<PAGE>
[ARTWORK APPEARS HERE]
February 28, 1997
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
(MasterWorks(TM) Funds)
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders.................................................... 1
Investment Adviser Discussion............................................. 2
MASTERWORKS FUNDS INC.
Money Market Fund Portfolio of Investments............................... 28
Statement of Assets and Liabilities...................................... 30
Statement of Operations.................................................. 34
Statements of Changes in Net Assets...................................... 38
Financial Highlights..................................................... 46
Notes to the Financial Statements........................................ 55
Independent Auditors' Report............................................. 62
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES INVESTMENT TRUST PORTFOLIOS
OF INVESTMENTS
Asset Allocation Master Portfolio........................................ 63
Bond Index Master Portfolio.............................................. 82
Growth Stock Master Portfolio............................................ 89
Master Investment Portfolio--LifePath Funds.............................. 96
S&P 500 Index Master Portfolio........................................... 172
Short-Intermediate Term Master Portfolio................................. 190
U.S. Treasury Allocation Master Portfolio................................ 192
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES
INVESTMENT TRUST
Statement of Assets and Liabilities...................................... 194
Statement of Operations.................................................. 198
Statements of Changes in Net Assets...................................... 202
Master Investment Portfolio Notes to the Financial Statements............ 210
Independent Auditors' Report............................................. 217
Managed Series Investment Trust Notes to the Financial Statements........ 218
Independent Auditors' Report............................................. 222
</TABLE>
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
<PAGE>
TO OUR SHAREHOLDERS
It has been another banner year ending February 28, 1997 for the domestic
equity markets. The recent rally in the equity markets was possibly one of the
longest sustained rallies in history and it remains to be seen whether the
markets can continue to rally during the current year. The domestic markets as
a whole had some rough spots, with the bond markets starting the year slowly,
but by the year-end most markets had posted gains.
. The U.S. stock market again led the way, posting remarkable returns. As
measured by the Standard and Poor's 500 Index, the U.S. Stock Market
returned 26.16%.
. The U.S. money market, as measured by 91-day U.S. Treasury bills,
returned 5.38%.
. The U.S. bond market, as measured by the Lehman Brothers Aggregate Bond
Index, returned 4.83%.
. Foreign stock markets, as measured by the Morgan Stanley Capital
International Europe/Australasia/Far East Index (MSCI/EAFE), returned
3.25%.
As we close the book on another year of fluctuating returns, investors should
remember their long term investment objectives. While one sector may look more
appealing than others due to the past year's performance, we must remember past
performance is no indication of future returns. Stick with your long-term
objectives if they continue to be appropriate. If your needs have changed then
reallocate as is necessary. Remember, successful investors stay focused on
their personal financial goals and do not change their investment plan solely
on the basis of short-term market swings.
MasterWorks Funds are conceived and managed to be a straight-forward and
cost-effective way to manage your long-term investment goals. We hope we have
been able to fulfill your expectations and that we will continue to do so in
the future. We appreciate your trust and look forward to helping you manage
your investment goals.
MASTERWORKS FAMILY OF FUNDS APRIL 1997
1
<PAGE>
ASSET ALLOCATION FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- -----------------------------------------
</TABLE>
<TABLE>
<S> <C>
One-Year 13.09%
Life of Fund (7/2/93-2/28/97) 12.06%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees to the Fund,
which has reduced operating expenses for shareholders. Without this reduction,
the Fund's returns would have been lower.
HOW HAS THE FUND PERFORMED OVER THE PAST 12-MONTH PERIOD?
The Asset Allocation Fund's return for the 12- month period ending February 28,
1997 was 13.09%. The Fund's net asset value (NAV) grew from $11.83 at February
29, 1996 to $12.12 by February 28, 1997, and the Fund paid a cumulative
dividend of approximately $0.47 per share and approximately $0.73 per share in
long-term capital gains for the period (12/31/95-12/31/96).
HOW HAS THE LAGGING BOND MARKET AFFECTED THE OVERALL PERFORMANCE OF THE FUND?
The bond asset class has consistently underperformed relative to the equity
sector. In the year ending February 28, 1997 stocks outperformed bonds by
approximately 21% as measured by comparing the S&P 500 Index with the Lehman
Brothers Government/Corporate Bond Index. The Fund went through several
rebalances over the year starting with a 60/40/0 (60% stocks/40% bonds/0% cash)
mix through most of the first half of the year and ending with a 40/60/0 mix.
The Fund was able to take advantage of the strong performance in the equity
market but in turn was negatively impacted by the lagging bond market. As
indicators such as yields began declining toward the end of the year the Fund's
trend was to increase its weight in bonds. The equity class continued its
growth through the end of the year while the bond market, even with a late
rally, continued to trail the equity sector significantly.
HOW HAS THE ASSET MIX CHANGED OVER THE YEAR? WHY?
Asset mix changes over the past 12 months were as follows:
<TABLE>
<CAPTION>
DATE OF ALLOCATION Stocks Bonds Cash
<S> <C> <C> <C>
3/11/96 60% 40% 0%
5/8/96 50% 50% 0%
8/5/96 40% 60% 0%
</TABLE>
2
<PAGE>
INVESTMENT ADVISER DISCUSSION
ASSET ALLOCATION FUND (CONTINUED)
The Fund's rebalances during the year were driven primarily by changes in the
long-bond yields. In the first five months of 1996, bond yields increased by
more than 100 basis points, while stock returns remained fairly static. During
this period, the Fund moved to a neutral position of 60/40/0 in stocks, bonds
and cash, respectively, and then to a slight overweighting of bonds of 50/50/0.
In August, the Fund was rebalanced from a 50/50/0 mix to 40/60/0. This was
primarily due to declining yields, as the Fed decided to leave the fed funds
target rate at 5.25%. Also, indications of a slowdown in the economy signaled a
further rally in the bond market toward the end of the year. While stocks
continued to rally in the last third of the year, consensus growth expectations
also rose, partially offsetting the apparent increased overvaluation. The Fund
remained allocated 40/60/0 at year end (February 28, 1997).
ARE THERE ANY PLANS FOR ENHANCING THE STRATEGIC APPROACH FOR THE FUND IN 1997?
We have refined the trading guidelines employed in the Asset Allocation model.
Beginning this March, we began the use of updated trading guidelines that allow
for greater efficiency in capturing the return information identified by the
model. The most apparent refinement of the new guidelines is that we will now
rebalance the Fund's mix in 5% increments as opposed to 10% increments. This
allows the Fund to invest in a mix of assets closer to the model's optimal mix.
Another aspect of the new guidelines surrounds the timing of rebalances.
Whereas the previous guidelines required that a recommended mix change of 10%
persist for two full months before a rebalance, the new guidelines state that
if the strategy recommends a mix change of 10%, we will endeavor to immediately
execute a mix change of 5% and rebalance the Fund accordingly. If the remaining
5% recommendation persists for one month without becoming a 10% recommendation,
then we will seek to execute that 5% rebalance.
WITH THE S&P 500 PERFORMING AT OR NEAR RECORD LEVELS, WHAT MAKES THE FUND
ATTRACTIVE?
Even with the S&P 500's performance over the past two years, investors must
remember past performance is no indication of future returns. The Fund provides
a diversified vehicle across asset classes to investors, enabling them to take
advantage of strong class performances while still giving the investor a
certain level of risk diversification. On a
3
<PAGE>
ASSET ALLOCATION FUND (CONTINUED)
risk-adjusted basis the Fund was able to realize much lower risk while still
matching the performance return of the benchmark. The Asset Allocation model
uses extensive financial data to constantly monitor the financial industry's
consensus in order to determine the optimal asset mix. These factors make it an
attractive option to those investors looking for a long-term investment.
GROWTH OF A $10,000 INVESTMENT
Asset Allocation Fund
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date Asset Allocation Fund S&P 500 Index Lipper Balanced Fund Index
---- --------------------- ------------- --------------------------
<S> <C> <C> <C>
10000 10000 10000
Sep-93 10467 10258 10366
Dec-93 10539 10489 10474
Mar-94 10129 10109 10169
Jun-94 9972 10151 10093
Sep-94 10158 10640 10386
Dec-94 10282 10636 10277
Mar-95 11045 11612 10881
Jun-95 11958 12567 11581
Sep-95 12418 13362 12118
Dec-95 12931 13964 12565
Mar-96 13069 14501 12789
Jun-96 13281 14950 12992
Sep-96 13440 15259 13254
Dec-96 14074 16093 13811
Feb-97 14307 16801 14155
</TABLE>
CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE FUND COMPARED WITH VARIOUS
INDICES.
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. The preceding chart shows
the performance of the Fund since inception compared with the S&P 500 Index and
the Lipper Balanced Fund Index. The chart assumes a hypothetical $10,000
initial investment in the Fund, reinvestment of dividends and capital gain
distributions at net asset value, and reflects all Fund expenses. Past
performance is not predictive of future results. The S&P 500 Index is an
unmanaged index of stocks comprised of 500 industrial, financial, utility and
transportation companies, "Standard & Poor's(R)", "Standard & Poor's 500", and
"S&P 500" are trademarks of McGraw-Hill, Inc. The Lipper Balanced Fund Index is
a net asset value weighted index of the 30 largest balanced Funds tracked by
Lipper Analytical Services; performance is net of all fees and expenses except
for sales charges. Investors should note that the Fund is a professionally
managed mutual fund while the S&P 500 Index and the Lipper Balanced Fund Index
are
4
<PAGE>
INVESTMENT ADVISER DISCUSSION
ASSET ALLOCATION FUND (CONTINUED)
unmanaged indices, do not incur expenses and are not available directly for
investment. If operating expenses such as the Fund's had been applied to the
indices, the indices' comparative performance would have been lower.
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.
5
<PAGE>
BOND INDEX FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- ----------------------------------------------------------------
One-year 4.32%
Life Of Fund (7/2/93-2/28/97) 5.10%
</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 MARKET AND ECONOMIC CONDITIONS CONTRIBUTED TO THE OVERALL PERFORMANCE OF
THE BOND MARKET AND THE FUND?
1996 was a year of increasing interest rates, low unemployment, and relatively
strong growth in the economy. Early in the year, we received surprisingly high
employment figures and high growth numbers. This created anxiety that the
Federal Reserve, in an effort to rein in inflation, would tighten credit and
increase the fed funds target rate. The anticipated increase never happened.
The bond market experienced some volatility through the year as investors
attempted to predict the Fed's activities. Long bond yields increased from 6%
to above 7% by September. This uncertainty settled down as the calendar year
ended, with yields dropping below 6.5%. Fears of increased rates were revived
early in 1997 with comments Alan Greenspan made indicating he had concerns the
economy was overheating. The long bond backed up to over 6.8%. The net impact
on the bond market was increasing yields and lower prices. Relative to the
prior three years, the change in yields seen in 1996 was not large. Long bond
yields increased about 0.50% in 1996, as compared to an increase of 1.70% in
1995, a decrease of 1.50% in 1994, and an increase of 1.00% in 1993. Due to the
rise in interest rates, the bond market total return was 4.8% with coupon
payments totaling about 6.8% outweighing price declines of 2%.
TOWARD THE END OF THE YEAR THE BOND MARKET EXPERIENCED A SLIGHT REBOUND. WHAT
WERE THE FACTORS THAT CONTRIBUTED TO THIS MOVEMENT?
In September, after months of consecutive yield increases, the bond market
rallied as the Fed again decided to leave the fed funds target rate at 5.25%.
Additional support for the year end rally came in November with reports of a
slowdown in the economy.
6
<PAGE>
INVESTMENT ADVISER DISCUSSION
BOND INDEX FUND (Continued)
With another slow start in January, what is the outlook in the bond market in
1997?
The bond market will continue to react to reports of strong economic growth
with fears of rate increases. In spite of concern to the contrary by investors,
in 1996 the Fed took a relatively hands-off approach to managing growth with
monetary policy. If 1997 brings continued steady growth, we can probably expect
some tightening of credit, with the related decrease in the bond market. All
signals at this time indicate that any decrease would be moderate.
How did the long-term and short-term interest rates affect the bond market in
1996? How would a rate change affect the Fund in 1997?
Both long and short-term interest rates increased over the prior 12 months. In-
termediate rates rose by over 0.90% while long-term rates rose 0.80%. We saw a
general flattening of the yield curve over the year, which is common in a ris-
ing interest rate environment.
If interest rates rise, the price of existing bonds in the Fund will fall. Cou-
pon payments of existing bonds in the Fund will not be impacted. New bonds
added to the Fund will be purchased at higher coupon rates and higher expected
yields. However, if interest rates fall, the market value of the bonds in the
Fund's portfolio and hence the value of the Fund will rise. Coupon payments
will again remain the same for existing bonds. Indicators are pointing toward a
tightening of the money supply which may lead to a slight increase in the fed-
eral funds rate.
Growth of a $10,000 Investment
Bond Index Fund
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers
Govt/Corp Bond Index Bond Index Fund
<S> <C> <C>
10000 10000
Sep-93 10332 10281
Dec-93 10303 10232
Mar-94 9988 9945
Jun-94 9864 9783
Sep-94 9914 9827
Dec-94 9951 9854
Mar-95 10449 10342
Jun-95 11097 10992
Sep-95 11288 11163
Dec-95 11754 11620
Mar-96 11520 11364
Jun-96 11567 11395
Sep-96 11743 11565
Dec-96 12049 11839
Feb-97 12082 11882
</TABLE>
7
<PAGE>
BOND INDEX FUND (CONTINUED)
CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BOND INDEX FUND COMPARED WITH
THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX.
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. The preceding chart shows
the performance of the Bond Index Fund since inception compared with the Lehman
Brothers Government/Corporate Bond Index. The chart assumes a hypothetical
$10,000 initial investment in the Fund, reinvestment of dividends and capital
gain distributions at net asset value, and reflects all Fund expenses. Past
performance is not predictive of future results. The Lehman Brothers
Government/ Corporate Bond Index includes substantially all significant issues
in the U.S. bond market, including government and corporate bonds, mortgage-
backed securities, and asset-backed securities. Investors should note that the
Fund is a professionally managed mutual fund while the Lehman Brothers
Government/Corporate Bond Index is an unmanaged index, does not incur expenses
and is not available directly for investment. If operating expenses such as the
Fund's had been applied to this index, its performance would have been lower.
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.
8
<PAGE>
INVESTMENT ADVISER DISCUSSION
GROWTH STOCK FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- ----------------------------------------------------------------
One-year -3.46%
Life Of Fund (7/2/93-2/28/97) 14.76%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase or decrease in value of an investment over the indicated peri-
ods assuming reinvestment of dividends and capital gain distributions at net
asset value. Past performance is not predictive of future results. The invest-
ment return and principal value of shares of the Fund will fluctuate with mar-
ket conditions so that shares of the Fund, when redeemed, may be worth more or
less than their original cost.
The Fund's manager has voluntarily waived portions of its fees or has reim-
bursed expenses to the Fund, which has reduced operating expenses for share-
holders. Without this reduction, the Fund's returns would have been lower.
WHAT WERE SOME OF THE FACTORS THAT CONTRIBUTED TO THE FUND'S PERFORMANCE?
The performance of the Fund was affected by a number of factors. A major influ-
ence was, and continues to be, the overwhelming preference by investors for
larger cap, very liquid issues with very predictable earnings. Smaller cap
emerging growth companies have been out of favor since late summer of 1996.
Other factors affecting the performance included:
. There were an unusual number of earnings disappointments in October (this
has improved in 1997);
. The portfolio was under-exposed to the semi-conductors sector and over-
exposed to the technology/telecommunications sector. We have since added
to our semi-conductor sector, but we continue to believe that the growth
in the telecommunications sector will remain robust in 1997;
. Smaller health care issues performed very poorly in October due to fears
of further health care reform (this trend has improved);
. Since late January there has been a significant multiple contraction in
the technology sector (mainly due to earnings concerns in the networking
industry);
. The oil service sector was hit very hard in the latter part of February on
concerns over the decline in the price of oil (the sector has rebounded
and is now doing better); and
. Currently the market is moving away from growth stocks in general, both
small and large cap. This trend is much like what
9
<PAGE>
GROWTH STOCK FUND (CONTINUED)
happened in early 1994 and during the second half of 1990. Part of the
current sell off is interest related. However, for the most part, the
selling is simply fear of lower stock prices over the near term.
WITH THE TECHNOLOGY STOCKS TAKING A BEATING TOWARD THE END OF 1996 AND THE
BEGINNING OF THIS YEAR, ARE THERE ANY PLANS TO ALTER THE INVESTMENT APPROACH
FOR 1997?
There are no plans to alter significantly our exposure to the technology sector
in general. However, we will emphasize different areas inside this sector. At
the present time we feel that semi-conductor issues and data storage companies
offer great potential throughout the current year. Though the Datacom companies
have been quite weak early in 1997, we feel these companies will reaccelerate
later in the year.
ARE THERE ANY SECTORS THAT ARE EXPECTED TO BE ESPECIALLY STRONG IN 1997?
We feel that the technology industry will continue to offer many growth
opportunities for investors in the coming years. Telecommunications, better
computers, more productive software and better ways to receive and utilize
information all present opportunities for future growth in the technology
industry. The demand for better and more timely information in the healthcare
industry is another huge area of potential growth for some technology
companies.
Other sectors of the market that we feel offer exceptional investment values
for the rest of 1997 include the oil service sector and the bio-technology
sector.
10
<PAGE>
INVESTMENT ADVISER DISCUSSION
GROWTH STOCK FUND (CONTINUED)
GROWTH OF A $10,000 INVESTMENT
Growth Stock Fund
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date Growth Stock S&P 500 Index NASDAQ Index
---- ------------ ------------- ------------
<S> <C> <C> <C>
10000 10000 10000
Sep-93 11050 10258 10836
Dec-93 11312 10489 11020
Mar-94 10849 10109 10591
Jun-94 10392 10151 10087
Sep-94 11370 10640 10913
Dec-94 11637 10638 10752
Mar-95 12435 11612 11620
Jun-95 14012 12567 13042
Sep-95 15339 13362 14221
Dec-95 15102 13964 14303
Mar-96 15795 14501 14771
Jun-96 16746 14950 15530
Sep-96 16691 15259 15884
Dec-96 16317 16093 16407
Feb-97 15501 16801 16549
</TABLE>
CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE GROWTH STOCK FUND COMPARED WITH
VARIOUS INDICES.
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. The preceding chart shows
the performance of the Growth Stock Fund since inception compared with the S&P
500 Index and the NASDAQ over-the-counter ("OTC") Composite Index. The chart
assumes a hypothetical $10,000 initial investment in the Fund, reinvestment of
dividends and capital gain distributions at net asset value, and reflects all
Fund expenses. Past performance is not predictive of future results. The S&P
500 Index is an unmanaged index of stocks comprised of 500 industrial,
financial, utility and transportation companies, "Standard & Poor's(R)",
"Standard & Poor's 500", and "S&P 500" are trademarks of McGraw-Hill, Inc. The
NASDAQ Over-the-Counter Composite Index is a value-weighted index calculated on
price change, not including income, of over 4,500 stocks traded over the
counter. Investors should note that the Fund is a professionally managed mutual
Fund while the S&P 500 Index and the NASDAQ OTC Composite Index are unmanaged
indices, do not incur expenses and are not available directly for investment.
If operating expenses such as the Fund's had been applied to the indices, the
indices' comparative performance would have been lower.
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 and sub-advised by
Wells Fargo Bank, N.A.
11
<PAGE>
LIFEPATH(R) FUNDS
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- -----------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Life of Fund
One Year (3/1/94-2/28/97)
-------- ----------------
<S> <C> <C>
LifePath 2000 7.00% 7.44%
LifePath 2010 11.98% 11.55%
LifePath 2020 15.06% 13.96%
LifePath 2030 17.37% 15.86%
LifePath 2040 20.47% 18.05%
</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.
HOW HAVE THE FUNDS PERFORMED IN 1996 IN TERMS OF THEIR OVERALL STRATEGY OF
RETURN GROWTH VERSUS PRICE STABILITY?
According to the risk/return objective associated with the LifePath Funds, the
potential returns are related to the risk an investor is willing to accept and
stability in price they require. Thus, with the equity markets continuing to
soar in 1996 the Fund that is most heavily weighted in equity securities had
the greatest return (i.e. LifePath 2040 Fund). The Funds generally have been
performing in the manner they have been designed, which is to seek to offer
greater stability in price and lower risk for shorter-term horizons while
offering higher potential returns at a higher potential risk for longer-term
horizons. Over the past year the Funds have consistently outperformed their
internally calculated benchmarks.
ARE THERE ANY PLANS OF ENHANCING OR CHANGING ANY OF THE ASSET MIXES OVER THE
COMING YEAR?
As each LifePath Fund approaches its target date the assets in its portfolio
will gradually switch to a more price stable lower risk profile. Thus, each
Fund tends to invest a greater percentage of its portfolio in bonds and money
market securities as it approaches its respective target date.
12
<PAGE>
INVESTMENT ADVISER DISCUSSION
LIFEPATH(R) FUNDS (CONTINUED)
THE LIFEPATH FUNDS EMPLOY BOTH TACTICAL AND STRATEGIC ASSET ALLOCATION
TECHNIQUES. CAN YOU EXPLAIN THOSE TERMS? WHICH IS THE DOMINANT APPROACH?
LifePath Funds have two general techniques that they employ when investing
assets in their portfolios. The Strategic portion refers to the investment
approach of taking into account the different target dates for each of the
Funds. The strategy in general, moves away from the more risky classes (i.e.
domestic and international equity) and more into bonds and money market
instruments for a more stable price as the target date approaches. This portion
makes up approximately 75% of the overall investment strategy. The other
portion is the Tactical side which incorporates a 100/0/0 Tactical Asset
Allocation model (stocks/bonds/cash) with a Tactical Bond Allocation model
(bonds/notes/bills). The Tactical Bond portion in turn makes up approximately
25% of the bond portion of the 100/0/0 Tactical Asset Allocation model. These
models take into account the different market indicators and financial data and
allocates the different classes accordingly.
THE EQUITY SECURITIES IN THE FUNDS' PORTFOLIOS CONSIST OF VALUE AND GROWTH
SECURITIES. WHAT DOES THIS MEAN? ARE THERE SEASONAL SWITCHES BETWEEN THE TWO,
OR IS ONE FAVORED OVER THE OTHER BASED ON THE BUSINESS CYCLE?
Companies considered to be "growth" stocks are usually in the growth part of
their business cycle where their primary goal is capital appreciation. These
companies usually reinvest most of their earnings for expansion, research or
development. In turn, "value" stocks tend to be associated with companies in a
more mature phase of their business cycle, paying substantial dividends, and
having lower PE ratios. They also tend to trade more at their book values.
These are considered less risky, but also have a lower expected return as
opposed to growth stocks which are inclined to have higher expectations for
return but at a higher risk. In regards to the LifePath Funds, they have a
relatively neutral stance on growth and value stocks, except for LifePath 2040
which is tilted slightly toward growth. Thus, there is no active consideration
of favoring one over the other.
CAN YOU ILLUSTRATE HOW TACTICAL ASSET ALLOCATION WAS EMPLOYED IN THE MODELS
LAST YEAR?
Beginning the year, the Tactical Asset Allocation portion of the Funds' model
was allocated heavily in stocks (100/0/0; stocks/bonds/cash). As
13
<PAGE>
LIFEPATH(R) FUNDS (CONTINUED)
the year progressed, however, the Funds' optimal model of risk versus return
indicated that the spread of expected return between classes was lessening. If
expected returns spread between stocks and bonds is closer it makes investing
in bonds more attractive as they generally are associated with less risk. The
Funds therefore, increased their weight in bonds and changed the allocation to
70/30/0 and are currently invested at 60/40/0. As for the Tactical bonds
portion, the allocation progressed from 0/100/0 (bonds/notes/bills) to its
current position of 0/80/20. This is because of expectations that the Federal
Reserve would be raising interest rates. The longer term bonds are subject to
more interest rate risk thus making it more advantageous for shorter-term notes
and bills.
GROWTH OF A $10,000 INVESTMENT
LifePath 2000
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date Lipper Balanced S&P 500 Index LifePath 2000
---- --------------- ------------- -------------
<S> <C> <C> <C>
10,000 10,000 10,000
3/31/94 9,637 9,564 9,855
6/30/94 9,561 9,606 9,763
9/30/94 9,854 10,095 9,879
12/31/94 9,745 10,093 9,826
3/31/95 10,349 11,067 10,339
6/30/95 11,049 12,022 10,873
9/30/95 11,586 12,817 11,147
12/31/95 12,033 13,419 11,463
3/31/96 12,257 13,956 11,491
6/30/96 12,460 14,405 11,586
9/30/96 12,722 14,714 11,772
12/31/96 13,279 15,548 12,085
2/28/97 13,623 16,256 12,196
</TABLE>
GROWTH OF A $10,000 INVESTMENT
LifePath 2010
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date Lipper Balanced S&P 500 Index LifePath 2010
---- --------------- ------------- -------------
<S> <C> <C> <C>
10,000 10,000 10,000
3/31/94 9,637 9,564 9,838
6/30/94 9,561 9,606 9,759
9/30/94 9,854 10,095 9,902
12/31/94 9,745 10,093 9,849
3/31/95 10,349 11,067 10,533
6/30/95 11,049 12,022 11,234
9/30/95 11,586 12,817 11,661
12/31/95 12,033 13,419 12,062
3/31/96 12,257 13,956 12,239
6/30/96 12,460 14,405 12,435
9/30/96 12,722 14,714 12,641
12/31/96 13,279 15,548 13,099
2/28/97 13,623 16,256 13,363
</TABLE>
14
<PAGE>
INVESTMENT ADVISER DISCUSSION
GROWTH OF A $10,000 INVESTMENT
LifePath 2020
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
DATE LIPPER BALANCED S&P 500 INDEX LIFEPATH 2020
---- --------------- ------------- -------------
<S> <C> <C> <C>
10,000 10,000 10,000
3/31/94 9,637 9,564 9,810
6/30/94 9,561 9,606 9,750
9/30/94 9,854 10,095 9,918
12/31/94 9,745 10,093 9,876
3/31/95 10,349 11,067 10,647
6/30/95 11,049 12,022 11,433
9/30/95 11,586 12,817 11,943
12/31/95 12,033 13,419 12,385
3/31/96 12,257 13,956 12,638
6/30/96 12,460 14,405 12,890
9/30/96 12,722 14,714 13,107
12/31/96 13,279 15,548 13,682
2/28/97 13,623 16,256 14,029
</TABLE>
GROWTH OF A $10,000 INVESTMENT
LifePath 2030
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
DATE LIPPER BALANCED S&P 500 INDEX LIFEPATH 2030
---- --------------- ------------- -------------
<S> <C> <C> <C>
10,000 10,000 10,000
3/31/94 9,637 9,564 9,711
6/30/94 9,561 9,606 9,607
9/30/94 9,854 10,095 9,885
12/31/94 9,745 10,093 9,864
3/31/95 10,349 11,067 10,701
6/30/95 11,049 12,022 11,595
9/30/95 11,586 12,817 12,165
12/31/95 12,033 13,419 12,675
3/31/96 12,257 13,956 12,967
6/30/96 12,460 14,405 13,271
9/30/96 12,722 14,714 13,501
12/31/96 13,379 15,548 14,158
2/28/97 13,623 16,256 14,562
</TABLE>
GROWTH OF A $10,000 INVESTMENT
LifePath 2040
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
DATE LIPPER BALANCED S&P 500 INDEX LIFEPATH 2040
---- --------------- ------------- -------------
<S> <C> <C> <C>
10,000 10,000 10,000
3/31/94 9,637 9,564 9,652
6/30/94 9,561 9,606 9,620
9/30/94 9,854 10,095 9,990
12/31/94 9,745 10,093 9,968
3/31/95 10,349 11,067 10,846
6/30/95 11,049 12,022 11,742
9/30/95 11,586 12,817 12,390
12/31/95 12,033 13,419 12,891
3/31/96 12,257 13,956 13,304
6/30/96 12,460 14,405 13,703
9/30/96 12,722 14,714 13,950
12/31/96 13,279 15,548 14,643
2/28/97 13,623 16,256 15,147
</TABLE>
15
<PAGE>
CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE LIFEPATH FUNDS COMPARED WITH
VARIOUS INDICES.
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. The preceding charts show
the performance of the LifePath Funds since inception compared with the S&P 500
Index and the Lipper Balanced Fund Index. The charts each assume a hypothetical
$10,000 initial investment in each fund, reinvestment of dividends and capital
gain distributions at net asset value, and reflect all Fund expenses. Past
performance is not predictive of future results. The S&P 500 Index is an
unmanaged index of stocks comprised of 500 industrial, financial, utility and
transportation companies, "Standard & Poor's(R)", "Standard & Poor's 500", and
"500" are trademarks of McGraw-Hill, Inc. The Lipper Balanced Fund Index is a
net asset value weighted index of the 30 largest balanced funds tracked by
Lipper Analytical Services; performance is net of all fees and expenses except
for sales charges. Investors should note that each Fund is a professionally
managed mutual fund while the S&P 500 Index and the Lipper Balanced Fund Index
are unmanaged indices, do not incur expenses and are not available directly for
investment. If operating expenses such as the Funds' had been applied to the
indices, the indices' comparative performance would have been lower.
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.
16
<PAGE>
INVESTMENT ADVISER DISCUSSION
ASSET CLASS MIX
AS OF 2/28/97
<TABLE>
- ----------------------------------------------------------------------------
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
STOCKS 2000 2010 2020 2030 2040
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Large Capitalization--
Value 3.10% 13.73% 19.63% 23.46% 26.24%
- ----------------------------------------------------------------------------
Large Capitalization--
Growth 3.28 13.98 19.95 24.38 32.56
- ----------------------------------------------------------------------------
Medium Capitalization--
Value 3.67 3.38 4.01 4.67 5.40
- ----------------------------------------------------------------------------
Medium Capitalization--
Growth 2.70 2.66 3.13 3.75 4.31
- ----------------------------------------------------------------------------
Small Capitalization--
Value 0.13 0.09 0.15 0.16 0.16
- ----------------------------------------------------------------------------
Small Capitalization--
Growth 0.44 0.30 0.49 0.53 0.50
- ----------------------------------------------------------------------------
Micro Capitalization 0.24 0.34 0.49 0.61 0.62
- ----------------------------------------------------------------------------
Utilities 0.61 0.41 0.45 0.53 0.30
- ----------------------------------------------------------------------------
Japan 1.29 2.96 3.86 4.67 5.18
- ----------------------------------------------------------------------------
International (except
Japan) 5.78 8.20 11.21 13.45 14.20
- ----------------------------------------------------------------------------
BONDS
- ----------------------------------------------------------------------------
Long-Term Government 2.48 5.33 11.53 19.23 9.65
- ----------------------------------------------------------------------------
Long-Term Corporate 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------
Intermediate-Term
Government 72.58 45.77 23.37 3.51 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 3.70 2.85 1.73 1.05 0.88
- ----------------------------------------------------------------------------
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.
17
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
18
<PAGE>
INVESTMENT ADVISER DISCUSSION
MONEY MARKET FUND
<TABLE>
<S> <C>
7-Day
PERFORMANCE AS OF 2/28/97 yield
- --------------------------------
</TABLE>
<TABLE>
<S> <C>
5.10%
</TABLE>
The 7-Day Yield is an annualized yield for the seven day period ended February
28, 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?
Federal Reserve Chairman Alan Greenspan has made numerous comments about his
concern for the relatively high level of stock prices. These comments generally
have been interpreted by the market to imply that the Fed will raise interest
rates to dampen any speculation in the stock market. This caused rates to rise
in expectation of a Fed tightening. At the end of March 1997 the anticipated
increase in the fed funds rate occurred, with only a modest increase of 0.25%
to 5.50%.
Interest rates in general increased over the prior twelve months. Intermediate
rates rose by over 0.90% while long-term rates rose 0.80%. We saw an overall
flattening of the yield curve over the year, which is common in a rising
interest rate environment. With the fed funds target rate change in effect, we
can expect yields to rise more in response to the lower prices of existing
debt. The Fund has been able to take advantage of these higher rates through
floating-rate holdings and maturing securities which are reinvested at higher
rates.
WHAT TYPES OF INVESTMENTS ARE IN THE PORTFOLIO OF THE FUND AND WHAT IS THE
SHORT-TERM ECONOMIC FORECAST FOR 1997 AND HOW WILL THAT AFFECT THE FUND?
The Fund currently holds investments in commercial paper, domestic and yankee
CD's, bank notes, medium-term notes , and U.S. Treasury and agency securities.
The Fund also holds about 23% of its portfolio in floating-rate notes.
The Fund's strategy for the remainder of 1997 calls for average maturities
being neutral to benchmarks, with the expectation that the next policy move by
the Federal Reserve will be to raise the fed funds target rate, although the
timing of any interest rate hike remains unclear.
19
<PAGE>
S&P 500 STOCK FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- ----------------------------------------------------------------
One-year 25.82%
Life Of Fund (7/2/93-2/28/97) 18.13%
</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 12-MONTHS ENDED FEBRUARY 1997?
The total return of the S&P 500 Stock Fund for the 12 months ended February 28,
1997 was 25.82%. The Fund's net asset value (NAV) grew from $14.02 at February
29, 1996 to $17.03 by February 28, 1997, and the Fund paid a cumulative
dividend of approximately $0.32 per share (as of 12/31/96) in dividends and
approximately $0.22 per share in capital gains for the period (12/31/95-
12/31/96). Of course past performance is no guarantee of future results.
WHAT ECONOMIC AND MARKET FACTORS CONTRIBUTED TO THIS STRONG PERFORMANCE?
The rally in the U.S. stock market, which started in 1991, is becoming one of
the longest rallies ever recorded. This strong performance largely has been
driven by large cap stocks. The stock market in 1996 was driven by expansion in
price/earnings multiples, instead of strong increases in corporate earnings as
was the case in 1995.
WITH THE EQUITY MARKET CONTINUING ITS CLIMB IN THE BEGINNING OF 1997, CAN WE
EXPECT ANOTHER YEAR OF ABOVE AVERAGE GROWTH IN THIS ASSET CLASS?
The five year annualized total return of the S&P 500 Index for the period end-
ing February 28, 1997 was 16.94%, but this covers the duration of the recent
bull market. The consensus in the market seems to be that 1997 will be a year
of modest but steady growth. However, the return in any given year will fluctu-
ate with market conditions so that shares of the Fund may be worth more or less
than their original cost.
20
<PAGE>
INVESTMENT ADVISER DISCUSSION
S&P 500 STOCK FUND (CONTINUED)
WERE THERE ANY MAJOR ADDITIONS OR DELETIONS TO THE S&P 500 INDEX IN 1996?
Standard and Poor's regularly adjusts the Index to reflect not only mergers and
acquisitions, but also to reflect the composition of the economy as a whole. In
1996 there have been 21 major additions and 16 major deletions to the Index.
There were fewer deletions than additions due to mergers. The companies are as
follows:
MAJOR ADDITIONS: MAJOR DELETIONS:
Case Corp. Cray Research
Bay Networks Dial Corp.
Fifth Third Outboard Marine
Bancorp Community Psychiatric Centers
Green Tree Finan- Yellow Corp.
cial Consolidated Freightways
EMC Corp. Luby's Cafeterias
General Instru- Ryan's Family Steakhouses
ment Shoney's Inc.
WorldCom Inc. Varity Corp.
Aon Corp. Ogden Corp.
MGIC Investment Brown Group
Battle Mountain U.S. Healthcare
Gold Loral Corp.
Seagate Technol- Handleman Co.
ogy Pittston Services Group
HFS Inc.
Dell Computer
Lucent Technolo-
gies
Union Pacific Re-
sources Group
Cognizant Corp.
MBIA Inc.
Guidant Corp.
AutoZone Inc.
Frontier Corp.
Thermo Electron
21
<PAGE>
S&P 500 STOCK FUND (CONTINUED)
GROWTH OF A $10,000 INVESTMENT
S & P 500 Stock Fund
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S&P 500 Index S&P 500 Fund
------------- --------------
<S> <C> <C>
10,000 10,000
Sep-93 10,258 10,347
Dec-93 10,489 10,562
Mar-94 10,109 10,192
Jun-94 10,151 10,193
Sep-94 10,640 10,657
Dec-94 10,638 10,657
Mar-95 11,612 11,618
Jun-95 12,567 12,565
Sep-95 13,362 13,357
Dec-95 13,964 13,948
Mar-96 14,501 14,488
Jun-96 14,950 14,928
Sep-96 15,259 15,225
Dec-96 16,093 16,048
Feb-97 16,801 16,752
</TABLE>
CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE S&P 500 STOCK FUND COMPARED WITH
THE S&P 500 INDEX.
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. The preceding chart shows
the performance of the S&P 500 Stock Fund since inception compared with the S&P
500 Index. The chart assumes a hypothetical $10,000 initial investment in the
Fund, reinvestment of dividends and capital gain distributions at net asset
value, and reflects all Fund expenses. Past performance is not predictive of
future results. The S&P 500 Index is an unmanaged index of stocks comprised of
500 industrial, financial, utility and transportation companies, "Standard &
Poor's(R)", "Standard & Poor's 500", and "S&P 500" are trademarks of McGraw-
Hill, Inc. Investors should note that the Fund is a professionally managed
mutual fund while the S&P 500 Index is an unmanaged index, does not incur
expenses, and is not available directly for investment. If operating expenses
such as the Fund's had been applied to the S&P 500 Index, this Index's
comparative performance would have been lower.
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.
22
<PAGE>
INVESTMENT ADVISER DISCUSSION
SHORT-INTERMEDIATE TERM FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- ----------------------------------------------------------------
One-year 4.29%
Life Of Fund (7/2/93-2/28/97) 4.49%
</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.
HOW DID THE ECONOMY AFFECT THE INTERMEDIATE BOND MARKET OF THE PAST YEAR? HOW
HAVE THE LONG-TERM AND SHORT-TERM INTEREST RATES AFFECTED THE BOND MARKET?
Throughout 1996, U.S. economic growth as measured by the Gross National Product
ranged between 2.00% and 4.70%, with the year-over-year change coming in at
3.2%. This was higher than the Federal Reserve's targeted growth rate of 2.5%
and resulted in interest rates increasing across the yield curve. Ten year
treasury notes rose 60 basis points and two year treasury notes rose 66 basis
points to yield 6.41% and 5.87%, respectively.
Both long and short-term interest rates rose in 1996 leading to principal
erosion of fixed income securities. Five year treasury notes returned 2.47%
while 30 year bonds returned -3.26%.
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 economic strength seen at the end of the fourth quarter to
continue into 1997. Toward the end of March the expected hike in the fed funds
target rate occurred. The Fed raised the rate a moderate 0.25% to 5.50% in an
effort to tighten the money supply. Long-term rates are likely to continue
trading in a range of 6.25% to 7.25% over the remainder of 1997. The Fund's
duration will remain neutral to the Lehman Brothers Intermediate
Government/Corporate Bond Index at 3.26 years. While spreads are narrow within
the corporate bond sector, fundamentals remain strong. The Fund's corporate
exposure will remain at 15%-30%. With interest rates trading in a range,
mortgage pass-through securities have performed well and will continue to be a
core holding at 15%-25%.
23
<PAGE>
SHORT-INTERMEDIATE TERM FUND (CONTINUED)
GROWTH OF A $10,000 INVESTMENT
Short-Intermediate Term Fund
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers Intermediate
Government/Corporate Bond Index Short Intermediate Term Fund
<S> <C> <C>
10,000 10,000
Sep-93 10,331 10,224
Dec-93 10,302 10,198
Mar-94 9,989 9,952
Jun-94 9,865 9,866
Sep-94 9,914 9,929
Dec-94 9,951 9,914
Mar-95 10,449 10,304
Jun-95 11,098 10,801
Sep-95 11,289 10,954
Dec-95 11,755 11,296
Mar-96 11,521 11,149
Jun-96 11,568 11,183
Sep-96 11,744 11,349
Dec-96 12,050 11,591
Feb-97 11,964 11,647
</TABLE>
CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE SHORT-INTERMEDIATE TERM FUND
COMPARED WITH THE LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX.
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. The preceding chart shows
the performance of the Short-Intermediate Term Fund since inception compared
with the Lehman Brothers Intermediate Government/Corporate Bond Index. The
chart assumes a hypothetical $10,000 initial investment in the Fund,
reinvestment of dividends and capital gain distributions at net asset value,
and reflects all Fund expenses. Past performance is not predictive of future
results. The Lehman Brothers Intermediate Government/Corporate Bond Index
includes all publicly-issued U.S. Treasury, agency and government-guaranteed
corporate debt, and corporate debt, with a remaining maturity of between 1 and
9.99 years that is fixed-rate, non-convertible, investment grade, dollar-
denominated, domestic and SEC registered, with a par amount outstanding of at
least $100 million. Investors should note that the Fund is a professionally
managed mutual fund while the Lehman Brothers Intermediate Government/Corporate
Bond Index is an unmanaged index, does not incur expenses and is not available
directly for investment. If operating expenses such as the Fund's had been
applied to this index, its performance would have been lower.
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 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 and sub-advised by Wells Fargo Bank,
N.A.
24
<PAGE>
INVESTMENT ADVISERS DISCUSSION
U.S. TREASURY ALLOCATION FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- ----------------------------------------------------------------
One-year 4.99%
Life Of Fund (7/2/93-2/28/97) 4.70%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's manager has voluntarily waived portions of its fees to the Fund,
which has reduced operating expenses for shareholders. Without this reduction,
the Fund's returns would have been lower.
HOW HAS THE CHANGE IN YIELD LEVELS AFFECTED THE FUND? WERE THERE ANY CHANGES IN
THE ALLOCATION STRATEGY IN 1996?
Rates have increased across the entire yield curve in the past 12 months. The
rate increases have lowered the price and the market value of the Fund. Coupon
payments have offset the price change, creating a positive return for the Fund
this year.
The composition of the Fund's portfolio changed from a 0/80/20
(bonds/notes/bills) allocation at the end of the year to 0/100/0 as a result of
the relative increase in 5-7 year note yields. We will continue to evaluate
opportunities on a daily basis, and changes made to our allocation in the Fund
will be made as per signals received from the strategy.
20+ TREASURY BOND'S PERFORMED VERY STRONGLY AT THE END OF THE YEAR. WHAT
ACCOUNTED FOR THIS RALLY AND WHAT IN TURN HAPPENED TO THE BOND MARKET?
Between September 1996 and December 1996, yields on the long-term bonds
decreased from 7.2% to 6.4%. This decrease can be attributed to economic
reports indicating a slow-down in the economy. In November, decreases in
housing starts and employment numbers relieved concerns that interest rates
would rise. In addition, after a full six months of concern that the Fed would
act to preempt inflationary pressure by increasing rates, with no action by the
Fed, investors began to believe that strong monetary policy actions were not
likely. The bond market rose through this period, but lost some of that gain in
January and February, when inflation fears again caused yields to rise.
25
<PAGE>
U.S. TREASURY ALLOCATION FUND (CONTINUED)
How did the portfolio's allocation change during the year in response to the
different market conditions?
The Fund alters its holdings in long-term Treasury bonds, intermediate-term
Treasury notes, and Treasury bills based on relative yield differences between
the securities. In the past 12 months, the Fund has reallocated only twice into
long bonds, holding the allocation for less than a month each time. The more
advantageous move in 1996 was into money market instruments. At one point the
Fund had moved 50% of its portfolio into money market instruments. After fees,
the Fund outperformed the Lehman Brothers Government/Corporate Bond Index by
0.16% due to these allocations.
GROWTH OF A $10,000 INVESTMENT
U.S. Treasury Allocation
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date Lehman Brothers Govt/Corp Bond Index U.S. Treasury Allocation
---- ------------------------------------ ------------------------
<S> <C> <C>
10,000 10,000
Sep-93 10,332 10,601
Dec-93 10,303 10,512
Mar-94 9,566 10,049
Jun-94 9,864 9,872
Sep-94 9,914 9,897
Dec-94 9,951 9,870
Mar-95 10,443 10,375
Jun-95 11,097 10,886
Sep-95 11,288 11,044
Dec-95 11,754 11,335
Mar-96 11,520 11,238
Jun-96 11,567 11,254
Sep-96 11,743 11,443
Dec-96 12,049 11,715
Feb-97 12,082 11,749
</TABLE>
CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE U.S. TREASURY ALLOCATION FUND
COMPARED WITH THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX.
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. The preceding chart shows
the performance of the U.S. Treasury Fund since inception compared with the
Lehman Brothers Government/Corporate Bond Index. The chart assumes a
hypothetical $10,000 initial investment in the Fund, reinvestment of dividends
and capital gain distributions at net asset value, and reflects all Fund
expenses. Past performance is not predictive of future results. The Lehman
Brothers Government/Corporate Bond Index includes substantially all significant
issues in the U.S. bond market, including government and corporate bonds,
mortgage-backed securities, and asset-backed securities.
26
<PAGE>
INVESTMENT ADVISERS DISCUSSION
U.S. TREASURY ALLOCATION FUND (CONTINUED)
Investors should note that the Fund is a professionally managed mutual fund
while the Lehman Brothers Government/Corporate Bond Index is an unmanaged
index, does not incur expenses and is not available directly for investment. If
operating expenses such as the Fund's had been applied to this index, its
performance would have been lower.
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.
27
<PAGE>
MONEY MARKET FUND--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT-12.43%
$7,000,000 American Express Centurion 5.32% 03/10/97 $ 7,000,000
5,000,000 Commerzbank International SA 5.80 01/15/98 5,001,259
2,000,000 Societe Generale (France) 5.72 10/30/97 2,001,407
5,000,000 Societe Generale (France) 6.13 09/12/97 5,012,746
3,000,000 Union Bank Of California 5.50 04/28/97 3,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT $ 22,015,412
COMMERCIAL PAPER-55.75%
$6,000,000 American Express Credit Corp 5.27% 05/28/97 $ 5,922,706
6,000,000 Asset Securitization Cooperative
Corp 5.32 04/07/97 5,967,194
4,000,000 Associates Corp 5.32 03/24/97 3,986,404
5,600,000 BHP Financial Inc 5.30 04/17/97 5,561,251
6,000,000 CC USA Corp 5.29 05/27/97 5,923,295
7,000,000 CIT Group Holdings 5.29 03/12/97 6,988,685
5,000,000 Corporate Receivable Corp 5.35 04/10/97 4,970,278
5,000,000 Fleet Funding 5.26 04/14/97 4,967,856
4,000,000 Ford Motor Credit Corp 5.32 04/04/97 3,979,902
5,000,000 General Electric Capital Corp 5.37 07/28/97 4,888,871
2,000,000 Goldman Sachs & Co 5.32 03/25/97 1,992,907
5,000,000 Goldman Sachs & Co 5.26 04/21/97 4,962,742
4,000,000 Merrill Lynch 5.33 04/04/97 3,979,864
7,000,000 Metropolitan Life Inc 5.26 03/11/97 6,989,772
3,000,000 National Australia Funding Inc 5.35 04/14/97 2,980,383
6,000,000 Pacific Gas & Electric Co 5.33 03/25/97 5,978,680
4,200,000 RTZ America Corp 5.40 03/21/97 4,187,400
4,000,000 Receivables Capital Corp 5.34 03/18/97 3,989,913
4,000,000 Student Loan Corp 5.25 03/20/97 3,988,917
4,000,000 Kingdom Of Sweden 5.30 03/05/97 3,997,645
2,500,000 Weyerhauser Com 5.26 04/21/97 2,481,371
------------
TOTAL COMMERCIAL PAPER $ 98,686,036
</TABLE>
28
<PAGE>
MONEY MARKET FUND--FEBRUARY 28, 1997
MONEY MARKET FUND--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY BILLS-2.81%
$5,000,000 U.S. Treasury Bills 5.03% 04/03/97 $ 4,976,214
------------
TOTAL U.S. TREASURY BILLS $ 4,976,214
VARIABLE & FLOATING RATE NOTES-26.71%
$6,500,000 Abbey National North America 5.51% 07/17/97 $ 6,495,515
6,000,000 Barclays Bank PLC* 5.37 02/20/98 5,997,171
5,000,000 Colorado National Bank 5.43 04/16/97 4,999,200
5,000,000 FCC National Bank 5.37 02/20/98 4,997,642
3,000,000 Federal Home Loan Bank 5.26 08/08/97 2,997,977
6,000,000 Federal Home Loan Bank 5.34 10/07/97 5,804,200
6,000,000 PHH Corp 5.44 09/22/97 6,000,000
7,000,000 PNC Funding Corp 5.34 10/01/97 6,997,299
3,000,000 Sony Capital Corp 5.50 08/29/97 2,999,238
------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
TOTAL VARIABLE & FLOATING RATE NOTES $ 47,288,242
TOTAL INVESTMENT IN SECURITIES
(Cost $172,965,904)** (Notes 1 and 3) 97.70% $172,965,904
Other Assets and Liabilities, Net 2.30% 4,080,278
------ ------------
TOTAL NET ASSETS 100.00% $177,046,182
====== ============
</TABLE>
- --------------------------------------------------------------------------------
* Investment in affiliated issuer. See Note 2.
** Cost for income tax purposes is the same as for financial statement purpos-
es.
The accompanying notes are an integral part of these financial statements.
29
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- -----------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market
value (Note 1) $431,959,826 $129,458,039
Cash 0 0
RECEIVABLES:
Dividends and interest 0 0
Fund shares sold 794,031 212,421
TOTAL ASSETS 432,753,857 129,670,460
LIABILITIES
PAYABLES:
Capital shares redeemed 735,512 153,063
Distribution to shareholders 0 0
Due to BGI and Stephens (Note 2) 433,242 48,168
TOTAL LIABILITIES 1,168,754 201,231
TOTAL NET ASSETS $431 585,103 $129,469,229
NET ASSETS CONSIST OF:
Paid-in capital 364,404,931 132,112,638
Undistributed net investment income 42,975 53,660
Undistributed net realized gain (loss) on
investments 10,172,895 (993,123)
Net unrealized appreciation (depreciation) on
investments 56,964,302 (1,703,946)
TOTAL NET ASSETS $431,585,103 $129,469,229
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
PER SHARE
Net Assets $431,585,103 $129,469,229
Shares outstanding 35,613,051 13,735,863
Net asset value and offering price per share $ 12.12 $ 9.43
- -----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$212,992,473 $46,433,506 $87,089,474 $105,184,707 $58,116,400
0 0 0 0 0
0 0 0 0 0
680,980 248,534 298,570 448,923 617,674
213,673,453 46,682,040 87,388,044 105,633,630 58,734,074
351,313 69,702 104,327 124,138 106,091
0 0 0 0 0
103,998 34,575 80,133 95,439 52,491
455,311 104,277 184,460 219,577 158,582
$213,218,142 $46,577,763 $87,203,584 $105,414,053 $58,575,492
190,491,795 45,416,263 81,649,555 96,473,404 52,920,708
0 306,020 425,540 389,361 152,749
12,159,142 162,746 656,791 1,057,105 499,497
10,567,205 692,734 4,471,698 7,494,183 5,002,538
$213,218,142 $46,577,763 $87,203,584 $105,414,053 $58,575,492
$213,218,142 $46,577,763 $87,203,584 $105,414,053 $58,575,492
15,155,840 4,245,290 7,000,228 7,867,683 4,135,174
$ 14.07 $ 10.97 $ 12.46 $ 13.40 $ 14.17
- -----------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath
2040
Fund
- -----------------------------------------------------------------------
<S> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $ 69,438,673
In affiliate (Note 2) 0
Total Investments 69,438,673
Cash 0
RECEIVABLES:
Dividends and interest 0
Fund shares sold 432,197
TOTAL ASSETS 69,870,870
LIABILITIES
PAYABLES:
Capital shares redeemed 339,981
Distribution to shareholders 0
Due to BGI and Stephens (Note 2) 55,384
TOTAL LIABILITIES 395,365
TOTAL NET ASSETS $ 69,475,505
NET ASSETS CONSIST OF:
Paid-in capital 62,372,645
Undistributed net investment income 123,647
Undistributed net realized gain (loss) on investments 832,154
Net unrealized appreciation (depreciation) on investments 6,147,059
TOTAL NET ASSETS $ 69,475,505
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
Net Assets $ 69,475,505
Shares outstanding 4,569,011
Net asset value and offering price per share $ 15.21
- -----------------------------------------------------------------------
</TABLE>
* The Money Market Fund does not invest in a corresponding Master Portfolio.
The cost of securities held at February 28, 1997 is the same as the market
value.
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Money S&P Short-Intermediate U.S. Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
$166,968,733 $ 1,422,722,577 $ 13,065,703 $ 47,532,268
5,997,171 0 0 0
172,965,904 1,422,722,577 13,065,703 47,532,268
4,424,660 0 0 0
511,183 0 0 0
0 3,026,598 5,577 78,260
177,901,747 1,425,749,175 13,071,280 47,610,528
0 2,240,240 11,949 21,167
620,483 0 0 0
235,082 484,711 5,754 46,944
855,565 2,724,951 17,703 68,111
$177,046,182 $ 1,423,024,224 $ 13,053,577 $ 47,542,417
177,103,686 1,004,573,533 13,420,300 52,325,397
0 4,299,135 5,350 8,665
(57,504) 11,960,497 (251,758) (4,530,488)
0 402,191,059 (120,315) (261,157)
$177,046,182 $ 1,423,024,224 $ 13,053,577 $ 47,542,417
$177,046,182 $ 1,423,024,224 $ 13,053,577 $ 47,542,417
177,103,191 83,551,262 1,419,648 5,147,118
$ 1.00 $ 17.03 $ 9.19 $ 9.24
- ------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- -----------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 4,369,958 $ 0
Interest 16,181,201 6,398,727
Expenses (1,532,061) (80,941)
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM
MASTER PORTFOLIO 19,019,098 6,317,786
EXPENSES (NOTE 2)
Administration fees 910,353 92,868
Custody fees 0 0
Advisory fees 0 0
Transfer agency fees 277,803 13,570
Shareholder servicing fees 555,606 31,663
Legal and audit 0 16,983
Registration fees 0 37,557
Directors' fees 0 4,209
Shareholder reports 0 17,225
Other 0 2,590
TOTAL EXPENSES 1,743,762 216,665
Less:
Waived fees 0 (87,492)
Net expenses 1,743,762 129,173
NET INVESTMENT INCOME (LOSS) 17,275,336 6,188,613
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER PORTFOLIOS
Net realized gain (loss) on sale of investments 38,140,198 (257,556)
Net change in unrealized appreciation
(depreciation) of investments (1,289,056) (1,931,019)
NET GAIN (LOSS) ON INVESTMENTS 36,851,142 (2,188,575)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $54,126,478 $ 4,000,038
- -----------------------------------------------------------------------------
</TABLE>
* The Money Market Fund does not have a corresponding Master Portfolio. All
interest is derived from securities held by the Fund.
** The Fund commenced operations on March 26, 1996.
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund** Fund** Fund** Fund**
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 253,969 $ 138,481 $ 555,441 $ 1,024,523 $ 658,010
507,985 1,580,560 2,032,372 1,622,687 529,147
(1,318,901) (182,849) (337,000) (410,323) (216,920)
(556,947) 1,536,192 2,250,813 2,236,887 970,237
219,341 77,446 145,635 174,432 94,455
0 0 0 0 0
0 0 0 0 0
41,740 18,330 33,157 41,421 20,413
139,134 36,660 66,315 82,842 40,826
15,500 0 0 0 0
36,432 0 0 0 0
4,084 0 0 0 0
16,248 0 0 0 0
3,223 0 0 0 0
475,702 132,436 245,107 298,695 155,694
(112,482) 0 0 0 0
363,220 132,436 245,107 298,695 155,694
(920,167) 1,403,756 2,005,706 1,938,192 814,543
15,318,009 162,746 656,791 1,202,749 645,645
(25,141,390) 692,734 4,471,698 7,494,183 5,002,538
(9,823,381) 855,480 5,128,489 8,696,932 5,648,183
$(10,743,548) $2,259,236 $7,134,195 $10,635,124 $6,462,726
- ------------------------------------------------------------------------------------
</TABLE>
35
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath
2040
Fund**
- ------------------------------------------------------------------------------
<S> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 870,478
Interest 258,316
Expenses (256,033)
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM
MASTER PORTFOLIO 872,761
EXPENSES (NOTE 2)
Administration fees 111,331
Custody fees 0
Advisory fees 0
Transfer agency fees 25,057
Shareholder servicing fees 50,114
Legal and audit 0
Registration fees 0
Directors' fees 0
Shareholder reports 0
Other 0
TOTAL EXPENSES 186,502
Less:
Waived fees 0
Net expenses 186,502
NET INVESTMENT INCOME (LOSS) 686,259
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED FROM
MASTER PORTFOLIOS
Net realized gain (loss) on sale of investments 847,438
Net change in unrealized appreciation (depreciation) of
investments 6,147,059
NET GAIN (LOSS) ON INVESTMENTS 6,994,497
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $7,680,756
- ------------------------------------------------------------------------------
</TABLE>
* The Money Market Fund does not have a corresponding Master Portfolio. All
interest is derived from securities held by the Fund.
** The Fund commenced operations on March 26, 1996.
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Money S&P Short-Intermediate U.S. Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 0 $ 21,818,912 $ 0 $ 0
8,836,775 4,187,042 929,839 3,348,832
0 (561,093) (69,275) (150,053)
8,836,775 25,444,861 860,564 3,198,779
111,048 1,002,862 12,502 109,157
0 0 0 0
570,332 0 0 0
51,902 194,806 2,486 41,323
0 454,547 8,448 48,458
0 72,330 15,664 0
0 74,468 27,728 0
0 4,209 4,782 0
0 47,658 13,155 0
54,060 65,614 1,935 2,825
787,342 1,916,494 86,700 201,763
(54,309) (287,325) (72,429) (5,825)
733,033 1,629,169 14,271 195,938
8,103,742 23,815,692 846,293 3,002,841
1,533 21,513,935 (86,579) (142,717)
0 219,020,476 (214,500) (507,060)
1,533 240,534,411 (301,079) (649,777)
$8,105,275 $264,350,103 $ 545,214 $2,353,064
- -------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ----------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 17,275,336 $ 12,662,723
Net realized gain (loss) on sale of
investments 38,140,198 253,536
Net change in unrealized appreciation
(depreciation) of investments (1,289,056) 58,636,223
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 54,126,478 71,552,482
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (17,247,080) (12,662,723)
From net realized gain on sale of
investments (26,664,455) 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 154,834,083 133,240,369
Net asset value of shares issued in
reinvestment of dividends and
distributions 44,837,891 12,759,213
Cost of shares redeemed (176,232,020) (100,655,571)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS 23,439,954 45,344,011
INCREASE (DECREASE) IN NET ASSETS 33,654,897 104,233,770
NET ASSETS:
Beginning net assets 397,930,206 293,696,436
ENDING NET ASSETS 431,585,103 $ 397,930,206
SHARES ISSUED AND REDEEMED:
Shares sold 12,906,366 12,022,471
Shares issued in reinvestment of
dividends and distributions 3,754,997 1,169,213
Shares redeemed (14,682,595) (9,142,254)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 1,978,768 4,049,430
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
38
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Bond Index Fund Growth Stock Fund
- ------------------------------------ ------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- --------------------------------------------------------------------------
<S> <C> <C> <C>
$ 6,188,613 $ 2,430,763 $ (920,167) $ (169,318)
(257,556) (403,203) 15,318,009 14,846,540
(1,931,019) 1,073,727 (25,141,390) 30,335,247
4,000,038 3,101,287 (10,743,548) 45,012,469
(6,134,953) (2,430,763) 0 (46,399)
0 0 (3,202,048) (16,939,083)
115,659,105 51,730,402 170,007,270 105,184,276
6,438,762 2,229,063 3,202,048 16,985,470
(48,583,524) (15,133,678) (124,629,401) (68,537,649)
73,514,343 38,825,787 48,579,917 53,632,097
71,379,428 39,496,311 34,634,321 81,659,084
58,089,801 18,593,490 178,583,821 96,924,737
$129,469,229 $ 58,089,801 $ 213,218,142 $178,583,821
12,158,949 5,320,928 10,851,913 7,370,776
680,187 230,227 208,331 1,212,039
(5,119,468) (1,555,049) (7,988,397) (4,828,460)
7,719,668 3,996,106 3,071,847 3,754,355
- ---------------------------------------------------------------------------
</TABLE>
39
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Fund
--------------------
Period from
March 26, 1996
(Commencement
of Operations)
to February 28, 1997
- ------------------------------------------------------------------------------
<S> <C>
INCREASE IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 1,403,756
Net realized gain (loss) on sale of investments 162,746
Net change in unrealized appreciation (depreciation) of
investments 692,734
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 2,259,236
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (1,097,736)
From net realized gain on sale of investments 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 64,429,732
Net asset value of shares issued in reinvestment of
dividends and distributions 1,095,909
Cost of shares redeemed (20,109,378)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL SHARE
TRANSACTIONS 45,416,263
INCREASE (DECREASE) IN NET ASSETS 46,577,763
NET ASSETS:
Beginning net assets 0
ENDING NET ASSETS $46,577,763
SHARES ISSUED AND REDEEMED:
Shares sold 6,021,502
Shares issued in reinvestment of dividends 102,561
Shares redeemed (1,878,773)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 4,245,290
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
40
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2010 Fund LifePath 2020 Fund LifePath 2030 Fund LifePath 2040 Fund
- -------------------- -------------------- -------------------- --------------------
Period from Period from Period from Period from
March 26, 1996 March 26, 1996 March 26, 1996 March 26, 1996
(Commencement (Commencement (Commencement (Commencement
of Operations) of Operations) of Operations) of Operations)
to February 28, 1997 to February 28, 1997 to February 28, 1997 to February 28, 1997
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 2,005,706 $ 1,938,192 $ 814,543 $ 686,259
656,791 1,202,749 645,645 847,438
4,471,698 7,494,183 5,002,538 6,147,059
7,134,195 10,635,124 6,462,726 7,680,756
(1,580,166) (1,548,831) (661,794) (562,612)
0 (145,644) (146,148) (15,284)
113,729,167 147,132,963 70,729,578 87,726,379
1,576,451 1,545,026 804,134 561,376
(33,656,063) (52,204,585) (18,613,004) (25,915,110)
81,649,555 96,473,404 52,920,708 62,372,645
87,203,584 105,414,053 58,575,492 69,475,505
0 0 0 0
$ 87,203,584 $105,414,053 $ 58,575,492 $69,475,505
9,702,222 11,957,914 5,498,688 6,394,187
133,390 123,825 61,161 40,724
(2,835,384) (4,214,056) (1,424,675) (1,865,900)
7,000,228 7,867,683 4,135,174 4,569,011
- ---------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Money Market Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ----------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 8,103,742 $ 8,366,175
Net realized gain (loss) on sale of
investments 1,533 (47,092)
Net change in unrealized appreciation
(depreciation) of investments 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 8,105,275 8,319,083
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (8,103,742) (8,366,175)
From net realized gain on sale of
investments 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 176,002,509 153,053,870
Net asset value of shares issued in
reinvestment of dividends and
distributions 7,951,900 8,172,476
Cost of shares redeemed (163,761,261) (151,596,313)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS 20,193,148 9,630,033
INCREASE (DECREASE) IN NET ASSETS 20,194,681 9,582,941
NET ASSETS:
Beginning net assets 156,851,501 147,268,560
ENDING NET ASSETS $ 177,046,182 $ 156,851,501
SHARES ISSUED AND REDEEMED:
Shares sold 176,002,509 153,050,549
Shares issued in reinvestment of
dividends and distributions 7,951,876 8,172,596
Shares redeemed (163,761,261) (151,592,992)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 20,193,124 9,630,153
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
42
<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
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- --------------------------------------------------------------------------
<S> <C> <C> <C>
$ 23,815,692 $ 16,771,211 $ 846,293 $ 872,301
21,513,935 18,059,645 (86,579) 215,150
219,020,476 154,527,817 (214,500) 87,124
264,350,103 189,358,673 545,214 1,174,575
(22,785,673) (15,389,132) (840,943) (872,302)
(16,780,931) (10,433,042) 0 0
539,066,703 381,254,861 4,322,741 7,554,298
25,515,514 25,822,033 909,344 881,404
(249,037,913) (136,693,122) (5,586,461) (9,332,501)
315,544,304 270,383,772 (354,376) (896,799)
540,327,803 433,920,271 (650,105) (594,526)
882,696,421 448,776,150 13,703,682 14,298,208
$1,423,024,224 $ 882,696,421 $13,053,577 $13,703,682
35,425,415 30,268,583 468,606 807,468
1,696,159 2,002,063 98,728 93,988
(16,520,854) (10,747,465) (606,156) (1,004,841)
20,600,720 21,523,181 (38,822) (103,385)
- ---------------------------------------------------------------------------
</TABLE>
43
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S. Treasury Allocation Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ----------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 3,002,841 $ 3,259,100
Net realized gain (loss) on sale of
investments (142,717) 1,744,910
Net change in unrealized appreciation
(depreciation) of investments (507,060) 691,484
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 2,353,064 5,695,494
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (2,994,176) (3,259,100)
From net realized gain on sale of
investments 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 12,235,270 21,593,120
Net asset value of shares issued in
reinvestment of dividends and
distributions 3,193,414 3,351,900
Cost of shares redeemed (18,877,292) (32,601,086)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS (3,448,608) (7,656,066)
INCREASE (DECREASE) IN NET ASSETS (4,089,720) (5,219,672)
NET ASSETS:
Beginning net assets 51,632,137 56,851,809
ENDING NET ASSETS $47,542,417 $51,632,137
SHARES ISSUED AND REDEEMED:
Shares sold 1,321,414 2,313,882
Shares issued in reinvestment of
dividends and distributions 346,020 361,582
Shares redeemed (2,042,217) (3,477,285)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING (374,783) (801,821)
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
44
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
45
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Asset Allocation Fund
---------------------------------------------------------
Period From
July 2,
1993
(Commence-
ment of
Year Ended Year Ended Year Ended Operations) to
February 28, February 29, February 28, February 28,
1997 1996 1995 1994
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.83 $9.93 $10.19 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.47 0.40 0.44 0.23
Net realized and
unrealized gain (loss)
on investments 1.02 1.90 (0.14) 0.28
TOTAL FROM INVESTMENT
OPERATIONS 1.49 2.30 0.30 0.51
LESS DISTRIBUTIONS:
From net investment
income (0.47) (0.40) (0.44) (0.23)
From net realized gains (0.73) 0.00 (0.12) (0.09)
TOTAL DISTRIBUTIONS (1.20) (0.40) (0.56) (0.32)
NET ASSET VALUE, END OF
PERIOD $12.12 $11.83 $9.93 $10.19
TOTAL RETURN (NOT
ANNUALIZED) 13.09% 23.54% 3.28% 5.14%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $431,585 $397,930 $293,696 $217,140
Number of shares
outstanding, end of
period (000) 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% 0.79%
Ratio of net investment
income (loss) to
average net
assets(/2/) 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 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 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.
46
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Index Fund
- ---------------------------------------------------------------------------------------
Period From
July 2,
1993
(Commence-
ment of
Year Ended Year Ended Year Ended Operations) to
February 28, February 29, February 28, February 28,
1997 1996 1995 1994
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
$9.66 $9.20 $9.76 $10.00
0.63 0.64 0.64 0.38
(0.23) 0.46 (0.56) (0.24)
0.40 1.10 0.08 0.14
(0.63) (0.64) (0.64) (0.38)
0.00 0.00 0.00 0.00
(0.63) (0.64) (0.64) (0.38)
$9.43 $9.66 $9.20 $9.76
4.32% 12.17% 1.12% 1.38%
$129,469 $58,090 $18,593 $14,899
13,736 6,016 2,020 1,526
0.23% 0.23% 0.23% 0.31%
6.69% 6.67% 7.08% 5.88%
-- -- 14%* 20%
- ----------------------------------------------------------------------------------------
0.32% 0.53% 0.71% 0.32%
6.60% 6.37% 6.61% 5.87%
- ----------------------------------------------------------------------------------------
</TABLE>
47
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
Growth Stock Fund
-----------------------------------------------------------
Period From
July 2,
1993
(Commence-
ment of
Year Ended Year Ended Year Ended Operations) to
February 28, February 29, February 28, February 28,
1997 1996 1995 1994
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $14.78 $11.64 $11.52 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) (0.06) (0.01) 0.00 (0.01)
Net realized and
unrealized gain (loss)
on investments (0.43) 4.82 0.19 1.86
TOTAL FROM INVESTMENT
OPERATIONS (0.49) 4.81 0.19 1.85
LESS DISTRIBUTIONS:
From net investment
income 0.00 (0.01) 0.00 0.00
From net realized gains (0.22) (1.66) (0.07) (0.33)
TOTAL DISTRIBUTIONS (0.22) (1.67) (0.07) (0.33)
NET ASSET VALUE, END OF
PERIOD $14.07 $14.78 $11.64 $11.52
TOTAL RETURN (NOT
ANNUALIZED) (3.46)% 42.10% 1.70% 18.65%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $213,218 $178,584 $96,925 $45,443
Number of shares
outstanding, end of
period (000) 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% 0.80%
Ratio of net investment
income (loss) to
average net
assets(/2/) (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 0.81% 0.86% 0.87% 0.80%
(2) Ratio of net
investment income
(loss) to average
net assets prior to
waived fees and
reimbursed expenses (0.46)% (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 expenses
charged to the Master Portfolio.
48
<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
(Commencement (Commencement (Commencement (Commencement
of Operations) of Operations) of Operations) of Operations)
to February 28, 1997 to February 28, 1997 to February 28, 1997 to February 28, 1997
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
$10.55 $11.44 $11.97 $12.39
0.39 0.33 0.29 0.23
0.35 0.96 1.40 1.79
0.74 1.29 1.69 2.02
(0.32) (0.27) (0.24) (0.20)
0.00 0.00 (0.02) (0.04)
(0.32) (0.27) (0.26) (0.24)
$10.97 $12.46 $13.40 $14.17
7.00% 11.98% 15.06% 17.37%
$46,578 $87,204 $105,414 $58,575
4,245 7,000 7,868 4,135
0.95% 0.95% 0.95% 0.95%
4.21% 3.26% 2.57% 2.05%
-- -- -- --
- ---------------------------------------------------------------------------------------
N/A N/A N/A N/A
N/A N/A N/A N/A
- ---------------------------------------------------------------------------------------
</TABLE>
49
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2040 Fund
------------------
Period From
March 26, 1996
(Commencement
of Operations) to
February 28,
1997
- ------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.91
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18
Net realized and unrealized gain (loss) on investments 2.27
TOTAL FROM INVESTMENT OPERATIONS 2.45
LESS DISTRIBUTIONS:
From net investment income (0.15)
From net realized gains 0.00
TOTAL DISTRIBUTIONS (0.15)
NET ASSET VALUE, END OF PERIOD $15.21
TOTAL RETURN (NOT ANNUALIZED) 20.47%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $69,476
Number of shares outstanding, end of period (000) 4,569
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net assets(/1/) 0.95%
Ratio of net investment income to average net assets(/2/) 1.46%
Portfolio turnover --
- ------------------------------------------------------------------------------
(1) Ratio of expenses to average net
assets prior to waived fees and
reimbursed expenses N/A
(2) Ratio of net investment income to
average net assets prior to waived
fees and reimbursed expenses N/A
- ------------------------------------------------------------------------------
</TABLE>
+ Annualized for periods of less than one year. These ratios include
expenses charged to the Master Portfolio.
50
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Money Market Fund
- -------------------------------------------------------------------------------------
Period From
July 2, 1993
(Commencement
Year Ended Year Ended Year Ended of Operations) to
February 28, February 29, February 28, February 28,
1997 1996 1995 1994
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
$1.00 $1.00 $1.00 $1.00
0.05 0.05 0.04 0.02
0.00 0.00 0.00 0.00
0.05 0.05 0.04 0.02
(0.05) (0.05) (0.04) (0.02)
0.00 0.00 0.00 0.00
(0.05) (0.05) (0.04) (0.02)
$1.00 $1.00 $1.00 $1.00
5.10% 5.60% 4.40% 1.81%
$177,046 $156,852 $147,269 $81,649
177,103 156,910 147,280 81,648
0.45% 0.45% 0.45% 0.49%
4.96% 5.44% 4.44% 2.77%
N/A N/A N/A N/A
- --------------------------------------------------------------------------------------
0.48% 0.49% 0.57% 0.50%
4.93% 5.40% 4.32% 2.76%
- --------------------------------------------------------------------------------------
</TABLE>
51
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
S&P 500 Stock Fund
-------------------------------------------------------------
Period From
July 2, 1993
(Commencement
Year Ended Year Ended Year Ended of Operations) to
February 28, February 29, February 28, February 28,
1997 1996 1995 1994
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $14.02 $10.83 $10.50 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.32 0.31 0.27 0.16
Net realized and
unrealized gain (loss)
on investments 3.23 3.36 0.41 0.47
TOTAL FROM INVESTMENT
OPERATIONS 3.55 3.67 0.68 0.63
LESS DISTRIBUTIONS:
From net investment
income (0.32) (0.30) (0.27) (0.12)
From net realized gains (0.22) (0.18) (0.08) (0.01)
In excess of net
realized gains 0.00 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.54) (0.48) (0.35) (0.13)
NET ASSET VALUE, END OF
PERIOD $17.03 $14.02 $10.83 $10.50
TOTAL RETURN (NOT
ANNUALIZED) 25.82% 34.35% 6.71% 6.30%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $1,423,024 $882,696 $448,776 $122,391
Number of shares
outstanding, end of
period (000) 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% 0.21% 0.27%
Ratio of net investment
income to average net
assets(/2/) 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 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 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.
52
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Short-Intermediate Term Fund
- ------------------------------------------------------------------------------------
Period From
July 2, 1993
(Commencement
Year Ended Year Ended Year Ended of Operations) to
February 28, February 29, February 28, February 28,
1997 1996 1995 1994
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
$9.40 $9.15 $9.72 $10.00
0.60 0.65 0.64 0.42
(0.21) 0.25 (0.57) (0.28)
0.39 0.90 0.07 0.14
(0.60) (0.65) (0.64) (0.42)
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
(0.60) (0.65) (0.64) (0.42)
$9.19 $9.40 $9.15 $9.72
4.29% 10.07% 0.89% 1.42%
$13,054 $13,704 $14,298 $5,258
1,420 1,458 1,562 541
0.65% 0.65% 0.65% 0.65%
6.48% 6.82% 7.07% 6.02%
-- -- 29% 277%
- -------------------------------------------------------------------------------------
1.29% 1.44% 1.41% 0.65%
5.84% 6.03% 6.32% 6.02%
- -------------------------------------------------------------------------------------
</TABLE>
53
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
U.S. Treasury Allocation Fund
------------------------------------------------------------
Period From
July 2, 1993
(Commencement
Year Ended Year Ended Year Ended of Operations) to
February 28, February 29, February 28, February 28,
1997 1996 1995 1994
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING
OF PERIOD $9.35 $8.99 $9.67 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.56 0.51 0.59 0.39
Net realized and
unrealized gain (loss)
on investments (0.11) 0.36 (0.68) (0.05)
TOTAL FROM INVESTMENT
OPERATIONS 0.45 0.87 (0.09) 0.34
LESS DISTRIBUTIONS:
From net investment
income (0.56) (0.51) (0.59) (0.39)
From net realized gains 0.00 0.00 0.00 (0.20)
In excess of net
realized gains 0.00 0.00 0.00 (0.08)
TOTAL DISTRIBUTIONS (0.56) (0.51) (0.59) (0.67)
NET ASSET VALUE, END OF
PERIOD $9.24 $9.35 $8.99 $9.67
TOTAL RETURN (NOT
ANNUALIZED) 4.99% 9.89% (0.76)% 3.33%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $47,542 $51,632 $56,852 $58,216
Number of shares
outstanding, end of
period (000) 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% 0.78%
Ratio of net investment
income to average net
assets(/2/) 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 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 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.
54
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
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%, 58.49%, 99.99%, 35.37%, 51.38%, 41.83%, 36.60%, 26.91%,
95.85%, 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 February 28, 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 securities market on which such securities are traded. Securities not
listed on an exchange or national securities market, or securities in
55
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
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 (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 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
56
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
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 of the Company is treated as a separate entity for federal income
tax purposes. It is the policy of each Fund of the Company to continue to
qualify as a regulated investment company by complying with the provisions
applicable to 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.
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.
57
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
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.
Prior to October 21, 1996, Barclays Global Investors, N.A ("BGI") served as
custodian for the Money Market Fund. BGI was not entitled to receive
compensation for its custodial services so long as BGFA was entitled to receive
fees for providing investment advisory services to the Money Market Fund.
Effective October 21, 1996, a new custody agreement was adopted pursuant to
which Investors Bank & Trust Company ("IBT") replaced BGI as 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.
Prior to October 21, 1996, the Company had entered into administration and
distribution agreements with Stephens Inc. ("Stephens") on behalf of the Asset
Allocation, Money Market and U.S. Treasury Allocation Funds. Under the
agreements, Stephens agreed to provide supervisory, administrative and
distribution services for these Funds. As compensation for these services, the
Asset Allocation and U.S. Treasury Allocation Funds paid a monthly fee at an
annual rate of 0.10% of each Fund's average daily net assets. The Money Market
Fund paid a monthly fee at an annual rate of 0.05% of the Fund's average daily
net assets. In addition, Stephens was responsible for paying all other expenses
incurred by these Funds except for the fees payable by the Fund pursuant to the
Company's various service contracts.
The Company had also entered into administration and distribution agreements
with Stephens on behalf of the Bond Index, Growth Stock, S&P 500 Stock and
Short-Intermediate Term Funds. Under the
58
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
agreements, Stephens agreed to provide supervisory, administrative and
distribution services to the Funds. For these services, each Fund paid Stephens
a monthly fee at an annual rate of 0.05% of the Funds' average daily net
assets.
The Company had also entered into an administration agreement on behalf of
the LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath
2040 Funds with Stephens whereby Stephens has agreed to provide administrative
services to the Funds. For providing administrative services, the Company paid
Stephens a monthly fee at the annual rate of 0.10% of each Fund's average daily
net assets. In addition, Stephens had agreed to assume the operating expenses
of each LifePath Fund and a pro rata share of the operating expenses of each
LifePath Master Portfolio, except for extraordinary expenses and those fees and
expenses payable pursuant to the various service contracts described above
which will be borne by the Company and those expenses specifically assumed by
WFB under its contracts with the Funds.
Effective October 21, 1996, new administrative services arrangements were
adopted which superceded the then current arrangement with Stephens as the sole
administrator of the Funds. The new administrative services arrangements do not
increase the level of fees payable by each Fund. Under the new arrangement, BGI
and Stephens, as co-administrators, have agreed jointly to provide general
administrative 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 administrative
duties to sub-administrators.
Under the new arrangements, BGI and Stephens are entitled to receive for
these services a combined fee (expressed as a percentage of average daily net
assets) from each Fund as follows:
<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%
</TABLE>
59
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
<TABLE>
<S> <C>
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 new 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 Bond Index, Growth Stock, Money
Market, S&P 500 Stock, Short-Intermediate Term and U.S. Treasury Allocation
Funds for the year ended February 28, 1997. Waived fees continue at the
discretion of BGI.
Certain officers and directors of the Company are also officers of Stephens.
As of February 28, 1997, Stephens owned less than 1% of the shares outstanding
for each Fund.
3. CAPITAL SHARES TRANSACTIONS
As of February 28, 1997, there were 11.9 billion shares of $.001 par value
capital stock authorized by the Company. As of February 28, 1997, each Fund
except the Money Market, Short-Intermediate Term and U.S. Treasury Allocation
Funds was authorized to issue 100 million shares of $.001 par value capital
stock. The Money Market Fund was authorized to issue 3 billion shares. The
Short-Intermediate Term and
60
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
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 February 28, 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.
5. ORGANIZATION OF THE FUNDS
At a meeting held in October 1995, the Board of Directors of MasterWorks
Funds Inc. (formerly Stagecoach Inc.) approved the establishment of five
LifePath Funds (the New LifePath Funds). The New LifePath Funds are feeder
funds in a master-feeder structure that invest in corresponding master
portfolios of Master Investment Portfolio. Net assets attributable to each
LifePath Institutional class of shares were redeemed and distributed in kind to
shareholders. These net assets were then contributed to the corresponding New
LifePath Funds on March 26, 1996 as follows:
<TABLE>
<S> <C>
LifePath 2000 $17,280,877
LifePath 2010 $34,620,440
LifePath 2020 $37,028,509
LifePath 2030 $25,785,162
LifePath 2040 $33,520,758
</TABLE>
Effective on March 15, 1996, the corporate name of Stagecoach Inc. was
changed to "MasterWorks Funds Inc."
61
<PAGE>
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS
MASTERWORKS FUNDS INC.:
We have audited the accompanying statements of assets and liabilities,
including the portfolio of investments of the Money Market Fund, of MasterWorks
Funds Inc. (comprising, respectively, Asset Allocation Fund, Bond Index Fund,
Growth Stock Fund, LifePath 2000 Fund, LifePath 2010 Fund, LifePath 2020 Fund,
LifePath 2030 Fund, LifePath 2040 Fund, Money Market Fund, S&P 500 Stock Fund,
Short-Intermediate Term Fund and U.S. Treasury Allocation Fund) as of February
28, 1997, and the related statements of operations for the year then ended,
except for LifePath 2000 Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath
2030 Fund and LifePath 2040 Fund, which are for the period from March 26, 1996
to February 28, 1997, the statements of changes in net assets for each of the
years in the two year period then ended, except for LifePath 2000 Fund,
LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040
Fund, which are for the period from March 26, 1996 to February 28, 1997, and
the financial highlights for the periods indicated herein. These financial
statements and financial highlights are the responsibility of the Company's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 28, 1997, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned funds of MasterWorks Funds Inc. as of February 28, 1997,
the results of their operations, the changes in their net assets and their
financial highlights for the periods indicated herein in conformity with
generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 11, 1997
62
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-43.44%
AEROSPACE & DEFENSE-1.06%
Allied Signal Inc 8,792 $ 635,222
Boeing Co 11,055 1,124,886
Briggs & Stratton Corp 868 37,867
General Dynamics Corp 1,954 131,407
Lockheed Martin Corp 5,932 524,982
McDonnell Douglas Corp 6,524 414,274
Northrop Grumman Corp 1,747 126,876
Raytheon Co 7,306 344,295
Rockwell International Corp 6,757 437,516
Textron Inc 2,573 253,762
United Technologies Corp 7,464 561,666
------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 4,592,753
- COST $ 2,952,204
AIRLINES-0.13%
AMR Corp+ 2,837 $ 223,059
Delta Air Lines Inc 2,332 187,726
Southwest Airlines Co 4,459 104,787
USAir Group Inc+ 2,031 40,112
------------
TOTAL AIRLINES
- VALUE $ 555,684
- COST $ 515,080
APPAREL-0.29%
CVS Corp 3,272 $ 151,330
Fruit of the Loom Inc Class A 2,424 99,081
Liz Claiborne Inc 2,179 88,250
Nike Inc Class B 8,904 639,975
Reebok International Ltd 1,744 81,532
Russell Corp 1,157 43,532
Stride Rite Corp 1,523 18,276
VF Corp 1,993 138,514
------------
TOTAL APPAREL
- VALUE $ 1,260,490
- COST $ 655,127
</TABLE>
63
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
AUTO PARTS & EQUIPMENT-0.39%
Cooper Tire & Rubber Co 2,532 $ 50,324
Dana Corp 3,190 98,890
Deluxe Corp 2,507 79,284
Eaton Corp 2,389 171,411
Echlin Inc 1,926 66,688
Genuine Parts Co 3,747 175,172
Goodyear Tire & Rubber Co 4,793 252,831
Illinois Tool Works Inc 3,846 324,506
ITT Industries Inc 3,649 94,874
Navistar International Corp+ 2,320 22,330
PACCAR Inc 1,161 76,191
Pep Boys-Manny Moe & Jack 1,981 64,630
TRW Inc 3,948 206,777
------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 1,683,908
- COST $ 1,353,564
AUTOMOBILES-0.77%
Chrysler Corp 22,620 $ 766,253
Ford Motor Co 36,776 1,209,011
General Motors Corp Class A 23,446 1,356,937
------------
TOTAL AUTOMOBILES
- VALUE $ 3,332,201
- COST $ 2,810,246
BANK & FINANCE-4.91%
Ahmanson (H F) & Co 3,238 $ 133,163
American Express Corp 14,664 958,659
Banc One Corp 13,273 585,671
Bank of Boston Corp 4,708 354,866
Bank of New York Inc 12,124 469,805
BankAmerica Corp 11,124 1,265,355
Bankers Trust Corp 2,499 226,784
Barnett Banks Inc 6,022 278,518
Beneficial Corp 1,695 117,167
Chase Manhattan Bank 13,589 1,360,599
Citicorp 14,592 1,703,616
Comerica Inc 3,294 198,052
CoreStates Financial Corp 6,917 364,007
Dean Witter Discover & Co 10,002 383,827
</TABLE>
64
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Federal Home Loan Mortgage Corp 22,164 $ 659,379
Federal National Mortgage Assoc 33,843 1,353,720
Fifth Third Bancorp 3,274 272,970
First Bank System Inc 4,137 324,755
First Chicago NBD Corp 9,917 580,145
First Union Corp 8,764 769,041
Fleet Financial Group Inc 8,147 496,967
Golden West Financial 1,771 119,985
Great Western Financial Corp 4,241 186,074
Green Tree Financial Inc 4,243 159,113
Household International Inc 3,006 291,206
Keycorp 6,965 372,628
MBNA Corp 10,316 330,112
Mellon Bank Corp 3,988 320,536
Merrill Lynch & Co Inc 5,067 486,432
MGIC Investment Corp 1,844 144,985
Morgan (J P) & Co Inc 5,755 604,994
Morgan Stanley Group 4,723 298,139
National City Corp 6,882 347,541
NationsBank Corp 24,552 1,470,000
Norwest Corp 11,433 568,792
PNC Bank Corp 10,540 446,633
Republic New York Corp 1,740 161,603
Ryder System Inc 2,567 80,861
Salomon Inc 3,413 189,848
SunTrust Banks Inc 6,958 357,467
U.S. Bancorp 4,662 230,186
Wachovia Corp 5,070 308,636
Wells Fargo & Co 2,901 882,629
------------
TOTAL BANK & FINANCE
- VALUE $ 21,215,466
- COST $ 12,650,733
BASIC INDUSTRIES-1.06%
ASARCO Inc 1,322 $ 41,313
Avery-Dennison Corp 3,236 130,654
Baker Hughes Inc 4,513 160,212
Bemis Co 1,608 66,531
Boise Cascade Corp 1,494 49,115
Champion International Corp 2,977 131,360
Cyprus Amax Minerals 2,843 66,455
Dover Corp 3,528 175,077
Echo Bay Mines Ltd 4,274 33,124
Georgia-Pacific Corp 2,868 223,704
Harnischfeger Industries Inc 1,489 65,330
</TABLE>
65
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Homestake Mining Co 4,562 $ 75,273
Ikon Office Solutions Inc 4,066 167,723
Inco Ltd 5,168 181,526
James River Corp 2,659 87,082
Louisiana-Pacific Corp 3,403 72,314
Mead Corp 1,661 96,753
Minnesota Mining & Manufacturing Co 12,969 1,193,148
NACCO Industries Inc Class A 293 15,895
Newmont Mining Corp 3,062 145,445
Potlatch Corp 900 38,925
Stone Container Corp 3,103 40,339
Trinova Corp 861 31,965
Tyco International Inc 5,101 300,959
Union Camp Corp 2,113 101,952
Westinghouse Electric Corp 19,401 334,667
Westvaco Corp 3,140 92,630
Weyerhauser Co 6,128 283,420
Whitman Corp 3,267 76,775
Willamette Industries Inc 1,666 106,624
------------
TOTAL BASIC INDUSTRIES
- VALUE $ 4,586,290
- COST $ 3,684,394
BEVERAGES-1.72%
Anheuser-Busch Inc 15,444 $ 687,258
Coca-Cola Co 77,108 4,703,588
Coors (Adolph) Co Class B 1,132 24,197
Pepsico Inc 48,090 1,580,959
Seagrams Co Ltd 11,535 449,865
------------
TOTAL BEVERAGES
- VALUE $ 7,445,867
- COST $ 4,467,789
BIOTECHNOLOGY-0.00%
Quest Diagnostics Inc 1 $ 8
------------
TOTAL BIOTECHNOLOGY
- VALUE $ 8
- COST $ 6
</TABLE>
66
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BROADCASTING-0.19%
Kingworld Productions+ 1,112 $ 41,283
Tele-Communications Inc Class A 20,584 244,435
Tribune Co 3,812 149,621
Viacom Inc Class B 10,922 385,001
------------
TOTAL BROADCASTING
- VALUE $ 820,340
- COST $ 955,349
BUILDING MATERIALS & SERVICES-0.23%
Cooper Industries Inc 3,360 $ 148,680
Corning Inc 7,100 267,138
Owens Corning Fiberglass Corp 1,641 69,537
PPG Industries Inc 5,667 317,352
Snap-On Inc 1,857 72,191
Stanley Works 2,784 106,488
------------
TOTAL BUILDING MATERIALS & SERVICES
- VALUE $ 981,386
- COST $ 734,161
BUSINESS SERVICES-0.02%
Ecolab Inc 2,030 $ 76,886
------------
TOTAL BUSINESS SERVICES
- VALUE $ 76,886
- COST $ 50,230
CHEMICALS-1.27%
Air Products & Chemicals Inc 3,475 $ 257,584
Clorox Co 1,636 195,502
Dow Chemical Co 7,519 609,039
Du Pont (E I) De Nemours 17,467 1,873,336
Eastman Chemical Co 2,403 132,465
FMC Corp+ 1,186 81,538
Goodrich (B F) Co 1,682 68,331
Grace (W R) Co 2,621 138,913
Great Lakes Chemical Corp 1,951 90,478
Hercules Inc 3,187 148,196
International Flavor & Fragrances 3,400 157,675
Monsanto Co 18,215 662,571
Morton International Inc 4,385 180,881
Nalco Chemical Co 2,090 76,808
</TABLE>
67
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Praxair Inc 4,798 $ 233,303
Rohm & Haas Co 1,943 178,756
Rubbermaid Inc 4,612 110,112
Sigma-Aldrich Corp 3,102 94,999
Union Carbide Corp 3,930 185,693
------------
TOTAL CHEMICALS
- VALUE $ 5,476,180
- COST $ 4,064,977
COMPUTER SOFTWARE-1.56%
3Com Corp+ 5,376 $ 177,996
Autodesk Inc 1,404 47,561
Automatic Data Processing 9,005 383,838
Bay Networks Inc+ 6,037 114,703
Computer Associates International Inc 11,284 490,854
Computer Sciences Corp+ 2,347 158,423
First Data Corp 13,910 509,454
Microsoft Corp 36,990 3,606,525
Novell Inc+ 10,668 108,014
Oracle Systems Corp 20,355 798,934
Sun Microsystems Inc 11,384 351,481
------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 6,747,783
- COST $ 4,221,020
COMPUTER SYSTEMS-1.83%
Amdahl Corp+ 3,735 $ 36,883
Apple Computer Inc+ 3,845 62,481
Cabletron Systems Inc 4,830 144,900
Ceridian Corp+ 2,137 83,610
Cisco Systems Inc+ 20,166 1,121,734
Cognizant Corp 5,284 184,280
Compaq Computer Corp+ 8,370 663,323
Data General Corp+ 1,220 23,638
Dell Computer Corp 5,534 393,606
Digital Equipment Corp+ 4,787 156,774
EMC Corp+ 7,174 258,264
Harris Corp 1,178 86,878
Hewlett-Packard Co 31,518 1,765,008
Intergraph Corp+ 1,512 12,474
International Business Machine Corp 16,011 2,301,581
</TABLE>
68
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
NCR Corp 1 $ 25
Seagate Technology Inc 7,723 364,912
Shared Medical System Corp 750 40,969
Silicon Graphics Inc+ 5,373 129,624
Tandem Computers Inc+ 3,727 46,588
Unisys Corp+ 5,441 36,727
------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 7,914,279
- COST $ 5,435,737
CONTAINER & PACKAGING-0.24%
Ball Corp 939 $ 23,710
Crown Cork & Seal Co 3,948 219,114
International Paper Co 9,276 387,273
Temple-Inland Inc 1,752 96,579
Tenneco Inc 5,280 207,900
Tupperware Corp 1,978 88,516
------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 1,023,092
- COST $ 932,844
ELECTRICAL EQUIPMENT-1.58%
General Electric Co 51,041 $ 5,250,843
Grainger (W W) Inc 1,604 127,117
Masco Corp 5,003 175,730
Motorola Inc 18,356 1,025,642
National Service Industries Inc 1,495 56,810
Raychem Corp 1,433 121,984
Thomas & Betts Corp 1,621 72,337
------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 6,830,463
- COST $ 4,654,613
ELECTRONICS-1.73%
Advanced Micro Devices+ 4,257 $ 152,720
AMP Inc 6,768 263,106
Applied Materials Inc+ 5,620 284,513
EG&G Inc 1,420 30,885
Emerson Electric Co 6,964 689,436
General Signal Corp 1,557 67,924
Honeywell Inc 3,932 279,664
</TABLE>
69
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Intel Corp 25,377 $ 3,600,362
Johnson Controls Inc 1,290 108,683
LSI Logic Corp+ 3,978 137,241
Micron Technology Inc 6,493 243,488
National Semiconductor+ 4,286 111,972
Perkin-Elmer Corp 1,353 96,063
Pitney Bowes Inc 4,628 287,515
Tektronix Inc 1,035 50,456
Texas Instruments Inc 5,917 456,349
Xerox Corp 10,036 627,250
------------
TOTAL ELECTRONICS
- VALUE $ 7,487,627
- COST $ 3,964,140
ENERGY & RELATED-4.00%
Amerada Hess Corp 2,870 $ 153,186
Amoco Corp 15,412 1,302,314
Ashland Inc 1,963 82,201
Atlantic Richfield Corp 4,992 624,000
Burlington Resources Inc 3,862 169,445
Chevron Corp 20,217 1,303,997
Coastal Corp 3,255 148,103
Columbia Gas System Inc 1,723 101,226
Consolidated Natural Gas Co 2,891 147,441
Dresser Industries Inc 5,414 164,450
Eastern Enterprises 637 21,419
Enron Corp 7,851 313,059
Enserch Corp 2,169 45,549
Exxon Corp 38,459 3,841,093
Halliburton Co 3,864 249,711
Helmerich & Payne Inc 805 34,011
Kerr-McGee Corp 1,462 91,558
Louisiana Land & Exploration Co 1,092 52,143
Mobil Corp 12,172 1,494,113
NICOR Inc 1,498 50,183
NorAm Energy Corp 4,298 64,470
Occidental Petroleum Corp 10,175 259,463
ONEOK Inc 797 22,715
Oryx Energy Co+ 3,234 64,680
Pacific Enterprises Co 2,659 81,100
Panenergy Corp 4,666 198,888
</TABLE>
70
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Pennzoil Co 1,427 $ 81,874
Peoples Energy Corp 1,036 35,095
Phillips Petroleum Co 8,119 335,924
Rowan Co Inc+ 2,697 53,603
Royal Dutch Petroleum Co 16,599 2,871,627
Santa Fe Energy Resources Inc+ 2,831 36,449
Schlumberger Ltd 7,629 767,668
Sonat Offshore Drilling Co 2,636 121,256
Sun Co Inc 2,229 60,183
Texaco Inc 8,190 809,786
Union Pacific Resources Group 7,753 188,979
Unocal Corp 7,728 298,494
USX--Marathon Group 8,874 236,270
Western Atlas Inc 1,625 98,922
Williams Co Inc 4,841 211,794
------------
TOTAL ENERGY & RELATED
- VALUE $ 17,288,442
- COST $ 12,729,304
ENGINEERING & CONSTRUCTION-0.09%
Armstrong World Industries Inc 1,308 $ 90,089
Centex Corp 924 37,307
Federal National Mortgage Assoc 2,600 157,625
Fleetwood Enterprises Inc 1,134 29,484
Foster Wheeler Corp 1,255 48,945
Kaufman & Broad Home Corp 1,181 16,682
Pulte Corp 672 22,932
------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 403,064
- COST $ 351,760
ENTERTAINMENT & LEISURE-0.73%
Brunswick Corp 3,004 $ 85,990
Disney (Walt) Co 20,975 1,557,394
Harrah's Entertainment Inc+ 3,231 59,774
Hasbro Inc 2,641 112,903
Mattel Inc 8,463 210,517
Polaroid Corp 1,383 58,432
Time Warner Inc 17,589 721,149
U.S. West Media Group 19,318 354,968
------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 3,161,127
- COST $ 2,864,619
</TABLE>
71
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ENVIRONMENTAL CONTROL-0.17%
Browning-Ferris Industries Inc 6,554 $ 205,632
Safety-Kleen Corp 1,806 32,508
WMX Technologies Inc 15,041 475,672
------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 713,812
- COST $ 670,352
FOOD & RELATED-1.96%
Albertson's Inc 7,815 $ 275,479
American Brands Inc 5,298 278,807
American Stores Co 4,548 203,523
Archer-Daniels-Midland Co 16,901 312,669
Brown-Forman Corp Class B 2,112 94,512
Campbell Soup Co 7,193 648,269
ConAgra Inc 7,446 394,638
CPC International Inc 4,437 373,263
Darden Restaurants Inc 4,864 35,264
Fleming Co Inc 1,203 21,053
General Mills Inc 4,846 316,202
Giant Food Inc Class A 1,878 61,270
Great Atlantic & Pacific Tea Co 1,232 36,652
Harcourt General Inc 2,195 103,439
Heinz (H J) Co 11,396 474,359
Hershey Foods Corp 4,802 219,091
Kellogg Co 6,569 449,977
Kroger Co+ 3,888 206,064
McDonald's Corp 21,638 935,844
Pioneer Hi Bred International Inc 2,514 171,266
Quaker Oats Co 4,244 152,254
Ralston-Purina Group 3,309 271,752
Sara Lee Corp 15,004 581,405
Super Value Inc 2,056 63,736
Sysco Corp 5,496 190,986
Unilever NV (Netherlands) 4,966 946,023
UST Inc 5,723 176,698
Wendy's International Inc 4,027 83,560
Winn-Dixie Stores Inc 4,697 149,717
Wrigley (W M) Jr Co 3,650 218,544
------------
TOTAL FOOD & RELATED
- VALUE $ 8,446,316
- COST $ 6,546,796
</TABLE>
72
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FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FURNITURE & APPLIANCES-0.04%
Maytag Corp 3,084 $ 67,848
Whirlpool Corp 2,312 116,756
------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 184,604
- COST $ 180,142
HEALTHCARE-0.13%
Healthsouth Corp 4,898 $ 197,145
St Jude Medical Inc+ 2,502 98,829
United Healthcare Corp 5,675 283,041
------------
TOTAL HEALTHCARE
- VALUE $ 579,015
- COST $ 584,599
HOSPITAL & MEDICAL SUPPLIES-1.28%
Bard (C R) Inc 1,773 $ 48,536
Bausch & Lomb Inc 1,673 62,528
Baxter International Inc 8,464 389,344
Becton Dickinson & Co 3,890 191,583
Beverly Enterprises+ 3,064 44,045
Biomet Inc 3,611 55,068
Boston Scientific Corp 5,479 362,984
Columbia/HCA Healthcare Corp 20,822 874,524
Guidant Corp 2,347 157,249
Johnson & Johnson 41,254 2,377,262
Mallinckrodt Group Inc 2,283 97,028
Manor Care Inc 1,995 53,117
Medtronic Inc 7,402 479,280
Tenet Healthcare Corp+ 9,152 248,248
United States Surgical 1,972 84,057
------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 5,524,853
- COST $ 3,825,119
HOUSEHOLD PRODUCTS-1.29%
Alberto-Culver Co Class B 1,676 $ 47,766
Avon Products Inc 4,118 239,874
Colgate-Palmolive Co 4,513 467,096
Gillette Co 17,144 1,356,519
</TABLE>
73
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Kimberly-Clark Corp 8,762 $ 928,772
Procter & Gamble Co 21,135 2,538,842
------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 5,578,869
- COST $ 3,464,434
INSURANCE-1.96%
Aetna Inc 4,716 $ 390,839
Allstate Corp 13,772 872,801
American General Corp 6,286 272,655
American International Group Inc 14,518 1,756,678
Aon Corp 3,390 214,841
Chubb Corp 5,366 314,582
CIGNA Corp 2,370 362,314
Conseco Inc 5,218 204,807
General Re Corp 2,571 436,106
Humana Inc+ 5,030 98,714
ITT Hartford Group Inc 3,649 273,675
Jefferson-Pilot Corp 2,229 131,511
Lincoln National Corp 3,247 188,732
Loews Corp 3,592 366,833
Marsh & McLennan Companies Inc 2,206 258,102
MBIA Inc 1,364 133,161
Providian Corp 2,900 162,038
SAFECO Corp 3,888 162,324
St Paul Co 2,573 173,678
Torchmark Corp 2,142 126,110
Transamerica Corp 2,042 178,930
Travelers Inc 19,872 1,065,636
U.S. Life Corp 1,096 52,197
UNUM Corp 2,254 173,276
USF & G Corp 3,599 80,978
------------
TOTAL INSURANCE
- VALUE $ 8,451,518
- COST $ 5,842,996
LODGING-0.16%
HFS Inc+ 3,995 $ 273,658
Hilton Hotels Corp 7,622 191,503
Marriott International 3,961 209,933
------------
TOTAL LODGING
- VALUE $ 675,094
- COST $ 535,918
</TABLE>
74
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MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
MACHINERY-0.39%
Black & Decker Corp 2,736 $ 86,526
Case Corp 2,297 119,157
Caterpillar Inc 5,900 462,413
Cincinnati Milacron Inc 1,214 26,101
Cummins Engine Co Inc 1,230 62,269
Deere & Co 8,051 343,174
Giddings & Lewis Inc 1,009 13,937
Ingersoll-Rand Co 3,429 162,878
McDermott International Inc 1,744 38,804
Pall Corp 3,859 83,933
Parker Hannifin Corp 2,324 101,675
Thermo Electron Corp 4,635 158,169
------------
TOTAL MACHINERY
- VALUE $ 1,659,036
- COST $ 1,382,165
METAL FABRICATORS-0.55%
Alcan Aluminum Ltd 7,014 $ 251,627
Allegheny Teledyne Inc 5,368 136,884
Aluminum Co of America 5,393 384,251
Armco Inc+ 3,293 13,584
Barrick Gold Corp 11,085 313,151
Battle Mountain Gold Co 6,991 51,559
Bethlehem Steel Corp+ 3,485 28,751
Crane Co 1,448 47,241
Engelhard Corp 4,490 99,341
Freeport McMoRan Inc 5,988 203,592
Inland Steel Industries Inc 1,557 30,751
Nucor Corp 2,675 128,734
Phelps Dodge Corp 2,012 143,858
Placer Dome Inc 7,419 159,509
Reynolds Metals Co 1,961 123,053
Santa Fe Pacific Gold Corp 4,079 76,481
Timken Co 958 50,175
USX--U.S. Steel Group 2,624 82,328
Worthington Industries Inc 2,845 59,389
------------
TOTAL METAL FABRICATORS
- VALUE $ 2,384,259
- COST $ 2,113,329
</TABLE>
75
<PAGE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS-3.30%
Abbott Laboratories 24,043 $ 1,352,419
Allergan Inc 2,071 70,414
ALZA Corp+ 2,667 75,676
American Home Products Corp 19,829 1,269,056
Amgen Inc+ 8,200 501,225
Bristol-Myers Squibb Co 15,517 2,024,969
Lilly (Eli) & Co 17,084 1,492,715
Merck & Co Inc 37,385 3,439,420
Millipore Corp 1,340 57,788
Pfizer Inc 19,926 1,825,720
Pharmacia and Upjohn Inc 15,702 579,011
Schering-Plough Corp 11,442 876,743
Warner Lambert Co 8,404 705,936
------------
TOTAL PHARMACEUTICALS
- VALUE $ 14,271,092
- COST $ 8,586,174
PUBLISHING-0.39%
American Greetings Corp Class A 2,364 $ 73,284
Comcast Corp Class A 10,111 180,734
Donnelley (R R) & Sons Co 4,690 144,804
Dow Jones & Co Inc 3,037 121,860
Gannett Co Inc 4,330 345,318
Harland (John H) Co 997 30,159
Interpublic Group Co Inc 2,508 125,714
Knight-Ridder Inc 2,944 117,024
McGraw-Hill Inc 3,119 161,798
Meredith Corp 795 38,955
Moore Corp Ltd 3,139 69,450
New York Times Co Class A 3,015 134,168
Times Mirror Co Class A 3,053 157,230
------------
TOTAL PUBLISHING
- VALUE $ 1,700,498
- COST $ 1,335,897
RETAIL & RELATED-1.94%
AutoZone Inc+ 4,662 $ 115,385
Charming Shoppes Inc+ 3,210 14,244
Circuit City Stores Inc 3,035 94,844
Costco Co Inc 500 12,813
Dayton-Hudson Corp 6,759 283,878
Dillard Department Inc Class A 3,513 105,829
</TABLE>
76
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Eastman Kodak Co 10,317 $ 924,661
Federated Department Stores Inc 6,427 223,338
Gap Inc 8,822 291,126
Home Depot Inc 14,908 812,486
Jostens Inc 1,160 24,940
K Mart Corp+ 15,037 187,963
Limited Inc 8,449 160,531
Longs Drug Stores Corp 1,254 31,820
Lowe's Co Inc 5,312 193,888
May Department Stores Co 7,765 362,043
Mercantile Stores Co Inc 1,192 57,216
Newell Co 4,958 184,066
Nordstrom Inc 2,509 92,206
Penney (J C) Co Inc 7,924 390,257
Price/Costco Inc 6,048 154,980
Rite Aid Corp 3,835 161,549
Sears Roebuck & Co 12,154 659,355
Sherwin Williams Co 2,630 147,609
Tandy Corp 1,825 91,934
TJX Companies Inc 2,408 100,534
Toys R Us Inc+ 8,529 221,754
Walgreen Co 7,628 326,097
WalMart Stores Inc 71,055 1,874,076
Woolworth (F W) Co+ 4,167 86,986
------------
TOTAL RETAIL & RELATED
- VALUE $ 8,388,408
- COST $ 6,715,890
SERVICES-0.22%
Block (H R) Inc 3,256 $ 95,645
CUC International Inc 12,211 291,526
Dun & Bradstreet Corp 5,284 129,458
Public Service Enterprise Group 7,436 209,138
Service Corp International 7,326 212,454
------------
TOTAL SERVICES
- VALUE $ 938,221
- COST $ 868,402
TELECOMMUNICATIONS-3.46%
Airtouch Communications 15,545 $ 423,601
Alltel Corp 5,911 209,102
Ameritech Corp 17,072 1,088,340
Andrew Corp 1,861 102,355
</TABLE>
77
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MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
AT & T Corp 50,212 $ 2,002,204
Bell Atlantic Corp 13,605 940,446
BellSouth Corp 30,742 1,441,031
DSC Communications Corp+ 3,618 75,978
Frontier Corp 5,083 112,461
General Instrument Corp+ 4,215 100,106
GTE Corp 29,822 1,394,179
ITT Corp 3,649 206,169
Lucent Technologies Inc 19,710 1,061,876
MCI Communications Corp 21,201 757,936
Northern Telecom Ltd 8,022 576,581
NYNEX Corp 13,594 700,091
Pacific Telesis Group 13,287 541,445
SBC Communication Inc 18,738 1,077,435
Scientific-Atlanta Inc 2,411 40,384
Sprint Corp 13,297 605,014
Tellabs Inc 5,522 220,190
U.S. West Inc 14,781 532,116
WorldCom Inc 26,994 718,715
------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 14,927,755
- COST $ 12,403,655
TEXTILES-0.01%
Springs Industries Inc Class A 650 $ 28,681
------------
TOTAL TEXTILES
- VALUE $ 28,681
- COST $ 25,664
TOBACCO-0.79%
Philip Morris Co Inc 25,243 $ 3,410,960
------------
TOTAL TOBACCO
- VALUE $ 3,410,960
- COST $ 1,885,697
TRANSPORTATION-0.49%
Burlington Northern Santa Fe 4,769 $ 397,019
Caliber Systems Inc 1,173 26,686
Conrail Inc 2,500 261,250
CSX Corp 6,759 311,759
Federal Express Corp 3,510 180,765
Laidlaw Inc Class B 9,746 135,226
</TABLE>
78
<PAGE>
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FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Norfolk Southern Corp 3,844 $ 350,285
Union Pacific Corp 7,588 457,177
------------
TOTAL TRANSPORTATION
- VALUE $ 2,120,167
- COST $ 1,808,082
UTILITIES-1.10%
American Electric Power Inc 5,764 $ 240,647
Baltimore Gas & Electric Co 4,574 125,785
Carolina Power & Light Co 4,719 175,193
Central & South West Corp 6,503 158,511
Cinergy Corp 4,861 167,705
Consolidated Edison Co 7,247 223,751
Dominion Resources Inc 5,560 223,790
DTE Energy Co 4,538 137,275
Duke Power Co 6,291 278,377
Edison International 13,413 288,380
Entergy Corp 7,185 189,504
FPL Group Inc 5,622 255,801
GPU Inc 3,732 130,620
Houston Industries Inc 7,234 168,191
Niagara Mohawk Power Corp+ 4,450 45,613
Northern States Power Co 2,092 99,632
Ohio Edison Co 4,698 105,705
Pacificorp 9,087 187,419
PECO Energy Co 6,884 154,890
PG & E Corp 12,733 292,859
PP & L Resources Inc 4,986 114,055
Southern Co 20,870 453,923
Texas Utilities Co 6,947 280,485
Unicom Corp 6,661 148,207
Union Electric Co 3,178 121,956
------------
TOTAL UTILITIES
- VALUE $ 4,768,274
- COST $ 4,592,323
------------
TOTAL COMMON STOCKS
- VALUE $187,634,768
- COST $133,415,531
</TABLE>
79
<PAGE>
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MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
SECURITY NAME RATE DATE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES-55.54%
U.S. TREASURY BONDS-55.54%
U.S. Treasury Bonds 9.13% 05/15/18 $ 7,300,000 $ 9,070,250
U.S. Treasury Bonds 9.00 11/15/18 5,700,000 7,014,563
U.S. Treasury Bonds 8.88 08/15/17 1,300,000 1,575,842
U.S. Treasury Bonds 8.88 02/15/19 13,300,000 16,188,574
U.S. Treasury Bonds 8.75 05/15/17 10,600,000 12,693,500
U.S. Treasury Bonds 8.75 08/15/20 12,200,000 14,735,306
U.S. Treasury Bonds 8.50 02/15/20 12,300,000 14,483,250
U.S. Treasury Bonds 8.13 08/15/19 14,100,000 15,985,875
U.S. Treasury Bonds 8.13 05/15/21 5,350,000 6,080,601
U.S. Treasury Bonds 8.13 08/15/21 15,700,000 17,858,750
U.S. Treasury Bonds 8.00 11/15/21 20,850,000 23,417,156
U.S. Treasury Bonds 7.88 02/15/21 5,400,000 5,978,804
U.S. Treasury Bonds 7.63 11/15/22 12,850,000 13,886,031
U.S. Treasury Bonds 7.63 02/15/25 5,500,000 5,976,086
U.S. Treasury Bonds 7.50 11/15/16 900,000 956,250
U.S. Treasury Bonds 7.50 11/15/24 17,750,000 18,992,500
U.S. Treasury Bonds 7.25 08/15/22 13,200,000 13,670,250
U.S. Treasury Bonds 7.13 02/15/23 15,450,000 15,787,969
U.S. Treasury Bonds 6.88 08/15/25 8,800,000 8,772,500
U.S. Treasury Bonds 6.75 08/15/26 2,950,000 2,908,511
U.S. Treasury Bonds 6.25 08/15/23 13,600,000 12,469,500
U.S. Treasury Bonds 6.25 02/15/26 1,600,000 1,420,499
------------
TOTAL U.S. TREASURY SECURITIES
- VALUE $239,922,567
- COST $237,146,195
</TABLE>
80
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY PRINCIPAL/
SECURITY NAME RATE DATE SHARES VALUE
<S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS-9.01%
CASH EQUIVALENTS-2.82%
Dreyfus Cash Management Fund++ -- -- $ 7,477,380 $ 7,477,380
Janus Institutional Money Market
Fund++ -- -- 4,689,257 4,689,257
------------
$ 12,166,637
REPURCHASE AGREEMENTS-6.02%
Goldman Sachs Repurchase
Agreement++, dated 02/28/97,
due 03/03/97, with a maturity
value of $26,000,000 and an
effective yield of 4.85%,
collateralized by Federal
National Mortgage Association
obligations, with rates ranging
from 6.08% to 6.09% with
maturity dates ranging from
12/01/33 to 01/01/34 and with
an aggregate market value of
$26,520,000. $ 26,000,000 $ 26,000,000
U.S. TREASURY BILLS-0.17%
U.S. Treasury Bills 4.91%* 03/06/97 $ 51,000 $ 50,966
U.S. Treasury Bills 4.91* 03/13/97 205,000 204,670
U.S. Treasury Bills 5.10* 04/24/97 178,000 176,706
U.S. Treasury Bills 5.09* 05/15/97 203,000 200,938
U.S. Treasury Bills 5.10* 05/29/97 120,000 118,530
------------
$ 751,810
------------
TOTAL SHORT-TERM INSTRUMENTS
- VALUE $ 38,918,447
- COST $ 38,949,760
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $409,511,486)** (Notes 1 and 3) 107.99% $466,475,782
Other Assets and Liabilities, Net (7.99)% (34,515,943)
------- ------------
TOTAL NET ASSETS 100.00% $431,959,839
======= ============
</TABLE>
- --------------------------------------------------------------------------------
+ Non-income earning securities.
++ Represents collateral received from securities lending 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 $59,106,848
Gross Unrealized
Depreciation (2,142,552)
-----------
NET UNREALIZED APPRECIATION $56,964,296
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
81
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-22.95%
AEROSPACE & DEFENSE-0.45%
$ 1,000,000 Lockheed Martin Corp 6.85% 05/15/01 $ 1,004,624
AUTOMOBILES-0.59%
$ 500,000 Ford Motor Co 8.88% 04/01/06 $ 555,222
750,000 General Motors Corp 8.13 04/15/16 759,345
------------
$ 1,314,567
BANK & FINANCE-9.81%
$ 500,000 African Development Bank 7.75% 12/15/01 $ 521,087
1,000,000 American General Finance 5.88 07/01/00 976,613
1,000,000 Associates Corp of North America 7.25 05/15/98 1,012,051
500,000 BankAmerica Corp 7.20 04/15/06 501,680
1,000,000 Chemical New York Corp 9.75 06/15/99 1,067,896
750,000 Chrysler Financial Corp 5.38 10/15/98 740,440
1,500,000 CIT Group Holdings 6.63 06/15/05 1,460,141
1,000,000 Commercial Credit Corp 8.70 06/15/10 1,127,615
1,000,000 Dresdner Bank Ag 6.63 09/15/05 969,692
500,000 First Union Corp 6.63 07/15/05 480,487
500,000 Ford Capital Bv 9.00 08/15/98 518,331
1,000,000 Ford Motor Credit Corp 8.00 06/15/02 1,046,169
750,000 Ford Motor Credit Corp 7.75 10/01/99 771,654
500,000 General Electric Capital Corp 8.75 05/21/07 561,535
500,000 Hertz Corp 6.50 04/01/00 497,973
500,000 Hertz Corp 6.38 10/15/05 474,014
1,500,000 Household Finance Corp 6.70 06/15/02 1,487,775
500,000 International Bank of
Reconstruction & Development 5.25 09/16/03 464,107
1,000,000 KFW International Finance 7.63 02/15/04 1,040,525
500,000 Lehman Brothers Inc 9.88 10/15/00 544,938
1,000,000 Mellon Capital II 7.99 01/15/27 993,656
1,000,000 National Westminister Bank Corp 9.45 05/01/01 1,096,036
500,000 NationsBank Corp 6.88 02/15/05 493,680
1,000,000 Norwest Corp 6.65 10/15/23 889,141
500,000 Swiss Bank Corp 7.00 10/15/15 475,581
1,510,000 Travelers/Aetna Property &
Casualty Corp 6.75 04/15/01 1,508,709
------------
$ 21,721,526
</TABLE>
82
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
BASIC INDUSTRIES-0.84%
$ 1,000,000 International Paper Co 9.40% 06/01/02 $ 1,109,983
750,000 Weyerhaeuser Co 7.50 03/01/13 758,566
------------
$ 1,868,549
BEVERAGES-0.71%
$ 500,000 Anheuser Busch Co 8.75% 12/01/99 $ 526,771
1,000,000 Coca-Cola Enterprises 8.00 09/15/22 1,052,162
------------
$ 1,578,933
BUILDING MATERIALS & SERVICES-0.23%
$ 500,000 Hanson Overseas Bv 7.38% 01/15/03 $ 507,868
CHEMICALS-0.91%
$ 500,000 Dow Chemical Co 8.62% 04/01/06 $ 552,225
500,000 Dupont Corp 6.00 12/01/01 486,440
1,000,000 Eastman Chemical Co 6.38 01/15/04 965,281
------------
$ 2,003,946
COMPUTER SYSTEMS-0.23%
International Business Machines
$ 500,000 Corp 6.38% 06/15/00 $ 497,909
ENERGY & RELATED-0.45%
$ 1,000,000 Phillips 66 Capital Trust II 8.00% 01/15/37 $ 993,897
ENGINEERING & CONSTRUCTION-0.48%
$ 500,000 Archer-Daniels-Midland Co 8.38% 04/15/17 $ 551,189
500,000 Matsushita Corp ADR 7.25 08/01/02 512,482
------------
$ 1,063,671
ENTERTAINMENT & LEISURE-0.22%
$ 500,000 Disney (Walt) Co 6.75% 03/30/06 $ 491,091
ENVIRONMENTAL CONTROL-0.17%
$ 350,000 Browning-Ferris 7.88% 03/15/05 $ 366,157
FOOD & RELATED-0.23%
$ 500,000 McDonald's Corp 6.75% 02/15/03 $ 499,543
HEALTHCARE-0.46%
$ 1,000,000 Columbia/HCA Healthcare Corp 7.25% 05/20/08 $ 1,011,597
INSURANCE-0.45%
$ 1,000,000 Aetna Services Inc 7.12% 08/15/06 $ 995,928
MACHINERY-0.24%
$ 500,000 Caterpillar Inc 8.00% 02/15/23 $ 528,362
PHARMACEUTICALS-0.44%
$ 1,000,000 Lilly (Eli) & Co 7.12% 06/01/25 $ 974,193
PUBLISHING-0.97%
$ 2,000,000 News America Holdings 8.50% 02/15/05 $ 2,141,362
</TABLE>
83
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
TELECOMMUNICATIONS-2.17%
Bell Telephone Co of
$ 1,000,000 Pennsylvania 8.75% 08/15/31 $ 1,152,696
500,000 GTE California Corp 5.63 02/01/01 481,951
750,000 GTE North Inc 6.00 01/15/04 710,396
1,000,000 Lucent Technologies Inc 6.90 07/15/01 1,009,639
500,000 Michigan Bell Telephone 6.38 02/01/05 482,986
500,000 New York Telephone Co 5.88 09/01/03 476,239
500,000 Southwestern Bell Telephone Co 6.75 06/01/08 480,916
------------
$ 4,794,823
TOBACCO-0.22%
$ 500,000 Philip Morris Co 7.12% 10/01/04 $ 495,074
UTILITIES-2.68%
$ 500,000 Alabama Power Co 8.50% 05/01/22 $ 516,865
1,000,000 Central Power & Light Co 6.63 07/01/05 969,851
500,000 Hydro-Quebec 8.50 12/01/29 546,795
500,000 Pacific Gas & Electric Co 8.80 05/01/24 574,843
1,000,000 Pacific Gas & Electric Co 7.88 03/01/02 1,037,569
500,000 Pennsylvania Power & Light Corp 7.75 05/01/02 515,429
750,000 Philadelphia Electric Co 8.75 04/01/22 786,396
500,000 Public Services Electric & Gas 6.13 08/01/02 481,448
500,000 Virginia Electric & Power Co 7.38 07/01/02 511,625
------------
$ 5,940,821
TOTAL CORPORATE BONDS & NOTES $ 50,794,441
(Cost $50,327,830)
FOREIGN GOVERNMENT BONDS & NOTES++-2.62%
$ 1,000,000 British Columbia (Province Of) 6.50% 01/15/26 $ 910,180
500,000 Finland (Republic Of) 7.88 07/28/04 532,581
500,000 Ireland (Republic Of) 7.12 07/15/02 504,244
500,000 Italy (Republic Of) 6.00 09/27/03 483,947
750,000 Ontario (Province Of) 7.63 06/22/04 786,772
1,200,000 Quebec (Province of) 8.62 01/19/05 1,312,536
750,000 Sweden (Kingdom Of) 6.50 03/04/03 741,599
500,000 Victoria (Province of) 8.45 10/01/01 537,179
------------
TOTAL FOREIGN GOVERNMENT BONDS & NOTES $ 5,809,038
(Cost $5,696,404)
</TABLE>
84
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES-9.10%
FEDERAL AGENCY-OTHER-1.65%
$ 500,000 Resolution Funding Corp 9.38% 10/15/20 $ 631,072
300,000 Resolution Funding Corp 8.88 04/15/30 364,465
300,000 Tennessee Valley Authority 8.62 11/15/29 319,526
1,000,000 Tennessee Valley Authority 8.38 10/01/99 1,048,946
100,000 Tennessee Valley Authority 8.25 04/15/42 107,080
200,000 Tennessee Valley Authority 7.75 12/15/22 202,337
1,000,000 Tennessee Valley Authority 6.13 07/15/03 967,574
------------
$ 3,641,000
FEDERAL NATIONAL MORTGAGE ASSOCIATION-7.45%
$ 500,000 Federal National Mortgage Assoc 8.25% 12/18/00 $ 530,109
500,000 Federal National Mortgage Assoc 7.90 04/10/02 496,610
500,000 Federal National Mortgage Assoc 7.55 04/22/02 521,270
200,000 Federal National Mortgage Assoc 7.55 06/10/04 201,337
1,000,000 Federal National Mortgage Assoc 7.26* 07/05/14 290,000
2,000,000 Federal National Mortgage Assoc 7.15 10/11/06 1,991,494
1,000,000 Federal National Mortgage Assoc 6.95 09/10/02 995,625
1,500,000 Federal National Mortgage Assoc 6.77 01/19/06 1,467,257
4,000,000 Federal National Mortgage Assoc 6.70 08/10/01 4,005,411
400,000 Federal National Mortgage Assoc 6.50 11/27/01 395,156
2,000,000 Federal National Mortgage Assoc 6.40 03/25/03 1,954,038
1,000,000 Federal National Mortgage Assoc 6.35 06/10/05 970,420
1,500,000 Federal National Mortgage Assoc 6.33 08/11/00 1,496,484
505,000 Federal National Mortgage Assoc 6.14 11/25/05 482,387
400,000 Federal National Mortgage Assoc 5.30 12/10/98 394,378
300,000 Federal National Mortgage Assoc 5.25 05/13/98 297,377
------------
$ 16,489,353
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 20,130,353
(Cost $19,914,827)
U.S. TREASURY SECURITIES-62.79%
U.S. TREASURY BONDS-15.31%
$ 190,000 U.S. Treasury Bonds 13.88% 05/15/11 $ 283,159
2,600,000 U.S. Treasury Bonds 12.00 08/15/13 3,672,499
6,050,000 U.S. Treasury Bonds 11.25 02/15/15 8,783,843
890,000 U.S. Treasury Bonds 11.13 08/15/03 1,105,825
700,000 U.S. Treasury Bonds 10.75 02/15/03 846,780
250,000 U.S. Treasury Bonds 10.63 08/15/15 347,265
500,000 U.S. Treasury Bonds 9.13 05/15/09 570,156
</TABLE>
85
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
$ 375,000 U.S. Treasury Bonds 8.75% 11/15/08 $ 416,953
1,900,000 U.S. Treasury Bonds 8.75 08/15/20 2,294,843
2,450,000 U.S. Treasury Bonds 8.13 08/15/19 2,777,687
1,000,000 U.S. Treasury Bonds 8.13 08/15/21 1,137,500
1,700,000 U.S. Treasury Bonds 7.88 02/15/21 1,882,216
700,000 U.S. Treasury Bonds 7.63 11/15/22 756,438
1,400,000 U.S. Treasury Bonds 7.63 02/15/25 1,521,185
3,000,000 U.S. Treasury Bonds 7.50 11/15/16 3,187,499
1,000,000 U.S. Treasury Bonds 7.25 08/15/22 1,035,625
900,000 U.S. Treasury Bonds 6.75 08/15/26 887,342
2,500,000 U.S. Treasury Bonds 6.50 11/15/26 2,389,063
------------
$ 33,895,878
U.S. TREASURY NOTES-47.48%
$ 3,400,000 U.S. Treasury Notes 9.13% 05/15/99 $ 3,606,124
1,700,000 U.S. Treasury Notes 9.00 05/15/98 1,761,625
3,400,000 U.S. Treasury Notes 8.75 08/15/00 3,657,124
1,400,000 U.S. Treasury Notes 8.00 05/15/01 1,484,435
1,400,000 U.S. Treasury Notes 7.75 11/30/99 1,453,810
2,700,000 U.S. Treasury Notes 7.50 11/15/01 2,817,276
2,000,000 U.S. Treasury Notes 7.50 02/15/05 2,116,872
13,400,000 U.S. Treasury Notes 7.25 02/15/98 13,575,874
800,000 U.S. Treasury Notes 7.25 08/15/04 834,500
400,000 U.S. Treasury Notes 7.12 09/30/99 409,000
1,000,000 U.S. Treasury Notes 7.12 02/29/00 1,024,061
13,000,000 U.S. Treasury Notes 7.00 07/15/06 13,361,555
1,200,000 U.S. Treasury Notes 6.88 08/31/99 1,219,500
2,250,000 U.S. Treasury Notes 6.50 05/31/01 2,260,544
2,000,000 U.S. Treasury Notes 6.50 05/15/05 1,993,750
1,500,000 U.S. Treasury Notes 6.50 08/15/05 1,495,313
700,000 U.S. Treasury Notes 6.50 10/15/06 694,968
2,950,000 U.S. Treasury Notes 6.38 01/15/99 2,963,823
4,100,000 U.S. Treasury Notes 6.38 08/15/02 4,094,874
1,800,000 U.S. Treasury Notes 6.25 05/31/00 1,799,435
2,400,000 U.S. Treasury Notes 6.25 08/31/00 2,396,999
7,700,000 U.S. Treasury Notes 6.25 02/15/03 7,635,019
1,000,000 U.S. Treasury Notes 6.00 10/15/99 996,875
16,100,000 U.S. Treasury Notes 5.88 08/15/98 16,084,881
1,000,000 U.S. Treasury Notes 5.88 11/15/99 992,500
2,750,000 U.S. Treasury Notes 5.88 02/15/04 2,657,187
500,000 U.S. Treasury Notes 5.88 11/15/05 477,343
</TABLE>
86
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
PRINCIPAL/ INTEREST MATURITY
SHARES SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
$ 1,100,000 U.S. Treasury Notes 5.75% 08/15/03 $ 1,059,092
600,000 U.S. Treasury Notes 5.63 11/30/00 586,312
1,000,000 U.S. Treasury Notes 5.63 02/28/01 975,311
850,000 U.S. Treasury Notes 5.50 11/15/98 842,827
600,000 U.S. Treasury Notes 5.13 02/28/98 596,062
500,000 U.S. Treasury Notes 5.00 01/31/99 490,468
2,300,000 U.S. Treasury Notes 5.00 02/15/99 2,254,715
2,000,000 U.S. Treasury Notes 4.75 09/30/98 1,966,250
2,500,000 U.S. Treasury Notes 4.75 10/31/98 2,449,214
------------
$105,085,518
TOTAL U.S. TREASURY SECURITIES $138,981,396
(Cost $139,589,109)
SHORT-TERM INSTRUMENTS-11.75%
CASH EQUIVALENTS-3.05%
$ 3,000,000 American AAdvantage Money
Market Fund+ -- -- $ 3,000,000
838,500 Dreyfus Cash Management Fund+ -- -- 838,500
2,900,000 Janus Institutional Money
Market Fund+ -- -- 2,900,000
------------
$ 6,738,500
REPURCHASE AGREEMENTS--7.23%
$16,000,000 Goldman Sachs Repurchase
Agreement+, dated 02/28/97, due
03/03/97, with a maturity value
of $16,000,000 and an effective
yield of 4.85%, collateralized
by a Federal National Mortgage
Association obligation with a
rate of 6.08% with a maturity
date of 12/01/33 and with an
aggregate market value of
$16,320,000. $ 16,000,000
U.S. TREASURY BILLS-1.47%
$ 44,000 U.S. Treasury Bills 4.91%* 03/13/97 $ 43,929
26,000 U.S. Treasury Bills 5.03%* 04/03/97 25,890
35,000 U.S. Treasury Bills 5.16%* 04/17/97 34,774
78,000 U.S. Treasury Bills 5.10%* 04/24/97 77,433
2,738,000 U.S. Treasury Bills 5.05%* 05/01/97 2,715,472
275,000 U.S. Treasury Bills 5.09%* 05/15/97 272,206
92,000 U.S. Treasury Bills 5.10%* 05/29/97 90,873
------------
$ 3,260,577
TOTAL SHORT-TERM INSTRUMENTS $ 25,999,077
(Cost $26,499,310)
</TABLE>
87
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
TOTAL INVESTMENT IN SECURITIES
(Cost $242,027,480) **
(Notes 1 and 3) 109.21% $241,714,305
Other Assets and
Liabilities, Net (9.21)% (20,384,801)
------- ------------
TOTAL NET ASSETS 100.00 % $221,329,504
======= ============
</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 depreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $ 2,194,273
Gross Unrealized
Depreciation (2,507,448)
-----------
NET UNREALIZED DEPRECIATION $ (313,175)
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
88
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--
FEBRUARY 28, 1997
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-96.55%
ADVERTISING-1.78%
HA-LO Industries Inc 137,500 $ 2,165,625
Snyder Communications Inc 60,000 1,620,000
------------
TOTAL ADVERTISING
- VALUE $ 3,785,625
- COST $ 2,724,881
AIRLINES-2.00%
Atlas Air Inc 82,500 $ 1,660,313
Mesa Air Group Inc+ 150,000 956,250
Southwest Airlines Co 70,000 1,645,000
------------
TOTAL AIRLINES
- VALUE $ 4,261,563
- COST $ 6,979,750
APPAREL-0.41%
North Face Inc 50,500 $ 877,438
------------
TOTAL APPAREL
- VALUE $ 877,438
- COST $ 1,034,534
BANK & FINANCE-6.40%
Capital One Financial Corp 135,000 $ 5,366,250
Envoy Corp 188,500 4,524,000
Money Store Inc 70,000 1,811,250
RAC Financial Group Inc 59,000 1,924,875
------------
TOTAL BANK & FINANCE
- VALUE $ 13,626,375
- COST $ 9,052,903
BIOTECHNOLOGY-4.15%
Cardiovascular Dynamics Inc 88,000 $ 946,000
CN Neurex Corp 85,000 1,232,500
General Surgical Innovations Inc 115,000 905,625
Genzyme Corp--General Division 125,000 3,218,750
Palomar Medical Tech Inc 100,000 793,750
Uroquest Medical Corp 150,000 806,250
Vidamed Inc 100,000 937,500
------------
TOTAL BIOTECHNOLOGY
- VALUE $ 8,840,375
- COST $ 10,692,895
</TABLE>
89
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BROADCASTING-1.69%
Regal Cinemas Inc 135,000 $ 3,594,375
------------
TOTAL BROADCASTING
- VALUE $ 3,594,375
- COST $ 4,141,930
BUSINESS SERVICES-1.96%
Accustaff Inc 155,000 $ 3,216,250
Staffmark Inc 70,000 901,250
Transition Systems, Inc 5,000 66,875
------------
TOTAL BUSINESS SERVICES
- VALUE $ 4,184,375
- COST $ 4,351,202
CHEMICALS-0.07%
Quadrax Corp+ 200,000 $ 156,240
------------
TOTAL CHEMICALS
- VALUE $ 156,240
- COST $ 422,319
COMPUTER SOFTWARE-16.82%
America Online Inc+ 135,000 $ 5,062,500
Avanti Corp 15,000 457,500
Bitstream Inc 75,000 346,875
Clarify, Inc 30,000 768,750
Cognos Inc 135,000 3,180,936
Farallon Communications 29,000 159,500
HBO & Co 38,000 2,189,750
Inference Corp Class A 127,500 1,004,063
Information Management Resources Corp 8,000 151,000
Integrated Systems Inc 40,000 910,000
Medic Computer Systems Inc 90,000 3,240,000
Microsoft Corp 45,000 4,387,500
Minet Systems Inc 55,000 1,340,625
Oracle Systems Corp 92,500 3,630,625
Physician Computer Network Inc 40,000 320,000
Pure Atria Corp 100,061 1,919,920
Quadramed Corp 100,000 1,100,000
RadiSys Corp 35,000 1,251,250
V-One Corp 20,000 135,000
</TABLE>
90
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY
28, 1997
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Veritas Software Inc 100,000 $ 3,175,000
Viasoft Inc 30,000 1,080,000
------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 35,810,794
- COST $ 39,167,806
COMPUTER SYSTEMS-10.03%
Adaptec Inc 175,000 $ 6,660,938
Cisco Systems Inc+ 75,000 4,171,875
IKOS Systems Inc+ 95,000 2,090,000
Komag Inc+ 185,000 5,550,000
Overland Data Inc 25,000 275,000
Radiant Systems Inc 60,000 570,000
Xylan Corp 115,000 2,041,250
------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 21,359,063
- COST $ 17,934,334
ELECTRICAL EQUIPMENT-1.07%
OnTrak Systems Inc 100,000 $ 2,275,000
------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 2,275,000
- COST $ 2,087,209
ELECTRONICS-2.08%
Analog Devices Inc 93,333 $ 2,169,999
Integrated Process Equipment 60,000 1,515,000
Interlink Electronics Inc 95,000 736,250
------------
TOTAL ELECTRONICS
- VALUE $ 4,421,249
- COST $ 4,388,619
ENERGY & RELATED-10.00%
Anadarko Petroleum Corp 30,000 $ 1,687,500
Diamond Offshore Drilling Inc 31,000 1,829,000
Edge Petroleum Corp 7,000 121,625
Ensco International Inc+ 125,000 5,421,875
Global Industries Ltd 110,000 2,007,500
Newpark Resources Inc+ 59,900 2,725,450
Parker Drilling Co+ 115,000 963,125
Pride Petroleum Inc 50,000 837,500
Reading & Bates Corp+ 40,000 970,000
Smedvig ASA ADR 40,000 955,000
United Meridian Corp 35,000 1,054,375
</TABLE>
91
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Veritas Inc+ 110,000 $ 1,828,750
Vintage Petroleum Inc 30,000 903,750
------------
TOTAL ENERGY & RELATED
- VALUE $ 21,305,450
- COST $ 19,042,337
ENTERTAINMENT & LEISURE-1.84%
Anchor Gaming 30,000 $ 930,000
Family Golf Centers Inc 65,000 1,787,500
Vail Resorts Inc 55,000 1,203,125
------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 3,920,625
- COST $ 3,684,551
ENVIRONMENTAL CONTROL-1.90%
Molten Metal Technology Inc 95,000 $ 1,080,625
Stericycle Inc 90,000 843,750
Tetra Technologies Inc 90,000 2,126,250
------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 4,050,625
- COST $ 4,692,613
FOOD & RELATED-1.56%
Northland Cranberries Class A 135,000 $ 2,328,750
Suiza Foods Corp 40,000 1,005,000
------------
TOTAL FOOD & RELATED
- VALUE $ 3,333,750
- COST $ 4,176,458
FURNITURE & APPLIANCES-0.22%
AMRE Inc+ 125,000 $ 250
Landec Corp 82,000 471,500
------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 471,750
- COST $ 2,932,128
HEALTHCARE-7.82%
3D Labs Inc Limited 44,500 $ 1,001,250
Genesis Health Ventures Inc 167,500 5,799,688
Healthsouth Corp 145,000 5,836,250
Renal Treatment Centers 155,000 4,030,000
------------
TOTAL HEALTHCARE
- VALUE $ 16,667,188
- COST $ 9,356,745
</TABLE>
92
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY
28, 1997
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HOSPITAL & MEDICAL SUPPLIES-3.64%
Closure Medical Corp 83,500 $ 1,419,500
Endosonics Corp 170,000 1,933,750
Homegate Hospitality Inc 140,000 1,080,618
Life Med Sciences Inc 95,000 439,375
Phycor Inc 5,000 151,875
Ultrafem Inc 165,000 2,722,500
------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 7,747,618
- COST $ 8,042,666
LODGING-0.90%
HFS Inc+ 28,000 $ 1,918,000
------------
TOTAL LODGING
- VALUE $ 1,918,000
- COST $ 1,610,188
MACHINERY-0.48%
Watsco Inc 35,000 $ 1,015,000
------------
TOTAL MACHINERY
- VALUE $ 1,015,000
- COST $ 1,050,000
METAL FABRICATORS-0.73%
Gibraltar Steel Corp 70,000 $ 1,557,500
------------
TOTAL METAL FABRICATORS
- VALUE $ 1,557,500
- COST $ 1,378,437
PHARMACEUTICALS-2.98%
Algos Pharmaceuticals Corp 15,000 $ 270,000
Anesta Corp 100,000 1,800,000
BioChem Pharma Inc+ 50,000 2,650,000
Liposome Co Inc 60,000 1,492,500
Seragen Inc 120,000 142,500
------------
TOTAL PHARMACEUTICALS
- VALUE $ 6,355,000
- COST $ 6,179,192
</TABLE>
93
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
RETAIL & RELATED-3.81%
Corporate Express Inc 222,500 $ 4,171,875
Eagle Hardware & Garden Inc+ 125,000 2,437,500
NuCo2 Inc 120,000 1,500,000
------------
TOTAL RETAIL & RELATED
- VALUE $ 8,109,375
- COST $ 9,044,517
TELECOMMUNICATIONS-11.46%
Amati Communications Corp 65,000 $ 901,875
Ascend Communications Inc+ 73,000 3,814,250
Electromagnetic Sciences Inc+ 20,000 445,000
LCI International Inc+ 240,000 4,560,000
Lightbridge Inc 4,500 39,375
Nextel Communications Class A 182,000 2,593,500
Nokia Corp 70,000 4,095,000
Paging Network Inc+ 232,500 3,502,031
Proxim Inc 235,000 4,465,000
------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 24,416,031
- COST $ 25,791,443
TRANSPORTATION-0.75%
Trico Marine Services Inc 39,200 $ 1,587,600
------------
TOTAL TRANSPORTATION
- VALUE $ 1,587,600
- COST $ 895,291
------------
TOTAL COMMON STOCKS
- VALUE $205,647,984
- COST $200,854,948
CLOSED-END MUTUAL FUNDS-0.13%
Morgan Stanley India Investment Fund+ 25,000 $ 275,000
------------
TOTAL CLOSED-END MUTUAL FUNDS
- VALUE $ 275,000
- COST $ 345,910
WARRANTS-3.01%
Intel Corp Warrant Expires 03/14/98 63,000 $ 6,409,261
------------
TOTAL WARRANTS
- VALUE $ 6,409,261
- COST $ 916,688
</TABLE>
94
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY
28, 1997
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
SECURITY NAME RATE DATE PRINCIPAL VALUE
<C> <S> <C> <C> <C>
CONVERTIBLE CORPORATE BONDS-0.40%
First Financial Management Corp 5.00% 12/15/99 $500,000 $ 852,500
------------
TOTAL CONVERTIBLE CORPORATE BONDS
- VALUE $ 852,500
- COST $ 500,000
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $202,617,546)* (Notes 1 and 3) 100.09% $213,184,745
Other Assets and Liabilities, Net (0.09)% (192,256)
------ ------------
TOTAL NET ASSETS 100.00% $212,992,489
====== ============
</TABLE>
- --------------------------------------------------------------------------------
+ Non-income earning securities.
* Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $ 37,488,814
Gross Unrealized
Depreciation (26,921,615)
------------
NET UNREALIZED
APPRECIATION $ 10,567,199
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
95
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
Lifepath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS
PERCENT OF NET ASSETS 21.07% 45.96%
ADVERTISING
PERCENT OF NET ASSETS 0.03% 0.03%
Omnicom Group 788 $ 39,105 920 $ 45,655
------------ ------------
TOTAL ADVERTISING
- VALUE $ 39,105 $ 45,655
- COST $ 24,920 $ 33,344
AEROSPACE & DEFENSE
PERCENT OF NET ASSETS 0.24% 0.80%
Allied Signal Inc 349 $ 25,215 2,126 $ 153,604
Boeing Co 461 46,923 2,906 295,684
Briggs & Stratton Corp 50 2,181 249 10,863
Coltec Industries 600 10,950 700 12,775
GenCorp Inc 0 -- 0 --
General Dynamics Corp 61 4,102 557 37,458
General Motors Corp Class H 1,000 59,000 1,300 76,700
Gulfstream Aerospace Corp 0 -- 400 8,700
Lockheed Martin Corp 252 22,302 1,558 137,883
McDonnell Douglas Corp 214 13,589 1,798 114,173
Newport News Shipbuilding 64 995 293 4,538
Northrop Grumman Corp 136 9,877 508 36,894
Primex Technologies Inc 47 870 56 1,036
Raytheon Co 374 17,625 1,900 89,538
Rockwell International Corp 311 20,137 1,823 118,039
Rohr Industries Inc+ 0 -- 0 --
Sequa Corp Class A+ 110 4,318 0 --
Stewart & Stevenson Services 364 9,510 380 9,928
Sundstrand Corp 726 31,672 760 33,155
Textron Inc 130 12,821 724 71,405
United Technologies Corp 296 22,274 1,828 137,557
------------ ------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 314,361 $ 1,349,930
- COST $ 254,710 $ 1,069,389
AIRLINES
PERCENT OF NET ASSETS 0.28% 0.49%
AMR Corp+ 133 $ 10,457 728 $ 57,239
British Airways PLC ADR (UK) 1,600 164,000 2,800 286,999
Comair Holdings Inc 0 -- 500 10,313
Delta Air Lines Inc 138 11,109 610 49,105
Japan Air Lines Co ADR 11,700 96,525 35,100 289,574
KLM Royal Dutch Airlines ADR
(Netherlands) 507 15,590 1,110 34,133
Northwest Airlines Corp
Class A 600 21,225 900 31,838
Southwest Airlines Co 125 2,938 1,139 26,767
</TABLE>
96
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Lifepath 2020 Lifepath 2030 Lifepath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
62.53% 76.02% 88.25%
0.03% 0.04% 0.15%
1,720 $ 85,355 1,410 $ 69,971 2,458 $ 121,978
------------ ------------ ------------
$ 85,355 $ 69,971 $ 121,978
$ 55,352 $ 47,872 $ 92,621
1.10% 1.34% 1.48%
4,589 $ 331,555 3,591 $ 259,450 6,530 $ 471,792
6,132 623,978 4,639 472,048 8,434 858,166
516 22,511 425 18,541 663 28,923
700 12,775 900 16,425 1,400 25,550
485 9,154 0 -- 0 --
1,099 73,908 829 55,750 1,481 99,597
2,100 123,900 1,700 100,300 3,000 177,000
0 -- 500 10,875 800 17,400
3,276 289,926 2,510 222,135 4,493 397,630
3,673 233,235 2,785 176,847 5,027 319,215
616 9,542 465 7,211 846 13,119
964 70,011 801 58,173 1,408 102,256
108 1,994 86 1,587 126 2,331
4,017 189,301 3,110 146,559 5,534 260,790
3,719 240,805 2,863 185,379 5,094 329,837
287 5,202 207 3,752 0 --
137 5,377 102 4,004 0 --
495 12,932 365 9,536 845 22,076
1,390 60,639 930 40,571 1,690 73,726
1,459 143,894 1,112 109,671 1,919 189,261
3,874 291,518 3,126 235,232 5,793 435,923
------------ ------------ ------------
$ 2,752,157 $ 2,134,046 $ 3,824,592
$ 2,039,767 $ 1,595,283 $ 3,002,665
0.65% 0.80% 0.88%
1,593 $ 125,250 1,174 $ 92,306 2,163 $ 170,066
5,525 566,313 4,400 450,999 7,550 773,875
0 -- 600 12,375 1,000 20,625
1,323 106,501 977 78,649 1,783 143,531
67,875 559,969 52,050 429,412 93,600 772,200
2,229 68,542 1,774 54,551 3,039 93,449
1,500 53,063 1,100 38,913 2,100 74,288
2,520 59,220 1,899 44,627 3,398 79,853
</TABLE>
97
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
Lifepath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
UAL Corp 600 $ 34,050 700 $ 39,725
USAirways Group Inc+ 129 2,548 501 9,895
ValuJet Inc+ 300 2,194 200 1,463
------------ ------------
TOTAL AIRLINES
- VALUE $ 360,636 $ 837,051
- COST $ 379,057 $ 932,322
APPAREL
PERCENT OF NET ASSETS 0.06% 0.22%
CVS Corp 110 $ 5,088 853 $ 39,451
Fruit of the Loom Inc Class
A 114 4,660 600 24,525
Hartmarx Corp+ 81 456 230 1,294
Lands' End Inc+ 0 -- 0 --
Liz Claiborne Inc 88 3,564 633 25,637
Nike Inc Class B 370 26,594 2,200 158,125
Nine West Group Inc 200 9,400 400 18,800
OshKosh B'Gosh Class A 26 403 49 760
Phillips Van Heusen Corp 0 -- 0 --
Reebok International Ltd 95 4,441 488 22,814
Russell Corp 73 2,747 270 10,159
Stride Rite Corp 63 756 360 4,320
VF Corp 63 4,379 559 38,851
Warnaco Group Inc Class A 600 19,125 600 19,125
------------ ------------
TOTAL APPAREL
- VALUE $ 81,613 $ 363,861
- COST $ 55,426 $ 235,484
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.09% 0.30%
Bandag Inc 0 $ -- 100 $ 4,875
Bandag Inc Class A 100 4,763 100 4,763
Breed Technologies Inc 0 -- 0 --
Cooper Tire & Rubber Co 121 2,405 691 13,734
Dana Corp 148 4,588 816 25,296
Deluxe Corp 170 5,376 689 21,790
Eaton Corp 83 5,955 627 44,987
Echlin Inc 103 3,566 550 19,044
Genuine Parts Co 168 7,854 1,008 47,124
Goodyear Tire & Rubber Co 240 12,660 1,231 64,935
Illinois Tool Works Inc 174 14,681 965 81,422
ITT Industries Inc 131 3,406 996 25,896
Lear Corp 600 23,400 600 23,400
Mascotech Inc 0 -- 300 5,700
Modine Manufacturing Co 309 8,498 250 6,875
Navistar International Corp+ 131 1,261 627 6,035
</TABLE>
98
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Lifepath 2020 Lifepath 2030 Lifepath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,200 $ 68,100 1,000 $ 56,750 1,700 $ 96,475
1,052 20,777 757 14,951 1,838 36,301
400 2,925 200 1,463 700 5,119
------------ ------------ ------------
$ 1,630,660 $ 1,274,996 $ 2,265,782
$ 1,767,690 $ 1,385,638 $ 2,512,235
0.30% 0.36% 0.43%
1,825 $ 84,406 1,404 $ 64,935 2,500 $ 115,625
1,322 54,037 1,052 43,000 1,797 73,452
389 2,188 354 1,991 618 3,476
547 15,179 0 -- 0 --
1,185 47,993 920 37,260 1,643 66,542
4,651 334,291 3,601 258,822 7,649 549,772
300 14,100 400 18,800 800 37,600
228 3,534 85 1,318 222 3,441
410 5,227 290 3,698 0 --
850 39,738 848 39,644 1,447 67,647
692 26,037 470 17,684 909 34,201
862 10,344 576 6,912 1,096 13,152
1,125 78,188 832 57,824 1,480 102,860
1,000 31,875 700 22,313 1,300 41,438
------------ ------------ ------------
$ 747,137 $ 574,201 $ 1,109,206
$ 464,074 $ 356,481 $ 717,375
0.39% 0.48% 0.56%
200 $ 9,750 100 $ 4,875 300 $ 14,625
200 9,525 200 9,525 400 19,050
0 -- 0 -- 100 2,188
1,402 27,865 1,022 20,312 1,901 37,782
1,735 53,785 1,356 42,036 2,387 73,997
1,387 43,864 1,066 33,712 1,984 62,744
1,349 96,791 991 71,104 1,818 130,442
1,051 36,391 797 27,596 1,417 49,064
2,088 97,614 1,539 71,948 2,820 131,835
2,655 140,051 1,980 104,445 3,665 193,329
1,984 167,400 1,586 41,236 3,319 280,041
2,025 52,650 1,536 129,600 2,733 71,058
500 19,500 800 31,200 1,300 50,700
0 -- 400 7,600 800 15,200
465 12,788 335 9,213 500 13,750
1,294 12,455 962 9,259 1,693 16,295
</TABLE>
99
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
PACCAR Inc 93 $ 6,103 365 $ 23,953
Pep Boys-Manny Moe & Jack 57 1,860 553 18,042
Strattec Security Corp 10 180 28 504
Superior Industries
International Inc 322 7,728 260 6,240
TRW Inc 126 6,599 1,068 55,937
------------ ------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 120,883 $ 500,552
- COST $ 107,397 $ 441,451
AUTOMOBILES
PERCENT OF NET ASSETS 1.36% 2.44%
Chrysler Corp 990 $ 33,536 5,948 $ 201,489
Daimler-Benz
Aktiengesellschaft ADR
(Germany) 17,350 1,257,875 32,000 2,319,999
Fiat SpA ADR (UK) 7,700 119,350 14,300 221,650
Ford Motor Co 1,630 53,586 9,722 319,610
General Motors Corp Class A 1,080 62,505 6,186 358,014
Harley-Davidson Inc 818 30,573 950 35,506
Honda Motor Co Ltd ADR 1,400 87,500 4,200 262,500
Nissan Motor Co Ltd ADR 3,100 36,425 9,300 109,275
Toyota Motor Corp ADR 2,000 103,000 6,000 308,999
------------ ------------
TOTAL AUTOMOBILES
- VALUE $ 1,784,350 $ 4,137,042
- COST $ 1,372,713 $ 3,363,583
BANK & FINANCE
PERCENT OF NET ASSETS 2.51% 4.95%
Advanta Corp Class B 300 $ 12,038 300 $ 12,038
Ahmanson (H F) & Co 130 5,346 898 36,930
Allied Irish Banks PLC ADR
(Ireland) 1,400 60,900 2,500 108,750
American Express Corp 641 41,905 3,914 255,878
American Financial Group Inc 304 11,400 390 14,625
Amsouth Bancorp 600 30,750 700 35,875
Associates First Capital
Corp 700 33,775 800 38,600
Banc One Corp 650 28,681 3,528 155,673
Banco Bilbao Vizcaya ADR
(Spain) 950 55,575 1,600 93,600
Banco Central
Hispanoamericano SA ADR
(Spain) 1,100 14,438 2,000 26,250
Banco Santander SA ADR
(Spain) 700 47,163 1,400 94,325
Bancorp Hawaii Inc 574 25,256 560 24,640
Bank of Boston Corp 250 18,844 1,293 97,460
Bank of New York Inc 578 22,398 3,220 124,775
BankAmerica Corp 521 59,264 2,998 341,021
Bankers Trust Corp 90 8,168 635 57,626
Barclays PLC ADR (UK) 1,650 119,625 3,100 224,750
</TABLE>
100
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
669 $ 43,903 462 $ 30,319 908 $ 59,588
1,072 34,974 827 26,981 1,598 52,135
72 1,296 49 882 0 --
454 10,896 331 7,944 510 12,240
2,159 113,078 1,674 87,676 2,978 155,973
------------ ------------ ------------
$ 984,576 $ 767,463 $ 1,442,036
$ 858,583 $ 660,581 $ 1,253,952
3.26% 4.02% 4.34%
12,519 $ 424,081 9,530 $ 322,829 17,173 $ 581,735
62,500 4,531,249 49,500 3,588,749 85,100 6,169,749
27,900 432,450 22,050 341,775 38,100 590,550
20,336 668,546 15,456 508,115 27,867 916,128
12,938 748,786 9,842 569,605 17,784 1,029,249
1,759 65,743 1,244 46,494 2,290 85,589
8,225 514,063 6,275 392,187 11,300 706,250
18,050 212,087 13,250 155,688 24,950 293,162
11,625 598,688 8,950 460,924 16,150 831,725
------------ ------------ ------------
$ 8,195,693 $ 6,386,366 $ 11,204,137
$ 6,561,015 $ 5,079,172 $ 9,063,680
6.82% 8.21% 9.31%
500 $ 20,063 400 $ 16,050 700 $ 28,088
1,843 75,793 1,350 55,519 2,452 100,839
4,950 215,325 3,900 169,650 6,700 291,450
8,139 532,087 6,215 406,305 11,122 727,101
813 30,488 508 19,050 980 36,750
1,200 61,500 900 46,125 1,600 82,000
1,600 77,200 1,100 53,075 1,900 91,675
7,296 321,936 5,585 246,438 10,024 442,309
3,200 187,200 2,500 146,250 4,300 251,550
3,950 51,844 3,100 40,688 5,200 68,250
2,700 181,913 2,150 144,856 3,650 245,919
757 33,308 677 29,788 1,335 58,740
2,603 196,201 2,011 151,579 3,589 270,521
6,721 260,439 5,109 197,974 9,264 358,980
6,195 704,681 4,660 530,074 8,410 956,638
1,449 131,497 1,105 100,279 1,937 175,783
6,975 505,688 5,650 409,624 9,750 706,875
</TABLE>
101
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Barnett Banks Inc 240 $ 11,100 1,580 $ 73,075
Bear Stearns Co Inc 1,499 44,982 1,454 43,628
Beneficial Corp 42 2,903 413 28,549
California Federal Bancorp
Inc 0 -- 0 --
Capital One Financial Corp 0 -- 400 15,900
Central Fidelity Banks Inc 825 24,028 745 21,698
Charter One Financial Inc 630 30,004 625 29,766
Chase Manhattan Bank 611 61,176 3,319 332,314
Citicorp 677 79,040 3,880 452,989
Comdisco Inc 416 12,948 445 13,851
Comerica Inc 139 8,357 910 54,714
Commerce Bancshares Inc 540 25,650 540 25,650
Compass Bancshares Inc 400 17,850 400 17,850
ContiFinancial Corp 0 -- 100 3,750
CoreStates Financial Corp 304 15,998 1,714 90,199
Countrywide Credit
Industries Inc 1,100 32,038 1,300 37,863
Credit Acceptance Corp+ 200 4,250 200 4,250
Crestar Financial Corp 1,004 36,897 1,440 52,920
Dauphin Deposit Corp 360 15,255 370 15,679
Dean Witter Discover & Co 398 15,273 2,628 100,850
Dime Bancorp Inc+ 1,200 21,000 1,200 21,000
Donaldson Lufkin & Jenrette
In 0 -- 100 4,300
Edwards A G & Sons Inc 655 23,253 720 25,560
Equifax Inc 1,710 50,873 2,000 59,500
Federal Home Loan Mortgage
Corp 1,164 34,629 5,920 176,120
Federal National Mortgage
Assoc 1,516 60,640 8,348 333,919
Fifth Third Bancorp 144 12,006 845 70,452
Finova Group Inc 300 22,913 400 30,550
First American Corp 400 25,650 400 25,650
First Bank System Inc 216 16,956 990 77,715
First Chicago NBD Corp 434 25,389 2,623 153,446
First Commerce Corp 400 16,600 400 16,600
First Empire State Corp 100 32,350 100 32,350
First Hawaiian Inc 200 6,650 300 9,975
First of America Bank Corp 647 40,518 810 50,726
First Security Corp 774 26,993 980 34,178
First Tennessee National
Corp 708 33,099 840 39,270
First Union Corp 363 31,853 2,304 202,176
First USA Inc 1,200 58,350 1,400 68,075
First Usa Paymentech Inc 0 -- 100 2,988
First Virginia Banks Inc 359 18,937 380 20,045
Firstar Corp 1,600 49,000 1,600 49,000
Firstmerit Corp 300 12,075 400 16,100
Fleet Financial Group Inc 355 21,655 2,183 133,163
</TABLE>
102
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
3,385 $ 156,556 2,514 $ 116,273 4,634 $ 214,323
2,709 81,270 1,869 56,070 3,283 98,501
898 62,074 665 45,968 1,219 84,263
0 -- 0 -- 120 2,250
900 35,775 600 23,850 200 7,950
1,050 30,581 945 27,523 1,807 52,629
1,050 50,006 735 35,004 1,460 69,533
7,069 707,784 5,522 552,889 11,715 1,172,963
8,084 943,806 6,136 716,377 11,066 1,291,954
1,041 32,401 636 19,796 1,042 32,432
1,906 114,598 1,479 88,925 2,569 154,461
866 41,135 651 30,923 1,097 52,108
500 22,313 500 22,313 900 40,162
0 -- 0 -- 200 7,500
3,547 186,661 2,830 148,929 5,964 313,855
2,300 66,988 1,700 49,513 2,900 84,463
0 -- 200 4,250 500 10,625
1,970 72,398 1,830 67,253 3,370 123,848
492 20,849 362 15,340 945 40,044
5,476 210,141 4,157 159,525 7,554 289,885
2,400 42,000 1,600 28,000 2,900 50,750
900 38,700 200 8,600 300 12,900
1,017 36,103 877 31,134 1,625 57,688
3,642 108,350 2,672 79,492 4,440 132,090
12,207 363,158 9,290 276,378 16,880 502,180
17,586 703,440 13,860 554,399 29,118 1,164,719
1,783 148,658 1,403 116,975 2,480 206,770
600 45,825 400 30,550 800 61,100
700 44,888 500 32,063 900 57,712
2,184 171,444 1,069 66,946 3,811 299,164
5,450 318,825 1,739 136,511 7,479 437,521
800 33,200 4,144 242,424 900 37,350
100 32,325 500 20,750 200 64,650
300 9,975 100 32,350 600 19,950
1,409 88,239 400 13,300 1,925 120,553
1,775 61,903 1,302 45,407 2,250 78,469
1,570 73,398 200 5,975 2,080 97,240
4,860 426,465 1,100 51,425 6,711 588,890
2,600 126,425 3,710 325,553 3,300 160,462
0 -- 1,800 87,525 400 11,950
791 41,725 461 24,318 945 49,849
2,200 67,375 2,200 67,375 4,000 122,500
500 20,125 500 20,125 900 36,225
4,465 272,365 3,414 208,254 6,179 376,919
</TABLE>
103
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Franklin Resources Inc 894 $ 52,299 1,050 $ 61,425
GATX Corp 223 10,927 270 13,230
Golden West Financial 62 4,201 458 31,030
Great Western Financial Corp 207 9,082 1,150 50,456
Green Tree Financial Inc 150 5,625 1,100 41,250
Greenpoint Financial Corp 600 36,000 600 36,000
GTECH Holdings Corp 400 12,550 400 12,550
Hibernia Corp Class A 1,600 22,200 1,500 20,813
Household International Inc 141 13,659 785 76,047
Huntington Bancshares Inc 1,615 46,028 1,915 54,578
John Nuveen & Co Inc Class A 0 -- 100 3,038
Keycorp 373 19,955 1,834 98,119
Lehman Brothers Holdings 1,100 36,988 1,300 43,713
MBNA Corp 415 13,280 2,617 83,728
Medaphis Corp+ 800 7,950 900 8,944
Mellon Bank Corp 213 17,120 1,043 83,831
Mercantile Bancorp 636 36,809 870 50,351
Mercantile Bankshares 503 18,674 590 21,904
Mercury Financial Corp 1,800 5,625 1,800 5,625
Merrill Lynch & Co Inc 258 24,768 1,316 126,336
MGIC Investment Corp 100 7,863 450 35,381
Money Store Inc 400 10,350 400 10,350
Morgan (J P) & Co Inc 239 25,125 1,551 163,049
Morgan Stanley Group 198 12,499 1,290 81,431
National Australia Bank Ltd
ADR (Australia) 2,050 128,638 3,700 232,175
National City Corp 323 16,312 1,840 92,920
NationsBank Corp 1,118 66,940 6,318 378,289
Northern Trust Corp 1,134 48,195 1,520 64,600
Norwest Corp 508 25,273 3,036 151,041
Old Kent Financial Corp 430 21,554 540 27,068
Old National Bancorp 330 12,210 221 8,159
Paine Webber Group Inc 800 26,100 1,200 39,150
PHH Corp 356 17,044 500 23,938
PNC Bank Corp 506 21,442 2,792 118,311
Price (T Rowe) & Associates 600 26,475 600 26,475
Regions Financial Corp 635 37,386 750 44,156
Republic New York Corp 100 9,288 450 41,794
Ryder System Inc 136 4,284 631 19,877
Sabre Group Holding Inc 0 -- 300 8,475
Salomon Inc 119 6,619 936 52,065
Schwab (Charles) Corp 1,278 47,925 1,470 55,125
Signet Banking Corp 800 25,400 700 22,225
Southern National Corp 1,200 46,650 1,300 50,538
</TABLE>
104
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,044 $ 119,574 1,370 $ 80,116 2,348 $ 137,329
302 14,798 317 15,533 610 29,890
1,009 68,360 721 48,848 1,352 91,598
2,368 103,896 1,778 78,010 3,285 144,129
2,194 82,275 1,754 65,775 3,608 135,300
1,100 66,000 800 48,000 1,300 78,000
500 15,688 400 12,550 1,000 31,375
2,900 40,237 2,200 30,525 3,900 54,113
1,706 165,269 1,242 120,319 2,286 221,456
3,487 99,380 2,579 73,502 4,529 129,077
0 -- 0 -- 300 9,112
3,880 207,580 2,912 155,792 5,262 281,517
2,400 80,700 1,600 53,800 3,100 104,237
5,423 173,520 4,160 133,120 8,889 284,448
1,100 10,931 729 57,318 2,000 19,875
2,222 178,593 1,200 11,925 3,049 245,063
1,469 85,018 1,696 136,316 1,940 112,277
813 30,183 1,064 61,579 1,280 47,520
2,600 8,125 708 26,285 4,400 13,750
2,851 273,696 2,400 7,500 3,875 372,000
1,002 78,782 2,127 204,192 1,346 105,829
700 18,113 500 12,938 800 20,700
3,178 334,087 2,387 250,933 4,423 464,968
2,610 164,756 1,998 126,124 3,601 227,313
7,125 447,094 5,650 354,538 9,750 611,813
3,820 192,910 2,890 145,945 5,175 261,338
13,316 797,295 10,104 604,976 18,364 1,099,521
2,656 112,880 1,876 79,730 3,330 141,525
6,388 317,803 4,857 241,636 8,670 431,333
866 43,408 756 37,895 1,286 64,461
441 16,317 331 12,238 772 28,555
2,400 78,300 594 28,438 2,500 81,562
514 24,608 4,463 189,120 950 45,481
5,806 246,029 1,700 55,463 8,038 340,610
1,000 44,125 800 35,300 1,400 61,775
1,419 83,544 964 56,756 1,940 114,218
902 83,773 729 67,706 1,256 116,651
1,443 45,455 1,100 34,650 1,960 61,740
2,200 62,150 300 8,475 600 16,950
1,820 101,238 1,406 78,209 2,595 144,347
2,786 104,475 1,896 71,100 3,414 128,025
1,300 41,275 1,000 31,750 1,600 50,800
2,300 89,413 1,900 73,863 3,380 131,398
</TABLE>
105
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Standard Fed Bancorp 400 $ 23,050 400 $ 23,050
Star Banc Corp 900 35,325 1,200 47,100
State Street Boston Corp 919 73,865 1,050 84,394
Student Loan Marketing Assoc 600 63,525 800 84,700
Summit Bancorp 1,003 47,893 1,170 55,868
SunTrust Banks Inc 330 16,954 1,812 93,091
Synovus Financial Corp 1,150 40,106 1,450 50,569
TCF Financial Corp 400 18,150 400 18,150
The Fund American Companies 0 -- 0 --
U.S. Bancorp 160 7,900 1,209 59,694
Union Planters Corp 600 26,850 800 35,800
UnionBanCal Corp 100 6,025 100 6,025
United Asset Management Corp 800 21,600 700 18,900
Wachovia Corp 275 16,741 1,315 80,051
Washington Federal Inc 484 12,342 594 15,147
Washington Mutual Inc 700 37,013 900 47,588
Wells Fargo & Co 152 46,246 709 215,713
Wesco Financial Corp 0 -- 0 --
Westpac Banking Corp ADR
(Australia) 1,750 49,656 3,400 96,475
Wilmington Trust Corp 392 17,738 510 23,078
Zions Bancorp 200 24,900 200 24,900
------------ ------------
TOTAL BANK & FINANCE
- VALUE $ 3,297,855 $ 8,561,022
- COST $ 2,218,881 $ 5,751,694
BASIC INDUSTRIES
PERCENT OF NET ASSETS 0.54% 1.13%
ASARCO Inc 123 $ 3,844 371 $ 11,594
Avery-Dennison Corp 96 3,876 790 31,896
Baker Hughes Inc 221 7,846 1,188 42,174
Bemis Co 140 5,793 411 17,005
Boise Cascade Corp 67 2,203 364 11,967
Boise Cascade Office
Products 0 -- 100 2,213
Bowater Inc 395 16,738 410 17,374
Broken Hill Proprietary Co
Ltd ADR (Australia) 3,680 97,980 7,460 198,622
Champion International Corp 138 6,089 732 32,300
Chesapeake Corp 256 7,584 200 5,925
Consolidated Papers Inc 386 19,541 380 19,238
Crown Vantage Inc 21 150 48 342
Cyprus Amax Minerals 136 3,179 731 17,087
Deltic Timber Corp 141 3,488 166 4,101
Dover Corp 150 7,444 892 44,266
Echo Bay Mines Ltd 121 938 1,165 9,029
Fort Howard Corp 400 11,900 600 17,850
</TABLE>
106
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
600 $ 34,575 500 $ 28,813 900 $ 51,863
2,100 82,425 1,500 58,875 2,700 105,975
1,885 151,507 1,350 108,506 2,490 200,134
1,400 148,225 1,200 127,050 1,800 190,575
2,039 97,362 1,514 72,294 2,779 132,697
3,801 195,276 2,886 148,268 5,275 271,003
2,550 88,931 1,850 64,519 3,450 120,319
800 36,300 500 22,688 1,000 45,375
0 -- 0 -- 100 10,650
2,563 126,548 1,000 44,750 3,562 175,874
1,000 44,750 100 6,025 1,900 85,025
500 30,125 800 21,600 300 18,075
1,400 37,800 1,971 97,318 1,600 43,200
2,862 174,224 2,122 129,177 3,915 238,326
726 18,513 805 20,528 1,452 37,026
1,600 84,600 1,200 63,450 2,100 111,038
1,530 465,503 1,205 366,621 2,539 772,491
100 20,800 0 -- 0 --
6,600 187,275 5,200 147,550 9,000 255,375
649 29,367 504 22,806 1,075 48,644
300 37,350 200 24,900 400 49,800
------------ ------------ ------------
$ 17,140,519 $ 13,044,400 $ 24,041,262
$ 11,040,064 $ 8,382,864 $ 16,503,980
1.58% 1.93% 2.25%
707 $ 22,094 565 $ 17,656 960 $ 30,000
1,654 66,780 1,320 53,295 2,803 113,171
2,438 86,549 1,907 67,699 3,445 122,298
890 36,824 722 29,873 1,197 49,526
862 28,338 627 20,613 1,185 38,957
800 17,700 0 -- 200 4,425
652 27,629 607 25,722 1,175 49,791
16,090 428,396 12,320 328,020 21,880 582,555
1,676 73,953 1,215 53,612 2,264 99,899
361 10,695 266 7,880 650 19,256
770 38,981 490 24,806 770 38,981
104 741 81 577 132 941
1,605 37,517 1,220 28,517 2,190 51,191
308 7,616 199 4,929 334 8,271
1,845 91,558 1,409 69,922 3,056 151,654
2,311 17,910 1,748 13,547 3,202 24,816
600 17,850 800 23,800 1,300 38,675
</TABLE>
107
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Georgia-Pacific Corp 133 $ 10,374 726 $ 56,628
Glatfelter (P H) Co 486 8,323 280 4,795
Harnischfeger Industries Inc 108 4,739 369 16,190
Homestake Mining Co 116 1,914 1,180 19,470
Ikon Office Solutions Inc 188 7,755 1,030 42,488
Inco Ltd 229 8,044 1,347 47,313
James River Corp 118 3,865 689 22,565
Longview Fibre Co 554 8,518 540 8,303
Louisiana-Pacific Corp 118 2,508 862 18,318
LTB Corp 1,400 17,500 1,300 16,250
Mark IV Industries Inc 521 12,113 507 11,788
Mead Corp 54 3,146 450 26,213
Minnesota Mining &
Manufacturing Co 567 52,164 3,160 290,719
NACCO Industries Inc Class A 16 868 40 2,170
Newmont Gold Co 100 4,875 200 9,750
Newmont Mining Corp 124 5,890 768 36,480
Potlatch Corp 76 3,287 224 9,688
Rayonier Inc 356 13,528 350 13,300
RTZ PLC ADR (UK) 2,800 172,550 5,100 314,287
Sealed Air Corp+ 400 16,450 500 20,563
Smith International Inc+ 414 16,819 500 20,313
St Joe Paper Corp 100 7,763 100 7,763
Steel Dynamics Inc 0 -- 0 --
Stone Container Corp 83 1,079 776 10,088
Trinova Corp 50 1,856 223 8,279
Tyco International Inc 216 12,744 1,150 67,850
U.S. Industries Inc 595 21,792 705 25,821
Union Camp Corp 72 3,474 593 28,612
Unisource Worldwide Inc 94 2,021 865 18,597
Varco International Inc+ 292 6,570 0 --
Varian Associates Inc 377 21,772 390 22,523
Watts Industries Inc Class A 308 7,970 0 --
Wausau Paper Mills Co 392 7,791 316 6,281
Westinghouse Electric Corp 890 15,344 4,693 80,946
Westvaco Corp 102 3,009 857 25,282
Weyerhauser Co 260 12,025 1,673 77,376
Whitman Corp 60 1,410 801 18,823
Willamette Industries Inc 107 6,848 420 26,880
------------ ------------
TOTAL BASIC INDUSTRIES
- VALUE $ 707,291 $ 1,915,695
- COST $ 612,911 $ 1,694,066
</TABLE>
108
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,540 $ 120,120 1,215 $ 94,770 2,158 $ 168,324
769 13,169 489 8,374 770 13,186
817 35,846 588 25,799 1,351 59,275
2,424 39,996 1,901 31,367 3,444 56,826
2,055 84,769 1,647 67,939 3,467 143,014
2,834 99,544 2,227 78,223 3,996 140,359
1,496 48,994 1,106 36,222 2,005 65,664
890 13,684 575 8,841 1,330 20,449
1,844 39,185 1,428 30,345 2,531 53,784
1,900 23,750 1,700 21,250 3,200 40,000
829 19,274 526 12,230 1,213 28,202
871 50,736 701 40,833 1,220 71,065
6,696 616,032 5,274 485,207 11,259 1,035,828
139 7,541 138 7,487 148 8,029
1,900 92,625 1,000 48,750 2,300 112,125
1,640 77,900 1,243 59,043 2,695 128,013
493 21,322 393 16,997 689 29,799
462 17,556 526 19,988 819 31,122
9,925 611,628 7,850 483,755 13,450 828,856
606 24,922 636 26,156 1,100 45,238
597 24,253 627 25,472 1,000 40,625
200 15,525 100 7,763 300 23,287
0 -- 0 -- 300 6,000
1,654 21,502 1,247 16,211 2,295 29,835
406 15,073 396 14,702 823 30,554
2,492 147,028 1,935 114,165 4,054 239,186
950 34,794 760 27,835 1,535 56,219
1,161 56,018 958 46,224 1,620 78,165
1,174 25,241 892 19,178 2,574 55,341
524 11,790 374 8,415 0 --
735 42,446 490 28,298 865 49,954
464 12,006 334 8,642 0 --
572 11,369 407 8,089 371 7,374
10,118 174,544 7,113 122,699 14,486 249,879
1,737 51,241 1,370 40,415 2,408 71,036
3,377 156,186 2,576 119,140 4,672 216,080
1,784 41,924 1,356 31,866 2,398 56,353
941 60,224 755 48,320 1,343 85,952
------------ ----------- ------------ ------------
$ 3,970,888 $ 3,061,478 $ 5,799,405
$ 3,473,850 $ 2,640,393 $ 5,127,251
</TABLE>
109
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
BEVERAGES
PERCENT OF NET ASSETS 0.43% 1.45%
Anheuser-Busch Inc 632 $ 28,124 3,838 $ 170,791
Coca-Cola Co 3,332 203,144 18,982 1,157,861
Coca-Cola Enterprises Co 712 43,966 910 56,193
Coors (Adolph) Co Class B 67 1,432 315 6,733
Energy Group PLC ADR 1,069 36,337 1,988 67,575
Kirin Brewery Co ADR 1,900 161,025 5,650 478,837
Pepsico Inc 2,098 68,972 11,926 392,066
Seagrams Co Ltd 528 20,592 3,105 121,095
------------ ------------
TOTAL BEVERAGES
- VALUE $ 563,592 $ 2,451,151
- COST $ 526,319 $ 1,986,431
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.05% 0.05%
Biogen Inc 718 $ 35,362 960 $ 47,280
Chiron Corp 896 18,592 1,092 22,659
Genzyme Corp--General
Division 326 8,395 420 10,815
Genzyme Corp--Tissue Repair 35 411 0 --
Quest Diagnostics Inc 46 776 240 4,050
------------ ------------
TOTAL BIOTECHNOLOGY
- VALUE $ 63,536 $ 84,804
- COST $ 39,913 $ 63,537
BROADCASTING
PERCENT OF NET ASSETS 0.07% 0.16%
Clear Channel Communications
Inc 400 $ 19,150 600 $ 28,725
HSN Inc 461 11,877 365 9,386
Kingworld Productions+ 100 3,713 262 9,727
LIN Television Corp 200 8,300 200 8,300
TCA Cable TV Inc 266 8,512 0 --
TCI Satellite Entertainment
Class A 107 856 543 4,344
Tele-Communications Inc
Class A 912 10,830 5,477 65,039
Tele-Communications
International Inc Class A 300 4,050 200 2,700
Tribune Co 136 5,338 976 38,308
Viacom Inc Class B 472 16,638 2,951 104,023
------------ ------------
TOTAL BROADCASTING
- VALUE $ 89,264 $ 270,552
- COST $ 85,262 $ 301,781
</TABLE>
110
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2.03% 2.47% 3.10%
8,036 $ 357,602 6,206 $ 276,167 13,321 $ 592,785
40,129 2,447,829 31,197 1,902,994 66,878 4,079,551
2,188 135,109 1,448 89,414 2,155 133,071
678 14,492 506 10,816 861 18,404
3,872 131,644 3,056 103,913 5,156 175,313
11,000 932,249 8,400 711,899 15,150 1,283,961
25,053 823,616 19,612 644,744 42,049 1,382,360
6,384 248,976 4,845 188,955 8,762 341,718
------------ ------------ ------------
$ 5,091,517 $ 3,928,902 $ 8,007,163
$ 4,039,928 $ 2,998,858 $ 6,214,502
0.06% 0.06% 0.07%
1,582 $ 77,914 1,122 $ 55,258 2,190 $ 107,857
2,424 50,298 1,300 26,975 2,252 46,729
734 18,901 544 14,008 700 18,025
49 576 36 423 33 388
515 8,691 389 6,564 823 13,888
------------ ------------ ------------
$ 156,380 $ 103,228 $ 186,887
$ 115,824 $ 66,758 $ 140,467
0.22% 0.26% 0.29%
600 $ 28,725 800 $ 38,300 1,400 $ 67,025
650 16,732 472 12,155 306 7,880
639 23,723 534 19,825 916 34,007
300 12,450 200 8,300 400 16,600
371 11,872 276 8,832 0 --
1,150 9,200 883 7,064 1,866 14,928
11,367 134,983 8,646 102,671 15,678 186,176
1,500 20,250 200 2,700 600 8,100
2,000 78,500 1,531 60,092 3,278 128,662
6,028 212,487 4,567 160,987 8,358 294,619
------------ ------------ ------------
$ 548,922 $ 420,926 $ 757,997
$ 623,214 $ 471,117 $ 834,385
</TABLE>
111
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
BUILDING MATERIALS &
SERVICES
PERCENT OF NET ASSETS 0.22% 0.32%
AMBAC Inc 300 $ 20,025 500 $ 33,375
American Standard Co Inc 500 22,500 500 22,500
Cooper Industries Inc 128 5,664 895 39,604
Corning Inc 311 11,701 1,775 66,784
Cytec Industries Inc 500 19,813 400 15,850
Dal Tile International Inc 0 -- 0 --
Danaher Corp 400 17,300 380 16,435
Diebold Inc 765 32,130 735 30,870
Fastenal Co 300 10,875 300 10,875
Hanson Finance PLC 1,069 23,780 1,988 44,222
Kennametal Inc 300 12,300 300 12,300
Keystone International Inc 383 7,229 300 5,663
Lafarge Corp 300 6,975 400 9,300
Lawson Products Inc 0 -- 0 --
Martin Marietta Inc 0 -- 100 2,638
Owens Corning Fiberglass
Corp 26 1,102 373 15,806
Owens Illinois Inc 700 16,888 1,300 31,363
PPG Industries Inc 198 11,088 1,431 80,136
Snap-On Inc 136 5,287 533 20,720
Southdown Inc 175 6,256 0 --
Stanley Works 208 7,956 702 26,852
USG Corp 400 14,100 400 14,100
Valspar Corp 200 11,450 200 11,450
Vulcan Materials Co 400 25,900 400 25,900
------------ ------------
TOTAL BUILDING MATERIALS &
SERVICES
- VALUE $ 290,319 $ 536,743
- COST $ 244,729 $ 473,572
BUSINESS SERVICES
PERCENT OF NET ASSETS 0.11% 0.14%
Accustaff Inc 0 $ -- 800 $ 16,600
APAC Teleservices Inc 100 2,975 200 5,950
Apollo Group Inc 0 -- 200 5,400
Concord EFS Inc 0 -- 800 18,950
Ecolab Inc 60 2,273 456 17,271
Intl Technology Corp 0 -- 0 --
Kelly Services Inc Class A 406 11,165 420 11,550
Manpower Inc 900 33,975 1,000 37,750
National Education Corp+ 52 670 118 1,519
Nielson (A C) Corp 73 1,077 453 6,682
</TABLE>
112
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
0.42% 0.50% 0.58%
900 $ 60,075 600 $ 40,050 900 $ 60,075
1,300 58,500 800 36,000 1,200 54,000
1,842 81,509 1,389 61,463 2,522 111,599
3,765 141,658 2,871 108,021 6,091 229,174
900 35,663 600 23,775 900 35,663
0 -- 0 -- 200 3,550
962 41,607 622 26,902 780 33,735
1,509 63,378 992 41,643 1,856 77,931
400 14,500 400 14,500 800 29,000
3,872 86,149 3,056 68,002 5,156 114,727
411 16,851 300 12,300 600 24,600
641 12,099 396 7,475 965 18,214
500 11,625 300 6,975 600 13,950
197 4,334 0 -- 0 --
0 -- 0 -- 300 7,913
832 35,256 675 28,603 1,457 61,740
1,400 33,775 1,700 41,013 3,100 74,787
2,950 165,200 2,349 131,544 4,949 277,144
1,061 41,246 805 31,294 1,448 56,291
253 9,045 178 6,364 0 --
1,515 57,949 1,168 44,676 2,138 81,778
500 17,625 600 21,150 900 31,725
300 17,175 300 17,175 500 28,625
800 51,800 500 32,375 1,000 64,750
------------ ------------ ------------
$ 1,057,019 $ 801,300 $ 1,490,971
$ 924,477 $ 703,239 $ 1,322,896
0.13% 0.19% 0.23%
1,600 $ 33,200 1,000 $ 20,750 1,900 $ 39,425
400 11,900 400 11,900 600 17,850
0 -- 200 5,400 400 10,800
0 -- 900 21,319 1,800 42,638
1,035 39,201 793 30,035 1,871 70,864
137 1,182 0 -- 0 --
689 18,948 419 11,523 885 24,338
1,400 52,850 1,300 49,075 2,300 86,825
270 3,476 212 2,730 0 --
918 13,541 707 10,428 1,530 22,567
</TABLE>
113
<PAGE>
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PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Ogden Corp 101 $ 2,058 625 $ 12,734
Olsten Corp 691 12,352 825 14,747
Paychex Inc 657 28,580 685 29,798
Quintiles Transnational
Corp+ 200 13,075 200 13,075
Robert Half International
Inc 600 24,975 600 24,975
Rollins Inc 388 7,324 210 3,964
Security Dynamics Technology
I 0 -- 300 8,250
Teletech Holdings Inc 0 -- 100 2,444
------------ ------------
TOTAL BUSINESS SERVICES
- VALUE $ 140,499 $ 231,659
- COST $ 121,529 $ 218,313
CHEMICALS
PERCENT OF NET ASSETS 0.75% 1.46%
Air Products & Chemicals Inc 125 $ 9,266 868 $ 64,340
Airgas Inc 400 7,700 700 13,475
Albemarle Corp 713 13,993 460 9,028
Arco Chemical Co 100 4,725 100 4,725
Betz Labs Inc 396 25,691 340 22,058
Cabot Corp 1,010 23,735 940 22,090
ChemFirst Inc 35 796 84 1,911
Clorox Co 45 5,378 416 49,712
Courtaulds PLC ADR (UK) 19,700 132,975 36,100 243,675
Crompton & Knowles Corp 550 10,450 340 6,460
Dow Chemical Co 332 26,892 2,016 163,296
Du Pont (E I) De Nemours 796 85,371 4,348 466,322
Eastman Chemical Co 120 6,615 588 32,413
Ethyl Corp 1,031 9,408 1,010 9,216
Ferro Corp 305 9,608 250 7,875
FMC Corp+ 100 6,875 311 21,381
Forest Labs Inc Class A+ 582 22,189 570 21,731
Freeport McMoRan Inc 354 9,647 363 9,892
Fuller (H B) Co 0 -- 0 --
Geon Co 0 -- 0 --
Georgia Gulf Corp 437 11,799 360 9,720
Goodrich (B F) Co 90 3,656 486 19,744
Grace (W R) Co 139 7,367 683 36,199
Great Lakes Chemical Corp 75 3,478 494 22,909
Hanna (M A) Co 580 12,035 550 11,413
Hercules Inc 188 8,742 803 37,340
IMC Global Inc 818 28,528 900 31,388
Imperial Chemical Industries
PLC ADR (UK) 2,100 104,738 3,900 194,513
International Flavor &
Fragrances 171 7,930 863 40,022
Lawter International Inc 0 -- 0 --
</TABLE>
114
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
884 $ 18,012 606 $ 12,347 1,344 $ 27,384
1,117 19,966 988 17,661 1,516 27,098
1,203 52,331 960 41,760 1,675 72,863
300 19,613 400 26,150 700 45,763
1,000 41,625 700 29,138 1,400 58,275
645 12,174 400 7,550 675 12,741
0 -- 400 11,000 800 22,000
0 -- 0 -- 300 7,331
------------ ------------ ------------
$ 338,019 $ 308,766 $ 588,762
$ 289,452 $ 285,414 $ 574,743
2.03% 2.47% 2.87%
1,904 $ 141,134 1,428 $ 105,851 2,580 $ 191,243
600 11,550 900 17,325 1,400 26,950
1,112 21,823 732 14,366 986 19,350
1,600 75,600 900 42,525 2,000 94,500
727 47,164 407 26,404 805 52,224
1,772 41,642 1,232 28,952 2,090 49,115
314 7,144 224 5,096 347 7,902
821 98,110 679 81,141 1,367 163,356
70,900 478,575 56,000 377,999 96,600 652,050
885 16,815 570 10,830 1,430 27,170
4,132 334,692 3,165 256,365 5,685 460,485
9,035 969,003 7,052 756,326 15,047 1,613,790
1,287 70,946 970 53,471 1,782 98,233
2,029 18,515 1,308 11,936 2,630 23,999
436 13,734 331 10,427 815 25,672
668 45,925 531 36,506 901 61,944
1,066 40,641 686 26,154 1,260 48,038
684 18,639 359 9,783 678 18,476
225 10,969 0 -- 0 --
0 -- 0 -- 300 6,450
745 20,115 465 12,555 640 17,280
927 37,659 695 28,234 1,313 53,341
1,418 75,154 1,129 59,837 2,008 106,424
1,103 51,152 865 40,114 1,456 67,522
967 20,065 600 12,450 1,162 24,112
1,654 76,911 1,328 61,752 2,861 133,036
1,530 53,359 1,270 44,291 2,200 76,725
7,575 377,803 5,950 296,756 10,300 513,713
1,796 83,290 1,351 62,653 2,902 134,580
677 7,870 0 -- 0 --
</TABLE>
115
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Lubrizol Corp 829 $ 28,704 760 $ 26,315
Lyondell Petrochemical 476 11,246 580 13,703
Millennium Chemicals Inc 611 11,676 1,136 21,717
Mississippi Chemical Corp 11 270 28 687
Monsanto Co 815 29,646 4,550 165,506
Montedison Spa ADR+ 2,646 19,183 6,292 45,617
Morton International Inc 232 9,570 1,171 48,304
Nalco Chemical Co 71 2,609 490 18,008
OEA Inc 0 -- 0 --
Olin Corp 470 18,800 560 22,400
Praxair Inc 211 10,260 1,177 57,232
Premark International Inc 761 17,979 706 16,679
Rhone Poulenc Rorer Class A 4,484 156,380 8,268 288,346
Rohm & Haas Co 69 6,348 489 44,988
RPM Inc 778 13,712 887 15,633
Rubbermaid Inc 156 3,725 1,219 29,104
Schulman (A) Inc 403 7,808 420 8,138
Sigma-Aldrich Corp 124 3,798 824 25,235
Terra Industries Inc 500 6,813 400 5,450
Thiokol Inc 216 12,042 0 --
Union Carbide Corp 140 6,615 1,079 50,983
Valhi Inc 0 -- 0 --
Wellman Inc 363 6,353 280 4,900
------------ ------------
TOTAL CHEMICALS
- VALUE $ 983,124 $ 2,481,793
- COST $ 889,037 $ 2,184,791
COMPUTER SOFTWARE
PERCENT OF NET ASSETS 0.96% 1.80%
3Com Corp+ 1,650 $ 54,630 1,300 $ 43,042
Adobe Systems Inc 819 29,894 810 29,565
Altera Corp 920 41,745 1,120 50,820
America Online Inc+ 600 22,500 1,100 41,250
Anixter International Inc+ 500 6,750 500 6,750
Autodesk Inc 84 2,846 380 12,872
Automatic Data Processing 396 16,880 2,274 96,929
Bay Networks Inc+ 293 5,567 1,430 27,170
BMC Software Inc 1,112 47,608 1,280 54,800
Broderbund Software Inc+ 200 5,875 200 5,875
Cadence Design Systems Inc 982 36,211 1,012 37,318
Cambridge Technology
Partners 0 -- 400 9,600
Citrix Systems Inc 0 -- 300 3,788
Compuserve Corp 0 -- 200 2,025
Computer Associates
International Inc 528 22,968 2,880 125,280
</TABLE>
116
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,517 $ 52,526 942 $ 32,617 1,800 $ 62,325
1,317 31,114 892 21,074 1,145 27,051
2,212 42,311 1,746 33,398 2,946 56,348
106 2,597 74 1,813 116 2,842
9,524 346,435 7,340 266,993 15,763 573,379
9,157 66,388 9,767 70,811 16,962 122,975
2,451 101,104 1,858 76,643 3,351 138,229
1,078 39,617 862 31,679 2,023 74,345
308 14,284 223 10,342 0 --
1,078 43,120 858 34,320 1,260 50,400
2,486 120,882 1,983 96,423 4,189 203,690
1,133 26,767 796 18,806 1,550 36,619
16,134 562,673 12,526 436,843 21,553 751,661
1,058 97,336 850 78,200 1,509 138,828
1,198 21,115 986 17,378 2,068 36,449
2,609 62,290 1,910 45,601 3,535 84,398
686 13,291 616 11,935 1,185 22,959
1,585 48,541 1,285 39,353 2,907 89,027
700 9,538 500 6,813 1,100 14,988
295 16,446 210 11,708 0 --
2,201 103,997 1,713 80,939 3,026 142,979
0 -- 0 -- 300 2,400
495 8,663 365 6,388 845 14,788
------------ ------------ ------------
$ 5,097,034 $ 3,920,176 $ 7,414,360
$ 4,413,759 $ 3,346,018 $ 6,460,564
2.37% 2.87% 3.52%
2,833 $ 93,799 2,123 $ 70,291 4,533 $ 150,084
1,506 54,969 1,051 38,362 1,915 69,897
2,036 92,384 1,496 67,881 2,480 112,530
1,200 45,000 1,400 52,500 2,700 101,250
500 6,750 700 9,450 1,200 16,200
793 26,863 595 20,156 1,092 36,992
4,704 200,508 3,665 156,221 7,784 331,793
3,039 57,741 2,392 45,448 4,974 94,506
2,132 91,276 1,552 66,445 2,780 119,019
200 5,875 200 5,875 500 14,688
1,675 61,766 1,345 49,597 2,465 90,897
0 -- 500 12,000 800 19,200
0 -- 400 5,050 600 7,575
400 4,050 0 -- 400 4,050
5,835 253,823 4,585 199,448 9,790 425,865
</TABLE>
117
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Computer Sciences Corp+ 138 $ 9,315 609 $ 41,108
Compuware Corp 400 24,900 500 31,125
CSK Corp ADR 2,250 51,750 6,700 154,100
DST Systems Inc 200 6,575 300 9,863
Electronic Arts Inc+ 500 15,625 500 15,625
Electronic Data Systems Corp 2,888 130,321 4,430 199,904
First Data Corp 644 23,587 3,474 127,235
Fiserv Inc+ 617 20,207 530 17,358
Gartner Group Inc Class A 600 15,900 600 15,900
HBO & Co 900 51,863 1,100 63,388
Information Resources Inc+ 0 -- 0 --
Informix Corp+ 1,390 24,151 1,720 29,885
Intuit Inc+ 400 9,050 400 9,050
McAfee Associates Inc 450 20,644 450 20,644
Mentor Graphics Corp+ 600 5,738 700 6,694
Microsoft Corp 1,568 152,880 9,134 890,564
MobileMedia Corp 300 384 200 256
NEC Corp ADR 1,250 72,188 3,800 219,450
Netscape Communications
Corp+ 200 5,825 700 20,388
Novell Inc+ 420 4,253 2,792 28,269
Objective Systems Integrator
C 0 -- 100 1,238
Oracle Systems Corp 843 33,088 5,028 197,349
Parametric Technology Corp 1,320 74,415 1,660 93,583
Peoplesoft Inc 800 31,900 900 35,888
Reynolds & Reynolds Co Class
A 1,146 32,088 1,120 31,360
Shiva Corp 300 4,988 300 4,988
SPS Transaction Services
Inc+ 0 -- 100 1,688
Sterling Commerce Inc 677 19,633 837 24,273
Sterling Software Inc 300 8,588 400 11,450
Storage Technology Corp+ 659 27,513 635 26,511
Stratus Computer Inc 261 8,841 210 7,114
Structural Dynamics
Research+ 303 6,022 0 --
Sun Microsystems Inc 506 15,623 2,882 88,982
Sungard Data Systems Inc+ 400 20,300 500 25,375
Symantec Corp+ 378 5,906 500 7,813
Synopsys Inc+ 400 14,275 500 17,844
Total System Services Inc 300 9,225 300 9,225
VeriFone Inc 358 12,441 300 10,425
------------ ------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 1,263,476 $ 3,042,996
- COST $ 1,065,450 $ 2,459,775
</TABLE>
118
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,252 $ 84,510 896 $ 60,480 2,015 $ 136,013
600 37,350 600 37,350 1,100 68,475
12,900 296,700 9,925 228,275 17,800 409,400
400 13,150 300 9,863 500 16,438
1,000 31,250 600 18,750 1,200 37,500
8,191 369,619 5,676 256,129 10,300 464,787
7,226 264,652 5,615 205,649 11,987 439,024
699 22,892 629 20,600 1,295 42,411
1,000 26,500 800 21,200 1,400 37,100
1,800 103,725 1,400 80,675 2,500 144,063
403 5,995 0 -- 0 --
3,118 54,175 2,138 37,148 4,080 70,890
800 18,100 500 11,313 1,000 22,625
900 41,288 675 30,966 1,050 48,169
852 8,147 1,000 9,563 1,600 15,300
19,273 1,879,117 14,964 1,458,989 32,024 3,122,339
400 512 300 384 700 897
7,325 423,019 5,650 326,288 10,100 583,275
1,500 43,688 800 23,300 1,500 43,688
5,781 58,533 4,454 45,097 8,075 81,759
0 -- 0 -- 200 2,475
10,605 416,246 8,227 322,910 17,582 690,093
2,942 165,855 2,142 120,755 3,770 212,534
1,400 55,825 1,200 47,850 2,200 87,725
2,112 59,136 1,352 37,856 2,600 72,800
600 9,975 400 6,650 600 9,975
0 -- 0 -- 200 3,375
1,254 36,366 996 28,884 1,774 51,446
600 17,175 500 14,313 800 22,900
1,284 53,607 967 40,372 1,725 72,019
366 12,398 271 9,180 750 25,406
434 8,626 319 6,340 0 --
5,930 183,089 4,650 143,569 9,765 301,494
900 45,675 600 30,450 1,100 55,825
636 9,938 761 11,891 1,500 23,438
900 32,119 600 21,413 1,000 35,688
2,200 67,650 400 12,300 800 24,600
363 12,614 468 16,263 700 24,325
------------ ------------ ------------
$ 5,964,020 $ 4,551,739 $ 9,094,817
$ 4,611,698 $ 3,445,637 $ 7,204,409
</TABLE>
119
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SYSTEMS
PERCENT OF NET ASSETS 0.43% 1.36%
Adaptec Inc 1,200 $ 45,675 1,400 $ 53,288
Amdahl Corp+ 177 1,748 945 9,332
Apple Computer Inc+ 130 2,113 998 16,217
Cabletron Systems Inc 250 7,500 1,220 36,600
Ceridian Corp+ 27 1,056 574 22,458
Cisco Systems Inc+ 848 47,170 5,008 278,570
Cognizant Corp 173 6,033 1,310 45,686
Compaq Computer Corp+ 392 31,066 2,024 160,402
Data General Corp+ 62 1,201 311 6,026
Dell Computer Corp 270 19,204 1,370 97,441
Digital Equipment Corp+ 217 7,107 1,234 40,414
EMC Corp+ 308 11,088 1,770 63,720
Exabyte Corp 0 -- 0 --
Gateway 2000 Inc 200 11,750 200 11,750
Harris Corp 95 7,006 367 27,066
Hewlett-Packard Co 1,372 76,832 7,750 433,999
Intergraph Corp+ 54 446 352 2,904
International Business
Machine Corp 719 103,356 4,234 608,637
Iomega Corp 1,200 18,600 1,300 20,150
Komag Inc+ 600 18,000 600 18,000
NCR Corp 172 5,662 1,359 44,861
Quantum Corp+ 500 19,875 600 23,850
Seagate Technology Inc 386 18,239 2,100 99,225
Sequent Computer Systems+ 340 5,844 0 --
Shared Medical System Corp 40 2,185 238 13,001
Silicon Graphics Inc+ 177 4,270 1,420 34,258
Sybase Inc+ 700 11,463 700 11,463
Tandem Computers Inc+ 125 1,563 893 11,163
U.S. Robotics Corp 800 44,650 900 50,231
Unisys Corp+ 273 1,843 1,364 9,207
Wallace Computer Services
Inc 90 3,049 600 20,325
Western Digital Corp 500 29,500 600 35,400
Xylan Corp 100 1,775 100 1,775
------------ ------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 566,869 $ 2,307,419
- COST $ 485,711 $ 1,750,863
CONTAINER & PACKAGING
PERCENT OF NET ASSETS 0.07% 0.19%
Ball Corp 52 $ 1,313 275 $ 6,944
Crown Cork & Seal Co 180 9,990 975 54,113
First Brands Corp 486 12,089 480 11,940
</TABLE>
120
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1.89% 2.29% 2.76%
2,400 $ 91,350 1,800 $ 68,513 3,300 $ 125,606
2,001 19,760 1,500 14,812 2,835 27,996
2,142 34,807 1,560 25,350 2,914 47,353
2,541 76,230 1,989 59,670 4,117 123,510
1,086 42,490 863 33,765 1,924 75,277
10,493 583,673 8,115 451,396 17,401 967,931
2,700 94,162 2,143 74,737 4,525 157,809
4,343 344,183 3,447 273,175 6,595 522,654
627 12,148 512 9,920 907 17,573
2,877 204,627 2,279 162,094 4,755 338,199
2,678 87,705 1,980 64,845 3,596 117,769
3,745 134,820 2,869 103,284 6,180 222,480
340 3,719 0 -- 0 --
1,300 76,375 300 17,625 900 52,875
671 49,486 464 34,220 910 67,113
16,387 917,671 12,763 714,727 27,412 1,535,071
832 6,864 557 4,595 1,041 8,588
8,842 1,271,036 6,703 963,555 12,231 1,758,205
2,200 34,100 1,600 24,800 3,100 48,050
1,100 33,000 600 18,000 1,200 36,000
1,782 58,796 1,665 54,941 2,494 82,308
790 31,403 785 31,204 1,400 55,650
4,315 203,884 3,311 156,445 5,926 280,004
471 8,095 341 5,861 0 --
422 23,052 331 18,081 642 35,069
2,952 71,217 2,243 54,112 4,100 98,912
1,400 22,925 900 14,738 1,600 26,200
2,014 25,175 1,634 20,425 2,743 34,288
1,600 89,300 1,200 66,975 2,200 122,788
2,827 19,082 2,167 14,627 4,135 27,911
1,100 37,263 710 24,051 1,200 40,650
900 53,100 800 47,200 1,300 76,700
0 -- 100 1,775 200 3,550
------------ ------------ ------------
$ 4,761,498 $ 3,629,518 $ 7,134,089
$ 3,519,188 $ 2,607,347 $ 5,453,394
0.25% 0.31% 0.35%
493 $ 12,448 398 $ 10,050 725 $ 18,306
2,022 112,221 1,584 87,912 3,403 188,867
694 17,263 704 17,512 1,060 26,367
</TABLE>
121
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
International Paper Co 409 $ 17,076 2,495 $ 104,166
Jefferson Smurfit Corp 700 9,538 800 10,900
Sonoco Products 988 25,935 1,177 30,896
Temple-Inland Inc 47 2,591 444 24,476
Tenneco Inc 271 10,671 1,414 55,676
Tupperware Corp 61 2,730 456 20,406
------------ ------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 91,933 $ 319,517
- COST $ 83,153 $ 306,982
ELECTRICAL EQUIPMENT
PERCENT OF NET ASSETS 0.38% 1.19%
Alliance Semiconductor Corp+ 0 -- 0 --
Arrow Electronics Inc+ 493 $ 27,670 496 $ 27,838
Avnet Inc 530 33,125 550 34,375
FORE Systems Inc 400 13,400 500 16,750
General Electric Co 2,222 228,588 12,591 1,295,298
Grainger (W W) Inc 39 3,091 410 32,493
Handleman Co 59 516 132 1,155
Hitachi Ltd ADR 600 52,650 1,700 149,175
Hubbell Inc Class B 532 22,544 666 28,222
Masco Corp 249 8,746 1,265 44,433
Maxim Integrated Products
Inc+ 700 34,737 800 39,700
Motorola Inc 801 44,756 4,866 271,888
National Service Industries
Inc 37 1,406 409 15,542
Raychem Corp 25 2,128 372 31,667
Symbol Technologies Inc 260 13,065 210 10,553
Thomas & Betts Corp 66 2,945 414 18,475
TriMas Corp 200 4,875 200 4,875
------------ ------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 494,242 $ 2,022,439
- COST $ 426,117 $ 1,585,023
ELECTRONICS
PERCENT OF NET ASSETS 0.96% 2.14%
Advanced Micro Devices+ 194 $ 6,960 1,083 $ 38,853
American Power Conversion+ 1,000 20,875 980 20,458
AMP Inc 280 10,885 1,760 68,420
Analog Devices Inc 1,601 37,231 2,027 47,120
Applied Materials Inc+ 250 12,656 1,490 75,431
Atmel Corp+ 962 35,955 960 35,880
Beckman Instruments Inc 294 12,201 350 14,525
C-Cube Microsystems Inc+ 100 2,913 300 8,738
Canon Inc ADR 700 73,150 2,050 214,225
</TABLE>
122
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
5,099 $ 212,883 3,932 $ 164,161 7,077 $ 295,465
1,400 19,075 900 12,263 1,800 24,525
2,100 55,125 1,422 37,328 2,755 72,319
949 52,314 684 37,705 1,287 70,946
2,877 113,282 2,220 87,413 3,998 157,421
1,036 46,361 827 37,008 1,341 60,010
------------ ------------ ------------
$ 640,972 $ 491,352 $ 914,226
$ 592,699 $ 455,210 $ 872,834
1.66% 2.03% 2.54%
0 -- 0 -- 250 $ 2,219
999 $ 56,069 710 $ 39,849 1,175 65,947
1,014 63,375 659 41,188 1,215 75,938
600 20,100 500 16,750 1,000 33,500
26,541 2,730,404 20,659 2,125,294 44,286 4,555,921
872 69,106 716 56,743 1,209 95,813
467 4,086 307 2,686 521 4,559
3,325 291,769 2,525 221,569 4,600 403,650
1,008 42,714 934 39,578 1,502 63,647
2,799 98,315 2,100 73,763 3,796 133,334
1,400 69,475 1,000 49,625 1,800 89,325
10,194 569,590 7,716 431,130 13,948 779,344
798 30,324 614 23,332 1,101 41,838
740 62,993 574 48,862 1,266 107,768
390 19,598 270 13,568 550 27,638
923 41,189 701 31,282 1,214 54,175
0 -- 200 4,875 500 12,188
------------ ------------ ------------
$ 4,169,107 $ 3,220,094 $ 6,546,804
$ 3,230,658 $ 2,423,711 $ 5,048,507
2.87% 3.48% 4.10%
2,351 $ 84,342 1,737 $ 62,315 3,222 $ 115,589
1,494 31,187 1,309 27,325 2,360 49,265
3,714 144,382 2,878 111,882 5,189 201,722
3,439 79,949 2,561 59,551 4,729 109,957
3,061 154,963 2,317 117,298 4,186 211,916
1,866 69,742 1,288 48,139 2,226 83,197
450 18,675 505 20,958 780 32,370
300 8,738 400 11,650 600 17,475
3,975 415,388 3,100 323,950 5,550 579,975
</TABLE>
123
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Cirrus Logic Inc+ 634 $ 8,599 780 $ 10,579
Cypress Semiconductor Corp+ 800 10,600 1,040 13,780
EG&G Inc 123 2,675 419 9,113
Electronics for Imaging Inc 600 23,100 600 23,100
Emerson Electric Co 318 31,482 1,676 165,924
Fuji Photo Film Co Ltd ADR 1,800 60,300 5,500 184,250
General Signal Corp 133 5,802 405 17,668
Honeywell Inc 179 12,731 946 67,284
Imation Corp 576 15,336 516 13,739
Input/Output Inc+ 500 10,688 500 10,688
Integrated Device Technology
Inc+ 700 7,700 800 8,800
Intel Corp 1,066 151,239 6,302 894,095
International Rectifier
Corp+ 500 6,750 500 6,750
International Specialty
Produc+ 0 -- 200 2,675
Johnson Controls Inc 96 8,088 369 31,088
KLA Instruments Corp+ 300 12,506 400 16,675
Kyocera Corp ADR 250 29,188 900 105,075
Lam Research Corp+ 300 11,438 400 15,250
Lexmark International Group
Cl 0 -- 200 5,575
Linear Technology Corp 786 35,468 920 41,515
Litton Industries Inc+ 301 12,943 390 16,770
LSI Logic Corp+ 122 4,209 1,060 36,570
Macromedia Inc+ 400 3,925 400 3,925
Matsushita Electric
Industries Co 250 38,469 850 130,794
MEMC Electronic Materials
Inc 300 7,350 300 7,350
Microchip Technology Inc 600 22,425 600 22,425
Micron Electronics Inc+ 0 -- 200 3,875
Micron Technology Inc 326 12,225 1,758 65,925
Molex Inc 363 12,977 718 25,669
Molex Inc Class A 600 19,950 675 22,444
National Semiconductor+ 160 4,180 1,103 28,816
Novellus System Inc+ 200 16,350 200 16,350
Perkin-Elmer Corp 27 1,917 274 19,454
Philips Electronics NV
(Netherlands) 2,000 90,000 3,500 157,500
Pioneer Electronics Corp 2,450 47,775 7,350 143,325
Pitney Bowes Inc 152 9,443 1,115 69,269
Pixar Inc 0 -- 100 1,963
Policy Management Systems
Corp+ 248 10,664 170 7,310
Premier Farnell PLC ADR 626 10,173 1,084 17,615
Read-Rite Corp 400 12,275 500 15,344
SCI Systems Inc+ 300 16,050 300 16,050
Sensormatic Electronics 1,035 17,854 870 15,008
Solectron Corp+ 500 26,438 600 31,725
SONY Corp ADR 800 57,600 2,450 176,400
</TABLE>
124
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,496 $ 20,290 1,066 $ 14,458 1,510 $ 20,479
1,364 18,073 1,424 18,868 2,470 32,728
798 17,357 561 12,202 1,145 24,904
1,000 38,500 800 30,800 1,400 53,900
3,637 360,063 2,836 280,764 6,031 597,069
10,500 351,750 8,150 273,025 14,600 489,100
879 38,346 632 27,571 1,167 50,910
2,083 148,153 1,583 112,591 2,839 201,924
702 18,691 531 14,138 1,317 35,065
1,000 21,375 700 14,963 1,100 23,513
1,700 18,700 800 8,800 2,100 23,100
13,226 1,876,438 10,272 1,457,339 22,071 3,131,322
1,000 13,500 700 9,450 1,100 14,850
1,300 17,388 0 -- 500 6,688
673 56,700 562 47,349 1,016 85,598
600 25,013 600 25,013 1,100 45,856
1,850 215,988 1,652 56,994 2,990 103,155
500 19,063 500 19,063 800 30,500
1,000 27,875 300 8,363 800 22,300
1,700 76,713 1,110 50,089 2,150 97,019
808 34,744 503 21,629 879 37,797
2,213 76,349 1,375 160,531 2,500 291,875
700 6,869 500 4,906 900 8,831
1,550 238,506 1,200 184,650 2,200 338,525
400 9,800 400 9,800 700 17,150
600 22,425 750 28,031 1,500 56,063
1,600 31,000 300 5,813 300 5,813
3,572 133,950 2,756 103,350 4,928 184,800
538 19,234 1,100 39,325 822 29,387
925 30,756 825 27,431 1,425 47,381
2,346 61,289 1,850 48,331 3,264 85,272
400 32,700 200 16,350 500 40,875
718 50,978 585 41,535 1,273 90,383
6,875 309,375 5,450 245,250 9,450 425,250
14,175 276,413 10,875 212,062 19,550 381,225
2,356 146,366 1,886 117,168 3,356 208,491
0 -- 0 -- 200 3,925
303 13,029 258 11,094 440 18,920
2,106 34,223 1,626 26,423 2,837 46,101
600 18,413 500 15,344 1,300 39,894
500 26,750 400 21,400 600 32,100
1,723 29,722 1,048 18,078 2,085 35,966
1,000 52,875 700 37,013 1,400 74,025
4,700 338,400 3,650 262,800 6,600 475,200
</TABLE>
125
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PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Tektronix Inc 78 $ 3,803 226 $ 11,018
Tencor Instruments+ 300 12,019 200 8,013
Teradyne Inc+ 776 21,146 920 25,070
Texas Instruments Inc 222 17,122 1,608 124,017
Thermo Instrument Systems
Inc+ 200 6,800 225 7,650
Vishay Intertechnology Inc 420 9,608 520 11,895
VLSI Technology Inc 500 9,344 400 7,475
Xerox Corp 471 29,438 2,703 168,938
Xilinx Inc+ 847 38,221 900 40,613
Zenith Electronics Corp+ 44 424 89 857
------------ ------------
TOTAL ELECTRONICS
- VALUE $ 1,259,633 $ 3,624,695
- COST $ 1,060,933 $ 2,752,884
ENERGY & RELATED
PERCENT OF NET ASSETS 1.96% 4.07%
AES Corp+ 784 $ 51,254 640 $ 41,840
AGL Resources Inc 538 10,491 440 8,580
Amerada Hess Corp 138 7,366 782 41,739
Amoco Corp 694 58,643 4,039 341,295
Anadarko Petroleum Corp 539 30,319 700 39,375
Apache Corp 962 31,145 1,020 33,023
Ashland Inc 106 4,439 552 23,115
Atlantic Richfield Corp 255 31,875 1,370 171,250
British Gas PLC ADR (UK) 3,600 100,350 6,700 186,762
British Petroleum Co PLC ADR
(UK) 1,234 163,351 2,269 300,358
Brooklyn Union Gas Co 510 14,535 400 11,400
Burlington Resources Inc 177 7,766 1,044 45,806
Chesapeake Energy Corp 0 -- 400 8,300
Chevron Corp 892 57,534 5,377 346,816
Coastal Corp 108 4,914 827 37,629
Columbia Gas System Inc 139 8,166 410 24,088
Consolidated Natural Gas Co 138 7,038 782 39,882
Cooper Cameron Corp 0 -- 300 19,650
Diamond Offshore Drilling
Inc 300 17,700 300 17,700
Dresser Industries Inc 207 6,288 1,471 44,682
Eastern Enterprises 37 1,244 185 6,221
El Paso Natural Gas Co 427 22,898 456 24,453
ELF Aquitaine ADR (France) 9,550 458,400 17,700 849,599
Enron Corp 386 15,392 1,994 79,511
Enron Oil & Gas Co 700 14,175 800 16,200
Ensco International Inc+ 700 30,363 700 30,363
Enserch Corp+ 92 1,932 588 12,348
Enserch Exploration Inc 0 -- 300 2,888
</TABLE>
126
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
562 $ 27,398 395 $ 19,256 796 $ 38,805
400 16,025 300 12,019 700 28,044
1,790 48,778 1,300 35,425 2,150 58,587
3,231 249,191 2,519 194,278 4,430 341,664
1,600 54,400 250 8,500 537 18,258
840 19,215 630 14,411 1,271 29,074
600 11,213 400 7,475 1,200 22,425
5,583 348,938 4,194 262,125 7,678 479,875
1,459 65,837 1,174 52,977 2,120 95,665
279 2,685 230 2,214 367 3,532
------------ ------------ ------------
$ 7,225,188 $ 5,531,902 $ 10,582,624
$ 5,439,996 $ 4,088,253 $ 8,046,702
5.52% 6.73% 7.32%
1,148 $ 75,051 798 $ 52,169 750 $ 49,031
798 15,561 558 10,881 520 10,140
1,574 84,012 1,224 65,331 2,238 119,453
8,495 717,828 6,483 547,812 11,661 985,354
1,301 73,181 846 47,588 1,515 85,219
1,549 50,149 1,284 41,570 2,535 82,071
1,084 45,393 795 33,291 1,510 63,231
2,736 342,000 2,062 257,750 3,790 473,750
13,100 365,163 10,350 288,506 17,450 486,419
4,432 586,686 3,423 453,119 5,857 775,320
719 20,492 514 14,649 490 13,965
2,156 94,595 1,659 72,789 2,949 129,387
1,000 20,750 500 10,375 800 16,600
11,172 720,594 8,490 547,604 15,382 992,139
1,805 82,128 1,370 62,335 2,519 114,614
977 57,399 717 42,124 1,278 75,083
1,671 85,221 1,215 61,965 2,264 115,464
400 26,200 400 26,200 600 39,300
1,100 64,900 400 23,600 600 35,400
3,054 92,765 2,294 69,680 4,117 125,054
393 13,215 254 8,541 433 14,560
842 45,152 627 33,623 778 41,720
34,450 1,653,599 27,300 1,310,399 46,950 2,253,599
4,060 161,893 3,270 130,391 5,782 230,557
2,200 44,550 1,600 32,400 1,800 36,450
1,100 47,713 900 39,038 1,600 69,400
1,147 24,087 920 19,320 1,637 34,377
0 -- 0 -- 500 4,813
</TABLE>
127
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Exxon Corp 1,726 $ 172,384 10,248 $ 1,023,518
Fina Inc Class A 0 -- 100 6,238
Global Marine Inc+ 1,500 27,938 1,900 35,388
Halliburton Co 125 8,078 968 62,557
Helmerich & Payne Inc 43 1,817 242 10,225
Indiana Energy Inc 0 -- 0 --
Kerr-McGee Corp 41 2,568 412 25,802
Louisiana Land & Exploration
Co 83 3,963 231 11,030
MAPCO Inc 674 21,400 520 16,510
MCN Corp 616 18,634 500 15,125
Mobil Corp 498 61,130 3,273 401,760
Murphy Oil Corp 493 22,863 580 26,898
Nabors Industries Inc+ 900 13,838 900 13,838
National Fuel Gas Co 400 17,200 320 13,760
Natural Gas Clearinghouse
Inc 0 -- 100 1,975
NICOR Inc 42 1,407 414 13,869
Noble Affiliates Inc 338 13,182 630 24,570
Noble Drilling Corp 0 -- 1,400 24,850
NorAm Energy Corp 114 1,710 1,058 15,870
Occidental Petroleum Corp 486 12,393 2,719 69,334
ONEOK Inc 47 1,340 220 6,270
Oryx Energy Co+ 195 3,900 765 15,300
Pacific Enterprises Co 148 4,514 742 22,631
Panenergy Corp 174 7,417 1,277 54,432
Parker & Parsley Petroleum 376 11,092 297 8,762
Parker Drilling Co+ 0 -- 0 --
Pennzoil Co 30 1,721 403 23,122
Peoples Energy Corp 61 2,066 234 7,927
Phillips Petroleum Co 408 16,881 2,188 90,529
Pogo Producing Co 300 10,313 400 13,750
Quaker State Corp 0 -- 0 --
Questar Corp 427 15,479 440 15,950
Ranger Oil Ltd 0 -- 0 --
Reading & Bates Corp+ 700 16,975 800 19,400
Repsol Sa 1,850 70,300 3,400 129,200
Rowan Co Inc+ 122 2,425 742 14,747
Royal Dutch Petroleum Co 1,889 326,797 3,617 625,740
Santa Fe Energy Resources
Inc+ 83 1,069 778 10,017
Schlumberger Ltd 377 37,936 1,759 176,999
Seagull Energy Corp+ 391 7,185 310 5,696
Services (B J) Co 0 -- 400 15,900
Sonat Offshore Drilling Co 128 5,888 673 30,958
Sun Co Inc 112 3,024 605 16,335
Texaco Inc 404 39,945 2,188 216,338
</TABLE>
128
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
21,274 $ 2,124,740 16,212 $ 1,619,173 29,237 $ 2,920,044
400 24,950 0 -- 100 6,238
3,615 67,329 2,500 46,563 4,000 74,500
2,034 131,447 1,540 99,523 3,296 213,004
421 17,787 287 12,126 546 23,069
352 9,152 0 -- 0 --
783 49,035 619 38,765 1,150 72,019
541 25,833 430 20,532 830 39,633
936 29,718 676 21,463 1,400 44,450
930 28,133 670 20,268 600 18,150
6,775 831,630 5,112 627,497 9,256 1,136,173
1,077 49,946 697 32,323 1,170 54,259
1,285 19,757 1,229 18,896 2,600 39,975
582 25,026 412 17,716 385 16,555
1,600 31,600 0 -- 3,200 63,200
829 27,772 635 21,272 1,181 39,564
873 34,047 858 33,462 1,520 59,280
2,100 37,275 1,800 31,950 3,000 53,250
2,241 33,615 1,759 26,385 3,123 46,845
5,591 142,571 4,239 108,094 7,724 196,962
457 13,025 369 10,516 646 18,411
1,718 34,360 1,273 25,460 3,089 61,780
1,459 44,499 1,124 34,282 1,951 59,505
2,619 111,635 1,937 82,565 3,585 152,811
534 15,753 386 11,387 462 13,629
844 7,068 619 5,184 0 --
755 43,318 624 35,802 1,062 60,932
617 20,901 435 14,736 850 28,794
4,521 187,056 3,425 141,709 6,216 257,187
600 20,625 400 13,750 700 24,063
419 6,128 299 4,373 0 --
710 25,737 640 23,200 1,030 37,338
1,508 13,572 1,103 9,927 0 --
1,200 29,100 1,100 26,675 1,900 46,075
6,625 251,750 5,250 199,500 9,150 347,700
1,424 28,302 1,057 21,008 1,754 34,861
7,038 1,217,573 5,500 951,499 9,503 1,644,018
1,513 19,480 1,177 15,154 2,118 27,269
3,996 402,097 3,044 306,302 6,528 656,880
548 10,070 403 7,405 375 6,891
600 23,850 600 23,850 1,000 39,750
1,520 69,920 1,159 53,314 2,002 92,092
1,295 34,965 929 25,083 1,697 45,819
4,514 446,322 3,420 338,153 6,196 612,629
</TABLE>
129
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Tosco Corp 1,371 $ 38,217 1,440 $ 40,140
Total Compagnie Francaise des
Petroles SA ADR (France) 4,025 159,497 7,450 295,217
Transocean Offshore Inc 200 11,175 200 11,175
TransTexas Gas Corp 0 -- 0 --
Ultramar Diamond Shamrock Corp 910 27,757 955 29,128
Union Pacific Resources Group 2,521 61,449 2,374 57,866
Union Texas Petroleum Holdings
Corp 600 11,100 700 12,950
United Meridian Corp 0 -- 400 12,050
Unocal Corp 373 14,407 1,909 73,735
USX-Marathon Group 402 10,703 2,309 61,477
Utilicorp United Inc 491 13,196 380 10,213
Valero Energy Corp 480 15,120 570 17,955
Vastar Resources Inc 200 5,800 200 5,800
Washington Gas & Light 464 10,266 360 7,965
Weatherford Enterra Inc+ 600 18,000 600 18,000
Western Atlas Inc 132 8,036 406 24,715
Williams Co Inc 186 8,116 1,335 58,384
Witco Corp 716 22,017 680 20,910
------------ ------------
TOTAL ENERGY & RELATED
- VALUE $ 2,579,206 $ 6,895,673
- COST $ 2,065,670 $ 5,676,801
ENGINEERING & CONSTRUCTION
PERCENT OF NET ASSETS 0.03% 0.08%
Armstrong World Industries Inc 90 $ 6,199 363 $ 25,002
Centex Corp 55 2,221 228 9,206
Clayton Homes Inc 1,026 14,624 984 14,018
Fleetwood Enterprises Inc 30 780 302 7,852
Fluor Corp 119 7,214 687 41,649
Foster Wheeler Corp 0 -- 310 12,090
Granite Construction Inc 0 -- 0 --
Kaufman & Broad Home Corp 57 805 280 3,955
Pulte Corp 48 1,638 222 7,576
Rouse Co 400 11,700 600 17,550
------------ ------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 45,181 $ 138,898
- COST $ 34,449 $ 128,119
ENTERTAINMENT & LEISURE
PERCENT OF NET ASSETS 0.22% 0.57%
Bally Total Fitness Holding Corp 26 $ 197 76 $ 575
Boyd Gaming Corp 0 -- 200 1,150
Brunswick Corp 92 2,634 762 21,812
</TABLE>
130
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,467 $ 40,893 1,677 $ 46,746 3,135 $ 87,388
14,570 577,342 11,347 449,629 19,413 769,251
400 22,350 700 39,113 1,200 67,050
0 -- 0 -- 300 4,523
1,544 47,083 1,237 37,716 2,225 67,872
4,825 117,609 5,488 133,770 7,735 188,551
800 14,800 900 16,650 1,600 29,600
0 -- 500 15,063 900 27,113
4,081 157,629 3,134 121,051 5,696 220,008
4,972 132,380 3,782 100,696 6,806 181,210
675 18,141 494 13,276 472 12,685
764 24,066 684 21,546 1,060 33,390
1,600 46,400 900 26,100 500 14,500
624 13,806 454 10,045 440 9,735
1,057 31,710 700 21,000 1,300 39,000
892 54,301 659 40,117 1,253 76,276
2,641 115,522 2,042 89,338 3,680 160,978
1,352 41,574 822 25,277 1,595 49,046
------------ ------------ ------------
$ 13,884,352 $ 10,687,025 $ 18,896,250
$ 11,217,446 $ 8,648,609 $ 15,747,423
0.10% 0.13% 0.16%
672 $ 46,284 535 $ 36,848 996 $ 68,599
498 20,107 413 16,675 680 27,455
1,945 27,716 1,320 18,810 2,408 34,307
656 17,056 423 10,998 972 25,272
1,303 78,994 1,074 65,111 2,209 133,921
666 25,974 529 20,631 1,148 44,772
270 4,843 0 -- 0 --
671 9,478 495 6,992 886 12,515
359 12,251 293 9,999 578 19,724
500 14,625 900 26,325 1,600 46,800
------------ ------------ ------------
$ 257,328 $ 212,389 $ 413,365
$ 233,707 $ 191,893 $ 388,939
0.78% 0.85% 1.19%
185 $ 1,399 116 $ 877 223 $ 1,686
0 -- 300 1,725 700 4,025
1,702 48,720 1,329 38,043 2,282 65,322
</TABLE>
131
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PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Callaway Golf Co 596 $ 18,998 680 $ 21,675
Circus Circus Entertainment
Inc+ 929 29,031 1,130 35,313
Coleman Co Inc 0 -- 200 2,550
Disney (Walt) Co 894 66,380 5,179 384,540
Gaylord Entertainment Co
Class A 315 6,379 315 6,379
Grand Casinos Inc+ 400 4,400 400 4,400
Harrah's Entertainment Inc+ 104 1,924 822 15,207
Hasbro Inc 129 5,515 674 28,814
International Game
Technology Inc 1,397 24,448 1,600 28,000
Mattel Inc 358 8,905 2,103 52,312
MGM Grand Inc 200 7,025 300 10,538
Mirage Resorts Inc 1,690 42,039 1,760 43,780
Polaroid Corp 32 1,352 404 17,069
Spelling Entertainment Group
I+ 0 -- 0 --
Stanhome Inc 220 5,583 170 4,314
Tiffany & Co 326 11,329 400 13,900
Time Warner Inc 763 31,283 4,385 179,785
Topp Inc+ 512 2,176 0 --
U.S. West Media Group 894 16,427 5,091 93,547
------------ ------------
TOTAL ENTERTAINMENT &
LEISURE
- VALUE $ 286,025 $ 965,660
- COST $ 258,722 $ 869,098
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.10% 0.18%
Browning-Ferris Industries
Inc 338 $ 10,605 1,774 $ 55,659
Mid American Waste Systems
Inc+ 0 -- 0 --
Republic Industries Inc 1,500 53,250 1,400 49,700
Rollins Environmental
Services+ 131 360 353 971
Safety-Kleen Corp 76 1,368 448 8,064
U.S.A. Waste Services Inc 800 28,800 1,300 46,800
Wheelabrator Technologies
Inc 700 9,975 1,000 14,250
WMX Technologies Inc 722 22,833 3,961 125,267
------------ ------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 127,191 $ 300,711
- COST $ 104,876 $ 269,072
FOOD & RELATED
PERCENT OF NET ASSETS 1.63% 2.87%
Albertson's Inc 294 $ 10,364 1,900 $ 66,975
American Brands Inc 253 13,314 1,391 73,201
American Stores Co 225 10,069 1,241 55,535
Archer-Daniels-Midland Co 754 13,949 4,506 83,361
Bob Evans Farms Inc 468 6,377 360 4,905
</TABLE>
132
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,158 $ 36,911 956 $ 30,473 1,616 $ 51,510
2,122 66,313 1,562 48,812 2,795 87,344
0 -- 0 -- 200 2,550
10,972 814,670 8,469 628,822 18,199 1,351,275
420 8,505 515 10,429 750 15,187
700 7,700 500 5,500 900 9,900
1,767 32,689 1,367 25,290 2,452 45,362
1,477 63,142 1,161 49,633 2,018 86,270
3,072 53,760 1,917 33,548 3,845 67,287
4,342 108,007 3,379 84,053 7,306 181,737
700 24,588 400 14,050 400 14,050
2,978 74,078 2,208 54,924 4,070 101,241
733 30,969 586 24,759 1,084 45,799
0 -- 0 -- 400 2,500
299 7,587 214 5,430 210 5,329
480 16,680 360 12,510 800 27,800
9,205 377,405 7,136 292,576 15,275 626,275
722 3,069 527 2,240 0 --
10,689 196,410 8,078 148,433 14,682 269,782
------------ ------------ ------------
$ 1,972,602 $ 1,512,127 $ 3,062,231
$ 1,768,618 $ 1,321,401 $ 2,791,062
0.23% 0.30% 0.34%
3,658 $ 114,770 2,779 $ 87,191 5,036 $ 158,004
372 163 0 -- 0 --
1,600 56,800 2,500 88,750 4,600 163,300
769 2,115 623 1,713 822 2,261
941 16,938 738 13,284 1,380 24,840
2,400 86,400 1,900 68,400 3,500 126,000
2,800 39,900 1,400 19,950 2,100 29,925
8,322 263,183 6,360 201,135 11,465 362,581
------------ ------------ ------------
$ 580,269 $ 480,423 $ 866,911
$ 528,608 $ 440,994 $ 786,754
3.92% 4.78% 5.51%
4,029 $ 142,022 3,108 $ 109,557 6,736 $ 237,444
2,916 153,454 2,266 119,248 4,045 212,868
2,495 111,651 1,935 86,591 3,399 152,105
9,321 172,439 7,113 131,591 12,761 236,079
752 10,246 472 6,431 1,250 17,031
</TABLE>
133
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PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Boston Chicken Inc+ 600 $ 19,650 500 $ 16,375
Brinker International Inc+ 1,056 12,540 990 11,756
Brown-Forman Corp Class B 71 3,177 592 26,492
Campbell Soup Co 290 26,136 1,795 161,774
ConAgra Inc 284 15,052 1,840 97,520
CPC International Inc 237 19,938 1,076 90,519
Cracker Barrel Old Country
Store Inc 649 17,685 710 19,348
Darden Restaurants Inc 153 1,109 1,215 8,809
Dave & Buster's Inc 0 -- 0 --
Dean Foods Co 424 13,833 540 17,617
Dole Food Inc 446 17,060 610 23,333
Earthgrains Co 14 767 73 3,997
Fleming Co Inc 65 1,138 263 4,603
Flowers Industries Inc 606 14,014 480 11,100
Food Lion Inc Class A 3,300 26,194 3,100 24,606
Food Lion Inc Class B 2,500 20,781 2,300 19,119
General Mills Inc 203 13,246 1,215 79,279
General Nutrition Co Inc+ 1,100 19,800 1,100 19,800
Giant Food Inc Class A 54 1,762 451 14,714
Grand Metropolitan PLC ADR
(UK) 7,624 228,720 14,104 423,119
Great Atlantic & Pacific Tea
Co 67 1,993 265 7,884
Hannaford Brothers Co 436 15,533 360 12,825
Harcourt General Inc 86 4,053 530 24,976
Heinz (H J) Co 474 19,730 2,869 119,422
Hershey Foods Corp 208 9,490 1,246 56,849
Hormel Foods Corp 400 10,500 500 13,125
Host Marriott Services Corp 240 2,190 240 2,190
IBP Inc 1,032 23,994 1,220 28,365
International Dairy Queen
Clas 0 -- 0 --
International Multifoods
Corp 0 -- 0 --
Interstate Bakeries Corp 0 -- 300 14,025
Kellogg Co 319 21,852 1,577 108,025
Kroger Co+ 165 8,745 1,008 53,424
Lancaster Colony Corp 338 15,464 260 11,895
Lance Inc 0 -- 0 --
Lone Star Steakhouse &
Saloon+ 300 7,950 400 10,600
Luby's Cafeteria Inc 45 917 219 4,462
McCormick & Co Inc 888 20,979 900 21,263
McDonald's Corp 940 40,655 5,284 228,533
Michael Foods Inc 0 -- 0 --
Morrison Fresh Cooking Inc 96 456 50 238
Nabisco Holdings Corp Class
A 200 8,225 200 8,225
NPC International Inc+ 0 -- 0 --
Outback Steakhouse Inc+ 400 9,550 400 9,550
</TABLE>
134
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
700 $ 22,925 700 $ 22,925 1,300 $ 42,575
1,871 22,218 1,171 13,906 2,130 25,294
1,142 51,105 952 42,602 1,616 72,316
3,786 341,213 2,977 268,302 6,260 564,183
3,850 204,050 3,059 162,127 6,514 345,242
2,350 197,694 1,790 150,584 3,896 327,751
1,411 38,450 971 26,460 1,625 44,281
2,626 19,039 1,957 14,188 3,646 26,433
69 1,596 0 -- 0 --
707 23,066 637 20,782 1,205 39,313
1,008 38,556 668 25,551 1,425 54,506
167 9,143 134 7,337 306 16,753
639 11,183 439 7,683 907 15,873
879 20,327 624 14,430 577 13,343
5,600 44,450 4,200 33,338 7,300 57,944
4,300 35,744 3,000 24,938 5,000 41,562
2,569 167,627 1,982 129,325 4,303 280,771
2,100 37,800 1,400 25,200 2,500 45,000
989 32,266 766 24,991 1,443 47,078
28,050 841,499 21,799 653,969 37,230 1,116,894
669 19,903 460 13,685 878 26,121
745 26,541 465 16,566 940 33,487
1,104 52,026 916 43,167 1,968 92,742
5,921 246,462 4,610 191,891 9,903 412,212
2,514 114,701 1,920 87,600 4,113 187,656
600 15,750 600 15,750 1,100 28,875
380 3,468 320 2,920 680 6,205
2,152 50,034 1,542 35,852 2,700 62,775
369 7,934 0 -- 0 --
274 5,788 0 -- 0 --
600 28,050 300 14,025 500 23,375
3,363 230,366 2,607 178,580 5,658 387,573
2,059 109,127 1,566 82,998 3,334 176,702
470 21,503 340 15,555 628 28,731
478 8,843 0 -- 0 --
700 18,550 500 13,250 900 23,850
480 9,780 369 7,518 621 12,653
1,355 32,012 1,205 28,468 2,055 48,549
11,259 486,952 8,765 379,085 18,738 810,419
229 2,548 0 -- 0 --
160 760 99 470 193 917
800 32,900 100 4,113 300 12,338
374 3,927 284 2,982 0 --
500 11,938 600 14,325 900 21,488
</TABLE>
135
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Pioneer Hi Bred
International Inc 132 $ 8,993 624 $ 42,510
Planet Hollywood
International 0 -- 100 1,700
Quaker Oats Co 136 4,879 1,074 38,530
Ralston-Purina Group 151 12,401 818 67,178
Richfood Holdings Inc 0 -- 500 10,563
RJR Nabisco Holdings Corp 2,270 83,139 2,743 100,462
Ruby Tuesday Inc 192 3,312 100 1,725
Ryans Family Steak House+ 119 878 516 3,806
Safeway Inc+ 900 43,313 900 43,313
Sara Lee Corp 613 23,754 3,702 143,452
Savannah Foods & Industries 0 -- 0 --
Sbarro Inc 0 -- 0 --
Shoney's Inc+ 97 800 370 3,053
Sizzler International Inc+ 254 635 0 --
Smucker (J M) Co Class A 305 5,071 0 --
Southland Corp+ 1,800 6,188 1,400 4,813
Starbucks Corp+ 1,000 83,625 1,000 33,625
Super Value Inc 76 2,356 597 18,507
Sysco Corp 198 6,880 1,359 47,225
The Vons Co Inc+ 280 19,075 370 25,206
Tootsie Roll Industries 206 8,704 206 8,704
Tyson Food Inc Class A 591 11,968 1,590 32,198
Unilever NV (Netherlands) 5,605 1,067,752 10,283 1,958,911
Universal Corp 381 12,002 500 15,750
Universal Foods Corp 279 9,626 320 11,040
UST Inc 184 5,681 1,493 46,096
Weis Markets Inc 200 6,000 100 3,000
Wendy's International Inc 205 4,254 1,074 22,286
Winn-Dixie Stores Inc 160 5,100 1,200 38,250
Wrigley (W M) Jr Co 179 10,718 895 53,588
------------ ------------
TOTAL FOOD & RELATED
- VALUE $ 2,146,055 $ 4,869,224
- COST $ 1,681,917 $ 3,872,860
FURNITURE & APPLIANCES
PERCENT OF NET ASSETS 0.06% 0.08%
Bassett Furniture Industries 25 $ 619 50 $ 1,238
HON Industries Inc 353 13,502 270 10,328
Leggett & Platt Inc 858 30,781 1,000 35,875
Maytag Corp 112 2,464 806 17,732
Miller (Herman) Inc 269 17,687 210 13,808
National Presto Industries
Inc 0 -- 0 --
Schuller Corp 0 -- 400 4,750
Skyline Corp 20 483 44 1,062
</TABLE>
136
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,311 $ 89,312 1,030 $ 70,169 2,257 $ 153,758
1,600 27,200 200 3,400 300 5,100
2,183 78,315 1,713 61,454 3,651 130,980
1,685 138,381 1,283 105,366 2,860 234,877
0 -- 600 12,675 1,100 23,238
5,005 183,308 3,551 130,055 6,518 238,722
321 5,537 199 3,433 387 6,676
1,012 7,463 679 5,008 1,039 7,663
3,600 173,250 2,000 96,250 4,600 221,375
7,757 300,584 6,032 233,740 13,048 505,610
410 5,996 290 4,241 0 --
319 8,294 219 5,694 0 --
751 6,196 596 4,917 1,304 10,758
434 1,085 319 798 0 --
436 7,248 331 5,503 0 --
2,600 8,938 1,800 6,188 4,200 14,438
1,700 57,163 1,200 40,350 2,200 73,975
1,193 36,983 860 26,660 1,552 48,112
2,901 100,810 2,265 78,709 4,779 166,070
764 52,048 484 32,973 860 58,587
309 13,055 206 8,704 521 22,012
3,711 75,148 2,473 50,078 3,045 61,661
20,021 3,814,000 15,915 3,031,807 27,332 5,206,745
639 20,129 594 18,711 1,065 33,547
409 14,111 489 16,871 770 26,565
2,953 91,174 2,388 73,730 4,944 152,646
600 18,000 200 6,000 300 9,000
2,221 46,086 1,689 35,047 3,010 62,457
2,415 76,978 1,907 60,786 3,976 126,735
1,876 112,326 1,410 84,424 3,087 184,834
------------ ----------- ------------ ----------- ------------
$ 9,858,744 $ 7,584,597 $ 14,215,448
$ 7,795,632 $ 5,891,976 $ 11,464,218
0.10% 0.11% 0.12%
200 $ 4,950 120 $ 2,970 206 $ 5,099
484 18,513 354 13,541 535 20,464
1,474 52,880 1,184 42,476 2,330 83,589
1,739 38,258 1,308 28,776 2,404 52,888
374 24,591 279 18,344 260 17,095
116 4,365 81 3,048 0 --
1,800 21,375 300 3,563 700 8,313
222 5,356 78 1,882 133 3,209
</TABLE>
137
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Sunbeam Oster Co Inc 500 $ 13,688 600 $ 16,425
Whirlpool Corp 80 4,040 651 32,876
------------ ------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 83,264 $ 134,094
- COST $ 51,386 $ 105,152
HEALTHCARE
PERCENT OF NET ASSETS 0.18% 0.25%
Apria Healthcare Group Inc 500 $ 8,938 600 $ 10,725
Cardinal Health Inc 812 49,907 1,210 74,415
HealthCare Compare Corp+ 484 20,661 490 20,917
Healthsource Inc+ 600 12,525 700 14,613
Healthsouth Corp 244 9,821 1,200 48,300
Idexx Laboratories Inc+ 400 14,900 500 18,625
Mid Atlantic Medical
Services+ 400 5,900 500 7,375
Morrison Health Care Inc 128 1,728 66 891
Novacare Inc+ 0 -- 0 --
Oakley Inc 600 5,325 600 5,325
Oxford Health Plans Inc 700 39,025 800 44,600
PacifiCare Health Systems
Inc Class A+ 91 7,280 243 19,442
PacifiCare Health Systems
Inc Class B 274 22,970 295 24,710
Physician Corp of America+ 400 1,750 300 1,313
St Jude Medical Inc+ 48 1,896 728 28,756
Transitional Hospitals Corp+ 101 909 373 3,357
United Healthcare Corp 289 14,414 1,503 74,962
Value Health Inc+ 435 10,440 545 13,080
Vivra Inc+ 400 11,900 500 14,875
------------ ------------
TOTAL HEALTHCARE
- VALUE $ 240,289 $ 426,281
- COST $ 233,191 $ 414,935
HOSPITAL & MEDICAL SUPPLIES
PERCENT OF NET ASSETS 0.38% 0.99%
Allegiance Corp 81 $ 2,136 428 $ 11,289
American Oncology Resources 0 -- 200 1,825
Arrow International Inc 0 -- 100 3,525
Arterial Vascular
Engineering 0 -- 100 1,575
Bard (C R) Inc 141 3,860 512 14,016
Bausch & Lomb Inc 54 2,018 450 16,819
Baxter International Inc 359 16,514 2,194 100,924
Becton Dickinson & Co 154 7,584 996 49,053
Beverly Enterprises+ 170 2,444 791 11,371
Biomet Inc 127 1,937 944 14,396
Boston Scientific Corp 193 12,786 1,326 87,847
</TABLE>
138
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
800 $ 21,900 600 $ 16,425 1,300 $ 35,587
1,239 62,569 998 50,399 1,755 88,627
------------ ----------- ------------ ----------- ------------
$ 254,757 $ 181,424 $ 314,871
$ 203,470 $ 143,117 $ 257,578
0.31% 0.37% 0.40%
800 $ 14,300 600 $ 10,725 1,300 $ 23,238
1,664 102,305 1,531 94,157 2,679 164,728
816 34,833 496 21,173 965 41,193
1,300 27,138 800 16,700 1,400 29,225
2,578 103,765 2,087 84,002 3,930 158,183
800 29,800 600 22,350 1,000 37,250
700 10,325 500 7,375 1,300 19,175
214 2,889 132 1,782 258 3,483
975 12,188 710 8,875 0 --
1,200 10,650 800 7,100 1,200 10,650
1,400 78,050 1,000 55,750 1,900 105,925
424 33,915 304 24,285 186 14,897
551 46,162 412 34,500 695 58,222
600 2,625 500 2,188 1,100 4,813
1,386 54,747 1,012 39,974 1,895 74,852
806 7,254 512 4,608 724 6,516
3,127 155,959 2,400 119,700 4,375 218,203
1,019 24,456 847 20,328 1,119 26,856
800 23,800 500 14,875 1,000 29,750
------------ ------------ ------------
$ 775,161 $ 590,447 $ 1,027,159
$ 730,874 $ 530,822 $ 985,500
1.36% 1.62% 2.02%
930 $ 24,529 698 $ 18,410 1,207 $ 31,835
0 -- 200 1,825 400 3,650
0 -- 0 -- 200 7,050
0 -- 0 -- 0 --
1,014 27,758 720 19,710 1,346 36,847
961 35,917 702 26,237 1,309 48,924
4,667 214,682 3,558 163,668 6,446 296,516
2,172 106,971 1,666 82,051 2,950 145,288
1,669 23,992 1,226 17,624 2,290 32,919
1,963 29,936 1,490 22,722 2,667 40,672
2,891 191,529 2,208 146,280 4,723 312,899
</TABLE>
139
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Columbia/HCA Healthcare Corp 912 $ 38,304 5,475 $ 229,950
Dentsply International Inc 200 10,450 200 10,450
Depuy Inc 0 -- 200 4,300
FHP International Corp+ 0 -- 0 --
Foundation Health Corp+ 609 22,990 482 18,196
Guidant Corp 50 3,350 200 13,400
Health Care & Retirement
Corp 650 17,631 600 16,275
Health Management Associates
Inc Class A 1,050 27,825 1,250 33,125
Hillenbrand Industries Inc 300 11,288 700 26,338
Horizon/CMS Healthcare Corp 600 9,825 400 6,550
Johnson & Johnson 1,776 102,342 10,222 589,042
Mallinckrodt Group Inc 84 3,570 630 26,775
Manor Care Inc 59 1,571 455 12,114
Medpartners Inc 1,210 26,620 1,989 43,758
Medtronic Inc 350 22,663 1,834 118,752
Nellcor Inc 800 13,900 700 12,163
Phycor Inc 600 18,225 600 18,225
Quorum Health Group Inc 300 9,413 300 9,413
Stryker Corp 748 21,692 920 26,680
Sybron International Corp+ 500 14,875 600 17,850
Tenet Healthcare Corp+ 1,211 32,848 2,661 72,180
Thermo Cardiosystems Inc 150 4,200 250 7,000
United States Surgical 149 6,351 546 23,273
Vencor Inc+ 700 24,238 800 27,700
------------ ------------
TOTAL HOSPITAL & MEDICAL
SUPPLIES
- VALUE $ 493,450 $ 1,676,149
- COST $ 427,301 $ 1,329,310
HOUSEHOLD PRODUCTS
PERCENT OF NET ASSETS 0.20% 0.82%
Alberto-Culver Co Class B 96 $ 2,736 444 $ 12,654
Avon Products Inc 154 8,971 990 57,668
Colgate-Palmolive Co 233 24,115 1,121 116,023
Estee Lauder Co Class A 200 9,300 200 9,300
Gillette Co 697 55,166 4,163 329,412
Kimberly-Clark Corp 381 40,386 2,122 224,932
NCH Corp 0 -- 0 --
Procter & Gamble Co 873 104,869 5,147 618,282
Tambrands Inc 497 21,371 510 21,930
------------ ------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 266,914 $ 1,390,201
- COST $ 209,419 $ 954,040
</TABLE>
140
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
11,464 $ 481,505 8,784 $ 368,928 15,829 $ 664,818
300 15,675 300 15,675 500 26,125
1,700 36,550 0 -- 400 8,600
0 -- 0 -- 0 --
965 36,429 626 23,632 1,186 44,772
1,188 79,596 185 12,395 1,943 130,181
750 20,344 600 16,275 1,350 36,619
1,650 43,725 1,600 42,400 2,825 74,863
1,000 37,625 800 30,100 1,400 52,675
900 14,738 700 11,463 1,000 16,375
21,452 1,236,171 16,676 960,953 35,730 2,058,940
1,224 52,020 1,007 42,798 1,699 72,208
1,097 29,208 827 22,019 1,472 39,192
2,420 53,240 2,452 53,944 4,462 98,164
3,874 250,841 2,984 193,214 6,390 413,752
1,300 22,588 950 16,506 1,600 27,800
1,050 31,894 750 22,781 1,450 44,044
400 12,550 300 9,413 700 21,963
1,668 48,372 1,088 31,552 2,300 66,700
800 23,800 800 23,800 1,400 41,650
5,193 140,860 3,952 107,198 6,930 187,976
300 8,400 300 8,400 450 12,600
1,049 44,714 781 33,290 1,453 61,934
1,500 51,938 980 33,933 1,574 54,500
------------ ------------ ------------
$ 3,428,097 $ 2,579,196 $ 5,213,051
$ 2,629,158 $ 1,908,341 $ 4,073,977
1.19% 1.44% 1.90%
920 $ 26,220 808 $ 23,028 1,222 $ 34,827
2,128 123,956 1,643 95,705 3,576 208,302
2,370 245,295 1,876 194,166 3,976 411,516
800 37,200 300 13,950 400 18,600
8,920 705,779 6,461 511,257 14,806 1,171,508
4,553 482,618 3,565 377,890 7,539 799,134
124 7,378 89 5,296 0 --
10,981 1,319,092 8,611 1,034,395 18,391 2,209,218
954 41,022 609 26,187 1,085 46,655
------------ ------------ ------------
$ 2,988,560 $ 2,281,874 $ 4,899,760
$ 2,044,865 $ 1,492,982 $ 3,361,561
</TABLE>
141
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
INSURANCE
PERCENT OF NET ASSETS 0.88% 2.11%
Aetna Inc 168 $ 13,923 1,189 $ 98,538
AFLAC Corp 1,496 60,401 1,870 75,501
Alleghany Corp 2 427 100 21,338
Allmerica Financial Corp 200 7,475 100 3,738
Allmerica Property &
Casualty Co Inc 300 9,413 800 25,100
Allstate Corp 604 38,279 3,680 233,220
American General Corp 300 13,013 1,635 70,918
American International Group
Inc 609 73,689 3,523 426,282
American National Insurance
Co 100 8,250 100 8,250
American States Financial
Corp 0 -- 100 3,275
Aon Corp 140 8,873 860 54,503
Argonaut Group Inc 0 -- 100 2,875
Chubb Corp 208 12,194 1,396 81,841
CIGNA Corp 76 11,619 597 91,266
Cincinnati Financial Corp 630 43,549 746 51,567
CNA Financial Corp+ 100 11,125 100 11,125
Conseco Inc 1,250 49,063 1,466 57,560
Equitable Co Inc 900 28,238 900 28,238
Equitable of Iowa Co 300 15,938 300 15,938
Everest Reinsurance Holdings
Inc 300 9,450 200 6,300
General Re Corp 97 16,454 692 117,381
Hartford Steam Boiler
Inspection 230 10,523 280 12,810
Highlands Insurance Group 37 833 76 1,710
Humana Inc+ 250 4,906 1,350 26,494
ITT Hartford Group Inc 131 9,825 996 74,700
Jefferson-Pilot Corp 104 6,136 587 34,633
John Alden Financial Corp 0 -- 0 --
Leucadia National Corp 400 10,650 400 10,650
Lincoln National Corp 140 8,137 860 49,988
Loews Corp 150 15,319 900 91,912
Marsh & McLennan Companies
Inc 80 9,360 549 64,233
MBIA Inc 450 43,931 450 43,931
Mercury General Corp 100 6,138 100 6,138
Ohio Casualty Corp 300 11,888 400 15,850
Old Republic International
Corp 1,050 28,481 950 25,769
Paul Revere Corp 0 -- 100 4,163
PMI Group Inc 300 16,425 300 16,425
Progressive Corp Ohio 482 31,872 620 40,998
Protective Life Corp 300 12,900 300 12,900
Provident Companies Inc 297 16,187 290 15,805
Providian Corp 151 8,437 719 40,174
Reliastar Financial Corp 300 18,600 400 24,800
</TABLE>
142
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2.91% 3.46% 3.96%
2,625 $ 217,547 1,916 $ 158,788 3,562 $ 295,201
3,217 129,886 2,337 94,356 4,227 170,665
102 21,764 102 21,764 102 21,764
700 26,163 200 7,475 300 11,213
1,400 43,925 900 28,238 1,700 53,337
7,662 485,579 5,748 364,279 10,511 666,135
3,499 151,769 2,682 116,332 4,788 207,679
7,530 911,129 5,842 706,881 12,620 1,527,019
200 16,500 200 16,500 300 24,750
0 -- 0 -- 300 9,825
1,868 118,385 1,390 88,091 2,568 162,747
0 -- 200 5,750 300 8,625
2,987 175,113 2,304 135,072 4,114 241,183
1,311 200,419 973 148,747 1,766 269,977
1,245 86,061 940 64,978 1,695 117,167
1,000 111,250 600 66,750 1,300 144,625
2,566 100,720 1,902 74,654 3,548 139,242
3,100 97,263 1,300 40,788 2,100 65,888
400 21,250 400 21,250 800 42,500
400 12,600 300 9,450 600 18,900
1,382 234,422 1,121 190,150 1,962 332,804
309 14,137 324 14,823 620 28,365
172 3,870 136 3,060 216 4,860
2,807 55,087 2,105 41,311 3,790 74,379
2,025 151,875 1,486 111,450 2,743 205,725
1,202 70,918 973 57,407 1,629 96,111
0 -- 0 -- 300 5,700
400 10,650 600 15,975 1,100 29,288
1,812 105,323 1,332 77,422 2,482 144,266
1,995 203,739 1,459 149,000 2,713 277,065
1,120 131,040 884 103,428 1,892 221,364
812 79,272 547 53,401 987 96,356
200 12,275 100 6,138 300 18,413
700 27,738 400 15,850 900 35,663
1,800 48,825 1,250 33,906 2,100 56,962
0 -- 0 -- 200 8,325
300 16,425 400 21,900 700 38,325
1,197 79,152 797 52,702 1,350 89,269
600 25,800 500 21,500 700 30,100
806 43,927 501 27,305 680 37,060
1,650 92,194 1,270 70,961 2,252 125,830
800 49,600 600 37,200 1,000 62,000
</TABLE>
143
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
SAFECO Corp 170 $ 7,098 1,012 $ 42,251
St Paul Co 123 8,303 693 46,778
Sunamerica Inc 600 27,525 600 27,525
TIG Holdings Inc 500 17,875 500 17,875
Tokio Marine & Fire
Insurance Co ADR 5,700 277,163 17,100 831,487
Torchmark Corp 78 4,592 598 35,207
Transamerica Corp 74 6,484 495 43,374
Transatlantic Holdings Inc 151 12,741 200 16,875
Travelers Inc 883 47,351 5,307 284,587
Travelers/Aetna Property &
Casualty Corp Class A 100 3,688 500 18,438
U.S. Life Corp 60 2,858 257 12,240
Unitrin Inc 300 16,200 400 21,600
UNUM Corp 83 6,381 627 48,201
USF & G Corp 174 3,915 920 20,700
Western National Corp 400 9,200 400 9,200
Zurich Reinsurance Centre
Holdings Inc 200 7,675 100 3,838
------------ ------------
TOTAL INSURANCE
- VALUE $ 1,160,970 $ 3,579,013
- COST $ 985,708 $ 2,986,964
LODGING
PERCENT OF NET ASSETS 0.08% 0.14%
Choice Hotels Inc 59 $ 907 505 $ 7,764
HFS Inc+ 200 13,700 1,000 68,500
Hilton Hotels Corp 393 9,874 1,828 45,929
Homestead Village Property
Inc 75 1,310 88 1,529
Host Marriott Corp+ 1,800 32,400 1,900 34,200
La Quinta Inns Inc 800 15,800 750 14,813
Marriott International 173 9,169 1,013 53,689
Primadonna Resorts Inc 0 -- 0 --
Promus Hotel Corp 677 23,949 561 19,845
------------ ------------
TOTAL LODGING
- VALUE $ 107,109 $ 246,269
- COST $ 83,517 $ 186,355
MACHINERY
PERCENT OF NET ASSETS 0.18% 0.40%
AGCO Corp 300 $ 8,513 300 $ 8,513
AVX Corp 300 6,638 200 4,425
Black & Decker Corp 122 3,858 692 21,885
Case Corp 100 5,188 650 33,719
Caterpillar Inc 257 20,142 1,591 124,695
Cincinnati Milacron Inc 59 1,269 332 7,138
</TABLE>
144
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,189 $ 91,391 1,621 $ 67,677 2,974 $ 124,164
1,392 93,960 1,045 70,537 1,991 134,393
1,500 68,813 900 41,288 1,400 64,225
900 32,175 700 25,025 1,100 39,325
33,000 1,604,624 25,350 1,232,643 45,700 2,222,161
1,191 70,120 967 56,932 1,690 99,499
1,095 95,949 857 75,095 1,519 133,102
355 29,953 260 21,938 340 28,688
10,991 589,392 8,307 445,462 15,093 809,362
900 33,188 600 22,125 900 33,188
575 27,384 452 21,527 792 37,719
600 32,400 400 21,600 800 43,200
1,222 93,941 1,001 76,952 1,694 130,226
2,023 45,518 1,507 33,908 2,698 60,705
600 13,800 400 9,200 1,000 23,000
0 -- 100 3,838 300 11,512
------------ ------------ ------------
$ 7,306,200 $ 5,500,779 $ 10,211,141
$ 6,003,379 $ 4,478,005 $ 8,548,751
0.20% 0.23% 0.29%
1,105 $ 16,989 807 $ 12,408 1,217 $ 18,711
2,102 143,987 1,570 107,545 3,330 228,105
3,969 99,721 3,062 76,933 6,024 151,353
101 1,747 113 1,966 189 3,276
3,400 61,200 2,500 45,000 4,700 84,600
1,500 29,625 900 17,775 1,800 35,550
2,048 108,544 1,608 85,224 3,418 181,154
0 -- 0 -- 400 7,450
1,174 41,530 745 26,354 1,355 47,933
------------ ------------ ------------
$ 503,343 $ 373,205 $ 758,132
$ 363,335 $ 262,575 $ 569,559
0.57% 0.66% 0.72%
500 $ 14,188 400 $ 11,350 700 $ 19,863
1,300 28,763 300 6,638 600 13,275
1,505 47,596 1,133 35,831 2,088 66,033
1,273 66,037 912 47,310 1,715 88,966
3,298 258,481 2,451 192,097 4,485 351,512
636 13,674 513 11,030 1,011 21,736
</TABLE>
145
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Cummins Engine Co Inc 23 $ 1,164 370 $ 18,731
Deere & Co 328 13,981 2,163 92,198
Federal Mogul Corp 396 9,752 300 7,388
Giddings & Lewis Inc 60 829 283 3,909
Goulds Pumps Inc 0 -- 0 --
Harsco Corp 538 19,368 620 22,320
Ingersoll-Rand Co 110 5,225 853 40,518
Jacobs Engineering Group+ 0 -- 0 --
Kubota Corp ADR 100 9,000 100 9,000
MagneTek Inc 0 -- 0 --
Makita Corp ADR 2,950 40,931 8,750 121,406
McDermott International Inc 44 979 415 9,234
Measurex Corp 0 -- 0 --
Nordson Corp 214 11,984 160 8,960
Pall Corp 78 1,697 894 19,445
Parker Hannifin Corp 102 4,463 637 27,869
Pentair Co 0 -- 0 --
Presstek Inc+ 100 4,950 200 9,900
SPX Corp 22 1,009 46 2,110
Tecumseh Products Co Class A 241 13,797 190 10,878
Teleflex Inc 175 9,188 0 --
Thermo Electron Corp 233 7,951 1,126 38,425
UCAR International Inc 400 17,200 400 17,200
York International Corp 402 17,738 520 22,945
Zurn Industries Inc 22 564 46 1,179
------------ ------------
TOTAL MACHINERY
- VALUE $ 237,378 $ 683,990
- COST $ 245,176 $ 663,236
METAL FABRICATORS
PERCENT OF NET ASSETS 0.29% 0.79%
Alcan Aluminum Ltd 318 $ 11,408 1,829 $ 65,615
Allegheny Teledyne Inc 256 6,528 1,410 35,955
Alumax Inc 489 19,132 480 18,780
Aluminum Co of America 210 14,963 1,398 99,607
Amphenol Corp Class A 200 5,100 200 5,100
Armco Inc+ 107 441 875 3,609
Barrick Gold Corp 407 11,498 2,970 83,903
Battle Mountain Gold Co 328 2,419 1,790 13,201
Bethlehem Steel Corp+ 62 512 856 7,062
British Steel PLC ADR (UK) 850 21,144 1,500 37,312
Crane Co 78 2,545 362 11,810
Engelhard Corp 164 3,629 1,165 25,776
</TABLE>
146
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MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
683 $ 34,577 472 $ 23,895 955 $ 48,347
4,429 188,786 3,344 142,538 6,041 257,498
553 13,618 398 9,801 380 9,358
607 8,384 423 5,843 763 10,539
315 7,422 0 -- 0 --
1,148 41,328 758 27,288 1,520 54,720
1,893 89,918 1,395 66,263 2,590 123,025
373 9,605 0 -- 0 --
100 9,000 100 9,000 100 9,000
367 6,101 0 -- 0 --
16,425 227,897 13,075 181,416 23,550 326,756
904 20,114 674 14,997 1,248 27,768
286 9,974 0 -- 0 --
293 16,408 208 11,648 385 21,560
1,844 40,107 1,454 31,625 3,312 72,036
1,285 56,219 959 41,956 1,746 76,388
576 18,072 406 12,738 0 --
200 9,900 200 9,900 300 14,850
226 10,368 83 3,808 248 11,377
345 19,751 249 14,255 431 24,675
254 13,335 194 10,185 0 --
2,424 82,719 2,046 69,820 3,481 118,789
800 34,400 600 25,800 900 38,700
959 42,316 714 31,505 1,185 52,288
224 5,740 180 4,613 241 6,176
------------ ------------ ------------
$ 1,444,798 $ 1,053,150 $ 1,865,235
$ 1,336,880 $ 989,657 $ 1,750,310
0.95% 1.29% 1.43%
3,868 $ 138,764 2,903 $ 104,145 5,316 $ 190,712
2,815 71,783 2,165 55,207 4,040 103,020
773 30,244 693 27,114 1,070 41,864
2,945 209,831 2,307 164,374 4,118 293,407
300 7,650 200 5,100 500 12,750
1,771 7,305 1,205 4,971 3,167 13,064
6,162 174,077 4,695 132,634 8,418 237,809
3,697 27,265 2,857 21,070 5,222 38,512
1,828 15,081 1,402 11,566 2,597 21,425
3,050 75,869 2,400 59,700 4,050 100,744
742 24,208 601 19,591 1,077 35,137
2,466 54,560 1,829 40,467 3,350 74,119
</TABLE>
147
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Freeport McMoRan Copper &
Gold Inc Class B 38 $ 1,240 28 $ 914
Freeport McMoRan Inc 322 10,948 1,537 52,258
Getchell Gold Corp 24 1,236 359 18,488
Inland Steel Industries Inc 97 1,916 396 7,821
Kaydon Corp 0 -- 0 --
Laboratory Corp of America
Holdings 660 2,475 418 1,568
Lukens Inc 0 -- 0 --
Mitsui & Co Ltd ADR 1,250 183,750 3,700 543,899
Nucor Corp 127 6,112 671 32,292
Oregon Steel Mills Inc 0 -- 0 --
Phelps Dodge Corp 74 5,291 495 35,392
Placer Dome Inc 242 5,203 1,849 39,754
Precision Castparts Corp 0 -- 0 --
Reynolds Metals Co 156 9,789 553 34,701
Santa Fe Pacific Gold Corp 178 3,338 1,056 19,800
Timken Co 79 4,138 227 11,889
USX--U.S. Steel Group 132 4,142 728 22,841
WMC Ltd ADR 1,750 44,844 3,100 79,438
Worthington Industries Inc 133 2,776 727 15,176
------------ ------------
TOTAL METAL FABRICATORS
- VALUE $ 386,517 $ 1,323,961
- COST $ 393,179 $ 1,344,946
OFFICE EQUIPMENT & SUPPLIES
PERCENT OF NET ASSETS 0.01% 0.00%
Standard Register Co 301 $ 9,820 0 $ --
------------ ------------
TOTAL OFFICE EQUIPMENT &
SUPPLIES
- VALUE $ 9,820 $ --
- COST $ 6,560 $ --
PHARMACEUTICALS
PERCENT OF NET ASSETS 1.17% 2.98%
Abbott Laboratories 1,011 $ 56,869 5,896 $ 331,649
Allergan Inc 62 2,108 557 18,938
ALZA Corp+ 118 3,348 637 18,075
American Home Products Corp 838 53,632 4,888 312,831
Amgen Inc+ 366 22,372 1,996 122,006
Bergen Brunswig Corp Class A 420 13,493 516 16,577
Bristol-Myers Squibb Co 671 87,566 3,832 500,075
Centocor Inc+ 746 28,255 840 31,815
Covance Inc 90 1,715 1,181 22,444
Dura Pharmaceuticals Inc 0 -- 500 16,813
Glaxo Holdings PLC ADR (UK) 7,400 250,675 13,600 460,699
</TABLE>
148
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
52 $ 1,696 38 $ 1,240 236 $ 7,700
3,124 106,216 2,485 84,490 5,229 177,786
222 11,433 458 23,587 746 38,419
817 16,136 585 11,554 1,161 22,930
250 10,813 0 -- 0 --
1,043 3,911 684 2,565 1,337 5,014
230 4,284 0 -- 0 --
7,000 1,028,999 5,425 797,474 9,750 1,433,249
1,540 74,113 1,144 55,055 2,108 101,448
299 5,083 199 3,383 0 --
1,095 78,293 855 61,133 1,550 110,825
3,881 83,441 2,998 64,457 6,352 136,568
300 14,700 213 10,437 0 --
1,084 68,021 808 50,702 1,463 91,803
2,255 42,281 1,630 30,563 3,095 58,031
519 27,183 397 20,793 710 37,186
1,425 44,709 1,080 33,885 1,970 61,809
6,075 155,672 4,850 124,281 8,300 212,687
1,579 32,962 1,161 24,236 2,139 44,652
------------ ------------ ------------
$ 2,646,583 $ 2,045,774 $ 3,702,670
$ 2,669,158 $ 2,045,467 $ 3,766,689
0.01% 0.01% 0.00%
432 $ 14,094 312 $ 10,179 0 $ --
------------ ------------ ------------
$ 14,094 $ 10,179 --
$ 9,334 $ 6,837 --
4.10% 5.07% 6.32%
12,530 $ 704,813 9,742 $ 547,987 20,980 $ 1,180,124
1,084 36,856 811 27,574 1,538 52,292
1,376 39,044 1,022 28,999 2,365 67,107
10,264 656,896 7,982 510,847 17,062 1,091,968
4,285 261,921 3,318 202,813 7,057 431,359
629 20,207 620 19,918 1,100 35,337
8,069 1,053,004 6,250 815,624 13,432 1,752,875
1,381 52,305 1,166 44,162 2,020 76,508
1,030 19,565 1,678 31,873 3,446 65,474
700 23,538 700 23,538 1,200 40,350
26,600 901,074 21,100 714,761 36,250 1,227,968
</TABLE>
149
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
ICN Pharmaceuticals Inc 500 $ 12,625 504 $ 12,726
Interneuron Pharmaceuticals
Co 0 -- 400 10,950
IVAX Corp 1,230 15,068 1,240 15,190
Lilly (Eli) & Co 776 67,803 4,230 369,595
Marshall & Ilsley Corp 958 37,841 1,240 48,980
McKesson Corp 400 26,500 500 33,125
Merck & Co Inc 1,622 149,224 9,253 851,275
Millipore Corp 50 2,156 344 14,835
Mylan Laboratories 1,603 26,850 1,570 26,298
Novo Nordisk A/S ADR
(Denmark) 4,150 199,719 7,600 365,749
Omnicare Inc 600 15,900 900 23,850
Perrigo Co+ 812 9,846 550 6,669
Pfizer Inc 870 79,714 4,982 456,475
Pharmacia and Upjohn Inc 715 26,366 4,197 154,764
Rhone-Poulenc Rorer Inc 500 35,500 600 42,600
Scherer (R P) Corp 300 17,325 300 17,325
Schering-Plough Corp 476 36,474 2,846 218,075
Schweitzer-Mauduit
International Inc 20 683 92 3,140
SmithKline Beecham PLC ADR
(UK) 2,150 159,637 3,800 282,149
SouthTrust Corp 1,171 46,401 1,180 46,758
ThermoLase Corp+ 0 -- 100 1,313
Warner Lambert Co 368 30,912 2,098 176,232
Watson Pharmaceutical Inc 300 13,088 400 17,450
Xoma Corp 188 1,293 0 --
------------ ------------
TOTAL PHARMACEUTICALS
- VALUE $ 1,530,958 $ 5,047,445
- COST $ 1,159,867 $ 3,527,393
PUBLISHING
PERCENT OF NET ASSETS 0.22% 0.42%
American Greetings Corp
Class A 130 $ 4,030 651 $ 20,181
Barnes & Noble 200 6,600 200 6,600
Belo (A H) Corp 456 17,214 440 16,610
Chris-Craft Industries Inc 113 4,647 254 10,446
Comcast Corp Class A 440 7,865 2,896 51,766
Donnelley (R R) & Sons Co 253 7,811 1,191 36,772
Dow Jones & Co Inc 100 4,013 818 32,822
E.W. Scripps Company 300 10,800 300 10,800
Ennis Business Forms Inc 0 -- 0 --
Gannett Co Inc 233 18,582 1,120 89,320
Gibson Greetings Inc+ 0 -- 0 --
Golden Books Family
Entertainment Inc 234 2,194 0 --
Harland (John H) Co 53 1,603 226 6,837
Houghton Mifflin Co 152 8,379 120 6,615
</TABLE>
150
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
708 $ 17,877 607 $ 15,327 1,340 $ 33,835
0 -- 600 16,425 900 24,638
2,323 28,457 1,663 20,372 2,895 35,464
8,912 778,685 6,823 596,159 14,711 1,285,373
2,203 87,019 1,583 62,529 2,820 111,390
800 53,000 600 39,750 1,000 66,250
19,458 1,790,135 15,243 1,402,355 32,646 3,003,431
717 30,921 528 22,770 1,314 56,666
2,765 46,314 1,927 32,277 3,352 56,146
14,875 715,859 11,700 563,062 20,250 974,531
800 21,200 1,200 31,800 2,100 55,650
1,252 15,180 842 10,209 1,680 20,370
10,435 956,106 8,016 734,465 17,268 1,582,180
8,660 319,338 6,576 242,490 11,933 440,029
2,300 163,300 1,400 99,400 3,000 213,000
400 23,100 300 17,325 700 40,425
5,998 459,597 4,644 355,847 9,904 758,894
214 7,303 176 6,006 351 11,978
7,400 549,450 5,900 438,074 10,100 749,925
2,137 84,679 1,587 62,885 2,835 112,337
0 -- 0 -- 300 3,938
4,380 367,920 3,414 286,776 7,253 609,252
600 26,175 500 21,813 900 39,263
193 1,327 193 1,327 0 --
------------ ------------ ------------
$ 10,312,165 $ 8,047,539 $ 16,306,327
$ 7,085,699 $ 5,330,817 $ 11,283,845
0.56% 0.69% 0.77%
1,315 $ 40,765 992 $ 30,752 1,783 $ 55,273
300 9,900 200 6,600 400 13,200
714 26,954 544 20,536 1,040 39,260
478 19,658 325 13,366 220 9,048
6,373 113,918 4,086 73,037 8,714 155,763
2,588 79,904 1,935 59,743 3,519 108,649
1,673 67,129 1,275 51,159 2,264 90,843
900 32,400 300 10,800 600 21,600
247 2,748 0 -- 0 --
2,296 183,106 1,780 141,955 3,738 298,106
244 5,033 0 -- 0 --
313 2,934 233 2,184 0 --
470 14,218 374 11,313 836 25,289
230 12,679 155 8,544 445 24,531
</TABLE>
151
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Interpublic Group Co Inc 82 $ 4,110 626 $ 31,378
Knight-Ridder Inc 140 5,565 732 29,097
Lee Enterprises Inc 498 11,703 0 --
Liberty Media Group Class A 2,385 50,085 3,159 66,339
Marvel Entertainment Group
Inc+ 0 -- 200 525
McGraw-Hill Inc 172 8,923 766 39,736
Media General Inc Class A 280 8,400 220 6,600
Meredith Corp 50 2,450 198 9,702
Moore Corp Ltd 100 2,213 819 18,120
New York Times Co Class A 112 4,984 829 36,891
News Corporation Ltd 1,450 30,812 2,700 57,375
News Corporation Ltd 0 -- 290 5,184
Readers Digest Association
Class A 1,000 37,375 1,000 37,375
Readers Digest Association
Class B 200 6,775 300 10,163
Scholastic Inc 200 6,600 200 6,600
Times Mirror Co Class A 148 7,622 790 40,685
Washington Post Co Class B 27 9,356 100 34,650
------------ ------------
TOTAL PUBLISHING
- VALUE $ 290,711 $ 719,189
- COST $ 267,130 $ 639,839
REAL ESTATE
PERCENT OF NET ASSETS 0.11% 0.12%
Castle & Cooke Inc 215 $ 3,440 136 $ 2,176
Echelon International Corp 68 1,167 53 914
Equity Residential
Properties Trust 400 18,100 400 18,100
Federal Realty Investment
Trust 0 -- 0 --
Franchise Finance Corp 0 -- 100 2,588
Health & Retire Property
Trust 600 11,850 700 13,825
Health Care Property
Investors Inc 300 10,238 400 13,650
Kimco Realty Corp 300 10,088 350 11,769
MAXXAM Inc+ 0 -- 0 --
Meditrust Corp 600 23,100 600 23,100
New Plan Realty Trust 800 18,600 700 16,275
Public Storage Inc 0 -- 700 18,813
Security Capital Pacific
Trust 600 14,100 700 16,450
Simon Debartolo Group Inc 300 9,038 900 27,113
Vornado Realty Trust 300 17,363 300 17,363
Weingarten Realty
Investments 200 8,575 300 12,863
------------ ------------
TOTAL REAL ESTATE
- VALUE $ 145,659 $ 194,999
-COST $ 118,817 $ 165,240
</TABLE>
152
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,350 $ 67,669 997 $ 49,975 2,226 $ 111,578
1,579 62,765 1,261 50,125 2,169 86,218
708 16,638 510 11,985 0 --
5,583 117,243 4,134 86,814 6,471 135,891
1,400 3,675 200 525 600 1,575
1,605 83,259 1,206 62,561 2,631 136,483
410 12,300 290 8,700 570 17,100
420 20,580 318 15,582 803 39,347
1,665 36,838 1,318 29,161 2,394 52,967
1,619 72,045 1,298 57,761 2,282 101,549
0 -- 580 10,368 1,015 18,143
5,200 110,500 4,150 88,187 6,950 147,688
1,800 67,275 1,500 56,063 2,600 97,175
300 10,163 300 10,163 600 20,325
200 6,600 200 6,600 400 13,200
1,619 83,379 1,312 67,568 2,373 122,210
80 27,720 133 46,085 125 43,313
------------ ------------ ------------
$ 1,409,995 $ 1,088,212 $ 1,986,324
$ 1,232,980 $ 940,426 $ 1,745,609
0.06% 0.06% 0.18%
336 $ 5,376 222 $ 3,552 341 $ 5,456
96 1,648 69 1,195 65 1,121
400 18,100 700 31,675 1,200 54,300
0 -- 0 -- 400 10,750
0 -- 0 -- 300 7,763
800 15,800 1,000 19,750 1,700 33,575
400 13,650 500 17,063 700 23,887
450 15,131 300 10,088 700 23,537
128 6,160 0 -- 0 --
1,100 42,350 800 30,800 1,400 53,900
1,400 32,550 900 20,925 1,700 39,525
1,400 37,625 900 24,188 1,800 48,375
800 18,800 900 21,150 1,500 35,250
1,600 48,200 1,100 33,138 2,000 60,250
300 17,363 400 23,150 600 34,725
400 17,150 400 17,150 700 30,013
------------ ------------ ------------
$ 289,903 $ 253,824 $ 462,427
$ 255,459 $ 216,013 $ 381,541
</TABLE>
153
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
RETAIL & RELATED
PERCENT OF NET ASSETS 0.82% 1.97%
AnnTaylor Stores Inc 247 $ 4,940 195 $ 3,900
AutoZone Inc+ 250 6,188 1,200 29,700
Bed Bath & Beyond Inc 400 10,400 500 13,000
Benetton Spa ADR (Italy) 5,350 122,381 9,800 224,175
Best Buy Co Inc+ 0 -- 100 925
Borders Group Inc 0 -- 400 16,850
CDW Computer Centers Inc 0 -- 0 --
Charming Shoppes Inc+ 255 1,132 874 3,878
Circuit City Stores Inc 143 4,469 812 25,375
Coles Myer Ltd ADR
(Australia) 2,424 86,658 4,332 154,869
CompUSA Inc 0 -- 1,100 22,000
Consolidated Stores Corp 875 30,734 875 30,734
Corporate Express Inc 1,050 19,688 1,050 19,688
Costco Co Inc 0 -- 200 5,125
Dayton-Hudson Corp 275 11,550 1,685 70,770
Department 56 Inc 200 3,600 200 3,600
Dillard Department Inc Class
A 123 3,705 966 29,101
Dollar General Corp 690 19,579 835 23,693
Eastman Kodak Co 479 42,930 2,531 226,841
Edison Brothers Stores Inc+ 0 -- 0 --
Family Dollar Stores Inc 620 14,648 480 11,340
Federated Department Stores
Inc 250 8,688 1,750 60,813
Fingerhut Co 505 7,386 400 5,850
Footstar Inc 46 1,162 245 6,186
Gap Inc 408 13,464 2,238 73,854
Global DirectMail Corp 200 6,700 200 6,700
Hancock Fabrics Inc 0 -- 0 --
Heilig Meyers Co 524 7,401 410 5,791
Home Depot Inc 635 34,608 3,727 203,121
Intelligent Electronics+ 0 -- 0 --
Ito Yokado Co Ltd ADR 750 135,000 2,100 377,999
Jones Apparel Group Inc 400 14,850 400 14,850
Jostens Inc 105 2,258 251 5,397
K Mart Corp+ 684 8,550 4,012 50,150
Kohls Corp 286 13,156 720 33,120
Limited Inc 366 6,954 2,210 41,990
Longs Drug Stores Corp 74 $ 1,878 320 8,120
Lowe's Co Inc 250 9,125 1,363 49,750
Lucasvarity PLC 37 1,212 448 14,672
Macfrugals Bargains Close-
outs+ 0 -- 0 --
May Department Stores Co 385 17,951 2,045 95,348
Mercantile Stores Co Inc 90 4,320 313 15,024
</TABLE>
154
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2.64% 3.26% 3.95%
351 $ 7,020 253 $ 5,060 237 $ 4,740
2,376 58,806 2,031 50,267 3,515 86,996
800 20,800 600 15,600 1,200 31,200
19,125 437,484 15,100 345,413 26,000 594,750
0 -- 300 2,775 600 5,550
0 -- 500 21,063 900 37,913
0 -- 0 -- 100 5,256
1,617 7,175 1,180 5,236 2,388 10,597
1,725 53,906 1,244 38,875 2,312 72,250
8,475 302,981 6,732 240,669 11,640 416,130
0 -- 1,400 28,000 2,400 48,000
1,375 48,297 1,000 35,125 1,950 68,494
1,950 36,563 1,350 25,313 2,700 50,625
100 2,563 100 2,563 100 2,563
3,475 145,950 2,673 112,266 5,718 240,156
300 5,400 200 3,600 600 10,800
1,993 60,039 1,527 46,001 2,687 80,946
1,491 42,314 965 27,382 1,906 54,090
5,384 482,541 4,253 381,174 9,074 813,257
347 564 0 -- 0 --
857 20,247 627 14,813 495 11,694
3,528 122,598 2,744 95,354 4,866 169,094
714 10,442 509 7,444 180 2,633
521 13,155 382 9,646 654 16,513
4,548 150,084 3,547 117,051 7,737 255,321
300 10,050 200 6,700 400 13,400
342 4,318 0 -- 0 --
834 11,780 544 7,684 1,300 18,362
7,719 420,685 6,013 327,709 12,819 698,635
540 1,890 0 -- 0 --
4,125 742,500 3,150 566,999 5,750 1,035,000
600 22,275 600 22,275 1,000 37,125
626 13,459 514 11,051 1,095 23,542
8,329 104,113 6,190 77,375 11,359 141,988
1,004 46,184 808 37,168 1,458 67,068
4,577 86,963 3,506 66,614 6,419 121,961
630 15,986 518 13,144 953 24,182
2,817 102,821 2,161 78,876 3,857 140,780
982 32,160 738 24,169 1,204 39,431
438 11,881 0 -- 0 --
4,300 200,488 3,317 154,655 5,977 278,678
670 32,160 435 20,880 904 43,392
</TABLE>
155
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Meyer (Fred) Inc+ 0 $ -- 0 $ --
Michaels Stores Inc 0 -- 0 --
Micro Warehouse Inc+ 300 4,313 300 4,313
Neiman Marcus Group Inc+ 0 -- 200 5,375
Newell Co 152 5,643 1,215 45,107
Nordstrom Inc 119 4,373 687 25,247
Office Depot Inc+ 1,538 29,222 1,550 29,450
Officemax Inc 1,600 19,200 1,550 18,600
Payless ShoeSource Inc 517 22,231 511 21,973
Penney (J C) Co Inc 545 26,859 2,081 102,507
PetSmart Inc 1,200 23,400 1,300 25,350
Price/Costco Inc 306 7,841 1,562 40,026
Revco DS Inc+ 600 24,525 600 24,525
Rite Aid Corp 104 4,381 998 42,041
Ruddick Corp 0 -- 0 --
Saks Holdings Inc 200 6,700 200 6,700
Sears Roebuck & Co 491 26,637 3,218 174,576
Service Merchandise Co+ 771 2,795 0 --
Sherwin Williams Co 127 7,128 696 39,063
Staples Inc 1,396 30,189 1,397 30,210
Sunglass Hut International
Inc+ 600 4,350 500 3,625
Talbots Inc 200 6,425 200 6,425
Tandy Corp 61 3,073 457 23,021
Tech Data Corp+ 0 -- 500 12,000
TJX Companies Inc 78 3,257 600 25,050
Toys R Us Inc+ 359 9,334 2,211 57,486
Viking Office Products Inc 800 18,900 1,000 23,625
Waban Inc 365 10,448 0 --
Walgreen Co 330 14,108 1,912 81,738
WalMart Stores Inc 3,052 80,497 17,528 462,300
Williams-Sonoma Inc+ 0 -- 0 --
Woolworth (F W) Co+ 181 3,778 1,049 21,898
------------ ------------
TOTAL RETAIL & RELATED
- VALUE $ 1,076,872 $ 3,336,530
- COST $ 1,001,027 $ 3,042,268
SERVICES
PERCENT OF NET ASSETS 0.09% 0.18%
Block (H R) Inc 111 $ 3,261 852 $ 25,028
CMS Energy Corp 921 30,163 740 24,235
Corrections Corp of America 800 22,800 900 25,650
CUC International Inc 615 14,683 3,033 72,401
Dun & Bradstreet Corp 173 4,239 1,410 34,545
Public Service Enterprise
Group 379 10,659 1,964 55,238
</TABLE>
156
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
0 $ -- 0 $ -- 200 $ 7,925
0 -- 0 -- 200 2,950
600 8,625 400 5,750 700 10,062
0 -- 400 10,750 400 10,750
2,547 94,557 1,975 73,322 4,215 156,482
1,377 50,605 1,059 38,918 1,871 68,759
2,442 46,398 1,967 37,373 3,980 75,620
2,700 32,400 1,950 23,400 3,150 37,800
743 31,949 615 26,445 1,104 47,472
4,359 214,692 3,227 158,907 5,878 289,478
2,200 42,900 1,600 31,200 3,100 60,450
3,520 90,200 2,653 67,983 4,844 124,128
700 28,613 700 28,613 1,400 57,225
2,117 89,179 1,638 69,001 2,883 121,446
714 11,424 524 8,384 0 --
1,200 40,200 300 10,050 400 13,400
6,752 366,296 5,105 276,946 9,253 501,975
1,516 5,496 1,111 4,027 0 --
1,341 75,264 1,094 61,401 1,960 110,005
2,163 46,775 1,740 37,628 3,257 70,433
1,000 7,250 700 5,075 1,300 9,425
0 -- 200 6,425 400 12,850
1,022 51,483 735 37,026 1,385 69,769
0 -- 700 16,800 1,100 26,400
1,284 53,607 897 37,450 1,887 78,782
4,705 122,330 3,534 91,884 6,465 168,090
2,000 47,250 1,400 33,075 2,200 51,975
497 14,227 367 10,505 0 --
3,932 168,093 3,100 132,525 6,542 279,670
36,969 975,056 28,745 758,148 61,511 1,622,352
0 -- 0 -- 200 5,038
2,259 47,157 1,731 36,135 3,158 65,923
------------ ------------ ------------
$ 6,650,668 $ 5,181,135 $ 9,929,746
$ 5,987,479 $ 4,597,043 $ 8,993,832
0.15% 0.31% 0.33%
1,816 $ 53,345 1,404 $ 41,243 2,418 $ 71,029
1,314 43,034 954 31,243 885 28,984
1,400 39,900 1,200 34,200 2,100 59,850
6,351 151,630 4,905 117,095 10,597 253,003
2,965 72,643 2,216 54,292 3,961 97,045
4,064 114,300 3,103 87,272 5,653 158,991
</TABLE>
157
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Service Corp International 298 $ 8,642 1,938 $ 56,202
Sotheby's Holdings Inc 611 10,387 0 --
Stewart Enterprises Inc
Class A 450 15,891 450 15,891
------------ ------------
TOTAL SERVICES
- VALUE $ 120,725 $ 309,190
- COST $ 115,721 $ 288,004
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 1.77% 3.99%
360 Communications Co 1,525 $ 32,978 1,519 $ 32,848
ADC Telecommunications 1,372 37,044 1,760 47,520
Adtran Inc+ 100 3,563 200 7,125
Advanced Fibre Communication 0 -- 100 3,250
Airtouch Communications 788 21,473 4,101 111,752
Alcatel Alsthom Compagnie
Generale d'electricite ADR
(France) 11,636 238,529 21,673 444,297
Aliant Communications Inc 0 -- 0 --
Alltel Corp 221 7,818 1,600 56,600
Ameritech Corp 733 46,729 4,550 290,062
Andrew Corp 104 5,720 465 25,575
Ascend Communications Inc+ 1,000 52,250 1,200 62,700
AT & T Corp 2,345 93,507 13,301 530,376
Bell Atlantic Corp 589 40,715 3,588 248,021
BellSouth Corp 1,338 62,719 8,128 380,999
British Telecommunications
PLC ADR (UK) 3,700 258,075 6,700 467,324
Cascade Communications Corp 500 15,438 1,000 30,875
Century Telephone Enterprise 567 17,364 460 14,088
Comsat Corp 510 13,388 600 15,750
Cox Communications Inc Class
A 613 12,337 874 17,589
DSC Communications Corp+ 121 2,541 963 20,223
DSP Communications Inc 0 -- 500 5,844
Excel Communication Inc 400 7,400 400 7,400
Federal Signal Corp 498 12,512 590 14,824
Frontier Corp 183 4,049 580 12,833
General Instrument Corp+ 150 3,563 1,000 23,750
Glenayre Technologies Inc+ 650 8,613 650 8,613
GTE Corp 1,326 61,990 7,343 343,284
Hong Kong Telecommunications
Ltd ADR (Hong Kong) 22,485 390,677 41,767 725,701
ITT Corp 131 7,402 996 56,274
K-III Communications Corp 0 -- 200 2,550
LCI International Inc+ 300 5,700 300 5,700
Loral Space & Communications 1,842 29,702 2,282 36,797
Lucent Technologies Inc 842 45,363 4,885 263,179
</TABLE>
158
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4,015 $ 116,435 3,121 $ 90,509 5,571 $ 161,559
848 14,416 623 10,591 0 --
750 26,484 600 21,188 900 31,781
------------ ------------ ------------
$ 632,187 $ 487,633 $ 862,242
$ 566,141 $ 445,589 $ 825,612
5.51% 6.60% 7.63%
2,624 $ 56,744 1,928 $ 41,693 3,654 $ 79,018
2,896 78,192 2,216 59,832 3,920 105,840
200 7,125 200 7,125 400 14,250
0 -- 0 -- 200 6,500
8,550 232,987 6,528 177,888 11,843 322,722
42,298 867,109 32,813 672,674 56,501 1,158,268
490 8,207 0 -- 0 --
3,202 113,271 2,491 88,119 4,452 157,490
9,427 600,971 7,115 453,580 12,916 823,395
1,008 55,440 797 43,835 1,691 93,005
2,000 104,500 1,500 78,375 2,800 146,300
27,719 1,105,294 21,107 841,641 38,113 1,519,755
7,531 520,580 5,686 393,044 10,347 715,236
17,004 797,061 12,969 607,921 23,361 1,095,047
13,100 913,724 10,350 721,911 17,850 1,245,036
1,000 30,875 1,300 40,138 2,400 74,100
828 25,358 588 18,008 565 17,303
819 21,499 814 21,368 1,390 36,488
4,594 92,454 2,327 46,831 5,749 115,699
2,049 43,029 1,519 31,899 2,732 57,372
0 -- 600 7,013 1,000 11,688
1,800 33,300 500 9,250 700 12,950
807 20,276 802 20,150 1,280 32,160
2,671 59,096 736 16,284 4,394 97,217
2,194 52,108 1,754 41,658 3,608 85,690
1,175 0,569 800 10,600 1,425 18,881
15,508 724,999 12,151 568,058 25,996 1,215,312
82,053 1,425,670 63,191 1,097,943 106,456 1,849,672
2,025 114,412 1,486 83,959 2,733 154,415
1,800 22,950 0 -- 400 5,100
600 11,400 500 9,500 900 17,100
2,912 46,956 2,974 47,956 5,366 86,527
10,260 552,757 7,814 420,978 17,082 920,293
</TABLE>
159
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MCI Communications Corp 965 $ 34,499 5,592 $ 199,914
McLeod Inc Class A 0 -- 200 3,575
Mobile Telecommunications
Tech 0 -- 400 3,100
NEXTEL Communications Class
A 1,068 15,219 880 12,540
Nippon Telegraph & Telegraph
ADR 2,436 88,914 7,511 274,152
Northern Telecom Ltd 390 28,031 1,997 143,534
NYNEX Corp 652 33,578 3,603 185,554
Octel Communications 0 -- 600 10,950
Omnipoint Corp 200 3,425 300 5,138
Pacific Telesis Group 564 22,983 3,364 137,083
Paging Network Inc 500 7,531 600 9,038
Pairgain Technologies Inc 0 -- 600 17,738
Picturetel Corp+ 400 6,300 400 6,300
Qualcom Inc+ 500 27,844 700 38,981
SBC Communication Inc 802 46,115 4,606 264,845
Scientific-Atlanta Inc 82 1,374 627 10,502
Southern New England
Telecommunications Co 687 24,904 550 19,938
Sprint Corp 577 26,253 3,507 159,568
Telecommunications of New
Zealand Corp ADR (New
Zealand) 850 61,412 1,600 115,600
Telefonica de Espana SA
(Spain) 2,450 168,744 4,500 309,937
Telephone & Data System Inc 566 22,640 450 18,000
Teleport Communications
Group Inc
Class A 300 9,000 300 9,000
Tellabs Inc 250 9,969 1,350 53,831
U.S. West Inc 644 23,184 3,891 140,076
Vanguard Cellular Systems
Class A+ 411 5,805 330 4,661
Vodafone Group PLC ADR (UK) 1,850 87,875 3,500 166,250
Western Wireless Corp Class
A 0 -- 100 1,413
WorldCom Inc 1,206 32,110 4,861 129,424
------------ ------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 2,326,868 $ 6,764,365
- COST $ 2,144,552 $ 6,023,017
TEXTILES
PERCENT OF NET ASSETS 0.05% 0.05%
Brown Group Inc 31 $ 504 180 $ 2,925
Burlington Industries Inc 729 9,386 477 6,141
Cintas Corp 310 16,740 400 21,600
Collins & Aikman Corp 0 -- 0 --
Shaw Industries Inc 1,260 16,380 1,330 17,290
</TABLE>
160
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
11,685 $ 417,739 8,941 $ 319,641 16,101 $ 575,611
0 -- 200 3,575 800 14,300
0 -- 0 -- 0 --
1,588 22,629 1,101 15,689 1,025 14,606
14,443 527,170 11,106 405,368 19,974 729,051
4,208 302,450 3,278 235,606 6,905 496,297
7,527 387,641 5,726 294,889 10,310 530,965
730 13,323 540 9,855 1,300 23,725
400 6,850 400 6,850 600 10,275
6,887 280,645 5,384 219,398 11,457 466,873
1,500 22,594 800 12,050 1,500 22,594
1,100 32,519 700 20,694 1,200 35,475
700 11,025 500 7,875 800 12,600
1,000 55,688 800 44,550 1,600 89,100
9,743 560,223 7,668 440,909 16,311 937,883
1,334 22,345 962 16,114 1,853 31,038
975 35,344 710 25,738 680 24,650
7,333 333,652 5,566 253,253 10,158 462,189
3,175 229,394 2,500 180,625 4,400 317,900
8,700 599,213 6,900 475,237 11,850 816,169
827 33,080 587 23,480 565 22,600
2,600 78,000 400 12,000 3,300 99,000
2,925 116,634 2,216 88,363 4,718 188,130
8,154 293,544 6,264 225,504 11,272 405,792
595 8,404 427 6,031 390 5,509
6,800 323,000 5,400 256,500 9,200 437,000
0 -- 0 -- 300 4,238
14,072 374,667 7,401 197,052 23,244 618,858
------------ ------------ ------------
$ 13,841,686 $ 10,476,077 $ 19,682,257
$ 12,190,810 $ 9,184,710 $ 17,789,530
0.06% 0.07% 0.08%
338 $ 5,493 221 $ 3,591 253 $ 4,111
1,136 14,626 749 9,643 1,902 24,488
820 44,280 515 27,810 890 48,060
0 -- 0 -- 400 3,150
2,415 31,395 1,605 20,865 3,100 40,300
</TABLE>
161
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Springs Industries Inc Class
A 31 $ 1,368 180 $ 7,943
Unifi Inc 768 24,480 800 25,500
------------ ------------
TOTAL TEXTILES
- VALUE $ 68,858 $ 81,399
- COST $ 60,570 $ 73,851
TOBACCO
PERCENT OF NET ASSETS 0.27% 0.71%
BAT Industries PLC ADR (UK) 9,700 $ 170,963 17,800 $ 313,724
Imperial Tobacco Group ADR 2,137 29,600 3,975 55,059
Philip Morris Co Inc 1,126 152,151 6,240 843,179
------------ ------------
TOTAL TOBACCO
- VALUE $ 352,714 $ 1,211,962
- COST $ 298,831 $ 860,627
TRANSPORTATION
PERCENT OF NET ASSETS 0.18% 0.44%
Alexander & Baldwin Inc 504 $ 13,482 590 $ 15,783
Burlington Northern Santa Fe 189 15,734 1,300 108,225
Caliber Systems Inc 93 2,116 266 6,052
Conrail Inc 60 6,270 348 36,366
Consolidated Freightways
Corp 31 264 181 1,534
Consolidated Freightways Inc 62 1,535 361 8,935
CSX Corp 268 12,362 1,754 80,903
Dial Corp 136 2,040 1,080 16,200
Federal Express Corp 146 7,519 888 45,732
Fritz Companies Inc+ 200 2,013 200 2,013
Hunt (J B) Transport
Services 0 -- 0 --
Illinois Central Corp 411 14,128 690 23,719
Kansas City Southern
Industries 281 14,753 470 24,675
Laidlaw Inc Class B 381 5,286 2,542 35,270
Norfolk Southern Corp 192 17,496 1,008 91,854
Outboard Marine Corp 35 508 184 2,668
Overseas Shipholding Group 393 6,828 310 5,386
Pittston Brink's Group 523 13,467 520 13,390
Pittston Burlington Group 61 1,167 160 3,060
Roadway Express Inc 46 897 158 3,081
Tidewater Inc 565 24,295 750 32,250
Trinity Industries Inc 522 16,835 540 17,415
Union Pacific Corp 457 27,534 2,059 124,055
Viad Corp 136 2,176 1,080 17,280
Wisconsin Central Transport 600 21,525 600 21,525
</TABLE>
162
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
372 $ 16,415 293 $ 12,929 498 $ 21,974
1,182 37,676 982 31,301 1,640 52,275
------------ ------------ ----------- ------------
$ 149,885 $ 106,139 $ 194,358
$ 133,367 $ 94,621 $ 179,094
0.99% 1.23% 1.53%
34,750 $ 612,469 27,550 $ 485,568 47,000 $ 835,425
7,743 107,251 6,112 84,660 10,312 142,836
13,106 1,770,947 10,256 1,385,841 21,972 2,968,966
------------ ------------ ----------- ------------
$ 2,490,667 $ 1,956,069 $ 3,947,227
$ 1,759,524 $ 1,348,683 $ 2,781,408
0.58% 0.71% 0.80%
814 $ 21,775 809 $ 21,641 1,380 $ 36,915
2,578 214,619 1,980 164,835 3,631 302,281
668 15,197 544 12,376 914 20,794
842 87,989 608 63,536 1,280 133,760
405 3,443 286 2,431 569 4,836
810 20,047 573 14,182 1,138 28,165
3,690 170,201 2,793 128,827 5,109 235,653
1,641 24,615 1,228 18,420 2,908 43,620
1,907 98,211 1,460 75,190 2,686 138,329
300 3,019 0 -- 400 4,025
596 8,269 0 -- 0 --
1,135 39,016 1,015 34,891 1,702 58,506
765 40,163 485 25,463 960 50,400
5,407 75,022 4,022 55,805 7,371 102,273
2,112 192,456 1,614 147,076 2,958 269,548
424 6,148 224 3,248 348 5,046
550 9,556 405 7,037 375 6,516
657 16,918 743 19,132 1,104 28,428
328 6,273 221 4,227 402 7,688
270 5,265 243 4,739 359 7,001
925 39,775 985 42,355 1,765 75,895
705 22,736 635 20,479 1,205 38,861
4,204 253,291 3,229 194,547 5,793 349,028
1,641 26,256 1,228 19,648 2,908 46,528
1,200 43,050 900 32,288 1,400 50,225
</TABLE>
163
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Xtra Corp 200 $ 8,100 200 $ 8,100
Yellow Corp+ 49 766 223 3,484
------------ ------------
TOTAL TRANSPORTATION
- VALUE $ 239,096 $ 748,955
- COST $ 208,733 $ 646,403
UTILITIES
PERCENT OF NET ASSETS 0.62% 1.05%
Allegheny Power Systems Inc 1,284 $ 39,323 1,010 $ 30,931
American Electric Power Inc 298 12,442 1,512 63,126
American Water Works Co Inc 600 14,025 700 16,363
Atlantic Energy Inc 569 9,744 460 7,878
Baltimore Gas & Electric Co 231 6,353 1,172 32,230
Calenergy Inc+ 500 16,688 500 16,688
Carolina Power & Light Co 156 5,792 1,271 47,186
Central & South West Corp 331 8,068 1,744 42,510
Cinergy Corp 220 7,590 1,312 45,264
Consolidated Edison Co 335 10,343 1,972 60,886
Delmarva Power & Light Co 640 12,400 510 9,881
Dominion Resources Inc 270 10,868 1,510 60,778
DTE Energy Co 232 7,018 1,223 36,996
Duke Power Co 259 11,461 1,697 75,092
Edison International 610 13,115 3,532 75,938
Entergy Corp 329 8,677 1,864 49,163
Florida Progress Corp 1,015 31,973 800 25,200
FPL Group Inc 233 10,602 1,495 68,023
GPU Inc 137 4,795 984 34,440
Hawaiian Electric Industries
Inc 392 13,769 340 11,943
Houston Industries Inc 308 7,161 1,992 46,314
Idaho Power Co 402 12,412 320 9,880
Ies Industries 0 -- 0 --
Illinova Corp 813 20,325 650 16,250
IPALCO Enterprises Inc 607 19,196 480 15,180
Kansas City Power & Light Co 667 19,010 530 15,105
LG & E Energy Corp 728 18,018 560 13,860
Midamerican Energy Co 451 7,442 367 6,056
Minnesota Power & Light Co 349 9,772 270 7,560
Montana Power Co 563 12,316 460 10,063
Nevada Power Co 444 9,047 360 7,335
New England Electric System 695 24,238 560 19,530
New York State Electric &
Gas Corp 772 17,949 610 14,183
Niagara Mohawk Power Corp+ 125 1,281 1,091 11,183
NIPSCO Industries Inc 702 27,992 560 22,330
Northeast Utilities 1,340 13,903 1,070 11,101
</TABLE>
164
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
300 $ 12,150 200 $ 8,100 500 $ 20,250
585 9,141 299 4,672 437 6,828
------------ ------------ ------------
$ 1,464,601 $ 1,125,145 $ 2,071,399
$ 1,192,256 $ 925,861 $ 1,783,628
1.40% 1.70% 1.69%
1,809 $ 55,401 1,319 $ 40,394 1,230 $ 37,669
3,194 133,350 2,399 100,158 4,428 184,869
800 18,700 1,000 23,375 1,700 39,738
830 14,214 590 10,104 550 9,419
2,530 69,575 1,893 52,058 3,501 96,278
900 30,038 900 30,038 1,600 53,400
2,578 95,708 1,981 73,545 3,559 132,128
3,576 87,165 2,695 65,691 4,925 120,047
2,732 94,254 2,037 70,276 3,703 127,754
4,051 125,075 3,054 94,292 5,540 171,048
903 17,496 648 12,555 615 11,916
3,106 125,017 2,305 92,776 4,232 170,338
2,508 75,867 1,854 56,084 3,443 104,151
3,404 150,627 2,643 116,953 4,737 209,612
7,421 159,552 5,664 121,776 10,206 219,429
3,990 105,236 3,019 79,626 5,391 142,188
1,434 45,171 1,039 32,729 980 30,870
3,148 143,234 2,387 108,609 4,312 196,196
2,046 71,610 1,621 56,735 2,852 99,820
423 14,858 403 14,155 880 30,910
4,114 95,650 3,083 71,680 5,525 128,456
585 18,062 415 12,813 385 11,887
0 -- 0 -- 300 9,113
1,153 28,825 843 21,075 780 19,500
882 27,893 627 19,829 577 18,248
955 27,218 690 19,665 645 18,383
992 24,552 732 18,117 690 17,078
680 11,220 489 8,069 0 --
480 13,440 350 9,800 335 9,380
824 18,025 584 12,775 540 11,813
652 13,285 472 9,617 450 9,169
1,008 35,154 718 25,040 690 24,064
1,087 25,273 787 18,298 740 17,205
2,392 24,518 1,793 18,378 3,432 35,178
1,015 40,473 740 29,508 675 26,916
1,916 19,879 1,386 14,380 1,290 13,384
</TABLE>
165
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Northern States Power Co 67 $ 3,191 588 $ 28,004
OGE Energy Corp 429 18,072 340 14,323
Ohio Edison Co 243 5,468 1,283 28,868
Pacificorp 394 8,126 2,377 49,026
PECO Energy Co 313 7,043 1,825 41,063
PG & E Corp 573 13,179 3,348 77,004
Pinnacle West Capital Corp 941 29,406 750 23,438
Portland General Corp 540 21,128 430 16,824
Potomac Electric Power Co 1,282 32,531 1,010 25,629
PP & L Resources Inc 250 5,719 1,350 30,881
Public Service Company Of
Colorado 661 25,779 530 20,670
Public Service Company Of
New 0 -- 0 --
Puget Sound Power & Light
Co 683 17,331 540 13,703
SCANA Corp 1,026 26,804 820 21,423
Southern Co 986 21,446 5,572 121,191
Southwestern Public
Services Co 433 15,642 350 12,644
TECO Energy Inc 1,265 30,834 990 24,131
Texas Utilities Co 320 12,920 1,857 74,976
U.S. Filter Corp 0 -- 600 21,000
Unicom Corp 299 6,653 1,787 39,761
Union Electric Co 104 3,991 822 31,544
Wisconsin Energy Corp 1,148 29,418 920 23,575
Wisconsin Power & Light
Holdings Co 341 9,463 260 7,215
------------ ------------
TOTAL UTILITIES
- VALUE $ 819,252 $ 1,783,339
- COST $ 724,797 $ 1,720,992
WARRANTS
PERCENT OF NET ASSETS 0.00% 0.00%
Homestead Village Property
Corp expires 10/29/1997* 1 $ 5 -- $ --
Morrison Knudsen Corp
expires 03/11/2003* 4 19 17 81
------------ ------------
TOTAL WARRANTS
- VALUE $ 24 $ 81
- COST $ 22 $ 74
TOTAL COMMON STOCKS
- VALUE $ 27,653,687 $ 77,912,154
- COST $ 22,935,306 $ 63,393,881
</TABLE>
166
<PAGE>
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,229 $ 58,531 947 $ 45,101 1,587 $ 75,581
612 25,781 442 18,619 415 17,482
2,573 57,893 1,994 44,865 3,576 80,460
5,025 103,641 3,821 78,808 6,902 142,354
3,847 86,557 2,934 66,015 5,206 117,135
7,066 162,518 5,381 123,763 9,703 223,169
1,334 41,688 974 30,438 905 28,281
775 30,322 560 21,910 520 20,345
1,806 45,827 1,316 33,394 1,230 31,211
2,816 64,416 2,105 48,152 3,800 86,925
949 37,011 684 26,676 635 24,765
650 11,944 470 8,636 0 --
971 24,639 706 17,915 655 16,621
1,446 37,777 1,036 27,066 980 25,603
11,552 251,256 8,745 190,204 15,889 345,586
617 22,289 462 16,690 415 14,992
1,789 43,607 1,284 31,298 1,220 29,738
3,889 157,018 2,909 117,451 5,336 215,441
0 -- 900 31,500 1,600 56,000
3,737 83,148 2,796 62,211 5,092 113,297
1,770 67,924 1,373 52,689 2,438 93,558
1,645 42,153 1,175 30,109 1,105 28,316
473 13,126 343 9,518 325 9,019
------------ ------------ ------------
$ 3,524,681 $ 2,694,001 $ 4,353,433
$ 3,327,971 $ 2,560,976 $ 4,196,130
0.00% 0.00% 0.00%
-- $ 4 1 $ 7 -- $ 4
27 128 25 119 42 200
------------ ------------ ------------
$ 132 $ 126 $ 204
$ 118 $ 114 $ 184
$157,238,119 $120,729,313 $227,769,266
$125,327,556 $ 95,037,375 $184,899,896
</TABLE>
167
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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 74.42% 50.80%
U.S. TREASURY BONDS
PERCENT OF NET ASSETS 2.46% 5.39%
U.S. Treasury Bonds, 6.00%-
12.00%, 11/15/09-11/15/26 $ 2,850,000 $ 3,237,450 $ 8,350,000 $ 9,134,869
------------ ------------
TOTAL U.S. TREASURY BONDS
- VALUE $ 3,237,450 $ 9,134,869
- COST $ 3,318,775 $ 9,117,885
U.S. TREASURY NOTES
PERCENT OF NET ASSETS 71.96% 45.41%
U.S. Treasury Notes, 4.75%-
13.75%, 02/28/98-02/15/07 $91,300,000 $ 94,462,612 $74,250,000 $ 76,960,954
------------ ------------
TOTAL U.S. TREASURY NOTES
- VALUE $ 94,462,612 $ 76,960,954
- COST $ 94,646,437 $ 76,985,146
TOTAL U.S. TREASURY
SECURITIES
- VALUE $ 97,700,062 $ 86,095,823
- COST $ 97,965,212 $ 86,103,031
</TABLE>
168
<PAGE>
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Principal Value Principal Value Principal Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
35.06% 22.49% 9.75%
11.65% 18.95% 9.75%
$26,400,000 $ 29,301,529 $26,440,000 $ 30,096,290 $22,300,000 $ 25,160,467
------------ ------------ ------------
$ 29,301,529 $ 30,096,290 $ 25,160,467
$ 29,281,444 $ 30,048,623 $ 24,971,189
23.41% 3.54% 0.00%
$57,220,000 $ 58,834,536 $ 5,550,000 $ 5,614,934 $ -- $ --
------------ ------------
$ 58,834,536 $ 5,614,934 $ --
$ 59,033,765 $ 5,659,676 $ --
$ 88,136,065 $ 35,711,224 $ 25,160,467
$ 88,315,209 $ 35,708,299 $ 24,971,189
</TABLE>
169
<PAGE>
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PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------- -------------------------
Principal/ Principal/
Shares Value Shares Value
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS
PERCENT OF NET ASSETS 17.93% 16.51%
U.S. TREASURY BILLS
PERCENT OF NET ASSETS 3.47% 2.70%
U.S. Treasury Bills,
4.83%-5.16%++,
03/06/97-05/29/97* $ 4,596,000 $ 4,554,168 $ 4,610,000 $ 4,578,237
------------ ------------
TOTAL U.S. TREASURY
BILLS
- VALUE $ 4,554,168 $ 4,578,237
- COST $ 4,553,188 $ 4,576,648
CASH EQUIVALENTS
PERCENT OF NET ASSETS 3.03% 6.14%
American AAdvantage
Money
Market Fund# $ -- $ -- $ 4,500,000 $ 4,500,000
Dreyfus Cash Management
Fund# 2,978,445 2,978,114 3,558,273 3,534,768
Janus Institutional
Money Market Fund# 1,000,000 1,000,000 2,372,202 $ 2,372,202
------------ ------------
TOTAL CASH EQUIVALENTS
- VALUE $ 3,978,114 $ 10,406,970
- COST $ 3,978,114 $ 10,406,970
REPURCHASE AGREEMENTS
PERCENT OF NET ASSETS 11.43% 7.67%
Goldman Sachs Repurchase
Agreements#, dated
02/28/97, due 03/03/97,
with a maturity value
of $89,000,000 and an
effective yield of
4.85%, collateralized
by a Federal National
Mortgage Association
obligations with rates
ranging from 6.08% to
7.44%, with maturity
dates ranging from
11/01/24 to 12/01/33
and with an aggregate
market value of
$90,780,000. $15,000,000 $ 15,000,000 $13,000,000 $ 13,000,000
TOTAL SHORT-TERM
INSTRUMENTS
- VALUE $ 23,532,282 $ 27,985,207
- COST $ 23,531,302 $ 27,983,618
------------ ------------
TOTAL INVESTMENT IN
SECURITIES
(NOTES 1 AND 3) - VALUE $148,886,031 $191,993,185
-COST** $144,431,820 $177,480,530
------------ ------------
TOTAL INVESTMENT IN
SECURITIES 113.42% $148,886,031 113.26% $191,993,185
Other Assets and
Liabilities, Net (13.42)% (17,613,033) (13.26)% (22,482,265)
----------- ------------ ----------- ------------
TOTAL NET ASSETS 100.00% $131,272,998 100.00% $169,510,920
=========== ============ =========== ============
- --------------------------------------------------------------------------------
+ Non-income earning securities.
++ Yield to maturity.
# 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.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
Gross Unrealized
Appreciation $ 6,127,818 $ 16,816,292
Gross Unrealized
Depreciation (1,673,607) (2,303,637)
------------ ------------
GROSS UNREALIZED
APPRECIATION $ 4,454,211 $ 14,512,655
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
170
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- -------------------------
Principal/ Principal/ Principal/
Shares Value Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
16.63% 15.33% 14.33%
2.03% 1.14% 1.76%
$ 5,140,000 $ 5,103,579 $ 1,832,000 $ 1,816,983 $ 4,598,000 $ 4,557,339
------------ ------------ ------------
$ 5,103,579 $ 1,816,983 $ 4,557,339
$ 5,102,624 $ 1,816,612 $ 4,556,339
3.86% 4.74% 5.21%
$ 5,000,000 $ 5,000,000 $ 6,000,000 $ 6,000,000 $ -- $ --
2,220,464 2,220,694 943,723 929,743 907,697 939,449
2,500,000 2,500,000 600,000 600,000 12,500,000 12,500,000
------------ ------------ ------------
$ 9,720,694 $ 7,529,743 $ 13,439,449
$ 9,720,694 $ 7,529,743 $ 13,439,449
10.74% 9.45% 7.36%
$27,000,000 $ 27,000,000 $15,000,000 $ 15,000,000 $19,000,000 $ 19,000,000
$ 41,824,273 $ 24,346,726 $ 36,996,788
$ 41,823,318 $ 24,346,355 $ 36,995,788
------------ ------------ ------------
$287,198,457 $180,787,263 $289,926,521
$255,466,083 $155,092,029 $246,866,873
------------ ------------ ------------
114.22% $287,198,457 113.85% $180,787,263 112.33% $289,926,521
(14.22)% (35,755,824) (13.85)% $(21,982,430) (12.33)% (31,841,793)
- ----------- ------------ ----------- ------------ ----------- ------------
100.00% $251,442,633 100.00% 158,804,833 100.00% $258,084,728
=========== ============ =========== ============ =========== ============
$ 35,923,521 $ 28,819,630 $ 48,572,631
(4,191,147) (3,124,396) (5,512,983)
------------ ------------ ------------
$ 31,732,374 $ 25,695,234 $ 43,059,648
============ ============ ============
</TABLE>
171
<PAGE>
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MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-93.60%
AEROSPACE & DEFENSE-2.30%
Allied Signal Inc 64,866 $ 4,686,569
Boeing Co 82,183 8,362,113
Briggs & Stratton Corp 6,664 290,717
General Dynamics Corp 14,502 975,260
Lockheed Martin Corp 44,250 3,916,125
McDonnell Douglas Corp 48,616 3,087,116
Northrop Grumman Corp 13,279 964,387
Raytheon Co 54,131 2,550,923
Rockwell International Corp 50,165 3,248,184
Textron Inc 18,952 1,869,141
United Technologies Corp 55,170 4,151,543
--------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 34,102,078
- COST $ 21,220,698
AIRLINES-0.28%
AMR Corp+ 20,832 $ 1,637,916
Delta Air Lines Inc 17,112 1,377,516
Southwest Airlines Co 33,304 782,644
USAir Group Inc+ 14,765 291,609
--------------
TOTAL AIRLINES
- VALUE $ 4,089,685
- COST $ 3,736,802
APPAREL-0.63%
CVS Corp 24,230 $ 1,120,638
Fruit of the Loom Inc Class A 17,727 724,591
Liz Claiborne Inc 16,435 665,618
Nike Inc Class B 66,122 4,752,519
Reebok International Ltd 12,822 599,429
Russell Corp 8,786 330,573
Stride Rite Corp 11,432 137,184
VF Corp 14,659 1,018,801
--------------
TOTAL APPAREL
- VALUE $ 9,349,353
- COST $ 5,082,108
AUTO PARTS & EQUIPMENT-0.84%
Cooper Tire & Rubber Co 18,858 $ 374,803
Dana Corp 23,454 727,074
Deluxe Corp 18,938 598,914
Eaton Corp 17,711 1,270,764
Echlin Inc 14,238 492,991
</TABLE>
172
<PAGE>
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1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Genuine Parts Co 27,680 $ 1,294,040
Goodyear Tire & Rubber Co 35,590 1,877,373
Illinois Tool Works Inc 28,423 2,398,191
ITT Industries Inc 27,133 705,458
Navistar International Corp+ 16,968 163,317
PACCAR Inc 8,976 589,050
Pep Boys-Manny Moe & Jack 14,344 467,973
TRW Inc 29,142 1,526,312
--------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 12,486,260
- COST $ 9,965,223
AUTOMOBILES-1.66%
Chrysler Corp 167,176 $ 5,663,087
Ford Motor Co 271,990 8,941,671
General Motors Corp Class A 173,392 10,035,062
--------------
TOTAL AUTOMOBILES
- VALUE $ 24,639,820
- COST $ 21,415,855
BANK & FINANCE-10.57%
Ahmanson (H F) & Co 24,254 $ 997,446
American Express Corp 108,806 7,113,192
Banc One Corp 98,089 4,328,177
Bank of Boston Corp 35,063 2,642,874
Bank of New York Inc 89,966 3,486,183
BankAmerica Corp 82,327 9,364,696
Bankers Trust Corp 18,787 1,704,920
Barnett Banks Inc 44,736 2,069,040
Beneficial Corp 12,346 853,417
Chase Manhattan Bank 100,668 10,079,384
Citicorp 107,910 12,598,493
Comerica Inc 24,657 1,482,502
CoreStates Financial Corp 51,034 2,685,664
Dean Witter Discover & Co 73,800 2,832,075
Federal Home Loan Mortgage Corp 164,056 4,880,666
Federal National Mortgage Assoc 250,561 10,022,440
Fifth Third Bancorp 24,328 2,028,347
First Bank System Inc 30,866 2,422,981
First Chicago NBD Corp 73,140 4,278,690
First Union Corp 65,133 5,715,421
Fleet Financial Group Inc 60,151 3,669,211
Golden West Financial 13,103 887,728
</TABLE>
173
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MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Great Western Financial Corp 31,644 $ 1,388,381
Green Tree Financial Inc 31,559 1,183,463
Household International Inc 22,258 2,156,244
Keycorp 51,709 2,766,432
MBNA Corp 76,600 2,451,200
Mellon Bank Corp 29,670 2,384,726
Merrill Lynch & Co Inc 37,742 3,623,232
MGIC Investment Corp 13,518 1,062,853
Morgan (J P) & Co Inc 42,820 4,501,453
Morgan Stanley Group 34,994 2,208,996
National City Corp 50,893 2,570,097
NationsBank Corp 178,276 10,674,276
Norwest Corp 84,963 4,226,909
PNC Bank Corp 78,194 3,313,471
Republic New York Corp 12,695 1,179,048
Ryder System Inc 18,749 590,594
Salomon Inc 24,974 1,389,179
SunTrust Banks Inc 51,207 2,630,760
U.S. Bancorp 34,745 1,715,534
Wachovia Corp 37,829 2,302,840
Wells Fargo & Co 21,132 6,429,411
--------------
TOTAL BANK & FINANCE
- VALUE $ 156,892,646
- COST $ 93,645,361
BASIC INDUSTRIES-2.29%
ASARCO Inc 9,789 $ 305,906
Avery-Dennison Corp 23,978 968,112
Baker Hughes Inc 33,151 1,176,861
Bemis Co 11,994 496,252
Boise Cascade Corp 11,107 365,143
Champion International Corp 21,988 970,221
Cyprus Amax Minerals 21,470 501,861
Dover Corp 25,849 1,282,757
Echo Bay Mines Ltd 31,815 246,566
Georgia-Pacific Corp 20,964 1,635,192
Harnischfeger Industries Inc 11,282 494,998
Homestake Mining Co 33,688 555,852
Ikon Office Solutions Inc 29,962 1,235,933
Inco Ltd 38,686 1,358,846
James River Corp 19,778 647,730
Louisiana-Pacific Corp 24,887 528,849
</TABLE>
174
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Mead Corp 11,912 $ 693,874
Minnesota Mining & Manufacturing Co 95,986 8,830,712
NACCO Industries Inc Class A 1,867 101,285
Newmont Mining Corp 22,853 1,085,518
Potlatch Corp 6,632 286,834
Stone Container Corp 22,764 295,932
Trinova Corp 6,425 238,528
Tyco International Inc 38,222 2,255,098
Union Camp Corp 16,068 775,281
Westinghouse Electric Corp 143,805 2,480,636
Westvaco Corp 23,455 691,923
Weyerhauser Co 45,442 2,101,693
Whitman Corp 23,773 558,666
Willamette Industries Inc 12,710 813,440
--------------
TOTAL BASIC INDUSTRIES
- VALUE $ 33,980,499
- COST $ 26,686,463
BEVERAGES-3.72%
Anheuser-Busch Inc 114,610 $ 5,100,145
Coca-Cola Co 570,866 34,822,826
Coors (Adolph) Co Class B 8,681 185,556
Pepsico Inc 356,521 11,720,628
Seagrams Co Ltd 85,605 3,338,595
--------------
TOTAL BEVERAGES
- VALUE $ 55,167,750
- COST $ 31,822,286
BROADCASTING-0.41%
Kingworld Productions+ 8,583 $ 318,644
Tele-Communications Inc Class A 152,436 1,810,178
Tribune Co 28,242 1,108,499
Viacom Inc Class B 81,251 2,864,098
--------------
TOTAL BROADCASTING
- VALUE $ 6,101,419
- COST $ 6,788,451
BUILDING MATERIALS & SERVICES-0.49%
Cooper Industries Inc 24,727 $ 1,094,170
Corning Inc 52,763 1,985,208
Owens Corning Fiberglass Corp 11,802 500,110
PPG Industries Inc 42,067 2,355,752
</TABLE>
175
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Snap-On Inc 14,001 $ 544,289
Stanley Works 20,448 782,136
--------------
TOTAL BUILDING MATERIALS & SERVICES
- VALUE $ 7,261,665
- COST $ 5,537,914
BUSINESS SERVICES-0.04%
Ecolab Inc 14,811 $ 560,967
--------------
TOTAL BUSINESS SERVICES
- VALUE $ 560,967
- COST $ 375,016
CHEMICALS-2.73%
Air Products & Chemicals Inc 25,599 $ 1,897,526
Clorox Co 11,779 1,407,591
Dow Chemical Co 55,722 4,513,482
Du Pont (E I) De Nemours 129,109 13,846,940
Eastman Chemical Co 17,828 982,769
FMC Corp+ 8,554 588,088
Goodrich (B F) Co 12,385 503,141
Grace (W R) Co 19,008 1,007,424
Great Lakes Chemical Corp 14,524 673,551
Hercules Inc 23,572 1,096,098
International Flavor & Fragrances 25,481 1,181,681
Monsanto Co 134,936 4,908,297
Morton International Inc 32,724 1,349,865
Nalco Chemical Co 15,431 567,089
Praxair Inc 35,849 1,743,158
Rohm & Haas Co 14,679 1,350,468
Rubbermaid Inc 34,322 819,438
Sigma-Aldrich Corp 22,888 700,945
Union Carbide Corp 29,226 1,380,929
--------------
TOTAL CHEMICALS
- VALUE $ 40,518,480
- COST $ 29,448,970
COMPUTER SOFTWARE-3.37%
3Com Corp+ 39,808 $ 1,318,015
Autodesk Inc 10,484 355,146
Automatic Data Processing 66,600 2,838,825
Bay Networks Inc+ 44,483 845,177
Computer Associates International Inc 83,722 3,641,907
Computer Sciences Corp+ 17,424 1,176,120
</TABLE>
176
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
First Data Corp 102,706 $ 3,761,607
Microsoft Corp 274,276 26,741,910
Novell Inc+ 78,852 798,377
Oracle Systems Corp 150,858 5,921,177
Sun Microsystems Inc 84,208 2,599,922
--------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 49,998,183
- COST $ 30,173,975
COMPUTER SYSTEMS-3.95%
Amdahl Corp+ 27,839 $ 274,910
Apple Computer Inc+ 28,512 463,320
Cabletron Systems Inc 35,822 1,074,660
Ceridian Corp+ 15,746 616,062
Cisco Systems Inc+ 149,015 8,288,959
Cognizant Corp 39,197 1,366,995
Compaq Computer Corp+ 62,068 4,918,889
Data General Corp+ 8,998 174,336
Dell Computer Corp 41,282 2,936,182
Digital Equipment Corp+ 35,509 1,162,920
EMC Corp+ 53,374 1,921,464
Harris Corp 8,922 657,998
Hewlett-Packard Co 233,388 13,069,728
Intergraph Corp+ 10,840 89,430
International Business Machine Corp 118,784 17,075,200
Seagate Technology Inc 57,505 2,717,111
Shared Medical System Corp 5,389 294,374
Silicon Graphics Inc+ 40,164 968,957
Tandem Computers Inc+ 27,186 339,825
Unisys Corp+ 40,167 271,127
--------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 58,682,447
- COST $ 37,496,166
CONTAINER & PACKAGING-0.51%
Ball Corp 7,065 $ 178,391
Crown Cork & Seal Co 29,482 1,636,251
International Paper Co 68,833 2,873,778
Temple-Inland Inc 12,701 700,143
Tenneco Inc 39,182 1,542,791
Tupperware Corp 14,267 638,448
--------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 7,569,802
- COST $ 6,746,302
</TABLE>
177
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT-3.41%
General Electric Co 377,716 $ 38,857,534
Grainger (W W) Inc 12,246 970,496
Masco Corp 36,840 1,294,005
Motorola Inc 136,003 7,599,168
National Service Industries Inc 10,883 413,554
Raychem Corp 10,326 879,001
Thomas & Betts Corp 12,228 545,675
--------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 50,559,433
- COST $ 33,556,983
ELECTRONICS-3.73%
Advanced Micro Devices+ 31,357 $ 1,124,932
AMP Inc 50,382 1,958,600
Applied Materials Inc+ 41,194 2,085,446
EG&G Inc 10,901 237,097
Emerson Electric Co 51,515 5,099,985
General Signal Corp 11,474 500,553
Honeywell Inc 29,072 2,067,746
Intel Corp 188,274 26,711,374
Johnson Controls Inc 9,448 795,994
LSI Logic Corp+ 29,517 1,018,337
Micron Technology Inc 47,993 1,799,738
National Semiconductor+ 31,759 829,704
Perkin-Elmer Corp 9,906 703,326
Pitney Bowes Inc 34,021 2,113,555
Tektronix Inc 7,495 365,381
Texas Instruments Inc 43,537 3,357,791
Xerox Corp 74,479 4,654,938
--------------
TOTAL ELECTRONICS
- VALUE $ 55,424,497
- COST $ 29,873,187
ENERGY & RELATED-8.64%
Amerada Hess Corp 21,279 $ 1,135,767
Amoco Corp 114,038 9,636,211
Ashland Inc 14,826 620,839
Atlantic Richfield Corp 36,891 4,611,375
Burlington Resources Inc 28,553 1,252,763
Chevron Corp 149,767 9,659,972
Coastal Corp 24,189 1,100,600
Columbia Gas System Inc 12,686 745,303
</TABLE>
178
<PAGE>
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1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Consolidated Natural Gas Co 21,753 $ 1,109,403
Dresser Industries Inc 40,318 1,224,659
Eastern Enterprises 4,735 159,214
Enron Corp 58,327 2,325,789
Enserch Corp 15,999 335,979
Exxon Corp 284,925 28,456,884
Halliburton Co 28,656 1,851,894
Helmerich & Payne Inc 5,685 240,191
Kerr-McGee Corp 11,131 697,079
Louisiana Land & Exploration Co 7,809 372,880
Mobil Corp 90,461 11,104,088
NICOR Inc 11,422 382,637
NorAm Energy Corp 31,507 472,605
Occidental Petroleum Corp 75,503 1,925,327
ONEOK Inc 6,211 177,014
Oryx Energy Co+ 24,020 480,400
Pacific Enterprises Co 19,431 592,646
Panenergy Corp 34,740 1,480,793
Pennzoil Co 10,664 611,847
Peoples Energy Corp 7,954 269,442
Phillips Petroleum Co 60,490 2,502,774
Rowan Co Inc+ 19,736 392,253
Royal Dutch Petroleum Co 123,018 21,282,114
Santa Fe Energy Resources Inc+ 20,727 266,860
Schlumberger Ltd 56,459 5,681,187
Sonat Offshore Drilling Co 19,792 910,432
Sun Co Inc 16,724 451,548
Texaco Inc 60,675 5,999,241
Union Pacific Resources Group 57,375 1,398,516
Unocal Corp 57,502 2,221,015
USX--Marathon Group 65,892 1,754,375
Western Atlas Inc 12,296 748,519
Williams Co Inc 35,952 1,572,900
--------------
TOTAL ENERGY & RELATED
- VALUE $ 128,215,335
- COST $ 95,772,145
ENGINEERING & CONSTRUCTION-0.20%
Armstrong World Industries Inc 9,424 $ 649,078
Centex Corp 6,443 260,136
Federal National Mortgage Assoc 19,142 1,160,484
Fleetwood Enterprises Inc 8,137 211,562
</TABLE>
179
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Foster Wheeler Corp 9,329 $ 363,831
Kaufman & Broad Home Corp 8,868 125,261
Pulte Corp 5,381 183,627
--------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 2,953,979
- COST $ 2,561,466
ENTERTAINMENT & LEISURE-1.58%
Brunswick Corp 22,542 $ 645,265
Disney (Walt) Co 155,707 11,561,245
Harrah's Entertainment Inc+ 23,636 437,266
Hasbro Inc 19,841 848,203
Mattel Inc 62,441 1,553,220
Polaroid Corp 10,462 442,020
Time Warner Inc 130,433 5,347,753
U.S. West Media Group 143,354 2,634,130
--------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 23,469,102
- COST $ 19,903,306
ENVIRONMENTAL CONTROL-0.36%
Browning-Ferris Industries Inc 48,767 $ 1,530,065
Safety-Kleen Corp 13,367 240,606
WMX Technologies Inc 111,313 3,520,274
--------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 5,290,945
- COST $ 4,985,784
FOOD & RELATED-4.21%
Albertson's Inc 57,865 $ 2,039,741
American Brands Inc 39,039 2,054,427
American Stores Co 33,387 1,494,068
Archer-Daniels-Midland Co 124,871 2,310,114
Brown-Forman Corp Class B 15,924 712,599
Campbell Soup Co 53,668 4,836,829
ConAgra Inc 55,305 2,931,165
CPC International Inc 33,006 2,776,630
Darden Restaurants Inc 35,972 260,797
Fleming Co Inc 8,712 152,460
General Mills Inc 35,886 2,341,562
Giant Food Inc Class A 13,686 446,506
Great Atlantic & Pacific Tea Co 8,783 261,294
Harcourt General Inc 16,388 772,285
</TABLE>
180
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Heinz (H J) Co 84,363 $ 3,511,610
Hershey Foods Corp 35,198 1,605,909
Kellogg Co 48,339 3,311,222
Kroger Co+ 29,007 1,537,371
McDonald's Corp 160,126 6,925,450
Pioneer Hi Bred International Inc 18,910 1,288,244
Quaker Oats Co 31,201 1,119,336
Ralston-Purina Group 24,335 1,998,512
Sara Lee Corp 111,073 4,304,079
Super Value Inc 15,366 476,346
Sysco Corp 41,073 1,427,287
Unilever NV (Netherlands) 36,767 7,004,114
UST Inc 42,689 1,318,023
Wendy's International Inc 29,676 615,777
Winn-Dixie Stores Inc 34,710 1,106,381
Wrigley (W M) Jr Co 26,596 1,592,436
--------------
TOTAL FOOD & RELATED
- VALUE $ 62,532,574
- COST $ 46,053,677
FURNITURE & APPLIANCES-0.09%
Maytag Corp 22,907 $ 503,954
Whirlpool Corp 17,076 862,338
--------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 1,366,292
- COST $ 1,345,263
HEALTHCARE-0.29%
Healthsouth Corp 36,077 $ 1,452,099
St Jude Medical Inc+ 18,556 732,962
United Healthcare Corp 42,294 2,109,413
--------------
TOTAL HEALTHCARE
- VALUE $ 4,294,474
- COST $ 4,079,506
HOSPITAL & MEDICAL SUPPLIES-2.75%
Bard (C R) Inc 13,133 $ 359,516
Bausch & Lomb Inc 12,785 477,839
Baxter International Inc 62,639 2,881,394
Becton Dickinson & Co 28,575 1,407,319
Beverly Enterprises+ 22,714 326,514
Biomet Inc 26,508 404,247
Boston Scientific Corp 40,864 2,707,240
</TABLE>
181
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Columbia/HCA Healthcare Corp 154,061 $ 6,470,545
Guidant Corp 16,960 1,136,320
Johnson & Johnson 305,490 17,603,861
Mallinckrodt Group Inc 16,927 719,398
Manor Care Inc 14,392 383,187
Medtronic Inc 54,980 3,559,955
Tenet Healthcare Corp+ 67,781 1,838,560
United States Surgical 14,425 614,866
--------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 40,890,761
- COST $ 25,874,148
HOUSEHOLD PRODUCTS-2.79%
Alberto-Culver Co Class B 12,728 $ 362,748
Avon Products Inc 30,423 1,772,140
Colgate-Palmolive Co 33,684 3,486,294
Gillette Co 127,241 10,067,944
Kimberly-Clark Corp 64,822 6,871,132
Procter & Gamble Co 156,450 18,793,556
--------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 41,353,814
- COST $ 24,520,655
INSURANCE-4.21%
Aetna Inc 34,627 $ 2,869,713
Allstate Corp 102,021 6,465,581
American General Corp 46,645 2,023,227
American International Group Inc 107,702 13,031,942
Aon Corp 24,848 1,574,742
Chubb Corp 39,880 2,337,965
CIGNA Corp 17,191 2,628,074
Conseco Inc 38,381 1,506,454
General Re Corp 18,970 3,217,786
Humana Inc+ 37,337 732,739
ITT Hartford Group Inc 27,029 2,027,175
Jefferson-Pilot Corp 16,381 966,479
Lincoln National Corp 23,932 1,391,048
Loews Corp 26,373 2,693,343
Marsh & McLennan Companies Inc 16,444 1,923,948
MBIA Inc 9,879 964,437
Providian Corp 21,506 1,201,648
SAFECO Corp 28,942 1,208,329
St Paul Co 18,973 1,280,678
</TABLE>
182
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Torchmark Corp 16,204 $ 954,011
Transamerica Corp 15,167 1,329,008
Travelers Inc 146,915 7,878,317
U.S. Life Corp 7,840 373,380
UNUM Corp 16,749 1,287,579
USF & G Corp 26,563 597,668
--------------
TOTAL INSURANCE
- VALUE $ 62,465,271
- COST $ 41,480,356
LODGING-0.34%
HFS Inc+ 29,580 $ 2,026,230
Hilton Hotels Corp 56,612 1,422,377
Marriott International 29,434 1,560,002
--------------
TOTAL LODGING
- VALUE $ 5,008,609
- COST $ 3,921,224
MACHINERY-0.83%
Black & Decker Corp 20,169 $ 637,845
Case Corp 16,843 873,731
Caterpillar Inc 43,978 3,446,776
Cincinnati Milacron Inc 9,192 197,628
Cummins Engine Co Inc 9,100 460,688
Deere & Co 59,305 2,527,876
Giddings & Lewis Inc 7,628 105,362
Ingersoll-Rand Co 25,197 1,196,858
McDermott International Inc 12,639 281,218
Pall Corp 28,738 625,052
Parker Hannifin Corp 17,076 747,075
Thermo Electron Corp 34,179 1,166,358
--------------
TOTAL MACHINERY
- VALUE $ 12,266,467
- COST $ 10,113,883
METAL FABRICATORS-1.19%
Alcan Aluminum Ltd 51,961 $ 1,864,101
Allegheny Teledyne Inc 39,902 1,017,501
Aluminum Co of America 39,766 2,833,328
Armco Inc+ 24,355 100,464
Barrick Gold Corp 81,957 2,315,285
Battle Mountain Gold Co 51,579 380,395
Bethlehem Steel Corp+ 25,541 210,713
</TABLE>
183
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Crane Co 10,599 $ 345,776
Engelhard Corp 33,081 731,917
Freeport McMoRan Inc 44,367 1,508,478
Inland Steel Industries Inc 11,245 222,089
Nucor Corp 20,164 970,393
Phelps Dodge Corp 14,881 1,063,992
Placer Dome Inc 55,016 1,182,844
Reynolds Metals Co 14,631 918,095
Santa Fe Pacific Gold Corp 30,128 564,900
Timken Co 7,190 376,576
USX--U.S. Steel Group 19,294 605,349
Worthington Industries Inc 20,830 434,826
--------------
TOTAL METAL FABRICATORS
- VALUE $ 17,647,022
- COST $ 15,379,330
PHARMACEUTICALS-7.12%
Abbott Laboratories 178,291 $ 10,028,869
Allergan Inc 14,970 508,980
ALZA Corp+ 19,350 549,056
American Home Products Corp 146,509 9,376,576
Amgen Inc+ 60,714 3,711,143
Bristol-Myers Squibb Co 114,891 14,993,276
Lilly (Eli) & Co 126,591 11,060,889
Merck & Co Inc 276,631 25,450,052
Millipore Corp 9,898 426,851
Pfizer Inc 147,971 13,557,843
Pharmacia and Upjohn Inc 116,662 4,301,911
Schering-Plough Corp 84,842 6,501,018
Warner Lambert Co 62,191 5,224,044
--------------
TOTAL PHARMACEUTICALS
- VALUE $ 105,690,508
- COST $ 58,960,639
PUBLISHING-0.84%
American Greetings Corp Class A 17,091 $ 529,821
Comcast Corp Class A 74,806 1,337,157
Donnelley (R R) & Sons Co 34,508 1,065,435
Dow Jones & Co Inc 22,157 889,050
Gannett Co Inc 32,277 2,574,091
Harland (John H) Co 7,072 213,928
Interpublic Group Co Inc 18,575 931,072
Knight-Ridder Inc 21,531 855,857
</TABLE>
184
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
McGraw-Hill Inc 22,844 $ 1,185,033
Meredith Corp 6,110 299,390
Moore Corp Ltd 22,891 506,463
New York Times Co Class A 22,181 987,055
Times Mirror Co Class A 22,683 1,168,175
--------------
TOTAL PUBLISHING
- VALUE $ 12,542,527
- COST $ 9,721,024
RETAIL & RELATED-4.17%
AutoZone Inc+ 34,465 $ 853,009
Charming Shoppes Inc+ 23,856 105,861
Circuit City Stores Inc 22,432 701,000
Costco Co Inc 2,600 66,625
Dayton-Hudson Corp 49,796 2,091,432
Dillard Department Inc Class A 26,016 783,732
Eastman Kodak Co 76,406 6,847,888
Federated Department Stores Inc 47,694 1,657,367
Gap Inc 65,023 2,145,759
Home Depot Inc 110,158 6,003,611
Jostens Inc 8,929 191,974
K Mart Corp+ 111,019 1,387,738
Limited Inc 62,124 1,180,356
Longs Drug Stores Corp 8,984 227,969
Lowe's Co Inc 39,592 1,445,108
May Department Stores Co 57,775 2,693,759
Mercantile Stores Co Inc 8,501 408,048
Newell Co 36,502 1,355,137
Nordstrom Inc 18,607 683,807
Penney (J C) Co Inc 58,229 2,864,262
Price/Costco Inc 45,520 1,166,450
Rite Aid Corp 28,157 1,186,114
Sears Roebuck & Co 89,828 4,873,169
Sherwin Williams Co 19,717 1,106,617
Tandy Corp 13,387 674,370
TJX Companies Inc 17,867 745,947
Toys R Us Inc+ 62,946 1,636,596
Walgreen Co 56,418 2,411,870
</TABLE>
185
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
WalMart Stores Inc 526,271 $ 13,880,398
Woolworth (F W) Co+ 30,594 638,650
--------------
TOTAL RETAIL & RELATED
- VALUE $ 62,014,623
- COST $ 51,266,774
SERVICES-0.47%
Block (H R) Inc 23,909 $ 702,327
CUC International Inc 90,317 2,156,318
Dun & Bradstreet Corp 39,097 957,877
Public Service Enterprise Group 54,650 1,537,031
Service Corp International 54,054 1,567,566
--------------
TOTAL SERVICES
- VALUE $ 6,921,119
- COST $ 6,216,479
TELECOMMUNICATIONS-7.44%
Airtouch Communications 115,089 $ 3,136,175
Alltel Corp 43,452 1,537,115
Ameritech Corp 126,075 8,037,281
Andrew Corp 13,829 760,595
AT & T Corp 371,824 14,826,482
Bell Atlantic Corp 100,401 6,940,219
BellSouth Corp 228,019 10,688,391
DSC Communications Corp+ 26,980 566,580
Frontier Corp 37,504 829,776
General Instrument Corp+ 31,385 745,394
GTE Corp 220,676 10,316,603
ITT Corp 26,629 1,504,539
Lucent Technologies Inc 146,095 7,870,868
MCI Communications Corp 157,181 5,619,221
Northern Telecom Ltd 59,303 4,262,403
NYNEX Corp 100,925 5,197,638
Pacific Telesis Group 98,255 4,003,891
SBC Communication Inc 138,580 7,968,350
Scientific-Atlanta Inc 17,816 298,418
Sprint Corp 98,722 4,491,851
Tellabs Inc 41,154 1,641,016
U.S. West Inc 109,616 3,946,176
WorldCom Inc 199,939 5,323,376
--------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 110,512,358
- COST $ 89,792,169
</TABLE>
186
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TEXTILES-0.01%
Springs Industries Inc Class A 4,589 $ 202,490
--------------
TOTAL TEXTILES
- VALUE $ 202,490
- COST $ 173,972
TOBACCO-1.70%
Philip Morris Co Inc 186,876 $ 25,251,620
--------------
TOTAL TOBACCO
- VALUE $ 25,251,620
- COST $ 13,140,940
TRANSPORTATION-1.06%
Burlington Northern Santa Fe 35,123 $ 2,923,990
Caliber Systems Inc 8,949 203,590
Conrail Inc 18,437 1,926,667
CSX Corp 49,763 2,295,318
Federal Express Corp 26,158 1,347,137
Laidlaw Inc Class B 72,131 1,000,818
Norfolk Southern Corp 28,642 2,610,002
Union Pacific Corp 56,157 3,383,459
--------------
TOTAL TRANSPORTATION
- VALUE $ 15,690,981
- COST $ 12,199,047
UTILITIES--2.38%
American Electric Power Inc 42,957 $ 1,793,455
Baltimore Gas & Electric Co 33,820 930,050
Carolina Power & Light Co 34,809 1,292,284
Central & South West Corp 48,416 1,180,140
Cinergy Corp 36,181 1,248,245
Consolidated Edison Co 53,899 1,664,132
Dominion Resources Inc 41,321 1,663,170
DTE Energy Co 33,340 1,008,535
Duke Power Co 46,253 2,046,695
Edison International 99,486 2,138,949
Entergy Corp 52,908 1,395,449
FPL Group Inc 42,071 1,914,231
GPU Inc 27,697 969,395
Houston Industries Inc 53,821 1,251,338
Niagara Mohawk Power Corp+ 33,132 339,603
Northern States Power Co 15,940 759,143
Ohio Edison Co 35,038 788,355
</TABLE>
187
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Pacificorp 67,597 $ 1,394,188
PECO Energy Co 51,043 1,148,468
PG & E Corp 94,584 2,175,432
PP & L Resources Inc 37,202 850,996
Southern Co 154,570 3,361,898
Texas Utilities Co 51,533 2,080,645
Unicom Corp 49,559 1,102,688
Union Electric Co 23,467 900,546
--------------
TOTAL UTILITIES
- VALUE $ 35,398,030
- COST $ 33,674,435
--------------
TOTAL COMMON STOCKS
- VALUE $1,389,363,885
- COST $ 964,707,982
</TABLE>
188
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1997
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY PRINCIPAL/
SECURITY NAME RATE DATE SHARES VALUE
<S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS
CASH EQUIVALENTS-0.79%
Dreyfus Cash Management Fund++ -- -- $ 7,695,908 $ 7,695,908
Janus Institutional Money Market Fund++ -- -- 4,000,000 4,000,000
--------------
$ 11,695,908
U.S. TREASURY BILLS-6.27%+++
U.S. Treasury Bills 4.91%* 03/06/97 $ 7,341,000 $ 7,336,082
U.S. Treasury Bills 4.91 * 03/13/97 17,926,000 17,897,139
U.S. Treasury Bills 5.03 * 04/03/97 14,603,000 14,540,996
U.S. Treasury Bills 5.09 * 04/10/97 6,135,000 6,102,871
U.S. Treasury Bills 5.16 * 04/17/97 18,763,000 18,641,735
U.S. Treasury Bills 5.10 * 04/24/97 18,955,000 18,817,254
U.S. Treasury Bills 5.09 * 05/08/97 3,095,000 3,066,455
U.S. Treasury Bills 5.09 * 05/15/97 5,631,000 5,573,789
U.S. Treasury Bills 5.10 * 05/22/97 1,091,000 1,078,853
--------------
$ 93,055,174
REPURCHASE AGREEMENTS-1.82%
Goldman Sachs Repurchase Agreement++,
dated 02/28/97, due 03/03/97, with a
maturity value of $27,000,000 and an
effective yield of 4.85%,
collateralized by a Federal National
Mortgage Association obligation with a
rate of 6.09% with a maturity date of
01/01/34 and with an aggregate market
value of $27,540,000. $27,000,000 $ 27,000,000
--------------
TOTAL SHORT-TERM INSTRUMENTS
- VALUE $ 131,751,082
- COST $ 131,737,088
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,096,445,070)** (Notes 1 and 3) 102.48% $1,521,114,967
Other Assets and Liabilities, Net (2.48)% (36,778,521)
------ --------------
TOTAL NET ASSETS 100.00% $1,484,336,446
====== ==============
</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 $434,727,638
Gross Unrealized
Depreciation (10,057,741)
------------
NET UNREALIZED APPRECIATION $424,669,897
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
189
<PAGE>
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE
TERM MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-34.44%
BANK & FINANCE-17.14%
$ 500,000 Associates Corp of North America 6.01% 02/07/03 $ 478,154
250,000 BankAmerica Corp 8.38 03/15/02 265,224
250,000 Ford Holdings 9.25 07/15/97 252,935
500,000 GMAC Financial Corp 6.65 05/24/00 499,838
250,000 NBD Bancorp Inc 6.55 06/02/97 250,613
500,000 Norwest Corp 6.88 08/08/06 493,014
-----------
$ 2,239,778
COMPUTER SYSTEMS-3.87%
$ 500,000 Comdisco Inc 7.25% 04/15/98 $ 506,045
ENTERTAINMENT & LEISURE-3.80%
$ 500,000 Disney (Walt) Co 6.38% 03/30/01 $ 495,951
INVESTMENT BANKING & BROKERAGE-3.82%
$ 500,000 Lehman Brothers Inc 7.38% 01/15/07 $ 499,671
RETAIL & RELATED-1.54%
$ 198,000 Sears Roebuck & Co 9.25% 08/01/97 $ 200,536
UTILITIES-4.27%
$ 500,000 Public Service Electric & Gas Co 9.13% 07/01/05 $ 557,729
-----------
TOTAL CORPORATE BONDS & NOTES (Cost $ 4,499,710
$4,545,497)
FOREIGN GOVERNMENT BONDS & NOTES+-3.94%
$ 500,000 Quebec (Province of) 7.50% 07/15/02 $ 514,745
-----------
TOTAL FOREIGN GOVERNMENT BONDS & NOTES $ 514,745
(Cost $518,411)
U.S. GOVERNMENT AGENCY SECURITIES-21.19%
FEDERAL HOME LOAN BANK-1.91%
$ 250,000 Federal Home Loan Bank 5.22% 03/18/97 $ 249,442
FEDERAL NATIONAL MORTGAGE ASSOCIATION-19.28%
$ 710,715 Federal National Mortgage Assoc 7.00% 06/01/09 $ 711,176
1,389,721 Federal National Mortgage Assoc 7.00 12/01/25 1,357,450
460,902 Federal National Mortgage Assoc 6.50 05/01/11 450,789
-----------
$ 2,519,415
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 2,768,857
(Cost $2,786,237)
</TABLE>
190
<PAGE>
MANAGED SERIES INVESTMENT TRUST--SHORT INTERMEDIATE TERM MASTER
PORTFOLIO--FEBRUARY 28, 1997
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE TERM MASTER PORTFOLIO--
FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-35.99%
U.S. TREASURY BONDS-7.28%
$ 750,000 U.S. Treasury Bonds 10.75% 08/15/05 $ 950,859
U.S. TREASURY NOTES-28.71%
$1,000,000 U.S. Treasury Notes 6.88% 07/31/99 1,015,936
2,700,000 U.S. Treasury Notes 7.25 02/15/98 2,735,438
-----------
$ 3,751,374
TOTAL U.S. TREASURY $ 4,702,233
SECURITIES (Cost $4,755,715)
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
TOTAL
INVESTMENT IN
SECURITIES
(Cost
$12,605,860)*
(Notes 1 and
3) 95.56% $12,485,545
Other Assets
and
Liabilities,
Net 4 .44% 580,168
------ -----------
TOTAL NET 100.00%
ASSETS $13,065,713
====== ===========
</TABLE>
- --------------------------------------------------------------------------------
+ Investment denominated in U.S. Dollars.
* Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized depreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized Ap-
preciation $ 49,790
Gross Unrealized De-
preciation (170,105)
---------
NET UNREALIZED DEPRE-
CIATION $(120,315)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
191
<PAGE>
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-78.52%
U.S. TREASURY BONDS-44.73%
$3,300,000 U.S. Treasury Bonds 11.88% 11/15/03 $ 4,254,938
7,050,000 U.S. Treasury Bonds 11.13 08/15/03 8,759,624
4,000,000 U.S. Treasury Bonds 10.75 02/15/03 4,838,744
2,800,000 U.S. Treasury Bonds 10.75 05/15/03 3,407,250
-----------
$21,260,556
U.S. TREASURY NOTES-33.79%
$ 500,000 U.S. Treasury Notes 7.50% 05/15/02 $ 523,750
4,600,000 U.S. Treasury Notes 6.38 08/15/02 4,594,250
5,600,000 U.S. Treasury Notes 6.25 02/15/03 5,552,742
5,600,000 U.S. Treasury Notes 5.75 08/15/03 5,391,742
-----------
$16,062,484
TOTAL U.S. TREASURY $37,323,040
SECURITIES
(Cost $37,561,266)
SHORT-TERM INSTRUMENTS-41.29%
U.S. TREASURY BILLS-20.93%
$ 12,000 U.S. Treasury Bills 4.91%* 03/06/97 $ 11,992
22,000 U.S. Treasury Bills 4.91* 03/13/97 21,965
13,000 U.S. Treasury Bills 5.03* 04/03/97 12,945
23,000 U.S. Treasury Bills 5.16* 04/17/97 22,851
5,253,000 U.S. Treasury Bills 5.10* 04/24/97 5,214,826
4,680,000 U.S. Treasury Bills 5.05* 05/01/97 4,641,493
25,000 U.S. Treasury Bills 5.09* 05/15/97 24,746
-----------
$ 9,950,818
</TABLE>
192
<PAGE>
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1997
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
PRINCIPAL/ INTEREST MATURITY
SHARES SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CASH EQUIVALENTS-5.63%
$1,500,000 American AAdvantage Money Market
Fund+ -- -- $ 1,500,000
175,625 Dreyfus Cash Management Fund+ -- -- 175,625
1,000,000 Janus Institutional Money Market
Fund+ -- -- 1,000,000
-----------
$ 2,675,625
REPURCHASE AGREEMENTS-14.73%
$7,000,000 Goldman Sachs Repurchase
Agreement+, dated 02/28/97, due
03/03/97, with a maturity value of
$7,000,000 and an effective yield
of 4.85%, collateralized by a
Federal National Mortgage
Association obligation with a rate
of 6.08% with a maturity date of
02/01/35 and with an aggregate
market value of $7,140,000. $ 7,000,000
-----------
TOTAL SHORT-TERM INSTRUMENTS $19,626,443
(Cost $19,649,376)
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENT IN SECURITIES
(Cost $57,210,642) ** (Notes 1 and 3) 119.81% $56,949,483
Other Assets and Liabilities (19.81)% (9,417,206)
------ -----------
TOTAL NET ASSETS 100.00% $47,532,277
====== ===========
</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 depreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $ 167,471
Gross Unrealized
Depreciation (428,630)
---------
NET UNREALIZED
DEPRECIATION $(261,159)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
193
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1997
<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) $466,475,782 $241,714,305
Cash 140 664
RECEIVABLES:
Investment sold 1,480,685 0
Dividends and interest 2,751,795 2,426,576
TOTAL ASSETS 470,708,402 244,141,545
LIABILITIES
PAYABLES:
Cash overdraft due to custodian
(Note 2) 0 0
Variation margin on futures
contracts 0 0
Investment securities purchased 51,667 0
Collateral for securities loaned
(Note 4) 38,166,637 22,738,500
Due to BGI (Note 2) 530,259 73,541
TOTAL LIABILITIES 38,748,563 22,812,041
TOTAL NET ASSETS $431,959,839 $221,329,504
INVESTMENTS AT COST $409,511,486 $242,027,480
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
194
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 28, 1997
<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>
$213,184,745 $148,886,031 $191,993,185 $287,198,457
162,625 21 0 774
729,897 40,704 75,745 148,118
17,467 1,560,839 1,147,149 1,244,750
214,094,734 150,487,595 193,216,079 288,592,099
0 0 0 0
0 0 0 0
592,875 0 0 0
0 18,978,114 23,406,970 36,720,694
509,370 236,483 298,189 428,772
1,102,245 19,214,597 23,705,159 37,149,466
$212,992,489 $131,272,998 $169,510,920 $251,442,633
$202,617,546 $144,431,820 $177,480,530 $255,466,083
- -----------------------------------------------------
</TABLE>
195
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1997
<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) $180,787,263 $289,926,521
Cash 776 671
RECEIVABLES:
Investments sold 117,025 197,303
Dividends and interest 701,780 837,294
TOTAL ASSETS 181,606,844 290,961,789
LIABILITIES
PAYABLES:
Cash overdraft due to custodian (Note 2) 0 0
Variation margin on futures contracts 0 2,100
Investment securities purchased 0 0
Collateral for securities loaned (Note 4) 22,529,743 32,439,449
Due to BGI (Note 2) 272,268 435,512
TOTAL LIABILITIES 22,802,011 32,877,061
TOTAL NET ASSETS $158,804,833 $258,084,728
INVESTMENTS AT COST $155,092,029 $246,866,873
- ---------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
196
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 28, 1997
<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>
$1,521,114,967 $12,485,545 $56,949,483
0 528,440 530
0 0 0
2,826,281 120,238 300,170
1,523,941,248 13,134,223 57,250,183
6,372 0 0
256,130 0 0
392,188 0 0
38,695,908 0 9,675,625
254,204 68,510 42,281
39,604,802 68,510 9,717,906
$1,484,336,446 $13,065,713 $47,532,277
$1,096,445,070 $12,605,860 $57,210,642
- ----------------------------------------------------------------------------------
</TABLE>
197
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Portfolio Master Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $4,369,957 $ 0
Interest+ 16,181,201 12,736,172
TOTAL INVESTMENT INCOME 20,551,158 12,736,172
EXPENSES (NOTE 2)
Advisory fees 1,531,951 147,204
Legal and audit 0 12,968
Portfolio pricing 6,443 6,448
TOTAL EXPENSES 1,538,394 166,620
LESS:
Waived fees by BGI (Note 2) (6,334) (6,908)
NET EXPENSES 1,532,060 159,712
NET INVESTMENT INCOME (LOSS) 19,019,098 12,576,460
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on sale
of investments 38,140,198 152,739
Net realized gain (loss) on sale
of futures contracts 0 0
Net change in unrealized
appreciation (depreciation) of
investments (1,289,497) (3,966,118)
Net change in unrealized
appreciation (depreciation) of
futures contracts 0 0
NET GAIN (LOSS) ON INVESTMENTS 36,850,701 (3,813,379)
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $55,869,799 $8,763,081
- ------------------------------------------------------------------------------
</TABLE>
+ Interest income includes security lending income of: $2,574 $2,796
The accompanying notes are an integral part of these financial statements.
198
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1997
<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>
$253,969 $532,807 1,373,301 $2,898,947
507,985 5,925,997 4,566,510 4,521,846
761,954 6,458,804 5,939,811 7,420,793
1,334,600 689,347 757,505 1,149,160
38,616 0 0 0
6,448 0 0 0
1,379,664 689,347 757,505 1,149,160
(61,460) 0 0 0
1,318,204 689,347 757,505 1,149,160
(556,250) 5,769,457 5,182,306 6,271,633
15,318,008 2,894,777 3,439,818 9,487,619
0 0 0 0
(25,141,741) (273,099) 5,149,907 11,374,656
0 0 0 0
(9,823,733) 2,621,678 8,589,725 20,862,275
$(10,379,983) $8,391,135 $13,772,031 $27,133,908
- -------------------------------------------------------------------------------
-- $4,735 $6,467 $11,570
</TABLE>
199
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
Master Master
Investment Investment
Portfolio Portfolio
LifePath LifePath
2030 2040
Master Portfolio Master Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 2,192,763 $ 3,958,762
Interest+ 1,732,644 1,149,012
TOTAL INVESTMENT INCOME 3,925,407 5,107,774
EXPENSES (NOTE 2)
Advisory fees 714,647 1,154,330
Legal and audit 0 0
Portfolio pricing 0 0
TOTAL EXPENSES 714,647 1,154,330
LESS:
Waived fees by BGI (Note 2) 0 0
NET EXPENSES 714,647 1,154,330
NET INVESTMENT INCOME (LOSS) 3,210,760 3,953,444
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 5,108,662 14,697,190
Net realized gain (loss) on sale of futures
contracts 0 35,620
Net change in unrealized appreciation
(depreciation) of investments 10,036,726 17,501,172
Net change in unrealized appreciation
(depreciation) of futures contracts 0 92,625
NET GAIN (LOSS) ON INVESTMENTS 15,145,388 32,326,607
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $18,356,148 $36,280,051
- ------------------------------------------------------------------------------
</TABLE>
+ Interest income includes security lending income of:$8,197 $13,791
The accompanying notes are an integral part of these financial statements.
200
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1997
<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>
$ 22,903,026 $ 0 $ 0
4,394,053 929,838 3,348,831
27,297,079 929,838 3,348,831
577,637 58,891 148,606
12,961 12,874 0
6,448 9,561 7,278
597,046 81,326 155,884
(9,622) (12,647) (3,005)
587,424 68,679 152,879
26,709,655 861,159 3,195,952
10,656,049 (86,579) (142,718)
12,210,399 0 0
229,538,430 (214,524) (507,610)
160,200 0 0
252,565,078 (301,103) (650,328)
$279,274,733 $560,056 $2,545,624
- ------------------------------------------------------------------------------------
$ 5,897 $ -- $ 623
</TABLE>
201
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
Asset Allocation Master Portfolio
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 19,019,098 $ 14,061,443
Net realized gain (loss) on sale of
investments 38,140,198 253,539
Net realized gain on sale of futures
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments (1,289,497) 58,633,860
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 55,869,799 72,948,842
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTEREST
TRANSACTIONS (22,004,190) 31,401,295
INCREASE (DECREASE) IN NET ASSETS 33,865,609 104,350,137
NET ASSETS:
Beginning net assets $398,094,230 $293,744,093
ENDING NET ASSETS $431,959,839 $398,094,230
- ---------------------------------------------------------------------------
</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 Managed Series Investment Trust
Bond Index Master Portfolio Growth Stock Master Portfolio
------------------------------------ ------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- --------------------------------------------------------------------------
<S> <C> <C> <C>
$ 12,576,460 $ 8,954,048 $ (556,250) $ 70,926
152,739 3,231 15,318,008 14,846,540
0 0 0 0
(3,966,118) 4,901,229 (25,141,741) 30,335,380
0 0 0 0
8,763,081 13,858,508 (10,379,983) 45,252,846
60,741,955 29,957,480 44,671,564 36,564,808
69,505,036 43,815,988 34,291,581 81,817,654
$151,824,468 $108,008,480 $178,700,908 $ 96,883,254
$221,329,504 $151,824,468 $212,992,489 $178,700,908
- ------------------------------------------------------------------------------
</TABLE>
203
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
LifePath 2000 Master Portfolio
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 5,769,457 $ 3,939,926
Net realized gain (loss) on sale of investments 2,894,777 1,412,647
Net realized gain (loss) on sale of futures contracts 0 27,030
Net change in unrealized appreciation (depreciation)
of investments (273,099) 4,707,324
Net change in unrealized appreciation (depreciation)
of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 8,391,135 10,086,927
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS 6,204,037 44,956,678
INCREASE (DECREASE) IN NET ASSETS 14,595,172 55,043,605
NET ASSETS:
Beginning net assets $116,677,826 $ 61,634,221
ENDING NET ASSETS $131,272,998 $116,677,826
- -------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
204
<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
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- ------------------------------------------------------------------------
<S> <C> <C> <C>
$ 5,182,306 $ 2,698,472 $ 6,271,633 $ 3,734,343
3,439,818 1,041,589 9,487,619 2,814,112
0 67,639 0 65,955
5,149,907 8,805,216 11,374,656 18,004,995
0 0 0 0
13,772,031 12,612,916 27,133,908 24,619,405
54,517,689 39,123,950 61,750,732 55,695,812
68,289,720 51,736,866 88,884,640 80,315,217
$101,221,200 $ 49,484,334 $162,557,993 $ 82,242,776
$169,510,920 $101,221,200 $251,442,633 $162,557,993
- ----------------------------------------------------------------------------
</TABLE>
205
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
LifePath 2030 Master Portfolio
-----------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 3,210,760 $ 2,046,527
Net realized gain (loss) on sale of investments 5,108,662 2,515,159
Net realized gain (loss) on sale of futures contracts 0 47,954
Net change in unrealized appreciation (depreciation)
of investments 10,036,726 13,600,387
Net change in unrealized. appreciation (depreciation)
of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 18,356,148 18,210,027
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS 32,210,346 39,393,839
INCREASE (DECREASE) IN NET ASSETS 50,566,494 57,603,866
NET ASSETS:
Beginning net assets $108,238,339 $ 50,634,473
ENDING NET ASSETS $158,804,833 $108,238,339
- ------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
206
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
LifePath 2040 Master Portfolio
-----------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ------------------------------------
<S> <C>
$ 3,953,444 $ 2,303,138
14,697,190 4,521,411
35,620 169,434
17,501,172 22,384,421
92,625 (40,125)
36,280,051 29,338,279
45,783,771 80,123,105
82,063,822 109,461,384
$176,020,906 $ 66,559,522
$258,084,728 $176,020,906
- -----------------------------------------
</TABLE>
207
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
S&P 500 Index Master Portfolio
-----------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- --------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 26,709,655 $ 18,954,443
Net realized gain (loss) on sale of
investments 10,656,049 3,991,955
Net realized gain on sale of futures
contracts 12,210,399 14,859,148
Net change in unrealized appreciation
(depreciation) of investments 229,538,430 165,144,303
Net change in unrealized appreciation
(depreciation) of futures contracts 160,200 654,200
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 279,274,733 203,604,049
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTEREST
TRANSACTIONS 274,728,651 241,123,639
INCREASE (DECREASE) IN NET ASSETS 554,003,384 444,727,688
NET ASSETS:
Beginning net assets $ 930,333,062 $485,605,374
ENDING NET ASSETS $1,484,336,446 $930,333,062
- --------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
208
<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
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
$ 861,159 $ 886,294 $ 3,195,952 $ 3,497,541
(86,579) 215,150 (142,718) 1,744,912
0 0 0 0
(214,524) 87,131 (507,610) 691,856
0 0 0 0
560,056 1,188,575 2,545,624 5,934,309
(1,245,402) (1,727,529) (6,668,994) (11,140,176)
(685,346) (538,954) (4,123,370) (5,205,867)
$13,751,059 $14,290,013 $51,655,647 $56,861,514
$13,065,713 $13,751,059 $47,532,277 $51,655,647
- --------------------------------------------------------------------------------
</TABLE>
209
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 21, 1993 as a Delaware
business trust pursuant to an Agreement and Declaration of Trust dated May 14,
1993 and had no operations prior to May 26, 1994. MIP is currently authorized
to issue fourteen separate portfolios (the "Master Portfolios"), of which the
following have commenced operations: the 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.
These Master Portfolios invest in a range of securities, generally including
money market instruments, equities and U.S. government securities. The
following significant accounting policies are consistently followed by MIP in
the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting period.
Actual results could differ from those estimates.
SECURITY VALUATION
The 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.
210
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
dividend date, and interest income is recognized on a daily accrual basis.
Realized gains or losses are reported on the basis of identified cost of
securities delivered. Bond discounts and premiums are amortized as required by
the Internal Revenue Code (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 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 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
211
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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 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
February 28, 1997, the following Master Portfolios had open futures contracts
outstanding:
LIFEPATH 2040 MASTER PORTFOLIO
<TABLE>
<CAPTION>
Expiration Notional Contract Net Unrealized
Number of Contracts Type Date Value Appreciation
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
2 S&P 500 Index March 1997 $790,400 $52,500
</TABLE>
S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
Expiration Notional Contract Net Unrealized
Number of Contracts Type Date Value Appreciation
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
231 S&P 500 Index June 1997 $92,157,450 $814,400
</TABLE>
The LifePath 2040 and S&P 500 Index Master Portfolios have pledged to brokers
U.S. Treasury Bills for initial margin requirements with a par value of $29,952
and $5,855,557, respectively.
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
212
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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 February 28, 1997 by the Master
Portfolios are collateralized by U.S. Government Securities.
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.
Prior to October 21, 1996, Barclays Global Investors, N.A. ("BGI") served as
custodian to each of the Asset Allocation, Bond Index, LifePath 2000, LifePath
2010, LifePath 2020, LifePath 2030, LifePath 2040, S&P 500 Index and U.S.
Treasury Allocation Master Portfolios. BGI was not entitled to receive
compensation for its custodial services so long as BGFA was entitled to receive
fees for providing investment advisory services to the Master Portfolios.
Effective October 21, 1996, a new custody agreement was adopted pursuant to
which Investors Bank & Trust Company ("IBT") replaced BGI as 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 Master Portfolios, with the
exception of the LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030,
and LifePath 2040 Master Portfolios, for the year ended February 28, 1997.
Waived fees continue at the discretion of BGI.
Certain officers and directors of MIP are also officers of Stephens. As of
February 28, 1997, these officers of Stephens collectively owned less than 1%
of the Master Portfolios' outstanding beneficial interest.
213
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
ORGANIZATION EXPENSES
Stephens, the co-administrator, sponsor and distributor 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 twelve months ended February 28, 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 $241,183,779 $114,713,952 $143,805,287
Sales proceeds 59,337,453 66,957,368 114,891,342
OTHER SECURITIES:
Purchases at cost 35,441,657 23,661,676 12,340,570
Sales proceeds 123,617,623 1,966,536 14,644,207
<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 $117,676,864 $122,107,643 $ 38,149,610
Sales proceeds 68,912,344 70,168,689 16,559,885
OTHER SECURITIES:
Purchases at cost 45,189,919 75,547,736 50,588,878
Sales proceeds 29,422,445 55,684,993 38,027,275
<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 $ 40,373,298 $ 0 $104,489,281
Sales proceeds 16,040,414 0 77,277,070
OTHER SECURITIES:
Purchases at cost 106,431,656 325,082,752 0
Sales proceeds 83,819,734 43,272,144 0
</TABLE>
214
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
4. PORTFOLIO SECURITIES LOANED
As of February 28, 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 $36,553,764 $38,166,637
Bond Index Master Portfolio $21,946,856 $22,738,500
LifePath 2000 Master Portfolio $18,423,174 $18,978,114
LifePath 2010 Master Portfolio $22,681,569 $23,406,970
LifePath 2020 Master Portfolio $35,546,661 $36,720,692
LifePath 2030 Master Portfolio $21,842,237 $22,529,743
LifePath 2040 Master Portfolio $31,275,995 $32,439,449
S&P 500 Master Portfolio $37,627,169 $38,695,908
U.S. Treasury Allocation Master Portfolio $ 9,334,999 $ 9,675,625
</TABLE>
5. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
For the
Period from
May 26, 1994
For the For the (commencement
Year Ended Year Ended of operations) to
February 28, 1997 February 29, 1996 February 28, 1995
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Asset Allocation Master
Portfolio 43% 40% 23%
Bond Index Master
Portfolio 39% 21% 37%
LifePath 2000 Master
Portfolio 108% 84% 17%
LifePath 2010 Master
Portfolio 73% 39% 24%
LifePath 2020 Master
Portfolio 61% 49% 28%
LifePath 2030 Master
Portfolio 42% 39% 40%
LifePath 2040 Master
Portfolio 48% 29% 5%
S&P 500 Index Master
Portfolio 4% 2% 5%
U.S. Treasury Allocation
Master Portfolio 196% 325% 87%
</TABLE>
215
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
The average commission rates paid by the Master Portfolios are as follows:
<TABLE>
<CAPTION>
For the
Year Ended
February 28, 1997
- ----------------------------------------------------
<S> <C>
Asset Allocation Master Portfolio $0.0335
LifePath 2000 Master Portfolio 0.0401
LifePath 2010 Master Portfolio 0.0404
LifePath 2020 Master Portfolio 0.0451
LifePath 2030 Master Portfolio 0.0364
LifePath 2040 Master Portfolio 0.0351
S&P 500 Index Master Portfolio 0.0625
</TABLE>
216
<PAGE>
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
MASTER INVESTMENT PORTFOLIO:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of the Master Investment Portfolio
(comprising respectively, Asset Allocation Master Portfolio, Bond Index Master
Portfolio, LifePath 2000 Master Portfolio, LifePath 2010 Master Portfolio,
LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040
Master Portfolio, S&P 500 Index Master Portfolio, and U.S. Treasury Allocation
Master Portfolio) as of February 28, 1997, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the years in the two year period then ended, and the financial
highlights set forth in Note 5 for each of the years in the two year period
then ended. These financial statements and financial highlights are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. All periods indicated in Note 5 ending prior to March 1, 1995, were
audited by other auditors whose report dated April 20, 1995, expressed an
unqualified opinion on this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 28, 1997, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned master portfolios of Master Investment Portfolio as of
February 28, 1997, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated herein, except
as noted above, in conformity with generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 11, 1997
217
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Managed Series Investment Trust ("MSIT") is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
MSIT was organized as a Delaware business trust pursuant to an Agreement and
Declaration of Trust dated October 28, 1993. MSIT currently offers the
following separate portfolios (the "Master Portfolios"): the Growth Stock and
Short-Intermediate Term Master Portfolios.
These Master Portfolios invest in a range of securities, generally including
money market instruments, equities and U.S. government securities. The
following significant accounting policies are consistently followed by MSIT in
the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
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
218
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
the ex-dividend date, and interest income is recognized on a daily accrual
basis. Realized gains or losses are reported on the basis of identified cost of
securities delivered. Bond discounts and premiums are amortized as required by
the Internal Revenue Code (the "Code"').
FEDERAL INCOME TAXES
Each Master Portfolio 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 February 28, 1997 by the Master
Portfolios are collateralized by U.S. Government Securities.
219
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
ORGANIZATION EXPENSES
Stephens, the co-administrator, sponsor and distributor for the Master
Portfolios, has paid all expenses in connection with the Master Portfolios'
organization and initial registration.
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.
Prior to October 21, 1996, Barclays Global Investors, N.A. ("BGI") served as
custodian to each Master Portfolio. BGI was not entitled to receive
compensation for its custodial services to each Master Portfolio so long as
BGFA was entitled to receive fees for providing investment advisory services to
the Master Portfolio.
Effective October 21, 1996, a new custody agreement was adopted pursuant to
which Investors Bank & Trust Company ("IBT") replaced BGI as 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.
220
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the year ended February 28, 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 $4,251,920
Sales proceeds 0 5,798,652
OTHER SECURITIES:
Purchases at cost 328,318,601 3,560,270
Sales proceeds 276,627,602 2,336,558
</TABLE>
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
For the
Period from
May 26, 1994
For the For the (Commencement of
Year Ended Year Ended Operations) to
Master Portfolios February 28, 1997 February 29, 1996 February 28, 1995
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Growth Stock Master
Portfolio 129% 145% 93%
Short-Intermediate Term
Master Portfolio 62% 105% 96%
</TABLE>
The average commission rate paid by the Growth Stock Master Portfolio was
$0.0777 for the year ended February 28, 1997.
221
<PAGE>
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
MANAGED SERIES INVESTMENT TRUST:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Managed Series Investment Trust
(comprising respectively, Growth Stock Master Portfolio and Short-Intermediate
Term Master Portfolio) as of February 28, 1997, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the years in the two year period then ended, and the financial
highlights for each of the periods set forth in Note 4. These financial
statements and financial highlights are the responsibility of the Company's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 28, 1997, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned master portfolios of Managed Series Investment Trust as
of February 28, 1997, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated herein in
conformity with generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 11, 1997
222
<PAGE>
NOTES
-----
<PAGE>
MASTERWORKS FUNDS:
---------------------------------------------------------
. are NOT FDIC insured
. are NOT obligations of Barclays
Global Investors ("BGI") or Wells
Fargo Bank
. are NOT guaranteed by BGI or Wells
Fargo Bank LOGO
. involve investment risk, including
possible loss of principal
The MasterWorks Money Market Fund seeks
to maintain a stable net asset value of
$1.00 per share; however, there can be
no assurance that the Fund will meet
this objective. Yields will vary with
market conditions.
Barclays Global Fund Advisors ("BGFA") provides investment advisory services
for the MasterWorks Funds. Wells Fargo Bank provides shareholder services and
certain other services for the Funds. The Funds are sponsored and distributed
by Stephens Inc., Member NYSE/SIPC. BGFA is not affiliated with Stephens Inc.
The report and the financial statements contained herein are submitted for
the general information of the shareholders of the MasterWorks Funds. If this
report is used for promotional purposes, distribution of the report must be
accompanied or preceded by a current prospectus. For an additional prospectus
containing more complete information, including charges and expenses, call
1-800-776-0179. Read the prospectus carefully before you invest or send
money.
THE BOOKLET ALSO CONTAINS A PROSPECTUS SUPPLEMENT INSIDE THE BACK COVER AND
THE FACING PAGE THERETO.
MASTERWORKS FUNDS
c/o Wells Fargo Bank, N.A. BULK RATE
Transfer Agent U.S. POSTAGE
420 Montgomery PAID
San Francisco, CA 94163 PERMIT NO. 1
DATED MATERIAL HOUSTON TX
PLEASE EXPEDITE
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