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[GRAPHIC]
SEMI-ANNUAL Report
Asset Allocation Fund
Bond Index Fund
Growth Stock Fund
LifePath 2000 Fund(R)
LifePath 2010 Fund(R)
LifePath 2020 Fund(R)
August 31, 1996 LifePath 2030 Fund(R)
LifePath 2040 Fund(R)
Money Market Fund
S&P 500 Stock Fund
Short-Intermediate Term Fund
U.S. Treasury Allocation Fund
Advised by Barclays Global Fund Advisors
Sponsored and distributed by Stephens Inc.
Member NYSE/SIPC. Not FDIC insured.
MASTERWORKS Funds
<PAGE> 2
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders....................................... 1
Investment Adviser Discussion................................ 2
MASTERWORKS FUNDS INC.
Money Market Fund Portfolio of Investments................. 19
Statement of Assets and Liabilities........................ 22
Statement of Operations.................................... 26
Statements of Changes in Net Assets........................ 30
Financial Highlights....................................... 38
Notes to the Financial Statements.......................... 47
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES INVESTMENT
TRUST PORTFOLIOS OF INVESTMENTS
Asset Allocation Master Portfolio.......................... 54
Bond Index Master Portfolio................................ 69
Growth Stock Master Portfolio.............................. 74
LifePath Master Portfolios................................. 82
S&P 500 Index Master Portfolio............................. 148
Short-Intermediate Term Master Portfolio................... 162
U.S. Treasury Allocation Master Portfolio.................. 164
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES
INVESTMENT TRUST
Statement of Assets and Liabilities........................ 166
Statement of Operations.................................... 170
Statements of Changes in Net Assets........................ 174
Master Investment Portfolio Notes to the Financial
Statements.............................................. 182
Managed Series Investment Trust Notes to the Financial
Statements.............................................. 189
</TABLE>
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TO OUR SHAREHOLDERS
It has been a bumpy ride during the six-months ended August 31, 1996.
During this period, the markets were unsure about inflation and interest rate
moves and, when hit with unexpectedly strong economic news, both stock and bond
returns suffered. The U.S. equity markets remained volatile during this period,
but rebounded in August to post a modest gain for the six-month period. The U.S.
bond markets continued to slump and posted a slight loss during the six-month
period.
- The U.S. stock market, as measured by the Standard and Poor's 500 Index,
returned 2.85%
- The U.S. bond market, as measured by the Lehman Brothers Aggregate Bond
Index, returned -0.03%.
- The U.S. money markets, as measured by 91-day U.S. Treasury bills,
returned 2.65%.
- Foreign stock markets, as measured by the Morgan Stanley Capital
International Europe/Australasia/Far East Index (MSCI/ EAFE), returned
1.08%.
The divergence of returns emphasizes the need to develop an investment plan
designed to ensure that your investments are well positioned to meet your
personal financial goals. If they are, then stick with your plan. If they
aren't, then make the necessary adjustments and stick with your new plan. A key
point to remember: successful investors stay focused on their personal financial
goals and do not change their investment plan solely on the basis of short-term
swings.
The MasterWorks Funds are conceived and managed to be simple and
cost-effective to help you meet your long term investment goals. In these times
of volatility, stick with your long term financial goals. We appreciate your
trust.
MASTERWORKS FAMILY OF FUNDS OCTOBER 1996
The S&P 500 Index of Stocks ("S&P 500") is a trademark of Standard & Poor's
Corporation and is an unmanaged index that tracks the performance of 500
companies, including industrial, transportation, utility, and financial
companies.
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.
The Morgan Stanley Capital International Europe, Australasia, Far East
(MSCI/EAFE) Index consists of primarily large-capitalization foreign stocks.
Investors should note that the Fund is a professionally managed mutual fund
while the S&P 500 Index, the Lehman Brothers Aggregate Bond Index and the
MSCI/EAFE Index are unmanaged indices, do not incur expenses, and are not
available directly for investment. If operating expenses such as the Fund's had
been applied to these indices, their performance would have been lower.
1
<PAGE> 5
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 8/31/96 Total Return
- ----------------------------------------------------------------
<S> <C>
One-Year 9.04%
Life of Fund (7/2/93-8/31/96) 9.70%
</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 gain distributions at net asset value.
Past performance is not predictive of future results. 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.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1996?
The Fund posted a -0.07% total return for the period (return figures exclude
sales charges and include waived expenses). The Fund's equity benchmark (S&P 500
Index) returned 2.96%, while the Fund's bond benchmark (Lehman Brothers
Aggregate Bond Index) returned -0.03% during the same period.
THE BOND MARKETS HAVE POSTED NEGATIVE RETURNS THIS YEAR. WHY? HOW HAS THIS
NEGATIVE PERFORMANCE AFFECTED THE FUND?
1996 has been a hard year for the bond market. In March, the government's Jobs
Report was released and indicated an unusually high number of jobs gained. The
report triggered fears of inflation which led to speculation that there will be
no further Federal Reserve interest rate cuts. This news led to the long bond's
price decline of more than three points, the largest single day decline in over
5 years. The bond market seems to have broken its losing streak in the second
half of 1996. Bonds were the best performing asset class in June returning
2.23%.
THE U.S. STOCK MARKET HIT RECORD HIGHS LAST YEAR. WILL THIS TREND CONTINUE? HOW
HAS THE FUND PARTICIPATED IN THIS GROWTH?
The superior performance experienced by the stock market last year has slowed in
1996. The year had a strong start with an all time high in the S&P 500 Index of
636.02 in January. Equities remained the best performing asset class through
May. In June, economic reports of moderate growth and restrained inflation had a
positive impact on the bond market and, therefore, a negative impact on the
stock market.
2
<PAGE> 6
ASSET ALLOCATION FUND (CONTINUED)
Equity growth slowed and the S&P 500 Index returned just 0.38% for June. This
downturn continued in July, which was the first negative performing month since
October 1995 and largest monthly loss since June 1991.
The relatively strong stock market performance throughout the year has resulted
in stocks outperforming bonds by over 16%. As a result, the Fund remained
overweighted in stocks to participate in this growth. The Fund reacted to
increased volatility in the market by rebalancing several times during the year.
HOW HAS THE FUND PERFORMED RELATIVE TO THE MARKET?
The domestic bond market, as defined by the Lehman Brothers Aggregate Bond
Index, returned -8.89%, while the domestic equity market, as defined by the S&P
500, returned 7.45%. The Fund's one year average annual total return was 9.04%.
WHAT IS THE CURRENT ASSET MIX OF THE FUND?
As of August 31, 1996 the asset mix of the Fund was 40% in stocks, 60% in bonds
and 0% in money market instruments. This is a reaction to market conditions,
which resulted in the model being overweighted in bonds and underweighted in
stocks. The normal model is comprised of 60% in stocks and 40% in bonds.
This Fund is organized as a "feeder" fund in a "master feeder" structure.
Instead of investing directly in individual securities, the "feeder" fund, which
is offered to the public, holds interests in a Master Portfolio, that, in turn,
invests in individual securities. References to the Fund are to the feeder fund
or the Master Portfolio, as the context requires. The Master Portfolio is
advised by BGFA.
The S&P 500 Index is an unmanaged index of stocks composed of 500 industrial,
financial, utility and transportation companies. "S&P" and "S&P 500" 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 indices, do not incur expenses, and are not available
directly for investment. If operating expenses such as the Fund's had been
applied to these indices, their performance would have been lower.
3
<PAGE> 7
BOND INDEX FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 8/31/96 Total Return
- ----------------------------------------------------------------
<S> <C>
One-Year 3.20%
Life of Fund (7/2/93-8/31/96) 4.30%
</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 gain distributions at net asset value.
Past performance is not predictive of future results. 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.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1996?
The Fund posted a -0.63% total return (return figures exclude sales charges and
include waived expenses). The Lehman Brothers Government/Corporate Bond Index
returned -0.39% during the same period.
WHAT BROUGHT ABOUT THIS CHANGE?
In February of this year interest rates began to increase, reversing a trend
that began in 1994. From February through August long-term rates grew from 6.03%
to 7.10%, thus lowering the price of bonds. The increase in yield over this time
was driven by several consecutive months of strong employment reports. This gave
rise to fears of inflation and dashed hopes of a Federal Reserve target rate
cut. Whereas last year the Fund benefited from both coupon return and price
increases due to lower interest rates, this year the price depreciation due to
higher interest rates has reduced the coupon return.
HOW HAS THE ECONOMY AFFECTED BOND MARKET RETURNS?
1996 has seen strong job reports, low unemployment numbers, and relatively
strong growth in the economy. These factors have fueled inflation fears, and,
more immediately, concern that the Federal Reserve will tighten credit by
increasing interest rates. The prices of bonds have decreased in response to the
rise of interest rates. Through the first five months of the year, bond markets
returned -9.58%. The bond markets have recovered in the second half of 1996 and
were the best performing asset class (when looking at bonds, equities and cash)
in June returning 2.23%.
4
<PAGE> 8
BOND INDEX FUND (CONTINUED)
THE FEDERAL RESERVE LOWERED THE FEDERAL FUNDS TARGET RATE BY 0.25% TO 5% ON
JANUARY 31, 1996. HOW DID THIS AFFECT THE BOND MARKET?
In February interest rates began to rise which lowered the price of bonds.
However, in March the government's Jobs Report was released which indicated an
unusually high number of jobs gained. This led to fears of inflation and
contributed to the long bond price decline -- including the largest single day
decline in over 5 years. The bond markets have been making a slow recovery in
the second half of 1996.
HOW DID THE FUND'S ALLOCATION CHANGE IN RESPONSE TO CHANGES IN INTEREST RATES?
The Fund is managed by determining which securities are to be purchased or sold
to replicate the investment characteristics of the Lehman Brothers Bond Index.
This Index includes U.S. Government and high-grade corporate bonds. The Fund is
not managed by using economic, financial or market analysis -- it seeks to
correlate at least 95% of the total return of the LB Bond Index (before
expenses).
This Fund is organized as a "feeder" fund in a "master feeder" structure.
Instead of investing directly in individual securities, the "feeder" fund, which
is offered to the public, holds interests in a Master Portfolio, that, in turn,
invests in individual securities. References to the Fund are to the feeder fund
or the Master Portfolio, as the context requires. The Master Portfolio is
advised by BGFA.
The Lehman Brothers Government/Corporate 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 Lehman
Brothers Government/Corporate Bond Index is an unmanaged index, does not incur
expenses, and is not available directly for investment. If operating expenses
such as the Fund's had been applied to this index, its performance would have
been lower.
5
<PAGE> 9
GROWTH STOCK FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 8/31/96 Total Return
- ----------------------------------------------------------------
<S> <C>
One-Year 8.82%
Life of Fund (7/2/93-8/31/96) 18.06%
</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 gain distributions at net asset value.
Past performance is not predictive of future results. 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.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
HOW HAS THE FUND PERFORMED IN 1996?
During the third quarter, the Fund declined 0.55%, underperforming the S&P 500
Index and the Russell 2000 Index, which returned 3.10% and 0.34%, respectively.
Year-to-date, the Fund has achieved a total return of 16.45%, well above the
13.49% and 10.74% gains posted by the S&P 500 and the Russell 2000,
respectively.
WHAT MARKET FACTORS HAVE MOST AFFECTED THE FUND?
Early in the quarter, stock prices, especially of high growth companies in
the technology and health care sectors, were affected by a broad-based market
decline. This correction was the sharpest the market has experienced in nearly
six years. The sell-off in the equity market was sparked by investor concern
over both the possibility of a rise in interest rates and the prospect for
weaker corporate earnings in the last half of 1996 and throughout 1997. In
particular, smaller companies with less visible earnings in the coming year felt
the brunt of the market correction. In addition, as the general market recovered
in August and September, emerging growth stocks did not participate in the
recovery to the same degree as the larger, more established companies. Investors
returning to the equity markets generally sought companies with long-term track
records, stable earnings growth, and trading liquidity. High caliber issues such
as Intel, Microsoft and First Data benefitted from this flight to quality.
WHAT IS THE FUND'S ECONOMIC OUTLOOK?
The economy is providing evidence that it is in a steady and modest growth
trend. We expect interest rates to stay in a narrow trading range, inflation to
remain stable and corporate earnings to
6
<PAGE> 10
GROWTH STOCK FUND (CONTINUED)
improve in the coming quarters. Despite reaching record levels, the equity
markets still present many attractive opportunities. We remain optimistic about
the long-term prospects for technology stocks, and are heavily weighted in the
networking, software and data storage sectors. Health care also remains an
attractive sector. During the last three months, we added the following stocks
to the Fund: Nokia, Paging Network, Medic Computing Systems, and The Money
Store.
This Fund is organized as a "feeder" fund in a "master feeder" structure.
Instead of investing directly in individual portfolio securities, the "feeder"
fund, which is offered to the public, holds interests in a Master Portfolio
that, in turn, invests in individual securities. References to the Fund are to
the feeder fund or the Master Portfolio, as the context requires. The Master
Portfolio is advised by BGFA.
The S&P 500 Index is an unmanaged index of stocks composed of 500 industrial,
financial, utility and transportation companies. "S&P " and "S&P 500" are
trademarks of The McGraw-Hill Companies, Inc. The Russell 2000 Index is an
unmanaged index comprised of 2000 small capitalization stocks. Investors should
note that the Fund is a professionally managed mutual fund while the S&P 500
Index and the Russell 2000 Index are unmanaged indices, and do not incur
expenses, and are not available directly for investment. If operating expenses
such as the Fund's had been applied to these indices, their performance would
have been lower.
7
<PAGE> 11
LIFEPATH(R) FUNDS
Average Annual
PERFORMANCE AS OF 8/31/96 Total Return
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Life of Fund
One Year (3/1/94-8/31/96)
------------------------------------------
<S> <C> <C>
LifePath 2000 5.25% 6.33%
LifePath 2010 8.82 9.33
LifePath 2020 10.46 11.10
LifePath 2030 12.01 12.44
LifePath 2040 14.39 14.08
</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 gain distributions at net asset value.
Past performance is not predictive of future results. 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.
The Funds are successors to the assets of the Institutional Class shares of the
Stagecoach Funds, Inc. LifePath Funds (the "Predecessor Funds"). Performance
information for the period prior to March 26, 1996, the Funds' commencement of
operations, reflects the performance of the Predecessor Funds. The Predecessor
Funds commenced operations on March 1, 1994.
WHAT WERE THE PRIMARY FACTORS AFFECTING THE FUNDS' PERFORMANCES?
The greatest effect on performance this year has been that stocks have
dramatically out-performed bonds. Through August, the stock market (the S&P 500
Index) was up 7.45%, while long-term bonds (the Lehman Brothers 20+ Treasury
Index) were down 8.89%. The LifePath Funds with longer time horizons are more
heavily allocated to stocks, therefore, they have performed well this year. It
is important to point out that the heavier allocation to stocks in some of the
Funds is a result of their longer investment horizon.
THERE WAS GREAT UNCERTAINTY ABOUT INFLATION AND THE POSSIBILITY OF THE FEDERAL
RESERVE RAISING INTEREST RATES. HOW DID THIS AFFECT THE FUNDS?
In February of this year interest rates began to increase, reversing a downward
trend that began in 1994. Strong jobs reports, low unemployment numbers and
relatively strong growth in the economy fueled inflation fears and concerns that
the Federal Reserve would tighten credit by increasing interest rates. The
possibility of the Fed raising rates has been a major factor in the poor bond
market performance. The market sentiment was that future interest rates could
8
<PAGE> 12
LIFEPATH(R) FUNDS (CONTINUED)
increase due to Federal Reserve action. As a result, the value of bonds, which
pay a fixed interest rate, decreased.
RISK AND EXPECTED RETURN ARE EXTREMELY IMPORTANT CONSIDERATIONS WHEN DECIDING
HOW TO ALLOCATE AMONG DIFFERENT ASSET CLASSES. HOW ARE THESE RISK AND EXPECTED
RETURN CHARACTERISTICS ASSESSED?
A number of items go into our expected return calculations. For equities, the
most important factors we analyze are company earnings and growth estimates from
thousands of Wall Street analysts. These estimates are compared with the current
price level of the stock market. It is important to compare company earnings to
the stock price to determine how much value one is receiving from an investment.
It is not sufficient to simply conclude company earnings are rising. If the
stock price is rising faster than a company's earnings, then one is not getting
more value.
By the same token, if company earnings are forecast to be stable, but the stock
price is rising, then the investment is getting less valuable. This situation
has occurred throughout this year. When stocks rise in price, but company
earnings expectations do not rise in tandem, stocks look less and less valuable.
Risk is an important consideration, as well. Stocks generally are expected to be
more risky than bonds, which, in turn, are more risky than cash. Research has
shown that over long periods of time the expected risks of these assets, in
relation to one another, are fairly stable. For example, 1995 was a fairly low
risk year for stocks. The best return in one month in 1995 was 4.2%, the worst
was -0.4%, for a range of 4.6% (between the best and worst months). This lower
than average risk can't be expected to continue, though. In 1996, the best
return in one month for stocks has been 3.4% (January), the worst thus far is
- -4.4%, for a range of 7.8% (between the best and worst months).
ARE STOCKS CURRENTLY FAIRLY VALUED AS COMPARED TO BONDS
(MEASURING RISK TO REWARD)?
Stocks are currently overvalued relative to bonds. Therefore, we have partially
reallocated funds out of stocks and into bonds. This is due to the fact that
stock prices generally have risen faster than their earnings expectations, while
bonds have become more fairly priced.
9
<PAGE> 13
LIFEPATH(R) FUNDS (CONTINUED)
THE STOCK MARKET WAS VERY VOLATILE OVER THE LAST SIX MONTHS, WITH TECHNOLOGY
STOCKS PARTICULARLY UNPREDICTABLE. HOW HAS THE MULTI-INDEX APPROACH SMOOTHED
VOLATILITY?
One of the best ways to reduce risk is through diversification. By investing in
different asset classes, the Funds participate in different markets. This
results in no single market or sector having an exclusive impact on performance.
WHY SHOULD INVESTORS CHOOSE THE LIFEPATH FUNDS AS PART OF THEIR INVESTMENT
PORTFOLIO?
The benefit of the Funds is the long-term nature of the investment. This year
the bond market has not performed well. The shorter-horizon Funds (which are
weighted heavier in bonds) have performed as well as the longer-horizon Funds
(which are weighted heavier in stocks). The shorter- horizon Funds take less
risk and, therefore, tend to have smaller fluctuations (both positive and
negative) in the value of their assets. The most important thing for investors
to remember is that past returns are not indicative of future returns. Just
because stocks have performed better than bonds during the first eight months of
this year, there is no assurance that the trend will continue.
THE LIFEPATH 2000 FUND IS APPROACHING ITS TIME HORIZON. WHAT CHANGES CAN WE
EXPECT TO SEE OVER THE NEXT FEW YEARS IN THIS FUND?
Investors shouldn't see dramatic changes during the next few years as we
approach the Fund's target date. LifePath Funds are managed to move toward their
target dates in a very disciplined manner. The allocation among asset classes of
the LifePath 2000 Fund today is similar to the asset allocation it will have in
the year 2000. Although, the Fund will still react to changing market
opportunities.
The LifePath(R) Funds are organized in a "master feeder" structure. Instead of
investing directly in individual securities, the "feeder" funds, which are
offered to the public, hold interests in a Master Portfolio that, in turn,
invests in individual securities. The Master Portfolio has engaged Barclays
Global Fund Advisors to invest its assets according to its investment
objectives. Reference to the LifePath(R) Funds are to the feeder funds or the
Master Portfolio as the context requires. LifePath, LifePath 2000, LifePath
2010, LifePath 2020, LifePath 2030, and the LifePath 2040 are registered
trademarks of Barclays Global Fund Advisors.
The S&P 500 Index is an unmanaged Index of stocks composed of 500 Industrial,
financial, utility and transportation companies. "S&P" and "S&P 500" are
trademarks of The McGraw-Hill Companies, Inc. The Lehman Brothers 20+ Treasury
Index is an index of all publicly issued long-term government debt securities.
Investors should note that the Funds are professionally managed mutual funds
while the S&P 500 Index and the Lehman Brothers 20+ Treasury Index are unmanaged
indices, do not incur expenses, and are not available directly for investment.
If operating expenses such as the Funds' had been applied to the indices, their
performance would have been lower.
10
<PAGE> 14
MONEY MARKET FUND
<TABLE>
<CAPTION>
7-Day
PERFORMANCE AS OF 8/31/96 Yield
- ----------------------------------------------------------------
<S> <C>
4.99%
</TABLE>
The 7-Day Yield is an annualized yield for the seven day period ended August 31,
1996. Yield reflects fluctuations in interest rates on portfolio investments and
Fund expenses.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's yield would have been lower.
HOW HAS THE U.S. ECONOMY'S PERFORMANCE AFFECTED THE FUND?
The third quarter began with the expectation that the economy would strengthen
due to strong employment gains and rising commodity prices. The markets
anticipated higher inflation and higher interest rates.
As the quarter ended, signs that the economy was slowing began to appear.
Initial jobless claims bottomed out in the latter stages of the second quarter
and stayed in a slight upward trend for the remainder of the third quarter.
Commodity prices ended the quarter lower.
The widely anticipated Federal Open Market Committee meeting on September 24
resulted in no change in policy and the market rallied sharply.
WHAT DO YOU ANTICIPATE FOR THE FUND'S IMMEDIATE FUTURE?
With signs of a slowing economy and the Fed's reluctance to raise interest
rates, floating rate securities using the Prime Rate as an index appear
attractive in a stable rate or declining rate environment. Also, six month July
commercial paper offers value yielding 33 basis points above that of comparable
Treasury Bills. The Treasury Bill curve remains positively sloped with
securities out six months or longer offering the best value.
All holdings in the Fund are first tier securities. Wells Fargo Bank acts as
sub-adviser to the Fund, these securities meet with the approval of the Wells
Fargo Credit Policy Committee.
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 BGFA.
Past performance is no guarantee of future results.
11
<PAGE> 15
S&P 500 STOCK FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 8/31/96 Total Return
- ----------------------------------------------------------------
<S> <C>
One-Year 18.37%
Life of Fund (7/2/93-8/31/96) 15.25%
</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 gain distributions at net asset value.
Past performance is not predictive of future results. 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.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1996?
The Fund posted a 2.82% total return. (Return figures exclude sales charges and
include waived expenses.) The S&P 500 Index returned 2.96% during the same
period.
WHAT BROUGHT ABOUT THIS CHANGE?
The S&P 500 Index began 1996 at an all time high. The market was driven by the
extraordinary growth in earnings we saw in 1995, large cash investments to
mutual funds and by the expectation of interest rate cuts by the Federal Reserve
Board. Relative to 1995, smaller company earnings growth, consecutive months of
strong earnings reports, increasing fears of inflation, and lack of Fed interest
rate cuts have made for a volatile first eight months of 1996.
In May, the S&P 500 Index set six new records, but dropped down before the end
of the month. Through the end of June, the Index had returned over 10%. In July,
a surprisingly strong jobs report and weak earnings reports drove the market
down -- it experienced the sixth largest point drop in history and closed the
month down over 4%. Year to date, the Index is up over 7.4%.
THE S&P 500 HAS EXPERIENCED VOLATILITY IN 1996. SHOULD INVESTORS BE CONCERNED
ABOUT MOVING THEIR MONEY TO A MORE STABLE INVESTMENT?
Investors should be prepared to accept some risk when investing in an equity
fund. Equity market risk is the possibility that common stock prices will
decline over short or even extended periods. As with any investment,
12
<PAGE> 16
S&P 500 STOCK FUND (CONTINUED)
past performance is no guarantee of future returns. The stock market has
averaged approximately 10% return annually since 1926. Over the long term (as it
has historically), the stock market should continue to generate returns above
other asset classes (bonds and cash). For the remainder of 1996 the outlook is
uncertain and the market will look for stronger earnings reports, lower interest
rates, or a broad based expansion in the economy before resuming consistent
growth.
WHAT INDUSTRY SECTORS HAVE BEEN AFFECTED BY THE CHANGES IN THE ECONOMY?
Sectors that have traditionally been sensitive to interest rate movements have
been affected the most. The utilities and finance industries have
under-performed the market during July and August. These industries will
continue to be sensitive as uncertainty about interest rate movements continue.
This volatility is spread across all industry sectors in the S&P 500. While some
industries in the S&P 500 may perform poorly during a specific time period,
other industries will outperform the market during that same period. By
investing in a Fund that seeks to replicate the performance of the S&P 500
Index, an investor participates in a broadly diversified portfolio that
represents, in terms of market capitalization, over 70% of all publicly traded
U.S. stocks.
HOW HAS HOLDING FUTURES CONTRACTS (SHAREHOLDERS VOTED TO ALLOW THE USE OF
FUTURES IN DECEMBER 1995) AFFECTED THE FUND'S PERFORMANCE?
In seeking to replicate the performance of the S&P 500 Index, the Fund may buy
futures contracts and options on stock index futures. A futures contract allows
the Fund to participate in market movement using cash rather than individual
stocks. The Fund has used futures contracts during 1996 to assist the Fund in
tracking the performance of the S&P 500 Index. A small portion of the Fund's
portfolio is maintained in cash as a reserve to meet shareholder redemptions.
This cash reserve may be invested in S&P 500 futures contracts and earn a rate
of return approximately equal to that of the S&P 500 Index, rather than money
market returns.
13
<PAGE> 17
S&P 500 STOCK FUND (CONTINUED)
WERE THERE ANY ADDITIONS OR DELETIONS TO THE S&P 500 IN 1996?
Standard and Poor's regularly adjusts the Index to reflect not only mergers and
acquisitions, but to reflect the composition of the economy as a whole. In 1996,
there have been 13 additions and deletions to the Index, including:
<TABLE>
<CAPTION>
ADDED REPLACED
- ------------------------------ --------------------------------
<S> <C>
Case Corp. Pittston Services Group
Bay Networks Capital Cities/ABC
Fifth Third Bancorp Handleman Col.
Green Tree Financial Federal Paper Board
EMC Corp. Cray Research Inc.
General Instrument First Interstate Bancorp
WorldCom Inc. Chemical Banking Corp.
Aon Corp. Loral Corp.
Tupperware Corp. Premark Int'l
MGIC Investment U.S. Healthcare
Battle Mountain Gold Brown Group
Seagate Technology Ogden Corp.
HFS Inc. Dial Corp.
</TABLE>
This Fund is organized as a "feeder" fund in a "master feeder" structure.
Instead of investing directly in individual securities, the "feeder" fund, which
is offered to the public, holds interests in a Master Portfolio, that, in turn,
invests in individual securities. References to the Fund are to the feeder fund
or the Master Portfolio, as the context requires. The Master Portfolio is
advised by BGFA.
The S&P 500 Index is an unmanaged index of stocks composed of 500 industrial,
financial, utility and transportation companies. "S&P" and "S&P 500" 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 an unmanaged index, does not incur expenses, and is not available
directly for investment. If operating expenses such as the Fund's had been
applied to this Index, its performance would have been lower.
14
<PAGE> 18
SHORT-INTERMEDIATE TERM FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 8/31/96 Total Return
- ----------------------------------------------------------------
<S> <C>
One-Year 3.40%
Life of Fund (7/2/93-8/31/96) 3.43%
</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 gain distributions at net asset value.
Past performance is not predictive of future results. 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.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
WHAT WAS THE FUND'S PORTFOLIO COMPOSITION AT 8/31/96?
The Fund's portfolio primarily consisted of U.S. Treasury securities (39.46%),
corporate bonds and notes (37.44%), and U.S. government agency securities
(20.90%). The average maturity of the Fund's portfolio was 4.59 years.
HOW WOULD YOU RATE THE FUND'S PERFORMANCE THIS YEAR COMPARED TO 1995'S RESULTS
(10.07% FOR THE PREVIOUS FISCAL YEAR)?
When interest rates decline, the resale value of higher-paying fixed-income
securities goes up. This was the case in 1995, leading to a strong total return
for the Fund. Unfortunately, this year the opposite has happened. Interest rates
have risen throughout the first half of the year, leading to principal
depreciation throughout the fixed-income sector. Of course, this Fund seeks
current income, in that sense, it has succeeded by maintaining dividend payments
through the first half of 1996 largely on par with the last six months of the
previous fiscal year.
RECAP THE THIRD QUARTER PERFORMANCE OF THE U.S. ECONOMY
During the third quarter, growth of the U.S. economy, as measured by Gross
Domestic Product ("GDP"), slowed to roughly 2.0%, down from the robust pace of
4.7% registered in the second quarter. Much of the slowdown has been centered
around a pause in consumer spending which accounts for roughly two-thirds of
GDP. Throughout the quarter, inflation has remained subdued running at 2.9%. On
September 24th, the widely anticipated Federal Open Market Committee meeting
resulted in no change
15
<PAGE> 19
SHORT-INTERMEDIATE TERM FUND (CONTINUED)
in policy leaving the Fed Funds rate at 5.25%. As a result, interest rates
declined to the lower end of a trading range. Throughout the quarter, interest
rates have remained in a broad trading range with two year notes yielding
between 5.88% to 6.40% and 30 year bonds 6.70% to 7.20%. As of quarter-end two
year notes and thirty year bonds were yielding 6.10% and 6.92%, respectively.
WHAT IS THE FUND'S ECONOMIC OUTLOOK?
Going forward we expect the current slowdown in economic growth to be offset
with renewed strength in the 4th quarter. Long term interest rates are likely to
continue to trade in a range of 6.75% to 7.50%. We expect that the prospects for
near term growth will drive the Fed to raise the federal funds interest rate by
25 to 50 basis points over the next 3 to 6 months. Within this environment, the
Fund's duration will continue to follow the Lehman Intermediate
Government/Corporate Bond Index -- the Fund's benchmark objective. During the
next quarter, the Fund expects to hold anywhere from 15% to 30% of its portfolio
investments in corporate securities and approximately 15% of its portfolio in
mortgage pass-through securities.
This Fund is organized as a "feeder" fund in a "master feeder" structure.
Instead of investing directly in individual securities, the "feeder" fund, which
is offered to the public, holds interests in a Master Portfolio, that, in turn,
invests in individual securities. References to the Fund are to the feeder fund
or the Master Portfolio, as the context requires. The Master Portfolio is
advised by BGFA.
The Lehman Brothers Government/Corporate 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 Lehman
Brothers Government/Corporate Bond Index is an unmanaged index, does not incur
expenses, and is not available directly for investment. If operating expenses
such as the Fund's had been applied to this Index, its performance would have
been lower.
16
<PAGE> 20
U.S. TREASURY ALLOCATION FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 8/31/96 Total Return
- ----------------------------------------------------------------
<S> <C>
One-Year 3.13%
Life of Fund (7/2/93-8/31/96) 3.69%
</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. 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.
The Fund's manager has voluntarily waived portions of its fees or has reimbursed
expenses to the Fund, which has reduced operating expenses for shareholders.
Without this reduction, the Fund's returns would have been lower.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1996?
The Fund posted a 0.14% total return (return figures exclude sales charges and
include waived expenses).
WHAT BROUGHT ABOUT THIS CHANGE?
In February of this year interest rates began to increase, reversing a trend
that began in 1994. Strong job reports, low unemployment numbers and relatively
strong growth in the economy have fueled inflation fears and concerns that the
Federal Reserve would tighten credit by increasing interest rates. From February
through August, intermediate note and long bond yields increased, thus lowering
the prices of bonds. Last year the Fund benefitted from both coupon return and
price increases due to lower interest rates. This year the price depreciation,
due to higher interest rates, has partially offset the coupon return.
THE FEDERAL RESERVE LOWERED THE FEDERAL FUNDS TARGET RATE BY 0.25% TO 5% ON
JANUARY 31, 1996. HOW DID THIS AFFECT THE BOND MARKET?
In February interest rates began to rise which lowered the prices of bonds.
However, in March the government's Jobs Report was released which indicated an
unusually high number of jobs gained. This led to fears of inflation and
contributed to the long bond price decline -- the largest single day decline in
over 5 years. The bond markets have been making a slow recovery in the second
half of 1996.
17
<PAGE> 21
U.S. TREASURY ALLOCATION FUND (CONTINUED)
HOW DID THE PORTFOLIO ALLOCATION CHANGE DURING THE YEAR IN RESPONSE TO CHANGES
IN INTEREST RATES?
The Fund seeks to achieve its objective by investing in all three maturity
classes of U.S. Treasury debt securities: long-term bonds, intermediate-term
notes and short-term bills. The Fund seeks to take advantage of the relative
yield differences between these three maturity classes. During the period from
February through August the relationship between the rates changed
substantially, and the Fund changed its allocation to reflect those movements.
At the beginning of February, the yield curve was inverted. The yield curve
shows the relationship of yields to duration. This meant that intermediate-term
notes showed no significant premium over cash yields (money market rates) and
the interest rate difference from long-term bonds was lower than normal. Due to
the relatively low yield of intermediate-term notes, the Fund held 20% money
market securities and 80% long-term bonds throughout most of the year.
As the year progressed, not only did interest rates rise across the entire yield
curve (which includes all three maturity classes), but the rates relative to
each maturity class changed. Intermediate-term yields increased and the yield
curve resumed a more normal upward slope. In March the Fund changed its
allocation to 30% money market securities, 60% intermediate notes, and 10% long
bonds. In April the allocation changed to a full 100% in intermediate treasuries
where it has remained except for a brief duration in August where the Fund held
a 20% cash position.
This Fund is organized as a "feeder" fund in a "master feeder" structure.
Instead of investing directly in individual portfolio securities, the "feeder"
fund, which is offered to the public, holds interests in a Master Portfolio
that, in turn, invests in individual securities. References to the Fund are to
the feeder fund or the Master Portfolio, as the context requires. The Master
Portfolio is advised by BGFA.
18
<PAGE> 22
MONEY MARKET FUND--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSITS-6.72%
$ 6,000,000 Banque Nationale de Paris 5.56% 10/15/96 $ 6,000,072
5,000,000 Commerzbank International
SA 5.44 09/03/96 5,000,003
------------
TOTAL CERTIFICATES OF DEPOSITS $ 11,000,075
COMMERCIAL PAPER-55.44%
$ 5,000,000 ABN Amro North American
Finance Corp Inc 5.27%* 09/03/96 $ 4,998,536
5,000,000 American Express Credit
Corp 5.30* 11/21/96 4,940,375
2,500,000 Asset Securitization
Cooperative Corp++ 5.30* 10/30/96 2,478,285
2,500,000 Asset Securitization
Cooperative Corp++ 5.32* 11/15/96 2,472,292
2,000,000 Bank of Nova Scotia 5.45* 10/16/96 1,986,375
5,000,000 Canadian Imperial Bank of
Commerce 5.30* 11/25/96 4,937,431
2,500,000 Commerzbank International
SA 5.31* 11/12/96 2,473,450
5,000,000 Corporate Receivables
Corp++ 5.45* 10/16/96 4,965,938
5,000,000 Daimler Benz North America
Corp 5.33* 11/04/96 4,952,622
2,500,000 Daimler Benz North America
Corp 5.30* 11/27/96 2,467,979
3,000,000 Falcon Asset
Securitization Corp++ 5.47* 10/10/96 2,982,223
7,000,000 Ford Motor Credit Corp 5.42* 10/22/96 6,946,252
6,000,000 General Electric Credit
Corp 5.42* 09/09/96 5,992,773
6,015,000 Glaxo Wellcome Plc 5.39* 09/16/96 6,001,479
5,000,000 Household Finance Corp 5.28* 11/26/96 4,936,933
7,000,000 National Australia Funding
Inc 5.41* 10/03/96 6,966,338
2,500,000 National Rural Utilities
Cooperative Finance 5.29* 11/19/96 2,470,978
3,000,000 Student Loan Corp 5.29* 11/20/96 2,964,733
5,000,000 Suntrust Banks 5.30* 10/28/96 4,958,042
5,000,000 Transamerica Finance Corp 5.31* 11/07/96 4,950,587
5,000,000 WCP Funding Corp++ 5.32* 10/24/96 4,960,838
------------
TOTAL COMMERCIAL PAPER $ 90,804,459
</TABLE>
19
MONEY MARKET FUND (UNAUDITED)--AUGUST 31, 1996
<PAGE> 23
MONEY MARKET FUND--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM FEDERAL AGENCIES-11.27%
$ 5,000,000 Federal Home Loan Mortgage
Corp 5.22%* 09/09/96 $ 4,994,200
3,500,000 Federal Home Loan Mortgage
Corp 5.22* 09/18/96 3,491,373
5,000,000 Federal National Mortgage
Assoc 5.25* 09/17/96 4,988,333
5,000,000 Federal National Mortgage
Assoc 5.18* 09/24/96 4,983,469
------------
TOTAL SHORT-TERM FEDERAL AGENCIES $ 18,457,375
VARIABLE- AND FLOATING-RATE NOTES-16.17%
$ 6,500,000 Abbey National North
America 5.32% 07/17/97 $ 6,495,515
5,000,000 Beta Finance Corp 5.56 01/27/97 4,998,000
5,000,000 FCC National Bank 5.24 10/31/96 4,997,589
3,000,000 Federal Home Loan Bank 5.37 08/08/97 2,997,977
7,000,000 PNC Funding Corp 5.32 05/15/97 6,994,825
------------
TOTAL VARIABLE- AND FLOATING-RATE NOTES $ 26,483,906
U.S. TREASURY BILLS-8.93%
$ 10,000,000 U.S. Treasury Bills 5.46%* 02/06/97 $ 9,789,388
5,000,000 U.S. Treasury Bills 5.53* 04/03/97 4,845,742
------------
TOTAL U.S. TREASURY BILLS $ 14,635,130
REPURCHASE AGREEMENTS-1.97%
$ 3,240,000 Goldman Sachs Pooled
Repurchase Agreement -
102% Collateralized by
U.S. Government Securities 5.20% 09/03/96 $ 3,240,000
TOTAL INVESTMENTS IN SECURITIES
(Cost $164,620,945)** (Notes 1
and 3) 100.50% $164,620,945
Other Assets and Liabilities,
Net (0.50) (820,053)
-------- ------------
TOTAL NET ASSETS 100.00% $163,800,892
======== ============
</TABLE>
- ------------------------------------------------------------------------------
++ These securities are not registered under the Securities Act of 1933. Rule
144A under that Act permits these securities to be resold in transactions
exempt from registration to qualified institutional buyers. These securities
were deemed liquid by the investment adviser in accordance with procedures
approved by the Fund's Board of Directors.
* Yield to maturity.
** 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.
20
<PAGE> 24
(THIS PAGE INTENTIONALLY LEFT BLANK)
21
<PAGE> 25
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- ---------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at
market value (Note 1) $424,006,996 $67,435,991
Cash 0 0
RECEIVABLES:
Dividends and interest 1,778,551 396,691
Due from Administrator (Note 2) 0 0
Prepaid expenses 0 42,164
TOTAL ASSETS 425,785,547 67,874,846
LIABILITIES
PAYABLES:
Distribution to shareholders 1,630,699 387,993
Due to sponsor and distributor (Note 2) 73,314 5,717
Due to WFB (Note 2) 327,497 0
Other 0 109,225
TOTAL LIABILITIES 2,031,510 502,935
TOTAL NET ASSETS $423,754,037 $67,371,911
NET ASSETS CONSIST OF:
Paid-in capital $375,264,269 $70,415,772
Undistributed/overdistributed net
investment income (loss) 0 0
Undistributed net realized gain (loss) on
investments 25,035,919 (826,606)
Net unrealized appreciation on investments 23,453,849 (2,217,255)
TOTAL NET ASSETS $423,754,037 $67,371,911
COMPUTATION OF NET ASSET VALUE AND OFFERING
PRICE PER SHARE
Net Assets $423,754,037 $67,371,911
Shares outstanding 36,523,641 7,261,827
Net asset value and offering price per
share $11.60 $9.28
</TABLE>
- ------------------------------------------------------------------------------
*The Money Market Fund does not have a corresponding Master Portfolio. The cost
of securities held at August 31, 1996 is the same as the market value.
The accompanying notes are an integral part of these financial statements.
22
<PAGE> 26
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund Fund Fund Fund
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$222,145,037 $34,347,251 $61,307,838 $70,888,746 $37,864,140
0 0 0 0 0
0 268,915 390,536 365,787 162,615
0 0 0 0 0
14,108 0 0 0 0
222,159,145 34,616,166 61,698,374 71,254,533 38,026,755
0 0 0 0 0
18,407 5,864 10,319 11,935 6,279
40,467 34,928 61,886 77,879 39,423
65,242 0 0 0 0
124,116 40,792 72,205 89,814 45,702
$222,035,029 $34,575,374 $61,626,169 $71,164,719 $37,981,053
$185,545,251 $34,739,550 $61,893,722 $70,671,781 $38,143,968
(575,450) 245,458 349,259 318,045 137,499
12,752,557 48,314 45,302 289,605 135,372
24,312,671 (457,948) (662,114) (114,712) (435,786)
$222,035,029 $34,575,374 $61,626,169 $71,164,719 $37,981,053
$222,035,029 $34,575,374 $61,626,169 $71,164,719 $37,981,053
14,752,961 3,290,515 5,396,178 5,959,175 3,070,524
$ 15.05 $ 10.51 $ 11.42 $ 11.94 $ 12.37
</TABLE>
- ------------------------------------------------------------------------------
23
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)--AUGUST 31, 1996
<PAGE> 27
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
LifePath
2040
Fund
- ------------------------------------------------------------------------
<S> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $44,619,906
Cash 0
RECEIVABLES:
Dividends and interest 150,976
Due from Administrator (Note 2) 0
Prepaid expenses 0
TOTAL ASSETS 44,770,882
LIABILITIES
PAYABLES:
Distribution to shareholders 0
Due to sponsor and distributor (Note 2) 7,277
Due to WFB (Note 2) 47,164
Other 0
TOTAL LIABILITIES 54,441
TOTAL NET ASSETS $44,716,441
NET ASSETS CONSIST OF:
Paid-in capital $44,505,038
Undistributed/overdistributed net investment income
(loss) 121,869
Undistributed net realized gain (loss) on investments 228,788
Net unrealized appreciation on investments (139,254)
TOTAL NET ASSETS $44,716,441
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
Net Assets $44,716,441
Shares outstanding 3,443,410
Net asset value and offering price per share $12.89
</TABLE>
- ------------------------------------------------------------------------------
*The Money Market Fund does not have a corresponding Master Portfolio. The cost
of securities held at August 31, 1996 is the same as the market value.
The accompanying notes are an integral part of these financial statements.
24
<PAGE> 28
<TABLE>
<CAPTION>
U.S.
Money S&P Short-Intermediate Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
$164,620,945 $1,022,579,667 $12,381,828 $49,521,259
1,970 0 0 0
187,807 4,307,341 70,631 269,649
0 0 31,387 0
0 63,747 1,484 0
164,810,722 1,026,950,755 12,485,330 49,790,908
687,756 0 68,713 252,569
13,410 85,849 1,069 8,537
260,173 113,509 0 37,200
48,491 182,933 85,737 0
1,009,830 382,291 155,519 298,306
$163,800,892 $1,026,568,464 $12,329,811 $49,492,602
$163,861,034 $818,468,101 $12,842,272 $55,124,752
0 4,049,608 0 0
(60,142) 12,846,461 (238,154) (4,681,283)
0 191,204,294 (274,307) (950,867)
$163,800,892 $1,026,568,464 $12,329,811 $49,492,602
$163,800,892 $1,026,568,464 $12,329,811 $49,492,602
163,860,562 71,969,897 1,356,775 5,450,454
$1.00 $14.26 $9.09 $9.08
</TABLE>
- ------------------------------------------------------------------------------
25
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)--AUGUST 31, 1996
<PAGE> 29
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- ---------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 2,468,493 $ 0
Interest 7,257,816 2,249,843
Expenses (753,332) (31,148)
NET INVESTMENT INCOME ALLOCATED FROM
MASTER PORTFOLIO 8,972,977 2,218,695
EXPENSES (NOTE 2)
Administration fees 215,400 16,119
Custody fees 0 0
Advisory fees 0 0
Transfer agency fees 215,400 9,672
Shareholder servicing fees 430,798 22,567
Legal and audit 0 13,201
Registration fees 0 29,159
Directors' fees 0 3,268
Shareholder reports 0 13,373
Other 0 4,035
TOTAL EXPENSES 861,598 111,394
Less:
Waived fees and reimbursed expenses 0 (66,878)
Net expenses 861,598 44,516
NET INVESTMENT INCOME (LOSS) 8,111,379 2,174,179
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS ALLOCATED FROM MASTER PORTFOLIOS
Net realized gain (loss) on sale of
investments 26,324,047 (91,039)
Net change in unrealized appreciation of
investments (34,799,509) (2,444,328)
NET GAIN (LOSS) ON INVESTMENTS (8,475,462) (2,535,367)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (364,083) $ (361,188)
</TABLE>
- ------------------------------------------------------------------------------
*The Money Market Fund does not have a corresponding Master Portfolio. All
interest is derived from securities held by the Fund.
**The Fund commenced operations on March 26, 1996.
The accompanying notes are an integral part of these financial statements.
26
<PAGE> 30
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund** Fund** Fund** Fund**
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 119,328 $ 65,782 $ 276,350 $ 495,987 $ 295,828
386,449 618,736 745,711 635,558 189,408
(634,772) (73,181) (130,788) (170,204) (84,666)
(128,995) 611,337 891,273 961,341 400,570
52,867 13,108 23,384 30,278 15,016
0 0 0 0 0
0 0 0 0 0
31,720 13,108 46,770 30,278 15,016
105,735 26,215 23,384 60,558 30,031
12,377 0 0 0 0
28,405 0 0 0 0
3,267 0 0 0 0
12,668 0 0 0 0
2,873 0 0 0 0
249,912 52,431 93,538 121,114 60,063
(65,785) 0 0 0 0
184,127 0 0 0 0
(313,122) 558,906 797,735 840,227 340,507
12,709,379 48,314 45,302 289,605 135,372
(11,395,926) (457,948) (662,114) (114,712) (435,786)
1,313,453 (409,634) (616,812) 174,893 (300,414)
$ 1,000,331 $ 149,272 $ 180,923 $1,015,120 $ 40,093
</TABLE>
- ------------------------------------------------------------------------------
27
STATEMENT OF OPERATIONS (UNAUDITED)--FOR THE SIX MONTHS ENDED AUGUST 31,
1996
<PAGE> 31
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
LifePath
2040
Fund**
- ------------------------------------------------------------------------
<S> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 395,530
Interest 84,103
Expenses (102,985)
NET INVESTMENT INCOME ALLOCATED FROM
MASTER PORTFOLIO 376,648
EXPENSES (NOTE 2)
Administration fees 18,101
Custody fees 0
Advisory fees 0
Transfer agency fees 18,101
Shareholder servicing fees 36,204
Legal and audit 0
Registration fees 0
Directors' fees 0
Shareholder reports 0
Other 0
TOTAL EXPENSES 72,406
Less:
Waived fees and reimbursed expenses 0
Net expenses 0
NET INVESTMENT INCOME (LOSS) 304,242
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER PORTFOLIOS
Net realized gain (loss) on sale of investments 228,788
Net change in unrealized appreciation of investments (139,254)
NET GAIN (LOSS) ON INVESTMENTS 89,534
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 393,776
</TABLE>
- ------------------------------------------------------------------------------
*The Money Market Fund does not have a corresponding Master Portfolio. All
interest is derived from securities held by the Fund.
**The Fund commenced operations on March 26, 1996.
The accompanying notes are an integral part of these financial statements.
28
<PAGE> 32
<TABLE>
<CAPTION>
Money S&P Short-Intermediate U.S. Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 0 $10,174,414 $ 0 $ 0
4,317,874 2,016,242 477,846 1,731,367
0 (255,172) (39,817) (80,703)
4,317,874 11,935,484 438,029 1,650,664
39,984 246,456 3,333 25,543
39,984 0 0 0
279,662 0 0 0
39,984 147,874 2,000 25,543
0 345,039 6,666 51,085
0 56,155 12,444 0
0 57,815 21,618 0
0 3,268 3,268 0
0 37,000 10,256 0
710 51,662 2,466 0
400,324 945,269 62,051 102,171
(40,721) (214,266) (57,145) (1,366)
359,603 731,003 4,906 100,805
3,958,271 11,204,481 433,123 1,549,859
(1,105) 5,870,516 (72,976) (293,512)
0 7,782,163 (368,491) (1,196,770)
(1,105) 13,652,679 (441,467) (1,490,282)
$3,957,166 $24,857,160 $ (8,344) $ 59,577
</TABLE>
- ------------------------------------------------------------------------------
29
STATEMENT OF OPERATIONS (UNAUDITED)--FOR THE SIX MONTHS ENDED AUGUST 31,
1996
<PAGE> 33
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Fund
-------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 8,111,379 $ 12,662,723
Net realized gain (loss) on sale of
investments 26,324,047 253,536
Net change in unrealized appreciation
(depreciation) of investments (34,799,509) 58,636,223
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (364,083) 71,552,482
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (8,111,379) (12,662,723)
From net realized gain (loss) on sales
of investments 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 98,923,124 133,240,369
Net asset value of shares issued in
reinvestment of dividends and
distributions 7,567,499 12,759,213
Cost of shares redeemed (72,191,330) (100,655,571)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS 34,299,293 45,344,011
INCREASE (DECREASE) IN NET ASSETS 25,823,831 104,233,770
NET ASSETS:
Beginning net assets 397,930,206 293,696,436
ENDING NET ASSETS $423,754,037 $397,930,206
SHARES ISSUED AND REDEEMED:
Shares sold 8,340,010 12,022,471
Shares issued in reinvestment of
dividends and distributions 639,914 1,169,213
Shares redeemed (6,090,566) (9,142,254)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 2,889,358 4,049,430
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
30
<PAGE> 34
<TABLE>
<CAPTION>
Bond Index Fund Growth Stock Fund
- ------------------------------------- -------------------------------------
(Unaudited) (Unaudited)
For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended
August 31, 1996 February 29, 1996 August 31, 1996 February 29, 1996
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 2,174,179 $ 2,430,763 $ (313,122) $ (169,318)
(91,039) (403,203) 12,709,379 14,846,540
(2,444,328) 1,073,727 (11,395,926) 30,335,247
(361,188) 3,101,287 1,000,331 45,012,469
(2,174,179) (2,430,763) 0 (46,399)
0 0 0 (16,939,083)
22,227,552 51,730,402 96,393,169 105,184,276
2,089,989 2,229,063 0 16,985,470
(12,500,064) (15,133,678) (53,942,292) (68,537,649)
11,817,477 38,825,787 42,450,877 53,632,097
9,282,110 39,496,311 43,451,208 81,659,084
58,089,801 18,593,490 178,583,821 96,924,737
$67,371,911 $ 58,089,801 $222,035,029 $178,583,821
2,351,332 5,320,928 6,121,338 7,370,776
221,611 230,227 0 1,212,039
(1,327,311) (1,555,049) (3,452,370) (4,828,460)
1,245,632 3,996,106 2,668,968 3,754,355
</TABLE>
- -------------------------------------------------------------------------------
31
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 35
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Fund
------------------
(Unaudited)
Period from
March 26, 1996
(Commencement
of Operations)
to August 31, 1996
- ---------------------------------------------------------------------------
<S> <C>
INCREASE IN NET ASSETS
OPERATIONS:
Net investment income $ 558,906
Net realized gain (loss) on sale of investments 48,314
Net change in unrealized appreciation of investments (457,948)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 149,272
DISTRIBUTIONS TO SHAREHOLDERS:
FROM NET INVESTMENT INCOME (313,448)
From net realized gain on sales of investments 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 42,069,955
Reinvestment of dividends 313,448
Cost of shares redeemed (7,643,853)
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
SHARE TRANSACTIONS 34,739,550
INCREASE IN NET ASSETS 34,575,374
NET ASSETS:
Beginning net assets 0
ENDING NET ASSETS $34,575,374
SHARES ISSUED AND REDEEMED:
Shares sold 3,987,620
Shares issued in reinvestment of dividends 29,740
Shares redeemed (726,845)
NET INCREASE IN SHARES OUTSTANDING 3,290,515
</TABLE>
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
32
<PAGE> 36
<TABLE>
<CAPTION>
LifePath 2010 Fund LifePath 2020 Fund LifePath 2030 Fund LifePath 2040 Fund
- ------------------ ------------------ ------------------ ------------------
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
Period from Period from Period from Period from
March 26, 1996 March 26, 1996 March 26, 1996 March 26, 1996
(Commencement (Commencement (Commencement (Commencement
of Operations) of Operations) of Operations) of Operations)
to August 31, 1996 to August 31, 1996 to August 31, 1996 to August 31, 1996
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 797,735 $ 840,227 $ 340,507 $ 304,242
45,302 289,605 135,372 228,788
(662,114) (114,712) (435,786) (139,254)
180,923 1,015,120 40,093 393,776
(448,476) (522,182) (203,008) (182,373)
0 0 0 0
71,716,479 102,380,333 44,519,250 52,540,852
448,476 522,194 203,008 182,373
(10,271,233) (32,230,746) (6,578,290) (8,218,187)
61,893,722 70,671,781 38,143,968 44,505,038
61,626,169 71,164,719 37,981,053 44,716,441
0 0 0 0
$61,626,169 $ 71,164,719 $37,981,053 $ 44,716,441
6,253,248 8,565,421 3,582,278 4,060,083
38,851 43,008 16,066 13,725
(895,921) (2,649,254) (527,820) (630,398)
5,396,178 5,959,175 3,070,524 3,443,410
- ---------------------------------------------------------------------------------------
</TABLE>
33
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 37
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Money Market Fund
-------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 3,958,271 $ 8,366,175
Net realized gain (loss) on sale of
investments (1,105) (47,092)
Net change in unrealized appreciation
(depreciation) of investments 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 3,957,166 8,319,083
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (3,958,271) (8,366,175)
From net realized gain (loss) on sales
of investments 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 79,954,235 153,053,870
Net asset value of shares issued in
reinvestment of dividends and
distributions 3,806,391 8,172,476
Cost of shares redeemed (76,810,130) (151,596,313)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS 6,950,496 9,630,033
INCREASE (DECREASE) IN NET ASSETS 6,949,391 9,582,941
NET ASSETS:
Beginning net assets 156,851,501 147,268,560
ENDING NET ASSETS $163,800,892 $156,851,501
SHARES ISSUED AND REDEEMED:
Shares sold 79,954,234 153,050,549
Shares issued in reinvestment of
dividends and distributions 3,806,391 8,172,596
Shares redeemed (76,810,130) (151,592,992)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 6,950,495 9,630,153
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
34
<PAGE> 38
<TABLE>
<CAPTION>
S&P 500 Stock Fund Short-Intermediate Term Fund
- ------------------------------------- -------------------------------------
(Unaudited) (Unaudited)
For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended
August 31, 1996 February 29, 1996 August 31, 1996 February 29, 1996
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 11,204,481 $ 16,771,211 $ 433,123 $ 872,301
5,870,516 18,059,645 (72,976) 215,150
7,782,163 154,527,817 (368,491) 87,124
24,857,160 189,358,673 (8,344) 1,174,575
(10,423,989) (15,389,132) (433,123) (872,302)
0 (10,433,042) 0 0
233,958,935 381,254,861 2,319,692 7,554,298
10,424,227 25,822,033 433,040 881,404
(114,944,290) (136,693,122) (3,685,136) (9,332,501)
129,438,872 270,383,772 (932,404) (896,799)
143,872,043 433,920,271 (1,373,871) (594,526)
882,696,421 448,776,150 13,703,682 14,298,208
$1,026,568,464 $882,696,421 $12,329,811 $13,703,682
16,334,812 30,268,583 251,976 807,468
725,155 2,002,063 47,022 93,988
(8,040,612) (10,747,465) (400,693) (1,004,841)
9,019,355 21,523,181 (101,695) (103,385)
</TABLE>
- -------------------------------------------------------------------------------
35
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 39
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S. Treasury Allocation Fund
-------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
--------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 1,549,859 $ 3,259,100
Net realized gain (loss) on sale of
investments (293,512) 1,744,910
Net change in unrealized appreciation
(depreciation) of investments (1,196,770) 691,484
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 59,577 5,695,494
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (1,549,859) (3,259,100)
From net realized gain (loss) on sales
of investments 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 6,531,733 21,593,120
Net asset value of shares issued in
reinvestment of dividends and
distributions 1,496,379 3,351,900
Cost of shares redeemed (8,677,365) (32,601,086)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS (649,253) (7,656,066)
INCREASE (DECREASE) IN NET ASSETS (2,139,535) (5,219,672)
NET ASSETS:
Beginning net assets 51,632,137 56,851,809
ENDING NET ASSETS $49,492,602 $51,632,137
SHARES ISSUED AND REDEEMED:
Shares sold 708,364 2,313,882
Shares issued in reinvestment of
dividends and distributions 162,772 361,582
Shares redeemed (942,583) (3,477,285)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING (71,447) (801,821)
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
36
<PAGE> 40
(THIS PAGE INTENTIONALLY LEFT BLANK)
37
<PAGE> 41
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Asset Allocation Fund
-------------------------------------------------------
From
(Unaudited) July 2,
Six Months 1993 to
Ended Year Ended Year Ended February
August 31, February 29, February 28, 28,
1996 1996 1995** 1994
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $11.83 $9.93 $10.19 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.40 0.44 0.23
Net realized and unrealized
gain (loss) on investments (0.23) 1.90 (0.14) 0.28
TOTAL FROM INVESTMENT
OPERATIONS (0.01) 2.30 0.30 0.51
LESS DISTRIBUTIONS:
Dividends from net investment
income (0.22) (0.40) (0.44) (0.23)
Distributions from net
realized gains 0.00 0.00 (0.12) (0.09)
TOTAL DISTRIBUTIONS (0.22) (0.40) (0.56) (0.32)
NET ASSET VALUE, END OF PERIOD $11.60 $11.83 $9.93 $10.19
TOTAL RETURN (NOT ANNUALIZED) (0.07)% 23.54% 3.28% 5.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $423,754 $397,930 $293,696 $217,140
Number of shares outstanding,
end of period (000) 36,524 33,634 29,585 21,303
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average
net assets(1) 0.75% 0.75% 0.75% 0.79%
Ratio of net investment income
to average net assets(2) 3.75% 3.62% 4.62% 3.47%
Portfolio turnover -- -- 24%* 33%
Average commission rate paid*** -- -- -- --
- --------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior to
waived fees and reimbursed
expenses N/A N/A 0.76% 0.80%
(2) Ratio of net investment
income to average net
assets prior to waived fees
and reimbursed expenses N/A N/A 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 Portfolio, hence no securities-related activity.
** See Note 4.
*** Except for the Money Market Fund, the Funds invest all of their assets in
the corresponding Master Portfolio, hence no securities-related activity.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the Master Portfolio.
38
<PAGE> 42
<TABLE>
<CAPTION>
Bond Index Fund
- -----------------------------------------------------------
(Unaudited) From
Six Months July 2,
Ended Year Ended Year Ended 1993 to
August 31, February 29, February 28, February 28,
1996 1996 1995** 1994
- -----------------------------------------------------------
<S> <C> <C> <C>
$9.66 $9.20 $9.76 $10.00
0.32 0.64 0.64 0.38
(0.38) 0.46 (0.56) (0.24)
(0.06) 1.10 0.08 0.14
(0.32) (0.64) (0.64) (0.38)
0.00 0.00 0.00 0.00
0.00 (0.64) (0.64) (0.38)
$9.28 $9.66 $9.20 $9.76
(0.63)% 12.17% 1.12% 1.38%
$67,372 $58,090 $18,593 $14,899
7,262 6,016 2,020 1,526
0.23% 0.23% 0.23% 0.31%
6.72% 6.67% 7.08% 5.88%
-- -- 14%* 20%
-- -- -- --
- ------------------------------------------------------------------------------
0.43% 0.53% 0.71% 0.32%
6.51% 6.37% 6.61% 5.87%
</TABLE>
- ------------------------------------------------------------------------------
39
FINANCIAL HIGHLIGHTS
<PAGE> 43
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Growth Stock Fund
-------------------------------------------------------
From
(Unaudited) July 2,
Six Months 1993 to
Ended Year Ended Year Ended February
August 31, February 29, February 28, 28,
1996 1996 1995** 1994
- --------- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $14.78 $11.64 $11.52 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.02) (0.01) 0.00 (0.01)
Net realized and unrealized
gain (loss) on investments 0.29 4.82 0.19 1.86
TOTAL FROM INVESTMENT
OPERATIONS 0.27 4.81 0.19 1.85
LESS DISTRIBUTIONS:
Dividends from net investment
income 0.00 (0.01) 0.00 0.00
Distributions from net
realized gains 0.00 (1.66) (0.07) (0.33)
Distributions in excess of net
realized gains 0.00 0.00 0.00 0.00
TOTAL DISTRIBUTIONS 0.00 (1.67) (0.07) (0.33)
NET ASSET VALUE, END OF PERIOD $15.05 $14.78 $11.64 $11.52
TOTAL RETURN (NOT ANNUALIZED) 0.00% 42.10% 1.70% 18.65%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $222,035 $178,584 $96,925 $45,443
Number of shares outstanding,
end of period (000) 14,753 12,084 8,330 3,945
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average
net assets(1) 0.76% 0.76% 0.76% 0.80%
Ratio of net investment income
to average net assets(2) (0.29)% (0.12)% (0.02)% (0.18)%
Portfolio turnover -- -- 27%* 104%
Average commission rate
paid**** -- -- -- --
- ---------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior to
waived fees and reimbursed
expenses 0.83% 0.86% 0.87% 0.80%
(2) Ratio of net investment
income to average net
assets prior to waived fees
and reimbursed expenses (0.36)% (0.22)% (0.12)% (0.18)%
- ---------------------------------------------------------------------------------------
</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 Portfolio, hence no securities-related activity.
** See Note 4.
*** The Fund commenced operations on March 26, 1996.
**** Except for the Money Market Fund, the Funds invest all of their assets in
the corresponding Master Portfolio, hence no securities-related activity.
+ Annualized for periods of less than one year.
40
<PAGE> 44
<TABLE>
<CAPTION>
LifePath 2000 Fund LifePath 2010 Fund LifePath 2020 Fund LifePath 2030 Fund
- ------------------ ------------------ ------------------ ------------------
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
For the Period For the Period For the Period For the Period
Ended Ended Ended Ended
August 31, 1996*** August 31, 1996*** August 31, 1996*** August 31, 1996***
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
$10.00 $10.00 $10.00 $10.00
0.17 0.15 0.14 0.12
0.44 1.36 1.89 2.32
0.61 1.51 2.03 2.44
(0.10) (0.09) (0.09) (0.07)
0 0 0 0
0 0 0 0
0 0 0 0
$10.51 $11.42 $11.94 $12.37
0.34% 0.88% 0.96% 1.11%
$34,575 $61,626 $71,165 $37,981
3,291 5,396 5,959 3,071
0.95% 0.95% 0.95% 0.95%
3.95% 3.16% 2.56% 2.10%
-- -- -- --
-- -- -- --
- -------------------------------------------------------------------------------------
N/A N/A N/A N/A
N/A N/A N/A N/A
- -------------------------------------------------------------------------------------
</TABLE>
41
FINANCIAL HIGHLIGHTS
<PAGE> 45
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2040 Fund
--------------
(Unaudited)
For the Period
Ended
August 31, 1996***
- --------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09
Net realized and unrealized gain (loss)
on investments 2.95
TOTAL FROM INVESTMENT OPERATIONS 3.04
LESS DISTRIBUTIONS:
Dividends from net investment income (0.05)
Distributions from net
realized gains 0
Distributions in excess of net
realized gains 0
TOTAL DISTRIBUTIONS 0
NET ASSET VALUE, END OF PERIOD $12.99
TOTAL RETURN (NOT ANNUALIZED) 2.01%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $44,716
Number of shares outstanding,
end of period (000) 3,443
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to
average net assets(1) 0.95%
Ratio of net investment income to
average net assets(2) 1.54%
Portfolio turnover --
Average commission rate paid**** --
- ------------------------------------------------------------------------------
(1) Ratio of expenses to average net
assets prior to waived fees and
reimbursed expenses N/A
(2) Ratio of net investment income to
average net assets prior to waived
fees and reimbursed expenses N/A
</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 Portfolio, hence no securities-related activity.
** See Note 4.
*** The Fund commenced operations on March 26, 1996.
**** Except for the Money Market Fund, the Funds invest all of their assets in
the corresponding Master Portfolio, hence no securities-related activity.
+ Annualized for periods of less than one year.
42
<PAGE> 46
<TABLE>
<CAPTION>
Money Market Fund
- -----------------------------------------------------------
(Unaudited) From
Six Months July 2,
Ended Year Ended Year Ended 1993 to
August 31, February 29, February 28, February 28,
1996 1996 1995** 1994
- -----------------------------------------------------------
<S> <C> <C> <C>
$1.00 $1.00 $1.00 $1.00
0.02 0.05 0.04 0.02
0.00 0.00 0.00 0.00
0.02 0.05 0.04 0.02
(0.02) (0.05) (0.04) (0.02)
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
(0.02) (0.05) (0.04) (0.02)
$1.00 $1.00 $1.00 $1.00
0.00% 5.60% 4.40% 1.81%
$163,801 $156,852 $147,269 $81,649
163,861 156,910 147,280 81,648
0.45% 0.45% 0.45% 0.49%
4.93% 5.44% 4.44% 2.77%
N/A N/A N/A N/A
$0.00 -- -- --
- ------------------------------------------------------------------------------
0.50% 0.49% 0.57% 0.50%
4.88% 5.40% 4.32% 2.76%
</TABLE>
- ------------------------------------------------------------------------------
43
FINANCIAL HIGHLIGHTS
<PAGE> 47
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
S&P 500 Stock Fund
-------------------------------------------------------
From
(Unaudited) July 2,
Six Months 1993 to
Ended Year Ended Year Ended February
August 31, February 29, February 28, 28,
1996 1996 1995** 1994
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $14.02 $10.83 $10.50 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.16 0.31 0.27 0.16
Net realized and unrealized
gain (loss) on investments 0.24 3.36 0.41 0.47
TOTAL FROM INVESTMENT
OPERATIONS 0.40 3.67 0.68 0.63
LESS DISTRIBUTIONS:
Dividends from net investment
income (0.16) (0.30) (0.27) (0.12)
Distributions from net
realized gains 0.00 (0.18) (0.08) (0.01)
Distributions in excess of net
realized gains 0.00 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.16) (0.48) (0.35) (0.13)
NET ASSET VALUE, END OF PERIOD $14.26 $14.02 $10.83 $10.50
TOTAL RETURN (NOT ANNUALIZED) 2.82% 34.35% 6.71% 6.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $1,026,568 $882,696 $448,776 $122,391
Number of shares outstanding,
end of period (000) 71,970 62,951 41,427 11,653
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average
net assets(1) 0.20% 0.20% 0.21% 0.27%
Ratio of net investment income
to average net assets(2) 2.26% 2.52% 2.93% 2.46%
Portfolio turnover -- -- 8%* 4%
Average commission rate paid*** -- -- -- --
- --------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior to
waived fees and reimbursed
expenses 0.24% 0.26% 0.25% 0.28%
(2) Ratio of net investment
income to average net
assets prior to waived fees
and reimbursed expenses 2.22% 2.46% 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 Portfolio, hence no securities-related activity.
** See Note 4.
*** Except for the Money Market Fund, the Funds invest all of their assets in
the corresponding Master Portfolio, hence no securities-related activity.
+ Annualized for periods of less than one year.
44
<PAGE> 48
<TABLE>
<CAPTION>
Short-Intermediate Term Fund
- -----------------------------------------------------------
(Unaudited) From
Six Months July 2,
Ended Year Ended Year Ended 1993 to
August 31, February 29, February 28, February 28,
1996 1996 1995** 1994
- -----------------------------------------------------------
<S> <C> <C> <C>
$9.40 $9.15 $9.72 $10.00
0.30 0.65 0.64 0.42
(0.31) 0.25 (0.57) (0.28)
(0.01) 0.90 0.70 0.14
(0.30) (0.65) (0.64) (0.42)
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
(0.30) (0.65) (0.64) (0.42)
$9.09 $9.40 $9.15 $9.72
0.00% 10.07% 0.89% 1.42%
$12,330 $13,704 $14,298 $5,258
1,357 1,458 1,562 541
0.65% 0.65% 0.65% 0.65%
6.48% 6.82% 7.07% 6.02%
-- -- 29% 277%
-- -- -- --
- ------------------------------------------------------------------------------
1.50% 1.44% 1.41% 0.65%
5.63% 6.03% 6.32% 6.02%
</TABLE>
- ------------------------------------------------------------------------------
45
FINANCIAL HIGHLIGHTS
<PAGE> 49
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
U.S. Treasury Allocation Fund
-------------------------------------------------------
From
(Unaudited) July 2,
Six Months 1993 to
Ended Year Ended Year Ended February
August 31, February 29, February 28, 28,
1996 1996 1995** 1994
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $9.35 $8.99 $9.67 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.28 0.51 0.59 0.39)
Net realized and unrealized
gain (loss) on investments (0.27) 0.36 (0.68) (0.05)
TOTAL FROM INVESTMENT
OPERATIONS 0.01 0.87 (0.09) 0.34
LESS DISTRIBUTIONS:
Dividends from net investment
income (0.28) (0.51) (0.59) (0.39)
Distributions from net
realized gains 0.00 0.00 0.00 (0.20)
Distributions in excess of net
realized gains 0.00 0.00 0.00 (0.08)
TOTAL DISTRIBUTIONS (0.28) (0.51) (0.59) (0.67)
NET ASSET VALUE, END OF PERIOD $9.08 $9.35 $8.99 $9.67
TOTAL RETURN (NOT ANNUALIZED) 0.14% 9.89% (0.76)% 3.33%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $49,493 $51,632 $56,852 $58,216
Number of shares outstanding,
end of period (000) 5,450 5,522 6,324 6,019
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average
net assets(1) 0.70% 0.70% 0.70% 0.78%
Ratio of net investment income
to average net assets(2) 6.05% 5.47% 6.52% 5.79%
Portfolio turnover -- -- 43%* 210%
Average commission rate paid*** -- -- -- --
- --------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets prior to
waived fees and reimbursed
expenses N/A N/A 0.72% 0.80%
(2) Ratio of net investment
income to average net
assets prior to waived fees
and reimbursed expenses N/A N/A 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 Portfolio, hence no securities-related activity.
** See Note 4.
*** Except for the Money Market Fund, the Funds invest all of their assets in
the corresponding Master Portfolio, hence no securities-related activity.
+ Annualized for periods of less than one year.
46
<PAGE> 50
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
MasterWorks Funds Inc. (formerly 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, Bond Index, Growth Stock,
LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money
Market, S&P 500 Stock, Short-Intermediate Term and U.S. Treasury Allocation
Funds (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.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
INVESTMENT POLICY AND SECURITY VALUATION
Each Fund, with the exception of the Growth Stock, Money Market and
Short-Intermediate Term Funds, invests all of its assets in a separate series
(each a "Master Portfolio") of Master Investment Portfolio. Each of the Growth
Stock and Short-Intermediate Term Funds invests all of its assets in a separate
series (also a "Master Portfolio") of Managed Series Investment Trust. Each
Master Portfolio has the same investment objective as the Fund bearing the
corresponding name. The value of each Fund's investment in its corresponding
Master Portfolio reflects that Fund's interest in the net assets of that Master
Portfolio (99.99%, 38.31%, 99.99%, 21.51%, 38.58%, 31.73%, 25.69%, 19.21%,
94.53%, 99.99% and 99.99% for the Asset Allocation, Bond Index, Growth Stock,
LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, S&P
500 Stock, Short-Intermediate Term and U.S. Treasury Allocation Funds,
respectively, as of August 31, 1996). The Money Market Fund does not invest in a
corresponding Master Portfolio. Investments of each Master Portfolio are
47
<PAGE> 51
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
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. Any 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 the Company's Board of
Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities transactions are accounted for by each Master Portfolio on the
date the securities are purchased or sold (trade date). Revenue is recognized by
each Master Portfolio 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 Portfolio are
allocated as required by the Code.
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 its corresponding Master Portfolio.
The financial statements of each Master Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with the corresponding Fund's financial statements.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements,
48
<PAGE> 52
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
if any, are detailed in each Master Portfolio's Portfolio of Investments. The
adviser to the Master Portfolios may pool each Master Portfolio's cash and
invest in repurchase agreements entered into by the other Master Portfolios.
Each Master Portfolio's prospectus requires that the cash investments be fully
collateralized based on values that are marked to market daily. The collateral
is generally held by an agent bank under a tri-party agreement. It is the
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 by the Master Portfolios as of
August 31, 1996 are collateralized by U.S. government securities. The repurchase
agreements were entered into on August 31, 1996.
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 substantially all of its investment company taxable income and
any net realized 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 following
funds had net capital loss carryforwards at August 31, 1996:
<TABLE>
<CAPTION>
Net Capital
Year Loss
Fund Expires Carryforward
- --------------------------------------------------------------------
<S> <C> <C>
Asset Allocation Fund 2003 $2,470,319
Bond Index Fund 2002 144,965
2003 225,479
Money Market Fund 2002 11,557
2003 74,287
Short-Intermediate Term Fund 2002 272,810
U.S. Treasury Allocation Fund 2002 4,479,181
</TABLE>
No capital gain distribution shall be made in any of the Funds until the
respective capital loss carryforward has been fully utilized or expires.
49
<PAGE> 53
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Asset
Allocation, Bond Index, Short-Intermediate Term and U.S. Treasury Allocation
Funds are declared and distributed monthly. Dividends to shareholders from net
investment income of the Growth Stock, LifePath 2000, LifePath 2010, LifePath
2020, LifePath 2030, LifePath 2040 and S&P 500 Stock Funds 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 the average daily net assets for the Bond Index, Growth
Stock, S&P 500 Stock and Short-Intermediate Term Funds and 0.10% of the average
daily net assets of the Asset Allocation, LifePath 2000, LifePath 2010, LifePath
2020, LifePath 2030, LifePath 2040, Money Market and U.S. Treasury Allocation
Funds. WFB is compensated for shareholder servicing based on an annual rate of
0.20% for the Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020,
LifePath 2030, LifePath 2040 and U.S. Treasury Allocation Funds, 0.10% for the
Growth Stock and Short-Intermediate Term Funds and 0.07% for the Bond Index and
S&P 500 Stock Funds, based on the average daily net assets of each of these
Funds.
Pursuant to an Investment Advisory Contract with the Money Market Fund,
Barclays Global Fund Advisers ("BGFA") is entitled to receive a monthly fee at
an annual rate of 0.35% of the average daily net assets of
50
<PAGE> 54
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
the Fund as compensation for its advisory services. BGFA is an indirect
subsidiary of Barclays Bank PLC. Prior to January 1, 1996, WFB served as
investment adviser to the Money Market Fund and was entitled to receive a
monthly fee at the annual rate of 0.35% of the average daily net assets of the
Fund as compensation for its services.
WFB serves as sub-adviser to the Money Market Fund. Pursuant to a
Sub-Advisory Contract with the Money Market Fund and BGFA, WFB is responsible
for the day-to-day portfolio management of the Money Market Fund. WFB is
entitled to receive from BGFA an amount equal to 0.05% of the average daily net
assets of the Money Market Fund as compensation for its sub-advisory services.
Barclays Global Investors, N.A. ("BGI") currently acts as custodian for the
Money Market Fund. BGI will not be entitled to receive compensation for its
custodial services so long as BGFA is entitled to receive fees for providing
investment advisory services to the Money Market Fund.
The Company has entered into administration and distribution agreements
with Stephens on behalf of the Asset Allocation, LifePath 2000, LifePath 2010,
LifePath 2020, LifePath 2030, LifePath 2040, Money Market and U.S. Treasury
Allocation Funds. Under the agreements, Stephens has agreed to provide
supervisory, administrative and distribution services for these Funds. As
compensation for these services, the Asset Allocation and U.S. Treasury
Allocation Funds 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, LifePath 2000, LifePath 2010, LifePath 2020,
LifePath 2030, LifePath 2040, Money Market and U.S. Treasury Allocation Funds
and a pro rata share of the operating expenses of the Asset Allocation, LifePath
2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040 and U.S.
Treasury Allocation Master Portfolio, 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
51
<PAGE> 55
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
administration and distribution agreements with Stephens on behalf of the Bond
Index, Growth Stock, S&P 500 Stock and Short-Intermediate Term Funds. 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.
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, 1996:
<TABLE>
<CAPTION>
Reimbursed
Waived Fees Expenses
Fund by WFB by Stephens Total
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Bond Index $ 32,239 $34,639 $66,878
Growth Stock 65,785 0 65,785
Money Market 40,721 0 40,721
S&P 500 Stock 214,266 0 214,266
Short-Intermediate Term 8,666 48,479 57,145
U.S. Treasury Allocation 1,366 0 1,366
</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, 1996, Stephens owned less than 1% of the shares
outstanding for each Fund.
3. CAPITAL SHARES TRANSACTIONS
As of August 31, 1996, there were 11.9 billion shares of $.001 par value
capital stock authorized by the Company. As of August 31, 1996, each Fund except
the Money Market, Short-Intermediate Term and U.S. Treasury Allocation Funds was
authorized to issue 100 million shares of $.001 par value capital stock. The
Money Market Fund was authorized to issue 3 billion shares. The
Short-Intermediate Term and U.S. Treasury Allocation Funds 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.
52
<PAGE> 56
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
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. 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 Master Investment Portfolio or Managed Series Investment
Trust (both open-end registered investment companies). On the conversion date
the funds transferred their investments to the corresponding Master Portfolio in
exchange for shares in the corresponding Master Portfolio. 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.
Effective on March 15, 1996, the corporate name of Stagecoach Inc. was
changed to "MasterWorks Funds Inc."
5. TRANSFER OF LIFEPATH INSTITUTIONAL SHARE CLASS
At a meeting held in October 1995, the Board of Directors of MasterWorks
Funds Inc. (formerly Stagecoach Inc.) approved the establishment of five
LifePath Funds (the New LifePath Funds). The New LifePath Funds were created to
supersede the five LifePath Institutional class shares of Stagecoach Trust, and
are feeder funds in a master-feeder structure that invest in corresponding
master portfolios of Master Investment Portfolio. Net assets attributable to
each LifePath Institutional class of shares were transferred to the
corresponding New LifePath Funds on March 26, 1996 as follows:
LifePath 2000 $17,280,877
LifePath 2010 $34,620,440
LifePath 2020 $37,028,509
LifePath 2030 $25,785,162
LifePath 2040 $33,520,758
53
<PAGE> 57
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS--40.35%
3,137 AMR Corp+ $ 229,745 $ 257,234
55,534 AT & T Corp 3,176,685 2,915,535
27,143 Abbott Laboratories 983,414 1,224,828
4,557 Advanced Micro Devices+ 110,980 58,102
5,216 Aetna Inc 456,950 344,908
4,038 Ahmanson (H F) & Co 83,072 101,960
3,875 Air Products & Chemicals Inc 190,601 212,156
17,245 Airtouch Communications+ 473,894 474,238
938 Alberto-Culver Co Class B 28,233 38,810
8,715 Albertson's Inc 273,786 369,298
7,814 Alcan Aluminium Ltd 215,791 245,164
4,466 Alco Standard Corp 178,064 194,829
1,539 Alexander & Alexander Services 30,843 24,239
6,068 Allegheny Teledyne Inc+ 97,109 122,877
2,271 Allergan Inc 65,949 88,285
9,792 Allied Signal Inc 418,943 604,656
15,372 Allstate Corp 511,566 685,976
6,511 Alltel Corp 197,478 183,936
6,093 Aluminum Co of America 278,450 378,528
2,867 ALZA Corp+ 70,898 78,484
3,170 Amerada Hess Corp 159,369 161,274
4,135 Amdahl Corp+ 35,573 41,092
6,098 American Brands Inc 239,871 247,731
6,464 American Electric Power Inc 236,491 268,256
16,664 American Express Corp 598,374 729,050
7,186 American General Corp 231,562 262,289
2,564 American Greetings Corp Class A 74,949 66,023
21,929 American Home Products Corp 881,024 1,299,293
16,418 American International Group Inc 1,241,199 1,559,710
5,148 American Stores Co 138,516 211,712
19,172 Ameritech Corp 905,204 989,755
9,200 Amgen Inc+ 361,336 535,900
7,568 AMP Inc 278,666 289,476
17,212 Amoco Corp 1,088,095 1,187,628
2,061 Andrew Corp+ 58,613 91,715
8,722 Anheuser-Busch Inc 504,019 660,692
3,790 Aon Corp 206,618 191,395
4,245 Apple Computer Inc 138,571 102,941
6,220 Applied Materials Inc+ 205,215 150,835
18,902 Archer-Daniels-Midland Co 313,025 335,503
</TABLE>
54
<PAGE> 58
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
3,693 Armco Inc+ $ 22,547 $ 16,157
1,308 Armstrong World Industries Inc 66,404 80,933
1,422 ASARCO Inc 40,727 36,794
2,163 Ashland Inc 75,865 80,301
5,592 Atlantic Richfield Corp 617,205 652,866
1,604 Autodesk Inc 53,727 36,892
10,005 Automatic Data Processing 330,295 416,458
1,818 Avery Dennison Corp 73,065 92,945
4,618 Avon Products Inc 153,712 221,087
4,913 Baker Hughes Inc 109,478 148,618
1,039 Ball Corp 31,515 24,546
1,658 Bally Entertainment Corp+ 17,434 45,181
5,074 Baltimore Gas & Electric Co 126,693 131,924
15,641 Banc One Corp 472,157 600,223
5,408 Bank of Boston Corp 230,140 285,272
13,524 Bank of New York Inc 273,330 376,982
12,624 BankAmerica Corp 697,515 978,360
2,699 Bankers Trust N Y Corp 175,392 209,847
1,973 Bard (C R) Inc 57,427 61,163
12,385 Barrick Gold Corp 322,049 334,395
3,261 Barnett Banks Inc 158,023 214,003
7,691 Battle Mountain Gold Co 65,526 65,374
1,973 Bausch & Lomb Inc 77,817 65,356
9,364 Baxter International Inc 316,839 417,869
6,537 Bay Networks Inc+ 298,497 179,768
4,390 Becton Dickinson & Co 127,836 179,441
15,105 Bell Atlantic Corp 889,760 849,656
34,342 BellSouth Corp 1,147,467 1,244,898
1,808 Bemis Co Inc 48,610 54,014
1,895 Beneficial Corp 82,109 106,831
3,985 Bethlehem Steel Corp+ 67,440 40,846
3,464 Beverly Enterprises 44,424 35,506
4,011 Biomet Inc+ 59,644 62,672
3,036 Black & Decker Corp 85,992 119,922
3,556 Block (H & R) Inc 142,536 88,900
5,451 Boatmen's Bancshares Inc 201,170 290,266
11,938 Boeing Co 712,712 1,080,389
1,694 Boise Cascade Corp 57,999 57,173
6,179 Boston Scientific Corp+ 225,073 283,462
968 Briggs & Stratton Corp 36,226 42,108
</TABLE>
55
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 59
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
17,417 Bristol-Myers Squibb Co $ 1,205,615 $ 1,528,342
2,412 Brown-Forman Corp Class B 78,651 87,435
7,354 Browning-Ferris Industries Inc 232,173 187,527
3,404 Brunswick Corp 71,191 71,910
5,269 Burlington Northern Santa Fe 338,108 421,520
4,362 Burlington Resources Inc 172,310 185,930
2,670 CIGNA Corp 238,856 310,054
5,037 CPC International Inc 295,075 346,923
7,359 CSX Corp 304,095 372,549
8,533 CUC International Inc+ 270,819 293,322
2,465 Cabletron Systems Inc+ 149,027 150,365
1,373 Caliber System Inc 63,107 23,856
8,609 Campbell Soup Co 430,171 560,661
5,219 Carolina Power & Light Co 161,108 182,013
2,497 Case Corp 114,603 113,614
6,700 Caterpillar Inc 380,266 461,463
1,024 Centex Corp 32,834 32,896
7,203 Central & South West Corp 187,452 189,979
2,337 Ceridian Corp+ 94,169 99,615
3,277 Champion International Corp 134,791 140,911
3,510 Charming Shoppes Inc+ 23,753 23,473
15,089 Chase Manhattan Bank 733,313 1,122,244
22,617 Chevron Corp 1,096,404 1,331,576
25,820 Chrysler Corp+ 655,159 752,008
6,066 Chubb Corp 262,672 269,179
1,414 Cincinnati Milacron Inc 32,690 27,927
5,461 Cinergy Corp 143,798 163,830
3,335 Circuit City Stores Inc 85,511 105,053
22,166 Cisco Systems Inc+ 727,701 1,169,257
16,852 Citicorp 1,045,718 1,402,929
1,836 Clorox Co 120,759 171,896
3,655 Coastal Corp 114,977 144,829
86,308 Coca-Cola Co 2,602,539 4,315,400
5,113 Colgate-Palmolive Co 339,161 415,431
1,923 Columbia Gas System Inc+ 65,791 108,169
15,515 Columbia HCA Healthcare Corp 724,060 874,658
8,235 Comcast Corp Class A 149,530 132,789
3,994 Comerica Inc 154,232 194,708
1,485 Community Psychiatric Centers+ 17,164 11,880
9,270 Compaq Computer Corp+ 365,578 524,914
</TABLE>
56
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Computer Associates International
12,584 Inc+ $ 384,835 $ 660,660
2,647 Computer Sciences Corp+ 160,739 185,290
8,446 ConAgra Inc 305,651 355,788
2,723 Conrail Inc 167,100 185,504
8,147 Consolidated Edison Co 244,800 212,840
1,460 Consolidated Freightways 35,172 33,580
3,191 Consolidated Natural Gas Co 132,057 173,511
3,760 Cooper Industries Inc 155,753 152,280
2,932 Cooper Tire & Rubber Co 75,010 57,174
1,332 Coors (Adolph) Co Class B 24,483 26,640
7,617 CoreStates Financial Corp 290,931 315,153
8,000 Corning Inc 254,296 298,000
1,032 Crane Co 34,427 41,280
4,448 Crown Cork & Seal Co+ 199,367 207,944
1,430 Cummins Engine Co Inc 60,253 53,804
3,243 Cyprus Amax Minerals 88,496 68,914
4,018 DSC Communications Corp+ 129,083 119,536
5,038 DTE Energy Co 153,587 143,583
3,490 Dana Corp 99,008 104,700
5,564 Darden Restaurants Inc+ 61,590 44,512
1,320 Data General Corp+ 15,151 14,850
7,459 Dayton-Hudson Corp 185,122 257,336
5,801 Dean Witter Discover & Co 261,848 290,050
9,051 Deere & Co 269,262 359,777
2,732 Delta Air Lines Inc 195,314 193,631
2,807 Deluxe Corp 85,179 107,368
5,287 Digital Equipment Corp+ 234,793 204,210
Dillard Department Stores Inc
3,913 Class A 118,614 133,042
23,475 Disney (Walt) Co 1,476,534 1,338,075
6,160 Dominion Resources Inc 244,547 230,230
5,290 Donnelley (R R) & Sons Co 176,754 172,586
3,928 Dover Corp 137,529 172,341
8,619 Dow Chemical Co 621,485 687,365
3,337 Dow Jones & Co Inc 121,173 130,560
6,314 Dresser Industries Inc 146,807 183,106
19,367 DuPont (E I) de Nemours 1,280,649 1,590,515
7,091 Duke Power Co 303,367 331,504
5,884 Dun & Bradstreet Corp 347,450 339,066
1,720 EG & G Inc 30,429 32,250
7,974 EMC Corp+ 176,107 153,500
</TABLE>
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<PAGE> 61
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
637 Eastern Enterprises $ 17,612 $ 23,330
2,703 Eastman Chemical Co 154,346 151,030
11,950 Eastman Kodak Co 685,863 866,375
2,689 Eaton Corp 145,411 148,903
2,126 Echlin Inc 72,651 64,843
4,374 Echo Bay Mines Ltd 50,740 43,467
2,230 Ecolab Inc 54,675 67,736
15,413 Edison International 263,830 267,801
7,764 Emerson Electric Co 544,363 650,235
4,990 Engelhard Corp 98,962 101,671
8,651 Enron Corp 290,536 347,121
2,369 Enserch Corp 36,373 47,676
7,885 Entergy Corp 215,807 200,082
42,959 Exxon Corp 2,991,191 3,495,789
1,286 FMC Corp+ 78,645 82,304
6,322 FPL Group Inc 247,770 279,749
1,955 Federal Express Corp+ 135,758 146,381
6,166 Federal Home Loan Mortgage Corp 409,706 544,920
37,743 Federal National Mortgage Assoc 921,247 1,170,033
7,127 Federated Department Stores Inc+ 199,869 246,772
3,574 Fifth Third Bancorp 208,319 189,422
4,837 First Bank System Inc 257,211 310,777
10,917 First Chicago NBD Corp 356,027 465,337
7,755 First Data Corp 505,096 604,890
9,896 First Union Corp 460,596 632,107
9,047 Fleet Financial Group Inc 313,451 377,712
1,134 Fleetwood Enterprises Inc 25,489 31,469
1,303 Fleming Co Inc 29,618 20,848
2,900 Fluor Corp 155,424 185,600
40,676 Ford Motor Co 1,227,438 1,362,646
1,355 Foster Wheeler Corp 51,756 58,434
Freeport McMoRan Copper & Gold
6,788 Inc
Class B 190,971 199,398
2,624 Fruit of the Loom Inc Class A+ 68,849 72,816
4,132 GPU Inc 127,314 130,158
33,722 GTE Corp 1,266,217 1,327,804
4,830 Gannett Co Inc 276,505 323,610
10,022 Gap Inc 197,504 350,770
2,154 General Dynamics Corp 107,266 138,125
57,541 General Electric Co 3,476,568 4,783,096
</TABLE>
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
4,315 General Instrument Corp+ $ 118,177 $ 118,123
5,546 General Mills Inc 288,123 305,030
26,146 General Motors Corp 1,272,449 1,300,764
2,771 General Re Corp 369,848 401,449
1,657 General Signal Corp 57,801 66,487
4,247 Genuine Parts Co 169,426 182,090
3,168 Georgia-Pacific Corp 229,645 235,620
2,078 Giant Food Inc Class A 53,332 69,873
1,209 Giddings & Lewis Inc 21,487 15,717
15,373 Gillette Co 655,647 980,029
2,071 Golden West Financial 90,922 114,941
1,782 Goodrich (B F) Co 49,467 66,825
5,393 Goodyear Tire & Rubber Co 221,289 246,056
3,401 Grace (W R) & Co 179,200 223,191
1,804 Grainger (W W) Inc 112,389 121,770
1,332 Great Atlantic & Pacific Tea Co 31,178 35,631
2,251 Great Lakes Chemical Corp 151,612 129,433
4,741 Great Western Financial Corp 96,999 117,340
4,743 Green Tree Financial Inc 161,345 164,819
4,195 HFS Inc 276,839 251,176
3,964 Halliburton Co 156,985 208,606
2,495 Harcourt General Inc 96,844 119,448
997 Harland (John H) Co 22,163 25,050
1,589 Harnischfeger Industries Inc 46,835 59,985
3,531 Harrah's Entertainment Inc+ 97,396 67,089
1,378 Harris Corp 69,155 84,747
3,041 Hasbro Inc 104,937 111,757
12,796 Heinz (H J) Co 359,186 403,074
905 Helmerich & Payne Inc 26,052 35,748
3,787 Hercules Inc 175,924 188,403
2,701 Hershey Foods Corp 155,115 235,325
35,318 Hewlett Packard Co 1,139,459 1,545,163
1,691 Hilton Hotels Corp 116,288 180,726
16,508 Home Depot Inc 735,034 876,988
5,062 Homestake Mining Co 93,160 83,523
4,432 Honeywell Inc 179,091 257,610
3,406 Household International Inc 170,078 269,926
9,134 Houston Industries Inc 191,947 198,665
5,630 Humana Inc+ 156,152 105,563
4,049 ITT Hartford Group Inc+ 176,826 213,585
</TABLE>
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<PAGE> 63
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
4,049 ITT Industries Inc $ 83,373 $ 92,621
4,049 ITT Corp+ 191,914 215,609
4,146 Illinois Tool Works Inc 211,118 286,592
5,868 Inco Ltd 179,399 189,243
3,729 Ingersoll-Rand Co 133,660 159,415
1,757 Inland Steel Industries Inc 52,128 30,308
28,377 Intel Corp 1,235,023 2,264,839
1,612 Intergraph Corp+ 21,534 14,710
International Business Machines
18,832 Corp 1,650,353 2,153,910
International Flavors &
3,800 Fragrances 178,589 163,400
10,276 International Paper Co 384,793 411,040
2,708 Interpublic Group Cos Inc 102,221 122,537
2,959 James River Corp 69,757 76,934
2,429 Jefferson-Pilot Corp 100,594 124,790
46,054 Johnson & Johnson 1,598,418 2,268,160
1,390 Johnson Controls Inc 81,803 97,995
1,360 Jostens Inc 27,504 25,330
16,637 K Mart Corp 224,630 166,370
1,081 Kaufman & Broad Home Corp 17,115 13,242
7,369 Kellogg Co 473,406 497,408
1,762 Kerr-McGee Corp 93,361 101,095
8,065 KeyCorp 259,493 323,608
9,762 Kimberly-Clark Corp 573,107 765,097
1,312 King World Productions+ 52,040 46,248
3,344 Knight-Ridder Inc 96,439 112,860
4,288 Kroger Co+ 127,617 181,704
4,478 LSI Logic Corp+ 152,221 97,956
10,246 Laidlaw Inc Class B 96,353 98,618
19,084 Lilly (Eli) & Co 791,241 1,092,559
9,349 Limited Inc 171,639 172,957
3,547 Lincoln National Corp 158,874 156,955
2,579 Liz Claiborne Inc 55,554 89,620
6,871 Lockheed Martin Corp 412,559 578,023
4,092 Loews Corp 261,336 305,877
627 Longs Drug Stores Corp 22,283 25,080
1,192 Louisiana Land & Exploration Co 49,360 67,795
3,803 Louisiana-Pacific Corp 113,686 82,715
5,612 Lowe's Co Inc 187,518 202,734
832 Luby's Cafeterias Inc 18,489 19,656
7,744 MBNA Corp 163,806 235,224
</TABLE>
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
23,901 MCI Communications $ 575,017 $ 600,513
2,044 MGIC Investment Corp 127,863 129,539
2,583 Mallinckrodt Group Inc 90,738 104,612
2,195 Manor Care Inc 70,818 75,453
2,506 Marsh & McLennan Companies Inc 213,245 233,058
4,461 Marriott International 157,988 244,797
5,503 Masco Corp 154,299 160,275
9,563 Mattel Inc 193,794 252,224
8,665 May Co Department Stores Co 317,139 394,258
3,584 Maytag Corp 64,371 72,128
1,844 McDermott International Inc 44,457 38,263
24,238 McDonald's Corp 913,237 1,124,037
7,624 McDonnell Douglas Corp 227,347 382,153
3,519 McGraw-Hill Inc 135,937 144,279
1,861 Mead Corp 95,945 106,542
8,102 Medtronic Inc 321,468 421,304
4,788 Mellon Bank Corp 206,697 265,136
3,672 Melville Corp 130,210 155,142
1,292 Mercantile Stores Co Inc 55,924 68,153
42,439 Merck & Co Inc 2,064,777 2,785,059
995 Meredith Corp 28,460 42,785
5,967 Merrill Lynch & Co Inc 284,395 365,479
20,544 Microsoft Corp+ 1,556,485 2,516,640
7,193 Micron Electronics Inc+ 231,529 163,641
1,540 Millipore Corp 45,365 58,905
Minnesota Mining & Manufacturing
14,469 Co 802,567 994,744
13,672 Mobil Corp 1,288,791 1,541,518
20,415 Monsanto Co 403,002 655,832
3,439 Moore Corp Ltd 66,095 60,183
6,455 Morgan (J P) & Co Inc 449,960 565,619
5,323 Morgan Stanley Group 262,992 254,173
5,085 Morton International Inc 159,583 188,781
20,456 Motorola Inc 1,123,038 1,091,839
293 NACCO Industries Inc Class A 15,638 14,211
2,290 Nalco Chemical Co 75,525 73,566
7,682 National City Corp 255,206 289,035
4,686 National Semiconductor+ 85,337 86,105
1,695 National Service Industries Inc 49,880 64,410
10,325 NationsBank 619,445 878,916
2,620 Navistar International Corp+ 41,056 25,545
</TABLE>
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<PAGE> 65
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
3,415 New York Times Co Class A $ 87,060 $ 106,719
5,458 Newell Co 130,668 169,880
3,462 Newmont Mining Corp 161,149 183,053
5,050 Niagara Mohawk Power Corp 70,284 41,663
1,698 NICOR Inc 44,581 53,275
4,952 Nike Inc Class B 237,479 534,816
4,398 NorAm Energy Corp 32,033 64,321
2,809 Nordstrom Inc 114,017 109,551
4,444 Norfolk Southern Corp 313,189 370,519
2,392 Northern States Power Co 108,996 109,135
8,922 Northern Telecom Ltd 338,871 444,985
1,947 Northrop Grumman Corp 101,889 139,697
12,633 Norwest Corp 377,201 475,317
12,668 Novell Inc+ 212,572 132,222
3,075 Nucor Corp 176,305 143,756
15,094 NYNEX Corp 670,092 650,929
11,075 Occidental Petroleum Corp 233,514 257,494
5,298 Ohio Edison Co 112,453 111,258
897 ONEOK Inc 17,402 24,555
22,655 Oracle Systems Corp+ 541,894 798,589
3,634 Oryx Energy Co+ 51,801 63,595
688 Outboard Marine Corp 13,773 11,524
1,741 Owens Corning Fiberglass Corp 66,877 63,329
7,684 PECO Energy Co 210,925 180,574
11,740 PNC Bank Corp 343,702 366,875
5,486 PP & L Resources Inc 141,069 123,435
6,567 PPG Industries Inc 267,374 324,246
1,361 PACCAR Inc 65,538 61,585
2,859 Pacific Enterprises 70,467 85,413
14,433 Pacific Gas & Electric Co 399,918 326,547
14,787 Pacific Telesis Group 451,752 478,729
10,187 PacifiCorp 198,759 205,013
3,959 Pall Corp 87,863 93,037
5,166 Panenergy Corp 124,508 171,124
2,524 Parker Hannifin Corp 77,264 98,436
7,792 Penney (J C) Co Inc 372,839 412,002
1,627 Pennzoil Co 75,825 86,841
1,236 Peoples Energy Corp 34,909 42,024
2,181 Pep Boys-Manny Moe & Jack 66,590 73,064
54,190 Pepsico Inc 1,241,736 1,557,963
</TABLE>
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
1,453 Perkin-Elmer Corp $ 54,965 $ 75,374
17,602 Pharmacia and Upjohn Inc+ 652,127 739,284
22,026 Pfizer Inc 1,080,972 1,563,846
2,312 Phelps Dodge Corp 135,526 139,876
28,697 Philip Morris Co Inc 2,035,718 2,575,556
9,019 Phillips Petroleum Co 304,793 365,270
2,914 Pioneer Hi Bred International Inc 116,999 160,634
5,128 Pitney Bowes Inc 206,383 247,426
8,319 Placer Dome Inc 203,197 199,656
1,583 Polaroid Corp 59,012 67,080
1,000 Potlatch Corp 41,098 37,625
5,398 Praxair Inc 155,896 221,993
6,748 Price/Costco Inc+ 109,553 134,117
23,735 Procter & Gamble Co 1,666,459 2,109,448
3,200 Providian Corp 120,769 132,400
8,436 Public Services Enterprise Group 244,490 228,827
972 Pulte Corp 26,919 24,179
4,644 Quaker Oats Co 154,816 152,672
3,709 Ralston-Purina Group 192,391 231,813
1,533 Raychem Corp 72,642 105,202
8,306 Raytheon Co 326,371 427,759
2,244 Reebok International Ltd 72,348 80,784
1,940 Republic New York Corp 114,219 128,283
2,161 Reynolds Metals Co 111,993 115,614
2,927 Rite Aid Corp 74,390 93,298
7,557 Rockwell International Corp 338,055 392,964
2,243 Rohm & Haas Co 137,952 140,188
2,997 Rowan Co Inc+ 26,656 46,079
18,499 Royal Dutch Petroleum Co 2,239,323 2,763,288
5,212 Rubbermaid Inc 158,590 138,118
1,357 Russell Corp 38,264 43,424
1,899 Ryan's Family Steak House+ 15,005 15,904
2,767 Ryder System Inc 66,784 78,514
21,038 SBC Communication Inc 982,481 980,897
4,388 SAFECO Corp 132,356 145,353
2,006 Safety-Kleen Corp 31,532 34,604
2,802 St Jude Medical Inc+ 91,017 100,522
2,873 St Paul Co Inc 142,791 148,678
3,613 Salomon Inc 143,041 162,585
3,131 Santa Fe Energy Resources Inc+ 29,985 36,789
</TABLE>
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<PAGE> 67
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
4,579 Santa Fe Pacific Gold Corp $ 66,610 $ 59,527
16,704 Sara Lee Corp 473,602 526,176
12,742 Schering-Plough Corp 547,721 711,959
8,429 Schlumberger Ltd 535,255 711,197
2,711 Scientific-Atlanta Inc 50,283 36,599
3,654 Seagate Technology Inc+ 192,733 175,392
12,935 Seagram Co Ltd 416,844 428,472
13,554 Sears Roebuck & Co 447,034 596,376
4,063 Service Corp International 151,679 229,052
850 Shared Medical System Corp 38,793 46,431
2,930 Sherwin Williams Co 107,659 128,188
1,422 Shoney's Inc+ 17,560 12,976
1,701 Sigma-Aldrich Corp 73,084 89,728
5,673 Silicon Graphics Inc+ 187,066 131,897
1,438 Snap-On Inc 55,711 65,609
2,936 Sonat Inc 92,103 129,551
23,170 Southern Co 512,247 524,221
4,959 Southwest Airlines Co 119,252 113,437
650 Springs Industries Inc Class A 25,664 29,331
15,097 Sprint Corp 508,717 613,316
3,084 Stanley Works 68,793 84,810
3,503 Stone Container Corp+ 60,410 48,604
1,723 Stride Rite Corp 20,876 14,646
2,529 Sun Co Inc 70,650 59,748
6,292 Sun Microsystems Inc+ 157,835 342,128
7,858 SunTrust Banks Inc 220,593 301,551
2,356 Super Value Inc 70,814 66,263
6,296 Sysco Corp 179,689 202,259
2,508 TJX Companies Inc 48,294 80,256
2,274 TRW Inc 167,729 210,345
4,127 Tandem Computers Inc+ 53,611 43,334
2,125 Tandy Corp 93,780 93,766
1,135 Tektronix Inc 44,843 43,981
22,584 Tele-Communication Inc Class A+ 402,827 335,937
3,061 Tellabs Inc+ 143,673 193,991
1,852 Temple-Inland Inc 85,993 91,443
7,493 Tenet Healthcare Corp+ 133,910 157,353
5,980 Tenneco Inc 290,048 297,505
9,090 Texaco Inc 639,369 806,738
6,517 Texas Instruments Inc 301,524 304,670
</TABLE>
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
7,847 Texas Utilities Co $ 288,853 $ 321,727
2,873 Textron Inc 179,191 245,282
1,402 Thomas & Betts Corp 47,941 51,524
5,776 3Com Corp+ 260,920 270,028
13,549 Time Warner Inc 530,374 452,198
3,653 Times Mirror Co Class A 89,438 158,449
1,058 Timken Co 39,815 40,204
2,442 Torchmark Corp 105,370 103,785
9,429 Toys R Us Inc+ 283,161 278,156
2,342 Transamerica Corp 145,156 159,549
16,430 Travelers Inc 504,441 712,651
2,156 Tribune Co 127,471 154,963
961 Trinova Corp 30,298 30,151
2,178 Tupperware Corp+ 72,760 95,288
5,237 Tyco International Inc 150,635 221,263
9,974 USX -- Marathon Group 178,497 208,207
7,023 UST Inc 214,100 210,690
2,554 UNUM Corp 134,699 162,179
3,999 USF & G Corp 60,667 64,484
2,924 USX -- US Steel Group 100,463 80,410
5,566 Unilever NV 700,257 798,721
7,461 Unicom Corp 206,499 171,603
2,413 Union Camp Corp 118,713 117,031
4,630 Union Carbide Corp 152,074 200,248
3,578 Union Electric Co 136,431 133,728
7,113 Union Pacific Corp 424,880 518,360
5,941 Unisys Corp+ 53,613 34,903
6,275 United Healthcare Corp 324,245 242,372
5,562 U.S. Bancorp 184,384 212,747
2,231 USAir Group Inc+ 23,356 39,879
2,172 United States Surgical 53,288 79,278
16,381 U.S. West Inc 452,256 483,240
16,381 U.S. West Media Group+ 294,185 296,906
4,182 United Technologies Corp 324,939 471,521
8,528 Unocal Corp 246,987 292,084
1,196 U.S. Life Corp 32,452 34,983
2,193 VF Corp 110,688 128,839
1,377 Varity Corp+ 53,143 69,194
12,822 Viacom Inc Class B+ 541,914 403,893
17,141 WMX Technologies Inc 482,930 542,084
</TABLE>
65
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
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<PAGE> 69
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
5,870 Wachovia Corp $ 226,106 $ 268,553
79,355 Wal Mart Stores Inc 1,888,762 2,102,908
8,528 Walgreen Co 222,865 281,424
9,404 Warner Lambert Co 392,020 559,538
3,336 Wells Fargo & Co 543,772 829,830
4,427 Wendy's International Inc 80,409 89,647
1,825 Western Atlas Inc+ 86,032 110,869
14,467 Westinghouse Electric Corp 232,551 236,897
3,540 Westvaco Corp 92,894 101,333
6,828 Weyerhaeuser Co 289,868 304,700
2,612 Whirlpool Corp 143,870 127,988
3,667 Whitman Corp 70,564 82,049
1,866 Willamette Industries Inc 121,905 115,226
3,594 Williams Co Inc 133,519 179,251
5,297 Winn-Dixie Stores Inc 155,718 182,084
4,667 Woolworth Corp+ 77,788 99,174
13,442 WorldCom Inc+ 307,492 282,282
3,145 Worthington Industries Inc 63,012 63,686
4,050 Wrigley (Wm) Jr Co 204,816 219,206
11,236 Xerox Corp 428,616 616,576
984 Yellow Corp+ 17,035 13,161
------------ ------------
TOTAL COMMON STOCKS $142,802,491 $171,059,984
</TABLE>
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PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES--58.91%
U.S. TREASURY BONDS - 58.91%
$13,600,000 U.S. Treasury Bonds 6.25% 08/15/23 $ 11,985,000
8,800,000 U.S. Treasury Bonds 6.88 08/15/25 8,442,500
16,750,000 U.S. Treasury Bonds 7.13 02/15/23 16,467,344
10,300,000 U.S. Treasury Bonds 7.25 05/15/16 10,277,464
13,200,000 U.S. Treasury Bonds 7.25 08/15/22 13,138,105
17,750,000 U.S. Treasury Bonds 7.50 11/15/24 18,299,114
2,250,000 U.S. Treasury Bonds 7.63 11/15/22 2,340,000
3,400,000 U.S. Treasury Bonds 7.63 02/15/25 3,560,432
5,400,000 U.S. Treasury Bonds 7.88 02/15/21 5,751,000
20,800,000 U.S. Treasury Bonds 8.00 11/15/21 22,490,000
14,100,000 U.S. Treasury Bonds 8.13 08/15/19 15,399,823
5,350,000 U.S. Treasury Bonds 8.13 05/15/21 5,856,570
18,600,000 U.S. Treasury Bonds 8.13 08/15/21 20,372,785
12,300,000 U.S. Treasury Bonds 8.50 02/15/20 13,960,500
21,300,000 U.S. Treasury Bonds 8.75 05/15/17 24,614,813
21,200,000 U.S. Treasury Bonds 8.75 08/15/20 24,651,593
14,200,000 U.S. Treasury Bonds 8.88 02/15/19 16,667,250
5,700,000 U.S. Treasury Bonds 9.00 11/15/18 6,763,398
7,300,000 U.S. Treasury Bonds 9.13 05/15/18 8,755,438
------------
TOTAL U.S. TREASURY SECURITIES $249,793,127
(Cost $254,594,601)
</TABLE>
67
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 71
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS--0.52%
U.S. TREASURY BILLS--0.52%
$ 251,000 U.S. Treasury Bills 5.14%* 10/24/96 $ 249,204
19,000 U.S. Treasury Bills 5.20* 11/07/96 18,827
1,923,000 U.S. Treasury Bills 5.22* 11/14/96 1,903,576
40,000 U.S. Treasury Bills 5.22* 11/21/96 39,555
------------
TOTAL U.S. TREASURY SECURITIES $ 2,211,162
(Cost $2,210,738)
TOTAL INVESTMENT IN SECURITIES
(Cost $399,607,830)** (Notes 1
and 3) 99.78% $423,064,273
Other Assets and Liabilities,
Net 0.22 945,335
------- ------------
TOTAL NET ASSETS 100.00% $424,009,608
======= ============
</TABLE>
- ------------------------------------------------------------------------------
+ Non-income earning securities.
* 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 $ 36,436,432
Gross Unrealized Depreciation (12,979,989)
------------
NET UNREALIZED APPRECIATION $ 23,456,443
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
68
<PAGE> 72
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES-24.98%
BANK & FINANCE - 6.83%
$ 1,000,000 Associates Corp of North
America 7.25% 05/15/98 $ 1,011,182
500,000 BankAmerica Corp 7.20 04/15/06 485,137
750,000 Chrysler Financial Corp 5.38 10/15/98 730,564
1,500,000 CIT Group Holdings 6.63 06/15/05 1,419,723
1,000,000 Commercial Credit Corp 8.70 06/15/10 1,099,968
500,000 First Union Corp 6.63 07/15/05 467,756
500,000 General Electric Capital
Corp 8.75 05/21/07 548,557
1,500,000 Household Finance Corp 6.70 06/15/02 1,459,788
1,000,000 KFW International Finance 7.63 02/15/04 1,020,067
500,000 Lehman Brothers Inc 9.88 10/15/00 539,265
500,000 NationsBank Corp 6.88 02/15/05 478,290
1,510,000 Travelers/Aetna Property &
Casualty 6.75 04/15/01 1,485,185
------------
$ 10,745,480
INDUSTRIALS - 9.00%
$ 500,000 Anheuser Busch Co 8.75% 12/01/99 $ 525,192
500,000 Archer-Daniels-Midland Co 8.38 04/15/17 533,490
350,000 Browning-Ferris 7.88 03/15/05 359,741
500,000 Caterpillar Inc 8.00 02/15/23 508,459
500,000 Disney (Walt) Co 6.75 03/30/06 475,796
500,000 Dow Chemical Co 8.63 04/01/06 536,090
500,000 DuPont (El) De Nemours 6.00 12/01/01 475,673
1,000,000 Eastman Chemicals Co 6.38 01/15/04 941,514
1,000,000 Eli Lilly & Co 7.13 06/01/25 934,048
500,000 Ford Capital BV 9.00 08/15/98 520,952
500,000 Ford Motor Co 8.88 04/01/06 542,087
750,000 Ford Motor Credit Corp 7.75 10/01/99 767,077
750,000 General Motors Corp 8.13 04/15/16 731,332
500,000 Hertz Corp 6.38 10/15/05 461,861
500,000 Hertz Corp 6.50 04/01/00 490,900
500,000 International Business
Machines 6.38 06/15/00 490,451
1,000,000 International Paper Co 9.40 06/01/02 1,098,462
500,000 McDonald's Corp 6.75 02/15/03 489,383
2,000,000 News America Holdings 8.50 02/15/05 2,083,632
500,000 Philip Morris Co 7.13 10/01/04 482,206
750,000 Weyerhaeuser Co 7.50 03/01/13 727,286
------------
$ 14,175,629
</TABLE>
69
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 73
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996 (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 - 0.29%
$ 500,000 International Bank of
Reconstruction &
Development 5.25% 09/16/03 $ 453,523
TELECOMMUNICATIONS - 2.03%
$ 1,000,000 Bell Telephone Co of
Pennsylvania 8.75% 08/15/31 $ 1,112,261
750,000 GTE North Inc 6.00 01/15/04 689,200
500,000 Michigan Bell Telephone 6.38 02/01/05 471,458
500,000 New York Telephone Co 5.88 09/01/03 462,112
500,000 Southwestern Bell Telephone
Co 6.75 06/01/08 464,260
------------
$ 3,199,289
UTILITIES - 3.09%
$ 500,000 Alabama Power Co 8.50% 05/01/22 $ 506,228
500,000 Hydro-Quebec 8.50 12/01/29 523,220
500,000 Pacific Gas & Electric 8.80 05/01/24 540,650
500,000 Pennsylvania Power & Light
Co 7.75 05/01/02 505,934
750,000 Philadelphia Electric Co 8.75 04/01/22 753,229
500,000 Public Service Electric &
Gas Co 6.13 08/01/02 469,319
495,000 Public Service Electric &
Gas Co 8.75 11/01/21 530,733
500,000 Victoria (Province of)
Public Authority 8.45 10/01/01 530,030
500,000 Virginia Electric & Power
Co 7.38 07/01/02 501,855
------------
$ 4,861,195
YANKEE BONDS - 3.74%
$ 500,000 African Development Bank 7.75% 12/15/01 $ 514,017
1,000,000 Dresdner Bank AG 6.63 09/15/05 943,138
500,000 Finland (Republic of) 7.88 07/28/04 518,484
500,000 Hanson Overseas BV 7.38 01/15/03 497,810
500,000 Ireland (Republic of) 7.13 07/15/02 496,994
500,000 Italy (Republic of) 6.00 09/27/03 466,947
500,000 Matsushita Electric
Industry Co 7.25 08/01/02 502,088
750,000 Ontario (Province of) 7.63 06/22/04 766,079
750,000 Sweden (Kingdom of) 6.50 03/04/03 722,756
500,000 Swiss Bank Corp 7.00 10/15/15 459,119
------------
$ 5,887,431
TOTAL CORPORATE BONDS & NOTES $ 39,322,547
(Cost $39,623,863)
</TABLE>
70
<PAGE> 74
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
U.S. GOVERNMENT AGENCY SECURITIES--9.20%
<S> <C> <C> <C> <C>
FEDERAL AGENCY - OTHER - 2.27%
$ 300,000 Resolution Funding Corp 8.88% 04/15/30 $ 351,124
500,000 Resolution Funding Corp 9.38 10/15/20 610,628
1,000,000 Tennessee Valley Authority 6.13 07/15/03 952,164
200,000 Tennessee Valley Authority 7.75 12/15/22 198,147
100,000 Tennessee Valley Authority 8.25 04/15/42 103,854
1,000,000 Tennessee Valley Authority 8.38 10/01/99 1,041,719
300,000 Tennessee Valley Authority 8.63 11/15/29 313,770
------------
$ 3,571,405
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 6.93%
$ 300,000 Federal National Mortgage
Assoc 5.25% 05/13/98 $ 293,622
400,000 Federal National Mortgage
Assoc 5.30 12/10/98 389,215
505,000 Federal National Mortgage
Assoc 6.14 11/25/05 467,983
1,500,000 Federal National Mortgage
Assoc 6.33 08/11/00 1,471,829
1,000,000 Federal National Mortgage
Assoc 6.35 06/10/05 945,099
2,000,000 Federal National Mortgage
Assoc 6.40 03/25/03 1,895,872
1,500,000 Federal National Mortgage
Assoc 6.77 01/19/06 1,428,929
1,000,000 Federal National Mortgage
Assoc 6.95 09/10/02 969,817
500,000 Federal National Mortgage
Assoc 7.55 04/22/02 510,688
200,000 Federal National Mortgage
Assoc 7.55 06/10/04 198,100
500,000 Federal National Mortgage
Assoc 7.90 04/10/02 498,655
1,000,000 Federal National Mortgage
Assoc 8.11* 07/15/14 262,537
1,000,000 Federal National Mortgage
Assoc 8.25 12/18/00 1,047,924
500,000 Federal National Mortgage
Assoc 8.90 06/12/00 533,588
------------
$ 10,913,857
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 14,485,262
(Cost $14,667,505)
U.S. TREASURY SECURITIES--64.36%
U.S. TREASURY BONDS - 15.39%
$ 1,800,000 U.S. Treasury Bonds 6.25% 05/31/00 $ 1,775,810
1,700,000 U.S. Treasury Bonds 6.88 08/15/25 1,630,938
1,000,000 U.S. Treasury Bonds 7.25 08/15/22 995,311
3,000,000 U.S. Treasury Bonds 7.50 11/15/16 3,068,433
700,000 U.S. Treasury Bonds 7.63 11/15/22 728,000
1,400,000 U.S. Treasury Bonds 7.63 02/15/25 1,466,060
1,700,000 U.S. Treasury Bonds 7.88 02/15/21 1,810,500
</TABLE>
71
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 75
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996 (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)
$ 2,450,000 U.S. Treasury Bonds 8.13% 08/15/19 $ 2,675,856
1,000,000 U.S. Treasury Bonds 8.13 08/15/21 1,095,311
375,000 U.S. Treasury Bonds 8.75 11/15/08 410,273
1,900,000 U.S. Treasury Bonds 8.75 08/15/20 2,209,341
500,000 U.S. Treasury Bonds 9.13 05/15/09 560,468
250,000 U.S. Treasury Bonds 10.63 08/15/15 336,797
1,290,000 U.S. Treasury Bonds 11.13 08/15/03 1,588,313
2,600,000 U.S. Treasury Bonds 12.00 08/15/13 3,598,559
190,000 U.S. Treasury Bonds 13.88 05/15/11 279,953
------------
$ 24,229,921
U.S. TREASURY NOTES - 48.97%
$ 2,000,000 U.S. Treasury Notes 4.75% 09/30/98 $ 1,938,122
2,500,000 U.S. Treasury Notes 4.75 10/31/98 2,417,188
500,000 U.S. Treasury Notes 5.00 01/31/99 484,063
2,300,000 U.S. Treasury Notes 5.00 02/15/99 2,225,250
3,000,000 U.S. Treasury Notes 5.13 02/28/98 2,953,125
850,000 U.S. Treasury Notes 5.38 11/30/97 842,563
850,000 U.S. Treasury Notes 5.50 11/15/98 833,796
600,000 U.S. Treasury Notes 5.63 11/30/00 576,187
1,100,000 U.S. Treasury Notes 5.75 08/15/03 1,033,313
3,600,000 U.S. Treasury Notes 5.88 08/15/98 3,567,370
2,750,000 U.S. Treasury Notes 5.88 02/15/04 2,589,293
3,900,000 U.S. Treasury Notes 5.88 11/15/05 3,623,338
4,700,000 U.S. Treasury Notes 6.00 08/31/97 4,701,462
3,000,000 U.S. Treasury Notes 6.00 12/31/97 2,994,375
1,000,000 U.S. Treasury Notes 6.00 10/15/99 985,936
2,400,000 U.S. Treasury Notes 6.25 08/31/00 2,362,500
6,000,000 U.S. Treasury Notes 6.25 02/15/03 5,823,750
2,950,000 U.S. Treasury Notes 6.38 01/15/99 2,947,230
4,100,000 U.S. Treasury Notes 6.38 08/15/02 4,018,000
1,000,000 U.S. Treasury Notes 6.50 08/15/97 1,005,311
2,000,000 U.S. Treasury Notes 6.50 05/15/05 1,944,372
1,500,000 U.S. Treasury Notes 6.50 08/15/05 1,457,342
1,200,000 U.S. Treasury Notes 6.88 08/31/99 1,210,873
400,000 U.S. Treasury Notes 7.13 09/30/99 406,250
1,000,000 U.S. Treasury Notes 7.13 02/29/00 1,015,625
2,100,000 U.S. Treasury Notes 7.25 02/15/98 2,128,875
800,000 U.S. Treasury Notes 7.25 08/15/04 816,500
1,800,000 U.S. Treasury Notes 7.38 11/15/97 1,825,875
</TABLE>
72
<PAGE> 76
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996 (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)
$ 3,700,000 U.S. Treasury Notes 7.50% 11/15/01 $ 3,821,401
2,000,000 U.S. Treasury Notes 7.50 02/15/05 2,071,872
1,400,000 U.S. Treasury Notes 7.75 11/30/99 1,446,810
1,400,000 U.S. Treasury Notes 8.00 05/15/01 1,470,875
3,400,000 U.S. Treasury Notes 8.75 08/15/00 3,640,125
2,200,000 U.S. Treasury Notes 9.00 05/15/98 2,294,875
3,400,000 U.S. Treasury Notes 9.13 05/15/99 3,615,682
------------
$ 77,089,520
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $101,319,441
(Cost $103,524,678)
SHORT-TERM INSTRUMENTS--0.61%
U.S. TREASURY BILLS - 0.61%
$ 12,000 U.S. Treasury Bills 5.22%* 11/21/96 $ 11,866
373,000 U.S. Treasury Bills 5.22* 11/14/96 369,232
574,000 U.S. Treasury Bills 5.20* 11/07/96 568,777
12,000 U.S. Treasury Bills 5.14* 10/24/96 11,914
------------
TOTAL SHORT-TERM INSTRUMENTS $ 961,789
(Cost $961,555)
TOTAL INVESTMENT IN SECURITIES
(Cost $158,777,601)** (Notes 1
and 3) 99.15% $156,089,039
Other Assets and Liabilities,
Net 0.85 1,341,251
------- ------------
TOTAL NET ASSETS 100.00% $157,430,290
======= ============
</TABLE>
- ------------------------------------------------------------------------------
* 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 $ 1,227,439
Gross Unrealized Depreciation (3,916,001)
-----------
NET UNREALIZED DEPRECIATION $(2,688,562)
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
73
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 77
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS-91.91%
ADVERTISING - 1.87%
110,000 HA-LO Industries Inc+ $ 1,390,000 $ 2,750,000
33,000 Outdoor Systems Inc+ 1,169,375 1,394,250
------------ ------------
$ 2,559,375 $ 4,144,250
BASIC INDUSTRIES - 1.41%
70,000 Gibraltar Steel Corp+ $ 1,309,688 $ 1,391,250
62,000 Olympic Steel Inc+ 1,367,877 1,519,000
155,000 Quadrax Corp+ 359,506 232,500
------------ ------------
$ 3,037,071 $ 3,142,750
BIOTECHNOLOGY - 2.43%
68,000 Cardiovascular Dynamics Inc+ $ 816,209 $ 1,020,000
76,500 General Surgical Innovations Inc+ 1,100,688 765,000
65,000 Genzyme Corp - Tissue Repair+ 1,061,772 528,125
28,000 Innovasive Devices Inc+ 354,500 287,000
70,000 Liposome Co Inc+ 981,407 1,058,750
40,000 Neurex Corp+ 576,250 732,500
100,000 Palomar Medical Tech Inc+ 1,214,281 1,000,000
------------ ------------
$ 6,105,107 $ 5,391,375
COMMERCIAL SERVICES - 1.71%
70,000 AMRE Inc+ $ 1,081,713 $ 1,163,750
50,000 Career Horizons Inc+ 1,113,135 1,743,750
90,000 Stericycle Inc+ 827,500 877,500
45,000 Work Recovery Inc+ 169,102 11,250
------------ ------------
$ 3,191,450 $ 3,796,250
COMPUTER SOFTWARE - 14.89%
25,000 Claremont Technology Group Inc+ $ 634,075 $ 693,750
58,000 E*Trade Group Inc+ 624,310 609,000
57,680 First Data Corp+ 3,737,221 4,499,040
100,000 IKOS Systems Inc+ 1,407,587 1,700,000
40,000 Imnet Systems Inc+ 565,000 755,000
72,500 Inference Corp Class A+ 1,555,146 1,132,813
40,000 Integrated Systems Inc+ 1,457,500 1,330,000
60,000 LifeRate Systems Inc+ 484,792 307,500
35,000 Microsoft Corp+ 2,851,750 4,287,500
</TABLE>
74
<PAGE> 78
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
45,000 NETCOM On-Line Communication
Services Inc+ $ 1,242,876 $ 877,500
102,500 Oracle Systems Corp+ 2,924,341 3,613,125
70,000 Optika Imaging Systems Inc+ 408,459 498,750
67,000 Premenos Tech Corp+ 1,270,896 904,500
99,062 Pure Atria Corp+ 3,274,188 3,046,142
85,000 Summit Medical System Inc+ 1,800,313 1,445,000
30,000 Transition Systems Inc+ 705,000 678,750
50,000 Versant Object Technology Corp+ 495,000 825,000
28,000 Visio Corp+ 1,025,250 1,008,000
80,500 Workgroup Technology Corp+ 1,288,180 1,348,374
55,000 Xylan Corp+ 2,383,670 2,323,750
60,000 Technomax Technologies Limited+ 1,184,373 1,192,500
------------ ------------
$ 31,319,927 $ 33,075,994
COMPUTER SYSTEMS - 8.94%
110,000 Adaptec Inc+ $ 3,530,481 $ 5,486,250
115,000 Cisco Systems Inc+ 3,109,563 6,066,250
230,000 Komag Inc+ 5,257,799 4,887,500
130,000 Silicon Storage Technology Inc+ 1,876,740 958,750
66,000 Solectron Corp+ 2,145,192 2,466,750
------------ ------------
$ 15,919,775 $ 19,865,500
ELECTRICAL EQUIPMENT - 3.50%
28,000 Affinity Technology Group+ $ 426,500 $ 301,000
15,000 BMC Industries Inc 447,825 450,000
95,000 Interlink Electronics Inc+ 494,375 552,188
30,000 Irvine Sensors Corp+ 174,807 99,375
90,000 Macromedia Inc+ 2,936,832 2,036,250
91,500 Power (R F) Products Inc+ 547,129 285,937
77,000 U.S. Robotics Corp+ 5,204,203 4,042,500
------------ ------------
$ 10,231,671 $ 7,767,250
ENERGY & RELEATED - 6.19%
30,000 Anadarko Petroleum Corp $ 1,395,765 $ 1,582,500
30,000 Ashland Inc 1,251,570 1,113,750
50,000 Comstock Resources Inc+ 459,400 525,000
60,000 Digicon Inc+ 637,746 750,000
75,000 Ensco International Inc+ 1,773,803 2,193,750
</TABLE>
75
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 79
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
118,000 Global Industries Ltd+ $ 799,400 $ 1,563,500
21,300 KCS Energy 409,824 670,950
30,000 Kelley Oil & Gas Corp+ 73,125 80,625
30,000 Parker Drilling Co+ 172,500 210,000
40,000 Reading & Bates Corp+ 968,200 980,000
50,000 Sonat Offshore Drilling Co 2,239,886 2,731,250
57,600 J Ray McDermott SA+ 1,250,375 1,339,200
------------ ------------
$ 11,431,594 $ 13,740,525
ENTERTAINMENT & LEISURE - 5.45%
55,000 Circus Circus Entertainment Inc+ $ 2,173,778 $ 1,870,000
50,000 Family Golf Centers Inc+ 750,000 1,481,250
38,000 HFS Inc+ 2,259,788 2,275,250
80,000 Mikohn Gaming Corp+ 731,975 780,000
80,000 Mirage Resorts Inc+ 1,009,490 1,860,000
58,000 Platinum Entertainment Inc+ 760,625 870,000
80,000 Regal Cinemas Inc+ 3,750,055 2,980,000
------------ ------------
$ 11,435,711 $ 12,116,500
ENVIRONMENTAL CONTROL - 2.19%
70,000 Allied Waste Industries Inc+ $ 693,375 $ 560,000
105,000 Molten Metal Technology Inc+ 2,103,666 3,202,500
40,000 U.S.A. Waste Services Inc+ 787,290 1,100,000
------------ ------------
$ 3,584,331 $ 4,862,500
FINANCE & RELATED - 7.10%
135,000 Capital One Financial Corp $ 3,751,047 $ 4,066,875
50,000 Dignity Partners Inc+ 652,084 173,438
183,500 Envoy Corp (New)+ 1,776,867 6,078,437
80,000 Medallion Financial Corp+ 1,032,445 1,030,000
20,000 NHP Inc+ 252,500 380,000
53,400 RISCORP Inc Class A+ 1,105,850 734,250
45,000 Student Loan Marketing Assoc 3,581,135 3,313,125
------------ ------------
$ 12,151,928 $ 15,776,125
</TABLE>
76
<PAGE> 80
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
FOOD & RELATED - 1.65%
63,800 NuCo2 Inc+ $ 944,367 $ 1,658,800
60,000 Whole Foods Market Inc+ 783,040 2,010,000
------------ ------------
$ 1,727,407 $ 3,668,800
HEALTHCARE - 6.94%
127,500 Genesis Health Ventures Inc+ $ 2,388,165 $ 3,251,250
145,000 Healthsouth Corp+ 3,133,393 4,694,375
155,000 Renal Treatment Centers+ 2,112,788 5,056,875
80,000 Vivra Inc+ 2,414,630 2,410,000
------------ ------------
$ 10,048,976 $ 15,412,500
HOSPITAL & MEDICAL SUPPLIES - 2.78%
80,000 Bioject Medical Technologies+ $ 306,665 $ 87,500
160,000 Endosonics Corp+ 1,849,156 2,300,000
65,000 Life Med Sciences Inc+ 540,000 515,938
35,000 NeoPath Inc+ 827,186 844,375
88,500 Ultrafem Inc+ 1,274,844 1,991,250
33,500 Urologix Inc+ 507,566 443,875
------------ ------------
$ 5,305,417 $ 6,182,938
MANUFACTURING PROCESSING - 0.73%
40,000 Intertape Polymer Group Inc $ 624,025 $ 830,000
32,300 Lydall Inc+ 524,374 799,425
------------ ------------
$ 1,148,399 $ 1,629,425
MATERIAL MANUFACTURING - 0.42%
67,000 Landec Corp+ $ 969,850 $ 938,000
PHARMACEUTICALS - 2.80%
70,000 Anesta Corp+ $ 1,013,562 $ 813,750
76,000 Aronex Pharmaceuticals Inc+ 932,999 608,000
140,000 Genzyme Corp -- General Division+ 3,690,313 3,342,500
90,000 Matrix Pharmaceuticals Inc+ 1,914,665 1,136,250
100,000 Seragen Inc+ 643,332 325,000
------------ ------------
$ 8,194,871 $ 6,225,500
</TABLE>
77
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 81
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
PUBLISHING & MEDIA - 0.20%
25,000 Mecklermedia Corp+ $ 448,750 $ 437,500
RETAIL & RELATED - 2.31%
60,000 Corporate Express Inc+ $ 1,461,875 $ 2,250,000
30,000 Deckers Outdoor Corp+ 236,250 262,500
25,000 Mail Boxes Etc+ 506,930 500,000
38,000 North Face Inc+ 740,784 931,000
30,000 Reebok International Ltd 999,840 1,080,000
13,900 Spiegel Inc Class A+ 150,004 116,195
------------ ------------
$ 4,095,683 $ 5,139,695
SEMICONDUCTORS - 3.00%
31,000 Intel Corp $ 1,223,000 $ 2,474,188
20,000 LSI Logic Corp+ 488,475 437,500
65,000 MEMC Electronic Materials Inc+ 2,811,645 2,291,250
100,000 OnTrak Systems Inc+ 2,087,209 1,462,500
------------ ------------
$ 6,610,329 $ 6,665,438
TELECOMMUNICATIONS - 12.50%
100,000 Accom Inc+ $ 804,141 $ 200,000
25,000 Andrew Corp+ 1,111,375 1,112,500
10,000 Ascend Communications Inc+ 512,500 523,750
57,000 Cascade Communications Corp+ 2,055,938 3,883,125
Charter Communication
40,000 International Inc+ 313,200 230,000
115,000 ECI Telecommunications Ltd 2,930,626 2,371,875
70,000 EIS International Inc+ 1,694,109 1,146,250
149,000 Farallon Communications+ 2,108,720 1,676,250
20,000 Intermedia Communications Inc+ 520,000 620,000
197,632 LCI International Inc+ 2,212,214 6,991,217
80,000 Medaphis Corp+ 3,300,082 1,010,000
70,000 NEXTEL Communications Class A+ 1,433,641 1,146,250
95,000 PanAmSat Corp+ 1,507,156 2,636,250
40,000 Qualcomm Inc+ 2,048,125 1,735,000
</TABLE>
78
<PAGE> 82
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
45,000 TresCom International Inc+ $ 647,500 $ 528,750
22,000 Whittman Hart Inc+ 627,000 786,500
60,000 Winstar Communications Inc+ 1,753,500 1,162,500
------------ ------------
$ 25,579,827 $ 27,760,217
TRANSPORTATION - 2.90%
62,500 Atlas Air Inc+ $ 3,202,203 $ 2,812,500
20,000 Greenbrier Companies Inc 335,638 230,000
77,500 Landair Services Inc+ 1,403,448 871,875
70,000 Southwest Airlines Co 1,769,152 1,601,250
39,200 Trico Marine Services Inc+ 895,291 921,200
------------ ------------
$ 7,605,732 $ 6,436,825
TOTAL COMMON STOCKS $182,703,181 $204,175,857
CLOSED-END MUTUAL FUNDS-0.17%
Emerging Markets Infrastructure
15,000 Fund $ 151,875 $ 159,375
Morgan Stanley India Investment
25,000 Fund 345,910 228,125
------------ ------------
TOTAL CLOSED-END MUTUAL FUNDS $ 497,785 $ 387,500
WARRANTS-2.04%
105,000 Intel Corp expires 03/14/1998 $ 1,207,188 $ 4,396,875
5,000 Interlink Electronics Inc expires
06/07/1996 -- 156
110,000 Viacom Inc Class E expires
07/07/1999 815,438 123,750
------------ ------------
TOTAL WARRANTS $ 2,022,626 $ 4,520,781
</TABLE>
79
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 83
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CONVERTIBLE CORPORATE BONDS-0.74%
$ 500,000 Alfa S A de C V 8.00% 10/15/00 $ 522,500
500,000 First Financial Management
Corp 5.00 12/15/99 906,250
227,200 Oryx Energy Co 7.50 05/15/14 203,344
------------
TOTAL CONVERTIBLE CORPORATE BONDS $ 1,632,094
(Cost $1,176,569)
SHORT-TERM INSTRUMENTS-5.42%
U.S. TREASURY BILLS - 3.55%
$8,000,000 U.S. Treasury Bill 5.26%* 12/19/96 $ 7,878,240
REPURCHASE AGREEMENTS - 1.87%
$4,167,000 Goldman Sachs Pooled
Repurchase Agreement -
102% Collateralized by
U.S. Government Securities 5.20% 09/03/96 $ 4,167,000
------------
TOTAL SHORT-TERM INSTRUMENTS $ 12,045,240
(Cost $12,045,647)
TOTAL INVESTMENT IN SECURITIES
(Cost $198,445,808)** (Notes 1
and 3) 100.28% $222,761,472
Other Assets and Liabilities,
Net (0.28) (613,427)
------- ------------
TOTAL NET ASSETS 100.00% $222,148,045
======= ============
</TABLE>
- ------------------------------------------------------------------------------
+ Non-income earning securities.
* 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 $ 48,424,603
Gross Unrealized Depreciation (24,108,939)
------------
NET UNREALIZED APPRECIATION $ 24,315,664
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
80
<PAGE> 84
(THIS PAGE INTENTIONALLY LEFT BLANK)
81
<PAGE> 85
LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS
PERCENT OF NET ASSETS 22.52% 47.24%
LARGE CAP GROWTH STOCKS
PERCENT OF NET ASSETS 3.55% 14.51%
AT & T Corp 2,745 $ 144,113 12,451 $ 653,678
Abbott Laboratories 1,261 56,773 6,046 272,694
Airtouch Communications+ 938 25,795 3,801 104,528
Albertson's Inc 344 14,577 2,000 84,750
Alco Standard Corp 88 3,839 1,030 44,934
Allergan Inc 62 2,410 507 19,710
ALZA Corp+ 118 3,230 587 16,069
American Home Products Corp 988 58,539 4,938 292,577
American International Group Inc 809 76,855 3,673 348,935
Ameritech Corp 883 45,585 4,300 221,988
Amgen Inc+ 516 30,057 2,096 122,092
Andrew Corp+ 4 178 415 18,468
Anheuser-Busch Inc 366 27,725 1,944 147,258
Armco Inc+ 207 906 975 4,266
Autodesk Inc 84 1,932 330 7,590
Automatic Data Processing 346 14,402 2,274 94,655
Avery Dennison Corp 48 2,454 395 20,194
Avon Products Inc 154 7,373 1,090 52,184
Bally Entertainment Corp+ 107 2,916 404 11,009
Barrick Gold Corp 507 13,689 2,870 77,490
Bay Networks Inc+ 343 9,433 1,480 40,700
Becton Dickinson & Co 354 14,470 896 36,624
Block (H & R) Inc 161 4,025 752 18,800
Boston Scientific Corp+ 343 15,735 1,376 63,124
Bristol-Myers Squibb Co 871 76,430 3,882 340,646
CPC International Inc 187 12,880 1,076 74,110
CUC International Inc+ 210 7,219 1,955 67,203
Cabletron Systems Inc+ 50 3,050 510 31,110
Campbell Soup Co 440 28,655 1,945 126,668
Ceridian Corp+ 27 1,151 524 22,336
Cisco Systems Inc+ 1,598 84,295 4,958 261,535
Clorox Co 45 4,213 366 34,267
Coca-Cola Co 4,132 206,600 19,282 964,100
Colgate-Palmolive Co 183 14,869 1,121 91,081
Comcast Corp Class A 393 6,337 1,799 29,009
Computer Associates International
Inc+ 778 40,845 2,830 148,575
Computer Sciences Corp+ 38 2,660 459 32,130
ConAgra Inc 334 14,070 1,940 81,723
CoreStates Financial Corp 554 22,922 1,664 68,848
Corning Inc 361 13,447 1,825 67,981
Crown Cork & Seal Co+ 230 10,753 975 45,581
</TABLE>
82
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Dayton-Hudson Corp 525 $ 18,113 1,635 $ 56,408
Deluxe Corp 220 8,415 639 24,442
Disney (Walt) Co 1,244 70,908 5,279 300,903
Dover Corp 100 4,388 892 39,137
DuPont (E I) de Nemours 896 73,584 4,348 357,080
Dun & Bradstreet Corp 223 12,850 1,360 78,370
EMC Corp+ 458 8,817 1,720 33,110
Eastman Kodak Co 629 45,603 2,681 194,373
Ecolab Inc 60 1,823 506 15,370
Emerson Electric Co 368 30,820 1,726 144,553
Engelhard Corp 214 4,360 1,065 21,699
First Bank System Inc 266 17,091 1,090 70,033
First Data Corp 422 32,916 1,712 133,536
Fluor Corp 119 7,616 637 40,768
Foster Wheeler Corp -- -- 260 11,213
Freeport-McMoRan Copper & Gold Inc
Class A 38 1,069 28 788
Freeport McMoRan Copper & Gold Inc
Class B 372 10,928 1,487 43,681
GTE Corp 1,726 67,961 7,543 297,006
Gannett Co Inc 183 12,261 1,120 75,040
Gap Inc 358 12,530 2,238 78,330
General Electric Co 2,722 226,266 12,891 1,071,564
General Instrument Corp+ 200 5,475 900 24,638
General Mills Inc 203 11,165 1,215 66,825
Gillette Co 824 52,530 3,440 219,300
Grace (W R) & Co 139 9,122 783 51,384
Green Tree Financial Inc 200 6,950 1,100 38,225
HFS Inc 1,400 83,825 1,200 71,850
Halliburton Co 275 14,472 868 45,679
Harcourt General Inc 186 8,905 580 27,768
Harland (John H) Co 53 1,332 276 6,935
Harrah's Entertainment Inc+ 154 2,926 822 15,618
Heinz (H J) Co 474 14,931 2,819 88,799
Hercules Inc 188 9,353 853 42,437
Hershey Foods Corp 229 19,952 623 54,279
Hewlett Packard Co 1,772 77,525 7,900 345,625
Hilton Hotels Corp 134 14,321 356 38,048
Home Depot Inc 935 49,672 3,677 195,341
Homestake Mining Co 166 2,739 980 16,170
Illinois Tool Works Inc 174 12,028 965 66,706
Intel Corp 1,416 113,015 6,402 510,960
International Flavors & Fragrances 171 7,353 863 37,109
Interpublic Group Cos Inc 82 3,711 576 26,064
</TABLE>
84
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Johnson & Johnson 2,226 $ 109,631 10,272 $ 505,896
Kellogg Co 369 24,908 1,627 109,823
Kimberly-Clark Corp 531 41,617 2,222 174,149
Kroger Co+ 165 6,992 908 38,477
Lilly (Eli) & Co 876 50,151 4,230 242,168
MBNA Corp 277 8,414 1,711 51,972
MGIC Investment Corp 400 25,350 500 31,688
Marsh & McLennan Companies Inc 80 7,440 599 55,707
Marriott International 123 6,750 1,013 55,588
Mattel Inc 308 8,124 2,103 55,467
McDonald's Corp 1,190 55,186 5,384 249,683
McGraw-Hill Inc 72 2,952 716 29,356
Medtronic Inc 400 20,800 1,784 92,768
Merck & Co Inc 1,972 129,413 9,503 623,634
Meredith Corp 50 2,150 198 8,514
Microsoft Corp+ 959 117,478 4,642 568,645
Micron Electronics Inc+ -- -- 100 1,588
Millipore Corp 50 1,913 294 11,246
Minnesota Mining & Manufacturing Co 767 52,731 3,260 224,125
Monsanto Co 915 29,394 4,500 144,563
Newell Co 202 6,287 1,215 37,817
Newmont Mining Corp 124 6,557 718 37,964
Nike Inc Class B 260 28,080 1,100 118,800
Northern Telecom Ltd 440 21,945 1,997 99,600
Oracle Systems Corp+ 1,293 45,578 5,028 177,237
Oryx Energy Co+ 245 4,288 765 13,388
Owens Corning Fiberglass Corp 26 946 423 15,387
PPG Industries Inc 348 17,183 1,481 73,124
Pacific Telesis Group 664 21,497 3,264 105,672
Pall Corp 78 1,833 894 21,009
Pep Boys-Manny Moe & Jack 57 1,910 503 16,851
Pepsico Inc 2,598 74,693 12,126 348,623
Perkin-Elmer Corp 27 1,401 324 16,808
Pfizer Inc 1,070 75,970 4,932 350,172
Philip Morris Co Inc 1,376 123,496 6,440 577,990
Pioneer Hi Bred International Inc 132 7,277 674 37,154
Placer Dome Inc 292 7,008 1,799 43,176
Praxair Inc 161 6,621 1,177 48,404
Procter & Gamble Co 1,123 99,807 5,347 475,215
Quaker Oats Co 136 4,471 974 32,020
Ralston-Purina Group 151 9,438 818 51,125
Raychem Corp 125 8,578 322 22,097
Rubbermaid Inc 206 5,459 1,219 32,304
SBC Communication Inc 1,002 46,718 4,756 221,749
</TABLE>
86
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
St Jude Medical Inc+ 48 $ 1,722 578 $ 20,736
Sara Lee Corp 913 28,760 3,752 118,188
Schering-Plough Corp 676 37,772 2,896 161,814
Schlumberger Ltd 427 36,028 1,909 161,072
Seagate Technology Inc+ 1,318 63,264 1,100 52,800
Sears Roebuck & Co 591 26,004 3,068 134,992
Shared Medical System Corp 40 2,185 138 7,538
Shoney's Inc+ 97 885 170 1,551
Southwest Airlines Co 175 4,003 1,139 26,055
Sprint Corp 677 27,503 3,357 136,378
Stanley Works 258 7,095 652 17,930
Sun Microsystems Inc+ 278 15,116 1,466 79,714
Sysco Corp 248 7,967 1,409 45,264
TJX Companies Inc 178 5,696 650 20,800
Tele-Communication Inc Class A+ 1,062 15,797 5,027 74,777
Tellabs Inc+ 100 6,338 700 44,363
3Com Corp+ 1,700 79,475 1,300 60,775
Time Warner Inc 763 25,465 3,035 101,293
Tribune Co 68 4,888 438 31,481
Trinova Corp 50 1,569 223 6,997
Tyco International Inc 366 15,464 1,150 48,588
UST Inc 234 7,020 1,643 49,290
USAir Group Inc+ 129 2,306 451 8,062
Wal Mart Stores Inc 3,702 98,103 17,778 471,117
Walgreen Co 380 12,540 1,912 63,096
Warner Lambert Co 518 30,821 2,098 124,831
Wells Fargo & Co 152 37,810 759 188,801
Westinghouse Electric Corp 594 9,727 3,318 54,332
Whitman Corp 60 1,343 801 17,922
Winn-Dixie Stores Inc 160 5,500 1,200 41,250
WorldCom Inc+ 616 12,936 2,960 62,160
Wrigley (Wm) Jr Co 179 9,688 895 48,442
Xerox Corp 571 31,334 2,453 134,608
------------ ------------
TOTAL LARGE CAP GROWTH STOCKS
- VALUE $ 4,317,587 $ 19,204,144
- COST $ 3,627,929 $ 16,309,053
LARGE CAP VALUE STOCKS
PERCENT OF NET ASSETS 3.24% 14.19%
AMR Corp+ 183 $ 15,006 678 $ 55,596
Advanced Micro Devices+ 344 4,386 1,083 13,808
Aetna Inc 318 21,028 1,239 81,929
Ahmanson (H F) & Co 180 4,545 898 22,675
Air Products & Chemicals Inc 175 9,581 868 47,523
</TABLE>
88
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Alberto-Culver Co Class B 48 $ 1,986 222 $ 9,185
Alcan Aluminium Ltd 368 11,546 1,829 57,385
Alexander & Alexander Services 1 16 323 5,087
Allegheny Teledyne Inc+ 1,006 20,372 1,460 29,565
Allied Signal Inc 499 30,813 2,226 137,456
Allstate Corp 704 31,416 3,480 155,295
Alltel Corp 371 10,481 1,550 43,788
Aluminum Co of America 260 16,153 1,348 83,745
Amerada Hess Corp 138 7,021 782 39,784
Amdahl Corp+ 327 3,250 1,045 10,385
American Brands Inc 303 12,309 1,441 58,541
American Electric Power Inc 348 14,442 1,462 60,673
American Express Corp 841 36,794 3,814 166,863
American General Corp 350 12,775 1,685 61,503
American Greetings Corp Class A 180 4,635 601 15,476
American Stores Co 275 11,309 1,141 46,924
AMP Inc 230 8,798 1,760 67,320
Amoco Corp 844 58,236 3,939 271,791
Aon Corp 190 9,595 860 43,430
Apple Computer Inc 180 4,365 998 24,202
Applied Materials Inc+ 200 4,850 1,440 34,920
Archer-Daniels-Midland Co 904 16,047 4,356 77,327
Armstrong World Industries Inc 90 5,569 313 19,367
ASARCO Inc 123 3,183 321 8,306
Ashland Inc 156 5,792 502 18,637
Atlantic Richfield Corp 305 35,609 1,320 154,110
Baker Hughes Inc 271 8,198 1,088 32,912
Ball Corp 52 1,229 275 6,497
Baltimore Gas & Electric Co 281 7,306 1,172 30,472
Banc One Corp 750 28,781 3,578 137,306
Bank of Boston Corp 300 15,825 1,193 62,931
Bank of New York Inc 678 18,899 3,120 86,970
BankAmerica Corp 621 48,128 2,898 224,595
Bankers Trust N Y Corp 90 6,998 585 45,484
Bard (C R) Inc 41 1,271 462 14,322
Barnett Banks Inc 145 9,516 715 46,922
Battle Mountain Gold Co 378 3,213 790 6,715
Bausch & Lomb Inc 54 1,789 500 16,563
Baxter International Inc 409 18,252 2,144 95,676
Bell Atlantic Corp 689 38,756 3,438 193,388
BellSouth Corp 1,688 61,190 7,878 285,578
Bemis Co Inc 40 1,195 461 13,772
Beneficial Corp 142 8,005 463 26,102
Bethlehem Steel Corp+ 362 3,711 956 9,799
</TABLE>
90
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Beverly Enterprises 220 $ 2,255 891 $ 9,133
Biomet Inc+ 77 1,203 944 14,750
Black & Decker Corp 122 4,819 742 29,309
Boatmen's Bancshares Inc 257 13,685 1,251 66,616
Boeing Co 546 49,413 2,726 246,703
Boise Cascade Corp 67 2,261 414 13,973
Briggs & Stratton Corp 50 2,175 249 10,832
Brown-Forman Corp Class B 71 2,574 542 19,648
Browning-Ferris Industries Inc 388 9,894 1,674 42,687
Brunswick Corp 142 3,000 762 16,097
Burlington Northern Santa Fe 239 19,120 1,250 100,000
Burlington Resources Inc 227 9,676 1,044 44,501
CIGNA Corp 176 20,438 647 75,133
CSX Corp 318 16,099 1,654 83,734
Caliber System Inc 93 1,616 316 5,491
Carolina Power & Light Co 306 10,672 1,221 42,582
Case Corp -- -- 600 27,300
Caterpillar Inc 307 21,145 1,541 106,136
Centex Corp 55 1,767 228 7,325
Central & South West Corp 381 10,049 1,644 43,361
Champion International Corp 138 5,934 782 33,626
Charming Shoppes Inc+ 305 2,040 874 5,845
Chase Manhattan Bank 711 52,881 3,419 254,288
Chevron Corp 1,042 61,348 5,127 301,852
Chrysler Corp+ 1,290 37,571 5,948 173,236
Chubb Corp 258 11,449 1,346 59,729
Cincinnati Milacron Inc 59 1,165 282 5,570
Cinergy Corp 270 8,100 1,262 37,860
Circuit City Stores Inc 143 4,505 812 25,578
Citicorp 777 64,685 3,880 323,010
Coastal Corp 158 6,261 827 32,770
Columbia Gas System Inc+ 139 7,819 460 25,875
Columbia HCA Healthcare Corp 775 43,691 3,550 200,131
Comerica Inc 189 9,214 910 44,363
Community Psychiatric Centers+ 101 808 373 2,984
Compaq Computer Corp+ 342 19,366 2,124 120,272
Conrail Inc 90 6,131 585 39,853
Consolidated Edison Co 385 10,058 1,872 48,906
Consolidated Freightways 162 3,726 361 8,303
Consolidated Natural Gas Co 138 7,504 782 42,521
Cooper Industries Inc 178 7,209 895 36,248
Cooper Tire & Rubber Co 121 2,360 641 12,500
Coors (Adolph) Co Class B 67 1,340 265 5,300
Crane Co 52 2,080 275 11,000
</TABLE>
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Cummins Engine Co Inc 23 $ 865 320 $ 12,040
Cyprus Amax Minerals 236 5,015 781 16,596
DSC Communications Corp+ 171 5,087 963 28,649
DTE Energy Co 282 8,037 1,123 32,006
Dana Corp 148 4,440 816 24,480
Darden Restaurants Inc+ 203 1,624 1,315 10,520
Data General Corp+ 62 698 361 4,061
Dean Witter Discover & Co 324 16,200 1,364 68,200
Deere & Co 478 19,001 2,063 82,004
Delta Air Lines Inc 138 9,781 560 39,690
Digital Equipment Corp+ 267 10,313 1,184 45,732
Dillard Department Stores Inc Class
A 173 5,882 866 29,444
Dominion Resources Inc 320 11,960 1,360 50,830
Donnelley (R R) & Sons Co 303 9,885 1,191 38,856
Dow Chemical Co 382 30,465 2,016 160,776
Dow Jones & Co Inc 150 5,869 818 32,004
Dresser Industries Inc 357 10,353 1,421 41,209
Duke Power Co 309 14,446 1,647 76,997
EG & G Inc 123 2,306 369 6,919
Eastern Enterprises 37 1,355 185 6,776
Eastman Chemical Co 120 6,705 638 35,648
Eaton Corp 83 4,596 577 31,951
Echlin Inc 153 4,667 500 15,250
Echo Bay Mines Ltd 371 3,687 1,065 10,583
Edison International 710 12,336 3,582 62,237
Enron Corp 336 13,482 1,994 80,009
Enserch Corp 142 2,858 538 10,827
Entergy Corp 379 9,617 1,764 44,762
Exxon Corp 2,026 164,866 9,798 797,312
FMC Corp+ -- -- 261 16,704
FPL Group Inc 283 12,523 1,445 63,941
Federal Express Corp+ 48 3,594 494 36,988
Federal Home Loan Mortgage Corp 341 30,136 1,405 124,167
Federal National Mortgage Assoc 1,816 56,296 8,648 268,088
Federated Department Stores Inc+ 400 13,850 1,600 55,400
Fifth Third Bancorp 194 10,282 845 44,785
First Chicago NBD Corp 534 22,762 2,473 105,412
First Union Corp 513 32,768 2,254 143,974
Fleet Financial Group Inc 405 16,909 2,133 89,053
Fleetwood Enterprises Inc 30 833 252 6,993
Fleming Co Inc 165 2,640 313 5,008
Ford Motor Co 1,930 64,655 9,322 312,287
Fruit of the Loom Inc Class A+ 114 3,164 650 18,038
GPU Inc 187 5,891 984 30,996
</TABLE>
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
General Dynamics Corp 61 $ 3,912 507 $ 32,511
General Motors Corp 1,280 63,680 6,036 300,291
General Re Corp 97 14,053 642 93,010
General Signal Corp 133 5,337 355 14,244
Genuine Parts Co 218 9,347 1,008 43,218
Georgia-Pacific Corp 133 9,892 676 50,278
Giant Food Inc Class A 154 5,178 501 16,846
Giddings & Lewis Inc 60 780 283 3,679
Golden West Financial 62 3,441 508 28,194
Goodrich (B F) Co 90 3,375 436 16,350
Goodyear Tire & Rubber Co 290 13,231 1,181 53,883
Grainger (W W) Inc 39 2,633 360 24,300
Great Atlantic & Pacific Tea Co 67 1,792 315 8,426
Great Lakes Chemical Corp 75 4,313 544 31,280
Great Western Financial Corp 257 6,361 1,050 25,988
Harnischfeger Industries Inc 108 4,077 419 15,817
Harris Corp 95 5,843 317 19,496
Hasbro Inc 129 4,741 724 26,607
Helmerich & Payne Inc 43 1,699 242 9,559
Honeywell Inc 229 13,311 1,046 60,799
Household International Inc 141 11,174 785 62,211
Houston Industries Inc 458 9,962 2,092 45,501
Humana Inc+ 300 5,625 1,300 24,375
ITT Hartford Group Inc+ 181 9,548 896 47,264
ITT Industries Inc 181 4,140 896 20,496
ITT Corp+ 181 9,638 896 47,712
Inco Ltd 179 5,773 897 28,928
Ingersoll-Rand Co 160 6,840 853 36,466
Inland Steel Industries Inc 97 1,673 346 5,969
Intergraph Corp+ 104 949 402 3,668
International Business Machines
Corp 869 99,392 4,284 489,983
International Paper Co 509 20,360 2,345 93,800
James River Corp 118 3,068 689 17,914
Jefferson-Pilot Corp 104 5,343 537 27,588
Johnson Controls Inc 96 6,768 319 22,490
Jostens Inc 5 93 301 5,606
K Mart Corp 784 7,840 3,812 38,120
Kaufman & Broad Home Corp 57 698 330 4,043
Kerr-McGee Corp 41 2,352 362 20,770
KeyCorp 423 16,973 1,834 73,589
King World Productions+ 100 3,525 312 10,998
Knight-Ridder Inc 190 6,413 732 24,705
LSI Logic Corp+ 272 5,950 1,060 23,188
Laidlaw Inc Class B 481 4,630 2,492 23,986
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Limited Inc 416 $ 7,696 2,110 $ 39,035
Lincoln National Corp 140 6,195 860 38,055
Liz Claiborne Inc 88 3,058 583 20,259
Lockheed Martin Corp 302 25,406 1,608 135,273
Loews Corp 200 14,950 900 67,275
Longs Drug Stores Corp 37 1,480 185 7,400
Louisiana Land & Exploration Co 83 4,721 281 15,982
Louisiana-Pacific Corp 268 5,829 862 18,749
Lowe's Co Inc 200 7,225 1,413 51,045
Luby's Cafeterias Inc 45 1,063 219 5,174
MCI Communications 1,115 28,014 5,492 137,987
Mallinckrodt Group Inc 84 3,402 580 23,490
Manor Care Inc 159 5,466 505 17,359
Masco Corp 299 8,708 1,315 38,299
May Co Department Stores Co 435 19,793 1,945 88,498
Maytag Corp 162 3,260 806 16,221
McDermott International Inc 144 2,988 465 9,649
McDonnell Douglas Corp 364 18,246 1,798 90,125
Mead Corp 54 3,092 400 22,900
Mellon Bank Corp 263 14,564 1,043 57,756
Melville Corp 160 6,760 853 36,039
Mercantile Stores Co Inc 90 4,748 263 13,873
Merrill Lynch & Co Inc 308 18,865 1,366 83,668
Micron Technology Inc 276 6,279 1,658 37,720
Mobil Corp 698 78,700 3,123 352,118
Moore Corp Ltd 150 2,625 819 14,333
Morgan (J P) & Co Inc 289 25,324 1,501 131,525
Morgan Stanley Group 248 11,842 1,240 59,210
Morton International Inc 282 10,469 1,171 43,473
Motorola Inc 951 50,760 4,666 249,048
NACCO Industries Inc Class A 16 776 40 1,940
Nalco Chemical Co 71 2,281 540 17,348
National City Corp 373 14,034 1,740 65,468
National Semiconductor+ 210 3,859 1,103 20,268
National Service Industries Inc 37 1,406 359 13,642
NationsBank 492 41,882 2,328 198,171
Navistar International Corp+ 181 1,765 577 5,626
New York Times Co Class A 162 5,063 729 22,781
Niagara Mohawk Power Corp 475 3,919 1,191 9,826
NICOR Inc 142 4,455 364 11,421
NorAm Energy Corp 364 5,324 1,058 15,473
Nordstrom Inc 119 4,641 637 24,843
Norfolk Southern Corp 242 20,177 1,008 84,042
Northern States Power Co 167 7,619 538 24,546
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Northrop Grumman Corp 136 $ 9,758 458 $ 32,862
Norwest Corp 608 22,876 2,936 110,467
Novell Inc+ 520 5,428 2,892 30,185
Nucor Corp 127 5,937 721 33,707
NYNEX Corp 752 32,430 3,453 148,911
Occidental Petroleum Corp 586 13,625 2,569 59,729
Ohio Edison Co 293 6,153 1,183 24,843
ONEOK Inc 47 1,287 220 6,023
Outboard Marine Corp 35 586 184 3,082
PECO Energy Co 363 8,531 1,725 40,538
PNC Bank Corp 606 18,938 2,692 84,125
PP & L Resources Inc 300 6,750 1,300 29,250
PACCAR Inc 93 4,208 315 14,254
Pacific Enterprises 98 2,928 692 20,674
Pacific Gas & Electric Co 673 15,227 3,298 74,617
PacifiCorp 494 9,942 2,327 46,831
Panenergy Corp 224 7,420 1,177 38,988
Parker Hannifin Corp 102 3,978 587 22,893
Penney (J C) Co Inc 388 20,516 1,774 93,800
Pennzoil Co 130 6,939 353 18,841
Peoples Energy Corp 61 2,074 284 9,656
Pharmacia and Upjohn Inc+ 765 32,130 4,047 169,974
Phelps Dodge Corp 74 4,477 545 32,973
Phillips Petroleum Co 458 18,549 2,038 82,539
Pitney Bowes Inc 202 9,747 1,215 58,624
Polaroid Corp 32 1,356 354 15,001
Potlatch Corp 76 2,860 224 8,428
Price/Costco Inc+ 356 7,076 1,512 30,051
Providian Corp 151 6,248 719 29,749
Public Services Enterprise Group 429 11,637 1,964 53,274
Pulte Corp 48 1,194 222 5,522
Raytheon Co 424 21,836 1,900 97,850
Reebok International Ltd 95 3,420 538 19,368
Republic New York Corp 100 6,613 400 26,450
Reynolds Metals Co 156 8,346 503 26,911
Rite Aid Corp 104 3,315 648 20,655
Rockwell International Corp 361 18,772 1,723 89,596
Rohm & Haas Co 69 4,313 539 33,688
Rowan Co Inc+ 172 2,645 692 10,640
Russell Corp 73 2,336 320 10,240
Ryan's Family Steak House+ 119 997 516 4,322
Ryder System Inc 186 5,278 581 16,486
SAFECO Corp 220 7,288 1,012 33,523
Safety-Kleen Corp 126 2,174 498 8,591
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
St Paul Co Inc 123 $ 6,365 643 $ 33,275
Salomon Inc 169 7,605 836 37,620
Santa Fe Energy Resources Inc+ 283 3,325 728 8,554
Santa Fe Pacific Gold Corp 228 2,964 1,056 13,728
Scientific-Atlanta Inc 82 1,107 677 9,140
Seagram Co Ltd 628 20,803 3,005 99,541
Service Corp International 224 12,628 919 51,809
Sherwin Williams Co 127 5,556 646 28,263
Sigma-Aldrich Corp 62 3,271 362 19,096
Silicon Graphics Inc+ 227 5,278 1,270 29,528
Snap-On Inc 24 1,095 322 14,691
Sonat Inc 128 5,648 723 31,902
Southern Co 1,136 25,702 5,322 120,410
Springs Industries Inc Class A 31 1,399 180 8,123
Stone Container Corp+ 233 3,233 826 11,461
Stride Rite Corp 113 961 410 3,485
Sun Co Inc 162 3,827 555 13,112
SunTrust Banks Inc 380 14,583 1,812 69,536
Super Value Inc 176 4,950 547 15,384
TRW Inc 63 5,828 534 49,395
Tandem Computers Inc+ 175 1,838 993 10,427
Tandy Corp 61 2,692 507 22,371
Tektronix Inc 78 3,023 276 10,695
Temple-Inland Inc 47 2,321 394 19,454
Tenet Healthcare Corp+ 416 8,736 1,716 36,036
Tenneco Inc 321 15,970 1,364 67,859
Texaco Inc 454 40,293 2,138 189,748
Texas Instruments Inc 272 12,716 1,458 68,162
Texas Utilities Co 370 15,170 1,757 72,037
Textron Inc 130 11,099 674 57,543
Thomas & Betts Corp 66 2,426 364 13,377
Times Mirror Co Class A 148 6,420 840 36,435
Timken Co 79 3,002 277 10,526
Torchmark Corp 78 3,315 548 23,290
Toys R Us Inc+ 509 15,016 2,161 63,750
Transamerica Corp 74 5,041 545 37,128
Travelers Inc 825 35,784 3,756 162,917
Tupperware Corp+ 61 2,669 506 22,138
USX -- Marathon Group 502 10,479 2,259 47,157
UNUM Corp 83 5,271 577 36,640
USF & G Corp 224 3,612 920 14,835
USX -- US Steel Group 182 5,005 678 18,645
Unicom Corp 349 8,027 1,687 38,801
Union Camp Corp 72 3,492 543 26,336
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Union Carbide Corp 190 $ 8,218 1,079 $ 46,667
Union Electric Co 154 5,756 822 30,722
Union Pacific Corp 309 22,518 1,647 120,025
Unisys Corp+ 523 3,073 1,514 8,895
United Healthcare Corp 339 13,094 1,453 56,122
U.S. Bancorp 310 11,858 1,259 48,157
United States Surgical 149 5,439 496 18,104
U.S. West Inc 744 21,948 3,791 111,835
U.S. West Media Group+ 844 15,298 3,791 68,712
United Technologies Corp 223 25,143 939 105,872
Unocal Corp 423 14,488 2,009 68,808
U.S. Life Corp 60 1,755 307 8,980
VF Corp 63 3,701 509 29,904
Varity Corp+ 27 1,357 325 16,331
Viacom Inc Class B+ 572 18,018 2,951 92,957
WMX Technologies Inc 822 25,996 3,961 125,267
Wachovia Corp 325 14,869 1,365 62,449
Wendy's International Inc 255 5,164 974 19,724
Western Atlas Inc+ 132 8,019 456 27,702
Westvaco Corp 152 4,351 857 24,532
Weyerhaeuser Co 310 13,834 1,623 72,426
Whirlpool Corp 80 3,920 601 29,449
Willamette Industries Inc 107 6,607 470 29,023
Williams Co Inc 157 7,830 823 41,047
Woolworth Corp+ 231 4,909 1,049 22,291
Worthington Industries Inc 233 4,718 777 15,734
Yellow Corp+ 49 655 223 2,983
------------ ------------
TOTAL LARGE CAP VALUE STOCKS
- VALUE $ 3,930,646 $ 18,752,621
- COST $ 3,458,194 $ 17,536,179
MEDIUM CAP GROWTH STOCKS
PERCENT OF NET ASSETS 3.79% 2.96%
ADC Telecommunication+ 786 $ 44,606 680 $ 38,590
APAC Teleservices Inc+ 100 4,425 200 8,850
AVX Corp 300 5,625 200 3,750
Adaptec Inc+ 700 34,913 600 29,925
Adobe Systems Inc 819 28,563 810 28,249
Adtran Inc+ 100 6,300 100 6,300
Airgas Inc+ 400 9,000 400 9,000
Altera Corp+ 560 24,640 460 20,240
America Online Inc 600 18,150 500 15,125
American Oncology Resources Inc+ -- -- 200 2,025
American Power Conversion+ 1,000 13,750 780 10,725
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Amphenol Corp Class A+ 200 $ 3,925 200 $ 3,925
Anadarko Petroleum Corp 739 38,982 600 31,650
Analog Devices Inc+ 1,501 36,212 1,345 32,448
Apria Healthcare Group Inc+ 500 12,625 500 12,625
Arrow International Inc+ -- -- 100 2,675
Ascend Communication Inc 1,200 62,850 1,000 52,375
Atmel Corp+ 962 24,892 960 24,840
AutoZone Inc+ 1,800 49,050 1,500 40,875
BMC Software Inc+ 656 48,872 540 40,230
Bed Bath & Beyond Inc 400 9,050 500 11,313
Belo (A H) Corp 456 18,297 340 13,643
Betz Labs Inc 396 19,454 340 16,703
Biogen Inc+ 459 32,015 380 26,505
Boise Cascade Office Products Corp+ -- -- 100 2,100
Boston Chicken Inc+ 600 20,850 500 17,375
Broderbund Software Inc+ 200 6,025 200 6,025
C-Cube Microsystems Inc+ 100 3,825 100 3,825
Cadence Design System Inc+ 982 29,092 1,012 29,981
Calenergy Inc 500 15,125 400 12,100
Callaway Golf Co 596 19,668 580 19,140
Cardinal Health Inc 641 47,033 540 39,623
Cascade Communications Corp+ 600 40,875 400 27,250
Centocor Inc+ 946 32,046 740 25,068
Charter One Financial Inc 600 22,838 500 19,031
Chiron Corp+ 896 17,584 1,092 21,431
Cintas Corp+ 510 27,668 300 16,275
Circus Circus Entertainment Inc+ 1,229 41,786 1,130 38,420
Clear Channel Communications Inc+ 200 16,475 200 16,475
Coleman Co Inc+ -- -- 200 3,375
Coltec Industries+ 600 9,000 400 6,000
Compuserve Corp+ -- -- 200 2,425
Consolidated Stores Corp+ 700 26,600 600 22,800
Corporate Express Inc+ 700 26,250 600 22,500
Corrections Corp of America+ 800 25,800 800 25,800
Credit Acceptance Corp+ 200 4,450 200 4,450
Cytec Industries Inc+ 500 17,375 300 10,425
DST Systems Inc 200 6,150 300 9,225
Danaher Corp 600 24,900 380 15,770
Dell Computer Corp+ 810 54,371 560 37,590
Dentsply International Inc 200 8,100 200 8,100
Dial Corp 136 1,564 680 7,820
Diamond Offshore Drilling Inc 300 15,300 300 15,300
Diebold Inc 510 26,201 490 25,174
Dollar General Corp 752 24,252 568 18,318
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Duracell International Inc 800 $ 36,100 700 $ 31,588
Eckerd (Jack) Corp Del+ 800 19,600 700 17,150
Electronic Arts Inc+ 500 15,438 500 15,438
Electronics for Imaging Inc+ 300 18,975 300 18,975
Enron Oil & Gas Co 1,000 25,875 700 18,113
Equifax Inc 2,210 56,355 1,900 48,450
Excel Communications Inc+ 400 10,200 300 7,650
Fastenal Co 300 14,025 300 14,025
Federal Signal Corp 498 11,267 490 11,086
First Usa Paymentech Inc -- -- 100 3,775
First USA Inc 800 42,400 700 37,100
FORE Systems Inc+ 400 14,200 400 14,200
Franklin Resources Inc+ 896 53,312 600 35,700
Freeport-McMoRan Inc+ 354 12,169 363 12,478
Fritz Companies Inc+ 200 2,975 200 2,975
Gartner Group Inc Class A 600 18,750 500 15,625
Gateway 2000 Inc+ 200 8,913 100 4,456
General Nutrition Co Inc+ 1,100 16,225 1,000 14,750
Genzyme Corp -- General Division+ 526 12,558 420 10,028
Georgia Gulf Corp 437 13,766 360 11,340
Glenayre Technologies Inc 650 23,888 550 20,213
Global DirectMail Corp+ 200 9,050 200 9,050
Global Marine Inc+ 2,100 30,188 1,800 25,875
Grand Casinos Inc 400 7,250 400 7,250
GTECH Holdings Corp+ 400 11,100 400 11,100
Guidant Corp+ 200 10,150 200 10,150
HBO & Co 1,000 54,625 800 43,700
Harley-Davidson Inc 1,018 41,738 850 34,850
Healthsouth Corp+ 1,894 61,318 1,600 51,800
HealthCare Compare Corp+ 484 20,691 390 16,673
Health Management Associates Inc
Class A 1,050 23,888 1,050 23,888
Healthsource Inc+ 600 9,000 600 9,000
ICN Pharmaceuticals Inc 500 10,500 504 10,584
Idexx Laboratories Inc+ 400 15,500 400 15,500
Illinois Central Corp 711 21,508 490 14,823
Imation Corp+ 576 13,608 316 7,466
Infinity Broadcasting Corp Class A+ 1,050 28,744 850 23,269
Informix Corp+ 1,790 40,275 1,620 36,450
Input/Output Inc+ 500 17,688 500 17,688
Intuit Inc+ 400 14,600 400 14,600
Iomega Corp+ 1,200 18,600 1,200 18,600
IVAX Corp 1,230 19,834 1,240 19,995
Jefferson Smurfit Corp+ 700 8,488 800 9,700
Jones Apparel Group Inc+ 200 11,075 200 11,075
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
K-III Communications Corp+ -- $ -- 200 $ 2,200
Kohls Corp+ 786 29,868 420 15,960
Komag Inc+ 600 12,750 500 10,625
LCI International Inc+ 300 10,613 300 10,613
La Quinta Inns Inc 800 15,300 750 14,344
Laboratory Corp of America
Holdings+ 660 2,640 418 1,672
Lancaster Colony Corp 338 12,295 260 9,458
Estee Lauder Co Class A 200 8,600 200 8,600
Lear Corp+ 600 23,025 300 11,513
Lexmark International Group Inc
Class A+ -- -- 200 3,575
LIN Television Corp+ 200 7,150 200 7,150
Linear Technology Corp 986 33,524 820 27,880
Loctite Corp 385 16,892 300 13,163
Lone Star Steakhouse & Saloon+ 300 9,938 300 9,938
Lyondell Petrochemical 876 19,929 580 13,195
MEMC Electronic Materials Inc+ 300 10,575 300 10,575
MFS Communications Inc+ 900 38,138 677 28,688
Macromedia Inc+ 400 9,050 400 9,050
Manpower Inc 900 32,063 700 24,938
Marvel Entertainment Group Inc -- -- 200 1,725
Maxim Integrated Products Inc 700 21,481 700 21,481
McAfee Associates Inc+ 300 17,888 300 17,888
McCormick & Co Inc+ 888 18,204 800 16,400
McLeod Inc Class A+ -- -- -- --
Medaphis Corp+ 800 10,100 600 7,575
Mentor Graphics Corp+ 600 8,213 700 9,581
Mercury Financial Corp 1,800 20,925 1,700 19,763
Microchip Technology Inc+ 400 14,675 400 14,675
Micro Warehouse Inc+ 300 8,063 300 8,063
Mid Atlantic Medical Services+ 400 5,400 500 6,750
MobileMedia Corp+ 300 2,044 200 1,363
Money Store Inc 400 9,600 400 9,600
Mylan Laboratories 1,603 26,249 1,370 22,434
Nellcor Inc+ 800 20,600 600 15,450
Netscape Communications Corp+ 200 7,075 200 7,075
Newmont Gold Co 600 32,325 100 5,388
Nine West Group Inc+ 200 10,300 200 10,300
Noble Affiliates Inc 538 21,587 330 13,241
Nordson Corp 214 10,941 160 8,180
Northwest Airlines Corp Class A+ 900 33,975 800 30,200
Novellus Systems Inc+ 200 7,550 200 7,550
Oakley Inc+ 300 12,300 300 12,300
Objective Systems Integrators Inc+ -- -- 100 2,088
Office Depot Inc+ 1,538 24,416 1,450 23,019
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Olsten Corp 691 $ 19,262 525 $ 14,634
Omnicare Inc 600 14,700 600 14,700
Omnicom Group 988 44,831 820 37,208
Omnipoint Corp 200 5,450 200 5,450
OrNda HealthCorp+ 700 18,025 600 15,450
Outback Steakhouse Inc+ 400 11,300 400 11,300
Owens-Illinois Inc+ 700 10,763 700 10,763
Oxford Health Plans Inc+ 800 36,600 700 32,025
Parametric Technology Corp+ 1,720 77,884 1,460 66,111
Paychex Inc 757 40,500 585 31,298
Peoplesoft Inc+ 400 30,700 300 23,025
PetSmart Inc+ 1,200 33,000 1,200 33,000
Phycor Inc+ 600 19,650 600 19,650
Picturetel Corp+ 400 13,150 400 13,150
Pixar Inc+ -- -- 100 1,250
Planet Hollywood International Inc
Class A+ -- -- 100 2,438
Pogo Producing Co+ 300 10,238 300 10,238
Presstek Inc+ 100 6,350 100 6,350
Price (T Rowe) Associates 600 17,400 600 17,400
Promus Hotel Corp+ 677 20,395 561 16,900
Protective Life Corp 300 10,575 300 10,575
Quintiles Transnational Corp+ 200 15,125 100 7,563
Readers Digest Association Class A 1,100 44,413 900 36,338
Republic Industries Inc+ 1,500 39,188 800 20,900
Reynolds & Reynolds Co Class A 573 28,722 460 23,058
Rhone-Poulenc Rorer Inc 900 63,338 500 35,188
Robert Half International Inc+ 600 19,800 600 19,800
Rouse Co 400 10,350 300 7,763
SPS Transaction Services Inc+ -- -- 100 1,450
Safeway Inc+ 1,400 50,750 800 29,000
Scherer (R P) Corp+ 300 14,438 300 14,438
Scholastic Inc+ 200 13,550 200 13,550
Schwab (Charles) Corp 1,878 46,950 1,270 31,750
Sealed Air Corp+ 400 15,150 400 15,150
Shiva Corp+ 300 15,150 300 15,150
Simon Debartolo Group Inc 300 7,463 300 7,463
Solectron Corp+ 500 18,688 500 18,688
Sonat Offshore Drilling Co 200 10,925 200 10,925
Sonoco Products 1,288 38,157 1,077 31,906
Southern National Corp 1,400 43,750 1,200 37,500
Southland Corp+ 1,800 5,625 1,400 4,375
Staples Inc+ 1,396 27,571 1,297 25,616
Starbucks Corp+ 1,000 32,750 800 26,200
Sterling Commerce Inc+ 200 6,200 200 6,200
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Sterling Software Inc+ 300 $ 20,363 300 $ 20,363
Stryker Corp+ 1,048 25,611 820 20,039
Student Loan Marketing Assoc 900 66,263 700 51,538
Sundstrand Corp 726 27,134 660 24,668
Sunglass Hut International Inc+ 600 9,450 500 7,875
Sybase Inc+ 700 11,277 700 11,277
Sybron International Corp+ 500 13,750 500 13,750
Synopsys Inc+ 400 15,200 400 15,200
TCF Financial Corp 400 14,950 400 14,950
Tambrands Inc 497 21,123 410 17,425
Teleport Communications Group Inc
Class A+ 300 6,938 -- --
Teradyne Inc+ 776 12,028 820 12,710
Thermo Electron Corp 1,533 60,745 1,426 56,505
Thermo Instrument Systems Inc+ 200 7,750 225 8,719
Thermo Cardiosystems Inc+ 150 5,119 150 5,119
ThermoLase Corp+ -- -- -- --
360 Communications Co+ 1,525 36,409 1,419 33,879
Tootsie Roll Industries 206 7,287 206 7,287
Total System Services Inc 300 6,788 300 6,788
TransTexas Gas Corp+ -- -- -- --
Turner Broadcasting System Inc
Class A 800 19,900 800 19,900
Turner Broadcasting System Inc
Class B 1,400 34,650 1,200 29,700
UCAR International Inc+ 400 15,600 400 15,600
U.S.A. Waste Services Inc+ 800 22,000 800 22,000
USG Corp+ 400 11,400 400 11,400
U.S. Robotics Corp+ 900 47,250 800 42,000
Union Pacific Resources Group Inc 2,200 59,950 400 10,900
Union Texas Petroleum Holdings Inc 600 12,450 600 12,450
ValuJet Inc+ 300 3,750 200 2,500
Valspar Corp 200 9,450 200 9,450
Value Health Inc+ 435 6,906 545 8,652
Varian Associates Inc 377 17,201 390 17,794
Vastar Resources Inc 600 20,925 200 6,975
Vencor Inc+ 700 21,963 700 21,963
VeriFone Inc+ 358 17,095 300 14,325
Viad Corp 136 1,938 680 9,690
Viking Office Products Inc+ 1,100 28,463 900 23,288
Vivra Inc+ 400 12,050 400 12,050
Vornado Realty Trust 300 12,488 200 8,325
Warnaco Group Inc Class A 600 14,850 500 12,375
Watson Pharmaceuticals Inc 300 8,700 300 8,700
Weatherford Enterra Inc+ 600 17,250 500 14,375
Western Wireless Corp Class A+ -- -- 100 1,750
Wisconsin Central Transport+ 600 21,150 600 21,150
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Xilinx Inc+ 847 $ 29,645 800 $ 28,000
Xylan Corp+ 100 4,225 -- --
York International Corp 602 27,165 520 23,465
------------ ------------
TOTAL MEDIUM CAP GROWTH STOCKS
- VALUE $ 4,595,494 $ 3,914,959
- COST $ 4,020,762 $ 3,615,764
MEDIUM CAP VALUE STOCKS
PERCENT OF NET ASSETS 3.98% 3.14%
AFLAC Inc 1,896 $ 65,175 1,670 $ 57,406
AGCO Corp 300 7,088 300 7,088
Arco Chemical Co 600 28,800 100 4,800
AT & T Capital Corp 100 4,463 100 4,463
Advanta Corp Class B 300 13,350 300 13,350
Albemarle Corp 713 11,497 460 7,418
Alexander & Baldwin Inc 504 12,852 490 12,495
Alleghany Corp+ 102 20,604 100 20,200
Allmerica Financial Corp 200 6,175 100 3,088
Allmerica Property & Casualty Co
Inc 800 22,600 700 19,775
Alumax Inc+ 489 16,137 380 12,540
AMBAC Inc 500 27,188 400 21,750
American Financial Group Inc 504 15,687 390 12,139
American National Insurance Co 100 6,925 100 6,925
American Re Corp 600 37,875 500 31,563
American Standard Co Inc+ 500 17,063 400 13,650
American States Financial Corp -- -- 100 2,300
American Water Works Co Inc 600 12,825 600 12,825
AmSouth Bancorp 600 23,625 600 23,625
Anixter International Inc+ 500 7,688 400 6,150
Apache Corp 962 28,259 920 27,025
Arrow Electronics Inc+ 493 22,493 496 22,630
Associates First Capital Corp 900 35,550 700 27,650
Avnet Inc 530 24,778 450 21,038
Bancorp Hawaii Inc 574 21,740 460 17,423
Bankers Life Holding Corp 300 7,350 200 4,900
Barnes & Noble+ 200 6,575 200 6,575
Bear Stearns & Co Inc 1,428 33,380 1,285 30,037
Beckman Instruments Inc 294 10,841 350 12,906
Bergen Brunswig Corp Class A 420 11,708 416 11,596
Bowater Inc 395 14,220 410 14,760
Brinker International Inc+ 1,056 15,840 890 13,350
CNA Financial Corp+ 400 40,200 100 10,050
Cabot Corp 1,010 27,775 840 23,100
Capital One Financial Corp -- -- 400 12,050
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Caremark International Inc+ 1,000 $ 24,875 900 $ 22,388
Central Fidelity Banks Inc 825 19,388 645 15,158
Chris-Craft Industries Inc+ 313 12,677 254 10,287
Cincinnati Financial Corp 730 39,603 646 35,046
Cirrus Logic Corp+ 634 9,827 680 10,540
Clayton Homes Inc 1,021 20,548 687 13,826
Coca-Cola Enterprises 1,412 57,010 910 36,741
Comdisco Inc 616 16,016 445 11,570
Commerce Bancshares Inc 515 18,798 415 15,148
Compass Bankshares Inc 400 13,450 400 13,450
Compuware Corp+ 400 17,200 400 17,200
Comsat Corp 510 11,539 500 11,313
Conseco Inc 600 25,200 500 21,000
Consolidated Papers Inc 486 25,029 280 14,420
ContiFinancial Corp+ -- -- 100 2,875
Countrywide Credit Industries Inc 1,400 33,775 1,200 28,950
Cox Communications Inc Class A+ 613 12,107 574 11,337
Cracker Barrel Old Country Store
Inc 649 15,170 710 16,596
Crestar Financial Corp 602 34,991 520 30,225
Cypress Semiconductor+ 800 9,300 940 10,928
Dauphin Deposit Corp 360 10,170 370 10,453
Dean Foods Co 424 10,971 440 11,385
Diamond Shamrock R&M Inc 304 8,322 250 6,844
Dime Bancorp Inc+ 1,200 15,750 1,200 15,750
Dole Food Inc 646 26,728 410 16,964
Donaldson Lufkin & Jenrette Inc -- -- 100 3,163
Ensco International Inc+ 700 20,475 500 14,625
Edwards A G & Sons Inc 655 18,340 620 17,360
Electronic Data Systems Corp 3,088 168,296 1,930 105,185
Enserch Exploration Inc+ -- -- -- --
Equitable Co Inc 900 22,163 900 22,163
Equitable of Iowa Co 300 11,025 300 11,025
Equity Residential Properties Trust 400 14,150 400 14,150
Ethyl Corp 1,031 9,279 1,010 9,090
Everest Reinsurance Holdings Inc 300 7,313 200 4,875
FHP International Corp+ 424 15,370 440 15,950
Fina Inc Class A -- -- -- --
Finova Group Inc 300 16,500 300 16,500
First American Corp -- Tennessee 400 18,650 400 18,650
First America Bank Corp 847 40,021 710 33,548
First Brands Corp 486 11,057 480 10,920
First Colony Corp 400 14,050 400 14,050
First Commerce Corp 400 14,300 400 14,300
First Empire State Corp 100 25,450 100 25,450
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
First Hawaiian Inc 200 $ 5,900 200 $ 5,900
First Security Corp 974 26,542 880 23,980
First Tennessee National Corp 908 30,986 740 25,253
First Virginia Banks Inc 359 14,899 380 15,770
Firstar Corp 800 37,800 700 33,075
Fiserv Inc+ 617 20,901 530 17,954
Firstmerit Corp 300 9,000 300 9,000
FlightSafety International Inc 356 15,753 270 11,948
Food Lion Inc Class B 2,500 20,156 2,100 16,931
Food Lion Inc Class A 3,300 28,463 2,900 25,013
Forest Labs Inc Class A+ 582 23,935 570 23,441
Fort Howard Corp+ 700 16,538 600 14,175
Foundation Health Corp+ 609 18,270 482 14,460
Franchise Finance Corp -- -- 100 2,375
GATX Corp 223 10,314 270 12,488
Gaylord Entertainment Co Class A 315 7,718 315 7,718
General Motors Corp Class H 1,300 72,638 1,100 61,463
Greenpoint Financial Corp 600 21,375 500 17,813
Hanna (M A) Co 580 12,615 450 9,788
Hannaford Brothers Co 436 14,606 360 12,060
Harsco Corp 369 22,463 310 18,871
Hartford Steam Boiler Inspection 230 10,264 280 12,495
Hawaiian Electric Industries Inc 392 13,671 340 11,858
Health Care Property Investors Inc 300 10,163 300 10,163
Health Care & Retirement Corp+ 650 16,088 600 14,850
Health & Retire Property Trust 600 10,575 600 10,575
Hibernia Corp Class A 1,600 17,600 1,400 15,400
Hillenbrand Industries Inc 300 9,713 300 9,713
Horizon/CMS Healthcare Corp+ 600 7,500 400 5,000
Hormel Foods Corp 400 8,500 400 8,500
Host Marriott Corp+ 1,800 24,750 1,800 24,750
Hubbell Inc Class B 732 26,444 566 20,447
Huntington Bancshares Inc 2,115 47,852 1,815 41,064
IBP Inc 1,332 31,136 1,120 26,180
IMC Fertilizer Group 818 35,174 800 34,400
Integrated Device Technology Inc+ 700 6,388 800 7,300
International Game Technology 1,797 36,614 1,500 30,563
International Rectifier Corp+ 500 9,563 500 9,563
International Specialty Products
Inc -- -- 200 2,200
John Nuveen & Co Inc Class A -- -- 100 2,550
KLA Instruments Corp+ 300 5,925 400 7,900
Kansas City Southern Industries 481 19,481 270 10,935
Kelly Services Inc Class A 406 11,571 420 11,970
Kennametal Inc 300 9,300 300 9,300
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Kimco Realty Corp 300 $ 8,700 250 $ 7,250
LTV Corp 1,400 16,450 1,200 14,100
Lafarge Corp 300 5,700 200 3,800
Lam Research Corp+ 300 7,088 300 7,088
Leggett & Platt Inc 1,058 30,153 800 22,800
Lehman Brothers Holdings 1,400 29,575 1,200 25,350
Leucadia National Corp 400 9,100 400 9,100
Litton Industries Inc+ 501 23,359 290 13,521
Longview Fibre Co 554 8,518 540 8,303
Loral Space & Communications+ 2,442 34,188 1,382 19,348
Lubrizol Corp 829 23,523 760 21,565
Lucent Technologies Inc 1,500 55,313 1,300 47,938
MBIA Inc 500 40,750 500 40,750
MGM Grand Inc+ 200 7,550 100 3,775
MAPCO Inc 337 18,156 260 14,008
Mark IV Industries Inc 521 11,202 507 10,901
Marshall & Ilsley Corp 1,358 37,345 1,140 31,350
Martin Mareitta Inc -- -- 100 2,200
McKesson Corp 500 21,313 400 17,050
Media General Inc Class A 280 8,715 220 6,848
Meditrust Corp 600 20,550 600 20,550
Mercantile Bancorporation 836 40,860 770 37,634
Mercantile Bankshares 503 13,392 490 13,046
Mercury General Corp 100 4,500 100 4,500
Mirage Resorts Inc+ 1,990 46,268 1,560 36,270
Molex Inc 1,063 34,946 718 23,604
Molex Inc Class A 600 17,850 575 17,106
Murphy Oil Corp 593 25,944 480 21,000
NGC Corp -- -- -- --
Nabisco Holdings Corp Class A 200 6,725 200 6,725
Nabors Industries Inc+ 900 13,388 900 13,388
New Plan Realty Trust 800 17,200 700 15,050
Northern Trust Corp 767 50,334 660 43,313
Officemax Inc+ 1,600 22,400 1,350 18,900
Ogden Corp 101 1,982 425 8,341
Ohio Casualty Corp 300 9,563 300 9,563
Old Kent Financial Corp 630 25,436 540 21,803
Old Republic International Corp 1,050 23,363 850 18,913
Olin Corp 335 26,549 280 22,190
PHH Corp 356 10,280 500 14,438
PMI Group Inc 300 14,663 300 14,663
PacifiCare Health Systems Inc Class
A+ 289 22,036 240 18,300
PacifiCare Health Systems Inc Class
B+ 200 16,100 200 16,100
Paging Network Inc+ 500 8,813 600 10,575
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Painewebber Group Inc 1,200 $ 24,750 1,200 $ 24,750
Paul Revere Corp -- -- 100 2,838
Payless Shoe Source+ 517 18,160 511 17,949
Perrigo Co+ 812 7,410 550 5,019
Pittston Services Group 523 14,775 520 14,690
Policy Management Systems Corp+ 248 8,742 170 5,993
Premark International Inc 761 13,888 506 9,235
Progressive Corp Ohio 782 42,521 520 28,275
Provident Companies Inc+ 497 18,389 290 10,730
Qualcomm Inc+ 500 21,688 500 21,688
Quantum Corp+ 500 7,688 500 7,688
Questar Corp 427 15,479 440 15,950
Quorom Health Group Inc+ 300 7,575 200 5,050
RJR Nabisco Holdings Corp 2,970 78,334 2,543 67,072
RPM Inc 778 12,448 887 14,192
Rayonier Inc 356 14,107 350 13,869
Read-Rite Corp+ 400 5,300 500 6,625
Readers Digest Association Class B 200 7,425 200 7,425
Reading & Bates Corp+ 700 17,150 600 14,700
Regions Financial 835 38,201 750 34,313
Reliastar Financial Corp 500 22,063 400 17,650
Revco DS Inc+ 600 15,450 500 12,875
SCI Systems Inc+ 300 13,388 300 13,388
St Joe Paper Corp 100 6,150 100 6,150
Saks Holdings Inc+ 200 6,825 -- --
Schuller Corp -- -- 200 1,975
Schulman (A) Inc 403 8,765 420 9,135
Scripps (E W) Co 600 26,700 300 13,350
Security Capital Pacific Trust 600 12,525 600 12,525
Sensormatic Electronics 1,035 19,018 870 15,986
Shaw Industries Inc 1,560 23,400 1,130 16,950
Signet Banking Corp 800 19,300 700 16,888
Southern Pacific Rail Corp+ 761 21,689 649 18,497
SouthTrust Corp 1,171 34,545 1,080 31,860
Spelling Entertainment Group Inc+ -- -- -- --
Standard Fed Bancorp 400 16,750 400 16,750
Star Banc Corp 400 31,500 300 23,625
State Street Boston Corp 1,119 60,566 950 51,419
Stewart & Stevenson Services 364 7,235 280 5,565
Stewart Enterprises Inc Class A 450 15,300 450 15,300
Storage Technology Corp+ 659 24,960 635 24,051
Summit Bancorp 1,203 46,616 1,070 41,463
Sunamerica Inc 300 20,438 300 20,438
Sunbeam-Oster Co Inc 500 10,875 500 10,875
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Sungard Data Systems Inc+ 600 $ 25,650 400 $ 17,100
Symbol Technologies Inc+ 260 11,570 210 9,345
Synovus Financial Corp 1,550 37,006 1,350 32,231
TIG Holdings Inc 500 14,375 500 14,375
Talbots Inc 200 6,850 100 3,425
Tecumseh Products Co Class A 241 12,653 190 9,975
Tele-Communications International
Inc Class A+ 300 4,988 200 3,325
Tele-Communications Inc Liberty
Media Group Class A+ 2,190 57,761 1,906 50,271
Terra Industries Inc 500 6,625 400 5,300
Tidewater Inc 565 21,682 450 17,269
Tosco Corp 457 21,936 280 13,440
Transatlantic Holdings Inc 251 17,413 200 13,875
Travelers/Aetna Property & Casualty
Corp Class A 400 11,000 400 11,000
TriMas Corp 200 4,650 200 4,650
Trinity Industries Inc 522 16,900 440 14,245
Tyson Foods Inc Class A 1,594 38,655 1,060 25,705
UAL Corp+ 600 28,800 600 28,800
Ultramar Corp 600 16,500 500 13,750
Unifi Inc 768 21,024 700 19,163
Union Planters Corp 600 19,725 500 16,438
UnionBanCal Corp 100 4,825 100 4,825
United Asset Management Corp 800 18,500 600 13,875
U.S. Industries Inc 595 15,321 605 15,579
Unitrin Inc 300 15,000 300 15,000
Universal Corp 381 9,620 400 10,100
Universal Foods Corp 279 7,986 320 9,160
Valero Energy Corp 480 10,140 470 9,929
Vishay Intertechnology Inc 420 8,453 520 10,465
Vons Co Inc+ 480 21,240 270 11,948
Vulcan Materials Co 400 23,150 400 23,150
Wallace Computer Services Inc 490 13,291 600 16,275
Washington Federal Inc 440 9,735 540 11,948
Washington Mutual Inc 900 32,625 800 29,000
Washington Post Co Class B 127 41,053 100 32,325
Weingarten Realty Investors 200 7,900 200 7,900
Weis Markets Inc 200 6,825 100 3,413
Wesco Financial Corp -- -- -- --
Western Digital Corp+ 500 17,563 500 17,563
Western National Corp 400 7,550 300 5,663
Wheelabrator Technologies Inc+ 1,200 17,850 1,000 14,875
Wilmingtion Trust Corp 392 12,838 410 13,428
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Witco Corp 716 $ 21,659 680 $ 20,570
Zions Bancorp 200 17,250 200 17,250
Zurich Reinsurance Centre Holdings
Inc+ 200 5,975 100 2,988
------------ ------------
TOTAL MEDIUM CAP VALUE STOCKS
- VALUE $ 4,822,393 $ 4,145,884
- COST $ 4,282,635 $ 3,756,865
MEDIUM CAP UTILITY STOCKS
PERCENT OF NET ASSETS 0.68% 0.50%
AGL Resources Inc 538 $ 10,895 440 $ 8,910
AES Corp 784 27,832 640 22,720
Allegheny Power System Inc 1,284 38,039 1,010 29,921
Atlantic Energy Inc 569 10,100 460 8,165
Brooklyn Union Gas Co 510 13,834 400 10,850
CMS Energy Corp 921 27,515 740 22,108
Century Telephone Enterprise 567 19,207 460 15,583
Delmarva Power & Light Co 640 13,120 510 10,455
El Paso Natural Gas Co 398 16,567 320 13,320
Florida Progress Corp 1,015 35,144 800 27,700
Frontier Corp 783 23,099 630 18,585
Idaho Power Co 402 13,216 320 10,520
Illinova Corp 813 21,240 650 16,981
IPALCO Enterprises Inc 607 16,389 480 12,960
Kansas City Power & Light Co 667 18,343 530 14,575
LG&E Energy Corp 728 16,562 560 12,740
MCN Corp 616 16,478 500 13,375
Midamerican Energy Co 451 7,160 367 5,826
Minnesota Power & Light Co 349 9,379 270 7,256
Montana Power Co 563 12,175 460 9,948
NIPSCO Industries Inc 702 25,974 560 20,720
National Fuel Gas Co 400 14,800 320 11,840
Nevada Power Co 444 9,158 360 7,425
New England Electric System 695 22,674 560 18,270
New York State Electric & Gas 772 16,598 610 13,115
NEXTEL Communications Class A 1,068 17,489 880 14,410
Northeast Utilities 1,340 17,085 1,070 13,643
Oklahoma Gas & Electric Co 429 17,375 340 13,770
Pinnacle West Capital Corp 941 27,054 750 21,563
Portland General Corp 540 19,575 430 15,588
Potomac Electric Power Co 1,282 31,569 1,010 24,871
Public Service Company of Colorado 661 23,548 530 18,881
Puget Sound Power & Light Co 683 15,624 540 12,353
Ranger Oil Ltd -- -- -- --
SCANA Corp 1,026 27,959 820 22,345
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Southern New England Telecom Corp 687 $ 26,192 550 $ 20,969
Southwestern Public Service Co 433 14,181 350 11,463
TECO Energy Inc 1,265 30,202 990 23,636
Telephone & Data Systems Inc 566 24,126 450 19,181
Utilicorp United Inc 491 14,178 380 10,973
Vanguard Cellular Systems Class A+ 411 7,860 330 6,311
WPL Holdings Inc 341 10,401 260 7,930
Washington Gas Light Co 464 10,150 360 7,875
Wisconsin Energy Corp 1,148 31,570 920 25,300
------------ ------------
TOTAL MEDIUM CAP UTILITY STOCKS
- VALUE $ 821,636 $ 654,930
- COST $ 720,962 $ 591,385
SMALL CAP GROWTH STOCKS
PERCENT OF NET ASSETS 0.11% 0.05%
Alliance Semiconductor Corp -- $ -- -- $ --
Boyd Gaming Corp+ -- -- 200 2,325
Collins & Aikman Corp+ -- -- -- --
Crompton & Knowles Corp 550 8,250 340 5,100
Department 56 Inc+ 200 4,775 200 4,775
Earthgrains Co 14 473 73 2,464
Flowers Industries Inc 606 10,908 480 8,640
GenCorp Inc -- -- -- --
Geon Co -- -- -- --
Getchell Gold Corp+ 24 1,050 59 2,581
Home Shopping Network Inc+ 1,025 11,019 810 8,708
HON Industries Inc 353 12,443 270 9,518
Jacobs Engineering Group+ -- -- -- --
Kaydon Corp -- -- -- --
Lands End Inc+ -- -- -- --
Lawter International Inc -- -- -- --
Lincoln Telecommunications -- -- -- --
MAXXAM Inc+ -- -- -- --
National Education Corp+ 52 943 118 2,139
OEA Inc+ -- -- -- --
Octel Communications+ -- -- -- --
Precision Castparts Corp -- -- -- --
Primadonna Resorts Inc+ -- -- -- --
Rollins Inc 388 8,100 210 4,384
Sbarro Inc -- -- -- --
Smith International Inc+ 414 14,387 -- --
Sotheby's Holdings Inc 611 9,471 -- --
Structural Dynamics Research+ 303 7,651 -- --
Superior Industries International
Inc 322 7,567 260 6,110
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Symantec Corp+ 378 $ 3,686 500 $ 4,875
TCA Cable TV Inc 266 6,916 -- --
Tencor Instruments+ 300 5,175 200 3,450
Tiffany & Co 326 11,369 -- --
Valhi Inc -- -- -- --
Wausau Paper Mills Co 392 7,007 316 5,649
Williams-Sonoma Inc+ -- -- -- --
------------ ------------
TOTAL SMALL CAP GROWTH STOCKS
- VALUE $ 131,190 $ 70,718
- COST $ 114,397 $ 75,429
SMALL CAP VALUE STOCKS
PERCENT OF NET ASSETS 0.23% 0.15%
AnnTaylor Stores Inc+ 247 $ 3,582 195 $ 2,828
Argonaut Group Inc -- -- 100 2,925
Bandag Inc -- -- 100 4,713
Bandag Inc Class A 100 4,575 100 4,575
Bassett Furniture Industries 25 597 50 1,194
Best Buy Co Inc+ -- -- 100 2,200
Bob Evans Farms Inc 468 6,845 360 5,265
Borders Group Inc+ -- -- -- --
Breed Technologies Inc -- -- -- --
Brown Group Inc 31 589 180 3,420
Burlington Industries Inc+ 729 9,842 477 6,440
Castle & Cooke Inc+ 215 3,279 136 2,074
Chesapeake Corp 256 6,272 200 4,900
Exabyte Corp+ -- -- -- --
Family Dollar Stores Inc 620 10,540 480 8,160
Federal Mogul Corp 396 6,831 300 5,175
Federal Realty Investment Trust -- -- -- --
Ferro Corp 305 7,968 250 6,531
Fingerhut Co 505 6,754 400 5,350
First Mississippi Corp 35 941 84 2,258
Fuller H B Co -- -- -- --
Fund American Enterprises Inc+ -- -- -- --
Glatfelter (P H) Co 486 8,870 280 5,110
Goulds Pumps Inc -- -- -- --
Granite Construction Inc -- -- -- --
Heilig-Meyers Co 524 9,301 410 7,278
Highland Insurance Group+ 37 703 76 1,444
Houghton Mifflin Co 152 7,220 120 5,700
Hunt (JB) Transport Services -- -- -- --
IES Industries Inc -- -- -- --
Indiana Energy Inc -- -- -- --
</TABLE>
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Information Resources Inc+ -- $ -- -- $ --
Intelligent Electronics -- -- -- --
International Dairy Queen Class A -- -- -- --
International Multifoods Corp -- -- -- --
John Alden Financial Corp -- -- -- --
Keystone International Inc 383 7,708 300 6,038
Lance Inc -- -- -- --
Lawson Products Inc -- -- -- --
Lee Enterprises Inc 498 10,209 -- --
Lukens Inc -- -- -- --
MacFrugals Bargains Closeouts+ -- -- -- --
Mascotech Inc -- -- 300 4,350
Measurex Corp -- -- -- --
Meyer (Fred) Inc+ -- -- -- --
Michaels Stores Inc -- -- -- --
Miller (Herman) Inc 269 10,092 210 7,878
Mobile Telecommunication
Technologies Corp+ -- -- 400 5,550
Modine Manufacturing Co 309 7,957 250 6,438
Morrison Health Care Inc 128 1,568 66 809
NCH Corp -- -- -- --
National Presto Industries Inc+ -- -- -- --
New World Communications Group Inc+ -- -- 200 4,613
Novacare Corp+ -- -- -- --
Old National Bancorp 315 11,576 210 7,718
Oregon Steel Mills Inc -- -- -- --
Overseas Shipholding Group 393 7,369 310 5,813
Parker & Parsley Petroleum 376 9,306 297 7,351
Parker Drilling Co+ -- -- -- --
Pentair Corp -- -- -- --
Phillips Van Heusen Corp -- -- -- --
Physician Corp of America+ 400 5,300 300 3,975
Pittston Burlington Group 61 1,167 160 3,060
Public Service Company of New
Mexico+ -- -- -- --
Quaker State Corp -- -- -- --
Roadway Express Inc+ 46 730 158 2,508
Rohr Industries Inc+ -- -- -- --
Ruby Tuesday Inc 192 3,984 100 2,075
Ruddick Corp -- -- -- --
Savannah Foods & Industries -- -- -- --
Schweitzer-Mauduit International
Inc+ 20 640 92 2,944
Seagull Energy Corp+ 391 7,038 310 5,580
Sequent Computer Systems+ 340 3,825 -- --
Service Merchandise Co+ 771 3,566 -- --
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PORTFOLIOS OF INVESTMENTS
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COMMON STOCKS (CONTINUED)
Skyline Corp 20 $ 508 44 $ 1,117
Smucker (J M) Co Class A 305 5,033 -- --
Southdown Inc+ 175 4,069 -- --
Standard Register Co 301 8,240 -- --
Stanhome Inc 220 5,610 170 4,335
Stratus Computer Inc+ 261 4,894 210 3,938
Teleflex Inc 175 8,050 -- --
Thiokol Inc 216 9,693 -- --
VLSI Technology Inc+ 500 7,000 400 5,600
Varco International Inc+ 292 4,709 -- --
Waban Inc+ 365 7,756 -- --
Watts Industries Inc Class A+ 308 5,737 -- --
Wellman Inc 363 7,487 280 5,775
Xtra Corp 200 8,675 200 8,675
Zenith Electronic Corp+ 44 649 89 1,313
Zurn Industries Inc 22 454 46 949
------------ ------------
TOTAL SMALL CAP VALUE STOCKS
- VALUE $ 275,308 $ 195,942
- COST $ 295,471 $ 215,332
MICRO CAP STOCKS
PERCENT OF NET ASSETS 0.01% 0.01%
Bally Total Fitness Holding Corp+ 26 $ 111 76 $ 323
Crown Vantage Inc+ 21 215 48 492
Dave & Buster's Inc+ -- -- -- --
Edison Brothers Stores Inc -- -- -- --
Ennis Business Forms Inc -- -- -- --
Genzyme Corp -- Tissue Repair+ 35 284 -- --
Gibson Greeting Inc+ -- -- -- --
Golden Books Family Entertainment
Inc+ 234 2,633 -- --
Hancock Fabrics -- -- -- --
Handleman Co 59 347 132 776
Hartmarx Corp+ 81 395 230 1,121
Host Marriot Services Corp+ 240 1,680 240 1,680
International Technology+ -- -- -- --
MagneTek Inc+ -- -- -- --
Michael Foods Inc -- -- -- --
Mid-American Waste Systems Inc+ -- -- -- --
Morrison Fresh Cooking Inc 96 540 50 281
Morrison Knudsen Corp+ 55 34 229 143
NPC International Inc -- -- -- --
Oshkosh B'Gosh Inc Class A 26 442 49 833
Rollins Environmental Services+ 131 409 353 1,103
SPX Corp 22 613 46 1,282
</TABLE>
136
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Sequa Corp Class A+ 110 $ 4,813 -- $ --
Sizzler International Inc 254 635 -- --
Strattec Security Corp+ 10 138 28 385
Topps Inc+ 512 2,432 -- --
Transport Holding Inc Class A+ 4 196 10 490
XOMA Corp+ 188 1,116 -- --
------------ ------------
TOTAL MICRO CAP STOCKS - VALUE $ 17,033 $ 8,909
- COST $ 17,918 $ 11,674
INTERNATIONAL STOCKS (EXCEPT JAPAN)
PERCENT OF NET ASSETS 5.36% 9.07%
Alcatel Alsthom Compagnie Generale
d'Electricite ADR (France)+ 11,450 $ 177,475 21,300 $ 330,150
Allied Irish Banks PLC ADR
(Ireland) 1,400 48,475 2,500 86,563
BAT Industries PLC ADR (UK) 9,700 128,525 17,800 235,850
Banco Bilbao Vizcaya ADR (Spain) 950 39,544 1,600 66,600
Banco Central Hispanoamericano SA
ADR (Spain) 1,100 11,413 2,000 20,750
Banco Santander SA ADR (Spain) 700 35,700 1,400 71,400
Barclays PLC ADR (UK) 1,650 94,875 3,100 178,250
Benetton Group SpA ADR (Italy)+ 5,350 119,038 9,800 218,050
British Airways PLC ADR (UK) 1,600 131,600 2,800 230,300
British Petroleum Co PLC ADR (UK) 1,224 144,147 2,250 264,952
British Gas PLC ADR (UK) 3,600 117,000 6,700 217,750
British Steel PLC ADR (UK) 850 24,756 1,500 43,688
British Telecommunications PLC ADR
(UK) 3,700 216,913 6,700 392,788
Broken Hill Proprietory Co Ltd ADR
(Australia 3,680 100,740 7,460 204,218
Coles Myer Ltd ADR (Australia) 2,424 68,175 4,332 121,838
Courtaulds PLC ADR (UK) 19,700 132,975 36,100 243,675
Daimler-Benz Aktiengesellschaft ADR
(Germany) 17,350 945,575 32,000 1,744,000
ELF Aquitaine ADR (France)+ 9,550 348,575 17,700 646,050
Fiat SpA ADR (Italy) 7,700 120,313 14,300 223,438
Glaxo Holdings Plc ADR (UK) 7,400 210,900 13,600 387,600
Grand Metropolitan PLC ADR (UK) 7,547 218,863 13,948 404,492
Hanson Finance PLC 8,550 107,944 15,900 200,738
Hong Kong Telecommunications Ltd
ADR (Hong Kong) 21,916 369,825 40,708 686,949
Imperial Chemical Industries PLC
ADR (UK) 2,100 106,313 3,900 197,438
KLM Royal Dutch Airlines ADR
(Netherlands)+ 507 14,133 1,110 30,941
Montedison Spa ADR+ 2,646 16,868 6,292 40,112
National Australia Bank Ltd ADS
(Australia) 2,050 100,963 3,700 182,225
News Corporation Ltd ADR
(Australia) 1,450 30,813 2,700 57,375
Novo-Nordisk A/S ADR (Denmark) 4,150 159,775 7,600 292,600
</TABLE>
138
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PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Philips Electronics NV
(Netherlands) 2,000 $ 67,750 3,500 $ 118,563
Premier Farnell Plc ADR+ 626 12,677 1,084 21,951
RTZ PLC ADR (UK) 2,800 170,100 5,100 309,825
Repsol SA ADR (Spain) 1,850 60,356 3,400 110,925
Rhone-Poulenc SA ADR (France) 4,484 118,272 8,268 218,081
Royal Dutch Petroleum Co ADR
(Netherlands) 1,889 282,169 3,617 540,289
Smithkline Beecham Plc ADR (UK) 2,150 125,238 3,800 221,350
Telecommunications of New Zealand
Corp ADR (New Zealand) 850 65,025 1,600 122,400
Telefonica de Espana ADR (Spain) 2,450 135,669 4,500 249,188
Total Compagnie Francaise des
Petroles SA ADR (France)+ 4,025 149,439 7,451 276,604
Unilever NV (Netherlands) 5,605 804,318 10,283 1,475,611
Vodafone Group Plc ADR (UK) 1,850 70,069 3,500 132,563
WMC Limited ADR 1,750 49,219 3,100 87,188
Westpac Banking Corp ADR
(Australia) 1,750 41,563 3,400 80,750
------------ ------------
TOTAL INTERNATIONAL STOCKS
(EXCEPT JAPAN) - VALUE $ 6,494,075 $ 11,986,068
- COST $ 6,224,254 $ 11,565,370
JAPANESE STOCKS
PERCENT OF NET ASSETS 1.57% 2.66%
CSK Corp ADR 2,250 $ 68,906 4,100 $ 125,563
Canon Inc ADR 700 64,838 1,250 115,781
Fuji Photo Film Co Ltd ADR 1,800 54,000 3,400 102,000
Hitachi Ltd ADR 600 55,050 1,000 91,750
Honda Motor Co Ltd ADR 1,400 64,575 2,600 119,925
Ito Yokado Co Ltd ADR 750 157,875 1,300 273,650
Japan Air Lines Co ADR 11,700 171,113 21,600 315,900
Kirin Brewery Co ADR 1,900 195,700 3,550 365,650
Kubota Corp ADR 100 13,250 100 13,250
Kyocera Corp ADR 250 34,000 600 81,600
Makita Corp ADR 2,950 42,038 5,350 76,238
Matsushita Electric Industrial Co
Ltd ADR 250 42,531 550 93,569
Mitsui & Co Ltd ADR 1,250 210,000 2,300 386,400
NEC Corp ADR 1,250 67,188 2,300 123,625
Nippon Telephone & Telegraph ADR 2,436 88,305 4,611 167,149
Nissan Motor Co Ltd ADR 3,100 46,113 5,700 84,788
Pioneer Electronics Corp 2,450 51,144 4,450 92,894
SONY Corp ADR 800 50,600 1,550 98,038
</TABLE>
140
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PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Tokio Marine & Fire Insurance Co
ADR 5,700 $ 329,175 10,600 $ 612,150
Toyota Motor Corp ADR 2,000 96,250 3,700 178,063
------------ ------------
TOTAL JAPANESE STOCKS - VALUE $ 1,902,651 $ 3,517,983
- COST $ 1,911,566 $ 3,617,674
TOTAL COMMON STOCKS - VALUE $ 27,308,013 $ 62,452,158
- COST $ 24,674,088 $ 57,294,725
</TABLE>
142
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
</TABLE>
143
LIFEPATH MASTER PORTFOLIIOS--AUGUST 31, 1996
<PAGE> 117
LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Principal Value Principal Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
LONG-TERM GOVERNMENT BONDS
PERCENT OF NET ASSETS 3.40% 6.80%
U.S. Treasury Bonds,
6.25% -- 11.75%,
05/15/21 - 11/15/24 $ 3,550,000 $ 4,126,214 $ 7,950,000 $ 8,994,242
LONG-TERM GOVERNMENT BONDS
- VALUE $ 4,126,214 $ 8,994,242
- COST $ 4,358,719 $ 9,298,911
INTERMEDIATE-TERM GOVERNMENT
BONDS
PERCENT OF NET ASSETS 73.26% 45.32%
U.S. Treasury Notes,
4.75% -- 9.13%,
09/30/97 - 7/15/06 $88,150,000 $ 88,834,542 $59,450,000 $ 59,908,073
INTERMEDIATE-TERM GOVERNMENT
BONDS - VALUE $ 88,834,542 $ 59,908,073
- COST $ 90,121,403 $ 60,521,139
</TABLE>
144
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LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
145
LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996
<PAGE> 119
LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Principal Value Principal Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS
MONEY MARKET SECURITIES
PERCENT OF NET ASSETS 0.62% 0.54%
U.S. Treasury Bills,
5.06% - 5.22%++,
09/19/96 - 11/21/96 $ 754,000 $ 747,206 $ 725,000 $ 717,867
MONEY MARKET SECURITIES - VALUE $ 747,206 $ 717,867
- COST $ 747,038 $ 717,717
------------ ------------
TOTAL INVESTMENT IN SECURITIES
(NOTES 1 AND 3) - VALUE $121,015,975 $132,072,340
- COST** $119,901,248 $127,832,492
------------ ------------
TOTAL INVESTMENT IN SECURITIES 99.80% $121,015,975 99.90% $132,072,340
Other Assets and Liabilities, Net 0.20 242,156 0.10 126,799
---------- ------------ ---------- ------------
TOTAL NET ASSETS 100.00% $121,258,131 100.00% $132,199,139
========== ============ ========== ============
</TABLE>
- ------------------------------------------------------------------------------
+ Non-income earning securities.
++ Yield to Maturity.
* These U.S. Treasury Bills are held in segregated accounts in connection with
the Fund's holdings of S&P 500 futures 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> <C> <C> <C>
Gross Unrealized Appreciation $ 3,823,338 $ 7,608,558
Gross Unrealized Depreciation (2,708,611) (3,368,710)
----------- ------------
GROSS UNREALIZED
APPRECIATION/DEPRECIATION $ 1,114,727 $ 4,239,848
=========== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
146
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MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS - 90.65%
17,629 AMR Corp+ $ 1,250,707 $ 1,445,578
316,096 AT & T Corp 17,892,993 16,595,040
154,663 Abbott Laboratories 5,102,419 6,979,168
26,297 Advanced Micro Devices+ 654,687 335,287
29,416 Aetna Inc 2,258,770 1,945,133
22,888 Ahmanson (H F) & Co 466,685 577,922
21,971 Air Products & Chemicals Inc 1,039,363 1,202,912
98,060 Airtouch Communications+ 2,607,286 2,696,650
5,434 Alberto-Culver Co Class B 144,335 224,832
49,524 Albertson's Inc 1,478,015 2,098,580
44,482 Alcan Aluminium Ltd 1,152,708 1,395,623
25,173 Alco Standard Corp 903,684 1,098,172
8,663 Alexander & Alexander Services 176,829 136,442
34,342 Allegheny Teledyne Inc+ 510,632 695,426
12,717 Allergan Inc 342,983 494,373
55,614 Allied Signal Inc 2,219,026 3,434,165
87,533 Allstate Corp 2,591,790 3,906,160
37,241 Alltel Corp 1,129,196 1,052,058
34,594 Aluminum Co of America 1,499,303 2,149,152
16,601 ALZA Corp+ 401,728 454,452
18,341 Amerada Hess Corp 917,094 933,098
23,136 Amdahl Corp+ 182,228 229,914
34,850 American Brands Inc 1,270,616 1,415,781
36,675 American Electric Power Inc 1,250,756 1,522,013
95,033 American Express Corp 3,110,556 4,157,694
40,851 American General Corp 1,268,130 1,491,062
14,737 American Greetings Corp Class A 423,639 379,478
124,428 American Home Products Corp 4,460,993 7,372,359
93,128 American International Group Inc 6,429,416 8,847,160
29,475 American Stores Co 785,593 1,212,159
109,272 Ameritech Corp 4,821,143 5,641,167
52,333 Amgen Inc+ 1,659,838 3,048,397
42,789 AMP Inc 1,555,102 1,636,679
97,630 Amoco Corp 6,010,053 6,736,470
11,823 Andrew Corp+ 280,609 526,124
49,802 Anheuser-Busch Inc 2,706,109 3,772,502
21,355 Aon Corp 1,158,897 1,078,428
24,365 Apple Computer Inc 819,201 590,851
35,284 Applied Materials Inc+ 1,134,053 855,637
107,365 Archer-Daniels-Midland Co 1,624,776 1,905,724
20,579 Armco Inc+ 127,153 90,033
</TABLE>
148
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MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
7,252 Armstrong World Industries Inc $ 354,335 $ 448,718
8,259 ASARCO Inc 231,941 213,702
12,582 Ashland Inc 440,607 467,107
31,669 Atlantic Richfield Corp 3,455,583 3,697,356
9,019 Autodesk Inc 287,529 207,437
56,978 Automatic Data Processing 1,705,819 2,371,709
10,454 Avery Dennison Corp 371,797 534,461
26,470 Avon Products Inc 847,054 1,267,251
28,013 Baker Hughes Inc 627,178 847,393
5,860 Ball Corp 172,262 138,443
9,753 Bally Entertainment Corp+ 99,773 265,769
29,032 Baltimore Gas & Electric Co 704,384 754,832
88,937 Banc One Corp 2,847,839 3,412,957
30,595 Bank of Boston Corp 1,167,695 1,613,886
76,636 Bank of New York Inc 1,469,712 2,136,229
71,936 BankAmerica Corp 3,754,511 5,575,040
15,685 Bankers Trust N Y Corp 1,077,501 1,219,509
11,257 Bard (C R) Inc 306,325 348,967
70,254 Barrick Gold Corp 1,838,884 1,896,858
18,468 Barnett Banks Inc 904,681 1,211,963
44,413 Battle Mountain Gold Co 378,578 377,511
11,112 Bausch & Lomb Inc 456,729 368,085
53,497 Baxter International Inc 1,651,594 2,387,304
36,989 Bay Networks Inc+ 1,702,580 1,017,198
25,084 Becton Dickinson & Co 633,728 1,025,309
86,184 Bell Atlantic Corp 4,940,712 4,847,850
195,591 BellSouth Corp 6,217,981 7,090,174
10,264 Bemis Co Inc 257,841 306,637
10,507 Beneficial Corp 442,318 592,332
21,822 Bethlehem Steel Corp+ 384,129 223,676
19,705 Beverly Enterprises 248,852 201,976
22,742 Biomet Inc+ 281,139 355,344
17,187 Black & Decker Corp 436,014 678,887
20,266 Block (H & R) Inc 813,997 506,650
31,085 Boatmen's Bancshares Inc 1,095,626 1,655,276
68,032 Boeing Co 3,708,326 6,156,896
9,420 Boise Cascade Corp 275,032 317,925
34,969 Boston Scientific Corp+ 1,051,063 1,604,203
5,672 Briggs & Stratton Corp 203,299 246,732
98,919 Bristol-Myers Squibb Co 6,212,798 8,680,142
13,528 Brown-Forman Corp Class B 428,360 490,390
</TABLE>
149
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 122
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
41,822 Browning-Ferris Industries Inc $ 1,286,174 $ 1,066,461
19,151 Brunswick Corp 396,538 404,565
29,889 Burlington Northern Santa Fe 1,752,814 2,391,120
24,876 Burlington Resources Inc 1,028,583 1,060,340
15,020 CIGNA Corp 1,200,406 1,744,198
28,638 CPC International Inc 1,542,698 1,972,442
41,630 CSX Corp 1,653,549 2,107,519
48,446 CUC International Inc+ 1,454,088 1,665,331
14,196 Cabletron Systems Inc+ 808,308 865,956
7,654 Caliber System Inc 382,842 132,988
49,013 Campbell Soup Co 2,149,866 3,191,972
29,975 Carolina Power & Light Co 865,229 1,045,378
14,213 Case Corp 638,870 646,692
38,123 Caterpillar Inc 2,112,327 2,625,722
5,556 Centex Corp 160,747 178,487
41,205 Central & South West Corp 1,060,934 1,086,782
13,361 Ceridian Corp+ 448,552 569,513
18,823 Champion International Corp 733,071 809,389
20,014 Charming Shoppes Inc+ 170,086 133,844
85,769 Chase Manhattan Bank 3,880,097 6,379,069
128,384 Chevron Corp 5,999,221 7,558,608
147,132 Chrysler Corp+ 3,699,729 4,285,220
34,508 Chubb Corp 1,439,796 1,531,293
7,790 Cincinnati Milacron Inc 188,260 153,853
30,991 Cinergy Corp 762,928 929,730
19,248 Circuit City Stores Inc 502,078 606,312
126,240 Cisco Systems Inc+ 3,455,210 6,659,160
95,661 Citicorp 5,162,402 7,963,778
10,255 Clorox Co 608,299 960,124
20,725 Coastal Corp 636,422 821,228
490,990 Coca-Cola Co 13,205,773 24,549,500
28,807 Colgate-Palmolive Co 1,799,063 2,340,569
10,831 Columbia Gas System Inc+ 355,324 609,244
88,058 Columbia HCA Healthcare Corp 3,821,644 4,964,270
47,077 Comcast Corp Class A 871,875 759,117
23,180 Comerica Inc 876,739 1,130,025
8,329 Community Psychiatric Centers+ 100,317 66,632
52,763 Compaq Computer Corp+ 1,923,849 2,987,705
Computer Associates International
71,362 Inc+ 1,744,950 3,746,505
14,766 Computer Sciences Corp+ 792,998 1,033,620
47,853 ConAgra Inc 1,568,938 2,015,808
</TABLE>
150
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MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
15,388 Conrail Inc $ 909,651 $ 1,048,308
46,229 Consolidated Edison Co 1,375,459 1,207,733
8,498 Consolidated Freightways 201,420 195,454
18,409 Consolidated Natural Gas Co 765,336 1,000,989
21,238 Cooper Industries Inc 833,219 860,139
16,314 Cooper Tire & Rubber Co 407,946 318,123
7,398 Coors (Adolph) Co Class B 135,681 147,960
43,599 CoreStates Financial Corp 1,509,864 1,803,909
45,435 Corning Inc 1,489,567 1,692,454
5,894 Crane Co 180,732 235,760
25,190 Crown Cork & Seal Co+ 1,073,863 1,177,633
7,796 Cummins Engine Co Inc 333,592 293,325
18,131 Cyprus Amax Minerals 512,124 385,284
22,812 DSC Communications Corp+ 682,081 678,657
28,576 DTE Energy Co 841,861 814,416
20,029 Dana Corp 566,827 600,870
31,364 Darden Restaurants Inc+ 335,080 250,912
7,505 Data General Corp+ 74,473 84,431
42,517 Dayton-Hudson Corp 1,085,614 1,466,837
32,818 Dean Witter Discover & Co 1,416,299 1,640,900
51,657 Deere & Co 1,401,567 2,053,366
15,515 Delta Air Lines Inc 1,023,502 1,099,626
16,206 Deluxe Corp 496,406 619,880
30,164 Digital Equipment Corp+ 1,115,309 1,165,085
Dillard Department Stores Inc
22,273 Class A 707,261 757,282
133,467 Disney (Walt) Co 7,321,802 7,607,619
34,833 Dominion Resources Inc 1,367,469 1,301,883
30,255 Donnelley (R R) & Sons Co 958,125 987,069
22,401 Dover Corp 717,694 982,844
49,200 Dow Chemical Co 3,452,545 3,923,700
19,176 Dow Jones & Co Inc 653,658 750,261
35,686 Dresser Industries Inc 818,921 1,034,894
110,256 DuPont (E I) de Nemours 7,073,399 9,054,774
40,287 Duke Power Co 1,625,267 1,883,417
33,383 Dun & Bradstreet Corp 1,939,906 1,923,695
9,320 EG & G Inc 160,089 174,750
45,447 EMC Corp+ 986,095 874,855
3,931 Eastern Enterprises 107,995 143,973
15,628 Eastman Chemical Co 833,523 873,215
68,082 Eastman Kodak Co 3,643,703 4,935,945
15,326 Eaton Corp 821,303 848,677
</TABLE>
151
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 124
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
12,118 Echlin Inc $ 388,023 $ 369,599
25,699 Echo Bay Mines Ltd 293,064 255,384
12,563 Ecolab Inc 296,743 381,601
87,595 Edison International 1,456,628 1,521,963
44,055 Emerson Electric Co 2,881,154 3,689,606
28,231 Engelhard Corp 555,808 575,207
49,393 Enron Corp 1,658,215 1,981,894
13,507 Enserch Corp 213,375 271,828
44,808 Entergy Corp 1,255,633 1,137,003
244,297 Exxon Corp 16,283,190 19,879,668
7,279 FMC Corp+ 430,923 465,856
36,118 FPL Group Inc 1,306,979 1,598,222
11,157 Federal Express Corp+ 763,805 835,380
35,161 Federal Home Loan Mortgage Corp 2,236,169 3,107,353
214,847 Federal National Mortgage Assoc 4,963,132 6,660,257
40,802 Federated Department Stores Inc+ 1,137,856 1,412,769
20,096 Fifth Third Bancorp 1,170,578 1,065,088
27,743 First Bank System Inc 1,473,057 1,782,488
62,247 First Chicago NBD Corp 1,990,186 2,653,278
43,901 First Data Corp 2,627,891 3,424,278
56,025 First Union Corp 2,540,408 3,578,597
51,801 Fleet Financial Group Inc 1,766,301 2,162,692
6,692 Fleetwood Enterprises Inc 145,895 185,703
7,332 Fleming Co Inc 191,780 117,312
16,400 Fluor Corp 868,198 1,049,600
231,233 Ford Motor Co 7,000,393 7,746,306
8,020 Foster Wheeler Corp 302,371 345,863
Freeport McMoRan Copper & Gold
38,301 Inc
Class B 1,057,800 1,125,092
14,960 Fruit of the Loom Inc Class A+ 388,317 415,140
23,682 GPU Inc 721,210 745,983
191,839 GTE Corp 6,706,392 7,553,661
27,657 Gannett Co Inc 1,491,020 1,853,019
56,714 Gap Inc 1,144,870 1,984,990
12,465 General Dynamics Corp 575,753 799,318
327,048 General Electric Co 18,089,395 27,185,865
24,814 General Instrument Corp+ 679,403 679,283
31,378 General Mills Inc 1,564,530 1,725,790
148,667 General Motors Corp 7,366,322 7,396,183
15,952 General Re Corp 1,976,562 2,311,046
9,674 General Signal Corp 334,322 388,169
</TABLE>
152
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MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
23,952 Genuine Parts Co $ 901,687 $ 1,026,942
17,943 Georgia-Pacific Corp 1,237,238 1,334,511
11,685 Giant Food Inc Class A 292,631 392,908
6,679 Giddings & Lewis Inc 124,159 86,827
87,483 Gillette Co 3,344,765 5,577,041
11,609 Golden West Financial 500,323 644,300
10,354 Goodrich (B F) Co 267,222 388,275
30,526 Goodyear Tire & Rubber Co 1,229,713 1,392,749
19,299 Grace (W R) & Co 957,667 1,266,497
10,032 Grainger (W W) Inc 632,090 677,160
7,398 Great Atlantic & Pacific Tea Co 188,105 197,897
12,673 Great Lakes Chemical Corp 793,968 728,698
26,961 Great Western Financial Corp 530,686 667,285
26,879 Green Tree Financial Inc 913,805 934,045
23,764 HFS Inc 1,567,808 1,422,870
22,598 Halliburton Co 844,476 1,189,220
14,171 Harcourt General Inc 533,693 678,437
5,963 Harland (John H) Co 135,341 149,820
9,208 Harnischfeger Industries Inc 261,519 347,602
20,199 Harrah's Entertainment Inc+ 518,697 383,781
7,630 Harris Corp 367,362 469,245
17,063 Hasbro Inc 559,062 627,065
72,735 Heinz (H J) Co 1,883,460 2,291,153
4,835 Helmerich & Payne Inc 141,937 190,983
21,378 Hercules Inc 909,560 1,063,556
15,219 Hershey Foods Corp 790,563 1,325,955
200,602 Hewlett Packard Co 5,612,749 8,776,338
9,622 Hilton Hotels Corp 613,260 1,028,351
94,037 Home Depot Inc 4,116,267 4,995,716
28,810 Homestake Mining Co 537,880 475,365
24,993 Honeywell Inc 954,420 1,452,718
19,078 Household International Inc 832,050 1,511,932
51,671 Houston Industries Inc 1,015,285 1,123,844
31,999 Humana Inc+ 883,694 599,981
23,147 ITT Hartford Group Inc+ 930,788 1,221,004
23,147 ITT Industries Inc 425,217 529,488
23,147 ITT Corp+ 986,290 1,232,578
23,422 Illinois Tool Works Inc 1,112,745 1,619,046
33,089 Inco Ltd 970,527 1,067,120
21,497 Ingersoll-Rand Co 788,061 918,997
9,453 Inland Steel Industries Inc 293,739 163,064
</TABLE>
153
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 126
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
161,491 Intel Corp $ 6,597,576 $ 12,889,000
8,967 Intergraph Corp+ 99,247 81,824
International Business Machines
106,925 Corp 8,145,274 12,229,547
International Flavors &
21,862 Fragrances 949,931 940,066
58,724 International Paper Co 2,091,019 2,348,960
15,576 Interpublic Group Cos Inc 536,567 704,814
16,721 James River Corp 358,854 434,746
13,963 Jefferson-Pilot Corp 525,693 717,349
262,150 Johnson & Johnson 7,617,959 12,910,888
8,133 Johnson Controls Inc 451,994 573,377
7,539 Jostens Inc 142,169 140,414
94,571 K Mart Corp 1,442,482 945,710
7,576 Kaufman & Broad Home Corp 115,777 92,806
41,794 Kellogg Co 2,513,607 2,821,095
10,026 Kerr-McGee Corp 514,436 575,242
45,571 KeyCorp 1,486,628 1,828,536
55,286 Kimberly-Clark Corp 2,875,298 4,333,040
7,405 King World Productions+ 287,680 261,026
19,244 Knight-Ridder Inc 545,889 649,485
24,454 Kroger Co+ 671,284 1,036,238
25,121 LSI Logic Corp+ 895,950 549,522
61,575 Laidlaw Inc Class B 563,655 592,659
108,336 Lilly (Eli) & Co 3,842,283 6,202,236
53,193 Limited Inc 1,006,076 984,071
20,480 Lincoln National Corp 882,354 906,240
14,396 Liz Claiborne Inc 352,118 500,261
39,098 Lockheed Martin Corp 2,061,972 3,289,119
23,185 Loews Corp 1,402,579 1,733,079
3,892 Longs Drug Stores Corp 140,769 155,680
6,666 Louisiana Land & Exploration Co 281,234 379,129
21,294 Louisiana-Pacific Corp 634,397 463,145
33,856 Lowe's Co Inc 1,110,233 1,223,048
4,547 Luby's Cafeterias Inc 101,960 107,423
43,853 MBNA Corp 844,045 1,332,035
135,910 MCI Communications 3,330,154 3,414,739
11,527 MGIC Investment Corp 722,312 730,524
14,579 Mallinckrodt Group Inc 489,131 590,450
12,360 Manor Care Inc 350,852 424,875
14,310 Marsh & McLennan Companies Inc 1,219,145 1,330,830
25,146 Marriott International 811,009 1,379,887
31,522 Masco Corp 885,574 918,078
</TABLE>
154
<PAGE> 127
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
54,447 Mattel Inc $ 1,031,912 $ 1,436,040
49,155 May Co Department Stores Co 1,824,793 2,236,553
21,047 Maytag Corp 376,393 423,571
10,590 McDermott International Inc 255,722 219,743
137,761 McDonald's Corp 4,632,229 6,388,666
43,678 McDonnell Douglas Corp 1,166,899 2,189,360
19,730 McGraw-Hill Inc 719,611 808,930
10,480 Mead Corp 508,107 599,980
46,019 Medtronic Inc 1,422,796 2,392,988
26,986 Mellon Bank Corp 1,136,424 1,494,350
20,669 Melville Corp 783,741 873,265
7,229 Mercantile Stores Co Inc 292,924 381,330
241,481 Merck & Co Inc 9,833,852 15,847,191
5,432 Meredith Corp 143,229 233,576
33,713 Merrill Lynch & Co Inc 1,509,218 2,064,921
116,874 Microsoft Corp+ 8,046,396 14,317,065
40,897 Micron Electronics Inc+ 1,186,580 930,407
8,652 Millipore Corp 242,555 330,939
82,268 Minnesota Mining & Manufacturing Co 4,391,683 5,655,925
77,584 Mobil Corp 6,950,742 8,747,596
115,895 Monsanto Co 2,079,571 3,723,127
19,684 Moore Corp Ltd 365,858 344,470
36,926 Morgan (J P) & Co Inc 2,544,827 3,235,641
30,251 Morgan Stanley Group 1,498,744 1,444,485
28,941 Morton International Inc 866,178 1,074,435
116,432 Motorola Inc 6,259,554 6,214,558
1,776 NACCO Industries Inc Class A 96,683 86,136
13,254 Nalco Chemical Co 436,802 425,785
43,464 National City Corp 1,379,015 1,635,333
26,393 National Semiconductor+ 509,056 484,971
9,398 National Service Industries Inc 264,148 357,124
58,913 NationsBank 3,427,958 5,014,969
14,809 Navistar International Corp+ 233,685 144,388
19,196 New York Times Co Class A 491,867 599,875
31,201 Newell Co 703,596 971,131
19,551 Newmont Mining Corp 871,858 1,033,759
28,076 Niagara Mohawk Power Corp 434,119 231,627
9,816 NICOR Inc 260,638 307,977
28,165 Nike Inc Class B 1,104,484 3,041,820
26,547 NorAm Energy Corp 202,279 388,250
15,989 Nordstrom Inc 652,397 623,571
</TABLE>
155
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 128
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
25,057 Norfolk Southern Corp $ 1,708,043 $ 2,089,127
13,452 Northern States Power Co 593,978 613,748
50,610 Northern Telecom Ltd 1,736,608 2,524,174
11,108 Northrop Grumman Corp 538,206 796,999
71,972 Norwest Corp 2,074,732 2,707,947
71,964 Novell Inc+ 1,306,221 751,124
17,280 Nucor Corp 1,001,833 807,840
85,920 NYNEX Corp 3,644,037 3,705,300
62,784 Occidental Petroleum Corp 1,315,644 1,459,728
29,999 Ohio Edison Co 622,305 629,979
5,237 ONEOK Inc 106,978 143,363
128,659 Oracle Systems Corp+ 2,626,159 4,535,230
20,565 Oryx Energy Co+ 319,851 359,888
3,931 Outboard Marine Corp 79,701 65,844
10,182 Owens Corning Fiberglass Corp 378,327 370,370
43,702 PECO Energy Co 1,211,210 1,026,997
67,056 PNC Bank Corp 1,996,777 2,095,500
31,394 PP & L Resources Inc 807,400 706,365
37,160 PPG Industries Inc 1,507,052 1,834,775
7,584 PACCAR Inc 371,192 343,176
16,499 Pacific Enterprises 380,860 492,908
81,981 Pacific Gas & Electric Co 2,218,559 1,854,820
84,234 Pacific Telesis Group 2,576,170 2,727,076
57,736 PacifiCorp 1,071,388 1,161,937
22,678 Pall Corp 437,196 532,933
29,719 Panenergy Corp 703,111 984,442
14,628 Parker Hannifin Corp 446,214 570,492
44,172 Penney (J C) Co Inc 2,190,894 2,335,595
9,096 Pennzoil Co 456,515 485,499
6,802 Peoples Energy Corp 191,098 231,268
12,117 Pep Boys-Manny Moe & Jack 357,966 405,920
308,312 Pepsico Inc 6,336,367 8,863,970
8,472 Perkin-Elmer Corp 294,032 439,485
100,224 Pharmacia and Upjohn Inc+ 3,115,599 4,209,408
125,343 Pfizer Inc 5,172,076 8,899,353
13,011 Phelps Dodge Corp 758,442 787,166
163,245 Philip Morris Co Inc 10,358,032 14,651,239
51,547 Phillips Petroleum Co 1,709,915 2,087,654
16,371 Pioneer Hi Bred International Inc 639,020 902,451
29,511 Pitney Bowes Inc 1,185,968 1,423,906
47,005 Placer Dome Inc 1,091,741 1,128,120
</TABLE>
156
<PAGE> 129
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
9,002 Polaroid Corp $ 330,714 $ 381,460
5,640 Potlatch Corp 229,826 212,205
30,488 Praxair Inc 770,061 1,253,819
38,447 Price/Costco Inc+ 630,443 764,134
134,932 Procter & Gamble Co 8,573,518 11,992,082
18,559 Providian Corp 658,396 767,879
48,182 Public Services Enterprise Group 1,374,899 1,306,937
5,231 Pulte Corp 139,842 130,121
26,637 Quaker Oats Co 935,977 875,691
20,866 Ralston-Purina Group 952,957 1,304,125
8,777 Raychem Corp 373,610 602,322
47,117 Raytheon Co 1,708,238 2,426,526
12,857 Reebok International Ltd 415,131 462,852
10,933 Republic New York Corp 644,460 722,945
12,489 Reynolds Metals Co 643,815 668,162
16,448 Rite Aid Corp 379,780 524,280
42,772 Rockwell International Corp 1,760,028 2,224,144
13,112 Rohm & Haas Co 789,363 819,500
16,478 Rowan Co Inc+ 142,301 253,349
105,411 Royal Dutch Petroleum Co 12,071,999 15,745,768
29,794 Rubbermaid Inc 838,846 789,541
7,593 Russell Corp 218,780 242,976
10,319 Ryan's Family Steak House+ 79,090 86,422
15,649 Ryder System Inc 396,641 444,040
119,836 SBC Communication Inc 5,372,916 5,587,354
24,771 SAFECO Corp 734,471 820,539
11,283 Safety-Kleen Corp 179,550 194,632
15,749 St Jude Medical Inc+ 445,203 564,995
16,428 St Paul Co Inc 742,841 850,149
20,713 Salomon Inc 883,264 932,085
17,514 Santa Fe Energy Resources Inc+ 165,318 205,790
25,602 Santa Fe Pacific Gold Corp 384,015 332,826
95,191 Sara Lee Corp 2,430,234 2,998,517
72,426 Schering-Plough Corp 2,841,769 4,046,803
47,807 Schlumberger Ltd 3,030,784 4,033,716
14,845 Scientific-Atlanta Inc 269,813 200,408
20,638 Seagate Technology Inc+ 1,088,375 990,624
73,535 Seagram Co Ltd 2,282,101 2,435,847
77,172 Sears Roebuck & Co 2,356,637 3,395,568
23,044 Service Corp International 756,732 1,299,106
4,554 Shared Medical System Corp 150,973 248,762
</TABLE>
157
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 130
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
16,853 Sherwin Williams Co $ 585,202 $ 737,319
8,091 Shoney's Inc+ 119,127 73,830
9,840 Sigma-Aldrich Corp 409,518 519,060
32,724 Silicon Graphics Inc+ 1,091,789 760,833
7,924 Snap-On Inc 307,060 361,533
16,923 Sonat Inc 543,604 746,727
131,905 Southern Co 2,762,629 2,984,351
28,448 Southwest Airlines Co 767,357 650,748
3,886 Springs Industries Inc Class A 142,758 175,356
85,918 Sprint Corp 2,788,452 3,490,419
17,356 Stanley Works 370,855 477,290
19,264 Stone Container Corp+ 302,872 267,288
9,632 Stride Rite Corp 120,432 81,872
14,680 Sun Co Inc 422,104 346,815
36,105 Sun Microsystems Inc+ 756,773 1,963,209
44,620 SunTrust Banks Inc 1,200,527 1,712,293
13,186 Super Value Inc 401,290 370,856
35,740 Sysco Corp 953,673 1,148,148
14,236 TJX Companies Inc 309,616 455,552
12,812 TRW Inc 915,082 1,185,110
22,801 Tandem Computers Inc+ 288,953 239,411
12,376 Tandy Corp 539,135 546,091
6,565 Tektronix Inc 237,732 254,394
128,452 Tele-Communication Inc Class A+ 2,226,598 1,910,724
17,431 Tellabs Inc+ 824,651 1,104,690
10,941 Temple-Inland Inc 519,022 540,212
42,364 Tenet Healthcare Corp+ 693,328 889,644
34,229 Tenneco Inc 1,667,185 1,702,893
52,010 Texaco Inc 3,497,356 4,615,888
37,226 Texas Instruments Inc 1,717,129 1,740,316
44,455 Texas Utilities Co 1,626,274 1,822,655
16,504 Textron Inc 983,623 1,409,029
7,780 Thomas & Betts Corp 258,381 285,915
32,823 3Com Corp+ 1,508,813 1,534,475
77,166 Time Warner Inc 2,961,641 2,575,415
20,627 Times Mirror Co Class A 519,284 894,696
6,074 Timken Co 224,906 230,812
14,080 Torchmark Corp 601,126 598,400
53,788 Toys R Us Inc+ 1,739,526 1,586,746
13,381 Transamerica Corp 775,789 911,581
93,304 Travelers Inc 2,612,722 4,047,061
</TABLE>
158
<PAGE> 131
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
12,349 Tribune Co $ 716,776 $ 887,584
5,637 Trinova Corp 190,317 176,861
12,146 Tupperware Corp+ 382,759 531,388
29,974 Tyco International Inc 798,198 1,266,402
56,593 USX -- Marathon Group 1,031,052 1,181,379
39,793 UST Inc 1,150,849 1,193,790
14,412 UNUM Corp 737,178 915,162
23,259 USF & G Corp 354,816 375,051
16,452 USX -- US Steel Group 572,633 452,430
31,453 Unilever NV 3,649,172 4,513,506
42,292 Unicom Corp 1,102,537 972,716
13,671 Union Camp Corp 654,145 663,044
26,183 Union Carbide Corp 824,955 1,132,415
20,137 Union Electric Co 740,574 752,620
40,431 Union Pacific Corp 2,420,656 2,946,409
33,338 Unisys Corp+ 321,280 195,861
35,855 United Healthcare Corp 1,746,693 1,384,899
31,720 U.S. Bancorp 972,393 1,213,290
12,525 USAir Group Inc+ 133,628 223,884
12,103 United States Surgical 298,738 441,760
93,332 U.S. West Inc 2,473,837 2,753,294
92,934 U.S. West Media Group+ 1,638,322 1,684,429
23,907 United Technologies Corp 1,736,281 2,695,514
48,608 Unocal Corp 1,411,823 1,664,824
6,694 U.S. Life Corp 172,589 195,800
12,518 VF Corp 627,959 735,433
7,854 Varity Corp+ 304,062 394,664
72,820 Viacom Inc Class B+ 3,003,627 2,293,830
97,225 WMX Technologies Inc 2,824,193 3,074,741
33,225 Wachovia Corp 1,232,009 1,520,044
451,138 Wal Mart Stores Inc 11,175,288 11,955,157
48,435 Walgreen Co 1,109,558 1,598,355
53,356 Warner Lambert Co 2,068,274 3,174,682
19,184 Wells Fargo & Co 2,953,120 4,772,020
24,997 Wendy's International Inc 438,511 506,189
10,459 Western Atlas Inc+ 480,200 635,384
82,063 Westinghouse Electric Corp 1,207,257 1,343,782
20,030 Westvaco Corp 494,656 573,359
39,240 Weyerhaeuser Co 1,683,959 1,751,085
14,628 Whirlpool Corp 807,589 716,772
20,709 Whitman Corp 365,179 463,364
</TABLE>
159
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 132
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
10,853 Willamette Industries Inc $ 721,934 $ 670,173
20,611 Williams Co Inc 697,704 1,027,974
29,877 Winn-Dixie Stores Inc 813,162 1,027,022
26,152 Woolworth Corp+ 459,555 555,730
76,312 WorldCom Inc+ 1,754,117 1,602,552
17,914 Worthington Industries Inc 357,503 362,759
22,824 Wrigley (Wm) Jr Co 1,068,267 1,235,349
63,616 Xerox Corp 2,273,487 3,490,928
5,420 Yellow Corp+ 96,195 72,493
------------ ------------
TOTAL COMMON STOCKS $766,688,052 $972,836,518
</TABLE>
160
<PAGE> 133
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS-9.65%
U.S. TREASURY BILLS-9.65%
$ 4,365,000 U.S. Treasury Bills++ 5.04%* 09/12/96 $ 4,357,934
42,755,000 U.S. Treasury Bills++ 5.06* 09/19/96 42,644,545
10,062,000 U.S. Treasury Bills++ 5.10* 10/03/96 10,017,566
3,756,000 U.S. Treasury Bills++ 5.14* 10/24/96 3,729,131
24,803,000 U.S. Treasury Bills++ 5.20* 11/07/96 24,577,293
12,436,000 U.S. Treasury Bills++ 5.22* 11/14/96 12,310,384
6,041,000 U.S. Treasury Bills++ 5.22* 11/21/96 5,973,655
TOTAL U.S. TREASURY SECURITIES $ 103,610,507
(Cost $103,599,468)
TOTAL INVESTMENT IN SECURITIES
(Cost $870,287,520)**(Notes> 1 and 3) 100.30% $1,076,447,025
Other Assets and Liabilities,
Net (0.30) (3,166,354)
------- --------------
TOTAL NET ASSETS 100.00% $1,073,280,671
======= ==============
</TABLE>
- ------------------------------------------------------------------------------
+ Non-income earning securities.
++ These U.S. Treasury Bills are held in segregated accounts in connection with
the Fund's holdings of S&P 500 futures contracts. See Note 1.
* 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 $230,312,179
Gross Unrealized Depreciation (24,152,674)
------------
NET UNREALIZED APPRECIATION $206,159,505
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
161
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 134
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE
TERM MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES-37.44%
CORPORATE NOTES - 33.36%
$ 500,000 Associates Corp of North
America 6.01% 02/07/03 $ 466,250
500,000 Bank of New York 6.63 06/15/03 479,905
250,000 BankAmerica Corp 8.38 03/15/02 262,538
500,000 Comdisco Inc 7.25 04/15/98 504,700
500,000 Disney (Walt) Co 6.38 03/30/01 485,000
250,000 First Union Bank 6.75 11/15/98 249,983
250,000 Ford Holdings 9.25 07/15/97 256,253
500,000 General Motors Acceptance
Corp 6.65 05/24/00 491,875
250,000 NBD Bancorp Inc 6.55 06/02/97 251,310
500,000 Norwest Corp 6.88 08/08/06 480,000
198,000 Sears Roebuck & Co 9.25 08/01/97 203,120
-----------
$ 4,130,933
YANKEE BONDS - 4.08%
$ 500,000 Quebec (Province of) 7.50% 07/15/02 $ 505,615
-----------
TOTAL CORPORATE BONDS & NOTES $ 4,636,548
(Cost $4,756,456)
U.S. GOVERNMENT AGENCY SECURITIES-20.90%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 20.90%
$ 478,963 Federal National Mortgage
Assoc 6.50% 05/01/11 $ 460,030
771,568 Federal National Mortgage
Assoc 7.00 06/01/09 761,175
1,435,059 Federal National Mortgage
Assoc 7.00 12/12/25 1,366,046
-----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 2,587,251
(Cost $2,659,662)
U.S. TREASURY SECURITIES-39.46%
U.S. TREASURY BONDS - 7.57%
$ 750,000 U.S. Treasury Bonds 10.75% 08/15/05 $ 937,148
U.S. TREASURY NOTES - 31.89%
$ 1,200,000 U.S. Treasury Notes 6.88% 07/31/99 $ 1,210,692
2,700,000 U.S. Treasury Notes 7.25 02/15/98 2,737,557
-----------
$ 3,948,249
TOTAL U.S. TREASURY SECURITIES $ 4,885,397
(Cost $4,967,282)
</TABLE>
162
<PAGE> 135
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE
TERM MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS-2.25%
REPURCHASE AGREEMENTS - 2.25%
$ 279,000 Goldman Sachs Pooled
Repurchase Agreement - 102%
Collateralized by U.S.
Government Securities 5.20% 09/03/96 $ 279,000
TOTAL SHORT-TERM INSTRUMENTS $ 279,000
(Cost $279,000)
TOTAL INVESTMENTS IN SECURITIES
(Cost $12,662,400)* (Notes 1
and 3) 100.05% $ 12,388,196
Other Assets and Liabilities,
Net (0.05) (6,257)
------ ------------
TOTAL NET ASSETS 100.00% $ 12,381,939
====== ============
</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 $ 31,286
Gross Unrealized Depreciation (305,490)
---------
NET UNREALIZED DEPRECIATION $(274,204)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
163
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE TERM MASTER
PORTFOLIO--AUGUST 31, 1996
<PAGE> 136
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER PORTFOLIO--AUGUST 31, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES-96.59%
$ 11,200,000 U.S. Treasury Notes 6.25% 02/15/03 $10,871,000
9,500,000 U.S. Treasury Notes 6.38 08/15/02 9,310,000
16,100,000 U.S. Treasury Notes 7.50 11/15/01 16,628,257
5,900,000 U.S. Treasury Notes 7.50 05/15/02 6,106,500
4,700,000 U.S. Treasury Notes 7.88 08/15/01 4,920,313
-----------
TOTAL U.S. TREASURY NOTES $47,836,070
(Cost $48,786,437)
SHORT-TERM INSTRUMENTS-2.63%
U.S. TREASURY BILLS - 2.63%
$ 54,000 U.S. Treasury Bills 5.06%* 09/19/96 $ 53,860
289,000 U.S. Treasury Bills 5.14* 10/24/96 286,933
799,000 U.S. Treasury Bills 5.20* 11/07/96 791,729
14,000 U.S. Treasury Bills 5.22* 11/21/96 13,844
156,000 U.S. Treasury Bills 5.22* 11/14/96 154,424
-----------
TOTAL U.S. TREASURY NOTES $ 1,300,790
(Cost $1,300,472)
TOTAL INVESTMENT IN SECURITIES
(Cost $50,086,909)** (Notes 1 and 3) 99.22% $ 49,136,860
Other Assets and Liabilities,
Net 0.78 385,228
------- ------------
TOTAL NET ASSETS 100.00% $ 49,522,088
======= ============
</TABLE>
- ------------------------------------------------------------------------------
* Yield to maturity.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized depreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 321
Gross Unrealized Depreciation (950,370)
---------
NET UNREALIZED DEPRECIATION $(950,049)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
164
<PAGE> 137
(THIS PAGE INTENTIONALLY LEFT BLANK)
165
<PAGE> 138
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED)
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Portfolio Master Portfolio
- -------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) (Note 1) $423,064,273 $156,089,039
Cash 0 370,151
RECEIVABLES:
Dividends and interest 3,136,579 1,984,596
Beneficial interests sold 10,948 0
Prepaid expenses 0 1,716
TOTAL ASSETS 426,211,800 158,445,502
LIABILITIES
PAYABLES:
Cash overdraft due to custodian
(Note 2) 37,955 0
Variation margin on futures
contracts 0 0
Investment securities purchased 0 0
Allocation to beneficial interest
holders 1,778,552 927,455
Beneficial interests redeemed 0 0
Due to Administrator (Note 2) 0 27,756
Due to BGI (Note 2) 378,718 40,255
Other 6,967 19,746
TOTAL LIABILITIES 2,202,192 1,015,212
TOTAL NET ASSETS $424,009,608 $157,430,290
INVESTMENTS AT COST $399,607,830 $158,777,601
- -------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
166
<PAGE> 139
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED)
<TABLE>
<CAPTION>
Managed Series
Investment Trust LifePath LifePath LifePath
Growth Stock 2000 2010 2020
Master Portfolio Master Portfolio Master Portfolio Master Portfolio
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$222,761,472 $121,015,975 $132,072,340 $198,334,501
668,957 60,051 6,419 149,276
40,025 1,307,175 1,079,725 1,002,621
836,626 20,000 92,500 194,000
54,100 0 0 0
224,361,180 122,403,201 133,250,984 199,680,398
0 0 0 0
0 0 0 0
1,887,080 0 0 0
0 962,107 849,296 1,033,085
0 10,000 20,000 0
0 0 0 0
318,371 172,963 182,549 277,495
7,684 0 0 0
2,213,135 1,145,070 1,051,845 1,310,580
$222,148,045 $121,258,131 $132,199,139 $199,369,818
$198,445,808 $119,901,248 $127,832,492 $186,366,493
</TABLE>
- -------------------------------------------------------------------------------
167
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)--AUGUST 31, 1996
<PAGE> 140
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED)
<TABLE>
<CAPTION>
LifePath LifePath
2030 2040
Master Portfolio Master Portfolio
- ---------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In securities, at market value (see cost
below) (Note 1) $122,275,416 $199,829,149
Cash 10,982 20,204
RECEIVABLES:
Dividends and interest 563,302 749,301
Beneficial interests sold 66,100 214,932
Prepaid expenses 0 0
TOTAL ASSETS 122,915,800 200,813,586
LIABILITIES
PAYABLES:
Cash overdraft due to custodian (Note
2) 0 0
Variation margin on futures contracts 0 5,800
Investment securities purchased 0 0
Allocation to beneficial interest
holders 535,371 684,114
Beneficial interests redeemed 0 9,944
Due to Administrator (Note 2) 0 0
Due to BGI (Note 2) 169,847 275,713
Other 0 0
TOTAL LIABILITIES 705,218 975,571
TOTAL NET ASSETS $122,210,582 $199,838,015
INVESTMENTS AT COST $112,433,092 $183,976,087
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
168
<PAGE> 141
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED)
<TABLE>
<CAPTION>
Master Managed Series Master
Investment Portfolio Investment Trust Investment Portfolio
S&P 500 Index Short-Intermediate Term U.S. Treasury Allocation
Master Portfolio Master Portfolio Master Portfolio
- -----------------------------------------------------------------------------
<S> <C> <C>
$1,076,447,025 $12,388,196 $49,136,860
9,162 4,204 130,806
2,318,521 114,764 566,135
65,653 0 0
16,689 0 0
1,078,857,050 12,507,164 49,833,801
0 0 0
910,600 0 0
0 0 0
4,523,798 70,631 269,648
0 0 0
0 0 0
135,014 29,472 38,922
6,967 25,122 3,143
5,576,379 125,225 311,713
$1,073,280,671 $12,381,939 $49,522,088
$ 870,287,520 $12,662,400 $50,086,909
</TABLE>
- ------------------------------------------------------------------------------
169
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)--AUGUST 31, 1996
<PAGE> 142
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Portfolio Master Portfolio
- -------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 2,468,493 $ 0
Interest 7,257,816 5,451,626
TOTAL INVESTMENT INCOME 9,726,309 5,451,626
EXPENSES (NOTE 2)
Advisory fees 753,337 62,468
Legal and audit 0 10,110
Portfolio pricing 5,022 5,027
TOTAL EXPENSES 758,359 77,605
LESS:
Waived fees by BGI (Note 2) (5,027) (2,129)
NET EXPENSES 753,332 75,476
NET INVESTMENT INCOME (LOSS) 8,972,977 5,376,150
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on sale of
investments 26,324,048 138,952
Net realized gain (loss) on sale of
futures
contracts 0 0
Net change in unrealized
appreciation
(depreciation) of investments (34,797,350) (6,341,504)
Net change in unrealized
appreciation
(depreciation) of futures
contracts 0 0
NET GAIN (LOSS) ON INVESTMENTS (8,473,302) (6,202,552)
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS $ 499,675 $ (826,402)
- -------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
170
<PAGE> 143
<TABLE>
<CAPTION>
Managed Series LifePath LifePath LifePath
Investment Trust 2000 2010 2020
Growth Stock Fund Fund Fund
Master Portfolio Master Portfolio Master Portfolio Master Portfolio
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 119,328 $ 305,857 $ 716,350 $ 1,563,148
386,449 2,876,848 1,933,026 2,003,022
505,777 3,182,705 2,649,376 3,566,170
634,773 340,262 339,027 536,414
30,128 0 0 0
5,027 0 0 0
669,928 340,262 339,027 536,414
(35,156) 0 0 0
634,772 0 0 0
(128,995) 2,842,443 2,310,349 3,029,756
12,709,380 908,710 1,031,263 3,740,251
0 0 0 0
(11,393,276) (3,612,584) (5,122,900) (8,389,709)
0 0 0 0
1,316,104 (2,703,874) (4,091,637) (4,649,458)
$ 1,187,109 $ 138,569 $(1,781,288) $(1,619,702)
</TABLE>
- -------------------------------------------------------------------------------
171
STATEMENT OF OPERATIONS (UNAUDITED)--FOR THE SIX MONTHS ENDED
AUGUST 31, 1996
<PAGE> 144
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
LifePath LifePath
2030 2040
Fund Fund
Master Portfolio Master Portfolio
- ---------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 1,151,650 $ 2,058,948
Interest 737,359 437,804
TOTAL INVESTMENT INCOME 1,889,009 2,496,752
EXPENSES (NOTE 2)
Advisory fees 329,604 536,093
Legal and audit 0 0
Portfolio pricing 0 0
TOTAL EXPENSES 329,604 536,093
LESS:
Waived fees by BGI (Note 2) 0 0
NET EXPENSES 0 0
NET INVESTMENT INCOME (LOSS) 1,559,405 1,960,659
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 2,057,440 6,947,040
Net realized gain (loss) on sale of
futures contracts 0 (35,875)
Net change in unrealized appreciation
(depreciation) of investments (5,815,993) (9,665,289)
Net change in unrealized appreciation
(depreciation) of futures contracts 0 (6,800)
NET GAIN (LOSS) ON INVESTMENTS (3,758,553) (2,760,924)
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS $(2,199,148) $ (800,265)
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
172
<PAGE> 145
<TABLE>
<CAPTION>
Managed Series Master
Master Investment Trust Investment Portfolio
Investment Portfolio Short-Intermediate U.S. Treasury
S&P 500 Index Term Allocation
Master Portfolio Master Portfolio Master Portfolio
- --------------------------------------------------------------------
<S> <C> <C>
$10,705,795 $ 0 $ 0
2,121,466 477,846 1,731,367
12,827,261 477,846 1,731,367
258,703 30,029 76,512
10,105 10,068 2,825
5,027 5,027 3,142
273,835 45,124 82,479
(5,346) (5,307) (1,776)
268,489 39,817 80,703
12,558,772 438,029 1,650,664
3,969,479 (72,976) (293,512)
1,975,399 0 0
10,534,038 (368,412) (1,196,499)
(1,976,850) 0 0
14,502,066 (441,388) (1,490,011)
$27,060,838 $ (3,359) $ 160,653
</TABLE>
- ------------------------------------------------------------------------------
173
STATEMENT OF OPERATIONS (UNAUDITED)--FOR THE SIX MONTHS ENDED
AUGUST 31, 1996
<PAGE> 146
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
Asset Allocation Master Portfolio
-------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 8,972,977 $ 14,061,443
Net realized gain (loss) on sale of
investments 26,324,048 253,539
Net realized gain on sale of futures
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments (34,797,350) 58,633,860
Net change in unrealized appreciation
of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 499,675 72,948,842
NET INCREASE IN NET ASSETS RESULTING
FROM BENEFICIAL INTERESTS
TRANSACTIONS 25,415,703 31,401,295
INCREASE IN NET ASSETS 25,915,378 104,350,137
NET ASSETS:
Beginning net assets $398,094,230 $293,744,093
ENDING NET ASSETS $424,009,608 $398,094,230
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
174
<PAGE> 147
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio Managed Series Investment Trust
Bond Index Master Portfolio Growth Stock Master Portfolio
- ------------------------------------- -------------------------------------
(Unaudited) (Unaudited)
For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended
August 31, 1996 February 29, 1996 August 31, 1996 February 29, 1996
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 5,376,150 $ 8,954,048 $ (128,995) $ 70,926
138,952 3,231 12,709,380 14,846,540
0 0 0 0
(6,341,504) 4,901,229 (11,393,276) 30,335,380
0 0 0 0
(826,402) 13,858,508 1,187,109 45,252,846
6,432,224 29,957,480 42,260,028 36,564,808
5,605,822 43,815,988 43,447,137 81,817,654
$151,824,468 $108,008,480 $178,700,908 $ 96,883,254
$157,430,290 $151,824,468 $222,148,045 $178,700,908
- -------------------------------------------------------------------------------
</TABLE>
175
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 148
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Master Portfolio
-----------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Net investment income $ 2,842,443 $ 3,939,926
Net realized gain (loss) on sale of
investments 908,710 1,412,647
Net realized gain (loss) on sale of futures
contracts 0 27,030
Net change in unrealized appreciation
(depreciation) of investments (3,612,584) 4,707,324
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 138,569 10,086,927
NET INCREASE IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 4,441,736 44,956,678
INCREASE IN NET ASSETS 4,580,305 55,043,605
NET ASSETS:
Beginning net assets 116,677,826 61,634,221
ENDING NET ASSETS $121,258,131 $116,677,826
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
176
<PAGE> 149
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2010 Master Portfolio LifePath 2020 Master Portfolio
- ------------------------------------- -------------------------------------
(Unaudited) (Unaudited)
For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended
August 31, 1996 February 29, 1996 August 31, 1996 February 29, 1996
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 2,310,349 $ 2,698,472 $ 3,029,756 $ 3,734,343
1,031,263 1,041,589 3,740,251 2,814,112
0 67,639 0 65,955
(5,122,900) 8,805,216 (8,389,709) 18,004,995
0 0 0 0
(1,781,288) 12,612,916 (1,619,702) 24,619,405
32,759,227 39,123,950 37,431,527 55,695,812
30,977,939 51,736,866 35,811,825 80,315,217
101,221,200 49,484,334 162,557,993 82,242,776
$132,199,139 $101,221,200 $198,369,818 $162,557,993
- -------------------------------------------------------------------------------
</TABLE>
177
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 150
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2030 Master Portfolio
-----------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Net investment income $ 1,559,405 $ 2,046,527
Net realized gain (loss) on sale of
investments 2,057,440 2,515,159
Net realized gain (loss) on sale of futures
contracts 0 47,954
Net change in unrealized appreciation
(depreciation) of investments (5,815,993) 13,600,387
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (2,199,148) 18,210,027
NET INCREASE IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 16,171,391 39,393,839
INCREASE IN NET ASSETS 13,972,243 57,603,866
NET ASSETS:
Beginning net assets 108,238,339 50,634,473
ENDING NET ASSETS $122,210,582 $108,238,339
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
178
<PAGE> 151
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2040 Master Portfolio
- -------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- -------------------------------------
<S> <C>
$1,960,659 $2,303,138
6,947,040 4,521,411
(35,875) 169,434
(9,665,289) 22,384,421
(6,800) (40,125)
(800,265) 29,338,279
24,617,374 80,123,105
23,817,109 109,461,384
176,020,906 66,559,522
$199,838,015 $176,020,906
</TABLE>
- ------------------------------------------------------------------------------
179
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 152
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master
Master Investment Portfolio
S&P 500 Index Master Portfolio
-------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 12,558,772 $ 18,954,443
Net realized gain (loss) on sale of
investments 3,969,479 3,991,955
Net realized gain on sale of futures
contracts 1,975,399 14,859,148
Net change in unrealized appreciation
(depreciation) of investments 10,534,038 165,144,303
Net change in unrealized appreciation
(depreciation) of futures contracts (1,976,850) 654,200
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 27,060,838 203,604,049
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 115,886,771 241,123,639
INCREASE (DECREASE) IN NET ASSETS 142,947,609 444,727,688
NET ASSETS:
Beginning net assets $ 930,333,062 $485,605,374
ENDING NET ASSETS $1,073,280,671 $930,333,062
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
180
<PAGE> 153
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Managed Series Investment Trust Master Investment Portfolio
Short-Intermediate Term U.S. Treasury Allocation
Master Portfolio Master Portfolio
- ------------------------------------- -------------------------------------
(Unaudited) (Unaudited)
For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended
August 31, 1996 February 29, 1996 August 31, 1996 February 29, 1996
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 438,029 $ 886,294 $ 1,650,664 $ 3,497,541
(72,976) 215,150 (293,512) 1,744,912
0 0 0 0
(368,412) 87,131 (1,196,499) 691,856
0 0 0 0
(3,359) 1,188,575 $ 160,653 $ 5,934,309
(1,365,761) (1,727,529) (2,294,212) (11,140,176)
(1,369,120) (538,954) (2,133,559) (5,205,867)
$13,751,059 $14,290,013 $51,655,647 $56,861,514
$12,381,939 $13,751,059 $49,522,088 $51,655,647
- -------------------------------------------------------------------------------
</TABLE>
181
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 154
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized 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. MIP is currently authorized to issue
fourteen separate portfolios (the "Master Portfolios"), of which the following
have commenced operations: the LifePath 2000, LifePath 2010, LifePath 2020,
LifePath 2030, LifePath 2040, Asset Allocation, Bond Index, S&P 500 Index and
U.S. Treasury Allocation Master Portfolios.
These Master Portfolios invest in a range of securities, generally
including money market instruments, equities and U.S. government securities. The
following significant accounting policies are consistently followed by MIP in
the preparation of its financial statements, and such policies are in conformity
with generally accepted accounting principles for investment companies.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
SECURITY VALUATION
The securities of each Master Portfolio 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
182
<PAGE> 155
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
determined in good faith in accordance with policies approved by MIP's Board of
Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is 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 (the "Code").
FEDERAL INCOME TAXES
Each Master Portfolio of MIP intends to qualify as a partnership for
federal income tax purposes. Each Master Portfolio therefore believes that it
will not be subject to any federal income tax on its income and net realized
capital gains (if any). However, each investor in a Master Portfolio will be
taxed on its allocable share of the partnership's income for purposes of
determining its federal income tax liability. The determination of such share
will be made in accordance with the Code. It is intended that each Master
Portfolio's assets, income and allocations will be managed in such a way that a
regulated investment company investing in a Master Portfolio will be able to
satisfy the requirements of Subchapter M of the Code, assuming that an
investment company invested all of its assets in the corresponding Master
Portfolio.
FUTURES CONTRACTS
The LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath
2040 and S&P 500 Index Master Portfolios 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, the LifePath 2000, LifePath
2010, LifePath 2020, LifePath 2030, LifePath 2040 and S&P 500 Index Master
Portfolios are required to pledge to the broker an amount of cash, U.S.
government securities or other high-quality debt securities equal to the minimum
"initial margin" requirements of the exchange. Pursuant to the contract, the
Master Portfolios agree to receive from or
183
<PAGE> 156
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
pay to the broker an amount of cash equal to the daily fluctuation in the value
of the contract. Such receipts or payments are known as "variation margin" and
are recorded by the Master Portfolios as unrealized gains or losses. When the
contract is closed, the Master Portfolios record a 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 Securities and Exchange Commission, the Master
Portfolios are 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, 1996, the LifePath 2040 and
S&P 500 Index Master Portfolios had the following open futures contracts:
LIFEPATH 2040 MASTER PORTFOLIO
<TABLE>
<CAPTION>
Notional Net
Number of Expiration Contract Unrealized
Contracts Type Date Value Depreciation
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
2 S&P 500 Index September 1996 $651,350 $(6,800)
</TABLE>
S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
Notional Net
Number of Expiration Contract Unrealized
Contracts Type Date Value Depreciation
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
101 S&P 500 Index December 1996 $33,188,600 $ (622,250)
213 S&P 500 Index September 1996 69,368,775 (1,354,600)
</TABLE>
The LifePath 2040 and S&P 500 Index Master Portfolios have pledged to
brokers U.S. Treasury Bills for initial margin requirements with a par value of
$60,000 and $4,000,000, respectively.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.35%, 0.08%, 0.05% and 0.30% of the average daily
net assets of the Asset Allocation,
184
<PAGE> 157
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
Bond Index, S&P 500 Index and U.S. Treasury Allocation Master Portfolios,
respectively, as compensation for its advisory services to such Master
Portfolios. BGFA is entitled to receive 0.55% of the average daily net assets of
each of the LifePath Master Portfolios. BGFA is an indirect subsidiary of
Barclays Bank PLC.
Barclays Global Investors, N.A. ("BGI") currently acts as custodian to each
of the Asset Allocation, Bond Index, LifePath 2000, LifePath 2010, LifePath
2020, LifePath 2030, LifePath 2040, S&P 500 Index and U.S. Treasury Allocation
Master Portfolios. BGI will not be entitled to receive compensation for its
custodial services so long as BGFA is entitled to receive fees for providing
investment advisory services to the Master Portfolios.
Prior to January 1, 1996 Wells Fargo Bank, N.A. ("WFB") served as
investment adviser to each Master Portfolio. WFB had provided investment
guidance and policy direction in connection with daily portfolio management of
each Master Portfolio. For the Asset Allocation Master Portfolio, the Bond Index
Master Portfolio, the S&P 500 Index Master Portfolio, and the U.S. Treasury
Allocation Master Portfolio, WFB was 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 Portfolios.
Certain fees have been waived by BGI for the Master Portfolios, with the
exception of U.S. Treasury Allocation Master Portfolio, for the six months ended
August 31, 1996. Waived fees continue at the discretion of BGI.
Certain officers and directors of MIP are also officers of Stephens. As of
August 31, 1996, these officers of Stephens collectively owned less than 1% of
the Master Portfolios' outstanding beneficial interests.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the administrator, sponsor and distributor for
the Master Portfolios, has paid all expenses in connection with the Master
Portfolios' organization and initial registration. Pursuant to the
Administration Agreement, Stephens has agreed to assume all operating expenses
of the Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040 and U.S. Treasury Allocation Master Portfolios, except for
advisory fees, interest, broker-
185
<PAGE> 158
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
age fees and commissions, if any, costs of independent pricing services and any
extraordinary expenses.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the six months ended August 31, 1996 are as follows:
<TABLE>
<CAPTION>
Asset
Allocation Bond Index LifePath 2000
Aggregate Purchases Master Master Master
and Sales of: Portfolio Portfolio Portfolio
- --------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT
OBLIGATIONS:
Purchases at cost $198,010,801 $20,016,281 $82,511,594
Sales proceeds 15,501,547 15,055,877 57,920,442
OTHER SECURITIES:
Purchases at cost 24,273,674 8,650,712 9,425,687
Sales proceeds 93,142,676 2,257,055 8,136,583
</TABLE>
<TABLE>
<CAPTION>
LifePath 2010 LifePath 2020 LifePath 2030
Aggregate Purchases Master Master Master
and Sales of: Portfolio Portfolio Portfolio
- --------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT
OBLIGATIONS:
Purchases at cost $73,104,986 $70,606,159 $23,141,405
Sales proceeds 40,508,838 37,214,413 7,834,120
OTHER SECURITIES:
Purchases at cost 34,291,574 54,631,001 33,914,453
Sales proceeds 22,595,972 38,843,835 28,712,372
</TABLE>
<TABLE>
<CAPTION>
U.S. Treasury
LifePath 2040 S&P 500 Index Allocation
Aggregate Purchases Master Master Master
and Sales of: Portfolio Portfolio Portfolio
- --------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT
OBLIGATIONS:
Purchases at cost $22,181,578 $ 0 $63,042,523
Sales proceeds 2,816,406 0 24,458,516
OTHER SECURITIES:
Purchases at cost 66,920,156 100,216,829 0
Sales proceeds 59,356,342 9,440,323 0
</TABLE>
186
<PAGE> 159
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the
Master Portfolios are as follows:
<TABLE>
<CAPTION>
For the
(Unaudited) Period From
For the May 26, 1994
Six Months For the (commencement
Ended Year Ended of operations)
August 31, February 29, to February 28,
1996 1996 1995
- --------------------------------------------------------------------
<S> <C> <C> <C>
Asset Allocation Master
Portfolio 27% 40% 23%
Bond Index Master
Portfolio 11% 21% 37%
LifePath 2000 Master
Portfolio 56% 84% 17%
LifePath 2010 Master
Portfolio 53% 39% 24%
LifePath 2020 Master
Portfolio 40% 49% 28%
LifePath 2030 Master
Portfolio 31% 39% 40%
LifePath 2040 Master
Portfolio 33% 29% 5%
S&P 500 Index Master
Portfolio 1% 2% 5%
U.S. Treasury Allocation
Master Portfolio 59% 325% 87%
</TABLE>
Average commission rates paid for the Master Portfolios are as follows:
<TABLE>
<CAPTION>
(Unaudited)
For the
Six Months Ended
August 31, 1996
- ----------------------------------------------------------------
<S> <C>
Asset Allocation Master Portfolio $0.04
Bond Index Master Portfolio --
LifePath 2000 Master Portfolio 0.05
LifePath 2010 Master Portfolio 0.05
LifePath 2020 Master Portfolio 0.06
LifePath 2030 Master Portfolio 0.04
LifePath 2040 Master Portfolio 0.04
S&P 500 Index Master Portfolio 0.10
U.S Treasury Allocation Master Portfolio --
</TABLE>
187
<PAGE> 160
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
5. ORGANIZATION OF THE MASTER PORTFOLIOS
At a special meeting held January 31, 1994, the shareholders of the Asset
Allocation, Bond Index, S&P 500 Stock and U.S. Treasury Allocation Funds (the
"Funds") of MasterWorks Funds Inc. (formerly, Stagecoach Inc.) 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 MIP. As
of end of day May 25, 1994, the Funds transferred their investments to the
corresponding Master Portfolio of MIP in exchange for shares in the
corresponding Master Portfolio. 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.
188
<PAGE> 161
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Managed Series Investment Trust ("MSIT") is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
MSIT was organized as a Delaware business trust pursuant to an Agreement and
Declaration of Trust dated October 28, 1993. MSIT currently offers the following
separate portfolios (the "Master Portfolios"): the Growth Stock and Short-
Intermediate Term Master Portfolios.
These Master Portfolios invest in a range of securities, generally
including money market instruments, equities and U.S. government securities. The
following significant accounting policies are consistently followed by MSIT 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 Portfolio 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 MSIT's Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
dividend date, and interest income is 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 (the "Code").
189
<PAGE> 162
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
FEDERAL INCOME TAXES
Each Master Portfolio of MSIT intends to qualify as a partnership for
federal income tax purposes. Each Master Portfolio therefore believes that it
will not be subject to any federal income tax on its income and net realized
capital gains (if any). However, each investor in a Master Portfolio will be
taxable on its allocable share of the partnership's income for purposes of
determining its federal income tax liability. The determination of such share
will be made in accordance with the Code. It is intended that each Master
Portfolio's assets, income and allocations will be managed in such a way that a
regulated investment company investing in a Master Portfolio 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 Portfolio.
ORGANIZATION EXPENSES
Stephens has paid all expenses in connection with the Master Portfolios'
organization and initial registration.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Portfolio of Investments. The adviser to the Master
Portfolios may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolio. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the 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 Portfolios as of August 31, 1996 are
collateralized by U.S. Government Securities. The repurchase agreements were
entered into on August 31, 1996.
190
<PAGE> 163
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive monthly fees at the annual rate of 0.60% and 0.45%
of the average daily net assets of the Growth Stock and Short-Intermediate Term
Master Portfolios, respectively, as compensation for its advisory services. BGFA
is an indirect subsidiary of Barclays Bank PLC.
Wells Fargo Bank ("WFB") serves as sub-adviser to each Master Portfolio. As
sub-adviser, WFB is responsible for the day-to-day portfolio management of each
Master Portfolio. WFB is entitled to receive from BGFA an amount equal to 0.15%
and 0.10% of the average daily net assets of the Growth Stock and
Short-Intermediate Term Master Portfolios, respectively, as compensation for its
sub-advisory services.
Barclays Global Investors, N.A. ("BGI") currently acts as custodian to each
Master Portfolio. BGI is not entitled to receive compensation for its custodial
services to each Master Portfolio so long as BGFA is entitled to receive fees
for providing investment advisory services to the Master Portfolio.
Prior to January 1, 1996 Wells Fargo Bank, N.A. ("WFB") served as
investment adviser to the Growth Stock Master Portfolio and the Short-
Intermediate Term Master Portfolio. WFB furnished each Master Portfolio with
investment guidance and policy direction in connection with daily portfolio
management. WFB was entitled to receive monthly fees at annual rates of 0.60%
and 0.45% of the average daily net assets of the Growth Stock and
Short-Intermediate Term Master Portfolios, respectively.
191
<PAGE> 164
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the six months ended were as follows:
<TABLE>
<CAPTION>
Short-Intermediate
Growth Stock Term
Aggregate Purchases Master Master
and Sales of: Portfolio Portfolio
- ------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 0 $3,777,539
Sales proceeds 0 5,462,609
OTHER SECURITIES:
Purchases at cost 145,860,591 2,981,031
Sales proceeds 107,367,316 1,703,418
</TABLE>
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the
Master Portfolios are as follows:
<TABLE>
<CAPTION>
For the
(Unaudited) Period from
For the May 26, 1994
Six Months For the (Commencement
Ended Year Ende d of Operations)
August 31, February 29, to February 28,
1996 1996 1995
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Growth Stock Master
Portfolio 54% 145% 93%
Short-Intermediate Term
Master Portfolio 53% 105% 96%
</TABLE>
The average commission rates paid for the Master Portfolios are as follows:
<TABLE>
<CAPTION>
(Unaudited)
For the
Six Months
Ended
August 31,
1996
- ----------------------------------------------------------------
<S> <C>
Growth Stock Master Portfolio $0.08
Short-Intermediate Term Master Portfolio --
</TABLE>
192
<PAGE> 165
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
5. ORGANIZATION OF THE MASTER PORTFOLIOS
At a special meeting held January 31, 1994, the shareholders of the Growth
Stock and Short-Intermediate Term Funds (the "Funds") of MasterWorks Funds Inc.
(formerly, Stagecoach Inc.) 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 Managed Series Investment Trust. As of the end
of day May 25, 1994, the Funds transferred their investments to the
corresponding Master Portfolios of Managed Series Investment Trust in exchange
for shares in the corresponding Master Portfolios. The investments transferred
had costs of $48,121,213 and $7,401,856 and unrealized depreciation of $899,189
and $285,454, respectively.
193
<PAGE> 166
NOTES
-----------
<PAGE> 167
MASTERWORKS(R) FUNDS INC.
SUPPLEMENT DATED OCTOBER 21, 1996 TO THE
PROSPECTUS DATED JUNE 28, 1996
ASSET ALLOCATION, BOND INDEX, GROWTH STOCK,
LIFEPATH 2000, LIFEPATH 2010,
LIFEPATH 2020, LIFEPATH 2030, LIFEPATH 2040,
MONEY MARKET, S&P 500 STOCK,
SHORT-INTERMEDIATE TERM AND U.S. TREASURY ALLOCATION FUNDS
The Prospectuses for the above-identified Funds are hereby supplemented by
adding the following:
CO-ADMINISTRATORS
The Company's Board of Directors has adopted a new administrative services
arrangement which supersedes the current arrangement with Stephens Inc.
("Stephens") as the sole administrator of the Funds. The new administrative
services arrangement will not increase the level of fees payable by each Fund.
Under the new arrangement, Barclays Global Investors, N.A. ("BGI") and Stephens
have agreed jointly to provide the Funds the general administrative services
currently provided by Stephens alone and to provide certain other services to
the Funds, such as managing and coordinating third-party service relationships.
Under the new arrangement, BGI and Stephens are entitled to receive for these
services a combined fee (expressed as a percentage of average daily net assets)
from each Fund as follows: 0.40% for the Asset Allocation, U.S. Treasury
Allocation and for each of the LifePath Funds; 0.18% for the Growth Stock and
Short-Intermediate Term Funds; 0.15% for the Bond Index and S&P 500 Stock Funds
and 0.10% for the Money Market Fund. This fee is an "all-in" or "semi-unified"
fee and BGI and Stephens, in consideration thereof, have agreed to bear all of
the Funds' ordinary operating expenses, excluding, generally, advisory fees and
costs related to securities transactions. BGI and Stephens may delegate certain
of their administrative duties to sub-administrators.
CUSTODIAN
The Company's Board of Directors has adopted new custody agreements
pursuant to which Investors Bank & Trust ("IBT") has replaced BGI as custodian
to each Fund and its corresponding Master Portfolio. IBT will not be entitled to
receive fees for its custodial services so long as it is entitled to receive a
separate fee from BGI for its services as Sub-Administrator of the Funds.
NOT PART OF THE SEMI-ANNUAL REPORT
<PAGE> 168
MASTERWORKS(R) FUNDS INC.
SUPPLEMENT DATED OCTOBER 21, 1996 TO THE
PROSPECTUS DATED JUNE 28, 1996
CHANGE OF NAME
The Funds' former Custodian and new Co-Administrator has changed its name
from BZW Barclays Global Investor, N.A. to "Barclays Global Investors, N.A." In
addition, the Investment Adviser to the corresponding Master Portfolios of the
Company's Funds has changed its name from BZW Barclays Global Fund Advisors to
"Barclays Global Fund Advisors."
The Summary of Expenses for each Fund is replaced with the following
information applicable to such Fund:
SUMMARY OF EXPENSES
ANNUAL FUND OPERATING EXPENSES
(AS A PERCENTAGE OF AVERAGE NET ASSETS)
<TABLE>
<CAPTION>
Asset Bond Growth LifePath LifePath LifePath
Allocation Index Stock 2000 2010 2020
Fund Fund Fund (1) Fund Fund Fund
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Management Fees 0.35% 0.08% 0.58%(2) 0.55% 0.55% 0.55%
Co-Administration Fees 0.40% 0.15% 0.18% 0.40% 0.40% 0.40%
TOTAL FUND OPERATING
EXPENSES 0.75% 0.23% 0.76%(3) 0.95% 0.95% 0.95%
</TABLE>
<TABLE>
<CAPTION>
Short- U.S.
LifePath LifePath Money S&P 500 Interm. Treasury
2030 2040 Market Stock Term Allocation
Fund Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Management Fees 0.55% 0.55% 0.35% 0.05% 0.45% 0.30%
Co-Administration
Fees 0.40% 0.40% 0.10% 0.15% 0.18% 0.40%
TOTAL FUND OPERATING
EXPENSES 0.95% 0.95% 0.45% 0.20% 0.63% 0.70%
</TABLE>
- ------------------------------------------------------------------------------
(1) The Management Fee and the Total Fund Operating Expenses for the Growth
Stock Fund appearing in the table reflect fee waivers and expense
reimbursements totalling 0.02%
(2) Before waivers and reimbursements the Management Fee would be 0.60% for
the Growth Stock Fund.
(3) Before waivers and reimbursements Total Fund Operating Expenses would be
0.78% for the Growth Stock Fund.
NOT PART OF THE SEMI-ANNUAL REPORT
<PAGE> 169
MASTERWORKS FUNDS:
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
- are NOT FDIC insured
- are NOT obligations of Barclays Global Investors
("BGI") or Wells Fargo Bank
- are NOT guaranteed by BGI or Wells Fargo Bank
- involve investment risk, including possible loss of
principal LOGO
The MasterWorks Money Market Fund seeks to maintain a
stable net asset value of $1.00 per share; however,
there can be no assurance that the Fund will meet this
objective. Yields will vary with market conditions.
</TABLE>
Barclays Global Fund Advisors ("BGFA") provides investment advisory services for
the MasterWorks Funds. Wells Fargo Bank provides shareholder services and
certain other services for the Funds. The Funds are sponsored and distributed by
Stephens Inc., Member NYSE/SIPC. BGFA 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 MasterWorks 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.
THE BOOKLET ALSO CONTAINS A PROSPECTUS SUPPLEMENT INSIDE THE BACK COVER AND THE
FACING PAGE THERETO.
<TABLE>
<S> <C>
MASTERWORKS FUNDS
c/o Wells Fargo Bank, N.A.
Transfer Agent BULK RATE
420 Montgomery U.S. POSTAGE
San Francisco, CA 94163 PAID
PERMIT NO. 1
HOUSTON TX
</TABLE>
DATED MATERIAL
PLEASE EXPEDITE
LOGO
