<PAGE>
[WELLS FARGO FUNDS LOGO]
SEMI-ANNUAL REPORT
LIFEPATH-REGISTERED TRADEMARK- FUNDS
August 31, 2000
LIFEPATH OPPORTUNITY FUND
LIFEPATH 2010-REGISTERED TRADEMARK- FUND
LIFEPATH 2020-REGISTERED TRADEMARK- FUND
LIFEPATH 2030-REGISTERED TRADEMARK- FUND
LIFEPATH 2040-REGISTERED TRADEMARK- FUND
<PAGE>
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...........................................................2
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
LIFEPATH MASTER PORTFOLIOS
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SCHEDULES OF INVESTMENTS....................................................18
STATEMENTS OF ASSETS AND LIABILITIES........................................72
STATEMENTS OF OPERATIONS....................................................73
STATEMENTS OF CHANGES IN NET ASSETS.........................................74
NOTES TO FINANCIAL STATEMENTS
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SIGNIFICANT ACCOUNTING POLICIES.............................................76
AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES...........................77
INVESTMENT PORTFOLIO TRANSACTIONS...........................................78
PORTFOLIO SECURITIES LOANED.................................................78
FINANCIAL HIGHLIGHTS........................................................79
<PAGE>
LIFEPATH FUNDS SHAREHOLDER LETTER
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DEAR VALUED SHAREHOLDER,
Maintaining a diversified portfolio is more important than ever in periods of
increased market volatility, and that's why investing in Wells Fargo
LifePath-Registered Trademark- Funds is an intelligent choice in these
turbulent times. The six-month period ended August 31, 2000, saw some dramatic
shifts in investor confidence. It began with bullish winds, as both the Nasdaq
Composite Index-SM- (the Nasdaq) and the Dow Jones Industrial Average (the
Dow) continued their upward climb. But only one month into the period, bearish
investors began dumping technology stocks, with the Nasdaq rapidly losing over
1,300 points. Investor uncertainty soon spread to other markets, with the Dow
shedding 400 points before recovering its upward momentum in August.
By the end of the period, investor confidence was up again, as seen by the
Dow closing at 11,215 in August, a nearly 1000 point gain over March. The
Nasdaq, however, failed to fully recover, ending the period nearly 900 points
lower than in March. The markets seemed to be seeking shelter in large cap
stocks, while avoiding international issues and new technology stocks.
Despite the ups and downs of the markets, the six-month period ended with the
Dow showing a strong increase of 7.84%, despite the losses measured in April
and May. The Lehman Brothers Aggregate Bond Index returned a very positive
5.53%.
The international sector was marked by significant volatility, with the
Morgan Stanley Capital International Europe, Australasia and Far East (MSCI
EAFE) Stock Index returning (3.59)%. Investors reacted negatively to tight
monetary policies and interest rate hikes by foreign central banks. For
example, the European Central Bank, which controls monetary policy for the
European Monetary Union (EMU) countries, tightened the money supply in the
face of increasing inflationary pressures.
The U.S. investment markets reacted to two interest rate increases by the
Federal Reserve Board (the Fed). In response to inflationary pressures, the
Fed raised interest rates by 25 basis points in March and then by 50 basis
points in May. However, by the end of the period, signs of a slowdown in the
U.S. economy were evident. Citing moderating inflation and strong productivity
gains, the Fed announced in August its intention to keep interest rates
unchanged for now.
As always you should work with your investment professional to fine-tune your
investment strategy to seek optimal returns, especially in a climate of rapid
change. The LifePath Funds, with their unique asset allocation strategy, are
designed to help guide you through periods of market volatility.
The LifePath Funds are part of the Wells Fargo Funds family, which offers 66
mutual funds with over $66 billion in assets. We offer a wide range of mutual
funds for every type of investment goal.
If you have any questions about your Wells Fargo Funds or need further
information, please contact your investment professional or call Investor
Services at 1-800-222-8222.
Sincerely,
<TABLE>
<S> <C>
[LOGO]
MICHAEL J. HOGAN
PRESIDENT
WELLS FARGO FUNDS
</TABLE>
1
<PAGE>
LIFEPATH FUNDS SEMI-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. A proprietary investment model that
examines a large amount of information, including economic trends, pricing and
other financial data, determines allocations among these asset classes. The
Funds are managed by Barclays Global Fund Advisors, one of the largest
providers of index products in the world.
PORTFOLIO REVIEW
--------------------------------------------------------------------------------
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, completed the six-month period ending August
31, 2000, with an allocation of 19.66% stocks, 54.94% short-term bonds and
25.40% cash.
Conversely, the LifePath 2040 Fund is appropriate for investors with longer
time horizons. Since the Fund reaches its target date in 40 years, 85.48% of
portfolio holdings were invested in stocks at August 31, 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 six-month period ended August 31, 2000, a difficult time for investors,
was marked by acute market uncertainty over prospects for economic growth,
interest rates, inflationary pressures and earnings reports. The downward
spiral of the Nasdaq Composite Index(1) (the Nasdaq) and technology stocks in
late spring was the catalyst that triggered investor fears as to the future
direction of the stock and bond markets. Market volatility underscored the
importance of portfolio diversification and risk reduction strategies. The
LifePath Funds broad diversification strategy allowed investors to weather
market volatility and reduce risk.
THE LIFEPATH 2040 FUND reported the best performance of the LifePath Funds, a
reflection of its high percentage of equity holdings. During the period, cash
as a percentage of total assets was decreased and diverted to bonds, with
Class A shares returning 8.22%(2) (excluding sales charges).
THE LIFEPATH 2030 FUND, like the 2040 Fund, benefited from higher than normal
equity allocations to large cap stocks, which performed comparatively better
than other equity classes in the period. Class A shares returned 8.13%(2)
(excluding sales charges) buoyed by diversion of cash into long-term bonds and
equities.
THE LIFEPATH 2020 FUND benefited from a strong bond market performance. The
LifePath 2020 Fund's 28% bond allocation and higher cash levels provided
investors with a return of 6.89%(2) for Class A shares (excluding sales
charges) for the period.
THE LIFEPATH 2010 FUND performance reflected a strategy of increased cash and
bonds with a slight decrease in equities. The LifePath 2010 Fund Class A
shares returned 5.56%(2) shares (excluding sales charges) tracking closer to
the bond index returns over the period.
THE LIFEPATH OPPORTUNITY FUND offered investors the potential for optimum
security and risk avoidance with an attractive return of 5.20%(2) shares
(excluding sales charges) for the Funds Class A shares despite increasing cash
to nearly a quarter of total Fund assets in the period.
STRATEGIC OUTLOOK
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Looking ahead into the final months of 2000, signs of a slowdown in U.S.
economic growth are evident, along with less inflationary pressures and lower
interest rates. After a decade of remarkable economic prosperity, the tide
appears to be turning. But given the unexpected twists and turns of the stock
market in the past two years, investors need to be prepared for rapid changes.
The LifePath Funds help to manage market uncertainty by allocating and
reallocating their respective asset mixes over the life of each Fund. The
focus is on higher returns in the early years, with a gradual reallocation of
assets over time toward more risk-averse assets. Since stocks have
historically outperformed bonds over the long-term, early allocations
generally focus on U.S. and foreign equity holdings. This strategic model
allows each of the LifePath Funds to be well-positioned, with respect to their
individual target dates to take advantage of rapidly shifting opportunities in
the stock and bond markets in the coming year.
2
<PAGE>
SEMI-ANNUAL REPORT LIFEPATH FUNDS
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AVERAGE ANNUAL TOTAL RETURNS(2) (%) (AS OF AUGUST 31, 2000)
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<TABLE>
<CAPTION>
With Load(3) Without Load
------------------------------------------ ------------------------------------------
Since Since
Inception Inception
Fund Name 6-Month 1-Year 5-Year (3/1/94) 6-Month 1-Year 5-Year (3/1/94)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
LIFEPATH OPPORTUNITY - A (0.86) 1.94 6.63 6.65 5.20 8.14 7.90 7.62
LIFEPATH OPPORTUNITY - B (0.12) 2.50 7.06 7.09 4.88 7.50 7.37 7.09
LIFEPATH OPPORTUNITY - C 3.93 6.63 7.35 7.08 4.93 7.63 7.35 7.08
LIFEPATH OPPORTUNITY - INSTITUTIONAL 5.23 8.10 7.89 7.62
LIFEPATH 2010 - A (0.54) 3.78 10.83 10.53 5.56 10.08 12.14 11.54
LIFEPATH 2010 - B 0.34 4.53 11.29 10.96 5.34 9.50 11.55 10.96
LIFEPATH 2010 - C 4.36 8.53 11.54 10.95 5.36 9.53 11.54 10.95
LIFEPATH 2010 - INSTITUTIONAL 5.75 10.10 12.15 11.54
LIFEPATH 2020 - A 0.76 6.23 14.09 13.42 6.89 12.75 15.45 14.46
LIFEPATH 2020 - B 1.66 7.24 14.62 13.88 6.66 12.24 14.85 13.88
LIFEPATH 2020 - C 5.64 11.21 14.83 13.86 6.64 12.21 14.83 13.86
LIFEPATH 2020 - INSTITUTIONAL 7.07 13.03 15.51 14.51
LIFEPATH 2030 - A 1.94 9.02 16.56 15.58 8.13 15.69 17.95 16.63
LIFEPATH 2030 - B 2.80 10.06 17.08 16.00 7.80 15.06 17.29 16.00
LIFEPATH 2030 - C 6.82 14.03 17.27 15.98 7.82 15.03 17.27 15.98
LIFEPATH 2030 - INSTITUTIONAL 8.23 15.77 17.96 16.65
LIFEPATH 2040 - A 1.98 10.66 18.95 17.73 8.22 17.42 20.36 18.81
LIFEPATH 2040 - B 2.97 11.84 19.47 18.15 7.97 16.84 19.67 18.15
LIFEPATH 2040 - C 6.96 15.83 19.68 18.15 7.96 16.83 19.68 18.15
LIFEPATH 2040 - INSTITUTIONAL 8.47 17.73 20.42 18.86
</TABLE>
PORTFOLIO ALLOCATION(4) (AS OF AUGUST 31, 2000)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
STOCKS BONDS CASH
<S> <C> <C> <C>
LIFEPATH OPPORTUNITY 20% 55% 25%
LIFEPATH 2010 39% 46% 15%
LIFEPATH 2020 59% 28% 13%
LIFEPATH 2030 73% 17% 10%
LIFEPATH 2040 85% 6% 9%
</TABLE>
3
<PAGE>
LIFEPATH FUNDS SEMI-ANNUAL REPORT
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FUND CHARACTERISTICS (AS OF AUGUST 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LifePath LifePath LifePath LifePath LifePath
Opportunity 2010 2020 2030 2040
<S> <C> <C> <C> <C> <C>
AVERAGE COUPON OF BOND PORTFOLIO 6.74% 6.58% 6.73% 7.45% 7.96%
AVERAGE MATURITY OF BOND PORTFOLIO 4.4 YEARS 4.4 YEARS 4.9 YEARS 12.9 YEARS 18.6 YEARS
ESTIMATED DURATION OF BOND PORTFOLIO 3.5 YEARS 3.5 YEARS 3.7 YEARS 7.3 YEARS 9.9 YEARS
NUMBER OF HOLDINGS 626 666 975 948 902
</TABLE>
PORTFOLIO ALLOCATION BY ASSET CLASS (AS OF AUGUST 31, 2000)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
ASSET CLASS OPPORTUNITY 2010 2020 2030 2040
<S> <C> <C> <C> <C> <C>
BILLS 23.36% 9.19% 6.51% 3.28% 1.00%
INTERMEDIATE GOVERNMENT 55.93% 51.03% 29.04% 9.07% 0.95%
LONG GOVERNMENT 0.86% 0.83% 1.44% 10.09% 5.91%
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 4.99% 13.69% 18.89% 23.59% 26.13%
LARGE GROWTH 5.79% 14.95% 24.07% 29.75% 37.24%
INTERMEDIATE VALUE 0.02% 0.06% 3.23% 4.11% 5.83%
INTERMEDIATE GROWTH 1.20% 1.26% 2.16% 2.51% 3.40%
INTERMEDIATE UTILITIES 0.00% 0.00% 0.00% 0.00% 0.00%
SMALL VALUE 1.14% 0.30% 0.24% 0.36% 0.37%
SMALL GROWTH 0.00% 0.03% 0.68% 0.95% 0.02%
MICRO 1.83% 0.00% 0.73% 0.00% 0.17%
NON-U.S. WGBI 0.00% 0.00% 0.00% 0.00% 0.00%
EAFE EX-JAPAN 3.55% 6.64% 9.80% 12.25% 14.11%
JAPAN 1.33% 2.02% 3.21% 4.04% 4.87%
TOTAL 100.00% 100.00% 100.00% 100.00% 100.00%
</TABLE>
4
<PAGE>
SEMI-ANNUAL REPORT LIFEPATH FUNDS
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GROWTH OF $10,000 CHARTS(5)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH Opportunity Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN WELLS FARGO
LIFEPATH BROTHERS S&P 500 IBC ALL TAXABLE LIFEPATH
OPPORTUNITY AGGREGATE COMPOSITE MONEY FUND OPPORTUNITY
BOND INDEX INDEX AVERAGE
CLASS A CLASS I
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar-94 $9,295 $9,753 $9,564 $10,024 $9,862
Apr-94 $9,247 $9,675 $9,687 $10,049 $9,811
May-94 $9,257 $9,674 $9,846 $10,078 $9,821
Jun-94 $9,192 $9,653 $9,604 $10,108 $9,753
Jul-94 $9,344 $9,845 $9,920 $10,140 $9,914
Aug-94 $9,420 $9,857 $10,326 $10,173 $9,995
Sep-94 $9,292 $9,712 $10,074 $10,209 $9,859
Oct-94 $9,321 $9,703 $10,300 $10,245 $9,889
Nov-94 $9,206 $9,682 $9,925 $10,285 $9,767
Dec-94 $9,244 $9,748 $10,072 $10,328 $9,808
Jan-95 $9,400 $9,941 $10,333 $10,373 $9,973
Feb-95 $9,623 $10,178 $10,736 $10,420 $10,210
Mar-95 $9,713 $10,240 $11,052 $10,468 $10,306
Apr-95 $9,851 $10,384 $11,377 $10,516 $10,452
May-95 $10,125 $10,785 $11,831 $10,564 $10,743
Jun-95 $10,221 $10,864 $12,106 $10,613 $10,844
Jul-95 $10,320 $10,840 $12,507 $10,660 $10,950
Aug-95 $10,389 $10,971 $12,538 $10,707 $11,023
Sep-95 $10,506 $11,078 $13,067 $10,754 $11,146
Oct-95 $10,536 $11,222 $13,020 $10,800 $11,178
Nov-95 $10,706 $11,390 $13,591 $10,848 $11,359
Dec-95 $10,831 $11,550 $13,853 $10,895 $11,492
Jan-96 $10,933 $11,626 $14,324 $10,940 $11,600
Feb-96 $10,872 $11,424 $14,457 $10,985 $11,535
Mar-96 $10,849 $11,344 $14,596 $11,029 $11,510
Apr-96 $10,859 $11,280 $14,811 $11,073 $11,521
May-96 $10,869 $11,257 $15,191 $11,118 $11,532
Jun-96 $10,940 $11,408 $15,249 $11,162 $11,607
Jul-96 $10,846 $11,439 $14,575 $11,207 $11,507
Aug-96 $10,908 $11,420 $14,883 $11,251 $11,574
Sep-96 $11,136 $11,618 $15,719 $11,296 $11,815
Oct-96 $11,305 $11,876 $16,153 $11,342 $11,994
Nov-96 $11,579 $12,079 $17,372 $11,387 $12,286
Dec-96 $11,485 $11,967 $17,028 $11,433 $12,186
Jan-97 $11,593 $12,004 $18,091 $11,478 $12,300
Feb-97 $11,604 $12,034 $18,234 $11,524 $12,312
Mar-97 $11,445 $11,901 $17,486 $11,570 $12,143
Apr-97 $11,631 $12,079 $18,528 $11,618 $12,340
May-97 $11,882 $12,194 $19,661 $11,667 $12,607
Jun-97 $12,088 $12,339 $20,535 $11,714 $12,826
Jul-97 $12,409 $12,672 $22,168 $11,765 $13,166
Aug-97 $12,243 $12,564 $20,927 $11,815 $12,990
Sep-97 $12,493 $12,749 $22,071 $11,864 $13,255
Oct-97 $12,471 $12,934 $21,334 $11,915 $13,232
Nov-97 $12,549 $12,993 $22,322 $11,965 $13,315
Dec-97 $12,683 $13,125 $22,706 $12,016 $13,457
Jan-98 $12,791 $13,293 $22,958 $12,068 $13,571
Feb-98 $12,995 $13,282 $24,613 $12,115 $13,788
Mar-98 $13,172 $13,327 $25,873 $12,167 $13,976
Apr-98 $13,245 $13,397 $26,137 $12,217 $14,053
May-98 $13,221 $13,524 $25,688 $12,268 $14,027
Jun-98 $13,355 $13,639 $26,731 $12,319 $14,170
Jul-98 $13,331 $13,667 $26,447 $12,370 $14,144
Aug-98 $13,025 $13,890 $22,626 $12,422 $13,820
Sep-98 $13,337 $14,215 $24,076 $12,473 $14,150
Oct-98 $13,571 $14,140 $26,031 $12,529 $14,399
Nov-98 $13,731 $14,220 $27,608 $12,582 $14,569
Dec-98 $13,970 $14,263 $29,232 $12,631 $14,822
Jan-99 $14,062 $14,364 $30,454 $12,679 $14,919
Feb-99 $13,825 $14,113 $31,401 $12,721 $14,668
Mar-99 $14,000 $14,191 $32,657 $12,768 $14,854
Apr-99 $14,145 $14,236 $33,920 $12,814 $15,008
May-99 $13,986 $14,111 $33,120 $12,860 $14,840
Jun-99 $14,144 $14,066 $34,922 $12,905 $15,007
Jul-99 $14,077 $14,007 $33,831 $12,954 $14,936
Aug-99 $14,051 $14,000 $33,664 $13,005 $14,908
Sep-99 $14,074 $14,162 $32,741 $13,055 $14,933
Oct-99 $14,249 $14,214 $34,814 $13,108 $15,119
Nov-99 $14,384 $14,213 $35,520 $13,160 $15,247
Dec-99 $14,598 $14,145 $37,613 $13,217 $15,462
Jan-00 $14,331 $14,098 $35,724 $13,273 $15,196
Feb-00 $14,443 $14,269 $35,049 $13,328 $15,314
Mar-00 $14,813 $14,457 $38,477 $13,388 $15,704
Apr-00 $14,700 $14,415 $37,319 $13,448 $15,585
May-00 $14,658 $14,408 $36,554 $13,513 $15,541
Jun-00 $14,909 $14,707 $37,457 $13,577 $15,802
Jul-00 $14,895 $14,841 $36,872 $13,647 $15,787
Aug-00 $15,195 $15,056 $39,162 $13,716 $16,116
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH 2010 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN IBC ALL WELLS FARGO
LIFEPATH BROTHERS S&P 500 TAXABLE LIFEPATH
2010 AGGREGATE COMPOSITE MONEY FUND 2010
CLASS A BOND INDEX INDEX AVERAGE CLASS I
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar-94 $9,276 $9,753 $9,564 $10,024 $9,841
Apr-94 $9,228 $9,675 $9,687 $10,049 $9,791
May-94 $9,266 $9,674 $9,846 $10,078 $9,831
Jun-94 $9,189 $9,653 $9,604 $10,108 $9,750
Jul-94 $9,360 $9,845 $9,920 $10,140 $9,931
Aug-94 $9,465 $9,857 $10,326 $10,173 $10,042
Sep-94 $9,319 $9,712 $10,074 $10,209 $9,888
Oct-94 $9,396 $9,703 $10,300 $10,245 $9,969
Nov-94 $9,195 $9,682 $9,925 $10,285 $9,756
Dec-94 $9,269 $9,748 $10,072 $10,328 $9,834
Jan-95 $9,444 $9,941 $10,333 $10,373 $10,020
Feb-95 $9,737 $10,178 $10,736 $10,420 $10,331
Mar-95 $9,888 $10,240 $11,052 $10,468 $10,491
Apr-95 $10,075 $10,384 $11,377 $10,516 $10,689
May-95 $10,429 $10,785 $11,831 $10,564 $11,065
Jun-95 $10,570 $10,864 $12,106 $10,613 $11,214
Jul-95 $10,768 $10,840 $12,507 $10,660 $11,425
Aug-95 $10,808 $10,971 $12,538 $10,707 $11,467
Sep-95 $11,016 $11,078 $13,067 $10,754 $11,688
Oct-95 $11,016 $11,222 $13,020 $10,800 $11,688
Nov-95 $11,286 $11,390 $13,591 $10,848 $11,974
Dec-95 $11,453 $11,550 $13,853 $10,895 $12,151
Jan-96 $11,656 $11,626 $14,324 $10,940 $12,367
Feb-96 $11,626 $11,424 $14,457 $10,985 $12,335
Mar-96 $11,639 $11,344 $14,596 $11,029 $12,349
Apr-96 $11,721 $11,280 $14,811 $11,073 $12,436
May-96 $11,804 $11,257 $15,191 $11,118 $12,524
Jun-96 $11,863 $11,408 $15,249 $11,162 $12,586
Jul-96 $11,625 $11,439 $14,575 $11,207 $12,334
Aug-96 $11,728 $11,420 $14,883 $11,251 $12,444
Sep-96 $12,099 $11,618 $15,719 $11,296 $12,837
Oct-96 $12,318 $11,876 $16,153 $11,342 $13,069
Nov-96 $12,818 $12,079 $17,372 $11,387 $13,600
Dec-96 $12,656 $11,967 $17,028 $11,433 $13,427
Jan-97 $12,932 $12,004 $18,091 $11,478 $13,721
Feb-97 $12,975 $12,034 $18,234 $11,524 $13,766
Mar-97 $12,714 $11,901 $17,486 $11,570 $13,490
Apr-97 $13,068 $12,079 $18,528 $11,618 $13,866
May-97 $13,540 $12,194 $19,661 $11,667 $14,366
Jun-97 $13,905 $12,339 $20,535 $11,714 $14,753
Jul-97 $14,478 $12,672 $22,168 $11,765 $15,361
Aug-97 $14,056 $12,564 $20,927 $11,815 $14,914
Sep-97 $14,507 $12,749 $22,071 $11,864 $15,392
Oct-97 $14,300 $12,934 $21,334 $11,915 $15,172
Nov-97 $14,518 $12,993 $22,322 $11,965 $15,403
Dec-97 $14,714 $13,125 $22,706 $12,016 $15,612
Jan-98 $14,866 $13,293 $22,958 $12,068 $15,773
Feb-98 $15,369 $13,282 $24,613 $12,115 $16,306
Mar-98 $15,760 $13,327 $25,873 $12,167 $16,722
Apr-98 $15,878 $13,397 $26,137 $12,217 $16,847
May-98 $15,772 $13,524 $25,688 $12,268 $16,734
Jun-98 $16,047 $13,639 $26,731 $12,319 $17,026
Jul-98 $15,976 $13,667 $26,447 $12,370 $16,951
Aug-98 $14,958 $13,890 $22,626 $12,422 $15,871
Sep-98 $15,474 $14,215 $24,076 $12,473 $16,418
Oct-98 $16,105 $14,140 $26,031 $12,529 $17,087
Nov-98 $16,522 $14,220 $27,608 $12,582 $17,530
Dec-98 $17,020 $14,263 $29,232 $12,631 $18,058
Jan-99 $17,275 $14,364 $30,454 $12,679 $18,328
Feb-99 $16,893 $14,113 $31,401 $12,721 $17,923
Mar-99 $17,225 $14,191 $32,657 $12,768 $18,276
Apr-99 $17,571 $14,236 $33,920 $12,814 $18,643
May-99 $17,289 $14,111 $33,120 $12,860 $18,344
Jun-99 $17,672 $14,066 $34,922 $12,905 $18,750
Jul-99 $17,479 $14,007 $33,831 $12,954 $18,545
Aug-99 $17,415 $14,000 $33,664 $13,005 $18,477
Sep-99 $17,353 $14,162 $32,741 $13,055 $18,412
Oct-99 $17,781 $14,214 $34,814 $13,108 $18,866
Nov-99 $18,067 $14,213 $35,520 $13,160 $19,141
Dec-99 $18,569 $14,145 $37,613 $13,217 $19,668
Jan-00 $18,076 $14,098 $35,724 $13,273 $19,148
Feb-00 $18,160 $14,269 $35,049 $13,328 $19,237
Mar-00 $18,901 $14,457 $38,477 $13,388 $20,030
Apr-00 $18,590 $14,415 $37,319 $13,448 $19,717
May-00 $18,434 $14,408 $36,554 $13,513 $19,553
Jun-00 $18,813 $14,707 $37,457 $13,577 $19,953
Jul-00 $18,684 $14,841 $36,872 $13,647 $19,818
Aug-00 $19,170 $15,056 $39,162 $13,716 $20,344
</TABLE>
5
<PAGE>
LIFEPATH FUNDS SEMI-ANNUAL REPORT
--------------------------------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH 2020 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN IBC ALL WELLS FARGO
LIFEPATH BROTHERS S&P 500 TAXABLE LIFEPATH
2020 AGGREGATE COMPOSITE MONEY FUND 2020
CLASS A BOND INDEX INDEX AVERAGE CLASS I
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar-94 $9,248 $9,753 $9,564 $10,024 $9,812
Apr-94 $9,239 $9,675 $9,687 $10,049 $9,802
May-94 $9,295 $9,674 $9,846 $10,078 $9,862
Jun-94 $9,184 $9,653 $9,604 $10,108 $9,744
Jul-94 $9,364 $9,845 $9,920 $10,140 $9,935
Aug-94 $9,516 $9,857 $10,326 $10,173 $10,097
Sep-94 $9,334 $9,712 $10,074 $10,209 $9,903
Oct-94 $9,439 $9,703 $10,300 $10,245 $10,015
Nov-94 $9,200 $9,682 $9,925 $10,285 $9,761
Dec-94 $9,293 $9,748 $10,072 $10,328 $9,859
Jan-95 $9,495 $9,941 $10,333 $10,373 $10,074
Feb-95 $9,814 $10,178 $10,736 $10,420 $10,412
Mar-95 $10,002 $10,240 $11,052 $10,468 $10,612
Apr-95 $10,225 $10,384 $11,377 $10,516 $10,849
May-95 $10,595 $10,785 $11,831 $10,564 $11,241
Jun-95 $10,774 $10,864 $12,106 $10,613 $11,431
Jul-95 $11,029 $10,840 $12,507 $10,660 $11,701
Aug-95 $11,058 $10,971 $12,538 $10,707 $11,733
Sep-95 $11,318 $11,078 $13,067 $10,754 $12,008
Oct-95 $11,278 $11,222 $13,020 $10,800 $11,966
Nov-95 $11,613 $11,390 $13,591 $10,848 $12,321
Dec-95 $11,814 $11,550 $13,853 $10,895 $12,534
Jan-96 $12,075 $11,626 $14,324 $10,940 $12,812
Feb-96 $12,065 $11,424 $14,457 $10,985 $12,801
Mar-96 $12,106 $11,344 $14,596 $11,029 $12,844
Apr-96 $12,218 $11,280 $14,811 $11,073 $12,963
May-96 $12,350 $11,257 $15,191 $11,118 $13,103
Jun-96 $12,406 $11,408 $15,249 $11,162 $13,163
Jul-96 $12,038 $11,439 $14,575 $11,207 $12,773
Aug-96 $12,181 $11,420 $14,883 $11,251 $12,924
Sep-96 $12,665 $11,618 $15,719 $11,296 $13,437
Oct-96 $12,901 $11,876 $16,153 $11,342 $13,688
Nov-96 $13,590 $12,079 $17,372 $11,387 $14,419
Dec-96 $13,375 $11,967 $17,028 $11,433 $14,190
Jan-97 $13,769 $12,004 $18,091 $11,478 $14,609
Feb-97 $13,833 $12,034 $18,234 $11,524 $14,677
Mar-97 $13,473 $11,901 $17,486 $11,570 $14,295
Apr-97 $13,955 $12,079 $18,528 $11,618 $14,806
May-97 $14,620 $12,194 $19,661 $11,667 $15,511
Jun-97 $15,115 $12,339 $20,535 $11,714 $16,037
Jul-97 $15,924 $12,672 $22,168 $11,765 $16,895
Aug-97 $15,288 $12,564 $20,927 $11,815 $16,220
Sep-97 $15,920 $12,749 $22,071 $11,864 $16,891
Oct-97 $15,562 $12,934 $21,334 $11,915 $16,512
Nov-97 $15,920 $12,993 $22,322 $11,965 $16,891
Dec-97 $16,169 $13,125 $22,706 $12,016 $17,156
Jan-98 $16,356 $13,293 $22,958 $12,068 $17,354
Feb-98 $17,149 $13,282 $24,613 $12,115 $18,195
Mar-98 $17,757 $13,327 $25,873 $12,167 $18,840
Apr-98 $17,909 $13,397 $26,137 $12,217 $19,002
May-98 $17,698 $13,524 $25,688 $12,268 $18,778
Jun-98 $18,127 $13,639 $26,731 $12,319 $19,233
Jul-98 $17,974 $13,667 $26,447 $12,370 $19,071
Aug-98 $16,209 $13,890 $22,626 $12,422 $17,197
Sep-98 $16,893 $14,215 $24,076 $12,473 $17,924
Oct-98 $17,874 $14,140 $26,031 $12,529 $18,965
Nov-98 $18,572 $14,220 $27,608 $12,582 $19,705
Dec-98 $19,340 $14,263 $29,232 $12,631 $20,519
Jan-99 $19,752 $14,364 $30,454 $12,679 $20,957
Feb-99 $19,211 $14,113 $31,401 $12,721 $20,383
Mar-99 $19,717 $14,191 $32,657 $12,768 $20,920
Apr-99 $20,286 $14,236 $33,920 $12,814 $21,523
May-99 $19,872 $14,111 $33,120 $12,860 $21,084
Jun-99 $20,544 $14,066 $34,922 $12,905 $21,798
Jul-99 $20,220 $14,007 $33,831 $12,954 $21,453
Aug-99 $20,116 $14,000 $33,664 $13,005 $21,343
Sep-99 $19,895 $14,162 $32,741 $13,055 $21,109
Oct-99 $20,664 $14,214 $34,814 $13,108 $21,925
Nov-99 $21,108 $14,213 $35,520 $13,160 $22,394
Dec-99 $21,993 $14,145 $37,613 $13,217 $23,349
Jan-00 $21,189 $14,098 $35,724 $13,273 $22,502
Feb-00 $21,217 $14,269 $35,049 $13,328 $22,532
Mar-00 $22,454 $14,457 $38,477 $13,388 $23,846
Apr-00 $21,892 $14,415 $37,319 $13,448 $23,253
May-00 $21,503 $14,408 $36,554 $13,513 $22,858
Jun-00 $22,115 $14,707 $37,457 $13,577 $23,499
Jul-00 $21,826 $14,841 $36,872 $13,647 $23,209
Aug-00 $22,680 $15,056 $39,162 $13,716 $24,124
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH 2030 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN IBC ALL WELLS FARGO
LIFEPATH BROTHERS S&P 500 TAXABLE LIFEPATH
2030 AGGREGATE COMPOSITE MONEY FUND 2030
CLASS A BOND INDEX INDEX AVERAGE CLASS I
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar-94 $9,144 $9,753 $9,564 $10,024 $9,702
Apr-94 $9,144 $9,675 $9,687 $10,049 $9,702
May-94 $9,210 $9,674 $9,846 $10,078 $9,772
Jun-94 $9,044 $9,653 $9,604 $10,108 $9,595
Jul-94 $9,262 $9,845 $9,920 $10,140 $9,827
Aug-94 $9,500 $9,857 $10,326 $10,173 $10,079
Sep-94 $9,284 $9,712 $10,074 $10,209 $9,851
Oct-94 $9,418 $9,703 $10,300 $10,245 $9,993
Nov-94 $9,150 $9,682 $9,925 $10,285 $9,708
Dec-94 $9,265 $9,748 $10,072 $10,328 $9,830
Jan-95 $9,477 $9,941 $10,333 $10,373 $10,055
Feb-95 $9,805 $10,178 $10,736 $10,420 $10,403
Mar-95 $10,020 $10,240 $11,052 $10,468 $10,632
Apr-95 $10,273 $10,384 $11,377 $10,516 $10,899
May-95 $10,709 $10,785 $11,831 $10,564 $11,362
Jun-95 $10,915 $10,864 $12,106 $10,613 $11,581
Jul-95 $11,198 $10,840 $12,507 $10,660 $11,881
Aug-95 $11,227 $10,971 $12,538 $10,707 $11,912
Sep-95 $11,541 $11,078 $13,067 $10,754 $12,245
Oct-95 $11,482 $11,222 $13,020 $10,800 $12,182
Nov-95 $11,874 $11,390 $13,591 $10,848 $12,598
Dec-95 $12,114 $11,550 $13,853 $10,895 $12,853
Jan-96 $12,406 $11,626 $14,324 $10,940 $13,163
Feb-96 $12,406 $11,424 $14,457 $10,985 $13,163
Mar-96 $12,461 $11,344 $14,596 $11,029 $13,221
Apr-96 $12,622 $11,280 $14,811 $11,073 $13,392
May-96 $12,784 $11,257 $15,191 $11,118 $13,564
Jun-96 $12,829 $11,408 $15,249 $11,162 $13,611
Jul-96 $12,381 $11,439 $14,575 $11,207 $13,136
Aug-96 $12,544 $11,420 $14,883 $11,251 $13,309
Sep-96 $13,114 $11,618 $15,719 $11,296 $13,913
Oct-96 $13,379 $11,876 $16,153 $11,342 $14,195
Nov-96 $14,228 $12,079 $17,372 $11,387 $15,096
Dec-96 $13,971 $11,967 $17,028 $11,433 $14,823
Jan-97 $14,443 $12,004 $18,091 $11,478 $15,324
Feb-97 $14,517 $12,034 $18,234 $11,524 $15,402
Mar-97 $14,082 $11,901 $17,486 $11,570 $14,940
Apr-97 $14,661 $12,079 $18,528 $11,618 $15,555
May-97 $15,462 $12,194 $19,661 $11,667 $16,405
Jun-97 $16,077 $12,339 $20,535 $11,714 $17,057
Jul-97 $17,083 $12,672 $22,168 $11,765 $18,125
Aug-97 $16,246 $12,564 $20,927 $11,815 $17,237
Sep-97 $17,053 $12,749 $22,071 $11,864 $18,093
Oct-97 $16,574 $12,934 $21,334 $11,915 $17,585
Nov-97 $17,032 $12,993 $22,322 $11,965 $18,070
Dec-97 $17,344 $13,125 $22,706 $12,016 $18,402
Jan-98 $17,535 $13,293 $22,958 $12,068 $18,605
Feb-98 $18,582 $13,282 $24,613 $12,115 $19,715
Mar-98 $19,374 $13,327 $25,873 $12,167 $20,556
Apr-98 $19,555 $13,397 $26,137 $12,217 $20,748
May-98 $19,273 $13,524 $25,688 $12,268 $20,449
Jun-98 $19,832 $13,639 $26,731 $12,319 $21,041
Jul-98 $19,617 $13,667 $26,447 $12,370 $20,813
Aug-98 $17,204 $13,890 $22,626 $12,422 $18,254
Sep-98 $18,002 $14,215 $24,076 $12,473 $19,100
Oct-98 $19,285 $14,140 $26,031 $12,529 $20,462
Nov-98 $20,217 $14,220 $27,608 $12,582 $21,450
Dec-98 $21,229 $14,263 $29,232 $12,631 $22,524
Jan-99 $21,756 $14,364 $30,454 $12,679 $23,083
Feb-99 $21,045 $14,113 $31,401 $12,721 $22,329
Mar-99 $21,689 $14,191 $32,657 $12,768 $23,012
Apr-99 $22,439 $14,236 $33,920 $12,814 $23,808
May-99 $21,910 $14,111 $33,120 $12,860 $23,247
Jun-99 $22,794 $14,066 $34,922 $12,905 $24,185
Jul-99 $22,326 $14,007 $33,831 $12,954 $23,688
Aug-99 $22,153 $14,000 $33,664 $13,005 $23,505
Sep-99 $21,821 $14,162 $32,741 $13,055 $23,152
Oct-99 $22,847 $14,214 $34,814 $13,108 $24,240
Nov-99 $23,464 $14,213 $35,520 $13,160 $24,867
Dec-99 $24,723 $14,145 $37,613 $13,217 $26,202
Jan-00 $23,647 $14,098 $35,724 $13,273 $25,068
Feb-00 $23,703 $14,269 $35,049 $13,328 $25,142
Mar-00 $25,358 $14,457 $38,477 $13,388 $26,884
Apr-00 $24,602 $14,415 $37,319 $13,448 $26,102
May-00 $24,042 $14,408 $36,554 $13,513 $25,511
Jun-00 $24,857 $14,707 $37,457 $13,577 $26,382
Jul-00 $24,478 $14,841 $36,872 $13,647 $25,982
Aug-00 $25,630 $15,056 $39,162 $13,716 $27,210
</TABLE>
6
<PAGE>
SEMI-ANNUAL REPORT LIFEPATH FUNDS
--------------------------------------------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
WELLS FARGO - LIFEPATH 2040 Class A Shares
<TABLE>
<CAPTION>
WELLS FARGO LEHMAN IBC ALL WELLS FARGO
LIFEPATH BROTHERS S&P 500 TAXABLE LIFEPATH
2040 AGGREGATE COMPOSITE MONEY FUND 2040
CLASS A BOND INDEX INDEX AVERAGE CLASS I
<S> <C> <C> <C> <C> <C>
Mar 1-94 $9,425 $10,000 $10,000 $10,000 $10,000
Mar-94 $9,084 $9,753 $9,564 $10,024 $9,638
Apr-94 $9,159 $9,675 $9,687 $10,049 $9,718
May-94 $9,263 $9,674 $9,846 $10,078 $9,828
Jun-94 $9,056 $9,653 $9,604 $10,108 $9,609
Jul-94 $9,303 $9,845 $9,920 $10,140 $9,870
Aug-94 $9,615 $9,857 $10,326 $10,173 $10,202
Sep-94 $9,391 $9,712 $10,074 $10,209 $9,964
Oct-94 $9,534 $9,703 $10,300 $10,245 $10,116
Nov-94 $9,230 $9,682 $9,925 $10,285 $9,793
Dec-94 $9,356 $9,748 $10,072 $10,328 $9,927
Jan-95 $9,567 $9,941 $10,333 $10,373 $10,150
Feb-95 $9,921 $10,178 $10,736 $10,420 $10,526
Mar-95 $10,175 $10,240 $11,052 $10,468 $10,796
Apr-95 $10,425 $10,384 $11,377 $10,516 $11,061
May-95 $10,838 $10,785 $11,831 $10,564 $11,500
Jun-95 $11,084 $10,864 $12,106 $10,613 $11,761
Jul-95 $11,441 $10,840 $12,507 $10,660 $12,139
Aug-95 $11,441 $10,971 $12,538 $10,707 $12,139
Sep-95 $11,795 $11,078 $13,067 $10,754 $12,514
Oct-95 $11,698 $11,222 $13,020 $10,800 $12,411
Nov-95 $12,124 $11,390 $13,591 $10,848 $12,863
Dec-95 $12,370 $11,550 $13,853 $10,895 $13,125
Jan-96 $12,719 $11,626 $14,324 $10,940 $13,495
Feb-96 $12,788 $11,424 $14,457 $10,985 $13,568
Mar-96 $12,870 $11,344 $14,596 $11,029 $13,655
Apr-96 $13,101 $11,280 $14,811 $11,073 $13,900
May-96 $13,332 $11,257 $15,191 $11,118 $14,145
Jun-96 $13,377 $11,408 $15,249 $11,162 $14,193
Jul-96 $12,844 $11,439 $14,575 $11,207 $13,627
Aug-96 $13,045 $11,420 $14,883 $11,251 $13,841
Sep-96 $13,704 $11,618 $15,719 $11,296 $14,540
Oct-96 $13,957 $11,876 $16,153 $11,342 $14,808
Nov-96 $14,916 $12,079 $17,372 $11,387 $15,826
Dec-96 $14,647 $11,967 $17,028 $11,433 $15,541
Jan-97 $15,262 $12,004 $18,091 $11,478 $16,193
Feb-97 $15,368 $12,034 $18,234 $11,524 $16,305
Mar-97 $14,858 $11,901 $17,486 $11,570 $15,765
Apr-97 $15,549 $12,079 $18,528 $11,618 $16,498
May-97 $16,538 $12,194 $19,661 $11,667 $17,546
Jun-97 $17,261 $12,339 $20,535 $11,714 $18,313
Jul-97 $18,401 $12,672 $22,168 $11,765 $19,524
Aug-97 $17,399 $12,564 $20,927 $11,815 $18,460
Sep-97 $18,333 $12,749 $22,071 $11,864 $19,451
Oct-97 $17,649 $12,934 $21,334 $11,915 $18,726
Nov-97 $18,205 $12,993 $22,322 $11,965 $19,315
Dec-97 $18,527 $13,125 $22,706 $12,016 $19,657
Jan-98 $18,762 $13,293 $22,958 $12,068 $19,907
Feb-98 $20,080 $13,282 $24,613 $12,115 $21,305
Mar-98 $21,091 $13,327 $25,873 $12,167 $22,377
Apr-98 $21,303 $13,397 $26,137 $12,217 $22,602
May-98 $20,879 $13,524 $25,688 $12,268 $22,152
Jun-98 $21,592 $13,639 $26,731 $12,319 $22,909
Jul-98 $21,356 $13,667 $26,447 $12,370 $22,659
Aug-98 $18,123 $13,890 $22,626 $12,422 $19,229
Sep-98 $19,081 $14,215 $24,076 $12,473 $20,245
Oct-98 $20,687 $14,140 $26,031 $12,529 $21,949
Nov-98 $21,868 $14,220 $27,608 $12,582 $23,201
Dec-98 $23,191 $14,263 $29,232 $12,631 $24,606
Jan-99 $23,863 $14,364 $30,454 $12,679 $25,318
Feb-99 $23,088 $14,113 $31,401 $12,721 $24,496
Mar-99 $23,939 $14,191 $32,657 $12,768 $25,399
Apr-99 $24,870 $14,236 $33,920 $12,814 $26,387
May-99 $24,236 $14,111 $33,120 $12,860 $25,715
Jun-99 $25,439 $14,066 $34,922 $12,905 $26,991
Jul-99 $24,818 $14,007 $33,831 $12,954 $26,332
Aug-99 $24,610 $14,000 $33,664 $13,005 $26,112
Sep-99 $24,144 $14,162 $32,741 $13,055 $25,617
Oct-99 $25,517 $14,214 $34,814 $13,108 $27,073
Nov-99 $26,333 $14,213 $35,520 $13,160 $27,922
Dec-99 $28,066 $14,145 $37,613 $13,217 $29,767
Jan-00 $26,659 $14,098 $35,724 $13,273 $28,296
Feb-00 $26,701 $14,269 $35,049 $13,328 $28,341
Mar-00 $28,768 $14,457 $38,477 $13,388 $30,548
Apr-00 $27,716 $14,415 $37,319 $13,448 $29,452
May-00 $26,920 $14,408 $36,554 $13,513 $28,611
Jun-00 $27,986 $14,707 $37,457 $13,577 $29,763
Jul-00 $27,402 $14,841 $36,872 $13,647 $29,132
Aug-00 $28,897 $15,056 $39,162 $13,716 $30,741
</TABLE>
--------------------------------------------------------------------------------
(1) The Nasdaq Composite Index is a broad-based capitalization-weighted index
of all Nasdaq National Market & Small Cap stocks. You cannot invest directly in
an index.
(2) 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 voluntarily waived all or 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. These reductions may
be discontinued at any time.
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 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.
(3) For Class A shares, the maximum front-end sales charge is 5.75%. The
maximum contingent deferred sales charge (CDSC) for Class B shares is 5.00%. The
maximum CDSC for Class C shares is 1.00%. Class B and C share performance
including sales charge assumes the maximum CDSC for the corresponding time
period. Institutional Class shares are sold without sales charges.
(4) Portfolio holdings are subject to change.
(5) The charts compare the performance of the Wells Fargo LifePath Funds
Class A and Institutional shares since inception with the S&P 500 Index, Lehman
Brothers Aggregate Bond Index and the iMoney Net Taxable Fund Average. The
charts assume a hypothetical $10,000 investment in Class A and Institutional
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 Aggregate Bond Index
is an unmanaged index composed of bonds, mortgage-backed securities and
asset-backed securities. iMoney Net 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 -- AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<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)....... $59,550,686 $142,068,599 $265,033,916 $204,052,406 $421,198,934
RECEIVABLES
RECEIVABLE FROM WELLS
FARGO BANK
(NOTE 2)............. 18,477 46,123 58,526 88,684 223,482
CAPITAL SHARES SOLD.... 291,181 178,506 95,325 242,267 255,777
----------- ------------ ------------ ------------ ------------
TOTAL ASSETS............. 59,860,344 142,293,228 265,187,767 204,383,357 421,678,193
----------- ------------ ------------ ------------ ------------
LIABILITIES
PAYABLES
DUE TO SPONSOR......... 84,794 133,569 145,121 180,672 287,422
CAPITAL SHARES
REDEEMED............. 93,744 16,410 111,367 84,145 194,543
DUE TO TRUSTEES........ 3,275 3,118 3,118 3,118 3,117
ACCRUED EXPENSES....... 112,329 148,592 287,544 218,642 698,255
----------- ------------ ------------ ------------ ------------
TOTAL LIABILITIES........ 294,142 301,689 547,150 486,577 1,183,337
----------- ------------ ------------ ------------ ------------
TOTAL NET ASSETS......... $59,566,202 $141,991,539 $264,640,617 $203,896,780 $420,494,856
----------- ------------ ------------ ------------ ------------
NET ASSETS CONSIST OF
----------------------------------------------------------------------------------------------
PAID-IN CAPITAL........ $53,706,799 $120,179,766 $201,333,267 $142,623,951 $279,526,435
UNDISTRIBUTED
(DISTRIBUTIONS IN
EXCESS OF) NET
INVESTMENT INCOME.... 411,615 537,622 461,787 (31,622) (874,867)
UNDISTRIBUTED NET
REALIZED GAIN ON
INVESTMENTS.......... 2,960,841 6,492,685 9,132,046 5,998,606 23,238,681
NET UNREALIZED
APPRECIATION OF
INVESTMENTS.......... 2,486,947 14,781,466 53,713,517 55,305,845 118,604,607
----------- ------------ ------------ ------------ ------------
TOTAL NET ASSETS......... $59,566,202 $141,991,539 $264,640,617 $203,896,780 $420,494,856
----------- ------------ ------------ ------------ ------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARE
----------------------------------------------------------------------------------------------
NET ASSETS - CLASS A..... $44,210,549 $ 97,061,690 $195,909,721 $155,294,334 $305,808,807
SHARES OUTSTANDING -
CLASS A................ 4,153,142 7,231,180 12,498,297 8,515,312 15,069,462
NET ASSET VALUE -
CLASS A................ $ 10.65 $ 13.42 $ 15.67 $ 18.24 $ 20.29
OFFERING PRICE PER SHARE
- CLASS A*............. $ 11.30 $ 14.24 $ 16.63 $ 19.35 $ 21.53
NET ASSETS - CLASS B..... $ 8,463,437 $ 34,323,647 $ 53,018,486 $ 40,609,300 $104,693,405
SHARES OUTSTANDING -
CLASS B................ 783,391 2,556,375 3,410,581 2,259,433 5,288,930
NET ASSET VALUE AND
OFFERING PRICE PER
SHARE - CLASS B........ $ 10.80 $ 13.43 $ 15.55 $ 17.97 $ 19.79
NET ASSETS - CLASS C..... $ 5,950,169 $ 5,807,782 $ 4,862,349 $ 2,782,560 $ 7,883,532
SHARES OUTSTANDING -
CLASS C................ 551,258 429,397 310,907 154,600 398,231
NET ASSET VALUE AND
OFFERING PRICE PER
SHARE - CLASS C........ $ 10.79 $ 13.53 $ 15.64 $ 18.00 $ 19.80
NET ASSETS -
INSTITUTIONAL CLASS.... $ 942,047 $ 4,798,420 $ 10,850,061 $ 5,210,586 $ 2,109,112
SHARES OUTSTANDING -
INSTITUTIONAL CLASS.... 87,374 354,417 685,818 283,390 103,171
NET ASSET VALUE AND
OFFERING PRICE PER
SHARE - INSTITUTIONAL
CLASS.................. $ 10.78 $ 13.54 $ 15.82 $ 18.39 $ 20.44
</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 SIX MONTHS ENDED AUGUST 31, 2000
(UNAUDITED) 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.............. $ 89,877 $ 408,720 $ 1,091,261 $ 1,056,473 $ 2,602,417
INTEREST............... 1,400,359 2,182,329 2,471,104 998,645 351,373
EXPENSES............... (165,615) (363,418) (680,080) (530,416) (1,143,766)
----------- ---------- ----------- ----------- -----------
NET INVESTMENT INCOME
ALLOCATED FROM
CORRESPONDING MASTER
PORTFOLIO.............. 1,324,621 2,227,631 2,882,285 1,524,702 1,810,024
----------- ---------- ----------- ----------- -----------
EXPENSES
ADMINISTRATION FEES.... 45,061 99,190 185,819 144,658 311,658
SHAREHOLDER SERVICING
FEES - CLASS A....... 56,799 114,327 232,555 185,984 382,876
SHAREHOLDER SERVICING
FEES - CLASS B....... 9,112 40,047 63,672 48,756 125,402
SHAREHOLDER SERVICING
FEES - CLASS C....... 8,454 7,422 5,106 2,404 9,121
SHAREHOLDER SERVICING
FEES - INSTITUTIONAL
CLASS................ 737 3,521 8,366 3,951 2,031
TRANSFER AGENCY FEES -
CLASS A.............. 30,672 58,993 111,626 97,456 222,068
TRANSFER AGENCY FEES -
CLASS B.............. 3,754 23,388 42,533 41,735 140,952
TRANSFER AGENCY FEES -
CLASS C.............. 1,623 3,325 2,757 2,789 5,071
TRANSFER AGENCY FEES -
INSTITUTIONAL
CLASS................ 88 422 1,004 474 244
DISTRIBUTION COSTS -
CLASS A.............. 56,799 114,327 232,555 185,984 382,876
DISTRIBUTION COSTS -
CLASS B.............. 27,336 120,142 191,017 146,267 376,206
DISTRIBUTION COSTS -
CLASS C.............. 25,362 22,265 15,317 7,213 27,364
LEGAL AND AUDIT
SERVICES............. 4,500 4,500 5,000 5,500 6,500
REGISTRATION COSTS..... 6,838 7,490 11,289 9,740 14,400
COMPENSATION OF
TRUSTEES............. 600 600 600 600 600
MISCELLANEOUS.......... 43,657 57,474 68,050 60,948 290,152
----------- ---------- ----------- ----------- -----------
TOTAL EXPENSES........... 321,392 677,433 1,177,266 944,459 2,297,521
----------- ---------- ----------- ----------- -----------
LESS
EXPENSES WAIVED BY
WELLS FARGO BANK..... (62,584) (89,843) (118,721) (122,875) (473,320)
TOTAL NET EXPENSES....... 258,808 587,590 1,058,545 821,584 1,824,201
----------- ---------- ----------- ----------- -----------
NET INVESTMENT INCOME
(LOSS)................. 1,065,813 1,640,041 1,823,740 703,118 (14,177)
----------- ---------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED FROM CORRESPONDING MASTER
PORTFOLIOS
-----------------------------------------------------------------------------------------
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 2,382,726 4,518,164 5,522,074 3,745,877 17,385,697
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ (510,290) 998,784 8,947,550 10,254,381 15,181,178
----------- ---------- ----------- ----------- -----------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. $ 2,938,249 $7,156,989 $16,293,364 $14,703,376 $32,552,698
----------- ---------- ----------- ----------- -----------
</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 SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
AUGUST 31, 2000 YEAR ENDED AUGUST 31, 2000 YEAR ENDED
(UNAUDITED) FEBRUARY 29, 2000 (UNAUDITED) FEBRUARY 29, 2000
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT INCOME
(LOSS)................. $ 1,065,813 $ 2,083,418 $ 1,640,041 $ 2,800,926
NET REALIZED GAIN ON SALE
OF INVESTMENTS......... 2,382,726 1,469,429 4,518,164 8,899,499
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ (510,290) (731,426) 998,784 (3,290,077)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 2,938,249 2,821,421 7,156,989 8,410,348
--------------- ----------------- --------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM NET INVESTMENT
INCOME
CLASS A.............. (776,278) (1,774,716) (1,167,980) (2,248,636)
CLASS B.............. (97,611) (112,865) (324,628) (446,138)
CLASS C.............. (103,944) (186,515) (60,058) (42,059)
INSTITUTIONAL
CLASS+............. (5,737) (45) (26,029) (68)
FROM NET REALIZED GAIN
ON SALE OF
INVESTMENTS
CLASS A.............. 0 (1,532,576) 0 (6,882,880)
CLASS B.............. 0 (186,146) 0 (2,170,213)
CLASS C.............. 0 (245,417) 0 (355,190)
INSTITUTIONAL
CLASS+............. 0 (308) 0 (2,219)
FROM CAPITAL SHARE
TRANSACTIONS
PROCEEDS FROM SHARES
SOLD - CLASS A....... 3,782,995 6,574,771 19,776,736 23,363,595
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 754,997 3,221,869 1,145,914 8,919,850
COST OF SHARES REDEEMED
- CLASS A............ (6,586,992) (21,045,108) (16,809,668) (30,355,853)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ (2,049,000) (11,248,468) 4,112,982 1,927,592
--------------- ----------------- --------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 2,138,151 5,000,653 5,840,335 14,362,891
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 91,145 288,921 306,753 2,506,196
COST OF SHARES REDEEMED
- CLASS B............ (474,469) (1,876,102) (3,096,124) (4,029,059)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 1,754,827 3,413,472 3,050,964 12,840,028
--------------- ----------------- --------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 381,581 4,930,010 1,699,583 4,917,785
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 88,506 385,896 56,559 376,724
COST OF SHARES REDEEMED
- CLASS C............ (1,977,627) (2,667,692) (1,535,897) (363,828)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ (1,507,540) 2,648,214 220,245 4,930,681
--------------- ----------------- --------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS+............... 865,290 134,071 3,438,961 1,684,424
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 5,737 353 26,028 1,793
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS+............... (93,787) 0 (454,091) (5,949)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS+... 777,240 134,424 3,010,898 1,680,268
--------------- ----------------- --------------- -----------------
NET CHANGE IN NET
ASSETS................. 930,206 (6,269,525) 15,973,383 17,641,514
--------------- ----------------- --------------- -----------------
NET ASSETS
-------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS... 58,635,996 64,905,521 126,018,156 108,376,642
--------------- ----------------- --------------- -----------------
ENDING NET ASSETS........ $ 59,566,202 $ 58,635,996 $ 141,991,539 $ 126,018,156
--------------- ----------------- --------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED
(DISTRIBUTIONS IN
EXCESS OF) NET
INVESTMENT INCOME...... $ 411,615 $ 329,372 $ 537,622 $ 476,276
--------------- ----------------- --------------- -----------------
SHARES ISSUED AND
REDEEMED
SHARES SOLD -
CLASS A.............. 362,247 622,436 1,507,057 1,745,047
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS A.............. 72,300 309,437 86,478 682,164
SHARES REDEEMED -
CLASS A.............. (631,171) (1,998,048) (1,278,789) (2,260,746)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ (196,624) (1,066,175) 314,746 166,465
--------------- ----------------- --------------- -----------------
SHARES SOLD -
CLASS B.............. 200,961 468,173 443,195 1,061,559
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS B.............. 8,597 27,459 23,127 192,039
SHARES REDEEMED -
CLASS B.............. (44,741) (175,035) (234,958) (299,185)
--------------- ----------------- --------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS B................ 164,817 320,597 231,364 954,413
--------------- ----------------- --------------- -----------------
SHARES SOLD -
CLASS C.............. 36,231 460,702 127,064 360,709
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS C.............. 8,351 36,635 4,235 28,745
SHARES REDEEMED -
CLASS C.............. (186,893) (251,700) (115,603) (26,560)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ (142,311) 245,637 15,696 362,894
--------------- ----------------- --------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS+............... 82,690 12,929 258,207 128,549
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS --
INSTITUTIONAL
CLASS+............... 543 34 1,951 137
SHARES REDEEMED -
INSTITUTIONAL
CLASS+............... (8,822) 0 (33,966) (461)
--------------- ----------------- --------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
INSTITUTIONAL CLASS+... 74,411 12,963 226,192 128,225
--------------- ----------------- --------------- -----------------
</TABLE>
+ 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 SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
AUGUST 31, 2000 YEAR ENDED AUGUST 31, 2000 YEAR ENDED
(UNAUDITED) FEBRUARY 29, 2000 (UNAUDITED) FEBRUARY 29, 2000
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT INCOME
(LOSS)................. $ 1,823,740 $ 3,071,988 $ 703,118 $ 1,495,986
NET REALIZED GAIN ON SALE
OF INVESTMENTS......... 5,522,074 19,784,120 3,745,877 19,860,580
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 8,947,550 (2,581,357) 10,254,381 (1,364,080)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 16,293,364 20,274,751 14,703,376 19,992,486
--------------- ----------------- --------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM NET INVESTMENT
INCOME
CLASS A.............. (1,495,279) (2,575,166) (803,399) (1,299,292)
CLASS B.............. (284,854) (366,795) (117,270) (131,952)
CLASS C.............. (20,573) (9,038) (5,399) (1,604)
INSTITUTIONAL
CLASS+............. (46,919) (36) (14,666) (8)
FROM NET REALIZED GAIN
ON SALE OF
INVESTMENTS
CLASS A.............. 0 (15,751,326) 0 (16,444,081)
CLASS B.............. 0 (4,154,453) 0 (4,146,917)
CLASS C.............. 0 (204,002) 0 (98,996)
INSTITUTIONAL
CLASS+............. 0 (2,588) 0 (1,355)
FROM CAPITAL SHARE
TRANSACTIONS
PROCEEDS FROM SHARES
SOLD - CLASS A....... 32,198,682 45,347,548 21,528,801 23,091,770
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 1,478,112 18,127,812 796,691 17,589,322
COST OF SHARES REDEEMED
- CLASS A............ (25,100,763) (51,191,084) (18,551,569) (32,632,803)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ 8,576,031 12,284,276 3,773,923 8,048,289
--------------- ----------------- --------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 7,023,717 21,335,112 4,126,976 12,769,264
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. 278,853 4,421,801 114,336 4,222,622
COST OF SHARES REDEEMED
- CLASS B............ (4,697,235) (5,603,377) (2,835,102) (4,933,395)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 2,605,335 20,153,536 1,406,210 12,058,491
--------------- ----------------- --------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 1,973,232 2,978,099 1,513,390 1,281,354
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 19,429 206,178 5,084 95,675
COST OF SHARES REDEEMED
- CLASS C............ (355,146) (246,473) (157,028) (111,904)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ 1,637,515 2,937,804 1,361,446 1,265,125
--------------- ----------------- --------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS+............... 7,607,892 4,524,652 4,401,047 1,225,712
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 46,471 2,627 14,666 1,363
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS+............... (1,098,202) (538,346) (591,258) (4,605)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS+... 6,556,161 3,988,933 3,824,455 1,222,470
--------------- ----------------- --------------- -----------------
NET CHANGE IN NET
ASSETS................. 33,820,781 36,575,896 24,128,676 20,462,656
--------------- ----------------- --------------- -----------------
NET ASSETS
-------------------------------------------------------------------------------------------------
BEGINNING NET ASSETS... 230,819,836 194,243,940 179,768,104 159,305,448
--------------- ----------------- --------------- -----------------
ENDING NET ASSETS........ $ 264,640,617 $ 230,819,836 $ 203,896,780 $ 179,768,104
--------------- ----------------- --------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED
(DISTRIBUTIONS IN
EXCESS OF) NET
INVESTMENT INCOME...... $ 461,787 $ 485,672 $ (31,622) $ 205,994
--------------- ----------------- --------------- -----------------
SHARES ISSUED AND
REDEEMED
SHARES SOLD -
CLASS A.............. 2,110,116 2,942,926 1,221,847 1,297,036
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS A.............. 95,826 1,204,588 44,594 1,018,892
SHARES REDEEMED -
CLASS A.............. (1,644,817) (3,314,672) (1,056,501) (1,822,149)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ 561,125 832,842 209,940 493,779
--------------- ----------------- --------------- -----------------
SHARES SOLD -
CLASS B.............. 465,441 1,381,742 238,834 718,794
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS B.............. 18,233 296,431 6,510 248,236
SHARES REDEEMED -
CLASS B.............. (310,888) (365,159) (163,527) (278,116)
--------------- ----------------- --------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS B................ 172,786 1,313,014 81,817 688,914
--------------- ----------------- --------------- -----------------
SHARES SOLD -
CLASS C.............. 128,693 193,809 86,143 72,541
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS C.............. 1,265 13,764 290 5,622
SHARES REDEEMED -
CLASS C.............. (23,235) (16,370) (9,068) (6,360)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ 106,723 191,203 77,365 71,803
--------------- ----------------- --------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS+............... 493,498 296,678 245,084 70,657
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS --
INSTITUTIONAL
CLASS+............... 2,989 174 819 79
SHARES REDEEMED -
INSTITUTIONAL
CLASS+............... (71,161) (36,360) (32,993) (256)
--------------- ----------------- --------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
INSTITUTIONAL CLASS+... 425,326 260,492 212,910 70,480
--------------- ----------------- --------------- -----------------
<CAPTION>
LIFEPATH 2040 FUND
----------------------------------
FOR THE SIX
MONTHS ENDED FOR THE
AUGUST 31, 2000 YEAR ENDED
(UNAUDITED) FEBRUARY 29, 2000
<S> <C> <C>
-------------------------
FROM OPERATIONS
NET INVESTMENT INCOME
(LOSS)................. $ (14,177) $ 423,607
NET REALIZED GAIN ON SALE
OF INVESTMENTS......... 17,385,697 37,204,754
NET CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS............ 15,181,178 12,984,142
--------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 32,552,698 50,612,503
--------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM NET INVESTMENT
INCOME
CLASS A.............. (513,090) (730,397)
CLASS B.............. 0 0
CLASS C.............. 0 0
INSTITUTIONAL
CLASS+............. (4,071) (1)
FROM NET REALIZED GAIN
ON SALE OF
INVESTMENTS
CLASS A.............. 0 (25,934,712)
CLASS B.............. 0 (8,331,309)
CLASS C.............. 0 (504,901)
INSTITUTIONAL
CLASS+............. 0 (908)
FROM CAPITAL SHARE
TRANSACTIONS
PROCEEDS FROM SHARES
SOLD - CLASS A....... 20,179,079 76,986,658
REINVESTMENT OF
DIVIDENDS -
CLASS A.............. 508,595 26,384,953
COST OF SHARES REDEEMED
- CLASS A............ (44,642,703) (71,883,878)
--------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS A................ (23,955,029) 31,487,733
--------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS B....... 10,157,164 30,756,321
REINVESTMENT OF
DIVIDENDS -
CLASS B.............. (1,147) 8,268,110
COST OF SHARES REDEEMED
- CLASS B............ (6,816,807) (10,987,034)
--------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
CLASS B................ 3,339,210 28,037,397
--------------- -----------------
PROCEEDS FROM SHARES
SOLD - CLASS C....... 2,129,978 3,425,050
REINVESTMENT OF
DIVIDENDS -
CLASS C.............. 0 479,802
COST OF SHARES REDEEMED
- CLASS C............ (897,849) (1,012,203)
--------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS -
CLASS C................ 1,232,129 2,892,649
--------------- -----------------
PROCEEDS FROM SHARES
SOLD - INSTITUTIONAL
CLASS+............... 1,231,622 1,158,507
REINVESTMENT OF
DIVIDENDS -
INSTITUTIONAL
CLASS+............... 4,200 909
COST OF SHARES REDEEMED
- INSTITUTIONAL
CLASS+............... (316,949) (62,618)
--------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS -
INSTITUTIONAL CLASS+... 918,873 1,096,798
--------------- -----------------
NET CHANGE IN NET
ASSETS................. 13,570,720 78,624,852
--------------- -----------------
NET ASSETS
-------------------------
BEGINNING NET ASSETS... 406,924,136 328,299,284
--------------- -----------------
ENDING NET ASSETS........ $ 420,494,856 $ 406,924,136
--------------- -----------------
ENDING BALANCE OF
UNDISTRIBUTED
(DISTRIBUTIONS IN
EXCESS OF) NET
INVESTMENT INCOME...... $ (874,867) $ (343,529)
--------------- -----------------
SHARES ISSUED AND
REDEEMED
SHARES SOLD -
CLASS A.............. 1,036,251 4,004,929
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS A.............. 25,790 1,379,057
SHARES REDEEMED -
CLASS A.............. (2,285,552) (3,739,848)
--------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS A................ (1,223,511) 1,644,138
--------------- -----------------
SHARES SOLD -
CLASS B.............. 533,463 1,636,843
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS B.............. (60) 442,382
SHARES REDEEMED -
CLASS B.............. (357,811) (583,543)
--------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
CLASS B................ 175,592 1,495,682
--------------- -----------------
SHARES SOLD -
CLASS C.............. 112,687 182,445
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS -
CLASS C.............. 0 25,672
SHARES REDEEMED -
CLASS C.............. (46,828) (52,406)
--------------- -----------------
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING -
CLASS C................ 65,859 155,711
--------------- -----------------
SHARES SOLD -
INSTITUTIONAL
CLASS+............... 62,351 59,838
SHARES ISSUED IN
REINVESTMENTS OF
DIVIDENDS --
INSTITUTIONAL
CLASS+............... 204 47
SHARES REDEEMED -
INSTITUTIONAL
CLASS+............... (15,968) (3,301)
--------------- -----------------
NET INCREASE IN SHARES
OUTSTANDING -
INSTITUTIONAL CLASS+... 46,587 56,584
--------------- -----------------
</TABLE>
+ 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) INVESTMENT REALIZED
SHARE (LOSS) ON INVESTMENTS INCOME GAINS
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------
LIFEPATH OPPORTUNITY FUND
A SHARES
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... $ 10.30 $ 0.20 $ 0.33 $ (0.18) $ 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 10.44 0.16 0.35 (0.15) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 10.44 0.18 0.33 (0.16) 0.00
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 10.36 0.19 0.35 (0.12) 0.00
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 10.66 0.08 0.00 (0.05) (0.33)
LIFEPATH 2010 FUND
-------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 12.88 0.17 0.54 (0.17) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 12.88 0.14 0.55 (0.14) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 12.97 0.14 0.55 (0.13) 0.00
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 12.95 0.16 0.58 (0.15) 0.00
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 13.83 0.07 0.13 (0.03) (1.05)
LIFEPATH 2020 FUND
-------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 14.78 0.13 0.89 (0.13) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 14.66 0.08 0.90 (0.09) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 14.74 0.08 0.90 (0.08) 0.00
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)
</TABLE>
(1) THESE RATIOS INCLUDE INCOME EARNED AND EXPENSES CHARGED TO THE MASTER
PORTFLIO. 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(1)
NET ASSET ---------------------------------- 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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... $ 10.65 3.65% 1.30% 1.51% 5.20% 16% $ 44,211
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 10.80 3.19% 1.80% 2.02% 4.88% 16% 8,463
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 10.79 3.21% 1.80% 2.00% 4.93% 16% 5,950
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 10.78 3.97% 1.04% 1.16% 5.23% 16% 942
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 13.42 2.62% 1.30% 1.43% 5.56% 33% 97,062
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 13.43 2.11% 1.80% 1.95% 5.34% 33% 34,324
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 13.53 2.13% 1.80% 2.00% 5.36% 33% 5,808
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 13.54 2.77% 1.04% 1.07% 5.75% 33% 4,798
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 15.67 1.58% 1.30% 1.38% 6.89% 21% 195,910
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 15.55 1.06% 1.80% 1.94% 6.66% 21% 53,018
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 15.64 1.09% 1.80% 2.03% 6.64% 21% 4,862
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
</TABLE>
(1) THESE RATIOS INCLUDE INCOME EARNED AND EXPENSES CHARGED TO THE MASTER
PORTFLIO. 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) INVESTMENT REALIZED
SHARE (LOSS) ON INVESTMENTS INCOME GAINS
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... $ 14.89 $ 0.12 $ 0.93 $ (0.12) $ 0.00
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 16.01 0.06 0.30 (0.02) (1.46)
LIFEPATH 2030 FUND
-------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 16.96 0.07 1.31 (0.10) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 16.72 0.03 1.27 (0.05) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 16.74 0.03 1.28 (0.05) 0.00
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 17.07 0.09 1.31 (0.08) 0.00
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 18.73 0.03 0.54 (0.01) (2.22)
LIFEPATH 2040 FUND
-------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 18.78 0.01 1.53 (0.03) 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 18.34 (0.03) 1.48 0.00 0.00
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 18.34 (0.03) 1.49 0.00 0.00
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 18.90 0.04 1.55 (0.05) 0.00
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
PORTFLIO. 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(1)
NET ASSET ---------------------------------- 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>
-------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... $ 15.82 1.82% 1.03% 1.04% 7.07% 21% $ 10,850
NOVEMBER 8, 1999 TO
FEBRUARY 29, 2000...... 14.89 1.69% 1.00% 1.01% 1.74% 43% 3,879
LIFEPATH 2030 FUND
-------------------------------------------------------------------------------------------------------------------------
A SHARES
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 18.24 0.83% 1.30% 1.40% 8.13% 16% 155,294
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 17.97 0.33% 1.80% 2.00% 7.80% 16% 40,609
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 18.00 0.29% 1.80% 2.33% 7.82% 16% 2,783
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 18.39 0.97% 1.04% 1.05% 8.23% 16% 5,211
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 20.29 0.12% 1.30% 1.49% 8.22% 13% 305,809
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 19.79 -0.38% 1.80% 2.13% 7.97% 13% 104,693
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, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 19.80 -0.39% 1.80% 2.11% 7.96% 13% 7,884
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++
MARCH 1, 2000 TO AUGUST
31, 2000 (UNAUDITED)... 20.44 0.32% 1.04% 1.13% 8.47% 13% 2,109
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
PORTFLIO. 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 (UNAUDITED)
--------------------------------------------------------------------------------
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 was organized
as a Delaware business trust on March 10, 1999, and is currently comprised of
66 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. 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 (62.28%,
56.91%, 54.87%, 65.81%, and 74.78%) for the LifePath Opportunity, LifePath
2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds, respectively, at
August 31, 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 Schedules 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 carryforwards) sufficient to relieve it from all, or
substantially all, federal income and excise taxes. Accordingly, no provision
for federal taxes was required at August 31, 2000.
16
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) LIFEPATH FUNDS
--------------------------------------------------------------------------------
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. WFB has
committed through July 1, 2001 to maintain the current net operating expense
ratio shown in the Financial Highlights for each Fund. Actual reimbursements
and waivers have a positive effect on performance information. For the period
ended August 31, 2000, WFB waived a portion of each Fund's expenses. Expense
waiver information is included in the Fund's Statements of Operations.
The Trust has 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.
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.
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 Inc. ("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 were also officers of Stephens for a portion of
the period. As of August 31, 2000, these officers of Stephens collectively
owned less than 1% of the outstanding shares of each Fund.
3. CAPITAL SHARE TRANSACTIONS
--------------------------------------------------------------------------------
As of August 31, 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>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS
PERCENT OF NET ASSETS 19.99% 40.79%
U.S. COMMON STOCKS
PERCENT OF NET ASSETS 14.77% 31.48%
ADVERTISING
PERCENT OF NET ASSETS 0.02% 0.11%
HARTE-HANKS INC. 0 $ -- 0 $ --
INTERPUBLIC GROUP OF
COMPANIES INC. 176 6,732 1,998 76,422
OMNICOM GROUP INC. 111 9,262 1,185 98,873
SNYDER COMMUNICATIONS
INC.+ 0 -- 0 --
TMP WORLDWIDE INC.+ 0 -- 0 --
YOUNG & RUBICAM INC. 0 -- 2,144 125,424
----------- ------------
$ 15,994 $ 300,719
AEROSPACE / DEFENSE
PERCENT OF NET ASSETS 0.11% 0.04%
BOEING CO. 0 $ -- 0 $ --
GENERAL DYNAMICS CORP. 0 -- 0 --
GOODRICH (B.F.) CO. 82 3,347 1,375 56,117
HONEYWELL INTERNATIONAL
INC. 179 6,903 0 --
LITTON INDUSTRIES INC.+ 0 -- 0 --
LOCKHEED MARTIN CORP. 0 -- 0 --
NORTHROP GRUMMAN CORP. 129 10,038 629 48,944
RAYTHEON CO. "B" 0 -- 0 --
SEQUA CORP. "A"+ 1,510 69,837 0 --
TITAN CORP. (THE)+ 500 12,312 0 --
UNITED TECHNOLOGIES CORP. 0 -- 0 --
----------- ------------
$ 102,437 $ 105,061
AGRICULTURE
PERCENT OF NET ASSETS 0.00% 0.01%
MAUI LAND & PINEAPPLE CO. 0 $ -- 1,200 $ 28,500
----------- ------------
AIRLINES
PERCENT OF NET ASSETS 0.01% 0.15%
AMR CORP.+ 0 $ -- 887 $ 29,105
CONTINENTAL AIRLINES INC.
"B"+ 0 -- 0 --
DELTA AIR LINES INC. 0 -- 0 --
NORTHWEST AIRLINES CORP.
"A"+ 100 3,131 8,816 276,051
SOUTHWEST AIRLINES CO. 263 5,950 0 --
UAL CORP. 0 -- 0 --
US AIRWAYS GROUP INC.+ 63 2,142 2,818 95,812
----------- ------------
$ 11,223 $ 400,968
APPAREL
PERCENT OF NET ASSETS 0.07% 0.12%
GARAN INC. 0 $ -- 1,600 $ 34,000
HAGGAR CORP. 0 -- 2,200 27,087
JONES APPAREL GROUP INC.+ 0 -- 0 --
LIZ CLAIBORNE INC. 81 3,559 4,965 218,150
NIKE INC. "B" 193 7,636 0 --
UNIFI INC.+ 3,268 36,969 0 --
VF CORP. 0 -- 1,556 35,594
WARNACO GROUP INC. "A" 3,200 16,000 0 --
----------- ------------
$ 64,164 $ 314,831
AUTO MANUFACTURERS
PERCENT OF NET ASSETS 0.03% 0.11%
FORD MOTOR COMPANY+ 0 $ -- 0 $ --
</TABLE>
18
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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 64.46% 78.56% 93.40%
U.S. COMMON STOCKS
PERCENT OF NET ASSETS 50.13% 60.75% 72.56%
ADVERTISING
PERCENT OF NET ASSETS 0.13% 0.14% 0.17%
HARTE-HANKS INC. 0 $ -- 1,282 $ 32,210 0 $ --
INTERPUBLIC GROUP OF
COMPANIES INC. 4,640 177,481 3,566 136,399 8,500 325,124
OMNICOM GROUP INC. 2,915 243,220 2,275 189,820 5,356 446,891
SNYDER COMMUNICATIONS
INC.+ 0 -- 925 25,322 1,313 35,943
TMP WORLDWIDE INC.+ 500 34,594 0 -- 0 --
YOUNG & RUBICAM INC. 1,988 116,298 1,016 59,436 2,053 120,100
------------ ------------ ------------
$ 571,593 $ 443,187 $ 928,058
AEROSPACE / DEFENSE
PERCENT OF NET ASSETS 0.53% 0.64% 0.69%
BOEING CO. 14,598 $ 782,818 11,312 $ 606,606 21,795 $ 1,168,757
GENERAL DYNAMICS CORP. 3,374 212,351 2,596 163,386 5,637 354,779
GOODRICH (B.F.) CO. 1,804 73,626 1,409 57,505 3,079 125,662
HONEYWELL INTERNATIONAL
INC. 12,709 490,091 10,305 397,387 20,415 787,253
LITTON INDUSTRIES INC.+ 0 -- 696 38,497 0 --
LOCKHEED MARTIN CORP. 6,640 188,410 6,102 173,144 10,934 310,252
NORTHROP GRUMMAN CORP. 1,263 98,277 849 66,063 1,908 148,466
RAYTHEON CO. "B" 5,585 155,333 4,493 124,962 8,561 238,103
SEQUA CORP. "A"+ 0 -- 0 -- 0 --
TITAN CORP. (THE)+ 0 -- 0 -- 0 --
UNITED TECHNOLOGIES CORP. 7,998 499,375 5,840 364,635 10,835 676,510
------------ ------------ ------------
$ 2,500,281 $ 1,992,185 $ 3,809,782
AGRICULTURE
PERCENT OF NET ASSETS 0.00% 0.00% 0.00%
MAUI LAND & PINEAPPLE CO. 0 $ -- 0 $ -- 0 $ --
------------ ------------ ------------
AIRLINES
PERCENT OF NET ASSETS 0.09% 0.12% 0.15%
AMR CORP.+ 1,509 $ 49,514 1,812 $ 59,456 3,339 $ 109,561
CONTINENTAL AIRLINES INC.
"B"+ 827 39,799 950 45,719 1,961 94,373
DELTA AIR LINES INC. 1,226 60,687 795 39,352 1,815 89,842
NORTHWEST AIRLINES CORP.
"A"+ 252 7,891 1,186 37,137 2,310 72,332
SOUTHWEST AIRLINES CO. 8,426 190,638 5,850 132,356 12,306 278,423
UAL CORP. 552 26,358 771 36,815 1,791 85,520
US AIRWAYS GROUP INC.+ 1,148 39,032 955 32,470 2,302 78,268
------------ ------------ ------------
$ 413,919 $ 383,305 $ 808,319
APPAREL
PERCENT OF NET ASSETS 0.08% 0.09% 0.11%
GARAN INC. 0 $ -- 0 $ -- 0 $ --
HAGGAR CORP. 0 -- 0 -- 0 --
JONES APPAREL GROUP INC.+ 1,984 48,608 1,964 48,118 4,263 104,444
LIZ CLAIBORNE INC. 1,679 73,771 889 39,060 1,658 72,848
NIKE INC. "B" 4,644 183,728 3,686 145,827 7,687 304,117
UNIFI INC.+ 0 -- 0 -- 0 --
VF CORP. 3,749 85,758 1,986 45,430 3,341 76,425
WARNACO GROUP INC. "A" 0 -- 0 -- 0 --
------------ ------------ ------------
$ 391,865 $ 278,435 $ 557,834
AUTO MANUFACTURERS
PERCENT OF NET ASSETS 0.34% 0.41% 0.43%
FORD MOTOR COMPANY+ 31,452 $ 760,745 24,497 $ 592,521 52,545 $ 1,270,932
</TABLE>
19
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
GENERAL MOTORS CORP. "A" 351 $ 25,338 0 $ --
NAVISTAR INTERNATIONAL
CORP.+ 0 -- 6,186 231,975
PACCAR INC. 93 3,947 872 37,005
----------- ------------
$ 29,285 $ 268,980
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.10% 0.07%
COOPER TIRE & RUBBER CO. 1,065 $ 12,847 0 $ --
DANA CORP. 0 -- 1,491 36,809
DELPHI AUTOMOTIVE SYSTEMS
CORP. 0 -- 0 --
GOODYEAR TIRE & RUBBER
CO. 0 -- 1,325 30,972
LEAR CORP.+ 0 -- 0 --
SUPERIOR INDUSTRIES
INTERNATIONAL INC. 2,422 78,564 0 --
TRW INC. 0 -- 1,715 78,354
VISTEON CORP. 0 -- 1,651 25,900
----------- ------------
$ 91,411 $ 172,035
BANKS
PERCENT OF NET ASSETS 0.43% 1.80%
AMSOUTH BANCORP 495 $ 9,034 3,339 $ 60,937
ANDOVER BANCORP INC. 0 -- 0 --
AREA BANCSHARES CORP. 0 -- 1,500 33,750
ASSOCIATED BANCORP 0 -- 0 --
BANK OF AMERICA CORP. 0 -- 9,826 526,305
BANK OF NEW YORK CO. INC. 678 35,553 4,739 248,501
BANK ONE CORP. 665 23,445 7,053 248,618
BANK UNITED CORP. "A" 0 -- 0 --
BANKUNITED FINANCIAL
CORP. "A"+ 0 -- 4,400 33,000
BB&T CORP. 300 8,119 3,319 89,820
CENTENNIAL BANCORP+ 0 -- 3,100 19,956
CFS BANCORP INC. 0 -- 3,400 34,425
CHARTER ONE FINANCIAL
INC. 0 -- 1,957 46,479
CHASE MANHATTAN CORP. 37 2,067 7,414 414,257
CITY NATIONAL CORP. 0 -- 0 --
COHOES BANCORP INC. 0 -- 2,800 44,800
COMERICA INC. 194 10,925 1,372 77,261
COMMERCE BANCSHARES INC. 0 -- 0 --
COMMUNITY TRUST BANCORP
INC. 0 -- 2,200 33,962
COMPASS BANCSHARES INC. 0 -- 0 --
CONNECTICUT BANKSHARES
INC.+ 0 -- 0 --
DIME BANCORP INC. 0 -- 0 --
DIME COMMUNITY BANCSHARES 0 -- 2,100 42,262
FCNB CORP. 0 -- 1,200 22,875
FIFTH THIRD BANCORP 508 23,463 3,293 152,095
FIRST NATIONAL CORP. 0 -- 0 --
FIRST REPUBLIC BANK+ 0 -- 1,200 29,775
FIRST SECURITY CORP. 0 -- 0 --
FIRST SENTINEL BANCORP
INC. 0 -- 4,500 41,062
FIRST TENNESSEE NATIONAL
CORP. 0 -- 0 --
FIRST UNION CORP. 301 8,710 0 --
FIRST UNITED BANCSHARES
INC. 0 -- 1,300 21,126
FIRST VIRGINIA BANKS INC. 1 43 0 --
FIRST WASHINGTON BANCORP
INC. 0 -- 2,000 29,625
FIRSTAR CORP. 934 22,299 6,384 152,418
FIRSTFED FINANCIAL CORP.+ 0 -- 2,700 48,600
FIRSTMERIT CORP. 0 -- 0 --
FLAGSTAR BANCORP INC. 0 -- 2,700 31,725
FLEETBOSTON FINANCIAL
CORP. 854 36,455 5,688 242,807
GOLD BANCORP INC. 0 -- 3,900 20,902
GOLDEN WEST FINANCIAL
CORP. 162 7,715 1,470 70,009
GREENPOINT FINANCIAL
CORP. 0 -- 0 --
</TABLE>
20
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
GENERAL MOTORS CORP. "A" 9,837 $ 710,108 7,449 $ 537,725 13,725 $ 990,773
NAVISTAR INTERNATIONAL
CORP.+ 1,847 69,262 1,334 50,025 1,814 68,025
PACCAR INC. 2,323 98,582 1,798 76,303 2,163 91,792
------------ ------------ ------------
$ 1,638,697 $ 1,256,574 $ 2,421,522
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.12% 0.13% 0.12%
COOPER TIRE & RUBBER CO. 0 $ -- 0 $ -- 0 $ --
DANA CORP. 4,600 113,563 3,243 80,062 4,572 112,871
DELPHI AUTOMOTIVE SYSTEMS
CORP. 11,135 183,032 7,748 127,358 15,858 260,666
GOODYEAR TIRE & RUBBER
CO. 3,148 73,585 1,997 46,680 4,436 103,692
LEAR CORP.+ 2,127 45,863 0 -- 0 --
SUPERIOR INDUSTRIES
INTERNATIONAL INC. 0 -- 0 -- 0 --
TRW INC. 2,025 92,517 1,595 72,872 3,453 157,759
VISTEON CORP. 5,849 91,756 4,163 65,307 4,425 69,417
------------ ------------ ------------
$ 600,316 $ 392,279 $ 704,405
BANKS
PERCENT OF NET ASSETS 2.57% 2.99% 3.24%
AMSOUTH BANCORP 6,513 $ 118,862 5,165 $ 94,261 10,930 $ 199,473
ANDOVER BANCORP INC. 0 -- 6,100 178,425 0 --
AREA BANCSHARES CORP. 0 -- 0 -- 0 --
ASSOCIATED BANCORP 974 24,457 1,083 27,193 3,828 96,119
BANK OF AMERICA CORP. 20,894 1,119,135 18,567 994,495 38,392 2,056,372
BANK OF NEW YORK CO. INC. 12,390 649,701 8,951 469,368 18,111 949,696
BANK ONE CORP. 18,316 645,639 13,837 487,754 27,987 986,542
BANK UNITED CORP. "A" 0 -- 1,500 67,500 0 --
BANKUNITED FINANCIAL
CORP. "A"+ 0 -- 0 -- 0 --
BB&T CORP. 5,854 158,424 4,567 123,594 9,719 263,020
CENTENNIAL BANCORP+ 0 -- 0 -- 0 --
CFS BANCORP INC. 0 -- 0 -- 0 --
CHARTER ONE FINANCIAL
INC. 2,771 65,811 2,444 58,045 7,764 184,395
CHASE MANHATTAN CORP. 20,722 1,157,842 13,560 757,665 28,553 1,595,399
CITY NATIONAL CORP. 864 33,750 782 30,547 0 --
COHOES BANCORP INC. 0 -- 0 -- 0 --
COMERICA INC. 2,657 149,622 1,970 110,936 4,234 238,427
COMMERCE BANCSHARES INC. 1,122 40,392 1,001 36,036 3,633 130,788
COMMUNITY TRUST BANCORP
INC. 0 -- 0 -- 0 --
COMPASS BANCSHARES INC. 1,956 35,697 2,411 44,001 5,715 104,299
CONNECTICUT BANKSHARES
INC.+ 9,200 159,850 0 -- 0 --
DIME BANCORP INC. 2,291 42,097 2,836 52,111 6,583 120,963
DIME COMMUNITY BANCSHARES 0 -- 0 -- 0 --
FCNB CORP. 0 -- 0 -- 0 --
FIFTH THIRD BANCORP 7,722 356,660 6,168 284,885 12,272 566,813
FIRST NATIONAL CORP. 100 1,600 0 -- 0 --
FIRST REPUBLIC BANK+ 0 -- 0 -- 0 --
FIRST SECURITY CORP. 2,798 42,673 2,504 38,186 9,952 151,764
FIRST SENTINEL BANCORP
INC. 0 -- 0 -- 0 --
FIRST TENNESSEE NATIONAL
CORP. 2,202 48,444 2,311 50,842 7,242 159,324
FIRST UNION CORP. 16,093 465,691 11,853 342,995 23,052 667,067
FIRST UNITED BANCSHARES
INC. 0 -- 0 -- 0 --
FIRST VIRGINIA BANKS INC. 852 36,423 1,176 50,274 2,941 125,728
FIRST WASHINGTON BANCORP
INC. 0 -- 0 -- 0 --
FIRSTAR CORP. 16,450 392,744 12,751 304,430 27,321 652,289
FIRSTFED FINANCIAL CORP.+ 0 -- 0 -- 0 --
FIRSTMERIT CORP. 1,953 45,529 0 -- 0 --
FLAGSTAR BANCORP INC. 0 -- 0 -- 0 --
FLEETBOSTON FINANCIAL
CORP. 15,376 656,363 10,786 460,427 21,447 915,519
GOLD BANCORP INC. 0 -- 0 -- 0 --
GOLDEN WEST FINANCIAL
CORP. 2,751 131,016 2,121 101,013 4,583 218,265
GREENPOINT FINANCIAL
CORP. 1,502 39,240 0 -- 4,893 127,830
</TABLE>
21
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
HAMILTON BANCORP INC.+ 0 $ -- 1,200 $ 17,850
HERITAGE COMMERCE CORP.+ 0 -- 0 --
HIBERNIA CORP. "A" 0 -- 0 --
HORIZON FINANCIAL CORP. 0 -- 0 --
HUNTINGTON BANCSHARES
INC. 228 3,847 2,710 45,731
KEYCORP 0 -- 0 --
LOCAL FINANCIAL
CORPORATION+ 0 -- 4,100 42,025
M&T BANK CORP. 0 -- 0 --
MARSHALL & ILSLEY CORP. 0 -- 0 --
MELLON FINANCIAL CORP. 484 21,901 3,206 145,071
MERCANTILE BANKSHARES
CORP. 0 -- 0 --
NATIONAL CITY CORP. 0 -- 0 --
NATIONAL COMMERCE BANCORP 0 -- 0 --
NBT BANCORP INC. 0 -- 2,800 31,850
NORTH FORK BANCORP 0 -- 0 --
NORTHERN TRUST CORP. 238 20,066 1,520 128,155
NORTHWEST BANCORP INC. 0 -- 4,300 36,550
OCEANFIRST FINANCIAL
CORP. 0 -- 2,000 41,250
OLD KENT FINANCIAL CORP. 244 7,152 1,770 51,883
OLD NATIONAL BANCORP 0 -- 0 --
PACIFIC CENTURY FINANCIAL
CORP. 0 -- 0 --
PATRIOT BANK CORP. 0 -- 3,500 22,969
PNC BANK CORP. 319 18,801 0 --
PREMIER NATIONAL BANCORP
INC. 0 -- 1,500 30,375
REGIONS FINANCIAL CORP. 170 3,697 2,937 63,880
REPUBLIC BANCORP INC. 0 -- 2,800 24,850
REPUBLIC BANCORP INC. KY
"A" 0 -- 2,300 15,741
REPUBLIC BANCSHARES INC.+ 0 -- 2,100 25,462
ROYAL BANCSHARES OF
PENNSYLVANIA "A" 0 -- 2,000 34,875
SKY FINANCIAL GROUP INC. 0 -- 0 --
SOUTHTRUST CORP. 186 5,243 1,912 53,895
SOVEREIGN BANCORP INC. 0 -- 0 --
STATE STREET CORP. 205 24,139 1,107 130,349
STERLING FINANCIAL CORP. 0 -- 1,500 24,562
SUMMIT BANCORP 174 4,818 2,450 67,834
SUNTRUST BANKS INC. 338 16,689 0 --
SYNOVUS FINANCIAL CORP. 297 5,847 2,950 58,078
TCF FINANCIAL CORP. 0 -- 0 --
TRUSTMARK CORP. 0 -- 0 --
U.S. BANCORP 571 12,419 0 --
UNION PLANTERS CORP. 173 5,244 1,942 58,867
UNIONBANCAL CORPORATION 0 -- 0 --
UNITED COMMUNITY
FINANCIAL CORP. 0 -- 4,600 29,037
USB HOLDING CO INC. 0 -- 2,100 28,087
USBANCORP INC. 0 -- 4,200 18,506
VALLEY NATIONAL BANCORP 0 -- 0 --
WACHOVIA CORP. 172 9,858 0 --
WASHINGTON FEDERAL INC. 0 -- 0 --
WASHINGTON MUTUAL INC. 0 -- 0 --
WELLS FARGO & COMPANY 1,497 64,652 9,798 423,151
WEST COAST BANCORP 0 -- 2,700 26,662
WILMINGTON TRUST CORP. 0 -- 0 --
ZIONS BANCORP 0 -- 0 --
----------- ------------
$ 412,201 $ 4,494,897
BEVERAGES
PERCENT OF NET ASSETS 0.13% 0.46%
ANHEUSER-BUSCH COMPANIES
INC. 0 $ -- 0 $ --
BROWN-FORMAN CORP. "B" 64 3,392 718 38,054
COCA-COLA CO. 907 47,731 13,174 693,282
COCA-COLA ENTERPRISES 516 9,610 3,045 56,713
</TABLE>
22
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
HAMILTON BANCORP INC.+ 0 $ -- 0 $ -- 0 $ --
HERITAGE COMMERCE CORP.+ 100 1,031 0 -- 0 --
HIBERNIA CORP. "A" 3,005 37,750 3,828 48,089 0 --
HORIZON FINANCIAL CORP. 42,200 411,450 0 -- 0 --
HUNTINGTON BANCSHARES
INC. 4,268 72,023 3,403 57,426 7,124 120,218
KEYCORP 7,074 142,806 5,847 118,036 9,849 198,827
LOCAL FINANCIAL
CORPORATION+ 0 -- 0 -- 0 --
M&T BANK CORP. 88 42,652 89 43,137 0 --
MARSHALL & ILSLEY CORP. 2,031 99,011 1,860 90,675 4,882 237,997
MELLON FINANCIAL CORP. 8,512 385,168 6,384 288,876 12,572 568,883
MERCANTILE BANKSHARES
CORP. 1,770 61,037 1,852 63,865 3,939 135,834
NATIONAL CITY CORP. 10,278 215,196 8,002 167,542 14,348 300,411
NATIONAL COMMERCE BANCORP 3,763 72,673 2,243 43,318 4,716 91,078
NBT BANCORP INC. 0 -- 0 -- 0 --
NORTH FORK BANCORP 2,454 43,865 3,293 58,862 7,422 132,668
NORTHERN TRUST CORP. 3,772 318,027 2,862 241,302 6,270 528,639
NORTHWEST BANCORP INC. 0 -- 0 -- 0 --
OCEANFIRST FINANCIAL
CORP. 0 -- 0 -- 0 --
OLD KENT FINANCIAL CORP. 2,332 68,357 1,830 53,642 3,920 114,905
OLD NATIONAL BANCORP 0 -- 0 -- 0 --
PACIFIC CENTURY FINANCIAL
CORP. 1,702 23,828 1,487 20,818 0 --
PATRIOT BANK CORP. 0 -- 0 -- 0 --
PNC BANK CORP. 4,977 293,332 3,776 222,548 6,460 380,736
PREMIER NATIONAL BANCORP
INC. 0 -- 0 -- 0 --
REGIONS FINANCIAL CORP. 3,690 80,258 2,905 63,184 6,153 133,828
REPUBLIC BANCORP INC. 0 -- 0 -- 0 --
REPUBLIC BANCORP INC. KY
"A" 0 -- 0 -- 0 --
REPUBLIC BANCSHARES INC.+ 0 -- 0 -- 0 --
ROYAL BANCSHARES OF
PENNSYLVANIA "A" 0 -- 0 -- 0 --
SKY FINANCIAL GROUP INC. 0 -- 2,200 38,500 0 --
SOUTHTRUST CORP. 2,837 79,968 2,119 59,729 4,714 132,876
SOVEREIGN BANCORP INC. 5,219 44,361 0 -- 7,778 66,113
STATE STREET CORP. 2,727 321,104 2,090 246,098 4,511 531,170
STERLING FINANCIAL CORP. 0 -- 0 -- 0 --
SUMMIT BANCORP 2,887 79,934 2,296 63,571 4,952 137,109
SUNTRUST BANKS INC. 5,359 264,601 4,107 202,783 7,562 373,374
SYNOVUS FINANCIAL CORP. 4,706 92,649 3,642 71,702 7,873 155,000
TCF FINANCIAL CORP. 2,116 69,431 2,511 82,392 5,058 165,966
TRUSTMARK CORP. 6,465 119,602 1,696 31,376 0 --
U.S. BANCORP 12,089 262,936 9,900 215,325 19,648 427,344
UNION PLANTERS CORP. 2,368 71,780 1,831 55,502 3,957 119,947
UNIONBANCAL CORPORATION 700 17,369 0 -- 1,190 29,527
UNITED COMMUNITY
FINANCIAL CORP. 0 -- 0 -- 0 --
USB HOLDING CO INC. 0 -- 0 -- 0 --
USBANCORP INC. 0 -- 0 -- 0 --
VALLEY NATIONAL BANCORP 6,830 179,287 1,365 35,831 0 --
WACHOVIA CORP. 3,415 195,722 2,608 149,471 4,773 273,553
WASHINGTON FEDERAL INC. 0 -- 4,200 87,150 0 --
WASHINGTON MUTUAL INC. 9,668 338,380 7,472 261,520 12,994 454,790
WELLS FARGO & COMPANY 27,655 1,194,350 19,008 820,908 39,001 1,684,356
WEST COAST BANCORP 0 -- 0 -- 0 --
WILMINGTON TRUST CORP. 719 36,220 696 35,061 1,833 92,337
ZIONS BANCORP 1,602 71,689 1,239 55,445 3,921 175,465
------------ ------------ ------------
$ 12,425,509 $ 9,258,667 $ 18,273,043
BEVERAGES
PERCENT OF NET ASSETS 0.81% 0.96% 1.20%
ANHEUSER-BUSCH COMPANIES
INC. 7,678 $ 605,122 4,921 $ 387,836 11,762 $ 926,993
BROWN-FORMAN CORP. "B" 1,150 60,950 820 43,460 1,930 102,290
COCA-COLA CO. 37,742 1,986,173 30,522 1,606,220 69,785 3,672,436
COCA-COLA ENTERPRISES 7,179 133,709 5,549 103,350 11,890 221,451
</TABLE>
23
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
COORS (ADOLPH) COMPANY
"B" 559 $ 33,295 0 $ --
NATIONAL BEVERAGE CORP.+ 0 -- 2,600 18,200
PEPSICO INC. 747 31,841 8,032 342,364
WHITMAN CORP. 0 -- 0 --
----------- ------------
$ 125,869 $ 1,148,613
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.27% 0.29%
AMGEN INC.+ 1,168 $ 88,549 5,376 $ 407,568
BIOGEN INC.+ 296 20,461 944 65,254
CHIRON CORP.+ 0 -- 0 --
CRYOLIFE INC.+ 0 -- 1,200 32,250
CURAGEN CORP.+ 0 -- 0 --
EXELIXIS INC.+ 0 -- 0 --
GENE LOGIC INC.+ 0 -- 0 --
GENENTECH INC.+ 0 -- 0 --
GENOME THERAPEUTICS
CORP.+ 0 -- 0 --
GENZYME GENERAL DIVISION+ 0 -- 0 --
IMMUNEX CORP.+ 1,000 50,250 1,968 98,892
IMMUNOMEDICS INC.+ 600 15,000 2,500 62,500
INCYTE PHARMACEUTICALS
INC.+ 0 -- 0 --
MILLENNIUM
PHARMACEUTICALS INC.+ 0 -- 0 --
MYRIAD GENETICS INC.+ 200 27,975 0 --
NANOGEN INC.+ 300 7,237 0 --
PE CORP. (CELERA GENOMICS
GROUP)+ 200 21,687 500 54,219
REGENERON PHARMACEUTICALS
INC.+ 700 24,806 0 --
SANGAMO BIOSCIENCES INC.+ 0 -- 0 --
VIROLOGIC INC.+ 0 -- 0 --
----------- ------------
$ 255,965 $ 720,683
BUILDING MATERIALS
PERCENT OF NET ASSETS 0.07% 0.05%
AMERICAN STANDARD
COMPANIES INC.+ 0 $ -- 1,816 $ 84,103
ARMSTRONG HOLDINGS INC. 2,492 39,716 0 --
MASCO CORP. 0 -- 0 --
OWENS CORNING 418 2,168 0 --
SOUTHDOWN INC. 0 -- 0 --
USG CORP. 0 -- 0 --
VULCAN MATERIALS CO. 190 8,419 806 35,716
YORK INTERNATIONAL CORP. 802 19,950 0 --
----------- ------------
$ 70,253 $ 119,819
CHEMICALS
PERCENT OF NET ASSETS 0.31% 0.58%
AIR PRODUCTS & CHEMICALS
INC. 0 $ -- 1,571 $ 57,047
AIRGAS INC.+ 5,600 37,100 0 --
ASHLAND INC. 99 3,490 0 --
CABOT CORP. 0 -- 0 --
CROMPTON CORP. 0 -- 0 --
DOW CHEMICAL CO. 0 -- 0 --
DU PONT (E.I.) DE NEMOURS 380 17,052 6,238 279,930
EASTMAN CHEMICAL CO. 114 4,916 571 24,624
ENGELHARD CORP. 100 1,875 23,456 439,800
GEORGIA GULF CORP. 1,837 23,881 0 --
GRACE (W.R.) & COMPANY+ 1,842 14,621 0 --
GREAT LAKES CHEMICAL
CORP. 67 2,261 0 --
HANNA (M.A.) CO. 7,180 59,684 0 --
HERCULES INC. 82 1,086 20,138 266,828
IMC GLOBAL INC. 0 -- 0 --
LUBRIZOL CORP. 0 -- 0 --
LYONDELL CHEMICAL CO. 0 -- 0 --
</TABLE>
24
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
COORS (ADOLPH) COMPANY
"B" 663 $ 39,490 501 $ 29,841 779 $ 46,399
NATIONAL BEVERAGE CORP.+ 0 -- 0 -- 0 --
PEPSICO INC. 24,109 1,027,646 17,885 762,348 39,944 1,702,613
WHITMAN CORP. 3,487 45,985 2,384 31,439 5,657 74,602
------------ ------------ ------------
$ 3,899,075 $ 2,964,494 $ 6,746,784
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.58% 0.62% 0.79%
AMGEN INC.+ 17,920 $ 1,358,560 13,554 $ 1,027,563 30,952 $ 2,346,548
BIOGEN INC.+ 2,972 205,439 2,020 139,632 4,642 320,878
CHIRON CORP.+ 2,425 131,102 1,943 105,043 4,574 247,282
CRYOLIFE INC.+ 0 -- 0 -- 0 --
CURAGEN CORP.+ 1,000 44,375 1,200 53,250 2,200 97,625
EXELIXIS INC.+ 600 27,000 0 -- 0 --
GENE LOGIC INC.+ 2,000 49,125 2,300 56,494 3,500 85,969
GENENTECH INC.+ 700 133,350 0 -- 600 114,300
GENOME THERAPEUTICS
CORP.+ 0 -- 0 -- 1,800 45,225
GENZYME GENERAL DIVISION+ 1,231 92,402 864 64,854 1,401 105,163
IMMUNEX CORP.+ 3,856 193,764 3,552 178,488 7,596 381,699
IMMUNOMEDICS INC.+ 1,900 47,500 0 -- 2,000 50,000
INCYTE PHARMACEUTICALS
INC.+ 700 58,056 0 -- 800 66,350
MILLENNIUM
PHARMACEUTICALS INC.+ 1,700 243,312 1,300 186,062 2,400 343,500
MYRIAD GENETICS INC.+ 0 -- 0 -- 0 --
NANOGEN INC.+ 1,100 26,537 0 -- 1,900 45,837
PE CORP. (CELERA GENOMICS
GROUP)+ 1,100 119,281 1,000 108,437 2,000 216,875
REGENERON PHARMACEUTICALS
INC.+ 0 -- 0 -- 0 --
SANGAMO BIOSCIENCES INC.+ 800 39,400 0 -- 0 --
VIROLOGIC INC.+ 1,600 32,600 0 -- 0 --
------------ ------------ ------------
$ 2,801,803 $ 1,919,823 $ 4,467,251
BUILDING MATERIALS
PERCENT OF NET ASSETS 0.07% 0.09% 0.12%
AMERICAN STANDARD
COMPANIES INC.+ 1,427 $ 66,088 1,061 $ 49,138 2,573 $ 119,162
ARMSTRONG HOLDINGS INC. 0 -- 0 -- 0 --
MASCO CORP. 7,478 145,821 5,804 113,178 12,557 244,861
OWENS CORNING 0 -- 0 -- 0 --
SOUTHDOWN INC. 560 35,140 762 47,815 2,131 133,720
USG CORP. 777 25,010 0 -- 1,666 53,624
VULCAN MATERIALS CO. 1,628 72,141 1,288 57,074 2,790 123,632
YORK INTERNATIONAL CORP. 0 -- 0 -- 0 --
------------ ------------ ------------
$ 344,200 $ 267,205 $ 674,999
CHEMICALS
PERCENT OF NET ASSETS 0.55% 0.58% 0.57%
AIR PRODUCTS & CHEMICALS
INC. 3,890 $ 141,256 3,072 $ 111,552 6,401 $ 232,436
AIRGAS INC.+ 0 -- 0 -- 0 --
ASHLAND INC. 1,785 62,921 965 34,016 2,044 72,051
CABOT CORP. 1,916 70,892 1,814 67,118 0 --
CROMPTON CORP. 6,851 61,659 3,296 29,664 0 --
DOW CHEMICAL CO. 11,163 292,331 8,439 220,996 17,626 461,581
DU PONT (E.I.) DE NEMOURS 17,541 787,152 13,253 594,728 25,345 1,137,357
EASTMAN CHEMICAL CO. 1,325 57,141 1,045 45,066 2,030 87,544
ENGELHARD CORP. 2,566 48,112 1,617 30,319 3,551 66,581
GEORGIA GULF CORP. 0 -- 0 -- 0 --
GRACE (W.R.) & COMPANY+ 0 -- 0 -- 0 --
GREAT LAKES CHEMICAL
CORP. 1,340 45,225 0 -- 1,647 55,586
HANNA (M.A.) CO. 0 -- 0 -- 0 --
HERCULES INC. 4,321 57,253 0 -- 2,383 31,575
IMC GLOBAL INC. 5,394 79,224 2,294 33,693 5,432 79,782
LUBRIZOL CORP. 4,917 106,637 1,566 33,963 0 --
LYONDELL CHEMICAL CO. 0 -- 2,375 31,023 0 --
</TABLE>
25
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
MILLENNIUM CHEMICALS INC. 0 $ -- 0 $ --
OLIN CORP. 0 -- 0 --
PPG INDUSTRIES INC. 0 -- 0 --
PRAXAIR INC. 0 -- 1,121 49,604
ROHM & HAAS CO. "A" 0 -- 1,603 46,387
SCHULMAN INC. "A" 5,403 65,174 0 --
SHERWIN-WILLIAMS CO. 181 4,163 1,304 29,992
SIGMA-ALDRICH CORP. 418 12,148 7,158 208,029
SOLUTIA INC. 143 2,154 0 --
UNION CARBIDE CORP. 0 -- 926 37,098
VALSPAR CORP. 0 -- 0 --
WELLMAN INC. 4,063 49,010 0 --
----------- ------------
$ 298,615 $ 1,439,339
COMMERCIAL SERVICES
PERCENT OF NET ASSETS 0.30% 0.35%
AARON RENTS INC. "B" 0 $ -- 1,700 $ 23,375
ANC RENTAL CORP.+ 0 -- 0 --
APOLLO GROUP INC.+ 0 -- 0 --
AURORA BIOSCIENCES CORP.+ 200 13,675 0 --
BLOCK (H & R) INC. 105 3,767 988 35,445
BURNS INTERNATIONAL
SERVICES CORP.+ 0 -- 1,500 32,250
BUTLER INTERNATIONAL
INC.+ 0 -- 2,500 16,562
CAREMARK RX INC.+ 0 -- 0 --
CDI CORP.+ 0 -- 1,000 18,500
CENDANT CORP.+ 642 8,466 5,182 68,338
COMDISCO INC. 0 -- 0 --
CONCORD EFS INC.+ 0 -- 0 --
CONVERGYS CORP.+ 0 -- 1,000 39,125
CPI CORP. 0 -- 1,200 29,250
DELUXE CORP. 64 1,408 0 --
DEVRY INC.+ 1,100 41,112 0 --
DONNELLEY (R.R.) & SONS
CO. 139 3,579 7,855 202,266
DUN & BRADSTREET CORP. 75 2,475 1,500 49,500
ECOLAB INC. 84 3,271 1,076 41,897
ELECTRO RENT CORP.+ 0 -- 1,900 23,275
EQUIFAX INC. 111 2,824 2,300 58,506
FIRST HEALTH GROUP CORP.+ 768 23,856 0 --
GARTNER GROUP INC. "A"+ 0 -- 0 --
HEALTHCARE SERVICES GROUP
INC.+ 0 -- 4,500 22,781
INSURANCE AUTO AUCTIONS
INC.+ 0 -- 1,100 18,150
MANPOWER INC. 0 -- 0 --
MCKESSON HBOC INC. 345 8,603 2,092 52,169
MODIS PROFESSIONAL
SERVICES INC.+ 0 -- 0 --
NATIONSRENT INC.+ 0 -- 5,600 21,700
OGDEN CORP.+ 4,001 69,517 0 --
PAYCHEX INC. 252 11,246 2,233 99,648
QUINTILES TRANSNATIONAL
CORP.+ 990 13,798 0 --
ROBERT HALF INTERNATIONAL
INC.+ 0 -- 0 --
SERVICEMASTER CO. 0 -- 0 --
SODEXHO MARRIOTT SERVICES
INC. 1,844 29,965 0 --
STEWART ENTERPRISES INC.
"A" 11,400 36,337 0 --
VALASSIS COMMUNICATIONS
INC.+ 350 10,106 0 --
VIAD CORP. 0 -- 0 --
WACKENHUT CORRECTIONS
CORP.+ 0 -- 2,200 19,937
----------- ------------
$ 284,005 $ 872,674
COMPUTERS
PERCENT OF NET ASSETS 1.97% 3.82%
ACTUATE SOFTWARE CORP.+ 600 $ 15,562 0 $ --
AFFILIATED COMPUTER
SERVICES INC.+ 0 -- 0 --
</TABLE>
26
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
MILLENNIUM CHEMICALS INC. 7,039 $ 116,143 2,016 $ 33,264 0 $ --
OLIN CORP. 0 -- 1,312 21,648 0 --
PPG INDUSTRIES INC. 2,878 116,559 2,221 89,950 4,851 196,465
PRAXAIR INC. 2,700 119,475 2,032 89,916 4,470 197,797
ROHM & HAAS CO. "A" 3,705 107,213 2,768 80,099 6,096 176,403
SCHULMAN INC. "A" 0 -- 0 -- 0 --
SHERWIN-WILLIAMS CO. 2,792 64,216 2,143 49,289 4,705 108,215
SIGMA-ALDRICH CORP. 3,434 99,801 1,989 57,805 2,719 79,021
SOLUTIA INC. 3,301 49,721 2,675 40,292 6,440 97,003
UNION CARBIDE CORP. 2,249 90,101 1,719 68,867 3,714 148,792
VALSPAR CORP. 3,564 105,138 782 23,069 0 --
WELLMAN INC. 0 -- 0 -- 0 --
------------ ------------ ------------
$ 2,678,170 $ 1,786,337 $ 3,228,189
COMMERCIAL SERVICES
PERCENT OF NET ASSETS 0.39% 0.50% 0.55%
AARON RENTS INC. "B" 0 $ -- 0 $ -- 0 $ --
ANC RENTAL CORP.+ 11,111 77,777 5,902 41,314 2,524 17,668
APOLLO GROUP INC.+ 0 -- 1,027 41,914 1,931 78,809
AURORA BIOSCIENCES CORP.+ 600 41,025 0 -- 900 61,537
BLOCK (H & R) INC. 1,619 58,082 1,303 46,745 2,740 98,298
BURNS INTERNATIONAL
SERVICES CORP.+ 0 -- 0 -- 0 --
BUTLER INTERNATIONAL
INC.+ 0 -- 0 -- 0 --
CAREMARK RX INC.+ 0 -- 4,328 42,468 0 --
CDI CORP.+ 0 -- 0 -- 0 --
CENDANT CORP.+ 11,832 156,035 10,052 132,561 19,788 260,954
COMDISCO INC. 1,800 43,200 2,753 66,072 6,529 156,696
CONCORD EFS INC.+ 3,372 108,325 3,047 97,885 6,824 219,221
CONVERGYS CORP.+ 2,000 78,250 0 -- 1,200 46,950
CPI CORP. 0 -- 0 -- 0 --
DELUXE CORP. 2,631 57,882 2,247 49,434 2,044 44,968
DEVRY INC.+ 0 -- 0 -- 0 --
DONNELLEY (R.R.) & SONS
CO. 3,383 87,112 2,773 71,405 3,560 91,670
DUN & BRADSTREET CORP. 2,726 89,958 2,063 68,079 4,841 159,753
ECOLAB INC. 2,168 84,417 1,603 62,417 3,658 142,433
ELECTRO RENT CORP.+ 0 -- 0 -- 0 --
EQUIFAX INC. 2,219 56,446 2,076 52,808 4,276 108,771
FIRST HEALTH GROUP CORP.+ 1,606 49,886 1,700 52,806 3,694 114,745
GARTNER GROUP INC. "A"+ 0 -- 2,261 29,958 2,485 32,926
HEALTHCARE SERVICES GROUP
INC.+ 0 -- 0 -- 0 --
INSURANCE AUTO AUCTIONS
INC.+ 0 -- 0 -- 0 --
MANPOWER INC. 2,216 80,191 2,064 74,691 4,163 150,649
MCKESSON HBOC INC. 7,347 183,216 4,533 113,042 7,899 196,981
MODIS PROFESSIONAL
SERVICES INC.+ 4,454 30,621 2,600 17,875 5,246 36,066
NATIONSRENT INC.+ 0 -- 0 -- 0 --
OGDEN CORP.+ 0 -- 0 -- 0 --
PAYCHEX INC. 6,163 275,024 4,755 212,192 11,170 498,461
QUINTILES TRANSNATIONAL
CORP.+ 3,175 44,252 2,119 29,534 3,278 45,687
ROBERT HALF INTERNATIONAL
INC.+ 3,506 111,535 3,682 117,134 7,442 236,749
SERVICEMASTER CO. 5,145 49,842 4,728 45,802 10,490 101,622
SODEXHO MARRIOTT SERVICES
INC. 0 -- 0 -- 0 --
STEWART ENTERPRISES INC.
"A" 0 -- 0 -- 0 --
VALASSIS COMMUNICATIONS
INC.+ 1,439 41,551 1,054 30,434 1,522 43,948
VIAD CORP. 2,601 76,242 2,357 69,090 4,812 141,052
WACKENHUT CORRECTIONS
CORP.+ 0 -- 0 -- 0 --
------------ ------------ ------------
$ 1,880,869 $ 1,565,660 $ 3,086,614
COMPUTERS
PERCENT OF NET ASSETS 6.18% 7.57% 9.39%
ACTUATE SOFTWARE CORP.+ 0 $ -- 0 $ -- 3,800 $ 98,562
AFFILIATED COMPUTER
SERVICES INC.+ 0 -- 700 32,594 0 --
</TABLE>
27
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
APPLE COMPUTER INC.+ 650 $ 39,609 1,910 $ 116,392
AREMISSOFT CORP.+ 0 -- 2,600 70,850
AZTEC TECHNOLOGY PARTNERS
INC.+ 0 -- 0 --
BROCADE COMMUNICATIONS
SYSTEM INC.+ 200 45,162 0 --
CAIS INTERNET INC.+ 0 -- 0 --
CERIDIAN CORP.+ 92 2,225 3,774 91,284
CISCO SYSTEMS INC.+ 4,774 327,019 35,394 2,424,489
CLARUS CORP.+ 0 -- 0 --
COGNIZANT TECHNOLOGY
SOLUTIONS CORP.+ 700 29,925 0 --
COMMERCE ONE INC.+ 0 -- 0 --
COMMUNICATION
INTELLIGENCE CORP.+ 0 -- 0 --
COMPAQ COMPUTER CORP. 1,847 62,913 9,767 332,688
COMPUTER SCIENCES CORP.+ 132 10,436 1,137 89,894
DELL COMPUTER CORP.+ 2,072 90,391 13,044 569,044
DIEBOLD INC. 0 -- 0 --
DOCUMENTUM INC.+ 300 21,469 0 --
DST SYSTEMS INC.+ 0 -- 0 --
ECHELON CORP.+ 200 9,412 1,300 61,181
ELECTRONIC DATA SYSTEMS
CORP. 458 22,814 2,975 148,192
ELECTRONICS FOR IMAGING
INC.+ 0 -- 0 --
EMC CORPORATION+ 1,734 169,932 11,004 1,078,392
ENTRUST TECHNOLOGIES
INC.+ 0 -- 0 --
EVERCEL INC.+ 0 -- 0 --
EXTENDED SYSTEMS INC.+ 100 4,587 500 22,937
FOUNDRY NETWORKS INC.+ 0 -- 0 --
GATEWAY INC.+ 410 27,921 1,870 127,347
HEWLETT-PACKARD CO. 814 98,290 5,703 688,637
INTERNATIONAL BUSINESS
MACHINES CORP. 1,180 155,760 9,054 1,195,128
INTERNET SECURITY SYSTEMS
INC.+ 0 -- 0 --
INTRAWARE INC.+ 0 -- 0 --
IOMEGA CORP.+ 0 -- 0 --
JUNIPER NETWORKS INC.+ 600 128,250 1,400 299,250
JUNO ONLINE SERVICES
INC.+ 0 -- 0 --
KANA COMMUNICATIONS INC.+ 0 -- 0 --
LEXMARK INTERNATIONAL
GROUP INC. "A"+ 280 18,987 734 49,774
LIBERATE TECHNOLOGIES
INC.+ 0 -- 0 --
MARCHFIRST INC.+ 0 -- 0 --
MENTOR GRAPHICS CORP.+ 0 -- 0 --
MICROMUSE INC.+ 200 30,375 200 30,375
MICROSTRATEGY INC.+ 0 -- 0 --
MYPOINTS.COM INC.+ 0 -- 0 --
NCR CORP.+ 261 10,538 2,588 104,490
NETEGRITY INC.+ 200 17,600 0 --
NETIQ CORP.+ 400 22,600 0 --
NETWORK APPLIANCE INC.+ 600 70,200 1,716 200,772
NUANCE COMMUNICATIONS
INC.+ 200 26,325 0 --
NVIDIA CORP.+ 300 23,812 0 --
NYFIX INC.+ 700 26,250 2,300 86,250
ONVIA.COM INC.+ 0 -- 0 --
ONYX SOFTWARE CORP.+ 0 -- 0 --
PORTAL SOFTWARE INC.+ 0 -- 0 --
PRIMUS KNOWLEDGE
SOLUTIONS INC.+ 0 -- 0 --
PROCOM TECHNOLOGY INC.+ 0 -- 1,200 57,900
PROXICOM INC.+ 0 -- 0 --
PUMA TECHNOLOGY INC.+ 0 -- 0 --
QUANTUM DLT & STORAGE
GROUP+ 0 -- 0 --
QUANTUM HARD DISK DRIVE
GROUP+ 0 -- 0 --
QUINTUS CORP.+ 0 -- 0 --
REDBACK NETWORKS INC.+ 0 -- 0 --
RSA SECURITY INC.+ 0 -- 0 --
SAFEGUARD SCIENTIFICS
INC.+ 0 -- 0 --
SANDISK CORP.+ 0 -- 0 --
</TABLE>
28
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
APPLE COMPUTER INC.+ 6,524 $ 397,556 4,136 $ 252,038 9,018 $ 549,535
AREMISSOFT CORP.+ 0 -- 0 -- 0 --
AZTEC TECHNOLOGY PARTNERS
INC.+ 0 -- 1 1 0 --
BROCADE COMMUNICATIONS
SYSTEM INC.+ 1,000 225,812 900 203,231 1,900 429,044
CAIS INTERNET INC.+ 3,200 25,800 0 -- 0 --
CERIDIAN CORP.+ 2,432 58,824 1,938 46,875 4,076 98,588
CISCO SYSTEMS INC.+ 114,084 7,814,754 89,986 6,164,041 204,149 13,984,206
CLARUS CORP.+ 0 -- 1,500 90,750 2,200 133,100
COGNIZANT TECHNOLOGY
SOLUTIONS CORP.+ 0 -- 0 -- 0 --
COMMERCE ONE INC.+ 1,700 106,303 1,600 100,050 3,900 243,872
COMMUNICATION
INTELLIGENCE CORP.+ 0 -- 0 -- 14,400 48,600
COMPAQ COMPUTER CORP. 29,137 992,479 22,059 751,385 45,756 1,558,564
COMPUTER SCIENCES CORP.+ 2,762 218,371 2,171 171,645 4,722 373,333
DELL COMPUTER CORP.+ 42,956 1,873,955 34,298 1,496,250 76,852 3,352,668
DIEBOLD INC. 3,535 99,864 1,878 53,053 3,882 109,666
DOCUMENTUM INC.+ 0 -- 0 -- 0 --
DST SYSTEMS INC.+ 789 74,166 514 48,316 1,501 141,094
ECHELON CORP.+ 1,500 70,594 700 32,944 2,500 117,656
ELECTRONIC DATA SYSTEMS
CORP. 7,826 389,833 6,176 307,642 13,185 656,778
ELECTRONICS FOR IMAGING
INC.+ 1,277 33,202 793 20,618 1,666 43,316
EMC CORPORATION+ 35,920 3,520,160 27,432 2,688,336 61,922 6,068,356
ENTRUST TECHNOLOGIES
INC.+ 1,500 44,625 0 -- 1,600 47,600
EVERCEL INC.+ 100 1,575 0 -- 0 --
EXTENDED SYSTEMS INC.+ 0 -- 0 -- 800 36,700
FOUNDRY NETWORKS INC.+ 0 -- 0 -- 400 37,225
GATEWAY INC.+ 6,310 429,711 4,510 307,131 9,630 655,803
HEWLETT-PACKARD CO. 16,925 2,043,694 12,751 1,539,683 25,639 3,095,909
INTERNATIONAL BUSINESS
MACHINES CORP. 27,140 3,582,480 22,576 2,980,032 51,556 6,805,392
INTERNET SECURITY SYSTEMS
INC.+ 900 72,900 800 64,800 1,500 121,500
INTRAWARE INC.+ 1,700 17,850 0 -- 2,500 26,250
IOMEGA CORP.+ 0 -- 5,567 22,964 0 --
JUNIPER NETWORKS INC.+ 3,600 769,500 2,800 598,500 7,200 1,539,000
JUNO ONLINE SERVICES
INC.+ 3,000 18,750 0 -- 0 --
KANA COMMUNICATIONS INC.+ 900 36,112 1,100 44,137 2,500 100,312
LEXMARK INTERNATIONAL
GROUP INC. "A"+ 2,930 198,691 1,912 129,657 3,926 266,232
LIBERATE TECHNOLOGIES
INC.+ 0 -- 0 -- 2,500 76,875
MARCHFIRST INC.+ 900 17,437 0 -- 0 --
MENTOR GRAPHICS CORP.+ 0 -- 1,393 26,293 0 --
MICROMUSE INC.+ 800 121,500 700 106,312 1,500 227,812
MICROSTRATEGY INC.+ 0 -- 0 -- 2,700 75,262
MYPOINTS.COM INC.+ 1,400 19,075 0 -- 0 --
NCR CORP.+ 3,384 136,629 1,353 54,627 2,711 109,457
NETEGRITY INC.+ 0 -- 0 -- 0 --
NETIQ CORP.+ 0 -- 0 -- 0 --
NETWORK APPLIANCE INC.+ 5,730 670,410 4,500 526,500 9,600 1,123,200
NUANCE COMMUNICATIONS
INC.+ 0 -- 0 -- 0 --
NVIDIA CORP.+ 1,000 79,375 1,000 79,375 0 --
NYFIX INC.+ 0 -- 0 -- 0 --
ONVIA.COM INC.+ 3,100 21,700 0 -- 0 --
ONYX SOFTWARE CORP.+ 0 -- 0 -- 1,300 29,494
PORTAL SOFTWARE INC.+ 0 -- 0 -- 2,300 127,075
PRIMUS KNOWLEDGE
SOLUTIONS INC.+ 800 18,850 0 -- 0 --
PROCOM TECHNOLOGY INC.+ 0 -- 0 -- 0 --
PROXICOM INC.+ 0 -- 800 19,350 1,900 45,956
PUMA TECHNOLOGY INC.+ 1,600 38,900 1,100 26,744 3,400 82,662
QUANTUM DLT & STORAGE
GROUP+ 3,513 47,645 3,277 44,444 7,301 99,020
QUANTUM HARD DISK DRIVE
GROUP+ 0 -- 1,788 17,433 0 --
QUINTUS CORP.+ 1 7 0 -- 0 --
REDBACK NETWORKS INC.+ 900 134,437 800 119,500 1,800 268,875
RSA SECURITY INC.+ 864 51,030 893 52,743 2,055 121,373
SAFEGUARD SCIENTIFICS
INC.+ 0 -- 0 -- 1,600 45,700
SANDISK CORP.+ 0 -- 0 -- 1,500 125,250
</TABLE>
29
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
SAPIENT CORP.+ 0 $ -- 0 $ --
SEAGATE TECHNOLOGY INC.+ 317 18,822 1,274 75,644
SILICON GRAPHICS INC.+ 0 -- 0 --
SILICON STORAGE
TECHNOLOGY+ 0 -- 0 --
SONIC FOUNDRY INC.+ 0 -- 3,000 27,937
STORAGE TECHNOLOGY CORP.+ 0 -- 0 --
SUN MICROSYSTEMS INC.+ 1,328 168,573 8,040 1,020,578
SUNGARD DATA SYSTEMS
INC.+ 0 -- 0 --
SYNOPSYS INC.+ 0 -- 0 --
3COM CORP.+ 680 11,305 2,425 40,316
UNISYS CORP.+ 540 7,020 2,012 26,156
VERISIGN INC.+ 300 59,662 900 178,987
VERITAS SOFTWARE CORP.+ 755 91,025 2,226 268,372
VERTEL CORP.+ 0 -- 4,800 61,800
WEBTRENDS CORP.+ 400 15,069 0 --
----------- ------------
$ 1,879,840 $ 9,545,056
COSMETICS / PERSONAL CARE
PERCENT OF NET ASSETS 0.05% 0.40%
ALBERTO-CULVER CO. "B" 1,192 $ 33,748 0 $ --
AVON PRODUCTS INC. 150 5,878 1,519 59,526
COLGATE-PALMOLIVE CO. 88 4,482 3,396 172,984
ESTEE LAUDER COMPANIES
INC. "A" 0 -- 0 --
GILLETTE CO. 97 2,910 6,132 183,960
INTERNATIONAL FLAVORS &
FRAGRANCES INC. 156 4,017 2,703 69,602
KIMBERLY-CLARK CORP. 0 -- 0 --
PROCTER & GAMBLE CO. 0 -- 7,934 490,420
TRISTAR CORP.+ 0 -- 3,700 21,275
----------- ------------
$ 51,035 $ 997,767
DISTRIBUTION / WHOLESALE
PERCENT OF NET ASSETS 0.02% 0.06%
COSTCO WHOLESALE CORP.+ 450 $ 15,497 3,022 $ 104,070
FASTENAL CO. 0 -- 0 --
GENUINE PARTS CO. 0 -- 1,669 34,319
GRAINGER (W.W.) INC. 72 2,079 854 24,659
TECH DATA CORP.+ 0 -- 0 --
----------- ------------
$ 17,576 $ 163,048
DIVERSIFIED FINANCIAL
SERVICES
PERCENT OF NET ASSETS 0.58% 1.96%
AMERICAN EXPRESS CO. 693 $ 40,974 8,102 $ 479,031
ASSOCIATES FIRST CAPITAL
CORP. 272 7,650 4,556 128,137
BEAR STEARNS COMPANIES
INC. 1 66 777 52,108
CAPITAL ONE FINANCIAL
CORP. 200 12,062 1,385 83,533
CHARTER MUNICIPAL
MORTGAGE ACCEPTANCE CORP. 0 -- 3,900 52,894
CITIGROUP INC. 2,263 132,083 26,253 1,532,538
COUNTRYWIDE CREDIT
INDUSTRIES INC. 94 3,560 2,495 94,498
DONALDSON, LUFKIN &
JENRETTE INC. 0 -- 0 --
E*TRADE GROUP INC.+ 0 -- 0 --
EDWARDS (A.G.) INC. 0 -- 0 --
FEDERAL NATIONAL MORTGAGE
ASSOCIATION 0 -- 6,524 350,665
FINET HOLDINGS CORP.+ 0 -- 0 --
FRANKLIN RESOURCES INC. 318 12,084 1,760 66,880
FREDDIE MAC 0 -- 0 --
GOLDMAN SACHS GROUP INC.
(THE) 0 -- 0 --
HOUSEHOLD INTERNATIONAL
INC. 339 16,272 0 --
KNIGHT TRADING GROUP
INC.+ 0 -- 0 --
LEGG MASON INC. 0 -- 0 --
LEHMAN BROTHERS HOLDINGS
INC. 80 11,600 810 117,450
MBNA CORP. 516 18,221 5,380 189,981
</TABLE>
30
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
SAPIENT CORP.+ 2,600 $ 136,500 2,000 $ 105,000 3,400 $ 178,500
SEAGATE TECHNOLOGY INC.+ 4,153 246,584 2,893 171,772 6,036 358,388
SILICON GRAPHICS INC.+ 0 -- 3,598 16,866 0 --
SILICON STORAGE
TECHNOLOGY+ 0 -- 0 -- 1,500 49,219
SONIC FOUNDRY INC.+ 0 -- 0 -- 0 --
STORAGE TECHNOLOGY CORP.+ 0 -- 1,616 25,553 0 --
SUN MICROSYSTEMS INC.+ 26,976 3,424,266 20,998 2,665,434 47,308 6,005,159
SUNGARD DATA SYSTEMS
INC.+ 1,765 63,540 2,121 76,356 5,069 182,484
SYNOPSYS INC.+ 1,390 51,517 1,418 52,555 3,203 118,711
3COM CORP.+ 6,167 102,526 4,778 79,434 9,551 158,785
UNISYS CORP.+ 6,381 82,953 4,260 55,380 8,691 112,983
VERISIGN INC.+ 2,067 411,075 1,660 330,132 4,250 845,219
VERITAS SOFTWARE CORP.+ 7,174 864,915 5,546 668,640 12,595 1,518,485
VERTEL CORP.+ 0 -- 0 -- 0 --
WEBTRENDS CORP.+ 0 -- 0 -- 1,300 48,973
------------ ------------ ------------
$ 29,858,432 $ 23,467,116 $ 52,873,778
COSMETICS / PERSONAL CARE
PERCENT OF NET ASSETS 0.60% 0.76% 0.88%
ALBERTO-CULVER CO. "B" 0 $ -- 852 $ 24,122 1,499 $ 42,440
AVON PRODUCTS INC. 3,921 153,654 3,160 123,833 7,309 286,421
COLGATE-PALMOLIVE CO. 9,648 491,445 7,422 378,058 16,416 836,190
ESTEE LAUDER COMPANIES
INC. "A" 702 28,738 1,050 42,984 2,274 93,092
GILLETTE CO. 17,728 531,840 13,673 410,190 30,077 902,310
INTERNATIONAL FLAVORS &
FRAGRANCES INC. 1,714 44,135 1,278 32,908 2,944 75,808
KIMBERLY-CLARK CORP. 9,212 538,902 6,891 403,123 13,207 772,609
PROCTER & GAMBLE CO. 17,793 1,099,830 15,062 931,020 31,136 1,924,594
TRISTAR CORP.+ 0 -- 0 -- 0 --
------------ ------------ ------------
$ 2,888,544 $ 2,346,238 $ 4,933,464
DISTRIBUTION / WHOLESALE
PERCENT OF NET ASSETS 0.10% 0.12% 0.12%
COSTCO WHOLESALE CORP.+ 7,946 $ 273,640 5,798 $ 199,669 12,392 $ 426,750
FASTENAL CO. 701 44,776 614 39,219 1,413 90,255
GENUINE PARTS CO. 2,939 60,433 2,278 46,841 4,991 102,627
GRAINGER (W.W.) INC. 1,642 47,413 1,235 35,661 2,636 76,114
TECH DATA CORP.+ 1,152 59,472 1,171 60,453 0 --
------------ ------------ ------------
$ 485,734 $ 381,843 $ 695,746
DIVERSIFIED FINANCIAL
SERVICES
PERCENT OF NET ASSETS 3.01% 3.60% 4.31%
AMERICAN EXPRESS CO. 22,521 $ 1,331,554 16,454 $ 972,843 34,168 $ 2,020,183
ASSOCIATES FIRST CAPITAL
CORP. 11,427 321,384 9,474 266,456 19,601 551,278
BEAR STEARNS COMPANIES
INC. 1,940 130,101 1,488 99,789 3,197 214,399
CAPITAL ONE FINANCIAL
CORP. 3,310 199,634 2,525 152,289 5,510 332,322
CHARTER MUNICIPAL
MORTGAGE ACCEPTANCE CORP. 0 -- 0 -- 0 --
CITIGROUP INC. 64,143 3,744,328 53,135 3,101,736 111,143 6,487,953
COUNTRYWIDE CREDIT
INDUSTRIES INC. 1,857 70,334 1,631 61,774 3,214 121,730
DONALDSON, LUFKIN &
JENRETTE INC. 0 -- 0 -- 1,325 117,262
E*TRADE GROUP INC.+ 2,300 40,825 0 -- 4,700 83,425
EDWARDS (A.G.) INC. 2,313 120,276 2,201 114,452 4,649 241,748
FEDERAL NATIONAL MORTGAGE
ASSOCIATION 17,181 923,479 11,673 627,424 24,061 1,293,279
FINET HOLDINGS CORP.+ 34,900 19,631 0 -- 0 --
FRANKLIN RESOURCES INC. 4,143 157,434 3,299 125,362 7,010 266,380
FREDDIE MAC 11,637 490,209 8,763 369,141 17,636 742,917
GOLDMAN SACHS GROUP INC.
(THE) 5,300 678,731 4,300 550,669 12,500 1,600,781
HOUSEHOLD INTERNATIONAL
INC. 7,903 379,344 6,122 293,856 12,821 615,408
KNIGHT TRADING GROUP
INC.+ 900 28,237 0 -- 2,200 69,025
LEGG MASON INC. 1,327 69,999 1,150 60,662 2,661 140,368
LEHMAN BROTHERS HOLDINGS
INC. 1,995 289,275 1,555 225,475 3,355 486,475
MBNA CORP. 13,312 470,080 10,282 363,083 22,306 787,681
</TABLE>
31
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
MERRILL LYNCH & CO. INC. 230 $ 33,350 2,284 $ 331,180
MICROFINANCIAL INC. 0 -- 2,200 21,587
MORGAN (J.P.) & CO. INC. 0 -- 0 --
MORGAN STANLEY DEAN
WITTER & CO. 888 95,515 6,692 719,808
PAINE WEBBER GROUP INC. 190 13,585 1,052 75,218
PRICE (T. ROWE)
ASSOCIATES 190 8,597 1,124 50,861
PROVIDIAN FINANCIAL CORP. 97 11,149 907 104,248
SCHWAB (CHARLES) CORP. 801 30,588 7,355 280,869
SEACOAST FINANCIAL
SERVICES CORP. 0 -- 5,200 52,650
STILWELL FINANCIAL INC.+ 266 12,868 1,322 63,952
STOCKWALK.COM GROUP INC.+ 0 -- 0 --
UNITED ASSET MANAGEMENT
CORP. 3,800 93,100 0 --
USA EDUCATION INC. 135 5,290 1,285 50,356
----------- ------------
$ 558,614 $ 4,898,444
ELECTRIC
PERCENT OF NET ASSETS 0.26% 0.85%
AES CORP.+ 400 $ 25,500 2,150 $ 137,062
AMEREN CORP. 188 7,602 752 30,409
AMERICAN ELECTRIC POWER
INC. 238 8,389 0 --
CINERGY CORP. 157 4,612 967 28,406
CMS ENERGY CORP. 100 2,612 18,200 475,475
CONSOLIDATED EDISON INC. 255 7,985 0 --
CONSTELLATION ENERGY
GROUP INC. 67 2,563 819 31,327
CP&L ENERGY INC. 143 5,291 963 35,631
DOMINION RESOURCES INC. 345 18,285 0 --
DTE ENERGY CO. 208 7,228 870 30,232
DUKE ENERGY CORP. 341 25,511 0 --
EDISON INTERNATIONAL 237 4,903 0 --
ENTERGY CORP. 250 7,609 1,431 43,556
FIRSTENERGY CORP. 260 6,435 1,315 32,546
FLORIDA PROGRESS CORP. 0 -- 510 26,456
FPL GROUP INC. 211 11,262 0 --
GPU INC. 122 3,736 718 21,989
IPALCO ENTERPRISES INC. 0 -- 0 --
NIAGARA MOHAWK HOLDINGS
INC.+ 1,771 22,802 26,522 341,471
PECO ENERGY CO. 232 11,179 0 --
PG&E CORP. 346 10,012 0 --
PINNACLE WEST CAPITAL
CORP. 0 -- 13,180 542,851
PP & L RESOURCES INC. 87 2,914 1,380 46,230
PUBLIC SERVICE ENTERPRISE
GROUP INC. 208 7,540 0 --
RELIANT ENERGY INC. 234 8,687 1,093 40,578
SOUTHERN CO. 655 19,609 0 --
TXU CORPORATION 0 -- 0 --
UNICOM CORP. 128 5,848 0 --
XCEL ENERGY INC. 245 6,140 9,824 246,201
----------- ------------
$ 244,254 $ 2,110,420
ELECTRICAL COMPONENTS &
EQUIPMENT
PERCENT OF NET ASSETS 0.08% 0.03%
AMERICAN POWER CONVERSION
CORP.+ 0 $ -- 1,224 $ 29,146
EMERSON ELECTRIC CO. 0 -- 0 --
ENERGIZER HOLDINGS INC.+ 0 -- 1 20
HUBBELL INC. "B" 0 -- 0 --
MOLEX INC. 270 14,259 1,092 57,671
POWER-ONE INC.+ 200 31,687 0 --
SUPERCONDUCTOR
TECHNOLOGIES INC.+ 0 -- 0 --
UCAR INTERNATIONAL INC.+ 2,000 27,250 0 --
----------- ------------
$ 73,196 $ 86,837
ELECTRONICS
PERCENT OF NET ASSETS 0.10% 0.66%
AGILENT TECHNOLOGIES
INC.+ 386 $ 23,281 2,213 $ 133,472
</TABLE>
32
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
MERRILL LYNCH & CO. INC. 6,188 $ 897,260 4,849 $ 703,105 10,342 $ 1,499,590
MICROFINANCIAL INC. 0 -- 0 -- 0 --
MORGAN (J.P.) & CO. INC. 2,872 480,163 1,565 261,648 3,172 530,319
MORGAN STANLEY DEAN
WITTER & CO. 19,082 2,052,508 14,356 1,544,167 29,644 3,188,583
PAINE WEBBER GROUP INC. 2,402 171,743 1,835 131,202 4,010 286,715
PRICE (T. ROWE)
ASSOCIATES 1,981 89,640 1,491 67,468 3,334 150,863
PROVIDIAN FINANCIAL CORP. 2,348 269,873 1,739 199,876 4,340 498,829
SCHWAB (CHARLES) CORP. 20,944 799,799 15,926 608,174 37,828 1,444,557
SEACOAST FINANCIAL
SERVICES CORP. 0 -- 0 -- 0 --
STILWELL FINANCIAL INC.+ 3,644 176,278 2,808 135,837 6,206 300,215
STOCKWALK.COM GROUP INC.+ 3,500 19,250 0 -- 0 --
UNITED ASSET MANAGEMENT
CORP. 0 -- 1,596 39,102 0 --
USA EDUCATION INC. 2,700 105,806 2,220 86,996 4,730 185,357
------------ ------------ ------------
$ 14,527,175 $ 11,162,586 $ 24,257,642
ELECTRIC
PERCENT OF NET ASSETS 1.01% 1.06% 1.12%
AES CORP.+ 6,962 $ 443,828 5,360 $ 341,700 11,490 $ 732,487
AMEREN CORP. 4,507 182,248 1,755 70,968 3,770 152,449
AMERICAN ELECTRIC POWER
INC. 12,591 443,833 4,207 148,297 6,424 226,446
CINERGY CORP. 2,696 79,195 2,086 61,276 4,494 132,011
CMS ENERGY CORP. 1,902 49,690 0 -- 2,890 75,501
CONSOLIDATED EDISON INC. 3,733 116,890 2,947 92,278 3,813 119,395
CONSTELLATION ENERGY
GROUP INC. 2,533 96,887 1,939 74,167 4,157 159,005
CP&L ENERGY INC. 2,709 100,233 2,024 74,888 4,524 167,388
DOMINION RESOURCES INC. 4,033 213,749 3,155 167,215 5,653 299,609
DTE ENERGY CO. 2,448 85,068 1,892 65,747 4,086 141,988
DUKE ENERGY CORP. 6,096 456,057 4,809 359,773 9,016 674,510
EDISON INTERNATIONAL 5,842 120,856 4,570 94,542 7,497 155,094
ENTERGY CORP. 4,105 124,946 3,239 98,587 6,884 209,532
FIRSTENERGY CORP. 3,950 97,762 3,125 77,344 6,485 160,504
FLORIDA PROGRESS CORP. 1,687 87,513 1,200 62,250 2,800 145,250
FPL GROUP INC. 2,979 159,004 2,260 120,628 4,024 214,781
GPU INC. 2,042 62,536 2,041 62,506 3,422 104,799
IPALCO ENTERPRISES INC. 10,246 238,860 0 -- 0 --
NIAGARA MOHAWK HOLDINGS
INC.+ 5,297 68,199 4,316 55,569 4,949 63,718
PECO ENERGY CO. 3,112 149,960 2,415 116,373 4,647 223,927
PG&E CORP. 6,419 185,750 5,081 147,031 8,802 254,708
PINNACLE WEST CAPITAL
CORP. 1,439 59,269 900 37,069 2,200 90,612
PP & L RESOURCES INC. 2,417 80,969 2,673 89,545 4,087 136,914
PUBLIC SERVICE ENTERPRISE
GROUP INC. 3,689 133,726 2,806 101,718 3,919 142,064
RELIANT ENERGY INC. 4,999 185,588 3,860 143,303 8,307 308,397
SOUTHERN CO. 13,625 407,898 8,741 261,684 15,790 472,713
TXU CORPORATION 4,648 162,389 3,626 126,683 7,576 264,687
UNICOM CORP. 3,677 167,993 2,799 127,879 5,107 233,326
XCEL ENERGY INC. 5,561 139,361 4,146 103,909 9,283 232,655
------------ ------------ ------------
$ 4,900,257 $ 3,282,929 $ 6,294,470
ELECTRICAL COMPONENTS &
EQUIPMENT
PERCENT OF NET ASSETS 0.16% 0.21% 0.22%
AMERICAN POWER CONVERSION
CORP.+ 3,270 $ 77,867 2,774 $ 66,056 8,732 $ 207,931
EMERSON ELECTRIC CO. 7,200 476,550 5,686 376,342 10,298 681,599
ENERGIZER HOLDINGS INC.+ 0 -- 0 -- 0 --
HUBBELL INC. "B" 1,409 36,458 1,359 35,164 0 --
MOLEX INC. 3,884 205,124 2,497 131,873 5,541 292,634
POWER-ONE INC.+ 0 -- 0 -- 0 --
SUPERCONDUCTOR
TECHNOLOGIES INC.+ 0 -- 1,900 42,037 3,000 66,375
UCAR INTERNATIONAL INC.+ 0 -- 0 -- 0 --
------------ ------------ ------------
$ 795,999 $ 651,472 $ 1,248,539
ELECTRONICS
PERCENT OF NET ASSETS 0.61% 0.76% 0.86%
AGILENT TECHNOLOGIES
INC.+ 6,455 $ 389,317 5,015 $ 302,467 11,132 $ 671,399
</TABLE>
33
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
ARROW ELECTRONICS INC.+ 0 $ -- 0 $ --
AVNET INC. 0 -- 0 --
AVX CORP. 0 -- 0 --
JABIL CIRCUIT INC.+ 0 -- 0 --
JOHNSON CONTROLS INC. 86 4,596 865 46,223
MICROCHIP TECHNOLOGY
INC.+ 0 -- 0 --
MILLIPORE CORP. 242 14,732 2,221 135,203
PARKER HANNIFIN CORP. 0 -- 1,037 36,101
PE CORP. (BIOSYSTEMS
GROUP) 336 33,054 1,024 100,736
PERKINELMER INC. 0 -- 4,593 413,083
SANMINA CORP.+ 0 -- 880 103,840
SCI SYSTEMS INC.+ 0 -- 0 --
SENSORMATIC ELECTRONICS
CORP.+ 0 -- 0 --
SOLECTRON CORP.+ 390 17,672 3,446 156,147
SYMBOL TECHNOLOGIES INC. 0 -- 0 --
TEKTRONIX INC. 0 -- 3,786 288,446
THERMO ELECTRON CORP.+ 211 4,906 6,572 152,799
THOMAS & BETTS CORP. 58 1,087 0 --
VARIAN INC.+ 0 -- 0 --
VISHAY INTERTECHNOLOGY
INC.+ 0 -- 0 --
WATERS CORP.+ 0 -- 1,008 80,199
----------- ------------
$ 99,328 $ 1,646,249
ENGINEERING &
CONSTRUCTION
PERCENT OF NET ASSETS 0.00% 0.12%
FLUOR CORP. 113 $ 3,383 9,664 $ 289,316
MORRISON KNUDSEN CORP.+ 4 14 17 59
----------- ------------
$ 3,397 $ 289,375
ENTERTAINMENT
PERCENT OF NET ASSETS 0.06% 0.02%
CHURCHILL DOWNS INC. 0 $ -- 1,300 $ 30,712
GOLDEN BOOKS FAMILY
ENTERTAINMENT INC.+ 1 1 0 --
INTERNATIONAL GAME
TECHNOLOGY INC.+ 663 19,227 0 --
MACROVISION CORP.+ 400 42,650 0 --
STEINWAY MUSICAL
INSTRUMENTS INC.+ 0 -- 1,500 26,625
----------- ------------
$ 61,878 $ 57,337
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.02% 0.01%
ALLIED WASTE INDUSTRIES
INC.+ 1,700 $ 15,619 2,100 $ 19,294
WASTE MANAGEMENT INC. 0 -- 0 --
----------- ------------
$ 15,619 $ 19,294
FOOD
PERCENT OF NET ASSETS 0.18% 0.34%
ALBERTSON'S INC. 185 $ 3,977 0 $ --
ARCHER-DANIELS-MIDLAND
CO. 662 5,829 5,594 49,301
BESTFOODS 191 13,489 0 --
CAMPBELL SOUP CO. 280 7,105 0 --
CONAGRA INC. 548 10,035 0 --
DEAN FOODS CO. 0 -- 0 --
DELHAIZE AMERICA INC. "A" 0 -- 1,459 21,885
DOLE FOOD CO. 0 -- 0 --
FLOWERS INDUSTRIES INC. 0 -- 0 --
GENERAL MILLS INC. 200 6,425 0 --
GREAT ATLANTIC & PACIFIC
TEA CO. 3,159 44,226 0 --
HEINZ (H.J.) CO. 125 4,766 0 --
HERSHEY FOODS CORP. 159 6,787 1,650 70,434
HORIZON ORGANIC HOLDING
CORP.+ 0 -- 1,800 15,694
</TABLE>
34
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
ARROW ELECTRONICS INC.+ 2,190 $ 79,661 1,961 $ 71,331 4,572 $ 166,306
AVNET INC. 689 41,254 746 44,667 2,156 129,090
AVX CORP. 1,652 49,457 672 20,118 2,096 62,749
JABIL CIRCUIT INC.+ 1,504 95,974 1,228 78,362 2,828 180,462
JOHNSON CONTROLS INC. 1,556 83,149 1,110 59,316 2,400 128,250
MICROCHIP TECHNOLOGY
INC.+ 1,872 127,413 1,642 111,759 4,257 289,742
MILLIPORE CORP. 1,308 79,625 576 35,064 1,388 84,495
PARKER HANNIFIN CORP. 1,848 64,334 1,398 48,668 3,164 110,147
PE CORP. (BIOSYSTEMS
GROUP) 3,866 380,318 2,912 286,468 6,228 612,679
PERKINELMER INC. 1,572 141,382 608 54,682 1,297 116,649
SANMINA CORP.+ 1,502 177,236 1,228 144,904 2,980 351,640
SCI SYSTEMS INC.+ 2,104 129,922 2,658 164,131 6,030 372,352
SENSORMATIC ELECTRONICS
CORP.+ 0 -- 1,036 17,223 0 --
SOLECTRON CORP.+ 10,402 471,341 7,790 352,984 17,712 802,575
SYMBOL TECHNOLOGIES INC. 2,688 111,216 2,877 119,036 5,962 246,678
TEKTRONIX INC. 1,254 95,539 598 45,560 1,294 98,587
THERMO ELECTRON CORP.+ 4,345 101,021 2,479 57,637 5,182 120,482
THOMAS & BETTS CORP. 1,545 28,969 743 13,931 1,484 27,825
VARIAN INC.+ 0 -- 1,395 68,006 1,659 80,876
VISHAY INTERTECHNOLOGY
INC.+ 1,672 67,403 1,353 54,543 3,166 127,629
WATERS CORP.+ 3,004 239,006 2,700 214,819 800 63,650
------------ ------------ ------------
$ 2,953,537 $ 2,365,676 $ 4,844,262
ENGINEERING &
CONSTRUCTION
PERCENT OF NET ASSETS 0.01% 0.01% 0.01%
FLUOR CORP. 1,279 $ 38,290 956 $ 28,620 2,168 $ 64,904
MORRISON KNUDSEN CORP.+ 27 94 25 87 42 147
------------ ------------ ------------
$ 38,384 $ 28,707 $ 65,051
ENTERTAINMENT
PERCENT OF NET ASSETS 0.02% 0.05% 0.02%
CHURCHILL DOWNS INC. 0 $ -- 0 $ -- 0 $ --
GOLDEN BOOKS FAMILY
ENTERTAINMENT INC.+ 2 1 1 1 0 --
INTERNATIONAL GAME
TECHNOLOGY INC.+ 3,013 87,377 1,957 56,753 4,672 135,488
MACROVISION CORP.+ 0 -- 900 95,962 0 --
STEINWAY MUSICAL
INSTRUMENTS INC.+ 0 -- 0 -- 0 --
------------ ------------ ------------
$ 87,378 $ 152,716 $ 135,488
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.04% 0.05% 0.06%
ALLIED WASTE INDUSTRIES
INC.+ 4,692 $ 43,108 0 $ -- 5,023 $ 46,149
WASTE MANAGEMENT INC. 8,230 155,856 7,648 144,834 15,534 294,175
------------ ------------ ------------
$ 198,964 $ 144,834 $ 340,324
FOOD
PERCENT OF NET ASSETS 0.78% 0.96% 1.09%
ALBERTSON'S INC. 7,153 $ 153,790 5,586 $ 120,099 11,893 $ 255,700
ARCHER-DANIELS-MIDLAND
CO. 10,703 94,317 8,426 74,256 17,897 157,720
BESTFOODS 4,515 318,872 3,576 252,555 8,239 581,879
CAMPBELL SOUP CO. 7,047 178,818 5,371 136,289 12,649 320,968
CONAGRA INC. 8,207 150,291 6,463 118,354 12,966 237,440
DEAN FOODS CO. 2,758 86,187 815 25,469 0 --
DELHAIZE AMERICA INC. "A" 565 8,475 198 2,970 533 7,995
DOLE FOOD CO. 0 -- 1,700 24,012 0 --
FLOWERS INDUSTRIES INC. 2,619 56,963 1,975 42,956 0 --
GENERAL MILLS INC. 4,960 159,340 3,874 124,452 8,254 265,160
GREAT ATLANTIC & PACIFIC
TEA CO. 0 -- 0 -- 0 --
HEINZ (H.J.) CO. 5,910 225,319 4,512 172,020 10,061 383,576
HERSHEY FOODS CORP. 2,328 99,377 1,809 77,222 3,803 162,341
HORIZON ORGANIC HOLDING
CORP.+ 0 -- 0 -- 0 --
</TABLE>
35
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
HORMEL FOODS CORP. 0 $ -- 0 $ --
IBP INC. 0 -- 0 --
J & J SNACK FOODS CORP.+ 0 -- 1,500 21,187
KEEBLER FOODS CO. 0 -- 0 --
KELLOGG CO. 256 5,936 0 --
KROGER CO.+ 232 5,263 0 --
MCCORMICK & CO. INC. 0 -- 0 --
NABISCO GROUP HOLDINGS
CORP. "A" 260 7,296 2,103 59,015
NASH FINCH CO. 0 -- 2,700 26,325
QUAKER OATS CO. 102 6,930 1,163 79,011
RALSTON PURINA CO. 195 4,412 2,688 60,816
SAFEWAY INC.+ 468 23,078 0 --
SANDERSON FARMS INC. 0 -- 3,400 21,675
SARA LEE CORP. 0 -- 0 --
SMITHFIELD FOODS INC.+ 0 -- 0 --
SUIZA FOODS CORP.+ 0 -- 0 --
SUPER VALUE INC. 86 1,285 10,754 160,638
SYSCO CORP. 210 8,886 0 --
WHOLE FOODS MARKET INC.+ 0 -- 0 --
WINN-DIXIE STORES INC. 146 2,035 12,749 177,689
WRIGLEY (WILLIAM JR.) CO. 74 5,481 1,279 94,726
----------- ------------
$ 173,241 $ 858,396
FOREST PRODUCTS & PAPER
PERCENT OF NET ASSETS 0.14% 0.17%
BOISE CASCADE CORP. 59 $ 1,763 0 $ --
BOWATER INC. 0 -- 0 --
CHESAPEAKE CORP. 1,456 34,762 0 --
CONSOLIDATED PAPERS INC. 0 -- 0 --
FORT JAMES CORP. 0 -- 1,511 47,785
GEORGIA-PACIFIC (TIMBER
GROUP) 0 -- 0 --
GEORGIA-PACIFIC CORP. 0 -- 1,126 30,120
GLATFELTER (P.H.) CO. 8,886 93,303 0 --
INTERNATIONAL PAPER CO. 0 -- 0 --
MEAD CORP. 102 2,735 935 25,070
TEMPLE-INLAND INC. 49 2,079 4,445 188,635
WESTVACO CORP. 56 1,533 3,412 93,404
WEYERHAEUSER CO. 0 -- 0 --
WILLAMETTE INDUSTRIES
INC. 0 -- 970 29,585
----------- ------------
$ 136,175 $ 414,599
GAS
PERCENT OF NET ASSETS 0.18% 0.04%
BERKSHIRE ENERGY
RESOURCES 0 $ -- 800 $ 30,150
EASTERN ENTERPRISES 0 -- 0 --
ENERGYSOUTH INC. 0 -- 1,800 33,300
NICOR INC. 1,644 60,623 0 --
PEOPLES ENERGY CORP. 3,453 112,222 0 --
SEMPRA ENERGY 148 2,886 1,143 22,288
SOUTHWESTERN ENERGY
COMPANY 0 -- 2,000 15,500
----------- ------------
$ 175,731 $ 101,238
HAND / MACHINE TOOLS
PERCENT OF NET ASSETS 0.01% 0.13%
BLACK & DECKER CORP. 116 $ 4,647 716 $ 28,685
SNAP-ON INC. 38 1,171 0 --
SPX CORP.+ 0 -- 0 --
STANLEY WORKS (THE) 92 2,461 10,631 284,379
----------- ------------
$ 8,279 $ 313,064
HEALTH CARE
PERCENT OF NET ASSETS 0.51% 0.81%
APRIA HEALTHCARE GROUP
INC.+ 2,100 $ 31,237 0 $ --
</TABLE>
36
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
HORMEL FOODS CORP. 2,080 $ 32,110 1,922 $ 29,671 4,770 $ 73,637
IBP INC. 1,636 26,278 2,370 38,068 0 --
J & J SNACK FOODS CORP.+ 0 -- 0 -- 0 --
KEEBLER FOODS CO. 0 -- 793 36,329 1,766 80,905
KELLOGG CO. 6,706 155,495 5,170 119,879 12,228 283,537
KROGER CO.+ 13,810 313,314 10,728 243,392 23,698 537,648
MCCORMICK & CO. INC. 1,451 42,351 1,333 38,907 3,163 92,320
NABISCO GROUP HOLDINGS
CORP. "A" 5,945 166,832 4,326 121,398 9,133 256,295
NASH FINCH CO. 0 -- 0 -- 0 --
QUAKER OATS CO. 2,210 150,142 1,620 110,059 3,994 271,342
RALSTON PURINA CO. 4,901 110,885 3,840 86,880 9,039 204,507
SAFEWAY INC.+ 8,520 420,142 6,643 327,583 13,469 664,190
SANDERSON FARMS INC. 0 -- 0 -- 0 --
SARA LEE CORP. 14,999 279,356 11,646 216,907 26,464 492,892
SMITHFIELD FOODS INC.+ 0 -- 900 23,906 0 --
SUIZA FOODS CORP.+ 0 -- 514 25,700 0 --
SUPER VALUE INC. 2,940 43,916 2,037 30,428 3,712 55,448
SYSCO CORP. 5,525 233,777 4,223 178,686 9,974 422,025
WHOLE FOODS MARKET INC.+ 1,401 70,750 625 31,562 0 --
WINN-DIXIE STORES INC. 5,153 71,820 3,750 52,266 4,136 57,646
WRIGLEY (WILLIAM JR.) CO. 1,834 135,831 1,419 105,095 3,544 262,477
------------ ------------ ------------
$ 3,784,748 $ 2,987,370 $ 6,127,648
FOREST PRODUCTS & PAPER
PERCENT OF NET ASSETS 0.20% 0.26% 0.31%
BOISE CASCADE CORP. 932 $ 27,844 766 $ 22,884 1,553 $ 46,396
BOWATER INC. 1,460 75,007 1,146 58,876 2,904 149,193
CHESAPEAKE CORP. 0 -- 0 -- 0 --
CONSOLIDATED PAPERS INC. 1,638 64,394 1,311 51,539 2,962 116,444
FORT JAMES CORP. 3,344 105,754 2,849 90,100 6,083 192,375
GEORGIA-PACIFIC (TIMBER
GROUP) 2,557 74,952 1,639 48,043 4,878 142,986
GEORGIA-PACIFIC CORP. 928 24,824 2,212 59,171 4,774 127,704
GLATFELTER (P.H.) CO. 0 -- 0 -- 0 --
INTERNATIONAL PAPER CO. 7,246 230,966 6,239 198,868 12,568 400,605
MEAD CORP. 1,746 46,815 1,310 35,124 2,762 74,056
TEMPLE-INLAND INC. 916 38,873 739 31,361 1,565 66,415
WESTVACO CORP. 1,728 47,304 1,327 36,327 2,724 74,570
WEYERHAEUSER CO. 3,799 175,941 3,056 141,531 5,937 274,957
WILLAMETTE INDUSTRIES
INC. 1,832 55,876 1,413 43,096 3,126 95,343
------------ ------------ ------------
$ 968,550 $ 816,920 $ 1,761,044
GAS
PERCENT OF NET ASSETS 0.02% 0.02% 0.03%
BERKSHIRE ENERGY
RESOURCES 0 $ -- 0 $ -- 0 $ --
EASTERN ENTERPRISES 0 -- 372 23,529 601 38,013
ENERGYSOUTH INC. 0 -- 0 -- 0 --
NICOR INC. 749 27,619 0 -- 1,239 45,688
PEOPLES ENERGY CORP. 0 -- 0 -- 0 --
SEMPRA ENERGY 3,453 67,333 2,709 52,825 5,780 112,710
SOUTHWESTERN ENERGY
COMPANY 0 -- 0 -- 0 --
------------ ------------ ------------
$ 94,952 $ 76,354 $ 196,411
HAND / MACHINE TOOLS
PERCENT OF NET ASSETS 0.05% 0.03% 0.05%
BLACK & DECKER CORP. 1,482 $ 59,373 1,124 $ 45,030 2,479 $ 99,315
SNAP-ON INC. 1,251 38,546 0 -- 1,643 50,625
SPX CORP.+ 555 91,020 217 35,588 540 88,560
STANLEY WORKS (THE) 1,524 40,767 952 25,466 2,415 64,601
------------ ------------ ------------
$ 229,706 $ 106,084 $ 303,101
HEALTH CARE
PERCENT OF NET ASSETS 1.24% 1.53% 1.83%
APRIA HEALTHCARE GROUP
INC.+ 0 $ -- 0 $ -- 0 $ --
</TABLE>
37
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
BARD (C.R.) INC. 143 $ 6,980 0 $ --
BAUSCH & LOMB INC. 46 1,644 1,351 48,298
BAXTER INTERNATIONAL INC. 205 17,066 0 --
BECKMAN COULTER INC. 794 60,443 0 --
BECTON DICKINSON & CO. 278 8,375 1,824 54,948
BIOMET INC. 168 5,681 1,464 49,502
BOSTON SCIENTIFIC CORP.+ 412 7,804 2,771 52,476
FOUNDATION HEALTH SYSTEMS
INC.+ 0 -- 0 --
GENTIVA HEALTH SERVICES+ 0 -- 1 11
GUIDANT CORP.+ 197 13,261 1,728 116,316
HCA - THE HEALTHCARE
COMPANY 0 -- 0 --
HEALTH MANAGEMENT
ASSOCIATES INC. "A"+ 0 -- 0 --
HEALTHSOUTH CORP.+ 390 2,389 5,810 35,586
HEALTHTRONICS INC.+ 0 -- 0 --
HILLENBRAND INDUSTRIES
INC. 0 -- 0 --
HUMANA INC.+ 3,667 31,399 0 --
IDEXX LABORATORIES INC.+ 0 -- 0 --
JOHNSON & JOHNSON 910 83,663 7,313 672,339
LCA-VISION INC.+ 0 -- 0 --
LINCARE HOLDINGS INC.+ 0 -- 0 --
MALLINCKRODT GROUP INC. 77 3,470 0 --
MANOR CARE INC.+ 701 9,376 0 --
MEDTRONIC INC. 782 40,078 6,328 324,310
OAKLEY INC.+ 3,200 54,200 0 --
OXFORD HEALTH PLANS INC.+ 400 12,200 8,480 258,640
PACIFICARE HEALTH SYSTEMS
INC. "A"+ 0 -- 0 --
PHOTOGEN TECHNOLOGIES
INC.+ 1,900 11,281 0 --
QUEST DIAGNOSTICS INC.+ 0 -- 0 --
QUORUM HEALTH GROUP INC.+ 0 -- 4,100 52,787
SCIQUEST.COM INC.+ 0 -- 0 --
ST. JUDE MEDICAL INC.+ 332 13,155 6,461 256,017
STERIS CORP.+ 0 -- 0 --
STRYKER CORP. 0 -- 0 --
TENET HEALTHCARE CORP. 0 -- 0 --
TRIAD HOSPITALS INC.+ 0 -- 1,000 28,875
UNITEDHEALTH GROUP INC. 157 14,836 0 --
UNIVERSAL HEALTH
SERVICES+ 0 -- 0 --
VARIAN MEDICAL SYSTEMS
INC.+ 1,377 63,256 0 --
WELLPOINT HEALTH NETWORKS
INC.+ 0 -- 940 81,134
----------- ------------
$ 491,794 $ 2,031,239
HOLDING
COMPANIES-DIVERSIFIED
PERCENT OF NET ASSETS 0.00% 0.00%
BERKSHIRE HATHAWAY INC.
"A"+ 0 $ -- 0 $ --
BERKSHIRE HATHAWAY INC.
"B"+ 0 -- 0 --
----------- ------------
$ -- $ --
HOME BUILDERS
PERCENT OF NET ASSETS 0.08% 0.00%
CENTEX CORP. 104 $ 3,003 0 $ --
CLAYTON HOMES INC. 0 -- 0 --
KAUFMAN & BROAD HOME
CORP. 949 23,547 0 --
PULTE CORP. 1,490 49,077 0 --
----------- ------------
$ 75,627 $ --
HOME FURNISHINGS
PERCENT OF NET ASSETS 0.01% 0.05%
ETHAN ALLEN INTERIORS
INC. 0 $ -- 0 $ --
LEGGETT & PLATT INC. 296 5,235 1,590 28,123
MAYTAG CORP. 66 2,516 1,724 65,728
WHIRLPOOL CORP. 73 2,774 550 20,900
</TABLE>
38
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
BARD (C.R.) INC. 1,523 $ 74,341 627 $ 30,605 1,421 $ 69,363
BAUSCH & LOMB INC. 1,045 37,359 755 26,991 1,585 56,664
BAXTER INTERNATIONAL INC. 4,830 402,097 3,856 321,012 8,183 681,235
BECKMAN COULTER INC. 2,745 208,963 519 39,509 1,484 112,969
BECTON DICKINSON & CO. 4,192 126,284 3,380 101,822 7,075 213,134
BIOMET INC. 3,677 124,312 2,140 72,359 4,815 162,807
BOSTON SCIENTIFIC CORP.+ 7,377 139,702 5,449 103,190 11,628 220,205
FOUNDATION HEALTH SYSTEMS
INC.+ 2,902 50,966 3,122 54,830 0 --
GENTIVA HEALTH SERVICES+ 0 -- 0 -- 0 --
GUIDANT CORP.+ 5,274 355,006 3,904 262,788 9,361 630,112
HCA - THE HEALTHCARE
COMPANY 9,471 326,749 7,377 254,506 15,454 533,163
HEALTH MANAGEMENT
ASSOCIATES INC. "A"+ 2,964 48,350 3,776 61,596 12,290 200,481
HEALTHSOUTH CORP.+ 9,907 60,680 8,824 54,047 10,865 66,548
HEALTHTRONICS INC.+ 100 1,375 0 -- 0 --
HILLENBRAND INDUSTRIES
INC. 0 -- 0 -- 2,473 86,091
HUMANA INC.+ 0 -- 0 -- 0 --
IDEXX LABORATORIES INC.+ 0 -- 1,236 32,290 0 --
JOHNSON & JOHNSON 20,605 1,894,372 17,720 1,629,133 40,592 3,731,927
LCA-VISION INC.+ 11,400 34,912 0 -- 0 --
LINCARE HOLDINGS INC.+ 0 -- 1,514 38,607 0 --
MALLINCKRODT GROUP INC. 2,238 100,850 870 39,204 1,927 86,835
MANOR CARE INC.+ 0 -- 0 -- 0 --
MEDTRONIC INC. 20,068 1,028,485 15,244 781,255 36,188 1,854,635
OAKLEY INC.+ 0 -- 0 -- 0 --
OXFORD HEALTH PLANS INC.+ 865 26,382 1,696 51,728 3,468 105,774
PACIFICARE HEALTH SYSTEMS
INC. "A"+ 851 45,901 867 46,764 1,469 79,234
PHOTOGEN TECHNOLOGIES
INC.+ 0 -- 0 -- 0 --
QUEST DIAGNOSTICS INC.+ 751 92,936 547 67,691 0 --
QUORUM HEALTH GROUP INC.+ 0 -- 0 -- 0 --
SCIQUEST.COM INC.+ 3,200 30,800 0 -- 0 --
ST. JUDE MEDICAL INC.+ 2,030 80,439 1,004 39,784 2,185 86,581
STERIS CORP.+ 0 -- 2,007 20,572 0 --
STRYKER CORP. 2,974 133,272 2,278 102,083 7,872 352,764
TENET HEALTHCARE CORP. 5,603 173,693 4,544 140,864 8,720 270,320
TRIAD HOSPITALS INC.+ 0 -- 0 -- 0 --
UNITEDHEALTH GROUP INC. 2,849 269,230 2,157 203,836 4,792 452,844
UNIVERSAL HEALTH
SERVICES+ 501 35,446 614 43,440 0 --
VARIAN MEDICAL SYSTEMS
INC.+ 0 -- 795 36,520 1,659 76,210
WELLPOINT HEALTH NETWORKS
INC.+ 1,061 91,578 977 84,327 1,785 154,068
------------ ------------ ------------
$ 5,994,480 $ 4,741,353 $ 10,283,964
HOLDING
COMPANIES-DIVERSIFIED
PERCENT OF NET ASSETS 0.16% 0.15% 0.25%
BERKSHIRE HATHAWAY INC.
"A"+ 11 $ 634,700 8 $ 461,600 24 $ 1,384,800
BERKSHIRE HATHAWAY INC.
"B"+ 74 141,562 0 -- 26 49,738
------------ ------------ ------------
$ 776,262 $ 461,600 $ 1,434,538
HOME BUILDERS
PERCENT OF NET ASSETS 0.01% 0.01% 0.00%
CENTEX CORP. 0 $ -- 0 $ -- 0 $ --
CLAYTON HOMES INC. 7,088 69,108 2,612 25,467 0 --
KAUFMAN & BROAD HOME
CORP. 0 -- 0 -- 0 --
PULTE CORP. 0 -- 0 -- 0 --
------------ ------------ ------------
$ 69,108 $ 25,467 $ --
HOME FURNISHINGS
PERCENT OF NET ASSETS 0.04% 0.05% 0.05%
ETHAN ALLEN INTERIORS
INC. 2,101 $ 56,596 1,071 $ 28,850 0 $ --
LEGGETT & PLATT INC. 3,478 61,517 2,594 45,881 5,549 98,148
MAYTAG CORP. 1,319 50,287 1,024 39,040 2,509 95,656
WHIRLPOOL CORP. 1,260 47,880 968 36,784 2,089 79,382
</TABLE>
39
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
ZENITH ELECTRONICS CORP.+ 44 $ -- 89 $ --
----------- ------------
$ 10,525 $ 114,751
HOUSEHOLD PRODUCTS /
WARES
PERCENT OF NET ASSETS 0.07% 0.09%
AMERICAN GREETINGS CORP.
"A" 1,023 $ 19,053 0 $ --
AVERY DENNISON CORP. 70 3,784 756 40,871
CLOROX CO. 256 9,264 1,790 64,776
DIAL CORP. 0 -- 0 --
ENESCO GROUP INC. 0 -- 3,300 21,450
FORTUNE BRANDS INC. 180 4,590 1,491 38,020
NEWELL RUBBERMAID INC. 205 5,317 2,217 57,503
TUPPERWARE CORP. 1,163 23,478 0 --
WATER PIK TECHNOLOGIES
INC.+ 0 -- 0 --
----------- ------------
$ 65,486 $ 222,620
INSURANCE
PERCENT OF NET ASSETS 0.27% 0.83%
AETNA INC. 0 $ -- 1,135 $ 63,489
AFLAC INC. 0 -- 0 --
ALLMERICA FINANCIAL CORP. 0 -- 0 --
ALLSTATE CORP. 0 -- 0 --
AMBAC FINANCIAL GROUP
INC. 0 -- 0 --
AMERICAN FINANCIAL GROUP
INC. 0 -- 0 --
AMERICAN GENERAL CORP. 0 -- 0 --
AMERICAN INTERNATIONAL
GROUP 892 79,500 9,430 840,449
AMERICAN MED SECURITY
GROUP+ 0 -- 2,600 21,937
AON CORP. 245 9,142 1,743 65,017
CHUBB CORP. 195 14,930 0 --
CIGNA CORP. 117 11,378 0 --
CINCINNATI FINANCIAL
CORP. 120 4,665 1,478 57,457
CNA FINANCIAL CORP.+ 0 -- 0 --
CONSECO INC. 0 -- 0 --
FIDELITY NATIONAL
FINANCIAL INC. 0 -- 1,400 27,912
HANCOCK (JOHN) FINANCIAL
SERVICES INC.+ 0 -- 0 --
HARTFORD FINANCIAL
SERVICES GROUP INC. 192 12,792 0 --
HEALTHAXIS INC.+ 0 -- 0 --
HORACE MANN EDUCATORS
CORP. 2,900 44,225 0 --
JEFFERSON-PILOT CORP. 140 9,266 1,118 73,998
LINCOLN NATIONAL CORP. 238 12,852 1,662 89,748
LOEWS CORP. 0 -- 1,133 91,702
MARKEL CORP.+ 0 -- 300 43,762
MARSH & MCLENNAN
COMPANIES INC. 220 26,125 1,667 197,956
MBIA INC. 94 6,180 1,094 71,930
MERCURY GENERAL CORP. 0 -- 0 --
METLIFE INC.+ 0 -- 0 --
MGIC INVESTMENT CORP. 95 5,587 834 49,050
MIIX GROUP INC. (THE) 0 -- 2,200 17,737
OLD REPUBLIC
INTERNATIONAL CORP. 0 -- 0 --
PENN TREATY AMERICAN
CORP.+ 0 -- 1,200 21,450
PICO HOLDINGS INC.+ 0 -- 1,300 17,956
PMI GROUP INC. (THE) 0 -- 0 --
PROFESSIONALS GROUP INC.+ 0 -- 900 20,587
PROGRESSIVE CORPORATION 75 5,686 625 47,383
PROTECTIVE LIFE CORP. 0 -- 0 --
RADIAN GROUP INC. 0 -- 0 --
RELIASTAR FINANCIAL CORP. 0 -- 0 --
SAFECO CORP. 156 4,105 1,600 42,100
SELECTIVE INSURANCE GROUP
INC. 0 -- 0 --
ST. PAUL COMPANIES INC. 164 7,810 1,550 73,819
TORCHMARK CORP. 142 3,985 2,832 79,473
</TABLE>
40
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
ZENITH ELECTRONICS CORP.+ 279 $ -- 230 $ -- 367 $ --
------------ ------------ ------------
$ 216,280 $ 150,555 $ 273,186
HOUSEHOLD PRODUCTS /
WARES
PERCENT OF NET ASSETS 0.11% 0.14% 0.15%
AMERICAN GREETINGS CORP.
"A" 0 $ -- 3,100 $ 57,737 0 $ --
AVERY DENNISON CORP. 1,782 96,339 1,364 73,741 3,428 185,326
CLOROX CO. 3,924 142,000 3,132 113,339 6,602 238,910
DIAL CORP. 1,877 19,239 2,414 24,743 5,606 57,461
ENESCO GROUP INC. 0 -- 0 -- 0 --
FORTUNE BRANDS INC. 2,794 71,247 2,069 52,759 4,627 117,988
NEWELL RUBBERMAID INC. 4,757 123,385 3,756 97,421 7,904 205,010
TUPPERWARE CORP. 3,606 72,796 0 -- 1,927 38,901
WATER PIK TECHNOLOGIES
INC.+ 1 7 0 -- 0 --
------------ ------------ ------------
$ 525,013 $ 419,740 $ 843,596
INSURANCE
PERCENT OF NET ASSETS 1.45% 1.93% 2.19%
AETNA INC. 2,118 $ 118,476 1,861 $ 104,100 3,819 $ 213,625
AFLAC INC. 4,448 240,192 3,328 179,712 6,791 366,714
ALLMERICA FINANCIAL CORP. 1,284 78,163 1,214 73,902 1,151 70,067
ALLSTATE CORP. 10,951 318,263 9,091 264,207 18,789 546,055
AMBAC FINANCIAL GROUP
INC. 952 61,523 971 62,751 3,480 224,895
AMERICAN FINANCIAL GROUP
INC. 0 -- 1,000 24,812 0 --
AMERICAN GENERAL CORP. 4,122 300,133 3,046 221,787 5,918 430,904
AMERICAN INTERNATIONAL
GROUP 30,415 2,710,737 27,795 2,477,230 58,878 5,247,502
AMERICAN MED SECURITY
GROUP+ 0 -- 0 -- 0 --
AON CORP. 4,289 160,015 3,388 126,396 7,171 267,568
CHUBB CORP. 2,923 223,792 2,270 173,797 4,842 370,716
CIGNA CORP. 2,821 274,342 2,116 205,781 4,420 429,845
CINCINNATI FINANCIAL
CORP. 2,800 108,850 2,065 80,277 4,615 179,408
CNA FINANCIAL CORP.+ 0 -- 0 -- 1,402 55,642
CONSECO INC. 4,761 40,171 0 -- 0 --
FIDELITY NATIONAL
FINANCIAL INC. 0 -- 0 -- 0 --
HANCOCK (JOHN) FINANCIAL
SERVICES INC.+ 2,800 70,700 0 -- 4,500 113,625
HARTFORD FINANCIAL
SERVICES GROUP INC. 3,450 229,856 2,806 186,950 6,060 403,747
HEALTHAXIS INC.+ 8,600 24,456 0 -- 0 --
HORACE MANN EDUCATORS
CORP. 0 -- 0 -- 0 --
JEFFERSON-PILOT CORP. 1,715 113,512 1,362 90,147 2,924 193,532
LINCOLN NATIONAL CORP. 3,268 176,472 2,560 138,240 5,502 297,108
LOEWS CORP. 1,807 146,254 1,367 110,642 2,763 223,630
MARKEL CORP.+ 0 -- 0 -- 0 --
MARSH & MCLENNAN
COMPANIES INC. 4,490 533,188 3,483 413,606 7,350 872,813
MBIA INC. 1,502 98,756 1,270 83,502 2,760 181,470
MERCURY GENERAL CORP. 0 -- 900 24,694 0 --
METLIFE INC.+ 1,500 36,469 1,700 41,331 5,700 138,581
MGIC INVESTMENT CORP. 1,611 94,747 1,363 80,161 2,939 172,850
MIIX GROUP INC. (THE) 0 -- 0 -- 0 --
OLD REPUBLIC
INTERNATIONAL CORP. 3,124 74,781 2,824 67,599 0 --
PENN TREATY AMERICAN
CORP.+ 0 -- 0 -- 0 --
PICO HOLDINGS INC.+ 0 -- 0 -- 0 --
PMI GROUP INC. (THE) 621 38,502 504 31,248 1,722 106,764
PROFESSIONALS GROUP INC.+ 0 -- 0 -- 0 --
PROGRESSIVE CORPORATION 1,034 78,390 918 69,596 2,101 159,282
PROTECTIVE LIFE CORP. 1,302 37,432 1,239 35,621 0 --
RADIAN GROUP INC. 526 32,678 536 33,299 0 --
RELIASTAR FINANCIAL CORP. 1,865 100,360 1,796 96,647 4,881 262,659
SAFECO CORP. 2,167 57,019 1,688 44,416 3,678 96,777
SELECTIVE INSURANCE GROUP
INC. 0 -- 4,400 78,925 0 --
ST. PAUL COMPANIES INC. 3,858 183,737 3,070 146,209 6,378 303,752
TORCHMARK CORP. 2,166 60,783 1,713 48,071 3,704 103,943
</TABLE>
41
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
TRANSATLANTIC HOLDINGS
INC. 0 $ -- 0 $ --
21ST CENTURY INSURANCE
GROUP 0 -- 0 --
UNITRIN INC. 0 -- 0 --
UNUMPROVIDENT CORP. 0 -- 2,154 46,715
----------- ------------
$ 258,228 $ 2,061,627
IRON / STEEL
PERCENT OF NET ASSETS 0.00% 0.13%
AK STEEL HOLDING CORP. 0 $ -- 0 $ --
ALLEGHENY TECHNOLOGIES
INC. 0 -- 14,329 311,656
NUCOR CORP. 0 -- 599 22,013
USX-U.S. STEEL GROUP INC. 126 2,189 0 --
----------- ------------
$ 2,189 $ 333,669
LEISURE TIME
PERCENT OF NET ASSETS 0.03% 0.06%
BRUNSWICK CORP. 126 $ 2,362 0 $ --
CALLAWAY GOLF CO. 0 -- 0 --
CARNIVAL CORP. "A" 570 11,364 0 --
GALILEO INTERNATIONAL
INC. 0 -- 0 --
HARLEY-DAVIDSON INC. 192 9,564 2,100 104,606
SABRE HOLDINGS CORP. 296 8,251 1,477 41,171
----------- ------------
$ 31,541 $ 145,777
LODGING
PERCENT OF NET ASSETS 0.12% 0.02%
AMERISTAR CASINOS INC.+ 0 $ -- 4,200 $ 19,162
CHOICE HOTELS
INTERNATIONAL INC.+ 3,359 30,021 0 --
EXTENDED STAY AMERICA
INC.+ 4,900 72,581 0 --
HARRAH'S ENTERTAINMENT
INC.+ 148 4,199 0 --
HILTON HOTELS CORP. 300 3,000 3,500 35,000
MANDALAY RESORT GROUP
INC.+ 0 -- 0 --
MARRIOTT INTERNATIONAL
INC. 0 -- 0 --
MGM GRAND INC. 0 -- 0 --
PARK PLACE ENTERTAINMENT
CORP.+ 0 -- 0 --
STARWOOD HOTELS & RESORTS
WORLDWIDE INC. 0 -- 0 --
----------- ------------
$ 109,801 $ 54,162
MACHINERY
PERCENT OF NET ASSETS 0.18% 0.04%
BRIGGS & STRATTON CORP. 442 $ 19,116 0 $ --
CATERPILLAR INC. 0 -- 0 --
COGNEX CORP.+ 0 -- 0 --
DEERE & CO. 0 -- 0 --
DOVER CORP. 185 9,042 1,113 54,398
FLOWSERVE CORP. 3,000 55,500 0 --
IMATION CORP.+ 0 -- 0 --
INGERSOLL-RAND CO. 0 -- 0 --
NORDSON CORP. 1,014 65,656 0 --
ROCKWELL INTERNATIONAL
CORP. 0 -- 1,300 52,569
TECUMSEH PRODUCTS CO. "A" 541 21,505 0 --
----------- ------------
$ 170,819 $ 106,967
MANUFACTURERS
PERCENT OF NET ASSETS 0.43% 1.66%
COOPER INDUSTRIES INC. 0 $ -- 674 $ 23,801
CRANE CO. 120 3,015 0 --
DANAHER CORP. 190 10,676 867 48,715
EASTMAN KODAK CO. 0 -- 0 --
EATON CORP. 76 5,045 439 29,139
</TABLE>
42
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
TRANSATLANTIC HOLDINGS
INC. 366 $ 31,911 437 $ 38,101 836 $ 72,889
21ST CENTURY INSURANCE
GROUP 3,016 47,690 1,864 29,474 0 --
UNITRIN INC. 1,402 42,673 1,328 40,421 2,926 89,060
UNUMPROVIDENT CORP. 3,269 70,896 3,175 68,858 6,643 144,070
------------ ------------ ------------
$ 7,015,919 $ 5,992,510 $ 12,339,493
IRON / STEEL
PERCENT OF NET ASSETS 0.03% 0.02% 0.03%
AK STEEL HOLDING CORP. 0 $ -- 0 $ -- 1 $ 8
ALLEGHENY TECHNOLOGIES
INC. 2,491 54,182 1,406 30,581 2,619 56,963
NUCOR CORP. 1,486 54,610 1,135 41,711 2,482 91,213
USX-U.S. STEEL GROUP INC. 2,799 48,633 0 -- 2,147 37,304
------------ ------------ ------------
$ 157,425 $ 72,292 $ 185,488
LEISURE TIME
PERCENT OF NET ASSETS 0.15% 0.16% 0.18%
BRUNSWICK CORP. 3,492 $ 65,475 1,925 $ 36,094 2,595 $ 48,656
CALLAWAY GOLF CO. 5,116 73,862 1,846 26,652 0 --
CARNIVAL CORP. "A" 9,990 199,176 8,059 160,676 17,278 344,480
GALILEO INTERNATIONAL
INC. 0 -- 1,093 20,357 1,855 34,549
HARLEY-DAVIDSON INC. 5,382 268,091 3,954 196,959 9,340 465,249
SABRE HOLDINGS CORP. 3,853 107,402 1,838 51,234 3,617 100,824
------------ ------------ ------------
$ 714,006 $ 491,972 $ 993,758
LODGING
PERCENT OF NET ASSETS 0.12% 0.15% 0.17%
AMERISTAR CASINOS INC.+ 0 $ -- 0 $ -- 0 $ --
CHOICE HOTELS
INTERNATIONAL INC.+ 0 -- 0 -- 0 --
EXTENDED STAY AMERICA
INC.+ 0 -- 0 -- 0 --
HARRAH'S ENTERTAINMENT
INC.+ 2,132 60,496 1,432 40,633 3,493 99,114
HILTON HOTELS CORP. 6,155 61,550 5,423 54,230 12,006 120,060
MANDALAY RESORT GROUP
INC.+ 2,111 58,712 2,198 61,132 0 --
MARRIOTT INTERNATIONAL
INC. 4,145 163,727 3,306 130,587 6,982 275,789
MGM GRAND INC. 402 13,819 498 17,119 752 25,850
PARK PLACE ENTERTAINMENT
CORP.+ 4,986 73,232 3,859 56,679 9,868 144,936
STARWOOD HOTELS & RESORTS
WORLDWIDE INC. 3,890 124,480 3,297 105,504 9,493 303,776
------------ ------------ ------------
$ 556,016 $ 465,884 $ 969,525
MACHINERY
PERCENT OF NET ASSETS 0.17% 0.21% 0.23%
BRIGGS & STRATTON CORP. 0 $ -- 0 $ -- 0 $ --
CATERPILLAR INC. 6,010 220,867 4,698 172,652 9,274 340,819
COGNEX CORP.+ 1,614 64,560 1,036 41,440 1,248 49,920
DEERE & CO. 3,875 127,633 3,092 101,843 6,570 216,399
DOVER CORP. 3,422 167,250 2,648 129,421 5,694 278,294
FLOWSERVE CORP. 0 -- 0 -- 0 --
IMATION CORP.+ 0 -- 653 14,529 0 --
INGERSOLL-RAND CO. 2,792 127,211 2,087 95,089 4,592 209,223
NORDSON CORP. 0 -- 0 -- 0 --
ROCKWELL INTERNATIONAL
CORP. 2,869 116,015 2,473 100,002 5,296 214,157
TECUMSEH PRODUCTS CO. "A" 0 -- 0 -- 0 --
------------ ------------ ------------
$ 823,536 $ 654,976 $ 1,308,812
MANUFACTURERS
PERCENT OF NET ASSETS 2.62% 3.20% 3.88%
COOPER INDUSTRIES INC. 1,623 $ 57,312 1,240 $ 43,788 2,677 $ 94,532
CRANE CO. 1,887 47,411 796 20,000 1,882 47,285
DANAHER CORP. 2,503 140,637 1,845 103,666 3,991 224,244
EASTMAN KODAK CO. 5,266 327,808 4,106 255,599 7,936 494,016
EATON CORP. 1,239 82,239 959 63,654 2,054 136,334
</TABLE>
43
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
FMC CORP.+ 0 $ -- 0 $ --
GENERAL ELECTRIC CO. 4,729 277,533 50,806 2,981,677
HARSCO CORP. 0 -- 0 --
ILLINOIS TOOL WORKS INC. 0 -- 0 --
ITT INDUSTRIES INC. 126 4,237 6,741 226,666
M&F WORLDWIDE CORP.+ 0 -- 3,900 21,206
MINNESOTA MINING &
MANUFACTURING CO. 0 -- 0 --
NATIONAL SERVICE
INDUSTRIES INC. 2,439 48,628 0 --
PALL CORP. 113 2,415 11,542 246,710
PENTAIR INC. 0 -- 0 --
TEXTRON INC. 0 -- 0 --
TYCO INTERNATIONAL LTD. 1,114 63,498 9,804 558,828
U.S. INDUSTRIES INC. 0 -- 0 --
----------- ------------
$ 415,047 $ 4,136,742
MEDIA
PERCENT OF NET ASSETS 0.41% 1.05%
AT&T - LIBERTY MEDIA
GROUP "A"+ 0 $ -- 0 $ --
BELO (A.H.) CORP. 0 -- 0 --
CABLEVISION SYSTEMS
CORP.+ 0 -- 780 52,455
CHRIS-CRAFT INDUSTRIES
INC.+ 0 -- 1 78
CLEAR CHANNEL
COMMUNICATIONS INC.+ 233 16,863 2,201 159,297
COMCAST CORP. "A"+ 600 22,350 5,898 219,700
DISNEY (WALT) CO. 2,049 79,783 12,261 477,413
DOW JONES & CO. INC. 64 4,004 758 47,422
5TH AVENUE CHANNEL CORP.+ 0 -- 0 --
GANNETT CO. INC. 298 16,874 0 --
GRAY COMMUNICATIONS
SYSTEMS INC. 0 -- 2,000 22,500
HARCOURT GENERAL INC. 79 4,686 5,557 329,600
HEARST-ARGYLE TELEVISION
INC.+ 0 -- 0 --
HISPANIC BROADCASTING
CORP.+ 0 -- 0 --
HOLLINGER INTERNATIONAL
INC. 0 -- 0 --
INFINITY BROADCASTING
CORP.+ 0 -- 0 --
KNIGHT RIDDER INC. 124 6,773 702 38,347
MCGRAW-HILL COMPANIES
INC. 202 12,511 0 --
MEREDITH CORP. 1,382 37,746 0 --
NEW YORK TIMES CO. "A" 162 6,348 1,323 51,845
RARE MEDIUM GROUP INC.+ 0 -- 0 --
READERS DIGEST
ASSOCIATION "A" 0 -- 0 --
SCRIPPS (E.W.) COMPANY 0 -- 0 --
TIME WARNER INC. 844 72,162 6,991 597,730
TRIBUNE CO. 396 14,132 2,268 80,939
UNITEDGLOBALCOM INC. "A"+ 0 -- 0 --
UNIVISION COMMUNICATIONS
INC.+ 0 -- 0 --
USA NETWORKS INC.+ 0 -- 0 --
VIACOM INC. "B"+ 1,451 97,670 8,252 555,463
WASHINGTON POST COMPANY
(THE) "B" 0 -- 0 --
----------- ------------
$ 391,902 $ 2,632,789
METAL FABRICATE /
HARDWARE
PERCENT OF NET ASSETS 0.11% 0.00%
PRECISION CASTPARTS CORP. 700 $ 53,200 0 $ --
TIMKEN CO. 1,342 21,891 0 --
WORTHINGTON INDUSTRIES
INC. 3,277 34,204 0 --
----------- ------------
$ 109,295 $ --
MINING
PERCENT OF NET ASSETS 0.07% 0.03%
ALCOA INC. 458 $ 15,229 0 $ --
FREEPORT-MCMORAN COPPER &
GOLD INC.+ 0 -- 0 --
HOMESTAKE MINING COMPANY 6,842 38,059 0 --
</TABLE>
44
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
FMC CORP.+ 508 $ 34,449 0 $ -- 0 $ --
GENERAL ELECTRIC CO. 156,302 9,172,974 124,034 7,279,245 284,826 16,715,726
HARSCO CORP. 0 -- 1,012 28,146 0 --
ILLINOIS TOOL WORKS INC. 5,004 280,537 3,928 220,214 7,798 437,175
ITT INDUSTRIES INC. 1,841 61,904 1,164 39,140 2,482 83,457
M&F WORLDWIDE CORP.+ 0 -- 0 -- 0 --
MINNESOTA MINING &
MANUFACTURING CO. 6,707 623,751 5,259 489,087 9,216 857,088
NATIONAL SERVICE
INDUSTRIES INC. 0 -- 0 -- 0 --
PALL CORP. 2,120 45,315 1,583 33,837 3,508 74,984
PENTAIR INC. 756 24,570 0 -- 1,766 57,395
TEXTRON INC. 2,516 141,053 1,954 109,546 3,738 209,562
TYCO INTERNATIONAL LTD. 27,956 1,593,492 21,166 1,206,462 42,982 2,449,974
U.S. INDUSTRIES INC. 0 -- 2,236 28,509 0 --
------------ ------------ ------------
$ 12,633,452 $ 9,920,893 $ 21,881,772
MEDIA
PERCENT OF NET ASSETS 1.80% 2.26% 2.70%
AT&T - LIBERTY MEDIA
GROUP "A"+ 35,200 $ 752,400 28,300 $ 604,913 92,988 $ 1,987,618
BELO (A.H.) CORP. 3,878 74,167 2,875 54,984 0 --
CABLEVISION SYSTEMS
CORP.+ 1,890 127,102 1,886 126,834 500 33,625
CHRIS-CRAFT INDUSTRIES
INC.+ 0 -- 825 64,556 1 78
CLEAR CHANNEL
COMMUNICATIONS INC.+ 7,964 576,377 6,279 454,425 15,687 1,135,321
COMCAST CORP. "A"+ 15,500 577,375 11,824 440,444 28,130 1,047,842
DISNEY (WALT) CO. 34,743 1,352,806 26,284 1,023,433 55,303 2,153,361
DOW JONES & CO. INC. 2,120 132,633 1,289 80,643 2,655 166,103
5TH AVENUE CHANNEL CORP.+ 63,300 25,716 0 -- 0 --
GANNETT CO. INC. 4,701 266,194 3,686 208,720 7,809 442,185
GRAY COMMUNICATIONS
SYSTEMS INC. 0 -- 0 -- 0 --
HARCOURT GENERAL INC. 1,994 118,269 1,476 87,545 1,888 111,982
HEARST-ARGYLE TELEVISION
INC.+ 0 -- 3,050 65,956 0 --
HISPANIC BROADCASTING
CORP.+ 2,428 62,369 1,550 39,816 2,274 58,413
HOLLINGER INTERNATIONAL
INC. 0 -- 3,500 57,313 0 --
INFINITY BROADCASTING
CORP.+ 2,205 83,514 2,792 105,747 5,743 217,516
KNIGHT RIDDER INC. 1,634 89,257 1,151 62,873 2,348 128,260
MCGRAW-HILL COMPANIES
INC. 3,290 203,774 2,554 158,188 5,480 339,418
MEREDITH CORP. 0 -- 1,798 49,108 1,371 37,445
NEW YORK TIMES CO. "A" 2,827 110,783 2,204 86,369 4,801 188,139
RARE MEDIUM GROUP INC.+ 0 -- 0 -- 4,600 46,000
READERS DIGEST
ASSOCIATION "A" 2,028 78,078 1,975 76,038 3,998 153,923
SCRIPPS (E.W.) COMPANY 0 -- 925 46,886 1,237 62,700
TIME WARNER INC. 21,333 1,823,971 16,384 1,400,832 39,102 3,343,221
TRIBUNE CO. 5,342 190,643 4,172 148,888 8,909 317,940
UNITEDGLOBALCOM INC. "A"+ 0 -- 2,000 76,625 0 --
UNIVISION COMMUNICATIONS
INC.+ 2,676 118,078 892 39,360 1,966 86,750
USA NETWORKS INC.+ 3,778 90,908 2,622 63,092 10,690 257,228
VIACOM INC. "B"+ 25,527 1,718,286 19,886 1,338,576 42,627 2,869,330
WASHINGTON POST COMPANY
(THE) "B" 258 131,322 119 60,571 87 44,283
------------ ------------ ------------
$ 8,704,022 $ 7,022,735 $ 15,228,681
METAL FABRICATE /
HARDWARE
PERCENT OF NET ASSETS 0.02% 0.00% 0.00%
PRECISION CASTPARTS CORP. 1,026 $ 77,976 0 $ -- 0 $ --
TIMKEN CO. 0 -- 0 -- 0 --
WORTHINGTON INDUSTRIES
INC. 0 -- 0 -- 0 --
------------ ------------ ------------
$ 77,976 $ -- $ --
MINING
PERCENT OF NET ASSETS 0.14% 0.16% 0.18%
ALCOA INC. 14,518 $ 482,723 11,286 $ 375,259 22,770 $ 757,103
FREEPORT-MCMORAN COPPER &
GOLD INC.+ 0 -- 0 -- 4,961 48,680
HOMESTAKE MINING COMPANY 0 -- 0 -- 5,811 32,324
</TABLE>
45
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
NEWMONT MINING CORP. 487 $ 9,031 2,011 $ 37,329
PHELPS DODGE CORP. 125 5,562 594 26,433
----------- ------------
$ 67,881 $ 63,762
OFFICE / BUSINESS
EQUIPMENT
PERCENT OF NET ASSETS 0.02% 0.05%
HON INDUSTRIES INC. 0 $ -- 0 $ --
MILLER (HERMAN) INC. 0 -- 0 --
PITNEY BOWES INC. 166 6,069 1,521 55,612
XEROX CORP. 620 9,959 3,842 61,712
----------- ------------
$ 16,028 $ 117,324
OIL & GAS PRODUCERS
PERCENT OF NET ASSETS 0.41% 1.25%
AMERADA HESS CORP. 122 $ 8,349 905 $ 61,936
ANADARKO PETROLEUM CORP. 272 17,889 1,676 110,231
APACHE CORP. 96 6,048 918 57,834
BURLINGTON RESOURCES INC. 194 7,627 1,791 70,409
CHEVRON CORP. 560 47,320 4,160 351,520
COASTAL CORP. 244 16,805 1,468 101,108
CONOCO INC. 600 15,675 4,270 111,554
DEVON ENERGY CORP. 0 -- 484 28,344
DIAMOND OFFSHORE DRILLING
INC. 0 -- 0 --
ENSCO INTERNATIONAL INC. 0 -- 0 --
EOG RESOURCES INC. 0 -- 0 --
EXXON MOBIL CORP. 1,848 150,843 20,171 1,646,458
GLOBAL MARINE INC.+ 0 -- 0 --
KERR-MCGEE CORP. 97 6,129 808 51,056
MURPHY OIL CORP. 0 -- 0 --
NABORS INDUSTRIES INC.+ 0 -- 0 --
NOBLE AFFILIATES INC. 0 -- 0 --
NOBLE DRILLING CORP.+ 0 -- 0 --
OCCIDENTAL PETROLEUM
CORP. 0 -- 2,905 62,821
OCEAN ENERGY INC.+ 0 -- 0 --
PENN VIRGINIA CORP. 0 -- 1,300 35,506
PHILLIPS PETROLEUM CO. 0 -- 0 --
PIONEER NATURAL RESOURCES
CO.+ 0 -- 0 --
R&B FALCON CORPORATION+ 0 -- 0 --
ROWAN COMPANIES INC.+ 1,466 45,446 0 --
SUNOCO INC. 105 2,855 0 --
TEXACO INC. 502 25,853 3,761 193,691
TOSCO CORP. 261 7,961 0 --
TRANSOCEAN SEDCO FOREX
INC. 241 14,399 1,645 98,289
ULTRAMAR DIAMOND SHAMROCK
CORP. 0 -- 0 --
UNOCAL CORP. 204 6,809 1,946 64,948
USX-MARATHON GROUP INC. 255 6,997 2,350 64,478
VALERO ENERGY CORP. 0 -- 0 --
VASTAR RESOURCES INC. 0 -- 0 --
----------- ------------
$ 387,005 $ 3,110,183
OIL & GAS SERVICES
PERCENT OF NET ASSETS 0.08% 0.23%
BAKER HUGHES INC. 299 $ 10,932 2,790 $ 102,009
BJ SERVICES CO.+ 0 -- 0 --
COOPER CAMERON CORP.+ 0 -- 0 --
GRANT PRIDECO INC. + 0 -- 0 --
HALLIBURTON CO. 465 24,645 3,455 183,115
SCHLUMBERGER LTD. 461 39,329 3,335 284,517
SMITH INTERNATIONAL INC.+ 0 -- 0 --
TIDEWATER INC. 0 -- 0 --
VARCO INTERNATIONAL INC.+ 0 -- 0 --
</TABLE>
46
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
NEWMONT MINING CORP. 6,953 $ 129,056 4,933 $ 91,569 4,696 $ 87,170
PHELPS DODGE CORP. 1,471 65,460 1,021 45,435 2,242 99,769
------------ ------------ ------------
$ 677,239 $ 512,263 $ 1,025,046
OFFICE / BUSINESS
EQUIPMENT
PERCENT OF NET ASSETS 0.11% 0.12% 0.13%
HON INDUSTRIES INC. 2,999 $ 80,786 1,068 $ 28,769 0 $ --
MILLER (HERMAN) INC. 2,476 79,077 2,246 71,732 4,840 154,577
PITNEY BOWES INC. 5,593 204,494 3,389 123,910 8,049 294,292
XEROX CORP. 11,460 184,076 8,604 138,202 18,620 299,084
------------ ------------ ------------
$ 548,433 $ 362,613 $ 747,953
OIL & GAS PRODUCERS
PERCENT OF NET ASSETS 1.91% 2.34% 2.61%
AMERADA HESS CORP. 2,764 $ 189,161 1,411 $ 96,565 2,523 $ 172,668
ANADARKO PETROLEUM CORP. 3,927 258,279 3,442 226,380 6,790 446,578
APACHE CORP. 1,786 112,518 1,748 110,124 3,219 202,797
BURLINGTON RESOURCES INC. 3,373 132,601 3,034 119,274 6,122 240,671
CHEVRON CORP. 11,023 931,443 8,071 682,000 14,799 1,250,515
COASTAL CORP. 3,607 248,432 2,730 188,029 5,945 409,462
CONOCO INC. 10,470 273,529 8,190 213,964 17,480 456,665
DEVON ENERGY CORP. 1,232 72,149 1,500 87,844 1,759 103,011
DIAMOND OFFSHORE DRILLING
INC. 965 43,244 1,507 67,532 3,656 163,834
ENSCO INTERNATIONAL INC. 1,919 76,520 2,793 111,371 6,889 274,699
EOG RESOURCES INC. 865 33,086 1,618 61,889 3,745 143,246
EXXON MOBIL CORP. 53,517 4,368,325 40,286 3,288,345 82,927 6,768,916
GLOBAL MARINE INC.+ 1,807 58,389 3,164 102,237 8,423 272,168
KERR-MCGEE CORP. 1,644 103,880 1,306 82,523 2,641 166,878
MURPHY OIL CORP. 1,432 95,586 1,379 92,048 2,293 153,058
NABORS INDUSTRIES INC.+ 1,766 83,995 2,058 97,884 4,893 232,723
NOBLE AFFILIATES INC. 1,791 69,401 1,812 70,215 0 --
NOBLE DRILLING CORP.+ 1,656 80,316 2,525 122,463 6,548 317,578
OCCIDENTAL PETROLEUM
CORP. 7,222 156,176 5,444 117,727 10,295 222,629
OCEAN ENERGY INC.+ 3,282 49,845 3,588 54,493 7,694 116,853
PENN VIRGINIA CORP. 0 -- 0 -- 0 --
PHILLIPS PETROLEUM CO. 4,331 267,981 3,345 206,972 7,074 437,704
PIONEER NATURAL RESOURCES
CO.+ 5,009 69,500 0 -- 0 --
R&B FALCON CORPORATION+ 2,744 78,204 2,387 68,030 5,637 160,654
ROWAN COMPANIES INC.+ 1,579 48,949 997 30,907 2,269 70,339
SUNOCO INC. 1,753 47,660 1,191 32,380 2,537 68,975
TEXACO INC. 9,227 475,190 7,218 371,727 14,003 721,154
TOSCO CORP. 2,670 81,435 2,252 68,686 4,080 124,440
TRANSOCEAN SEDCO FOREX
INC. 3,521 210,375 2,678 160,005 5,903 352,704
ULTRAMAR DIAMOND SHAMROCK
CORP. 8,515 199,570 2,264 53,063 4,827 113,133
UNOCAL CORP. 4,030 134,501 3,181 106,166 6,814 227,417
USX-MARATHON GROUP INC. 5,179 142,099 4,106 112,658 8,667 237,801
VALERO ENERGY CORP. 0 -- 1,236 37,235 0 --
VASTAR RESOURCES INC. 538 44,519 0 -- 783 64,793
------------ ------------ ------------
$ 9,236,858 $ 7,240,736 $ 14,694,063
OIL & GAS SERVICES
PERCENT OF NET ASSETS 0.37% 0.47% 0.56%
BAKER HUGHES INC. 5,518 $ 201,752 3,806 $ 139,157 7,421 $ 271,330
BJ SERVICES CO.+ 1,041 69,747 1,596 106,932 4,210 282,070
COOPER CAMERON CORP.+ 1,140 88,706 1,061 82,559 2,385 185,583
GRANT PRIDECO INC. + 2,120 49,820 2,413 56,706 4,267 100,274
HALLIBURTON CO. 7,384 391,352 5,161 273,533 10,489 555,917
SCHLUMBERGER LTD. 9,171 782,401 7,183 612,800 14,513 1,238,140
SMITH INTERNATIONAL INC.+ 637 50,641 1,095 87,053 2,696 214,332
TIDEWATER INC. 524 21,156 0 -- 3,084 124,516
VARCO INTERNATIONAL INC.+ 3,126 63,106 602 12,153 0 --
</TABLE>
47
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
WEATHERFORD INTERNATIONAL
INC.+ 0 $ -- 0 $ --
----------- ------------
$ 74,906 $ 569,641
PACKAGING & CONTAINERS
PERCENT OF NET ASSETS 0.07% 0.21%
BALL CORP. 744 $ 25,761 0 $ --
BEMIS CO. 42 1,407 0 --
CROWN CORK & SEAL CO.
INC. 0 -- 21,314 275,750
OWENS-ILLINOIS INC.+ 136 1,777 15,718 205,316
PACTIV CORP.+ 3,208 35,288 0 --
SEALED AIR CORP.+ 57 2,925 705 36,175
SMURFIT-STONE CONTAINER
CORP.+ 0 -- 0 --
SONOCO PRODUCTS CO. 0 -- 0 --
----------- ------------
$ 67,158 $ 517,241
PHARMACEUTICALS
PERCENT OF NET ASSETS 0.90% 2.25%
ABBOTT LABORATORIES 1,003 $ 43,881 8,434 $ 368,987
ABGENIX INC.+ 400 30,069 600 45,103
ALLERGAN INC. 310 22,669 868 63,473
ALZA CORP.+ 87 6,579 704 53,240
AMERICAN HOME PRODUCTS
CORP. 1,295 70,173 6,973 377,849
AMYLIN PHARMACEUTICALS
INC.+ 0 -- 7,900 107,144
BERGEN BRUNSWIG CORP. "A" 6,759 63,366 0 --
BRISTOL-MYERS SQUIBB CO. 1,298 68,794 10,658 564,874
CARDINAL HEALTH INC. 311 25,444 1,762 144,154
CELL THERAPEUTICS INC.+ 0 -- 1,900 88,350
DENTSPLY INTERNATIONAL
INC. 0 -- 0 --
FOREST LABORATORIES INC.
"A"+ 0 -- 0 --
GILEAD SCIENCES INC.+ 0 -- 0 --
HYSEQ INC.+ 400 16,775 0 --
ICN PHARMACEUTICALS INC. 0 -- 0 --
IVAX CORPORATION+ 0 -- 0 --
LILLY (ELI) AND COMPANY 714 52,122 5,921 432,233
MEDAREX INC.+ 0 -- 900 99,450
MEDIMMUNE INC.+ 0 -- 1,184 99,604
MERCK & CO. INC. 1,526 106,629 12,112 846,326
MYLAN LABORATORIES INC. 0 -- 0 --
OMNICARE INC. 0 -- 0 --
PFIZER INC. 4,906 212,185 32,577 1,408,955
PHARMACIA & UPJOHN INC. 1,194 69,924 7,441 435,764
SCHERING-PLOUGH CORP. 961 38,560 7,898 316,907
SEPRACOR INC.+ 0 -- 704 77,440
SYBRON INTERNATIONAL
CORP.+ 0 -- 0 --
TANOX INC.+ 0 -- 0 --
WATSON PHARMACEUTICAL
INC.+ 490 30,227 1,480 91,298
----------- ------------
$ 857,397 $ 5,621,151
PIPELINES
PERCENT OF NET ASSETS 0.11% 0.25%
COLUMBIA ENERGY GROUP 142 $ 9,932 692 $ 48,535
EL PASO ENERGY CORP. 222 12,932 1,366 79,570
ENRON CORP. 676 57,376 4,306 365,472
QUESTAR CORP. 0 -- 0 --
WILLIAMS COMPANIES INC. 450 20,728 2,968 136,714
----------- ------------
$ 100,968 $ 630,291
REAL ESTATE
PERCENT OF NET ASSETS 0.00% 0.01%
CATELLUS DEVELOPMENT
CORP.+ 0 $ -- 0 $ --
</TABLE>
48
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
WEATHERFORD INTERNATIONAL
INC.+ 1,220 $ 57,264 2,113 $ 99,179 4,267 $ 200,282
------------ ------------ ------------
$ 1,775,945 $ 1,470,072 $ 3,172,444
PACKAGING & CONTAINERS
PERCENT OF NET ASSETS 0.06% 0.07% 0.09%
BALL CORP. 0 $ -- 0 $ -- 0 $ --
BEMIS CO. 850 28,475 662 22,177 1,459 48,876
CROWN CORK & SEAL CO.
INC. 5,339 69,073 3,010 38,942 3,697 47,830
OWENS-ILLINOIS INC.+ 4,731 61,799 0 -- 4,190 54,732
PACTIV CORP.+ 0 -- 2,382 26,202 4,872 53,592
SEALED AIR CORP.+ 1,312 67,322 999 51,261 2,468 126,639
SMURFIT-STONE CONTAINER
CORP.+ 1,737 22,798 2,712 35,595 6,314 82,871
SONOCO PRODUCTS CO. 1,823 35,207 2,018 38,973 5,617 108,478
------------ ------------ ------------
$ 284,674 $ 213,150 $ 523,018
PHARMACEUTICALS
PERCENT OF NET ASSETS 3.49% 4.20% 5.24%
ABBOTT LABORATORIES 25,806 $ 1,129,013 19,659 $ 860,081 46,607 $ 2,039,056
ABGENIX INC.+ 1,600 120,275 1,600 120,275 3,100 233,033
ALLERGAN INC. 3,168 231,660 1,646 120,364 3,976 290,745
ALZA CORP.+ 2,058 155,636 1,231 93,094 2,911 220,144
AMERICAN HOME PRODUCTS
CORP. 21,928 1,188,224 16,930 917,394 36,491 1,977,356
AMYLIN PHARMACEUTICALS
INC.+ 0 -- 0 -- 0 --
BERGEN BRUNSWIG CORP. "A" 1 8 0 -- 0 --
BRISTOL-MYERS SQUIBB CO. 31,714 1,680,842 25,220 1,336,660 58,792 3,115,976
CARDINAL HEALTH INC. 4,943 404,399 3,754 307,124 7,857 642,801
CELL THERAPEUTICS INC.+ 0 -- 0 -- 0 --
DENTSPLY INTERNATIONAL
INC. 4,252 141,910 971 32,407 0 --
FOREST LABORATORIES INC.
"A"+ 1,255 122,833 1,225 119,897 4,004 391,891
GILEAD SCIENCES INC.+ 500 54,000 0 -- 0 --
HYSEQ INC.+ 0 -- 0 -- 1,400 58,712
ICN PHARMACEUTICALS INC. 2,107 59,654 1,939 54,898 3,963 112,202
IVAX CORPORATION+ 3,054 105,745 2,629 91,029 5,443 188,464
LILLY (ELI) AND COMPANY 18,618 1,359,114 14,142 1,032,366 33,130 2,418,490
MEDAREX INC.+ 800 88,400 0 -- 1,600 176,800
MEDIMMUNE INC.+ 4,500 378,562 3,000 252,375 5,100 429,037
MERCK & CO. INC. 35,930 2,510,609 29,690 2,074,589 68,452 4,783,083
MYLAN LABORATORIES INC. 2,748 72,994 2,156 57,269 6,529 173,427
OMNICARE INC. 2,465 33,740 2,643 36,176 0 --
PFIZER INC. 101,504 4,390,048 80,388 3,476,781 186,283 8,056,740
PHARMACIA & UPJOHN INC. 20,952 1,227,002 16,231 950,528 33,490 1,961,258
SCHERING-PLOUGH CORP. 25,426 1,020,218 18,753 752,464 44,536 1,787,007
SEPRACOR INC.+ 1,500 165,000 1,272 139,920 1,300 143,000
SYBRON INTERNATIONAL
CORP.+ 1,841 41,883 2,389 54,350 5,599 127,377
TANOX INC.+ 0 -- 800 37,200 0 --
WATSON PHARMACEUTICAL
INC.+ 2,850 175,809 1,499 92,470 2,685 165,631
------------ ------------ ------------
$ 16,857,578 $ 13,009,711 $ 29,492,230
PIPELINES
PERCENT OF NET ASSETS 0.40% 0.43% 0.48%
COLUMBIA ENERGY GROUP 1,384 $ 97,140 1,055 $ 74,048 2,286 $ 160,449
EL PASO ENERGY CORP. 3,876 225,777 2,924 170,323 6,386 371,984
ENRON CORP. 12,010 1,019,349 9,312 790,356 19,000 1,612,625
QUESTAR CORP. 10,658 231,145 1,657 35,936 0 --
WILLIAMS COMPANIES INC. 7,264 334,598 5,674 261,359 12,202 562,055
------------ ------------ ------------
$ 1,908,009 $ 1,332,022 $ 2,707,113
REAL ESTATE
PERCENT OF NET ASSETS 0.02% 0.00% 0.01%
CATELLUS DEVELOPMENT
CORP.+ 5,741 $ 102,620 0 $ -- 0 $ --
</TABLE>
49
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
CB RICHARD ELLIS
SERVICES+ 0 $ -- 1,400 $ 14,700
ST. JOE COMPANY (THE) 0 -- 0 --
----------- ------------
$ -- $ 14,700
REAL ESTATE INVESTMENT
TRUSTS
PERCENT OF NET ASSETS 0.00% 0.25%
ALEXANDRIA REAL ESTATE
EQUITY 0 $ -- 1,400 $ 49,000
AMERESCO CAPITAL TRUST 0 -- 3,300 35,475
AMERICAN INDUSTRIAL
PROPERTIES 0 -- 2,500 33,906
APARTMENT INVESTMENT &
MANAGEMENT CO. "A" 0 -- 0 --
ARCHSTONE COMMUNITIES
TRUST 0 -- 0 --
ARDEN REALTY INC. 0 -- 0 --
AVALONBAY COMMUNITIES
INC. 0 -- 0 --
BOSTON PROPERTIES INC. 0 -- 0 --
CAPITAL AUTOMOTIVE 0 -- 0 --
CAPSTEAD MORTGAGE CORP. 0 -- 2,200 18,838
CARRAMERICA REALTY CORP. 0 -- 0 --
CRESCENT REAL ESTATE
EQUITIES CO. 0 -- 0 --
CROWN AMERICAN REALTY
TRUST 0 -- 8,900 52,844
DUKE-WEEKS REALTY CORP. 0 -- 0 --
EQUITY OFFICE PROPERTIES
TRUST 0 -- 0 --
EQUITY RESIDENTIAL
PROPERTIES TRUST 0 -- 0 --
FIRST WASHINGTON REALTY
TRUST 0 -- 2,800 56,350
HIGHWOODS PROPERTIES INC. 0 -- 0 --
HOST MARRIOTT CORP. 0 -- 0 --
KIMCO REALTY CORP. 0 -- 0 --
KOGER EQUITY INC. 0 -- 3,200 54,800
KONOVER PROPERTY TRUST
INC. 0 -- 5,400 22,613
MACK-CALI REALTY CORP. 0 -- 0 --
MID-AMERICA APARTMENT
COMMUNITIES INC. 0 -- 2,800 67,725
PARKWAY PROPERTIES INC. 0 -- 1,700 53,975
PRISON REALTY TRUST INC.+ 0 -- 6,200 14,725
PUBLIC STORAGE INC. 0 -- 0 --
ROUSE CO. 0 -- 0 --
SENIOR HOUSING PROPERTIES
TRUST 0 -- 1 5
SIMON PROPERTY GROUP INC. 0 -- 0 --
SPIEKER PROPERTIES INC. 0 -- 0 --
THORNBURY MORTGAGE INC. 0 -- 3,900 31,931
VORNADO REALTY TRUST 0 -- 0 --
WASHINGTON TRUST 0 -- 3,400 65,238
WINSTON HOTELS INC. 0 -- 7,200 62,550
----------- ------------
$ -- $ 619,975
RETAIL
PERCENT OF NET ASSETS 0.75% 1.50%
ABERCROMBIE & FITCH CO.+ 0 $ -- 0 $ --
AMAZON.COM INC.+ 700 29,050 1,556 64,574
ANNTAYLOR STORES CORP.+ 747 26,892 0 --
AUTONATION INC.+ 0 -- 0 --
AUTOZONE INC.+ 126 2,835 1,441 32,423
BARNES & NOBLE INC.+ 0 -- 0 --
BARNETT INC.+ 0 -- 1,600 19,900
BED BATH & BEYOND INC.+ 200 3,513 2,240 39,340
BEST BUY CO. INC.+ 130 8,028 1,200 74,100
BJ'S WHOLESALE CLUB INC.+ 0 -- 0 --
BOB EVANS FARMS INC. 5,268 89,556 0 --
BORDERS GROUP INC.+ 0 -- 0 --
BOSTON CHICKEN INC.+ 600 6 500 5
BRINKER INTERNATIONAL
INC.+ 0 -- 0 --
CATO CORP. "A" 0 -- 1,600 19,800
CBRL GROUP INC. 2,949 35,572 0 --
CDW COMPUTER CENTERS
INC.+ 0 -- 0 --
</TABLE>
50
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
CB RICHARD ELLIS
SERVICES+ 0 $ -- 0 $ -- 0 $ --
ST. JOE COMPANY (THE) 0 -- 0 -- 1,502 44,027
------------ ------------ ------------
$ 102,620 $ -- $ 44,027
REAL ESTATE INVESTMENT
TRUSTS
PERCENT OF NET ASSETS 0.34% 0.38% 0.34%
ALEXANDRIA REAL ESTATE
EQUITY 0 $ -- 0 $ -- 0 $ --
AMERESCO CAPITAL TRUST 0 -- 0 -- 0 --
AMERICAN INDUSTRIAL
PROPERTIES 0 -- 0 -- 0 --
APARTMENT INVESTMENT &
MANAGEMENT CO. "A" 3,752 168,371 971 43,574 0 --
ARCHSTONE COMMUNITIES
TRUST 6,553 161,368 2,568 63,237 6,041 148,760
ARDEN REALTY INC. 0 -- 2,139 54,545 0 --
AVALONBAY COMMUNITIES
INC. 3,890 173,834 1,329 59,390 0 --
BOSTON PROPERTIES INC. 0 -- 971 39,265 2,320 93,815
CAPITAL AUTOMOTIVE 200 2,775 0 -- 0 --
CAPSTEAD MORTGAGE CORP. 0 -- 0 -- 0 --
CARRAMERICA REALTY CORP. 0 -- 1,639 47,633 0 --
CRESCENT REAL ESTATE
EQUITIES CO. 0 -- 2,568 56,817 6,141 135,870
CROWN AMERICAN REALTY
TRUST 0 -- 0 -- 0 --
DUKE-WEEKS REALTY CORP. 6,428 152,665 1,975 46,906 4,186 99,417
EQUITY OFFICE PROPERTIES
TRUST 8,798 254,042 5,918 170,882 13,787 398,100
EQUITY RESIDENTIAL
PROPERTIES TRUST 2,491 119,568 2,032 97,536 4,693 225,264
FIRST WASHINGTON REALTY
TRUST 0 -- 0 -- 0 --
HIGHWOODS PROPERTIES INC. 0 -- 2,318 55,777 0 --
HOST MARRIOTT CORP. 14,539 155,386 6,558 70,089 10,596 113,245
KIMCO REALTY CORP. 0 -- 1,150 46,719 2,473 100,466
KOGER EQUITY INC. 0 -- 0 -- 0 --
KONOVER PROPERTY TRUST
INC. 0 -- 0 -- 0 --
MACK-CALI REALTY CORP. 0 -- 1,629 42,659 0 --
MID-AMERICA APARTMENT
COMMUNITIES INC. 0 -- 0 -- 0 --
PARKWAY PROPERTIES INC. 0 -- 0 -- 0 --
PRISON REALTY TRUST INC.+ 0 -- 0 -- 0 --
PUBLIC STORAGE INC. 0 -- 2,064 50,310 4,363 106,348
ROUSE CO. 0 -- 2,418 58,334 3,480 83,955
SENIOR HOUSING PROPERTIES
TRUST 0 -- 0 -- 0 --
SIMON PROPERTY GROUP INC. 7,528 171,732 1,975 45,058 4,175 95,242
SPIEKER PROPERTIES INC. 2,715 148,307 1,239 67,680 2,938 160,488
THORNBURY MORTGAGE INC. 0 -- 0 -- 0 --
VORNADO REALTY TRUST 3,878 143,486 1,507 55,759 3,568 132,016
WASHINGTON TRUST 0 -- 0 -- 0 --
WINSTON HOTELS INC. 0 -- 0 -- 0 --
------------ ------------ ------------
$ 1,651,534 $ 1,172,170 $ 1,892,986
RETAIL
PERCENT OF NET ASSETS 2.38% 2.95% 3.34%
ABERCROMBIE & FITCH CO.+ 0 $ -- 2,534 $ 58,757 0 $ --
AMAZON.COM INC.+ 2,778 115,287 2,608 108,232 6,410 266,015
ANNTAYLOR STORES CORP.+ 0 -- 0 -- 0 --
AUTONATION INC.+ 7,189 46,728 7,222 46,943 20,198 131,287
AUTOZONE INC.+ 2,871 64,597 2,593 58,343 3,883 87,367
BARNES & NOBLE INC.+ 0 -- 1,861 32,219 0 --
BARNETT INC.+ 0 -- 0 -- 0 --
BED BATH & BEYOND INC.+ 5,458 95,856 4,564 80,155 8,406 147,630
BEST BUY CO. INC.+ 3,434 212,049 2,698 166,602 6,266 386,925
BJ'S WHOLESALE CLUB INC.+ 1,472 49,864 1,456 49,322 0 --
BOB EVANS FARMS INC. 0 -- 0 -- 0 --
BORDERS GROUP INC.+ 3,165 42,134 2,996 39,884 0 --
BOSTON CHICKEN INC.+ 700 7 700 7 0 --
BRINKER INTERNATIONAL
INC.+ 1,740 55,245 1,045 33,179 0 --
CATO CORP. "A" 0 -- 0 -- 0 --
CBRL GROUP INC. 0 -- 0 -- 0 --
CDW COMPUTER CENTERS
INC.+ 900 66,150 816 59,976 612 44,982
</TABLE>
51
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
CHARMING SHOPPES INC.+ 0 $ -- 2,800 $ 15,225
CIRCUIT CITY STORES INC. 244 6,329 1,508 39,114
CONSOLIDATED STORES
CORP.+ 458 6,240 0 --
CVS CORP. 404 14,999 0 --
DARDEN RESTAURANTS INC. 90 1,592 15,784 279,180
DEB SHOPS INC. 0 -- 1,800 20,531
DILLARDS INC. "A" 118 1,512 0 --
DISCOUNT AUTO PARTS INC.+ 0 -- 2,000 17,750
DOLLAR GENERAL CORP. 363 7,464 2,582 53,092
DOLLAR TREE STORES INC.+ 0 -- 0 --
EBAY INC.+ 0 -- 0 --
FAMILY DOLLAR STORES INC. 0 -- 0 --
FEDERATED DEPARTMENT
STORES INC.+ 0 -- 1,953 53,952
FINLAY ENTERPRISES INC.+ 0 -- 1,200 15,150
FOOTSTAR INC.+ 0 -- 500 14,875
FRED'S INC. 0 -- 800 19,200
GAP INC. 558 12,520 4,728 106,085
GOLDEN STATE BANCORP
INC.+ 200 263 500 656
GUITAR CENTER INC.+ 0 -- 1,100 16,500
HOME DEPOT INC. 1,499 72,046 12,238 588,189
HOMEBASE INC.+ 0 -- 6,200 14,338
INTIMATE BRANDS INC. 0 -- 0 --
KMART CORP.+ 0 -- 3,732 26,124
KOHLS CORP.+ 214 11,984 1,910 106,960
LIMITED INC. 197 3,940 0 --
LONGS DRUG STORES INC. 1,466 27,671 0 --
LOWE'S COMPANIES INC. 304 13,623 0 --
MAY DEPARTMENT STORES CO. 0 -- 0 --
MCDONALD'S CORP. 438 13,085 0 --
NEIMAN-MARCUS GROUP INC.
"A"+ 600 20,138 700 23,494
NORDSTROM INC. 214 3,692 1,590 27,428
OFFICE DEPOT INC.+ 477 3,488 3,095 22,632
OUTBACK STEAKHOUSE INC.+ 0 -- 0 --
PAYLESS SHOESOURCE INC.+ 0 -- 0 --
PC CONNECTION INC.+ 300 19,425 0 --
PENNEY (J.C.) COMPANY
INC. 0 -- 2,863 40,082
PIER 1 IMPORTS INC. 0 -- 0 --
RADIOSHACK CORP. 132 7,788 1,160 68,440
RITE AID CORP. 838 3,352 0 --
ROSS STORES INC. 0 -- 0 --
RUBY TUESDAY INC. 5,468 68,350 0 --
SAKS INC.+ 0 -- 0 --
SEARS, ROEBUCK AND CO. 0 -- 0 --
7-ELEVEN INC.+ 560 7,490 0 --
STAPLES INC.+ 511 7,857 3,497 53,766
STARBUCKS CORP.+ 0 -- 1,836 67,244
TARGET CORPORATION 926 21,530 5,956 138,477
TIFFANY & CO. 0 -- 1,560 64,935
TJX COMPANIES INC. 176 3,315 2,376 44,699
TOYS R US INC.+ 0 -- 1,861 33,847
TRICON GLOBAL RESTAURANTS
INC.+ 0 -- 1,550 45,144
WALGREEN CO. 650 21,369 5,898 193,897
WAL-MART STORES INC. 2,906 137,853 23,326 1,106,527
WENDY'S INTERNATIONAL
INC. 131 2,473 9,815 185,258
----------- ------------
$ 716,840 $ 3,752,933
SEMICONDUCTORS
PERCENT OF NET ASSETS 1.39% 1.97%
ADVANCED MICRO DEVICES
INC.+ 460 $ 17,308 1,752 $ 65,919
ALTERA CORP.+ 680 44,073 2,448 158,661
ANALOG DEVICES INC.+ 582 58,491 2,056 206,628
APPLIED MATERIALS INC.+ 700 60,419 3,760 324,535
</TABLE>
52
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
CHARMING SHOPPES INC.+ 0 $ -- 0 $ -- 0 $ --
CIRCUIT CITY STORES INC. 2,916 75,634 2,826 73,299 5,740 148,881
CONSOLIDATED STORES
CORP.+ 0 -- 3,135 42,714 3,132 42,674
CVS CORP. 6,573 244,023 5,108 189,635 10,960 406,890
DARDEN RESTAURANTS INC. 4,729 83,644 3,211 56,795 3,613 63,905
DEB SHOPS INC. 0 -- 0 -- 0 --
DILLARDS INC. "A" 0 -- 0 -- 2,925 37,477
DISCOUNT AUTO PARTS INC.+ 0 -- 0 -- 0 --
DOLLAR GENERAL CORP. 5,631 115,787 5,051 103,861 9,293 191,087
DOLLAR TREE STORES INC.+ 1,530 62,061 1,405 56,990 2,764 112,115
EBAY INC.+ 1,000 62,000 800 49,600 1,700 105,400
FAMILY DOLLAR STORES INC. 3,533 63,306 3,007 54,126 6,833 122,994
FEDERATED DEPARTMENT
STORES INC.+ 4,336 119,782 2,842 78,510 5,861 161,910
FINLAY ENTERPRISES INC.+ 0 -- 0 -- 0 --
FOOTSTAR INC.+ 0 -- 0 -- 0 --
FRED'S INC. 0 -- 0 -- 0 --
GAP INC. 14,806 332,210 11,436 256,595 25,430 570,586
GOLDEN STATE BANCORP
INC.+ 800 1,050 900 1,181 1,900 2,494
GUITAR CENTER INC.+ 0 -- 0 -- 0 --
HOME DEPOT INC. 37,675 1,810,755 29,755 1,430,100 68,091 3,272,624
HOMEBASE INC.+ 0 -- 0 -- 0 --
INTIMATE BRANDS INC. 2,300 37,087 2,400 38,700 300 4,837
KMART CORP.+ 11,082 77,574 8,337 58,359 13,711 95,977
KOHLS CORP.+ 6,266 350,896 4,212 235,872 9,862 552,272
LIMITED INC. 8,464 169,280 6,234 124,680 11,962 239,240
LONGS DRUG STORES INC. 0 -- 0 -- 0 --
LOWE'S COMPANIES INC. 6,403 286,934 5,039 225,810 10,733 480,973
MAY DEPARTMENT STORES CO. 6,677 153,154 4,541 104,159 9,335 214,122
MCDONALD'S CORP. 22,712 678,521 17,334 517,853 34,018 1,016,288
NEIMAN-MARCUS GROUP INC.
"A"+ 0 -- 0 -- 0 --
NORDSTROM INC. 4,951 85,405 3,431 59,185 3,812 65,757
OFFICE DEPOT INC.+ 6,628 48,467 6,279 45,915 9,265 67,750
OUTBACK STEAKHOUSE INC.+ 1,615 37,044 1,439 33,007 2,982 68,400
PAYLESS SHOESOURCE INC.+ 1,302 69,494 796 42,487 0 --
PC CONNECTION INC.+ 0 -- 0 -- 0 --
PENNEY (J.C.) COMPANY
INC. 6,746 94,444 4,457 62,398 7,295 102,130
PIER 1 IMPORTS INC. 3,430 40,303 2,689 31,596 0 --
RADIOSHACK CORP. 3,354 197,886 2,584 152,456 5,836 344,324
RITE AID CORP. 8,307 33,228 9,204 36,816 7,281 29,124
ROSS STORES INC. 2,730 41,291 2,400 36,300 0 --
RUBY TUESDAY INC. 0 -- 0 -- 0 --
SAKS INC.+ 6,932 69,320 4,777 47,770 5,277 52,770
SEARS, ROEBUCK AND CO. 6,312 196,856 4,946 154,253 9,205 287,081
7-ELEVEN INC.+ 0 -- 0 -- 0 --
STAPLES INC.+ 7,996 122,939 6,950 106,856 13,187 202,750
STARBUCKS CORP.+ 3,256 119,251 2,936 107,531 6,708 245,681
TARGET CORPORATION 14,662 340,892 11,422 265,562 24,230 563,348
TIFFANY & CO. 2,984 124,209 3,172 132,035 5,860 243,923
TJX COMPANIES INC. 6,463 121,585 5,014 94,326 8,747 164,553
TOYS R US INC.+ 4,670 84,936 4,057 73,787 6,783 123,366
TRICON GLOBAL RESTAURANTS
INC.+ 3,375 98,297 2,542 74,036 4,572 133,160
WALGREEN CO. 16,964 557,692 13,002 427,441 30,620 1,006,633
WAL-MART STORES INC. 73,470 3,485,233 56,890 2,698,719 129,118 6,125,035
WENDY'S INTERNATIONAL
INC. 3,674 69,347 2,523 47,622 3,406 64,288
------------ ------------ ------------
$ 11,509,734 $ 9,162,556 $ 18,797,025
SEMICONDUCTORS
PERCENT OF NET ASSETS 3.75% 4.72% 5.96%
ADVANCED MICRO DEVICES
INC.+ 4,984 $ 187,523 3,734 $ 140,492 8,218 $ 309,202
ALTERA CORP.+ 8,140 527,574 6,716 435,281 14,500 939,781
ANALOG DEVICES INC.+ 5,912 594,156 4,564 458,682 9,760 980,880
APPLIED MATERIALS INC.+ 13,008 1,122,753 9,855 850,610 24,111 2,081,081
</TABLE>
53
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
APPLIED MICRO CIRCUITS
CORP.+ 300 $ 60,881 800 $ 162,350
ATMEL CORP.+ 0 -- 0 --
BROADCOM CORP.+ 300 75,000 1,200 300,000
C-CUBE MICROSYSTEMS INC.+ 0 -- 0 --
CIRRUS LOGIC INC.+ 2,434 73,629 0 --
CONEXANT SYSTEMS INC.+ 0 -- 1,449 53,885
CREE INC.+ 0 -- 0 --
CYPRESS SEMICONDUCTOR
CORP.+ 0 -- 0 --
ELANTEC SEMICONDUCTOR
INC.+ 500 44,250 0 --
EMCORE CORP.+ 100 11,150 0 --
INTEGRATED DEVICE
TECHNOLOGY INC.+ 0 -- 0 --
INTEGRATED SILICON
SOLUTION INC.+ 700 20,563 0 --
INTEL CORP. 4,164 311,780 23,984 1,795,802
INTERNATIONAL RECTIFIER
CORP.+ 0 -- 0 --
INTERSIL HOLDING CORP.+ 0 -- 0 --
KLA-TENCOR CORP.+ 388 25,463 1,042 68,381
LAM RESEARCH CORP.+ 0 -- 0 --
LATTICE SEMICONDUCTOR
CORP.+ 0 -- 0 --
LINEAR TECHNOLOGY CORP. 204 14,675 1,542 110,928
LSI LOGIC CORP.+ 536 19,263 1,758 63,178
MAXIM INTEGRATED PRODUCTS
INC.+ 700 61,381 1,740 152,576
MICRON TECHNOLOGY INC.+ 590 48,233 2,984 243,942
MIPS TECHNOLOGIES INC.
"B"+ 0 -- 0 --
NATIONAL SEMICONDUCTOR
CORP.+ 586 26,077 1,022 45,479
NOVELLUS SYSTEMS INC.+ 0 -- 720 44,325
PERICOM SEMICONDUCTOR
CORP.+ 400 29,600 0 --
PMC - SIERRA INC.+ 400 94,400 1,000 236,000
QLOGIC CORP.+ 211 23,949 0 --
RAMBUS INC.+ 200 16,338 300 24,506
SILICON LABORATORIES
INC.+ 0 -- 0 --
TERADYNE INC.+ 342 22,166 1,016 65,850
TEXAS INSTRUMENTS INC. 1,060 70,954 7,868 526,664
TRANSWITCH CORP.+ 0 -- 0 --
TRIQUINT SEMICONDUCTOR
INC.+ 0 -- 0 --
VARIAN SEMICONDUCTOR
EQUIPMENT ASSOCIATES
INC.+ 300 17,138 0 --
VITESSE SEMICONDUCTOR
CORP.+ 500 44,406 1,384 122,917
XILINX INC.+ 408 36,261 1,598 142,022
----------- ------------
$ 1,327,848 $ 4,914,548
SOFTWARE
PERCENT OF NET ASSETS 1.36% 2.44%
ADOBE SYSTEMS INC. 374 $ 48,620 586 $ 76,180
AKAMAI TECHNOLOGIES INC.+ 0 -- 300 22,669
AMERICA ONLINE INC.+ 1,890 110,801 12,930 758,021
ARIBA INC.+ 300 47,213 900 141,638
AT HOME CORP. "A"+ 0 -- 0 --
AUTODESK INC. 0 -- 0 --
AUTOMATIC DATA PROCESSING 408 24,327 3,726 222,163
BEA SYSTEMS INC.+ 400 27,225 0 --
BMC SOFTWARE INC.+ 469 12,663 1,515 40,905
BROADVISION INC.+ 600 20,700 1,600 55,200
CADENCE DESIGN SYSTEMS
INC.+ 0 -- 0 --
CHECKFREE CORP.+ 0 -- 0 --
CHOICEPOINT INC.+ 1,282 60,094 0 --
CITRIX SYSTEMS INC.+ 0 -- 1,084 23,848
CMGI INC.+ 0 -- 0 --
COMPUTER ASSOCIATES
INTERNATIONAL INC. 566 17,971 3,122 99,124
COMPUWARE CORP.+ 750 7,922 3,320 35,068
CYBER-CARE INC.+ 0 -- 0 --
DOUBLECLICK INC.+ 0 -- 0 --
EARTHLINK INC.+ 0 -- 0 --
EDWARDS (J.D.) & CO.+ 0 -- 0 --
</TABLE>
54
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
APPLIED MICRO CIRCUITS
CORP.+ 1,700 $ 344,994 1,600 $ 324,700 3,600 $ 730,575
ATMEL CORP.+ 6,200 124,000 7,600 152,000 20,044 400,880
BROADCOM CORP.+ 3,300 825,000 2,600 650,000 4,600 1,150,000
C-CUBE MICROSYSTEMS INC.+ 0 -- 357 8,300 718 16,694
CIRRUS LOGIC INC.+ 0 -- 1,352 40,898 0 --
CONEXANT SYSTEMS INC.+ 3,864 143,693 2,998 111,488 6,590 245,066
CREE INC.+ 800 110,200 500 68,875 1,300 179,075
CYPRESS SEMICONDUCTOR
CORP.+ 1,296 64,071 1,371 67,779 3,300 163,144
ELANTEC SEMICONDUCTOR
INC.+ 0 -- 0 -- 0 --
EMCORE CORP.+ 0 -- 0 -- 0 --
INTEGRATED DEVICE
TECHNOLOGY INC.+ 1,590 139,523 814 71,429 2,255 197,876
INTEGRATED SILICON
SOLUTION INC.+ 0 -- 0 -- 0 --
INTEL CORP. 98,784 7,396,452 86,720 6,493,160 199,748 14,956,132
INTERNATIONAL RECTIFIER
CORP.+ 1,477 92,959 625 39,336 1,072 67,469
INTERSIL HOLDING CORP.+ 0 -- 400 21,600 800 43,200
KLA-TENCOR CORP.+ 3,258 213,806 2,470 162,094 5,146 337,706
LAM RESEARCH CORP.+ 2,114 63,684 1,338 40,307 3,780 113,873
LATTICE SEMICONDUCTOR
CORP.+ 1,328 103,418 1,250 97,344 2,674 208,238
LINEAR TECHNOLOGY CORP. 5,238 376,809 3,992 287,175 9,526 685,277
LSI LOGIC CORP.+ 4,944 177,675 3,872 139,150 8,360 300,438
MAXIM INTEGRATED PRODUCTS
INC.+ 4,682 410,553 4,008 351,452 10,518 922,297
MICRON TECHNOLOGY INC.+ 9,102 744,089 7,020 573,885 15,144 1,238,022
MIPS TECHNOLOGIES INC.
"B"+ 0 -- 498 25,771 0 --
NATIONAL SEMICONDUCTOR
CORP.+ 2,834 126,113 2,179 96,966 4,786 212,977
NOVELLUS SYSTEMS INC.+ 2,331 143,502 1,812 111,551 5,034 309,906
PERICOM SEMICONDUCTOR
CORP.+ 0 -- 0 -- 0 --
PMC - SIERRA INC.+ 2,100 495,600 1,700 401,200 4,000 944,000
QLOGIC CORP.+ 3,773 428,236 1,200 136,200 3,549 402,812
RAMBUS INC.+ 1,452 118,610 1,116 91,163 2,168 177,099
SILICON LABORATORIES
INC.+ 0 -- 200 12,075 500 30,188
TERADYNE INC.+ 2,962 191,975 2,258 146,347 4,798 310,970
TEXAS INSTRUMENTS INC. 27,024 1,808,919 20,880 1,397,655 48,048 3,216,213
TRANSWITCH CORP.+ 2,200 132,413 0 -- 1,400 84,263
TRIQUINT SEMICONDUCTOR
INC.+ 2,000 110,625 0 -- 2,800 154,875
VARIAN SEMICONDUCTOR
EQUIPMENT ASSOCIATES
INC.+ 1,820 103,968 995 56,839 1,659 94,770
VITESSE SEMICONDUCTOR
CORP.+ 2,556 227,005 2,336 207,466 5,260 467,154
XILINX INC.+ 5,448 484,191 4,072 361,899 9,798 870,797
------------ ------------ ------------
$ 18,134,089 $ 14,631,169 $ 33,542,930
SOFTWARE
PERCENT OF NET ASSETS 4.23% 5.27% 6.69%
ADOBE SYSTEMS INC. 2,376 $ 308,880 1,804 $ 234,520 3,648 $ 474,240
AKAMAI TECHNOLOGIES INC.+ 700 52,894 700 52,894 1,700 128,456
AMERICA ONLINE INC.+ 37,246 2,183,547 29,616 1,736,238 68,074 3,990,838
ARIBA INC.+ 1,900 299,013 1,600 251,800 4,000 629,500
AT HOME CORP. "A"+ 3,252 47,357 3,172 46,192 7,496 109,161
AUTODESK INC. 3,521 99,028 1,149 32,316 1,737 48,853
AUTOMATIC DATA PROCESSING 10,398 619,981 8,073 481,353 19,126 1,140,388
BEA SYSTEMS INC.+ 2,652 180,502 2,316 157,633 4,812 327,517
BMC SOFTWARE INC.+ 4,959 133,893 3,629 97,983 7,360 198,720
BROADVISION INC.+ 3,200 110,400 2,900 100,050 6,800 234,600
CADENCE DESIGN SYSTEMS
INC.+ 4,825 102,531 3,452 73,355 10,984 233,410
CHECKFREE CORP.+ 0 -- 0 -- 1,700 88,081
CHOICEPOINT INC.+ 2,138 100,219 876 41,063 854 40,031
CITRIX SYSTEMS INC.+ 3,800 83,600 2,868 63,096 5,714 125,708
CMGI INC.+ 2,400 107,400 2,600 116,350 7,700 344,575
COMPUTER ASSOCIATES
INTERNATIONAL INC. 10,846 344,361 7,989 253,651 18,437 585,375
COMPUWARE CORP.+ 7,390 78,057 6,166 65,128 10,822 114,307
CYBER-CARE INC.+ 2,200 13,063 0 -- 0 --
DOUBLECLICK INC.+ 1,100 44,756 1,200 48,825 3,000 122,063
EARTHLINK INC.+ 0 -- 0 -- 1 6
EDWARDS (J.D.) & CO.+ 0 -- 0 -- 1,513 37,541
</TABLE>
55
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
ELECTRONIC ARTS INC.+ 0 $ -- 0 $ --
EXODUS COMMUNICATIONS
INC.+ 700 47,906 2,100 143,719
FIRST DATA CORP. 443 21,126 2,775 132,333
FISERV INC.+ 0 -- 0 --
GEOWORKS CORP.+ 0 -- 0 --
GLOBIX CORP.+ 500 13,406 2,000 53,625
I2 TECHNOLOGIES INC.+ 300 50,756 652 110,310
IMS HEALTH INC. 190 3,586 2,124 40,091
INFORMIX CORP.+ 0 -- 0 --
INFOSPACE.COM INC.+ 500 19,500 1,700 66,300
INKTOMI CORP.+ 200 26,075 300 39,113
INTERNET CAPITAL GROUP
LLC+ 0 -- 900 31,388
INTERNET PICTURES CORP.+ 0 -- 0 --
INTUIT INC.+ 0 -- 0 --
KEANE INC.+ 0 -- 0 --
LEGATO SYSTEMS INC.+ 0 -- 0 --
LYCOS INC.+ 0 -- 0 --
MACROMEDIA INC.+ 400 27,644 0 --
MANUGISTICS GROUP INC.+ 400 35,100 0 --
MERCURY INTERACTIVE
CORP.+ 0 -- 0 --
MICROSOFT CORP.+ 3,606 251,744 26,754 1,867,764
NATIONAL DATA CORP. 0 -- 0 --
NETSOL INTERNATIONAL
INC.+ 400 10,400 0 --
NETWORK ASSOCIATES INC.+ 0 -- 0 --
NIKU CORP.+ 0 -- 0 --
NOVELL INC.+ 1,025 12,556 2,246 27,514
ORACLE CORP.+ 2,342 212,976 14,414 1,310,773
PARAMETRIC TECHNOLOGY
CORP.+ 0 -- 0 --
PEOPLESOFT INC.+ 0 -- 0 --
PEREGRINE SYSTEMS INC.+ 0 -- 0 --
PHONE.COM INC.+ 0 -- 0 --
PRIME RESPONSE INC.+ 0 -- 0 --
PSINET INC.+ 0 -- 0 --
RATIONAL SOFTWARE CORP.+ 300 38,606 792 101,921
REALNETWORKS INC.+ 0 -- 800 38,950
REYNOLDS & REYNOLDS CO.
"A" 0 -- 0 --
SIEBEL SYSTEMS INC.+ 400 78,800 1,112 219,064
SOURCINGLINK.NET INC.+ 0 -- 0 --
SYBASE INC.+ 0 -- 0 --
SYMANTEC CORP.+ 0 -- 0 --
TIBCO SOFTWARE INC.+ 0 -- 0 --
TOTAL SYSTEM SERVICES
INC. 0 -- 0 --
USINTERNETWORKING INC.+ 0 -- 0 --
USURF AMERICA INC.+ 0 -- 0 --
VICINITY CORP.+ 0 -- 0 --
VIGNETTE CORP.+ 300 11,438 500 19,063
YAHOO! INC.+ 540 65,610 3,318 403,137
----------- ------------
$ 1,304,765 $ 6,079,881
TELECOMMUNICATION
EQUIPMENT
PERCENT OF NET ASSETS 0.60% 1.05%
ADC TELECOMMUNICATIONS
INC.+ 808 $ 33,078 3,344 $ 136,891
ADTRAN INC.+ 0 -- 0 --
ADVANCED FIBRE
COMMUNICATIONS INC.+ 0 -- 0 --
AMERICAN TOWER CORP.+ 0 -- 0 --
ANDREW CORP.+ 690 20,441 0 --
CIENA CORP.+ 300 66,506 628 139,220
COMMSCOPE INC.+ 0 -- 0 --
COMVERSE TECHNOLOGY INC.+ 200 18,388 760 69,873
HARMONIC INC.+ 0 -- 0 --
HARRIS CORP. 0 -- 0 --
JDS UNIPHASE CORP.+ 1,200 149,550 4,420 550,843
</TABLE>
56
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
ELECTRONIC ARTS INC.+ 1,302 $ 140,535 1,329 $ 143,449 3,015 $ 325,432
EXODUS COMMUNICATIONS
INC.+ 4,100 280,594 3,400 232,688 8,500 581,719
FIRST DATA CORP. 7,073 337,294 5,479 261,280 11,714 558,611
FISERV INC.+ 2,183 118,278 1,983 107,454 6,284 340,514
GEOWORKS CORP.+ 0 -- 0 -- 3,900 44,606
GLOBIX CORP.+ 1,500 40,219 0 -- 2,600 69,713
I2 TECHNOLOGIES INC.+ 1,516 256,488 1,396 236,186 3,211 543,261
IMS HEALTH INC. 5,945 112,212 3,930 74,179 9,265 174,877
INFORMIX CORP.+ 0 -- 4,709 28,843 4,775 29,247
INFOSPACE.COM INC.+ 2,900 113,100 2,700 105,300 6,400 249,600
INKTOMI CORP.+ 1,300 169,488 1,100 143,413 2,600 338,975
INTERNET CAPITAL GROUP
LLC+ 2,000 69,750 1,900 66,263 4,600 160,425
INTERNET PICTURES CORP.+ 2,000 15,625 0 -- 0 --
INTUIT INC.+ 2,467 147,712 2,012 120,469 7,583 454,032
KEANE INC.+ 2,327 40,286 1,696 29,362 3,733 64,628
LEGATO SYSTEMS INC.+ 0 -- 2,008 24,347 0 --
LYCOS INC.+ 1,100 78,100 1,200 85,200 3,200 227,200
MACROMEDIA INC.+ 914 63,166 846 58,467 1,995 137,873
MANUGISTICS GROUP INC.+ 0 -- 0 -- 1,200 105,300
MERCURY INTERACTIVE
CORP.+ 2,100 256,594 1,500 183,281 3,000 366,563
MICROSOFT CORP.+ 86,310 6,025,517 67,486 4,711,366 153,722 10,731,717
NATIONAL DATA CORP. 0 -- 893 26,232 0 --
NETSOL INTERNATIONAL
INC.+ 0 -- 0 -- 0 --
NETWORK ASSOCIATES INC.+ 4,167 107,821 2,432 62,928 7,079 183,169
NIKU CORP.+ 800 21,650 1,100 29,769 2,200 59,538
NOVELL INC.+ 7,070 86,608 5,142 62,990 9,108 111,573
ORACLE CORP.+ 46,026 4,185,489 36,998 3,364,506 83,930 7,632,384
PARAMETRIC TECHNOLOGY
CORP.+ 6,033 80,691 5,139 68,734 8,173 109,314
PEOPLESOFT INC.+ 6,620 213,495 4,845 156,251 8,030 258,968
PEREGRINE SYSTEMS INC.+ 0 -- 0 -- 3,100 99,006
PHONE.COM INC.+ 0 -- 800 73,950 1,800 166,388
PRIME RESPONSE INC.+ 0 -- 1,100 6,600 100 600
PSINET INC.+ 3,500 61,469 2,300 40,394 5,200 91,325
RATIONAL SOFTWARE CORP.+ 1,778 228,806 1,529 196,763 3,226 415,146
REALNETWORKS INC.+ 1,400 68,163 1,400 68,163 3,300 160,669
REYNOLDS & REYNOLDS CO.
"A" 3,488 63,220 1,875 33,984 3,468 62,858
SIEBEL SYSTEMS INC.+ 3,768 742,296 2,832 557,904 6,352 1,251,344
SOURCINGLINK.NET INC.+ 5,000 27,813 0 -- 0 --
SYBASE INC.+ 3,227 88,541 1,871 51,336 2,408 66,070
SYMANTEC CORP.+ 1,522 74,293 1,594 77,807 3,603 175,871
TIBCO SOFTWARE INC.+ 0 -- 0 -- 1,400 142,713
TOTAL SYSTEM SERVICES
INC. 0 -- 993 16,385 2,243 37,010
USINTERNETWORKING INC.+ 1,100 11,344 0 -- 2,625 27,070
USURF AMERICA INC.+ 200 263 0 -- 0 --
VICINITY CORP.+ 0 -- 1,100 12,238 0 --
VIGNETTE CORP.+ 2,400 91,500 2,300 87,688 5,000 190,625
YAHOO! INC.+ 8,958 1,088,397 7,144 867,996 16,332 1,984,338
------------ ------------ ------------
$ 20,416,299 $ 16,326,612 $ 37,703,642
TELECOMMUNICATION
EQUIPMENT
PERCENT OF NET ASSETS 1.78% 2.13% 2.71%
ADC TELECOMMUNICATIONS
INC.+ 12,148 $ 497,309 9,170 $ 375,397 18,460 $ 755,706
ADTRAN INC.+ 0 -- 368 19,711 718 38,458
ADVANCED FIBRE
COMMUNICATIONS INC.+ 1,227 64,858 1,261 66,656 2,673 141,293
AMERICAN TOWER CORP.+ 2,028 73,642 1,775 64,455 900 32,681
ANDREW CORP.+ 2,294 67,960 1,090 32,291 2,313 68,523
CIENA CORP.+ 1,940 430,074 1,671 370,440 3,861 855,935
COMMSCOPE INC.+ 794 19,800 646 16,110 1,671 41,671
COMVERSE TECHNOLOGY INC.+ 2,926 269,009 2,132 196,011 4,708 432,842
HARMONIC INC.+ 0 -- 0 -- 989 33,132
HARRIS CORP. 1,720 51,708 1,063 31,956 2,112 63,492
JDS UNIPHASE CORP.+ 13,520 1,684,930 9,900 1,233,788 25,824 3,218,316
</TABLE>
57
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
LUCENT TECHNOLOGIES INC. 2,083 $ 87,095 16,430 $ 686,979
MOTOROLA INC. 1,828 65,922 11,801 425,574
PALM INC.+ 1,008 44,352 3,596 158,224
QUALCOMM INC.+ 780 46,703 3,866 231,477
RF MICRO DEVICES INC.+ 0 -- 0 --
SCIENTIFIC-ATLANTA INC. 350 27,278 938 73,105
SYCAMORE NETWORKS INC.+ 0 -- 300 41,100
TELLABS INC.+ 264 14,834 2,102 118,106
----------- ------------
$ 574,147 $ 2,631,392
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 0.67% 1.08%
ADAPTEC INC.+ 0 $ -- 0 $ --
ALLEGIANCE TELECOM INC.+ 0 -- 0 --
ANIXTER INTERNATIONAL
INC.+ 0 -- 0 --
ARCH COMMUNICATIONS GROUP
INC.+ 0 -- 0 --
ASPECT COMMUNICATIONS
CORP.+ 0 -- 0 --
BROADWING INC.+ 0 -- 0 --
CABLETRON SYSTEMS+ 777 29,089 0 --
CHOICE ONE COMMUNICATIONS
INC.+ 0 -- 0 --
COPPER MOUNTAIN NETWORKS
INC.+ 0 -- 0 --
CORNING INC. 275 90,183 1,368 448,619
COX COMMUNICATIONS INC.
"A"+ 0 -- 0 --
DIGITAL LIGHTWARE INC.+ 0 -- 0 --
ECHOSTAR COMMUNICATIONS
CORP.+ 0 -- 0 --
EMULEX CORP.+ 0 -- 0 --
GLOBAL CROSSING LTD.+ 1,102 33,129 5,386 161,917
GLOBAL TELESYSTEMS GROUP
INC. 1,900 16,388 0 --
HUGHES ELECTRONICS CORP.+ 0 -- 0 --
ICG COMMUNICATIONS INC.+ 0 -- 0 --
INTERDIGITAL
COMMUNICATIONS CORP.+ 600 10,725 0 --
LEAP WIRELESS
INTERNATIONAL INC.+ 0 -- 0 --
LEVEL 3 COMMUNICATIONS
INC.+ 0 -- 0 --
LIGHTPATH TECHNOLOGIES
INC. "B"+ 0 -- 1,700 89,675
MCLEODUSA INC. "A"+ 0 -- 0 --
METROMEDIA FIBER NETWORK
INC.+ 0 -- 0 --
MPOWER COMMUNICATIONS
CORP.+ 0 -- 0 --
MRV COMMUNICATIONS INC.+ 0 -- 1,000 77,063
NATURAL MICROSYSTEMS
CORP.+ 400 29,825 0 --
NEWPORT CORP. 200 31,800 0 --
NEXTEL COMMUNICATIONS
INC. "A"+ 1,076 59,651 3,910 216,761
NTL INC.+ 0 -- 0 --
OSICOM TECHNOLOGIES INC.+ 100 5,900 600 35,400
POWERWAVE TECHNOLOGIES
INC.+ 0 -- 0 --
QWEST COMMUNICATIONS
INTERNATIONAL INC.+ 568 29,323 8,537 440,723
SDL INC.+ 100 39,731 500 198,656
SPRINT CORP. (PCS GROUP)+ 1,464 73,475 5,282 265,090
TERAYON COMMUNICATIONS
SYSTEMS INC.+ 0 -- 0 --
TOLLGRADE COMMUNICATIONS
INC.+ 200 22,238 0 --
VERIZON COMMUNICATIONS 2,665 116,261 16,072 701,141
VERTICALNET INC.+ 0 -- 0 --
VOICESTREAM WIRELESS
CORP.+ 452 50,878 489 55,043
WESTERN WIRELESS CORP.
"A"+ 0 -- 0 --
----------- ------------
$ 638,596 $ 2,690,088
TELEPHONE
PERCENT OF NET ASSETS 0.41% 1.16%
ALLTEL CORP. 349 $ 17,646 1,832 $ 92,631
AT&T CORP. 2,629 82,813 21,876 689,094
BELLSOUTH CORP. 1,860 69,401 11,159 416,370
CENTURYTEL INC. 100 2,881 2,230 64,252
INTERMEDIA COMMUNICATIONS
INC.+ 0 -- 0 --
NEXTLINK COMMUNICATIONS
INC.+ 0 -- 0 --
</TABLE>
58
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
LUCENT TECHNOLOGIES INC. 50,046 $ 2,092,548 41,727 $ 1,744,710 96,907 $ 4,051,924
MOTOROLA INC. 35,497 1,280,111 27,570 994,243 56,578 2,040,344
PALM INC.+ 9,146 402,424 7,086 311,784 14,166 623,304
QUALCOMM INC.+ 12,426 744,007 9,944 595,397 22,520 1,348,385
RF MICRO DEVICES INC.+ 2,400 107,100 1,800 80,325 4,800 214,200
SCIENTIFIC-ATLANTA INC. 2,888 225,084 2,100 163,669 4,388 341,990
SYCAMORE NETWORKS INC.+ 1,500 205,500 0 -- 2,100 287,700
TELLABS INC.+ 6,884 386,795 5,252 295,097 12,216 686,387
------------ ------------ ------------
$ 8,602,859 $ 6,592,040 $ 15,276,283
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 1.99% 2.29% 2.91%
ADAPTEC INC.+ 2,450 $ 60,025 1,556 $ 38,122 2,974 $ 72,863
ALLEGIANCE TELECOM INC.+ 1,850 92,153 0 -- 2,300 114,569
ANIXTER INTERNATIONAL
INC.+ 0 -- 625 21,875 0 --
ARCH COMMUNICATIONS GROUP
INC.+ 7,000 36,313 0 -- 0 --
ASPECT COMMUNICATIONS
CORP.+ 0 -- 0 -- 1,260 28,429
BROADWING INC.+ 2,941 82,164 0 -- 4,192 117,114
CABLETRON SYSTEMS+ 4,029 150,836 2,942 110,141 5,071 189,846
CHOICE ONE COMMUNICATIONS
INC.+ 0 -- 800 12,800 0 --
COPPER MOUNTAIN NETWORKS
INC.+ 800 47,950 600 35,963 1,500 89,906
CORNING INC. 4,668 1,530,812 3,593 1,178,279 8,366 2,743,525
COX COMMUNICATIONS INC.
"A"+ 2,375 84,461 2,405 85,528 7,308 259,891
DIGITAL LIGHTWARE INC.+ 500 43,875 0 -- 1,000 87,750
ECHOSTAR COMMUNICATIONS
CORP.+ 2,800 136,500 0 -- 4,300 209,625
EMULEX CORP.+ 1,200 125,625 0 -- 1,400 146,563
GLOBAL CROSSING LTD.+ 14,586 438,492 13,123 394,510 22,854 687,042
GLOBAL TELESYSTEMS GROUP
INC. 0 -- 4,586 39,554 4,532 39,089
HUGHES ELECTRONICS CORP.+ 6,084 201,533 5,625 186,328 17,328 573,990
ICG COMMUNICATIONS INC.+ 0 -- 1,882 11,233 2,231 13,316
INTERDIGITAL
COMMUNICATIONS CORP.+ 1,400 25,025 0 -- 1,700 30,388
LEAP WIRELESS
INTERNATIONAL INC.+ 1,094 86,836 879 69,771 2,473 196,294
LEVEL 3 COMMUNICATIONS
INC.+ 3,400 296,597 2,600 226,809 7,700 671,705
LIGHTPATH TECHNOLOGIES
INC. "B"+ 0 -- 0 -- 0 --
MCLEODUSA INC. "A"+ 5,562 87,949 5,424 85,767 12,096 191,268
METROMEDIA FIBER NETWORK
INC.+ 3,000 119,813 3,100 123,806 6,800 271,575
MPOWER COMMUNICATIONS
CORP.+ 0 -- 0 -- 600 11,063
MRV COMMUNICATIONS INC.+ 1,100 84,769 0 -- 2,400 184,950
NATURAL MICROSYSTEMS
CORP.+ 0 -- 0 -- 0 --
NEWPORT CORP. 0 -- 0 -- 0 --
NEXTEL COMMUNICATIONS
INC. "A"+ 13,366 740,978 10,302 571,117 22,100 1,225,169
NTL INC.+ 2,005 87,855 1,920 84,120 2,888 126,509
OSICOM TECHNOLOGIES INC.+ 400 23,600 0 -- 1,200 70,800
POWERWAVE TECHNOLOGIES
INC.+ 1,300 62,563 0 -- 1,600 77,000
QWEST COMMUNICATIONS
INTERNATIONAL INC.+ 27,073 1,397,644 21,483 1,109,060 41,734 2,154,518
SDL INC.+ 1,100 437,044 900 357,581 2,100 834,356
SPRINT CORP. (PCS GROUP)+ 15,980 801,996 12,098 607,168 26,130 1,311,399
TERAYON COMMUNICATIONS
SYSTEMS INC.+ 800 44,400 0 -- 1,700 94,350
TOLLGRADE COMMUNICATIONS
INC.+ 0 -- 0 -- 0 --
VERIZON COMMUNICATIONS 45,956 2,004,831 34,792 1,517,801 71,016 3,098,073
VERTICALNET INC.+ 600 31,950 800 42,600 1,800 95,850
VOICESTREAM WIRELESS
CORP.+ 2,167 243,923 1,672 188,205 3,245 365,265
WESTERN WIRELESS CORP.
"A"+ 0 -- 0 -- 365 18,661
------------ ------------ ------------
$ 9,608,512 $ 7,098,138 $ 16,402,711
TELEPHONE
PERCENT OF NET ASSETS 1.69% 2.03% 2.33%
ALLTEL CORP. 5,349 $ 270,459 4,135 $ 209,076 8,824 $ 446,164
AT&T CORP. 59,019 1,859,098 47,299 1,489,918 97,903 3,083,944
BELLSOUTH CORP. 31,601 1,179,112 24,435 911,731 52,628 1,963,682
CENTURYTEL INC. 3,153 90,846 2,700 77,794 3,890 112,081
INTERMEDIA COMMUNICATIONS
INC.+ 0 -- 3,500 72,625 0 --
NEXTLINK COMMUNICATIONS
INC.+ 4,000 140,250 0 -- 3,400 119,213
</TABLE>
59
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
SBC COMMUNICATIONS INC. 2,229 $ 93,061 19,841 $ 828,362
SPRINT CORP. (FON GROUP) 860 28,810 5,426 181,771
TELEPHONE & DATA SYSTEMS
INC. 0 -- 0 --
WORLDCOM INC.+ 2,771 101,142 16,770 612,105
----------- ------------
$ 395,754 $ 2,884,585
TEXTILES
PERCENT OF NET ASSETS 0.02% 0.02%
CINTAS CORP. 0 $ -- 0 $ --
G & K SERVICES INC. "A" 0 -- 800 23,200
SHAW INDUSTRIES INC. 0 -- 0 --
UNIFIRST CORP. 0 -- 2,000 20,250
WESTPOINT STEVENS INC. 1,500 21,094 0 --
----------- ------------
$ 21,094 $ 43,450
TOBACCO
PERCENT OF NET ASSETS 0.01% 0.12%
PHILIP MORRIS COMPANIES
INC. 231 $ 6,843 0 $ --
R.J. REYNOLDS TOBACCO
HOLDINGS INC. 0 -- 0 --
UST INC. 72 1,557 13,348 288,651
----------- ------------
$ 8,400 $ 288,651
TOYS / GAMES / HOBBIES
PERCENT OF NET ASSETS 0.01% 0.05%
HASBRO INC. 167 $ 2,056 7,275 $ 89,573
MARVEL ENTERPRISES INC.
"A" WARRANTS (EXPIRES
10/02/01)+ 0 -- 5 2
MARVEL ENTERPRISES INC.
"C" WARRANTS (EXPIRES
10/02/01)+ 0 -- 9 3
MATTEL INC. 403 3,980 4,111 40,596
----------- ------------
$ 6,036 $ 130,174
TRANSPORTATION
PERCENT OF NET ASSETS 0.04% 0.04%
AIRBORNE FREIGHT CORP. 0 $ -- 0 $ --
ALEXANDER & BALDWIN INC. 0 -- 0 --
BURLINGTON NORTHERN SANTA
FE CORP. 0 -- 0 --
CNF TRANSPORTATION INC. 0 -- 0 --
CSX CORP. 0 -- 1,713 40,898
FEDEX CORP.+ 0 -- 0 --
KANSAS CITY SOUTHERN
INDUSTRIES INC. 66 611 2,230 20,628
NORFOLK SOUTHERN CORP. 0 -- 2,895 46,501
UNION PACIFIC CORP. 0 -- 0 --
UNITED PARCEL SERVICE
INC. 0 -- 0 --
WISCONSIN CENTRAL
TRANSPORTATION CORP.+ 2,800 37,450 0 --
----------- ------------
$ 38,061 $ 108,027
TRUCKING & LEASING
PERCENT OF NET ASSETS 0.13% 0.01%
GATX CORPORATION 0 $ -- 0 $ --
INTERPOOL INC. 0 -- 1,600 19,300
RYDER SYSTEM INC. 1,529 29,338 0 --
XTRA CORP.+ 2,200 97,625 0 --
----------- ------------
$ 126,963 $ 19,300
WATER
PERCENT OF NET ASSETS 0.00% 0.02%
AMERICAN WATER WORKS INC. 0 $ -- 0 $ --
MIDDLESEX WATER CO. 0 -- 1,100 32,038
SOUTHWEST WATER CO. 0 -- 1,700 23,481
----------- ------------
$ -- $ 55,519
TOTAL U.S. COMMON STOCKS
(COST $10,643,593,
$56,919,625,
$172,289,611,
$121,412,612 AND
$275,044,462
RESPECTIVELY) $14,121,686 $ 78,591,402
</TABLE>
60
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
SBC COMMUNICATIONS INC. 53,793 $ 2,245,858 43,394 $ 1,811,700 89,620 $ 3,741,635
SPRINT CORP. (FON GROUP) 14,570 488,095 11,418 382,503 24,372 816,462
TELEPHONE & DATA SYSTEMS
INC. 1,325 153,700 0 -- 800 92,800
WORLDCOM INC.+ 47,632 1,738,568 36,981 1,349,807 76,044 2,775,606
------------ ------------ ------------
$ 8,165,986 $ 6,305,154 $ 13,151,587
TEXTILES
PERCENT OF NET ASSETS 0.02% 0.04% 0.05%
CINTAS CORP. 1,875 $ 77,930 2,451 $ 101,870 5,458 $ 226,848
G & K SERVICES INC. "A" 0 -- 0 -- 0 --
SHAW INDUSTRIES INC. 3,118 38,780 2,572 31,989 6,329 78,717
UNIFIRST CORP. 0 -- 0 -- 0 --
WESTPOINT STEVENS INC. 0 -- 0 -- 0 --
------------ ------------ ------------
$ 116,710 $ 133,859 $ 305,565
TOBACCO
PERCENT OF NET ASSETS 0.25% 0.35% 0.35%
PHILIP MORRIS COMPANIES
INC. 36,064 $ 1,068,396 29,038 $ 860,251 55,337 $ 1,639,359
R.J. REYNOLDS TOBACCO
HOLDINGS INC. 3,848 138,047 3,422 122,764 5,537 198,640
UST INC. 913 19,744 5,065 109,531 5,181 112,039
------------ ------------ ------------
$ 1,226,187 $ 1,092,546 $ 1,950,038
TOYS / GAMES / HOBBIES
PERCENT OF NET ASSETS 0.03% 0.03% 0.03%
HASBRO INC. 5,332 $ 65,650 3,513 $ 43,254 4,991 $ 61,452
MARVEL ENTERPRISES INC.
"A" WARRANTS (EXPIRES
10/02/01)+ 39 17 5 2 16 7
MARVEL ENTERPRISES INC.
"C" WARRANTS (EXPIRES
10/02/01)+ 66 21 9 3 28 9
MATTEL INC. 7,476 73,826 5,386 53,187 11,803 116,555
------------ ------------ ------------
$ 139,514 $ 96,446 $ 178,023
TRANSPORTATION
PERCENT OF NET ASSETS 0.17% 0.21% 0.24%
AIRBORNE FREIGHT CORP. 0 $ -- 1,150 $ 17,178 0 $ --
ALEXANDER & BALDWIN INC. 0 -- 990 26,049 0 --
BURLINGTON NORTHERN SANTA
FE CORP. 6,757 151,188 6,015 134,586 10,972 245,499
CNF TRANSPORTATION INC. 2,436 59,682 1,126 27,587 2,518 61,691
CSX CORP. 3,683 87,932 2,898 69,190 6,132 146,402
FEDEX CORP.+ 4,906 197,957 3,818 154,056 8,156 329,095
KANSAS CITY SOUTHERN
INDUSTRIES INC. 911 8,427 702 6,494 0 --
NORFOLK SOUTHERN CORP. 6,371 102,334 5,058 81,244 10,672 171,419
UNION PACIFIC CORP. 4,145 164,764 3,263 129,704 6,510 258,773
UNITED PARCEL SERVICE
INC. 1,100 60,981 0 -- 2,500 138,594
WISCONSIN CENTRAL
TRANSPORTATION CORP.+ 0 -- 0 -- 0 --
------------ ------------ ------------
$ 833,265 $ 646,088 $ 1,351,473
TRUCKING & LEASING
PERCENT OF NET ASSETS 0.02% 0.01% 0.02%
GATX CORPORATION 2,431 $ 98,911 1,091 $ 44,390 2,679 $ 109,002
INTERPOOL INC. 0 -- 0 -- 0 --
RYDER SYSTEM INC. 0 -- 0 -- 0 --
XTRA CORP.+ 0 -- 0 -- 0 --
------------ ------------ ------------
$ 98,911 $ 44,390 $ 109,002
WATER
PERCENT OF NET ASSETS 0.01% 0.01% 0.02%
AMERICAN WATER WORKS INC. 1,765 $ 43,243 1,707 $ 41,822 3,656 $ 89,572
MIDDLESEX WATER CO. 0 -- 0 -- 0 --
SOUTHWEST WATER CO. 0 -- 0 -- 0 --
------------ ------------ ------------
$ 43,243 $ 41,822 $ 89,572
TOTAL U.S. COMMON STOCKS
(COST $10,643,593,
$56,919,625,
$172,289,611,
$121,412,612 AND
$275,044,462
RESPECTIVELY) $242,160,351 $188,382,530 $408,683,312
</TABLE>
61
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
INTERNATIONAL COMMON
STOCKS
PERCENTAGE OF NET ASSETS 5.22% 9.31%
AUSTRALIA
PERCENT OF NET ASSETS 0.17% 0.31%
COLES MYER LTD. ADR 574 $ 19,014 2,682 $ 88,841
NATIONAL AUSTRALIA BANK 633 47,159 3,001 223,575
NEWS CORPORATION LTD. 494 25,997 2,310 121,564
RIO TINTO PLC ADR 540 35,910 2,530 168,245
WESTPAC BANKING CORP. ADR 916 33,377 4,268 155,515
----------- ------------
$ 161,457 $ 757,740
CANADA
PERCENT OF NET ASSETS 0.25% 0.63%
ALCAN ALUMINIUM LTD. 1 $ 16 1,310 $ 42,984
BARRICK GOLD CORP. 323 5,148 4,188 66,746
INCO LTD.+ 166 2,967 5,549 99,188
NORTEL NETWORKS CORP. 2,392 195,098 14,748 1,202,884
PLACER DOME INC. 1,021 9,061 0 --
SEAGRAM CO. LTD. 444 26,723 2,650 159,497
----------- ------------
$ 239,013 $ 1,571,299
DENMARK
PERCENT OF NET ASSETS 0.22% 0.39%
NOVO-NORDISK A/S ADR 1,482 $ 150,423 6,951 $ 705,527
TELE DENMARK A/S ADR 1,858 55,159 8,786 260,834
----------- ------------
$ 205,582 $ 966,361
FINLAND
PERCENT OF NET ASSETS 0.12% 0.22%
NOKIA OYJ 2,508 $ 112,703 11,844 $ 532,240
----------- ------------
FRANCE
PERCENT OF NET ASSETS 0.70% 1.26%
ALCATEL SA ADR 2,239 $ 185,557 10,552 $ 874,497
AVENTIS SA 1,344 100,464 6,305 471,299
AXA FINANCIAL INC. ADR 0 -- 0 --
AXA-UAP ADR 1,255 88,242 5,918 416,109
ELF AQUITAINE ADR 460 45,856 2,170 216,322
FRANCE TELECOM SA ADR 350 40,359 1,670 192,572
LVMH MOET-HENNESSY LOUIS
VUITTON ADR 2,805 43,828 13,415 209,609
TOTAL FINA SA 2,162 161,069 10,226 761,837
TOTAL FINA SA WARRANTS
(EXPIRES 08/08/03)+ 0 -- 81 2,724
----------- ------------
$ 665,375 $ 3,144,969
GERMANY
PERCENT OF NET ASSETS 0.25% 0.46%
DAIMLERCHRYSLER AG 2,259 $ 117,609 10,648 $ 554,362
DEUTSCHE TELEKOM AG ADR 2,116 82,392 10,008 389,687
SAP AG ADR 640 41,080 3,020 193,846
----------- ------------
$ 241,081 $ 1,137,895
</TABLE>
62
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) LIFEPATH MASTER
PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040
----------------------------------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL COMMON
STOCKS
PERCENTAGE OF NET ASSETS 14.33% 17.81% 20.84%
AUSTRALIA
PERCENT OF NET ASSETS 0.45% 0.57% 0.67%
COLES MYER LTD. ADR 7,845 $ 259,866 6,259 $ 207,329 13,149 $ 435,561
NATIONAL AUSTRALIA BANK 8,732 650,534 6,957 518,297 14,625 1,089,563
NEWS CORPORATION LTD. 6,734 354,377 5,365 282,333 11,275 593,347
RIO TINTO PLC ADR 7,380 490,770 5,890 391,685 12,370 822,605
WESTPAC BANKING CORP. ADR 12,439 453,246 9,923 361,569 20,842 759,430
------------ ------------ ------------
$ 2,208,793 $ 1,761,213 $ 3,700,506
CANADA
PERCENT OF NET ASSETS 1.00% 1.25% 1.49%
ALCAN ALUMINIUM LTD. 3,700 $ 121,406 2,894 $ 94,959 6,172 $ 202,519
BARRICK GOLD CORP. 10,497 167,296 8,137 129,683 11,004 175,376
INCO LTD.+ 6,195 110,736 3,485 62,294 5,373 96,042
NORTEL NETWORKS CORP. 47,868 3,904,234 38,324 3,125,801 87,792 7,160,535
PLACER DOME INC. 15,616 138,592 11,595 102,906 8,811 78,198
SEAGRAM CO. LTD. 7,241 435,818 5,630 338,856 12,099 728,209
------------ ------------ ------------
$ 4,878,082 $ 3,854,499 $ 8,440,879
DENMARK
PERCENT OF NET ASSETS 0.57% 0.72% 0.82%
NOVO-NORDISK A/S ADR 20,206 $ 2,050,909 16,114 $ 1,635,571 33,857 $ 3,436,486
TELE DENMARK A/S ADR 25,372 753,231 20,234 600,697 42,512 1,262,075
------------ ------------ ------------
$ 2,804,140 $ 2,236,268 $ 4,698,561
FINLAND
PERCENT OF NET ASSETS 0.32% 0.40% 0.45%
NOKIA OYJ 34,298 $ 1,541,266 27,358 $ 1,229,400 57,468 $ 2,582,468
------------ ------------ ------------
FRANCE
PERCENT OF NET ASSETS 1.94% 2.40% 2.79%
ALCATEL SA ADR 30,674 $ 2,542,108 24,460 $ 2,027,122 51,393 $ 4,259,195
AVENTIS SA 18,346 1,371,364 14,632 1,093,742 30,735 2,297,441
AXA FINANCIAL INC. ADR 3,830 198,203 3,328 172,224 8,426 436,046
AXA-UAP ADR 17,187 1,208,461 13,708 963,844 28,790 2,024,297
ELF AQUITAINE ADR 6,300 628,031 5,030 501,428 10,560 1,052,700
FRANCE TELECOM SA ADR 4,850 559,266 3,870 446,259 8,120 936,338
LVMH MOET-HENNESSY LOUIS
VUITTON ADR 38,765 605,703 30,920 483,125 64,945 1,014,766
TOTAL FINA SA 29,620 2,206,690 23,618 1,759,541 49,626 3,697,137
TOTAL FINA SA WARRANTS
(EXPIRES 08/08/03)+ 81 2,724 81 2,724 162 5,447
------------ ------------ ------------
$ 9,322,550 $ 7,450,009 $ 15,723,367
GERMANY
PERCENT OF NET ASSETS 0.68% 0.84% 0.99%
DAIMLERCHRYSLER AG 30,819 $ 1,604,514 24,585 $ 1,279,957 51,639 $ 2,688,455
DEUTSCHE TELEKOM AG ADR 28,975 1,128,214 23,110 899,846 48,540 1,890,026
SAP AG ADR 8,790 564,208 7,010 449,954 14,720 944,840
------------ ------------ ------------
$ 3,296,936 $ 2,629,757 $ 5,523,321
</TABLE>
63
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
HONG KONG
PERCENT OF NET ASSETS 0.07% 0.13%
PACIFIC CENTURY
CYBERWORKS LTD. ADR+ 3,731 $ 70,193 17,646 $ 331,969
----------- ------------
IRELAND
PERCENT OF NET ASSETS 0.05% 0.10%
ALLIED IRISH BANKS PLC
ADR 3,018 $ 50,552 14,276 $ 239,123
----------- ------------
ITALY
PERCENT OF NET ASSETS 0.20% 0.35%
BENETTON GROUP SPA ADR 1,297 $ 48,232 6,072 $ 225,803
ENI-ENTE NAZIONALE
IDROCARBURI SPA ADR 410 23,959 1,900 111,031
FIAT SPA ADR 1,189 29,353 5,635 139,114
MONTEDISON SPA ADR 1,199 24,879 5,581 115,806
SAN PAOLO-IMI SPA ADR 1,580 56,485 7,480 267,410
----------- ------------
$ 182,908 $ 859,164
JAPAN
PERCENT OF NET ASSETS 1.34% 1.98%
CANON INC. ADR 1,040 $ 47,060 4,030 $ 182,358
FUJI PHOTO FILM ADR 785 28,064 3,040 108,680
HITACHI LTD. ADR 472 56,847 1,834 220,882
HONDA MOTOR COMPANY LTD.
ADR 533 38,643 2,055 148,988
ITO-YOKADO CO. LTD. ADR 960 48,000 3,750 187,500
JAPAN AIR LINES ADR 6,068 42,855 23,640 166,958
KIRIN BREWERY CO. LTD.
ADR 767 83,267 2,992 324,819
KUBOTA CORP. ADR 884 58,786 3,463 230,290
KYOCERA CORP. ADR 330 60,019 1,288 234,255
MAKITA CORP. ADR 970 7,518 3,803 29,473
MATSUSHITA ELECTRIC
INDUSTRIAL CO. 237 65,086 943 258,971
MITSUBISHI CORP. ADR 2,774 41,249 10,825 161,022
MITSUI & CO. ADR 380 50,920 1,465 196,310
NEC CORP. ADR 713 103,296 2,783 403,187
NIPPON TELEGRAPH &
TELEPHONE CORP. ADR 1,914 115,199 7,459 448,939
NISSAN MOTOR CO. LTD. ADR 3,305 32,637 12,916 127,546
PIONEER CORP. ADR 1,342 57,622 5,217 224,005
RICOH CORP. LTD. ADR 407 37,037 1,599 145,509
SONY CORP. ADR 636 72,663 2,484 283,797
TOKIO MARINE AND FIRE
INSURANCE CO. LTD. ADR 2,108 108,826 8,260 426,423
TOYOTA MOTOR CORP. ADR 1,378 120,231 5,361 467,747
----------- ------------
$ 1,275,825 $ 4,977,659
NETHERLANDS
PERCENT OF NET ASSETS 0.45% 0.94%
ABN AMRO HOLDING NV 2,462 $ 61,550 11,535 $ 288,375
AEGON NV ADR 1,184 46,472 5,573 218,740
AKZO NOBEL NV ADR 700 31,325 3,250 145,438
ELSEVIER NV ADR 2,187 53,855 10,271 252,923
ING GROEP NV ADR 487 32,842 2,274 153,353
KONINKLIJKE (ROYAL)
PHILIPS ELECTONICS NV 1,216 59,964 5,728 282,462
KONINKLIJKE AHOLD NV ADR 1,666 47,481 7,810 222,589
ROYAL DUTCH PETROLEUM CO. 1,676 102,550 12,788 782,466
UNILEVER NV 0 -- 0 --
----------- ------------
$ 436,039 $ 2,346,346
</TABLE>
64
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
HONG KONG
PERCENT OF NET ASSETS 0.19% 0.25% 0.29%
PACIFIC CENTURY
CYBERWORKS LTD. ADR+ 49,171 $ 925,031 40,497 $ 761,840 85,456 $ 1,607,635
------------ ------------ ------------
IRELAND
PERCENT OF NET ASSETS 0.14% 0.18% 0.21%
ALLIED IRISH BANKS PLC
ADR 41,219 $ 690,418 32,875 $ 550,656 69,063 $ 1,156,805
------------ ------------ ------------
ITALY
PERCENT OF NET ASSETS 0.52% 0.64% 0.75%
BENETTON GROUP SPA ADR 17,672 $ 657,178 14,096 $ 524,195 29,606 $ 1,100,973
ENI-ENTE NAZIONALE
IDROCARBURI SPA ADR 5,550 324,328 4,420 258,294 9,290 542,884
FIAT SPA ADR 16,190 399,691 12,909 318,679 27,116 669,414
MONTEDISON SPA ADR 16,317 338,578 13,007 269,895 27,337 567,243
SAN PAOLO-IMI SPA ADR 21,760 777,920 17,350 620,263 36,450 1,303,088
------------ ------------ ------------
$ 2,497,695 $ 1,991,326 $ 4,183,602
JAPAN
PERCENT OF NET ASSETS 3.22% 4.04% 4.87%
CANON INC. ADR 12,625 $ 571,281 10,145 $ 459,061 22,220 $ 1,005,455
FUJI PHOTO FILM ADR 9,514 340,126 7,646 273,345 16,740 598,455
HITACHI LTD. ADR 5,748 692,275 4,614 555,699 10,116 1,218,346
HONDA MOTOR COMPANY LTD.
ADR 6,417 465,233 5,162 374,245 11,304 819,540
ITO-YOKADO CO. LTD. ADR 11,730 586,500 9,432 471,600 20,644 1,032,200
JAPAN AIR LINES ADR 74,125 523,508 59,554 420,600 130,467 921,423
KIRIN BREWERY CO. LTD.
ADR 9,346 1,014,625 7,510 815,304 16,462 1,787,156
KUBOTA CORP. ADR 10,826 719,929 8,695 578,218 19,050 1,266,825
KYOCERA CORP. ADR 4,022 731,501 3,230 587,456 7,084 1,288,403
MAKITA CORP. ADR 11,989 92,915 9,637 74,687 21,103 163,548
MATSUSHITA ELECTRIC
INDUSTRIAL CO. 2,951 810,418 2,371 651,136 5,196 1,426,952
MITSUBISHI CORP. ADR 33,918 504,530 27,250 405,344 59,700 888,038
MITSUI & CO. ADR 4,592 615,328 3,694 494,996 8,085 1,083,390
NEC CORP. ADR 8,700 1,260,413 6,984 1,011,807 15,309 2,217,891
NIPPON TELEGRAPH &
TELEPHONE CORP. ADR 23,350 1,405,378 18,758 1,128,997 41,094 2,473,345
NISSAN MOTOR CO. LTD. ADR 40,514 400,076 32,559 321,520 71,317 704,255
PIONEER CORP. ADR 16,394 703,917 13,177 565,787 28,856 1,239,005
RICOH CORP. LTD. ADR 4,989 453,999 4,015 365,365 8,783 799,253
SONY CORP. ADR 7,740 884,295 6,216 710,178 13,622 1,556,314
TOKIO MARINE AND FIRE
INSURANCE CO. LTD. ADR 25,806 1,332,235 20,739 1,070,651 45,428 2,345,221
TOYOTA MOTOR CORP. ADR 16,791 1,465,015 13,489 1,176,915 29,554 2,578,587
------------ ------------ ------------
$ 15,573,497 $ 12,512,911 $ 27,413,602
NETHERLANDS
PERCENT OF NET ASSETS 1.44% 1.78% 2.01%
ABN AMRO HOLDING NV 33,545 $ 838,625 26,774 $ 669,350 56,247 $ 1,406,175
AEGON NV ADR 16,174 634,829 12,894 506,089 27,318 1,072,251
AKZO NOBEL NV ADR 9,490 424,678 7,570 338,758 15,900 711,525
ELSEVIER NV ADR 29,886 735,943 23,831 586,838 50,076 1,233,122
ING GROEP NV ADR 6,526 440,097 5,209 351,282 11,108 749,096
KONINKLIJKE (ROYAL)
PHILIPS ELECTONICS NV 16,697 823,371 13,309 656,300 27,926 1,377,101
KONINKLIJKE AHOLD NV ADR 22,729 647,765 18,138 516,931 38,106 1,086,026
ROYAL DUTCH PETROLEUM CO. 32,302 1,976,479 24,600 1,505,213 49,772 3,045,424
UNILEVER NV 9,607 453,931 7,253 342,704 13,714 647,986
------------ ------------ ------------
$ 6,975,718 $ 5,473,465 $ 11,328,706
</TABLE>
65
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
SHARES VALUE SHARES VALUE
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
NEW ZEALAND
PERCENT OF NET ASSETS 0.01% 0.02%
TELECOM CORP. OF NEW
ZEALAND LTD. 589 $ 13,105 2,728 $ 60,698
----------- ------------
PORTUGAL
PERCENT OF NET ASSETS 0.02% 0.03%
BANCO COMERCIAL PORTUGUES
ADR 690 $ 17,854 3,280 $ 84,870
----------- ------------
SINGAPORE
PERCENT OF NET ASSETS 0.03% 0.05%
CHARTERED SEMICONDUCTOR
MANUFACTURING LTD. ADR+ 290 $ 24,614 1,370 $ 116,279
----------- ------------
SPAIN
PERCENT OF NET ASSETS 0.20% 0.35%
BANCO BILBAO VIZCAYA
ARGENTARIA SA ADR 2,320 $ 34,655 10,818 $ 161,594
BANCO SANTANDER CENTRAL
HISPANO SA ADR 6,694 73,216 31,618 345,822
REPSOL SA 1,401 27,757 6,650 131,753
TELEFONICA SA ADR+ 965 55,307 4,563 261,517
----------- ------------
$ 190,935 $ 900,686
SWEDEN
PERCENT OF NET ASSETS 0.13% 0.24%
TELEFONAKTIEBOLAGET LM
ERICSSON 6,128 $ 125,624 28,904 $ 592,532
----------- ------------
SWITZERLAND
PERCENT OF NET ASSETS 0.05% 0.10%
ADECCO SA ADR 320 $ 30,840 1,562 $ 150,538
SULZER MEDICA ADR 830 23,240 3,930 110,040
----------- ------------
$ 54,080 $ 260,578
UNITED KINGDOM
PERCENT OF NET ASSETS 0.96% 1.75%
ASTRAZENECA PLC ADR 1,403 $ 63,924 6,615 $ 301,396
BARCLAYS PLC ADR 480 49,440 2,250 231,750
BP AMOCO PLC ADR 1,288 71,162 6,090 336,473
BRITISH SKY BROADCASTING
PLC ADR+ 377 36,004 1,785 170,468
BRITISH TELECOM PLC ADR 804 102,711 3,803 485,833
CADBURY SCHWEPPES PLC ADR 1,614 37,929 7,634 179,399
DIAGEO PLC ADR 2,257 77,725 10,615 365,554
GLAXO WELLCOME PLC ADR 2,120 122,033 9,992 575,165
HANSON PLC ADR 1,379 40,767 6,456 190,856
HONG KONG & SHANGHAI
BANKING ADR 420 30,424 1,960 141,978
REUTERS GROUP PLC ADR 394 47,305 1,873 224,877
SMITHKLINE BEECHAM PLC
ADR 1,305 85,233 6,125 400,039
VODAFONE GROUP PLC ADR 3,950 161,703 18,640 763,075
----------- ------------
$ 926,360 $ 4,366,863
TOTAL INTERNATIONAL
COMMON STOCKS
(COST $3,836,730,
$15,599,815, $51,039,324,
$38,400,533
AND $87,428,203
RESPECTIVELY) $ 4,993,300 $ 23,247,271
TOTAL COMMON STOCKS
(COST $14,480,323,
$72,519,440,
$223,328,935,
$159,813,145 AND
$362,472,665
RESPECTIVELY) $19,114,986 $101,838,673
</TABLE>
66
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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)
NEW ZEALAND
PERCENT OF NET ASSETS 0.04% 0.05% 0.05%
TELECOM CORP. OF NEW
ZEALAND LTD. 7,963 $ 177,177 6,361 $ 141,532 13,350 $ 297,038
------------ ------------ ------------
PORTUGAL
PERCENT OF NET ASSETS 0.05% 0.06% 0.07%
BANCO COMERCIAL PORTUGUES
ADR 9,580 $ 247,883 7,640 $ 197,685 16,060 $ 415,553
------------ ------------ ------------
SINGAPORE
PERCENT OF NET ASSETS 0.07% 0.09% 0.10%
CHARTERED SEMICONDUCTOR
MANUFACTURING LTD. ADR+ 4,000 $ 339,500 3,190 $ 270,751 6,700 $ 568,663
------------ ------------ ------------
SPAIN
PERCENT OF NET ASSETS 0.54% 0.67% 0.77%
BANCO BILBAO VIZCAYA
ARGENTARIA SA ADR 31,515 $ 470,755 25,133 $ 375,424 52,791 $ 788,566
BANCO SANTANDER CENTRAL
HISPANO SA ADR 91,318 998,791 72,828 796,556 152,976 1,673,175
REPSOL SA 19,095 378,320 15,230 301,744 31,989 633,782
TELEFONICA SA ADR+ 13,186 755,723 10,513 602,526 22,092 1,266,148
------------ ------------ ------------
$ 2,603,589 $ 2,076,250 $ 4,361,671
SWEDEN
PERCENT OF NET ASSETS 0.36% 0.44% 0.51%
TELEFONAKTIEBOLAGET LM
ERICSSON 83,906 $ 1,720,073 66,912 $ 1,371,696 140,564 $ 2,881,562
------------ ------------ ------------
SWITZERLAND
PERCENT OF NET ASSETS 0.16% 0.19% 0.23%
ADECCO SA ADR 4,456 $ 429,447 3,549 $ 342,035 7,470 $ 719,921
SULZER MEDICA ADR 11,500 322,000 9,170 256,760 19,260 539,280
------------ ------------ ------------
$ 751,447 $ 598,795 $ 1,259,201
UNITED KINGDOM
PERCENT OF NET ASSETS 2.64% 3.24% 3.77%
ASTRAZENECA PLC ADR 19,116 $ 870,973 15,246 $ 694,646 32,019 $ 1,458,866
BARCLAYS PLC ADR 6,560 675,680 5,230 538,690 10,990 1,131,970
BP AMOCO PLC ADR 17,598 972,290 14,038 775,600 29,482 1,628,881
BRITISH SKY BROADCASTING
PLC ADR+ 5,177 494,404 4,128 394,224 8,663 827,317
BRITISH TELECOM PLC ADR 11,033 1,409,466 8,795 1,123,561 18,477 2,360,437
CADBURY SCHWEPPES PLC ADR 21,982 516,577 17,536 412,096 36,828 865,458
DIAGEO PLC ADR 30,842 1,062,121 24,596 847,025 51,678 1,779,661
GLAXO WELLCOME PLC ADR 29,031 1,671,097 23,146 1,332,342 48,632 2,799,380
HANSON PLC ADR 18,797 555,686 14,991 443,171 31,496 931,101
HONG KONG & SHANGHAI
BANKING ADR 5,710 413,618 4,550 329,591 9,560 692,503
REUTERS GROUP PLC ADR 5,444 653,620 4,336 520,591 9,121 1,095,090
SMITHKLINE BEECHAM PLC
ADR 17,791 1,161,975 14,188 926,654 29,807 1,946,770
VODAFONE GROUP PLC ADR 54,010 2,211,034 43,073 1,763,301 90,480 3,704,025
------------ ------------ ------------
$ 12,668,541 $ 10,101,492 $ 21,221,459
TOTAL INTERNATIONAL
COMMON STOCKS
(COST $3,836,730,
$15,599,815, $51,039,324,
$38,400,533
AND $87,428,203
RESPECTIVELY) $ 69,222,336 $ 55,209,545 $117,364,599
TOTAL COMMON STOCKS
(COST $14,480,323,
$72,519,440,
$223,328,935,
$159,813,145 AND
$362,472,665
RESPECTIVELY) $311,382,687 $243,592,075 $526,047,911
</TABLE>
67
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
PRINCIPAL VALUE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
U.S. TREASURY BONDS &
NOTES
PERCENT OF NET ASSETS 55.86% 48.58%
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 -- 150,000 157,125
U.S. TREASURY BONDS,
6.25%, 08/15/23-05/15/30 200,000 208,188 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 -- 570,000 634,481
U.S. TREASURY BONDS,
6.88%, 08/15/25 0 -- 0 --
U.S. TREASURY BONDS,
7.13%, 02/15/23 0 -- 350,000 401,516
U.S. TREASURY BONDS,
7.25%, 05/15/16-08/15/22 0 -- 0 --
U.S. TREASURY BONDS,
7.50%, 11/15/16-11/15/24 150,000 180,281 0 --
U.S. TREASURY BONDS,
7.63%, 02/15/07-02/15/25 0 -- 0 --
U.S. TREASURY BONDS,
7.88%, 02/15/21 0 -- 0 --
U.S. TREASURY BONDS,
8.00%, 11/15/21 100,000 124,562 0 --
U.S. TREASURY BONDS,
8.13%, 08/15/19-08/15/21 0 -- 200,000 251,625
U.S. TREASURY BONDS,
8.50%, 02/15/20 0 -- 0 --
U.S. TREASURY BONDS,
8.75%, 11/15/08-08/15/20 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 -- 400,000 436,500
U.S. TREASURY BONDS,
9.25%, 02/15/16 0 -- 0 --
U.S. TREASURY BONDS,
9.38%, 02/15/06 510,000 587,456 600,000 691,125
U.S. TREASURY BONDS,
9.88%, 11/15/15 0 -- 0 --
U.S. TREASURY BONDS,
10.00%, 05/15/10 0 -- 0 --
U.S. TREASURY BONDS,
10.63%, 11/15/09-08/15/15 0 -- 600,000 689,063
U.S. TREASURY BONDS,
10.75%, 02/15/03-08/15/05 3,350,000 3,811,875 2,450,000 2,900,516
U.S. TREASURY BONDS,
11.13%, 08/15/03 1,650,000 1,868,625 400,000 453,000
U.S. TREASURY BONDS,
11.25%, 02/15/15 200,000 301,000 400,000 602,000
U.S. TREASURY BONDS,
11.63%, 11/15/02-11/15/04 0 -- 1,400,000 1,632,547
U.S. TREASURY BONDS,
11.75%, 02/15/10-11/15/14 0 -- 550,000 665,844
U.S. TREASURY BONDS,
11.88%, 11/15/03 0 -- 1,490,000 1,734,454
U.S. TREASURY BONDS,
12.00%, 05/15/05-08/15/13 200,000 247,875 0 --
U.S. TREASURY BONDS,
12.38%, 05/15/04 0 -- 1,500,000 1,805,157
U.S. TREASURY BONDS,
12.50%, 08/15/14 0 -- 0 --
U.S. TREASURY BONDS,
13.75%, 08/15/04 500,000 632,031 0 --
U.S. TREASURY BONDS,
15.75%, 11/15/01 0 -- 0 --
U.S. TREASURY NOTES,
4.25%, 11/15/03 0 -- 1,700,000 1,609,687
U.S. TREASURY NOTES,
4.75%, 02/15/04-11/15/08 1,600,000 1,514,000 4,050,000 3,790,968
U.S. TREASURY NOTES,
5.25%, 08/15/03-05/15/04 600,000 584,063 3,200,000 3,122,313
U.S. TREASURY NOTES,
5.38%, 06/30/03 1,000,000 980,938 1,000,000 980,938
U.S. TREASURY NOTES,
5.50%, 08/31/01-05/15/09 2,675,000 2,613,000 8,600,000 8,429,471
U.S. TREASURY NOTES,
5.63%, 09/30/01-05/15/08 1,700,000 1,669,187 8,110,000 7,990,174
U.S. TREASURY NOTES,
5.75%, 10/31/02-08/15/03 5,350,000 5,302,688 9,450,000 9,364,642
U.S. TREASURY NOTES,
5.88%, 10/31/01-11/15/05 3,450,000 3,430,438 7,650,000 7,603,893
U.S. TREASURY NOTES,
6.00%, 07/31/02-08/15/09 300,000 301,781 4,200,000 4,206,626
U.S. TREASURY NOTES,
6.13%, 12/31/01-08/15/07 4,300,000 4,329,782 6,700,000 6,714,221
U.S. TREASURY NOTES,
6.25%, 10/31/01-02/15/07 7,500,000 7,514,471 9,250,000 9,288,051
U.S. TREASURY NOTES,
6.38%, 09/30/01-08/15/02 3,700,000 3,706,908 8,400,000 8,415,691
U.S. TREASURY NOTES,
6.50%, 08/31/01-02/15/10 5,350,000 5,460,440 13,700,000 13,924,784
U.S. TREASURY NOTES,
6.63%, 03/31/02-05/15/07 0 -- 5,300,000 5,393,117
U.S. TREASURY NOTES,
6.75%, 05/15/05 0 -- 0 --
U.S. TREASURY NOTES,
6.88%, 05/15/06 1,400,000 1,457,313 3,000,000 3,122,814
U.S. TREASURY NOTES,
7.00%, 07/15/06 2,000,000 2,095,626 3,500,000 3,667,346
U.S. TREASURY NOTES,
7.25%, 05/15/04-08/15/04 1,250,000 1,301,563 5,400,000 5,615,532
U.S. TREASURY NOTES,
7.50%, 11/15/01-02/15/05 2,350,000 2,424,188 4,150,000 4,240,516
U.S. TREASURY NOTES,
7.88%, 08/15/01-11/15/04 750,000 760,781 700,000 746,158
----------- ------------
TOTAL U.S. TREASURY BONDS
& NOTES
(COST $53,641,570,
$121,513,479,
$145,213,784,
$54,339,773 AND
$35,386,067 RESPECTIVELY) $53,409,060 $121,281,895
</TABLE>
68
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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 30.13% 17.96% 6.44%
U.S. TREASURY BONDS,
5.25%, 11/15/28 260,000 $ 239,281 600,000 $ 552,188 1,000,000 $ 920,313
U.S. TREASURY BONDS,
6.00%, 02/15/26 0 -- 900,000 912,375 1,570,000 1,591,588
U.S. TREASURY BONDS,
6.13%, 11/15/27-08/15/29 500,000 523,750 1,600,000 1,662,563 400,000 413,625
U.S. TREASURY BONDS,
6.25%, 08/15/23-05/15/30 500,000 520,469 1,300,000 1,353,219 2,610,000 2,761,879
U.S. TREASURY BONDS,
6.38%, 08/15/27 0 -- 600,000 639,563 1,400,000 1,492,313
U.S. TREASURY BONDS,
6.50%, 11/15/26 0 -- 600,000 648,375 0 --
U.S. TREASURY BONDS,
6.63%, 02/15/27 0 -- 500,000 549,062 0 --
U.S. TREASURY BONDS,
6.75%, 08/15/26 0 -- 500,000 556,562 0 --
U.S. TREASURY BONDS,
6.88%, 08/15/25 500,000 562,656 600,000 675,188 1,420,000 1,597,945
U.S. TREASURY BONDS,
7.13%, 02/15/23 0 -- 910,000 1,043,941 1,500,000 1,720,782
U.S. TREASURY BONDS,
7.25%, 05/15/16-08/15/22 300,000 348,094 2,650,000 3,018,750 175,000 197,750
U.S. TREASURY BONDS,
7.50%, 11/15/16-11/15/24 0 -- 1,950,000 2,279,766 1,000,000 1,201,875
U.S. TREASURY BONDS,
7.63%, 02/15/07-02/15/25 1,500,000 1,624,062 2,120,000 2,481,481 1,000,000 1,219,375
U.S. TREASURY BONDS,
7.88%, 02/15/21 0 -- 650,000 796,250 1,300,000 1,592,500
U.S. TREASURY BONDS,
8.00%, 11/15/21 0 -- 500,000 622,812 1,600,000 1,993,000
U.S. TREASURY BONDS,
8.13%, 08/15/19-08/15/21 1,250,000 1,559,156 1,010,000 1,269,863 2,130,000 2,659,406
U.S. TREASURY BONDS,
8.50%, 02/15/20 0 -- 200,000 257,938 0 --
U.S. TREASURY BONDS,
8.75%, 11/15/08-08/15/20 1,150,000 1,418,610 2,350,000 3,072,625 2,500,000 3,257,188
U.S. TREASURY BONDS,
8.88%, 08/15/17-02/15/19 0 -- 950,000 1,241,531 1,000,000 1,322,188
U.S. TREASURY BONDS,
9.00%, 11/15/18 0 -- 350,000 466,703 0 --
U.S. TREASURY BONDS,
9.13%, 05/15/09-05/15/18 500,000 545,625 600,000 805,125 0 --
U.S. TREASURY BONDS,
9.25%, 02/15/16 0 -- 0 -- 810,000 1,075,781
U.S. TREASURY BONDS,
9.38%, 02/15/06 1,450,000 1,670,219 800,000 921,500 1,000,000 1,151,875
U.S. TREASURY BONDS,
9.88%, 11/15/15 0 -- 0 -- 1,000,000 1,386,250
U.S. TREASURY BONDS,
10.00%, 05/15/10 1,000,000 1,150,938 330,000 379,810 0 --
U.S. TREASURY BONDS,
10.63%, 11/15/09-08/15/15 0 -- 450,000 612,719 1,950,000 2,637,485
U.S. TREASURY BONDS,
10.75%, 02/15/03-08/15/05 2,400,000 2,874,000 400,000 479,000 550,000 658,625
U.S. TREASURY BONDS,
11.13%, 08/15/03 600,000 679,500 0 -- 0 --
U.S. TREASURY BONDS,
11.25%, 02/15/15 500,000 752,500 600,000 903,000 1,000,000 1,505,000
U.S. TREASURY BONDS,
11.63%, 11/15/02-11/15/04 900,000 1,082,532 0 -- 0 --
U.S. TREASURY BONDS,
11.75%, 02/15/10-11/15/14 230,000 321,137 710,000 991,338 0 --
U.S. TREASURY BONDS,
11.88%, 11/15/03 950,000 1,105,860 0 -- 0 --
U.S. TREASURY BONDS,
12.00%, 05/15/05-08/15/13 500,000 619,687 1,100,000 1,501,844 0 --
U.S. TREASURY BONDS,
12.38%, 05/15/04 700,000 842,407 0 -- 0 --
U.S. TREASURY BONDS,
12.50%, 08/15/14 350,000 502,469 350,000 502,469 1,000,000 1,435,625
U.S. TREASURY BONDS,
13.75%, 08/15/04 100,000 126,406 0 -- 0 --
U.S. TREASURY BONDS,
15.75%, 11/15/01 0 -- 1,600,000 1,774,000 0 --
U.S. TREASURY NOTES,
4.25%, 11/15/03 1,200,000 1,136,250 0 -- 0 --
U.S. TREASURY NOTES,
4.75%, 02/15/04-11/15/08 3,500,000 3,301,812 0 -- 0 --
U.S. TREASURY NOTES,
5.25%, 08/15/03-05/15/04 3,400,000 3,317,407 1,250,000 1,221,875 0 --
U.S. TREASURY NOTES,
5.38%, 06/30/03 2,000,000 1,961,876 0 -- 0 --
U.S. TREASURY NOTES,
5.50%, 08/31/01-05/15/09 12,400,000 12,173,189 1,530,000 1,486,969 0 --
U.S. TREASURY NOTES,
5.63%, 09/30/01-05/15/08 9,200,000 9,068,378 2,000,000 1,973,360 0 --
U.S. TREASURY NOTES,
5.75%, 10/31/02-08/15/03 8,000,000 7,926,939 1,300,000 1,287,813 0 --
U.S. TREASURY NOTES,
5.88%, 10/31/01-11/15/05 16,700,000 16,604,724 750,000 745,547 300,000 298,219
U.S. TREASURY NOTES,
6.00%, 07/31/02-08/15/09 5,200,000 5,207,064 1,900,000 1,892,875 0 --
U.S. TREASURY NOTES,
6.13%, 12/31/01-08/15/07 4,450,000 4,460,376 450,000 453,656 0 --
U.S. TREASURY NOTES,
6.25%, 10/31/01-02/15/07 9,350,000 9,385,239 2,710,000 2,720,898 0 --
U.S. TREASURY NOTES,
6.38%, 09/30/01-08/15/02 6,600,000 6,609,879 2,000,000 2,005,626 0 --
U.S. TREASURY NOTES,
6.50%, 08/31/01-02/15/10 15,920,000 16,234,190 1,950,000 1,993,454 1,200,000 1,228,688
U.S. TREASURY NOTES,
6.63%, 03/31/02-05/15/07 5,950,000 6,065,594 1,500,000 1,537,657 500,000 517,500
U.S. TREASURY NOTES,
6.75%, 05/15/05 2,000,000 2,061,876 0 -- 0 --
U.S. TREASURY NOTES,
6.88%, 05/15/06 2,900,000 3,018,720 1,410,000 1,467,723 300,000 312,281
U.S. TREASURY NOTES,
7.00%, 07/15/06 4,840,000 5,071,415 1,100,000 1,152,594 0 --
U.S. TREASURY NOTES,
7.25%, 05/15/04-08/15/04 4,800,000 4,994,563 1,250,000 1,301,563 0 --
U.S. TREASURY NOTES,
7.50%, 11/15/01-02/15/05 5,850,000 6,043,002 1,400,000 1,477,874 100,000 105,563
U.S. TREASURY NOTES,
7.88%, 08/15/01-11/15/04 1,700,000 1,812,095 0 -- 0 --
------------ ------------ ------------
TOTAL U.S. TREASURY BONDS
& NOTES
(COST $53,641,570,
$121,513,479,
$145,213,784,
$54,339,773 AND
$35,386,067 RESPECTIVELY) $145,523,946 $ 55,691,044 $ 36,254,619
</TABLE>
69
<PAGE>
LIFEPATH MASTER PORTFOLIOS SCHEDULES OF INVESTMENTS - AUGUST 31, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME LIFEPATH 2010
------------------------------------------------------------------------------
PRINCIPAL VALUE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS
PERCENT OF NET ASSETS 2.02% 6.00%
GOLDMAN SACHS FINANCIAL
SQUARE PRIME OBLIGATION
FUND++ 498,542 $ 498,542 5,596,742 $ 5,596,742
SHORT TERM INVESTMENT
COMPANY LIQUID ASSETS
PORTFOLIO++ 1,000,000 1,000,000 6,000,000 6,000,000
FEDERAL HOME LOAN
MORTGAGE CORPORATION
DISCOUNT NOTE, 6.43%,
10/24/00++ 168,906 168,906 1,307,110 1,307,110
PROVIDIAN TEMP CASH MONEY
MARKET FUND++ 266,277 266,277 2,060,634 2,060,634
----------- ------------
TOTAL SHORT TERM
INSTRUMENTS
(COST $1,933,725,
$14,964,486, $41,587,847,
$24,074,452
AND $51,770,500
RESPECTIVELY) $ 1,933,725 $ 14,964,486
REPURCHASE AGREEMENT
PERCENT OF NET ASSETS 23.80% 10.27%
MORGAN STANLEY TRI PARTY
REPURCHASE AGREEMENT,
DATED 8/31/00, DUE
09/01/00, WITH A MATURITY
VALUE OF $85,816,892 AND
AN EFFECTIVE YIELD OF
6.35%. 22,755,814 $22,755,814 25,637,236 $ 25,637,236
----------- ------------
TOTAL REPURCHASE
AGREEMENT
(COST $22,755,814,
$25,637,236, $25,273,471,
$10,784,020 AND
$1,351,216 RESPECTIVELY) $22,755,814 $ 25,637,236
TOTAL INVESTMENTS IN
SECURITIES
(COST $92,811,432,
$234,634,641,
$435,404,037,
$249,011,390 AND
$450,980,448
RESPECTIVELY) 101.67% $97,213,585 105.64% $263,722,290
OTHER ASSETS AND
LIABILITIES, NET (1.67)% (1,593,891) (5.64)% (14,070,036)
----------- ----------- ----------- ------------
TOTAL NET ASSETS 100.00% $95,619,694 100.00% $249,652,254
----------- ----------- ----------- ------------
</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.
70
<PAGE>
SCHEDULES OF INVESTMENTS - AUGUST 31, 2000 (UNAUDITED) 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 8.61% 7.77% 9.19%
GOLDMAN SACHS FINANCIAL
SQUARE PRIME OBLIGATION
FUND++ 11,713,785 $ 11,713,785 6,656,519 $ 6,656,519 14,540,820 $ 14,540,820
SHORT TERM INVESTMENT
COMPANY LIQUID ASSETS
PORTFOLIO++ 20,514,753 20,514,753 12,000,000 12,000,000 26,000,000 26,000,000
FEDERAL HOME LOAN
MORTGAGE CORPORATION
DISCOUNT NOTE, 6.43%,
10/24/00++ 3,632,594 3,632,594 2,102,842 2,102,842 4,522,022 4,522,022
PROVIDIAN TEMP CASH MONEY
MARKET FUND++ 5,726,715 5,726,715 3,315,091 3,315,091 6,707,658 6,707,658
------------ ------------ ------------
TOTAL SHORT TERM
INSTRUMENTS
(COST $1,933,725,
$14,964,486, $41,587,847,
$24,074,452
AND $51,770,500
RESPECTIVELY) $ 41,587,847 $ 24,074,452 $ 51,770,500
REPURCHASE AGREEMENT
PERCENT OF NET ASSETS 5.23% 3.48% 0.24%
MORGAN STANLEY TRI PARTY
REPURCHASE AGREEMENT,
DATED 8/31/00, DUE
09/01/00, WITH A MATURITY
VALUE OF $85,816,892 AND
AN EFFECTIVE YIELD OF
6.35%. 25,273,471 $ 25,273,471 10,784,020 $ 10,784,020 1,351,216 $ 1,351,216
------------ ------------ ------------
TOTAL REPURCHASE
AGREEMENT
(COST $22,755,814,
$25,637,236, $25,273,471,
$10,784,020 AND
$1,351,216 RESPECTIVELY) $ 25,273,471 $ 10,784,020 $ 1,351,216
TOTAL INVESTMENTS IN
SECURITIES
(COST $92,811,432,
$234,634,641,
$435,404,037,
$249,011,390 AND
$450,980,448
RESPECTIVELY) 108.43% $523,767,951 107.77% $334,141,591 109.27% $615,424,246
OTHER ASSETS AND
LIABILITIES, NET (8.43)% (40,707,324) (7.77)% (24,085,460) (9.27)% (52,189,657)
----------- ------------ ----------- ------------ ----------- ------------
TOTAL NET ASSETS 100.00% $483,060,627 100.00% $310,056,131 100.00% $563,234,589
----------- ------------ ----------- ------------ ----------- ------------
</TABLE>
71
<PAGE>
LIFEPATH MASTER PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES - AUGUST 31,
2000 (UNAUDITED)
--------------------------------------------------------------------------------
<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)............. $ 74,457,771 $ 238,085,054 $ 498,494,480 $ 323,357,571 $ 614,073,030
REPURCHASE AGREEMENTS
(NOTE 1)............. 22,755,814 25,637,236 25,273,471 10,784,020 1,351,216
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL INVESTMENTS IN
SECURITIES........... 97,213,585 263,722,290 523,767,951 334,141,591 615,424,246
--------------- ---------------- ---------------- ---------------- ----------------
RECEIVABLES
INVESTMENT SECURITIES
SOLD................. 0 0 90,000 66,000 156,000
DIVIDENDS AND
INTEREST............. 599,117 1,546,971 2,037,225 727,045 947,693
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL ASSETS............. 97,812,702 265,269,261 525,895,176 334,934,636 616,527,939
--------------- ---------------- ---------------- ---------------- ----------------
LIABILITIES
PAYABLES
COLLATERAL FOR
SECURITIES LOANED
(NOTE 4)............. 1,933,725 14,964,486 41,587,847 24,074,452 51,770,500
DUE TO BGI (NOTE 2).... 259,283 652,521 1,246,702 804,053 1,522,850
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL LIABILITIES........ 2,193,008 15,617,007 42,834,549 24,878,505 53,293,350
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL NET ASSETS......... $ 95,619,694 $ 249,652,254 $ 483,060,627 $ 310,056,131 $ 563,234,589
--------------- ---------------- ---------------- ---------------- ----------------
INVESTMENTS AT COST...... $ 92,811,432 $ 234,634,641 $ 435,404,037 $ 249,011,390 $ 450,980,448
--------------- ---------------- ---------------- ---------------- ----------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
72
<PAGE>
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED AUGUST 31, 2000
(UNAUDITED) 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+............. $ 140,717 $ 732,721 $ 1,994,048 $ 1,598,567 $ 3,460,059
INTEREST++............. 2,192,118 3,918,698 4,534,695 1,513,453 468,170
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL INVESTMENT
INCOME................. 2,332,835 4,651,419 6,528,743 3,112,020 3,928,229
--------------- ---------------- ---------------- ---------------- ----------------
EXPENSES (NOTE 2)
ADVISORY FEES.......... 259,282 652,521 1,246,702 804,053 1,522,850
--------------- ---------------- ---------------- ---------------- ----------------
TOTAL EXPENSES........... 259,282 652,521 1,246,702 804,053 1,522,850
--------------- ---------------- ---------------- ---------------- ----------------
NET INVESTMENT INCOME.... 2,073,553 3,998,898 5,282,041 2,307,967 2,405,379
--------------- ---------------- ---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
-------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 3,619,518 8,128,815 12,163,265 6,844,122 23,459,612
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (662,112) 1,736,694 12,160,995 14,369,713 19,763,487
--------------- ---------------- ---------------- ---------------- ----------------
NET GAIN ON
INVESTMENTS............ 2,957,406 9,865,509 24,324,260 21,213,835 43,223,099
--------------- ---------------- ---------------- ---------------- ----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. $ 5,030,959 $ 13,864,407 $ 29,606,301 $ 23,521,802 $ 45,628,478
--------------- ---------------- ---------------- ---------------- ----------------
+ NET OF FOREIGN
WITHHOLDING TAX
OF:................ $ 5,625 $ 24,281 $ 60,384 $ 57,058 $ 107,229
++ INTEREST INCOME
INCLUDES SECURITIES
LENDING INCOME
OF:................ $ 1,382 $ 12,277 $ 37,605 $ 26,482 $ 60,803
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
73
<PAGE>
LIFEPATH MASTER PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH INCOME MASTER PORTFOLIO LIFEPATH 2010 MASTER PORTFOLIO
---------------------------------- ----------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
AUGUST 31, 2000 YEAR ENDED AUGUST 31, 2000 YEAR ENDED
(UNAUDITED) FEBRUARY 29, 2000 (UNAUDITED) FEBRUARY 29, 2000
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT
INCOME............... $ 2,073,553 $ 4,330,040 $ 3,998,898 $ 7,464,247
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 3,619,518 2,506,435 8,128,815 17,805,780
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... (662,112) (1,106,762) 1,736,694 (6,180,937)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 5,030,959 5,729,713 13,864,407 19,089,090
--------------- ----------------- --------------- -----------------
INTERESTHOLDER TRANSACTIONS
CONTRIBUTIONS.......... 13,866,851 43,145,007 45,826,394 94,838,352
WITHDRAWALS............ (17,338,902) (71,554,344) (39,270,166) (128,256,885)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM INTERESTHOLDER
TRANSACTIONS........... (3,472,051) (28,409,337) 6,556,228 (33,418,533)
--------------- ----------------- --------------- -----------------
--------------- ----------------- --------------- -----------------
INCREASE (DECREASE) IN
NET ASSETS............. 1,558,908 (22,679,624) 20,420,635 (14,329,443)
--------------- ----------------- --------------- -----------------
NET ASSETS
-------------------------------------------------------------------------------------------------
BEGINNING OF PERIOD.... 94,060,786 116,740,410 229,231,619 243,561,062
--------------- ----------------- --------------- -----------------
END OF PERIOD............ $ 95,619,694 $ 94,060,786 $ 249,652,254 $ 229,231,619
--------------- ----------------- --------------- -----------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
74
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS LIFEPATH MASTER PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFEPATH 2020 MASTER PORTFOLIO LIFEPATH 2030 MASTER PORTFOLIO
---------------------------------- ----------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
AUGUST 31, 2000 YEAR ENDED AUGUST 31, 2000 YEAR ENDED
(UNAUDITED) FEBRUARY 29, 2000 (UNAUDITED) FEBRUARY 29, 2000
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
FROM OPERATIONS
NET INVESTMENT
INCOME............... $ 5,282,041 $ 8,682,071 $ 2,307,967 $ 4,706,083
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 12,163,265 33,627,531 6,844,122 31,399,199
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 12,160,995 (2,423,834) 14,369,713 (1,042,385)
--------------- ----------------- --------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 29,606,301 39,885,768 23,521,802 35,062,897
--------------- ----------------- --------------- -----------------
INTERESTHOLDER TRANSACTIONS
CONTRIBUTIONS.......... 126,357,753 168,045,167 51,173,633 88,855,257
WITHDRAWALS............ (66,433,754) (180,564,241) (36,857,981) (128,529,895)
--------------- ----------------- --------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM INTERESTHOLDER
TRANSACTIONS........... 59,923,999 (12,519,074) 14,315,652 (39,674,638)
--------------- ----------------- --------------- -----------------
--------------- ----------------- --------------- -----------------
INCREASE (DECREASE) IN
NET ASSETS............. 89,530,300 27,366,694 37,837,454 (4,611,741)
--------------- ----------------- --------------- -----------------
NET ASSETS
-------------------------------------------------------------------------------------------------
BEGINNING OF PERIOD.... 393,530,327 366,163,633 272,218,677 276,830,418
--------------- ----------------- --------------- -----------------
END OF PERIOD............ $ 483,060,627 $ 393,530,327 $ 310,056,131 $ 272,218,677
--------------- ----------------- --------------- -----------------
<CAPTION>
LIFEPATH 2040 MASTER PORTFOLIO
----------------------------------
FOR THE SIX
MONTHS ENDED FOR THE
AUGUST 31, 2000 YEAR ENDED
(UNAUDITED) FEBRUARY 29, 2000
<S> <C> <C>
-------------------------
FROM OPERATIONS
NET INVESTMENT
INCOME............... $ 2,405,379 $ 5,036,306
NET REALIZED GAIN ON
SALE OF
INVESTMENTS.......... 23,459,612 52,425,320
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENTS.......... 19,763,487 19,635,208
--------------- -----------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS............. 45,628,478 77,096,834
--------------- -----------------
INTERESTHOLDER TRANSACTIO
CONTRIBUTIONS.......... 61,791,381 194,264,394
WITHDRAWALS............ (84,045,168) (224,020,215)
--------------- -----------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM INTERESTHOLDER
TRANSACTIONS........... (22,253,787) (29,755,821)
--------------- -----------------
--------------- -----------------
INCREASE (DECREASE) IN
NET ASSETS............. 23,374,691 47,341,013
--------------- -----------------
NET ASSETS
-------------------------
BEGINNING OF PERIOD.... 539,859,898 492,518,885
--------------- -----------------
END OF PERIOD............ $ 563,234,589 $ 539,859,898
--------------- -----------------
</TABLE>
75
<PAGE>
LIFEPATH MASTER PORTFOLIOS NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
--------------------------------------------------------------------------------
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized as a Delaware business trust pursuant to
an Agreement and Declaration of Trust dated October 21, 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, 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 is a summary of significant accounting policies which are
consistently followed by the 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 sales 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
MIP believes that each Master Portfolio has and will continue to be operated
in a manner so as to qualify it as a partnership for federal income tax
purposes. Provided that each Master Portfolio so qualifies, it will not be
subject to any federal income tax on its income and gain (if any). However,
each investor in a Master Portfolio will be taxable on its distributive share
of the Master Portfolio's taxable income in determining its federal income tax
liability. As a partnership for federal income tax purposes, each Master
Portfolio will be deemed to have "passed through" to interestholders any
interest, dividends, gains or losses for such purposes. The determination of
such share will be made in accordance with the Internal Revenue Code of 1986,
as amended (the "Code"), and regulations promulgated thereunder.
It is intended that each Master Portfolio's assets, income and distributions
will be managed in such a way that an entity electing and qualifying as a
"regulated investment company" under the Code can continue to so qualify by
investing substantially all of its assets through the Master Portfolio,
provided that the regulated investment company meets other requirements for
such qualification not within the control of the Master Portfolio (e.g.
distributing at least 90% of the regulated investment company's "investment
company taxable income" annually).
76
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) LIFEPATH MASTER PORTFOLIOS
--------------------------------------------------------------------------------
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 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 August 31, 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 Schedule 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 August 31, 2000 by
the Master Portfolios were fully collateralized by U.S. Government obligations
with a rate of 5.50%, a maturity date of 02/28/03 and an aggregate market
value of $87,548,481.
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.
The 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
August 31, 2000 these officers of Stephens collectively owned less than 1% of
the Master Portfolios' outstanding beneficial interests.
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<PAGE>
LIFEPATH MASTER PORTFOLIOS NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
3. INVESTMENT PORTFOLIO TRANSACTIONS
--------------------------------------------------------------------------------
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the six months ended August 31, 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 $ 2,969,541 $28,194,766 $63,324,207 $22,904,625 $34,096,634
SALES PROCEEDS 11,367,132 22,266,375 33,376,181 9,572,016 3,321,569
OTHER SECURITIES:
PURCHASES AT COST $ 9,531,498 $41,636,481 $79,476,353 $35,700,653 $38,325,264
SALES PROCEEDS 12,211,307 48,436,996 54,942,885 36,244,240 87,634,003
</TABLE>
As of August 31, 2000 the Master Portfolios' aggregate unrealized
appreciation and depreciation based on cost for federal income tax purposes
were as follows:
<TABLE>
<CAPTION>
Tax Unrealized Unrealized Net Unrealized
Master Portfolio Cost Appreciation Depreciation Appreciation
<S> <C> <C> <C> <C>
LIFEPATH INCOME MASTER
PORTFOLIO $ 92,811,432 $ 5,724,933 $ (1,322,780) $ 4,402,153
LIFEPATH 2010 MASTER PORTFOLIO 234,634,641 32,730,382 (3,642,733) 29,087,649
LIFEPATH 2020 MASTER PORTFOLIO 435,404,037 99,281,379 (10,917,465) 88,363,914
LIFEPATH 2030 MASTER PORTFOLIO 249,011,390 94,048,787 (8,918,586) 85,130,201
LIFEPATH 2040 MASTER PORTFOLIO 450,980,448 189,508,547 (25,064,749) 164,443,798
</TABLE>
4. PORTFOLIO SECURITIES LOANED
--------------------------------------------------------------------------------
As of August 31, 2000, the Master Portfolios had loaned securities which were
collateralized by cash. The cash collateral received was invested in U.S.
Government Agency obligations 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 $ 1,872,563 $ 1,933,725
LIFEPATH 2010 MASTER PORTFOLIO 14,533,869 14,964,486
LIFEPATH 2020 MASTER PORTFOLIO 40,313,331 41,587,847
LIFEPATH 2030 MASTER PORTFOLIO 23,295,075 24,074,452
LIFEPATH 2040 MASTER PORTFOLIO 50,152,653 51,770,500
</TABLE>
78
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) LIFEPATH MASTER PORTFOLIOS
--------------------------------------------------------------------------------
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>
Six For the
Months Ended Year Ended
August 31, 2000 February 29,
(Unaudited) 2000
<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+ 4.40% 4.03%
PORTFOLIO TURNOVER RATE 16% 55%
LIFEPATH 2010 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS+ 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS+ 3.37% 3.20%
PORTFOLIO TURNOVER RATE 33% 49%
LIFEPATH 2020 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS+ 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS+ 2.33% 2.27%
PORTFOLIO TURNOVER RATE 21% 43%
LIFEPATH 2030 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS+ 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS+ 1.58% 1.72%
PORTFOLIO TURNOVER RATE 16% 26%
LIFEPATH 2040 MASTER PORTFOLIO
RATIO OF EXPENSES TO AVERAGE NET ASSETS+ 0.55% 0.55%
RATIO OF NET INVESTMENT INCOME TO
AVERAGE NET ASSETS+ 0.87% 0.99%
PORTFOLIO TURNOVER RATE 13% 29%
</TABLE>
+ ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
79
<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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