<PAGE>
- ---------------------
SEMI-ANNUAL
- ---------------------
REPORT
- ---------------------
Aggressive Growth Fund
Asset Allocation Fund
California Tax-Free
Bond Fund
California Tax-Free
Income Fund
Corporate Stock Fund
Diversified Income Fund
Ginnie Mae Fund
Growth and Income Fund
Short-Intermediate
U.S. Government
Income Fund
U.S. Government
Allocation Fund
JUNE 30, 1996
<PAGE>
TABLE OF CONTENTS
LETTER TO SHAREHOLDERS iii
MANAGER'S COMMENTS
Aggressive Growth Fund 1
Asset Allocation Fund 6
California Tax-Free Bond Fund 11
California Tax-Free Income Fund 15
Corporate Stock Fund 19
Diversified Income Fund 23
Ginnie Mae Fund 27
Growth and Income Fund 31
Short-Intermediate U.S. Government Income Fund 34
U.S. Government Allocation Fund 37
PORTFOLIOS OF INVESTMENTS
Master Investment Trust -- Capital Appreciation Master Portfolio 40
Master Investment Trust -- Asset Allocation Master Portfolio 48
California Tax-Free Bond Fund 64
California Tax-Free Income Fund 77
Master Investment Trust -- Corporate Stock Master Portfolio 81
Diversified Income Fund 96
Ginnie Mae Fund 101
Growth and Income Fund 104
Short-Intermediate U.S. Government Income Fund 109
Master Investment Trust -- U.S. Government Allocation Master Portfolio 111
STAGECOACH FUNDS
Statement of Assets and Liabilities 113
Statement of Operations 116
Statements of Changes in Net Assets 119
Financial Highlights 126
Notes to Financial Statements 140
MASTER INVESTMENT TRUST
Statement of Assets and Liabilities 151
Statement of Operations 153
Statements of Changes in Net Assets 155
Notes to Financial Statements 157
LIST OF ABBREVIATIONS 160
STAGECOACH FUNDS:
-------------------------------------------------------------------------
- - ARE NOT FDIC INSURED
- - ARE NOT GUARANTEED BY WELLS FARGO BANK [NO FDIC]
- - ARE NOT DEPOSITS OR OBLIGATIONS OF WELLS FARGO
BANK
- - INVOLVE INVESTMENT RISK, INCLUDING POSSIBLE LOSS
OF PRINCIPAL
---------------------
i
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ii
<PAGE>
LETTER TO SHAREHOLDERS
- ------------------
TO OUR SHAREHOLDERS:
CROSSCURRENTS IN THE EQUITY AND FIXED-INCOME MARKETS
The equity and fixed-income markets diverged during the first half of 1996, with
fixed-income securities in a broad decline and equities continuing 1995's rally
into June before losing ground.
For equities, the foundations for the 10.07% first-half gain posted by the S&P
500 Index were economic strength and robust corporate profits. Small-
capitalization and growth stocks, fueled in part by record money flows into
equity mutual funds, produced even higher returns.
On the fixed-income side, concerns that "too much strength" in the economy would
increase inflation have pushed long-term interest rates up about a full
percentage point since the end of 1995, sending 30-year Treasury bonds over the
7.00% mark in June. The jump in yields has generated a first-half negative total
return for bonds with maturities over four years, according to the Lehman
Brothers Aggregate Bond Index.
THE FIXED-INCOME MARKET
Interest rates have been propelled higher by worries over increasing wages, the
economy's strengths, and the Federal Reserve's (the "Fed") threatened shift to
credit tightening. If these concerns prove valid, the Fed's first hike in the
federal funds target rate (now at 5.25%) in seventeen months could come before
the next Federal Open Market Committee meeting on August 20, with another
quarter percentage point increase in the rate at the August meeting itself.
Typically, when the Fed raises rates, the resale value of existing bonds and
notes is reduced, curtailing the total return of fixed-income funds. We believe,
however, that the expectation that the Fed will raise the target rate has
prepared the market so that if the actual increase does materialize, only
moderate across-the-board interest-rate increases will be seen with two-to-five
year rates showing the largest increase. We also believe that interest rates
should begin to move lower by late 1996 as moderating economic growth eases
inflation fears.
Overall, we believe growth ultimately should slow to a more moderate and
sustainable 2 to 3% in response to the first half's rising interest rates,
weakened household finances and more cautious lending practices.
Early in 1996, after the initial optimism that the Fed would lower rates
evaporated, fixed-income investors began to fear a repeat of 1994's broad bear
market, when the yield on 30-year Treasury bonds soared more than 180 basis
points amid successive rounds of monetary tightening. If the Fed does begin to
tighten credit this year, we believe that the increase in bond yields will not
be as significant as 1994's. There are several reasons for this belief, among
them the fact that long-term interest rates have already risen more than a
percentage point this year, the fact that the federal
---------------------
iii
<PAGE>
LETTER TO SHAREHOLDERS
funds target rate is higher now than before 1994's decline, the fact that bank
credit standards are being tightened, and the belief that the current growth
cycle has run its course and will naturally slow the economy. Therefore, we
believe the risk of a substantial increase in interest rates is low.
THE EQUITY MARKET
The stock market's rise so far in 1996 has been driven by three key elements:
strong corporate profits, attractive stock prices relative to dividends paid,
and a positive flow of money into the market. A review of these factors suggests
that the market may now slow down, although the backdrop remains positive.
Profit growth has been the underlying support for stock prices. Corporate profit
growth is forecast to continue through this year and into the next, although the
rate of growth is expected to slow from double to single digits. As expectations
for earnings growth moderate in the short run, stock prices are likely to
adjust. Nevertheless, companies demonstrating the ability to sustain
profitability and increase earnings over the long run should be rewarded with
higher stock prices.
Falling interest rates and rising profits have helped valuations remain
attractive over the previous eighteen months. In the more recent environment of
rising interest rates, however, price-to-earnings (P/E) ratios, which measure
the cost against return on a stock, have risen to the high side of the typical
range. Other valuation measures, such as price-to-book value and dividend yield,
may also be considered higher than average by historical standards. Barring an
unexpectedly sharp rise in interest rates, a consolidation period in the market
would allow valuations to improve and provide the base for future advances aided
by continued earnings growth.
Increased cash flows into equities are a third component of the market's recent
rise. Net purchases of equity mutual funds have been at record levels since the
start of the year, according to Investment Company Institute figures, spurring
demand for stocks while the supply has become more limited in light of increased
mergers and acquisitions and stock repurchase plans.
A LONG-TERM FOCUS
In summary, the markets could simply move sideways through the coming months as
expectations for the economy, interest rates, and profit growth moderate.
Increased volatility may result initially, but this period could also be
characterized by a slowdown in activity as a lack of clear direction leads to
investor indecision. During these "summer doldrums," investors have a chance to
implement core investment ideas at reasonable prices and valuations. It is
critical not to shy away from the market's longer-term potential. For example,
the jump in interest rates has provided an opportunity to capture additional
income through the bond sector while maintaining moderate risk. Although the
financial markets are not without risks
- ---------------------
iv
<PAGE>
LETTER TO SHAREHOLDERS
and uncertainties, today's opportunities can provide the foundation of a long-
term investment plan.
A COMMITMENT TO INVESTMENT QUALITY
We believe that a conservative, straightforward approach is the most effective
long-term investment strategy, and we offer a variety of Stagecoach Funds to
meet a broad range of investment goals. On the following pages you will find
reports from the investment adviser and portfolio managers for each of the
Funds, offering insight into individual fund performance and strategies,
portfolio holdings and other helpful information.
We appreciate your participation in the Stagecoach Funds. We will continue
working diligently to help you realize your financial goals.
STAGECOACH FAMILY OF FUNDS, AUGUST 1996
"STANDARD & POOR'S-REGISTERED TRADEMARK-," "S&P-REGISTERED TRADEMARK-," AND "S&P
500-REGISTERED TRADEMARK-" ARE REGISTERED TRADEMARKS OF MCGRAW-HILL, INC. 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 INVESTMENT COMPANY INSTITUTE IS THE NON-PROFIT NATIONAL ASSOCIATION OF THE
INVESTMENT COMPANY INDUSTRY. IT IS MEMBER SUPPORTED AND CONSISTS OF OVER 5700
OPEN-END INVESTMENT COMPANY ("MUTUAL FUNDS") MEMBERS.
---------------------
v
<PAGE>
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- ---------------------
vi
<PAGE>
AGGRESSIVE GROWTH FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE AGGRESSIVE GROWTH FUND FOR THE SIX-MONTH
PERIOD ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of 16.23% for Class A shares as of
June 30, 1996. The return for Class B shares for the same period was 15.82%.
These are ahead of the 10.07% year-to-date return for the S&P 500 Index. (These
return figures exclude sales charges. The Aggressive Growth Fund invests in the
Capital Appreciation Master Portfolio.)
THE FUND MANAGED TO AVOID UNTIL MID-JUNE THE MARKET VOLATILITY THAT MARKED THE
FIRST HALF OF 1996. WHAT HAPPENED THEN AND WHAT STEPS WERE TAKEN?
Volatility works both ways. Rather than saying that the Fund "avoided" the
volatility, we could say that the Fund was its beneficiary. Five of the Fund's
top six holdings returned over 20% for the first six months of 1996, led by
Intel which returned 50%. That was a benefit. Later, after the Fund did give
back some of its recent gains in June, we took advantage of the decline in the
overall market to purchase shares in companies at very attractive prices. Among
the companies added were Cardiovascular Dynamics and U.S. Robotics.
Several factors contributed to the correction that began in June. The record
flow of money into equity mutual funds, estimated by the Investment Company
Institute at $138.5 billion for the first six months of 1996, slowed just as
several technology companies reported disappointing second-quarter earnings. The
negative reports increased pressure on the technology sector and helped cause
the broad NASDAQ decline.
WHAT SECTORS DID WELL FOR THE FUND DURING THE PERIOD?
Technology once again led the way with many stocks appreciating over 20%. The
energy sector was also very strong, largely because the price of oil and gas
exceeded most analysts' expectations.
WHAT SECTORS DO YOU LOOK TO FOR THE REST OF THE YEAR?
Our strategy is not so much to invest in sectors, but to buy strong companies
with an earnings growth rate exceeding 15% and a low price-to-earnings ratio
(P/E) indicating potentially strong future growth. We continue to find
investment opportunities that meet our criteria in the technology and healthcare
sectors. In fact, the recent market correction has increased the number of
opportunities. We also plan to look at companies in the financial sector in
anticipation of its rebounding in the second half.
IN ADDITION TO THE GROWTH RECORD AND THE P/E RATIO, WHAT ELSE DO YOU LOOK AT
BEFORE BUYING A PARTICULAR STOCK?
There are many factors we consider before buying stock issues. One key factor is
a company's management. No company will become a core holding in the portfolio
until we have met with
---------------------
1
<PAGE>
AGGRESSIVE GROWTH FUND
management. We look at the managers' experience, the depth of the teams they
have assembled, and the amount of the company's stock they own. We regard stock
ownership as an important indicator of how "shareholder-driven" management is
likely to be. In addition to management, we look for companies with a dominant
market share, technological leadership, a strong balance sheet, and some
competitive advantage over other companies in their industry.
WOULD YOU EVER ASSUME A "DEFENSIVE" POSITION IF YOU EXPECTED A MARKET DOWNTURN
OR IS THIS FUND AGGRESSIVE IN ALL CIRCUMSTANCES?
We buy companies which meet the criteria we have described and that are selling
at reasonable prices. If we are unable to find this type of company, then we
would have a higher percentage of our holdings in cash -- but this is a rare
occurrence. Research has shown that, in the long-term, it is a better strategy
to remain as fully invested as possible to take advantage of market advances
rather than to attempt to time downturns.
INITIAL PUBLIC OFFERINGS (IPOS) HAVE BEEN IN THE NEWS A LOT LATELY. HAS THE FUND
BOUGHT ANY IPOS? WHAT ARE SOME OF THE ADVANTAGES AND DISADVANTAGES IN BUYING
IPOS?
The Fund may participate in IPOs, but they have not substantially affected the
Fund's performance. The key with IPOs is not to abandon your criteria in the
hope of making a quick profit. Any IPO we would contemplate would have to meet
the requirements, where applicable, that we set out for any company we consider
buying. The potential disadvantage in purchasing an IPO or "hot issue" is that
it is easy for investor excitement to force a stock's price well beyond what the
company's earnings can support. The definition of "aggressive," at least in this
case, is not to dive in and hope for the best.
HOW HAS THE CONCERN ABOUT THE FEDERAL RESERVE RAISING THE FEDERAL FUNDS TARGET
RATE AFFECTED THE STOCK MARKET?
A change in interest rates can have a great deal of impact on the stock market.
A rapid increase in rates could make bonds more attractive relative to the risks
involved for some investors and siphon money from the equity to the bond market.
Rate changes could also affect the price that investors are willing to pay per
dollar of earnings (or the P/E ratio). Recently, interest rates have been very
volatile due to uncertain economic conditions, principally strong economic
growth and growing employment, both of which have ignited inflation fears.
WHAT ADVICE WOULD YOU HAVE FOR POTENTIAL SHAREHOLDERS SEDUCED BY THE STRONG
EQUITY RETURNS OVER THE PAST YEAR AND A HALF? WHAT SHOULD SHAREHOLDERS EXPECT?
The previous year and a half through May 1996 has seen extremely strong equity
returns. It has been an exceptional period and it is not reasonable to expect
these returns to continue unabated. Investors should choose funds which suit
their needs, risk tolerance and
- ---------------------
2
<PAGE>
AGGRESSIVE GROWTH FUND
investment objectives. Generally, the funds which have the highest returns also
have the greatest risks. Greater risks mean greater potential losses. Investors
who choose to accept greater risk have to be prepared to accept bad news along
with the good. This is an aggressive growth fund; investors should expect it to
be volatile. But, as we said earlier, volatility works both ways, and over the
long term (3-5 years) we expect, but can not guarantee, investors to be rewarded
for assuming this level of risk.
---------------------
3
<PAGE>
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- ---------------------
4
<PAGE>
AGGRESSIVE GROWTH FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 3/4/96
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR INCEPTION
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------
With 4.5% Maximum Sales Charge 23.26% 23.71% 26.46%
- --------------------------------------------------------------------------------------
Without Sales Charge 29.04% 25.63% 28.15%
- --------------------------------------------------------------------------------------
</TABLE>
CLASS B SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 3/4/96
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Contingent Deferred Sales Charge(1) 25.20% 24.30%
- --------------------------------------------------------------------------------------
Without Contingent Deferred Sales Charge 28.20% 24.52%
- --------------------------------------------------------------------------------------
(1)Assumes redemption on 6/30/96
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Aggressive Growth Fund is a feeder fund of the Master Investment Trust
Capital Appreciation Master Portfolio which in turn invests in individual
securities. In this case, the Master Investment Trust Capital Appreciation
Master Portfolio was created by existing assets of the Overland Express
Strategic Growth Fund (the "Predecessor Fund"). Performance figures for the
Class A and Class B shares reflect the performance of the Class A and Class D
shares of the Predecessor Fund, respectively, for periods prior to March 4, 1996
when the Aggressive Growth Fund commenced operations. References to the
investment policy of the Fund are understood to be references to the Master
Portfolio.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
5
<PAGE>
ASSET ALLOCATION FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE ASSET ALLOCATION FUND FOR THE SIX-MONTH PERIOD
ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of 3.59% for Class A shares as of
June 30, 1996. This is below 1995's mid-way mark for Class A shares of 17.52%.
The return for Class B shares for the same period was 3.32%. (These return
figures exclude sales charges. The Asset Allocation Fund invests in the Asset
Allocation Master Portfolio.)
THAT'S FAIRLY MODEST COMPARED TO 1995. WHY?
The Asset Allocation Fund can invest in equities, bonds and cash. The returns
for each of those three classes for the first six months of 1996 were modest
compared to the first six months of 1995. Equities, represented by the S&P 500
Index, returned 10.07% through June of 1996 compared to 20.21% for the same
period last year; bonds were down 7.57% compared to an increase of 18.89%,
according to the Lehman Brothers Aggregate Bond Index; and cash returned 2.76%
compared to 3.05%, compared to the IBC/Dohoghue Money Fund Average. In addition
to being more modest, the returns for each Class were relatively steady
month-to-month. When this is the case there is little opportunity to shift
across asset classes and capture value. In general, when the asset classes
remain stable relative to one another, it is unlikely that the Fund will be able
to exceed the return of its best-performing asset class.
WHAT IS YOUR OUTLOOK FOR THE REMAINDER OF 1996?
As of the end of June, the asset allocation model indicated that equities were
modestly overvalued relative to bonds, and that bonds were fairly valued
relative to cash. What we mean by the phrase "valued relative to" is that in
consideration of the risk and volatility inherent in each asset class, the
expected returns either justify or fail to justify assuming that risk. For
example, if equities were expected to return 10% over a given period, whereas
bonds were expected to yield 9%, the slightly higher return for equities might
not be enough reward to compensate for the greater risks involved. Given the
model's assessment at the end of June, the current allocation of 50% stocks to
50% bonds is likely to remain unchanged for the immediate future. A significant
change in any of the markets, however, could alter this outlook at any time.
- ---------------------
6
<PAGE>
ASSET ALLOCATION FUND
WHAT IS THE SECTOR BREAKDOWN FOR THE STOCK PORTION OF THE FUND?
The stock portion of the Fund is the S&P 500 Index. The breakdown is as follows:
INDUSTRY SECTOR BREAKDOWN FOR
S&P 500 AS OF 06/30/96
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Basic Materials 5.47%
Capital Goods 8.63%
Consumer Cyclicals 13.42%
Consumer Staples 13.06%
Energy 8.71%
Finance 13.49%
Healthcare 10.06%
Technology 16.95%
Transportation 1.60%
Utilities 8.61%
</TABLE>
DURING 1994 AND 1995 EQUITY AND FIXED-INCOME RETURNS SEEMED TO TRACK TOGETHER --
BOTH DOWN, THEN BOTH UP. HAS THERE BEEN A FUNDAMENTAL CHANGE IN THE RELATIONSHIP
BETWEEN THESE TWO CLASSES? HOW HAVE THEY DONE RELATIVE TO ONE ANOTHER IN 1996?
No, we do not believe there has been a fundamental change. In fact, the equity
and fixed-income markets often move together as they did in 1994 and 1995. They
are not intrinsically linked, however, and often differ significantly. 1996
provides a case in point. We have seen both an increase in volatility and a
decrease in the tracking between stocks and bonds. While equities moved steadily
upward throughout most of the first half of 1996, bonds moved steadily in the
opposite direction, providing a distinct counterpoint to the situation over the
previous two years.
SPEAKING OF THE DECLINE IN BONDS, THE ECONOMY SEEMS TO BE GROWING AT A STRONG
PACE WITHOUT IGNITING INFLATION. SO WHY THE CONCERN IN THE FIXED-INCOME MARKETS?
What affects the return from bonds is not only the current rate of inflation but
also the expected future rate of inflation. If inflation continues it will erode
the value of the bonds investors hold. Although the current rate of inflation
has remained fairly stable, investors are increasingly concerned that the
current pace of job growth and economic growth will spark an increase in
inflation.
CAN YOU DISCUSS THE STRATEGY OF THE ASSET ALLOCATION FUND RELATIVE TO ITS
COMPONENT ASSET CLASSES (STOCKS, BONDS AND CASH)? DOES THE FUND TRY TO FINISH
AHEAD OF ALL THREE CLASSES BY SOME TIMELY SWITCHING BACK AND FORTH?
Surprisingly, the Asset Allocation Fund does not expect to finish ahead of its
component asset classes each year -- something that would be very difficult to
do and which would generally be possible only in a volatile year. The model also
does not seek to "time" the market. The best way of explaining this is to
imagine that the asset allocation model is itself an asset class like stocks,
bonds and cash, giving us a total of four. By pursuing its disciplined
allocation strategy based on balancing yield projections versus risk, the model
will most
---------------------
7
<PAGE>
ASSET ALLOCATION FUND
often come in second among the four, with fewer first and third place finishes
than the others. In contrast, equities have outperformed both bonds AND cash in
only six of the last 17 years, and have even been in last place in three of
those years. By usually outperforming two of the three other component asset
classes, less frequently outperforming all three, and never underperforming all
three, the Asset Allocation Fund seeks to achieve a cumulative first place
position in the long run.
WHAT DRIVES THIS DISCIPLINED ASSET ALLOCATION STRATEGY? WHAT KIND OF INFORMATION
IS USED IN BUILDING UP THE MODEL'S FORECASTS?
The main features of the strategy are consensus-based forecasts of intrinsic
market value. These include, on the equity side, a DIVIDEND DISCOUNT MODEL that
determines the price at which a stock should be selling based on the discounted
value of projected future dividend payments; for bonds, the current
yields-to-maturity; and for the third asset class, the current cash yields. The
allocations are based on the spread between expected returns and expected risks
and are tailored to the Fund's risk level. The model provides a quantitative,
disciplined, risk-controlled approach to tactical asset allocation.
SINCE THE ADDITION OF CASH AS AN ASSET CLASS IN THE 1980S, THE ASSET ALLOCATION
MODEL HAS BEEN REFINED OCCASIONALLY. ARE ANY NEW CHANGES BEING CONSIDERED?
Changes over the last ten years have been more in the nature of "fine tuning"
than an overhaul. There have been refinements to the dividend discount model
mentioned above, in the way we estimate cash risk, and in the calculation of
real cash yields. The newest refinement, to be made over the next quarter, is
the development of an aggregate measure of corporate insider evaluations of
market value. Let us explain that.
Many stock traders believe that a measure of the relative value of a certain
stock is the trading activity of that corporation's executives and other
"insiders." In other words, if the executives at Company X are selling their
stock, it suggests that they believe the company's stock is worth less than its
current price. If they buy stock, it suggests the opposite -- that future
profits, in the opinion of those who should have the most realistic information
about the company's finances, will justify an even higher stock price. While
this sort of information can influence an investor's decision regarding an
individual issue, it has not had a real application to asset allocation using
index funds. What we have done is quantify a broad base of this kind of
"insider" activity and added it to our stock valuation calculations. This is not
a major change in the model, but it is a new way of using information.
- ---------------------
8
<PAGE>
ASSET ALLOCATION FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 11/13/86
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR 5 YEAR INCEPTION
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------
With 4.5% Maximum Sales Charge 8.73% 9.33% 12.07% 10.85%
- ----------------------------------------------------------------------------------------
Without Sales Charge 13.87% 11.01% 13.11% 11.38%
- ----------------------------------------------------------------------------------------
</TABLE>
CLASS B SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/1/95
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Contingent Deferred Sales Charge(1) 10.19% 19.09%
- --------------------------------------------------------------------------------------
Without Contingent Deferred Sales Charge 13.17% 20.31%
- --------------------------------------------------------------------------------------
(1)Assumes redemption on 6/30/96
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Asset Allocation Fund commenced operations on January 1, 1992, as successor
to the Asset Allocation Fund of the Wells Fargo Investment Trust for Retirement
Programs. The predecessor Fund's date of inception was November 13, 1986. The
performance figures shown include the performance of the predecessor Fund which
had the same investment objectives and strategies. Certain of the investment
restrictions of the Stagecoach Asset Allocation Fund differ somewhat from those
of the predecessor Fund.
The Fund seeks to achieve its investment objective by investing all of its
assets in the Master Investment Trust Asset Allocation Master Portfolio, which
has an identical investment objective as the Fund. Prior to April 29, 1996 the
Fund invested directly in portfolio of securities and not in the Master
Investment Trust Asset Allocation Master Portfolio. References to the investment
policies of the Fund are understood to be references to the investment policies
of the Master Portfolio.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
9
<PAGE>
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- ---------------------
10
<PAGE>
CALIFORNIA TAX-FREE BOND FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE CALIFORNIA TAX-FREE BOND FUND FOR THE
SIX-MONTH PERIOD ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return down 1.28% for Class A shares as of
June 30, 1996. This is below 1995's mid-way mark for Class A shares up 9.58%.
The return for Class B shares for the same period was down 1.53%. (These return
figures exclude sales charges.)
WHY WAS THE FIRST HALF OF 1996 SUCH A ROUGH PERIOD FOR BONDS? DID CALIFORNIA
LONGER-TERM ISSUES FARE BETTER OR WORSE THAN OTHER STATE'S BONDS?
As the year began, most bond traders assumed that the Federal Reserve Board was
going to lower the federal funds target rate again and allow the bond rally of
1995 to continue. Unfortunately, signs of unexpected strength in the economy,
including increased employment and real wages, soon ignited speculation that the
Fed would do the opposite. The market reacted negatively and posted broad
losses.
On the whole, California longer-term bonds appear to have performed better than
those of other states in the first half of 1996. This in part reflects an
improving economy in California, which has been catching up to the growth
experienced in other states over the past few years. Some of the increased
wealth created in the state has been finding its way into California bonds.
HOW DIRECT IS THE RELATIONSHIP BETWEEN INVESTOR CONFIDENCE IN A PARTICULAR
STATE'S ECONOMY AND THE RESALE VALUE OF ITS DEBT INSTRUMENTS? ARE EXTERNAL
FACTORS LIKE INFLATION MORE IMPORTANT?
Generally speaking, credit quality is very high in municipal bonds across the
country. As long as a state's economy is perceived to be strong, credit concerns
are minor and resale values generally are unaffected. A state with a growing
economy certainly enjoys greater investor confidence. Bad news, credit
downgrades, defaults, and so on, tend to reduce investor confidence, but these
are rare. For the most part, the same external factors such as inflation, Fed
policy or interest rates that generally influence bond prices, affect prices
across the board without regard to locality. Local economic factors should be
taken into account, but unless they are sharply divergent from the rest of the
country, general market factors are more important.
WHAT'S THE CONSENSUS ON THE CALIFORNIA ECONOMY?
The consensus on the California economy is that things are getting better. Tax
collections are improving, real estate values have stabilized or are starting to
rise again, and the state unemployment rate has been falling. While the state
---------------------
11
<PAGE>
CALIFORNIA TAX-FREE BOND FUND
budget had not been approved as the first half closed, there were no indications
that a long stalemate was going to develop as happened last year. In short,
investor confidence in California's credit worthiness should be high.
THE ORANGE COUNTY BANKRUPTCY HAS FINALLY WORKED ITS WAY THROUGH THE COURTS. HOW
HAS THE INVESTMENT COMMUNITY REACTED TO THE RESOLUTION? WILL THERE CONTINUE TO
BE REPERCUSSIONS FOR NON-ORANGE COUNTY ISSUES?
The resolution of the Orange County bankruptcy has been a plus for the
California bond market. All obligations were met and no principal was lost. The
resolution had been largely assumed by the market for months, however, so that
the actual announcement did not affect the market particularly. The demand and
credit quality of non-Orange County issues should not be affected by the
bankruptcy on an ongoing basis. For Orange County issues, however, the "risk"
premium -- the higher yield their bonds offer to overcome investor fears --
should gradually disappear over time. The market will determine when the county
has been fully forgiven.
THE ECONOMY SEEMS TO BE GROWING AT A STRONG PACE WITHOUT IGNITING INFLATION. SO
WHY ARE INVESTORS SO CONCERNED ABOUT INFLATION?
Inflation is a long-term problem which threatens to erode long-term profits. It
is always a concern on some level, but recent economic news, such as the
increased employment figures, suggests to some investors that the groundwork has
been laid for a new inflationary cycle -- even if the current rate is
acceptable. Some investors fear that the Fed will wait too long to tighten
short-term interest rates and that by the time inflation becomes obvious, it
will not be easy to stop.
THE FUND CAN PURCHASE SECURITIES WITH MATURITIES AS SHORT AS TWO YEARS. WHICH
DIRECTION DID YOU GO IN DURING THE BEGINNING OF 1996? WHY?
At the beginning of 1996, we were still bullish on the bond market, so we were
buying longer-term issues. Since early June, we have been neutral on the market
and expect to keep the Fund's weighted average maturity and duration, which
measures sensitivity to interest rates changes, in the intermediate range
throughout 1996.
- ---------------------
12
<PAGE>
CALIFORNIA TAX-FREE BOND FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/1/92
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR INCEPTION
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------
With 4.5% Maximum Sales Charge 1.77% 2.68% 5.97%
- --------------------------------------------------------------------------------------
Without Sales Charge 6.52% 4.27% 7.06%
- --------------------------------------------------------------------------------------
</TABLE>
CLASS B SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/1/95
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Contingent Deferred Sales Charge(1) 2.91% 9.08%
- --------------------------------------------------------------------------------------
Without Contingent Deferred Sales Charge 5.90% 10.35%
- --------------------------------------------------------------------------------------
(1)Assumes redemption on 6/30/96
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
13
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
- ---------------------
14
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE CALIFORNIA TAX-FREE INCOME FUND FOR THE
SIX-MONTH PERIOD ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of 0.56% as of June 30, 1996. This
is below 1995's mid-way mark of 5.10%. (These return figures exclude sales
charges.)
WHY WAS THE FIRST HALF OF 1996 SUCH A ROUGH PERIOD FOR FIXED-INCOME SECURITIES?
DID CALIFORNIA SHORT- TO INTERMEDIATE-TERM ISSUES FARE BETTER OR WORSE THAN
OTHER MUNICIPAL BONDS?
The year opened with a general expectation that the Federal Reserve Board would
lower the federal funds target rate. When that did not happen -- when, in fact,
Federal Reserve Chairman Allan Greenspan began to suggest that the economy was
speeding up and that a rate increase was possible -- the market reacted
negatively.
California issues, as shown by the Lehman Brothers Muni Index, did underperform
the general municipal market. In part, this underperformance was due to a large
amount of new California paper issued at lower rates throughout much of the
first quarter. This trend somewhat reversed itself toward the end of the second
quarter as concern about diminishing supply created a strong bid for California
paper.
THE ECONOMY SEEMS TO BE GROWING AT A STRONG PACE WITHOUT IGNITING INFLATION. SO
WHY ARE INVESTORS SO CONCERNED ABOUT INFLATION?
The effects of inflation are felt over time. The fact that the current rate of
inflation is under control does not mean that a year from now, or further down
the road, inflation won't be a problem. That's what's on the market's mind when
strong employment numbers and hourly wage increases are reported. Increased
employment and wages have in the past been harbingers of inflation.
HOW DIRECT IS THE RELATIONSHIP BETWEEN INVESTOR CONFIDENCE IN A PARTICULAR
STATE'S ECONOMY AND THE RESALE VALUE OF ITS DEBT INSTRUMENTS? ARE OTHER FACTORS
MORE IMPORTANT?
Investor confidence in a particular state's economy usually is measured by
credit quality. Credit quality is a concern, but usually not a major one unless
there is some significantly bad news impacting the state's ability to meet its
obligations. For the most part, credit quality throughout the municipal sector
is very high. The single most significant factor affecting the resale value of a
state's debt instruments in normal circumstances is duration, which measures
sensitivity to interest rate changes. The longer the duration, the greater the
impact of interest rate changes.
---------------------
15
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
WHAT'S THE CONSENSUS ON THE CALIFORNIA ECONOMY?
The California economy is finally improving after the worst recession in years.
The State's revenues have been above projections and there has been no repeat of
last year's costly budget standoff. There is no indication that the credit
quality of California issues is likely to be downgraded.
THE ORANGE COUNTY BANKRUPTCY HAS FINALLY WORKED ITS WAY THROUGH THE COURTS. HOW
HAS THE INVESTMENT COMMUNITY REACTED TO THE RESOLUTION?
In the municipal bond world, "penalties" are assessed through the market. Orange
County will likely pay a "penalty" in the form of higher interest costs for the
next several years. Even though the last two Orange County issues have come with
muni bond insurance, the issues have been forced to offer a higher rate than
similar insured paper in order to attract investors. Overall, the investment
community has been surprisingly forgiving of the county -- many predicted an all
out boycott of the County's issues.
THE FUND CAN PURCHASE SECURITIES WITH MATURITIES OF UP TO TEN YEARS. IN WHICH
DIRECTION DID YOU GO DURING THE BEGINNING OF 1996? WHY?
Early in 1996, the Fund extended average maturity and duration, which measures
sensitivity to interest rate changes, by increasing investment in 10-year notes.
As we stated earlier, the market believed that the economy was soft, inflation
was low and the Fed would ease rates. Extending duration was intended to take
advantage of those assumptions. Unfortunately, things changed quickly when the
economy showed unexpected strength and inflation worries grew. The longer
duration and maturity meant the that Fund was adversely affected.
WHAT DO YOU SEE HAPPENING FOR THE REST OF 1996?
Three consecutive strong employment reports confirm the strength of the economy.
The Fund has shortened its duration. We will keep duration and maturity toward
the short end for the remainder of the year.
- ---------------------
16
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 11/18/92
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR INCEPTION
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
With 3.0% Maximum Sales Charge 1.33% 2.79% 3.61%
- ---------------------------------------------------------------------------------------
Without Sales Charge 4.43% 3.85% 4.48%
- ---------------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
17
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
- ---------------------
18
<PAGE>
CORPORATE STOCK FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE CORPORATE STOCK FUND FOR THE SIX-MONTH PERIOD
ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of 9.52% as of June 30, 1996. This
is below 1995's mid-way mark of 19.49%. The return for the S&P 500 Index, which
this Fund attempts to mirror, was 10.07% for the first six months of 1996. (This
Fund has no sales charges. The Corporate Stock Fund invests in the Corporate
Stock Master Portfolio.)
WHILE NOT ON A PAR WITH 1995, THE S&P 500 INDEX HAS STILL PERFORMED BETTER THAN
MANY ANALYSTS PREDICTED THROUGH THE FIRST HALF OF 1996. WHY HAS THE MARKET BEEN
ABLE TO MAINTAIN SO MUCH STEAM?
It is surprising that the stock market continued to perform as well as it did.
After last year's 37.00% return for the S&P 500, expectations were for a quieter
market this year. Instead, the market has continued to advance, albeit at a
somewhat slower pace. In part, the advance has been fueled by robust gains in
several sectors and an estimated $138.5 billion flow of new money into equity
mutual funds during the first six months of 1996.
One item to note, however, is that unlike last year earnings growth has not kept
pace with the stock market's advance. This is commonly measured by the price-
to-earnings ratio (P/E) which indicates to investors how much they are paying
for a stock's earning power. For example, a stock valued at $20 with dividends
of $1.00 will have a P/E of 20, The same stock with a dividend of $2.00 will
have a P/E of 10. The price-to-earnings ratio for the S&P 500 has expanded from
17.51 at the end of 1995 to 19.70 at the end of June. While not indicative of a
market extreme, a P/E ratio of 19.70 is at the high end of the typical range.
INDUSTRY SECTOR BREAKDOWN FOR
S&P 500 AS OF 06/30/96
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Basic Materials 5.47%
Capital Goods 8.63%
Consumer Cyclicals 13.42%
Consumer Staples 13.06%
Energy 8.71%
Finance 13.49%
Healthcare 10.06%
Technology 16.95%
Transportation 1.60%
Utilities 8.61%
</TABLE>
WHICH SECTORS DID WELL DURING THE FIRST HALF OF 1996?
Technology and consumer cyclical stocks had the best returns during the first
half of 1996. Technology stocks posted an average return of 16.10%, expanding on
last year's performance. Among tech stocks, Cisco Systems was particularly
strong, returning 51.76% during the first half of 1996. Other high-performing
stocks in this sector were Microsoft, at 36.89%, and Oracle at 39.60%. Consumer
cyclical stocks also did well, posting an average return of 14.1% through June
30, 1996. Examples
---------------------
19
<PAGE>
CORPORATE STOCK FUND
here include the Ford Motor Company, which posted a 14.05% return for the first
half of 1996, and Chrysler Corporation, which returned 15.65% over the period.
WERE THERE ANY DISAPPOINTMENTS?
Electric utilities were, for the most part, not as strong as we would have
liked. The same can be said for basic industries like Kimberly-Clark and Grace.
Of course, both Kimberly-Clark and Grace have histories of strong earnings and
will likely bounce back in the future.
WHAT DO YOU EXPECT FROM THE REST OF THIS YEAR?
We believe that long-term investors will continue to benefit from the superior
earnings potential of common stocks. We also believe that investors' long-term
expectations should be based more on long-run averages rather than on recent
experience. In other words, do not base all future expectations on what has
happened over the last eighteen months. For the short-term, unless earnings
growth improves and brings down the P/E ratio for the market overall, stock
market returns may suffer in the second half of the year. As mentioned earlier,
the current S&P 500 Index P/E ratio of 19.70 is in the high end of its typical
range.
- ---------------------
20
<PAGE>
CORPORATE STOCK FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/25/84
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 5 YEAR 10 YEAR INCEPTION
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------
This Fund has no sales charge 24.64% 14.54% 12.50% 14.33%
- ----------------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Corporate Stock Fund commenced operations on January 1, 1992, as successor
to the Corporate Stock Fund of the Wells Fargo Investment Trust for Retirement
Programs. The predecessor Fund's date of inception was January 25, 1984. The
performance figures shown include the performance of the predecessor Fund which
had the same investment objectives and strategies.
The Fund seeks to achieve its investment objective by investing all of its
assets in the Master Investment Trust Corporate Stock Master Portfolio, which
has an identical investment objective as the Fund. Prior to April 29, 1996 the
Fund invested directly in portfolio of securities and not in the Master
Investment Trust Corporate Stock Master Portfolio. References to the investment
policies of the Fund are understood to be references to the investment policies
of the Master Portfolio.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
21
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
- ---------------------
22
<PAGE>
DIVERSIFIED INCOME FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE DIVERSIFIED INCOME FUND FOR THE SIX-MONTH
PERIOD ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of 9.46% for Class A shares as of
June 30, 1996. This is below 1995's mid-way mark for Class A shares of 14.63%.
The return for Class B shares for the same period was 9.06%. (These return
figures exclude sales charges.)
IN LIGHT OF LAST YEAR'S STRONG RETURNS, HOW WOULD YOU CHARACTERIZE THE
PERFORMANCE OF THE FUND SO FAR?
Expectations should be tempered after the strong performance of 1995. We did not
think that 1996 would see a repeat of 1995's numbers. Considering those
expectations, the current stock market and the Fund's objective, we feel that
the Fund's return has been solid.
RELATIVE TO ITS INVESTMENT OBJECTIVE, THE FUND IS ENJOYING CONTINUED SUCCESS.
WHY HAS IT BEEN SUCH A SOLID PERFORMER?
What has helped the Fund continue its solid performance is staying within a
strict valuation discipline. We focus on companies that meet our valuation
criteria and have been able to deliver consistent earnings growth regardless of
the economic environment. For example, the Fund's largest holding, Household
International, has continued its strong performance -- up over 25% year to date
- -- with expectations of continued strong earnings growth for the next several
years. Likewise, we reduce positions as stock valuations align themselves with
earnings expectations.
WOULD IT BE ACCURATE TO SAY THAT THE DIVERSIFIED INCOME FUND PURSUES MORE OF A
"VALUE" STRATEGY THAN A "GROWTH" STRATEGY? WHAT IS THE DIFFERENCE BETWEEN THE
TWO?
The Fund would be classified in the "value" category. Growth funds typically
invest in companies that offer the potential of high future earnings growth but
do not pay much in terms of current income. While growth is still important for
a value fund, more emphasis is normally given to current yield, along with book
value (a company's total assets minus intangible assets, current and
long-standing liabilities) and the price-to-earnings ratio. What sets this Fund
apart from other value funds is that, in addition to looking for inexpensively
priced companies, we still want companies which possess a strong management team
and have the potential for good growth in the future.
WHAT ADJUSTMENTS DID YOU MAKE IN THE FIRST HALF OF THIS YEAR? WHAT DO YOU
FORESEE FOR THE REST OF THE YEAR?
The Fund did not make any major sector changes during the first half of the
year. Instead, we focused on individual companies as opportunities presented
themselves. As an example, we purchased Xerox early in the year after its stock
had corrected on what we believed was a minor, short-term event. Since then, the
---------------------
23
<PAGE>
DIVERSIFIED INCOME FUND
stock has performed well as investors are once again focusing on the longer-term
positive dynamics of the company. Another example is Illinova, an Illinois
electric utility, which was trading at a discounted P/E ratio in comparison to
other utilities. We believe that it has a potential for 10% dividend and
earnings growth for the next several years.
IN THE 1995 ANNUAL REPORT, YOU MENTIONED THAT REITS (REAL ESTATE INVESTMENT
TRUSTS) WERE ATTRACTIVE INVESTMENTS. WHAT CAN YOU TELL US ABOUT THEM?
We continue to be positive on the REIT industry, as we see companies in that
sector as an alternative to most electric utilities. We believe that the
commercial real estate industry is reasonably healthy, and that the overbuilding
which plagued the industry in the past is not in evidence. We only emphasize
REITs in regions with stable or improving economies, and in product categories
with low vacancy rates. Yields for the higher-quality REITs are typically 6.50
to 8%, with funds from operations growing 3 to 6% per year. We believe that in
the current environment a total return potential of 10-14% is reasonably
attractive.
THE FEDERAL FUND TARGET RATES HAVE REMAINED STEADY DESPITE ANXIETY THAT A RATE
HIKE IS COMING. HOW HAS THIS UNCERTAINTY AFFECTED THE STOCK MARKET?
Interest rates are always a major variable impacting the performance of the
stock market. We believe that the market has already factored in an expected
increase in the federal funds target rate, so if an increase does occur, we do
not feel it would be a major negative. If interest rates moved significantly
higher -- such as the federal funds rate increasing more than a full percentage
point -- there would likely be a significant stock market reaction. At this time
the interest rate environment is not causing us to alter our stock market
strategy.
- ---------------------
24
<PAGE>
DIVERSIFIED INCOME FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 11/18/92
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR INCEPTION
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------
With 4.5% Maximum Sales Charge 18.73% 13.27% 13.40%
- --------------------------------------------------------------------------------------
Without Sales Charge 24.30% 15.00% 14.85%
- --------------------------------------------------------------------------------------
</TABLE>
CLASS B SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/1/95
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Contingent Deferred Sales Charge(1) 20.44% 24.78%
- --------------------------------------------------------------------------------------
Without Contingent Deferred Sales Charge 23.43% 25.97%
- --------------------------------------------------------------------------------------
(1)Assumes redemption on 6/30/96
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
25
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
- ---------------------
26
<PAGE>
GINNIE MAE FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE GINNIE MAE FUND FOR THE SIX-MONTH PERIOD ENDED
JUNE 30, 1996?
The Fund posted a year-to-date total return down 1.67% for Class A shares as of
June 30, 1996. This is below 1995's mid-way mark for Class A shares of 10.96%.
The return for Class B shares for the same period was down 1.98%. (These return
figures exclude sales charges.)
AFTER A VERY SUCCESSFUL 1995, THE GINNIE MAE FUND HAD SOME DIFFICULTIES DURING
THE FIRST HALF OF 1996. WHAT HAPPENED?
The Fund's duration was kept very long in 1995 to take advantage of falling
interest rates. Duration is a measure of sensitivity to interest rate changes,
with longer durations being more sensitive. This strategy worked well in 1995 as
rates fell, and the share price of the Fund went up dramatically. We assumed, in
the beginning of 1996, that the U.S. economy would continue to weaken and that
rates would continue to fall; therefore, we maintained the long duration. As it
turned out, the economy showed substantial strength and interest rates moved up,
hurting the performance of the Fund.
Still, it should be said that the Fund's primary objective is to produce
dividend income for its shareholders. While some net asset value was lost,
dividend distributions were on par with its recent history.
THE FEDERAL FUNDS TARGET RATE REMAINED FAIRLY STEADY IN THE FIRST HALF OF 1996
AND THE ECONOMY SEEMS TO BE GROWING AT A STRONG PACE WITHOUT IGNITING INFLATION.
SO WHY HAS THE MARKET REACTED SO NEGATIVELY?
At the beginning of 1996, the general consensus in the fixed-income market was
that the federal funds target rate would fall an additional 100 basis points by
September 1996. In February, however, Federal Reserve Chairman Alan Greenspan
remarked on the growing strength of the economy. This was followed by stronger
than expected employment figures in March. A large shift in expectations began,
which was confirmed by a steady stream of stronger than expected economic
reports. Suddenly, instead of the expected reduction in the federal funds target
rate, the market came to believe that the Fed would tighten money policy. The
increase has yet to materialize, but most analysts now expect it.
Also at work were several long-term factors. Historically, inflation has tended
to increase toward the end of a business cycle. Even if inflation has not really
taken hold yet, there have been some early indications of future inflation --
increased employment and wages, for example -- which have the markets concerned.
---------------------
27
<PAGE>
GINNIE MAE FUND
WHAT DO YOU EXPECT TO DO FOR THE REMAINDER OF 1996?
We have begun to reduce the Fund's sensitivity to interest rates by reducing its
duration. The Fund does this by selling more of its Treasury securities and
increasing its mortgage-backed holdings. We expect to go somewhat lower
throughout the third quarter.
IN THE 1995 ANNUAL REPORT, YOU STATED THAT YOU EXPECTED PREPAYMENTS TO INCREASE
IN 1996. HAS THAT HAPPENED? WHAT WAS THE AFFECT ON THE FUND?
Prepayments generally increase in a falling interest rate environment.
Homeowners take advantage of lower rates by refinancing their homes. Prepayments
remove higher paying mortgages from the Fund's portfolio, replacing them with
mortgages providing a lower payout. Our assumption that prepayments would
increase was predicated on rates continuing to fall. As we said early, the
opposite happened. As a result, mortgage-backed securities have done well. We
have kept these higher-coupon mortgages which helped to maintain the dividend
distributions.
- ---------------------
28
<PAGE>
GINNIE MAE FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/3/91
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR 5 YEAR INCEPTION
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------
With 4.5% Maximum Sales Charge (0.51)% 2.99% 6.14% 6.27%
- ----------------------------------------------------------------------------------------
Without Sales Charge 4.15% 4.58% 7.12% 7.16%
- ----------------------------------------------------------------------------------------
</TABLE>
CLASS B SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/1/95
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Contingent Deferred Sales Charge(1) 0.61% 8.09%
- --------------------------------------------------------------------------------------
Without Contingent Deferred Sales Charge 3.51% 9.37%
- --------------------------------------------------------------------------------------
(1)Assumes redemption on 6/30/96
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Ginnie Mae Fund commenced operations on January 1, 1992, as successor to the
Ginnie Mae Fund of the Wells Fargo Investment Trust for Retirement Programs. The
predecessor Fund's date of inception was January 3, 1991. The performance
figures shown include the performance of the predecessor Fund which had the same
investment objectives and strategies.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
29
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
- ---------------------
30
<PAGE>
GROWTH AND INCOME FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE GROWTH AND INCOME FUND FOR THE SIX-MONTH
PERIOD ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of 10.59% for Class A shares as of
June 30, 1996. This is below 1995's mid-way mark for Class A shares of 16.93%,
but still above the 10.09% return for the S&P 500 Index through June of 1996.
The return for Class B shares for the same period was 10.25%. (These return
figures exclude sales charges.)
HOW HAS THE FUND STAYED AHEAD OF THE S&P 500 SO FAR?
A combination of finding attractive individual issues and emphasizing sectors
where we expected strong growth was responsible for the Fund's performance in
the first half of 1996. For example, we remained overweighted in technology and
trimmed back in financial services, anticipating disappointing news on credit
quality and increased interest rates. We also expected electric utilities to
have a subpar performance due to rising interest rates as well. As for companies
which don't necessarily fit into the sectors we are emphasizing, we look for
strong earnings growth and management teams with either an equity stake in their
company or some kind of incentive-based compensation tied to performance.
SO THE FINANCIAL AND TECHNOLOGY SECTORS, WHICH YOU SINGLED OUT IN THE 1995
ANNUAL REPORT, HAVE PERFORMED WELL AGAIN SO FAR THIS YEAR?
Yes. The Capital Goods/Technology sector had strong earnings growth and
attractive valuations. Intel, Cisco, Hewlett Packard and Komag did well for the
Fund. We already mentioned decreasing the financial sector, such as Mercury
Finance, earlier in the year in reaction to higher interest rates and in the
expectation of declining credit quality. In general, we reduced our holdings of
credit card issuers and increased our weighting in insurance companies. Energy
and related holdings were also increased during the most recent quarter as the
profitability of pipeline, refining, and gas companies improved. We expect their
stock prices should increase as earnings reports are released.
OF THE SECTORS YOU INCREASED AT THE END OF 1995, INCLUDING BIOTECH,
PHARMACEUTICAL, AND DRUG RETAILING, WHICH HAVE DONE WELL?
These are traditional defensive sectors and were added because of their
consistent earnings growth. They have all done well. In the second quarter we
increased exposure to international pharmaceuticals where valuations appeared
better than the U.S.-based companies.
---------------------
31
<PAGE>
GROWTH AND INCOME FUND
THAT RAISES AN INTERESTING QUESTION. DOES THE FUND INVEST IN FOREIGN STOCKS TO
OFFSET DOMESTIC CYCLES, OR DOES IT DO SO TO CAPTURE ADDITIONAL OPPORTUNITIES?
The primary intent is to capture additional opportunities. Currency benefits are
incidental. By having the flexibility to invest in foreign stocks we are able to
act on opportunities and increase our exposure to additional companies with
solid earnings and attractive valuations.
THE FUND MAY INVEST UP TO TEN PERCENT OF ITS ASSETS IN FOREIGN STOCKS. WHAT WAS
THE EXPOSURE AT THE END OF JUNE 1996?
It was nearly the full ten percent. The most attractive positions include
Ericsson, Potash, Astra, and Smithkline Beecham. These companies have world-wide
presence and sales, and a history of consistent earnings.
WERE THERE ANY SECTOR SURPRISES?
The basic-industry sector, including Kimberly-Clark and Monsanto, proved
disappointing recently. Patient investors, however, may be rewarded as better-
than-expected economic growth should trigger strong earnings for these
companies.
PLEASE DESCRIBE THIS FUND'S STRATEGY IN RELATION TO "VALUE" AND "GROWTH" FUNDS.
The Growth and Income Fund's strategy is best described as "core-equity", which
places it some where between value and growth, with growth the primary
consideration and income a secondary consideration. A growth strategy focuses on
choosing companies that reinvest substantial assets in research and development,
are low-cost producers, and are dominant providers in their industry. Value
strategies entail selecting stocks that are priced cheaply in relation to the
company's assets and profits. Since the beginning of 1995, the Growth and Income
Fund has emphasized a growth strategy. Overall, in comparison to the other
Stagecoach Funds, this Fund is about midway between the Diversified Income and
Aggressive Growth Funds, and could be considered a foundation of an investor's
equity portfolio.
- ---------------------
32
<PAGE>
GROWTH AND INCOME FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 8/2/90
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR 5 YEAR INCEPTION
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------
With 4.5% Maximum Sales Charge 16.44% 13.64% 14.00% 13.76%
- ----------------------------------------------------------------------------------------
Without Sales Charge 21.91% 15.40% 15.05% 14.65%
- ----------------------------------------------------------------------------------------
</TABLE>
CLASS B SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/1/95
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Contingent Deferred Sales Charge(1) 18.09% 24.93%
- --------------------------------------------------------------------------------------
Without Contingent Deferred Sales Charge 21.08% 26.12%
- --------------------------------------------------------------------------------------
(1)Assumes redemption on 6/30/96
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Growth and Income Fund commenced operations on January 1, 1992, as successor
to the Select Stock Fund of the Wells Fargo Investment Trust for Retirement
Programs. The predecessor Fund's date of inception was August 2, 1990. The
performance figures shown include the performance of the predecessor Fund which
had the same investment objectives and strategies. Certain of the investment
restrictions of the Stagecoach Growth and Income Fund differ somewhat from those
of the predecessor Fund.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
33
<PAGE>
SHORT-INTERMEDIATE U.S. GOVERNMENT INCOME FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE SHORT-INTERMEDIATE U.S. GOVERNMENT INCOME FUND
FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of down 0.27% as of June 30, 1996.
This is below 1995's mid-way mark of 7.84%. (These return figures exclude sales
charges.)
WHY HAS THE FUND'S PERFORMANCE BEEN DOWN THIS YEAR AFTER A STRONG 1995?
When interest rates decline, the resale value of higher-paying fixed-income
securities goes up. This was the case in 1995, leading to a strong total return
for the Fund. Unfortunately, this year the opposite has happened. Interest rates
have risen throughout the first half of the year, leading to principal
depreciation throughout the fixed-income sector. Of course, this Fund seeks
current income while preserving capital. In that sense, it has succeeded by
maintaining dividend payments through the first half of 1996 largely on a par
with the last six months of 1995.
WHAT ROLE SHOULD INVESTORS EXPECT THIS FUND TO PLAY IN THEIR PORTFOLIO?
The Fund fills a niche between longer-term fixed income funds and money market
mutual funds. Investors should expect to receive a total return over time that
is generally higher than that of a money market fund, but with less price
volatility than longer-term funds. It could be used to balance out riskier
investments in a portfolio.
THE ECONOMY SEEMS TO BE GROWING AT A STRONG PACE WITHOUT IGNITING INFLATION. SO
WHY HAVE THE MARKETS BEEN SO CONCERNED?
The concern is more for future inflation than the current rate. Inflation erodes
investor profits in real terms. The growing economy, increased employment and
real wages are just some of the signs that an inflationary cycle may be
beginning.
WHAT PERCENTAGE OF THE PORTFOLIO HAS BEEN IN MORTGAGE-BACKED SECURITIES THIS
YEAR? WHY HAVE MORTGAGE-BACKED SECURITIES PROVED ATTRACTIVE?
Approximately 6% of the Fund has been in mortgage-backed securities this year.
Mortgages have done well so far this year as rates increased and prepayments
declined, allowing the Fund to keep some of higher coupon securities in the
portfolio.
WHAT IS THE STRATEGY FOR THE REMAINDER OF THE YEAR?
We expect the Federal Reserve Board to raise the federal funds target rate by
0.25 to 0.50% by the end of the year in response to the economy's continued
strength. The Fund will be prepared for this by a gradual shift to a more
defensive posture with a shorter duration. The Fund will continue to invest in
high-quality corporate bonds (totaling 7% of the portfolio as of the end of
June) and mortgage-backed securities to provide current yield.
- ---------------------
34
<PAGE>
SHORT-INTERMEDIATE U.S. GOVERNMENT INCOME FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 10/27/93
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Sales Charge 1.12% 2.91%
- --------------------------------------------------------------------------------------
Without Sales Charge 4.20% 4.10%
- --------------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
35
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
- ---------------------
36
<PAGE>
U.S. GOVERNMENT ALLOCATION FUND
- --------------------
INVESTMENT ADVISOR Q&A
WHAT WAS THE TOTAL RETURN FOR THE U.S. GOVERNMENT ALLOCATION FUND FOR THE
SIX-MONTH PERIOD ENDED JUNE 30, 1996?
The Fund posted a year-to-date total return of down 0.90% for Class A shares as
of June 30, 1996. This is below 1995's mid-way mark for Class A shares of
10.30%. The return for Class B shares for the same period was down 1.20%. (These
return figures exclude sales charges. The U.S. Government Allocation Fund
invests in the U.S. Government Allocation Master Portfolio.)
THE FUND'S PERFORMANCE IS DOWN COMPARED TO LAST YEAR. WHAT HAPPENED?
It certainly is a new -- and different -- year in the bond market. The effect of
rising interest rates was felt sharply as the Lehman Brothers Aggregate Bond
Index turned in a dismal -1.21% return for the first half of 1996. After a year
of decline, long-bond yields climbed from below 6% at the end of 1995 to 6.9% at
the end of June 1996. As the yields went up, the resale value of existing
fixed-income securities fell. If any one moment could be fixed as the time when
the 1995 bond market rally came to a close, it was in mid-February when Federal
Reserve Chairman Alan Greenspan's positive comments on the renewed strength of
the economy dashed hopes of a further rate cut. By the end of the month the
long-bond yield had risen to 6.47%, 44 basis points higher than the previous
month. Since then, interest rates have increased even further as reports of
higher-than-expected growth have further increased fears of inflation. Through
the second quarter, with increasing speculation of a possible increase in the
federal funds target rate, the long-bond yield rose from 6.70% to 7.20% before
settling down to 6.90% at the end of June.
BUT THE ECONOMY SEEMS TO BE GROWING AT A STRONG PACE WITHOUT IGNITING INFLATION.
SO WHY THE CONCERN?
What affects the attractiveness of bonds is not only the current rate of
inflation but also the future rate of inflation. If inflation continues, it will
erode the value of the bonds investors hold. Although the current rate of
inflation has remained fairly stable, investors appear increasingly concerned
that the current pace of job growth and economic growth will spark higher future
inflation.
HOW HAS THE FUND POSITIONED ITSELF IN RESPONSE TO RISING INTEREST RATES?
At the beginning of the year, the Fund maintain a short duration and an
allocation of 20% long bonds and 80% money market instruments. Through the
course of the last six months the difference in yields between short money
market instruments and intermediate Treasury notes rose, while the difference
between notes and long-term bonds fell, making notes the increasingly attractive
option. In response, the Fund has been repositioned to a more aggressive, longer
duration within the intermediate sector. By March, the allocation was 10% long
bonds, 60% intermediate notes and 30% money market instruments. By the end of
June, the allocation was 100% intermediate notes.
---------------------
37
<PAGE>
U.S. GOVERNMENT ALLOCATION FUND
WHAT IS YOUR OUTLOOK FOR THE REMAINDER OF 1996? WHAT WILL THE FUND DO TO TAKE
ADVANTAGE OF CHANGES IN INTEREST RATES?
The U.S. Government Allocation Fund is designed to take advantage of the yield
differences between U.S. Treasury-issued long bonds, intermediate notes and
money market instruments in relation to their risks. Our objective is to
position the Fund to make the optimal allocation among these securities to take
advantage of the potential returns while controlling the overall level of risk.
If the relative yields change enough to make either bonds or cash more
attractive than notes, the Fund will change its allocation accordingly. The
strategy does not depend on expectations of interest rate changes in any given
year.
WHY SHOULD AN INVESTOR CHOOSE A FUND WHICH ALLOCATES AMONG BONDS, BILLS AND
NOTES RATHER THAN A FUND WHICH INVESTS IN JUST ONE ASSET CLASS?
With the daily assistance of a sophisticated computer model, the Fund
consistently seeks to invest in the sector which offers the best return at the
lowest risk relative to the other sectors. A fund which is invested exclusively
in just one of the three sectors simply cannot offer the same advantages. For
example, a strategy invested entirely in cash would have delivered an average
annual return of 4.9% over the past five years. The U.S. Government Allocation
Fund over the same period had an average annual return of 8.54%, an advantage of
over 3.50% per year. At the same time the allocation strategy has had less risk
than a strategy that was entirely invested in long bonds.
THE TREASURY DEPARTMENT IS DISCUSSING ISSUING INFLATION-INDEXED BONDS. HOW WOULD
THAT WORK AND WHAT DOES IT MEAN FOR THE FUND?
In May, the U.S. Treasury Department announced the launch of a new type of
security that would provide capital protection against inflation. The so-called
inflation protection-bonds (Inflation-Protection Series, or IPS) would be issued
with a maturity of 10 or 30 years, and in their simplest form would offer coupon
and principal indexed to a measure of inflation such as the Consumer Price
Index. So as the CPI increases, the coupon payment and the principal value on
the IPS would increase, ensuring a return to investors in excess of inflation.
How should investors use these securities? For those looking to protect their
future cash, these securities offer direct protection against the erosive effect
of inflation. Historically, equities, real estate, commodities and conventional
bonds have in varying degrees out-stripped inflation, but the IPS would offer
direct, predictable protection, backed by the full faith and credit of the U.S.
Government.
The role these securities might play in the Fund and how effective they might be
in delivering inflation protection will depend to some extent on the actual
structure (the maturity, the inflation index used, the tax consequences) of the
securities issued and to a large extent on how the market for these securities
develops. Once this information is known, we will determine whether or not a
change needs to be made to the asset allocation model. Much remains to be seen.
- ---------------------
38
<PAGE>
U.S. GOVERNMENT ALLOCATION FUND
- ---------------------
PERFORMANCE AT A GLANCE
CLASS A SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 3/31/87
AVERAGE ANNUAL TOTAL RETURN 1 YEAR 3 YEAR 5 YEAR INCEPTION
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------
With 4.5% Maximum Sales Charge (1.37)% 2.09% 7.54% 7.39%
- ----------------------------------------------------------------------------------------
Without Sales Charge 3.25 % 3.67% 8.54% 7.92%
- ----------------------------------------------------------------------------------------
</TABLE>
CLASS B SHARE PERFORMANCE AS OF 6/30/96
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE 1/1/95
AVERAGE ANNUAL TOTAL RETURN 1 YEAR INCEPTION
<S> <C> <C>
- --------------------------------------------------------------------------------------
With 3.0% Maximum Contingent Deferred Sales Charge(1) (0.44)% 7.04%
- --------------------------------------------------------------------------------------
Without Contingent Deferred Sales Charge 2.49 % 8.33%
- --------------------------------------------------------------------------------------
(1)Assumes redemption on 6/30/96
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
The U.S. Government Allocation Fund commenced operations on January 1, 1992, as
successor to the Fixed-Income Strategy Fund of the Wells Fargo Investment Trust
for Retirement Programs. The predecessor Fund's date of inception was March 31,
1987. The performance figures shown include the performance of the predecessor
Fund which had substantially the same investment objectives and strategies
except that it was required to invest at least 65% of its assets in obligations
issued or guaranteed by the U.S. Government, its agencies or instrumentalities.
The Fund seeks to achieve its investment objective by investing all of its
assets in the Master Investment Trust U.S. Government Allocation Master
Portfolio, which has an identical investment objective as the Fund. Prior to
April, 29 1996 the Fund invested directly in portfolio of securities and not in
the Master Investment Trust U.S. Government Allocation Master Portfolio.
References to the investment policies of the Fund are understood to be
references to the investment policies of the Master Portfolio.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
---------------------
39
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 90.48%
ADVERTISING - 1.01%
67,500 HA-LO Industries inc+ $ 940,000 $ 1,755,000
BASIC INDUSTRIES - 1.57%
40,000 Gibraltar Steel Corp+ $ 720,000 $ 810,000
65,000 Olympic Steel Inc+ 1,439,981 1,811,875
95,000 Quadrax Corp+ 252,997 112,813
------------ --------------
$ 2,412,978 $ 2,734,688
BIOTECHNOLOGY - 4.15%
40,000 Aksys Ltd+ $ 660,000 $ 610,000
5,000 Arterial Vascular Engineering Inc+ 157,500 181,250
58,000 Cardiovascular Dynamics Inc+ 698,639 710,500
40,000 General Surgical Innovations Inc+ 795,000 610,000
45,000 Genzyme Corp - General Division+ 2,406,188 2,261,250
45,000 Genzyme Corp - Tissue Repair+ 680,834 528,750
17,000 Innovasive Devices Inc+ 211,250 170,000
45,000 Liposome Co Inc+ 613,603 843,750
20,000 Neurex Corp+ 390,750 437,500
60,000 Palomar Medical Tech Inc+ 690,970 855,000
------------ --------------
$ 7,304,734 $ 7,208,000
COMMERCIAL SERVICES - 2.18%
15,000 Affiliated Computer Services Inc Class A+ $ 720,000 $ 705,000
45,000 AMRE Inc+ 832,690 984,375
55,000 Career Horizons Inc+ 1,391,967 1,925,000
5,000 Caribiner International Inc+ 126,650 160,625
31,000 Work Recovery Inc+ 135,313 8,680
------------ --------------
$ 3,206,620 $ 3,783,680
</TABLE>
- ------------------------
40
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE - 16.06%
25,000 Atria Software Inc+ $ 1,389,375 $ 1,250,000
40,000 First Data Corp 2,655,525 3,185,000
33,500 IKOS Systems Inc+ 279,786 707,688
20,000 Imnet Systems Inc+ 364,750 610,000
35,000 Inference Corp Class A+ 846,000 840,000
45,000 Integrated Systems Inc+ 1,613,125 1,802,813
50,000 LifeRate Systems Inc+ 425,417 381,250
19,000 Microsoft Corp+ 1,415,890 2,282,375
30,000 NETCOM On-Line Communication Services Inc+ 834,688 810,000
94,500 Oracle Systems Corp+ 2,994,318 3,726,844
50,000 Premenos Tech Corp+ 1,061,959 912,500
30,000 Pure Software Inc+ 1,001,000 1,020,000
45,000 Summit Medical System Inc+ 1,070,938 877,500
30,000 Synopsys Inc+ 983,625 1,192,500
39,000 Technomax Technologies Limited+ 868,759 741,000
20,000 Transition Systems Inc+ 470,000 570,000
45,000 Veritas Software Corp+ 1,200,250 1,935,000
37,000 Verity Inc+ 1,123,545 1,063,750
40,000 VideoServer Inc+ 1,485,140 1,560,000
40,500 Workgroup Technology Corp+ 860,004 1,017,563
30,000 Xylan Corp+ 1,551,060 1,395,000
------------ --------------
$ 24,495,154 $ 27,880,783
COMPUTER SYSTEMS - 8.23%
58,000 Adaptec Inc+ $ 1,902,908 $ 2,747,750
62,000 Cisco Systems Inc+ 1,770,188 3,510,750
172,000 Komag Inc+ 4,262,572 4,536,500
75,000 Silicon Storage Technology Inc+ 1,287,100 1,031,250
65,000 Solectron Corp+ 2,505,725 2,461,875
------------ --------------
$ 11,728,493 $ 14,288,125
</TABLE>
---------------------
41
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT - 4.04%
24,000 Affinity Technology Group+ $ 374,500 $ 204,000
23,800 BMC Industries Inc 691,736 684,250
65,000 Interlink Electronics Inc+ 344,375 430,625
50,000 Irvine Sensors Corp+ 317,644 237,500
45,000 Macromedia Inc+ 1,732,113 984,375
60,000 Power (R F) Products Inc+ 404,163 378,750
12,000 Stratacom Inc+ 436,875 675,000
40,000 U.S. Robotics Corp 2,962,833 3,420,000
------------ --------------
$ 7,264,239 $ 7,014,500
ENERGY & RELATED - 5.86%
30,000 Ashland Inc $ 1,251,570 $ 1,188,750
28,200 Camco International Inc 703,960 955,275
65,000 Digicon Inc+ 534,954 1,088,750
50,000 Ensco International Inc+ 1,288,787 1,625,000
35,500 Global Industries Ltd+ 489,475 1,056,125
32,400 J Ray McDermott SA+ 700,762 810,000
20,000 Kelley Oil & Gas Corp+ 48,750 80,000
40,000 Reading & Bates Corp+ 934,450 885,000
40,000 Sonat Offshore Drilling Co 1,923,476 2,020,000
15,000 Sun Co Inc 469,950 455,625
------------ --------------
$ 8,346,134 $ 10,164,525
ENTERTAINMENT & LEISURE - 5.27%
20,000 Circus Circus Entertainment Inc+ $ 849,813 $ 820,000
40,000 Family Golf Centers Inc+ 600,000 1,005,000
25,000 HFS Inc+ 1,557,050 1,750,000
45,000 Mikohn Gaming Corp+ 417,656 399,375
25,000 Mirage Resorts Inc+ 815,110 1,350,000
64,000 Platinum Entertainment Inc+ 823,125 992,000
50,000 Regal Cinemas Inc+ 2,347,480 2,287,500
90,000 Stratosphere Corp+ 766,117 540,000
------------ --------------
$ 8,176,351 $ 9,143,875
</TABLE>
- ------------------------
42
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
ENVIRONMENTAL CONTROL - 1.75%
60,000 Allied Waste Industries Inc+ $ 604,675 $ 532,500
55,000 Molten Metal Technology Inc+ 1,248,970 1,622,500
30,000 U.S.A. Waste Services Inc+ 597,090 888,750
------------ --------------
$ 2,450,735 $ 3,043,750
FINANCE & RELATED - 6.12%
100,000 Capital One Financial Corp $ 2,838,382 $ 2,850,000
52,500 Dignity Partners Inc+ 632,856 485,625
80,000 Envoy Corp (New)+ 624,221 2,340,000
10,500 IMC Mortgage Co+ 189,000 236,250
46,300 Medallion Financial Corp+ 556,573 578,750
20,000 NHP Inc+ 252,500 412,500
40,000 RISCORP Inc Class A+ 863,646 730,000
40,000 Student Loan Marketing Assoc 3,109,712 3,000,000
------------ --------------
$ 9,066,890 $ 10,633,125
FOOD & RELATED - 1.32%
27,500 Garden Fresh Restaurant Corp+ $ 224,469 $ 299,063
39,000 NuCo2 Inc+ 558,925 1,199,250
30,000 Whole Foods Market Inc+ 566,125 795,000
------------ --------------
$ 1,349,519 $ 2,293,313
HEALTHCARE - 6.60%
24,500 Diagnostic Health Services Inc+ $ 165,375 $ 165,375
110,000 Genesis Health Ventures Inc+ 2,489,892 3,451,250
100,000 Healthsouth Corp+ 2,694,149 3,600,000
250 Medcath Inc 5,031 3,000
90,000 Renal Treatment Centers+ 1,248,250 2,587,500
50,000 Vivra Inc+ 1,519,094 1,643,750
------------ --------------
$ 8,121,791 $ 11,450,875
</TABLE>
---------------------
43
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
MANUFACTURING PROCESSING - 0.86%
46,400 Intertape Polymer Group Inc+ $ 826,150 $ 939,600
25,000 Lydall Inc+ 371,040 550,000
------------ --------------
$ 1,197,190 $ 1,489,600
MATERIAL MANUFACTURING - 0.55%
50,000 Landec Corp+ $ 675,563 $ 950,000
MEDICAL EQUIPMENT & SUPPLIES - 2.83%
50,000 Bioject Medical Technologies+ $ 229,063 $ 70,313
85,000 Endosonics Corp+ 935,206 1,519,375
37,000 Iridex Corp+ 380,500 555,000
27,500 Life Med Sciences Inc+ 214,688 240,625
10,500 Molecular Devices Corp+ 129,375 93,188
25,000 NeoPath Inc+ 590,312 631,250
65,000 Ultrafem Inc+ 847,000 1,283,750
38,000 Urologix Inc+ 576,034 513,000
------------ --------------
$ 3,902,178 $ 4,906,501
PHARMACEUTICALS - 1.88%
62,500 Anesta Corp+ $ 883,604 $ 765,625
135,000 Aronex Pharmaceutical Inc 805,034 708,750
20,000 Collagenex Pharmaceutical Inc+ 200,000 175,000
75,000 Matrix Pharmaceuticals Inc+ 1,785,035 1,350,000
60,000 Seragen Inc+ 414,940 262,500
------------ --------------
$ 4,088,613 $ 3,261,875
PUBLISHING & MEDIA - 0.64%
55,000 Mecklermedia Corp+ $ 1,084,375 $ 1,113,750
</TABLE>
- ------------------------
44
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
RETAIL & RELATED - 2.03%
35,000 Corporate Express Inc+ $ 855,000 $ 1,400,000
4,500 Cost Plus Inc+ 67,500 124,875
10,000 Mail Boxes Etc+ 176,250 228,750
35,000 Reebok International Ltd 1,146,525 1,176,875
50,000 Spiegel Inc Class A 512,188 593,750
------------ --------------
$ 2,757,463 $ 3,524,250
SEMICONDUCTORS - 2.73%
18,000 Intel Corp $ 904,125 $ 1,321,875
45,000 LSI Logic Corp+ 1,601,378 1,170,000
40,000 MEMC Electronic Materials Inc+ 2,032,169 1,550,000
35,000 OnTrak Systems Inc+ 809,729 568,750
15,000 Semtech Corp+ 390,000 135,000
------------ --------------
$ 5,737,401 $ 4,745,625
TELECOMMUNICATIONS - 11.80%
65,000 Accom Inc+ $ 552,594 $ 260,000
41,000 Cascade Communications Corp+ 1,566,813 2,788,000
35,000 Charter Communication International Inc+ 298,750 214,375
10,000 Clear Channel Communications Inc+ 840,000 823,750
65,000 ECI Telecommunications Ltd 1,724,001 1,511,250
32,500 EIS International Inc+ 790,178 828,750
58,000 Farallon Communications+ 942,525 855,500
30,000 Intermedia Communications Inc+ 879,688 967,500
110,000 LCI International Inc+ 1,227,724 3,451,250
7,000 McLeod Inc+ 140,000 168,000
60,000 Medaphis Corp+ 2,506,659 2,385,000
48,000 NEXTEL Communications Class A+ 1,002,938 915,000
15,000 Pagemart Wireless Inc Class A+ 195,000 150,000
36,000 PanAmSat Corp+ 567,536 1,044,000
30,000 Qualcomm Inc+ 1,540,875 1,593,750
37,500 TresCom International Inc+ 498,750 375,000
</TABLE>
---------------------
45
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
25,000 Whittman Hart Inc+ $ 696,375 $ 900,000
50,000 Winstar Communications Inc+ 1,567,861 1,246,871
------------ --------------
$ 17,538,267 $ 20,477,996
TRANSPORTATION - 3.00%
40,000 Atlas Air Inc+ $ 2,038,828 $ 2,300,000
20,000 Greenbrier Companies Inc 307,323 277,500
40,000 Landair Services Inc+ 666,866 630,000
75,000 Mesa Airlines Inc+ 1,076,025 890,625
50,000 Trico Marine Services Inc+ 1,056,570 1,112,500
------------ --------------
$ 5,145,612 $ 5,210,625
TOTAL COMMON STOCKS $136,990,300 $ 157,074,461
WARRANTS - 1.71%
75,000 Intel Corp expires 03/14/1998+ $ 2,718,750
3,000 Interlink Electronics Inc expires 06/07/1996+ 94
100,000 Viacom Inc Class E expires 07/07/1999+ 243,750
--------------
TOTAL WARRANTS $ 2,962,594
(Cost $2,213,334)
</TABLE>
- ------------------------
46
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 0.46%
CONVERTIBLE CORPORATE BONDS - 0.46%
$ 240,000 First Financial Management Corp 5.00 % 12/15/99 $ 447,000
100,000 Genesis Health Ventures Inc 6.00 11/30/03 198,875
100,000 LDDS Communications Inc 5.00 08/15/03 146,000
--------------
TOTAL CORPORATE BONDS & NOTES $ 791,875
(Cost $416,926)
SHORT-TERM INSTRUMENTS - 8.30%
U.S. TREASURY BILLS - 3.99%
$ 7,000,000 U.S. Treasury Bills 5.18 %(F) 09/19/96 6,921,320
REPURCHASE AGREEMENTS - 4.31%
$ 7,488,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 07/03/96 7,488,000
--------------
TOTAL SHORT-TERM INSTRUMENTS $ 14,409,320
(Cost $14,409,456)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $154,030,016)* (Notes 1 and 3) 100.95% $ 175,238,250
Other Assets and Liabilities, Net (0.95) (1,646,777)
------ --------------
TOTAL NET ASSETS 100.00% $ 173,591,473
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
(F) YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 31,676,710
Gross Unrealized Depreciation (10,468,476)
------------
NET UNREALIZED APPRECIATION $ 21,208,234
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
---------------------
47
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 49.82%
18,793 3Com Corp+ $ 870,376 $ 859,780
90,212 Abbott Laboratories 2,953,870 3,924,222
14,934 Advanced Micro Devices+ 354,992 203,476
13,055 Aetna Life & Casualty Co 813,086 933,433
13,518 Ahmanson (H F) & Co 261,227 364,986
12,779 Air Products & Chemicals Inc 592,771 737,987
56,485 Airtouch Communications+ 1,380,947 1,595,701
3,218 Alberto-Culver Co Class B 82,160 149,235
28,852 Albertson's Inc 817,829 1,193,752
25,775 Alcan Aluminium Ltd 614,335 786,138
14,599 Alco Standard Corp 491,858 660,605
4,911 Alexander & Alexander Services 101,400 96,992
7,423 Allergan Inc 190,855 291,353
32,307 Allied Signal Inc 1,269,140 1,845,537
51,043 Allstate Corp 1,582,282 2,328,837
21,640 Alltel Corp 657,954 665,430
20,201 Aluminum Co of America 786,286 1,159,032
9,449 ALZA Corp+ 240,732 258,666
13,326 Amdahl Corp+ 92,094 143,255
10,596 Amerada Hess Corp 534,385 568,211
20,700 American Brands Inc 764,216 939,263
21,220 American Electric Power Inc 796,632 904,503
55,275 American Express Corp 1,761,022 2,466,647
23,358 American General Corp 736,719 849,647
8,569 American Greetings Corp Class A 260,025 234,576
72,151 American Home Products Corp 2,621,933 4,338,079
54,138 American International Group Inc 3,701,587 5,339,360
16,700 American Stores Co 379,519 688,875
63,184 Ameritech Corp 2,805,670 3,751,550
30,307 Amgen Inc+ 933,491 1,636,578
56,716 Amoco Corp 3,339,631 4,104,821
24,845 AMP Inc 846,003 996,906
10,304 AMR Corp+ 753,570 937,664
6,689 Andrew Corp+ 122,496 359,534
</TABLE>
- ------------------------
48
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
29,059 Anheuser-Busch Inc $ 1,535,728 $ 2,179,425
12,297 Aon Corp 675,004 624,073
13,979 Apple Computer Inc 432,412 293,559
20,291 Applied Materials Inc+ 600,232 618,876
59,439 Archer-Daniels-Midland Co 939,767 1,136,771
12,430 Armco Inc+ 77,535 62,150
4,209 Armstrong World Industries Inc 205,445 242,544
4,768 ASARCO Inc 108,224 131,716
7,310 Ashland Inc 253,910 289,659
183,333 AT & T Corp 10,501,540 11,366,646
18,354 Atlantic Richfield Corp 2,047,070 2,174,949
5,353 Autodesk Inc 148,970 159,921
33,071 Automatic Data Processing 989,203 1,277,367
6,070 Avery Dennison Corp 211,069 333,091
15,398 Avon Products Inc 438,079 694,835
16,228 Baker Hughes Inc 359,329 533,496
3,460 Ball Corp 99,687 99,475
5,417 Bally Entertainment Corp+ 49,830 148,968
16,803 Baltimore Gas & Electric Co 430,083 476,785
51,783 Banc One Corp 1,608,759 1,760,622
12,779 Bank of Boston Corp 373,165 632,561
22,676 Bank of New York Inc 841,841 1,162,145
41,681 BankAmerica Corp 2,023,352 3,157,336
9,006 Bankers Trust N Y Corp 647,179 665,318
6,315 Bard (C R) Inc 170,780 214,710
10,868 Barnett Banks Inc 488,365 662,948
40,279 Barrick Gold Corp 1,121,948 1,092,568
6,572 Bausch & Lomb Inc 299,535 279,310
30,947 Baxter International Inc 913,185 1,462,246
21,151 Bay Networks Inc+ 1,011,690 544,638
7,281 Becton Dickinson & Co 359,342 584,300
49,924 Bell Atlantic Corp 3,028,979 3,182,655
113,444 BellSouth Corp 3,637,340 4,807,190
5,818 Bemis Co Inc 143,025 203,630
6,016 Beneficial Corp 243,665 337,648
12,632 Bethlehem Steel Corp+ 228,316 150,005
11,136 Beverly Enterprises+ 136,686 133,632
</TABLE>
---------------------
49
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
13,393 Biomet Inc+ $ 174,740 $ 192,524
9,853 Black & Decker Corp 241,084 380,572
11,861 Block (H & R) Inc 486,251 386,965
17,993 Boatmen's Bancshares Inc 626,313 721,969
39,182 Boeing Co 1,878,658 3,413,732
5,525 Boise Cascade Corp 161,972 202,353
19,828 Boston Scientific Corp+ 594,537 892,260
3,281 Briggs & Stratton Corp 130,546 134,931
57,524 Bristol-Myers Squibb Co 3,707,282 5,177,160
2,162 Brown Group Inc 64,558 37,565
7,916 Brown-Forman Corp Class B 230,498 316,640
24,306 Browning-Ferris Industries Inc 712,872 704,874
11,013 Brunswick Corp 202,771 220,260
17,088 Burlington Northern Santa Fe 986,365 1,381,992
14,481 Burlington Resources Inc 616,372 622,683
8,197 Cabletron Systems Inc+ 467,870 562,519
4,402 Caliber System Inc 218,237 149,668
28,448 Campbell Soup Co 1,324,758 2,005,584
17,617 Carolina Power & Light Co 545,768 669,446
8,143 Case Corp 363,345 390,864
22,558 Caterpillar Inc 1,124,953 1,528,305
3,237 Centex Corp 119,099 100,752
23,609 Central & South West Corp 685,165 684,661
7,590 Ceridian Corp+ 251,268 383,295
11,003 Champion International Corp 398,274 459,375
12,065 Charming Shoppes Inc+ 118,819 85,209
49,803 Chase Manhattan Bank 2,132,238 3,517,337
74,422 Chevron Corp 3,554,199 4,390,898
42,602 Chrysler Corp+ 2,238,747 2,641,324
19,914 Chubb Corp 845,628 993,211
8,695 CIGNA Corp 674,587 1,024,923
3,832 Cincinnati Milacron Inc 88,553 91,968
17,939 Cinergy Corp 447,178 574,048
11,184 Circuit City Stores Inc 281,091 404,022
64,860 Cisco Systems Inc+ 1,469,169 3,672,698
55,463 Citicorp 2,881,280 4,582,630
5,877 Clorox Co 351,167 520,849
</TABLE>
- ------------------------
50
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
12,058 Coastal Corp $ 354,347 $ 503,422
284,428 Coca-Cola Co 7,366,407 13,901,419
16,612 Colgate-Palmolive Co 1,047,502 1,407,867
5,801 Columbia Gas System Inc+ 164,456 302,377
50,790 Columbia HCA Healthcare Corp 2,249,991 2,710,916
27,358 Comcast Corp Class A 558,789 506,123
13,561 Comerica Inc 511,169 605,160
5,091 Community Psychiatric Centers+ 66,359 48,365
30,297 Compaq Computer Corp+ 934,817 1,492,127
27,602 Computer Associates International Inc+ 989,537 1,966,643
6,395 Computer Sciences Corp+ 282,915 478,026
28,166 ConAgra Inc 891,545 1,278,032
8,960 Conrail Inc 548,553 594,720
26,858 Consolidated Edison Co 874,339 785,597
4,826 Consolidated Freightways 112,033 101,949
10,626 Consolidated Natural Gas Co 481,730 555,209
12,311 Cooper Industries Inc 553,412 510,907
9,625 Cooper Tire & Rubber Co 238,149 214,156
4,317 Coors (Adolph) Co Class B 81,974 77,166
25,298 CoreStates Financial Corp 887,919 973,973
26,149 Corning Inc 782,229 1,003,468
16,617 CPC International Inc 890,364 1,196,424
3,446 Crane Co 102,288 141,286
753 Cray Research Inc+ 16,506 18,166
14,262 Crown Cork & Seal Co+ 612,192 641,790
24,035 CSX Corp 993,543 1,159,689
21,669 CUC International Inc+ 619,261 769,250
4,606 Cummins Engine Co Inc 214,307 185,967
10,638 Cyprus Amax Minerals 279,437 240,685
11,575 Dana Corp 328,397 358,825
18,047 Darden Restaurants Inc+ 199,353 194,005
4,365 Data General Corp+ 42,776 56,745
8,201 Dayton-Hudson Corp 573,159 845,728
19,420 Dean Witter Discover & Co 824,343 1,111,795
29,927 Deere & Co 818,596 1,197,080
8,079 Delta Air Lines Inc 533,381 670,557
9,480 Deluxe Corp 314,745 336,540
</TABLE>
---------------------
51
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
10,771 Dial Corp $ 248,692 $ 308,320
17,498 Digital Equipment Corp+ 732,487 787,410
12,910 Dillard Department Stores Inc Class A 432,397 471,215
77,310 Disney (Walt) Co 4,457,581 4,860,866
19,991 Dominion Resources Inc 877,934 799,640
17,523 Donnelley (R R) & Sons Co 563,519 611,115
12,982 Dover Corp 417,386 598,795
28,525 Dow Chemical Co 1,801,161 2,167,900
11,114 Dow Jones & Co Inc 413,382 464,010
20,781 Dresser Industries Inc 464,197 613,040
13,224 DSC Communications Corp+ 426,063 398,373
16,632 DTE Energy Co 530,257 513,513
23,362 Duke Power Co 1,004,665 1,197,303
19,283 Dun & Bradstreet Corp 1,202,261 1,205,188
63,950 DuPont (E I) de Nemours 3,699,111 5,060,044
2,302 Eastern Enterprises 64,818 76,542
9,141 Eastman Chemical Co 491,152 556,458
39,419 Eastman Kodak Co 2,090,971 3,064,827
8,864 Eaton Corp 477,749 519,652
6,885 Echlin Inc 231,304 260,769
14,527 Echo Bay Mines Ltd 176,705 156,165
7,423 Ecolab Inc 179,927 244,959
51,003 Edison International 1,010,976 898,928
5,557 EG & G Inc 99,970 118,781
25,943 EMC Corp+ 578,763 483,188
25,609 Emerson Electric Co 1,655,454 2,314,413
16,541 Engelhard Corp 312,248 380,443
28,774 Enron Corp 960,433 1,176,137
7,802 Enserch Corp 136,454 169,694
25,990 Entergy Corp 827,593 737,466
141,632 Exxon Corp 9,559,120 12,304,280
6,447 Federal Express Corp+ 445,522 528,654
20,616 Federal Home Loan Mortgage Corp 1,202,436 1,762,668
124,502 Federal National Mortgage Assoc 2,744,734 4,170,817
23,149 Federated Department Stores Inc+ 628,828 789,960
11,432 Fifth Third Bancorp 667,652 617,328
16,101 First Bank System Inc 840,642 933,858
</TABLE>
- ------------------------
52
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
36,627 First Chicago NBD Corp $ 1,107,887 $ 1,433,031
25,431 First Data Corp 1,547,134 2,024,943
32,475 First Union Corp 1,353,149 1,976,916
30,298 Fleet Financial Group Inc 985,119 1,317,963
5,332 Fleetwood Enterprises Inc 123,331 165,292
4,358 Fleming Co Inc 115,526 62,646
9,561 Fluor Corp 446,911 625,050
4,229 FMC Corp+ 230,622 275,942
133,393 Ford Motor Co 4,078,788 4,318,598
4,597 Foster Wheeler Corp 174,731 206,290
21,133 FPL Group Inc 833,449 972,118
23,089 Freeport McMoRan Copper & Gold Inc Class B 638,285 735,962
8,775 Fruit of the Loom Inc Class A+ 234,147 223,763
16,004 Gannett Co Inc 876,947 1,132,283
32,859 Gap Inc 612,776 1,055,595
7,174 General Dynamics Corp 345,845 444,788
189,471 General Electric Co 10,464,023 16,389,242
13,983 General Instrument Corp+ 382,969 403,759
18,129 General Mills Inc 943,985 988,031
86,250 General Motors Corp 4,312,965 4,517,344
13,413 General Public Utilities 406,069 472,808
9,321 General Re Corp 1,160,712 1,419,122
5,418 General Signal Corp 190,299 205,207
14,006 Genuine Parts Co 545,693 640,775
10,484 Georgia-Pacific Corp 739,117 744,364
6,807 Giant Food Inc Class A 170,264 244,201
4,021 Giddings & Lewis Inc 85,496 65,341
50,600 Gillette Co 1,855,697 3,156,175
6,717 Golden West Financial 286,902 376,152
5,912 Goodrich (B F) Co 144,842 220,961
17,451 Goodyear Tire & Rubber Co 755,658 842,011
11,056 Grace (W R) & Co 510,069 783,594
5,804 Grainger (W W) Inc 345,151 449,810
4,359 Great Atlantic & Pacific Tea Co 109,214 143,302
7,376 Great Lakes Chemical Corp 534,603 459,156
15,602 Great Western Financial Corp 304,388 372,498
15,671 Green Tree Financial Inc 531,169 489,719
</TABLE>
---------------------
53
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
111,196 GTE Corp $ 4,240,370 $ 4,976,021
13,093 Halliburton Co 471,030 726,662
8,284 Harcourt General Inc 320,400 414,200
3,585 Harland (John H) Co 86,566 88,281
5,372 Harnischfeger Industries Inc 148,117 178,619
11,716 Harrah's Entertainment Inc+ 371,141 330,977
4,394 Harris Corp 211,470 268,034
10,057 Hasbro Inc 365,707 359,538
42,149 Heinz (H J) Co 1,125,223 1,280,276
2,859 Helmerich & Payne Inc 84,127 104,711
12,587 Hercules Inc 520,230 695,432
8,829 Hershey Foods Corp 487,571 647,828
58,185 Hewlett Packard Co 2,984,196 5,796,681
5,467 Hilton Hotels Corp 328,532 615,038
54,394 Home Depot Inc 2,270,606 2,937,276
15,930 Homestake Mining Co 306,461 272,801
14,538 Honeywell Inc 542,932 792,321
11,220 Household International Inc 478,968 852,720
30,024 Houston Industries Inc 680,296 739,341
18,577 Humana Inc+ 518,364 332,064
13,414 Illinois Tool Works Inc 597,636 907,122
13,483 Inco Ltd 354,042 434,827
12,456 Ingersoll-Rand Co 453,729 544,950
5,684 Inland Steel Industries Inc 177,625 111,549
93,675 Intel Corp 3,559,018 6,879,258
5,344 Intergraph Corp+ 66,057 64,796
62,044 International Business Machines Corp 4,242,219 6,142,356
12,676 International Flavors & Fragrances 531,880 603,695
33,747 International Paper Co 1,145,129 1,244,421
8,926 Interpublic Group Cos Inc 303,418 418,406
13,533 ITT Corp+ 574,714 896,561
13,613 ITT Hartford Group Inc+ 550,630 724,892
13,312 ITT Industries Inc 244,258 334,464
9,527 James River Corp 201,109 251,275
8,149 Jefferson-Pilot Corp 302,079 420,692
152,026 Johnson & Johnson 4,327,962 7,525,287
4,690 Johnson Controls Inc 264,822 325,955
</TABLE>
- ------------------------
54
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
4,447 Jostens Inc $ 88,355 $ 87,828
54,746 K Mart Corp 984,067 677,482
3,891 Kaufman & Broad Home Corp 69,583 56,420
24,176 Kellogg Co 1,459,452 1,770,892
5,894 Kerr-McGee Corp 299,914 358,797
27,079 KeyCorp 870,154 1,049,311
31,870 Kimberly-Clark Corp 1,561,502 2,461,958
4,243 King World Productions+ 169,027 154,339
5,573 Knight-Ridder Inc 322,510 404,043
14,069 Kroger Co+ 360,030 555,726
33,823 Laidlaw Inc Class B 309,132 342,458
62,886 Lilly (Eli) & Co 2,144,947 4,087,590
31,124 Limited Inc 591,603 669,166
11,866 Lincoln National Corp 536,101 548,803
8,508 Liz Claiborne Inc 171,200 294,590
22,717 Lockheed Martin Corp 1,188,218 1,908,228
13,412 Loews Corp 798,112 1,057,872
2,280 Longs Drug Stores Corp 80,916 101,745
3,847 Louisiana Land & Exploration Co 162,201 221,683
12,375 Louisiana-Pacific Corp 409,721 273,797
18,373 Lowe's Co Inc 534,219 663,725
14,711 LSI Logic Corp+ 516,015 382,486
2,668 Luby's Cafeterias Inc 58,618 62,698
8,479 Mallinckrodt Group Inc 298,738 329,621
7,143 Manor Care Inc 202,215 281,256
14,307 Marriott International 449,930 769,001
8,344 Marsh & McLennan Companies Inc 702,573 805,196
18,268 Masco Corp 563,841 552,607
31,567 Mattel Inc 566,405 903,605
28,391 May Co Department Stores Co 1,073,313 1,242,106
12,221 Maytag Corp 207,348 255,113
25,378 MBNA Corp 456,670 723,273
6,126 McDermott International Inc 160,375 127,880
79,485 McDonald's Corp 2,665,779 3,715,924
25,554 McDonnell Douglas Corp 606,643 1,239,369
11,416 McGraw-Hill Inc 420,209 522,282
78,846 MCI Communications 2,024,550 2,020,429
</TABLE>
---------------------
55
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
6,183 Mead Corp $ 292,229 $ 320,743
26,542 Medtronic Inc 751,157 1,486,352
15,230 Mellon Bank Corp 614,374 868,110
12,019 Melville Corp 458,507 486,770
4,161 Mercantile Stores Co Inc 162,528 243,939
139,863 Merck & Co Inc 5,906,405 9,038,646
3,182 Meredith Corp 79,906 132,849
20,071 Merrill Lynch & Co Inc 942,959 1,307,124
23,664 Micron Technology Inc 612,110 612,306
67,826 Microsoft Corp+ 4,399,819 8,147,598
5,126 Millipore Corp 125,524 214,651
47,855 Minnesota Mining & Manufacturing Co 2,634,993 3,301,995
45,033 Mobil Corp 3,913,064 5,049,325
66,450 Monsanto Co 1,092,575 2,159,625
11,474 Moore Corp Ltd 227,182 216,572
21,398 Morgan (J P) & Co Inc 1,518,937 1,810,806
17,628 Morgan Stanley Group 871,448 865,976
16,790 Morton International Inc 531,147 625,428
67,442 Motorola Inc 3,507,885 4,240,416
1,036 NACCO Industries Inc Class A 50,205 57,369
7,740 Nalco Chemical Co 263,772 243,810
25,124 National City Corp 801,344 882,481
15,585 National Semiconductor+ 263,765 241,568
5,561 National Service Industries Inc 150,396 217,574
34,192 NationsBank 1,836,813 2,825,114
8,497 Navistar International Corp+ 171,116 83,908
11,088 New York Times Co Class A 279,185 361,746
18,167 Newell Co 397,715 556,364
10,819 Newmont Mining Corp 481,862 534,188
16,308 Niagara Mohawk Power Corp 293,996 126,387
5,809 NICOR Inc 159,006 164,830
16,372 Nike Inc Class B 557,151 1,682,223
14,288 NorAm Energy Corp 110,075 155,382
9,277 Nordstrom Inc 332,465 412,827
14,849 Norfolk Southern Corp 1,036,653 1,258,453
7,817 Northern States Power Co 352,891 385,964
28,953 Northern Telecom Ltd 959,337 1,574,319
</TABLE>
- ------------------------
56
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
6,452 Northrop Grumman Corp $ 293,506 $ 439,543
41,747 Norwest Corp 1,160,865 1,455,927
42,117 Novell Inc+ 789,254 584,373
9,950 Nucor Corp 539,792 503,719
49,792 NYNEX Corp 2,188,767 2,365,120
36,448 Occidental Petroleum Corp 716,869 902,088
5,579 Ogden Corp 125,603 101,119
17,475 Ohio Edison Co 398,555 382,266
3,084 ONEOK Inc 62,493 77,100
74,501 Oracle Systems Corp+ 1,408,304 2,938,133
12,037 Oryx Energy Co+ 217,802 195,601
2,324 Outboard Marine Corp 45,578 42,123
5,805 Owens Corning Fiberglass Corp 246,389 249,615
4,399 PACCAR Inc 227,744 215,551
9,755 Pacific Enterprises 250,628 288,992
47,821 Pacific Gas & Electric Co 1,523,080 1,111,838
48,940 Pacific Telesis Group 1,547,349 1,651,725
33,457 PacifiCorp 656,227 744,418
13,196 Pall Corp 280,499 318,354
17,201 Panenergy Corp 400,918 565,483
8,425 Parker Hannifin Corp 221,326 357,009
25,291 PECO Energy Co 742,899 657,566
25,497 Penney (J C) Co Inc 1,269,184 1,338,593
5,351 Pennzoil Co 282,394 247,484
4,050 Peoples Energy Corp 122,107 135,675
7,070 Pep Boys-Manny Moe & Jack 195,880 240,380
178,578 Pepsico Inc 3,878,797 6,317,197
4,790 Perkin-Elmer Corp 170,316 231,118
72,561 Pfizer Inc 2,938,863 5,179,041
57,458 Pharmacia and Upjohn Inc+ 1,880,823 2,549,699
7,877 Phelps Dodge Corp 395,437 491,328
94,585 Philip Morris Co Inc 6,016,074 9,836,840
29,933 Phillips Petroleum Co 959,619 1,253,444
9,549 Pioneer Hi Bred International Inc 367,732 504,903
17,265 Pitney Bowes Inc 703,522 824,404
27,280 Placer Dome Inc 666,533 651,310
38,976 PNC Bank Corp 1,155,732 1,159,536
</TABLE>
---------------------
57
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
5,215 Polaroid Corp $ 190,352 $ 237,934
3,343 Potlatch Corp 144,422 130,795
18,168 PP & L Resources Inc 469,786 429,219
22,014 PPG Industries Inc 833,822 1,073,183
17,628 Praxair Inc 402,038 744,783
22,427 Price/Costco Inc+ 385,620 484,984
78,283 Procter & Gamble Co 4,940,252 7,094,397
10,891 Providian Corp 427,426 466,952
27,913 Public Services Enterprise Group 884,273 764,118
3,117 Pulte Corp 103,842 83,380
15,396 Quaker Oats Co 529,874 525,389
11,998 Ralston-Purina Group 538,069 769,372
4,992 Raychem Corp 216,237 358,800
27,668 Raytheon Co 974,302 1,428,361
8,631 Reebok International Ltd 263,834 290,217
6,388 Republic New York Corp 374,640 397,653
7,237 Reynolds Metals Co 341,372 377,229
9,528 Rite Aid Corp 214,968 283,458
24,814 Rockwell International Corp 1,012,031 1,420,602
7,644 Rohm & Haas Co 425,288 479,661
9,854 Rowan Co Inc+ 85,356 145,347
61,197 Royal Dutch Petroleum Co 6,924,071 9,409,039
18,076 Rubbermaid Inc 605,585 492,571
4,477 Russell Corp 123,687 123,677
6,275 Ryan's Family Steak House+ 49,172 58,044
8,980 Ryder System Inc 218,481 252,563
14,385 SAFECO Corp 428,876 508,869
6,715 Safety-Kleen Corp 103,480 117,513
12,139 Salomon Inc 512,718 534,116
10,542 Santa Fe Energy Resources Inc+ 102,769 125,186
14,999 Santa Fe Pacific Gold Corp 227,411 211,861
55,201 Sara Lee Corp 1,526,813 1,787,132
69,622 SBC Communication Inc 3,105,620 3,428,884
41,601 Schering-Plough Corp 1,578,835 2,610,463
27,617 Schlumberger Ltd 1,719,408 2,326,732
8,725 Scientific-Atlanta Inc 157,393 135,238
42,692 Seagram Co Ltd 1,285,715 1,435,519
</TABLE>
- ------------------------
58
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
44,441 Sears Roebuck & Co $ 1,387,820 $ 2,160,944
13,374 Service Corp International 440,229 769,005
2,651 Shared Medical System Corp 85,279 170,327
9,680 Sherwin Williams Co 350,245 450,120
4,832 Shoney's Inc+ 84,869 52,548
5,668 Sigma-Aldrich Corp 225,214 303,238
18,221 Silicon Graphics Inc+ 611,793 437,304
4,591 Snap-On Inc 180,185 217,499
9,859 Sonat Inc 306,301 443,655
75,996 Southern Co 1,697,607 1,871,402
16,521 Southwest Airlines Co 426,661 481,174
2,348 Springs Industries Inc Class A 89,613 118,574
49,641 Sprint Corp 1,605,428 2,084,922
8,480 St Jude Medical Inc+ 217,794 284,080
9,620 St Paul Co Inc 464,381 514,670
10,128 Stanley Works 219,391 301,308
10,960 Stone Container Corp+ 169,495 150,700
5,835 Stride Rite Corp 83,977 48,139
8,586 Sun Co Inc 253,347 260,800
20,899 Sun Microsystems Inc+ 402,375 1,230,429
25,800 SunTrust Banks Inc 650,581 954,600
7,834 Super Value Inc 253,547 246,771
20,971 Sysco Corp 599,602 718,257
13,398 Tandem Computers Inc+ 165,413 165,800
7,295 Tandy Corp 325,643 345,601
3,870 Tektronix Inc 124,675 173,183
74,484 Tele-Communication Inc Class A+ 1,404,143 1,350,023
6,388 Teledyne Inc 158,202 230,767
10,075 Tellabs Inc+ 474,472 673,766
6,396 Temple-Inland Inc 286,788 299,013
23,844 Tenet Healthcare Corp+ 374,048 509,666
19,804 Tenneco Inc 1,014,567 1,012,480
30,098 Texaco Inc 2,065,466 2,524,470
21,561 Texas Instruments Inc 821,839 1,075,355
25,782 Texas Utilities Co 1,080,393 1,102,181
9,685 Textron Inc 578,813 773,589
4,440 Thomas & Betts Corp 143,850 166,500
</TABLE>
---------------------
59
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
44,230 Time Warner Inc $ 1,852,008 $ 1,736,028
12,461 Times Mirror Co Class A 300,968 542,054
3,630 Timken Co 124,912 140,663
8,303 TJX Companies Inc 206,888 280,226
8,185 Torchmark Corp 378,938 358,094
31,180 Toys R Us Inc+ 1,090,280 888,630
7,782 Transamerica Corp 461,670 630,342
54,246 Travelers Inc 1,535,869 2,474,974
7,284 Tribune Co 416,886 529,001
3,308 Trinova Corp 100,395 110,405
7,445 TRW Inc 524,618 669,119
6,999 Tupperware Corp+ 218,570 295,708
17,471 Tyco International Inc 469,926 711,943
18,358 U.S. Bancorp 568,482 663,183
17,550 U.S. Healthcare Inc 818,158 965,250
3,961 U.S. Life Corp 109,220 130,218
53,681 U.S. West Inc 1,516,383 1,711,082
53,781 U.S. West Media Group+ 1,012,805 981,503
24,555 Unicom Corp 713,558 684,471
18,275 Unilever NV 2,223,786 2,652,159
8,007 Union Camp Corp 376,480 390,341
15,672 Union Carbide Corp 423,720 622,962
11,640 Union Electric Co 468,473 468,510
23,492 Union Pacific Corp 1,439,239 1,641,504
19,745 Unisys Corp+ 212,371 140,683
20,825 United Healthcare Corp 1,020,352 1,051,663
6,501 United States Surgical 153,309 201,531
13,902 United Technologies Corp 972,997 1,598,730
28,164 Unocal Corp 806,514 950,535
8,302 UNUM Corp 462,896 516,800
6,874 USAir Group Inc+ 83,740 123,732
12,850 USF & G Corp 194,673 210,419
22,991 UST Inc 671,225 787,442
32,810 USX - Marathon Group 596,787 660,301
9,451 USX - US Steel Group 344,912 268,172
4,566 Varity Corp+ 188,945 219,739
7,271 VF Corp 334,315 433,533
</TABLE>
- ------------------------
60
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
42,077 Viacom Inc Class B+ $ 1,722,233 $ 1,635,743
19,461 Wachovia Corp 736,286 851,419
261,774 Wal Mart Stores Inc 6,553,129 6,642,515
28,092 Walgreen Co 667,316 941,082
30,924 Warner Lambert Co 1,149,182 1,700,820
11,134 Wells Fargo & Co 1,513,603 2,659,634
13,634 Wendy's International Inc 237,572 253,933
6,052 Western Atlas Inc+ 252,037 352,529
47,362 Westinghouse Electric Corp 738,193 888,038
11,484 Westvaco Corp 282,350 343,085
23,056 Weyerhaeuser Co 971,710 979,880
8,478 Whirlpool Corp 507,875 420,721
12,006 Whitman Corp 210,520 289,645
6,359 Willamette Industries Inc 422,642 378,361
11,618 Williams Co Inc 371,542 575,091
17,407 Winn-Dixie Stores Inc 508,349 615,773
56,196 WMX Technologies Inc 1,545,378 1,840,419
14,950 Woolworth Corp+ 308,794 336,375
21,993 WorldCom Inc+ 1,009,639 1,217,862
10,359 Worthington Industries Inc 204,810 216,244
13,219 Wrigley (Wm) Jr Co 620,626 667,560
36,783 Xerox Corp 1,205,617 1,967,853
3,259 Yellow Corp+ 68,473 43,182
------------ --------------
TOTAL COMMON STOCKS $439,932,674 $ 577,628,584
</TABLE>
---------------------
61
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 49.67%
$26,900,000 U.S. Treasury Bonds 6.25 % 08/15/23 $ 24,369,678
23,500,000 U.S. Treasury Bonds 6.88 08/15/25 23,250,313
35,300,000 U.S. Treasury Bonds 7.13 02/15/23 35,653,000
37,983,000 U.S. Treasury Bonds 7.25 05/15/16 38,908,836
20,400,000 U.S. Treasury Bonds 7.25 08/15/22 20,903,594
46,300,000 U.S. Treasury Bonds 7.50 11/15/24 49,078,000
18,300,000 U.S. Treasury Bonds 7.63 11/15/22 19,575,254
16,400,000 U.S. Treasury Bonds 7.88 02/15/21 17,968,250
43,900,000 U.S. Treasury Bonds 8.00 11/15/21 48,852,403
27,849,000 U.S. Treasury Bonds 8.13 08/15/19 31,234,352
17,200,000 U.S. Treasury Bonds 8.13 05/15/21 19,376,849
30,250,000 U.S. Treasury Bonds 8.13 08/15/21 34,050,156
33,500,000 U.S. Treasury Bonds 8.50 02/15/20 39,048,438
44,782,000 U.S. Treasury Bonds 8.75 05/15/17 53,136,575
27,625,000 U.S. Treasury Bonds 8.75 08/15/20 33,029,141
32,015,000 U.S. Treasury Bonds 8.88 02/15/19 38,608,041
20,249,000 U.S. Treasury Bonds 9.00 11/15/18 24,684,766
9,050,000 U.S. Treasury Bonds 9.13 05/15/18 11,139,971
5,624,000 U.S. Treasury Bonds 9.25 02/15/16 6,956,185
4,610,000 U.S. Treasury Bonds 9.88 11/15/15 6,003,077
--------------
TOTAL U.S. TREASURY SECURITIES $ 575,826,879
(Cost $567,255,061)
SHORT-TERM INSTRUMENTS - 0.46%
$ 771,000 U.S. Treasury Bills 4.30 %(F) 07/05/96 $ 770,483
2,017,000 U.S. Treasury Bills 4.92 (F) 08/15/96 2,004,559
140,000 U.S. Treasury Bills 5.06 (F) 08/29/96 138,880
1,079,000 U.S. Treasury Bills 5.15 (F) 09/12/96 1,067,972
1,398,000 U.S. Treasury Bills 5.18 (F) 09/19/96 1,382,061
--------------
TOTAL SHORT-TERM INSTRUMENTS $ 5,363,955
(Cost $5,363,868)
</TABLE>
- ------------------------
62
<PAGE>
MASTER INVESTMENT TRUST - ASSET ALLOCATION MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $1,012,551,603)* (Notes 1 and 3) 99.95% $1,158,819,418
Other Assets and Liabilities, Net 0.05 532,649
------ --------------
TOTAL NET ASSETS 100.00% $1,159,352,067
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
(F) YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $161,349,210
Gross Unrealized Depreciation (15,081,395)
------------
NET UNREALIZED APPRECIATION $146,267,815
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
---------------------
63
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - 96.03%
$ 3,000,000 ABAG Finance Authority for Nonprofit Corp CA
Stanford University Hospital 5.50 % 11/01/13 $ 2,807,400
1,000,000 Alameda CA USD AMBAC Insured 5.95 07/01/09 1,030,140
1,000,000 Alameda CA USD AMBAC Insured 6.05 07/01/11 1,026,780
3,620,000 Antioch CA Public FA Water Revenue Water
Treatment Plant Project MBIA Insured 5.63 07/01/14 3,541,301
1,330,000 Arcadia CA USD Capital Appreciation Series A
MBIA Insured 6.77 (F) 09/01/06 775,350
1,430,000 Arcadia CA USD Capital Appreciation Series A
MBIA Insured 7.37 (F) 09/01/07 782,038
250,000 Bakersfield CA City School District Series D
FGIC Insured 6.60 08/01/16 264,253
250,000 Big Bear Lake CA Water Revenue FGIC Insured 6.25 04/01/12 257,225
2,545,000 Bonita CA USD COP MBIA Insured 5.63 05/01/10 2,553,984
1,300,000 Burbank Glendale Pasadena Airport Authority CA
Airport Revenue AMBAC Insured 6.40 06/01/10 1,352,663
400,000 California State DWR Central Valley Project
Revenue Series F 6.00 12/01/11 402,764
1,830,000 California State DWR Central Valley Project
Revenue Series L 5.75 12/01/13 1,803,520
1,000,000 California State DWR Central Valley Project
Revenue Series L 5.75 12/01/14 985,140
3,235,000 California State DWR Central Valley Project
Series O 4.75 12/01/17 2,753,244
680,000 California State EDFA Revenue Mills College 6.70 09/01/05 739,072
50,000 California State EDFA Revenue Pomona College 6.13 02/15/08 52,365
4,435,000 California State EDFA Revenue St Mary's College 4.75 10/01/20 3,617,541
750,000 California State EDFA Revenue University of San
Diego Project 6.50 10/01/08 796,710
</TABLE>
- ------------------------
64
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 1,000,000 California State EDFA Revenue University of San
Francisco MBIA Insured 5.60 % 10/01/10 $ 1,007,450
1,000,000 California State GO 4.75 09/01/11 894,340
California State GO 4.75 09/01/12 885,360
1,910,000 California State GO Eagles II Series 6 7.54 04/01/10 866,892
50,000 California State HFA Home Mortgage Revenue
Series B FHA Collateralized 6.90 08/01/16 50,737
200,000 California State HFA Home Mortgage Revenue
Series B MBIA Insured 6.90 08/01/16 202,908
300,000 California State HFA Home Mortgage Revenue
Series G AMT Multiple Credit Enhancements 6.95 08/01/11 315,822
500,000 California State HFA Home Multi Unit Rental
Mortgage Revenue Series B-II 6.70 08/01/15 518,270
500,000 California State HFA Home Multi-Unit Rental
Mortgage Revenue Series C-II AMT 6.85 08/01/15 518,160
1,250,000 California State HFA Multi-Unit Rental Housing
Revenue Series A AMT 5.50 08/01/15 1,151,013
1,500,000 California State HFFA Revenue Kaiser Permanente
Series A 6.25 03/01/21 1,547,175
600,000 California State HFFA Revenue Small Insured
Health Facilities Series A 6.70 03/01/11 623,184
1,000,000 California State HFFA San Diego Hospital
Association MBIA Insured 6.20 08/01/12 1,020,320
1,795,000 California State HFFA Scripps Memorial Hospital
Series A MBIA Insured 6.25 10/01/13 1,828,082
2,500,000 California State PCFA Pacific Gas & Electric Co
AMT 6.35 06/01/09 2,564,000
1,445,000 California State PCFA Pacific Gas & Electric Co
AMT 6.63 06/01/09 1,517,004
2,000,000 California State Public Works Board Lease
Revenue Department of Corrections Series A
AMBAC Insured 5.50 01/01/15 1,927,760
1,000,000 California State Public Works Board Lease
Revenue University Of California Project
Series A AMBAC Insured 6.00 12/01/12 1,011,180
</TABLE>
---------------------
65
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 1,755,000 California State Public Works Board Lease
Revenue University Of California Project
Series A AMBAC Insured 6.30 % 12/01/09 $ 1,849,858
1,500,000 California Statewide CDA Lease Revenue Oakland
Convention Centers Project AMBAC Insured 5.50 10/01/14 1,429,860
6,800,000 California Statewide CDA Lease Revenue Oakland
Convention Centers Project AMBAC Insured 6.00 10/01/10 6,963,880
1,000,000 California Statewide CDA Motion Picture and
Television Development AMBAC Insured 5.20 01/01/11 948,920
1,750,000 California Statewide CDA Motion Picture and
Television Development AMBAC Insured 5.25 01/01/12 1,657,128
500,000 California Statewide CDA Revenue COP Health
Facilities Barton Memorial Hospital LOC -
Banque Nationale de Paris 6.40 12/01/05 504,080
1,810,000 California Statewide CDA Revenue COP Hospital
Cedars Sinai Medical Center 6.50 08/01/12 1,890,237
1,500,000 California Statewide CDA Revenue COP Sutter
Health Obligated Group AMBAC Insured 6.00 08/15/09 1,525,950
1,935,000 California Statewide CDA Water Revenue Series A 6.00 07/01/10 1,968,011
200,000 Capitol Area Development Authority Sacramento
CA Lease Revenue Series A MBIA Insured 6.50 04/01/12 208,868
300,000 Center CA USD Series A MBIA Insured 6.63 09/01/17 319,674
1,500,000 Cerritos CA PFA Redevelopment Los Cerritos
Redevelopment Project Revenue 6.05 11/01/20 1,460,700
400,000 Chula Vista CA COP Town Centre II Package
Project RDA 6.00 09/01/07 406,792
735,000 Chula Vista CA COP Town Centre II Package
Project RDA 6.00 09/01/08 742,262
820,000 Chula Vista CA COP Town Centre II Package
Project Redevelopment Agency 6.00 09/01/10 822,329
</TABLE>
- ------------------------
66
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 2,000,000 Coachella CA Water Revenue COP FSA Insured 6.10 % 03/01/22 $ 2,020,440
1,000,000 Coachella Valley CA Water District Improvement
District 71 Storm Water District Flood
Control 6.60 10/01/06 1,068,010
985,000 Coachella Valley CA Water District Improvement
District Seven Storm Water District Flood
Control Project 6.45 10/01/05 1,051,192
2,500,000 Concord CA RDFA Tax Allocation 5.75 07/01/10 2,356,900
1,500,000 Contra Costa County CA COP Public Facilities
Merrithew Memorial Hospital Replacement 6.60 11/01/12 1,550,415
1,000,000 Contra Costa County CA Water Treatment Revenue
Series A FGIC Insured 5.60 10/01/10 997,680
1,045,000 Corona CA PFA Public Improvement Revenue 5.95 07/01/07 1,029,618
1,075,000 Cotati CA Facilities Financing Authority Tax
Allocation Series A 5.60 09/01/12 996,912
1,250,000 Cucamonga County CA Water District COP
Refinancing Facilities FGIC Insured 6.30 09/01/12 1,291,163
15,000 Culver City CA RDFA AMBAC Insured 6.75 11/01/15 15,878
2,500,000 Cupertino CA Series A AMBAC Insured 5.75 07/01/16 2,464,700
1,450,000 Cupertino CA Series B 6.25 07/01/10 1,470,924
1,855,000 Duarte CA COP City of Hope National Medical
Center 6.13 04/01/13 1,813,096
1,000,000 East Bay CA MUD Wastewater Treatment Revenue
FGIC Insured 5.00 06/01/16 898,400
3,000,000 East Bay CA MUD Wastewater Treatment Revenue
MBIA Insured 5.00 06/01/14 2,727,780
1,500,000 East Bay CA MUD Wastewater Treatment System
Revenue AMBAC Insured 6.00 06/01/09 1,544,655
1,195,000 East Bay CA Regional Park District Series B 5.75 09/01/14 1,162,986
495,000 Eastern Municipal Water District CA Water &
Sewer Revenue Certificates FGIC Insured 6.30 07/01/20 503,890
5,000,000 Elsinore Valley CA Municipal Water District COP
Series A FGIC Insured 5.75 07/01/19 4,924,700
</TABLE>
---------------------
67
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 1,000,000 Elsinore Valley CA Municipal Water District COP
Series A FGIC Insured 6.00 % 07/01/12 $ 1,034,210
1,045,000 Emeryville CA HFA 6.20 09/01/15 1,045,920
3,000,000 Emeryville CA PFA Housing Increment Revenue
Series A 6.35 05/01/10 3,067,530
2,000,000 Escondido CA PFA Lease Revenue Escondido Civic
Center Project Series B AMBAC Insured 6.13 09/01/11 2,134,300
1,200,000 Escondido CA USD COP Series A 5.90 07/01/11 1,137,672
1,080,000 Escondido CA USD Series A FGIC Insured 5.13 09/01/15 993,719
1,110,000 Folsom CA PFA Revenue AMBAC Insured 6.00 10/01/12 1,118,536
1,000,000 Foothill CA De Anza Community College Connie
Lee Insured 5.25 09/01/21 905,510
1,270,000 Fremont CA USD Alameda County Series E FGIC
Insured 5.90 09/01/15 1,282,776
2,000,000 Fresno CA Conference Center 5.00 04/01/13 1,835,400
2,000,000 Fresno CA Joint Powers Financing Authority
Street Light Acquisition Project Series A 5.50 08/01/12 1,871,640
1,500,000 Glendale CA RDFA Tax Allocation Revenue AMBAC
Insured 5.50 12/01/09 1,482,630
1,000,000 Glendale CA RDFA Tax Allocation Revenue AMBAC
Insured 5.50 12/01/11 977,360
575,000 Huntington Beach CA PFA Revenue Bond 6.55 08/01/01 557,854
1,000,000 Indian Wells CA RDFA Tax Allocation Whitewater
Project MBIA Insured 6.00 12/01/14 1,007,880
1,310,000 Indian Wells CA Redevelopment Agency Tax
Allocation MBIA Insured 5.38 12/01/15 1,235,199
1,000,000 Industry CA GO MBIA Insured 5.50 07/01/11 987,690
200,000 Industry CA Urban Development Agency 6.85 11/01/04 213,910
1,270,000 Industry CA Urban Development Agency Tax
Allocation MBIA Insured 5.80 05/01/09 1,291,361
1,000,000 Industry CA Urban Development Agency Tax
Allocation MBIA Insured 6.00 05/01/15 1,008,790
1,350,000 Jackson CA COP Water System Acquisition Project 6.80 09/01/23 1,366,430
270,000 Jamul-Dulzura CA USD 6.40 08/01/16 284,626
</TABLE>
- ------------------------
68
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 1,185,000 La Verne CA COP Capital Improvements Projects 5.70 % 06/01/15 $ 1,110,475
500,000 Lemon Grove CA CDA Lemon Grove Redevelopment
Project 6.65 08/01/06 519,585
300,000 Long Beach CA Harbor Revenue Series A AMT 7.25 05/15/19 316,890
1,000,000 Los Angeles CA Community College District COP
Series A CGIC Insured 5.90 08/15/07 1,040,420
1,750,000 Los Angeles CA DW&P Electric Plant Revenue 5.70 09/01/11 1,736,683
200,000 Los Angeles CA DW&P Electric Plant Revenue 6.38 02/01/20 206,066
2,000,000 Los Angeles CA DW&P Electric Plant Revenue
Second Issue 5.75 08/15/11 1,994,840
3,000,000 Los Angeles CA DW&P Waterworks Revenue 5.70 04/15/09 3,014,850
340,000 Los Angeles CA Municipal Improvement Corp Lease
Revenue Central Library Project Series A 6.30 06/01/16 339,167
1,300,000 Los Angeles CA Wastewater System Revenue Series
A MBIA Insured 5.70 06/01/13 1,289,938
1,000,000 Los Angeles CA Wastewater System Revenue Series
C MBIA Insured 5.50 06/01/13 965,590
7,000,000 Los Angeles CA Wastewater System Revenue Series
D FGIC Insured 5.20 11/01/21 6,257,720
1,840,000 Los Angeles County CA COP Correctional
Facilities Project MBIA Insured 6.50 09/01/13 1,907,289
1,975,000 Los Angeles County CA Metropolitan
Transportation Authority Sales Tax Revenue
Series A 5.50 07/01/13 1,874,236
1,370,000 Madera CA RDFA Tax Allocation Revenue CGIC
Insured 5.75 09/01/11 1,372,028
1,400,000 Martinez CA USD 6.00 08/01/11 1,412,012
2,000,000 Martinez CA USD 6.00 08/01/12 2,020,220
1,000,000 Menlo Park CA CDA Tax Allocation Revenue MBIA
Insured 5.38 06/01/16 936,250
</TABLE>
---------------------
69
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 2,485,000 Merced County CA COP Construction & Equipment
Project Lease Revenue FSA Insured 6.00 % 10/01/12 $ 2,504,110
705,000 Mid Peninsula CA Regional Open Space District
Promissory Notes 6.30 07/01/11 738,706
750,000 Mid Peninsula CA Regional Open Space District
Promissory Notes 6.35 07/01/12 784,230
1,000,000 Modesto CA Irrigation District Financing
Authority Domestic Water Project Revenue
Series A AMBAC Insured 6.00 09/01/09 1,027,210
975,000 Montclair CA RDFA Lease Revenue Series A 5.80 11/01/10 972,748
100,000 Montclair CA RDFA Lease Revenue Series A 6.63 11/01/11 104,391
2,055,000 Mountain View CA Shoreline Regional Park
Community Tax Allocation Series A 5.60 08/01/09 1,957,079
1,000,000 National City CA CDA Tax Allocation Downtown
Redevelopment Project Series A AMBAC Insured 6.25 08/01/12 1,026,740
1,230,000 National City CA CDA Tax Allocation Downtown
Redevelopment Project Series B AMT AMBAC
Insured 6.63 08/01/12 1,288,241
720,000 Natomas CA USD Series A MBIA Insured 5.75 09/01/12 721,066
750,000 Nevada County CA Solid Waste Revenue 6.50 10/01/06 797,138
1,000,000 Northern California Power Agency Multiple
Capital Facilities Revenue Series A MBIA
Insured 6.50 08/01/12 1,055,860
7,000,000 Northern California Transmission Revenue
Transmission Project A MBIA Insured 5.50 05/01/14 6,714,120
250,000 Northern California Transmission Revenue
Transmission Project A MBIA Insured 6.50 05/01/16 262,793
4,280,000 Northridge CA Water District Revenue AMBAC
Insured 5.25 02/01/14 4,035,141
1,465,000 Oakland CA FGIC Insured 6.00 06/15/12 1,480,632
500,000 Oceanside CA Community Downtown RDFA 6.10 09/01/18 474,320
2,000,000 Oceanside CA Water Reuse Finance Project A
AMBAC Insured 6.40 10/01/12 2,087,020
</TABLE>
- ------------------------
70
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 800,000 Orange County CA Local Transportation Authority
Sales Tax Revenue First Series Measure M 6.00 % 02/15/09 $ 823,960
1,000,000 Orange County CA RDFA Tax Allocation Northwest
Redevelopment Project B 5.70 10/01/17 896,590
360,000 Orange County CA Sanitation District COP FGIC
Insured 6.40 08/01/07 379,174
1,240,000 Parlier CA RDFA Tax Allocation Series A 6.95 08/01/23 1,243,695
1,500,000 Pinole CA RDFA Tax Allocation 5.60 08/01/17 1,381,365
3,285,000 Pittsburgh CA Redevelopment Agency Tax
Allocation V/R Series A AMBAC Insured 5.00 08/01/13 2,994,967
3,380,000 Port of Oakland CA Special Facilities Revenue
Mitsui OSK Lines Ltd Series A AMT LOC -
Industrial Bank of Japan Ltd 6.80 01/01/19 3,467,846
1,000,000 Poway CA PFA Water Services Captial Improvement
Program AMBAC Insured 5.50 11/01/15 957,340
1,050,000 Redding CA Joint Powers Financing Authority
Solid Waste Revenue Series A 5.00 01/01/23 847,497
1,325,000 Redding CA Joint Powers Financing Authority
Wastewater Revenue Series A FGIC Insured 6.00 12/01/11 1,353,077
1,310,000 Rialto CA RDFA Tax Allocation Series A 5.80 09/01/08 1,299,219
4,000,000 Riverside County CA Asset Leasing Corp Revenue
Riverside County Hospital Project A 6.38 06/01/09 4,108,760
1,045,000 Riverside County CA PFA Special Tax Revenue
Series A MBIA Insured 5.25 09/01/10 1,007,181
1,725,000 Sacramento CA COP Public Facilities Project 6.00 07/01/12 1,723,810
5,000 Sacramento CA Financing Authority Revenue
Prerefunded 6.70 11/01/11 5,231
2,300,000 Sacramento CA Light Rail Transportation Project 6.00 07/01/12 2,304,899
500,000 Sacramento CA MUD Electric Revenue Series C
FGIC Insured 5.75 11/15/08 508,970
6,695,000 Sacramento CA MUD Electric Revenue Series C
MBIA Insured 5.75 11/15/09 6,770,252
</TABLE>
---------------------
71
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 50,000 Sacramento CA MUD Electric Revenue Series Z
FGIC Insured 6.45 % 07/01/10 $ 52,635
1,650,000 Sacramento CA RDFA Tax Allocation Merged
Downtown Project A MBIA Insured 6.50 11/01/13 1,729,563
250,000 Sacramento CA Regional Transit District COP
Series A 6.38 03/01/05 263,030
2,000,000 Sacramento County CA Airport System Revenue
Series A AMT FGIC Insured 6.00 07/01/12 1,995,440
380,000 San Bernardino County CA West Valley Detention
Center MBIA Insured 6.50 11/01/12 400,448
200,000 San Bernardino County CA Transportation
Authority Sales Tax Revenue FGIC Insured 6.00 03/01/10 205,788
4,000,000 San Buenaventura CA COP AMBAC Insured 6.00 01/01/12 4,029,320
1,500,000 San Diego CA Community College District COP
Financing Projects 5.38 12/01/14 1,358,700
1,695,000 San Diego CA PFA Sewer Revenue FGIC Insured 5.00 05/15/15 1,536,653
5,000,000 San Diego CA PFA Sewer Revenue FGIC Insured 5.00 05/15/20 4,444,450
50,000 San Diego County CA COP East Mesa Detention
Facilities Project 7.00 10/01/09 52,084
4,000,000 San Diego County CA Regional Transportation
Community Sales Tax Revenue Series A Escrowed
to Maturity 6.00 04/01/08 4,148,400
1,500,000 San Diego County CA Water Authority Water
Revenue COP Series A 6.40 05/01/08 1,600,185
1,235,000 San Elijo Joint Powers Authority San Diego
County CA Water Pollution Control Facility
FGIC Insured 5.38 03/01/13 1,170,175
300,000 San Francisco CA BART Tax Revenue FGIC Insured 6.60 07/01/12 320,343
200,000 San Francisco CA City & County Public Utilities
Commission Water Revenue Series A 6.50 11/01/09 217,030
</TABLE>
- ------------------------
72
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 700,000 San Francisco CA City & County RDFA Tax
Allocation Capital Appreciation Project MBIA
Insured 8.39 (F)% 08/01/08 $ 357,952
500,000 San Francisco CA RDA Tax Allocation MBIA
Insured 5.00 08/01/15 450,350
1,000,000 San Francisco County CA RDFA 6.50 07/01/08 1,081,780
2,000,000 San Joaquin Hills CA Transportation Corridor
Agency Toll Road Revenue Capital Appreciation 6.06 (F) 01/01/10 1,493,020
500,000 San Jose CA RDFA Tax Allocation Park Center
Project 7.00 10/01/04 521,295
3,000,000 San Jose RDFA Merged Area Project MBIA Insured 5.25 08/01/16 2,781,720
200,000 San Juan Capistrano CA Open Space Project 6.20 02/01/16 201,472
1,200,000 San Mateo CA Joint Powers Financing Authority
Redevelopment Downtown & Shoreline Project A
AMBAC Insured 5.50 08/01/07 1,207,056
4,010,000 Santa Clara CA RDFA Tax Allocation Bayshore
North Project AMBAC Insured 5.75 07/01/14 4,000,496
2,500,000 Santa Clara County CA COP Multiple Facilities
Project AMBAC Insured 6.00 05/15/12 2,526,300
1,000,000 Santa Maria CA RDFA Town Center West Side
Parking Facilities FSA Insured 5.25 06/01/11 952,930
2,450,000 Santa Rosa CA Wastewater Treatment Plant FGIC
Insured 4.75 09/01/16 2,101,561
1,750,000 Shasta CA Joint Powers Financing Authority
Lease Revenue County Courthouse Improvement
Project Series 6.70 06/01/23 1,782,043
4,720,000 South County CA Regional Wastewater Authority
Revenue Capital Improvement FGIC Insured 5.75 08/01/10 4,756,297
1,000,000 Southern California State Public Power
Authority 5.50 07/01/12 955,700
1,000,000 Southern California State Rapid Transit
District CA COP Workers Compensation MBIA
Insured 6.00 07/01/10 1,023,450
</TABLE>
---------------------
73
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 3,000,000 Southern California State Rapid Transit
District Special Benefit Assesment District
A1 AMBAC Insured 6.00 % 09/01/08 $ 3,101,520
2,000,000 Stanislaus County CA Capital Improvement
Program Series A MBIA Insured 5.25 05/01/14 1,863,480
1,600,000 Stanislaus County CA COP Capital Improvement
Project AMBAC Insured 5.25 05/01/18 1,460,144
2,000,000 Stanislaus County CA COP Series B AMBAC Insured 6.13 06/01/12 2,043,220
1,000,000 Three Valleys CA Municipal Water District COP
FGIC Insured 5.00 11/01/14 913,320
2,000,000 Three Valleys CA Municipal Water District
Revenue COP FGIC Insured 5.25 11/01/10 1,927,080
1,000,000 Torrance CA COP AMBAC Insured 5.50 04/01/11 982,790
1,000,000 Torrance CA COP AMBAC Insured 5.75 04/01/16 985,870
2,000,000 Tulare County CA COP Public Facilities
Corporation Series A MBIA Insured 6.10 11/15/07 2,104,840
1,250,000 Twentynine Palms CA Water District CA COP 7.00 08/01/17 1,282,400
1,000,000 Union City CA Community RDFA Tax Allocation
Revenue Community Redevelopment Project AMBAC
Insured 5.65 10/01/14 975,300
1,645,000 University of California Revenue Housing System
Series A AMBAC Insured 5.50 11/01/11 1,616,064
6,900,000 University of California Revenue Multiple
Purpose Project C AMBAC Insured 5.25 09/01/11 6,605,428
1,450,000 University of California Revenue Seismic Safety
Project MBIA Insured 5.50 11/01/10 1,432,499
2,500,000 University of California State Housing System
Series A MBIA Insured 5.00 11/01/14 2,257,050
2,000,000 Ventura CA COP Public Facilities Corporation IV 5.75 12/01/07 2,016,180
2,500,000 Walnut Creek CA John Muir Medical Center MBIA
Insured 5.00 02/15/16 2,208,050
1,170,000 West Sacramento CA Financing Authority Revenue
Water System Improvement Project FGIC Insured 5.50 08/01/15 1,107,616
</TABLE>
- ------------------------
74
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 1,200,000 Westminster CA RDFA AMT 6.50 % 08/01/10 $ 1,198,668
1,000,000 Whittier CA Educational Facilities Revenue
Whittier College Connie Lee Insured 5.40 12/01/18 934,610
1,340,000 Yolo County CA Library Special Tax Community
Facilities 6.25 12/01/22 1,324,550
--------------
TOTAL CALIFORNIA MUNICIPAL BONDS $ 299,897,960
(Cost $299,555,675)
SHORT-TERM INSTRUMENTS - 3.01%
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - 2.55%
$ 1,000,000 California State PCFA Southern California
Edison V/R Series A 3.45 % 02/28/08 $ 1,000,000
1,075,000 California State PCFA Stanislaus Project V/R
AMT LOC - Swiss Bank 3.70 12/01/17 1,075,000
1,200,000 Irvine CA Development Revenue V/R 3.30 09/02/21 1,200,000
1,700,000 Irvine Ranch CA Water District V/R 3.45 06/01/15 1,700,000
1,000,000 Irvine Ranch CA Water District V/R LOC -
Sumitomo Bank Ltd 3.30 10/01/10 1,000,000
1,000,000 Los Angeles County CA IDA Walter & Howard V/R
AMT LOC - Dai-Ichi Kangyo Bank Ltd 4.20 12/01/06 1,000,000
1,000,000 Orange County CA Office & Courthouse Projects
V/R LOC - Dai-Ichi Kangyo Bank 3.50 12/01/15 1,000,000
--------------
$ 7,975,000
MONEY MARKET FUNDS - 0.46%
$ 1,349,385 Arbor Fund CA Tax-Exempt Portfolio $ 1,349,385
74,724 Nuveen Institutional CA Tax-Exempt Fund 74,724
--------------
$ 1,424,109
TOTAL SHORT-TERM INSTRUMENTS $ 9,399,109
(Cost $9,399,109)
</TABLE>
---------------------
75
<PAGE>
CALIFORNIA TAX-FREE BOND FUND (UNAUDITED)
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $308,954,784)* (Notes 1 and 3) 99.04% $ 309,297,069
Other Assets and Liabilities, Net 0.96 3,005,192
------ --------------
TOTAL NET ASSETS 100.00% $ 312,302,261
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
(F) YIELD TO MATURITY.
+ THESE VARIABLE RATE SECURITIES ARE SUBJECT TO A DEMAND FEATURE WHICH
REDUCES THE REMAINING MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 5,751,195
Gross Unrealized Depreciation (5,408,910)
------------
NET UNREALIZED APPRECIATION $ 342,285
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ------------------------
76
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - 93.77%
$ 1,000,000 Anaheim CA Electric Revenue 4.75 % 10/01/01 $ 988,170
2,425,000 California State DWR Central Valley Project
Revenue 8.50 12/01/98 2,652,247
3,625,000 California State DWR Central Valley Project
Revenue Series H Prerefunded 6.90 12/01/25 3,965,641
1,500,000 California State DWR Central Valley Project
Revenue Series H Prerefunded 8.50 12/01/02 1,804,830
2,000,000 California State DWR Central Valley Project
Revenue Series L 8.00 12/01/01 2,313,200
2,135,000 California State Maritime Infrastructure
Authority Port of San Diego Revenue AMT AMBAC
Insured 5.00 11/01/02 2,125,307
1,785,000 California State Public Power Agency San Juan
Project Revenue Series F AMBAC Insured 5.65 07/01/03 1,854,794
1,000,000 California Statewide CDA COP 3.10 (F) 06/01/26 1,000,000
1,500,000 California Statewide CDA Revenue COP Saint
Joseph Health System 4.30 07/01/98 1,499,985
3,000,000 California-Oregon State Electrical Transmission
Project Series A MBIA Insured 7.00 05/01/24 3,287,610
250,000 Carlsbad CA USD COP Phase III 6.70 11/01/99 263,875
5,000,000 Contra Costa County CA Transportation Authority
Sales Tax Revenue Series A FGIC Insured 6.00 03/01/04 5,321,400
1,700,000 Desert Sands CA USD Capital Appreciation
Project E FSA Insured 5.69 (F) 03/01/04 1,135,702
2,000,000 Desert Sands CA USD COP Series C 4.30 08/01/98 1,977,140
4,000,000 East Bay CA MUD Water System Revenue MBIA
Insured 7.50 06/01/18 4,477,600
500,000 Emeryville CA PFA Housing Increment Revenue
Series A 5.40 05/01/98 504,540
600,000 Encinitas CA USD COP Measure B Capital Projects 4.38 09/01/98 597,702
</TABLE>
---------------------
77
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 820,000 Foster City CA PFA 4.70 % 09/01/98 $ 817,614
685,000 Foster City CA PFA 5.40 09/01/01 693,624
1,700,000 Glendale CA RDFA Tax Allocation Revenue AMBAC
Insured 5.00 12/01/01 1,717,051
255,000 Industry CA GO FGIC Insured 8.00 07/01/99 280,041
500,000 Industry CA GO MBIA Insured 8.00 07/01/99 549,100
1,005,000 Los Angeles CA Airport Revenue Series A FGIC
Insured 5.38 05/15/07 1,004,900
1,265,000 Los Angeles CA Building Authority Lease Revenue
Series A 4.90 05/01/03 1,240,320
500,000 Los Angeles CA Community RDFA Central Business
District Project Series G 6.20 07/01/97 506,810
2,500,000 Los Angeles CA DWP Electrical Plant Revenue 6.63 10/01/31 2,744,950
2,000,000 Los Angeles CA DWP Electrical Plant Revenue 6.75 04/01/32 2,205,580
725,000 Los Angeles CA Judgement Obligation Bonds
Series A 4.70 08/01/98 730,104
1,300,000 Los Angeles CA Waste Water System Revenue
Series A MBIA Insured 8.50 06/01/03 1,560,559
1,000,000 Los Angeles CA Waste Water System Revenue
Series D Prerefunded 6.70 12/01/21 1,099,290
300,000 Los Angeles County CA Transportation Commission
Sales Tax Revenue Series A 6.10 07/01/99 312,537
2,935,000 Modesto CA Irrigation District Financing
Authority Series A MBIA Insured 4.95 10/01/02 2,945,184
500,000 Morgan Hill CA RDFA Tax Allocation Ojo De Agua
Community Development Project 5.60 03/01/00 504,560
3,000,000 Northern California Power Agency Multiple
Capital Facilities Revenue 5.00 07/01/97 3,033,030
4,320,000 Orange County CA MUD Allen-McCollough Pipeline
MBIA Insured 5.50 07/01/05 4,357,282
2,500,000 Rancho CA Water District Financing Authority
Revenue 4.70 08/15/21 2,425,000
1,000,000 Riverside County CA Transportation Sales Tax
Revenue Series A 6.40 06/01/99 1,048,220
</TABLE>
- ------------------------
78
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS (CONTINUED)
$ 300,000 Sacramento CA Light Rail Transportation Project 6.30 % 07/01/00 $ 314,403
1,000,000 San Diego County CA Regional Transportation
Commission Sales Tax Revenue Series A FGIC
Insured 6.25 04/01/02 1,070,180
600,000 San Francisco CA City & County Airport Revenue
Second Series Issue One MBIA Insured 6.35 05/01/98 620,634
1,000,000 San Francisco CA City & County RDFA Lease
Revenue George R Mascone Center AMBAC Insured 6.20 10/01/00 1,059,740
200,000 San Jose CA Airport Revenue MBIA Insured 5.00 03/01/99 202,418
2,750,000 San Jose CA RDFA MBIA Insured 4.20 08/01/98 2,743,950
1,100,000 Southern California State Public Power
Authority 6.75 07/01/00 1,174,283
1,245,000 University of California at Los Angeles Central
Chiller - Cogeneration Facilties 10.75 11/01/98 1,408,791
1,000,000 University of California Multiple Projects
Revenue Series A MBIA Insured 6.00 09/01/02 1,058,740
1,000,000 West Basin CA Municipal Water District COP
Prerefunded 7.00 08/01/11 1,104,870
--------------
TOTAL CALIFORNIA MUNICIPAL BONDS $ 76,303,508
(Cost $76,751,271)
SHORT-TERM INSTRUMENTS - 9.02%
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - 6.84%
$ 1,400,000 California State PCFA Southern California
Edison V/R Series A 3.45 % 02/28/08 $ 1,400,000
1,000,000 California State School Cash Reserve Program
Pool V/R Series A MBIA Insured 4.75 07/03/96 1,000,046
3,220,000 Los Angeles CA Department of General Services
Lease Revenue V/R Series A 4.50 05/01/00 3,167,611
--------------
$ 5,567,657
</TABLE>
---------------------
79
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL SECURITY NAME VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS (CONTINUED)
MONEY MARKET FUNDS - 2.18%
$ 1,771,000 Arbor Fund CA Tax-Exempt Portfolio $ 1,771,000
--------------
TOTAL SHORT-TERM INSTRUMENTS $ 7,338,657
(Cost $7,374,084)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $84,125,355)* (Notes 1 and 3) 102.79% $ 83,642,165
Other Assets and Liabilities, Net (2.79) (2,268,380)
------ --------------
TOTAL NET ASSETS 100.00% $ 81,373,785
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
(F) YIELD TO MATURITY.
+ THESE VARIABLE RATE SECURITIES ARE SUBJECT TO A DEMAND FEATURE WHICH
REDUCES THE REMAINING MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 138,974
Gross Unrealized Depreciation (622,164)
------------
NET UNREALIZED DEPRECIATION $ (483,190)
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ------------------------
80
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 99.65%
11,823 3Com Corp+ $ 548,172 $ 540,902
56,858 Abbott Laboratories 1,061,234 2,473,323
9,434 Advanced Micro Devices+ 193,931 128,538
8,310 Aetna Life & Casualty Co 466,812 594,165
8,423 Ahmanson (H F) & Co 164,589 227,421
8,092 Air Products & Chemicals Inc 219,431 467,313
35,663 Airtouch Communications+ 569,452 1,007,480
1,984 Alberto-Culver Co Class B 35,915 92,008
18,188 Albertson's Inc 223,328 752,529
16,230 Alcan Aluminium Ltd 310,546 495,015
9,160 Alco Standard Corp 213,511 414,490
3,200 Alexander & Alexander Services 82,893 63,200
4,650 Allergan Inc 123,275 182,513
20,378 Allied Signal Inc 484,072 1,164,093
32,256 Allstate Corp 701,590 1,471,680
13,590 Alltel Corp 419,539 417,893
12,794 Aluminum Co of America 370,011 734,056
5,903 ALZA Corp+ 161,760 161,595
8,560 Amdahl Corp+ 131,063 92,020
6,653 Amerada Hess Corp 259,041 356,767
13,058 American Brands Inc 393,640 592,507
13,382 American Electric Power Inc 391,732 570,408
34,872 American Express Corp 945,948 1,556,163
14,746 American General Corp 306,741 536,386
5,350 American Greetings Corp Class A 99,766 146,456
45,482 American Home Products Corp 1,209,489 2,734,605
34,145 American International Group Inc 1,126,313 3,367,551
10,540 American Stores Co 182,963 434,775
39,852 Ameritech Corp 1,075,089 2,366,213
19,100 Amgen Inc+ 690,584 1,031,400
35,790 Amoco Corp 1,571,035 2,590,301
15,695 AMP Inc 429,546 629,762
6,499 AMR Corp+ 433,754 591,409
4,240 Andrew Corp+ 19,606 227,900
</TABLE>
---------------------
81
<PAGE>
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<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
18,336 Anheuser-Busch Inc $ 703,652 $ 1,375,200
7,744 Aon Corp 420,962 393,008
8,870 Apple Computer Inc 337,408 186,270
12,852 Applied Materials Inc+ 354,819 391,986
37,479 Archer-Daniels-Midland Co 338,484 716,786
7,563 Armco Inc+ 67,028 37,815
2,677 Armstrong World Industries Inc 97,923 154,262
3,037 ASARCO Inc 76,480 83,897
4,550 Ashland Inc 164,508 180,294
115,617 AT & T Corp 4,225,533 7,168,254
11,620 Atlantic Richfield Corp 1,045,887 1,376,970
3,300 Autodesk Inc 66,257 98,588
20,908 Automatic Data Processing 332,137 807,572
3,800 Avery Dennison Corp 82,180 208,525
9,708 Avon Products Inc 183,974 438,074
10,271 Baker Hughes Inc 213,606 337,659
2,191 Ball Corp 71,009 62,991
3,385 Bally Entertainment Corp+ 40,160 93,088
10,585 Baltimore Gas & Electric Co 223,325 300,349
32,723 Banc One Corp 863,479 1,112,582
8,060 Bank of Boston Corp 209,204 398,970
14,387 Bank of New York Inc 498,983 737,334
26,306 BankAmerica Corp 926,712 1,992,680
5,617 Bankers Trust N Y Corp 286,700 414,956
4,112 Bard (C R) Inc 92,810 139,808
6,811 Barnett Banks Inc 255,847 415,471
25,457 Barrick Gold Corp 758,882 690,521
4,068 Bausch & Lomb Inc 121,023 172,890
19,550 Baxter International Inc 457,506 923,738
13,239 Bay Networks Inc+ 633,763 340,904
4,608 Becton Dickinson & Co 152,344 369,792
31,478 Bell Atlantic Corp 1,283,620 2,006,723
71,508 BellSouth Corp 1,618,356 3,030,152
3,844 Bemis Co Inc 48,444 134,540
3,806 Beneficial Corp 111,226 213,612
8,121 Bethlehem Steel Corp+ 127,759 96,437
7,019 Beverly Enterprises+ 87,648 84,228
</TABLE>
- ------------------------
82
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
8,250 Biomet Inc+ $ 78,252 $ 118,594
6,176 Black & Decker Corp 132,370 238,548
7,494 Block (H & R) Inc 152,723 244,492
11,322 Boatmen's Bancshares Inc 318,942 454,295
24,869 Boeing Co 823,744 2,166,712
3,454 Boise Cascade Corp 127,543 126,503
12,463 Boston Scientific Corp+ 305,205 560,835
2,052 Briggs & Stratton Corp 38,349 84,389
36,349 Bristol-Myers Squibb Co 1,840,975 3,271,410
1,235 Brown Group Inc 43,098 21,458
4,958 Brown-Forman Corp Class B 106,322 198,320
15,258 Browning-Ferris Industries Inc 421,842 442,482
6,869 Brunswick Corp 126,150 137,380
10,736 Burlington Northern Santa Fe 397,367 868,274
9,148 Burlington Resources Inc 415,337 393,364
5,221 Cabletron Systems Inc+ 277,849 358,291
2,844 Caliber System Inc 115,153 96,696
17,914 Campbell Soup Co 420,553 1,262,937
11,100 Carolina Power & Light Co 259,417 421,800
5,154 Case Corp 228,221 247,392
14,206 Caterpillar Inc 381,821 962,457
2,054 Centex Corp 39,474 63,931
14,842 Central & South West Corp 294,570 430,418
4,796 Ceridian Corp+ 132,938 242,198
6,898 Champion International Corp 230,865 287,992
7,406 Charming Shoppes Inc+ 93,828 52,305
31,380 Chase Manhattan Bank 1,070,544 2,216,213
46,946 Chevron Corp 1,455,319 2,769,814
27,010 Chrysler Corp+ 844,156 1,674,620
12,548 Chubb Corp 310,430 625,832
5,449 CIGNA Corp 348,214 642,301
2,492 Cincinnati Milacron Inc 55,762 59,808
11,271 Cinergy Corp 237,825 360,672
7,000 Circuit City Stores Inc 102,497 252,875
40,903 Cisco Systems Inc+ 777,516 2,316,132
34,966 Citicorp 1,267,307 2,889,066
3,686 Clorox Co 133,752 326,672
</TABLE>
---------------------
83
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
7,582 Coastal Corp $ 186,156 $ 316,549
179,352 Coca-Cola Co 1,848,548 8,765,829
10,473 Colgate-Palmolive Co 381,761 887,587
3,898 Columbia Gas System Inc+ 162,585 203,183
32,000 Columbia HCA Healthcare Corp 1,161,764 1,708,000
17,214 Comcast Corp Class A 381,350 318,459
8,555 Comerica Inc 320,553 381,767
3,150 Community Psychiatric Centers+ 76,507 29,925
19,135 Compaq Computer Corp+ 282,804 942,399
17,409 Computer Associates International Inc+ 218,284 1,240,391
4,014 Computer Sciences Corp+ 97,453 300,047
17,745 ConAgra Inc 384,437 805,179
5,650 Conrail Inc 155,083 375,019
16,864 Consolidated Edison Co 413,451 493,272
3,138 Consolidated Freightways 87,596 66,290
6,699 Consolidated Natural Gas Co 266,807 350,023
7,744 Cooper Industries Inc 281,162 321,376
6,050 Cooper Tire & Rubber Co 75,412 134,613
2,759 Coors (Adolph) Co Class B 56,617 49,317
15,999 CoreStates Financial Corp 458,559 615,962
16,472 Corning Inc 394,087 632,113
10,528 CPC International Inc 324,803 758,016
2,144 Crane Co 38,873 87,904
404 Cray Research Inc+ 12,984 9,747
8,951 Crown Cork & Seal Co+ 248,955 402,795
15,110 CSX Corp 321,345 729,058
13,746 CUC International Inc+ 374,205 487,983
2,884 Cummins Engine Co Inc 98,104 116,442
6,693 Cyprus Amax Minerals 176,210 151,429
7,300 Dana Corp 151,401 226,300
11,402 Darden Restaurants Inc+ 73,575 122,572
2,740 Data General Corp+ 65,481 35,620
5,214 Dayton-Hudson Corp 289,807 537,694
12,283 Dean Witter Discover & Co 413,303 703,202
18,891 Deere & Co 297,336 755,640
5,096 Delta Air Lines Inc 342,051 422,968
5,896 Deluxe Corp 209,338 209,308
</TABLE>
- ------------------------
84
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
6,800 Dial Corp $ 111,052 $ 194,650
11,065 Digital Equipment Corp+ 1,103,466 497,925
8,118 Dillard Department Stores Inc Class A 184,408 296,307
48,794 Disney (Walt) Co 1,621,468 3,067,923
12,640 Dominion Resources Inc 402,755 505,600
11,054 Donnelley (R R) & Sons Co 241,695 385,508
8,204 Dover Corp 138,315 378,410
17,989 Dow Chemical Co 962,838 1,367,164
6,995 Dow Jones & Co Inc 272,816 292,041
13,039 Dresser Industries Inc 225,331 384,651
8,282 DSC Communications Corp+ 87,866 249,495
10,452 DTE Energy Co 232,682 322,706
14,746 Duke Power Co 387,090 755,733
12,232 Dun & Bradstreet Corp 665,752 764,500
40,311 DuPont (E I) de Nemours 1,691,309 3,189,608
1,464 Eastern Enterprises 40,702 48,678
5,806 Eastman Chemical Co 237,986 353,440
24,876 Eastman Kodak Co 983,496 1,934,109
5,588 Eaton Corp 189,788 327,597
4,371 Echlin Inc 83,323 165,552
9,100 Echo Bay Mines Ltd 127,981 97,825
4,600 Ecolab Inc 67,006 151,800
32,012 Edison International 564,724 564,212
3,426 EG & G Inc 64,709 73,231
16,283 EMC Corp+ 354,004 303,271
16,132 Emerson Electric Co 684,585 1,457,930
10,372 Engelhard Corp 87,975 238,556
18,132 Enron Corp 296,493 741,146
4,929 Enserch Corp 99,268 107,206
16,384 Entergy Corp 368,272 464,896
89,336 Exxon Corp 4,233,975 7,761,065
4,078 Federal Express Corp+ 243,756 334,396
13,050 Federal Home Loan Mortgage Corp 612,438 1,115,775
78,500 Federal National Mortgage Assoc 749,913 2,629,750
14,553 Federated Department Stores Inc+ 395,680 496,621
7,187 Fifth Third Bancorp 419,905 388,098
10,148 First Bank System Inc 530,283 588,584
</TABLE>
---------------------
85
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
23,094 First Chicago NBD Corp $ 512,750 $ 903,553
16,013 First Data Corp 915,079 1,275,035
20,530 First Union Corp 665,039 1,249,764
19,104 Fleet Financial Group Inc 541,688 831,024
3,346 Fleetwood Enterprises Inc 53,520 103,726
2,650 Fleming Co Inc 79,714 38,094
6,026 Fluor Corp 162,456 393,950
2,667 FMC Corp+ 95,210 174,022
84,036 Ford Motor Co 1,926,130 2,720,666
2,932 Foster Wheeler Corp 67,100 131,574
13,337 FPL Group Inc 440,064 613,502
14,519 Freeport McMoRan Copper & Gold Inc Class B 397,481 462,793
5,419 Fruit of the Loom Inc Class A+ 146,408 138,185
10,049 Gannett Co Inc 452,027 710,967
20,684 Gap Inc 207,466 664,474
4,528 General Dynamics Corp 103,247 280,736
119,478 General Electric Co 3,735,483 10,334,847
8,789 General Instrument Corp+ 240,628 253,782
11,402 General Mills Inc 350,436 621,409
54,332 General Motors Corp 2,256,670 2,845,639
8,627 General Public Utilities 260,245 304,102
5,900 General Re Corp 423,664 898,275
3,368 General Signal Corp 91,071 127,563
8,887 Genuine Parts Co 237,412 406,580
6,635 Georgia-Pacific Corp 321,788 471,085
4,300 Giant Food Inc Class A 97,738 154,263
2,450 Giddings & Lewis Inc 54,550 39,813
31,908 Gillette Co 481,597 1,990,262
4,250 Golden West Financial 112,024 238,000
3,832 Goodrich (B F) Co 92,983 143,221
10,976 Goodyear Tire & Rubber Co 309,488 529,592
7,030 Grace (W R) & Co 240,891 498,251
3,692 Grainger (W W) Inc 122,370 286,130
2,743 Great Atlantic & Pacific Tea Co 98,636 90,176
4,700 Great Lakes Chemical Corp 259,888 292,575
9,788 Great Western Financial Corp 185,612 233,689
9,901 Green Tree Financial Inc 335,552 309,406
</TABLE>
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86
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
69,731 GTE Corp $ 1,932,640 $ 3,120,462
8,229 Halliburton Co 271,410 456,710
5,226 Harcourt General Inc 124,468 261,300
2,200 Harland (John H) Co 53,487 54,175
3,366 Harnischfeger Industries Inc 81,458 111,920
7,412 Harrah's Entertainment Inc+ 51,928 209,389
2,858 Harris Corp 101,039 174,338
6,355 Hasbro Inc 116,165 227,191
26,589 Heinz (H J) Co 505,096 807,641
1,800 Helmerich & Payne Inc 44,183 65,925
7,906 Hercules Inc 149,229 436,807
5,561 Hershey Foods Corp 181,760 408,038
36,746 Hewlett Packard Co 1,122,249 3,660,820
3,502 Hilton Hotels Corp 174,476 393,975
34,340 Home Depot Inc 647,711 1,854,360
10,490 Homestake Mining Co 164,095 179,641
9,104 Honeywell Inc 206,822 496,168
7,100 Household International Inc 195,605 539,600
18,888 Houston Industries Inc 337,838 465,117
11,628 Humana Inc+ 325,081 207,851
8,414 Illinois Tool Works Inc 206,636 568,997
8,481 Inco Ltd 179,545 273,512
7,834 Ingersoll-Rand Co 167,072 342,738
3,500 Inland Steel Industries Inc 96,637 68,688
59,060 Intel Corp 749,428 4,337,219
3,298 Intergraph Corp+ 75,324 39,988
39,128 International Business Machines Corp 4,921,752 3,873,672
7,963 International Flavors & Fragrances 167,578 379,238
21,331 International Paper Co 583,995 786,581
5,600 Interpublic Group Cos Inc 190,599 262,500
8,569 ITT Corp+ 225,871 567,696
8,569 ITT Hartford Group Inc+ 216,309 456,299
8,569 ITT Industries Inc 97,592 215,296
6,108 James River Corp 178,279 161,099
5,103 Jefferson-Pilot Corp 96,915 263,442
95,898 Johnson & Johnson 1,543,855 4,746,951
2,917 Johnson Controls Inc 99,990 202,732
</TABLE>
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87
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
2,800 Jostens Inc $ 72,467 $ 55,300
34,560 K Mart Corp 656,494 427,680
2,327 Kaufman & Broad Home Corp 29,501 33,742
15,235 Kellogg Co 557,192 1,115,964
3,683 Kerr-McGee Corp 144,363 224,203
17,072 KeyCorp 545,916 661,540
20,094 Kimberly-Clark Corp 624,560 1,552,262
2,700 King World Productions+ 61,725 98,213
3,538 Knight-Ridder Inc 188,631 256,505
8,870 Kroger Co+ 134,941 350,365
21,164 Laidlaw Inc Class B 187,598 214,286
39,674 Lilly (Eli) & Co 1,114,644 2,578,810
19,585 Limited Inc 412,035 421,078
7,480 Lincoln National Corp 237,763 345,950
5,292 Liz Claiborne Inc 158,200 183,236
14,317 Lockheed Martin Corp 488,006 1,202,628
8,526 Loews Corp 476,074 672,488
1,395 Longs Drug Stores Corp 49,059 62,252
2,453 Louisiana Land & Exploration Co 92,917 141,354
7,712 Louisiana-Pacific Corp 114,549 170,628
11,610 Lowe's Co Inc 132,492 419,411
9,302 LSI Logic Corp+ 337,833 241,852
1,634 Luby's Cafeterias Inc 31,203 38,399
5,354 Mallinckrodt Group Inc 109,224 208,137
4,501 Manor Care Inc 73,417 177,227
9,004 Marriott International 230,703 483,965
5,250 Marsh & McLennan Companies Inc 384,449 506,625
11,586 Masco Corp 345,577 350,477
19,851 Mattel Inc 199,186 568,235
17,910 May Co Department Stores Co 393,302 783,563
7,768 Maytag Corp 168,761 162,157
16,075 MBNA Corp 147,723 458,138
3,934 McDermott International Inc 93,772 82,122
50,066 McDonald's Corp 818,154 2,340,586
16,126 McDonnell Douglas Corp 206,541 782,111
7,216 McGraw-Hill Inc 236,219 330,132
49,742 MCI Communications 702,787 1,274,639
</TABLE>
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88
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
3,859 Mead Corp $ 129,578 $ 200,186
16,704 Medtronic Inc 195,187 935,424
9,654 Mellon Bank Corp 324,937 550,278
7,524 Melville Corp 289,992 304,722
2,662 Mercantile Stores Co Inc 110,421 156,060
88,237 Merck & Co Inc 2,387,290 5,702,316
1,996 Meredith Corp 34,497 83,333
12,613 Merrill Lynch & Co Inc 289,980 821,422
14,894 Micron Technology Inc 285,029 385,382
42,755 Microsoft Corp+ 2,415,850 5,135,944
3,200 Millipore Corp 60,361 134,000
30,213 Minnesota Mining & Manufacturing Co 1,135,859 2,084,697
28,340 Mobil Corp 1,527,822 3,177,623
41,890 Monsanto Co 422,599 1,361,425
7,200 Moore Corp Ltd 175,797 135,900
13,528 Morgan (J P) & Co Inc 662,411 1,144,807
11,148 Morgan Stanley Group 554,061 547,646
10,556 Morton International Inc 164,692 393,211
42,572 Motorola Inc 915,959 2,676,715
595 NACCO Industries Inc Class A 22,972 32,948
4,850 Nalco Chemical Co 133,168 152,775
15,820 National City Corp 488,207 555,678
9,701 National Semiconductor+ 131,158 150,366
3,527 National Service Industries Inc 89,614 137,994
21,498 NationsBank 877,925 1,776,272
5,397 Navistar International Corp+ 176,884 53,295
6,953 New York Times Co Class A 215,942 226,842
11,400 Newell Co 182,009 349,125
7,182 Newmont Mining Corp 185,063 354,611
10,267 Niagara Mohawk Power Corp 178,464 79,569
3,600 NICOR Inc 74,500 102,150
10,300 Nike Inc Class B 160,877 1,058,325
8,900 NorAm Energy Corp 167,930 96,788
5,850 Nordstrom Inc 183,374 260,325
9,355 Norfolk Southern Corp 380,266 792,836
4,933 Northern States Power Co 177,500 243,567
18,287 Northern Telecom Ltd 476,270 994,356
</TABLE>
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89
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
4,058 Northrop Grumman Corp $ 166,620 $ 276,451
26,327 Norwest Corp 460,283 918,154
26,468 Novell Inc+ 640,086 367,244
6,326 Nucor Corp 113,467 320,254
31,420 NYNEX Corp 1,131,364 1,492,450
22,876 Occidental Petroleum Corp 639,342 566,181
3,550 Ogden Corp 88,221 64,344
10,960 Ohio Edison Co 225,609 239,750
1,960 ONEOK Inc 32,832 49,000
46,900 Oracle Systems Corp+ 261,729 1,849,619
7,472 Oryx Energy Co+ 198,205 121,420
1,429 Outboard Marine Corp 41,404 25,901
3,693 Owens Corning Fiberglass Corp 93,143 158,799
2,785 PACCAR Inc 92,334 136,465
6,093 Pacific Enterprises 251,287 180,505
30,148 Pacific Gas & Electric Co 740,784 700,941
30,872 Pacific Telesis Group 627,490 1,041,930
21,050 PacifiCorp 403,383 468,363
8,250 Pall Corp 96,925 199,031
10,812 Panenergy Corp 254,676 355,445
5,303 Parker Hannifin Corp 114,962 224,715
16,018 PECO Energy Co 356,092 416,468
16,138 Penney (J C) Co Inc 452,262 847,245
3,367 Pennzoil Co 225,098 155,724
2,494 Peoples Energy Corp 57,576 83,549
4,500 Pep Boys-Manny Moe & Jack 76,595 153,000
112,628 Pepsico Inc 1,158,958 3,984,216
3,071 Perkin-Elmer Corp 102,753 148,176
45,760 Pfizer Inc 1,076,542 3,266,120
36,267 Pharmacia and Upjohn Inc+ 1,128,423 1,609,348
5,020 Phelps Dodge Corp 142,594 313,123
59,623 Philip Morris Co Inc 2,302,410 6,200,792
18,819 Phillips Petroleum Co 372,023 788,046
6,028 Pioneer Hi Bred International Inc 227,975 318,731
10,876 Pitney Bowes Inc 265,807 519,329
17,163 Placer Dome Inc 267,100 409,767
24,557 PNC Bank Corp 641,137 730,571
</TABLE>
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90
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
3,309 Polaroid Corp $ 115,398 $ 150,973
2,071 Potlatch Corp 73,527 81,028
11,476 PP & L Resources Inc 296,636 271,121
13,870 PPG Industries Inc 335,180 676,163
10,894 Praxair Inc 189,117 460,272
14,084 Price/Costco Inc+ 272,869 304,567
49,406 Procter & Gamble Co 1,587,850 4,477,419
6,840 Providian Corp 162,911 293,265
17,571 Public Services Enterprise Group 472,813 481,006
1,938 Pulte Corp 31,111 51,842
9,680 Quaker Oats Co 231,906 330,330
7,670 Ralston-Purina Group 288,513 491,839
3,200 Raychem Corp 137,568 230,000
17,476 Raytheon Co 362,448 902,199
5,428 Reebok International Ltd 116,999 182,517
4,036 Republic New York Corp 236,965 251,241
4,620 Reynolds Metals Co 206,304 240,818
6,038 Rite Aid Corp 115,961 179,631
15,674 Rockwell International Corp 425,040 897,337
4,809 Rohm & Haas Co 200,455 301,765
6,039 Rowan Co Inc+ 50,096 89,075
38,546 Royal Dutch Petroleum Co 2,589,048 5,926,448
11,304 Rubbermaid Inc 215,762 308,034
2,770 Russell Corp 58,324 76,521
3,900 Ryan's Family Steak House+ 34,638 36,075
5,656 Ryder System Inc 150,251 159,075
9,066 SAFECO Corp 161,757 320,710
4,100 Safety-Kleen Corp 106,229 71,750
7,668 Salomon Inc 277,201 337,392
6,411 Santa Fe Energy Resources Inc+ 39,779 76,131
9,483 Santa Fe Pacific Gold Corp 164,562 133,947
34,876 Sara Lee Corp 541,643 1,129,111
43,916 SBC Communication Inc 1,070,723 2,162,863
26,236 Schering-Plough Corp 481,932 1,646,309
17,431 Schlumberger Ltd 826,379 1,468,562
5,496 Scientific-Atlanta Inc 34,139 85,188
26,924 Seagram Co Ltd 555,514 905,320
</TABLE>
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91
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
28,091 Sears Roebuck & Co $ 575,566 $ 1,365,925
8,451 Service Corp International 192,655 485,933
1,662 Shared Medical System Corp 47,469 106,784
6,086 Sherwin Williams Co 115,074 282,999
2,952 Shoney's Inc+ 26,349 32,103
3,612 Sigma-Aldrich Corp 138,014 193,242
11,742 Silicon Graphics Inc+ 392,768 281,808
2,906 Snap-On Inc 98,931 137,672
6,210 Sonat Inc 120,699 279,450
47,982 Southern Co 681,465 1,181,557
10,374 Southwest Airlines Co 296,719 302,143
1,465 Springs Industries Inc Class A 49,682 73,983
31,200 Sprint Corp 959,293 1,310,400
5,322 St Jude Medical Inc+ 114,068 178,287
6,106 St Paul Co Inc 172,238 326,671
6,310 Stanley Works 109,910 187,723
7,141 Stone Container Corp+ 157,517 98,189
3,550 Stride Rite Corp 56,185 29,288
5,407 Sun Co Inc 173,873 164,238
13,200 Sun Microsystems Inc+ 187,806 777,150
16,300 SunTrust Banks Inc 222,389 603,100
4,852 Super Value Inc 128,611 152,838
13,242 Sysco Corp 184,846 453,539
8,418 Tandem Computers Inc+ 190,307 104,173
4,559 Tandy Corp 190,309 215,983
2,457 Tektronix Inc 76,446 109,951
46,988 Tele-Communication Inc Class A+ 624,598 851,658
3,965 Teledyne Inc 118,605 143,236
6,364 Tellabs Inc+ 304,435 425,593
3,996 Temple-Inland Inc 134,187 186,813
15,010 Tenet Healthcare Corp+ 233,840 320,839
12,514 Tenneco Inc 582,457 639,778
18,992 Texaco Inc 910,268 1,592,954
13,560 Texas Instruments Inc 375,302 676,305
16,212 Texas Utilities Co 570,368 693,063
6,096 Textron Inc 208,302 486,918
2,880 Thomas & Betts Corp 82,671 108,000
</TABLE>
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92
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
27,912 Time Warner Inc $ 700,894 $ 1,095,546
7,852 Times Mirror Co Class A 200,320 341,562
2,288 Timken Co 67,918 88,660
5,260 TJX Companies Inc 106,171 177,525
5,200 Torchmark Corp 161,496 227,500
19,650 Toys R Us Inc+ 432,598 560,025
4,965 Transamerica Corp 204,546 402,165
34,137 Travelers Inc 710,007 1,557,501
4,561 Tribune Co 188,796 331,243
2,074 Trinova Corp 57,925 69,220
4,768 TRW Inc 248,550 428,524
4,400 Tupperware Corp+ 66,171 185,900
10,946 Tyco International Inc 260,966 446,050
11,548 U.S. Bancorp 279,960 417,172
11,025 U.S. Healthcare Inc 517,581 606,375
2,457 U.S. Life Corp 46,896 80,774
33,832 U.S. West Inc 668,120 1,078,395
33,932 U.S. West Media Group+ 454,263 619,259
15,494 Unicom Corp 526,881 431,895
11,565 Unilever NV 811,904 1,678,371
5,082 Union Camp Corp 209,480 247,748
9,829 Union Carbide Corp 130,608 390,703
7,300 Union Electric Co 248,562 293,825
14,766 Union Pacific Corp 593,976 1,031,774
12,273 Unisys Corp+ 312,986 87,445
13,165 United Healthcare Corp 615,517 664,833
4,150 United States Surgical 394,410 128,650
8,778 United Technologies Corp 462,438 1,009,470
17,760 Unocal Corp 376,500 599,400
5,227 UNUM Corp 296,683 325,381
4,510 USAir Group Inc+ 141,517 81,180
8,025 USF & G Corp 236,576 131,409
14,540 UST Inc 207,924 497,995
20,722 USX - Marathon Group 495,717 417,030
5,990 USX - US Steel Group 163,089 169,966
2,871 Varity Corp+ 93,194 138,167
4,566 VF Corp 179,012 272,248
</TABLE>
---------------------
93
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
26,511 Viacom Inc Class B+ $ 896,464 $ 1,030,615
12,293 Wachovia Corp 482,670 537,819
165,114 Wal Mart Stores Inc 2,229,661 4,189,768
17,680 Walgreen Co 212,857 592,280
19,536 Warner Lambert Co 465,907 1,074,480
7,037 Wells Fargo & Co 572,447 1,680,963
8,559 Wendy's International Inc 108,104 159,411
3,801 Western Atlas Inc+ 109,984 221,408
29,867 Westinghouse Electric Corp 760,740 560,006
7,189 Westvaco Corp 143,629 214,771
14,562 Weyerhaeuser Co 471,686 618,885
5,354 Whirlpool Corp 212,762 265,692
7,538 Whitman Corp 90,688 181,854
3,936 Willamette Industries Inc 269,485 234,192
7,328 Williams Co Inc 149,048 362,736
10,936 Winn-Dixie Stores Inc 176,471 386,861
35,036 WMX Technologies Inc 921,797 1,147,429
9,598 Woolworth Corp+ 244,103 215,955
13,867 WorldCom Inc+ 636,754 767,885
6,575 Worthington Industries Inc 76,443 137,253
8,310 Wrigley (Wm) Jr Co 132,141 419,655
23,232 Xerox Corp 570,444 1,242,858
1,985 Yellow Corp+ 63,459 26,301
------------ --------------
TOTAL COMMON STOCKS $199,913,893 $ 364,270,412
</TABLE>
- ------------------------
94
<PAGE>
MASTER INVESTMENT TRUST - CORPORATE STOCK MASTER PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 0.65%
$ 316,000 U.S. Treasury Bills 4.34 % 07/11/96 $ 315,540
56,000 U.S. Treasury Bills 4.92 08/15/96 55,655
220,000 U.S. Treasury Bills 5.06 08/29/96 218,241
1,395,000 U.S. Treasury Bills 5.15 09/12/96 1,380,742
406,000 U.S. Treasury Bills 5.18 09/19/96 401,371
--------------
TOTAL SHORT-TERM INSTRUMENTS $ 2,371,549
(Cost $2,371,383)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $202,285,276)* (Notes 1 and 3) 100.30% $ 366,641,961
Other Assets and Liabilities, Net (0.30) (1,084,420)
------ --------------
TOTAL NET ASSETS 100.00% $ 365,557,541
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $171,520,790
Gross Unrealized Depreciation (7,164,105)
------------
NET UNREALIZED APPRECIATION $164,356,685
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
---------------------
95
<PAGE>
DIVERSIFIED INCOME FUND (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 93.46%
AUTOMOBILE & RELATED - 7.55%
90,000 Dana Corp $ 2,421,763 $ 2,790,000
125,000 Ford Motor Co 3,689,393 4,046,875
48,000 Genuine Parts Co 2,196,332 2,196,000
------------ --------------
$ 8,307,488 $ 9,032,875
BASIC INDUSTRIES - 5.35%
70,000 Louisiana-Pacific Corp $ 1,703,785 $ 1,548,750
24,000 Olin Corp 1,613,272 2,142,000
130,000 Worthington Industries Inc 2,450,820 2,713,750
------------ --------------
$ 5,767,877 $ 6,404,500
BUILDING MATERIALS & SERVICES - 2.53%
100,000 Masco Corp $ 3,023,474 $ 3,025,000
COMPUTER SYSTEMS - 2.89%
35,000 International Business Machines Corp $ 3,350,015 $ 3,465,000
CONGLOMERATES - 2.31%
32,000 General Electric Co $ 1,636,712 $ 2,768,000
ELECTRICAL EQUIPMENT - 6.70%
75,000 AMP Inc $ 2,819,256 $ 3,009,375
35,000 Lexmark International Group Inc Class A+ 754,650 704,375
38,000 Texas Instruments Inc 2,037,040 1,895,250
45,000 Xerox Corp 1,933,763 2,407,500
------------ --------------
$ 7,544,709 $ 8,016,500
</TABLE>
- ------------------------
96
<PAGE>
DIVERSIFIED INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
ENERGY & RELATED - 11.46%
24,500 Atlantic Richfield Corp $ 2,673,900 $ 2,903,250
45,000 El Paso Natural Gas Co 1,518,182 1,732,500
125,000 McDermott International Inc 2,240,249 2,609,375
11,500 Royal Dutch Petroleum Co 1,158,636 1,768,125
40,000 Sonat Inc 1,161,326 1,800,000
100,000 Ultramar Corp 2,610,378 2,900,000
------------ --------------
$ 11,362,671 $ 13,713,250
FINANCE & RELATED - 16.75%
25,000 Advanta Corp+ $ 925,000 $ 1,131,250
26,000 Aetna Life & Casualty Co 1,955,205 1,859,000
44,000 Bankers Trust N Y Corp 2,967,748 3,250,500
110,000 Block (H & R) Inc 4,020,268 3,588,750
120,000 Hanson Finance PLC 1,746,400 1,710,000
70,000 Household International Inc 3,246,560 5,320,000
250,000 Mercury Financial Corp 3,148,824 3,187,500
------------ --------------
$ 18,010,005 $ 20,047,000
FOOD & RELATED - 4.29%
64,500 Heinz (H J) Co $ 1,851,428 $ 1,959,188
18,000 Philip Morris Co Inc 1,097,875 1,872,000
38,000 UST Inc 1,135,540 1,301,500
------------ --------------
$ 4,084,843 $ 5,132,688
MANUFACTURING PROCESSING - 1.73%
90,000 United Dominion Industries $ 2,130,616 $ 2,070,000
MEDICAL EQUIPMENT & SUPPLIES - 2.76%
70,000 Baxter International Inc $ 2,970,350 $ 3,307,500
</TABLE>
---------------------
97
<PAGE>
DIVERSIFIED INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS - 4.44%
40,000 American Home Products Corp $ 1,289,524 $ 2,405,000
53,000 Warner Lambert Co 2,668,745 2,915,000
------------ --------------
$ 3,958,269 $ 5,320,000
PUBLISHING & MEDIA - 2.84%
80,000 Readers Digest Association Class A $ 3,479,908 $ 3,400,000
REAL ESTATE INVESTMENT TRUSTS - 3.89%
50,000 American Health Properties Inc $ 1,061,212 $ 1,106,250
35,000 Evans Withycombe Residential Inc 736,343 730,625
20,000 Post Properties Inc 626,600 707,500
45,000 Smith (Chars E) Residential Reality Inc 1,107,350 1,080,000
38,000 Spieker Properties Inc 865,065 1,035,500
------------ --------------
$ 4,396,570 $ 4,659,875
RETAIL & RELATED - 5.12%
25,000 Avon Products Inc $ 753,563 $ 1,128,125
33,000 Penney (J C) Co Inc 1,538,140 1,732,500
110,000 Rite Aid Corp 3,437,188 3,272,500
------------ --------------
$ 5,728,891 $ 6,133,125
TELECOMMUNICATIONS - 4.94%
105,000 Alltel Corp $ 2,910,899 $ 3,228,750
60,000 GTE Corp 2,084,501 2,685,000
------------ --------------
$ 4,995,400 $ 5,913,750
TRANSPORTATION - 2.30%
11,700 Tranz Rail Holdings Ltd+ $ 146,250 $ 162,338
37,000 Union Pacific Corp 2,293,290 2,585,375
------------ --------------
$ 2,439,540 $ 2,747,713
</TABLE>
- ------------------------
98
<PAGE>
DIVERSIFIED INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
UTILITIES - 5.61%
37,000 Duke Power Co $ 1,596,828 $ 1,896,250
75,000 Illinova Corp 2,010,750 2,156,250
70,400 Royal PTT Nederland ADR+ 2,528,579 2,657,600
------------ --------------
$ 6,136,157 $ 6,710,100
TOTAL COMMON STOCKS $ 99,323,495 $ 111,866,876
PREFERRED STOCKS - 1.80%
CONVERTIBLES - 1.80%
45,000 Browning-Ferris Industries Inc expires 06/30/1998+ $ 1,610,280 $ 1,428,750
16,000 First Chicago NBD Corp expires 02/15/1997 299,280 328,000
10,000 Sprint Corp expires 03/31/2000 318,750 402,500
------------ --------------
TOTAL PREFERRED STOCKS $ 2,228,310 $ 2,159,250
</TABLE>
---------------------
99
<PAGE>
DIVERSIFIED INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 5.31%
U.S. TREASURY BILLS - 4.13%
$ 5,000,000 U.S. Treasury Bills 5.18 %(F) 09/19/96 $ 4,943,799
REPURCHASE AGREEMENTS - 1.18%
$ 1,416,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 07/03/96 $ 1,416,000
--------------
TOTAL SHORT-TERM INSTRUMENTS $ 6,359,799
(Cost $6,359,385)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $107,911,190)* (Notes 1 and 3) 100.57% $ 120,385,925
Other Assets and Liabilities, Net (0.57) (684,782)
------ --------------
TOTAL NET ASSETS 100.00% $ 119,701,143
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
(F) YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 14,336,851
Gross Unrealized Depreciation (1,862,116)
------------
NET UNREALIZED APPRECIATION $ 12,474,735
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ------------------------
100
<PAGE>
GINNIE MAE FUND (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
INTEREST
PRINCIPAL SECURITY NAME RATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES - 99.07%
$ 5,000,000 Federal Home Loan Mortgage Corp TBA 6.50 % $ 4,834,500
06/17/11
5,000,000 Federal National Mortgage Assoc 5.94 4,631,550
12/12/05
8,000,000 Federal National Mortgage Assoc 6.22 7,554,800
03/13/06
5,000,000 Federal National Mortgage Assoc 6.45 4,917,200
03/26/01
10,000,000 Federal National Mortgage Assoc TBA 6.00 9,460,000
07/17/11
1,418,641 Government National Mortgage Assoc 6.50 1,328,656
05/15/24
5,181,183 Government National Mortgage Assoc 6.75 4,900,190
03/15/22 to 09/15/28
1,603,363 Government National Mortgage Assoc 6.88 1,527,043
01/15/29
3,989,242 Government National Mortgage Assoc 6.90 3,824,885
01/15/31
11,113,887 Government National Mortgage Assoc 7.00 10,660,439
01/15/29 to 02/15/29
3,310,966 Government National Mortgage Assoc 7.13 3,198,327
01/15/29
4,859,440 Government National Mortgage Assoc 7.50 4,789,561
10/15/25
13,141,685 Government National Mortgage Assoc 8.00 13,280,126
05/15/22 to 08/15/24
4,139,430 Government National Mortgage Assoc 8.43 4,255,830
08/01/27
12,243,238 Government National Mortgage Assoc 8.50 12,594,690
10/15/16 to 04/15/27
4,050,702 Government National Mortgage Assoc 8.75 4,144,354
01/15/28
</TABLE>
---------------------
101
<PAGE>
GINNIE MAE FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST
PRINCIPAL SECURITY NAME RATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES (CONTINUED)
$20,649,074 Government National Mortgage Assoc 9.00 % $ 21,816,764
03/15/05 to 01/15/23
3,523,001 Government National Mortgage Assoc 9.50 3,764,859
10/15/09 to 10/15/21
6,098,162 Government National Mortgage Assoc 10.00 6,653,261
11/15/09 to 03/15/21
2,997,795 Government National Mortgage Assoc 10.50 3,305,805
09/15/15 to 08/15/20
13,623,448 Government National Mortgage Assoc II 7.50 13,359,425
11/20/25
12,693,861 Government National Mortgage Assoc II 8.00 12,755,689
08/20/25 to 06/20/26
1,826,477 Government National Mortgage Assoc II 8.50 1,869,947
07/20/25 to 06/20/26
5,732,008 Government National Mortgage Assoc II 10.00 6,175,390
12/20/13 to 06/20/22
2,256,497 Government National Mortgage Assoc II 11.00 2,520,483
08/20/19 to 08/20/20
2,135,000 Government National Mortgage Assoc II TBA 8.00 2,153,788
07/22/26
5,000,000 Government National Mortgage Assoc II TBA 8.50 5,119,000
07/19/26
--------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 175,396,562
(Cost $178,107,804)
U.S. TREASURY SECURITIES - 10.51%
$ 8,500,000 U.S. Treasury Bonds 6.00 % $ 7,537,120
02/15/26
1,000,000 U.S. Treasury Notes 5.63 966,410
02/28/01
10,000,000 U.S. Treasury Notes 6.88 10,110,906
05/15/06
--------------
TOTAL U.S. TREASURY SECURITIES $ 18,614,436
(Cost $19,046,028)
</TABLE>
- ------------------------
102
<PAGE>
GINNIE MAE FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST
PRINCIPAL SECURITY NAME RATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 3.66%
$ 6,475,000 Goldman Sachs Pooled Repurchase Agreement - 102%
Collateralized by U.S. Government Securities 07/03/96 5.30 $ 6,475,000
(Cost $6,475,000)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $203,628,832)* (Notes 1 and 3) 113.24% $ 200,485,998
Other Assets and Liabilities, Net (13.24) (23,440,378)
------ --------------
TOTAL NET ASSETS 100.00% $ 177,045,620
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 675,089
Gross Unrealized Depreciation (3,817,923)
------------
NET UNREALIZED DEPRECIATION $ (3,142,834)
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
---------------------
103
<PAGE>
GROWTH AND INCOME FUND (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 94.32%
ADVERTISING - 1.86%
94,800 Omnicom Group $ 1,883,897 $ 4,408,200
AUTOMOBILE & RELATED - 4.94%
180,000 Danaher Corp $ 5,678,990 $ 7,830,000
74,000 General Motors Corp 3,616,995 3,875,750
------------ --------------
$ 9,295,985 $ 11,705,750
BASIC INDUSTRIES - 4.38%
41,500 Aluminum Co of America $ 2,559,661 $ 2,381,063
75,000 Case Corp 4,031,250 3,600,000
135,000 Monsanto Co 2,018,925 4,387,500
------------ --------------
$ 8,609,836 $ 10,368,563
BIOTECHNOLOGY - 0.85%
40,000 Genzyme Corp - General Division+ $ 2,381,668 $ 2,010,000
COMMERCIAL SERVICES - 3.77%
109,000 CUC International Inc+ $ 3,433,492 $ 3,869,500
88,000 Service Corp International 3,559,502 5,060,000
------------ --------------
$ 6,992,994 $ 8,929,500
COMPUTER SOFTWARE - 3.07%
64,000 First Data Corp $ 4,250,774 $ 5,096,000
55,000 Oracle Systems Corp+ 1,860,832 2,169,063
------------ --------------
$ 6,111,606 $ 7,265,063
</TABLE>
- ------------------------
104
<PAGE>
GROWTH AND INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SYSTEMS - 11.11%
122,000 Cisco Systems Inc+ $ 3,651,770 $ 6,908,250
114,000 Danka Business Systems Plc 4,589,850 3,334,500
50,000 Hewlett Packard Co 4,078,781 4,981,250
202,000 Komag Inc+ 6,254,932 5,327,750
108,154 Reynolds & Reynolds Co Class A 4,575,412 5,759,201
------------ --------------
$ 23,150,745 $ 26,310,951
ELECTRICAL EQUIPMENT - 1.31%
67,000 Thermedics Inc+ $ 1,361,880 $ 1,675,000
27,700 Varian Associates Inc 1,664,213 1,433,471
------------ --------------
$ 3,026,093 $ 3,108,471
ENERGY & RELATED - 11.94%
50,000 Anadarko Petroleum Corp $ 2,188,433 $ 2,900,000
98,000 Ashland Inc 4,098,164 3,883,250
30,600 Mobil Corp 2,824,098 3,431,025
252,000 Reading & Bates Corp+ 5,052,285 5,575,500
110,700 Sonat Inc 3,436,721 4,981,500
44,000 Texaco Inc 3,012,028 3,690,500
132,300 Ultramar Corp 3,971,671 3,836,700
------------ --------------
$ 24,583,400 $ 28,298,475
FINANCE & RELATED - 14.65%
44,000 Aetna Life & Casualty Co $ 3,127,520 $ 3,146,000
31,500 American International Group Inc 2,988,459 3,106,688
158,500 Block (H & R) Inc 5,614,420 5,171,063
43,500 Citicorp 1,788,959 3,594,188
63,600 Federal Home Loan Mortgage Corp 5,413,399 5,437,800
77,100 Household International Inc 2,803,718 5,859,600
120,600 MBNA Corp 2,875,830 3,437,100
202,000 Schwab (Charles) Corp 4,406,071 4,949,000
------------ --------------
$ 29,018,376 $ 34,701,439
</TABLE>
---------------------
105
<PAGE>
GROWTH AND INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
FOOD & RELATED - 2.74%
37,399 Philip Morris Co Inc $ 2,492,377 $ 3,889,496
126,000 Ralcorp Holdings Inc+ 2,989,019 2,598,750
------------ --------------
$ 5,481,396 $ 6,488,246
HEALTHCARE - 3.25%
205,000 Tenet Healthcare Corp+ $ 4,311,412 $ 4,381,875
65,800 United Healthcare Corp 3,549,184 3,322,900
------------ --------------
$ 7,860,596 $ 7,704,775
MANUFACTURING PROCESSING - 5.44%
62,900 Allied Signal Inc $ 2,104,238 $ 3,593,163
56,000 Harsco Corp 2,331,065 3,766,000
40,000 Potash Corp of Saskatchewan Inc 2,715,146 2,650,000
69,000 Thermo Electron Corp+ 2,263,620 2,872,125
------------ --------------
$ 9,414,069 $ 12,881,288
MEDICAL EQUIPMENT & SUPPLIES - 0.80%
40,000 Baxter International Inc $ 1,747,820 $ 1,890,000
PHARMACEUTICALS - 3.73%
100,000 Astra AB ADR Class A $ 4,487,500 $ 4,375,000
82,000 Smithkline Beecham Plc 4,219,310 4,458,750
------------ --------------
$ 8,706,810 $ 8,833,750
RETAIL & RELATED - 6.87%
75,500 Gap Inc $ 2,168,639 $ 2,425,438
70,000 Gillette Co 3,763,100 4,366,250
212,500 Mattel Inc 4,969,825 6,082,813
114,200 Rite Aid Corp 3,027,077 3,397,450
------------ --------------
$ 13,928,641 $ 16,271,951
</TABLE>
- ------------------------
106
<PAGE>
GROWTH AND INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS - 3.61%
90,000 Intel Corp $ 3,444,728 $ 6,609,375
75,300 LSI Logic Corp+ 2,326,375 1,957,800
------------ --------------
$ 5,771,103 $ 8,567,175
TELECOMMUNICATIONS - 10.00%
206,300 Airtouch Communications+ $ 6,267,423 $ 5,827,975
91,000 Alltel Corp 2,086,944 2,798,250
397,000 Ericson Telefonaktiebolaget L M Class B 7,901,367 8,535,500
118,000 WorldCom Inc+ 5,048,250 6,534,250
------------ --------------
$ 21,303,984 $ 23,695,975
TOTAL COMMON STOCKS $189,269,019 $ 223,439,572
PREFERRED STOCKS - 1.04%
CONVERTIBLES - 1.04%
120,000 First Chicago NBD Corp expires 02/15/1997 $ 2,204,034 $ 2,460,000
</TABLE>
---------------------
107
<PAGE>
GROWTH AND INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 1.69%
CONVERTIBLE CORPORATE BONDS - 1.69%
$ 1,500,000 HFS Inc 4.75 % 03/01/03 $ 1,785,000
1,500,000 U.S. Office Products Inc 5.50 02/01/01 2,218,125
--------------
TOTAL CORPORATE BONDS & NOTES $ 4,003,125
(Cost $3,035,813)
SHORT-TERM INSTRUMENTS - 3.22%
REPURCHASE AGREEMENTS - 3.22%
$ 7,632,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 07/03/96 $ 7,632,000
(Cost $7,632,000)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $202,140,866)* (Notes 1 and 3) 100.27% $ 237,534,697
Other Assets and Liabilities, Net (0.27) (649,237)
------ --------------
TOTAL NET ASSETS 100.00% $ 236,885,460
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 41,599,653
Gross Unrealized Depreciation (6,205,822)
------------
NET UNREALIZED APPRECIATION $ 35,393,831
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ------------------------
108
<PAGE>
SHORT-INTERMEDIATE U.S. GOVERNMENT INCOME FUND (UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 7.59%
BANK & FINANCE - 7.59%
$ 4,000,000 NationsBank 6.45 % 08/15/00 $ 3,960,000
(Cost $3,968,092)
U.S. GOVERNMENT AGENCY SECURITIES - 13.89%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 12.47%
$ 2,455,000 FNMA 7.30 % 04/17/00 $ 2,482,619
2,000,000 FNMA 7.36 09/29/99 2,021,880
2,000,000 FNMA Global Bond 6.85 05/26/00 1,999,680
--------------
$ 6,504,179
REAL ESTATE MORTGAGE INVESTMENT CONDUITS - 1.42%
$ 664,496 FHLMC 1554-LA 6.21 % 08/15/08 $ 652,867
87,203 FNMA 1993-G19 7.00 04/25/23 89,737
--------------
$ 742,604
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 7,246,783
(Cost $7,297,076)
U.S. TREASURY SECURITIES - 76.08%
U.S. TREASURY BONDS - 11.43%
$ 6,000,000 U.S. Treasury Bonds 6.25 % 05/31/00 $ 5,961,540
U.S. TREASURY NOTES - 64.65%
$10,000,000 U.S. Treasury Notes 5.63 % 02/28/01 $ 9,664,100
6,000,000 U.S. Treasury Notes 6.25 04/30/01 5,942,820
8,000,000 U.S. Treasury Notes 6.38 01/15/00 7,998,720
4,000,000 U.S. Treasury Notes 6.38 03/31/01 3,982,480
6,000,000 U.S. Treasury Notes 7.13 09/30/99 6,131,220
--------------
$ 33,719,340
TOTAL U.S. TREASURY SECURITIES $ 39,680,880
(Cost $40,136,141)
</TABLE>
---------------------
109
<PAGE>
SHORT-INTERMEDIATE U.S. GOVERNMENT INCOME FUND (UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 1.67%
U.S. TREASURY BILLS - 0.95%
$ 500,000 U.S. Treasury Bills 5.18 %(F) 09/19/96 $ 494,380
REPURCHASE AGREEMENTS - 0.72%
$ 375,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 07/03/96 $ 375,000
--------------
TOTAL SHORT-TERM INSTRUMENTS $ 869,380
(Cost $869,456)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $52,270,765)* (Notes 1 and 3) 99.23% $ 51,757,043
Other Assets and Liabilities, Net 0.77 400,491
------ --------------
TOTAL NET ASSETS 100.00% $ 52,157,534
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
(F) YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 229,527
Gross Unrealized Depreciation (743,249)
------------
NET UNREALIZED DEPRECIATION $ (513,722)
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ------------------------
110
<PAGE>
MASTER INVESTMENT TRUST - U.S. GOVERNMENT ALLOCATION MASTER PORTFOLIO
(UNAUDITED)
- -----------------------------------------
PORTFOLIO OF INVESTMENTS - 6/30/96
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 96.49%
U.S. TREASURY BONDS - 8.12%
$ 2,000,000 U.S. Treasury Bonds 13.13 % 05/15/01 $ 2,547,500
3,000,000 U.S. Treasury Bonds 13.38 08/15/01 3,887,808
4,000,000 U.S. Treasury Bonds 14.25 02/15/02 5,435,000
--------------
$ 11,870,308
U.S. TREASURY NOTES - 88.37%
$25,500,000 U.S. Treasury Notes 6.25 % 02/15/03 $ 25,037,810
26,500,000 U.S. Treasury Notes 6.38 08/15/02 26,251,563
30,350,000 U.S. Treasury Notes 7.50 11/15/01 31,677,813
14,300,000 U.S. Treasury Notes 7.50 05/15/02 14,956,885
16,000,000 U.S. Treasury Notes 7.88 08/15/01 16,944,976
13,500,000 U.S. Treasury Notes 8.00 05/15/01 14,343,750
--------------
$ 129,212,797
TOTAL U.S. TREASURY SECURITIES $ 141,083,105
(Cost $143,011,700)
SHORT-TERM INSTRUMENTS - 2.23%
U.S. TREASURY BILLS - 2.23%
$ 20,000 U.S. Treasury Bills 4.30 %(F) 07/05/96 $ 19,987
485,000 U.S. Treasury Bills 4.34 (F) 07/11/96 484,293
86,000 U.S. Treasury Bills 4.68 (F) 07/25/96 85,717
903,000 U.S. Treasury Bills 4.87 (F) 08/08/96 898,240
733,000 U.S. Treasury Bills 4.92 (F) 08/15/96 728,479
174,000 U.S. Treasury Bills 5.15 (F) 09/12/96 172,222
889,000 U.S. Treasury Bills 5.18 (F) 09/19/96 878,865
--------------
TOTAL SHORT-TERM INSTRUMENTS $ 3,267,803
(Cost $3,267,886)
</TABLE>
---------------------
111
<PAGE>
MASTER INVESTMENT TRUST - U.S. GOVERNMENT ALLOCATION MASTER PORTFOLIO
(UNAUDITED)
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $146,279,586)* (Notes 1 and 3) 98.72% $ 144,350,908
Other Assets and Liabilities, Net 1.28 1,873,420
------ --------------
TOTAL NET ASSETS 100.00% $ 146,224,328
------ --------------
------ --------------
- ----------------------------------------------------------------------------------------------------------
</TABLE>
(F) YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 99
Gross Unrealized Depreciation (1,928,777)
------------
NET UNREALIZED DEPRECIATION $ (1,928,678)
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ------------------------
112
<PAGE>
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) - JUNE 30, 1996
<TABLE>
<CAPTION>
AGGRESSIVE ASSET
GROWTH ALLOCATION
FUND FUND
<S> <C> <C>
- ---------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $29,155,435(4) $1,158,889,472(4)
Cash 0 0
Receivables:
Dividends and interest 0 11,208,771
Fund shares sold 324,074 464,343
Investment securities sold 0 0
Due from administrator (Note 2) 19,497 0
Organization expenses, net of
amortization 0 0
Prepaid expenses 0 93,981
Organization expense, net of
amortization 0 7,097
TOTAL ASSETS 29,499,006 1,170,663,664
LIABILITIES
Payables:
Investment securities purchased 324,074 0
Distribution to shareholders 0 10,099,228
Fund shares redeemed 0 9,856
Due to sponsor and distributor (Note
2) 8,898 369,910
Due to adviser (Note 2) 0 1,797,604
Other 66,532 83,848
TOTAL LIABILITIES 399,504 12,360,446
TOTAL NET ASSETS
$29,099,502 $1,158,303,218
NET ASSETS CONSIST OF:
Paid-in capital - Class A(1) $18,947,775 $ 916,508,435
Paid-in capital - Class B 10,156,928 53,463,064
Undistributed (overdistributed) net
investment income (loss) (42,106) 0
Undistributed net realized gain (loss)
on investments 8,476 42,071,990
Net unrealized appreciation
(depreciation) of investments 28,429 146,259,729
TOTAL NET ASSETS $29,099,502 $1,158,303,218
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE
Net assets - Class A(1) $19,062,394 $1,102,502,965
Shares outstanding - Class A(1) 974,966 52,126,569
Net asset value per share - Class A(1) $ 19.55 $ 21.15
Maximum offering price per share - Class
A(1) $ 20.47(2) $ 22.15(2)
Net assets - Class B $10,037,108 $ 55,800,253
Shares outstanding - Class B 416,842 4,369,606
Net asset value and offering price per
share - Class B $ 24.08 $ 12.77
INVESTMENTS AT COST (NOTE 3) N/A N/A
- ---------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/95.5 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE THE OFFERING PRICE IS REDUCED.
(3) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/97 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE THE OFFERING PRICE IS REDUCED.
(4) INVESTMENT IN CORRESPONDING MASTER PORTFOLIO.
The accompanying notes are an integral part of these financial statements.
---------------------
113
<PAGE>
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) - JUNE 30, 1996
<TABLE>
<CAPTION>
CALIFORNIA
CALIFORNIA TAX-FREE
TAX-FREE INCOME
BOND FUND FUND
<S> <C> <C>
- -------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $309,297,069 $83,642,165
Cash 472 1,209
Receivables:
Dividends and interest 4,987,205 1,038,723
Fund shares sold 62,418 19,558
Investment securities sold 0 0
Due from administrator (Note 2) 2,533 11,202
Organization expenses, net of
amortization 0 0
Prepaid expenses 68 1,213
Organization expense, net of
amortization 0 0
TOTAL ASSETS 314,349,765 84,714,070
LIABILITIES
Payables:
Investment securities purchased 0 2,927,017
Distribution to shareholders 1,184,172 242,149
Fund shares redeemed 0 0
Due to sponsor and distributor (Note
2) 334,047 34,654
Due to adviser (Note 2) 418,105 95,300
Other 111,180 41,165
TOTAL LIABILITIES 2,047,504 3,340,285
TOTAL NET ASSETS
$312,302,261 $81,373,785
NET ASSETS CONSIST OF:
Paid-in capital - Class A(1) $279,059,393 $82,009,719
Paid-in capital - Class B 36,983,787 N/A
Undistributed (overdistributed) net
investment income (loss) 0 0
Undistributed net realized gain (loss)
on investments (4,083,204) (152,744)
Net unrealized appreciation
(depreciation) of investments 342,285 (483,190)
TOTAL NET ASSETS $312,302,261 $81,373,785
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE
Net assets - Class A(1) $275,429,495 $81,373,785
Shares outstanding - Class A(1) 25,874,700 7,973,729
Net asset value per share - Class A(1) $ 10.64 $ 10.21
Maximum offering price per share - Class
A(1) $ 11.14(2) $ 10.53(3)
Net assets - Class B $ 36,872,766 N/A
Shares outstanding - Class B 3,397,827 N/A
Net asset value and offering price per
share - Class B $ 10.85 N/A
INVESTMENTS AT COST (NOTE 3) $308,954,784 $84,125,355
- -------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/95.5 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE THE OFFERING PRICE IS REDUCED.
(3) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/97 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE THE OFFERING PRICE IS REDUCED.
(4) INVESTMENT IN CORRESPONDING MASTER PORTFOLIO.
The accompanying notes are an integral part of these financial statements.
- ------------------------
114
<PAGE>
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) - JUNE 30, 1996
<TABLE>
<CAPTION>
SHORT-INTER-
MEDIATE
U.S.
CORPORATE DIVERSIFIED GINNIE GROWTH GOVERNMENT
STOCK INCOME MAE AND INCOME INCOME
FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $365,555,642(4) $120,385,925 $200,485,998 $237,534,697 $51,757,043
Cash 0 50,630 3,626 4,048 2,045
Receivables:
Dividends and interest 1,493,888 380,572 1,460,623 310,129 786,183
Fund shares sold 2,500 272,980 181,394 43,353 0
Investment securities sold 0 698,223 0 0 0
Due from administrator (Note 2) 0 28,413 10,251 10,415 20,635
Organization expenses, net of
amortization 0 0 0 0 0
Prepaid expenses 1,084 10,319 17,930 8,317 67
Organization expense, net of
amortization 0 0 0 0 0
TOTAL ASSETS 367,053,114 121,827,062 202,159,822 237,910,959 52,565,973
LIABILITIES
Payables:
Investment securities purchased 0 1,058,630 23,691,517 0 0
Distribution to shareholders 1,122,074 722,979 930,843 314,875 217,887
Fund shares redeemed 0 0 0 0 0
Due to sponsor and distributor (Note
2) 107,723 34,491 151,208 82,482 15,885
Due to adviser (Note 2) 584,022 254,926 299,743 549,614 66,259
Other 78,649 54,893 40,891 78,528 108,408
TOTAL LIABILITIES 1,892,468 2,125,919 25,114,202 1,025,499 408,439
TOTAL NET ASSETS
$365,160,646 $119,701,143 $177,045,620 $236,885,460 $52,157,534
NET ASSETS CONSIST OF:
Paid-in capital - Class A(1) $195,537,428 $ 90,161,401 $179,345,561 $175,819,059 $55,027,547
Paid-in capital - Class B N/A 9,769,472 20,702,988 9,139,383 N/A
Undistributed (overdistributed) net
investment income (loss) 0 0 0 (5,080) 0
Undistributed net realized gain (loss)
on investments 5,265,888 7,295,535 (19,860,095) 16,538,267 (2,356,291)
Net unrealized appreciation
(depreciation) of investments 164,357,330 12,474,735 (3,142,834) 35,393,831 (513,722)
TOTAL NET ASSETS $365,160,646 $119,701,143 $177,045,620 $236,885,460 $52,157,534
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE
Net assets - Class A(1) $365,160,646 $109,011,762 $156,954,562 $226,907,658 $52,157,534
Shares outstanding - Class A(1) 8,093,301 7,556,136 14,804,008 11,916,087 5,370,862
Net asset value per share - Class A(1) $ 45.12 $ 14.43 $ 10.60 $ 19.04 $ 9.71
Maximum offering price per share - Class
A(1) $ 45.12 $ 15.11(2) $ 11.10(2) $ 19.94(2) $ 10.01(3)
Net assets - Class B N/A $ 10,689,381 $ 20,091,058 $ 9,977,802 N/A
Shares outstanding - Class B N/A 791,267 1,925,747 736,343 N/A
Net asset value and offering price per
share - Class B N/A $ 13.51 $ 10.43 $ 13.55 N/A
INVESTMENTS AT COST (NOTE 3) N/A $107,911,190 $203,628,832 $202,140,866 $52,270,765
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
U.S.
GOVERNMENT
ALLOCATION
FUND
<S> <C>
- -------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $146,224,757(4)
Cash 0
Receivables:
Dividends and interest 735,839
Fund shares sold 29,704
Investment securities sold 0
Due from administrator (Note 2) 0
Organization expenses, net of
amortization 10,689
Prepaid expenses 7,068
Organization expense, net of
amortization 0
TOTAL ASSETS 147,008,057
LIABILITIES
Payables:
Investment securities purchased 0
Distribution to shareholders 654,098
Fund shares redeemed 30,542
Due to sponsor and distributor (Note
2) 51,724
Due to adviser (Note 2) 244,090
Other 56,453
TOTAL LIABILITIES 1,036,907
TOTAL NET ASSETS
$145,971,150
NET ASSETS CONSIST OF:
Paid-in capital - Class A(1) $166,267,507
Paid-in capital - Class B 5,402,814
Undistributed (overdistributed) net
investment income (loss) 0
Undistributed net realized gain (loss)
on investments (23,770,099)
Net unrealized appreciation
(depreciation) of investments (1,929,072)
TOTAL NET ASSETS $145,971,150
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE
Net assets - Class A(1) $140,620,453
Shares outstanding - Class A(1) 9,721,804
Net asset value per share - Class A(1) $ 14.46
Maximum offering price per share - Class
A(1) $ 15.14(2)
Net assets - Class B $ 5,350,697
Shares outstanding - Class B 508,292
Net asset value and offering price per
share - Class B $ 10.53
INVESTMENTS AT COST (NOTE 3) N/A
- --------------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/95.5 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE THE OFFERING PRICE IS REDUCED.
(3) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/97 OF NET ASSET VALUE. ON
INVESTMENTS OF $50,000 OR MORE THE OFFERING PRICE IS REDUCED.
(4) INVESTMENT IN CORRESPONDING MASTER PORTFOLIO.
The accompanying notes are an integral part of these financial statements.
---------------------
115
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED) - FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
AGGRESSIVE ASSET CALIFORNIA
GROWTH ALLOCATION TAX-FREE
FUND(1)(2) FUND(1) BOND FUND
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (Note 5) $ 5,708 $ 7,089,500 $ 0
Interest (Note 5) 19,111 16,513,642 9,070,730
Expenses allocated from Master Series (27,127) (780,307) N/A
TOTAL INVESTMENT INCOME/(LOSS) (2,308) 22,822,835 9,070,730
EXPENSES
Advisory fees 0 1,330,596 771,062
Administration fees 1,319 168,691 47,671
Custody fees 0 0 28,153
Shareholder servicing fees 10,995 1,686,913 476,715
Portfolio accounting fees 0 0 52,038
Transfer agency fees 0 535,099 96,471
Distribution fees 11,121 420,744 185,827
Amortization of organization expenses 0 0 3,210
Legal and audit fees 10,868 69,001 32,957
Registration fees 12,787 108,200 23,299
Directors' fees 1,598 2,459 2,486
Shareholder reports 23,976 103,828 30,930
Other 2,554 24,072 46,694
TOTAL EXPENSES 75,218 4,449,603 1,797,513
Less:
Waived and reimbursed fees (Note 2) (35,426) (4,460) (578,533)
Net Expenses 39,792 4,445,143 1,218,980
NET INVESTMENT INCOME/(LOSS) (42,100) 18,377,692 7,851,750
REALIZED AND UNREALIZED GAIN, (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments (Note 5) 8,476 40,457,880 1,367,848
Net change in unrealized appreciation
(depreciation) of investments (Note
5) 28,429 (18,264,475) (13,570,850)
NET GAIN (LOSS) ON INVESTMENTS 36,905 22,193,405 (12,203,002)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (5,195) $ 40,571,097 $ (4,351,252)
- -----------------------------------------------------------------------------------------
</TABLE>
(1) SEE NOTE 5.
(2) THIS FUND COMMENCED OPERATIONS ON MARCH 4, 1996.
The accompanying notes are an integral part of these financial statements.
- ------------------------
116
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED)- FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
CALIFORNIA
TAX-FREE CORPORATE DIVERSIFIED GINNIE GROWTH
INCOME STOCK INCOME MAE AND INCOME
FUND FUND(1) FUND FUND FUND
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (Note 5) $ 0 $ 3,863,488 $1,718,056 $ 0 $ 1,612,639
Interest (Note 5) 1,838,879 67,724 181,746 6,883,324 247,088
Expenses allocated from Master Series N/A (317,921) N/A N/A N/A
TOTAL INVESTMENT INCOME/(LOSS) 1,838,879 3,613,291 1,899,802 6,883,324 1,859,727
EXPENSES
Advisory fees 198,351 519,814 259,642 452,382 531,418
Administration fees 0 51,909 15,578 27,143 0
Custody fees 7,287 0 11,207 38,047 22,236
Shareholder servicing fees 121,983 517,153 155,785 271,429 318,842
Portfolio accounting fees 36,448 0 41,550 48,711 51,932
Transfer agency fees 20,885 222,789 62,161 120,169 149,589
Distribution fees 35,387 85,999 51,374 103,773 113,008
Amortization of organization expenses 4,177 0 7,445 1,347 1,346
Legal and audit fees 10,867 18,431 17,996 28,032 13,990
Registration fees 9,945 36,886 22,379 22,437 23,259
Directors' fees 2,486 2,459 2,486 2,486 2,486
Shareholder reports 12,432 98,363 37,297 19,945 74,795
Other 2,381 5,389 18,376 7,982 30,062
TOTAL EXPENSES 462,629 1,559,192 703,276 1,143,883 1,332,963
Less:
Waived and reimbursed fees (Note 2) (198,266) (120,504) (104,974) (331,571) (12,375)
Net Expenses 264,363 1,438,688 598,302 812,312 1,320,588
NET INVESTMENT INCOME/(LOSS) 1,574,516 2,174,603 1,301,500 6,071,012 539,139
REALIZED AND UNREALIZED GAIN, (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments (Note 5) 19,327 4,151,361 5,749,985 (3,704,727) 14,315,126
Net change in unrealized appreciation
(depreciation) of investments (Note
5) (1,212,155) 25,301,532 1,913,046 (5,582,665) 5,854,282
NET GAIN (LOSS) ON INVESTMENTS (1,192,828) 29,452,893 7,663,031 (9,287,392) 20,169,408
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 381,688 $31,627,496 $8,964,531 $ (3,216,380) $20,708,547
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) SEE NOTE 5.
The accompanying notes are an integral part of these financial statements.
---------------------
117
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED) - FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
SHORT-INTER-
MEDIATE
U.S. U.S.
GOVERNMENT GOVERNMENT
INCOME ALLOCATION
FUND FUND(1)
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (Note 5) $ 3,900 $ 0
Interest (Note 5) 1,472,720 4,560,143
Expenses allocated from Master Series N/A (144,171)
TOTAL INVESTMENT INCOME/(LOSS) 1,476,620 4,415,972
EXPENSES
Advisory fees 120,280 227,322
Administration fees 7,217 21,103
Custody fees 7,499 0
Shareholder servicing fees 72,168 211,034
Portfolio accounting fees 28,666 0
Transfer agency fees 11,935 114,084
Distribution fees 12,028 51,146
Amortization of organization expenses 3,580 902
Legal and audit fees 9,572 16,807
Registration fees 497 22,567
Directors' fees 2,486 2,459
Shareholder reports 14,919 48,907
Other 3,178 17,159
TOTAL EXPENSES 294,025 733,490
Less:
Waived and reimbursed fees (Note 2) (113,615) (72,794)
Net Expenses 180,410 660,696
NET INVESTMENT INCOME/(LOSS) 1,296,210 3,755,276
REALIZED AND UNREALIZED GAIN, (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments (Note 5) (138,240) (490,721)
Net change in unrealized appreciation
(depreciation) of investments (Note
5) (1,294,745) (4,568,179)
NET GAIN (LOSS) ON INVESTMENTS (1,432,985) (5,058,900)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (136,775) $ (1,303,624)
- ---------------------------------------------------------------------------------------------
</TABLE>
(1) SEE NOTE 5.
The accompanying notes are an integral part of these financial statements.
- ------------------------
118
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
AGGRESSIVE
GROWTH FUND
--------------
(UNAUDITED)
FROM MARCH 4,
1996
(COMMENCEMENT
OF
OPERATIONS) TO
JUNE 30, 1996
<S> <C>
- -----------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income/(loss) $ (42,100)
Net realized gain (loss) on sale of
investments 8,476
Net change in unrealized appreciation
(depreciation) of investments 28,429
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (5,195)
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
CLASS A(1) 0
CLASS B 0
From net realized gain on sales of
investments
CLASS A(1) 0
CLASS B 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A(1) 20,348,119
Reinvestment of dividends - Class A(1) 0
Cost of shares redeemed - Class A(1) (1,400,399)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS A (NOTE 4)(1) 18,947,720
Proceeds from shares sold - Class B 10,298,084
Reinvestment of dividends - Class B 0
Cost of shares redeemed - Class B (141,207)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS B (NOTE 4) 10,156,877
INCREASE (DECREASE) IN NET ASSETS 29,099,402
NET ASSETS:
Beginning net assets 100
ENDING NET ASSETS $ 29,099,502
SHARES ISSUED AND REDEEMED:
Shares sold - Class A(1) 1,043,793
Shares issued in reinvestment of
dividends - Class A(1) 0
Shares redeemed - Class A(1) (68,830)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A(1) 974,963
Shares sold - Class B 422,586
Shares issued in reinvestment of
dividends - Class B 0
Shares redeemed - Class B (5,746)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS B 416,840
- -----------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
---------------------
119
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
---------------------------------
(UNAUDITED)
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996(2) 1995
<S> <C> <C>
- ------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income/(loss) $ 18,377,692 $ 39,014,905
Net realized gain (loss) on sale of
investments 40,457,880 4,576,913
Net change in unrealized appreciation
(depreciation) of investments (18,264,475) 215,304,208
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 40,571,097 258,896,026
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
CLASS A(1) (17,795,927) (38,781,909)
CLASS B (581,765) (232,996)
From net realized gain on sales of
investments
CLASS A(1) 0 (2,902,594)
CLASS B 0 (60,209)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A(1) 95,005,982 112,740,980
Reinvestment of dividends - Class A(1) 16,355,823 84,335,697
Cost of shares redeemed - Class A(1) (108,170,920) (231,482,165)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS A (NOTE 4)(1) 3,190,885 (34,405,488)
Proceeds from shares sold - Class B 31,595,311 25,023,646
Reinvestment of dividends - Class B 330,900 159,719
Cost of shares redeemed - Class B (3,213,166) (433,346)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS B (NOTE 4) 28,713,045 24,750,019
INCREASE (DECREASE) IN NET ASSETS 54,097,335 207,262,849
NET ASSETS:
Beginning net assets 1,104,205,883 896,943,034
ENDING NET ASSETS $1,158,303,218 $1,104,205,883
SHARES ISSUED AND REDEEMED:
Shares sold - Class A(1) 4,531,911 5,898,807
Shares issued in reinvestment of
dividends - Class A(1) 785,497 4,807,125
Shares redeemed - Class A(1) (5,153,163) (12,361,894)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A(1) 164,245 (1,655,962)
Shares sold - Class B 2,496,222 2,123,672
Shares issued in reinvestment of
dividends - Class B 26,329 13,259
Shares redeemed - Class B (253,893) (35,983)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS B 2,268,658 2,100,948
- ------------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) SEE NOTE 7.
The accompanying notes are an integral part of these financial statements.
- ---------------------
120
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE BOND FUND CALIFORNIA TAX-FREE INCOME FUND
--------------------------------- ---------------------------------
(UNAUDITED) FOR THE (UNAUDITED) FOR THE
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1996 1995 JUNE 30, 1996 1995
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income/(loss) $ 7,851,750 $ 15,982,476 $ 1,574,516 $ 2,054,164
Net realized gain (loss) on sale of
investments 1,367,848 591,815 19,327 (43,204)
Net change in unrealized appreciation
(depreciation) of investments (13,570,850) 35,434,462 (1,212,155) 2,645,684
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (4,351,252) 52,008,753 381,688 4,656,644
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
CLASS A(1) (7,139,523) (15,472,726) (1,574,516) (2,054,164)
CLASS B (712,227) (509,750) N/A N/A
From net realized gain on sales of
investments
CLASS A(1) 0 0 0 0
CLASS B 0 0 N/A N/A
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A(1) 22,037,168 33,207,626 28,333,635 51,648,405
Reinvestment of dividends - Class A(1) 4,990,019 10,558,616 1,371,265 1,618,516
Cost of shares redeemed - Class A(1) (37,002,190) (88,142,779) (25,103,723) (26,901,737)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS A (NOTE 4)(1) (9,975,003) (44,376,537) 4,601,177 26,365,184
Proceeds from shares sold - Class B 13,292,323 26,079,671 N/A N/A
Reinvestment of dividends - Class B 502,813 313,904 N/A N/A
Cost of shares redeemed - Class B (2,647,824) (557,099) N/A N/A
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS B (NOTE 4) 11,147,312 25,836,476 N/A N/A
INCREASE (DECREASE) IN NET ASSETS (11,030,693) 17,486,216 3,408,349 28,967,664
NET ASSETS:
Beginning net assets 323,332,954 305,846,738 77,965,436 48,997,772
ENDING NET ASSETS $ 312,302,261 $ 323,332,954 $ 81,373,785 $ 77,965,436
SHARES ISSUED AND REDEEMED:
Shares sold - Class A(1) 2,043,661 3,122,899 2,750,330 5,048,517
Shares issued in reinvestment of
dividends - Class A(1) 461,388 1,007,045 133,243 159,491
Shares redeemed - Class A(1) (3,457,733) (8,380,512) (2,446,289) (2,650,715)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A(1) (952,684) (4,250,568) 437,284 2,557,293
Shares sold - Class B 1,204,318 2,411,791 N/A N/A
Shares issued in reinvestment of
dividends - Class B 45,728 28,834 N/A N/A
Shares redeemed - Class B (241,839) (51,005) N/A N/A
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS B 1,008,207 2,389,620 N/A N/A
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
---------------------
121
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CORPORATE STOCK FUND
---------------------------------
(UNAUDITED)
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996(2) 1995
<S> <C> <C>
- ------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income/(loss) $ 2,174,603 $ 4,577,228
Net realized gain (loss) on sale of
investments 4,151,361 6,005,161
Net change in unrealized appreciation
(depreciation) of investments 25,301,532 76,552,587
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 31,627,496 87,134,976
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
CLASS A(1) (2,174,603) (4,577,228)
CLASS B N/A N/A
From net realized gain on sales of
investments
CLASS A(1) 0 (4,890,634)
CLASS B N/A N/A
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A(1) 39,490,015 42,931,593
Reinvestment of dividends - Class A(1) 2,179,263 17,597,071
Cost of shares redeemed - Class A(1) (33,169,395) (47,253,329)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS A (NOTE 4)(1) 8,499,883 13,275,335
Proceeds from shares sold - Class B N/A N/A
Reinvestment of dividends - Class B N/A N/A
Cost of shares redeemed - Class B N/A N/A
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS B (NOTE 4) N/A N/A
INCREASE (DECREASE) IN NET ASSETS 37,952,776 90,942,449
NET ASSETS:
Beginning net assets 327,207,870 236,265,421
ENDING NET ASSETS $ 365,160,646 $ 327,207,870
SHARES ISSUED AND REDEEMED:
Shares sold - Class A(1) 909,809 1,167,520
Shares issued in reinvestment of
dividends - Class A(1) 51,418 505,005
Shares redeemed - Class A(1) (761,089) (1,299,326)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A(1) 200,138 373,199
Shares sold - Class B N/A N/A
Shares issued in reinvestment of
dividends - Class B N/A N/A
Shares redeemed - Class B N/A N/A
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS B N/A N/A
- ------------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) SEE NOTE 7.
The accompanying notes are an integral part of these financial statements.
- ---------------------
122
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
DIVERSIFIED INCOME FUND GINNIE MAE FUND
--------------------------------- ---------------------------------
(UNAUDITED) FOR THE (UNAUDITED) FOR THE
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31,
JUNE 30, 1996 1995 JUNE 30, 1996 1995
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income/(loss) $ 1,301,500 $ 1,871,560 $ 6,071,012 $ 11,884,440
Net realized gain (loss) on sale of
investments 5,749,985 3,545,900 (3,704,727) 1,935,107
Net change in unrealized appreciation
(depreciation) of investments 1,913,046 10,976,829 (5,582,665) 13,236,756
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 8,964,531 16,394,289 (3,216,380) 27,056,303
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
CLASS A(1) (1,224,869) (1,819,692) (5,522,051) (11,629,261)
CLASS B (76,631) (51,868) (548,962) (255,179)
From net realized gain on sales of
investments
CLASS A(1) 0 (1,621,942) 0 0
CLASS B 0 (104,647) 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A(1) 34,632,310 36,625,693 22,675,718 24,703,217
Reinvestment of dividends - Class A(1) 992,335 3,084,339 3,463,683 6,911,844
Cost of shares redeemed - Class A(1) (13,716,032) (17,324,191) (26,979,502) (51,605,131)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS A (NOTE 4)(1) 21,908,613 22,385,841 (840,101) (19,990,070)
Proceeds from shares sold - Class B 5,638,128 5,158,139 11,050,868 12,424,092
Reinvestment of dividends - Class B 49,236 122,225 192,649 69,456
Cost of shares redeemed - Class B (873,904) (324,353) (2,455,050) (579,027)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS B (NOTE 4) 4,813,460 4,956,011 8,788,467 11,914,521
INCREASE (DECREASE) IN NET ASSETS 34,385,104 40,137,992 (1,339,027) 7,096,314
NET ASSETS:
Beginning net assets 85,316,039 45,178,047 178,384,647 171,288,333
ENDING NET ASSETS $ 119,701,143 $ 85,316,039 $ 177,045,620 $ 178,384,647
SHARES ISSUED AND REDEEMED:
Shares sold - Class A(1) 2,461,555 2,981,021 2,085,148 2,279,437
Shares issued in reinvestment of
dividends - Class A(1) 72,415 244,288 318,818 646,128
Shares redeemed - Class A(1) (972,238) (1,429,340) (2,504,111) (4,839,906)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A(1) 1,561,732 1,795,969 (100,145) (1,914,341)
Shares sold - Class B 426,594 446,270 1,025,843 1,161,521
Shares issued in reinvestment of
dividends - Class B 3,823 9,860 18,112 6,474
Shares redeemed - Class B (66,665) (28,616) (232,749) (53,454)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS B 363,752 427,514 811,206 1,114,541
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
---------------------
123
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GROWTH AND INCOME FUND
---------------------------------
(UNAUDITED) FOR THE
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1996 1995
<S> <C> <C>
- ------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income/(loss) $ 539,139 $ 1,835,782
Net realized gain (loss) on sale of
investments 14,315,126 9,354,459
Net change in unrealized appreciation
(depreciation) of investments 5,854,282 25,841,652
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 20,708,547 37,031,893
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
CLASS A(1) (544,220) (1,827,656)
CLASS B 0 (8,126)
From net realized gain on sales of
investments
CLASS A(1) 0 (6,952,008)
CLASS B 0 (179,310)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A(1) 52,302,206 61,077,854
Reinvestment of dividends - Class A(1) 555,788 11,706,310
Cost of shares redeemed - Class A(1) (23,950,190) (35,699,783)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS A (NOTE 4)(1) 28,907,804 37,084,381
Proceeds from shares sold - Class B 5,237,559 4,557,982
Reinvestment of dividends - Class B 1,977 184,612
Cost of shares redeemed - Class B (596,229) (246,518)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS B (NOTE 4) 4,643,307 4,496,076
INCREASE (DECREASE) IN NET ASSETS 53,715,438 69,645,250
NET ASSETS:
Beginning net assets 183,170,022 113,524,772
ENDING NET ASSETS $ 236,885,460 $ 183,170,022
SHARES ISSUED AND REDEEMED:
Shares sold - Class A(1) 2,842,756 3,775,466
Shares issued in reinvestment of
dividends - Class A(1) 31,450 726,595
Shares redeemed - Class A(1) (1,301,558) (2,208,631)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A(1) 1,572,648 2,293,430
Shares sold - Class B 400,630 386,746
Shares issued in reinvestment of
dividends - Class B 161 14,982
Shares redeemed - Class B (45,379) (20,798)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS B 355,412 380,930
- ------------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) SEE NOTE 7.
The accompanying notes are an integral part of these financial statements.
- ---------------------
124
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE U.S. U.S. GOVERNMENT ALLOCATION FUND
GOVERNMENT INCOME FUND ---------------------------------
--------------------------------- (UNAUDITED)
(UNAUDITED) FOR THE SIX MONTHS FOR THE
SIX MONTHS YEAR ENDED ENDED YEAR ENDED
ENDED DECEMBER 31, JUNE 30, DECEMBER 31,
JUNE 30, 1996 1995 1996(2) 1995
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income/(loss) $ 1,296,210 $ 1,175,223 $ 3,755,276 $ 7,389,104
Net realized gain (loss) on sale of
investments (138,240) (1,740,504) (490,721) 380,148
Net change in unrealized appreciation
(depreciation) of investments (1,294,745) 1,047,532 (4,568,179) 11,177,439
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (136,775) 482,251 (1,303,624) 18,946,691
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
CLASS A(1) (1,296,209) (1,175,223) (3,643,313) (7,305,279)
CLASS B N/A N/A (111,963) (83,825)
From net realized gain on sales of
investments
CLASS A(1) 0 0 0 0
CLASS B N/A N/A 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A(1) 26,258,370 38,655,106 29,003,612 24,249,760
Reinvestment of dividends - Class A(1) 1,142,271 931,554 2,982,728 6,172,643
Cost of shares redeemed - Class A(1) (13,738,281) (10,567,251) (22,057,671) (46,347,301)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS A (NOTE 4)(1) 13,662,360 29,019,409 9,928,669 (15,924,898)
Proceeds from shares sold - Class B N/A N/A 2,202,286 4,453,188
Reinvestment of dividends - Class B N/A N/A 82,544 43,367
Cost of shares redeemed - Class B N/A N/A (837,141) (541,430)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - CLASS B (NOTE 4) N/A N/A 1,447,689 3,955,125
INCREASE (DECREASE) IN NET ASSETS 12,229,376 28,326,437 6,317,458 (412,186)
NET ASSETS:
Beginning net assets 39,928,158 11,601,721 139,653,692 140,065,878
ENDING NET ASSETS $ 52,157,534 $ 39,928,158 $ 145,971,150 $ 139,653,692
SHARES ISSUED AND REDEEMED:
Shares sold - Class A(1) 2,660,478 3,742,963 1,978,868 1,653,710
Shares issued in reinvestment of
dividends - Class A(1) 116,069 95,287 203,304 428,154
Shares redeemed - Class A(1) (1,400,137) (1,079,388) (1,507,929) (3,211,044)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A(1) 1,376,410 2,758,862 674,243 (1,129,180)
Shares sold - Class B N/A N/A 205,618 420,344
Shares issued in reinvestment of
dividends - Class B N/A N/A 7,740 4,057
Shares redeemed - Class B N/A N/A (78,927) (50,540)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS B N/A N/A 134,431 373,861
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
---------------------
125
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH FUND(3) ASSET ALLOCATION FUND
---------------------------- ----------------------------
CLASS A CLASS B CLASS A
----------- ----------- ----------------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
PERIOD PERIOD SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN 30, JUN 30, JUN 30, DEC. 31,
1996 1996 1996 1995
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $17.75 $21.90 $20.74 $16.73
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.02) (0.04) 0.34 0.74
Net realized and unrealized gain (loss) on
investments 1.82 2.22 0.41 4.07
----------- ----------- ----------- -----------
TOTAL FROM INVESTMENT OPERATIONS 1.80 2.18 0.75 4.81
LESS DISTRIBUTIONS:
Dividends from net investment income 0.00 0.00 (0.34) (0.74)
Distributions from net realized gain 0.00 0.00 0.00 (0.06)
----------- ----------- ----------- -----------
TOTAL FROM DISTRIBUTIONS 0.00 0.00 (0.34) (0.80)
----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $19.55 $24.08 $21.15 $20.74
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
TOTAL RETURN (NOT ANNUALIZED)+ 16.23% 15.82% 3.59% 29.18%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $19,062 $10,037 $1,102,503 $1,077,935
Number of shares outstanding, end of period (000) 975 417 52,127 51,962
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.68%(5) 1.32%(5) 0.84%(5) 0.84%
Ratio of net investment income to average net
assets(2) (0.73)%(5) (1.38)%(5) 3.24%(5) 3.81%
Portfolio turnover N/A N/A 1%(4) 15%
Average commission rate paid $0.00 $0.00 $0.03 --
- -----------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to
waived fees and reimbursed expenses 1.44% 2.15% 1.14% 0.84%
(2) Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses (1.49)% (2.22)% 3.81% 3.81%
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
(3) THIS FUND COMMENCED OPERATIONS ON MARCH 4, 1996.
(4) THIS RATE IS FOR THE PERIOD FROM JANUARY 1, 1996 TO APRIL 28, 1996. AS
OF APRIL 29, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN THE
CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED ACTIVITY.
(5) THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER PORTFOLIO.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
- ---------------------
126
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND (CONT.)
----------------------------------------------------------------------
CLASS B
CLASS A (CONT.) ----------------------
---------------------------------------------- (UNAUDITED)
YEAR YEAR YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DEC. 31, DEC. 31, DEC. 31, DEC. 31, JUN 30, DEC. 31,
1994 1993 1992 1991 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $18.80 $17.89 $17.65 $14.45 $12.50 $10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.77 0.77 0.87 0.92 0.14 0.22
Net realized and
unrealized gain (loss)
on investments (1.31) 1.88 0.31 2.28 0.27 2.53
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS (0.54) 2.65 1.18 3.20 0.41 2.75
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.77) (0.77) (0.87) 0.00 (0.14) (0.22)
Distributions from net
realized gain (0.76) (0.97) (0.07) 0.00 0.00 (0.03)
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (1.53) (1.74) (0.94) 0.00 (0.14) (0.25)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $16.73 $18.80 $17.89 $17.65 $12.77 $12.50
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (NOT
ANNUALIZED)+ (2.82)% 15.00% 7.00% 22.13% 3.32% 27.72%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $896,943 $1,048,667 $542,226 $367,251 $55,800 $26,271
Number of shares
outstanding, end of
period (000) 53,618 55,790 30,303 20,811 4,370 2,101
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.84% 0.86% 0.95% 0.95% 1.53%(5) 1.53%
Ratio of net investment
income to average net
assets(2) 4.30% 4.20% 5.22% 5.88% 2.67%(5) 2.71%
Portfolio turnover 49% 40% 5% 25% 1%(4) 15%
Average commission rate paid -- -- -- -- $0.03 --
- ----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses N/A 0.86% 0.97% N/A 1.80% 1.76%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses N/A 4.20% 5.20% N/A 2.65% 2.48%
- ----------------------------------------------------------------------------------------------------
</TABLE>
(3) THIS FUND COMMENCED OPERATIONS ON MARCH 4, 1996.
(4) THIS RATE IS FOR THE PERIOD FROM JANUARY 1, 1996 TO APRIL 28, 1996. AS
OF APRIL 29, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN THE
CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED ACTIVITY.
(5) THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER PORTFOLIO.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
---------------------
127
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE BOND FUND
----------------------------------
CLASS A
----------------------------------
(UNAUDITED)
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
JUN 30, DEC. 31, DEC. 31,
1996 1995 1994
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $11.05 $9.84 $11.20
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.27 0.55 0.56
Net realized and unrealized gain (loss) on investments (0.41) 1.21 (1.36)
---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS (0.14) 1.76 (0.80)
LESS DISTRIBUTIONS:
Dividends from net investment income (0.27) (0.55) (0.56)
Distributions from net realized gain 0.00 0.00 0.00
---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.27) (0.55) (0.56)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $10.64 $11.05 $9.84
---------- ---------- ----------
---------- ---------- ----------
TOTAL RETURN (NOT ANNUALIZED)+ (1.28)% 18.24% (7.27)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $275,429 $296,417 $305,847
Number of shares outstanding, end of period (000) 25,875 26,827 31,078
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.70% 0.68% 0.65%
Ratio of net investment income to average net assets(2) 5.00% 5.18% 5.35%
Portfolio turnover 13% 9% 3%
Average commission rate paid $0.00 -- --
- -----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to waived fees
and reimbursed expenses 1.52% 1.07% 1.06%
(2) Ratio of net investment income to average net assets prior to
waived fees and reimbursed expenses 4.18% 4.79% 4.94%
- -----------------------------------------------------------------------------------------------------
</TABLE>
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
- ---------------------
128
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE BOND FUND (CONT.)
---------------------------------------------- CALIFORNIA TAX-FREE
CLASS B INCOME FUND
CLASS A (CONT.) ---------------------- ----------------------
---------------------- (UNAUDITED) (UNAUDITED)
YEAR YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DEC. 31, DEC. 31, JUN 30, DEC. 31, JUN 30, DEC. 31,
1993 1992 1996 1995 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $10.41 $10.00 $11.26 $10.00 $10.35 $9.84
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.56 0.53 0.24 0.48 0.20 0.38
Net realized and
unrealized gain (loss)
on investments 0.84 0.41 (0.41) 1.26 (0.14) 0.51
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS 1.40 0.94 (0.17) 1.74 0.06 0.89
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.56) (0.53) (0.24) (0.48) (0.20) (0.38)
Distributions from net
realized gain (0.05) 0.00 0.00 0.00 0.00 0.00
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.61) (0.53) (0.24) (0.48) (0.20) (0.38)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $11.20 $10.41 $10.85 $11.26 $10.21 $10.35
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (NOT
ANNUALIZED)+ 13.82% 10.35% (1.53)% 17.72% 0.56% 9.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $532,848 $242,409 $36,873 $26,916 $81,374 $77,965
Number of shares
outstanding, end of
period (000) 47,580 23,298 3,398 2,390 7,974 7,536
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.64% 0.19% 1.35% 1.32% 0.65% 0.65%
Ratio of net investment
income to average net
assets(2) 5.05% 5.67% 4.33% 4.31% 3.86% 3.70%
Portfolio turnover 7% 18% 13% 9% 0% 31%
Average commission rate paid -- -- $0.00 -- $0.00 --
- ----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.01% 1.07% 1.63% 1.72% 1.42% 1.22%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 4.68% 4.79% 4.05% 3.91% 3.09% 3.13%
- ----------------------------------------------------------------------------------------------------
</TABLE>
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
---------------------
129
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
(CONT.)
----------------------------------
YEAR YEAR PERIOD
ENDED ENDED ENDED
DEC. 31, DEC. 31, DEC. 31,
1994 1993 1992(5)
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $10.36 $10.05 $10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.40 0.39 0.02
Net realized and unrealized gain (loss) on investments (0.52) 0.31 0.05
---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS (0.12) 0.70 0.07
LESS DISTRIBUTIONS:
Dividends from net investment income (0.40) (0.39) (0.02)
Distributions from net realized gain 0.00 0.00 0.00
---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.40) (0.39) (0.02)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $9.84 $10.36 $10.05
---------- ---------- ----------
---------- ---------- ----------
TOTAL RETURN (NOT ANNUALIZED)+ (1.10)% 7.10% 0.84%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $48,998 $52,873 $7,821
Number of shares outstanding, end of period (000) 4,979 5,105 778
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.16% 0.34% 0.00%
Ratio of net investment income to average net assets(2) 4.03% 3.74% 3.56%
Portfolio turnover 33% 11% 0%
Average commission rate paid -- -- --
- -----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to waived fees
and reimbursed expenses 1.21% 1.23% 1.55%
(2) Ratio of net investment income to average net assets prior to
waived fees and reimbursed expenses 2.98% 2.85% 2.01%
- -----------------------------------------------------------------------------------------------------
</TABLE>
(3) THIS RATE IS FOR THE PERIOD FROM JANUARY 1, 1996 TO APRIL 28, 1996. AS
OF APRIL 29, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN THE
CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED ACTIVITY.
(4) THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER PORTFOLIO.
(5) THE FUND COMMENCED OPERATIONS ON NOVEMBER 18, 1992.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
- ---------------------
130
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
CORPORATE STOCK FUND
----------------------------------------------------------------------
(UNAUDITED)
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUN 30, DEC. 31, DEC. 31, DEC. 31, DEC. 31 DEC. 31,
1996 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $41.45 $31.42 $33.00 $31.40 $30.38 $23.60
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.27 0.59 0.63 0.59 0.62 0.62
Net realized and
unrealized gain (loss)
on investments 3.67 10.65 (0.50) 2.19 1.35 6.16
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS 3.94 11.24 0.13 2.78 1.97 6.78
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.27) (0.59) (0.63) (0.59) (0.62) 0.00
Distributions from net
realized gain 0.00 (0.62) (1.08) (0.59) (0.33) 0.00
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.27) (1.21) (1.71) (1.18) (0.95) 0.00
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $45.12 $41.45 $31.42 $33.00 $31.40 $30.38
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (NOT
ANNUALIZED)+ 9.52% 35.99% 0.42% 8.91% 6.59% 28.72%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $365,161 $327,208 $236,265 $258,327 $230,457 $204,926
Number of shares
outstanding, end of
period (000) 8,093 7,893 7,520 7,827 7,340 6,745
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.96%(4) 0.96% 0.97% 0.97% 0.93% 0.97%
Ratio of net investment
income to average net
assets(2) 1.24%(4) 1.59% 1.92% 1.81% 2.05% 2.30%
Portfolio turnover 3%(3) 6% 7% 5% 4% 4%
Average commission rate paid $0.01 -- -- -- -- --
- ----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.07% 1.00% 1.00% 0.99% 1.00% N/A
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 1.17% 1.55% 1.89% 1.79% 1.98% N/A
- ----------------------------------------------------------------------------------------------------
</TABLE>
(3) THIS RATE IS FOR THE PERIOD FROM JANUARY 1, 1996 TO APRIL 28, 1996. AS
OF APRIL 29, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN THE
CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED ACTIVITY.
(4) THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER PORTFOLIO.
(5) THE FUND COMMENCED OPERATIONS ON NOVEMBER 18, 1992.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
---------------------
131
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
DIVERSIFIED INCOME FUND
----------------------------------
CLASS A
----------------------------------
(UNAUDITED)
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
JUN 30, DEC. 31, DEC. 31,
1996 1995 1994
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $13.34 $10.76 $11.08
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.17 0.35 0.33
Net realized and unrealized gain (loss) on investments 1.09 2.86 (0.32)
---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS 1.26 3.21 0.01
LESS DISTRIBUTIONS:
Dividends from net investment income (0.17) (0.35) (0.33)
Distributions from net realized gain 0.00 (0.28) 0.00
---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.17) (0.63) (0.33)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $14.43 $13.34 $10.76
---------- ---------- ----------
---------- ---------- ----------
TOTAL RETURN (NOT ANNUALIZED)+ 9.46% 30.17% 0.08%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $109,012 $79,977 $45,178
Number of shares outstanding, end of period (000) 7,556 5,994 4,198
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 1.10% 1.10% 1.06%
Ratio of net investment income to average net assets(2) 2.54% 3.02% 3.16%
Portfolio turnover 4% 70% 62%
Average commission rate paid $0.08 -- --
- -----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to waived fees
and reimbursed expenses 1.36% 1.31% 1.34%
(2) Ratio of net investment income to average net assets prior to
waived fees and reimbursed expenses 2.27% 2.81% 2.88%
- -----------------------------------------------------------------------------------------------------
</TABLE>
(3) THE FUND COMMENCED OPERATIONS ON NOVEMBER 18, 1992.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
- ---------------------
132
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
GINNIE MAE FUND
DIVERSIFIED INCOME FUND (CONT.) ----------------------------------
----------------------------------------------
CLASS B CLASS A
CLASS A (CONT.) ---------------------- ----------------------------------
---------------------- (UNAUDITED) (UNAUDITED)
YEAR PERIOD SIX MONTHS YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
DEC. 31, DEC. 31, JUN 30, DEC. 31, JUN 30, DEC. 31, DEC. 31,
1993 1992(3) 1996 1995 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $10.29 $10.00 $12.49 $10.00 $11.15 $10.18 $11.31
---------- ---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.30 0.02 0.11 0.20 0.36 0.76 0.77
Net realized and
unrealized gain (loss)
on investments 0.96 0.29 1.02 2.75 (0.55) 0.97 (1.13)
---------- ---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS 1.26 0.31 1.13 2.95 (0.19) 1.73 (0.36)
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.30) (0.02) (0.11) (0.20) (0.36) (0.76) (0.77)
Distributions from net
realized gain (0.17) 0.00 0.00 (0.26) 0.00 0.00 0.00
---------- ---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.47) (0.02) (0.11) (0.46) (0.36) (0.76) (0.77)
---------- ---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $11.08 $10.29 $13.51 $12.49 $10.60 $11.15 $10.18
---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (NOT
ANNUALIZED)+ 12.33% 3.10% 9.06% 29.64% (1.67)% 17.53% (3.23)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $26,704 $1,379 $10,689 $5,339 $156,955 $166,157 $171,288
Number of shares
outstanding, end of
period (000) 2,411 134 791 428 14,804 14,904 16,618
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.46% 0.00% 1.75% 1.73% 0.83% 0.82% 0.73%
Ratio of net investment
income to average net
assets(2) 3.51% 4.09% 1.94% 2.40% 6.76% 7.09% 7.20%
Portfolio turnover 46% 1% 1% 70% 70% 118% 69%
Average commission rate paid -- -- $0.08 -- $0.00 -- --
- ----------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.66% 3.49% 2.20% 2.57% 1.48% 1.15% 1.07%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 2.31% 0.60% 1.49% 1.57% 6.11% 6.76% 6.86%
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
(3) THE FUND COMMENCED OPERATIONS ON NOVEMBER 18, 1992.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
---------------------
133
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
GINNIE MAE FUND (CONT.)
----------------------------------------------------------
CLASS B
CLASS A (CONT.) ----------------------
---------------------------------- (UNAUDITED)
YEAR YEAR PERIOD SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
DEC. 31, DEC. 31, DEC. 31, JUN 30, DEC. 31,
1993 1992 1991(3) 1996 1995
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $11.34 $11.42 $10.00 $10.97 $10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.83 0.83 0.83 0.32 0.66
Net realized and unrealized gain (loss) on
investments (0.03) (0.08) 0.59 (0.54) 0.97
---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS 0.80 0.75 1.42 (0.22) 1.63
LESS DISTRIBUTIONS:
Dividends from net investment income (0.83) (0.83) 0.00 (0.32) (0.66)
Distributions from net realized gain 0.00 0.00 0.00 0.00 0.00
---------- ---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.83) (0.83) 0.00 (0.32) (0.66)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $11.31 $11.34 $11.42 $10.43 $10.97
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN (NOT ANNUALIZED)+ 7.19% 6.86% 14.30% (1.98)% 16.69%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $303,530 $184,692 $4,870 $20,091 $12,227
Number of shares outstanding, end of period
(000) 26,835 16,289 3,053 1,926 1,115
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.46% 0.46% 1.04% 1.48% 1.47%
Ratio of net investment income to average
net assets(2) 7.19% 7.93% 7.66% 6.06% 6.01%
Portfolio turnover 121% 73% 241% 73% 118%
Average commission rate paid -- -- -- $0.00 --
- ----------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses 1.02% 1.26% 1.05% 1.79% 2.12%
(2) Ratio of net investment income to average
net assets prior to waived fees and
reimbursed expenses 6.63% 7.13% 7.65% 5.75% 5.36%
- ----------------------------------------------------------------------------------------------------------
</TABLE>
(3) THE FUND COMMENCED OPERATIONS ON JANUARY 3, 1991.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
- ---------------------
134
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
GROWTH AND INCOME FUND
----------------------------------------------------------------------------------------------
CLASS A CLASS B
---------------------------------------------------------------------- ----------------------
(UNAUDITED) (UNAUDITED)
SIX MONTHS YEAR YEAR YEAR YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUN 30, DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31, JUN 30, DEC. 31,
1996 1995 1994 1993 1992 1991 1996 1995
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $17.26 $14.10 $14.75 $13.88 $12.84 $10.29 $12.29 $10.00
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.05 0.19 0.22 0.23 0.27 0.41 (0.01) 0.05
Net realized and
unrealized gain (loss)
on investments 1.78 3.87 (0.27) 0.93 1.44 2.14 1.27 2.79
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS 1.83 4.06 (0.05) 1.16 1.71 2.55 1.26 2.84
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.05) (0.19) (0.22) (0.23) (0.27) 0.00 0.00 (0.05)
Distributions from net
realized gain 0.00 (0.71) (0.38) (0.06) (0.40) 0.00 0.00 (0.50)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.05) (0.90) (0.60) (0.29) (0.67) 0.00 0.00 (0.55)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $19.04 $17.26 $14.10 $14.75 $13.88 $12.84 $13.55 $12.29
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (NOT
ANNUALIZED)+ 10.59% 28.90% (0.29)% 8.44% 13.45% 24.77% 10.25% 28.47%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $226,908 $178,488 $113,525 $112,236 $44,883 $10,323 $9,978 $4,682
Number of shares
outstanding, end of
period (000) 11,916 10,343 8,050 7,609 3,233 804 736 381
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 1.21% 1.18% 1.11% 0.93% 0.42% 0.05% 1.89% 1.87%
Ratio of net investment
income to average net
assets(2) 0.53% 1.23% 1.51% 1.72% 2.31% 3.50% (0.14)% 0.43%
Portfolio turnover 118% 100% 71% 55% 80% 13% 80% 100%
Average commission rate paid $0.08 -- -- -- -- -- $0.08 --
- ----------------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.25% 1.21% 1.15% 1.11% 1.10% 1.16% 2.95% 2.21%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 0.57% 1.20% 1.47% 1.54% 1.63% 2.39% 0.93% 0.09%
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(3) THE FUND COMMENCED OPERATIONS ON JANUARY 3, 1991.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
---------------------
135
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE U.S. GOVERNMENT INCOME FUND
----------------------------------------------
(UNAUDITED)
SIX MONTHS YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
JUN 30, DEC. 31, DEC. 31, DEC. 31,
1996 1995 1994 1993(5)
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $9.39 $9.99 $10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.26 0.55 0.46 0.06
Net realized and unrealized gain (loss) on
investments (0.29) 0.61 (0.60) (0.01)
---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.16 (0.14) 0.05
LESS DISTRIBUTIONS:
Dividends from net investment income (0.26) (0.55) (0.46) (0.06)
Distributions from net realized gain 0.00 0.00 0.00 0.00
---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.26) (0.55) (0.46) (0.06)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $9.71 $10.00 $9.39 $9.99
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (NOT ANNUALIZED)+ (0.27)% 12.67% (1.42)% 0.40%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $52,158 $39,928 $11,602 $8,557
Number of shares outstanding, end of period (000) 5,371 3,994 1,236 857
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.75% 0.71% 0.25% 0.00%
Ratio of net investment income to average net
assets(2) 5.39% 5.64% 4.75% 3.49%
Portfolio turnover 55% 472% 288% N/A
Average commission rate paid $0.00 -- -- --
- -------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to
waived fees and reimbursed expenses 1.07% 1.67% 2.28% 2.45%
(2) Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses 5.08% 4.68% 2.72% 1.04%
- -------------------------------------------------------------------------------------------------------
</TABLE>
(3) THIS RATE IS FOR THE PERIOD FROM JANUARY 1, 1996 TO APRIL 28, 1996. AS
OF APRIL 29, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN THE
CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED ACTIVITY.
(4) THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER PORTFOLIO.
(5) THE FUND COMMENCED OPERATIONS ON OCTOBER 27, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
- ---------------------
136
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
U.S. GOVERNMENT ALLOCATION FUND
----------------------------------------------------------------------
CLASS A
----------------------------------------------------------------------
(UNAUDITED)
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUN 30, DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
1996 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $14.98 $13.76 $15.71 $15.41 $15.41 $13.14
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.46 0.79 0.87 0.96 0.87 0.94
Net realized and
unrealized gain (loss)
on investments (0.52) 1.22 (1.95) 1.69 0.04 1.33
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS (0.06) 2.01 (1.08) 2.65 0.91 2.27
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.46) (0.79) (0.87) (0.96) (0.87) 0.00
Distributions from net
realized gain 0.00 0.00 0.00 (1.39) (0.04) 0.00
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM DISTRIBUTIONS (0.46) (0.79) (0.87) (2.35) (0.91) 0.00
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $14.46 $14.98 $13.76 $15.71 $15.41 $15.41
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (NOT
ANNUALIZED)+ (0.90)% 14.91% (6.99)% 17.46% 6.30% 17.21%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $140,620 $135,577 $140,066 $283,206 $127,504 $30,098
Number of shares
outstanding, end of
period (000) 9,722 9,048 10,177 18,031 8,272 1,954
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 1.09 (4) 1.04% 1.01% 0.99% 1.00% 1.01%
Ratio of net investment
income to average net
assets(2) 5.27 (4) 5.41% 5.94% 5.92% 6.06% 6.77%
Portfolio turnover 288 (3) 292% 112% 150% 33% 147%
Average commission rate paid $0.00 -- -- -- -- --
- ----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.18% 1.07% 1.08% 1.02% 1.08% N/A
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 5.18% 5.38% 5.87% 5.89% 5.98% N/A
- ----------------------------------------------------------------------------------------------------
</TABLE>
(3) THIS RATE IS FOR THE PERIOD FROM JANUARY 1, 1996 TO APRIL 28, 1996. AS
OF APRIL 29, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN THE
CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED ACTIVITY.
(4) THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER PORTFOLIO.
(5) THE FUND COMMENCED OPERATIONS ON OCTOBER 27, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
---------------------
137
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
U.S. GOVERNMENT
ALLOCATION FUND
(CONT.)
----------------------
CLASS B
----------------------
(UNAUDITED)
SIX MONTHS YEAR
ENDED ENDED
JUN 30, DEC. 31,
1996 1995
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $10.91 $10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.28 0.49
Net realized and unrealized gain (loss) on investments (0.38) 0.91
---------- ----------
TOTAL FROM INVESTMENT OPERATIONS (0.10) 1.40
LESS DISTRIBUTIONS:
Dividends from net investment income (0.28) (0.49)
Distributions from net realized gain 0.00 0.00
---------- ----------
TOTAL FROM DISTRIBUTIONS (0.28) (0.49)
---------- ----------
NET ASSET VALUE, END OF PERIOD $10.53 $10.91
---------- ----------
---------- ----------
TOTAL RETURN (NOT ANNUALIZED)+ (1.20)% 14.11%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $5,351 $4,077
Number of shares outstanding, end of period (000) 508 374
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 1.68 (4) 1.65%
Ratio of net investment income to average net assets(2) 4.53 (4) 4.31%
Portfolio turnover 150 (3) 292%
Average commission rate paid $0.00 --
- ----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to waived fees and
reimbursed expenses 2.13% 2.36%
(2) Ratio of net investment income to average net assets prior to waived
fees and reimbursed expenses 4.08% 3.60%
- ----------------------------------------------------------------------------------------------------
</TABLE>
(3) THIS RATE IS FOR THE PERIOD FROM JANUARY 1, 1996 TO APRIL 28, 1996. AS
OF APRIL 29, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN THE
CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED ACTIVITY.
(4) THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER PORTFOLIO.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
- ---------------------
138
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
---------------------
139
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
- ------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Stagecoach Funds, Inc. (the "Company") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end series
investment company. The Company commenced operations on January 1, 1992, at
which time the merger described in Note 6 was consummated, and currently offers
the following ten separate diversified Funds: the Aggressive Growth, Asset
Allocation, Corporate Stock, Diversified Income, Ginnie Mae, Growth and Income,
Money Market Mutual, National Tax-Free Money Market Mutual, Short-Intermediate
U.S. Government Income and U.S. Government Allocation Funds; and three non-
diversified funds: the California Tax-Free Bond, California Tax-Free Income and
California Tax-Free Money Market Mutual Funds. The financial statements of the
California Tax-Free Money Market Mutual, Money Market Mutual and National
Tax-Free Money Market Mutual Funds are presented separately from these financial
statements.
Each of the funds presented in this book (the "Funds"), with the exception of
the California Tax-Free Income, Corporate Stock, and Short-Intermediate U.S.
Government Income Funds offers Class A and Class B shares. Class B shares
commenced being offered on January 1, 1995. The two classes of shares differ
principally in the applicable sales charges, shareholder servicing fees and
distribution fees. Shareholders of each class also 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, without distinction between share classes. 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 generally result from the
relative weightings of pro rata income and gain allocations and from differences
in separate class expenses, including distribution and service fees.
The following significant accounting policies are consistently followed by the
Company 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 asssets 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.
- ---------------------
140
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
INVESTMENT POLICY AND SECURITY VALUATION
Investments in securities for which the primary market is a national securities
exchange or the Nasdaq National Market System are valued at the last reported
sales price on the day of valuation. U.S. government obligations are valued at
the reported bid prices. In the absence of any sale of such securities on the
valuation date and in the case of other securities, excluding debt securities
maturing in 60 days or less, the valuations are based on latest quoted bid
prices. Debt securities maturing in 60 days or less are valued at amortized
cost. Securities for which quotations are not readily available are valued at
fair value as determined by procedures set by the Fund's Board of Directors.
The Aggressive Growth Fund and, as of April 28, 1996, the Asset Allocation Fund,
Corporate Stock Fund and U.S. Government Allocation Fund invest only in
interests ("Interests") of the Capital Appreciation Master Portfolio, Asset
Allocation Master Portfolio, Corporate Stock Master Portfolio and U.S.
Government Allocation Master Portfolio (the "Master Portfolios"), respectively,
of Master Investment Trust (the "Trust") an open-end, series investment company.
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 (16.80%, 99.96%, 99.99% and 99.99%) for the Aggressive Growth Fund,
Asset Allocation Fund, Corporate Stock Fund and the U.S. Government Allocation
Fund, respectively, at June 30, 1996. The Master Portfolio's investments include
equities and fixed income securities. Except for debt obligations with remaining
maturities of 60 days or less, which are valued at amortized cost, assets are
valued at current market prices, or if such prices are not readily available, at
fair value as determined by procedures approved by the Trust's Board of
Trustees.
Cash equivalents relating to firm commitment purchase agreements are segregated
by the custodian and may not be sold while the current commitment is
outstanding.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities 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 accrued daily. Realized gains or losses are
reported on the basis of identified cost of securities delivered. Bond discounts
are accredited and premiums are amortized as required by the Internal Revenue
Code.
TBA PURCHASE COMMITMENTS
The Ginnie Mae Fund enters into "TBA" (to be announced) purchase commitments to
purchase securities for a fixed price at a future date beyond customary
settlement time. Although the unit price of a TBA has been established, the
principal value has not been finalized. However, the amount of the
commit-
---------------------
141
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
ment will not fluctuate more than 2% from the principal amount. The Fund holds,
and maintains until the settlement date, cash or high-quality debt obligations
in an amount sufficient to meet the purchase price. TBA purchase commitments may
be considered securities in themselves, and involve a risk of loss if the value
of the security to be purchased declines prior to the settlement date. The risk
is in addition to the risk of a decline in the value of the Fund's other assets.
Unsettled TBA purchase commitments are valued at the current market value of the
underlying securities, generally according to the procedures described under
"Security Valuation" above.
Although the Fund generally enters into TBA purchase commitments with the
intention of acquiring securities for its portfolio, the Fund may dispose of a
commitment prior to settlement if the Fund's adviser deems it appropriate to do
so.
TBA purchase commitments at June 30, 1996 were as follows:
<TABLE>
<CAPTION>
DELIVERY MARKET
AGENCY SHARES/PAR DATE COUPON RATE VALUE
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. TBA 5,000,000 7/17/96 6.50% $ 4,834,500
Federal National Mortgage Assoc. TBA 10,000,000 7/17/96 6.00 9,460,000
Government National Mortgage Assoc. II TBA 2,135,000 7/19/96 8.00 2,153,788
Government National Mortgage Assoc. II TBA 5,000,000 7/22/96 8.50 5,119,000
</TABLE>
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell such
securities ("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 Fund's Portfolio of
Investments. The adviser to the Funds pools the Fund's cash and invests in
repurchase agreements entered into by the Funds. The repurchase agreements must
be fully collateralized based on values that are marked to market daily. The
collateral may be held by an agent bank under a tri-party agreement. It is the
adviser's responsibility to value collateral daily and to obtain additional
collateral as necessary to maintain market value equal to or greater than the
resale price. The repurchase agreements held in the Funds at June 30, 1996, are
collateralized by U.S. Government obligations. The repurchase agreements were
entered into on June 28, 1996.
DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Aggressive Growth,
Asset Allocation, Corporate Stock, Diversified Income, and Growth and Income
Funds are declared and distributed quarterly. Dividends to
share-
- ---------------------
142
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
holders from net investment income of the California Tax-Free Bond, California
Tax-Free Income, Ginnie Mae, National Tax-Free Money Market, Short-Intermediate
U.S. Government Income and U.S. Government Allocation Funds are declared daily
and distributed monthly. Any dividends to shareholders from net realized capital
gains are declared and distributed annually.
FEDERAL INCOME TAXES
The Company's policy with respect to each Fund is to comply with the
requirements of the Internal Revenue Code that are applicable to regulated
investment companies and to distribute substantially all of each Fund's net
investment income and any net realized capital gain to its shareholders.
Therefore, no federal or state income tax provision is required. The following
funds had capital loss carryforwards at December 31, 1995:
<TABLE>
<CAPTION>
YEAR CAPITAL LOSS
FUND EXPIRES CARRYFORWARD
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
California Tax-Free Income Fund 2002 $ 128,868
2003 43,203
California Tax-Free Bond Fund 2002 5,451,042
Ginnie Mae Fund 2001 3,300,546
2002 12,854,823
Short-Intermediate U.S. Government Income Fund 2000 127,148
2001 200,718
2002 1,798,834
2003 84,610
U.S. Government Allocation Fund 2002 23,204,215
</TABLE>
Certain loss carryforwards for the Short-Intermediate U.S. Government Income
Fund resulted from transactions entered into by the Variable Rate Government
Fund prior to its merger into Short-Intermediate U.S. Government Income Fund.
The utilization of these loss carryforwards from the Variable Rate Government
Fund may be subject to limitations as a result of rules in the Internal Revenue
Code applicable to corporate changes of ownership.
The Board intends to offset net capital gains with each capital loss
carryforward until each carryforward has been fully utilized or expires. Thus,
no capital gain distributions shall be made until the capital loss carryforward
has been fully utilized or expires.
Due to the timing of dividend distributions and the differences in accounting
for income and realized gains (losses) for financial statement and federal
income
---------------------
143
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
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
Fund. The differences between the income and gains distributed on a book versus
tax basis are shown as excess distributions of net investment income and net
realized gain on the sale of investments in the accompanying Statements of
Changes in Net Assets.
As a result of permanent book-to-tax differences due to the treatment of
equalization accounting, used in 1993, tax returns of capital existed for the
Ginnie Mae Fund. However, reclassification adjustments for equalization and tax
returns of capital offset each other. The per share effect of the tax return of
capital in 1993 was less than $0.01 per share for the Asset Allocation and U.S.
Government Allocation Funds and $0.02 per share for the Ginnie Mae Fund.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the Funds' administrator, sponsor and distributor,
has charged the Funds for expenses incurred in connection with the organization
and initial registration of the Fund and/or Class. These expenses are being
amortized by the Funds on a straightline basis over 60 months from the date each
Fund and/or Class commenced operations.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Company has entered into separate advisory contracts on behalf of the Funds
(other than the Aggressive Growth, Asset Allocation, Corporate Stock and U.S.
Government Allocation Funds) with Wells Fargo Bank, N.A. ("WFB"). Pursuant to
the contracts, WFB furnishes to the Funds investment guidance and policy
direction in connection with daily portfolio management. Under the contracts
with the California Tax-Free Bond, California Tax-Free Income, Diversified
Income and Short-Intermediate U.S. Government Income Funds, WFB is entitled to
be paid a monthly advisory fee at an annual rate of 0.50% of the average daily
net assets of the respective Fund. Under the contracts with the Ginnie Mae and
Growth and Income Funds WFB is entitled to be paid by each Fund a monthly
advisory fee at an annual rate of 0.50% of such Fund's average daily net assets
up to $250 million, 0.40% of average daily net assets of the next $250 million,
and 0.30% in excess of $500 million.
The Aggressive Growth, Asset Allocation, Corporate Stock and U.S. Government
Allocation Funds do not directly retain an investment adviser because each such
Fund invests all of its assets in a Master Portfolio of the Trust which, in
turn, retains WFB as investment adviser. Prior to April 28, 1996, and their
conversion to "feeder" funds in a master/feeder structure, the Asset Allocation,
Corporate Stock, and U.S. Government Allocation Funds retained WFB as investment
adviser. For these services, WFB was entitled to be paid by each Fund a monthly
advisory fee at the annual rate of 0.50% of such Fund's average daily net
- ---------------------
144
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
assets up to $250 million, 0.40% of the next $250 million and 0.30% of the
average daily net assets in excess of $500 million.
For the period from January 1, 1996 to April 28, 1996, the Asset Allocation,
Corporate Stock and U.S. Government Allocation Funds retained BZW Barclays
Global Fund Advisors ("BGFA") as sub-adviser.
Pursuant to a sub-advisory contract with each Fund and subject to the overall
supervision of WFB, the investment adviser to each Fund, BGFA was responsible
for day-to-day portfolio management of each Fund. BGFA was entitled to receive
from WFB as compensation for its sub-advisory services monthly fees at the
annual rate of 0.20%, 0.15% and 0.08% of the average daily net assets of the
Asset Allocation, Corporate Stock and U.S. Government Allocation Funds,
respectively. BGFA was also entitled to receive from WFB annual fees of $40,000
each for its services to the U.S. Government Allocation and Corporate Stock
Funds.
BGFA currently acts as sub-adviser to the Master Portfolios in which each Fund
invests. BGFA is an indirect subsidiary of Barclays Bank and is located at 45
Fremont Street, San Francisco, California 94105. BGFA was formed by the
reorganization of Wells Fargo Nikko Investment Advisors ("WFNIA"), a former
affiliate of Wells Fargo & Company. Prior to January 1, 1996, WFNIA acted as
sub-adviser to the Funds and was entitled to receive the same fees as BGFA for
its sub-advisory services.
The Company has entered into contracts with WFB on behalf of all of the Funds
except the Asset Allocation, Corporate Stock and U.S. Government Allocation
Funds, whereby WFB is responsible for providing custody and portfolio accounting
services for the Funds. WFB is entitled to certain transaction charges plus an
annual fee for custody services at an annual rate of 0.0167% of the average
daily net assets of the respective Funds. For portfolio accounting services, WFB
is entitled to a monthly base fee from each Fund of $2,000 plus an annual fee of
0.07% of the first $50 million of average daily net assets, 0.045% of the next
$50 million, and 0.02% of the average daily net assets over $100 million.
BZW Barclays Global Investors, N.A. ("BGI") currently acts as custodian to the
Asset Allocation, Corporate Stock and U.S. Government Allocation Funds. BGI is
an affiliate of BGFA. BGI will not be entitled to compensation for its custodial
services to the Funds so long as BGFA is entitled to receive compensation for
providing sub-advisory services to the Master Portfolios in which each Fund
invests. Prior to January 1, 1996, BGI, which was then known as Wells Fargo
Institutional Trust Company N.A., was an affiliate of WFB and served as
custodian to the Funds.
The Company has entered into a contract on behalf of the Funds with WFB, whereby
WFB has agreed to act as
---------------------
145
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
transfer agent for the Funds. Under the contract, WFB is paid a per account fee
plus other related costs with a minimum monthly fee of $3,000 per Fund, unless
net assets of the respective Fund are under $20 million. For as long as the
assets remain under $20 million a Fund will not be charged any transfer agent
fees by WFB.
The Company has entered into a contract on behalf of the Funds with WFB, whereby
WFB has agreed to provide shareholder servicing to the Funds. Pursuant to the
contract, WFB is entitled to an annual fee for providing shareholder servicing
of 0.30% of the respective Fund's average daily net assets.
The Company has entered into administration and distribution agreements on
behalf of the Funds with Stephens. Under the agreements, Stephens has agreed to
provide supervisory, administrative and distribution services to the Funds. For
receiving supervisory and administrative services, each Fund pays Stephens a
monthly fee at the annual rate of 0.03% of such Fund's average daily net assets.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the
1940 Act for the following non multi-class funds: the California Tax-Free
Income, Corporate Stock, and Short-Intermediate U.S. Government Income Funds.
The Company has also adopted separate Distribution Plans, pursuant to Rule
12b-1, for Class A and Class B shares of the multi-class funds.
The Distribution Plan for the single class funds and the separate Distribution
Plan for each of the Class A shares of the multi-class funds provides that each
Fund may defray all or part of the cost of preparing, printing and distributing
prospectuses and other promotional materials by paying on an annual basis up to
0.05% of the Class A's or non multi-class Fund's average daily net assets for
costs incurred. Each of these Funds may participate in joint distribution
activities with other funds, in which event, expenses reimbursed out of the
assets of one of the Funds may be attributable, in part, to the
distribution-related activities of another Fund. Generally, the expenses
attributable to joint distribution activities will be allocated among the Funds
in proportion to their relative net asset sizes.
The separate Class B Distribution Plan for the multi-class funds provides that
the Funds (other than the Aggressive Growth Fund) may pay, as compensation for
distribution-related services, a monthly fee at an annual rate of up to 0.70% of
each Fund's average daily net assets attributable to Class B shares. The
Aggressive Growth Fund may pay up to 0.75% of the average daily net assets
attributable to Class B shares as compensation for distribution-related services
provided on behalf of its Class B shares. The Distribution Plan expenses for
Class A and Class B of the Funds for the six months ended June 30, 1996 were as
follows:
- ---------------------
146
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
DISTRIBUTION DISTRIBUTION
FUND FEES CLASS A FEES CLASS B
<S> <C> <C>
- -----------------------------------------------------------------------------------------------
Aggressive Growth Fund $ 838 $ 10,283
Asset Allocation Fund 270,414 150,330
California Tax-Free Bond Fund 71,273 114,554
Diversified Income Fund 24,010 27,364
Ginnie Mae Fund 40,735 63,038
Growth and Income Fund 87,046 25,962
U.S. Government Allocation Fund 33,944 17,202
</TABLE>
FEES WAIVED AND REIMBURSED EXPENSES
The following amounts of fees were waived for the six months ended June 30,
1996:
<TABLE>
<CAPTION>
FEES WAIVED BY
FUND WFB
<S> <C>
- ------------------------------------------------------------------------------------------------
Aggressive Growth Fund $ 10,995
Asset Allocation Fund 4,460
California Tax-Free Bond Fund 578,533
California Tax-Free Income Fund 198,266
Corporate Stock Fund 120,504
Diversified Income Fund 104,974
Ginnie Mae Fund 331,571
Growth and Income Fund 12,375
Short-Intermediate U.S. Government Income Fund 113,615
U.S. Government Allocation Fund 72,794
</TABLE>
For the period from February 16, 1996 (commencement of operations) to June 30,
1996 Stephens has reimbursed $24,431 for expenses in the Aggressive Growth Fund.
Waived fees and reimbursed expenses continue at the discretion of WFB and
Stephens, respectively.
Certain officers and directors of the Company are also officers of Stephens. As
of June 30, 1996, Stephens owned 6,471 shares of the California Tax-Free Bond
Fund, 11,448 shares of the California Tax-Free Income Fund and 11,415 shares of
the Diversified Income Fund.
Stephens has retained $1,424,134 as sales charges from the proceeds of Class A
shares sold and $209,780 from the proceeds of Class B shares redeemed by the
Company for the six months ended June 30, 1996. Wells Fargo Securities Inc., a
subsidiary of WFB, received $1,174,444 as sales charges from the proceeds of
Class A shares sold and $209,780 from the proceeds of Class B shares redeemed by
the Company for the six months ended June 30, 1996.
---------------------
147
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for each
Fund for the six months ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
ASSET CALIFORNIA CALIFORNIA CORPORATE
AGGREGATE PURCHASES ALLOCATION TAX-FREE TAX-FREE STOCK DIVERSIFIED
AND SALES OF: FUND(1) BOND FUND INCOME FUND FUND(1) INCOME FUND
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $231,266,372 $ 0 $ 0 $ 0 $ 0
Sales proceeds 0 0 0 0 0
OTHER SECURITIES:
Purchases at cost 93,876,646 40,695,815 30,705,526 8,043,563 53,362,390
Sales proceeds 5,439,708 40,143,905 27,677,383 4,234,959 28,377,167
</TABLE>
<TABLE>
<CAPTION>
SHORT-
INTERMEDIATE U.S.
U.S. GOVERNMENT
GINNIE MAE GROWTH AND GOVERNMENT ALLOCATION
AGGREGATE PURCHASES AND SALES OF: FUND INCOME FUND INCOME FUND FUND(1)
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 79,682,541 $ 0 $119,717,963 $87,012,992
Sales proceeds 96,093,672 0 108,678,083 14,382,063
OTHER SECURITIES:
Purchases at cost 141,459,525 142,163,826 14,028,527 0
Sales proceeds 99,045,477 114,194,347 16,017,305 0
</TABLE>
(1) THE PERIOD REPORTED IS FROM JANUARY 1, 1996 TO APRIL 28, 1996, BEFORE THE
FUNDS WERE CONVERTED TO A "MASTER/FEEDER" STRUCTURE. SEE NOTE 7.
4. CAPITAL SHARES TRANSACTIONS
As of June 30, 1996, there were 10 billion shares of $0.001 par value capital
stock authorized by the Company. At June 30, 1996, each Fund was authorized to
issue 100 million shares of $0.001 par value capital stock for each class of
shares, except that the California Tax-Free Money Market Mutual Fund was
authorized to issue 3 billion shares, each class of the Ginnie Mae Fund was
authorized to issue 300 million shares, the Money Market Mutual Fund was
authorized to issue 8 billion shares and each class of the U.S. Government
Allocation Fund was authorized to issue 300 million shares. Transactions in
capital shares are disclosed in detail in the Statements of Changes in Net
Assets.
5. INCOME AND EXPENSE ALLOCATIONS
For the period from February 16, 1996 (commencement of operations) to June 30,
1996 for the Aggressive Growth Fund and for the period from April 28, 1996
(commencement of operations as feeder funds) to June 30, 1996, for the Asset
Allocation, Corporate Stock and
- ---------------------
148
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
U.S. Government Allocation Funds, the Funds received allocations of income and
expenses from their corresponding Master Portfolios. The detail of allocated
income and expenses for the feeder period of the Funds and the stand-alone
period of the Funds are as follows:
<TABLE>
<CAPTION>
STAND-ALONE PERIOD FEEDER PERIOD
---------------------- ----------------------
FUND INTEREST DIVIDENDS INTEREST DIVIDENDS EXPENSES
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------
Aggressive Growth N/A N/A $ 19,111 $ 5,708 $ 27,127
Asset Allocation $9,518,168 $4,402,118 6,995,474 2,687,382 780,307
Corporate Stock 47,196 2,248,983 20,528 1,614,505 317,921
U.S. Government Allocation 2,719,273 0 1,840,870 0 144,171
</TABLE>
6. REORGANIZATION OF WELLS FARGO INVESTMENT TRUST FOR RETIREMENT PROGRAMS
At special meetings held on December 31, 1991, unitholders owning a majority of
the outstanding units of each of the Wells Fargo Investment Trust for Retirement
Programs Funds (the "Trust") as of the close of business on November 8, 1991,
approved an Agreement and Plan of Reorganization (the "Agreement") among the
Trust, for itself and on behalf of each of the six funds comprising the Trust
(each a "Predecessor Fund"); the Stagecoach Funds, Inc., a Maryland corporation
("Stagecoach"); Stephens Inc., a Delaware corporation ("Stephens"); and Wells
Fargo in its capacity as the Trustee of the Trust, and in its individual
capacity.
The Agreement provided, among other things, for the transfer of the assets of
each Predecessor Fund to a corresponding series of Stagecoach (each a
"Stagecoach Fund"). The Agreement provided that in consideration therefore, each
Stagecoach Fund would assume certain identified liabilities of the corresponding
Predecessor Fund and would deliver to the corresponding Predecessor Fund the
number of full and fractional shares of common stock of the Stagecoach Fund
having an aggregate net asset value equivalent to the aggregate net asset value
of the assets transferred to the Stagecoach Fund by the corresponding
Predecessor Fund (collectively, the "Reorganization").
On January 1, 1992, the Reorganizations closed, and each Predecessor Fund made a
pro rata liquidating distribution to its unitholders of the shares of the
corresponding Stagecoach Fund it had received.
All of the expenses connected with the Reorganizations were paid by Wells Fargo
or Stephens.
All information contained in this Semi-Annual Report which reflects financial
data on the Stagecoach Funds for periods prior to 1992 refers to the
corresponding Predecessor Funds.
---------------------
149
<PAGE>
STAGECOACH FUNDS -- JUNE 30, 1996 (UNAUDITED)
7. REORGANIZATION OF THE ASSET ALLOCATION, CORPORATE STOCK AND U.S. GOVERNMENT
ALLOCATION FUNDS INTO MASTER/FEEDER STRUCTURES
At special meetings of shareholders held between December 5, 1995 and December
19, 1995, shareholders of the Asset Allocation, Corporate Stock and U.S.
Government Allocation Funds approved a reorganization of the Funds into a
"master-feeder" structure, pursuant to which the existing Funds invest all of
their assets in a corresponding Master Portfolio of the Master Investment Trust.
On the conversion date the Funds transferred their investments to the
corresponding Master Portfolio in exchange for interests in the corresponding
Master Portfolio. The Funds then became "feeder" funds. This reorganization was
effected in April 1996.
- ---------------------
150
<PAGE>
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) - JUNE 30, 1996
<TABLE>
<CAPTION>
MASTER INVESTMENT TRUST
---------------------------------
ASSET CAPITAL
ALLOCATION APPRECIATION
MASTER MASTER
PORTFOLIO PORTFOLIO
<S> <C> <C>
- ------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $1,158,819,418 $ 175,238,250
Cash 33,651 0
Receivables:
Dividends and interest 11,619,360 8,206
Fund shares sold 464,344 759,110
Investment securities sold 0 2,580,700
TOTAL ASSETS 1,170,936,773 178,586,266
LIABILITIES
Cash overdraft due to custodian 0 50,571
Payables:
Investment securities purchased 0 4,591,170
Distribution to beneficial interest
holders 11,208,771 0
Fund shares redeemed 9,856 152,617
Due to adviser (Note 2) 355,069 192,230
Other 11,010 8,205
TOTAL LIABILITIES 11,584,706 4,994,793
TOTAL NET ASSETS $1,159,352,067 $ 173,591,473
INVESTMENTS AT COST (NOTE 3) $1,012,551,603 $ 154,030,016
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
---------------------
151
<PAGE>
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) - JUNE 30, 1996
<TABLE>
<CAPTION>
MASTER INVESTMENT TRUST
---------------------------------
CORPORATE US GOVERNMENT
STOCK ALLOCATION
MASTER MASTER
PORTFOLIO PORTFOLIO
<S> <C> <C>
- ------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $ 366,641,961 $ 144,350,908
Cash 15,680 9,904
Receivables:
Dividends and interest 546,937 2,674,620
Fund shares sold 2,500 29,704
Investment securities sold 0 0
TOTAL ASSETS 367,207,078 147,065,136
LIABILITIES
Cash overdraft due to custodian 0 0
Payables:
Investment securities purchased 0 0
Distribution to beneficial interest
holders 1,493,888 735,840
Fund shares redeemed 0 30,542
Due to adviser (Note 2) 144,638 63,238
Other 11,011 11,188
TOTAL LIABILITIES 1,649,537 840,808
TOTAL NET ASSETS $ 365,557,541 $ 146,224,328
INVESTMENTS AT COST (NOTE 3) $ 202,285,276 $ 146,279,586
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ------------------------
152
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED) - FOR THE PERIODS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
MASTER INVESTMENT TRUST
---------------------------------
ASSET CAPITAL
ALLOCATION APPRECIATION
MASTER MASTER
PORTFOLIO(1) PORTFOLIO(2)
<S> <C> <C>
- ------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 2,687,382 $ 57,775
Interest 6,995,474 191,748
TOTAL INVESTMENT INCOME 9,682,856 249,523
EXPENSES (NOTE 2)
Advisory fees 734,289 238,452
Administration fees 1,895 0
Custody fees 0 12,040
Shareholder servicing fees 18,947 0
Portfolio accounting fees 0 34,625
Transfer agency fees 5,945 0
Distribution fees 4,909 0
Amortization of organization expenses 0 0
Legal and audit fees 11,788 3,606
Registration fees 1,202 0
Directors' fees 27 0
Shareholder reports 1,093 0
Other 212 9,016
TOTAL EXPENSES 780,307 297,739
NET INVESTMENT INCOME (LOSS) $ 8,902,549 $ (48,216)
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 37,823,335 5,680,968
Net change in unrealized appreciation
(depreciation) of investments (25,579,319) 21,208,234
NET GAIN (LOSS) ON INVESTMENTS 12,244,016 26,889,202
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 21,146,565 $ 26,840,986
- ------------------------------------------------------------------------------
</TABLE>
(1) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON APRIL 28, 1996.
(2) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 16, 1996.
The accompanying notes are an integral part of these financial statements.
---------------------
153
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED) - FOR THE PERIODS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
MASTER INVESTMENT TRUST
---------------------------------
CORPORATE US GOVERNMENT
STOCK ALLOCATION
MASTER MASTER
PORTFOLIO(1) PORTFOLIO(1)
<S> <C> <C>
- ------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 1,614,505 $ 0
Interest 20,528 1,840,871
TOTAL INVESTMENT INCOME 1,635,033 1,840,871
EXPENSES (NOTE 2)
Advisory fees 295,230 127,369
Administration fees 586 237
Custody fees 0 0
Shareholder servicing fees 5,856 2,373
Portfolio accounting fees 0 0
Transfer agency fees 2,475 1,273
Distribution fees 976 580
Amortization of organization expenses 0 15
Legal and audit fees 11,222 11,407
Registration fees 410 246
Directors' fees 27 27
Shareholder reports 1,093 547
Other 46 98
TOTAL EXPENSES 317,921 144,172
NET INVESTMENT INCOME (LOSS) 1,317,112 1,696,699
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 274,905 (85)
Net change in unrealized appreciation
(depreciation) of investments 9,051,794 (1,229,838)
NET GAIN (LOSS) ON INVESTMENTS 9,326,699 (1,229,923)
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 10,643,811 $ 466,776
- ------------------------------------------------------------------------------
</TABLE>
(1) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON APRIL 28, 1996.
The accompanying notes are an integral part of these financial statements.
- ------------------------
154
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MASTER INVESTMENT TRUST
---------------------------------
ASSET CAPITAL
ALLOCATION APPRECIATION
MASTER MASTER
PORTFOLIO PORTFOLIO
(UNAUDITED) (UNAUDITED)
PERIOD ENDED PERIOD ENDED
JUNE 30, JUNE 30,
1996(1) 1996(2)
<S> <C> <C>
- ------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 8,902,549 $ (48,216)
Net realized gain (loss) on sale of
investments 37,823,335 5,680,968
Net change in unrealized appreciation
(depreciation) of investments (25,579,319) 21,208,234
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS 21,146,565 26,840,986
NET INCREASE IN NET ASSETS RESULTING
FROM BENEFICIAL INTEREST TRANSACTIONS 1,138,205,502 146,750,487
INCREASE (DECREASE) IN NET ASSETS 1,159,352,067 173,591,473
NET ASSETS:
ENDING NET ASSETS $1,159,352,067 $ 173,591,473
- ------------------------------------------------------------------------------
</TABLE>
(1) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON APRIL 28, 1996.
(2) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 16, 1996.
The accompanying notes are an integral part of these financial statements.
---------------------
155
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MASTER INVESTMENT TRUST
---------------------------------
CORPORATE US GOVERNMENT
STOCK ALLOCATION
MASTER MASTER
PORTFOLIO PORTFOLIO
(UNAUDITED) (UNAUDITED)
PERIOD ENDED PERIOD ENDED
JUNE 30, JUNE 30,
1996(1) 1996(1)
<S> <C> <C>
- ------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 1,317,112 $ 1,696,699
Net realized gain (loss) on sale of
investments 274,905 (85)
Net change in unrealized appreciation
(depreciation) of investments 9,051,794 (1,229,838)
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS 10,643,811 466,776
NET INCREASE IN NET ASSETS RESULTING
FROM BENEFICIAL INTEREST TRANSACTIONS 354,913,730 145,757,552
INCREASE (DECREASE) IN NET ASSETS 365,557,541 146,224,328
NET ASSETS:
ENDING NET ASSETS $ 365,557,541 $ 146,224,328
- ------------------------------------------------------------------------------
</TABLE>
(1) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON APRIL 28, 1996.
The accompanying notes are an integral part of these financial statements.
- ---------------------
156
<PAGE>
MASTER INVESTMENT TRUST -- JUNE 30, 1996 (UNAUDITED)
- ------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Asset Allocation Master Portfolio, Corporate Stock Master Portfolio, Capital
Appreciation Master Portfolio and U.S. Government Allocation Master Portfolios
(the "Master Portfolios") are four series of Master Investment Trust (the
"Trust"), a business trust organized under the laws of Delaware on August 14,
1991. The Trust is registered as an investment company under the Investment
Company Act of 1940, as amended (the "1940 Act"). The Declaration of Trust
permits the issuance of beneficial interests ("interests"). The Trust currently
issues eight series of investment portfolios: the Asset Allocation, Capital
Appreciation, Cash Investment Trust, Corporate Stock, Tax-Free Money Market,
Short-Term Government-Corporate Income, Short-Term Municipal Income and U.S.
Government Allocation Master Portfolios.
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. These financial statements represent only the Asset Allocation,
Capital Appreciation, Corporate Stock and U.S. Government Allocation Master
Portfolios.
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.
INVESTMENT POLICY AND SECURITY VALUATION
Each Master Portfolio's investments include equities, fixed-, variable- and
floating-rate instruments. Investments in securities for which the primary
market is a national securities exchange or the Nasdaq National Market System
are valued at the last reported sales price on the day of valuation. U.S.
government obligations are valued at the stated mean between the last reported
bid and ask prices. Securities not listed on an exchange or national securities
market, or securities in which there were no transactions, excluding debt
securities maturing in 60 days or less, are valued at the most recent bid
prices, or if such prices are not readily available, at fair value as determined
in accordance with procedures adopted by the Board of Trustees. Debt securities
maturing in 60 days or less are valued at amortized cost, which approximates
market value.
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,
interest income is accrued daily. Realized
---------------------
157
<PAGE>
MASTER INVESTMENT TRUST -- JUNE 30, 1996 (UNAUDITED)
gains and losses are reported on the basis of identified cost of securities
delivered. Bond discounts and premiums are amortized as required by the Internal
Revenue Code.
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify for federal income tax purposes as a
partnership. Management of each Master Portfolio therefore believes that it will
not be subject to any federal or state income tax on its income and net capital
gains (if any). However, each investor in a Master Portfolio will be taxed on
its distributive share of the partnership's income for purposes of determining
its federal and state income tax liabilities. The determination of such share
will be made in accordance with the Internal Revenue Code of 1986, as amended
("Code"), and the regulations promulgated thereunder.
It is intended that the Master Portfolios' assets, income, gain/loss and
allocations will be managed in such a way that a regulated investment company
investing in the Master Portfolio will be able to satisfy the requirements of
Subchapter M of the Code, assuming that the investment company invests all of
its assets in the Master Portfolio.
ORGANIZATION EXPENSES
Costs incurred in connection with organization and initial registration as an
investment company under the 1940 Act were advanced by Stephens Inc.
("Stephens"). Organization expenses of each series are being amortized on a
straight line basis over 60 months from the date the series of the Trust
commenced operation.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has entered into separate advisory contracts with WFB on behalf of
each Master Portfolio. Pursuant to the contracts, WFB furnishes investment
guidance and policy direction in connection with daily portfolio management of
each Master Portfolio. Under the contract with Capital Appreciation Master
Portfolio, WFB is entitled to receive a monthly advisory fee at an annual rate
of 0.50% of the average daily net assets. WFB is also entitled to receive from
the Asset Allocation, Corporate Stock and U.S. Government Allocation Master
Portfolios a monthly advisory fee at an annual rate of 0.50% of the first $250
million, 0.40% of the next $250 million and 0.30% of the remaining average daily
net assets.
The Trust has also entered into a contract with WFB whereby WFB has agreed to
provide custody services for the Capital Appreciation Master Portfolio. For
providing these services, WFB is entitled to be compensated for custody services
based on a rate of 0.0167% of the average daily net assets of the Capital
Appreciation Master Portfolio.
- ---------------------
158
<PAGE>
MASTER INVESTMENT TRUST -- JUNE 30, 1996 (UNAUDITED)
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments exclusive of securities with maturities of
one year or less at purchase date for the Asset Allocation, Capital
Appreciation, Corporate Stock and U.S. Government Allocation Master Portfolios,
for the periods ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
U.S.
ASSET CAPITAL CORPORATE GOVERNMENT
ALLOCATION APPRECIATION STOCK ALLOCATION
AGGREGATE PURCHASES MASTER MASTER MASTER MASTER
AND SALES OF: PORTFOLIO(2) PORTFOLIO(1) PORTFOLIO(2) PORTFOLIO(2)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $145,145,909 $ 0 $7,283,232 $57,693,594
Sales proceeds 991,719 0 2,851,285 14,047,859
OTHER LONG-TERM SECURITIES:
Purchases at cost 5,840,121 201,190,895 0 0
Sales proceeds 142,343,026 67,252,549 0 0
</TABLE>
(1) THE PERIOD REPORTED IS FROM COMMENCEMENT OF OPERATIONS, FEBRUARY 16, 1996,
TO JUNE 30, 1996.
(2) THE PERIOD REPORTED IS FROM COMMENCEMENT OF OPERATIONS, APRIL 28, 1996 TO
JUNE 30, 1996.
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding securities with maturities of one year
or less at purchase date for each Master Portfolio for the periods ended June
30, 1996 are as follows:
<TABLE>
<CAPTION>
U.S.
ASSET CAPITAL GOVERNMENT
ALLOCATION APPRECIATION CORPORATE ALLOCATION
MASTER MASTER STOCK MASTER MASTER
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
FROM FROM FROM FROM
APRIL 28, FEB. 16, APRIL 28, APRIL 28,
1996 1996 1996 1996
(INCEPTION) (INCEPTION) (INCEPTION) (INCEPTION)
TO TO TO TO
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1996 1996 1996 1996
- ----------------------------------------------------------------------------------------------
Portfolio Turnover 13% 52% 1% 11%
</TABLE>
---------------------
159
<PAGE>
LIST OF ABBREVIATIONS
<TABLE>
<S> <C> <C>
ABAG -- Association of Bay Area Governments
ADR -- American Depository Receipts
AMBAC -- American Municipal Bond Assurance Corporation
AMT -- Alternative Minimum Tax
ARM -- Adjustable Rate Mortgages
BART -- Bay Area Rapid Transit
CDA -- Community Development Authority
CDSC -- Contingent Deferred Sales Charge
CGIC -- Capital Guaranty Insurance Company
CGY -- Capital Guaranty Corporation
CMT -- Constant Maturity Treasury
COFI -- Cost of Funds Index
CONNIE LEE -- Connie Lee Insurance Company
COP -- Certificate of Participation
CP -- Commercial Paper
DW&P -- Department of Water & Power
DWR -- Department of Water Resources
EDFA -- Education Finance Authority
FGIC -- Financial Guaranty Insurance Corporation
FHA -- Federal Housing Authority
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
FSA -- Financial Security Assurance, Inc
GNMA -- Government National Mortgage Association
GO -- General Obligation
HFA -- Housing Finance Authority
HFFA -- Health Facilities Financing Authority
IDA -- Industrial Development Authority
LIBOR -- London Interbank Offered Rate
LOC -- Letter of Credit
MBIA -- Municipal Bond Insurance Association
MFHR -- Multi-Family Housing Revenue
MUD -- Municipal Utility District
PCFA -- Pollution Control Finance Authority
PCR -- Pollution Control Revenue
PFA -- Public Finance Authority
PSFG -- Public School Fund Guaranty
RAW -- Revenue Anticipation Warrants
RDA -- Redevelopment Authority
RDFA -- Redevelopment Finance Authority
R&D -- Research & Development
SFMR -- Single Family Mortgage Revenue
TBA -- To Be Announced
TRAN -- Tax Revenue Anticipation Notes
USD -- Unified School District
V/R -- Variable Rate
</TABLE>
- ---------------------
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<PAGE>
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---------------------
161
<PAGE>
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- ---------------------
162
<PAGE>
THIS PAGE IS INTENTIONALLY LEFT BLANK --
---------------------
163
<PAGE>
GINNIE MAE FUND
SHORT-INTERMEDIATE U.S. GOVERNMENT INCOME FUND
SUPPLEMENT DATED JULY 24, 1996
TO PROSPECTUS DATED MAY 1, 1996
The following three paragraphs replace the fourth paragraph under the prospectus
section "The Funds and Management":
Ms. Tamyra Thomas assumed responsibility as portfolio co-manager for the
day-to-day management of the portfolio of the Ginnie Mae Fund as of July 16,
1996. Ms. Thomas is a senior vice-president and the chief fixed income
investment officer of the Investment Management Group Policy Committee. Ms.
Thomas has managed bond portfolios for over a decade. She currently manages in
excess of $1 billion of long-term taxable bond portfolios for various
foundations, defined benefit plans and other clients. Prior to joining Wells
Fargo Bank in early 1988, she held a number of senior investment positions for
the Valley Bank & Trust Company of Utah including vice president and manager of
the investment department and chairman of the Trust Investment Committee. She
holds a B.S. from the University of Utah and was past president of the Utah Bond
Club. Ms. Thomas is a chartered financial analyst.
Mr. Jeff Weaver assumed responsibility as portfolio co-manager for the
day-to-day management of the portfolio of the Short-Intermediate U.S. Government
Income Fund as of July 16, 1996. Mr. Weaver joined Wells Fargo Bank in February
of 1994, after three years as a short-term fixed income trader and portfolio
manager in the investment management group of Bankers Trust Company in New York.
He holds a B.A. in economics from the University of Colorado and is a chartered
financial analyst candidate.
Ms. Madeline Gish also assumed responsibility as portfolio co-manager for the
day-to-day management of the portfolio of the Short-Intermediate U.S. Government
Income Fund as of July 16, 1996. Ms. Gish joined Wells Fargo Bank in 1989 as the
portfolio coordinator for the Mutual Funds Division and played an integral part
in the rapid growth of the Overland Express Funds. Since joining the
fixed-income group in 1992, Madeline has assisted in the research and trading
for the adjustable-rate mortgage fund and is currently managing taxable
liquidity portfolios. She holds a bachelor of science degree in business
administration from the University of Kansas and is a chartered financial
analyst candidate.
<PAGE>
Wells Fargo provides investment advisory services, shareholder services, and
certain other services for the Stagecoach Funds. The Funds are sponsored and
distributed by STEPHENS INC., Member NYSE/SIPC. Wells Fargo is not affiliated
with Stephens Inc.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Stagecoach Funds. The booklet
also contains a prospectus supplement inside the back cover. 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.
SC 0523 (8/96)
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<S> <C>
BULK RATE
U.S. POSTAGE
STAGECOACH FUNDS-REGISTERED TRADEMARK- PAID
P.O. Box 7066 PERMIT NO 1933
San Francisco, CA 94120-7066 FULLERTON CA
DATED MATERIAL
PLEASE EXPEDITE
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-C- 1995 Stagecoach Funds
