<PAGE> 1
FINANCIAL STATEMENTS
1995
[LOGO]
ADVISORY FOREIGN FIXED INCOME PORTFOLIO
ADVISORY MORTGAGE PORTFOLIO
ANNUAL REPORT
1995
<PAGE> 2
We are pleased to present the Annual Report for the Advisory Foreign Fixed
Income and Advisory Mortgage Portfolios of MAS Funds as of September 30, 1995.
TABLE OF CONTENTS
Portfolio Overview and Statement of Net Assets
<TABLE>
<S> <C>
Advisory Mortgage Portfolio............... 1
Advisory Foreign Fixed Income Portfolio... 9
Statement of Operations...................... 12
Statement of Changes in Net Assets........... 13
Selected Per Share Data and Ratios........... 14
Notes to Financial Statements................ 15
Report of Independent Accountants............ 21
</TABLE>
THIS ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. IT SHOULD BE
NOTED THAT THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH EITHER MORE
OR LESS THAN THEIR ORIGINAL COST.
<PAGE> 3
PORTFOLIO OVERVIEW (UNAUDITED)
- - --------------------------------------------------------------------------------
ADVISORY MORTGAGE PORTFOLIO
The Advisory Mortgage Portfolio is used as a vehicle for making mortgage
investments in fixed-income portfolios for private advisory clients of Miller
Anderson & Sherrerd. The Advisory Mortgage Portfolio invests in a full range of
mortgage securities, collateralized mortgage obligations (CMOs), asset-backed
securities, U.S. Government and other fixed-income securities. Miller Anderson &
Sherrerd selects mortgages that appear most attractively priced, while managing
the Portfolio's prepayment sensitivity. MAS increases prepayment exposure when
mortgage yields, adjusted for probable prepayments, indicate value in
mortgage-backed securities.
For most of the year, the Portfolio underweighted fixed-rate mortgages and
emphasized GNMA adjustable-rate mortgages (ARMs). As fixed-rate mortgages have
become more attractive recently, we have reduced ARMs and replaced them with
fixed-rate mortgages. The Portfolio includes a limited amount of
opportunistically selected securities that concentrate prepayment risk, though
the overall prepayment sensitivity of the Portfolio is less than that of the
mortgage index (Lehman Mortgage Index).
Because the Portfolio is managed as a component of a diversified portfolio,
investment results from the Portfolio should not be analyzed on a stand-alone
basis.
The Portfolio is only available to private advisory clients of Miller Anderson &
Sherrerd.
THE SECURITIES AND EXCHANGE COMMISSION HAS ADOPTED AMENDED RULES REQUIRING THE
DISCLOSURE OF MUTUAL FUND PERFORMANCE DATA AFTER A PORTFOLIO HAS AT LEAST SIX
MONTHS OF AUDITED FINANCIAL STATEMENTS. THE ADVISORY MORTGAGE PORTFOLIO BEGAN
OPERATIONS WITHIN THE LAST SIX MONTHS OF FISCAL 1995, AND PERFORMANCE DATA WILL
BE INTRODUCED IN THE FUND'S ANNUAL REPORT FOR FISCAL 1996.
1
<PAGE> 4
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
ADVISORY MORTGAGE
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (101.1%)
<TABLE>
<CAPTION>
- - ---------------------------------------------------------
**RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGE (23.7%)
## Government National
Mortgage Association II:
Various Pools:
5.00%,
11/20/23-12/20/24 Agy $ 18,497 $ 18,288
5.50%,
8/20/23-12/20/24 Agy 11,820 11,743
6.00%,
8/20/22-6/20/25 Agy 106,428 107,358
6.50%,
1/20/22-3/20/25 Agy 181,979 185,455
7.00%,
4/20/22-5/20/23 Agy 13,318 13,550
7.375%,
6/20/22-6/20/23 Agy 5,844 5,986
- - ---------------------------------------------------------
GROUP TOTAL 342,380
- - ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (28.4%)
Federal Home Loan Mortgage
Corporation:
Gold Pools:
10.00%, 1/1/21 Agy 834 907
10.50%,
6/1/11-3/1/21 Agy 1,052 1,155
11.00%, 5/1/12 Agy 54 60
11.50%,
8/1/15-10/1/19 Agy 400 451
October TBA
7.50%, 8/15/23 Agy 26,775 26,967
November TBA
7.50%, 11/15/25 Agy 97,675 98,224
Conventional
Pools:
6.00%, 1/1/01 Agy 67 66
6.50%, 3/1/02 Agy 55 55
6.75%, 12/1/05 Agy 301 297
8.25%,
11/1/07-7/1/08 Agy 320 328
10.25%,
1/1/09-9/1/16 Agy 252 274
10.50%,
1/1/11-12/1/20 Agy 4,504 4,925
11.00%,
2/1/10-5/1/20 Agy 8,725 9,665
11.25%,
6/1/10-10/1/15 Agy 172 190
11.50%,
2/1/00-8/1/16 Agy 3,318 3,713
12.00%,
10/1/09-8/1/15 Agy 959 1,081
12.50%,
10/1/09-9/1/13 Agy 186 212
13.50%, 2/1/10 Agy 51 59
<CAPTION>
**RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association:
Gold Pool
12.50%, 5/1/15 Agy $ 139 $ 158
Conventional
Pools:
10.00%,
9/1/16-5/1/22 Agy 23,287 25,329
10.50%,
5/1/11-4/1/22 Agy 11,793 12,929
10.75%,
6/1/13-8/1/13 Agy 296 325
11.00%,
2/1/16-11/1/20 Agy 5,474 6,101
11.25%, 1/1/16 Agy 577 643
11.50%,
11/1/15-4/1/16 Agy 385 433
12.00%,
2/1/15-2/1/18 Agy 351 396
12.50%,
2/1/11-9/1/15 Agy 4,652 5,305
October TBA,
7.50%,
8/15/23-10/15/24 Agy 21,000 21,131
November TBA,
7.00%, 11/15/24 Agy 72,250 71,166
7.50%, 11/15/25 Agy 68,575 68,896
Government National
Mortgage Association:
Various Pools:
10.00%, 11/15/18 Agy 67 73
10.50%,
10/15/00-5/15/21 Agy 10,518 11,626
11.00%,
12/15/09-11/20/19 Agy 5,126 5,708
11.50%,
1/15/13-2/15/16 Agy 1,461 1,629
12.00%,
11/15/12-4/15/15 Agy 925 1,048
12.50%,
11/15/10-7/15/15 Agy 846 969
13.00%,
10/15/13-9/15/14 Agy 458 530
13.50%, 5/15/13 Agy 177 205
November TBA,
7.50%, 8/15/24 Agy 27,400 27,622
- - ---------------------------------------------------------
GROUP TOTAL 410,851
- - ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.6%)
Security Pacific
Home Equity Trust
Series:
+ 91-A A2
8.90%, 3/10/06 Aaa 5,037 5,097
91-A B
10.50%, 3/10/06 A+ 3,305 3,449
- - ---------------------------------------------------------
GROUP TOTAL 8,546
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
**RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (2.0%)
+ Collateralized Mortgage
Obligation Trust Series:
86-13 Q Inv Fl
14.327%, 1/20/03 Aaa $ 410 $ 439
86-14 A2 Inv Fl
12.00%, 4/1/09 Aaa 113 113
Federal Home Loan
Mortgage Corporation
Series:
88-17 I PAC-1 (11)
9.90%, 10/15/19 Agy 1,850 1,971
88-22 C PAC 11
9.50%, 4/15/20 Agy 595 642
88-23 F PAC-1 (11)
9.60%, 4/15/20 Agy 1,025 1,102
89-39 F PAC-2 (11)
10.00%, 5/15/20 Agy 1,350 1,455
89-47 F PAC-1 (12)
10.00%, 6/15/20 Agy 1,435 1,550
89-110 F PAC
8.55%, 1/15/21 Agy 800 832
90-1007 F Inv Fl
20.708%, 1/15/20 Agy 10 11
90-129 H PAC
8.85%, 3/15/21 Agy 135 143
92-1398 I Inv Fl
PAC-1 (11)
10.612%, 10/15/07 Agy 670 692
Federal National
Mortgage Association
Series:
89-22 G PAC (11)
10.00%, 5/25/19 Agy 1,235 1,353
89-92 G PAC (11)
8.60%, 12/25/04 Agy 750 788
90-80 S Inv Fl
17.232%, 7/25/20 Agy 597 696
90-85 D
9.50%, 9/25/19 Agy 26 26
90-106 J PAC
8.50%, 9/25/20 Agy 1,250 1,294
90-118 S Inv Fl
27.392%, 9/25/20 Agy 160 217
91-G 20 S Inv Fl
19.238%, 6/25/21 Agy 5,225 6,431
92-33 S Inv Fl
12.90%, 3/25/22 Agy 4,505 4,846
93-5 M
7.00%, 1/25/08 Agy 190 189
Goldman Sachs Trust
IV Series:
89-D 2 Inv Fl
17.716%, 5/1/19 AAA 1,087 1,323
89-E 2 Inv Fl
12.573%, 10/27/19 AAA 577 694
<CAPTION>
**RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
Kidder Peabody Mortgage
Assets Trust Series:
87 B Principal Only
4/22/18 N/R $ 236 $ 183
87 B IO
9.50%, 4/22/18 N/R 236 61
Morgan Stanley Mortgage
Trust Series:
88-28 8 PAC
9.40%, 10/1/18 AAA 125 136
Texas Housing Agency
Series:
87-A E Inv Fl
11.513%, 8/1/16 Agy 969 1,013
- - ---------------------------------------------------------
GROUP TOTAL 28,200
- - ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (27.0%)
American Housing Trust
Series:
IV 2
9.553%, 9/25/20 A 2,175 2,258
V 1G
9.125%, 4/25/21 AAA 5,940 6,160
American Southwest
Financial Securities Corp.
Series:
++ 93-2 A1
7.30%, 1/18/09 AA 8,054 8,131
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 16,250 16,681
Asset Securitization
Corp. Series:
95-D1 A1
7.59%, 8/11/27 AAA 13,410 13,932
Chase Mortgage Finance
Corp. Series:
sec. 93-1 B2
7.911%, 3/28/24
(acquired
4/28/95-6/30/95,
cost $3,116) A- 3,264 3,236
+ 93-N A8
6.75%, 11/25/24 Aaa 2,100 1,908
+ 94-H A7
7.25%, 6/25/25 Aaa 2,075 1,967
Chemical Mortgage
Securities, Inc. Series:
sec. 93-1 M
7.45%, 2/25/23
(acquired
4/28/95-8/30/95,
cost $4,070) AA 4,360 4,273
sec. 93-3 M
7.125%, 7/25/23
(acquired
6/9/95, cost
$5,783) AA 6,047 5,954
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
ADVISORY MORTGAGE
PORTFOLIO
<TABLE>
<CAPTION>
**RATING FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
Citicorp Mortgage
Securities, Inc. Series:
90-11 A5
9.50%, 7/25/20 AAA $ 301 $ 306
93-9 A1
7.00%, 3/25/20 AAA 701 700
94-7 A5
6.25%,4/25/24 AAA 3,200 2,756
CMC Securities Corp. IV
Series 94-G A4
7.00%, 9/25/24 AAA 8,035 7,457
Countrywide Funding Corp.
Series:
94-12 A10
7.00%, 5/25/24 AAA 855 790
95-4 M
7.50%, 9/25/25 AA 6,643 6,567
Countrywide Mortgage Backed
Securities, Inc.
Series 93-C A11
6.50%, 1/25/24 AAA 9,226 8,602
DLJ Mortgage Acceptance
Corp. Series:
sec. 93-MF7 A1
7.40%, 6/18/03
(acquired
4/28/95-6/30/95,
cost $8,447) AAA 8,368 8,560
93-M10 A2
7.20%, 7/15/03 AAA 4,742 4,813
(+) Equitable Life
Assurance Society of the
U.S.
6.633%, 7/23/03 AA 13,575 13,443
FBS Mortgage
Corporation
Series 92-BB M
8.625%, 7/25/23 AAA 2,093 2,134
First Boston Mortgage
Securities Corp. Series:
sec. 92-4 B1
8.125%, 10/25/22
(acquired
4/28/95, cost
$72) A 79 77
93-2 B1
7.50%, 3/25/33 A 2,569 2,441
(+) FSA Finance, Inc.
Series 95-1A
7.42%, 6/1/07 AA 4,426 4,534
GE Capital Mortgage
Services, Inc. Series:
92-10A F
7.50%, 8/25/22 AAA 7,727 7,554
(+) 94-6 M
6.50%, 4/25/24 AA 2,287 2,107
+ 94-19 M
7.50%, 8/25/24 A2 6,685 6,605
<CAPTION>
**RATING FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
94-24 A4
7.00%, 7/25/24 AAA $ 8,985 $ 8,344
94-27 A6
6.50% 7/25/24 AAA 8,500 7,502
(+) 95-6 B2
7.00%, 8/25/25 N/R 3,107 2,903
J.P. Morgan Commercial
Mortgage Finance Corp.
Series: 95-C1 A1
7.268%, 7/25/10 AAA 2,844 2,893
Mid-State Trust
Series 88-2 A4
9.625%, 4/1/03 AAA 17,645 19,376
Mortgage Capital
Funding, Inc. Series
95-MC1 A1B
7.60%, 5/25/27 AAA 11,148 11,561
++ Nomura Asset Securities
Corp. Series:
94-MD1 A1B
7.526%, 3/15/18 AAA 3,335 3,446
94-MD1 A2
7.676%, 3/15/18 AA 3,110 3,209
94-MD1 A3
8.026%, 3/15/18 A 3,675 3,877
Old Stone Credit
Corporation
Series 92-3 B1
6.35%, 9/25/07 AAA 413 403
PNC Mortgage Securities
Corp. Series 94-3 A8
7.50%, 7/25/24 AAA 4,175 4,078
Prudential Home
Mortgage Securities
Co., Inc. Series:
90-8 A5 PAC-1(11)
9.50%, 9/25/20 AAA 59 59
(+) 92-A 1B4
7.90%, 4/28/22 AAA 4,045 3,762
(+) 92-A 2B4
7.90%, 4/28/22 AA 1,484 1,249
+ 92-33
7.50%, 11/15/22 A2 780 754
(+) 93-B 1B1
7.836%, 4/28/23 AA 3,449 3,441
(+) 93-B 2B
7.833%, 4/28/23 A 4,829 4,703
+sec. 93-17 B1
6.50%, 3/1/23
(acquired
4/28/95, cost
$959) A2 1,032 978
++(+) 94-A 3B3
6.803%, 4/28/24 A 7,530 6,836
++(+) 94-A 3B5
6.802%, 4/28/24 A 7,655 7,017
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
**RATING FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
sec. 95-2 M
8.50%, 6/25/25
(acquired
9/26/95, cost
$349) AA $ 339 $ 348
sec. 95-6 M
7.50%, 9/25/25
(acquired
8/25/95, cost
$5,267) AA 5,411 5,348
Residential Funding
Mortgage Securities
Co., Inc. Series:
92-S2 M
8.00%, 1/25/22 AA 3,412 3,456
sec. 92-S6 M
7.50%, 2/25/22
(acquired
4/28/95-8/30/95,
cost $3,008) AA 3,167 3,158
92-S15 A5
8.00%, 5/25/07 AAA 1,269 1,281
93-MZ1 A2
7.47%, 3/2/23 AA 1,000 980
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired
4/28/95-6/30/95,
cost $2,872) AA 3,069 3,036
++sec. 93-MZ3 A2
6.97%, 8/28/23
(acquired
6/2/95-8/30/95,
cost $6,214) AA 6,650 6,248
93-S2 M2 8.00%,
1/25/23 A 900 909
sec. 93-S43 A10
6.50%, 11/25/23
(acquired
6/12/95-9/28/95,
cost $6,267) AAA 6,768 6,296
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
4/28/95-9/28/95,
cost $8,087) AAA 8,851 8,401
95-S11 A16
7.50%, 9/25/25 AAA 16,231 16,282
(-) 95-S16 A7
7.50%, 10/15/25 AAA 10,575 10,579
Resolution Trust Corp.
Series:
92-16 C2
7.75%, 8/25/25 A 1,575 1,563
<CAPTION>
**RATING FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA $ 19,419 $ 18,909
87-1 M
3.33%, 4/1/26 A- 19,847 18,097
87-2 C
6.83%, 4/1/26 AAA 14,904 14,756
Ryland Mortgage
Securities Corp Series:
92-A 1A
8.32%, 3/29/30 A- 5,479 5,493
+ 93-4 A9
7.50%, 8/25/24 Aaa 11,720 11,338
93-A1 A
7.45%, 1/28/23 AAA 1,745 1,686
94-7B 4A2
7.50%, 8/25/25 AAA 1,900 1,832
Ryland Mortgage
Securities Corp.
Two Series: 1 B
8.50%, 12/26/21 A 2,800 2,819
Saxon Mortgage
Securities Corp. Series:
93-8A A6
7.375%, 9/25/23 AAA 390 369
93-4 1B
7.25%, 6/25/24 AAA 500 466
+sec. Securitized
Asset Sales,
Inc. Series: 95-B M
7.41%, 9/25/24
(acquired
6/30/95-7/28/95,
cost $4,806) Aa3 5,133 4,992
- - ---------------------------------------------------------
GROUP TOTAL 388,979
- - ---------------------------------------------------------
FLOATING RATE NOTES (0.3%)
Federal Home Loan
Mortgage Corporation
Series:
93-1634 SC Inv Fl
REMIC
6.319%, 12/15/23 Agy 4,000 2,077
Federal National
Mortgage
Association Series:
93-22 S Inv Fl
REMIC
9.02%, 9/25/22 Agy 713 559
93-46 SG Inv Fl
REMIC
5.13%, 7/25/22 Agy 1,585 1,014
- - ---------------------------------------------------------
GROUP TOTAL 3,650
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
ADVISORY MORTGAGE
PORTFOLIO
<TABLE>
<CAPTION>
**RATING FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
/ / HEDGED MORTGAGES (1.8%)
Federal Home Loan
Mortgage Corporation
Series:
1364-B Inv Fl IO
CMO
5.25%, 9/15/07 Agy $ 14,463 $ 1,781
1415-S Inv Fl IO
CMO
17.563%, 11/15/07 Agy 170 66
1476-S Inv Fl IO
REMIC PAC
4.106%, 2/15/08 Agy 1,706 150
1485-S Inv Fl IO
REMIC
3.663%, 3/15/08 Agy 3,613 270
1600-SA Inv Fl IO
REMIC
2.063%, 10/15/08 Agy 29,600 1,545
1632-SB Inv Fl
REMIC
3.725%, 11/15/23 Agy 9,720 5,119
1699-SD Inv Fl IO
REMIC
2.063%, 3/15/24 Agy 101,269 6,076
Federal National Mortgage
Association Series:
92-186 S Inv Fl IO
CMO
3.106%, 10/25/07 Agy 2,950 200
93-9 SB Inv Fl IO
REMIC PAC
6.358%, 1/25/23 Agy 6,177 1,667
G 94-2 S Inv Fl IO
REMIC
2.225%, 1/25/24 Agy 45,240 2,389
Morgan Stanley Mortgage
Trust Series 41-2 Inv
Fl CMO
10,154%, 2/20/22 AAA 34 7,443
- - ---------------------------------------------------------
GROUP TOTAL 26,706
- - ---------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. Coast Federal Series
84-3
7.941%, 3/1/06
(acquired
4/28/95, cost
$368) N/R 359 352
sec. Great American Federal
Series 84-2
8.595%, 4/1/99
(acquired
4/28/95, cost
$49) N/R 51 52
<CAPTION>
**RATING FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
sec. Household Bank
Series 85-1
7.94%, 5/1/02
(acquired
5/31/95, cost
$437) N/R $ 434 $ 434
- - ---------------------------------------------------------
GROUP TOTAL 838
- - ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (5.0%)
Bank of America Series:
79-1
9.50%, 7/1/08 AA 26 26
79-3
9.50%, 11/1/08 AA 233 239
79-7
9.50%, 12/1/08 A 189 194
79-9
9.50%, 1/1/09 A 204 210
A
8.375%, 5/1/07 AA 539 543
Beverly Finance
8.36%, 7/15/04 AA- 5,715 6,029
California Federal
Savings & Loan
Series 86-1A
8.80%, 1/1/14 AA 122 122
Creekwood Capital Corp.
Series 95-1 A
8.47%, 3/16/15 AA 470 494
(+) CVM Finance Corp.
7.19%, 4/1/04 AA 444 446
+(+) DeBartolo Capital
Corp. Series A 2
7.48%, 5/1/04 Aaa 12,930 13,423
First Federal Savings &
Loan Association
Series 92-C
8.75%, 6/1/06 AA 444 448
sec. Gemsco Mortgage
Pass Through
Certificate Series
83-TX A
8.701%, 11/25/10
(acquired 4/28/95-
9/28/95, cost $895) AA 883 892
(+) Lakeside Finance Corp.
6.47%, 12/15/00 AA 240 235
(+) Lakewood Mall
Finance Co.
Series 95-C1 A
7.00%, 8/13/10 AA 11,500 11,442
Marine Midland
Bank NA,
Series 91-1 A7
8.50%, 4/25/22 AA 34 34
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 10,733 11,396
Oakdale Mall
7.95%, 5/1/01 AAA 275 283
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
**RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
Resolution Trust Corp.
Series 92-5C
8.628%, 1/25/26 AA $ 6,561 $ 6,715
Ryland Acceptance
Corp. IV Series 79-A
6.65%, 7/1/11 AA 4,088 3,923
Sawgrass Financial
93-A1
6.45%, 1/20/06 AAA 255 253
Sears Mortgage Securities
Series:
sec. 82-1
9.25%, 11/1/10
(acquired 4/28/95-
9/28/95, cost $430) AA 421 429
sec. 82-3 10.00%,
11/1/12
(acquired
4/28/95, cost
$735) AA 707 722
Security Pacific Home
Equity Trust
Series 87-A1
8.00%, 1/25/02 AA 401 402
sec. Shearson American
Express Series A
9.625%, 12/1/12
(acquired
4/28/95-9/28/95,
cost $404) AA 395 404
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 5,330 5,131
/+/+ Town & Country
Funding Corp.
5.85%, 8/15/98 Aa2 7,525 7,373
Washington Mutual
Savings Bank Series A 1
9.00%, 5/25/08 AA 108 110
Woodland Finance Corp.
8.20%, 5/15/04 AA 700 737
- - ---------------------------------------------------------
GROUP TOTAL 72,655
- - ---------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES --
AGENCY COLLATERAL SERIES (0.0%)
Federal National
Mortgage
Association Series:
43-2 IO CMO
9.50%, 9/1/18 Agy 71 19
First Boston
Mortgage Corp.
Series 87-B2 IO
8.985%, 4/25/17 AAA 170 39
- - ---------------------------------------------------------
GROUP TOTAL 58
- - ---------------------------------------------------------
<CAPTION>
**RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)*
- - ---------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY SECURITIES (12.2%)
U.S. Treasury Bonds
7.875%, 2/15/21 Tsy $ 112,295 $ 128,771
8.75%, 8/15/20 Tsy 38,175 47,731
- - ---------------------------------------------------------
GROUP TOTAL 176,502
- - ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$1,439,130) 1,459,365
- - ---------------------------------------------------------
CASH EQUIVALENTS (22.5%)
- - ---------------------------------------------------------
COMMERCIAL PAPER (17.4%)
Barclays U.S. Funding
5.74%, 10/30/95 18,000 17,917
Beneficial Corp.
5.73%, 11/13/95 18,000 17,877
E.I. du Pont de Nemours &
Co.
5.69%, 10/24/95 18,000 17,935
Ford Motor Credit Corp.
5.74%, 10/26/95 18,000 17,928
General Electric Capital
Corp.
5.74%, 10/12/95 18,000 17,968
Household Finance Corp.
5.73%, 10/16/95 18,000 17,957
McDonald's Corp.
5.72%, 10/11/95 18,000 17,971
National Rural Utilities
5.71%, 11/9/95 18,000 17,889
Prudential Funding Corp.
5.74%, 11/7/95 18,000 17,894
Raytheon Co.
5.79%, 10/3/95 18,000 17,994
R.R. Donnelley & Sons Co.
5.80%, 10/6/95 18,000 17,986
U.S. West, Inc.
5.71%, 11/7/95 18,000 17,894
Weyerhaeuser Mortgage Co.
5.70%, 11/1/95 18,000 17,912
Xerox Corp.
5.70%, 11/6/95 18,000 17,897
- - ---------------------------------------------------------
GROUP TOTAL 251,019
- - ---------------------------------------------------------
REPURCHASE AGREEMENT (5.1%)
Chase Manhattan Bank, N.A.
6.20%, dated 9/29/95, due
10/2/95, to be
repurchased at $73,160,
collateralized by $73,438
of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $73,851
(Cost $73,122) 73,122 73,122
- - ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $324,141) 324,141
- - ---------------------------------------------------------
TOTAL INVESTMENTS (123.6%) (Cost $1,763,271) 1,783,506
- - ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
ADVISORY MORTGAGE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)*
- - ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-23.6%)
Cash $ 1
Interest Receivable 9,410
Receivable for Investments Sold 915
Receivable from Investment Adviser 453
Payable for Fund Shares Redeemed (1,350)
Payable for Investments Purchased (327,404)
Payable for Administrative Fees (95)
Payable for Daily Variation on Futures
Contracts (731)
Written Interest Rate Floors at Value (20,962)
Other Liabilities (705)
----------
(340,468)
- - ---------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------
Applicable to 138,661,662 outstanding shares of
beneficial interest (unlimited authorization, no
par value) $1,443,038
- - ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.41
- - ---------------------------------------------------------
sec. Restricted Security-Total cost of
restricted securities at September 30,
1995 amounted to $62,635. Total market
value of restricted securities owned at
September 30, 1995 was $64,190 or 4.4% of
net assets.
* See Note A1 to Financial Statements.
** Ratings are unaudited.
/+/ A portion of these securities was pledged
to cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating.
Security is not rated by Standard &
Poor's Corporation.
++ Fitch rating. Security is not rated by
Standard & Poor's Corporation or Moody's
Investor Service, Inc.
/ / Securities purchased with proceeds from
written floors. See Note A6 to Financial
Statements.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1995.
(+) 144A security. Certain conditions for
public sale may exist.
(-) Security is subject to delayed delivery.
See Note A8 to Financial statements.
Inv Fl Inverse Floating Rate-Interest rate
fluctuates with an inverse relationship
to an associated interest rate. Indicated
rate is the effective rate at September
30, 1995.
IO Interest Only.
N/R Not rated by either Moody's Investor
Service, Inc. or Standard & Poor's
Corporation.
CMO Collateralized Mortgage Obligation.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery.
See Note A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
8
<PAGE> 11
PORTFOLIO OVERVIEW (UNAUDITED)
- - --------------------------------------------------------------------------------
ADVISORY FOREIGN FIXED INCOME PORTFOLIO
The Advisory Foreign Fixed Income Portfolio is used as a vehicle for making
opportunistic foreign-bond investments in fixed-income portfolios for private
advisory clients of Miller Anderson & Sherrerd. This strategy concentrates on
purchasing those foreign bonds which represent better long-term values than U.S.
alternatives.
All securities in the Portfolio have a credit quality of A or better.
Derivatives may be used to represent country investments or pursue portfolio
strategy.
During the past year, the U.S. bond market has been one of the best performing
fixed-income markets in the world and the foreign investments in the fund tended
to lag U.S. alternatives. As most of the foreign-exchange exposures in the
Portfolio were hedged, the Portfolio did not benefit significantly from the
depreciation of the dollar during the first half of 1995. Real interest rates
abroad, however, remain high and foreign yield curves remain relatively
steep -- suggesting that many of these markets now represent better values than
U.S. bonds.
Because the Portfolio is managed as a component of a diversified portfolio,
investment results from the Portfolio should not be analyzed on a stand-alone
basis. Results are presented in this Report to comply with Securities and
Exchange Commission requirements for shareholder reporting.
The Portfolio is only available to private advisory clients of Miller Anderson &
Sherrerd.
INVESTMENT RESULTS
GROWTH OF A $1 MILLION INVESTMENT
SINCE INCEPTION
<TABLE>
<CAPTION>
Measurement Period
(Fiscal Year Covered) mas salomon
<S> <C> <C>
10/7/94 1000 1000
12/31/94 1017 1007
3/31/95 1037 1658
6/30/95 1083 1123
</TABLE>
<TABLE>
<S> <C> <C>
9/30/95 1121 1144
</TABLE>
TOTAL RETURN
ENDED 9/30/95
<TABLE>
<CAPTION>
MAS ADVISORY SALOMON BROAD
FOREIGN INDEX
----------------------------
<S> <C> <C>
SINCE INCEPTION* 12.12% 14.44%
</TABLE>
MAS FUNDS RETURNS ARE NET OF ALL
FEES. RETURNS REPRESENT PAST
PERFORMANCE AND ARE NOT INDICATIVE
OF FUTURE RESULTS.
THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT
WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED,
MAY BE WORTH EITHER MORE OR LESS
THAN THEIR ORIGINAL COST.
UNTIL FURTHER NOTICE, THE ADVISOR
HAS VOLUNTARILY AGREED TO WAIVE
ITS ADVISORY FEES AND REIMBURSE
CERTAIN EXPENSES TO THE EXTENT
NECESSARY, IF ANY, TO KEEP TOTAL
ANNUAL OPERATING EXPENSES FOR THE
ADVISORY FOREIGN FIXED INCOME
PORTFOLIO FROM EXCEEDING 0.15% OF
AVERAGE DAILY NET ASSETS.
*RETURNS SINCE INCEPTION ON
10/7/94 TO 9/30/95 FOR THE
ADVISORY FOREIGN FIXED INCOME
PORTFOLIO ARE COMPARED TO THE
SALOMON BROAD INDEX, AN UNMANAGED
MARKET INDEX.
9
<PAGE> 12
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
ADVISORY FOREIGN FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (64.8%)
- - --------------------------------------------------------
<TABLE>
<CAPTION>
**RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1995 & POOR'S) (000) (000)*
- - --------------------------------------------------------
<S> <C> <C> <C>
CANADIAN DOLLAR (8.9%)
Government of Canada
6.50%, 6/1/04 AA+ C $ 31,825 $ 21,709
/+/ 8.50%, 4/1/02 AA+ 33,400 26,064
- - --------------------------------------------------------
GROUP TOTAL 47,773
- - --------------------------------------------------------
DANISH KRONE (10.5%)
Kingdom of Denmark
9.00%, 11/15/00 AAA DK 291,100 56,329
- - --------------------------------------------------------
EUROPEAN CURRENCY UNIT (3.6%)
United Kingdom
9.125%, 2/21/01 AAA ECU 13,895 19,367
- - --------------------------------------------------------
FRENCH FRANC (22.1%)
Caisse Refinance
Hypothecaire
8.50%, 3/5/99 AAA FF 55,000 11,746
Credit Foncier
9.20%, 1/2/00 AA- 52,000 11,406
Government of France
O.A.T.
8.50%, 10/25/19 AAA 252,000 53,599
/+/ 8.50%,
4/25/23 AAA 196,640 41,745
- - --------------------------------------------------------
GROUP TOTAL 118,496
- - --------------------------------------------------------
GERMAN MARK (8.5%)
Treuhandanstalt
/+/ 7.125%,1/29/03 AAA DM 11,365 8,251
7.75%, 10/1/02 AAA 50,000 37,606
- - --------------------------------------------------------
GROUP TOTAL 45,857
- - --------------------------------------------------------
NETHERLANDS GUILDER (4.3%)
Netherlands Government
6.50%, 4/15/03 AAA NG 23,580 14,837
8.50%, 3/15/01 AAA 12,000 8,357
- - --------------------------------------------------------
GROUP TOTAL 23,194
- - --------------------------------------------------------
U.S. DOLLAR (6.9%)
## Bank of Hawaii, Honolulu
5.988%, 11/25/96 A $ 2,000 2,001
## Caterpillar Financial
Services
6.125%, 1/30/96 A- 5,000 5,001
## Chemical Bank
6.00%, 7/15/96 A 5,000 5,005
## Dean Witter
Discover & Co.
6.00%, 1/3/97 A 5,000 5,002
<CAPTION>
++RATING FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- - --------------------------------------------------------
<S> <C> <C> <C>
## Ford Motor Credit Corp.
6.055%, 10/21/97 A+ $5,000 $ 5,003
## John Deere Capital Corp.
6.095%, 7/22/96 A 5,000 5,007
## NationsBank Corp.
5.875%, 11/18/96 A 3,000 3,000
## Province of Quebec
6.058%, 9/14/97 AA+ 3,500 3,497
## World Savings & Loan
Association
6.063%, 2/24/97 A+ 3,500 3,502
- - --------------------------------------------------------
GROUP TOTAL 37,018
- - --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $332,689) 348,034
- - --------------------------------------------------------
CASH EQUIVALENTS (29.1%)
- - --------------------------------------------------------
COMMERCIAL PAPER (16.6%)
Aon Corp.
5.73%, 10/16/95 6,200 6,185
Beneficial Corp.
5.72%, 11/2/95 5,500 5,472
Barclays U.S. Funding
5.74%, 10/30/95 5,500 5,475
Chevron Oil Finance Co.
5.81%, 10/27/95 5,500 5,477
Commercial Credit Co.
5.70%, 11/10/95 5,500 5,465
E.I. du Pont de
Nemours & Co.
5.71%, 10/25/95 6,275 6,251
General Mills, Inc.
5.69%, 10/20/95 5,500 5,483
Heller Financial, Inc.
5.71%, 11/3/95 5,500 5,471
Household Finance Corp.
5.71%, 11/10/95 5,500 5,465
Motorola Credit Corp.
5.85%, 10/16/95 5,500 5,487
Norwest Financial, Inc.
5.70%, 11/2/95 5,500 5,472
Prudential Funding Co.
5.72%, 11/10/95 5,500 5,465
Philip Morris, Inc.
5.71%, 10/18/95 5,500 5,485
Raytheon Co.
5.73%, 10/5/95 5,500 5,497
Warner-Lambert Co.
5.75%, 10/6/95 5,500 5,496
Xerox Corp.
5.73%, 10/20/95 5,500 5,483
- - --------------------------------------------------------
GROUP TOTAL 89,129
- - --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)*
- - --------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS (12.5%)
Chase Manhattan Bank N.A.
6.20%, dated 9/29/95, due
10/2/95, to be repurchased
at $22,398, collateralized
by $22,481 of various U.S.
Government and Agency
Obligations, due 10/3/95-
7/7/97, valued at $22,608
(Cost $22,386) $22,386 $ 22,386
Goldman Sachs Co.
6.00%, dated 9/29/95, due
10/2/95, to be repurchased
at $22,397, collateralized
by $17,742 of U.S. Treasury
Bonds 9.25%, due
2/15/16, valued at $23,007
(Cost $22,386) 22,386 22,386
Lehman Brothers 6.10%,
dated 9/29/95, due 10/2/95,
to be repurchased at
$22,397, collateralized
by $22,062 of various U.S.
Treasury Notes 4.75%-
7.875%, due 8/31/98-
11/15/99, valued at $22,948
(Cost $22,386) 22,386 22,386
- - --------------------------------------------------------
GROUP TOTAL 67,158
- - --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $156,287) 156,287
- - --------------------------------------------------------
TOTAL INVESTMENTS (93.9%) (Cost $488,976) 504,321
- - --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (6.1%)
Cash 3
Interest Receivable 17,700
Receivable for Investments Sold 6,867
Receivable from Investment Adviser 21
Receivable for Daily Variation on
Futures Contracts 3,578
Unrealized Gain on Forward Foreign
Currency Contracts 4,904
Payable for Administrative Fees (38)
Other Liabilities (223)
--------
32,812
- - --------------------------------------------------------
NET ASSETS (100%)
- - --------------------------------------------------------
Applicable to 49,723,073 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $537,133
- - --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.80
- - --------------------------------------------------------
* See Note A1 to Financial Statements.
** Ratings are unaudited.
/+/ A portion of these securities was pledged to cover
margin requirements for futures contracts.
## Variable or floating rate securities-rate disclosed
is as of September 30, 1995.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF OPERATIONS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISORY
FOREIGN ADVISORY
FIXED INCOME MORTGAGE
PORTFOLIO PORTFOLIO
----------------------------------------------------
OCTOBER 7, APRIL 12,
1994** TO 1995** TO
SEPTEMBER 30, SEPTEMBER 30,
(In Thousands) 1995 1995
- - --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest+ $ 33,020 $ 31,028
- - --------------------------------------------------------------------------------------------------------------------------
Total Income 33,020 31,028
- - --------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $ 1,631 $ 1,711
Less: Waived Fees (1,631) -- (1,711) --
Administrative Fee--Note C 357 374
Custodian Fee 165 86
Filing and Registration Fees 157 440
Reimbursement from Investment Adviser (20) (522)
Other Expenses 53 66
- - --------------------------------------------------------------------------------------------------------------------------
Total Expenses 712 444
- - --------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note F (59) (79)
- - --------------------------------------------------------------------------------------------------------------------------
Net Expenses 653 365
- - --------------------------------------------------------------------------------------------------------------------------
Net Investment Income 32,367 30,663
- - --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 3,381 2,079
Foreign Currency Transactions (10,878) --
Futures and Written Floors 637 (1,408)
- - --------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (6,860) 671
- - --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--Note D
Investment Securities 15,345 20,235
Foreign Currency Transactions 4,856 --
Futures, Written Floors and Swaps 1,469 (1,013)
- - --------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 21,670 19,222
- - --------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 14,810 19,893
- - --------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $47,177 $50,556
- - --------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations.
+ Net of $18 withholding tax for Advisory Foreign Fixed Income Portfolio
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISORY
FOREIGN ADVISORY
FIXED INCOME MORTGAGE
PORTFOLIO PORTFOLIO
--------------------------------------------
OCTOBER 7, APRIL 12,
1994** TO 1995** TO
SEPTEMBER 30, SEPTEMBER 30,
(In Thousands) 1995 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 32,367 $ 30,663
Realized Net Gain (Loss) (6,860) 671
Change in Unrealized Appreciation (Depreciation)--Note D 21,670 19,222
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 47,177 50,556
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A:
Net Investment Income (14,709) (21,968)
- - ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (14,709) (21,968)
- - ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 666,544 1,479,265
In Lieu of Cash Distributions 9,187 15,811
Redeemed (171,066) (80,626)
- - ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share Transactions 504,665 1,414,450
- - ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 537,133 1,443,038
NET ASSETS:
Beginning of Period -- --
------------------------------------------------
END OF PERIOD (2) $ 537,133 $ 1,443,038
- - ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 65,358 144,912
In Lieu of Cash Distributions 910 1,535
Shares Redeemed (16,545) (7,785)
------------------------------------------------
49,723 138,662
- - ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 504,665 $ 1,414,450
Undistributed (Overdistributed) Net Investment Income 7,214 8,695
Undistributed (Overdistributed) Realized Net Gain (Loss) 3,584 671
Unrealized Appreciation (Depreciation) on:
Investment Securities 15,345 20,235
Foreign Currency Transactions 4,856 --
Futures and Written Floors 1,469 (1,013)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $ 537,133 $ 1,443,038
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
13
<PAGE> 16
SELECTED PER SHARE DATA AND RATIOS
- - --------------------------------------------------------------------------------
For a Share Outstanding Throughout The Period
<TABLE>
<CAPTION>
ADVISORY
FOREIGN ADVISORY
FIXED INCOME MORTGAGE
PORTFOLIO PORTFOLIO
--------------------------------------------
OCTOBER 7, APRIL 12,
1994** TO 1995** TO
SEPTEMBER 30, SEPTEMBER 30,
1995 1995
- - ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
- - ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.74 0.25
Net Realized and Unrealized Gain (Loss) on Investments 0.44 0.35
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.18 0.60
- - ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.38) (0.19)
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.38) (0.19)
- - ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.80 $ 10.41
- - ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 12.12% 6.03%
- - ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $537,133 $1,443,038
Ratio of Expenses to Average Net Assets ## 0.16%*++ 0.10%*++
Ratio of Net Investment Income to Average Net Assets 7.44%* 6.72%*
Portfolio Turnover Rate 96% 110%
- - ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
++ Advisory Foreign Fixed Income Portfolio expense ratio is net of voluntarily
waived and reimbursed expenses of 0.38%* for the period ended September 30,
1995. Advisory Mortgage Portfolio expense ratio is net of voluntarily waived
and reimbursed expenses of 0.49%* for the period ended September 30, 1995.
## The Ratio of Expenses to Average Net Assets excludes the effect of expense
offsets. If expense offsets were included, the Ratio of Expenses to Average
Net Assets would be 0.15%* and 0.08%*, respectively, for the Advisory Foreign
Fixed Income Portfolio and the Advisory Mortgage Portfolio.
The accompanying notes are an integral part of the financial statements.
- - --------------------------------------------------------------------------------
14
<PAGE> 17
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. Advisory Foreign Fixed Income Portfolio and
Advisory Mortgage Portfolio, each referred to as a "Portfolio", commenced
operations on October 7, 1994 and April 12, 1995, respectively. At September
30, 1995, the Fund was comprised of twenty-five active portfolios. The
financial statements of the remaining portfolios are presented separately.
A. The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in the preparation of its
financial statements.
1. SECURITY VALUATION: Bonds and other fixed income securities may be valued on
the basis of prices provided by a pricing service when such prices are
believed to reflect the fair market value of such securities. The prices
provided by a pricing service are determined without regard to bid or last
sale prices but take into account institutional size trading in similar
groups of securities and any developments related to specific securities.
Bonds and other fixed income securities not priced in this manner are valued
at the most recent quoted bid price or when exchange valuations are used, at
the latest quoted sale price on the day of valuation. If there is no such
reported sale, the latest quoted bid price will be used. Bonds and other
fixed income securities listed on a foreign exchange are valued at the
latest quoted sales prices. Mortgage-backed securities issued by certain
government-related organizations are valued using brokers' quotations which
are based on a matrix system which considers such factors as other security
prices, yields and maturities. Securities purchased with remaining
maturities of 60 days or less are valued at amortized cost when the Board of
Trustees determines that amortized cost reflects fair value. Other assets
and securities, for which no quotations are readily available, will be
valued in good faith at fair value using methods approved by the Board of
Trustees.
Each Portfolio may invest up to 15% of its net assets in securities which
are not readily marketable, including those which are restricted as to
disposition under securities law ("restricted securities").
2. FEDERAL INCOME TAXES: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for Federal income taxes is required in the
financial statements.
Undistributed net investment income and undistributed gain (loss) for the
Advisory Foreign Fixed Income Portfolio have been adjusted for permanent
book-tax differences.
3. REPURCHASE AGREEMENTS: Securities pledged as collateral for repurchase
agreements are held by the Portfolios' custodian bank until maturity of the
repurchase agreements. Provisions of the agreements ensure that the market
value of the collateral is at least equal to the repurchase value in the
event of default; however, in the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings.
Pursuant to an Exemptive Order issued by the Securities and Exchange
Commission, each Portfolio may transfer its uninvested cash balances into a
joint trading account with other Portfolios of the Fund which invests in one
or more repurchase agreements. This joint repurchase agreement is covered by
the same collateral requirements as discussed above.
4. FUTURES: Futures contracts (secured by securities deposited with brokers as
"initial margin") are valued based upon their quoted daily settlement
prices; changes in initial settlement value (represented by cash paid to or
received from brokers as "variation margin") are accounted for as unrealized
appreciation (depreciation). When futures contracts are closed, the
difference between the opening value at the date of purchase and the value
at
- - --------------------------------------------------------------------------------
15
<PAGE> 18
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
closing is recorded as realized gains or losses in the Statement of
Operations.
Futures contracts may be used by the Portfolios in order to hedge against
unfavorable changes in value of securities or to attempt to realize profits
from the value of the underlying securities. Futures contracts involve
market risk in excess of the amount recognized in the statement of net
assets. Risks arise from the possible movements in security values
underlying these instruments. The change in the value of futures contracts
primarily corresponds with the value of their underlying instruments, which
may not correlate with the change in value of the hedged investments. In
addition, there is risk that a Portfolio may not be able to enter into a
closing transaction because of an illiquid secondary market.
5. SWAP AGREEMENTS: The Portfolios can enter into swap agreements to exchange
the return generated by one instrument for the return generated by another
instrument.
Interest Rate Swaps: Interest rate swaps involve the exchange of commitments
to pay and receive interest based on a notional principal amount. Net
periodic interest payments to be received or paid are accrued daily and are
recorded in the Statement of Operations as an adjustment to interest income.
Interest rate swaps are marked-to-market daily based upon quotations from
market makers and the change, if any, is recorded as unrealized appreciation
(depreciation) in the Statement of Operations.
Total Return Swaps: Total return swaps involve commitments to pay interest
in exchange for a market-linked return based on a notional amount. To the
extent the total return of the security or index underlying the transaction
exceeds or falls short of the offsetting interest obligation, the Portfolio
will receive a payment from or make a payment, respectively, to the
counterparty. Total return swaps are marked-to-market daily based upon
quotations from market makers and the change, if any, is recorded as
unrealized appreciation (depreciation) in the Statement of Operations.
Periodic payments received or made at the end of each measurement period and
prior to the termination of the swap, are recorded as realized gain or loss
in the Statement of Operations.
Realized gains or losses on maturity or termination of interest rate and
total return swaps are presented in the Statement of Operations. Because
there is no organized market for these agreements, the value reported in the
Statement of Net Assets may differ from that which would be realized in the
event the Portfolio terminated its position in the agreement. Risks may
arise upon entering into these agreements from the potential inability of
the counterparties to meet the terms of the agreements and are generally
limited to the amount of net interest payments to be received and/or any
favorable movements in the value of the underlying security at the date of
default.
6. WRITTEN INTEREST RATE FLOOR AGREEMENTS: A Portfolio will utilize written
interest rate floors to protect itself against fluctuations in interest
rates. When a Portfolio writes an interest rate floor, it agrees to make
periodic interest payments based on a notional principal amount to the
extent that a specified interest index falls below a specific interest rate
in exchange for the premium received. When a Portfolio writes an interest
rate floor the premium received by the Portfolio is recorded as a liability
and is amortized to interest income over the life of the agreement. Interest
rate floors are marked-to-market daily based on quotations from market
makers and the change, if any, is recorded as unrealized appreciation or
depreciation in the Statement of Operations. Periodic payments of interest,
if any, are reported as reductions to interest income in the Statement of
Operations. Realized gains or losses from these agreements are disclosed in
the Statement of Operations.
Because there is no organized market for these agreements, the value
reported in the
- - --------------------------------------------------------------------------------
16
<PAGE> 19
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
Statement of Net Assets may differ from that which would be realized in the
event the Portfolio terminated its position in the agreement. Entering into
these agreements involves, to varying degrees, elements of interest rate and
market risk in excess of the amount recognized in the Statement of Net
Assets. Such risk involves the possibility that there is no liquid market
for these agreements, and that there may be adverse changes in interest
rates and unfavorable changes in the price of the security or index
underlying these transactions.
7. FOREIGN EXCHANGE AND FORWARD FOREIGN CURRENCY CONTRACTS: The books and
records of the Fund are maintained in U.S. dollars. Foreign currency amounts
are translated into U.S. dollars at the bid prices of such currencies
against U.S. dollars quoted by a bank. Net realized gains (losses) on
foreign currency transactions represent net foreign exchange gains (losses)
from forward currency exchange contracts, disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between the amount of investment
income and foreign withholding taxes recorded on a Portfolio's books and the
U.S. dollar equivalent amounts actually received or paid.
A forward foreign currency contract is an agreement between two parties to
buy or sell currency at a set price on a future date. The Advisory Foreign
Fixed Income Portfolio may enter into forward foreign currency exchange
contracts to protect securities and related receivables and payables against
future changes in foreign exchange rates. Fluctuations in the value of such
contracts are recorded as unrealized appreciation (depreciation). Realized
gains or losses, which are disclosed in the Statement of Operations, include
net gains or losses on contracts which have been terminated by settlements.
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and are
generally limited to the amount of unrealized gain on the contract (if any)
at the date of default. Risks may also arise from unanticipated movements in
the value of the foreign currency relative to the U.S. dollar.
8. DELAYED DELIVERY COMMITMENTS: Each Portfolio may purchase or sell securities
on a when-issued or forward commitment basis. Payment and delivery may take
place a month or more after the date of the transaction. The price of the
underlying securities and the date when the securities will be delivered and
paid for are fixed at the time the transaction is negotiated. Collateral
consisting of liquid, high-grade debt securities or cash is maintained in an
amount at least equal to these commitments.
9. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Advisory Foreign Fixed
Income Portfolio and the Advisory Mortgage Portfolio will normally
distribute substantially all of their net investment income to shareholders
in the form of quarterly and monthly dividends, respectively. Net realized
capital gains are distributed at least annually. The amount and character of
income and gains to be distributed are determined in accordance with income
tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions.
10. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities sold.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recognized on the accrual basis.
Discounts and premiums on securities purchased are amortized over their
respective lives. Most expenses of the Fund can be directly attributed to a
portfolio. Expenses which can not be directly attributed are apportioned
among the portfolios on the basis of their relative net assets. "Other
Expenses", as presented in the Statement of Operations, are mainly
comprised of registration and audit fees.
- - --------------------------------------------------------------------------------
17
<PAGE> 20
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
B. INVESTMENT ADVISORY FEE: Under the terms of an Investment Advisory
Agreement, the Portfolios pay Miller Anderson & Sherrerd, LLP ("MAS" or "the
Adviser") for investment advisory services performed at a fee calculated by
applying a quarterly rate based on an annual percentage rate of 0.375% of the
Portfolio's average daily net assets for the quarter.
Until further notice, MAS has voluntarily agreed to waive its advisory fees.
On June 29, 1995, Miller Anderson & Sherrerd, LLP announced that it had agreed
to be acquired by Morgan Stanley Asset Management Holdings, Inc. (an indirect
wholly owned subsidiary of Morgan Stanley Group, Inc.) either alone or together
with one or more affiliates. In accordance with the provisions of the
Investment Company Act of 1940, as amended, on October 6, 1995, the
shareholders of MAS Funds, by affirmative vote of the majority of the
outstanding shares of each Portfolio of the Fund, approved a new Investment
Advisory Agreement between the Fund and the restructured MAS effective upon the
completion of the transaction. The acquisition is scheduled to be completed on
or about November 30, 1995.
C. ADMINISTRATION FEE: MAS serves as Administrator to the Fund pursuant to an
Administration Agreement. Under the agreement, MAS receives an annual fee
accrued daily and payable monthly, of 0.08% of each of the Portfolios of the
Fund's average daily net assets. This fee and various miscellaneous
administrative expenses not included in this fee, such as payments to security
pricing vendors, are included as Administrative Fees in the Statement of
Operations of each Portfolio. Effective September 1, 1995, Chase Global Funds
Services Company, (until September 1, 1995, known as Mutual Funds Service
Company), serves as Transfer Agent to the Fund and provides fund accounting and
other services pursuant to a sub-administration agreement with MAS.
D. PORTFOLIO INVESTMENT ACTIVITY:
1. PURCHASES AND SALES OF SECURITIES. For the period ended September 30, 1995,
purchases and sales of investment securities other than short-term
investments were:
<TABLE>
<CAPTION>
(000)
-------------------------
Portfolio Purchases Sales
- - -------------------------------------------------------------
<S> <C> <C>
Advisory Foreign
Fixed Income $ 647,412 $ 318,614
Advisory Mortgage 2,587,656 1,147,517
</TABLE>
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION). At
September 30, 1995, cost and unrealized appreciation (depreciation) of
securities for Federal income tax purposes were:
<TABLE>
<CAPTION>
(000)
-----------------------------------------------
Portfolio Cost Appreciation Depreciation Net
- - -------------------------------------------------------------------
<S> <C> <C> <C> <C>
Advisory Foreign
Fixed Income $ 488,976 $ 16,353 $ (1,008) $15,345
Advisory Mortgage 1,763,321 20,977 (792) 20,185
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS. Under the terms of the forward foreign
currency contracts open at September 30, 1995, the Advisory Foreign Fixed
Income Portfolio is obligated to deliver or receive currency in exchange for
U.S. dollars as indicated in the following table:
<TABLE>
<CAPTION>
(000)
--------------------------------------------------------------
Currency In Net Unrealized
to Exchange Settlement Appreciation
Deliver For Date Value (Depreciation)
------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
Purchases
US$ 16,761 DM 24,330 10/24/95 US$17,047 US$ 286
17,323 DM 25,250 11/6/95 17,707 384
22,635 SK 166,305 11/22/95 23,893 1,258
3,464 FF 16,990 12/27/95 3,447 (17)
-----------
US$ 1,911
-----------
Sales
FF 16,990 US$ 3,466 10/4/95 US$ 3,451 US$ 15
DM 4,879 3,434 10/4/95 3,415 19
NG 37,732 24,283 10/10/95 23,603 680
FF 155,140 32,009 10/11/95 31,509 500
DK 3,925 717 10/18/95 708 9
DM 93,550 68,012 10/24/95 65,561 2,451
DM 56,340 40,885 11/6/95 39,508 1,377
DM 43,130 30,642 11/9/95 30,249 393
FF 251,740 50,997 11/17/95 51,102 (105)
FF 36,100 7,305 11/17/95 7,328 (23)
SK 166,305 22,462 11/22/95 23,893 (1,431)
DK 49,170 8,598 11/22/95 8,880 (282)
C$ 60,560 44,700 12/5/95 45,023 (323)
FF 37,525 7,437 12/7/95 7,615 (178)
ECU 1,420 1,817 12/12/95 1,840 (23)
FF 170,675 34,543 12/27/95 34,629 (86)
-----------
US$ 2,993
-----------
NET US$ 4,904
-----------
C$ -- Canadian Dollar
DK -- Danish Krone
ECU -- European Currency Unit
FF -- French Franc
DM -- German Mark
NG -- Netherlands Guilder
SK -- Swedish Krona
</TABLE>
- - --------------------------------------------------------------------------------
18
<PAGE> 21
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
4. FUTURES CONTRACTS. At September 30, 1995, the Portfolios had the following
futures contracts open:
<TABLE>
<CAPTION>
Initial Unrealized
Aggregate Appreciation/
Number of Face Value Expiration (Depreciation)
Contracts (000) Date (000)
--------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
Purchases:
ADVISORY FOREIGN
FIXED INCOME
Canada 10 yr.
Government
Bond 875 C$ 90,867 Dec-95 US$2,340
French 10 yr.
Government Bond 736 FF 428,175 Dec-95 (908)
German 10 yr.
Government Bond 275 DM 65,446 Dec-95 37
ADVISORY MORTGAGE
U.S. Treasury
Long Bond 375 US$ 42,059 Dec-95 818
Sales:
ADVISORY MORTGAGE
90 day
Eurodollar 308 US$ 72,223 Dec-95- (175)
Sept-98
U.S. Treasury
5 yr. Note 858 US$ 92,131 Dec-95 (3)
U.S. Treasury 10
yr. Note 1,205 US$ 132,588 Dec-95 (273)
C$ -- Canadian Dollar
FF -- French Franc
DM -- German Mark
</TABLE>
5. INTEREST RATE FLOOR AGREEMENTS. At September 30, 1995 the Advisory Mortgage
Portfolio had the following open Written Amortizing Interest Rate Floor
Agreements:
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
- - ------------------------------------------------------------
<S> <C> <C>
$ 1,940 Agreement with Barclays Bank plc $ 293
terminating November 15, 2009, to pay
9.60% minus 1 month LIBOR on notional
amount amortizing monthly as long as 1
month LIBOR is below 9.60%. (Amortized
Premium $248)
772 Agreement with Bankers Trust Company 114
terminating on September 15, 2009 to pay
9.45% minus 1 month LIBOR on notional
amount amortizing monthly as long as 1
month LIBOR is below 9.45%. (Amortized
Premium $108)
1,542 Agreement with Bankers Trust Company 146
terminating on November 1, 1999 to pay
9.25% minus 1 month COFI on notional
amount amortizing monthly as long as 1
month COFI is below 9.25%. (Amortized
Premium $134)
24,850 Agreement with Morgan Guaranty Trust 2,992
Company of New York terminating on July
15, 2005 to pay 9.00% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 9.00%. (Amortized Premium $2,675)
</TABLE>
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
- - ------------------------------------------------------------
<S> <C> <C>
$14,400 Agreement with Morgan Guaranty Trust $ 1,506
Company of New York terminating on
February 25, 2000 to pay 8.61% minus 1
month LIBOR on notional amount as long
as 1 month LIBOR is below 8.61%.
(Amortized Premium $1,643)
2,623 Agreement with Bankers Trust Company 187
terminating on November 25, 1999 to pay
8.25% minus 1 month COFI on notional
amount amortizing monthly as long as 1
month COFI is below 8.25% (Amortized
Premium $164)
46,883 Agreement with Bankers Trust Company 4,388
terminating on June 25, 2005 to pay
8.10% minus 1 month LIBOR on notional
amount amortizing monthly as long as 1
month LIBOR is below 8.10%. (Amortized
Premium $3,426)
95,030 Agreement with Morgan Guaranty Trust 5,265
Company of New York terminating on June
15, 2005 to pay 8.00% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.00%. (Amortized Premium $5,921)
25,723 Agreement with Morgan Guaranty Trust 2,307
Company of New York terminating on May
15, 2008 to pay 8.00% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.00%. (Amortized Premium $1,698)
19,440 Agreement with Bankers Trust Company 3,764
terminating on February 15, 2015 to pay
7.80% minus 1 month LIBOR on notional
amount amortizing monthly as long as 1
month LIBOR is below 7.80%. (Amortized
Premium $3,565)
-------
$20,962
------
</TABLE>
E. POST OCTOBER LOSSES. Under current tax law, certain capital and net foreign
exchange losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the fiscal year
ended September 30, 1995, the Advisory Foreign Fixed Income Portfolio may elect
to defer losses occurring between November 1, 1994 and September 30, 1995 in
the amount of $1,323,000.
- - --------------------------------------------------------------------------------
19
<PAGE> 22
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
F. EXPENSE OFFSETS: Custodian Fees have been adjusted to include expense
offsets for custodian balance credits of $59,000 and $79,000 for the Advisory
Foreign Fixed Income and the Advisory Mortgage Portfolios, respectively.
G. OTHER. At September 30, 1995, the Advisory Foreign Fixed Income Portfolio's
net assets were substantially comprised of foreign currency denominated
securities and currency. Changes in currency exchange rates will affect the
value of and investment income from such securities and currency.
At September 30, 1995 the Advisory Foreign Fixed Income Portfolio had one
shareholder with an aggregate percentage of ownership of 10% or greater.
- - --------------------------------------------------------------------------------
20
<PAGE> 23
REPORT OF INDEPENDENT ACCOUNTANTS
- - --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
MAS Funds
In our opinion, the accompanying statements of net assets (excluding Standard &
Poor's ratings) and the related statements of operations and of changes in net
assets and the selected per share data and ratios present fairly, in all
material respects, the financial position of the Advisory Foreign Fixed Income
Portfolio and the Advisory Mortgage Portfolio, each a portfolio of the MAS
Funds (hereafter referred to as the "Fund"), at September 30, 1995, and the
results of their operations, the changes in their net assets and their selected
per share data and ratios for the periods indicated in conformity with
generally accepted accounting principles. These financial statements and
selected per share data and ratios (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at September 30, 1995 by correspondence with the custodians and
brokers and the application of alternative procedures where broker
confirmations were not received, provide a reasonable basis for the opinion
expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
November 21, 1995
- - --------------------------------------------------------------------------------
21
<PAGE> 24
- - --------------------------------------------------------------------------------
SHAREHOLDER MEETING: (UNAUDITED)
At a special shareholder meeting held on February 21, 1995, shareholders of the
MAS Advisory Mortgage Portfolio voted on the following proposal.
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
FOR AGAINST VOTES
----- ------- -------
<S> <C> <C> <C>
1. To amend the investment objective of the Advisory Mortgage
Portfolio. 10 0 0
====== ======= ========
</TABLE>
- - --------------------------------------------------------------------------------
22
<PAGE> 25
- - --------------------------------------------------------------------------------
23
<PAGE> 26
PRINTED IN U.S.A.
THIS REPORT HAS BEEN PREPARED FOR
SHAREHOLDERS AND MAY BE DISTRIBUTED TO
OTHERS ONLY IF PRECEDED OR ACCOMPANIED BY A
CURRENT PROSPECTUS.
MILLER ANDERSON & SHERRERD, LLP
INVESTMENT ADVISER (610) 940-5000
MAS FUNDS (800) 354-8185
ONE TOWER BRIDGE - WEST CONSHOHOCKEN, PA 19428-2899
