<PAGE>
[ARTWORK APPEARS HERE]
August 31, 1997
Semi-Annual Report
Asset Allocation Fund
Bond Index fund
Growth Stock Fund
LifePath 2000 Fund(TM)
LifePath 2010 Fund(TM)
[GRAPHICS APPEAR HERE] Money Market LifePath 2020 Fund(TM)
LifePath 2030 Fund(TM)
Bond LifePath 2040 Fund(TM)
Money Market Fund
Stock S&P 500 Stock Fund
Short-Intermediate Term Fund
Strategy U.S. Treasury Allocation Fund
Advised by Barclays Global Fund
Advisors Sponsored and distributed
by Stephens Inc., Member NYSE/SIPG
(MasterWorks(TM) Funds)
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders.................................................... 1
Investment Adviser Discussion............................................. 3
MASTERWORKS FUNDS INC.
Money Market Fund Portfolio of Investments............................... 20
Statement of Assets and Liabilities...................................... 22
Statement of Operations.................................................. 26
Statements of Changes in Net Assets...................................... 30
Financial Highlights..................................................... 38
Notes to the Financial Statements........................................ 47
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES INVESTMENT TRUST PORTFOLIOS
OF INVESTMENTS
Asset Allocation Master Portfolio........................................ 54
Bond Index Master Portfolio.............................................. 74
Growth Stock Master Portfolio............................................ 81
LifePath Funds Master Portfolios......................................... 88
S&P 500 Index Master Portfolio........................................... 168
Short-Intermediate Term Master Portfolio................................. 186
U.S. Treasury Allocation Master Portfolio................................ 188
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES
INVESTMENT TRUST
Statement of Assets and Liabilities...................................... 190
Statement of Operations.................................................. 194
Statements of Changes in Net Assets...................................... 198
Master Investment Portfolio Notes to the Financial Statements............ 206
Managed Series Investment Trust Notes to the Financial Statements........ 212
</TABLE>
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
<PAGE>
TO OUR SHAREHOLDERS
The seemingly endless bull market continues for U.S. equities with the S&P
500 Index returning 14.78% for the six months ended August 31, 1997. With
inflation at a 30 year low, unemployment at its lowest level since 1973, and
the Federal Reserve Bank's decision to leave short-term interest rates alone
(after a 25 basis point increase in March to 5.50%), the equity market
continues to reach new highs. The S&P 500 Index set record highs 26 times
during the period, and closed on August 31, 1997 at 899.47.
Performance in the bond markets during the six-month period has been less
spectacular as these markets have experienced substantial volatility. Fixed
income securities have historically reacted more strongly than equity
securities to economic indicators which are released from time to time
throughout the year. The combination of economic growth, continued low
inflation, a declining budget deficit and a decrease in the supply of Treasury
securities has affected yields across all maturities. The U.S. bond market, as
measured by the Lehman Brothers Aggregate Bond Index, returned 4.39% during
this period.
Although many market indicators are currently positive and investors are
enjoying one of the most profitable bull markets in history, stock market
valuation is still considered to be very high. Volatility in the overall market
is at its highest level since 1990. The old adage, "what goes up, must come
down" proved itself true in August. After posting positive gains for the year
through July, both the stock and bond markets declined in August. The decline
was unpredictable as the markets fell without compelling economic or interest
rate news. In an environment of relative economic stability, the markets have
reacted strongly to news such as comments made by Japanese Prime Minister
Ryutaro Hashimoto, which were interpreted by the market as a threat to sell
U.S. Treasury securities. Both the stock and bond markets fell significantly in
reaction to this comment, even though no action had been taken.
Some market participants are concerned that the economy is operating near
capacity and wondering how much longer the market can expand at its current
pace without rekindling inflation. Many think corporate profits are not strong
enough to support the growth of the underlying securities in the S&P 500 Index.
With all of this uncertainty, your focus needs to be on building a long term
investment strategy. There are ways to limit the negative impact to your
portfolio caused by unfavorable market swings. The more exposure you have to
stocks, the more market uncertainty you will experience. But with higher equity
exposure should come higher long-run returns. If you have a heavier
1
<PAGE>
allocation in fixed income securities and cash, your portfolio should produce
moderate returns with more moderate risk over the long term than equities.
The MasterWorks(R) Funds offer a variety of products that will help you with
the asset allocation of your portfolio. If you are a "do-it-yourself" investor,
you can build your own allocation using the S&P 500 Stock Fund for equity
exposure, the Bond Index Fund for fixed income exposure and the Money Market
Fund for cash exposure. The Asset Allocation Fund makes asset allocation
decisions automatically based on current market conditions and the application
of consistent risk/return tradeoffs relative to other asset classes. If you are
an investor that has a specific investment time horizon in mind, or want
broader diversification, the LifePath Funds offer five allocation strategies
with five different time horizons. These Funds are designed to maximize
performance across seventeen different asset classes, while quantitatively
measuring risk given your specific investment time horizon.
We believe that a consistent investment strategy is necessary in meeting your
financial goals. The MasterWorks(R) Funds offer a variety of portfolios
designed to meet a broad range of investment goals. In this report, you will
find detailed financial and portfolio information on each of the Funds in the
MasterWorks family. This will give you the insight and information to evaluate
individual fund performance and strategy.
We value our shareholders and will continue to strive to provide you with
high quality, cost-effective investment portfolios to help you meet your
financial goals.
MASTERWORKS FAMILY OF FUNDS OCTOBER 1997
2
<PAGE>
INVESTMENT ADVISER DISCUSSION
ASSET ALLOCATION FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 8/31/97 Total Return
- -----------------------------------------
</TABLE>
<TABLE>
<S> <C>
One-year 23.63%
Life of Fund (7/2/93-8/31/97) 12.90%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees to the Fund,
which has reduced operating expenses for shareholders. Without this reduction,
the Fund's returns would have been lower.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1997?
The Fund posted a 9.24% total return for the period.
WITH THE RECENT S&P 500 VOLATILITY EXPERIENCED IN THE MONTH OF AUGUST, WHAT
MAKES THE FUND ATTRACTIVE TO INVESTORS? HOW HAS THE FUND POSITIONED ITSELF AT
SUCH UNCERTAIN TIMES?
In these times of market volatility, it is extremely important to diversify
your investment risk, while participating in returns. The Asset Allocation Fund
seeks to ensure that investors are rewarded with an appropriate return for the
amount of risk taken. To this end, the Fund kept a substantial position in
bonds through the six-month period ended 8/31/97, even though the equity market
experienced fluctuating growth. The Fund also attempts to capture equity
return, for example, the Fund had an equity position of 50% as of 8/31/97. This
allowed the Fund to participate in the equity market while mitigating the
potential risks inherent in equity investing. This positioning can be
advantageous when, for example, the equity class, as measured by the S&P 500
Index, returned -5.60% in August. The fixed income class, as measured by the
Lehman Brothers Aggregate Bond Index, returned -0.85% during the same period.
The Fund, subsequently, had a return of -4.42%. The allocation across multiple
asset classes acts as a diversification against any one asset class negative
performance.
HOW HAS THE ASSET MIX CHANGED OVER THE PAST SIX-MONTH PERIOD? WHY?
The Asset Allocation Fund began the year (1/1/97) with an asset mix of 40%
stocks, 60% bonds and 0% in cash. The allocation remained very close to this
mix throughout the first six months of the year. In July,
3
<PAGE>
ASSET ALLOCATION FUND (CONTINUED)
the Fund increased its allocation in stocks achieving a mix of 50% stocks, 50%
bonds and 0% in cash as of 8/31/97. This allocation shift was partly the result
of falling bond yields following the Federal Reserve Board's decision to leave
short-term interest rates unchanged. The Fund's allocation reflects the
anticipated relative risk and return of stocks, bonds and cash. Although stocks
are currently perceived as overvalued, we believe neither bonds nor cash offer
very compelling alternatives relative to risk/return models.
BRIEFLY DESCRIBE THE KEY FACTORS ON WHICH THE FUND BASES ITS ASSET ALLOCATION
STRATEGY.
The Asset Allocation Fund focuses on relative value among stocks, bonds, and
cash. The term "value" as it is used here is meant to describe the price an
investor is paying for an investment's anticipated potential earnings. So even
though a stock may be expected to pay high dividends, if this stock's price is
also extremely high, then it is not a good "value". The Fund also looks at
relative value across asset classes. Some asset classes will have a higher
perceived value as a result of their expected return relative to the risk
associated with the particular investment. The Fund analyzes the potential
value associated with each asset class (stocks, bonds, cash) then determines an
appropriate mix of these assets to balance their value and their risks.
This Fund is organized as a "feeder" fund in a "master-feeder" structure.
Instead of investing directly in the individual portfolio securities, the
"feeder" fund, which is offered to the public, holds interests in the net
assets of the Master Portfolio that, in turn, invests in individual securities.
References to the Fund are to the feeder fund or the Master Portfolio, as the
context requires. The Master Portfolio is advised by BGFA.
4
<PAGE>
INVESTMENT ADVISER DISCUSSION
BOND INDEX FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 8/31/97 Total Return
- ----------------------------------------------------------------
One-year 9.25%
Life Of Fund (7/2/93-8/31/97) 5.47%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees 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 FOR THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1997?
The Fund posted a 4.06% total return for the period. For the six months ended
August 31, the total return of the Lehman Brothers Government/Corporate Bond
Index was 4.36%.
WHAT ECONOMIC AND MARKET CONDITIONS CONTRIBUTED TO THE OVERALL PERFORMANCE OF
THE BOND MARKET AND THE FUND FOR THE SIX MONTHS ENDED AUGUST 31, 1997?
For the six-month period ended 8/31/97, U.S. economic conditions have been
generally favorable for the bond market. Although many bond investors have been
concerned that the economy may be growing so fast that inflationary pressures
may develop in the future, to date there have been few signs of a pickup in
inflation. To the contrary, the economy is operating at high capacity with a
very low unemployment rate and inflation is at its lowest level in 30 years.
Tightness in the labor market largely has been offset by improvements in
productivity, so that labor costs per unit of output have remained low. As a
result, corporate profitability remains healthy. This, along with heightened
competition, has kept prices stable.
In the first quarter of 1997 GDP grew at a robust annual rate of 4.9%. Late in
March, the Federal Reserve Board voted to raise the federal funds rate from
5.25% to 5.50% in an effort to restrain growth. Economic growth slowed somewhat
in the second quarter to 3.6%. Long term interest rates also rose in March;
later, as indications of a slowing economy emerged, interest rates declined.
For example, the yield of the 30-year Treasury bond rose from 6.80% at the end
of February to 7.10% at the end of March. From there, Treasury-Bond
5
<PAGE>
BOND INDEX FUND (CONTINUED)
yields declined steadily, reaching 6.30% at the end of July, before rising to
6.60% at the end of August. March and August were the only months posting
negative returns. Overall, however, the Fund showed moderate growth over the
six-month period with a 4.06% return.
THERE HAVE BEEN NEWS REPORTS THAT MANY INVESTMENT GRADE BOND FUNDS HAVE
RECENTLY BEGUN TO REACH FOR YIELD BY HOLDING "JUNK" BONDS, FOREIGN GOVERNMENT
BONDS, AND EMERGING MARKET DEBT. DOES THE FUND HOLD ANY SUCH SECURITIES?
No. Higher yield comes at the expense of higher risk, and unlike other funds,
the Bond Index fund invests only in high-grade bonds denominated in U.S.
dollars. Our goal is to consistently and economically deliver the performance
of the Fund's Benchmark--Lehman Brothers Government/Corporate Bond Index. In
order to accomplish this, we minimize differences between the structure of the
fund and the index by attempting to match both the risk and return
characteristics of the index.
This Fund is organized as a "feeder" fund in a "master-feeder" structure.
Instead of investing directly in the individual portfolio securities, the
"feeder" fund, which is offered to the public, holds interests in the net
assets of the Master Portfolio that, in turn, invests in individual securities.
References to the Fund are to the feeder fund or the Master Portfolio, as the
context requires. The Master Portfolio is advised by BGFA.
6
<PAGE>
INVESTMENT ADVISER DISCUSSION
GROWTH STOCK FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 8/31/97 Total Return
- ----------------------------------------------------------------
One-year 10.51%
Life Of Fund (7/2/93-8/31/97) 17.10%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees to the Fund,
which has reduced operating expenses for shareholders. Without this reduction,
the Fund's returns would have been lower.
WHAT WAS THE PERFORMANCE OF THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1997?
The Fund posted a 16.56% total return for the period.
AFTER A SLOW START BEGINNING THE PERIOD, THE FUND HAS HAD STRONG PERFORMANCE
SINCE MAY. CAN YOU EXPLAIN THE FACTORS CONTRIBUTING TO THE TURNAROUND OF THE
FUND?
The Fund benefited by being overweighted in three sectors, technology,
healthcare and energy service, which had exceptional second quarter returns.
The sharp rebound incurred by the small cap stocks in the Fund's portfolio also
had a positive impact on the Fund's performance.
At the beginning of the year, many investors were concerned about a possible
Federal Reserve tightening resulting in higher interest rates and a decline in
the relative earnings growth rates of small versus large cap companies. These
concerns were reflected in the significant underperformance of small and mid
cap growth funds prior to April 1997. Late in April, however, the proposed bal-
anced budget amendment and the realization of a slower-growing economy put a
spotlight on growth stocks. This was a major turning point for small and mid-
cap growth stocks. The market reacted and began to take advantage of the per-
ception that small and mid-cap stocks were significantly undervalued.
ARE THERE ANY SECTORS THAT ARE EXPECTED TO BE ESPECIALLY STRONG IN THE NEXT SIX
MONTHS? HOW ARE YOU POSITIONING THE FUND TO TAKE ADVANTAGE OF THIS POTENTIAL
GROWTH?
The Fund continues to emphasize oil service stocks, largely because the upward
trend in drilling activity shows little sign of slowing. Companies that provide
outsource services appear to be well positioned for
7
<PAGE>
GROWTH STOCK FUND (CONTINUED)
the next few months as corporate America continues to look for ways to reduce
costs. The Fund has two basic approaches, one which looks at sector opportuni-
ties, the other looks at opportunities in individual stocks. We believe this
second approach presents more potential opportunities in the upcoming months.
This Fund is organized as a "feeder" fund in a "master-feeder" structure. In-
stead of investing directly in the individual portfolio securities, the "feed-
er" fund, which is offered to the public, holds interests in the net assets of
the Master Portfolio that, in turn, invests in individual securities. Refer-
ences to the Fund are to the feeder fund or the Master Portfolio, as the con-
text requires. The Master Portfolio is advised by BGFA and sub-advised by Wells
Fargo Bank, N.A.
8
<PAGE>
INVESTMENT ADVISER DISCUSSION
LIFEPATH(R) FUNDS
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 8/31/97 Total Return
- -----------------------------------------
</TABLE>
<TABLE>
<CAPTION>
One- Life of Fund
year (3/1/94-8/31/97)
------ ----------------
<S> <C> <C>
LifePath 2000 12.52% 8.01%
LifePath 2010 20.15% 12.38%
LifePath 2020 25.85% 15.11%
LifePath 2030 29.93% 17.17%
LifePath 2040 33.65% 19.45%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Funds are successors to the assets of the Institutional Class shares of the
Stagecoach Trust LifePath Funds (the "Predecessor Funds") which commenced oper-
ations on March 1, 1994. Performance information for periods prior to March 26,
1996, the Funds' commencement of operations, reflects the performance of the
Predecessor Funds.
WHAT WAS THE PERFORMANCE FOR THE FUNDS FOR THE SIX-MONTH PERIOD ENDED AUGUST
31, 1997?
<TABLE>
<S> <C>
LifePath 2000 5.64%
LifePath 2010 8.45%
LifePath 2020 10.63%
LifePath 2030 12.02%
LifePath 2040 13.33%
</TABLE>
CAN YOU BRIEFLY STATE THE PRIMARY FACTORS THAT DROVE PERFORMANCE IN THE
FOLLOWING ASSET CLASSES?
EQUITY
Large Cap Value--Increasing corporate earnings and a strong economy increased
total returns for large company stocks. The increased corporate earnings, in
particular, justify and support higher stock prices in many investors' minds.
Medium Cap Growth--Similar to large cap value stocks, increased earnings, a
strong economy and low inflation easing interest rate hike fears have helped to
propel this asset class.
International (Except Japan)--The international equity market has shown a high
correlation to the U.S. equity market over the last year or two, while also
experiencing strong corporate earnings and growing economies.
9
<PAGE>
LIFEPATH(R) FUNDS (CONTINUED)
FIXED INCOME
Intermediate Government--Intermediate Government bonds aren't as interest rate
sensitive as long government bonds. As a result, they did not fall as much as
long bonds in March, nor did they experience an equal rally in July as the
Federal Reserve eased inflation fears by not raising interest rates.
THE TOTAL RETURNS FOR THE SIX-MONTH PERIOD ENDED AUGUST 31, 1997 (PROVIDED
ABOVE) SHOW A SPREAD FROM 5.64% TO 13.33%. THIS IS A RELATIVELY SMALLER SPREAD
THAN IN THE PAST YEAR. WHY?
The portfolio asset mixes of the LifePath Funds are very different. The
LifePath 2040 Fund is more heavily weighted in equities than other Funds, while
the LifePath 2000 Fund has a much greater allocation to shorter term, fixed
income investments than other Funds. The spread between the returns of these
Funds is highly dependent on the divergent returns of stocks and bonds. Over
the last year, stocks have outperformed bonds by a large and, arguably, unusual
amount. After some impressive gains in June and July, the stock market, as
represented by the S&P 500 Index, dropped 5.6% during August, while the bond
market, as represented by the Lehman Brothers Aggregate Bond Index, fell 0.85%.
As a result, the returns of the Funds converged somewhat in the three-month
period. For the last year, however, stocks have outperformed these bonds by
about 32%, which causes the relatively large spread that's been observed.
THROUGHOUT THE LIFE OF A FUND, ARE ALLOCATION SHIFTS BETWEEN ASSET CLASSES MORE
STRATEGIC OR TACTICAL IN NATURE?
The majority (about 75%) of the asset allocation in each Fund's portfolio is
determined by a long-term strategic view. Short-term or day-to-day swings in
the stock market will have only small effects on the strategic allocation. To
take advantage of shorter-term market conditions, the Funds make tactical
allocation shifts. As an example, in the beginning of the year, the Funds made
small shifts into bonds as the stock market rose. With the recent bond market
rally and subsequent lower yields, stocks have become slightly more attractive
on a relative basis. As a result, the Funds' allocation to stocks has shifted
back and risen to about the level seen at the start of the year.
WHAT FACTORS COME INTO PLAY WHEN SHIFTING ASSETS BETWEEN THE FUNDS' INVESTMENT
OPTIONS? DO YOU SHIFT INTO UNDERVALUED CLASSES (A MORE AGGRESSIVE APPROACH) OR
AWAY FROM OVERVALUED CLASSES (A MORE DEFENSIVE OR CONSERVATIVE APPROACH)?
The majority of the total allocation is strategic in nature. As each Fund nears
its target date, the allocation becomes more conservative and should see a
corresponding reduction in risk. Forty years from now, the
10
<PAGE>
LIFEPATH(R) FUNDS (CONTINUED)
INVESTMENT ADVISER DISCUSSION
strategic allocation of LifePath 2040 will look very similar to the strategic
allocation of today's LifePath 2000.
The tactical allocation (the short-term shifting between asset classes) makes
up a much smaller portion (about 25%) of each Fund's entire asset allocation.
There are two types of tactical allocations. One that allocates between stocks,
bonds and cash and another that shifts from long duration bonds, to short
duration bonds and cash. The second one is more conservative in nature and
plays a bigger role in the LifePath 2000 Fund than in the other Funds. The
weight given to tactical moves is the same for each of the five Funds.
Each Fund is organized as a "feeder" fund in a "master-feeder" structure.
Instead of investing directly in the individual portfolio securities, the
"feeder" fund, which is offered to the public, holds interests in the net
assets of a Master Portfolio that, in turn, invests in individual securities.
References to a Fund are to the feeder fund or the Master Portfolio, as the
context requires. Each Master Portfolio is advised by BGFA.
11
<PAGE>
LIFEPATH(R) FUNDS (CONTINUED)
ASSET CLASS MIX
AS OF 8/31/97
<TABLE>
- ----------------------------------------------------------------------------
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
STOCKS 2000 2010 2020 2030 2040
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Large Capitalization--
Value 2.04% 12.35% 19.69% 24.11% 28.01%
- ----------------------------------------------------------------------------
Large Capitalization--
Growth 3.76 13.75 19.68 24.39 30.90
- ----------------------------------------------------------------------------
Medium Capitalization--
Value 2.95 2.86 3.22 3.73 3.76
- ----------------------------------------------------------------------------
Medium Capitalization--
Growth 2.56 2.71 2.93 3.53 3.52
- ----------------------------------------------------------------------------
Small Capitalization--
Value 0.49 0.31 0.46 0.49 0.43
- ----------------------------------------------------------------------------
Small Capitalization--
Growth 0.16 0.12 0.19 0.18 0.20
- ----------------------------------------------------------------------------
Micro Capitalization 0.03 0.02 0.03 0.03 0.03
- ----------------------------------------------------------------------------
Utilities 0.62 0.34 0.40 0.44 0.27
- ----------------------------------------------------------------------------
Japan 1.06 2.58 3.29 3.91 4.68
- ----------------------------------------------------------------------------
International (except
Japan) 5.43 7.70 9.80 12.70 12.86
- ----------------------------------------------------------------------------
BONDS
- ----------------------------------------------------------------------------
Long-Term Government 1.01 2.54 7.96 14.63 5.19
- ----------------------------------------------------------------------------
Long-Term Corporate 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------
Intermediate-Term
Government 61.08 41.79 20.76 2.68 0.00
- ----------------------------------------------------------------------------
Intermediate-Term
Corporate 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------
Mortgage-Backed 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------
Foreign 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------
MONEY MARKET
- ----------------------------------------------------------------------------
U.S. Treasury Bills 6.65 4.97 3.04 2.14 0.47
- ----------------------------------------------------------------------------
Cash Equivalents 8.44 3.47 4.09 2.61 5.46
- ----------------------------------------------------------------------------
Repurchase Agreements 3.72 4.49 4.46 4.43 4.22
- ----------------------------------------------------------------------------
TOTAL 100.00 100.00 100.00 100.00 100.00
- ----------------------------------------------------------------------------
</TABLE>
Any differences between the percentages above and the percentages in the
Portfolios of Investments are due to unsettled trades and allocations to large
cap stocks through S&P 500 futures contracts.
12
<PAGE>
INVESTMENT ADVISER DISCUSSION
MONEY MARKET FUND
<TABLE>
<S> <C>
7-Day
PERFORMANCE AS OF 2/28/97 yield
- --------------------------------
</TABLE>
<TABLE>
<S> <C>
5.26%
</TABLE>
The 7-Day Yield is an annualized yield for the seven day period ended August
31, 1997. Yield reflects fluctuations in interest rates on portfolio invest-
ments and Fund expenses.
The Fund's manager has voluntarily waived portions of its fees to the Fund,
which has reduced operating expenses for shareholders. Without this reduction,
the Fund's returns would have been lower.
HOW HAS THE U.S. ECONOMY AFFECTED SHORT-TERM INTEREST RATES AND HOW HAS THE
ECONOMY IN TURN AFFECTED THE FUND?
Since the Federal Reserve raised short-term interest rates in late March, the
market has anticipated a slowing economy. Short-term interest rates have,
therefore, declined over the last several months. The Fund has lengthened its
average maturity to lock in yields as rates decline.
WHAT TYPES OF INVESTMENTS ARE IN THE PORTFOLIO?
The Fund invests in a variety of short-term money market instruments, including
high-grade commercial paper and certificates of deposit. This generally
provides high credit quality along with a high level of liquidity.
13
<PAGE>
S&P 500 STOCK FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 8/31/97 Total Return
- ----------------------------------------------------------------
One-year 40.31%
Life Of Fund (7/2/93-8/31/97) 20.82%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees 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 FOR THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1997?
The Fund posted a 14.65% total return for the period. The S&P 500 Index
returned 14.78% during the same period.
WHAT ECONOMIC AND MARKET FACTORS CONTRIBUTED TO THIS PERFORMANCE?
The U.S. equity market, as measured by the S&P 500 Index, returned 20.58% for
the first half of 1997. This half-year return almost matches the 22.95% return
posted for the entire 1996 calendar year. During the year, growth stocks in the
S&P 500 Index outperformed the value stocks, returning 24.49% versus 16.49%,
respectively. The high returns of the first half of 1997 were largely
concentrated in the second quarter, as the market responded to the reporting of
healthy first-quarter earnings which were 19% above those of the previous year.
August experienced substantial volatility with the market, as represented by
the S&P 500 Index, down -5.60% for the month. Overall, however, performance for
the six-month period remained positive.
WERE THERE ANY MAJOR ADDITIONS OR DELETIONS TO THE S&P 500 INDEX IN 1997? WHY?
A deletion and subsequent addition to the S&P 500 Index is usually the result
of a corporate action (e.g. mergers, restructurings, tenders) which causes a
vacancy in the S&P 500 Index. Standard & Poor's will occasionally remove a name
due to lack of representation or due to bankruptcy. Following are the list of
additions and deletions to the S&P 500 Index year-to-date through August 1997:
14
<PAGE>
INVESTMENT ADVISER DISCUSSION
S&P 500 STOCK FUND (CONTINUED)
ADDITIONS: DELETIONS:
Healthsouth Corp Boatmen's Bancshares
Conseco Inc Alexander & Alexander Services Inc
Parametric Tech- Pacific Telesis
nology Santa Fe Pacific Gold
Adobe Systems Conrail Inc
Cardinal Health, Morgan Stanley
Inc USLIFE Corp
Charles Schwab PanEnergy Corp
Countrywide Great Western Financial
Credit Industries Giddings & Lewis
Equifax Inc General Instrument
Washington Mutu- Intergraph Corp
al, Inc Santa Fe Energy Resources
SunAmerica Inc US Bancorp
NextLevel Systems McDonnell Douglas
Apache Corp Ensearch Corp
Anadarko Petro- NorAm Energy
leum James River
Owens Illinois Nynex Corp
Progressive Corp Tandem Computers
Huntington
Bancshares
Mirage Resorts
Fort James Corp
State Street Corp
ClearChannel Com-
munications
This Fund is organized as a "feeder" fund in a "master-feeder" structure.
Instead of investing directly in the individual portfolio securities, the
"feeder" fund, which is offered to the public, holds interests in the net
assets of the Master Portfolio that, in turn, invests in individual securities.
References to the Fund are to the feeder fund or the Master Portfolio, as the
context requires. The Master Portfolio is advised by BGFA.
15
<PAGE>
SHORT-INTERMEDIATE TERM FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 8/31/97 Total Return
- ----------------------------------------------------------------
One-year 8.34%
Life Of Fund (7/2/93-8/31/97) 4.88%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees 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 FOR THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1997?
The Fund posted a 3.83% total return for the period.
HOW HAS THE SHORT TO INTERMEDIATE BOND SECTOR PERFORMED WITH RESPECT TO THE
REST OF THE BOND SECTORS IN THE PAST SIX MONTHS?
Over the past six months interest rates have generally declined. For example,
the yield on the 5-year Treasury note has declined from 6.60% to its current
level of 6% (as of 8/31/97). While falling rates enhance the returns of all
bonds, longer-term bonds tend to outperform intermediate notes.
HOW DID THE ECONOMY AFFECT THE INTERMEDIATE BOND MARKET OF THE PAST SIX MONTHS?
HOW HAVE THE LONG-TERM AND SHORT-TERM INTEREST RATES AFFECTED THE BOND MARKET?
The U.S. economy slowed from its robust growth rate of 4.9% in the first
quarter to a more sustainable growth rate of 3.6% in the second quarter.
Inflation has remained very low at 2.2% year-over-year. Slowing growth with
moderate inflation has provided an environment for interest rates to decline.
Since the end of the second quarter 2-year Treasury note prices have declined
by 60 basis points with long bond prices declining 65 basis points to yield
5.80% and 6.40% respectively.
HOW DO THE INTERMEDIATE BOND MARKETS LOOK FOR THE REMAINDER OF 1997, AND WHAT
IS THE FUND'S STRATEGY FOR THE COMING YEAR?
We expect the U.S. economy to experience above average growth for the balance
of the year and thus the Federal Reserve will likely nudge
16
<PAGE>
INVESTMENT ADVISER DISCUSSION
SHORT-INTERMEDIATE TERM FUND (CONTINUED)
short-term rates up by 25 basis points prior to year-end. We expect
intermediate rates to continue to remain in a relatively narrow range with 5-
year notes trading between 6.0% and 6.50%. Within this environment, the Fund's
duration will remain neutral to the benchmark at approximately 3.25. Corporate
bonds will continue to be a core holding for yield enhancement, as credit
quality is expected to remain stable.
This Fund is organized as a "feeder" fund in a "master-feeder" structure. In-
stead of investing directly in the individual portfolio securities, the "feed-
er" fund, which is offered to the public, holds interests in the net assets of
the Master Portfolio that, in turn, invests in individual securities. Refer-
ences to the Fund are to the feeder fund or the Master Portfolio, as the con-
text requires. The Master Portfolio is advised by BGFA and sub-advised by Wells
Fargo Bank, N.A.
17
<PAGE>
U.S. TREASURY ALLOCATION FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 8/31/97 Total Return
- ----------------------------------------------------------------
One-year 8.88%
Life Of Fund (7/2/93-8/31/97) 5.07%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees 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 FOR THE FUND FOR THE SIX-MONTH PERIOD ENDED AUGUST 31,
1997?
The Fund posted a 3.86% total return for the period.
HOW DID THE PORTFOLIO'S ALLOCATION CHANGE DURING THE PERIOD IN RESPONSE TO THE
DIFFERENT MARKET CONDITIONS?
The U.S. Treasury Allocation Fund has shifted between the three asset classes
in which the Fund invests on three separate occasions in response to yield
curve fluctuations. The first of these shifts occurred in March when the
allocation moved from 0/80/20 (bonds/notes/cash) to 0/100/0. This move was in
response to a relative increase in note yields as compared to cash yields.
Since the immediately prior allocation shift in December 1996, note yields had
risen substantially when compared to the relative rise in bond and cash yields.
In general, yields increased across all maturity classes in the first quarter,
in response to a strengthening U.S. economy. On March 25th the Federal Reserve
Board raised short-term interest rates, the first such move in more than two
years. The second shift occurred in June when our model suggested a shift in
allocation back to a 0/80/20 mix. While bond and note yields declined
considerably during this period, cash yields were down only 14 basis points,
making them a more attractive yielding maturity class. In general, bond yields
fell during the second quarter due to a slow down in the economy along with
stable inflation. The third shift occurred early in the third quarter, when our
model suggested a further shift away from notes and into cash and the
allocation changed to 0/60/40. While both bond and note yields registered a
further decrease, cash yields actually increased. There have been no changes in
the asset mix since July.
18
<PAGE>
INVESTMENT ADVISER DISCUSSION
U.S. TREASURY ALLOCATION FUND (CONTINUED)
WITH THE CURRENT UNCERTAINTY IN THE MARKETPLACE, HOW WILL THE FUND POSITION
ITSELF DURING THE REST OF 1997?
The U.S. Treasury Allocation Fund allows a purely quantitative strategy that is
managed in a systematic, disciplined fashion. The asset allocation process does
not predict when markets will become fairly valued, rather, it is designed to
recognize when securities are overvalued or undervalued relative to one
another. The strategy is an inherently contrarian process and as such, it
frequently recommends positions that are in advance of general market trends.
By focusing on quantitative inputs rather than economic indicators released
daily or monthly, the Fund bases its allocation decisions on long-term as
opposed to very short-term factors.
This Fund is organized as a "feeder" fund in a "master-feeder" structure.
Instead of investing directly in the individual portfolio securities, the
"feeder" fund, which is offered to the public, holds interests in the net
assets of the Master Portfolio that, in turn, invests in individual securities.
References to the Fund are to the feeder fund or the Master Portfolio, as the
context requires. The Master Portfolio is advised by BGFA.
19
<PAGE>
MONEY MARKET FUND--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT-15.27%
$5,000,000 Commerzbank International SA 5.80% 01/15/98 $ 5,000,542
4,000,000 Morgan Trust NY 5.80 07/28/98 3,998,607
7,000,000 Rabobank Nederland NY 6.05 03/27/98 6,998,506
2,000,000 Societe Generale (France) 5.72 10/30/97 2,000,353
5,000,000 Societe Generale (France) 6.13 09/12/97 5,000,849
5,000,000 Wachovia Bank 5.52 10/01/97 5,000,059
------------
TOTAL CERTIFICATES OF DEPOSIT $ 27,998,916
COMMERCIAL PAPER-56.16%
$7,000,000 Asset Securitization
Cooperative Corp 5.51% 09/18/97 $ 6,979,643
7,000,000 Associates Corp 5.50 09/22/97 6,975,403
6,000,000 Bankers Trust 5.48 12/05/97 5,911,406
2,000,000 CC USA Corp 5.57 09/30/97 1,990,407
3,000,000 Cargill Inc 5.47 09/22/97 2,989,516
6,000,000 CIT Group Holdings 5.50 09/25/97 5,976,167
5,000,000 Commercial Bank Detroit 6.00 03/27/98 4,996,869
5,000,000 Goldman Sachs & Co 5.55 10/06/97 4,971,479
3,500,000 Goldman Sachs & Co 5.54 10/06/97 3,480,071
8,000,000 Greenwich Funding 5.55 09/15/97 7,980,266
6,000,000 IBM Corp 5.50 09/22/97 5,978,918
5,000,000 Kingdom Of Sweden 5.47 12/01/97 4,929,345
7,000,000 Merrill Lynch 5.53 10/07/97 6,959,140
4,000,000 Metropolitan Life Inc 5.51 09/24/97 3,984,694
2,000,000 Morgan Guaranty Trust 5.96 06/22/98 1,999,454
7,000,000 New Center Association 5.51 10/08/97 6,958,215
3,000,000 Pepsico Inc 5.49 09/12/97 2,994,053
7,000,000 Receivables Capital Corp 5.52 09/03/97 6,995,707
7,000,000 Sheffield Receivables Corp 5.54 09/16/97 6,981,687
3,000,000 Union Commercial 5.78 12/29/97 2,941,719
------------
TOTAL COMMERCIAL PAPER $102,974,159
U.S. GOVERNMENT AGENCY SECURITIES-9.60%
$4,000,000 Federal Home Loan Bank 5.38% 09/03/97 $ 3,997,609
7,630,000 Federal Home Loan Mortgage Corp 5.42 09/11/97 7,616,215
6,000,000 Student Loan Market Association 5.42 09/02/97 5,997,290
------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 17,611,114
</TABLE>
20
<PAGE>
MONEY MARKET FUND--AUGUST 31, 1997 (UNAUDITED)
MONEY MARKET FUND--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
VARIABLE & FLOATING RATE NOTES-17.45%
$7,000,000 Australia New Zealand Bank 5.61% 07/28/98 $ 6,996,469
7,000,000 Bank of America 5.65 04/16/98 6,997,874
5,000,000 FCC National Bank 5.62 02/20/98 4,998,847
6,000,000 PHH Corp 5.56 09/22/97 6,000,000
7,000,000 PNC Funding Corp 5.53 10/01/97 6,999,596
------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL VARIABLE &
FLOATING RATE NOTES $ 31,992,786
TOTAL
INVESTMENT IN
SECURITIES
(Cost
$180,576,975)*
(Notes 1 and
3) 98.48% $180,576,975
Other Assets
and
Liabilities,
Net 1.52% 2,794,218
------ ------------
TOTAL NET
ASSETS 100.00% $183,371,193
====== ============
</TABLE>
- --------------------------------------------------------------------------------
*Cost for income tax purposes is the same as for financial statement purposes.
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- ------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $450,492,695 $127,009,361
Cash 0 0
RECEIVABLES:
Dividends and interest 0 0
TOTAL ASSETS 450,492,695 127,009,361
LIABILITIES
PAYABLES:
Distribution to shareholders 1,332,336 657,848
Due to BGI and Stephens (Note 2) 397,672 50,048
TOTAL LIABILITIES 1,730,008 707,896
TOTAL NET ASSETS $448,762,687 $126,301,465
NET ASSETS CONSIST OF:
Paid-in capital 351,240,765 128,153,134
Undistributed net investment income 39,423 23,017
Undistributed net realized gain (loss) on
investments 39,728,148 (1,316,922)
Net unrealized appreciation (depreciation) on
investments 57,754,351 (557,764)
TOTAL NET ASSETS $448,762,687 $126,301,465
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
PER SHARE
Net Assets $448,762,687 $126,301,465
Shares outstanding 34,560,356 13,302,520
Net asset value and offering price per share $ 12.98 $ 9.49
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund Fund Fund Fund
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
$234,956,808 $46,053,033 $98,301,696 $126,920,905 $72,599,691
0 0 0 0 0
0 0 0 0 0
234,956,808 46,053,033 98,301,696 126,920,905 72,599,691
0 0 0 0 0
95,108 32,709 86,962 113,490 64,164
95,108 32,709 86,962 113,490 64,164
$234,861,700 $46,020,324 $98,214,734 $126,807,415 $72,535,527
178,044,913 43,382,783 86,831,013 107,578,912 60,454,153
(516,311) 327,355 515,495 502,849 226,690
9,837,769 534,982 1,921,375 2,371,087 1,016,236
47,495,329 1,775,204 8,946,851 16,354,567 10,838,448
$234,861,700 $46,020,324 $98,214,734 $126,807,415 $72,535,527
$234,861,700 $46,020,324 $98,214,734 $126,807,415 $72,535,527
14,322,960 4,054,823 7,387,160 8,664,481 4,615,059
$ 16.40 $ 11.35 $ 13.30 $ 14.64 $ 15.72
- -----------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath
2040
Fund
- ----------------------------------------------------------------------
<S> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $94,223,007
Cash 0
RECEIVABLES:
Dividends and interest 0
TOTAL ASSETS 94,223,007
LIABILITIES
PAYABLES:
Distribution to shareholders 0
Due to BGI and Stephens (Note 2) 76,095
TOTAL LIABILITIES 76,095
TOTAL NET ASSETS $94,146,912
NET ASSETS CONSIST OF:
Paid-in capital 78,298,871
Undistributed net investment income 181,261
Undistributed net realized gain (loss) on investments 3,369,981
Net unrealized appreciation (depreciation) on investments 12,296,799
TOTAL NET ASSETS $94,146,912
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
Net Assets $94,146,912
Shares outstanding 5,500,696
Net asset value and offering price per share $ 17.12
- ----------------------------------------------------------------------
</TABLE>
* The Money Market Fund does not invest in a corresponding Master Portfolio.
The cost of securities held at August 31, 1997 is the same as the market val-
ue.
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Money S&P Short-Intermediate U.S. Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- ---------------------------------------------------
<S> <C> <C> <C>
$180,576,975 $1,826,037,383 $10,530,420 $44,946,549
2,475,079 0 0 0
1,192,965 0 0 0
184,245,020 1,826,037,383 10,530,420 44,946,549
765,698 0 52,988 202,250
108,129 644,867 10,133 39,274
873,827 644,867 63,121 241,524
$183,371,193 $1,825,392,516 $10,467,299 $44,705,025
183,433,459 1,203,248,473 10,805,060 49,265,607
0 5,545,620 1,882 6,722
(62,266) 33,706,895 (337,061) (4,690,657)
0 582,891,528 (2,582) 123,353
$183,371,193 $1,825,392,516 $10,467,299 $44,705,025
$183,371,193 $1,825,392,516 $10,467,299 $44,705,025
183,432,964 94,332,630 1,134,378 4,813,853
$ 1.00 $ 19.35 $ 9.23 $ 9.29
- -----------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- ------------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 1,754,118 $ 0
Interest 8,641,552 4,288,645
Expenses (770,659) (49,858)
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM
MASTER PORTFOLIO 9,625,011 4,238,787
EXPENSES (NOTE 2)
Administration fees 879,885 93,350
TOTAL EXPENSES 879,885 93,350
Less:
Waived fees 0 0
Net expenses 879,885 93,350
NET INVESTMENT INCOME (LOSS) 8,745,126 4,145,437
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER PORTFOLIOS
Net realized gain (loss) on sale of investments 29,555,252 (323,799)
Net change in unrealized appreciation (depreciation)
of investments 790,050 1,146,181
NET GAIN (LOSS) ON INVESTMENTS 30,345,302 822,382
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $39,090,428 $4,967,819
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
STATEMENT OF OPERATIONS--FOR THE SIX MONTHS ENDED AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund Fund Fund Fund
- ----------------------------------------------------
<S> <C> <C> <C> <C>
$ 125,590 $ 103,991 $ 438,387 $ 770,903 $ 519,862
184,595 1,071,380 1,513,087 1,295,868 477,032
(652,548) (124,617) (252,059) (320,287) (178,331)
(342,363) 1,050,754 1,699,415 1,746,484 818,563
195,700 90,466 183,044 232,566 129,469
195,700 90,466 183,044 232,566 129,469
( 21,752) 0 0 0 0
173,948 90,466 183,044 232,566 129,469
(516,311) 960,288 1,516,371 1,513,918 689,094
(2,321,372) 372,236 1,264,584 1,313,982 516,739
36,928,123 1,082,470 4,475,154 8,860,384 5,835,910
34,606,751 1,454,706 5,739,738 10,174,366 6,352,649
$34,090,440 $2,414,994 $7,256,109 $11,688,284 $7,041,743
- -----------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath
2040
Fund
- ------------------------------------------------------------------------------
<S> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 716,998
Interest 240,599
Expenses (220,241)
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM
MASTER PORTFOLIO 737,356
EXPENSES (NOTE 2)
Administration fees 159,883
TOTAL EXPENSES 159,883
Less:
Waived fees 0
Net expenses 159,883
NET INVESTMENT INCOME (LOSS) 577,473
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED FROM
MASTER PORTFOLIOS
Net realized gain (loss) on sale of investments 2,537,827
Net change in unrealized appreciation (depreciation) of
investments 6,149,740
NET GAIN (LOSS) ON INVESTMENTS 8,687,567
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $9,265,040
- ------------------------------------------------------------------------------
</TABLE>
* The Money Market Fund does not have a corresponding Master Portfolio. All
interest is derived from securities held by the Fund.
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
STATEMENT OF OPERATIONS--FOR THE SIX MONTHS ENDED AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
Money S&P Short-Intermediate U.S. Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- -----------------------------------------------
<S> <C> <C> <C>
$ 0 $ 13,487,357 $ 0 $ 0
5,135,507 3,376,917 417,606 1,639,754
(316,888) (405,868) (26,211) (68,555)
4,818,619 16,458,406 391,395 1,571,199
89,887 1,217,776 10,473 91,300
89,887 1,217,776 10,473 91,300
0 0 0 0
89,887 1,217,776 10,473 91,300
4,728,732 15,240,630 380,922 1,479,899
(4,763) 21,746,398 (85,303) (160,169)
0 180,700,469 117,733 384,510
(4,763) 202,446,866 32,430 224,341
$4,723,969 $217,687,497 $413,352 $1,704,240
- -------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Fund
-----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 8,745,126 $ 17,275,336
Net realized gain (loss) on sale of
investments 29,555,252 38,140,198
Net change in unrealized appreciation
(depreciation) of investments 790,050 (1,289,056)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 39,090,428 54,126,478
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (8,748,678) (17,247,080)
From net realized gain on sale of
investments 0 (26,664,455)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 62,272,259 154,834,083
Net asset value of shares issued in
reinvestment of dividends and
distributions 7,416,216 44,837,891
Cost of shares redeemed (82,852,641) (176,232,020)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS (13,164,166) 23,439,954
INCREASE (DECREASE) IN NET ASSETS 17,177,584 33,654,897
NET ASSETS:
Beginning net assets 431,585,103 397,930,206
ENDING NET ASSETS $448,762,687 $431,585,103
SHARES ISSUED AND REDEEMED:
Shares sold 4,999,539 12,906,366
Shares issued in reinvestment of
dividends and distributions 593,046 3,754,997
Shares redeemed (6,645,280) (14,682,595)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING (1,052,695) 1,978,768
- ---------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Bond Index Fund Growth Stock Fund
- ------------------------------------ --------------------------------------
For the For the For the For the
Six Months Ended Year Ended Six Months Ended Year Ended
August 31, 1997 February 28, 1997 August 31, 1997 February 28, 1997
(Unaudited) (Unaudited)
- -------------------------------------------------------
<S> <C> <C> <C>
$ 4,145,437 $ 6,188,613 $ (516,311) $ (920,167)
(323,799) (257,556) (2,321,372) 15,318,009
1,146,181 (1,931,019) 36,928,123 (25,141,390)
4,967,819 4,000,038 34,090,440 (10,743,548)
(4,176,079) (6,134,953) 0 0
0 0 0 (3,202,048)
17,604,783 115,659,105 72,396,425 170,007,270
3,518,140 6,438,762 0 3,202,048
(25,082,427) (48,583,524) (84,843,307) (124,629,401)
(3,959,504) 73,514,343 (12,446,882) 48,579,917
(3,167,764) 71,379,428 21,643,558 34,634,321
129,469,229 58,089,801 213,218,142 178,583,821
$126,301,465 $129,469,229 $234,861,700 $213,218,142
1,867,260 12,158,949 4,952,816 10,851,913
373,999 680,187 0 208,331
(2,674,602) (5,119,468) (5,785,696) (7,988,397)
(424,342) 7,719,668 (832,880) 3,071,847
- ------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Fund LifePath 2010 Fund
------------------------------- -------------------------------
For the Period from For the Period from
Six Months March 26, 1996 Six Months March 26, 1996
Ended (Commencement Ended (Commencement
August 31, of Operations) to August 31, of Operations) to
1997 February 28, 1997 1997 February 28, 1997
(Unaudited) (Unaudited)
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS:
Net investment income
(loss) $ 960,288 $ 1,403,756 $ 1,516,371 $ 2,005,706
Net realized gain
(loss) on sale of
investments 372,236 162,746 1,264,584 656,791
Net change in
unrealized
appreciation
(depreciation) of
investments 1,082,470 692,734 4,475,154 4,471,698
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS 2,414,994 2,259,236 7,256,109 7,134,195
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income (938,954) (1,097,736) (1,426,416) (1,580,166)
From net realized gain
on sale of investments 0 0 0 0
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 12,835,742 64,429,732 25,398,542 113,729,167
Net asset value of
shares issued in
reinvestment of
dividends and
distributions 938,954 1,095,909 1,426,383 1,576,451
Cost of shares redeemed (15,808,175) (20,109,378) (21,643,468) (33,656,063)
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS (2,033,479) 45,416,263 5,181,457 81,649,555
INCREASE (DECREASE) IN
NET ASSETS (557,439) 46,577,763 11,011,150 87,203,584
NET ASSETS:
Beginning net assets 46,577,763 0 87,203,584 0
ENDING NET ASSETS $ 46,020,324 $ 46,577,763 $ 98,214,734 $ 87,203,584
SHARES ISSUED AND
REDEEMED:
Shares sold 1,148,019 6,021,502 1,966,779 9,702,222
Shares issued in
reinvestment of
dividends 85,574 102,561 112,751 133,390
Shares redeemed (1,424,060) (1,878,773) (1,692,598) (2,835,384)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING (190,467) 4,245,290 386,932 7,000,228
- -------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2020 Fund LifePath 2030 Fund LifePath 2040 Fund
- ------------------------------- ------------------------------- -------------------------------
For the Period from For the Period from For the Period from
Six Months March 26, 1996 Six Months March 26, 1996 Six Months March 26, 1996
Ended (Commencement Ended (Commencement Ended (Commencement
August 31, of Operations) to August 31, of Operations) to August 31, of Operations) to
1997 February 28, 1997 1997 February 28, 1997 1997 February 28, 1997
(Unaudited) (Unaudited) (Unaudited)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 1,513,918 $ 1,938,192 $ 689,094 $ 814,543 $ 577,473 $ 686,259
1,313,982 1,202,749 516,739 645,645 2,537,827 847,438
8,860,384 7,494,183 5,835,910 5,002,538 6,149,740 6,147,059
11,688,284 10,635,124 7,041,743 6,462,726 9,265,040 7,680,756
(1,400,430) (1,548,831) (615,153) (661,794) (519,859) (562,612)
0 (145,644) 0 (146,148) 0 (15,284)
32,468,069 147,132,963 21,670,567 70,729,578 40,241,421 87,726,379
1,400,430 1,545,026 615,151 804,134 519,840 561,376
(22,762,991) (52,204,585) (14,752,273) (18,613,004) (24,835,035) (25,915,110)
11,105,508 96,473,404 7,533,445 52,920,708 15,926,226 62,372,645
21,393,362 105,414,053 13,960,035 58,575,492 24,671,407 69,475,505
105,414,053 0 58,575,492 0 69,475,505 0
$126,807,415 $105,414,053 $ 72,535,527 $ 58,575,492 $ 94,146,912 $ 69,475,505
2,331,557 11,957,914 1,437,784 5,498,688 2,437,465 6,394,187
101,820 123,825 41,865 61,161 32,726 40,724
(1,636,579) (4,214,056) (999,764) (1,424,675) (1,538,506) (1,865,900)
796,798 7,867,683 479,885 4,135,174 931,685 4,569,011
- --------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Money Market Fund
-----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 4,728,732 $ 8,103,742
Net realized gain (loss) on sale of
investments 0 1,533
Net change in unrealized appreciation
(depreciation) of investments (4,763) 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 4,723,969 8,105,275
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (4,728,732) (8,103,742)
From net realized gain on sale of
investments 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 114,263,968 176,002,509
Net asset value of shares issued in
reinvestment of dividends and
distributions 4,479,152 7,951,900
Cost of shares redeemed (112,413,346) (163,761,261)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS 6,329,774 20,193,148
INCREASE (DECREASE) IN NET ASSETS 6,325,011 20,194,681
NET ASSETS:
Beginning net assets 177,046,182 156,851,501
ENDING NET ASSETS $ 183,371,193 $ 177,046,182
SHARES ISSUED AND REDEEMED:
Shares sold 114,263,967 176,002,509
Shares issued in reinvestment of
dividends and distributions 4,479,152 7,951,876
Shares redeemed (112,413,346) (163,761,261)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 6,329,773 20,193,124
- ---------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
S&P 500 Stock Fund Short-Intermediate Term Fund
- ------------------------------------ --------------------------------------
For the For the For the For the
Six Months Ended Year Ended Six Months Ended Year Ended
August 31, 1997 February 28, 1997 August 31, 1997 February 28, 1997
(Unaudited) (Unaudited)
- -------------------------------------------------------
<S> <C> <C> <C>
$ 15,240,630 $ 23,815,692 $ 380,922 $ 846,293
21,746,398 21,513,935 (85,303) (86,579)
180,700,469 219,020,476 117,733 (214,500)
217,687,497 264,350,103 413,362 545,214
(13,994,145) (22,785,673) (384,390) (840,943)
0 (16,780,931) 0 0
415,800,446 539,066,703 1,001,799 4,322,741
13,986,533 25,515,514 331,362 909,344
(231,112,039) (249,037,913) (3,948,401) (5,586,461)
198,674,940 315,544,304 (2,615,240) (354,376)
402,368,292 540,327,803 (2,586,278) (650,105)
1,423,024,224 882,696,421 13,053,577 13,703,682
$1,825,392,516 $1,423,024,224 $10,467,299 $13,053,577
22,742,439 35,425,415 108,843 468,606
794,685 1,696,159 36,102 98,728
(12,755,756) (16,520,854) (430,215) (606,156)
10,781,368 20,600,720 (285,270) (38,822)
- ------------------------------------------------------------------------------
</TABLE>
35
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S. Treasury Allocation Fund
-----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 1,479,899 $ 3,002,841
Net realized gain (loss) on sale of
investments (160,169) (142,717)
Net change in unrealized appreciation
(depreciation) of investments 384,510 (507,060)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 1,704,240 2,353,064
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (1,481,841) (2,994,176)
From net realized gain on sale of
investments 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 5,920,896 12,235,270
Net asset value of shares issued in
reinvestment of dividends and
distributions 1,279,538 3,193,414
Cost of shares redeemed (10,260,225) (18,877,292)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS (3,059,791) (3,448,608)
INCREASE (DECREASE) IN NET ASSETS (2,837,392) (4,089,720)
NET ASSETS:
Beginning net assets 47,542,417 51,632,137
ENDING NET ASSETS $ 44,705,025 $ 47,542,417
SHARES ISSUED AND REDEEMED:
Shares sold 641,447 1,321,414
Shares issued in reinvestment of
dividends and distributions 139,108 346,020
Shares redeemed (1,113,820) (2,042,217)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING (333,265) (374,783)
- ---------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
37
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Asset Allocation Fund
----------------------------------------------------------------------
Period From
July 2,
1993
Six Months (Commence-
Ended ment of
August 31, Year Ended Year Ended Year Ended Operations) to
1997 February 28, February 29, February 28, February 28,
(Unaudited) 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $12.12 $11.83 $9.93 $10.19 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.25 0.47 0.40 0.44 0.23
Net realized and
unrealized gain (loss)
on investments 0.86 1.02 1.90 (0.14) 0.28
TOTAL FROM INVESTMENT
OPERATIONS 1.11 1.49 2.30 0.30 0.51
LESS DISTRIBUTIONS:
From net investment
income (0.25) (0.47) (0.40) (0.44) (0.23)
From net realized gains 0.00 (0.73) 0.00 (0.12) (0.09)
TOTAL DISTRIBUTIONS (0.25) (1.20) (0.40) (0.56) (0.32)
NET ASSET VALUE, END OF
PERIOD $12.98 $12.12 $11.83 $9.93 $10.19
TOTAL RETURN (NOT
ANNUALIZED) 9.23% 13.09% 23.54% 3.28% 5.14%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $448,763 $431,585 $397,930 $293,696 $217,140
Number of shares
outstanding, end of
period (000) 34,560 35,613 33,634 29,585 21,303
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net
assets(/1/) 0.75% 0.75% 0.75% 0.75% 0.79%
Ratio of net investment
income (loss) to
average net
assets(/2/) 3.97% 3.95% 3.62% 4.62% 3.47%
Portfolio turnover -- -- -- 24%* 33%
- -------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and reimbursed
expenses N/A N/A N/A 0.76% 0.80%
(2) Ratio of net
investment income
(loss) to average
net assets prior to
waived fees and
reimbursed expenses N/A N/A N/A 4.61% 3.46%
- -------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May
26, 1994 the Funds (except for the Money Market Fund) invest all of their
assets in the corresponding Master Portfolio, hence no securities-related
activity.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the Master Portfolio.
38
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Index Fund
- ----------------------------------------------------------------------------
Period From
July 2,
1993
(Commence-
Six Months Ended ment of
August 31, Year Ended Year Ended Year Ended Operations) to
1997 February 28, February 29, February 28, February 28,
(Unaudited) 1997 1996 1995 1994
- ----------------------------------------------
<S> <C> <C> <C> <C>
$9.43 $9.66 $9.20 $9.76 $10.00
0.32 0.63 0.64 0.64 0.38
0.06 (0.23) 0.46 (0.56) (0.24)
0.38 0.40 1.10 0.08 0.14
(0.32) (0.63) (0.64) (0.64) (0.38)
0.00 0.00 0.00 0.00 0.00
(0.32) (0.63) (0.64) (0.64) (0.38)
$9.49 $9.43 $9.66 $9.20 $9.76
4.06% 4.32% 12.17% 1.12% 1.38%
$126,301 $129,469 $58,090 $18,593 $14,899
13,303 13,736 6,016 2,020 1,526
0.23% 0.23% 0.23% 0.23% 0.31%
6.66% 6.69% 6.67% 7.08% 5.88%
-- -- -- 14%* 20%
- -----------------------------------------------------------------------------
N/A 0.32% 0.53% 0.71% 0.32%
N/A 6.60% 6.37% 6.61% 5.87%
- -----------------------------------------------------------------------------
</TABLE>
39
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Growth Stock Fund
-------------------------------------------------------------------------
Period From
July 2,
1993
Six Months (Commence-
Ended ment of
August 31, Year Ended Year Ended Year Ended Operations) to
1997 February 28, February 29, February 28, February 28,
(Unaudited) 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $14.07 $14.78 $11.64 $11.52 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) (0.04) (0.06) (0.01) 0.00 (0.01)
Net realized and
unrealized gain (loss)
on investments 2.37 (0.43) 4.82 0.19 1.86
TOTAL FROM INVESTMENT
OPERATIONS 2.33 (0.49) 4.81 0.19 1.85
LESS DISTRIBUTIONS:
From net investment
income 0.00 0.00 (0.01) 0.00 0.00
From net realized gains 0.00 (0.22) (1.66) (0.07) (0.33)
TOTAL DISTRIBUTIONS 0.00 (0.22) (1.67) (0.07) (0.33)
NET ASSET VALUE, END OF
PERIOD $16.40 $14.07 $14.78 $11.64 $11.52
TOTAL RETURN (NOT
ANNUALIZED) 16.56% (3.46)% 42.10% 1.70% 18.65%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000) $234,862 $213,218 $178,584 $96,925 $45,443
Number of shares
outstanding, end of
period (000) 14,323 15,156 12,084 8,330 3,945
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net assets(/1/) 0.76% 0.76% 0.76% 0.76% 0.80%
Ratio of net investment
income (loss) to
average net assets(/2/) (0.47)% (0.41)% (0.12)% (0.02)% (0.18)%
Portfolio turnover -- -- -- 27%* 104%
- ------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and reimbursed
expenses 0.78% 0.81% 0.86% 0.87% 0.80%
(2) Ratio of net
investment income
(loss) to average net
assets prior to
waived fees and
reimbursed expenses (0.49)% (0.46)% (0.22)% (0.12)% (0.18)%
- ------------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May
26, 1994 the Funds (except for the Money Market Fund) invest all of their
assets in the corresponding Master Portfolio, hence no securities-related
activity.
+ Annualized for periods of less than one year. These ratios include ex-
penses charged to the Master Portfolio.
40
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LifePath 2000 Fund LifePath 2010 Fund LifePath 2020 Fund LifePath 2030 Fund
- --------------------------- --------------------------- --------------------------- ---------------------------
Period From Period From Period From Period From
March 26, 1996 March 26, 1996 March 26, 1996 March 26, 1996
Six Months (Commence- Six Months (Commence- Six Months (Commence- Six Months (Commence-
Ended ment of Ended ment of Ended ment of Ended ment of
August 31, Operations) to August 31, Operations) to August 31, Operations) to August 31, Operations) to
1997 February 28, 1997 February 28, 1997 February 28, 1997 February 28
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) 1997 (Unaudited) 1997
- ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$10.97 $10.55 $12.46 $11.44 $13.40 $11.97 $14.17 $12.39
0.24 0.39 0.21 0.33 0.18 0.29 0.16 0.23
0.37 0.35 0.83 0.96 1.23 1.40 1.53 1.79
0.61 0.74 1.04 1.29 1.41 1.69 1.69 2.02
(0.23) (0.32) (0.20) (0.27) (0.17) (0.24) (0.14) (0.20)
0.00 0.00 0.00 0.00 0.00 (0.02) 0.00 (0.04)
(0.23) (0.32) (0.20) (0.27) (0.17) (0.26) (0.14) (0.24)
$11.35 $10.97 $13.30 $12.46 $14.64 $13.40 $15.72 $14.17
5.64% 7.00% 8.45% 11.98% 10.63% 15.06% 12.02% 17.37%
$46,020 $46,578 $98,215 $87,204 $126,807 $105,414 $72,536 $58,575
4,055 4,245 7,387 7,000 8,664 7,868 4,615 4,135
0.95% 0.95% 0.95% 0.95% 0.95% 0.95% 0.95% 0.95%
4.25% 4.21% 3.31% 3.26% 2.60% 2.57% 2.13% 2.05%
-- -- -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
N/A N/A N/A N/A N/A N/A N/A N/A
N/A N/A N/A N/A N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2040 Fund
------------------------------
Period From
Six Months March 26, 1996
Ended (Commencement
August 31, of Operations) to
1997 February 28,
(Unaudited) 1997
- ------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $15.21 $12.91
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.18
Net realized and unrealized gain (loss) on
investments 1.91 2.27
TOTAL FROM INVESTMENT OPERATIONS 2.02 2.45
LESS DISTRIBUTIONS:
From net investment income (0.11) (0.15)
From net realized gains 0.00 0.00
TOTAL DISTRIBUTIONS (0.11) (0.15)
NET ASSET VALUE, END OF PERIOD $17.12 $15.21
TOTAL RETURN (NOT ANNUALIZED) 13.33% 20.47%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $94,147 $69,476
Number of shares outstanding, end of period
(000) 5,501 4,569
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net assets(/1/) 0.95% 0.95%
Ratio of net investment income to average net
assets(/2/) 1.44% 1.46%
Portfolio turnover -- --
- ------------------------------------------------------------------------------
(1) Ratio of expenses to average net
assets prior to waived fees and
reimbursed expenses N/A N/A
(2) Ratio of net investment income to
average net assets prior to waived
fees and reimbursed expenses N/A N/A
- ------------------------------------------------------------------------------
</TABLE>
+ Annualized for periods of less than one year. These ratios include
expenses charged to the Master Portfolio.
42
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Money Market Fund
- --------------------------------------------------------------------------
Period From
Six Months July 2, 1993
Ended (Commencement
August 31, Year Ended Year Ended Year Ended of Operations) to
1997 February 28, February 29, February 28, February 28,
(Unaudited) 1997 1996 1995 1994
- -------------------------------------------------------
<S> <C> <C> <C> <C>
$1.00 $1.00 $1.00 $1.00 $1.00
0.03 0.05 0.05 0.04 0.02
0.00 0.00 0.00 0.00 0.00
0.03 0.05 0.05 0.04 0.02
(0.03) (0.05) (0.05) (0.04) (0.02)
0.00 0.00 0.00 0.00 0.00
(0.03) (0.05) (0.05) (0.04) (0.02)
$1.00 $1.00 $1.00 $1.00 $1.00
2.64% 5.10% 5.60% 4.40% 1.81%
$183,371 $177,046 $156,852 $147,269 $81,649
183,433 177,103 156,910 147,280 81,648
0.45% 0.45% 0.45% 0.45% 0.49%
5.17% 4.96% 5.44% 4.44% 2.77%
N/A N/A N/A N/A N/A
- ---------------------------------------------------------------------------
N/A 0.48% 0.49% 0.57% 0.50%
N/A 4.93% 5.40% 4.32% 2.76%
- ---------------------------------------------------------------------------
</TABLE>
43
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
S&P 500 Stock Fund
--------------------------------------------------------------------------
Period From
Six Months July 2, 1993
Ended (Commencement
August 31, Year Ended Year Ended Year Ended of Operations) to
1997 February 28, February 29, February 28, February 28,
(Unaudited) 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $17.03 $14.02 $10.83 $10.50 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.17 0.32 0.31 0.27 0.16
Net realized and
unrealized gain (loss)
on investments 2.31 3.23 3.36 0.41 0.47
TOTAL FROM INVESTMENT
OPERATIONS 2.48 3.55 3.67 0.68 0.63
LESS DISTRIBUTIONS:
From net investment
income (0.16) (0.32) (0.30) (0.27) (0.12)
From net realized gains 0.00 (0.22) (0.18) (0.08) (0.01)
In excess of net
realized gains 0.00 0.00 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.16) (0.54) (0.48) (0.35) (0.13)
NET ASSET VALUE, END OF
PERIOD $19.35 $17.03 $14.02 $10.83 $10.50
TOTAL RETURN (NOT
ANNUALIZED) 14.65% 25.82% 34.35% 6.71% 6.30%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $1,825,393 $1,423,024 $882,696 $448,776 $122,391
Number of shares
outstanding, end of
period (000) 94,333 83,551 62,951 41,427 11,653
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net
assets(/1/) 0.20% 0.20% 0.20% 0.21% 0.27%
Ratio of net investment
income to average net
assets(/2/) 1.87% 2.15% 2.52% 2.93% 2.46%
Portfolio turnover -- -- -- 8%* 4%
- -----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and reimbursed
expenses N/A 0.22% 0.26% 0.25% 0.28%
(2) Ratio of net
investment income to
average net assets
prior to waived fees
and reimbursed
expenses N/A 2.13% 2.46% 2.88% 2.45%
- -----------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May
26, 1994 the Funds (except for the Money Market Fund) invest all of their
assets in the corresponding Master Portfolio, hence no securities-related
activity.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the Master Portfolio.
44
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Short-Intermediate Term Fund
- -------------------------------------------------------------------------
Period From
Six Months July 2, 1993
Ended (Commencement
August 31, Year Ended Year Ended Year Ended of Operations) to
1997 February 28, February 29, February 28, February 28,
(Unaudited) 1997 1996 1995 1994
- ---------------------------------------------------
<S> <C> <C> <C> <C>
$9.19 $9.40 $9.15 $9.72 $10.00
0.31 0.60 0.65 0.64 0.42
0.04 (0.21) 0.25 (0.57) (0.28)
0.35 0.39 0.90 0.07 0.14
(0.31) (0.60) (0.65) (0.64) (0.42)
0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00
(0.31) (0.60) (0.65) (0.64) (0.42)
$9.23 $9.19 $9.40 $9.15 $9.72
3.83% 4.29% 10.07% 0.89% 1.42%
$10,467 $13,054 $13,704 $14,298 $5,258
1,134 1,420 1,458 1,562 541
0.63% 0.65% 0.65% 0.65% 0.65%
6.55% 6.48% 6.82% 7.07% 6.02%
-- -- -- 29% 277%
- --------------------------------------------------------------------------
N/A 1.29% 1.44% 1.41% 0.65%
N/A 5.84% 6.03% 6.32% 6.02%
- --------------------------------------------------------------------------
</TABLE>
45
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
U.S. Treasury Allocation Fund
-------------------------------------------------------------------------
Period From
Six Months July 2, 1993
Ended (Commencement
August 31, Year Ended Year Ended Year Ended of Operations) to
1997 February 28, February 29, February 28, February 28,
(Unaudited) 1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING
OF PERIOD $9.24 $9.35 $8.99 $9.67 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.30 0.56 0.51 0.59 0.39
Net realized and
unrealized gain (loss)
on investments 0.05 (0.11) 0.36 (0.68) (0.05)
TOTAL FROM INVESTMENT
OPERATIONS 0.35 0.45 0.87 (0.09) 0.34
LESS DISTRIBUTIONS:
From net investment
income (0.30) (0.56) (0.51) (0.59) (0.39)
From net realized gains 0.00 0.00 0.00 0.00 (0.20)
In excess of net
realized gains 0.00 0.00 0.00 0.00 (0.08)
TOTAL DISTRIBUTIONS (0.30) (0.56) (0.51) (0.59) (0.67)
NET ASSET VALUE, END OF
PERIOD $9.29 $9.24 $9.35 $8.99 $9.67
TOTAL RETURN (NOT
ANNUALIZED) 3.85% 4.99% 9.89% (0.76)% 3.33%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $44,705 $47,542 $51,632 $56,852 $58,216
Number of shares
outstanding, end of
period (000) 4,814 5,147 5,522 6,324 6,019
RATIOS TO AVERAGE NET
ASSETS:+
Ratio of expenses to
average net
assets(/1/) 0.70% 0.70% 0.70% 0.70% 0.78%
Ratio of net investment
income to average net
assets(/2/) 6.49% 6.03% 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 0.71% 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 6.02% N/A 6.50% 5.77%
- ----------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May
26, 1994 the Funds (except for the Money Market Fund) invest all of their
assets in the corresponding Master Portfolio, hence no securities-related
activity.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the Master Portfolio.
46
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
MasterWorks Funds 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 issues the following
Funds: the Asset Allocation, Bond Index, Growth Stock, LifePath 2000, LifePath
2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, S&P 500 Stock,
Short-Intermediate Term and U.S. Treasury Allocation Funds (each, a "Fund",
collectively, the "Funds").
The following significant accounting policies are consistently followed by
the Company in the preparation of its financial statements, and such policies
are in conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the
reporting period. Actual results could differ from those estimates.
INVESTMENT POLICY AND SECURITY VALUATION
Each Fund, with the exception of the Growth Stock, Money Market and Short-
Intermediate Term Funds, invests all of its assets in a separate series (each a
"Master Portfolio") of Master Investment Portfolio. Each of the Growth Stock
and Short-Intermediate Term Funds invests all of its assets in a separate
series (also a "Master Portfolio") of Managed Series Investment Trust. Each
Master Portfolio has the same investment objective as the Fund bearing the
corresponding name. The value of each Fund's investment in its corresponding
Master Portfolio reflects that Fund's interest in the net assets of that Master
Portfolio (99.99%, 57.84%, 99.99%, 38.58%, 52.95%, 43.93%, 38.29%, 29.31%,
94.99%, 99.99% and 99.99% for the Asset Allocation, Bond Index, Growth Stock,
LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, S&P
500 Stock, Short-Intermediate Term and U.S. Treasury Allocation Funds,
respectively, as of August 31, 1997). The Money Market Fund does not invest in
a corresponding Master Portfolio. Investments of each Master Portfolio are
valued at the last reported sale price on the primary securities exchange or
national
47
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
securities market on which such securities are traded. Securities not listed on
an exchange or national securities market, or securities in which there was no
last reported sales price, are valued at the most recent bid prices. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Debt securities, other than those maturing in 60
days or less, are valued at the latest quoted bid price. Any securities,
restricted securities or other assets for which market quotations are not
readily available are valued at fair value as determined in good faith in
accordance with policies approved by the Master Portfolios' Board of Trustees.
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.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for by each Master Portfolio on the date
the securities are purchased or sold (trade date). Revenue is recognized by
each Master Portfolio as follows: dividend income is recognized on the ex-
dividend date and interest income is recognized on a daily accrual basis.
Realized gains and losses are reported on the basis of identified cost of
securities delivered. Bond discounts and premiums are amortized as required by
the Internal Revenue Code of 1986, as amended (the "Code"). All net investment
income and realized and unrealized capital gains and losses of each Master
Portfolio are allocated as required by the Code.
The performance of each Fund, with the exception of the Money Market Fund, is
directly affected by the performance of its corresponding Master Portfolio. The
financial statements of each Master Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with the corresponding Fund's financial statements.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Asset Allocation,
Bond Index, Short-Intermediate Term and U.S. Treasury Allocation Funds are
declared and distributed monthly. Dividends to
48
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
shareholders from net investment income of the Growth Stock, LifePath 2000,
LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040 and S&P 500 Stock
Funds are declared and distributed quarterly. Dividends to shareholders from
net investment income of the Money Market Fund are declared daily and
distributed monthly. Distributions to shareholders from any net realized
capital gains are declared and distributed annually, generally in December.
Due to the timing of dividend distributions and the differences in accounting
for income and realized gains (losses) for financial statement and federal
income tax purposes, the fiscal year in which amounts are distributed may
differ from the year in which the income and realized gains (losses) were
recorded by the Fund.
FEDERAL INCOME TAXES
Each Fund is treated as a separate entity for federal income tax purposes. It
is the policy of each Fund to continue to qualify as a regulated investment
company by complying with the provisions applicable to regulated 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 at December 31, 1996. The following Funds had
net capital loss carryforwards at December 31, 1996:
<TABLE>
<CAPTION>
Year Net Capital
Fund Expires Loss Carryforward
- --------------------------------------------------------
<S> <C> <C>
Bond Index Fund 2002 $ 144,965
Bond Index Fund 2003 316,656
Bond Index Fund 2004 404,767
Money Market Fund 2003 57,505
Short-Intermediate Term Fund 2002 247,727
U.S. Treasury Allocation Fund 2002 4,479,541
U.S. Treasury Allocation Fund 2004 51,364
</TABLE>
No capital gain distribution shall be made in any of the Funds until the
respective capital loss carryforward has been fully utilized or expires.
49
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the Funds' co-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
Pursuant to an Investment Advisory Contract with the Money Market Fund,
Barclays Global Fund Advisers ("BGFA") is entitled to receive a monthly fee at
an annual rate of 0.35% of the average daily net assets of the Fund as
compensation for its advisory services. BGFA is an indirect subsidiary of
Barclays Bank PLC.
Pursuant to a Sub-Advisory Contract with the Money Market Fund and BGFA,
Wells Fargo Bank, N.A. ("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.
Investors Bank & Trust Company ("IBT") serves as the custodian of the Funds.
IBT will not be entitled to receive fees for its custodial services so long as
it is entitled to receive a separate fee from BGI for its services as Sub-
Administrator of the Funds.
The Company has entered into administration services arrangements with BGI
and Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Funds, such as managing and coordinating third-
party service relationships. This fee is an "all-in" or "semi-unified" fee and
BGI and Stephens, in consideration thereof, have agreed to bear all of the
Funds' ordinary operating expenses, excluding, generally, advisory fees and
costs related to securities transactions. BGI and Stephens may delegate certain
of their administration duties to sub-administrators.
50
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
Under these arrangements, BGI and Stephens are entitled to receive for these
administration services a combined fee (expressed as a percentage of average
daily net assets) from each Fund as follows:
<TABLE>
<S> <C>
Asset Allocation Fund 0.40%
Bond Index Fund 0.15%
Growth Stock Fund 0.18%
LifePath 2000 Fund 0.40%
LifePath 2010 Fund 0.40%
LifePath 2020 Fund 0.40%
LifePath 2030 Fund 0.40%
LifePath 2040 Fund 0.40%
Money Market Fund 0.10%
S&P 500 Stock Fund 0.15%
Short-Intermediate Term Fund 0.18%
U.S. Treasury Allocation Fund 0.40%
</TABLE>
The Company has entered into separate contracts on behalf of the Funds with
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 at an annual rate of 0.03% of the
average daily net assets for the Bond Index, Growth Stock, S&P 500 Stock and
Short-Intermediate Term Funds, 0.10% of the average daily net assets of the
Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030,
LifePath 2040 and U.S. Treasury Allocation Funds and 0.05% of the average daily
net assets of the Money Market Fund. WFB is compensated for shareholder
servicing based on an annual rate of 0.20% for the Asset Allocation, LifePath
2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040 and U.S.
Treasury Allocation Funds, 0.10% for the Growth Stock and Short-Intermediate
Term Funds and 0.07% for the Bond Index and S&P 500 Stock Funds, based on the
average daily net assets of each of these Funds. Under the administrative
services arrangements, BGI and Stephens will compensate WFB for expenses
related to transfer and dividend disbursing agency services and shareholder
servicing.
Certain fees have been waived by BGI for the Growth Stock Fund for the six
months ended August 31, 1997. Waived fees continue at the discretion of BGI.
51
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
Certain officers and directors of the Company are also officers of Stephens.
As of August 31, 1997, Stephens owned less than 1% of the outstanding shares of
each Fund.
3. CAPITAL SHARES TRANSACTIONS
As of August 31, 1997, there were 12.1 billion shares of $.001 par value
capital stock authorized by the Company. As of August 31, 1997, each Fund,
except the Money Market, S&P 500 Stock, Short-Intermediate Term and U.S.
Treasury Allocation Funds, was authorized to issue 100 million shares of $.001
par value capital stock. The Money Market Fund was authorized to issue 3
billion shares. The S&P 500 Stock, Short-Intermediate Term and U.S. Treasury
Allocation Funds were each authorized to issue 300 million shares. Transactions
in capital shares for each Fund are disclosed in detail in the Statements of
Changes in Net Assets.
4. PORTFOLIO SECURITIES LOANED
As of August 31, 1997, certain Master Portfolios had loaned securities which
were collateralized by cash, money market mutual funds and repurchase
agreements. Each Master Portfolio receives transaction fees for providing
services in connection with the securities lending program. The value of the
securities on loan and the value of the related collateral are disclosed in the
corresponding Master Portfolio financial statements.
52
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
53
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-49.34%
AEROSPACE & DEFENSE-1.17%
Allied Signal Inc 8,997 $ 742,815
Boeing Co 31,734 1,727,520
Briggs & Stratton Corp 791 38,215
General Dynamics Corp 1,959 155,985
Lockheed Martin Corp 6,176 640,374
Northrop Grumman Corp 2,109 246,885
Raytheon Co 7,540 414,700
Rockwell International Corp 6,833 409,980
Textron Inc 5,222 325,396
United Technologies Corp 7,592 592,651
------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 5,294,521
- COST $ 3,976,965
AIRLINES-0.16%
AMR Corp+ 2,915 $ 293,686
Delta Air Lines Inc 2,368 204,832
Southwest Airlines Co 4,621 129,388
USAir Group Inc+ 2,488 84,903
------------
TOTAL AIRLINES
- VALUE $ 712,809
- COST $ 615,923
APPAREL-0.28%
CVS Corp 5,346 $ 301,381
Fruit of the Loom Inc Class A+ 2,466 65,966
Liz Claiborne Inc 2,207 98,349
Nike Inc Class B 9,234 492,865
Reebok International Ltd 1,838 80,757
Russell Corp 1,120 31,920
Stride Rite Corp 1,609 19,107
VF Corp 1,999 176,662
------------
TOTAL APPAREL
- VALUE $ 1,267,007
- COST $ 966,377
AUTO PARTS & EQUIPMENT-0.45%
Cooper Tire & Rubber Co 2,547 $ 63,993
Dana Corp 3,288 151,454
Deluxe Corp 2,659 87,581
</TABLE>
54
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Eaton Corp 2,422 $ 218,131
Echlin Inc 2,036 75,459
Genuine Parts Co 5,747 177,423
Goodyear Tire & Rubber Co 4,969 306,215
Illinois Tool Works Inc 7,971 385,597
ITT Industries Inc 3,757 118,346
Navistar International Corp+ 2,336 57,962
PACCAR Inc 2,476 117,301
Pep Boys-Manny Moe & Jack 1,987 52,656
TRW Inc 3,976 207,249
------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 2,019,367
- COST $ 1,622,166
AUTOMOBILES-0.86%
Chrysler Corp 21,925 $ 770,116
Ford Motor Co 37,952 1,631,936
General Motors Corp Class A 23,306 1,462,452
------------
TOTAL AUTOMOBILES
- VALUE $ 3,864,504
- COST $ 3,142,613
BANK & FINANCE-5.67%
Ahmanson (H F) & Co 3,200 $ 162,400
American Express Corp 15,129 1,176,280
Banc One Corp 18,398 986,593
Bank of New York Inc 12,403 553,484
BankAmerica Corp 22,683 1,492,825
BankBoston Corp 4,646 386,199
Bankers Trust Corp 2,525 261,969
Barnett Banks Inc 6,338 431,776
Beneficial Corp 1,681 120,297
Chase Manhattan Bank 13,753 1,529,162
Citicorp 14,809 1,889,999
Comerica Inc 3,377 239,134
CoreStates Financial Corp 6,616 406,884
Countrywide Credit Industries Inc 3,284 110,630
Equifax Inc 4,794 141,123
Federal Home Loan Mortgage Corp 22,157 721,487
Federal National Mortgage Assoc 33,895 1,491,380
Fifth Third Bancorp 5,037 294,665
</TABLE>
55
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
First Chicago NBD Corp 9,969 $ 715,276
First Union Corp 18,294 879,255
Fleet Financial Group Inc 8,318 535,991
Golden West Financial 1,870 153,924
Green Tree Financial Inc 4,375 192,227
Household International Inc 3,420 379,406
Huntington Bancshares Inc 5,039 163,138
Keycorp 7,170 434,681
MBNA Corp 10,625 408,398
Mellon Bank Corp 8,233 396,213
Merrill Lynch & Co Inc 10,530 647,595
MGIC Investment Corp 3,784 190,383
Morgan (J P) & Co Inc 5,889 631,595
Morgan Stanley Dean Witter 18,297 880,541
National City Corp 7,084 400,246
NationsBank Corp 23,308 1,383,913
Norwest Corp 11,923 684,827
PNC Bank Corp 10,280 444,610
Republic New York Corp 1,723 184,469
Ryder System Inc 2,398 85,579
Salomon Inc 3,411 204,234
Schwab (Charles) Corp 5,635 239,135
State Street Corp 5,078 253,265
SunTrust Banks Inc 7,041 440,063
U.S. Bancorp 7,824 685,089
Wachovia Corp 5,147 320,401
Washington Mutual Inc 7,946 475,767
Wells Fargo & Co 2,858 726,647
------------
TOTAL BANK & FINANCE
- VALUE $ 25,533,155
- COST $ 18,468,529
BASIC INDUSTRIES-1.12%
ASARCO Inc 1,398 $ 42,989
Avery-Dennison Corp 3,310 135,917
Baker Hughes Inc 5,232 221,706
Bemis Co 1,705 74,913
Boise Cascade Corp 1,581 62,548
Champion International Corp 3,063 181,291
Cyprus Amax Minerals 3,016 76,154
Dover Corp 3,534 244,067
</TABLE>
56
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Echo Bay Mines Ltd 4,524 $ 22,903
Fort James Corp 5,982 251,244
Georgia-Pacific Corp 2,941 268,366
Harnischfeger Industries Inc 1,583 63,518
Homestake Mining Co 4,735 66,290
Ikon Office Solutions Inc 4,188 108,888
Inco Ltd 5,259 142,322
Louisiana-Pacific Corp 3,510 77,659
Mead Corp 1,665 118,111
Minnesota Mining & Manufacturing Co 13,324 1,197,495
NACCO Industries Inc Class A 298 25,703
Newmont Mining Corp 4,990 211,139
Potlatch Corp 949 44,306
Stone Container Corp 3,169 54,665
Union Camp Corp 2,241 132,919
Westinghouse Electric Corp 20,283 522,287
Westvaco Corp 3,221 109,111
Weyerhauser Co 6,297 363,652
Whitman Corp 3,246 79,527
Willamette Industries Inc 1,773 141,397
------------
TOTAL BASIC INDUSTRIES
- VALUE $ 5,041,087
- COST $ 4,303,420
BEVERAGES-1.65%
Anheuser-Busch Inc 15,842 $ 675,265
Coca-Cola Co 79,183 4,538,176
Coors (Adolph) Co Class B 1,204 44,398
Pepsico Inc 48,884 1,759,824
Seagrams Co Ltd 11,811 412,647
------------
TOTAL BEVERAGES
- VALUE $ 7,430,310
- COST $ 6,139,299
BROADCASTING-0.21%
Kingworld Productions 1,187 $ 47,183
Tele-Communications Inc Class A 21,099 369,233
Tribune Co 3,923 193,943
Viacom Inc Class B+ 11,259 333,548
------------
TOTAL BROADCASTING
- VALUE $ 943,907
- COST $ 969,470
</TABLE>
57
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATIONMASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BUILDING MATERIALS & SERVICES-0.31%
Cooper Industries Inc 3,764 $ 200,668
Corning Inc 7,318 386,939
Owens Corning Fiberglass Corp 1,730 70,173
Owens Illinois Inc+ 4,377 152,374
PPG Industries Inc 5,794 365,022
Snap-On Inc 1,970 82,740
Stanley Works 2,854 121,473
------------
TOTAL BUILDING MATERIALS & SERVICES
- VALUE $ 1,379,389
- COST $ 1,082,647
BUSINESS SERVICES-0.12%
Ecolab Inc 2,059 $ 92,784
Waste Management Inc 14,432 461,824
------------
TOTAL BUSINESS SERVICES
- VALUE $ 554,608
- COST $ 508,390
CHEMICALS-1.39%
Air Products & Chemicals Inc 3,476 $ 283,511
Clorox Co 1,640 215,250
Dow Chemical Co 7,485 662,423
Du Pont (E I) De Nemours 36,075 2,247,923
Eastman Chemical Co 2,541 151,984
FMC Corp+ 1,143 94,940
Goodrich (B F) Co 1,672 70,433
Grace (W R) Co 2,282 157,030
Great Lakes Chemical Corp 1,956 90,954
Hercules Inc 3,173 164,004
International Flavor & Fragrances 3,487 178,273
Monsanto Co 18,897 830,287
Morton International Inc 4,424 147,098
Nalco Chemical Co 2,102 84,080
Praxair Inc 4,987 266,493
Rohm & Haas Co 1,952 187,026
Rubbermaid Inc 4,777 119,425
Sigma-Aldrich Corp 3,175 103,584
Union Carbide Corp 4,044 207,508
------------
TOTAL CHEMICALS
- VALUE $ 6,262,226
- COST $ 4,952,333
</TABLE>
58
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SOFTWARE-2.21%
3Com Corp+ 10,553 $ 526,990
Adobe Systems Inc 2,308 90,878
Autodesk Inc 1,480 64,750
Automatic Data Processing 9,348 425,918
Bay Networks Inc+ 6,305 223,039
Choicepoint Inc+ -- 14
Computer Associates International Inc 11,550 772,406
Computer Sciences Corp+ 2,484 184,748
First Data Corp 14,326 588,261
Microsoft Corp 38,203 5,049,959
Novell Inc+ 11,082 103,894
Oracle Systems Corp 31,266 1,192,016
Parametric Technology Corp+ 4,027 187,004
Sun Microsystems Inc 11,752 564,096
------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 9,973,973
- COST $ 6,642,273
COMPUTER SYSTEMS-2.47%
Amdahl Corp+ 3,958 $ 48,733
Apple Computer Inc+ 4,073 88,588
Cabletron Systems Inc 4,922 148,891
Ceridian Corp+ 2,588 89,448
Cisco Systems Inc+ 21,182 1,596,593
Cognizant Corp 5,385 226,170
Compaq Computer Corp+ 21,915 1,435,433
Data General Corp+ 1,297 46,611
Dell Computer Corp 10,692 877,412
Digital Equipment Corp+ 4,855 208,765
EMC Corp+ 7,835 402,033
Harris Corp 1,257 109,516
Hewlett-Packard Co 32,474 1,991,062
International Business Machine Corp 31,690 3,196,729
Seagate Technology Inc 7,871 300,574
Shared Medical System Corp 794 38,906
Silicon Graphics Inc+ 5,603 153,732
Tandem Computers Inc+ 3,729 126,786
Unisys Corp+ 5,737 64,900
------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 11,150,882
- COST $ 7,344,746
</TABLE>
59
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
CONTAINER & PACKAGING-0.26%
Ball Corp 991 $ 32,579
Crown Cork & Seal Co 4,076 207,367
International Paper Co 9,627 507,824
Temple-Inland Inc 1,763 113,714
Tenneco Inc 5,504 267,288
Tupperware Corp 1,995 66,957
------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 1,195,729
- COST $ 1,059,682
ELECTRICAL EQUIPMENT-1.92%
Aeroquip-Vickers Inc 910 $ 50,846
General Electric Co 104,689 6,543,063
Grainger (W W) Inc 1,698 150,804
Masco Corp 5,100 226,631
Motorola Inc 18,937 1,389,502
National Service Industries Inc 1,474 65,225
Raychem Corp 1,417 131,870
Thomas & Betts Corp 1,723 96,488
------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 8,654,429
- COST $ 6,389,959
ELECTRONICS-2.19%
Advanced Micro Devices+ 4,430 $ 165,848
AMP Inc 7,056 352,800
Applied Materials Inc+ 5,753 542,939
Commscope Inc+ 1 17
EG&G Inc 1,505 31,981
Emerson Electric Co 14,218 777,547
General Semiconductor Inc 774 10,933
General Signal Corp 1,641 71,178
Honeywell Inc 4,075 281,684
Intel Corp 52,335 4,821,362
Johnson Controls Inc 2,626 125,227
LSI Logic Corp+ 4,543 146,228
Micron Technology Inc+ 6,681 297,722
National Semiconductor+ 4,545 155,666
Nextlevel Systems Inc+ 4,684 93,973
Perkin-Elmer Corp 1,428 105,672
</TABLE>
60
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Pitney Bowes Inc 4,687 $ 357,970
Tektronix Inc 1,089 60,508
Texas Instruments Inc 6,069 689,590
Xerox Corp 10,319 779,085
------------
TOTAL ELECTRONICS
- VALUE $ 9,867,930
- COST $ 5,957,613
ENERGY & RELATED-4.72%
Amerada Hess Corp 2,932 $ 170,423
Amoco Corp 15,799 1,493,993
Anadarko Petroleum Corp 1,897 139,311
Apache Corp 2,872 113,983
Ashland Inc 2,400 120,300
Atlantic Richfield Corp 10,286 771,450
Burlington Resources Inc 3,978 201,386
Chevron Corp 20,894 1,617,979
Coastal Corp 3,341 192,943
Columbia Gas System Inc 1,816 119,856
Consolidated Natural Gas Co 3,066 181,086
Dresser Industries Inc 5,628 234,969
Eastern Enterprises 671 23,946
Enron Corp 9,773 376,871
Enserch Exploration Inc+ -- 3
Exxon Corp 79,221 4,847,335
Halliburton Co 8,081 385,868
Helmerich & Payne Inc 840 59,325
Kerr-McGee Corp 1,552 96,418
Louisiana Land & Exploration Co 1,044 79,931
Mobil Corp 25,159 1,830,317
NICOR Inc 1,591 57,773
Occidental Petroleum Corp 10,475 245,508
ONEOK Inc 859 27,810
Oryx Energy Co+ 3,321 87,799
Pacific Enterprises Co 2,614 86,099
Pennzoil Co 1,514 116,862
Peoples Energy Corp 1,108 41,758
Phillips Petroleum Co 8,407 399,858
Rowan Co Inc+ 2,759 82,425
Royal Dutch Petroleum Corp 68,495 3,476,121
Schlumberger Ltd 15,763 1,200,944
</TABLE>
61
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Sonat Offshore Drilling Co 2,792 $ 139,077
Sun Co Inc 2,363 91,862
Texaco Inc 8,366 964,182
Union Pacific Resources Group 8,026 200,650
Unocal Corp 7,988 312,031
USX--Marathon Group 9,204 299,705
Western Atlas Inc+ 1,727 136,865
Williams Co Inc 5,026 234,023
------------
TOTAL ENERGY & RELATED
- VALUE $ 21,259,045
- COST $ 16,037,952
ENGINEERING & CONSTRUCTION-0.10%
Armstrong World Industries Inc 1,270 $ 86,916
Centex Corp 967 52,581
Fleetwood Enterprises Inc 1,088 33,864
Fluor Corp 2,645 148,451
Foster Wheeler Corp 1,326 60,582
Kaufman & Broad Home Corp 1,253 25,060
Pulte Corp 702 25,711
------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 433,165
- COST $ 390,536
ENTERTAINMENT & LEISURE-0.84%
Brunswick Corp 3,188 $ 97,234
Disney (Walt) Co 21,597 1,658,920
Harrah's Entertainment Inc+ 3,321 74,515
Hasbro Inc 4,089 109,878
Mattel Inc 9,296 310,835
Mirage Resorts Inc+ 5,590 149,882
Polaroid Corp 1,464 77,318
Time Warner Inc 17,871 920,357
U.S. West Media Group+ 19,352 387,040
------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 3,785,979
- COST $ 3,389,838
</TABLE>
62
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ENVIRONMENTAL CONTROL-0.06%
Browning-Ferris Industries Inc 6,729 $ 235,094
Safety-Kleen Corp 1,906 38,477
------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 273,571
- COST $ 253,837
FOOD & RELATED-2.03%
Albertson's Inc 7,962 $ 273,694
American Stores Co 8,678 205,560
Archer-Daniels-Midland Co 17,786 384,621
Brown-Forman Corp Class B 2,238 107,984
Campbell Soup Co 14,826 687,556
ConAgra Inc 7,575 487,167
CPC International Inc 4,586 408,727
Darden Restaurants Inc 5,023 50,544
Fleming Co Inc 1,260 23,783
General Mills Inc 5,137 329,410
Giant Food Inc Class A 1,876 60,970
Great Atlantic & Pacific Tea Co 1,210 30,326
Harcourt General Inc 2,218 105,494
Heinz (H J) Co 11,754 489,260
Hershey Foods Corp 4,876 260,257
Kellogg Co 13,262 593,475
Kroger Co+ 8,053 242,597
McDonald's Corp 22,064 1,043,903
Pioneer Hi Bred International Inc 2,664 228,272
Quaker Oats Co 4,397 206,659
Ralston-Purina Group 3,413 307,170
Sara Lee Corp 15,378 618,965
Super Value Inc 1,937 76,027
Sysco Corp 5,606 199,013
Unilever NV (Netherlands) 5,065 1,019,331
UST Inc 5,842 168,688
Wendy's International Inc 4,180 100,581
Winn-Dixie Stores Inc 4,763 160,454
Wrigley (W M) Jr Co 3,663 265,568
------------
TOTAL FOOD & RELATED
- VALUE $ 9,136,056
- COST $ 7,647,764
</TABLE>
63
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FURNITURE & APPLIANCES-0.05%
Maytag Corp 3,147 $ 86,346
Whirlpool Corp 2,339 133,908
------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 220,254
- COST $ 189,227
HEALTHCARE-0.20%
Cardinal Health Inc 3,425 $ 226,906
Healthsouth Corp 10,932 272,617
St Jude Medical Inc+ 2,967 112,931
United Healthcare Corp 5,911 287,422
------------
TOTAL HEALTHCARE
- VALUE $ 899,876
- COST $ 878,607
HOSPITAL & MEDICAL SUPPLIES-1.29%
Bard (C R) Inc 1,771 $ 61,100
Bausch & Lomb Inc 1,780 73,091
Baxter International Inc 8,885 472,571
Becton Dickinson & Co 3,902 187,052
Beverly Enterprises+ 3,137 51,172
Biomet Inc 3,498 72,584
Boston Scientific Corp+ 6,224 438,792
Columbia/HCA Healthcare Corp 21,327 673,133
Guidant Corp 2,386 209,521
Johnson & Johnson 42,472 2,407,632
Mallinckrodt Group Inc 2,310 84,026
Manor Care Inc 2,019 62,337
Medtronic Inc 7,639 690,375
Tenet Healthcare Corp+ 9,592 261,382
United States Surgical 2,309 76,053
------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 5,820,821
- COST $ 4,945,370
HOUSEHOLD PRODUCTS-1.36%
Alberto-Culver Co Class B 1,787 $ 52,158
Avon Products Inc 4,167 266,948
Colgate-Palmolive Co 9,459 593,552
Gillette Co 17,772 1,471,744
</TABLE>
64
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Kimberly-Clark Corp 17,912 $ 849,701
Procter & Gamble Co 21,647 2,880,404
------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 6,114,507
- COST $ 4,802,263
INSURANCE-2.30%
Aetna Inc 4,792 $ 457,337
Allstate Corp 14,068 1,027,843
American General Corp 7,734 372,682
American International Group Inc 22,439 2,117,633
Aon Corp 5,360 273,025
Chubb Corp 5,577 372,962
CIGNA Corp 2,408 441,567
Conseco Inc 5,799 249,357
General Re Corp 2,625 508,922
Hartford Financial Services Group 3,775 301,056
Humana Inc+ 5,238 123,420
Jefferson-Pilot Corp 2,267 157,698
Lincoln National Corp 3,341 223,638
Loews Corp 3,707 377,882
Marsh & McLennan Companies Inc 5,246 358,040
MBIA Inc 1,334 151,076
Progressive Corp Ohio 2,270 224,730
Providian Financial Corp 2,963 110,372
SAFECO Corp 4,011 197,040
St Paul Co 2,619 192,169
Sunamerica Inc 4,151 223,635
Torchmark Corp 4,438 167,257
Transamerica Corp 2,159 212,796
Travelers Inc 20,441 1,298,003
UNUM Corp 4,431 182,779
USF & G Corp 3,490 76,562
------------
TOTAL INSURANCE
- VALUE $ 10,399,481
- COST $ 8,122,304
</TABLE>
65
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
LODGING-0.18%
HFS Inc+ 5,072 $ 282,447
Hilton Hotels Corp 7,992 245,255
Marriott International 4,075 271,242
------------
TOTAL LODGING
- VALUE $ 798,944
- COST $ 681,130
MACHINERY-0.50%
Black & Decker Corp 3,020 $ 115,704
Case Corp 2,347 157,396
Caterpillar Inc 12,049 699,595
Cincinnati Milacron Inc 1,288 33,166
Cummins Engine Co Inc 1,190 91,556
Deere & Co 8,108 454,048
Ingersoll-Rand Co 3,426 205,988
McDermott International Inc 1,753 56,534
Pall Corp 3,989 94,489
Parker Hannifin Corp 2,348 151,006
Thermo Electron Corp+ 4,820 194,005
------------
TOTAL MACHINERY
- VALUE $ 2,253,487
- COST $ 1,671,833
MANUFACTURING-0.14%
Tyco International Ltd+ 7,829 $ 614,087
------------
TOTAL MANUFACTURING
- VALUE $ 614,087
- COST $ 443,109
METAL FABRICATORS-0.55%
Alcan Aluminum Ltd 7,231 $ 252,633
Allegheny Teledyne Inc 5,586 172,468
Aluminum Co of America 5,513 453,444
Armco Inc+ 3,481 20,668
Barrick Gold Corp 11,931 271,430
Battle Mountain Gold Co 7,399 42,082
Bethlehem Steel Corp+ 3,674 44,088
Crane Co 1,422 62,746
Engelhard Corp 4,557 95,127
Freeport McMoRan Inc 6,384 178,752
</TABLE>
66
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Inland Steel Industries Inc 1,556 $ 32,773
Nucor Corp 2,837 160,822
Phelps Dodge Corp 2,008 161,519
Placer Dome Inc 7,657 127,298
Reynolds Metals Co 2,286 161,592
Timken Co 2,029 75,961
USX--U.S. Steel Group 2,775 97,472
Worthington Industries Inc 3,123 57,971
------------
TOTAL METAL FABRICATORS
- VALUE $ 2,468,846
- COST $ 2,294,472
PHARMACEUTICALS-3.66%
Abbott Laboratories 24,643 $ 1,477,040
Allergan Inc 2,098 67,923
ALZA Corp+ 2,729 79,141
American Home Products Corp 20,520 1,477,440
Amgen Inc 8,481 420,340
Bristol-Myers Squibb Co 31,947 2,427,972
Lilly (Eli) & Co 17,706 1,852,490
Merck & Co Inc 38,484 3,533,312
Millipore Corp 1,416 70,092
Pfizer Inc 41,204 2,281,672
Pharmacia and Upjohn Inc 16,234 552,971
Schering-Plough Corp 23,368 1,121,664
Warner Lambert Co 8,697 1,105,063
------------
TOTAL PHARMACEUTICALS
- VALUE $ 16,467,120
- COST $ 12,189,718
PUBLISHING-0.45%
American Greetings Corp Class A 2,407 $ 83,643
Comcast Corp Class A 11,154 261,422
Donnelley (R R) & Sons Co 4,646 180,904
Dow Jones & Co Inc 3,012 128,951
Gannett Co Inc 4,485 437,007
Harland (John H) Co 965 19,119
Interpublic Group Co Inc 3,882 189,248
Knight-Ridder Inc 2,906 147,116
McGraw-Hill Inc 3,209 196,752
Meredith Corp 1,699 50,970
</TABLE>
67
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Moore Corp Ltd 2,816 $ 55,792
New York Times Co Class A 3,096 146,286
Times Mirror Co Class A 3,036 153,887
------------
TOTAL PUBLISHING
- VALUE $ 2,051,097
- COST $ 1,608,547
RETAIL & RELATED-2.26%
Autozone Inc+ 4,847 $ 136,928
Charming Shoppes Inc+ 3,406 20,542
Circuit City Stores Inc 3,105 110,616
Costco Co Inc+ 6,730 242,701
Dayton-Hudson Corp 6,948 396,036
Dilliard Department Inc Class A 3,610 144,400
Eastman Kodak Co 10,495 686,111
Federated Department Stores Inc+ 6,613 277,746
Gap Inc 8,705 386,828
Home Depot Inc 23,210 1,095,222
Jostens Inc 1,236 29,819
K Mart Corp+ 15,441 214,244
Limited Inc 8,652 196,833
Longs Drug Stores Corp 1,233 31,210
Lowe's Co Inc 5,521 190,820
May Department Stores Co 7,573 407,522
Mercantile Stores Co Inc 1,167 72,865
Newell Co 5,048 198,765
Nordstrom Inc 2,563 149,936
Penney (J C) Co Inc 7,881 472,860
Rite Aid Corp 3,962 198,348
Sears Roebuck & Co 12,474 707,900
Sherwin Williams Co 5,474 150,193
Tandy Corp 1,699 112,771
TJX Companies Inc 5,086 139,865
Toys R Us Inc+ 9,122 315,279
Walgreen Co 15,754 424,373
Walmart Stores Inc 72,351 2,568,461
Woolworth (F W) Co+ 4,319 96,638
------------
TOTAL RETAIL & RELATED
- VALUE $ 10,175,832
- COST $ 7,860,104
</TABLE>
68
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SERVICES-0.23%
Block (H R) Inc 3,352 $ 131,566
CUC International Inc 13,003 305,559
Dun & Bradstreet Corp 5,404 151,312
Public Service Enterprise Group 7,424 184,208
Service Corp International 7,671 245,472
------------
TOTAL SERVICES
- VALUE $ 1,018,117
- COST $ 963,821
TELECOMMUNICATIONS-3.55%
Airtouch Communications+ 16,064 $ 543,164
Alltel Corp 5,952 188,232
Ameritech Corp 17,477 1,095,589
Andrew Corp 2,856 71,031
AT & T Corp 51,872 2,023,008
Bell Atlantic Corp 24,817 1,796,117
BellSouth Corp 31,646 1,392,424
DSC Communications Corp+ 3,725 108,491
Frontier Corp 5,289 116,689
GTE Corp 30,433 1,356,171
ITT Corp+ 3,763 236,363
Lucent Technologies Inc 20,383 1,587,326
MCI Communications Corp 21,947 625,490
Northern Telecom Ltd 8,296 822,341
SBC Communication Inc 29,091 1,581,823
Scientific-Atlanta Inc 2,442 53,114
Sprint Corp 13,772 647,284
Tellabs Inc 5,747 343,024
U.S. West Inc 15,349 549,686
WorldCom Inc+ 28,515 853,668
------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 15,991,035
- COST $ 14,226,918
TEXTILES-0.01%
Springs Industries Inc Class A 679 $ 31,913
------------
TOTAL TEXTILES
- VALUE $ 31,913
- COST $ 29,615
</TABLE>
69
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TOBACCO-0.79%
Fortune Brands Inc 5,518 $ 189,681
Philip Morris Co Inc 77,572 3,384,079
------------
TOTAL TOBACCO
- VALUE $ 3,573,760
- COST $ 2,713,504
TRANSPORTATION-0.49%
Burlington Northern Santa Fe 4,956 $ 454,403
Caliber Systems Inc 1,248 52,104
CSX Corp 6,952 397,568
Federal Express Corp 3,614 240,105
Laidlaw Inc Class B 10,532 154,031
Norfolk Southern Corp 3,969 388,962
Union Pacific Corp 7,845 509,435
------------
TOTAL TRANSPORTATION
- VALUE $ 2,196,608
- COST $ 1,902,480
UTILITIES-1.14%
American Electric Power Inc 6,005 $ 262,343
Baltimore Gas & Electric Co 4,652 125,604
Carolina Power & Light Co 4,795 161,831
Central & South West Corp 6,806 140,799
Cinergy Corp 5,039 166,602
Consolidated Edison Co 7,484 229,198
Dominion Resources Inc 5,900 212,400
DTE Energy Co 4,601 136,305
Duke Power Co 11,501 557,080
Edison International 13,084 315,652
Entergy Corp 7,537 187,012
FPL Group Inc 5,846 271,839
GPU Inc 3,840 129,120
Houston Industries Inc 8,610 174,357
Niagara Mohawk Power Corp+ 4,704 42,042
Northern States Power Co 2,222 106,934
Ohio Edison Co 4,868 107,096
Pacificorp 9,435 195,776
PECO Energy Co 7,095 168,950
PG & E Corp 14,012 324,903
PP & L Resources Inc 5,286 115,962
</TABLE>
70
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Southern Co 21,748 $ 458,067
Texas Utilities Co 7,676 267,717
Unicom Corp 6,865 162,186
Union Electric Co 3,275 121,789
------------
TOTAL UTILITIES
- VALUE $ 5,141,564
- COST $ 5,082,155
------------
TOTAL COMMON STOCKS
- VALUE $222,270,998
- COST $172,467,509
</TABLE>
71
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY INTEREST MATURITY
NAME RATE DATE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES-49.90%
U.S. TREASURY BONDS-49.34%
U.S. Treasury Bonds 9.13% 05/15/18 $ 5,550,000 $ 7,057,169
U.S. Treasury Bonds 9.00 11/15/18 5,700,000 7,182,000
U.S. Treasury Bonds 8.88 08/15/17 7,200,000 8,928,000
U.S. Treasury Bonds 8.88 02/15/19 11,350,000 14,152,031
U.S. Treasury Bonds 8.75 05/15/20 6,600,000 8,167,500
U.S. Treasury Bonds 8.75 08/15/20 14,500,000 17,961,875
U.S. Treasury Bonds 8.50 02/15/20 6,800,000 8,213,094
U.S. Treasury Bonds 8.13 08/15/19 12,400,000 14,422,750
U.S. Treasury Bonds 8.13 05/15/21 3,650,000 4,261,375
U.S. Treasury Bonds 8.13 08/15/21 6,800,000 7,945,372
U.S. Treasury Bonds 8.00 11/15/21 20,850,000 24,062,193
U.S. Treasury Bonds 7.88 02/15/21 7,100,000 8,078,465
U.S. Treasury Bonds 7.63 11/15/22 6,150,000 6,834,188
U.S. Treasury Bonds 7.63 02/15/25 6,700,000 7,487,250
U.S. Treasury Bonds 7.50 11/15/24 11,250,000 12,389,063
U.S. Treasury Bonds 7.25 08/15/22 7,100,000 7,565,938
U.S. Treasury Bonds 7.13 02/15/23 12,700,000 13,350,875
U.S. Treasury Bonds 6.88 08/15/25 8,800,000 9,020,000
U.S. Treasury Bonds 6.75 08/15/26 2,950,000 2,985,031
U.S. Treasury Bonds 6.63 02/15/27 6,400,000 6,388,000
U.S. Treasury Bonds 6.50 11/15/26 4,300,000 4,216,688
U.S. Treasury Bonds 6.25 08/15/23 14,700,000 13,909,875
U.S. Treasury Bonds 6.00 02/15/26 8,400,000 7,686,000
------------
$222,264,732
U.S. TREASURY NOTES-0.56%
U.S. Treasury Notes 6.38% 08/15/27 $ 2,600,000 $ 2,521,186
------------
TOTAL U.S. TREASURY SECURITIES
- VALUE $224,785,918
- COST $216,835,638
SHORT-TERM INSTRUMENTS-8.47%
CASH EQUIVALENTS-3.54%
Dreyfus Cash Management Fund++ -- -- $ 2,954,795 $ 2,954,795
Janus Institutional Money Market Fund++ -- -- 7,000,000 7,000,000
Merrimac Premium Money Market Fund++ -- -- 6,000,000 6,000,000
------------
$ 15,954,795
</TABLE>
72
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST
31, 1997--(UNAUDITED)
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY INTEREST MATURITY
NAME RATE DATE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS-4.66%
Goldman Sachs Repurchase
Agreement++, dated 8/29/97,
due 9/3/97, with a maturity
value of $21,000,000 and an
effective yield of 5.67%,
collateralized by Federal
National Mortgage Association
obligations, with rates
ranging from 6.03% to 6.07%
with maturity dates ranging
from 12/01/33 to 4/1/35 and
with an aggregate market
value of $21,420,000. $ 21,000,000 $ 21,000,000
U.S. TREASURY BILLS-0.27%
U.S. Treasury Bills 4.78%* 09/18/97 $ 164,000 $ 163,608
U.S. Treasury Bills 4.75 * 10/09/97 44,000 43,773
U.S. Treasury Bills 4.84 * 10/30/97 407,000 403,714
U.S. Treasury Bills 4.92 * 11/06/97 309,000 306,171
U.S. Treasury Bills 4.96 * 11/13/97 284,000 281,103
U.S. Treasury Bills 4.96 * 11/20/97 22,000 21,755
------------
$ 1,220,124
------------
TOTAL SHORT-TERM INSTRUMENTS
- VALUE $ 38,174,919
- COST $ 38,174,340
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $427,477,487)** (Notes 1 and 3) 107.71% $485,231,835
Other Assets and Liabilities, Net (7.71)% (34,739,126)
------ ------------
TOTAL NET ASSETS 100.00% $450,492,709
====== ============
</TABLE>
- --------------------------------------------------------------------------------
+ Non-income earning securities.
++ Represents collateral received from securities lendings transactions (see
Note 4 of the notes to financial statements).
* 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 $59,110,213
Gross Unrealized
Depreciation (1,355,865)
-----------
NET UNREALIZED APPRECIATION $57,754,348
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
73
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-24.78%
AEROSPACE & DEFENSE-0.46%
$ 1,000,000 Lockheed Martin Corp 6.85% 05/15/01 $ 1,007,441
AUTOMOBILES-0.61%
$ 500,000 Ford Motor Co 8.88% 04/01/06 $ 562,009
750,000 General Motors Corp 8.13 04/15/16 774,985
------------
$ 1,336,994
BANK & FINANCE-8.97%
$ 500,000 ABN Amro Bank NV (Netherlands) 7.30% 12/01/26 $ 481,242
500,000 African Development Bank 7.75 12/15/01 522,197
1,000,000 American General Finance 5.88 07/01/00 986,301
750,000 Chrysler Financial Corp 5.38 10/15/98 744,635
1,000,000 CIT Group Holdings 6.63 06/15/05 984,114
1,000,000 Commercial Credit Corp 8.70 06/15/10 1,151,990
1,000,000 Dresdner Bank AG 6.63 09/15/05 982,837
1,200,000 Financing Corp 10.35 08/03/18 1,641,972
1,285,000 Financing Corp 9.80 04/06/18 1,679,322
500,000 First Union Corp 6.63 07/15/05 488,947
500,000 Ford Capital BV 9.00 08/15/98 512,960
1,000,000 Ford Motor Credit Corp 8.00 06/15/02 1,051,453
750,000 Ford Motor Credit Corp 7.75 10/01/99 771,109
500,000 General Electric Capital Corp 8.75 05/21/07 567,702
500,000 Hertz Corp 6.50 04/01/00 501,165
500,000 Hertz Corp 6.38 10/15/05 481,164
1,000,000 Household Finance Corp 6.70 06/15/02 998,464
500,000 International Bank of
Reconstruction & Development 5.25 09/16/03 472,237
1,000,000 KFW International Finance 7.63 02/15/04 1,053,600
500,000 Lehman Brothers Inc 9.88 10/15/00 540,541
1,000,000 Mellon Capital II 7.99 01/15/27 999,282
National Westminister Bank
1,000,000 Corp 9.45 05/01/01 1,092,482
500,000 NationsBank Corp 6.88 02/15/05 498,422
500,000 Swiss Bank Corp 7.00 10/15/15 486,295
------------
$ 19,690,433
BASIC INDUSTRIES-0.58%
$ 500,000 Champion International Corp 7.63% 09/01/23 $ 484,854
750,000 Weyerhauser Co 7.50 03/01/13 781,475
------------
$ 1,266,329
</TABLE>
74
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31,
1997--(UNAUDITED)
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
BEVERAGES-0.73%
$ 500,000 Anheusr Busch Co 8.75% 12/01/99 $ 524,301
1,000,000 Coca-Cola Enterprises 8.00 09/15/22 1,072,976
------------
$ 1,597,277
BUILDING MATERIALS & SERVICES-0.23%
$ 500,000 Hanson Overseas BV 7.38% 01/15/03 $ 512,907
BUSINESS SERVICES-0.70%
$ 1,500,000 Finova Capital Corp 7.40% 06/01/07 $ 1,540,761
CHEMICALS-0.92%
$ 500,000 Dow Chemical Co 8.62% 04/01/06 $ 555,703
500,000 Dupont Corp 6.00 12/01/01 491,077
1,000,000 Eastman Chemical Co 6.38 01/15/04 975,300
------------
$ 2,022,080
COMPUTER SYSTEMS-0.23%
$ 500,000 International Business Machines Corp 6.38% 06/15/00 $ 500,576
ENERGY & RELATED-0.46%
$ 1,000,000 Phillips 66 Capital Trust II 8.00% 01/15/37 $ 1,014,348
ENGINEERING & CONSTRUCTION-0.49%
$ 500,000 Archer-Daniels-Midland Co 8.38% 04/15/17 $ 565,722
500,000 Matsushita Corp ADR (Japan) 7.25 08/01/02 514,658
------------
$ 1,080,380
ENTERTAINMENT & LEISURE--0.23%
$ 500,000 Disney (Walt) Co 6.75% 03/30/06 $ 500,072
ENVIRONMENTAL CONTROL-0.17%
$ 350,000 Browning-Ferris Industries Inc 7.88% 03/15/05 $ 369,982
FOOD & RELATED-0.23%
$ 500,000 McDonald's Corp 6.75% 02/15/03 $ 504,000
HEALTHCARE-0.44%
$ 1,000,000 Columbia/HCA Healthcare Corp 7.25% 05/20/08 $ 975,904
INSURANCE-2.45%
$ 1,000,000 Aetna Services Inc 7.12% 08/15/06 $ 1,007,251
1,800,000 Banc One Corp 7.75 07/15/25 1,854,225
1,000,000 Hartford Life 7.65 06/15/27 1,016,007
1,510,000 Travelers/Aetna Property & Casualty Corp
6.75 04/15/01 1,515,086
------------
$ 5,392,569
MACHINERY-0.24%
$ 500,000 Caterpillar Inc 8.00% 02/15/23 $ 535,568
</TABLE>
75
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
PHARMACEUTICALS-0.46%
$ 1,000,000 Lilly (Eli) & Co 7.12% 06/01/25 $ 1,005,641
PUBLISHING-0.99%
$ 2,000,000 News America Holdings 8.50% 02/15/05 $ 2,168,278
TELECOMMUNICATIONS-2.22%
Bell Telephone Co of
$ 1,000,000 Pennsylvania 8.75% 08/15/31 $ 1,197,298
500,000 GTE California Corp 5.63 02/01/01 486,766
750,000 GTE North Inc 6.00 01/15/04 721,215
1,000,000 Lucent Technologies Inc 6.90 07/15/01 1,014,580
500,000 Michigan Bell Telephone 6.38 02/01/05 488,983
500,000 New York Telephone Co 5.88 09/01/03 479,106
500,000 Southwestern Bell Telephone Co 6.75 06/01/08 488,287
------------
$ 4,876,235
TOBACCO-0.23%
$ 500,000 Philip Morris Co 7.12% 10/01/04 $ 501,088
UTILITIES-2.74%
$ 500,000 Alabama Power Co 8.50% 05/01/22 $ 528,016
1,000,000 Central Power & Light Co 6.63 07/01/05 983,833
500,000 Hydro-Quebec 8.50 12/01/29 561,130
500,000 Pacific Gas & Electric Co 8.80 05/01/24 588,385
1,000,000 Pacific Gas & Electric Co 7.88 03/01/02 1,048,105
Pennsylvania Power & Light
500,000 Corp 7.75 05/01/02 517,288
750,000 Philadelphia Electric Co 8.75 04/01/22 790,391
500,000 Public Services Electric & Gas 6.13 08/01/02 489,622
500,000 Virginia Electric & Power Co 7.38 07/01/02 514,999
------------
$ 6,021,769
TOTAL CORPORATE BONDS & NOTES $ 54,420,632
(Cost $53,520,750)
FOREIGN GOVERNMENT BONDS & NOTES++-2.42%
$ 1,000,000 British Columbia (Province Of) 6.50% 01/15/26 $ 929,519
500,000 Finland (Republic Of) 7.88 07/28/04 534,830
500,000 Ireland (Republic Of) 7.12 07/15/02 508,226
500,000 Italy (Republic Of) 6.00 09/27/03 488,339
750,000 Ontario (Province Of) 7.63 06/22/04 788,789
700,000 Quebec (Province Of) 8.62 01/19/05 768,410
750,000 Sweden (Kingdom Of) 6.50 03/04/03 749,315
500,000 Victoria (Province Of) 8.45 10/01/01 535,480
------------
TOTAL FOREIGN GOVERNMENT BONDS & NOTES $ 5,302,908
(Cost $5,163,114)
</TABLE>
76
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES-11.39%
FEDERAL AGENCY-OTHER-1.50%
$ 500,000 Resolution Funding Corp 9.38% 10/15/20 $ 646,027
300,000 Tennessee Valley Authority 8.62 11/15/29 317,444
1,000,000 Tennessee Valley Authority 8.38 10/01/99 1,043,832
100,000 Tennessee Valley Authority 8.25 04/15/42 110,018
200,000 Tennessee Valley Authority 7.75 12/15/22 199,129
1,000,000 Tennessee Valley Authority 6.13 07/15/03 978,183
------------
$ 3,294,633
FEDERAL HOME LOAN BANK-0.91%
$ 2,000,000 Federal Home Loan Bank 6.00% 12/17/99 $ 1,987,362
FEDERAL HOME LOAN MORTGAGE
CORPORATION-0.32%
$ 700,000 Federal Home Loan Mortgage 7.22% 05/17/05 $ 710,888
FEDERAL NATIONAL MORTGAGE
ASSOCIATION-8.66%
Federal National Mortgage
$ 500,000 Assoc 8.25% 12/18/00 $ 529,032
Federal National Mortgage
500,000 Assoc 7.55 04/22/02 523,034
Federal National Mortgage
200,000 Assoc 7.55 06/10/04 202,267
Federal National Mortgage
2,000,000 Assoc 7.30 04/17/00 2,019,286
Federal National Mortgage
1,000,000 Assoc 7.26 07/05/14 311,827
Federal National Mortgage
2,000,000 Assoc 7.15 10/11/06 2,015,136
Federal National Mortgage
1,000,000 Assoc 6.95 09/10/02 998,768
Federal National Mortgage
1,500,000 Assoc 6.77 01/19/06 1,466,042
Federal National Mortgage
4,000,000 Assoc 6.70 08/10/01 4,016,292
Federal National Mortgage
400,000 Assoc 6.50 11/27/01 396,663
Federal National Mortgage
2,000,000 Assoc 6.40 03/25/03 1,971,640
Federal National Mortgage
1,000,000 Assoc 6.35 06/10/05 987,206
Federal National Mortgage
1,500,000 Assoc 6.33 08/11/00 1,505,369
Federal National Mortgage
505,000 Assoc 6.14 11/25/05 491,793
Federal National Mortgage
400,000 Assoc 5.30 12/10/98 396,638
Federal National Mortgage
1,200,000 Assoc 5.20 02/18/99 1,187,482
------------
$ 19,018,475
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 25,011,358
(Cost $24,783,253)
U.S. TREASURY SECURITIES-59.38%
U.S. TREASURY BONDS-15.45%
$ 190,000 U.S. Treasury Bonds 13.88% 05/15/11 $ 282,566
1,100,000 U.S. Treasury Bonds 12.00 08/15/13 1,563,375
</TABLE>
77
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
$ 4,150,000 U.S. Treasury Bonds 11.25% 02/15/15 $ 6,125,122
890,000 U.S. Treasury Bonds 11.13 08/15/03 1,099,984
700,000 U.S. Treasury Bonds 10.75 02/15/03 842,843
2,100,000 U.S. Treasury Bonds 10.75 05/15/03 2,542,313
250,000 U.S. Treasury Bonds 10.63 08/15/15 353,438
500,000 U.S. Treasury Bonds 9.13 05/15/09 571,250
600,000 U.S. Treasury Bonds 8.88 02/15/19 748,125
375,000 U.S. Treasury Bonds 8.75 11/15/08 418,125
1,900,000 U.S. Treasury Bonds 8.75 08/15/20 2,353,625
2,450,000 U.S. Treasury Bonds 8.13 08/15/19 2,849,656
1,000,000 U.S. Treasury Bonds 8.13 08/15/21 1,168,437
1,700,000 U.S. Treasury Bonds 7.88 02/15/21 1,934,280
700,000 U.S. Treasury Bonds 7.63 11/15/22 777,875
1,400,000 U.S. Treasury Bonds 7.63 02/15/25 1,564,500
3,000,000 U.S. Treasury Bonds 7.50 11/15/16 3,263,436
1,000,000 U.S. Treasury Bonds 7.25 08/15/22 1,065,625
1,000,000 U.S. Treasury Bonds 7.12 02/15/23 1,051,250
900,000 U.S. Treasury Bonds 6.75 08/15/26 910,688
2,500,000 U.S. Treasury Bonds 6.50 11/15/26 2,451,563
------------
$ 33,938,076
U.S. TREASURY NOTES-43.93%
$ 3,400,000 U.S. Treasury Notes 9.13% 05/15/99 $ 3,572,125
3,400,000 U.S. Treasury Notes 8.75 08/15/00 3,639,061
1,400,000 U.S. Treasury Notes 8.00 05/15/01 1,483,562
1,400,000 U.S. Treasury Notes 7.75 11/30/99 1,449,875
2,700,000 U.S. Treasury Notes 7.50 11/15/01 2,826,563
2,000,000 U.S. Treasury Notes 7.50 02/15/05 2,133,124
800,000 U.S. Treasury Notes 7.25 08/15/04 840,500
400,000 U.S. Treasury Notes 7.12 09/30/99 408,875
1,000,000 U.S. Treasury Notes 7.12 02/29/00 1,024,375
12,500,000 U.S. Treasury Notes 7.00 07/15/06 12,992,188
1,200,000 U.S. Treasury Notes 6.88 08/31/99 1,220,250
1,500,000 U.S. Treasury Notes 6.63 03/31/02 1,522,968
2,250,000 U.S. Treasury Notes 6.50 05/31/01 2,273,906
2,000,000 U.S. Treasury Notes 6.50 05/15/05 2,015,000
1,500,000 U.S. Treasury Notes 6.50 08/15/05 1,511,250
700,000 U.S. Treasury Notes 6.50 10/15/06 704,375
2,950,000 U.S. Treasury Notes 6.38 01/15/99 2,968,438
4,100,000 U.S. Treasury Notes 6.38 08/15/02 4,126,904
1,600,000 U.S. Treasury Notes 6.25 03/31/99 1,608,000
</TABLE>
78
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
$ 7,000,000 U.S. Treasury Notes 6.25% 05/31/99 $ 7,032,809
1,800,000 U.S. Treasury Notes 6.25 05/31/00 1,808,437
2,400,000 U.S. Treasury Notes 6.25 08/31/00 2,409,749
6,700,000 U.S. Treasury Notes 6.25 02/15/03 6,697,903
3,000,000 U.S. Treasury Notes 6.00 09/30/98 3,005,625
5,300,000 U.S. Treasury Notes 6.00 08/15/99 5,301,654
1,000,000 U.S. Treasury Notes 6.00 10/15/99 1,001,562
1,700,000 U.S. Treasury Notes 5.88 01/31/99 1,699,468
1,000,000 U.S. Treasury Notes 5.88 11/15/99 997,187
2,750,000 U.S. Treasury Notes 5.88 02/15/04 2,688,983
500,000 U.S. Treasury Notes 5.88 11/15/05 483,906
400,000 U.S. Treasury Notes 5.75 08/15/03 389,375
5,000,000 U.S. Treasury Notes 5.63 11/30/98 4,984,375
600,000 U.S. Treasury Notes 5.63 11/30/00 591,187
1,000,000 U.S. Treasury Notes 5.63 02/28/01 983,750
850,000 U.S. Treasury Notes 5.50 11/15/98 846,281
500,000 U.S. Treasury Notes 5.00 01/31/99 493,906
2,300,000 U.S. Treasury Notes 5.00 02/15/99 2,271,250
2,000,000 U.S. Treasury Notes 4.75 09/30/98 1,978,124
2,500,000 U.S. Treasury Notes 4.75 10/31/98 2,468,750
------------
$ 96,455,620
TOTAL U.S. TREASURY SECURITIES $130,393,696
(Cost $130,061,320)
SHORT-TERM INSTRUMENTS-5.58%
CASH EQUIVALENTS-1.07%
$ 843,813 Dreyfus Cash Management Fund+ -- -- $ 843,813
1,000,000 Janus Institutional Money Market Fund+ -- -- 1,000,000
500,000 Merrimac Premium Money Market Fund+ -- -- 500,000
------------
$ 2,343,813
REPURCHASE AGREEMENTS--4.10%
$9,000,000 Goldman Sachs Repurchase Agreement+,
dated 8/29/97, due 9/3/97, with a
maturity value of $9,000,000 and an
effective yield of 5.67%,
collateralized by a Federal National
Mortgage Association obligation with a
rate of 7.01% with a maturity date of
8/1/36 and with an aggregate market
value of $9,180,000. $ 9,000,000
</TABLE>
79
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
SHORT-TERM INSTRUMENTS (CONTINUED)
U.S. TREASURY BILLS-0.41%
$ 219,000 U.S. Treasury Bills 4.98%* 11/28/97 $ 216,306
388,000 U.S. Treasury Bills 4.96* 11/13/97 384,042
74,000 U.S. Treasury Bills 4.83* 10/16/97 73,543
128,000 U.S. Treasury Bills 4.82* 10/23/97 127,091
11,000 U.S. Treasury Bills 4.78* 09/18/97 10,974
50,000 U.S. Treasury Bills 4.75* 10/09/97 49,743
31,000 U.S. Treasury Bills 4.10* 09/11/97 30,961
------------
$ 892,660
TOTAL SHORT TERM INSTRUMENTS $ 12,236,473
(Cost $12,236,081)
</TABLE>
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENT
IN SECURITIES
(Cost
$225,764,518)**
(Notes 1 and 3) 103.55% $227,365,067
Other Assets and (3.55)% (7,787,051)
Liabilities, Net
------ ------------
TOTAL NET ASSETS 100.00% $219,578,016
====== ============
</TABLE>
- --------------------------------------------------------------------------------
+ Represents collateral received from securities lending transactions (see Note
4 of the notes to financial statements).
++ Investment is denominated in U.S. Dollars.
* 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 $3,197,040
Gross Unrealized
Depreciation (1,596,491)
----------
NET UNREALIZED APPRECIATION $1,600,549
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
80
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-91.91%
ADVERTISING-2.24%
HA-LO Industries Inc 130,000 $ 3,266,250
Snyder Communications Inc+ 70,000 2,003,750
------------
TOTAL ADVERTISING
- VALUE $ 5,270,000
- COST $ 2,870,981
AGRICULTURAL SERVICES--1.09%
Dimon Inc 106,700 $ 2,560,800
------------
TOTAL AGRICULTURAL SERVICES
- VALUE $ 2,560,800
- COST $ 2,717,255
AIRLINES--0.97%
Atlas Air Inc+ 82,500 $ 2,289,375
------------
TOTAL AIRLINES
- VALUE $ 2,289,375
- COST $ 3,773,720
APPAREL--0.78%
Tommy Hilfiger Corp.+ 42,000 $ 1,832,250
------------
TOTAL APPAREL
- VALUE $ 1,832,250
- COST $ 1,901,691
BANK & FINANCE--5.32%
CoreStates Financial Corp 5,000 $ 307,500
Envoy Corp+ 195,000 5,265,000
Firstplus Financial Group 64,000 2,944,000
Green Tree Financial Inc 26,000 1,142,375
Money Store Inc 100,000 2,850,000
------------
TOTAL BANK & FINANCE
- VALUE $ 12,508,875
- COST $ 8,754,793
BASIC INDUSTRIES--0.81%
Steel Dynamics Inc+ 75,000 $ 1,893,750
------------
TOTAL BASIC INDUSTRIES
- VALUE $ 1,893,750
- COST $ 1,875,000
</TABLE>
81
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY-0.82%
Agouron Pharmaceuticals Inc. 20,000 $ 880,000
Neurex Corp+ 43,000 559,000
Uroquest Medical Corp+ 102,500 486,875
------------
TOTAL BIOTECHNOLOGY
- VALUE $ 1,925,875
- COST $ 2,237,573
BROADCASTING-2.37%
Clear Channel Communications Inc 20,000 $ 1,358,750
Mastec, Inc. 17,500 817,031
Regal Cinemas Inc 96,500 2,738,182
TV Azteca SA ADR 37,000 666,000
------------
TOTAL BROADCASTING
- VALUE $ 5,579,963
- COST $ 5,159,175
BUSINESS SERVICES-5.19%
Accustaff Inc+ 187,500 $ 4,980,469
Concord EFS Inc+ 102,500 2,844,375
Quintiles Transnational Corp+ 56,000 4,368,000
------------
TOTAL BUSINESS SERVICES
- VALUE $ 12,192,844
- COST $ 10,044,580
COMPUTER SOFTWARE-14.86%
America Online Inc+ 105,000 $ 6,772,500
Checkfree Corp+ 100,000 1,925,000
Cognos Inc 101,500 3,235,313
HBO & Co 89,000 6,374,625
Microsoft Corp 16,500 2,181,094
Oracle Systems Corp 51,000 1,944,375
Quadramed Corp+ 78,000 1,365,000
Sterling Commerce Inc+ 85,000 2,810,313
Veritas Software Inc 107,000 6,754,375
Viasoft Inc 28,500 1,542,563
------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 34,905,158
- COST $ 25,437,234
COMPUTER SYSTEMS-6.30%
Adaptec Inc 132,000 $ 6,336,000
Cisco Systems Inc+ 50,000 3,768,750
Exabyte Corp+ 15,000 176,250
</TABLE>
82
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Quantum Corp 75,000 $ 2,629,688
Rational Software Corp 114,354 1,886,841
------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 14,797,529
- COST $ 11,224,302
ELECTRONICS-2.08%
Analog Devices Inc 70,001 $ 2,318,793
Interlink Electronics Inc+ 5,000 32,500
LSI Logic Corp+ 79,000 2,542,813
------------
TOTAL ELECTRONICS
- VALUE $ 4,894,106
- COST $ 5,134,223
ENERGY & RELATED-10.57%
Anadarko Petroleum Corp 30,000 $ 2,203,125
Diamond Offshore Drilling Inc 60,000 3,277,500
Ensco International Inc 80,500 5,111,750
Falcon Drilling Company Inc 70,000 2,205,000
Global Industries Ltd+ 55,500 2,022,281
Nabors Industries Inc+ 30,000 1,033,125
Newpark Resources Inc 103,000 3,489,125
Santa Fe International+ 98,000 4,385,500
Smedvig ASA ADR 40,000 1,115,000
------------
TOTAL ENERGY & RELATED
- VALUE $ 24,842,406
- COST $ 16,134,081
ENTERTAINMENT & LEISURE-1.13%
Family Golf Centers Inc+ 115,000 $ 2,666,563
------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 2,666,563
- COST $ 2,144,703
EQUIPMENT & SUPPLIES-0.84%
Danka Business Systems PLC ADR 42,000 $ 1,963,500
------------
TOTAL EQUIPMENT & SUPPLIES
- VALUE $ 1,963,500
- COST $ 1,650,360
</TABLE>
83
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FOOD & RELATED--1.38%
Northland Cranberries Class A 115,000 $ 1,969,375
Universal Corp 35,000 1,273,125
------------
TOTAL FOOD & RELATED
- VALUE $ 3,242,500
- COST $ 3,923,440
HEALTHCARE--8.30%
Access Health, Inc+ 39,000 $ 1,218,750
Genesis Health Ventures Inc+ 195,000 6,800,625
Healthsouth Corp 243,000 6,059,813
Renal Treatment Centers+ 160,000 5,420,000
------------
TOTAL HEALTHCARE
- VALUE $ 19,499,188
- COST $ 10,030,902
HOSPITAL & MEDICAL SUPPLIES--2.66%
Medtronic Inc 15,000 $ 1,355,625
Tenet Healthcare Corp+ 128,000 3,488,000
Ultrafem Inc+ 160,000 1,400,000
------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 6,243,625
- COST $ 7,478,252
INSURANCE--0.48%
Providian Financial Corp 30,000 $ 1,117,500
------------
TOTAL INSURANCE
- VALUE $ 1,117,500
- COST $ 1,114,132
INVESTMENT BANKING & BROKERAGE--0.18%
Ocwen Financial Corp+ 10,000 $ 426,875
------------
TOTAL INVESTMENT BANKING & BROKERAGE
- VALUE $ 426,875
- COST $ 435,000
LODGING--1.02%
HFS Inc+ 43,000 $ 2,394,563
------------
TOTAL LODGING
- VALUE $ 2,394,563
- COST $ 2,414,665
</TABLE>
84
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST
31, 1997 (UNAUDITED)
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS-3.08%
BioChem Pharma Inc 175,000 $ 4,539,063
McKesson Corp 16,000 1,499,000
Millipore Corp 24,000 1,188,000
------------
TOTAL PHARMACEUTICALS
- VALUE $ 7,226,063
- COST $ 6,887,303
PUBLISHING-1.42%
Central Newspapers Class A 49,000 $ 3,335,063
------------
TOTAL PUBLISHING
- VALUE $ 3,335,063
- COST $ 3,298,146
REAL ESTATE-0.40%
CCA Prison Realty Trust 5,000 $ 165,625
Kilroy Realty Corp 30,000 766,875
------------
TOTAL REAL ESTATE
- VALUE $ 932,500
- COST $ 870,000
RETAIL & RELATED-4.98%
Corporate Express Inc 298,000 $ 5,084,625
Eagle Hardware & Garden Inc+ 146,000 3,202,875
NuCo2 Inc+ 55,000 907,500
Office Depot Inc+ 135,500 2,498,281
------------
TOTAL RETAIL & RELATED
- VALUE $ 11,693,281
- COST $ 11,582,667
SERVICES-1.73%
Loewen Group Inc 128,500 $ 4,071,844
------------
TOTAL SERVICES
- VALUE $ 4,071,844
- COST $ 4,387,533
TELECOMMUNICATIONS-10.66%
360 Communications Co+ 48,000 $ 882,000
Ascend Communications Inc+ 56,000 2,376,500
IXC Communications Inc+ 71,000 1,917,000
LCI International Inc+ 276,000 6,624,000
Newbridge Network Corp 24,000 1,092,000
NEXTEL Communications Class A+ 175,000 4,385,938
</TABLE>
85
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--AUGUST 31, 1997
(UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Nokia Corp 70,000 $ 5,425,000
Paging Network Inc+ 232,500 2,354,063
------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 25,056,501
- COST $ 20,555,712
TRANSPORTATION-0.25%
Wisconsin Central Transport+ 19,000 $ 589,000
------------
TOTAL TRANSPORTATION
- VALUE $ 589,000
- COST $ 613,500
TOTAL COMMON STOCKS
- VALUE $215,951,497
- COST $174,650,923
WARRANTS-2.99%
Intel Corp Warrant Expires 03/14/98 98,000 $ 7,019,250
------------
TOTAL WARRANTS
- VALUE $ 7,019,250
- COST $ 824,500
TOTAL INVESTMENTS IN SECURITIES
(Cost $175,475,423)* (Notes 1 and 3) 94.90% $222,970,747
Other Assets and Liabilities, Net 5.10% 11,986,080
------- ------------
TOTAL NET ASSETS 100.00% $234,956,827
======= ============
</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 $56,769,792
Gross Unrealized
Depreciation (9,274,468)
-----------
NET UNREALIZED APPRECIATION $47,495,324
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
86
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
87
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS
PERCENT OF NET ASSETS 21.51% 46.15%
ADVERTISING
PERCENT OF NET ASSETS 0.03% 0.04%
Omnicom Group 588 $ 39,837 920 $ 62,330
Outdoor Systems Inc 0 -- 600 15,863
------------ ------------
TOTAL ADVERTISING
- VALUE $ 39,837 $ 78,193
- COST $ 19,978 $ 49,037
AEROSPACE & DEFENSE
PERCENT OF NET ASSETS 0.23% 0.75%
Allied Signal Inc 449 $ 37,071 2,213 $ 182,711
Boeing Co 800 43,550 7,293 397,013
Briggs & Stratton Corp 50 2,416 157 7,585
Coltec Industries+ 600 13,425 700 15,663
GenCorp Inc 0 -- 0 --
General Dynamics Corp 61 4,857 476 37,902
General Motors Corp Class H 800 50,850 1,100 69,919
Gulfstream Aerospace Corp+ 0 -- 400 11,850
Lockheed Martin Corp 152 15,761 1,417 146,925
Newport News Shipbuilding 64 1,244 293 5,673
Northrop Grumman Corp 36 4,214 426 49,869
Primex Technologies Inc 47 1,375 56 1,638
Raytheon Co 174 9,570 1,773 97,515
Rockwell International Corp 211 12,660 1,590 95,400
Rohr Industries Inc+ 0 -- 0 --
Sequa Corp Class A+ 110 5,638 0 --
Stewart & Stevenson Services 364 8,873 380 9,263
Sundstrand Corp 526 31,034 560 33,040
Textron Inc 60 3,739 1,199 74,713
United Technologies Corp 296 23,107 1,901 148,397
------------ ------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 269,384 $ 1,385,076
- COST $ 209,986 $ 1,054,963
AIRLINES
PERCENT OF NET ASSETS 0.25% 0.47%
AMR Corp+ 33 $ 3,325 656 $ 66,092
British Airways PLC ADR (UK) 1,300 134,306 2,800 289,275
Comair Holdings Inc 0 -- 500 13,438
Continental Airlines Class
B+ 0 -- 500 18,313
</TABLE>
88
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
64.91% 78.80% 93.50%
0.04% 0.04% 0.06%
1,720 $ 116,530 1,210 $ 81,978 2,058 $ 139,430
0 -- 0 -- 1,300 34,369
------------ ------------ ------------
$ 116,530 $ 81,978 $ 173,799
$ 55,352 $ 43,017 $ 116,974
1.15% 1.39% 1.66%
5,063 $ 418,014 4,065 $ 335,617 8,935 $ 737,696
18,281 995,172 14,540 791,521 29,452 1,603,293
432 20,871 341 16,475 590 28,504
700 15,663 900 20,138 1,200 26,850
485 12,974 0 -- 0 --
1,138 90,613 868 69,114 1,849 147,227
2,100 133,481 1,500 95,344 2,600 165,263
0 -- 500 14,813 800 23,700
3,595 372,757 2,829 293,332 5,701 591,122
616 11,927 465 9,013 846 16,399
1,200 140,475 937 109,688 1,970 230,613
108 3,153 86 2,510 126 3,685
4,362 239,910 3,455 190,025 7,089 389,895
3,954 237,240 3,098 185,880 6,230 373,800
287 7,767 207 5,602 0 --
137 7,021 102 5,228 0 --
495 12,066 365 8,897 845 20,597
1,390 82,010 930 54,870 1,390 82,010
3,020 188,184 2,426 151,170 4,816 300,097
4,220 329,424 3,472 271,033 7,449 581,488
------------ ------------ ------------
$ 3,318,722 $ 2,630,270 $ 5,322,239
$ 2,350,087 $ 1,849,714 $ 4,385,882
0.60% 0.75% 0.85%
1,649 $ 166,137 1,330 $ 133,998 2,761 $ 278,171
5,725 591,464 4,800 495,900 8,450 872,991
0 -- 600 16,125 1,000 26,875
0 -- 0 -- 1,000 36,625
</TABLE>
89
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Delta Air Lines Inc 38 $ 3,287 533 $ 46,105
Japan Air Lines Co ADR
(Japan) 8,700 70,687 31,600 256,750
KLM Royal Dutch Airlines ADR
(Netherlands) 507 16,604 1,110 36,353
Northwest Airlines Corp
Class A+ 600 21,938 900 32,906
Southwest Airlines Co 125 3,500 1,084 30,352
UAL Corp+ 500 38,094 700 53,331
USAir Group Inc+ 129 4,402 625 21,328
ValuJet Inc+ 300 1,650 200 1,100
------------ ------------
TOTAL AIRLINES
- VALUE $ 297,793 $ 865,343
- COST $ 302,460 $ 901,994
APPAREL
PERCENT OF NET ASSETS 0.08% 0.19%
CVS Corp 640 $ 36,080 1,334 $ 75,204
Fruit of the Loom Inc Class
A+ 14 375 624 16,692
Hartmarx Corp+ 81 628 230 1,783
Land's End Inc+ 0 -- 0 --
Liz Claiborne Inc 88 3,922 555 24,732
Nike Inc Class B 370 19,749 2,289 122,175
Nine West Group Inc+ 200 8,450 400 16,900
OshKosh B'Gosh Class A 26 660 49 1,243
Phillips Van Heusen Corp 0 -- 0 --
Reebok International Ltd 95 4,174 405 17,795
Russell Corp 73 2,081 282 8,037
Stride Rite Corp 63 748 375 4,453
VF Corp 63 5,568 479 42,332
Warnaco Group Inc Class A 300 9,731 600 19,463
------------ ------------
TOTAL APPAREL
- VALUE $ 92,166 $ 350,809
- COST $ 62,121 $ 254,086
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.08% 0.29%
Bandag Inc 0 $ -- 100 $ 5,331
Bandag Inc Class A 100 5,313 100 5,313
Cooper Tire & Rubber Co 21 528 615 15,452
Dana Corp 48 2,211 747 34,409
Deluxe Corp 70 2,306 614 20,224
Eaton Corp 83 7,475 551 49,624
Echlin Inc 3 111 469 17,382
Genuine Parts Co 152 4,693 1,368 42,237
Goodyear Tire & Rubber Co 140 8,628 1,179 72,656
Illinois Tool Works Inc 348 16,835 2,006 97,040
</TABLE>
90
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,368 $ 118,332 1,122 $ 97,053 2,262 $ 195,663
63,175 513,297 48,550 394,469 101,900 827,937
2,429 79,550 1,974 64,649 3,339 109,352
1,500 54,844 1,300 47,531 1,900 69,469
2,709 75,852 2,088 58,464 4,354 121,912
1,200 91,425 900 68,569 1,500 114,281
1,400 47,775 1,105 37,708 2,623 89,510
400 2,200 200 1,100 700 3,850
------------ ------------ ------------
$ 1,740,876 $ 1,415,566 $ 2,746,636
$ 1,772,973 $ 1,457,310 $ 2,877,220
0.28% 0.33% 0.41%
3,046 $ 171,718 2,425 $ 136,709 5,406 $ 304,763
1,469 39,296 1,099 29,398 2,280 60,990
389 3,015 354 2,743 618 4,789
547 14,393 0 -- 0 --
1,329 59,224 1,064 47,415 2,120 94,473
5,229 279,098 4,179 223,054 9,260 494,252
300 12,675 400 16,900 700 29,575
228 5,786 85 2,157 222 5,633
410 5,894 290 4,169 0 --
984 43,234 882 38,753 1,807 79,395
716 20,406 494 14,079 850 24,225
893 10,604 707 8,396 1,050 12,469
1,164 102,869 971 85,812 1,949 172,243
1,000 32,438 700 22,706 1,200 38,925
------------ ------------ ------------
$ 800,650 $ 632,291 $ 1,321,732
$ 579,952 $ 452,518 $ 1,087,674
0.43% 0.53% 0.64%
200 $ 10,663 100 $ 5,331 300 $ 15,994
200 10,625 200 10,625 400 21,250
1,451 36,456 1,171 29,421 2,286 57,436
1,898 87,427 1,519 69,969 3,097 142,656
1,538 50,658 1,217 40,085 2,473 81,454
1,397 125,817 1,139 102,581 2,301 207,234
1,189 44,067 935 34,653 1,884 69,826
3,293 101,672 2,620 80,877 5,375 165,953
2,851 175,693 2,276 140,259 4,633 285,509
4,521 218,703 3,625 175,359 8,005 387,242
</TABLE>
91
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ITT Industries Inc 131 $ 4,127 832 $ 26,208
Lear Corp+ 400 18,325 500 22,906
Mascotech Inc 0 -- 300 6,281
Modine Manufacturing Co 309 9,463 250 7,656
Navistar International Corp+ 31 769 550 13,647
PACCAR Inc 0 -- 554 26,246
Pep Boys- Manny Moe & Jack 57 1,511 472 12,508
Strattec Security Corp+ 10 230 28 644
Superior Industries
International Inc 322 8,775 260 7,085
TRW Inc 126 6,568 907 47,277
------------ ------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 97,868 $ 530,126
- COST $ 77,009 $ 414,521
AUTOMOBILES
PERCENT OF NET ASSETS 1.30% 2.27%
Chrysler Corp 590 $ 20,724 5,065 $ 177,908
Daimler-Benz
Aktiengesellschaft ADR
(Germany) 15,150 1,131,516 32,000 2,389,999
Fiat SpA ADR (Italy) 7,480 116,875 15,730 245,781
Ford Motor Co 930 39,990 8,787 377,841
General Motors Corp Class A 580 36,395 5,419 340,042
Harley-Davidson Inc 618 33,449 850 46,006
Hertz Corp Class A 0 -- 200 6,913
Honda Motor Co Ltd ADR
(Japan) 1,000 60,500 3,800 229,900
Nissan Motor Co Ltd ADR
(Japan) 2,300 29,325 8,500 108,375
Toyota Motor Corp ADR
(Japan) 1,500 79,125 5,400 284,850
------------ ------------
TOTAL AUTOMOBILES
- VALUE $ 1,547,899 $ 4,207,615
- COST $ 1,147,494 $ 3,248,871
BANK & FINANCE
PERCENT OF NET ASSETS 2.31% 4.82%
Advanta Corp Class B 300 $ 9,525 300 $ 9,525
Ahmanson (H F) & Co 130 6,598 731 37,098
Allied Irish Banks PLC ADR
(Ireland) 1,560 78,390 2,870 144,217
American Express Corp 741 57,613 3,760 292,340
American Financial Group Inc 304 13,148 390 16,868
Amsouth Bancorp 700 29,444 850 35,753
Associates First Capital
Corp 600 34,838 700 40,644
Banc One Corp 415 22,254 4,242 227,477
Banco Bilbao Vizcaya ADR
(Spain) 2,250 60,187 4,800 128,400
Banco Central
Hispanoamericano SA ADR
(Spain) 1,100 20,213 2,000 36,750
Banco Santander SA ADR
(Spain) 2,100 58,275 4,200 116,550
</TABLE>
92
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2,198 $ 69,237 1,759 $ 55,409 3,560 $ 112,140
500 22,906 800 36,650 1,500 68,719
0 -- 400 8,375 800 16,750
465 14,241 335 10,259 500 15,313
1,339 33,224 1,107 27,467 2,172 53,893
1,386 65,662 1,172 55,523 2,300 108,962
1,109 29,389 864 22,896 1,463 38,770
72 1,656 49 1,127 0 --
454 12,372 331 9,020 510 13,898
2,337 121,816 1,852 96,535 3,815 198,857
------------ ------------ ------------
$ 1,232,284 $ 1,012,421 $ 2,061,856
$ 965,020 $ 776,865 $ 1,726,861
3.07% 3.83% 4.23%
12,652 $ 444,402 10,063 $ 353,463 20,231 $ 710,614
64,300 4,802,405 54,300 4,055,531 95,500 7,132,656
31,570 493,281 26,675 416,797 46,910 732,969
21,967 944,581 17,387 747,641 35,246 1,515,578
13,404 841,101 10,608 665,652 21,499 1,349,062
1,759 95,206 1,244 67,332 1,990 107,709
0 -- 0 -- 500 17,281
7,625 461,313 5,875 355,438 12,300 744,150
16,950 216,113 12,950 165,113 27,250 347,438
10,825 571,019 8,350 440,463 17,550 925,763
------------ ------------ ------------
$ 8,869,421 $ 7,267,430 $ 13,583,220
$ 6,799,389 $ 5,668,308 $ 11,042,980
6.92% 8.21% 9.67%
500 $ 15,875 400 $ 12,700 700 $ 22,225
1,808 91,756 1,515 76,886 3,066 155,599
5,542 278,486 4,462 224,216 8,145 409,286
8,431 655,510 6,707 521,469 14,933 1,161,041
813 35,162 508 21,971 780 33,735
1,800 75,713 1,350 56,784 2,050 86,228
1,600 92,900 1,100 63,869 1,700 98,706
10,590 567,889 8,379 449,324 16,915 907,067
9,600 256,800 8,100 216,675 14,300 382,525
3,950 72,581 3,300 60,638 5,700 104,738
8,400 233,100 7,050 195,638 12,150 337,163
</TABLE>
93
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Bank of New York Inc 278 $ 12,406 2,841 $ 126,780
BankAmerica Corp 542 35,670 5,218 343,410
BankBoston Corp 150 12,469 1,040 86,450
Bankers Trust Corp 90 9,338 560 58,100
Barclays PLC ADR (UK) 1,650 150,563 3,100 282,875
Barnett Banks Inc 140 9,538 1,444 98,373
BB&T Corp 1,000 51,750 1,600 82,800
Beacon Properties Corp 0 -- 400 14,400
Bear Stearns Co Inc 999 39,539 1,154 45,665
Beneficial Corp 42 3,006 430 30,772
Cali Realty Corp 0 -- 400 14,900
Capital One Financial Corp 0 -- 100 3,850
Carramerica Realty Corp 0 -- 400 11,925
Central Fidelity Banks Inc 525 20,541 745 29,148
Charter One Financial Inc 430 23,381 525 28,547
Chase Manhattan Bank 511 56,817 3,454 384,042
Citicorp 377 48,115 3,423 436,860
Comdisco Inc 624 16,965 668 18,148
Comerica Inc 39 2,762 743 52,614
Commerce Bancshares Inc 340 18,317 440 23,705
Compass Bancshares Inc 400 14,250 600 21,375
ContiFinancial Corp+ 0 -- 100 3,288
CoreStates Financial Corp 204 12,546 1,483 91,204
Countrywide Credit
Industries Inc 1,100 37,056 800 26,950
Credit Acceptance Corp+ 200 2,825 200 2,825
Crescent Operating Inc+ 0 -- 80 1,290
Crescent Real Estate Co 0 -- 1,000 31,625
Crestar Financial Corp 1,004 44,866 1,240 55,413
Deposit Guaranty Corp 0 -- 400 12,825
Dime Bancorp Inc 800 15,450 1,200 23,175
Donaldson Lufkin & Jenrette
In 0 -- 100 5,938
Duke Realty Investments 0 -- 800 16,750
Edwards A G & Sons Inc 455 18,086 620 24,645
Equifax Inc 1,410 41,507 1,400 41,213
Federal Home Loan Mortgage
Corp 564 18,365 5,140 167,371
Federal National Mortgage
Assoc 1,416 62,304 8,385 368,940
Fifth Third Bancorp 266 15,561 1,317 77,045
Finova Group Inc 200 16,913 300 25,369
First American Corp 600 25,350 700 29,575
First Chicago NBD Corp 234 16,790 2,321 166,532
First Commerce Corp 300 16,013 400 21,350
First Empire State Corp 0 -- 100 36,550
First Hawaiian Inc 200 7,375 300 11,063
First of America Bank Corp 821 42,256 1,015 52,247
</TABLE>
94
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
7,163 $ 319,649 5,651 $ 252,176 11,387 $ 508,145
13,032 857,669 10,362 681,949 20,894 1,375,086
2,697 224,188 2,105 174,978 4,354 361,926
1,399 145,146 1,155 119,831 2,325 241,219
6,975 636,469 5,650 515,563 9,750 889,687
3,614 246,204 2,943 200,492 5,959 405,957
2,300 119,025 1,900 98,325 3,580 185,265
0 -- 0 -- 1,100 39,600
2,709 107,175 1,869 73,942 2,883 114,073
1,031 73,781 798 57,107 1,577 112,854
0 -- 0 -- 800 29,800
900 34,650 100 3,850 200 7,700
0 -- 0 -- 1,100 32,794
1,050 41,081 945 36,973 1,507 58,961
1,050 57,094 735 39,966 1,260 68,513
7,639 849,361 6,092 677,354 13,588 1,510,816
8,570 1,093,746 6,722 857,895 13,766 1,756,886
1,562 42,453 954 25,937 1,463 39,775
1,972 139,642 1,545 109,405 3,185 225,538
866 46,656 651 35,073 997 53,713
750 26,719 750 26,719 1,350 48,094
0 -- 0 -- 200 6,575
3,785 232,777 3,068 188,682 6,105 375,458
1,900 64,006 1,500 50,531 3,100 104,431
0 -- 200 2,825 500 7,063
0 -- 0 -- 200 3,225
0 -- 0 -- 2,200 69,575
1,970 88,034 1,830 81,778 2,870 128,253
0 -- 0 -- 900 28,856
2,400 46,350 1,900 36,694 2,800 54,075
900 53,438 200 11,875 300 17,813
0 -- 0 -- 1,600 33,500
1,017 40,426 977 38,836 1,525 60,619
3,642 107,211 2,672 78,657 4,840 142,477
12,748 415,107 10,131 329,891 20,451 665,936
18,859 829,796 15,133 665,852 33,496 1,473,824
2,922 170,937 2,302 134,667 5,141 300,749
600 50,738 500 42,281 700 59,194
1,400 59,150 1,000 42,250 1,600 67,600
5,747 412,347 4,541 325,817 9,223 661,750
800 42,700 500 26,688 900 48,038
100 36,550 100 36,550 100 36,550
300 11,063 400 14,750 600 22,125
2,113 108,820 1,303 67,105 2,287 117,781
</TABLE>
95
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
First Security Corp 861 $ 24,323 1,170 $ 33,053
First Tennessee National
Corp 508 27,051 740 39,405
First Union Corp 426 20,475 4,215 202,605
First USA Paymentech Inc+ 0 -- 100 3,038
First Virginia Banks Inc 359 24,457 380 25,888
Firstar Corp 1,200 40,425 1,400 47,163
Firstmerit Corp 300 14,063 300 14,063
Fleet Financial Group Inc 155 9,988 1,964 126,555
Franklin Resources Inc 694 53,698 950 73,506
GATX Corp 223 13,951 270 16,892
Golden State Bancorp+ 0 -- 600 17,325
Golden West Financial 62 5,103 376 30,949
Green Tree Financial Inc 150 6,591 1,042 45,783
Greenpoint Financial Corp 400 24,625 400 24,625
GTECH Holdings Corp+ 400 12,025 400 12,025
Hibernia Corp Class A 1,000 15,188 1,500 22,781
Highwood Properties Inc 0 -- 400 13,000
Household International Inc 41 4,548 815 90,414
Huntington Bancshares Inc 1,446 46,814 1,556 50,375
John Nuveen & Co Inc Class A 0 -- 100 3,044
Keycorp 173 10,488 1,603 97,182
Lehman Brothers Holdings 900 39,488 1,100 48,263
MBNA Corp 415 15,952 2,720 104,531
Medaphis Corp+ 800 7,300 900 8,213
Mellon Bank Corp 226 10,876 1,866 89,801
Mercantile Bancorp 636 43,844 970 66,869
Mercantile Bankshares 454 12,769 735 20,672
Mercury Financial Corp 1,800 2,813 1,800 2,813
Merrill Lynch & Co Inc 216 13,284 2,434 149,691
MGIC Investment Corp 0 -- 836 42,061
Money Store Inc 400 11,400 400 11,400
Morgan (J P) & Co Inc 139 14,908 1,408 151,008
National Australia Bank Ltd
ADR (Australia) 1,750 121,406 3,700 256,688
National City Corp 123 6,950 1,609 90,909
NationsBank Corp 618 36,694 5,343 317,241
Northern Trust Corp 934 49,619 1,320 70,125
Northfork Bancorp 0 -- 800 19,950
Norwest Corp 308 17,691 2,750 157,953
Old Kent Financial Corp 451 27,624 567 34,729
Old National Bancorp 330 14,438 221 9,647
Pacific Century Financial
Corp 374 18,443 460 22,684
Paine Webber Group Inc 600 23,063 800 30,750
Peoples Bank Bridgeport 0 -- 200 5,613
</TABLE>
96
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2,662 $ 75,187 1,953 $ 55,172 2,925 $ 82,631
1,570 83,603 1,100 58,575 1,780 94,785
10,660 512,360 8,370 402,283 16,842 809,492
0 -- 200 6,075 400 12,150
791 53,887 561 38,218 945 64,378
2,200 74,113 2,200 74,113 3,300 111,169
500 23,438 500 23,438 800 37,500
4,827 311,040 3,876 249,760 7,662 493,720
2,044 158,155 1,170 90,490 2,048 158,426
302 18,894 317 19,832 610 38,163
0 -- 0 -- 1,300 37,538
1,044 85,934 856 70,460 1,714 141,084
2,479 108,921 1,939 85,195 3,956 173,817
1,100 67,719 600 36,938 1,100 67,719
500 15,031 600 18,038 900 27,056
2,900 44,044 2,200 33,413 3,300 50,119
0 -- 0 -- 800 26,000
1,966 218,103 1,602 177,722 3,191 354,002
3,835 124,158 2,336 75,628 4,751 153,814
0 -- 0 -- 0 --
4,119 249,714 3,251 197,092 6,705 406,491
2,400 105,300 1,500 65,813 2,600 114,075
6,029 231,721 4,866 187,037 10,749 413,165
1,100 10,038 1,200 10,950 2,000 18,250
4,804 231,193 3,752 180,565 7,777 374,268
1,469 101,269 1,064 73,350 2,240 154,420
1,219 34,284 1,062 29,869 1,720 48,375
2,600 4,063 2,400 3,750 4,400 6,875
6,105 375,458 4,857 298,706 9,705 596,858
2,177 109,530 1,731 87,091 3,519 177,050
700 19,950 500 14,250 800 22,800
3,392 363,792 2,701 289,682 5,423 581,617
7,325 508,172 6,250 433,594 10,950 759,656
4,058 229,277 3,228 182,382 6,616 373,804
13,466 799,544 10,654 632,581 21,652 1,285,566
2,656 141,100 1,676 89,038 2,930 155,656
0 -- 0 -- 1,700 42,394
6,916 397,238 5,485 315,045 10,969 630,032
909 55,676 793 48,571 1,560 95,550
441 19,294 331 14,470 772 33,764
757 37,330 677 33,385 1,035 51,038
2,400 92,250 1,100 42,281 1,900 73,031
0 -- 0 -- 500 14,031
</TABLE>
97
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PNC Bank Corp 306 $ 13,235 2,395 $ 103,584
Price (T Rowe) & Associates 400 22,000 500 27,500
Provident Financial Group 0 -- 200 9,475
Regions Financial Corp 970 33,223 1,500 51,375
Republic New York Corp 0 -- 367 39,292
Ryder System Inc 36 1,285 554 19,771
Sabre Group Holding Inc 0 -- 300 9,225
Salomon Inc 119 7,125 770 46,104
Schwab (Charles) Corp 178 7,554 1,424 60,431
Signet Banking Corp 500 25,906 700 36,269
SLM Holding Corp 500 67,750 700 94,850
Spieker Properties Inc 0 -- 500 18,594
Star Banc Corp 700 31,631 1,000 45,188
Starwood Lodging Trust 0 -- 500 23,094
State Street Corp 1,438 71,720 1,500 74,813
Summit Bancorp 803 47,678 1,370 81,344
SunTrust Banks Inc 130 8,125 1,581 98,812
Synovus Financial Corp 1,425 37,317 1,875 49,102
TCF Financial Corp 400 21,325 400 21,325
U.S. Bancorp 336 29,421 2,003 175,388
Union Planters Corp 600 30,750 700 35,875
UnionBanCal Corp 100 7,731 100 7,731
United Asset Management Corp 500 13,406 700 18,769
United Dominion Realty Trust 0 -- 1,000 14,125
Wachovia Corp 175 10,894 1,166 72,584
Washington Federal Inc 484 13,189 594 16,187
Washington Mutual Inc 196 11,736 1,882 112,685
Wells Fargo & Co 52 13,221 638 162,212
Wesco Financial Corp 0 -- 0 --
Westpac Banking Corp ADR
(Australia) 1,650 47,644 3,400 98,175
Wilmington Trust Corp 392 19,747 410 20,654
Zions Bancorp 400 15,500 600 23,250
------------ ------------
TOTAL BANK & FINANCE
- VALUE $ 2,760,663 $ 8,942,609
- COST $ 1,724,895 $ 5,712,957
BASIC INDUSTRIES
PERCENT OF NET ASSETS 0.55% 1.05%
ASARCO Inc 23 $ 707 284 $ 8,733
Avery-Dennison Corp 96 3,942 822 33,753
Baker Hughes Inc 121 5,127 1,233 52,248
Bemis Co 40 1,758 427 18,761
Boise Cascade Corp 67 2,651 379 14,994
Boise Cascade Office
Products+ 0 -- 100 2,106
</TABLE>
98
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
5,913 $ 255,737 4,670 $ 201,978 9,500 $ 410,875
1,000 55,000 800 44,000 1,200 66,000
0 -- 0 -- 500 23,688
2,838 97,202 1,928 66,034 3,380 115,765
1,036 110,917 763 81,689 1,616 173,013
1,390 49,606 1,147 40,934 2,342 83,580
2,200 67,650 300 9,225 600 18,450
1,987 118,972 1,573 94,183 3,213 192,378
3,194 135,545 2,504 106,264 5,603 237,777
1,300 67,356 1,000 51,813 1,500 77,719
1,400 189,700 900 121,950 1,500 203,250
0 -- 0 -- 1,000 37,188
2,100 94,894 1,500 67,781 2,300 103,931
0 -- 0 -- 1,000 46,188
3,770 188,029 2,900 144,638 5,580 278,303
2,039 121,066 1,514 89,894 2,679 159,066
4,038 252,375 3,223 201,438 6,616 413,500
3,825 100,167 2,775 72,670 4,375 114,570
800 42,650 500 26,656 1,100 58,644
4,547 398,147 3,480 304,718 6,917 605,670
1,000 51,250 1,100 56,375 1,700 87,125
500 38,656 200 15,463 300 23,194
1,400 37,538 1,000 26,813 1,700 45,581
0 -- 0 -- 2,200 31,075
2,964 184,509 2,324 144,669 4,893 304,589
726 19,784 805 21,936 1,252 34,117
4,597 275,245 3,666 219,502 7,320 438,285
1,687 428,920 1,262 320,863 2,639 670,966
100 27,506 0 -- 0 --
6,900 199,238 5,800 167,475 10,100 291,638
649 32,693 504 25,389 875 44,078
1,200 46,500 800 31,000 1,600 62,000
------------ ------------ ------------
$ 19,983,562 $ 15,563,636 $ 31,064,714
$ 12,008,050 $ 9,479,878 $ 22,587,105
1.51% 1.86% 2.14%
833 $ 25,615 591 $ 18,173 1,306 $ 40,160
1,818 74,652 1,484 60,937 3,315 136,122
3,028 128,312 2,397 101,573 4,902 207,722
1,022 44,904 754 33,129 1,553 68,235
892 35,290 757 29,949 1,437 56,851
800 16,850 0 -- 200 4,213
</TABLE>
99
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Bowater Inc 395 $ 20,219 410 $ 20,987
Broken Hill Propriety Co Ltd
ADR (Australia) 3,680 92,460 7,460 187,432
Champion International Corp 38 2,249 661 39,123
Chesapeake Corp 256 8,800 200 6,875
Consolidated Papers Inc 286 16,677 280 16,328
Crown Vantage Inc+ 21 184 48 420
Cyprus Amax Minerals 36 909 660 16,665
Deltic Timber Corp 141 4,167 166 4,899
Dover Corp 150 10,359 927 64,021
Echo Bay Mines Ltd 121 613 1,208 6,116
Fort James Corp 568 23,856 1,166 48,972
Georgia-Pacific Corp 33 3,011 654 59,678
Glatfelter (P H) Co 486 10,054 280 5,793
Harnischfeger Industries Inc 8 321 384 15,408
Homestake Mining Co 116 1,624 1,125 15,750
Ikon Office Solutions Inc 188 4,888 972 25,272
Inco Ltd 129 3,491 1,199 32,448
Longview Fibre Co 554 11,599 540 11,306
Louisiana-Pacific Corp 118 2,611 796 17,611
LTB Corp 900 11,700 1,300 16,900
Mark IV Industries Inc 547 13,745 532 13,375
Mead Corp 54 3,831 366 25,963
Minnesota Mining &
Manufacturing Co 667 59,947 3,289 295,599
NACCO Industries Inc Class A 16 1,380 43 3,709
Newmont Gold Co 100 4,325 200 8,650
Newmont Mining Corp 157 6,643 1,270 53,737
Potlatch Corp 0 -- 233 10,878
Rayonier Inc 356 17,377 350 17,084
Rio Tinto PLC ADR
(Australia) 2,400 154,200 5,100 327,675
Sealed Air Corp+ 400 20,750 400 20,750
Smith International Inc 314 22,844 400 29,100
St Joe Paper Corp 100 8,563 100 8,563
Stone Container Corp 83 1,432 807 13,921
U.S. Industries Inc 395 15,010 505 19,190
Union Camp Corp 72 4,271 514 30,487
Unisource Worldwide Inc 94 1,704 865 15,678
Varco International Inc 292 11,607 0 --
Varian Associates Inc 277 15,806 390 22,254
Watts Industries Inc Class A 308 7,508 0 --
Wausau Paper Mills Co 392 8,575 316 6,913
Westinghouse Electric Corp 490 12,605 4,689 120,729
Westvaco Corp 102 3,455 788 26,694
Weyerhauser Co 160 9,240 1,434 82,814
</TABLE>
100
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
652 $ 33,374 607 $ 31,071 975 $ 49,908
16,490 414,311 13,920 349,740 24,480 615,060
1,735 102,690 1,374 81,324 2,867 169,691
361 12,409 266 9,144 650 22,344
770 44,901 490 28,573 770 44,901
104 910 81 709 132 1,155
1,762 44,490 1,377 34,769 2,791 70,473
308 9,097 199 5,887 334 9,880
2,014 139,092 1,578 108,981 3,577 247,037
2,497 12,641 1,834 9,285 3,052 15,451
2,474 103,908 2,084 87,528 3,973 166,866
1,696 154,760 1,371 125,104 2,757 251,576
769 15,909 489 10,116 770 15,929
947 37,998 718 28,810 1,504 60,348
2,714 37,996 2,191 30,674 4,402 61,628
2,438 63,388 1,930 50,180 4,212 109,512
3,038 82,216 2,431 65,789 4,978 134,717
890 18,634 575 12,039 1,330 27,847
2,011 44,493 1,595 35,289 3,248 71,862
1,900 24,700 1,700 22,100 2,700 35,100
870 21,870 762 19,153 1,174 29,488
1,003 71,150 733 51,997 1,576 111,798
7,354 660,941 5,932 533,139 13,110 1,178,261
144 12,420 143 12,334 157 13,541
200 8,650 200 8,650 300 12,975
2,748 116,275 2,182 92,326 5,021 212,451
511 23,857 411 19,189 820 38,284
462 22,551 526 25,675 819 39,977
10,225 656,956 8,650 555,763 15,150 973,388
606 31,436 636 32,993 1,000 51,875
597 43,432 627 45,614 900 65,475
200 17,125 200 17,125 200 17,125
1,815 31,309 1,408 24,288 2,902 50,060
950 36,100 760 28,880 1,235 46,930
1,304 77,344 1,001 59,372 2,095 124,260
1,174 21,279 1,092 19,792 1,674 30,341
524 20,829 374 14,867 0 --
735 41,941 490 27,961 765 43,653
464 11,310 334 8,141 0 --
572 12,513 407 8,903 371 8,116
11,710 301,545 9,305 239,604 18,872 485,948
1,900 64,363 1,533 51,930 3,118 105,622
3,599 207,842 2,898 167,360 5,786 334,141
</TABLE>
101
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Whitman Corp 60 $ 1,470 833 $ 20,409
Willamette Industries Inc 7 558 437 34,851
------------ ------------
TOTAL BASIC INDUSTRIES
- VALUE $ 650,823 $ 1,951,622
- COST $ 529,859 $ 1,632,707
BEVERAGES
PERCENT OF NET ASSETS 0.47% 1.32%
Anheuser-Busch Inc 632 $ 26,939 3,892 $ 165,896
Coca-Cola Co 3,632 208,159 19,649 1,126,132
Coca-Cola Enterprises Co 1,636 44,990 2,330 64,075
Coors (Adolph) Co Class B 67 2,471 327 12,058
Energy Group PLC ADR (UK) 1,068 43,188 1,987 80,349
Hanson PLC ADR (UK) 1,068 25,632 1,990 47,760
Kirin Brewery Co ADR (Japan) 1,400 115,150 5,150 423,587
Pepsico Inc 2,198 79,128 12,105 435,780
Seagrams Co Ltd 328 11,460 2,719 94,995
------------ ------------
TOTAL BEVERAGES
- VALUE $ 557,117 $ 2,450,632
- COST $ 557,638 $ 2,155,301
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.05% 0.04%
Agouron Pharmaceuticals Inc. 0 $ -- 200 $ 8,800
Biogen Inc 718 28,271 860 33,863
Chiron Corp+ 896 20,048 892 19,959
Genzyme Corp--General
Division 326 9,169 420 11,813
Genzyme Corp--Tissue Repair+ 45 481 13 135
Quest Diagnostics Inc+ 46 860 240 4,485
------------ ------------
TOTAL BIOTECHNOLOGY
- VALUE $ 58,829 $ 79,055
- COST $ 39,899 $ 68,405
BROADCASTING
PERCENT OF NET ASSETS 0.08% 0.16%
Clear Channel Communications
Inc 400 $ 27,175 700 $ 47,556
HSN Inc+ 461 15,221 365 12,029
Kingworld Productions 0 -- 274 10,892
LIN Television Corp+ 200 9,488 200 9,488
TCA Cable TV Inc 266 10,108 0 --
TCI Satellite Entertainment
Class A+ 107 739 543 3,750
Tele-Communications Inc
Class A+ 1,012 17,710 5,282 92,435
Tele-Communications
International Inc Class A+ 300 4,819 200 3,213
</TABLE>
102
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,948 $ 47,726 1,420 $ 34,790 3,310 $ 81,095
975 77,756 789 62,923 1,703 135,814
------------ ------------ ------------
$ 4,362,060 $ 3,533,642 $ 6,885,206
$ 3,667,176 $ 2,948,216 $ 6,008,782
1.87% 2.24% 2.85%
8,844 $ 376,976 7,214 $ 307,497 15,660 $ 667,507
43,963 2,519,628 35,231 2,019,177 78,262 4,485,391
6,564 180,510 3,144 86,460 5,565 153,038
701 25,849 529 19,507 1,102 40,636
3,871 156,534 3,056 123,577 5,156 208,496
3,872 92,925 3,257 78,168 5,657 135,768
10,200 838,950 7,900 649,775 16,450 1,353,013
27,211 979,596 21,770 783,720 48,325 1,739,700
6,813 238,029 5,374 187,754 10,962 382,985
------------ ------------ ------------
$ 5,408,997 $ 4,255,635 $ 9,166,534
$ 4,668,648 $ 3,556,502 $ 8,138,110
0.05% 0.05% 0.06%
0 $ -- 0 $ -- 600 $ 26,400
1,582 62,291 1,222 48,116 1,890 74,419
2,424 54,237 1,300 29,088 2,052 45,914
734 20,644 544 15,300 700 19,688
71 763 52 562 54 581
515 9,624 389 7,269 825 15,417
------------ ------------ ------------
$ 147,559 $ 100,335 $ 182,419
$ 115,823 $ 70,755 $ 152,150
0.23% 0.28% 0.34%
600 $ 40,763 800 $ 54,350 1,500 $ 101,906
650 21,443 472 15,578 1,306 43,098
662 26,315 557 22,141 956 38,001
300 14,231 200 9,488 300 14,231
371 14,098 276 10,488 0 --
1,150 7,942 883 6,098 1,866 12,887
12,176 213,080 9,755 170,713 21,394 374,395
1,500 24,094 200 3,213 600 9,638
</TABLE>
103
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Tribune Co 136 $ 6,724 914 $ 45,186
Viacom Inc Class B+ 272 8,058 2,560 75,840
------------ ------------
TOTAL BROADCASTING
- VALUE $ 100,042 $ 300,389
- COST $ 75,160 $ 285,687
BUILDING MATERIALS &
SERVICES
PERCENT OF NET ASSETS 0.23% 0.30%
AMBAC Inc 300 $ 24,244 300 $ 24,244
American Standard Co Inc+ 500 23,500 500 23,500
Cooper Industries Inc 128 6,824 831 44,303
Corning Inc 311 16,444 1,845 97,554
Cytec Industries Inc+ 300 14,644 400 19,525
Danaher Corp 200 10,713 380 20,354
Diebold Inc 565 26,202 735 34,086
Fastenal Co 300 17,288 300 17,287
Kennametal Inc 300 14,044 300 14,044
Keystone International Inc 383 14,434 300 11,306
Lafarge Corp 300 9,750 400 13,000
Lawson Products Inc 0 -- 0 --
Martin Marietta Inc 0 -- 100 3,494
Owens Corning Fiberglass
Corp 26 1,055 389 15,779
Owens Illinois Inc+ 700 24,369 1,100 38,294
PPG Industries Inc 98 6,174 1,288 81,144
Snap-On Inc 36 1,512 452 18,984
Southdown Inc 175 8,214 0 --
Stanley Works 108 4,597 729 31,028
USG Corp+ 400 17,150 400 17,150
Valspar Corp 400 12,325 400 12,325
Vulcan Materials Co 300 26,363 300 26,363
------------ ------------
TOTAL BUILDING MATERIALS &
SERVICES
- VALUE $ 279,846 $ 563,764
- COST $ 166,202 $ 368,398
BUSINESS SERVICES
PERCENT OF NET ASSETS 0.12% 0.20%
Accustaff Inc+ 0 $ -- 800 $ 21,250
APAC Teleservices Inc+ 100 1,650 200 3,300
Apollo Group Inc+ 0 -- 200 7,138
Concord EFS Inc+ 0 -- 600 16,650
Ecolab Inc 60 2,704 476 21,450
Intl Technology Corp 0 -- 0 --
Kelly Services Inc Class A 406 13,601 420 14,070
</TABLE>
104
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2,276 $ 112,520 1,807 $ 89,334 3,611 $ 178,519
6,446 190,963 5,185 153,606 10,640 315,210
------------ ------------ ------------
$ 665,449 $ 535,009 $ 1,087,885
$ 663,863 $ 521,153 $ 1,039,515
0.44% 0.50% 0.58%
900 $ 72,731 500 $ 40,406 800 $ 64,650
1,300 61,100 800 37,600 1,300 61,100
2,215 118,087 1,762 93,937 3,550 189,259
4,206 222,392 3,312 175,122 7,238 382,709
900 43,931 600 29,288 800 39,050
962 51,527 522 27,960 780 41,779
1,509 69,980 992 45,981 1,556 72,136
400 23,050 400 23,050 700 40,338
411 19,240 300 14,044 600 28,088
641 24,158 396 14,924 965 36,368
500 16,250 300 9,750 900 29,250
197 5,319 0 -- 0 --
0 -- 0 -- 200 6,988
964 39,102 707 28,678 1,713 69,484
1,400 48,738 1,700 59,181 3,500 121,844
3,363 211,869 2,662 167,706 5,347 336,861
1,099 46,158 843 35,406 1,814 76,188
253 11,875 178 8,355 0 --
1,670 71,079 1,223 52,054 2,834 120,622
500 21,438 600 25,725 900 38,587
600 18,488 600 18,488 900 27,731
800 70,300 500 43,938 800 70,300
------------ ------------ ------------
$ 1,266,812 $ 951,593 $ 1,853,332
$ 833,862 $ 625,805 $ 1,328,322
0.23% 0.31% 0.34%
1,600 $ 42,500 1,000 $ 26,563 1,700 $ 45,156
400 6,600 400 6,600 600 9,900
0 -- 200 7,138 400 14,275
0 -- 900 24,975 1,500 41,625
1,175 52,948 933 42,043 2,141 96,479
137 1,002 0 -- 0 --
689 23,082 619 20,736 885 29,647
</TABLE>
105
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Laidlaw Environmental
Services+ 131 $ 606 353 $ 1,633
Manpower Inc 700 29,881 800 34,150
Nielson (A C) Corp+ 73 1,661 453 10,306
Ogden Corp 101 2,342 625 14,492
Olsten Corp 691 12,956 525 9,844
Paychex Inc 685 23,461 1,027 35,175
Quintiles Transnational
Corp+ 200 15,600 300 23,400
Robert Half International
Inc+ 400 23,350 500 29,188
Rollins Inc 388 8,390 210 4,541
Security Dynamics Technology
I 0 -- 300 11,794
Teletech Holdings Inc+ 0 -- 100 1,638
Waste Management Inc 322 10,304 3,301 105,632
------------ ------------
TOTAL BUSINESS SERVICES
- VALUE $ 146,506 $ 365,651
- COST $ 118,174 $ 312,512
CHEMICALS
PERCENT OF NET ASSETS 0.76% 1.48%
Air Products & Chemicals Inc 125 $ 10,195 902 $ 73,569
Airgas Inc+ 400 7,275 700 12,731
Albemarle Corp 313 7,688 460 11,299
Arco Chemical Co 100 4,375 100 4,375
Autoliv Inc 45 1,758 1,199 46,848
Betz Labs Inc 296 19,296 340 22,164
Cabot Corp 710 19,436 740 20,258
ChemFirst Inc 35 879 84 2,111
Clorox Co 45 5,906 432 56,700
Courtaulds PLC ADR (UK) 17,200 92,450 36,100 194,038
Crompton & Knowles Corp 550 13,888 740 18,685
Dow Chemical Co 232 20,532 1,691 149,654
Du Pont (E I) De Nemours 1,592 99,202 8,944 557,322
Eastman Chemical Co 20 1,196 612 36,605
Ethyl Corp 1,031 9,279 1,010 9,090
Ferro Corp 305 11,476 250 9,406
FMC Corp+ 0 -- 322 26,746
Forest Labs Inc Class A+ 382 15,686 470 19,299
Freeport McMoRan Inc 354 12,124 363 12,433
Fuller (H B) Co 0 -- 0 --
Georgia Gulf Corp 237 6,814 360 10,350
Goodrich (B F) Co 90 3,791 403 16,976
Grace (W R) Co 39 2,684 605 41,632
Great Lakes Chemical Corp 75 3,487 413 19,205
Hanna (M A) Co 580 15,007 550 14,231
Hercules Inc 88 4,549 835 43,159
</TABLE>
106
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
769 $ 3,557 623 $ 2,881 822 $ 3,802
1,400 59,763 1,300 55,494 2,000 85,375
918 20,885 707 16,084 1,530 34,808
884 20,498 606 14,052 1,144 26,526
1,117 20,944 988 18,525 1,316 24,675
1,804 61,787 1,440 49,320 2,312 79,186
300 23,400 400 31,200 700 54,600
1,000 58,375 700 40,863 1,200 70,050
645 13,948 400 8,650 675 14,597
0 -- 400 15,725 700 27,519
0 -- 0 -- 300 4,913
8,301 265,632 6,639 212,448 13,354 427,328
------------ ------------ ------------
$ 674,921 $ 593,297 $ 1,090,461
$ 553,253 $ 500,836 $ 973,132
2.05% 2.49% 2.93%
1,973 $ 160,923 1,597 $ 130,255 3,500 $ 285,469
600 10,913 900 16,369 1,400 25,463
1,112 27,313 732 17,980 986 24,219
200 8,750 200 8,750 300 13,125
870 33,980 634 24,749 2,711 105,894
727 47,391 507 33,050 705 45,957
1,772 48,508 1,232 33,726 1,790 49,001
314 7,889 224 5,628 347 8,727
953 125,081 711 93,319 1,623 213,019
72,800 391,300 61,600 331,100 108,300 582,113
885 22,346 570 14,393 1,830 46,207
4,282 378,957 3,415 302,227 6,847 605,960
20,064 1,250,237 16,098 1,003,107 35,608 2,218,824
1,435 85,831 1,118 66,870 2,366 141,516
2,029 18,261 1,308 11,772 2,530 22,770
436 16,404 331 12,454 815 30,664
691 57,396 554 46,017 1,141 94,774
1,066 43,773 686 28,169 1,060 43,526
684 23,427 359 12,296 678 23,222
225 12,417 0 -- 0 --
745 21,419 465 13,369 640 18,400
960 40,440 828 34,880 1,671 70,391
1,263 86,910 1,174 80,786 2,386 164,187
1,140 53,010 902 41,943 1,821 84,677
967 25,021 800 20,700 1,162 30,067
1,817 93,916 1,391 71,897 3,271 169,070
</TABLE>
107
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IMC Global Inc 618 $ 21,746 900 $ 31,669
Imperial Chemical Industries
PLC ADR (UK) 1,800 118,125 3,900 255,938
International Flavor &
Fragrances 171 8,742 897 45,859
Johns Manville Corporation 0 -- 400 4,950
Lawter International Inc 0 -- 0 --
Lubrizol Corp 529 23,177 660 28,916
Lyondell Petrochemical 476 11,543 580 14,065
Millennium Chemicals Inc 611 12,821 836 17,546
Mississippi Chemical Corp 11 239 28 608
Monsanto Co 715 31,415 4,731 207,868
Montedison Spa ADR (Italy) 2,646 16,041 6,292 38,145
Morton International Inc 132 4,389 1,015 33,749
Nalco Chemical Co 71 2,840 511 20,440
OEA Inc 0 -- 0 --
Olin Corp 470 20,915 560 24,920
Praxair Inc 211 11,275 1,225 65,461
Premark International Inc 461 13,715 706 21,003
Rhone Poulenc Rorer Class A 3,850 145,819 8,413 318,642
Rohm & Haas Co 69 6,611 509 48,769
RPM Inc 778 15,803 887 18,017
Rubbermaid Inc 156 3,900 1,265 31,625
Schulman (A) Inc 403 8,816 420 9,188
Sigma-Aldrich Corp 124 4,046 755 24,632
Terra Industries Inc 500 6,688 400 5,350
Thiokol Inc 216 17,199 0 --
Union Carbide Corp 140 7,184 918 47,105
Wellman Inc 363 8,258 280 6,370
------------ ------------
TOTAL CHEMICALS
- VALUE $ 910,280 $ 2,749,721
- COST $ 771,142 $ 2,238,464
COMPUTER SOFTWARE
PERCENT OF NET ASSETS 1.07% 2.07%
3Com Corp+ 1,875 $ 93,633 2,629 $ 131,286
Adobe Systems Inc 120 4,732 540 21,275
Altera Corp 720 38,340 1,020 54,315
America Online Inc+ 600 38,700 1,000 64,500
Anixter International Inc+ 500 8,094 500 8,094
Autodesk Inc 84 3,675 395 17,281
Automatic Data Processing 396 18,043 2,364 107,710
Bay Networks Inc+ 293 10,365 1,591 56,282
BMC Software Inc 812 50,852 1,080 67,635
Broderbund Software Inc+ 200 5,900 200 5,900
Cadence Design Systems Inc+ 782 37,194 1,112 52,889
</TABLE>
108
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,530 $ 53,837 1,270 $ 44,688 2,000 $ 70,375
7,775 510,234 6,550 429,844 11,500 754,688
1,964 100,409 1,519 77,659 3,521 180,011
1,800 22,275 300 3,713 700 8,663
677 8,886 0 -- 0 --
1,517 66,464 942 41,271 1,600 70,100
1,317 31,937 892 21,631 1,045 25,341
2,212 46,459 1,046 21,972 1,946 40,872
106 2,299 74 1,605 116 2,516
10,486 460,729 8,602 377,950 18,697 821,499
12,957 78,552 10,367 62,850 18,162 110,107
2,639 87,747 2,046 68,030 4,204 139,783
1,220 48,800 1,004 40,160 2,096 83,840
308 11,454 223 8,293 0 --
1,078 47,971 858 38,181 1,260 56,070
2,882 154,007 2,279 121,784 5,058 270,287
1,133 33,707 796 23,681 1,450 43,137
16,520 625,695 13,950 528,356 24,541 929,490
1,097 105,106 889 85,177 1,878 179,936
1,198 24,334 1,286 26,122 1,868 37,944
2,701 67,525 2,102 52,550 4,897 122,425
686 15,006 616 13,475 1,185 25,922
1,847 60,258 1,447 47,208 3,115 101,627
700 9,363 500 6,688 1,100 14,713
295 23,489 210 16,721 0 --
2,279 116,941 1,791 91,901 3,763 193,089
495 11,261 365 8,304 845 19,224
------------ ------------ ------------
$ 5,916,558 $ 4,715,620 $ 9,418,901
$ 4,773,950 $ 3,744,969 $ 7,902,476
2.78% 3.35% 4.17%
6,041 $ 301,672 4,831 $ 241,248 10,498 $ 524,244
1,266 49,829 1,015 39,964 2,292 90,248
2,036 108,417 1,296 69,012 2,280 121,410
1,200 77,400 1,300 83,850 2,300 148,350
500 8,094 700 11,331 1,200 19,425
922 40,337 624 27,300 1,544 67,550
5,284 240,752 4,245 193,413 9,399 428,242
3,561 125,970 2,814 99,545 6,387 225,940
2,132 133,517 1,552 97,194 2,380 149,047
200 5,900 200 5,900 500 14,750
1,675 79,667 1,345 63,972 2,465 117,242
</TABLE>
109
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Cambridge Technology
Partners+ 0 $ -- 400 $ 12,900
Choicepoint Inc+ 141 5,006 140 4,970
Citrix Systems Inc+ 0 -- 300 15,150
Compuserve Corp+ 0 -- 200 2,525
Computer Associates
International Inc 428 28,623 2,892 193,402
Computer Sciences Corp+ 138 10,264 633 47,079
Compuware Corp 600 37,050 800 49,400
CSK Corp ADR (Japan) 1,650 56,925 6,100 210,450
DST Systems Inc+ 200 7,238 300 10,856
Electronic Arts Inc 500 15,906 500 15,906
Electronic Data Systems Corp 2,688 101,640 3,830 144,822
First Data Corp 544 22,338 3,612 148,318
Fiserv Inc+ 417 18,765 530 23,850
Gartner Group Inc Class A 400 10,575 600 15,863
HBO & Co 700 50,138 1,000 71,625
Information Resources Inc+ 0 -- 0 --
Informix Corp+ 1,390 12,597 1,720 15,588
Intuit Inc+ 400 10,450 400 10,450
Keane Inc 0 -- 400 23,500
McAfee Associates Inc 350 19,819 450 25,481
Mentor Graphics Corp+ 600 6,975 700 8,138
Microsoft Corp 1,768 233,708 9,505 1,256,441
MobileMedia Corp+ 300 150 200 100
NEC Corp ADR (Japan) 950 53,913 3,400 192,950
Netscape Communications
Corp+ 200 7,963 500 19,906
Novell Inc+ 220 2,063 2,699 25,303
Objective Systems Integrator
Corp+ 0 -- 100 825
Oracle Systems Corp 1,265 48,209 7,704 293,715
Parametric Technology Corp+ 120 5,573 999 46,391
Peoplesoft Inc 600 33,750 800 45,000
Reynolds & Reynolds Co Class
A 746 15,013 920 18,515
Shiva Corp+ 300 4,425 300 4,425
SPS Transaction Services Inc 0 -- 100 2,131
Sterling Commerce Inc+ 677 22,383 837 27,673
Sterling Software Inc 300 10,294 400 13,725
Storage Technology Corp+ 459 23,380 635 32,345
Stratus Computer Inc+ 261 14,486 210 11,655
Structural Dynamics
Research+ 303 8,048 0 --
Sun Microsystems Inc 506 24,288 2,995 143,760
Sungard Data Systems Inc+ 400 20,850 500 26,063
Symantec Corp+ 378 9,096 500 12,031
</TABLE>
110
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0 $ -- 500 $ 16,125 800 $ 25,800
364 12,929 267 9,486 484 17,182
0 -- 400 20,200 600 30,300
400 5,050 0 -- 400 5,050
6,559 438,633 5,309 355,039 11,482 767,859
1,399 104,051 1,143 85,011 2,498 185,789
1,200 74,100 1,200 74,100 1,900 117,325
12,100 417,450 9,225 318,262 19,400 669,300
400 14,475 300 10,856 500 18,094
1,000 31,812 600 19,088 1,200 38,175
7,491 283,253 5,076 191,936 8,800 332,750
8,102 332,688 6,491 266,537 14,170 581,856
699 31,455 629 28,305 1,295 58,275
1,000 26,438 800 21,150 1,200 31,725
1,800 128,925 1,400 100,275 2,400 171,900
403 7,254 0 -- 0 --
3,118 28,257 2,138 19,376 3,480 31,538
800 20,900 500 13,063 1,000 26,125
0 -- 0 -- 900 52,875
900 50,963 675 38,222 950 53,794
852 9,905 1,000 11,625 1,600 18,600
21,215 2,804,357 17,006 2,247,981 37,822 4,999,596
400 200 300 150 700 350
6,825 387,319 5,250 297,938 11,000 624,250
1,500 59,719 800 31,850 1,745 69,470
6,594 61,819 5,067 47,503 10,448 97,950
0 -- 0 -- 200 1,650
17,433 664,634 14,016 534,360 30,917 1,178,692
2,321 107,781 1,821 84,563 4,108 190,765
1,400 78,750 1,200 67,500 1,900 106,875
2,112 42,504 1,352 27,209 2,200 44,275
600 8,850 400 5,900 600 8,850
0 -- 0 -- 200 4,263
1,254 41,460 996 32,930 1,974 65,265
600 20,588 500 17,156 800 27,450
1,284 65,404 967 49,257 1,525 77,680
366 20,313 271 15,041 750 41,625
434 11,528 319 8,473 0 --
6,657 319,536 5,377 258,096 11,862 569,376
900 46,913 700 36,488 1,000 52,125
636 15,304 761 18,312 1,500 36,094
</TABLE>
111
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Synopsys Inc+ 400 $ 13,850 500 $ 17,313
Total System Services Inc 300 7,031 300 7,031
------------ ------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 1,282,310 $ 3,834,738
- COST $ 982,123 $ 2,617,451
COMPUTER SYSTEMS
PERCENT OF NET ASSETS 0.45% 1.58%
Adaptec Inc 900 $ 43,200 1,300 $ 62,400
Amdahl Corp 77 948 982 12,091
Apple Computer Inc+ 130 2,828 936 20,358
Cabletron Systems Inc 250 7,563 1,268 38,357
Ceridian Corp+ 127 4,389 599 20,703
Cisco Systems Inc+ 848 63,918 5,211 392,779
Cognizant Corp 173 7,266 1,362 57,204
Compaq Computer Corp 980 64,190 5,418 354,847
Data General Corp+ 62 2,228 323 11,608
Dell Computer Corp 340 27,901 2,648 217,302
Digital Equipment Corp 117 5,031 1,082 46,526
EMC Corp+ 308 15,804 1,946 99,854
Exabyte Corp+ 0 -- 0 --
Gateway 2000 Inc 400 15,650 400 15,650
Harris Corp 0 -- 279 24,308
Hewlett-Packard Co 830 50,889 7,463 457,575
Intergraph Corp+ 54 537 367 3,647
International Business
Machine Corp 738 74,446 7,287 735,075
Iomega Corp+ 900 23,063 1,300 33,313
Komag Inc+ 400 7,025 600 10,538
NCR Corp+ 171 6,060 1,159 41,072
Quantum Corp 1,000 35,063 1,400 49,088
Rational Software Corp 0 -- 400 6,600
Seagate Technology Inc 186 7,103 1,776 67,821
Sequent Computer Systems+ 340 9,584 0 --
Shared Medical System Corp 40 1,960 245 12,005
Silicon Graphics Inc+ 177 4,856 1,274 34,955
Sybase Inc+ 700 13,038 700 13,038
Tandem Computers Inc+ 125 4,250 830 28,220
Unisys Corp+ 73 826 1,418 16,041
Wallace Computer Services
Inc 90 2,790 100 3,100
Western Digital Corp 700 33,688 1,000 48,125
Xylan Corp+ 100 2,063 100 2,063
------------ ------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 538,157 $ 2,936,263
- COST $ 357,746 $ 1,763,742
</TABLE>
112
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
900 $ 31,163 600 $ 20,775 1,200 $ 41,550
2,200 51,563 400 9,375 600 14,063
------------ ------------ ------------
$ 8,029,798 $ 6,342,242 $ 13,392,974
$ 5,227,827 $ 4,005,835 $ 9,296,736
2.37% 2.87% 3.52%
2,400 $ 115,200 1,600 $ 76,800 2,800 $ 134,400
2,176 26,792 1,775 21,855 3,666 45,138
2,319 50,438 1,837 39,955 3,848 83,694
2,737 82,794 2,285 69,121 4,985 150,796
1,436 49,632 1,113 38,468 2,611 90,243
11,798 889,274 9,420 710,032 20,910 1,576,091
3,005 126,210 2,348 98,616 5,409 227,178
12,125 794,188 9,735 637,643 21,668 1,419,221
752 27,025 637 22,892 1,350 48,516
5,970 489,913 4,774 391,766 10,588 868,878
2,775 119,325 2,277 97,911 4,566 196,338
4,496 230,701 3,620 185,751 7,945 407,678
340 3,995 0 -- 0 --
700 27,388 600 23,475 900 35,213
695 60,552 588 51,230 1,152 100,368
18,775 1,151,142 14,856 910,859 30,106 1,845,874
861 8,556 586 5,823 992 9,858
18,322 1,848,231 14,544 1,467,126 29,479 2,973,694
2,200 56,375 1,900 48,688 2,800 71,750
1,100 19,319 800 14,050 1,100 19,319
1,781 63,114 1,664 58,968 2,625 93,034
1,580 55,399 1,570 55,048 3,100 108,694
0 -- 0 -- 1,000 16,500
4,467 170,584 3,563 136,062 7,393 282,320
471 13,276 341 9,612 0 --
437 21,413 346 16,954 767 37,583
3,261 89,474 2,552 70,020 5,290 145,144
1,400 26,075 900 16,763 1,600 29,800
2,187 74,358 1,707 58,038 3,471 118,014
3,335 37,727 2,575 29,130 5,124 57,965
1,100 34,100 210 6,510 300 9,300
1,800 86,625 1,600 77,000 2,300 110,688
0 -- 100 2,063 200 4,125
------------ ------------ ------------
$ 6,849,195 $ 5,448,229 $ 11,317,414
$ 4,010,777 $ 3,089,554 $ 7,331,334
</TABLE>
113
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONTAINER & PACKAGING
PERCENT OF NET ASSETS 0.07% 0.19%
Ball Corp 52 $ 1,710 184 $ 6,049
Crown Cork & Seal Co 80 4,070 915 46,551
First Brands Corp 486 12,120 480 11,970
International Paper Co 209 11,025 2,188 115,417
Jefferson Smurfit Corp+ 700 13,606 800 15,550
Sonoco Products 688 22,403 977 31,814
Temple-Inland Inc 47 3,032 461 29,735
Tenneco Inc 171 8,304 1,267 61,529
Tupperware Corp 61 2,047 475 15,942
U.S. Office Products Co+ 0 -- 600 19,650
------------ ------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 78,317 $ 354,207
- COST $ 60,822 $ 296,781
ELECTRICAL EQUIPMENT
PERCENT OF NET ASSETS 0.44% 1.31%
Aeroquip-Vickers Inc 50 $ 2,794 232 $ 12,963
Arrow Electronics Inc+ 393 24,145 496 30,473
Avnet Inc 330 22,832 450 31,134
FORE Systems Inc+ 400 8,175 500 10,219
General Electric Co 4,644 290,250 25,997 1,624,812
Grainger (W W) Inc 39 3,464 426 37,834
Handleman Co+ 59 350 132 784
Hitachi Ltd ADR (Japan) 400 37,300 1,500 139,875
Hubbell Inc Class B 532 24,406 566 25,965
Masco Corp 149 6,621 1,214 53,947
Maxim Integrated Products
Inc+ 500 34,563 700 48,388
Motorola Inc 501 36,761 4,349 319,108
National Service Industries
Inc 37 1,637 323 14,293
Raychem Corp 25 2,327 386 35,922
Symbol Technologies Inc 390 14,430 315 11,655
Thomas & Betts Corp 66 3,696 430 24,080
TriMas Corp 200 5,725 200 5,725
------------ ------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 519,476 $ 2,427,177
- COST $ 404,320 $ 1,674,803
ELECTRONICS
PERCENT OF NET ASSETS 1.15% 2.40%
Advanced Micro Devices+ 94 $ 3,519 1,025 $ 38,373
American Power Conversion+ 600 15,750 980 25,725
AMP Inc 180 9,000 1,628 81,400
Analog Devices Inc 1,301 43,107 1,827 60,508
</TABLE>
114
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.28% 0.34% 0.40%
612 $ 20,120 417 $ 13,709 658 $ 21,632
2,401 122,151 1,863 94,780 3,741 190,323
694 17,307 704 17,556 1,060 26,434
5,584 294,556 4,417 232,997 8,901 469,528
1,400 27,213 900 17,494 1,500 29,156
2,100 68,381 1,622 52,816 2,355 76,685
983 63,403 818 52,761 1,647 106,232
3,182 154,526 2,525 122,620 5,182 251,651
1,074 36,046 865 29,032 2,008 67,394
0 -- 0 -- 1,200 39,300
------------ ------------ ------------
$ 803,703 $ 633,765 $ 1,278,335
$ 664,719 $ 524,573 $ 1,140,934
1.88% 2.29% 2.89%
523 $ 29,223 413 $ 23,076 953 $ 53,249
999 61,376 710 43,621 1,075 66,045
1,014 70,156 659 45,595 1,015 70,225
600 12,263 700 14,306 1,200 24,525
58,212 3,638,249 46,648 2,915,500 103,524 6,470,250
905 80,375 749 66,521 1,566 139,080
467 2,773 307 1,823 521 3,093
3,025 282,081 2,325 216,806 4,900 456,925
1,008 46,242 934 42,847 1,402 64,317
2,998 133,224 2,399 106,606 4,869 216,366
1,400 96,775 1,000 69,125 1,700 117,513
10,959 804,117 8,681 636,968 17,588 1,290,520
826 36,551 642 28,409 1,150 50,888
768 71,472 602 56,024 1,414 131,590
585 21,645 555 20,535 825 30,525
956 53,536 834 46,704 1,671 93,576
0 -- 200 5,725 500 14,313
------------ ------------ ------------
$ 5,440,058 $ 4,340,191 $ 9,293,000
$ 3,763,447 $ 2,934,369 $ 6,840,816
3.29% 3.95% 4.82%
2,635 $ 98,648 2,021 $ 75,661 4,269 $ 159,821
1,494 39,218 1,309 34,361 2,060 54,075
4,049 202,450 3,213 160,650 6,626 331,300
3,439 113,906 2,361 78,219 4,129 136,784
</TABLE>
115
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Applied Materials Inc+ 250 $ 23,594 1,446 $ 136,466
Atmel Corp+ 662 23,418 960 33,960
Beckman Instruments Inc 294 13,836 350 16,472
C-Cube Microsystems Inc+ 100 3,000 300 9,000
Canon Inc ADR (Japan) 500 69,563 1,850 257,381
Cirrus Logic Inc+ 634 10,897 780 13,406
Commscope Inc+ 50 862 346 5,969
Cypress Semiconductor Corp+ 800 14,200 1,040 18,460
EG&G Inc 23 489 334 7,098
Electronics for Imaging Inc 400 21,400 600 32,100
Emerson Electric Co 336 18,375 3,290 179,922
Fuji Photo Film Co Ltd ADR
(Japan) 1,200 45,900 4,900 187,425
General Semiconductor Inc 38 530 261 3,680
General Signal Corp 33 1,431 420 18,218
Honeywell Inc 179 12,373 985 68,088
Imation Corp+ 576 15,588 516 13,964
Input/Output Inc+ 500 10,500 500 10,500
Integrated Device Technology
Inc+ 700 9,538 800 10,900
Intel Corp 2,332 214,836 13,010 1,198,545
International Rectifier
Corp+ 500 11,406 500 11,406
International Specialty
Produc+ 0 -- 200 2,863
Johnson Controls Inc 92 4,387 664 31,665
KLA Instruments Corp+ 400 28,350 800 56,700
Kyocera Corp ADR (Japan) 250 32,375 800 103,600
Lam Research Corp+ 300 16,950 400 22,600
Lexmark International Group
Class A 0 -- 200 7,000
Linear Technology Corp 586 38,420 820 53,761
Litton Industries Inc+ 301 15,012 390 19,451
LSI Logic Corp+ 122 3,927 1,103 35,503
Macromedia Inc+ 400 3,825 400 3,825
Matsushita Electric
Industries Co 250 45,750 750 137,250
MEMC Electronic Materials
Inc+ 300 8,700 300 8,700
Microchip Technology Inc 600 24,263 600 24,263
Micron Electronics Inc+ 0 -- 200 3,263
Micron Technology Inc+ 126 5,615 1,523 67,869
Molex Inc 453 17,724 397 15,533
Molex Inc Class A 550 20,075 643 23,470
National Semiconductor+ 60 2,055 1,046 35,825
Nextlevel Systems Inc+ 150 3,009 142 2,849
Novellus System Inc+ 200 22,925 200 22,925
Perkin-Elmer Corp 27 1,998 387 28,638
Philips Electronics NV
(Netherlands) 1,700 121,763 3,500 250,688
Pioneer Electronics Corp 1,750 36,859 6,750 142,172
Pitney Bowes Inc 152 11,609 1,161 88,671
</TABLE>
116
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
3,173 $ 299,452 2,629 $ 248,112 5,681 $ 536,144
1,866 66,010 1,288 45,563 2,126 75,207
450 21,178 505 23,767 780 36,709
300 9,000 400 12,000 700 21,000
3,775 525,197 2,900 403,463 6,050 841,706
1,496 25,713 1,066 18,322 1,510 25,953
791 13,645 612 10,557 1,550 26,745
1,364 24,211 1,424 25,276 2,070 36,743
827 17,574 690 14,663 996 21,165
1,000 53,500 800 42,800 1,300 69,550
8,250 451,172 6,548 358,094 13,144 718,812
9,800 374,850 7,550 288,788 15,800 604,350
595 8,397 460 6,490 1,164 16,442
910 39,471 763 33,095 1,521 65,973
2,261 156,292 1,861 128,642 4,076 281,754
702 18,998 731 19,783 1,117 30,229
1,000 21,000 700 14,700 1,100 23,100
1,700 23,163 800 10,900 2,100 28,612
29,064 2,677,520 23,356 2,151,672 51,712 4,763,968
1,000 22,813 700 15,969 1,100 25,094
1,300 18,606 300 4,294 500 7,156
1,497 71,388 1,175 56,033 2,522 120,268
1,000 70,875 900 63,788 2,000 141,750
1,650 213,675 1,275 165,112 2,700 349,650
500 28,250 500 28,250 800 45,200
1,000 35,000 300 10,500 700 24,500
1,700 111,456 1,110 72,774 1,850 121,291
808 40,299 503 25,087 879 43,840
2,600 83,688 1,939 62,412 4,541 146,163
700 6,694 500 4,781 900 8,606
1,450 265,350 1,100 201,300 2,400 439,200
400 11,600 400 11,600 500 14,500
600 24,263 750 30,328 1,300 52,569
1,600 26,100 300 4,894 500 8,156
3,901 173,838 3,085 137,475 6,154 274,238
672 26,292 575 22,497 1,027 40,181
1,156 42,194 1,031 37,632 1,581 57,706
2,632 90,146 2,036 69,733 4,215 144,364
2,378 47,709 1,838 36,875 4,656 93,411
400 45,850 200 22,925 400 45,850
745 55,130 612 45,288 1,420 105,080
7,075 506,747 6,050 433,331 10,550 755,644
13,175 277,498 10,175 214,311 21,250 447,578
2,648 202,241 2,078 158,707 4,716 360,185
</TABLE>
117
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Pixar Inc+ 0 $ -- 100 $ 2,006
Policy Management Systems
Corp+ 248 14,896 170 10,211
Premier Farnell PLC ADR (UK) 626 10,564 1,084 18,293
Read-Rite Corp+ 400 11,475 500 14,344
SCI Systems Inc 400 15,725 600 23,588
Sensormatic Electronics 535 6,988 870 11,364
Solectron Corp 800 33,500 1,000 41,875
SONY Corp ADR (Japan) 600 52,875 2,250 198,281
Tektronix Inc 0 -- 236 13,113
Teradyne Inc+ 576 32,076 920 51,233
Texas Instruments Inc 322 36,587 1,467 166,688
Thermo Instrument Systems
Inc+ 200 7,988 225 8,986
Vishay Intertechnology Inc 441 11,769 546 14,571
VLSI Technology Inc+ 500 16,500 400 13,200
Xerox Corp 471 35,561 2,603 196,527
Xilinx Inc+ 647 30,733 800 38,000
Zenith Electronics Corp+ 44 457 89 923
------------ ------------
TOTAL ELECTRONICS
- VALUE $ 1,376,397 $ 4,451,253
- COST $ 968,757 $ 2,789,219
ENERGY & RELATED
PERCENT OF NET ASSETS 1.92% 4.10%
AES Corp 1,568 $ 58,016 1,280 $ 47,360
AGL Resources Inc 538 10,188 440 8,333
Amerada Hess Corp 38 2,209 711 41,327
Amoco Corp 394 37,258 3,692 349,125
Anadarko Petroleum Corp 439 32,239 500 36,719
Apache Corp 62 2,461 720 28,575
Ashland Inc 106 5,313 575 28,822
Atlantic Richfield Corp 210 15,750 2,340 175,500
British Petroleum Co PLC ADR
(UK) 2,129 180,146 4,657 394,105
Brooklyn Union Gas Co 510 15,396 400 12,075
Burlington Resources Inc 77 3,898 883 44,702
Chesapeake Energy Corp 0 -- 400 3,425
Chevron Corp 492 38,099 4,778 369,996
Coastal Corp 108 6,237 759 43,832
Columbia Gas System Inc 39 2,574 427 28,182
Consolidated Natural Gas Co 38 2,244 711 41,993
Cooper Cameron Corp 0 -- 500 32,438
Diamond Offshore Drilling
Inc 400 21,850 400 21,850
Dresser Industries Inc 107 4,467 1,325 55,319
Eastern Enterprises 37 1,320 191 6,816
El Paso Natural Gas Co 427 24,019 456 25,650
</TABLE>
118
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0 $ -- 0 $ -- 200 $ 4,013
303 18,199 258 15,496 440 26,428
2,106 35,539 1,726 29,126 3,137 52,937
600 17,213 500 14,344 1,100 31,556
1,000 39,313 800 31,450 1,200 47,175
1,723 22,507 1,048 13,690 1,885 24,623
2,000 83,750 1,600 67,000 2,400 100,500
4,400 387,750 3,450 304,031 7,100 625,688
582 32,337 415 23,058 1,032 57,341
1,790 99,681 1,300 72,394 2,050 114,159
3,348 380,417 2,736 310,878 6,035 685,727
1,600 63,900 250 9,984 337 13,459
882 23,538 871 23,245 1,249 33,333
600 19,800 400 13,200 1,200 39,600
5,783 436,617 4,694 354,397 10,228 772,214
1,459 69,303 1,174 55,765 1,820 86,450
279 2,895 230 2,386 367 3,808
------------ ------------ ------------
$ 9,511,026 $ 7,481,918 $ 15,497,333
$ 5,952,972 $ 4,595,694 $ 10,607,996
5.88% 7.18% 8.14%
2,296 $ 84,952 1,596 $ 59,052 1,500 $ 55,500
798 15,112 558 10,567 520 9,848
1,731 100,614 1,381 80,271 2,838 164,959
9,102 860,708 7,190 679,904 14,697 1,389,785
1,101 80,855 946 69,472 1,715 125,945
1,649 65,445 1,284 50,959 2,835 112,514
1,330 66,666 1,041 52,180 2,190 109,774
5,970 447,750 4,722 354,150 9,428 707,100
9,100 770,121 7,528 637,084 13,221 1,118,829
719 21,705 514 15,516 490 14,792
2,333 118,108 1,836 92,948 3,784 191,565
1,000 8,563 500 4,281 1,000 8,563
12,074 934,980 9,592 742,781 19,386 1,501,203
1,970 113,768 1,535 88,646 3,233 186,706
1,011 66,726 851 56,166 1,638 108,108
1,729 102,119 1,373 81,093 2,866 169,273
800 51,900 800 51,900 1,100 71,363
2,200 120,175 800 43,700 1,000 54,625
3,262 136,189 2,602 108,634 5,307 221,567
406 14,489 267 9,529 455 16,238
842 47,363 627 35,269 778 43,763
</TABLE>
119
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELF Aquitaine ADR (France) 8,350 $ 465,512 17,700 $ 986,774
Enron Corp 215 8,308 2,294 88,462
Enron Oil & Gas Co 700 16,888 800 19,300
Ensco International Inc 500 31,750 600 38,100
Enserch Exploration Inc+ 138 1,242 1,213 10,919
Exxon Corp 1,952 119,438 18,261 1,117,344
Falcon Drilling Company Inc 0 -- 300 9,450
Fina Inc Class A 0 -- 100 6,600
Global Marine Inc+ 1,200 34,125 1,500 42,656
Halliburton Co 250 11,938 2,014 96,169
Helmerich & Payne Inc 43 3,037 150 10,594
Indiana Energy Inc 0 -- 0 --
Kerr-McGee Corp 41 2,547 327 20,315
Louisiana Land & Exploration
Corp 0 -- 242 18,528
MAPCO Inc 374 11,220 520 15,600
MCN Corp 616 18,904 500 15,344
Mobil Corp 596 43,359 5,788 421,077
Monterey Resources Inc 37 755 356 7,343
Murphy Oil Corp 293 15,730 480 25,770
Nabors Industries Inc+ 900 30,994 900 30,994
National Fuel Gas Co 400 17,775 320 14,220
Natural Gas Clearinghouse
Inc 0 -- 100 1,638
NICOR Inc 42 1,525 329 11,947
Noble Affiliates Inc 338 15,675 630 29,216
Noble Drilling Corp+ 0 -- 1,400 39,813
Occidental Petroleum Corp 286 6,703 2,420 56,719
ONEOK Inc 47 1,522 228 7,382
Oryx Energy Co+ 195 5,155 797 21,071
Pacific Enterprises Co 48 1,581 668 22,002
Parker Drilling Co+ 0 -- 0 --
Pennzoil Co 30 2,316 417 32,187
Peoples Energy Corp 61 2,299 245 9,233
PG&E Corp 265 15,990 260 15,657
Phillips Petroleum Co 208 9,893 1,969 93,651
Pioneer Natural Resources
Co+ 376 15,017 297 11,861
Pogo Producing Co 300 13,013 300 13,013
Quaker State Corp 0 -- 0 --
Questar Corp 427 17,080 440 17,600
Ranger Oil Ltd 0 -- 0 --
Reading & Bates Corp+ 700 25,419 800 29,050
Repsol Sa 1,650 64,969 3,400 133,875
Rowan Co Inc+ 122 3,645 668 19,956
Royal Dutch Petroleum Corp 6,756 342,867 14,468 734,250
Santa Fe Energy Resources
Inc 83 918 809 8,950
Schlumberger Ltd 554 42,208 3,870 294,846
</TABLE>
120
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
35,450 $ 1,976,336 30,000 $ 1,672,500 52,750 $ 2,940,813
5,578 215,102 4,477 172,644 9,166 353,464
2,200 53,075 900 21,713 1,600 38,600
1,100 69,850 900 57,150 1,400 88,900
1,934 17,409 1,444 12,996 2,767 24,905
45,779 2,801,102 36,255 2,218,353 73,653 4,506,643
0 -- 0 -- 700 22,050
400 26,400 100 6,600 100 6,600
3,615 102,802 2,100 59,719 3,600 102,375
4,522 215,925 3,634 173,523 8,162 389,736
436 30,793 402 28,391 773 54,593
352 8,954 0 -- 0 --
913 56,720 749 46,532 1,402 87,099
662 50,684 451 34,530 1,067 81,692
936 28,080 776 23,280 1,200 36,000
930 28,539 670 20,561 600 18,413
14,536 1,057,494 11,510 837,353 23,362 1,699,586
827 17,057 546 11,261 1,246 25,699
1,077 57,821 697 37,420 1,070 57,446
1,285 44,252 1,429 49,211 2,300 79,206
582 25,863 412 18,308 385 17,108
1,600 26,200 0 -- 3,200 52,400
960 34,860 766 27,815 1,235 44,846
873 40,485 858 39,790 1,320 61,215
2,100 59,719 1,800 51,188 3,100 88,156
6,094 142,828 4,842 113,484 9,979 233,883
574 18,583 386 12,497 575 18,616
1,783 47,138 1,338 35,373 3,502 92,584
1,511 49,769 1,176 38,734 2,543 83,760
844 11,130 619 8,163 0 --
884 68,234 653 50,403 1,012 78,114
639 24,082 557 20,992 788 29,698
423 25,451 378 22,786 753 45,305
4,883 232,248 3,887 184,875 7,900 375,744
534 21,327 386 15,416 462 18,451
600 26,025 400 17,350 700 30,363
419 6,495 299 4,635 0 --
710 28,400 640 25,600 930 37,200
1,508 14,609 1,103 10,685 0 --
1,200 43,575 1,100 39,944 1,700 61,731
6,825 268,734 5,850 230,344 10,050 395,719
1,577 47,113 1,210 36,149 2,646 79,049
28,152 1,428,713 23,200 1,177,400 42,712 2,167,634
1,875 20,742 1,239 13,706 2,826 31,263
8,796 670,145 6,992 532,703 15,588 1,187,611
</TABLE>
121
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Seagull Energy Corp+ 391 $ 9,555 610 $ 14,907
Services (B J) Co 0 -- 400 28,900
Sonat Offshore Drilling Co 28 1,395 600 29,887
Sun Co Inc 12 467 527 20,487
Texaco Inc 204 23,511 1,970 227,042
Tosco Corp 971 32,104 1,540 50,916
Total Compagnie Francaise
des Petroles SA ADR
(France) 3,425 162,266 7,450 352,958
Transocean Offshore Inc 200 19,013 500 47,531
Ultramar Diamond Shamrock
Corp 610 19,904 755 24,632
Union Pacific Resources
Group 321 8,025 1,951 48,775
Union Texas Petroleum
Holdings Corp 600 13,988 700 16,319
United Meridian Corp 0 -- 400 15,675
Unocal Corp 373 14,570 1,986 77,578
USX-Marathon Group 202 6,578 2,098 68,316
Utilicorp United Inc 491 14,607 380 11,305
Valero Energy Corp 480 15,990 470 15,657
Vastar Resources Inc 200 8,538 200 8,538
Washington Gas & Light 464 11,803 360 9,158
Weatherford Enterra Inc+ 400 18,425 600 27,638
Western Atlas Inc 32 2,536 423 33,523
Williams Co Inc 87 4,051 1,182 55,037
Witco Corp 516 24,252 680 31,960
------------ ------------
TOTAL ENERGY & RELATED
- VALUE $ 2,296,579 $ 7,612,359
- COST $ 1,525,588 $ 5,298,744
ENGINEERING & CONSTRUCTION
PERCENT OF NET ASSETS 0.04% 0.07%
Armstrong World Industries
Inc 0 $ -- 276 $ 18,889
Centex Corp 55 2,991 237 12,887
Clayton Homes Inc 1,026 17,254 984 16,539
Fleetwood Enterprises Inc 30 934 313 9,742
Fluor Corp 19 1,066 613 34,405
Foster Wheeler Corp 100 4,569 323 14,757
Granite Construction Inc 0 -- 0 --
Kaufman & Broad Home Corp 57 1,140 292 5,840
Pulte Corp 48 1,758 128 4,688
Rouse Co 400 11,750 600 17,625
------------ ------------
TOTAL ENGINEERING &
CONSTRUCTION
- VALUE $ 41,462 $ 135,372
- COST $ 28,924 $ 120,687
</TABLE>
122
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
548 $ 13,392 403 $ 9,848 1,475 $ 36,045
600 43,350 600 43,350 900 65,025
1,573 78,355 1,212 60,373 2,595 129,263
1,340 52,092 1,074 41,752 2,176 84,592
4,877 562,074 3,883 447,516 7,781 896,760
1,467 48,503 1,877 62,058 3,435 113,570
14,670 694,998 12,447 589,682 21,813 1,033,404
400 38,025 700 66,544 1,000 95,063
1,544 50,363 1,237 40,344 1,925 62,813
4,479 111,975 3,642 91,050 8,204 205,111
800 18,650 900 20,981 1,400 32,637
0 -- 500 19,594 800 31,350
4,535 177,148 3,688 144,063 8,066 315,078
5,249 170,921 4,159 135,427 8,716 283,815
675 20,081 494 14,697 472 14,042
764 25,451 684 22,786 1,360 45,305
1,600 68,300 200 8,538 500 21,344
624 15,873 454 11,549 440 11,193
1,057 48,688 700 32,244 1,200 55,275
1,025 81,231 792 62,766 1,611 127,672
2,937 136,754 2,339 108,910 4,748 221,079
1,352 63,544 1,022 48,034 1,495 70,265
------------ ------------ ------------
$ 16,988,939 $ 13,618,285 $ 26,176,991
$ 11,763,293 $ 9,543,462 $ 20,107,956
0.10% 0.13% 0.15%
797 $ 54,545 560 $ 38,325 1,241 $ 84,931
516 28,058 431 23,436 711 38,661
1,945 32,700 1,320 22,193 2,208 37,114
678 21,103 545 16,963 810 25,211
1,555 87,274 1,226 68,809 2,600 145,925
691 31,570 554 25,311 1,292 59,028
270 5,670 0 -- 0 --
695 13,900 519 10,380 828 16,560
372 13,625 306 11,207 501 18,349
500 14,688 900 26,438 1,600 47,000
------------ ------------ ------------
$ 303,133 $ 243,062 $ 472,779
$ 260,589 $ 208,427 $ 441,810
</TABLE>
123
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENTERTAINMENT & LEISURE
PERCENT OF NET ASSETS 0.19% 0.53%
Ascent Entertainment Group+ 248 $ 2,728 292 $ 3,212
Bally Total Fitness Holding
Corp+ 26 361 76 1,055
Boyd Gaming Corp+ 0 -- 200 1,663
Brunswick Corp 92 2,806 692 21,106
Callaway Golf Co 596 20,078 680 22,908
Circus Circus Entertainment
Inc+ 629 15,057 930 22,262
Coleman Co Inc+ 0 -- 200 3,163
Disney (Walt) Co 494 37,945 4,987 383,064
Galileo International Inc+ 0 -- 400 10,575
Gaylord Entertainment Co
Class A 315 7,343 315 7,343
Grand Casinos Inc+ 400 6,175 400 6,175
Harrah's Entertainment Inc+ 104 2,334 754 16,918
Hasbro Inc 93 2,499 951 25,558
International Game
Technology Inc 997 19,940 1,400 28,000
Mattel Inc 358 11,971 2,292 76,639
MGM Grand Inc+ 200 8,025 200 8,025
Mirage Resorts Inc+ 1,290 34,588 0 --
Polaroid Corp 32 1,690 318 16,794
Stanhome Inc 220 7,150 170 5,525
Tiffany & Co 326 14,752 400 18,100
Time Warner Inc 463 23,845 4,160 214,240
Topp Inc+ 512 1,728 0 --
U.S. West Media Group 494 9,880 4,484 89,680
------------ ------------
TOTAL ENTERTAINMENT &
LEISURE
- VALUE $ 230,895 $ 982,005
- COST $ 198,005 $ 836,719
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.07% 0.12%
Browning-Ferris Industries
Inc 138 $ 4,821 1,540 $ 53,804
Mid American Waste Systems
Inc+ 0 -- 0 --
Republic Industries Inc+ 1,500 36,844 3,100 76,144
Safety-Kleen Corp 76 1,534 466 9,407
U.S.A. Waste Services Inc+ 800 33,600 1,730 72,660
Wheelabrator Technologies
Inc 700 10,981 1,000 15,688
------------ ------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 87,780 $ 227,703
- COST $ 75,147 $ 204,134
</TABLE>
124
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.84% 1.02% 1.19%
399 $ 4,389 397 $ 4,367 678 $ 7,458
185 2,567 116 1,610 223 3,094
0 -- 300 2,494 700 5,819
1,863 56,822 1,490 45,445 2,988 91,134
1,158 39,010 956 32,205 1,516 51,070
2,122 50,795 1,562 37,390 2,195 52,543
0 -- 0 -- 200 3,163
12,488 959,234 9,885 759,292 20,027 1,538,324
0 -- 0 --
420 9,791 515 12,006 750 17,484
700 10,806 500 7,719 900 13,894
1,930 43,304 1,530 34,329 3,063 68,726
2,396 64,379 1,922 51,640 3,867 103,926
3,072 61,440 2,217 44,340 3,145 62,900
5,220 174,544 4,257 142,343 9,418 314,914
700 28,088 400 16,050 400 16,050
3,200 85,800 2,600 69,713 5,200 139,425
861 45,472 614 32,427 1,333 70,399
299 9,718 214 6,955 210 6,825
480 21,720 560 25,340 800 36,200
10,255 528,133 8,186 421,579 16,488 849,132
722 2,437 527 1,779 0 --
11,074 221,480 8,863 177,260 18,256 365,120
------------ ------------ ------------
$ 2,419,929 $ 1,926,283 $ 3,817,600
$ 2,074,646 $ 1,609,896 $ 3,304,921
0.12% 0.15% 0.19%
3,889 $ 135,872 3,110 $ 108,656 6,366 $ 222,412
372 163 0 -- 0 --
1,600 39,300 2,600 63,863 7,100 174,394
1,077 21,742 774 15,625 1,243 25,093
2,400 100,800 1,900 79,800 3,968 166,635
2,800 43,925 1,400 21,963 1,800 28,237
------------ ------------ ------------
$ 341,802 $ 289,907 $ 616,771
$ 282,156 $ 261,019 $ 583,726
</TABLE>
125
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & RELATED
PERCENT OF NET ASSETS 1.67% 2.78%
Albertson's Inc 194 $ 6,669 1,877 $ 64,522
American Stores Co 250 5,922 2,072 49,081
Archer-Daniels-Midland Co 477 10,309 4,172 90,212
Bob Evans Farms Inc 468 8,307 360 6,390
Boston Chicken Inc+ 600 7,388 500 6,156
Brinker International Inc+ 1,056 17,688 990 16,583
Brown-Forman Corp Class B 71 3,426 513 24,752
Campbell Soup Co 380 17,623 3,434 159,252
ConAgra Inc 284 18,265 1,914 123,094
CPC International Inc 137 12,210 1,120 99,820
Cracker Barrel Old Country
Store Inc 649 19,957 710 21,833
Darden Restaurants Inc 153 1,540 1,264 12,719
Dave & Buster's Inc+ 0 -- 0 --
Dean Foods Co 424 18,815 440 19,525
Dole Food Inc 446 17,422 510 19,922
Earthgrains Co 28 1,148 146 5,986
Fleming Co Inc 0 -- 275 5,191
Flowers Industries Inc 909 16,817 720 13,320
Food Lion Inc Class A 2,100 15,553 3,100 22,959
Food Lion Inc Class B 1,400 10,150 2,300 16,675
General Mills Inc 203 13,017 1,265 81,118
General Nutrition Co Inc+ 700 19,425 900 24,975
Giant Food Inc Class A 54 1,755 469 15,243
Grand Metropolitan PLC ADR
(UK) 6,791 247,019 14,414 524,326
Great Atlantic & Pacific Tea
Co 67 1,679 277 6,942
Hannaford Brothers Co 236 8,024 360 12,240
Harcourt General Inc 86 4,090 552 26,255
Heinz (H J) Co 474 19,730 2,982 124,126
Hershey Foods Corp 208 11,102 1,193 63,676
Hormel Foods Corp 400 11,900 500 14,875
Host Marriott Services Corp+ 240 3,435 240 3,435
IBP Inc 732 16,790 1,020 23,396
International Dairy Queen
Class A+ 0 -- 0 --
International Multifoods
Corp 0 -- 0 --
Interstate Bakeries Corp 0 -- 200 11,725
Kellogg Co 438 19,601 3,284 146,959
Kroger Co 330 9,941 1,994 60,069
Lancaster Colony Corp 138 7,150 260 13,471
Lance Inc 0 -- 0 --
Lone Star Steakhouse &
Saloon+ 300 5,156 400 6,875
Luby's Cafeteria Inc 45 886 219 4,312
McCormick & Co Inc 588 13,892 700 16,538
</TABLE>
126
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
3.78% 4.60% 5.28%
4,584 $ 157,575 3,663 $ 125,916 7,407 $ 254,616
4,970 117,727 3,950 93,566 8,212 194,522
10,244 221,522 8,135 175,928 16,849 364,367
752 13,348 472 8,378 1,250 22,188
700 8,619 700 8,619 1,100 13,544
1,871 31,339 1,171 19,614 2,130 35,678
1,285 62,001 995 48,009 2,090 100,842
8,560 396,970 6,842 317,298 13,724 636,450
4,298 276,415 3,507 225,544 7,673 493,470
2,639 235,201 2,079 185,291 4,551 405,608
1,411 43,388 971 29,858 1,525 46,894
2,925 29,433 2,256 22,701 4,518 45,462
69 2,225 0 -- 0 --
707 31,373 637 28,267 1,005 44,597
1,008 39,375 768 30,000 1,225 47,852
334 13,694 268 10,988 612 25,092
662 12,495 562 10,608 848 16,006
1,318 24,383 936 17,316 1,915 35,428
5,600 41,475 4,200 31,106 6,400 47,400
4,300 31,175 3,000 21,750 4,700 34,075
2,969 190,387 2,282 146,333 5,177 331,975
2,100 58,275 1,400 38,850 2,100 58,275
1,126 36,595 903 29,348 1,808 58,760
28,667 1,042,779 23,679 861,322 41,717 1,517,474
693 17,368 584 14,637 819 20,526
745 25,330 465 15,810 840 28,560
1,348 64,114 1,060 50,416 2,245 106,778
6,648 276,723 5,337 222,153 11,800 491,175
2,509 133,918 2,015 107,551 4,479 239,067
600 17,850 600 17,850 1,100 32,725
380 5,439 320 4,580 680 9,732
2,152 49,361 1,542 35,370 2,500 57,344
369 9,087 0 -- 0 --
274 7,364 0 -- 0 --
600 35,175 300 17,588 500 29,313
7,386 330,524 6,074 271,812 13,170 589,357
4,574 137,792 3,588 108,088 8,140 245,218
470 24,352 340 17,616 528 27,357
478 10,217 0 -- 0 --
700 12,031 500 8,594 900 15,469
480 9,450 369 7,265 621 12,226
1,355 32,012 1,205 28,468 1,755 41,462
</TABLE>
127
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
McDonald's Corp 940 $ 44,474 5,499 $ 260,171
Michael Foods Inc 0 -- 0 --
Morrison Fresh Cooking Inc 96 456 50 238
Nabisco Holdings Corp Class
A 200 8,300 200 8,300
NPC International Inc+ 0 -- 0 --
Outback Steakhouse Inc+ 400 9,650 400 9,650
Pioneer Hi Bred
International Inc 132 11,311 649 55,611
Planet Hollywood
International Inc Class A+ 0 -- 100 1,963
Quaker Oats Co 136 6,392 1,116 52,452
Ralston-Purina Group 151 13,590 851 76,590
Richfood Holdings Inc 0 -- 500 11,250
RJR Nabisco Holdings Corp 1,670 58,137 2,443 85,047
Ruby Tuesday Inc+ 192 5,184 100 2,700
Ryans Family Steak House 119 1,101 516 4,773
Safeway Inc 1,099 55,980 1,527 77,794
Sara Lee Corp 613 24,673 3,850 154,963
Savannah Foods & Industries 0 -- 0 --
Sbarro Inc 0 -- 0 --
Shoney's Inc+ 97 558 370 2,128
Sizzler International Inc+ 254 937 0 --
Smucker (J M) Co Class A 305 8,063 0 --
Southland Corp+ 1,800 5,119 1,400 3,981
Starbucks Corp+ 700 28,700 800 32,800
Super Value Inc 76 2,983 418 16,407
Sysco Corp 198 7,029 1,413 50,162
Tootsie Roll Industries 212 10,362 212 10,370
Tyson Food Inc Class A 591 12,559 690 14,663
Unilever NV (Netherlands) 4,905 987,131 10,283 2,069,453
Universal Corp 381 13,859 400 14,550
Universal Foods Corp 279 10,829 320 12,420
UST Inc 284 8,201 1,550 44,756
Weis Markets Inc 200 6,750 100 3,375
Wendy's International Inc 105 2,527 1,014 24,399
Winn-Dixie Stores Inc 160 5,390 1,146 38,606
Wrigley (W M) Jr Co 179 12,978 931 67,498
------------ ------------
TOTAL FOOD & RELATED
- VALUE $ 1,987,024 $ 5,165,618
- COST $ 1,472,053 $ 3,839,931
FURNITURE & APPLIANCES
PERCENT OF NET ASSETS 0.07% 0.08%
Bassett Furniture Industries 25 $ 688 50 $ 1,375
HON Industries Inc 153 8,951 170 9,945
Leggett & Platt Inc 658 28,294 900 38,700
</TABLE>
128
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
12,189 $ 576,692 9,995 $ 472,889 21,791 $ 1,030,987
229 4,952 0 -- 0 --
160 760 99 470 193 917
800 33,200 200 8,300 400 16,600
374 4,254 284 3,231 0 --
500 12,063 600 14,475 900 21,712
1,462 125,275 1,181 101,197 2,646 226,729
1,600 31,400 200 3,925 300 5,888
2,467 115,949 1,897 89,159 4,398 206,706
1,951 175,590 1,549 139,410 3,375 303,750
0 -- 600 13,500 1,000 22,500
5,005 174,237 3,251 113,175 5,618 195,577
321 8,667 199 5,373 387 10,449
1,012 9,361 679 6,281 1,039 9,611
2,689 136,956 1,990 101,350 3,526 179,580
8,554 344,298 7,029 282,917 15,167 610,472
410 7,175 290 5,075 0 --
319 8,533 219 5,858 0 --
751 4,318 596 3,427 1,304 7,498
434 1,600 319 1,176 0 --
436 11,527 331 8,751 0 --
2,600 7,394 1,800 5,119 4,200 11,944
1,700 69,700 1,300 53,300 2,000 82,000
1,134 44,510 901 35,364 1,624 63,742
3,110 110,405 2,574 91,377 5,570 197,735
318 15,555 212 10,370 537 26,228
3,711 78,859 873 18,551 1,545 32,831
20,021 4,029,225 16,615 3,343,769 30,632 6,164,690
639 23,244 594 21,607 965 35,102
409 15,874 489 18,979 770 29,886
3,268 94,363 2,503 72,274 5,945 171,662
600 20,250 200 6,750 200 6,750
2,501 60,180 1,969 47,379 3,950 95,047
2,708 91,226 2,200 74,112 4,838 162,980
2,148 155,730 1,682 121,945 3,712 269,120
------------ ------------ ------------
$ 10,919,198 $ 8,715,243 $ 16,975,577
$ 8,174,038 $ 6,518,399 $ 13,520,723
0.11% 0.13% 0.14%
200 $ 5,500 120 $ 3,300 206 $ 5,665
484 28,314 354 20,709 435 25,448
1,474 63,382 1,384 59,512 2,030 87,290
</TABLE>
129
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Maytag Corp 112 $ 3,073 737 $ 20,221
Miller (Herman) Inc 338 17,492 520 26,910
National Presto Industries
Inc 0 -- 0 --
Skyline Corp 20 579 44 1,273
Sunbeam Oster Co Inc 500 22,000 500 22,000
Whirlpool Corp 80 4,580 574 32,862
------------ ------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 85,657 $ 153,286
- COST $ 39,043 $ 97,247
HEALTHCARE
PERCENT OF NET ASSETS 0.12% 0.19%
Apria Healthcare Group Inc+ 500 $ 8,750 600 $ 10,500
Cardinal Health Inc 112 7,387 844 55,915
HealthCare Compare Corp+ 284 15,833 390 21,743
Healthsouth Corp 488 12,170 2,697 67,256
Idexx Laboratories Inc+ 400 7,525 500 9,406
Lincare Holdings
Incorporated+ 0 -- 200 9,538
Mid Atlantic Medical
Services+ 400 6,175 500 7,719
Morrison Health Care Inc 128 2,200 66 1,134
Novacare Inc+ 0 -- 0 --
Oakley Inc 600 7,313 600 7,313
Oxford Health Plans Inc+ 500 36,563 800 58,500
PacifiCare Health Systems
Inc Class A+ 112 7,445 70 4,653
PacifiCare Health Systems
Inc Class B+ 174 11,897 195 13,333
Physician Corp of America+ 400 2,725 300 2,044
St Jude Medical Inc+ 48 1,827 656 24,969
Talbert Medical Mgmt
Holdings+ 20 1,251 25 1,564
United Healthcare Corp 189 9,190 1,360 66,130
------------ ------------
TOTAL HEALTHCARE
- VALUE $ 138,251 $ 361,717
- COST $ 136,476 $ 340,049
HOSPITAL & MEDICAL SUPPLIES
PERCENT OF NET ASSETS 0.37% 0.92%
Allegiance Corp 81 $ 2,541 628 $ 19,703
American Oncology Resources+ 0 -- 200 2,738
Arrow International Inc 0 -- 100 2,963
Arterial Vascular
Engineering+ 0 -- 100 3,700
Bard (C R) Inc 41 1,415 430 14,835
Bausch & Lomb Inc 54 2,217 367 15,070
Baxter International Inc 459 24,413 2,178 115,842
Becton Dickinson & Co 154 7,382 1,034 49,567
Beverly Enterprises+ 70 1,142 722 11,778
Biomet Inc 127 2,635 979 20,314
</TABLE>
130
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,801 $ 49,415 1,470 $ 40,333 2,912 $ 79,898
748 38,709 558 28,877 1,220 63,135
116 4,611 81 3,220 0 --
222 6,424 78 2,257 133 3,849
800 35,200 800 35,200 1,200 52,800
1,385 79,291 1,044 59,769 2,235 127,954
------------ ------------ ------------
$ 310,846 $ 253,177 $ 446,039
$ 189,610 $ 159,933 $ 319,764
0.28% 0.33% 0.38%
800 $ 14,000 800 $ 14,000 1,300 $ 22,750
1,931 127,896 1,598 105,868 3,496 231,577
816 45,492 596 33,227 865 48,224
6,150 153,366 4,868 121,396 11,100 276,806
800 15,050 600 11,288 1,000 18,813
0 -- 0 -- 400 19,075
700 10,806 500 7,719 1,300 20,069
214 3,678 132 2,269 258 4,434
975 14,686 710 10,694 0 --
1,200 14,625 800 9,750 1,200 14,625
1,400 102,375 1,100 80,438 1,700 124,312
459 30,433 136 8,985 242 16,039
526 35,978 411 28,102 595 40,696
600 4,088 500 3,406 1,100 7,494
1,642 62,499 1,368 52,069 2,794 106,347
33 2,065 30 1,877 52 3,253
3,440 167,270 2,713 131,920 5,574 271,036
------------ ------------ ------------
$ 804,307 $ 623,008 $ 1,225,550
$ 692,556 $ 520,696 $ 1,139,063
1.31% 1.59% 1.97%
930 $ 29,179 698 $ 21,900 1,507 $ 47,282
0 -- 200 2,738 400 5,475
0 -- 0 -- 200 5,925
0 -- 0 -- 0 --
1,049 36,190 855 29,497 1,408 48,576
995 40,857 836 34,328 1,669 68,533
5,035 267,799 4,026 214,133 8,940 475,496
2,248 107,763 1,742 83,507 3,883 186,141
1,830 29,852 1,487 24,257 2,897 47,257
2,134 44,281 1,561 32,391 3,590 74,493
</TABLE>
131
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Boston Scientific Corp+ 293 $ 20,657 1,586 $ 111,813
Columbia/HCA Healthcare Corp 512 16,160 4,882 154,088
Dentsply International Inc 200 11,250 200 11,250
Depuy Inc+ 0 -- 200 4,625
Guidant Corp 50 4,391 623 54,707
Health Care & Retirement
Corp+ 350 12,753 400 14,575
Health Management Associates
Inc Class A+ 950 28,084 1,050 31,041
Hillenbrand Industries Inc 300 13,181 500 21,969
Horizon/CMS Healthcare Corp+ 600 12,338 400 8,225
Johnson & Johnson 1,876 106,346 10,532 597,032
Mallinckrodt Group Inc 84 3,056 553 20,115
Manor Care Inc 59 1,822 474 14,635
Medpartners Inc+ 1,210 25,864 2,089 44,652
Medtronic Inc 350 31,631 1,908 172,436
Phycor Inc+ 600 17,663 600 17,663
Quorum Health Group Inc+ 300 10,219 300 10,219
Stryker Corp 748 29,873 820 32,749
Sybron International Corp+ 500 19,969 600 23,963
Tenet Healthcare Corp 211 5,750 2,254 61,421
Thermo Cardiosystems Inc+ 150 3,759 250 6,266
United States Surgical 49 1,614 568 18,709
Vencor Inc+ 500 20,063 600 24,075
------------ ------------
TOTAL HOSPITAL & MEDICAL
SUPPLIES
- VALUE $ 438,188 $ 1,712,738
- COST $ 358,108 $ 1,364,065
HOUSEHOLD PRODUCTS
PERCENT OF NET ASSETS 0.22% 0.82%
Alberto-Culver Co Class B 0 $ -- 461 $ 13,455
Avon Products Inc 154 9,866 1,031 66,048
Colgate-Palmolive Co 366 22,967 2,333 146,396
Estee Lauder Co Class A 200 9,500 200 9,500
Gillette Co 697 57,737 4,434 367,207
Kimberly-Clark Corp 762 36,147 4,418 209,579
NCH Corp 0 -- 0 --
Procter & Gamble Co 973 129,470 5,356 712,682
------------ ------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 265,687 $ 1,524,867
- COST $ 221,438 $ 1,056,231
INSURANCE
PERCENT OF NET ASSETS 0.86% 2.13%
Aegon NV ADR (Netherlands) 22 $ 1,634 324 $ 24,057
Aetna Inc 168 16,034 1,136 108,417
</TABLE>
132
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
3,511 $ 247,525 2,828 $ 199,374 6,232 $ 439,356
12,278 387,537 9,798 309,249 19,653 620,298
300 16,875 300 16,875 500 28,125
1,700 39,313 300 6,938 400 9,250
1,334 117,142 1,031 90,535 2,423 212,770
750 27,328 600 21,863 1,050 38,259
1,650 48,778 1,600 47,300 2,525 74,645
1,000 43,938 800 35,150 1,300 57,119
900 18,506 700 14,394 1,000 20,563
23,673 1,341,962 18,997 1,076,892 42,067 2,384,673
1,370 49,834 1,053 38,303 2,179 79,261
1,236 38,162 966 29,825 1,940 59,897
2,420 51,728 2,452 52,412 4,662 99,650
4,322 390,601 3,432 310,167 7,549 682,241
1,050 30,909 750 22,078 1,450 42,684
400 13,625 300 10,219 600 20,437
1,668 66,616 1,288 51,440 1,900 75,881
800 31,950 800 31,950 1,200 47,925
5,579 152,028 4,438 120,935 9,055 246,749
300 7,519 300 7,519 450 11,278
1,392 45,849 1,024 33,728 2,229 73,418
1,500 60,188 980 39,323 1,374 55,132
------------ ------------ ------------
$ 3,783,834 $ 3,009,220 $ 6,338,789
$ 2,934,223 $ 2,286,905 $ 5,349,685
1.19% 1.45% 1.89%
1,054 $ 30,764 842 $ 24,576 1,682 $ 49,093
2,410 154,391 1,925 123,320 4,219 270,280
5,321 333,893 4,333 271,896 9,269 581,630
800 38,000 300 14,250 500 23,750
9,862 816,680 7,903 654,500 17,604 1,457,815
9,954 472,193 7,978 378,456 17,688 839,074
124 8,432 89 6,052 0 --
12,000 1,596,749 9,630 1,281,392 21,324 2,837,425
------------ ------------ ------------
$ 3,451,102 $ 2,754,442 $ 6,059,067
$ 2,439,719 $ 1,890,323 $ 4,569,091
3.08% 3.65% 4.39%
741 $ 55,019 576 $ 42,768 891 $ 66,157
2,818 268,943 2,209 210,821 4,525 431,855
</TABLE>
133
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
AFLAC Corp 1,096 $ 60,349 1,670 $ 91,954
Alleghany Corp 2 490 102 24,480
Allmerica Financial Corp 324 13,409 431 17,829
Allstate Corp 304 22,211 3,217 235,042
American General Corp 166 7,999 1,794 86,448
American International Group
Inc 1,064 100,368 5,552 523,969
American National Insurance
Co 100 9,700 100 9,700
American States Financial
Corp 0 -- 100 4,681
Aon Corp 60 3,056 1,240 63,163
Argonaut Group Inc 0 -- 100 3,250
Chubb Corp 108 7,223 1,250 83,594
CIGNA Corp 76 13,937 520 95,355
Cincinnati Financial Corp 430 34,938 646 52,488
CNA Financial Corp+ 100 11,344 100 11,344
Conseco Inc 150 6,450 1,325 56,996
Equitable Co Inc 600 26,100 900 39,150
Equitable of Iowa Co 300 19,538 300 19,538
Everest Reinsurance Holdings
Inc 300 10,856 200 7,238
Foundation Health Systems+ 792 25,186 1,027 32,659
General Re Corp 97 18,806 617 119,621
Hartford Financial Services
Group 131 10,447 832 66,352
Highlands Insurance Group+ 37 872 76 1,791
HSB Group Inc 230 12,363 280 15,050
Humana Inc+ 150 3,534 1,200 28,275
Jefferson-Pilot Corp 104 7,235 509 35,407
Leucadia National Corp 400 12,750 400 12,750
Lincoln National Corp 40 2,678 792 53,014
Loews Corp 50 5,097 835 85,118
Marsh & McLennan Companies
Inc 260 17,745 1,348 92,001
MBIA Inc 50 5,663 363 41,110
Mercury General Corp 100 8,750 100 8,750
Ohio Casualty Corp 300 13,950 400 18,600
Old Republic International
Corp 750 26,953 850 30,547
PMI Group Inc 300 17,344 300 17,344
Progressive Corp Ohio 82 8,118 520 51,480
Protective Life Corp 300 14,925 300 14,925
Provident Companies Inc 297 19,342 266 17,323
Providian Financial Corp 51 1,899 648 24,138
Reliance Group Holdings 0 -- 700 8,575
Reliastar Financial Corp 300 22,425 500 37,375
SAFECO Corp 70 3,439 951 46,718
St Paul Co 23 1,688 619 45,419
Sunamerica Inc 600 32,325 1,100 59,263
TIG Holdings Inc 500 15,625 500 15,625
</TABLE>
134
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
3,217 $ 177,136 2,137 $ 117,669 3,727 $ 205,218
104 24,970 104 24,970 104 24,970
1,279 52,922 172 7,128 303 12,544
8,136 594,436 6,422 469,207 12,991 949,155
4,483 216,025 3,530 170,102 7,113 342,758
12,479 1,177,659 10,147 957,577 22,189 2,094,088
200 19,400 200 19,400 300 29,100
0 -- 200 9,363 300 14,044
3,052 155,461 2,435 124,033 4,977 253,516
0 -- 200 6,500 300 9,750
3,194 213,599 2,511 167,923 5,102 341,196
1,357 248,840 1,119 205,197 2,147 393,706
1,245 101,156 940 76,375 1,395 113,344
200 22,688 100 11,344 300 34,031
3,384 145,517 2,720 116,960 5,554 238,803
3,100 134,850 1,300 56,550 1,900 82,650
400 26,050 400 26,050 700 45,588
400 14,475 300 10,856 500 18,094
1,255 39,909 814 25,889 3,642 115,855
1,533 297,210 1,172 227,222 2,351 455,800
2,197 175,211 1,758 140,200 3,570 284,708
172 4,053 136 3,204 216 5,090
309 16,609 324 17,415 520 27,950
3,007 70,852 2,405 56,668 4,865 114,632
1,346 93,631 1,017 70,745 2,105 146,429
400 12,750 600 19,125 1,000 31,875
1,876 125,575 1,496 100,138 3,095 207,172
2,066 210,603 1,730 176,352 3,437 350,359
3,040 207,480 2,368 161,616 5,360 365,820
839 95,017 674 76,331 1,334 151,075
200 17,500 200 17,500 300 26,250
700 32,550 500 23,250 800 37,200
1,800 64,688 1,250 44,922 2,000 71,875
300 17,344 400 23,125 600 34,688
1,297 128,403 997 98,703 2,150 212,850
600 29,850 500 24,875 700 34,825
806 52,491 501 32,628 633 41,224
1,708 63,623 1,328 49,468 2,853 106,274
0 -- 0 -- 1,500 18,375
800 59,800 600 44,850 1,100 82,225
2,367 116,279 1,799 88,376 3,810 187,166
1,543 113,218 1,196 87,757 2,481 182,043
2,400 129,300 1,900 102,363 4,200 226,275
900 28,125 700 21,875 1,000 31,250
</TABLE>
135
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Tokio Marine & Fire
Insurance Co
ADR (Japan) 4,200 $ 245,175 15,400 $ 898,974
Torchmark Corp 156 5,879 1,040 39,195
Transamerica Corp 74 7,294 515 50,760
Transatlantic Holdings Inc 226 15,975 150 10,603
Travelers Inc 483 30,671 4,704 298,704
Travelers Property Casualty 100 4,025 100 4,025
Uici+ 0 -- 400 12,000
Unitrin Inc 300 18,000 300 18,000
UNUM Corp 166 6,848 999 41,209
USF & G Corp 74 1,623 856 18,779
Wellpoint Health Networks+ 0 -- 100 5,438
Western National Corp 400 11,150 400 11,150
Zurich Reinsurance Centre
Holdings Inc 200 7,888 100 3,944
------------ ------------
TOTAL INSURANCE
- VALUE $ 1,029,323 $ 3,950,704
- COST $ 789,571 $ 2,956,747
INVESTMENT BANKING &
BROKERAGE
PERCENT OF NET ASSETS 0.02% 0.12%
Alex Brown Inc 0 $ -- 200 $ 16,938
Morgan Stanley Dean Witter 459 22,101 4,269 205,422
------------ ------------
TOTAL INVESTMENT BANKING &
BROKERAGE
- VALUE $ 22,101 $ 222,360
- COST $ 11,606 $ 134,999
LODGING
PERCENT OF NET ASSETS 0.07% 0.16%
Choice Hotels Inc+ 59 $ 1,125 505 $ 9,627
Doubletree Corp+ 0 -- 300 15,000
Extended Stay America Inc+ 0 -- 600 8,025
HFS Inc+ 93 5,179 1,161 64,653
Hilton Hotels Corp 293 8,991 2,004 61,498
Homestead Village Property
Inc+ 75 1,263 88 1,474
Host Marriott Corp+ 1,300 25,350 1,900 37,050
La Quinta Inns Inc 800 16,800 750 15,750
Marriott International 173 11,515 1,052 70,024
Promus Hotel Corp+ 477 18,514 561 21,774
------------ ------------
TOTAL LODGING
- VALUE $ 88,737 $ 304,875
- COST $ 66,364 $ 229,646
</TABLE>
136
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
30,800 $ 1,797,949 23,650 $ 1,380,569 49,600 $ 2,895,400
2,568 96,782 2,020 76,129 4,132 155,725
1,236 121,823 998 98,365 1,990 196,139
532 37,606 390 27,568 460 32,516
11,785 748,348 9,401 596,964 18,882 1,199,007
900 36,225 100 4,025 300 12,075
0 -- 0 -- 900 27,000
600 36,000 500 30,000 700 42,000
2,534 104,528 1,992 82,170 4,246 175,147
2,094 45,937 1,578 34,617 3,323 72,898
0 -- 0 -- 300 16,313
600 16,725 400 11,150 800 22,300
0 -- 100 3,944 300 11,831
------------ ------------ ------------
$ 8,893,140 $ 6,910,891 $ 14,108,203
$ 6,482,922 $ 5,019,781 $ 11,485,465
0.18% 0.21% 0.27%
0 $ -- 0 $ -- 600 $ 50,813
10,601 510,149 8,407 404,573 16,853 811,051
------------ ------------ ------------
$ 510,149 $ 404,573 $ 861,864
$ 296,997 $ 237,644 $ 642,338
0.22% 0.25% 0.32%
1,105 $ 21,064 807 $ 15,383 1,217 $ 23,199
0 -- 0 -- 600 30,000
0 -- 0 -- 1,300 17,388
2,923 162,775 2,360 131,423 4,648 258,835
4,521 138,738 3,514 107,836 7,991 245,224
101 1,684 113 1,895 189 3,158
3,400 66,300 2,500 48,750 4,300 83,850
1,500 31,500 1,100 23,100 1,700 35,700
2,327 154,891 1,787 118,947 4,056 269,978
1,174 45,566 745 28,915 1,255 48,710
------------ ------------ ------------
$ 622,518 $ 476,249 $ 1,016,042
$ 437,148 $ 325,425 $ 782,884
</TABLE>
137
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY
PERCENT OF NET ASSETS 0.20% 0.42%
AGCO Corp 300 $ 9,750 300 $ 9,750
AVX Corp 300 10,556 200 7,038
Black & Decker Corp 122 4,674 721 27,623
Case Corp 100 6,706 573 38,427
Caterpillar Inc 314 18,232 2,800 162,575
Cincinnati Milacron Inc 59 1,519 344 8,858
Cummins Engine Co Inc 23 1,770 282 21,696
Deere & Co 228 12,768 1,842 103,152
Federal Mogul Corp 396 14,157 300 10,725
Harsco Corp 538 24,244 620 27,939
Ingersoll-Rand Co 110 6,614 787 47,318
Jacobs Engineering Group+ 0 -- 0 --
Kubota Corp ADR (Japan) 0 -- 100 8,200
MagneTek Inc+ 0 -- 0 --
Makita Corp ADR (Japan) 2,150 29,428 7,950 108,816
McDermott International Inc 44 1,419 432 13,932
Nordson Corp 214 12,359 160 9,240
Pall Corp 178 4,216 1,033 24,469
Parker Hannifin Corp 102 6,560 560 36,015
Pentair Co 0 -- 0 --
Presstek Inc 200 8,000 400 16,000
SPX Corp 22 1,279 46 2,674
Tecumseh Products Co Class A 241 13,617 190 10,735
Teleflex Inc 350 11,091 0 --
Thermo Electron Corp+ 133 5,353 1,072 43,148
UCAR International Inc+ 400 18,875 400 18,875
York International Corp 402 18,040 520 23,335
Zurn Industries Inc 22 653 46 1,366
------------ ------------
TOTAL MACHINERY
- VALUE $ 241,880 $ 781,906
- COST $ 206,855 $ 624,750
MANUFACTURING
PERCENT OF NET ASSETS 0.03% 0.09%
Evi Inc 0 $ -- 300 $ 15,769
Tyco International Ltd 416 32,630 1,901 149,110
------------ ------------
TOTAL MANUFACTURING
- VALUE $ 32,630 $ 164,879
- COST $ 22,917 $ 117,016
</TABLE>
138
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.64% 0.75% 0.86%
500 $ 16,250 600 $ 19,500 800 $ 26,000
1,300 45,744 300 10,556 600 21,113
1,763 67,545 1,391 53,293 2,890 110,723
1,318 88,388 1,057 70,885 2,194 147,135
6,932 402,489 5,538 321,550 11,084 643,565
761 19,596 538 13,853 854 21,991
707 54,395 596 45,855 1,198 92,171
4,687 262,472 3,702 207,312 7,517 420,952
553 19,770 398 14,229 380 13,585
1,148 51,732 758 34,157 1,320 59,483
1,960 117,845 1,562 93,915 3,308 198,894
373 11,936 0 -- 0 --
100 8,200 100 8,200 100 8,200
367 7,730 0 -- 0 --
15,625 213,867 12,175 166,645 25,150 344,241
1,038 33,475 808 26,058 1,607 51,826
293 16,921 208 12,012 385 22,234
2,222 52,634 1,732 41,027 4,048 95,887
1,331 85,600 1,105 71,065 2,226 143,160
576 20,520 406 14,464 0 --
400 16,000 400 16,000 600 24,000
226 13,136 83 4,824 248 14,415
345 19,493 249 14,069 431 24,352
508 16,097 388 12,295 0 --
2,816 113,344 2,238 90,079 4,642 186,840
800 37,750 600 28,313 900 42,469
959 43,035 714 32,041 1,085 48,689
224 6,650 180 5,344 241 7,155
------------ ------------ ------------
$ 1,862,614 $ 1,427,541 $ 2,769,080
$ 1,398,723 $ 1,087,808 $ 2,292,968
0.12% 0.15% 0.21%
0 $ -- 0 $ -- 800 $ 42,050
4,395 344,733 3,538 277,512 7,834 614,479
------------ ------------ ------------
$ 344,733 $ 277,512 $ 656,529
$ 237,680 $ 183,652 $ 485,871
</TABLE>
139
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
METAL FABRICATORS
PERCENT OF NET ASSETS 0.25% 0.70%
Alcan Aluminum Ltd 218 $ 7,616 1,699 $ 59,359
Allegheny Teledyne Inc 256 7,904 1,464 45,201
Alumax Inc+ 489 20,263 480 19,890
Aluminum Co of America 110 9,048 1,251 102,895
Armco Inc+ 107 635 908 5,391
Barrick Gold Corp 307 6,984 2,780 63,245
Battle Mountain Gold Co 328 1,866 1,859 10,573
Bethlehem Steel Corp+ 62 744 890 10,680
British Steel PLC ADR (UK) 850 24,278 1,500 42,844
Crane Co 78 3,442 376 16,591
Engelhard Corp 64 1,336 1,109 23,150
Freeport McMoRan Copper &
Gold Inc Class B 38 1,017 28 749
Freeport McMoRan Inc 222 6,216 1,597 44,716
Getchell Gold Corp+ 24 816 359 12,206
Inland Steel Industries Inc 0 -- 411 8,657
Kaydon Corp 0 -- 0 --
Laboratory Corp of America
Holdings 660 1,733 418 1,097
Lukens Inc 0 -- 0 --
Mitsui & Co Ltd ADR (Japan) 950 158,650 3,300 551,099
Nucor Corp 27 1,531 698 39,568
Oregon Steel Mills Inc 0 -- 0 --
Phelps Dodge Corp 74 5,952 415 33,382
Placer Dome Inc 342 5,686 1,823 30,307
Precision Castparts Corp 0 -- 200 12,925
Reynolds Metals Co 56 3,959 575 40,645
Timken Co 0 -- 473 17,708
USX--U.S. Steel Group 32 1,124 654 22,972
WMC Ltd ADR (Japan) 1,450 29,725 3,100 63,550
Worthington Industries Inc 33 613 757 14,052
------------ ------------
TOTAL METAL FABRICATORS
- VALUE $ 301,138 $ 1,293,452
- COST $ 299,326 $ 1,258,561
OFFICE EQUIPMENT & SUPPLIES
PERCENT OF NET ASSETS 0.01% 0.00%
Standard Register Co 301 $ 10,290 0 $ --
------------ ------------
TOTAL OFFICE EQUIPMENT &
SUPPLIES
- VALUE $ 10,290 $ --
- COST $ 6,560 $ --
</TABLE>
140
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.98% 1.17% 1.42%
4,207 $ 146,982 3,342 $ 116,761 6,860 $ 239,671
3,122 96,392 2,472 76,323 5,628 173,765
773 32,031 893 37,004 1,270 52,626
3,152 259,252 2,514 206,776 5,205 428,111
1,837 10,907 1,271 7,547 3,282 19,487
6,882 156,566 5,415 123,191 11,203 254,868
4,235 24,087 3,195 18,172 6,964 39,608
1,997 23,964 1,671 20,052 3,317 39,804
3,150 89,972 2,600 74,262 4,450 127,103
870 38,389 629 27,733 1,427 62,967
2,755 57,511 2,118 44,213 4,305 89,867
52 1,391 38 1,017 236 6,313
3,543 99,204 2,804 78,512 6,437 180,236
222 7,548 458 15,572 646 21,964
947 19,946 715 15,060 1,014 21,357
250 14,766 0 -- 0 --
1,043 2,738 684 1,796 1,337 3,510
230 4,298 0 -- 0 --
6,600 1,102,200 5,025 839,175 10,550 1,761,850
1,594 90,360 1,298 73,580 2,603 147,558
299 8,054 199 5,361 0 --
1,135 91,297 895 71,992 1,820 146,396
4,429 73,632 3,546 58,952 7,410 123,191
300 19,388 213 13,765 600 38,775
1,329 93,944 1,053 74,434 2,241 158,411
1,177 44,064 933 34,929 1,887 70,645
1,577 55,392 1,232 43,274 2,561 89,955
6,275 128,638 5,250 107,625 9,300 190,650
1,838 34,118 1,420 26,359 2,943 54,629
------------ ------------ ------------
$ 2,827,031 $ 2,213,437 $ 4,543,317
$ 2,714,365 $ 2,113,839 $ 4,523,891
0.00% 0.01% 0.00%
432 $ 14,769 312 $ 10,667 0 $ --
------------ ------------ ------------
$ 14,769 $ 10,667 $ --
$ 9,334 $ 6,837 $ --
</TABLE>
141
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS
PERCENT OF NET ASSETS 1.37% 3.10%
Abbott Laboratories 1,011 $ 60,597 6,135 $ 367,717
Allergan Inc 62 2,007 477 15,443
ALZA Corp+ 118 3,422 663 19,227
American Home Products Corp 1,038 74,736 5,085 366,120
Amgen Inc 366 18,140 2,078 102,991
Bergen Brunswig Corp Class A 525 22,050 645 27,090
Bristol-Myers Squibb Co 1,442 109,592 7,873 598,347
Centocor Inc+ 546 24,502 740 33,208
Covance Inc+ 90 1,647 581 10,608
Dura Pharmaceuticals Inc+ 0 -- 500 17,813
Glaxo Holdings PLC ADR (UK) 6,500 259,188 13,600 542,299
ICN Pharmaceuticals Inc 500 18,063 504 18,207
Interneuron Pharmaceuticals
Co 0 -- 400 7,400
IVAX Corp 1,230 11,608 1,240 11,703
Lilly (Eli) & Co 776 81,189 4,400 460,350
Marshall & Ilsley Corp 758 35,626 1,040 48,880
McKesson Corp 300 28,106 400 37,475
Merck & Co Inc 1,722 158,101 9,525 874,513
Millipore Corp 50 2,475 357 17,672
Mylan Laboratories 1,003 21,314 1,270 26,987
Novo Nordisk A/S ADR
(Denmark) 3,650 186,150 7,600 387,600
Omnicare Inc 600 17,363 900 26,044
Perrigo Co+ 812 11,622 550 7,872
Pfizer Inc 2,040 112,965 10,262 568,257
Pharmacia and Upjohn Inc 415 14,136 3,754 127,871
Rhone-Poulenc Rorer Inc 400 38,525 500 48,156
Scherer (R P) Corp+ 200 11,263 300 16,894
Schering-Plough Corp 1,152 55,296 5,820 279,360
Schweitzer-Mauduit
International Inc 20 800 92 3,680
SmithKline Beecham PLC ADR
(UK) 3,500 151,594 7,600 329,175
SouthTrust Corp 871 38,977 1,080 48,330
ThermoLase Corp+ 0 -- 100 1,613
Warner Lambert Co 368 46,759 2,182 277,250
Watson Pharmaceutical Inc+ 300 15,769 400 21,025
Xoma Corp+ 188 1,187 0 --
------------ ------------
TOTAL PHARMACEUTICALS
- VALUE $ 1,634,769 $ 5,747,177
- COST $ 1,178,457 $ 3,833,948
</TABLE>
142
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
4.30% 5.31% 6.52%
13,709 $ 821,683 11,021 $ 660,571 24,418 $ 1,463,554
1,224 39,627 951 30,789 2,009 65,041
1,428 41,412 1,074 31,146 2,756 79,924
11,458 824,976 9,176 660,672 20,351 1,465,272
4,848 240,279 3,881 192,352 8,542 423,363
786 33,012 775 32,550 1,350 56,700
17,755 1,349,379 14,217 1,080,492 31,544 2,397,344
1,381 61,972 1,166 52,324 1,720 77,185
1,030 18,793 878 16,014 1,546 28,215
700 24,938 700 24,938 1,100 39,188
27,400 1,092,575 23,200 925,100 40,750 1,624,906
708 25,577 607 21,928 1,340 48,408
0 -- 600 11,100 900 16,650
2,323 21,923 1,663 15,695 2,895 27,322
9,852 1,030,766 7,863 822,666 17,506 1,831,565
2,203 103,541 1,583 74,401 2,420 113,740
800 74,950 600 56,213 900 84,319
21,401 1,964,878 17,186 1,577,890 38,046 3,493,098
744 36,828 555 27,473 1,461 72,320
2,765 58,756 1,927 40,949 3,052 64,855
15,275 779,025 12,900 657,900 22,650 1,155,150
800 23,150 1,200 34,725 1,900 54,981
1,252 17,919 842 12,051 1,680 24,045
22,864 1,266,093 18,326 1,014,802 40,726 2,255,202
9,273 315,862 7,389 251,688 14,981 510,290
900 86,681 700 67,419 1,100 105,944
400 22,525 400 22,525 600 33,788
12,951 621,648 10,443 501,264 23,105 1,109,040
214 8,560 176 7,040 351 14,040
15,200 658,350 12,800 554,400 22,600 978,862
2,137 95,631 1,587 71,018 2,535 113,441
0 -- 0 -- 300 4,838
4,847 615,872 3,881 493,130 8,546 1,085,876
600 31,538 500 26,281 1,000 52,563
193 1,218 193 1,218 0 --
------------ ------------ ------------
$ 12,409,937 $ 10,070,724 $ 20,971,029
$ 8,256,670 $ 6,589,749 $ 14,930,406
</TABLE>
143
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PUBLISHING
PERCENT OF NET ASSETS 0.22% 0.40%
American Greetings Corp
Class A 30 $ 1,043 574 $ 19,947
Barnes & Noble+ 200 9,288 200 9,288
Belo (A H) Corp 456 19,551 640 27,440
Chris-Craft Industries Inc 116 5,710 262 12,836
Comcast Corp Class A 440 10,313 2,797 65,555
Donnelley (R R) & Sons Co 153 5,957 1,038 40,417
Dow Jones & Co Inc 100 4,281 748 32,024
E.W. Scripps Company 300 11,794 300 11,794
Ennis Business Forms Inc 0 -- 0 --
Gannett Co Inc 133 12,959 1,163 113,320
Gibson Greetings Inc+ 0 -- 0 --
Golden Books Family
Entertainment Inc+ 234 2,325 0 --
Harland (John H) Co 53 1,050 236 4,676
Houghton Mifflin Co 304 10,545 240 8,325
Interpublic Group Co Inc 123 5,996 976 47,580
Knight-Ridder Inc 40 2,025 661 33,463
Lee Enterprises Inc 498 12,761 0 --
Liberty Media Group Class A 1,985 52,354 2,659 70,131
Marvel Entertainment Group
Inc+ 0 -- 200 375
McGraw-Hill Inc 72 4,415 697 42,735
Media General Inc Class A 280 10,290 220 8,085
Meredith Corp 100 3,000 412 12,360
Moore Corp Ltd 100 1,981 646 12,799
New York Times Co Class A 112 5,292 659 31,138
News Corporation Ltd 1,250 22,578 2,700 48,769
News Corporation Ltd 0 -- 290 4,386
Readers Digest Association
Class A 700 20,694 1,000 29,563
Readers Digest Association
Class B 200 5,550 300 8,325
Scholastic Inc+ 200 6,850 200 6,850
Times Mirror Co Class A 48 2,433 719 36,444
Washington Post Co Class B 27 11,360 0 --
------------ ------------
TOTAL PUBLISHING
- VALUE $ 262,395 $ 738,625
- COST $ 221,729 $ 617,370
REAL ESTATE
PERCENT OF NET ASSETS 0.11% 0.13%
Boston Properties Inc+ 0 $ -- 400 $ 11,925
Castle & Cooke Inc+ 215 3,789 136 2,397
Catellus Development Corp+ 0 -- 700 13,475
Echelon International Corp+ 68 1,552 53 1,216
Equity Office Properties+ 0 -- 300 8,756
</TABLE>
144
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.59% 0.69% 0.81%
1,361 $ 47,295 1,138 $ 39,545 2,264 $ 78,674
300 13,931 200 9,288 400 18,575
714 30,613 1,044 44,762 1,540 66,028
492 24,155 335 16,424 227 11,118
6,374 149,391 4,887 114,539 11,266 264,047
2,681 104,391 2,128 82,859 4,382 170,624
1,733 74,194 1,435 61,436 2,868 122,786
900 35,381 300 11,794 600 23,587
247 2,686 0 -- 0 --
2,583 251,681 2,067 201,403 4,490 437,494
244 5,490 0 -- 0 --
313 3,110 233 2,315 0 --
589 11,670 393 7,786 969 19,198
460 15,956 310 10,753 890 30,872
2,200 107,250 1,770 86,288 3,969 193,489
1,637 82,873 1,319 66,774 2,770 140,231
708 18,143 510 13,069 0 --
5,583 147,252 3,434 90,572 5,971 157,485
1,400 2,625 200 375 600 1,125
1,866 114,409 1,467 89,945 2,938 180,136
410 15,068 290 10,658 570 20,948
973 29,190 769 23,070 1,664 49,920
1,719 34,058 1,272 25,202 2,189 43,370
1,779 84,058 1,358 64,166 2,886 136,364
5,500 99,344 4,550 82,184 7,650 138,178
0 -- 580 8,773 1,015 15,352
1,800 53,213 1,500 44,344 2,200 65,038
300 8,325 300 8,325 600 16,650
200 6,850 200 6,850 400 13,700
1,777 90,072 1,370 69,442 2,874 145,676
80 33,660 33 13,885 125 52,594
------------ ------------ ------------
$ 1,696,334 $ 1,306,826 $ 2,613,259
$ 1,353,802 $ 1,037,136 $ 2,132,861
0.10% 0.15% 0.17%
0 $ -- 0 $ -- 800 $ 23,850
336 5,922 222 3,913 341 6,010
0 -- 0 -- 1,900 36,575
96 2,191 69 1,589 65 1,491
0 -- 0 -- 700 20,431
</TABLE>
145
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Equity Residential
Properties Trust 400 $ 19,475 600 $ 29,213
Franchise Finance Corp 0 -- 100 2,506
Health & Retire Property
Trust 600 10,875 1,100 19,938
Health Care Property
Investors Inc 300 11,156 400 14,875
Kimco Realty Corp 300 10,106 350 11,791
MAXXAM Inc+ 0 -- 0 --
Meditrust Corp 400 15,975 600 23,963
New Plan Realty Trust 400 9,400 700 16,450
Public Storage Inc 0 -- 700 19,644
Security Capital Pacific
Trust 600 13,088 500 10,906
Simon Debartolo Group Inc 300 9,506 700 22,181
Vornado Realty Trust 200 13,900 300 20,850
Weingarten Realty
Investments 200 8,313 300 12,469
------------ ------------
TOTAL REAL ESTATE
- VALUE $ 127,135 $ 242,555
- COST $ 99,784 $ 205,730
RETAIL & RELATED
PERCENT OF NET ASSETS 0.84% 2.07%
Anntaylor Stores Inc+ 247 $ 4,230 195 $ 3,339
AutoZone Inc+ 50 1,413 1,146 32,375
Bed Bath & Beyond Inc+ 400 12,400 500 15,500
Benetton Spa ADR (Italy) 4,836 141,755 10,192 298,753
Best Buy Co Inc+ 0 -- 100 1,700
BJ's Wholesale Club Inc+ 365 10,539 0 --
Borders Group Inc 0 -- 800 19,050
Charming Shoppes Inc+ 55 332 906 5,464
Circuit City Stores Inc 43 1,532 742 26,434
Coles Myer Ltd ADR
(Australia) 2,024 74,635 4,332 159,742
CompUSA Inc 0 -- 1,100 34,031
Consolidated Stores Corp 719 26,908 968 36,240
Corporate Express Inc 1,050 17,916 1,050 17,916
Costco Co Inc+ 206 7,429 1,527 55,067
Dayton-Hudson Corp 275 15,675 1,752 99,864
Department 56 Inc 200 5,463 200 5,462
Dillards Inc Class A 123 4,920 801 32,040
Dollar General Corp 490 20,304 1,035 42,888
Eastman Kodak Co 379 24,777 2,634 172,198
Edison Brothers Stores Inc+ 0 -- 0 --
Family Dollar Stores Inc 480 10,200 720 15,300
Federated Department Stores
Inc+ 150 6,300 1,514 63,588
Fingerhut Co 505 10,226 400 8,100
Footstar Inc+ 46 1,141 245 6,079
Gap Inc 308 13,687 2,224 98,829
</TABLE>
146
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
400 $ 19,475 700 $ 34,081 1,400 $ 68,163
0 -- 0 -- 200 5,013
800 14,500 1,000 18,125 2,600 47,125
400 14,875 500 18,594 700 26,031
450 15,159 500 16,844 700 23,581
128 7,040 0 -- 0 --
1,100 43,931 800 31,950 1,300 51,919
1,400 32,900 900 21,150 1,500 35,250
1,400 39,288 1,100 30,869 1,800 50,513
800 17,450 900 19,631 1,200 26,175
1,600 50,700 1,100 34,856 1,700 53,869
300 20,850 400 27,800 600 41,700
400 16,625 400 16,625 600 24,937
------------ ------------ ------------
$ 300,906 $ 276,027 $ 542,633
$ 255,459 $ 228,275 $ 468,328
2.86% 3.54% 4.26%
351 $ 6,011 253 $ 4,333 237 $ 4,059
2,769 78,224 2,224 62,828 4,677 132,125
800 24,800 800 24,800 1,100 34,100
20,410 598,268 17,236 505,230 30,420 891,686
0 -- 300 5,100 600 10,200
497 14,351 367 10,597 0 --
0 -- 1,000 23,813 1,700 40,481
1,882 11,351 1,545 9,318 2,302 13,884
1,785 63,591 1,404 50,017 2,918 103,954
8,775 323,578 7,432 274,055 13,040 480,850
0 -- 1,400 43,313 2,200 68,063
1,718 64,318 1,375 51,477 2,187 81,876
1,950 33,272 1,350 23,034 2,400 40,950
3,849 138,805 3,082 111,145 6,370 229,718
3,909 222,813 3,207 182,799 6,952 396,264
300 8,194 200 5,463 600 16,388
2,063 82,520 1,697 67,880 3,410 136,400
1,491 61,794 1,165 48,275 2,206 91,422
5,789 378,456 4,758 311,054 10,333 675,520
347 130 0 -- 0 --
1,285 27,306 940 19,975 1,642 34,887
3,856 161,952 3,072 129,024 6,290 264,180
714 14,459 509 10,307 180 3,645
521 12,927 382 9,478 654 16,227
4,920 218,633 4,019 178,594 8,838 392,739
</TABLE>
147
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Global DirectMail Corp+ 200 $ 4,400 200 $ 4,400
Hancock Fabrics Inc 0 -- 0 --
Heilig Meyers Co 524 7,860 410 6,150
Home Depot Inc 1,152 54,360 5,762 271,895
Homebase Inc 365 2,874 0 --
Intelligent Electronics+ 0 -- 0 --
Ito Yokado Co Ltd ADR
(Japan) 550 119,213 1,900 411,825
Jones Apparel Group Inc 400 20,075 400 20,075
Jostens Inc 105 2,533 263 6,345
K Mart Corp+ 384 5,328 3,661 50,796
Kohls Corp+ 286 19,716 620 42,741
Limited Inc 166 3,777 1,994 45,364
Longs Drug Stores Corp 74 1,873 332 8,404
Lowe's Co Inc 150 5,184 1,316 45,484
Lucasvarity PLC 37 1,172 448 14,196
Macfrugals Bargains Close-
outs+ 0 -- 0 --
May Department Stores Co 185 9,955 1,720 92,558
Mercantile Stores Co Inc 0 -- 324 20,230
Meyer (Fred) Inc+ 0 -- 200 10,400
Micro Warehouse Inc+ 300 7,838 300 7,838
Neiman Marcus Group Inc 0 -- 200 6,175
Newell Co 252 9,922 1,264 49,770
Nordstrom Inc 19 1,112 612 35,802
Office Depot Inc+ 1,538 28,357 1,550 28,578
Officemax Inc+ 1,000 14,813 1,250 18,516
Payless ShoeSource Inc+ 317 20,328 411 26,355
Penney (J C) Co Inc 145 8,700 1,857 111,420
PetSmart Inc+ 1,200 10,275 1,300 11,131
Rite Aid Corp 104 5,207 1,036 51,865
Ross Stores Inc 0 -- 600 17,625
Ruddick Corp 0 -- 0 --
Saks Holdings Inc 200 4,650 200 4,650
Sears Roebuck & Co 291 16,514 2,939 166,788
Service Merchandise Co+ 771 2,988 0 --
Sherwin Williams Co 154 4,225 1,245 34,160
Staples Inc+ 996 23,406 1,197 28,130
Sunglass Hut International
Inc+ 600 4,350 500 3,625
Talbots Inc 200 5,288 200 5,288
Tandy Corp 61 4,049 375 24,891
Tech Data Corp+ 0 -- 500 19,469
TJX Companies Inc 156 4,290 1,248 34,320
Toys R Us Inc+ 259 8,952 2,101 72,616
Viking Office Products Inc+ 800 16,900 1,000 21,125
Walgreen Co 660 17,779 3,976 107,104
</TABLE>
148
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
300 $ 6,600 200 $ 4,400 400 $ 8,800
342 4,275 0 -- 0 --
834 12,510 544 8,160 1,300 19,500
12,872 607,398 10,363 489,004 23,005 1,085,549
497 3,914 367 2,890 0 --
540 2,228 0 -- 0 --
3,825 829,069 2,950 639,413 6,150 1,333,013
600 30,113 600 30,113 900 45,169
650 15,681 538 12,979 1,237 29,843
8,928 123,876 6,989 96,972 14,581 202,311
1,004 69,213 908 62,595 1,358 93,617
4,944 112,476 3,973 90,386 8,211 186,800
754 19,086 542 13,719 795 20,123
3,224 111,429 2,568 88,756 5,144 177,789
982 31,117 738 23,385 1,204 38,152
438 11,935 0 -- 0 --
4,351 234,138 3,468 186,622 6,941 373,513
693 43,269 558 34,840 1,144 71,428
0 -- 0 -- 400 20,800
600 15,675 400 10,450 700 18,287
0 -- 400 12,350 500 15,438
2,845 112,022 2,273 89,499 5,086 200,261
1,426 83,421 1,208 70,668 2,358 137,943
2,442 45,024 1,967 36,267 3,380 62,319
2,700 39,994 1,950 28,884 3,050 45,178
743 47,645 615 39,437 1,004 64,382
4,511 270,660 3,578 214,680 7,243 434,580
2,200 18,838 1,600 13,700 3,000 25,688
2,293 114,793 1,714 85,807 3,915 195,995
0 -- 0 -- 1,300 38,188
714 10,710 524 7,860 0 --
1,200 27,900 300 6,975 600 13,950
7,193 408,203 5,746 326,086 11,575 656,881
1,516 5,875 1,111 4,305 0 --
3,188 87,471 2,494 68,429 5,305 145,556
2,163 50,831 2,040 47,940 2,957 69,490
1,000 7,250 700 5,075 1,300 9,425
0 -- 200 5,288 400 10,575
958 63,587 771 51,175 1,648 109,386
0 -- 700 27,256 1,100 42,831
2,764 76,010 2,190 60,225 5,042 138,655
5,284 182,628 4,213 145,612 8,578 296,477
2,000 42,250 1,400 29,575 2,100 44,363
8,968 241,575 7,104 191,364 15,816 426,044
</TABLE>
149
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WalMart Stores Inc 3,252 $ 115,446 17,935 $ 636,691
Woolworth (F W) Co+ 81 1,812 990 22,151
------------ ------------
TOTAL RETAIL & RELATED
- VALUE $ 1,007,303 $ 3,846,905
- COST $ 842,141 $ 3,016,819
SERVICES
PERCENT OF NET ASSETS 0.09% 0.18%
Block (H R) Inc 111 $ 4,357 884 $ 34,697
CMS Energy Corp 921 33,098 740 26,594
Corrections Corp of America+ 600 22,200 800 29,600
CUC International Inc 515 12,103 3,355 78,831
Dun & Bradstreet Corp 173 4,844 1,462 40,936
Public Service Enterprise
Group 179 4,441 1,737 43,099
Service Corp International 198 6,336 1,811 57,952
Sotheby's Holdings Inc 611 11,571 0 --
Stewart Enterprises Inc
Class A 250 9,875 450 17,775
------------ ------------
TOTAL SERVICES
- VALUE $ 108,825 $ 329,484
- COST $ 92,639 $ 288,772
SHIPPING
PERCENT OF NET ASSETS 0.01% 0.00%
Halter Marine Group Inc+ 182 $ 7,200 188 $ 7,438
------------ ------------
TOTAL SHIPPING
- VALUE $ 7,200 $ 7,438
- COST $ 3,161 $ 3,322
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 1.81% 3.88%
360 Communications Co+ 1,525 $ 28,022 1,519 $ 27,912
ADC Telecommunications 1,072 39,798 1,460 54,203
Adtran Inc+ 100 3,900 200 7,800
Advanced Fibre
Communication+ 0 -- 100 6,225
Airtouch Communications+ 388 13,119 3,756 127,000
Alcatel Alsthom Compagnie
Generale d'electricite ADR
(France) 10,035 247,112 21,673 533,698
Aliant Communications Inc 0 -- 0 --
Alltel Corp 121 3,827 1,358 42,947
Ameritech Corp 833 52,219 4,319 270,747
Andrew Corp 156 3,881 726 18,047
Ascend Communications Inc+ 1,150 48,803 1,800 76,388
Aspect Telecommunication
Corp 0 -- 600 13,200
AT & T Corp 1,245 48,555 12,000 468,000
Bell Atlantic Corp 659 47,719 6,018 435,535
</TABLE>
150
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
40,183 $ 1,426,496 32,259 $ 1,145,195 71,485 $ 2,537,718
2,542 56,877 2,014 45,063 4,003 89,567
------------ ------------ ------------
$ 8,249,815 $ 6,715,308 $ 13,695,202
$ 6,424,720 $ 5,178,441 $ 11,164,775
0.25% 0.30% 0.35%
1,880 $ 73,790 1,468 $ 57,619 3,330 $ 130,702
1,314 47,222 954 34,284 885 31,805
1,400 51,800 1,200 44,400 1,800 66,600
7,395 173,783 5,749 135,090 13,125 308,438
3,170 88,760 2,421 67,788 5,545 155,260
4,211 104,485 3,350 83,122 7,010 173,936
4,360 139,520 3,466 110,912 7,225 231,200
848 16,059 623 11,798 0 --
750 29,625 600 23,700 900 35,550
------------ ------------ ------------
$ 725,044 $ 568,713 $ 1,133,491
$ 620,576 $ 491,385 $ 1,061,020
0.00% 0.00% 0.01%
246 $ 9,732 221 $ 8,743 420 $ 16,616
------------ ------------ ------------
$ 9,732 $ 8,743 $ 16,616
$ 4,327 $ 3,870 $ 7,435
5.39% 6.62% 7.71%
2,624 $ 48,216 2,128 $ 39,102 3,954 $ 72,655
2,896 107,514 1,916 71,132 3,420 126,968
200 7,800 200 7,800 400 15,600
0 -- 0 -- 100 6,225
9,259 313,070 7,337 248,082 14,784 499,884
42,698 1,051,439 36,113 889,293 63,401 1,561,247
490 11,086 0 -- 0 --
3,417 108,063 2,706 85,577 5,654 178,808
9,766 612,206 7,854 492,348 17,309 1,085,058
1,568 39,004 1,252 31,131 3,035 75,483
2,700 114,581 2,510 106,518 4,160 176,540
0 -- 0 -- 1,100 24,200
29,918 1,166,801 23,706 924,534 48,161 1,878,279
14,320 1,036,429 11,338 820,624 23,057 1,668,756
</TABLE>
151
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BellSouth Corp 838 $ 36,872 7,333 $ 322,652
British Telecommunications
PLC ADR (UK) 3,200 207,000 6,700 433,406
Century Telephone Enterprise 567 20,589 460 16,704
Ciena Corporation+ 0 -- 500 23,875
Comsat Corp 510 11,061 600 13,013
Cox Communications Inc Class
A+ 613 16,589 674 18,240
DSC Communications Corp+ 121 3,524 899 26,183
DSP Communications Inc 0 -- 500 9,625
Excel Communication Inc+ 400 8,750 400 8,750
Federal Signal Corp 498 12,948 590 15,340
Frontier Corp 83 1,831 1,230 27,137
Glenayre Technologies Inc 650 11,375 650 11,375
GTE Corp 1,326 59,090 7,539 335,957
Hong Kong Telecommunications
Ltd ADR (Hong Kong) 19,353 410,042 42,803 906,888
ITT Corp+ 131 8,228 1,032 64,823
K-III Communications Corp+ 0 -- 200 2,438
LCI International Inc+ 300 7,200 300 7,200
Loral Space &
Communications+ 1,242 21,735 1,882 32,935
Lucent Technologies Inc 942 73,358 5,082 395,761
MCI Communications Corp 565 16,103 5,103 145,435
McLeod Inc Class A+ 0 -- 200 6,775
Mobile Telecommunications
Tech+ 0 -- 400 4,900
NEXTEL Communications Class
A+ 1,068 26,767 880 22,055
Nippon Telegraph & Telegraph
ADR (Japan) 1,836 86,292 6,811 320,117
Northern Telecom Ltd 290 28,746 2,077 205,883
Octel Communications+ 0 -- 600 18,225
Omnipoint Corp+ 200 4,188 300 6,281
Paging Network Inc+ 500 5,063 600 6,075
Pairgain Technologies Inc 0 -- 600 15,450
Picturetel Corp+ 400 5,000 400 5,000
Qualcom Inc+ 500 23,125 600 27,750
SBC Communication Inc 1,214 66,011 7,249 394,164
Scientific-Atlanta Inc 82 1,783 551 11,984
Southern New England
Telecommunications Co 687 26,278 550 21,038
Sprint Corp 377 17,719 3,140 147,580
Telecommunications of New
Zealand Corp ADR (New
Zealand) 1,600 62,800 3,200 125,600
Telefonica de Espana SA
(Spain) 2,150 167,163 4,500 349,875
Telephone & Data System Inc 566 22,357 450 17,775
Teleport Communications
Group Inc Class A+ 300 10,913 300 10,913
Tellabs Inc 250 14,922 1,405 83,861
</TABLE>
152
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
18,315 $ 805,860 14,480 $ 637,120 29,230 $ 1,286,120
13,500 873,281 11,350 734,203 20,050 1,296,984
828 30,067 588 21,352 565 20,517
0 -- 0 -- 1,200 57,300
819 17,762 814 17,654 1,290 27,977
1,294 35,019 927 25,087 1,649 44,626
2,221 64,687 1,691 49,250 3,558 103,627
0 -- 600 11,550 1,000 19,250
1,800 39,375 500 10,938 700 15,313
807 20,982 802 20,852 1,180 30,680
3,072 67,776 2,337 51,560 5,071 111,879
1,175 20,563 800 14,000 1,425 24,938
16,901 753,151 13,544 603,554 30,134 1,342,846
81,936 1,736,018 69,241 1,467,044 119,553 2,533,029
2,097 131,718 1,658 104,143 3,459 217,268
1,800 21,938 0 -- 400 4,875
600 14,400 500 12,000 900 21,600
2,912 50,960 2,974 52,045 4,566 79,905
11,353 884,115 9,107 709,208 20,170 1,570,739
12,607 359,300 10,063 286,796 20,240 576,840
0 -- 200 6,775 400 13,550
0 -- 0 -- 0 --
1,588 39,799 1,101 27,594 1,025 25,689
13,543 636,521 10,406 489,082 21,774 1,023,378
4,567 452,704 3,737 370,430 8,184 811,239
730 22,174 840 25,515 1,200 36,450
400 8,375 400 8,375 600 12,563
1,500 15,188 800 8,100 1,500 15,188
1,100 28,325 700 18,025 1,100 28,325
700 8,750 500 6,250 800 10,000
1,000 46,250 900 41,625 1,400 64,750
16,145 877,884 12,971 705,298 28,826 1,567,414
1,482 32,234 1,110 24,143 2,336 50,808
975 37,294 710 27,158 680 26,010
7,898 371,206 6,331 297,557 12,622 593,234
6,550 257,087 5,600 219,800 9,800 384,650
9,000 699,750 7,600 590,900 13,350 1,037,962
827 32,667 587 23,187 565 22,318
2,600 94,575 400 14,550 3,300 120,038
3,236 193,149 2,627 156,799 5,811 346,844
</TABLE>
153
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
U.S. West Inc 344 $ 12,320 3,539 $ 126,740
Vanguard Cellular Systems
Class A+ 411 6,011 330 4,826
Vodafone Group PLC ADR (UK) 1,650 84,047 3,500 178,281
Western Wireless Corp Class
A+ 0 -- 100 1,506
WorldCom Inc+ 706 21,136 6,628 198,426
------------ ------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 2,155,891 $ 7,210,519
- COST $ 1,857,327 $ 6,030,648
TEXTILES
PERCENT OF NET ASSETS 0.06% 0.04%
Brown Group Inc 31 $ 517 180 $ 3,004
Burlington Industries Inc+ 729 8,794 477 5,754
Cintas Corp 310 21,623 300 20,925
Shaw Industries Inc 1,260 14,096 1,330 14,879
Springs Industries Inc Class
A 31 1,457 186 8,742
Unifi Inc 568 21,797 600 23,025
------------ ------------
TOTAL TEXTILES
- VALUE $ 68,284 $ 76,329
- COST $ 55,610 $ 65,376
TOBACCO
PERCENT OF NET ASSETS 0.28% 0.68%
BAT Industries PLC ADR (UK) 8,400 $ 143,325 17,800 $ 303,712
Fortune Brands Inc 153 5,259 1,243 42,728
Gallaher Group PLC ADR (UK)+ 153 2,744 1,391 24,951
Imperial Tobacco Group ADR
(UK) 2,137 26,755 3,975 49,767
Philip Morris Co Inc 3,578 156,090 19,273 840,784
------------ ------------
TOTAL TOBACCO
- VALUE $ 334,173 $ 1,261,942
- COST $ 303,364 $ 977,388
TRANSPORTATION
PERCENT OF NET ASSETS 0.17% 0.44%
Alexander & Baldwin Inc 504 $ 13,608 590 $ 15,930
Burlington Northern Santa Fe 89 8,160 1,147 105,166
Caliber Systems Inc 0 -- 278 11,607
Carnival Corp Class A 0 -- 1,200 52,575
CNF Transportation Inc 62 2,240 361 13,041
Consolidated Freightways
Corp+ 31 484 181 2,820
CSX Corp 168 9,608 1,621 92,701
Dial Corp 136 2,295 1,080 18,225
Federal Express Corp 46 3,056 823 54,678
Fritz Companies Inc+ 200 2,600 200 2,600
Hunt (J B) Transport
Services 0 -- 0 --
</TABLE>
154
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
8,849 $ 316,905 6,959 $ 249,219 14,089 $ 504,562
595 8,702 427 6,245 390 5,704
7,000 356,563 5,900 300,531 10,400 529,750
0 -- 0 -- 300 4,519
16,406 491,155 13,035 390,235 26,278 786,683
------------ ------------ ------------
$ 15,570,438 $ 12,551,890 $ 24,777,644
$ 12,961,823 $ 10,511,886 $ 21,852,088
0.06% 0.07% 0.06%
338 $ 5,640 221 $ 3,688 253 $ 4,222
1,136 13,703 749 9,035 1,902 22,943
820 57,195 515 35,921 790 55,103
2,415 27,018 2,005 22,431 3,000 33,563
384 18,048 305 14,335 420 19,740
1,182 45,359 982 37,684 1,440 55,260
------------ ------------ ------------
$ 166,963 $ 123,094 $ 190,831
$ 133,999 $ 100,714 $ 166,508
0.95% 1.17% 1.44%
35,750 $ 609,984 30,250 $ 516,141 53,200 $ 907,725
3,121 107,284 2,471 84,941 5,129 176,309
3,016 54,100 2,266 40,646 3,545 63,588
7,743 96,943 6,112 76,523 10,312 129,107
43,124 1,881,284 34,574 1,508,291 76,652 3,343,943
------------ ------------ ------------
$ 2,749,595 $ 2,226,542 $ 4,620,672
$ 2,124,344 $ 1,691,470 $ 3,702,649
0.59% 0.71% 0.84%
814 $ 21,978 809 $ 21,843 1,180 $ 31,860
2,872 263,327 2,274 208,497 4,596 421,396
692 28,891 568 23,714 1,156 48,263
0 -- 0 -- 2,900 127,056
810 29,261 573 20,700 1,138 41,110
405 6,328 286 4,469 569 8,891
4,024 230,122 3,227 184,544 6,543 374,178
1,641 27,692 1,228 20,723 2,208 37,260
2,077 137,991 1,630 108,293 3,409 226,485
300 3,900 0 -- 400 5,200
596 9,909 0 -- 0 --
</TABLE>
155
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Illinois Central Corp 411 $ 13,794 690 $ 23,158
Kansas City Southern
Industries 281 21,040 370 27,704
Laidlaw Inc Class B 281 4,110 2,439 35,670
Norfolk Southern Corp 92 9,016 947 92,806
Outboard Marine Corp 35 626 184 3,289
Overseas Shipholding Group 393 9,653 310 7,614
Pittston Brink's Group 523 18,567 520 18,460
Pittston Burlington Group 61 1,464 160 3,840
Roadway Express Inc 46 1,058 158 3,634
Tidewater Inc 565 29,663 650 34,125
Trinity Industries Inc 522 20,750 540 21,465
Union Pacific Corp 157 10,195 1,834 119,095
Viad Corp 136 2,474 1,080 19,643
Wisconsin Central Transport+ 400 12,400 600 18,600
Xtra Corp 200 9,388 200 9,388
Yellow Corp+ 49 1,537 223 6,997
------------ ------------
TOTAL TRANSPORTATION
- VALUE $ 207,786 $ 814,831
- COST $ 155,761 $ 635,796
UTILITIES
PERCENT OF NET ASSETS 0.72% 1.07%
Allegheny Power Systems Inc 1,284 $ 37,316 1,010 $ 29,353
American Electric Power Inc 98 4,281 1,370 59,852
American Water Works Co Inc 600 12,450 700 14,525
Atlantic Energy Inc 569 9,851 460 7,964
Baltimore Gas & Electric Co 131 3,537 1,117 30,159
BG PLC ADR (UK) 3,200 138,800 6,700 290,613
Calenergy Inc+ 500 16,563 500 16,563
Carolina Power & Light Co 156 5,265 1,118 37,733
Central & South West Corp 131 2,710 1,609 33,286
Cinergy Corp 120 3,968 1,161 38,386
Consolidated Edison Co 235 7,197 1,744 53,410
Delmarva Power & Light Co 640 11,480 510 9,148
Dominion Resources Inc 170 6,120 1,366 49,176
DTE Energy Co 132 3,911 1,068 31,640
Duke Power Co 236 11,431 2,637 127,730
Edison International 310 7,479 3,066 73,967
Entergy Corp 229 5,682 1,735 43,050
Florida Progress Corp 1,015 32,670 800 25,750
FPL Group Inc 133 6,185 1,351 62,822
GPU Inc 137 4,607 921 30,969
Hawaiian Electric Industries
Inc 392 14,186 340 12,304
Houston Industries Inc 222 4,500 1,898 38,438
</TABLE>
156
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,135 $ 38,093 1,015 $ 34,066 1,502 $ 50,411
765 57,279 585 43,802 760 56,905
6,001 87,765 4,716 68,972 9,510 139,084
2,289 224,322 1,791 175,518 3,693 361,914
424 7,579 224 4,004 348 6,220
550 13,509 405 9,948 375 9,211
657 23,323 743 26,377 1,104 39,192
328 7,872 221 5,304 402 9,648
270 6,210 243 5,589 359 8,257
925 48,563 985 51,713 1,465 76,913
705 28,024 635 25,241 1,105 43,924
4,555 295,790 3,580 232,476 7,257 471,251
1,641 29,846 1,428 25,972 2,208 40,158
1,200 37,200 900 27,900 1,300 40,300
300 14,081 200 9,388 500 23,469
585 18,354 299 9,381 437 13,711
------------ ------------ ------------
$ 1,697,209 $ 1,348,434 $ 2,712,267
$ 1,256,603 $ 1,004,941 $ 2,295,427
1.52% 1.86% 1.99%
1,809 $ 52,574 1,319 $ 38,333 1,230 $ 35,747
3,510 153,343 2,715 118,612 5,730 250,329
800 16,600 1,000 20,750 1,700 35,275
830 14,369 590 10,214 550 9,522
2,721 73,467 2,184 58,968 4,460 120,420
13,100 568,213 11,350 492,306 20,050 869,669
900 29,813 900 29,813 1,400 46,375
2,771 93,521 2,174 73,373 4,522 152,617
4,006 82,874 3,125 64,648 6,352 131,407
2,929 96,840 2,334 77,168 4,773 157,807
4,296 131,565 3,399 104,094 7,093 217,223
903 16,198 648 11,623 615 11,032
3,417 123,012 2,716 97,776 5,526 198,936
2,697 79,899 2,143 63,486 4,400 130,350
6,664 322,788 5,291 256,283 10,550 511,016
7,488 180,648 5,931 143,085 12,373 298,499
4,332 107,488 3,461 85,876 7,140 177,161
1,434 46,157 1,039 33,443 980 31,544
3,361 156,286 2,700 125,550 5,509 256,169
2,220 74,647 1,795 60,357 3,582 120,445
423 15,307 403 14,584 780 28,226
5,379 108,922 4,277 86,602 8,188 165,802
</TABLE>
157
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Idaho Power Co 402 $ 12,713 320 $ 10,120
Illinova Corp 813 18,699 650 14,950
IPALCO Enterprises Inc 607 19,765 480 15,630
Kansas City Power & Light Co 667 19,093 530 15,171
LG & E Energy Corp 728 16,471 560 12,670
Midamerican Energy Co 451 7,695 367 6,262
Minnesota Power & Light Co 349 11,997 270 9,281
Montana Power Co 563 12,984 460 10,609
Nevada Power Co 444 9,380 360 7,605
New Century Energies Inc 1,072 43,296 863 34,823
New England Electric System 695 26,584 560 21,420
New York State Electric &
Gas Corp 772 18,817 610 14,869
Niagara Mohawk Power Corp 125 1,117 1,135 10,144
NIPSCO Industries Inc 702 28,650 560 22,855
Northeast Utilities 1,340 13,484 1,070 10,767
Northern States Power Co 67 3,224 509 24,496
OGE Energy Corp 429 19,064 340 15,109
Ohio Edison Co 143 3,146 1,130 24,860
Pacificorp 194 4,026 2,168 44,986
PECO Energy Co 213 5,072 1,694 40,338
PG & E Corp 373 8,649 3,075 71,302
Pinnacle West Capital Corp 941 30,406 750 24,234
Potomac Electric Power Co 1,282 29,085 1,010 22,914
PP & L Resources Inc 150 3,291 1,200 26,325
Public Service Company Of
New Mexico 0 -- 0 --
Puget Sound Power & Light Co 683 17,331 540 13,703
SCANA Corp 1,026 24,752 820 19,783
Southern Co 586 12,343 5,080 106,997
TECO Energy Inc 1,265 30,439 990 23,822
Texas Utilities Co 241 8,394 1,863 64,973
U.S. Filter Corp 0 -- 800 28,852
Unicom Corp 199 4,701 1,653 39,052
Union Electric Co 104 3,868 753 28,002
Wisconsin Energy Corp 1,148 29,357 920 23,518
Wisconsin Power & Light
Holdings Co 341 9,441 260 7,199
------------ ------------
TOTAL UTILITIES
- VALUE $ 857,523 $ 1,984,479
- COST $ 729,641 $ 1,842,752
</TABLE>
158
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
585 $ 18,501 415 $ 13,124 385 $ 12,176
1,153 26,519 843 19,389 780 17,940
882 28,720 627 20,417 577 18,789
955 27,337 690 19,751 645 18,463
992 22,444 732 16,562 690 15,611
680 11,602 489 8,344 0 --
480 16,500 350 12,031 335 11,516
824 19,004 584 13,469 540 12,454
652 13,774 472 9,971 450 9,506
1,535 61,982 1,123 45,337 1,029 41,556
1,008 38,556 718 27,464 690 26,393
1,087 26,496 787 19,183 740 18,038
2,681 23,961 2,082 18,608 4,288 38,324
1,015 41,425 740 30,201 675 27,548
1,916 19,280 1,386 13,947 1,290 12,981
1,272 61,267 990 47,644 2,061 99,186
612 27,196 442 19,641 415 18,442
2,867 63,074 2,188 48,136 4,641 102,102
5,407 112,195 4,303 89,287 8,920 185,090
4,084 97,250 3,271 77,891 6,746 160,639
8,020 185,964 6,435 149,212 12,948 300,232
1,334 43,105 974 31,472 905 29,243
1,806 40,974 1,316 29,857 1,230 27,906
3,116 68,357 2,405 52,760 4,975 109,139
650 11,863 470 8,578 0 --
971 24,639 706 17,915 655 16,621
1,446 34,885 1,036 24,994 980 23,643
12,467 262,586 9,960 209,782 20,116 423,693
1,789 43,048 1,284 30,896 1,220 29,356
4,717 164,514 3,764 131,258 7,418 258,710
0 -- 900 32,431 1,700 61,200
3,970 93,791 3,129 73,923 6,525 154,153
1,933 71,883 1,536 57,120 3,048 113,348
1,645 42,050 1,175 30,036 1,105 28,247
473 13,096 343 9,497 325 8,998
------------ ------------ ------------
$ 4,402,369 $ 3,527,072 $ 6,386,814
$ 4,051,470 $ 3,245,860 $ 6,066,464
</TABLE>
159
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------
WARRANTS
PERCENT OF NET ASSETS 0.00% 0.00%
Homestead Village Inc
expires
10/29/1997+ 1 $ 4 0 $ --
Morrison Knudsen Corp
expires 03/11/2003+ 4 21 17 87
------------ ------------
TOTAL WARRANTS
- VALUE $ 25 $ 87
- COST $ 22 $ 74
TOTAL COMMON STOCKS
- VALUE $ 25,672,641 $ 85,678,455
- COST $ 19,573,402 $ 63,837,421
</TABLE>
160
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.00% 0.00% 0.00%
0 $ 3 1 $ 7 0 $ 4
27 138 25 128 42 215
------------ ------------ ------------
$ 141 $ 135 $ 219
$ 118 $ 114 $ 184
$187,514,708 $149,412,073 $300,598,260
$137,259,050 $108,903,758 $238,098,066
</TABLE>
161
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Principal Value Principal Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
U.S. TREASURY SECURITIES
PERCENT OF NET ASSETS 69.91% 47.86%
U.S. TREASURY BONDS
PERCENT OF NET ASSETS 1.14% 2.75%
U.S. Treasury Bonds, 6.00%-
13.88%, 11/15/07-2/15/27 $ 1,200,000 $ 1,359,250 $ 4,550,000 $ 5,098,781
------------ ------------
TOTAL U.S. TREASURY BONDS
- VALUE $ 1,359,250 $ 5,098,781
-COST $ 1,339,641 $ 4,973,319
U.S. TREASURY NOTES
PERCENT OF NET ASSETS 68.77% 45.11%
U.S. Treasury Notes, 3.41%-
13.75%, 09/30/98-05/15/07 $79,250,000 $ 82,096,541 $81,150,000 $ 83,763,708
------------ ------------
TOTAL U.S. TREASURY NOTES
- VALUE $ 82,096,541 $ 83,763,708
-COST $ 81,694,375 $ 83,357,724
TOTAL U.S. TREASURY
SECURITIES
- VALUE $ 83,455,791 $ 88,862,489
-COST $ 83,034,016 $ 88,331,043
</TABLE>
162
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Principal Value Principal Value Principal Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
31.21% 18.56% 5.73%
8.65% 15.69% 5.73%
$21,850,000 $ 25,004,919 $25,640,000 $ 29,746,507 $16,350,000 $ 18,424,983
------------ ------------ ------------
$ 25,004,919 $ 29,746,507 $ 18,424,983
$ 24,658,540 $ 29,156,182 $ 18,013,766
22.56% 2.87% 0.00%
$63,170,000 $ 65,199,547 $ 5,300,000 $ 5,450,233 $ 0 $ 0
------------ ------------ ------------
$ 65,199,547 $ 5,450,233 $ --
$ 65,000,299 $ 5,432,156 $ --
$ 90,204,466 $ 35,196,740 $ 18,424,983
$ 89,658,839 $ 34,588,338 $ 18,013,766
</TABLE>
163
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ -------------------------
Principal Value Principal Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS
PERCENT OF NET ASSETS 7.49% 5.37%
U.S. Treasury Bills, 2.59-
4.97%++,
09/04/97-11/28/97* $ 8,993,000 $ 8,940,758 $ 10,029,000 $ 9,969,132
------------ ------------
TOTAL U.S. TREASURY BILLS
- VALUE $ 8,940,758 $ 9,969,132
-COST $ 8,936,679 $ 9,964,771
CASH EQUIVALENTS
PERCENT OF NET ASSETS 9.51% 3.75%
Dreyfus Cash Management
Fund# $ 3,226,300 $ 3,226,300 $ 1,962,363 $ 1,962,363
Janus Institutional Money
Market Fund# 4,120,000 4,120,000 3,000,000 3,000,000
Merrimac Premium Money
Market# 4,000,000 4,000,000 2,000,000 2,000,000
------------ ------------
TOTAL CASH EQUIVALENTS
- VALUE $ 11,346,300 $ 6,962,363
-COST $ 11,346,300 $ 6,962,363
</TABLE>
164
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Principal Value Principal Value Principal Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
3.30% 2.30% 0.52%
$ 9,607,000 $ 9,554,224 $ 4,397,000 $ 4,362,138 $ 1,686,000 $ 1,675,443
------------ ------------ ------------
$ 9,554,224 $ 4,362,138 $ 1,675,443
$ 9,550,139 $ 4,359,892 $ 1,674,626
4.44% 2.80% 6.03%
$ 1,850,117 $ 1,850,117 $ 313,971 $ 313,971 $ 394,414 $ 394,414
6,000,000 6,000,000 3,000,000 3,000,000 10,000,000 10,000,000
5,000,000 5,000,000 2,000,000 2,000,000 9,000,000 9,000,000
------------ ------------ ------------
$ 12,850,117 $ 5,313,971 $ 19,394,414
$ 12,850,117 $ 5,313,971 $ 19,394,414
</TABLE>
165
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------- -------------------------
Principal Value Principal Value
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS
PERCENT OF NET ASSETS 4.19% 4.85%
Goldman Sachs Repurchase
Agreements#, dated
8/29/97, due 9/3/97,
with a maturity value
of 52,000,000 and an
effective yield of
5.67%, collateralized
by Federal National
Mortgage Association
obligations with rates
ranging from 6.07% to
7.01%, with maturity
dates ranging from
10/1/32 to 8/1/36 and
with an aggregate
market value of
53,040,000. $ 5,000,000 $ 5,000,000 $ 9,000,000 $ 9,000,000
------------ ------------
TOTAL SHORT-TERM
INSTRUMENTS
- VALUE $ 25,287,058 $25,931,495
-COST $ 25,282,979 $25,927,134
------------ ------------
TOTAL INVESTMENT IN
SECURITIES
(NOTES 1 AND 3) - VALUE $134,415,490 $200,472,439
-COST** $127,890,397 $178,095,598
------------ ------------
TOTAL INVESTMENT IN
SECURITIES 112.61% $134,415,490 107.98% $200,472,439
Other Assets and
Liabilities, Net (12.61)% (15,049,441) (7.98)% (14,820,834)
----------- ------------ ----------- ------------
TOTAL NET ASSETS 100.00% $119,366,049 100.00% $185,651,605
=========== ============ =========== ============
- --------------------------------------------------------------------------------
+ Non-income earning securities.
++ Yield to maturity.
# Represents collateral received from securities learning transactions. See
Note 4.
* These U.S. Treasury Bills are held in segrated accounts in connection with
the Fund's holdings of S&P 500 Futures Contracts.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
Gross Unrealized
Appreciation $ 7,464,198 $ 23,997,148
Gross Unrealized
Depreciation (939,105) (1,620,307)
------------ ------------
GROSS UNREALIZED
APPRECIATION $ 6,525,093 $ 22,376,841
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
166
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- -------------------------
Principal Value Principal Value Principal Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
4.85% 4.75% 4.67%
$14,000,000 $ 14,000,000 $ 9,000,000 $ 9,000,000 $15,000,000 $ 15,000,000
------------ ------------ ------------
$ 36,404,341 $ 18,676,109 $ 36,069,857
$ 36,400,256 $ 18,673,863 $ 36,069,040
------------ ------------ ------------
$314,123,515 $203,284,922 $355,093,100
$263,318,145 $162,165,959 $292,180,872
------------ ------------ ------------
108.73% $314,123,515 107.21% $203,284,922 110.45% $355,093,100
(8.73)% (25,221,460) (7.21)% $(13,667,649) (10.45)% (33,605,911)
- ----------- ------------ ------------ ------------ ----------- ------------
100.00% $288,902,055 100.00% $189,617,273 100.00% $321,487,189
=========== ============ ============ ============ =========== ============
$ 53,881,729 $ 43,323,833 $ 67,105,680
(3,076,359) (2,204,870) (4,193,458)
------------ ------------ ------------
$ 50,805,370 $ 41,118,963 $ 62,912,228
============ ============ ============
</TABLE>
167
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-94.83%
AEROSPACE & DEFENSE-2.26%
Allied Signal Inc 74,166 $ 6,123,330
Boeing Co 260,084 14,158,323
Briggs & Stratton Corp 7,364 355,773
General Dynamics Corp 16,302 1,298,047
Lockheed Martin Corp 50,650 5,251,772
Northrop Grumman Corp 17,353 2,031,386
Raytheon Co 61,931 3,406,205
Rockwell International Corp 55,565 3,333,900
Textron Inc 43,204 2,692,149
United Technologies Corp 62,070 4,845,339
--------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 43,496,224
- COST $ 26,639,576
AIRLINES-0.30%
AMR Corp+ 23,820 $ 2,399,865
Delta Air Lines Inc 19,212 1,661,838
Southwest Airlines Co 37,812 1,058,736
USAir Group Inc+ 20,465 698,368
--------------
TOTAL AIRLINES
- VALUE $ 5,818,807
- COST $ 4,574,624
APPAREL-0.54%
CVS Corp 43,706 $ 2,463,926
Fruit of the Loom Inc Class A+ 19,727 527,697
Liz Claiborne Inc 18,235 812,597
Nike Inc Class B 75,522 4,030,987
Reebok International Ltd 14,722 646,848
Russell Corp 9,786 278,901
Stride Rite Corp 12,732 151,193
VF Corp 16,759 1,481,077
--------------
TOTAL APPAREL
- VALUE $ 10,393,226
- COST $ 7,036,222
AUTO PARTS & EQUIPMENT-0.86%
Cooper Tire & Rubber Co 20,858 $ 524,057
Dana Corp 26,954 1,241,569
Deluxe Corp 21,538 709,408
Eaton Corp 20,211 1,820,253
Echlin Inc 16,338 605,527
Genuine Parts Co 47,120 1,454,830
</TABLE>
168
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Goodyear Tire & Rubber Co 40,790 $ 2,513,684
Illinois Tool Works Inc 65,046 3,146,600
ITT Industries Inc 30,933 974,390
Navistar International Corp+ 18,868 468,162
PACCAR Inc 20,752 983,126
Pep Boys-Manny Moe & Jack 15,844 419,866
TRW Inc 32,542 1,696,252
--------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 16,557,724
- COST $ 11,905,808
AUTOMOBILES-1.65%
Chrysler Corp 180,046 $ 6,324,116
Ford Motor Co 312,114 13,420,902
General Motors Corp Class A 190,864 11,976,716
--------------
TOTAL AUTOMOBILES
- VALUE $ 31,721,734
- COST $ 24,635,912
BANK & FINANCE-10.90%
Ahmanson (H F) & Co 26,954 $ 1,367,916
American Express Corp 123,706 9,618,142
Banc One Corp 150,500 8,070,563
Bank of New York Inc 102,066 4,554,695
BankAmerica Corp 185,654 12,218,354
BankBoston Corp 38,863 3,230,487
Bankers Trust Corp 20,887 2,167,026
Barnett Banks Inc 51,936 3,538,140
Beneficial Corp 14,046 1,005,167
Chase Manhattan Bank 112,768 12,538,392
Citicorp 121,277 15,477,977
Comerica Inc 27,557 1,951,380
CoreStates Financial Corp 53,989 3,320,324
Countrywide Credit Industries Inc 27,183 915,727
Equifax Inc 39,307 1,157,100
Federal Home Loan Mortgage Corp 181,556 5,911,917
Federal National Mortgage Assoc 277,764 12,221,616
Fifth Third Bancorp 41,442 2,424,357
First Chicago NBD Corp 81,740 5,864,845
First Union Corp 149,866 7,202,935
Fleet Financial Group Inc 68,651 4,423,699
Golden West Financial 15,003 1,234,934
</TABLE>
169
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Green Tree Financial Inc 35,659 $ 1,566,767
Household International Inc 27,808 3,084,950
Huntington Bancshares Inc 41,460 1,342,268
Keycorp 58,609 3,553,171
MBNA Corp 87,500 3,363,281
Mellon Bank Corp 67,640 3,255,175
Merrill Lynch & Co Inc 86,584 5,324,916
MGIC Investment Corp 30,836 1,551,436
Morgan (J P) & Co Inc 48,220 5,171,595
Morgan Stanley Dean Witter 149,975 7,217,552
National City Corp 58,093 3,282,255
NationsBank Corp 191,131 11,348,403
Norwest Corp 97,863 5,621,006
PNC Bank Corp 83,894 3,628,416
Republic New York Corp 14,195 1,519,752
Ryder System Inc 20,749 740,480
Salomon Inc 28,274 1,692,906
Schwab (Charles) Corp 45,695 1,939,182
State Street Corp 42,422 2,115,797
SunTrust Banks Inc 58,107 3,631,688
U.S. Bancorp 64,357 5,635,260
Wachovia Corp 42,429 2,641,205
Washington Mutual Inc 65,447 3,918,639
Wells Fargo & Co 23,386 5,945,891
--------------
TOTAL BANK & FINANCE
- VALUE $ 209,507,684
- COST $ 127,565,921
BASIC INDUSTRIES-2.14%
ASARCO Inc 10,889 $ 334,837
Avery-Dennison Corp 26,778 1,099,572
Baker Hughes Inc 43,076 1,825,346
Bemis Co 13,894 610,468
Boise Cascade Corp 12,707 502,721
Champion International Corp 25,088 1,484,896
Cyprus Amax Minerals 24,186 610,697
Dover Corp 29,349 2,026,915
Echo Bay Mines Ltd 35,315 178,782
Fort James Corp 49,215 2,067,030
Georgia-Pacific Corp 23,864 2,177,590
Harnischfeger Industries Inc 12,582 504,853
Homestake Mining Co 37,488 524,832
</TABLE>
170
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Ikon Office Solutions Inc 34,462 $ 896,012
Inco Ltd 43,186 1,168,721
Louisiana-Pacific Corp 28,410 628,571
Mead Corp 13,606 965,176
Minnesota Mining & Manufacturing Co 108,986 9,795,117
NACCO Industries Inc Class A 2,067 178,279
Newmont Mining Corp 40,583 1,717,168
Potlatch Corp 7,332 342,313
Stone Container Corp 25,264 435,804
Union Camp Corp 18,068 1,071,658
Westinghouse Electric Corp 166,405 4,284,929
Westvaco Corp 26,655 902,938
Weyerhauser Co 51,742 2,988,101
Whitman Corp 26,673 653,489
Willamette Industries Inc 14,510 1,157,173
--------------
TOTAL BASIC INDUSTRIES
- VALUE $ 41,133,988
- COST $ 31,623,413
BEVERAGES-3.17%
Anheuser-Busch Inc 129,910 $ 5,537,414
Coca-Cola Co 648,966 37,193,864
Coors (Adolph) Co Class B 9,681 356,987
Pepsico Inc 401,221 14,443,956
Seagrams Co Ltd 97,005 3,389,112
--------------
TOTAL BEVERAGES
- VALUE $ 60,921,333
- COST $ 39,590,380
BROADCASTING-0.40%
Kingworld Productions 9,583 $ 380,924
Tele-Communications Inc Class A 173,803 3,041,553
Tribune Co 32,142 1,589,020
Viacom Inc Class B+ 92,151 2,729,973
--------------
TOTAL BROADCASTING
- VALUE $ 7,741,470
- COST $ 7,716,165
BUILDING MATERIALS & SERVICES-0.59%
Cooper Industries Inc 30,927 $ 1,648,796
Corning Inc 60,063 3,175,831
Owens Corning Fiberglass Corp 13,902 563,900
Owens Illinois Inc+ 35,927 1,250,709
PPG Industries Inc 47,067 2,965,221
</TABLE>
171
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Snap-On Inc 15,901 $ 667,842
Stanley Works 23,248 989,493
--------------
TOTAL BUILDING MATERIALS & SERVICES
- VALUE $ 11,261,792
- COST $ 8,150,153
BUSINESS SERVICES-0.24%
Ecolab Inc 17,111 $ 771,064
Waste Management Inc 118,597 3,795,104
--------------
TOTAL BUSINESS SERVICES
- VALUE $ 4,566,168
- COST $ 3,990,070
CHEMICALS-2.67%
Air Products & Chemicals Inc 28,699 $ 2,340,762
Clorox Co 13,479 1,769,119
Dow Chemical Co 60,962 5,395,137
Du Pont (E I) De Nemours 295,418 18,408,234
Eastman Chemical Co 20,428 1,221,850
FMC Corp+ 9,754 810,192
Goodrich (B F) Co 14,085 593,331
Grace (W R) Co 18,908 1,301,107
Great Lakes Chemical Corp 15,575 724,238
Hercules Inc 26,272 1,357,934
International Flavor & Fragrances 28,581 1,461,204
Monsanto Co 154,536 6,789,926
Morton International Inc 36,524 1,214,423
Nalco Chemical Co 17,231 689,240
Praxair Inc 41,149 2,198,900
Rohm & Haas Co 16,479 1,578,894
Rubbermaid Inc 39,222 980,550
Sigma-Aldrich Corp 26,188 854,384
Union Carbide Corp 32,926 1,689,515
--------------
TOTAL CHEMICALS
- VALUE $ 51,378,940
- COST $ 34,903,026
COMPUTER SOFTWARE-4.26%
3Com Corp+ 86,937 $ 4,341,416
Adobe Systems Inc 18,752 738,360
Autodesk Inc 12,484 546,175
Automatic Data Processing 76,700 3,494,644
Bay Networks Inc+ 51,983 1,838,899
Computer Associates International Inc 95,122 6,361,284
</TABLE>
172
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Computer Sciences Corp+ 20,024 $ 1,489,285
First Data Corp 117,506 4,825,090
Microsoft Corp 313,700 41,467,219
Netscape Communications Corp+ 173 6,868
Novell Inc+ 90,652 849,863
Oracle Systems Corp 256,578 9,782,036
Parametric Technology Corp+ 33,322 1,547,390
Sun Microsystems Inc 96,608 4,637,184
--------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 81,925,713
- COST $ 43,654,410
COMPUTER SYSTEMS-4.76%
Amdahl Corp+ 30,939 $ 380,936
Apple Computer Inc+ 33,012 718,011
Cabletron Systems Inc 40,822 1,234,866
Ceridian Corp+ 21,046 727,402
Cisco Systems Inc+ 173,615 13,086,231
Cognizant Corp 43,697 1,835,274
Compaq Computer Corp 179,670 11,768,385
Data General Corp+ 12,298 441,959
Dell Computer Corp 87,752 7,201,149
Digital Equipment Corp+ 40,309 1,733,287
EMC Corp+ 64,274 3,298,060
Harris Corp 10,422 908,017
Hewlett-Packard Co 266,088 16,314,521
International Business Machine Corp 259,982 26,225,684
Seagate Technology Inc 64,005 2,444,191
Shared Medical System Corp 7,489 366,961
Silicon Graphics Inc+ 46,194 1,267,448
Tandem Computers Inc+ 30,095 1,023,230
Unisys Corp+ 44,667 505,295
--------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 91,480,907
- COST $ 47,650,330
CONTAINER & PACKAGING-0.51%
Ball Corp 7,865 $ 258,562
Crown Cork & Seal Co 33,582 1,708,484
International Paper Co 78,745 4,153,799
Temple-Inland Inc 14,601 941,765
</TABLE>
173
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Tenneco Inc 44,682 $ 2,169,870
Tupperware Corp 15,867 532,536
--------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 9,765,016
- COST $ 7,976,521
ELECTRICAL EQUIPMENT-3.69%
Aeroquip-Vickers Inc 7,125 $ 398,109
General Electric Co 858,732 53,670,750
Grainger ( W W) Inc 13,546 1,203,054
Masco Corp 42,140 1,872,596
Motorola Inc 155,603 11,417,370
National Service Industries Inc 12,083 534,673
Raychem Corp 11,526 1,072,638
Thomas & Betts Corp 14,128 791,168
--------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 70,960,358
- COST $ 42,405,781
ELECTRONICS-4.20%
Advanced Micro Devices+ 36,657 $ 1,372,346
AMP Inc 57,420 2,871,000
Applied Materials Inc+ 47,294 4,463,371
EG&G Inc 12,101 257,146
Emerson Electric Co 116,630 6,378,203
General Semiconductor Inc 6,286 88,783
General Signal Corp 13,174 571,422
Honeywell Inc 33,272 2,299,927
Intel Corp 428,748 39,498,410
Johnson Controls Inc 21,896 1,044,166
LSI Logic Corp+ 37,017 1,191,485
Micron Technology Inc+ 54,893 2,446,169
National Semiconductor+ 36,793 1,260,160
Nextlevel Systems Inc+ 38,322 768,835
Perkin-Elmer Corp 11,306 836,644
Pitney Bowes Inc 38,221 2,919,129
Tektronix Inc 8,695 483,116
Texas Instruments Inc 49,937 5,674,092
Xerox Corp 84,579 6,385,715
--------------
TOTAL ELECTRONICS
- VALUE $ 80,810,119
- COST $ 39,973,919
</TABLE>
174
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ENERGY & RELATED-9.06%
Amerada Hess Corp 24,279 $ 1,411,217
Amoco Corp 129,438 12,239,981
Anadarko Petroleum Corp 15,564 1,142,981
Apache Corp 23,598 936,546
Ashland Inc 19,426 973,728
Atlantic Richfield Corp 84,282 6,321,150
Burlington Resources Inc 32,684 1,654,628
Chevron Corp 171,067 13,247,001
Coastal Corp 27,589 1,593,265
Columbia Gas System Inc 14,586 962,676
Consolidated Natural Gas Co 24,953 1,473,787
Dresser Industries Inc 46,018 1,921,252
Eastern Enterprises 5,235 186,824
Enron Corp 79,990 3,084,614
Exxon Corp 650,050 39,774,934
Halliburton Co 66,012 3,152,073
Helmerich & Payne Inc 6,485 458,003
Kerr--McGee Corp 12,431 772,276
Louisiana Land & Exploration Co 8,809 674,439
Mobil Corp 205,922 14,980,826
NICOR Inc 12,722 461,968
Occidental Petroleum Corp 86,203 2,020,383
ONEOK Inc 6,911 223,744
Oryx Energy Co+ 27,520 727,560
Pacific Enterprises Co 21,831 719,059
Pennzoil Co 12,264 946,628
Peoples Energy Corp 8,954 337,454
Phillips Petroleum Co 69,090 3,286,093
Rowan Co Inc+ 22,436 670,276
Royal Dutch Petroleum Corp 561,372 28,489,629
Schlumberger Ltd 129,218 9,844,796
Sonat Offshore Drilling Co 22,592 1,125,364
Sun Co Inc 19,224 747,333
Texaco Inc 68,875 7,937,844
Union Pacific Resources Group 66,275 1,656,875
Unocal Corp 65,202 2,546,953
USX--Marathon Group 75,192 2,448,440
</TABLE>
175
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Western Atlas Inc+ 14,096 $ 1,117,108
Williams Co Inc 41,352 1,925,453
--------------
TOTAL ENERGY & RELATED
- VALUE $ 174,195,161
- COST $ 117,069,627
ENGINEERING & CONSTRUCTION-0.18%
Armstrong World Industries Inc 10,524 $ 720,236
Centex Corp 7,343 399,276
Fleetwood Enterprises Inc 9,037 281,277
Fluor Corp 22,042 1,237,107
Foster Wheeler Corp 10,629 485,612
Kaufman & Broad Home Corp 9,868 197,360
Pulte Corp 5,881 215,392
--------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 3,536,260
- COST $ 2,956,226
ENTERTAINMENT & LEISURE-1.61%
Brunswick Corp 25,942 $ 791,231
Disney (Walt) Co 176,707 13,573,306
Harrah's Entertainment Inc+ 26,336 590,914
Hasbro Inc 33,162 891,215
Mattel Inc 76,141 2,545,965
Mirage Resorts Inc+ 46,036 1,234,340
Polaroid Corp 11,662 615,899
Time Warner Inc 146,333 7,536,150
U.S. West Media Group+ 158,245 3,164,900
--------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 30,943,920
- COST $ 24,761,826
ENVIRONMENTAL CONTROL-0.12%
Browning-Ferris Industries Inc 55,567 $ 1,941,372
Safety-Kleen Corp 14,867 300,128
--------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 2,241,500
- COST $ 1,946,869
FOOD & RELATED-3.90%
Albertson's Inc 65,465 $ 2,250,359
American Stores Co 71,074 1,683,565
Archer-Daniels-Midland Co 148,430 3,209,789
Brown-Forman Corp Class B 18,024 869,658
</TABLE>
176
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Campbell Soup Co 121,636 $ 5,640,870
ConAgra Inc 62,505 4,019,853
CPC International Inc 37,406 3,333,810
Darden Restaurants Inc 40,772 410,268
Fleming Co Inc 9,712 183,314
General Mills Inc 42,086 2,698,765
Giant Food Inc Class A 15,286 496,795
Great Atlantic & Pacific Tea Co 9,783 245,186
Harcourt General Inc 18,488 879,336
Heinz (H J) Co 95,963 3,994,460
Hershey Foods Corp 39,298 2,097,531
Kellogg Co 109,678 4,908,091
Kroger Co 66,314 1,997,709
McDonald's Corp 180,526 8,541,136
Pioneer Hi Bred International Inc 21,510 1,843,138
Quaker Oats Co 35,792 1,682,224
Ralston-Purina Group 27,735 2,496,150
Sara Lee Corp 125,773 5,062,363
Super Value Inc 16,966 665,916
Sysco Corp 45,573 1,617,842
Unilever NV (Netherlands) 41,867 8,425,734
UST Inc 47,789 1,379,907
Wendy's International Inc 34,276 824,766
Winn-Dixie Stores Inc 38,610 1,300,674
Wrigley (W M) Jr Co 30,396 2,203,710
--------------
TOTAL FOOD & RELATED
- VALUE $ 74,962,919
- COST $ 53,439,365
FURNITURE & APPLIANCES-0.10%
Maytag Corp 25,607 $ 702,592
Whirlpool Corp 19,476 1,115,001
--------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 1,817,593
- COST $ 1,546,547
HEALTHCARE-0.39%
Cardinal Health Inc 28,378 $ 1,880,043
Healthsouth Corp 89,454 2,230,759
</TABLE>
177
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
St Jude Medical Inc+ 23,956 $ 911,825
United Healthcare Corp 48,694 2,367,746
--------------
TOTAL HEALTHCARE
- VALUE $ 7,390,373
- COST $ 6,677,625
HOSPITAL & MEDICAL SUPPLIES-2.48%
Bard (C R) Inc 14,633 $ 504,839
Bausch & Lomb Inc 14,585 598,897
Baxter International Inc 72,639 3,863,487
Becton Dickinson & Co 31,775 1,523,214
Beverly Enterprises+ 25,214 411,303
Biomet Inc 29,408 610,216
Boston Scientific Corp+ 51,064 3,600,012
Columbia/HCA Healthcare Corp 174,761 5,515,882
Guidant Corp 19,360 1,700,050
Johnson & Johnson 348,690 19,766,364
Mallinckrodt Group Inc 18,927 688,470
Manor Care Inc 16,592 512,278
Medtronic Inc 62,480 5,646,630
Tenet Healthcare Corp+ 78,681 2,144,057
United States Surgical 19,125 629,930
--------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 47,715,629
- COST $ 32,050,407
HOUSEHOLD PRODUCTS-2.61%
Alberto-Culver Co Class B 14,428 $ 421,117
Avon Products Inc 34,523 2,211,630
Colgate-Palmolive Co 77,368 4,854,842
Gillette Co 145,741 12,069,177
Kimberly-Clark Corp 147,044 6,975,400
Procter & Gamble Co 177,350 23,598,634
--------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 50,130,800
- COST $ 30,771,312
INSURANCE-4.44%
Aetna Inc 39,527 $ 3,772,358
Allstate Corp 115,721 8,454,866
American General Corp 63,077 3,039,501
American International Group Inc 184,403 17,403,033
Aon Corp 43,472 2,214,355
Chubb Corp 45,680 3,054,850
</TABLE>
178
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
CIGNA Corp 19,491 $ 3,574,162
Conseco Inc 49,581 2,131,983
General Re Corp 21,270 4,123,721
Hartford Financial Services Group 30,849 2,460,208
Humana Inc+ 42,637 1,004,634
Jefferson-Pilot Corp 18,481 1,285,585
Lincoln National Corp 26,832 1,796,067
Loews Corp 29,973 3,055,373
Marsh & McLennan Companies Inc 43,304 2,955,498
MBIA Inc 11,379 1,288,672
Progressive Corp Ohio 18,644 1,845,756
Providian Financial Corp 24,506 912,849
SAFECO Corp 32,942 1,618,276
St Paul Co 21,873 1,604,931
Sunamerica Inc 34,083 1,836,222
Torchmark Corp 36,508 1,375,895
Transamerica Corp 17,267 1,701,879
Travelers Inc 167,915 10,662,603
UNUM Corp 37,598 1,550,918
USF & G Corp 29,463 646,345
-------------
TOTAL INSURANCE
- VALUE $ 85,370,540
- COST $ 55,386,155
LODGING-0.34%
HFS Inc+ 41,225 $ 2,295,717
Hilton Hotels Corp 65,112 1,998,125
Marriott International 33,134 2,205,482
-------------
TOTAL LODGING
- VALUE $ 6,499,324
- COST $ 5,102,015
MACHINERY-0.97%
Black & Decker Corp 24,769 $ 948,962
Case Corp 19,343 1,297,190
Caterpillar Inc 99,556 5,780,470
Cincinnati Milacron Inc 10,313 265,560
Cummins Engine Co Inc 10,100 777,069
Deere & Co 66,705 3,735,480
Ingersoll-Rand Co 28,397 1,707,370
McDermott International Inc 14,171 457,015
Pall Corp 33,038 782,588
</TABLE>
179
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Parker Hannifin Corp 19,476 $ 1,252,550
Thermo Electron Corp+ 39,179 1,576,955
-------------
TOTAL MACHINERY
- VALUE $ 18,581,209
- COST $ 12,105,537
MANUFACTURING-0.26%
Tyco International Ltd+ 63,994 $ 5,019,529
-------------
TOTAL MANUFACTURING
- VALUE $ 5,019,529
- COST $ 3,148,296
METAL FABRICATORS-1.05%
Alcan Aluminum Ltd 59,261 $ 2,070,431
Allegheny Teledyne Inc 45,902 1,417,224
Aluminum Co of America 45,466 3,739,579
Armco Inc+ 26,955 160,045
Barrick Gold Corp 97,357 2,214,872
Battle Mountain Gold Co 60,079 341,699
Bethlehem Steel Corp+ 29,083 348,996
Crane Co 11,799 520,609
Engelhard Corp 37,681 786,591
Freeport McMoRan Inc 52,374 1,466,472
Inland Steel Industries Inc 12,545 264,229
Nucor Corp 22,964 1,301,772
Phelps Dodge Corp 16,681 1,341,778
Placer Dome Inc 62,616 1,040,991
Reynolds Metals Co 19,131 1,352,323
Timken Co 16,380 613,226
USX--U.S. Steel Group 22,494 790,102
Worthington Industries Inc 24,730 459,051
-------------
TOTAL METAL FABRICATORS
- VALUE $ 20,229,990
- COST $ 17,557,695
PHARMACEUTICALS-7.03%
Abbott Laboratories 202,591 $ 12,142,798
Allergan Inc 17,270 559,116
ALZA Corp+ 22,350 648,150
American Home Products Corp 168,509 12,132,648
Amgen Inc 69,414 3,440,331
Bristol-Myers Squibb Co 261,682 19,887,832
Lilly (Eli) & Co 145,391 15,211,533
</TABLE>
180
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Merck & Co Inc 315,931 $ 29,006,415
Millipore Corp 11,398 564,201
Pfizer Inc 338,042 18,719,076
Pharmacia and Upjohn Inc 132,874 4,526,021
Schering-Plough Corp 192,284 9,229,632
Warner Lambert Co 70,991 9,020,294
-------------
TOTAL PHARMACEUTICALS
- VALUE $ 135,088,047
- COST $ 75,606,195
PUBLISHING-0.89%
American Greetings Corp Class A 21,264 $ 738,924
Comcast Corp Class A 91,606 2,147,016
Donnelley (R R) & Sons Co 38,808 1,511,087
Dow Jones & Co Inc 25,157 1,077,034
Gannett Co Inc 37,077 3,612,690
Harland (John H) Co 7,872 155,964
Interpublic Group Co Inc 32,163 1,567,922
Knight-Ridder Inc 24,031 1,216,569
McGraw-Hill Inc 26,044 1,596,823
Meredith Corp 14,020 420,600
Moore Corp Ltd 25,491 505,040
New York Times Co Class A 24,881 1,175,627
Times Mirror Co Class A 25,283 1,281,532
-------------
TOTAL PUBLISHING
- VALUE $ 17,006,828
- COST $ 11,875,120
RETAIL & RELATED-4.35%
AutoZone Inc+ 39,565 $ 1,117,711
Charming Shoppes Inc+ 26,456 159,561
Circuit City Stores Inc 25,632 913,140
Costco Co Inc+ 55,369 1,996,745
Dayton-Hudson Corp 56,896 3,243,072
Dillards Inc Class A 29,716 1,188,640
Eastman Kodak Co 86,806 5,674,942
Federated Department Stores Inc+ 54,294 2,280,348
Gap Inc 72,123 3,204,966
Home Depot Inc 190,637 8,995,684
Jostens Inc 9,929 239,537
K Mart Corp+ 126,719 1,758,226
Limited Inc 70,441 1,602,533
Longs Drug Stores Corp 9,984 252,720
</TABLE>
181
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Lowe's Co Inc 45,192 $ 1,561,949
May Department Stores Co 62,075 3,340,411
Mercantile Stores Co Inc 9,501 593,219
Newell Co 41,502 1,634,141
Nordstrom Inc 20,707 1,211,360
Penney (J C) Co Inc 64,629 3,877,740
Rite Aid Corp 32,157 1,609,860
Sears Roebuck & Co 102,528 5,818,464
Sherwin Williams Co 45,034 1,235,620
Tandy Corp 14,887 988,125
TJX Companies Inc 40,734 1,120,185
Toys R Us Inc+ 74,871 2,587,729
Walgreen Co 128,636 3,465,132
Walmart Stores Inc 593,071 21,054,021
Woolworth (F W) Co+ 35,094 785,228
-------------
TOTAL RETAIL & RELATED
- VALUE $ 83,511,009
- COST $ 60,827,551
SERVICES-0.43%
Block (H R) Inc 27,209 $ 1,067,953
CUC International Inc 106,717 2,507,850
Dun & Bradstreet Corp 44,697 1,251,516
Public Service Enterprise Group 61,150 1,517,284
Service Corp International+ 62,554 2,001,728
-------------
TOTAL SERVICES
- VALUE $ 8,346,331
- COST $ 7,348,127
TELECOMMUNICATIONS-6.82%
Airtouch Communications+ 131,689 $ 4,452,734
Alltel Corp 48,852 1,544,945
Ameritech Corp 143,775 9,012,895
Andrew Corp 23,844 593,107
AT & T Corp 425,324 16,587,636
Bell Atlantic Corp 203,130 14,701,540
BellSouth Corp 259,819 11,432,036
DSC Communications Corp+ 30,680 893,555
Frontier Corp 42,904 946,570
GTE Corp 250,376 11,157,381
</TABLE>
182
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ITT Corp+ 30,429 $ 1,911,322
Lucent Technologies Inc 167,495 13,043,673
MCI Communications Corp 179,481 5,115,209
Northern Telecom Ltd 68,103 6,750,710
SBC Communication Inc 238,641 12,976,104
Scientific-Atlanta Inc 19,816 430,998
Sprint Corp 112,622 5,293,234
Tellabs Inc 47,254 2,820,473
U.S. West Inc 125,516 4,495,042
WorldCom Inc+ 233,739 6,997,561
-------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 131,156,725
- COST $ 105,288,289
TEXTILES-0.01%
Springs Industries Inc Class A 5,089 $ 239,183
-------------
TOTAL TEXTILES
- VALUE $ 239,183
- COST $ 197,072
TOBACCO-1.52%
Fortune Brands Inc 44,839 $ 1,541,341
Philip Morris Co Inc 635,928 27,742,359
-------------
TOTAL TOBACCO
- VALUE $ 29,283,700
- COST $ 17,657,332
TRANSPORTATION-0.94%
Burlington Northern Santa Fe 40,323 $ 3,697,115
Caliber Systems Inc 9,949 415,371
CSX Corp 57,063 3,263,290
Federal Express Corp 29,958 1,990,335
Laidlaw Inc Class B 85,931 1,256,741
Norfolk Southern Corp 32,942 3,228,316
Union Pacific Corp 64,657 4,198,664
-------------
TOTAL TRANSPORTATION
- VALUE $ 18,049,832
- COST $ 13,071,088
UTILITIES-2.19%
American Electric Power Inc 49,257 $ 2,151,915
Baltimore Gas & Electric Co 38,620 1,042,740
Carolina Power & Light Co 39,509 1,333,429
Central & South West Corp 55,516 1,148,487
</TABLE>
183
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Cinergy Corp 41,181 $ 1,361,547
Consolidated Edison Co 61,399 1,880,344
Dominion Resources Inc 48,121 1,732,356
DTE Energy Co 38,040 1,126,935
Duke Power Co 93,985 4,552,399
Edison International 106,986 2,581,037
Entergy Corp 62,101 1,540,881
FPL Group Inc 47,671 2,216,702
GPU Inc 31,497 1,059,087
Houston Industries Inc 70,943 1,436,591
Niagara Mohawk Power Corp+ 36,832 329,186
Northern States Power Co 18,040 868,175
Ohio Edison Co 39,938 878,636
Pacificorp 77,197 1,601,838
PECO Energy Co 58,243 1,386,911
PG & E Corp 114,734 2,660,395
PP & L Resources Inc 43,002 943,356
Southern Co 178,070 3,750,599
Texas Utilities Co 62,797 2,190,058
Unicom Corp 56,559 1,336,206
Union Electric Co 26,667 991,679
--------------
TOTAL UTILITIES
- VALUE $ 42,101,489
- COST $ 40,032,684
--------------
TOTAL COMMON STOCKS
- VALUE $1,822,859,094
- COST $1,206,415,191
</TABLE>
184
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--AUGUST 31,
1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER SERIES--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
MATURITY
SECURITY NAME COUPON DATE PRINCIPAL VALUE
<C> <S> <C> <C> <C>
SHORT TERM INSTRUMENTS-9.17%
CASH EQUIVALENTS-2.15%
Dreyfus Cash Management Fund++ -- -- $ 1,035,819 $ 1,035,819
Janus Institutional Money Market Fund++ -- -- 26,000,000 26,000,000
Merrimac Premium Money Market Fund++ -- -- 14,370,000 14,370,000
--------------
$ 41,405,819
REPURCHASE AGREEMENTS-2.03%
Goldman Sachs Repurchase Agreement++,
dated 08/29/97, due 09/03/97, with a
maturity value of $39,000,000 and an
effective yield of 5.67%,
collateralized by a Federal National
Mortgage Association obligation with a
rate of 6.07% with a maturity date of
02/01/31 and with an aggregate market
value of $39,780,000. $39,000,000 $ 39,000,000
--------------
U.S. TREASURY BILLS-4.99%+++
U.S. Treasury Bills 2.59%* 09/04/97 $11,026,000 $ 11,022,825
U.S. Treasury Bills 4.78 * 09/18/97 9,598,000 9,575,080
U.S. Treasury Bills 3.78 * 09/25/97 6,440,000 6,423,082
U.S. Treasury Bills 4.72 * 10/02/97 2,457,000 2,446,698
U.S. Treasury Bills 4.83 * 10/16/97 9,274,000 9,216,752
U.S. Treasury Bills 4.82 * 10/23/97 12,985,000 12,892,832
U.S. Treasury Bills 4.84 * 10/30/97 4,500,000 4,463,672
U.S. Treasury Bills 4.92 * 11/06/97 10,753,000 10,654,556
U.S. Treasury Bills 4.96 * 11/13/97 1,116,000 1,104,616
U.S. Treasury Bills 4.96 * 11/20/97 6,090,000 6,022,074
U.S. Treasury Bills 4.98 * 11/28/97 22,404,000 22,128,386
--------------
$ 95,950,573
TOTAL SHORT TERM INSTRUMENTS
- VALUE $ 176,356,392
- COST $ 176,311,532
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,382,726,723)** (Notes 1 and 3) 104.00% $1,999,215,486
Other Assets and Liabilities, Net (4.00)% (76,953,176)
----------- --------------
TOTAL NET ASSETS 100.00% $1,922,262,310
=========== ==============
</TABLE>
- --------------------------------------------------------------------------------
+ Non-income earning securities.
++ Represents collateral received from securities lending transactions. See
Note 4.
+++ These U.S. Treasury Bills are held in Segregated Accounts in connection
with the Fund's holdings of S&P 500 Futures Contracts. See Note 1.
* Yield to maturity.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $ 623,462,073
Gross Unrealized
Depreciation (6,973,310)
-------------
NET UNREALIZED
APPRECIATION $ 616,488,763
</TABLE>
The accompanying notes are an integral part of these financial statements.
185
<PAGE>
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE
TERM MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-41.73%
AEROSPACE & DEFENSE-4.77%
$ 500,000 Mcdonnell Douglas Corp 6.77% 09/11/02 $ 501,792
BANK & FINANCE-11.81%
$ 500,000 Associates Corp of North America 6.01% 02/07/03 $ 482,724
250,000 BankAmerica Corp 8.38 03/15/02 266,172
500,000 Norwest Corp 6.63 07/15/04 495,179
-----------
$ 1,244,075
COMPUTER SYSTEMS-4.79%
$ 500,000 Comdisco Inc 7.25% 04/15/98 $ 504,210
INVESTMENT BANKING & BROKERAGE-4.82%
$ 500,000 GMAC Financial Corp 7.12% 05/01/01 $ 508,714
RAILROADS-4.82%
$ 500,000 Norfolk Southern Corp 6.95% 05/01/02 $ 507,042
SHIPPING-5.36%
$ 500,000 CSX Corp 9.00% 08/15/06 $ 564,488
UTILITIES-5.36%
$ 500,000 Public Service Electric & Gas Co 9.13% 07/01/05 $ 564,051
-----------
TOTAL CORPORATE BONDS & NOTES (Cost $ 4,394,372
$4,385,527)
U.S. GOVERNMENT AGENCY SECURITIES-22.90%
FEDERAL NATIONAL MORTGAGE ASSOCIATION-22.90%
$ 652,839 Federal National Mortgage Assoc 7.00% 06/01/09 $ 657,082
1,340,461 Federal National Mortgage Assoc 7.00 12/01/25 1,326,663
433,283 Federal National Mortgage Assoc 6.50 05/01/11 427,845
-----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 2,411,590
(Cost $2,403,880)
</TABLE>
186
<PAGE>
MANAGED SERIES INVESTMENT TRUST--SHORT INTERMEDIATE TERM MASTER
PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE TERM MASTER PORTFOLIO--
AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-28.63%
U.S. TREASURY BONDS-9.03%
$ 750,000 U.S. Treasury Bonds 10.75% 08/15/05 $ 951,094
U.S. TREASURY NOTES-19.60%
$2,000,000 U.S. Treasury Notes 7.25% 02/15/98 2,013,750
50,000 U.S. Treasury Notes 6.38 03/31/01 50,328
-----------
$ 2,064,078
TOTAL U.S. TREASURY $ 3,015,172
SECURITIES (Cost $3,034,309)
</TABLE>
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL
INVESTMENT
IN
SECURITIES
(Cost
$9,823,716)*
(Notes 1 and
3) 93.26% $ 9,821,134
Other Assets
and
Liabilities,
Net 6.74% 709,296
------ -----------
TOTAL NET 100.00%
ASSETS $10,530,430
====== ===========
</TABLE>
- --------------------------------------------------------------------------------
* Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized apppreciation consists of:
<TABLE>
<S> <C> <C>
Gross Unrealized Ap-
preciation $ 84,703
Gross Unrealized De-
preciation (87,285)
-------- ---
NET UNREALIZED DEPRE-
CIATION $ (2,582)
======== ===
</TABLE>
The accompanying notes are an integral part of these financial statements.
187
<PAGE>
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-59.30%
U.S. TREASURY BONDS-18.69%
$ 350,000 U.S. Treasury Bonds 12.38% 05/15/04 $ 463,969
2,900,000 U.S. Treasury Bonds 11.88 11/15/03 3,714,717
1,850,000 U.S. Treasury Bonds 11.13 08/15/03 2,286,483
500,000 U.S. Treasury Bonds 10.75 02/15/03 602,031
1,100,000 U.S. Treasury Bonds 10.75 05/15/03 1,331,688
-----------
$ 8,398,888
U.S. TREASURY NOTES-40.61%
$2,000,000 U.S. Treasury Notes 6.38% 08/15/02 $ 2,013,124
6,100,000 U.S. Treasury Notes 6.25 02/15/03 6,098,091
4,200,000 U.S. Treasury Notes 5.88 02/15/04 4,106,810
6,200,000 U.S. Treasury Notes 5.75 08/15/03 6,035,309
-----------
$18,253,334
TOTAL U.S. TREASURY $26,652,222
SECURITIES
(Cost $26,537,099)
SHORT-TERM INSTRUMENTS-49.60%
U.S. TREASURY BILLS-40.27%
$ 267,000 U.S. Treasury Bills 4.10%* 09/11/97 $ 266,665
6,312,000 U.S. Treasury Bills 4.78 * 09/18/97 6,296,927
1,191,000 U.S. Treasury Bills 3.78 * 09/25/97 1,187,871
93,000 U.S. Treasury Bills 4.72 * 10/02/97 92,610
131,000 U.S. Treasury Bills 4.75 * 10/09/97 130,325
8,668,000 U.S. Treasury Bills 4.83 * 10/16/97 8,614,492
571,000 U.S. Treasury Bills 4.82 * 10/23/97 566,947
704,000 U.S. Treasury Bills 4.84 * 10/30/97 698,317
114,000 U.S. Treasury Bills 4.92 * 11/06/97 112,956
110,000 U.S. Treasury Bills 4.96 * 11/13/97 108,878
23,000 U.S. Treasury Bills 4.96 * 11/20/97 22,745
-----------
$18,098,733
</TABLE>
188
<PAGE>
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION MASTER PORTFOLIO--
AUGUST 31, 1997 (UNAUDITED)
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER PORTFOLIO--AUGUST 31, 1997 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
PRINCIPAL/ INTEREST MATURITY
SHARES SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CASH EQUIVALENTS-4.88%
$ 614,750 Dreyfus Cash Management Fund+ -- -- $ 614,750
1,080,000 Janus Institutional Money Market Fund+ -- -- 1,080,000
500,000 Merrimac Premium Money Market Fund+ -- -- 500,000
-----------
$ 2,194,750
REPURCHASE AGREEMENTS-4.45%
$2,000,000 Goldman Sachs Repurchase Agreement+,
dated 08/29/97, due 09/03/97, with a
maturity value of $2,000,000 and an
effective yield of 4.85%,
collateralized by a Federal National
Mortgage Association obligation with a
rate of 6.07% with a maturity date of
04/01/34 and with an aggregate market
value of $2,040,000. $ 2,000,000
-----------
TOTAL SHORT-TERM INSTRUMENTS $22,293,483
(Cost $22,285,253)
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENT IN SECURITIES
(Cost $48,822,352) ** (Notes 1 and 3) 108.90% $48,945,705
Other Assets and Liabilities, Net (8.90)% (3,999,147)
------ -----------
TOTAL NET ASSETS 100.00% $44,946,558
====== ===========
</TABLE>
- --------------------------------------------------------------------------------
+ Represents collateral received from securities lending transactions. See Note
4.
* 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> <C>
Gross Unrealized
Appreciation $ 315,176
Gross Unrealized
Depreciation (191,823)
---------
NET UNREALIZED
APPRECIATION $ 123,353
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
189
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Portfolio Master Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) (Note 1) $485,231,835 $227,365,067
Cash 234 910
RECEIVABLES:
Investment sold 0 18,169,879
Dividends and interest 2,347,868 2,928,687
Variation margin on futures
contracts 0 0
TOTAL ASSETS 487,579,937 248,464,543
LIABILITIES
PAYABLES:
Cash overdraft due to custodian
(Note 2) 0 0
Variation margin on futures
contracts 0 0
Investment securities purchased 0 17,515,003
Collateral for securities loaned
(Note 4) 36,954,795 11,343,813
Due to BGI (Note 2) 132,433 27,711
TOTAL LIABILITIES 37,087,228 28,886,527
TOTAL NET ASSETS $450,492,709 $219,578,016
INVESTMENTS AT COST $427,477,487 $225,764,518
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
190
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Master Master Master
Investment Investment Investment
Managed Series Portfolio Portfolio Portfolio
Investment Trust LifePath LifePath LifePath
Growth Stock 2000 2010 2020
Master Portfolio Master Portfolio Master Portfolio Master Portfolio
- ----------------------------------------------------
<S> <C> <C> <C>
$222,970,747 $134,415,490 $200,472,439 $314,123,515
11,612,614 975 53 492
1,388,402 0 0 0
48,226 1,344,830 1,413,140 1,769,753
0 0 0 0
236,019,989 135,761,295 201,885,632 315,893,760
0 0 0 0
0 0 0 0
928,709 0 0 0
0 16,346,300 15,962,363 26,850,117
134,453 48,946 271,664 141,588
1,063,162 16,395,246 16,234,027 26,991,705
$234,956,827 $119,366,049 $185,651,605 $288,902,055
$175,475,423 $127,890,397 $178,095,598 $263,318,145
- -----------------------------------------------------------------------------------
</TABLE>
191
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
LifePath LifePath
2030 2040
Master Portfolio Master Portfolio
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In securities, at market value (see cost below) (Note 1) $203,284,922 $355,093,100
Cash 832 751
RECEIVABLES:
Investments sold 0 0
Dividends and interest 739,903 945,895
Variation margin on futures 0 0
TOTAL ASSETS 204,025,657 356,039,746
LIABILITIES
PAYABLES:
Cash overdraft due to custodian (Note 2) 0 0
Variation margin on futures contracts 0 0
Investment securities purchased 0 0
Collateral for securities loaned (Note 4) 14,313,971 34,394,414
Due to BGI (Note 2) 94,413 158,143
TOTAL LIABILITIES 14,408,384 34,552,557
TOTAL NET ASSETS $189,617,273 $321,487,189
INVESTMENTS AT COST $162,165,959 $292,180,872
- ---------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
192
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Master Managed Series Master
Investment Portfolio Investment Trust Investment Portfolio
S&P 500 Index Short-Intermediate Term U.S. Treasury Allocation
Master Portfolio Master Portfolio Master Portfolio
- --------------------------------------------------
<S> <C> <C>
$1,999,215,486 $ 9,821,134 $48,945,705
952 651,599 7
0 0
3,196,201 110,090 200,025
374,276 0 0
2,002,786,915 10,582,823 49,145,737
0 0 0
0 0 0
0 0 0
80,405,819 0 4,194,751
118,786 52,393 4,428
80,524,605 52,393 4,199,179
$1,922,262,310 $10,530,430 $44,946,558
$1,382,726,723 $ 9,823,716 $48,822,352
- ----------------------------------------------------------------------------------
</TABLE>
193
<PAGE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Portfolio Master Portfolio
- -------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 1,754,118 $ 0
Interest+ 8,641,552 7,430,561
TOTAL INVESTMENT INCOME 10,395,670 7,430,561
EXPENSES (NOTE 2)
Advisory fees 770,659 86,391
TOTAL EXPENSES 770,659 86,391
LESS:
Waived fees by BGI (Note 2) 0 0
NET EXPENSES 770,659 86,391
NET INVESTMENT INCOME (LOSS) 9,625,011 7,344,170
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on sale of
investments 29,555,250 (404,957)
Net realized gain (loss) on sale of
futures contracts 0 0
Net change in unrealized
appreciation (depreciation) of
investments 790,052 1,913,724
Net change in unrealized
appreciation (depreciation) of
futures contracts 0 0
NET GAIN (LOSS) ON INVESTMENTS 30,345,302 1,508,767
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $39,970,313 $8,852,937
- -------------------------------------------------------------------------------
+ Interest income includes security
lending income of: $ 15,256 $ 7,791
</TABLE>
The accompanying notes are an integral part of these financial statements.
194
<PAGE>
STATEMENT OF OPERATIONS--FOR THE SIX MONTHS ENDED AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
Master Master Master
Investment Investment Investment
Managed Series Portfolio Portfolio Portfolio
Investment Trust LifePath LifePath LifePath
Growth Stock 2000 2010 2020
Master Portfolio Master Portfolio Master Portfolio Master Portfolio
- ----------------------------------------------------
<S> <C> <C> <C>
$ 125,591 $ 282,768 $ 845,227 $ 1,781,306
184,594 2,916,482 2,920,941 2,996,920
310,185 3,199,250 3,766,168 4,778,226
652,548 339,193 486,389 740,368
652,548 339,193 486,389 740,368
(21,752) 0 0 0
630,796 339,193 486,389 740,368
(320,611) 2,860,057 3,279,779 4,037,858
(2,321,372) 1,924,950 3,360,595 4,285,729
0 0 0 0
36,928,125 2,070,882 7,864,187 19,072,996
0 0 0 0
34,606,753 3,995,832 11,224,782 23,358,725
$34,286,142 $6,855,889 $14,504,561 $27,396,583
- -----------------------------------------------------------------------------------
-- $ 15,464 $ 24,420 $ 45,183
</TABLE>
195
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Master Master
Investment Investment
Portfolio Portfolio
LifePath LifePath
2030 2040
Master Portfolio Master Portfolio
- --------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 1,390,797 $ 2,583,579
Interest+ 1,278,759 876,769
TOTAL INVESTMENT INCOME 2,669,556 3,460,348
EXPENSES (NOTE 2)
Advisory fees 477,215 794,878
TOTAL EXPENSES 477,215 794,878
LESS:
Waived fees by BGI (Note 2) 0 0
NET EXPENSES 477,215 794,878
NET INVESTMENT INCOME (LOSS) 2,192,341 2,665,470
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 1,988,078 13,043,902
Net realized gain (loss) on sale of
futures contracts 0 14,539
Net change in unrealized appreciation
(depreciation) of investments 15,423,729 19,852,580
Net change in unrealized appreciation
(depreciation) of futures contracts 0 (52,500)
NET GAIN (LOSS) ON INVESTMENTS 17,411,807 32,858,521
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $19,604,148 $35,523,991
- --------------------------------------------------------------------------
+ Interest income includes security
lending income of: $ 33,284 $ 59,325
</TABLE>
The accompanying notes are an integral part of these financial statements.
196
<PAGE>
STATEMENT OF OPERATIONS--FOR THE SIX MONTHS ENDED AUGUST 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
Managed Series Master
Master Investment Trust Investment Portfolio
Investment Portfolio Short-Intermediate U.S. Treasury
S&P 500 Index Term Allocation
Master Portfolio Master Portfolio Master Portfolio
- ---------------------------------------------
<S> <C> <C>
$ 14,112,327 $ 0 $ 0
3,533,223 417,606 1,639,754
17,645,550 417,606 1,639,754
424,610 26,210 68,555
424,610 26,210 68,555
0 0 0
424,610 26,210 68,555
17,220,940 391,396 1,571,199
4,788,786 (85,303) (160,169)
18,163,342 0 0
191,818,867 117,733 384,512
(3,272,475) 0 0
211,498,520 (203,036) 224,343
$228,719,460 $ 423,826 $1,795,542
- ------------------------------------------------------------------------------------
$ 19,868 -- $ 2,826
</TABLE>
197
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
Asset Allocation Master Portfolio
-----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 9,625,011 $ 19,019,098
Net realized gain (loss) on sale of
investments 29,555,250 38,140,198
Net realized gain on sale of futures
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments 790,052 (1,289,497)
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 39,970,313 55,869,799
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTEREST
TRANSACTIONS (21,437,443) (22,004,190)
INCREASE (DECREASE) IN NET ASSETS 18,532,870 33,865,609
NET ASSETS:
Beginning net assets $431,959,839 $398,094,230
ENDING NET ASSETS $450,492,709 $431,959,839
- ---------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
198
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio Managed Series Investment Trust
Bond Index Master Portfolio Growth Stock Master Portfolio
----------------------------------- -----------------------------------
For the For the For the For the
Six Months Ended Year Ended Six Months Ended Year Ended
August 31, 1997 February 28, 1997 August 31, 1997 February 28, 1997
(Unaudited) (Unaudited)
- -------------------------------------------------------
<C> <C> <C> <S>
$ 7,344,170 $ 12,576,460 $ (320,611) $ (556,250)
(404,957) 152,739 (2,321,372) 15,318,008
0 0 0 0
1,913,724 (3,966,118) 36,928,125 (25,141,741)
0 0 0 0
8,852,937 8,763,081 34,286,142 (10,379,983)
(10,604,425) 60,741,955 (12,321,804) 44,671,564
(1,751,488) 69,505,036 21,964,338 34,291,581
$221,329,504 $151,824,468 $212,992,489 $178,700,908
$219,578,016 $221,329,504 $234,956,827 $212,992,489
- --------------------------------------------------------------------------
</TABLE>
199
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
LifePath 2000 Master Portfolio
-----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 2,860,057 $ 5,769,457
Net realized gain (loss) on sale of investments 1,924,950 2,894,777
Net realized gain (loss) on sale of futures contracts 0 0
Net change in unrealized appreciation (depreciation)
of investments 2,070,882 (273,099)
Net change in unrealized appreciation (depreciation)
of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 6,855,889 8,391,135
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS (18,762,838) 6,204,037
INCREASE (DECREASE) IN NET ASSETS (11,906,949) 14,595,172
NET ASSETS:
Beginning net assets $131,272,998 $116,677,826
ENDING NET ASSETS $119,366,049 $131,272,998
- -------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
200
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio Master Investment Portfolio
LifePath 2010 Master Portfolio LifePath 2020 Master Portfolio
---------------------------------- ----------------------------------
For the For the For the For the
Six Months Ended Year Ended Six Months Ended Year Ended
August 31, 1997 February 28, 1997 August 31, 1997 February 28, 1997
(Unaudited) (Unaudited)
- -------------------------------------------------------
<C> <C> <C> <S>
$ 3,279,779 $ 5,182,306 $ 4,037,858 $ 6,271,633
3,360,595 3,439,818 4,285,729 9,487,619
0 0 0 0
7,864,187 5,149,907 19,072,996 11,374,656
0 0 0 0
14,504,561 13,772,031 27,396,583 27,133,908
1,636,124 54,517,689 10,062,839 61,750,732
16,140,685 68,289,720 37,459,422 88,884,640
$169,510,920 $101,221,200 $251,442,633 $162,557,993
$185,651,605 $169,510,920 $288,902,055 $251,442,633
- -----------------------------------------------------------------------
</TABLE>
201
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
LifePath 2030 Master Portfolio
----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 2,192,341 $ 3,210,760
Net realized gain (loss) on sale of investments 1,988,078 5,108,662
Net realized gain (loss) on sale of futures contracts 0 0
Net change in unrealized appreciation (depreciation)
of investments 15,423,729 10,036,726
Net change in unrealized. appreciation (depreciation)
of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 19,604,148 18,356,148
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS 11,208,292 32,210,346
INCREASE (DECREASE) IN NET ASSETS 30,812,440 50,566,494
NET ASSETS:
Beginning net assets $158,804,833 $108,238,339
ENDING NET ASSETS $189,617,273 $158,804,833
- -----------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
202
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
LifePath 2040 Master Portfolio
- -----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- -------------------------
<S> <C>
$ 2,665,470 $ 3,953,444
13,043,902 14,697,190
14,539 35,620
19,852,580 17,501,172
(52,500) 92,625
35,523,991 36,280,051
27,878,470 45,783,771
63,402,461 82,063,822
$258,084,728 $176,020,906
$321,487,189 $258,084,728
- -----------------------------------
</TABLE>
203
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
S&P 500 Index Master Portfolio
-----------------------------------
For the For the
Six Months Ended Year Ended
August 31, 1997 February 28, 1997
(Unaudited)
- --------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 17,220,940 $ 26,709,655
Net realized gain (loss) on sale of
investments 4,788,786 10,656,049
Net realized gain on sale of futures
contracts 18,163,342 12,210,399
Net change in unrealized appreciation
(depreciation) of investments 191,818,867 229,538,430
Net change in unrealized appreciation
(depreciation) of futures contracts (3,272,475) 160,200
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 228,719,460 279,274,733
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTEREST
TRANSACTIONS 209,206,404 274,728,651
INCREASE (DECREASE) IN NET ASSETS 437,925,864 554,003,384
NET ASSETS:
Beginning net assets $1,484,336,446 $ 930,333,062
ENDING NET ASSETS $1,922,262,310 $1,484,336,446
- --------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
204
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Managed Series Investment Trust Master Investment Portfolio
Short-Intermediate Term U.S. Treasury Allocation
Master Portfolio Master Portfolio
- ----------------------------------- -----------------------------------
For the For the For the For the
Six Months Ended Year Ended Six Months Ended Year Ended
August 31, 1997 February 28, 1997 August 31, 1997 February 28, 1997
(Unaudited) (Unaudited)
- ----------------------------------------------------
<S> <C> <C> <C>
$ 391,396 $ 861,159 $ 1,571,199 $ 3,195,952
(85,303) (86,579) (160,169) (142,718)
0 0 0 0
117,733 (214,524) 384,512 (507,610)
0 0 0 0
423,826 560,056 1,795,542 2,545,624
(2,959,109) (1,245,402) (4,381,261) (6,668,994)
(2,535,283) (685,346) (2,585,719) (4,123,370)
$13,065,713 $13,751,059 $47,532,277 $51,655,647
$10,530,430 $13,065,713 $44,946,552 $47,532,277
- -------------------------------------------------------------------------
</TABLE>
205
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware
business trust pursuant to an Agreement and Declaration of Trust dated May 14,
1993 and had no operations prior to May 26, 1994. MIP currently issues, the
following separate portfolios (the "Master Portfolios"), the Asset Allocation,
Bond Index, LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030,
LifePath 2040, S&P 500 Index and U.S. Treasury Allocation Master Portfolios.
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the
reporting period. Actual results could differ from those estimates.
SECURITY VALUATION
The equity securities of each Master Portfolio are valued at the last
reported 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 was no
last reported sales price, are valued at the most recent bid prices. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Debt securities, other than those maturing in 60
days or less, are valued at the latest quoted bid price. Any securities,
restricted securities or other assets for which market quotations are not
readily available, are valued at fair value as determined in good faith in
accordance with policies approved by MIP's Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
dividend date, and interest income is recognized on a daily accrual basis.
Realized gains or losses are reported on the basis of identified cost of
206
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
securities delivered. Bond discounts and premiums are amortized as required by
the Internal Revenue Code of 1986, as amended (the "Code").
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify as a partnership for federal income
tax purposes. Each Master Portfolio therefore believes that it will not be
subject to any federal income tax on its income and net realized capital gains
(if any). However, each investor in a Master Portfolio will be taxed on its
allocable share of the partnership's income and capital gains for purposes of
determining its federal income tax liability. The determination of such share
will be made in accordance with the applicable sections of the Code.
It is intended that each Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in
a Master Portfolio will be able to satisfy the requirements of Subchapter M of
the Code, assuming that the investment company invested all of its assets in
the corresponding Master Portfolio.
FUTURES CONTRACTS
The Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040 and S&P 500 Index Master Portfolios may purchase futures
contracts to gain exposure to market changes as this may be more efficient or
cost effective than actually buying the securities. A futures contract is an
agreement between two parties to buy and sell a security at a set price on a
future date and is exchange traded. Upon entering into a futures contract, the
Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030,
LifePath 2040 and S&P 500 Index Master Portfolios are required to pledge to the
broker an amount of cash, U.S. Government securities or other high-quality debt
securities equal to the minimum "initial margin" requirements of the exchange.
Pursuant to the contract, the Master Portfolios agree to receive from or pay to
the broker an amount of cash equal to the daily fluctuation in the value of the
contract. Such receipts or payments are known as "variation margin" and are
recorded by the Master Portfolios as unrealized gains or losses. When the
contract is closed, the Master Portfolios record a 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
207
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
Exchange Commission, the Master Portfolios are required to segregate cash, U.S.
Government obligations or high quality, liquid debt instruments in connection
with futures transactions in an amount generally equal to the entire futures
contract amount. Risks of entering into futures contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. As of August 31, 1997, the following Master Portfolios had open
futures contracts outstanding:
S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
Expiration Notional Net Unrealized
Number of Contracts Type Date Contract Value Depreciation
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
207 S&P 500 Index December 1997 $94,474,800 $(2,458,075)
</TABLE>
The S&P 500 Index Master Portfolios have pledged to brokers U.S. Treasury
Bills for initial margin requirements with a par value of $346,725.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Portfolio of Investments. The adviser to the Master
Portfolios may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the adviser's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements entered into on August 31, 1997 by the Master Portfolios
are collateralized by U.S. Government Securities.
208
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 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 Portfolios, respectively, as compensation for advisory
services. BGFA is entitled to receive 0.55% of the average daily net assets of
each of the LifePath Master Portfolios as compensation for its advisory
services. BGFA is an indirect subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to each Master
Portfolio. IBT will not be entitled to receive fees for its custodial services
so long as it is entitled to receive a separate fee from BGI for its services
as Sub-Administrator of the MasterWorks Funds.
Certain officers and directors of MIP are also officers of Stephens. As of
August 31, 1997, these officers of Stephens collectively owned less than 1% of
the Master Portfolios' outstanding beneficial interest.
ORGANIZATION EXPENSES
Stephens, the co-administrator, sponsor and placement agent for the Master
Portfolios, has paid all expenses in connection with the Master Portfolios'
organization and initial registration.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the six months ended August 31, 1997 are as follows:
<TABLE>
<CAPTION>
Aggregate Purchases Asset Allocation Bond Index LifePath 2000
and Sales of: Master Portfolio Master Portfolio Master Portfolio
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $54,756,912 $ 47,323,690 $15,354,999
Sales Proceeds 78,233,409 49,906,717 30,005,371
</TABLE>
209
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
<TABLE>
<CAPTION>
Aggregate Purchases Asset Allocation Bond Index LifePath 2000
and Sales of: Master Portfolio Master Portfolio Master Portfolio
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
OTHER SECURITIES:
Purchases at cost $74,981,000 $ 5,397,197 $ 1,535,695
Sales proceeds 62,557,876 6,054,980 6,863,822
<CAPTION>
Aggregate Purchases LifePath 2010 LifePath 2020 LifePath 2030
and Sales of: Master Portfolio Master Portfolio Master Portfolio
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $29,887,410 $ 45,799,474 $13,913,684
Sales proceeds 28,536,873 44,860,655 15,266,855
OTHER SECURITIES:
Purchases at cost 5,295,787 17,720,008 17,054,815
Sales proceeds 8,091,021 9,271,168 4,980,483
<CAPTION>
U.S. Treasury
Aggregate Purchases LifePath 2040 S&P 500 Index Allocation
and Sales of: Master Portfolio Master Portfolio Master Portfolio
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $11,248,241 $ 0 $10,724,875
Sales proceeds 18,750,766 0 21,653,531
OTHER SECURITIES:
Purchases at cost 75,256,106 260,359,891 0
Sales proceeds 34,182,894 20,268,015 0
</TABLE>
4. PORTFOLIO SECURITIES LOANED
As of August 31, 1997, certain Master Portfolios had loaned securities which
were collateralized by cash, money market mutual funds, and repurchase
agreements. Each Master Portfolio receives transaction fees for providing
services in connection with the securities lending program. The value of the
securities on loan and the value of the related collateral were as follows:
<TABLE>
<CAPTION>
Securities Collateral
- ------------------------------------------------------------------
<S> <C> <C>
Asset Allocation Master Portfolio $36,206,195 $36,954,795
Bond Index Master Portfolio $11,161,627 $11,343,813
LifePath 2000 Master Portfolio $16,025,784 $16,346,300
LifePath 2010 Master Portfolio $15,554,980 $15,962,363
LifePath 2020 Master Portfolio $26,100,436 $26,850,117
LifePath 2030 Master Portfolio $13,822,020 $14,313,971
LifePath 2040 Master Portfolio $33,089,158 $34,394,414
S&P 500 Index Master Portfolio $77,673,939 $80,405,819
U.S. Treasury Allocation Master Portfolio $ 4,126,084 $ 4,194,751
</TABLE>
210
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
5. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
For the
For the Period from
Six Months For the For the May 26, 1994
Ended Year Ended Year Ended (commencement
August 31, 1997 February 28, February 29, of operations) to
(Unaudited) 1997 1996 February 28, 1995
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asset Allocation Master
Portfolio 30% 43% 40% 23%
Bond Index Master
Portfolio 25% 39% 21% 37%
LifePath 2000 Master
Portfolio 14% 108% 84% 17%
LifePath 2010 Master
Portfolio 21% 73% 39% 24%
LifePath 2020 Master
Portfolio 21% 61% 49% 28%
LifePath 2030 Master
Portfolio 12% 42% 39% 40%
LifePath 2040 Master
Portfolio 18% 48% 29% 5%
S&P 500 Index Master
Portfolio 1% 4% 2% 5%
U.S. Treasury Allocation
Master Portfolio 29% 196% 325% 87%
</TABLE>
The average commission rates paid by the Master Portfolios are as follows:
<TABLE>
<CAPTION>
For the
Six Months Ended For the
August 31, 1997 Year Ended
(Unaudited) February 28, 1997
- ---------------------------------------------------------------------
<S> <C> <C>
Asset Allocation Master Portfolio $0.0278 $0.0335
LifePath 2000 Master Portfolio $0.0300 $0.0401
LifePath 2010 Master Portfolio $0.0323 $0.0404
LifePath 2020 Master Portfolio $0.0300 $0.0451
LifePath 2030 Master Portfolio $0.0310 $0.0364
LifePath 2040 Master Portfolio $0.0307 $0.0351
S&P 500 Index Master Portfolio $0.0370 $0.0625
</TABLE>
211
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Managed Series Investment Trust ("MSIT") is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
MSIT was organized as a Delaware business trust pursuant to an Agreement and
Declaration of Trust dated October 26, 1993. MSIT currently offers the
following separate portfolios (the "Master Portfolios"): the Growth Stock and
Short-Intermediate Term Master Portfolios.
These Master Portfolios invest in a range of securities, generally including
money market instruments, equities and U.S. government securities. The
following significant accounting policies are consistently followed by MSIT in
the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting period.
Actual results could differ from those estimates.
SECURITY VALUATION
The equity securities of each Master Portfolio are valued at the last
reported 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 was no
last reported sales price, are valued at the most recent bid prices. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Debt securities, other than those maturing in 60
days or less, are valued at the latest quoted bid price. Any securities,
restricted securities or other assets for which market quotations are not
readily available, are valued at fair value as determined in good faith in
accordance with policies approved by MSIT's Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
dividend date, and interest income is recognized on a daily
212
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
accrual basis. Realized gains or losses are reported on the basis of identified
cost of securities delivered. Bond discounts and premiums are amortized as
required by the Internal Revenue Code of 1986, as amended (the "Code"').
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify as a partnership for federal income
tax purposes. Each Master Portfolio therefore believes that it will not be
subject to any federal income tax on its income and net realized capital gains
(if any). However, each investor in a Master Portfolio will be taxable on its
allocable share of the partnership's income and capital gains for purposes of
determining its federal income tax liability. The determination of such share
will be made in accordance with the applicable sections of the Code.
It is intended that each Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in
a Master Portfolio will be able to satisfy the requirements of Subchapter M of
the Code, assuming that the investment company invested all of its assets in
the corresponding Master Portfolio.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Portfolio of Investments. The adviser to the Master
Portfolios may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the adviser's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements entered into on August 31, 1997 by the Master Portfolios
are collateralized by U.S. Government Securities.
ORGANIZATION EXPENSES
Stephens, the co-administrator, sponsor and placement agent for the Master
Portfolios, has paid all expenses in connection with the Master Portfolios'
organization and initial registration.
213
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.60% and 0.45% of the average daily net assets of
the Growth Stock and Short-Intermediate Term Master Portfolios, respectively,
as compensation for advisory services. BGFA is an indirect subsidiary of
Barclays Bank PLC.
Wells Fargo Bank ("WFB") serves as sub-adviser to each Master Portfolio. As
sub-adviser, WFB is responsible for the day-to-day portfolio management of each
Master Portfolio. WFB is entitled to receive from BGFA an amount equal to 0.15%
and 0.10% of the average daily net assets of the Growth Stock and Short-
Intermediate Term Master Portfolios, respectively, as compensation for its sub-
advisory services.
Investors Bank & Trust Company ("IBT") serves as the custodian to each Master
Portfolio. IBT will not be entitled to receive fees for its custodial services
so long as it is entitled to receive a separate fee from BGI for its services
as Sub-Administrator of the MasterWorks Funds.
Certain fees have been waived by BGI for the Growth Stock Master Portfolio
for the six months ended August 31, 1997. Waived fees continue at the
discretion of BGI.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the six months ended August 31, 1997 were as follows:
<TABLE>
<CAPTION>
Short-
Intermediate
Aggregate Purchases Growth Stock Term
and Sales of: Master Portfolio Master Portfolio
- ---------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 0 $ 400,094
Sales proceeds 0 2,074,758
OTHER SECURITIES:
Purchases at cost 120,481,398 2,548,400
Sales proceeds 145,302,150 2,489,040
</TABLE>
214
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
For the
For the Period from
Six Months May 26, 1994
Ended For the For the (Commencement
August 31, Year Ended Year Ended of Operations) to
1997 February 28, February 29, February 28,
Master Portfolios (Unaudited) 1997 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth Stock Master
Portfolio 57% 129% 145% 93%
Short-Intermediate Term
Master Portfolio 26% 62% 105% 96%
</TABLE>
The average commission rate paid by the Growth Stock Master Portfolio was
$0.0615 for the six months ended August 31, 1997 and $0.0777 for the year ended
February 28, 1997.
215
<PAGE>
NOTES
<PAGE>
MasterWorks Funds
c/o Wells Fargo Bank, N.A.
Transfer Agent
525 Market Street
San Francisco, CA 94105
