<PAGE>
[LOGO]
Smith Barney
U.S. 5000 Index Fund
SEMI-ANNUAL REPORT
JUNE 30, 2000
[LOGO] Smith Barney Mutual Funds
Your Serious Money. Professionally Managed.(SM)
NOT FDIC INSURED . NOT BANK GUARANTEED . MAY LOSE VALUE
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Table of Contents
<TABLE>
<S> <C>
Letter from the Chairman of the Smith Barney U.S. 5000 Index Fund................................ 1
Smith Barney U.S. 5000 Index Fund
Statement of Assets and Liabilities............................................................ 3
Statement of Operations........................................................................ 4
Statements of Changes in Net Assets............................................................ 5
Notes to Financial Statements.................................................................. 6
Financial Highlights........................................................................... 8
Master Investment Portfolio
Statements of Assets and Liabilities........................................................... 9
Statements of Operations....................................................................... 10
Statements of Changes in Net Assets............................................................ 12
Notes to the Financial Statements.............................................................. 14
Schedules of Investments....................................................................... 19
</TABLE>
<PAGE>
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Shareholder Letter
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[PHOTO] DEAR SHAREHOLDER:
We are pleased to provide the semi-annual report for the Smith
Heath B. Barney U.S. 5000 Index Fund ("Fund") for the period ended June
McLendon 30, 2000. In this report we summarize the period's prevailing
economic and market conditions. A detailed summary of
Chairman performance and current holdings can be found in the
appropriate sections that follow. We hope you find this report
to be useful and informative.
Performance And Strategy Update
The Fund seeks to offer long-term capital growth by
approximating, before fees and expenses, the performance of the
Wilshire 5000 Index ("Wilshire 5000"). The Wilshire 5000 is an
unmanaged capitalization-weighted index of over 7,000 U.S.
equity securities and consists of all the U.S. stocks regularly
traded on the New York and American Stock Exchanges and the
NASDAQ over-the-counter market for which daily pricing is
available./1/ The Wilshire 5000 is comprised of the stocks in the Standard &
Poor's 500 Index ("S&P 500"),/2/ except for a small number of foreign stocks
that represent approximately 3% of the S&P 500, and the stocks in the Wilshire
4500 Index ("Wilshire 4500")./3/
The Fund is a feeder fund in a master/feeder structure. Accordingly, the Fund
does not buy individual securities directly. Instead, it invests all of its
assets in the U.S. Equity Master Portfolio ("Master Portfolio" as to the U.S.
5000 Index Fund), a series of Master Investment Portfolio ("MIP"), rather than
directly in a portfolio of securities. MIP is a registered open-end management
investment company.
The Master Portfolio seeks to provide investment results that match as closely
as possible, the composition of the Wilshire 5000 and owns the constituent index
stocks at the appropriate index weight. The Fund, therefore, remains neutral
relative to the benchmark in terms of economic sectors, market capitalization
and the growth and value styles of investing. The Master Portfolio's investment
advisor is Barclays Global Fund Advisors ("BGFA"). BGFA is a wholly owned direct
subsidiary of Barclay's Global Investors, N.A. (which is an indirect subsidiary
of Barclays Bank PLC).
The Master Portfolio seeks to achieve its objective by investing substantially
all of its assets in two other Master Portfolios of MIP--the Extended Index
Master Portfolio (which invests substantially all of its assets in stocks
comprising the Wilshire 4500) and the S&P 500 Index Master Portfolio (which
invests substantially all of its assets in stocks comprising the S&P 500). The
Master Portfolio's assets will be invested in the Extended Index Master
Portfolio and the S&P 500 Index Master Portfolio ("Underlying Portfolio(s)") in
proportions adjusted periodically to approximate the capitalization range of the
Wilshire 5000.
The Master Portfolio follows an indexed or "passively managed" approach to
investing. BGFA determines which proportion of the Equity Index Master
Portfolio's assets will be invested in each Underlying Portfolio to match, to
the extent feasible, the capitalization range and returns of the Wilshire 5000.
In turn, the Underlying Portfolios determine which securities are to be
purchased or sold to match or sample their respective benchmarks.
_____________
1 Please note that the Wilshire 5000 is unmanaged and is not subject to the same
management and trading expenses of a mutual fund. An investor cannot invest
directly in an index.
2 The S&P 500 is a market capitalization-weighted measure of 500 widely held
common stocks. An investor cannot invest directly in an index.
3 The Wilshire 4500 measures the performance of all small- and mid-cap stocks.
It is constructed using the Wilshire 5000 securities with the companies in the
S&P 500 removed. An investor cannot invest directly in an index.
1
<PAGE>
This means that BGFA does not evaluate individual companies to identify
attractive investment candidates. Instead, BGFA attempts to mirror the
composition of the Wilshire 5000 as closely as possible by adjusting the Master
Portfolio's portfolio periodically to reflect the companies included in the
Wilshire 5000 and their weightings./4/
For the six months ended June 30, 2000, the Fund's Class A shares returned
0.74%. In comparison, the Wilshire 5000 returned a negative 0.69% for the same
period.
Financial Markets Overview/5/
Shares of many U.S. companies declined during the period, with many of the major
indexes down for the first half of the year as investors reacted to potential
rate increases by the Federal Reserve Board ("Fed"). The breadth of the declines
affected a wide range of stocks including many small- and large-capitalization
company stocks, growth stocks and value stocks. (Growth stocks are shares of
companies with historically strong and relatively predictable earnings growth
rates. Value stocks are shares of companies that are believed to be undervalued
but have positive longer-term business prospects.)
Momentum investing and technology stocks were largely out of favor with
investors during the period, replaced in many cases by a renewed interest in
companies that many investors believed could provide real earnings and had
strong financials.
Concerns about higher interest rates peaked in mid-May, when the Fed raised
interest rates an additional 50 basis points./6/ The ongoing trend of rising
interest rates was a catalyst for the weak performance of all of the major
indexes in the quarter ending June 30, 2000. The Dow Jones Industrial Average
("DJIA"),/7/ which is dominated by "Old Economy" stocks, followed a negative
first quarter performance with a decline of 4.34% in the second quarter of 2000.
(The Old Economy represents more established, "blue-chip" companies.)
The Fed continued to stress its concern that there is a disparity in the growth
of demand and potential supply, which could foster inflation and jeopardize the
economy's performance. In theory, higher rates could potentially hurt stocks,
because slower growth often hinders profits at the same time that alternative
investments become more attractive. Accordingly, many interest-rate sensitive
stocks experienced price declines after the recent decision.
Thank you for your investment in the Smith Barney U.S. 5000 Index Fund. We look
forward to helping you pursue your financial goals in the future.
Sincerely,
/s/ Heath B. Mclendon
Heath B. Mclendon
Chairman
August 2, 2000
______________
4 The Master Portfolio does not mirror the Wilshire 5000 exactly because, unlike
the Wilshire 5000, the Master Portfolio must maintain a portion of its assets
in cash and liquid securities to meet redemption requests and pay the Master
Portfolio's expenses.
5 The information provided in this section represents the opinion of SSB Citi
Fund Management LLC and is not intended to be a forecast of future events, a
guarantee of future results nor investment advice.
6 A basis point is 0.01% or one one-hundredth of a percent.
7 The DJIA is a price-weighted average of 30 actively traded blue-chip stocks.
An investor cannot invest directly in an index.
2
<PAGE>
SMITH BARNEY U.S. 5000 INDEX FUND
Statement of Assets and Liabilities
June 30, 2000 (unaudited)
<TABLE>
<S> <C>
ASSETS:
Investment in Master Portfolio, at value (Note 1)............................... $ 5,990,405
Receivable for Fund shares sold................................................. 52,238
Receivable from Manager......................................................... 82,616
-----------
Total Assets.................................................................... 6,125,259
-----------
LIABILITIES:
Distribution fees payable....................................................... 4,321
Accrued expenses................................................................ 41,052
-----------
Total Liabilities............................................................... 45,373
-----------
Total Net Assets.................................................................. $ 6,079,886
===========
NET ASSETS:
Paid in capital................................................................. $ 6,036,087
Undistributed net investment income............................................. 10,458
Accumulated net realized gain from security transactions........................ 719,830
Net unrealized depreciation of investments...................................... (686,489)
-----------
Total Net Assets.................................................................. $ 6,079,886
===========
Shares Outstanding, Class A Shares................................................ 518,810
-----------
Net Asset Value, Class A Shares (and redemption price)............................ $ 11.72
===========
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
SMITH BARNEY U.S. 5000 INDEX FUND
Statement of Operations
For the Six Months Ended June 30, 2000
(unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................................... $ 20,979
Interest........................................................................ 6,011
Expenses........................................................................ (2,466)
Less: Withholding tax........................................................... (130)
---------
Total Investment Income......................................................... 24,394
---------
EXPENSES:
Shareholder communications...................................................... 42,000
Audit and legal................................................................. 19,500
Fund accounting fees (Note 2)................................................... 10,100
Management fees (Note 2)........................................................ 4,728
Distribution plan fees (Note 2)................................................. 4,106
Shareholder servicing fees...................................................... 2,800
Director fees................................................................... 1,500
Other........................................................................... 14,500
---------
Total Expenses.................................................................. 99,234
---------
Less: Administration fee waiver (Note 2)........................................ (3,109)
Expense reimbursement by Administrator (Note 2)........................... (82,189)
---------
Total Waivers and Reimbursements................................................ (85,298)
---------
Net Expenses.................................................................... 13,936
---------
Net Investment Income............................................................. 10,458
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED FROM MASTER
PORTFOLIO (NOTE 1):
Realized Gain From:
Security transactions........................................................... 720,242
---------
Net Realized Gain................................................................ 720,242
---------
Change in Net Unrealized Appreciation (Depreciation) of Investments:
Beginning of period............................................................. 60,416
End of period................................................................... (686,489)
---------
Increase in Net Unrealized Depreciation.......................................... (746,905)
---------
Net Loss on Investments........................................................... (26,663)
---------
Decrease in Net Assets From Operations............................................ $ (16,205)
=========
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
SMITH BARNEY U.S. 5000 INDEX FUND
Statement of Changes in Net Assets
For the Six Months Ended June 30, 2000 (unaudited)
and the Period Ended December 31, 1999(a)
<TABLE>
<CAPTION>
2000 1999
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income................................................... $ 10,458 $ 668
Net realized gain on sale of investments................................ 720,242 1,693
Increase (decrease) in net unrealized appreciation...................... (746,905) 60,416
-------------- --------------
Increase (Decrease) in Net Assets From Operations....................... (16,205) 62,777
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................... (883) --
Net realized gain....................................................... (2,105) --
-------------- --------------
Decrease in Net Assets from Distribution to Shareholders................ (2,988) --
-------------- --------------
FUND SHARE TRANSACTIONS (NOTE 3):
Net proceeds from sale of shares........................................ 5,427,756 1,255,489
Net asset value of shares issued for reinvestment of dividends.......... 2,950 --
Cost of shares reacquired............................................... (618,192) (31,701)
-------------- --------------
Increase in Net Assets From Fund Share Transactions..................... 4,812,514 1,223,788
-------------- --------------
Increase in Net Assets................................................... 4,793,321 1,286,565
NET ASSETS
Beginning of period..................................................... 1,286,565 --
-------------- --------------
End of period*.......................................................... $ 6,079,886 $ 1,286,565
============== ==============
* Includes undistributed net investment income of:...................... $ 10,458 $ 883
============== ==============
</TABLE>
(a) For the period from October 18, 1999 (commencement of operations) to
December 31, 1999.
See Notes to Financial Statements.
5
<PAGE>
SMITH BARNEY U.S. 5000 INDEX FUND
Notes to Financial Statements
(unaudited)
1. Significant Accounting Policies
The Smith Barney U.S. 5000 Index Fund ("Fund") is a separate series of Smith
Barney Investment Trust ("Trust"), a Massachusetts business trust. The Trust is
registered under the Investment Company Act of 1940, as amended, as an open-end,
management investment company. To achieve its investment objective, the Fund
invests all of its investable assets in the U.S. Equity Index Master Portfolio
("Master Portfolio"), a series of Master Investment Portfolio ("MIP"), a
registered open-end management investment company with the same investment
objective as the Fund. The value of the Fund's investment in the Master
Portfolio reflects the Fund's interest in the net assets of the Master
Portfolio. As of June 30, 2000, the value of the Fund's investment in the Master
Portfolio was 0.89% of the outstanding interest of the Master Portfolio.
The financial statements of the Master Portfolio, including the schedule of
investments, are contained elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions
regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
The significant accounting policies consistently followed by the Fund are in
conformity with generally accepted accounting principles and are as follows: (a)
valuation of securities by the Master Portfolio is discussed in Note 1 of the
Master Portfolio's Notes to Financial Statements, which are included elsewhere
in this report; (b) the Fund earns income, net of Master Portfolio expenses,
daily based on its investments in the Master Portfolio; (c) the Fund intends to
comply with the applicable provisions of the Internal Revenue Code of 1986, as
amended, pertaining to regulated investment companies and to make distributions
of taxable income sufficient to relieve it from substantially all Federal income
and excise taxes; (d) the Fund bears a pro rata portion of the investment
advisory and administration fees paid by the Master Portfolio; (e) dividends and
distributions to shareholders are recorded on ex-dividend date; (f) all the net
investment income, realized and unrealized gain and loss of the Master Portfolio
is allocated pro rata, based on respective ownership interests, among the Fund
and the other investors in the Master Portfolio at the time of such
determination. Investment transactions are accounted for on the trade date.
Realized gains and losses are determined on the identified cost basis; and (g)
the character of income and gains to be distributed are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. At December 31, 1999, reclassifications were made to the Fund's
capital accounts to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a portion
of accumulated net investment loss amounting to $215 was reclassified to paid-in
capital. Net investment income, net realized gains and net assets were not
affected by this change.
6
<PAGE>
SMITH BARNEY U.S. 5000 INDEX FUND
Notes to Financial Statements
(unaudited) (continued)
2. Management Agreement and Other Transactions
SSB Citi Fund Management LLC ("SSBC"), a subsidiary of Salomon Smith Barney
Holdings, which, in turn, is a subsidiary of Citigroup, Inc. ("Citigroup") acts
as the Fund's administrator. The Fund's management fee is calculated at an
annual rate not to exceed 0.23% of the Fund's average daily net assets. This
management fee includes an investment management and administration fee payable
by the Master Portfolio (0.08% of the Master Portfolio's average daily net
assets); and an administration fee (0.15% of the Fund's average daily net
assets) payable by the Fund. This fee is calculated daily and paid monthly. For
the six months ended June 30, 2000, SSBC waived all of its administration fees
and agreed to reimburse expenses of $82,189.
Citi Fiduciary Trust Company ("CFTC"), formerly known as Smith Barney Private
Trust Company, another subsidiary of Citigroup, became the Fund's transfer agent
and PFPC Global Fund Services became the Fund's sub-transfer agent. CFTC
receives account fees and asset-based fees that vary according to the account
size and type of account. PFPC is responsible for shareholder recordkeeping and
financial processing for all shareholder accounts and is paid by CFTC. During
the six months ended June 30, 2000, the Fund paid transfer agent fees of $976 to
CFTC.
Effective June 5, 2000, Salomon Smith Barney Inc. ("SSB"), another subsidiary
of SSBH, became the Fund's distributor replacing CFBDS, Inc. In addition, SSB
acts as the primary broker for the Fund's portfolio agency transactions. Certain
other broker-dealers continue to sell Fund shares to the public as members of
the selling group.
Pursuant to a Distribution Plan, the Fund pays a service fee with respect to
its Class A shares calculated an annual rate of 0.20% of the average daily net
assets of the Fund.
Certain of the officers and a Trustee of the Fund are officers or directors of
the Administrator or its affiliates.
3. Shares of Beneficial Interest
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value). The Fund
has the ability to issue multiple classes of shares. Transactions in shares of
beneficial interest were as follows:
<TABLE>
<CAPTION>
Six Months Ended Period Ended
June 30, 2000 December 31, 1999(a)
-------------------- ---------------------
Class A Shares Shares Amount Shares Amount
------- ---------- ------- -----------
<S> <C> <C> <C> <C>
Shares sold........................................................................... 461,323 $5,427,756 113,327 $1,255,489
Shares issued on reinvestment of dividends............................................ 253 2,950 -- --
Shares reacquired..................................................................... (53,257) (618,192) (2,836) (31,701)
------- ---------- ------- ----------
Net Increase.......................................................................... 408,319 $4,812,514 110,491 $1,223,788
======= ========== ======= ==========
</TABLE>
(a) For the period from October 18, 1999 (commencement of operations) to
December 31, 1999.
7
<PAGE>
SMITH BARNEY U.S. 5000 INDEX FUND
Financial Highlights
For a share of Class A shares of capital stock outstanding throughout each
period:
<TABLE>
<CAPTION>
2000/(1)(2)/ 1999/(3)/
------------ ---------
<S> <C> <C>
Net Asset Value, Beginning of Period.................................................................... $ 11.64 $ 10.00
------- -------
Income From Operations:
Net investment income/(4)/............................................................................. 0.03 0.01
Net realized and unrealized gain....................................................................... 0.06 1.63
------- -------
Total Income From Operations............................................................................ 0.09 1.64
------- -------
Less Distributions:
Net investment income.................................................................................. (0.00)* --
Net realized gains..................................................................................... (0.01) --
------- -------
Total Distributions..................................................................................... (0.01) --
------- -------
Net Asset Value, End of Period.......................................................................... $ 11.72 $ 11.64
======= =======
Total Return++.......................................................................................... 0.74% 16.40%
======= =======
Net Assets, End of Period (000os)....................................................................... $ 6,080 $ 1,287
======= =======
Ratios to Average Net Assets+:
Expenses/(4)(5)(6)/.................................................................................... 0.68% 0.68%
Net investment income.................................................................................. 0.50 0.62
Portfolio Turnover Rate................................................................................. 8% 9%
</TABLE>
(1) For the six months ended June 30, 2000 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period from October 18, 1999 (commencement of operations) to
December 31, 1999.
(4) SSBC has agreed to waive all of its administration fees for the six months
ended June 30, 2000 and the year ended December 30, 1999. In addition,
SBBC has agreed to reimburse expenses amounting to $82,189 and $23,824 for
the six months ended June 30, 2000 and the year ended December 31, 1999,
respectively. If such fees were not waived or expenses reimbursed, the
increase to net investment income (loss) per share would have been $(0.21)
and $(0.21), respectively and the actual expense ratio would have been 4.78%
and 22.19% (annualized), respectively.
(5) As a result of an expense limitation, expense ratios will not exceed 0.68%.
(6) This expense ratio includes expenses charged to the Master Portfolio.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
8
<PAGE>
MASTER INVESTMENT PORTFOLIO
Statements of Assets and Liabilities
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Extended S&P 500 Index U.S. Equity
Index Master Master Index Master
Portfolio Portfolio Portfolio
------------ -------------- ------------
<S> <C> <C> <C>
ASSETS
Investments at cost................... $214,426,998 $2,918,072,487 $ --
------------ -------------- ------------
Investments at market value (Note 1).. $249,202,802 $3,907,919,571 $686,024,116
Receivables:
Investment securities sold........... 928,577 7,197,840 --
Dividends and interest............... 185,118 3,288,834 --
Due from broker--variation margin.... 49,350 1,029,524 --
Prepaid expenses...................... -- 236 --
------------ -------------- ------------
Total Assets.......................... 250,365,847 3,919,436,005 686,024,116
------------ -------------- ------------
LIABILITIES
Payables:
Investment securities purchased...... 708,694 4,249,206 --
Collateral for securities loaned
(Note 4)............................ -- 95,640,573 --
Due to Bank.......................... -- 2,314 --
Due to BGI (Note 2).................. 112,387 738,756 90,904
------------ -------------- ------------
Total Liabilities..................... 821,081 100,630,849 90,904
------------ -------------- ------------
NET ASSETS............................ $249,544,766 $3,818,805,156 $685,933,212
============ ============== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
MASTER INVESTMENT PORTFOLIO
Statements of Operations
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Extended U.S. Equity
Index S&P 500 Index
Master Index Master Master
Portfolio Portfolio Portfolio
----------- ------------ -----------
<S> <C> <C> <C>
NET INVESTMENT INCOME
Dividends+............................ $ 920,293 $ 24,183,203 $ 3,444,065
Interest++............................ 298,136 3,984,961 667,882
----------- ------------ -----------
Total investment income............... 1,218,429 28,168,164 4,111,947
----------- ------------ -----------
EXPENSES (Note 2)
Advisory Fees......................... 95,759 1,091,905 260,178
Administration fee.................... 23,940 -- 16,722
----------- ------------ -----------
Total expenses........................ 119,699 1,091,905 276,900
----------- ------------ -----------
Net investment income................. 1,098,730 27,076,259 3,835,047
----------- ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments.......................... 6,020,047 650,038,851 90,556,090
Net realized gain (loss) on sale of
futures contracts.................... (547,538) 2,644,903 103,341
Net change in unrealized appreciation
(depreciation) of investments........ (9,637,412) (701,744,471) (95,076,115)
Net change in unrealized appreciation
(depreciation) of futures contracts.. (358,150) (12,365,227) (1,039,134)
----------- ------------ -----------
NET GAIN (LOSS) ON INVESTMENTS........ (4,523,053) (61,425,944) (5,455,818)
----------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $(3,424,323) $(34,349,685) $(1,620,771)
=========== ============ ===========
-------------------------------------------------------------------------------
+ Net of foreign withholding tax
of:................................ $ 63 $ 122,278 $ 16,235
++ Interest income includes securities
lending income of:................. $ -- $ 90,107 $ --
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK.)
11
<PAGE>
MASTER INVESTMENT PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
EXTENDED INDEX
MASTER PORTFOLIO
--------------------------
FOR THE SIX
MONTHS ENDED FOR THE
JUNE 30, PERIOD ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999**
------------ ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income............................ $ 1,098,730 $ 1,614,308
Net realized gain (loss)......................... 5,472,509 9,035,857
Net change in unrealized appreciation (deprecia-
tion)........................................... (9,995,562) 44,735,266
------------ ------------
Net increase (decrease) in net assets resulting
from operations.................................. (3,424,323) 55,385,431
------------ ------------
INTERESTHOLDER TRANSACTIONS:
Contributions.................................... 126,561,441 215,020,329
Withdrawals...................................... (76,048,903) (67,949,209)
------------ ------------
Net increase (decrease) in net assets resulting
from interestholder transactions................. 50,512,538 147,071,120
------------ ------------
Increase (decrease) in net assets................. 47,088,215 202,456,551
NET ASSETS:
Beginning of period............................... 202,456,551 --
------------ ------------
End of period..................................... $249,544,766 $202,456,551
============ ============
</TABLE>
------
* For the ten months ended December 31, 1999. The Master Portfolio changed
its fiscal year end from February 28 to December 31.
** For the period from March 1, 1999 (commencement of operations) to December
31, 1999.
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
<TABLE>
<CAPTION>
S&P 500 Index U.S. Equity Index
Master Portfolio Master Portfolio
----------------------------------------------- --------------------------
For the Six
For the Six For the For the Months Ended For the
Months Ended Period Ended Year Ended June 30, Period Ended
June 30, 2000 December 31, February 28, 2000 December 31,
(Unaudited) 1999 * 1999 (Unaudited) 1999 **
-------------- -------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
$ 27,076,259 $ 52,303,458 $ 43,674,276 $ 3,835,047 $ 6,926,814
652,683,754 170,279,517 181,973,840 90,659,431 12,004,089
(714,109,698) 562,095,831 250,798,350 (96,115,249) 107,291,149
-------------- -------------- -------------- ------------ ------------
(34,349,685) 784,678,806 476,446,466 (1,620,771) 126,222,052
-------------- -------------- -------------- ------------ ------------
1,043,786,832 355,753,442 2,288,411,987 4,338,344 556,993,587
(2,018,157,017) -- (1,431,828,889) -- --
-------------- -------------- -------------- ------------ ------------
(974,370,185) 355,753,442 856,583,098 4,338,344 556,993,587
-------------- -------------- -------------- ------------ ------------
(1,008,719,870) 1,140,432,248 1,333,029,564 2,717,573 683,215,639
4,827,525,026 3,687,092,778 2,354,063,214 683,215,639 --
-------------- -------------- -------------- ------------ ------------
$3,818,805,156 $4,827,525,026 $3,687,092,778 $685,933,212 $683,215,639
============== ============== ============== ============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Significant Accounting Policies
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware
business trust pursuant to an Agreement and Declaration of Trust dated May 14,
1993, and had no operations prior to March 1, 1994. MIP currently issues the
following separate portfolios: Asset Allocation, Bond Index, Extended Index,
International Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040, Money Market, S&P 500 Index and U.S. Equity Index Master
Portfolios.
These financial statements relate to the Extended Index, S&P 500 Index, and
U.S. Equity Index Master Portfolios (each, a "Master Portfolio", collectively
the "Master Portfolios").
The following is a summary of significant accounting policies which are
consistently followed by the MIP in the preparation of its financial
statements, and which are in conformity with generally accepted accounting
principles for investment companies. The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenue and expenses
during the reporting period. Actual results could differ from those estimates.
Security Valuation
The equity securities of each Master Portfolio are valued at the last
reported sales price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an
exchange or national securities market, or securities in which there was no
last reported sales price, are valued at the most recent bid prices. Debt
securities are generally traded in the over-the-counter market and are valued
at a price deemed best to reflect fair value as quoted by dealers who make
markets in those securities or by an independent pricing source. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any securities, restricted securities or other
assets for which market quotations are not readily available, are valued at
fair value as determined in good faith in accordance with policies approved by
MIP's Board of Trustees.
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
dividend date, and interest income is recognized on a daily accrual basis.
Realized gains or losses are reported on the basis of identified cost of
securities delivered. Original issue discount and discount on securities
purchased are accreted as interest income using a constant yield to maturity
method. Premiums on securities purchased are amortized as a reduction in
interest income using a constant yield to maturity method.
Federal Income Taxes
MIP believes that each Master Portfolio has and will continue to be operated
in a manner so as to qualify it as a partnership for federal income tax
purposes. Provided that each Master Portfolio so qualifies, it will not be
subject to any federal income tax on its income and gain (if any). However,
each investor in a Master Portfolio will be taxed on its distributive share of
the Master Portfolio's taxable income in determining its federal income tax
liability. As a partnership for federal income tax purposes,
14
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
each Master Portfolio will be deemed to have "passed through" to
interestholders any interest, dividends, gains or losses for such purposes. The
determination of such share will be made in accordance with the Internal
Revenue Code of 1986, as amended (the "Code"), and regulations promulgated
thereunder.
It is intended that each Master Portfolio's assets, income and distributions
will be managed in such a way that an entity electing and qualifying as a
"regulated investment company" under the Code can continue to so qualify by
investing substantially all of its assets through the Master Portfolio,
provided that the regulated investment company meets other requirements for
such qualifications not within the control of the Master Portfolio (e.g.,
distributing at least 90% of the regulated investment company's "investment
company taxable income" annually).
Futures Contracts
The Extended Index and S&P 500 Index Master Portfolios may purchase long
futures contracts to gain exposure to market changes as this may be more
efficient or cost effective than actually buying the securities. A futures
contract is an agreement between two parties to buy and sell a security at a
set price on a future date and is exchange traded. Upon entering into a futures
contract, the Master Portfolios are required to pledge to the broker an amount
of cash, U.S. Government securities or other high-quality debt securities equal
to the minimum "initial margin" requirements of the exchange. Pursuant to the
contract, the Extended Index and S&P 500 Index Master Portfolios agree to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known
as "variation margin" and are recorded by the Extended Index and S&P 500 Index
Master Portfolios as unrealized gains or losses. When the contract is closed,
the Extended Index and S&P 500 Index Master Portfolios records a gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. Pursuant to regulations and/or
published positions of the Securities and Exchange Commission, the Extended
Index and S&P 500 Index Master Portfolios are required to segregate cash, U.S.
Government securities or high quality, liquid debt instruments in connection
with long futures transactions in an amount generally equal to the entire
futures contract amount. Risks of entering into futures contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities.
At June 30, 2000, the open long futures contracts outstanding were as
follows:
<TABLE>
<CAPTION>
Net Unrealized
Number of Expiration Notional Appreciation
Master Portfolio Contracts Type Date Contract Value (Depreciation)
---------------- --------- ---- ---------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Extended Index Master
Portfolio.............. 9 Mid Cap 400 Index 09/15/00 $ 2,197,350 $ (34,650)
24 Russell 2000 Index 09/15/00 6,271,200 (1,450)
-----------
$ (36,100)
===========
S&P 500 Index Master
Portfolio.............. 346 S&P 500 Index 09/15/00 $126,990,650 $(2,492,652)
===========
</TABLE>
The Extended Index and S&P 500 Index Master Portfolios have pledged to
brokers U.S. Treasury Bills for initial margin requirements with a par value of
$1,040,000 and $8,150,000, respectively.
15
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
Repurchase Agreements
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Schedule of Investments. The advisor to the Master
Portfolio may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the advisor's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than the repurchase price.
The repurchase agreements entered into on June 30, 2000 by the Master
Portfolios were fully collateralized by U.S. Government obligations as follows:
<TABLE>
<CAPTION>
U.S Government Obligations
----------------------------------------
Interest Aggregate
Master Portfolio Rate Maturity Date Market Value
---------------- --------- ----------------- ------------
<S> <C> <C> <C>
Extended Index Master Portfolio....... 6.50% 08/15/05 $ 8,038,592
S&P 500 Index Master Portfolio........ 4.88-5.75 11/15/00-03/31/01 120,411,574
</TABLE>
2. Agreements and Other Transactions with Affiliates
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.08%, 0.05%, and 0.01% of the average daily net
assets of Extended Index, S&P 500 Index, and U.S. Equity Index Master
Portfolios, respectively, as compensation for advisory services. BGFA is an
indirect subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to each Master
Portfolio. IBT will not be entitled to receive fees for its custodial services,
so long as it is entitled to receive a separate fee from Barclays Global
Investors, N.A. ("BGI") for its services as Sub-Administrator of each Master
Portfolio. Beginning on February 22, 2001, IBT will be entitled to receive
custodial fees of up to 0.01% from the Extended Index and U.S. Equity Master
Portfolios.
Stephens Inc. ("Stephens") is the sponsor and placement agent for the Master
Portfolios.
MIP has entered into administrative services arrangements with BGI and
Stephens as co-administrators who have agreed jointly to provide general
administrative services to the Master Portfolios such as managing and
coordinating third-party relationships. BGI and Stephens are entitled to
receive a fee at an annual rate of 0.02% and 0.01% of the average daily net
assets of the Extended Index and U.S. Equity Index Master Portfolios,
respectively. Stephens and BGI are not entitled to compensation for providing
administration services to the S&P 500 Index Master Portfolio. BGI and Stephens
may delegate certain of their administrative duties to sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of
June 30, 2000 these officers of Stephens collectively owned less than 1% of the
Master Portfolios' outstanding beneficial interests.
16
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
each of the Master Portfolios for the period ended June 30, 2000 were as
follows:
<TABLE>
<CAPTION>
S&P 500 Index
Extended Index Master
Aggregate Purchases and Sales of: Master Portfolio Portfolio
--------------------------------- ---------------- --------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost.............................. $ -- $ --
Sales proceeds................................. -- --
OTHER SECURITIES:
Purchases at cost.............................. $82,764,955 $ 166,532,696
Sales proceeds................................. 32,652,077 1,076,048,259
</TABLE>
At June 30, 2000 the Master Portfolios' aggregate unrealized appreciation and
depreciation based on cost for federal income tax purposes were as follows:
<TABLE>
<CAPTION>
Net Unrealized
Unrealized Unrealized Appreciation
Master Portfolio Tax Cost Appreciation Depreciation (Depreciation)
---------------- -------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Extended Index Master
Portfolio.............. $ 214,426,998 $ 66,068,430 $ (31,292,626) $ 34,775,804
S&P 500 Index Master
Portfolio.............. 2,918,072,487 1,241,324,604 (251,477,520) 989,847,084
</TABLE>
4. Portfolio Securities Loaned
As of June 30, 2000, certain Master Portfolios had loaned securities which
were collateralized by U.S. Government Agency obligations and money market
mutual funds. Each Master Portfolio receives transaction fees for providing
services in connection with the securities lending program. The risks to the
Master Portfolios associated with securities lending are that the borrower may
not provide additional collateral when required or return the securities when
due. The value of the securities on loan and the value of the related
collateral were as follows:
<TABLE>
<CAPTION>
Value of Value of
Master Portfolio Securities Collateral
---------------- ----------- -----------
<S> <C> <C>
S&P 500 Index Master Portfolio.......................... $92,268,933 $95,640,573
</TABLE>
17
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
5. Financial Highlights
The ratios of expenses to average net assets and net investment income to
average net assets and portfolio turnover rates (excluding short-term
securities) for the Master Portfolios are as follows:
<TABLE>
<CAPTION>
Six Months For the For the Year
Ended June Period Ended Ended
30, 2000 December 31, February 28,
(Unaudited) 1999 1999
----------- ------------ ------------
<S> <C> <C> <C>
Extended Index Master Portfolio
Ratio of expenses to average net
assets+............................... 0.10% 0.10%** N/A
Ratio of net investment income to
average net assets+................... 0.92% 1.26%** N/A
Portfolio turnover rate................ 14% 17%** N/A
S&P 500 Index Master Portfolio
Ratio of expenses to average net
assets+............................... 0.05% 0.05%* 0.05%
Ratio of net investment income to
average net assets+................... 1.24% 1.44%* 1.61%
Portfolio turnover rate................ 4% 7%* 11%
U.S. Equity Index Master Portfolio
Ratio of expenses to average net as-
sets+#................................ 0.08% 0.08%** N/A
Ratio of net investment income to
average net assets+#.................. 1.14% 1.39%** N/A
</TABLE>
------
* For the ten months ended December 31,1999. The S&P 500 Index Master
Portfolio changed its fiscal year end from February 28 to December 31.
** Period from March 1, 1999 (commencement of operations) to December 31,
1999.
+ Annualized for period of less than one year.
# Includes expenses allocated from the portfolios of MIP in which this Master
Portfolio invests.
18
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------
<CAPTION>
Extended Index
Master Portfolio Shares Value
---------------------------------------------------
<S> <C> <C>
COMMON STOCKS--96.30%
---------------------------------------------------
Advertising--0.63%
Ackerly Group Inc. (The) 2,120 $ 24,910
+APAC Customer Services Inc. 3,944 43,630
+Catalina Marketing Corp. 1,217 124,134
+Cybergold Inc. 2,900 27,006
+Cyrk International Inc. 1,891 9,455
+Digital Impact Inc. 1,703 24,055
+FreeShop.com Inc. 3,600 21,375
+GenesisIntermedia.com Inc. 400 6,425
+Getty Images Inc. 2,466 91,396
Grey Advertising Inc. 55 28,600
+Ha-Lo Industries Inc. 3,404 19,148
Harte-Hanks Inc. 4,776 119,400
+K2 Design Inc. 400 2,650
+Lamar Advertising Co. 4,276 185,204
+Mediaplex Inc. 1,900 36,694
+Modem Media Inc. 1,100 13,681
+Obie Media Corp. 220 1,760
Penton Media Inc. 1,619 56,665
+R.H. Donnelley Corp. 1,530 29,644
+Snyder Communications Inc. 3,986 94,667
+TMP Worldwide Inc. 5,310 391,944
True North Communications Inc. 3,115 137,060
+24/7 Media Inc. 4,932 77,063
---------
1,566,566
---------
Aerospace/Defense--0.15%
AAR Corp. 1,340 16,079
+BE Aerospace Inc. 2,187 15,036
+Ducommun Inc. 413 4,930
+Fairchild Corp. (The) "A" 1,431 6,976
+First Aviation Services Inc. 2,400 14,250
GenCorp. Inc. 2,357 18,856
+Hawker Pacific Aerospace 2,500 11,250
HEICO Corp. 909 12,953
HEICO Corp. "A" 852 10,437
+Kellstrom Industries Inc. 433 2,003
+Kreisler Manufacturing Corp. 2,500 10,234
+Litton Industries Inc. 3,233 135,786
+Orbital Sciences Corp. 2,547 31,042
+Pemco Aviation Group Inc. 700 11,287
Primex Technologies Inc. 876 19,272
+Sequa Corp. "A" 564 21,538
+Teledyne Technologies Inc. 1,800 30,150
TransTechnology Corp. 232 2,552
Venturian Corp. 440 1,760
---------
376,391
---------
Agriculture--0.02%
Delta & Pine Land Co. 2,014 50,476
---------
Airlines--0.37%
+Airnet Systems Inc. 519 2,368
+Airtran Holdings Inc. 2,893 12,024
+Alaska Air Group Inc. 2,172 58,916
+American West Holdings Corp. "B" 2,024 34,661
+Atlantic Coast Airlines Holdings 1,859 59,023
+Atlas Air Inc. 2,004 71,894
+Continental Airlines Inc. "B" 3,964 186,308
</TABLE>
<TABLE>
------------------------------------------------------------
<CAPTION>
Shares Value
------------------------------------------------------------
<S> <C> <C>
+Midway Airlines Corp. 517 $ 2,650
+Midwest Express Holdings Inc. 1,230 26,445
+Northwest Airlines Corp. "A" 5,635 171,515
+Offshore Logistics Inc. 2,591 37,246
Petroleum Helicopters NV 245 2,358
SkyWest Inc. 1,384 51,295
UAL Corp. 3,376 196,441
-------
913,144
-------
Apparel--0.13%
+Burlington Industries Inc. 2,578 4,350
+Jones Apparel Group Inc. 7,552 177,472
Oshkosh B'gosh Inc. "A" 812 13,297
Phillips-Van Heusen Corporation 2,403 22,828
Stride Rite Corp. 4,777 29,259
+Unifi Inc. 4,132 51,133
Warnaco Group Inc. "A" 3,668 28,427
-------
326,766
-------
Auto Manufacturers--0.29%
+Aftermarket Technology Inc. 1,845 15,682
+Alltrista Corp. 348 7,439
+American Axle & Manufacturing Holdings Inc. 3,100 43,981
AO Smith Corp. "B" 2,242 46,942
Arvin Industries Inc. 1,397 24,273
Borg-Warner Automotive Inc. 1,345 47,243
+Cannondale Corp. 274 1,781
CLARCOR Inc. 2,691 53,484
Coachmen Industries Inc. 741 8,521
Collins Industries Inc. 400 2,000
+Copart Inc. 3,182 50,912
+Delco Remy International Inc. 869 7,224
+Dura Automotive Systems Inc. 1,322 14,294
Exide Corp. 1,855 14,840
+FinishMaster Inc. 300 1,819
Hastings Manufacturing Co. 100 850
+Hayes Lemmerz International Inc. 1,550 18,697
+Holiday RV Superstores Inc. 400 1,800
+IMPCO Technologies Inc. 865 36,654
JLG Industries Inc. 3,972 47,167
+Keystone Automotive Industries Inc. 786 5,453
+Lithia Motors Inc. "A" 425 5,684
+Monaco Coach Corp. 1,835 25,002
+National RV Holdings Inc. 576 6,048
Noble International Ltd. 300 2,325
Oshkosh Truck Corp. 1,307 46,725
Regal-Beloit Corp. 1,035 16,495
+Rush Enterprises Inc. 397 2,208
Simpson Industries Inc. 772 5,814
+Sonic Automotive Inc. 2,212 23,641
Spartan Motors Inc. 562 2,353
+Standard Automotive Corp. 200 1,525
Standard Motor Products Inc. 1,184 10,064
+Starcraft Corp. 2,200 18,150
+Supreme Industries Inc. 513 2,308
+TBC Corp. 882 4,079
</TABLE>
19
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
----------------------------------------------------------------
+The Kroll-O'Gara Co. 1,619 $10,827
Titan International Inc. 2,171 11,533
+Ugly Duckling Corp. 719 5,078
+United Auto Group Inc. 1,064 9,709
Wabash National Corp. 2,427 28,972
Winnebago Industries Inc. 2,120 27,693
-------
717,289
-------
Auto Parts & Equipment--0.11%
Bandag Inc. 1,181 28,639
+Collins & Aikman Corp. 6,000 31,125
Federal-Mogul Corp. 4,111 39,311
+Lear Corp. 3,683 73,660
Meritor Automotive Inc. 4,188 46,068
+Strattec Security Corp. 206 6,695
Superior Industries International Inc. 1,324 34,093
Tenneco Automotive Inc. 2,400 12,600
-------
272,191
-------
Banks--4.09%
Abington Bancorp Inc. 200 1,800
Allegiant Bancorp Inc. 285 2,636
Alliance Bancorp 422 6,937
AMB Financial Corp. 400 5,200
Ambanc Holding Co. Inc. 246 3,751
AMCORE Financial Inc. 1,295 23,715
Ameriana Bancorp 156 1,540
American Bancorp 140 1,715
American Bank of Connecticut 167 3,277
American National Bankshares Inc. 600 8,250
Anchor Bancorp Wisconsin Inc. 2,823 43,227
Andover Bancorp Inc. 239 6,886
Area Bancshares Corp. 1,900 42,394
Arrow Financial Corp. 287 4,305
ASB Financial Corp. 400 3,800
Associated Bancorp. 4,874 106,314
Astoria Financial Corp. 2,946 75,859
Atlantic Financial Corp. 186 2,371
+Banc Corp. (The) 1,790 11,859
BancFirst Corp. 415 13,072
BancFirst Ohio Corp. 292 4,782
Bancorp Connecticut Inc. 229 3,320
Bancorp South Inc. 4,398 61,847
BancWest Corporation 5,412 88,960
Bank of South Carolina Corp. 400 4,800
Bank of the Ozarks 169 2,725
Bank United Corp. "A" 1,867 65,695
BankAtlantic Bancorp Inc. "A" 1 3
Bankfirst Corp. 419 3,457
Banknorth Group Inc. 8,764 134,199
Bar Harbor Bankshares 163 2,486
Bay State Bancorp Inc. 113 2,444
Bay View Capital Corp. 1,442 14,145
BB&T Corp. 424 10,123
BCSB Bancorp Inc. 273 1,638
Berkshire Bancorp Inc. 95 3,182
Big Foot Financial Corp. 400 4,425
+BOK Financial Corp. 3,921 68,863
<CAPTION>
----------------------------------------------------------------
Shares Value
----------------------------------------------------------------
<S> <C> <C>
Boston Private Financial Holdings Inc. 1,300 $13,081
Bostonfed Bancorp Inc. 192 2,712
Brenton Banks Inc. 924 12,820
Brodge View Bancorp 129 1,741
Brookline Bancorp Inc. 3,901 44,618
Bryn Mawr Bank Corp. 458 9,217
BSB Bancorp Inc. 706 14,164
+BWC Financial Corp. 200 3,800
California Independent Bancorp 367 8,258
Camco Financial Corp. 440 3,987
Camden National Corp. 802 10,827
+Capital Bank Corp. 200 1,800
Capital City Bank Group Inc. 826 16,107
+Capital Corporation of the West 300 3,112
+Capital Crossing Bank 181 1,855
Capitol Bancorp Ltd. 732 8,326
Carolina Southern Bank 159 1,828
Cascade Bancorp 751 8,402
+Cascade Financial Corp. 250 1,906
Cathay Bancorp Inc. 901 41,784
Cavalry Bancorp Inc. 274 3,168
CB Bancshares Inc./Hawaii 131 3,226
CCB Financial Corp. 2,677 99,049
CCBT Financial Companies Inc. 334 5,250
Cenit Bancorp Inc. 178 2,114
Center Bancorp Inc. 210 4,567
+Central Coast Bancorp 371 5,658
Centura Banks Inc. 2,756 93,532
Century Bancorp Inc. "A" 161 1,972
CFS Bancorp Inc. 846 7,746
Chemical Financial Corp. 1,633 42,458
Chester Valley Bancorp 697 11,849
Chittenden Corp. 1,549 37,854
Citizens Banking Corp. 2,343 38,037
Citizens Financial Services Inc. 225 2,587
Citizens First Financial Corp. 722 9,566
City National Corp. 3,012 106,918
+Civic Bancorp 217 3,119
CKF Bancorp Inc. 400 5,700
CNB Financial Corp./NY 780 8,190
CNBT Bancshares Inc. 319 4,267
CNY Financial Corp. 239 4,421
Coastal Bancorp Inc. 262 3,766
Coastal Financial Corp. 843 8,219
Codorus Valley Bancorp Inc. 441 4,906
Colonial BancGroup Inc. 8,391 80,763
Colorado Business Bankshares 946 12,653
Columbia Bancorp 204 1,836
Comm Bancorp Inc. 98 2,670
Commerce Bancorp Inc. NJ 1,684 77,464
Commerce Bancshares Inc. 4,191 124,682
Commercial Bank of New York 237 2,785
Commercial Bankshares Inc./FL 173 3,071
Commercial Federal Corp. 2,908 45,256
Commercial National Financial Corp./PA 261 4,372
</TABLE>
20
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------
Commonwealth Bancorp Inc. 542 $ 6,436
+Community Bancorp Inc. 420 2,730
Community Bank Shares of Indiana Inc 200 2,900
Community Bank System Inc. 269 5,968
Community Banks Inc. 264 5,445
Community Bankshares Inc. 611 7,027
Community Bankshares Inc./VA 161 2,898
Community Financial Corp./VA 400 3,500
Community First Banking Co. 123 2,029
Community First Bankshares Inc. 2,411 39,329
Community Savings Bankshares 844 9,600
Community West Bancshares 400 2,200
Compass Bancshares Inc. 7,559 128,975
Cooperative Bankshares Inc. 400 3,400
Cornerstone Bancorp Inc. 100 1,175
CORUS Bankshares Inc. 1,651 43,648
CoVest Bancshares Inc. 200 2,100
Cullen/Frost Bankers Inc. 3,888 102,303
CVB Financial Corp. 2,516 39,784
Delphos Citizens Bancorp Inc. 400 4,875
Desert Community Bank 354 6,018
Dime Bancorp Inc. 7,491 117,983
Downey Financial Corp. 1,258 36,482
Drovers Bancshares Corp. 285 4,382
Eagle Bancshares Inc. 211 2,400
East Texas Financial Services Inc. 400 3,300
East West Bancorp Inc. 1,200 17,250
Eastern Virginia Bankshares 690 10,350
EFC Bancorp Inc. 335 3,141
Elmira Savings Bank FSB 359 6,464
+Equitable Bank 420 5,171
ESB Financial Corp. 880 8,800
F&M National Corp. 3,008 63,168
F.N.B. Corp. 2,303 47,499
Farmers Capital Bank Corp. 578 17,557
FCNB Corp. 688 12,427
FFD Financial Corp. 400 3,800
FFLC Bancorp Inc. 164 2,070
FFW Corp. 400 4,725
FFY Financial Corp. 288 3,168
Fidelity Bancorp Inc. 107 1,859
Fidelity Bancorp Inc./PA 400 4,700
Fidelity Bankshares Inc. 750 11,531
Fidelity National Corp. 363 2,223
Finger Lakes Financial Corp. 200 1,400
First Bancorp North Carolina 652 9,046
+First Banks America Inc. 198 3,663
First Bankshares Inc. 400 3,950
First Bell Bancorp Inc. 229 3,492
First Busey Corp. "A" 606 9,961
First Citizens BancShares Inc. 909 54,085
<CAPTION>
-----------------------------------------------------------
Shares Value
-----------------------------------------------------------
<S> <C> <C>
First Commonwealth Financial Corp. 2,868 $ 25,991
First Community Financial Corp. 200 3,412
First Defiance Financial Corp. 301 2,427
First Essex Bancorp Inc. 278 4,431
First Federal Bancorp Inc. 600 4,237
+First Federal Bancorp Inc./OH 600 3,600
First Federal Bancshares of Arkansas 204 3,009
First Federal Bankshares Inc. 529 4,166
First Federal Financial of Kentucky 552 10,488
First Federal of East Hartford 138 4,088
First Financial Bancorp 3,610 71,072
First Financial Corp. 400 4,100
First Franklin Corp. 400 3,350
First Georgia Holding Inc. 900 3,712
First Independence Corp. 400 3,800
First Keystone Financial Inc. 400 3,950
First Mariner Bancorp 400 2,200
First Merchants Corp. 771 16,336
First Midwest Bancorp Inc. 3,048 70,866
First Midwest Financial Inc. 400 3,700
First Mutual Bancshares Inc. 220 2,200
First Niagara Financial Group Inc. 1,331 12,478
First Northern Capital Corp. 324 4,333
First Oak Brook Bancshares "A" 164 2,234
First of Long Island Corp. 314 10,637
First Place Financial Corp. 700 7,525
First Savings Bancorp Inc. 166 2,697
First Security Corp. 1,477 155,657
First Security Financial Inc. 400 5,150
First Sentinel Bancorp Inc. 4,730 38,875
1st Source Corp. 1,947 30,544
First South Bancorp Inc. 182 3,572
First Southern Bancshares 400 3,300
First State Bancorp 228 2,337
1st State Bancorp Inc. 200 4,100
First Tennessee National Corp. 7,837 129,800
First United Corp. 727 7,906
First Virginia Banks Inc. 2,740 95,386
First West Virgina Bancorp Inc. 240 3,420
Firstbank Corp. 1,333 24,744
Firstfed America Bancorp Inc. 289 3,342
FirstFed Financial Corp. 945 13,348
+FirstMerit Corp. 4,890 104,524
FirstSpartan Financial Corp. 146 2,518
Flag Financial Corp. 1,000 4,437
Florida Banks Inc. 400 2,175
+FloridaFirst Bancorp 400 3,150
Flushing Financial Corp. 414 6,313
FMS Financial Corp. 1,000 7,375
FNB Corp./North Carolina 534 5,273
FNB Financial Services Corp. 153 1,989
Foothill Independent Bancorp 820 7,585
</TABLE>
21
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Frontier Financial Corp. 1,204 $ 22,123
FSF Financial Corp. 400 4,800
Fulton Financial Corp. 5,245 92,771
FVNB Corp. 406 13,702
GA Financial Inc. 263 3,123
Gaston Federal Bancorp Inc. 201 2,048
GBC Bancorp 633 18,515
German American Bancorp 334 4,843
GFSB Bancorp Inc. 400 5,450
Gold Bancorp Inc. 1,378 6,890
+Golden State Bancorp Inc. 8,156 146,808
Granite State Bankshares Inc. 218 3,297
Great Southern Bancorp Inc. 289 5,021
Greater Bay Bancorp 729 34,081
Greater Community Bancorp 410 3,382
Greater Delaware Valley Savings Bank 200 1,487
Greenpoint Financial Corp. 7,080 132,750
GS Financial Corp. 400 4,925
Guaranty Bancshares Inc. 300 3,337
Guaranty Federal Bancshares Inc. 400 4,050
Guaranty Financial Corp. 400 3,000
Habersham Bancorp 400 4,100
Hallmark Capital Corp. 200 1,825
+Hamilton Bancorp Inc. 970 16,975
Hancock Holding Co. 1,168 39,712
Harbor Florida Bancshares Inc. 1,383 14,435
Hardin Bancorp Inc. 200 2,725
Harleysville National Corp. 481 15,753
Harleysville Savings Finance Corp. 506 7,337
Harrington Financial Group Inc. 600 3,900
+Hawthorne Financial Corp. 700 5,425
+Heritage Bancorp Inc. 800 4,200
Heritage Bancorp Inc./SC 170 2,890
Heritage Financial Corp. 443 3,849
HF Financial Corp. 212 1,908
Hibernia Corp. "A" 11,096 120,669
Highland Bancorp Inc. 282 6,874
Hingham Institution for Savings 400 5,250
HMN Financial Inc. 241 2,651
Home Bancorp 97 1,710
Home City Financial Corp. 400 3,750
Home Federal Bancorp 189 3,118
Home Financial Bancorp 600 3,375
Hopfed Bancorp Inc. 180 1,721
Horizon Financial Corp. 276 2,484
Hudson City Bancorp Inc. 6,800 116,025
Hudson River Bancorp Inc. 658 7,814
Hudson United Bancorp 2,838 63,678
IBERIABANK Corp. 253 3,890
+Imperial Bancorp 2,420 37,813
Independence Community Bank Corp. 3,455 45,779
Independence Federal Savings Bank 400 4,000
Independent Bank Corp.--MA 548 6,199
<CAPTION>
-------------------------------------------------------------
Shares Value
-------------------------------------------------------------
<S> <C> <C>
Independent Bank Corp.--MI 978 $ 13,264
Indiana United Bancorp 576 9,216
Industrial Bancorp Inc. 180 2,137
IndyMac Mortgage Holdings Inc. 5,638 76,465
Integra Bank Corp. 1,697 28,849
Interchange Financial Services Corp. 636 8,347
International Bancshares Corp. 987 32,201
Investors Financial Services Corp. 2,200 87,312
Iroquois Bancorp Inc. 200 6,537
Irwin Financial Corp. 2,369 34,202
iStar Financial Inc. 3,970 83,122
+ITLA Capital Corp. 700 10,150
Jacksonville Savings Bank 400 3,200
James River Bankshares Inc. 200 2,200
Jefferson Savings Bancorp Inc. 1,071 11,714
Kankakee Bancorp Inc. 382 7,926
Keystone Financial Inc. 2,401 51,021
Klamath First Bancorp Inc. 365 4,283
Lakeland Financial Corp. 313 3,599
Lamar Capital Corp. 400 3,275
Leeds Federal Bankshares Inc. 232 2,421
Lexington B & L Financial Corp. 400 3,850
Logansport Financial Corp. 400 3,925
LSB Bancshares Inc. 321 3,932
M&T Bank Corp. 451 202,950
MAF Bancorp Inc. 2,636 47,942
Mahaska Investment Co. 1,062 8,894
Main Street Bancorp Inc. 100 887
Marathon Financial Corp. 400 2,025
Marshall & Ilsley Corp. 6,645 275,767
Massbank Corp. 330 9,240
Medallion Financial Corp. 1,016 15,685
Medford Bancorp Inc. 321 4,534
Mercantile Bankshares Corp. 4,694 139,940
Merchants Bancshares Inc. 462 9,009
Merchants New York Bancorp Inc. 2,168 37,262
Merrill Merchants Bancshares Inc. 309 3,476
Metrocorp Bancshares Inc. 513 3,527
+Metropoitan Financial Corp. 1,200 5,700
MetroWest Bank 637 3,503
MFB Corp. 400 6,525
Mid Coast Bancorp 630 9,726
Mid Penn Bancorp Inc. 229 4,179
MidAmerica Bancorp 1,270 31,750
Midwest Banc Holdings Inc. 415 5,758
Mississippi Valley Bancshares Inc. 424 10,282
MNB Bancshares Inc. 420 3,360
Monterey Bay Bancorp Inc. 167 1,503
Montgomery Financial Corp. 200 1,700
National Bancorp of Alaska Inc. 2,076 74,476
+National Bancshares Corp. of Texas 188 2,561
National City Bancorp 326 4,727
</TABLE>
22
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
------------------------------------------------------------
National Commerce Bancorp. 7,015 $ 112,678
National Penn Bancshares Inc. 1,698 35,021
+Net.B@nk Inc. 2,478 30,820
North Central Bancshares Inc. 138 1,915
North Fork Bancorp. 10,208 154,396
Northeast Bancorp 716 5,728
Northeast Indiana Bancorp Inc. 440 5,060
Northern States Financial Corp. 464 8,816
Northway Financial Inc. 309 6,798
Northwest Bancorp Inc. 5,896 40,535
Norwood Financial Corp. 200 3,500
NS & L Bancorp 480 4,860
NSD Bancorp Inc. 554 8,310
Nutmeg Federal Savings & Loan 210 1,601
Oak Hill Financial Inc. 196 2,744
OceanFirst Financial Corp. 544 10,030
+Ocwen Financial Corp. 6,716 37,358
Ohio Valley Bancorp 326 8,476
Old National Bancorp. 4,066 119,185
Old Second Bancorp Inc. 224 4,746
Omega Financial Corp. 401 10,125
One Valley Bancorp Inc. 2,553 79,781
Oregon Trail Financial Corp. 200 2,225
Ottawa Financial Corp. 685 11,650
PAB Bankshares Inc. 471 4,887
Pacific Capital Bancorp 1,480 37,093
Pacific Century Financial Corp. 4,588 67,100
Pamrapo Bancorp Inc. 127 2,445
Park National Corp. 536 48,642
Parkvale Financial Corp. 633 10,919
Pathfinder Bancorp Inc. 400 2,600
Patriot Bank Corp. 228 1,582
Peekskill Financial Corp. 400 8,700
Pennfed Financial Services Inc. 339 4,788
+Pennsylvania Commerce Bancorp Inc. 267 6,008
Peoples Bancorp Inc. 255 3,570
Peoples Bancorp/Auburn 145 1,994
People's Bancshares Inc. 200 3,050
Peoples Banctrust Co. Inc. 689 7,923
People's Bank 4,591 84,360
Peoples Bank / Catawba NC 511 6,515
Peoples Financial Corp./OH 200 1,125
Peoples Holding Co. 215 4,300
Permanent Bancorp Inc. 200 4,000
PHS Bancorp Inc. 400 3,350
Pinnacle Bancshares Inc. 800 7,200
Pittsburgh Financial Corp. 400 3,300
Popular Inc. 8,268 157,609
Premier Financial Bancorp 234 1,521
Princeton National Bancorp 171 2,095
Progress Financial Corp. 246 3,044
Prosperity Bancshares Inc. 231 3,725
Provident Bankshares Corp. 2,560 34,560
Provident Financial Group Inc. 2,664 63,436
<CAPTION>
-------------------------------------------------------------
Shares Value
-------------------------------------------------------------
<S> <C> <C>
+Provident Financial Holdings Inc. 200 $ 2,787
PVF Capital Corp. 220 2,159
+Quad City Holdings Inc. 200 3,225
+Quaker City Bancorp Inc. 700 10,762
Queens County Bancorp Inc. 2,151 39,659
R&G Financial Corp. "B" 374 2,969
Redwood Empire Bancorp 151 2,718
Republic Bancorp Inc. 4,240 37,898
Republic Bancorp Inc. KY "A" 540 5,434
+Republic Bancshares Inc. 454 5,448
+Republic First Bancorp Inc. 248 1,147
Republic Security Financial Corp. 5,615 28,075
Resource Bankshares Corp. 200 1,725
Richmond County Financial Corp. 1,600 30,600
Riggs National Corp. 2,971 37,509
Riverview Bancorp 259 2,072
Roslyn Bancorp Inc. 4,952 82,250
Royal Bancshares of Pennsylvania "A" 812 13,601
S&T Bancorp Inc. 1,236 22,557
Santander Bancorp 3,770 48,067
Savannah Bancorp Inc. (The) 336 6,468
Seacoast Banking Corp. of Florida 184 4,968
Second Bancorp Inc. 573 8,702
+Security Capital Group "B" 3,373 57,341
Shoreline Financial Corp. 443 5,262
+Silicon Valley Bancshares 2,446 104,261
Simmons First National Corp. "A" 611 13,671
+Six Rivers National Bank 200 2,600
SJNB Financial Corp. 110 3,080
Sky Financial Group Inc. 5,586 89,025
SNB Bancshares Inc. 200 3,000
Sound Federal Bancorp 233 1,951
South Alabama Bancorp 840 8,505
South Financial Group Inc. (The) 4,373 63,404
Southside Bankshares Corp. 320 2,380
Southwest Bancorp Inc. 440 7,095
+Southwest Bancorp of Texas Inc. 1,438 29,838
Southwest Georgia Financial Corp. 134 2,119
Sovereign Bancorp Inc. 14,232 100,069
State Bancorp Inc. 814 10,281
State Financial Services Corp. "A" 371 3,548
StateFed Financial Corp. 200 1,850
Staten Island Bancorp Inc. 1,992 35,109
Sterling Bancorp-NY 318 5,009
Sterling Bancshares Inc./TX 2,095 22,652
Sterling Financial Corp. (PA) 796 15,771
+Sterling Financial Corp./ Spokane 360 4,140
Suffolk Bancorp 224 5,852
Summit Bancshares Inc. (Texas) 640 11,040
+Summit Financial Corp. 210 2,100
Sun Bancorp Inc. 252 3,528
+Sun Bancorp Inc. "B" 783 4,700
</TABLE>
23
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
----------------------------------------------------------------------------
Susquehanna Bancshares Inc. 1,704 $ 24,282
SY Bancorp Inc. 242 4,991
TCF Financial Corp. 5,587 143,516
Team Financial Inc. 300 2,437
Texas Regional Bancshares "A" 1,544 39,179
TF Financial Corp. 129 1,758
Thistle Group Holdings Co. 402 2,789
TIB Financial Corp. 300 3,094
Timberland Bancorp Inc. 267 2,887
Tompkins County Trustco Inc. 282 6,979
TriCo Bancshares 659 10,873
Troy Financial Corp. 700 6,912
Trust Company of New Jersey (The) 2,085 38,051
TrustCo Bank Corp. NY 4,496 56,200
Trustmark Corp. 4,956 86,420
Twin City Bancorp Inc. 400 6,025
UMB Financial Corp. 1,697 55,683
Union Bankshares Corp. 776 8,245
Union Community Bancorp 300 3,300
UnionBanCal Corporation 10,039 186,349
United Bancorp Inc./Ohio 131 1,310
United Bankshares Inc. 2,124 38,630
United National Bancorp./NJ 1,684 30,944
+United Security Bancorp 880 8,470
Unity Bancorp Inc. 300 1,162
USBancorp Inc.--PA 503 1,792
Vail Banks Inc. 359 3,410
Valley National Bancorp. 4,351 105,784
+VIB Corp. 1,346 8,076
Virginia Capital Bancshares Inc. 700 10,675
+Virginia Commerce Bancorp Inc. 484 6,413
Vista Bancorp Inc. 604 8,456
W Holding Co. Inc. 4,589 37,859
Warren Bancorp Inc. 354 2,522
Warwick Community Bancorp 243 2,886
Washington Federal Inc. 2,707 49,403
Webster Financial Corp. 2,568 56,977
WesBanco Inc. 2,035 49,349
Westamerica Bancorp 1,808 47,234
WestCorp Inc. 3,331 39,764
Westerfed Financial Corp. 206 2,974
Western Ohio Financial Corp. 96 1,488
WHG Bancshares Corp. 400 3,350
Whitney Holding Corp. 1,845 63,076
Wilmington Trust Corp. 1,796 76,779
Winton Financial Corp. 300 2,737
Wintrust Financial Corp. 300 4,631
WSFS Financial Corp. 437 4,561
WVS Financial Corp. 159 1,838
Yardville National Bancorp 822 8,734
York Financial Corp. 370 4,528
Zions Bancorp. 4,998 229,361
----------
10,207,480
----------
<CAPTION>
----------------------------------------------------------------------------
Shares Value
----------------------------------------------------------------------------
<S> <C> <C>
Beverages--0.44%
+Agribrands International Inc. 877 $ 36,779
Alico Inc. 759 12,049
AMCON Distributing Co. 220 1,169
+Beringer Wine Estates Holdings Inc. "B" 1,008 35,595
Bridgeford Food Corp. 1,119 13,428
+Bush Boake Allen Inc. 962 42,087
Cagle's Inc. "A" 614 4,605
+Canandaigua Brands Inc. "A" 899 45,343
+Chalone Wine Group Ltd. 1,120 8,960
Coca-Cola Bottling Co. 474 21,567
+Del Monte Foods Co. 2,596 17,685
Dreyer's Grand Ice Cream Inc. 1,221 25,641
Farmer Brothers Co. 86 15,050
+Fresh Del Monte Produce Inc. 2,629 18,074
+Gardenburger Inc. 319 1,794
+Geerlings & Wade Inc. 200 606
+Golden State Vintners Inc. "B" 229 945
+Green Mountain Coffee Inc. 1,200 20,925
+Holt's Cigar Holdings Inc. 2,346 13,343
+Horizon Organic Holding Corp. 954 10,136
+J & J Snack Foods Corp. 332 5,934
+M&F Worldwide Corp. 1,561 8,781
Maui Land & Pineapple Co. 321 7,263
+Midwest Grain Products, Inc. 1,057 8,786
Nash Finch Co. 418 3,448
+National Beverage Corp. 681 5,618
+Odwalla Inc. 100 712
Pepsi Bottling Group Inc. 9,800 286,037
+Performance Food Group Co. 862 27,584
Pilgrim's Pride Corp. "B" 1,234 8,792
+Ralcorp Holdings Inc. 2,028 24,843
Riviana Foods Inc. 667 11,631
+Robert Mondavi Corp. (The) "A" 762 23,384
Sanderson Farms Inc. 1,029 8,232
Seaboard Corp. 166 28,552
+Seneca Foods Corp. "A" 400 4,650
+Smart & Final Inc. 2,130 16,374
+Smithfield Foods Inc. 3,479 97,629
+SonomaWest Holdings Inc. 400 2,450
+Suprema Specialties Inc. 400 3,750
+Sylvan Inc. 985 9,111
Tasty Baking Company 988 12,659
+United Natural Foods Inc. 1,913 26,304
Whitman Corp. 9,213 114,011
+WLR Foods Inc. 1,405 6,498
---------
1,098,814
---------
Biotechnology--2.22%
+ACLARA BioSciences Inc. 1,940 98,819
+Affymetrix Inc. 1,627 268,658
+Ariad Pharmaceuticals Inc. 1,900 25,294
+Avant Immunotherapeutics Inc. 2,900 30,631
</TABLE>
24
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
---------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------------
+Chiron Corp. 11,693 $ 555,417
+Diversa Corp. 1,787 59,194
+Exelixis Inc. 1,613 53,834
+Gene Logic Inc. 1,500 53,531
+Genentech Inc. 5,300 911,600
+Genzyme General Division 5,009 297,722
+IDEC Pharmaceuticals Corp. 2,688 315,336
+Immunex Corp. 31,368 1,550,755
+LJL Biosystems Inc. 900 17,437
+Maxygen Inc. 1,762 100,021
+Millennium Pharmaceuticals Inc. 5,846 654,021
+Nanogen Inc. 1,700 72,144
+Nexell Therapeutics Inc. 1,425 21,197
+PE Corp. (Celera Genomics Group) 3,600 336,600
+Sequenom Inc. 1,287 58,398
+Targeted Genetics Corp. 2,200 32,725
+Xoma Ltd. 5,334 22,836
----------
5,536,170
----------
Building Materials--0.49%
AMCOL International Corp. 1,498 24,717
+American Standard Companies Inc. 4,345 178,145
Andersons Inc. 1,001 9,509
+Barnett Inc. 1,597 16,369
+CapRock Communications Corp. 2,194 42,783
CARBO Ceramics Inc. 838 29,435
Centex Construction Products Inc. 909 20,623
Chemed Corp. 1,162 32,754
+Comfort Systems USA Inc. 4,359 17,436
+Continental Materials Corp. 100 1,675
+Dal-Tile International Inc. 2,596 21,417
Elcor Corp. 970 22,310
Florida Rock Industries Inc. 945 33,666
+Integrated Electrical Services Inc. 3,692 18,922
+International Smart Sourcing Inc. 200 1,475
Johns Manville Corp. 10,295 135,765
Lafarge Corp. 4,701 98,721
Martin Marietta Materials Inc. 3,183 128,713
Modine Manufacturing Co. 1,524 41,148
Noland Co. 136 2,312
+Plymouth Rubber Co. Inc. "A" 400 1,950
Puerto Rican Cement Co. Inc. 198 5,507
Rayonier Inc. 1,646 59,050
+Rock of Ages Corp. 174 859
Southdown Inc. 2,122 122,545
+Swiss Army Brands Inc. 353 1,809
United States Lime & Minerals Inc. 600 4,125
USG Corp. 3,423 103,974
+Wickes Inc. 500 2,969
Wolohan Lumber Co. 262 2,685
York International Corp. 1,992 52,041
----------
1,235,409
----------
<CAPTION>
----------------------------------------------------------------------
Shares Value
----------------------------------------------------------------------
<S> <C> <C>
Chemicals--1.09%
Aceto Corp. 299 $ 3,289
+Advanced Technical Products Inc. 200 762
+AEP Industries Inc. 445 11,236
+Airgas Inc. 3,751 21,334
Albemarle Corp. 2,402 47,439
+American Pacific Corp. 367 2,064
American Vanguard Corp. 220 1,787
+Applied Extrusion Tech Inc. 496 2,604
Arch Chemicals Inc. 2,100 45,937
+Atlantis Plastics Inc. "A" 600 3,675
Balchem Corp. "B" 200 2,250
Brady Corp. "A" 1,407 45,727
+Brunswick Technologies Inc. 1,700 14,291
Cabot Corp. 4,577 124,723
+Cabot Microelectronics Corp. 1,267 57,965
Cambrex Corp. 4,790 215,550
+CFC International Inc. 800 6,200
Chase Corp. 100 1,050
ChemFirst Inc. 2,141 51,652
Church & Dwight Co. Inc. 2,224 40,032
CPAC Inc. 303 2,272
Crompton Corp. 6,906 84,598
+Cytec Industries Inc. 3,235 79,864
+Detrex Corp. 200 750
Dexter Corp. (The) 1,241 59,568
Ferro Corp. 1,885 39,585
Flamemaster Corp. (The) 200 1,475
+Foamex International Inc. 2,122 12,865
Fuller (H. B.) Co. 725 33,033
Gentek Inc. 933 10,438
Geon Co. 1,245 23,032
Georgia Gulf Corp. 1,579 32,863
Hanna (M.A.) Co. 2,418 21,762
Hawkins Chemical Inc. 418 3,292
+Home Products International Inc. 456 1,767
IMC Global Inc. 7,815 101,595
+International Specialty Products Inc. 3,376 19,201
+JLM Industries Inc. 2,200 7,700
Lilly Industries Inc. "B" 3,138 94,336
Lubrizol Corp. 3,866 81,186
Lyondell Chemical Co. 7,042 117,953
MacDermid Inc. 1,924 45,214
+McWhorter Technologies Inc. 381 7,406
Millennium Chemicals Inc. 3,774 64,158
Minerals Technologies Inc. 1,185 54,510
Mississippi Chemical Corp. 2,577 12,241
Myers Industries Inc. 2,700 29,025
+Nanophase Technologies Corp. 900 9,394
NL Industries Inc. 2,732 41,663
Northern Technologies International Corp. 100 625
Olin Corp. 2,793 46,084
OM Group Inc. 1,260 55,440
Omnova Solutions Inc. 2,357 14,731
Penford Corp. 771 16,576
Raven Industries Inc. 210 2,940
RPM Inc. 6,047 61,226
Schulman Inc. "A" 1,588 19,155
+Scotts Co. (The) "A" 2,635 96,177
</TABLE>
25
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------
Solutia Inc. 7,227 $ 99,371
Spartech Corp. 1,702 45,954
+Spinnaker Industries Inc. 168 1,512
+Spinnaker Industries Inc. "A" 159 1,570
+Surmodics Inc. 324 8,424
+Syntroleum Corp. 1,592 27,263
+Triple S Plastics Inc. 200 4,850
Tuscarora Inc. 350 5,469
+U.S. Plastic Lumber Co. 1,954 8,610
+Uniroyal Technology Corp. 2,720 30,090
Valhi Inc. 6,622 68,703
Valspar Corp. 3,055 103,106
+Vertex Pharmaceuticals Inc. 1,633 172,077
Vulcan International Corp. 200 6,600
Wellman Inc. 1,400 22,663
West Pharmaceutical Services Inc. 771 16,673
----------
2,728,202
----------
Coal--0.02%
CONSOL Energy Inc. 4,000 60,500
----------
60,500
----------
Commercial Services--3.79%
Aaron Rents Inc. "A" 1,271 19,859
+Ablest Inc. 800 4,200
ABM Industries Inc. 1,456 33,488
+ACMAT Corp. "A" 300 2,400
+ACNielsen Corp. 3,255 71,610
+Administaff Inc. 835 53,022
+ADVO Inc. 1,402 58,884
+AHL Services Inc. 930 5,696
+Ambassadors International Inc. 965 15,199
+Amtran Inc. 737 9,166
Angelica Corp. 322 2,576
+AnswerThink Consulting Group Inc. 2,281 37,922
+Apollo Group Inc. 4,463 124,964
+Applied Anlytical Industries Inc. 1,732 16,616
+Applied Graphics Technologies Inc. 2,725 11,581
+Arch Capital Group Ltd. 2,263 33,804
+ASI Solutions Inc. 5,400 45,225
+@plan Inc. 700 4,594
+Atrix Laboratories Inc. 1,316 12,337
+Aurora Biosciences Corp. 1,226 83,598
+AXENT Technologies Inc. 3,116 77,316
+Barrett Business Services Inc. 1,000 5,906
+Barringer Technologies Inc. 640 4,400
+Berlitz International Inc. 351 3,159
+Bestway Inc. 1,400 8,400
+Billing Concepts Corp. 3,028 13,437
+Bioreliance Corp. 1,449 7,064
+Bio-Technology General Corp. 2,779 36,648
+Blount International Inc. 3,065 23,564
+Blue Rhino Corp. 1,881 15,166
Bowne & Co. Inc. 3,746 37,694
+Breakaway Solutions Inc. 2,000 54,000
+Bright Horizons Family Solutions Inc. 1,019 21,781
<CAPTION>
---------------------------------------------------------------
Shares Value
---------------------------------------------------------------
<S> <C> <C>
+Burns International Services Corp. 1,052 $ 13,150
+Business Resource Group 400 2,550
+Butler International Inc. 900 7,650
Cadmus Communications Corp. 890 8,677
+Capital Senior Living Corp. 727 2,136
+Caremark Rx Inc. 12,304 83,821
+Catalytica Inc. 3,661 40,271
+CDI Corp. 1,362 27,751
+Celgene Corp. 4,215 248,158
Central Parking Corp. 2,522 59,740
+Cephalon Inc. 1,759 105,320
+Cerner Corp. 1,867 50,876
+Charles River Associates Inc. 372 6,557
+Childtime Learning Centers Inc. 700 4,637
+Circle.com 1,621 5,977
+Collateral Therapeutics Inc. 887 22,494
+COMARCO Inc. 197 6,402
Comdisco Inc. 9,600 214,200
+Concepts Direct Inc. 200 1,987
+Concord EFS Inc. 13,226 343,876
+Conrad Industries Inc. 300 1,950
+Consolidated Graphics Inc. 726 6,806
+COR Therapeutics Inc. 1,596 136,159
+Corinthian Colleges Inc. 600 14,062
+Cornell Corrections Inc. 1,327 10,616
+Corporate Executive Board Co. (The) 700 41,912
+Correctional Services Corp. 1,387 5,461
+CSS Industries Inc. 480 9,810
+Cubist Pharmaceuticals Inc. 1,544 76,042
+CuraGen Corp. 2,300 87,544
+CV Therapeutics Inc. 1,000 69,312
+DeVry Inc. 4,001 105,776
+Diamond Technology Partners Inc. 1,163 102,344
+Digital Courier Tech Inc. 3,497 22,293
+Earl Scheib Inc. 1,000 3,125
+eBenx Inc. 1,510 31,993
+Edison Schools Inc. 1,900 44,056
+Education Management Corp. 2,005 36,215
+Emergent Information Technologies Inc. 739 1,570
+Emisphere Technologies Inc. 1,405 59,866
+Encompass Service Corp. 4,456 25,622
+EntreMed Inc. 778 23,291
+Exponent Inc. 300 2,512
+First Consulting Group Inc. 2,194 12,204
+First Health Group Corp. 3,121 102,408
+Franklin Covey Co. 1,025 7,111
+FTI Consulting Inc. 600 6,300
+FYI Inc. 1,606 54,102
G & K Services Inc. "A" 2,016 50,526
+Gaiam Inc. 300 5,550
+Gartner Group Inc. "B" 5,300 52,337
+Genome Therapeutics Corp. 1,320 40,177
+Gilman & Ciocia Inc. 935 4,324
+Griffin Land & Nurseries Inc. 800 9,300
+GTS Duratek Inc. 630 5,355
+Harris Interactive Inc. 5,460 26,447
+Health Risk Management Inc. 100 625
</TABLE>
26
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
--------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
--------------------------------------------------------------------------
+Healthcare Services Group Inc. 1,214 $ 5,463
+Heidrick & Struggles International Inc. 1,000 63,125
Hertz Corp. 2,720 76,330
+HotJobs.com Ltd. 4,100 56,631
+ICOS Corp. 3,016 132,704
+ICT Group Inc. 600 5,737
+Incyte Pharmaceuticals Inc. 1,641 134,870
+Interim Services Inc. 3,724 66,101
+Iron Mountain Inc. 3,747 127,398
+Isis Pharmaceuticals Inc. 3,908 56,666
+ITT Educational Services Inc. 2,308 40,534
+Jupiter Communications Inc. 900 20,700
+Kaneb Services Inc. 2,200 8,800
Kelly Services Inc. "A" 1,746 40,376
+Kendle International Inc. 1,203 9,474
+kForce.com Inc. 4,998 34,674
+Korn/Ferry International 1,900 60,206
+Labor Ready Inc. 4,971 32,930
Landauer Inc. 817 12,715
+Learning Tree International Inc. 1,211 74,174
+LendingTree Inc. 366 2,745
+Loislaw.com Inc. 1,200 10,275
+Luminant Worldwide Corp. 4,100 36,644
+Mail-Well Inc. 3,484 30,050
+Management Network Group Inc. (The) 1,800 63,000
Manpower Inc. 4,742 151,744
+Maxim Pharmaceuticals Inc. 1,165 59,852
+MAXIMUS Inc. 1,304 28,851
+MedQuist Inc. 640 21,752
+Michael Baker Corp. 400 2,600
Midas Inc. 1,555 31,100
+Modis Professional Services Inc. 5,602 49,718
+Monro Muffler Brake Inc. 1,100 10,106
+Moore Medical Corp. 800 4,800
+MPW Industrial Services Group Inc. 1,095 8,486
+Myriad Genetics Inc. 946 140,082
+N2H2 Inc. 1,700 8,500
+National Equipment Services Inc. 2,779 16,674
+National Research Corp. 2,500 12,812
+NationsRent Inc. 4,184 15,952
+Navigant Consulting Co. 4,627 19,665
+Neff Corp. 692 2,638
+NetRatings Inc. 2,328 59,655
+Neurogen Corp. 1,733 50,040
New England Business Service Inc. 643 10,449
+Newgen Results Corp. 800 13,200
+NOVA Corporation 4,323 120,774
+Ogden Corp. 2,497 22,473
+On Assignment Inc. 1,578 48,129
+Opinion Research Corp. 200 1,325
+Optika Inc. 2,200 13,200
+Organic Inc. 5,436 53,001
+Organogenesis Inc. 3,420 39,116
+OrthAlliance Inc. "A" 1,581 9,486
+Pegasus Systems Inc. 2,005 21,804
<CAPTION>
--------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------
<S> <C> <C>
+Personnel Group of America Inc. 1,468 $ 4,312
+PFSweb Inc. 900 4,219
+Pharmaceutical Product Development Inc. 1,544 32,424
+Pharmacopeia Inc. 1,100 51,012
+Possis Medical Inc. 1,556 9,749
+Predictive Systems Inc. 1,200 43,125
+Pre-Paid Legal Services Inc. 1,350 40,331
+Profit Recovery Group International Inc. (The) 3,046 50,640
+Prosoft I-Net Solutions Inc. 1,472 24,748
+Quest Education Corp. 365 6,593
+Questron Technology Inc. 300 1,612
+Rainbow Rentals Inc. 1,065 11,981
+RCM Technologies Inc. 486 3,584
+Regeneron Pharmaceuticals Inc. 2,143 63,888
Regis Corp. 2,499 31,237
+Remedy Temp Inc. 760 9,310
+Rent-A-Center Inc. 1,817 40,882
+Rent-Way Inc. 1,445 42,176
+Res-Care Inc. 2,444 13,137
+Richton International Corp. 800 15,900
+Right Management Consultants Inc. 800 8,400
+Robert Half International Inc. 10,586 301,701
Rollins Inc. 3,166 47,094
+SCB Computer Technology Inc. 2,410 5,121
+SCP Pool Corp. 1,844 43,322
+Security Associates International Inc. 3,200 10,800
Servicemaster Co. 18,725 212,997
Sodexho Marriott Services Inc. 6,179 107,360
Sotheby's Holdings Inc. 3,445 60,287
+Source Information Management Co. 1,130 17,232
+Staff Leasing Inc. 1,928 6,868
+Staffmark Inc. 2,496 16,692
Stewart Enterprises Inc. "A" 5,516 19,478
Strayer Education Inc. 1,102 26,448
+Student Advantage Inc. 3,600 26,325
+STV Group Inc. 200 1,350
+Summa Industries 300 3,562
+Sylvan Learning Systems Inc. 3,073 42,254
+Sypris Solutions Inc. 422 4,325
+TEAM America Corp. 2,100 9,187
+Technisource Inc. 1,883 7,297
Tejon Ranch Co. 768 17,328
+Teletech Holdings Inc. 4,095 127,201
+Tetra Tech Inc. 2,197 50,256
+Thomas Group Inc. 1,000 8,312
+TIBCO Software Inc. 11,800 1,265,366
+Transkaryotic Therapies Inc. 1,255 46,121
+Trimeris Inc. 773 54,062
+TRM Copy Centers Corp. 316 1,698
+Tyler Technologies Inc. 3,772 9,666
UniFirst Corp. 379 2,985
+United Rentals Inc. 3,960 67,815
+United Shipping and Technology Inc. 1,000 8,000
+US Oncology Inc. 4,023 20,115
</TABLE>
27
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
---------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------------
+US-China Industrial Exchange Inc. 600 $ 6,000
+Valassis Communications Inc. 3,860 147,163
Viad Corp. 6,247 170,231
+Volt Information Sciences Inc. 967 31,851
Westaff Inc. 1,884 8,360
+Wireless Facilities Inc. 2,500 127,344
+Workflow Management Inc. 1,193 14,167
+World Access Inc. 2,590 28,652
World Fuel Services Corp. 455 3,924
----------
9,452,492
----------
Computer Systems--0.02%
+MyPoints.com Inc. 3,100 58,755
----------
Computers--12.35%
+About.com Inc. 1,600 50,400
+Accrue Software Inc. 1,500 53,250
+ACE*COMM Corp. 2,200 11,687
+Active Software Inc. 1,500 116,531
+Activision Inc. 1,715 11,147
+Actuate Software Corp. 1,432 76,433
+adam.com Inc. 300 1,200
+Adept Technology Inc. 381 17,812
+Advanced Digital Information Corp. 3,240 51,637
+Advantage Learning Systems Inc. 3,512 53,997
+Advent Software Inc. 1,694 109,263
+Aether Systems Inc. 2,400 492,000
+Affiliated Computer Services Inc. 3,334 110,230
+AGENCY.COM Ltd. 4,062 72,354
+Agile Software Corp. 2,600 183,787
+Allaire Corp. 1,400 51,450
+Alloy Online Inc. 1,200 13,500
+Alpha Microsystems 800 3,975
+AlphaNet Solutions Inc. 800 3,350
+Alteon Websystems Inc. 2,700 270,169
+Alysis Technologies Inc. 600 1,894
+American Software Inc. "A" 3,900 19,987
+Anixter International Inc. 1,873 49,634
+Ansoft Corp. 617 6,170
+ANSYS Inc. 604 6,870
+Apex Inc. 1,107 48,431
+Applied Computer Technology Inc. 5,700 285
+AppliedTheory Corp. 2,100 31,500
+Applix Inc. 458 3,549
+AppNet Systems Inc. 1,800 64,800
+AremisSoft Corp. 1,900 59,137
+ARIS Corp. 1,511 4,155
+Art Technology Group Inc. 4,000 403,750
+Artificial Life Inc. 841 16,347
+Ashton Technology Group Inc. (The) 3,000 8,531
+Ask Jeeves Inc. 2,200 39,737
+Aspen Technology Inc. 1,306 50,281
+Aspeon Inc. 761 3,710
+Audible Inc. 1,700 7,066
+Auspex Systems Inc. 4,648 22,949
Avert Inc. 200 4,575
+AVT Corp. 1,718 12,670
<CAPTION>
---------------------------------------------------------------------
Shares Value
---------------------------------------------------------------------
<S> <C> <C>
+BARRA Inc. 1,421 $ 70,428
+Be Free Inc. 3,000 27,000
+Be Inc. 4,400 22,000
+Bell & Howell Co. 1,340 32,495
+BindView Development Corp. 5,520 66,240
+Bisys Group Inc. 1,991 122,446
+Black Box Corp. 1,071 84,793
+Bluestone Software Inc. 2,200 56,512
+Boca Research Inc. 2,600 13,650
+Bottomline Technologies Inc. 900 30,769
+Boundless Corp. 1,500 8,250
+Braun Consulting Inc. 1,100 23,237
+BrightStar Information Technology Group Inc. 1,046 3,073
+Brio Technology Inc. 1,547 32,777
+Broadbase Software Inc. 2,800 85,750
+Brocade Communications System Inc. 6,800 1,247,694
+Brooktrout Technology Inc. 1,198 26,131
+BSQUARE Corp. 1,800 40,387
+BTG Inc. 393 3,193
+CacheFlow Inc. 2,320 142,825
+CAIS Internet Inc. 1,300 18,281
+Calico Commerce Inc. 1,824 29,640
+Cambridge Technology Partners Inc. 3,320 28,946
+Carreker-Antinori Inc. 913 8,217
+Casino Data Systems 1,000 6,406
+Catalyst International Inc. 2,159 17,812
+C-bridge Internet Solutions Inc. 1,351 23,474
+CCC Information Services Group Inc. 1,564 16,618
+CDnow Inc. 1,424 4,405
+Cellular Technical Services Co. Inc. 1,600 13,000
+CenterSpan Communications Corp. 596 11,175
+Centura Software Corp. 4,400 24,200
+Checkfree Holdings Corp. 3,581 184,645
+Ciber Inc. 3,099 41,062
+Ciprico Inc. 218 2,016
+Cisco Systems Inc. 1 61
+Clarent Corp. 1,800 128,700
+Clarus Corp. 1,000 38,875
+ClickAction Inc. 724 11,584
+Cognizant Technology Solutions Corp. 558 18,519
+Commerce One Inc. 9,500 431,211
+Complete Business Solutions Inc. 1,755 30,822
+Computer Network Technology Corp. 1,415 24,586
+Concur Technologies Inc. 2,236 9,363
+Concurrent Computer Corp. 2,766 36,304
+Cotelligent Inc. 2,307 13,121
+Credit Management Solutions Inc. 2,500 14,922
+Critical Path Inc. 3,489 203,452
+Crossroads Systems Inc. 1,500 37,875
+CyberCash Inc. 4,579 21,750
+CyberSource Corp. 2,800 38,675
+Cybex Computer Products Corp. 1,040 44,720
</TABLE>
28
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
----------------------------------------------------------------
+Cylink Corp. 2,873 $ 48,123
+Cysive Inc. 1,400 33,425
+Daisytek International Corp. 2,166 20,442
+Daleen Technologies Inc. 1,700 26,244
+Data Broadcasting Corp. 2,742 17,309
Data Research Associates Inc. 200 1,572
+Data Return Corp. 2,000 58,000
+Data Translation Inc. 2,700 11,981
+Datalink Corp. 800 11,950
+Dataram Corp. 650 18,687
+Datatec Systems Inc. 3,783 21,279
+Deltek Systems Inc. 2,199 12,988
+Dendrite International Inc. 1,959 65,259
Diebold Inc. 3,677 102,496
+Digex Inc. 1,600 108,700
+Digital River Inc. 2,838 21,817
+Digitas Inc. 3,595 58,643
+DocuCorp International 898 3,367
+Documentum Inc. 844 75,433
+Dot Hill Systems Corp. 2,640 29,040
+DSET Corporation 559 16,980
+DSP Group Inc. 1,292 72,352
+DST Systems Inc. 4,040 307,545
+E.piphany Inc. 1,900 203,656
+ebix.com Inc. 430 2,190
+Echelon Corp. 2,298 133,140
+Eclipsys Corp. 2,593 19,447
+eGain Communications Corp. 3,952 47,912
+Elcom International Inc. 1,621 11,144
+Electro Rent Corp. 1,401 17,162
+Electronics For Imaging Inc. 3,278 82,974
+Elite Information Group Inc. 2,800 19,425
+eLoyalty Corp. 2,625 33,469
+Emulex Corp. 2,104 138,206
+Engage Technologies Inc. 6,600 85,387
+Entrade Inc. 1,200 8,475
+Entrust Technologies Inc. 3,500 289,625
+ePlus Inc. 634 16,761
+Equinox Systems Inc. 237 1,422
+ESPS Inc. 900 3,487
+EuroWeb International Corp. 1,300 3,656
+Evolving Systems Inc. 3,419 20,087
+Exabyte Corp. 2,231 10,039
+Excalibur Technologies Corp. 1,704 68,053
+Exchange Applications Inc. 1,344 35,784
+Extended Systems Inc. 600 57,600
+Extreme Networks Inc. 3,400 358,700
+F5 Networks Inc. 1,300 70,931
FactSet Research Systems Inc. 1,554 43,900
Fair Isaac and Co. Inc. 824 36,256
+FileNET Corp. 1,673 30,741
+5B Technologies Corp. 600 1,950
+Foundry Networks Inc. 7,300 806,650
+4Front Software International 590 7,080
+Fourth Shift Corp. 448 1,344
+Frontline Capital Group Inc. 1,500 31,969
+FVC.COM Inc. 1,201 9,308
+Gadzoox Networks Inc. 1,400 19,162
+GateField Corp. 190 965
<CAPTION>
----------------------------------------------------------------
Shares Value
----------------------------------------------------------------
<S> <C> <C>
General Binding Corp. 1,695 $ 11,335
+General Magic Inc. 4,230 34,633
+Gensym Corp. 400 1,450
Gerber Scientific Inc. 2,416 27,784
+Global Intellicom Inc. 8,100 364
+Global Payment Tech Inc. 240 1,620
+Go2Net Inc. 2,234 112,398
+GoTo.com Inc. 3,000 45,937
+Great Plains Software Inc. 819 16,073
+Group 1 Software Inc. 300 5,175
+GSE Systems Inc. 200 925
+Hall Kinion & Associates Inc. 825 27,483
+Health Management Systems Inc. 642 2,006
+HMG Worldwide Corp. 700 3,150
+HNC Software Inc. 1,454 89,784
+Hollywood.com Inc. 1,389 10,765
+Hypercom Corp. 3,574 51,376
+Hyperion Solutions Corp. 1,943 63,026
+IDT Corp. 1,339 45,442
+IDX Systems Corp. 1,585 22,388
+iGate Capital Corp. 2,794 38,417
+IKOS Systems Inc. 2,200 23,787
+iManage Inc. 3,600 35,775
+Immersion Corp. 1,000 30,000
+IMRglobal Corp. 3,904 50,996
+Industri Matematik International Corp. 2,280 12,255
+InfoCure Corp. 3,692 20,767
+Infocus Corp. 1,318 42,423
+Infonautics Inc. "A" 1,500 6,562
+Informatica Corp. 1,800 147,487
+Information Architects Corp. 2,444 16,955
+Inforte Corp. 1,494 53,784
+infoUSA Inc. 3,416 22,204
+Innodata Corp. 600 5,625
+Inprise Corp. 3,368 20,629
+INSCI Corp. 300 994
+Inso Corp. 869 4,508
+Integral Systems Inc. 862 14,438
+Integrated Measurement Systems 332 5,229
+Intelligroup Inc. 1,067 12,804
+InterCept Group Inc. (The) 1,200 20,400
+Intergraph Corp. 3,688 27,890
+Interliant Inc. 2,500 58,281
+Internap Network Services Corp. 8,400 348,731
+internet.com LLC 2,900 57,094
+Intersil Holding Corp. 2,093 113,153
+Intertrust Technologies Corp. 4,700 96,644
+InterWorld Corp. 1,800 36,900
+Interwoven Inc. 1,400 153,978
+Intranet Solutions Inc. 2,222 85,269
+Intraware Inc. 3,000 48,187
+Intrusion.com Inc. 1,128 12,760
+ION Networks Inc. 800 2,450
+ISS Group Inc. 2,624 259,079
+ITXC Corp. 2,500 88,516
+iXL Enterprises Inc. 4,300 62,350
Jack Henry & Associates Inc. 2,506 125,613
+Juniper Networks Inc. 19,300 2,809,356
+Juno Online Services Inc. 2,700 29,025
+Kana Communications Inc. 5,460 337,837
</TABLE>
29
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
--------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
--------------------------------------------------------------
+Keynote Systems Inc. 1,600 $ 112,900
+Kronos Inc. 1,255 32,630
+Landmark Systems Corp. 430 2,580
+Larscom Inc. "A" 1,900 10,569
+Launch Media Inc. 4,500 41,625
+Level 8 Systems Inc. 597 12,574
+Liberate Technologies Inc. 5,300 155,356
+Log On America Inc. 600 3,262
+Logility Inc. 1,502 5,773
+LookSmart Ltd. 5,000 92,500
+Made2Manage Systems Inc. 200 1,125
+Mail.com Inc. 4,663 26,521
+Manhattan Associates Inc. 2,261 56,525
+MapInfo Corp. 615 24,984
+MarchFirst Inc. 9,195 167,809
+Marimba Inc. 1,600 22,300
+Maxtor Corp. 6,200 65,487
+McAfee.com Corp. 2,100 54,731
+MCSi Inc. 1,114 28,825
+Mechanical Dynamics Inc. 1,800 9,169
+Media 100 Inc. 860 22,145
+Media Metrix Inc. 1,900 48,331
+Mentor Graphics Corp. 3,740 74,333
+META Group Inc. 827 15,920
+MetaCreations Corp. 1,681 20,172
+Metasolv Software Inc. 1,860 81,840
+Micromuse Inc. 2,196 363,404
+Micron Electronics Inc. 5,297 66,212
+MICROS Systems Inc. 921 17,096
+Micros-To-Mainframes Inc. 200 1,150
+Microstrategy Inc. 2,160 64,800
+Microtouch Systems Inc. 374 3,226
+Microwave Power Devices Inc. 3,382 17,755
+Mitek Systems Inc. 500 2,875
+Mobius Management Systems Inc. 1,756 8,012
+MSC.Software Corp. 613 5,709
+MTI Technology Corp. 3,350 26,800
+Multex.com Inc. 1,714 43,171
+Muse Technologies Inc. 453 1,359
+MyTurn.com Inc. 1,500 26,906
National Computer System Inc. 1,696 83,528
+National Information Consortium Inc. 3,000 34,125
+National Instruments Corp. 3,009 131,268
+National Techteam Inc. 503 1,776
+Navidec Inc. 4,300 38,162
+NaviSite Inc. 3,400 142,162
+Neotopia Inc. 838 33,729
+Net Perceptions Inc. 1,800 28,575
+NetCreations Inc. 1,900 87,044
+Netegrity Inc. 1,120 84,350
+NetIQ Corp. 1,847 110,127
+NetObjects Inc. 3,900 35,587
+Netrix Corp. 2,600 32,012
+NetScout Systems Inc. 1,400 18,025
+Netsmart Technologies Inc. 1,300 6,744
+NetSolve Inc. 1,700 44,200
+NetSpeak Corp. 1,563 15,435
+Network Peripherals Inc. 953 15,963
+Network Six Inc. 400 1,275
+Novadigm Inc. 1,145 22,614
<CAPTION>
--------------------------------------------------------------
Shares Value
--------------------------------------------------------------
<S> <C> <C>
+NVIDIA Corp. 3,800 $ 241,537
+NYFIX Inc. 1,183 49,612
+Odetics Inc. "A" 835 12,107
+On2.com Inc. 2,100 10,762
+OneSource Information Services Inc. 1,000 7,500
+ONI Systems 447 52,390
+Ontrack Data Intenational Inc. 1,800 14,062
+ONYX Software Corp. 2,000 59,375
+Open Market Inc. 2,366 32,680
+Overland Data Inc. 451 6,258
+Packeteer Inc. 1,400 40,775
+pcOrder.com Inc. 4,200 32,550
+PC-Tel Inc. 900 34,200
+Perot Systems Corp. "A" 5,611 61,721
+Persistence Software Inc. 1,800 32,625
+Phoenix Technologies Ltd. 1,569 25,594
+Pilot Network Services 1,213 18,043
+Pivotal Corp. 1,200 28,200
+Portal Software Inc. 10,100 645,137
+Preview Systems Inc. 2,313 30,069
+PRI Automation Inc. 1,292 84,485
+Primark Corp. 1,950 72,637
+Primus Knowledge Solutions Inc. 1,700 76,500
+Printronix Inc. 252 3,307
+ProBusiness Services Inc. 1,516 40,269
+Procom Technology Inc. 999 51,636
+Progress Software Corp. 1,928 34,583
+Project Software & Development Inc. 1,138 20,484
+Proxicom Inc. 3,000 143,625
+Puma Technology Inc. 2,634 70,624
+QAD Inc. 2,989 11,209
+QRS Corp. 771 18,938
+Quantum DLT & Storage Group 9,060 87,769
+Quantum Hard Disk Drive Group 4,496 49,737
+Quest Software Inc. 5,300 293,487
+Quintus Corp. 4,935 98,006
+Quokka Sports Inc. 2,700 21,684
+Radiant Systems Inc. 1,338 32,112
+Rainbow Technologies Inc. 832 40,456
+Ramp Networks Inc. 1,900 22,562
+RAVISENT Technologies Inc. 800 5,650
+Red Hat Inc. 9,600 259,800
+Redback Networks Inc. 9,200 1,637,600
+Retek Inc. 2,600 83,200
+Rimage Corp. 325 5,037
+Rogue Wave Software Inc. 468 2,281
+RSA Security Inc. 2,329 161,283
+S3 Inc. 4,229 62,378
+Safeguard Scientifics Inc. 6,839 219,275
+Saga Systems Inc. 1,653 20,559
+Sagent Technology Inc. 1,700 24,225
+Sanchez Computer Associates Inc. 1,162 27,597
+SanDisk Corp. 4,078 249,523
+Santa Cruz Operation Inc. (The) 1,867 11,902
+SBE Inc. 1,000 20,750
+Scient Corp. 4,600 202,975
+Scientific Learning Corp. 1,700 37,612
+SCM Microsystems Inc. 788 47,723
</TABLE>
30
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+Secure Computing Corp. 2,230 $ 41,952
+SEEC Inc. 2,300 10,062
SEI Investment Co. 3,594 143,086
+SERENA Software Inc. 2,100 95,353
+Sigma Designs Inc. 1,048 4,454
+SilverStream Software Inc. 1,100 63,525
+SmartDisk Corp. 1,100 30,250
+SmartServ Online Inc. 600 42,337
+Smith-Gardner & Associates Inc. 1,300 6,256
+Socket Communications Inc. 1,400 18,375
+Software Spectrum Inc. 199 3,445
+Software.com Inc. 2,700 350,662
+Sonic Foundry Inc. 1,000 20,000
+Sonic Solutions Inc. 1,100 4,194
+SonicWALL Inc. 1,600 140,900
+Source Media Inc. 965 3,770
+Spatial Technology Inc. 1,800 6,975
+SPEEDUS.COM Inc. 3,600 21,375
+Splash Technology Holdings 1,013 7,977
+SportsLine USA Inc. 3,055 52,126
+SPSS Inc. 733 21,349
+Spyglass Inc. 852 26,678
+SS&C Technologies Inc. 1,739 7,391
+StarBase Corp. 3,706 39,376
+StarMedia Network Inc. 4,100 77,387
+Storage Computer Corp. 2,300 18,687
+Storage Technology Corp. 5,666 61,972
+Stratasys Inc. 2,400 16,050
+Stratos Lightwave Inc. 4,058 113,117
+SunGard Data Systems Inc. 8,204 254,324
+Sunquest Information Systems Inc. 1,367 14,695
+SVI Holdings Inc. 3,111 15,944
+Sykes Enterprises Inc. 2,159 27,797
+Symix Systems Inc. 341 3,026
+Synopsys Inc. 4,188 144,748
+Syntel Inc. 4,408 44,080
+Systems & Computer Technology Corp. 1,623 32,460
+T/R Systems Inc. 1,232 7,854
+Take-Two Interactive Software Inc. 1,620 19,642
+Tanning Technology Corp. 2,200 42,350
+Technology Solutions Co. 3,925 24,286
+Teknowledge Corp. 700 4,156
+Telescan Inc. 1,795 13,126
+Telxon Corp. 1,794 32,068
+TenFold Corp. 2,000 32,875
+THQ Inc. 1,707 20,804
+3D Systems Corp. 517 9,823
+3DO Co. (The) 2,056 16,127
+Tidel Technologies Inc. 1,200 11,925
+Tier Technologies Inc. "B" 384 2,016
Timberline Software Corp. 461 3,371
+TransAct Technologies Inc. 300 3,262
+Transaction Systems Architects Inc. "A" 1,848 31,647
+Tricord Systems Inc. 2,200 39,737
+Troy Group Inc. 900 13,387
+TSR Inc. 268 1,474
+Tumbleweed Communications Corp. 1,604 81,603
<CAPTION>
-----------------------------------------------------------------
Shares Value
-----------------------------------------------------------------
<S> <C> <C>
+Turnstone Systems Inc. 781 $ 129,390
+U.S. Interactive Inc. 1,000 12,937
+Ultimate Software Group Inc. 1,685 15,376
+Unify Corp. 1,024 8,768
+Unigraphics Solutions Inc. 223 4,348
+USDATA Corp. 1,700 15,087
+VA Linux Systems Inc. 3,372 144,996
Valmont Industries Inc. 2,324 46,189
+VeriSign Inc. 11,753 2,074,404
+Verity Inc. 1,668 63,384
+Versant Corp. 3,800 18,525
+Vertel Corp. 1,800 31,500
+Vialink Co. (The) 1,088 11,220
+Viant Corp. 3,000 88,875
+Visual Networks Inc. 1,496 42,636
+Vitech America Inc. 739 4,064
+Vitria Technology Inc. 8,200 501,225
+Voyager.net Inc. 2,000 16,000
+Walker Interactive Systems 1,028 3,726
+WatchGuard Technologies Inc. 1,300 71,419
+Wave Systems Corp. "A" 3,069 48,529
+Webb Interactive Services 3,172 40,641
+WebTrends Corp. 1,400 54,162
+Western Digital Corp. 7,371 36,855
+Women.com Networks Inc. 4,800 9,900
+Xircom Inc. 1,729 82,127
+Xpedior Inc. 3,388 46,797
+Xybernaut Corp. 2,165 24,221
+Zamba Corp. 2,800 15,400
+Zebra Technologies Corp. "A" 1,698 75,243
----------
30,807,713
----------
Cosmetics / Personal Care--0.20%
+Carson Inc. 2,200 9,900
Carter-Wallace Inc. 2,625 52,828
+Chattem Inc. 427 5,845
+Chromatics Color Sciences 968 4,719
Del Laboratories Inc. 344 4,171
Estee Lauder Companies Inc. "A" 7,778 384,525
+Inter Parfums Inc. 567 4,819
+Paragon Trade Brands Inc. 1 10
Quaker Chemical Corp. 324 5,629
Stepan Co. 663 15,415
Stephan Co. 211 949
+Sybron Chemicals Inc. 255 5,578
+USANA Inc. 1,581 4,842
----------
499,230
----------
Distribution / Wholesale--0.10%
+Handleman Co. 3,314 41,425
+Ingram Micro Inc. "A" 4,264 74,353
+Tech Data Corp. 2,874 125,199
----------
240,977
----------
Diversified Financial Services--2.10%
Advanta Corp. "A" 1,693 20,633
Advest Group Inc. 398 8,333
+Affiliated Managers Group Inc. 1,284 58,422
Allied Capital Corp. 3,439 58,463
American Capital Strategies 1,107 26,430
</TABLE>
31
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+American Home Mortgage Holdings Inc. 500 $ 2,281
+AmeriCredit Corp. 4,003 68,051
+Ameritrade Holding Corp. "A" 11,359 132,048
+Ampal-American Israel Corp. "A" 1,683 25,245
Amplicon Inc. 436 4,142
+Analytical Surveys Inc. 249 770
+Atalanta Sosnoff Capital Corp. 500 5,000
+BlackRock Inc. 600 17,400
+Boron, LePore & Associates Inc. 1,766 16,335
Capitol Federal Financial 5,200 57,525
+Central Financial Acceptance Corp. 300 1,219
CIT Group Inc. (The) 15,246 247,747
+CompuCredit Corp. 2,500 75,000
Dain Rauscher Corp. 756 49,896
+Digital Insight Corp. 1,189 40,426
Donaldson, Lufkin & Jenrette Inc. 7,892 334,917
+Donna Karan International Inc. 1,896 12,087
Doral Financial Corp. 4,208 48,129
+DVI Inc. 1,119 17,904
+E*trade Group Inc. 18,408 303,732
Eaton Vance Corp. 1,808 83,620
Edwards (A.G.) Inc. 5,712 222,768
+E-LOAN Inc. 4,300 20,425
+Equitex Inc. 439 3,100
+eSPEED Inc. "A" 600 26,062
+Factual Data Corp. 900 8,325
Federated Investors Inc. "B" 5,460 191,441
+Financial Federal Corp. 1,665 28,929
Finova Group Inc. 3,293 42,809
+First Cash Inc. 400 1,350
+Forrester Research Inc. 1,166 84,899
+Friedman Billings Ramsey Group Inc. "A" 2,255 18,322
+Gabelli Asset Management Inc. "A" 500 12,500
+Gallery of History Inc. 400 1,300
+GlobalNet Financial.com Inc. 1,700 35,700
Goldman Sachs Group Inc. (The) 4,238 402,080
+Greg Manning Auctions Inc. 400 4,400
+H.D. Vest Inc. 300 2,006
+Hallwood Group 600 4,650
Heller Financial Inc. 2,508 51,414
+Hoening Group 400 3,925
+HPSC Inc. 200 1,725
+Insurance Auto Auctions Inc. 517 10,922
+Investment Technology Group, Inc. 2,254 95,936
+JB Oxford Holdings Inc. 521 1,823
Jeffries Group Inc. 1,440 29,070
John Nuveen Co. "A" 1,702 71,378
+JWGenesis Financial Corp. 1,144 10,010
+Kent Financial Services Inc. 1,000 4,125
+Kinnard Investments Inc. 1,200 9,750
+Kirlin Holding Corp. 4,000 9,500
+Knight Trading Group Inc. 7,090 211,371
+Labranche & Co. Inc. 2,600 37,375
Legg Mason Inc. 3,797 189,850
+M.H. Meyerson & Co. Inc. 300 1,275
<CAPTION>
-----------------------------------------------------------------
Shares Value
-----------------------------------------------------------------
<S> <C> <C>
+MACC Private Equities Inc. 624 $ 6,123
+Marketing Services Group Inc. 1,500 6,656
+Matrix Bancorp Inc. 247 1,667
+Memberworks Inc. 898 30,195
Metris Companies Inc. 3,183 79,973
MicroFinancial Inc. 700 7,000
Morgan Keegan Inc. 1,444 21,299
+National Discounts Brokers Group Inc. 1,126 35,891
+National Processing Inc. 4,765 59,562
+NCO Group Inc. 1,360 31,450
+Netcentives Inc. 2,100 39,112
+Netzee Inc. 2,300 13,153
Neuberger Berman Inc. 2,900 134,850
+NextCard Inc. 2,700 22,950
+Norstan Inc. 492 1,968
+NZ Corporation 309 1,506
+Omega Worldwides Inc. 548 1,986
+Online Resources & Communications Corp. 700 4,506
+onlinetradingInc.com 900 4,612
+Paulson Capital Corp. 500 3,250
+Pegasystems Inc. 2,183 10,915
Phoenix Investment Partners 5,008 52,584
+Pioneer Group 1,655 70,131
PMC Capital Inc. 500 4,875
+Point West Capital Corp. 245 857
+Professional Detailing Inc. 878 29,907
Raymond James Financial Corp. 3,766 84,735
Resource America Inc. "A" 2,206 14,408
Resource Bancshares Mortgage Group Inc. 1,053 4,409
+RWD Technologies Inc. 1,550 9,009
+S1 Corp. 3,203 74,670
+SGV Bancorp Inc. 200 4,962
Siebert Financial Corp. 2,239 15,673
+SierraCities Inc. 1,924 7,215
+Sitel Corp. 4,768 23,840
+Softnet Systems 2,018 19,423
Source Capital Corp. 500 2,781
Southwest Securities Group Inc. 1,324 49,319
+Startek Inc. 789 39,746
Stifel Financial Corp. 300 3,150
Student Loan Corp. 1,094 45,948
+TD Waterhouse Group Inc. 2,400 41,550
Tucker Anthony Sutro 1,599 28,782
United Asset Management Corp. 2,938 68,676
Value Line Inc. 1,146 44,121
+Vestcom International Inc. 393 1,400
Virginia Commonwealth Finance 329 6,580
+Wackenhut Corp. 1,667 21,567
Waddell & Reed Financial Inc. "A" 4,455 146,180
+Waterside Capital Corp. 530 3,511
WFS Financial Inc. 2,248 38,778
+Wind River Systems Inc. 3,498 132,487
+Wit Soundview Group Inc. 4,800 51,525
Ziegler Companies Inc. (The) 107 1,672
----------
5,229,365
----------
</TABLE>
32
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Electric--1.98%
Allegheny Energy Inc. 6,678 $ 182,810
Alliant Energy Corp. 4,851 126,126
Avista Corp. 3,199 55,783
Black Hills Corp. 1,365 30,798
+Calpine Corp. 7,804 513,113
CH Energy Group Inc. 1,056 35,838
Cleco Corp. 1,106 37,051
CMP Group Inc. 1,851 54,257
Conectiv Inc. 5,404 84,100
DPL Inc. 8,804 193,138
DQE Inc. 4,678 185,073
+El Paso Electric Co. 2,696 30,162
Empire District Electric Co. (The) 2,461 54,296
Energy East Corp. 8,037 153,205
Green Mountain Power Corp. 236 1,947
Hawaiian Electric Industries Inc. 1,934 63,459
IDACorp Inc. 1,982 63,919
IPALCO Enterprises Inc. 6,442 129,645
Kansas City Power & Light Co. 3,569 80,302
LG&E Energy Corp. 8,302 198,210
Madison Gas & Electric Co. 2,419 47,775
Minnesota Power Inc. 4,226 73,163
Montana Power Co. 6,824 240,973
NiSource Inc. 8,258 153,805
Northeast Utilities 10,402 226,244
NorthWestern Corp. 1,628 37,648
NSTAR 4,422 179,920
OGE Energy Corp. 4,313 79,790
Otter Tail Power Co. 1,060 22,260
+Plug Power Inc. 2,500 156,250
Potomac Electric Power Co. 7,203 180,075
Public Service Company of New Mexico 2,469 38,115
Puget Sound Energy Inc. 6,983 148,825
+Quanta Services Inc. 3,175 174,625
RGS Energy Group Inc. 1,797 39,983
SCANA Corp. 6,992 168,682
Sierra Pacific Resources Corp. 4,287 53,855
St. Joseph Light & Power Co. 299 6,279
TECO Energy Inc. 7,901 158,514
UniSource Energy Corp. 4,342 65,130
United Illuminating Co. (The) 841 36,794
Utilicorp United Inc. 6,035 119,946
Western Resources Inc. 4,046 62,713
Wisconsin Energy Corp. 7,257 143,779
WPS Resources Corp. 1,687 50,715
----------
4,939,090
----------
Electrical Components & Equipment--0.06%
Hubbell Inc. "B" 4,442 113,271
+UCAR International Inc. 2,812 36,732
----------
150,003
----------
Electronics--5.43%
+Acme Electric Corp. 500 4,312
+Act Manufacturing Inc. 734 34,085
+Actel Corp. 1,337 61,001
<CAPTION>
-------------------------------------------------------------
Shares Value
-------------------------------------------------------------
<S> <C> <C>
+ADE Corp. 1,586 $ 30,332
+Advanced Lighting Technologies Inc. 1,245 23,032
+Aeroflex Inc. 1,147 56,992
+Aerosonic Corp. 178 1,847
+Alpha Industries Inc. 2,414 106,367
+Alpha Technologies Group Inc. 300 3,562
+American Locker Group Inc. 100 637
+American Superconductor Corp. 2,066 99,684
+American Xtal Technology Inc. 1,992 86,154
AMETEK Inc. 1,734 30,345
+Amphenol Corp. "A" 2,798 185,193
+Anaren Microwave Inc. 453 59,449
+Anicom Inc. 1,223 4,586
+Applied Digital Solutions Inc. 3,900 13,162
+Arrow Electronics Inc. 5,978 185,318
+Artesyn Technologies Inc. 2,290 63,691
+Artisan Components Inc. 998 10,853
+ATMI Inc. 1,590 73,935
+Ault Inc. 200 1,325
Avnet Inc. 2,409 142,733
AVX Corp. 10,542 241,807
+Axsys Technologies Inc. 1,079 17,669
Bairnco Corp. 377 2,780
Baldor Electric Co. 1,856 34,568
Barnes Group Inc. 990 16,149
+Bel Fuse Inc. "A" 691 18,657
+Benchmark Electronics Inc. 1,419 51,882
+BOLDER Technologies Corp. 1,229 9,371
Boston Acoustics Inc. 184 2,024
+BTU International Inc. 400 4,800
+Burr-Brown Corp. 3,123 270,725
C&D Technologies Inc. 1,114 62,941
+California Amplifier Inc. 1,100 50,325
+Caliper Technologies Corp. 1,434 65,964
+Catalina Lighting Inc. 300 1,425
+Catalyst Semiconductor Inc. 1,900 16,387
+C-COR Electronics Inc. 1,870 50,490
+CellStar Corp. 2,938 8,171
+Ceradyne Inc. 2,800 28,700
+Cobalt Networks Inc. 1,500 86,812
+Concord Camera Corp. 1,002 20,917
Control Chief Holdings Inc. 200 800
+CP Clare Corp. 700 5,119
Craftmade International Inc. 278 1,876
+Cree Inc. 2,036 271,806
CTS Corp. 1,416 63,720
+Daktronics Inc. 1,600 15,900
Dallas Semiconductor Corp. 3,524 143,603
+Data Critical Corp. 1,800 23,400
+DDi Corp. 2,060 58,710
+Diodes Inc. 300 12,862
+Dionex Corp. 1,193 31,913
+DuPont Photomasks Inc. 884 60,554
Eastern Co. (The) 160 2,100
EDO Corp. 296 1,868
+8 X 8 Inc. 1,983 23,796
+Electric Fuel Corp. 1,439 22,035
+Electro Scientific Industries Inc. 1,418 62,436
+EMCORE Corp. 819 98,280
+EMS Technologies Inc. 920 16,560
</TABLE>
33
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------
+Engineering Measurements Co. 200 $ 1,600
+ESS Technology Inc. 2,518 36,511
+Evans & Sutherland Computer Corp. 365 2,327
+Exar Corp. 864 75,330
+Fairchild Semiconductor Corp. "A" 4,800 194,400
+Fiberstars Inc. 300 2,850
+Finisar Corp. 9,600 251,400
Franklin Electric Co. Inc. 250 16,937
+FSI International Inc. 1,528 33,139
+FuelCell Energy Inc. 350 24,172
+Genlyte Group Inc. (The) 802 16,892
+Gentex Corp. 4,218 105,977
+Genus Inc. 1,400 11,462
+GlobeSpan Inc. 3,800 463,897
+Graham Corp. 200 1,525
Harman International Industries Inc. 891 54,351
+HEI Inc. 2,100 28,908
Helix Technology Corp. 1,197 46,683
+Herley Industries Inc. 236 4,454
+hi/fn Inc. 1,039 46,106
Hughes Supply Inc. 1,672 33,022
+Hutchinson Technology Inc. 2,299 32,761
+Hytek Microsystems Inc. 700 5,884
+Ibis Technology Corp. 1,205 72,752
+IFR Systems Inc. 1,900 9,500
+Illinois Superconductor Corp. 4,000 19,125
+ImageX.com Inc. 2,100 12,731
Innovex Inc. 1,644 16,029
+Integrated Device Technology Inc. 6,081 364,100
+Integrated Silicon
Solution Inc. 2,168 82,384
+Interlink Electronics Inc. 1,350 56,531
+inTEST Corp. 300 4,462
+Invision Technologies Inc. 1,939 8,483
+Jabil Circuit Inc. 10,778 534,858
+Jason Inc. 1,750 16,844
+JMAR Technologies Inc. 3,500 17,937
+JNI Corp. 1,100 34,787
+JPM Company (The) 360 1,980
+Juno Lighting Inc. 48 288
+KEMET Corp. 5,108 128,019
+Kent Electronics Corp. 1,550 46,209
+Koss Corp. 400 6,350
+Lamson & Sessions Co. 801 12,265
+Littelfuse Inc. 1,208 59,192
+Lowrance Electronics Inc. 1,700 6,375
LSI Industries Inc. 856 13,001
+Mackie Designs Inc. 561 3,787
+Manufacturers Services Ltd. 5,596 115,068
+Mattson Technology Inc. 853 27,722
+Maxwell Technologies Inc. 1,112 15,012
+Measurements Specialties Inc. 300 11,512
+MedicaLogic Inc. 5,227 48,350
+Mercury Computer
Systems Inc. 1,444 46,659
+Merix Corp. 500 23,500
Methode Electronics Inc. "A" 2,190 84,589
+Metrologic Instruments Inc. 241 3,555
<CAPTION>
-------------------------------------------------------------
Shares Value
-------------------------------------------------------------
<S> <C> <C>
+Micrel Inc. 5,368 $ 233,172
+Micro Linear Corp. 810 5,670
+Microchip Technology Inc. 4,845 282,297
+Microsemi Corp. 617 20,939
+Microvision Inc. 572 28,028
+MIPS Technologies Inc. "A" 967 41,097
+MKS Instruments Inc. 1,300 50,862
+MMC Networks Inc. 1,744 93,195
+MRV Communications Inc. 3,564 239,679
Nashua Corp. 283 2,335
+Netro Corp. 3,300 189,337
+NETsilicon Inc. 1,000 32,750
+Nu Horizons Electronics Corp. 710 18,904
+Nucentrix Broadband Networks Inc. 700 17,850
+Oak Technology Inc. 2,900 62,531
OPTi Inc. 683 3,500
+OSI Systems Inc. 2,134 17,005
+OYO Geospace Corp. 1,100 22,000
+Paradyne Networks Inc. 1,700 55,356
+Parlex Corp. 600 25,275
+PCD Inc. 2,410 18,715
+Photon Dynamics Inc. 800 59,750
+Photronics Inc. 1,547 43,896
+Pinnacle Holdings Inc. 2,900 156,600
+Pinnacle Systems Inc. 2,668 59,988
Pioneer-Standard
Electronics Inc. 1,571 23,172
+Plexus Corp. 980 110,740
+PLX Technology Inc. 2,400 99,600
+Powell Industries Inc. 2,791 27,212
+Power Integrations Inc. 1,512 35,626
+Power-One Inc. 1,845 210,215
+Printtrak International Inc. 508 4,508
+QuickLogic Corp. 2,100 46,725
Quixote Corp. 292 4,380
+Ramtron International Corp. 2,640 51,810
+Rayovac Corp. 1,729 38,686
+Recoton Corp. 1,331 13,892
+REMEC Inc. 1,734 72,611
+Reptron Electronics Inc. 2,200 25,712
+Research Frontiers Inc. 704 21,120
+Research Inc. 3,200 20,000
Richardson Electronics Ltd. 481 7,726
+Robinson Nugent Inc. 2,200 27,500
+Rogers Corp. 962 33,670
+Rudolph Technologies Inc. 1,617 62,659
+Sanmina Corp. 1 68
+SBS Technologies Inc. 315 11,635
+SCI Systems Inc. 9,274 363,425
Scientific Technologies Inc. 430 2,446
+Semtech Corp. 1,718 131,400
+Sensar Corp. 1,600 38,000
+Sensormatic Electronics Corp. 4,251 67,219
+Sheldahl Inc. 484 2,632
+Sigmatron International Inc. 200 750
+Signal Technology Corp. 1,900 47,500
+Silicon Image Inc. 1,500 74,812
+Silicon Storage Technology 1,729 152,692
+Silicon Valley Group Inc. 1,768 45,747
+Siliconix Inc. 1,701 114,817
+SIPEX Corp. 1,160 32,117
SL Industries Inc. 253 2,467
</TABLE>
34
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
------------------------------------------------------------------
SLI Inc. 3,499 $ 42,425
+Somera Communications Inc. 5,500 74,937
+Sparton Corp. 350 1,444
+Spectra-Physics Lasers Inc. 896 62,664
+Spectrum Control Inc. 490 6,676
+Spire Corp. 2,000 11,875
+SRS Labs Inc. 1,021 9,444
+Superconductor Technologies Inc. 1,800 70,762
+Supertex Inc. 1,142 57,385
+Surge Components Inc. 1,900 8,995
Symbol Technologies Inc. 8,481 457,974
TB Woods Corp. 261 2,708
Tech/Ops Sevcon Inc. 139 1,216
Technitrol Inc. 923 89,416
+Tech-Sym Corp. 223 6,272
+Telcom Semiconductor Inc. 1,947 78,610
+Therma-Wave Inc. 1,015 22,647
+Thermo Ecotek Corp. 4,607 43,191
+Thermo Instrument Systems Inc. 7,534 141,262
Thomas Industries Inc. 1,910 33,783
+3Dfx Interactive Inc. 3,954 30,767
+Three-Five Systems Inc. 1,045 61,655
+Trans-Industries Inc. 1,300 6,012
+TranSwitch Corp. 2,433 187,797
+Trident Microsystems Inc. 577 5,193
+Trimble Navigation Ltd. 1,915 93,476
+Triumph Group Inc. 515 14,356
+U.S. Wireless Corp. 1,100 23,512
+Universal Display Corp. 1,200 35,625
+Universal Electronics Inc. 1,278 31,391
+Valence Technology Inc. 3,746 69,067
+Varian Inc. 1,630 75,184
+Viasystems Group Inc. 2,829 45,794
+Vicor Corp. 2,475 86,161
+Viisage Technology Inc. 900 2,644
+Virata Corp. 3,000 178,875
+Vishay Intertechnology Inc. 7,624 289,236
+Waters Corp. 3,994 498,501
Watts Industries Inc. "A" 3,201 40,413
+WESCO International Inc. 3,100 29,644
Woodhead Industries Inc. 1,106 20,184
+Zoran Corp. 672 44,310
----------
13,552,546
----------
Energy & Related--0.23%
+Global Industries Ltd. 5,078 95,847
+Newpark Resources Inc. 6,968 65,760
Santa Fe International Corp. 7,534 263,219
+Veritas Inc. 2,322 60,372
Vintage Petroleum Inc. 3,458 78,021
----------
563,219
----------
Engineering & Construction--0.04%
Foster Wheeler Corp. 2,400 20,700
Granite Construction Inc. 1,436 35,182
+Jacobs Engineering
Group Inc. 1,343 43,899
----------
99,781
----------
<CAPTION>
------------------------------------------------------------------
Shares Value
------------------------------------------------------------------
<S> <C> <C>
Entertainment--1.15%
Allen Organ Co. "B" 171 $ 9,832
+AMC Entertainment Inc. 3,050 14,869
+Anchor Gaming 739 35,426
+Argosy Gaming Co. 2,403 34,543
+Avid Technology Inc. 3,196 38,352
+barnesandnoble.com Inc. 2,900 18,941
+Boca Resorts Inc. "A" 2,661 26,277
+Boyd Gaming Corp. 6,380 35,489
+Brass Eagle Inc. 200 1,000
+Carmike Cinemas Inc. "A" 419 1,624
+Championship Auto Racing Teams Inc. 1,178 30,039
+Cheap Tickets Inc. 2,400 28,800
Churchill Downs Inc. 1,277 29,850
+Clark (Dick) Productions Inc. 339 3,983
+Coastcast Corp. 357 6,292
CPI Corp. 569 12,020
+Craig Corp. 1,000 3,875
+Direct Focus Inc. 800 39,200
Dover Downs Entertainment Inc. 2,390 33,460
Ellett Brothers Inc. 200 700
+Escalade Inc. 139 2,380
+Expedia Inc. "A" 2,100 31,106
+Family Golf Centers Inc. 952 219
+Fotoball USA Inc. 2,400 9,600
+garden.com Inc. 1,000 2,375
Gaylord Entertainment
Co. "A" 1,767 37,990
+GetThere.com Inc. 3,987 42,113
+GTECH Holdings Corp. 1,846 41,881
+Hollywood Casino Corp. "A" 2,500 17,500
+Hollywood Entertainment Corp. 4,293 33,807
+Image Entertainment Inc. 599 2,209
+International Game Technology Inc. 5,021 133,056
International Speedway Corp. "A" 3,538 146,385
+Jackpot Enterprises Inc. 385 4,861
+Jakks Pacific Inc. 1,328 19,588
+K2 Inc. 1,911 15,885
+Lakes Gaming Inc. 389 3,452
+Laser-Pacific Media Corp. 500 2,344
+Liquid Audio Inc. 2,300 21,778
+Macrovision Corp. 2,560 163,640
+Mandalay Resort Group Inc. 5,356 107,120
+Martha Stewart Living Omnimedia Inc. "A" 1,500 33,000
+Metro-Goldwyn-Mayer Inc. 12,240 319,770
MGM Grand Inc. 7,282 233,934
+Mikohn Gaming Corp. 500 3,969
+Park Place Entertainment Corp. 17,847 217,510
+Penn National Gaming Inc. 1,743 23,748
+Pinnacle Entertainment Inc. 1,651 32,091
+Premier Parks Inc. 4,174 94,958
+Rawlings Sporting Goods Co. 287 1,865
+Rentrak Corp. 300 1,106
+Resortquest International Inc. 2,354 12,064
+SFX Entertainment Inc. "A" 3,602 163,216
+Speedway Motorsports Inc. 2,456 56,488
+Sport Supply Group Inc. 331 1,531
</TABLE>
35
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------------
+Steinway Musical Instruments Inc. 825 $ 13,612
+Ticketmaster Online-CitySearch Inc. "B" 2,013 32,082
+Trimark Holdings Inc. 1,000 7,937
+United Leisure Corp. 1,400 9,800
+Vail Resorts Inc. 2,910 47,469
+Westwood One Inc. 7,086 241,810
+WMS Industries Inc. 3,102 47,887
+World Wrestling Federation Entertainment Inc. 1,200 24,975
----------
2,864,683
----------
Environmental Control--0.13%
+Crown Andersen Inc. 100 487
+GZA GeoEnvironmental Technologies Inc. 400 2,500
+IT Group Inc. 2,512 12,246
+Layne Christensen Co. 520 2,340
+MFRI Inc. 300 1,125
+MPM Technologies Inc. 1,900 11,400
+New Horizons
Worldwide Inc. 909 21,114
+Republic Services Inc. "A" 11,167 178,672
Sevenson Environmental Services Inc. 200 2,200
+Stericycle Inc. 1,400 33,600
+Strategic Diagnostic Inc. 1,700 9,456
+Synagro Technologies Inc. 1,600 5,900
+Tetra Technologies Inc. 599 8,498
+TRC Companies Inc. 500 5,750
+U S Liquids Inc. 754 4,147
+Waste Industries Inc. 1,593 17,125
----------
316,560
----------
Food--1.20%
+American Italian Pasta Co. 1,509 31,217
Applebee's International Inc. 1,743 52,835
+Arden Group Inc. 320 12,500
+Ark Restaurants Corp. 800 6,200
+Benihana Inc. 272 3,638
+Buca Inc. 800 12,500
+Buffetts Inc. 3,113 39,496
+CEC Entertainment Inc. 1,609 41,231
+Champps Entertainment Inc. 519 2,790
+Chart House Enterprises Inc. 526 2,893
+Cheesecake Factory (The) 2,383 65,532
+Consolidated Products Inc. 3,489 31,401
Corn Products
International Inc. 2,303 61,029
Dean Foods Co. 2,260 71,614
Delhaize America Inc. "A" 9,803 173,391
Dole Food Co. 2,850 46,669
Earthgrains Company (The) 2,723 52,928
+ELXSI Corp. 700 7,744
Flanigan's Enterprises Inc. 200 850
Fleming Companies Inc. 1,711 22,350
Flowers Industries Inc. 5,766 114,960
+Foodarama Supermarkets Inc. 100 2,394
+Friendly Ice Cream Corp. 433 2,192
Frisch's Restaurants Inc. 268 2,814
+Garden Fresh Restaurant Corp. 251 2,620
<CAPTION>
-----------------------------------------------------------------------
Shares Value
-----------------------------------------------------------------------
<S> <C> <C>
+Hain Celestial Group Inc. 1,889 $ 69,303
Hannaford Brothers Co. 2,491 179,041
+Homeland Holding Corp. 900 3,375
Hormel Foods Corp. 8,986 151,077
IBP Inc. 7,053 108,881
+ICH Corporation 1,000 5,500
+IHOP Corp. 1,582 26,498
+Il Fornaio (America) Corp. 200 1,700
+International Home
Foods Inc. 4,165 87,205
Interstate Bakeries Corp. 5,520 77,280
+Jack in the Box Inc. 2,251 55,431
Keebler Foods Co. 4,861 180,465
Lance Inc. 1,641 14,769
Landry's Seafood Restaurants 1,119 9,511
Marsh Supermarkets Inc. "B" 911 9,110
McCormick & Co. Inc. 3,952 128,440
Michael Foods Inc. 1,348 33,026
Morrison Management Specialist Inc. 929 26,186
+Morton's Restaurant
Group Inc. 241 5,181
Nabisco Holdings Corp. 2,799 146,947
Northland Cranberries "A" 2,127 8,242
+O'Charleys Inc. 1,368 18,639
+P.F. Chang's China Bistro Inc. 753 24,049
+Panera Bread Co. "A" 538 5,447
+Papa John's International Inc. 1,821 44,614
+PJ America Inc. 511 4,982
+Rare Hospitality International Inc. 1,045 29,521
+Roadhouse Grill Inc. 400 1,825
+Rocky Mountain Chocolate Factory Inc. 300 1,425
Ruddick Corp. 2,487 29,378
+Schlotzsky's Inc. 972 5,528
Schultz Sav O Stores Inc. 742 7,698
Seaway Food Town Inc. 645 10,804
Smucker (J.M.) Co. "A" 1,503 28,933
+Sonic Corp. 1,751 51,436
+Suiza Foods Corp. 1,866 91,201
+Taco Cabana "A" 502 3,326
Tootsie Roll Industries Inc. 1,746 61,110
Tyson Foods Inc. "A" 14,742 128,992
+United Heritage Corp. 6,360 18,285
Universal Foods Corp. 2,590 47,915
+Uno Restaurant Corp. 508 5,429
+ViCorp Restaurants Inc. 334 6,095
+Village Super Market Inc. "A" 300 3,712
Weis Markets Inc. 2,368 77,552
+Whole Foods Market Inc. 1,579 65,232
+Wild Oats Markets Inc. 1,476 18,542
----------
2,982,626
----------
Forest Products & Paper--0.35%
Associated Materials Inc. 406 6,090
Bowater Inc. 3,015 133,037
+Buckeye Technologies Inc. 1,702 37,338
+Building Materials Holdings Corp. 566 4,988
Caraustar Industries Inc. 1,920 29,040
Chesapeake Corp. 1,059 31,373
</TABLE>
36
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------
Consolidated Papers Inc. 5,646 $ 206,432
+Drew Industries Inc. 505 3,977
+Fibermark Inc. 286 3,539
+Gaylord Container "A" 5,383 14,467
Georgia-Pacific (Timber Group) 5,707 123,414
Glatfelter (P.H.) Co. 2,081 21,200
Hunt Corp. 411 4,264
+Impreso.com Inc. 300 1,200
+Ivex Packaging Corp. 2,336 25,988
Liberty Homes Inc. "A" 200 1,225
Patrick Industries Inc. 216 1,350
+Playtex Products Inc. 3,799 42,976
Pope & Talbot Inc. 1,097 17,552
Republic Group Inc. 533 4,797
Schweitzer-Mauduit International Inc. 702 8,775
+Simpson Manufacturing
Co. Inc. 717 34,282
+United Stationers Inc. 2,546 82,427
Wausau-Mosinee Paper Corp. 3,433 29,395
----------
869,126
----------
Gas--0.21%
AGL Resources Inc. 2,957 47,127
KeySpan Corp. 8,163 251,012
MCN Energy Group Inc. 5,644 120,641
Vectren Corporation 3,387 58,426
Washington Gas Light Co. 1,844 44,371
----------
521,577
----------
Hand / Machine Tools--0.10%
Kennametal Inc. 1,536 32,928
+SPX Corp. 1,868 225,911
----------
258,839
----------
Health Care--3.75%
+Abiomed Inc. 886 27,244
+Accredo Health Inc. 750 25,922
+Acuson Corp. 2,827 38,164
+ADAC Laboratories Inc. 1,596 38,304
+Advanced Energy Industries Inc. 1,493 87,994
+Advanced Neuromodulation Systems Inc. 342 5,729
+Advanced Tissue Sciences Inc. 3,800 30,519
+Aetrium Inc. 428 2,461
+Albany Molecular Research Inc. 1,600 87,100
+Alcide Corp. 100 1,750
+Allscripts Inc. 1,600 36,800
Amcast Industrial Corp. 339 2,966
+America Service Group Inc. 300 6,150
+American Dental Partners Inc. 932 6,524
+American Science & Engineering Inc. 315 1,733
+AmeriPath Inc. 1,973 17,510
+Amsurg Inc. "A" 451 2,424
Analogic Corp. 1,366 54,640
+Apria Healthcare Group Inc. 3,016 36,946
+Aradigm Corp. 1,348 23,590
Arrow International Inc. 1,139 38,157
<CAPTION>
---------------------------------------------------------------
Shares Value
---------------------------------------------------------------
<S> <C> <C>
+Arthocare Corp. 630 $ 33,548
+Aspect Medical Systems Inc. 1,667 45,009
+AVAX Technologies Inc. 2,000 18,125
+Avigen Inc. 1,500 65,813
+Bacou USA Inc. 1,487 29,740
Badger Meter Inc. 112 2,828
Baxter International Inc. 121 8,521
Beckman Coulter Inc. 1,579 92,174
+BioMarin Pharmaceutical Inc. 1,800 30,600
+Bio-Rad Laboratories Inc. "A" 758 18,950
+Biosite Diagnostics Inc. 977 47,079
+BioSource International Inc. 2,500 55,625
Block Drug Co. Inc. "A" 1,152 48,744
+BriteSmile Inc. 1,500 6,750
+CardioDynamics International Corp. 2,800 17,588
+Caredata.com Inc. 2,800 4,725
+Cerus Corp. 2,047 104,781
+ChromaVision Medical Systems Inc. 2,036 26,850
+Chronimed Inc. 546 4,027
+Closure Medical Corp. 1,294 29,762
+Coherent Inc. 1,360 114,070
+Cohesion Technologies Inc. 586 6,922
Cohu Inc. 1,218 32,848
Cole National Corp. 658 4,606
+Colorado Medtech Inc. 474 2,992
+Computer Motion Inc. 1,959 16,162
+Conmed Corp. 1,177 30,455
Cooper Companies Inc. 1,467 53,362
+Core Inc. 350 2,384
+Covance Inc. 3,005 26,482
+Coventry Health Care Inc. 5,632 75,064
+Creative BioMolecules Inc. 3,500 49,000
+Credence Systems Corp. 3,342 184,437
+CRYO-CELL International Inc. 400 2,500
+Cryolife Inc. 1,167 26,841
+Cuno Inc. 1,796 41,533
+Curative Health Services Inc. 470 2,835
+Cyber-Care Inc. 5,200 51,756
+Cyberonics 1,143 13,716
+Cygnus Inc. 2,359 33,616
+Cymer Inc. 1,613 77,021
Datascope Corp. 978 35,208
+DataTRAK International Inc. 1,587 7,637
+Daxor Corp. 213 2,370
+Del Global Technologies Corp. 340 3,304
Diagnostic Prods Corp. 1,017 32,544
+Diametrics Medical Inc. 1,962 11,098
+Dianon Systems Inc. 303 7,651
+Dynacq International Inc. 1,000 7,750
+Eclipse Surgical Technologies Inc. 2,404 10,518
+Edwards Lifesciences Corp. 3,700 70,763
+Embrex Inc. 500 6,875
+ENDOcare Inc. 600 12,150
+Endosonics Corp. 2,243 12,617
+Energy Conversion Devices Inc. 1,263 32,049
+Environmental Tectonics Corp. 374 3,366
+Enzo Biochem Inc. 1,518 104,742
</TABLE>
37
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------
+Enzon Inc. 2,084 $ 88,570
+Epimmune Inc. 2,000 12,750
+Epitope Inc. 1,601 22,014
+Esterline Corp. 775 11,528
+Exactech Inc. 319 5,084
+Excel Technology Inc. 606 30,489
+Express Scripts Inc. "A" 2,204 136,924
+E-Z-Em Inc. "A" 650 4,144
+FEI Co. 1,469 44,805
+Foundation Health Systems 7,267 94,471
Frequency Electronics Inc. 343 9,818
+Genrad Inc. 1,997 17,973
+Gliatech Inc. 945 19,136
+Haemonetics Corp. 1,692 35,532
+Hanger Orthopedic Group Inc. 913 4,508
+Health Management Associates Inc. "A" 15,437 201,646
+Health Systems Design Corp. 2,300 8,338
+Healthcentral.com 3,238 9,714
Hillenbrand Industries Inc. 3,895 121,962
+Hologic Inc. 1,793 12,103
Hooper Holmes Inc. 3,918 31,344
+Human Genome Sciences Inc. 3,406 454,275
+ICU Medical Inc. 396 10,692
+IDEXX Laboratories Inc. 2,329 53,276
+IGEN International Inc. 1,785 29,564
+II-VI Inc. 306 14,803
+Immunomedics Inc. 2,193 53,729
+Impath Inc. 912 49,476
+INAMED Corp. 1,100 40,288
+InSight Health Services Corp. 1,500 9,750
+Integra Lifesciences Corp. 2,000 19,875
+Interpore International 627 6,074
Invacare Corp. 2,037 53,471
+Inverness Medical Technology Inc. 2,500 22,500
+Invitrogen Corp. 1,200 90,244
+Invivo Corp. 246 2,706
+Ionics Inc. 1,620 49,613
+IRIDEX Corp. 500 6,375
+Isolyser Co. Inc. 2,500 8,594
+I-Stat Corp. 1,362 23,750
+Kensey Nash Corp. 333 3,705
+Kopin Corp. 1,800 124,650
+K-Tron International Inc. 234 3,627
+Laboratory Corp. of America Holdings 840 64,785
+Lasersight Inc. 1,588 6,054
+LifeCell Corp. 600 3,825
+Lifemark Corp. 2,000 12,000
+LifePoint Hospitals Inc. 3,000 66,750
+Lincare Holdings Inc. 3,204 78,899
+LTX Corp. 3,108 108,586
+Luminex Corp. 2,140 89,078
+Lunar Corp. 384 6,432
+Matria Healthcare Inc. 3,442 15,812
+Meade Instruments Corp. 1,580 39,698
+Mechanical Technology Inc. 1,914 28,710
+Med-Design Corp. (The) 600 6,900
<CAPTION>
---------------------------------------------------------------
Shares Value
---------------------------------------------------------------
<S> <C> <C>
+Mediware Information Systems Inc. 200 $ 1,300
+Medstone International Inc. 300 1,725
+MEDTOX Scientific Inc. 200 2,000
+Medwave Inc. 1,841 13,117
Mentor Corp. 1,484 40,346
+Meridian Medical Technologies Inc. 200 2,250
+Merit Medical Systems Inc. 400 2,600
+Mesa Laboratories Inc. 2,400 13,200
+Micro Therapeutics Inc. 1,700 8,713
+Mid Atlantic Medical Services Inc. 5,020 67,770
Mine Safety Appliances 963 23,112
+Minimed Inc. 2,006 236,708
Minntech Corp. 301 2,032
+Misonix Inc. 400 3,175
+Molecular Devices Corp. 548 37,915
MTS Systems Corp. 2,185 13,656
+Nanometrics Inc. 888 36,575
+National Dentex Corp. 656 11,070
+Neogen Corp. 1,300 8,125
Newport Corp. 1,605 172,337
+NMT Medical Inc. 475 1,425
+Novamed Eyecare Inc. 2,500 22,031
+Novametrix Medical Systems Inc. 400 2,400
+Novavax Inc. 2,800 20,475
+Novoste Corp. 894 54,534
+Oakley Inc. 4,562 52,463
+Ocular Sciences Inc. 2,303 27,060
+Oratec Interventions Inc. 1,431 47,760
+Ortec Inernational Inc. 1,863 17,931
+Orthodontic Centers of America 2,838 64,210
+Orthologic Corp. 2,133 10,532
+Osmonics Inc. 516 4,773
+Osteotech Inc. 1,297 13,619
+Oxford Health Plans Inc. 4,796 114,205
+PacifiCare Health Systems Inc. "A" 2,536 152,636
+Palatin Technologies Inc. 1,800 12,600
+Pediatrix Medical Group Inc. 1,783 20,727
+PharmaNetics Inc. 400 7,950
PMR Corp. 312 995
+Polymedica Industries Inc. 800 34,600
+PPT Vision Inc. 200 1,025
+Prime Medical Service Inc. 1,859 14,407
+Protocol Systems Inc. 372 5,929
+Province Healthcare Co. 1,579 57,041
+PRWW Ltd. 900 12,488
Psychemedics Corp. 2,416 12,533
+Quality Systems Inc. 200 1,500
+Quest Diagnostics Inc. 3,036 217,264
+Quorum Health Group Inc. 4,829 49,799
+Rehabcare Corp. 678 18,476
+Renal Care Group Inc. 3,513 85,904
+Resmed Inc. 1,712 45,796
+Respironics Inc. 3,513 63,234
+Ribozyme Pharmaceuticals Inc. 1,900 49,044
+Robotic Vision Systems Inc. 2,513 45,234
+Rochester Medical Corp. 238 1,993
+Rofin-Sinar Technologies Inc. 524 6,550
</TABLE>
38
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Roper Industries Inc. 1,699 $ 43,537
+Satcon Technology Corp. 703 17,970
+SciQuest.com Inc. 2,905 33,226
+Sola International Inc. 2,813 13,713
+Sonosite Inc. 620 17,864
+Spacelabs Medical Inc. 947 10,654
+Spectranetics Corp. 2,155 10,640
+SPECTRASCIENCE Inc. 2,000 13,000
+SpectRx Inc. 300 3,150
+Staar Surgical Co. 596 6,668
Starrett (LS) Co. "A" 192 3,360
+Sterile Recoveries Inc. 953 7,386
+Steris Corp. 4,554 40,417
Stryker Corp. 12,228 534,975
+Summit Technology Inc. 5,638 106,417
+Sunrise Assisted Living Inc. 2,350 43,475
+Sunrise Medical Inc. 3,118 15,200
+Sunrise Technologies International Inc. 4,043 40,430
+Syncor International Corp. 1,391 100,152
+Techne Corp. 1,096 142,480
+Theragenics Corp. 2,984 25,551
+Thermedics Inc. 2,957 29,385
+Thermo Cardiosystems Inc. 2,622 26,220
+Thoratec Labs Corp. 1,851 29,963
+Total Renal Care Holdings 4,621 27,726
+Triad Hospitals Inc. 2,200 53,213
+Trigon Healthcare Inc. 2,992 154,275
+TriPath Imaging Inc. 2,379 14,646
+U.S. Physical Therapy Inc. 1,200 12,900
United-Guardian Inc. 400 1,850
+Universal Health Services 1,765 116,490
+Urologix Inc. 2,400 9,750
+Utah Medical Products Inc. 319 2,173
+Valentis Inc. 2,176 25,568
+Varian Medical Systems Inc. 2,230 87,249
+Veeco Instruments Inc. 1,389 101,744
+Ventana Medical Systems Inc. 793 18,636
+Veterinary Centers of America Inc. 1,826 25,108
+VISX Inc. 3,320 93,168
+Wesley Jessen VisionCare Inc. 1,160 43,573
X-Rite Inc. 1,981 18,077
+Young Innovations Inc. 903 16,141
+ZEVEX International Inc. 300 1,594
+Zoll Medical Corp. 477 23,373
+Zygo Corp. 911 82,730
----------
9,369,215
----------
Heavy Construction--0.08%
+AMREP Corporation 500 2,813
+Anthony & Sylvan Pools Corp. 243 1,891
+Del Webb Corp. 1,508 23,091
+Fairfield Communities Inc. 3,954 31,138
+Hovnanian Enterprises Inc. "A" 1,300 7,800
Lennar Corp. 4,950 100,238
M/I Schottenstein Homes Inc. 325 5,119
McGrath RentCorp. 916 15,572
+Morrison Knudsen Corp. 2,689 19,495
+UNIFAB International Inc. 300 2,475
----------
209,632
----------
<CAPTION>
-----------------------------------------------------------------
Shares Value
-----------------------------------------------------------------
<S> <C> <C>
Holding Companies--Diversified--2.00%
+Berkshire Hathaway Inc. "A" 93 $5,003,400
----------
Home Builders--0.08%
+Champion Enterprises Inc. 5,252 25,604
Clayton Homes Inc. 11,705 93,640
Fleetwood Enterprises Inc. 3,500 49,875
Skyline Corp. 741 15,932
+William Lyon Homes 700 4,638
----------
189,689
----------
Home Furnishings--0.41%
+Applica Inc. 2,214 25,046
Bassett Furniture Industries Inc. 1,279 16,147
+Beazer Homes USA Inc. 831 15,166
Bush Industries "A" 380 6,080
+Chromcraft Revington Inc. 402 4,673
D.R. Horton Inc. 4,088 55,444
+Dominion Homes Inc. 1,300 7,556
Donnelly Corp. 1,171 15,223
Engle Homes Inc. 411 3,930
Ethan Allen Interiors Inc. 3,049 73,176
Falcon Products Inc. 334 3,173
Flexsteel Industries Inc. 252 3,087
+Fossil Inc. 2,004 38,953
+Furniture Brands International Inc. 2,620 39,628
+Helen of Troy Ltd. 2,599 14,538
+Jore Corporation 1,000 5,438
Kimball International Inc. "B" 1,920 28,320
Knape & Vogt Manufacturing Co. 234 3,569
+Landec Corp. 1,973 10,728
+Lazare Kaplan International Inc. 379 3,032
La-Z-Boy Chair Co. 3,606 50,484
Lennox International Inc. 3,521 46,653
Libbey Inc. 1,773 56,958
M.D.C Holdings Inc. 1,720 32,035
+Media Arts Group Inc. 2,281 9,267
+Meritage Corp. 338 3,612
Mikasa Inc. 669 6,481
+Mity Lite Inc. 219 2,902
Movado Group Inc. 578 6,936
+Newmark Homes Corp. 1,914 12,321
+Nobility Homes Inc. 219 1,095
+NVR Inc. 481 27,417
Oneida Ltd. 1,947 34,559
+Palm Harbor Homes Inc. 2,363 34,264
+Rexhall Industries Inc. 315 1,595
Rowe Furniture Corp. 499 1,902
+Royal Appliance Manufacturing Co. 894 5,085
Ryland Group Inc. 1,557 34,449
+Salton/Maxim Corp. 1,283 47,311
+Schuler Homes Inc. 741 4,539
+SMC Corp. 300 938
Standard-Pacific Corp. 3,026 30,260
+Stanley Furniture Co. Inc. 264 5,808
Steelcase Inc. 1,929 32,793
+Toll Brothers Inc. 1,954 40,057
+Trex Co. Inc. 1,300 65,000
Virco Manufacturing Corp. 1,201 15,613
Walter Industries Inc. 3,486 39,871
+Washington Homes Inc. 500 3,000
----------
1,026,112
----------
</TABLE>
39
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------------
Household Products/Wares--0.12%
Blyth Industries Inc. 2,800 $ 82,600
+Day Runner Inc. 1 1
Dial Corp. 5,917 61,389
Enesco Group Inc. 1,702 8,085
Ennis Business Forms Inc. 599 4,792
Harland (John H.) Co. 1,387 20,718
National Presto Industries Inc. 571 17,558
Pennzoil-Quaker State Co. 4,777 57,623
Standard Register Co. 1,528 21,774
Wallace Computer Services Inc. 2,335 23,058
----------
297,598
----------
Industrial--Diversified--0.09%
+Ag Services of America Inc. 733 11,178
American Biltrite Inc. 134 1,725
Aztec Manufacturing Co. 800 13,000
+Identix Inc. 1,933 30,324
+Interlott Technologies Inc. 400 2,500
+Koala Corp. 454 6,413
Oil Dri Corp. of America 266 2,394
+Publicard Inc. 1,690 5,545
Russ Berrie & Co. Inc. 1,994 38,385
Scope Industries 100 4,475
+Shuffle Master Inc. 400 5,750
+Symyx Technologies Inc. 1,700 72,436
+Thermwood Corp. 200 1,125
York Group Inc. 1,499 5,996
+Zomax Optical Media Inc. 1,456 19,110
----------
220,356
----------
Insurance--2.69%
+Acceptance Insurance Companies Inc. 641 3,205
Alfa Corp. 1,928 33,740
+Allcity Insurance Co. 500 3,500
+Alleghany Corp. 435 73,080
Allmerica Financial Corp. 3,600 188,550
AMBAC Financial Group Inc. 4,118 225,718
American Financial Group Inc. 3,332 82,675
American National Insurance Co. 1,984 101,184
Amerus Life Holdings Inc. 2,849 58,761
Amwest Insurance Group Inc. 907 4,308
Argonaut Group Inc. 1,075 18,409
+Arm Financial Group Inc. "A" 1,057 11
AXA Financial Inc. ADR 27,666 940,644
Baldwin & Lyons Inc. "B" 613 10,459
+Bancinsurance Corp. 1,050 4,397
Brown & Brown Inc. 1,504 78,208
Capitol Transamerica Corp. 413 4,879
+Citizens Financial Corp. KY "A" 200 2,300
+Clark/Bardes Holdings Inc. 897 14,801
+CNA Financial Corp. 11,327 385,118
Commerce Group Inc. 2,012 59,354
Cotton States Life Insurance Co. 287 2,440
Crawford & Co. "B" 2,382 26,202
+Danielson Holding Corp. 700 3,413
+Delphi Financial Group Inc. 948 32,173
<CAPTION>
-------------------------------------------------------------------
Shares Value
-------------------------------------------------------------------
<S> <C> <C>
Donegal Group Inc. 365 $ 2,099
E.W. Blanch Holdings Inc. 774 15,722
EMC Insurance Group Inc. 423 3,701
Enhance Financial Services Group Inc. 4,172 59,973
Erie Indemnity Co. "A" 3,699 116,519
Everest Re Group Ltd. 1,540 50,628
+Farm Family Holdings Inc. 508 15,716
FBL Financial Group Inc. "A" 2,105 33,154
Fidelity National Financial Inc. 4,304 78,817
Financial Industries Corp. 242 1,966
Financial Security Assurance Holdings Ltd. 2,210 167,684
First American Financial Corp. 4,208 60,227
+FPIC Insurance Group Inc. 421 6,604
Fremont General Corp. 3,527 13,888
Gainsco Inc. 770 3,850
Gallagher (Arthur J.) & Co. 1,946 81,732
Great American Financial Resources Inc. 2,109 37,303
+Hancock (John) Financial Services Inc. 20,903 495,140
Harleysville Group Inc. 2,703 45,275
HCC Insurance Holdings Inc. 3,153 59,513
+HealthExtras Inc. 3,729 20,043
Hilb Rogal & Hamilton Co. 847 29,380
Horace Mann Educators Corp. 2,702 40,530
HSB Group Inc. 1,614 50,236
Independence Holding Co. 972 11,907
+Intercontinental Life Corp. 1,200 10,200
+Interstate National Dealer Services Inc. 200 1,050
Investors Title Company 200 2,100
Kansas City Life Insurance Co. 1,354 36,389
Kaye Group Inc. 1,300 7,556
Lab Holdings Inc. 1,258 7,076
LandAmerica Financial Group Inc. 690 15,827
Leucadia National Corp. 4,082 93,121
Liberty Corp. 1,034 43,428
Liberty Financial Companies Inc. 2,464 54,054
+Markel Corp. 346 49,002
Meadowbrook Insurance Group 390 1,999
+Medical Assurance Inc. 2,298 25,853
Merchants Group Inc. 472 7,906
Mercury General Corp. 3,849 90,933
Meridian Insurance Group Inc. 821 9,852
+MetLife Inc. 12,610 265,598
MIIX Group Inc. (The) 1,100 13,200
MONY Group Inc. 2,613 88,352
+Motor Club of America 400 3,300
National Security Group Inc. 400 4,700
Nationwide Financial Services Inc. 1,464 48,129
+Navigators Group Inc. 377 3,393
NYMAGIC Inc. 433 6,170
Ohio Casualty Corp. 5,178 55,016
Old Guard Group Inc. 300 3,469
</TABLE>
40
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Old Republic International Corp. 7,100 $ 117,150
+Penn Treaty American Corp. 287 4,879
Penn-America Group Inc. 500 3,938
+Philadelphia Consolidated Holding Corp. 545 9,163
+PICO Holdings Inc. 1,200 16,875
PMA Capital Corp. "A" 409 7,771
PMI Group Inc. (The) 3,035 144,163
Presidential Life Corp. 2,120 29,415
+Professionals Group Inc. 412 10,068
Protective Life Corp. 3,582 95,371
PXRE Group Ltd. 595 8,033
Radian Group Inc. 2,106 108,986
Reinsurance Group of America Inc. 2,557 77,030
Reliastar Financial Corp. 5,581 292,654
+Rightchoice Managed Care "A" 300 5,119
RLI Corp. 464 16,124
+RTW Inc. 1,400 5,294
SCPIE Holdings Inc. 556 11,398
Selective Insurance Group Inc. 2,863 54,397
StanCorp Financial Group Inc. 2,000 64,250
State Auto Financial Corp. 4,376 51,965
Stewart Information Services Corp. 1,278 18,691
Surety Corp. 2,972 35,478
Transatlantic Holdings Inc. 2,250 188,438
Trenwick Group Inc. 2,091 30,450
+Triad Guaranty Inc. 1,498 34,360
21st Century Insurance Group 6,119 96,374
+UICI 4,968 32,603
Unico American Corp. 1,000 6,000
United Fire & Casualty Co. 451 6,991
Unitrin Inc. 4,244 124,668
W.R. Berkley Corp. 2,385 44,719
Wesco Financial Corp. 418 85,690
White Mountains Insurance Group Inc. 356 56,960
Zenith National Insurance Corp. 1,062 22,568
----------
6,724,842
----------
Iron/Steel--0.04%
AK Steel Holding Corp. 6,344 50,752
Ryerson Tull Inc. 2,542 26,373
+Steel Dynamics Inc. 2,441 22,122
+Weirton Steel Corp. 2,700 8,775
----------
108,022
----------
Leisure Time--0.09%
+Bally Total Fitness Holding Corp. 1,435 36,413
Callaway Golf Co. 4,560 74,385
Galileo International Inc. 5,294 110,512
+Johnson Outdoors Inc. "A" 300 2,119
+Navigant International Inc. 579 5,573
----------
229,002
----------
<CAPTION>
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Shares Value
-----------------------------------------------------------------
<S> <C> <C>
Lodging--0.32%
+Ameristar Casinos Inc. 3,300 $ 13,819
+Aztar Corp. 2,668 41,354
+Choice Hotels International Inc. 2,589 25,728
+Crestline Capital Corp. 855 14,588
+Extended Stay America Inc. 5,792 53,576
+International Leisure Hosts Ltd. 300 1,200
+Isle of Capris Casinos Inc. 1,700 23,056
+John Q Hammons Hotels Inc. 2,600 13,000
Marcus Corp. 2,495 30,252
+Monarch Casino & Resort Inc. 300 1,725
+Prime Hospitality Corp. 4,838 45,659
+Riviera Holdings Corp. 200 1,575
+ShoLodge Inc. 1,700 5,950
+Silver Leaf Resorts Inc. 1,475 3,964
Sonesta International Hotels Corp. 800 6,700
Starwood Hotels & Resorts Worldwide Inc. 12,917 417,381
+Station Casinos Inc. 2,379 59,475
+Suburban Lodges of America Inc. 1,869 10,630
+Sunburst Hospitality Corp. 893 3,963
+Thousand Trails Inc. 600 2,700
+Trendwest Resorts Inc. 1,167 18,818
+U.S. Franchise Systems Inc. 633 3,046
+Westcoast Hospitality Corp. 566 3,962
----------
802,121
----------
Machinery--0.92%
+A.S.V. Inc. 455 6,541
+Ag-Chem Equipment Co. Inc. 355 2,396
AGCO Corp. 3,663 44,872
Alamo Group Inc. 359 4,488
+Albany International Corp. 3,307 47,952
+Altair International Inc. 2,059 6,949
+American Aircarriers Support Inc. 288 1,080
Ampco-Pittsburgh Corp. 353 3,927
Applied Industrial Technologies Inc. 2,269 37,155
Applied Power Inc. "A" 1,928 64,588
+Applied Science & Technology Inc. 1,016 26,289
+Arguss Holdings Inc. 1,271 23,990
+Astec Industries Inc. 1,243 31,541
+Asyst Technologies Inc. 2,036 69,733
+Aviall Inc. 1,070 5,283
+Aviation Sales Co. 2,158 13,353
BHA Group Inc. 319 3,110
+Brooks Automation Inc. 1,205 77,045
+Chart Industries Inc. 1,077 5,250
+Cognex Corp. 2,291 118,559
Columbus McKinnon Corp. 1,316 18,260
+CTB International Corp. 454 3,065
Detroit Diesel Corp. 1,705 25,149
Donaldson Co. Inc. 3,964 78,289
+Dril-Quip 836 39,083
+DT Industries Inc. 468 4,388
+Dycom Industries Inc. 2,491 114,586
+Electroglas Inc. 1,027 22,081
</TABLE>
41
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Engineered Support Systems Inc. 317 $ 4,359
Fedders Corp. 3,324 19,321
Flowserve Corp. 3,718 56,002
+Gardner Denver Inc. 1,593 28,475
+Gasonics International Corp. 822 32,418
+Gehl Corp. 300 4,275
+Glacier Water Services Inc. 135 1,603
Gorman Rupp Co. 315 4,961
Graco Inc. 998 32,435
Hardinge Inc. 362 3,778
+Hurco Companies Inc. 600 2,325
Idex Corp. 1,512 47,723
+IIC Industries Inc. 400 3,850
+Imation Corp. 1,818 53,404
+Insituform Technologies Inc. "A" 1,180 32,008
+JLK Direct Distribution Inc. "A" 1,100 5,638
Katy Industries Inc. 306 3,596
+Key Technology Inc. 200 1,700
+Kulicke & Soffa Industries Inc. 1,442 85,619
Lincoln Electric Holding Inc. 3,754 53,495
Lindsay Manufacturing Co. 584 11,461
Lufkin Industries Inc. 241 3,826
+Magnetek Inc. 1,412 11,296
Manitowoc Co. Inc. 1,359 36,353
+Mansur Industries Inc. 1,200 3,225
+McClain Industries Inc. 400 2,000
+Mestek Inc. 328 5,781
Met-Pro Corp. 306 2,754
+Metromedia International Group Inc. 4,997 23,736
+Middleby Corp. (The) 200 1,466
+Mitcham Industries Inc. 2,200 11,688
Nordson Corp. 831 42,069
+P & F Industries Inc. "A" 200 1,700
+Paragon Technologies Inc. 4,300 32,250
+Paxar Corp. 4,543 54,232
+PLM International Inc. 1,800 12,150
+Presstek Inc. 1,890 30,831
+Quipp Inc. 100 1,900
Robbins & Myers Inc. 1,306 29,793
+Sames Corp. 132 2,079
+Scott Technologies Inc. 2,099 36,077
+Semitool Inc. 1,816 31,440
+Specialty Equipment Co. 1,322 35,859
+SpeedFam-IPEC Inc. 1,788 32,519
+SPS Technologies Inc. 1,366 56,091
Stewart & Stevenson Services Inc. 3,132 47,176
Tecumseh Products Co. "A" 1,039 39,677
+Tegal Corp. 2,600 17,225
Tennant Co. 1,215 45,563
+Terex Corp. 1,930 27,261
+Thermadyne Holdings Corp. 144 1,800
+Thermo Fibertek Inc. 4,150 19,713
Toro Co. 1,375 45,289
+Tractor Supply Co. 522 8,646
Twin Disc Inc. 126 2,150
+Ultratech Stepper Inc. 2,243 33,365
United Industial Corp. 1,053 9,609
+Unova Inc. 4,748 34,720
Watsco Inc. 3,306 41,325
Woodward Governor Co. 816 23,103
----------
2,285,185
----------
<CAPTION>
-------------------------------------------------------------
Shares Value
-------------------------------------------------------------
<S> <C> <C>
Manufacturers--0.36%
Carlisle Companies Inc. 2,650 $ 119,250
Federal Signal Corp. 2,527 41,696
Harsco Corp. 2,388 60,894
Lancaster Colony Corp. 2,193 42,078
Mark IV Industries Inc. 2,435 50,831
Mascotech Inc. 2,262 24,458
NCH Corp. 250 9,047
Newport News Shipbuilding Inc. 2,478 91,067
Pentair Inc. 3,618 128,439
Pittston Brink's Group 4,375 59,883
Teleflex Inc. 3,373 125,012
Trinity Industries Inc. 2,237 41,385
U.S. Industries Inc. 5,310 64,384
Wabtec Corporation 3,405 35,327
----------
893,751
----------
Media--3.63%
+Acme Communications Inc. 1,500 27,375
+Adelphia Communications Corp. "A" 7,097 332,672
+AMFM Inc. 13,531 933,639
Banta Corp. 1,294 24,505
+Beasley Broadcast Group Inc. "A" 1,400 19,075
Belo (A.H.) Corp. 6,494 112,427
BHC Communications Inc. "A" 1,307 196,213
+Big City Radio Inc. 1,400 7,088
+Cablevision Systems Corp. 8,109 550,398
Central Newspapers Inc. "A" 1,874 118,531
+Charter Communications Inc. 9,600 157,800
+Chris-Craft Industries Inc. 2,263 149,499
+Citadel Communications Corp. 2,150 75,116
+Classic Communications Inc. "A" 1,770 15,819
Courier Corp. 300 8,475
+Cox Radio Inc. "A" 1,365 38,220
+Crown Media Holdings Inc. 1,898 29,063
+CTN Media Group Inc. 638 3,429
+Cumulus Media Inc. 2,227 20,321
+Daily Journal Corp. 119 3,421
+Emmis Communications Corp. 2,574 106,499
+Entercom Communications Corp. 1,800 87,750
+Fox Entertainment Group Inc. 11,203 340,291
+Granite Broadcasting Corp. 1,368 10,089
Gray Communications Systems Inc. 694 6,810
Gray Communications Systems Inc. "B" 771 7,517
+Hearst-Argyle Television Inc. 2,673 52,124
+Hispanic Broadcasting Corp. 6,746 223,461
Hollinger International Inc. 5,722 77,962
Houghton Mifflin Co. 1,647 76,894
+HyperFeed Technologies Inc. 997 3,614
+IDG Books Worldwide Inc. 1,326 12,017
+Infinity Broadcasting Corp. 23,273 848,010
+Information Holdings Inc. 1,958 72,446
+Insight Communications Co. Inc. 2,900 45,313
</TABLE>
42
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------
+Interep National Radio Sales Inc. "A" 840 $ 4,463
+Journal Register Co. 2,867 52,323
Lee Enterprises Inc. 2,293 53,456
+Liberty Digital Inc. "A" 1,400 42,000
+Lodgenet Entertainment Corp. 900 21,825
+Loronix Information Systems Inc. 300 10,781
+Mastec Inc. 3,042 116,166
McClatchy Co. (The) "A" 2,899 96,029
Media General Inc. "A" 1,897 92,123
+Mediacom Communications Corp. 4,250 65,344
+National Wireless Holdings Inc. 146 3,194
Nelson (Thomas) Inc. 544 4,658
+New Frontier Media Inc. 1,500 10,969
+On Command Corp. 1,949 27,773
+Paxson Communications Corp. 4,748 40,358
+Pegasus Communications Corp. 2,012 98,714
+Playboy Enterprises Inc. "B" 1,498 19,287
+Price Communications Corp. 3,564 83,977
+Primedia Inc. 8,971 204,090
Pulitzer Inc. 1,006 42,441
+Radio One Inc. 1,500 44,344
+Radio One Inc. "D" 3,000 66,188
+Radio Unica Corp. 2,100 14,700
+Rare Medium Group Inc. 3,115 49,256
Readers Digest Association "A" 6,294 250,187
+Regent Communications Inc. 3,200 27,500
+Saga Communications Inc. 715 15,730
+Scholastic Corp. 930 56,846
Scripps (E.W.) Company 4,711 232,017
+Sinclair Broadcast Group "A" 4,099 45,089
+Spanish Broadcasting System Inc. "A" 1,400 28,788
+TCI Satellite Entertainment Group "A" 3,100 26,931
+TiVo Inc. 2,000 70,000
+TV Guide Inc. 9,788 335,239
United Television Inc. 520 66,950
+UnitedGlobalCom Inc. "A" 5,046 235,901
+Univision Communications Inc. 6,357 657,950
+USA Networks Inc. 17,563 379,800
+Valley Media Inc. 300 1,050
+VDI MultiMedia 400 2,800
Washington Post Company (The) "B" 550 262,900
Wiley (John) & Sons Inc. "A" 4,834 108,765
+Wink Communications Inc. 1,600 48,800
+XM Satellite Radio Holdings Inc. "A" 2,000 74,875
+Youthstream Media Networks Inc. 2,318 13,039
+Ziff-Davis Inc. 5,874 52,866
----------
9,052,365
----------
<CAPTION>
---------------------------------------------------------------
Shares Value
---------------------------------------------------------------
<S> <C> <C>
Metal Fabricate/Hardware--0.05%
Circor International Inc. 1 $ 4
Gibraltar Steel Corp. 1,160 16,240
Kaydon Corp. 1,638 34,398
NN Inc. 662 6,951
+Olympic Steel Inc. 394 1,379
Precision Castparts Corp. 1,289 58,327
----------
117,299
----------
Metals--Diversified--0.49%
+Alliant Techsystems Inc. 491 33,112
Ameron Inc. 148 5,291
Aptargroup Inc. 1,812 48,924
+Atchison Casting Corp. 457 2,628
Belden Inc. 1,088 27,880
Butler Manufacturing Co. 275 4,675
Carpenter Technology Corp. 1,180 24,928
Century Aluminum Co. 1,537 16,715
+Chase Industries Inc. 406 3,781
+Chief Consolidated Mining Co. 300 1,106
Cleveland-Cliffs Inc. 641 16,546
Commercial Metals Co. 870 23,925
CompX International Inc. 326 6,622
Curtiss Wright Corp. 1,056 39,270
Edelbrock Corp. 234 2,355
+Edison Control Corp. 100 825
+Encore Wire Corp. 601 3,230
Federal Screw Works 48 1,968
+General Bearing Corp. 200 975
General Cable Corp. 3,747 30,444
+Griffon Corporation 1,385 7,704
IMCO Recycling Inc. 1,013 5,508
Insteel Industries Inc. 377 2,333
International Aluminium Corp. 158 2,726
+Kaiser Aluminum Corp. 3,541 14,164
+Keystone Consolidated Industries Inc. 500 1,875
+Ladish Co Inc. 512 4,992
Lindberg Corp. 262 1,867
+Lone Star Technologies 1,606 74,278
Matthews International Corp. 1,787 51,823
+Maverick Tube Corp. 1,669 48,610
+MAXXAM Inc. 413 7,331
+Miller Building Systems Inc. 600 4,350
+Mueller Industries Inc. 2,801 78,428
National Steel Corp. "B" 4,836 20,251
+NCI Building Systems Inc. 1,807 36,592
+Niagara Corp. 600 2,475
+Northwest Pipe Co. 337 4,002
+NS Group Inc. 1,934 40,493
+Optical Cable Corp. 2,101 63,555
+OroAmerica Inc. 284 1,970
Reliance Steel & Aluminum Co. 1,537 29,395
Roanoke Electrics Steel Corp. 1,008 12,600
Schnitzer Steel Industries Inc. "A" 248 3,937
+Shaw Group Inc. 1,335 62,912
+Shiloh Industries Inc. 2,882 27,559
SIFCO Industries Inc. 231 1,444
Steel Technologies Inc. 438 3,121
+Stillwater Mining Co. 2,120 59,095
</TABLE>
43
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------------
<S> <C> <C>
Common Stocks--(Continued)
-------------------------------------------------------------------
Sturm Ruger & Co. Inc. 1,592 $ 14,129
Sun Hydraulics Corporation 284 2,379
Superior Telecom Inc. 2,127 21,137
Synalloy Corp. 300 2,133
Texas Industries Inc. 1,149 33,177
+Thermo Terratech Inc. 2,300 18,400
+Tower Automotive Inc. 2,268 28,350
TransPro Inc. 400 2,025
Tredegar Corporation 2,217 42,123
United Dominion Industries Ltd. 2,112 35,904
+Universal Stainless & Alloy Products Inc. 300 2,006
USEC Inc. 5,274 24,392
+Webco Industries Inc. 400 1,225
+WHX Corp. 856 4,708
+Wolverine Tube Inc. 628 10,676
+Xceed Inc. 1,008 9,198
----------
1,222,552
----------
Mining--0.04%
Arch Coal Inc. 5,065 38,937
Brush Wellman Inc. 704 11,000
+Charles & Colvard Ltd. 311 2,177
+Meridian Gold Inc. 4,594 28,138
Penn Virginia Corp. 330 8,126
----------
88,378
----------
Office/Business Equipment--0.34%
+Actrade International Ltd. 515 10,558
+ATEC Group Inc. 1,299 2,760
+Cytyc Corp. 1,986 106,003
+Digi International Inc. 2,013 13,085
+Fisher Scientific International Inc. 2,191 54,227
HON Industries Inc. 4,562 107,207
+Insight Enterprises Inc. 1,515 89,858
+Keravision Inc. 1,670 8,037
Miller (Herman) Inc. 5,446 140,915
+1-800 Contacts Inc. 387 18,189
Owens & Minor Inc. 3,957 68,011
+Parkervision Inc. 1,320 66,578
+Patterson Dental Co. 1,990 101,490
+Performance Technologies Inc. 1,187 10,090
+PSS World Medical Inc. 3,348 22,494
+Savoir Technology Group Inc. 691 4,880
TAB Products Co. 100 400
Vital Sign Inc. 869 15,751
----------
840,533
----------
Oil & Gas Producers--2.92%
+Able Energy Inc. 400 2,100
Adams Resources & Energy Inc. 1,100 14,713
Apco Argentina Inc. 771 20,046
Atmos Energy Corp. 1,553 27,178
+Atwood Oceanics Inc. 702 31,239
+Barrett Resources Corp. 1,827 55,609
+Basin Exploration Inc. 1,613 28,832
+Belco Oil & Gas Corp. 4,065 34,553
+Bellwether Exploration Co. 2,033 16,899
Berry Petroleum Co. 2,178 37,026
+Blue Dolphin Energy Co. 2,300 10,925
<CAPTION>
-------------------------------------------------------------------
Shares Value
-------------------------------------------------------------------
<S> <C> <C>
BP Prudhoe Bay Royalty Trust 1,189 $ 14,194
Cabot Oil & Gas Corp. "A" 1,115 23,624
+Cal Dive International Inc. 836 45,301
+Callon Petroleum Corp. 1,059 15,753
Cascade Natural Gas Corp. 1,107 18,473
Castle Energy Corp. 393 2,469
+Chesapeake Energy Corp. 4,300 33,325
Chesapeake Utilities Corp. 187 3,319
+Clayton Williams Energy Inc. 1,100 35,131
Cross Timbers Oil Co. 2,285 50,556
+Crown Central Peteroleum Corp. "B" 1,650 14,953
CTG Resources Inc. 319 11,703
+Dawson Geophysical Co. 400 4,500
+Denbury Resources Inc. 4,397 22,809
Devon Energy Corp. 5,303 297,962
Diamond Offshore Drilling Inc. 8,576 301,232
+Eagle Geophysical Inc. 2,755 14
Energen Corp. 1,408 30,712
Energynorth Inc. 122 7,229
Energysouth Inc. 179 3,379
ENSCO International Inc. 8,356 299,249
EOG Resources Inc. 7,576 253,796
Equitable Resources Inc. 1,961 94,618
+Evergreen Resources Inc. 1,493 44,230
+EXCO Resources Inc. 700 7,000
+Forest Oil Corp. 2,546 40,577
+FX Energy Inc. 583 3,316
+Giant Industries Inc. 484 3,812
+Global Marine Inc. 10,856 306,004
+Greka Energy Corp. 200 1,825
+Grey Wolf Inc. 9,565 47,825
+Hallwood Energy Corp. 637 5,213
+Hanover Compressor Co. 3,152 119,776
Helmerich & Payne Inc. 2,700 100,913
Holly Corp. 904 10,735
+Houston Exploration Co. 2,369 59,521
Howell Corp. 2,100 19,950
+HS Resources Inc. 1,685 50,550
+Key Energy Group Inc. 4,718 45,411
+Key Productions Co. Inc. 515 9,013
Kinder Morgan Inc. 7,069 244,322
Laclede Gas Co. 1,888 36,344
+Louis Dreyfus Natural Gas Corp. 3,394 106,275
+Magnum Hunter Resources Inc. 800 5,301
+Mallon Resources Corp. 4,900 43,488
+Marine Drilling Co. Inc. 3,041 85,148
+MarkWest Hydrocarbon Inc. 1,779 15,010
+McMoRan Exploration Co. 619 10,214
MDU Resources Group Inc. 3,172 68,595
+Mercury Air Group Inc. 294 1,470
+Meridian Resource Corp. (The) 1,900 10,806
Midcoast Energy Resources Inc. 862 13,577
Mitchell Energy & Development Corp. "A" 2,597 83,429
Murphy Oil Corp. 2,711 161,135
+Nabors Industries Inc. 8,783 365,043
+National-Oilwell Inc. 5,783 190,115
New Jersey Resources Corp. 696 26,492
+Newfield Exploration Co. 2,702 105,716
</TABLE>
44
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------
<S> <C> <C>
Common Stocks--(Continued)
-------------------------------------------------------------
Noble Affiliates Inc. 4,149 $ 154,550
+Noble Drilling Corp. 8,264 340,374
Northwest Natural Gas Co. 1,209 27,051
+Nuevo Energy Co. 1,327 25,047
NUI Corp. 1,366 36,882
+Ocean Energy Inc. 11,362 161,199
+Oceaneering International Inc. 1,332 25,308
+Parker Drilling Co. 6,495 40,188
Patina Oil & Gas Corp. 2,300 47,725
+Patterson Energy Inc. 2,100 59,850
+Pennaco Energy Inc. 1,400 22,925
+Petroleum Development Corp. 2,500 12,813
Piedmont Natural Gas Co. 1,471 39,073
+Pioneer Natural Resources Co. 4,883 62,258
Pogo Producing Co. 2,195 48,564
+Pride International Inc. 4,254 105,287
+Prima Energy Corp. 387 20,705
Providence Energy Corp. 220 8,910
+R&B Falcon Corporation 11,810 278,273
+Remington Oil & Gas Corp. 1,700 12,750
+Santa Fe Snyder Corp. 11,029 125,455
+Seacor Smit Inc. 851 32,904
+Seitel Inc. 1,364 11,083
Semco Energy Inc. 800 10,400
+Southern Union Co. 2,507 39,648
Southwest Gas Co. 1,656 28,980
+Spinnaker Exploration Co. 1,300 33,313
St. Mary Land & Exploration Co. 1,199 50,433
+Stone Energy Corp. 974 58,197
+Superior Energy Services Inc. 3,300 34,238
+Swift Energy Co. 1,629 46,223
+Tesoro Petroleum Corp. 3,192 32,319
+Tom Brown Inc. 1,879 43,334
UGI Corp. 1,570 32,185
Ultramar Diamond Shamrock Corp. 4,919 122,053
+Unit Corp. 2,349 31,712
+UTI Energy Corp. 866 34,748
Valero Energy Corp. 3,498 111,062
Valley Resources Inc. 222 5,356
Vastar Resources Inc. 6,056 497,349
WD-40 Company 1,899 39,404
Western Gas Resources Inc. 1,785 37,485
----------
7,299,185
----------
Oil & Gas Services--0.61%
+BJ Services Co. 4,836 302,250
+Cooper Cameron Corp. 3,281 216,546
+Friede Goldman Halter Inc. 3,924 35,071
+Grant Prideco Inc. 6,860 171,500
+Input/Output Inc. 5,654 47,706
+Smith International Inc. 2,953 215,015
Tidewater Inc. 4,138 148,968
+Varco International Inc. 5,249 122,039
+Weatherford International Inc. 6,860 273,114
----------
1,532,209
----------
Packaging & Containers--0.21%
American National Can Group Inc. 3,400 57,375
<CAPTION>
-------------------------------------------------------------
Shares Value
-------------------------------------------------------------
<S> <C> <C>
+Astronics Corp. 299 $ 2,766
+BWAY Corporation 443 2,935
Greif Brothers Corp. "A" 1,325 40,744
Longview Fibre Co. 2,812 31,108
+Packaging Corporation of America 5,350 54,169
+Silgan Holdings Inc. 2,654 26,042
+Smurfit-Stone Container Corp. 12,916 166,294
Sonoco Products Co. 7,046 144,883
----------
526,316
----------
Pharmaceuticals--3.34%
+Abgenix Inc. 2,416 289,580
+Akorn Inc. 2,709 21,503
+Alexion Pharmaceuticals Inc. 1,216 86,944
+Alkermes Inc. 3,692 173,986
+Alliance Pharmaceutical Corp. 3,200 36,000
+Allou Health & Beauty Care Inc. "A" 261 1,876
Alpharma Inc. 2,695 167,764
+Amerisource Health Corp. "A" 3,092 95,852
+Amylin Pharmaceuticals Inc. 2,700 41,006
+Andrx Corp. 3,800 242,903
+Anika Therapeutics Inc. 400 700
+Antigenics Inc. 2,200 36,575
+Aphton Corp. 1,032 26,574
+Arqule Inc. 2,044 39,603
+AVI BioPharma Inc. 2,900 28,638
+Aviron 1,303 40,230
+Axys Pharmaceuticals Inc. 3,011 17,878
+Barr Laboratories Inc. 3,152 141,227
Bergen Brunswig Corp. "A" 6,921 38,066
Bindley Western Industries Inc. 2,917 77,118
+Biocryst Pharmaceuticals Inc. 1,965 56,371
+Biomatrix Inc. 1,316 29,775
+Biopure Corp. 1,400 26,338
+Biotime Inc. 470 3,319
+Bone Care International Inc. 3,173 74,764
+Boston Life Sciences Inc. 1,793 15,857
+Cell Genesys Inc. 3,259 91,252
+Cell Pathways Inc. 1,694 39,809
+Cell Therapeutics Inc. 1,890 57,881
+Cellegy Pharmaceuticals Inc. 2,300 18,975
+Chirex Inc. 1,137 22,740
+CIMA Labs Inc. 2,100 42,525
+CollaGenex Pharmaceuticals Inc. 4,116 38,588
+Columbia Laboratories Inc. 1,757 10,103
+Connetics Corp. 1,637 24,043
+Corixa Corp. 1,277 54,831
+Corvas International Inc. 2,500 30,000
+Coulter Pharmaceutical Inc. 933 19,127
+Crescendo Pharmaceuticals Corp. 2,000 40,250
+Cytoclonal Pharmaceuticals Inc. 3,956 40,055
+D&K Healthcare Resources Inc. 1,638 17,097
Dentsply International Inc. 2,948 90,835
+Digene Corp. 1,028 41,506
</TABLE>
45
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------------
+Dura Pharmaceuticals Inc. 2,874 $ 41,314
+Duramed Pharmaceuticals Inc. 2,262 12,300
+Epix Medical Inc. 1,921 28,575
+Forest Laboratories Inc. "A" 6,049 610,949
+Geltex Pharaceuticals Inc. 2,148 43,900
+Genta Inc. 2,100 13,650
+Genzyme Transgenics Corp. 1,776 48,174
+Geron Corp. 2,194 70,208
+Gilead Sciences Inc. 2,649 188,410
+Guest Supply Inc. 282 5,129
+Guilford Pharmaceuticals Inc. 1,220 18,376
+Hemispherx Biopharma Inc. 1,810 10,181
+Henry Schein Inc. 2,680 46,230
Herbalife International Inc. "A" 5,868 51,345
+Hi-Tech Pharmacal Co. 2,400 10,350
+Hyseq Inc. 1,678 76,244
ICN Pharmaceuticals Inc. 5,623 156,390
+Ilex Oncology Inc. 1,266 44,627
+Imclone Systems Inc. 1,801 137,664
+Immucor Inc. 333 1,873
+Immune Response Corp. 1,365 14,844
+Immunogen Inc. 4,500 54,281
+Inhale Therapeutic Systems Inc. 1,502 152,406
+Inkine Pharmaceutical Co. 2,800 13,650
+International Isotopes Inc. 392 1,691
+IVAX Corporation 10,604 440,066
Jones Pharma Inc. 4,493 179,439
+King Pharmaceuticals Inc. 5,720 250,943
+Kos Pharmaceuticals Inc. 1,853 29,764
+KV Pharmaceutical Co. "A" 2,228 59,042
+Lifecore Biomedical Inc. 1,356 10,679
+Ligand Pharmaceuticals Inc. "B" 1,382 18,225
+Magainin Pharmaceuticals Inc. 1,822 8,427
+Martek Biosciences Corp. 1,748 32,775
+Medarex Inc. 2,064 174,408
+Medical Manager Corp. 2,050 69,828
+Medicis Pharmaceutical Corp. "A" 2,143 122,151
Meridian Diagnostics Inc. 6,730 52,578
+MGI Pharma Inc. 833 23,962
+Microcide Pharmaceuticals Inc. 2,892 24,944
+Miravant Medical Technologies 1,191 26,574
Mylan Laboratories Inc. 10,654 194,436
+NABI Inc. 3,300 24,131
+Nastech Pharmaceutical Co. Inc. 3,000 13,594
+Natrol Inc. 2,290 7,443
+NBTY Inc. 3,730 23,779
+Neose Technologies Inc. 1,153 48,498
+Neurocrine Biosciences Inc. 1,371 48,756
+Northfield Laboratories Inc. 820 13,376
+NPS Pharmaceuticals Inc. 1,351 36,139
+Nu Skin Asia Pacific Inc. "A" 3,109 17,877
Omnicare Inc. 5,605 50,795
+OSI Pharmaceuticals Inc. 2,198 63,330
+Pathogenesis Corp. 1,229 31,954
+Perrigo Co. 7,576 47,824
<CAPTION>
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Shares Value
<S> <C> <C>
---------------------------------------------------------------------
+Pharmacyclics Inc. 956 $ 58,316
+Priority Healthcare Corp. "B" 1,338 99,430
+Progenics Pharmeceuticals Inc. 610 8,693
+Protein Design Labs Inc. 1,130 186,397
+Sangstat Medical Corp. 1,921 55,469
+Schein Pharmaceutical Inc. 3,250 70,281
+Sciclone Pharmaceuticals Inc. 1,900 24,581
+Sepracor Inc. 4,546 548,361
+Serologicals Corp. 1,087 5,435
+SICOR Inc. 4,863 38,904
+Supergen Inc. 1,451 52,599
+Sybron International Corp. 6,518 129,138
+Synaptic Pharmaceutical Corp. 1,694 8,682
+Texas Biotech Corp. 4,257 80,883
+Titan Pharmaceuticals Inc. 1,487 63,941
+Triangle Pharmaceuticals Inc. 3,876 35,126
+Tularik Inc. 2,536 74,812
+Twinlab Corp. 2,806 17,888
+United Therapeutics Inc. 1,400 151,725
+V.I. Technologies Inc. 1,752 12,264
+VaxGen Inc. 900 19,688
+Vical Inc. 883 16,998
+Vion Pharmaceuticals Inc. 2,523 18,923
+Viropharma Inc. 2,523 39,422
+VIVUS Inc. 2,800 19,425
+Zonagen Inc. 1,801 5,881
----------
8,331,824
----------
Pipelines--0.32%
Dynegy Inc. 8,736 596,778
National Fuel Gas Co. 1,920 93,600
Questar Corp. 6,090 117,994
----------
808,372
----------
Real Estate--1.34%
Acadia Realty Trust 1,437 8,173
Aegis Realty Inc. 460 4,571
Agree Realty Corp. 294 4,888
Alexandria Real Estate Equity 662 22,715
Ameresco Capital Trust 369 3,736
+American Community Property Trust 600 2,475
+American Realty Trust Inc. 581 5,520
American Residential Investment Trust Inc. 560 2,310
Amerivest Properties Inc. 700 3,063
Amli Residential Properties Trust 2,144 50,518
Annaly Mortgage Management Inc. 766 6,798
Anthracite Capital Inc. 1,137 8,101
Apex Mortgage Capital Inc. 357 3,035
Arizona Land Income Corp. "A" 500 2,156
Asset Investor Corp. 324 3,827
Associated Estates Realty Corp. 1,233 8,631
Atlantic Realty Trust Inc. 400 2,975
Banyan Strategic Realty Trust 797 4,583
Bedford Property Investors Inc. 2,913 54,073
</TABLE>
46
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+BF Enterprises Inc. 200 $ 1,550
Boykin Lodging Co. 928 12,528
Bradley Real Estate Inc. 1,266 26,982
Brandywine Realty Trust 2,800 53,550
BRE Properties Inc. 3,577 103,286
+BRT Realty Trust 500 4,000
Cabot Industrial Trust 2,031 39,985
+California Coastal Communities Inc. 535 3,143
Captec Net Lease Realty Inc. 550 6,050
+Catellus Development Corp. 7,676 115,140
CBL & Associates Properties Inc. 1,282 31,970
Centerpoint Properties Corp. 1,038 42,299
Chateau Communities Inc. 1,447 40,878
Chelsea GCA Realty Inc. 795 27,477
+Cherokee Inc. 389 3,477
Colonial Properties Trust 1,165 31,892
Commercial Net Lease Realty Inc. 4,713 49,487
Consolidated-Tomoka Land Co. 235 2,849
Cornerstone Realty Income Trust 4,949 49,490
Corporate Office Properties Trust 1,007 9,252
Correctional Properties Trust 462 4,851
+CoStar Group Inc. 728 18,246
Cousins Properties Inc. 2,418 93,093
Cross Timbers Royalty Trust 368 5,083
Crown American Realty Trust 1,466 7,880
Developers Diversified Realty Corp. 2,963 44,260
Eastgroup Properties Inc. 829 17,461
Entertainment Properties Trust 811 11,202
Equity Inns Inc. 6,529 39,990
Equity One Inc. 677 6,516
First Industrial Realty Trust 2,897 85,462
First Washington Realty Trust 515 11,362
Forest City Enterprises Inc. "A" 1,541 51,431
G & L Realty Corp. 281 2,037
Gables Residential Trust 1,271 32,808
Getty Realty Corp. 1,300 14,138
Glenborough Realty Trust Inc. 1,619 28,231
Glimcher Realty Trust 3,760 54,050
Golf Trust of America 481 7,636
Grove Property Trust 503 8,174
+Grubb And Ellis Co. 2,027 11,909
Healthcare Realty Trust 1,986 33,886
+HMG/Courtland Properties Inc. 700 4,813
Home Properties of NY Inc. 1,054 31,620
+HomeServices.com Inc. 800 9,000
Humphrey Hospitality Trust Inc. 660 5,239
Impac Commercial Holdings Inc. 585 3,400
Income Opportunity Realty Investors Inc. 2,400 17,400
Innkeepers USA Trust 5,629 51,365
<CAPTION>
-----------------------------------------------------------------
Shares Value
-----------------------------------------------------------------
<S> <C> <C>
+Insignia Financial Group Inc. 2,357 $ 23,570
Investors Real Estate Trust 1,142 8,779
IRT Property Co. 6,387 54,290
Jameson Inns Inc. 641 4,727
JDN Realty Corp. 4,362 44,438
+Jones Lang LaSalle Inc. 3,226 43,148
JP Realty Inc. 2,389 42,554
+Kennedy-Wilson Inc. 1,098 5,833
Kilroy Realty Corp. 1,436 37,246
Koger Equity Inc. 1,389 23,439
LaSalle Hotel Properties 861 12,377
Lexington Corp. 934 10,449
LNR Property Corp. 1,320 25,740
LTC Properties Inc. 1,445 8,580
Macerich Co. (The) 1,654 36,491
Malan Realty Investors Inc. 331 4,613
Manufactured Home Communities Inc. 1,268 30,353
+Mays (JW) Inc. 600 3,000
Meristar Hospitality Corp. 2,369 49,749
Mid Atlantic Realty Trust 820 8,200
Mid-America Apartment Communities Inc. 942 22,608
Mills Corp. 1,180 22,199
Monmouth Real Estate Investment Corp. "A" 2,500 12,813
National Golf Properties Inc. 2,360 49,855
National Health Investors Inc. 4,195 46,145
National Health Realty Inc. 548 4,418
Nationwide Health Properties Inc. 2,267 31,596
One Liberty Properties Inc. 200 2,188
Pacific Gulf Properties Inc. 2,495 62,531
Pan Pacific Retail Properties Inc. 2,846 57,276
Parkway Properties Inc. 552 16,836
Philips International Realty Corp. 470 8,166
Pittsburgh & West Virginia Railroad 400 2,750
Prentiss Properties Trust 1,841 44,184
Presidential Realty Corp. "B" 400 2,800
+Price Enterprises Inc. 800 5,375
Prime Group Realty Trust 857 13,016
PS Business Parks Inc. 1,157 27,768
Ramco-Gershenson Properties Trust 462 7,132
Realty Income Corp. 1,799 42,389
Reckson Associates Realty Corp. 1,990 47,265
Redwood Trust Inc. 517 7,238
Regency Realty Corp. 3,440 81,700
Resource Asset Investment Trust 375 4,125
RFS Hotel Investors Inc. 4,113 48,328
Roberts Realty Investors Inc. 400 2,850
Shurgard Storage Centers Inc. 1,879 42,278
Sizeler Property Investors Inc. 557 4,178
Sl Green Realty Corp. 1,271 33,999
Smith (Charles E) Residential Realty Inc. 982 37,316
Sovran Self Storage Inc. 679 14,556
</TABLE>
47
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------
Extended Index
Master Portfolio Shares Value
--------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
--------------------------------------------------------
St. Joe Company (The) 5,324 $ 159,720
Storage USA Inc. 1,440 42,480
+Stratus Properties Inc. 639 2,716
Summit Properties Inc. 1,437 30,177
Sun Communities Inc. 863 28,857
Tanger Factory Outlet Centers
Inc. 391 9,189
Tarragon Realty Investors Inc. 508 5,334
Taubman Centers Inc. 2,667 29,337
Thornbury Mortgage Asset Corp. 1,192 8,568
Town & Country Trust 2,581 44,361
+Trammell Crow Co. 1,832 19,694
Transcontinental Realty
Investments Inc. 838 10,213
+United Capital Corp. 690 9,229
United Investors Realty Trust 624 3,686
United Mobile Homes Inc. 522 4,307
+United Park City Mines Co. 119 2,663
Universal Health Realty Inc. 530 10,037
Urban Shopping Centers Inc. 875 29,477
Urstadt Biddle Properties Inc. 400 2,725
Urstadt Biddle Properties Inc.
"A" 400 2,850
W.P. Carey & Co. LLC 1,332 21,812
+Winfield Capital Corp. 324 3,969
Winston Hotels Inc. 901 6,758
----------
3,341,589
----------
Real Estate Investment Trusts--2.16%
AMB Property Corp. 4,742 108,177
American Industrial Properties 3,592 48,717
American Mortgage Acceptance
Corp. 300 2,531
Apartment Investment &
Management Co. "A" 4,031 174,341
Archstone Communities Trust 8,411 177,157
Arden Realty Inc. 5,192 122,012
AvalonBay Communities Inc. 3,956 165,163
BNP Residential Properties
Inc. 366 3,065
Boston Properties Inc. 4,242 163,847
Camden Property Trust 2,993 87,919
Capstead Mortgage Corp. 1,476 12,362
CarrAmerica Realty Corp. 5,010 132,765
Commercial Assets Inc. 9,563 47,815
Crescent Real Estate Equities
Co. 7,713 158,117
Duke-Weeks Realty Corp. 8,358 187,010
Equity Office Properties Trust 17,910 493,644
Equity Residential Properties
Trust 5,720 263,120
Essex Property Trust Inc. 944 39,648
Federal Realty Investment
Trust 1,991 39,820
FelCor Lodging Trust Inc. 5,537 102,435
Franchise Finance Corporation
of America 3,892 89,516
<CAPTION>
--------------------------------------------------------
Shares Value
--------------------------------------------------------
<S> <C> <C>
General Growth Properties Inc. 3,506 $ 111,316
Great Lakes Inc. 3,319 56,423
Health Care Inc. 1,454 23,628
Health Care Property Investors
Inc. 3,557 96,928
Highwoods Properties Inc. 4,559 109,416
Hospitality Properties Trust 4,435 100,065
Host Marriott Corp. 12,760 119,625
HRPT Properties Trust 10,785 74,821
Keystone Property Trust 471 6,476
Kimco Realty Corp. 3,682 150,962
Kramont Realty Trust 1,181 11,072
Liberty Property Trust 4,733 122,762
Mack-Cali Realty Corp. 4,258 109,377
Maxus Realty Trust Inc. 400 2,600
Mission West Properties Inc. 2,400 25,200
New Plan Excel Realty Trust 6,847 89,011
Post Properties Inc. 2,501 110,044
Prologis Trust 9,976 212,607
Public Storage Inc. 8,094 189,703
Rouse Co. 5,269 130,408
Senior Housing Properties
Trust 4,318 34,274
Simon Property Group Inc. 9,018 200,087
Spieker Properties Inc. 3,937 186,023
United Dominion Realty Trust 8,834 97,174
USP Trust 700 4,550
Vornado Realty Trust 5,268 183,063
Washington Trust 1,796 32,104
Weingarten Realty Investors 1,893 76,430
Western Properties Trust 934 11,091
Westfield America Inc. 6,581 89,255
----------
5,385,676
----------
Retail--3.47%
+Abercrombie & Fitch Co. 6,120 74,588
+AC Moore Arts & Crafts Inc. 2,000 12,750
+Action Performance Companies
Inc. 1,745 12,651
Advanced Marketing Services
Inc. 1,066 19,654
+Alexander's Inc. 723 52,960
+Amazon.com Inc. 21,764 790,305
+American Eagle Outfitters
Inc. 2,570 35,980
+Ames Department Stores Inc. 1,336 10,354
+AnnTaylor Stores Corp. 2,047 67,807
+Ashworth Inc. 629 2,811
+AutoNation Inc. 24,098 170,192
Baker (J.) Inc. 729 4,237
+Barnes & Noble Inc. 3,968 88,288
+Bebe Stores Inc. 2,424 20,301
+Bell Microproducts Inc. 395 7,258
Big Dog Holdings Inc. 541 2,232
+BJ's Wholesale Club Inc. 4,872 160,776
Blair Corp. 1,128 20,868
Blockbuster Inc. 1,800 17,438
+Bluefly Inc. 200 438
Bob Evans Farms Inc. 3,833 57,255
+Books-A-Million Inc. 1,043 4,824
+Borders Group Inc. 4,435 69,020
+BOWLIN Outdoor Advertising
& Travel Centers Inc. 200 1,275
</TABLE>
48
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
----------------------------------------------------------------
+Boyds Collection Ltd. (The) 5,400 $ 45,900
+Braun's Fashions Corp. 450 16,509
+Brinker International Inc. 3,633 106,265
+Brookstone Inc. 397 3,809
Brown Shoe Company Inc. 1,708 22,204
+Buckle Inc. (The) 1,682 19,764
Burlington Coat Factory Warehouse Corp. 3,019 32,643
+buy.com Inc. 6,824 34,333
+Cache Inc. 400 1,475
Casey's General Store Inc. 3,854 39,985
Cash American Investments Inc. 2,722 20,075
Cato Corp. "A" 1,513 17,589
CBRL Group Inc. 3,936 57,810
+CDW Computer Centers Inc. 5,444 340,250
+Central Garden & Pet Co. 1,332 11,946
+Charlotte Russe Holding Inc. 1,900 19,950
+Charming Shoppes Inc. 6,277 31,973
+Chico's FAS Inc. 1,716 34,320
+Children's Place Retail Stores Inc. 2,311 47,376
Claire's Stores Inc. 3,172 61,061
+Coldwater Creek Inc. 1,075 32,384
+Cost Plus Inc. 1,883 54,019
+CSK Auto Corp. 2,542 19,224
+Cyberian Outpost Inc. 2,009 9,668
+Dallas Gold and Silver Exchange Inc. 400 3,000
+Damark International Inc. "A" 284 6,106
+Dave & Buster's Inc. 781 4,832
+David's Bridal Inc. 1,600 18,500
Deb Shops Inc. 1,184 14,800
+Dollar Tree Stores Inc. 6,069 240,105
+Dress Barn Inc. 2,018 44,648
+Drugstore.com Inc. 3,300 24,853
+Duane Reade Inc. 1,259 32,419
+Duckwall-Alco Stores Inc. 227 1,873
+eBay Inc. 16,206 880,188
+Egghead.com Inc. 3,787 11,124
+Elder-Beerman Stores Corp. 779 3,213
+Electronics Boutique Holdings Corp. 1,502 24,595
+eToys Inc. 8,800 55,825
+Factory 2-U Stores Inc. 923 34,901
Family Dollar Stores Inc. 10,604 207,441
Fastenal Co. 2,097 106,161
+Filene's Basement Corp. 900 10
+Finlay Enterprises Inc. 583 7,579
+Footstar Inc. 1,097 36,475
Fred's Inc. 1,040 18,720
+FreeMarkets Inc. 2,171 102,987
Friedman's Inc. 739 3,649
+Gadzooks Inc. 697 8,092
+Gart Sports Co. 343 2,058
+GC Companies Inc. 584 13,067
+Genesis Direct Inc. 1,193 6
+Gerald Stevens Inc. 4,261 6,125
+Globe Business Resources Inc. 808 10,504
+Goody's Family Clothing Inc. 3,491 19,201
+Guitar Center Inc. 2,198 23,079
Haverty Furniture Companies Inc. 1,222 10,387
<CAPTION>
----------------------------------------------------------------
Shares Value
----------------------------------------------------------------
<S> <C> <C>
+Hibbet Sporting Goods Inc. 336 $ 7,896
+HomeGrocer.com Inc. 7,905 47,677
+Hot Topic Inc. 832 26,624
+iGo Corp. 1,000 3,875
+Intertan Inc. 2,653 31,173
Intimate Brands Inc. 31,750 627,063
+Jacobson Stores Inc. 200 1,000
+Jill (J.) Group Inc. (The) 454 2,951
+Jo-Ann Stores Inc. 1,102 7,714
+Joseph A. Bank Clothiers Inc. 300 1,163
+JumboSports Inc. 8,300 17
+Just For Feet Inc. 1,594 40
+Kenneth Cole Productions "A" 1,174 46,960
+Krispy Kreme Doughnuts Inc. 105 7,718
+Lands' End Inc. 1,852 61,811
Lillian Vernon Coporation 1,236 12,978
+Linens 'N Things Inc. 2,442 66,239
Lone Star Steakhouse & Saloon Inc. 1,749 17,709
+Marvel Enterprises Inc. 3,233 20,004
+Mazel Stores Inc. 408 3,417
+Men's Wearhouse Inc. (The) 2,396 53,461
+Michaels Stores Inc. 1,927 88,281
+Microage Inc. 1,143 366
+Mothers Work Inc. 900 10,125
+MP3.com Inc. 3,500 47,469
+MSC Industrial Direct Co. Inc. "A" 2,211 46,293
+Multiple Zones International Inc. 682 2,728
+Neiman-Marcus Group Inc. "A" 2,792 84,284
+Neoforma.com Inc. 6,838 48,080
+Network Commerce Inc. 3,100 17,050
+99 Cents Only Stores 2,006 79,989
+NPC International Inc. 2,293 20,565
+NuCo2 Inc. 322 2,576
+Nyer Medical Group Inc. 220 1,018
+OfficeMax Inc. 7,191 35,955
+O'Reilly Automotive Inc. 3,404 47,231
+Outback Steakhouse Inc. 4,394 128,525
+Pacific Sunwear of California Inc. 1,911 35,831
+Pantry Inc. (The) 1,400 12,950
+Payless Shoesource Inc. 1,804 94,146
+PC Connection Inc. 1,709 97,413
+Petco Animal Supplies Inc. 2,377 46,649
Pier 1 Imports Inc. 5,551 54,122
+Piercing Pagoda Inc. 436 6,322
+Priceline.com Inc. 10,522 399,672
+PurchasePro.com Inc. 1,800 73,800
+RDO Equipment Co. "A" 200 1,100
+Right Start (The) 3,600 16,425
Ross Stores Inc. 5,000 85,313
Ruby Tuesday Inc. 2,892 36,331
+Ryan's Family Steak Houses Inc. 2,791 23,549
+S&K Famous Brands Inc. 900 6,188
+Saks Inc. 8,562 89,901
+Samsonite Corp. 2,267 10,202
+School Specialty Inc. 1,352 25,097
+7-Eleven Inc. 5,009 68,874
+Shopko Stores Inc. 1,467 22,555
</TABLE>
49
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
--------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
--------------------------------------------------------
+Sound Advice Inc. 200 $ 1,913
Spiegel Inc. "A" 7,393 62,841
+Sport Chalet Inc. 300 1,388
+Stamps.com Inc. 4,200 30,713
+Stein Mart Inc. 4,129 42,322
+StyleSite Marketing Inc. 1,400 1
+Sunglass Hut International
Inc. 4,116 33,828
+Systemax Inc. 2,716 10,525
Talbots Inc. (The) 1,904 104,601
+Too Inc. 1,700 43,244
+Trans World Entertainment
Corp. 2,564 31,089
+Travis Boats & Motors Inc. 958 5,269
+Tuesday Morning Corp. 2,600 27,300
+Tweeter Home Entertainment
Group Inc. 1,064 32,319
+Urban Outfitters Inc. 1,453 12,805
+Value City Department Stores
Inc. 2,244 21,318
+Valuevision International
Inc. "A" 2,142 51,408
+Venator Group Inc. 8,363 85,721
+Ventro Corporation 2,900 54,738
+Webvan Group Inc. 1,300 9,466
+Wet Seal Inc. "A" 1,608 21,105
+Whitehall Jewellers Inc. 1,182 22,015
+Williams-Sonoma Inc. 3,388 109,898
+Wilsons The Leather Experts
Inc. 899 13,197
+Yankee Candle Co. Inc. (The) 3,500 75,688
+Zale Corp. 2,104 76,796
----------
8,657,290
----------
Semiconductors--3.26%
+Alliance Semiconductor Corp. 2,230 54,774
+Amkor Technology Inc. 7,973 281,547
+Applied Micro Circuits Corp. 7,648 755,240
+Atmel Corp. 13,910 512,931
+Broadcom Corp. 7,256 1,588,611
+Cirrus Logic Inc. 3,557 56,912
+Cypress Semiconductor Corp. 6,947 293,511
+General Semiconductor Inc. 2,258 33,306
+International Rectifier Corp. 4,005 224,280
+Lam Research Corp. 7,699 288,713
+Lattice Semiconductor Corp. 2,896 200,186
+Marvell Technology Group Ltd. 2,174 123,918
+MEMC Electronics Materials
Inc. 4,812 86,616
+Pericom Semiconductor Corp. 1,344 91,392
+Pixelworks Inc. 2,194 49,914
+QLogic Corp. 4,640 306,530
+Quantum Effect Devices Inc. 1,444 82,308
+Rambus Inc. 6,132 631,596
+SDL Inc. 4,624 1,318,707
+TriQuint Semiconductor Inc. 2,446 234,052
+Varian Semiconductor
Equipment Associates Inc. 1,730 108,666
+Vitesse Semiconductor Corp. 10,952 805,657
----------
8,129,367
----------
<CAPTION>
--------------------------------------------------------
Shares Value
<S> <C> <C>
--------------------------------------------------------
Software--7.69%
+Acxiom Corp. 5,072 $ 138,212
+Akamai Technologies Inc. 877 104,130
+America Online Inc. 789 41,617
+American Management Systems
Inc. 2,578 84,631
+Apropos Technology Inc. 1,300 25,838
+Ariba Inc. 12,100 1,186,367
+At Home Corp. "A" 22,107 458,720
+Avant! Corp. 4,417 82,750
+BEA Systems Inc. 15,452 763,908
+BroadVision Inc. 15,418 783,427
+Cadence Design Systems Inc. 15,871 323,372
+Caminus Corp. 760 18,620
+CareInsite Inc. 4,300 76,863
+Centillium Communications
Inc. 1,976 136,344
+ChoicePoint Inc. 2,568 114,276
+Chordiant Software Inc. 4,054 67,398
+CMGI Inc. 17,455 799,657
+CNET Networks Inc. 5,140 126,251
+Cobalt Group Inc. 2,600 17,875
+Computer Horizons Corp. 1,894 25,451
+Concentrix Inc. 225 900
+Concero Inc. 600 7,350
+Corillian Corp. 1,847 30,706
+Covad Communications Group
Inc. 9,111 146,915
+CSG Systems International
Inc. 2,998 168,075
+CyBear Inc. 1,500 4,031
+DigitalThink Inc. 1,990 71,391
+DoubleClick Inc. 7,444 283,803
+EarthLink Inc. 7,797 120,370
+Edwards (J.D.) & Co. 6,565 98,885
+Electronic Arts Inc. 4,227 308,307
+eMerge Interactive Inc. "A" 1,462 26,225
+Envision Development Corp. 600 15,600
+EPIQ Systems Inc. 207 2,251
+ePresence Inc. 2,346 17,009
+eXcelon Corp. 2,332 18,510
+Exodus Communications Inc. 22,840 1,052,068
+Extensity Inc. 1,120 38,360
+FirePond Inc. 1,751 63,036
+Fiserv Inc. 7,400 320,050
+Genuity Inc. 12,019 110,049
+Geoworks Corp. 1,120 17,640
+GraphOn Corp. 2,600 22,100
+Healtheon/WebMD Corp. 11,381 168,581
+HealthGate Data Corp. 900 1,463
+HealthStream Inc. 1,041 5,726
+HearMe Inc. 1,700 7,650
+Homestore.com Inc. 5,000 145,938
+i2 Technologies Inc. 11,367 1,185,187
+iBeam Broadcasting Corp. 6,497 116,946
+Information Resources Inc. 2,141 8,430
+Informix Corp. 17,525 130,342
+Infospace.com Inc. 14,000 773,500
+Inktomi Corp. 6,844 809,303
+Innoveda Inc. 2,888 13,177
+Internet Capital Group LLC 1,984 73,439
+Internet Pictures Corp. 3,221 48,718
+Intuit Inc. 12,353 511,105
</TABLE>
50
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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Extended Index
Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
---------------------------------------------------------------------
+iVillage Inc. 2,800 $ 23,625
+JDA Software Group Inc. 2,263 43,421
+Keane Inc. 3,849 83,235
+L90 Inc. 1,900 19,950
+Lante Corp. 2,834 57,920
+Legato Systems Inc. 5,282 79,890
+LHS Group Inc. 3,343 115,334
+LifeMinders Inc. 1,600 47,300
+Lightning Rod Software Inc. 200 975
+Lightspan Inc. 4,460 24,530
+Loudeye Technologies Inc. 2,212 38,572
+Lycos Inc. 6,942 374,868
+Macromedia Inc. 3,189 308,336
+Manugistics Group, Inc. 1,779 83,168
+Mercator Software Inc. 1,682 115,638
National Data Corp. 1,916 44,068
+netGuru Inc. 1,600 28,600
+Netpliance Inc. 3,827 34,921
+Network Associates Inc. 9,017 183,721
+NetZero Inc. 6,400 33,400
+New Era of Networks Inc. 2,188 92,990
+NorthPoint Communications Group Inc. 8,000 89,500
+Numerical Technologies Inc. 1,548 75,272
+Objective Systems Integrator Inc. 5,184 55,404
+OnDisplay Inc. 1,800 146,588
+Opus360 Corp. 2,786 10,273
+Peregrine Systems Inc. 8,364 290,135
+Per-Se Technologies Inc. 1 9
+Phone.com Inc. 4,400 286,550
+Pixar Inc. 2,588 91,227
+PLATO Learning Inc. 1,500 20,625
+Policy Management Systems Corp. 3,413 52,475
+Previo Inc. 2,300 18,113
+Prodigy Communications Corp. "A" 3,738 39,249
+Promotions.com. Inc. 1,100 5,500
+PSINET Inc. 11,080 278,395
+RadiSys Corp. 963 54,650
+Rational Software Corp. 5,688 528,629
+RealNetworks Inc. 9,688 489,850
+Remedy Corp. 1,573 87,695
Reynolds & Reynolds Co. "A" 4,877 89,005
+Rhythms Netconnections Inc. 5,200 65,325
+Saba Software Inc. 3,033 63,693
+Simione Central Holdings Inc. 56 168
+SkillSoft Corp. 3,459 48,858
+Structural Dynamics Research Corp. 3,927 59,150
+Sybase Inc. 4,356 100,188
+Symantec Corp. 3,879 209,224
Total System Services Inc. 11,381 180,673
+TriZetto Group Inc. (The) 2,600 42,088
+Ulticom Inc. 1,844 44,285
+USinternetworking Inc. 5,625 114,961
+ValueClick Inc. 3,520 36,080
+Verio Inc. 5,046 279,974
+Via Net.Works Inc. 2,995 46,235
+Vicinity Corp. 1,774 34,815
+Vignette Corp. 12,000 624,188
+Virage Inc. 201 3,631
<CAPTION>
---------------------------------------------------------------------
Shares Value
---------------------------------------------------------------------
<S> <C> <C>
+V-One Corp. 2,900 $ 14,500
+webMethods Inc. 1,955 307,302
+Witness Systems Inc. 1,800 43,875
+ZEROplus.com Inc. 1,100 3,438
+ZipLink Inc. 900 5,400
----------
19,190,500
----------
Telecommunication Equipment--4.87%
+Accelerated Networks Inc. 836 35,301
+ADTRAN Inc. 2,418 144,778
+Advanced Fibre Communications Inc. 5,085 230,414
+AltiGen Communications Inc. 4,300 25,531
+American Tower Corp. 9,271 386,485
+ANTEC Corp. 1,993 82,834
+Avanex Corp. 446 42,593
+Ciena Corp. 8,819 1,470,017
+Commscope Inc. 3,405 139,605
+E-Tek Dynamics Inc. 4,348 1,147,057
+Glenayre Technologies Inc. 3,286 34,708
+Handspring Inc. 3,520 95,040
+Harmonic Inc. 3,053 75,562
Harris Corp. 4,200 137,550
+JDS Uniphase Corp. 34,102 4,087,977
+Metromedia Fiber Network Inc. 29,622 1,175,623
+New Focus Inc. 270 22,174
+Palm Inc. 1,755 58,573
+RF Micro Devices Inc. 4,976 436,022
+SBA Communications Corp. 2,000 103,875
+Science Dynamics Corp. 1,200 13,875
+Sonus Networks Inc. 858 135,457
+Spectrasite Holdings Inc. 7,500 212,813
+Sycamore Networks Inc. 15,400 1,699,775
+Telaxis Communications Corp. 737 23,031
+Williams Communications Group Inc. 4,300 142,706
----------
12,159,376
----------
Telecommunications--8.96%
+Act Networks Inc. 2,246 34,392
+Active Voice Corp. 600 4,800
+ACTV Inc. 2,567 38,345
+Adaptive Broadband Corp. 1,744 64,092
+Adelphia Business Solutions Inc. 1,925 44,636
+Advanced Radio Telecom Corp. 1,685 24,643
+AirGate PCS Inc. 700 36,794
+Airnet Communications Corp. 2,639 68,944
+Alamosa PCS Holdings Inc. 3,936 82,164
+Alaska Communications Systems Holdings Inc. 2,600 26,975
+Allegiance Telecom Inc. 6,728 430,592
+Allen Telecom Inc. 2,811 49,720
+Allied Riser Communications Corp. 3,000 42,375
+American Access Technologies Inc. 300 1,856
+ANADIGICS Inc. 1,514 51,571
+Ancor Communications Inc. 1,726 61,731
+Andrea Electronics Corp. 2,496 17,784
Applied Signal Technology Inc. 375 4,336
</TABLE>
51
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+Arch Communications Group Inc. 5,166 $ 33,579
+Aspect Communications Corp. 2,788 109,603
+@Comm Corporation 100 1,731
Atlantic Tele-Network Inc. 319 3,011
+Audiovox Corp. "A" 1,336 29,476
+Aware Inc. 1,227 62,730
+B.I. Inc. 1,000 5,375
+Blonder Tongue Laboratories Inc. 370 2,752
+Bogen Communications International Inc. 300 2,213
+Boston Communications Group Inc. 2,800 39,200
+Brightpoint Inc. 2,643 22,878
Broadwing Inc. 13,526 350,831
C F W Communications Co. 582 21,825
+Cable Design Technologies Corp. 1,762 59,027
+Carrier Access Corp. 1,356 71,699
+Catapult Communications Corp. 700 7,044
+Celeritek Inc. 600 24,488
+Centennial Cellular Corp. "A" 6,072 83,490
+Centigram Communications Corp. 320 8,180
+Channell Commercial Corp. 408 4,896
+Checkpoint Systems Inc. 3,397 25,478
+Choice One Communications Inc. 1,857 75,789
+Citizen Communications Co. 15,257 263,183
+Cognitronics Corp. 900 11,644
+Com21 Inc. 1,130 28,250
+Comdial Corp. 594 2,636
+Commonwealth Telephone Enterprises Inc. 1,123 52,851
Communications Systems Inc. 324 4,941
Comsat Corp. 2,519 62,188
+Comtech Telecommunications Corp. 300 4,950
+Concord Communications Inc. 779 31,063
Conestoga Enterprises Inc. 257 4,697
+Convergent Communications Inc. 2,000 16,000
+Copper Mountain Networks Inc. 3,100 273,188
+Cosair Communications Inc. 1,059 30,446
+Cox Communications Inc. "A" 36,401 1,658,521
+Crown Castle International Corp. 8,909 325,179
CT Communications Inc. 1,200 34,125
+CTC Communications Group Inc. 1,138 40,968
Cubic Corp. 728 13,650
+Cypress Communications Inc. 2,982 21,620
+Cytogen Corp. 4,500 45,563
D&E Communications Inc. 273 5,324
+Data Race Inc. 3,209 21,260
+Davox Corp. 762 9,858
<CAPTION>
-----------------------------------------------------------------
Shares Value
-----------------------------------------------------------------
<S> <C> <C>
+Deltathree.com Inc. 2,063 $ 30,042
+Detection Systems Inc. 283 2,689
+Digital Island Inc. 3,900 189,638
+Digital Lightware Inc. 1,977 198,689
+Digital Microwave Corp. 3,860 147,163
+Ditech Communications Corp. 1,800 170,213
+Dobson Communications Corp. "A" 5,025 96,731
+DSL.net Inc. 3,700 38,156
+e.spire Communications Inc. 3,193 21,553
+Echostar Communications Corp. 14,456 478,629
+Efficient Networks Inc. 3,300 242,756
+eGlobe Inc. 1,600 4,800
+Elantec Semiconductor Inc. 1,900 132,288
+Electric Lightwave Inc. "A" 382 7,139
+Eltrax Systems Inc. 1,383 8,212
+eShare Technologies Inc. 1,281 8,967
+Ezenia! Inc. 690 3,062
+FirstCom Corp. 1,800 27,113
+Focal Communications Corp. 3,500 125,125
+General Communication Inc. "A" 5,033 25,794
+General DataComm Industries Inc. 3,900 23,644
+Gentner Communications Corp. 400 5,600
+Global Crossing Ltd. 1 17
Global Telesystems Group Inc. 11,772 142,000
+Globix Corp. 1,808 52,997
+GoAmerica Inc. 2,346 36,216
+GST Telecommunications Inc. 3,736 3,561
Harmon Industries Inc. 2,489 32,979
+Hector Communications Corp. 500 6,563
+Hello Direct Inc. 300 3,563
Hickory Tech Corp. 503 6,130
+High Speed Access Corp. 4,000 26,250
+Hughes Electronics Corp. 13,081 1,147,858
+Hungarian Telephone and Cable Corp. 1,300 7,800
+ibasis Inc. 2,400 103,350
+ICG Communications Inc. 2,658 58,642
+I-Link Inc. 1,939 10,422
+Illuminet Holdings Inc. 1,800 91,575
+Inet Technologies Inc. 2,800 151,900
+Infonet Services Corp. "B" 19,395 231,528
+InteliData Technologies Corp. 3,100 31,969
+Interactive Intelligence Inc. 900 33,750
+InterDigital Communications Corp. 3,187 52,785
+Interspeed Inc. 2,200 36,850
Inter-Tel Inc. 1,568 25,186
+InterVoice Inc. 1,990 13,059
+ITC DeltaCom Inc. 3,294 73,497
+L-3 Communications Holdings Inc. 2,424 138,320
+Latitude Communications Inc. 1,300 14,544
+LCC International Inc. "A" 1,600 43,700
</TABLE>
52
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+Leap Wireless International Inc. 1,555 $ 73,085
+Level 3 Communications Inc. 22,641 1,992,408
+Lifeline Systems Inc. 214 2,996
+Lightbridge Inc. 1,590 37,961
+Lightpath Technologies Inc. "B" 500 19,906
+Loral Space & Communications Ltd. 16,097 111,673
+MarketWatch.com Inc. 1,125 21,164
+MCK Communications Inc. 1,300 30,063
+McLeodUSA Inc. "A" 35,413 732,606
+Medialink Worldwide Inc. 237 1,644
+MessageMedia Inc. 2,357 8,250
+Metricom Inc. 1,887 52,600
+Metro One Telecommunications Inc. 1,210 15,201
+Metrocall Inc. 4,710 42,390
+MGC Communications Inc. 1,832 109,806
+Motient Corp. 3,084 48,380
+Natural Microsystems Corp. 990 111,313
+Net2Phone Inc. 1,300 46,394
+Network Access Solutions Corp. 2,300 21,994
+Network Plus Corp. 3,300 46,819
+Next Level Communications Inc. 4,900 420,175
+NorthEast Optic Network Inc. 892 54,970
+Notify Technology Corp. 200 763
+NTL Inc. 8,878 531,570
+NumereX Corp. "A" 2,900 35,888
+Osicom Technologies Inc. 721 61,015
+Pacific Gateway Exchange Inc. 1,158 3,944
+Pac-West Telecomm Inc. 1,900 38,000
+PanAmSat Corp. 1,154 50,415
+P-Com Inc. 4,105 23,347
+Plantronics Inc. 1,240 143,220
+Pliant Systems Inc. 2,200 13,750
+Polycom Inc. 2,224 209,265
+Powertel Inc. 1,817 128,893
+Powerwave Technologies Inc. 3,813 167,772
+Primus Telecommunications Group Inc. 2,354 58,556
+Proxim Inc. 698 69,080
+PTEK Holdings Inc. 4,348 14,131
+Qwest Communications International Inc. 47,084 2,339,486
+Razorfish Inc. 5,150 82,722
+RCN Corp. 4,617 117,156
+Rural Cellular Corp. "A" 786 60,178
+Savvis Communications Corp. 6,224 81,301
+Sawtek Inc. 2,366 136,193
+SCC Communications Corp. 400 2,700
+Seachange International Inc. 1,209 34,910
+Sirius Satellite Radio Inc. 2,037 90,265
+Spectralink Corp. 1,666 24,365
+STAR Telecommunications Inc. 4,590 11,618
+Startec Global Communications Corp. 1,801 19,248
+STM Wireless Inc. "A" 1,000 5,875
<CAPTION>
-----------------------------------------------------------------
Shares Value
-----------------------------------------------------------------
<S> <C> <C>
+Talk.com Inc. 3,388 $ 19,693
+Tekelec 3,821 184,124
+TeleCorp. PCS Inc. 5,423 218,615
+Teligent Inc. "A" 2,265 53,511
+Telocity Inc. 6,837 31,194
+Telular Corp. 2,200 26,400
+Terayon Communications Systems Inc. 3,668 235,612
+Tessco Technologies Inc. 162 4,536
+Time Warner Telecom Inc. "A" 1,600 103,000
+Titan Corp. (The) 3,376 151,057
+T-Netix Inc. 1,582 6,625
+Tollgrade Communications Inc. 628 83,210
+Total-Tel USA Communications Inc. 284 2,840
+Tritel Inc. 6,200 184,063
+Triton PCS Holdings Inc. "A" 3,100 179,025
+Tut Systems Inc. 1,000 57,375
+Ultrak Inc. 542 4,404
+United States Cellular Corp. 5,509 347,067
+Ursus Telecom Corp. 300 1,950
+US LEC Corp. "A" 581 9,877
+Vari-L Co. Inc. 300 3,488
+VerticalNet Inc. 4,600 169,913
+VIALOG Corp. 600 2,325
+Viasat Inc. 457 24,792
+Viatel Inc. 2,859 81,660
+Vixel Corp. 3,900 32,175
+Voicestream Wireless Corp. 10,105 1,175,180
+VTEL Corp. 2,700 10,125
Warwick Valley Telephone Co. 89 3,516
+WebLink Wireless Inc. 5,172 68,529
+West Teleservices Corp. 3,433 86,898
+Westell Technologies Inc. 1,858 27,870
+Western Wireless Corp. "A" 4,526 246,667
+Winstar Communications Inc. 5,399 182,891
+WorldGate Communications Inc. 2,600 46,150
+XETA Corp. 200 6,238
+ZixIt Corp. 749 34,501
+Zoom Telephonics Inc. 2,200 14,300
+Z-Tel Technologies Inc. 1,500 18,000
----------
22,354,984
----------
Telephone--0.40%
+Intermedia Communications Inc. 3,374 100,377
+NEXTLINK Communications Inc. 13,644 517,619
Telephone & Data Systems Inc. 3,836 384,559
----------
1,002,555
----------
Textiles--0.50%
+Alpine Group (The) 696 4,698
+Chemfab Corp. 289 3,432
Cintas Corp. 10,695 392,373
+Columbia Sportswear Co. 1,629 43,779
+Cone Mills Corp. 937 5,798
Culp Inc. 581 2,978
+Cutter & Buck Inc. 1,204 9,557
+Dan River Inc. "A" 1,800 8,550
</TABLE>
53
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Decorator Industries Inc. 100 $ 463
+Dixie Group Inc. 508 1,969
Fab Industries Inc. 205 2,178
First Years Inc. (The) 384 4,272
Garan Inc. 589 13,326
+Genesco Inc. 1,199 19,259
+Gerber Childrenswear Inc. 1,474 7,831
+Global Sports Inc. 1,439 9,264
+Guess ? Inc. 2,319 32,466
Guilford Mills Inc. 2,139 9,091
Haggar Corp. 316 3,713
+Hampshire Group Ltd. 900 6,525
Justin Industries Inc. 1,176 25,725
Kellwood Co. 1,367 28,878
LaCrosse Footwear Inc. 300 1,500
+Lakeland Industries Inc. 200 1,250
+Leslie Fay Co. Inc. 45 152
+Maxwell Shoe Co. Inc. "A" 1,224 12,087
+McNaughton Apparel Group Inc. 300 3,150
+Mohawk Industries Inc. 4,665 101,464
+Nautica Enterprises Inc. 2,466 26,355
Oxford Industries Inc. 814 14,652
Penn Engineering & Manufacturing Corp. 417 14,699
+Perry Ellis International Inc. 1,000 8,000
Pillowtex Corporation 731 3,107
+Polo Ralph Lauren Corp. 2,206 31,436
Polymer Group Inc. 2,131 19,712
+PremiumWear Inc. 200 2,675
+Quaker Fabric Corp. 700 3,544
+Quiksilver Inc. 1,669 25,974
+Rocky Shoes & Boots Inc. 100 506
+Saucony Inc. "B" 300 2,963
Shaw Industries Inc. 7,495 93,688
+Sirena Apparel Group Inc. (The) 300 2
+Sport-Haley Inc. 200 825
+Starter Corp. 3,200 3
Superior Uniform Group Inc. 989 8,592
+Tag-It Pacific Inc. 500 2,469
+Tandy Brands Accessories Inc. 700 5,513
+Tarrant Apparel Group 2,213 19,779
+Timberland Co. 1,226 86,816
+Triarc Companies Inc. 1,308 26,814
+Tropical Sportswear International Corp. 349 6,108
Westpoint Stevens Inc. 3,330 37,046
Weyco Group Inc. 487 12,419
Wolverine World Wide Inc. 4,159 41,070
----------
1,250,495
----------
Tobacco--0.11%
R.J. Reynolds Tobacco Holdings Inc. 7,800 217,913
Universal Corporation 1,406 29,702
Vector Group Ltd. 1,483 21,874
----------
269,489
----------
Toys/Games/Hobbies--0.02%
+Department 56 Inc. 1,908 20,988
+Topps Co. (The) 2,611 30,027
----------
51,015
----------
<CAPTION>
-----------------------------------------------------------------
Shares Value
-----------------------------------------------------------------
<S> <C> <C>
Transportation--0.92%
+ABC Rail Products Corp. 1,831 $ 14,648
Airborne Freight Corp. 2,660 50,374
Alexander & Baldwin Inc. 3,400 75,013
+Allied Holdings Inc. 490 2,940
+AMERCO 1,611 32,220
+American Classic Voyages Co. 2,034 41,951
+American Freightways Corp. 2,215 32,118
+Arkansas Best Corp. 1,223 12,154
Arnold Industries Inc. 2,724 32,858
+Avis Rent A Car Inc. 2,100 39,375
+Boyd Brothers Transportation Inc. 300 1,238
+Budget Group Inc. 1,609 6,637
+Carey International Inc. 448 6,216
+Celadon Group Inc. 445 5,006
CH Robinson Worldwide Inc. 2,243 111,029
Circle International Group Inc. 1,666 41,858
CNF Transportation Inc. 3,238 73,665
+Consolidated Freightways Corp. 1,266 5,143
+Covenant Transport Inc. "A" 663 5,304
+Dollar Thrifty Automotive Group Inc. 1,679 30,957
+EGL Inc. 1,407 43,265
Expeditors International Washington Inc. 3,404 161,690
Florida East Coast Industries Inc. 2,523 100,920
+Forward Air Corp. 993 39,720
+Fritz Companies Inc. 3,622 37,352
+Genesee & Wyoming Inc. "A" 183 3,065
Greenbrier Companies Inc. 525 3,806
+Heartland Express Inc. 2,142 35,745
+Hub Group Inc. "A" 358 5,348
Hunt (J.B.) Transport Services Inc. 2,492 38,470
+Hvide Marine Inc. "A" 5 1
+International Aircraft Investors 1,400 7,350
International Shipholding Corp. 846 7,403
Kenan Transport Co. 108 2,187
+Kirby Corp. 2,435 51,744
+KLLM Transport Services Inc. 500 3,953
+Landair Corp. 1,000 4,875
+Landstar System Inc. 464 27,637
+Lynch Corp. 52 1,684
+Lynch Interactive Corp. 152 14,288
+M.S. Carriers Inc. 1,348 23,759
Maritrans Inc. 540 3,274
+Marten Transport Ltd. 300 3,900
Morgan Group Inc. (The) "A" 200 1,200
+Motor Cargo Industries Inc. 400 1,850
Oglebay Norton Co. 475 12,113
+Old Dominion Freight Line Inc. 506 4,934
Overseas Shipholding Group Inc. 1,746 42,995
+P.A.M. Transportation Services Inc. 673 6,394
</TABLE>
54
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Extended Index
Master Portfolio Shares Value
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------------------------
Polaris Industries Partners LP "A" 1,247 $ 39,904
Providence & Worcester Railroad Co. 500 3,813
+RailAmerica Inc. 983 6,267
Roadway Express Inc. 965 22,617
Rollins Truck Leasing Corp. 5,430 37,671
Royal Caribbean Cruises Ltd. 11,518 213,083
+Simon Transportation Services Inc. 500 2,969
+Swift Transportation Co. Inc. 4,041 56,574
Thor Industries Inc. 1,446 30,366
+Todd Shipyards Corporation 600 4,725
+TransFinancial Holdings Inc. 200 300
+Transport Corp. of America Inc. 591 3,842
+U.S. Xpress Enterprises Inc. "A" 682 5,499
United Parcel Service Inc. 6,800 401,200
US Freightways Corp. 1,375 33,773
+USA Truck Inc. 547 3,214
Werner Enterprises Inc. 2,322 26,848
+Willis Lease Finance Corp. 368 2,300
+Wisconsin Central Transportation Corp. 4,587 59,631
+Yellow Corporation 2,448 36,108
----------
2,302,330
----------
Trucking & Leasing--0.05%
GATX Corporation 2,804 95,336
+Xtra Corp. 687 27,094
----------
122,430
----------
Water--0.16%
American Water Works Inc. 6,509 162,725
+Azurix Corp. 6,400 50,000
California Water Service Group 1,464 35,502
Connecticut Water Service Inc. 467 12,492
E-Town Corp. 76 5,049
+Kaiser Ventures Inc. 478 6,632
Middlesex Water Co. 461 13,196
Philadelphia Suburban Corp. 2,212 45,346
Southwest Water Co. 282 3,666
United Water Resources Inc. 2,177 75,923
----------
410,531
-----------
TOTAL COMMON STOCKS
(Cost: $205,525,982) 240,301,565
-----------
<CAPTION>
-------------------------------------------------------------------------------
Principal Value
-------------------------------------------------------------------------------
<S> <C> <C>
SHORT TERM INSTRUMENTS--0.41%
*++U.S. Treasury Bills 5.61%, 09/21/00 $1,040,000 $1,026,896
----------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $1,026,675) 1,026,896
----------
-------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.15%
Investors Bank and Trust Tri Party Repurchase
Agreement, dated 6/30/00, due 7/03/00, with a maturity
value of $7,878,475 and an effective yield of 6.30%. 7,874,341 7,874,341
----------
TOTAL REPURCHASE AGREEMENTS
(Cost: $7,874,341) 7,874,341
----------
TOTAL INVESTMENTS IN SECURITIES -- 99.86%
(Cost $214,426,998) 249,202,802
Other Assets, Less Liabilities--0.14% 341,964
------------
NET ASSETS--100.00% $249,544,766
============
-------------------------------------------------------------------------------
</TABLE>
Notes to the Schedule of Investments:
+ Non-income earning securities.
* Yield to Maturity.
++ These U.S. Treasury Bills are held in segregated accounts in connection with
the Master Portfolio's holdings of Mid Cap 400 Index and Russell 2000 Index
futures contracts. See Note 1.
The accompanying notes are an integral part of these financial statements.
55
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------
S&P 500 Index
Master Portfolio Shares Value
----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--96.53%
----------------------------------------------------------------
Advertising--0.25%
Interpublic Group of Companies Inc. 88,983 $ 3,826,269
Omnicom Group Inc. 52,409 4,667,677
Young & Rubicam Inc. 21,250 1,215,234
------------
9,709,180
------------
Aerospace/Defense--0.99%
Boeing Co. 267,657 11,191,408
General Dynamics Corp. 59,166 3,091,423
Goodrich (B.F.) Co. 31,653 1,078,180
Honeywell International Inc. 235,506 7,933,608
Lockheed Martin Corp. 118,063 2,929,438
Northrop Grumman Corp. 20,579 1,363,359
Raytheon Co. "B" 100,313 1,931,025
United Technologies Corp. 138,858 8,175,265
------------
37,693,706
------------
Airlines--0.17%
+AMR Corp. 44,117 1,166,343
Delta Air Lines Inc. 36,167 1,828,694
Southwest Airlines Co. 146,387 2,772,204
+US Airways Group Inc. 19,665 766,935
------------
6,534,176
------------
Apparel--0.13%
Liz Claiborne Inc. 16,121 568,265
Nike Inc. "B" 80,682 3,212,152
+Reebok International Ltd. 16,696 266,093
Russell Corp. 9,607 192,140
VF Corp. 33,740 803,434
------------
5,042,084
------------
Auto Manufacturers--0.68%
Ford Motor Co. 355,660 15,293,380
General Motors Corp. "A" 157,839 9,164,527
+Navistar International Corp. 18,266 567,388
PACCAR Inc. 22,623 897,850
------------
25,923,145
------------
Auto Parts & Equipment--0.18%
Cooper Tire & Rubber Co. 21,817 242,714
Dana Corp. 44,980 953,014
Delphi Automotive Systems Corp. 166,161 2,419,720
Goodyear Tire & Rubber Co. 46,125 922,500
TRW Inc. 36,427 1,580,021
+Visteon Corp. 46,568 564,634
------------
6,682,603
------------
Banks--4.37%
Amsouth Bancorp 115,902 1,825,457
Bank of America Corp. 488,955 21,025,065
Bank of New York Co. Inc. 217,656 10,121,004
Bank One Corp. 338,401 8,988,777
BB&T Corp. 102,884 2,456,356
<CAPTION>
----------------------------------------------------------------
Shares Value
<S> <C> <C>
----------------------------------------------------------------
Charter One Financial Inc. 61,800 $ 1,421,400
Chase Manhattan Corp. 364,952 16,810,602
Comerica Inc. 46,138 2,070,443
Fifth Third Bancorp 91,408 5,781,556
First Union Corp. 289,342 7,179,298
Firstar Corp. 286,181 6,027,687
FleetBoston Financial Corp. 265,918 9,041,212
Golden West Financial Corp. 46,604 1,902,026
Huntington Bancshares Inc. 65,477 1,035,355
KeyCorp 128,259 2,260,565
Mellon Financial Corp. 144,933 5,280,996
Morgan (J.P.) & Co. Inc. 47,939 5,279,282
National City Corp. 178,864 3,051,867
Northern Trust Corp. 65,596 4,267,840
Old Kent Financial Corp. 40,530 1,084,177
PNC Bank Corp. 85,645 4,014,609
Regions Financial Corp. 65,133 1,294,518
SouthTrust Corp. 49,639 1,123,082
State Street Corp. 47,492 5,037,120
Summit Bancorp 51,906 1,278,185
SunTrust Banks Inc. 89,242 4,077,244
Synovus Financial Corp. 83,331 1,468,709
U.S. Bancorp 221,809 4,269,823
Union Planters Corp. 39,895 1,114,567
Wachovia Corp. 59,690 3,238,182
Washington Mutual Inc. 161,622 4,666,835
Wells Fargo & Company 475,374 18,420,742
------------
166,914,581
------------
Beverages--1.95%
Anheuser-Busch Companies Inc. 133,274 9,953,902
Brown-Forman Corp. "B" 20,210 1,086,287
Coca-Cola Co. 730,291 41,946,089
Coca-Cola Enterprises 124,098 2,024,349
Coors (Adolph) Company "B" 10,832 655,336
PepsiCo Inc. 425,204 18,895,003
------------
74,560,966
------------
Biotechnology--0.63%
+Amgen Inc. 302,912 21,279,568
+Biogen Inc. 43,850 2,828,325
------------
24,107,893
------------
Building Materials--0.11%
Armstrong Holdings Inc. 11,893 182,112
Masco Corp. 132,383 2,391,168
Owens Corning 16,386 151,570
Vulcan Materials Co. 29,770 1,270,807
------------
3,995,657
------------
Chemicals--0.86%
Air Products & Chemicals Inc. 67,659 2,084,743
Ashland Inc. 20,837 730,597
Dow Chemical Co. 199,424 6,020,112
Du Pont (E.I.) de Nemours 309,057 13,521,244
</TABLE>
56
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
------------------------------------------------------------------
Eastman Chemical Co. 22,582 $ 1,078,290
Engelhard Corp. 37,703 643,307
+Grace (W.R.) & Company 19,928 241,627
Great Lakes Chemical Corp. 16,041 505,291
Hercules Inc. 31,616 444,600
Praxair Inc. 46,501 1,740,881
Rohm & Haas Co. "A" 64,196 2,214,762
Sherwin-Williams Co. 48,277 1,022,869
Sigma-Aldrich Corp. 25,191 736,837
Union Carbide Corp. 39,767 1,968,466
------------
32,953,626
------------
Commercial Services--0.48%
Block (H & R) Inc. 28,977 938,130
+Cendant Corp. 212,779 2,978,906
+Convergys Corp. 45,200 2,344,750
Deluxe Corp. 21,374 503,625
Donnelley (R.R.) & Sons Co. 35,965 811,460
Dun & Bradstreet Corp. 47,696 1,365,298
Ecolab Inc. 38,220 1,492,969
Equifax Inc. 41,646 1,093,207
McKesson HBOC Inc. 83,116 1,740,241
Paychex Inc. 109,551 4,601,142
+Quintiles Transnational Corp. 34,000 480,250
------------
18,349,978
------------
Computers--11.17%
+Adaptec Inc. 30,700 698,425
+Apple Computer Inc. 95,992 5,027,581
+Cabletron Systems 53,807 1,358,627
+Ceridian Corp. 42,803 1,029,947
+Cisco Systems Inc. 2,052,472 130,460,252
Compaq Computer Corp. 500,962 12,805,841
+Computer Sciences Corp. 49,381 3,688,143
+Dell Computer Corp. 759,796 37,467,440
Electronic Data Systems Corp. 137,448 5,669,730
+EMC Corporation 640,258 49,259,850
+Gateway Inc. 94,998 5,391,136
Hewlett-Packard Co. 295,134 36,854,858
International Business Machines Corp. 523,099 57,312,034
+Lexmark International Group Inc. "A" 38,175 2,567,269
+NCR Corp. 28,050 1,092,197
+Network Appliance Inc. 89,850 7,232,925
+Sapient Corp. 17,300 1,850,019
+Seagate Technology Inc. 67,076 3,689,180
+Sun Microsystems Inc. 468,086 42,566,571
+3Com Corp. 103,468 5,962,344
+Unisys Corp. 91,975 1,339,386
+Veritas Software Corp. 115,309 13,031,716
------------
426,355,471
------------
Cosmetics/Personal Care--1.49%
Alberto-Culver Co. "B" 16,427 502,050
Avon Products Inc. 70,093 3,119,138
Colgate-Palmolive Co. 170,134 10,186,773
<CAPTION>
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Shares Value
------------------------------------------------------------------
<S> <C> <C>
Gillette Co. 307,983 $ 10,760,156
International Flavors & Fragrances Inc. 30,348 916,130
Kimberly-Clark Corp. 163,941 9,406,115
Procter & Gamble Co. 385,931 22,094,550
------------
56,984,912
------------
Distribution/Wholesale--0.16%
+Costco Wholesale Corp. 131,776 4,348,608
Genuine Parts Co. 52,188 1,043,760
Grainger (W.W.) Inc. 27,673 852,674
------------
6,245,042
------------
Diversified Financial Services--5.12%
American Express Co. 394,141 20,544,600
Associates First Capital Corp. 214,910 4,795,179
Bear Stearns Companies Inc. 32,599 1,356,933
Capital One Financial Corp. 57,740 2,576,648
Citigroup Inc. 995,704 59,991,166
Countrywide Credit Industries Inc. 33,474 1,014,681
Federal Home Loan Mortgage Corporation 205,111 8,306,995
Federal National Mortgage Association 297,183 15,509,238
Franklin Resources Inc. 71,881 2,183,385
Household International Inc. 139,616 5,802,790
Lehman Brothers Holdings Inc. 35,675 3,373,517
MBNA Corp. 236,525 6,415,741
Merrill Lynch & Co. Inc. 114,437 13,160,255
Morgan Stanley Dean Witter & Co. 333,984 27,804,168
Paine Webber Group Inc. 43,004 1,956,682
Price (T. Rowe) Associates 35,650 1,515,125
Providian Financial Corp. 42,059 3,785,310
Schwab (Charles) Corp. 401,777 13,509,752
SLM Holding Corp. 46,234 1,730,885
------------
195,333,050
------------
Electric--1.58%
+AES Corp. 125,810 5,740,081
Ameren Corp. 40,466 1,365,727
American Electric Power Inc. 94,948 2,812,835
Cinergy Corp. 46,911 1,193,299
CMS Energy Corp. 32,343 715,589
Consolidated Edison Inc. 62,520 1,852,155
Constellation Energy Group Inc. 44,110 1,436,332
CP&L Energy Inc. 47,126 1,505,087
Dominion Resources Inc. 70,218 3,010,597
DTE Energy Co. 42,110 1,286,987
Duke Energy Corp. 108,456 6,114,207
Edison International 98,024 2,009,492
Entergy Corp. 67,882 1,845,542
FirstEnergy Corp. 68,161 1,593,263
Florida Progress Corp. 29,108 1,364,438
</TABLE>
57
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
FPL Group Inc. 52,606 $ 2,603,997
GPU Inc. 35,807 969,027
New Century Energies Inc. 34,343 1,030,290
+Niagara Mohawk Holdings Inc. 50,880 709,140
Northern States Power Co. 46,395 936,599
PECO Energy Co. 50,048 2,017,560
PG&E Corp. 113,712 2,800,158
Pinnacle West Capital Corp. 25,000 846,875
PP & L Resources Inc. 42,577 934,033
Public Service Enterprise Group Inc. 63,813 2,209,525
Reliant Energy Inc. 87,234 2,578,855
Southern Co. 191,400 4,462,013
TXU Corporation 77,811 2,295,424
Unicom Corp. 52,448 2,029,082
------------
60,268,209
------------
Electrical Components & Equipment--0.33%
+American Power Conversion Corp. 57,200 2,334,475
Emerson Electric Co. 125,932 7,603,145
Molex Inc. 57,850 2,784,031
------------
12,721,651
------------
Electronics--1.44%
+Agilent Technologies Inc. 133,393 9,837,734
+Analog Devices Inc. 104,380 7,932,880
Johnson Controls Inc. 25,308 1,298,617
Linear Technology Corp. 91,800 5,869,462
+Maxim Integrated Products Inc. 83,400 5,665,987
Millipore Corp. 13,625 1,026,984
Parker Hannifin Corp. 33,031 1,131,312
PE Corp. (Biosystems Group) 61,422 4,046,174
PerkinElmer Inc. 14,448 955,374
+Sanmina Corp. 43,750 3,740,625
+Solectron Corp. 175,954 7,368,074
Tektronix Inc. 14,210 1,051,540
+Teradyne Inc. 51,090 3,755,115
+Thermo Electron Corp. 46,003 968,938
Thomas & Betts Corp. 17,143 327,860
------------
54,976,676
------------
Engineering & Construction--0.02%
Fluor Corp. 22,558 713,407
------------
Entertainment--0.02%
+Harrah's Entertainment Inc. 36,015 754,064
------------
Environmental Control--0.11%
+Allied Waste Industries Inc. 55,715 557,150
Waste Management Inc. 183,268 3,482,092
------------
4,039,242
------------
<CAPTION>
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Shares Value
-----------------------------------------------------------------
<S> <C> <C>
Food--1.86%
Albertson's Inc. 124,976 $ 4,155,452
Archer-Daniels-Midland Co. 177,683 1,743,514
Bestfoods 80,962 5,606,618
Campbell Soup Co. 124,661 3,630,752
ConAgra Inc. 145,231 2,768,466
General Mills Inc. 86,036 3,290,877
Great Atlantic & Pacific Tea Co. 11,288 187,663
Heinz (H.J.) Co. 103,902 4,545,713
Hershey Foods Corp. 40,435 1,968,679
Kellogg Co. 119,649 3,559,558
+Kroger Co. 246,360 5,435,318
Nabisco Group Holdings Corp. "A" 96,363 2,499,415
Quaker Oats Co. 38,658 2,904,182
Ralston Purina Co. 90,546 1,805,261
+Safeway Inc. 146,509 6,611,219
Sara Lee Corp. 256,527 4,954,178
Super Value Inc. 38,779 739,225
Sysco Corp. 98,312 4,141,393
Unilever NV 168,689 7,253,627
Winn-Dixie Stores Inc. 42,658 610,543
Wrigley William Jr. Co. 33,637 2,697,267
--------------
71,108,920
--------------
Forest Products & Paper--0.37%
Boise Cascade Corp. 16,843 435,813
Fort James Corp. 60,728 1,404,335
Georgia-Pacific Corp. 50,289 1,320,086
International Paper Co. 142,526 4,249,056
Louisiana-Pacific Corp. 30,771 334,635
Mead Corp. 30,346 766,236
Potlatch Corp. 8,471 280,602
Temple-Inland Inc. 15,437 648,354
Westvaco Corp. 29,713 737,254
Weyerhaeuser Co. 68,695 2,953,885
Willamette Industries Inc. 32,672 890,312
----------
14,020,568
----------
Gas--0.07%
Eastern Enterprises 8,032 506,016
NICOR Inc. 13,745 448,431
ONEOK Inc. 8,584 222,648
Peoples Energy Corp. 10,459 338,610
Sempra Energy 60,279 1,024,743
------------
2,540,448
------------
Hand/Machine Tools--0.05%
Black & Decker Corp. 25,127 987,805
Snap-On Inc. 17,253 459,361
Stanley Works (The) 25,902 615,172
------------
2,062,338
------------
Health Care--2.54%
Allergan Inc. 38,250 2,849,625
Bard (C.R.) Inc. 14,878 716,004
Bausch & Lomb Inc. 15,621 1,208,675
Baxter International Inc. 85,621 6,020,227
Becton Dickinson & Co. 74,461 2,136,100
Biomet Inc. 34,868 1,340,239
+Boston Scientific Corp. 120,321 2,639,542
+Guidant Corp. 90,411 4,475,344
HCA--The Healthcare Company 164,536 4,997,781
</TABLE>
58
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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S&P 500 Index
Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------------
+Healthsouth Corp. 113,709 $ 817,283
+Humana Inc. 49,704 242,307
Johnson & Johnson 410,347 41,804,101
Mallinckrodt Group Inc. 19,824 861,105
+Manor Care Inc. 30,186 211,302
Medtronic Inc. 353,156 17,591,583
+St. Jude Medical Inc. 24,753 1,135,544
Tenet Healthcare Corp. 92,273 2,491,371
UnitedHealth Group Inc. 47,903 4,107,682
+Wellpoint Health Networks Inc. 18,355 1,329,590
------------
96,975,405
------------
Holding Companies--Diversified--0.20%
Seagram Co. Ltd. 128,787 7,469,646
------------
7,469,646
------------
Home Builders--0.03%
Centex Corp. 17,515 411,602
Kaufman & Broad Home Corp. 14,179 280,921
Pulte Corp. 12,137 262,463
------------
954,986
------------
Home Furnishings--0.07%
Leggett & Platt Inc. 58,000 957,000
Maytag Corp. 23,111 852,218
Whirlpool Corp. 21,581 1,006,214
------------
2,815,432
------------
Household Products/Wares--0.24%
American Greetings Corp. "A" 19,020 361,380
Avery Dennison Corp. 33,083 2,220,696
Clorox Co. 69,302 3,105,596
Fortune Brands Inc. 46,748 1,078,126
Newell Rubbermaid Inc. 78,590 2,023,693
Tupperware Corp. 17,021 374,462
------------
9,163,953
------------
Insurance--2.84%
Aetna Inc. 41,589 2,669,494
AFLAC Inc. 78,282 3,596,079
Allstate Corp. 219,699 4,888,303
American General Corp. 73,323 4,472,703
American International Group 454,825 53,441,938
AON Corp. 75,472 2,344,334
Chubb Corp. 51,669 3,177,643
CIGNA Corp. 48,077 4,495,199
Cincinnati Financial Corp. 47,444 1,491,521
Conseco Inc. 95,946 935,473
Hartford Financial Services Group Inc. 63,362 3,544,312
Jefferson-Pilot Corp. 30,464 1,719,312
Lincoln National Corp. 56,547 2,042,760
Loews Corp. 29,113 1,746,780
Marsh & McLennan Companies Inc. 79,585 8,311,659
MBIA Inc. 29,039 1,399,317
MGIC Investment Corp. 31,231 1,421,010
<CAPTION>
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Shares Value
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<S> <C> <C>
Progressive Corporation 21,575 $ 1,596,550
SAFECO Corp. 37,622 747,737
St. Paul Companies Inc. 62,543 2,134,280
Torchmark Corp. 37,786 932,842
UNUMProvident Corp. 70,960 1,423,635
------------
108,532,881
------------
Iron/steel--0.05%
Allegheny Technologies Inc. 24,570 442,260
+Bethlehem Steel Corp. 39,001 138,941
Nucor Corp. 25,074 832,143
USX-U.S. Steel Group Inc. 26,033 483,238
------------
1,896,582
------------
Leisure Time--0.22%
Brunswick Corp. 25,932 429,499
Carnival Corp. "A" 178,339 3,477,610
Harley-Davidson Inc. 89,600 3,449,600
Sabre Holdings Corp. 38,105 1,085,993
---------
8,442,702
---------
Lodging--0.09%
Hilton Hotels Corp. 108,662 1,018,706
Marriott International Inc. 70,733 2,550,809
---------
3,569,515
---------
Machinery--0.34%
Briggs & Stratton Corp. 6,622 226,803
Caterpillar Inc. 102,878 3,484,992
Cummins Engine Company Inc. 12,200 332,450
Deere & Co. 69,077 2,555,849
Dover Corp. 59,863 2,428,193
Ingersoll-Rand Co. 47,786 1,923,387
McDermott International Inc. 17,706 156,034
Rockwell International Corp. 55,445 1,746,517
---------
2,854,225
---------
Manufacturers--6.08%
Cooper Industries Inc. 27,520 896,120
Corning Inc. 81,353 21,955,141
Crane Co. 17,843 433,808
Danaher Corp. 41,806 2,066,784
Eastman Kodak Co. 91,441 5,440,740
Eaton Corp. 21,496 1,440,232
+FMC Corp. 8,992 521,536
General Electric Co. 2 ,919,108 154,712,724
Illinois Tool Works Inc. 88,936 5,069,352
ITT Industries Inc. 25,973 788,930
Minnesota Mining & Manufacturing Co. 116,771 9,633,608
National Service Industries Inc. 11,998 233,961
Pall Corp. 36,449 674,307
Polaroid Corp. 13,220 238,786
PPG Industries Inc. 51,394 2,277,397
Textron Inc. 42,584 2,312,844
Tyco International Ltd. 498,078 23,596,445
-----------
232,292,715
-----------
</TABLE>
59
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
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S&P 500 Index
Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Media--3.14%
+Clear Channel Communications Inc. 100,045 $ 7,503,375
+Comcast Corp. "A" 264,908 10,728,774
Disney (Walt) Co. 613,024 23,792,994
Dow Jones & Co. Inc. 26,136 1,914,462
Gannett Co. Inc. 78,630 4,703,057
Harcourt General Inc. 21,181 1,151,717
Knight Ridder Inc. 22,948 1,220,547
McGraw-Hill Companies Inc. 57,345 3,096,630
Meredith Corp. 14,947 504,461
New York Times Co. "A" 50,154 1,981,083
Time Warner Inc. 388,170 29,500,920
Tribune Co. 91,032 3,186,120
+Viacom Inc. "B" 449,923 30,679,125
------------
119,963,265
------------
Metal Fabricate/Hardware--0.02%
Timken Co. 17,951 334,337
Worthington Industries Inc. 25,390 266,595
------------
600,932
------------
Metals--Diversified--0.30%
Alcan Aluminium Ltd. 64,565 2,001,515
Alcoa Inc. 254,914 7,392,506
+Freeport-McMoRan Copper & Gold Inc. 47,174 436,360
+Inco Ltd. 53,637 824,669
Phelps Dodge Corp. 23,201 862,787
------------
11,517,837
------------
Mining--0.12%
Barrick Gold Corp. 116,748 2,123,354
Homestake Mining Company 76,835 528,241
Newmont Mining Corp. 49,505 1,070,546
Placer Dome Inc. 96,556 923,317
------------
4,645,458
------------
Office/Business Equipment--0.19%
Pitney Bowes Inc. 76,003 3,040,120
Xerox Corp. 196,566 4,078,745
------------
7,118,865
------------
Oil & Gas Producers--4.74%
Amerada Hess Corp. 26,691 1,648,169
Anadarko Petroleum Corp. 37,795 1,863,766
Apache Corp. 33,597 1,975,924
Burlington Resources Inc. 63,478 2,428,034
Chevron Corp. 192,401 16,318,010
Coastal Corp. 63,110 3,841,821
Conoco Inc. 184,185 4,524,044
Exxon Mobil Corp. 1,027,075 80,625,388
Kerr-McGee Corp. 27,824 1,639,877
Occidental Petroleum Corp. 108,734 2,290,210
Phillips Petroleum Co. 74,887 3,795,835
+Rowan Companies Inc. 27,675 840,628
Royal Dutch Petroleum Co. 632,674 38,948,993
<CAPTION>
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Shares Value
<S> <C>
-----------------------------------------------------------------
Sunoco Inc. 26,137 $ 769,408
Texaco Inc. 162,900 8,674,425
Tosco Corp. 42,650 1,207,528
Transocean Sedco Forex Inc. 62,068 3,316,759
Union Pacific Resources Group 74,333 1,635,326
Unocal Corp. 71,663 2,373,837
USX-Marathon Group Inc. 91,977 2,305,174
------------
181,023,156
------------
Oil & Gas Services--0.57%
Baker Hughes Inc. 97,458 3,118,656
Halliburton Co. 131,018 6,182,412
Schlumberger Ltd. 167,942 12,532,672
------------
21,833,740
------------
Packaging & Containers--0.09%
Ball Corp. 8,780 282,606
Bemis Co. 15,708 528,182
Crown Cork & Seal Co. Inc. 37,841 567,615
+Owens-Illinois Inc. 43,219 505,122
+Pactiv Corp. 49,825 392,372
+Sealed Air Corp. 24,657 1,291,410
------------
3,567,307
------------
Pharmaceuticals--8.02%
Abbott Laboratories 457,120 20,370,410
+ALZA Corp. 30,289 1,790,837
American Home Products Corp. 384,853 22,610,114
Bristol-Myers Squibb Co. 581,988 33,900,801
Cardinal Health Inc. 81,252 6,012,648
Lilly (Eli) and Company 333,194 33,277,751
+MedImmune Inc. 61,600 4,558,400
Merck & Co. Inc. 678,408 51,983,013
Pfizer Inc. 1,857,192 89,145,204
Pharmacia & Upjohn Inc. 374,555 19,359,812
Schering-Plough Corp. 431,964 21,814,182
+Watson Pharmaceutical Inc. 28,471 1,530,316
------------
306,353,488
------------
Pipelines--0.64%
Columbia Energy Group 23,772 1,560,038
EL Paso Energy Corp. 68,257 3,476,841
Enron Corp. 215,970 13,930,065
Williams Companies Inc. 130,360 5,434,383
------------
24,401,327
------------
Retail--5.29%
+AutoZone Inc. 39,456 868,023
+Bed Bath & Beyond Inc. 41,400 1,500,750
+Best Buy Co. Inc. 60,298 3,813,849
Circuit City Stores Inc. 59,963 1,990,022
+Consolidated Stores Corp. 32,652 391,824
CVS Corp. 115,144 4,605,760
Darden Restaurants Inc. 36,480 592,800
Dillards Inc. "A" 27,622 338,370
</TABLE>
60
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Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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Master Portfolio Shares Value
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<S> <C> <C>
COMMON STOCKS--(Continued)
-------------------------------------------------------------------
Dollar General Corp. 97,130 $ 1,894,035
+Federated Department Stores Inc. 63,117 2,130,199
Gap Inc. 251,098 7,846,813
Home Depot Inc. 682,641 34,089,385
+Kmart Corp. 141,959 967,096
+Kohls Corp. 96,218 5,352,126
Limited Inc. 126,776 2,741,531
Longs Drug Stores Inc. 11,654 253,475
Lowe's Companies Inc. 112,790 4,631,439
May Department Stores Co. 98,073 2,353,752
McDonald's Corp. 394,268 12,986,202
Nordstrom Inc. 39,715 958,124
+Office Depot Inc. 93,299 583,119
Penney (J.C.) Company Inc. 76,999 1,419,669
RadioShack Corp. 55,075 2,609,178
Rite Aid Corp. 76,381 501,250
Sears, Roebuck and Co. 104,024 3,393,783
+Staples Inc. 142,879 2,196,765
+Starbucks Corp. 54,200 2,069,763
Target Corporation 134,574 7,805,292
Tiffany & Co. 21,400 1,444,500
TJX Companies Inc. 88,503 1,659,431
+Toys R Us Inc. 63,825 929,452
+Tricon Global Restaurants Inc. 43,482 1,228,367
Walgreen Co. 297,328 9,570,245
Wal-Mart Stores Inc. 1,315,010 75,777,451
Wendy's International Inc. 33,543 597,485
------------
202,091,325
------------
Semiconductors--6.15%
+Advanced Micro Devices Inc. 45,227 3,493,786
+Altera Corp. 58,700 5,983,731
+Applied Materials Inc. 238,236 21,590,138
+Conexant Systems Inc. 64,150 3,119,294
Intel Corp. 988,115 132,098,624
+KLA-Tencor Corp. 54,896 3,214,847
+LSI Logic Corp. 90,558 4,901,452
+Micron Technology Inc. 163,751 14,420,343
+National Semiconductor Corp. 52,131 2,958,434
+Novellus Systems Inc. 38,500 2,177,656
Texas Instruments Inc. 482,776 33,160,677
+Xilinx Inc. 94,800 7,826,925
------------
234,945,907
------------
Software--7.90%
Adobe Systems Inc. 35,326 4,592,380
+America Online Inc. 677,842 35,756,166
Autodesk Inc. 17,182 596,001
Automatic Data Processing 185,107 9,914,794
+BMC Software Inc. 72,084 2,629,942
+Citrix Systems Inc. 54,640 1,034,745
Computer Associates International Inc. 173,596 8,885,945
+Compuware Corp. 106,345 1,103,329
First Data Corp. 121,623 6,035,541
IMS Health Inc. 87,683 1,578,294
<CAPTION>
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Shares Value
-------------------------------------------------------------------
<S> <C> <C>
+Mercury Interactive Corp. 23,500 $ 2,273,625
+Microsoft Corp. 1,552,674 124,213,920
+Novell Inc. 97,214 899,230
+Oracle Corp. 837,472 70,399,990
+Parametric Technology Corp. 81,453 895,983
+PeopleSoft Inc. 81,410 1,363,618
+Siebel Systems Inc. 58,850 9,625,653
+Yahoo! Inc. 160,330 19,860,879
------------
301,660,035
------------
Telecommunication Equipment--4.54%
+ADC Telecommunications Inc. 99,502 8,345,723
+Andrew Corp. 23,767 797,680
+Comverse Technology Inc. 45,050 4,189,650
Lucent Technologies Inc. 960,833 56,929,355
Motorola Inc. 634,980 18,454,106
Nortel Networks Corp. 873,984 59,649,408
+QUALCOMM Inc. 218,596 13,115,760
Scientific-Atlanta Inc. 46,946 3,497,477
+Tellabs Inc. 120,813 8,268,140
------------
173,247,299
------------
Telecommunications--0.96%
+Global Crossing Ltd. 260,199 6,846,486
+Nextel Communications Inc. "A" 223,764 13,691,560
+Sprint Corp. (PCS Group) 270,013 16,065,774
------------
36,603,820
------------
Telephone--5.62%
Alltel Corp. 93,034 5,762,293
AT&T Corp. 1,107,175 35,014,417
Bell Atlantic Corp. 456,085 23,174,819
BellSouth Corp. 555,119 23,661,947
CenturyTel Inc. 41,419 1,190,796
GTE Corp. 284,015 17,679,934
SBC Communications Inc. 1,003,688 43,409,506
Sprint Corp. (FON Group) 258,680 13,192,680
US West Communications Inc. 149,780 12,843,635
+WorldCom Inc. 844,758 38,753,273
------------
214,683,300
------------
Textiles--0.00%
Springs Industries Inc. "A" 5,242 168,727
------------
Tobacco--0.49%
Philip Morris Companies Inc. 674,720 17,922,250
UST Inc. 47,906 703,619
------------
18,625,869
------------
Toys/Games/Hobbies--0.06%
Hasbro Inc. 50,812 765,356
Mattel Inc. 125,622 1,656,640
------------
2,421,996
------------
</TABLE>
61
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------
Shares/
S&P 500 Index Master Portfolio Principal Value
------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------------------
<S> <C> <C>
Transportation--0.39%
Burlington Northern Santa Fe Corp. 126,334 $ 2,897,786
CSX Corp. 64,427 1,365,047
+FedEx Corp. 85,557 3,251,166
Kansas City Southern Industries Inc. 32,841 2,912,586
Norfolk Southern Corp. 113,050 1,681,619
Union Pacific Corp. 73,080 2,717,663
-------------
14,825,867
-------------
Trucking & Leasing--0.01%
Ryder System Inc. 17,510 331,596
-------------
TOTAL COMMON STOCKS
(Cost: $2,696,343,153) 3,686,190,751
-------------
------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--2.71%
------------------------------------------------------------------------------
++FHLMC Discount Note
6.42%, 07/05/00 $ 18,395,703 18,395,703
++Goldman Sachs Financial Square Prime Obligation
Fund
6.57%, 07/03/00 56,944,870 56,944,870
++Short Term Investment Company Liquid Assets
Portfolio
6.67%, 07/03/00 20,300,000 20,300,000
*+++U.S. Treasury Bills
5.61%, 09/21/00 8,150,000 8,047,310
--------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $103,688,397) 103,687,883
--------------
<CAPTION>
-----------------------------------------------------------------------------
Principal Value
-----------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--3.09%
-----------------------------------------------------------------------------
Morgan Stanley Tri Party Repurchase Agreement,
dated 06/30/00, due 07/03/00, with a maturity
value of $118,102,909 and an effective yield of
6.30% $118,040,937 $ 118,040,937
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $118,040,937) 118,040,937
--------------
TOTAL INVESTMENTS IN SECURITIES--102.33%
(Cost $2,918,072,487) 3,907,919,571
Other Assets, Less Liabilities--(2.33%) (89,114,415)
--------------
NET ASSETS--100.00% $3,818,805,156
==============
</TABLE>
Notes to the Schedule of Investments:
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending
transactions. See Note 4.
+++ These U.S. Treasury Bills are held in segregated accounts in connection
with the Master Portfolio's holdings of S&P 500 futures contracts. See Note
1.
* Yield to Maturity.
The accompanying notes are an integral part of these financial statements.
62
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------
<CAPTION>
U.S. Equity Index Master Portfolio Value
-----------------------------------------------------
<S> <C>
MASTER PORTFOLIOS--100.01%
Extended Index Master Portfolio $162,976,650
S&P 500 Index Master Portfolio 523,047,466
------------
TOTAL MASTER PORTFOLIOS 686,024,116
------------
TOTAL INVESTMENTS--100.01% 686,024,116
Other Assets Less Liabilities--(0.01%) (90,904)
------------
NET ASSETS--100.00% $685,933,212
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
63
<PAGE>
(This page intentionally left blank.)
<PAGE>
Smith Barney
U.S. 5000 Index Fund
Trustees
Herbert Barg
Alfred J. Bianchetti
Martin Brody
Dwight B. Crane
Burt N. Dorsett
Elliot S. Jaffe
Stephen E. Kaufman
Joseph J. McCann
Heath B. McLendon, Chairman
Cornelius C. Rose, Jr.
Officers
Heath B. McLendon
President and Chief Executive Officer
Lewis E. Daidone
Senior Vice President and Treasurer
Irving P. David
Controller
Christina T. Sydor
Secretary
Investment Administrator
SSB Citi Fund Management LLC
Distributor
Salomon Smith Barney Inc.
Custodian
Investors Bank and Trust Company
Transfer Agent
Citi Fiduciary Trust Company
125 Broad Street, 11th Floor
New York, NY 10004
Sub-Transfer Agent
PFPC Global Fund Services
P.O. Box 9699
Providence, Rhode Island 02940-9699
This report is submitted for the general information of shareholders of Smith
Barney U.S. 5000 Index Fund. It is not for distribution to prospective investors
unless accompanied by a current Prospectus for the Fund, which contains
information concerning the Fund's investment policies and expenses as well as
other pertinent information.
SALOMON SMITH BARNEY
--------------------
A member of citigroup[LOGO]
---------------------------
Salomon Smith Barney is a service mark of Salomon Smith Barney Inc.
Smith Barney
U.S. 5000 Index Fund
Smith Barney Mutual Funds
388 Greenwich Street, MF-2
New York, New York 10013
www.smithbarney.com/mutualfunds
<PAGE>
[LOGOS OF SMITH BARNEY]
SMITH BARNEY
EAFE INDEX Fund
SEMI-ANNUAL REPORT
June 30, 2000
[LOGO OF SMITH BARNEY MUTUAL FUNDS]
Your Serious Money. Professionally Managed.(SM)
NOT FDIC INSURED . NOT BANK GUARANTEED . MAY LOSE VALUE
<PAGE>
Smith Barney EAFE Index Fund
--------------------------------------------------------------------------------
What's Inside
--------------------------------------------------------------------------------
Letter from the Chairman of the Smith Barney EAFE Index Fund .................1
Smith Barney EAFE Index Fund
Statement of Assets and Liabilities......................................4
Statement of Operations..................................................5
Statements of Changes in Net Assets......................................6
Notes to Financial Statements............................................7
Financial Highlights.....................................................9
International Index Master Portfolio
Schedule of Investments.................................................10
Statement of Assets and Liabilities.....................................21
Statement of Operations.................................................22
Statements of Changes in Net Assets.....................................23
Notes to Financial Statements...........................................24
<PAGE>
Shareholder Letter
[PHOTO]
HEATH B.
McLENDON
Chairman
Dear Shareholder:
We are pleased to provide the semi-annual report for the Smith Barney EAFE Index
Fund ("Fund") for the period ended June 30, 2000. In this report we summarize
the period's prevailing economic and market conditions. A detailed summary of
performance and current holdings can be found in the appropriate sections that
follow. We hope you find this report to be useful and informative.
Performance and Strategy Update
The Fund seeks to offer long-term capital growth and diversification by
approximating, before fees and expenses, the performance of the Morgan Stanley
Capital International Europe, Australasia and Far East Index ("MSCI EAFE"). The
MSCI EAFE is an unmanaged index of common stocks of companies located in Europe,
Australasia and the Far East.1
Morgan Stanley Capital International developed the MSCI EAFE in 1969 in order to
track changes in the stock markets of developed countries outside of North
America. Stocks in the MSCI EAFE are selected based on their countries of origin
and their standing within their individual industry group. In addition, the MSCI
EAFE also monitors cross-ownership, which is one firm owning another, to achieve
accurate market weightings for each company within the index.
The Fund is a feeder fund in a master/feeder structure. Accordingly, the Fund
does not buy individual securities directly. Instead, it invests all of its
assets in the International Index Master Portfolio ("Master Portfolio" as to the
Fund), a series of Master Investment Portfolio ("MIP"),2 rather than directly
in a portfolio of securities. MIP is a registered open-end management investment
company.
The Master Portfolio follows as closely as practicable, before fees and
expenses, the performance of the MSCI EAFE. A feeder fund does not need an
investment manager. The Master Portfolio's investment advisor is Barclays Global
Fund Advisors ("BGFA"). BGFA is a wholly owned direct subsidiary of Barclays
Global Investors, N.A. (which is an indirect subsidiary of Barclays Bank PLC).
The Master Portfolio invests in a sampling of securities that are selected and
weighted to result in investment characteristics comparable to, and performance
that will correlate with the performance of the MSCI EAFE. Under normal
conditions, the Master Portfolio invests at least 90% of its assets in common
stocks included in the MSCI EAFE, which represents the performance of foreign
stock markets.
The Master Portfolio follows an indexed or "passively managed" approach to
investing. BGFA does not evaluate individual companies to identify attractive
investment candidates. Instead, BGFA attempts to mirror the composition of the
MSCI EAFE as closely as possible by adjusting the Master Portfolio's portfolio
periodically to reflect the companies included in the index and their
weightings.3
---------------
1 Please note that the MSCI EAFE is unmanaged and is not subject to the same
management and trading expenses of a mutual fund. An investor cannot invest
directly in an index.
2 MIP is a registered open-end management investment company.
3 The Master Portfolio does not mirror the MSCI EAFE exactly because, unlike
the MSCI EAFE, the Master Portfolio must maintain a portion of its assets
in cash and liquid securities to meet redemption requests and pay the
Master Portfolio's expenses.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 1
<PAGE>
The Fund's Class A shares returned a negative 4.53% for the six months ended
June 30, 2000. In comparison, the MSCI EAFE returned a negative 4.06% for the
same period.
International Markets Overview4
As the period progressed, the prognosis for global economic growth improved.
From many perspectives, the outlook for the global economy is the strongest
witnessed in over a decade. International growth stocks for the most part
underperformed international value stocks5 during the second quarter. Rising
U.S. interest rates fuelled anxieties, especially about telecommunications and
technology stocks, which commanded steep valuations.
The highly visible retrenchment of the Internet stocks exacerbated technology
stock selling. Further weakness was contributed by the decline of several of the
major currencies (euro,6 pound sterling) versus the dollar. Growth stocks,
especially in Asia, have recently suffered significant selling pressure as
investors rotated to defensive stocks, such as health care, consumer nondurable,
financial services and utility equities.
The European currency, the euro, continued to fall sharply during the period
versus the U.S. dollar and Japanese yen despite efforts to stabilize the
currency. The currency declines reduced portfolio returns during the period.
Major capital flows out of Europe likely account for the majority of the
weakness. Meanwhile, merger and acquisitions fireworks continue to color the
European investment scene.
European companies across a swath of industries have embarked on merger and
acquisition initiatives. Given the favorable cost of capital and deregulation of
many industries, progressive managements have launched strategic alliance
actions to build geographic breadth and also to achieve economies of scale. The
banking, telecommunications, insurance, automotive, pharmaceutical and defense
industries among others have been affected by the consolidation trend. These
mergers and acquisitions will help European managements dramatically improve the
return on investment of their basic businesses.
The Asian markets have shown a range of performances in the period, with the
traditionally U.S. interest rate sensitive markets (i.e. Hong Kong) suffering
sharp declines recently. The Japanese stock market has corrected in sympathy
with the U.S. in recent months after a strong close to 1999. Evidence is growing
of a modest Japanese economic rebound following the contractions of the fourth
calendar quarter. Despite a lackluster performance by Japanese stocks, Japan's
economy has been recovering this year and it is expected that the country's
central bank may raise interest rates in mid-July to attempt to create a more
normal interest rate environment and sustain the economic recovery.
----------------
4 The information provided repsresents the opinion of the SSB Citi Fund
Management LLC and not is intended to be a forecast of future events, a
guarantee of future results nor investment advice.
5 Growth stocks are shares of companies with the potential for
faster-than-average growth within their industries. Value stocks are the
shares of those companies whose shares are considered to be inexpensive
relative to their asset values or earning power.
6 The euro is the single currency of the European Monetary Union that was
adopted by Belgium, Germany, Spain, France, Ireland, Italy, Luxembourg, the
Netherlands, Austria, Portugal and Finland on January 1, 1999.
--------------------------------------------------------------------------------
2 2000 Semi-Annual Report to Shareholders
<PAGE>
Since mid-March, investor choice has shifted markedly from the trio of emerging
technology, media and telephone stocks to large capitalization companies with
earnings, dividends and relatively stable businesses. Preference for "defensive"
stocks -- such as health care and financial services -- and value shares has
occurred. Investors have taken gains from aggressively positioned and financed
emerging growth stocks. Whether this rotation is sustainable is anyone's guess.
That the spectacular rise of more speculative securities stretched as far as it
did prior to the recent sharp correction is the greater surprise to us rather
than the speed and magnitude of recent declines.
Thank you for your investment in the Smith Barney EAFE Index Fund. We look
forward to helping you pursue your financial goals in the future.
Sincerely,
/s/ Heath B. McLendon
Heath B. McLendon
Chairman
August 2, 2000
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 3
<PAGE>
--------------------------------------------------------------------------------
SMITH BARNEY EAFE INDEX FUND
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Statement of Assets and Liabilities (unaudited) June 30, 2000
--------------------------------------------------------------------------------
ASSETS:
Investment in Master Portfolio, at value (Note 1) $1,486,272
Receivable for Fund shares sold 10,000
Receivable from Manager 71,714
--------------------------------------------------------------------------------
Total Assets 1,567,986
--------------------------------------------------------------------------------
LIABILITIES:
Distribution fees payable 1,347
Accrued expenses 31,495
--------------------------------------------------------------------------------
Total Liabilities 32,842
--------------------------------------------------------------------------------
Total Net Assets $1,535,144
================================================================================
NET ASSETS:
Paid in capital $1,520,725
Undistributed net investment income 6,771
Accumulated net realized gain from security
transactions and foreign currencies 1,160
Net unrealized appreciation of investments
and foreign currencies 6,488
--------------------------------------------------------------------------------
Total Net Assets $1,535,144
================================================================================
Shares Outstanding, Class A Shares 139,654
--------------------------------------------------------------------------------
Net Asset Value, Class A Shares (and redemption price) $10.99
================================================================================
See Notes to Financial Statements.
--------------------------------------------------------------------------------
4 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
SMITH BARNEY EAFE INDEX FUND
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Statement of Operations For the Six Months Ended June 30, 2000
--------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 12,932
Interest 1,398
Less: Withholding tax (1,469)
--------------------------------------------------------------------------------
Total Investment Income 12,861
--------------------------------------------------------------------------------
EXPENSES:
Shareholder communications 21,617
Audit and legal 19,500
Fund accounting fees (Note 2) 10,145
Management fees (Note 2) 2,398
Shareholder servicing fees 2,320
Distribution plan fees (Note 2) 1,222
Director fees 1,500
Other 18,500
--------------------------------------------------------------------------------
Total Expenses 77,202
Less: Administration fee waiver (Note 2) (917)
Expense reimbursement by Administrator (Note 2) (71,136)
--------------------------------------------------------------------------------
Total Waivers and Reimbursements (72,053)
--------------------------------------------------------------------------------
Net Expenses 5,149
--------------------------------------------------------------------------------
Net Investment Income 7,712
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES ALLOCATED FROM MASTER PORTFOLIO (NOTE 1):
Realized Gain (Loss) from:
Security transactions 2,730
Foreign currency transactions (1,569)
--------------------------------------------------------------------------------
Net Realized Gain 1,161
--------------------------------------------------------------------------------
Change in Net Unrealized Appreciation
of Investments and Foreign Currencies:
Beginning of period 50,214
End of period 6,488
--------------------------------------------------------------------------------
Decrease in Net Unrealized Appreciation (43,726)
--------------------------------------------------------------------------------
Net Loss on Investments and Foreign Currencies (42,565)
--------------------------------------------------------------------------------
Decrease in Net Assets From Operations $ (34,853)
================================================================================
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 5
<PAGE>
--------------------------------------------------------------------------------
SMITH BARNEY EAFE INDEX FUND
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
For the Six Months Ended June 30, 2000 (unaudited)
and Period Ended December 31, 1999(a)
<TABLE>
<CAPTION>
2000 1999
========================================================================================================
<S> <C> <C>
OPERATIONS:
Net investment income (loss) $ 7,712 $ (120)
Net realized gain 1,161 137
Increase (decrease) in net unrealized appreciation (43,726) 50,214
--------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets From Operations (34,853) 50,231
--------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (618) --
Net realized gain (465) --
--------------------------------------------------------------------------------------------------------
Decrease in Net Assets From Distribution to Shareholders (1,083) --
--------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 3):
Net proceeds from sale of shares 800,586 763,888
Net asset value of shares issued for reinvestment of dividend 972 --
Cost of shares reacquired (44,597) --
--------------------------------------------------------------------------------------------------------
Increase in Net Assets From Fund Share Transactions 756,961 763,888
--------------------------------------------------------------------------------------------------------
Increase in Net Assets 721,025 814,119
--------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 814,119 --
--------------------------------------------------------------------------------------------------------
End of period* $1,535,144 $814,119
========================================================================================================
* Includes undistributed net investment income (loss) of: $ 6,771 $ (323)
========================================================================================================
</TABLE>
(a) For the period from October 18, 1999 (commencement of operations) to
December 31, 1999.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
6 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
SMITH BARNEY EAFE INDEX FUND
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
1. Significant Accounting Policies
The Smith Barney EAFE Index Fund ("Fund") is a separate series of Smith Barney
Investment Trust ("Trust"), a Massachusetts business trust. The Trust is
registered under the Investment Company Act of 1940, as amended, as an open-end,
management investment company. To achieve its investment objective, the Fund
invests all of its investable assets in the International Index Master Portfolio
("Master Portfolio"), a series of Master Investment Portfolio ("MIP"), a
registered open-end management investment company with the same investment
objective as the Fund. The value of the Fund's investment in the Master
Portfolio reflects the Fund's interest in the net assets of the Master
Portfolio. As of June 30, 2000, the value of the Fund's investment in the Master
Portfolio was 1.96% of the outstanding interest of the Master Portfolio.
The financial statements of the Master Portfolio, including the schedule of
investments, are contained elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions
regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
The significant accounting policies consistently followed by the Fund are in
conformity with generally accepted accounting principles and are as follows: (a)
valuation of securities by the Master Portfolio is discussed in Note 1 of the
Master Portfolio's Notes to Financial Statements, which are included elsewhere
in this report; (b) the Fund earns income, net of Master Portfolio expenses,
daily based on its investments in the Master Portfolio; (c) the Fund intends to
comply with the applicable provisions of the Internal Revenue Code of 1986, as
amended, pertaining to regulated investment companies and to make distributions
of taxable income sufficient to relieve it from substantially all Federal income
and excise taxes; (d) the Fund bears a pro rata portion of the investment
advisory and administration fees paid by the Master Portfolio; (e) dividends and
distributions to shareholders are recorded on ex-dividend date; (f) all the net
investment income, realized and unrealized gain and loss of the Master Portfolio
is allocated pro rata, based on respective ownership interests, among the Fund
and the other investors in the Master Portfolio at the time of such
determination. Investment transactions are accounted for on the trade date.
Realized gains and losses are determined on the identified cost basis; and (g)
the character of income and gains to be distributed are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. At December 31, 1999, reclassifications were made to the Fund's
capital accounts to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a portion
of accumulated net investment loss amounting to $124 was reclassified to paid-in
capital. Net investment income, net realized gains and net assets were not
affected by this change.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 7
<PAGE>
--------------------------------------------------------------------------------
SMITH BARNEY EAFE INDEX FUND
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
2. Management Agreement and Other Transactions
SSB Citi Fund Management LLC ("SSBC"), a subsidiary of Salomon Smith Barney
Holdings, acts as the Fund's administrator. The Fund's management fee is
calculated at an annual rate not to exceed 0.40% of the Fund's average daily net
assets. This management fee includes an investment management and administration
fee payable by the Master Portfolio (0.25% of the Master Portfolio's average
daily net assets); and an administration fee payable by the Fund (0.15% of the
Fund's average daily net assets). This fee is calculated daily and paid monthly.
For the six months ended June 30, 2000, SSBC waived all of its administration
fees and has agreed to reimburse expenses of $71,136.
Citi Fiduciary Trust Company ("CFTC"), formerly known as Smith Barney Private
Trust Company, another subsidiary of Citigroup, became the Fund's transfer agent
and PFPC Global Fund Services became the Fund's sub-transfer agent. CFTC
receives account fees and asset-based fees that vary according to the account
size and type of account. PFPC is responsible for shareholder recordkeeping and
financial processing for all shareholder accounts and is paid by CFTC. For the
six months ended June 30, 2000, the Fund paid transfer agent fees of $540 to
CFTC.
Effective June 5, 2000, Salomon Smith Barney Inc. ("SSB"), another subsidiary of
SSBH, became the Fund's distributor replacing CFBDS, Inc. In addition, SSB acts
as the primary broker for the Fund's portfolio agency transactions. Certain
other broker-dealers continue to sell Fund shares to the public as members of
the selling group.
Pursuant to a Distribution Plan, the Fund pays a service fee with respect to its
Class A shares calculated an annual rate of 0.20% of the average daily net
assets of the Fund.
Certain officers and a Trustee of the Fund are officers or directors of the
Administrator or its affiliates.
3. Shares of Beneficial Interest
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value). The Fund
has the ability to issue multiple classes of shares. Transactions in shares of
beneficial interest were as follows:
<TABLE>
<CAPTION>
Six Months Ended Period Ended
June 30, 2000 December 31, 1999(a)
--------------------------- --------------------------
Shares Amount Shares Amount
============================================================================================================
<S> <C> <C> <C> <C>
Class A
Shares sold 72,949 $800,586 70,666 $763,888
Shares issued on reinvestment of dividends 89 972 -- --
Shares reacquired (4,050) (44,597) -- --
------------------------------------------------------------------------------------------------------------
Net Increase 68,988 $756,961 70,666 $763,888
</TABLE>
(a) For the period from October 18, 1999 (commencement of operations) to
December 31, 1999.
--------------------------------------------------------------------------------
8 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
SMITH BARNEY EAFE INDEX FUND
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Financial Highlights
--------------------------------------------------------------------------------
For a share of capital stock outstanding throughout the period:
<TABLE>
<CAPTION>
Class A Shares 2000(1)(2) 1999(3)
===============================================================================================
<S> <C> <C>
Net Asset Value, Beginning of Period $ 11.52 $ 10.00
-----------------------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income (loss)(4) 0.06 (0.00)*
Net realized and unrealized gain (loss) (0.59) 1.52
-----------------------------------------------------------------------------------------------
Total Income (Loss) From Operations (0.53) 1.52
-----------------------------------------------------------------------------------------------
Less Distributions:
Net investment income (0.00)* --
Net realized gains (0.00)* --
-----------------------------------------------------------------------------------------------
Total Distributions (0.00)* --
-----------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.99 $ 11.52
-----------------------------------------------------------------------------------------------
Total Return++ (4.53)% 15.20%
-----------------------------------------------------------------------------------------------
Net Assets, End of Period (000's) $ 1,535 $814
-----------------------------------------------------------------------------------------------
Ratios to Average Net Assets+:
Expenses(4)(5)(6) 0.85% 0.85%
Net investment income (loss) 1.25 (0.19)
-----------------------------------------------------------------------------------------------
Portfolio Turnover Rate 33% 39%
===============================================================================================
</TABLE>
(1) For the six months ended June 30, 2000 (unaudited).
(2) Per share amounts have been calculated using the average shares method.
(3) For the period from October 18, 1999 (commencement of operations) to
December 31, 1999.
(4) SSBC has agreed to waive all of its administration fees for the six months
ended June 30, 2000 and the year ended December 30, 1999. In addition,
SSBC has agreed to reimburse expenses amounting to $71,136 and $34,325 for
the six months ended June 30, 2000 and the year ended December 31, 1999,
respectively. If such fees were not waived or expenses reimbursed, the
increase to net investment income (loss) per share would have been ($0.46)
and $0.49, respectively, and the actual expense ratio would have been 6.26%
and 55.46% (annualized), respectively.
(5) As a result of an expense limitation, the expense ratio will not exceed
0.85%.
(6) This expense ratio includes expenses charged to the Master Portfolio.
* Amount represents less than $0.01 per share.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 9
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
COMMON STOCKS -- 94.61%
Australia -- 2.44%
11,687 AMP Ltd. $ 118,770
71,979 Boral Ltd.* 90,362
1,699 Brambles Industries Ltd. 52,140
12,867 Broken Hill Proprietary Co. Ltd. 151,916
20,876 Coca-Cola Amatil Ltd. 40,560
1,233 Cochlear Ltd. 21,197
12,062 Coles Myer Ltd. 46,249
9,859 Commonwealth Bank of Australia 163,197
5,287 Computershare Ltd. 27,149
30,252 Gandel Retail Trust 19,531
3,501 Lend Lease Corp. Ltd. 44,595
9,288 National Australia Bank Ltd. 154,900
14,697 News Corp. Ltd. 202,075
12,833 Orica Ltd. 58,135
3,595 Rio Tinto Ltd. 59,356
18,862 Santos Ltd. 57,393
12,782 Smith (Howard) Ltd. 62,351
13,279 Southcorp Ltd. 38,262
7,813 TABCORP Holdings Ltd. 44,838
55,984 Telstra Corp Ltd. 226,909
5,793 Wesfarmers Ltd. 46,058
11,045 Westpac Banking Corp. Ltd. 79,563
12,094 WMC Ltd. 54,029
13,395 Woolworths Ltd. 49,366
--------------------------------------------------------------------------------
1,908,901
--------------------------------------------------------------------------------
Austria -- 1.5%
1,142 Bank Austria AG 55,629
677 OMV AG 58,820
--------------------------------------------------------------------------------
114,449
--------------------------------------------------------------------------------
Belgium -- 0.70%
784 Colruyt NV 33,220
770 Delhaize "Le Lion" SA 46,058
64 Dolmen Computer Applications NV* 1,253
292 Electrabel SA 72,178
4,572 Fortis "B" 133,049
226 Groupe Bruxelles Lambert SA 56,425
2,194 KBC Bancassurance Holding NV 96,567
1 PetroFina SA 549
803 Solvay SA 54,050
1,499 UCB SA 55,072
--------------------------------------------------------------------------------
548,421
--------------------------------------------------------------------------------
Denmark -- 0.79%
6 A/S Dampskibsselskabet Svendborg " B" 88,680
8 D/S 1912 "B" 84,969
500 Den Danske Bank Group 60,144
8,626 Nordic Baltic Holding AB* 62,918
538 Novo-Nordisk A/S "B" 91,565
See Notes to Financial Statements.
--------------------------------------------------------------------------------
10 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Denmark -- 0.79% (continued)
1,600 Tele Danmark A/S $ 107,696
3,290 Vestas Wind Systems A/S 144A 120,829
--------------------------------------------------------------------------------
616,801
--------------------------------------------------------------------------------
Finland -- 2.94%
37,124 Nokia OYJ 1,894,497
623 Pohjola Group Insurance Corp. "B" 22,020
6,460 Sonera Group OYJ 294,508
771 Tietoenator OYJ 25,727
2,700 UPM-Kymmene OYJ 67,024
--------------------------------------------------------------------------------
2,303,776
--------------------------------------------------------------------------------
France -- 10.67%
1,871 Accor SA 76,688
708 Air Liquide 92,389
9,016 Alcatel SA 591,374
5,809 Aventis SA 424,005
2,875 AXA UAP 452,911
3,426 Banque National de Paris 329,715
244 Bouygues SA* 163,072
925 Canal Plus 155,434
951 Cap Gemini SA 167,521
5,246 Carrefour Supermarche SA 358,619
694 Compagnie de Saint Gobain 93,824
1,523 Compagnie Generale des Etablissements
Michelin "B" 48,872
892 Dassault Systemes SA 83,205
746 Etablissements Economiques du
Casino Guichard-Perrachon SA 69,088
7,852 France Telecom SA 1,097,521
1,062 Groupe Danone 140,939
892 Lafarge SA 69,324
991 Lagardere S.C.A. 75,693
490 L'OREAL* 424,321
716 LVMH (Louis Vuitton Moet Hennessy)* 295,249
1,184 Pechiney SA "A" 49,400
1,657 Pernod Ricard 90,176
845 Pinault-Printemps-Redoute SA 187,735
375 PSA Peugeot Citroen 75,258
81 Publicis SA 31,785
81 Sagem SA 94,967
5,337 Sanofi-Synthelabo SA 254,266
1,307 Schneider SA 91,094
3,076 Societe Generale "A" 185,020
319 Sodexho Alliance SA 57,868
6,475 STMicroelectronics NV 408,014
1,338 Suez Lyonnaise des Eaux SA 234,417
1,339 Thomson CSF 52,747
5,694 Total SA - Series B 873,081
2,549 Usinor SA 31,102
873 Valeo SA 46,676
4,375 Vivendi 386,168
--------------------------------------------------------------------------------
8,359,538
--------------------------------------------------------------------------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 11
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Germany -- 7.99%
1,799 Allianz AG $ 646,334
4,650 BASF AG 188,684
5,300 Bayer AG 202,914
894 Beiersdorf AG 74,259
2,228 Continental AG 37,439
7,896 DaimlerChrysler AG 411,841
4,688 Deutsche Bank AG - Registered Shares 385,821
3,128 Deutsche Lufthansa AG 73,019
23,399 Deutsche Telekom AG 1,335,949
3,850 Dresdner Bank AG 158,427
1,078 EM TV & Merchandising AG 63,658
787 Fresenius Medical Care AG 62,756
710 Heidelberger Zement AG 43,384
3,050 HypoVereinsbank 199,472
1,318 Karstadt AG 34,353
1,562 Linde AG 62,785
1,448 MAN AG 43,769
1,873 Merck KGaA 57,224
2,681 Metro AG 94,683
1,273 Muenchener Rueckversicherungs-Gesellschaft AG 398,652
1,815 Preussag AG 58,571
3,898 RWE AG 132,304
1,473 SAP AG 217,141
1,767 Schering AG 96,246
4,516 Siemens AG 681,244
4,605 Thyssen Krupp AG 74,963
5,626 Veba AG 271,258
3,021 Volkswagen AG 114,478
1,587 WCM Beteiligungs & Grundbesi AG 37,259
--------------------------------------------------------------------------------
6,258,887
--------------------------------------------------------------------------------
Hong Kong -- 1.96%
31,000 Cathay Pacific Airways Ltd. 57,462
16,500 CLP Holdings Ltd. 76,832
16,000 Esprit Holdings Ltd. 16,624
15,100 Hang Seng Bank Ltd 143,337
15,000 Henderson Land Development Co. Ltd. 65,998
49,060 Hong Kong & China Gas Co. Ltd. 55,065
90,400 Hong Kong Telecommunications Ltd. 198,880
29,700 Hutchison Whampoa Ltd. 373,365
8,000 Johnson Electric Holdings Ltd. 75,684
12,000 Li & Fung Ltd. 60,034
40,000 Pacific Century Cyberworks Ltd.* 79,020
21,000 Sun Hung Kai Properties Ltd. 150,853
18,500 Swire Pacific Ltd. "A" 108,216
4,000 Television Broadcasts Ltd. 26,682
27,000 Wharf Holdings Ltd. 48,316
--------------------------------------------------------------------------------
1,536,368
--------------------------------------------------------------------------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
12 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Ireland -- 0.37%
8,668 Allied Irish Banks PLC $ 77,627
3,725 CRH PLC 67,395
17,419 Eircom PLC 46,566
5,332 Irish Life & Permanent PLC 45,255
3,985 Kerry Group PLC 51,098
--------------------------------------------------------------------------------
287,941
--------------------------------------------------------------------------------
Italy -- 4.14%
8,594 Assicurazioni Generali SpA 294,565
64,474 Banca di Roma SpA 79,161
39,543 Banca Intesa SpA 177,066
23,233 Benetton Group SpA 48,578
6,022 Beni Stabili SpA 3,231
52,366 Enel SpA 231,987
64,554 ENI SpA 372,883
3,781 Fiat SpA 98,118
8,790 Mediaset SpA 134,277
9,411 Mediobanca Banca SpA 97,040
39,777 Olivetti SpA* 144,693
24,078 Pirelli SpA 63,332
7,600 Riunione Adriatica di Sicurta SpA 83,446
10,593 San Paolo - IMI SpA 188,014
51,099 Telecom Italia Mobile SpA 522,022
14,238 Telecom Italia Mobile SpA Rnc 71,640
28,635 Telecom Italia SpA 393,688
7,464 Telecom Italia SpA Rnc 49,527
39,134 Unicredito Italiano SpA 187,190
--------------------------------------------------------------------------------
3,240,458
--------------------------------------------------------------------------------
Japan -- 25.43%
1,200 Acom Co. Ltd. 100,815
800 Advantest Corp. 178,196
6,000 Ajinomoto Co. Inc. 76,854
23,000 Asahi Bank Ltd. 96,614
6,000 Asahi Breweries Ltd. 71,712
13,000 Asahi Chemical Industry Co. Ltd. 91,829
11,000 Asahi Glass Co. Ltd. 122,769
37,000 Bank of Tokyo-Mitsubishi Ltd. 446,405
11,000 Bank of Yokohama Ltd. 49,211
800 Benesse Corporation 55,380
7,000 Bridgestone Corp. 148,010
7,000 Canon Inc. 348,104
5,000 Casio Computer Co. Ltd. 56,039
15 Central Japan Railway Co. 84,766
3,000 Chugai Pharmaceutical Co. Ltd. 56,652
6,000 Dai Nippon Printing Co. Ltd. 105,618
4,000 Daiichi Pharmaceutical Co. Ltd. 101,342
3,000 Daikin Industries Ltd. 69,649
17,000 Daiwa Bank Ltd. 44,032
7,000 Daiwa House Industry Co. Ltd. 51,029
11,000 Daiwa Securities Co. Ltd. 145,044
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 13
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Japan -- 25.43% (continued)
7,000 Denso Corp. $ 170,096
28 East Japan Railway Co. 162,449
5,000 Ebara Corporation 67,671
3,000 Eisai Co. Ltd. 96,068
1,900 Fanuc Ltd. 193,087
26,000 Fuji Bank Ltd. 197,371
4,000 Fuji Photo Film Co. 163,504
15,000 Fujitsu Ltd. 518,484
6,000 Furukawa Electric Co. Ltd. 125,171
500 Hirose Electric Co. Ltd. 77,749
26,000 Hitachi Ltd. 374,665
8,000 Honda Motor Co. Ltd. 272,004
1,000 Hoya Corp. 89,475
21,000 Industrial Bank of Japan Ltd. 159,020
12,000 Itochu Corp.* 60,467
3,000 Ito-Yokado Co. Ltd. 180,269
19,000 Japan Airlines Co. Ltd. 72,116
15 Japan Tobacco Inc. 131,528
12,000 Joyo Bank Ltd. 46,112
3,000 Jusco Co. Ltd. 56,793
4,000 Kaneka Corp. 44,040
5,600 Kansai Electric Power Co. Inc. 100,106
4,000 Kao Corp. 122,063
33,000 Kawasaki Steel Corp. 47,243
14,000 Keihin Electric Express Railway 52,611
12,000 Kinden Corp. 75,272
19,000 Kinki Nippon Railway Co. Ltd. 76,948
8,000 Kirin Brewery Co. Ltd. 99,835
12,000 Komatsu Ltd. 84,313
1,100 Konami Company Ltd. 69,414
17,000 Kubota Corp. 61,644
8,000 Kuraray Co. Ltd. 91,622
1,400 Kyocera Corp. 237,212
4,000 Kyowa Hakko Kogyo Co. Ltd. 39,068
13,000 Marubeni Corp.* 44,690
4,000 Marui Co. Ltd. 76,478
15,000 Matsushita Electric Industrial Co. Ltd. 388,509
5,000 Minebea Co. Ltd. 62,633
19,000 Mitsubishi Chemical Corp. 77,843
12,000 Mitsubishi Corp. 108,388
17,000 Mitsubishi Electric Corp. 183,809
11,000 Mitsubishi Estate Co. Ltd. 129,296
30,000 Mitsubishi Heavy Industries Ltd. 132,801
18,000 Mitsubishi Rayon Co. 54,994
11,000 Mitsubishi Trust & Banking Corp. 85,265
12,000 Mitsui & Co. Ltd. 91,547
8,000 Mitsui Fudosan Co. Ltd. 86,650
11,000 Mitsui Marine & Fire Insurance Co. Ltd. 52,837
2,000 Murata Manufacturing Co. Ltd. 286,696
13,000 NEC Corp. 407,723
See Notes to Financial Statements.
--------------------------------------------------------------------------------
14 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Japan -- 25.43% (continued)
6,000 NGK Insulators Ltd. $ 74,255
600 Nidec Corp. 51,990
3,000 Nikon Corp. 111,043
1,100 Nintendo Co. Ltd. 191,872
2,000 Nippon COMSYS Corp. 42,477
10,000 Nippon Express Co. Ltd. 61,314
17,000 Nippon Mitsubishi Oil Corp. 77,814
10,000 Nippon Paper Industries Co. 68,189
4,000 Nippon Sheet Glass Co. Ltd. 55,531
54,000 Nippon Steel Corp. 113,416
97 Nippon Telegraph & Telephone Corp. 1,288,156
15,000 Nippon Yusen Kabushiki Kaisha 72,051
32,000 Nissan Motor Co. Ltd.* 188,368
2,000 Nitto Denko Corp. 77,043
15,000 Nomura Securities Co. Ltd. 366,612
6,000 NSK Ltd. 52,555
11,000 Oji Paper Co. Ltd. 75,629
4,000 Olympus Optical Co. Ltd. 71,618
3,000 Omron Corp. 81,375
1,000 Oriental Land Co. Ltd. 102,001
720 Orix Corp. 106,127
22,000 Osaka Gas Co. 63,197
2,000 Pioneer Electronic Corp. 77,796
1,000 Promise Co. Ltd. 78,926
900 Rohm Co. Ltd. 262,774
31,000 Sakura Bank Ltd. 214,015
4,000 Sankyo Co. Ltd. 90,228
17,000 Sanyo Electric Co. Ltd. 152,748
2,000 Secom Co. Ltd. 145,985
8,000 Sekisui House Ltd. 73,916
8,000 Sharp Corp. 141,276
3,000 Shin-Etsu Chemical Co. Ltd. 152,013
3,000 Shionogi & Co. Ltd. 56,934
5,000 Shiseido Co. 77,231
7,000 Shizuoka Bank Ltd. 59,336
1,000 Skylark Co. 39,463
600 SMC Corp. 112,738
2,500 Softbank Corp. 339,063
6,800 Sony Corp. 634,048
25,000 Sumitomo Bank Ltd. (The) 306,098
16,000 Sumitomo Chemical Co. Ltd. 96,142
9,000 Sumitomo Corp. 101,126
7,000 Sumitomo Electric Industries 119,859
10,000 Sumitomo Marine & Fire Insurance Co. Ltd. 58,112
3,000 Taisho Pharmaceutical Co. Ltd. 107,370
1,000 Taiyo Yuden Co. Ltd. 62,538
2,000 Takara Shuzo Co. 49,823
7,000 Takeda Chemical Industries 458,865
1,200 Takefuji Corp. 144,780
12,000 Teijin Ltd. 58,432
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 15
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Japan -- 25.43% (continued)
2,000 Terumo Corp. $ 67,624
17,000 Tobu Railway Co. Ltd. 48,515
200 Toho Co. Ltd. 34,019
2,800 Tohoku Electric Power Co. Inc. 37,711
19,000 Tokai Bank Ltd. 93,590
11,000 Tokio Marine & Fire Insurance Co. Ltd. 126,809
8,800 Tokyo Electric Power Co. Inc. 214,250
1,000 Tokyo Electronics Ltd. 136,755
25,000 Tokyo Gas Co. 70,168
14,000 Tokyu Corp. 69,093
6,000 Toppan Printing Co. Ltd. 63,405
17,000 Toray Industries Inc. 68,848
24,000 Toshiba Corp. 270,571
3,000 Toyo Seikan Kaisha Ltd. 55,946
29,000 Toyota Motor Corp. 1,319,236
200 Trans Cosmos Inc. 29,988
800 Uni-Charm Corp. 48,373
5,000 Wacoal Corp. 50,860
3,000 Yamanouchi Pharmaceutical Co. Ltd. 163,598
4,000 Yamato Transport Co. Ltd. 99,270
--------------------------------------------------------------------------------
19,918,616
--------------------------------------------------------------------------------
Netherlands -- 5.14%
11,138 ABN AMRO Holding NV 272,870
10,148 Aegon NV 361,103
2,364 Akzo Nobel NV 100,438
3,138 ASM Lithography Holding NV* 134,881
5,957 Elsevier NV 72,174
2,670 Getronics NV 41,170
2,337 Heineken NV 142,243
7,314 ING Groep NV 494,402
10,409 Koninklijike Philips Electronics NV 490,939
6,081 Koninklijke Ahold NV 178,995
16,415 Royal Dutch Petroleum Co. 1,020,266
6,976 Royal KPN NV 312,038
3,591 TNT Post Group NV 96,856
4,134 Unilever NV 189,651
2,403 VOPAK 52,768
2,391 Wolters Kluwer NV 63,691
--------------------------------------------------------------------------------
4,024,485
--------------------------------------------------------------------------------
New Zealand -- 0.10%
35,635 Lion Nathan Ltd. 79,438
--------------------------------------------------------------------------------
Norway -- 0.31%
2,734 Bergesen DY "A" 56,072
2,715 Norsk Hydro ASA 113,896
3,612 Orkla As A-Aksjer 68,607
--------------------------------------------------------------------------------
238,575
--------------------------------------------------------------------------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Portugal -- 0.45%
9,868 Banco Comercial Portugues SA "R" $ 51,347
1,726 Banco Espirito Santo e Comercial de Lisboa SA 42,351
4,522 Brisa-Auto Estradas de Portugal SA 38,943
4,559 EDP - Electricidade de Portugal SA 82,789
9,108 Portugal Telecom 102,264
17,080 Sonae SGPS SA 36,080
--------------------------------------------------------------------------------
353,774
--------------------------------------------------------------------------------
Singapore -- 2.72%
8,000 Chartered Semiconductor Manufacturing* 69,928
12,000 City Developments Ltd. 46,541
10,652 DBS Group Holdings Ltd. 136,888
33,000 DBS Land Ltd. 42,791
11,350 Oversea-Chinese Banking Corp Ltd. - Ordinary Shares 78,186
9,000 Singapore Airlines Ltd. 89,088
4,000 Singapore Press Holdings Ltd. 62,518
46,000 Singapore Telecommunications Ltd. 67,367
10,392 United Overseas Bank Ltd. 67,976
--------------------------------------------------------------------------------
661,283
--------------------------------------------------------------------------------
Spain -- 2.72%
5,772 Autopistas Concesion* 2,480
5,772 Autopistas Concesionaria Espanola SA 50,204
23,653 Banco Bilbao Vizcaya SA 353,421
30,724 Banco Santander Central Hispano SA 324,138
1,406 Corporacion Financiere Alba* 37,050
7,371 Endesa SA 142,791
2,289 Fomento de Construcciones y Contratas SA 43,272
3,900 Gas Natural SDG SA 70,003
10,404 Grupo Dragados SA 74,598
7,322 Iberdrola SA 94,375
9,518 Repsol SA 189,471
2,780 Sociedad General de Aguas de Barcelona SA 37,159
4,570 Tabacalera SA "A" 70,204
24,769 Telefonica SA* 532,088
2,719 Union Electrica Fenosa SA 49,194
6,733 Zardoya Otis SA 59,655
--------------------------------------------------------------------------------
2,130,103
--------------------------------------------------------------------------------
Sweden -- 3.44%
2,219 Atlas Copco AB "B" 42,770
4,750 Drott AB 51,162
3,394 Electrolux AB "B" 52,526
4,950 ForeningsSparbanken AB 72,398
6,051 Hennes & Mauritz AB 126,234
900 NetCom AB "B"* 66,429
21,357 Nordic Baltic Holding AB 161,025
2,295 Sandvik AB 48,138
2,965 Securitas AB "B" 62,863
11,320 Skandia Forsakrings AB 299,043
6,300 Skandinaviska Enskilda Banken "A" 74,643
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 17
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Sweden -- 3.44% (continued)
1,588 Skanska AB "B" $ 56,264
2,325 Svenska Cellulosa AB "B" 44,154
5,900 Svenska Handelsbanken AB "B" 85,624
13,328 Swedish Match AB 41,102
60,008 Telefonakfiebolaget Ericsson AB 1,187,234
10,600 Telia AB* 99,750
3,602 Volvo AB "B" 78,207
7,355 WM-Data AB 40,444
--------------------------------------------------------------------------------
2,690,010
--------------------------------------------------------------------------------
Switzerland -- 5.44%
2,243 ABB Ltd. 268,456
140 Adecco SA 118,944
102 Alusuisse Lonza Group AG* 66,464
2,138 Credit Suisse Group 425,280
65 Gebruder Sulzer AG* 43,231
63 Givaudan - Foreign Registered* 19,174
134 Holderbank Financiere Glarus AG 43,781
51 Holderbank Financiere Glarus AG "B" 62,525
289 Nestle SA 578,407
544 Novartis AG - Registered 861,677
51 Roche Holding AG 496,448
12 Roche Holding AG-Genusschein 126,926
28 Schindler Holding AG 42,909
100 Schweizerische Rueckversicherungs-Gesellschaft 203,819
57 Swatch Grap AG 72,466
558 Swisscom AG 193,257
3,244 Union Bank of Switzerbank 475,260
330 Zurich Allied AG 163,043
--------------------------------------------------------------------------------
4,262,067
--------------------------------------------------------------------------------
United Kingdom -- 18.59%
10,532 Abbey National PLC 126,257
11,530 Allied Zurich PLC 136,733
5,511 AMVESCAP PLC 88,644
6,542 Anglian Water PLC 60,555
7,615 Arm Holdings PLC* 81,813
9,421 BAA PLC 75,768
11,485 Barclays PLC 286,341
8,258 Bass PLC 93,106
25,767 BG Group PLC 166,957
7,627 Blue Circle Industries PLC 49,361
3,826 BOC Group PLC 55,155
8,188 Boots Co. PLC 62,497
173,728 BP Amoco PLC 1,671,368
22,004 British Aerospace PLC 137,567
10,196 British Airways PLC 58,793
21,132 British American Tobacco PLC 141,415
13,940 British Sky Broadcasting Group PLC* 273,301
49,095 British Telecommunications PLC 636,222
2,563 Burmah Castrol PLC 64,794
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
United Kingdom -- 18.59% (continued)
15,528 Cadbury Schweppes PLC $ 102,263
8,119 Canary Wharf Finance PLC* 45,647
1,859 Capita Group PLC 45,615
5,870 Carlton Communications PLC 75,713
29,385 Centrica PLC 98,322
16,552 CGU PLC 276,286
5,363 Compass Group PLC 70,842
30,263 Corus Group PLC 44,314
24,066 Diageo PLC 216,558
15,509 Dixons Group PLC 63,306
4,340 Electrocomponents PLC 44,454
6,945 EMI Group PLC 63,232
5,919 GKN PLC "B" 75,716
26,976 Glaxo Wellcome PLC 788,813
14,330 Granada Group PLC 143,518
9,242 Great Universal Stores PLC 59,603
16,658 Halifax PLC 160,260
7,221 Hanson PLC 51,172
12,846 Hays PLC 71,832
63,929 HSBC Holdings PLC 732,901
7,273 Imperial Chemical Industries PLC 57,886
27,902 Invensys PLC 105,004
16,140 J Sainsbury PLC 73,476
11,570 Kingfisher PLC 105,605
15,154 Ladbroke Group PLC 53,350
4,627 Land Securities PLC 55,468
36,494 Legal & General Group PLC 85,560
41,720 Lloyds TSB Group PLC 395,043
3,049 Logica PLC 72,362
19,382 Marconi PLC 252,937
23,054 Marks & Spencer PLC 81,249
4,645 Misys PLC 39,331
10,190 National Grid Group PLC 80,561
9,209 National Power PLC 58,832
5,977 Nycomed Amersham PLC "A" 59,498
4,418 Pearson PLC 140,786
7,949 Peninsular & Oriental Steam Navigation Co. PLC 68,272
13,373 Prudential Corp. PLC 196,435
3,830 Psion PLC 37,138
4,674 Railtrack Group PLC 72,805
9,589 Reed International PLC 83,667
24,807 Rentokil Initial PLC 56,466
10,427 Reuters Group PLC 178,319
9,297 Rio Tinto PLC 152,364
19,389 Royal Bank of Scotland Group PLC 325,406
9,623 Sage Group PLC 78,123
2,562 Schroders PLC 46,186
12,685 Scottish Power PLC 107,793
3,602 Sema Group PLC 51,379
14,249 Smith & Nephew Associated 52,758
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 19
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
United Kingdom -- 18.59% (continued)
42,128 SmithKline Beecham PLC $ 552,968
4,444 Smiths Industries PLC 57,995
48,782 Tesco PLC 152,122
4,017 Thames Water PLC 52,117
3,979 3i Group PLC 82,056
13,995 Unigate PLC 61,586
21,405 Unilever PLC 129,924
5,079 United Utilities PLC 50,405
465,708 Vodafone Group PLC ADR 1,886,863
9,227 Williams PLC 53,906
7,972 Wolseley PLC 42,944
5,720 WPP Group PLC 83,760
13,449 Zeneca Group PLC 629,593
--------------------------------------------------------------------------------
14,557,312
--------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost -- $66,238,347) 74,091,203
================================================================================
PREFERRED STOCKS -- 0.46%
Australia -- 0.23%
15,039 News Corp. Ltd. 181,289
--------------------------------------------------------------------------------
Germany -- 0.23%
954 SAP AG - Vorzug 176,429
--------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(Cost -- $273,296) 357,718
================================================================================
SHARES OR
PRINCIPAL SECURITY VALUE
================================================================================
SHORT-TERM INSTRUMENTS -- 4.61%
United States -- 4.61%
U.S. Treasury Bills:
2,227,000 5.61% due 8/3/00** 2,215,428
1,401,000 5.67% due 7/13/00** 1,398,176
--------------------------------------------------------------------------------
3,613,604
================================================================================
TOTAL SHORT-TERM INSTRUMENTS
(Cost -- $3,614,271) 3,613,604
================================================================================
TOTAL INVESTMENTS IN SECURITIES -- 99.68%
(Cost -- $70,125,914) 78,062,525
================================================================================
Other Assets, Less Liabilities -- 0.32% 254,045
================================================================================
NET ASSETS -- 100.00% $78,316,570
================================================================================
* Non-income producing security.
** These U.S. Treasury Bills are held in segregated accounts in connection
with the Master Portfolio's holdings of FTSE 100 Index, NIKKEI 300 Index
and Euro 50 Index futures contracts (See Note 1).
See Notes to Financial Statements.
--------------------------------------------------------------------------------
20 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Statement of Assets and Liabilities (unaudited) June 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments:
In securities, at market value (Cost -- $70,125,914) (Note 1) $78,062,525
Cash 835
Cash denominated in foreign currencies (Cost -- $218,335) 221,579
Unrealized gain on foreign currency exchange contracts 32,739
Receivables:
Dividends and interest 146,191
Due from broker-variation margin 140,542
-----------------------------------------------------------------------------------------
Total Assets 78,604,411
-----------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 157,013
Due to BGI (Note 2) 65,471
Unrealized loss on foreign currency exchange contracts 65,357
-----------------------------------------------------------------------------------------
Total Liabilities 287,841
-----------------------------------------------------------------------------------------
Total Net Assets $78,316,570
=========================================================================================
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 21
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Statement of Operations (unaudited) For the Six Months Ended June 30, 2000
--------------------------------------------------------------------------------
NET INVESTMENT INCOME:
Dividends (a) $ 666,870
Interest 84,779
-------------------------------------------------------------------------------
Total Investment Income 751,649
-------------------------------------------------------------------------------
EXPENSES (NOTE 2):
Advisory fees 53,559
Administration fees 35,706
-------------------------------------------------------------------------------
Total Expenses 89,265
-------------------------------------------------------------------------------
Net Investment Income 662,384
-------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on sale of investments 196,724
Net realized loss on sale of futures contracts (29,595)
Net realized loss on foreign currency transactions (89,931)
Net change in unrealized depreciation of investments (3,739,615)
Net change in unrealized depreciation of futures contracts (198,100)
Net change in unrealized appreciation on translation of
assets and liabilities in foreign currencies 1,110
-------------------------------------------------------------------------------
Net Loss on Investments (3,859,407)
-------------------------------------------------------------------------------
Net Decrease in Net Assets Resulting From Operations $(3,197,023)
===============================================================================
(a) Net of foreign withholding tax of $85,590.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
22 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
For the Six Months Ended June 30, 2000 (unaudited)
and the Period Ended December 31, 1999(a)
<TABLE>
<CAPTION>
2000 1999
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 662,384 $ 106,126
Net realized gain 77,198 32,307
Net change in unrealized appreciation (depreciation) (3,936,605) 11,799,108
------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting From Operations (3,197,023) 11,937,541
------------------------------------------------------------------------------------------------------------------------------------
Interestholder Transactions:
Contributions 29,738,204 54,039,755
Withdrawals (11,847,264) (2,354,643)
------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting From Interestholder Transactions 17,890,940 51,685,112
------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets 14,693,917 63,622,653
NET ASSETS:
Beginning of period 63,622,653 --
------------------------------------------------------------------------------------------------------------------------------------
End of period $ 78,316,570 $ 63,622,653
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) For the period from October 1, 1999 (commencement of operations) to December
31, 1999.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 23
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
1. Significant Accounting Policies
Master Investment Portfolio ("MIP") is registered under the Investment Company
Act of 1940, as amended (the "1940 Act"), as an open-end management investment
company. MIP was organized on October 20, 1993 as a Delaware business trust
pursuant to an Agreement and Declaration of Trust dated May 14, 1993, and had no
operations prior to March 1, 1994. MIP currently issues the following separate
portfolios: Asset Allocation, Bond Index, Extended Index, International Index,
LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040,
Money Market, S&P 500 Index and U.S. Equity Index Master Portfolios.
These financial statements relate to the International Index Master Portfolio
(the "Master Portfolio").
The following is a summary of significant accounting policies which are
consistently followed by the MIP in the preparation of its financial statements,
and which are in conformity with generally accepted accounting principles for
investment companies. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
Security Valuation
The equity securities of the Master Portfolio are valued at the last reported
sales price on the primary securities exchange or national securities market on
which such securities are traded. Securities not listed on an exchange or
national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. U.S. Government
obligations are valued at the last reported bid price. Debt securities maturing
in 60 days or less are valued at amortized cost, which approximates market
value. Any securities, restricted securities or other assets for which market
quotations are not readily available, are valued at fair value as determined in
good faith in accordance with policies approved by MIP's Board of Trustees.
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are purchased
or sold (trade date). Dividend income is recognized on the ex-dividend date, and
interest income is recognized on a daily accrual basis. Realized gains or losses
are reported on the basis of identified cost of securities delivered. Original
issue discount and discount on securities purchased are accreted as interest
income using a constant yield to maturity method. Premiums on securities
purchased are amortized as a reduction in interest income using a constant yield
to maturity method.
The accounting records of the Master Portfolio are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the prevailing exchange
rate on the respective date of the transactions.
--------------------------------------------------------------------------------
24 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
Federal Income Taxes
MIP believes that the Master Portfolio has and will continue to be operated in a
manner so as to qualify it as a partnership for federal income tax purposes.
Provided that the Master Portfolio so qualifies, it will not be subject to any
federal income tax on its income and gain (if any). However, each investor in
the Master Portfolio will be taxed on its distributive share of the Master
Portfolio's taxable income in determining its federal income tax liability. As a
partnership for federal income tax purposes, the Master Portfolio will be deemed
to have "passed through" to interestholders any interest, dividends, gains or
losses for such purposes. The determination of such share will be made in
accordance with the Internal Revenue Code of 1986, as amended (the "Code"), and
regulations promulgated thereunder.
It is intended that the Master Portfolio's assets, income and distributions will
be managed in such a way that an entity electing and qualifying as a "regulated
investment company" under the Code can continue to so qualify by investing
substantially all of its assets through the Master Portfolio, provided that the
regulated investment company meets other requirements for such qualifications
not within the control of the Master Portfolio (e.g., distributing at least 90%
of the regulated investment company's "investment company taxable income"
annually).
Futures Contracts
The Master Portfolio may purchase long futures contracts to gain exposure to
market changes as this may be more efficient or cost effective than actually
buying the securities. A futures contract is an agreement between two parties to
buy and sell a security at a set price on a future date and is exchange traded.
Upon entering into a futures contract, the Master Portfolio is required to
pledge to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Master Portfolio agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Master Portfolio as unrealized gains
or losses. When the contract is closed, the Master Portfolio records a gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. Pursuant to regulations
and/or published positions of the Securities and Exchange Commission, the Master
Portfolio is required to segregate cash, U.S. Government securities or high
quality, liquid debt instruments in connection with long futures transactions in
an amount generally equal to the entire futures contract amount. Risks of
entering into futures contracts include the possibility that there may be an
illiquid market and that a change in the value of the contracts may not
correlate with changes in the value of the underlying securities.
As of June 30, 2000 the Master Portfolio had the following open long futures
contracts outstanding:
<TABLE>
<CAPTION>
Net Unrealized
Number of Expiration Notional Appreciation
Contracts Type Date Contract Value (Depreciation)
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
10 FTSE 100 Index 9/15/00 $ 964,643 $ (18,928)
36 NKKEI 300 Index 9/7/00 1,063,980 19,355
31 EURO 50 Index 9/15/00 1,538,176 (42,754)
----------------------------------------------------------------------------------------
$ (42,327)
----------------------------------------------------------------------------------------
</TABLE>
The Master Portfolio has pledged to brokers U.S. Treasury Bills for initial
margin requirements with a par value of $3,628,000.
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 25
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
Repurchase Agreements
Transactions involving purchases of securities under agreements to resell such
securities at a specified price and time ("repurchase agreements") are treated
as collateralized financing transactions and are recorded at their contracted
resale amounts. These repurchase agreements, if any, are detailed in the Master
Portfolio's Schedule of Investments. The advisor to the Master Portfolio may
pool the Master Portfolio's cash and invest in repurchase agreements entered
into by the other Master Portfolios. The Master Portfolio's prospectus requires
that the cash investments be fully collateralized based on values that are
marked to market daily. The collateral is generally held by an agent bank under
a tri-party agreement. It is the advisor's responsibility to value collateral
daily and to obtain additional collateral as necessary to maintain the value at
equal to or greater than the repurchase price. As of June 30, 2000 the Master
Portfolio had no outstanding repurchase agreements.
Forward Foreign Currency Contracts
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Master Portfolio may use forward foreign
currency exchange contracts to hedge certain foreign currency assets and
liabilities. Contracts are recorded at market value and marked to market daily.
Risks of entering into forward foreign currency exchange contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. The amount at risk for such forward foreign currency exchange
contracts may exceed the amount reflected in the financial statements. As of
June 30, 2000, the Master Portfolio had the following open forward foreign
currency exchange contracts outstanding:
<TABLE>
<CAPTION>
Exchange Foreign Currency Net Unrealized
Currency Date Cost/Proceeds U.S. Dollar Value Gain/(Loss)
=====================================================================================================================
<S> <C> <C> <C> <C>
Purchase Contracts
British Pound Sterling 8/3/00 $1,756,901 $1,732,993 $(23,908)
Euro Dollar 8/3/00 2,048,405 2,081,144 32,739
Japanese Yen 8/3/00 1,684,256 1,679,739 (4,517)
Swedish Krona 8/3/00 107,661 107,432 (229)
---------------------------------------------------------------------------------------------------------------------
Net Unrealized Gain on Purchase Contracts 4,085
Sale Contracts
British Pound Sterling 8/3/00 788,000 805,096 (17,096)
Euro Dollar 8/3/00 579,000 595,655 (16,655)
Japanese Yen 8/3/00 620,000 621,240 (1,240)
Swedish Krona 8/3/00 105,720 107,432 (1,712)
---------------------------------------------------------------------------------------------------------------------
Net Unrealized Loss on Sale Contracts (36,703)
Net Unrealized Gain on Forward
Foreign Currency Contracts $(32,618)
---------------------------------------------------------------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
26 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
2. Agreements and Other Transactions with Affiliates
Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays
Global Fund Advisors ("BGFA") provides investment guidance and policy direction
in connection with the management of the Master Portfolio's assets. BGFA is
entitled to receive 0.15% of the average daily net assets of the Master
Portfolio as compensation for advisory services. BGFA is an indirect subsidiary
of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to the Master
Portfolio. IBT will not be entitled to receive fees for its custodial services
so long as it is entitled to receive a separate fee from Barclays Global
Investors, N.A. ("BGI") for its services as Sub-Administrator of the Master
Portfolio.
Stephens Inc. ("Stephens"), is the sponsor and placement agent for the Master
Portfolio.
The MIP has entered into administration services arrangements with BGI and
Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Master Portfolio such as managing and
coordinating third-party service relationships. BGI and Stephens are entitled to
receive a fee at an annual rate of 0.10% of the first $1 billion, and 0.07%
thereafter, of the average daily net assets of the Master Portfolio. BGI and
Stephens may delegate certain of their administration duties to
sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of June
30, 2000 these officers of Stephens collectively owned less than 1% of the
Master Portfolio's outstanding beneficial interests.
3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for the
Master Portfolio for the six months ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
<S> <C>
U.S. GOVERNMENT OBLIGATIONS:
----------------------------------------------------------------------
Purchase at cost $ --
Sales proceeds --
----------------------------------------------------------------------
OTHER SECURITIES:
----------------------------------------------------------------------
Purchase at cost $41,187,053
Sales proceeds 22,896,338
----------------------------------------------------------------------
</TABLE>
At June 30, 2000, the Master Portfolio's aggregate unrealized appreciation and
depreciation based on cost for federal income tax purposes was as follows:
Unrealized Unrealized Net Unrealized
Tax Cost Appreciation Depreciation Appreciation
----------------------------------------------------------------------
$70,125,914 $12,371,620 $(4,435,009) $7,936,611
----------------------------------------------------------------------
--------------------------------------------------------------------------------
Smith Barney EAFE Index Fund 27
<PAGE>
--------------------------------------------------------------------------------
INTERNATIONAL INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
4. Financial Highlights
The ratios of expenses to average net assets, net investment income to average
net assets and portfolio turnover rates, excluding short-term securities for the
Master Portfolio are as follows:
<TABLE>
<CAPTION>
<S> <C> <C>
Six Months Ended For the Period Ended
June 30, 2000 December 31, 1999*
=====================================================================================================
Ratio of expenses to average net assets+ 0.25% 0.25%
Ratio of net investment income to average net assets+ 1.85% 0.82%
Portfolio turnover rate 33% 39%
</TABLE>
* For the period from March 1, 1999 (commencement of operations) to December 31,
1999.
+ Annualized for period of less than one year.
--------------------------------------------------------------------------------
28 2000 Semi-Annual Report to Shareholders
<PAGE>
Smith Barney
EAFE Index Fund
Trustees
Herbert Barg
Alfred J. Bianchetti
Martin Brody
Dwight B. Crane
Burt N. Dorsett
Elliot S. Jaffe
Stephen E. Kaufman
Joseph J. McCann
Heath B. McLendon, Chairman
Cornelius C. Rose, Jr.
Officers
Heath B. McLendon
President and Chief Executive Officer
Lewis E. Daidone
Senior Vice President and Treasurer
Irving P. David
Controller
Christina T. Sydor
Secretary
Investment Administrator
SSB Citi Fund Management LLC
Distributor
Salomon Smith Barney Inc.
Custodian
Investors Bank and Trust Company
Transfer Agent
Citi Fiduciary Trust Company
125 Broad Street, 11th Floor
New York, New York 10004
Sub-Transfer Agent
PFPC Global Fund Services
P.O. Box 9699
Providence, Rhode Island 02940-9699
This report is submitted for the general information of shareholders of Smith
Barney EAFE Index Fund. It is not for distribution to prospective investors
unless accompanied by a current Prospectus for the Fund, which contains
information concerning the Fund's investment policies and expenses as well as
other pertinent information.
[LOGO OF SMITH BARNEY]
Smith Barney
EAFE Index Fund
Smith Barney Mutual Funds
388 Greenwich Street, MF-2
New York, New York 10013
www.smithbarney.com/mutualfunds
FD02000 8/00
<PAGE>
SB [GRAPHIC OMITTED]
MF
Smith Barney
S&P 500 Index
Fund
Special Discipline series
Semi-Annual Report
[GRAPHIC OMITTED]
June 30, 2000
SB Smith Barney
MF Mutual Funds
Your Serious Money. Professionally Managed.(SM)
Not Fdic Insured o Not Bank Guaranteed o May Lose Value
<PAGE>
--------------------------------------------------------------------------------
A Message from the Chairman
--------------------------------------------------------------------------------
[PHOTO]
HEATH B.
MCLENDON
Chairman
Dear Shareholder:
For years, individuals and their families and businesses have looked to the
investment professionals of SSB Citi Fund Management LLC for thoughtful insights
and a wide variety of investment options. For some, the solution has been a
long-term investment strategy involving index funds.
As you may know, the Smith Barney S&P 500(1) Index Fund ("Fund") matches the
composition of the Standard & Poor's 500 Index ("S&P 500")(2) by owning the
constituent index stocks at the appropriate index weight. The Fund, therefore,
remains neutral relative to the benchmark in terms of economic sectors, market
capitalization and the growth and value styles of investing.
In our opinion, the lessons of the past may be used to better understand the
challenges and opportunities of the future. We believe SSB Citi Fund Management
LLC represents extensive asset management expertise. We also believe that
expertise is achieved through the intelligent application of knowledge and the
use of investment tools.
Whatever your investment objective may be, we believe that following a
disciplined investment plan is of paramount importance in these uncertain times.
We encourage you to work closely with your financial professional to map out an
investment plan that fits in with your objectives -- be it retirement, estate
planning or educational needs.
When you invest with SSB Citi Fund Management LLC, you can do so with the
confidence that your interests come first, your investment success is paramount,
and that the ultimate in resources is being committed to your financial future.
Thank you for investing with us.
Sincerely,
/s/ Heath B. McLendon
Heath B. McLendon
Chairman
July 25, 2000
(1) Standard & Poor's, "S&P(R)" and "S&P 500(R)" are trademarks of Standard &
Poor's, a division of the McGraw Hill Companies, Inc. and have been
licensed for use by the Fund. The Fund is not sponsored, endorsed or
promoted by Standard & Poor's, and Standard & Poor's makes no
representation regarding the advisability of investing in the Fund.
(2) The S&P 500 is a market capitalization-weighted measure of 500 widely held
common stocks.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 1
<PAGE>
Shareholder Letter
--------------------------------------------------------------------------------
[PHOTO] [PHOTO]
SANDIP A. JOHN
BHAGAT, CFA LAU
Vice President and Investment Officer
Investment Officer
Dear Shareholder:
We are pleased to provide the semi-annual report of the Smith Barney S&P 500
Index Fund ("Fund") for the period ended June 30, 2000. In this report we have
summarized the period's prevailing economic and market conditions and outlined
our portfolio strategy.(1) A detailed summary of the Fund's performance can be
found in the appropriate sections that follow. We hope you find this report to
be useful and informative.
Investment Objective and Performance Update
The Fund seeks to provide investment results that, before expenses, correspond
to the price and yield performance of the Standard & Poor's 500 Index ("S&P
500").(2) The Fund will hold a broadly diversified portfolio of common stocks
that is comparable to the S&P 500 in terms of economic sector weightings, market
capitalization and liquidity.
The Fund is designed to provide a reliable exposure to the large-cap segment of
the U.S market through a broadly diversified portfolio structure. The Fund holds
a widely diversified portfolio of common stocks that is comparable to the S&P
500 in terms of sector weightings and market capitalization.
For the six months ended June 30, 2000, the Fund's Class A shares returned a
negative 0.63%. In comparison, the S&P 500 returned a negative 0.43% for the
same period. (Past performance is not indicative of future results.)
Financial Markets Overview
Shares of many U.S. companies declined during the period, with many of the major
indexes down for the first six months of the year as investors reacted to actual
as well as further potential rate increases by the Federal
----------
(1) The information provided represents the opinion of the managers and is not
intended to be a forecast of future events, a guarantee of future results
nor investment advice. Further, there is no assurance that certain
securities will remain in or out of the Fund's portfolio.
(2) The S&P 500 is unmanaged and is not subject to the same management and
trading expenses of a mutual fund. An investor cannot invest directly in
an index.
--------------------------------------------------------------------------------
2 2000 Semi-Annual Report to Shareholders
<PAGE>
Reserve Board ("Fed"). The breadth of the declines affected a wide range of
stocks including many small- and large-capitalization company stocks, growth
stocks and value stocks. (Growth stocks are shares of companies with
historically strong and relatively predictable earnings growth rates. Value
stocks are shares of companies that are believed to be undervalued but have good
longer-term business prospects.)
Momentum investing and technology stocks were largely out of favor with
investors during the period, replaced in many cases by a renewed interest in
companies that many investors believed could provide real earnings and had
strong financials.
Concerns about higher interest rates peaked in mid-May, when the Fed raised
interest rates 50 basis points.(3) The ongoing trend of rising interest rates
was a catalyst for the weak performance of all of the major indexes in the
quarter ended June 30, 2000. The Dow Jones Industrial Average ("DJIA"), which is
dominated by "Old Economy" stocks, followed a negative first quarter performance
with a decline of 4.34% in the second quarter of 2000. (The DJIA is a
price-weighted average of 30 actively traded blue-chip stocks. Figures for the
DJIA include reinvestment of dividends. The Old Economy represents more
established, "blue-chip" companies.)
For the sixth consecutive time since June 30, 1999, the Fed opted to raise
interest rates on May 16, 2000 to slow the robust growth of the U.S. economy,
increasing the federal funds rate by 50 basis points to 6.50%. (The federal
funds rate is the interest rate that banks with excess reserves at a Fed
district bank charge other banks that need overnight loans. The fed funds rate,
as it is called, often points to the direction of U.S. interest rates.) The
increase of the target overnight interest rate marked its highest level in nine
years and reflected Fed action intended to address risks of an economy with
higher inflationary pressures.
The Fed continued to stress its concern that there is a disparity in the growth
of demand and potential supply, which could foster inflation and jeopardize the
economy's performance. In theory, higher rates could potentially hurt stocks,
because slower growth often hinders profits at the same time that alternative
investments become more attractive. Accordingly, many interest-rate sensitive
stocks experienced price declines after the recent decision.
----------
(3) A basis point is 0.01% or one one-hundredth of a percent.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 3
<PAGE>
In June, many investors were relieved after the Fed left interest rates
unchanged during its latest policy meeting that took place in June. Generally,
monetary policy takes time to filter through the economy and the full effect of
higher interest rates may not be felt for months.
In closing, thank you for investing in the Smith Barney S&P 500 Index Fund. We
look forward to helping you pursue your financial goals in the new century.
Sincerely,
/s/ Sandip A. Bhagat /s/ John Lau
Sandip A. Bhagat, CFA John Lau
Vice President and Investment Officer
Investment Officer
July 25, 2000
--------------------------------------------------------------------------------
4 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Historical Performance--Class A Shares
--------------------------------------------------------------------------------
Net Asset Value
---------------------
Beginning End Income Capital Gain Total
Period Ended of Period of Period Dividend Distributions Returns+
================================================================================
6/30/00 $15.00 $14.88 $0.00 $0.02 (0.63)%++
--------------------------------------------------------------------------------
12/31/99* 14.24 15.00 0.08 0.00 5.88++
--------------------------------------------------------------------------------
11/30/99 11.98 14.24 0.06 0.07 19.96
--------------------------------------------------------------------------------
Inception** - 11/30/98 10.00 11.98 0.00 0.00 19.80++
================================================================================
Total $0.14 $0.09
================================================================================
--------------------------------------------------------------------------------
Historical Performance--Class D Shares
--------------------------------------------------------------------------------
Net Asset Value
--------------------
Beginning End Income Capital Gain Total
Period Ended of Period of Period Dividend Distributions Returns+
================================================================================
6/30/00 $15.01 $14.91 $0.00 $0.02 (0.50)%++
--------------------------------------------------------------------------------
12/31/99* 14.28 15.01 0.11 0.00 5.91++
--------------------------------------------------------------------------------
11/30/99 11.99 14.28 0.07 0.07 20.29
--------------------------------------------------------------------------------
Inception** - 11/30/98 11.00 11.99 0.00 0.00 9.00++
================================================================================
Total $0.18 $0.09
================================================================================
It is the Fund's policy to distribute dividends and capital gains, if any,
annually.
--------------------------------------------------------------------------------
Average Annual Total Returns+
--------------------------------------------------------------------------------
Class A Class D
================================================================================
Six Months Ended 6/30/00++ (0.63)% (0.50)%
--------------------------------------------------------------------------------
Year Ended 6/30/00 6.75 6.99
--------------------------------------------------------------------------------
Inception** through 6/30/00 18.10 18.47
================================================================================
--------------------------------------------------------------------------------
Cumulative Total Returns+
--------------------------------------------------------------------------------
================================================================================
Class A (Inception** through 6/30/00) 51.20%
--------------------------------------------------------------------------------
Class D (Inception** through 6/30/00) 38.16
================================================================================
* For the period December 1, 1999 to December 31, 1999, which reflects a
change in the fiscal year end of the Fund.
** Inception dates for Class A and D shares are January 5, 1998 and August 4,
1998, respectively.
+ Assumes reinvestment of all dividends and capital gain distributions.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 5
<PAGE>
--------------------------------------------------------------------------------
Historical Performance (unaudited)
--------------------------------------------------------------------------------
Growth of $10,000 Invested in Class A Shares of
the Smith Barney S&P 500 Index Fund vs.
Standard & Poor's 500 Index
--------------------------------------------------------------------------------
January 1998 -- June 2000
[LINE CHART]
Smith Barney Standard & Poor's
S&P 500 Index Fund 500 Index
1/5/98 10000 10000
5/98 11170 11189
11/98 11980 12026
5/99 13431 13541
11/99 14371 14538
12/31/99 15216 15393
6/30/2000 15120 15326
+ Hypothetical illustration of $10,000 invested in Class A shares at
inception on January 5, 1998, assuming reinvestment of dividends and
capital gains, if any, at net asset value through June 30, 2000. The
Standard & Poor's 500 Index ("S&P 500 Index") is composed of widely held
common stocks listed on the New York Stock Exchange, American Stock
Exchange and the over-the-counter market. Figures for the index include
reinvestment of dividends. The S&P 500 Index is unmanaged and is not
subject to the same management and trading expenses as a mutual fund. An
investor cannot invest directly in an index. The performance of the Fund's
Class D shares may be greater or less than the Class A shares' performance
indicated on this chart, depending on whether greater or lesser expenses
were incurred by the Fund.
All figures represent past performance and are not a guarantee of future
results. Investment returns and principal value will fluctuate, and
redemption value may be more or less than the original cost. No adjustment
has been made for shareholder tax liability on dividends or capital gains.
--------------------------------------------------------------------------------
6 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
COMMON STOCK -- 99.7%
Auto & Transportation -- 1.6%
4,517 AMR Corp.* $ 119,418
12,731 Burlington Northern Santa Fe Corp. 292,017
2,049 Cooper Tire & Rubber Co. 22,795
6,458 CSX Corp. 136,829
1,264 Cummins Engine Co., Inc. 34,444
4,570 Dana Corp. 96,827
3,624 Delta Air Lines, Inc. 183,238
2,151 Eaton Corp. 144,117
8,668 FedEx Corp.* 329,384
36,424 Ford Motor Co. 1,566,232
15,917 General Motors Corp. 924,181
5,289 Genuine Parts Co. 105,780
4,619 The Goodyear Tire & Rubber Co. 92,380
9,013 Harley-Davidson, Inc. 347,000
2,627 ITT Industries, Inc. 79,795
2,559 Johnson Controls Inc. 131,309
3,298 Kansas City Southern Industries, Inc. 292,491
1,891 Navistar International Corp. 58,739
11,416 Norfolk Southern Corp. 169,813
2,278 PACCAR Inc. 90,408
1,759 Ryder Systems, Inc. 33,311
1,709 Snap-On, Inc. 45,502
14,662 Southwest Airlines Co. 277,662
1,759 The Timken Co. 32,761
3,634 TRW, Inc. 157,625
7,489 Union Pacific Resources 164,758
1,952 US Airways Group, Inc.* 76,128
4,769 Visteon Corp.* 57,825
------------------------------------------------------------------------------
6,062,769
------------------------------------------------------------------------------
Consumer Discretionary -- 12.4%
1,670 Alberto Culver Co., Class B Shares 51,039
12,609 Albertsons, Inc. 419,249
1,999 American Greetings Corp., Class A Shares 37,981
3,920 AutoZone, Inc.* 86,240
7,068 Avon Products, Inc. 314,526
4,140 Bed Bath and Beyond, Inc.* 150,075
6,052 Best Buy Co., Inc.* 382,789
2,537 Brunswick Corp. 42,019
18,015 Carnival Corp. 351,292
21,367 Cendant Corp.* 299,138
6,018 Circuit City Stores-Circuit City Group 199,722
10,077 Clear Channel Communications Inc.* 755,775
7,009 Clorox Co. 314,091
17,134 Colgate Palmolive Co. 1,025,898
26,658 Comcast Corp., Class A Shares 1,079,649
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 7
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Consumer Discretionary -- 12.4% (continued)
3,347 Consolidated Stores Corp.* $ 40,164
13,330 Costco Cos., Inc. 439,890
11,590 CVS Corp. 463,600
3,757 Darden Restaurants, Inc. 61,051
2,230 Deluxe Corp. 52,544
2,802 Dillard's, Inc., Class A Shares 34,325
9,695 Dollar General Corp. 189,052
2,623 Dow Jones & Co., Inc. 192,135
4,758 Dun & Bradstreet Corp. 136,198
9,183 Eastman Kodak Co. 546,388
6,373 Federated Department Stores, Inc.* 215,089
7,938 Gannett Co. 474,792
25,344 The Gap, Inc. 792,000
31,045 The Gillette Co. 1,084,635
1,117 The Great Atlantic & Pacific Tea Co., Inc. 18,570
2,122 Harcourt General, Inc. 115,384
3,648 Harrah's Entertainment, Inc.* 76,380
5,185 Hasbro, Inc. 78,099
11,016 Hilton Hotels Corp. 103,275
68,774 Home Depot, Inc. 3,434,402
3,107 International Flavors & Fragrances, Inc. 93,792
8,933 The Interpublic Group Cos., Inc. 384,119
7,723 J.C. Penney Co., Inc. 142,393
16,552 Kimberly-Clark Corp. 949,671
14,042 Kmart Corp.* 95,661
2,338 Knight Ridder, Inc. 124,352
9,730 Kohl's Corp.* 541,231
24,754 Kroger Co.* 546,135
12,817 The Limited, Inc. 277,168
1,645 Liz Claiborne, Inc. 57,986
1,155 Longs Drug Stores Corp. 25,121
11,358 Lowe's Cos., Inc. 466,388
7,117 Marriott International Inc., Class A Shares 256,657
12,568 Mattel, Inc. 165,741
9,852 May Department Stores Co. 236,448
2,365 Maytag Corp. 87,209
39,684 McDonald's Corp. 1,307,092
5,782 McGraw Hill, Inc. 312,228
1,462 Meredith Corp. 49,343
1,195 National Service Industries, Inc. 23,303
5,043 The New York Times Co., Class A Shares 199,199
7,941 Newell Rubbermaid Inc. 204,481
8,175 Nike Inc., Class B Shares 325,467
3,990 Nordstrom, Inc. 96,259
9,700 Office Depot, Inc.* 60,625
5,299 Omnicom Group, Inc. 471,942
5,021 Pactiv Corp.* 39,540
See Notes to Financial Statements.
--------------------------------------------------------------------------------
8 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Consumer Discretionary -- 12.4% (continued)
1,377 Polaroid Corp. $ 24,872
38,871 The Procter & Gamble Co. 2,225,365
3,601 R.R. Donnelley & Sons Co. 81,248
1,733 Reebok International Ltd.* 27,620
7,921 Rite Aid Corp. 51,982
925 Russell Corp. 18,500
10,523 Sears Roebuck & Co. 343,313
545 Springs Industries, Inc. 17,542
14,432 Staples, Inc.* 221,892
5,445 Starbucks Corp.* 207,931
3,866 SUPERVALU, Inc. 73,696
13,527 Target Corp. 784,566
2,177 Tiffany & Co. 146,948
39,105 Time Warner, Inc. 2,971,980
1,731 Times Mirror Corp., Class A Shares 157,954
8,990 TJX Cos., Inc. 168,563
6,347 Toys "R" Us, Inc.* 92,428
9,140 Tribune Co. 319,900
4,350 Tricon Global Resturants, Inc.* 122,888
1,732 Tupperware Corp. 38,104
15,096 U.S. WEST, Inc. 1,294,482
16,987 Unilever NV 730,441
3,467 VF Corp. 82,558
45,355 Viacom, Inc., Class B Shares* 3,092,644
132,561 Wal-Mart Stores, Inc.+ 7,638,828
29,955 Walgreen Co. 964,177
61,783 Walt Disney Co. 2,397,953
3,324 Wendy's International, Inc. 59,209
2,171 Whirlpool Corp. 101,223
4,391 Winn-Dixie Stores Inc. 62,846
2,127 Young & Rubicam Inc. 121,638
------------------------------------------------------------------------------
46,240,298
------------------------------------------------------------------------------
Consumer Staples -- 4.2%
1,073 Adolph Coors Co., Class B Shares 64,916
13,421 Anheuser-Busch Co., Inc. 1,002,381
17,823 Archer-Daniels-Midland Co. 174,888
8,157 Bestfoods 564,872
2,031 Brown-Forman Corp., Class B Shares 109,166
12,598 Campbell Soup Co. 366,917
73,582 The Coca-Cola Co. 4,226,366
12,589 Coca-Cola Enterprises Inc. 205,358
14,618 ConAgra, Inc. 278,656
4,695 Fortune Brands, Inc. 108,278
8,652 General Mills, Inc. 330,939
10,479 H.J. Heinz Co. 458,456
4,069 Hershey Foods Corp. 197,346
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 9
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Consumer Staples -- 4.2% (continued)
12,122 Kellogg Co. $ 360,629
2,911 Loews Corp. 174,660
9,737 Nabisco Group Holdings Corp. 252,553
42,888 PepsiCo, Inc. 1,905,836
67,958 Phillip Morris Cos., Inc. 1,805,134
3,901 Quaker Oats Co. 293,063
9,197 Ralston-Ralston Purina Group 183,365
14,762 Safeway, Inc.* 666,135
25,856 Sara Lee Corp. 499,344
12,954 Seagram Co., Ltd. 751,332
9,902 SYSCO Corp. 417,122
4,870 UST, Inc. 71,528
3,379 Wm. Wrigley Jr. Co. 270,954
------------------------------------------------------------------------------
15,740,194
------------------------------------------------------------------------------
Finance -- 12.9%
7,932 AFLAC, Inc. 364,376
22,121 Allstate Corp. 492,192
39,723 American Express Co. 2,070,561
7,368 American General Corp. 449,448
45,852 American International Group, Inc. 5,387,610
11,619 AmSouth Bancorporation 182,999
7,640 Aon Corp. 237,317
21,711 Associates First Captial Corp.* 484,427
34,062 Bank One Corp. 904,772
49,263 Bank of America Corp. 2,118,309
21,969 The Bank of New York Co., Inc. 1,021,558
10,357 BB&T Corp. 247,273
3,315 Bear Stearns Cos. Inc. 137,987
5,821 Capital One Financial Corp. 259,762
40,454 The Charles Schwab & Corp. 1,360,266
6,205 Charter One Financial, Inc. 142,715
36,815 Chase Manhattan Corp. 1,695,791
5,179 Chubb Corp. 318,508
4,829 CIGNA Corp. 451,511
4,774 Cincinnati Financial Corp. 150,083
100,349 Citigroup, Inc. 6,046,027
4,630 Comerica, Inc. 207,771
9,739 Conseco, Inc. 94,955
4,535 Convergys Corp.* 235,253
3,418 Countrywide Credit Industries, Inc. 103,608
4,155 Equifax, Inc. 109,069
29,974 Fannie Mae 1,564,268
9,207 Fifth Third Bancorp 582,343
29,152 First Union Corp. 723,334
28,875 Firstar Corp. 608,180
26,795 FleetBoston Financial Corp. 911,030
7,216 Franklin Resources, Inc. 219,186
See Notes to Financial Statements.
--------------------------------------------------------------------------------
10 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Finance -- 12.9% (continued)
20,641 Freddie Mac $ 835,960
4,688 Golden West Financial Corp. 191,329
2,924 H&R Block, Inc. 94,664
6,387 Hartford Financial Services, Inc. 357,273
14,050 Household International, Inc. 583,953
6,553 Huntington Bancshares Inc. 103,619
4,839 J.P. Morgan & Co., Inc. 532,895
3,050 Jefferson Pilot Corp. 172,134
12,966 Keycorp 228,526
3,577 Lehman Brothers Holdings, Inc. 338,250
5,668 Lincoln National Corp. 204,756
8,003 Marsh & McLennan Cos., Inc. 835,813
2,914 MBIA, Inc. 140,418
23,847 MBNA Corp. 646,850
14,609 Mellon Financial Corp. 532,315
11,521 Merrill Lynch & Co., Inc. 1,324,915
3,135 MGIC Investment Corp. 142,643
33,663 Morgan Stanley Dean Witter & Co. 2,802,445
17,947 National City Corp. 306,221
6,626 Northern Trust Corp. 431,104
4,057 Old Kent Financial Corp. 108,527
4,299 PaineWebber Group, Inc. 195,605
11,045 Paychex, Inc. 463,890
2,524 Pinnacle West Capital Corp. 85,501
8,623 PNC Financial Services Group 404,203
2,186 The Progressive Corp. 161,764
4,237 Providian Financial Corp. 381,330
6,601 Regions Financial Corp. 131,195
3,804 SAFECO Corp. 75,605
4,669 SLM Holding Corp. 174,796
5,014 SouthTrust Corp. 113,442
6,265 St. Paul Cos. 213,793
4,792 State Street Corp. 508,252
5,166 Summit Bancorp 127,213
9,002 SunTrust Banks, Inc. 411,279
8,313 Synovus Financial Corp. 146,517
3,557 T. Rowe Price Associates 151,173
3,777 Torchmark Corp. 93,245
22,436 U.S. Bancorp 431,893
3,986 Union Planters Corp. 111,359
7,241 UnumProvident Corp. 145,273
6,006 Wachovia Corp. 325,826
16,280 Washington Mutual, Inc. 470,085
47,926 Wells Fargo & Co. 1,857,133
------------------------------------------------------------------------------
47,977,471
------------------------------------------------------------------------------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 11
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Health Care -- 11.8%
46,043 Abbott Laboratories $ 2,051,791
4,189 AETNA, Inc. 268,881
3,868 Allergan, Inc. 288,166
3,024 Alza Corp.* 178,794
38,784 American Home Products Corp. 2,278,560
30,511 Amgen, Inc.* 2,143,398
1,597 Bausch & Lomb, Inc. 123,568
8,606 Baxter International, Inc. 605,109
7,527 Becton Dickinson & Co. 215,931
4,411 Biogen, Inc.* 284,509
3,489 Biomet, Inc. 134,108
12,156 Boston Scientific Corp.* 266,672
58,657 Bristol-Myers Squibb & Co. 3,416,770
1,505 C.R. Bard, Inc. 72,428
8,166 Cardinal Health, Inc. 604,284
33,583 Eli Lilly & Co. 3,354,102
9,097 Guidant Corp. 450,302
16,530 HCA-The Healthcare Corp. 502,099
11,679 HealthSouth Corp.* 83,943
5,072 Humana Inc. 24,726
8,899 IMS Health, Inc. 160,182
41,375 Johnson & Johnson 4,215,078
2,012 Mallinckrodt, Inc. 87,396
3,211 Manor Care, Inc. 22,477
8,357 McKesson HBOC, Inc. 174,975
6,214 MedImmune, Inc.* 459,836
35,568 Medtronic, Inc. 1,771,731
68,399 Merck & Co., Inc. 5,241,073
6,180 PE Corp. - PE Biosystems Group 407,108
187,186 Pfizer, Inc. 8,984,928
37,767 Pharmacia Corp. 1,952,082
3,428 Quintiles Transnational Corp.* 48,421
43,512 Schering Plough Corp. 2,197,356
2,521 St. Jude Medical, Inc. 115,651
9,366 Tenet Healthcare Corp. 252,882
4,819 UnitedHealth Group Inc. 413,229
2,878 Watson Pharmaceuticals, Inc.* 154,693
1,839 WellPoint Health Networks, Inc.* 133,213
------------------------------------------------------------------------------
44,140,452
------------------------------------------------------------------------------
Integrated Oil -- 4.4%
2,674 Amerada Hess Corp. 165,119
2,070 Ashland, Inc. 72,579
19,393 Chevron Corp. 1,644,769
103,526 Exxon Mobil Corp. 8,126,791
2,808 Kerr-McGee Corp. 165,497
10,957 Occidental Petroleum Corp. 230,782
See Notes to Financial Statements.
--------------------------------------------------------------------------------
12 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Integrated Oil -- 4.4% (continued)
7,568 Phillips Petroleum Co. $ 383,603
63,762 Royal Dutch Petroleum Co. 3,925,348
2,572 Sunoco, Inc. 75,713
16,405 Texaco, Inc. 873,566
4,299 Tosco Corp. 121,715
7,191 Unocal Corp. 238,202
9,216 USX Marathon Group, Inc. 230,976
------------------------------------------------------------------------------
16,254,660
------------------------------------------------------------------------------
Materials & Processing -- 2.2%
6,812 Air Products and Chemicals, Inc. 209,895
6,483 Alcan Aluminium Ltd. 200,973
2,491 Allegheny Technologies, Inc. 44,838
1,121 Armstrong World Industries, Inc. 17,165
3,340 Avery Dennison Corp. 224,197
912 Ball Corp. 29,355
11,842 Barrick Gold Corp.* 215,376
1,546 Bemis, Inc. 51,984
4,028 Bethlehem Steel Corp.* 14,350
2,517 Black & Decker Corp. 98,950
1,714 Boise Cascade Corp. 44,350
18,602 Conoco Inc. 456,931
3,928 Crown Cork & Seal Co., Inc. 58,920
20,157 Dow Chemical Corp. 608,489
31,115 E.I. du Pont de Nemours & Co. 1,361,313
2,306 Eastman Chemical Co. 110,111
3,881 Ecolab, Inc. 151,601
3,726 Engelhard Corp. 63,575
874 FMC Corp.* 50,692
6,135 Fort James Corp. 141,872
4,785 Freeport-McMoRan Copper & Gold, Inc. 44,261
5,119 Georgia Pacific Corp. 134,374
1,602 Great Lakes Chemical Corp. 50,463
3,259 Hercules, Inc. 45,830
7,817 Homestake Mining Co. 53,742
5,510 Inco Ltd. 84,716
14,361 International Paper Co. 428,137
5,779 Leggett & Platt, Inc. 95,354
2,987 Louisiana Pacific Corp. 32,484
13,333 Masco Corp. 240,827
3,075 Mead Corp. 77,644
5,060 Newmont Mining Corp. 109,423
2,530 Nucor Corp. 83,964
1,495 Owens Corning 13,829
4,501 Owens-Illinois, Inc.* 52,605
2,328 Phelps Dodge Corp. 86,573
9,582 Placer Dome, Inc. 91,628
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 13
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Materials & Processing -- 2.2% (continued)
861 Potlatch Corp. $ 28,521
5,170 PPG Industries, Inc. 229,096
4,718 Praxair, Inc. 176,630
6,468 Rohm & Hass Co. 223,146
2,522 Sealed Air Corp.* 132,090
4,895 Sherwin-Williams Co. 103,713
2,480 Sigma Aldrich Corp. 72,540
2,538 The Stanley Works 60,278
1,543 Temple-Inland, Inc. 64,806
6,261 Transocean Sedco Forex Inc. 334,572
4,010 Union Carbide Corp. 198,495
2,557 USX-U.S. Steel Group, Inc. 47,464
3,015 Vulcan Materials Co. 128,703
1,977 W.R. Grace & Co.* 23,971
2,956 Westvaco Corp. 73,346
6,912 Weyerhaeuser Co. 297,216
3,286 Willamette Industries, Inc. 89,544
2,731 Worthington Industries, Inc. 28,676
------------------------------------------------------------------------------
8,193,598
------------------------------------------------------------------------------
Other Energy -- 0.9%
3,792 Anadarko Petroleum Corp. 186,993
3,382 Apache Corp. 198,904
9,863 Baker Hughes, Inc. 315,616
6,441 Burlington Resources, Inc. 246,368
13,184 Halliburton Co. 622,120
1,697 McDermott International, Inc. 14,955
2,734 Rowan Cos., Inc.* 83,045
16,938 Schlumberger Ltd. 1,263,998
7,346 Union Pacific Corp. 273,179
------------------------------------------------------------------------------
3,205,178
------------------------------------------------------------------------------
Producer Durables -- 8.1%
25,694 Alcoa Inc. 745,126
5,582 Allied Waste Industries, Inc.* 55,820
5,798 American Power Conversion Corp.* 236,631
3,143 The B.F. Goodrich Co. 107,058
26,955 Boeing Co. 1,127,056
692 Briggs & Stratton Corp. 23,701
10,381 Caterpillar Inc. 351,656
1,790 Centex Corp. 42,065
2,740 Cooper Industries, Inc. 89,221
8,198 Corning, Inc. 2,212,435
1,757 Crane Co. 42,717
4,184 Danaher Corp. 206,846
6,995 Deere & Co. 258,815
16,685 Delphi Automotive Systems Corp. 242,975
6,009 Dover Corp. 243,740
See Notes to Financial Statements.
--------------------------------------------------------------------------------
14 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Producer Durables -- 8.1% (continued)
12,664 Emerson Electric Co. $ 764,589
2,298 Fluor Corp. 72,674
5,976 General Dynamics Corp. 312,246
294,183 General Electric Co. 15,591,699
23,764 Honeywell, Inc. 800,550
8,982 Illinois Tool Works, Inc. 511,974
4,832 Ingersoll-Rand Co. 194,488
1,368 Kaufman & Broad Home Corp. 27,103
11,882 Lockheed Martin Corp. 294,822
1,389 Millipore Corp. 104,696
11,787 Minnesota Mining & Manufacturing Co. 972,428
2,066 Northrop Grumman Corp. 136,873
3,760 Pall Corp. 69,560
1,212 Pulte Corp. 26,210
10,051 Raytheon Co. 193,482
5,577 Rockwell International Corp. 175,676
4,300 Textron, Inc. 233,544
4,609 Thermo Electron Corp.* 97,077
1,692 Thomas & Betts Corp. 32,360
50,190 Tyco International Ltd. 2,377,751
14,017 United Technologies Corp. 825,251
2,794 W.W. Grainger, Inc. 86,090
18,512 Waste Management, Inc. 351,728
------------------------------------------------------------------------------
30,238,733
------------------------------------------------------------------------------
Technology -- 32.3%
10,416 3Com Corp.* 600,222
3,570 Adobe Systems, Inc. 464,100
4,556 Advanced Micro Devices, Inc.* 351,951
13,450 Agilent Technologies, Inc.* 991,937
5,923 Altera Corp.* 603,776
68,343 America Online, Inc.* 3,605,093
10,510 Analog Devices, Inc.* 798,760
2,414 Andrew Corp.* 81,020
9,686 Apple Computer, Inc.* 507,304
24,026 Applied Materials, Inc.* 2,177,356
1,769 Autodesk, Inc. 61,362
18,630 Automatic Data Processing Inc. 997,869
7,247 BMC Software, Inc.* 264,402
5,446 Cabletron Systems, Inc.* 137,511
4,321 Ceridian Corp.* 103,974
206,854 Cisco Systems, Inc.* 13,148,157
5,454 Citrix Systems, Inc.* 103,285
50,491 Compaq Computer Corp. 1,290,691
17,502 Computer Associates International, Inc.* 895,884
4,985 Computer Sciences Corp. 372,317
10,585 Compuware Corp.* 109,819
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 15
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Technology -- 32.3% (continued)
4,526 Comverse Technology, Inc.* $ 420,918
6,465 Conexant Systems, Inc.* 314,361
76,612 Dell Computer Corp.* 3,777,929
13,856 Electronic Data Systems Corp. 571,560
64,522 EMC Corp.* 4,964,161
12,266 First Data Corp. 608,700
9,574 Gateway, Inc.* 543,324
26,178 Global Crossing Ltd.* 688,809
29,750 Hewlett-Packard Co. 3,715,031
99,578 Intel Corp. 13,312,334
52,715 International Business Machines Corp. 5,775,587
5,521 KLA-Tencor Corp.* 323,323
3,854 Lexmark International Group 259,181
9,230 Linear Technology Corp. 590,143
9,110 LSI Logic Corp.* 493,079
96,840 Lucent Technologies, Inc. 5,737,770
8,431 Maxim Integrated Products, Inc.* 572,781
2,700 Mercury Interactive Corp.* 261,225
16,486 Micron Technology, Inc. 1,451,798
156,498 Microsoft Corp.* 12,519,840
5,809 Molex, Inc. 279,558
63,980 Motorola, Inc. 1,859,419
5,270 National Semiconductor Corp.* 299,073
2,852 NCR Corp.* 111,050
9,040 Network Appliance, Inc.* 727,720
88,065 Nortel Networks Corp. 6,010,436
9,935 Novell, Inc.* 91,899
3,880 Novellus Systems, Inc.* 219,463
84,392 Oracle Corp.* 7,094,203
8,220 Parametric Technology, Inc.* 90,420
3,367 Parker-Hannifin Corp. 115,320
8,202 PeopleSoft, Inc.* 137,384
1,458 PerkinElmer, Inc. 96,410
7,684 Pitney Bowes, Inc. 307,360
22,023 QUALCOMM, Inc.* 1,321,380
5,530 RadioShack Corp. 261,984
3,789 Sabre Holdings Corp. 107,987
4,399 Sanmina Corp.* 376,115
1,757 Sapient Corp.* 187,889
4,749 Scientific-Atlanta, Inc. 353,801
6,762 Seagate Technology, Inc.* 371,910
5,924 Siebel Systems, Inc.* 968,944
17,733 Solectron Corp.* 742,569
47,182 Sun Microsystems, Inc.* 4,290,613
1,450 Tektronix, Inc. 107,300
12,177 Tellabs, Inc.* 833,363
5,143 Teradyne, Inc.* 378,011
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
================================================================================
Technology -- 32.3% (continued)
48,675 Texas Instruments, Inc. $ 3,343,364
9,273 Unisys Corp.* 135,038
11,637 VERITAS Software Corp.* 1,315,163
19,741 Xerox Corp. 409,626
9,557 Xilinx, Inc.* 789,050
16,167 Yahoo! Inc.* 2,002,687
------------------------------------------------------------------------------
120,305,153
------------------------------------------------------------------------------
Utilities -- 8.9%
3,043 Adaptec, Inc.* 69,228
9,089 ADC Telecommunications, Inc.* 762,340
12,714 The AES Corp.* 580,076
9,371 ALLTEL Corp. 580,416
4,072 Ameren Corp. 137,430
9,609 American Electric Power, Inc. 284,667
111,538 AT&T Corp. 3,527,394
45,988 Bell Atlantic Corp. 2,336,765
55,974 BellSouth Corp. 2,385,892
4,799 CP&L, Inc. 153,268
4,165 CenturyTel, Inc. 119,744
4,742 Cinergy Corp. 120,625
3,291 CMS Energy Corp. 72,813
6,334 Coastal Corp. 385,582
2,412 Columbia Energy Group 158,287
6,297 Consolidated Edison, Inc. 186,549
4,409 Constellation Energy Group 143,568
7,079 Dominion Resources, Inc. 303,512
4,244 DTE Energy Co. 129,707
10,951 Duke Energy Corp. 617,363
835 Eastern Enterprises 52,605
9,844 Edison International 201,802
6,878 El Paso Energy Corp. 350,348
21,766 Enron Corp. 1,403,907
6,775 Entergy Corp. 184,195
6,815 FirstEnergy Corp. 159,301
2,943 Florida Progress Corp. 137,953
5,314 FPL Group, Inc. 263,043
3,640 GPU, Inc. 98,508
28,659 GTE Corp. 1,784,023
3,461 New Century Energies Inc. 103,830
22,575 Nextel Communications, Inc.* 1,381,308
5,235 Niagara Mohawk Holdings, Inc.* 72,949
1,350 NICOR, Inc. 44,044
4,611 Northern States Power Co. 93,085
810 ONEOK, Inc. 21,009
5,045 PECO Energy Co. 203,377
1,095 Peoples Energy Corp. 35,418
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 17
<PAGE>
--------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) June 30, 2000
--------------------------------------------------------------------------------
SHARES SECURITY VALUE
==============================================================================
Utilities -- 8.9% (continued)
11,485 PG&E Corp. $ 282,818
4,312 PPL Corp. 94,595
6,431 Public Service Enterprise Group, Inc. 222,673
8,755 Reliant Energy, Inc. 258,820
101,196 SBC Communications, Inc. 4,376,727
6,088 Sempra Energy 103,496
19,350 Southern Co. 451,097
26,045 Sprint Corp. (FON Group) 1,328,295
27,208 Sprint Corp. (PCS Group)* 1,618,876
7,805 TXU Corp. 230,248
5,309 Unicom Corp. 205,392
13,120 Williams Cos., Inc. 546,940
85,157 WorldCom, Inc.* 3,906,578
------------------------------------------------------------------------------
33,272,486
------------------------------------------------------------------------------
TOTAL COMMON STOCK
(Cost -- $337,564,214) 371,630,992
==============================================================================
FACE
AMOUNT SECURITY VALUE
==============================================================================
U.S. Treasury Bill -- 0.3%
$ 1,190,000 U.S. Treasury Bill, due 9/14/00
(Cost -- $1,176,030) 1,176,030
==============================================================================
TOTAL INVESTMENTS -- 100%
(Cost -- $338,740,244**) $372,807,022
==============================================================================
* Non-income producing security.
+ A portion of this security has been segregated by the custodian for
futures contracts commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Statement of Assets and Liabilities (unaudited) June 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost -- $338,740,244) $372,807,022
Receivable for securities sold 5,815,557
Receivable for Fund shares sold 2,239,742
Dividends and interest receivable 282,195
Receivable from broker - variation margin 12,625
----------------------------------------------------------------------------------
Total Assets 381,157,141
----------------------------------------------------------------------------------
LIABILITIES:
Payable to bank 5,443,008
Payable for securities purchased 297,473
Investment advisory fees payable 32,598
Administration fees payable 30,042
Distribution fees payable 27,168
Accrued expenses 94,342
----------------------------------------------------------------------------------
Total Liabilities 5,924,631
----------------------------------------------------------------------------------
Total Net Assets $375,232,510
==================================================================================
NET ASSETS:
Par value of shares of beneficial interest $ 25,216
Capital paid in excess of par value 336,721,508
Undistributed net investment income 1,138,289
Accumulated net realized gain
on security transactions and futures contracts 3,269,389
Net unrealized appreciation of investments and futures contracts 34,078,108
----------------------------------------------------------------------------------
Total Net Assets $375,232,510
==================================================================================
Shares Outstanding:
Class A 23,152,190
-------------------------------------------------------------------------------
Class D 2,064,005
-------------------------------------------------------------------------------
Net Asset Value:
Class A (and redemption price) $14.88
-------------------------------------------------------------------------------
Class D (and redemption price) $14.91
==================================================================================
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 19
<PAGE>
--------------------------------------------------------------------------------
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2000
INVESTMENT INCOME:
Dividends $ 1,813,918
Interest 242,934
-------------------------------------------------------------------------------
Total Investment Income 2,056,852
-------------------------------------------------------------------------------
EXPENSES:
Distribution fees (Note 2) 295,004
Investment advisory fees (Note 2) 244,561
Administration fees (Note 2) 161,285
Shareholder and system servicing fees 82,743
Registration fees 79,144
Custody 34,149
Shareholder communications 13,215
Audit and legal 12,800
Trustees' fees 7,027
Other 800
-------------------------------------------------------------------------------
Total Expenses 930,728
Less: Administration fee waiver (Note 2) (12,400)
-------------------------------------------------------------------------------
Net Expenses 918,328
-------------------------------------------------------------------------------
Net Investment Income 1,138,524
-------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS (NOTES 3 AND 6):
Realized Gain From:
Security transactions (excluding short-term securities) 1,302,206
Futures contracts 2,339,857
-------------------------------------------------------------------------------
Net Realized Gain 3,642,063
-------------------------------------------------------------------------------
Change in Net Unrealized Appreciation of Investments
and Futures Contracts:
Beginning of period 38,051,635
End of period 34,078,108
-------------------------------------------------------------------------------
Decrease in Net Unrealized Appreciation (3,973,527)
-------------------------------------------------------------------------------
Net Loss on Investments and Futures Contracts (331,464)
-------------------------------------------------------------------------------
Increase in Net Assets From Operations $ 807,060
===============================================================================
See Notes to Financial Statements.
--------------------------------------------------------------------------------
20 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
For the Six Months Ended June 30, 2000 (unaudited) and the Year Ended December
31, 1999(a)
<TABLE>
<CAPTION>
2000 1999
=================================================================================================
<S> <C> <C>
OPERATIONS:
Net investment income $ 1,138,524 $ 148,464
Net realized gain (loss) 3,642,063 (679)
Increase (decrease) in net unrealized appreciation (3,973,527) 14,495,829
-------------------------------------------------------------------------------------------------
Increase in Net Assets From Operations 807,060 14,643,614
-------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- (1,412,669)
Net realized gains (572,165) (6,236)
-------------------------------------------------------------------------------------------------
Decrease in Net Assets From Distributions to Shareholders (572,165) (1,418,905)
-------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 8):
Net proceeds from sale of shares 170,157,629 30,011,242
Net asset value of shares issued for reinvestment of dividends 555,711 1,372,121
Cost of shares reacquired (68,776,246) (9,402,340)
-------------------------------------------------------------------------------------------------
Increase in Net Assets From Fund Share Transactions 101,937,094 21,981,023
-------------------------------------------------------------------------------------------------
Increase in Net Assets 102,171,989 35,205,732
NET ASSETS:
Beginning of period 273,060,521 237,854,789
-------------------------------------------------------------------------------------------------
End of period* $ 375,232,510 $ 273,060,521
=================================================================================================
* Includes undistributed (overdistributed)
net investment income of: $ 1,138,289 $ (235)
=================================================================================================
</TABLE>
(a) For the period from December 1, 1999 to December 31, 1999 which reflects a
change in the fiscal year end of the Fund.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 21
<PAGE>
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited)
--------------------------------------------------------------------------------
1. Significant Accounting Policies
The Smith Barney S&P 500 Index Fund ("Fund") is a separate investment fund of
the Smith Barney Investment Trust ("Trust"). The Trust, a Massachusetts business
trust, is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Trust consists of this
Fund and six other funds: Smith Barney Intermediate Maturity California
Municipals Fund, Smith Barney Intermediate Maturity New York Municipals Fund,
Smith Barney Large Capitalization Growth Fund, Smith Barney Mid Cap Blend Fund,
Smith Barney U.S. 5000 Index Fund and Smith Barney EAFE Index Fund. The
financial statements and financial highlights for the other funds are presented
in separate shareholder reports.
The significant accounting policies consistently followed by the Fund are: (a)
security transactions are accounted for on trade date; (b) securities traded on
a national securities exchange are valued at the last sale price on that
exchange or, if there were no sales, at the current quoted bid price;
over-the-counter securities and listed securities are valued at the bid price at
the close of business on each day; U.S. government securities are valued at the
quoted bid price in the over-the-counter market; (c) securities for which market
quotations are not available will be valued in good faith at fair value by or
under the direction of the Board of Trustees; (d) securities maturing within 60
days are valued at cost plus accreted discount, or minus amortized premium,
which approximates value; (e) interest income is recorded on an accrual basis
and dividend income is recorded on the ex-dividend date; (f) the accounting
records of the Fund are maintained in U.S. dollars. All assets and liabilities
denominated in foreign currencies are translated into U.S. dollars based on the
rate of exchange of such currencies against U.S. dollars on the date of
valuation. Purchases and sales of securities, and income and expenses are
translated at the rate of exchange quoted on the respective date that such
transactions are recorded. Differences between income or expense amounts
recorded and collected or paid are adjusted when reported by the custodian bank;
(g) gains or losses on the sale of securities are calculated by using the
specific identification method; (h) dividends and distributions to shareholders
are recorded by the Fund on the ex-dividend date; (i) the character of income
and gains to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles. At
December 31, 1999 reclassifications were made to the Fund's capital accounts to
reflect permanent book/tax differences and income and gains available for
distributions under income tax regulations. Net investment income, net realized
gains and net assets were not affected by this adjustment; (j) the Fund intends
--------------------------------------------------------------------------------
22 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
to comply with the applicable provisions of the Internal Revenue Code of 1986,
as amended, pertaining to regulated investment companies and to make
distributions of taxable income sufficient to relieve it from substantially all
Federal income and excise taxes; and (k) estimates and assumptions are required
to be made regarding assets, liabilities and changes in net assets resulting
from operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
Travelers Investment Management Company, ("TIMCO"), a wholly owned subsidiary
of Citigroup Inc. ("Citigroup"), acts as investment advisor to the Fund. The
Fund pays TIMCO an advisory fee calculated at an annual rate of 0.15% of the
average daily net assets. This fee is calculated daily and paid monthly.
SSB Citi Fund Management LLC ("SSBC"), another subsidiary of Citigroup, acts as
administrator to the Fund. The Fund pays SSBC an administration fee calculated
at an annual rate of 0.10% of the average daily net assets. This fee is
calculated daily and paid monthly. For the six months ended June 30, 2000, SSBC
waived a portion of its administration fees of $12,400.
Citi Fiduciary Trust Company ("CFTC"), formerly known as Smith Barney Private
Trust Company, another subsidiary of Citigroup, acts as the Fund's transfer
agent and PFPC Global Fund Services ("PFPC") acts as the Fund's sub-transfer
agent. CFTC receives account fees and asset-based fees that vary according to
the account size and type of account. PFPC is responsible for shareholder
recordkeeping and financial processing for all shareholder accounts and is paid
by CFTC. For the six months ended June 30, 2000, the Fund paid transfer agent
fees of $71,214 to CFTC.
Effective June 5, 2000, Salomon Smith Barney Inc. ("SSB"), another subsidiary of
SSBH, became the Fund's distributor replacing CFBDS, Inc. In addition, SSB acts
as the primary broker for the Fund's portfolio agency transactions. Certain
other broker-dealers, continue to sell Fund shares to the public as members of
the selling group. For the six months ended June 30, 2000, there were no
brokerage commissions paid to SSB.
Pursuant to a Distribution Plan, the Fund pays SSB a service fee calculated at
an annual rate of 0.20% of the average daily net assets for Class A shares.
All officers and one Trustee of the Trust are employees of SSB.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 23
<PAGE>
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
3. Investments
During the six months ended June 30, 2000, the aggregate cost of purchases and
proceeds from sales of investments (including maturities, but excluding
short-term securities) were as follows:
================================================================================
Purchases $116,221,209
--------------------------------------------------------------------------------
Sales 8,594,283
================================================================================
At June 30, 2000, the aggregate gross unrealized appreciation and depreciation
of investments for Federal income tax purposes were substantially as follows:
================================================================================
Gross unrealized appreciation $ 61,312,892
Gross unrealized depreciation (27,246,114)
--------------------------------------------------------------------------------
Net unrealized appreciation $ 34,066,778
================================================================================
4. Repurchase Agreements
The Fund purchases (and its custodian takes possession of) U.S. government
securities from banks and securities dealers subject to agreements to resell the
securities to the sellers at a future date (generally, the next business day) at
an agreed-upon higher repurchase price. The Fund requires continual maintenance
of the market value of the collateral in amounts at least equal to the
repurchase price.
5. Option Contracts
Premiums paid when put or call options are purchased by the Fund represent
investments, which are marked-to-market daily. When a purchased option expires,
the Fund will realize a loss in the amount of the premium paid. When the Fund
enters into a closing sales transaction, the Fund will realize a gain or loss
depending on whether the proceeds from the closing sales transaction are greater
or less than the premium paid for the option. When the Fund exercises a put
option, they will realize a gain or loss from the sale of the underlying
security and the proceeds from such sale will be decreased by the premium
originally paid. When the Fund exercises a call option, the cost of the security
which the Fund purchases upon exercise will be increased by the premium
originally paid.
At June 30, 2000, the Fund held no purchased call or put options.
--------------------------------------------------------------------------------
24 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
When the Fund writes a call or put option, an amount equal to the premium
received by the Fund is recorded as a liability, the value of which is
marked-to-market daily. When a written option expires, the Fund realizes a gain
equal to the amount of the premium received. When the Fund enters into a closing
purchase transaction, the Fund realizes a gain (or loss if the cost of the
closing purchase transaction exceeds the premium received when the option was
sold) without regard to any unrealized gain or loss on the underlying security,
and the liability related to such option is eliminated. When a written call
option is exercised the cost of the security sold will be decreased by the
premium originally received. When a written put option is exercised, the amount
of the premium originally received will reduce the cost of the security which
the Fund purchases upon exercise. When written index options are exercised,
settlement is made in cash.
The risk associated with purchasing options is limited to the premium originally
paid. The Fund enters into options for hedging purposes. The risk in writing a
call option is that the Fund gives up the opportunity to participate in any
increase in the price of the underlying security beyond the exercise price. The
risk in writing a put option is that the Fund is exposed to the risk of loss if
the market price of the underlying security declines.
During the six months ended June 30, 2000, the Fund did not write any call or
put option contracts.
6. Futures Contracts
Initial margin deposits made upon entering into futures contracts are recognized
as assets. Securities equal to the initial margin amount are segregated by the
custodian in the name of the broker. Additional securities are also segregated
up to the current market value of the futures contracts. During the period the
futures contract is open, changes in the value of the contract are recognized as
unrealized gains or losses by "marking to market" on a daily basis to reflect
the market value of the contract at the end of each day's trading. Variation
margin payments are received or made and recognized as assets due from or
liabilities due to broker, depending upon whether unrealized gains or losses are
incurred. When the contract is closed, the Fund records a realized gain or loss
equal to the difference between the proceeds from (or cost of) the closing
transactions and the Fund's basis in the contract. The Fund enters into such
contracts to hedge a portion of its portfolio. The Fund bears the market risk
that arises from changes in the value of the financial instruments and
securities indices (futures contracts). At June 30, 2000, the Fund had the
following open futures contracts:
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 25
<PAGE>
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
# of Basis Market Unrealized
Contracts to Buy Contracts Expiration Value Value Gain
================================================================================
S&P 500 5 9/00 $1,823,795 $1,835,125 $11,330
================================================================================
7. Lending of Portfolio Securities
The Fund has an agreement with its custodian whereby the custodian may lend
securities owned by the Fund to brokers, dealers and other financial
organizations. Fees earned by the Fund on securities lending are recorded as
interest income. Loans of securities by the Fund are collateralized by cash,
U.S. government securities or high quality money market instruments that are
maintained at all times in an amount at least equal to the current market value
of the loaned securities, plus a margin depending on the type of securities
loaned. The custodian establishes and maintains the collateral in a segregated
account. The Fund maintains exposure for the risk of any losses in the
investment of amounts received as collateral.
At June 30, 2000, the Fund had no securities on loan.
8. Shares of Beneficial Interest
At June 30, 2000, the Trust had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. The Fund has the
ability to issue multiple classes of shares. Each share of a class represents an
identical interest and has the same rights, except that each class bears certain
direct expenses, including those specifically related to the distribution of its
shares.
At June 30, 2000, total paid-in capital amounted to the following for each
class:
Class A Class D
================================================================================
Total Paid-in Capital $307,746,949 $28,999,775
================================================================================
--------------------------------------------------------------------------------
26 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
--------------------------------------------------------------------------------
Transactions in shares of the Fund were as follows:
<TABLE>
<CAPTION>
Six Months Ended Period Ended
June 30, 2000 December 31, 1999*
-------------------------- --------------------------
Shares Amount Shares Amount
================================================================================================
<S> <C> <C> <C> <C>
Class A
Shares sold 9,645,787 $ 140,108,389 1,668,984 $ 24,427,204
Shares issued on reinvestment 35,166 496,542 81,950 1,220,245
Shares reacquired (3,357,295) (48,844,334) (636,484) (9,359,074)
------------------------------------------------------------------------------------------------
Net Increase 6,323,658 $ 91,760,597 1,114,450 $ 16,288,375
================================================================================================
Class D
Shares sold 2,028,367 $ 30,049,240 381,854 $ 5,584,038
Shares issued on reinvestment 4,182 59,169 10,193 151,876
Shares reacquired (1,342,570) (19,931,912) (1,964) (43,266)
------------------------------------------------------------------------------------------------
Net Increase 689,979 $ 10,176,497 390,083 $ 5,692,648
================================================================================================
</TABLE>
* For the period from December 1, 1999 to December 31, 1999, which reflects
a change in the fiscal year end of the Fund.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 27
<PAGE>
--------------------------------------------------------------------------------
Financial Highlights
--------------------------------------------------------------------------------
For a share of each class of beneficial interest outstanding throughout each
year ended December 31, except where noted:
<TABLE>
<CAPTION>
Class A Shares 2000(1)(2) 1999(2)(3) 1999(4) 1998(5)
===========================================================================================================
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 15.00 $ 14.24 $ 11.98 $ 10.00
-----------------------------------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income(6) 0.05 0.01 0.12 0.05
Net realized and unrealized gain (loss) (0.15) 0.83 2.27 1.93
-----------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations (0.10) 0.84 2.39 1.98
-----------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income -- (0.08) (0.06) --
Net realized gains (0.02) -- (0.07) --
-----------------------------------------------------------------------------------------------------------
Total Distributions (0.02) (0.08) (0.13) --
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.88 $ 15.00 $ 14.24 $ 11.98
-----------------------------------------------------------------------------------------------------------
Total Return (0.63)%++ 5.88%++ 19.96% 19.80%++
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Period (000s) $ 344,462 $ 252,435 $ 223,787 $ 55,187
-----------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(6)(7) 0.59%+ 0.60%+ 0.59% 0.59%+
Net investment income 0.68+ 0.67+ 0.83 1.05+
-----------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 3% 0% 6% 4%
===========================================================================================================
</TABLE>
(1) For the six months ended June 30, 2000 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period from December 1, 1999 to December 31, 1999, which reflects
a change in the fiscal year end of the Fund.
(4) For the year ended November 30, 1999.
(5) For the period from January 5, 1998 (inception date) to November 30, 1998.
(6) The administrator agreed to waive all or a portion of its fees for the six
months ended June 30, 2000, the period ended December 31, 1999, the year
ended November 30, 1999 and for the period ended November 30, 1998. In
addition, the administrator agreed to reimburse expenses of $15,109 and
$177,520 for the periods ended December 31, 1999 and November 30, 1998,
respectively. If these fees were not waived and expenses not reimbursed,
the per share effect on net investment income and the expense ratio would
have been as follows:
Per Share Decreases to Expense Ratios Without
Net Investment Income Waiver and/or Reimbursement
--------------------- ---------------------------
2000 $0.00* 0.59%+
1999(2) 0.00* 0.77+
1999 0.01 0.68
1998 0.04 1.42+
(7) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 0.59%.
* Amount represent less than $0.01.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
--------------------------------------------------------------------------------
28 2000 Semi-Annual Report to Shareholders
<PAGE>
--------------------------------------------------------------------------------
Financial Highlights (continued)
--------------------------------------------------------------------------------
For a share of each class of beneficial interest outstanding throughout each
year ended December 31, except where noted:
<TABLE>
<CAPTION>
Class D Shares 2000(1)(2) 1999(2)(3) 1999(4) 1998(5)
=======================================================================================================
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 15.01 $ 14.28 $ 11.99 $ 11.00
-------------------------------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income(6) 0.07 0.01 0.17 0.03
Net realized and unrealized gain (loss) (0.15) 0.83 2.26 0.96
-------------------------------------------------------------------------------------------------------
Total Income (Loss) From Operations (0.08) 0.84 2.43 0.99
-------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income -- (0.11) (0.07) --
Net realized gains (0.02) -- (0.07) --
-------------------------------------------------------------------------------------------------------
Total Distributions (0.02) (0.11) (0.14) --
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.91 $ 15.01 $ 14.28 $ 11.99
-------------------------------------------------------------------------------------------------------
Total Return (0.50)%++ 5.91%++ 20.29% 9.00%++
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period (000s) $ 30,771 $ 20,626 $ 14,068 $ 1,810
-------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(6)(7) 0.35%+ 0.36%+ 0.34% 0.36%+
Net investment income 0.92+ 0.90+ 1.08 1.33+
-------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 3% 0% 6% 4%
=======================================================================================================
</TABLE>
(1) For the six months ended June 30, 2000 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period from December 1, 1999 to December 31, 1999, which reflects
a change in the fiscal year end of the Fund.
(4) For the year ended November 30, 1999.
(5) For the period from August 4, 1998 (inception date) to November 30, 1998.
(6) The administrator agreed to waive all or a portion of its fees for the six
months ended June 30, 2000, the period ended December 31, 1999, the year
ended November 30, 1999 and for the period ended November 30, 1998. In
addition, the administrator agreed to reimburse expenses of $15,109 and
$177,520 for the periods ended December 31, 1999 and November 30, 1998,
respectively. If these fees were not waived and expenses not reimbursed,
the per share effect on net investment income and the expense ratio would
have been as follows:
Per Share Decreases to Expense Ratios Without
Net Investment Income Waiver and/or Reimbursement
--------------------- ---------------------------
2000 $0.00* 0.36%+
1999(2) 0.00* 0.53+
1999 0.01 0.43
1998 0.02 1.18+
(7) As a result of voluntary expense limitations, the ratio of expenses to
average net assets will not exceed 0.40%.
* Amount represents less than $0.01.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
--------------------------------------------------------------------------------
Smith Barney S&P 500 Index Fund 29
<PAGE>
SALOMON SMITH BARNEY
---------------------------
A member of citigroup[LOGO]
Trustees
Herbert Barg
Alfred J. Bianchetti
Martin Brody
Dwight B. Crane
Burt N. Dorsett
Elliot S. Jaffe
Stephen E. Kaufman
Joseph J. McCann
Heath B. McLendon, Chairman
Cornelius C. Rose, Jr.
James J. Crisona, Emeritus
Officers
Heath B. McLendon
Chief Executive Officer
Lewis E. Daidone
Senior Vice President
and Treasurer
Sandip A. Bhagat, CFA
Vice President and
Investment Officer
John Lau
Investment Officer
Paul A. Brook
Controller
Christina T. Sydor
Secretary
Investment Advisor
Travelers Investment
Management Co.
Administrator
SSB Citi Fund Management LLC
Distributor
Salomon Smith Barney Inc.
Custodian
PFPC Trust Company
Transfer Agent
Citi Fiduciary Trust Company
125 Broad Street, 11th Floor
New York, New York 10004
Sub-Transfer Agent
PFPC Global Fund Services
P.O. Box 9699
Providence, Rhode Island 02940-9699
This report is submitted for the general information of the shareholders of
Smith Barney S&P 500 Index Fund, but it may also be used as sales literature
when proceeded or accompanied by the current Prospectus, which gives details
about charges, expenses, investment objectives and operating policies of the
Portfolio. If used as sales material after September 30, 2000, this report must
be accompanied by performance information for the most recently completed
calendar quarter.
Salomon Smith Barney is a service mark of Salomon Smith Barney Inc.
Smith Barney
S&P 500 Index Fund
388 Greenwich Street, MF-2
New York, New York 10013
www.smithbarney.com/mutualfunds
FD01525 8/00
