<PAGE>
[PASTE-UP LOGO]
INSTITUTIONAL AND INDEX FUNDS
----------------------------------
SEMI-ANNUAL REPORT
----------------------------------
ASSET ALLOCATION FUND
BOND INDEX FUND
GROWTH STOCK FUND
MONEY MARKET FUND
S&P 500 STOCK FUND
SHORT-INTERMEDIATE TERM FUND
U.S. TREASURY ALLOCATION FUND
AUGUST 31, 1995
ADVISED BY WELLS FARGO BANK
SPONSORED AND DISTRIBUTED BY STEPHENS INC.,
MEMBER NYSE/SIPC
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders........................................... 1
Investment Adviser Discussions................................... 3
STAGECOACH INC.
Portfolio of Investments Money Market Fund..................... 20
Statement of Assets and Liabilities............................ 22
Statement of Operations........................................ 24
Statements of Changes in Net Assets............................ 26
Financial Highlights........................................... 31
Notes to the Financial Statements.............................. 37
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES INVESTMENT TRUST
PORTFOLIO OF INVESTMENTS
Asset Allocation Master Series................................. 45
Bond Index Master Series....................................... 62
Growth Stock Master Series..................................... 68
S&P 500 Index Master Series.................................... 77
Short-Intermediate Term Master Series.......................... 93
U.S. Treasury Allocation Master Series......................... 95
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES INVESTMENT TRUST
Statement of Assets and Liabilities............................ 97
Statement of Operations........................................ 99
Statements of Changes in Net Assets............................ 101
Master Investment Portfolio Notes to the Financial
Statements................................................... 107
Managed Series Investment Trust Notes to the Financial
Statements................................................... 113
</TABLE>
<PAGE>
TO OUR SHAREHOLDERS
The six-month period ending August 31, 1995 was an exciting time to be an
investor. This period also provided long-term investors a valuable lesson on the
unpredictability of short-term market behavior.
In the United States equity market, the Standard & Poor's 500 Composite
Stock Price Index ("S&P 500 Index") return was 16.81% for this six-month period
- -- a handsome half-year return by almost any standard. This followed a
lackluster 1994, in which the S&P 500 Index gained only 1.31% for the entire
year. The lesson: long-term investors who stay invested will generally benefit
from surprising market rallies when they occur.
In the United States bond market, the Lehman Brothers Aggregate Bond Index
returned 7.79% during the same period, another excellent performance. This
followed an unusually depressed 1994, in which the index lost 2.92%. The lesson:
long-term investors who stay invested can let the good times smooth out the bad
times.
A financial climate like this is not extraordinary. In fact, markets often
behave in surprising and unpredictable ways. That's why we believe you should
not focus just on short-term results for particular periods. Instead, you should
view your investments and the long-term performance potential of your
investments in the context of your personal financial circumstances.
To optimize your investment results, you should evaluate your own personal
situation. Do you have any liquidity requirements? What are your financial
goals? What will your need for money be in the future? When will you need it?
Analyze your objectives. Maintain a diversified portfolio and develop a
long-term perspective consistent with your goals. And, invest in what you
understand.
The following pages will help you understand your Stagecoach Institutional
Funds. They contain fund performance and evaluation, strategy details, portfolio
holdings, comments from the investment advisers, and other important
information.
The Stagecoach Inc. Funds look forward to continuing to help you pursue your
financial goals.
STAGECOACH FAMILY OF FUNDS AUGUST 1995
1
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
2
<PAGE>
ASSET ALLOCATION FUND
<TABLE>
<S> <C> <C>
AVERAGE ANNUAL
PERFORMANCE AS OF 8/31/951 TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
One-Year 17.81%
Life of Fund (7/2/93-8/31/95) 10.01%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
Past performance is not predictive of future results. Cumulative total return,
as set forth below, for the six months ended August 31, 1995, represents the
cumulative increase in value of an investment over such period assuming
reinvestment of dividends and capital gain distributions, if any, at net asset
value. The investment return and principal value of shares of the Fund will
fluctuate with market conditions so that shares of the Fund, when redeemed, may
be worth more or less than their original cost.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1995?
For the six-month period beginning March 1, 1995 and ending August 31, 1995, the
cumulative total return on shares of the Stagecoach Asset Allocation Fund2 was
13.22%.
HOW HAS THE FUND PERFORMED RELATIVE TO THE MARKET?
The Fund performed in line with expectations and had a higher total return than
the Lipper Balanced Fund Index3 which returned 12.06% over the same period. The
domestic bond market as measured by the Lehman Brothers Aggregate Bond Index3
returned 7.79% while the domestic equity market as measured by the S&P 500
Index3 returned 16.81%.
1 The adviser and/or other service providers for the Fund voluntarily waived a
portion of their fees or reimbursed the Fund for certain expenses from
February 1, 1994 through May 25, 1994, which increased the return to
shareholders.
2 This Fund is organized as a "master-feeder" fund. Instead of investing
directly in individual portfolio securities, the "feeder" fund, which is
offered to the public, holds interests in a Master Series that, in turn,
invests in individual securities. References to the Fund are to the feeder
fund or the Master Series, as the context requires. The Master Series is
advised by Wells Fargo Bank. The Master Series' sub-adviser is Wells Fargo
Nikko Investment Advisors, an affiliate of Wells Fargo Bank.
3 The S&P 500 Index is an unmanaged index of stocks composed of 500 industrial,
financial, utility and transportation companies. "S&P-Registered Trademark-"
and "S&P 500-Registered Trademark-" are trademarks of The McGraw-Hill
Companies, Inc. The Lehman Brothers Aggregate Bond Index includes
substantially all significant issues in the U.S. bond market, including
government and corporate bonds, mortgage-backed securities, and asset-backed
securities. Investors should note that the Fund is a professionally managed
mutual fund while the S&P 500 Index and the Lehman Brothers Aggregate Bond
Index are unmanaged, do not incur expenses, and are not available directly for
investment. If operating expenses such as the Fund's had been applied to these
indexes, their performance would have been lower. The Lipper Balanced Fund
Index is an equally weighted index of the 30 largest balanced funds tracked by
Lipper Analytical Services; performance is net of all fees and expenses except
for sales charges.
3
<PAGE>
ASSET ALLOCATION FUND (CONTINUED)
HOW HAVE FALLING INTEREST RATES AFFECTED THE FUND'S PERFORMANCE?
Falling interest rates and continued strong domestic corporate earnings have
been the major factors behind the strong rally in U.S. stock and bond markets
during the first eight months of 1995. Last year was dominated by one of the
worst bear markets in U.S. bond market history. The yield on 30-year Treasury
bonds increased from 6.49% (as of 12/31/93) to 7.92% by year-end (as of
12/31/94). This was mainly due to the Federal Reserve hiking the discount rate
six times during 1994 from 3.0% to 5.5% in order to reduce inflationary
pressure. Fortunately, 1995 has seen the reversal of this interest rate cycle
and the bond market has recovered most of last year's fall. As of August 31,
1995 the yield on 30-year Treasury bonds had dropped to 6.72%.
WHAT IS THE ASSET MIX OF THE FUND?
As of August 31, 1995, the asset mix of the Fund was approximately 50%
stocks/20% bonds/30% money market instruments. The recent history of allocation
changes is as follows:
<TABLE>
<S> <C> <C> <C>
MONEY MARKET
DATE OF RE-ALLOCATION: STOCKS BONDS INSTRUMENTS
- -------------------------------------------------------------------------------------------------------
March 21, 1995 50% 40% 10%
May 25, 1995 50% 20% 30%
</TABLE>
WHAT IS THE ADVANTAGE OF USING A MODEL RATHER THAN TRADITIONAL ACTIVE MANAGEMENT
METHODS?
It is our belief that expected return and expected risk are best measured and
managed using quantitative techniques. Models are used in order to measure
expected return and expected risk and implement investment programs designed to
maximize expected return for given levels of expected risk. Models have an
important advantage over traditional judgmental methods in that they provide a
disciplined approach to measuring the risks and rewards of the securities
markets and do not make investment decisions based on emotion. Given last year's
disappointing investment returns, fear could have caused some investors to sell
at the bottom of the market and lock in the loss from 1994. The model basically
recommended that investors stay the course, and this has been rewarded during
the past six months.
4
<PAGE>
ASSET ALLOCATION FUND (CONTINUED)
THE PROPOSED SALE OF WELLS FARGO NIKKO INVESTMENT ADVISORS, THE SUB-ADVISER TO
THE MASTER SERIES IN WHICH THE FUND INVESTS SUBSTANTIALLY ALL ITS ASSETS, TO
BARCLAYS BANK PLC WAS RECENTLY ANNOUNCED. HOW WILL THE SALE AFFECT THE FUND AND
THE MASTER SERIES?
The sale of Wells Fargo Nikko Investment Advisors ("WFNIA") to Barclays Bank PLC
is not anticipated to have any effect on the investment objective or overall
investment strategy of the Fund or Master Series. Barclays has informed the
Trust that the same team of investment professionals will continue to manage
each Master Series using the same model. As in the past, the model is likely to
continue to be refined.
Barclays Bank PLC is one of the oldest and largest financial institutions in the
world, with approximately $264 billion in total assets as of June 30, 1995.
Barclays has indicated that it intends to reorganize WFNIA into an organization
which will be named "BZW Global Investors." Shareholders will be mailed more
detailed information as it becomes available.
5
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
6
<PAGE>
BOND INDEX FUND
<TABLE>
<S> <C> <C>
AVERAGE ANNUAL
PERFORMANCE AS OF 8/31/951 TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
One-Year 11.10%
Life of Fund (7/2/93-8/31/95) 4.81%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
Past performance is not predictive of future results. Cumulative total return,
as set forth below, for the six months ended August 31, 1995, represents the
cumulative increase in value of an investment over such period assuming
reinvestment of dividends and capital gain distributions, if any, at net asset
value. The investment return and principal value of shares of the Fund will
fluctuate with market conditions so that shares of the Fund, when redeemed, may
be worth more or less than their original cost.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1995?
For the six-month period beginning March 1, 1995 and ending August 31, 1995, the
cumulative total return on shares of the Stagecoach Bond Index Fund2 was 8.01%.
HOW HAS THE FUND PERFORMED RELATIVE TO THE MARKET?
The Fund performed in line with expectations and, prior to deductions for fund
expenses and transaction costs, performed comparably to its benchmark, the
Lehman Brothers Government/Corporate Bond Index3, which returned 8.16% over the
same period. The 0.15% difference is due primarily to fund expenses and
transaction costs.
1 Since February 1, 1994, the adviser and/or other service providers for the
Fund have voluntarily waived a portion of their fees or reimbursed the Fund
for certain expenses, which increased the return to shareholders. There is no
assurance that these waivers and/or reimbursements will continue in the
future.
2 This Fund is organized as a "master-feeder" fund. Instead of investing
directly in individual portfolio securities, the "feeder" fund, which is
offered to the public, holds interests in a Master Series that, in turn,
invests in individual securities. References to the Fund are to the feeder
fund or the Master Series, as the context requires. The Master Series is
advised by Wells Fargo Bank. The Series' sub-adviser is Wells Fargo Nikko
Investment Advisors, an affiliate of Wells Fargo Bank.
3 The Lehman Brothers Government/Corporate Bond Index includes all
publicly-issued intermediate-term and long- term U.S. Treasury, agency and
government-guaranteed corporate debt, and corporate debt, that is fixed-rate,
non-convertible, investment grade, dollar-denominated, domestic and SEC
registered, with a par amount outstanding of at least $100 million. Investors
should note that the Fund is a professionally managed mutual fund while the
Lehman Brothers Government/Corporate Bond Index is unmanaged, does not incur
expenses, and is not available directly for investment. If operating expenses
such as the Fund's had been applied to the Lehman Brothers
Government/Corporate Bond Index, its performance would have been lower.
7
<PAGE>
BOND INDEX FUND (CONTINUED)
HOW HAVE FALLING INTEREST RATES AFFECTED THE FUND'S PERFORMANCE?
Falling interest rates have been the major factor behind the strong rally in the
U.S. bond market during 1995. Last year was dominated by one of the worst bear
markets in the U.S. bond market history with the yield on 30-year Treasury bonds
increasing from 6.49% (December 31, 1993) to 7.92% by year-end (December 31,
1994). This was mainly due to the Federal Reserve hiking the discount rate six
times during 1994 from 3.0% to 5.5% in order to reduce inflationary pressure.
Fortunately, 1995 has seen the reversal of this interest rate trend and the bond
market has recovered most of last year's fall. By August 31, 1995 the yield on
the 30-year Treasury had dropped to 6.72%.
THE PROPOSED SALE OF WELLS FARGO NIKKO INVESTMENT ADVISORS, THE SUB-ADVISER TO
THE MASTER SERIES IN WHICH THE FUND INVESTS SUBSTANTIALLY ALL ITS ASSETS, TO
BARCLAYS BANK PLC WAS RECENTLY ANNOUNCED. HOW WILL THE SALE AFFECT THE FUND AND
THE MASTER SERIES?
The sale of Wells Fargo Nikko Investment Advisors ("WFNIA") to Barclays Bank PLC
is not anticipated to have any effect on the investment objective or overall
investment strategy of the Fund or Master Series.
Barclays Bank PLC is one of the oldest and largest financial institutions in the
world, with approximately $264 billion in total assets as of June 30, 1995.
Barclays has indicated that it intends to reorganize WFNIA into an organization
which will be named "BZW Global Investors." Shareholders will be mailed more
detailed information as it becomes available.
8
<PAGE>
GROWTH STOCK FUND
<TABLE>
<S> <C> <C>
AVERAGE ANNUAL
PERFORMANCE AS OF 8/31/951 TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
One-Year 40.60%
Life of Fund (7/2/93-8/31/95) 24.39%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
Past performance is not predictive of future results. Cumulative total return,
as set forth below, for the six months ended August 31, 1995, represents the
cumulative increase in value of an investment over such period assuming
reinvestment of dividends and capital gain distributions, if any, at net asset
value. The investment return and principal value of shares of the Fund will
fluctuate with market conditions so that shares of the Fund, when redeemed, may
be worth more or less than their original cost.
WHAT WAS THE FUND'S PERFORMANCE FOR THE SIX-MONTH PERIOD ENDED AUGUST 31, 1995?
For the six-month period ended August 31, 1995, the cumulative total return on
shares of the Growth Stock Fund2 was 32.96%. The S&P 500 Index3 returned 16.81%
for the same period.
WHAT FACTORS CONTRIBUTED TO THE FUND'S STRONG PERFORMANCE?
The Fund's strong performance is attributed mainly to the Fund's exposure to
technology stocks, with an approximate 40% weighting in this sector. Technology
stocks have led the market to record highs during the year. Business demand has
remained unusually brisk for technology goods, resulting in much stronger
technology sector performance than investors had expected at the start of the
year. This trend has had a significant impact on our technology holdings. The
top
1 Since February 1, 1994, the adviser and/or other service providers for the
Fund have voluntarily waived a portion of their fees or reimbursed the Fund
for certain expenses, which increased the return to shareholders. There is no
assurance that these waivers and/or reimbursements will continue in the
future.
2 This Fund is organized as a "master-feeder" fund. Instead of investing
directly in individual portfolio securities, the "feeder" fund, which is
offered to the public, holds interests in a Master Series that, in turn,
invests in individual securities. References to the Fund are to the feeder
fund or the Master Series, as the context requires. The Master Series is
advised by Wells Fargo Bank.
3 The S&P 500 Index is an unmanaged index of stocks composed of 500 industrial,
financial, utility and transportation companies. "S&P-Registered Trademark-"
and "S&P 500-Registered Trademark-" are trademarks of The McGraw-Hill
Companies, Inc. Investors should note that the Fund is a professionally
managed mutual fund while the S&P 500 Index is unmanaged, does not incur
expenses, and is not available directly for investment. If operating expenses
such as the Fund's had been applied to the Index, its performance would have
been lower.
9
<PAGE>
GROWTH STOCK FUND (CONTINUED)
performers for the first half of the fiscal year were Komag (+146.5 %), Intel
warrants (+253.6%), Nokia (+87.1%), LCI International Inc. (+81.3%), and Cisco
Systems (+94.4%).
WHAT OTHER FACTORS AFFECTED THE FUND'S PERFORMANCE?
The dynamic economic environment for growth stocks in general also contributed
to the Fund's results. Lower interest rates, strong corporate profits and
exceptional supply/demand conditions were the key catalysts for the market's
performance. In May, when economic indicators began to show the economy was
slowing, the smaller secondary issues held by the Fund began to outperform the
S&P 500 Index, contributing to the Fund's strong performance in the past few
months.
WHAT STRATEGY WILL YOU FOLLOW FOR THE REST OF THE YEAR?
The Fund will continue to seek stocks with superior expected earnings growth
that are selling at reasonable valuation levels. Many of these stocks are still
found in the technology sector. We expect demand for computer related products
to be strong through the Christmas selling season, especially for higher-end
computers and software to run the new Windows-Registered Trademark- 95 operating
system. As a result, the Fund does not plan to reduce its exposure significantly
to the technology sector.
The Fund expects to invest more in the healthcare sector over the next few
months. This area, especially the medical device, biotechnology and information
management groups, should benefit from strong internal growth, continued
consolidation, and possible easing of uncertainties regarding governmental
healthcare reimbursement policies once the 1996 congressional budget is
finalized.
10
<PAGE>
MONEY MARKET FUND
<TABLE>
<S> <C> <C> <C> <C>
PERFORMANCE AS OF 8/31/951,2
- -------------------------------------------------------------------------------------------------
(August 31, 1995) 7-Day Current Yield 5.39%
</TABLE>
WHAT WAS THE FUND'S YIELD AS OF AUGUST 31, 1995?
For the seven days ended August 31, 1995, the Fund's seven-day current yield was
5.39%. For the six-month period ending August 31, 1995, the Fund's adviser and
administrator voluntarily waived portions of their fees or assumed
responsibility for certain other expenses, which has reduced operating expenses
for shareholders. Without these reductions, the Fund's yields would have been
lower. Since the Federal Reserve increased the federal funds rate target from
5.50% to 6.00% in February, inflation has cooled. Since then, short-term yields
have decreased as economic growth has slowed to a sluggish pace. The Federal
Reserve seemingly began an easing cycle by lowering the target federal funds
rate by 0.25% to 5.75% in early July. Between March 1, 1995 and August 31, 1995,
the yield on 3-month Treasury bills has fallen from 5.91% to 5.44%.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
As short-term rates decreased during the past period, the Fund began to modestly
increase the average maturity of its portfolio investments. As of August 31,
1995, the average maturity was 35 days; at times, it was slightly longer.
WHAT IS THE FUND'S POSITION REGARDING THE USE OF EXOTIC DERIVATIVES?
Since its inception, the Fund has emphasized safety of principal and high credit
quality. The Fund may not purchase certain types of floating-rate securities or
other "exotic" derivative securities. The Fund's goal is to achieve principal
stability while providing competitive money market yields.
1 The Money Market Fund's date of inception was July 2, 1993. The Money Market
Fund seeks to maintain a constant net asset value of $1.00; however, there can
be no assurance that the Fund will meet this objective. Yields will vary with
changes in market conditions. Shares of the Fund are neither insured nor
guaranteed by the U.S. Government or any other government agency, nor by Wells
Fargo Bank. Past performance is no guarantee of future results.
2 Since February 1, 1994, the adviser and/or other service providers for the
Fund have voluntarily waived a portion of their fees or reimbursed the Fund
for certain expenses, which increased the yield and return to shareholders.
There is no assurance that these waivers and/or reimbursements will continue
in the future.
11
<PAGE>
MONEY MARKET FUND (CONTINUED)
WHAT IS THE ASSET MIX OF THE MONEY MARKET FUND?
As of August 31, 1995, 52% of the Fund's portfolio was invested in commercial
paper of large, relatively well-known companies such as Ford and Household
Finance. The bulk of the paper matures within 30 to 45 days. Every corporate
security currently held in the Fund's portfolio is rated in the highest rating
category or deemed by Wells Fargo Bank, as investment adviser, to be of
comparable credit quality.
WHAT WAS THE IMPACT OF THE ORANGE COUNTY BANKRUPTCY ON THE FUND?
The Orange County bankruptcy has had little impact on the Fund so far. The Fund
holds one taxable Orange County General Obligation Note that makes up less than
2% of the Fund's portfolio. Orange County is currently making scheduled payments
on this note. Because Orange County filed for bankruptcy and because this note
is not guaranteed or insured by a third party, the note's credit rating and
market price have declined. However, this decline has not materially affected
the Fund's share value.3
WHAT IS THE SHORT-TERM ECONOMIC OUTLOOK?
Short-term interest rates should continue to decrease as we expect the Federal
Reserve to lower short-term rates again in the not-so-distant future. Inflation
appears to pose little or no threat to the credit markets at this time.
Therefore, we expect to continue to increase the Fund's average days to
maturity.
3 Subsequent to August 31, 1995, the Fund's Orange County holding has been sold.
See Note 5 of The Stagecoach Inc. Notes to The Financial Statements.
12
<PAGE>
S&P 500 STOCK FUND
<TABLE>
<S> <C> <C>
AVERAGE ANNUAL
PERFORMANCE AS OF 8/31/951 TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
One-Year 21.25%
Life of Fund (7/2/93-8/31/95) 13.82%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
Past performance is not predictive of future results. Cumulative total return,
as set forth below, for the six months ended August 31, 1995, represents the
cumulative increase in value of an investment over such period assuming
reinvestment of dividends and capital gain distributions, if any, at net asset
value. The investment return and principal value of shares of the Fund will
fluctuate with market conditions so that shares of the Fund, when redeemed, may
be worth more or less than their original cost.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1995?
For the six-month period beginning March 1, 1995 and ending August 31, 1995, the
cumulative total return on shares of the Stagecoach S&P 500 Stock Fund2 was
16.70%.
HOW HAS THE FUND PERFORMED RELATIVE TO THE MARKET?
The Fund performed in line with expectations and, prior to deductions for fund
expenses and transaction costs, performed comparably to its benchmark, the S&P
500 Index3 which returned 16.81% over the same period. The 0.11% difference is
due primarily to fund expenses and transaction costs.
1 Since February 1, 1994, the adviser and/or other service providers for the
Fund have voluntarily waived a portion of their fees or reimbursed the Fund
for certain expenses, which increased the return to shareholders. There is no
assurance that these waivers and/or reimbursements will continue in the
future.
2 This Fund is organized as a "master-feeder" fund. Instead of investing
directly in individual portfolio securities, the "feeder" fund, which is
offered to the public, holds interests in a Master Series that, in turn,
invests in individual securities. References to the Fund are to the feeder
fund or the Master Series, as the context requires. The Master Series is
advised by Wells Fargo Bank. The Series' sub-adviser is Wells Fargo Nikko
Investment Advisors, an affiliate of Wells Fargo Bank.
3 The S&P 500 Index is an unmanaged index of stocks composed of 500 industrial,
financial, utility and transportation companies. "S&P-Registered Trademark-"
and "S&P 500-Registered Trademark-" are trademarks of The McGraw-Hill
Companies, Inc. and have been licensed for use by Wells Fargo. The Fund is not
sponsored, endorsed, sold or promoted by Standard & Poor's and Standard &
Poor's makes no representation or warranty, express or implied, regarding the
advisability of investing in the Fund. Investors should note that the Fund is
a professionally managed mutual fund while the S&P 500 Index is unmanaged,
does not incur expenses, and is not available directly for investment. If
operating expenses such as the Fund's had been applied to the Index, its
performance would have been lower.
13
<PAGE>
S&P 500 STOCK FUND (CONTINUED)
HOW HAVE FALLING INTEREST RATES AFFECTED THE FUND'S PERFORMANCE?
Falling interest rates and continued strong domestic corporate earnings have
been the major factors behind the strong rally in U.S. stock and bond markets
during 1995. Last year was dominated by one of the worst bear markets in the
U.S. bond market history with the yield on 30-year Treasury bonds increasing
from 6.49% (December 31, 1993) to 7.92% by year-end (December 31, 1994). This
was mainly due to the Federal Reserve hiking the discount rate six times during
1994 from 3% to 5.5% in order to reduce inflationary pressure. Fortunately, 1995
has seen the reversal of this interest rate cycle and the bond market has
recovered most of last year's fall. By August 31, 1995 the yield on 30-year
Treasury bonds had dropped to 6.72%.
THE PROPOSED SALE OF WELLS FARGO NIKKO INVESTMENT ADVISORS, THE SUB-ADVISER TO
THE MASTER SERIES IN WHICH THE FUND INVESTS SUBSTANTIALLY ALL ITS ASSETS, TO
BARCLAYS BANK PLC WAS RECENTLY ANNOUNCED. HOW WILL THE SALE AFFECT THE FUND AND
THE MASTER SERIES?
The sale of Wells Fargo Nikko Investment Advisors ("WFNIA") to Barclays Bank PLC
is not anticipated to have any effect on the investment objective or overall
investment strategy of the Fund or Master Series.
Barclays Bank PLC is one of the oldest and largest financial institutions in the
world, with approximately $264 billion in total assets as of June 30, 1995.
Barclays has indicated that it intends to reorganize WFNIA into an organization
which will be named "BZW Global Investors." Shareholders will be mailed more
detailed information as it becomes available.
14
<PAGE>
SHORT-INTERMEDIATE TERM FUND
<TABLE>
<S> <C> <C>
AVERAGE ANNUAL
PERFORMANCE AS OF 8/31/951 TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
One-Year 8.67%
Life of Fund (7/2/93-8/31/95) 4.00%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
Past performance is not predictive of future results. Cumulative total return,
as set forth below, for the six months ended August 31, 1995, represents the
cumulative increase in value of an investment over such period assuming
reinvestment of dividends and capital gain distributions, if any, at net asset
value. The investment return and principal value of shares of the Fund will
fluctuate with market conditions so that shares of the Fund, when redeemed, may
be worth more or less than their original cost.
WHAT WAS THE FUND'S PERFORMANCE FOR THE SIX-MONTH PERIOD ENDED AUGUST 31, 1995?
The cumulative total return on shares of the Short-Intermediate Term Fund2 was
6.39%. The Fund achieved its objective of outperforming, before fees and
expenses, the Lehman Brothers Intermediate Government/Corporate Bond Index3
which returned 6.57% for the six-month period. The Fund's performance was
achieved by investing in a mix of government, corporate, and mortgage-backed
securities which maintained a duration (a technical term describing the
securities' price sensitivity in response to changes in interest rates) that has
been similar to that of the benchmark.
1 Since February 1, 1994, the adviser and/or other service providers for the
Fund have voluntarily waived a portion of their fees or reimbursed the Fund
for certain expenses, which increased the return to shareholders. There is no
assurance that these waivers and/or reimbursements will continue in the
future.
2 This Fund is organized as a "master-feeder" fund. Instead of investing
directly in individual portfolio securities, the "feeder" fund, which is
offered to the public, holds interests in a Master Series that, in turn,
invests in individual securities. References to the Fund are to the feeder
fund or the Master Series, as the context requires. The Master Series is
advised by Wells Fargo Bank.
3 The Lehman Brothers Intermediate Government/Corporate Bond Index includes all
publicly-issued U.S. Treasury, agency and government-guaranteed corporate
debt, and corporate debt, with a remaining maturity between 1 and 9.99 years
that is fixed-rate, non-convertible, investment grade, dollar-denominated,
domestic, and registered with the Securities Exchange Commission, with a par
amount outstanding of at least $100 million. Investors should note that the
Fund is a professionally managed mutual fund while the Lehman Brothers
Intermediate Government/Corporate Bond Index is unmanaged, does not incur
expenses, and is not available directly for investment. If operating expenses
such as the Fund's had been applied to the Lehman Brothers Intermediate
Government/Corporate Bond Index, its performance would have been lower.
15
<PAGE>
SHORT-INTERMEDIATE TERM FUND (CONTINUED)
HOW DID ECONOMIC TRENDS AFFECT THE FUND'S PERFORMANCE?
Economic growth slowed in the second quarter of 1995, and has since shown signs
of gradually leveling off. Gross domestic product (GDP) growth for 1995 is
expected to be approximately 2.5%. The news on inflation has been positive and
it is currently running below 3% on an annualized basis. The overall result has
been a gradual trend towards lower interest rates. Between March 1st and August
31st, 1995, 2-year Treasury note yields fell by 100 basis points (a basis point
is 1/100 of a percentage point) and 10-year Treasury note yields declined by 95
basis points to yield 5.80% and 6.25% respectively. These falling interest rates
led to higher bond prices and helped the Fund's performance by increasing the
value of bonds held in the Fund's portfolio.
WHAT IS YOUR NEAR-TERM OUTLOOK FOR INTEREST RATES?
Our near-term outlook is for interest rates to decline modestly from current
levels. Specifically, we look for the federal funds rate (the rate banks charge
each other on interbank loans of excess reserves) to decline 50 basis points to
5.25% by year end, and long-term bonds to trade in a range of 6.00% to 6.75%.
With modest economic growth and benign inflation we believe there is little risk
of interest rates trending sharply higher.
HOW WILL DECLINING RATES AFFECT THE FUND'S INVESTMENT STRATEGY?
It is expected that the Fund will continue to maintain a duration which is
approximately 10% longer than that of the Lehman Brothers Intermediate
Government/Corporate Index. As we expect short-term rates to decline more than
long-term rates, our focus will be on intermediate-term securities which have
tended to provide high returns in periods when the yield curve was steepening.
In addition, we anticipate continuing to hold core position in corporate
securities as credit quality is expected to remain stable in this slow-growth,
low-inflation environment.
16
<PAGE>
U.S. TREASURY ALLOCATION FUND
<TABLE>
<S> <C> <C>
AVERAGE ANNUAL
PERFORMANCE AS OF 8/31/951 TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
One-Year 9.18%
Life of Fund (7/2/93-8/31/95) 4.25%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
Past performance is not predictive of future results. Cumulative total return,
as set forth below, for the six months ended August 31, 1995, represents the
cumulative increase in value of an investment over such period assuming
reinvestment of dividends and capital gain distributions, if any, at net asset
value. The investment return and principal value of shares of the Fund will
fluctuate with market conditions so that shares of the Fund, when redeemed, may
be worth more or less than their original cost.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1995?
For the six-month period beginning March 1, 1995 and ending August 31, 1995, the
cumulative total return on shares of the Stagecoach U.S. Treasury Allocation
Fund2 was 6.71%.
HOW HAVE FALLING INTEREST RATES AFFECTED THE FUND'S PERFORMANCE?
Falling interest rates and continued strong domestic corporate earnings have
been the major factors behind the strong rally in U.S. bond markets during the
first eight months of 1995. Last year was dominated by one of the worst bear
markets in U.S. bond market history. The yield on 30-year Treasury bonds
increased from 6.49% (as of 12/31/93) to 7.92% by year-end (as of 12/31/94).
This was mainly due to the Federal Reserve hiking the discount rate six times
during 1994 from 3.0% to 5.5% in order to reduce inflationary pressure.
Fortunately, 1995 has seen the reversal of this interest rate cycle and the bond
market has recovered most of last year's fall. As of August 31, 1995 the yield
on the 30-year Treasury bonds had dropped to 6.72%.
1 The adviser and/or other service providers for the Fund voluntarily waived a
portion of their fees or reimbursed the Fund for certain expenses from
February 1, 1994 through May 25, 1994, which increased the return to
shareholders.
2 This Fund is organized as a "master-feeder" fund. Instead of investing
directly in individual portfolio securities, the "feeder" fund, which is
offered to the public, holds interests in a Master Series that, in turn,
invests in individual securities. References to the Fund are to the feeder
fund or the Master Series, as the context requires. The Master Series is
advised by Wells Fargo Bank. The Series' sub-adviser is Wells Fargo Nikko
Investment Advisors, an affiliate of Wells Fargo Bank.
17
<PAGE>
U.S. TREASURY ALLOCATION FUND (CONTINUED)
WHAT IS THE ASSET MIX OF THE FUND?
As of August 31, 1995, the asset mix of the Fund was approximately 20% long-term
bonds/20% intermediate-term notes/60% bills3. The recent history of allocation
changes is as follows:
<TABLE>
<S> <C> <C> <C>
TREASURY
DATE OF RE-ALLOCATION: BONDS NOTES BILLS
- ------------------------------------------------------------------------------------------------------
March 1, 1995 0% 80% 20%
March 6, 1995 0% 100% 0%
March 14, 1995 0% 80% 20%
May 8, 1995 20% 20% 60%
August 4, 1995 30% 0% 70%
August 15, 1995 20% 20% 60%
August 21, 1995 10% 40% 50%
August 29, 1995 20% 20% 60%
</TABLE>
WHAT IS THE ADVANTAGE OF USING A MODEL RATHER THAN TRADITIONAL ACTIVE MANAGEMENT
METHODS?
It is our belief that expected return and expected risk are best measured and
managed using quantitative techniques. Models are used in order to measure
expected return and expected risk and implement investment programs designed to
maximize expected return for given levels of expected risk. Models also have the
important advantage over traditional judgmental methods in that they provide a
disciplined approach to measuring the risks and rewards of the securities
markets do not make investment decisions based on emotion.
THE PROPOSED SALE OF WELLS FARGO NIKKO INVESTMENT ADVISORS, THE SUB-ADVISER TO
THE MASTER SERIES IN WHICH THE FUND INVESTS SUBSTANTIALLY ALL ITS ASSETS, TO
BARCLAYS BANK PLC WAS RECENTLY ANNOUNCED. HOW WILL THE SALE AFFECT THE FUND AND
THE MASTER SERIES?
The sale of Wells Fargo Nikko Investment Advisors ("WFNIA") to Barclays Bank PLC
is not anticipated to have any effect on the investment objective or overall
investment strategy of the Fund or Master Series. Barclays has informed the
Trust
3 Any differences between these percentages and the percentages in the Portfolio
of Investments are due to unsettled trades.
18
<PAGE>
U.S. TREASURY ALLOCATION FUND (CONTINUED)
that the same team of investment professionals will continue to manage each
Master Series using the same model. As in the past, the model is likely to
continue to be refined.
Barclays Bank PLC is one of the oldest and largest financial institutions in the
world, with approximately $264 billion in total assets as of June 30, 1995.
Barclays has indicated that it intends to reorganize WFNIA into an organization
which will be named "BZW Global Investors." Shareholders will be mailed more
detailed information as it becomes available.
19
<PAGE>
MONEY MARKET FUND -- AUGUST 31, 1995 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
COMMERCIAL PAPER - 52.79%
$ 7,000,000 Abbey National North America 5.86% 09/15/95 $ 6,984,048
7,500,000 ABN Amro North American Finance Corp Inc 5.73 10/13/95 7,450,563
5,000,000 American Express Credit Corp 5.70 12/20/95 4,912,917
5,000,000 American General Finance Corp 5.79 10/17/95 4,963,008
5,000,000 Asset Securitization Cooperative Corp++ 5.66 10/19/95 4,962,267
5,000,000 Bank of Nova Scotia 5.68 09/11/95 4,992,111
4,500,000 Beta Finance Corp++ 5.68 11/30/95 4,436,100
5,000,000 Commerzbank U.S. Finance Inc 5.75 09/15/95 4,988,819
6,000,000 Daimler-Benz North America Corp 5.90 11/13/95 5,928,217
5,000,000 Den Danske Corp Inc 5.65 11/06/95 4,948,208
5,000,000 Ford Motor Credit Corp 5.82 09/08/95 4,994,342
5,000,000 Greenwich Funding Corp 5.67 10/24/95 4,958,263
4,500,000 Hanson Finance PLC 5.67 10/30/95 4,458,184
5,000,000 Household Finance Corp 5.79 10/11/95 4,967,833
5,000,000 Societe Generale 5.72 10/26/95 4,956,306
2,000,000 WCP Funding Inc 5.67 10/27/95 1,982,360
------------
TOTAL COMMERCIAL PAPER $ 80,883,546
CORPORATE & U.S. GOVERNMENT AGENCY DISCOUNT NOTES - 12.57%
$ 5,000,000 CIT Group Holdings Inc 5.82% 09/07/95 $ 4,995,150
7,300,000 Federal Home Loan Mortgage Corp 5.68 09/20/95 7,278,116
7,000,000 Federal National Mortgage Assoc 5.67 09/12/95 6,987,871
------------
TOTAL CORPORATE & U.S. GOVERNMENT AGENCY DISCOUNT NOTES $ 19,261,137
</TABLE>
20
<PAGE>
MONEY MARKET FUND -- AUGUST 31, 1995 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
VARIABLE AND FLOATING RATE NOTES - 31.44%
$ 5,000,000 Boatmen's Bancshares Inc 5.79% 09/20/95 $ 4,999,865
5,155,000 Chemical Banking Corp 6.14 08/19/96 5,165,431
5,000,000 Comerica Inc 5.70 08/12/96 4,995,250
5,000,000 First Bank N.A. 5.84 01/17/96 4,999,631
2,000,000 Orange County CA Taxable Note(FF) 0.00 07/10/96 1,999,072
5,000,000 PNC Bank Corp 5.83 07/29/96 4,998,541
7,500,000 Student Loan Marketing Assoc 5.58 10/12/95 7,500,000
5,000,000 Sweden (Kingdom of) 5.63 10/08/95 4,999,513
1,510,000 U.S. West Financial 6.26 09/05/95 1,510,025
7,000,000 Wachovia Corp 5.94 09/13/95 7,000,000
------------
TOTAL VARIABLE AND FLOATING RATE NOTES $ 48,167,328
REPURCHASE AGREEMENTS - 3.56%
$ 5,453,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.80 09/03/95 $ 5,453,000
TOTAL INVESTMENTS IN SECURITIES
(Cost $153,765,011)* 100.36% $153,765,011
(Note 1)
Other Assets and Liabilities, Net (0.36) (552,759)
------ ------------
TOTAL NET ASSETS 100.00% $153,212,252
------ ------------
------ ------------
- -------------------------------------------------------------------------------------------------------
</TABLE>
++ THESE SECURITIES ARE EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE
SECURITIES ACT OF 1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS
EXEMPT FROM REGISTRATION TO QUALIFIED INSTITUTIONAL BUYERS. THESE
SECURITIES WERE DEEMED LIQUID BY THE INVESTMENT ADVISER IN ACCORDANCE WITH
POLICIES APPROVED BY THE FUND'S BOARD OF DIRECTORS.
(FF) SEE NOTE 5 TO THE FINANCIAL STATEMENTS.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
21
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
AUGUST 31, 1995
<TABLE>
<CAPTION>
ASSET BOND GROWTH
ALLOCATION INDEX STOCK
FUND FUND FUND
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In corresponding Master
Series, at market value
(Note 1) $342,256,574 $28,519,909 $144,608,250
Cash 0 0 0
Receivables:
Dividends and interest 1,280,805 165,672 33,450
Due from Administrator
(Note 2) 0 49,276 56,064
Prepaid Expenses 0 0 0
TOTAL ASSETS 343,537,379 28,734,857 144,697,764
LIABILITIES
PAYABLES:
Distribution to
shareholders 1,165,528 162,598 0
Due to sponsor and
distributor (Note 2) 57,415 2,277 11,690
Due to WFB (Note 2) 172,240 6,478 45,330
Other 0 43,634 21,564
TOTAL LIABILITIES 1,395,183 214,987 78,584
TOTAL NET ASSETS
$342,142,196 $28,519,870 $144,619,180
NET ASSETS CONSIST OF:
Paid-in Capital $311,094,027 $28,960,215 $103,663,945
Undistributed net
investment income 14,719 0 (74,077)
Undistributed net realized
gain (loss) on
investments (3,172,995) (487,814) 14,781,864
Net unrealized
appreciation on
investments 34,206,445 47,469 26,247,448
TOTAL NET ASSETS $342,142,196 $28,519,870 $144,619,180
COMPUTATION OF NET ASSET
VALUE AND OFFERING PRICE
PER SHARE
Net Assets $342,142,196 $28,519,870 $144,619,180
Shares outstanding 31,046,972 2,970,159 9,350,678
Net asset value and offering
price per share $11.02 $9.60 $15.47
- ----------------------------------------------------------------------------------
</TABLE>
* THE MONEY MARKET FUND DOES NOT HAVE A CORRESPONDING MASTER SERIES. THE COST
OF SECURITIES HELD AT AUGUST 31, 1995, IS THE SAME AS THE MARKET VALUE.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
22
<PAGE>
<TABLE>
<CAPTION>
SHORT- U.S.
MONEY S&P INTERMEDIATE TREASURY
MARKET 500 STOCK TERM ALLOCATION
FUND* FUND FUND FUND
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In corresponding Master
Series, at market value
(Note 1) $153,765,011 $662,835,081 $12,142,894 $62,832,721
Cash 140 0 0 0
Receivables:
Dividends and interest 371,606 2,809,700 72,058 310,018
Due from Administrator
(Note 2) 12,851 204,542 37,028 0
Prepaid Expenses 0 0 74 0
TOTAL ASSETS 154,149,608 665,849,323 12,252,054 63,142,739
LIABILITIES
PAYABLES:
Distribution to
shareholders 693,778 0 70,216 288,849
Due to sponsor and
distributor (Note 2) 12,850 52,369 1,026 10,606
Due to WFB (Note 2) 182,947 162,856 1,952 31,818
Other 47,781 69,023 28,989 0
TOTAL LIABILITIES 937,356 284,248 102,183 331,273
TOTAL NET ASSETS
$153,212,252 $665,565,075 $12,149,871 $62,811,466
NET ASSETS CONSIST OF:
Paid-in Capital $153,223,672 $560,093,545 $12,208,859 $67,368,827
Undistributed net
investment income 0 2,656,701 0 0
Undistributed net realized
gain (loss) on
investments (11,420) 5,719,345 (366,570) (4,906,811)
Net unrealized
appreciation on
investments 0 97,095,484 307,582 349,450
TOTAL NET ASSETS $153,212,252 $665,565,075 $12,149,871 $62,811,466
COMPUTATION OF NET ASSET
VALUE AND OFFERING PRICE
PER SHARE
Net Assets $153,212,252 $665,565,075 $12,149,871 $62,811,466
Shares outstanding 153,223,076 53,333,408 1,294,060 6,747,422
Net asset value and offering
price per share $1.00 $12.48 $9.39 $9.31
- ----------------------------------------------------------------------------------------------------
</TABLE>
* THE MONEY MARKET FUND DOES NOT HAVE A CORRESPONDING MASTER SERIES. THE COST
OF SECURITIES HELD AT AUGUST 31, 1995, IS THE SAME AS THE MARKET VALUE.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
23
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED AUGUST 31, 1995
<TABLE>
<CAPTION>
ASSET BOND GROWTH
ALLOCATION INDEX STOCK
FUND FUND FUND
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
NET INVESTMENT INCOME
ALLOCATED FROM MASTER
SERIES
Dividends $ 2,031,277 $ 0 $ 166,342
Interest 5,641,153 794,203 314,028
Expenses (565,631) (11,361) (354,600)
NET INVESTMENT INCOME
ALLOCATED FROM MASTER
SERIES 7,106,799 782,842 125,770
EXPENSES (NOTE 2)
Administration fees 161,830 5,518 29,492
Custody fees 0 0 0
Advisory fees 0 0 0
Transfer agency fees 161,830 3,311 17,695
Shareholder servicing fees 323,663 7,725 58,985
Legal and audit 0 10,839 9,780
Registration fees 0 9,748 21,627
Directors' fees 0 3,277 3,277
Shareholder reports 0 20,751 18,858
Other 0 2,318 3,175
TOTAL EXPENSES 647,323 63,487 162,889
Less:
Waived fees and reimbursed
expenses 0 (49,275) (56,063)
Net expenses 647,323 14,212 106,826
NET INVESTMENT INCOME 6,459,476 768,630 18,944
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER
SERIES
Net realized gain (loss)
on sale of investments (1,616,615) (155,450) 12,646,128
Net change in unrealized
appreciation of
investments 34,589,311 894,122 20,874,101
NET GAIN ON INVESTMENTS 32,972,696 738,672 33,520,229
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $39,432,172 $1,507,302 $33,539,173
- ----------------------------------------------------------------------------------
</TABLE>
* THE MONEY MARKET FUND DOES NOT HAVE A CORRESPONDING MASTER SERIES. ALL
INTEREST IS DERIVED FROM SECURITIES HELD BY THE FUND.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
24
<PAGE>
<TABLE>
<CAPTION>
SHORT- U.S.
MONEY S&P INTERMEDIATE TREASURY
MARKET 500 STOCK TERM ALLOCATION
FUND* FUND FUND FUND
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
ALLOCATED FROM MASTER
SERIES
Dividends $ 0 $ 6,632,753 $ 0 $ 0
Interest 4,625,069 1,266,725 482,096 2,017,320
Expenses 0 (137,502) (28,385) (90,918)
NET INVESTMENT INCOME
ALLOCATED FROM MASTER
SERIES 4,625,069 7,761,976 453,711 1,926,402
EXPENSES (NOTE 2)
Administration fees 38,041 137,904 3,162 30,369
Custody fees 38,041 0 0 0
Advisory fees 253,637 0 0 0
Transfer agency fees 38,041 82,743 1,898 30,369
Shareholder servicing fees 0 193,066 6,324 60,739
Legal and audit 0 55,650 9,881 0
Registration fees 0 81,616 3,959 0
Directors' fees 0 3,277 3,277 0
Shareholder reports 0 17,686 18,121 0
Other 0 34,008 1,754 0
TOTAL EXPENSES 367,760 605,950 48,376 121,477
Less:
Waived fees and reimbursed
expenses (25,386) (204,542) (36,995) 0
Net expenses 342,374 401,408 11,381 121,477
NET INVESTMENT INCOME 4,282,695 7,360,568 442,330 1,804,925
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER
SERIES
Net realized gain (loss)
on sale of investments 525 6,118,456 13,758 1,225,869
Net change in unrealized
appreciation of
investments 0 68,452,716 300,522 795,032
NET GAIN ON INVESTMENTS 525 74,571,172 314,280 2,020,901
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $4,283,220 $81,931,740 $756,610 $3,825,826
- ----------------------------------------------------------------------------------------------------
</TABLE>
* THE MONEY MARKET FUND DOES NOT HAVE A CORRESPONDING MASTER SERIES. ALL
INTEREST IS DERIVED FROM SECURITIES HELD BY THE FUND.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
25
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
----------------------------------
(UNAUDITED) FOR THE
FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995*
<S> <C> <C>
- ----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 6,459,476 $ 11,202,230
Net realized gain (loss)
on sale of investments (1,616,615) 1,672,885
Net change in unrealized
appreciation
(depreciation) of
investments 34,589,311 (2,125,246)
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS 39,432,172 10,749,869
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment income (6,459,476) (11,202,230)
From net realized gain on
sales of investments 0 (3,444,708)
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 60,758,576 143,045,844
Net asset value of shares
issued in reinvestment
of dividends and
distributions 6,477,504 14,136,175
Cost of shares redeemed (51,763,016) (76,728,484)
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL
SHARE TRANSACTIONS 15,473,064 80,453,535
INCREASE (DECREASE) IN NET
ASSETS 48,445,760 76,556,466
NET ASSETS:
Beginning net assets 293,696,436 217,139,970
ENDING NET ASSETS $342,142,196 $293,696,436
SHARES ISSUED AND REDEEMED:
Shares sold 5,760,004 14,750,825
Shares issued in
reinvestment of
dividends and
distributions 620,982 1,469,673
Shares redeemed (4,918,867) (7,938,475)
NET INCREASE (DECREASE) IN
SHARES OUTSTANDING 1,462,119 8,282,023
- ----------------------------------------------------------------
</TABLE>
* SEE NOTE 4.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
26
<PAGE>
<TABLE>
<CAPTION>
BOND INDEX FUND GROWTH STOCK FUND
---------------------------------- ----------------------------------
(UNAUDITED) FOR THE (UNAUDITED) FOR THE
FOR THE YEAR ENDED FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28, SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995* AUGUST 31, 1995 1995*
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 768,630 $ 1,135,769 $ 18,944 $ (9,573)
Net realized gain (loss)
on sale of investments (155,450) (333,833) 12,646,128 2,009,745
Net change in unrealized
appreciation
(depreciation) of
investments 894,122 (460,942) 20,874,101 2,123,031
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS 1,507,302 340,994 33,539,173 4,123,203
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment income (768,630) (1,135,769) (46,399) 0
From net realized gain on
sales of investments 0 0 0 (588,577)
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 15,236,775 10,448,187 42,215,441 85,963,624
Net asset value of shares
issued in reinvestment
of dividends and
distributions 708,626 1,103,959 46,389 588,598
Cost of shares redeemed (6,757,693) (7,062,640) (28,060,161) (38,605,130)
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL
SHARE TRANSACTIONS 9,187,708 4,489,506 14,201,669 47,947,092
INCREASE (DECREASE) IN NET
ASSETS 9,926,380 3,694,731 47,694,443 51,481,718
NET ASSETS:
Beginning net assets 18,593,490 14,898,759 96,924,737 45,443,019
ENDING NET ASSETS $28,519,870 $18,593,490 $144,619,180 $96,924,737
SHARES ISSUED AND REDEEMED:
Shares sold 1,580,031 1,134,314 3,086,522 7,877,261
Shares issued in
reinvestment of
dividends and
distributions 75,221 120,035 3,831 52,460
Shares redeemed (705,182) (759,992) (2,069,313) (3,544,614)
NET INCREASE (DECREASE) IN
SHARES OUTSTANDING 950,070 494,357 1,021,040 4,385,107
- ----------------------------------------------------------------------------------------------------
</TABLE>
* SEE NOTE 4.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
27
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MONEY MARKET FUND
----------------------------------
(UNAUDITED) FOR THE
FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995
<S> <C> <C>
- ----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 4,282,695 $ 5,207,399
Net realized gain (loss)
on sale of investments 525 (11,946)
Net change in unrealized
appreciation
(depreciation) of
investments 0 0
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS 4,283,220 5,195,453
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment income (4,282,695) (5,207,399)
From net realized gain on
sales of investments 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 79,589,501 111,097,839
Net asset value of shares
issued in reinvestment
of dividends and
distributions 4,110,129 4,680,322
Cost of shares redeemed (77,756,463) (50,146,714)
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL
SHARE TRANSACTIONS 5,943,167 65,631,447
INCREASE (DECREASE) IN NET
ASSETS 5,943,692 65,619,501
NET ASSETS:
Beginning net assets 147,268,560 81,649,059
ENDING NET ASSETS $153,212,252 $147,268,560
SHARES ISSUED AND REDEEMED:
Shares sold 79,589,501 111,097,845
Shares issued in
reinvestment of
dividends and
distributions 4,110,124 4,680,322
Shares redeemed (77,756,463) (50,146,714)
NET INCREASE (DECREASE) IN
SHARES OUTSTANDING 5,943,162 65,631,453
- ----------------------------------------------------------------
</TABLE>
* SEE NOTE 4.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
28
<PAGE>
<TABLE>
<CAPTION>
SHORT-
S&P 500 STOCK FUND INTERMEDIATE TERM FUND
---------------------------------- ----------------------------------
(UNAUDITED) FOR THE (UNAUDITED) FOR THE
FOR THE YEAR ENDED FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28, SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995* AUGUST 31, 1995 1995*
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 7,360,568 $ 9,014,318 $ 442,330 $ 523,752
Net realized gain (loss)
on sale of investments 6,118,456 2,385,953 13,758 (329,022)
Net change in unrealized
appreciation
(depreciation) of
investments 68,452,716 24,560,466 300,522 131,359
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS 81,931,740 35,960,737 756,610 326,089
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment income (6,590,905) (7,631,754) (442,330) (523,752)
From net realized gain on
sales of investments 0 (3,012,750) 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 186,116,435 387,669,466 4,919,823 15,279,142
Net asset value of shares
issued in reinvestment
of dividends and
distributions 6,590,885 10,644,217 449,856 471,151
Cost of shares redeemed (51,259,230) (97,245,061) (7,832,296) (6,512,467)
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL
SHARE TRANSACTIONS 141,448,090 301,068,622 (2,462,617) 9,237,826
INCREASE (DECREASE) IN NET
ASSETS 216,788,925 326,384,855 (2,148,337) 9,040,163
NET ASSETS:
Beginning net assets 448,776,150 122,391,295 14,298,208 5,258,045
ENDING NET ASSETS $665,565,075 $448,776,150 $12,149,871 $14,298,208
SHARES ISSUED AND REDEEMED:
Shares sold 15,696,061 38,170,417 530,963 1,672,577
Shares issued in
reinvestment of
dividends and
distributions 567,692 1,047,250 48,516 51,238
Shares redeemed (4,357,707) (9,443,527) (847,274) (703,052)
NET INCREASE (DECREASE) IN
SHARES OUTSTANDING 11,906,046 29,774,140 (267,795) 1,020,763
- ----------------------------------------------------------------------------------------------------
</TABLE>
* SEE NOTE 4.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
29
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S.
TREASURY ALLOCATION FUND
----------------------------------
(UNAUDITED) FOR THE
FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995*
<S> <C> <C>
- ----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 1,804,925 $ 3,634,313
Net realized gain (loss)
on sale of investments 1,225,869 (5,616,006)
Net change in unrealized
appreciation
(depreciation) of
investments 795,032 1,560,503
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS 3,825,826 (421,190)
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment income (1,804,925) (3,634,313)
From net realized gain on
sales of investments 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 11,550,973 37,807,075
Net asset value of shares
issued in reinvestment
of dividends and
distributions 1,807,981 3,616,562
Cost of shares redeemed (9,420,198) (38,732,671)
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL
SHARE TRANSACTIONS 3,938,756 2,690,966
INCREASE (DECREASE) IN NET
ASSETS 5,959,657 (1,364,537)
NET ASSETS:
Beginning net assets 56,851,809 58,216,346
ENDING NET ASSETS $62,811,466 $56,851,809
SHARES ISSUED AND REDEEMED:
Shares sold 1,248,417 4,190,630
Shares issued in
reinvestment of
dividends and
distributions 197,463 401,066
Shares redeemed (1,022,180) (4,287,468)
NET INCREASE (DECREASE) IN
SHARES OUTSTANDING 423,700 304,228
- ----------------------------------------------------------------
</TABLE>
* SEE NOTE 4.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
30
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING DURING EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
-------------------------------------------
FOR THE
PERIOD
FROM
JULY 2, 1993
(COMMENCEMENT
(UNAUDITED) OF
SIX MONTHS YEAR OPERATIONS)
ENDED ENDED TO
AUGUST 31, FEBRUARY 28, FEBRUARY 28,
1995 1995** 1994
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $9.93 $10.19 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.21 0.44 0.23
Net realized and unrealized gain (loss) on investments 1.09 (0.14) 0.28
TOTAL FROM INVESTMENT OPERATIONS 1.30 0.30 0.51
LESS DISTRIBUTIONS:
Dividends from net investment income (0.21) (0.44) (0.23)
Distributions from net realized gains 0.00 (0.12) (0.09)
Distributions in excess of net realized gains 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.21) (0.56) (0.32)
NET ASSET VALUE, END OF PERIOD $11.02 $9.93 $10.19
TOTAL RETURN (NOT ANNUALIZED) 13.22% 3.28% 5.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $342,142 $293,696 $217,140
Number of shares outstanding, end of period (000) 31,047 29,585 21,303
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net assets(1)++ 0.75% 0.75% 0.79%
Ratio of net investment income to average net assets(2) 3.99% 4.62% 3.47%
Portfolio turnover N/A 24%* 33%
- ------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to
waived fees and reimbursed expenses 0.75% 0.76% 0.80%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 3.99% 4.61% 3.46%
- ------------------------------------------------------------------------------------------------------
</TABLE>
* THIS RATE IS FOR THE PERIOD FROM FEBRUARY 28, 1994, TO MAY 25, 1994.
AS OF MAY 26, 1994, THE FUNDS INVEST ALL OF THEIR ASSETS IN THE
CORRESPONDING MASTER SERIES, HENCE NO SECURITIES-RELATED ACTIVITY.
** SEE NOTE 4.
+ ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
++ THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER SERIES.
31
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING DURING EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
BOND INDEX FUND
-------------------------------------------
FOR THE
PERIOD
FROM
JULY 2, 1993
(COMMENCEMENT
(UNAUDITED) OF
SIX MONTHS YEAR OPERATIONS)
ENDED ENDED TO
AUGUST 31, FEBRUARY 28, FEBRUARY 28,
1995 1995** 1994
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $9.20 $9.76 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.33 0.64 0.38
Net realized and unrealized gain (loss) on investments 0.40 (0.56) (0.24)
TOTAL FROM INVESTMENT OPERATIONS 0.73 0.08 0.14
LESS DISTRIBUTIONS:
Dividends from net investment income (0.33) (0.64) (0.38)
Distributions from net realized gains 0.00 0.00 0.00
Distributions in excess of net realized gains 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.33) (0.64) (0.38)
NET ASSET VALUE, END OF PERIOD $9.60 $9.20 $9.76
TOTAL RETURN (NOT ANNUALIZED) 8.01% 1.12% 1.38%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $28,520 $18,593 $14,899
Number of shares outstanding, end of period (000) 2,970 2,020 1,526
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net assets(1)++ 0.23% 0.23% 0.31%
Ratio of net investment income to average net assets(2) 6.95% 7.08% 5.88%
Portfolio turnover N/A 14%* 20%
- ------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to
waived fees and reimbursed expenses 0.68% 0.71% 0.32%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 6.58% 6.61% 5.87%
- ------------------------------------------------------------------------------------------------------
</TABLE>
* THIS RATE IS FOR THE PERIOD FROM FEBRUARY 28, 1994, TO MAY 25, 1994.
AS OF MAY 26, 1994, THE FUNDS INVEST ALL OF THEIR ASSETS IN THE
CORRESPONDING MASTER SERIES, HENCE NO SECURITIES-RELATED ACTIVITY.
** SEE NOTE 4.
+ ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
++ THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER SERIES.
32
<PAGE>
FOR A SHARE OUTSTANDING DURING EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
GROWTH STOCK FUND MONEY MARKET FUND
------------------------------------------- -------------------------------------------
FOR THE FOR THE
PERIOD PERIOD
FROM FROM
JULY 2, 1993 JULY 2, 1993
(COMMENCEMENT (COMMENCEMENT
(UNAUDITED) OF (UNAUDITED) OF
SIX MONTHS YEAR OPERATIONS) SIX MONTHS YEAR OPERATIONS)
ENDED ENDED TO ENDED ENDED TO
AUGUST 31, FEBRUARY 28, FEBRUARY 28, AUGUST 31, FEBRUARY 28, FEBRUARY 28,
1995 1995** 1994 1995 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $11.64 $11.52 $10.00 $1.00 $1.00 $1.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.01 0.00 (0.01) 0.03 0.04 0.02
Net realized and
unrealized gain (loss)
on investments 3.83 0.19 1.86 0.00 0.00 0.00
TOTAL FROM INVESTMENT
OPERATIONS 3.84 0.19 1.85 0.03 0.04 0.02
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.01) 0.00 0.00 (0.03) (0.04) (0.02)
Distributions from net
realized gains 0.00 (0.07) (0.33) 0.00 0.00 0.00
Distributions in excess of
net realized gains 0.00 0.00 0.00 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.01) (0.07) (0.33) (0.03) (0.04) (0.02)
NET ASSET VALUE, END OF
PERIOD $15.47 $11.64 $11.52 $1.00 $1.00 $1.00
TOTAL RETURN (NOT
ANNUALIZED) 32.96% 1.70% 18.65% 2.87% 4.40% 1.81%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $144,619 $96,925 $45,443 $153,212 $147,269 $81,649
Number of shares
outstanding, end of
period (000) 9,351 8,330 3,945 153,223 147,280 81,648
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net assets(1)++ 0.76% 0.76% 0.80% 0.45% 0.45% 0.49%
Ratio of net investment
income to average net
assets(2) 0.03% (0.02)% (0.18)% 5.63% 4.44% 2.77%
Portfolio turnover N/A 27% 104% N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.86% 0.87% 0.80% 0.50% 0.57% 0.50%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses (0.07)% (0.12)% (0.18)% 5.58% 4.32% 2.76%
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* THIS RATE IS FOR THE PERIOD FROM FEBRUARY 28, 1994, TO MAY 25, 1994.
AS OF MAY 26, 1994, THE FUNDS INVEST ALL OF THEIR ASSETS IN THE
CORRESPONDING MASTER SERIES, HENCE NO SECURITIES-RELATED ACTIVITY.
** SEE NOTE 4.
+ ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
++ THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER SERIES.
33
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING DURING EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
S&P 500 STOCK FUND
-------------------------------------------
FOR THE
PERIOD
FROM
JULY 2, 1993
(COMMENCEMENT
(UNAUDITED) OF
SIX MONTHS YEAR OPERATIONS)
ENDED ENDED TO
AUGUST 31, FEBRUARY 28, FEBRUARY 28,
1995 1995** 1994
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $10.83 $10.50 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.15 0.27 0.16
Net realized and unrealized gain (loss) on investments 1.65 0.41 0.47
TOTAL FROM INVESTMENT OPERATIONS 1.80 0.68 0.63
LESS DISTRIBUTIONS:
Dividends from net investment income (0.15) (0.27) (0.12)
Distributions from net realized gains 0.00 (0.08) (0.01)
Distributions in excess of net realized gains 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.15) (0.35) (0.13)
NET ASSET VALUE, END OF PERIOD $12.48 $10.83 $10.50
TOTAL RETURN (NOT ANNUALIZED) 16.70% 6.71% 6.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $665,565 $448,776 $122,391
Number of shares outstanding, end of period (000) 53,333 41,427 11,653
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net assets(1)++ 0.20% 0.21% 0.27%
Ratio of net investment income to average net assets(2) 2.66% 2.93% 2.46%
Portfolio turnover N/A 8%* 4%
- ------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to average net assets prior to
waived fees and reimbursed expenses 0.27% 0.25% 0.28%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 2.59% 2.88% 2.45%
- ------------------------------------------------------------------------------------------------------
</TABLE>
* THIS RATE IS FOR THE PERIOD FROM FEBRUARY 28, 1994, TO MAY 25, 1994.
AS OF MAY 26, 1994, THE FUNDS INVEST ALL OF THEIR ASSETS IN THE
CORRESPONDING MASTER SERIES, HENCE NO SECURITIES-RELATED ACTIVITY.
** SEE NOTE 4.
+ ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
++ THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER SERIES.
34
<PAGE>
FOR A SHARE OUTSTANDING DURING EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE TERM FUND U.S. TREASURY ALLOCATION FUND
------------------------------------------- -------------------------------------------
FOR THE FOR THE
PERIOD PERIOD
FROM FROM
JULY 2, 1993 JULY 2, 1993
(COMMENCEMENT (COMMENCEMENT
(UNAUDITED) OF (UNAUDITED) OF
SIX MONTHS YEAR OPERATIONS) SIX MONTHS YEAR OPERATIONS)
ENDED ENDED TO ENDED ENDED TO
AUGUST 31, FEBRUARY 28, FEBRUARY 28, AUGUST 31, FEBRUARY 28, FEBRUARY 28,
1995 1995** 1994 1995 1995** 1994
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING
OF PERIOD $9.15 $9.72 $10.00 $8.99 $9.67 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.34 0.64 0.42 0.28 0.59 0.39
Net realized and
unrealized gain (loss)
on investments 0.24 (0.57) (0.28) 0.32 (0.68) (0.05)
TOTAL FROM INVESTMENT
OPERATIONS 0.58 0.07 0.14 0.60 (0.09) 0.34
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.34) (0.64) (0.42) (0.28) (0.59) (0.39)
Distributions from net
realized gains 0.00 0.00 0.00 0.00 0.00 (0.20)
Distributions in excess of
net realized gains 0.00 0.00 0.00 0.00 0.00 (0.08)
TOTAL DISTRIBUTIONS (0.34) (0.64) (0.42) (0.28) (0.59) (0.67)
NET ASSET VALUE, END OF
PERIOD $9.39 $9.15 $9.72 $9.31 $8.99 $9.67
TOTAL RETURN (NOT
ANNUALIZED) 6.39% 0.89% 1.42% 6.71% (0.76)% 3.33%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $12,150 $14,298 $5,258 $62,811 $56,852 $58,216
Number of shares
outstanding, end of
period (000) 1,294 1,562 541 6,747 6,324 6,019
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net assets(1)++ 0.65% 0.65% 0.65% 0.70% 0.70% 0.78%
Ratio of net investment
income to average net
assets(2) 7.00% 7.07% 6.02% 5.94% 6.52% 5.79%
Portfolio turnover N/A 29% 277% N/A 43% 210%
- ----------------------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.24% 1.41% 0.65% 0.70% 0.72% 0.80%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 6.41% 6.32% 6.02% 5.94% 6.50% 5.77%
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* THIS RATE IS FOR THE PERIOD FROM FEBRUARY 28, 1994, TO MAY 25, 1994.
AS OF MAY 26, 1994, THE FUNDS INVEST ALL OF THEIR ASSETS IN THE
CORRESPONDING MASTER SERIES, HENCE NO SECURITIES-RELATED ACTIVITY.
** SEE NOTE 4.
+ ANNUALIZED FOR PERIODS OF LESS THAN ONE YEAR.
++ THIS RATIO INCLUDES EXPENSES CHARGED TO THE MASTER SERIES.
35
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
36
<PAGE>
STAGECOACH INC.
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Stagecoach Inc. (the "Company"), is registered under the Investment Company
Act of 1940, as amended, as an open-end series investment company. The Company
commenced operations on July 2, 1993 and currently is authorized to issue
fourteen separate funds, of which the following have commenced operations: the
Asset Allocation Fund, the Bond Index Fund, the Growth Stock Fund, the Money
Market Fund, the S&P 500 Stock Fund, the Short-Intermediate Term Fund and the
U.S. Treasury Allocation Fund (each, a "Fund", collectively, the "Funds"). The
following significant accounting policies are consistently followed by the
Company in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
INVESTMENT POLICY AND SECURITY VALUATION
Each Fund with the exception of the Growth Stock Fund, Money Market Fund and
the Short-Intermediate Term Fund invests all of its assets in a separate series
(each a "Master Series") of Master Investment Portfolio. Each of the Growth
Stock Fund and the Short-Intermediate Term Fund invests all of its assets in a
separate series (also a "Master Series") of the Managed Series Investment Trust.
Each Master Series has the same investment objective as the Fund bearing the
corresponding name. The value of each Fund's investment in its corresponding
Master Series reflects that Fund's interest in the net assets of that Master
Series (99.9%, 23.4%, 99.9%, 93.7%, 99.9% and 99.9% for the Asset Allocation
Fund, the Bond Index Fund, the Growth Stock Fund, the S&P 500 Stock Fund, the
Short-Intermediate Term Fund, and the U.S. Treasury Allocation Fund,
respectively, as of August 31, 1995). The Money Market Fund is not a feeder fund
and does not invest in a corresponding Master Series. Investments of each Master
Series are valued by the Master Investment Portfolio for all of the Funds with
the exception of the Growth Stock Fund, Money Market Fund and the Short-
Intermediate Term Fund. The investments of the Growth Stock Fund and the
Short-Intermediate Term Fund are valued by the Managed Series Investment Trust.
37
<PAGE>
STAGECOACH INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
SECURITY TRANSACTIONS AND REVENUE RECOGNITION
Securities transactions are accounted for by each Master Series on the date
the securities are purchased or sold (trade date). Revenue is recognized by each
Master Series as follows: Dividend income is recognized on the ex-dividend date,
and interest income is recognized on a daily accrual basis. Realized gains and
losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized as required by the Internal Revenue
Code of 1986 (the "Code"). All net investment income and realized and unrealized
capital gains and losses of each Master Series are allocated pro rata among its
respective feeder funds.
The Money Market Fund uses the amortized cost method to value its portfolio
securities and seeks to maintain a constant net asset value of $1.00 per share.
There is no assurance that the Fund will meet this objective. The amortized cost
method, which involves valuing a security at its cost and amortizing any
discount or premium over the period until maturity, approximates market value.
The performance of each Fund, with the exception of the Money Market Fund,
is directly affected by the performance of the corresponding Master Series. The
financial statements of each Master Series, including the schedule of
investments, are included elsewhere in this report and should be read in
conjunction with each Fund's financial statements.
FEDERAL INCOME TAXES
Each Fund of the Company is treated as a separate entity for federal income
tax purposes. It is the policy of each Fund of the Company to continue to
qualify as a regulated investment company by complying with the provisions
applicable to investment companies, as defined in the Code, and to make
distributions of investment company taxable income and net capital gains (after
reduction for capital loss carryforwards) sufficient to relieve it from all, or
substantially all, federal income taxes. Accordingly, no provision for federal
income taxes was required. The Bond Index Fund has a capital loss carryforward
of $144,965 which will expire in the year 2002. The Money Market Fund has a
capital loss carryforward of $11,557 which will expire in the year 2002. The
Short-Intermediate Term Fund has capital loss carryforwards of $31,607 which
will
38
<PAGE>
STAGECOACH INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
expire in the year 2001 and $387,126 which will expire in the year 2002. The
U.S. Treasury Allocation Fund has a capital loss carryforward of $5,548,747
which will expire in the year 2002. No capital gain distribution shall be made
in any of the Funds until the respective capital loss carryforward has been
fully utilized or expires.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Asset Allocation
Fund, the Bond Index Fund, the Short-Intermediate Term Fund and the U.S.
Treasury Allocation Fund are declared and distributed monthly. Dividends to
shareholders from net investment income of the Growth Stock Fund and the S&P 500
Stock Fund are declared and distributed quarterly. Dividends to shareholders
from net investment income of the Money Market Fund are declared daily and
distributed monthly. Distributions to shareholders from any net realized capital
gains are declared and distributed annually, generally in December.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the Funds' administrator and distributor, has
paid all the expenses in connection with the organization and initial
registration of the various Funds.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Company has entered into separate contracts on behalf of the Funds with
Wells Fargo Bank, N.A. ("WFB"), whereby WFB has agreed to provide transfer and
dividend disbursing agency services and shareholder services to the Funds. WFB
is compensated for transfer and dividend disbursing agency services based on an
annual rate of 0.03% of average daily net assets for all of the Funds except the
Asset Allocation Fund, the Money Market Fund and the U.S. Treasury Allocation
Fund which are charged at an annual rate of 0.10% of the average daily net
assets of the Funds. WFB is compensated for shareholder servicing based on an
annual rate of 0.20% for the Asset Allocation Fund and the U.S. Treasury
39
<PAGE>
STAGECOACH INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
Allocation Fund; 0.10% for the Growth Stock Fund and the Short-Intermediate Term
Fund and 0.07% for the Bond Index Fund and the S&P 500 Stock Fund, based on the
average daily net assets of each of these Funds.
The Company has also entered into an advisory contract on behalf of the
Money Market Fund with WFB. Pursuant to the contract, WFB furnishes to the Fund
investment guidance and policy direction in connection with daily portfolio
management of the Fund. The advisory contract with the Fund provides for
advisory fees, which are accrued daily and paid monthly, at an annual rate of
0.35% of the average daily net assets of the Fund. In addition, the Company had
entered into subcustodian agreements with Wells Fargo Institutional Trust
Company N.A. ("WFITC"), a subsidiary of Wells Fargo Nikko Investment Advisors
("WFNIA"). Pursuant to such agreements, WFB had paid WFITC a subcustodian fee.
The Company has entered into administration and distribution agreements with
Stephens on behalf of the Asset Allocation Fund, the U.S. Treasury Allocation
Fund and the Money Market Fund. Under the agreements, Stephens has agreed to
provide supervisory, administrative and distribution services for these Funds.
As compensation for these services, the Asset Allocation Fund and the U.S.
Treasury Allocation Fund pay a monthly fee at an annual rate of 0.10% of each
Fund's average daily net assets. The Money Market Fund pays a monthly fee at an
annual rate of 0.05% of the Fund's average daily net assets. In addition,
Stephens is responsible for paying all other expenses incurred by these Funds
other than the fees payable by the Fund pursuant to the Company's various
service contracts.
Under the administration agreement, Stephens has agreed to assume operating
expenses of the Asset Allocation Fund, the U.S. Treasury Allocation Fund and the
Money Market Fund and a pro rata share of the operating expenses of the Asset
Allocation Master Series and the U.S. Treasury Allocation Master Series, except
for extraordinary expenses and those fees and expenses payable pursuant to the
various service contracts described above which will be borne by the
aforementioned funds and those expenses specifically assumed by Wells Fargo
under its contracts with each of the aforementioned funds. The Company has also
entered into administration and distribution agreements with Stephens on behalf
40
<PAGE>
STAGECOACH INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
of the Bond Index Fund, the Growth Stock Fund, the S&P 500 Stock Fund and the
Short-Intermediate Term Fund. Under the agreements, Stephens has agreed to
provide supervisory, administrative and distribution services to the Funds. For
these services, each Fund pays Stephens a monthly fee at an annual rate of 0.05%
of the Funds' average daily net assets.
On June 21, 1995, Wells Fargo & Co. and The Nikko Securities Co., Ltd.
signed a definitive agreement to sell their partnership interests in WFNIA to
Barclays Bank PLC of the United Kingdom. The sale, which is subject to the
approval of appropriate regulatory authorities, is expected to close in the
fourth quarter of 1995. In connection with the sale, shareholders of the Money
Market Fund will be asked to approve a proposed investment advisory contract
appointing BZW Global Investors as the Fund's investment adviser and a proposed
sub-advisory contract appointing Wells Fargo Bank as the Fund's sub-adviser.
Shareholders will be mailed additional information regarding the sale and the
proposed advisory arrangements later this year.
WAIVED FEES AND REIMBURSED EXPENSES
The following amounts of fees and expenses have been waived and/or
reimbursed for the six months ended August 31, 1995:
<TABLE>
<CAPTION>
REIMBURSED
EXPENSES
WAIVED FEES BY
FUND BY WFB STEPHENS TOTAL
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------
Asset Allocation $ 0 $ 0 $ 0
Bond Index 16,554 32,721 49,275
Growth Stock 56,063 0 56,063
Money Market 25,386 0 25,386
S&P 500 Stock 204,542 0 204,542
Short-Intermediate Term 11,384 25,611 36,995
U.S. Treasury Allocation 0 0 0
</TABLE>
Waived fees and reimbursed expenses continue at the discretion of WFB and
Stephens, respectively.
Certain officers and directors of the Company are also officers of Stephens.
As of August 31, 1995, Stephens owned less than 1% of the shares outstanding for
each Fund.
41
<PAGE>
STAGECOACH INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
3. CAPITAL SHARES TRANSACTIONS
As of August 31, 1995, there were 10 billion shares of $.001 par value
capital stock authorized by the Company. As of August 31, 1995, each Fund except
the Money Market Fund, the U.S. Treasury Allocation Fund and the
Short-Intermediate Term Fund was authorized to issue 100 million shares of $.001
per value capital stock. The Money Market Fund was authorized to issue 3 billion
shares. The U.S. Treasury Allocation Fund and Short-Intermediate Term Fund were
each authorized to issue 300 million shares. Transactions in capital shares, for
each Fund, are disclosed in detail in the Statements of Changes in Net Assets.
4. ORGANIZATION OF THE FUNDS
Certain Funds are successors to certain assets of collective investment
funds managed by WFB. A portion of the assets of the collective investment funds
were transferred to the Funds on behalf of the Retirement Plans wishing to
liquidate their collective investment fund holdings and acquire corresponding
investments in the Funds. Such transfers occurred at or shortly after the
commencement of operations of the Funds. In addition, two "special" meetings
were held in 1994 which affected the organization of the Funds. At a special
meeting held February 14, 1994, the shareholders voted to change the name of the
Company from "WellsFunds Inc." to "Stagecoach Inc." At a special meeting held
January 31, 1994, the shareholders of the Funds approved the reorganization of
certain funds into a "master-feeder" structure, whereby the existing Funds
invest all of their assets in a corresponding series of the Master Investment
Portfolio or the Managed Series Investment Trust (both open-end registered
investment companies). On the conversion date the funds transferred their
investments to the corresponding Master Series in exchange for shares in the
corresponding Master Series. Certain existing funds then became "feeder" funds.
This reorganization was effected in May 1994. The reorganization had no impact
to shareholders of the existing funds except that certain advisory fees were
contractually reduced.
42
<PAGE>
STAGECOACH INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
5. ORANGE COUNTY CALIFORNIA DEBT SECURITIES
As of August 31, 1995, the Money Market Fund held securities issued by
Orange County, California, with a principal amount of $2,000,000 and an
estimated fair market value of $1,558,860. Orange County filed for protection
under Chapter 9 of the Federal Bankruptcy Code on December 6, 1994, and
defaulted on such securities on July 10, 1995. The bankruptcy court trustee
approved an extension of the securities' maturity to June 30, 1996, and
modification of certain other terms, including increasing the interest rate and
providing for some portion of interest to accrue until the maturity date rather
than being due and payable monthly. Concurrent with the default by Orange
County, the Money Market Fund entered into a Credit Enhancement Agreement (the
"Agreement") with WFB, pursuant to which the Fund was named as a beneficiary of
an irrevocable letter of credit issued by Bank of America National Trust and
Savings Association ("Bank of America"). The Agreement provides support for a
portion of the Orange County securities held by the Fund such that Bank of
America will make certain payments to the Money Market Fund under defined
circumstances, including failure by Orange County to make any payment of
principal when due.
Letter of credit and legal fees of $6,642 were paid by WFB on behalf of the
Money Market Fund and were recorded as a contribution of capital on July 10,
1995. The Money Market Fund recorded the credit enhancement as an asset and a
contribution to capital in the amount of the letter of credit fee. Since
December 6, 1994, the Orange County securities have been placed on non-accrual
status, with interest income being recognized when received.
The aforementioned Orange County securities with a principal amount of
$2,000,000 were sold during the period from September 19, 1995 through September
29, 1995 (subsequent to August 31, 1995) for $1,992,429, resulting in the Money
Market Fund realizing a loss of $114,929. This realized loss did not affect the
Money Market Fund's net asset value of $1.00 per share. All accrued interest for
the period was collected. The terms of the Agreement did not provide for the
Money Market Fund to draw on the letter of credit to offset the loss.
43
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
44
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 49.60%
32,791 Abbott Laboratories $ 991,989 $ 1,270,651
4,449 Advanced Micro Devices+ 123,461 150,154
4,629 Aetna Life & Casualty Co 266,937 315,929
4,775 Ahmanson (H F) & Co 89,381 113,406
4,581 Air Products & Chemicals Inc 203,319 245,656
20,240 Airtouch Communications+ 491,451 657,800
1,151 Alberto-Culver Co Class B 27,273 32,804
10,330 Albertson's Inc 288,545 329,269
9,132 Alcan Aluminium Ltd 206,145 297,932
2,249 Alco Standard Corp 125,196 181,045
1,801 Alexander & Alexander Services 38,778 41,648
2,591 Allergan Inc 64,338 78,702
11,609 Allied Signal Inc 428,352 515,149
18,483 Allstate Corp 508,485 626,112
7,690 Alltel Corp 233,421 217,243
7,336 Aluminum Co of America 274,579 419,069
3,356 ALZA Corp+ 77,767 79,705
4,648 Amdahl Corp+ 32,723 42,413
3,807 Amerada Hess Corp 192,129 180,357
7,755 American Brands Inc 266,065 325,710
7,520 American Electric Power Inc 268,596 256,620
20,312 American Express Corp 601,875 820,097
8,312 American General Corp 260,015 292,998
3,044 American Greetings Corp Class A 91,403 93,603
12,637 American Home Products Corp 818,926 973,049
19,422 American International Group Inc 1,244,507 1,565,899
6,071 American Stores Co 141,456 178,336
22,758 Ameritech Corp 945,833 1,166,348
10,868 Amgen Inc+ 260,780 520,306
20,399 Amoco Corp 1,186,176 1,300,436
8,848 AMP Inc 298,327 359,450
3,132 AMR Corp+ 200,351 220,806
1,524 Andrew Corp+ 38,968 88,773
10,624 Anheuser-Busch Inc 536,165 606,896
4,984 Apple Computer Inc 156,530 214,312
</TABLE>
45
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
3,436 Applied Materials Inc+ $ 182,543 $ 357,344
22,198 Archer-Daniels-Midland Co 341,942 369,043
4,192 Armco Inc+ 27,182 26,200
1,546 Armstrong World Industries Inc 66,277 88,702
1,663 ASARCO Inc 37,487 53,840
2,495 Ashland Inc 84,192 81,711
65,005 AT & T Corp 3,637,160 3,672,783
6,573 Atlantic Richfield Corp 730,385 717,279
1,970 Autodesk Inc 55,527 90,866
5,928 Automatic Data Processing 324,725 385,320
2,207 Avery Dennison Corp 67,368 90,487
2,806 Avon Products Inc 156,400 198,174
5,739 Baker Hughes Inc 130,335 129,128
1,258 Ball Corp 37,874 42,772
1,940 Bally Entertainment Corp+ 16,863 23,523
5,998 Baltimore Gas & Electric Co 148,786 157,448
16,633 Banc One Corp 561,620 559,285
4,558 Bank of Boston Corp 121,521 200,552
7,873 Bank of New York Inc 264,725 342,476
15,362 BankAmerica Corp 700,743 867,953
3,176 Bankers Trust N Y Corp 224,605 218,747
2,073 Bard (C R) Inc 51,814 64,263
3,992 Barnett Banks Inc 176,134 228,043
14,458 Barrick Gold Corp 390,820 366,872
576 Bassett Furniture Industries 17,721 14,256
2,473 Bausch & Lomb Inc 106,940 98,302
11,494 Baxter International Inc 312,447 448,266
2,817 Becton Dickenson & Co 118,012 158,808
17,883 Bell Atlantic Corp 1,037,773 1,068,509
20,365 BellSouth Corp 1,198,807 1,400,094
2,095 Bemis Co Inc 49,722 60,755
2,181 Beneficial Corp 84,208 107,142
4,392 Bethlehem Steel Corp+ 76,158 64,233
4,015 Beverly Enterprises+ 48,665 53,199
4,727 Biomet Inc+ 54,745 76,223
</TABLE>
46
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
3,450 Black & Decker Corp $ 76,763 $ 111,694
4,240 Block (H & R) Inc 172,090 165,360
5,255 Boatmen's Bancshares Inc 160,603 194,435
13,979 Boeing Co 600,857 891,161
1,866 Boise Cascade Corp 48,671 80,005
6,079 Boston Scientific Corp+ 130,245 241,640
1,170 Briggs & Stratton Corp 42,504 44,314
20,913 Bristol-Myers Squibb Co 1,220,230 1,435,155
707 Brown Group Inc 23,219 12,903
2,862 Brown-Forman Corp Class B 81,258 105,894
8,719 Browning-Ferris Industries Inc 247,848 293,176
88 Bruno's Inc 821 902
3,851 Brunswick Corp 68,841 77,501
3,689 Burlington Northern Inc 203,111 255,463
5,210 Burlington Resources Inc 222,189 212,959
2,926 Cabletron Systems Inc+ 155,068 154,712
10,197 Campbell Soup Co 426,773 466,513
6,299 Capital Cities/ABC Inc 431,323 724,385
6,380 Carolina Power & Light Co 192,870 195,388
8,219 Caterpillar Inc 388,933 551,700
2,460 CBS Inc 146,283 196,185
1,222 Centex Corp 42,534 35,744
7,739 Central & South West Corp 221,871 189,606
1,848 Ceridian Corp+ 42,693 80,850
3,821 Champion International Corp 130,745 216,364
4,109 Charming Shoppes Inc 43,096 21,572
7,316 Chase Manhattan Corp 256,750 420,670
9,956 Chemical Banking Corp Class A 399,697 579,937
26,752 Chevron Corp 1,247,218 1,294,128
15,116 Chrysler Corp 712,633 814,375
3,600 Chubb Corp 298,235 328,500
2,938 CIGNA Corp 197,143 284,252
1,446 Cincinnati Milacron Inc 33,289 47,899
6,333 Cinergy Corp 151,109 162,283
3,883 Circuit City Stores Inc 97,604 133,964
</TABLE>
47
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
10,942 Cisco Systems Inc+ $ 359,780 $ 718,069
16,276 Citicorp 632,543 1,080,320
2,118 Clorox Co 115,415 143,230
4,226 Coastal Corp 118,576 138,402
52,014 Coca-Cola Co 2,432,365 3,341,900
5,934 Colgate-Palmolive Co 343,838 403,512
2,037 Columbia Gas System Inc+ 52,798 71,804
18,202 Columbia HCA Healthcare Corp 754,015 855,494
9,796 Comcast Corp Class A 192,606 209,390
1,756 Community Psychiatric Centers+ 22,336 20,633
10,723 Compaq Computer Corp+ 293,062 512,023
6,559 Computer Associates International Inc 273,704 455,851
2,283 Computer Sciences Corp+ 90,795 137,551
10,091 ConAgra Inc 285,273 382,197
3,215 Conrail Inc 180,108 216,209
9,608 Consolidated Edison Co 308,179 271,426
1,704 Consolidated Freightways 35,862 44,091
3,829 Consolidated Natural Gas Co 176,002 147,895
4,739 Cooper Industries Inc 215,842 180,082
3,438 Cooper Tire & Rubber Co 87,634 89,388
1,572 Coors (Adolph) Co Class B 28,950 26,724
5,917 CoreStates Financial Corp 166,252 218,929
9,330 Corning Inc 294,315 304,391
5,959 CPC International Inc 290,987 374,672
1,251 Crane Co 35,451 45,036
1,039 Cray Research Inc+ 23,244 24,157
3,652 Crown Cork & Seal Co+ 141,269 164,362
4,309 CSX Corp 335,106 355,493
6,994 CUC International Inc+ 184,175 238,670
1,677 Cummins Engine Co Inc 74,103 65,822
3,778 Cyprus Amax Minerals 102,564 105,784
4,049 Dana Corp 108,740 120,964
6,423 Darden Restaurants Inc+ 69,363 65,836
1,472 Data General Corp+ 13,147 14,352
2,913 Dayton-Hudson Corp 205,007 213,013
</TABLE>
48
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
6,923 Dean Witter Discover & Co $ 274,335 $ 353,073
3,503 Deere & Co 259,096 299,507
2,071 Delta Air Lines Inc 111,942 154,031
3,412 Deluxe Corp 112,333 106,625
5,860 Detroit Edison Co 183,555 179,463
3,781 Dial Corp 80,754 90,744
5,959 Digital Equipment Corp+ 206,623 248,788
4,622 Dillard Department Stores Inc Class A 153,154 142,704
21,370 Disney (Walt) Co 951,608 1,199,391
7,013 Dominion Resources Inc 300,507 253,345
6,249 Donnelley (R R) & Sons Co 192,584 237,462
2,319 Dover Corp 130,932 184,940
11,373 Dow Chemical Co 717,717 841,602
3,986 Dow Jones & Co Inc 136,445 145,987
7,372 Dresser Industries Inc 160,298 176,928
4,634 DSC Communications Corp+ 146,815 243,285
8,331 Duke Power Co 339,555 338,447
6,893 Dun & Bradstreet Corp 412,099 398,932
22,672 DuPont (E I) de Nemours 1,233,122 1,482,182
896 Eastern Enterprises 23,664 27,440
3,401 Eastman Chemical Co 176,064 219,790
13,973 Eastman Kodak Co 681,496 805,194
3,178 Eaton Corp 162,464 172,009
2,449 Echlin Inc 77,815 84,491
4,523 Echo Bay Mines Ltd 51,152 46,926
2,767 Ecolab Inc 61,458 75,747
2,194 EG & G Inc 37,715 41,686
9,559 Emerson Electric Co 583,069 682,274
5,908 Engelhard Corp 105,778 166,901
10,361 Enron Corp 345,620 348,389
2,616 Enserch Corp 46,556 42,837
9,308 Entergy Corp 292,169 223,392
51,015 Exxon Corp 3,297,084 3,507,281
2,254 Federal Express Corp+ 143,671 161,725
7,421 Federal Home Loan Mortgage Corp 399,909 476,799
</TABLE>
49
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
11,241 Federal National Mortgage Assoc $ 889,859 $ 1,072,110
1,758 Federal Paper Board Co 42,422 69,661
3,758 First Chicago Corp 178,760 238,163
4,863 First Data Corp 244,089 283,878
3,355 First Fidelity Bancorp 155,645 219,333
3,195 First Interstate Bancorp 221,941 305,123
866 First Mississippi Corp 14,179 28,686
7,182 First Union Corp 315,570 359,998
5,745 Fleet Financial Group Inc 189,046 212,565
1,902 Fleetwood Enterprises Inc 42,032 37,327
1,528 Fleming Co Inc 43,323 44,503
3,391 Fluor Corp 153,219 198,374
1,511 FMC Corp+ 79,376 116,347
42,158 Ford Motor Co 1,188,217 1,291,089
1,504 Foster Wheeler Corp 50,514 55,460
7,588 FPL Group Inc 283,021 294,984
8,421 Freeport McMoRan Copper & Gold Inc Class B 229,255 196,841
3,096 Fruit of the Loom Inc Class A+ 83,650 72,756
5,738 Gannett Co Inc 296,780 306,983
5,878 Gap Inc 192,090 188,831
2,586 General Dynamics Corp 113,887 136,088
69,578 General Electric Co 3,501,314 4,096,405
6,423 General Mills Inc 321,854 331,587
30,842 General Motors Corp 1,437,483 1,449,574
4,663 General Public Utilities 138,541 133,478
3,373 General Re Corp 417,316 501,312
1,927 General Signal Corp 65,925 68,409
4,987 Genuine Parts Co 186,362 196,363
3,698 Georgia-Pacific Corp 253,013 332,820
2,485 Giant Food Inc Class A 57,060 77,346
1,440 Giddings & Lewis Inc 29,573 23,580
18,170 Gillette Co 595,411 758,598
2,490 Golden West Financial 101,381 118,898
1,034 Goodrich (B F) Co 46,876 61,523
</TABLE>
50
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
6,233 Goodyear Tire & Rubber Co $ 248,777 $ 249,320
3,847 Grace (W R) & Co 158,425 256,306
2,084 Grainger (W W) Inc 122,978 123,998
1,572 Great Atlantic & Pacific Tea Co 39,036 44,606
2,789 Great Lakes Chemical Corp 187,178 184,423
5,435 Great Western Financial Corp 98,847 127,043
39,806 GTE Corp 1,405,021 1,457,895
4,664 Halliburton Co 169,515 197,637
1,433 Handleman Co 15,882 13,614
3,170 Harcourt General Inc 121,818 131,951
1,201 Harland (John H) Co 29,312 26,572
1,942 Harnischfeger Industries Inc 47,673 71,369
4,193 Harrah's Entertainment Inc+ 125,645 133,652
1,609 Harris Corp 70,482 92,719
3,562 Hasbro Inc 124,208 115,320
9,954 Heinz (H J) Co 371,417 421,801
996 Helmerich & Payne Inc 30,214 28,511
4,774 Hercules Inc 170,292 265,554
3,191 Hershey Foods Corp 158,971 191,061
20,938 Hewlett Packard Co 914,822 1,675,040
1,964 Hilton Hotels Corp 108,592 130,606
19,518 Home Depot Inc 824,458 778,280
5,645 Homestake Mining Co 104,598 93,143
5,284 Honeywell Inc 188,547 231,175
3,972 Household International Inc 152,161 222,929
5,339 Houston Industries Inc 228,010 226,240
4,672 Illinois Tool Works Inc 189,547 286,160
4,755 Inco Ltd 114,607 166,425
4,325 Ingersoll-Rand Co 152,563 163,809
1,847 Inland Steel Industries Inc 56,692 50,562
34,006 Intel Corp 1,158,904 2,087,118
1,779 Intergraph Corp+ 19,377 22,015
23,883 International Business Machines Corp 1,402,069 2,468,905
4,601 International Flavors & Fragrances 190,500 220,273
5,206 International Paper Co 357,643 426,241
</TABLE>
51
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
3,098 Interpublic Group Cos Inc $ 99,068 $ 120,435
4,372 ITT Corp 386,054 523,001
3,279 James River Corp 65,316 113,945
1,967 Jefferson-Pilot Corp 103,683 123,675
26,498 Johnson & Johnson 1,250,784 1,828,362
1,641 Johnson Controls Inc 87,536 99,896
1,802 Jostens Inc 34,891 43,248
18,655 K Mart Corp 359,395 254,174
1,304 Kaufman & Broad Home Corp 23,074 17,441
9,049 Kellogg Co 499,744 610,808
2,146 Kerr-McGee Corp 107,754 118,030
9,914 KeyCorp 302,445 307,334
6,588 Kimberly-Clark Corp 337,973 420,809
1,551 King World Productions+ 59,288 58,938
2,231 Knight-Ridder Inc 122,026 125,494
4,730 Kroger Co+ 107,894 154,316
11,160 Laidlaw Inc Class B 98,169 100,440
12,039 Lilly (Eli) & Co 683,977 985,693
14,624 Limited Inc 301,233 270,544
3,931 Lincoln National Corp 167,795 169,033
3,141 Liz Claiborne Inc 63,750 71,458
8,182 Lockheed Martin Corp 380,633 498,079
2,407 Loews Corp 266,328 316,220
885 Longs Drug Stores Corp 29,396 32,745
3,435 Loral Corp 123,685 188,066
1,423 Louisiana Land & Exploration Co 60,605 54,430
4,597 Louisiana-Pacific Corp 152,282 109,179
6,494 Lowe's Co Inc 183,426 215,926
1,017 Luby's Cafeterias Inc 23,355 20,213
3,133 Mallinckrodt Group Inc 100,709 117,879
2,522 Manor Care Inc 63,444 81,650
5,022 Marriott International 140,732 178,281
2,970 Marsh & McLennan Companies Inc 251,989 244,654
6,484 Masco Corp 190,342 181,552
9,058 Mattel Inc 185,301 262,682
</TABLE>
52
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
10,127 May Co Department Stores Co $ 405,084 $ 429,132
4,377 Maytag Corp 73,340 67,844
6,029 MBNA Corp 146,556 214,030
2,235 McDermott International Inc 62,235 50,846
28,546 McDonald's Corp 841,053 1,041,929
4,867 McDonnell Douglas Corp 184,651 390,577
2,003 McGraw-Hill Inc 139,948 157,736
27,764 MCI Communications 676,758 668,071
2,465 Mead Corp 115,732 151,289
4,676 Medtronic Inc 208,147 441,298
6,061 Mellon Bank Corp 226,379 287,140
4,357 Melville Corp 177,397 145,415
1,529 Mercantile Stores Co Inc 55,163 70,143
50,753 Merck & Co Inc 1,816,330 2,531,306
1,192 Meredith Corp 25,086 46,786
7,208 Merrill Lynch & Co Inc 317,694 415,361
8,440 Micron Technology Inc 190,544 648,825
23,867 Microsoft Corp+ 1,388,610 2,207,698
2,102 Millipore Corp 42,892 73,307
17,183 Minnesota Mining & Manufacturing Co 925,785 938,621
16,284 Mobil Corp 1,340,034 1,551,051
4,795 Monsanto Co 342,640 454,926
4,095 Moore Corp Ltd 77,799 85,483
7,731 Morgan (J P) & Co Inc 529,883 563,397
1,399 Morrison Knudsen Corp 26,034 10,842
5,998 Morton International Inc 174,276 194,935
24,178 Motorola Inc 1,243,274 1,807,306
433 NACCO Industries Inc Class A 21,021 24,898
2,819 Nalco Chemical Co 96,912 98,665
5,996 National City Corp 164,519 178,381
5,076 National Semiconductor+ 90,512 143,397
1,968 National Service Industries Inc 50,900 57,072
11,261 NationsBank 561,187 691,144
3,072 Navistar International Corp+ 61,910 39,936
6,579 NBD Bancorp Inc 208,478 235,199
</TABLE>
53
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
4,062 New York Times Co Class A $ 98,822 $ 101,042
6,417 Newell Co 132,765 160,425
3,499 Newmont Mining Corp 140,650 152,207
5,854 Niagara Mohawk Power Corp 114,667 70,248
2,078 NICOR Inc 56,753 53,249
3,034 Nike Inc Class B 179,511 281,024
4,867 NorAm Energy Corp 36,449 34,677
3,394 Nordstrom Inc 123,807 140,003
5,504 Norfolk Southern Corp 369,182 389,408
2,741 Northern States Power Co 121,903 116,835
10,337 Northern Telecom Ltd 313,537 379,885
2,062 Northrop Grumman Corp 82,504 125,524
13,270 Norwest Corp 343,487 399,759
14,970 Novell Inc+ 288,523 269,460
3,579 Nucor Corp 194,631 175,371
17,463 NYNEX Corp 733,553 785,835
13,029 Occidental Petroleum Corp 263,337 283,381
1,965 Ogden Corp 43,814 45,686
6,238 Ohio Edison Co 139,705 134,897
1,106 ONEOK Inc 21,649 24,194
17,674 Oracle Systems Corp+ 419,076 709,169
4,017 Oryx Energy Co+ 75,105 54,230
863 Outboard Marine Corp 16,845 18,447
2,024 Owens Corning Fiberglass+ 79,914 79,442
1,590 PACCAR Inc 80,922 78,705
3,354 Pacific Enterprises 82,992 80,496
17,719 Pacific Gas & Electric Co 554,974 509,421
17,323 Pacific Telesis Group 540,336 491,540
11,582 PacifiCorp 221,024 209,924
4,671 Pall Corp 89,177 102,178
6,116 Panhandle Eastern Corp 138,902 152,900
2,989 Parker Hannifin Corp 75,222 118,439
8,993 PECO Energy Co 262,634 239,439
9,475 Penney (J C) Co Inc 448,720 428,744
1,895 Pennzoil Co 107,468 83,380
</TABLE>
54
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
1,470 Peoples Energy Corp $ 42,619 $ 40,058
2,495 Pep Boys-Manny Moe & Jack 69,616 68,613
32,339 Pepsico Inc 1,241,983 1,463,340
1,708 Perkin-Elmer Corp 54,607 58,286
25,924 Pfizer Inc 900,451 1,279,998
2,862 Phelps Dodge Corp 141,472 181,379
34,702 Philip Morris Co Inc 1,902,551 2,589,637
10,674 Phillips Petroleum Co 353,030 350,908
3,506 Pioneer Hi Bred International Inc 126,603 150,758
6,383 Pitney Bowes Inc 246,767 259,309
1,662 Pittston Services Group 40,640 42,173
9,791 Placer Dome Inc 216,445 255,790
9,562 PNC Bank Corp 269,277 251,003
1,948 Polaroid Corp 68,757 84,982
1,217 Potlatch Corp 51,063 48,224
8,532 PPG Industries Inc 307,809 364,743
5,564 Praxair Inc 101,532 144,664
2,604 Premark International Inc 96,920 136,385
7,844 Price/Costco Inc+ 136,636 132,368
28,202 Procter & Gamble Co 1,592,188 1,956,514
3,939 Providian Corp 150,000 151,159
10,024 Public Services Enterprise Group 316,741 275,660
1,067 Pulte Corp 33,476 28,809
5,432 Quaker Oats Co 186,391 188,762
4,097 Ralston-Purina Group 161,171 213,044
1,795 Raychem Corp 70,105 78,756
5,036 Raytheon Co 327,297 407,287
3,315 Reebok International Ltd 98,056 117,683
2,137 Republic New York Corp 125,130 120,206
2,593 Reynolds Metals Co 124,877 154,932
3,433 Rite Aid Corp 67,786 96,124
1,603 Roadway Services Inc 93,079 88,165
8,836 Rockwell International Corp 325,942 395,411
2,788 Rohm & Haas Co 153,931 166,583
3,320 Rowan Co Inc+ 28,384 26,975
</TABLE>
55
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
22,030 Royal Dutch Petroleum Co $ 2,357,183 $ 2,627,078
6,567 Rubbermaid Inc 212,579 195,368
1,586 Russell Corp 45,343 43,615
2,198 Ryan's Family Steak House+ 17,596 16,485
3,161 Ryder System Inc 78,172 76,654
2,569 SAFECO Corp 149,102 166,022
2,320 Safety-Kleen Corp 36,184 31,320
4,288 Salomon Inc 189,041 164,552
3,571 Santa Fe Energy Resources Inc+ 34,823 33,925
6,139 Santa Fe Pacific Corp 110,960 174,194
5,343 Santa Fe Pacific Gold Corp 76,224 64,784
19,536 Sara Lee Corp 503,479 542,124
24,947 SBC Communication Inc 1,072,239 1,262,942
18,201 SCEcorp 364,029 302,592
15,534 Schering-Plough Corp 527,979 724,273
9,897 Schlumberger Ltd 605,816 638,357
3,070 Scientific-Atlanta Inc 57,463 61,400
6,116 Scott Paper Co 157,919 283,630
15,180 Seagram Co Ltd 438,117 561,660
15,862 Sears Roebuck & Co 446,660 513,532
3,895 Service Corp International 102,848 136,325
949 Shared Medical System Corp 25,548 34,994
5,314 Shawmut National Corp 124,407 172,041
3,543 Sherwin Williams Co 120,887 127,105
1,688 Shoney's Inc+ 30,692 19,623
2,081 Sigma Aldrich Corp 77,330 99,888
6,489 Silicon Graphics Inc+ 221,934 274,160
1,773 Snap-On Inc 68,191 72,693
3,537 Sonat Inc 112,544 112,300
27,276 Southern Co 583,502 576,206
5,776 Southwest Airlines Co 145,529 149,454
709 Springs Industries Inc Class A 25,883 30,576
14,293 Sprint Corp 485,181 507,402
1,897 St Jude Medical Inc+ 64,223 113,109
3,482 St Paul Co Inc 158,902 188,899
</TABLE>
56
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
1,850 Stanley Works $ 76,188 $ 81,863
3,669 Stone Container Corp+ 52,493 79,801
2,010 Stride Rite Corp 28,716 22,613
3,094 Sun Co Inc 90,443 82,378
3,909 Sun Microsystems Inc+ 109,235 226,233
4,839 SunTrust Banks Inc 227,612 296,994
2,902 Super Value Inc 92,712 85,972
7,473 Sysco Corp 205,537 214,849
4,677 Tandem Computers Inc+ 60,368 57,293
3,005 Tandy Corp 123,452 186,686
1,249 Tektronix Inc 36,426 56,986
26,737 Tele-Communication Inc Class A+ 484,531 494,635
2,276 Teledyne Inc 53,874 54,391
3,584 Tellabs Inc+ 171,989 167,552
2,263 Temple-Inland Inc 100,848 117,110
8,197 Tenet Healthcare Corp+ 112,493 130,127
7,677 Tenneco Inc 380,533 372,335
10,638 Texaco Inc 692,746 688,811
7,696 Texas Instruments Inc 296,035 576,238
9,267 Texas Utilities Co 377,787 322,028
3,569 Textron Inc 199,118 244,477
824 Thomas & Betts Corp 52,540 55,620
15,550 Time Warner Inc 618,654 655,044
5,126 Times Mirror Co Class A 110,730 156,984
1,266 Timken Co 42,561 57,128
2,952 TJX Companies Inc 70,430 36,900
2,914 Torchmark Corp 139,930 116,560
11,501 Toys R Us Inc+ 396,403 299,026
2,887 Transamerica Corp 164,378 196,316
13,110 Travelers Inc 528,881 629,280
2,688 Tribune Co 146,909 180,096
1,163 Trinova Corp 34,620 42,740
2,615 TRW Inc 174,766 203,643
3,140 Tyco International Inc 152,942 185,653
3,976 U.S. Bancorp 102,011 113,813
</TABLE>
57
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
6,552 U.S. Healthcare Inc $ 296,202 $ 209,664
951 U.S. Life Corp 37,139 41,012
19,276 U.S. West Inc 851,392 838,506
8,746 Unicom Corp 242,316 245,981
6,545 Unilever NV 741,204 809,126
2,850 Union Camp Corp 132,158 162,094
6,111 Union Carbide Corp 145,909 216,941
4,156 Union Electric Co 165,260 148,058
8,441 Union Pacific Corp 500,970 552,886
6,978 Unisys Corp+ 74,477 55,824
7,097 United Healthcare Corp 327,917 299,848
2,271 United States Surgical 51,194 57,627
5,117 United Technologies Corp 315,461 426,630
9,910 Unocal Corp 283,802 288,629
3,014 UNUM Corp 158,409 144,672
7,095 Upjohn Co 218,776 300,651
2,461 USAir Group Inc+ 26,527 19,996
4,507 USF & G Corp 68,301 81,689
8,230 UST Inc 231,333 224,268
12,104 USX - Marathon Group 223,069 249,645
3,330 USX - US Steel Group 115,397 109,058
1,728 Varity Corp+ 67,190 78,624
2,627 VF Corp 121,839 143,828
14,789 Viacom Inc Class B+ 603,504 719,115
6,978 Wachovia Corp 256,665 277,376
94,304 Wal Mart Stores Inc 2,371,527 2,322,236
10,122 Walgreen Co 211,605 247,989
5,493 Warner Lambert Co 395,295 496,430
2,176 Wells Fargo & Co 296,573 405,552
4,139 Wendy's International Inc 65,289 81,228
2,114 Western Atlas Inc+ 84,819 95,923
14,528 Westinghouse Electric Corp 207,069 197,944
2,764 Westvaco Corp 99,950 121,962
8,431 Weyerhaeuser Co 344,223 387,826
3,076 Whirlpool Corp 181,851 167,642
</TABLE>
58
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
4,252 Whitman Corp $ 68,335 $ 85,040
2,258 Willamette Industries Inc 154,592 155,238
4,154 Williams Co Inc 126,405 152,140
3,075 Winn-Dixie Stores Inc 172,956 182,963
19,794 WMX Technologies Inc 557,193 581,449
5,336 Woolworth Corp 113,480 71,369
3,673 Worthington Industries Inc 72,715 73,460
4,768 Wrigley (Wm) Jr Co 212,312 215,104
4,407 Xerox Corp 402,527 532,145
1,092 Yellow Corp 23,599 15,425
1,782 Zenith Electronic Corp+ 15,611 15,147
528 Zurn Industries Inc 13,253 11,550
------------ ------------
TOTAL COMMON STOCKS $142,811,635 $169,747,960
</TABLE>
59
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 20.22%
$ 3,300,000 U.S. Treasury Bonds 6.25 % 08/15/23 $ 3,093,750
2,250,000 U.S. Treasury Bonds 7.13 02/15/23 2,351,950
6,200,000 U.S. Treasury Bonds 7.25 05/15/16 6,535,178
1,900,000 U.S. Treasury Bonds 7.25 08/15/22 2,009,843
2,050,000 U.S. Treasury Bonds 7.50 11/15/24 2,247,313
1,750,000 U.S. Treasury Bonds 7.63 11/15/22 1,937,031
2,700,000 U.S. Treasury Bonds 7.63 02/15/25 3,011,340
2,500,000 U.S. Treasury Bonds 7.88 02/15/21 2,822,653
5,600,000 U.S. Treasury Bonds 8.00 11/15/21 6,424,242
3,100,000 U.S. Treasury Bonds 8.13 08/15/19 3,582,438
3,450,000 U.S. Treasury Bonds 8.13 05/15/21 4,000,917
1,500,000 U.S. Treasury Bonds 8.13 08/15/21 1,742,813
2,300,000 U.S. Treasury Bonds 8.50 02/15/20 2,762,875
5,200,000 U.S. Treasury Bonds 8.75 05/15/17 6,353,750
6,300,000 U.S. Treasury Bonds 8.75 08/15/20 7,764,750
3,400,000 U.S. Treasury Bonds 8.88 02/15/19 4,221,307
1,500,000 U.S. Treasury Bonds 9.00 11/15/18 1,884,375
1,700,000 U.S. Treasury Bonds 9.13 05/15/18 2,155,813
1,800,000 U.S. Treasury Bonds 9.25 02/15/16 2,292,750
1,500,000 U.S. Treasury Bonds 9.88 11/15/15 2,012,342
------------
TOTAL U.S. TREASURY SECURITIES $ 69,207,430
(Cost $61,940,998)
</TABLE>
60
<PAGE>
MASTER INVESTMENT PORTFOLIO -- ASSET ALLOCATION MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 30.02%
$ 1,157,000 U.S. Treasury Bills 5.20 % 09/28/95 $ 1,152,308
876,000 U.S. Treasury Bills 5.34 09/07/95 875,125
24,463,000 U.S. Treasury Bills 5.37 10/05/95 24,338,764
1,661,000 U.S. Treasury Bills 5.38 10/12/95 1,650,877
2,470,000 U.S. Treasury Bills 5.39 10/19/95 2,452,439
3,950,000 U.S. Treasury Bills 5.40 11/02/95 3,913,940
1,570,000 U.S. Treasury Bills 5.41 11/09/95 1,554,050
6,559,000 U.S. Treasury Bills 5.41 11/16/95 6,485,467
60,612,000 U.S. Treasury Bills 5.42 11/24/95 59,863,805
455,000 U.S. Treasury Bills 5.54 09/21/95 453,629
------------
TOTAL SHORT-TERM INSTRUMENTS $102,740,404
(Cost $102,736,329)
TOTAL INVESTMENTS IN SECURITIES
(Cost $307,488,962)* 99.84% $341,695,794
(Notes 1 and 3)
Other Assets and Liabilities, Net 0.16 561,195
------ ------------
TOTAL NET ASSETS 100.00% $342,256,989
------ ------------
------ ------------
- -------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 37,399,052
Gross Unrealized Depreciation (3,192,220)
-------------
NET UNREALIZED APPRECIATION $ 34,206,832
-------------
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
61
<PAGE>
MASTER INVESTMENT PORTFOLIO -- BOND INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 23.80%
BANK & FINANCE - 5.78%
$ 500,000 American Express Co 8.63 % 05/15/22 $ 538,997
500,000 BankAmerica Corp 7.20 04/15/06 504,375
750,000 Chrysler Financial Corp 5.38 10/15/98 727,175
1,500,000 CIT Group Holdings 6.63 06/15/05 1,468,437
1,000,000 Commercial Credit Corp 8.70 06/15/10 1,170,053
500,000 First Union Corp 6.63 07/15/05 486,215
500,000 General Electric Capital Corp 8.75 05/21/07 577,319
500,000 International Lease Finance 7.90 10/01/96 508,484
500,000 Lehman Brothers Inc 9.88 10/15/00 553,790
500,000 NationsBank Corp 6.88 02/15/05 493,124
------------
$ 7,027,969
INDUSTRIALS - 8.78%
$ 500,000 Anheuser Busch Co 8.75 % 12/01/99 $ 543,549
500,000 Archer-Daniels-Midland Co 8.38 04/15/17 555,400
500,000 Caterpillar Inc 8.00 02/15/23 523,199
500,000 Dow Chemical Co 8.63 04/01/06 565,555
500,000 DuPont (El) De Nemours 6.00 12/01/01 483,165
1,000,000 Eastman Chemicals Co 6.38 01/15/04 967,022
500,000 Ford Capital BV 9.00 08/15/98 533,477
500,000 Ford Motor Co 8.88 04/01/06 569,219
750,000 Ford Motor Credit Corp 7.75 10/01/99 780,989
750,000 General Motors Corp 8.13 04/15/16 754,955
500,000 Hertz Corp 6.38 10/15/05 478,494
500,000 Hertz Corp 6.50 04/01/00 494,733
500,000 International Business Machines 6.38 06/15/00 497,558
500,000 Kmart Corp 12.50 03/01/05 660,099
500,000 PepsiCo Inc 7.00 11/15/96 504,701
500,000 Philip Morris Co 7.13 10/01/04 499,575
500,000 Seagram (J) & Sons 9.75 06/15/00 514,988
750,000 Weyerhaeuser Co 7.50 03/01/13 766,308
------------
$ 10,692,986
</TABLE>
62
<PAGE>
MASTER INVESTMENT PORTFOLIO -- BOND INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
INTERNATIONAL AGENCIES - 0.38%
$ 500,000 International Bank of Reconstruction &
Development 5.25 % 09/16/03 $ 466,358
TELECOMMUNICATIONS - 1.37%
$ 750,000 GTE North Inc 6.00 % 01/15/04 $ 714,229
500,000 New York Telephone Co 5.88 09/01/03 468,990
500,000 Southwestern Bell Telephone Co 6.75 06/01/08 486,348
------------
$ 1,669,567
UTILITIES - 3.65%
$ 500,000 Alabama Power Co 8.50 % 05/01/22 $ 516,543
500,000 Hydro-Quebec 8.50 12/01/29 539,055
500,000 Pennsylvania Power & Light Co 7.75 05/01/02 519,571
750,000 Philadelphia Electric Co 8.75 04/01/22 802,142
500,000 Public Service Electric & Gas Co 6.13 08/01/02 480,443
500,000 Public Service Electric & Gas Co 8.75 11/01/21 525,440
500,000 Victoria (Province of) Public Authority 8.45 10/01/01 544,829
500,000 Virginia Electric & Power Co 7.38 07/01/02 518,024
------------
$ 4,446,047
YANKEE BONDS - 3.84%
$ 500,000 African Development Bank 7.75 % 12/15/01 $ 528,029
500,000 Finland (Republic of) 7.88 07/28/04 538,492
500,000 Hanson Overseas BV 7.38 01/15/03 511,728
500,000 Italy (Republic of) 6.00 09/27/03 468,988
500,000 Matsushita Electric Industry Co 7.25 08/01/02 515,511
750,000 Ontario (Province of) 7.63 06/22/04 788,804
500,000 Quebec (Province of) 11.00 06/15/15 587,355
750,000 Sweden (Kingdom of) 6.50 03/04/03 739,107
------------
$ 4,678,014
TOTAL CORPORATE BONDS & NOTES $ 28,980,941
(Cost $27,706,349)
</TABLE>
63
<PAGE>
MASTER INVESTMENT PORTFOLIO -- BOND INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES - 8.87%
FEDERAL AGENCY - OTHER - 4.11%
$ 800,000 Federal Home Loan Mortgage Corp 7.13 % 07/21/99 $ 825,986
300,000 Resolution Funding Corp 8.88 04/15/30 379,549
500,000 Resolution Funding Corp 9.38 10/15/20 647,374
500,000 Tennessee Valley Authority 4.60 12/15/96 489,935
1,000,000 Tennessee Valley Authority 6.13 07/15/03 960,496
200,000 Tennessee Valley Authority 7.75 12/15/22 200,189
100,000 Tennessee Valley Authority 8.25 04/15/42 108,138
1,000,000 Tennessee Valley Authority 8.38 10/01/99 1,072,657
300,000 Tennessee Valley Authority 8.63 11/15/29 321,032
------------
$ 5,005,356
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.76%
$ 300,000 Federal National Mortgage Assoc 5.25 % 05/13/98 $ 292,332
400,000 Federal National Mortgage Assoc 5.30 12/10/98 388,172
500,000 Federal National Mortgage Assoc 6.30 12/11/97 500,568
1,000,000 Federal National Mortgage Assoc 6.95 09/10/02 1,000,519
500,000 Federal National Mortgage Assoc 7.55 04/22/02 528,446
200,000 Federal National Mortgage Assoc 7.55 06/10/04 204,424
1,000,000 Federal National Mortgage Assoc 7.60 01/10/97 1,021,245
500,000 Federal National Mortgage Assoc 7.90 04/10/02 511,545
1,000,000 Federal National Mortgage Assoc 8.25 12/18/00 1,092,160
1,000,000 Federal National Mortgage Assoc 8.54 (F) 07/15/14 261,349
------------
$ 5,800,760
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 10,806,116
(Cost $10,373,181)
</TABLE>
64
<PAGE>
MASTER INVESTMENT PORTFOLIO -- BOND INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 65.83%
U.S. TREASURY BONDS - 18.90%
$ 1,800,000 U.S. Treasury Bonds 6.25 % 05/31/00 $ 1,812,375
1,000,000 U.S. Treasury Bonds 7.25 08/15/22 1,057,812
2,000,000 U.S. Treasury Bonds 7.50 11/15/16 2,162,500
1,500,000 U.S. Treasury Bonds 7.63 11/15/22 1,660,313
400,000 U.S. Treasury Bonds 7.63 02/15/25 446,124
2,000,000 U.S. Treasury Bonds 7.88 02/15/21 2,258,122
1,450,000 U.S. Treasury Bonds 8.13 08/15/19 1,675,656
2,100,000 U.S. Treasury Bonds 8.13 08/15/21 2,439,938
375,000 U.S. Treasury Bonds 8.75 11/15/08 428,672
1,900,000 U.S. Treasury Bonds 8.75 08/15/20 2,341,750
500,000 U.S. Treasury Bonds 9.13 05/15/09 586,406
250,000 U.S. Treasury Bonds 10.63 08/15/15 356,015
1,290,000 U.S. Treasury Bonds 11.13 08/15/03 1,673,775
2,600,000 U.S. Treasury Bonds 12.00 08/15/13 3,800,875
190,000 U.S. Treasury Bonds 13.88 05/15/11 296,400
------------
$ 22,996,733
U.S. TREASURY NOTES - 46.93%
$ 1,000,000 U.S. Treasury Notes 4.38 % 08/15/96 $ 988,125
2,000,000 U.S. Treasury Notes 4.75 09/30/98 1,932,500
2,500,000 U.S. Treasury Notes 4.75 10/31/98 2,410,938
500,000 U.S. Treasury Notes 5.00 01/31/99 484,375
3,500,000 U.S. Treasury Notes 5.50 07/31/97 3,479,214
300,000 U.S. Treasury Notes 5.75 08/15/03 289,781
2,000,000 U.S. Treasury Notes 5.88 02/15/04 1,942,500
3,000,000 U.S. Treasury Notes 6.00 12/31/97 3,008,433
1,000,000 U.S. Treasury Notes 6.00 10/15/99 999,061
1,600,000 U.S. Treasury Notes 6.25 08/31/96 1,607,498
1,400,000 U.S. Treasury Notes 6.25 02/15/03 1,398,250
2,600,000 U.S. Treasury Notes 6.38 06/30/97 2,626,000
2,950,000 U.S. Treasury Notes 6.38 01/15/99 2,984,105
2,300,000 U.S. Treasury Notes 6.38 08/15/02 2,320,125
1,700,000 U.S. Treasury Notes 6.50 09/30/96 1,713,813
</TABLE>
65
<PAGE>
MASTER INVESTMENT PORTFOLIO -- BOND INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
$ 1,000,000 U.S. Treasury Notes 6.50 % 08/15/97 $ 1,011,875
1,000,000 U.S. Treasury Notes 6.50 05/15/05 1,012,811
3,700,000 U.S. Treasury Notes 6.75 02/28/97 3,752,026
2,800,000 U.S. Treasury Notes 6.88 10/31/96 2,835,000
600,000 U.S. Treasury Notes 6.88 02/28/97 609,187
1,200,000 U.S. Treasury Notes 6.88 08/31/99 1,233,750
400,000 U.S. Treasury Notes 7.13 09/30/99 415,125
2,500,000 U.S. Treasury Notes 7.13 02/29/00 2,601,563
1,600,000 U.S. Treasury Notes 7.25 11/15/96 1,627,498
600,000 U.S. Treasury Notes 7.25 02/15/98 618,000
800,000 U.S. Treasury Notes 7.25 08/15/04 848,500
1,300,000 U.S. Treasury Notes 7.38 11/15/97 1,339,404
1,800,000 U.S. Treasury Notes 7.50 11/15/01 1,921,500
500,000 U.S. Treasury Notes 7.50 02/15/05 540,313
1,400,000 U.S. Treasury Notes 7.75 11/30/99 1,486,625
900,000 U.S. Treasury Notes 8.75 08/15/00 1,000,967
2,200,000 U.S. Treasury Notes 9.00 05/15/98 2,365,684
3,400,000 U.S. Treasury Notes 9.13 05/15/99 3,743,182
------------
$ 57,147,728
TOTAL U.S. TREASURY SECURITIES $ 80,144,461
(Cost $78,368,403)
SHORT-TERM INSTRUMENTS - 0.73%
U.S. TREASURY BILLS - 0.73%
$ 198,000 U.S. Treasury Bills 5.38 %(F) 10/12/95 $ 196,793
196,000 U.S. Treasury Bills 5.41 (F) 11/09/95 194,009
205,000 U.S. Treasury Bills 5.41 (F) 11/16/95 202,702
298,000 U.S. Treasury Bills 5.42 (F) 11/24/95 294,307
------------
TOTAL SHORT-TERM INSTRUMENTS $ 887,811
(Cost $887,738)
</TABLE>
66
<PAGE>
MASTER INVESTMENT PORTFOLIO -- BOND INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $117,335,671)* 99.23% $120,819,329
(Notes 1 and 3)
Other Assets and Liabilities, Net 0.77 940,688
------ ------------
TOTAL NET ASSETS 100.00% $121,760,017
------ ------------
------ ------------
- -------------------------------------------------------------------------------------------------------
</TABLE>
(F) YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 4,025,279
Gross Unrealized Depreciation (541,621)
-------------
NET UNREALIZED APPRECIATION $ 3,483,658
-------------
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
67
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 84.14%
AUTOMOBILE & RELATED - 0.30%
11,900 Wabash National Corp $ 400,613 $ 434,350
BASIC INDUSTRIES - 1.13%
28,500 Minerals Technologies Inc $ 906,587 $ 1,033,125
20,000 N-Viro International Corp+ 27,500 17,500
15,000 OM Group Inc 382,875 450,000
70,000 Quadrax Corp+ 257,751 126,875
------------ ------------
$ 1,574,713 $ 1,627,500
BIOTECHNOLOGY - 0.50%
6,500 Cell Genesys Inc+ $ 33,513 $ 43,875
10,000 Immunex Corp+ 163,125 155,000
15,000 Lifecore Biomedical Inc+ 131,375 191,250
22,000 Liposome Co Inc 234,532 327,250
------------ ------------
$ 562,545 $ 717,375
BUILDING MATERIALS & SERVICES - 0.65%
40,000 J Ray McDermott SA+ $ 835,592 $ 940,000
COMPUTER SOFTWARE - 13.48%
57,000 Acclaim Entertainment Inc+ $ 1,379,842 $ 1,439,250
13,500 ArcSys Inc+ 327,750 540,000
5,000 BDM International Inc 92,500 125,625
18,716 First Data Corp 1,257,311 1,092,547
4,000 Harbinger Corp+ 48,000 58,000
10,000 HCIA Inc+ 285,000 280,000
48,200 IKOS Systems Inc+ 420,450 548,275
55,000 Imnet Systems Inc+ 856,125 1,017,500
16,000 Mercury Interactive Corp+ 380,000 362,000
37,700 Metatec Corp Class A+ 362,088 523,088
11,000 Microsoft Corp+ 666,750 1,017,500
44,500 NETCOM On-Line Communication Services Inc+ 1,100,531 1,663,188
</TABLE>
68
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
30,000 Open Environment Corp+ $ 587,500 $ 570,000
40,000 Oracle Systems Corp+ 1,364,938 1,605,000
75,000 Rational Software Corp+ 921,875 1,153,125
112,500 Sanctuary Woods Multimedia+ 651,623 745,313
16,500 Seventh Level Inc+ 82,500 292,875
10,000 Sierra On-Line Inc+ 197,500 390,000
18,000 Summit Medical System Inc+ 170,625 279,000
25,000 Syncronys Softcorp+ 337,500 656,250
29,000 Synopsys Inc+ 1,373,689 1,682,000
85,000 Veritas Software Corp+ 1,695,415 2,167,500
57,500 Viasoft Inc+ 648,987 603,750
20,000 VideoServer Inc+ 781,950 702,500
------------ ------------
$ 15,990,449 $ 19,514,286
COMPUTER SYSTEMS - 9.17%
20,000 3Com Corp+ $ 750,516 $ 780,000
70,000 Adaptec Inc+ 1,667,397 2,975,000
59,500 Cisco Systems Inc+ 1,706,625 3,904,688
48,000 Komag Inc+ 1,327,875 2,988,000
20,000 Quantum Corp+ 522,876 480,000
60,000 Solectron Corp+ 1,466,178 2,130,000
------------ ------------
$ 7,441,467 $ 13,257,688
ELECTRICAL EQUIPMENT - 3.91%
6,500 Belden Inc $ 156,332 $ 180,375
9,500 Computational Systems Inc+ 128,125 147,250
3,000 Innovex Inc 66,803 69,375
57,000 Integrated Device Technology Inc+ 2,111,188 3,284,625
75,000 Interlink Electronics Inc+ 375,000 759,375
35,000 Power (R F) Products Inc 233,780 266,875
30,000 Uniphase Corp+ 532,500 948,750
------------ ------------
$ 3,603,728 $ 5,656,625
</TABLE>
69
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONIC SEMICONDUCTORS - 4.73%
5,500 Clare (C P) Corp+ $ 88,000 $ 132,000
105,000 Genus Inc+ 1,469,111 1,443,750
34,000 Intel Corp 1,245,375 2,086,750
40,000 Lattice Semiconductor Corp+ 1,246,710 1,315,000
20,000 Microsemi Corp+ 251,250 255,000
32,000 OnTrak Systems Inc+ 881,554 860,000
30,000 Semtech Corp+ 516,250 750,000
------------ ------------
$ 5,698,250 $ 6,842,500
ENERGY & RELATED - 3.25%
30,000 Anadarko Petroleum Corp $ 1,395,765 $ 1,432,500
35,000 Ensco International Inc+ 582,801 630,000
50,000 Global Marine Inc+ 246,750 337,500
35,000 KCS Energy 714,087 507,500
20,000 Sonat Offshore Drilling Co 657,600 685,000
20,000 Tosco Corp 723,139 642,500
22,500 Trigen Energy Corp 395,548 469,688
------------ ------------
$ 4,715,690 $ 4,704,688
ENTERTAINMENT - 5.49%
44,500 Anchor Gaming+ $ 757,390 $ 1,168,125
72,000 Children's Discovery Centers of America Inc+ 1,075,166 972,000
48,000 Circus Circus Entertainment Inc+ 1,625,881 1,572,000
35,000 Mirage Resorts Inc+ 751,190 1,203,125
44,000 Regal Cinemas Inc+ 1,060,178 1,496,000
80,800 Sports Club Inc+ 622,853 368,650
60,000 Station Casino Inc+ 997,110 1,162,500
------------ ------------
$ 6,889,768 $ 7,942,400
</TABLE>
70
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
ENVIRONMENTAL CONTROL - 2.53%
100,000 Molten Metal Technology Inc+ $ 1,944,916 $ 2,225,000
45,000 Sanifill Inc+ 1,248,096 1,434,375
------------ ------------
$ 3,193,012 $ 3,659,375
FINANCE & RELATED - 3.62%
35,000 Cole Taylor Financial Group Inc $ 723,235 $ 805,000
45,000 Countrywide Credit Industries Inc 895,700 990,000
129,500 Envoy (New) Corp+ 633,367 1,359,750
9,000 FelCor Suite Hotels Inc 226,000 247,500
2,500 First Financial Management Corp+ 179,833 225,313
20,000 NHP Inc+ 252,500 260,000
25,000 Student Loan Marketing Assoc 947,210 1,353,125
------------ ------------
$ 3,857,845 $ 5,240,688
FOOD & RELATED - 2.74%
40,000 Coca-Cola Femsa SA ADR $ 1,013,683 $ 925,000
29,000 General Nutrition Co Inc+ 764,250 1,210,750
20,000 Heinz (H J) Co 864,076 847,500
80,000 Whole Foods Market Inc+ 1,210,630 975,000
------------ ------------
$ 3,852,639 $ 3,958,250
GENERAL BUSINESS & RELATED - 0.85%
20,000 Action Performance Co Inc+ $ 281,250 $ 322,500
30,000 La Quinta Inns Inc 863,948 900,000
------------ ------------
$ 1,145,198 $ 1,222,500
HEALTHCARE - 9.59%
10,000 American Oncology Resources Inc+ $ 210,000 $ 377,500
52,500 Coram Healthcare+ 911,861 255,938
75,000 Genesis Health Ventures Inc+ 1,905,675 2,371,875
115,000 Healthsouth Corp+ 2,241,055 2,716,875
</TABLE>
71
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
57,500 Mid Atlantic Medical Services+ $ 1,164,770 $ 1,070,938
65,000 Physician Corp of America+ 1,082,640 1,040,000
60,000 Renal Treatment Centers+ 1,178,875 1,950,000
65,000 Value Health Inc+ 2,409,123 2,250,625
49,000 Vencor Inc+ 1,532,047 1,451,625
120,000 Work Recovery Inc+ 452,036 382,500
------------ ------------
$ 13,088,082 $ 13,867,876
HOSPITAL & MEDICAL SUPPLIES - 2.88%
50,000 Angeion Corp+ $ 118,750 $ 387,500
80,000 Bioject Medical Technologies+ 306,665 170,000
65,000 Endosonics Corp+ 578,190 739,375
63,500 Heart Technology Inc+ 1,424,381 1,730,375
50,000 Sola International Inc+ 997,890 1,143,750
------------ ------------
$ 3,425,876 $ 4,171,000
MANUFACTURING PROCESSING - 2.15%
80,000 Lydall Inc+ $ 1,246,357 $ 1,910,000
54,500 Pall Corp 1,260,075 1,192,188
------------ ------------
$ 2,506,432 $ 3,102,188
PHARMACEUTICALS - 1.69%
25,000 Astra AB ADR Class A+ $ 834,375 $ 828,750
20,000 Genzyme Corp - General Division+ 850,000 1,117,500
75,000 Seragen Inc+ 514,332 496,875
------------ ------------
$ 2,198,707 $ 2,443,125
PUBLISHING & MEDIA - 0.28%
10,000 Edmark Corp+ $ 377,500 $ 400,000
</TABLE>
72
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
RETAIL STORES - 2.22%
45,000 Barnes & Noble+ $ 1,279,194 $ 1,760,625
15,000 Claire's Stores Inc 277,334 324,375
32,000 Pacific Sunwear of California+ 442,375 208,000
30,000 PetSmart Inc+ 812,230 911,250
------------ ------------
$ 2,811,133 $ 3,204,250
TELECOMMUNICATIONS - 10.56%
55,000 California Microwave Inc+ $ 1,634,563 $ 1,443,750
45,000 DSC Communications Corp+ 1,846,563 2,362,500
46,000 DSP Communications Inc+ 610,290 1,173,000
60,000 Geotek Communications Inc+ 524,695 468,750
45,000 Harmonic Lightwaves Inc+ 827,657 680,625
60,000 LCI International Inc+ 1,285,963 2,392,500
38,000 Natural Microsystems Corp+ 849,551 940,500
50,000 Nokia Corp ADR Class A 1,829,750 3,468,750
46,500 Paging Network Inc+ 1,320,007 1,836,750
15,000 WorldCom Inc+ 453,750 505,313
------------ ------------
$ 11,182,789 $ 15,272,438
TRANSPORTATION - 2.42%
30,000 Atlantic Coast Airlines Inc+ $ 167,813 $ 228,750
30,000 Greenbrier Companies Inc 475,638 390,000
77,500 Landair Services Inc+ 1,403,448 1,065,625
70,000 Southwest Airlines Co 1,769,155 1,811,250
------------ ------------
$ 3,816,054 $ 3,495,625
TOTAL COMMON STOCKS $ 99,168,082 $121,674,727
</TABLE>
73
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
PREFERRED STOCKS - 0.73%
TELECOMMUNICATIONS - 0.73%
20,000 LCI International Inc Convertible $ 500,000 $ 1,052,500
MUTUAL FUNDS - 0.38%
CLOSED-END MUTUAL FUNDS - 0.38%
15,000 Emerging Markets Infrastructure Fund $ 151,875 $ 148,125
25,000 Morgan Stanley India Investment Fund 345,910 259,375
15,000 The India Fund Inc 213,750 146,250
------------ ------------
TOTAL MUTUAL FUNDS $ 711,535 $ 553,750
WARRANTS - 3.21%
50,000 Angeion Corp Expires 03/12/1996 $ 0 $ 81,250
115,000 Intel Corp Expires 03/14/1998 830,719 3,838,125
5,000 Interlink Electronics Inc Expires 06/07/1996 0 16,875
100,000 Viacom Inc Class E Expires 07/07/1999 729,738 700,000
------------ ------------
TOTAL WARRANTS $ 1,560,457 $ 4,636,250
</TABLE>
74
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 1.94%
CONVERTIBLE CORPORATE BONDS - 1.94%
$ 600,000 Careline Inc 8.00 % 05/01/01 $ 591,000
500,000 First Financial Management 5.00 12/15/99 699,375
595,000 LDDS Communications Inc 5.00 08/15/03 627,725
227,200 Oryx Energy Co 7.50 05/15/14 193,688
500,000 Scholastic Co 5.00 08/15/05 505,000
150,000 Vencor Inc 6.00 10/01/02 186,370
------------
TOTAL CORPORATE BONDS & NOTES $ 2,803,158
(Cost $2,531,064)
SHORT-TERM INSTRUMENTS - 9.97%
U.S. TREASURY BILLS - 7.59%
$ 8,000,000 U.S. Treasury Bills 5.34 %(F) 09/07/95 $ 7,991,834
3,000,000 U.S. Treasury Bills 5.54 (F) 09/21/95 2,990,532
------------
$ 10,982,366
REPURCHASE AGREEMENTS - 2.38%
$ 3,440,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.80 % 09/03/95 $ 3,440,000
------------
TOTAL SHORT-TERM INSTRUMENTS $ 14,422,366
(Cost $14,423,673)
</TABLE>
75
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- GROWTH STOCK MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $118,894,811)* 100.37% $145,142,751
(Notes 1 and 3)
Other Assets and Liabilities, Net (0.37) (533,996)
------ ------------
TOTAL NET ASSETS 100.00% $144,608,755
------ ------------
------ ------------
- -------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
(F) YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 31,735,022
Gross Unrealized Depreciation (5,487,082)
-------------
NET UNREALIZED APPRECIATION $ 26,247,940
-------------
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
76
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 90.26%
123,275 Abbott Laboratories $ 3,750,611 $ 4,776,906
15,936 Advanced Micro Devices+ 444,054 537,840
17,441 Aetna Life & Casualty Co 963,253 1,190,348
18,018 Ahmanson (H F) & Co 345,688 427,928
17,219 Air Products & Chemicals Inc 774,672 923,369
76,301 Airtouch Communications+ 1,920,374 2,479,783
4,247 Alberto-Culver Co Class B 102,160 121,040
39,228 Albertson's Inc 1,111,058 1,250,393
34,671 Alcan Aluminium Ltd 836,618 1,131,141
8,465 Alco Standard Corp 501,748 681,433
6,823 Alexander & Alexander Services 138,495 157,782
9,914 Allergan Inc 244,896 301,138
43,924 Allied Signal Inc 1,594,028 1,949,128
69,224 Allstate Corp 1,824,130 2,344,963
29,145 Alltel Corp 878,125 823,346
27,536 Aluminum Co of America 1,090,426 1,572,994
12,641 ALZA Corp+ 292,978 300,224
18,161 Amdahl Corp+ 135,639 165,719
14,348 Amerada Hess Corp 707,685 679,737
29,179 American Brands Inc 996,812 1,225,518
28,689 American Electric Power Inc 931,019 979,012
76,608 American Express Corp 2,212,971 3,093,048
31,606 American General Corp 936,637 1,114,112
11,502 American Greetings Corp Class A 333,169 353,687
47,630 American Home Products Corp 2,990,772 3,667,510
73,236 American International Group Inc 4,575,045 5,904,653
22,914 American Stores Co 575,193 673,099
85,429 Ameritech Corp 3,471,900 4,378,236
40,896 Amgen Inc+ 1,014,479 1,957,896
76,666 Amoco Corp 4,529,885 4,887,458
32,404 AMP Inc 1,122,895 1,316,413
11,780 AMR Corp+ 728,981 830,490
5,926 Andrew Corp+ 171,343 345,190
39,601 Anheuser-Busch Inc 2,058,702 2,262,207
18,676 Apple Computer Inc 643,125 803,068
</TABLE>
77
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
13,010 Applied Materials Inc+ $ 741,823 $ 1,353,040
83,657 Archer-Daniels-Midland Co 1,273,775 1,390,792
16,345 Armco Inc+ 102,835 102,156
5,736 Armstrong World Industries Inc 262,729 329,103
6,525 ASARCO Inc 175,262 211,247
9,581 Ashland Inc 331,928 313,778
244,401 AT & T Corp 13,343,572 13,808,657
24,863 Atlantic Richfield Corp 2,670,591 2,713,175
7,373 Autodesk Inc 221,620 340,080
22,232 Automatic Data Processing 1,221,821 1,445,080
8,187 Avery Dennison Corp 257,417 335,667
10,571 Avon Products Inc 630,513 746,577
21,764 Baker Hughes Inc 466,202 489,690
4,665 Ball Corp 135,830 158,610
7,204 Bally Entertainment Corp+ 57,957 87,349
22,768 Baltimore Gas & Electric Co 533,701 597,660
60,975 Banc One Corp 2,069,497 2,050,284
17,197 Bank of Boston Corp 481,411 756,668
29,538 Bank of New York Inc 1,016,092 1,284,903
57,771 BankAmerica Corp 2,706,184 3,264,062
12,137 Bankers Trust N Y Corp 830,658 835,936
8,078 Bard (C R) Inc 203,838 250,418
14,969 Barnett Banks Inc 684,383 855,104
54,542 Barrick Gold Corp 1,394,570 1,384,003
2,197 Bassett Furniture Industries 62,447 54,376
9,032 Bausch & Lomb Inc 374,738 359,022
43,142 Baxter International Inc 1,193,821 1,682,538
10,391 Becton Dickenson & Co 452,311 585,793
67,407 Bell Atlantic Corp 3,736,652 4,027,568
76,631 BellSouth Corp 4,555,350 5,268,381
7,898 Bemis Co Inc 189,108 229,042
8,140 Beneficial Corp 315,241 399,878
16,968 Bethlehem Steel Corp+ 316,206 248,157
15,095 Beverly Enterprises+ 194,856 200,009
17,879 Biomet Inc+ 200,094 288,299
</TABLE>
78
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
13,116 Black & Decker Corp $ 288,187 $ 424,631
16,139 Block (H & R) Inc 646,950 629,421
19,418 Boatmen's Bancshares Inc 617,126 718,466
52,752 Boeing Co 2,474,146 3,362,940
7,269 Boise Cascade Corp 191,310 311,658
23,173 Boston Scientific Corp+ 517,612 921,127
4,581 Briggs & Stratton Corp 154,471 173,505
78,331 Bristol-Myers Squibb Co 4,487,536 5,375,465
2,813 Brown Group Inc 94,722 51,337
10,611 Brown-Forman Corp Class B 312,842 392,607
32,852 Browning-Ferris Industries Inc 1,010,172 1,104,649
339 Bruno's Inc 4,030 3,475
14,749 Brunswick Corp 298,974 296,824
13,838 Burlington Northern Inc 766,184 958,282
19,578 Burlington Resources Inc 821,172 800,251
11,069 Cabletron Systems Inc+ 587,819 585,273
38,529 Campbell Soup Co 1,522,945 1,762,702
23,789 Capital Cities/ABC Inc 1,788,728 2,735,735
24,191 Carolina Power & Light Co 661,436 740,849
30,901 Caterpillar Inc 1,621,244 2,074,230
10,014 CBS Inc 625,450 798,617
4,367 Centex Corp 124,156 127,735
29,555 Central & South West Corp 741,093 724,098
7,069 Ceridian Corp+ 177,063 309,269
14,419 Champion International Corp 521,663 816,476
15,789 Charming Shoppes Inc 151,874 82,892
27,390 Chase Manhattan Corp 1,041,497 1,574,925
37,238 Chemical Banking Corp Class A 1,490,773 2,169,114
100,731 Chevron Corp 4,493,675 4,872,862
56,975 Chrysler Corp 2,725,607 3,069,528
13,480 Chubb Corp 1,077,715 1,230,050
11,181 CIGNA Corp 771,353 1,081,762
5,182 Cincinnati Milacron Inc 120,894 171,654
23,996 Cinergy Corp 557,310 614,898
14,942 Circuit City Stores Inc 370,019 515,499
</TABLE>
79
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
41,451 Cisco Systems Inc+ $ 1,324,910 $ 2,720,222
61,401 Citicorp 2,576,213 4,075,491
8,192 Clorox Co 434,201 553,984
16,195 Coastal Corp 468,106 530,386
195,825 Coca-Cola Co 9,077,114 12,581,756
22,349 Colgate-Palmolive Co 1,308,213 1,519,732
7,760 Columbia Gas System Inc+ 217,815 273,540
68,457 Columbia HCA Healthcare Corp 2,782,100 3,217,479
37,022 Comcast Corp Class A 680,979 791,345
6,693 Community Psychiatric Centers+ 83,592 78,643
40,426 Compaq Computer Corp+ 1,338,915 1,930,342
24,765 Computer Associates International Inc 1,076,356 1,721,168
8,473 Computer Sciences Corp+ 358,912 510,498
37,877 ConAgra Inc 1,128,609 1,434,591
12,141 Conrail Inc 674,714 816,482
36,289 Consolidated Edison Co 1,067,584 1,025,164
6,661 Consolidated Freightways 153,370 172,353
14,415 Consolidated Natural Gas Co 589,056 556,779
17,098 Cooper Industries Inc 680,197 649,724
12,951 Cooper Tire & Rubber Co 322,059 336,726
5,879 Coors (Adolph) Co Class B 106,864 99,943
22,309 CoreStates Financial Corp 631,331 825,433
35,413 Corning Inc 1,159,962 1,155,349
22,579 CPC International Inc 1,124,549 1,419,655
4,699 Crane Co 133,785 169,164
3,872 Cray Research Inc+ 87,962 90,024
13,887 Crown Cork & Seal Co+ 540,682 624,925
16,284 CSX Corp 1,239,285 1,343,430
26,726 CUC International Inc+ 709,937 912,025
6,270 Cummins Engine Co Inc 272,852 246,098
14,238 Cyprus Amax Minerals 404,653 398,664
15,610 Dana Corp 428,908 466,349
24,365 Darden Restaurants Inc+ 250,719 249,741
5,684 Data General Corp+ 48,046 55,419
11,113 Dayton-Hudson Corp 837,888 812,638
</TABLE>
80
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
26,081 Dean Witter Discover & Co $ 1,025,940 $ 1,330,131
13,377 Deere & Co 983,720 1,143,734
7,838 Delta Air Lines Inc 409,526 582,951
12,746 Deluxe Corp 386,256 398,313
22,319 Detroit Edison Co 633,753 683,519
14,295 Dial Corp 311,487 343,080
22,682 Digital Equipment Corp+ 692,850 946,974
17,417 Dillard Department Stores Inc Class A 550,480 537,750
80,418 Disney (Walt) Co 3,577,609 4,513,460
26,680 Dominion Resources Inc 1,043,883 963,815
23,471 Donnelley (R R) & Sons Co 703,953 891,898
8,722 Dover Corp 505,407 695,580
42,528 Dow Chemical Co 2,816,213 3,147,072
14,970 Dow Jones & Co Inc 492,538 548,276
28,114 Dresser Industries Inc 614,414 674,736
17,649 DSC Communications Corp+ 497,668 926,573
31,642 Duke Power Co 1,216,415 1,285,456
26,150 Dun & Bradstreet Corp 1,498,267 1,513,431
85,408 DuPont (E I) de Nemours 5,156,230 5,583,548
3,067 Eastern Enterprises 77,991 93,927
12,875 Eastman Chemical Co 638,246 832,047
52,605 Eastman Kodak Co 2,541,631 3,031,363
11,982 Eaton Corp 631,120 648,526
9,226 Echlin Inc 284,163 318,297
17,401 Echo Bay Mines Ltd 196,833 180,535
9,960 Ecolab Inc 218,567 272,655
8,169 EG & G Inc 133,264 155,211
36,099 Emerson Electric Co 2,209,882 2,576,566
21,977 Engelhard Corp 408,790 620,850
38,901 Enron Corp 1,265,552 1,308,046
10,291 Enserch Corp 160,615 168,515
35,191 Entergy Corp 992,624 844,584
191,889 Exxon Corp 12,024,680 13,192,369
8,679 Federal Express Corp+ 577,008 622,718
27,892 Federal Home Loan Mortgage Corp 1,632,581 1,792,061
</TABLE>
81
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
42,103 Federal National Mortgage Assoc $ 3,527,083 $ 4,015,574
7,048 Federal Paper Board Co 189,644 279,277
13,956 First Chicago Corp 692,893 884,462
18,517 First Data Corp 942,130 1,080,930
12,503 First Fidelity Bancorp 599,480 817,384
11,714 First Interstate Bancorp 904,038 1,118,687
3,108 First Mississippi Corp 56,010 102,953
26,589 First Union Corp 1,213,160 1,332,774
21,764 Fleet Financial Group Inc 782,718 805,268
7,047 Fleetwood Enterprises Inc 147,484 138,297
5,813 Fleming Co Inc 161,522 169,304
12,737 Fluor Corp 633,625 745,115
5,663 FMC Corp+ 310,899 436,051
158,643 Ford Motor Co 4,584,258 4,858,442
5,494 Foster Wheeler Corp 196,274 202,591
28,636 FPL Group Inc 979,118 1,113,225
31,765 Freeport McMoRan Copper & Gold Inc Class B 863,013 742,507
11,721 Fruit of the Loom Inc Class A+ 311,376 275,444
21,616 Gannett Co Inc 1,109,135 1,156,456
22,254 Gap Inc 839,199 714,910
9,767 General Dynamics Corp 416,083 513,988
261,623 General Electric Co 13,090,754 15,403,054
24,377 General Mills Inc 1,169,602 1,258,463
115,408 General Motors Corp 5,648,714 5,424,176
17,805 General Public Utilities 531,923 509,668
12,694 General Re Corp 1,490,526 1,886,646
7,325 General Signal Corp 250,209 260,038
18,965 Genuine Parts Co 689,006 746,747
13,954 Georgia-Pacific Corp 940,425 1,255,860
9,098 Giant Food Inc Class A 208,238 283,175
5,271 Giddings & Lewis Inc 99,976 86,313
68,486 Gillette Co 2,344,338 2,859,291
9,024 Golden West Financial 364,204 430,896
4,044 Goodrich (B F) Co 184,335 240,618
</TABLE>
82
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
23,446 Goodyear Tire & Rubber Co $ 901,122 $ 937,840
14,593 Grace (W R) & Co 636,840 972,259
7,872 Grainger (W W) Inc 487,675 468,384
5,878 Great Atlantic & Pacific Tea Co 148,138 166,788
10,269 Great Lakes Chemical Corp 625,285 679,038
20,831 Great Western Financial Corp 382,466 486,925
149,790 GTE Corp 4,909,416 5,486,059
17,638 Halliburton Co 620,889 747,410
5,182 Handleman Co 56,566 49,229
11,242 Harcourt General Inc 407,721 467,948
4,667 Harland (John H) Co 107,270 103,257
7,061 Harnischfeger Industries Inc 178,008 259,492
15,876 Harrah's Entertainment Inc+ 398,089 506,048
6,007 Harris Corp 268,489 346,153
13,587 Hasbro Inc 440,209 439,879
37,581 Heinz (H J) Co 1,343,115 1,592,495
3,857 Helmerich & Payne Inc 110,661 110,407
18,032 Hercules Inc 669,781 1,003,030
12,075 Hershey Foods Corp 562,908 722,991
78,796 Hewlett Packard Co 3,605,951 6,303,680
7,470 Hilton Hotels Corp 433,736 496,755
73,536 Home Depot Inc 3,185,018 2,932,248
21,276 Homestake Mining Co 400,133 351,054
19,693 Honeywell Inc 681,271 861,569
14,969 Household International Inc 557,770 840,135
20,322 Houston Industries Inc 767,084 861,145
17,652 Illinois Tool Works Inc 746,897 1,081,185
18,079 Inco Ltd 472,893 632,765
16,354 Ingersoll-Rand Co 586,680 619,408
7,499 Inland Steel Industries Inc 244,773 205,285
127,906 Intel Corp 4,469,651 7,850,231
7,021 Intergraph Corp+ 68,521 86,885
89,645 International Business Machines Corp 5,870,513 9,267,052
17,213 International Flavors & Fragrances 718,544 824,072
19,618 International Paper Co 1,391,619 1,606,224
</TABLE>
83
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
12,130 Interpublic Group Cos Inc $ 388,508 $ 471,554
16,331 ITT Corp 1,447,942 1,953,596
12,654 James River Corp 242,733 439,727
7,526 Jefferson-Pilot Corp 384,983 473,197
99,670 Johnson & Johnson 4,781,971 6,877,230
6,303 Johnson Controls Inc 323,691 383,695
7,018 Jostens Inc 126,628 168,432
70,525 K Mart Corp 1,193,251 960,903
4,974 Kaufman & Broad Home Corp 78,827 66,527
33,910 Kellogg Co 1,899,524 2,288,925
7,964 Kerr-McGee Corp 388,838 438,020
36,726 KeyCorp 1,145,360 1,138,506
24,726 Kimberly-Clark Corp 1,333,287 1,579,373
5,689 King World Productions+ 219,210 216,182
7,719 Knight-Ridder Inc 417,242 434,194
17,165 Kroger Co+ 405,030 560,008
42,701 Laidlaw Inc Class B 379,271 384,309
45,134 Lilly (Eli) & Co 2,615,003 3,695,346
55,084 Limited Inc 1,068,843 1,019,054
14,653 Lincoln National Corp 593,165 630,079
11,563 Liz Claiborne Inc 266,623 263,058
30,871 Lockheed Martin Corp 1,432,331 1,879,272
9,057 Loews Corp 1,012,337 1,189,863
3,229 Longs Drug Stores Corp 111,026 119,473
13,095 Loral Corp 493,789 716,951
5,161 Louisiana Land & Exploration Co 213,646 197,408
16,655 Louisiana-Pacific Corp 523,315 395,556
24,650 Lowe's Co Inc 793,046 819,613
3,674 Luby's Cafeterias Inc 82,769 73,021
11,845 Mallinckrodt Group Inc 380,339 445,668
9,663 Manor Care Inc 251,919 312,840
18,952 Marriott International 536,618 672,796
11,280 Marsh & McLennan Companies Inc 943,863 929,190
24,216 Masco Corp 672,827 678,048
34,103 Mattel Inc 729,373 988,987
</TABLE>
84
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
38,371 May Co Department Stores Co $ 1,510,275 $ 1,625,971
16,607 Maytag Corp 288,566 257,409
22,968 MBNA Corp 575,013 815,364
8,319 McDermott International Inc 210,052 189,257
107,169 McDonald's Corp 3,195,603 3,911,669
17,636 McDonnell Douglas Corp 773,153 1,415,289
7,707 McGraw-Hill Inc 526,892 606,926
104,965 MCI Communications 2,474,004 2,525,720
8,711 Mead Corp 406,001 534,638
17,844 Medtronic Inc 837,646 1,684,028
22,656 Mellon Bank Corp 866,973 1,073,328
16,238 Melville Corp 633,121 541,943
5,713 Mercantile Stores Co Inc 213,023 262,084
191,005 Merck & Co Inc 6,634,323 9,526,374
4,245 Meredith Corp 93,900 166,616
27,160 Merrill Lynch & Co Inc 1,097,293 1,565,095
31,745 Micron Technology Inc 758,036 2,440,397
89,751 Microsoft Corp+ 5,360,502 8,301,968
7,012 Millipore Corp 178,231 244,544
64,847 Minnesota Mining & Manufacturing Co 3,443,957 3,542,267
61,142 Mobil Corp 5,093,144 5,823,776
17,653 Monsanto Co 1,336,267 1,674,828
15,370 Moore Corp Ltd 282,951 320,849
28,936 Morgan (J P) & Co Inc 1,888,159 2,108,711
5,084 Morrison Knudsen Corp 95,423 39,401
22,878 Morton International Inc 642,361 743,535
90,872 Motorola Inc 4,693,843 6,792,682
1,348 NACCO Industries Inc Class A 71,686 77,510
10,442 Nalco Chemical Co 347,784 365,470
22,645 National City Corp 633,697 673,689
19,166 National Semiconductor+ 370,374 541,440
7,446 National Service Industries Inc 197,894 215,934
41,926 NationsBank 2,178,258 2,573,208
11,577 Navistar International Corp+ 198,332 150,501
24,705 NBD Bancorp Inc 778,501 883,204
</TABLE>
85
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
14,993 New York Times Co Class A $ 368,782 $ 372,951
24,402 Newell Co 523,600 610,050
13,355 Newmont Mining Corp 558,851 580,943
22,222 Niagara Mohawk Power Corp 381,914 266,664
7,858 NICOR Inc 206,968 201,361
11,157 Nike Inc Class B 696,859 1,033,417
19,055 NorAm Energy Corp 129,945 135,767
12,734 Nordstrom Inc 508,909 525,278
20,349 Norfolk Southern Corp 1,318,590 1,439,692
10,438 Northern States Power Co 449,544 444,920
39,111 Northern Telecom Ltd 1,215,873 1,437,329
7,670 Northrop Grumman Corp 320,532 466,911
50,004 Norwest Corp 1,316,662 1,506,371
56,506 Novell Inc+ 1,072,437 1,017,108
13,505 Nucor Corp 803,252 661,745
65,767 NYNEX Corp 2,632,983 2,959,515
48,982 Occidental Petroleum Corp 982,762 1,065,359
7,542 Ogden Corp 170,557 175,352
23,519 Ohio Edison Co 474,703 508,598
4,152 ONEOK Inc 81,566 90,825
66,636 Oracle Systems Corp+ 1,726,607 2,673,770
15,936 Oryx Energy Co+ 255,038 215,136
3,068 Outboard Marine Corp 62,287 65,579
7,820 Owens Corning Fiberglass+ 278,616 306,935
5,962 PACCAR Inc 292,690 295,119
12,632 Pacific Enterprises 278,775 303,168
66,462 Pacific Gas & Electric Co 1,813,866 1,910,783
65,486 Pacific Telesis Group 1,981,455 1,858,165
43,914 PacifiCorp 791,255 795,941
17,917 Pall Corp 313,439 391,934
23,046 Panhandle Eastern Corp 506,007 576,150
11,395 Parker Hannifin Corp 325,497 451,527
34,203 PECO Energy Co 948,881 910,655
35,868 Penney (J C) Co Inc 1,778,365 1,623,027
7,150 Pennzoil Co 374,397 314,600
</TABLE>
86
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
5,392 Peoples Energy Corp $ 147,510 $ 146,932
9,522 Pep Boys-Manny Moe & Jack 280,774 261,855
121,626 Pepsico Inc 4,376,518 5,503,577
6,437 Perkin-Elmer Corp 200,332 219,663
97,540 Pfizer Inc 3,367,452 4,816,038
10,793 Phelps Dodge Corp 603,471 684,006
130,466 Philip Morris Co Inc 7,283,707 9,736,025
40,422 Phillips Petroleum Co 1,307,844 1,328,873
13,108 Pioneer Hi Bred International Inc 467,188 563,644
23,334 Pitney Bowes Inc 893,813 947,944
6,406 Pittston Services Group 162,278 162,552
36,853 Placer Dome Inc 821,564 962,785
35,330 PNC Bank Corp 1,004,700 927,413
6,959 Polaroid Corp 239,660 303,586
4,548 Potlatch Corp 184,329 180,215
31,853 PPG Industries Inc 1,214,360 1,361,716
21,329 Praxair Inc 437,775 554,554
9,453 Premark International Inc 368,001 495,101
30,032 Price/Costco Inc+ 480,368 506,790
106,171 Procter & Gamble Co 6,140,576 7,365,613
14,859 Providian Corp 497,010 570,214
37,812 Public Services Enterprise Group 1,079,674 1,039,830
4,146 Pulte Corp 108,375 111,942
20,614 Quaker Oats Co 730,280 716,337
15,533 Ralston-Purina Group 612,973 807,716
6,737 Raychem Corp 252,120 295,586
19,027 Raytheon Co 1,260,170 1,538,809
12,348 Reebok International Ltd 397,329 438,354
8,056 Republic New York Corp 470,412 453,150
9,689 Reynolds Metals Co 485,015 578,918
12,984 Rite Aid Corp 273,919 363,552
6,031 Roadway Services Inc 364,508 331,705
33,488 Rockwell International Corp 1,254,735 1,498,588
10,500 Rohm & Haas Co 618,851 627,375
13,011 Rowan Co Inc+ 105,717 105,714
</TABLE>
87
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
82,824 Royal Dutch Petroleum Co $ 8,959,408 $ 9,876,762
24,798 Rubbermaid Inc 696,179 737,741
6,070 Russell Corp 177,177 166,925
8,151 Ryan's Family Steak House+ 60,994 61,133
12,200 Ryder System Inc 306,783 295,850
9,737 SAFECO Corp 548,935 629,254
8,901 Safety-Kleen Corp 144,699 120,164
16,378 Salomon Inc 718,149 628,506
13,930 Santa Fe Energy Resources Inc+ 130,217 132,335
23,435 Santa Fe Pacific Corp 420,860 664,968
20,288 Santa Fe Pacific Gold Corp 306,618 245,992
74,067 Sara Lee Corp 1,746,062 2,055,359
93,916 SBC Communication Inc 3,982,383 4,754,498
68,993 SCEcorp 1,141,392 1,147,009
57,480 Schering-Plough Corp 1,955,536 2,680,005
37,446 Schlumberger Ltd 2,251,079 2,415,267
11,805 Scientific-Atlanta Inc 216,377 236,100
23,417 Scott Paper Co 661,930 1,085,963
57,558 Seagram Co Ltd 1,719,238 2,129,646
59,945 Sears Roebuck & Co 1,600,562 1,940,719
14,875 Service Corp International 391,969 520,625
3,581 Shared Medical System Corp 99,358 132,049
19,857 Shawmut National Corp 470,726 642,870
13,186 Sherwin Williams Co 432,300 473,048
6,360 Shoney's Inc+ 101,254 73,935
7,683 Sigma Aldrich Corp 293,371 368,784
24,506 Silicon Graphics Inc+ 847,951 1,035,379
6,297 Snap-On Inc 233,907 258,177
13,352 Sonat Inc 417,401 423,926
102,708 Southern Co 2,068,549 2,169,707
22,195 Southwest Airlines Co 595,540 574,296
3,123 Springs Industries Inc Class A 109,292 134,679
53,842 Sprint Corp 1,877,289 1,911,391
7,190 St Jude Medical Inc+ 256,919 428,704
13,062 St Paul Co Inc 555,386 708,614
</TABLE>
88
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
6,838 Stanley Works $ 273,072 $ 302,582
14,752 Stone Container Corp+ 233,158 320,856
7,677 Stride Rite Corp 102,077 86,366
11,644 Sun Co Inc 332,754 310,022
14,764 Sun Microsystems Inc+ 424,937 854,467
17,754 SunTrust Banks Inc 873,301 1,089,652
10,773 Super Value Inc 326,554 319,150
28,163 Sysco Corp 712,428 809,686
17,931 Tandem Computers Inc+ 237,150 219,655
11,385 Tandy Corp 461,097 707,293
5,059 Tektronix Inc 168,411 230,817
100,797 Tele-Communication Inc Class A+ 1,689,575 1,864,745
8,528 Teledyne Inc 165,720 203,798
13,552 Tellabs Inc+ 648,260 633,556
8,664 Temple-Inland Inc 412,074 448,362
30,806 Tenet Healthcare Corp+ 462,308 489,045
27,982 Tenneco Inc 1,334,624 1,357,127
40,079 Texaco Inc 2,552,408 2,595,115
28,832 Texas Instruments Inc 1,233,467 2,158,796
34,844 Texas Utilities Co 1,250,080 1,210,829
13,137 Textron Inc 721,363 899,885
3,077 Thomas & Betts Corp 198,592 207,698
58,646 Time Warner Inc 2,205,815 2,470,463
17,285 Times Mirror Co Class A 380,632 529,353
4,775 Timken Co 167,071 215,472
11,208 TJX Companies Inc 247,036 140,100
11,054 Torchmark Corp 467,495 442,160
42,828 Toys R Us Inc+ 1,455,454 1,113,528
10,666 Transamerica Corp 571,915 725,288
49,407 Travelers Inc 1,804,891 2,371,536
10,149 Tribune Co 565,419 679,983
4,446 Trinova Corp 152,149 163,391
10,006 TRW Inc 678,982 779,217
11,747 Tyco International Inc 570,699 694,541
15,136 U.S. Bancorp 391,295 433,268
</TABLE>
89
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
24,712 U.S. Healthcare Inc $ 1,010,879 $ 790,784
3,591 U.S. Life Corp 133,251 154,862
72,750 U.S. West Inc 3,050,630 3,164,625
33,116 Unicom Corp 829,816 931,388
24,749 Unilever NV 2,745,497 3,059,595
10,850 Union Camp Corp 511,425 617,094
21,151 Union Carbide Corp 583,128 750,861
15,816 Union Electric Co 567,604 563,445
31,684 Union Pacific Corp 1,823,704 2,075,302
26,398 Unisys Corp+ 276,072 211,184
26,705 United Healthcare Corp 1,221,762 1,128,286
8,823 United States Surgical 203,350 223,884
19,023 United Technologies Corp 1,237,175 1,586,043
37,730 Unocal Corp 1,076,668 1,098,886
11,183 UNUM Corp 549,483 536,784
26,722 Upjohn Co 835,394 1,132,345
9,528 USAir Group Inc+ 87,002 77,415
17,105 USF & G Corp 251,755 310,028
30,184 UST Inc 838,679 822,514
45,888 USX - Marathon Group 812,895 946,440
12,592 USX - US Steel Group 446,346 412,388
6,428 Varity Corp+ 242,903 292,474
9,817 VF Corp 482,786 537,481
55,560 Viacom Inc Class B+ 2,232,861 2,701,605
26,489 Wachovia Corp 924,712 1,052,938
354,915 Wal Mart Stores Inc 8,887,407 8,739,782
37,960 Walgreen Co 779,045 930,020
20,802 Warner Lambert Co 1,479,637 1,879,981
7,568 Wells Fargo & Co 1,133,974 1,410,486
15,723 Wendy's International Inc 252,496 308,564
8,192 Western Atlas Inc+ 356,239 371,712
55,177 Westinghouse Electric Corp 744,211 751,787
10,442 Westvaco Corp 367,966 460,753
31,805 Weyerhaeuser Co 1,342,571 1,463,030
11,395 Whirlpool Corp 627,993 621,028
</TABLE>
90
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
16,178 Whitman Corp $ 260,336 $ 323,560
8,479 Willamette Industries Inc 580,516 582,931
15,691 Williams Co Inc 468,072 574,683
11,748 Winn-Dixie Stores Inc 596,955 699,006
74,693 WMX Technologies Inc 2,129,915 2,194,107
20,433 Woolworth Corp 374,614 273,291
14,028 Worthington Industries Inc 280,311 280,560
17,958 Wrigley (Wm) Jr Co 803,959 810,355
16,532 Xerox Corp 1,642,245 1,996,239
4,332 Yellow Corp 82,219 61,190
7,252 Zenith Electronic Corp+ 66,196 61,642
1,920 Zurn Industries Inc 44,187 42,000
------------ ------------
TOTAL COMMON STOCKS $536,013,067 $638,613,538
</TABLE>
91
<PAGE>
MASTER INVESTMENT PORTFOLIO -- S&P 500 INDEX MASTER SERIES -- AUGUST 31, 1995
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 9.95%
$ 471,000 U.S. Treasury Bills* 5.20 % 09/28/95 $ 469,090
2,348,000 U.S. Treasury Bills* 5.38 10/12/95 2,333,691
19,152,000 U.S. Treasury Bills* 5.39 10/19/95 19,015,831
16,991,000 U.S. Treasury Bills* 5.40 11/02/95 16,835,889
2,149,000 U.S. Treasury Bills* 5.41 11/09/95 2,127,168
26,969,000 U.S. Treasury Bills* 5.41 11/16/95 26,666,651
2,367,000 U.S. Treasury Bills* 5.42 11/24/95 2,337,746
626,000 U.S. Treasury Bills* 5.54 09/21/95 624,114
------------
TOTAL SHORT-TERM INSTRUMENTS $ 70,410,180
(Cost $70,399,099)
TOTAL INVESTMENTS IN SECURITIES
(Cost $606,412,166)** (Notes 1 and 3) 100.21% $709,023,718
Other Assets and Liabilities, Net (0.21) (1,507,025)
------ ------------
TOTAL NET ASSETS 100.00% $707,516,693
------ ------------
------ ------------
- -------------------------------------------------------------------------------------------------------
</TABLE>
+ NON-INCOME EARNING SECURITIES.
* THESE U.S. TREASURY BILLS ARE PLEDGED AS COLLATERAL FOR SECURITY CONTRACTS.
SEE NOTE 1.
** COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 111,360,315
Gross Unrealized Depreciation (8,748,763)
-------------
NET UNREALIZED APPRECIATION $ 102,611,552
-------------
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
92
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- SHORT-INTERMEDIATE TERM MASTER
SERIES -- AUGUST 31, 1995 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 27.48%
CORPORATE NOTES - 23.14%
$ 500,000 Associates Corp of North America 7.80 % 03/13/00 $ 524,725
250,000 BankAmerica Corp 8.38 03/15/02 269,870
500,000 Comdisco Inc 7.25 04/15/98 509,330
250,000 First Union Bank 6.75 11/15/98 251,530
250,000 Ford Holdings 9.25 07/15/97 262,723
250,000 NBD Bancorp Inc 6.55 06/02/97 252,138
500,000 Norwest Financial Inc 7.88 02/15/02 531,390
198,000 Sears Roebuck & Co 9.25 08/01/97 208,292
------------
$ 2,809,998
YANKEE BONDS - 4.34%
$ 500,000 Westpac Banking (Australia) 7.88 % 10/15/02 $ 527,495
------------
TOTAL CORPORATE BONDS & NOTES $ 3,337,493
(Cost $3,289,502)
U.S. GOVERNMENT AGENCY SECURITIES - 15.43%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 15.43%
$ 900,784 Federal National Mortgage Assoc 7.00 % 06/01/09 $ 902,188
967,960 Federal National Mortgage Assoc 7.50 05/01/25 970,980
------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 1,873,168
(Cost $1,830,983)
U.S. TREASURY SECURITIES - 51.83%
U.S. TREASURY BONDS - 21.68%
$ 2,000,000 U.S. Treasury Bonds 10.75 % 08/15/05 $ 2,632,180
</TABLE>
93
<PAGE>
MANAGED SERIES INVESTMENT TRUST -- SHORT-INTERMEDIATE TERM MASTER
SERIES -- AUGUST 31, 1995 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
U.S. TREASURY NOTES - 30.15%
$ 3,500,000 U.S. Treasury Notes 8.50 % 07/15/97 $ 3,661,315
------------
TOTAL U.S. TREASURY SECURITIES $ 6,293,495
(Cost $6,075,974)
SHORT-TERM INSTRUMENTS - 4.84%
REPURCHASE AGREEMENTS - 4.84%
$ 588,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.80 09/03/95 $ 588,000
(Cost $588,000)
TOTAL INVESTMENTS IN SECURITIES
(Cost $11,784,459)* (Notes 1 and 3) 99.58% $ 12,092,156
Other Assets and Liabilities, Net 0.42 50,861
------ ------------
TOTAL NET ASSETS 100.00% $ 12,143,017
------ ------------
------ ------------
- -------------------------------------------------------------------------------------------------------
</TABLE>
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 338,072
Gross Unrealized Depreciation (30,375)
-------------
NET UNREALIZED APPRECIATION $ 307,697
-------------
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
94
<PAGE>
MASTER INVESTMENT PORTFOLIO -- U.S. TREASURY ALLOCATION MASTER SERIES -- AUGUST
31, 1995 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 39.56%
U.S. TREASURY BONDS - 19.37%
$ 1,000,000 U.S. Treasury Bonds 7.13 % 02/15/23 $ 1,045,311
1,000,000 U.S. Treasury Bonds 7.25 05/15/16 1,054,061
500,000 U.S. Treasury Bonds 7.50 11/15/24 548,125
600,000 U.S. Treasury Bonds 7.63 11/15/22 664,125
3,100,000 U.S. Treasury Bonds 7.88 02/15/21 3,500,089
100,000 U.S. Treasury Bonds 8.00 08/15/01 101,906
800,000 U.S. Treasury Bonds 8.13 08/15/19 924,500
1,000,000 U.S. Treasury Bonds 8.13 08/15/21 1,161,875
800,000 U.S. Treasury Bonds 8.75 05/15/17 977,500
1,000,000 U.S. Treasury Bonds 9.00 11/15/18 1,256,250
700,000 U.S. Treasury Bonds 9.88 11/15/15 939,093
------------
$ 12,172,835
U.S. TREASURY NOTES - 20.19%
$ 2,900,000 U.S. Treasury Notes 7.50 % 11/15/01 $ 3,095,750
800,000 U.S. Treasury Notes 7.50 05/15/02 857,500
1,800,000 U.S. Treasury Notes 7.75 02/15/01 1,934,435
1,500,000 U.S. Treasury Notes 7.88 08/15/01 1,626,563
1,400,000 U.S. Treasury Notes 8.00 05/15/01 1,524,250
3,300,000 U.S. Treasury Notes 8.50 11/15/00 3,648,563
------------
$ 12,687,061
TOTAL U.S. TREASURY SECURITIES $ 24,859,896
(Cost $24,511,593)
</TABLE>
95
<PAGE>
MASTER INVESTMENT PORTFOLIO -- U.S. TREASURY ALLOCATION MASTER SERIES -- AUGUST
31, 1995 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 50.48%
U.S. TREASURY BILLS - 50.48%
$ 685,000 U.S. Treasury Bills 5.37 % 10/05/95 $ 681,521
61,000 U.S. Treasury Bills 5.38 10/12/95 60,628
422,000 U.S. Treasury Bills 5.39 10/19/95 419,000
5,921,000 U.S. Treasury Bills 5.40 11/02/95 5,866,947
632,000 U.S. Treasury Bills 5.41 11/09/95 625,580
12,344,000 U.S. Treasury Bills 5.41 11/16/95 12,205,611
91,000 U.S. Treasury Bills 5.42 11/24/95 89,877
11,803,000 U.S. Treasury Bills 5.54 09/21/95 11,767,431
------------
TOTAL SHORT-TERM INSTRUMENTS $ 31,716,595
(Cost $31,714,959)
TOTAL INVESTMENTS IN SECURITIES
(Cost $56,226,553)* 90.04% $ 56,576,491
(Notes 1 and 3)
Other Assets and Liabilities, Net 9.96 6,256,727
------ ------------
TOTAL NET ASSETS 100.00% $ 62,833,218
------ ------------
------ ------------
- -------------------------------------------------------------------------------------------------------
</TABLE>
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL STATEMENT
PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 350,353
Gross Unrealized Depreciation (415)
-------------
NET UNREALIZED APPRECIATION $ 349,938
-------------
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
96
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
AUGUST 31, 1995
<TABLE>
<CAPTION>
MASTER MASTER
INVESTMENT INVESTMENT MANAGED SERIES
PORTFOLIO PORTFOLIO INVESTMENT TRUST
ASSET ALLOCATION BOND INDEX GROWTH STOCK
MASTER SERIES MASTER SERIES MASTER SERIES
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market
value (see cost below)
(Note 1) $341,695,794 $120,819,329 $145,142,751
Cash 759,535 3,976 1,609
Receivables:
Dividends and interest 1,283,224 1,683,355 44,745
Investment securities sold 0 0 0
Variation margin on
futures contracts 0 0 0
Prepaid expenses 0 0 1,715
Organizational costs (Note
2) 0 0 8,615
TOTAL ASSETS 343,738,553 122,506,660 145,199,435
LIABILITIES
PAYABLES:
Investment securities
purchased 0 0 318,928
Allocation to beneficial
interest holders 1,280,805 707,858 33,449
Due to sponsor and
distributor 0 0 8,615
Due to WFB (Note 2) 200,759 22,602 225,482
Other 0 16,183 4,206
TOTAL LIABILITIES 1,481,564 746,643 590,680
TOTAL NET ASSETS $342,256,989 $121,760,017 $144,608,755
INVESTMENTS AT COST $307,488,962 $117,335,671 $118,894,811
- ----------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
97
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
MASTER
MANAGED SERIES INVESTMENT
MASTER INVESTMENT TRUST PORTFOLIO
INVESTMENT SHORT- U.S.
PORTFOLIO INTERMEDIATE TREASURY
S&P 500 INDEX TERM ALLOCATION
MASTER SERIES MASTER SERIES MASTER SERIES
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
ASSETS
INVESTMENTS:
In securities, at market
value (see cost below)
(Note 1) $709,023,718 $12,092,156 $56,576,491
Cash 27,981 1,390 1,130
Receivables:
Dividends and interest 1,753,979 122,510 481,198
Investment securities sold 0 0 11,753,406
Variation margin on
futures contracts 216,525 0 0
Prepaid expenses 0 0 0
Organizational costs (Note
2) 0 8,615 0
TOTAL ASSETS 711,022,203 12,224,671 68,812,225
LIABILITIES
PAYABLES:
Investment securities
purchased 400,289 0 5,637,219
Allocation to beneficial
interest holders 3,009,501 72,058 310,023
Due to sponsor and
distributor 0 8,615 0
Due to WFB (Note 2) 82,269 0 31,765
Other 13,451 981 0
TOTAL LIABILITIES 3,505,510 81,654 5,979,007
TOTAL NET ASSETS $707,516,693 $12,143,017 $62,833,218
INVESTMENTS AT COST $606,412,166 $11,784,459 $56,226,553
- ----------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
98
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED AUGUST 31, 1995
<TABLE>
<CAPTION>
MASTER MASTER
INVESTMENT INVESTMENT MANAGED SERIES
PORTFOLIO PORTFOLIO INVESTMENT TRUST
ASSET ALLOCATION BOND INDEX GROWTH STOCK
MASTER SERIES MASTER SERIES MASTER SERIES
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 2,031,277 $ 0 $ 166,342
Interest 5,641,150 4,140,373 314,028
TOTAL INVESTMENT INCOME 7,672,427 4,140,373 480,370
EXPENSES (NOTE 2)
Advisory fees 565,631 53,526 353,864
Legal and audit 0 10,083 10,889
Directors fees 0 3,277 736
TOTAL EXPENSES 565,631 66,886 365,489
Less:
Waived fees by WFB (Note
2) 0 (7,652) (10,890)
NET EXPENSES 565,631 59,234 354,599
NET INVESTMENT INCOME 7,106,796 4,081,139 125,771
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss)
on sale of investments (1,616,609) (180,711) 12,646,130
Net realized gain (loss)
on sale of futures
contracts 0 0 0
Net change in unrealized
appreciation of
investments 34,586,900 4,731,944 20,874,380
Net change in unrealized
appreciation of futures
contracts 0 0 0
NET GAIN ON INVESTMENTS 32,970,291 4,551,233 33,520,510
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $40,077,087 $8,632,372 $33,646,281
- ----------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
99
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED AUGUST 31, 1995
<TABLE>
<CAPTION>
MASTER
MANAGED SERIES INVESTMENT
MASTER INVESTMENT TRUST PORTFOLIO
INVESTMENT SHORT- U.S.
PORTFOLIO INTERMEDIATE TREASURY
S&P 500 INDEX TERM ALLOCATION
MASTER SERIES MASTER SERIES MASTER SERIES
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 7,142,129 $ 0 $ 0
Interest 1,364,006 482,096 2,017,329
TOTAL INVESTMENT INCOME 8,506,135 482,096 2,017,329
EXPENSES (NOTE 2)
Advisory fees 148,062 28,386 90,916
Legal and audit 10,939 10,889 0
Directors fees 3,291 125 0
TOTAL EXPENSES 162,292 39,400 90,916
Less:
Waived fees by WFB (Note
2) (14,230) (11,015) 0
NET EXPENSES 148,062 28,385 90,916
NET INVESTMENT INCOME 8,358,073 453,711 1,926,413
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss)
on sale of investments 1,112,985 13,758 1,225,869
Net realized gain (loss)
on sale of futures
contracts 5,024,364 0 0
Net change in unrealized
appreciation of
investments 74,002,262 300,619 795,344
Net change in unrealized
appreciation of futures
contracts 323,700 0 0
NET GAIN ON INVESTMENTS 80,463,311 314,377 2,021,213
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $88,821,384 $768,088 $3,947,626
- ----------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
100
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MASTER INVESTMENT PORTFOLIO ASSET
ALLOCATION MASTER SERIES
----------------------------------
(UNAUDITED) FOR THE
FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995
<S> <C> <C>
- ----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 7,106,796 $ 9,844,287
Net realized gain (loss)
on sale of investments (1,616,609) 292,999
Net realized gain on sale
of futures contracts 0 0
Net change in unrealized
appreciation
(depreciation) of
investments 34,586,900 (380,068)
Net change in unrealized
appreciation of futures
contracts 0 0
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 40,077,087 9,757,218
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
BENEFICIAL INTERESTS
TRANSACTIONS 8,435,809 283,986,875
INCREASE (DECREASE) IN NET
ASSETS 48,512,896 293,744,093
NET ASSETS:
Beginning net assets 293,744,093 0
ENDING NET ASSETS $342,256,989 $293,744,093
- ----------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
101
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MASTER INVESTMENT PORTFOLIO BOND
INDEX MASTER SERIES
----------------------------------
(UNAUDITED) FOR THE
FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995
<S> <C> <C>
- ----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 4,081,139 $ 4,037,719
Net realized gain (loss)
on sale of investments (180,711) (498,410)
Net realized gain on sale
of futures contracts 0 0
Net change in unrealized
appreciation
(depreciation) of
investments 4,731,944 (1,248,285)
Net change in unrealized
appreciation of futures
contracts 0 0
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 8,632,372 2,291,024
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
BENEFICIAL INTERESTS
TRANSACTIONS 5,119,165 105,717,456
INCREASE (DECREASE) IN NET
ASSETS 13,751,537 108,008,480
NET ASSETS:
Beginning net assets 108,008,480 0
ENDING NET ASSETS $121,760,017 $108,008,480
- ----------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
102
<PAGE>
<TABLE>
<CAPTION>
MANAGED SERIES INVESTMENT TRUST MASTER INVESTMENT PORTFOLIO S&P
GROWTH STOCK MASTER SERIES 500 INDEX MASTER SERIES
---------------------------------- ----------------------------------
(UNAUDITED) FOR THE (UNAUDITED) FOR THE
FOR THE YEAR ENDED FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28, SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995 AUGUST 31, 1995 1995
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 125,771 $ 89,980 $ 8,358,073 $ 8,827,173
Net realized gain (loss)
on sale of investments 12,646,130 2,269,409 1,112,985 2,143,795
Net realized gain on sale
of futures contracts 0 0 5,024,364 158,998
Net change in unrealized
appreciation
(depreciation) of
investments 20,874,380 5,373,560 74,002,262 28,609,290
Net change in unrealized
appreciation of futures
contracts 0 0 323,700 1,217,675
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 33,646,281 7,732,949 88,821,384 40,956,931
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
BENEFICIAL INTERESTS
TRANSACTIONS 14,079,220 89,150,305 133,089,935 444,648,443
INCREASE (DECREASE) IN NET
ASSETS 47,725,501 96,883,254 221,911,319 485,605,374
NET ASSETS:
Beginning net assets 96,883,254 0 485,605,374 0
ENDING NET ASSETS $144,608,755 $96,883,254 $707,516,693 $485,605,374
- ----------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
103
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MANAGED SERIES INVESTMENT TRUST
SHORT-
INTERMEDIATE TERM MASTER SERIES
----------------------------------
(UNAUDITED) FOR THE
FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995
<S> <C> <C>
- ----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 453,711 $ 434,074
Net realized gain (loss)
on sale of investments 13,758 (267,700)
Net realized gain on sale
of futures contracts 0 0
Net change in unrealized
appreciation
(depreciation) of
investments 300,619 7,078
Net change in unrealized
appreciation of futures
contracts 0 0
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 768,088 173,452
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
BENEFICIAL INTERESTS
TRANSACTIONS (2,915,084) 14,116,561
INCREASE (DECREASE) IN NET
ASSETS (2,146,996) 14,290,013
NET ASSETS:
Beginning net assets 14,290,013 0
ENDING NET ASSETS $12,143,017 $14,290,013
- ----------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
104
<PAGE>
<TABLE>
<CAPTION>
MASTER INVESTMENT PORTFOLIO U.S.
TREASURY ALLOCATION MASTER SERIES
----------------------------------
(UNAUDITED) FOR THE
FOR THE YEAR ENDED
SIX MONTHS ENDED FEBRUARY 28,
AUGUST 31, 1995 1995
<S> <C> <C>
- ----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 1,926,413 $ 2,996,075
Net realized gain (loss)
on sale of investments 1,225,869 (2,077,444)
Net realized gain on sale
of futures contracts 0 0
Net change in unrealized
appreciation
(depreciation) of
investments 795,344 (445,406)
Net change in unrealized
appreciation of futures
contracts 0 0
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 3,947,626 $ 473,225
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
BENEFICIAL INTERESTS
TRANSACTIONS 2,024,078 56,388,289
INCREASE (DECREASE) IN NET
ASSETS 5,971,704 56,861,514
NET ASSETS:
Beginning net assets 56,861,514 0
ENDING NET ASSETS $62,833,218 $56,861,514
- ----------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
105
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
106
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Master Investment Portfolio ("Master Portfolio") is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end
management investment company. Master Portfolio was organized on October 21,
1993 as a Delaware business trust pursuant to an Agreement and Declaration of
Trust dated May 14, 1993 and had no operations prior to May 26, 1994. Master
Portfolio is currently authorized to issue fourteen separate diversified
portfolios (the "Master Series"), of which the following have commenced
operations: LifePath 2000 Master Series, LifePath 2010 Master Series, LifePath
2020 Master Series, LifePath 2030 Master Series, LifePath 2040 Master Series,
Asset Allocation Master Series, Bond Index Master Series, S&P 500 Index Master
Series and U.S. Treasury Allocation Master Series. The following significant
accounting policies are consistently followed by Master Portfolio in the
preparation of its financial statements, and such policies are in conformity
with generally accepted accounting principles for investment companies. The
financial statements for each of the LifePath Master Series are presented
separately.
SECURITY VALUATION
The securities of each Master Series (except debt securities) are valued at
the last sale price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an exchange
or national securities market, or securities in which there were no
transactions, are valued at the most recent bid prices. Debt securities maturing
in 60 days or less are valued at amortized cost, which approximates market
value. Debt securities, other than those maturing in 60 days or less, are valued
at the latest quoted bid price. Any securities, restricted securities or other
assets for which recent market quotations are not readily available, are valued
at fair value as determined in good faith in accordance with policies approved
by Master Portfolio's Board of Trustees.
SECURITY TRANSACTIONS AND REVENUE RECOGNITION
Securities transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
107
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
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. Bond discounts and premiums are amortized as required by
the Internal Revenue Code of 1986 (the "Code").
FEDERAL INCOME TAXES
Each Master Series of Master Portfolio intends to qualify as a partnership
for federal income tax purposes. Each Master Series therefore believes that it
will not be subject to any federal income tax on its income and any net capital
gains. However, each investor in a Master Series will be taxable on its
allocable share of the partnership's income and capital gains. The determination
of such share will be made in accordance with the applicable sections of the
Code.
It is intended that each Master Series' assets, income and allocations will
be managed in such a way that a regulated investment company investing in a
Master Series will be able to satisfy the requirements of Subchapter M of the
Code, assuming that the investment company invests all of its assets in the
respective Master Series.
FUTURES CONTRACTS
The S&P 500 Index Master Series may purchase 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 such a contract, a Master Series 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 Series 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 Series as unrealized gains or losses.
When the contract is closed, the Master Series records a realized 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
108
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
Securities and Exchange Commission, the S&P 500 Index Master Series is required
to segregate cash or high quality, liquid debt instruments in connection with
futures transactions in an amount generally equal to the entire value of the
underlying contracts. 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 contract may not correlate with changes in the value of the underlying
securities. As of August 31, 1995, the S&P 500 Index Master Series had the
following open futures contracts:
<TABLE>
<CAPTION>
NOTIONAL NET
CONTRACT UNREALIZED
NUMBER OF CONTRACTS TYPE EXPIRATION DATE VALUE APPRECIATION
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------
127 S&P 500 Index December 1995 $ 36,033,075 $ 204,825
124 S&P 500 Index September 1995 34,896,700 1,336,550
</TABLE>
The S&P 500 Index Master Series has pledged to brokers U.S. Treasury Bills
for initial margin requirements with a par value of $2,810,000.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Master Portfolio has entered into an investment advisory agreement on behalf
of the Master Series with Wells Fargo Bank, N.A. ("WFB"). Pursuant to the
agreement, WFB has agreed to provide investment guidance and policy direction in
connection with daily portfolio management of each Master Series. For the Asset
Allocation Master Series, the Bond Index Master Series, the S&P 500 Index Master
Series, and the U.S. Treasury Allocation Master Series, WFB is entitled to be
compensated monthly, at annual rates of 0.35%, 0.08%, 0.05% and 0.30% of the
respective average daily net assets of each of these Master Series.
In connection with the Asset Allocation Master Series, the Bond Index Master
Series, the S&P 500 Index Master Series and the U.S. Treasury Allocation Master
Series, the Master Portfolio and WFB have entered into sub-advisory agreements
with Wells Fargo Nikko Investment Advisors ("WFNIA"). WFNIA is an affiliate of
Wells Fargo & Company. Pursuant to Sub-Advisory Agreements, WFNIA, subject to
the supervision and approval of WFB, provides investment advisory assistance and
the day-to-day management of each Master Series' assets, subject to the overall
109
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
authority of the Master Portfolio's Board of Trustees. For providing these
services, WFNIA is entitled to be compensated by WFB monthly at the annual rate
of 0.20%, 0.07%, 0.04% and 0.15% of the average daily net assets of the Asset
Allocation, Bond Index, S&P 500 Index and U.S. Treasury Allocation Master
Series, respectively.
In addition, Wells Fargo Institutional Trust Company N.A. ("WFITC"), a
subsidiary of WFNIA, acts as custodian for these Master Series. Custody fees are
paid to WFITC from the subadvisory fee paid to WFNIA.
On June 21, 1995, Wells Fargo & Co. and The Nikko Securities Co., Ltd.
signed a definitive agreement to sell their partnership interests in WFNIA to
Barclays Bank PLC ("Barclays") of the U.K.. The sale, which is subject to the
approval of appropriate regulatory authorities, is expected to close in the
fourth quarter of 1995.
Barclays is one of the oldest and largest financial institutions in the
world, with approximately $264 billion in total assets at June 30, 1995.
Barclays has indicated an intention to reorganize WFNIA into one of WFNIA's two
current partners, which would be renamed BZW Global Investors. Barclays and its
affiliates have considerable experience in managing fund assets and had
approximately $35 billion of quantitative fund assets under management, as of
June 30, 1995. The BZW Division of Barclays offers a full range of investment
banking, capital markets and asset management services.
Under the Investment Company Act of 1940, this proposed change in control of
WFNIA would result in an assignment and termination of the current Sub-
Investment Advisory Agreements among WFNIA, Wells Fargo Bank and the Master
Series. Subject to approval of the Company's Board of Directors, it is
contemplated that a special meeting of shareholders of the Master Series will be
convened to consider a new Advisory Agreement with WFNIA's successor as the
primary adviser to each Master Series, which will become effective only upon the
change in control of WFNIA. It is not anticipated that the proposed change in
control will change the investment objective or overall investment strategy of
the Master Series.
110
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the administrator, sponsor and distributor for
the Master Series, has paid all expenses in connection with the Master Series'
organization and initial registration. Pursuant to the Administration Agreement,
Stephens has agreed to assume all operating expenses of the Asset Allocation
Master Series and the U.S. Treasury Allocation Master Series, except for
advisory fees, interest, brokerage fees and commissions, if any, costs of
independent pricing services and any extraordinary expenses.
Certain fees have been waived by WFB for the Bond Index Master Series and
S&P 500 Index Master Series for the six months ended August 31, 1995. Waived
fees continue at the discretion of WFB.
Certain officers and directors of Master Portfolio are also officers of
Stephens. As of August 31, 1995, these officers of Stephens collectively owned
less than 1% of the Master Series' outstanding beneficial interests.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Series for the six months ended August 31, 1995 are as follows:
<TABLE>
<CAPTION>
ASSET U.S. TREASURY
AGGREGATE PURCHASES ALLOCATION BOND INDEX S&P 500 INDEX ALLOCATION
AND SALES OF: MASTER SERIES MASTER SERIES MASTER SERIES MASTER SERIES
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 13,722,922 $ 11,207,608 $ 0 $ 61,371,002
Sales proceeds 128,239,049 4,634,035 0 93,318,139
OTHER SECURITIES:
Purchases at cost 33,060,483 6,332,759 111,485,607 0
Sales proceeds 1,418,072 3,527,605 5,671,401 0
</TABLE>
111
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the
Master Series are as follows:
<TABLE>
<CAPTION>
U.S.
S&P 500 TREASURY
ASSET BOND INDEX INDEX ALLOCATION
ALLOCATION MASTER MASTER MASTER
PORTFOLIO TURNOVER MASTER SERIES SERIES SERIES SERIES
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
For the Period from May 26, 1994
(commencement of operations) to
February 28, 1995 23% 37% 5% 87%
For the Six Months Ended August 31,
1995 (Unaudited) 19% 7% 1% 178%
</TABLE>
5. ORGANIZATION OF THE MASTER SERIES
At a special meeting held January 31, 1994, the shareholders of the Asset
Allocation Fund, Bond Index Fund, S&P 500 Stock Fund and U.S. Treasury
Allocation Fund (the "Funds") approved the reorganization of certain Funds into
a "master-feeder" structure, whereby the existing funds invest all of their
assets in a corresponding series of the Master Portfolio. As of May 25, 1994,
the Funds transferred their investments to the corresponding Master Series of
Master Portfolio in exchange for shares in the corresponding Master Series. The
transfer of assets was accomplished as a tax-free exchange. The investments
transferred had costs of $221,581,217, $16,556,893, $157,312,274 and
$51,537,523, and unrealized appreciation (depreciation) of $(9,431,883),
$(939,294), $1,692,082 and $(1,788,579), respectively.
112
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Managed Series Investment Trust ("Master Trust") is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. The Master Trust was organized as a Delaware business trust pursuant to
an Agreement and Declaration of Trust dated October 28, 1993. The Master Trust
consists of eight separate portfolios (the "Master Series"): Growth Stock Master
Series, Short-Intermediate Term Master Series, Growth and Income Master Series,
California Tax-Free Intermediate Income Master Series, California Tax-Free Money
Market Master Series, California Tax-Free Short-Term Income Master Series,
Tax-Free Intermediate Income Master Series and the Tax-Free Money Market Master
Series. At August 31, 1995 the Growth and Income Master Series, California
Tax-Free Intermediate Income Master Series, California Tax-Free Money Market
Master Series, California Tax-Free Short-Term Income Master Series, Tax-Free
Intermediate Income Master Series and the Tax-Free Money Market Master Series
had not yet commenced operations. The following significant accounting policies
are consistently followed by the Master Trust in the preparation of its
financial statements, and such policies are in conformity with generally
accepted accounting principles for investment companies.
SECURITY VALUATION
The securities of each Master Series are valued at the last sale price on
the securities exchange or national securities market on which such securities
primarily are traded. Securities not listed on an exchange or national
securities market, or securities in which there were no transactions, are valued
at the most recent bid prices. 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 recent market quotations are not
readily available are valued at fair value as determined in good faith in
accordance with policies approved by Master Trust's Board of Trustees.
113
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
SECURITY TRANSACTIONS AND REVENUE RECOGNITION
Securities transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized as required by the Internal Revenue
Code of 1986 (the "Code").
FEDERAL INCOME TAXES
Each Master Series of the Master Trust intends to qualify for federal income
tax purposes as a partnership. Each Master Series therefore believes that it
will not be subject to any federal income tax on its income and net capital
gains (if any). However, each investor in a Master Series will be taxable on its
allocable share of the partnership's income. The determination of such share
will be made in accordance with the Code. It is intended that each Master
Series' assets, income and allocations will be managed in such a way that a
regulated investment company investing in a Master Series will be able to
satisfy the requirements of Subchapter M of the Code, assuming that an
investment company invested all of its assets in a Master Series.
ORGANIZATION EXPENSES
Stephens has charged the Master Series for expenses incurred in connection
with organization and registration as investment companies under the Investment
Company Act of 1940. Such expenses are being amortized on a straight-line basis
over 60 months from the date the Master Series commenced operations. In the
event any of the initial beneficial interests are redeemed during the 60 month
amortization period, Stephens will reimburse the Series for the unamortized
balance of such organizational costs in the same proportion as the number of
beneficial interests reduced bears to the number of initial beneficial interests
outstanding at the time of redemption.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
("repurchase agreements") are treated as collateralized financing transactions
and are recorded at their contracted resale amounts. These repurchase
agreements, if
114
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
any, are detailed in each Master Series' Portfolio of Investments. The adviser
to the Master Series pools the Master Series' cash and invests in repurchase
agreements entered into by the Master Series. The Master Series' prospectus
requires that the cash investments be fully collateralized based on values that
are marked to market daily. The collateral is held by an agent bank under a
tri-party agreement. It is the adviser's responsibility to value collateral
daily and to obtain additional collateral as necessary to maintain the value at
equal to or greater than 102% of market value. The repurchase agreements held in
the Master Series as of August 31, 1995 are collateralized by U.S. government
securities. The repurchase agreements were entered into on August 31, 1995.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Master Trust has entered into an advisory contract on behalf of the
Growth Stock Master Series and the Short-Intermediate Term Master Series with
Wells Fargo Bank, N.A. ("WFB"). Pursuant to the contract, WFB has agreed to
furnish each Master Series with investment guidance and policy direction in
connection with daily portfolio management. The advisory contracts for the
Growth Stock Master Series and the Short-Intermediate Term Master Series provide
for advisory fees, which are accrued daily and paid monthly, at annual rates of
0.60% and 0.45% of the average daily net assets of each of these Master Series,
respectively.
On June 21, 1995, Wells Fargo & Co. and The Nikko Securities Co., Ltd.
signed a definitive agreement to sell their partnership interests in Wells Fargo
Nikko Investment Advisors to Barclays Bank PLC of the United Kingdom. The sale,
which is subject to the approval of appropriate regulatory authorities, is
expected to close in the fourth quarter of 1995. In connection with the sale,
each of the interestholders of the Growth Stock and Short-Intermediate Term
Master Portfolios will be asked to approve a proposed investment advisory
contract appointing BZW Global Investors as the respective Master Portfolio's
investment adviser and a proposed sub-advisory contract appointing Wells Fargo
Bank as the respective Master Portfolio's sub-adviser. Interestholders will be
mailed additional information regarding the sale and the proposed advisory
arrangements later this year.
115
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for
each series for the six months ended were as follows:
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE
AGGREGATE PURCHASES GROWTH STOCK TERM
AND SALES OF: MASTER SERIES MASTER SERIES
<S> <C> <C>
- --------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 0 $ 930,421
Sales proceeds 0 4,972,249
OTHER SECURITIES:
Purchases at cost 91,990,762 2,498,284
Sales proceeds 84,265,417 62,418
</TABLE>
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the
Master Series are as follows:
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE
GROWTH STOCK TERM
PORTFOLIO TURNOVER MASTER SERIES MASTER SERIES
<S> <C> <C>
- --------------------------------------------------------------------------------------
For the Period from May 26, 1994 (commence-
ment of operations) to February 28, 1995 93% 96%
For the Six Months Ended August 31, 1995 (Unaudited) 78% 31%
</TABLE>
5. ORGANIZATION OF THE MASTER SERIES
At a special meeting held January 31, 1994, the shareholders of the Growth
Stock Fund and the Short-Intermediate Term Fund approved the reorganization of
the Funds into a "master-feeder" structure, whereby the existing funds invest
all of their assets in a corresponding series of the Managed Series Investment
Trust. As of May 25, 1994, the Funds transferred their investments to the
corresponding Master Series of Managed Series Investment Trust in exchange for
shares in the corresponding Master Series. The investments transferred had costs
of $48,121,213 and $7,401,856 and unrealized depreciation of $899,189 and
$285,454, respectively.
116
<PAGE>
<TABLE>
<S> <C> <C>
STAGECOACH FUNDS:
- - are NOT FDIC insured Stagecoach Money Market Funds seek to [LOGO]
- - are NOT obligations of Wells Fargo Bank maintain a stable net asset value of $1.00
- - are NOT guaranteed by the Bank per share; however, there can be no
- - involve investment risk, including assurance that the funds will meet this
possible loss of principal objective. Yields will vary with market
conditions.
</TABLE>
Wells Fargo provides investment advisory services, shareholder services, and
certain other services for the Stagecoach Funds. THE FUNDS ARE SPONSORED AND
DISTRIBUTED BY STEPHENS INC., MEMBER NYSE/SIPC. Wells Fargo is not affiliated
with Stephens Inc.
The report and the financial statements contained herein are submitted for the
general information of the shareholders of the Stagecoach Funds. If this report
is used for promotional purposes, distribution of the report must be accompanied
or preceded by a current prospectus. For an additional prospectus containing
more complete information, including charges and expenses, call 1-800-776-0179.
Read the prospectus carefully before you invest or send money.
<TABLE>
<S> <C>
STAGECOACH INSTITUTIONAL FUNDS
c/o Wells Fargo Bank, N.A.
Transfer Agent
420 Montgomery
MAC 0101-030
San Francisco, CA 94163
DATED MATERIAL
PLEASE EXPEDITE
</TABLE>
