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[LOGO]
INSTITUTIONAL AND INDEX FUNDS
------------------------------
ANNUAL REPORT
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ASSET ALLOCATION FUND
BOND INDEX FUND
GROWTH STOCK FUND
MONEY MARKET FUND
S&P 500 STOCK FUND
SHORT-INTERMEDIATE TERM FUND
U.S. TREASURY ALLOCATION FUND
FEBRUARY 29, 1996
BEFORE MARCH 15, 1996,
THE MASTERWORKS(R) FUNDS
WERE KNOWN AS
STAGECOACH FUNDS(R)
ADVISED BY BZW BARCLAYS GLOBAL FUND ADVISORS
SPONSORED AND DISTRIBUTED BY STEPHENS INC.,
MEMBER NYSE/SIPC. NOT FDIC INSURED.
MASTERWORKS(R) 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................. 30
Statement of Assets and Liabilities........................ 32
Statement of Operations.................................... 34
Statements of Changes in Net Assets........................ 36
Financial Highlights....................................... 42
Notes to The Financial Statements.......................... 47
Independent Auditors' Report............................... 55
Proxy Voting Results....................................... 56
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES INVESTMENT
TRUST PORTFOLIO OF INVESTMENTS
Asset Allocation Master Series............................. 58
Bond Index Master Series................................... 73
Growth Stock Master Series................................. 78
S&P 500 Index Master Series................................ 85
Short-Intermediate Term Master Series...................... 99
U.S. Treasury Allocation Master Series..................... 101
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES
INVESTMENT TRUST
Statement of Assets and Liabilities........................ 102
Statement of Operations.................................... 104
Statements of Changes in Net Assets........................ 106
Master Investment Portfolio Notes to The Financial
Statements.............................................. 110
Independent Auditors' Report............................... 116
Managed Series Investment Trust Notes to The Financial
Statements.............................................. 117
Independent Auditors' Report............................... 121
</TABLE>
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TO OUR SHAREHOLDERS
What a wonderful year this has been for investors! The year ended February
29, 1996, was among the best one-year periods ever for the U.S. markets.
- The U.S. stock market led the way. As measured by the Standard and Poor's
500 Index, the U.S. Stock Market returned 34.70%.
- The U.S. bond market, as measured by the Lehman Brothers Aggregate Bond
Index, returned 12.24%.
- The U.S. money market, as measured by 91-day U.S. Treasury bills,
returned 5.53%.
What does this excellent across-the-board performance mean for the future?
The best answer is, to put it bluntly, nothing! Past performance, no matter how
dramatically positive, is no guarantee of future returns.
The best advice for the future is, as always, 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.
Remember: successful investors stay focused on their personal financial goals
and do not change their investment plan solely on the basis of short-term market
swings.
The MasterWorks Funds are conceived and managed to be simple and
cost-effective--to help you plan a personal portfolio designed to meet your
needs, and to give you the confidence to stick with your plan for the long term.
We hope you've been satisfied with your investment this year. We look forward to
a long and rewarding relationship with you as a shareholder.
MASTERWORKS FAMILY OF FUNDS MARCH 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. 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.
1
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ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 2/29/96 Total Return
- --------------------------------------------------------------------
<S> <C>
One-Year 23.54%
Life of Fund (7/2/93-2/29/96) 11.67%
</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.
FOR THE 12 MONTHS ENDED FEBRUARY 29, 1996, THE ASSET ALLOCATION FUND POSTED A
TOTAL RETURN OF 23.54%--A SIGNIFICANT INCREASE FROM THE 3.28% RETURN POSTED FOR
THE 12 MONTHS ENDED FEBRUARY 28, 1995. WHAT FACTORS CONTRIBUTED TO THIS CHANGE?
The positive performance this year resulted from the remarkable performance of
both the stock and bond markets. During the calendar year 1994, the returns of
both the U.S. stock and bond markets were disappointing; therefore, there was
little opportunity available for a U.S. based investment strategy to add value.
In contrast, during 1995 the U.S. stock market rallied to new highs--with the
total return for the S&P 500 the highest since 1958--and the bond market also
posted a very strong year. Because the Fund invested primarily in stocks and
bonds during the year, it was able to capture the very strong returns offered by
these markets.
THE FEDERAL RESERVE BOARD LOWERED THE FEDERAL FUNDS TARGET RATE BY 0.25% IN JULY
AND BY ANOTHER 0.25% IN DECEMBER. HOW DID THIS AFFECT THE FUND'S ALLOCATION AND
PERFORMANCE?
The cuts in the federal funds target rate last year signaled that the Fed
believed the threat of inflation had been reduced. This was a primary cause of
the strong gains in the bond market. The drop in interest rates also partly
helped to fuel the strong rally in stocks. The Fund started the year
overweighted in bonds, with an allocation of approximately 60%. The drop in bond
yields, which measure the total return offered to investors for holding bonds,
reduced the attractiveness of holding bonds relative to stocks or money market
investments. As a result, the Fund reduced its bond position during the year,
thus realizing gains from the bond market rally.
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ASSET ALLOCATION FUND (CONTINUED)
So far in 1996, the bond market has given back some of the gains of 1995. This
has caused bond yields to move back up and make bonds appear more attractive.
HOW DID THE PORTFOLIO'S ALLOCATION CHANGE FROM FEBRUARY '95 THROUGH FEBRUARY '96
AND WHY?
<TABLE>
<CAPTION>
Money
Market
Date of allocation: Stocks Bonds Instruments
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
February 28, 1995 40% 60% 0%
March 21, 1995 50% 40% 10%
May 25, 1995 50% 20% 30%
January 30, 1996 60% 20% 20%
February 29, 1996 60% 20% 20%
</TABLE>
On February 29, 1996, the Fund had approximately 60% of its assets allocated to
stocks, 20% to bonds, and 20% to money market instruments. The most consistent
trend in the allocation changes was the reduction of the Fund's bond allocation.
The Fund began with about 60% of its assets invested in bonds in February 1995.
The bond allocation was reduced to 40% in March and reduced again to 20% in May.
Most of the proceeds from the bond sales were initially invested in money market
instruments, reflecting the Asset Allocation model's view that the expected
return on stocks was not high enough to fully offset their risk. This move away
from bonds resulted from the rally in the bond market which caused bond yields
to drop. In February 1995, yields on long-term corporate bonds stood at 8.06%;
by June yields had fallen to 7.26%. Since June 1995, yields have fluctuated, but
they stood at about 7.20% again by the end of February.
In January 1996, the Fund also shifted 10% of its assets from money market
instruments to stocks.
WHEN THE ASSET ALLOCATION MODEL USED BY THE FUND SIGNALS THAT IT IS TIME TO BUY
STOCKS, THE FUND BUYS STOCKS COMPRISING THE S&P 500 USING, TO THE EXTENT
FEASIBLE, THE SAME WEIGHTING REPRESENTED BY THE S&P 500 INDEX. WHY?
The Fund seeks to add value and control risk by allocating its portfolio
investments across stocks, bonds and cash. Academic studies have shown that the
asset allocation decision determines most of the return--about 90%--on an
investment portfolio. By buying substantially all the stocks in the S&P 500,
rather than selecting individual issues, and, to the extent
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ASSET ALLOCATION FUND (CONTINUED)
feasible, buying such stocks in accordance with the weighting system reflected
by the S&P 500, the Fund is using an efficient and diversified method of
investing in the overall U.S. stock market.
S&P 500 stocks tend to be very liquid compared to other stocks in the market,
and the cost to trade S&P 500 stocks is comparably low. By keeping costs of
trading low, more of the Fund's capital is preserved.
The S&P 500 is designed to be a representative sample of the broad market for
U.S. stocks and is diversified across companies and industry sectors. By
investing in such a diversified portfolio, the Fund reduces the risk of
individual companies having an unduly high influence on the Fund's return while
guaranteeing participation in a broad cross-section of the equity market.
WHAT IS THE ADVANTAGE TO AN INVESTOR IN CHOOSING AN S&P 500 INDEX FUND?
When investors choose a fund that invests in the S&P 500, they benefit from a
broadly diversified portfolio of investments that represents over 70% of all
publicly traded U.S. stocks. Investors participate in the total value of 500
large companies spread across all major sectors of the economy, from
telecommunications and consumer goods (such as AT&T and Proctor & Gamble) to
energy and capital goods (Exxon and General Electric). In addition, the S&P 500
Index has outperformed 75% of all equity mutual funds over time. (The S&P 500
Index is an unmanaged index of stocks, is not directly available for investment,
and does not incur expenses. Mutual funds incur expenses, which reduce returns.)
4
<PAGE> 8
ASSET ALLOCATION FUND (CONTINUED)
WERE THERE ANY ADDITIONS OR DELETIONS TO THE S&P 500 INDEX IN 1995?
There were no surprising additions to or deletions from the Index during 1995,
although over 30 new stocks were added, and, consequently, over 30 were dropped.
The Standard & Poor's Index Committee does not simply list the 500 largest
companies in the United States. While assets and trading volumes are important,
the Committee tries to ensure that the Index reasonably represents the economy
as a whole. Companies that typically are deleted are ones that have been in the
Index a long time but have not grown sufficiently to contribute to an accurate
representation of the economy.
[CHART]
DOES THE FUND ANTICIPATE A CORRECTION IN THE SECURITIES MARKETS DURING 1996?
Our investment process does not attempt to make short-term predictions, but
tries to identify long-term value across the stock and bond markets. In other
words, the Fund does not attempt to determine exactly when or even how a market
correction will occur, but rather to recognize when markets are relatively over-
or under-valued. Using this technique, the Fund seeks to be correctly positioned
whenever a market correction occurs.
5
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ASSET ALLOCATION FUND (CONTINUED)
Under normal market conditions, the Fund expects to allocate its investments 60%
to stocks and 40% to bonds.
At the end of February 1996, the asset allocation model used to manage the
Fund's assets indicated that the stock market is relatively fairly valued with
respect to both bonds and cash, although both stocks and bonds are offering
lower returns than they have averaged over the past 10 years. The underweighting
in bonds and overweighting in money market instruments during February indicates
that yields on long-term bonds were not compensating investors adequately for
the interest rate risk in bonds.
HOW HAS THE APPOINTMENT OF BZW BARCLAYS GLOBAL FUND ADVISORS AS ADVISER TO THE
FUND AFFECTED THE MANAGEMENT OF THE FUND?
On January 1, 1996, BZW Global Fund Advisors ("BGFA") replaced Wells Fargo Bank
as adviser to the Fund. BGFA employs substantially the same personnel and
investment procedures previously used by Wells Fargo Nikko Investment Advisors
("WFNIA"), the Fund's former sub-adviser, and the appointment of BGFA as adviser
to the Fund is not expected to have a material effect on the day-to-day
portfolio management of the Fund. BGFA was formed by the reorganization of WFNIA
with a former affiliate when WFNIA was sold by Wells Fargo Bank to Barclays Bank
PLC.
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 Series that,
in turn, invests in individual securities. References to the Fund are to the
feeder fund or the Master Series, as the context requires. The Master Series is
advised by 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.
6
<PAGE> 10
GROWTH OF A $10,000 INVESTMENT
ASSET ALLOCATION FUND
[CHART]
CHANGE IN VALUE OF A $10,000 INVESTMENT IN ASSET ALLOCATION FUND COMPARED WITH
VARIOUS INDICES
The SEC requires mutual funds to provide a line graph comparing fund performance
with an appropriate broad-based index. The following chart shows the performance
of the Asset Allocation Fund since inception compared with the S&P 500 Index and
the Lipper Balanced Fund Index. The chart assumes a hypothetical $10,000 initial
investment in the Fund, reinvestment of dividends and distributions at net asset
value, and reflects all Fund expenses. Past performance is not predictive of
future results. The S&P 500 Index is an unmanaged index of stocks comprised of
500 industrial, financial, utility and transportation companies, "Standard &
Poor's(R)", "S&P(R)", "S&P 500(R)", "Standard & Poor's 500", and "500" are
trademarks of McGraw-Hill, Inc. The Lipper Balanced Fund Index is a net asset
value weighted index of the 30 largest balanced funds tracked by Lipper
Analytical Services; performance is net of all fees and expenses except for
sales charges. Investors should note that the Fund is a professionally managed
mutual fund while the S&P 500 Index is an unmanaged index of 500 widely held
common stocks, does not incur expenses, and is not available directly for
investment. If operating expenses such as the Fund's had been applied to the S&P
500 Index, this Index's comparative performance would have been lower.
7
<PAGE> 11
BOND INDEX FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 2/29/96 Total Return
- --------------------------------------------------------------------
<S> <C>
One-Year 12.17%
Life of Fund (7/2/93-2/29/96) 5.39%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gains distributions at net asset value.
Past performance is not predictive of future results. 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 12-MONTH PERIOD ENDED FEBRUARY 29,
1996?
The Fund posted a 12.17% total return, a significant improvement over the prior
twelve months 1.12% return.
WHAT FACTORS CONTRIBUTED TO THIS CHANGE?
After a year-long surge of rising interest rates during 1994, the bond market
reversed course and staged an impressive rally during 1995. The market,
apparently responding to expectations of moderate economic growth and low
inflation, drove long-term interest rates, as represented by the yield on the
30-year Treasury bond, from 7.46% in February 1995 to 5.95% at December 31,
1995. Early in 1996, however, the Fed disappointed market expectations of
substantial easing, and long-term interest rates began to rise again, with the
30-year Treasury yield finishing at 6.47% on February 29, 1996. As a result, the
Fund like the market performed strongly during the first part of the period, but
fell back between December and February.
THE FEDERAL RESERVE LOWERED THE FEDERAL FUNDS TARGET RATE BY 0.25% IN JULY AND
BY ANOTHER 0.25% IN DECEMBER. HOW DID THIS AFFECT THE BOND MARKET?
In early July, the market rallied somewhat after the rate cut of 0.25%. Later
that same month, however, the bond market reacted negatively to fears of
inflation. The December rate cut strengthened the bond market decisively and
brought the 30-year bond yield to its lowest level in two years. Early in 1996,
however, the Fed began to send market signals indicating that further cuts were
less likely. The bond market responded by declining.
8
<PAGE> 12
BOND INDEX FUND (CONTINUED)
DID THE RELATIONSHIP BETWEEN LONG-TERM AND SHORT-TERM INTEREST RATES CHANGE
DURING 1995?
The relationship between long and short-term interest rates changed
significantly during the year primarily due to reports of low inflation and
slowing growth. At the start of the year, long-term interest rates were more
than 2% higher than short-term rates. The higher yields for longer-term bonds
reflected investor concerns about higher inflation rates in the future. As these
concerns diminished throughout the first half of the year, longer-term rates
declined more than short-term rates to bring the interest rate difference down
to about 1%, where it remained for the remainder of 1995. The interest rate
difference expanded to about 1.5% during the first two months of 1996.
HOW DID THE PORTFOLIO'S ALLOCATION CHANGE DURING THE YEAR IN RESPONSE TO CHANGES
IN INTEREST RATES?
Because it seeks to replicate the returns of the Lehman Brothers
Government/Corporate Bond Index, the Fund does not change its allocations based
on market conditions.
HOW HAS THE FEDERAL BUDGET DEBATE AFFECTED CONFIDENCE IN U.S. GOVERNMENT
SECURITIES?
The federal budget debate generally has made investors in long-term government
bonds a bit more cautious. With the perception that these bonds have become
riskier, investors generally now require an additional yield of about 0.25% to
hold long bonds. When compared to the impact of inflation fears--which generally
add a 1% to 2% additional yield to long bonds--the 0.25% additional yield is
relatively small. We remain convinced that U.S. Government securities remain a
strong benchmark for measuring credit quality.
HOW HAS THE APPOINTMENT OF BZW BARCLAYS GLOBAL FUND ADVISORS AS ADVISER TO THE
FUND AFFECTED THE MANAGEMENT OF THE FUND?
On January 1, 1996, BZW Global Fund Advisors ("BGFA") replaced Wells Fargo Bank
as adviser to the Fund. BGFA employs substantially the same personnel and
investment procedures previously used by Wells Fargo Nikko Investment Advisors
("WFNIA"), the Fund's former sub-adviser, and the
9
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BOND INDEX FUND (CONTINUED)
appointment of BGFA as adviser to the Fund is not expected to have a material
effect on the day-to-day portfolio management of the Fund. BGFA was formed by
the reorganization of WFNIA with a former affiliate when WFNIA was sold by Wells
Fargo Bank to Barclays Bank PLC.
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 Series that,
in turn, invests in individual securities. References to the Fund are to the
feeder fund or the Master Series, as the context requires. The Master Series is
advised by 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.
10
<PAGE> 14
GROWTH OF A $10,000 INVESTMENT
BOND INDEX FUND
[CHART]
CHANGE IN VALUE OF A $10,000 INVESTMENT IN BOND INDEX FUND COMPARED WITH THE
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
The SEC requires mutual funds to provide a line graph comparing fund performance
with an appropriate broad-based index. The following chart shows the performance
of the Bond Index Fund since inception compared with the Lehman Brothers
Government/Corporate Bond Index. The chart assumes a hypothetical $10,000
initial investment in the Fund, reinvestment of dividends and distributions at
net asset value, and reflects all Fund expenses. Past performance is not
predictive of future results. 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.
11
<PAGE> 15
GROWTH STOCK FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 2/29/96 Total Return
- --------------------------------------------------------------------
<S> <C>
One-Year 42.10%
Life of Fund (7/2/93-2/29/96) 22.46%
</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 FACTORS CONTRIBUTED TO THE FUND'S STRONG PERFORMANCE?
The Fund outperformed the S&P 500 and the Russell 2000 Index last year. The
year's strong performance primarily resulted from the Fund's exposure to the
technology and healthcare sectors. In particular, the Fund benefited from its
investments in semiconductor companies which experienced explosive growth in
earnings due to supply shortages. However, by the fourth quarter, the technology
sector began to experience increasing volatility as supplies of semiconductors
increased causing investor concern about future earnings growth. During the
fourth quarter of 1995, the technology sector declined by approximately 6%. This
performance was somewhat offset by holdings of Intel, Komag and Nokia. During
the fourth quarter of 1995 we increased the Fund's investments in the
biotechnology and healthcare sectors since these sectors experienced strong
performance during 1995. The better performers in the healthcare sector were
Healthsouth, Genzyme, Amgen, and Boston Scientific.
WHAT IS THE FUND'S ECONOMIC OUTLOOK?
Looking forward, the economic outlook -- a slow growth economy and low
inflation -- will be favorable for growth stocks in 1996. In a slow growth
economic environment, companies that have consistent and high growth earnings
should perform well. With this backdrop we still favor the technology sector,
however we do expect future volatility and stock selection will be key to
performance, especially during the first half of 1996. We are focusing on the
networking and the storage areas of technology. Networking is still experiencing
tremendous growth as businesses focus on group communications and
Internet/Intranet spending. The rapid growth in multimedia applications,
advanced software, on-line
12
<PAGE> 16
GROWTH STOCK FUND (CONTINUED)
services and communications is increasing the need for digital storage.
Companies that we continue to favor include Adaptec, Cisco and Komag. In
addition, we are continuing to increase our exposure to healthcare and biotech.
We expect the healthcare and biotech sectors to benefit from approval and
development of new drugs and medical devices, many of which are approved or in
the final stage of clinical trials. We also expect the consolidation in the
healthcare industry will continue and to benefit the group as a whole.
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 Series that,
in turn, invests in individual securities. References to the Fund are to the
feeder fund or the Master Series, as the context requires. The Master Series is
advised by 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.
13
<PAGE> 17
GROWTH OF A $10,000 INVESTMENT
GROWTH STOCK FUND
[CHART]
CHANGE IN VALUE OF A $10,000 INVESTMENT IN STAGECOACH GROWTH STOCK FUND COMPARED
WITH THE S&P 500 INDEX
The SEC requires mutual funds to provide a line graph comparing fund performance
with an appropriate broad-based index. The following chart shows the performance
of the Growth Stock Fund since inception compared with the S&P 500 Index. The
chart assumes a hypothetical $10,000 initial investment in the Fund,
reinvestment of dividends and distributions at net asset value, and reflects all
Fund expenses. Past performance is not predictive of future results. The S&P 500
Index is an unmanaged index of 500 widely held common stocks, representing
industrial, financial, utility and transportation companies, listed on national
exchanges. Investors should note that the Fund is a professionally managed
mutual fund while the Index is unmanaged, does not incur expenses, and is not
available directly for investment. If operating expenses such as the Fund's had
been applied to the Index, the Index's performance would have been lower.
14
<PAGE> 18
MONEY MARKET FUND
<TABLE>
<CAPTION>
7-Day
PERFORMANCE AS OF 2/29/96 Yield
- --------------------------------------------------------------------
<S> <C>
4.97%
</TABLE>
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.
WHAT WAS THE FUND'S YIELD AS OF FEBRUARY 29, 1996?
For the 7 days ended February 29, 1996, the Fund's 7-day current yield was 4.97%
(Past performance is not predictive of future results). For the period, the
Fund's adviser and administrator voluntarily waived portions of their fees or
assumed responsibility for the other expenses, which has reduced operating
expenses for shareholders. Without these reductions, the Fund's returns would
have been lower.
Short-term interest rates fell dramatically over the year ended February 29,
1996 reacting to sluggish economic growth and moderate inflation. The Federal
Reserve lowered the federal funds target rate from 6.00% to 5.25% in incremental
.25% moves in July 1995, December 1995, and January 1996. The yield of the 3
month treasury bill was 5.91% on March 1, 1995; as of the end of February, 1996,
that same yield was at 5.02%. Strong demand caused the money market portion of
the yield curve to invert as market participants universally agreed that the
Federal Reserve was in an aggressive easing cycle.
WHAT OTHER FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In anticipation of the previously mentioned Fed easings, the average days to
maturity of the Fund was extended to 70 days. Since then it has varied between
60 and 75 days. This extension allowed the Fund to maintain a higher yield for a
longer period of time as money market yields continued to fall.
WHAT TYPES OF INVESTMENTS ARE IN THE PORTFOLIO OF THE MONEY MARKET FUND?
As of February 29, 1996, 61% of the Fund's portfolio was invested in commercial
paper of large, well-known companies. The bulk of the paper matured within 30 to
45 days. All corporate securities held in the Fund's portfolio maintain short
term Standard & Poor's/Moody's ratings of A1/P1 or A1+/P1, the highest possible.
Furthermore, the securities purchased by the Fund are in compliance with
guidelines approved by Wells Fargo's Credit Policy Committee.
15
<PAGE> 19
MONEY MARKET FUND (CONTINUED)
WHAT IS THE FUND'S OUTLOOK FOR THE SHORT TERM?
The Fund's outlook for 1996 is for lower interest rates. In the short term, we
expect a slight increase in economic growth, but it will not be sustained. The
Fund will continue to maintain a weighted average days to maturity of 60 days
with the purchase of quality, highly liquid securities.
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.
16
<PAGE> 20
S&P 500 STOCK FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 2/29/96 Total Return
- --------------------------------------------------------------------
<S> <C>
One-Year 34.35%
Life of Fund (7/2/93-2/29/96) 17.15%
</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 ECONOMIC FACTORS CONTRIBUTED TO THE FUNDS' STRONG PERFORMANCE?
Several factors contributed to the Funds' performance. First, corporate profits
generally rose during the past twelve months and technology stocks performed
especially well. Some of the technology stocks in the S&P 500 Stock Fund which
did well during the past twelve months were Intel (up 48%), Cisco Systems (up
181%), and Microsoft (up 57%). Overall, the technology sector gained an average
of 47% during the last 12 months, fueling much of the S&P 500 gain. Also,
long-term rates, as measured by 30-year U.S. Treasury bonds, rose sharply in
1994, then declined to 5.95% by the end of 1995, or 1.50% lower than the
previous year. Reduced bond yields made equities a relatively more attractive
investment, drawing money into the equity market.
WITH THE STOCK MARKET AT OR NEAR HISTORIC HIGHS AS MEASURED BY THE S&P 500,
WOULD IT BE WISE FOR INVESTORS TO TAKE THEIR PROFITS NOW?
The decision whether or not to "take profits" depends on the goals of the
individual investor. We do believe that long-term investors will continue to
benefit from the potentially superior returns from common stocks, which have
averaged approximately 10% annually since 1926. Stocks are volatile, however,
and no one should expect 1996 to match 1995's returns. As always, investors
should consider their personal financial objectives when making investment
decisions and an investor's performance expectations should take into account
both long-term and short-term performance.
17
<PAGE> 21
S&P 500 STOCK FUND (CONTINUED)
WHAT IS THE ADVANTAGE TO AN INVESTOR IN CHOOSING AN S&P 500 INDEX FUND?
When investors choose a fund that invests in the S&P 500, they benefit from a
broadly diversified portfolio that represents over 70% of all publicly traded
U.S. stocks. Investors participate in the total value of 500 large companies
spread across all major sectors of the economy, from telecommunications and
consumer goods (such as AT&T and Proctor & Gamble) to energy and capital goods
(Exxon and General Electric). In addition, the S&P 500 Index has outperformed
75% of all equity mutual funds over time. (The S&P 500 Index is an unmanaged
index of stocks, is not directly available for investment, and does not incur
expenses. Mutual funds incur expenses, which reduce returns.)
[CHART]
WERE THERE ANY ADDITIONS OR DELETIONS TO THE S&P 500 INDEX IN 1995?
There were no surprising additions or deletions from the Index during 1995,
although over 30 new stocks were added, and, consequently, over 30 were dropped.
The Standard & Poor's Index Committee does not simply list the 500 largest
companies in the United States. While assets and trading volumes are important,
the Committee tries to ensure that the Index reasonably represents the economy
as a whole. Companies that typically are deleted are ones that have been in the
Index a long time but have not grown sufficiently to contribute to an accurate
representation of the economy.
18
<PAGE> 22
S&P 500 STOCK FUND (CONTINUED)
HOW HAS THE APPOINTMENT OF BZW BARCLAYS GLOBAL FUND ADVISORS AS ADVISER TO THE
FUND, AFFECTED THE MANAGEMENT OF THE FUND?
On January 1, 1996, BZW Global Fund Advisors ("BGFA") replaced Wells Fargo Bank
as adviser to the Fund. BGFA employs substantially the same personnel and
investment procedures previously used by Wells Fargo Nikko Investment Advisors
("WFNIA"), the Fund's former adviser, and the appointment of BGFA as adviser to
the Fund is not expected to have a material effect on the day-to-day portfolio
management of the Fund. BGFA was formed by the reorganization of WFNIA with a
former affiliate when WFNIA was sold by Wells Fargo Bank to Barclays Bank PLC.
This Fund is organized as "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 Series that, in
turn, invests in individual securities. References to the Fund are to the feeder
fund or the Master Series, as the context requires. The Master Series is advised
by BZW 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. and have been licensed for use by
Wells Fargo. The Fund is not sponsored, endorsed, sold or promoted by Standard &
Poor's and Standard & Poor's makes no representation or warranty, express or
implied, regarding the advisability of investing in the Fund. Investors should
note that the Fund is a professionally managed mutual fund while the S&P 500
Index is unmanaged index, does not incur expenses, and is not available directly
for investment. If operating expenses such as the Fund's had been applied to the
Index, its performance would have been lower.
19
<PAGE> 23
GROWTH OF A $10,000 INVESTMENT
S&P 500 STOCK FUND
[CHART]
CHANGE IN VALUE OF A $10,000 INVESTMENT IN S&P 500 STOCK FUND COMPARED WITH THE
S&P 500 INDEX
The SEC requires mutual funds to provide a line graph comparing fund performance
with an appropriate broad-based index. The following chart shows the performance
of the S&P 500 Stock Fund since inception compared with the S&P 500 Index. The
chart assumes a hypothetical $10,000 initial investment in the Fund,
reinvestment of dividends and distributions at net asset value, and reflects all
Fund expenses. Past performance is not predictive of future results. The S&P 500
Index is an unmanaged index of 500 widely held common stocks, representing
industrial, financial, utility and transportation companies, listed on national
exchanges. Investors should note that the Fund is a professionally managed
mutual fund while the Index is unmanaged, does not incur expenses and is not
available directly for investment. If operating expenses such as the Fund's had
been applied to the Index, the Index's performance would have been lower.
20
<PAGE> 24
SHORT-INTERMEDIATE TERM FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 2/29/96 Total Return
- --------------------------------------------------------------------
<S> <C>
One-Year 10.07%
Life of Fund (7/2/93-2/29/96) 4.57%
</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 FUND'S PERFORMANCE?
The Short-Intermediate Term Fund's total return for the fiscal year ended
February 29, 1996 was 10.07%. (Past performance is not predictive of future
results). The Fund's return was consistent with that of the Lehman Brothers
Intermediate Government/Corporate Bond Index (the Fund's benchmark objective)
which returned 10.75% for the same period. The Fund's performance was achieved
by maintaining an average maturity that has been relatively neutral to the
benchmark and by investing in a mix of government, corporate, and
mortgage-backed securities as allowed by the prospectus.
HOW DID THE ECONOMY EFFECT THE BOND MARKET?
A sluggish economy and low inflation fueled a strong rally in the bond market in
1995. Interest rates declined by over 2% for intermediate securities, which had
a positive impact on the Fund's total return because the resale value of U.S.
Government securities generally rises as rates drop. The Fund was well
positioned to capture profits available due to price appreciation by selling
securities. Those profits, as well as the interest earnings from the securities,
resulted in a handsome total return for the year. In contrast, rising interest
rates in 1994 had a negative impact on bond prices.
The first quarter of 1996 saw a dramatic shift in market sentiment as investors
went from expecting consecutive Federal Reserve interest rate easings to seeing
signs of stronger growth. On January 31 the Federal Reserve eased monetary
policy amid statistics pointing toward slower growth. The Fed Funds rate was
lowered from 5.50% to 5.25% and the
21
<PAGE> 25
SHORT-INTERMEDIATE TERM FUND (CONTINUED)
discount rate was lowered from 5.25% to 5.00%. Sentiment began to change in
early February as yields troughed and began to trend higher due to a lack of a
budget agreement and signs of stronger economic growth. Much of this economic
growth is believed to be a temporary bounce back from weather related and
government shutdowns and is not necessarily indicative of the economy's
underlying strength. The result has been a significant rise in rates across the
yield curve. Through February of 1996, 2-year treasury notes increased by 22
basis points and 30 year bonds increased by 53 basis points to yield 5.35% and
6.47% respectively.
HOW HAS THE FEDERAL BUDGET DEBATE AFFECTED THE SHORT-INTERMEDIATE TERM FUND?
The federal budget debate generally has made investors in long-term government
bonds a bit more cautious. With the perception that these bonds have become more
risky, investors now require an additional yield of about 0.25% to hold long
bonds. However, when compared to the impact of inflation fears -- which
generally add a 1% to 2% additional yield to long bonds -- the 0.25% additional
yield is relatively small. Shorter-term obligations, which are the focus of this
Fund, have been much less affected by this perception. We remain convinced that
U.S. Government securities are the benchmark for credit quality. As always, we
will continue to monitor all developments in Washington D.C. that might affect
the Fund.
22
<PAGE> 26
SHORT-INTERMEDIATE TERM FUND (CONTINUED)
WHAT WILL THE FUND'S STRATEGY BE FOR 1996?
We anticipate having between 25% and 30% of the Fund's portfolio invested in
mortgage-backed securities and the balance in Treasury instruments with
remaining maturities of up to four years.
We believe the apparent strength in the economy is due to temporary factors and
thus is not sustainable. Our outlook for the second half of the year is for the
economy to revert back to slower growth and continued moderate inflation. Within
this environment the Fund will maintain an average portfolio duration of 10% to
15% longer than the Lehman Intermediate Government/Corporate Bond Index. Our
focus will be on intermediate maturities which historically outperform in
periods when the yield curve is steepening. We will continue to hold a core
position in corporate securities as credit quality is expected to remain stable
in this slow growth, low inflation environment. Mortgage pass-through securities
will also continue to provide yield enhancement.
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 Series that,
in turn, invests in individual securities. References to the Fund are to the
feeder fund or the Master Series, as the context requires. The Master Series is
advised by BGFA.
The Lehman Brothers Intermediate Government/Corporate Bond Index includes all
publicly-issued U.S. Treasury, agency and government-guaranteed corporate debt,
and corporate debt, with a remaining maturity between 1 and 9.99 years that is
fixed-rate, non-convertible, investment grade, dollar-denominated, domestic, and
registered with the Securities and Exchange Commission, with a par amount
outstanding of at least $100 million. Investors should note that the Fund is a
professionally managed mutual fund while the Lehman Brothers Intermediate
Government/Corporate Bond Index is unmanaged, does not incur expenses, and is
not available directly for investment. If operating expenses such as the Fund's
had been applied to the Lehman Brothers Intermediate Government/Corporate Bond
Index, its performance would have been lower.
23
<PAGE> 27
GROWTH OF A $10,000 INVESTMENT
SHORT-INTERMEDIATE TERM FUND
[CHART]
CHANGE IN VALUE OF A $10,000 INVESTMENT IN SHORT-INTERMEDIATE TERM FUND COMPARED
WITH THE LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
The SEC requires mutual funds to provide a line graph comparing fund performance
with an appropriate broad-based index. The following chart shows the performance
of the Stagecoach Short-Intermediate Term Fund since inception compared with the
Lehman Brothers Intermediate Government/Corporate Bond Index. The chart assumes
a hypothetical $10,000 initial investment in the Fund, reinvestment of dividends
and distributions at net asset value, and reflects all Fund expenses. Past
performance is not predictive of future results. The Lehman Brothers
Intermediate Government/Corporate Bond Index includes all publicly-issued U.S.
Treasury, agency and government-guaranteed corporate debt, and corporate debt,
with a remaining maturity of between 1 and 9.99 years that is fixed-rate,
non-convertible, investment grade, dollar-denominated, domestic and SEC-
registered, with a par amount outstanding of at least $100 million. Investors
should note that the Fund is a professionally managed mutual fund while the
Lehman Brothers Intermediate 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 the Lehman Brothers
Intermediate Government/Corporate Bond Index, its performance would have been
lower.
24
<PAGE> 28
U.S. TREASURY ALLOCATION FUND
<TABLE>
<CAPTION>
Average Annual
PERFORMANCE AS OF 2/29/96 Total Return
- --------------------------------------------------------------------
<S> <C>
One-Year 9.89%
Life of Fund (7/2/93-2/29/96) 4.59%
</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.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE 12-MONTH PERIOD ENDED FEBRUARY 29,
1996?
The Fund posted a 9.89% total return, a significant improvement over the prior
12 months return of - 0.76%.
WHAT FACTORS CONTRIBUTED TO THIS CHANGE?
The decline in interest rates during 1995 had a positive impact on the Fund's
total return during the last twelve months because the value of U.S. Government
securities generally rises as interest rates drop. Price appreciation of the
Fund's investments and interest received thereon resulted in a handsome total
return for the year. In contrast, rising interest rates in 1994 had a negative
impact on bond prices and the Fund's performance.
THE FEDERAL RESERVE LOWERED THE FEDERAL FUNDS TARGET RATE BY 0.25% IN JULY AND
BY ANOTHER 0.25% IN DECEMBER. HOW DID THIS AFFECT THE BOND MARKET?
In early July, the market rallied somewhat after the rate cut of 0.25%. However,
later that same month, the bond market reacted negatively to fears of inflation.
The December rate cut strengthened the bond market decisively and brought the
30-year bond yield to its lowest level in two years. In February 1996, however,
the Fed began to send the market signals that further cuts were less likely. The
bond market declined in response to these signals.
DID THE RELATIONSHIP BETWEEN LONG-TERM AND SHORT-TERM INTEREST RATES CHANGE
DURING 1995?
The relationship between long- and short-term interest rates changed
significantly during the year primarily due to reports of low inflation and
slowing growth. At the start of the year, long-term interest rates were more
than 2% higher than short-term rates. The higher yields for longer-term
25
<PAGE> 29
U.S. TREASURY ALLOCATION FUND (CONTINUED)
bonds reflected investor concerns about higher inflation rates in the future. As
these concerns diminished throughout the first half of the year, longer-term
rates declined more than short-term rates to bring the interest rate difference
down to about 1% where it remained for the remainder of 1995.
HOW DID THE PORTFOLIO'S ALLOCATION CHANGE DURING THE YEAR IN RESPONSE TO CHANGES
IN INTEREST RATES?
The Fund invests primarily in three broad categories of assets, each with
different maturity characteristics: U.S. Treasury bills, U.S. Treasury notes,
and U.S. Treasury bonds. At the start of 1995, the Fund was primarily invested
in intermediate-term notes since this sector provided the most attractive yields
when adjusted for risk. As of February 29, 1996, the asset mix of the Fund's
portfolio was approximately 20% long-term bonds, 0% intermediate-term notes and
80% cash. The recent history of the asset mix in the Fund's portfolio is as
follows:
<TABLE>
<CAPTION>
Date of allocation: Bonds Notes Bills
- -----------------------------------------------------------------------
<S> <C> <C> <C>
February 28, 1995 0% 100% 0%
March 2, 1995 0% 80% 20%
March 7, 1995 0% 100% 0%
March 15, 1995 0% 80% 20%
May 9, 1995 20% 20% 60%
May 11, 1995 30% 0% 70%
August 16, 1995 20% 20% 60%
August 22, 1995 10% 40% 50%
August 30, 1995 20% 20% 60%
September 9, 1995 30% 0% 70%
October 11, 1995 20% 0% 80%
February 29, 1996 20% 0% 80%
</TABLE>
HOW HAS THE FEDERAL BUDGET DEBATE AFFECTED CONFIDENCE IN U.S. GOVERNMENT
SECURITIES?
The federal budget debate generally has made investors in long-term government
bonds a bit more cautious. With the perception that these bonds have become
riskier, investors generally now require an additional yield of about 0.25% to
hold long bonds. When compared to the impact of inflation fears, which generally
add a 1% to 2% additional yield to long bonds, the 0.25% additional yield is
relatively small. We remain convinced that U.S. Government securities remain a
strong benchmark for credit
26
<PAGE> 30
U.S. TREASURY ALLOCATION FUND (CONTINUED)
quality. We will continue to monitor developments in Washington D.C. that might
affect the Fund.
WILL THE FUND ALTER ITS INVESTMENT STRATEGY IN 1996 IF RATES SHOULD FALL
FARTHER?
The U.S. Government Allocation Fund is designed to take advantage of the
relative yield differences between U.S. Treasury-issued long-term bonds,
intermediate-term notes and money market securities in relation to their risks.
Our objective is to position the Fund to make the optimal allocation between
these securities and to take advantage of the potential returns while
controlling the overall level of risk. The Fund's strategy does not depend on
expectations of interest rate increases or decreases in any given year.
HOW HAS THE APPOINTMENT OF BZW BARCLAYS GLOBAL FUND ADVISORS AS ADVISER TO THE
FUND AFFECTED THE MANAGEMENT OF THE FUND?
On January 1, 1996, BZW Global Fund Advisors ("BGFA") replaced Wells Fargo Bank
as adviser to the Fund. BGFA employs substantially the same personnel and
investment procedures previously used by Wells Fargo Nikko Investment Advisors
("WFNIA"), the Fund's former sub-adviser, and the appointment of BGFA as adviser
to the Fund is not expected to have a material effect on the day-to-day
portfolio management of the Fund. BGFA was formed by the reorganization of WFNIA
with a former affiliate when WFNIA was sold by Wells Fargo Bank to Barclays Bank
PLC.
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 Series that,
in turn, invests in individual securities. References to the Fund are to the
feeder fund or the Master Series, as the context requires. The Master Series is
advised by BGFA.
27
<PAGE> 31
GROWTH OF A $10,000 INVESTMENT
U.S. TREASURY ALLOCATION FUND
[CHART]
CHANGE IN VALUE OF A $10,000 INVESTMENT IN U.S. TREASURY ALLOCATION FUND
COMPARED WITH THE LEHMAN BROTHERS GOVERNMENT BOND INDEX
The SEC requires mutual funds to provide a line graph comparing fund performance
with an appropriate broad-based index. The following chart shows the performance
of the U.S. Treasury Allocation Fund since inception compared with the Lehman
Brothers Government Bond Index. The chart assumes a hypothetical $10,000 initial
investment in the Fund, reinvestment of dividends and distributions at net asset
value, and reflects all Fund expenses. Past performance is not predictive of
future results. The Lehman Brothers Government Bond Index includes all
publicly-issued U.S. Treasury, agency and government-guaranteed corporate debt,
with a final maturity of at least one year and a par amount outstanding of at
least $100 million. Investors should note that the Fund is a professionally
managed mutual fund while the Lehman Brothers Government 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 the
Lehman Brothers Government Bond Index, its performance would have been lower.
28
<PAGE> 32
(THIS PAGE INTENTIONALLY LEFT BLANK)
29
<PAGE> 33
MONEY MARKET FUND--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
COMMERCIAL PAPER-61.13%
$ 5,000,000 American Express Credit
Corp 5.60*% 05/21/96 $ 4,943,075
2,500,000 ANZ Delaware Inc 5.05* 05/09/96 2,475,802
5,000,000 ANZ Delaware Inc 5.05* 05/13/96 4,948,799
5,000,000 Asset Securitization
Cooperative Corp 5.07* 05/24/96 4,940,850
5,000,000 Associates Corp of North
America 5.60* 04/11/96 4,968,111
5,000,000 Bayerische Landesbank
Girozentrale 5.35* 04/12/96 4,968,792
5,000,000 Ciesco LP 5.43* 03/18/96 4,987,179
7,500,000 Corporate Receivables
Corp++ 5.57* 03/14/96 7,484,915
7,500,000 Daimler-Benz North America
Corp 5.50* 03/28/96 7,469,063
5,000,000 Greenwich Funding Corp++ 5.10* 05/20/96 4,943,333
5,000,000 Morgan (J P) & Co Inc 5.57* 03/18/96 4,986,849
7,500,000 National Australia Funding
Inc 5.57* 03/15/96 7,483,754
7,500,000 New Center Asset Funding 5.60* 03/15/96 7,483,667
3,000,000 Societe Generale 5.05* 07/22/96 2,939,821
2,500,000 Student Loan Corp 5.30* 04/26/96 2,479,389
6,000,000 Swedish Export Credit Corp 5.60* 03/01/96 6,000,000
5,000,000 Transamerica Finance Corp 5.05* 05/22/96 4,942,486
7,500,000 U.S. Borax & Chemical
Corp++ 5.30* 04/25/96 7,439,271
------------
TOTAL COMMERCIAL PAPER $ 95,885,156
U.S. TREASURY BILLS-21.82%
$ 25,000,000 U.S. Treasury Bills 5.01*% 05/30/96 $ 24,690,500
10,000,000 U.S. Treasury Bills 5.19* 02/06/97 9,544,119
------------
TOTAL U.S. TREASURY BILLS $ 34,234,619
VARIABLE AND FLOATING RATE NOTES-17.50%
$ 5,000,000 Beta Finance Corp++ 5.43% 01/27/97 $ 4,998,000
5,455,000 Chemical Banking Corp 6.08 08/19/96 5,460,271
5,000,000 Comerica Inc 5.19 08/12/96 4,997,748
5,000,000 FCC National Bank 5.37 10/31/96 4,997,589
7,000,000 PNC Bank Corp 5.23 02/20/97 6,996,605
------------
TOTAL VARIABLE AND
FLOATING RATE NOTES $ 27,450,213
</TABLE>
30
<PAGE> 34
MONEY MARKET FUND--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS--0.04%
$ 57,000 Goldman Sachs Pooled
Repurchase
Agreement - 102%
Collateralized by U.S.
Government Securities 5.40% 03/01/96 $ 67,000
TOTAL INVESTMENT IN SECURITIES
(Cost $157,626,988)** (Note 1) 100.49% $157,626,988
Other Assets and Liabilities,
Net (0.49) (775,487)
------- ------------
TOTAL NET ASSETS 100.00% $156,851,501
======= ============
</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.
31
MONEY MARKET FUND--FEBRUARY 29, 1996
<PAGE> 35
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 1996
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- ---------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Series, at market
value (Note 1) $398,093,777 $58,162,984
Cash 0 0
RECEIVABLES:
Dividends and interest 1,213,952 310,450
Due from Administrator (Note 2) 0 12,433
Prepaid expenses 0 0
TOTAL ASSETS 399,307,729 58,485,867
LIABILITIES
PAYABLES:
Distribution to shareholders 1,086,943 304,249
Due to sponsor and distributor (Note 2) 97,040 7,140
Due to WFB (Note 2) 193,540 0
Other 0 84,677
TOTAL LIABILITIES 1,377,523 396,066
TOTAL NET ASSETS $397,930,206 $58,089,801
NET ASSETS CONSIST OF:
Paid-in capital $340,964,977 $58,598,295
Undistributed (overdistributed) net
investment income 14,719 0
Undistributed net realized gain (loss) on
investments (1,302,848) (735,567)
Net unrealized appreciation on
investments 58,253,358 227,073
TOTAL NET ASSETS $397,930,206 $58,089,801
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
Net Assets $397,930,206 $58,089,801
Shares outstanding 33,634,283 6,016,195
Net asset value and offering price per
share $11.83 $9.66
</TABLE>
- ------------------------------------------------------------------------------
*The Money Market Fund does not have a corresponding Master Series. The cost of
securities held at February 29, 1996 is the same as the market value.
The accompanying notes are an integral part of these financial statements.
32
<PAGE> 36
<TABLE>
<CAPTION>
U.S.
Growth Money S&P Short-Intermediate Treasury
Stock Market 500 Stock Term Allocation
Fund Fund* Fund Fund Fund
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$178,700,551 $157,626,988 $879,481,445 $13,751,026 $51,655,089
0 1,827 0 0 0
0 81,375 3,473,672 68,841 215,602
0 0 0 17,993 0
9,834 0 58,444 0 0
178,710,385 157,710,190 883,013,561 13,837,860 51,870,691
48,552 621,848 0 68,632 199,094
20,396 19,354 103,748 1,659 13,567
12,929 169,707 34,083 0 25,893
44,687 47,780 179,309 63,887 0
126,564 858,689 317,140 134,178 238,554
$178,583,821 $156,851,501 $882,696,421 $13,703,682 $51,632,137
$143,094,373 $156,910,538 $689,029,229 $13,774,676 $55,774,005
(262,328) 0 3,269,116 0 0
43,181 (59,037) 7,227,493 (165,179) (4,387,771)
35,708,595 0 183,170,583 94,185 245,903
$178,583,821 $156,851,501 $882,696,421 $13,703,682 $51,632,137
$178,583,821 $156,851,501 $882,696,421 $13,703,682 $51,632,137
12,083,993 156,910,067 62,950,542 1,458,470 5,521,901
$14.78 $1.00 $14.02 $9.40 $9.35
- -------------------------------------------------------------------------------------
</TABLE>
33
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 29, 1996
<PAGE> 37
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 29, 1996
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- ---------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER SERIES
Dividends $ 4,347,806 $ 0
Interest 10,936,314 2,514,727
Expenses (1,222,677) (36,486)
NET INVESTMENT INCOME ALLOCATED FROM 14,061,443 2,478,241
MASTER SERIES
EXPENSES (NOTE 2)
Administration fees 349,680 18,131
Custody fees 0 0
Advisory fees 0 0
Transfer agency fees 349,680 10,879
Shareholder servicing fees 699,360 25,383
Legal and audit 0 22,944
Registration fees 0 38,182
Directors' fees 0 6,515
Shareholder reports 0 29,181
Other 0 4,773
TOTAL EXPENSES 1,398,720 155,988
Less:
Waived fees and reimbursed expenses 0 (108,510)
Net expenses 1,398,720 47,478
NET INVESTMENT INCOME (LOSS) 12,662,723 2,430,763
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS ALLOCATED FROM MASTER SERIES
Net realized gain (loss) on sale of
investments 253,536 (403,203)
Net change in unrealized appreciation of
investments 58,636,223 1,073,727
NET GAIN (LOSS) ON INVESTMENTS 58,889,759 670,524
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $71,552,482 $3,101,287
</TABLE>
- ------------------------------------------------------------------------------
*The Money Market Fund does not have a corresponding Master Series. All interest
is derived from securities held by the Fund.
The accompanying notes are an integral part of these financial statements.
34
<PAGE> 38
<TABLE>
<CAPTION>
Growth Money S&P Short-Intermediate U.S. Treasury
Stock Market 500 Stock Term Allocation
Fund Fund* Fund Fund Fund
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 253,459 $ 0 $ 14,898,913 $ 0 $ 0
648,253 9,057,170 3,185,268 954,445 3,676,055
(830,786) 0 (342,601) (68,150) (178,519)
70,926 9,057,170 17,741,580 886,295 3,497,536
68,886 76,777 331,823 6,381 59,609
0 76,777 0 0 0
0 524,786 0 0 0
41,332 76,777 199,094 3,829 59,609
137,772 0 464,553 12,762 119,218
20,880 0 83,229 21,081 0
46,904 0 125,851 24,833 0
6,515 0 6,515 6,515 0
28,249 0 43,172 24,698 0
6,158 0 77,054 3,780 0
356,696 755,117 1,331,291 103,879 238,436
(116,452) (64,122) (360,922) (89,885) 0
240,244 690,995 970,369 13,994 238,436
(169,318) 8,366,175 16,771,211 872,301 3,259,100
14,846,540 (47,092) 18,059,645 215,150 1,744,910
30,335,247 0 154,527,817 87,124 691,484
45,181,787 (47,092) 172,587,462 302,274 2,436,394
$45,012,469 $8,319,083 $189,358,673 $1,174,575 $5,695,494
- -------------------------------------------------------------------------------------
</TABLE>
35
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 29, 1996
<PAGE> 39
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Fund
----------------------------------------
For the For the
Year Ended Year Ended
February 29, 1996 February 28, 1995*
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 12,662,723 $ 11,202,230
Net realized gain (loss) on sale of
investments 253,536 1,672,885
Net change in unrealized
appreciation (depreciation) of
investments 58,636,223 (2,125,246)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 71,552,482 10,749,869
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (12,662,723) (11,202,230)
From net realized gain (loss) on
sales of investments 0 (3,444,708)
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 133,240,369 143,045,844
Net asset value of shares issued in
reinvestment of dividends and
distributions 12,759,213 14,136,175
Cost of shares redeemed (100,655,571) (76,728,484)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS 45,344,011 80,453,535
INCREASE (DECREASE) IN NET ASSETS 104,233,770 76,556,466
NET ASSETS:
Beginning net assets 293,696,436 217,139,970
ENDING NET ASSETS $397,930,206 $293,696,436
SHARES ISSUED AND REDEEMED:
Shares sold 12,022,471 14,750,825
Shares issued in reinvestment of
dividends and distributions 1,169,213 1,469,673
Shares redeemed (9,142,254) (7,938,475)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 4,049,430 8,282,023
- ---------------------------------------------------------------------------------
</TABLE>
*See Note 4.
The accompanying notes are an integral part of these financial statements.
36
<PAGE> 40
<TABLE>
<CAPTION>
Bond Index Fund Growth Stock Fund
- ---------------------------------------- ----------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 29, 1996 February 28, 1995* February 29, 1996 February 28, 1995*
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 2,430,763 $ 1,135,769 $ (169,318) $ (9,573)
(403,203) (333,833) 14,846,540 2,009,745
1,073,727 (460,942) 30,335,247 2,123,031
3,101,287 340,994 45,012,469 4,123,203
(2,430,763) (1,135,769) (46,399) 0
0 0 (16,939,083) (588,577)
51,730,402 10,448,187 105,184,276 85,963,624
2,229,063 1,103,959 16,985,470 588,598
(15,133,678) (7,062,640) (68,537,649) (38,605,130)
38,825,787 4,489,506 53,632,097 47,947,092
39,496,311 3,694,731 81,659,084 51,481,718
18,593,490 14,898,759 96,924,737 45,443,019
$58,089,801 $18,593,490 $178,583,821 $96,924,737
5,320,928 1,134,314 7,370,776 7,877,261
230,227 120,035 1,212,039 52,460
(1,555,049) (759,992) (4,828,460) (3,544,614)
3,996,106 494,357 3,754,355 4,385,107
- -------------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 41
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Money Market Fund
----------------------------------------
For the For the
Year Ended Year Ended
February 29, 1996 February 28, 1995
- ----------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 8,366,175 $ 5,207,399
Net realized gain (loss) on sale of
investments (47,092) (11,946)
Net change in unrealized appreciation
(depreciation) of investments 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 8,319,083 5,195,453
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (8,366,175) (5,207,399)
From net realized gain (loss) on
sales of investments 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 153,053,870 111,097,839
Net asset value of shares issued in
reinvestment of dividends and
distributions 8,172,476 4,680,322
Cost of shares redeemed (151,596,313) (50,146,714)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS 9,630,033 65,631,447
INCREASE (DECREASE) IN NET ASSETS 9,582,941 65,619,501
NET ASSETS:
Beginning net assets 147,268,560 81,649,059
ENDING NET ASSETS $156,851,501 $147,268,560
SHARES ISSUED AND REDEEMED:
Shares sold 153,050,549 111,097,845
Shares issued in reinvestment of
dividends and distributions 8,172,596 4,680,322
Shares redeemed (151,592,992) (50,146,714)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 9,630,153 65,631,453
- ----------------------------------------------------------------------------------
</TABLE>
*See Note 4.
The accompanying notes are an integral part of these financial statements.
38
<PAGE> 42
<TABLE>
<CAPTION>
S&P 500 Stock Fund Short-Intermediate Term Fund
- ---------------------------------------- -----------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 29, 1996 February 28, 1995* February 29, 1996 February 28, 1995*
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 16,771,211 $ 9,014,318 $ 872,301 $ 523,752
18,059,645 2,385,953 215,150 (329,022)
154,527,817 24,560,466 87,124 131,359
189,358,673 35,960,737 1,174,575 326,089
(15,389,132) (7,631,754) (872,302) (523,752)
(10,433,042) (3,012,750) 0 0
381,254,861 387,669,466 7,554,298 15,279,142
25,822,033 10,644,217 881,404 471,151
(136,693,122) (97,245,061) (9,332,501) (6,512,467)
270,383,772 301,068,622 (896,799) 9,237,826
433,920,271 326,384,855 (594,526) 9,040,163
448,776,150 122,391,295 14,298,208 5,258,045
$882,696,421 $448,776,150 $13,703,682 $14,298,208
30,268,583 38,170,417 807,468 1,672,577
2,002,063 1,047,250 93,988 51,238
(10,747,465) (9,443,527) (1,004,841) (703,052)
21,523,181 29,774,140 (103,385) 1,020,763
- --------------------------------------------------------------------------------------
</TABLE>
39
<PAGE> 43
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U. S. Treasury Allocation Fund
-----------------------------------------
For the For the
Year Ended Year Ended
February 29, 1996 February 28, 1995*
- ----------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 3,259,100 $ 3,634,313
Net realized gain (loss) on sale of
investments 1,744,910 (5,616,006)
Net change in unrealized
appreciation (depreciation) of
investments 691,484 1,560,503
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 5,695,494 (421,190)
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (3,259,100) (3,634,313)
From net realized gain (loss) on
sales of investments 0 0
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold 21,593,120 37,807,075
Net asset value of shares issued in
reinvestment of dividends and
distributions 3,351,900 3,616,562
Cost of shares redeemed (32,601,086) (38,732,671)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS (7,656,066) 2,690,966
INCREASE (DECREASE) IN NET ASSETS (5,219,672) (1,364,537)
NET ASSETS:
Beginning net assets 56,851,809 58,216,346
ENDING NET ASSETS $51,632,137 $56,851,809
SHARES ISSUED AND REDEEMED:
Shares sold 2,313,882 4,190,630
Shares issued in reinvestment of
dividends and distributions 361,582 401,066
Shares redeemed (3,477,285) (4,287,468)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING (801,821) 304,228
- ----------------------------------------------------------------------------------
</TABLE>
*See Note 4.
The accompanying notes are an integral part of these financial statements.
40
<PAGE> 44
(THIS PAGE INTENTIONALLY LEFT BLANK)
41
<PAGE> 45
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Asset Allocation Fund
-----------------------------------------
From
July 2,
Year Ended Year Ended 1993 to
February February February
29, 28, 28,
1996 1995** 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $9.93 $10.19 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.40 0.44 0.23
Net realized and unrealized gain
(loss) on investments 1.90 (0.14) 0.28
TOTAL FROM INVESTMENT OPERATIONS 2.30 0.30 0.51
LESS DISTRIBUTIONS:
Dividends from net investment income (0.40) (0.44) (0.23)
Distributions from net realized gains 0.00 (0.12) (0.09)
TOTAL DISTRIBUTIONS (0.40) (0.56) (0.32)
NET ASSET VALUE, END OF PERIOD $11.83 $9.93 $10.19
TOTAL RETURN (NOT ANNUALIZED) 23.54% 3.28% 5.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $397,930 $293,696 $217,140
Number of shares outstanding, end of
period (000) 33,634 29,585 21,303
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net
assets(1) 0.75% 0.75% 0.79%
Ratio of net investment income to
average net assets(2) 3.62% 4.62% 3.47%
Portfolio turnover -- 24%* 33%
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
(1) Ratio of expenses to average net
assets prior to waived fees and
reimbursed expenses 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 4.61% 3.46%
- --------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from February 28, 1994 to May 25, 1994. As of May
26, 1994 the Funds invest all of their assets in the corresponding Master
Series, hence no securities-related activity.
** See Note 4.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the Master Series.
The accompanying notes are an integral part of these financial statements.
42
<PAGE> 46
<TABLE>
<CAPTION>
Bond Index Fund Growth Stock Fund
- ----------------------------------------- ------------------------------------------
From From
July 2, July 2,
Year Ended Year Ended 1993 to Year Ended Year Ended 1993 to
February February February February February February
29, 28, 28, 29, 28, 28,
1996 1995** 1994 1996 1995** 1994
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$9.20 $9.76 $10.00 $11.64 $11.52 $10.00
0.64 0.64 0.38 (0.01) 0.00 (0.01)
0.46 (0.56) (0.24) 4.82 0.19 1.86
1.10 0.08 0.14 4.81 0.19 1.85
(0.64) (0.64) (0.38) (0.01) 0.00 0.00
0.00 0.00 0.00 (1.66) (0.07) (0.33)
(0.64) (0.64) (0.38) (1.67) (0.07) (0.33)
$9.66 $9.20 $9.76 $14.78 $11.64 $11.52
12.17% 1.12% 1.38% 42.10% 1.70% 18.65%
$58,090 $18,593 $14,899 $178,584 $96,925 $45,443
6,016 2,020 1,526 12,084 8,330 3,945
0.23% 0.23% 0.31% 0.76% 0.76% 0.80%
6.67% 7.08% 5.88% (0.12)% (0.02)% (0.18)%
-- 14%* 20% -- 27%* 104%
- ---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
0.53% 0.71% 0.32% 0.86% 0.87% 0.80%
6.37% 6.61% 5.87% (0.22)% (0.12)% (0.18)%
- ---------------------------------------------------------------------------------------
</TABLE>
43
FINANCIAL HIGHLIGHTS
<PAGE> 47
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Money Market Fund
------------------------------------------
From
July 2,
Year Ended Year Ended 1993 to
February February February
29, 28, 28,
1996 1995 1994
- ---------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05 0.04 0.02
Net realized and unrealized gain
(loss) on investments 0.00 0.00 0.00
TOTAL FROM INVESTMENT OPERATIONS 0.05 0.04 0.02
LESS DISTRIBUTIONS:
Dividends from net investment income (0.05) (0.04) (0.02)
Distributions from net realized gains 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.05) (0.04) (0.02)
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00
TOTAL RETURN (NOT ANNUALIZED) 5.60% 4.40% 1.81%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $156,852 $147,269 $81,649
Number of shares outstanding, end of
period (000) 156,910 147,280 81,648
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net
assets(1) 0.45% 0.45% 0.49%
Ratio of net investment income to
average net assets(2) 5.44% 4.44% 2.77%
Portfolio Turnover N/A N/A N/A
- ---------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
(1) Ratio of expenses to average net
assets prior to waived fees and
reimbursed expenses 0.49% 0.57% 0.50%
(2) Ratio of net investment income to
average net assets prior to waived
fees and reimbursed expenses 5.40% 4.32% 2.76%
- ---------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from February 28, 1994 to May 25, 1994. As of May
26, 1994 the Funds invest all of their assets in the corresponding Master
Series, hence no securities-related activity.
** See Note 4.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the Master Series.
The accompanying notes are an integral part of these financial statements.
44
<PAGE> 48
<TABLE>
<CAPTION>
S&P 500 Stock Fund Short-Intermediate Term Fund
- ----------------------------------------- ------------------------------------------
From From
July 2, July 2,
Year Ended Year Ended 1993 to Year Ended Year Ended 1993 to
February February February February February February
29, 28, 28, 29, 28, 28,
1996 1995** 1994 1996 1995** 1994
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$10.83 $10.50 $10.00 $9.15 $9.72 $10.00
0.31 0.27 0.16 0.65 0.64 0.42
3.36 0.41 0.47 0.25 (0.57) (0.28)
3.67 0.68 0.63 0.90 0.07 0.14
(0.30) (0.27) (0.12) (0.65) (0.64) (0.42)
(0.18) (0.08) (0.01) 0.00 0.00 0.00
(0.48) (0.35) (0.13) (0.65) (0.64) (0.42)
$14.02 $10.83 $10.50 $9.40 $9.15 $9.72
34.35% 6.71% 6.30% 10.07% 0.89% 1.42%
$882,696 $448,776 $122,391 $13,704 $14,298 $5,258
62,951 41,427 11,653 1,458 1,562 541
0.20% 0.21% 0.27% 0.65% 0.65% 0.65%
2.52% 2.93% 2.46% 6.82% 7.07% 6.02%
-- 8%* 4% -- 29%* 277%
- ---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
0.26% 0.25% 0.28% 1.44% 1.41% 0.65%
2.46% 2.88% 2.45% 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
July 2,
Year Ended Year Ended 1993 to
February February February
29, 28, 28,
1996 1995** 1994
- ----------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $8.99 $9.67 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.51 0.59 0.39
Net realized and unrealized gain
(loss) on investments 0.36 (0.68) (0.05)
TOTAL FROM INVESTMENT OPERATIONS 0.87 (0.09) 0.34
LESS DISTRIBUTIONS:
Dividends from net investment income (0.51) (0.59) (0.39)
Distributions from net realized gains 0.00 0.00 (0.20)
Distributions in excess of net
realized gains 0.00 0.00 (0.08)
TOTAL DISTRIBUTIONS (0.51) (0.59) (0.67)
NET ASSET VALUE, END OF PERIOD $9.35 $8.99 $9.67
TOTAL RETURN (NOT ANNUALIZED) 9.89% (0.76)% 3.33%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $51,632 $56,852 $58,216
Number of shares outstanding, end of
period (000) 5,522 6,324 6,019
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net
assets(1) 0.70% 0.70% 0.78%
Ratio of net investment income to
average net assets(2) 5.47% 6.52% 5.79%
Portfolio turnover -- 43%* 210%
- ----------------------------------------------------------------------------------
(1) Ratio of expenses to average net
assets prior to waived fees and
reimbursed expenses 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 6.50% 5.77%
- ----------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from February 28, 1994 to May 25, 1994. As of May
26, 1994 the Funds invest all of their assets in the corresponding Master
Series, hence no securities-related activity.
** See Note 4.
+ Annualized for periods of less than one year.
The accompanying notes are an integral part of these financial statements.
46
<PAGE> 50
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
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 Fund, the Bond Index Fund, the
Growth Stock Fund, the Money Market Fund, the S&P 500 Stock Fund, the
Short-Intermediate Term Fund and the U.S. Treasury Allocation Fund (each, a
"Fund", collectively, the "Funds"). The following significant accounting
policies are consistently followed by the Company in the preparation of its
financial statements, and such policies are in conformity with generally
accepted accounting principles for investment companies.
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 Fund, Money Market Fund
and the Short-Intermediate Term Fund invests all of its assets in a separate
series (each a "Master Series") of Master Investment Portfolio. Each of the
Growth Stock Fund and the Short-Intermediate Term Fund invests all of its assets
in a separate series (also a "Master Series") of Managed Series Investment
Trust. Each Master Series has the same investment objective as the Fund bearing
the corresponding name. The value of each Fund's investment in its corresponding
Master Series reflects that Fund's interest in the net assets of that Master
Series (99.99%, 38.31%, 99.99%, 94.53%, 99.99% and 99.99% for the Asset
Allocation Fund, the Bond Index Fund, the Growth Stock Fund, the S&P 500 Stock
Fund, the Short-Intermediate Term Fund, and the U.S. Treasury Allocation Fund,
respectively, as of February 29, 1996). The Money Market Fund does not invest in
a corresponding Master Series. Investments of each Master
47
<PAGE> 51
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
Series 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. 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 Master
Series' Board of Trustees.
SECURITY TRANSACTIONS AND REVENUE RECOGNITION
Securities transactions are accounted for by each Master Series on the date
the securities are purchased or sold (trade date). Revenue is recognized by each
Master Series as follows: dividend income is recognized on the ex-dividend date,
and interest income is recognized on a daily accrual basis. Realized gains and
losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized as required by the Internal Revenue
Code of 1986 (the "Code"). All net investment income and realized and unrealized
capital gains and losses of each Master Series are allocated 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 the corresponding Master Series. The
financial statements of each Master Series, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with each Fund's financial statements.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
("repurchase agreements") are treated as collateralized financing transactions
and are recorded at their contracted resale amounts. These repurchase
agreements, if any, are detailed in each Master Series' Portfolio of
Investments. The adviser to the Master Series pools the Master Series'
48
<PAGE> 52
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
cash and invests in repurchase agreements entered into by the Master Series. The
Master Series' prospectus requires that the cash investments be fully
collateralized based on values that are marked to market daily. The collateral
is held by an agent bank under a tri-party agreement. It is the adviser's
responsibility to value collateral daily and to obtain additional collateral as
necessary to maintain the value at equal to or greater than 102% of market
value. The repurchase agreements held in the Master Series as of February 29,
1996 are collateralized by U.S. government securities. The repurchase agreements
were entered into on February 29, 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 December 31, 1995:
<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.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Asset
Allocation Fund, the Bond Index Fund, the Short-Intermediate Term Fund and the
U.S. Treasury Allocation Fund are declared and distributed
49
<PAGE> 53
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
monthly. Dividends to shareholders from net investment income of the Growth
Stock Fund and the S&P 500 Stock Fund are declared and distributed quarterly.
Dividends to shareholders from net investment income of the Money Market Fund
are declared daily and distributed monthly. Distributions to shareholders from
any net realized capital gains are declared and distributed annually, generally
in December.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the Funds' administrator and distributor, has
paid all the expenses in connection with the organization and initial
registration of the various Funds.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Company has entered into separate contracts on behalf of the Funds with
Wells Fargo Bank, N.A. ("WFB"), whereby WFB has agreed to provide transfer and
dividend disbursing agency services and shareholder services to the Funds. WFB
is compensated for transfer and dividend disbursing agency services based on an
annual rate of 0.03% of average daily net assets for all of the Funds except the
Asset Allocation Fund, the Money Market Fund and the U.S. Treasury Allocation
Fund which are charged at an annual rate of 0.10% of the average daily net
assets of the Funds. WFB is compensated for shareholder servicing based on an
annual rate of 0.20% for the Asset Allocation Fund and the U.S. Treasury
Allocation Fund; 0.10% for the Growth Stock Fund and the Short-Intermediate Term
Fund and 0.07% for the Bond Index Fund and the S&P 500 Stock Fund, based on the
average daily net assets of each of these Funds.
Prior to January 1, 1996, WFB served as investment adviser to the Money
Market Fund. WFB furnished to the Fund investment guidance and policy direction
in connection with daily portfolio management of the Fund. The advisory contract
with the Fund provided for advisory fees, which were accrued daily and paid
monthly, at an annual rate of 0.35% of the average daily net assets of the Fund.
Effective January 1, 1996, BZW Barclays Global Fund Advisors ("BGFA")
replaced WFB as investment adviser to the Money Market Fund. BGFA was created by
the reorganization of Wells Fargo Nikko Investment
50
<PAGE> 54
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
Advisors, a former affiliate of WFB, with and into an affiliate of Wells Fargo
Institutional Trust Company, N.A. ("WFITC"). Pursuant to an Investment Advisory
Contract with the Money Market Fund, BGFA provides investment guidance and
policy direction in connection with the management of the Money Market Fund's
assets. BGFA is entitled to receive from WFB a monthly fee at an annual rate of
0.35% of the average daily net assets of the Money Market Fund as compensation
for its advisory services. BGFA is an indirect subsidiary of Barclays Bank PLC.
Effective January 1, 1996, 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.
Effective January 1, 1996, WFITC, due to a change in control of its
outstanding voting securities, became a wholly owned subsidiary of BZW Barclays
Global Investors Holdings Inc. (formerly, The Nikko Building U.S.A., Inc.) and
was renamed BZW Barclays Global Investors, N.A. ("BGI"). BGI replaced WFB as the
Money Market Fund's custodian. BGFA is a subsidiary of BGI. 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 Fund, the U.S. Treasury
Allocation Fund and the Money Market Fund. Under the agreements, Stephens has
agreed to provide supervisory, administrative and distribution services for
these Funds. As compensation for these services, the Asset Allocation Fund and
the U.S. Treasury Allocation Fund pay a monthly fee at an annual rate of 0.10%
of each Fund's average daily net assets. The Money Market Fund pays a monthly
fee at an annual rate of 0.05% of the Fund's average daily net assets. In
addition, Stephens is responsible for paying all other expenses incurred by
these Funds other than the fees payable by the Fund pursuant to the Company's
various service contracts.
Under the administration agreement, Stephens has agreed to assume operating
expenses of the Asset Allocation Fund, the U.S. Treasury Allocation Fund and the
Money Market Fund and a pro rata share of the operating expenses of the Asset
Allocation Master Series and the U.S.
51
<PAGE> 55
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
Treasury Allocation Master Series, except for extraordinary expenses and those
fees and expenses payable pursuant to the various service contracts described
above which will be borne by the aforementioned funds and those expenses
specifically assumed by Wells Fargo under its contracts with each of the
aforementioned funds. The Company has also entered into administration and
distribution agreements with Stephens on behalf of the Bond Index Fund, the
Growth Stock Fund, the S&P 500 Stock Fund and the Short-Intermediate Term Fund.
Under the agreements, Stephens has agreed to provide supervisory, administrative
and distribution services to the Funds. For these services, each Fund pays
Stephens a monthly fee at an annual rate of 0.05% of the Funds' average daily
net assets.
WAIVED FEES AND REIMBURSED EXPENSES
The following amounts of fees and expenses have been waived and/or
reimbursed for the year ended February 29, 1996:
<TABLE>
<CAPTION>
Reimbursed
Waived Fees Expenses
Fund by WFB by Stephens Total
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Bond Index $ 36,262 $72,248 $108,510
Growth Stock 116,452 0 116,452
Money Market 64,122 0 64,122
S&P 500 Stock 360,922 0 360,922
Short-Intermediate Term 16,591 73,294 89,885
</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 February 29, 1996, Stephens owned less than 1% of the shares
outstanding for each Fund.
3. CAPITAL SHARES TRANSACTIONS
As of February 29, 1996, there were 10 billion shares of $.001 par value
capital stock authorized by the Company. As of February 29, 1996, each Fund
except the Money Market Fund, the U.S. Treasury Allocation Fund and the
Short-Intermediate Term Fund was authorized to issue 100 million shares of $.001
per value capital stock. The Money Market Fund was authorized to issue 3 billion
shares. The U.S. Treasury Allocation Fund and Short-Intermediate Term Fund were
each authorized to issue
52
<PAGE> 56
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
300 million shares. Transactions in capital shares, for each Fund, are disclosed
in detail in the Statements of Changes in Net Assets.
4. ORGANIZATION OF THE FUNDS
Certain Funds are successors to certain assets of collective investment
funds managed by WFB. A portion of the assets of the collective investment funds
were transferred to the Funds on behalf of the Retirement Plans wishing to
liquidate their collective investment fund holdings and acquire corresponding
investments in the Funds. Such transfers occurred at or shortly after the
commencement of operations of the Funds. In addition, two "special" meetings
were held in 1994 which affected the organization of the Funds. At a special
meeting held February 14, 1994, the shareholders voted to change the name of the
Company from "WellsFunds Inc." to "Stagecoach Inc." At a special meeting held
January 31, 1994, the shareholders of the Funds approved the reorganization of
certain funds into a "master-feeder" structure, whereby the existing Funds
invest all of their assets in a corresponding series of the Master Investment
Portfolio or the Managed Series Investment Trust (both open-end registered
investment companies). On the conversion date the funds transferred their
investments to the corresponding Master Series in exchange for shares in the
corresponding Master Series. Certain existing funds then became "feeder" funds.
This reorganization was effected in May 1994. The reorganization had no impact
to shareholders of the existing funds except that certain advisory fees were
contractually reduced.
Effective on March 15, 1996, the corporate name of Stagecoach Inc. was
changed to "MasterWorks Funds Inc."
5. ORANGE COUNTY CALIFORNIA DEBT SECURITIES
During the year the Money Market Fund held obligations issued by Orange
County, California. Orange County filed for protection under Chapter 9 of the
Federal Bankruptcy Code on December 6, 1994, and defaulted on such securities on
July 10, 1995. The bankruptcy court trustee approved an extension of the
obligation's maturity to June 30, 1996, and modification of certain other terms,
including increasing the interest rate and providing for some portion of
interest to accrue until the maturity date rather than being due and payable
monthly. Concurrent with the default by Orange County, the Company entered into
a Credit
53
<PAGE> 57
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
Enhancement Agreement (the "Agreement") with WFB, pursuant to which the Fund was
named as a beneficiary of an irrevocable letter of credit issued by Bank of
America National Trust and Savings Association ("Bank of America"). The
Agreement provided support for a portion of the Orange County obligations such
that Bank of America would make certain payments to the Fund under defined
circumstances.
During the period from September 19, 1995 through October 17, 1995, the
Money Market Fund sold all of its Orange County obligations. Under the terms of
the Agreement, the sale of such obligations did not result in any payments from
Bank of America to the Money Market Fund.
54
<PAGE> 58
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS
MASTERWORKS FUNDS, INC.:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments of the Money Market Fund, of MasterWorks
Funds, Inc. (formerly Stagecoach Inc.) (comprising, respectively, Asset
Allocation Fund, Bond Index Fund, Growth Stock Fund, Money Market Fund, S&P 500
Stock Fund, Short-Intermediate Term Fund and U.S. Treasury Allocation Fund) as
of February 29, 1996, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for the periods indicated
herein. These financial statements and financial highlights are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 29, 1996, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the aforementioned funds of MasterWorks Funds, Inc. as of February 29,
1996, the results of their operations, the changes in their net assets and their
financial highlights for the periods indicated herein in conformity with
generally accepted accounting principles.
LOGO
San Francisco, California
April 12, 1996
55
<PAGE> 59
PROXY VOTING RESULTS
PROPOSAL 1.
To authorize the Company to vote each Fund's interests in the corresponding
Master Portfolio of Master Investment Portfolio ("MIP") to approve a new
Investment Advisory Contract between MIP on behalf of such Master Portfolio, and
BZW Barclays Global Fund Advisors, as adviser.
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
203,038,067 1,673 261,528
</TABLE>
<TABLE>
<CAPTION>
BOND INDEX FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
2,419,437 1,181 9,858
</TABLE>
<TABLE>
<CAPTION>
S&P 500 STOCK FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
34,716,580 562 105,964
</TABLE>
<TABLE>
<CAPTION>
U.S. TREASURY ALLOCATION FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
3,804,174 303 78,668
</TABLE>
PROPOSAL 2A.
To authorize the Company to vote each Fund's interests in the corresponding
Master Portfolio of Managed Series Investment Trust ("MSIT") to approve a new
Investment Advisory Contract between MSIT, on behalf of such Master Portfolio,
and BZW Barclays Global Fund Advisors, as advisers.
<TABLE>
<CAPTION>
GROWTH STOCK FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
5,290,501 2,906 103,698
</TABLE>
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE TERM FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
665,136 454 0
</TABLE>
56
<PAGE> 60
PROXY VOTING RESULTS (CONTINUED)
PROPOSAL 2B.
To authorize the Company to vote each Fund's interests in the corresponding
Master Portfolio of Managed Series Investment Trust ("MSIT") to approve a new
Sub-Advisory Contract between MSIT, on behalf of such Master Portfolio, BZW
Barclays Global Fund Advisors, as advisers, and Wells Fargo Bank, N.A. as
sub-adviser.
<TABLE>
<CAPTION>
GROWTH STOCK FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
5,290,631 2,785 103,698
</TABLE>
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE TERM FUND
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
665,136 454 0
</TABLE>
PROPOSAL 3A.
To consider and approve a new Investment Advisory Contract between the Company
on behalf of the Money Market Fund and BZW Barclays Global Fund Advisors, as
adviser.
<TABLE>
<CAPTION>
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
92,350,316 46,059 26,256
</TABLE>
PROPOSAL 3B.
To consider and approve a new Sub-Advisory Contract for the Company on behalf of
the Money Market Fund with BZW Barclays Global Fund Advisors, as adviser, and
Wells Fargo Bank, as sub-adviser.
<TABLE>
<CAPTION>
For Against Abstain
- ----------------------------------------------------
<S> <C> <C>
92,349,538 46,925 26,168
</TABLE>
57
<PAGE> 61
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS--59.43%
39,044 Abbott Laboratories $ 1,262,531 $ 1,630,087
6,426 Advanced Micro Devices+ 162,154 124,504
5,637 Aetna Life & Casualty Co 342,533 426,298
5,790 Ahmanson (H F) & Co 114,314 131,723
5,468 Air Products & Chemicals Inc 251,031 291,171
24,476 Airtouch Communications+ 616,934 758,756
1,316 Alberto-Culver Co Class B 33,170 46,554
12,485 Albertson's Inc 362,529 461,945
11,115 Alcan Aluminium Ltd 271,054 339,008
5,587 Alco Standard Corp 171,397 264,684
2,174 Alexander & Alexander Services 46,322 40,491
3,192 Allergan Inc 83,643 118,902
13,948 Allied Signal Inc 543,960 775,858
22,138 Allstate Corp 666,593 949,167
9,352 Alltel Corp 284,378 310,954
8,718 Aluminum Co of America 353,651 494,747
4,067 ALZA Corp+ 96,596 135,228
5,887 Amdahl Corp+ 42,855 49,304
4,583 Amerada Hess Corp 233,019 236,025
8,969 American Brands Inc 325,546 406,968
9,172 American Electric Power Inc 337,676 393,250
23,887 American Express Corp 769,069 1,098,802
10,078 American General Corp 326,758 366,587
3,696 American Greetings Corp Class A 109,862 101,178
15,467 American Home Products Corp 1,098,434 1,523,500
23,441 American International Group Inc 1,629,155 2,264,987
7,272 American Stores Co 174,897 211,797
27,370 Ameritech Corp 1,219,718 1,577,196
13,101 Amgen Inc+ 395,399 782,785
24,558 Amoco Corp 1,477,316 1,706,781
10,691 AMP Inc 371,115 455,704
3,796 AMR Corp+ 251,017 333,099
1,957 Andrew Corp+ 63,272 101,764
12,593 Anheuser-Busch Inc 673,510 848,453
6,043 Apple Computer Inc 188,989 166,183
8,774 Applied Materials Inc+ 264,522 313,671
26,158 Archer-Daniels-Midland Co 417,066 503,542
5,123 Armco Inc+ 32,424 28,817
1,768 Armstrong World Industries Inc 81,074 103,649
2,131 ASARCO Inc 52,315 63,664
</TABLE>
58
<PAGE> 62
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
3,182 Ashland Inc $ 109,092 $ 116,541
78,601 AT & T Corp 4,516,804 5,000,940
7,960 Atlantic Richfield Corp 885,609 871,620
2,353 Autodesk Inc 68,840 83,237
14,231 Automatic Data Processing 419,023 551,451
2,638 Avery Dennison Corp 89,338 142,122
3,323 Avon Products Inc 197,906 267,086
7,006 Baker Hughes Inc 161,370 184,783
1,439 Ball Corp 42,962 43,170
2,319 Bally Entertainment Corp+ 20,790 35,945
7,303 Baltimore Gas & Electric Co 185,424 207,223
22,468 Banc One Corp 704,470 800,405
5,541 Bank of Boston Corp 169,113 269,431
9,904 Bank of New York Inc 365,665 513,770
18,240 BankAmerica Corp 897,691 1,299,600
3,861 Bankers Trust N Y Corp 269,300 249,517
2,828 Bard (C R) Inc 76,090 101,455
4,794 Barnett Banks Inc 222,919 299,625
17,435 Barrick Gold Corp 473,991 527,409
2,828 Bausch & Lomb Inc 120,647 109,939
13,702 Baxter International Inc 412,191 626,867
9,139 Bay Networks Inc 436,946 371,272
3,222 Becton Dickinson & Co 157,227 264,204
21,566 Bell Atlantic Corp 1,287,319 1,426,052
49,038 BellSouth Corp 1,549,381 1,955,390
2,625 Bemis Co Inc 64,497 80,391
2,609 Beneficial Corp 105,340 135,668
5,480 Bethlehem Steel Corp+ 92,137 75,350
4,820 Beverly Enterprises+ 58,356 58,443
5,635 Biomet Inc+ 72,098 107,065
4,274 Black & Decker Corp 105,588 144,248
5,178 Block (H & R) Inc 207,212 183,172
7,787 Boatmen's Bancshares Inc 267,268 305,640
16,987 Boeing Co 837,256 1,378,070
2,363 Boise Cascade Corp 68,264 83,296
8,579 Boston Scientific Corp+ 252,875 411,792
1,452 Briggs & Stratton Corp 54,279 62,255
25,032 Bristol-Myers Squibb Co 1,579,571 2,130,849
809 Brown Group Inc 24,595 10,011
3,387 Brown-Forman Corp Class B 100,522 132,516
</TABLE>
59
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER SERIES--FEBRUARY
29, 1996
<PAGE> 63
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
10,529 Browning-Ferris Industries Inc $ 303,448 $ 311,922
4,747 Brunswick Corp 88,159 108,588
6,997 Burlington Northern Santa Fe 385,315 559,760
6,287 Burlington Resources Inc 262,755 228,690
3,575 Cabletron Systems Inc+ 203,094 268,572
1,948 Caliber System Inc 92,709 82,303
12,333 Campbell Soup Co 557,574 761,563
7,625 Carolina Power & Light Co 237,705 278,313
3,491 Case Corp 156,143 185,459
9,728 Caterpillar Inc 489,493 650,560
1,398 Centex Corp 48,164 40,193
9,522 Central & South West Corp 268,975 264,236
3,273 Ceridian Corp+ 103,911 140,739
4,713 Champion International Corp 174,909 188,520
4,999 Charming Shoppes Inc 45,557 20,933
8,810 Chase Manhattan Corp 362,178 656,345
12,385 Chemical Banking Corp Class A 560,593 887,076
32,167 Chevron Corp 1,526,558 1,789,289
18,890 Chrysler Corp 929,949 1,064,924
4,331 Chubb Corp 373,105 420,648
3,703 CIGNA Corp 289,609 438,806
1,654 Cincinnati Milacron Inc 38,201 47,553
7,700 Cinergy Corp 192,685 230,038
4,784 Circuit City Stores Inc 123,436 141,726
27,056 Cisco Systems Inc+ 574,431 1,285,160
23,895 Citicorp 1,205,519 1,863,810
2,537 Clorox Co 150,646 215,011
5,176 Coastal Corp 152,900 190,218
61,925 Coca-Cola Co 3,210,152 5,000,444
7,229 Colgate-Palmolive Co 440,341 565,669
2,444 Columbia Gas System Inc+ 71,543 106,925
21,946 Columbia HCA Healthcare Corp 959,538 1,201,544
11,875 Comcast Corp Class A 234,216 233,047
5,659 Comerica Inc 213,281 219,994
2,008 Community Psychiatric Centers+ 25,168 18,574
13,164 Compaq Computer Corp+ 417,861 666,428
11,923 Computer Associates International Inc 413,655 819,706
2,725 Computer Sciences Corp+ 123,559 198,925
11,755 ConAgra Inc 367,589 495,179
3,891 Conrail Inc 229,455 280,638
</TABLE>
60
<PAGE> 64
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
11,645 Consolidated Edison Co $ 374,014 $ 379,918
2,177 Consolidated Freightways 47,209 53,337
4,608 Consolidated Natural Gas Co 209,756 198,144
5,305 Cooper Industries Inc 237,154 204,906
4,146 Cooper Tire & Rubber Co 104,817 105,205
1,898 Coors (Adolph) Co Class B 36,402 36,774
6,881 CoreStates Financial Corp 205,198 295,883
11,342 Corning Inc 355,966 368,615
7,158 CPC International Inc 377,660 495,692
1,531 Crane Co 47,098 62,006
1,288 Cray Research Inc+ 29,443 36,547
6,269 Crown Cork & Seal Co+ 260,908 295,427
10,413 CSX Corp 417,647 467,283
8,785 CUC International Inc+ 249,780 284,414
2,018 Cummins Engine Co Inc 86,833 85,008
4,549 Cyprus Amax Minerals 123,072 117,705
4,974 Dana Corp 137,887 150,464
7,803 Darden Restaurants Inc+ 84,954 95,587
1,783 Data General Corp+ 18,178 30,088
3,560 Dayton-Hudson Corp 253,155 264,775
8,360 Dean Witter Discover & Co 353,443 449,350
12,919 Deere & Co 344,308 505,456
2,483 Delta Air Lines Inc 142,476 193,674
4,016 Deluxe Corp 130,013 129,014
4,653 Dial Corp 106,996 139,590
7,387 Digital Equipment Corp+ 301,177 531,864
5,615 Dillard Department Stores Inc
Class A 182,988 175,469
28,526 Disney (Walt) Co 1,487,278 1,868,453
8,578 Dominion Resources Inc 364,741 338,831
7,590 Donnelley (R R) & Sons Co 242,225 273,240
5,633 Dover Corp 176,555 250,669
12,973 Dow Chemical Co 846,314 1,041,083
4,787 Dow Jones & Co Inc 166,866 186,693
8,988 Dresser Industries Inc 201,135 252,788
5,643 DSC Communications Corp+ 182,942 172,112
7,159 DTE Energy Co 228,062 255,039
10,085 Duke Power Co 424,941 492,904
8,340 Dun & Bradstreet Corp 503,317 527,505
27,386 DuPont (E I) de Nemours 1,592,372 2,095,029
1,025 Eastern Enterprises 28,080 36,259
</TABLE>
61
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER SERIES--FEBRUARY
29, 1996
<PAGE> 65
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
3,989 Eastman Chemical Co $ 216,449 $ 287,208
16,880 Eastman Kodak Co 889,211 1,206,920
3,849 Eaton Corp 201,177 222,761
2,915 Echlin Inc 94,777 98,746
6,202 Echo Bay Mines Ltd 71,276 85,278
3,164 Ecolab Inc 73,313 96,107
21,944 Edison International 431,046 384,020
2,395 EG & G Inc 42,350 57,181
11,053 Emerson Electric Co 714,197 860,752
7,100 Engelhard Corp 133,962 144,663
12,407 Enron Corp 421,033 454,406
3,335 Enserch Corp 57,438 50,442
11,202 Entergy Corp 345,877 317,857
61,358 Exxon Corp 4,120,086 4,877,961
2,806 Federal Express Corp+ 185,802 207,644
8,930 Federal Home Loan Mortgage Corp 527,690 736,725
53,881 Federal National Mortgage Assoc 1,182,618 1,703,987
2,354 Federal Paper Board Co 72,105 125,645
10,006 Federated Department Stores Inc+ 271,327 302,682
7,258 First Bank System Inc 379,374 418,242
15,837 First Chicago NBD Corp 483,102 686,930
11,020 First Data Corp 649,809 763,135
3,768 First Interstate Bancorp 307,766 615,597
13,876 First Union Corp 594,802 839,498
13,136 Fleet Financial Group Inc 426,042 540,218
2,290 Fleetwood Enterprises Inc 51,377 61,544
1,862 Fleming Co Inc 50,097 37,240
4,107 Fluor Corp 199,257 275,682
1,842 FMC Corp+ 103,339 134,466
53,038 Ford Motor Co 1,518,948 1,657,438
1,949 Foster Wheeler Corp 69,364 85,756
9,121 FPL Group Inc 353,364 407,025
9,959 Freeport McMoRan Copper & Gold Inc
Class B 273,055 324,912
3,769 Fruit of the Loom Inc Class A+ 100,149 95,638
6,905 Gannett Co Inc 369,013 469,540
7,065 Gap Inc 244,998 378,861
3,072 General Dynamics Corp 143,582 183,168
82,429 General Electric Co 4,488,460 6,223,390
7,803 General Mills Inc 399,078 448,673
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
36,944 General Motors Corp $ 1,750,710 $ 1,893,380
5,905 General Public Utilities 179,305 197,079
4,072 General Re Corp 526,021 585,859
2,318 General Signal Corp 79,145 84,317
6,046 Genuine Parts Co 232,279 258,467
4,558 Georgia-Pacific Corp 318,469 287,724
2,956 Giant Food Inc Class A 71,974 97,179
1,647 Giddings & Lewis Inc 32,701 27,587
21,895 Gillette Co 796,568 1,185,067
2,848 Golden West Financial 120,749 144,180
1,297 Goodrich (B F) Co 64,884 98,734
7,571 Goodyear Tire & Rubber Co 310,146 359,623
4,843 Grace (W R) & Co 221,391 334,167
2,498 Grainger (W W) Inc 150,089 170,801
1,898 Great Atlantic & Pacific Tea Co 46,600 42,705
3,190 Great Lakes Chemical Corp 216,997 228,085
6,773 Great Western Financial Corp 131,263 154,932
47,867 GTE Corp 1,764,986 2,052,298
5,677 Halliburton Co 210,887 311,525
1,639 Handleman Co 17,141 8,195
3,611 Harcourt General Inc 139,265 156,627
1,488 Harland (John H) Co 35,615 33,294
2,435 Harnischfeger Industries Inc 65,391 92,226
5,024 Harrah's Entertainment Inc+ 148,708 136,276
1,954 Harris Corp 91,613 129,941
4,302 Hasbro Inc 152,515 148,419
18,205 Heinz (H J) Co 481,884 618,970
1,253 Helmerich & Payne Inc 37,808 41,976
5,460 Hercules Inc 214,044 327,600
3,864 Hershey Foods Corp 207,255 291,249
25,289 Hewlett Packard Co 1,303,029 2,547,867
2,360 Hilton Hotels Corp 138,054 221,250
23,551 Home Depot Inc 1,003,484 1,018,581
6,799 Homestake Mining Co 125,271 131,731
6,272 Honeywell Inc 238,081 332,416
4,871 Household International Inc 212,257 327,575
12,998 Houston Industries Inc 282,274 294,080
8,006 Humana Inc+ 223,351 196,147
5,800 Illinois Tool Works Inc 259,692 382,075
5,881 Inco Ltd 154,187 187,457
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
5,389 Ingersoll-Rand Co $ 194,275 $ 220,275
2,441 Inland Steel Industries Inc 73,493 59,499
40,677 Intel Corp 1,558,774 2,392,316
2,263 Intergraph Corp+ 27,534 41,866
28,099 International Business Machines Corp 1,916,639 3,445,640
5,476 International Flavors & Fragrances 234,913 274,485
12,579 International Paper Co 445,403 448,127
3,872 Interpublic Group Cos Inc 132,388 163,108
5,804 ITT Corp+ 241,037 350,417
5,804 ITT Hartford Group Inc+ 230,352 298,906
5,804 ITT Industries Inc 105,441 152,355
4,079 James River Corp 89,385 107,584
3,531 Jefferson-Pilot Corp 133,605 196,412
31,976 Johnson & Johnson 1,770,436 2,989,756
1,991 Johnson Controls Inc 111,858 142,854
1,932 Jostens Inc 38,460 43,953
22,707 K Mart Corp 389,287 158,949
1,591 Kaufman & Broad Home Corp 27,679 24,462
10,692 Kellogg Co 627,509 807,246
2,569 Kerr-McGee Corp 133,538 153,177
11,667 KeyCorp 366,958 438,971
13,789 Kimberly-Clark Corp 676,736 1,053,135
1,774 King World Productions+ 68,818 74,286
2,437 Knight-Ridder Inc 136,775 168,762
6,096 Kroger Co+ 154,723 226,314
14,404 Laidlaw Inc Class B 130,315 140,439
27,262 Lilly (Eli) & Co 915,920 1,649,351
17,625 Limited Inc 353,989 308,438
5,167 Lincoln National Corp 230,381 284,185
3,692 Liz Claiborne Inc 79,246 115,837
9,915 Lockheed Martin Corp 513,331 756,019
5,834 Loews Corp 349,960 495,890
1,012 Longs Drug Stores Corp 35,109 45,540
8,529 Loral Corp 193,377 401,929
1,627 Louisiana Land & Exploration Co 69,324 67,927
5,357 Louisiana-Pacific Corp 171,244 123,881
7,884 Lowe's Co Inc 227,647 244,404
6,329 LSI Logic Corp+ 224,320 174,839
1,163 Luby's Cafeterias Inc 26,383 24,132
3,797 Mallinckrodt Group Inc 127,998 149,032
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
3,099 Manor Care Inc $ 86,810 $ 118,924
6,186 Marriott International 190,630 303,887
3,625 Marsh & McLennan Companies Inc 309,727 352,078
7,873 Masco Corp 230,153 224,381
10,916 Mattel Inc 244,671 362,957
12,353 May Co Department Stores Co 502,968 575,959
5,334 Maytag Corp 91,847 104,680
11,007 MBNA Corp 200,243 310,948
2,670 McDermott International Inc 70,565 51,398
34,218 McDonald's Corp 1,118,820 1,710,900
5,552 McDonnell Douglas Corp 252,007 489,964
2,505 McGraw-Hill Inc 184,973 218,874
33,438 MCI Communications 832,271 978,062
2,690 Mead Corp 129,811 134,500
11,367 Medtronic Inc 327,588 652,182
6,932 Mellon Bank Corp 274,153 387,326
5,197 Melville Corp 202,887 165,654
1,849 Mercantile Stores Co Inc 71,927 96,841
61,044 Merck & Co Inc 2,528,840 4,044,165
1,363 Meredith Corp 32,822 59,802
8,686 Merrill Lynch & Co Inc 404,010 500,531
10,210 Micron Technology Inc 275,613 326,720
29,239 Microsoft Corp+ 1,903,160 2,885,524
2,175 Millipore Corp 51,315 96,516
20,766 Minnesota Mining & Manufacturing Co 1,149,669 1,352,386
19,523 Mobil Corp 1,698,830 2,140,209
5,698 Monsanto Co 461,148 767,093
4,912 Moore Corp Ltd 93,787 96,398
9,284 Morgan (J P) & Co Inc 656,477 760,128
7,630 Morgan Stanley Group 376,671 357,656
7,317 Morton International Inc 221,585 277,131
29,109 Motorola Inc 1,535,704 1,579,163
481 NACCO Industries Inc Class A 24,644 26,816
3,338 Nalco Chemical Co 112,836 105,982
7,300 National City Corp 206,592 253,675
6,706 National Semiconductor+ 122,280 104,781
2,365 National Service Industries Inc 64,205 82,479
14,601 NationsBank 792,982 1,076,824
3,742 Navistar International Corp+ 68,205 37,888
4,760 New York Times Co Class A 118,997 130,900
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
7,796 Newell Co $ 169,047 $ 216,339
4,673 Newmont Mining Corp 202,765 265,777
7,152 Niagara Mohawk Power Corp 127,279 53,640
2,491 NICOR Inc 67,962 66,946
7,054 Nike Inc Class B 249,470 457,628
6,109 NorAm Energy Corp 46,858 54,981
4,096 Nordstrom Inc 152,373 184,832
6,409 Norfolk Southern Corp 440,727 522,334
3,363 Northern States Power Co 152,525 165,628
12,493 Northern Telecom Ltd 407,506 593,418
2,473 Northrop Grumman Corp 108,203 152,708
17,473 Norwest Corp 485,212 637,765
18,249 Novell Inc+ 335,991 222,410
4,322 Nucor Corp 235,865 232,848
21,086 NYNEX Corp 923,412 1,085,929
15,686 Occidental Petroleum Corp 320,748 360,778
2,362 Ogden Corp 53,003 50,488
7,477 Ohio Edison Co 168,365 177,579
1,365 ONEOK Inc 27,052 29,689
21,442 Oracle Systems Corp+ 606,514 1,114,984
5,151 Oryx Energy Co+ 90,043 66,319
987 Outboard Marine Corp 19,293 19,987
2,543 Owens Corning Fiberglass Corp+ 103,004 103,309
1,933 PACCAR Inc 97,126 91,334
4,179 Pacific Enterprises 104,964 111,788
20,921 Pacific Gas & Electric Co 643,968 536,101
21,155 Pacific Telesis Group 652,952 597,629
14,032 PacifiCorp 271,361 291,164
5,671 Pall Corp 115,638 154,535
7,338 Panhandle Eastern Corp 173,407 210,050
3,647 Parker Hannifin Corp 98,158 128,101
10,956 PECO Energy Co 320,606 309,507
11,165 Penney (J C) Co Inc 530,936 530,338
2,282 Pennzoil Co 123,577 87,287
1,681 Peoples Energy Corp 49,448 51,691
3,082 Pep Boys-Manny Moe & Jack 85,964 92,460
38,885 Pepsico Inc 1,627,289 2,459,476
2,068 Perkin-Elmer Corp 70,486 95,128
31,320 Pfizer Inc 1,265,140 2,063,205
24,913 Pharmacia and Upjohn Inc+ 763,393 1,043,232
</TABLE>
66
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
3,387 Phelps Dodge Corp $ 176,010 $ 207,030
41,473 Philip Morris Co Inc 2,534,900 4,105,827
12,979 Phillips Petroleum Co 429,257 454,265
4,124 Pioneer Hi Bred International Inc 157,260 222,181
7,514 Pitney Bowes Inc 297,876 362,551
11,755 Placer Dome Inc 270,755 332,079
16,867 PNC Bank Corp 497,501 516,552
2,228 Polaroid Corp 81,249 98,032
1,392 Potlatch Corp 58,170 57,246
7,830 PP & L Resources Inc 202,471 194,771
9,643 PPG Industries Inc 363,704 447,194
6,921 Praxair Inc 146,866 238,775
2,978 Premark International Inc 118,178 155,973
9,642 Price/Costco Inc+ 165,782 166,325
33,925 Procter & Gamble Co 2,076,831 2,781,850
4,719 Providian Corp 183,880 218,254
12,121 Public Services Enterprise Group 380,406 340,903
1,335 Pulte Corp 41,763 39,883
6,655 Quaker Oats Co 228,260 228,766
5,243 Ralston-Purina Group 234,999 351,281
2,167 Raychem Corp 92,711 140,584
11,962 Raytheon Co 421,141 599,595
3,677 Reebok International Ltd 108,799 96,981
2,787 Republic New York Corp 163,479 166,872
3,080 Reynolds Metals Co 151,518 159,005
4,140 Rite Aid Corp 91,280 130,410
10,677 Rockwell International Corp 428,061 608,589
3,303 Rohm & Haas Co 189,781 229,971
4,126 Rowan Co Inc+ 36,554 44,870
26,423 Royal Dutch Petroleum Co 2,960,747 3,639,768
7,739 Rubbermaid Inc 245,613 217,659
1,928 Russell Corp 54,722 53,984
2,514 Ryan's Family Steak House+ 19,724 16,655
3,944 Ryder System Inc 96,974 99,093
6,219 SAFECO Corp 187,262 225,439
2,868 Safety-Kleen Corp 44,262 41,586
5,247 Salomon Inc 225,369 200,042
4,413 Santa Fe Energy Resources Inc+ 42,810 40,820
6,453 Santa Fe Pacific Gold Corp 93,415 100,828
23,914 Sara Lee Corp 647,218 774,216
</TABLE>
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<PAGE> 71
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SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
30,088 SBC Communication Inc $ 1,364,234 $ 1,651,079
18,194 Schering-Plough Corp 678,228 1,021,138
11,990 Schlumberger Ltd 751,000 873,771
3,854 Scientific-Atlanta Inc 69,838 64,555
18,375 Seagram Co Ltd 555,954 631,641
19,255 Sears Roebuck & Co 584,353 873,696
5,598 Service Corp International 175,150 254,009
1,185 Shared Medical System Corp 42,066 66,064
4,166 Sherwin Williams Co 147,045 176,534
1,930 Shoney's Inc+ 32,625 16,164
2,494 Sigma-Aldrich Corp 98,507 142,782
7,978 Silicon Graphics Inc+ 267,274 199,450
2,028 Snap-On Inc 79,312 90,753
4,274 Sonat Inc 137,169 143,179
32,866 Southern Co 723,098 784,676
7,063 Southwest Airlines Co 178,572 217,187
1,040 Springs Industries Inc Class A 39,704 44,980
17,232 Sprint Corp 608,731 740,976
3,425 St Jude Medical Inc+ 91,146 129,294
4,196 St Paul Co Inc 200,614 237,599
2,216 Stanley Works 95,746 125,204
4,768 Stone Container Corp+ 71,050 65,560
2,299 Stride Rite Corp 31,024 18,679
3,753 Sun Co Inc 108,282 109,306
9,384 Sun Microsystems Inc+ 182,119 492,660
5,634 SunTrust Banks Inc 285,080 404,944
3,319 Super Value Inc 105,529 107,038
8,989 Sysco Corp 253,369 295,513
5,777 Tandem Computers Inc+ 71,422 55,604
3,136 Tandy Corp 130,622 137,200
1,657 Tektronix Inc 56,577 75,186
32,249 Tele-Communication Inc Class A+ 596,707 677,229
2,717 Teledyne Inc 64,477 76,416
27 Teledyne Inc Preferred Class E 401 408
4,327 Tellabs Inc+ 203,696 204,451
2,802 Temple-Inland Inc 125,634 112,781
9,832 Tenet Healthcare Corp+ 146,123 219,991
8,780 Tenneco Inc 435,790 490,583
13,066 Texaco Inc 882,624 1,042,014
9,359 Texas Instruments Inc 387,823 466,780
</TABLE>
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SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
11,155 Texas Utilities Co $ 451,483 $ 450,383
4,196 Textron Inc 247,004 330,435
7,985 3Com Corp 369,265 390,267
942 Thomas & Betts Corp 61,786 67,824
19,027 Time Warner Inc 759,220 813,404
5,519 Times Mirror Co Class A 125,366 187,646
1,562 Timken Co 54,733 70,290
3,605 TJX Companies Inc 81,865 80,211
3,547 Torchmark Corp 169,073 164,492
13,482 Toys R Us Inc+ 441,784 321,883
3,402 Transamerica Corp 204,446 256,426
15,779 Travelers Inc 694,611 1,055,221
3,174 Tribune Co 179,273 211,865
1,444 Trinova Corp 43,976 43,501
3,219 TRW Inc 223,500 278,846
7,525 Tyco International Inc 196,120 271,841
7,490 U.S. Bancorp 223,886 231,254
7,593 U.S. Healthcare Inc 343,605 370,159
1,731 U.S. Life Corp 47,056 52,363
23,274 U.S. West Inc 638,950 762,224
23,274 U.S. West Media Group+ 427,101 485,845
10,560 Unicom Corp 301,880 337,920
7,928 Unilever NV 938,280 1,066,316
3,488 Union Camp Corp 165,564 162,628
6,760 Union Carbide Corp 177,762 304,200
5,082 Union Electric Co 203,081 214,715
10,111 Union Pacific Corp 612,826 667,326
8,309 Unisys Corp+ 84,288 50,893
8,574 United Healthcare Corp 415,756 559,454
2,826 United States Surgical 64,640 80,188
6,066 United Technologies Corp 413,814 652,095
12,234 Unocal Corp 351,872 367,020
3,561 UNUM Corp 191,055 209,654
3,043 USAir Group Inc+ 34,307 51,351
5,497 USF & G Corp 84,663 82,455
9,512 UST Inc 274,697 337,676
14,171 USX -- Marathon Group 261,768 262,164
4,037 USX -- US Steel Group 139,465 132,212
1,976 Varity Corp+ 76,301 74,594
3,119 VF Corp 147,473 167,646
</TABLE>
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<PAGE> 73
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SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
17,814 Viacom Inc Class B+ $ 734,688 $ 699,200
8,423 Wachovia Corp 321,168 391,670
113,323 Wal Mart Stores Inc 2,775,397 2,408,114
12,133 Walgreen Co 280,119 400,389
6,625 Warner Lambert Co 501,244 655,047
2,374 Wells Fargo & Co 354,920 585,488
5,877 Wendy's International Inc 100,285 106,521
2,646 Western Atlas Inc+ 111,933 139,246
20,518 Westinghouse Electric Corp 313,878 379,583
5,013 Westvaco Corp 125,496 145,377
9,985 Weyerhaeuser Co 416,457 423,114
3,632 Whirlpool Corp 211,778 202,030
5,191 Whitman Corp 90,076 120,691
2,697 Willamette Industries Inc 180,708 141,593
4,979 Williams Co Inc 164,756 236,503
7,476 Winn-Dixie Stores Inc 218,233 256,053
23,981 WMX Technologies Inc 680,332 683,459
6,560 Woolworth Corp 128,363 78,720
4,429 Worthington Industries Inc 87,873 95,224
5,782 Wrigley (Wm) Jr Co 271,463 339,693
5,369 Xerox Corp 529,110 699,312
1,349 Yellow Corp 26,654 14,923
------------ ------------
TOTAL COMMON STOCKS $186,007,408 $236,560,968
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES--19.94%
$1,500,000 U.S. Treasury Bonds 9.88% 11/15/15 $ 2,043,279
1,800,000 U.S. Treasury Bonds 9.25 02/15/16 2,329,875
6,200,000 U.S. Treasury Bonds 7.25 05/15/16 6,645,625
5,200,000 U.S. Treasury Bonds 8.75 05/15/17 6,451,250
3,100,000 U.S. Treasury Bonds 9.13 05/15/18 3,992,217
1,500,000 U.S. Treasury Bonds 9.00 11/15/18 1,913,904
3,400,000 U.S. Treasury Bonds 8.88 02/15/19 4,289,307
3,100,000 U.S. Treasury Bonds 8.13 08/15/19 3,643,464
2,300,000 U.S. Treasury Bonds 8.50 02/15/20 2,806,000
7,200,000 U.S. Treasury Bonds 8.75 08/15/20 9,013,500
2,400,000 U.S. Treasury Bonds 7.88 02/15/21 2,752,500
3,450,000 U.S. Treasury Bonds 8.13 05/15/21 4,062,375
1,500,000 U.S. Treasury Bonds 8.13 08/15/21 1,767,654
7,200,000 U.S. Treasury Bonds 8.00 11/15/21 8,379,000
1,900,000 U.S. Treasury Bonds 7.25 08/15/22 2,040,716
1,750,000 U.S. Treasury Bonds 7.63 11/15/22 1,961,638
3,950,000 U.S. Treasury Bonds 7.13 02/15/23 4,188,228
3,300,000 U.S. Treasury Bonds 6.25 08/15/23 3,142,214
2,050,000 U.S. Treasury Bonds 7.50 11/15/24 2,283,188
2,700,000 U.S. Treasury Bonds 7.63 02/15/25 3,059,438
2,500,000 U.S. Treasury Bonds 6.88 08/15/25 2,605,465
------------
TOTAL U.S. TREASURY SECURITIES $ 79,370,837
(Cost $71,664,200)
</TABLE>
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<PAGE> 75
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS--20.52%
$28,979,000 U.S. Treasury Bills 4.97% 03/07/96 $ 28,951,746
404,000 U.S. Treasury Bills 5.01 03/14/96 403,249
859,000 U.S. Treasury Bills 4.68 03/28/96 855,846
9,225,000 U.S. Treasury Bills 4.98 04/04/96 9,182,486
2,883,000 U.S. Treasury Bills 4.92 04/11/96 2,867,741
204,000 U.S. Treasury Bills 5.12 04/18/96 202,613
39,437,000 U.S. Treasury Bills 5.02 05/02/96 39,104,822
141,000 U.S. Treasury Bills 4.99 05/23/96 139,413
------------
TOTAL SHORT-TERM
INSTRUMENTS $ 81,707,916
(Cost $81,714,320)
TOTAL INVESTMENT IN SECURITIES
(Cost $339,385,928)** (Notes 1
and 3) 99.89 % $397,639,721
Other Assets and Liabilities,
Net 0.11 454,509
------- ------------
TOTAL NET ASSETS 100.00 % $398,094,230
======= ============
- ------------------------------------------------------------------------------------
</TABLE>
+ Non-income earning securities.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $62,658,810
Gross Unrealized Depreciation (4,405,017)
-----------
NET UNREALIZED APPRECIATION $58,253,793
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
72
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-23.88%
BANK & FINANCE - 5.67%
$ 1,000,000 Associates Corp of North
America 7.25% 05/15/98 $ 1,029,058
500,000 BankAmerica Corp 7.20 04/15/06 515,442
750,000 Chrysler Financial Corp 5.38 10/15/98 739,751
1,500,000 CIT Group Holdings 6.63 06/15/05 1,486,935
1,000,000 Commercial Credit Corp 8.70 06/15/10 1,181,833
500,000 First Union Corp 6.63 07/15/05 492,856
500,000 General Electric Capital
Corp 8.75 05/21/07 581,544
1,500,000 Household Finance Corp 6.70 06/15/02 1,523,100
500,000 Lehman Brothers Inc 9.88 10/15/00 555,961
500,000 NationsBank Corp 6.88 02/15/05 501,410
------------
$ 8,607,890
INDUSTRIALS - 8.42%
$ 500,000 Anheuser Busch Co 8.75% 12/01/99 $ 545,531
500,000 Archer-Daniels-Midland Co 8.38 04/15/17 563,262
500,000 Caterpillar Inc 8.00 02/15/23 541,611
500,000 Dow Chemical Co 8.63 04/01/06 552,200
500,000 DuPont (El) De Nemours 6.00 12/01/01 488,152
1,000,000 Eastman Chemicals Co 6.38 01/15/04 984,305
1,000,000 Eli Lilly & Co 7.13 06/01/25 996,429
500,000 Ford Capital BV 9.00 08/15/98 534,528
500,000 Ford Motor Co 8.88 04/01/06 570,844
750,000 Ford Motor Credit Corp 7.75 10/01/99 788,896
750,000 General Motors Corp 8.13 04/15/16 754,477
500,000 Hertz Corp 6.38 10/15/05 482,298
500,000 Hertz Corp 6.50 04/01/00 505,165
500,000 International Business
Machines 6.38 06/15/00 505,674
2,000,000 News America Holdings 8.50 02/15/05 2,168,462
500,000 Philip Morris Co 7.13 10/01/04 507,733
500,000 Seagram (J) & Sons 9.75 06/15/00 506,416
750,000 Weyerhaeuser Co 7.50 03/01/13 771,991
------------
$ 12,767,974
INTERNATIONAL AGENCIES - 0.31%
$ 500,000 International Bank of
Reconstruction &
Development 5.25% 09/16/03 $ 473,582
</TABLE>
73
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER--FEBRUARY 29, 1996
<PAGE> 77
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
TELECOMMUNICATIONS - 2.09%
$ 750,000 GTE North Inc 6.00% 01/15/04 $ 719,129
500,000 Michigan Bell Telephone 6.38 02/01/05 489,310
500,000 New York Telephone Co 5.88 09/01/03 478,605
500,000 Southwestern Bell Telephone
Co 6.75 06/01/08 491,860
500,000 TCI Communications Inc 6.88 02/15/06 480,895
500,000 TCI Communications Inc 8.00 08/01/05 520,174
------------
$ 3,179,973
UTILITIES - 3.34%
$ 500,000 Alabama Power Co 8.50% 05/01/22 $ 526,045
500,000 Hydro-Quebec 8.50 12/01/29 544,885
500,000 Pacific Gas & Electric 8.80 05/01/24 572,420
500,000 Pennsylvania Power & Light
Co 7.75 05/01/02 527,254
750,000 Philadelphia Electric Co 8.75 04/01/22 796,520
500,000 Public Service Electric &
Gas Co 6.13 08/01/02 486,716
495,000 Public Service Electric &
Gas Co 8.75 11/01/21 536,330
500,000 Victoria (Province of)
Public Authority 8.45 10/01/01 554,769
500,000 Virginia Electric & Power
Co 7.38 07/01/02 523,004
------------
$ 5,067,943
YANKEE BONDS - 4.05%
$ 500,000 African Development Bank 7.75% 12/15/01 $ 536,334
1,000,000 Dresdner Bank AG 6.63 09/15/05 995,800
500,000 Finland (Republic of) 7.88 07/28/04 542,558
500,000 Hanson Overseas BV 7.38 01/15/03 514,393
500,000 Ireland (Republic of) 7.13 07/15/02 517,327
500,000 Italy (Republic of) 6.00 09/27/03 480,617
500,000 Matsushita Electric
Industry Co 7.25 08/01/02 522,539
750,000 Ontario (Province of) 7.63 06/22/04 800,737
750,000 Sweden (Kingdom of) 6.50 03/04/03 758,381
500,000 Swiss Bank Corp 7.00 10/15/15 486,525
------------
$ 6,155,211
TOTAL CORPORATE BONDS & NOTES $ 36,252,573
(Cost $34,915,987)
</TABLE>
74
<PAGE> 78
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES--8.82%
FEDERAL AGENCY - OTHER - 2.99%
$ 800,000 Federal Home Loan Mortgage
Corp 7.13% 07/21/99 $ 831,781
300,000 Resolution Funding Corp 8.88 04/15/30 377,725
500,000 Resolution Funding Corp 9.38 10/15/20 653,360
1,000,000 Tennessee Valley Authority 6.13 07/15/03 979,953
200,000 Tennessee Valley Authority 7.75 12/15/22 197,725
100,000 Tennessee Valley Authority 8.25 04/15/42 110,197
1,000,000 Tennessee Valley Authority 8.38 10/01/99 1,076,036
300,000 Tennessee Valley Authority 8.63 11/15/29 318,443
------------
$ 4,545,220
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.83%
$ 300,000 Federal National Mortgage Assoc 5.25% 05/13/98 $ 295,865
400,000 Federal National Mortgage Assoc 5.30 12/10/98 394,903
1,500,000 Federal National Mortgage Assoc 6.33 08/11/00 1,522,514
1,000,000 Federal National Mortgage Assoc 6.35 06/10/05 995,260
1,500,000 Federal National Mortgage Assoc 6.77 01/19/06 1,463,024
1,000,000 Federal National Mortgage Assoc 6.95 09/10/02 999,436
500,000 Federal National Mortgage Assoc 7.55 04/22/02 533,653
200,000 Federal National Mortgage Assoc 7.55 06/10/04 205,665
500,000 Federal National Mortgage Assoc 7.90 04/10/02 510,676
1,000,000 Federal National Mortgage Assoc 8.25 12/18/00 1,093,052
1,000,000 Federal National Mortgage Assoc 8.78* 07/15/14 277,547
500,000 Federal National Mortgage Assoc 8.90 06/12/00 555,485
------------
$ 8,847,080
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 13,392,300
(Cost* 13,012,341)
U.S. TREASURY SECURITIES--65.99%
U.S. TREASURY BONDS - 15.76%
$ 375,000 U.S. Treasury Bonds 8.75% 11/15/08 $ 433,125
500,000 U.S. Treasury Bonds 9.13 05/15/09 592,188
190,000 U.S. Treasury Bonds 13.88 05/15/11 297,706
1,290,000 U.S. Treasury Bonds 11.13 08/15/03 1,681,031
2,600,000 U.S. Treasury Bonds 12.00 08/15/13 3,834,184
250,000 U.S. Treasury Bonds 10.63 08/15/15 360,781
2,000,000 U.S. Treasury Bonds 7.50 11/15/16 2,198,750
2,450,000 U.S. Treasury Bonds 8.13 08/15/19 2,879,512
</TABLE>
75
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER--FEBRUARY 29, 1996
<PAGE> 79
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
$ 1,900,000 U.S. Treasury Bonds 8.75% 08/15/20 $ 2,378,563
2,000,000 U.S. Treasury Bonds 7.88 02/15/21 2,293,750
2,100,000 U.S. Treasury Bonds 8.13 08/15/21 2,474,716
1,000,000 U.S. Treasury Bonds 7.25 08/15/22 1,074,061
1,500,000 U.S. Treasury Bonds 7.63 11/15/22 1,681,404
900,000 U.S. Treasury Bonds 7.63 02/15/25 1,019,813
700,000 U.S. Treasury Bonds 6.88 08/15/25 729,530
------------
$ 23,929,114
U.S. TREASURY NOTES - 50.23%
$ 1,400,000 U.S. Treasury Notes 8.00% 05/15/01 $ 1,536,500
5,300,000 U.S. Treasury Notes 7.50 11/15/01 5,705,773
2,950,000 U.S. Treasury Notes 6.38 01/15/99 3,012,688
3,700,000 U.S. Treasury Notes 6.75 02/28/97 3,753,188
2,600,000 U.S. Treasury Notes 6.38 06/30/97 2,635,750
3,500,000 U.S. Treasury Notes 5.50 07/31/97 3,510,938
3,100,000 U.S. Treasury Notes 6.38 08/15/02 3,174,589
1,000,000 U.S. Treasury Notes 6.00 10/15/99 1,012,186
3,000,000 U.S. Treasury Notes 6.00 12/31/97 3,029,058
1,900,000 U.S. Treasury Notes 6.25 02/15/03 1,928,500
1,100,000 U.S. Treasury Notes 5.75 08/15/03 1,082,467
2,000,000 U.S. Treasury Notes 4.75 09/30/98 1,963,122
2,500,000 U.S. Treasury Notes 4.75 10/31/98 2,450,000
500,000 U.S. Treasury Notes 5.00 01/31/99 492,500
2,000,000 U.S. Treasury Notes 5.88 02/15/04 1,976,872
1,000,000 U.S. Treasury Notes 6.50 08/15/97 1,016,250
800,000 U.S. Treasury Notes 7.25 08/15/04 859,000
1,200,000 U.S. Treasury Notes 6.88 08/31/99 1,246,123
400,000 U.S. Treasury Notes 7.13 09/30/99 418,874
1,800,000 U.S. Treasury Notes 7.38 11/15/97 1,855,125
1,400,000 U.S. Treasury Notes 7.75 11/30/99 1,496,250
2,100,000 U.S. Treasury Notes 7.25 02/15/98 2,168,250
2,000,000 U.S. Treasury Notes 7.50 02/15/05 2,183,750
600,000 U.S. Treasury Notes 6.88 02/28/97 609,375
1,000,000 U.S. Treasury Notes 7.13 02/29/00 1,049,686
2,000,000 U.S. Treasury Notes 6.50 05/15/05 2,048,122
1,800,000 U.S. Treasury Notes 6.25 05/31/00 1,833,750
700,000 U.S. Treasury Notes 5.88 08/15/98 705,688
1,500,000 U.S. Treasury Notes 6.50 08/15/05 1,535,154
4,700,000 U.S. Treasury Notes 6.00 08/31/97 4,742,587
</TABLE>
76
<PAGE> 80
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER
SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
$ 2,400,000 U.S. Treasury Notes 6.25% 08/31/00 $ 2,445,000
850,000 U.S. Treasury Notes 5.50 11/15/98 849,202
600,000 U.S. Treasury Notes 5.88 11/15/05 588,375
850,000 U.S. Treasury Notes 5.38 11/30/97 848,671
600,000 U.S. Treasury Notes 5.63 11/30/00 596,437
2,200,000 U.S. Treasury Notes 9.00 05/15/98 2,361,559
3,400,000 U.S. Treasury Notes 9.13 05/15/99 3,743,182
3,400,000 U.S. Treasury Notes 8.75 08/15/00 3,798,432
------------
$ 76,262,973
TOTAL U.S. TREASURY SECURITIES $100,192,087
(Cost $98,255,537)
SHORT-TERM INSTRUMENTS--0.68%
U.S. TREASURY BILLS - 0.68%
$ 52,000 U.S. Treasury Bills 5.01% * 03/14/96 $ 51,903
25,000 U.S. Treasury Bills 4.98* 04/04/96 24,885
31,000 U.S. Treasury Bills 4.92* 04/11/96 30,836
571,000 U.S. Treasury Bills 5.12* 04/18/96 567,097
181,000 U.S. Treasury Bills 5.02* 05/02/96 179,457
186,000 U.S. Treasury Bills 4.99* 05/23/96 183,907
------------
$ 1,038,085
TOTAL SHORT-TERM INSTRUMENTS
(Cost $1,038,237)
TOTAL INVESTMENT IN SECURITIES
(Cost $147,222,102)** (Notes 1
and 3) 99.37 % $150,875,045
Other Assets and Liabilities,
Net 0.63 949,423
------------
TOTAL NET ASSETS 100.00 % $151,824,468
======= ============
- ------------------------------------------------------------------------------------
</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 $ 4,533,579
Gross Unrealized Depreciation (880,636)
-----------
NET UNREALIZED APPRECIATION $ 3,652,943
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
77
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER--FEBRUARY 29, 1996
<PAGE> 81
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS-90.68%
ADVERTISING - 0.76%
60,000 HA-LO Industries Inc+ $ 995,000 $ 1,350,000
BASIC INDUSTRIES - 0.89%
12,500 Columbus McKinnon Corp $ 187,500 $ 193,750
25,000 Cronos Group+ 250,000 240,625
44,000 Landec Corp+ 564,850 572,000
15,000 Miller Industries Inc+ 412,500 425,625
135,000 Quadrax Corp+ 334,506 156,094
------------ ------------
$ 1,749,356 $ 1,588,094
BIOTECHNOLOGY - 6.00%
15,000 Amgen Inc+ $ 690,938 $ 896,250
25,000 Cephalon Inc+ 583,755 531,250
3,000 Endovascular Technologies Inc+ 36,000 30,000
55,000 Genzyme Corp - General Division+ 2,834,375 3,795,000
60,000 Genzyme Corp - Tissue Repair+ 982,188 1,080,000
45,000 Gliatech Inc+ 639,916 675,000
70,000 Liposome Co Inc+ 981,407 1,229,375
40,000 Medarex Inc+ 221,250 260,000
14,000 MedImmune Inc+ 252,000 262,500
35,000 NeoPath Inc+ 827,186 822,500
50,000 Neurex Corp+ 307,032 781,250
100,000 Seragen Inc+ 643,332 350,000
------------ ------------
$ 8,999,379 $ 10,713,125
COMMERCIAL SERVICES - 6.08%
40,000 AMRE Inc+ $ 559,513 $ 735,000
60,000 Career Horizons Inc+ 1,111,839 1,440,000
159,500 Envoy Corp (New)+ 1,175,242 3,150,125
42,680 First Data Corp 2,711,646 2,955,590
33,800 Iron Mountain Inc+ 540,800 536,575
50,000 National Education Corp+ 546,709 550,000
47,000 Sylvan Learning Systems Inc+ 1,221,750 1,451,125
135,000 Work Recovery Inc+ 484,848 50,625
------------ ------------
$ 8,352,347 $ 10,869,040
</TABLE>
78
<PAGE> 82
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE - 14.04%
34,000 Adobe Systems Inc $ 1,834,875 $ 1,139,000
45,000 Avant! Corp+ 1,292,563 978,750
50,000 Cotelligent Group Inc+ 446,828 450,000
35,000 Diamond Multimedia Systems Inc+ 675,063 645,313
70,000 IKOS Systems Inc+ 649,350 1,128,750
50,000 Imnet Systems Inc+ 934,875 1,625,000
60,000 LifeRate Systems Inc+ 484,792 671,250
20,000 Macromedia Inc+ 819,125 801,250
42,700 Metatec Corp Class A+ 430,213 389,638
20,000 MetaTools Inc+ 477,255 530,000
40,000 Microsoft Corp+ 3,154,750 3,947,500
15,000 Novadigm Inc+ 346,250 277,500
70,000 Oracle Systems Corp+ 2,573,806 3,640,000
42,000 Phamis Inc+ 1,059,875 976,500
47,000 Premenos Tech Corp+ 985,271 893,000
30,000 Pure Software Inc+ 916,125 997,500
50,000 Synopsys Inc+ 1,235,875 1,637,500
83,000 Veritas Software Corp+ 1,744,500 2,573,000
23,000 Verity Inc+ 745,875 1,092,500
27,500 Viasoft Inc+ 349,094 694,375
------------ ------------
$ 21,156,360 $ 25,088,326
COMPUTER SYSTEMS - 12.08%
95,000 Adaptec Inc+ $ 2,893,397 $ 5,325,938
110,000 Cisco Systems Inc+ 1,820,000 5,225,000
240,000 Komag Inc+ 5,305,236 7,530,000
65,000 RadiSys Corp+ 823,125 1,056,250
35,000 Solectron Corp+ 903,223 1,697,500
28,000 Sync Research Inc+ 1,101,375 756,000
------------ ------------
$ 12,846,356 $ 21,590,688
ELECTRICAL EQUIPMENT - 0.55%
75,000 Interlink Electronics Inc+ $ 375,000 $ 506,250
91,500 Power (R F) Products Inc+ 547,129 468,938
------------ ------------
$ 922,129 $ 975,188
</TABLE>
79
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER SERIES--FEBRUARY
29, 1996
<PAGE> 83
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
ENERGY & RELATED - 4.17%
30,000 Anadarko Petroleum Corp $ 1,395,765 $ 1,635,000
35,000 Ensco International Inc+ 582,801 844,375
52,000 Global Industries Ltd+ 672,000 949,000
57,600 J Ray McDermott SA+ 1,250,375 1,022,400
21,300 KCS Energy 409,824 290,213
10,000 Marine Drilling Co Inc+ 47,500 70,000
30,000 Sonat Offshore Drilling Co 1,008,161 1,305,000
20,000 Tosco Corp 723,139 892,500
22,500 Trigen Energy Corp 395,548 435,938
------------ ------------
$ 6,485,113 $ 7,444,426
ENTERTAINMENT & LEISURE - 3.41%
44,500 Anchor Gaming+ $ 757,390 $ 1,168,125
50,000 Family Golf Centers Inc+ 750,000 1,056,250
40,000 Mirage Resorts Inc+ 917,215 1,855,000
45,800 Sports Club Inc+ 323,886 131,675
100,000 Station Casino Inc+ 1,708,360 1,181,250
60,000 Stratosphere Corp+ 512,186 705,000
------------ ------------
$ 4,969,037 $ 6,097,300
ENVIRONMENTAL CONTROL - 2.59%
105,000 Molten Metal Technology Inc+ $ 2,103,666 $ 3,780,000
40,000 U.S.A. Waste Services Inc+ 787,290 855,000
------------ ------------
$ 2,890,956 $ 4,635,000
FINANCE & RELATED - 3.29%
115,000 Capital One Financial Corp $ 3,180,739 $ 3,076,250
20,000 Cole Taylor Financial Group Inc 422,500 485,000
60,000 Dignity Partners Inc+ 744,793 855,000
20,000 NHP Inc+ 252,500 367,500
40,000 Oxford Resources Corp Class A+ 1,051,500 1,095,000
------------ ------------
$ 5,652,032 $ 5,878,750
</TABLE>
80
<PAGE> 84
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
FOOD & RELATED - 2.02%
58,000 General Nutrition Co Inc+ $ 764,250 $ 1,312,250
56,800 NuCo2 Inc+ 755,368 994,000
80,000 Whole Foods Market Inc+ 1,210,630 1,310,000
------------ ------------
$ 2,730,248 $ 3,616,250
HEALTHCARE - 8.64%
75,000 Genesis Health Ventures Inc+ $ 1,905,675 $ 3,271,875
125,000 Healthsouth Corp+ 2,469,355 4,375,000
40,000 OncorMed Inc+ 310,000 310,000
40,000 Owen Healthcare Inc+ 728,438 890,000
25,000 Oxford Health Plans Inc+ 1,697,768 2,057,813
70,000 Renal Treatment Centers+ 1,698,188 3,071,250
13,400 RISCORP Inc Class A+ 254,600 288,100
40,000 Vivra Inc+ 1,172,056 1,180,000
------------ ------------
$ 10,236,080 $ 15,444,038
HOSPITAL & MEDICAL SUPPLIES - 7.15%
40,000 AVECOR Cardiovascular Inc+ $ 640,834 $ 530,000
62,000 Bard (C R) Inc 1,900,295 2,224,250
80,000 Bioject Medical Technologies+ 306,665 130,000
70,000 Biomatrix Inc+ 751,150 901,250
62,863 Boston Scientific Corp+ 2,327,000 3,017,400
40,000 CompuMed Inc+ 251,564 110,000
150,000 Endosonics Corp+ 1,711,315 2,212,500
60,000 InStent Inc+ 985,562 1,200,000
55,000 Life Med Sciences Inc+ 473,750 481,250
20,000 Meridian Diagnostics Inc 195,000 200,000
60,000 Molecular Devices Corp+ 665,000 742,500
35,000 Penederm Inc+ 497,322 437,500
40,000 Ultrafem Inc+ 450,000 595,000
------------ ------------
$ 11,155,457 $ 12,781,650
MANUFACTURING PROCESSING - 2.24%
20,000 Intertape Polymer Group Inc $ 624,025 $ 680,000
80,000 Lydall Inc+ 1,246,357 1,940,000
50,000 Sola International Inc+ 997,890 1,387,500
------------ ------------
$ 2,868,272 $ 4,007,500
</TABLE>
81
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER SERIES--FEBRUARY
29, 1996
<PAGE> 85
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
RETAIL STORES & RELATED - 1.86%
25,000 AnnTaylor Stores Inc+ $ 402,000 $ 434,375
60,000 Corporate Express Inc+ 1,461,875 1,785,000
25,000 Galoob (Lewis) Toys Inc+ 417,915 406,250
20,000 PetSmart Inc+ 554,365 695,000
------------ ------------
$ 2,836,155 $ 3,320,625
SEMICONDUCTORS - 4.18%
55,000 Atmel Corp+ $ 1,612,646 $ 1,471,250
31,000 Intel Corp 1,223,000 1,823,188
20,000 MEMC Electronic Materials Inc+ 670,600 680,000
110,000 OnTrak Systems Inc+ 2,468,180 1,870,000
60,000 Semtech Corp+ 1,275,563 1,080,000
60,000 Tegal Corp+ 805,384 540,000
------------ ------------
$ 8,055,373 $ 7,464,438
TELECOMMUNICATIONS - 8.67%
100,000 Accom Inc+ $ 804,141 $ 637,500
16,000 AML Communications Inc+ 128,000 178,000
45,000 Arch Communications Group Inc+ 1,226,459 1,167,188
49,500 Cascade Communications Corp+ 2,634,945 3,359,813
80,000 Comdial Corp+ 900,029 760,000
27,000 DSC Communications Corp+ 1,123,920 823,500
145,000 LCI International Inc+ 1,712,214 3,298,750
110,000 PanAmSat Corp+ 1,762,158 3,286,250
40,000 Premisys Communications Inc+ 1,651,549 1,310,000
45,000 TresCom International Inc+ 647,500 675,000
------------ ------------
$ 12,590,915 $ 15,496,001
TRANSPORTATION - 2.06%
30,000 Greenbrier Companies Inc $ 475,638 $ 341,250
77,500 Landair Services Inc+ 1,403,448 1,191,563
70,000 Southwest Airlines Co 1,769,155 2,152,500
------------ ------------
$ 3,648,241 $ 3,685,313
TOTAL COMMON STOCKS $129,138,806 $162,045,752
PREFERRED STOCKS-0.67%
20,000 LCI International Inc Convertible $ 500,000 $ 1,192,500
</TABLE>
82
<PAGE> 86
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
CLOSED-END MUTUAL FUNDS-0.24%
Emerging Markets Infrastructure
15,000 Fund $ 151,875 $ 172,500
Morgan Stanley India Investment
25,000 Fund 345,910 262,500
------------ ------------
TOTAL CLOSED-END MUTUAL FUNDS $ 497,785 $ 435,000
WARRANTS-2.01%
50,000 Angeion Corp expires 03/12/1996 $ -- $ 118,750
115,000 Intel Corp expires 03/14/1998 830,719 3,004,375
5,000 Interlink Electronics Inc expires
06/07/1996 -- 5,000
Viacom Inc Class E expires
110,000 07/07/1999 815,438 460,625
------------ ------------
TOTAL WARRANTS $ 1,646,157 $ 3,588,750
</TABLE>
83
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER SERIES--FEBRUARY
29, 1996
<PAGE> 87
MANAGED SERIES INVESTMENT TRUST--GROWTH
STOCK MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
SHARES SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CONVERTIBLE CORPORATE BONDS & NOTES-2.03%
500,000 Alfa S A de C V 8.00% 10/15/00 $ 487,500
500,000 First Financial Management
Corp 5.00 12/15/99 839,035
595,000 LDDS Communications Inc 5.00 08/15/03 694,663
227,200 Oryx Energy Co 7.50 05/15/14 206,752
1,700,000 Softkey International Inc 5.50 11/01/00 1,411,000
------------
TOTAL CONVERTIBLE CORPORATE BONDS & NOTES $ 3,638,950
(Cost $3,409,528)
SHORT-TERM INSTRUMENTS-2.93%
U.S. TREASURY BILLS - 0.84%
1,500,000 U.S. Treasury Bills 4.98%* 04/04/96 $ 1,493,152
REPURCHASE AGREEMENTS - 2.09%
3,734,000 Goldman Sachs Pooled
Repurchase Agreement -
102% Collateralized by
U.S. Government Securities 5.40% 03/01/96 $ 3,734,000
------------
TOTAL SHORT-TERM INSTRUMENTS $ 5,227,152
(Cost $5,226,888)
TOTAL INVESTMENT IN SECURITIES
(Cost $140,419,164)** (Notes 1
and 3) 98.56% $176,128,104
Other Assets and Liabilities,
Net 1.44 2,572,804
------- -----------
TOTAL NET ASSETS 100.00% $178,700,908
======= ============
</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 $44,820,092
Gross Unrealized Depreciation (9,111,152)
-----------
NET UNREALIZED APPRECIATION $35,708,940
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
84
<PAGE> 88
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS - 93.31%
143,375 Abbott Laboratories $ 4,601,582 $ 5,985,906
24,285 Advanced Micro Devices+ 621,824 470,522
20,641 Aetna Life & Casualty Co 1,193,878 1,560,976
21,218 Ahmanson (H F) & Co 425,691 482,710
20,219 Air Products & Chemicals Inc 942,313 1,076,662
89,701 Airtouch Communications+ 2,350,853 2,780,731
5,047 Alberto-Culver Co Class B 129,125 178,538
45,628 Albertson's Inc 1,331,297 1,688,236
40,671 Alcan Aluminium Ltd 1,029,463 1,240,466
20,330 Alco Standard Corp 656,127 963,134
8,023 Alexander & Alexander Services 164,524 149,428
11,714 Allergan Inc 305,541 436,347
51,224 Allied Signal Inc 1,952,616 2,849,335
81,324 Allstate Corp 2,315,726 3,486,767
34,245 Alltel Corp 1,033,935 1,138,646
32,036 Aluminum Co of America 1,341,734 1,818,043
14,941 ALZA Corp+ 352,613 496,788
21,361 Amdahl Corp+ 165,942 178,898
16,848 Amerada Hess Corp 834,298 867,672
32,779 American Brands Inc 1,170,070 1,487,347
33,789 American Electric Power Inc 1,129,774 1,448,703
87,808 American Express Corp 2,744,817 4,039,168
37,006 American General Corp 1,132,602 1,346,093
13,402 American Greetings Corp Class A 386,853 366,880
56,630 American Home Products Corp 3,829,772 5,578,055
85,936 American International Group Inc 5,738,247 8,303,566
26,714 American Stores Co 685,595 778,045
100,429 Ameritech Corp 4,315,859 5,787,221
48,196 Amgen Inc+ 1,409,311 2,879,711
90,066 Amoco Corp 5,452,675 6,259,587
39,404 AMP Inc 1,416,676 1,679,596
13,880 AMR Corp+ 891,557 1,217,970
7,026 Andrew Corp+ 227,624 365,352
46,101 Anheuser-Busch Inc 2,489,808 3,106,055
22,176 Apple Computer Inc 765,051 609,840
32,220 Applied Materials Inc+ 1,030,402 1,151,865
95,856 Archer-Daniels-Midland Co 1,497,077 1,845,228
18,945 Armco Inc+ 118,569 106,566
6,736 Armstrong World Industries Inc 323,244 394,898
7,625 ASARCO Inc 210,479 227,797
11,581 Ashland Inc 401,887 424,154
</TABLE>
85
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER SERIES--FEBRUARY 29,
1996
<PAGE> 89
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MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
288,637 AT & T Corp $ 16,171,327 $ 18,364,481
29,163 Atlantic Richfield Corp 3,155,989 3,193,349
8,473 Autodesk Inc 267,800 299,732
52,064 Automatic Data Processing 1,509,969 2,017,480
9,587 Avery Dennison Corp 323,936 516,500
12,271 Avon Products Inc 761,830 986,282
25,464 Baker Hughes Inc 552,573 671,613
5,465 Ball Corp 159,857 163,950
8,404 Bally Entertainment Corp+ 67,614 130,262
26,668 Baltimore Gas & Electric Co 639,508 756,705
82,308 Banc One Corp 2,606,160 2,932,237
20,297 Bank of Boston Corp 626,832 986,942
36,238 Bank of New York Inc 1,338,755 1,879,846
67,071 BankAmerica Corp 3,328,720 4,778,809
14,237 Bankers Trust N Y Corp 971,406 920,066
10,278 Bard (C R) Inc 272,172 368,723
17,569 Barnett Banks Inc 840,520 1,098,063
63,942 Barrick Gold Corp 1,650,825 1,934,246
10,332 Bausch & Lomb Inc 427,605 401,657
50,042 Baxter International Inc 1,478,604 2,289,422
33,708 Bay Networks Inc 1,611,548 1,369,388
11,991 Becton Dickinson & Co 571,616 983,262
79,307 Bell Atlantic Corp 4,507,006 5,244,175
180,162 BellSouth Corp 5,611,654 7,183,960
9,598 Bemis Co Inc 236,675 293,939
9,640 Beneficial Corp 392,285 501,280
20,268 Bethlehem Steel Corp+ 363,386 278,685
17,595 Beverly Enterprises+ 225,301 213,339
20,779 Biomet Inc+ 252,358 394,801
15,516 Black & Decker Corp 371,963 523,665
18,939 Block (H & R) Inc 763,538 669,967
28,390 Boatmen's Bancshares Inc 986,882 1,114,308
62,252 Boeing Co 3,195,959 5,050,194
8,769 Boise Cascade Corp 247,896 309,107
31,522 Boston Scientific Corp+ 891,359 1,513,056
5,381 Briggs & Stratton Corp 187,388 230,710
91,931 Bristol-Myers Squibb Co 5,582,226 7,825,626
3,213 Brown Group Inc 100,673 39,761
12,511 Brown-Forman Corp Class B 386,789 489,493
38,452 Browning-Ferris Industries Inc 1,179,985 1,139,141
17,349 Brunswick Corp 355,714 396,858
</TABLE>
86
<PAGE> 90
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
25,754 Burlington Northern Santa Fe $ 1,403,784 $ 2,060,320
22,878 Burlington Resources Inc 952,273 832,187
12,969 Cabletron Systems Inc+ 727,103 974,296
7,031 Caliber System Inc 356,360 297,060
45,229 Campbell Soup Co 1,905,761 2,792,891
27,891 Carolina Power & Light Co 787,473 1,018,022
13,088 Case Corp 581,224 695,300
35,801 Caterpillar Inc 1,935,335 2,394,192
5,067 Centex Corp 146,208 145,676
37,355 Central & South West Corp 952,431 1,036,601
11,953 Ceridian Corp+ 386,003 513,979
17,419 Champion International Corp 668,810 696,760
18,389 Charming Shoppes Inc 162,158 77,004
32,390 Chase Manhattan Corp 1,370,929 2,413,055
45,310 Chemical Banking Corp Class A 1,999,837 3,245,329
118,231 Chevron Corp 5,412,080 6,576,599
69,325 Chrysler Corp 3,398,305 3,908,197
15,780 Chubb Corp 1,301,512 1,532,633
13,781 CIGNA Corp 1,051,474 1,633,049
6,182 Cincinnati Milacron Inc 148,772 177,733
28,296 Cinergy Corp 681,549 845,343
17,542 Circuit City Stores Inc 450,282 519,682
99,102 Cisco Systems Inc+ 1,980,766 4,707,345
87,731 Citicorp 4,510,948 6,843,018
9,592 Clorox Co 542,720 812,922
18,995 Coastal Corp 567,293 698,066
227,397 Coca-Cola Co 11,544,901 18,362,308
26,349 Colgate-Palmolive Co 1,604,941 2,061,809
9,160 Columbia Gas System Inc+ 276,657 400,750
80,757 Columbia HCA Healthcare Corp 3,412,932 4,421,446
43,422 Comcast Corp Class A 809,829 852,157
20,705 Comerica Inc 776,025 804,907
7,793 Community Psychiatric Centers+ 95,979 72,085
48,226 Compaq Computer Corp+ 1,728,433 2,441,441
43,747 Computer Associates International Inc 1,461,331 3,007,606
10,073 Computer Sciences Corp+ 471,308 735,329
43,077 ConAgra Inc 1,360,143 1,814,619
14,241 Conrail Inc 825,410 1,027,132
42,489 Consolidated Edison Co 1,257,625 1,386,204
7,861 Consolidated Freightways 184,927 192,595
16,915 Consolidated Natural Gas Co 696,494 727,345
</TABLE>
87
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER SERIES--FEBRUARY 29,
1996
<PAGE> 91
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
19,498 Cooper Industries Inc $ 765,006 $ 753,110
15,051 Cooper Tire & Rubber Co 374,866 381,919
6,879 Coors (Adolph) Co Class B 126,254 133,281
25,209 CoreStates Financial Corp 752,586 1,083,987
41,513 Corning Inc 1,348,376 1,349,173
26,379 CPC International Inc 1,388,129 1,826,746
5,399 Crane Co 160,250 218,660
4,572 Cray Research Inc+ 104,677 129,731
22,697 Crown Cork & Seal Co+ 953,361 1,069,596
38,068 CSX Corp 1,485,797 1,708,302
32,326 CUC International Inc+ 899,986 1,046,554
7,270 Cummins Engine Co Inc 312,305 306,249
16,838 Cyprus Amax Minerals 476,056 435,683
18,310 Dana Corp 510,705 553,878
28,665 Darden Restaurants Inc+ 301,862 351,146
6,784 Data General Corp+ 63,009 114,480
13,013 Dayton-Hudson Corp 983,081 967,842
30,581 Dean Witter Discover & Co 1,270,421 1,643,729
47,331 Deere & Co 1,219,506 1,851,825
9,238 Delta Air Lines Inc 515,781 720,564
14,946 Deluxe Corp 455,379 480,140
16,995 Dial Corp 384,325 509,850
27,282 Digital Equipment Corp+ 960,408 1,964,304
20,417 Dillard Department Stores Inc Class A 643,961 638,031
104,889 Disney (Walt) Co 5,364,849 6,870,230
31,380 Dominion Resources Inc 1,230,341 1,239,510
27,771 Donnelley (R R) & Sons Co 871,261 999,756
20,544 Dover Corp 633,329 914,208
47,444 Dow Chemical Co 3,226,828 3,807,381
17,570 Dow Jones & Co Inc 590,977 685,230
32,914 Dresser Industries Inc 734,988 925,706
20,849 DSC Communications Corp+ 629,436 635,895
26,419 DTE Energy Co 769,293 941,177
37,042 Duke Power Co 1,462,655 1,810,428
30,650 Dun & Bradstreet Corp 1,775,479 1,938,613
100,708 DuPont (E I) de Nemours 6,267,212 7,704,162
3,567 Eastern Enterprises 94,731 126,183
14,675 Eastman Chemical Co 764,018 1,056,600
62,005 Eastman Kodak Co 3,190,201 4,433,358
14,082 Eaton Corp 746,491 814,996
10,726 Echlin Inc 338,495 363,343
</TABLE>
88
<PAGE> 92
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
22,801 Echo Bay Mines Ltd $ 257,855 $ 313,514
11,660 Ecolab Inc 269,149 354,173
80,493 Edison International 1,338,420 1,408,628
9,469 EG & G Inc 160,719 226,072
40,750 Emerson Electric Co 2,597,643 3,173,406
26,077 Engelhard Corp 506,332 531,319
45,501 Enron Corp 1,512,093 1,666,474
12,391 Enserch Corp 194,405 187,414
41,191 Entergy Corp 1,156,026 1,168,795
225,189 Exxon Corp 14,663,635 17,902,526
10,179 Federal Express Corp+ 692,892 753,246
32,692 Federal Home Loan Mortgage Corp 2,004,306 2,697,090
197,912 Federal National Mortgage Assoc 4,379,905 6,258,967
8,448 Federal Paper Board Co 259,749 450,912
36,564 Federated Department Stores Inc+ 1,000,780 1,106,061
26,483 First Bank System Inc 1,388,291 1,526,083
58,037 First Chicago NBD Corp 1,797,441 2,517,355
40,399 First Data Corp 2,366,745 2,797,631
13,814 First Interstate Bancorp 1,187,536 2,256,862
50,928 First Union Corp 2,221,699 3,081,144
47,965 Fleet Financial Group Inc 1,606,850 1,972,561
8,247 Fleetwood Enterprises Inc 175,713 221,638
6,813 Fleming Co Inc 185,342 136,260
15,037 Fluor Corp 776,376 1,009,359
6,663 FMC Corp+ 385,579 486,399
194,774 Ford Motor Co 5,683,579 6,086,688
7,294 Foster Wheeler Corp 270,264 320,936
33,436 FPL Group Inc 1,186,252 1,492,082
36,565 Freeport McMoRan Copper & Gold Inc
Class B 997,588 1,192,933
13,721 Fruit of the Loom Inc Class A+ 356,422 348,170
25,316 Gannett Co Inc 1,332,340 1,721,488
26,154 Gap Inc 1,014,392 1,402,508
11,467 General Dynamics Corp 516,638 683,720
302,890 General Electric Co 16,075,553 22,868,195
28,777 General Mills Inc 1,414,205 1,654,678
135,508 General Motors Corp 6,635,509 6,944,785
21,705 General Public Utilities 656,624 724,404
14,894 General Re Corp 1,817,684 2,142,874
8,525 General Signal Corp 291,413 310,097
22,265 Genuine Parts Co 825,943 951,829
</TABLE>
89
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER SERIES--FEBRUARY 29,
1996
<PAGE> 93
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
16,654 Georgia-Pacific Corp $ 1,148,598 $ 1,051,284
10,698 Giant Food Inc Class A 260,411 351,697
6,171 Giddings & Lewis Inc 114,591 103,364
80,486 Gillette Co 2,959,983 4,356,305
10,624 Golden West Financial 446,796 537,840
4,744 Goodrich (B F) Co 232,901 361,137
27,546 Goodyear Tire & Rubber Co 1,079,540 1,308,435
17,593 Grace (W R) & Co 828,292 1,213,917
9,272 Grainger (W W) Inc 579,905 633,973
6,878 Great Atlantic & Pacific Tea Co 172,380 154,755
11,769 Great Lakes Chemical Corp 733,115 841,484
24,731 Great Western Financial Corp 476,510 565,722
175,590 GTE Corp 5,985,782 7,528,421
20,638 Halliburton Co 731,735 1,132,510
5,982 Handleman Co 62,394 29,910
13,142 Harcourt General Inc 486,729 570,034
5,467 Harland (John H) Co 124,515 122,324
8,861 Harnischfeger Industries Inc 241,279 335,610
18,476 Harrah's Entertainment Inc+ 468,990 501,162
7,107 Harris Corp 334,593 472,616
15,787 Hasbro Inc 511,780 544,652
66,771 Heinz (H J) Co 1,687,047 2,270,214
4,457 Helmerich & Payne Inc 128,989 149,310
20,132 Hercules Inc 822,332 1,207,920
14,075 Hershey Foods Corp 699,140 1,060,903
92,796 Hewlett Packard Co 4,858,174 9,349,197
8,770 Hilton Hotels Corp 529,716 822,188
86,336 Home Depot Inc 3,743,290 3,734,032
24,876 Homestake Mining Co 462,587 481,973
22,993 Honeywell Inc 841,797 1,218,629
17,669 Household International Inc 730,227 1,188,240
47,444 Houston Industries Inc 921,105 1,073,421
29,289 Humana Inc+ 816,055 717,581
21,352 Illinois Tool Works Inc 974,923 1,406,563
21,579 Inco Ltd 592,294 687,831
19,754 Ingersoll-Rand Co 715,894 807,445
8,799 Inland Steel Industries Inc 277,327 214,476
149,306 Intel Corp 5,832,210 8,781,059
8,221 Intergraph Corp+ 87,625 152,089
103,077 International Business Machines Corp 7,356,916 12,639,817
20,113 International Flavors & Fragrances 865,934 1,008,164
</TABLE>
90
<PAGE> 94
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
46,136 International Paper Co $ 1,659,703 $ 1,643,595
14,130 Interpublic Group Cos Inc 469,190 595,226
21,172 ITT Corp+ 864,265 1,278,260
21,172 ITT Hartford Group Inc+ 833,428 1,090,358
21,172 ITT Industries Inc 374,629 555,765
14,854 James River Corp 310,706 391,774
12,839 Jefferson-Pilot Corp 464,125 714,169
117,470 Johnson & Johnson 6,291,785 10,983,445
7,403 Johnson Controls Inc 397,836 531,165
6,918 Jostens Inc 128,460 157,385
83,025 K Mart Corp 1,316,171 581,175
5,774 Kaufman & Broad Home Corp 89,892 88,775
39,410 Kellogg Co 2,312,345 2,975,455
9,364 Kerr-McGee Corp 471,882 558,329
42,826 KeyCorp 1,371,921 1,611,328
50,507 Kimberly-Clark Corp 2,510,495 3,857,472
6,689 King World Productions+ 259,077 280,102
8,919 Knight-Ridder Inc 494,709 617,641
22,365 Kroger Co+ 588,325 830,301
53,049 Laidlaw Inc Class B 477,636 517,228
100,000 Lilly (Eli) & Co 3,282,861 6,050,000
64,684 Limited Inc 1,241,104 1,131,970
18,853 Lincoln National Corp 799,617 1,036,915
13,463 Liz Claiborne Inc 319,930 422,402
36,271 Lockheed Martin Corp 1,829,039 2,765,664
21,314 Loews Corp 1,261,898 1,811,690
3,629 Longs Drug Stores Corp 128,153 163,305
31,190 Loral Corp 669,279 1,469,829
5,961 Louisiana Land & Exploration Co 245,999 248,872
19,455 Louisiana-Pacific Corp 591,203 449,897
29,050 Lowe's Co Inc 934,925 900,550
23,115 LSI Logic Corp+ 841,067 638,552
4,274 Luby's Cafeterias Inc 95,646 88,686
13,945 Mallinckrodt Group Inc 460,526 547,341
11,363 Manor Care Inc 312,491 436,055
22,652 Marriott International 686,975 1,112,780
13,280 Marsh & McLennan Companies Inc 1,122,635 1,289,820
29,016 Masco Corp 815,020 826,956
39,903 Mattel Inc 908,704 1,326,775
45,071 May Co Department Stores Co 1,814,210 2,101,435
19,407 Maytag Corp 343,025 380,862
</TABLE>
91
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER SERIES--FEBRUARY 29,
1996
<PAGE> 95
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
40,252 MBNA Corp $ 730,981 $ 1,137,119
9,819 McDermott International Inc 240,519 189,016
125,869 McDonald's Corp 4,048,097 6,293,450
20,336 McDonnell Douglas Corp 1,019,708 1,794,652
9,107 McGraw-Hill Inc 650,913 795,724
122,865 MCI Communications 2,950,429 3,593,801
9,711 Mead Corp 466,984 485,550
41,888 Medtronic Inc 1,185,738 2,403,324
25,556 Mellon Bank Corp 1,029,003 1,427,942
19,038 Melville Corp 723,875 606,836
6,713 Mercantile Stores Co Inc 261,790 351,593
224,005 Merck & Co Inc 8,653,747 14,840,331
4,945 Meredith Corp 123,127 216,962
31,760 Merrill Lynch & Co Inc 1,368,200 1,830,170
37,345 Micron Technology Inc 1,081,194 1,195,040
107,404 Microsoft Corp+ 7,028,106 10,599,432
8,112 Millipore Corp 221,798 359,970
76,047 Minnesota Mining & Manufacturing Co 4,148,141 4,952,561
71,742 Mobil Corp 6,249,738 7,864,717
20,853 Monsanto Co 1,709,749 2,807,335
17,970 Moore Corp Ltd 333,188 352,661
34,036 Morgan (J P) & Co Inc 2,294,919 2,786,698
28,062 Morgan Stanley Group 1,383,866 1,315,406
26,878 Morton International Inc 784,039 1,018,004
106,972 Motorola Inc 5,754,107 5,803,231
1,648 NACCO Industries Inc Class A 89,349 91,876
12,142 Nalco Chemical Co 401,453 385,509
26,645 National City Corp 761,915 925,914
24,466 National Semiconductor+ 481,714 382,281
8,746 National Service Industries Inc 240,024 305,017
53,582 NationsBank 2,980,432 3,951,673
13,377 Navistar International Corp+ 219,063 135,442
17,393 New York Times Co Class A 437,852 478,308
28,702 Newell Co 635,397 796,481
17,055 Newmont Mining Corp 730,504 970,003
26,022 Niagara Mohawk Power Corp 420,076 195,165
9,158 NICOR Inc 242,710 246,121
25,814 Nike Inc Class B 906,310 1,674,683
22,455 NorAm Energy Corp 158,763 202,095
14,834 Nordstrom Inc 596,155 669,384
23,449 Norfolk Southern Corp 1,563,720 1,911,094
</TABLE>
92
<PAGE> 96
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
12,238 Northern States Power Co $ 534,528 $ 602,722
46,011 Northern Telecom Ltd 1,503,087 2,185,523
8,970 Northrop Grumman Corp 402,224 553,898
63,853 Norwest Corp 1,777,001 2,330,635
66,906 Novell Inc+ 1,238,622 815,417
15,805 Nucor Corp 917,226 851,494
77,467 NYNEX Corp 3,214,986 3,989,551
57,482 Occidental Petroleum Corp 1,176,383 1,322,086
8,842 Ogden Corp 199,487 188,998
27,519 Ohio Edison Co 566,687 653,576
4,852 ONEOK Inc 97,631 105,531
78,836 Oracle Systems Corp+ 2,281,273 4,099,472
18,836 Oryx Energy Co+ 293,840 242,514
3,568 Outboard Marine Corp 72,839 72,252
9,220 Owens Corning Fiberglass Corp+ 340,595 374,563
7,062 PACCAR Inc 345,645 333,680
15,232 Pacific Enterprises 347,772 407,456
76,762 Pacific Gas & Electric Co 2,099,845 1,967,026
77,486 Pacific Telesis Group 2,346,141 2,188,980
51,414 PacifiCorp 938,888 1,066,841
20,617 Pall Corp 381,716 561,813
27,046 Panhandle Eastern Corp 618,802 774,192
13,295 Parker Hannifin Corp 395,704 466,987
40,103 PECO Energy Co 1,116,590 1,132,910
40,968 Penney (J C) Co Inc 2,025,352 1,945,980
8,350 Pennzoil Co 425,002 319,388
6,392 Peoples Energy Corp 177,988 196,554
11,222 Pep Boys-Manny Moe & Jack 327,608 336,660
142,826 Pepsico Inc 5,581,671 9,033,745
7,637 Perkin-Elmer Corp 248,814 351,302
115,040 Pfizer Inc 4,426,058 7,578,260
91,338 Pharmacia and Upjohn Inc+ 2,737,538 3,824,779
12,493 Phelps Dodge Corp 710,453 763,635
152,266 Philip Morris Co Inc 9,272,470 15,074,334
47,422 Phillips Petroleum Co 1,544,410 1,659,770
15,108 Pioneer Hi Bred International Inc 572,252 813,944
27,434 Pitney Bowes Inc 1,085,197 1,323,691
43,153 Placer Dome Inc 984,620 1,219,072
61,882 PNC Bank Corp 1,837,379 1,895,136
8,159 Polaroid Corp 293,477 358,996
5,248 Potlatch Corp 213,094 215,824
</TABLE>
93
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER SERIES--FEBRUARY 29,
1996
<PAGE> 97
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
28,793 PP & L Resources Inc $ 744,698 $ 716,226
35,453 PPG Industries Inc 1,399,681 1,644,133
25,329 Praxair Inc 562,955 873,851
11,353 Premark International Inc 467,158 594,613
35,232 Price/Costco Inc+ 570,565 607,752
124,471 Procter & Gamble Co 7,648,718 10,206,622
17,259 Providian Corp 599,307 798,229
44,312 Public Services Enterprise Group 1,268,316 1,246,275
4,846 Pulte Corp 129,752 144,774
24,314 Quaker Oats Co 858,043 835,794
19,233 Ralston-Purina Group 841,973 1,288,611
7,937 Raychem Corp 318,126 514,913
43,854 Raytheon Co 1,528,334 2,198,182
14,148 Reebok International Ltd 451,873 373,154
10,156 Republic New York Corp 597,838 608,091
11,489 Reynolds Metals Co 585,035 593,120
15,084 Rite Aid Corp 337,364 475,146
39,288 Rockwell International Corp 1,557,768 2,239,416
12,200 Rohm & Haas Co 727,533 849,425
15,311 Rowan Co Inc+ 126,924 166,507
97,224 Royal Dutch Petroleum Co 10,869,364 13,392,606
28,398 Rubbermaid Inc 798,621 798,694
7,070 Russell Corp 204,859 197,960
9,451 Ryan's Family Steak House+ 70,773 62,613
14,300 Ryder System Inc 359,954 359,288
22,774 SAFECO Corp 667,512 825,558
10,401 Safety-Kleen Corp 166,341 150,815
19,278 Salomon Inc 828,577 734,974
16,330 Santa Fe Energy Resources Inc+ 153,146 151,053
23,788 Santa Fe Pacific Gold Corp 354,463 371,688
87,767 Sara Lee Corp 2,181,452 2,841,457
110,516 SBC Communication Inc 4,901,807 6,064,566
66,680 Schering-Plough Corp 2,473,501 3,742,415
43,846 Schlumberger Ltd 2,699,657 3,195,277
13,905 Scientific-Atlanta Inc 252,571 232,909
67,458 Seagram Co Ltd 2,077,642 2,318,869
70,645 Sears Roebuck & Co 2,038,724 3,205,517
20,575 Service Corp International 632,090 933,591
4,181 Shared Medical System Corp 127,210 233,091
15,386 Sherwin Williams Co 519,072 651,982
7,460 Shoney's Inc+ 112,804 62,478
</TABLE>
94
<PAGE> 98
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
9,083 Sigma-Aldrich Corp $ 365,331 $ 520,002
29,206 Silicon Graphics Inc+ 1,004,195 730,150
7,297 Snap-On Inc 277,537 326,541
15,552 Sonat Inc 491,448 520,992
120,608 Southern Co 2,491,463 2,879,516
25,895 Southwest Airlines Co 694,182 796,271
3,623 Springs Industries Inc Class A 130,719 156,695
63,242 Sprint Corp 2,251,055 2,719,406
12,685 St Jude Medical Inc+ 332,363 478,859
15,262 St Paul Co Inc 679,220 864,211
8,038 Stanley Works 334,178 454,147
17,252 Stone Container Corp+ 274,903 237,215
8,977 Stride Rite Corp 114,556 72,938
13,744 Sun Co Inc 395,572 400,294
34,428 Sun Microsystems Inc+ 634,963 1,807,470
20,654 SunTrust Banks Inc 1,074,162 1,484,506
12,273 Super Value Inc 373,215 395,804
32,963 Sysco Corp 860,438 1,083,659
21,131 Tandem Computers Inc+ 273,919 203,386
11,776 Tandy Corp 507,444 515,200
5,959 Tektronix Inc 216,391 270,390
118,097 Tele-Communication Inc Class A+ 2,036,535 2,480,037
10,028 Teledyne Inc 202,905 282,038
96 Teledyne Inc Preferred Class E 1,420 1,444
15,952 Tellabs Inc+ 749,623 753,732
10,164 Temple-Inland Inc 482,510 409,101
36,206 Tenet Healthcare Corp+ 564,603 810,109
32,482 Tenneco Inc 1,562,526 1,814,932
47,879 Texaco Inc 3,135,930 3,818,350
34,132 Texas Instruments Inc 1,562,077 1,702,334
40,844 Texas Utilities Co 1,475,944 1,649,077
15,337 Textron Inc 886,677 1,207,789
29,405 3Com Corp 1,369,323 1,437,169
3,577 Thomas & Betts Corp 234,556 257,544
70,046 Time Warner Inc 2,673,217 2,994,467
20,285 Times Mirror Co Class A 477,784 689,690
5,575 Timken Co 201,763 250,875
13,008 TJX Companies Inc 276,946 289,428
12,954 Torchmark Corp 550,745 600,742
49,628 Toys R Us Inc+ 1,625,138 1,184,869
12,366 Transamerica Corp 697,597 932,087
</TABLE>
95
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER SERIES--FEBRUARY 29,
1996
<PAGE> 99
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
57,907 Travelers Inc $ 2,306,910 $ 3,872,531
11,749 Tribune Co 672,649 784,246
5,246 Trinova Corp 177,831 158,036
11,906 TRW Inc 830,689 1,031,357
27,594 Tyco International Inc 709,102 996,833
27,391 U.S. Bancorp 817,586 845,697
27,712 U.S. Healthcare Inc 1,130,397 1,350,960
6,286 U.S. Life Corp 160,615 190,152
85,350 U.S. West Inc 2,207,792 2,795,213
85,250 U.S. West Media Group+ 1,485,965 1,779,594
38,916 Unicom Corp 1,012,318 1,245,312
29,049 Unilever NV 3,316,000 3,907,091
12,650 Union Camp Corp 603,459 589,806
24,851 Union Carbide Corp 737,306 1,118,295
18,416 Union Electric Co 670,703 778,076
37,184 Union Pacific Corp 2,195,524 2,454,144
30,998 Unisys Corp+ 307,368 189,863
31,605 United Healthcare Corp 1,500,468 2,062,226
10,323 United States Surgical 241,417 292,915
22,123 United Technologies Corp 1,528,824 2,378,223
44,730 Unocal Corp 1,282,483 1,341,900
13,183 UNUM Corp 661,029 776,149
11,228 USAir Group Inc+ 109,644 189,473
20,205 USF & G Corp 305,360 303,075
35,084 UST Inc 996,311 1,245,482
51,988 USX -- Marathon Group 939,195 961,778
14,992 USX -- US Steel Group 524,322 490,988
7,428 Varity Corp+ 282,998 280,407
11,617 VF Corp 576,573 624,414
65,460 Viacom Inc Class B+ 2,707,161 2,569,305
30,789 Wachovia Corp 1,120,280 1,431,689
416,315 Wal Mart Stores Inc 10,355,136 8,846,694
44,560 Walgreen Co 978,614 1,470,480
24,502 Warner Lambert Co 1,831,278 2,422,635
8,768 Wells Fargo & Co 1,405,369 2,162,408
21,523 Wendy's International Inc 373,208 390,104
9,592 Western Atlas Inc+ 428,071 504,779
75,156 Westinghouse Electric Corp 1,075,149 1,390,386
18,313 Westvaco Corp 444,114 531,077
36,805 Weyerhaeuser Co 1,568,625 1,559,612
13,295 Whirlpool Corp 735,527 739,534
</TABLE>
96
<PAGE> 100
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C>
COMMON STOCKS (CONTINUED)
18,978 Whitman Corp $ 323,200 $ 441,239
9,979 Willamette Industries Inc 669,798 523,898
18,291 Williams Co Inc 580,321 868,823
27,196 Winn-Dixie Stores Inc 722,503 931,463
87,693 WMX Technologies Inc 2,513,175 2,499,251
23,933 Woolworth Corp 423,362 287,196
16,428 Worthington Industries Inc 327,531 353,202
20,958 Wrigley (Wm) Jr Co 959,984 1,231,283
19,532 Xerox Corp 2,044,168 2,544,043
5,032 Yellow Corp 91,296 55,667
------------ ------------
TOTAL COMMON STOCKS $673,105,575 $868,082,377
</TABLE>
97
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER SERIES--FEBRUARY 29,
1996
<PAGE> 101
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
SHARES SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS-6.90%
$13,364,000 U.S. Treasury Bills* 4.97% 03/07/96 $ 13,351,432
4,795,000 U.S. Treasury Bills* 5.01 03/14/96 4,786,089
1,825,000 U.S. Treasury Bills* 4.68 03/28/96 1,818,299
364,000 U.S. Treasury Bills* 4.92 04/11/96 362,073
4,459,000 U.S. Treasury Bills* 5.12 04/18/96 4,428,763
26,193,000 U.S. Treasury Bills* 5.02 05/02/96 25,972,376
13,680,000 U.S. Treasury Bills* 4.99 05/23/96 13,526,073
TOTAL SHORT-TERM INSTRUMENTS $ 64,245,105
(Cost $64,250,640)
TOTAL INVESTMENT IN SECURITIES
(Cost $737,356,215)**(Notes 1 and 3) 100.21 % $932,327,482
Other Assets and Liabilities,
Net (0.21) (1,994,420)
------- ------------
TOTAL NET ASSETS 100.00 % $930,333,062
======= ============
</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.
** Cost for income tax purposes is the same as for financial statement purposes
and net unrealized appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $201,407,835
Gross Unrealized Depreciation (6,436,568)
------------
NET UNREALIZED APPRECIATION $194,971,267
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
98
<PAGE> 102
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE
TERM MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-28.12%
CORPORATE NOTES - 19.99%
$ 500,000 Associates Corp of North
America 6.01% 02/07/03 $ 486,750
250,000 BankAmerica Corp 8.38 03/15/02 273,483
500,000 Comdisco Inc 7.25 04/15/98 513,130
250,000 First Union Bank 6.75 01/15/98 253,238
250,000 Ford Holdings 9.25 07/15/97 261,410
250,000 NBD Bancorp Inc 6.55 06/02/97 253,108
198,000 Sears Roebuck & Co 9.25 08/01/97 207,122
500,000 Bank of New York 6.63 06/15/03 499,900
-----------
$ 2,748,141
YANKEE BONDS - 8.13%
$ 500,000 National Westminster Bank
Plc 9.38% 11/15/03 $ 580,790
500,000 Westpac Banking 7.88 10/15/02 537,315
-----------
$ 1,118,105
TOTAL CORPORATE BONDS & NOTES $ 3,866,246
(Cost $3,877,690)
U.S. GOVERNMENT AGENCY SECURITIES-16.65%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 16.65%
$ 840,002 Federal National Mortgage
Assoc 7.00% 06/01/09 $ 844,983
1,462,481 Federal National Mortgage
Assoc 7.00 12/12/25 1,445,107
-----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 2,290,090
(Cost $2,290,389)
U.S. TREASURY SECURITIES-49.46%
U.S. TREASURY BONDS - 19.26%
$ 2,000,000 U.S. Treasury Bonds 10.75% 08/15/05 $ 2,647,820
U.S. TREASURY NOTES - 30.20%
$ 4,000,000 U.S. Treasury Notes 6.88% 07/31/99 $ 4,153,120
-----------
TOTAL U.S. TREASURY SECURITIES $ 6,800,940
(Cost $6,694,921)
</TABLE>
99
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE TERM MASTER
SERIES--FEBRUARY 29, 1996
<PAGE> 103
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE
TERM MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS-5.62%
REPURCHASE AGREEMENTS - 2.04%
$ 280,000 Goldman Sachs Pooled
Repurchase Agreement - 102%
Collateralized by U.S.
Government Securities 5.40% 03/01/96 $ 280,000
SHORT-TERM FEDERAL AGENCIES - 3.58%
$ 500,000 Federal Home Loan Bank 4.87% 06/07/96 $ 493,304
-----------
TOTAL SHORT-TERM INSTRUMENTS $ 773,304
(Cost $773,371)
TOTAL INVESTMENTS IN SECURITIES
(Cost $13,636,371)* (Notes 1
and 3) 99.85% $13,730,580
Other Assets and Liabilities,
Net 0.15 20,479
------- -----------
TOTAL NET ASSETS 100.00% $13,751,059
======= ===========
</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 $ 210,436
Gross Unrealized Depreciation (116,227)
---------
NET UNREALIZED APPRECIATION $ 94,209
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
100
<PAGE> 104
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER SERIES--FEBRUARY 29, 1996
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-20.77%
U.S. TREASURY BONDS - 20.77%
$ 1,500,000 U.S. Treasury Bonds 7.25% 05/15/16 $ 1,607,813
800,000 U.S. Treasury Bonds 8.75 05/15/17 992,500
100,000 U.S. Treasury Bonds 9.00 11/15/18 127,594
700,000 U.S. Treasury Bonds 8.13 08/15/19 822,718
100,000 U.S. Treasury Bonds 8.75 08/15/20 125,188
3,100,000 U.S. Treasury Bonds 7.88 02/15/21 3,555,313
400,000 U.S. Treasury Bonds 8.13 08/15/21 471,374
600,000 U.S. Treasury Bonds 7.63 11/15/22 672,562
1,500,000 U.S. Treasury Bonds 7.13 02/15/23 1,590,467
500,000 U.S. Treasury Bonds 7.50 11/15/24 556,875
200,000 U.S. Treasury Bonds 6.88 08/15/25 208,437
-----------
TOTAL U.S. TREASURY SECURITIES $10,730,841
(Cost $10,483,358)
SHORT-TERM INSTRUMENTS-79.50%
U.S. TREASURY
BILLS - 79.50%
$ 18,298,000 U.S. Treasury Bills 4.97%* 03/07/96 $18,280,791
20,000 U.S. Treasury Bills 5.01* 03/14/96 19,963
15,048,000 U.S. Treasury Bills 4.98* 04/04/96 14,978,650
6,144,000 U.S. Treasury Bills 4.99* 05/23/96 6,074,868
1,677,000 U.S. Treasury Bills 5.02* 05/02/96 1,662,872
50,000 U.S. Treasury Bills 5.12* 04/18/96 49,658
-----------
TOTAL SHORT-TERM
INSTRUMENTS $41,066,802
(Cost $41,067,834)
TOTAL INVESTMENT IN SECURITIES
(Cost $51,551,192)** (Notes 1 and 3) 100.27% $51,797,643
Other Assets and Liabilities,
Net (0.27) (141,996)
------- -----------
TOTAL NET ASSETS 100.00% $51,655,647
======= ===========
</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 $ 252,038
Gross Unrealized Depreciation (5,587)
---------
NET UNREALIZED APPRECIATION $ 246,451
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
101
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION MASTER
SERIES--FEBRUARY 29, 1996
<PAGE> 105
STATEMENT OF ASSETS & LIABILITIES
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Series Master Series
- -------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) (Note 1) $397,639,721 $150,875,045
Cash 433,044 3,628
RECEIVABLES:
Dividends and interest 1,461,092 1,797,591
Investment securities sold 0 0
Prepaid expenses 0 3,158
TOTAL ASSETS 399,533,857 152,679,422
LIABILITIES
PAYABLES:
Variation margin on futures
contracts 0 0
Investment securities purchased 0 0
Allocation to beneficial interest
holders 1,213,953 814,031
Due to BGI (Note 2) 223,729 20,123
Other 1,945 20,800
TOTAL LIABILITIES 1,439,627 854,954
TOTAL NET ASSETS $398,094,230 $151,824,468
INVESTMENTS AT COST $339,385,928 $147,222,102
- -------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
102
<PAGE> 106
<TABLE>
<CAPTION>
Managed Series Master
Managed Series Master Investment Trust Investment Portfolio
Investment Trust Investment Portfolio Short-Intermediate U.S. Treasury
Growth Stock S&P 500 Index Term Allocation
Master Series Master Series Master Series Master Series
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
$176,128,104 $932,327,482 $13,730,580 $51,797,643
1,433 1,529,803 1,407 731
112,858 2,071,050 114,402 98,737
4,575,629 0 0 0
24,808 8,631 0 0
180,842,832 935,936,966 13,846,389 51,897,111
0 529,200 0 0
1,978,163 1,314,220 0 0
0 3,678,177 68,841 215,602
157,422 73,598 9,924 25,862
6,339 8,709 16,565 0
2,141,924 5,603,904 95,330 241,464
$178,700,908 $930,333,062 $13,751,059 $51,655,647
$140,419,164 $737,356,215 $13,636,371 $51,551,192
- -----------------------------------------------------------------------------------------
</TABLE>
103
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 29, 1996
<PAGE> 107
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 29, 1996
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Series Master Series
- -------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 4,347,806 $ 0
Interest 10,936,314 9,085,873
TOTAL INVESTMENT INCOME 15,284,120 9,085,873
EXPENSES (NOTE 2)
Advisory fees 1,222,672 111,488
Legal and audit 0 20,076
Portfolio pricing 1,946 7,913
TOTAL EXPENSES 1,224,618 139,477
LESS:
Waived fees by BGI (Note 2) (1,941) (7,652)
NET EXPENSES 1,222,677 131,825
NET INVESTMENT INCOME 14,061,443 8,954,048
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on sale of
investments 253,539 3,231
Net realized gain on sale of futures
contracts 0 0
Net change in unrealized
appreciation of investments 58,633,860 4,901,229
Net change in unrealized
appreciation of futures contracts 0 0
NET GAIN ON INVESTMENTS 58,887,399 4,904,460
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $72,948,842 $13,858,508
- -------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
104
<PAGE> 108
<TABLE>
<CAPTION>
Managed Series Master
Managed Series Master Investment Trust Investment Portfolio
Investment Trust Investment Portfolio Short-Intermediate U.S. Treasury
Growth Stock S&P 500 Index Term Allocation
Master Series Master Series Master Series Master Series
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 253,459 $ 15,917,444 $ 0 $ 0
648,253 3,403,021 954,445 3,676,061
901,712 19,320,465 954,445 3,676,061
827,021 353,441 57,383 178,520
32,334 21,290 21,388 0
2,704 6,602 1,874 0
862,059 381,333 80,645 178,520
(31,273) (15,311) (12,494) 0
830,786 366,022 68,151 178,520
70,926 18,954,443 886,294 3,497,541
14,846,540 3,991,955 215,150 1,744,912
0 14,859,148 0 0
30,335,380 165,144,303 87,131 691,856
0 654,200 0 0
45,181,920 184,649,606 302,281 2,436,768
$45,252,846 $203,604,049 $1,188,575 $5,934,309
- -----------------------------------------------------------------------------------------
</TABLE>
105
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 29, 1996
<PAGE> 109
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
Asset Allocation Master Series
---------------------------------------
For the
Period From
May 26, 1994
For the (commencement
Year Ended of operations) to
February 29, 1996 February 28, 1995
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 14,061,443 $ 9,844,287
Net realized gain (loss) on sale of
investments 253,539 292,999
Net realized gain on sale of futures
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments 58,633,860 (380,068)
Net change in unrealized appreciation
of futures contracts 0 0
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 72,948,842 9,757,218
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 31,401,295 283,986,875
INCREASE (DECREASE) IN NET ASSETS 104,350,137 293,744,093
NET ASSETS:
Beginning net assets $293,744,093 $ 0
ENDING NET ASSETS $398,094,230 $293,744,093
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
106
<PAGE> 110
<TABLE>
<CAPTION>
Master Investment Portfolio Managed Series Investment Trust
Bond Index Master Series Growth Stock Master Series
- --------------------------------------- ---------------------------------------
For the For the
Period From Period From
May 26, 1994 May 26, 1994
For the (commencement For the (commencement
Year Ended of operations) to Year Ended of operations) to
February 29, 1996 February 28, 1995 February 29, 1996 February 28, 1995
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 8,954,048 $ 4,037,719 $ 70,926 $ 89,980
3,231 (498,410) 14,846,540 2,269,409
0 0 0 0
4,901,229 (1,248,285) 30,335,380 5,373,560
0 0 0 0
13,858,508 2,291,024 45,252,846 7,732,949
29,957,480 105,717,456 36,564,808 89,150,305
43,815,988 108,008,480 81,817,654 96,883,254
$108,008,480 $ 0 $ 96,883,254 $ 0
$151,824,468 $108,008,480 $178,700,908 $96,883,254
- -----------------------------------------------------------------------------------
</TABLE>
107
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 111
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
S&P 500 Index Master Series
---------------------------------------
For the
Period From
May 26, 1994
For the (commencement
Year Ended of operations) to
February 29, 1996 February 28, 1995
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 18,954,443 $ 8,827,173
Net realized gain (loss) on sale of
investments 3,991,955 2,143,795
Net realized gain on sale of futures
contracts 14,859,148 158,998
Net change in unrealized appreciation
(depreciation) of investments 165,144,303 28,609,290
Net change in unrealized appreciation
of futures contracts 654,200 1,217,675
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 203,604,049 40,956,931
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 241,123,639 444,648,443
INCREASE (DECREASE) IN NET ASSETS 444,727,688 485,605,374
NET ASSETS:
Beginning net assets $485,605,374 $ 0
ENDING NET ASSETS $930,333,062 $485,605,374
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
108
<PAGE> 112
<TABLE>
<CAPTION>
Managed Series Investment Trust Master Investment Portfolio
Short-Intermediate Term U.S. Treasury Allocation
Master Series Master Series
- --------------------------------------- ----------------------------------------
For the For the
Period From Period From
May 26, 1994 May 26, 1994
For the (commencement For the (commencement
Year Ended of operations) to Year Ended of operations) to
February 29, 1996 February 28, 1995 February 29, 1996 February 28, 1995
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 886,294 $ 434,074 $ 3,497,541 $ 2,996,075
215,150 (267,700) 1,744,912 (2,077,444)
0 0 0 0
87,131 7,078 691,856 (445,406)
0 0 0 0
1,188,575 173,452 5,934,309 473,225
(1,727,529) 14,116,561 (11,140,176) 56,388,289
(538,954) 14,290,013 (5,205,867) 56,861,514
$14,290,013 $ 0 $56,861,514 $ 0
$13,751,059 $14,290,013 $51,655,647 $56,861,514
- ------------------------------------------------------------------------------------
</TABLE>
109
STATEMENTS OF CHANGES IN NET ASSETS
<PAGE> 113
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Master Investment Portfolio ("Master Portfolio") is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end
management investment company. Master Portfolio was organized on October 21,
1993 as a Delaware business trust pursuant to an Agreement and Declaration of
Trust dated May 14, 1993 and had no operations prior to May 26, 1994. Master
Portfolio is currently authorized to issue fourteen separate diversified
portfolios (the "Master Series"), of which the following have commenced
operations: LifePath 2000 Master Series, LifePath 2010 Master Series, LifePath
2020 Master Series, LifePath 2030 Master Series, LifePath 2040 Master Series,
Asset Allocation Master Series, Bond Index Master Series, S&P 500 Index Master
Series and U.S. Treasury Allocation Master Series.
These Master Series 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 Master Portfolio in
the preparation of its financial statements, and such policies are in conformity
with generally accepted accounting principles for investment companies. The
financial statements for each of the LifePath Master Series are presented
separately.
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 Series 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.
110
<PAGE> 114
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
Debt securities, other than those maturing in 60 days or less, are valued at the
latest quoted bid price. Any securities, restricted securities or other assets
for which recent market quotations are not readily available, are valued at fair
value as determined in good faith in accordance with policies approved by the
Master Portfolio's Board of Trustees.
SECURITY TRANSACTIONS AND REVENUE RECOGNITION
Securities transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-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 Series of the Master Portfolio intends to qualify for federal
income tax purposes as a partnership. Each Master Series therefore believes that
it will not be subject to any federal income tax on its income and net realized
capital gains (if any). However, each investor in a Master Series 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
Series' assets, income and allocations will be managed in such a way that a
regulated investment company investing in a Master Series will be able to
satisfy the requirements of Subchapter M of the Code, assuming that an
investment company invested all of its assets in a Master Series.
FUTURES CONTRACTS
The S&P 500 Index Master Series may purchase futures contracts to gain
exposure to market changes as this may be more efficient or cost effective than
actually buying the securities. A futures contract is an agreement between two
parties to buy and sell a security at a set price on a future date and is
exchange traded. Upon entering into such a contract, the S&P 500 Index Master
Series is required to pledge to the broker an amount of cash, U.S. government
securities or other high-quality debt securities equal to the minimum "initial
margin" requirements of the exchange. Pursuant to the contract, the Master
Series agrees to receive
111
<PAGE> 115
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
from or pay to the broker an amount of cash equal to the daily fluctuation in
the value of the contract. Such receipts or payments are known as "variation
margin" and are recorded by the Master Series as unrealized gains or losses.
When the contract is closed, the Master Series records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. Pursuant to regulations and/or
published positions of the Securities and Exchange Commission, the S&P 500 Index
Master Series is required to segregate cash or high quality, liquid debt
instruments in connection with futures transactions in an amount generally equal
to the entire value of the underlying contracts. Risks of entering into futures
contracts include the possibility that there may be an illiquid market and that
a change in the value of the contract may not correlate with changes in the
value of the underlying securities. As of February 29, 1996, the S&P 500 Index
Master Series had the following open futures contracts:
<TABLE>
<CAPTION>
Notional Net
Expiration Contract Unrealized
Number of Contracts Type Date Value Appreciation
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
196 S&P 500 Index June 1996 $63,136,500 $654,200
</TABLE>
The S&P 500 Index Master Series has pledged to brokers U.S. Treasury Bills
for initial margin requirements with a par value of $2,065,000.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Prior to January 1, 1996 Wells Fargo Bank, N.A. ("WFB") served as
investment adviser to each Master Series. WFB had provided investment guidance
and policy direction in connection with daily portfolio management of each
Master Series. For the Asset Allocation Master Series, the Bond Index Master
Series, the S&P 500 Index Master Series, and the U.S. Treasury Allocation Master
Series, WFB 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 Series.
Effective January 1, 1996, BZW Barclays Global Fund Advisors ("BGFA")
replaced WFB as investment adviser to each of the Asset Allocation, Bond Index,
S&P 500 Index and U.S. Treasury Allocation Master Series of Master Investment
Portfolio. BGFA was created by the reorganization of Wells Fargo Nikko
Investment Advisors ("WFNIA"), the former sub-adviser to each Master Series,
with and into an affiliate of Wells
112
<PAGE> 116
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
Fargo Institutional Trust Company, N.A. ("WFITC"). Pursuant to an Investment
Advisory Contract with each Master Series, BGFA provides investment guidance and
policy direction in connection with the management of each Master Series'
assets. The same WFNIA investment professionals that were previously responsible
for the day-to-day management of each Master Series' investment portfolio will
continue to manage each Master Series' investment portfolio using the approach
developed by WFNIA. BGFA is entitled to receive from WFB 0.35%, 0.08%, 0.05% and
0.30% of the average daily net assets of the Asset Allocation, Bond Index, S&P
500 Index and U.S. Treasury Allocation Master Series, respectively, as
compensation for its advisory services to such Master Series. Effective January
1, 1996, each Master Series no longer retains a sub-investment adviser. BGFA is
an indirect subsidiary of Barclays Bank PLC.
Prior to January 1, 1996, WFNIA served as sub-adviser to the Asset
Allocation, Bond Index, S&P 500 Index and U.S. Treasury Allocation Master
Portfolios. Pursuant to Sub-Advisory Agreements, WFNIA, subject to the
supervision and approval of WFB, provided investment advisory assistance and the
day-to-day management of each Master Series' assets, subject to the overall
authority of the Master Portfolio's Board of Trustees. For providing these
services, WFNIA was compensated by WFB.
Effective January 1, 1996, WFITC, due to a change in control of its
outstanding voting securities, became a wholly owned subsidiary of BZW Barclays
Global Investors Holdings Inc. (formerly, The Nikko Building U.S.A., Inc.) and
was renamed BZW Barclays Global Investors, N.A. ("BGI"). BGI currently acts as
custodian to each of the Asset Allocation, Bond Index, 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 Series.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the administrator, sponsor and distributor for
the Master Series, has paid all expenses in connection with the Master Series'
organization and initial registration. Pursuant to the Administration Agreement,
Stephens has agreed to assume all operating expenses of the Asset Allocation
Master Series and the U.S. Treasury Allocation Master Series, except for
advisory fees, interest, brokerage fees and commissions, if any, costs of
independent pricing services and any extraordinary expenses.
113
<PAGE> 117
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
Certain fees have been waived by WFB or BGI for the Master Series, with the
exception of U.S. Treasury Allocation Master Series, for the year ended February
29, 1996. Waived fees continue at the discretion of BGI.
Certain officers and directors of the Master Portfolio are also officers of
Stephens. As of February 29, 1996, these officers of Stephens collectively owned
less than 1% of the Master Series' outstanding beneficial interests.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Series for the year ended February 29, 1996 are as follows:
<TABLE>
<CAPTION>
S&P 500
Asset Index U.S. Treasury
Aggregate Purchases Allocation Bond Index Master Allocation
and Sales of: Master Series Master Series Series Master Series
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT
OBLIGATIONS:
Purchases at cost $ 25,730,797 $44,575,284 $ 0 $ 79,961,753
Sales proceeds 130,770,299 18,452,377 0 126,454,553
OTHER SECURITIES:
Purchases at cost 80,179,199 20,836,793 254,945,259 0
Sales proceeds 6,963,789 8,160,046 14,883,515 0
</TABLE>
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the
Master Series are as follows:
<TABLE>
<CAPTION>
For the
Period From
May 26, 1994
(commencement
For the of operations)
Year Ended to
February 29, February 28,
1996 1995
- -----------------------------------------------------------------------
<S> <C> <C>
Asset Allocation Master Series 40% 23%
Bond Index Master Series 21% 37%
S&P 500 Index Master Series 2% 5%
U.S. Treasury Allocation Master
Series 325% 87%
</TABLE>
114
<PAGE> 118
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
5. ORGANIZATION OF THE MASTER SERIES
At a special meeting held January 31, 1994, the shareholders of the Asset
Allocation Fund, Bond Index Fund, S&P 500 Stock Fund and U.S. Treasury
Allocation Fund (the "Funds") approved the reorganization of certain funds into
a "master-feeder" structure, whereby the existing funds invest all of their
assets in a corresponding series of the Master Portfolio. As of end of day May
25, 1994, the Funds transferred their investments to the corresponding Master
Series of Master Portfolio in exchange for shares in the corresponding Master
Series. The transfer of assets was accomplished as a tax-free exchange. The
investments transferred had costs of $221,581,217, $16,556,893, $157,312,274 and
$51,537,523, and unrealized appreciation (depreciation) of $(9,431,883),
$(939,294), $1,692,082 and $(1,788,579), respectively.
115
<PAGE> 119
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
MASTER INVESTMENT PORTFOLIO:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Master Investment Portfolio
(comprising, respectively, Asset Allocation Master Series, Bond Index Master
Series, S&P 500 Stock Master Series, and U.S. Treasury Allocation Master Series)
as of February 29, 1996, and the related statements of operations and changes in
net assets and the financial highlights set forth in note 4 for the year then
ended. These financial statements and financial highlights are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. All periods indicated in the financial statements and notes ending prior
to March 1, 1995, were audited by other auditors whose report dated April 20,
1995, expressed an unqualified opinion on this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 29, 1996, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the aforementioned master series of Master Investment Portfolio as of
February 29, 1996, the results of their operations, the changes in their net
assets and their financial highlights for the year then ended, in conformity
with generally accepted accounting principles.
LOGO
San Francisco, California
April 12, 1996
116
<PAGE> 120
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Managed Series Investment Trust ("Master Trust") is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. The Master Trust was organized as a Delaware business trust pursuant to
an Agreement and Declaration of Trust dated October 28, 1993. The Master Trust
consists of eight separate portfolios (the "Master Series"): Growth Stock Master
Series, Short-Intermediate Term Master Series, Growth and Income Master Series,
California Tax-Free Intermediate Income Master Series, California Tax-Free Money
Market Master Series, California Tax-Free Short-Term Income Master Series,
Tax-Free Intermediate Income Master Series and the Tax-Free Money Market Master
Series. At February 29, 1996 the Growth and Income Master Series, California
Tax-Free Intermediate Income Master Series, California Tax-Free Money Market
Master Series, California Tax-Free Short-Term Income Master Series, Tax-Free
Intermediate Income Master Series and the Tax-Free Money Market Master Series
had not yet commenced operations.
These Master Series 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 the Master Trust in
the preparation of its financial statements, and such policies are in conformity
with generally accepted accounting principles for investment companies.
SECURITY VALUATION
The securities of each Master Series are valued at the last sale price on
the securities exchange or national securities market on which such securities
primarily are traded. Securities not listed on an exchange or national
securities market, or securities in which there were no transactions, are valued
at the most recent bid prices. Debt securities maturing in 60 days or less are
valued at amortized cost, which approximates market value. Any securities,
restricted securities or other assets for which recent market quotations are not
readily available are valued at fair value as determined in good faith in
accordance with policies approved by the Master Trust's Board of Trustees.
117
<PAGE> 121
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
SECURITY TRANSACTIONS AND REVENUE RECOGNITION
Securities transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized as required by the Internal Revenue
Code (the "Code").
FEDERAL INCOME TAXES
Each Master Series of the Master Trust intends to qualify for federal
income tax purposes as a partnership. Each Master Series therefore believes that
it will not be subject to any federal income tax on its income and net realized
capital gains (if any). However, each investor in a Master Series 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
Series' assets, income and allocations will be managed in such a way that a
regulated investment company investing in a Master Series will be able to
satisfy the requirements of Subchapter M of the Code, assuming that an
investment company invested all of its assets in a Master Series.
ORGANIZATION EXPENSES
Stephens has paid all expenses in connection with the Master Series'
organization and initial registration.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
("repurchase agreements") are treated as collateralized financing transactions
and are recorded at their contracted resale amounts. These repurchase
agreements, if any, are detailed in each Master Series' Portfolio of
Investments. The adviser to the Master Series pools the Master Series' cash and
invests in repurchase agreements entered into by the Master Series. The Master
Series' prospectus requires that the cash investments be fully collateralized
based on values that are marked to market daily. The collateral is held by an
agent bank under a tri-party agreement. It is the adviser's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements held in the Master
118
<PAGE> 122
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
Series as of February 29, 1996 are collateralized by U.S. Government Securities.
The repurchase agreements were entered into on February 29, 1996.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Prior to January 1, 1996 Wells Fargo Bank, N.A. ("WFB") served as
investment adviser to the Growth Stock Master Series and the Short-Intermediate
Term Master Series. WFB furnished each Master Series 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
Series, respectively.
Effective January 1, 1996, BZW Barclays Global Fund Advisors ("BGFA")
replaced WFB as investment adviser to the Growth Stock Master Series and the
Short-Intermediate Term Master Series of Managed Series Investment Trust. BGFA
was created by the reorganization of Wells Fargo Nikko Investment Advisors, a
former affiliate of WFB, with and into an affiliate of Wells Fargo Institutional
Trust Company, N.A. ("WFITC"). BGFA provides investment guidance and policy
direction in connection with the management of each Master Series' 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 Master Series and
Short-Intermediate Term Master Series, respectively, as compensation for its
advisory services. BGFA is an indirect subsidiary of Barclays Bank PLC.
Effective January 1, 1996, WFB serves as sub-adviser to each Master Series.
As sub-adviser, WFB is responsible for the day-to-day portfolio management of
each Master Series. 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 Series, respectively, as compensation for its
sub-advisory services.
Effective January 1, 1996, WFITC, due to a change in control of its
outstanding voting securities, became a wholly owned subsidiary of BZW Barclays
Global Investors Holdings Inc. (formerly, The Nikko Building U.S.A., Inc.) and
was renamed BZW Barclays Global Investors, N.A. ("BGI"). BGI currently acts as
custodian to each Master Series. BGI is not entitled to receive compensation for
its custodial services to each Fund
119
<PAGE> 123
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
and Master Series so long as BGFA is entitled to receive fees for providing
investment advisory services to the Master Series.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each series for the year ended were as follows:
<TABLE>
<CAPTION>
Short-Intermediate
Aggregate Purchases Growth Stock Term
and Sales of: Master Series Master Series
- ----------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 0 $5,652,999
Sales proceeds 0 9,159,202
OTHER SECURITIES:
Purchases at cost 225,301,015 6,541,894
Sales proceeds 189,060,941 3,177,465
</TABLE>
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the
Master Series are as follows:
<TABLE>
<CAPTION>
Short-Intermediate
Growth Stock Term
Portfolio Turnover Master Series Master Series
- ------------------------------------------------------------------------------
<S> <C> <C>
For the Period from May 26, 1994
(commencement of operations) to
February 28, 1995 93% 96%
For the Year Ended February 29, 1996 145% 105%
</TABLE>
5. ORGANIZATION OF THE MASTER SERIES
At a special meeting held January 31, 1994, the shareholders of the Growth
Stock Fund and the Short-Intermediate Term Fund (the Funds) approved the
reorganization of certain funds into a "master-feeder" structure, whereby the
existing funds invest all of their assets in a corresponding series of the
Managed Series Investment Trust. As of the end of day May 25, 1994, the Funds
transferred their investments to the corresponding Master Series of Managed
Series Investment Trust in exchange for shares in the corresponding Master
Series. The investments transferred had costs of $48,121,213 and $7,401,856 and
unrealized depreciation of $899,189 and $285,454, respectively.
120
<PAGE> 124
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
MANAGED SERIES INVESTMENT TRUST:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Managed Series Investment Trust
(comprising, respectively, Growth Stock Master Series and Short-Intermediate
Term Master Series) as of February 29, 1996, and the related statements of
operations for the year then ended, and the statements of changes in net assets
and financial highlights set forth in note 4 for the year then ended and for the
period from May 26, 1994 (commencement of operations) to February 28, 1995.
These financial statements and financial highlights are the responsibility of
the Company's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 29, 1996, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the aforementioned master series of Managed Series Investment Trust as
of February 29, 1996, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated herein in
conformity with generally accepted accounting principles.
LOGO
San Francisco, California
April 12, 1996
121
<PAGE> 125
MASTERWORKS FUNDS:
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
- are NOT FDIC insured
- are NOT obligations of BZW 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 Stagecoach Money Market Fund seeks to maintain LOGO
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>
BZW Barclays Global Fund Advisors ("BGFA") provides investment advisory services
for the Funds. Wells Fargo Bank provides shareholder services and certain other
services for the MasterWorks 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.
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
DATED MATERIAL
PLEASE EXPEDITE
LOGO
