMICALS
PERCENT OF NET ASSETS 0.62% 0.77% 0.85%
AIR PRODUCTS & CHEMICALS
INC. 3,680 $ 94,760 3,172 $ 81,679 6,701 $ 172,551
AIRGAS INC.+ 1,502 10,420 1,350 9,366 3,126 21,687
ALBEMARLE CORP. 336 5,061 186 2,802 771 11,613
ARCH CHEMICALS INC. 604 11,514 606 11,552 1,319 25,143
ASHLAND INC. 1,065 33,148 965 30,036 2,044 63,620
CABOT CORP. 1,916 42,391 1,814 40,135 4,001 88,522
CHEMFIRST INC. 275 5,362 200 3,900 307 5,986
CK WITCO CORP. 3,451 36,667 3,296 35,020 7,295 77,509
CYTEC INDUSTRIES INC.+ 777 18,842 604 14,647 1,666 40,400
DOW CHEMICAL CO. 3,711 402,643 3,193 346,440 6,942 753,207
DU PONT (E.I.) DE NEMOURS 17,871 902,485 14,903 752,602 33,345 1,683,922
EASTMAN CHEMICAL CO. 1,165 41,867 1,045 37,555 2,030 72,953
ENGELHARD CORP. 2,366 32,237 2,017 27,482 4,151 56,557
ETHYL CORP. 1,878 5,986 1,268 4,042 2,435 7,762
FERRO CORP. 573 10,815 443 8,362 1,179 22,254
FULLER (H. B.) CO. 197 12,091 0 -- 0 --
GEON CO. 0 -- 0 -- 265 5,532
GEORGIA GULF CORP. 653 14,856 415 9,441 665 15,129
GRACE (W.R.) & COMPANY+ 996 10,022 746 7,507 1,938 19,501
GREAT LAKES CHEMICAL
CORP. 770 22,378 730 21,216 1,647 47,866
HANNA (M.A.) CO. 1,211 13,851 1,261 14,423 2,551 29,177
HERCULES INC. 1,571 25,921 1,231 20,312 2,383 39,320
IMC GLOBAL INC. 2,694 36,369 2,294 30,969 5,432 73,332
INTERNATIONAL SPECIALTY
PRODUCTS INC.+ 363 2,405 268 1,775 818 5,419
LUBRIZOL CORP. 1,617 40,122 1,566 38,856 3,403 84,437
LYONDELL CHEMICAL CO. 1,267 10,849 1,075 9,205 2,760 23,632
MILLENNIUM CHEMICALS INC. 2,039 28,546 2,016 28,224 4,027 56,378
MISSISSIPPI CHEMICAL
CORP. 92 690 66 495 103 773
OCTEL CORP.+ 263 2,466 233 2,184 522 4,894
OLIN CORP. 1,308 20,274 1,312 20,336 2,738 42,439
OMNOVA SOLUTIONS INC. 425 2,789 0 -- 0 --
PRAXAIR INC. 2,590 87,412 2,332 78,705 4,870 164,362
ROHM & HAAS CO. "A" 3,715 149,993 3,308 133,561 6,596 266,314
RPM INC. 2,552 25,520 2,217 22,170 5,421 54,210
SCHULMAN (A.) INC. 601 7,963 550 7,287 1,147 15,198
SHERWIN-WILLIAMS CO. 2,992 57,222 2,443 46,722 5,005 95,721
SIGMA-ALDRICH CORPORATION 1,784 42,370 1,289 30,614 2,719 64,576
SOLUTIA INC. 2,101 29,020 2,675 36,948 6,440 88,953
TERRA INDUSTRIES INC. 714 1,651 546 1,263 1,072 2,479
UNION CARBIDE CORP. 2,169 116,448 1,819 97,658 4,114 220,870
VALHI INC. 100 1,112 0 -- 165 1,836
VALSPAR CORP. 864 28,350 782 25,659 2,031 66,642
WELLMAN INC. 434 8,083 326 6,072 846 15,757
------------ ------------ ------------
$ 2,452,971 $ 2,097,222 $ 4,608,433
</TABLE>
29
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
COAL
PERCENT OF NET ASSETS 0.00% 0.00%
CONSOL ENERGY INC. 100 $ 1,162 100 $ 1,162
----------- ------------
COMMERCIAL SERVICES
PERCENT OF NET ASSETS 0.21% 0.28%
ACNIELSEN CORP.+ 73 $ 1,236 299 $ 5,064
APOLLO GROUP INC.+ 0 -- 472 10,768
BLOCK (H & R) INC. 105 4,607 588 25,799
CAREMARK RX INC.+ 710 3,195 1,662 7,479
CENDANT CORP.+ 542 9,654 5,352 95,333
CIRCLE.COM+ 0 -- 63 595
COMDISCO INC. 448 17,220 1,162 44,664
CONCORD EFS INC.+ 375 7,336 1,516 29,657
CONVERGYS CORP.+ 100 3,850 200 7,700
CRESCENT OPERATING INC.+ 0 -- 70 157
DELUXE CORP. 64 1,500 514 12,047
DEVRY INC.+ 100 1,806 100 1,806
DONNELLEY (R.R.) & SONS
CO. 139 2,658 755 14,439
DUN & BRADSTREET CORP. 75 1,964 520 13,618
ECOLAB INC. 84 2,373 556 15,707
EQUIFAX INC. 61 1,292 500 10,594
FIRST HEALTH GROUP CORP.+ 468 11,290 962 23,208
GARTNER GROUP INC. "A"+ 0 -- 616 8,816
GARTNER GROUP INC. "B"+ 13 154 226 2,670
HERTZ CORP. 100 3,581 264 9,454
KELLY SERVICES INC. "A" 106 2,551 194 4,668
MAIL-WELL INC.+ 0 -- 100 869
MANPOWER INC. 200 6,537 1,056 34,518
MCKESSON HBOC INC. 345 6,684 1,952 37,820
MIDAS INC. 10 240 128 3,072
MODIS PROFESSIONAL
SERVICES INC.+ 400 6,300 1,220 19,215
NAVIGANT CONSULTING CO.+ 0 -- 0 --
NOVA CORPORATION
(GEORGIA)+ 100 2,306 100 2,306
OGDEN CORP. 101 1,149 638 7,257
OLSTEN CORP. 291 3,474 462 5,515
PAYCHEX INC. 728 36,446 922 46,158
PHYCOR INC.+ 300 347 704 814
PROTECTION ONE INC.+ 0 -- 100 162
QUINTILES TRANSNATIONAL
CORP.+ 190 5,641 704 20,900
RENAISSANCE WORLDWIDE
INC.+ 200 1,050 440 2,310
ROBERT HALF INTERNATIONAL
INC.+ 200 8,450 1,024 43,264
ROLLINS INC. 388 6,281 185 2,995
SERVICE CORP.
INTERNATIONAL 19 70 1,518 5,598
SERVICEMASTER CO. 700 7,700 2,188 24,068
SODEXHO MARRIOTT SERVICES
INC. 44 489 21 234
SOTHEBY'S HOLDINGS INC. 611 12,029 0 --
STEWART ENTERPRISES INC.
"A" 300 1,275 692 2,941
SYLVAN LEARNING SYSTEMS
INC.+ 0 -- 0 --
TELETECH HOLDINGS INC.+ 0 -- 88 3,333
UNITED RENTALS INC.+ 0 -- 0 --
US ONCOLOGY INC.+ 0 -- 176 726
USWEB CORP.+ 100 3,887 100 3,887
VALASSIS COMMUNICATIONS
INC.+ 150 4,153 246 6,811
</TABLE>
30
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
COAL
PERCENT OF NET ASSETS 0.00% 0.00% 0.00%
CONSOL ENERGY INC. 200 $ 2,325 100 $ 1,162 200 $ 2,325
------------ ------------ ------------
COMMERCIAL SERVICES
PERCENT OF NET ASSETS 0.43% 0.53% 0.60%
ACNIELSEN CORP.+ 705 $ 11,941 531 $ 8,994 1,440 $ 24,390
APOLLO GROUP INC.+ 864 19,710 927 21,147 1,931 44,051
BLOCK (H & R) INC. 1,819 79,809 1,403 61,557 2,840 124,605
CAREMARK RX INC.+ 3,636 16,362 3,628 16,326 7,544 33,948
CENDANT CORP.+ 14,052 250,301 12,242 218,061 25,588 455,786
CIRCLE.COM+ 54 510 131 1,236 303 2,860
COMDISCO INC. 3,000 115,313 2,753 105,818 6,529 250,958
CONCORD EFS INC.+ 3,472 67,921 3,047 59,607 6,824 133,495
CONVERGYS CORP.+ 700 26,950 400 15,400 1,200 46,200
CRESCENT OPERATING INC.+ 0 -- 0 -- 277 623
DELUXE CORP. 1,071 25,102 1,047 24,539 2,044 47,906
DEVRY INC.+ 300 5,419 200 3,612 400 7,225
DONNELLEY (R.R.) & SONS
CO. 2,283 43,662 1,873 35,821 4,360 83,385
DUN & BRADSTREET CORP. 2,396 62,745 1,963 51,406 4,641 121,536
ECOLAB INC. 2,058 58,138 1,563 44,155 3,858 108,989
EQUIFAX INC. 2,149 45,532 1,476 31,273 4,076 86,360
FIRST HEALTH GROUP CORP.+ 1,806 43,570 1,700 41,012 3,694 89,118
GARTNER GROUP INC. "A"+ 1,140 16,316 1,061 15,186 2,485 35,567
GARTNER GROUP INC. "B"+ 771 9,107 642 7,584 1,471 17,376
HERTZ CORP. 426 15,256 536 19,195 960 34,380
KELLY SERVICES INC. "A" 341 8,205 374 8,999 882 21,223
MAIL-WELL INC.+ 100 869 0 -- 188 1,633
MANPOWER INC. 2,216 72,435 2,064 67,467 4,163 136,078
MCKESSON HBOC INC. 4,677 90,617 3,633 70,389 8,899 172,418
MIDAS INC. 299 7,176 237 5,688 450 10,800
MODIS PROFESSIONAL
SERVICES INC.+ 2,654 41,800 2,300 36,225 5,246 82,624
NAVIGANT CONSULTING CO.+ 100 962 100 962 300 2,887
NOVA CORPORATION
(GEORGIA)+ 300 6,919 300 6,919 500 11,531
OGDEN CORP. 1,213 13,798 966 10,988 2,324 26,435
OLSTEN CORP. 1,079 12,881 982 11,723 2,157 25,749
PAYCHEX INC. 3,369 168,661 2,750 137,672 7,247 362,803
PHYCOR INC.+ 1,546 1,788 1,573 1,819 3,436 3,973
PROTECTION ONE INC.+ 200 325 0 -- 200 325
QUINTILES TRANSNATIONAL
CORP.+ 1,885 55,961 1,419 42,127 3,278 97,316
RENAISSANCE WORLDWIDE
INC.+ 889 4,667 903 4,741 1,702 8,935
ROBERT HALF INTERNATIONAL
INC.+ 1,953 82,514 1,841 77,782 3,721 157,212
ROLLINS INC. 565 9,146 357 5,779 696 11,267
SERVICE CORP.
INTERNATIONAL 4,407 16,251 3,651 13,463 7,399 27,284
SERVICEMASTER CO. 5,145 56,595 4,528 49,808 10,490 115,390
SODEXHO MARRIOTT SERVICES
INC. 315 3,504 241 2,681 1,081 12,026
SOTHEBY'S HOLDINGS INC. 743 14,628 556 10,946 0 --
STEWART ENTERPRISES INC.
"A" 1,315 5,589 950 4,037 4,593 19,520
SYLVAN LEARNING SYSTEMS
INC.+ 200 2,975 100 1,487 200 2,975
TELETECH HOLDINGS INC.+ 0 -- 0 -- 265 10,037
UNITED RENTALS INC.+ 200 3,125 200 3,125 400 6,250
US ONCOLOGY INC.+ 0 -- 179 738 353 1,456
USWEB CORP.+ 400 15,475 200 7,775 400 15,475
VALASSIS COMMUNICATIONS
INC.+ 839 23,230 654 18,108 1,522 42,140
</TABLE>
31
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
VIAD CORP. 436 $ 10,219 1,214 $ 28,453
WORKFLOW MANAGEMENT INC.+ 0 -- 107 2,434
----------- ------------
$ 200,994 $ 649,903
COMPUTERS
PERCENT OF NET ASSETS 1.32% 3.67%
ADAPTEC INC.+ 90 $ 3,690 1,464 $ 60,024
AFFILIATED COMPUTER
SERVICES INC.+ 0 -- 0 --
ANIXTER INTERNATIONAL
INC.+ 500 9,344 440 8,223
APPLE COMPUTER INC.+ 125 14,328 995 114,052
AZTEC TECHNOLOGY PARTNERS
INC.+ 0 -- 161 1,170
BISYS GROUP INC.+ 0 -- 0 --
BROCADE COMMUNICATIONS
SYSTEM INC.+ 0 -- 0 --
CABLETRON SYSTEMS+ 77 3,773 964 47,236
CAMBRIDGE TECHNOLOGY
PARTNERS INC.+ 100 1,500 352 5,280
CERIDIAN CORP.+ 92 1,823 514 10,184
CHECKFREE HOLDINGS CORP.+ 0 -- 0 --
CIBER INC.+ 0 -- 340 7,905
CISCO SYSTEMS INC.+ 1,542 203,833 17,582 2,324,121
COMPAQ COMPUTER CORP. 1,347 33,507 10,727 266,834
COMPUTER SCIENCES CORP.+ 132 10,403 937 73,847
DELL COMPUTER CORP.+ 1,492 60,892 12,124 494,811
DIEBOLD INC. 266 6,517 911 22,319
DST SYSTEMS INC.+ 200 11,225 152 8,531
ELECTRONIC DATA SYSTEMS
CORP. 458 29,655 2,875 186,156
ELECTRONICS FOR IMAGING
INC.+ 300 17,812 240 14,250
EMC CORPORATION+ 337 40,103 4,932 586,908
EXABYTE CORP.+ 0 -- 0 --
EXTREME NETWORKS INC.+ 0 -- 0 --
FOUNDRY NETWORKS INC.+ 0 -- 0 --
GATEWAY INC.+ 280 19,250 980 67,375
HEWLETT-PACKARD CO. 814 109,483 6,663 896,173
INTERGRAPH CORP.+ 54 324 322 1,932
INTERNATIONAL BUSINESS
MACHINES CORP. 1,150 117,300 9,024 920,448
IOMEGA CORP.+ 700 2,625 2,969 11,134
JUNIPER NETWORKS INC.+ 0 -- 700 192,019
KOMAG INC.+ 400 888 528 1,172
LEXMARK INTERNATIONAL
GROUP INC. "A"+ 490 58,432 1,264 150,732
MENTOR GRAPHICS CORP.+ 600 10,275 616 10,549
MICRON ELECTRONICS INC.+ 0 -- 176 1,892
NCR CORP.+ 161 6,108 1,098 41,655
NETWORK APPLIANCE INC.+ 0 -- 1,218 229,897
PEROT SYSTEMS CORP. "A"+ 0 -- 0 --
QUANTUM DLT & STORAGE
GROUP+ 500 5,187 1,560 16,185
QUANTUM HARD DISK DRIVE
GROUP+ 300 2,362 830 6,536
READ-RITE CORP.+ 400 1,513 440 1,664
REDBACK NETWORKS INC.+ 0 -- 0 --
RSA SECURITY INC.+ 200 13,387 528 35,343
SAFEGUARD SCIENTIFICS
INC.+ 0 -- 0 --
SAPIENT CORP.+ 0 -- 0 --
SEAGATE TECHNOLOGY INC.+ 117 5,835 1,464 73,017
SILICON GRAPHICS INC.+ 4 39 1,064 10,441
STORAGE TECHNOLOGY CORP.+ 518 6,604 1,018 12,979
SUN MICROSYSTEMS INC.+ 1,848 176,022 8,480 807,720
SUNGARD DATA SYSTEMS
INC.+ 400 12,000 956 28,680
SYNOPSYS INC.+ 200 7,988 692 27,637
</TABLE>
32
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
VIAD CORP. 1,801 $ 42,211 2,357 $ 55,242 4,812 $ 112,781
WORKFLOW MANAGEMENT INC.+ 223 5,073 192 4,368 429 9,760
------------ ------------ ------------
$ 1,681,044 $ 1,442,987 $ 3,257,061
COMPUTERS
PERCENT OF NET ASSETS 5.94% 7.13% 9.13%
ADAPTEC INC.+ 2,920 $ 119,720 2,596 $ 106,436 6,074 $ 249,034
AFFILIATED COMPUTER
SERVICES INC.+ 200 6,300 100 3,150 400 12,600
ANIXTER INTERNATIONAL
INC.+ 438 8,185 625 11,680 1,160 21,677
APPLE COMPUTER INC.+ 2,712 310,863 2,268 259,970 5,009 574,157
AZTEC TECHNOLOGY PARTNERS
INC.+ 436 3,161 388 2,810 744 5,397
BISYS GROUP INC.+ 100 5,156 100 5,156 100 5,156
BROCADE COMMUNICATIONS
SYSTEM INC.+ 0 -- 0 -- 200 57,825
CABLETRON SYSTEMS+ 3,039 148,911 2,442 119,658 5,471 268,079
CAMBRIDGE TECHNOLOGY
PARTNERS INC.+ 514 7,710 425 6,375 1,125 16,875
CERIDIAN CORP.+ 2,192 43,429 1,738 34,434 4,076 80,756
CHECKFREE HOLDINGS CORP.+ 100 8,794 100 8,794 200 17,587
CIBER INC.+ 789 18,344 514 11,950 1,390 32,317
CISCO SYSTEMS INC.+ 51,138 6,759,804 42,330 5,595,497 110,352 14,587,155
COMPAQ COMPUTER CORP. 28,937 719,808 24,259 603,443 54,156 1,347,131
COMPUTER SCIENCES CORP.+ 2,852 224,773 2,271 178,983 5,222 411,559
DELL COMPUTER CORP.+ 37,506 1,530,714 30,738 1,254,495 81,152 3,312,016
DIEBOLD INC. 1,335 32,707 1,878 46,011 3,882 95,109
DST SYSTEMS INC.+ 689 38,670 514 28,848 1,501 84,244
ELECTRONIC DATA SYSTEMS
CORP. 8,076 522,921 6,796 440,041 14,985 970,279
ELECTRONICS FOR IMAGING
INC.+ 877 52,072 793 47,084 1,666 98,919
EMC CORPORATION+ 15,110 1,798,090 12,386 1,473,934 32,561 3,874,759
EXABYTE CORP.+ 398 3,184 0 -- 0 --
EXTREME NETWORKS INC.+ 100 11,125 0 -- 100 11,125
FOUNDRY NETWORKS INC.+ 0 -- 0 -- 300 41,906
GATEWAY INC.+ 4,530 311,437 3,660 251,625 9,630 662,062
HEWLETT-PACKARD CO. 17,455 2,347,697 14,651 1,970,559 32,639 4,389,945
INTERGRAPH CORP.+ 855 5,130 623 3,738 976 5,856
INTERNATIONAL BUSINESS
MACHINES CORP. 26,730 2,726,460 22,116 2,255,832 57,826 5,898,252
IOMEGA CORP.+ 6,467 24,251 5,567 20,876 12,443 46,661
JUNIPER NETWORKS INC.+ 1,700 466,331 1,100 301,744 3,900 1,069,819
KOMAG INC.+ 1,064 2,361 814 1,806 1,072 2,379
LEXMARK INTERNATIONAL
GROUP INC. "A"+ 2,130 254,002 1,972 235,161 5,876 700,713
MENTOR GRAPHICS CORP.+ 847 14,505 993 17,005 1,513 25,910
MICRON ELECTRONICS INC.+ 351 3,773 268 2,881 542 5,826
NCR CORP.+ 1,884 71,474 1,903 72,195 5,511 209,074
NETWORK APPLIANCE INC.+ 2,100 396,375 1,700 320,875 4,600 868,250
PEROT SYSTEMS CORP. "A"+ 200 5,087 200 5,087 400 10,175
QUANTUM DLT & STORAGE
GROUP+ 3,513 36,447 3,277 33,999 7,301 75,748
QUANTUM HARD DISK DRIVE
GROUP+ 1,756 13,828 1,588 12,505 3,450 27,169
READ-RITE CORP.+ 626 2,367 814 3,078 1,702 6,436
REDBACK NETWORKS INC.+ 0 -- 0 -- 100 29,850
RSA SECURITY INC.+ 1,064 71,221 893 59,775 2,055 137,557
SAFEGUARD SCIENTIFICS
INC.+ 0 -- 0 -- 300 52,481
SAPIENT CORP.+ 0 -- 0 -- 200 14,300
SEAGATE TECHNOLOGY INC.+ 3,913 195,161 3,353 167,231 7,036 350,921
SILICON GRAPHICS INC.+ 3,159 30,998 2,798 27,455 5,501 53,979
STORAGE TECHNOLOGY CORP.+ 1,813 23,116 1,616 20,604 5,909 75,340
SUN MICROSYSTEMS INC.+ 24,246 2,309,431 20,108 1,915,287 50,058 4,768,024
SUNGARD DATA SYSTEMS
INC.+ 1,765 52,950 2,121 63,630 5,069 152,070
SYNOPSYS INC.+ 1,490 59,507 1,418 56,631 3,203 127,920
</TABLE>
33
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
3COM CORP.+ 280 $ 27,440 2,225 $ 218,050
UNISYS CORP.+ 40 1,197 1,712 51,253
VERISIGN INC.+ 0 -- 400 101,200
VERITAS SOFTWARE CORP.+ 1,050 207,769 1,284 254,071
WESTERN DIGITAL CORP.+ 700 3,150 1,232 5,544
WHITTMAN-HART INC.+ 0 -- 0 --
----------- ------------
$ 1,243,583 $ 8,407,149
COSMETICS / PERSONAL CARE
PERCENT OF NET ASSETS 0.15% 0.47%
ALBERTO-CULVER CO. "B" 92 $ 1,966 455 $ 9,726
AVON PRODUCTS 80 2,165 1,299 35,154
COLGATE-PALMOLIVE CO. 558 29,121 2,806 146,438
ESTEE LAUDER COMPANIES
INC. "A" 300 13,012 152 6,593
GILLETTE CO. 527 18,577 5,172 182,313
INTERNATIONAL FLAVORS &
FRAGRANCES INC. 156 4,680 503 15,090
KIMBERLY-CLARK CORP. 255 13,180 2,624 135,628
PROCTER & GAMBLE CO. 668 58,784 6,284 552,992
----------- ------------
$ 141,485 $ 1,083,934
DISTRIBUTION / WHOLESALE
PERCENT OF NET ASSETS 0.04% 0.10%
COSTCO WHOLESALE CORP.+ 450 $ 22,331 3,242 $ 160,884
GENUINE PARTS CO. 79 1,782 1,169 26,376
GRAINGER (W.W.) INC. 72 3,082 554 23,718
HANDLEMAN CO.+ 59 612 116 1,203
INGRAM MICRO INC. "A"+ 100 1,081 176 1,903
TECH DATA CORP.+ 300 6,506 616 13,359
----------- ------------
$ 35,394 $ 227,443
DIVERSIFIED FINANCIAL
SERVICES
PERCENT OF NET ASSETS 0.53% 1.71%
ADVANTA CORP. "B" 163 $ 2,088 143 $ 1,832
AMERICAN EXPRESS CO. 331 44,416 2,824 378,946
AMERITRADE HOLDING CORP.
"A"+ 100 1,869 200 3,737
ASSOCIATES FIRST CAPITAL
CORP. 472 9,381 4,256 84,588
BEAR STEARNS COMPANIES
INC. 198 7,771 787 30,890
CAPITAL ONE FINANCIAL
CORP. 0 -- 975 35,892
CIT GROUP INC. (THE) 0 -- 0 --
CITIGROUP INC. 2,697 139,401 21,710 1,122,136
CONTIFINANCIAL CORP.+ 0 -- 88 6
COUNTRYWIDE CREDIT
INDUSTRIES INC. 94 2,344 695 17,332
CREDIT ACCEPTANCE CORP.+ 200 1,100 176 968
DLJDIRECT INC.+ 0 -- 0 --
DONALDSON, LUFKIN &
JENRETTE INC. 200 8,687 152 6,602
E*TRADE GROUP INC.+ 100 2,462 200 4,925
EDWARDS (A.G.) INC. 382 12,105 1,170 37,074
FEDERAL NATIONAL MORTGAGE
ASSOCIATION 711 37,683 6,604 350,012
FEDERATED INVESTORS INC.
"B" 100 2,331 200 4,662
FINOVA GROUP INC. 200 5,725 416 11,908
FIRSTPLUS FINANCIAL GROUP
INC.+ 200 66 440 145
FRANKLIN RESOURCES INC. 318 8,646 1,310 35,616
FREDDIE MAC 393 16,408 4,254 177,604
GOLDMAN SACHS GROUP INC. 200 18,500 2,400 222,000
HOUSEHOLD INTERNATIONAL
INC. 339 10,827 2,911 92,970
JOHN NUVEEN CO. "A" 0 -- 88 3,036
</TABLE>
34
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
3COM CORP.+ 6,007 $ 588,686 5,138 $ 503,524 10,951 $ 1,073,198
UNISYS CORP.+ 5,181 155,106 4,260 127,534 9,591 287,131
VERISIGN INC.+ 900 227,812 500 126,500 2,200 556,875
VERITAS SOFTWARE CORP.+ 3,056 604,706 2,931 579,972 7,010 1,387,104
WESTERN DIGITAL CORP.+ 2,467 11,101 2,243 10,093 4,993 22,468
WHITTMAN-HART INC.+ 200 9,062 100 4,537 300 13,594
------------ ------------ ------------
$ 23,394,823 $ 19,410,488 $ 49,282,749
COSMETICS / PERSONAL CARE
PERCENT OF NET ASSETS 0.84% 0.99% 1.32%
ALBERTO-CULVER CO. "B" 685 $ 14,642 752 $ 16,074 1,499 $ 32,041
AVON PRODUCTS 3,731 100,970 2,960 80,105 7,209 195,094
COLGATE-PALMOLIVE CO. 8,638 450,796 6,622 345,586 18,056 942,298
ESTEE LAUDER COMPANIES
INC. "A" 502 21,774 1,050 45,544 2,274 98,635
GILLETTE CO. 15,408 543,132 12,523 441,436 33,647 1,186,057
INTERNATIONAL FLAVORS &
FRAGRANCES INC. 1,634 49,020 1,278 38,340 2,944 88,320
KIMBERLY-CLARK CORP. 7,942 410,502 6,491 335,504 17,137 885,769
PROCTER & GAMBLE CO. 19,473 1,713,624 15,962 1,404,656 42,046 3,700,048
------------ ------------ ------------
$ 3,304,460 $ 2,707,245 $ 7,128,262
DISTRIBUTION / WHOLESALE
PERCENT OF NET ASSETS 0.14% 0.17% 0.18%
COSTCO WHOLESALE CORP.+ 7,566 $ 375,463 6,198 $ 307,576 13,992 $ 694,353
GENUINE PARTS CO. 2,819 63,604 2,478 55,910 5,091 114,866
GRAINGER (W.W.) INC. 1,742 74,579 1,335 57,155 2,636 112,854
HANDLEMAN CO.+ 409 4,243 274 2,843 560 5,810
INGRAM MICRO INC. "A"+ 351 3,795 457 4,941 918 9,926
TECH DATA CORP.+ 1,052 22,815 1,171 25,396 2,708 58,730
------------ ------------ ------------
$ 544,499 $ 453,821 $ 996,539
DIVERSIFIED FINANCIAL
SERVICES
PERCENT OF NET ASSETS 2.63% 3.17% 3.70%
ADVANTA CORP. "B" 238 $ 3,049 194 $ 2,486 336 $ 4,305
AMERICAN EXPRESS CO. 7,607 1,020,764 6,348 851,822 14,956 2,006,908
AMERITRADE HOLDING CORP.
"A"+ 200 3,737 200 3,737 500 9,344
ASSOCIATES FIRST CAPITAL
CORP. 12,307 244,602 10,074 200,221 22,701 451,182
BEAR STEARNS COMPANIES
INC. 2,140 83,995 1,798 70,572 3,697 145,107
CAPITAL ONE FINANCIAL
CORP. 3,300 121,481 2,625 96,633 6,010 221,243
CIT GROUP INC. (THE) 0 -- 100 1,400 300 4,200
CITIGROUP INC. 57,667 2,980,663 48,491 2,506,379 108,157 5,590,365
CONTIFINANCIAL CORP.+ 275 19 278 19 630 44
COUNTRYWIDE CREDIT
INDUSTRIES INC. 1,927 48,055 1,531 38,179 3,314 82,643
CREDIT ACCEPTANCE CORP.+ 0 -- 278 1,529 542 2,981
DLJDIRECT INC.+ 100 1,094 0 -- 100 1,094
DONALDSON, LUFKIN &
JENRETTE INC. 414 17,983 425 18,461 1,325 57,555
E*TRADE GROUP INC.+ 800 19,700 400 9,850 1,200 29,550
EDWARDS (A.G.) INC. 2,313 73,293 2,201 69,744 4,649 147,315
FEDERAL NATIONAL MORTGAGE
ASSOCIATION 17,461 925,433 14,643 776,079 32,661 1,731,033
FEDERATED INVESTORS INC.
"B" 400 9,325 300 6,994 600 13,987
FINOVA GROUP INC. 964 27,594 1,239 35,466 2,926 83,757
FIRSTPLUS FINANCIAL GROUP
INC.+ 788 260 714 236 1,590 525
FRANKLIN RESOURCES INC. 4,213 114,541 3,399 92,410 7,610 206,897
FREDDIE MAC 11,817 493,360 9,863 411,780 22,236 928,353
GOLDMAN SACHS GROUP INC. 5,600 518,000 4,300 397,750 12,500 1,156,250
HOUSEHOLD INTERNATIONAL
INC. 8,013 255,915 6,912 220,752 14,721 470,152
JOHN NUVEEN CO. "A" 0 -- 0 -- 0 --
</TABLE>
35
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
KNIGHT/TRIMARK GROUP
INC.+ 100 $ 4,687 200 $ 9,375
LEGG MASON INC. 300 11,775 504 19,782
LEHMAN BROTHERS HOLDINGS
INC. 180 13,050 750 54,375
MBNA CORP. 296 6,734 4,220 96,005
MERRILL LYNCH & CO. 230 23,575 2,334 239,235
METRIS COMPANIES INC. 320 8,280 224 5,796
MORGAN STANLEY DEAN
WITTER & CO. 888 62,548 7,722 543,918
PAINE WEBBER GROUP INC. 190 7,267 1,132 43,299
PRICE (T. ROWE)
ASSOCIATES 190 6,258 1,034 34,057
PROVIDIAN FINANCIAL CORP. 177 11,472 567 36,749
SCHWAB (CHARLES) CORP. 94 3,930 3,870 161,814
SLM HOLDING CORP. 135 4,227 585 18,318
UNITED ASSET MANAGEMENT
CORP. 300 4,481 980 14,639
WADDELL & REED FINANCIAL
INC. "A" 0 -- 68 1,968
WADDELL & REED FINANCIAL
INC. "B" 39 1,058 273 7,405
----------- ------------
$ 501,152 $ 3,909,616
ELECTRIC
PERCENT OF NET ASSETS 0.17% 0.54%
AES CORP.+ 0 $ -- 1,225 $ 102,670
ALLEGHENY ENERGY INC. 0 -- 0 --
ALLIANT ENERGY CORP. 141 3,966 1,021 28,716
AMEREN CORP. 188 5,640 752 22,560
AMERICAN ELECTRIC POWER 136 3,825 1,265 35,578
CAROLINA POWER & LIGHT 143 4,254 1,013 30,137
CENTRAL & SOUTH WEST
CORP. 70 1,177 1,308 21,991
CINERGY CORP. 157 3,356 1,057 22,593
CMS ENERGY CORP. 0 -- 10 167
CONECTIV INC. 1,067 15,205 752 10,716
CONSOLIDATED EDISON INC. 155 4,272 1,539 42,419
CONSTELLATION ENERGY
GROUP INC. 67 1,993 819 24,365
DOMINION RESOURCES INC. 345 12,657 1,981 72,678
DTE ENERGY CO. 208 6,279 870 26,263
DUKE ENERGY CORP. 241 11,688 2,240 108,640
EDISON INTERNATIONAL 37 974 2,183 57,440
ENERGY EAST CORP. 0 -- 0 --
ENTERGY CORP. 150 3,037 1,531 31,003
FIRSTENERGY CORP. 60 1,121 1,415 26,443
FLORIDA PROGRESS CORP. 0 -- 410 17,476
FPL GROUP INC. 211 8,150 1,353 52,260
GPU INC. 122 3,035 718 17,860
HAWAIIAN ELECTRIC
INDUSTRIES INC. 192 5,532 187 5,388
IDACORP INC. 0 -- 0 --
IPALCO ENTERPRISES INC. 0 -- 0 --
KANSAS CITY POWER & LIGHT
CO. 0 -- 0 --
LG&E ENERGY CORP. 0 -- 0 --
MIDAMERICAN ENERGY
HOLDINGS CO.+ 0 -- 0 --
MINNESOTA POWER INC. 698 10,688 476 7,289
MONTANA POWER CO. 0 -- 0 --
NEW CENTURY ENERGIES INC. 0 -- 430 11,637
NEW ENGLAND ELECTRIC
SYSTEM 0 -- 0 --
NIAGARA MOHAWK HOLDINGS
INC.+ 71 834 1,022 12,008
NISOURCE INC. 0 -- 0 --
NORTHEAST UTILITIES 0 -- 0 --
NORTHERN STATES POWER CO.
(MINNESOTA) 90 1,581 1,310 23,007
OGE ENERGY CORP. 0 -- 0 --
</TABLE>
36
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
KNIGHT/TRIMARK GROUP
INC.+ 400 $ 18,750 300 $ 14,062 700 $ 32,812
LEGG MASON INC. 1,327 52,085 1,150 45,137 2,661 104,444
LEHMAN BROTHERS HOLDINGS
INC. 2,015 146,088 1,655 119,987 3,655 264,987
MBNA CORP. 12,262 278,961 9,882 224,816 24,936 567,294
MERRILL LYNCH & CO. 6,268 642,470 5,259 539,047 11,742 1,203,555
METRIS COMPANIES INC. 454 11,747 290 7,504 278 7,193
MORGAN STANLEY DEAN
WITTER & CO. 19,022 1,339,862 16,196 1,140,806 35,644 2,510,674
PAINE WEBBER GROUP INC. 2,332 89,199 1,935 74,014 5,510 210,757
PRICE (T. ROWE)
ASSOCIATES 1,911 62,944 2,071 68,214 5,034 165,807
PROVIDIAN FINANCIAL CORP. 1,778 115,237 1,389 90,025 4,040 261,843
SCHWAB (CHARLES) CORP. 11,810 493,806 9,134 381,915 25,536 1,067,724
SLM HOLDING CORP. 2,320 72,645 1,920 60,120 4,530 141,846
UNITED ASSET MANAGEMENT
CORP. 1,865 27,858 1,596 23,840 3,445 51,460
WADDELL & REED FINANCIAL
INC. "A" 138 3,993 122 3,530 258 7,466
WADDELL & REED FINANCIAL
INC. "B" 598 16,221 562 15,244 1,092 29,620
------------ ------------ ------------
$ 10,334,729 $ 8,620,760 $ 19,972,272
ELECTRIC
PERCENT OF NET ASSETS 0.98% 1.03% 1.09%
AES CORP.+ 3,541 $ 296,780 2,880 $ 241,380 6,445 $ 540,172
ALLEGHENY ENERGY INC. 1,686 43,731 0 -- 0 --
ALLIANT ENERGY CORP. 1,829 51,441 1,735 48,797 377 10,603
AMEREN CORP. 2,207 66,207 1,855 55,650 4,270 128,100
AMERICAN ELECTRIC POWER 3,236 91,013 2,775 78,047 5,765 162,141
CAROLINA POWER & LIGHT 2,569 76,428 2,324 69,139 4,624 137,564
CENTRAL & SOUTH WEST
CORP. 3,525 59,264 2,887 48,538 5,933 99,749
CINERGY CORP. 2,626 56,131 2,186 46,726 4,694 100,334
CMS ENERGY CORP. 1,722 28,844 1,200 20,100 2,890 48,407
CONECTIV INC. 1,437 20,477 973 13,865 1,007 14,350
CONSOLIDATED EDISON INC. 3,833 105,647 3,377 93,079 6,813 187,783
CONSTELLATION ENERGY
GROUP INC. 2,523 75,059 2,239 66,610 4,457 132,596
DOMINION RESOURCES INC. 5,253 192,719 4,445 163,076 8,953 328,463
DTE ENERGY CO. 2,408 72,692 2,092 63,152 4,386 132,402
DUKE ENERGY CORP. 6,146 298,081 5,209 252,637 11,516 558,526
EDISON INTERNATIONAL 5,912 155,560 5,170 136,036 10,497 276,202
ENERGY EAST CORP. 2,006 42,126 0 -- 0 --
ENTERGY CORP. 3,975 80,494 3,439 69,640 7,284 147,501
FIRSTENERGY CORP. 3,850 71,947 3,325 62,136 6,885 128,663
FLORIDA PROGRESS CORP. 1,527 65,088 1,200 51,150 2,800 119,350
FPL GROUP INC. 2,979 115,064 2,460 95,018 5,424 209,502
GPU INC. 2,112 52,536 1,741 43,307 3,822 95,072
HAWAIIAN ELECTRIC
INDUSTRIES INC. 609 17,547 606 17,460 1,472 42,412
IDACORP INC. 513 16,352 0 -- 0 --
IPALCO ENTERPRISES INC. 1,646 27,879 0 -- 0 --
KANSAS CITY POWER & LIGHT
CO. 837 19,251 0 -- 0 --
LG&E ENERGY CORP. 870 19,303 0 -- 0 --
MIDAMERICAN ENERGY
HOLDINGS CO.+ 789 27,319 0 -- 0 --
MINNESOTA POWER INC. 842 12,893 624 9,555 692 10,596
MONTANA POWER CO. 1,544 60,795 0 -- 0 --
NEW CENTURY ENERGIES INC. 1,801 48,740 1,400 37,887 3,200 86,600
NEW ENGLAND ELECTRIC
SYSTEM 884 47,736 0 -- 0 --
NIAGARA MOHAWK HOLDINGS
INC.+ 3,157 37,095 2,716 31,913 5,449 64,026
NISOURCE INC. 1,879 24,310 0 -- 0 --
NORTHEAST UTILITIES 1,779 33,467 0 -- 0 --
NORTHERN STATES POWER CO.
(MINNESOTA) 2,694 47,313 2,446 42,958 4,523 79,435
OGE ENERGY CORP. 1,173 20,161 0 -- 0 --
</TABLE>
37
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
PECO ENERGY CO. 232 $ 8,656 1,493 $ 55,708
PG&E CORP. 146 3,011 2,365 48,778
PINNACLE WEST CAPITAL
CORP. 0 -- 210 5,801
POTOMAC ELECTRIC POWER
CO. 0 -- 0 --
PPL CORP. 87 1,751 1,110 22,339
PUBLIC SERVICE COMPANY OF
NEW MEXICO 0 -- 0 --
PUBLIC SERVICE ENTERPRISE
GROUP INC. 108 3,132 1,530 44,370
PUGET SOUND ENERGY INC. 0 -- 0 --
RELIANT ENERGY INC. 234 4,812 1,793 36,869
SCANA CORP. 0 -- 0 --
SIERRA PACIFIC RESOURCES 444 6,049 317 4,319
SOUTHERN CO. 455 10,095 4,475 99,289
TECO ENERGY INC. 0 -- 0 --
TEXAS UTILITIES CO. 161 5,253 1,649 53,799
UNICOM CORP. 128 4,840 1,354 51,198
UTILICORP UNITED INC. 0 -- 0 --
WISCONSIN ENERGY CORP. 0 -- 0 --
----------- ------------
$ 156,863 $ 1,233,774
ELECTRICAL COMPONENTS &
EQUIPMENT
PERCENT OF NET ASSETS 0.08% 0.14%
AMERICAN POWER CONVERSION
CORP.+ 600 $ 20,362 1,724 $ 58,508
C-CUBE MICROSYSTEMS INC.+ 100 9,325 264 24,618
EMERSON ELECTRIC CO. 355 16,175 2,603 118,599
HUBBELL INC. "B" 232 5,640 574 13,955
MOLEX INC. 216 12,069 834 46,600
MOLEX INC. "A" 112 4,746 949 40,214
UCAR INTERNATIONAL INC.+ 200 3,050 528 8,052
----------- ------------
$ 71,367 $ 310,546
ELECTRONICS
PERCENT OF NET ASSETS 0.60% 0.71%
AGILENT TECHNOLOGIES
INC.+ 0 $ -- 0 $ --
ANALOG DEVICES INC.+ 191 29,987 1,573 246,961
ARROW ELECTRONICS INC.+ 286 8,651 1,037 31,369
AVNET INC. 230 15,381 284 18,992
AVX CORP. 200 12,700 164 10,414
GENTEX CORP.+ 100 2,922 200 5,844
INTEGRATED DEVICE
TECHNOLOGY INC.+ 700 25,813 704 25,960
JABIL CIRCUIT INC.+ 100 6,944 152 10,554
JOHNSON CONTROLS INC. 86 4,590 465 24,819
LINEAR TECHNOLOGY CORP. 872 91,505 1,596 167,480
MAXIM INTEGRATED PRODUCTS
INC.+ 1,200 80,175 2,440 163,022
MICROCHIP TECHNOLOGY
INC.+ 450 28,097 756 47,203
MILLIPORE CORP. 42 2,244 151 8,069
PARKER HANNIFIN CORP. 138 5,002 637 23,091
PE CORP. (BIOSYSTEMS
GROUP) 76 8,018 944 99,592
PERKINELMER INC. 25 1,616 323 20,874
SANMINA CORP.+ 100 11,706 240 28,095
SCI SYSTEMS INC.+ 600 24,150 1,208 48,622
SENSORMATIC ELECTRONICS
CORP.+ 535 10,165 765 14,535
SOLECTRON CORP.+ 1,170 76,635 1,668 109,254
SYMBOL TECHNOLOGIES INC. 277 26,350 968 92,081
TEKTRONIX INC. 3 174 346 20,068
TERADYNE INC.+ 142 12,354 1,686 146,682
THERMO ELECTRON CORP.+ 69 1,078 966 15,094
</TABLE>
38
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
PECO ENERGY CO. 3,512 $ 131,042 3,245 $ 121,079 6,547 $ 244,285
PG&E CORP. 6,439 132,804 5,381 110,983 11,702 241,354
PINNACLE WEST CAPITAL
CORP. 1,249 34,504 900 24,862 2,200 60,775
POTOMAC ELECTRIC POWER
CO. 1,683 34,186 0 -- 0 --
PPL CORP. 2,527 50,856 2,173 43,732 4,987 100,363
PUBLIC SERVICE COMPANY OF
NEW MEXICO 570 8,764 420 6,457 0 --
PUBLIC SERVICE ENTERPRISE
GROUP INC. 3,839 111,331 3,326 96,454 6,719 194,851
PUGET SOUND ENERGY INC. 851 17,286 0 -- 0 --
RELIANT ENERGY INC. 5,019 103,203 4,160 85,540 8,907 183,150
SCANA CORP. 820 19,534 0 -- 0 --
SIERRA PACIFIC RESOURCES 571 7,780 421 5,736 397 5,409
SOUTHERN CO. 11,365 252,161 9,881 219,235 20,990 465,716
TECO ENERGY INC. 1,668 30,024 0 -- 0 --
TEXAS UTILITIES CO. 4,728 154,251 3,926 128,086 8,476 276,530
UNICOM CORP. 3,597 136,012 3,099 117,181 6,607 249,827
UTILICORP UNITED INC. 888 14,541 0 -- 0 --
WISCONSIN ENERGY CORP. 1,542 27,274 0 -- 0 --
------------ ------------ ------------
$ 3,843,043 $ 2,817,201 $ 5,862,809
ELECTRICAL COMPONENTS &
EQUIPMENT
PERCENT OF NET ASSETS 0.19% 0.24% 0.28%
AMERICAN POWER CONVERSION
CORP.+ 3,270 $ 110,976 2,774 $ 94,143 8,732 $ 296,342
C-CUBE MICROSYSTEMS INC.+ 263 24,525 357 33,290 718 66,953
EMERSON ELECTRIC CO. 7,330 333,973 6,086 277,293 13,698 624,115
HUBBELL INC. "B" 1,409 34,256 1,359 33,041 3,016 73,326
MOLEX INC. 2,667 149,019 2,078 116,108 4,753 265,574
MOLEX INC. "A" 1,805 76,487 1,786 75,682 3,812 161,534
UCAR INTERNATIONAL INC.+ 964 14,701 893 13,618 2,143 32,681
------------ ------------ ------------
$ 743,937 $ 643,175 $ 1,520,525
ELECTRONICS
PERCENT OF NET ASSETS 0.91% 1.17% 1.52%
AGILENT TECHNOLOGIES
INC.+ 0 $ -- 0 $ -- 400 $ 41,475
ANALOG DEVICES INC.+ 2,966 465,662 2,572 403,804 8,180 1,284,260
ARROW ELECTRONICS INC.+ 2,190 66,247 1,961 59,320 4,572 138,303
AVNET INC. 689 46,077 746 49,889 2,156 144,182
AVX CORP. 426 27,051 336 21,336 1,048 66,548
GENTEX CORP.+ 300 8,756 200 5,844 500 14,594
INTEGRATED DEVICE
TECHNOLOGY INC.+ 1,590 58,631 814 30,016 2,255 83,153
JABIL CIRCUIT INC.+ 702 48,745 514 35,691 1,414 98,185
JOHNSON CONTROLS INC. 1,436 76,647 1,110 59,246 2,500 133,438
LINEAR TECHNOLOGY CORP. 2,704 283,751 2,596 272,418 8,438 885,463
MAXIM INTEGRATED PRODUCTS
INC.+ 4,582 306,135 3,908 261,103 13,118 876,446
MICROCHIP TECHNOLOGY
INC.+ 1,972 123,127 1,642 102,522 4,257 265,796
MILLIPORE CORP. 578 30,887 476 25,436 1,188 63,484
PARKER HANNIFIN CORP. 1,848 66,990 1,398 50,677 3,264 118,320
PE CORP. (BIOSYSTEMS
GROUP) 2,836 299,198 2,232 235,476 6,228 657,054
PERKINELMER INC. 742 47,952 608 39,292 1,297 83,819
SANMINA CORP.+ 701 82,061 514 60,170 1,490 174,423
SCI SYSTEMS INC.+ 2,804 112,861 2,658 106,984 6,030 242,707
SENSORMATIC ELECTRONICS
CORP.+ 1,610 30,590 1,036 19,684 1,865 35,435
SOLECTRON CORP.+ 4,086 267,633 3,050 199,775 8,856 580,068
SYMBOL TECHNOLOGIES INC. 1,792 170,464 1,918 182,450 3,975 378,122
TEKTRONIX INC. 784 45,472 698 40,484 1,394 80,852
TERADYNE INC.+ 3,302 287,274 4,128 359,136 8,598 748,026
THERMO ELECTRON CORP.+ 2,811 43,922 2,376 37,125 4,991 77,984
</TABLE>
39
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
THERMO INSTRUMENT SYSTEMS
INC.+ 50 $ 803 125 $ 2,008
THOMAS & BETTS CORP. 58 1,301 434 9,738
VARIAN INC.+ 177 7,014 431 17,186
VISHAY INTERTECHNOLOGY
INC.+ 578 24,854 515 22,145
VITESSE SEMICONDUCTOR
CORP.+ 400 41,525 1,384 143,676
WATERS CORP.+ 0 -- 504 49,423
WATTS INDUSTRIES INC. "A" 308 4,466 0 --
----------- ------------
$ 566,220 $ 1,622,851
ENGINEERING &
CONSTRUCTION
PERCENT OF NET ASSETS 0.00% 0.01%
FLUOR CORP. 113 $ 3,213 514 $ 14,617
FOSTER WHEELER CORP. 32 180 116 653
GRANITE CONSTRUCTION INC. 0 -- 0 --
JACOBS ENGINEERING GROUP
INC.+ 0 -- 0 --
MORRISON KNUDSEN CORP.+ 4 8 17 34
----------- ------------
$ 3,401 $ 15,304
ENTERTAINMENT
PERCENT OF NET ASSETS 0.04% 0.05%
ASCENT ENTERTAINMENT
GROUP+ 249 $ 3,782 258 $ 3,918
BOYD GAMING CORP.+ 0 -- 176 913
GAYLORD ENTERTAINMENT CO.
"A" 105 2,894 92 2,536
GTECH HOLDINGS CORP.+ 200 4,000 440 8,800
HARRAH'S ENTERTAINMENT
INC.+ 48 918 522 9,983
INTERNATIONAL GAME
TECHNOLOGY INC.+ 363 6,466 821 14,624
LAKES GAMING INC.+ 100 787 88 693
MANDALAY RESORT GROUP
INC.+ 429 6,033 1,170 16,453
METRO-GOLDWYN-MAYER INC.+ 100 2,387 503 12,009
MGM GRAND INC. 282 5,605 244 4,849
MIRAGE RESORTS INC.+ 17 270 1,001 15,891
PARK PLACE ENTERTAINMENT
CORP.+ 464 5,249 1,913 21,641
PREMIER PARKS INC.+ 0 -- 100 2,025
SFX ENTERTAINMENT INC.
"A"+ 0 -- 0 --
SPEEDWAY MOTORSPORTS
INC.+ 0 -- 0 --
----------- ------------
$ 38,391 $ 114,335
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.01% 0.03%
ALLIED WASTE INDUSTRIES
INC.+ 0 $ -- 1,070 $ 6,019
IT GROUP INC.+ 0 -- 0 --
REPUBLIC SERVICES INC.
"A"+ 100 1,087 200 2,175
SAFETY-KLEEN CORP.+ 87 424 379 1,848
WASTE MANAGEMENT INC. 502 7,530 3,364 50,460
----------- ------------
$ 9,041 $ 60,502
FOOD
PERCENT OF NET ASSETS 0.23% 0.47%
ALBERTSON'S INC. 185 $ 4,532 2,548 $ 62,426
ARCHER-DANIELS-MIDLAND
CO. 430 4,327 3,988 40,129
AURORA FOODS INC.+ 100 281 200 562
BESTFOODS 221 9,268 1,289 54,057
CAMPBELL SOUP CO. 180 5,107 2,074 58,850
CONAGRA INC. 548 8,974 2,392 39,169
CORN PRODUCTS
INTERNATIONAL INC. 60 1,414 260 6,126
DEAN FOODS CO. 124 3,363 275 7,459
</TABLE>
40
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
THERMO INSTRUMENT SYSTEMS
INC.+ 194 $ 3,116 357 $ 5,734 814 $ 13,075
THOMAS & BETTS CORP. 785 17,613 843 18,915 1,484 33,297
VARIAN INC.+ 820 32,697 795 31,701 1,659 66,153
VISHAY INTERTECHNOLOGY
INC.+ 1,115 47,945 902 38,786 2,111 90,773
VITESSE SEMICONDUCTOR
CORP.+ 3,156 327,632 2,936 304,793 6,660 691,391
WATERS CORP.+ 1,602 157,096 1,350 132,384 400 39,225
WATTS INDUSTRIES INC. "A" 407 5,901 298 4,321 0 --
------------ ------------ ------------
$ 3,588,133 $ 3,194,512 $ 8,206,051
ENGINEERING &
CONSTRUCTION
PERCENT OF NET ASSETS 0.01% 0.01% 0.01%
FLUOR CORP. 1,189 $ 33,812 956 $ 27,186 2,168 $ 61,653
FOSTER WHEELER CORP. 607 3,414 478 2,689 979 5,507
GRANITE CONSTRUCTION INC. 355 8,853 0 -- 0 --
JACOBS ENGINEERING GROUP
INC.+ 327 9,176 0 -- 0 --
MORRISON KNUDSEN CORP.+ 27 54 25 50 42 84
------------ ------------ ------------
$ 55,309 $ 29,925 $ 67,244
ENTERTAINMENT
PERCENT OF NET ASSETS 0.07% 0.09% 0.10%
ASCENT ENTERTAINMENT
GROUP+ 351 $ 5,331 354 $ 5,376 700 $ 10,631
BOYD GAMING CORP.+ 0 -- 368 1,909 719 3,730
GAYLORD ENTERTAINMENT CO.
"A" 123 3,390 153 4,217 221 6,091
GTECH HOLDINGS CORP.+ 877 17,540 804 16,080 2,066 41,320
HARRAH'S ENTERTAINMENT
INC.+ 2,032 38,862 1,432 27,387 3,493 66,804
INTERNATIONAL GAME
TECHNOLOGY INC.+ 1,613 28,732 1,957 34,859 4,672 83,220
LAKES GAMING INC.+ 153 1,205 112 882 199 1,567
MANDALAY RESORT GROUP
INC.+ 2,411 33,905 2,198 30,909 4,712 66,262
METRO-GOLDWYN-MAYER INC.+ 903 21,559 413 9,860 1,317 31,443
MGM GRAND INC. 102 2,027 498 9,898 752 14,946
MIRAGE RESORTS INC.+ 3,005 47,704 2,559 40,624 5,314 84,360
PARK PLACE ENTERTAINMENT
CORP.+ 4,986 56,404 3,859 43,655 9,868 111,632
PREMIER PARKS INC.+ 300 6,075 200 4,050 500 10,125
SFX ENTERTAINMENT INC.
"A"+ 200 7,700 200 7,700 400 15,400
SPEEDWAY MOTORSPORTS
INC.+ 0 -- 0 -- 100 3,062
------------ ------------ ------------
$ 270,434 $ 237,406 $ 550,593
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.05% 0.05% 0.06%
ALLIED WASTE INDUSTRIES
INC.+ 2,592 $ 14,580 2,400 $ 13,500 5,023 $ 28,254
IT GROUP INC.+ 120 915 0 -- 0 --
REPUBLIC SERVICES INC.
"A"+ 400 4,350 300 3,262 700 7,612
SAFETY-KLEEN CORP.+ 965 4,704 773 3,768 1,413 6,888
WASTE MANAGEMENT INC. 10,350 155,250 8,448 126,720 19,034 285,510
------------ ------------ ------------
$ 179,799 $ 147,250 $ 328,264
FOOD
PERCENT OF NET ASSETS 0.79% 0.94% 1.15%
ALBERTSON'S INC. 6,993 $ 171,329 5,886 $ 144,207 13,093 $ 320,779
ARCHER-DANIELS-MIDLAND
CO. 10,323 103,875 9,105 91,619 18,745 188,622
AURORA FOODS INC.+ 300 844 200 562 300 844
BESTFOODS 4,305 180,541 3,276 137,387 8,139 341,329
CAMPBELL SOUP CO. 6,037 171,300 4,971 141,052 12,449 353,240
CONAGRA INC. 8,197 134,226 6,663 109,107 14,966 245,068
CORN PRODUCTS
INTERNATIONAL INC. 610 14,373 508 11,970 1,308 30,820
DEAN FOODS CO. 958 25,986 815 22,107 2,124 57,613
</TABLE>
41
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
DELHAIZE AMERICA INC. "A" 200 $ 3,350 699 $ 11,708
DELHAIZE AMERICA INC. "B" 400 7,500 754 14,137
DOLE FOOD CO. 146 2,245 425 6,534
EARTHGRAINS COMPANY (THE) 56 840 257 3,855
FLEMING COMPANIES INC. 2 31 256 3,952
FLOWERS INDUSTRIES INC. 309 3,998 1,062 13,740
GENERAL MILLS INC. 200 6,588 1,134 37,351
GREAT ATLANTIC & PACIFIC
TEA CO. 59 1,383 278 6,516
HANNAFORD BROTHERS CO. 236 16,815 205 14,606
HEINZ (H.J.) CO. 15 479 1,918 61,256
HERSHEY FOODS CORP. 159 6,986 700 30,756
HORMEL FOODS CORP. 400 6,675 832 13,884
IBP INC. 332 4,150 986 12,325
IMPERIAL SUGAR CO. 0 -- 0 --
INTERNATIONAL HOME FOODS
INC.+ 0 -- 152 2,574
INTERNATIONAL MULTIFOODS
CORP. 0 -- 0 --
INTERSTATE BAKERIES CORP. 0 -- 328 3,751
KEEBLER FOODS CO.+ 200 5,075 88 2,233
KELLOGG CO. 46 1,164 1,774 44,904
KROGER CO.+ 62 922 4,122 61,315
LANCE INC. 0 -- 0 --
MCCORMICK & CO. INC. 188 5,146 792 21,681
MICHAEL FOODS INC. 0 -- 0 --
MORRISON MANAGEMENT
SPECIALIST INC. 128 2,864 58 1,298
NABISCO GROUP HOLDINGS
CORP. "A" 60 517 1,903 16,413
NABISCO HOLDINGS CORP. 100 2,925 76 2,223
QUAKER OATS CO. 102 5,502 513 27,670
RALSTON PURINA CO. 95 2,690 1,488 42,129
RUDDICK CORP. 0 -- 0 --
SAFEWAY INC.+ 468 18,047 3,143 121,202
SARA LEE CORP. 241 3,615 4,136 62,040
SMUCKER (J.M.) CO. "A" 305 5,223 0 --
SUIZA FOODS CORP.+ 200 7,825 152 5,947
SUPERVALU INC. 86 1,478 754 12,959
SYSCO CORP. 50 1,641 1,669 54,764
TOOTSIE ROLL INDUSTRIES
INC. 449 13,330 215 6,383
TYSON FOODS INC. "A" 391 4,032 683 7,043
U.S. FOODSERVICE+ 100 1,769 100 1,769
UNIVERSAL FOODS CORP. 358 6,466 463 8,363
VLASIC FOODS
INTERNATIONAL+ 80 225 318 894
WEIS MARKETS INC. 200 8,462 176 7,447
WHOLE FOODS MARKET INC.+ 200 7,594 352 13,365
WINN-DIXIE STORES INC. 146 2,354 849 13,690
WRIGLEY WILLIAM JR. CO. 134 9,062 529 35,774
----------- ------------
$ 216,234 $ 1,077,229
FOREST PRODUCTS & PAPER
PERCENT OF NET ASSETS 0.10% 0.20%
BOISE CASCADE CORP. 59 $ 1,759 473 $ 14,101
BOWATER INC. 195 9,592 513 25,233
CHAMPION INTERNATIONAL
CORP. 122 6,313 561 29,032
CHESAPEAKE CORP. 256 5,680 176 3,905
CONSOLIDATED PAPERS INC. 172 6,525 657 24,925
CROWN VANTAGE INC.+ 21 38 42 76
DELTIC TIMBER CORP. 140 3,115 145 3,226
FORT JAMES CORP. 51 959 901 16,950
</TABLE>
42
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
DELHAIZE AMERICA INC. "A" 1,438 $ 24,086 1,239 $ 20,753 2,996 $ 50,183
DELHAIZE AMERICA INC. "B" 1,652 30,975 1,484 27,825 3,388 63,525
DOLE FOOD CO. 1,234 18,973 1,032 15,867 2,507 38,545
EARTHGRAINS COMPANY (THE) 586 8,790 479 7,185 1,369 20,535
FLEMING COMPANIES INC. 702 10,837 526 8,120 1,165 17,985
FLOWERS INDUSTRIES INC. 2,219 28,708 1,975 25,552 4,541 58,749
GENERAL MILLS INC. 3,990 131,421 3,164 104,214 8,754 288,335
GREAT ATLANTIC & PACIFIC
TEA CO. 607 14,227 597 13,992 797 18,680
HANNAFORD BROTHERS CO. 628 44,745 572 40,755 1,537 109,511
HEINZ (H.J.) CO. 5,040 160,965 4,012 128,133 10,461 334,098
HERSHEY FOODS CORP. 2,338 102,726 1,809 79,483 4,103 180,276
HORMEL FOODS CORP. 2,080 34,710 1,922 32,073 4,770 79,599
IBP INC. 1,636 20,450 2,370 29,625 4,793 59,912
IMPERIAL SUGAR CO. 117 314 184 494 0 --
INTERNATIONAL HOME FOODS
INC.+ 601 10,179 514 8,706 1,513 25,626
INTERNATIONAL MULTIFOODS
CORP. 240 2,625 0 -- 0 --
INTERSTATE BAKERIES CORP. 852 9,745 871 9,962 2,320 26,535
KEEBLER FOODS CO.+ 175 4,441 793 20,122 1,766 44,812
KELLOGG CO. 5,616 142,155 4,610 116,691 11,358 287,499
KROGER CO.+ 12,240 182,070 9,638 143,365 24,398 362,920
LANCE INC. 419 4,295 0 -- 0 --
MCCORMICK & CO. INC. 1,451 39,721 1,333 36,491 3,163 86,587
MICHAEL FOODS INC. 201 4,397 0 -- 0 --
MORRISON MANAGEMENT
SPECIALIST INC. 188 4,206 118 2,640 228 5,102
NABISCO GROUP HOLDINGS
CORP. "A" 5,345 46,101 4,626 39,899 13,833 119,310
NABISCO HOLDINGS CORP. 463 13,543 268 7,839 430 12,577
QUAKER OATS CO. 1,680 90,615 1,380 74,434 3,894 210,033
RALSTON PURINA CO. 4,801 135,928 3,390 95,979 8,739 247,423
RUDDICK CORP. 626 8,412 468 6,289 0 --
SAFEWAY INC.+ 8,640 333,180 7,143 275,452 16,069 619,661
SARA LEE CORP. 12,959 194,385 10,376 155,640 26,864 402,960
SMUCKER (J.M.) CO. "A" 382 6,542 295 5,052 0 --
SUIZA FOODS CORP.+ 501 19,602 514 20,110 1,402 54,853
SUPERVALU INC. 2,150 36,953 1,837 31,573 3,712 63,800
SYSCO CORP. 4,885 160,289 3,703 121,505 9,334 306,272
TOOTSIE ROLL INDUSTRIES
INC. 490 14,547 301 8,936 904 26,838
TYSON FOODS INC. "A" 1,337 13,788 1,026 10,581 5,009 51,655
U.S. FOODSERVICE+ 400 7,075 300 5,306 700 12,381
UNIVERSAL FOODS CORP. 717 12,951 673 12,156 1,249 22,560
VLASIC FOODS
INTERNATIONAL+ 829 2,332 749 2,107 1,792 5,040
WEIS MARKETS INC. 63 2,666 268 11,340 318 13,455
WHOLE FOODS MARKET INC.+ 701 26,616 625 23,730 1,425 54,106
WINN-DIXIE STORES INC. 2,513 40,522 2,150 34,669 4,536 73,143
WRIGLEY WILLIAM JR. CO. 1,544 104,413 1,149 77,701 3,444 232,901
------------ ------------ ------------
$ 3,108,695 $ 2,550,357 $ 6,226,297
FOREST PRODUCTS & PAPER
PERCENT OF NET ASSETS 0.31% 0.36% 0.40%
BOISE CASCADE CORP. 812 $ 24,208 866 $ 25,818 1,553 $ 46,299
BOWATER INC. 1,460 71,814 1,146 56,369 2,904 142,840
CHAMPION INTERNATIONAL
CORP. 1,672 86,526 1,308 67,689 2,864 148,212
CHESAPEAKE CORP. 316 7,011 237 5,258 674 14,954
CONSOLIDATED PAPERS INC. 1,638 62,142 1,311 49,736 2,962 112,371
CROWN VANTAGE INC.+ 91 165 72 130 117 212
DELTIC TIMBER CORP. 269 5,985 178 3,960 295 6,564
FORT JAMES CORP. 3,534 66,483 2,749 51,716 6,283 118,199
</TABLE>
43
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
GEORGIA-PACIFIC
(GEORGIA-PACIFIC GROUP) 244 $ 8,464 1,346 $ 46,689
GEORGIA-PACIFIC (TIMBER
GROUP) 337 7,435 1,226 27,049
GLATFELTER (P.H.) CO. 486 5,953 246 3,013
INTERNATIONAL PAPER CO. 318 11,706 2,466 90,780
LOUISIANA-PACIFIC CORP. 63 744 392 4,631
MEAD CORP. 102 3,054 635 19,010
POTLATCH CORP. 2 76 230 8,740
SCHWEITZER-MAUDUIT
INTERNATIONAL INC. 20 273 81 1,104
TEMPLE-INLAND INC. 49 2,505 455 23,262
WAUSAU-MOSINEE PAPER
CORP. 392 5,120 278 3,631
WESTVACO CORP. 56 1,543 652 17,971
WEYERHAEUSER CO. 259 13,290 1,369 70,247
WILLAMETTE INDUSTRIES
INC. 109 3,699 670 22,738
----------- ------------
$ 97,843 $ 456,313
GAS
PERCENT OF NET ASSETS 0.03% 0.03%
AGL RESOURCES INC. 538 $ 9,180 387 $ 6,603
EASTERN ENTERPRISES 39 2,257 180 10,418
INDIANA ENERGY INC. 0 -- 0 --
KEYSPAN CORP. 0 -- 0 --
MCN ENERGY GROUP INC. 0 -- 0 --
NICOR INC. 44 1,337 320 9,720
ONEOK INC. 49 1,112 225 5,105
PEOPLES ENERGY CORP. 53 1,534 245 7,090
SEMPRA ENERGY 48 864 1,463 26,334
WASHINGTON GAS LIGHT CO. 464 11,078 317 7,568
----------- ------------
$ 27,362 $ 72,838
HAND / MACHINE TOOLS
PERCENT OF NET ASSETS 0.02% 0.02%
BLACK & DECKER CORP. 116 $ 3,821 516 $ 16,996
KENNAMETAL INC. 300 6,975 264 6,138
MILACRON INC. 0 -- 337 4,676
SNAP-ON INC. 38 829 347 7,569
SPX CORP.+ 33 2,873 43 3,744
STANLEY WORKS (THE) 92 2,116 431 9,913
----------- ------------
$ 16,614 $ 49,036
HEALTH CARE
PERCENT OF NET ASSETS 0.34% 0.75%
ALLERGAN INC. 110 $ 5,534 748 $ 37,634
APRIA HEALTHCARE GROUP,
INC.+ 500 7,125 528 7,524
ARROW INTERNATIONAL INC. 0 -- 88 3,476
BARD (C.R.) INC. 43 1,698 435 17,182
BAUSCH & LOMB INC. 46 2,426 461 24,318
BAXTER INTERNATIONAL INC. 205 11,172 1,732 94,394
BECKMAN COULTER INC. 194 9,336 196 9,432
BECTON DICKINSON & CO. 78 2,423 1,524 47,339
BEVERLY ENTERPRISES INC.+ 575 1,509 1,360 3,570
BIOMET INC. 112 3,696 576 19,008
BOSTON SCIENTIFIC CORP.+ 12 219 2,131 38,891
COLUMBIA/HCA HEALTHCARE
CORP. 340 6,566 4,264 82,349
COVANCE INC.+ 190 2,707 511 7,282
FOUNDATION HEALTH
SYSTEMS+ 391 3,250 1,443 11,995
GENZYME SURGICAL
PRODUCTS+ 22 280 124 1,565
</TABLE>
44
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
GEORGIA-PACIFIC
(GEORGIA-PACIFIC GROUP) 2,948 $ 102,259 2,512 $ 87,135 5,274 $ 182,942
GEORGIA-PACIFIC (TIMBER
GROUP) 2,557 56,414 1,639 36,160 4,978 109,827
GLATFELTER (P.H.) CO. 674 8,256 437 5,353 780 9,555
INTERNATIONAL PAPER CO. 6,968 256,509 5,785 212,960 12,984 477,973
LOUISIANA-PACIFIC CORP. 1,801 21,274 1,534 18,120 3,271 38,639
MEAD CORP. 1,846 55,265 1,310 39,218 2,762 82,687
POTLATCH CORP. 520 19,760 512 19,456 485 18,430
SCHWEITZER-MAUDUIT
INTERNATIONAL INC. 188 2,562 157 2,139 310 4,224
TEMPLE-INLAND INC. 906 46,319 739 37,781 1,565 80,011
WAUSAU-MOSINEE PAPER
CORP. 501 6,544 363 4,742 328 4,284
WESTVACO CORP. 1,928 53,140 1,327 36,575 2,724 75,080
WEYERHAEUSER CO. 3,919 201,094 3,256 167,074 7,237 371,349
WILLAMETTE INDUSTRIES
INC. 1,882 63,870 1,413 47,954 3,326 112,876
------------ ------------ ------------
$ 1,217,600 $ 975,343 $ 2,157,528
GAS
PERCENT OF NET ASSETS 0.05% 0.06% 0.05%
AGL RESOURCES INC. 699 $ 11,927 498 $ 8,497 459 $ 7,832
EASTERN ENTERPRISES 411 23,787 372 21,530 601 34,783
INDIANA ENERGY INC. 411 6,710 0 -- 0 --
KEYSPAN CORP. 630 12,836 0 -- 0 --
MCN ENERGY GROUP INC. 815 19,611 0 -- 0 --
NICOR INC. 779 23,662 691 20,989 1,239 37,635
ONEOK INC. 483 10,958 487 11,049 545 12,365
PEOPLES ENERGY CORP. 549 15,887 567 16,408 761 22,021
SEMPRA ENERGY 3,953 71,154 3,459 62,262 6,980 125,640
WASHINGTON GAS LIGHT CO. 547 13,060 405 9,669 389 9,287
------------ ------------ ------------
$ 209,592 $ 150,404 $ 249,563
HAND / MACHINE TOOLS
PERCENT OF NET ASSETS 0.03% 0.04% 0.05%
BLACK & DECKER CORP. 1,402 $ 46,178 1,224 $ 40,316 2,579 $ 84,946
KENNAMETAL INC. 360 8,370 268 6,231 630 14,647
MILACRON INC. 577 8,006 462 6,410 835 11,586
SNAP-ON INC. 731 15,945 762 16,621 1,643 35,838
SPX CORP.+ 255 22,201 217 18,893 540 47,014
STANLEY WORKS (THE) 1,414 32,522 872 20,056 2,415 55,545
------------ ------------ ------------
$ 133,222 $ 108,527 $ 249,576
HEALTH CARE
PERCENT OF NET ASSETS 1.15% 1.39% 1.74%
ALLERGAN INC. 1,698 $ 85,431 1,546 $ 77,783 3,676 $ 184,949
APRIA HEALTHCARE GROUP,
INC.+ 701 9,989 714 10,174 1,248 17,784
ARROW INTERNATIONAL INC. 0 -- 0 -- 177 6,991
BARD (C.R.) INC. 773 30,533 867 34,246 1,621 64,029
BAUSCH & LOMB INC. 915 48,266 755 39,826 1,585 83,609
BAXTER INTERNATIONAL INC. 4,870 265,415 4,056 221,052 9,083 495,023
BECKMAN COULTER INC. 545 26,228 519 24,977 1,484 71,417
BECTON DICKINSON & CO. 4,192 130,214 3,380 104,991 8,175 253,936
BEVERLY ENTERPRISES INC.+ 2,642 6,935 2,459 6,455 5,535 14,529
BIOMET INC. 1,801 59,433 1,427 47,091 3,410 112,530
BOSTON SCIENTIFIC CORP.+ 6,947 126,783 5,549 101,269 12,628 230,461
COLUMBIA/HCA HEALTHCARE
CORP. 10,471 202,221 9,217 178,003 19,454 375,705
COVANCE INC.+ 902 12,853 583 8,308 1,354 19,294
FOUNDATION HEALTH
SYSTEMS+ 2,702 22,460 2,522 20,964 5,571 46,309
GENZYME SURGICAL
PRODUCTS+ 59 745 165 2,083 243 3,068
</TABLE>
45
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
GUIDANT CORP.+ 157 $ 10,578 1,428 $ 96,211
HEALTH MANAGEMENT
ASSOCIATES INC. "A"+ 962 10,341 2,095 22,521
HEALTHSOUTH CORP.+ 190 926 2,700 13,163
HILLENBRAND INDUSTRIES
INC. 200 6,075 328 9,963
HUMANA INC.+ 67 456 1,000 6,813
IDEXX LABORATORIES INC.+ 400 11,825 440 13,007
JOHNSON & JOHNSON 740 53,095 6,693 480,223
LABORATORY CORPORATION OF
AMERICA HOLDINGS+ 660 2,640 367 1,468
LIFEPOINT HOSPITALS INC.+ 0 -- 141 2,124
LINCARE HOLDINGS INC.+ 0 -- 340 7,969
MALLINCKRODT INC. 77 1,896 459 11,303
MANOR CARE INC.+ 1 9 651 5,656
MEDTRONIC INC. 1,682 81,472 7,618 368,997
MID ATLANTIC MEDICAL
SERVICES INC.+ 400 3,275 440 3,603
NOVACARE INC.+ 0 -- 0 --
OAKLEY INC.+ 600 5,175 528 4,554
OXFORD HEALTH PLANS INC.+ 400 6,175 880 13,585
PACIFICARE HEALTH SYSTEMS
INC. "A"+ 286 12,995 222 10,087
QUEST DIAGNOSTICS INC.+ 46 1,578 211 7,240
QUORUM HEALTH GROUP INC.+ 50 445 584 5,201
ST. JUDE MEDICAL INC.+ 132 3,448 461 12,044
STERIS CORP.+ 200 1,937 880 8,525
STRYKER CORP. 348 20,358 710 41,535
TENET HEALTHCARE CORP.+ 34 595 1,952 34,160
THERMO CARDIOSYSTEMS
INC.+ 150 2,194 220 3,217
THERMOLASE CORP.+ 0 -- 88 170
TOTAL RENAL CARE
HOLDINGS+ 0 -- 980 2,940
TRIAD HOSPITALS INC.+ 0 -- 241 3,856
TRIGON HEALTHCARE INC.+ 0 -- 328 10,475
UNITED HEALTHCARE CORP. 157 8,027 1,444 73,825
UNIVERSAL HEALTH
SERVICES+ 200 7,775 152 5,909
VARIAN MEDICAL SYSTEMS
INC.+ 177 7,069 431 17,213
VENCOR INC.+ 500 90 616 111
VISX INC.+ 0 -- 100 1,694
WELLPOINT HEALTH NETWORKS
INC.+ 0 -- 340 22,950
----------- ------------
$ 318,390 $ 1,728,271
HOLDING
COMPANIES-DIVERSIFIED
PERCENT OF NET ASSETS 0.01% 0.10%
BERKSHIRE HATHAWAY INC.
"A"+ 0 $ -- 5 $ 220,000
BERKSHIRE HATHAWAY INC.
"B"+ 9 12,960 3 4,320
----------- ------------
$ 12,960 $ 224,320
HOME BUILDERS
PERCENT OF NET ASSETS 0.01% 0.02%
CENTEX CORP. 104 $ 2,048 468 $ 9,214
CHAMPION ENTERPRISES
INC.+ 0 -- 0 --
CLAYTON HOMES INC. 557 4,526 1,421 11,546
FLEETWOOD ENTERPRISES
INC. 32 494 313 4,832
KAUFMAN & BROAD HOME
CORP. 49 937 298 5,699
OAKWOOD HOMES CORP. 200 512 616 1,578
PULTE CORP. 90 1,513 344 5,784
SKYLINE CORP. 20 430 39 838
----------- ------------
$ 10,460 $ 39,491
</TABLE>
46
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
GUIDANT CORP.+ 4,474 $ 301,436 3,254 $ 219,238 9,361 $ 630,697
HEALTH MANAGEMENT
ASSOCIATES INC. "A"+ 4,364 46,913 3,676 39,517 12,290 132,117
HEALTHSOUTH CORP.+ 6,907 33,672 6,304 30,732 12,065 58,817
HILLENBRAND INDUSTRIES
INC. 689 20,928 604 18,346 2,473 75,117
HUMANA INC.+ 2,722 18,544 2,457 16,738 4,455 30,350
IDEXX LABORATORIES INC.+ 701 20,723 536 15,845 983 29,060
JOHNSON & JOHNSON 20,535 1,473,386 16,820 1,206,835 44,432 3,187,996
LABORATORY CORPORATION OF
AMERICA HOLDINGS+ 1,014 4,056 710 2,840 1,281 5,124
LIFEPOINT HOSPITALS INC.+ 572 8,580 436 6,567 1,087 16,305
LINCARE HOLDINGS INC.+ 601 14,086 614 14,391 1,600 37,500
MALLINCKRODT INC. 998 24,576 870 21,424 1,927 47,452
MANOR CARE INC.+ 1,894 16,454 1,487 12,918 4,622 40,154
MEDTRONIC INC. 17,488 847,075 16,154 782,459 38,738 1,876,372
MID ATLANTIC MEDICAL
SERVICES INC.+ 714 5,846 446 3,652 1,248 10,218
NOVACARE INC.+ 954 170 734 131 0 --
OAKLEY INC.+ 1,152 9,936 814 7,021 1,160 10,005
OXFORD HEALTH PLANS INC.+ 1,665 25,703 1,696 26,182 3,468 53,537
PACIFICARE HEALTH SYSTEMS
INC. "A"+ 1,051 47,755 667 30,307 1,469 66,748
QUEST DIAGNOSTICS INC.+ 451 15,475 347 11,906 829 28,445
QUORUM HEALTH GROUP INC.+ 1,164 10,367 948 8,443 2,243 19,977
ST. JUDE MEDICAL INC.+ 1,480 38,665 1,004 26,230 2,185 57,083
STERIS CORP.+ 1,678 16,256 1,607 15,568 3,368 32,627
STRYKER CORP. 1,487 86,989 1,139 66,631 4,186 244,881
TENET HEALTHCARE CORP.+ 5,133 89,827 4,244 74,270 9,220 161,350
THERMO CARDIOSYSTEMS
INC.+ 263 3,846 268 3,920 498 7,283
THERMOLASE CORP.+ 0 -- 0 -- 365 707
TOTAL RENAL CARE
HOLDINGS+ 100 300 0 -- 188 564
TRIAD HOSPITALS INC.+ 572 9,152 526 8,416 1,087 17,392
TRIGON HEALTHCARE INC.+ 200 6,387 100 3,194 400 12,775
UNITED HEALTHCARE CORP. 3,249 166,105 2,667 136,350 5,992 306,341
UNIVERSAL HEALTH
SERVICES+ 501 19,476 514 19,982 1,313 51,043
VARIAN MEDICAL SYSTEMS
INC.+ 820 32,749 795 31,750 1,659 66,256
VENCOR INC.+ 1,315 237 1,053 190 2,185 393
VISX INC.+ 400 6,775 200 3,387 400 6,775
WELLPOINT HEALTH NETWORKS
INC.+ 1,051 70,942 757 51,097 1,785 120,487
------------ ------------ ------------
$ 4,520,893 $ 3,793,699 $ 9,421,582
HOLDING
COMPANIES-DIVERSIFIED
PERCENT OF NET ASSETS 0.13% 0.13% 0.20%
BERKSHIRE HATHAWAY INC.
"A"+ 11 $ 484,000 8 $ 352,000 24 $ 1,056,000
BERKSHIRE HATHAWAY INC.
"B"+ 21 30,240 4 5,760 26 37,440
------------ ------------ ------------
$ 514,240 $ 357,760 $ 1,093,440
HOME BUILDERS
PERCENT OF NET ASSETS 0.02% 0.02% 0.03%
CENTEX CORP. 760 $ 14,963 689 $ 13,565 1,647 $ 32,425
CHAMPION ENTERPRISES
INC.+ 100 631 0 -- 188 1,187
CLAYTON HOMES INC. 2,888 23,465 2,612 21,223 6,138 49,871
FLEETWOOD ENTERPRISES
INC. 498 7,688 455 7,024 780 12,041
KAUFMAN & BROAD HOME
CORP. 614 11,743 437 8,358 819 15,663
OAKWOOD HOMES CORP. 1,239 3,175 1,171 3,001 2,408 6,170
PULTE CORP. 666 11,197 527 8,860 991 16,661
SKYLINE CORP. 195 4,192 70 1,505 117 2,515
------------ ------------ ------------
$ 77,054 $ 63,536 $ 136,533
</TABLE>
47
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
HOME FURNISHINGS
PERCENT OF NET ASSETS 0.02% 0.04%
BASSETT FURNITURE
INDUSTRIES INC. 25 $ 337 44 $ 594
ETHAN ALLEN INTERIORS
INC. 300 6,994 278 6,481
FURNITURE BRANDS
INTERNATIONAL INC.+ 0 -- 200 3,212
LEGGETT & PLATT INC. 296 4,976 1,980 33,289
MAYTAG CORP. 96 2,538 424 11,210
SUNBEAM CORP.+ 300 1,237 1,155 4,764
SUNBEAM CORP. WARRANTS
(EXPIRE 08/24/03)+ 0 -- 67 84
WHIRLPOOL CORP. 73 3,965 480 26,070
ZENITH ELECTRONICS CORP.+ 44 1 89 1
----------- ------------
$ 20,048 $ 85,705
HOUSEHOLD PRODUCTS /
WARES
PERCENT OF NET ASSETS 0.04% 0.08%
AMERICAN GREETINGS CORP.
"A" 123 $ 2,122 480 $ 8,280
AVERY DENNISON CORP. 70 4,248 516 31,315
BLYTH INDUSTRIES INC.+ 0 -- 0 --
CLOROX CO. 256 10,352 1,220 49,334
DIAL CORP. 436 6,267 1,026 14,749
ENESCO GROUP INC. 220 1,595 150 1,087
ENNIS BUSINESS FORMS INC. 0 -- 0 --
FORTUNE BRANDS INC. 180 3,938 1,251 27,366
GIBSON GREETINGS INC.+ 0 -- 0 --
HARLAND (JOHN H.) CO. 55 849 218 3,365
JOSTENS INC. 77 1,853 65 1,564
NATIONAL PRESTO
INDUSTRIES INC. 0 -- 0 --
NEWELL RUBBERMAID INC. 5 116 1,297 29,993
PENNZOIL-QUAKER STATE CO. 0 -- 398 3,482
STANDARD REGISTER CO. 301 4,101 0 --
TUPPERWARE CORP. 63 1,083 370 6,359
WALLACE COMPUTER SERVICES
INC. 90 939 176 1,837
WATER PIK TECHNOLOGIES
INC.+ 0 -- 62 419
----------- ------------
$ 37,463 $ 179,150
INSURANCE
PERCENT OF NET ASSETS 0.39% 0.97%
AETNA INC. 154 $ 6,333 835 $ 34,339
AFLAC INC. 262 9,579 2,957 108,115
ALLEGHANY CORP.+ 2 372 104 19,338
ALLMERICA FINANCIAL CORP. 24 1,002 630 26,302
ALLSTATE CORP. 614 11,973 5,112 99,684
AMBAC FINANCIAL GROUP
INC. 300 13,181 516 22,672
AMERICAN FINANCIAL GROUP
INC. 304 6,384 143 3,003
AMERICAN GENERAL CORP. 226 11,794 1,718 89,658
AMERICAN INTERNATIONAL
GROUP 1,195 105,683 9,957 880,572
AMERICAN NATIONAL
INSURANCE CO. 100 5,850 88 5,148
AON CORP. 245 5,130 1,543 32,296
ARGONAUT GROUP INC. 0 -- 88 1,672
CHICAGO TITLE CORP. 106 4,929 181 8,416
CHUBB CORP. 195 9,592 1,154 56,762
CIGNA CORP. 217 16,017 1,453 107,250
CINCINNATI FINANCIAL
CORP. 120 3,585 1,168 34,894
CNA FINANCIAL CORP.+ 200 5,400 76 2,052
CONSECO INC. 2 29 1,882 27,524
</TABLE>
48
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
HOME FURNISHINGS
PERCENT OF NET ASSETS 0.05% 0.06% 0.08%
BASSETT FURNITURE
INDUSTRIES INC. 175 $ 2,362 107 $ 1,444 182 $ 2,457
ETHAN ALLEN INTERIORS
INC. 1,001 23,336 1,071 24,968 2,119 49,399
FURNITURE BRANDS
INTERNATIONAL INC.+ 300 4,819 100 1,606 200 3,212
LEGGETT & PLATT INC. 3,388 56,961 2,994 50,337 9,249 155,499
MAYTAG CORP. 969 25,618 1,024 27,072 2,409 63,688
SUNBEAM CORP.+ 2,028 8,365 1,975 8,147 4,475 18,459
SUNBEAM CORP. WARRANTS
(EXPIRE 08/24/03)+ 0 -- 0 -- 67 84
WHIRLPOOL CORP. 1,210 65,718 968 52,574 2,189 118,890
ZENITH ELECTRONICS CORP.+ 279 4 230 4 367 6
------------ ------------ ------------
$ 187,183 $ 166,152 $ 411,694
HOUSEHOLD PRODUCTS /
WARES
PERCENT OF NET ASSETS 0.13% 0.16% 0.19%
AMERICAN GREETINGS CORP.
"A" 991 $ 17,095 857 $ 14,783 2,015 $ 34,759
AVERY DENNISON CORP. 1,402 85,084 1,144 69,427 3,428 208,037
BLYTH INDUSTRIES INC.+ 100 2,244 100 2,244 200 4,487
CLOROX CO. 3,924 158,677 3,232 130,694 7,202 291,231
DIAL CORP. 1,877 26,982 2,414 34,701 5,606 80,586
ENESCO GROUP INC. 262 1,899 191 1,385 186 1,349
ENNIS BUSINESS FORMS INC. 216 1,579 0 -- 0 --
FORTUNE BRANDS INC. 2,834 61,994 2,369 51,822 5,027 109,966
GIBSON GREETINGS INC.+ 314 2,532 0 -- 0 --
HARLAND (JOHN H.) CO. 543 8,383 550 8,491 997 15,391
JOSTENS INC. 480 11,550 372 8,951 948 22,811
NATIONAL PRESTO
INDUSTRIES INC. 102 3,226 72 2,277 0 --
NEWELL RUBBERMAID INC. 4,627 106,999 3,756 86,857 8,504 196,655
PENNZOIL-QUAKER STATE CO. 1,283 11,226 986 8,628 1,454 12,722
STANDARD REGISTER CO. 379 5,164 279 3,801 0 --
TUPPERWARE CORP. 1,006 17,291 794 13,647 1,927 33,120
WALLACE COMPUTER SERVICES
INC. 263 2,745 277 2,891 718 7,494
WATER PIK TECHNOLOGIES
INC.+ 165 1,112 143 965 287 1,937
------------ ------------ ------------
$ 525,782 $ 441,564 $ 1,020,545
INSURANCE
PERCENT OF NET ASSETS 1.41% 1.76% 1.95%
AETNA INC. 2,428 $ 99,852 1,961 $ 80,646 4,519 $ 185,844
AFLAC INC. 4,848 177,255 4,458 162,996 9,691 354,327
ALLEGHANY CORP.+ 106 19,709 106 19,709 10 1,859
ALLMERICA FINANCIAL CORP. 1,484 61,957 1,214 50,684 1,151 48,054
ALLSTATE CORP. 13,571 264,634 11,551 225,244 25,189 491,185
AMBAC FINANCIAL GROUP
INC. 952 41,828 971 42,663 3,480 152,902
AMERICAN FINANCIAL GROUP
INC. 688 14,448 700 14,700 1,837 38,577
AMERICAN GENERAL CORP. 4,152 216,682 3,696 192,885 7,718 402,783
AMERICAN INTERNATIONAL
GROUP 26,437 2,338,022 22,197 1,963,047 50,452 4,461,849
AMERICAN NATIONAL
INSURANCE CO. 163 9,535 368 21,528 330 19,305
AON CORP. 4,099 85,812 3,588 75,113 7,671 160,612
ARGONAUT GROUP INC. 0 -- 179 3,401 265 5,035
CHICAGO TITLE CORP. 361 16,786 725 33,712 817 37,990
CHUBB CORP. 2,913 143,283 2,470 121,493 5,442 267,678
CIGNA CORP. 3,421 252,513 3,176 234,429 6,320 466,495
CINCINNATI FINANCIAL
CORP. 2,780 83,053 2,365 70,654 5,015 149,823
CNA FINANCIAL CORP.+ 151 4,077 514 13,878 1,402 37,854
CONSECO INC. 5,311 77,673 4,375 63,984 9,645 141,058
</TABLE>
49
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
EVEREST RE GROUP LTD. 100 $ 2,456 416 $ 10,218
FINANCIAL SECURITY
ASSURANCE HOLDINGS LTD. 0 -- 0 --
FIRST AMERICAN FINANCIAL
CORP. 100 1,162 616 7,161
FREMONT GENERAL CORP. 300 2,175 804 5,829
HANCOCK (JOHN) FINANCIAL
SERVICES+ 0 -- 0 --
HARTFORD FINANCIAL
SERVICES GROUP INC. 192 6,000 1,547 48,344
HARTFORD LIFE INC. "A" 0 -- 0 --
HIGHLANDS INSURANCE GROUP
INC.+ 37 301 67 544
HORACE MANN EDUCATORS
CORP. 300 4,650 616 9,548
HSB GROUP INC. 345 8,539 170 4,207
JEFFERSON-PILOT CORP. 140 7,289 618 32,175
LEUCADIA NATIONAL CORP. 0 -- 328 7,011
LINCOLN NATIONAL CORP. 238 6,619 1,432 39,828
LOEWS CORP. 135 6,007 733 32,618
MARSH & MCLENNAN
COMPANIES INC. 220 17,023 1,577 122,020
MBIA INC. 94 3,607 624 23,946
MERCURY GENERAL CORP. 200 4,537 152 3,448
MGIC INVESTMENT CORP. 95 3,551 734 27,433
MONY GROUP INC. 0 -- 0 --
OHIO CASUALTY CORP. 500 6,187 504 6,237
OLD REPUBLIC
INTERNATIONAL CORP. 525 6,136 1,506 17,601
PMI GROUP INC. (THE) 150 5,447 228 8,279
PROGRESSIVE CORPORATION 75 4,462 425 25,287
PROTECTIVE LIFE CORP. 100 2,200 692 15,224
RADIAN GROUP INC. 100 3,469 264 9,157
REINSURANCE GROUP OF
AMERICA INC. 0 -- 528 9,009
RELIANCE GROUP HOLDINGS
INC. 100 444 892 3,958
RELIASTAR FINANCIAL CORP. 400 11,175 1,056 29,502
SAFECO CORP. 156 3,276 843 17,703
ST. PAUL COMPANIES INC. 164 3,669 1,470 32,891
TORCHMARK CORP. 142 2,813 832 16,484
TRANSATLANTIC HOLDINGS
INC. 126 8,875 220 15,496
TRAVELERS PROPERTY
CASUALTY CORP. 0 -- 188 5,945
21ST CENTURY INSURANCE
GROUP 0 -- 1,044 18,400
UICI+ 200 1,737 528 4,620
UNITRIN INC. 300 10,181 604 20,498
UNUMPROVIDENT CORP. 269 3,598 1,754 23,460
WESCO FINANCIAL CORP. 0 -- 0 --
WHITE MOUNTAINS INSURANCE
GROUP INC. 0 -- 0 --
----------- ------------
$ 364,418 $ 2,213,778
IRON / STEEL
PERCENT OF NET ASSETS 0.02% 0.03%
AK STEEL HOLDING CORP. 42 $ 349 316 $ 2,627
ALLEGHENY TECHNOLOGIES
INC. 41 694 629 10,654
BETHLEHEM STEEL CORP.+ 7 40 603 3,430
LTV CORP. 900 2,981 1,408 4,664
NUCOR CORP. 121 6,012 499 24,794
OREGON STEEL MILLS INC. 0 -- 0 --
RYERSON TULL INC. 207 2,743 381 5,048
STEEL DYNAMICS INC.+ 0 -- 264 4,059
USX-U.S. STEEL GROUP INC. 126 2,756 455 9,953
----------- ------------
$ 15,575 $ 65,229
</TABLE>
50
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
EVEREST RE GROUP LTD. 1,040 $ 25,545 971 $ 23,850 2,396 $ 58,852
FINANCIAL SECURITY
ASSURANCE HOLDINGS LTD. 100 4,500 0 -- 100 4,500
FIRST AMERICAN FINANCIAL
CORP. 1,240 14,415 961 11,172 200 2,325
FREMONT GENERAL CORP. 1,327 9,621 1,150 8,337 2,473 17,929
HANCOCK (JOHN) FINANCIAL
SERVICES+ 1,300 20,637 0 -- 4,500 71,437
HARTFORD FINANCIAL
SERVICES GROUP INC. 3,730 116,562 3,396 106,125 6,860 214,375
HARTFORD LIFE INC. "A" 100 3,537 100 3,537 100 3,537
HIGHLANDS INSURANCE GROUP
INC.+ 151 1,227 121 983 191 1,552
HORACE MANN EDUCATORS
CORP. 1,240 19,220 1,161 17,995 2,685 41,617
HSB GROUP INC. 556 13,761 546 13,514 1,428 35,343
JEFFERSON-PILOT CORP. 1,765 91,890 1,462 76,115 3,124 162,643
LEUCADIA NATIONAL CORP. 852 18,211 871 18,618 2,308 49,333
LINCOLN NATIONAL CORP. 3,228 89,779 2,910 80,934 5,902 164,149
LOEWS CORP. 1,907 84,861 1,567 69,731 3,363 149,653
MARSH & MCLENNAN
COMPANIES INC. 4,550 352,056 3,783 292,710 8,450 653,819
MBIA INC. 1,802 69,152 1,370 52,574 2,860 109,753
MERCURY GENERAL CORP. 501 11,366 514 11,661 1,325 30,061
MGIC INVESTMENT CORP. 1,911 71,424 1,463 54,680 3,339 124,795
MONY GROUP INC. 200 5,725 100 2,862 400 11,450
OHIO CASUALTY CORP. 1,102 13,637 928 11,484 2,704 33,462
OLD REPUBLIC
INTERNATIONAL CORP. 3,124 36,512 2,824 33,005 6,438 75,244
PMI GROUP INC. (THE) 621 22,550 504 18,302 1,722 62,530
PROGRESSIVE CORPORATION 1,224 72,828 918 54,621 2,101 125,009
PROTECTIVE LIFE CORP. 1,302 28,644 1,239 27,258 3,026 66,572
RADIAN GROUP INC. 526 18,246 536 18,592 1,348 46,759
REINSURANCE GROUP OF
AMERICA INC. 0 -- 0 -- 100 1,706
RELIANCE GROUP HOLDINGS
INC. 1,778 7,890 1,518 6,736 3,456 15,336
RELIASTAR FINANCIAL CORP. 1,865 52,103 1,796 50,176 4,881 136,363
SAFECO CORP. 2,167 45,507 2,038 42,798 4,378 91,938
ST. PAUL COMPANIES INC. 3,898 87,218 3,270 73,166 6,978 156,133
TORCHMARK CORP. 2,366 46,876 2,063 40,873 4,304 85,273
TRANSATLANTIC HOLDINGS
INC. 366 25,780 437 30,781 836 58,886
TRAVELERS PROPERTY
CASUALTY CORP. 300 9,487 268 8,475 500 15,812
21ST CENTURY INSURANCE
GROUP 2,016 35,532 1,864 32,853 288 5,076
UICI+ 877 7,674 804 7,035 2,143 18,751
UNITRIN INC. 1,402 47,580 1,328 45,069 2,926 99,301
UNUMPROVIDENT CORP. 3,849 51,480 3,475 46,478 7,043 94,200
WESCO FINANCIAL CORP. 0 -- 0 -- 88 19,778
WHITE MOUNTAINS INSURANCE
GROUP INC. 0 -- 0 -- 100 11,025
------------ ------------ ------------
$ 5,540,152 $ 4,783,866 $ 10,549,507
IRON / STEEL
PERCENT OF NET ASSETS 0.05% 0.05% 0.06%
AK STEEL HOLDING CORP. 684 $ 5,688 582 $ 4,838 1,366 $ 11,353
ALLEGHENY TECHNOLOGIES
INC. 1,611 27,286 1,406 23,814 2,819 47,747
BETHLEHEM STEEL CORP.+ 2,316 13,172 2,002 11,386 3,709 21,095
LTV CORP. 2,730 9,043 2,511 8,318 6,153 20,382
NUCOR CORP. 1,516 75,326 1,135 56,395 2,582 128,293
OREGON STEEL MILLS INC. 262 1,081 178 734 0 --
RYERSON TULL INC. 1,298 17,198 1,132 14,999 2,371 31,416
STEEL DYNAMICS INC.+ 526 8,087 357 5,489 983 15,114
USX-U.S. STEEL GROUP INC. 1,599 34,978 1,069 23,384 2,147 46,966
------------ ------------ ------------
$ 191,859 $ 149,357 $ 322,366
</TABLE>
51
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
LEISURE TIME
PERCENT OF NET ASSETS 0.08% 0.12%
AMF BOWLING INC.+ 0 $ -- 176 $ 572
BALLY TOTAL FITNESS
HOLDING CORP.+ 26 699 67 1,801
BRUNSWICK CORP. 126 2,229 595 10,524
CALLAWAY GOLF CO. 296 3,552 950 11,400
CARNIVAL CORP. "A" 570 16,423 4,302 123,951
GALILEO INTERNATIONAL
INC. 200 3,400 240 4,080
HARLEY-DAVIDSON INC. 736 50,140 1,670 113,769
NAVIGANT INTERNATIONAL
INC.+ 0 -- 81 810
SABRE HOLDINGS CORP.+ 0 -- 176 7,062
----------- ------------
$ 76,443 $ 273,969
LODGING
PERCENT OF NET ASSETS 0.04% 0.05%
CHOICE HOTELS
INTERNATIONAL INC.+ 59 $ 981 444 $ 7,381
CRESTLINE CAPITAL CORP.+ 100 1,812 185 3,353
EXTENDED STAY AMERICA
INC.+ 400 2,600 880 5,720
HILTON HOTELS CORP. 440 3,080 2,206 15,442
HOMESTEAD VILLAGE INC.+ 75 164 76 166
INTERSTATE HOTELS CORP.+ 25 78 63 197
MARRIOTT INTERNATIONAL
INC. 296 8,159 1,412 38,918
STARWOOD HOTELS & RESORTS
WORLDWIDE INC. 864 19,386 1,782 39,984
SUNBURST HOSPITALITY
CORP.+ 19 93 147 717
WYNDHAM INTERNATIONAL
INC. "A"+ 751 1,784 1,911 4,539
----------- ------------
$ 38,137 $ 116,417
MACHINERY
PERCENT OF NET ASSETS 0.09% 0.17%
AGCO CORP. 300 $ 3,300 792 $ 8,712
BRIGGS & STRATTON CORP. 42 1,404 158 5,283
CATERPILLAR INC. 310 10,869 2,209 77,453
COGNEX CORP.+ 0 -- 264 11,599
CUMMINS ENGINE COMPANY
INC. 25 833 288 9,594
DEERE & CO. 189 6,757 1,794 64,135
DOVER CORP. 185 7,134 1,493 57,574
FLOWSERVE CORP. 200 2,300 528 6,072
HARNISCHFEGER INDUSTRIES
INC.+ 40 30 175 131
IMATION CORP.+ 276 8,539 454 14,046
INGERSOLL-RAND CO. 172 6,590 1,180 45,209
MAGNETEK INC.+ 0 -- 0 --
MCDERMOTT INTERNATIONAL
INC. 0 -- 346 3,244
NACCO INDUSTRIES INC. 0 -- 48 2,085
NORDSON CORP. 214 8,293 141 5,464
PRESSTEK INC.+ 200 4,750 352 8,360
ROCKWELL INTERNATIONAL
CORP. 210 9,503 1,404 63,531
STEWART & STEVENSON
SERVICES INC. 364 3,572 334 3,277
TECUMSEH PRODUCTS CO. "A" 241 10,393 167 7,202
UNOVA INC.+ 34 393 382 4,417
----------- ------------
$ 84,660 $ 397,388
</TABLE>
52
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
LEISURE TIME
PERCENT OF NET ASSETS 0.15% 0.18% 0.21%
AMF BOWLING INC.+ 451 $ 1,466 368 $ 1,196 807 $ 2,623
BALLY TOTAL FITNESS
HOLDING CORP.+ 162 4,354 104 2,795 197 5,294
BRUNSWICK CORP. 1,792 31,696 1,225 21,667 2,595 45,899
CALLAWAY GOLF CO. 1,816 21,792 1,846 22,152 3,935 47,220
CARNIVAL CORP. "A" 10,470 301,667 8,659 249,487 19,378 558,329
GALILEO INTERNATIONAL
INC. 777 13,209 793 13,481 1,855 31,535
HARLEY-DAVIDSON INC. 2,921 198,993 2,657 181,008 6,100 415,562
NAVIGANT INTERNATIONAL
INC.+ 168 1,680 144 1,440 422 4,220
SABRE HOLDINGS CORP.+ 351 14,084 268 10,753 442 17,735
------------ ------------ ------------
$ 588,941 $ 503,979 $ 1,128,417
LODGING
PERCENT OF NET ASSETS 0.07% 0.09% 0.11%
CHOICE HOTELS
INTERNATIONAL INC.+ 1,069 $ 17,772 720 $ 11,970 1,175 $ 19,534
CRESTLINE CAPITAL CORP.+ 298 5,401 428 7,757 992 17,980
EXTENDED STAY AMERICA
INC.+ 1,765 11,472 1,618 10,517 3,745 24,342
HILTON HOTELS CORP. 5,475 38,325 5,223 36,561 12,006 84,042
HOMESTEAD VILLAGE INC.+ 188 411 201 440 266 582
INTERSTATE HOTELS CORP.+ 214 669 206 644 331 1,034
MARRIOTT INTERNATIONAL
INC. 4,165 114,798 3,306 91,122 7,482 206,223
STARWOOD HOTELS & RESORTS
WORLDWIDE INC. 3,390 76,063 3,297 73,976 9,493 212,999
SUNBURST HOSPITALITY
CORP.+ 422 2,057 340 1,657 458 2,233
WYNDHAM INTERNATIONAL
INC. "A"+ 3,624 8,607 3,287 7,807 7,531 17,886
------------ ------------ ------------
$ 275,575 $ 242,451 $ 586,855
MACHINERY
PERCENT OF NET ASSETS 0.24% 0.30% 0.31%
AGCO CORP. 1,590 $ 17,490 1,528 $ 16,808 3,480 $ 38,280
BRIGGS & STRATTON CORP. 442 14,779 449 15,013 644 21,534
CATERPILLAR INC. 6,120 214,582 5,268 184,709 11,074 388,282
COGNEX CORP.+ 614 26,978 536 23,550 1,248 54,834
CUMMINS ENGINE COMPANY
INC. 621 20,687 509 16,956 881 29,348
DEERE & CO. 4,165 148,899 3,602 128,772 7,070 252,752
DOVER CORP. 3,602 138,902 3,138 121,009 7,294 281,275
FLOWSERVE CORP. 1,152 13,248 982 11,293 2,231 25,656
HARNISCHFEGER INDUSTRIES
INC.+ 913 685 684 513 1,450 1,088
IMATION CORP.+ 615 19,027 653 20,202 1,528 47,273
INGERSOLL-RAND CO. 2,912 111,566 2,477 94,900 4,892 187,425
MAGNETEK INC.+ 322 2,777 0 -- 0 --
MCDERMOTT INTERNATIONAL
INC. 853 7,997 1,022 9,581 1,718 16,106
NACCO INDUSTRIES INC. 147 6,385 149 6,472 179 7,775
NORDSON CORP. 257 9,959 186 7,207 340 13,175
PRESSTEK INC.+ 451 10,711 457 10,854 630 14,962
ROCKWELL INTERNATIONAL
CORP. 3,279 148,375 2,913 131,813 5,796 262,269
STEWART & STEVENSON
SERVICES INC. 434 4,259 326 3,199 846 8,301
TECUMSEH PRODUCTS CO. "A" 302 13,024 222 9,574 381 16,431
UNOVA INC.+ 1,027 11,875 730 8,441 1,567 18,118
------------ ------------ ------------
$ 942,205 $ 820,866 $ 1,684,884
</TABLE>
53
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
MANUFACTURERS
PERCENT OF NET ASSETS 0.62% 1.56%
CARLISLE COMPANIES INC. 200 $ 6,625 152 $ 5,035
COOPER INDUSTRIES INC. 123 3,721 734 22,203
CORNING INC. 185 34,780 1,218 228,984
CRANE CO. 20 398 507 10,077
DANAHER CORP. 190 7,754 687 28,038
EASTMAN KODAK CO. 233 13,354 2,232 127,922
EATON CORP. 76 5,695 459 34,396
FEDERAL SIGNAL CORP. 498 7,439 431 6,438
FMC CORP.+ 2 97 223 10,774
GENERAL ELECTRIC CO. 2,503 330,865 16,732 2,211,761
HARSCO CORP. 238 5,905 434 10,769
ILLINOIS TOOL WORKS INC. 290 14,989 1,787 92,366
ITT INDUSTRIES INC. 126 3,056 731 17,727
LANCASTER COLONY CORP. 107 3,183 231 6,872
MARK IV INDUSTRIES INC. 247 4,940 556 11,120
MASCOTECH INC. 0 -- 264 3,696
MINNESOTA MINING &
MANUFACTURING CO. 395 34,809 2,515 221,634
NATIONAL SERVICE
INDUSTRIES INC. 39 800 322 6,601
NCH CORP. 0 -- 0 --
NEWPORT NEWS SHIPBUILDING
INC. 64 1,812 257 7,276
PALL CORP. 13 257 642 12,679
PENTAIR INC. 200 6,875 240 8,250
PITTSTON BRINK'S GROUP 352 6,292 614 10,975
POLAROID CORP. 34 852 327 8,195
PPG INDUSTRIES INC. 185 9,134 1,289 63,644
TELEFLEX INC. 350 9,888 240 6,780
TEXTRON INC. 127 7,747 949 57,889
TRINITY INDUSTRIES INC. 222 4,912 363 8,031
TYCO INTERNATIONAL LTD. 1,444 54,782 8,504 322,621
U.S. INDUSTRIES INC. 427 4,884 1,246 14,251
----------- ------------
$ 585,845 $ 3,577,004
MEDIA
PERCENT OF NET ASSETS 0.91% 1.59%
ADELPHIA COMMUNICATIONS
"A"+ 0 $ -- 0 $ --
AMFM INC.+ 500 30,688 1,220 74,877
AT&T - LIBERTY MEDIA
GROUP "A"+ 6,010 314,023 12,444 650,199
AT&T - LIBERTY MEDIA
GROUP "B"+ 0 -- 0 --
BELO (A.H.) CORP. 312 4,017 850 10,944
CABLEVISION SYSTEMS
CORP.+ 0 -- 780 50,066
CBS CORP.+ 526 31,330 4,740 282,326
CENTRAL NEWSPAPERS INC.
"A" 200 5,713 76 2,171
CHARTER COMMUNICATIONS
INC.+ 0 -- 0 --
CHRIS-CRAFT INDUSTRIES
INC.+ 123 8,062 243 15,992
CLEAR CHANNEL
COMMUNICATIONS INC.+ 233 15,524 2,081 138,647
COMCAST CORP. "A" 270 11,475 4,148 176,290
DISNEY (WALT) CO. 1,549 51,892 13,061 437,543
DOW JONES & CO. INC. 94 5,863 548 34,182
FOX ENTERTAINMENT GROUP
INC.+ 100 2,631 200 5,262
GANNETT CO. INC. 298 19,426 1,630 106,256
HARCOURT GENERAL INC. 79 2,721 457 15,738
HEARST-ARGYLE TELEVISION
INC.+ 300 6,244 704 14,652
HISPANIC BROADCASTING
CORP.+ 100 9,344 252 23,546
</TABLE>
54
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
MANUFACTURERS
PERCENT OF NET ASSETS 2.62% 3.13% 4.00%
CARLISLE COMPANIES INC. 501 $ 16,596 514 $ 17,026 1,413 $ 46,806
COOPER INDUSTRIES INC. 2,053 62,103 1,600 48,400 3,377 102,154
CORNING INC. 3,958 744,104 3,163 594,644 8,556 1,608,528
CRANE CO. 997 19,815 796 15,821 1,982 39,392
DANAHER CORP. 2,343 95,624 1,845 75,299 4,591 187,370
EASTMAN KODAK CO. 5,766 330,464 4,626 265,128 9,936 569,457
EATON CORP. 1,229 92,098 959 71,865 2,154 161,415
FEDERAL SIGNAL CORP. 707 10,561 716 10,695 1,672 24,975
FMC CORP.+ 608 29,374 566 27,345 723 34,930
GENERAL ELECTRIC CO. 48,914 6,465,819 40,508 5,354,651 105,612 13,960,586
HARSCO CORP. 982 24,366 1,012 25,110 2,391 59,327
ILLINOIS TOOL WORKS INC. 5,044 260,712 4,228 218,535 9,398 485,759
ITT INDUSTRIES INC. 2,121 51,434 1,594 38,654 3,282 79,588
LANCASTER COLONY CORP. 681 20,260 657 19,546 1,759 52,330
MARK IV INDUSTRIES INC. 1,126 22,520 948 18,960 2,298 45,960
MASCOTECH INC. 0 -- 357 4,998 807 11,298
MINNESOTA MINING &
MANUFACTURING CO. 6,837 602,511 5,659 498,699 12,716 1,120,598
NATIONAL SERVICE
INDUSTRIES INC. 646 13,243 559 11,459 944 19,352
NCH CORP. 109 4,319 79 3,130 0 --
NEWPORT NEWS SHIPBUILDING
INC. 539 15,260 415 11,750 847 23,981
PALL CORP. 2,220 43,845 1,783 35,214 3,608 71,258
PENTAIR INC. 756 25,987 609 20,934 1,766 60,706
PITTSTON BRINK'S GROUP 1,341 23,970 1,115 19,931 2,732 48,834
POLAROID CORP. 686 17,193 632 15,839 1,027 25,739
PPG INDUSTRIES INC. 2,888 142,595 2,521 124,474 5,351 264,206
TELEFLEX INC. 596 16,837 593 16,752 1,678 47,403
TEXTRON INC. 2,626 160,186 2,284 139,324 5,138 313,418
TRINITY INDUSTRIES INC. 956 21,151 903 19,979 2,213 48,963
TYCO INTERNATIONAL LTD. 24,786 940,319 20,066 761,254 53,582 2,032,767
U.S. INDUSTRIES INC. 2,439 27,896 2,236 25,574 5,279 60,379
------------ ------------ ------------
$ 10,301,162 $ 8,510,990 $ 21,607,479
MEDIA
PERCENT OF NET ASSETS 2.27% 2.86% 3.31%
ADELPHIA COMMUNICATIONS
"A"+ 200 $ 10,987 200 $ 10,987 300 $ 16,481
AMFM INC.+ 2,404 147,545 1,954 119,927 6,606 405,443
AT&T - LIBERTY MEDIA
GROUP "A"+ 21,050 1,099,862 19,950 1,042,387 47,794 2,497,236
AT&T - LIBERTY MEDIA
GROUP "B"+ 0 -- 0 -- 100 5,650
BELO (A.H.) CORP. 1,778 22,892 1,575 20,278 3,792 48,822
CABLEVISION SYSTEMS
CORP.+ 1,590 102,058 1,886 121,058 500 32,094
CBS CORP.+ 13,018 775,385 10,997 655,009 24,243 1,443,974
CENTRAL NEWSPAPERS INC.
"A" 151 4,313 693 19,794 1,943 55,497
CHARTER COMMUNICATIONS
INC.+ 0 -- 0 -- 200 3,512
CHRIS-CRAFT INDUSTRIES
INC.+ 457 30,076 316 20,797 211 13,887
CLEAR CHANNEL
COMMUNICATIONS INC.+ 5,784 385,359 4,742 315,936 10,677 711,355
COMCAST CORP. "A" 12,580 534,650 9,964 423,470 27,130 1,153,025
DISNEY (WALT) CO. 35,193 1,178,966 29,524 989,054 65,903 2,207,750
DOW JONES & CO. INC. 1,170 72,979 1,259 78,530 2,455 153,131
FOX ENTERTAINMENT GROUP
INC.+ 600 15,787 400 10,525 800 21,050
GANNETT CO. INC. 4,691 305,795 3,886 253,319 8,709 567,718
HARCOURT GENERAL INC. 1,074 36,986 876 30,167 1,888 65,018
HEARST-ARGYLE TELEVISION
INC.+ 1,327 27,618 1,250 26,016 2,773 57,713
HISPANIC BROADCASTING
CORP.+ 514 48,027 725 67,742 1,137 106,238
</TABLE>
55
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
HOUGHTON MIFFLIN CO. 304 $ 12,103 211 $ 8,400
INFINITY BROADCASTING
CORP.+ 437 13,957 975 31,139
JONES INTERCABLE INC.
"A"+ 0 -- 0 --
KNIGHT RIDDER INC. 124 5,813 562 26,344
LEE ENTERPRISES INC. 498 10,365 0 --
MCGRAW-HILL COMPANIES
INC. 202 10,277 1,150 58,506
MEDIA GENERAL INC. "A" 280 14,473 194 10,027
MEDIAONE GROUP INC.+ 470 36,895 3,885 304,972
MEREDITH CORP. 82 2,347 404 11,565
NEW YORK TIMES CO. "A" 162 6,845 1,313 55,474
PRIMEDIA INC.+ 0 -- 76 1,411
READERS DIGEST
ASSOCIATION "A" 300 10,313 1,056 36,300
READERS DIGEST
ASSOCIATION "B" 200 5,950 264 7,854
SCHOLASTIC CORP.+ 200 10,363 176 9,119
SCRIPPS (E.W.) COMPANY 200 8,625 264 11,385
TCI SATELLITE
ENTERTAINMENT GROUP "A"+ 107 1,351 477 6,022
TIME WARNER INC. 1,244 106,362 7,371 630,220
TIMES MIRROR CO. "A" 117 5,967 324 16,524
TRIBUNE CO. 232 9,034 1,544 60,120
TV GUIDE INC.+ 0 -- 0 --
UNITEDGLOBALCOM INC. "A"+ 0 -- 0 --
UNIVISION COMMUNICATIONS
INC.+ 0 -- 64 6,520
USA NETWORKS INC.+ 1,044 23,425 1,258 28,226
VIACOM INC. "B"+ 464 25,868 4,510 251,432
WASHINGTON POST COMPANY
(THE) "B" 27 13,169 88 42,922
ZIFF-DAVIS INC.+ 0 -- 152 2,888
----------- ------------
$ 852,455 $ 3,656,061
METAL FABRICATE /
HARDWARE
PERCENT OF NET ASSETS 0.01% 0.01%
CIRCOR INTERNATIONAL
INC.+ 154 $ 2,041 0 $ --
KAYDON CORP. 0 -- 0 --
LAWSON PRODUCTS INC. 0 -- 0 --
PRECISION CASTPARTS CORP. 100 2,581 264 6,814
TIMKEN CO. 42 601 370 5,296
WORTHINGTON INDUSTRIES
INC. 77 1,020 452 5,989
----------- ------------
$ 6,243 $ 18,099
METALS-DIVERSIFIED
PERCENT OF NET ASSETS 0.04% 0.10%
ALCOA INC. 378 $ 25,893 2,340 $ 160,290
FREEPORT-MCMORAN COPPER &
GOLD INC.+ 16 220 357 4,909
MAXXAM INC.+ 0 -- 0 --
PHELPS DODGE CORP. 125 5,891 614 28,935
REYNOLDS METALS CO. 49 3,112 476 30,226
USEC INC. 400 1,425 1,308 4,660
----------- ------------
$ 36,541 $ 229,020
MINING
PERCENT OF NET ASSETS 0.00% 0.02%
BATTLE MOUNTAIN GOLD CO.+ 137 $ 291 1,287 $ 2,735
HOMESTAKE MINING COMPANY 42 273 1,212 7,878
NEWMONT MINING CORP. 87 1,914 1,371 30,333
----------- ------------
$ 2,478 $ 40,946
</TABLE>
56
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
HOUGHTON MIFFLIN CO. 403 $ 16,044 277 $ 11,028 886 $ 35,274
INFINITY BROADCASTING
CORP.+ 2,205 70,422 2,792 89,170 5,743 183,417
JONES INTERCABLE INC.
"A"+ 100 5,856 100 5,856 100 5,856
KNIGHT RIDDER INC. 1,374 64,406 1,051 49,266 2,448 114,750
LEE ENTERPRISES INC. 621 12,925 455 9,470 0 --
MCGRAW-HILL COMPANIES
INC. 3,300 167,887 2,654 135,022 5,980 304,232
MEDIA GENERAL INC. "A" 359 18,556 259 13,387 503 25,999
MEDIAONE GROUP INC.+ 10,394 815,929 8,812 691,742 19,475 1,528,787
MEREDITH CORP. 711 20,352 698 19,980 1,371 39,245
NEW YORK TIMES CO. "A" 3,067 129,581 2,774 117,201 5,601 236,642
PRIMEDIA INC.+ 151 2,803 168 3,119 895 16,613
READERS DIGEST
ASSOCIATION "A" 2,028 69,712 1,975 67,891 3,998 137,431
READERS DIGEST
ASSOCIATION "B" 263 7,824 268 7,973 630 18,743
SCHOLASTIC CORP.+ 175 9,067 179 9,274 353 18,290
SCRIPPS (E.W.) COMPANY 514 22,166 725 31,266 1,237 53,346
TCI SATELLITE
ENTERTAINMENT GROUP "A"+ 1,008 12,726 788 9,949 1,649 20,819
TIME WARNER INC. 18,963 1,621,336 16,014 1,369,197 41,092 3,513,366
TIMES MIRROR CO. "A" 1,064 54,264 829 42,279 2,141 109,191
TRIBUNE CO. 4,128 160,734 3,980 154,971 7,208 280,662
TV GUIDE INC.+ 0 -- 0 -- 400 18,850
UNITEDGLOBALCOM INC. "A"+ 200 20,900 200 20,900 200 20,900
UNIVISION COMMUNICATIONS
INC.+ 438 44,621 346 35,249 983 100,143
USA NETWORKS INC.+ 2,478 55,600 2,222 49,856 10,690 239,857
VIACOM INC. "B"+ 11,834 659,746 10,188 567,981 22,170 1,235,977
WASHINGTON POST COMPANY
(THE) "B" 158 77,064 119 58,042 87 42,434
ZIFF-DAVIS INC.+ 414 7,866 525 9,975 1,513 28,747
------------ ------------ ------------
$ 8,947,672 $ 7,785,040 $ 17,895,165
METAL FABRICATE /
HARDWARE
PERCENT OF NET ASSETS 0.02% 0.02% 0.02%
CIRCOR INTERNATIONAL
INC.+ 203 $ 2,690 149 $ 1,974 0 $ --
KAYDON CORP. 438 10,074 0 -- 0 --
LAWSON PRODUCTS INC. 173 3,892 0 -- 0 --
PRECISION CASTPARTS CORP. 526 13,577 547 14,119 1,160 29,942
TIMKEN CO. 800 11,450 663 9,489 1,719 24,603
WORTHINGTON INDUSTRIES
INC. 1,715 22,724 1,304 17,278 2,732 36,199
------------ ------------ ------------
$ 64,407 $ 42,860 $ 90,744
METALS-DIVERSIFIED
PERCENT OF NET ASSETS 0.15% 0.20% 0.21%
ALCOA INC. 6,192 $ 424,152 5,556 $ 380,586 11,844 $ 811,314
FREEPORT-MCMORAN COPPER &
GOLD INC.+ 2,788 38,335 2,267 31,171 4,961 68,214
MAXXAM INC.+ 112 3,290 0 -- 0 --
PHELPS DODGE CORP. 1,271 59,896 1,221 57,540 2,542 119,792
REYNOLDS METALS CO. 1,054 66,929 871 55,309 2,084 132,334
USEC INC. 2,542 9,056 2,289 8,155 5,299 18,878
------------ ------------ ------------
$ 601,658 $ 532,761 $ 1,150,532
MINING
PERCENT OF NET ASSETS 0.02% 0.03% 0.03%
BATTLE MOUNTAIN GOLD CO.+ 3,666 $ 7,790 3,020 $ 6,418 6,486 $ 13,783
HOMESTAKE MINING COMPANY 3,586 23,309 3,016 19,604 5,811 37,771
NEWMONT MINING CORP. 2,763 61,120 2,533 56,043 5,496 121,599
------------ ------------ ------------
$ 92,219 $ 82,065 $ 173,153
</TABLE>
57
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
OFFICE / BUSINESS
EQUIPMENT
PERCENT OF NET ASSETS 0.02% 0.08%
HON INDUSTRIES INC. 6 $ 111 651 $ 12,003
LANIER WORLDWIDE INC.+ 0 -- 597 1,679
MILLER (HERMAN) INC. 376 7,708 1,079 22,119
PITNEY BOWES INC. 66 3,267 1,261 62,419
XEROX CORP. 420 9,109 3,842 83,323
----------- ------------
$ 20,195 $ 181,543
OIL & GAS PRODUCERS
PERCENT OF NET ASSETS 0.52% 1.47%
AMERADA HESS CORP. 122 $ 6,169 505 $ 25,534
ANADARKO PETROLEUM CORP. 162 4,982 715 21,986
APACHE CORP. 96 3,504 618 22,557
ATLANTIC RICHFIELD CO. 233 16,543 2,035 144,485
BURLINGTON RESOURCES INC. 194 5,359 1,151 31,796
CHESAPEAKE ENERGY CORP.+ 0 -- 352 1,034
CHEVRON CORP. 560 41,825 4,180 312,194
COASTAL CORP. 144 6,057 1,318 55,438
CONOCO INC. 0 -- 3,570 70,284
CONOCO INC. "B" 0 -- 200 3,837
DEVON ENERGY CORP. 14 522 358 13,336
DIAMOND OFFSHORE DRILLING
INC. 100 3,175 880 27,940
EEX CORP.+ 45 110 355 865
ENSCO INTERNATIONAL INC. 500 15,125 1,748 52,877
EOG RESOURCES INC. 100 1,525 980 14,945
EXXON MOBIL CORP. 2,748 206,959 23,181 1,745,819
GLOBAL MARINE INC.+ 600 13,463 1,889 42,384
HELMERICH & PAYNE INC. 0 -- 390 10,384
KERR-MCGEE CORP. 97 4,341 418 18,705
MCMORAN EXPLORATION CO.+ 46 920 41 820
MURPHY OIL CORP. 293 14,833 310 15,694
NABORS INDUSTRIES INC.+ 400 14,350 1,132 40,610
NOBLE AFFILIATES INC. 38 855 642 14,445
NOBLE DRILLING CORP.+ 600 21,600 1,660 59,760
OCCIDENTAL PETROLEUM
CORP. 100 1,606 2,205 35,418
OCEAN ENERGY INC.+ 891 9,523 1,961 20,958
PARKER DRILLING CO.+ 0 -- 0 --
PHILLIPS PETROLEUM CO. 169 6,464 1,919 73,402
PIONEER NATURAL RESOURCES
CO.+ 476 3,957 1,329 11,047
POGO PRODUCING CO. 300 6,938 264 6,105
PRIDE INTERNATIONAL INC.+ 0 -- 352 5,214
R&B FALCON CORPORATION+ 172 2,655 1,231 19,004
ROWAN COMPANIES INC.+ 66 1,658 469 11,784
SANTA FE SNYDER CORP.+ 83 623 712 5,340
SUNOCO INC. 105 2,592 518 12,788
TEXACO INC. 502 23,814 3,471 164,656
TOSCO CORP. 261 6,982 1,585 42,399
TRANSOCEAN SEDCO FOREX
INC. 241 9,504 1,625 64,086
TRANSTEXAS GAS
CORPORATION+ 0 -- 0 --
ULTRAMAR DIAMOND SHAMROCK
CORP. 410 8,892 916 19,866
UNION PACIFIC RESOURCES
GROUP 42 375 1,553 13,880
UNOCAL CORP. 104 2,782 1,586 42,425
USX-MARATHON GROUP INC. 255 5,514 1,980 42,818
VALERO ENERGY CORP. 180 4,590 778 19,839
</TABLE>
58
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
OFFICE / BUSINESS
EQUIPMENT
PERCENT OF NET ASSETS 0.13% 0.15% 0.18%
HON INDUSTRIES INC. 1,399 $ 25,794 1,068 $ 19,691 2,635 $ 48,583
LANIER WORLDWIDE INC.+ 1,290 3,628 1,043 2,933 1,972 5,546
MILLER (HERMAN) INC. 2,476 50,758 2,246 46,043 4,840 99,220
PITNEY BOWES INC. 4,033 199,633 3,089 152,906 7,849 388,526
XEROX CORP. 11,150 241,816 9,204 199,612 20,720 449,365
------------ ------------ ------------
$ 521,629 $ 421,185 $ 991,240
OIL & GAS PRODUCERS
PERCENT OF NET ASSETS 2.17% 2.66% 2.99%
AMERADA HESS CORP. 1,664 $ 84,136 1,211 $ 61,231 2,623 $ 132,625
ANADARKO PETROLEUM CORP. 1,992 61,254 1,633 50,215 3,572 109,839
APACHE CORP. 1,876 68,474 1,418 51,757 3,219 117,494
ATLANTIC RICHFIELD CO. 5,437 386,027 4,537 322,127 10,225 725,975
BURLINGTON RESOURCES INC. 3,553 98,152 2,834 78,289 6,522 180,170
CHESAPEAKE ENERGY CORP.+ 976 2,867 546 1,604 984 2,891
CHEVRON CORP. 11,163 833,737 9,351 698,403 20,899 1,560,894
COASTAL CORP. 3,567 150,037 3,030 127,449 6,545 275,299
CONOCO INC. 10,500 206,719 8,590 169,116 19,480 383,513
CONOCO INC. "B" 900 17,269 400 7,675 900 17,269
DEVON ENERGY CORP. 832 30,992 800 29,800 1,759 65,523
DIAMOND OFFSHORE DRILLING
INC. 1,665 52,864 1,507 47,847 3,656 116,078
EEX CORP.+ 664 1,619 797 1,943 1,633 3,980
ENSCO INTERNATIONAL INC. 3,519 106,450 3,293 99,613 7,389 223,517
EOG RESOURCES INC. 1,765 26,916 1,618 24,675 3,745 57,111
EXXON MOBIL CORP. 59,117 4,452,249 50,246 3,784,152 110,827 8,346,658
GLOBAL MARINE INC.+ 4,107 92,151 3,564 79,967 8,523 191,235
HELMERICH & PAYNE INC. 785 20,901 630 16,774 1,345 35,811
KERR-MCGEE CORP. 1,524 68,199 1,136 50,836 2,741 122,660
MCMORAN EXPLORATION CO.+ 79 1,580 41 820 79 1,580
MURPHY OIL CORP. 832 42,120 779 39,437 2,293 116,083
NABORS INDUSTRIES INC.+ 2,266 81,293 2,058 73,831 4,893 175,536
NOBLE AFFILIATES INC. 1,391 31,297 1,112 25,020 2,679 60,278
NOBLE DRILLING CORP.+ 3,256 117,216 3,025 108,900 6,748 242,928
OCCIDENTAL PETROLEUM
CORP. 6,052 97,210 4,944 79,413 10,995 176,607
OCEAN ENERGY INC.+ 3,682 39,351 3,588 38,347 7,694 82,230
PARKER DRILLING CO.+ 840 3,360 652 2,608 0 --
PHILLIPS PETROLEUM CO. 4,481 171,398 3,805 145,541 7,774 297,356
PIONEER NATURAL RESOURCES
CO.+ 2,509 20,856 2,319 19,277 5,148 42,793
POGO PRODUCING CO. 526 12,164 446 10,314 1,072 24,790
PRIDE INTERNATIONAL INC.+ 701 10,384 714 10,576 1,602 23,730
R&B FALCON CORPORATION+ 2,744 42,360 2,387 36,849 5,637 87,021
ROWAN COMPANIES INC.+ 1,359 34,145 997 25,050 2,269 57,009
SANTA FE SNYDER CORP.+ 1,843 13,822 1,406 10,545 3,196 23,970
SUNOCO INC. 1,653 40,808 1,191 29,403 2,537 62,632
TEXACO INC. 9,427 447,193 7,818 370,866 17,503 830,299
TOSCO CORP. 3,330 89,077 3,212 85,921 7,080 189,390
TRANSOCEAN SEDCO FOREX
INC. 3,391 133,733 2,978 117,445 6,903 272,237
TRANSTEXAS GAS
CORPORATION+ 0 -- 0 -- 265 124
ULTRAMAR DIAMOND SHAMROCK
CORP. 1,715 37,194 2,264 49,101 4,827 104,686
UNION PACIFIC RESOURCES
GROUP 4,128 36,894 3,717 33,221 7,073 63,215
UNOCAL CORP. 3,980 106,465 3,381 90,442 7,314 195,650
USX-MARATHON GROUP INC. 5,189 112,212 4,106 88,792 9,367 202,561
VALERO ENERGY CORP. 1,483 37,816 1,236 31,518 3,003 76,577
</TABLE>
59
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
VASTAR RESOURCES INC. 200 $ 10,613 264 $ 14,009
----------- ------------
$ 491,299 $ 3,372,767
OIL & GAS SERVICES
PERCENT OF NET ASSETS 0.14% 0.26%
BAKER HUGHES INC. 99 $ 2,562 1,890 $ 48,904
BJ SERVICES CO.+ 300 17,119 1,068 60,943
COOPER CAMERON CORP.+ 200 11,050 416 22,984
FRIEDE GOLDMAN HALTER
INC.+ 155 814 148 777
HALLIBURTON CO. 465 17,757 2,555 97,569
INPUT/OUTPUT INC.+ 500 3,031 440 2,668
SCHLUMBERGER LTD. 461 34,056 3,455 255,238
SMITH INTERNATIONAL INC.+ 214 13,415 616 38,616
TIDEWATER INC. 265 7,503 848 24,009
VARCO INTERNATIONAL INC.+ 584 6,461 440 4,868
WEATHERFORD INTERNATIONAL
INC.+ 380 17,100 1,122 50,490
----------- ------------
$ 130,868 $ 607,066
PACKAGING & CONTAINERS
PERCENT OF NET ASSETS 0.04% 0.05%
AMERICAN NATIONAL CAN
GROUP INC. 0 $ -- 100 $ 1,000
BALL CORP. 44 1,185 281 7,569
BEMIS CO. 42 1,250 428 12,733
CROWN CORK & SEAL CO.
INC. 65 910 714 9,996
LONGVIEW FIBRE CO. 554 7,548 475 6,472
OWENS-ILLINOIS INC.+ 136 1,879 1,098 15,166
PACTIV CORP.+ 8 67 1,065 8,853
SEALED AIR CORP.+ 177 8,795 405 20,123
SMURFIT-STONE CONTAINER
CORP.+ 486 6,622 804 10,955
SONOCO PRODUCTS CO. 426 7,854 1,012 18,659
----------- ------------
$ 36,110 $ 111,526
PHARMACEUTICALS
PERCENT OF NET ASSETS 0.53% 1.73%
ABBOTT LABORATORIES 783 $ 25,643 6,834 $ 223,814
ALZA CORP.+ 87 3,192 464 17,023
AMERICAN HOME PRODUCTS
CORP. 595 25,883 8,193 356,396
AMERISOURCE HEALTH CORP.
"A"+ 0 -- 100 1,456
BERGEN BRUNSWIG CORP. "A" 559 2,760 1,292 6,379
BRISTOL-MYERS SQUIBB CO. 1,058 60,108 9,508 540,173
CARDINAL HEALTH INC. 311 12,829 2,022 83,408
DENTSPLY INTERNATIONAL
INC. 200 5,125 516 13,223
DURA PHARMACEUTICALS
INC.+ 0 -- 440 6,105
FOREST LABORATORIES INC.
"A"+ 264 18,035 639 43,652
GENZYME MOLECULAR
ONCOLOGY+ 35 917 96 2,562
GILEAD SCIENCES INC.+ 0 -- 0 --
ICN PHARMACEUTICALS INC. 300 5,963 1,073 21,326
INTERNEURON
PHARMACEUTICALS INC.+ 0 -- 352 1,430
IVAX CORPORATION+ 1,695 38,561 1,487 33,818
LILLY (ELI) AND COMPANY 494 29,362 5,121 304,379
MEDIMMUNE INC.+ 0 -- 328 65,108
MERCK & CO. INC. 1,236 76,091 11,452 705,014
MYLAN LABORATORIES INC. 603 13,869 1,282 29,486
OMNICARE INC. 300 2,756 1,044 9,592
PERRIGO CO.+ 812 5,963 484 3,554
PFIZER INC. 2,445 78,546 18,822 604,657
</TABLE>
60
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
VASTAR RESOURCES INC. 338 $ 17,935 446 $ 23,666 783 $ 41,548
------------ ------------ ------------
$ 8,538,896 $ 7,250,376 $ 16,119,372
OIL & GAS SERVICES
PERCENT OF NET ASSETS 0.39% 0.48% 0.56%
BAKER HUGHES INC. 5,488 $ 142,002 4,506 $ 116,593 13,721 $ 355,031
BJ SERVICES CO.+ 2,041 116,465 1,896 108,191 4,310 245,939
COOPER CAMERON CORP.+ 1,140 62,985 1,061 58,620 2,385 131,771
FRIEDE GOLDMAN HALTER
INC.+ 250 1,312 231 1,213 389 2,042
HALLIBURTON CO. 7,444 284,268 6,161 235,273 13,789 526,567
INPUT/OUTPUT INC.+ 976 5,917 725 4,395 1,072 6,499
SCHLUMBERGER LTD. 9,341 690,066 7,813 577,185 17,513 1,293,773
SMITH INTERNATIONAL INC.+ 1,337 83,813 1,095 68,643 2,696 169,006
TIDEWATER INC. 1,724 48,811 1,426 40,374 3,484 98,641
VARCO INTERNATIONAL INC.+ 1,019 11,273 846 9,359 1,878 20,775
WEATHERFORD INTERNATIONAL
INC.+ 2,120 95,400 2,113 95,085 4,267 192,015
------------ ------------ ------------
$ 1,542,312 $ 1,314,931 $ 3,042,059
PACKAGING & CONTAINERS
PERCENT OF NET ASSETS 0.07% 0.09% 0.10%
AMERICAN NATIONAL CAN
GROUP INC. 0 $ -- 0 $ -- 0 $ --
BALL CORP. 522 14,061 518 13,954 529 14,250
BEMIS CO. 750 22,312 762 22,670 1,459 43,405
CROWN CORK & SEAL CO.
INC. 2,099 29,386 1,710 23,940 3,697 51,758
LONGVIEW FIBRE CO. 780 10,627 513 6,990 1,275 17,372
OWENS-ILLINOIS INC.+ 2,591 35,788 2,291 31,644 4,690 64,781
PACTIV CORP.+ 2,903 24,131 2,482 20,632 4,872 40,499
SEALED AIR CORP.+ 912 45,315 829 41,191 2,268 112,691
SMURFIT-STONE CONTAINER
CORP.+ 3,337 45,467 2,712 36,951 6,314 86,028
SONOCO PRODUCTS CO. 1,823 33,612 2,018 37,207 5,617 103,563
------------ ------------ ------------
$ 260,699 $ 235,179 $ 534,347
PHARMACEUTICALS
PERCENT OF NET ASSETS 2.89% 3.46% 4.52%
ABBOTT LABORATORIES 22,436 $ 734,779 18,059 $ 591,432 48,487 $ 1,587,949
ALZA CORP.+ 1,688 61,929 1,231 45,162 2,911 106,797
AMERICAN HOME PRODUCTS
CORP. 22,328 971,268 18,690 813,015 41,691 1,813,559
AMERISOURCE HEALTH CORP.
"A"+ 300 4,369 200 2,913 400 5,825
BERGEN BRUNSWIG CORP. "A" 2,335 11,528 2,728 13,470 5,886 29,062
BRISTOL-MYERS SQUIBB CO. 29,304 1,664,834 24,020 1,364,636 63,382 3,600,890
CARDINAL HEALTH INC. 4,983 205,549 3,954 163,103 10,757 443,726
DENTSPLY INTERNATIONAL
INC. 952 24,395 971 24,882 2,396 61,398
DURA PHARMACEUTICALS
INC.+ 977 13,556 714 9,907 1,602 22,228
FOREST LABORATORIES INC.
"A"+ 1,255 85,732 1,225 83,683 4,004 273,523
GENZYME MOLECULAR
ONCOLOGY+ 179 4,777 171 4,564 252 6,725
GILEAD SCIENCES INC.+ 0 -- 0 -- 100 7,650
ICN PHARMACEUTICALS INC. 1,907 37,902 1,939 38,538 3,963 78,765
INTERNEURON
PHARMACEUTICALS INC.+ 0 -- 636 2,584 895 3,636
IVAX CORPORATION+ 3,054 69,479 2,630 59,821 5,444 123,840
LILLY (ELI) AND COMPANY 15,998 950,881 12,942 769,240 34,630 2,058,321
MEDIMMUNE INC.+ 400 79,350 100 19,850 1,200 238,050
MERCK & CO. INC. 34,630 2,131,909 28,450 1,751,453 74,872 4,609,308
MYLAN LABORATORIES INC. 2,348 54,004 2,156 49,588 6,529 150,167
OMNICARE INC. 1,765 16,216 2,043 18,770 4,228 38,845
PERRIGO CO.+ 1,197 8,791 852 6,257 1,684 12,367
PFIZER INC. 57,285 1,840,281 47,039 1,511,128 123,790 3,976,754
</TABLE>
61
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
PHARMACIA & UPJOHN INC. 407 $ 19,383 3,110 $ 148,114
REXALL SUNDOWN INC.+ 100 1,494 628 9,420
SCHERING-PLOUGH CORP. 761 26,540 6,988 243,707
SEPRACOR INC.+ 0 -- 704 71,368
SYBRON INTERNATIONAL
CORP.+ 400 11,200 1,044 29,232
WARNER-LAMBERT CO. 257 21,990 4,012 343,277
WATSON PHARMACEUTICAL
INC.+ 190 7,600 970 38,800
----------- ------------
$ 493,810 $ 3,956,473
PIPELINES
PERCENT OF NET ASSETS 0.04% 0.23%
COLUMBIA ENERGY GROUP 142 $ 8,349 542 $ 31,949
EL PASO ENERGY CORP 122 4,522 1,206 44,697
ENRON CORP. 176 12,144 4,476 308,844
NATIONAL FUEL GAS CO. 0 -- 0 --
QUESTAR CORP. 254 3,540 938 13,073
WILLIAMS COMPANIES INC. 250 10,453 2,908 121,591
----------- ------------
$ 39,008 $ 520,154
REAL ESTATE
PERCENT OF NET ASSETS 0.01% 0.01%
CASTLE & COOKE INC.+ 215 $ 2,889 120 $ 1,613
CATELLUS DEVELOPMENT
CORP.+ 200 2,463 868 10,687
ECHELON INTERNATIONAL
CORP.+ 68 2,282 47 1,577
HOMEFED CORPORATION+ 158 92 475 276
ST. JOE COMPANY (THE) 200 4,838 152 3,677
VORNADO OPERATING INC.+ 20 223 44 490
----------- ------------
$ 12,787 $ 18,320
REAL ESTATE INVESTMENT
TRUSTS
PERCENT OF NET ASSETS 0.16% 0.25%
AMB PROPERTY CORP. 100 $ 2,019 980 $ 19,784
APARTMENT INVESTMENT &
MANAGEMENT CO. "A" 0 -- 516 19,092
ARCHSTONE COMMUNITIES
TRUST 500 9,781 956 18,702
ARDEN REALTY INC. 100 2,081 892 18,565
AVALONBAY COMMUNITIES
INC. 0 -- 692 23,355
BOSTON PROPERTIES INC. 0 -- 428 12,974
CAMDEN PROPERTY TRUST 0 -- 328 8,795
CAPSTEAD MORTGAGE CORP. 0 -- 102 427
CARRAMERICA REALTY CORP. 100 2,125 240 5,100
CORNERSTONE PROPERTIES 300 5,063 1,420 23,963
CRESCENT REAL ESTATE
EQUITIES CO. 500 8,531 1,132 19,315
DUKE-WEEKS REALTY CORP. 200 3,675 1,156 21,242
EQUITY OFFICE PROPERTIES
TRUST 900 21,544 2,471 59,150
EQUITY RESIDENTIAL
PROPERTIES TRUST 400 15,975 1,132 45,209
FEDERAL REALTY INVESTMENT
TRUST 0 -- 0 --
FELCOR LODGING TRUST INC. 200 3,425 892 15,276
FRANCHISE FINANCE
CORPORATION OF AMERICA 0 -- 88 1,980
GENERAL GROWTH PROPERTIES
INC. 0 -- 0 --
HEALTH CARE PROPERTY
INVESTORS INC. 300 7,463 264 6,567
HIGHWOODS PROPERTIES INC. 100 2,094 792 16,583
HOSPITALITY PROPERTIES
TRUST 0 -- 100 1,938
HOST MARRIOTT CORP. 887 7,872 1,808 16,046
HRPT PROPERTIES TRUST 500 4,000 1,396 11,168
KIMCO REALTY CORP. 200 6,888 284 9,780
LIBERTY PROPERTY TRUST 100 2,269 792 17,969
</TABLE>
62
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
PHARMACIA & UPJOHN INC. 8,759 $ 417,147 7,359 $ 350,472 16,353 $ 778,812
REXALL SUNDOWN INC.+ 1,164 17,460 893 13,395 2,143 32,145
SCHERING-PLOUGH CORP. 21,486 749,324 17,163 598,560 46,386 1,617,712
SEPRACOR INC.+ 200 20,275 1,272 128,949 400 40,550
SYBRON INTERNATIONAL
CORP.+ 1,841 51,548 2,389 66,892 5,599 156,772
WARNER-LAMBERT CO. 12,656 1,082,879 10,209 873,508 27,312 2,336,883
WATSON PHARMACEUTICAL
INC.+ 1,950 78,000 1,399 55,960 4,285 171,400
------------ ------------ ------------
$ 11,388,162 $ 9,431,732 $ 24,383,659
PIPELINES
PERCENT OF NET ASSETS 0.36% 0.43% 0.48%
COLUMBIA ENERGY GROUP 1,354 $ 79,886 1,055 $ 62,245 2,386 $ 140,774
EL PASO ENERGY CORP 3,836 142,172 3,124 115,783 6,986 258,919
ENRON CORP. 12,250 845,250 10,222 705,318 22,800 1,573,200
NATIONAL FUEL GAS CO. 510 20,878 0 -- 0 --
QUESTAR CORP. 1,958 27,290 1,657 23,094 3,963 55,234
WILLIAMS COMPANIES INC. 7,384 308,743 6,174 258,150 13,602 568,734
------------ ------------ ------------
$ 1,424,219 $ 1,164,590 $ 2,596,861
REAL ESTATE
PERCENT OF NET ASSETS 0.01% 0.01% 0.02%
CASTLE & COOKE INC.+ 294 $ 3,951 198 $ 2,661 301 $ 4,045
CATELLUS DEVELOPMENT
CORP.+ 1,941 23,899 1,675 20,623 4,098 50,457
ECHELON INTERNATIONAL
CORP.+ 84 2,819 62 2,081 57 1,913
HOMEFED CORPORATION+ 871 505 871 505 1,822 1,057
ST. JOE COMPANY (THE) 601 14,537 514 12,432 1,502 36,330
VORNADO OPERATING INC.+ 90 1,001 180 2,003 159 1,769
------------ ------------ ------------
$ 46,712 $ 40,305 $ 95,571
REAL ESTATE INVESTMENT
TRUSTS
PERCENT OF NET ASSETS 0.27% 0.39% 0.43%
AMB PROPERTY CORP. 363 $ 7,328 368 $ 7,429 607 $ 12,254
APARTMENT INVESTMENT &
MANAGEMENT CO. "A" 1,052 38,924 971 35,927 400 14,800
ARCHSTONE COMMUNITIES
TRUST 1,753 34,293 2,568 50,237 6,041 118,177
ARDEN REALTY INC. 1,502 31,260 1,239 25,787 3,026 62,979
AVALONBAY COMMUNITIES
INC. 1,490 50,287 1,329 44,854 500 16,875
BOSTON PROPERTIES INC. 852 25,826 971 29,433 2,320 70,325
CAMDEN PROPERTY TRUST 200 5,363 100 2,681 200 5,363
CAPSTEAD MORTGAGE CORP. 233 976 211 884 443 1,855
CARRAMERICA REALTY CORP. 1,202 25,543 1,139 24,204 2,826 60,053
CORNERSTONE PROPERTIES 2,654 44,786 2,500 42,188 5,523 93,201
CRESCENT REAL ESTATE
EQUITIES CO. 1,928 32,897 2,568 43,817 6,141 104,781
DUKE-WEEKS REALTY CORP. 2,128 39,102 1,975 36,291 4,186 76,918
EQUITY OFFICE PROPERTIES
TRUST 4,815 115,259 4,854 116,193 11,435 273,725
EQUITY RESIDENTIAL
PROPERTIES TRUST 2,391 95,491 2,032 81,153 4,693 187,427
FEDERAL REALTY INVESTMENT
TRUST 0 -- 0 -- 353 6,795
FELCOR LODGING TRUST INC. 1,690 28,941 1,429 24,472 3,203 54,851
FRANCHISE FINANCE
CORPORATION OF AMERICA 300 6,750 100 2,250 200 4,500
GENERAL GROWTH PROPERTIES
INC. 300 8,681 200 5,788 488 14,122
HEALTH CARE PROPERTY
INVESTORS INC. 351 8,731 446 11,094 718 17,860
HIGHWOODS PROPERTIES INC. 1,590 33,291 1,418 29,689 3,291 68,905
HOSPITALITY PROPERTIES
TRUST 300 5,813 200 3,875 400 7,750
HOST MARRIOTT CORP. 3,439 30,521 4,558 40,452 10,596 94,040
HRPT PROPERTIES TRUST 3,619 28,952 3,293 26,344 7,489 59,912
KIMCO REALTY CORP. 645 22,212 1,150 39,603 2,473 85,164
LIBERTY PROPERTY TRUST 300 6,806 200 4,538 500 11,344
</TABLE>
63
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
MACK-CALI REALTY CORP. 100 $ 2,375 692 $ 16,435
MEDITRUST CORP. 402 1,131 926 2,604
NEW PLAN EXCEL REALTY
TRUST 300 4,181 692 9,645
PLUM CREEK TIMBER CO.
INC. 0 -- 0 --
POST PROPERTIES INC. 0 -- 240 9,030
PRISON REALTY TRUST INC. 162 830 724 3,711
PROLOGIS TRUST 100 1,806 200 3,613
PUBLIC STORAGE INC. 300 6,619 892 19,680
ROUSE CO. 200 4,375 880 19,250
SENIOR HOUSING PROPERTIES
TRUST 50 431 140 1,204
SIMON PROPERTY GROUP INC. 200 4,700 856 20,116
SPIEKER PROPERTIES INC. 100 4,013 604 24,236
UNITED DOMINION REALTY
TRUST 400 4,000 1,508 15,080
VENTAS INC.+ 500 1,688 792 2,673
VORNADO REALTY TRUST 200 6,113 780 23,839
WEINGARTEN REALTY
INVESTORS 200 7,500 176 6,600
WESTFIELD AMERICA INC. 0 -- 76 1,074
----------- ------------
$ 154,567 $ 571,770
RETAIL
PERCENT OF NET ASSETS 0.76% 1.74%
ABERCROMBIE & FITCH CO.+ 112 $ 1,645 1,084 $ 15,921
AMAZON.COM INC.+ 400 27,500 956 65,845
AMERICAN EAGLE
OUTFITTERS+ 0 -- 0 --
ANNTAYLOR STORES CORP.+ 247 4,708 172 3,279
AUTONATION INC.+ 1,600 12,100 4,216 31,884
AUTOZONE INC.+ 126 3,095 951 23,359
BARNES & NOBLE INC.+ 200 3,450 516 8,901
BED BATH & BEYOND INC.+ 390 11,066 1,200 34,050
BEST BUY CO. INC.+ 680 36,975 1,200 65,250
BJ'S WHOLESALE CLUB INC.+ 630 19,530 780 24,180
BLOCKBUSTER INC. 0 -- 100 1,369
BOB EVANS FARMS INC. 468 6,347 317 4,299
BOISE CASCADE OFFICE
PRODUCTS CORP.+ 0 -- 88 1,309
BORDERS GROUP INC.+ 200 2,463 880 10,835
BOSTON CHICKEN INC.+ 600 72 500 60
BRINKER INTERNATIONAL
INC.+ 856 18,618 871 18,944
BROWN SHOE COMPANY INC. 31 326 158 1,659
CBRL GROUP INC. 149 1,378 901 8,334
CDW COMPUTER CENTERS
INC.+ 0 -- 76 4,171
CHARMING SHOPPES+ 59 354 0 --
CIRCUIT CITY STORES INC. 244 9,852 1,338 54,022
CKE RESTAURANT INC. 120 765 484 3,086
COMPUSA INC.+ 400 4,000 1,332 13,320
CONSOLIDATED STORES
CORPORATION+ 58 653 678 7,628
CVS CORP. 204 7,140 2,201 77,035
DARDEN RESTAURANTS INC. 90 1,187 684 9,020
DAVE & BUSTER'S INC.+ 0 -- 0 --
DILLARDS INC. "A" 18 313 598 10,390
DOLLAR GENERAL CORP. 91 1,905 1,236 25,879
DOLLAR TREE STORES INC.+ 100 3,881 284 11,023
EBAY INC.+ 0 -- 0 --
EDISON BROTHERS STORES
INC. WARRANTS (EXPIRES
09/26/05 )+ 0 -- 0 --
ETOYS INC.+ 0 -- 0 --
FAMILY DOLLAR STORES INC. 460 7,993 1,607 27,922
FASTENAL CO. 200 8,838 152 6,717
</TABLE>
64
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
MACK-CALI REALTY CORP. 1,402 $ 33,298 1,329 $ 31,564 3,015 $ 71,606
MEDITRUST CORP. 2,786 7,836 2,329 6,550 5,701 16,034
NEW PLAN EXCEL REALTY
TRUST 1,590 22,161 1,429 19,917 2,915 40,628
PLUM CREEK TIMBER CO.
INC. 100 2,225 100 2,225 200 4,450
POST PROPERTIES INC. 200 7,525 100 3,763 300 11,288
PRISON REALTY TRUST INC. 1,587 8,133 1,440 7,380 3,500 17,938
PROLOGIS TRUST 300 5,419 300 5,419 600 10,838
PUBLIC STORAGE INC. 1,327 29,277 2,064 45,537 4,363 96,259
ROUSE CO. 1,678 36,706 1,518 33,206 3,480 76,125
SENIOR HOUSING PROPERTIES
TRUST 251 2,165 319 2,754 708 6,107
SIMON PROPERTY GROUP INC. 2,028 47,658 1,775 41,713 4,175 98,113
SPIEKER PROPERTIES INC. 1,215 48,752 1,239 49,715 2,938 117,887
UNITED DOMINION REALTY
TRUST 2,830 28,300 2,689 26,890 5,988 59,880
VENTAS INC.+ 1,590 5,366 1,511 5,100 3,280 11,070
VORNADO REALTY TRUST 1,578 48,228 1,507 46,058 3,568 109,047
WEINGARTEN REALTY
INVESTORS 351 13,163 357 13,388 895 33,562
WESTFIELD AMERICA INC. 151 2,133 168 2,373 607 8,574
------------ ------------ ------------
$ 1,076,378 $ 1,072,735 $ 2,313,382
RETAIL
PERCENT OF NET ASSETS 2.84% 3.41% 4.28%
ABERCROMBIE & FITCH CO.+ 2,478 $ 36,396 2,234 $ 32,812 700 $ 10,281
AMAZON.COM INC.+ 1,978 136,235 1,308 90,089 4,710 324,401
AMERICAN EAGLE
OUTFITTERS+ 100 2,550 0 -- 100 2,550
ANNTAYLOR STORES CORP.+ 308 5,871 226 4,308 209 3,984
AUTONATION INC.+ 8,089 61,173 7,222 54,616 20,198 152,747
AUTOZONE INC.+ 2,571 63,150 2,273 55,831 4,683 115,026
BARNES & NOBLE INC.+ 1,227 21,166 1,061 18,302 2,573 44,384
BED BATH & BEYOND INC.+ 2,329 66,085 1,982 56,239 4,203 119,260
BEST BUY CO. INC.+ 2,664 144,855 2,078 112,991 7,166 389,651
BJ'S WHOLESALE CLUB INC.+ 772 23,932 656 20,336 500 15,500
BLOCKBUSTER INC. 0 -- 0 -- 0 --
BOB EVANS FARMS INC. 659 8,938 421 5,710 1,204 16,329
BOISE CASCADE OFFICE
PRODUCTS CORP.+ 801 11,915 179 2,663 353 5,251
BORDERS GROUP INC.+ 1,865 22,963 1,696 20,882 3,445 42,417
BOSTON CHICKEN INC.+ 700 84 700 84 1,100 132
BRINKER INTERNATIONAL
INC.+ 1,740 37,845 945 20,554 2,170 47,198
BROWN SHOE COMPANY INC. 296 3,108 197 2,069 224 2,352
CBRL GROUP INC. 1,600 14,800 1,392 12,876 3,213 29,720
CDW COMPUTER CENTERS
INC.+ 150 8,231 358 19,645 306 16,792
CHARMING SHOPPES+ 2,105 12,630 1,546 9,276 3,271 19,626
CIRCUIT CITY STORES INC. 3,336 134,691 3,016 121,771 6,140 247,903
CKE RESTAURANT INC. 1,068 6,809 686 4,373 1,549 9,875
COMPUSA INC.+ 2,391 23,910 2,243 22,430 4,916 49,160
CONSOLIDATED STORES
CORPORATION+ 1,809 20,351 1,435 16,144 3,332 37,485
CVS CORP. 6,663 233,205 5,408 189,280 13,060 457,100
DARDEN RESTAURANTS INC. 2,239 29,527 1,911 25,201 4,413 58,196
DAVE & BUSTER'S INC.+ 90 579 0 -- 0 --
DILLARDS INC. "A" 1,895 32,926 1,428 24,812 3,525 61,247
DOLLAR GENERAL CORP. 4,355 91,183 3,481 72,883 7,935 166,139
DOLLAR TREE STORES INC.+ 820 31,826 737 28,605 1,843 71,531
EBAY INC.+ 100 14,338 0 -- 500 71,688
EDISON BROTHERS STORES
INC. WARRANTS (EXPIRES
09/26/05 )+ 16 -- 0 -- 0 --
ETOYS INC.+ 0 -- 0 -- 100 1,406
FAMILY DOLLAR STORES INC. 3,417 59,370 3,007 52,247 6,833 118,723
FASTENAL CO. 501 22,138 514 22,712 1,413 62,437
</TABLE>
65
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
FEDERATED DEPARTMENT
STORES INC.+ 179 $ 6,567 1,403 $ 51,473
FOOTSTAR INC.+ 46 1,136 216 5,333
GAP INC. 408 19,712 3,928 189,772
GOLDEN STATE BANCORP
INC.+ 200 206 500 531
HANCOCK FABRICS INC. 0 -- 0 --
HEILIG-MEYERS CO. 524 1,703 361 1,173
HOME DEPOT INC. 1,149 66,427 11,178 646,228
HOMEBASE INC.+ 365 935 0 --
IKON OFFICE SOLUTIONS
INC. 14 98 683 4,781
INTIMATE BRANDS INC. 0 -- 0 --
KMART CORP.+ 274 2,415 3,162 27,865
KOHLS CORP.+ 537 40,711 535 40,560
LANDS' END INC.+ 0 -- 0 --
LIMITED INC. 197 6,698 1,504 51,136
LINENS 'N THINGS INC.+ 0 -- 0 --
LONE STAR STEAKHOUSE &
SALOON INC.+ 300 2,663 352 3,124
LONGS DRUG STORES INC. 66 1,225 314 5,829
LOWE'S COMPANIES INC. 304 14,478 2,240 106,680
LUBY'S INC. 45 470 193 2,014
MAY DEPARTMENT STORES CO. 211 5,526 2,109 55,229
MCDONALD'S CORP. 1,038 32,762 8,700 274,594
MICHAELS STORES INC.+ 0 -- 0 --
MP3.COM INC.+ 0 -- 0 --
NEIMAN-MARCUS GROUP INC.
"A"+ 100 2,131 64 1,364
NEIMAN-MARCUS GROUP INC.
"B"+ 0 -- 137 2,877
NORDSTROM INC. 214 4,561 790 16,837
NPC INTERNATIONAL INC.+ 0 -- 0 --
OFFICE DEPOT INC.+ 477 5,813 4,135 50,395
OFFICEMAX INC.+ 700 4,944 1,816 12,826
OUTBACK STEAKHOUSE INC.+ 100 2,613 692 18,079
PAYLESS SHOESOURCE INC.+ 217 8,572 162 6,399
PENNEY (J.C.) COMPANY
INC. 66 1,040 1,463 23,042
PEP BOYS-MANNY MOE & JACK
INC. 0 -- 279 1,726
PETSMART INC.+ 1,200 3,975 1,144 3,790
PIER 1 IMPORTS INC. 550 4,813 1,552 13,580
PLANET HOLLYWOOD
INTERNATIONAL INC.+ 0 -- 176 16
PRICELINE.COM INC.+ 0 -- 0 --
RITE AID CORP. 38 261 1,568 10,780
ROSS STORES INC. 400 5,800 756 10,962
RUBY TUESDAY INC. 384 6,504 176 2,981
RYAN'S FAMILY STEAK
HOUSES INC.+ 119 1,138 454 4,341
SAKS INC.+ 464 5,336 1,245 14,318
SCHOOL SPECIALTY INC.+ 0 -- 90 1,553
SEARS, ROEBUCK AND CO. 58 1,599 2,570 70,836
SERVICE MERCHANDISE CO.+ 771 123 0 --
7-ELEVEN INC.+ 1,800 4,669 1,232 3,196
SHONEY'S INC.+ 97 103 325 345
SIZZLER INTERNATIONAL
INC.+ 254 794 0 --
STAPLES INC.+ 511 13,797 2,547 68,769
STARBUCKS CORP.+ 800 28,100 1,836 64,490
SUNGLASS HUT
INTERNATIONAL INC.+ 600 5,138 440 3,768
SYSTEMAX INC.+ 200 1,975 176 1,738
TALBOTS INC. 200 7,238 176 6,369
TANDY CORP. 222 8,450 960 36,540
TARGET CORPORATION 263 15,517 2,658 156,822
TIFFANY & CO. 452 29,013 780 50,066
</TABLE>
66
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
FEDERATED DEPARTMENT
STORES INC.+ 3,476 $ 127,526 3,042 $ 111,603 6,361 $ 233,369
FOOTSTAR INC.+ 457 11,282 341 8,418 678 16,738
GAP INC. 12,446 601,297 10,106 488,246 26,560 1,283,180
GOLDEN STATE BANCORP
INC.+ 800 825 900 956 1,900 1,959
HANCOCK FABRICS INC. 400 1,125 0 -- 0 --
HEILIG-MEYERS CO. 831 2,701 586 1,904 1,248 4,056
HOME DEPOT INC. 34,045 1,968,227 27,945 1,615,570 73,641 4,257,370
HOMEBASE INC.+ 536 1,374 428 1,097 0 --
IKON OFFICE SOLUTIONS
INC. 2,521 17,647 2,065 14,455 3,831 26,817
INTIMATE BRANDS INC. 200 6,538 100 3,269 300 9,806
KMART CORP.+ 8,102 71,399 7,037 62,014 14,511 127,878
KOHLS CORP.+ 2,173 164,741 1,856 140,708 4,731 358,669
LANDS' END INC.+ 479 15,897 0 -- 0 --
LIMITED INC. 3,622 123,148 3,287 111,758 6,781 230,554
LINENS 'N THINGS INC.+ 200 3,938 100 1,969 400 7,875
LONE STAR STEAKHOUSE &
SALOON INC.+ 714 6,337 546 4,846 895 7,943
LONGS DRUG STORES INC. 569 10,562 556 10,321 876 16,261
LOWE'S COMPANIES INC. 6,423 305,895 5,339 254,270 11,933 568,309
LUBY'S INC. 421 4,394 329 3,434 649 6,774
MAY DEPARTMENT STORES CO. 5,737 150,238 4,841 126,774 10,335 270,648
MCDONALD'S CORP. 23,092 728,841 19,294 608,967 43,118 1,360,912
MICHAELS STORES INC.+ 0 -- 0 -- 177 4,801
MP3.COM INC.+ 100 1,725 0 -- 100 1,725
NEIMAN-MARCUS GROUP INC.
"A"+ 326 6,948 336 7,161 960 20,460
NEIMAN-MARCUS GROUP INC.
"B"+ 299 6,279 269 5,649 570 11,970
NORDSTROM INC. 2,451 52,237 2,071 44,138 4,712 100,425
NPC INTERNATIONAL INC.+ 328 2,706 253 2,087 0 --
OFFICE DEPOT INC.+ 6,728 81,998 6,309 76,891 16,965 206,761
OFFICEMAX INC.+ 3,543 25,022 3,270 23,094 7,292 51,500
OUTBACK STEAKHOUSE INC.+ 1,215 31,742 1,239 32,369 2,982 77,905
PAYLESS SHOESOURCE INC.+ 802 31,679 796 31,442 2,135 84,333
PENNEY (J.C.) COMPANY
INC. 4,156 65,457 3,557 56,023 7,295 114,896
PEP BOYS-MANNY MOE & JACK
INC. 1,027 6,355 879 5,439 1,775 10,983
PETSMART INC.+ 2,028 6,718 1,528 5,062 2,950 9,772
PIER 1 IMPORTS INC. 2,730 23,888 2,689 23,529 5,899 51,616
PLANET HOLLYWOOD
INTERNATIONAL INC.+ 438 40 357 33 530 49
PRICELINE.COM INC.+ 100 5,594 0 -- 100 5,594
RITE AID CORP. 4,607 31,673 3,804 26,153 7,481 51,432
ROSS STORES INC. 2,430 35,235 2,200 31,900 5,222 75,719
RUBY TUESDAY INC. 563 9,536 355 6,013 784 13,279
RYAN'S FAMILY STEAK
HOUSES INC.+ 987 9,438 706 6,751 1,018 9,735
SAKS INC.+ 2,532 29,118 2,377 27,336 5,277 60,686
SCHOOL SPECIALTY INC.+ 187 3,226 160 2,760 358 6,176
SEARS, ROEBUCK AND CO. 6,712 185,000 5,766 158,925 11,705 322,619
SERVICE MERCHANDISE CO.+ 1,428 228 1,091 175 0 --
7-ELEVEN INC.+ 2,379 6,171 1,707 4,428 4,110 10,661
SHONEY'S INC.+ 758 805 632 672 1,252 1,330
SIZZLER INTERNATIONAL
INC.+ 480 1,500 384 1,200 0 --
STAPLES INC.+ 7,776 209,952 6,350 171,450 14,287 385,749
STARBUCKS CORP.+ 3,256 114,367 2,936 103,127 9,608 337,481
SUNGLASS HUT
INTERNATIONAL INC.+ 977 8,366 625 5,352 1,248 10,686
SYSTEMAX INC.+ 263 2,597 179 1,768 453 4,473
TALBOTS INC. 0 -- 179 6,478 353 12,774
TANDY CORP. 2,814 107,108 2,604 99,115 5,406 205,766
TARGET CORPORATION 7,481 441,379 6,231 367,629 14,565 859,335
TIFFANY & CO. 1,542 98,977 1,836 117,848 3,180 204,116
</TABLE>
67
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
TJX COMPANIES INC. 76 $ 1,211 1,556 $ 24,799
TOO INC.+ 0 -- 216 5,184
TOYS R US INC.+ 71 882 1,611 19,936
TRICON GLOBAL RESTAURANTS
INC.+ 71 1,890 520 13,845
US OFFICE PRODUCTS CO.+ 0 -- 203 557
VALUE AMERICA INC.+ 100 413 100 413
VENATOR GROUP INC.+ 177 1,007 927 5,272
WALGREEN CO. 300 7,744 4,658 120,235
WAL-MART STORES INC. 2,636 128,340 22,236 1,082,615
WEBVAN GROUP INC.+ 0 -- 0 --
WENDY'S INTERNATIONAL
INC. 131 2,063 715 11,261
WILLIAMS-SONOMA INC.+ 0 -- 0 --
----------- ------------
$ 717,453 $ 3,978,935
SEMICONDUCTORS
PERCENT OF NET ASSETS 0.95% 2.04%
ADVANCED MICRO DEVICES
INC.+ 130 $ 5,086 926 $ 36,230
ALLIANCE SEMICONDUCTOR
CORP.+ 0 -- 0 --
ALTERA CORP.+ 640 51,040 2,124 169,389
AMKOR TECHNOLOGY INC.+ 0 -- 0 --
APPLIED MATERIALS INC.+ 305 55,796 2,176 398,072
APPLIED MICRO CIRCUITS
CORP.+ 0 -- 100 27,506
ATMEL CORP.+ 1,124 55,638 2,346 116,127
BROADCOM CORP.+ 0 -- 200 39,475
CIRRUS LOGIC INC.+ 634 13,195 686 14,277
CONEXANT SYSTEMS INC.+ 420 41,265 1,399 137,452
CYPRESS SEMICONDUCTOR
CORP.+ 800 36,500 739 33,717
ETEC SYSTEMS INC.+ 0 -- 176 20,730
GENERAL SEMICONDUCTOR
INC.+ 37 617 229 3,821
INTEL CORP. 1,892 213,796 17,102 1,932,526
INTERNATIONAL RECTIFIER
CORP.+ 500 20,938 440 18,425
KLA-TENCOR CORP.+ 188 14,652 1,002 78,093
LAM RESEARCH CORP.+ 300 46,837 264 41,217
LATTICE SEMICONDUCTOR
CORP.+ 200 14,050 704 49,456
LSI LOGIC CORP.+ 236 15,119 1,788 114,544
MEMC ELECTRONICS
MATERIALS INC.+ 300 5,231 264 4,604
MICRON TECHNOLOGY INC.+ 145 14,219 1,642 161,019
NATIONAL SEMICONDUCTOR
CORP.+ 86 6,461 1,142 85,793
NOVELLUS SYSTEMS INC.+ 600 35,588 720 42,705
PMC - SIERRA INC.+ 0 -- 600 115,838
QLOGIC CORP.+ 0 -- 0 --
RAMBUS INC.+ 0 -- 88 26,543
SDL INC.+ 0 -- 100 41,000
TEXAS INSTRUMENTS INC. 700 116,550 4,344 723,276
VARIAN SEMICONDUCTOR
EQUIPMENT ASSOCIATES
INC.+ 177 10,255 431 25,052
XILINX INC.+ 1,548 123,453 2,728 217,558
----------- ------------
$ 896,286 $ 4,674,445
SOFTWARE
PERCENT OF NET ASSETS 1.70% 3.15%
ACXIOM CORP.+ 100 $ 2,888 200 $ 5,775
ADOBE SYSTEMS INC. 214 21,828 1,056 107,712
AKAMAI TECHNOLOGIES INC.+ 0 -- 100 26,125
AMERICA ONLINE INC.+ 10,090 595,310 17,310 1,021,290
AMERICAN MANAGEMENT
SYSTEMS+ 0 -- 0 --
ARIBA INC.+ 0 -- 200 52,900
</TABLE>
68
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
TJX COMPANIES INC. 4,893 $ 77,982 3,844 $ 61,264 9,047 $ 144,187
TOO INC.+ 517 12,408 449 10,776 911 21,864
TOYS R US INC.+ 4,250 52,594 3,817 47,235 7,983 98,790
TRICON GLOBAL RESTAURANTS
INC.+ 1,845 49,123 1,572 41,855 4,272 113,742
US OFFICE PRODUCTS CO.+ 521 1,433 460 1,266 906 2,491
VALUE AMERICA INC.+ 0 -- 0 -- 100 413
VENATOR GROUP INC.+ 2,528 14,378 2,171 12,348 4,319 24,564
WALGREEN CO. 14,114 364,318 11,342 292,765 30,620 790,379
WAL-MART STORES INC. 66,120 3,219,218 54,480 2,652,495 142,818 6,953,451
WEBVAN GROUP INC.+ 0 -- 0 -- 100 1,138
WENDY'S INTERNATIONAL
INC. 2,104 33,138 1,723 27,137 3,906 61,520
WILLIAMS-SONOMA INC.+ 200 6,188 100 3,094 442 13,674
------------ ------------ ------------
$ 11,180,556 $ 9,292,552 $ 23,110,629
SEMICONDUCTORS
PERCENT OF NET ASSETS 3.19% 3.87% 5.03%
ADVANCED MICRO DEVICES
INC.+ 2,432 $ 95,152 1,967 $ 76,959 4,409 $ 172,502
ALLIANCE SEMICONDUCTOR
CORP.+ 0 -- 0 -- 221 5,518
ALTERA CORP.+ 4,070 324,583 4,458 355,526 9,550 761,613
AMKOR TECHNOLOGY INC.+ 0 -- 100 5,194 200 10,388
APPLIED MATERIALS INC.+ 5,517 1,009,266 4,769 872,429 12,035 2,201,653
APPLIED MICRO CIRCUITS
CORP.+ 300 82,519 0 -- 900 247,556
ATMEL CORP.+ 5,200 257,400 4,800 237,600 11,222 555,489
BROADCOM CORP.+ 800 157,900 200 39,475 1,800 355,275
CIRRUS LOGIC INC.+ 1,411 29,366 1,052 21,895 1,434 29,845
CONEXANT SYSTEMS INC.+ 3,864 379,638 3,848 378,066 7,750 761,438
CYPRESS SEMICONDUCTOR
CORP.+ 1,296 59,130 1,371 62,552 3,300 150,563
ETEC SYSTEMS INC.+ 351 41,341 268 31,565 718 84,567
GENERAL SEMICONDUCTOR
INC.+ 521 8,694 410 6,842 1,128 18,824
INTEL CORP. 49,712 5,617,456 41,240 4,660,120 107,524 12,150,212
INTERNATIONAL RECTIFIER
CORP.+ 877 36,724 625 26,172 1,072 44,890
KLA-TENCOR CORP.+ 3,058 238,333 2,470 192,506 5,546 432,241
LAM RESEARCH CORP.+ 438 68,383 446 69,632 1,260 196,718
LATTICE SEMICONDUCTOR
CORP.+ 1,228 86,267 1,250 87,813 2,674 187,849
LSI LOGIC CORP.+ 5,004 320,569 4,172 267,269 9,360 599,625
MEMC ELECTRONICS
MATERIALS INC.+ 351 6,121 357 6,225 807 14,072
MICRON TECHNOLOGY INC.+ 4,561 447,263 3,760 368,715 8,472 830,786
NATIONAL SEMICONDUCTOR
CORP.+ 2,934 220,417 2,379 178,722 5,286 397,111
NOVELLUS SYSTEMS INC.+ 2,331 138,257 1,812 107,474 5,034 298,579
PMC - SIERRA INC.+ 1,400 270,288 600 115,838 3,400 656,413
QLOGIC CORP.+ 400 62,400 0 -- 1,200 187,200
RAMBUS INC.+ 163 49,165 179 53,991 242 72,993
SDL INC.+ 200 82,000 100 41,000 600 246,000
TEXAS INSTRUMENTS INC. 11,902 1,981,683 10,290 1,713,285 25,644 4,269,726
VARIAN SEMICONDUCTOR
EQUIPMENT ASSOCIATES
INC.+ 820 47,663 795 46,209 1,659 96,429
XILINX INC.+ 5,348 426,503 6,342 505,775 14,128 1,126,708
------------ ------------ ------------
$ 12,544,481 $ 10,528,849 $ 27,162,783
SOFTWARE
PERCENT OF NET ASSETS 4.86% 5.74% 7.72%
ACXIOM CORP.+ 300 $ 8,663 200 $ 5,775 500 $ 14,438
ADOBE SYSTEMS INC. 1,766 180,132 1,644 167,688 3,858 393,516
AKAMAI TECHNOLOGIES INC.+ 200 52,250 100 26,125 700 182,875
AMERICA ONLINE INC.+ 33,156 1,956,204 29,476 1,739,084 71,514 4,219,326
AMERICAN MANAGEMENT
SYSTEMS+ 200 6,363 100 3,181 200 6,363
ARIBA INC.+ 700 185,150 400 105,800 1,700 449,650
</TABLE>
69
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
AT HOME CORP. "A"+ 100 $ 3,431 628 $ 21,548
AUTODESK INC. 76 3,396 306 13,674
AUTOMATIC DATA PROCESSING 158 6,883 2,706 117,880
BEA SYSTEMS INC.+ 0 -- 176 22,275
BMC SOFTWARE INC.+ 929 42,734 715 32,890
BROADVISION INC.+ 0 -- 100 25,256
CADENCE DESIGN SYSTEMS
INC.+ 964 19,220 1,909 38,061
CAREINSITE INC.+ 0 -- 0 --
CHOICEPOINT INC.+ 282 10,628 246 9,271
CITRIX SYSTEMS INC.+ 400 42,175 1,364 143,817
CMGI INC.+ 0 -- 900 116,606
CNET INC.+ 0 -- 0 --
COMPUTER ASSOCIATES
INTERNATIONAL INC. 214 13,763 2,407 154,800
COMPUWARE CORP.+ 1,760 38,940 2,500 55,313
COVAD COMMUNICATIONS
GROUP INC.+ 0 -- 0 --
CSG SYSTEMS INTERNATIONAL
INC.+ 0 -- 0 --
DOUBLECLICK INC.+ 0 -- 100 8,881
EARTHLINK INC.+ 0 -- 0 --
EDWARDS (J.D.) & CO.+ 100 4,050 252 10,238
ELECTRONIC ARTS INC.+ 300 30,000 516 51,600
EXODUS COMMUNICATIONS
INC.+ 0 -- 700 99,663
FIRST DATA CORP. 243 10,935 2,715 122,175
FISERV INC.+ 487 13,271 1,164 31,719
GO.COM (WALT DISNEY)+ 0 -- 0 --
HEALTHEON/WEBMD CORP.+ 0 -- 0 --
HOMESTORE.COM INC.+ 0 -- 0 --
I2 TECHNOLOGIES INC.+ 0 -- 152 24,852
IMS HEALTH INC. 0 -- 1,454 29,262
INFORMATION RESOURCES
INC.+ 0 -- 0 --
INFORMIX CORP.+ 1,190 19,040 861 13,776
INFOSPACE.COM INC.+ 0 -- 400 86,800
INKTOMI CORP.+ 0 -- 0 --
INTERNET CAPITAL GROUP
LLC+ 0 -- 600 63,450
INTUIT INC.+ 600 31,500 984 51,660
IVILLAGE INC.+ 0 -- 0 --
KEANE INC.+ 100 2,400 692 16,608
LEGATO SYSTEMS INC.+ 0 -- 480 17,100
LHS GROUP INC.+ 0 -- 76 3,439
LYCOS INC.+ 0 -- 100 5,963
MACROMEDIA INC.+ 400 34,575 352 30,426
MERCURY INTERACTIVE
CORP.+ 0 -- 0 --
MICROSOFT CORP.+ 2,726 243,636 26,484 2,367,008
MOMENTUM BUSINESS
APPLICATIONS INC.+ 7 52 21 155
NATIONAL DATA CORP. 200 6,200 240 7,440
NETWORK ASSOCIATES INC.+ 525 15,980 1,374 41,821
NETWORK SOLUTIONS INC.+ 0 -- 0 --
NETZERO INC.+ 0 -- 0 --
NEW ERA OF NETWORKS INC.+ 0 -- 0 --
NORTHPOINT COMMUNICATIONS
GROUP INC.+ 0 -- 0 --
NOVELL INC.+ 125 4,133 2,196 72,605
OBJECTIVE SYSTEMS
INTEGRATOR INC.+ 0 -- 88 1,694
ORACLE CORP.+ 1,442 107,069 14,224 1,056,132
PARAMETRIC TECHNOLOGY
CORP.+ 20 606 1,236 37,466
PEOPLESOFT INC.+ 265 5,482 1,045 21,618
PEREGRINE SYSTEMS INC.+ 0 -- 0 --
PER-SE TECHNOLOGIES INC.+ 266 2,095 264 2,079
</TABLE>
70
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
AT HOME CORP. "A"+ 2,152 $ 73,841 972 $ 33,352 5,396 $ 185,150
AUTODESK INC. 951 42,498 749 33,471 1,737 77,622
AUTOMATIC DATA PROCESSING 8,828 384,570 6,943 302,454 19,126 833,176
BEA SYSTEMS INC.+ 526 66,572 358 45,309 706 89,353
BMC SOFTWARE INC.+ 3,229 148,534 2,239 102,994 6,960 320,160
BROADVISION INC.+ 500 126,281 100 25,256 1,200 303,075
CADENCE DESIGN SYSTEMS
INC.+ 3,825 76,261 3,452 68,824 10,984 218,994
CAREINSITE INC.+ 100 6,800 100 6,800 200 13,600
CHOICEPOINT INC.+ 638 24,045 476 17,939 854 32,185
CITRIX SYSTEMS INC.+ 3,100 326,856 3,848 405,724 8,144 858,683
CMGI INC.+ 2,200 284,900 1,500 194,344 5,100 660,450
CNET INC.+ 100 6,688 100 6,688 200 13,375
COMPUTER ASSOCIATES
INTERNATIONAL INC. 7,846 504,596 6,228 400,538 16,900 1,086,881
COMPUWARE CORP.+ 4,820 106,643 4,166 92,173 10,222 226,162
COVAD COMMUNICATIONS
GROUP INC.+ 100 9,025 0 -- 200 18,050
CSG SYSTEMS INTERNATIONAL
INC.+ 100 5,138 100 5,138 100 5,138
DOUBLECLICK INC.+ 400 35,525 0 -- 1,100 97,694
EARTHLINK INC.+ 300 7,463 200 4,975 561 13,942
EDWARDS (J.D.) & CO.+ 714 29,006 525 21,328 1,513 61,466
ELECTRONIC ARTS INC.+ 1,502 150,200 1,329 132,900 3,015 301,500
EXODUS COMMUNICATIONS
INC.+ 1,800 256,275 1,200 170,850 4,100 583,738
FIRST DATA CORP. 7,353 330,885 6,139 276,255 13,214 594,630
FISERV INC.+ 2,183 59,480 1,983 54,037 6,284 171,239
GO.COM (WALT DISNEY)+ 115 2,537 115 2,537 330 7,281
HEALTHEON/WEBMD CORP.+ 100 5,531 100 5,531 100 5,531
HOMESTORE.COM INC.+ 0 -- 0 -- 100 6,831
I2 TECHNOLOGIES INC.+ 526 86,001 336 54,936 1,436 234,786
IMS HEALTH INC. 4,745 95,493 3,730 75,066 8,865 178,408
INFORMATION RESOURCES
INC.+ 353 2,758 0 -- 0 --
INFORMIX CORP.+ 2,733 43,728 1,709 27,344 4,775 76,400
INFOSPACE.COM INC.+ 1,000 217,000 600 130,200 2,400 520,800
INKTOMI CORP.+ 200 27,425 0 -- 600 82,275
INTERNET CAPITAL GROUP
LLC+ 1,500 158,625 900 95,175 3,400 359,550
INTUIT INC.+ 2,467 129,518 1,912 100,380 7,583 398,108
IVILLAGE INC.+ 100 1,875 0 -- 100 1,875
KEANE INC.+ 1,427 34,248 1,696 40,704 3,733 89,592
LEGATO SYSTEMS INC.+ 1,578 56,216 1,308 46,598 600 21,375
LHS GROUP INC.+ 251 11,358 157 7,104 607 27,467
LYCOS INC.+ 300 17,888 200 11,925 900 53,663
MACROMEDIA INC.+ 614 53,073 446 38,551 995 86,005
MERCURY INTERACTIVE
CORP.+ 200 19,275 0 -- 600 57,825
MICROSOFT CORP.+ 76,870 6,870,256 63,786 5,700,874 166,132 14,848,048
MOMENTUM BUSINESS
APPLICATIONS INC.+ 62 457 66 487 48 354
NATIONAL DATA CORP. 677 20,987 693 21,483 1,766 54,746
NETWORK ASSOCIATES INC.+ 2,367 72,046 2,232 67,937 7,079 215,467
NETWORK SOLUTIONS INC.+ 0 -- 0 -- 200 64,488
NETZERO INC.+ 0 -- 0 -- 100 2,350
NEW ERA OF NETWORKS INC.+ 100 9,163 100 9,163 100 9,163
NORTHPOINT COMMUNICATIONS
GROUP INC.+ 100 2,269 100 2,269 100 2,269
NOVELL INC.+ 5,870 194,077 5,072 167,693 10,308 340,808
OBJECTIVE SYSTEMS
INTEGRATOR INC.+ 0 -- 0 -- 277 5,332
ORACLE CORP.+ 42,256 3,137,508 34,898 2,591,177 91,260 6,776,055
PARAMETRIC TECHNOLOGY
CORP.+ 4,033 122,250 3,339 101,213 7,873 238,650
PEOPLESOFT INC.+ 3,260 67,441 2,635 54,512 7,030 145,433
PEREGRINE SYSTEMS INC.+ 0 -- 0 -- 200 10,925
PER-SE TECHNOLOGIES INC.+ 354 2,788 390 3,071 655 5,158
</TABLE>
71
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
PHONE.COM INC.+ 0 $ -- 0 $ --
PIXAR INC.+ 0 -- 88 3,080
POLICY MANAGEMENT SYSTEMS
CORP.+ 396 3,515 99 879
PRODIGY COMMUNICATIONS
CORP.+ 0 -- 0 --
PSINET INC.+ 0 -- 0 --
RATIONAL SOFTWARE CORP.+ 100 7,113 792 56,331
REALNETWORKS INC.+ 0 -- 0 --
REYNOLDS & REYNOLDS CO.
"A" 146 4,033 910 25,139
RHYTHMS NETCONNECTIONS
INC.+ 0 -- 100 3,569
SHARED MEDICAL SYSTEMS
CORP. 42 1,635 150 5,841
SIEBEL SYSTEMS INC.+ 400 55,475 1,212 168,089
STERLING COMMERCE INC.+ 277 12,136 1,089 47,712
STERLING SOFTWARE INC.+ 200 7,175 880 31,570
STRUCTURAL DYNAMICS
RESEARCH CORP.+ 303 4,318 0 --
SYBASE INC.+ 700 17,544 616 15,439
SYMANTEC CORP.+ 278 19,860 892 63,722
TOTAL SYSTEM SERVICES
INC. 250 3,969 384 6,096
USINTERNETWORKING INC.+ 0 -- 0 --
VERIO INC.+ 0 -- 0 --
VIGNETTE CORP.+ 0 -- 0 --
YAHOO! INC.+ 800 127,750 3,418 545,812
ZDNET INC.+ 0 -- 0 --
----------- ------------
$ 1,596,743 $ 7,214,102
TELECOMMUNICATION
EQUIPMENT
PERCENT OF NET ASSETS 0.73% 1.49%
ADC TELECOMMUNICATIONS
INC.+ 1,124 $ 50,440 2,492 $ 111,829
ADTRAN INC.+ 100 7,356 176 12,947
ADVANCED FIBRE
COMMUNICATIONS INC.+ 300 20,438 616 41,965
AMERICAN TOWER CORP.+ 100 4,925 956 47,083
ANDREW CORP.+ 90 2,228 417 10,321
ANTEC CORP.+ 0 -- 0 --
CIENA CORP.+ 100 15,981 528 84,381
COMMSCOPE INC.+ 50 1,947 304 11,837
COMVERSE TECHNOLOGY INC.+ 340 66,938 560 110,250
E-TEK DYNAMICS INC.+ 0 -- 100 27,325
GLENAYRE TECHNOLOGIES
INC.+ 650 12,919 572 11,369
HARMONIC INC.+ 0 -- 0 --
HARRIS CORP. 104 3,315 607 19,348
JDS UNIPHASE CORP.+ 0 -- 1,160 305,950
LUCENT TECHNOLOGIES INC. 1,673 99,544 15,570 926,415
METROMEDIA FIBER NETWORK
INC.+ 0 -- 300 21,567
MOBILEMEDIA CORP.+ 300 -- 200 --
MOTOROLA INC. 576 98,208 4,747 809,364
PAGING NETWORK INC.+ 500 1,453 616 1,790
PAIRGAIN TECHNOLOGIES
INC.+ 300 5,363 616 11,011
PICTURETEL CORP.+ 400 3,025 352 2,662
QUALCOMM INC.+ 1,950 277,753 4,686 667,462
RF MICRO DEVICES INC.+ 0 -- 0 --
SCIENTIFIC-ATLANTA INC. 75 7,702 549 56,375
SYCAMORE NETWORKS INC.+ 0 -- 300 44,400
TELLABS INC.+ 174 8,352 1,652 79,296
WILLIAMS COMMUNICATIONS
GROUP INC.+ 0 -- 0 --
----------- ------------
$ 687,887 $ 3,414,947
</TABLE>
72
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
PHONE.COM INC.+ 0 $ -- 0 $ -- 200 $ 27,925
PIXAR INC.+ 63 2,205 268 9,380 330 11,550
POLICY MANAGEMENT SYSTEMS
CORP.+ 431 3,825 261 2,316 866 7,686
PRODIGY COMMUNICATIONS
CORP.+ 0 -- 0 -- 100 2,006
PSINET INC.+ 600 27,750 200 9,275 1,400 64,750
RATIONAL SOFTWARE CORP.+ 1,678 119,348 1,429 101,638 2,726 193,887
REALNETWORKS INC.+ 400 28,125 0 -- 1,200 84,375
REYNOLDS & REYNOLDS CO.
"A" 1,688 46,631 1,575 43,509 3,468 95,804
RHYTHMS NETCONNECTIONS
INC.+ 400 14,275 200 7,138 400 14,275
SHARED MEDICAL SYSTEMS
CORP. 446 17,366 374 14,563 624 24,297
SIEBEL SYSTEMS INC.+ 2,368 328,412 2,132 295,682 5,252 728,387
STERLING COMMERCE INC.+ 2,076 90,955 2,061 90,298 4,052 177,528
STERLING SOFTWARE INC.+ 1,865 66,907 1,707 61,239 3,456 123,984
STRUCTURAL DYNAMICS
RESEARCH CORP.+ 380 5,415 285 4,061 0 --
SYBASE INC.+ 1,327 33,258 1,171 29,348 2,408 60,351
SYMANTEC CORP.+ 1,822 130,159 1,594 113,871 3,603 257,389
TOTAL SYSTEM SERVICES
INC. 764 12,129 693 11,001 2,243 35,608
USINTERNETWORKING INC.+ 0 -- 0 -- 150 10,013
VERIO INC.+ 100 7,506 100 7,506 200 15,013
VIGNETTE CORP.+ 100 23,050 0 -- 400 92,200
YAHOO! INC.+ 7,808 1,246,840 6,344 1,013,058 16,792 2,681,473
ZDNET INC.+ 100 3,206 100 3,206 100 3,206
------------ ------------ ------------
$ 19,119,997 $ 15,622,021 $ 41,671,156
TELECOMMUNICATION
EQUIPMENT
PERCENT OF NET ASSETS 2.16% 2.63% 3.35%
ADC TELECOMMUNICATIONS
INC.+ 4,626 $ 207,592 4,172 $ 187,219 13,560 $ 608,505
ADTRAN INC.+ 175 12,873 268 19,715 718 52,818
ADVANCED FIBRE
COMMUNICATIONS INC.+ 1,327 90,402 1,261 85,906 2,673 182,098
AMERICAN TOWER CORP.+ 2,028 99,879 1,775 87,419 900 44,325
ANDREW CORP.+ 1,494 36,977 990 24,503 2,413 59,722
ANTEC CORP.+ 0 -- 0 -- 100 5,294
CIENA CORP.+ 1,140 182,186 771 123,215 2,861 457,224
COMMSCOPE INC.+ 794 30,916 646 25,154 1,671 65,065
COMVERSE TECHNOLOGY INC.+ 1,063 209,278 1,376 270,900 3,364 662,288
E-TEK DYNAMICS INC.+ 300 81,881 100 27,325 300 81,881
GLENAYRE TECHNOLOGIES
INC.+ 1,130 22,459 814 16,178 1,459 28,998
HARMONIC INC.+ 0 -- 0 -- 100 13,694
HARRIS CORP. 1,320 42,075 1,063 33,883 2,112 67,320
JDS UNIPHASE CORP.+ 2,100 553,875 1,600 422,000 4,652 1,226,965
LUCENT TECHNOLOGIES INC. 46,476 2,765,322 38,327 2,280,457 100,447 5,976,597
METROMEDIA FIBER NETWORK
INC.+ 900 64,702 100 7,189 2,500 179,727
MOBILEMEDIA CORP.+ 400 -- 300 -- 700 1
MOTOROLA INC. 12,099 2,062,880 10,270 1,751,035 22,726 3,874,783
PAGING NETWORK INC.+ 1,415 4,112 1,261 3,665 2,861 8,315
PAIRGAIN TECHNOLOGIES
INC.+ 1,239 22,147 1,171 20,932 2,761 49,353
PICTURETEL CORP.+ 714 5,400 546 4,129 807 6,103
QUALCOMM INC.+ 10,446 1,487,902 9,904 1,410,701 22,920 3,264,668
RF MICRO DEVICES INC.+ 300 41,494 300 41,494 700 96,819
SCIENTIFIC-ATLANTA INC. 1,309 134,418 1,035 106,282 2,394 245,834
SYCAMORE NETWORKS INC.+ 600 88,800 0 -- 1,500 222,000
TELLABS INC.+ 5,644 270,912 4,502 216,096 12,216 586,368
WILLIAMS COMMUNICATIONS
GROUP INC.+ 0 -- 0 -- 100 4,450
------------ ------------ ------------
$ 8,518,482 $ 7,165,397 $ 18,071,215
</TABLE>
73
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 0.35% 0.66%
ALLEGIANCE TELECOM INC.+ 0 $ -- 0 $ --
ASPECT COMMUNICATIONS
CORP.+ 0 -- 540 34,796
BROADWING INC. 0 -- 459 13,627
COMSAT CORP. 301 5,061 443 7,448
COX COMMUNICATIONS INC.
"A"+ 871 39,576 1,530 69,519
CROWN CASTLE
INTERNATIONAL CORP.+ 0 -- 0 --
ECHOSTAR COMMUNICATIONS
CORP.+ 0 -- 0 --
GLOBAL CROSSING LTD.+ 202 9,418 4,956 231,074
GLOBAL TELESYSTEMS GROUP
INC.+ 400 9,950 880 22,000
HUGHES ELECTRONICS CORP.+ 500 60,250 1,132 136,406
ICG COMMUNICATIONS INC.+ 200 6,238 528 16,566
LEAP WIRELESS
INTERNATIONAL INC.+ 100 8,769 198 17,362
LEVEL 3 COMMUNICATIONS
INC.+ 100 11,388 1,400 159,425
LORAL SPACE &
COMMUNICATIONS LTD.+ 1,042 15,695 2,626 39,554
MCLEODUSA INC. "A"+ 400 35,200 880 77,440
NEXTEL COMMUNICATIONS
INC. "A"+ 178 24,264 1,555 211,966
NTL INC.+ 0 -- 825 75,488
OMNIPOINT CORP.+ 200 23,555 264 31,093
PANAMSAT CORP.+ 100 4,881 176 8,591
QWEST COMMUNICATIONS
INTERNATIONAL INC.+ 1,400 64,838 3,192 148,029
RCN CORP.+ 0 -- 0 --
SPRINT CORP. (PCS GROUP)+ 234 12,110 3,562 184,334
TALK.COM INC.+ 100 1,688 540 9,113
VOICESTREAM WIRELESS
CORP.+ 0 -- 188 25,016
WEST TELESERVICES CORP.+ 0 -- 0 --
WESTERN WIRELESS CORP.
"A"+ 0 -- 88 4,268
WINSTAR COMMUNICATIONS
INC.+ 0 -- 0 --
----------- ------------
$ 332,881 $ 1,523,115
TELEPHONE
PERCENT OF NET ASSETS 0.58% 1.95%
ALLTEL CORP. 149 $ 8,642 1,832 $ 106,256
AT&T CORP. 2,519 124,533 20,787 1,027,657
BELL ATLANTIC CORP. 1,224 59,900 9,835 481,300
BELLSOUTH CORPORATION 1,560 63,570 11,899 484,884
CENTURYTEL INC. 0 -- 620 20,848
GTE CORP. 836 49,324 6,093 359,487
INTERMEDIA COMMUNICATIONS
INC.+ 0 -- 100 6,331
MCI WORLDCOM INC.+ 2,271 101,343 18,200 812,175
NEXTLINK COMMUNICATIONS
INC.+ 0 -- 100 11,019
SBC COMMUNICATIONS INC. 1,769 67,222 16,441 624,758
SPRINT CORP. (FON GROUP) 660 40,260 5,446 332,206
TELEPHONE & DATA SYSTEMS
INC. 0 -- 0 --
US WEST INC. 459 33,335 2,843 206,473
----------- ------------
$ 548,129 $ 4,473,394
TEXTILES
PERCENT OF NET ASSETS 0.03% 0.03%
CINTAS CORP. 320 $ 12,780 780 $ 31,151
MOHAWK INDUSTRIES INC.+ 0 -- 0 --
SHAW INDUSTRIES INC. 1,060 13,449 1,422 18,042
SPRINGS INDUSTRIES INC.
"A" 33 1,169 185 6,556
WESTPOINT STEVENS INC. 100 1,663 328 5,453
----------- ------------
$ 29,061 $ 61,202
</TABLE>
74
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 0.94% 1.13% 1.58%
ALLEGIANCE TELECOM INC.+ 150 $ 14,831 0 $ -- 600 $ 59,325
ASPECT COMMUNICATIONS
CORP.+ 100 6,444 0 -- 1,260 81,191
BROADWING INC. 1,541 45,748 452 13,419 4,192 124,450
COMSAT CORP. 1,020 17,149 916 15,400 2,169 36,466
COX COMMUNICATIONS INC.
"A"+ 2,375 107,914 2,405 109,277 7,308 332,057
CROWN CASTLE
INTERNATIONAL CORP.+ 0 -- 100 3,225 400 12,900
ECHOSTAR COMMUNICATIONS
CORP.+ 100 11,400 100 11,400 600 68,400
GLOBAL CROSSING LTD.+ 12,956 604,074 10,948 510,451 24,371 1,136,298
GLOBAL TELESYSTEMS GROUP
INC.+ 1,854 46,350 1,986 49,650 4,532 113,300
HUGHES ELECTRONICS CORP.+ 2,028 244,374 1,875 225,938 5,776 696,008
ICG COMMUNICATIONS INC.+ 1,152 36,144 982 30,810 2,231 69,998
LEAP WIRELESS
INTERNATIONAL INC.+ 394 34,549 379 33,234 873 76,551
LEVEL 3 COMMUNICATIONS
INC.+ 3,400 386,963 2,500 284,688 7,700 876,356
LORAL SPACE &
COMMUNICATIONS LTD.+ 5,119 77,105 4,757 71,652 10,620 159,964
MCLEODUSA INC. "A"+ 1,854 163,152 1,808 159,104 4,032 354,816
NEXTEL COMMUNICATIONS
INC. "A"+ 5,343 728,318 4,291 584,917 11,500 1,567,594
NTL INC.+ 1,505 137,730 1,520 139,109 2,876 263,108
OMNIPOINT CORP.+ 351 41,340 357 42,047 630 74,199
PANAMSAT CORP.+ 163 7,956 268 13,082 418 20,404
QWEST COMMUNICATIONS
INTERNATIONAL INC.+ 5,406 250,703 4,943 229,246 15,172 703,602
RCN CORP.+ 0 -- 0 -- 100 5,988
SPRINT CORP. (PCS GROUP)+ 12,380 640,665 9,918 513,257 27,010 1,397,768
TALK.COM INC.+ 1,077 18,174 993 16,757 2,155 36,366
VOICESTREAM WIRELESS
CORP.+ 600 79,838 100 13,306 1,465 194,937
WEST TELESERVICES CORP.+ 0 -- 0 -- 177 3,496
WESTERN WIRELESS CORP.
"A"+ 0 -- 0 -- 365 17,703
WINSTAR COMMUNICATIONS
INC.+ 100 7,738 100 7,738 300 23,213
------------ ------------ ------------
$ 3,708,659 $ 3,077,707 $ 8,506,458
TELEPHONE
PERCENT OF NET ASSETS 3.14% 3.77% 4.46%
ALLTEL CORP. 5,309 $ 307,922 4,435 $ 257,230 9,824 $ 569,792
AT&T CORP. 54,703 2,704,380 45,939 2,271,109 102,413 5,063,043
BELL ATLANTIC CORP. 26,532 1,298,410 22,268 1,089,740 49,624 2,428,475
BELLSOUTH CORPORATION 32,151 1,310,153 26,965 1,098,824 60,128 2,450,216
CENTURYTEL INC. 2,303 77,438 1,800 60,525 4,090 137,526
GTE CORP. 16,557 976,863 13,929 821,811 31,007 1,829,413
INTERMEDIA COMMUNICATIONS
INC.+ 100 6,331 0 -- 188 11,903
MCI WORLDCOM INC.+ 48,892 2,181,806 41,351 1,845,288 97,844 4,366,289
NEXTLINK COMMUNICATIONS
INC.+ 400 44,075 100 11,019 1,200 132,225
SBC COMMUNICATIONS INC. 50,503 1,919,114 41,414 1,573,732 109,040 4,143,520
SPRINT CORP. (FON GROUP) 14,900 908,900 12,458 759,938 27,772 1,694,092
TELEPHONE & DATA SYSTEMS
INC. 825 87,038 0 -- 800 84,400
US WEST INC. 7,224 524,643 6,520 473,515 15,830 1,149,654
------------ ------------ ------------
$ 12,347,073 $ 10,262,731 $ 24,060,548
TEXTILES
PERCENT OF NET ASSETS 0.03% 0.05% 0.05%
CINTAS CORP. 1,250 $ 49,922 1,634 $ 65,258 3,639 $ 145,333
MOHAWK INDUSTRIES INC.+ 200 4,438 100 2,219 488 10,828
SHAW INDUSTRIES INC. 2,818 35,753 2,572 32,632 6,329 80,299
SPRINGS INDUSTRIES INC.
"A" 293 10,383 324 11,482 560 19,845
WESTPOINT STEVENS INC. 1,152 19,152 971 16,143 2,320 38,570
------------ ------------ ------------
$ 119,648 $ 127,734 $ 294,875
</TABLE>
75
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
TOBACCO
PERCENT OF NET ASSETS 0.05% 0.15%
PHILIP MORRIS COMPANIES
INC. 2,031 $ 40,747 14,867 $ 298,269
R.J. REYNOLDS TOBACCO
HOLDINGS INC. 223 4,014 917 16,506
UNIVERSAL CORPORATION 181 2,964 528 8,646
UST INC. 72 1,391 508 9,811
----------- ------------
$ 49,116 $ 333,232
TOYS / GAMES / HOBBIES
PERCENT OF NET ASSETS 0.01% 0.02%
DEPARTMENT 56 INC.+ 200 $ 2,825 176 $ 2,486
HASBRO INC. 67 1,055 1,225 19,294
MARVEL ENTERPRISES INC.
"A" WARRANTS (EXPIRES
10/02/01)+ 0 -- 5 3
MARVEL ENTERPRISES INC.
"C" WARRANTS (EXPIRES
10/02/01)+ 0 -- 9 3
MARVEL ENTERTAINMENT
GROUP+ 0 -- 200 --
MATTEL INC. 303 2,916 2,211 21,281
TOPPS CO. (THE)+ 512 3,840 0 --
----------- ------------
$ 10,636 $ 43,067
TRANSPORTATION
PERCENT OF NET ASSETS 0.07% 0.18%
AIRBORNE FREIGHT CORP. 100 $ 1,850 504 $ 9,324
ALEXANDER & BALDWIN INC. 204 4,176 607 12,425
BURLINGTON NORTHERN SANTA
FE CORP. 168 3,308 2,839 55,893
CNF TRANSPORTATION INC. 162 5,194 470 15,069
CONSOLIDATED FREIGHTWAYS
CORP.+ 31 205 159 1,053
CSX CORP. 97 2,152 1,413 31,351
EXPEDITORS INTERNATIONAL
WASHINGTON INC. 0 -- 0 --
FEDEX CORPORATION+ 314 10,970 1,804 63,027
FRITZ COMPANIES INC.+ 200 1,675 176 1,474
HUNT (J.B.) TRANSPORT
SERVICES INC. 0 -- 0 --
KANSAS CITY SOUTHERN
INDUSTRIES INC. 133 10,474 1,331 104,816
NORFOLK SOUTHERN CORP. 182 2,468 2,535 34,381
OVERSEAS SHIPHOLDING
GROUP INC. 393 8,179 273 5,682
ROADWAY EXPRESS INC. 46 949 139 2,867
UNION PACIFIC CORP. 268 10,184 1,639 62,282
UNITED PARCEL SERVICE
INC. 0 -- 200 10,925
WISCONSIN CENTRAL
TRANSPORTATION CORP.+ 400 4,950 704 8,712
YELLOW CORPORATION+ 49 784 196 3,136
----------- ------------
$ 67,518 $ 422,417
TRUCKING & LEASING
PERCENT OF NET ASSETS 0.02% 0.01%
GATX CORPORATION 246 $ 7,657 451 $ 14,037
RYDER SYSTEM INC. 129 2,403 462 8,605
XTRA CORP.+ 200 7,963 176 7,007
----------- ------------
$ 18,023 $ 29,649
</TABLE>
76
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
TOBACCO
PERCENT OF NET ASSETS 0.23% 0.28% 0.34%
PHILIP MORRIS COMPANIES
INC. 40,314 $ 808,800 33,788 $ 677,872 80,137 $ 1,607,749
R.J. REYNOLDS TOBACCO
HOLDINGS INC. 2,248 40,464 1,922 34,596 5,537 99,666
UNIVERSAL CORPORATION 911 14,918 887 14,525 2,112 34,584
UST INC. 2,813 54,326 2,165 41,812 5,181 100,058
------------ ------------ ------------
$ 918,508 $ 768,805 $ 1,842,057
TOYS / GAMES / HOBBIES
PERCENT OF NET ASSETS 0.03% 0.04% 0.04%
DEPARTMENT 56 INC.+ 263 $ 3,715 179 $ 2,528 630 $ 8,899
HASBRO INC. 3,232 50,904 2,803 44,147 5,691 89,633
MARVEL ENTERPRISES INC.
"A" WARRANTS (EXPIRES
10/02/01)+ 39 20 5 3 16 8
MARVEL ENTERPRISES INC.
"C" WARRANTS (EXPIRES
10/02/01)+ 66 21 9 3 28 9
MARVEL ENTERTAINMENT
GROUP+ 1,400 -- 200 -- 600 --
MATTEL INC. 6,856 65,989 5,286 50,878 12,203 117,454
TOPPS CO. (THE)+ 633 4,748 470 3,525 0 --
------------ ------------ ------------
$ 125,397 $ 101,084 $ 216,003
TRANSPORTATION
PERCENT OF NET ASSETS 0.25% 0.31% 0.38%
AIRBORNE FREIGHT CORP. 1,315 $ 24,328 1,150 $ 21,275 2,750 $ 50,875
ALEXANDER & BALDWIN INC. 1,164 23,826 990 20,264 2,490 50,967
BURLINGTON NORTHERN SANTA
FE CORP. 7,877 155,078 6,765 133,186 14,072 277,043
CNF TRANSPORTATION INC. 1,136 36,423 1,126 36,102 2,518 80,733
CONSOLIDATED FREIGHTWAYS
CORP.+ 355 2,352 255 1,689 603 3,995
CSX CORP. 3,463 76,835 3,098 68,737 6,432 142,710
EXPEDITORS INTERNATIONAL
WASHINGTON INC. 0 -- 0 -- 200 7,550
FEDEX CORPORATION+ 5,036 175,945 4,118 143,873 9,156 319,888
FRITZ COMPANIES INC.+ 263 2,203 0 -- 353 2,956
HUNT (J.B.) TRANSPORT
SERVICES INC. 522 6,003 0 -- 0 --
KANSAS CITY SOUTHERN
INDUSTRIES INC. 1,872 147,420 1,984 156,240 6,203 488,486
NORFOLK SOUTHERN CORP. 6,601 89,526 5,788 78,500 12,072 163,726
OVERSEAS SHIPHOLDING
GROUP INC. 482 10,032 362 7,534 331 6,889
ROADWAY EXPRESS INC. 237 4,888 217 4,476 317 6,538
UNION PACIFIC CORP. 4,095 155,610 3,463 131,594 7,610 289,180
UNITED PARCEL SERVICE
INC. 900 49,163 200 10,925 2,500 136,563
WISCONSIN CENTRAL
TRANSPORTATION CORP.+ 1,415 17,511 1,350 16,706 2,850 35,269
YELLOW CORPORATION+ 513 8,208 267 4,272 386 6,176
------------ ------------ ------------
$ 985,351 $ 835,373 $ 2,069,544
TRUCKING & LEASING
PERCENT OF NET ASSETS 0.02% 0.02% 0.03%
GATX CORPORATION 1,331 $ 41,427 1,091 $ 33,957 2,679 $ 83,384
RYDER SYSTEM INC. 1,022 19,035 873 16,260 1,995 37,157
XTRA CORP.+ 263 10,471 179 7,126 442 17,597
------------ ------------ ------------
$ 70,933 $ 57,343 $ 138,138
</TABLE>
77
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
WATER
PERCENT OF NET ASSETS 0.00% 0.01%
AMERICAN WATER WORKS INC. 200 $ 4,000 780 $ 15,600
AZURIX CORP.+ 0 -- 0 --
----------- ------------
$ 4,000 $ 15,600
TOTAL U.S. COMMON STOCKS
(COST $9,194,648,
$55,788,197,
$147,980,665,
$119,146,509 AND
$309,343,646,
RESPECTIVELY) $13,738,224 $ 77,146,094
INTERNATIONAL COMMON
STOCKS
PERCENTAGE OF NET ASSETS 6.44% 10.51%
AUSTRALIA
PERCENT OF NET ASSETS 0.18% 0.26%
BROKEN HILL PROPRIETARY
CO. LTD. ADR 420 $ 8,400 1,578 $ 31,560
COLES MYER LTD. ADR 814 27,473 2,432 82,080
NATIONAL AUSTRALIA BANK 803 53,149 2,631 174,139
NEWS CORPORATION LTD. 574 33,471 2,180 127,121
WESTPAC BANKING CORP. ADR 1,036 33,411 3,958 127,646
WMC LTD. ADR 730 11,133 2,437 37,164
----------- ------------
$ 167,037 $ 579,710
CANADA
PERCENT OF NET ASSETS 0.18% 0.47%
ALCAN ALUMINIUM LTD. 178 $ 5,858 1,630 $ 53,790
BARRICK GOLD CORP. 123 2,006 2,288 37,323
CANADIAN NATIONAL RAILWAY
CO. 8 189 12 283
INCO LTD.+ 66 1,155 809 14,158
LAIDLAW INC. "B" 0 -- 1,814 5,555
MOORE CORP. LTD. 0 -- 428 1,980
NORTEL NETWORKS CORP. 1,336 148,964 7,244 807,706
PLACER DOME INC. 21 184 2,072 18,130
SEAGRAM CO. LTD. 144 8,460 2,650 155,688
----------- ------------
$ 166,816 $ 1,094,613
DENMARK
PERCENT OF NET ASSETS 0.24% 0.35%
NOVO-NORDISK A/S ADR 1,792 $ 113,456 6,561 $ 415,393
TELE DENMARK A/S ADR 2,698 111,461 9,456 390,651
----------- ------------
$ 224,917 $ 806,044
FINLAND
PERCENT OF NET ASSETS 0.19% 0.28%
NOKIA OYJ 912 $ 180,861 3,276 $ 649,672
----------- ------------
FRANCE
PERCENT OF NET ASSETS 0.63% 0.93%
ALCATEL SA ADR 2,489 $ 117,605 9,892 $ 467,397
AVENTIS SA 1,514 78,728 5,655 294,060
AXA FINANCIAL INC. ADR 600 17,963 2,112 63,228
AXA-UAP ADR 1,675 105,525 5,408 340,704
ELF AQUITAINE ADR 0 -- 0 --
LVMH MOET-HENNESSY LOUIS
VUITTON ADR 731 53,363 2,753 200,969
TOTAL FINA SA 3,252 218,291 11,316 759,587
TOTAL FINA SA WARRANTS
(EXPIRES 08/08/03)+ 0 -- 81 2,045
----------- ------------
$ 591,475 $ 2,127,990
</TABLE>
78
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
WATER
PERCENT OF NET ASSETS 0.01% 0.01% 0.01%
AMERICAN WATER WORKS INC. 1,765 $ 35,300 1,707 $ 34,140 3,656 $ 73,120
AZURIX CORP.+ 200 1,500 200 1,500 400 3,000
------------ ------------ ------------
$ 36,800 $ 35,640 $ 76,120
TOTAL U.S. COMMON STOCKS
(COST $9,194,648,
$55,788,197,
$147,980,665,
$119,146,509 AND
$309,343,646,
RESPECTIVELY) $205,139,585 $171,484,494 $420,120,070
INTERNATIONAL COMMON
STOCKS
PERCENTAGE OF NET ASSETS 15.24% 19.62% 20.93%
AUSTRALIA
PERCENT OF NET ASSETS 0.39% 0.51% 0.56%
BROKEN HILL PROPRIETARY
CO. LTD. ADR 4,301 $ 86,020 3,712 $ 74,240 8,137 $ 162,740
COLES MYER LTD. ADR 6,665 224,944 6,159 207,866 12,449 420,154
NATIONAL AUSTRALIA BANK 7,102 470,064 6,297 416,783 13,845 916,366
NEWS CORPORATION LTD. 5,604 326,783 4,925 287,189 10,675 622,486
WESTPAC BANKING CORP. ADR 10,239 330,208 9,313 300,344 19,732 636,357
WMC LTD. ADR 6,649 101,397 6,095 92,949 12,418 189,375
------------ ------------ ------------
$ 1,539,416 $ 1,379,371 $ 2,947,478
CANADA
PERCENT OF NET ASSETS 0.79% 0.96% 1.16%
ALCAN ALUMINIUM LTD. 3,960 $ 130,680 3,334 $ 110,022 6,672 $ 220,176
BARRICK GOLD CORP. 6,527 106,472 5,237 85,429 11,904 194,184
CANADIAN NATIONAL RAILWAY
CO. 24 566 22 518 46 1,084
INCO LTD.+ 3,055 53,463 2,385 41,738 5,473 95,778
LAIDLAW INC. "B" 5,428 16,623 4,817 14,752 9,327 28,564
MOORE CORP. LTD. 1,508 6,975 1,161 5,370 2,759 12,760
NORTEL NETWORKS CORP. 20,754 2,314,071 17,362 1,935,863 42,946 4,788,479
PLACER DOME INC. 5,226 45,728 4,595 40,206 8,811 77,096
SEAGRAM CO. LTD. 7,401 434,809 6,130 360,137 13,699 804,816
------------ ------------ ------------
$ 3,109,387 $ 2,594,035 $ 6,222,937
DENMARK
PERCENT OF NET ASSETS 0.47% 0.62% 0.69%
NOVO-NORDISK A/S ADR 15,536 $ 983,623 13,964 $ 884,096 32,057 $ 2,029,609
TELE DENMARK A/S ADR 21,062 870,124 19,724 814,848 40,252 1,662,911
------------ ------------ ------------
$ 1,853,747 $ 1,698,944 $ 3,692,520
FINLAND
PERCENT OF NET ASSETS 0.37% 0.51% 0.50%
NOKIA OYJ 7,432 $ 1,473,859 7,022 $ 1,392,550 13,602 $ 2,697,447
------------ ------------ ------------
FRANCE
PERCENT OF NET ASSETS 1.43% 1.71% 2.01%
ALCATEL SA ADR 23,884 $ 1,128,519 20,880 $ 986,580 48,653 $ 2,298,854
AVENTIS SA 14,306 743,912 12,842 667,784 29,095 1,512,940
AXA FINANCIAL INC. ADR 3,830 114,661 4,128 123,582 8,426 252,253
AXA-UAP ADR 13,797 869,211 11,878 748,314 27,260 1,717,380
ELF AQUITAINE ADR 4,800 377,100 100 7,856 10,000 785,625
LVMH MOET-HENNESSY LOUIS
VUITTON ADR 6,695 488,735 6,286 458,878 12,299 897,827
TOTAL FINA SA 28,100 1,886,213 24,558 1,648,456 50,426 3,384,845
TOTAL FINA SA WARRANTS
(EXPIRES 08/08/03)+ 81 2,045 81 2,045 162 4,091
------------ ------------ ------------
$ 5,610,396 $ 4,643,495 $ 10,853,815
</TABLE>
79
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
GERMANY
PERCENT OF NET ASSETS 0.54% 0.90%
DAIMLERCHRYSLER AG 3,389 $ 229,604 13,898 $ 941,590
DEUTSCHE TELEKOM AG ADR 3,326 280,839 13,358 1,127,916
----------- ------------
$ 510,443 $ 2,069,506
HONG KONG
PERCENT OF NET ASSETS 0.29% 0.42%
CABLE & WIRELESS LTD. ADR 8,822 $ 274,033 31,282 $ 971,697
----------- ------------
IRELAND
PERCENT OF NET ASSETS 0.08% 0.13%
ALLIED IRISH BANKS PLC
ADR 4,238 $ 69,132 15,706 $ 256,204
SMURFIT (JEFFERSON) GROUP
ADR 505 12,025 1,860 44,291
----------- ------------
$ 81,157 $ 300,495
ITALY
PERCENT OF NET ASSETS 0.12% 0.22%
BENETTON GROUP SPA ADR 1,507 $ 59,244 5,462 $ 214,725
FIAT SPA ADR 1,149 35,332 6,815 209,561
MONTEDISON SPA ADR 1,179 20,633 5,031 88,043
----------- ------------
$ 115,209 $ 512,329
JAPAN
PERCENT OF NET ASSETS 1.42% 2.29%
CANON INC. ADR 790 $ 33,575 3,530 $ 150,025
CSK CORP. ADR 1,116 127,224 4,520 515,280
FUJI PHOTO FILM -ORDINARY
SHARES ADR 575 25,588 2,360 105,020
HITACHI LTD. ADR 432 59,913 1,824 252,966
HONDA MOTOR COMPANY LTD.
ADR 333 22,478 1,385 93,488
ITO-YOKADO CO. LTD. ADR 1,120 66,150 3,710 219,122
JAPAN AIR LINES ADR 5,908 29,171 23,240 114,748
KIRIN BREWERY CO. LTD.
ADR 997 118,518 3,682 437,698
KUBOTA CORP. ADR 834 50,457 3,643 220,402
KYOCERA CORP. ADR 560 103,005 1,958 360,150
MAKITA CORP. ADR 820 6,765 3,293 27,167
MATSUSHITA ELECTRIC
INDUSTRIAL CO. 257 75,542 833 244,850
MITSUBISHI CORP. ADR 1,394 20,583 10,725 158,359
MITSUI & CO. ADR 360 44,055 1,475 180,503
NEC CORP. ADR 683 77,094 2,813 317,517
NIPPON TELEGRAPH &
TELEPHONE CORP. ADR 1,224 83,232 4,169 283,492
NISSAN MOTOR CO. LTD. ADR 2,135 16,680 8,626 67,391
PIONEER CORP. ADR 1,192 38,442 5,217 168,248
RICOH CORP. LTD. ADR 377 33,821 1,599 143,449
SONY CORP. ADR 268 83,985 1,082 339,072
TOKIO MARINE AND FIRE
INSURANCE CO. LTD. ADR 2,318 107,497 8,660 401,608
TOYOTA MOTOR CORP. ADR 1,378 112,049 5,161 419,654
----------- ------------
$ 1,335,824 $ 5,220,209
NETHERLANDS
PERCENT OF NET ASSETS 0.39% 0.76%
AEGON NV ADR 16 $ 1,114 780 $ 54,308
ELSEVIER NV ADR 2,527 54,646 9,361 202,432
KLM ROYAL DUTCH AIRLINES
ADR 148 2,821 457 8,712
KONINKLIJKE AHOLD NV ADR 2,084 49,365 7,387 174,980
KONINKLIJKE PHILIPS
ELECTRONICS NV 336 64,344 1,299 248,759
ROYAL DUTCH PETROLEUM CO. 1,776 93,240 13,718 720,195
</TABLE>
80
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
GERMANY
PERCENT OF NET ASSETS 1.28% 1.58% 1.59%
DAIMLERCHRYSLER AG 34,249 $ 2,320,370 30,655 $ 2,076,876 48,889 $ 3,312,230
DEUTSCHE TELEKOM AG ADR 32,315 2,728,598 26,280 2,219,018 62,380 5,267,211
------------ ------------ ------------
$ 5,048,968 $ 4,295,894 $ 8,579,441
HONG KONG
PERCENT OF NET ASSETS 0.60% 0.81% 0.92%
CABLE & WIRELESS LTD. ADR 75,841 $ 2,355,811 70,625 $ 2,193,789 159,748 $ 4,962,172
------------ ------------ ------------
IRELAND
PERCENT OF NET ASSETS 0.17% 0.22% 0.24%
ALLIED IRISH BANKS PLC
ADR 33,969 $ 554,119 32,045 $ 522,734 65,383 $ 1,066,560
SMURFIT (JEFFERSON) GROUP
ADR 4,740 112,871 3,751 89,321 8,944 212,979
------------ ------------ ------------
$ 666,990 $ 612,055 $ 1,279,539
ITALY
PERCENT OF NET ASSETS 0.32% 0.38% 0.43%
BENETTON GROUP SPA ADR 13,932 $ 547,702 12,616 $ 495,967 28,026 $ 1,101,772
FIAT SPA ADR 14,450 444,338 10,789 331,746 25,676 789,522
MONTEDISON SPA ADR 15,607 273,123 12,247 214,323 25,877 452,848
------------ ------------ ------------
$ 1,265,163 $ 1,042,036 $ 2,344,142
JAPAN
PERCENT OF NET ASSETS 3.27% 4.56% 4.65%
CANON INC. ADR 8,945 $ 380,163 8,735 $ 371,238 17,650 $ 750,125
CSK CORP. ADR 11,320 1,290,480 11,011 1,255,254 22,252 2,536,728
FUJI PHOTO FILM -ORDINARY
SHARES ADR 5,824 259,168 5,656 251,692 11,430 508,635
HITACHI LTD. ADR 4,458 618,269 4,384 608,006 8,866 1,229,603
HONDA MOTOR COMPANY LTD.
ADR 3,477 234,698 3,272 220,860 6,624 447,120
ITO-YOKADO CO. LTD. ADR 9,310 549,872 9,102 537,587 18,384 1,085,805
JAPAN AIR LINES ADR 57,475 283,783 56,364 278,297 113,907 562,416
KIRIN BREWERY CO. LTD.
ADR 8,966 1,065,833 8,880 1,055,610 17,942 2,132,855
KUBOTA CORP. ADR 8,576 518,848 8,395 507,898 16,960 1,026,080
KYOCERA CORP. ADR 4,652 855,677 4,520 831,398 9,134 1,680,085
MAKITA CORP. ADR 8,009 66,074 7,967 65,728 16,103 132,850
MATSUSHITA ELECTRIC
INDUSTRIAL CO. 1,561 458,836 1,551 455,897 3,126 918,849
MITSUBISHI CORP. ADR 26,718 394,502 26,300 388,330 53,150 784,781
MITSUI & CO. ADR 3,622 443,242 3,564 436,145 7,195 880,488
NEC CORP. ADR 6,910 779,966 6,744 761,229 13,629 1,538,373
NIPPON TELEGRAPH &
TELEPHONE CORP. ADR 10,340 703,120 10,118 688,024 20,444 1,390,192
NISSAN MOTOR CO. LTD. ADR 21,254 166,047 20,999 164,055 42,437 331,539
PIONEER CORP. ADR 12,994 419,057 12,717 410,123 25,686 828,374
RICOH CORP. LTD. ADR 3,959 355,170 3,865 346,737 7,823 701,817
SONY CORP. ADR 2,650 830,444 2,643 828,250 5,336 1,672,169
TOKIO MARINE AND FIRE
INSURANCE CO. LTD. ADR 21,386 991,776 20,989 973,365 42,418 1,967,135
TOYOTA MOTOR CORP. ADR 14,281 1,161,224 12,649 1,028,522 25,584 2,080,299
------------ ------------ ------------
$ 12,826,249 $ 12,464,245 $ 25,186,318
NETHERLANDS
PERCENT OF NET ASSETS 1.20% 1.46% 1.65%
AEGON NV ADR 2,732 $ 190,216 1,713 $ 119,268 3,347 $ 233,035
ELSEVIER NV ADR 23,806 514,805 21,321 461,067 47,406 1,025,155
KLM ROYAL DUTCH AIRLINES
ADR 1,240 23,638 1,077 20,530 2,257 43,024
KONINKLIJKE AHOLD NV ADR 18,980 449,589 16,896 400,224 35,369 837,803
KONINKLIJKE PHILIPS
ELECTRONICS NV 2,986 571,819 2,673 511,880 6,815 1,305,073
ROYAL DUTCH PETROLEUM CO. 36,712 1,927,380 30,730 1,613,325 68,672 3,605,280
</TABLE>
81
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
UNILEVER NV 2,195 $ 99,873 7,820 $ 355,810
----------- ------------
$ 365,403 $ 1,765,196
NEW ZEALAND
PERCENT OF NET ASSETS 0.03% 0.04%
TELECOM CORP. OF NEW
ZEALAND LTD. 759 $ 25,569 2,558 $ 86,173
----------- ------------
SPAIN
PERCENT OF NET ASSETS 0.30% 0.47%
BANCO BILBAO VIZCAYA
ARGENTARIA SA ADR 2,910 $ 43,286 10,108 $ 150,357
BANCO SANTANDER CENTRAL
HISPANO SA ADR 10,054 105,567 36,748 385,854
REPSOL SA 2,001 38,269 7,400 141,525
TELEFONICA SA ADR+ 1,065 92,322 4,714 408,645
----------- ------------
$ 279,444 $ 1,086,381
SWEDEN
PERCENT OF NET ASSETS 0.23% 0.33%
SKF AB ADR 421 $ 8,367 1,631 $ 32,416
SWEDISH MATCH AB ADR 752 24,628 2,202 72,116
TELEFONAKTIEBOLAGET LM
ERICSSON 1,832 175,872 7,026 674,496
----------- ------------
$ 208,867 $ 779,028
UNITED KINGDOM
PERCENT OF NET ASSETS 1.62% 2.66%
ALLIED ZURICH PLC ADR 2,120 $ 36,146 8,258 $ 140,799
ASTRAZENECA PLC ADR 3,373 111,731 12,305 407,603
BP AMOCO PLC ADR 3,408 160,176 16,200 761,400
BRITISH AIRWAYS PLC ADR 390 18,257 1,600 74,900
BRITISH AMERICAN TOBACCO
PLC ADR 521 4,429 8,158 69,343
BRITISH SKY BROADCASTING
PLC ADR 447 71,464 1,785 285,377
BRITISH TELECOM PLC ADR 1,564 278,783 6,223 1,109,250
CADBURY SCHWEPPES PLC ADR 2,334 57,475 8,124 200,054
CORUS GROUP PLC 518 8,903 1,572 27,019
DIAGEO PLC ADR 2,587 79,712 9,595 295,646
GLAXO WELLCOME PLC ADR 2,560 124,800 9,392 457,860
HANSON PLC ADR 1,699 54,156 5,756 183,473
IMPERIAL CHEMICAL
INDUSTRIES PLC ADR 749 23,219 2,641 81,871
NATIONAL POWER PLC ADR 638 15,472 2,100 50,925
PREMIER FARNELL PLC ADR 1,699 22,830 6,319 84,912
REUTERS GROUP PLC ADR 384 51,120 1,713 228,043
SMITHKLINE BEECHAM PLC
ADR 1,445 81,191 5,495 308,750
VODAFONE AIRTOUCH PLC ADR 5,550 320,166 23,320 1,345,273
----------- ------------
$ 1,520,030 $ 6,112,498
TOTAL INTERNATIONAL
COMMON STOCKS
(COST $3,833,980,
$14,936,952, $37,989,252,
$34,366,296 AND
$78,860,822,
RESPECTIVELY) $ 6,047,085 $ 24,161,541
TOTAL COMMON STOCKS
(COST $13,028,628,
$70,725,149,
$185,969,917,
$153,512,805 AND
$388,204,468,
RESPECTIVELY) $19,785,309 $101,307,635
</TABLE>
82
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
UNILEVER NV 21,707 $ 987,669 19,033 $ 866,002 40,764 $ 1,854,762
------------ ------------ ------------
$ 4,665,116 $ 3,992,296 $ 8,904,132
NEW ZEALAND
PERCENT OF NET ASSETS 0.06% 0.08% 0.08%
TELECOM CORP. OF NEW
ZEALAND LTD. 6,773 $ 228,165 6,171 $ 207,886 12,640 $ 425,810
------------ ------------ ------------
SPAIN
PERCENT OF NET ASSETS 0.64% 0.85% 0.87%
BANCO BILBAO VIZCAYA
ARGENTARIA SA ADR 26,195 $ 389,651 23,603 $ 351,095 49,981 $ 743,467
BANCO SANTANDER CENTRAL
HISPANO SA ADR 76,428 802,494 73,588 772,674 144,836 1,520,778
REPSOL SA 16,225 310,303 15,550 297,394 30,289 579,277
TELEFONICA SA ADR+ 11,626 1,007,829 10,343 896,609 20,912 1,812,809
------------ ------------ ------------
$ 2,510,277 $ 2,317,772 $ 4,656,331
SWEDEN
PERCENT OF NET ASSETS 0.46% 0.59% 0.68%
SKF AB ADR 4,277 $ 85,005 3,864 $ 76,797 8,311 $ 165,181
SWEDISH MATCH AB ADR 5,227 171,184 4,955 162,276 9,643 315,808
TELEFONAKTIEBOLAGET LM
ERICSSON 16,584 1,592,064 14,128 1,356,288 33,271 3,194,016
------------ ------------ ------------
$ 1,848,253 $ 1,595,361 $ 3,675,005
UNITED KINGDOM
PERCENT OF NET ASSETS 3.79% 4.78% 4.90%
ALLIED ZURICH PLC ADR 17,502 $ 298,409 16,798 $ 286,406 28,571 $ 487,136
ASTRAZENECA PLC ADR 26,836 888,943 25,456 843,230 49,949 1,654,561
BP AMOCO PLC ADR 38,088 1,790,136 33,708 1,584,276 27,912 1,311,864
BRITISH AIRWAYS PLC ADR 4,095 191,697 3,829 179,245 7,749 362,750
BRITISH AMERICAN TOBACCO
PLC ADR 18,103 153,876 9,900 84,150 57,974 492,779
BRITISH SKY BROADCASTING
PLC ADR 4,577 731,748 4,058 648,773 8,663 1,384,997
BRITISH TELECOM PLC ADR 15,123 2,695,675 12,465 2,221,886 29,297 5,222,190
CADBURY SCHWEPPES PLC ADR 18,122 446,254 17,056 420,004 34,868 858,625
CORUS GROUP PLC 4,042 69,472 3,120 53,625 7,173 123,286
DIAGEO PLC ADR 24,302 748,805 21,726 669,432 48,928 1,507,594
GLAXO WELLCOME PLC ADR 22,531 1,098,386 19,936 971,880 46,042 2,244,548
HANSON PLC ADR 15,127 482,173 13,592 433,241 29,816 950,385
IMPERIAL CHEMICAL
INDUSTRIES PLC ADR 7,033 218,023 6,573 203,763 13,097 406,007
NATIONAL POWER PLC ADR 5,631 136,552 5,121 124,184 10,415 252,564
PREMIER FARNELL PLC ADR 16,299 219,018 13,376 179,740 29,709 399,215
REUTERS GROUP PLC ADR 4,404 586,283 3,956 526,643 8,631 1,149,002
SMITHKLINE BEECHAM PLC
ADR 13,771 773,758 12,318 692,118 28,217 1,585,443
VODAFONE AIRTOUCH PLC ADR 57,720 3,329,723 49,503 2,855,704 105,290 6,073,917
------------ ------------ ------------
$ 14,858,931 $ 12,978,300 $ 26,466,863
TOTAL INTERNATIONAL
COMMON STOCKS
(COST $3,833,980,
$14,936,952, $37,989,252,
$34,366,296 AND
$78,860,822,
RESPECTIVELY) $ 59,860,728 $ 53,408,029 $112,893,950
TOTAL COMMON STOCKS
(COST $13,028,628,
$70,725,149,
$185,969,917,
$153,512,805 AND
$388,204,468,
RESPECTIVELY) $265,000,313 $224,892,523 $533,014,020
</TABLE>
83
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
PRINCIPAL VALUE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
U.S. TREASURY BONDS &
NOTES
PERCENT OF NET ASSETS 64.93% 49.34%
U.S. TREASURY BONDS,
5.25%, 11/15/28 0 $ -- 0 $ --
U.S. TREASURY BONDS,
6.00%, 02/15/26 0 -- 0 --
U.S. TREASURY BONDS,
6.13%, 11/15/27-08/15/29 0 -- 150,000 147,375
U.S. TREASURY BONDS,
6.25%, 08/15/23 200,000 196,625 0 --
U.S. TREASURY BONDS,
6.38%, 08/15/27 0 -- 0 --
U.S. TREASURY BONDS,
6.50%, 11/15/26 0 -- 0 --
U.S. TREASURY BONDS,
6.63%, 02/15/27 0 -- 0 --
U.S. TREASURY BONDS,
6.75%, 08/15/26 0 -- 0 --
U.S. TREASURY BONDS,
6.88%, 08/15/25 0 -- 0 --
U.S. TREASURY BONDS,
7.13%, 02/15/23 0 -- 350,000 379,860
U.S. TREASURY BONDS,
7.25%, 05/15/16-08/15/22 0 -- 0 --
U.S. TREASURY BONDS,
7.50%, 11/15/16-11/15/24 150,000 170,812 0 --
U.S. TREASURY BONDS,
7.63%, 11/15/22-02/15/25 0 -- 0 --
U.S. TREASURY BONDS,
7.88%, 02/15/21 0 -- 0 --
U.S. TREASURY BONDS,
8.00%, 11/15/21 100,000 118,219 0 --
U.S. TREASURY BONDS,
8.13%, 08/15/19-08/15/21 0 -- 200,000 238,813
U.S. TREASURY BONDS,
8.25%, 05/15/00-05/15/05 500,000 503,125 350,000 352,187
U.S. TREASURY BONDS,
8.50%, 02/15/20 0 -- 0 --
U.S. TREASURY BONDS,
8.75%, 05/15/17-08/15/20 0 -- 0 --
U.S. TREASURY BONDS,
8.88%, 08/15/17-02/15/19 0 -- 0 --
U.S. TREASURY BONDS,
9.00%, 11/15/18 0 -- 0 --
U.S. TREASURY BONDS,
9.13%, 05/15/09-05/15/18 0 -- 400,000 431,500
U.S. TREASURY BONDS,
9.38%, 02/15/06 950,000 1,073,204 600,000 677,813
U.S. TREASURY BONDS,
10.00%, 05/15/10 0 -- 0 --
U.S. TREASURY BONDS,
10.63%, 11/15/12-08/15/15 0 -- 0 --
U.S. TREASURY BONDS,
10.75%, 02/15/03-08/15/05 3,350,000 3,801,080 3,450,000 4,050,251
U.S. TREASURY BONDS,
11.13%, 08/15/03 1,650,000 1,870,687 400,000 453,500
U.S. TREASURY BONDS,
11.25%, 02/15/15 200,000 287,813 400,000 575,625
U.S. TREASURY BONDS,
11.63%, 11/15/02-11/15/04 0 -- 1,400,000 1,631,890
U.S. TREASURY BONDS,
11.75%, 11/15/14 0 -- 0 --
U.S. TREASURY BONDS,
11.88%, 11/15/03 0 -- 0 --
U.S. TREASURY BONDS,
12.00%, 05/15/05-08/15/13 200,000 245,563 500,000 613,906
U.S. TREASURY BONDS,
12.38%, 05/15/04 0 -- 1,500,000 1,804,687
U.S. TREASURY BONDS,
12.50%, 08/15/14 0 -- 0 --
U.S. TREASURY BONDS,
13.13%, 05/15/01 0 -- 0 --
U.S. TREASURY BONDS,
13.75%, 08/15/04 500,000 633,437 0 --
U.S. TREASURY NOTES,
4.25%, 11/15/03 0 -- 1,700,000 1,571,437
U.S. TREASURY NOTES,
4.75%, 02/15/04-11/15/08 1,600,000 1,464,312 4,050,000 3,636,564
U.S. TREASURY NOTES,
4.88%, 03/31/01 0 -- 1,300,000 1,279,687
U.S. TREASURY NOTES,
5.00%, 04/30/01 1,100,000 1,083,157 1,600,000 1,575,501
U.S. TREASURY NOTES,
5.25%, 08/15/03-05/15/04 600,000 570,375 3,200,000 3,055,500
U.S. TREASURY NOTES,
5.38%, 06/30/03 1,000,000 963,438 0 --
U.S. TREASURY NOTES,
5.50%, 01/31/03-05/15/09 2,675,000 2,524,632 8,600,000 8,200,439
U.S. TREASURY NOTES,
5.63%, 05/15/01-05/15/08 1,700,000 1,613,937 6,050,000 5,767,001
U.S. TREASURY NOTES,
5.75%, 10/31/02-08/15/03 5,350,000 5,237,500 5,550,000 5,429,078
U.S. TREASURY NOTES,
5.88%, 10/31/01-11/15/05 4,050,000 3,945,891 5,850,000 5,682,033
U.S. TREASURY NOTES,
6.00%, 07/31/02-08/15/09 900,000 865,688 3,700,000 3,602,126
U.S. TREASURY NOTES,
6.13%, 12/31/01-08/15/07 4,000,000 3,886,875 6,100,000 6,002,000
U.S. TREASURY NOTES,
6.25%, 04/30/01-02/15/07 7,500,000 7,433,000 9,450,000 9,354,096
U.S. TREASURY NOTES,
6.38%, 03/31/01-08/15/02 4,700,000 4,684,689 6,200,000 6,180,313
U.S. TREASURY NOTES,
6.50%, 05/31/01-10/15/06 7,550,000 7,505,690 12,400,000 12,307,941
U.S. TREASURY NOTES,
6.63%, 06/30/01-05/15/07 1,800,000 1,803,375 8,350,000 8,357,580
U.S. TREASURY NOTES,
6.88%, 05/15/06 2,500,000 2,522,658 3,000,000 3,027,189
U.S. TREASURY NOTES,
7.00%, 07/15/06 2,000,000 2,031,250 4,500,000 4,570,313
U.S. TREASURY NOTES,
7.25%, 08/15/04 1,250,000 1,278,125 3,300,000 3,374,250
U.S. TREASURY NOTES,
7.50%, 11/15/01-02/15/05 2,350,000 2,404,938 4,150,000 4,228,610
U.S. TREASURY NOTES,
7.88%, 11/15/04 0 -- 700,000 733,469
U.S. TREASURY NOTES,
8.00%, 05/15/01 350,000 356,344 3,750,000 3,817,969
----------- ------------
TOTAL U.S. TREASURY BONDS
& NOTES
(COST $62,768,855,
$116,342,034,
$116,197,852, $41,129,281
AND $4,762,953,
RESPECTIVELY) $61,076,439 $113,110,503
</TABLE>
84
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
PRINCIPAL VALUE PRINCIPAL VALUE PRINCIPAL VALUE
<S> <C> <C> <C> <C> <C> <C>
U.S. TREASURY BONDS &
NOTES
PERCENT OF NET ASSETS 28.81% 14.88% 0.86%
U.S. TREASURY BONDS,
5.25%, 11/15/28 550,000 $ 473,860 0 $ -- 0 $ --
U.S. TREASURY BONDS,
6.00%, 02/15/26 0 -- 900,000 860,907 0 --
U.S. TREASURY BONDS,
6.13%, 11/15/27-08/15/29 1,100,000 1,075,500 1,600,000 1,563,250 300,000 294,750
U.S. TREASURY BONDS,
6.25%, 08/15/23 1,000,000 983,125 1,300,000 1,278,062 450,000 442,406
U.S. TREASURY BONDS,
6.38%, 08/15/27 0 -- 600,000 603,000 0 --
U.S. TREASURY BONDS,
6.50%, 11/15/26 600,000 612,188 600,000 612,188 0 --
U.S. TREASURY BONDS,
6.63%, 02/15/27 500,000 518,125 500,000 518,125 0 --
U.S. TREASURY BONDS,
6.75%, 08/15/26 0 -- 500,000 525,625 0 --
U.S. TREASURY BONDS,
6.88%, 08/15/25 500,000 532,031 600,000 638,438 0 --
U.S. TREASURY BONDS,
7.13%, 02/15/23 0 -- 910,000 987,635 0 --
U.S. TREASURY BONDS,
7.25%, 05/15/16-08/15/22 750,000 813,610 1,800,000 1,954,563 375,000 407,993
U.S. TREASURY BONDS,
7.50%, 11/15/16-11/15/24 0 -- 2,750,000 3,078,094 0 --
U.S. TREASURY BONDS,
7.63%, 11/15/22-02/15/25 1,000,000 1,148,015 2,650,000 3,055,313 500,000 577,969
U.S. TREASURY BONDS,
7.88%, 02/15/21 0 -- 650,000 756,031 0 --
U.S. TREASURY BONDS,
8.00%, 11/15/21 700,000 827,532 500,000 591,094 0 --
U.S. TREASURY BONDS,
8.13%, 08/15/19-08/15/21 1,650,000 1,956,985 1,350,000 1,611,423 250,000 295,547
U.S. TREASURY BONDS,
8.25%, 05/15/00-05/15/05 0 -- 0 -- 0 --
U.S. TREASURY BONDS,
8.50%, 02/15/20 0 -- 200,000 245,250 0 --
U.S. TREASURY BONDS,
8.75%, 05/15/17-08/15/20 1,000,000 1,256,688 2,350,000 2,925,203 900,000 1,118,437
U.S. TREASURY BONDS,
8.88%, 08/15/17-02/15/19 500,000 629,219 1,950,000 2,428,969 0 --
U.S. TREASURY BONDS,
9.00%, 11/15/18 350,000 444,281 350,000 444,281 0 --
U.S. TREASURY BONDS,
9.13%, 05/15/09-05/15/18 500,000 539,375 600,000 767,063 0 --
U.S. TREASURY BONDS,
9.38%, 02/15/06 1,050,000 1,186,172 800,000 903,750 0 --
U.S. TREASURY BONDS,
10.00%, 05/15/10 0 -- 330,000 374,035 0 --
U.S. TREASURY BONDS,
10.63%, 11/15/12-08/15/15 650,000 867,235 900,000 1,214,657 450,000 544,219
U.S. TREASURY BONDS,
10.75%, 02/15/03-08/15/05 1,400,000 1,654,188 0 -- 50,000 59,078
U.S. TREASURY BONDS,
11.13%, 08/15/03 600,000 680,250 0 -- 0 --
U.S. TREASURY BONDS,
11.25%, 02/15/15 850,000 1,223,204 600,000 863,438 0 --
U.S. TREASURY BONDS,
11.63%, 11/15/02-11/15/04 0 -- 0 -- 0 --
U.S. TREASURY BONDS,
11.75%, 11/15/14 450,000 608,625 600,000 811,500 0 --
U.S. TREASURY BONDS,
11.88%, 11/15/03 950,000 1,107,641 0 -- 0 --
U.S. TREASURY BONDS,
12.00%, 05/15/05-08/15/13 820,000 1,039,306 1,100,000 1,462,312 0 --
U.S. TREASURY BONDS,
12.38%, 05/15/04 700,000 842,187 0 -- 0 --
U.S. TREASURY BONDS,
12.50%, 08/15/14 350,000 488,250 350,000 488,250 0 --
U.S. TREASURY BONDS,
13.13%, 05/15/01 0 -- 100,000 107,687 0 --
U.S. TREASURY BONDS,
13.75%, 08/15/04 100,000 126,687 0 -- 0 --
U.S. TREASURY NOTES,
4.25%, 11/15/03 1,200,000 1,109,250 0 -- 0 --
U.S. TREASURY NOTES,
4.75%, 02/15/04-11/15/08 3,000,000 2,746,344 0 -- 0 --
U.S. TREASURY NOTES,
4.88%, 03/31/01 1,900,000 1,870,312 0 -- 0 --
U.S. TREASURY NOTES,
5.00%, 04/30/01 0 -- 0 -- 0 --
U.S. TREASURY NOTES,
5.25%, 08/15/03-05/15/04 3,400,000 3,246,376 250,000 239,531 0 --
U.S. TREASURY NOTES,
5.38%, 06/30/03 0 -- 0 -- 0 --
U.S. TREASURY NOTES,
5.50%, 01/31/03-05/15/09 6,800,000 6,449,439 0 -- 0 --
U.S. TREASURY NOTES,
5.63%, 05/15/01-05/15/08 7,600,000 7,303,971 1,000,000 943,750 0 --
U.S. TREASURY NOTES,
5.75%, 10/31/02-08/15/03 1,500,000 1,465,531 300,000 291,937 0 --
U.S. TREASURY NOTES,
5.88%, 10/31/01-11/15/05 9,900,000 9,693,127 2,200,000 2,117,500 300,000 288,750
U.S. TREASURY NOTES,
6.00%, 07/31/02-08/15/09 4,000,000 3,901,657 0 -- 0 --
U.S. TREASURY NOTES,
6.13%, 12/31/01-08/15/07 4,450,000 4,370,313 450,000 435,938 0 --
U.S. TREASURY NOTES,
6.25%, 04/30/01-02/15/07 7,350,000 7,295,657 150,000 148,969 0 --
U.S. TREASURY NOTES,
6.38%, 03/31/01-08/15/02 1,350,000 1,348,031 575,000 575,000 0 --
U.S. TREASURY NOTES,
6.50%, 05/31/01-10/15/06 16,730,000 16,629,497 1,500,000 1,488,938 200,000 198,375
U.S. TREASURY NOTES,
6.63%, 06/30/01-05/15/07 6,850,000 6,857,713 0 -- 0 --
U.S. TREASURY NOTES,
6.88%, 05/15/06 2,500,000 2,522,658 1,000,000 1,009,063 300,000 302,719
U.S. TREASURY NOTES,
7.00%, 07/15/06 4,200,000 4,265,625 600,000 609,375 0 --
U.S. TREASURY NOTES,
7.25%, 08/15/04 3,800,000 3,885,500 250,000 255,625 0 --
U.S. TREASURY NOTES,
7.50%, 11/15/01-02/15/05 4,650,000 4,768,970 700,000 724,282 100,000 103,469
U.S. TREASURY NOTES,
7.88%, 11/15/04 700,000 733,469 0 -- 0 --
U.S. TREASURY NOTES,
8.00%, 05/15/01 1,250,000 1,272,656 0 -- 0 --
------------ ------------ ------------
TOTAL U.S. TREASURY BONDS
& NOTES
(COST $62,768,855,
$116,342,034,
$116,197,852, $41,129,281
AND $4,762,953,
RESPECTIVELY) $113,370,375 $ 40,510,051 $ 4,633,712
</TABLE>
85
<PAGE>
LIFEPATH MASTER PORTFOLIOS PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
- ------------------------------------------------------------------------------
PRINCIPAL VALUE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS
PERCENT OF NET ASSETS 2.10% 3.74%
GOLDMAN SACHS FINANCIAL
SQUARE PRIME OBLIGATION
FUND++ 275,482 $ 275,482 568,684 $ 568,684
PROVIDIAN TEMP CASH MONEY
MARKET FUND++ 1,500,000 1,500,000 7,000,000 7,000,000
SHORT TERM INVESTMENT
COMPANY LIQUID ASSETS
PORTFOLIO++ 200,000 200,000 1,000,000 1,000,000
----------- ------------
TOTAL SHORT TERM
INSTRUMENTS
(COST $1,975,482,
$8,568,684, $25,720,454,
$19,498,975 AND
$49,462,092,
RESPECTIVELY) $ 1,975,482 $ 8,568,684
REPURCHASE AGREEMENTS
PERCENT OF NET ASSETS 13.34% 7.68%
MORGAN STANLEY TRI PARTY
REPURCHASE AGREEMENT,
DATED 2/29/00, DUE
03/01/00, WITH A MATURITY
VALUE OF $61,149,986 AND
AN EFFECTIVE YIELD OF
5.46%. 12,550,209 $12,550,209 17,612,597 $ 17,612,597
----------- ------------
TOTAL REPURCHASE
AGREEMENTS
(COST $12,550,209,
$17,612,597, $18,947,719,
$11,480,040 AND $550,149,
RESPECTIVELY) $12,550,209 $ 17,612,597
TOTAL INVESTMENTS IN
SECURITIES
(COST $90,323,174,
$213,248,464,
$346,835,942,
$225,621,101 AND
$442,979,662,
RESPECTIVELY) 101.41% $95,387,439 104.96% $240,599,419
OTHER ASSETS AND
LIABILITIES, NET (1.41)% (1,326,653) (4.96)% (11,367,800)
----------- ----------- ----------- ------------
TOTAL NET ASSETS 100.00% $94,060,786 100.00% $229,231,619
----------- ----------- ----------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
++ REPRESENTS INVESTMENT OF COLLATERAL RECEIVED FROM SECURITIES LENDING
TRANSACTIONS. SEE NOTE 4.
The accompanying notes are an integral part of the financial statements.
86
<PAGE>
PORTFOLIOS OF INVESTMENTS - FEBRUARY 29, 2000 LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
- ----------------------------------------------------------------------------------------------------------
PRINCIPAL VALUE PRINCIPAL VALUE PRINCIPAL VALUE
<S> <C> <C> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS
PERCENT OF NET ASSETS 6.54% 7.16% 9.16%
GOLDMAN SACHS FINANCIAL
SQUARE PRIME OBLIGATION
FUND++ 20,454 $ 20,454 6,498,975 $ 6,498,975 8,062,092 $ 8,062,092
PROVIDIAN TEMP CASH MONEY
MARKET FUND++ 17,700,000 17,700,000 12,000,000 12,000,000 19,400,000 19,400,000
SHORT TERM INVESTMENT
COMPANY LIQUID ASSETS
PORTFOLIO++ 8,000,000 8,000,000 1,000,000 1,000,000 22,000,000 22,000,000
------------ ------------ ------------
TOTAL SHORT TERM
INSTRUMENTS
(COST $1,975,482,
$8,568,684, $25,720,454,
$19,498,975 AND
$49,462,092,
RESPECTIVELY) $ 25,720,454 $ 19,498,975 $ 49,462,092
REPURCHASE AGREEMENTS
PERCENT OF NET ASSETS 4.81% 4.22% 0.10%
MORGAN STANLEY TRI PARTY
REPURCHASE AGREEMENT,
DATED 2/29/00, DUE
03/01/00, WITH A MATURITY
VALUE OF $61,149,986 AND
AN EFFECTIVE YIELD OF
5.46%. 18,947,719 $ 18,947,719 11,480,040 $ 11,480,040 550,149 $ 550,149
------------ ------------ ------------
TOTAL REPURCHASE
AGREEMENTS
(COST $12,550,209,
$17,612,597, $18,947,719,
$11,480,040 AND $550,149,
RESPECTIVELY) $ 18,947,719 $ 11,480,040 $ 550,149
TOTAL INVESTMENTS IN
SECURITIES
(COST $90,323,174,
$213,248,464,
$346,835,942,
$225,621,101 AND
$442,979,662,
RESPECTIVELY) 107.50% $423,038,861 108.88% $296,381,589 108.85% $587,659,973
OTHER ASSETS AND
LIABILITIES, NET (7.50)% (29,508,534) (8.88)% (24,162,912) (8.85)% (47,800,075)
----------- ------------ ----------- ------------ ----------- ------------
TOTAL NET ASSETS 100.00% $393,530,327 100.00% $272,218,677 100.00% $539,859,898
----------- ------------ ----------- ------------ ----------- ------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
++ REPRESENTS INVESTMENT OF COLLATERAL RECEIVED FROM SECURITIES LENDING
TRANSACTIONS. SEE NOTE 4.
The accompanying notes are an integral part of the financial statements.
87
<PAGE>
LIFEPATH MASTER PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES - FEBRUARY 29,
2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010 LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS
IN SECURITIES, AT
MARKET VALUE (SEE
COST BELOW) (NOTE
1)................... $ 82,837,230 $ 222,986,822 $ 404,091,142 $ 284,901,549 $ 587,109,824
REPURCHASE AGREEMENTS
(NOTE 1)............. 12,550,209 17,612,597 18,947,719 11,480,040 550,149
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL INVESTMENTS IN
SECURITIES........... 95,387,439 240,599,419 423,038,861 296,381,589 587,659,973
--------------- ---------------- ---------------- ---------------- ----------------
RECEIVABLES
INVESTMENT SECURITIES
SOLD................. -- -- -- -- 4,603,316
DIVIDENDS AND
INTEREST............. 733,160 1,584,358 1,650,737 661,214 590,671
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL ASSETS............. 96,120,599 242,183,777 424,689,598 297,042,803 592,853,960
--------------- ---------------- ---------------- ---------------- ----------------
LIABILITIES
PAYABLES
INVESTMENT SECURITIES
PURCHASED............ -- 4,182,684 5,087,413 5,080,237 3,055,935
COLLATERAL FOR
SECURITIES LOANED
(NOTE 4)............. 1,975,482 8,568,684 25,720,454 19,498,975 49,462,092
DUE TO BGI (NOTE 2).... 84,331 200,790 351,404 244,914 476,035
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL LIABILITIES........ 2,059,813 12,952,158 31,159,271 24,824,126 52,994,062
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL NET ASSETS......... $ 94,060,786 $ 229,231,619 $ 393,530,327 $ 272,218,677 $ 539,859,898
--------------- ---------------- ---------------- ---------------- ----------------
INVESTMENTS AT COST...... $ 90,323,174 $ 213,248,464 $ 346,835,942 $ 225,621,101 $ 442,979,662
--------------- ---------------- ---------------- ---------------- ----------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
88
<PAGE>
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED FEBRUARY 29, 2000 LIFEPATH MASTER
PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010 LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
DIVIDENDS+............. $ 311,233 $ 1,455,403 $ 3,532,076 $ 3,086,365 $ 6,551,745
INTEREST++............. 4,610,946 7,291,443 7,251,732 3,121,291 1,275,146
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL INVESTMENT
INCOME................. 4,922,179 8,746,846 10,783,808 6,207,656 7,826,891
--------------- ---------------- ---------------- ---------------- ----------------
EXPENSES (NOTE 2)
ADVISORY FEES.......... 592,139 1,282,599 2,101,737 1,501,573 2,790,585
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL EXPENSES........... 592,139 1,282,599 2,101,737 1,501,573 2,790,585
--------------- ---------------- ---------------- ---------------- ----------------
NET INVESTMENT INCOME.... 4,330,040 7,464,247 8,682,071 4,706,083 5,036,306
--------------- ---------------- ---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
- -------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 2,506,435 17,805,780 33,627,531 31,399,199 52,425,320
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (1,106,762) (6,180,937) (2,423,834) (1,042,385) 19,635,208
--------------- ---------------- ---------------- ---------------- ----------------
NET GAIN ON
INVESTMENTS............ 1,399,673 11,624,843 31,203,697 30,356,814 72,060,528
--------------- ---------------- ---------------- ---------------- ----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. $ 5,729,713 $ 19,089,090 $ 39,885,768 $ 35,062,897 $ 77,096,834
--------------- ---------------- ---------------- ---------------- ----------------
+ NET OF FOREIGN
WITHHOLDING TAX
OF:................ $ 4,124 $ 24,709 $ 46,647 $ 50,329 $ 82,544
++ INTEREST INCOME
INCLUDES SECURITIES
LENDING INCOME
OF:................. $ 16,448 $ 52,205 $ 90,008 $ 65,081 $ 142,139
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
89
<PAGE>
LIFEPATH MASTER PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME MASTER PORTFOLIO LIFEPATH 2010 MASTER PORTFOLIO
------------------------------------ ------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 2000 FEBRUARY 28, 1999 FEBRUARY 29, 2000 FEBRUARY 28, 1999
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT
INCOME............... $ 4,330,040 $ 4,542,654 $ 7,464,247 $ 7,047,953
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 2,506,435 4,718,618 17,805,780 13,218,840
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (1,106,762) (1,372,957) (6,180,937) 2,322,667
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 5,729,713 7,888,315 19,089,090 22,589,460
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM INTERESTHOLDER
TRANSACTIONS........... (28,409,337) (7,346,906) (33,418,533) 12,753,903
----------------- ----------------- ----------------- -----------------
INCREASE (DECREASE) IN
NET ASSETS............. (22,679,624) 541,409 (14,329,443) 35,343,363
----------------- ----------------- ----------------- -----------------
NET ASSETS
- -----------------------------------------------------------------------------------------------------
BEGINNING OF PERIOD.... 116,740,410 116,199,001 243,561,062 208,217,699
----------------- ----------------- ----------------- -----------------
END OF PERIOD............ $ 94,060,786 $ 116,740,410 $ 229,231,619 $ 243,561,062
----------------- ----------------- ----------------- -----------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
90
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 MASTER PORTFOLIO LIFEPATH 2030 MASTER PORTFOLIO
------------------------------------ ------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 29, 2000 FEBRUARY 28, 1999 FEBRUARY 29, 2000 FEBRUARY 28, 1999
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT
INCOME............... $ 8,682,071 $ 7,913,106 $ 4,706,083 $ 4,472,364
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 33,627,531 24,960,119 31,399,199 17,728,114
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (2,423,834) 7,187,708 (1,042,385) 10,724,507
----------------- ----------------- ----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 39,885,768 40,060,933 35,062,897 32,924,985
----------------- ----------------- ----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM INTERESTHOLDER
TRANSACTIONS........... (12,519,074) (168,062) (39,674,638) 10,295,060
----------------- ----------------- ----------------- -----------------
INCREASE (DECREASE) IN
NET ASSETS............. 27,366,694 39,892,871 (4,611,741) 43,220,045
----------------- ----------------- ----------------- -----------------
NET ASSETS
- -----------------------------------------------------------------------------------------------------
BEGINNING OF PERIOD.... 366,163,633 326,270,762 276,830,418 233,610,373
----------------- ----------------- ----------------- -----------------
END OF PERIOD............ $ 393,530,327 $ 366,163,633 $ 272,218,677 $ 276,830,418
----------------- ----------------- ----------------- -----------------
<CAPTION>
LIFEPATH 2040 MASTER PORTFOLIO
------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
FEBRUARY 29, 2000 FEBRUARY 28, 1999
<S> <C> <C>
- -------------------------
FROM OPERATIONS
NET INVESTMENT
INCOME............... $ 5,036,306 $ 5,019,405
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 52,425,320 34,827,042
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 19,635,208 23,947,962
----------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 77,096,834 63,794,409
----------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM INTERESTHOLDER
TRANSACTIONS........... (29,755,821) 23,995,369
----------------- -----------------
INCREASE (DECREASE) IN
NET ASSETS............. 47,341,013 87,789,778
----------------- -----------------
NET ASSETS
- -------------------------
BEGINNING OF PERIOD.... 492,518,885 404,729,107
----------------- -----------------
END OF PERIOD............ $ 539,859,898 $ 492,518,885
----------------- -----------------
</TABLE>
91
<PAGE>
LIFEPATH MASTER PORTFOLIOS NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
- --------------------------------------------------------------------------------
ORGANIZATION
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 March 1, 1994. MIP currently
issues the following separate portfolios: Asset Allocation, Bond Index,
Extended Index, International Index, LifePath Income (formerly LifePath 2000),
LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market,
S&P 500 Index and U.S. Equity Index Master Portfolios.
These financial statements relate to the LifePath Income, LifePath 2010,
LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a
"Master Portfolio", collectively the "Master Portfolios").
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 each 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. Original issue discount and discount on securities
purchased are accreted as interest income using a constant yield to maturity
method. Premiums on securities purchased are amortized as a reduction in
interest income using a constant yield to maturity method.
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify as a partnership for federal income
tax purposes. Each 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, each investor in a Master Portfolio will be taxed on its
allocable share of the partnership's income and capital gains for the purposes
of determining its federal income tax liability. The determination of such
share will be made in accordance with the applicable sections of the Internal
Revenue Code of 1986, as amended (the "Code").
It is intended that each Master Portfolio's assets, income and allocations
will be managed in such a way that an entity qualifying as a regulated
investment company investing in a Master Portfolio will be able to satisfy the
requirements of Subchapter M of the Code, assuming for federal income tax
purposes that the regulated investment company invested all of its assets in
the corresponding Master Portfolio.
FUTURES CONTRACTS
The Master Portfolios may purchase long 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 Portfolios are
required to pledge to the broker an
92
<PAGE>
NOTES TO FINANCIAL STATEMENTS LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
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 Portfolios 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 Portfolios as unrealized gains or losses. When the
contract is closed, the Master Portfolios 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 Portfolios are
required to segregate cash, U.S. Government securities or high quality, liquid
debt instruments in connection with long 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 February 29, 2000 there were
no open long futures contracts outstanding.
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 the
repurchase price. The repurchase agreements entered into on February 29, 2000
by the Master Portfolios are fully collateralized by U.S. Government
obligations with a rate of 5.88%, a maturity date of 7/6/00 and an aggregate
market value of $62,391,160.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
- --------------------------------------------------------------------------------
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.55% of the average daily net assets of each of
the Master Portfolios as compensation for its advisory services. BGFA is an
indirect subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to each 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 sponsor and placement agent for the Master
Portfolios.
MIP has entered into administration services arrangements with BGI and
Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Master Portfolios, such as managing and
coordinating third-party service relationships. BGI and Stephens are not
entitled to compensation for providing administration services to the Master
Portfolios. BGI and Stephens may delegate certain of their administration
duties to sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of
February 29, 2000, these officers of Stephens 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
each Master Portfolio for the year ended February 29, 2000, were as follows:
<TABLE>
<CAPTION>
Aggregate Purchases LifePath Income LifePath 2010 LifePath 2020 LifePath 2030 LifePath 2040
and Sales of: Master Portfolio Master Portfolio Master Portfolio Master Portfolio Master Portfolio
<S> <C> <C> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
PURCHASES AT COST $52,326,484 $92,442,800 $106,560,110 $38,058,978 $ 43,702,786
SALES PROCEEDS 52,026,336 75,349,856 83,909,136 34,187,575 46,302,908
OTHER SECURITIES:
PURCHASES AT COST $ 923,651 $16,024,511 $ 60,679,347 $31,799,468 $102,976,966
SALES PROCEEDS 9,105,148 40,010,051 74,749,654 65,388,779 120,893,953
</TABLE>
93
<PAGE>
LIFEPATH MASTER PORTFOLIOS NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
At February 29, 2000 the Master Portfolio's aggregate unrealized appreciation
and depreciation based on cost for federal income tax purposes was as
follows:
<TABLE>
<CAPTION>
Unrealized Unrealized Net Unrealized
Master Portfolio Tax Cost Appreciation Depreciation Appreciation
<S> <C> <C> <C> <C>
LIFEPATH INCOME MASTER
PORTFOLIO $ 90,364,993 $ 8,515,296 $ (3,492,850) $ 5,022,446
LIFEPATH 2010 MASTER PORTFOLIO 213,555,821 37,262,811 (10,219,213) 27,043,598
LIFEPATH 2020 MASTER PORTFOLIO 348,195,145 94,164,635 (19,320,919) 74,843,716
LIFEPATH 2030 MASTER PORTFOLIO 225,868,990 86,546,277 (16,033,678) 70,512,599
LIFEPATH 2040 MASTER PORTFOLIO 445,676,886 182,168,214 (40,185,127) 141,983,087
</TABLE>
4. PORTFOLIO SECURITIES LOANED
- --------------------------------------------------------------------------------
As of February 29, 2000, the Master Portfolios had loaned securities which
were collateralized by cash and money market mutual funds. Each Master
Portfolio receives transaction fees for providing services in connection with
the securities lending program. The risks to the Master Portfolios of
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 were as follows:
<TABLE>
<CAPTION>
Value of Value of
Master Portfolio Securities Collateral
<S> <C> <C>
LIFEPATH INCOME MASTER PORTFOLIO $ 1,892,099 $ 1,975,482
LIFEPATH 2010 MASTER PORTFOLIO 8,219,089 8,568,684
LIFEPATH 2020 MASTER PORTFOLIO 24,739,571 25,720,454
LIFEPATH 2030 MASTER PORTFOLIO 18,711,674 19,498,975
LIFEPATH 2040 MASTER PORTFOLIO 47,529,134 49,462,092
</TABLE>
5. FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The ratios of expenses to average net assets, net investment income to
average net assets and portfolio turnover rates, excluding short-term
securities, for the Master Portfolios were as follows:
<TABLE>
<CAPTION>
For the For the
Year Ended Year Ended
February 29, February 28,
2000 1999
<S> <C> <C>
LIFEPATH INCOME MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS 4.03% 3.95%
PORTFOLIO TURNOVER RATE 55% 66%
LIFEPATH 2010 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS 3.20% 3.12%
PORTFOLIO TURNOVER RATE 49% 38%
LIFEPATH 2020 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS 2.27% 2.30%
PORTFOLIO TURNOVER RATE 43% 36%
LIFEPATH 2030 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS 1.72% 1.74%
PORTFOLIO TURNOVER RATE 26% 19%
LIFEPATH 2040 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS 0.99% 1.11%
PORTFOLIO TURNOVER RATE 29% 19%
</TABLE>
94
<PAGE>
INDEPENDENT AUDITORS' REPORT LIFEPATH MASTER PORTFOLIOS
- --------------------------------------------------------------------------------
TO THE INTERESTHOLDERS AND BOARD OF TRUSTEES OF
MASTER INVESTMENT PORTFOLIO:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments of LifePath Income (formerly LifePath 2000) Master
Portfolio, LifePath 2010 Master Portfolio, LifePath 2020 Master Portfolio,
LifePath 2030 Master Portfolio and LifePath 2040 Master Portfolio (five of the
portfolios comprising Master Investment Portfolio) as of February 29, 2000, and
the related statements of operations for the year then ended and the statements
of changes in net assets for each of the years in the two-year period then
ended. These financial statements are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements 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 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 February 29, 2000 by correspondence with
the custodian. As to securities purchased but not yet received, we performed
other appropriate auditing 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 referred to above present fairly, in
all material respects, the financial position of each of the aforementioned
portfolios of Master Investment Portfolio as of February 29, 2000, the results
of their operations for the year then ended, and the changes in their net assets
for each of the years in the two-year period then ended in conformity with
generally accepted accounting principles.
/s/ KPMG LLP
San Francisco, California
April 7, 2000
95
<PAGE>
Wells Fargo Bank, N.A. and certain of its affiliates provide investment
advisory, sub-advisory and/or shareholder services for the Wells Fargo
Funds. The Funds are sponsored and distributed by Stephens Inc., Member
NYSE/ SIPC. Wells Fargo Bank, N.A. and its affiliates are not affiliated
with Stephens Inc.
This report and the financial statements contained herein are submitted for
the general information of the shareholders of the Wells Fargo Funds. If
this report is used for promotional purposes, distribution of the report
must be accompanied or preceded by a current prospectus. For a prospectus
containing more complete information, including charges and expenses, call
1-800-222-8222. Read the prospectus carefully before you invest or send
money.
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P.O. Box 8266
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Dated Material
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