<PAGE>
98
ANNUAL REPORT
February 28, 1998 Asset Allocation Fund
Bond Index Fund
Growth Stock Fund
LifePath 2000 Fund/R/
LifePath 2010 Fund/R/
LifePath 2020 Fund/R/
LifePath 2030 Fund/R/
LifePath 2040 Fund/R/
Money Market Fund
S&P 500 Stock Fund
Short-Intermediate Term Fund
US Treasury Allocation Fund
MASTERWORKS/R/ Funds
Advised by Barclays Global Fund Advisors
Sponsored and distributed by Stephens Inc.,
Member NYSE/SIPC
February 29, 1998 ANNUAL Report MASTERWORKS/R/ FUNDS
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders.................................................... 1
Masterworks(R) Market Overview............................................ 2
Managers Discussion and Analysis.......................................... 6
MASTERWORKS FUNDS INC.
Money Market Fund Portfolio of Investments............................... 24
Statement of Assets and Liabilities...................................... 26
Statement of Operations.................................................. 30
Statements of Changes in Net Assets...................................... 34
Financial Highlights..................................................... 42
Notes to the Financial Statements........................................ 51
Independent Auditors' Report............................................. 57
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES INVESTMENT TRUST PORTFOLIOS
OF INVESTMENTS
Asset Allocation Master Portfolio........................................ 59
Bond Index Master Portfolio.............................................. 79
Growth Stock Master Portfolio............................................ 83
LifePath Master Portfolios............................................... 90
S&P 500 Index Master Portfolio........................................... 172
Short-Intermediate Term Master Portfolio................................. 191
U.S. Treasury Allocation Master Portfolio................................ 193
MASTER INVESTMENT PORTFOLIO AND MANAGED SERIES
INVESTMENT TRUST
Statement of Assets and Liabilities...................................... 196
Statement of Operations.................................................. 200
Statements of Changes in Net Assets...................................... 204
Master Investment Portfolio Notes to the Financial Statements............ 212
Independent Auditors' Report............................................. 218
Managed Series Investment Trust Notes to the Financial Statements........ 219
Independent Auditors' Report............................................. 223
</TABLE>
<PAGE>
TO OUR SHAREHOLDERS
The year ended February 28, 1998, was another banner year for the domestic
equity markets and a year of strong returns for the bond markets. The rally
that began in 1991 for the equity markets is 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 experienced
several dips. The most significant was a one day decline of more than 6% in the
Standard & Poor's 500 Index in October of 1997. But by February of 1998, the
domestic markets were once again closing at record highs.
. The U.S. stock market again led the way, posting returns of historic
proportions. As measured by the Standard & Poor's 500 Index, the U.S.
stock market returned 34.99%.
. The U.S. money market, as measured by 91-day U.S. Treasury bills,
returned 5.53%.
. The U.S. bond market, as measured by the Lehman Brothers
Government/Corporate Bond Index, returned 10.71%.
. Foreign stock markets, as measured by the Morgan Stanley Capital
International Europe/Australasian/Far East Index (MSCI/EAFE), returned
15.23%.
As we close the book on a year marked by volatility, investors should
remember their long-term investment goals when making investment decisions.
While one sector may look more appealing than others due to recent performance,
it is important to remember that past performance is not a predictor of future
returns. As market conditions change, you should maintain your long-term
investment strategy if it continues to be appropriate. A hallmark of successful
investors is that they stay focused on their personal financial goals and do
not change investment strategies solely on the basis of short-term market
swings.
The MasterWorks(R) Funds were conceived and managed to be a straightforward,
cost-effective way for you, the individual investor, to meet your long-term
investment goals. We trust the Funds are fulfilling your expectations and will
continue to do so. We appreciate your confidence and look forward to continuing
to help you meet your investment goals.
MASTERWORKS(R) FAMILY OF FUNDS APRIL 1998
1
<PAGE>
MASTERWORKS(R) MARKET OVERVIEW: 12-MONTH PERIOD ENDING FEBRUARY 1998
U.S. EQUITY MARKETS
During the 12-month period ended February 28, 1998, the domestic stock market
continued its stellar performance, with the S&P 500 Index posting a total
return of 34.99% for the period. For the year ended December 31, 1997, the S&P
500 Index returned 33.36% and the Dow Jones Industrial Average rose by 22.64%.
These 1997 returns mark the first time that both the Dow and the S&P 500
achieved 20%-plus returns for three successive years. Once again, strong
economic growth, low inflation, and solid earnings growth drove these
impressive returns. This good news was tempered by two concerns that continue
to nag investors as they face 1998: whether there will be a spillover effect
from the economic crisis engulfing many Asian markets and whether the current
bull market can keep posting returns at these historic levels.
Buried within the strong 1997 performance figures, however, is a more
complicated and volatile story. Most of 1997's strong returns occurred in the
first seven months of the year. Starting in August, the market seemingly defied
explanation with occasional moderate rallies interrupted by bouts of panic
selling. In fact, the largest one-day point drop ever occurred on October 27
(the Dow dropping 554 points) in reaction to the crisis in the Asian securities
markets. But investors reacted favorably, seeing the October trough as a buying
opportunity and drove the market up 5.12% the day following the correction.
Valuation measures, which were already setting records in 1996, set new ones
in 1997. Corporate earnings rose by an estimated 13.6%, beating not only
analysts' expectations but also inflation, which was the biggest worry among
investors last year. Merger and acquisition activity also experienced a third
consecutive record year. The financial services sector has accounted for more
than 30% of all U.S. merger activity.
Continuing the trend of the last few years, a small group of large-cap stocks
led the equity market. The S&P Growth Index, which includes many of the large
brand-name companies that dominated the overall market, outperformed the S&P
Value Index, 36.54% versus 29.70%. But for the intermediate- and small-cap
sectors, value stocks generally outperformed growth stocks. This disparity,
especially during the second half of 1997, was primarily the result of earnings
disappointments among technology companies, which dominate the intermediate-
and small-growth sectors. The favorable interest rate environment encouraged
merger activity among regional banks and securities firms on the value side,
driving value and growth stocks further apart.
2
<PAGE>
The best-performing sectors in the S&P 500 Index were communications
services, telephone, and utilities. The worst-performing sectors were
technology and basic materials. Many investors clearly continue to expect
strong earnings growth. Stocks failing to meet earnings expectations were
severely punished, such as Oracle Corp., which posted December per share
earnings four cents less than originally estimated, and lost 29% off its
trading price in one day.
Given the market's historic gains over the last three years, it is no
surprise that many investors are uneasy about 1998. Though there are many
opinions on the probable outcome, the consensus is that volatility will
continue to be a factor for some time to come.
U.S. FIXED-INCOME MARKETS
For the 12-month period ended February 28, 1998, the U.S. bond market
continued to benefit from the economic backdrop of robust growth, low
unemployment, and low inflation. As a result, the Lehman Government/Corporate
Bond Index returned 10.71% for the period. This return is about the same as the
Index's average annual compounded return since its inception in 1976.
Long-term interest rates are now at their lowest levels since 1977, when the
U.S. began regular auctions of 30-year Treasury bonds. In addition, the yield
curve has flattened out significantly, with the three-month Treasury bill
rising from a yield of 5.22% to 5.34% and the 30-year Treasury Bond declining
from a yield of 6.80% to 5.92% over the 12-month period. This spread is at its
narrowest point since March of 1990. These lower long-term yields and a flatter
curve meant that long-term bonds outperformed bonds of shorter maturaties.
While the two-year Treasury note returned 7.01%, the 30-year Treasury bond had
a return of 18.42%.
The Federal Reserve Board adjusted monetary policy only once in 1997, raising
rates 0.25% to 5.50% in March and keeping short-term rates steady. This action
was seen as preemptive, sustaining the strongest growth rate possible while
maintaining low inflation.
Declining inflation continues to be favorable for U.S. bonds. The Consumer
Price Index (CPI) increased only 1.8%, the lowest increase since 1986. This
seeming paradox of low inflation in the midst of strong economic growth and low
unemployment can be partially attributed to higher productivity keeping unit
labor costs under control and easing pressure on employers' profit margins.
While Gross Domestic Product (GDP) growth has been robust, 1997 saw it trending
down from 4.9% in the first quarter to 3.7% in the final quarter. The deficit
has also been reduced to 1974 levels due to higher tax receipts
MASTERWORKS(R) MARKET OVERVIEW
3
<PAGE>
resulting from the strong economy. These factors have all come together to
create the most favorable economic landscape in many years.
In the investment grade U.S. bond market, the government, corporate and
mortgage-backed sectors provided nominal returns of 10.65%, 10.88% and 9.63%
respectively. On a duration-adjusted basis, corporate bonds underperformed
government bonds and mortgage-backed securities actually had the highest
returns. Within the corporate bond market, the worst-performing bonds were
Yankee (U.S. dollar denominated) bonds from issuers in South Korea, Thailand,
and Indonesia. Heavy debt burdens and dramatic currency devaluations resulted
in downgraded credit ratings. Within the space of four weeks between November
and December, South Korean bonds fell from a rating of A3/A- to Ba1/B+. All
three countries' bonds are now rated at junk status.
Looking ahead, the bond market's consensus is that the Asian turmoil should
be beneficial to the U.S. economy in two respects. First, it may help
decelerate U.S. growth, since U.S. exports to Asian countries are expected to
decline. Second, weaker Asian currencies will cause Asian exporters to maintain
low prices on goods they sell to U.S. consumers. These two factors are expected
to heighten competition among U.S. producers and lessen inflationary pressures.
In fact, possible deflationary pressures may lead the Fed to ease rates in the
near future. The U.S. economy is in a strong economic position, but with an
unfolding Asian crisis and unease about the future of U.S. stocks, it remains
to be seen what 1998 holds for investors.
INTERNATIONAL EQUITY MARKETS
The overwhelming story in international equities for 1997 was the economic
crisis in Asia. But while the stocks and bonds of Southeast Asia suffered
significantly, many developed European stock markets actually hit record highs
in 1997 and offset the dismal performance of Asian markets. Developed non-U.S.
equity markets returned 1.78% for the year according to the MSCI/EAFE Index.
Emerging markets fared poorly, posting a decline of 14.85% for 1997 according
to the IFC Investable Composite Total Return Index. Best performers in this
group include Turkey, Russia, Hungary, Mexico, Portugal, and Greece, while
worst performers include Thailand, Indonesia, Malaysia, Korea, and the
Philippines.
Driven by plunging currencies, slowing economies, and overwhelming debt, the
Asian economic crisis was most clearly
4
<PAGE>
manifested in the returns of these five emerging Asian countries. However,
Japan was certainly not immune to the Asian "flu" with decreased exports as
well as an anemic domestic demand resulting from April's increased sales tax,
Japan's equity market dropped 23.67% for the year. Coupled with a 12% annual
gain of the dollar against the yen at Y130.03, Japan progressed into a position
of economic weakness. Several major Japanese financial institutions closed,
including Yamaichi, Japan's fourth-largest brokerage firm.
Developed European markets posted positive returns in 1997 of 23.8%, with
strongest performances coming from Switzerland, Italy and Denmark. Many
European countries have trimmed budgets and taken other actions in order to
comply with Maastricht guidelines, in an attempt to strengthen their economies.
The UK also turned in a strong performance, reacting favorably to the newly
elected Labour government's decision to allow the Bank of England to set
monetary policy. Germany's high returns were driven by signs of economic growth
and increased export earnings due to a weaker Deutschemark. The first addition
to MSCI/EAFE, since Ireland in 1993, occurred in 1997 as Portugal was
reclassified as a developed market in anticipation of its participation in next
year's European Monetary Union. Portugal's market gained 47.77%.
The IFCI Europe/Middle East/Africa region delivered a healthy 12.43% gain on
equity for the year, with Turkey returning a phenomenal 117.08%, making it the
worlds top-performing country. Russia, included since November in the IFCI
Composite Index, gained 112.15% primarily due to economic reforms and the sale
of state-owned assets. Israel, added to the Index last year, gained 24.25%.
Strong earnings growth gave Hungary a return of 61.81%, and Greece finished at
37.73%, despite a negative final quarter.
IFCI Latin America gained 29.27% for the year, even though its markets were
down for the final quarter. Mexico led the region with an impressive gain of
51.58%, as investors reacted to an improving export picture. Columbia and
Venezuela returned 34.45% and 27.19%, respectively. Brazil started the year out
strong but lost some ground in the second half of the year due to concerns over
the strength of its currency. However, Brazil still gained 25.79% on the year.
The MSCI All-Country World Index (ACWI) Free ex-U.S., an international
benchmark integrating developed and emerging equity markets, returned 21.51% in
1997, outperforming both the EAFE and the IFCI Composite indices.
MASTERWORKS(R) MARKET OVERVIEW
5
<PAGE>
ASSET ALLOCATION FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/98 Total Return
- --------------------------------------------------------------
One Year 27.10%
Life of Fund (7/2/93-2/28/98) 15.13%
</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 per share net asset value (NAV) grew from $12.12 on February 28,
1997, to $13.50 on February 28, 1998, and cumulative dividends from Net
Investment Income for the period (3/1/97-2/28/98) were approximately $0.44 per
share. Of course, past performance is no indication of future results.
While long-term bonds underperformed relative to the outstanding performance of
the equity sector during the year their absolute returns were quite strong.
Long-term bonds posted a respectable 18.70% return for the 12-month period
ended February 28, 1998. Over the same period, the U.S. stock market, as
measured by the S&P 500 Index, posted a total return of 34.99%. The Fund went
through several rebalances over the year, starting with a 40/60/0
(stocks/bonds/cash) mix through May 30, 1997, and ending the period with a
70/30/0 mix. The Fund took advantage of strong performance in both the equity
and bond markets, but as the spread between equity and bond returns increased,
the Fund's trend was to increase its weight in equities. The Fund finished the
year heavier in equities to take advantage of a record-breaking stock market.
The Fund's rebalances are driven primarily by yield spreads between the equity
and bond sectors. Both equity and bond yields continued to rise in the first
part of the fiscal year, but by the end of the year, equity yield measures
showed greater strength. In the five months from March to July, the Fund was
overweighted in bonds to varying degrees. Starting in July, the Fund started a
gradual move from an overweight position in bonds to a neutral position in
November and an overweighted position in equities starting in December. This
rebalance allowed the Fund to take advantage of a 10% return in the equity
sector.
Even with the S&P 500's performance over the past three years, investors must
remember that past performance is no indication of
6
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
ASSET ALLOCATION FUND (CONTINUED)
future returns. The Fund provides a diversified investment vehicle across asset
classes and is designed to help investors take advantage of strong risk
adjusted performances across asset classes while preserving the fundamental
tenant of diversification. The Asset Allocation model used to manage the Fund's
assets uses extensive financial data to constantly monitor expected levels of
risk and return across asset classes in order to determine an optimal asset
mix.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
ASSET ALLOCATION S&P 500 INDEX LIPPER BALANCED
- ------------------------------------------------------------
<S> <C> <C> <C>
10,000 10,000.00 10,000.00
SEP-93 10,467 10,258.00 10,366.00
DEC-93 10,543 10,494.96 10,477.95
MAR-94 10,111 10,096.15 10,158.38
JUN-94 9,953 10,138.56 10,081.17
SEP-94 10,138 10,634.33 10,376.55
DEC-94 10,264 10,632.20 10,263.45
MAR-95 11,047 11,667.78 10,883.36
JUN-95 12,055 12,782.05 11,645.19
SEP-95 12,610 13,798.23 12,270.54
DEC-95 13,258 14,628.88 12,819.03
MAR-96 13,441 15,414.45 13,106.18
JUN-96 13,726 16,106.56 13,372.23
SEP-96 13,944 16,604.25 13,722.59
DEC-96 14,828 17,989.05 14,486.94
MAR-97 14,660 18,471.15 14,550.68
JUN-97 16,206 21,696.22 16,109.06
SEP-97 17,266 23,321.26 17,143.26
DEC-97 18,136 23,990.58 17,391.83
FEB-98 19,285 26,005.79 18,209.25
</TABLE>
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 Barclays Global Fund
Advisors (BGFA).
7
<PAGE>
BOND INDEX FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/98 Total Return
- -----------------------------------------------
One Year 10.36%
Life of Fund (7/2/93-2/28/98) 6.20%
</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 per share net asset value (NAV), grew from $9.43 on February 28,
1997, to $9.73 on February 28, 1998, and cumulative dividends from Net
Investment Income for the period (3/1/97-2/28/98) were approximately $0.64 per
share. Of course, past performance is no indication of future results.
The Fund underperformed the Lehman Brothers Government/Corporate Bond Index by
0.35%. The main factor contributing to the tracking variance is Fund operating
expenses. Other slight variances are due to portfolio sampling, in which
portfolio managers approximate the Index using different referencing factors
such as maturity, sector breakdowns, quality ratings and duration against the
benchmark and pricing differences that occur because of varying pricing
methodologies among pricing sources.
The year, starting in March 1997, began with a much-anticipated change in U.S.
monetary policy. The Federal Reserve Board, after hinting at a rate hike for
several months, finally raised the federal funds rate by 0.25% to 5.5% on March
25, 1997. This preemptive action was taken in order to slow the rate of
economic growth and relieve inflationary pressures. This move was the only rate
hike made by the Federal Reserve Board during the year ending February 28,
1998. Overall, 1997 saw a flattening of the yield curve, with increased yields
on three-month Treasury bills and decreased yields on the 30-year Treasury
bonds.
The U.S. bond market continued to benefit from low inflation, a vigilant
Federal Reserve Board, a reduced federal deficit, and a flight to quality
caused by turmoil in Asia. The performance of the bond market was one of the
best in years, with the Lehman Brothers Government/ Corporate Bond Index
returning 10.71% for the year ending February 28, 1998. As
8
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
BOND INDEX FUND (CONTINUED)
long as the economy remains strong with low inflation, the bond market is
expected to continue to post strong performance. Any rumors of inflation,
especially after strong economic growth indicators, will cause a negative
reaction in the bond market.
If interest rates rise, the price of existing bonds in the Fund will fall.
Coupon 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 held by the Fund.
Looking ahead to the next year, the semi-annual report to Congress of Federal
Reserve Chairman Alan Greenspan is a good place to start. In late February
1998, the Chairman noted that the U.S. economy has considerable momentum, and
that the labor market remains tight. It is his belief that the financial tur-
moil in Asia will eventually cause the U.S. economy to slow, but that the tim-
ing and magnitude of the impact are unclear. Those expecting a rate cut were
disappointed by his wait-and-see approach. It remains to be seen just what the
next year will hold.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LEHMAN BROTHERS S&P 500 INDEX
- ---------------------------------------------
<S> <C> <C>
10,000.00 10,000
SEP-93 10,332.00 10,281
DEC-93 10,302.04 10,230
MAR-94 9,977.52 9,937
JUN-94 9,853.80 9,776
SEP-94 9,903.07 9,820
DEC-94 9,939.71 9,846
MAR-95 10,434.71 10,326
JUN-95 11,110.88 10,998
SEP-95 11,323.10 11,186
DEC-95 11,850.75 11,696
MAR-96 11,573.45 11,397
JUN-96 11,627.84 11,432
SEP-96 11,832.49 11,626
DEC-96 12,194.56 11,945
MAR-97 12,095.79 11,848
JUN-97 12,515.51 12,269
SEP-97 12,934.78 12,691
DEC-97 13,364.22 13,112
FEB-98 13,527.26 13,238
</TABLE>
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 Barclays Global Fund
Advisors (BGFA).
9
<PAGE>
GROWTH STOCK FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/98 Total Return
- --------------------------------------------------
One Year 21.61%
Life of Fund (7/2/93-2/28/98) 16.20%
</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.
The Fund's per share net asset value (NAV) grew from $14.07 at February 28,
1997, to $15.74 by February 28, 1998. Of course, past performance is no
guarantee of future results.
For the year from March 1, 1997 through February 28, 1998, the stock market had
another very strong year. As measured by the S&P 500 Index, the equity market
had a total return of 34.99% during this period. The market was fueled in part
by the performance of large cap stocks. Small cap indexes, such as the Russell
2000, which returned 22.36% for the period, did less well by comparison to
large cap indexes such as the S&P 500 Index.
In 1997 financial stocks posted the best sector return as lower interest rates
and industry consolidation buoyed prices for bank, insurance and credit card
companies. Healthcare stocks rose as investors sought their consistent
dividends. Basic materials and energy stocks underperformed expectations due to
weak commodity prices and deflation fears spawned by the Asian crisis. High
tech stocks also suffered in the face of concerns about the Asian crisis. By
early 1998, lower interest rates kept large financial services companies on the
leading edge of the market's rise, followed by health care companies. Consumer
and other "cyclical" stocks out-performed the overall S&P 500, as did
transportation stocks on falling energy costs. By contrast, high tech stocks
lagged the benchmark S&P 500 on new Asian worries, despite upbeat earnings
reports from a few key firms.
The Fund increased its investment in Bank & Finance over the past few months,
from 13% to 18% of its portfolio. The Fund also invested significantly in
capital goods and manufacturing, both with solid market shares and strong
earnings history. Increased exposure to retail issues took advantage of
increased consumer spending. In the uncertainty following the Asian
10
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
GROWTH STOCK FUND (CONTINUED)
crisis, the Fund increased its cash holding, often in the form of repurchase
agreements.
This year, it is expected that there will be a natural slowing of the nearly
seven-year long economic expansion, and overall growth is expected to be less
than in recent years. The Fund made new investments in communications equipment
manufacturing and will de-emphasize energy because the price outlook is weak.
With the uncertainty in Asia, the Fund will look for large cap companies with
secure market positions and solid management that we expect to maintain solid
growth rates. If earnings reports in 1998 demonstrate that the Asian markets
have not overly affected U.S. corporate growth, the growth sector should
rebound.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S&P 500 INDEX NASDAQ INDEX GROWTH STOCK
- ----------------------------------------------------------------------
<S> <C> <C> <C>
10,000.00 10,000.00 10,000
SEP-93 10,258.00 10,836.00 11,050
DEC-93 10,494.96 11,035.38 11,340
MAR-94 10,096.15 10,561.96 10,814
JUN-94 10,138.56 10,029.64 10,320
SEP-94 10,634.33 10,858.09 11,329
DEC-94 10,632.20 10,683.27 11,632
MAR-95 11,667.78 11,610.58 12,560
JUN-95 12,782.05 13,261.61 14,541
SEP-95 13,798.23 14,825.15 16,470
DEC-95 14,628.88 14,946.72 16,080
MAR-96 15,414.45 15,646.22 17,194
JUN-96 16,106.56 16,833.77 18,830
SEP-96 16,604.25 17,429.69 18,725
DEC-96 17,989.05 18,341.26 18,024
MAR-97 18,471.15 17,356.33 15,130
JUN-97 21,696.22 20,487.07 17,777
SEP-97 23,321.26 23,948.12 20,530
DEC-97 23,990.58 22,309.51 18,685
FEB-98 26,005.79 25,153.13 20,130
</TABLE>
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 Barclays Global Fund
Advisors (BGFA) and sub-advised by Wells Fargo Bank, N.A.
11
<PAGE>
LIFEPATH ANNUAL COMMENTARY
Average Annual
PERFORMANCE AS OF 2/28/98 Total Return
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Life of Fund Approximate
(3/1/94- Dividends
Fund One Year 2/28/98) Per Share
---- -------- ------------ -----------
<S> <C> <C> <C>
LifePath 2000 12.32% 8.63% $.46
LifePath 2010 18.73% 13.30% $.40
LifePath 2020 24.25% 16.45% $.33
LifePath 2030 28.22% 18.84% $.26
LifePath 2040 30.95% 21.15% $.19
</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.
The LifePath Funds employ both strategic and tactical asset allocation
techniques to manage their portfolio investments. 75% of the Fund's total asset
allocation is strategic in nature, and focuses on the Fund's long-term
investment allocation. The strategic allocation is determined by the tradeoff
between expected returns and risks for each asset class based on the time
horizon of the Fund. As each Fund nears its target date, the allocation becomes
more conservative, shifting to less risky assets such as shorter-duration fixed
income and money market instruments. Short-term volatility in the markets has
only a small effect on a Fund's long-term strategic allocation. The progression
to less risky assets is a continuous, process resulting in only minor monthly
changes to the asset allocation. Forty years from now, the strategic allocation
of LifePath 2040 Fund will look very similar to the strategic allocation of
today's LifePath 2000 Fund.
Tactical allocation techniques are used to make up the remaining 25% of each
Fund's entire investment allocation. This method attempts to take advantage of
shorter-term market conditions by shifting Fund investments into assets that
appear undervalued on a risk-adjusted basis. The Funds use two types of
tactical allocations. The more conservative tactical approach of shifting from
long duration bonds to short duration
12
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
LIFEPATH ANNUAL COMMENTARY (CONTINUED)
bonds and cash plays a larger role in the LifePath 2000 Fund than in the other
Funds. The LifePath 2040 Fund, for example, makes more use of the second, and
more aggressive tactical allocation which shifts assets between stocks, bonds
and cash.
The allocations of the Funds at the start of the period were as follows:
<TABLE>
<CAPTION>
U.S. International U.S. Money
Fund Equity Equity Bonds Market
---- ------ ------------- ----- ------
<S> <C> <C> <C> <C>
LifePath 2000 14% 7% 75% 4%
LifePath 2010 35% 11% 51% 3%
LifePath 2020 48% 15% 35% 2%
LifePath 2030 58% 18% 23% 1%
LifePath 2040 70% 19% 10% 1%
</TABLE>
In a period of strong equity returns, the Funds performed as expected. The
higher-risk, equity-dominated Funds had higher returns than the Funds nearer
their target dates. Nonetheless, the bond rally of the latter half of 1997
provided the shorter-term Funds with strong positive returns. Tactically, the
Funds began the period underweighted to equities, relative to bonds, after 1996
saw stocks outperform bonds by 24%. As the bond market rallied and yields fell
in 1997, the Funds made tactical shifts to increase the equity exposure that
was becoming increasingly attractive on a relative basis. Similarly, the long
bond yields fell from 6.7% to 5.8%. As the spread between bond and cash yields
tightened, cash and short-duration fixed income instruments became more
attractive than the long-duration bonds. The net result of these conditions was
an increase in each fund's equity exposure, and a move from long-duration bonds
to short-duration bonds and money market instruments. By the end of the period,
the Funds' allocations were the following:
<TABLE>
<CAPTION>
U.S. International U.S. Money
Fund Equity Equity Bonds Market
---- ------ ------------- ----- ------
<S> <C> <C> <C> <C>
LifePath 2000 19% 5% 51% 25%
LifePath 2010 38% 10% 42% 10%
LifePath 2020 55% 15% 25% 5%
LifePath 2030 66% 19% 12% 3%
LifePath 2040 80% 20% 0% 0%
</TABLE>
A significant event in 1997 was the Southeast Asian currency crisis which
caused large losses in the Pan-Asian markets. However, this event had little
effect on the LifePath Funds. Though the international exposure is as much as
20% of the entire allocation in any one Fund, there are only minor investments
in SouthEast Asia. In fact, as the Pan-Asian markets tumbled in
13
<PAGE>
LIFEPATH ANNUAL COMMENTARY (CONTINUED)
the last three months of 1997, the LifePath Funds all posted positive returns
because of high exposure to the strong U.S. equity market.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LIPPER BALANCED S&P 500 INDEX LIFEPATH 2000
- ----------------------------------------------------------
<S> <C> <C> <C>
10,000.00 10,000.00 10,000
MAR-94 9,637.00 9,564.00 9,855
JUN-94 9,563.76 9,604.17 9,765
SEP-94 9,843.98 10,073.81 9,878
DEC-94 9,736.68 10,071.80 9,825
MAR-95 10,324.77 11,052.79 10,330
JUN-95 11,047.51 12,108.33 10,881
SEP-95 11,640.76 13,070.94 11,180
DEC-95 12,161.10 13,857.82 11,533
MAR-96 12,433.51 14,601.98 11,565
JUN-96 12,685.91 15,257.61 11,674
SEP-96 13,018.28 15,729.07 11,891
DEC-96 13,743.40 17,040.87 12,263
MAR-97 13,803.87 17,497.57 12,246
JUN-97 15,282.26 20,552.65 12,925
SEP-97 16,263.38 22,092.04 13,375
DEC-97 16,499.20 22,726.08 13,577
FEB-98 17,274.67 24,635.07 13,926
</TABLE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LIPPER BALANCED S&P 500 INDEX LIFEPATH 2010
- ---------------------------------------------------------
<S> <C> <C> <C>
10,000.00 10,000.00 10,000
MAR-94 9,637.00 9,564.00 9,838
JUN-94 9,563.76 9,604.17 9,760
SEP-94 9,843.98 10,073.81 9,900
DEC-94 9,736.68 10,071.80 9,847
MAR-95 10,324.77 11,052.79 10.520
JUN-95 11,047.51 12,108.33 11,257
SEP-95 11,640.76 13,070.94 11,738
DEC-95 12,161.10 13,857.82 12,209
MAR-96 12,433.51 14,601.98 12,424
JUN-96 12,685.91 15,257.61 12,668
SEP-96 13,018.28 15,729.07 12,928
DEC-96 13,743.40 17,040.87 13,520
MAR-97 13,803.87 17,497.57 13,602
JUN-97 15,282.26 20,552.65 14,879
SEP-97 16,263.38 22,092.04 15,528
DEC-97 16,499.20 22,726.08 15,765
FEB-98 17,274.67 24,635.07 16,476
</TABLE>
14
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
LIFEPATH ANNUAL COMMENTARY (CONTINUED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LIPPER BALANCED S&P 500 INDEX LIFEPATH 2020
- ----------------------------------------------------------
<S> <C> <C> <C>
10,000.00 10,000.00 10,000
MAR-94 9,637.00 9,564.00 9,810
JUN-94 9,563.76 9,604.17 9,752
SEP-94 9,843.98 10,073.81 9,916
DEC-94 9,736.68 10,071.80 9,874
MAR-95 10,324.77 11,052.79 10,636
JUN-95 11,047.51 12,108.33 11,472
SEP-95 11,640.76 13,070.94 12,057
DEC-95 12,161.10 13,857.82 12,590
MAR-96 12,433.51 14,601.98 12,909
JUN-96 12,685.91 15,257.61 13,234
SEP-96 13,018.28 15,729.07 13,521
DEC-96 13,743.40 17,040.87 14,298
MAR-97 13,803.87 17,497.57 14,408
JUN-97 15,282.26 20,552.65 16,167
SEP-97 16,263.38 22,092.04 17,056
DEC-97 16,499.20 22,726.08 17,331
FEB-98 17,274.67 24,635.07 18,383
</TABLE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LIPPER BALANCED S&P 500 INDEX LIFEPATH 2030
- ---------------------------------------------------------
<S> <C> <C> <C>
10,000.00 10,000.00 10,000
MAR-94 9,637.00 9,564.00 9,711
JUN-94 9,563.76 9,604.17 9,610
SEP-94 9,843.98 10,073.81 9,878
DEC-94 9,736.68 10,071.80 9,857
MAR-95 10,324.77 11,052.79 10,682
JUN-95 11,047.51 12,108.33 11,637
SEP-95 11,640.76 13,070.94 12,300
DEC-95 12,161.10 13,857.82 12,928
MAR-96 12,433.51 14,601.98 13,305
JUN-96 12,685.91 15,257.61 13,710
SEP-96 13,018.28 15,729.07 14,025
DEC-96 13,743.40 17,040.87 14,946
MAR-97 13,803.87 17,497.57 15,080
JUN-97 15,282.26 20,552.65 17,220
SEP-97 16,263.38 22,092.04 18,284
DEC-97 16,499.20 22,726.08 18,608
FEB-98 17,274.67 24,635.07 19,938
</TABLE>
15
<PAGE>
LIFEPATH ANNUAL COMMENTARY (CONTINUED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LIPPER BALANCED S&P 500 INDEX LIFEPATH 2040
- ----------------------------------------------------------
<S> <C> <C> <C>
10,000.00 10,000.00 10,000
MAR-94 9,637.00 9,564.00 9,652
JUN-94 9,563.76 9,604.17 9,621
SEP-94 9,843.98 10,073.81 9,977
DEC-94 9,736.68 10,071.80 9,955
MAR-95 10,324.77 11,052.79 10,829
JUN-95 11,047.51 12,108.33 11,799
SEP-95 11,640.76 13,070.94 12,564
DEC-95 12,161.10 13,857.82 13,194
MAR-96 12,433.51 14,601.98 13,739
JUN-96 12,685.91 15,257.61 14,287
SEP-96 13,018.28 15,729.07 14,640
DEC-96 13,743.40 17,040.87 15,655
MAR-97 13,803.87 17,497.57 15,892
JUN-97 15,282.26 20,552.65 18,472
SEP-97 16,263.38 22,092.04 19,645
DEC-97 16,499.20 22,726.08 19,859
FEB-98 17,274.67 24,635.07 21,534
</TABLE>
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 Barclays Global Fund
Advisors (BGFA).
16
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
S&P 500 STOCK FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/98 Total Return
- ---------------------------------------------------------------
One Year 34.62%
Life of Fund (7/2/93-2/28/98) 22.56%
</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 total return for the S&P 500 Index was 34.99% over the period of 3/1/97-
2/28/98. The Fund's per share net asset value (NAV) grew from $17.03 at
February 28, 1997, to $22.08 by February 28, 1998, and the Fund paid a
cumulative dividend from Net Investment Income of approximately $0.33 per share
in dividends for the period (3/1/97--2/28/98). Of course, past performance is
no guarantee of future results.
The S&P 500 Stock Fund underperformed its benchmark, the S&P 500 Index, by
0.37%. The primary cause of this tracking variance is Fund operating expenses.
Other slight variances are due to excess cash held in the Fund in order to meet
redemptions.
The current rally in the U.S. stock market, which started in 1991, is one of
the longest rallies ever recorded. While volatility was a factor during the
last year, with the market losing about 10% during the month of October 1997,
the market continued to close at record highs through the month of February
1998. This strong performance was driven by large cap stocks, continuing last
year's trend. The 1997 stock market was driven mostly by unexpectedly high
increases in corporate earnings, which rose an estimated 13.6%, beating both
inflation and analysts' expectations.
The five-year annualized total return of the S&P 500 Index for the period
ending February 28, 1997 was 21.77%. The consensus in the market is that 1998
will be a year of continued but slower growth. Based on Alan Greenspan's semi-
annual economic report to Congress in late February 1998, the economy is
expected to experience an eventual slowdown due to the ongoing economic turmoil
in Asia.
17
<PAGE>
S&P 500 STOCK FUND (CONTINUED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S&P 500 INDEX S&P 500 STOCK
- ---------------------------------------------
<S> <C> <C>
10,000.00 10,000
SEP-93 10,258.00 10,347
DEC-93 10,494.96 10,569
MAR-94 10,096.15 10,179
JUN-94 10,138.56 10,180
SEP-94 10,634.33 10,652
DEC-94 10,632.20 10,652
MAR-95 11,667.78 11,676
JUN-95 12,782.05 12,782
SEP-95 13,798.23 13,794
DEC-95 14,628.88 14,609
MAR-96 15,414.45 15,398
JUN-96 16,106.56 16,076
SEP-96 16,604.25 16,553
DEC-96 17,989.05 17,914
MAR-97 18,471.15 18,384
JUN-97 21,696.22 21,576
SEP-97 23,321.26 23,177
DEC-97 23,990.58 23,838
FEB-98 26,005.79 25,814
</TABLE>
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 Barclays Global Fund
Advisors (BGFA).
18
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
SHORT-INTERMEDIATE TERM FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/98 Total Return
- -------------------------------------------------------------
One Year 8.51%
Life of Fund (7/2/93-2/28/98) 5.34%
</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 per share net asset value (NAV), grew from $9.19 on February 28,
1997, to $9.35 on February 28, 1998, and cumulative dividends from Net
Investment Income for the same period were approximately $0.60 per share. Of
course, past performance is no indication of future results.
There was considerable uncertainty regarding interest rates early in the
period. The bond market slumped in the first quarter of 1997 on inflation
fears, prompting the Federal Reserve to tighten monetary policy with a 0.25%
increase in the federal funds target rate. The markets absorbed this news at
the beginning of the reporting period and gradually yields began to fall for
the benchmark 30-year Treasury bond and the yield curve, which measures the
spread in yields between short-term and long-term instruments, began to
flatten.
The Fund decreased its allocations to Treasury securities and cash, and
increased its allocations to corporate and U.S. Government agency obligations.
The year ended with a corporate allocation of about 46% and an investment in
Treasury notes of about 31%, with the balance in agencies and mortgage-backed
securities. The Fund's exposure to corporate bonds is expected to range from
about 35% to 50%.
The difference in yields between government and corporate bonds is very narrow
by historical standards and narrowed gradually from April 1997 through the end
of February 1998. The Fund emphasized high-quality corporate debt in an effort
to gain better yield. With the spread between government and corporate bonds so
narrow and the interest rate outlook so stable, we believe there is currently
no particular advantage to remaining in Treasury securities.
Attractive U.S. interest rates and continued uncertainty in Asia could attract
foreign investors in search of stability. In addition, Asian uncertainty has
encouraged U.S. investors to invest domestically. Treasury securities, however,
have not enjoyed as much benefit from
19
<PAGE>
SHORT-INTERMEDIATE TERM FUND (CONTINUED)
Asian flight as had been hoped. Net foreign investments into Treasury
securities were lower in the fourth quarter of 1997 than in the third. As the
Asian crisis deepens, there may be increased demand for Treasury issues.
Looking forward, we expect interest rates to move lower as inflation fears
recede, and we may even see the Federal Reserve easing policy later in the
year. Import- and producer-price deflation continues to point toward lower
Consumer Price Index inflation in coming months. Declines of 0.3% in February
import prices and 0.1% in producer prices left them 3.3% and 1.6%,
respectively, below their levels of one year ago. Consumer-price inflation
still is expected to dip to or below 1% later this year.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LEHMAN BROTHERS INTERMEDIATE SHORT-INTERMEDIATE
GOVERNMENT/CORPORATE BOND INDEX TERM FUND
- ------------------------------------------------------------------------
<S> <C> <C>
10,000.00 10,000
SEP-93 10,331.00 10,224
DEC-93 10,301.04 10,197
MAR-94 9,978.62 9,946
JUN-94 9,854.88 9,861
SEP-94 9,903.17 9,923
DEC-94 9,939.81 9,908
MAR-95 10,434.82 10,295
JUN-95 11,112.04 10,806
SEP-95 11,324.28 10,972
DEC-95 11,851.99 11,349
MAR-96 11,574.65 11,180
JUN-96 11,629.05 11,218
SEP-96 11,833.72 11,404
DEC-96 12,195.83 11,680
MAR-97 12,182.42 11,682
JUN-97 12,541.80 12,022
SEP-97 12,880.43 12,331
DEC-97 13,156.07 12,618
FEB-98 13,317.89 12,746
</TABLE>
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 Barclays Global Fund
Advisors (BGFA) and sub-advised by Wells Fargo Bank, N.A.
20
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
U.S. TREASURY ALLOCATION FUND
<TABLE>
<S> <C>
Average Annual
PERFORMANCE AS OF 2/28/98 Total Return
- ---------------------------------------------------------------
One Year 8.18%
Life of Fund (7/2/93-2/28/98) 5.43%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Past performance is not predictive of future results. The investment return and
principal value of shares of the Fund will fluctuate with market conditions so
that shares of the Fund, when redeemed, may be worth more or less than their
original cost.
The Fund's per share net asset value (NAV) grew from $9.24 on February 28,
1997, to $9.40 on February 28, 1998, and cumulative dividends from Net
Investment Income for the period (3/1/97-2/28/98) was approximately $0.55 per
share. Of course, past performance is no indication of future results.
Recently, the yield curve flattened significantly, with long-term interest
rates now at their lowest levels since 1977. The interest rate decreases have
helped increase the price and the market value of the Fund's portfolio
investments. These factors contributed to the Fund's strong return for the
year.
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 rather steadily
out of the intermediate note sector and into the short-term money-market
sector, with a 10% bond allocation being purchased this year.
The composition of the Fund's portfolio changed from a 0/80/20
(bonds/notes/bills) allocation at the beginning of the period to 17/14/69 as a
result of the general flattening of the yield curve. We will continue to
evaluate economic conditions and market opportunities on a daily basis, and
will make changes to the Fund's allocation accordingly.
While 1997 saw a flattening of the yield curve, a downward movement was seen
across all maturities in early 1998, with more movement in intermediate-term
interest rates, which lost close to 14 basis points (0.14%). In February of
1998, Federal Reserve Chairman Alan Greenspan delivered his semi-annual report
to Congress, and noted that the U.S. economy had considerable momentum and that
the labor market remained tight. Significant economic fallout from the
financial turmoil in Asia has yet to be seen in U.S. domestic markets.
Investors
21
<PAGE>
U.S. TREASURY ALLOCATION FUND (CONTINUED)
hoping for an interest rate cut were disappointed by the Chairman's wait and
see approach. The Fed's last move was a short-term rate hike of 0.25% in March
1997, raising the rate to the current target of 5.50%.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LEHMAN BROTHERS U.S. TREASURY ALLOCATION
- ----------------------------------------------------------------
<S> <C> <C>
10,000.00 10,000
SEP-93 10,332.00 10,601
DEC-93 10,302.04 10,507
MAR-94 9,977.52 10,020
JUN-94 9,853.80 9,843
SEP-94 9,903.07 9,867
DEC-94 9,939.71 9,841
MAR-95 10,434.71 10,338
JUN-95 11,110.88 10,866
SEP-95 11,323.10 11,038
DEC-95 11,850.75 11,359
MAR-96 11,573.45 11,248
JUN-96 11,627.84 11,266
SEP-96 11,832.49 11,479
DEC-96 12,194.56 11,792
MAR-97 12,095.79 11,678
JUN-97 12,515.51 12,088
SEP-97 12,934.78 12,415
DEC-97 13,364.22 12,670
FEB-98 13,527.26 12,798
</TABLE>
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 Barclays Global Fund
Advisors (BGFA).
22
<PAGE>
MANAGERS DISCUSSION AND ANALYSIS
MONEY MARKET FUND
<TABLE>
<S> <C>
PERFORMANCE AS OF 2/28/98 7-Day Yield
- ---------------------------------------------------------------
5.24%
</TABLE>
The 7-Day Yield is an annualized yield for the seven day period ended February
28, 1998. Yield reflects fluctuations in interest rates on portfolio invest-
ments and Fund expenses.
Early in the period, there was considerable uncertainty regarding interest
rates. The bond market slumped in the first quarter of 1997 on inflation fears.
This prompted the Federal Reserve to tighten monetary policy with a 0.25%
increase in the federal funds target rate. Money market yields enjoyed a boost
from this increase. The general fixed income market absorbed the federal funds
rate increase at the beginning of the reporting period. Yields began to fall
gradually for the benchmark 30-year Treasury bond and the yield curve, which
measures the spread in yields between short-term and long-term instruments,
began to flatten.
Looking forward, import- and producer-price deflation continues to point toward
lower Consumer Price Index inflation in coming months. Declines of 0.3% in
February import prices and 0.1% in producer prices left them 3.3% and 1.6%,
respectively, below their levels of one year ago. Consumer-price inflation
still is expected to dip to, or below 1% later this year, even though
disinflation stalled in February. Interest rates are expected to move lower as
inflation fears recede, and the Federal Reserve may ease policy later in the
year. If the Fed does lower rates, money market yields should decline.
There are a number of economic influences on interest rates. If the economy is
expected to grow rapidly, interest rates usually move higher in anticipation of
a Fed rate hike. Cash flows into money market mutual funds are another
important factor. The dynamics of supply and demand as managers invest
shareholders' cash can drive yields higher or drag them lower, particularly for
variable rate securities.
Weighted average maturity, which is one of the measures of a fund's sensitivity
to interest rate changes, is a measure of the average length of time before
securities in a portfolio mature on a dollar for dollar basis. Funds with
longer maturities generally are more sensitive to interest-rate fluctuations
than shorter maturity funds. For the most part, the weighted average maturity
for the Fund has been fairly steady and in the short-to-intermediate range of
45 to 55 days. Typically, for a money market mutual fund, managers will
increase maturity to lock in higher rates or shorten maturity if they
anticipate higher rates being available soon. Market forces may also make one
maturity range relatively more attractive than another.
23
<PAGE>
MONEY MARKET FUND--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT-13.86%
$6,000,000 Abbey National PLC 5.55% 01/26/99 $ 5,997,385
4,000,000 Morgan Guaranty Trust Co of NY 5.80 07/28/98 3,999,371
7,000,000 Rabobank Nederland Utrecht 6.05 03/27/98 6,999,807
8,000,000 Societe Generale NA Inc 5.60 01/13/99 7,997,988
------------
TOTAL CERTIFICATES OF DEPOSIT $ 24,994,551
COMMERCIAL PAPER-67.81%
$3,000,000 American Express Co 5.57% 07/28/98 $ 2,930,375
5,000,000 American Express Co 5.47 03/27/98 4,979,487
7,000,000 Bankers Trust New York Corp 5.37 08/17/98 6,822,492
6,000,000 CC (USA) Inc 5.44 04/14/98 5,959,200
5,000,000 Commercial Bank Detroit 6.00 03/27/98 4,999,595
3,000,000 Delaware Funding Corp 5.50 03/02/98 2,999,083
3,000,000 General Electric Co 5.62 08/03/98 2,926,940
4,000,000 General Electric Co 5.51 03/05/98 3,996,939
3,000,000 Goldman Sachs Group LP 5.54 04/06/98 2,982,919
7,000,000 Greenwich Funding Corp 5.50 03/12/98 6,987,166
5,000,000 Household Finance Corp 5.48 03/26/98 4,980,211
7,000,000 Merrill Lynch & Co Inc 5.49 04/15/98 6,950,895
6,000,000 Monte Rosa Capital Corp 5.48 04/02/98 5,969,860
2,000,000 Morgan Guaranty Trust Co of NY 5.96 06/22/98 1,999,789
7,000,000 Morgan Stanley Group Inc 5.72 03/03/98 6,996,663
6,000,000 National Rural Utilities Coop Fin
Group 5.67 03/05/98 5,995,275
2,000,000 PHH Corp 5.70 03/17/98 1,994,617
5,000,000 Prudential Funding Corp 5.50 04/07/98 4,970,972
5,000,000 Sheffield Receivables Corp 5.52 03/10/98 4,992,333
7,000,000 Sigma Finance Inc 5.50 03/17/98 6,981,819
4,000,000 Transamerica Corp 5.48 03/20/98 3,987,822
8,000,000 Unifunding Inc 5.43 04/20/98 7,938,460
5,000,000 USAA Capital Corp 6.34 09/18/98 5,018,000
8,000,000 WCP Funding Inc 5.48 04/07/98 7,953,724
------------
TOTAL COMMERCIAL PAPER $122,314,636
</TABLE>
24
<PAGE>
MONEY MARKET FUND--FEBRUARY 28, 1998
MONEY MARKET FUND--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C>
VARIABLE & FLOATING RATE NOTES-17.18%
$7,000,000 Australia & New Zealand Bank 5.61% 07/28/98 $ 6,998,382
7,000,000 Bank of America 5.65 04/16/98 6,999,563
3,000,000 Comerica Bank Detroit 5.86 12/14/98 2,999,553
6,000,000 Huntington National Bank 5.86 12/09/98 5,999,323
8,000,000 Key Bank NA 5.55 02/24/99 7,994,620
------------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL VARIABLE &
FLOATING RATE NOTES $ 30,991,441
TOTAL INVESTMENT
IN SECURITIES
(Cost
$178,300,628)**
(Notes 1 and 3) 98.85% $178,300,628
Other Assets and
Liabilities, Net 1.15% 2,074,220
------ ------------
TOTAL NET ASSETS 100.00% $180,374,848
====== ============
</TABLE>
- --------------------------------------------------------------------------------
** Cost for income tax purposes is the same as for financial statement
purposes.
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- -----------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $535,136,731 $93,234,121
Cash 0 0
RECEIVABLES:
Dividends and interest 0 0
Fund shares sold 584,565 1,025,614
TOTAL ASSETS 535,721,296 94,259,735
LIABILITIES
PAYABLES:
Capital shares redeemed 872,190 469,568
Distribution to shareholders 0 0
Due to BGI and Stephens (Note 2) 102,964 13,745
TOTAL LIABILITIES 975,154 483,313
TOTAL NET ASSETS $534,746,142 $93,776,422
NET ASSETS CONSIST OF:
Paid-in capital 415,451,237 93,769,238
Undistributed net investment income 11,633 27,854
Undistributed net realized gain (loss) on
investments 8,277,532 (157,705)
Net unrealized appreciation (depreciation) on
investments 111,005,740 137,035
TOTAL NET ASSETS $534,746,142 $93,776,422
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
PER SHARE
Net Assets $534,746,142 $93,776,422
Shares outstanding 39,600,736 9,639,098
Net asset value and offering price per share $13.50 $9.73
- -----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES--FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund Fund Fund Fund
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
$237,048,752 $48,709,287 $112,281,705 $147,986,131 $95,139,685
0 0 0 0 0
0 0 0 0 0
638,211 89,489 289,453 562,119 482,692
237,686,963 48,798,776 112,571,158 148,548,250 95,622,377
649,905 65,247 110,910 317,664 291,484
0 0 0 0 0
23,069 2,063 24,638 33,383 21,687
672,974 67,310 135,548 351,047 313,171
$237,013,989 $48,731,466 $112,435,610 $148,197,203 $95,309,206
187,823,025 45,218,341 96,176,540 118,898,519 74,635,575
0 296,411 493,415 432,225 182,142
3,616,237 579,855 1,426,925 2,026,456 942,666
45,574,727 2,636,859 14,338,730 26,840,003 19,548,823
$237,013,989 $48,731,466 $112,435,610 $148,197,203 $95,309,206
$237,013,989 $48,731,466 $112,435,610 $148,197,203 $95,309,206
15,060,830 4,216,121 8,086,328 9,424,216 5,480,661
$15.74 $11.56 $13.90 $15.73 $17.39
- ------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 1998
<TABLE>
<CAPTION>
LifePath
2040
Fund
- -----------------------------------------------------------------------
<S> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $126,022,880
Cash 0
RECEIVABLES:
Dividends and interest 0
Fund shares sold 844,240
TOTAL ASSETS 126,867,120
LIABILITIES
PAYABLES:
Capital shares redeemed 242,184
Distribution to shareholders 0
Due to BGI and Stephens (Note 2) 23,595
TOTAL LIABILITIES 265,779
TOTAL NET ASSETS $126,601,341
NET ASSETS CONSIST OF:
Paid-in capital 100,227,073
Undistributed net investment income 112,871
Undistributed net realized gain (loss) on investments 1,242,392
Net unrealized appreciation (depreciation) on investments 25,019,005
TOTAL NET ASSETS $126,601,341
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
Net Assets $126,601,341
Shares outstanding 6,743,840
Net asset value and offering price per share $18.77
- -----------------------------------------------------------------------
</TABLE>
* The Money Market Fund does not invest in a corresponding Master Portfolio.
The cost of securities held at February 28, 1998 is the same as the market
value.
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES--FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Short-
Money S&P Intermediate U.S. Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- ---------------------------------------------------
<S> <C> <C> <C>
$178,300,628 $2,289,098,351 $10,864,726 $47,205,989
1,184,202 0 0 0
1,328,048 0 0 0
728,567 5,077,463 11,865 70,130
181,541,445 2,294,175,814 10,876,591 47,276,119
1,074,827 1,518,324 40,777 27,005
14,999 0 0 0
128,615 224,789 6,656 8,196
1,218,441 1,743,113 47,433 35,201
$180,323,004 $2,292,432,701 $10,829,158 $47,240,918
180,385,270 1,400,588,958 11,031,560 51,263,115
0 5,418,488 5,331 10,984
(62,266) 39,740,087 (337,657) (4,156,223)
0 846,685,168 129,924 123,042
$180,323,004 $2,292,432,701 $10,829,158 $47,240,918
$180,323,004 $2,292,432,701 $10,829,158 $47,240,918
180,384,775 103,804,455 1,158,793 5,025,964
$1.00 $22.08 $9.35 $9.40
- ---------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Asset Bond
Allocation Index
Fund Fund
- -----------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 4,137,500 $ 0
Interest 14,861,341 7,263,140
Expenses (1,616,380) (85,259)
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM
MASTER PORTFOLIO 17,382,461 7,177,881
EXPENSES (NOTE 2)
Administration fees 1,844,243 158,187
Advisory fees 0 0
TOTAL EXPENSES 1,844,243 158,187
Less:
Waived fees 0 0
Net expenses 1,844,243 158,187
NET INVESTMENT INCOME (LOSS) 15,538,218 7,019,694
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER PORTFOLIOS
Net realized gain (loss) on sale of investments 43,346,185 835,418
Net change in unrealized appreciation (depreciation)
of investments 54,041,438 1,840,981
NET GAIN (LOSS) ON INVESTMENTS 97,387,623 2,676,399
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $112,925,841 $9,696,093
- -----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Growth LifePath LifePath LifePath LifePath
Stock 2000 2010 2020 2030
Fund Fund Fund Fund Fund
- ----------------------------------------------------
<S> <C> <C> <C> <C>
$ 334,093 $ 180,123 $ 812,021 $ 1,472,279 $ 1,032,790
754,929 2,120,407 3,114,732 2,593,988 929,053
(1,354,587) (252,821) (535,368) (692,337) (403,587)
(265,565) 2,047,709 3,391,385 3,373,930 1,558,256
405,996 183,550 388,764 502,717 293,010
0 0 0 0 0
405,996 183,550 388,764 502,717 293,010
45,153 0 0 0 0
360,843 183,550 388,764 502,717 293,010
(626,408) 1,864,159 3,002,621 2,871,213 1,265,246
9,338,409 1,498,004 4,019,123 5,546,369 2,589,572
35,007,522 1,944,125 9,867,032 19,345,820 14,546,285
44,345,931 3,442,129 13,886,155 24,892,189 17,135,857
$43,719,523 $5,306,288 $16,888,776 $27,763,402 $18,401,103
- ---------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
LifePath
2040
Fund
- ------------------------------------------------------------------------------
<S> <C>
NET INVESTMENT INCOME
ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 1,485,113
Interest 372,092
Expenses (513,622)
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM
MASTER PORTFOLIO 1,343,583
EXPENSES (NOTE 2)
Administration fees 372,862
Advisory fees 0
TOTAL EXPENSES 372,862
Less:
Waived fees 0
Net expenses 372,862
NET INVESTMENT INCOME (LOSS) 970,721
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED FROM
MASTER PORTFOLIOS
Net realized gain (loss) on sale of investments 5,450,601
Net change in unrealized appreciation (depreciation) of
investments 18,871,946
NET GAIN (LOSS) ON INVESTMENTS 24,322,547
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $25,293,268
- ------------------------------------------------------------------------------
</TABLE>
* The Money Market Fund does not have a corresponding Master Portfolio. All
interest is derived from securities held by the Fund.
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Money S&P Short-Intermediate U.S. Treasury
Market 500 Stock Term Allocation
Fund* Fund Fund Fund
- -----------------------------------------------
<S> <C> <C> <C>
$ 0 $ 28,793,187 $ 0 $ 0
10,264,768 6,042,629 782,050 2,998,572
0 (897,051) (50,170) (136,672)
10,264,768 33,938,765 731,880 2,861,900
179,427 2,698,151 20,045 182,037
630,279 0 0 0
809,706 2,698,151 20,045 182,037
0 0 0 0
809,706 2,698,151 20,045 182,037
9,455,062 31,240,614 711,835 2,679,863
(4,762) 67,662,285 (82,340) 497,222
0 444,494,109 250,239 384,199
(4,762) 512,156,394 167,899 881,421
$ 9,450,300 $543,397,008 $879,734 $3,561,284
- --------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Asset Allocation Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1998 February 28, 1997
- -------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 15,538,218 $ 17,275,336
Net realized gain (loss) on sale of
investments 43,346,185 38,140,198
Net change in unrealized appreciation
(depreciation) of investments 54,041,438 (1,289,056)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 112,925,841 54,126,478
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (15,569,560) (17,247,080)
From net realized gain (loss) on sale of
investments (45,241,548) (26,664,455)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 142,241,923 154,834,083
Net asset value of shares issued in
reinvestment of dividends and
distributions 60,810,816 44,837,891
Cost of shares redeemed (152,006,433) (176,232,020)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS 51,046,306 23,439,954
INCREASE (DECREASE) IN NET ASSETS 103,161,039 33,654,897
NET ASSETS:
Beginning net assets 431,585,103 397,930,206
ENDING NET ASSETS $534,746,142 $ 431,585,103
SHARES ISSUED AND REDEEMED:
Shares sold 11,061,652 12,906,366
Shares issued in reinvestment of
dividends and distributions 4,795,265 3,754,997
Shares redeemed (11,869,232) (14,682,595)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 3,987,685 1,978,768
- -------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
34
<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, 1998 February 28, 1997 February 28, 1998 February 28, 1997
- -------------------------------------------------------
<S> <C> <C> <C>
$ 7,019,694 $ 6,188,613 $ (626,408) $ (920,167)
835,418 (257,556) 9,338,409 15,318,009
1,840,981 (1,931,019) 35,007,522 (25,141,390)
9,696,093 4,000,038 43,719,523 (10,743,548)
(7,045,500) (6,134,953) 0 0
0 0 (17,881,314) (3,202,048)
45,025,402 115,659,105 135,070,663 170,007,270
7,037,685 6,438,762 17,881,293 3,202,048
(90,406,487) (48,583,524) (154,994,318) (124,629,401)
(38,343,400) 73,514,343 (2,042,362) 48,579,917
(35,692,807) 71,379,428 23,795,847 34,634,321
129,469,229 58,089,801 213,218,142 178,583,821
$ 93,776,422 $129,469,229 $ 237,013,989 $ 213,218,142
4,679,516 12,158,949 8,923,264 10,851,913
738,294 680,187 1,247,823 208,331
(9,514,575) (5,119,468) (10,266,097) (7,988,397)
(4,096,765) 7,719,668 (95,010) 3,071,847
- ---------------------------------------------------------------------------
</TABLE>
35
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Fund LifePath 2010 Fund
------------------------------- -------------------------------
Period from Period from
March 26, 1996 March 26, 1996
For the (Commencement For the (Commencement
Year Ended of Operations) to Year Ended of Operations) to
February 28, February 28, February 28, February 28,
1998 1997 1998 1997
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS:
Net investment income
(loss) $ 1,864,159 $ 1,403,756 $ 3,002,621 $ 2,005,706
Net realized gain
(loss) on sale of
investments 1,498,004 162,746 4,019,123 656,791
Net change in
unrealized
appreciation
(depreciation) of
investments 1,944,125 692,734 9,867,032 4,471,698
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS 5,306,288 2,259,236 16,888,776 7,134,195
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income (1,873,768) (1,097,736) (2,934,746) (1,580,166)
From net realized gain
(loss) on sale of
investments (1,080,895) 0 (3,244,853) 0
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 29,570,107 64,429,732 50,184,554 113,729,167
Net asset value of
shares issued in
reinvestment of
dividends and
distributions 2,954,663 1,095,909 6,179,586 1,576,451
Cost of shares redeemed (32,722,692) (20,109,378) (41,841,291) (33,656,063)
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM CAPITAL SHARE
TRANSACTIONS (197,922) 45,416,263 14,522,849 81,649,555
INCREASE (DECREASE) IN
NET ASSETS 2,153,703 46,577,763 25,232,026 87,203,584
NET ASSETS:
Beginning net assets 46,577,763 0 87,203,584 0
ENDING NET ASSETS $ 48,731,466 $ 46,577,763 $112,435,610 $ 87,203,584
SHARES ISSUED AND
REDEEMED:
Shares sold 2,609,621 6,021,502 3,799,100 9,702,222
Shares issued in
reinvestment of
dividends 263,425 102,561 470,053 133,390
Shares redeemed (2,902,215) (1,878,773) (3,183,053) (2,835,384)
NET INCREASE (DECREASE)
IN SHARES OUTSTANDING (29,169) 4,245,290 1,086,100 7,000,228
- -------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2020 Fund LifePath 2030 Fund LifePath 2040 Fund
- -------------------------------- -------------------------------- -------------------------------
Period from Period from Period from
For the March 26, 1996 For the March 26, 1996 For the March 26, 1996
Year Ended (Commencement Year Ended (Commencement Year Ended (Commencement
February 28, of Operations) to February 28, of Operations) to February 28, of Operations) to
1998 February 28, 1997 1998 February 28, 1997 1998 February 28, 1997
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 2,871,213 $ 1,938,192 $ 1,265,246 $ 814,543 $ 970,721 $ 686,259
5,546,369 1,202,749 2,589,572 645,645 5,450,601 847,438
19,345,820 7,494,183 14,546,285 5,002,538 18,871,946 6,147,059
27,763,402 10,635,124 18,401,103 6,462,726 25,293,268 7,680,756
(2,828,349) (1,548,831) (1,235,853) (661,794) (981,497) (562,612)
(4,577,018) (145,644) (2,146,403) (146,148) (5,040,363) (15,284)
62,320,047 147,132,963 48,861,763 70,729,578 85,516,198 87,726,379
7,405,367 1,545,026 3,382,255 804,134 6,021,811 561,376
(47,300,299) (52,204,585) (30,529,151) (18,613,004) (53,683,581) (25,915,110)
22,425,115 96,473,404 21,714,867 52,920,708 37,854,428 62,372,645
42,783,150 105,414,053 36,733,714 58,575,492 57,125,836 69,475,505
105,414,053 0 58,575,492 0 69,475,505 0
$148,197,203 $105,414,053 $ 95,309,206 $ 58,575,492 $126,601,341 $ 69,475,505
4,313,443 11,957,914 3,096,468 5,498,688 4,987,356 6,394,187
509,421 123,825 214,342 61,161 355,815 40,724
(3,266,331) (4,214,056) (1,965,323) (1,424,675) (3,168,342) (1,865,900)
1,556,533 7,867,683 1,345,487 4,135,174 2,174,829 4,569,011
- ----------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Money Market Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1998 February 28, 1997
- ----------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 9,455,062 $ 8,103,742
Net realized gain (loss) on sale of
investments (4,762) 1,533
Net change in unrealized appreciation
(depreciation) of investments 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 9,450,300 8,105,275
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (9,455,062) (8,103,742)
From net realized gain (loss) on sale
of investments 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 219,618,386 176,002,509
Net asset value of shares issued in
reinvestment of dividends and
distributions 9,251,485 7,951,900
Cost of shares redeemed (225,588,287) (163,761,261)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS 3,281,584 20,193,148
INCREASE (DECREASE) IN NET ASSETS 3,276,822 20,194,681
NET ASSETS:
Beginning net assets 177,046,182 156,851,501
ENDING NET ASSETS $ 180,323,004 $ 177,046,182
SHARES ISSUED AND REDEEMED:
Shares sold 219,618,386 176,002,509
Shares issued in reinvestment of
dividends and distributions 9,251,485 7,951,876
Shares redeemed (225,588,287) (163,761,261)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 3,281,584 20,193,124
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
38
<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, 1998 February 28, 1997 February 28 1998 February 28, 1997
- -------------------------------------------------------
<S> <C> <C> <C>
$ 31,240,614 $ 23,815,692 $ 711,835 $ 846,293
67,662,285 21,513,935 (82,340) (86,579)
444,494,109 219,020,476 250,239 (214,500)
543,397,008 264,350,103 879,734 545,214
(30,121,261) (22,785,673) (715,413) (840,943)
(39,697,846) (16,780,931) 0 0
859,737,151 539,066,703 2,637,312 4,322,741
69,792,808 25,515,514 715,374 909,344
(533,699,383) (249,037,913) (5,741,426) (5,586,461)
395,830,576 315,544,304 (2,388,740) (354,376)
869,408,477 540,327,803 (2,224,419) (650,105)
1,423,024,224 882,696,421 13,053,577 13,703,682
$2,292,432,701 $1,423,024,224 $10,829,158 $13,053,577
44,359,193 35,425,415 283,682 468,606
3,561,316 1,696,159 77,304 98,728
(27,667,316) (16,520,854) (621,841) (606,156)
20,253,193 20,600,720 (260,855) (38,822)
- ---------------------------------------------------------------------------
</TABLE>
39
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S. Treasury Allocation Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1998 February 28, 1997
- ----------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 2,679,863 $ 3,002,841
Net realized gain (loss) on sale of
investments 497,222 (142,717)
Net change in unrealized appreciation
(depreciation) of investments 384,199 (507,060)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 3,561,284 2,353,064
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (2,677,544) (2,994,176)
From net realized gain (loss) on sale
of investments (122,957) 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 13,761,242 12,235,270
Net asset value of shares issued in
reinvestment of dividends and
distributions 2,800,446 3,193,414
Cost of shares redeemed (17,623,970) (18,877,292)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARES
TRANSACTIONS (1,062,282) (3,448,608)
INCREASE (DECREASE) IN NET ASSETS (301,499) (4,089,720)
NET ASSETS:
Beginning net assets 47,542,417 51,632,137
ENDING NET ASSETS $ 47,240,918 $ 47,542,417
SHARES ISSUED AND REDEEMED:
Shares sold 1,474,632 1,321,414
Shares issued in reinvestment of
dividends and distributions 301,293 346,020
Shares redeemed (1,897,079) (2,042,217)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING (121,154) (374,783)
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
40
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
41
<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 Year Ended Operations) to
February 28, February 28, February 29, February 28, February 28,
1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $12.12 $11.83 $9.93 $10.19 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.44 0.47 0.40 0.44 0.23
Net realized and
unrealized gain (loss)
on investments 2.68 1.02 1.90 (0.14) 0.28
TOTAL FROM INVESTMENT
OPERATIONS 3.12 1.49 2.30 0.30 0.51
LESS DISTRIBUTIONS:
From net investment
income (0.44) (0.47) (0.40) (0.44) (0.23)
From net realized gains (1.30) (0.73) 0.00 (0.12) (0.09)
TOTAL DISTRIBUTIONS (1.74) (1.20) (0.40) (0.56) (0.32)
NET ASSET VALUE, END OF
PERIOD $13.50 $12.12 $11.83 $9.93 $10.19
TOTAL RETURN (NOT
ANNUALIZED) 27.10% 13.09% 23.54% 3.28% 5.14%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $534,746 $431,585 $397,930 $293,696 $217,140
Number of shares out-
standing, end of pe-
riod (000) 39,601 35,613 33,634 29,585 21,303
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net
assets(/1/) 0.75% 0.75% 0.75% 0.75% 0.79%
Ratio of net investment
income (loss) to
average net
assets(/2/) 3.37% 3.95% 3.62% 4.62% 3.47%
Portfolio turnover -- -- -- 24%* 33%
- --------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and reimbursed
expenses N/A N/A N/A 0.76% 0.80%
(2) Ratio of net
investment income
(loss) to average
net assets prior to
waived fees and
reimbursed expenses N/A N/A N/A 4.61% 3.46%
- --------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May
26, 1994 the Funds (except for the Money Market Fund) invest all of their
assets in the corresponding Master Portfolio. Portfolio turnover after May
26, 1994 is reported by the Master Portfolio.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the corresponding Master Portfolio.
42
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Index Fund
- ---------------------------------------------------------------------------
Period From
July 2,
1993
(Commence-
ment of
Year Ended Year Ended Year Ended Year Ended Operations) to
February 28, February 28, February 29, February 28, February 28,
1998 1997 1996 1995 1994
- ----------------------------------------------
<S> <C> <C> <C> <C>
$9.43 $9.66 $9.20 $9.76 $10.00
0.64 0.63 0.64 0.64 0.38
0.30 (0.23) 0.46 (0.56) (0.24)
0.94 0.40 1.10 0.08 0.14
(0.64) (0.63) (0.64) (0.64) (0.38)
0.00 0.00 0.00 0.00 0.00
(0.64) (0.63) (0.64) (0.64) (0.38)
$9.73 $9.43 $9.66 $9.20 $9.76
10.36% 4.32% 12.17% 1.12% 1.38%
$93,776 $129,469 $58,090 $18,593 $14,899
9,639 13,736 6,016 2,020 1,526
0.23% 0.23% 0.23% 0.23% 0.31%
6.66% 6.69% 6.67% 7.08% 5.88%
-- -- -- 14%* 20%
- -----------------------------------------------------------------------------
N/A 0.32% 0.53% 0.71% 0.32%
N/A 6.60% 6.37% 6.61% 5.87%
- -----------------------------------------------------------------------------
</TABLE>
43
<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 Year Ended Operations) to
February 28, February 28, February 29, February 28, February 28,
1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $14.07 $14.78 $11.64 $11.52 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) (0.04) (0.06) (0.01) 0.00 (0.01)
Net realized and
unrealized gain (loss)
on investments 2.96 (0.43) 4.82 0.19 1.86
TOTAL FROM INVESTMENT
OPERATIONS 2.92 (0.49) 4.81 0.19 1.85
LESS DISTRIBUTIONS:
From net investment
income 0.00 0.00 (0.01) 0.00 0.00
From net realized gains (1.25) (0.22) (1.66) (0.07) (0.33)
TOTAL DISTRIBUTIONS (1.25) (0.22) (1.67) (0.07) (0.33)
NET ASSET VALUE, END OF
PERIOD $15.74 $14.07 $14.78 $11.64 $11.52
TOTAL RETURN (NOT
ANNUALIZED) 21.61% (3.46)% 42.10% 1.70% 18.65%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000) $237,014 $213,218 $178,584 $96,925 $45,443
Number of shares
outstanding, end of
period (000) 15,061 15,156 12,084 8,330 3,945
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net assets(/1/) 0.78% 0.76% 0.76% 0.76% 0.80%
Ratio of net investment
income (loss) to
average net assets(/2/) (0.28)% (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 0.80% 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 (0.30)% (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. Portfolio turnover after May
26, 1994 is reported by the Master Portfolio.
+ Annualized for periods of less than one year. These ratios include ex-
penses charged to the corresponding Master Portfolio.
44
<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
(Commence- (Commence- (Commence- (Commence-
ment of ment of ment of ment of
Year Ended Operations) to Year Ended Operations) to Year Ended Operations) to Year Ended Operations) to
February 28, February 28, February 28, February 28, February 28, February 28, February 28, February 28
1998 1997 1998 1997 1998 1997 1998 1997
- ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$10.97 $10.55 $12.46 $11.44 $13.40 $11.97 $14.17 $12.39
0.46 0.39 0.40 0.33 0.33 0.29 0.26 0.23
0.85 0.35 1.87 0.96 2.84 1.40 3.65 1.79
1.31 0.74 2.27 1.29 3.17 1.69 3.91 2.02
(0.46) (0.32) (0.40) (0.27) (0.33) (0.24) (0.26) (0.20)
(0.26) 0.00 (0.43) 0.00 (0.51) (0.02) (0.43) (0.04)
(0.72) (0.32) (0.83) (0.27) (0.84) (0.26) (0.69) (0.24)
$11.56 $10.97 $13.90 $12.46 $15.73 $13.40 $17.39 $14.17
12.32% 7.00% 18.73% 11.98% 24.25% 15.06% 28.22% 17.37%
$48,731 $46,578 $112,436 $87,204 $148,197 $105,414 $95,309 $58,575
4,216 4,245 8,086 7,000 9,424 7,868 5,481 4,135
0.95% 0.95% 0.95% 0.95% 0.95% 0.95% 0.95% 0.95%
4.06% 4.21% 3.09% 3.26% 2.28% 2.57% 1.72% 2.05%
-- -- -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
N/A N/A N/A N/A N/A N/A N/A N/A
N/A N/A N/A N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
45
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2040 Fund
-------------------------------
Period From
March 26, 1996
(Commencement
Year Ended of Operations) to
February 28, February 28,
1998 1997
- -------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $15.21 $12.91
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18 0.18
Net realized and unrealized gain (loss) on
investments 4.41 2.27
TOTAL FROM INVESTMENT OPERATIONS 4.59 2.45
LESS DISTRIBUTIONS:
From net investment income (0.19) (0.15)
From net realized gains (0.84) 0.00
TOTAL DISTRIBUTIONS (1.03) (0.15)
NET ASSET VALUE, END OF PERIOD $18.77 $15.21
TOTAL RETURN (NOT ANNUALIZED) 30.95% 20.47%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $126,601 $69,476
Number of shares outstanding, end of period
(000) 6,744 4,569
RATIOS TO AVERAGE NET ASSETS+:
Ratio of expenses to average net assets(/1/) 0.95% 0.95%
Ratio of net investment income to average net
assets(/2/) 1.04% 1.46%
Portfolio turnover -- --
- -------------------------------------------------------------------------------
(1) Ratio of expenses to average net
assets prior to waived fees and
reimbursed expenses N/A N/A
(2) Ratio of net investment income to
average net assets prior to waived
fees and reimbursed expenses N/A N/A
- -------------------------------------------------------------------------------
</TABLE>
+ Annualized for periods of less than one year. These ratios include
expenses charged to the Master Portfolio (except for the Money Market
Fund).
46
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Money Market Fund
- ---------------------------------------------------------------------------
Period From
July 2, 1993
(Commencement
Year Ended Year Ended Year Ended Year Ended of Operations) to
February 28, February 28, February 29, February 28, February 28,
1998 1997 1996 1995 1994
- -------------------------------------------------------
<S> <C> <C> <C> <C>
$1.00 $1.00 $1.00 $1.00 $1.00
0.05 0.05 0.05 0.04 0.02
0.00 0.00 0.00 0.00 0.00
0.05 0.05 0.05 0.04 0.02
(0.05) (0.05) (0.05) (0.04) (0.02)
0.00 0.00 0.00 0.00 0.00
(0.05) (0.05) (0.05) (0.04) (0.02)
$1.00 $1.00 $1.00 $1.00 $1.00
5.35% 5.10% 5.60% 4.40% 1.81%
$180,375 $177,046 $156,852 $147,269 $81,649
180,437 177,103 156,910 147,280 81,648
0.45% 0.45% 0.45% 0.45% 0.49%
5.23% 4.96% 5.44% 4.44% 2.77%
N/A N/A N/A N/A N/A
- ----------------------------------------------------------------------------
N/A 0.48% 0.49% 0.57% 0.50%
N/A 4.93% 5.40% 4.32% 2.76%
- ----------------------------------------------------------------------------
</TABLE>
47
<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 Year Ended of Operations) to
February 28, February 28, February 29, February 28, February 28,
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $17.03 $14.02 $10.83 $10.50 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.33 0.32 0.31 0.27 0.16
Net realized and
unrealized gain (loss)
on investments 5.46 3.23 3.36 0.41 0.47
TOTAL FROM INVESTMENT
OPERATIONS 5.79 3.55 3.67 0.68 0.63
LESS DISTRIBUTIONS:
From net investment
income (0.33) (0.32) (0.30) (0.27) (0.12)
From net realized gains (0.41) (0.22) (0.18) (0.08) (0.01)
In excess of net
realized gains 0.00 0.00 0.00 0.00 0.00
TOTAL DISTRIBUTIONS (0.74) (0.54) (0.48) (0.35) (0.13)
NET ASSET VALUE, END OF
PERIOD $22.08 $17.03 $14.02 $10.83 $10.50
TOTAL RETURN (NOT
ANNUALIZED) 34.62% 25.82% 34.35% 6.71% 6.30%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $2,292,433 $1,423,024 $882,696 $448,776 $122,391
Number of shares out-
standing, end of pe-
riod (000) 103,804 83,551 62,951 41,427 11,653
RATIOS TO AVERAGE NET
ASSETS+:
Ratio of expenses to
average net
assets(/1/) 0.20% 0.20% 0.20% 0.21% 0.27%
Ratio of net investment
income to average net
assets(/2/) 1.73% 2.15% 2.52% 2.93% 2.46%
Portfolio turnover -- -- -- 8%* 4%
- ------------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and reimbursed
expenses N/A 0.22% 0.26% 0.25% 0.28%
(2) Ratio of net
investment income to
average net assets
prior to waived fees
and reimbursed
expenses N/A 2.13% 2.46% 2.88% 2.45%
- ------------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May
26, 1994 the Funds (except for the Money Market Fund) invest all of their
assets in the corresponding Master Portfolio, and portfolio turnover is re-
ported by the Master Portfolio.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the corresponding Master Portfolio.
48
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Short-Intermediate Term Fund
- --------------------------------------------------------------------------
Period From
July 2, 1993
(Commencement
Year Ended Year Ended Year Ended Year Ended of Operations) to
February 28, February 28, February 29, February 28, February 28,
1998 1997 1996 1995 1994
- ---------------------------------------------------
<S> <C> <C> <C> <C>
$9.19 $9.40 $9.15 $9.72 $10.00
0.60 0.60 0.65 0.64 0.42
0.16 (0.21) 0.25 (0.57) (0.28)
0.76 0.39 0.90 0.07 0.14
(0.60) (0.60) (0.65) (0.64) (0.42)
0.00 0.00 0.00 0.00 0.00
0,00 0.00 0.00 0.00 0.00
(0.60) (0.60) (0.65) (0.64) (0.42)
$9.35 $9.19 $9.40 $9.15 $9.72
8.51% 4.29% 10.07% 0.89% 1.42%
$10,829 $13,054 $13,704 $14,298 $5,258
1,159 1,420 1,458 1,562 541
0.63% 0.65% 0.65% 0.65% 0.65%
6.40% 6.48% 6.82% 7.07% 6.02%
-- -- -- 29% 277%
- ---------------------------------------------------------------------------
N/A 1.29% 1.44% 1.41% 0.65%
N/A 5.84% 6.03% 6.32% 6.02%
- ---------------------------------------------------------------------------
</TABLE>
49
<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 Year Ended of Operations) to
February 28, February 28, February 29, February 28, February 28,
1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING
OF PERIOD $9.24 $9.35 $8.99 $9.67 $10.00
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.55 0.56 0.51 0.59 0.39
Net realized and
unrealized gain (loss)
on investments 0.19 (0.11) 0.36 (0.68) (0.05)
TOTAL FROM INVESTMENT
OPERATIONS 0.74 0.45 0.87 (0.09) 0.34
LESS DISTRIBUTIONS:
From net investment
income (0.55) (0.56) (0.51) (0.59) (0.39)
From net realized gains (0.03) 0.00 0.00 0.00 (0.20)
In excess of net
realized gains 0.00 0.00 0.00 (0.08)
TOTAL DISTRIBUTIONS (0.58) (0.56) (0.51) (0.59) (0.67)
NET ASSET VALUE, END OF
PERIOD $9.40 $9.24 $9.35 $8.99 $9.67
TOTAL RETURN (NOT
ANNUALIZED) 8.18% 4.99% 9.89% (0.76)% 3.33%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $47,241 $47,542 $51,632 $56,852 $58,216
Number of shares
outstanding, end of
period (000) 5,026 5,147 5,522 6,324 6,019
RATIOS TO AVERAGE NET
ASSETS:+
Ratio of expenses to
average net
assets(/1/) 0.70% 0.70% 0.70% 0.70% 0.78%
Ratio of net investment
income to average net
assets(/2/) 5.89% 6.03% 5.47% 6.52% 5.79%
Portfolio turnover -- -- -- 43%* 210%
- -----------------------------------------------------------------------------------------------------
(1) Ratio of expenses to
average net assets
prior to waived fees
and reimbursed
expenses N/A 0.71% N/A 0.72% 0.80%
(2) Ratio of net
investment income to
average net assets
prior to waived fees
and reimbursed
expenses N/A 6.02% N/A 6.50% 5.77%
- -----------------------------------------------------------------------------------------------------
</TABLE>
* This rate is for the period from March 1, 1994 to May 25, 1994. As of May
26, 1994 the Funds (except for the Money Market Fund) invest all of their
assets in the corresponding Master Portfolio, and portfolio turnover is re-
ported by the Master Portfolio.
+ Annualized for periods of less than one year. These ratios include expenses
charged to the corresponding Master Portfolio.
50
<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%, 99.99%, 99.99%, 41.92%, 53.93%, 45.36%, 40.73%, 31.14%,
97.24%, 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, 1998). 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
51
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
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 are generally traded in the over-the-counter market and
are valued at a price deemed best to reflect fair value as quoted by dealers
who make markets in those securities or by an independent pricing source. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any securities, restricted securities or other
assets for which 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 and the
Money Market Fund 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. The Money Market Fund recognizes interest income on a
daily accrual basis. Realized gains and losses are reported on the basis of
identified cost of securities delivered. Bond discounts and premiums are
amortized as required by the Internal Revenue Code of 1986, as amended (the
"Code"). All net investment income and realized and unrealized capital gains
and losses of each Master Portfolio are allocated as required by the Code.
The performance of each Fund, with the exception of the Money Market Fund, is
directly affected by the performance of its corresponding Master Portfolio. The
financial statements of each Master Portfolio, including the Portfolio of
Investments, are included elsewhere in this report and should be read in
conjunction with the corresponding Fund's financial statements.
52
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE 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 to shareholders from net investment income of
the Money Market Fund are declared daily and distributed monthly. Distributions
to shareholders from any net realized capital gains are declared and
distributed annually, generally in December.
Due to the timing of dividend distributions and the differences in accounting
for income and realized gains (losses) for financial statement and federal
income tax purposes, the fiscal year in which amounts are distributed may
differ from the year in which the income and realized gains (losses) were
recorded by the Fund.
FEDERAL INCOME TAXES
Each Fund is treated as a separate entity for federal income tax purposes. It
is the policy of each Fund to continue to qualify as a regulated investment
company by complying with the provisions applicable to regulated investment
companies, as defined in the Code, and to make distributions of substantially
all of its investment company taxable income and any net realized capital gains
(after reduction for capital loss carryforwards) sufficient to relieve it from
all, or substantially all, federal income and excise taxes. Accordingly, no
provision for federal taxes was required at February 28, 1998. The following
Funds had net capital loss carryforwards at December 31, 1997, the tax year end
of the funds:
<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
Bond Index Fund 2005 487,385
Money Market Fund 2003 57,505
Money Market Fund 2005 4,762
Short-Intermediate Term Fund 2002 247,724
Short-Intermediate Term Fund 2005 77,556
U.S. Treasury Allocation Fund 2002 4,475,313
</TABLE>
53
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
No capital gain distribution shall be made in any of the Funds until the
respective capital loss carryforward has been fully utilized or expires.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with the Money Market Fund,
Barclays Global Fund Advisers ("BGFA") is entitled to receive a monthly fee at
an annual rate of 0.35% of the average daily net assets of the Fund as
compensation for its advisory services. BGFA is an indirect subsidiary of
Barclays Bank PLC.
Pursuant to a Sub-Advisory Contract with the Money Market Fund and BGFA,
Wells Fargo Bank, N.A. ("WFB") is responsible for the day-to-day portfolio
management of the Money Market Fund. WFB is entitled to receive from BGFA an
amount equal to 0.05% of the average daily net assets of the Money Market Fund
as compensation for its sub-advisory services.
Investors Bank & Trust Company ("IBT") serves as the Custodian and Sub-
Administrator 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.
Stephens Inc. ("Stephens"), is the Funds' co-administrator and distributor.
The Company has entered into administration services arrangements with BGI
and Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Funds, such as managing and coordinating third-
party service relationships. This fee is an "all-in" or "semi-unified" fee and
BGI and Stephens, in consideration thereof, have agreed to bear all of the
Funds' ordinary operating expenses, excluding, generally, advisory fees and
costs related to securities transactions. BGI and Stephens may delegate certain
of their administration duties to sub-administrators.
54
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
Under these arrangements, BGI and Stephens are entitled to receive for these
administration services a combined fee (expressed as a percentage of average
daily net assets) from each Fund as follows:
<TABLE>
<S> <C>
Asset Allocation Fund 0.40%
Bond Index Fund 0.15%
Growth Stock Fund 0.18%
LifePath 2000 Fund 0.40%
LifePath 2010 Fund 0.40%
LifePath 2020 Fund 0.40%
LifePath 2030 Fund 0.40%
LifePath 2040 Fund 0.40%
Money Market Fund 0.10%
S&P 500 Stock Fund 0.15%
Short-Intermediate Term Fund 0.18%
U.S. Treasury Allocation Fund 0.40%
</TABLE>
The Company has entered into separate contracts on behalf of the Funds with
WFB, whereby WFB has agreed to provide transfer and dividend disbursing agency
services and shareholder services to the Funds. WFB is compensated for transfer
and dividend disbursing agency services at an annual rate of 0.03% of the
average daily net assets for the Bond Index, Growth Stock, S&P 500 Stock and
Short-Intermediate Term Funds, 0.10% of the average daily net assets of the
Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030,
LifePath 2040 and U.S. Treasury Allocation Funds and 0.05% of the average daily
net assets of the Money Market Fund. WFB is compensated for shareholder
servicing based on an annual rate of 0.20% for the Asset Allocation, LifePath
2000, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040 and U.S.
Treasury Allocation Funds, 0.10% for the Growth Stock, Money Market and Short-
Intermediate Term Funds and 0.07% for the Bond Index and S&P 500 Stock Funds,
based on the average daily net assets of each of these Funds. Under the
administrative services arrangements, BGI and Stephens will compensate WFB for
expenses related to transfer and dividend disbursing agency services and
shareholder servicing.
Certain fees have been waived by BGI for the Growth Stock Fund for the year
ended February 28, 1998. Waived fees continue at the discretion of BGI.
55
<PAGE>
MASTERWORKS FUNDS INC.
NOTES TO THE FINANCIAL STATEMENTS
Certain officers and directors of the Company are also officers of Stephens.
As of February 28, 1998, Stephens owned less than 1% of the outstanding shares
of each Fund.
3. CAPITAL SHARES TRANSACTIONS
As of February 28, 1998, there were 12.1 billion shares of $.001 par value
capital stock authorized by the Company. As of February 28, 1998, each Fund,
except the Money Market, S&P 500 Stock, Short-Intermediate Term and U.S.
Treasury Allocation Funds, was authorized to issue 100 million shares of $.001
par value capital stock. The Money Market Fund was authorized to issue 3
billion shares. The S&P 500 Stock, Short-Intermediate Term and U.S. Treasury
Allocation Funds were each authorized to issue 300 million shares. Transactions
in capital shares for each Fund are disclosed in detail in the Statements of
Changes in Net Assets.
4. PORTFOLIO SECURITIES LOANED
As of February 28, 1998, 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.
56
<PAGE>
To the Shareholders and Board of Directors
MasterWorks Funds Inc.:
We have audited the accompanying statements of assets and liabilities, includ-
ing 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, 1998, 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 pe-
riod then ended, except for LifePath 2000 Fund, LifePath 2010 Fund, LifePath
2020 Fund, LifePath 2030 Fund, LifePath 2040 Fund, which are for the year then
ended and for the period from March 26, 1996 to February 28, 1997 and the fi-
nancial 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 stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights 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 confirmation of securities owned as of Feb-
ruary 28, 1998 by correspondence with the custodian 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 fi-
nancial 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, 1998,
the results of their operations, the changes in their net assets and their fi-
nancial highlights for the periods indicated herein in conformity with gener-
ally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 3, 1998
57
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
58
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-71.91%
ADVERTISING-0.06%
Omnicom Group 7,525 $ 344,269
------------
TOTAL ADVERTISING
- VALUE $ 344,269
- COST $ 295,747
AEROSPACE & DEFENSE-1.42%
Allied Signal Inc 26,429 $ 1,124,884
Boeing Co 46,940 2,546,495
Briggs & Stratton Corp 1,156 51,225
General Dynamics Corp 2,917 253,050
Lockheed Martin Corp 9,114 1,063,490
Northrop Grumman Corp 3,110 432,290
Rockwell International Corp 9,826 594,473
Textron Inc 7,751 580,841
United Technologies Corp 10,955 978,418
------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 7,625,166
- COST $ 5,706,098
AIRLINES-0.36%
AMR Corp+ 4,278 $ 541,434
Delta Air Lines Inc 3,442 389,161
FDX Corp+ 6,826 434,731
Southwest Airlines Co 10,281 294,936
USAirways Group Inc+ 4,243 268,635
------------
TOTAL AIRLINES
- VALUE $ 1,928,897
- COST $ 1,423,077
APPAREL-0.35%
CVS Corp 8,052 $ 596,351
Fruit of the Loom Inc Class A+ 3,435 110,349
Liz Claiborne Inc 3,130 156,500
Nike Inc Class B 13,672 599,859
Reebok International Ltd+ 2,629 81,992
Russell Corp 1,703 46,194
VF Corp 5,705 272,057
------------
TOTAL APPAREL
- VALUE $ 1,863,302
- COST $ 1,518,646
</TABLE>
59
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
AUTO PARTS & EQUIPMENT-0.64%
Cooper Tire & Rubber Co 3,674 $ 84,732
Dana Corp 4,887 266,647
Deluxe Corp 3,820 130,119
Eaton Corp 3,633 348,995
Echlin Inc 2,998 151,586
Genuine Parts Co 8,432 311,966
Goodyear Tire & Rubber Co 7,309 505,235
Illinois Tool Works Inc 11,689 700,609
ITT Industries Inc 5,599 191,766
Navistar International Corp+ 3,511 106,647
PACCAR Inc 3,693 233,813
Pep Boys-Manny Moe & Jack 2,952 75,645
TRW Inc 5,769 316,213
------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 3,423,973
- COST $ 2,627,258
AUTOMOBILES-1.25%
Chrysler Corp 31,059 $ 1,209,360
Ford Motor Co 56,312 3,185,148
General Motors Corp Class A 33,173 2,286,864
------------
TOTAL AUTOMOBILES
- VALUE $ 6,681,372
- COST $ 4,983,439
BANK & FINANCE-8.90%
Ahmanson (H F) & Co 5,129 $ 320,242
American Express Corp 21,836 1,966,605
Banc One Corp 30,285 1,711,114
Bank of New York Inc 17,675 1,035,092
BankAmerica Corp 32,497 2,518,518
BankBoston Corp 6,774 675,283
Bankers Trust Corp 4,550 538,038
BB&T Corp 6,374 395,586
Beneficial Corp 2,539 299,602
Chase Manhattan 19,791 2,455,321
Citicorp 21,414 2,837,355
Comerica Inc 4,883 492,267
CoreStates Financial Corp 9,324 787,295
Countrywide Credit Industries Inc 5,112 227,165
Equifax Inc 7,075 254,258
</TABLE>
60
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Federal Home Loan Mortgage Corp 32,653 $ 1,542,854
Federal National Mortgage Assoc 49,736 3,173,779
Fifth Third Bancorp 7,256 573,224
First Chicago NBD Corp 13,614 1,118,901
First Union Corp 29,491 1,553,807
Fleet Financial Group Inc 12,766 1,006,120
Golden West Financial 2,666 237,941
Green Tree Financial Inc 6,404 146,892
Household International Inc 5,042 654,830
Huntington Bancshares Inc 8,946 320,938
Keycorp 10,260 718,841
Lehman Brothers Holdings 4,773 300,997
MBNA Corp 23,498 841,522
Mellon Bank Corp 11,986 746,878
Mercantile Bancorp 6,108 339,758
Merrill Lynch & Co Inc 15,616 1,117,520
MGIC Investment Corp 5,383 396,660
Morgan (J P) & Co Inc 8,362 999,259
Morgan Stanley Dean Witter 27,837 1,939,887
National City Corp 10,038 654,980
NationsBank Corp 44,071 3,018,864
Northern Trust Corp 5,253 399,556
Norwest Corp 35,437 1,450,702
PNC Bank Corp 14,295 793,373
Republic New York Corp 2,598 314,358
Ryder System Inc 3,609 132,405
Schwab (Charles) Corp 12,484 471,271
State Street Boston Corp 7,564 467,550
Summit Bancorp 8,220 408,431
SunTrust Banks Inc 9,876 728,355
Synovus Financial Corp 7,560 267,373
U.S. Bancorp 11,496 1,322,759
Wachovia Corp 9,549 759,146
Washington Mutual Inc 12,102 812,347
Wells Fargo & Co 4,077 1,312,794
------------
TOTAL BANK & FINANCE
- VALUE $ 47,558,613
- COST $ 33,975,287
</TABLE>
61
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BASIC INDUSTRIES-1.12%
ASARCO Inc 1,933 $ 42,768
Avery-Dennison Corp 4,791 241,946
Baker Hughes Inc 7,904 323,570
Bemis Co 2,461 110,899
Boise Cascade Corp 2,667 88,844
Champion International Corp 4,471 228,300
Cyprus Amax Minerals 4,397 72,001
Dover Corp 10,403 401,816
Fort James Corp 9,843 446,626
Georgia-Pacific Corp 4,305 252,650
Harnischfeger Industries Inc 2,301 81,398
Homestake Mining Co 6,776 67,760
Ikon Office Solutions Inc 6,183 202,107
Inco Ltd 7,811 138,157
Louisiana-Pacific Corp 5,158 113,154
Mead Corp 4,930 168,544
Minnesota Mining & Manufacturing Co 19,160 1,634,588
NACCO Industries Inc Class A 410 53,326
Newmont Mining Corp 7,332 212,170
Potlatch Corp 1,352 58,559
Stone Container Corp+ 4,612 51,885
Union Camp Corp 3,271 195,442
Westvaco Corp 4,792 155,740
Weyerhauser Co 9,391 468,963
Willamette Industries Inc 5,214 192,592
------------
TOTAL BASIC INDUSTRIES
- VALUE $ 6,003,805
- COST $ 5,639,566
BEVERAGES-2.31%
Anheuser-Busch Inc 22,999 $ 1,078,078
Coca-Cola Co 116,097 7,974,413
Coors (Adolph) Co Class B 1,694 52,938
Pepsico Inc 71,202 2,603,323
Seagrams Co Ltd 16,749 636,462
------------
TOTAL BEVERAGES
- VALUE $ 12,345,214
- COST $ 9,650,487
</TABLE>
62
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BROADCASTING-0.44%
Clear Channel Communications Inc+ 4,568 $ 413,975
Kingworld Productions 3,344 89,243
Tele-Communications Inc Class A+ 23,846 693,024
Tribune Co 5,813 375,302
Viacom Inc Class B+ 16,565 795,120
------------
TOTAL BROADCASTING
- VALUE $ 2,366,664
- COST $ 1,731,380
BUILDING MATERIALS & SERVICES-0.36%
Cooper Industries Inc 5,642 $ 316,657
Corning Inc 10,843 440,497
Owens Corning Fiberglass Corp 2,490 76,879
Owens Illinois Inc+ 6,551 251,395
PPG Industries Inc 8,372 542,610
Snap-On Inc 2,812 119,510
Stanley Works 4,189 200,287
------------
TOTAL BUILDING MATERIALS & SERVICE
- VALUE $ 1,947,835
- COST $ 1,675,213
BUSINESS SERVICES-0.39%
Cendant Corp+ 37,096 $ 1,391,100
Ecolab Inc 6,078 175,122
Waste Management Inc 21,298 532,450
------------
TOTAL BUSINESS SERVICES
- VALUE $ 2,098,672
- COST $ 1,730,728
CHEMICALS-1.80%
Air Products & Chemicals Inc 5,127 $ 430,348
Clorox Co 4,865 426,904
Dow Chemical Co 10,674 976,671
Du Pont (E I) De Nemours 53,051 3,252,689
Eastman Chemical Co 3,664 239,992
FMC Corp+ 1,733 125,426
Goodrich (B F) Co 3,398 168,413
Grace (W R) Co 3,450 289,584
Great Lakes Chemical Corp 2,784 135,372
Hercules Inc 4,503 217,551
</TABLE>
63
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
International Flavor & Fragrances 5,134 $ 236,164
Monsanto Co 27,799 1,414,274
Morton International Inc 6,248 206,575
Nalco Chemical Co 3,103 124,896
Praxair Inc 7,445 355,964
Rohm & Haas Co 2,897 295,313
Rubbermaid Inc 7,050 204,450
Sigma-Aldrich Corp 4,727 186,717
Union Carbide Corp 5,744 266,737
------------
TOTAL CHEMICALS
- VALUE $ 9,554,040
- COST $ 7,770,326
COMPUTER SOFTWARE-3.17%
3Com Corp+ 16,276 $ 581,867
Adobe Systems Inc 3,474 153,507
Autodesk Inc 2,285 108,252
Automatic Data Processing 13,721 837,839
Bay Networks Inc+ 9,920 336,040
Computer Associates International Inc 25,608 1,206,777
Computer Sciences Corp+ 3,597 376,561
First Data Corp 20,124 684,216
HBO & Co 9,941 538,057
Microsoft Corp 113,204 9,594,039
Novell Inc+ 16,249 170,868
Oracle Systems Corp 46,055 1,134,104
Parametric Technology Corp+ 5,964 361,195
Siebel Systems Inc+ 8 492
Sun Microsystems Inc+ 17,547 835,676
------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 16,919,490
- COST $ 11,692,681
COMPUTER SYSTEMS-3.47%
Apple Computer Inc+ 5,910 $ 139,624
Cabletron Systems Inc+ 7,378 114,359
Ceridian Corp+ 3,607 167,951
Cisco Systems Inc 47,170 3,107,324
Cognizant Corp 7,601 379,575
Compaq Computer Corp 71,026 2,277,271
Data General Corp+ 2,200 45,375
</TABLE>
64
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Dell Computer Corp 15,348 $ 2,146,802
Digital Equipment Corp+ 6,939 395,089
EMC Corp 23,260 889,695
Harris Corp 3,752 190,180
Hewlett-Packard Co 48,777 3,268,059
International Business Machine Corp 45,590 4,761,306
Seagate Technology Inc+ 11,439 278,111
Shared Medical System Corp 1,155 88,285
Silicon Graphics Inc+ 8,701 131,059
Unisys Corp+ 8,176 146,146
Unova Inc+ 67 1,281
------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 18,527,492
- COST $ 12,615,590
CONTAINER & PACKAGING-0.30%
Ball Corp 1,407 $ 45,903
Crown Cork & Seal Co 6,025 325,350
International Paper Co 14,200 662,075
Temple-Inland Inc 2,658 158,483
Tenneco Inc 7,992 328,671
Tupperware Corp 2,838 76,271
------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 1,596,753
- COST $ 1,564,580
ELECTRICAL EQUIPMENT-2.74%
Aeroquip-Vickers Inc 1,305 $ 75,772
General Electric Co 153,559 11,939,212
Grainger (W W) Inc 2,320 224,605
Masco Corp 7,732 420,428
Motorola Inc 27,993 1,560,610
National Service Industries Inc 2,039 113,037
Raychem Corp 4,046 175,748
Thomas & Betts Corp 2,599 147,331
------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 14,656,743
- COST $ 10,771,715
</TABLE>
65
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS-3.09%
Advanced Micro Devices+ 6,612 $ 154,969
AMP Inc 10,364 457,959
Applied Materials Inc 17,133 630,709
CBS Corp 33,038 1,022,113
Commscope Inc+ 1 13
EG&G Inc 2,083 56,111
Emerson Electric Co 20,773 1,325,577
General Instrument Corp+ 6,933 115,694
General Signal Corp 2,367 96,159
Honeywell Inc 6,012 476,451
Intel Corp 76,792 6,887,283
Johnson Controls Inc 3,905 216,972
KLA Instruments Corp+ 3,938 181,763
LSI Logic Corp+ 6,632 157,096
Micron Technology Inc+ 9,896 328,424
National Semiconductor+ 7,684 183,456
Perkin-Elmer Corp 2,289 167,526
Pitney Bowes Inc 13,608 637,875
Raytheon Co Class B 15,955 938,353
Tektronix Inc 2,412 107,636
Texas Instruments Inc 18,291 1,058,592
Xerox Corp 15,336 1,360,112
------------
TOTAL ELECTRONICS
- VALUE $ 16,560,843
- COST $ 11,855,761
ENERGY & RELATED-6.00%
Amerada Hess Corp 4,296 $ 254,807
Amoco Corp 22,836 1,941,060
Anadarko Petroleum Corp 2,825 182,213
Apache Corp 4,521 153,714
Ashland Inc 3,485 194,071
Atlantic Richfield Corp 15,053 1,170,371
Burlington Resources Inc 8,323 372,454
Chevron Corp 30,774 2,496,541
Coastal Corp 4,955 315,262
Columbia Gas System Inc 2,598 198,260
Consolidated Natural Gas Co 4,468 256,910
Dresser Industries Inc 8,267 369,432
Eastern Enterprises 984 43,604
Enron Corp 14,932 701,804
</TABLE>
66
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Exxon Corp 115,667 $ 7,388,230
Halliburton Co 12,274 570,741
Helmerich & Payne Inc 2,302 66,614
Kerr-McGee Corp 2,253 152,359
Mobil Corp 36,804 2,665,990
NICOR Inc 2,301 94,629
Occidental Petroleum Corp 15,882 405,984
ONEOK Inc 1,473 51,555
Oryx Energy Co+ 4,930 125,407
Pacific Enterprises Co 3,888 141,183
Pennzoil Co 2,211 147,999
Peoples Energy Corp 1,677 60,582
Phillips Petroleum Co 12,372 606,228
Rowan Co Inc+ 4,068 114,667
Royal Dutch Petroleum Corp 100,607 5,464,218
Schlumberger Ltd 23,260 1,753,223
Sonat Offshore Drilling Co 5,120 220,800
Sun Co Inc 3,321 132,632
Texaco Inc 25,761 1,437,786
Union Pacific Resources Group 11,891 266,061
Unocal Corp 11,579 436,384
USX-Marathon Group 13,528 467,561
Western Atlas Inc 2,595 197,058
Williams Co Inc 14,999 490,280
------------
TOTAL ENERGY & RELATED
- VALUE $ 32,108,674
- COST $ 26,326,970
ENGINEERING & CONSTRUCTION-0.12%
Armstrong World Industries Inc 1,896 $ 148,836
Centex Corp 1,373 100,315
Fleetwood Enterprises Inc 1,665 78,047
Fluor Corp 3,924 184,673
Foster Wheeler Corp 1,953 52,243
Kaufman & Broad Home Corp 1,861 48,153
Pulte Corp 1,024 46,592
------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 658,859
- COST $ 575,422
</TABLE>
67
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ENTERTAINMENT & LEISURE-1.41%
Brunswick Corp 4,631 $ 147,034
Disney (Walt) Co 31,686 3,546,852
Harrah's Entertainment Inc+ 4,680 98,573
Hasbro Inc 5,918 214,897
Mattel Inc 13,646 577,396
Mirage Resorts Inc+ 8,369 191,441
Polaroid Corp 2,140 98,039
Time Warner Inc 26,249 1,771,808
U.S. West Media Group+ 28,521 918,020
------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 7,564,060
- COST $ 5,456,721
ENVIRONMENTAL CONTROL-0.07%
Browning-Ferris Industries Inc 9,306 $ 310,006
Safety-Kleen Corp 2,719 72,903
------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 382,909
- COST $ 364,750
FOOD & RELATED-3.00%
Albertson's Inc 11,541 $ 540,263
American Stores Co 12,840 323,408
Archer-Daniels-Midland Co 26,156 586,875
Bestfoods 6,795 716,023
Brown-Forman Corp Class B 3,262 181,041
Campbell Soup Co 21,446 1,245,208
ConAgra Inc 22,112 663,360
Darden Restaurants Inc 7,128 96,228
General Mills Inc 7,409 532,985
Giant Food Inc Class A 2,806 101,893
Great Atlantic & Pacific Tea Co 1,811 55,122
Harcourt General Inc 3,362 181,548
Heinz (H J) Co 17,224 969,927
Hershey Foods Corp 6,676 445,206
Kellogg Co 19,287 822,108
Kroger Co 11,924 503,789
McDonald's Corp 32,288 1,767,768
Pioneer Hi Bred International Inc 3,089 320,484
Quaker Oats Co 6,544 352,558
</TABLE>
68
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Ralston-Purina Group 5,031 $ 510,332
Sara Lee Corp 22,520 1,272,380
Super Value Inc 2,871 136,731
Sysco Corp 8,024 377,630
Tricon Global Restaurants+ 7,171 203,477
Unilever NV (Netherlands) 30,082 1,934,649
UST Inc 8,675 307,420
Wendy's International Inc 6,164 133,682
Winn-Dixie Stores Inc 7,026 378,965
Wrigley (W M) Jr Co 5,482 418,688
------------
TOTAL FOOD & RELATED
- VALUE $ 16,079,748
- COST $ 12,481,743
FURNITURE & APPLIANCES-0.08%
Maytag Corp 4,468 $ 201,060
Whirlpool Corp 3,523 235,380
------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 436,440
- COST $ 304,761
HEALTHCARE-0.30%
Cardinal Health Inc 5,167 $ 423,048
Healthsouth Corp 18,479 498,933
St Jude Medical Inc 4,331 158,082
United Healthcare Corp 8,883 539,087
------------
TOTAL HEALTHCARE
- VALUE $ 1,619,150
- COST $ 1,398,121
HOSPITAL & MEDICAL SUPPLIES-1.90%
Bard (C R) Inc 2,673 $ 93,221
Bausch & Lomb Inc 2,561 114,765
Baxter International Inc 13,122 743,033
Becton Dickinson & Co 5,685 361,708
Biomet Inc 5,267 157,022
Boston Scientific Corp+ 9,164 547,549
Columbia/HCA Healthcare Corp 30,368 823,732
Guidant Corp 6,927 505,238
Johnson & Johnson 63,097 4,763,824
Mallinckrodt Group Inc 3,378 131,109
</TABLE>
69
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Manor Care Inc 2,987 $ 112,199
Medtronic Inc 21,993 1,168,378
Tenet Healthcare Corp+ 14,281 532,860
United States Surgical 3,588 109,883
------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 10,164,521
- COST $ 7,696,382
HOUSEHOLD PRODUCTS-2.10%
Alberto-Culver Co Class B 2,676 $ 81,451
Avon Products Inc 6,156 433,613
Colgate-Palmolive Co 13,865 1,125,665
Gillette Co 26,249 2,831,611
Kimberly-Clark Corp 25,721 1,432,338
Procter & Gamble Co 63,050 5,355,309
------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 11,259,987
- COST $ 8,037,663
INSURANCE-3.60%
Aetna Inc 6,959 $ 608,043
Allstate Corp 20,111 1,875,351
American General Corp 11,424 664,020
American International Group Inc 32,901 3,954,289
Aon Corp 7,918 473,595
Chubb Corp 7,979 636,824
CIGNA Corp 3,486 665,826
Cincinnati Financial Corp 2,616 353,160
Conseco Inc 8,874 416,523
General Re Corp 3,657 778,941
Hartford Financial Services Group 5,515 541,849
Humana Inc+ 7,658 194,800
Jefferson-Pilot Corp 3,311 277,710
Lincoln National Corp 4,812 403,005
Loews Corp 5,414 543,092
Marsh & McLennan Companies Inc 8,020 695,234
MBIA Inc 4,207 307,900
Progressive Corp Ohio 3,426 396,988
Providian Financial Corp 4,452 252,651
SAFECO Corp 6,580 345,039
St Paul Co 3,898 345,460
</TABLE>
70
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Sunamerica Inc 9,173 $ 415,652
Torchmark Corp 6,597 307,173
Transamerica Corp 2,922 340,230
Travelers Inc 53,840 3,001,580
UNUM Corp 6,494 334,035
USF & G Corp 5,262 128,590
------------
TOTAL INSURANCE
- VALUE $ 19,257,560
- COST $ 14,131,316
LODGING-0.15%
Hilton Hotels Corp 11,719 $ 349,373
Marriott International 6,013 455,485
------------
TOTAL LODGING
- VALUE $ 804,858
- COST $ 619,051
MACHINERY-0.63%
Black & Decker Corp 4,412 $ 222,255
Case Corp 3,532 229,801
Caterpillar Inc 17,485 955,118
Cincinnati Milacron Inc 1,908 58,910
Cummins Engine Co Inc 1,791 103,654
Deere & Co 11,854 665,306
Ingersoll-Rand Co 7,781 370,570
McDermott International Inc 2,637 103,832
Pall Corp 5,926 124,076
Parker Hannifin Corp 5,194 242,170
Thermo Electron Corp+ 7,102 291,182
------------
TOTAL MACHINERY
- VALUE $ 3,366,874
- COST $ 2,689,039
MANUFACTURING-0.24%
Tyco International Ltd 25,052 $ 1,271,389
------------
TOTAL MANUFACTURING
- VALUE $ 1,271,389
- COST $ 975,436
</TABLE>
71
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
METAL FABRICATORS-0.58%
Alcan Aluminum Ltd 10,617 $ 329,791
Allegheny Teledyne Inc 8,126 220,418
Aluminum Co of America 8,134 596,832
Armco Inc+ 5,008 26,605
Barrick Gold Corp 17,443 336,868
Battle Mountain Gold Co 10,609 63,654
Bethlehem Steel Corp+ 5,257 55,856
Crane Co 2,104 103,096
Engelhard Corp 6,773 122,761
Freeport McMoRan Inc 9,052 136,346
Inland Steel Industries Inc 2,268 46,778
Nucor Corp 4,160 214,240
Phelps Dodge Corp 2,737 173,800
Placer Dome Inc 11,172 143,840
Reynolds Metals Co 3,461 215,664
Timken Co 2,990 96,428
USX-U.S. Steel Group 4,076 143,170
Worthington Industries Inc 4,538 77,713
------------
TOTAL METAL FABRICATORS
- VALUE $ 3,103,860
- COST $ 3,262,347
PHARMACEUTICALS-6.09%
Abbott Laboratories 35,904 $ 2,686,068
Allergan Inc 3,081 107,835
ALZA Corp 4,023 150,360
American Home Products Corp 30,534 2,862,563
Amgen Inc 12,358 656,519
Bristol-Myers Squibb Co 46,702 4,678,957
Lilly (Eli) & Co 52,080 3,427,515
Merck & Co Inc 56,228 7,172,584
Millipore Corp 2,073 78,385
Pfizer Inc 60,677 5,369,915
Pharmacia and Upjohn Inc 23,762 940,084
Schering-Plough Corp 34,359 2,613,431
Warner Lambert Co 12,751 1,864,834
------------
TOTAL PHARMACEUTICALS
- VALUE $ 32,609,050
- COST $ 21,285,741
</TABLE>
72
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
PUBLISHING-0.70%
American Greetings Corp Class A 3,491 $ 159,277
Comcast Corp Class A 16,417 574,595
Donnelley (R R) & Sons Co 6,880 272,620
Dow Jones & Co Inc 4,520 232,215
Gannett Co Inc 13,347 861,716
Harland (John H) Co 1,390 21,111
Interpublic Group Co Inc 5,896 321,332
Knight-Ridder Inc 4,012 225,675
McGraw-Hill Inc 4,648 351,505
Meredith Corp 2,460 105,626
Moore Corp Ltd 4,147 65,056
New York Times Co Class A 4,503 294,665
Times Mirror Co Class A 4,441 273,399
------------
TOTAL PUBLISHING
- VALUE $ 3,758,792
- COST $ 2,697,414
RETAIL & RELATED-3.43%
AutoZone Inc+ 7,134 $ 215,804
Charming Shoppes Inc+ 4,915 21,964
Circuit City Stores Inc 4,641 179,259
Consolidated Stores Corp 5,053 207,805
Costco Co Inc+ 9,960 486,795
Dayton-Hudson Corp 10,235 791,293
Dillards Inc Class A 5,178 184,466
Eastman Kodak Co 15,213 998,353
Federated Department Stores Inc+ 9,811 459,891
Gap Inc 18,878 843,611
Home Depot Inc 34,279 2,187,429
Jostens Inc 1,846 43,381
K Mart Corp+ 22,856 305,699
Limited Inc 12,805 371,345
Longs Drug Stores Corp 1,843 58,400
Lowe's Co Inc 8,149 476,207
May Department Stores Co 10,809 656,647
Mercantile Stores Co Inc 1,752 115,304
Newell Co 7,419 340,347
Nordstrom Inc 3,574 204,946
Penney (J C) Co Inc 11,698 826,902
</TABLE>
73
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Rite Aid Corp 11,720 $ 379,435
Sears Roebuck & Co 18,386 975,607
Sherwin Williams Co 8,088 270,443
Tandy Corp 4,802 213,689
TJX Companies Inc 7,700 297,413
Toys R Us Inc+ 13,417 352,196
Walgreen Co 23,123 848,325
WalMart Stores Inc 105,784 4,899,122
Woolworth (F W) Co+ 6,336 150,480
------------
TOTAL RETAIL & RELATED
- VALUE $ 18,362,558
- COST $ 13,113,498
SERVICES-0.24%
Block (H R) Inc 4,845 $ 228,018
Dun & Bradstreet Corp 7,993 267,766
Public Service Enterprise Group 10,860 350,235
Service Corp International 11,813 447,417
------------
TOTAL SERVICES
- VALUE $ 1,293,436
- COST $ 1,030,140
TELECOMMUNICATIONS-5.89%
Airtouch Communications+ 23,657 $ 1,063,086
Alltel Corp 8,709 397,892
Ameritech Corp 51,378 2,141,820
Andrew Corp 4,204 116,122
AT & T Corp 76,226 4,640,258
Bell Atlantic Corp 36,468 3,272,985
BellSouth Corp 46,555 2,839,855
DSC Communications Corp+ 5,560 109,115
Frontier Corp 7,711 213,498
GTE Corp 44,977 2,434,380
Lucent Technologies Inc 30,121 3,264,363
MCI Communications Corp 32,728 1,564,808
Northern Telecom Ltd 24,598 1,311,381
SBC Communication Inc 42,997 3,251,648
Scientific-Atlanta Inc 3,661 64,068
Sprint Corp 20,191 1,332,606
Tellabs Inc+ 8,549 516,146
</TABLE>
74
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
U.S. West Inc 22,697 $ 1,181,663
WorldCom Inc+ 47,549 1,815,777
------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 31,531,471
- COST $ 23,054,661
TEXTILES-0.01%
Springs Industries Inc Class A 991 $ 55,434
------------
TOTAL TEXTILES
- VALUE $ 55,434
- COST $ 46,225
TOBACCO-0.98%
Fortune Brands Inc 8,017 $ 318,175
Philip Morris Co Inc 113,716 4,939,539
------------
TOTAL TOBACCO
- VALUE $ 5,257,714
- COST $ 4,375,559
TRANSPORTATION-0.51%
Burlington Northern Santa Fe 7,292 $ 726,466
CSX Corp 10,241 572,856
Laidlaw Inc Class B 15,383 225,938
Norfolk Southern Corp 17,666 608,373
Union Pacific Corp 11,639 593,589
------------
TOTAL TRANSPORTATION
- VALUE $ 2,727,222
- COST $ 2,587,483
UTILITIES-1.71%
Ameren Corp+ 6,399 $ 245,962
American Electric Power Inc 8,893 426,864
Baltimore Gas & Electric Co 6,903 217,876
Carolina Power & Light Co 7,079 295,548
Central & South West Corp 9,935 266,382
Cinergy Corp 7,394 257,404
Consolidated Edison Inc 11,052 469,710
Dominion Resources Inc 8,755 349,106
DTE Energy Co 6,824 250,782
Duke Power Co 16,878 937,784
Edison International 17,893 494,294
</TABLE>
75
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Entergy Corp 11,481 $ 332,231
FirstEnergy Corp 10,823 313,191
FPL Group Inc 8,557 496,841
GPU Inc 5,707 229,350
Houston Industries Inc 13,404 346,829
Niagara Mohawk Power Corp+ 6,720 86,100
Northern States Power Co 3,499 192,226
Pacificorp 13,946 337,319
PECO Energy Co 10,432 206,032
PG & E Corp 20,615 622,315
PP & L Resources Inc 7,724 172,825
Southern Co 32,359 798,863
Texas Utilities Co 11,525 466,042
Unicom Corp 10,135 324,953
------------
TOTAL UTILITIES
- VALUE $ 9,136,829
- COST $ 7,984,518
------------
TOTAL COMMON STOCKS
- VALUE $384,814,538
- COST $287,722,540
</TABLE>
76
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY
28, 1998
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY INTEREST MATURITY PRINCIPAL/
NAME RATE DATE SHARES VALUE
<S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES-27.27%
U.S. TREASURY BONDS-27.27%
U.S. Treasury Bonds 9.13% 05/15/18 $2,650,000 $ 3,617,250
U.S. Treasury Bonds 9.00 11/15/18 2,900,000 3,926,780
U.S. Treasury Bonds 8.88 02/15/19 7,600,000 10,191,121
U.S. Treasury Bonds 8.75 05/15/20 3,200,000 4,270,000
U.S. Treasury Bonds 8.75 08/15/20 8,475,000 11,324,719
U.S. Treasury Bonds 8.50 02/15/20 3,050,000 3,972,625
U.S. Treasury Bonds 8.13 08/15/19 8,100,000 10,157,902
U.S. Treasury Bonds 8.13 05/15/21 4,700,000 5,935,216
U.S. Treasury Bonds 8.13 08/15/21 4,650,000 5,877,888
U.S. Treasury Bonds 8.00 11/15/21 11,750,000 14,683,822
U.S. Treasury Bonds 7.88 02/15/21 3,400,000 4,184,125
U.S. Treasury Bonds 7.63 11/15/22 2,775,000 3,349,078
U.S. Treasury Bonds 7.63 02/15/25 3,800,000 4,624,125
U.S. Treasury Bonds 7.50 11/15/24 4,600,000 5,515,685
U.S. Treasury Bonds 7.25 08/15/22 3,400,000 3,937,625
U.S. Treasury Bonds 7.13 02/15/23 6,300,000 7,209,563
U.S. Treasury Bonds 6.88 08/15/25 5,050,000 5,644,951
U.S. Treasury Bonds 6.75 08/15/26 4,150,000 4,581,857
U.S. Treasury Bonds 6.63 02/15/27 3,650,000 3,975,076
U.S. Treasury Bonds 6.50 11/15/26 3,600,000 3,855,373
U.S. Treasury Bonds 6.38 08/15/27 4,750,000 5,033,513
U.S. Treasury Bonds 6.25 08/15/23 8,225,000 8,500,019
U.S. Treasury Bonds 6.13 11/15/27 4,150,000 4,266,719
U.S. Treasury Bonds 6.00 02/15/26 7,275,000 7,286,364
------------
$145,921,396
TOTAL U.S. TREASURY SECURITIES
- VALUE $145,921,396
- COST $132,008,538
SHORT-TERM INSTRUMENTS-7.24%
CASH EQUIVALENTS-2.77%
Dreyfus Institutional Money Market
Fund++ -- -- 1,109,841 $ 1,109,841
Janus Institutional Money Market
Fund++ -- -- 4,000,000 4,000,000
Merrimac Cash Fund--Premium Class++ -- -- 9,700,000 9,700,000
------------
$ 14,809,841
</TABLE>
77
<PAGE>
MASTER INVESTMENT PORTFOLIO--ASSET ALLOCATION MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY INTEREST MATURITY
NAME RATE DATE PRINCIPAL VALUE
<S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS (CONTINUED)
REPURCHASE AGREEMENTS-3.92%
Goldman Sachs Repurchase
Agreement++, dated 2/27/98, due
3/2/98, with a maturity value
of $21,009,918 and an effective
yield of 5.67%, collateralized
by Federal Home Loan Mortgage
Corporation obligations with
rates ranging from 5.50% to
8.50%, with maturity dates
ranging from 1/1/01 to 10/1/26
and with an aggregate market
value of $21,420,000. $21,000,000 $ 21,000,000
U.S. TREASURY BILLS-0.55%
U.S. Treasury Bills 5.38%* 04/16/98 $ 324,000 $ 321,894
U.S. Treasury Bills 5.37%* 04/23/98 2,272,000 2,255,010
U.S. Treasury Bills 5.34%* 04/30/98 19,000 18,837
U.S. Treasury Bills 5.15%* 04/02/98 175,000 174,187
U.S. Treasury Bills 4.48%* 03/12/98 182,000 181,691
------------
$ 2,951,619
------------
TOTAL SHORT-TERM INSTRUMENTS
- VALUE $ 38,761,460
- COST $ 38,760,596
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $458,491,674)** (Notes 1 and 3) 106.42% $569,497,394
Other Assets and Liabilities, Net (6.42)% (34,360,656)
------ ------------
TOTAL NET ASSETS 100.00% $535,136,738
====== ============
</TABLE>
- --------------------------------------------------------------------------------
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending trans-
actions. See Note 4.
* Yield to maturity.
** Cost for federal income tax purposes is $458,847,329 and net unrealized ap-
preciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $113,117,669
Gross Unrealized
Depreciation $ (2,467,604)
------------
NET UNREALIZED
APPRECIATION $110,650,065
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
78
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--FEBRUARY 28,
1998
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-24.33%
AEROSPACE & DEFENSE-1.10%
$1,000,000 Lockheed Martin Corp 6.85% 05/15/01 $ 1,021,707
AUTO PARTS & EQUIPMENT-1.09%
$1,000,000 Goodyear Tire & Rubber Co 6.63% 12/01/06 $ 1,016,193
AUTOMOBILES-0.63%
$ 500,000 Ford Motor Co 8.88% 04/01/06 $ 576,943
BANK & FINANCE-11.22%
$ 500,000 ABN Amro Bank NV 7.30% 12/01/26 $ 502,283
500,000 African Development Bank 7.75 12/15/01 531,738
1,000,000 American General Finance 5.88 07/01/00 995,191
1,000,000 CIT Group Holdings 6.63 06/15/05 1,015,021
1,000,000 Commercial Credit Corp 8.70 06/15/10 1,175,599
1,000,000 Dresdner Bank AG 6.63 09/15/05 1,008,626
500,000 First Union Corp 6.63 07/15/05 509,209
1,000,000 General Motors Acceptance Corp 7.12 05/01/03 1,039,903
1,000,000 Household Finance Corp 6.70 06/15/02 1,013,522
1,000,000 KFW International Finance 7.63 02/15/04 1,076,611
500,000 Lehman Brothers Inc 9.88 10/15/00 539,406
1,000,000 Mellon Capital II 7.99 01/15/27 1,055,517
------------
$ 10,462,626
BEVERAGES-1.24%
$1,000,000 Coca-Cola Enterprises 8.00% 09/15/22 $ 1,149,805
CHEMICALS-1.15%
$ 500,000 Dow Chemical Co 8.62% 04/01/06 $ 567,437
500,000 Dupont Corp 6.00 12/01/01 500,989
------------
$ 1,068,426
ELECTRONICS-1.11%
$1,000,000 Raytheon Co 7.38% 07/15/25 $ 1,032,767
ENERGY & RELATED-1.12%
$1,000,000 Phillips 66 Capital Trust II 8.00% 01/15/37 $ 1,040,566
ENTERTAINMENT & LEISURE-0.56%
$ 500,000 Disney (Walt) Co 6.75% 03/30/06 $ 518,732
FOOD & RELATED-1.17%
$ 500,000 Archer-Daniels-Midland Co 8.38% 04/15/17 $ 587,786
500,000 McDonald's Corp 6.75% 02/15/03 506,888
------------
$ 1,094,674
INSURANCE-1.10%
$1,000,000 Aetna Services Inc 7.12% 08/15/06 $ 1,028,984
</TABLE>
79
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES (CONTINUED)
INVESTMENT BANKING & BROKERAGE-1.08%
$1,000,000 Salomon Inc 7.00% 05/15/99 $ 1,010,214
TRANSPORTATION-1.20%
$1,000,000 Norfolk Southern Corp 7.80% 05/15/27 $ 1,122,163
UTILITIES-0.56%
$ 500,000 Virginia Electric & Power Co 7.38% 07/01/02 $ 523,618
------------
TOTAL CORPORATE BONDS & NOTES $ 22,667,418
(Cost $21,941,430)
FOREIGN GOVERNMENT BONDS & NOTES++-2.53%
$1,000,000 British Columbia (province Of) 6.50% 01/15/26 $ 1,009,830
750,000 Ontario (Province Of) 7.63 06/22/04 809,722
500,000 Victoria (Province Of) 8.45 10/01/01 543,367
------------
TOTAL FOREIGN GOVERNMENT BONDS & NOTES $ 2,362,919
(Cost $2,181,921)
U.S. GOVERNMENT AGENCY SECURITIES-11.71%
FEDERAL AGENCY-OTHER-3.59%
1,285,000 Financing Corp 9.80 04/06/18 1,808,826
$1,000,000 Tennessee Valley Authority 8.38% 10/01/99 $ 1,039,756
500,000 Tennessee Valley Authority 6.13 07/15/03 500,275
------------
$ 3,348,857
FEDERAL HOME LOAN MORTGAGE CORPORATION-
0.77%
Federal Home Loan Mortgage
$ 700,000 Corp 7.22% 05/17/05 $ 718,945
FEDERAL NATIONAL MORTGAGE ASSOCIATION-
6.82%
Federal National Mortgage
$ 500,000 Assoc 7.55% 04/22/02 531,160
Federal National Mortgage
1,000,000 Assoc 6.77 01/19/06 990,787
Federal National Mortgage
500,000 Assoc 6.70 08/10/01 505,203
Federal National Mortgage
1,000,000 Assoc 6.33 09/09/03 981,951
Federal National Mortgage
1,000,000 Assoc 5.91 02/25/00 1,003,293
Federal National Mortgage
2,000,000 Assoc 5.75 02/15/08 1,979,956
Federal National Mortgage
1,000,000 Assoc 0.00 07/05/14 365,576
------------
$ 6,357,926
STUDENT LOAN MARKETING ASSOCIATION-0.53%
$ 500,000 Student Loan Marketing Assoc 5.88% 02/06/01 $ 496,642
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 10,922,370
(Cost $10,650,875)
</TABLE>
80
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--FEBRUARY 28,
1998
MASTER INVESTMENT PORTFOLIO--BOND INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-58.98%
U.S. TREASURY BONDS-16.34%
$1,100,000 U.S. Treasury Bonds 12.00% 08/15/13 $ 1,623,875
1,150,000 U.S. Treasury Bonds 11.25 02/15/15 1,803,344
500,000 U.S. Treasury Bonds 9.13 05/15/09 586,406
2,450,000 U.S. Treasury Bonds 8.13 08/15/19 3,072,452
1,700,000 U.S. Treasury Bonds 7.88 02/15/21 2,092,063
1,400,000 U.S. Treasury Bonds 7.63 02/15/25 1,703,625
500,000 U.S. Treasury Bonds 7.25 05/15/16 570,625
1,000,000 U.S. Treasury Bonds 7.12 02/15/23 1,144,375
1,500,000 U.S. Treasury Bonds 6.50 11/15/26 1,606,406
1,000,000 U.S. Treasury Bonds 6.13 11/15/27 1,028,125
------------
$ 15,231,296
U.S. TREASURY NOTES-42.64%
$3,400,000 U.S. Treasury Notes 9.13% 05/15/99 $ 3,539,186
2,300,000 U.S. Treasury Notes 7.88 08/15/01 2,463,155
2,700,000 U.S. Treasury Notes 7.50 11/15/01 2,869,592
800,000 U.S. Treasury Notes 7.25 08/15/04 868,500
400,000 U.S. Treasury Notes 7.12 09/30/99 409,250
1,000,000 U.S. Treasury Notes 7.12 02/29/00 1,029,062
1,500,000 U.S. Treasury Notes 7.00 07/15/06 1,625,625
1,200,000 U.S. Treasury Notes 6.88 08/31/99 1,222,500
2,250,000 U.S. Treasury Notes 6.50 05/31/01 2,310,469
2,000,000 U.S. Treasury Notes 6.50 05/15/05 2,095,000
700,000 U.S. Treasury Notes 6.50 10/15/06 736,531
1,000,000 U.S. Treasury Notes 6.38 01/15/00 1,013,750
1,600,000 U.S. Treasury Notes 6.25 03/31/99 1,612,499
1,800,000 U.S. Treasury Notes 6.25 05/31/00 1,825,312
1,000,000 U.S. Treasury Notes 6.25 01/31/02 1,021,562
700,000 U.S. Treasury Notes 6.25 02/15/03 718,813
1,000,000 U.S. Treasury Notes 6.13 08/15/07 1,030,937
3,000,000 U.S. Treasury Notes 6.00 08/15/99 3,018,750
1,000,000 U.S. Treasury Notes 6.00 10/15/99 1,006,562
1,000,000 U.S. Treasury Notes 5.88 11/15/99 1,004,687
1,000,000 U.S. Treasury Notes 5.88 02/15/04 1,014,062
2,500,000 U.S. Treasury Notes 5.88 11/15/05 2,526,563
600,000 U.S. Treasury Notes 5.75 08/15/03 603,187
600,000 U.S. Treasury Notes 5.63 11/30/00 600,937
1,000,000 U.S. Treasury Notes 5.63 02/28/01 1,001,250
700,000 U.S. Treasury Notes 5.50 01/31/03 697,845
1,900,000 U.S. Treasury Notes 5.38 01/31/00 1,893,468
------------
$ 39,759,054
</TABLE>
81
<PAGE>
MASTER INVESTMENT PORTFOLIO--BOND INDEX MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
PRINCIPAL/ INTEREST MATURITY
SHARES SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (CONTINUED)
TOTAL U.S. TREASURY SECURITIES $ 54,990,350
(Cost $53,448,281)
SHORT TERM INSTRUMENTS-8.38%
U.S. TREASURY BILLS-1.79%
990,000 U.S. Treasury Bills 5.37%* 04/23/98 982,597
593,000 U.S. Treasury Bills 5.34* 04/30/98 587,906
100,000 U.S. Treasury Bills 4.85* 03/26/98 99,629
------------
$ 1,670,132
CASH EQUIVALENTS-3.37%
1,145,500 Dreyfus Institutional Money Market
Fund+ $ 1,145,500
500,000 Janus Institutional Money Market Fund+ 500,000
1,500,000 Merrimac Cash Fund--Premium Class+ 1,500,000
------------
$ 3,145,500
REPURCHASE AGREEMENTS-3.22%
$3,000,000 Goldman Sachs Repurchase
Agreement +, dated 2/27/98,
due 3/2/98, with a maturity
value of $3,001,417 and an
effective yield of 5.67%,
collateralized by a Federal
Home Loan Mortgage
Corporation obligation with a
Rate of 7.50%, with a
maturity date of 1/1/28 and
with a market value of
$3,060,000. $ 3,000,000
------------
TOTAL SHORT TERM INSTRUMENTS $ 7,815,632
(Cost $7,815,221)
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL
INVESTMENT IN
SECURITIES
(Cost
$96,037,728)**
(Notes 1 and 3) 105.93% $ 98,758,689
Other Assets (5.93)% (5,524,558)
and
Liabilities,
Net
------ ------------
TOTAL NET 100.00% $ 93,234,131
ASSETS
====== ============
- -----------------------------------------------------
</TABLE>
+ Represents investment of collateral received from securities lending transac-
tions. See Note 4.
++ Investment is denominated in U.S. Dollars.
* Yield to maturity.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $3,160,717
Gross Unrealized Depreciation (439,756)
----------
NET UNREALIZED APPRECIATION $2,720,961
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
82
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY
28, 1998
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-89.46%
ADVERTISING-1.77%
Ha-Lo Industries Inc+ 98,000 $ 2,897,125
Snyder Communications Inc+ 32,000 1,314,000
------------
TOTAL ADVERTISING
- VALUE $ 4,211,125
- COST $ 1,949,051
AEROSPACE & DEFENSE-0.45%
BE Aerospace Inc+ 36,000 $ 1,059,750
------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 1,059,750
- COST $ 983,861
AIRLINES-0.90%
Atlas Air Inc+ 71,500 $ 2,127,125
------------
TOTAL AIRLINES
- VALUE $ 2,127,125
- COST $ 2,668,046
APPAREL-1.15%
Tommy Hilfiger Corp+ 51,000 $ 2,731,688
------------
TOTAL APPAREL
- VALUE $ 2,731,688
- COST $ 2,342,044
BANK & FINANCE-3.52%
Ahmanson (H F) & Co 36,000 $ 2,247,750
C.I.T. Group Inc Class A+ 28,200 930,600
ContiFinancial Corp+ 44,000 1,193,500
MGIC Investment Corp 9,000 663,188
Security Capital Group Class B+ 20,000 618,750
SLM Holding Corp 65,000 2,685,313
------------
TOTAL BANK & FINANCE
- VALUE $ 8,339,101
- COST $ 8,094,144
BASIC INDUSTRIES-0.52%
Fort James Corp 27,000 $ 1,225,125
------------
TOTAL BASIC INDUSTRIES
- VALUE $ 1,225,125
- COST $ 1,171,673
</TABLE>
83
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY-0.33%
Medimmune Inc+ 15,000 $ 778,125
------------
TOTAL BIOTECHNOLOGY
- VALUE $ 778,125
- COST $ 666,648
BROADCASTING-2.82%
Chancellor Media Corp Class A 37,000 $ 1,655,750
Clear Channel Communications Inc+ 21,000 1,903,125
Jacor Communications Inc+ 54,000 3,125,250
------------
TOTAL BROADCASTING
- VALUE $ 6,684,125
- COST $ 5,053,562
BUSINESS SERVICES-7.60%
Accustaff Inc+ 184,500 $ 5,212,125
Cendant Corp+ 103,333 3,874,988
Concord EFS Inc+ 148,500 4,622,063
Quintiles Transnational Corp 88,000 4,301,000
------------
TOTAL BUSINESS SERVICES
- VALUE $ 18,010,176
- COST $ 13,444,242
COMPUTER SOFTWARE-17.40%
Altera Corp+ 15,000 $ 646,875
America Online Inc+ 45,500 5,511,188
Bay Networks Inc+ 57,000 1,930,875
Cambridge Technology Partners Inc+ 37,000 1,683,500
Checkfree Holdings Corp+ 84,000 1,806,000
Envoy Corp+ 83,000 3,371,875
Gartner Group Inc Class A+ 22,000 877,250
HBO & Co 138,000 7,469,250
Manugistics Group Inc 25,000 996,875
Microsoft Corp 33,000 2,796,750
Networks Associates Inc+ 76,708 4,957,255
Sterling Commerce Inc+ 128,000 5,840,000
Veritas Software Corp 59,000 3,355,625
------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 41,243,318
- COST $ 25,697,648
</TABLE>
84
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY
28, 1998
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
COMPUTER SYSTEMS-2.30%
Cisco Systems Inc 63,750 $ 4,199,531
Comverse Technology Inc+ 27,000 1,262,250
------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 5,461,781
- COST $ 3,542,891
ELECTRONICS-2.03%
Analog Devices Inc+ 53,001 $ 1,709,282
KLA Instruments Corp+ 18,000 $ 830,812
Novellus System Inc 18,000 862,875
Teradyne Inc+ 30,000 1,415,625
------------
TOTAL ELECTRONICS
- VALUE $ 4,818,594
- COST $ 4,519,967
ENERGY & RELATED-3.85%
Diamond Offshore Drilling Inc 32,000 $ 1,450,000
Ensco International Inc 81,000 2,359,125
Reading & Bates Falcon Corp+ 44,000 1,166,000
Santa Fe International Corp 67,000 2,374,313
Tosco Corp 48,000 1,782,000
------------
TOTAL ENERGY & RELATED
- VALUE $ 9,131,438
- COST $ 8,488,869
ENGINEERING & CONSTRUCTION-0.83%
Centex Corp 27,000 $ 1,972,688
------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 1,972,688
- COST $ 1,668,510
ENTERTAINMENT & LEISURE-1.04%
Family Golf Centers Inc+ 73,000 $ 2,454,625
------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 2,454,625
- COST $ 1,487,940
</TABLE>
85
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ENVIRONMENTAL CONTROL-2.27%
Philip Services Corp + 221,000 $ 2,113,313
U.S. Filter Corp + 31,000 1,052,063
U.S.A. Waste Services Inc + 53,500 2,226,938
------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 5,392,314
- COST $ 6,180,373
FOOD & RELATED-1.36%
Flowers Industries Inc 19,000 $ 483,313
Keebler Foods Co + 25,000 784,375
Suiza Foods Corp + 30,000 1,944,375
------------
TOTAL FOOD & RELATED
- VALUE $ 3,212,063
- COST $ 3,013,294
FURNITURE & APPLIANCES-0.17%
Steelcase Inc + 11,500 $ 414,719
------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 414,719
- COST $ 322,000
HEALTHCARE-7.34%
Cardinal Health Inc 14,000 $ 1,146,250
Genesis Health Ventures Inc + 185,000 5,365,000
Healthsouth Corp 212,000 5,724,000
Total Renal Care Holdings 160,200 5,156,426
------------
TOTAL HEALTHCARE
- VALUE $ 17,391,676
- COST $ 10,937,933
HOSPITAL & MEDICAL SUPPLIES-2.99%
Guidant Corp 42,500 $ 3,099,844
Tenet Healthcare Corp + 107,000 3,992,438
------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 7,092,282
- COST $ 5,827,374
INSURANCE-3.89%
Conseco Inc 63,000 $ 2,957,063
Humana Inc+ 51,000 1,297,313
</TABLE>
86
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY
28, 1998
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
PMI Group Inc 23,000 $ 1,673,250
Providian Financial Corp 58,000 3,291,500
------------
TOTAL INSURANCE
- VALUE $ 9,219,126
- COST $ 7,881,482
LODGING-0.53%
CapStar Hotel Co+ 37,000 $ 1,248,750
------------
TOTAL LODGING
- VALUE $ 1,248,750
- COST $ 1,285,073
MANUFACTURING-0.44%
Hexcel Corp+ 40,000 $ 1,052,500
------------
TOTAL MANUFACTURING
- VALUE $ 1,052,500
- COST $ 983,603
METAL FABRICATORS-0.69%
Steel Dynamics Inc+ 86,000 $ 1,634,000
------------
TOTAL METAL FABRICATORS
- VALUE $ 1,634,000
- COST $ 2,177,125
PHARMACEUTICALS-5.15%
BioChem Pharma Inc 89,000 $ 1,996,938
Elan Corp PLC ADR (Ireland)+ 25,000 1,551,563
Forest Labs Inc Class A+ 21,000 1,313,813
Henry Schein Inc+ 39,000 1,589,250
McKesson Corp 34,000 1,772,250
Omnicare Inc 33,000 1,221,000
PharMerica Inc+ 82,000 1,066,000
Watson Pharmaceutical Inc 47,000 1,686,125
------------
TOTAL PHARMACEUTICALS
- VALUE $ 12,196,939
- COST $ 10,871,910
PUBLISHING-0.27%
Peterson Companies Inc Class A+ 25,000 $ 640,625
------------
TOTAL PUBLISHING
- VALUE $ 640,625
- COST $ 449,980
</TABLE>
87
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY 28,
1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE-0.96%
FelCor Suite Hotels Inc REIT 40,000 $ 1,435,000
Mack-Cali Realty Corp REIT 22,000 830,500
------------
TOTAL REAL ESTATE
- VALUE $ 2,265,500
- COST $ 2,320,248
RETAIL & RELATED-8.27%
CompUSA Inc+ 54,000 $ 1,890,000
Consolidated Stores Corp 15,000 616,875
Corporate Express Inc+ 195,000 1,974,375
Dollar Tree Stores Inc 15,000 650,625
Eagle Hardware & Garden Inc+ 108,000 2,045,250
Gymboree Co+ 64,000 1,720,000
Office Depot Inc+ 158,500 4,358,750
Proffitt's Inc 77,500 2,625,313
Rite Aid Corp 115,000 3,723,125
------------
TOTAL RETAIL & RELATED
- VALUE $ 19,604,313
- COST $ 18,830,127
SERVICES-0.83%
Corrections Corp of America+ 51,500 $ 1,969,875
------------
TOTAL SERVICES
- VALUE $ 1,969,875
- COST $ 2,054,964
TELECOMMUNICATIONS-6.92%
360 Communications Co+ 66,000 $ 1,749,000
Advanced Fibre Communication 36,000 1,077,750
Ciena Corp+ 20,000 838,750
Cincinnati Bell Inc 25,000 800,000
LCI International Inc+ 188,000 6,204,000
NEXTEL Communications Class A+ 40,500 1,197,281
Pairgain Technologies Inc+ 105,000 2,113,125
Tellabs Inc+ 40,000 2,415,000
------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 16,394,906
- COST $ 12,266,878
</TABLE>
88
<PAGE>
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK MASTER PORTFOLIO--FEBRUARY
28, 1998
MANAGED SERIES INVESTMENT TRUST--GROWTH STOCK
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
UTILITIES-0.87%
AES Corp 47,000 $ 2,068,000
------------
TOTAL UTILITIES
- VALUE $ 2,068,000
- COST $ 2,053,639
TOTAL COMMON STOCKS
- VALUE $212,046,372
- COST $169,235,099
WARRANTS-1.44%
Intel Corp expires 03/14/98 50,000 $ 3,425,000
Checkers Drive In Restaurants
expires 12/22/2000+ 5,095 955
------------
TOTAL WARRANTS
- VALUE $ 3,425,955
- COST $ 662,500
TOTAL INVESTMENTS IN
SECURITIES (Cost
$169,897,599)*
(Notes 1 and 3) 90.90% $215,472,327
Other Assets 9.10% 21,576,450
and Liabilities,
Net
------ ------------
TOTAL NET ASSETS 100.00% $237,048,777
====== ============
</TABLE>
- --------------------------------------------------------------------------------
+ Non-Income earning securities.
* Cost for federal income tax purposes is $170,068,503 and net unrealized ap-
preciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $50,026,168
Gross Unrealized
Depreciation $(4,622,344)
-----------
NET UNREALIZED APPRECIATION $45,403,824
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
89
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS
PERCENT OF NET ASSETS 23.63% 48.34%
ADVERTISING
PERCENT OF NET ASSETS 0.03% 0.04%
Omnicom Group 776 $ 35,502 1,340 $ 61,305
Outdoor Systems Inc 0 -- 600 17,888
------------ ------------
TOTAL ADVERTISING
- VALUE $ 35,502 $ 79,193
- COST $ 15,003 $ 37,316
AEROSPACE & DEFENSE
PERCENT OF NET ASSETS 0.28% 0.71%
Allied Signal Inc 922 $ 39,243 4,665 $ 198,554
Boeing Co 1,742 94,504 8,317 451,197
Briggs & Stratton Corp 52 2,304 268 11,876
Coltec Industries+ 200 5,213 500 13,031
Gencorp Inc 0 -- 0 --
General Dynamics Corp 63 5,465 602 52,224
Gulfstream Aerospace Corp+ 0 -- 400 16,200
Lockheed Martin Corp 360 42,008 1,699 198,252
Newport News Shipbuilding 64 1,749 293 7,979
Northrop Grumman Corp 139 19,321 554 77,006
Primex Technologies Inc 47 2,033 56 2,422
Rockwell International Corp 320 19,360 1,879 113,680
Sequa Corp Class A+ 110 8,271 0 --
Stewart & Stevenson Services 364 8,895 380 9,286
Sundstrand Corp 326 19,723 560 33,880
Textron Inc 267 20,008 1,469 110,083
United Technologies Corp 406 36,261 2,001 178,714
------------ ------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 324,358 $ 1,474,384
- COST $ 251,064 $ 1,062,982
AIRLINES
PERCENT OF NET ASSETS 0.24% 0.48%
Airtran Holdings Inc+ 300 $ 1,744 200 $ 1,163
Amr Corp+ 137 17,339 796 100,744
British Airways PLC ADR (UK) 760 72,200 2,400 228,000
Comair Holdings Inc 0 -- 600 15,975
Continental Airlines Class
B+ 0 -- 500 25,125
Delta Air Lines Inc 141 15,942 664 75,074
Fdx Corp+ 232 14,776 1,287 81,966
Japan Air Lines Co ADR
(Japan) 9,808 78,464 31,600 252,800
KLM Royal Dutch Airlines ADR
(NetherLands) 313 11,464 1,024 37,493
Northwest Airlines Corp
Class A+ 400 23,550 700 41,213
</TABLE>
90
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
69.76% 85.55% 99.42%
0.05% 0.06% 0.09%
3,040 $ 139,080 2,520 $ 115,290 6,116 $ 279,807
1,350 40,247 1,050 31,303 2,350 70,059
------------ ------------ ------------
$ 179,327 $ 146,593 $ 349,866
$ 78,337 $ 79,178 $ 203,852
1.05% 1.26% 1.22%
11,296 $ 480,786 9,737 $ 414,431 16,337 $ 695,344
19,888 1,078,924 17,157 930,767 28,885 1,567,011
557 24,682 459 20,339 829 36,735
700 18,244 900 23,456 1,800 46,913
485 13,216 0 -- 0 --
1,301 112,862 1,112 96,466 1,846 160,140
900 36,450 700 28,350 1,600 64,800
3,890 453,914 3,368 393,004 5,597 653,100
616 16,775 465 12,677 846 23,065
1,368 190,152 1,184 164,576 1,973 274,247
108 4,662 86 3,711 126 5,450
4,164 251,922 3,548 214,654 6,051 366,085
137 10,301 102 7,669 0 --
495 12,097 365 8,920 845 20,650
1,090 65,945 930 56,265 2,090 126,445
3,286 246,245 2,844 213,122 4,768 357,302
4,657 415,928 4,040 360,823 6,710 599,287
------------ ------------ ------------
$ 3,433,105 $ 2,949,230 $ 4,996,574
$ 2,331,805 $ 2,008,448 $ 4,079,521
0.69% 0.89% 0.94%
400 $ 2,325 200 $ 1,163 700 $ 4,069
1,842 233,128 1,596 201,994 2,602 329,316
5,425 515,375 4,900 465,500 9,050 859,750
1,200 31,950 1,000 26,625 2,100 55,913
900 45,225 900 45,225 1,900 95,475
1,443 163,149 1,275 144,155 2,175 245,911
2,958 188,388 2,489 158,518 4,458 283,919
72,475 579,800 73,774 590,192 118,787 950,296
2,358 86,362 2,198 80,502 3,980 145,767
1,500 88,313 1,300 76,538 2,800 164,850
</TABLE>
91
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Southwest Airlines Co 346 $ 9,926 1,869 $ 53,617
Ual Corp+ 300 25,538 600 51,075
USAir Group Inc+ 133 8,421 663 41,976
------------ ------------
TOTAL AIRLINES
- VALUE $ 279,364 $ 1,006,221
- COST $ 268,600 $ 962,134
APPAREL
PERCENT OF NET ASSETS 0.09% 0.18%
CVS Corp 647 $ 47,918 1,408 $ 104,280
Fruit of the Loom Inc Class
A+ 117 3,759 655 21,042
Hartmarx Corp+ 81 658 230 1,869
Land's End Inc+ 0 -- 0 --
Liz Claiborne Inc 91 4,550 585 29,250
Nike Inc Class B 383 16,804 2,411 105,783
Nine West Group Inc+ 200 5,500 300 8,250
Oshkosh B'Gosh Class A 26 1,021 49 1,923
Phillips Van Heusen Corp 0 -- 0 --
Reebok International Ltd+ 97 3,025 429 13,379
Russell Corp 75 2,034 298 8,083
Stride Rite Corp 63 772 375 4,594
VF Corp 130 6,199 1,211 57,750
Warnaco Group Inc Class A 300 11,138 500 18,563
------------ ------------
TOTAL APPAREL
- VALUE $ 103,378 $ 374,766
- COST $ 66,123 $ 279,742
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.13% 0.34%
Bandag Inc 0 $ -- 100 $ 5,606
Bandag Inc Class A 100 5,163 100 5,163
Breed Technologies Inc 0 -- 0 --
Cooper Tire & Rubber Co 125 2,883 649 14,968
Dana Corp 152 8,294 891 48,615
Deluxe Corp 174 5,927 749 25,513
Eaton Corp 86 8,261 684 65,707
Echlin Inc 105 5,309 596 30,135
Genuine Parts Co 359 13,283 1,644 60,828
Goodyear Tire & Rubber Co 247 17,074 1,345 92,973
Illinois Tool Works Inc 359 21,518 2,013 120,654
ITT Industries Inc 236 8,083 1,081 37,024
Lear Corp+ 200 10,575 500 26,438
Mascotech Inc 0 -- 300 6,225
Meritor Automotive Inc 70 1,750 730 18,250
Modine Manufacturing Co 309 10,815 250 8,750
</TABLE>
92
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MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
4,134 $ 118,594 3,688 $ 105,800 8,366 $ 240,000
1,200 102,150 1,100 93,638 2,300 195,788
1,493 94,526 1,470 93,069 3,462 219,188
------------ ------------ ------------
$ 2,249,285 $ 2,082,919 $ 3,790,242
$ 2,046,107 $ 1,921,042 $ 3,594,674
0.27% 0.31% 0.35%
3,219 $ 238,407 2,749 $ 203,598 6,670 $ 493,997
1,442 46,324 1,151 36,976 2,093 67,238
389 3,161 354 2,876 618 5,021
547 21,538 0 -- 0 --
1,399 69,950 1,114 55,700 2,028 101,400
5,819 255,309 4,986 218,761 8,402 368,638
300 8,250 400 11,000 1,000 27,500
228 8,949 85 3,336 222 8,714
410 5,330 290 3,770 0 --
1,041 32,466 923 28,786 2,094 65,307
752 20,398 721 19,557 1,106 30,000
893 10,939 707 8,661 1,450 17,763
2,454 117,025 2,031 96,853 3,491 166,477
1,000 37,125 800 29,700 2,100 77,963
------------ ------------ ------------
$ 875,171 $ 719,574 $ 1,430,018
$ 639,350 $ 537,857 $ 1,249,550
0.48% 0.57% 0.63%
200 $ 11,213 100 $ 5,606 300 $ 16,819
200 10,325 200 10,325 400 20,650
0 -- 0 -- 100 2,175
1,631 37,615 1,228 28,321 2,207 50,899
2,102 114,690 1,794 97,885 3,057 166,798
1,621 55,215 1,377 46,904 2,299 78,310
1,574 151,202 1,294 124,305 2,219 213,163
1,252 63,304 1,080 54,608 1,781 90,052
3,574 132,238 3,049 112,795 5,151 190,587
3,108 214,840 2,687 185,739 4,471 309,058
4,572 274,034 3,904 233,996 9,687 580,614
2,416 82,748 1,944 66,582 3,542 121,313
1,000 52,875 800 42,300 1,800 95,175
0 -- 400 8,300 800 16,600
1,418 35,450 1,232 30,800 4,310 107,750
465 16,275 335 11,725 500 17,500
</TABLE>
93
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Navistar International Corp+ 134 $ 4,070 681 $ 20,685
PACCAR Inc 103 6,521 687 43,496
Pep Boys-Manny Moe & Jack 59 1,512 599 15,349
Strattec Security Corp+ 10 263 28 737
Superior Industries
International Inc 322 10,002 260 8,076
TRW Inc 231 12,662 1,060 58,101
------------ ------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 153,965 $ 713,293
- COST $ 116,710 $ 513,307
AUTOMOBILES
PERCENT OF NET ASSETS 0.78% 1.61%
Chrysler Corp 1,119 $ 43,571 5,550 $ 216,103
Daimler-Benz
Aktiengesellschaft ADR
(Germany) 4,451 361,087 14,860 1,205,518
Fiat SpA ADR (UK) 4,288 76,112 14,030 249,033
Ford Motor Co 2,081 117,707 9,992 565,172
General Motors Corp Class A 1,211 83,483 5,827 401,699
General Motors Class H 500 20,719 1,000 41,438
Harley-Davidson Inc 736 21,344 1,500 43,500
Hertz Corp. Class A 0 -- 200 7,925
Honda Motor Co Ltd ADR
(Japan) 533 37,510 1,895 133,361
Nissan Motor Co Ltd ADR
(Japan) 3,635 32,261 11,246 99,808
Toyota Motor Corp ADR
(Japan) 2,178 119,518 6,951 381,436
------------ ------------
TOTAL AUTOMOBILES
- VALUE $ 913,312 $ 3,344,993
- COST $ 714,549 $ 2,588,596
BANK & FINANCE
PERCENT OF NET ASSETS 2.85% 5.64%
Advanta Corp Class B 163 $ 3,586 163 $ 3,586
Ahmanson (H F) & Co 134 8,367 872 54,446
Allied Irish Banks PLC ADR
(Ireland) 1,816 140,967 6,002 465,905
American Express Corp 761 68,538 3,759 338,545
Amsouth Bancorp 400 22,475 750 42,141
Associates First Capital
Corp 300 24,000 600 48,000
Banc One Corp 1,142 64,512 5,407 305,484
Banco Bilbao Vizcaya ADR
(Spain) 1,440 66,780 4,936 228,907
Banco Central
Hispanoamericano SA ADR
(Spain) 2,016 62,496 6,739 208,909
Banco Santander SA ADR
(Spain) 1,085 50,588 3,500 163,188
Bank of New York Inc 694 40,642 3,102 181,661
BankAmerica Corp 1,171 90,753 5,713 442,758
BankBoston Corp 256 25,520 1,302 129,793
Bankers Trust Corp 194 22,941 869 102,759
</TABLE>
94
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,512 $ 45,927 1,259 $ 38,242 2,284 $ 69,377
1,563 98,957 1,328 84,079 2,218 140,427
1,272 32,595 1,009 25,856 1,960 50,225
72 1,895 49 1,289 0 --
454 14,102 331 10,282 510 15,842
2,460 134,839 2,140 117,299 3,503 192,008
------------ ------------ ------------
$ 1,580,339 $ 1,337,238 $ 2,545,342
$ 1,130,611 $ 943,377 $ 1,953,881
2.38% 3.02% 3.02%
13,230 $ 515,143 11,346 $ 441,785 19,164 $ 746,198
33,458 2,714,280 30,441 2,469,526 55,953 4,539,187
31,770 563,918 28,775 510,756 52,980 940,395
23,967 1,355,633 20,643 1,167,620 34,675 1,961,305
14,137 974,569 12,129 836,143 20,415 1,407,359
2,100 87,019 1,800 74,588 3,900 161,606
3,018 87,522 2,788 80,852 5,980 173,420
400 15,850 400 15,850 800 31,700
4,187 294,660 4,292 302,050 6,944 488,684
26,944 239,128 27,449 243,610 44,207 392,337
16,271 892,871 16,569 909,224 26,644 1,462,089
------------ ------------ ------------
$ 7,740,593 $ 7,052,004 $ 12,304,280
$ 5,887,555 $ 5,604,964 $ 10,092,709
8.17% 9.98% 11.24%
272 $ 5,984 217 $ 4,774 380 $ 8,360
1,905 118,943 1,584 98,901 3,115 194,493
13,553 1,052,052 12,241 950,208 22,591 1,753,626
8,502 765,711 7,343 661,329 18,051 1,625,718
1,500 84,281 1,350 75,853 2,950 165,753
1,400 112,000 1,200 96,000 2,600 208,000
12,864 726,794 11,105 627,404 18,689 1,055,917
11,135 516,386 10,083 467,599 18,490 857,474
15,217 471,727 13,792 427,552 25,532 791,492
7,900 368,337 7,150 333,369 13,250 617,781
7,545 441,854 6,423 376,147 10,868 636,457
13,834 1,072,135 11,961 926,978 20,064 1,554,960
2,944 293,480 2,509 250,116 4,177 416,395
1,999 236,382 1,927 227,868 2,875 339,969
</TABLE>
95
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BB&T Corp 500 $ 31,031 1,127 $ 69,944
Bear Stearns Co Inc 500 23,313 1,055 49,189
Beneficial Corp 44 5,192 452 53,336
California Federal Bank 0 -- 0 --
Campstead Mortgage Corp 0 -- 400 7,600
Capital One Financial Corp 0 -- 100 6,719
CCB Financial Corp 0 -- 200 21,725
Centura Banks Inc 0 -- 300 21,263
Charter One Financial Inc 350 21,178 651 39,447
Chase Manhattan Bank 729 90,442 3,334 413,624
Citicorp 797 105,603 3,816 505,620
Comdisco Inc 324 13,507 568 23,658
Comerica Inc 143 14,416 888 89,522
Commerce Bancshares Inc 157 11,226 357 25,526
Compass Bancshares Inc 400 18,400 600 27,600
ContiFinancial Corp+ 0 -- 100 2,713
CoreStates Financial Corp 313 26,429 1,768 149,286
Countrywide Credit
Industries Inc 1,304 57,947 945 41,993
Credit Acceptance Corp+ 200 1,638 200 1,638
Crescent Operating Inc+ 0 -- 80 1,590
Crescent Real Estate Co 0 -- 1,000 34,063
Crestar Financial Corp 504 27,846 1,140 62,985
Deposit Guaranty Corp 0 -- 400 22,175
Dime Bancorp Inc 500 15,250 1,200 36,600
Donaldson Lufkin & Jenrette
Inc 0 -- 100 8,188
Duke Realty Investments 0 -- 700 16,056
Edwards A G & Sons Inc 382 16,068 830 34,912
Equifax Inc 1,416 50,888 1,265 45,461
Federal Home Loan Mortgage
Corp 1,193 56,369 5,834 275,657
Federal National Mortgage
Assoc 1,861 118,755 8,434 538,195
Fifth Third Bancorp 273 21,567 1,282 101,278
Finova Group Inc 200 11,000 500 27,500
First American Corp 400 19,150 600 28,725
First Chicago NBD Corp 547 44,957 2,446 201,031
First Commerce Corp 200 15,800 300 23,700
First Commercial Corp 0 -- 310 20,479
First Empire State Corp 0 -- 0 --
First Hawaiian Inc 200 7,925 200 7,925
First of America Bank Corp 421 32,668 915 71,045
First Security Corp 842 19,512 1,655 38,375
First Tennessee National
Corp 616 19,635 1,280 40,800
First Union Corp 1,500 79,031 5,195 273,712
First Virginia Banks Inc 338 17,111 570 28,856
Firstar Corp 600 25,088 1,200 50,175
</TABLE>
96
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2,752 $ 170,796 2,331 $ 144,668 3,962 $ 245,892
2,209 102,995 1,969 91,805 4,283 199,695
1,084 127,912 937 110,566 1,558 183,844
0 -- 0 -- 120 3,030
800 15,200 700 13,300 1,500 28,500
100 6,719 100 6,719 300 20,156
300 32,588 300 32,588 600 65,175
500 35,438 500 35,438 1,000 70,875
1,402 84,952 1,171 70,955 2,438 147,727
7,665 950,939 6,695 830,598 16,436 2,039,091
9,130 1,209,725 7,850 1,040,125 13,167 1,744,628
1,162 48,420 1,054 43,939 2,263 94,339
2,078 209,488 1,820 183,479 3,046 307,075
909 64,994 683 48,835 1,551 110,897
1,350 62,100 1,150 52,900 2,550 117,300
0 -- 200 5,425 300 8,138
3,988 336,737 3,412 288,101 5,715 482,560
2,207 98,074 1,876 83,365 3,064 136,156
0 -- 200 1,638 500 4,094
0 -- 0 -- 200 3,975
2,200 74,938 1,800 61,313 4,000 136,250
2,170 119,893 2,030 112,158 4,370 241,443
700 38,806 700 38,806 1,500 83,156
2,400 73,200 2,300 70,150 4,700 143,350
200 16,375 200 16,375 500 40,938
1,300 29,819 1,300 29,819 2,700 61,931
1,825 76,764 1,565 65,828 3,337 140,363
2,894 104,003 2,381 85,567 5,671 203,802
13,847 654,271 11,928 563,598 20,116 950,481
19,326 1,233,240 16,693 1,065,222 41,421 2,643,178
2,878 227,362 2,413 190,627 5,977 472,183
1,200 66,000 1,000 55,000 2,100 115,500
1,400 67,025 1,100 52,663 2,500 119,688
5,844 480,304 4,953 407,075 8,377 688,485
700 55,300 600 47,400 1,300 102,700
525 34,683 525 34,683 1,140 75,311
100 47,200 100 47,200 200 94,400
300 11,888 400 15,850 900 35,663
1,813 140,848 1,603 124,533 3,587 278,665
3,292 76,339 2,930 67,928 6,488 150,429
2,640 84,150 2,400 76,500 5,360 170,850
12,489 658,014 10,787 568,340 18,101 953,696
1,186 60,041 941 47,638 2,117 107,173
2,700 112,894 2,300 96,169 5,000 209,063
</TABLE>
97
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Firstmerit Corp 300 $ 8,831 600 $ 17,663
Firstplus Financial Group+ 0 -- 300 9,900
Fleet Financial Group Inc 466 36,727 2,171 171,102
Franklin Resources Inc 788 40,188 1,600 81,600
GATX Corp 123 9,533 270 20,925
Golden State Bancorp+ 0 -- 400 14,250
Golden West Financial 64 5,712 500 44,625
Green Tree Financial Inc 256 5,872 1,199 27,502
Greenpoint Financial Corp 200 14,850 400 29,700
Hibernia Corp Class A 600 12,000 1,400 28,000
Highwood Properties Inc 0 -- 500 17,406
Household International Inc 145 18,832 960 124,680
Huntington Bancshares Inc 1,454 52,162 1,736 62,279
Ing Groep NV Sponsored ADR
(Netherlands) 57 3,032 86 4,574
John Nuveen & Co Inc Class A 0 -- 100 3,531
Keycorp 382 26,764 1,894 132,698
Keystone Financial Inc 0 -- 500 20,938
Lehman Brothers Holdings 500 31,531 800 50,450
MBNA Corp 644 23,063 4,040 144,683
Medaphis Corp+ 800 8,300 900 9,338
Mellon Bank Corp 437 27,231 2,273 141,636
Mercantile Bancorp 654 36,379 1,405 78,153
Mercantile Bankshares 454 15,904 735 25,748
Mercury Financial Corp+ 1,800 1,013 1,800 1,013
Merrill Lynch & Co Inc 530 37,928 2,774 198,514
MGIC Investment Corp 205 15,106 884 65,140
Money Store Inc 400 9,975 400 9,975
Morgan (J P) & Co Inc 346 41,347 1,584 189,288
Morgan Stanley Dean Witter 984 68,590 4,717 328,681
National Australia Bank Ltd
ADR (Australia) 1,213 84,910 3,931 275,170
National City Corp 332 21,663 1,900 123,975
NationsBank Corp 1,662 113,847 7,797 534,095
Northern Trust Corp 534 40,617 920 69,978
Northfork Bancorp 0 -- 600 20,513
Norwest Corp 1,247 51,049 6,618 270,924
Old Kent Financial Corp 402 15,502 934 36,017
Old National Bancorp 346 16,176 231 10,799
Pacific Century Financial
Corp 748 16,129 1,820 39,244
Paine Webber Group Inc 500 21,000 1,000 42,000
Peoples Bank Bridgeport 0 -- 200 7,513
PNC Bank Corp 519 28,805 2,725 151,237
Price (T Rowe) & Associates 200 13,275 500 33,188
</TABLE>
98
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,000 $ 29,438 1,100 $ 32,381 2,400 $ 70,650
500 16,500 500 16,500 1,200 39,600
5,078 400,210 4,255 335,347 7,844 618,205
3,188 162,588 2,939 149,889 6,395 326,145
502 38,905 417 32,318 1,010 78,275
800 28,500 800 28,500 1,700 60,563
1,102 98,354 997 88,982 1,601 142,889
2,715 62,275 2,337 53,605 3,864 88,631
800 59,400 700 51,975 1,500 111,375
2,900 58,000 2,400 48,000 5,600 112,000
1,000 34,813 800 27,850 1,800 62,663
2,172 282,089 1,878 243,905 3,055 396,768
3,826 137,258 3,273 117,419 5,444 195,304
115 6,117 115 6,117 202 10,744
0 -- 0 -- 0 --
4,337 303,861 3,806 266,658 6,337 443,986
900 37,688 900 37,688 2,000 83,750
2,000 126,125 2,100 132,431 2,900 182,881
9,145 327,505 7,858 281,415 19,491 698,021
1,100 11,413 1,200 12,450 2,000 20,750
5,056 315,052 4,332 269,938 7,361 458,682
2,703 150,354 2,196 122,153 10,010 556,806
1,219 42,703 1,262 44,209 2,720 95,285
2,600 1,462 2,400 1,350 4,400 2,475
6,638 475,032 5,694 407,477 9,612 687,859
2,091 154,081 1,813 133,595 4,494 331,152
700 17,456 700 17,456 1,400 34,913
3,572 426,854 3,030 362,085 5,097 609,091
10,792 752,033 9,329 650,094 23,052 1,606,436
8,922 624,540 8,074 565,180 14,848 1,039,360
4,274 278,878 3,683 240,316 6,145 400,961
18,748 1,284,238 16,166 1,107,371 27,102 1,856,487
2,256 171,597 1,976 150,299 3,630 276,107
1,400 47,863 1,200 41,025 2,500 85,469
15,085 617,542 12,908 528,421 21,786 891,864
1,818 70,107 1,686 65,016 3,820 147,309
463 21,645 347 16,222 810 37,868
3,314 71,458 2,854 61,539 3,070 66,197
2,050 86,100 2,000 84,000 4,150 174,300
500 18,781 400 15,025 900 33,806
6,122 339,771 5,191 288,100 8,770 486,735
1,000 66,375 900 59,738 1,900 126,112
</TABLE>
99
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Provident Financial Group 0 $ -- 200 $ 10,250
Regions Financial Corp 670 26,633 1,400 55,650
Republic New York Corp 102 12,342 491 59,411
Ryder System Inc 139 5,100 687 25,204
Sabre Group Holding Inc+ 0 -- 200 6,600
Schwab (Charles) Corp 278 10,495 2,147 81,049
SLM Holding Corp 750 30,984 1,700 70,231
Star Banc Corp 400 23,550 900 52,988
State Street Corp 1,445 89,319 1,267 78,316
Summit Bancorp 704 34,980 1,655 82,233
SunTrust Banks Inc 339 25,001 1,872 138,060
Synovus Financial Corp 925 32,491 1,410 49,526
TCF Financial Corp 400 13,225 900 29,756
The Fund American Co 0 -- 0 --
U.S. Bancorp 447 51,433 2,006 230,815
Union Planters Corp 400 24,725 800 49,450
UnionBanCal Corp 100 9,313 100 9,313
United Asset Management Corp 500 13,281 700 18,594
Wachovia Corp 612 48,654 1,744 138,648
Washington Federal Inc 312 8,630 553 15,288
Washington Mutual Inc 407 27,320 2,089 140,224
Wells Fargo & Co 156 50,232 674 217,028
Wesco Financial Corp 0 -- 0 --
Westpac Banking Corp ADR
(Australia) 1,796 61,962 5,858 202,101
Wilmington Trust Corp 192 11,880 310 19,181
Zions Bancorp 400 17,200 700 30,100
------------ ------------
TOTAL BANK & FINANCE
- VALUE $ 3,313,700 $ 11,734,629
- COST $ 2,090,123 $ 6,930,444
BASIC INDUSTRIES
PERCENT OF NET ASSETS 0.38% 0.75%
ASARCO Inc 25 $ 553 402 $ 8,894
Avery-Dennison Corp 100 5,050 866 43,733
Baker Hughes Inc 328 13,428 1,504 61,570
Bemis Co 142 6,399 448 20,188
Boise Cascade Corp 69 2,299 503 16,756
Boise Cascade Office
Products+ 0 -- 100 1,806
Bowater Inc 195 9,653 410 20,295
Broken Hill Propriety Co Ltd
ADR (Australia) 790 15,553 2,578 50,754
Champion International Corp 142 7,251 801 40,901
Chesapeake Corp 256 8,688 200 6,788
</TABLE>
100
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
400 $ 20,500 300 $ 15,375 700 $ 35,875
2,838 112,811 2,428 96,513 5,380 213,855
1,090 131,890 902 109,142 1,599 193,479
1,567 57,489 1,303 47,804 2,160 79,245
400 13,200 300 9,900 500 16,500
4,857 183,352 4,245 160,249 10,409 392,940
3,450 142,528 3,500 144,594 7,000 289,188
1,700 100,088 1,600 94,200 3,500 206,062
3,032 187,416 2,515 155,458 6,126 378,663
3,058 151,920 2,971 147,622 5,018 249,307
4,154 306,357 3,576 263,730 6,043 445,671
3,091 108,571 2,815 98,877 6,679 234,600
2,000 66,125 1,700 56,206 3,700 122,331
0 -- 0 -- 100 13,075
4,493 516,976 3,855 443,566 9,591 1,103,564
1,600 98,900 1,300 80,356 3,300 203,981
200 18,625 200 18,625 400 37,250
1,400 37,188 1,200 31,875 2,600 69,063
4,095 325,552 3,538 281,271 5,928 471,276
1,129 31,178 996 27,501 2,037 56,278
4,648 311,997 4,045 271,521 10,003 671,451
1,775 571,550 1,624 522,391 2,473 796,306
0 -- 0 -- 100 36,400
13,159 453,986 11,924 411,378 21,965 757,793
649 40,157 604 37,373 1,375 85,078
1,200 51,600 1,100 47,300 2,700 116,100
------------ ------------ ------------
$ 26,661,417 $ 23,315,850 $ 45,482,045
$ 15,240,587 $ 13,348,240 $ 30,421,589
1.11% 1.36% 1.50%
875 $ 19,359 621 $ 13,740 1,370 $ 30,311
1,922 97,061 1,659 83,779 3,873 195,587
3,398 139,106 2,818 115,362 4,860 198,956
1,075 48,442 892 40,196 1,634 73,632
1,147 38,209 996 33,179 1,723 57,397
800 14,450 200 3,613 400 7,225
852 42,174 707 34,997 1,675 82,913
5,741 113,026 5,193 102,237 9,571 188,429
1,932 98,653 1,643 83,896 2,714 138,584
361 12,251 266 9,027 650 22,059
</TABLE>
101
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Consolidated Papers Inc 86 $ 4,993 280 $ 16,258
Crown Vantage Inc+ 21 144 48 330
Cyprus Amax Minerals 140 2,293 800 13,100
Deltic Timber Corp 141 3,964 166 4,661
Dover Corp 310 11,974 1,748 67,517
Fort James Corp 576 26,136 1,546 70,150
Georgia-Pacific Corp 137 8,040 793 46,539
Glatfelter (P H) Co 486 8,535 280 4,918
Harnischfeger Industries Inc 110 3,891 405 14,327
Homestake Mining Co 222 2,220 1,287 12,870
Ikon Office Solutions Inc 194 6,341 1,228 40,140
Inco Ltd 236 4,174 1,469 25,983
Longview Fibre Co 554 8,552 540 8,336
Louisiana-Pacific Corp 123 2,698 942 20,665
LTB Corp 900 10,856 1,100 13,269
Mark IV Industries Inc 247 5,743 432 10,044
Mead Corp 112 3,829 975 33,333
Minnesota Mining &
Manufacturing Co 685 58,439 3,265 278,545
Mitsubishi Corp ADR (Japan) 3,294 50,115 14,325 217,941
NACCO Industries Inc Class A 18 2,341 48 6,243
Newmont Gold Co 100 2,925 100 2,925
Newmont Mining Corp 164 4,746 1,336 38,661
Potlatch Corp 102 4,418 245 10,612
Rayonier Inc 156 6,611 250 10,594
Sealed Air Corp+ 200 13,463 400 26,925
Smith International Inc+ 214 11,395 400 21,300
St Joe Paper Corp 300 10,238 300 10,238
Stone Container Corp+ 87 979 850 9,562
U.S. Industries Inc 292 8,140 757 21,101
Union Camp Corp 75 4,481 644 38,479
Unisource Worldwide Inc 94 1,281 665 9,061
Varco International Inc 584 14,527 0 --
Varian Associates Inc 177 10,266 290 16,820
Watts Industries Inc Class A 308 9,259 0 --
Wausau-Mosinee Paper Corp 392 8,477 316 6,834
Westvaco Corp 206 6,695 932 30,290
Weyerhauser Co 369 18,427 1,719 85,843
Whitman Corp 64 1,140 877 15,622
Willamette Industries Inc 219 8,089 1,020 37,676
------------ ------------
TOTAL BASIC INDUSTRIES
- VALUE $ 439,709 $ 1,569,397
- COST $ 384,202 $ 1,492,604
</TABLE>
102
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
570 $ 33,096 490 $ 28,451 1,070 $ 62,127
104 715 81 557 132 907
1,856 30,392 1,445 23,662 2,934 48,044
308 8,654 199 5,601 334 9,399
4,052 156,508 3,718 143,608 8,494 328,081
4,164 188,942 3,619 164,212 5,963 270,571
1,889 110,861 1,536 90,144 2,697 158,280
769 13,506 489 8,588 770 13,523
998 35,304 854 30,210 1,380 48,818
2,961 29,610 2,296 22,960 4,626 46,260
2,671 87,308 2,225 72,730 3,816 124,735
3,405 60,226 2,750 48,641 5,033 89,021
890 13,739 575 8,877 1,330 20,532
2,221 48,723 1,774 38,917 3,116 68,357
1,900 22,919 2,000 24,125 4,000 48,250
870 20,228 762 17,717 1,675 38,944
2,111 72,170 1,940 66,324 3,012 102,973
7,472 637,455 6,429 548,474 15,846 1,351,862
33,788 514,051 34,400 523,362 55,390 842,703
152 19,770 149 19,379 269 34,987
200 5,850 200 5,850 300 8,775
3,105 89,851 2,693 77,929 4,461 129,090
540 23,389 432 18,711 865 37,465
462 19,577 526 22,289 1,119 47,418
906 60,985 736 49,542 1,600 107,700
797 42,440 627 33,388 1,400 74,550
600 20,475 600 20,475 1,100 37,538
2,014 22,657 1,479 16,639 3,054 34,358
1,425 39,722 1,340 37,353 2,001 119,560
1,374 82,097 1,151 68,772 2,674 36,433
1,174 15,996 1,092 14,878 2,852 79,500
1,048 26,069 748 18,607 0 --
735 42,630 590 34,220 1,265 73,370
464 13,949 334 10,041 0 --
572 12,370 407 8,801 371 8,023
2,103 68,348 1,707 55,477 2,874 93,405
3,999 199,700 3,441 171,835 5,792 289,238
2,051 36,533 1,594 28,393 4,065 72,408
2,262 83,553 1,858 68,630 3,176 117,314
------------ ------------ ------------
$ 3,633,099 $ 3,168,395 $ 6,069,612
$ 3,411,265 $ 2,963,119 $ 5,947,578
</TABLE>
103
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO 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 0.84% 1.79%
Anheuser-Busch Inc 852 $ 39,938 3,900 $ 182,813
Cadbury Schweppes PLC ADR
(UK) 1,457 74,307 4,962 253,062
Coca-Cola Co 4,437 304,766 19,699 1,353,075
Coca-Cola Enterprises Co 1,036 34,253 2,130 70,423
Coors (Adolph) Co Class B 69 2,156 343 10,719
Diageo PLC ADR (UK) 3,657 152,007 12,095 502,698
Energy Group PLC ADR (UK) 0 -- 0 --
Hanson PLC ADR (UK) 2,529 64,015 8,356 211,511
Kirin Brewery Co ADR (Japan) 1,597 141,534 5,002 443,302
Louis Vuitton Moet Hennessey
ADR (France) 1,037 41,221 3,421 135,985
Pepsico Inc 2,762 100,986 12,152 444,307
Seagrams Co Ltd 644 24,472 3,275 124,450
------------ ------------
TOTAL BEVERAGES
- VALUE $ 979,655 $ 3,732,345
- COST $ 816,351 $ 2,954,926
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.03% 0.03%
Agouron Pharmaceuticals Inc 0 $ -- 300 $ 11,063
Biogen Inc+ 418 18,444 660 29,123
Chiron Corp+ 496 9,517 892 17,115
Genzyme Corp - General
Division 326 9,637 320 9,460
Genzyme Corp - Tissue
Repair+ 44 319 12 87
Quest Diagnostics Inc+ 46 713 240 3,720
------------ ------------
TOTAL BIOTECHNOLOGY
- VALUE $ 38,630 $ 70,568
- COST $ 29,269 $ 64,348
BROADCASTING
PERCENT OF NET ASSETS 0.16% 0.30%
British Sky Broadcasting ADR
(UK) 817 $ 31,608 2,585 $ 100,007
Chancellor Media Corp Class
A 0 -- 800 35,800
Clear Channel Communications
Inc+ 404 36,613 842 76,306
Hearst-Argyle Television+ 0 -- 500 17,563
Jacor Communications Inc+ 0 -- 100 5,788
Kingworld Productions 204 5,444 580 15,479
LIN Television Corp+ 200 11,025 100 5,513
TCA Cable TV Inc 266 13,101 0 --
TCI Satellite Entertainment
Class A+ 107 716 543 3,631
Tele-Communications Inc
Class A+ 776 22,553 4,151 120,638
Tele-Communications
International Inc Class A+ 300 5,325 200 3,550
</TABLE>
104
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2.59% 3.24% 3.99%
8,938 $ 418,969 7,766 $ 364,031 19,012 $ 891,188
11,081 565,131 10,027 511,377 18,562 946,662
45,057 3,094,853 39,007 2,679,293 96,460 6,625,596
4,264 140,979 3,844 127,092 8,465 279,874
738 23,063 556 17,375 1,159 36,219
27,143 1,128,113 24,682 1,025,846 44,721 1,858,717
0 -- 0 -- 0 --
18,888 478,099 17,086 432,489 31,595 799,748
11,386 1,009,084 11,580 1,026,278 18,702 1,657,465
7,722 306,950 6,983 277,574 12,913 513,292
27,649 1,010,917 24,065 879,877 58,969 2,156,054
7,186 273,068 6,140 233,320 10,329 392,502
------------ ------------ ------------
$ 8,449,226 $ 7,574,552 $ 16,157,317
$ 6,666,172 $ 5,974,797 $ 13,050,240
0.04% 0.05% 0.06%
500 $ 18,438 500 $ 18,438 1,100 $ 40,563
1,282 56,568 1,222 53,921 2,590 114,284
1,624 31,160 1,600 30,700 3,252 62,398
734 21,699 544 16,082 1,100 32,519
71 515 52 377 54 392
515 7,983 389 6,030 825 12,788
------------ ------------ ------------
$ 136,363 $ 125,548 $ 262,944
$ 124,665 $ 100,328 $ 234,725
0.42% 0.54% 0.61%
5,817 $ 225,045 5,240 $ 202,723 9,702 $ 375,346
1,400 62,650 1,400 62,650 3,800 170,050
1,998 181,069 2,169 196,566 2,849 258,191
0 -- 900 31,613 1,900 66,738
0 -- 200 11,575 400 23,150
1,398 37,309 1,168 31,171 2,224 59,353
300 16,538 200 11,025 400 22,050
371 18,272 276 13,593 0 --
1,150 7,691 883 5,905 1,866 12,479
9,284 269,816 7,934 230,582 600 10,650
400 7,100 400 7,100 19,822 576,077
</TABLE>
105
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Tribune Co 241 $ 15,560 967 $ 62,432
USA Networks Inc+ 261 13,454 365 18,772
Viacom Inc Class B+ 587 28,176 3,110 149,280
------------ ------------
TOTAL BROADCASTING
- VALUE $ 183,575 $ 614,759
- COST $ 124,818 $ 460,424
BUILDING MATERIALS &
SERVICES
PERCENT OF NET ASSETS 0.18% 0.28%
American Standard Co Inc+ 200 $ 8,900 500 $ 22,250
Cooper Industries Inc 233 13,077 1,084 60,840
Corning Inc 320 13,000 1,943 78,934
Cytec Industries Inc+ 100 4,888 300 14,663
Dal Tile International Inc 0 -- 0 --
Danaher Corp 200 14,388 280 20,143
Diebold Inc 366 18,803 635 32,623
Fastenal Co 100 4,388 300 13,163
Georgia-Pacific (Timber
Group) 137 3,125 893 20,372
Kennametal Inc 300 15,788 300 15,788
Lafarge Corp 300 10,069 300 10,069
Lawson Products Inc 0 -- 0 --
Martin Marietta Inc 0 -- 100 3,806
Owens Corning Fiberglass
Corp 28 865 411 12,690
Owens Illinois Inc+ 706 27,093 1,158 44,438
PPG Industries Inc 305 19,768 1,564 101,367
Snap-On Inc 138 5,865 577 24,523
Southdown Inc 175 11,200 0 --
Stanley Works 112 5,355 766 36,624
USG Corp+ 200 10,925 300 16,388
Valspar Corp 200 7,013 400 14,025
Vulcan Materials Co 200 20,125 300 30,188
------------ ------------
TOTAL BUILDING MATERIALS &
SERVICES
- VALUE $ 214,635 $ 572,894
- COST $ 127,145 $ 402,329
BUSINESS SERVICES
PERCENT OF NET ASSETS 0.16% 0.37%
Accustaff Inc+ 0 $ -- 900 $ 25,425
APAC Teleservices Inc+ 100 1,475 200 2,950
Apollo Group Inc+ 0 -- 300 12,713
Cendant Corp+ 772 28,950 6,377 239,137
Concord EFS Inc+ 0 -- 600 18,675
Ecolab Inc 124 3,573 1,006 28,985
</TABLE>
106
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2,299 148,429 1,995 128,802 4,699 303,379
950 48,915 772 39,761 1,606 82,709
7,102 340,896 6,039 289,872 10,180 488,640
------------ ------------ ------------
$ 1,363,730 $ 1,262,938 $ 2,448,812
$ 1,044,466 $ 961,746 $ 1,856,010
0.38% 0.49% 0.56%
900 $ 40,050 900 $ 40,050 1,800 $ 80,100
2,438 136,833 2,050 115,056 3,437 192,902
4,238 172,169 3,678 149,419 8,791 357,134
600 29,325 600 29,325 1,300 63,538
0 -- 0 -- 200 2,263
662 47,623 622 44,745 1,280 92,080
1,509 77,525 1,191 61,188 2,655 136,401
600 26,325 500 21,938 1,100 48,263
1,889 43,093 3,236 73,821 5,697 129,963
411 21,629 300 15,788 600 31,575
500 16,781 500 16,781 1,100 36,919
197 5,467 0 -- 0 --
0 -- 200 7,613 300 11,419
1,017 31,400 946 29,208 1,995 61,596
2,641 101,348 2,201 84,463 5,315 203,963
3,543 229,631 3,091 200,335 5,121 331,905
1,261 53,593 1,087 46,198 1,708 72,590
253 16,192 178 11,392 0 --
1,759 84,102 1,487 71,097 3,370 161,128
700 38,238 600 32,775 1,300 71,012
600 21,038 700 24,544 1,500 52,594
600 60,375 600 60,375 1,200 120,750
------------ ------------ ------------
$ 1,252,737 $ 1,136,111 $ 2,258,095
$ 891,337 $ 836,713 $ 1,814,509
0.52% 0.63% 0.89%
1,600 $ 45,200 1,600 $ 45,200 3,400 $ 96,050
400 5,900 400 5,900 600 8,850
600 25,425 500 21,188 1,000 42,375
14,452 541,950 12,482 468,075 42,288 1,585,800
1,100 34,238 1,000 31,125 2,200 68,475
2,478 71,397 1,958 56,415 4,878 140,547
</TABLE>
107
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Intl Technology Corp+ 0 $ -- 0 $ --
Kelly Services Inc Class A 106 3,776 120 4,275
Laidlaw Environmental
Services+ 131 630 353 1,699
Manpower Inc 400 16,875 800 33,750
Nielson (A C) Corp+ 73 1,825 453 11,325
Ogden Corp 101 2,778 525 14,438
Olsten Corp 291 4,692 525 8,466
Paychex Inc 485 25,038 927 47,856
Paymentech Inc+ 0 -- 100 1,650
Quintiles Transnational Corp 200 9,775 500 24,438
Reuters Group PLC ADR (UK) 755 45,198 2,614 156,505
Robert Half International
Inc 300 13,575 650 29,413
Rollins Inc 388 8,003 210 4,331
Security Dynamics Technology
I+ 0 -- 300 10,688
Teletech Holdings Inc+ 0 -- 100 956
Waste Management Inc 741 18,525 3,993 99,825
------------ ------------
TOTAL BUSINESS SERVICES
- VALUE $ 184,688 $ 777,500
- COST $ 164,504 $ 671,110
CHEMICALS
PERCENT OF NET ASSETS 0.75% 1.53%
Air Products & Chemicals Inc 130 $ 10,912 948 $ 79,573
Airgas Inc+ 400 7,175 500 8,969
Albemarle corp 313 7,629 260 6,338
Arco Chemical Co 100 4,731 200 9,463
Autoliv Inc 44 1,359 999 30,844
Betz Labs Inc 96 6,162 240 15,405
Cabot Corp 310 10,928 740 26,085
ChemFirst Inc 35 925 84 2,221
Clorox Co 94 8,249 808 70,902
Courtaulds PLC ADR (UK) 14,458 84,941 48,019 282,112
Crompton & Knowles Corp 450 13,556 740 22,293
Dow Chemical Co 441 40,352 1,989 181,993
Du Pont (E I) De Nemours 2,040 125,078 9,023 553,223
Eastman Chemical Co 124 8,122 646 42,313
Ethyl Corp 1,031 8,506 1,010 8,333
Ferro Corp 457 12,310 375 10,102
FMC Corp+ 102 7,382 338 24,463
Fuller (H B) Co 0 -- 0 --
Geon Co 0 -- 0 --
Georgia Gulf Corp 237 7,806 360 11,858
Goodrich (B F) Co 92 4,560 526 26,070
Grace (W R) Co 42 3,525 636 53,384
</TABLE>
108
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
137 $ 1,361 0 $ -- 0 $ --
289 10,296 219 7,802 885 31,528
769 3,701 623 2,998 822 3,956
1,700 71,719 1,400 59,063 3,100 130,781
918 22,950 707 17,675 1,530 38,250
884 24,310 806 22,165 1,744 47,960
1,117 18,012 988 15,932 2,216 35,733
1,804 93,132 1,640 84,665 3,512 181,307
0 -- 200 3,300 400 6,600
1,000 48,875 900 43,988 2,000 97,750
5,545 332,003 5,031 301,231 9,354 560,067
1,500 67,875 1,250 56,563 2,700 122,175
645 13,303 400 8,250 675 13,922
600 21,375 600 21,375 1,300 46,313
0 -- 0 -- 300 2,869
9,156 228,900 7,864 196,600 13,148 328,700
------------ ------------ ------------
$ 1,681,922 $ 1,469,510 $ 3,590,008
$ 1,417,756 $ 1,351,754 $ 3,141,725
2.20% 2.68% 3.13%
2,185 $ 183,403 1,876 $ 157,467 3,168 $ 265,914
600 10,763 900 16,144 2,100 37,669
412 10,043 432 10,530 986 24,034
200 9,463 300 14,194 600 28,388
2,269 70,055 1,833 56,594 4,010 123,809
527 33,827 507 32,543 1,105 70,927
1,372 48,363 1,332 46,953 2,790 98,348
314 8,301 224 5,922 347 9,183
1,910 167,602 1,597 140,137 4,005 351,439
108,246 635,945 98,153 576,649 177,445 1,042,489
1,585 47,748 1,270 38,259 2,830 85,254
4,511 412,757 3,878 354,837 6,497 594,475
20,601 1,263,099 17,808 1,091,853 44,140 2,706,334
1,615 105,783 1,375 90,062 2,285 149,668
2,029 16,739 1,308 10,791 2,530 20,872
654 17,617 496 13,361 1,222 32,918
728 52,689 581 42,050 1,098 79,468
225 12,797 0 -- 0 --
0 -- 0 -- 300 6,000
745 24,538 465 15,316 640 21,080
1,413 70,032 1,211 60,020 2,053 101,752
1,336 112,141 1,126 94,514 2,798 234,857
</TABLE>
109
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Great Lakes Chemical Corp 77 $ 3,744 538 $ 26,160
Hanna (M A) Co 280 6,493 550 12,753
Hercules Inc 92 4,445 778 37,587
IMC Global Inc 436 16,650 926 35,362
Imperial Chemical Industries
PLC ADR (UK) 1,259 92,064 4,041 295,498
International Flavor &
Fragrances 176 8,096 943 43,378
Johns Manville Corp 0 -- 400 4,825
Lawter International Inc 0 -- 0 --
Lubrizol Corp 329 12,687 560 21,595
Lyondell Petrochemical 176 4,796 380 10,355
Millennium Chemicals Inc 311 8,015 736 18,986
Mississippi Chemical Corp 11 204 28 519
Monsanto Co 1,040 52,910 4,781 243,233
Montedison Spa ADR (Italy) 5,054 51,172 17,007 172,196
Morton International Inc 238 7,869 1,272 42,056
Nalco Chemical Co 74 2,979 639 25,720
OEA Inc 0 -- 0 --
Olin Corp 270 12,369 460 21,074
Praxair Inc 218 10,423 1,291 61,726
Premark International Inc 461 14,349 606 18,862
Rhone Poulenc Rorer Class A 2,434 112,420 7,955 367,422
Rohm & Haas Co 71 7,238 535 54,537
RPM Inc 472 8,024 858 14,586
Rubbermaid Inc 162 4,698 1,229 35,641
Schulman (A) Inc 403 10,277 420 10,710
Sigma-Aldrich Corp 228 9,006 898 35,471
Solutia Inc 143 3,906 1,146 31,300
Terra Industries Inc 500 5,938 400 4,750
Thiokol Inc 116 11,093 200 19,125
Union Carbide Corp 245 11,377 1,071 49,735
Valhi Inc 0 -- 0 --
Wellman Inc 363 7,804 280 6,020
------------ ------------
TOTAL CHEMICALS
- VALUE $ 875,254 $ 3,187,126
- COST $ 706,451 $ 2,482,784
COMPUTER SOFTWARE
PERCENT OF NET ASSETS 1.13% 2.07%
3Com Corp+ 1,890 $ 67,568 2,775 $ 99,206
Adobe Systems Inc 122 5,391 563 24,878
Altera Corp+ 420 18,113 820 35,363
America Online Inc+ 400 48,450 900 109,013
Anixter International Inc+ 500 8,625 500 8,625
At Home Corp Series A+ 0 -- 200 6,825
</TABLE>
110
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,200 $ 58,350 1,045 $ 50,813 1,712 $ 83,246
967 22,422 900 20,869 1,762 40,856
1,916 92,567 1,661 80,247 2,723 131,555
2,145 81,912 1,793 68,470 3,910 149,313
9,153 669,313 8,260 604,012 15,280 1,117,350
2,074 95,404 1,798 82,708 4,089 188,094
600 7,238 600 7,238 1,000 12,063
677 7,912 0 -- 0 --
1,217 46,931 1,042 40,182 2,300 88,694
817 22,263 692 18,857 1,545 42,101
1,512 39,038 1,346 34,752 2,946 76,051
106 1,961 74 1,369 116 2,146
10,779 548,382 9,224 469,271 23,000 1,170,125
38,429 389,094 34,830 352,654 64,117 649,185
2,676 88,475 2,344 77,499 3,814 126,100
1,388 55,867 1,152 46,368 1,899 76,435
308 6,526 223 4,725 0 --
1,078 49,386 858 39,307 1,860 85,211
3,140 150,131 2,692 128,711 4,500 215,156
1,133 35,265 996 31,001 2,150 66,919
17,936 828,419 16,306 753,133 29,975 1,384,470
1,260 128,441 1,033 105,301 1,772 180,633
1,497 25,449 1,607 27,319 3,485 59,245
3,051 88,479 2,510 72,790 4,226 122,554
686 17,493 616 15,708 1,185 30,218
2,049 80,936 1,719 67,901 2,869 113,325
2,097 57,274 2,120 57,903 4,539 123,971
700 8,313 500 5,938 1,100 13,063
295 28,209 310 29,644 700 66,938
2,504 116,279 2,179 101,187 3,554 165,039
0 -- 0 -- 300 2,888
495 10,643 365 7,847 845 18,168
------------ ------------ ------------
$ 7,172,077 $ 6,271,920 $ 12,685,990
$ 5,559,323 $ 4,854,289 $ 10,293,905
2.92% 3.63% 4.75%
6,387 $ 228,335 5,378 $ 192,264 13,526 $ 483,555
1,423 62,879 1,247 55,102 2,204 97,389
1,836 79,178 1,596 68,828 3,380 145,762
1,900 230,138 1,700 205,913 3,800 460,275
500 8,625 700 12,075 1,200 20,700
0 -- 300 10,238 600 20,475
</TABLE>
111
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Autodesk Inc 86 $ 4,074 416 $ 19,708
Automatic Data Processing 409 24,975 2,388 145,817
Bay Networks Inc+ 302 10,230 1,680 56,910
BMC Software Inc+ 512 39,168 980 74,970
Broderbund Software Inc+ 200 4,950 200 4,950
Cadence Design Systems Inc 964 33,680 1,924 67,220
Cambridge Technology
Partners+ 0 -- 400 18,200
Choicepoint Inc+ 141 6,750 140 6,703
Citrix Systems Inc 0 -- 350 14,722
Computer Associates
International Inc 964 45,429 4,367 205,795
Computer Sciences Corp+ 141 14,761 666 69,722
Compuware Corp 600 25,275 1,500 63,188
CSK Corp ADR (Japan) 1,916 45,745 6,100 145,638
DST Systems Inc+ 200 10,575 300 15,863
Electronic Arts Inc+ 300 13,238 600 26,475
Electronic Data Systems Corp 1,488 65,193 3,330 145,896
First Data Corp 563 19,142 3,700 125,800
Fiserv Inc+ 217 11,881 430 23,542
Gartner Group Inc Class A+ 200 7,975 500 19,938
HBO & Co 1,409 76,262 1,683 91,092
I2 Technologies Inc+ 0 -- 100 5,656
Information Resources Inc+ 0 -- 0 --
Informix Corp+ 1,390 10,859 1,320 10,313
Intuit Inc+ 200 9,300 400 18,600
J.D. Edwards 0 -- 0 --
Keane Inc 0 -- 700 32,550
Mentor Graphics Corp+ 600 6,263 700 7,306
Microsoft Corp 4,238 359,171 19,222 1,629,065
MobileMedia Corp+ 300 150 200 100
NEC Corp ADR (Japan) 1,183 66,987 3,663 207,417
Netscape Communications
Corp+ 201 3,894 505 9,784
Networks Associates Inc+ 350 22,619 650 42,006
Novell Inc+ 535 5,626 3,146 33,082
Objective Systems Integrator
C+ 0 -- 100 1,313
Oracle Systems Corp 1,706 42,010 7,818 192,518
Parametric Technology Corp+ 125 7,570 1,053 63,772
Peoplesoft Inc 600 26,813 1,500 67,031
Platinum Technology Inc+ 0 -- 600 15,225
Reynolds & Reynolds Co Class
A 346 7,353 620 13,175
Shiva Corp+ 300 4,088 300 4,088
Siebel Systems Inc+ 0 -- 1 62
SPS Transaction Services
Inc+ 0 -- 100 2,919
Sterling Commerce Inc+ 377 17,201 737 33,626
Sterling Software Inc+ 100 5,269 300 15,806
</TABLE>
112
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
971 $ 46,001 759 $ 35,958 1,817 $ 86,080
5,379 328,455 4,554 278,079 11,348 692,937
4,271 144,680 3,564 120,731 6,010 203,589
2,132 163,098 1,852 141,678 4,080 312,120
200 4,950 200 4,950 500 12,375
3,850 134,509 3,490 121,932 7,730 270,067
700 31,850 600 27,300 1,400 63,700
364 17,427 267 12,792 484 23,172
750 31,547 750 31,547 1,500 63,094
9,986 470,591 8,603 405,417 21,260 1,001,878
1,576 164,987 1,298 135,884 2,216 231,988
2,900 122,163 2,700 113,738 6,700 282,238
14,200 339,025 14,411 344,063 23,202 553,948
400 21,150 500 26,438 1,200 63,450
1,000 44,125 1,000 44,125 2,200 97,075
6,691 293,149 6,476 283,730 13,400 587,088
8,548 290,632 7,309 248,506 12,349 419,866
999 54,695 829 45,388 1,895 103,751
1,000 39,875 800 31,900 1,800 71,775
3,799 205,621 3,141 170,007 8,103 438,575
0 -- 100 5,656 200 11,313
403 5,642 0 -- 0 --
3,118 24,359 2,138 16,703 5,180 40,469
800 37,200 700 32,550 1,500 69,750
0 -- 0 -- 900 29,700
1,200 55,800 1,200 55,800 2,700 125,550
852 8,893 1,000 10,438 1,600 16,700
44,040 3,732,390 38,128 3,231,348 94,116 7,976,331
400 200 300 150 700 350
8,710 493,204 8,814 499,093 14,199 804,018
1,516 29,373 920 17,825 2,045 39,622
900 58,163 1,275 82,397 2,750 177,719
7,045 74,082 5,717 60,118 9,883 103,926
0 -- 0 -- 200 2,625
17,917 441,206 15,616 384,544 38,117 938,631
2,349 142,261 2,012 121,852 5,004 303,055
2,900 129,594 2,700 120,656 5,800 259,188
1,000 25,375 1,000 25,375 2,100 53,288
1,212 25,755 1,152 24,480 2,400 51,000
600 8,175 400 5,450 600 8,175
4 246 3 185 8 492
0 -- 0 -- 200 5,838
1,654 75,464 1,296 59,130 2,874 131,126
600 31,613 600 31,613 1,200 63,225
</TABLE>
113
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Storage Technology Corp+ 259 $ 17,677 535 $ 36,514
Stratus Computer Inc+ 161 8,080 310 15,558
Structural Dynamics
Research+ 303 8,711 0 --
Sun Microsystems Inc+ 522 24,860 3,050 145,256
Sungard Data Systems Inc 400 13,675 800 27,350
Symantec Corp+ 378 9,521 600 15,113
Synopsys Inc+ 400 13,975 600 20,963
Total System Services Inc 300 7,875 300 7,875
Yahoo! Inc 0 -- 100 7,319
------------ ------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 1,306,997 $ 4,307,421
- COST $ 942,394 $ 2,771,750
COMPUTER SYSTEMS
PERCENT OF NET ASSETS 0.67% 1.66%
Adaptec Inc+ 500 $ 13,219 1,100 $ 29,081
Apple Computer Inc+ 235 5,552 1,090 25,751
Cabletron Systems Inc+ 257 3,984 1,334 20,677
Ceridian Corp+ 131 6,100 632 29,428
Cisco Systems Inc 1,764 116,204 7,991 526,407
Cognex Corp+ 0 -- 300 7,219
Cognizant Corp 180 8,989 1,332 66,517
Compaq Computer Corp 2,756 88,364 12,144 389,367
Data General Corp+ 64 1,320 444 9,158
Dell Computer Corp 554 77,491 2,588 361,997
Digital Equipment Corp+ 224 12,754 1,347 76,695
EMC Corp 638 24,404 4,000 153,000
Exabyte Corp+ 0 -- 0 --
Gateway 2000 Inc 400 17,600 700 30,800
GTECH Holdings Corp+ 100 3,531 300 10,594
Harris Corp 104 5,272 692 35,076
Hewlett-Packard Co 1,774 118,858 8,303 556,301
Intergraph Corp+ 54 527 367 3,578
International Business
Machine Corp 1,680 175,455 8,102 846,153
Iomega Corp 1,200 10,950 2,400 21,900
Komag Inc+ 400 5,750 600 8,625
NCR Corp+ 171 5,365 1,059 33,226
Quantum Corp 500 12,563 1,100 27,638
Rational Software Corp+ 0 -- 900 12,150
Seagate Technology Inc+ 397 9,652 2,179 52,977
Sequent Computer Systems+ 340 7,204 0 --
Shared Medical System Corp 42 3,210 155 11,848
Silicon Graphics Inc+ 284 4,278 1,549 23,332
Sybase Inc+ 700 7,350 700 7,350
Unisys Corp+ 280 5,005 1,592 28,457
</TABLE>
114
<PAGE>
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,084 $ 73,983 1,067 $ 72,823 2,125 $ 145,031
366 18,369 471 23,638 1,050 52,697
434 12,478 319 9,171 0 --
6,829 325,231 5,842 278,225 14,527 691,848
1,800 61,538 1,400 47,863 3,600 123,075
1,236 31,132 1,061 26,724 2,100 52,894
900 31,444 1,100 38,431 2,300 80,356
400 10,500 400 10,500 1,000 26,250
200 14,638 200 14,638 400 29,275
------------ ------------ ------------
$ 9,535,993 $ 8,475,959 $ 19,220,439
$ 5,988,902 $ 5,431,393 $ 13,160,541
2.43% 2.92% 3.67%
2,400 $ 63,450 2,000 $ 52,875 4,300 $ 113,681
2,547 60,173 2,128 50,274 3,644 86,090
3,094 47,957 2,697 41,804 4,826 74,803
1,516 70,589 1,169 54,432 2,833 131,912
18,353 1,209,004 15,847 1,043,922 39,301 2,588,955
700 16,844 600 14,438 1,300 31,281
3,070 153,308 2,665 133,083 6,160 307,615
27,565 883,803 24,044 770,911 58,795 1,885,115
1,001 20,646 772 15,923 1,522 31,391
6,002 839,530 5,111 714,901 12,694 1,775,573
2,928 166,713 2,487 141,604 4,300 244,831
9,088 347,616 7,794 298,121 19,346 739,984
340 2,720 0 -- 0 --
1,400 61,600 1,200 52,800 2,600 114,400
500 17,656 600 21,188 1,300 45,906
1,570 79,579 1,333 67,566 2,327 117,950
18,920 1,267,640 16,401 1,098,867 40,599 2,720,133
861 8,395 586 5,714 992 9,672
19,410 2,027,132 16,748 1,749,119 28,083 2,932,918
4,400 40,150 4,100 37,413 8,800 80,300
1,100 15,813 800 11,500 1,100 15,813
2,181 68,429 1,864 58,483 3,925 123,147
2,380 59,797 2,070 52,009 4,300 108,038
1,800 24,300 1,600 21,600 3,200 43,200
4,913 119,447 4,238 103,036 6,966 169,361
471 9,979 341 7,225 0 --
461 35,238 364 27,823 904 69,100
3,639 54,812 3,078 46,362 5,561 83,763
1,400 14,700 1,200 12,600 2,500 26,250
3,511 62,759 3,000 53,625 4,991 89,214
</TABLE>
115
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Unova Inc+ 34 $ 650 434 $ 8,300
Wallace Computer Services
Inc 90 3,274 100 3,638
Western Digital Corp 700 12,775 900 16,425
Xylan Corp+ 100 2,413 100 2,413
------------ ------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 770,063 $ 3,436,078
- COST $ 580,493 $ 2,105,603
CONTAINER & PACKAGING
PERCENT OF NET ASSETS 0.10% 0.22%
Ball Corp 54 $ 1,762 296 $ 9,657
Crown Cork & Seal Co 185 9,990 1,169 63,126
First Brands Corp 486 12,515 480 12,360
International Paper Co 522 24,338 2,716 126,634
Jefferson Smurfit Corp+ 700 10,456 600 8,963
Jefferson Smurfit Group ADR
(Ireland) 785 20,508 2,760 72,105
Sonoco Products 388 15,011 877 33,929
Temple-Inland Inc 149 8,884 485 28,918
Tenneco Inc 278 11,433 1,540 63,333
Tupperware Corp 63 1,693 500 13,438
U.S. Office Products Co 0 -- 1,200 22,200
------------ ------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 116,590 $ 454,663
- COST $ 110,277 $ 445,708
ELECTRICAL EQUIPMENT
PERCENT OF NET ASSETS 0.59% 1.38%
Aeroquip-Vickers Inc 52 $ 3,019 244 $ 14,167
Alliance Semiconductor Corp 0 -- 0 --
Arrow Electronics Inc 386 12,859 792 26,384
Avnet Inc 230 14,663 350 22,313
FORE Systems Inc+ 400 6,425 900 14,456
General Electric Co 5,883 457,403 26,082 2,027,876
Grainger ( W W) Inc 41 3,969 447 43,275
Handleman Co+ 59 398 132 891
Hitachi Ltd ADR (Japan) 732 55,449 2,384 180,588
Hubbell Inc Class B 332 16,725 566 28,512
Masco Corp 256 13,920 1,484 80,692
Maxim Integrated Products
Inc 600 24,225 1,200 48,450
Motorola Inc 1,026 57,200 5,001 278,806
National Service Industries
Inc 39 2,162 442 24,503
Raychem Corp 54 2,346 709 30,797
</TABLE>
116
<PAGE>
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,058 $ 20,234 818 $ 15,644 1,661 $ 31,767
200 7,275 210 7,639 400 14,550
1,800 32,850 1,600 29,200 3,500 63,875
0 -- 100 2,413 200 4,825
------------ ------------ ------------
$ 7,910,138 $ 6,814,114 $ 14,875,413
$ 4,688,431 $ 3,985,595 $ 9,579,170
0.31% 0.37% 0.39%
642 $ 20,945 538 $ 17,552 904 $ 29,493
2,529 136,566 2,155 116,370 3,737 201,798
694 17,871 704 18,128 1,060 27,295
6,088 283,853 5,233 243,989 8,764 408,622
1,400 20,913 1,100 16,431 2,300 34,356
6,290 164,326 5,637 147,267 10,335 270,002
1,800 69,638 1,622 62,751 3,655 141,403
1,141 68,032 959 57,180 1,635 97,487
3,453 142,005 2,847 117,083 4,842 199,127
1,136 30,530 909 24,429 2,302 61,866
2,500 46,250 2,100 38,850 4,750 87,875
------------ ------------ ------------
$ 1,000,929 $ 860,030 $ 1,559,324
$ 992,406 $ 850,243 $ 1,620,993
2.00% 2.45% 3.21%
552 $ 32,051 433 $ 25,141 996 $ 57,830
0 -- 0 -- 250 1,641
1,698 56,565 1,520 50,635 3,250 108,266
714 45,518 659 42,011 1,515 96,581
1,800 28,913 1,500 24,094 3,200 51,400
59,704 4,644,303 51,593 4,011,356 127,637 9,923,777
956 92,553 885 85,679 1,443 139,700
467 3,152 307 2,072 521 3,517
5,658 428,594 5,714 432,836 9,276 702,657
1,008 50,778 1,034 52,088 2,202 110,926
3,264 177,480 2,817 153,174 4,721 256,704
2,400 96,900 2,200 88,825 4,800 193,800
11,857 661,028 10,208 569,096 17,199 958,844
871 48,286 774 42,909 1,319 73,122
1,623 70,499 1,366 59,336 3,262 141,693
</TABLE>
117
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Symbol Technologies Inc 190 $ 9,702 315 $ 16,085
Thomas & Betts Corp 68 3,855 454 25,736
------------ ------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 684,320 $ 2,863,531
- COST $ 526,924 $ 1,906,203
ELECTRONICS
PERCENT OF NET ASSETS 1.08% 2.18%
Advanced Micro Devices+ 200 $ 4,688 1,286 $ 30,141
American Power Conversion+ 300 8,700 780 22,620
AMP Inc 389 17,189 1,920 84,840
Analog Devices Inc+ 801 25,832 1,526 49,214
Applied Materials Inc 515 18,958 2,946 108,450
Atmel Corp+ 662 10,758 1,060 17,225
Beckman Instruments Inc 94 4,547 250 12,094
C-Cube Microsystems Inc+ 100 2,075 300 6,225
Canon Inc ADR (Japan) 278 31,796 1,006 115,061
CBS Corp 1,410 43,622 6,277 194,195
Cirrus Logic Inc+ 634 7,014 780 8,629
Commscope Inc+ 50 669 346 4,628
Cypress Semiconductor Corp+ 800 7,550 840 7,928
EG&G Inc 25 673 453 12,203
Electronics for Imaging Inc+ 400 8,825 500 11,031
Emerson Electric Co 755 48,178 3,678 234,702
Etec Systems Inc+ 0 -- 200 10,488
Fuji Photo Film Co Ltd ADR
(Japan) 975 38,513 3,270 129,165
General Instrument Corp+ 156 2,603 204 3,404
General Semiconductor Inc 37 516 260 3,624
General Signal Corp 135 5,484 441 17,916
Honeywell Inc 184 14,582 1,039 82,341
Imation Corp+ 276 4,640 516 8,675
Input/Output Inc+ 500 10,781 500 10,781
Integrated Device Technology
Inc+ 700 10,544 800 12,050
Intel Corp 2,901 260,183 13,101 1,174,996
International Rectifier
Corp+ 500 7,281 500 7,281
International Specialty
Products Corp+ 0 -- 200 3,188
Jabil Circuit 0 -- 100 5,263
Johnson Controls Inc 196 10,890 700 38,894
KLA Instruments Corp+ 404 18,647 736 33,971
Kyocera Corp ADR (Japan) 430 45,903 1,219 130,128
Lam Research Corp+ 300 8,512 300 8,475
Lattice Semiconductor+ 0 -- 200 10,713
Lexmark International Group
Cl+ 0 -- 500 21,375
</TABLE>
118
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
585 $ 29,872 555 $ 28,340 1,325 $ 67,658
1,110 62,923 973 55,157 1,554 88,092
------------ ------------ ------------
$ 6,529,415 $ 5,722,749 $ 12,976,208
$ 4,336,648 $ 3,881,404 $ 9,205,070
3.18% 3.97% 4.68%
2,877 $ 67,430 2,422 $ 56,766 3,984 $ 93,375
1,494 43,326 1,409 40,861 3,060 88,740
4,369 193,055 3,770 166,587 6,363 281,165
3,138 101,201 2,861 92,267 6,229 200,885
6,712 247,086 5,719 210,531 14,220 523,474
1,866 30,323 1,888 30,680 3,926 63,798
450 21,769 505 24,429 1,080 52,245
300 6,225 400 8,300 700 14,525
2,209 252,654 2,241 256,314 3,644 416,783
14,074 435,414 12,022 371,931 20,306 628,217
1,496 16,549 1,066 11,593 1,510 16,704
792 10,593 612 8,186 1,552 20,758
1,364 12,873 1,424 13,439 3,170 29,917
972 26,183 723 19,476 1,467 39,517
1,000 22,063 1,000 22,063 2,000 44,125
8,795 561,231 7,666 489,187 12,823 818,268
400 20,975 300 15,731 700 36,706
7,234 285,743 7,336 289,772 11,900 470,050
2,625 43,805 2,343 39,099 5,783 96,504
594 8,279 459 6,397 1,164 16,223
1,061 43,103 799 32,459 1,398 56,794
2,489 197,253 2,152 170,546 3,672 291,006
702 11,802 731 12,290 1,617 27,186
1,000 21,563 700 15,094 1,100 23,719
1,700 25,606 800 12,050 2,100 31,631
29,806 2,673,226 25,825 2,316,180 63,812 5,723,139
1,000 14,563 700 10,194 1,100 16,019
300 4,781 300 4,781 500 7,969
300 15,788 200 10,525 500 26,313
1,681 93,401 1,535 85,288 2,450 136,128
1,684 77,727 1,660 76,619 2,528 116,683
2,931 312,884 3,005 320,784 4,802 512,614
500 14,188 500 14,125 1,200 34,050
500 26,781 400 21,425 900 48,206
1,000 42,750 1,000 42,750 2,100 89,775
</TABLE>
119
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Linear Technology Corp 386 $ 29,240 720 $ 54,540
Litton Industries Inc+ 101 6,287 390 24,278
LSI Logic Corp+ 128 3,032 1,164 27,572
Macromedia Inc+ 400 5,000 400 5,000
Matsushita Electric
Industries Co 257 37,554 833 121,722
MEMC Electronic Materials
Inc+ 300 5,063 300 5,063
Microchip Technology Inc+ 400 9,675 500 12,094
Micron Electronics Inc+ 0 -- 200 2,575
Micron Technology Inc+ 335 11,118 1,912 63,455
Molex Inc 316 9,559 396 11,979
Molex Inc Class A 312 8,853 678 19,238
National Semiconductor+ 266 6,351 1,312 31,324
Novellus System Inc 200 9,588 300 14,381
Perkin-Elmer Corp 29 2,122 406 29,714
Philips Electronics NV ADR
(Netherlands) 543 42,286 1,947 151,623
Pioneer Electronics Corp 2,192 38,086 6,817 118,445
Pitney Bowes Inc 516 24,188 2,346 109,969
Pixar Inc+ 0 -- 100 3,700
Policy Management Systems
Corp+ 248 17,949 170 12,304
Premier Farnell PLC ADR (UK) 2,749 37,283 9,119 123,676
Rambus Inc+ 0 -- 100 4,475
Raytheon Co Class A 358 20,776 971 56,341
Raytheon Co Class B 384 22,584 2,073 121,918
Read-Rite Corp+ 400 5,700 500 7,125
Sanmina Corp+ 0 -- 100 7,969
SCI Systems Inc 200 9,000 500 22,500
Sensormatic Electronics 535 9,964 870 16,204
Solectron Corp 500 24,188 1,000 48,375
SONY Corp ADR (Japan) 468 42,325 1,522 137,646
Tektronix Inc 3 134 376 16,779
Teradyne Inc+ 376 17,743 820 38,694
Texas Instruments Inc 660 38,198 3,097 179,239
Thermo Instrument Systems
Inc 250 8,781 156 5,488
Vishay Intertechnology Inc 441 8,985 446 9,087
Vitesse Semiconductor Corp 0 -- 300 15,234
VLSI Technology Inc+ 200 3,863 400 7,725
Xerox Corp 485 43,013 2,641 234,224
Xilinx Inc+ 247 10,837 700 30,713
Zenith Electronics Corp+ 44 292 89 590
------------ ------------
TOTAL ELECTRONICS
- VALUE $ 1,249,770 $ 4,534,892
- COST $ 1,056,277 $ 3,196,428
</TABLE>
120
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,500 $ 113,625 1,410 $ 106,808 3,050 $ 231,038
808 50,298 603 37,537 1,379 85,843
2,742 64,951 2,341 55,452 4,060 96,171
700 8,750 500 6,250 900 11,250
1,961 286,551 2,071 302,625 3,316 484,550
400 6,750 400 6,750 800 13,500
1,100 26,606 950 22,978 2,000 48,375
400 5,150 300 3,863 500 6,438
4,211 139,753 3,635 120,637 6,077 201,680
840 25,410 718 21,720 1,583 47,886
1,445 41,002 1,288 36,547 2,676 75,932
3,284 78,406 2,844 67,900 4,646 110,923
800 38,350 600 28,763 1,300 62,319
789 57,745 643 47,060 1,887 138,105
4,281 333,383 3,897 303,479 7,166 558,052
16,304 283,282 16,637 289,068 26,756 464,886
5,388 252,563 4,564 213,938 11,274 528,469
0 -- 0 -- 200 7,400
303 21,930 258 18,673 440 31,845
20,599 279,374 18,684 253,402 34,410 466,686
300 13,425 200 8,950 500 22,375
2,120 122,960 1,785 103,549 3,141 182,178
6,800 399,925 5,823 342,465 9,751 573,481
600 8,550 800 11,400 1,700 24,225
300 23,906 300 23,906 600 47,813
1,000 45,000 1,000 45,000 2,200 99,000
1,723 32,091 1,048 19,519 1,885 35,108
2,300 111,263 1,900 91,913 4,200 203,175
3,440 311,105 3,483 314,994 5,516 498,853
924 41,234 808 36,057 1,874 83,627
1,790 84,466 1,500 70,781 3,250 153,359
7,081 409,813 6,045 349,854 15,157 877,211
250 8,781 313 10,977 621 21,821
882 17,971 771 15,709 1,649 33,598
700 35,547 500 25,391 1,200 60,937
1,000 19,313 800 15,450 1,700 32,831
5,910 524,143 5,227 463,570 12,625 1,119,680
1,459 64,014 1,174 51,509 2,620 114,952
279 1,848 230 1,524 367 2,431
------------ ------------ ------------
$ 10,371,427 $ 9,264,687 $ 18,951,214
$ 7,429,296 $ 6,736,462 $ 14,710,355
</TABLE>
121
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENERGY & RELATED
PERCENT OF NET ASSETS 1.68% 3.55%
AGL Resources Inc 538 $ 10,928 440 $ 8,938
Amerada Hess Corp 142 8,422 850 50,416
Amoco Corp 814 69,190 4,000 340,000
Anadarko Petroleum Corp 441 28,445 525 33,863
Apache Corp 166 5,644 758 25,772
Ashland Inc 109 6,070 706 39,315
Atlantic Richfield Corp 523 40,663 2,675 207,981
British Petroleum Co PLC ADR
(UK) 1,259 104,102 4,232 349,906
Burlington Resources Inc 284 12,709 1,526 68,289
Chesapeake Energy Corp 0 -- 400 2,825
Chevron Corp 1,120 90,860 5,455 442,537
Coastal Corp 212 13,489 904 57,517
Columbia Gas System Inc 141 10,760 451 34,417
Consolidated Natural Gas Co 142 8,165 851 48,933
Cooper Cameron Corp 0 -- 500 26,813
Devon Energy Corp 0 -- 200 6,813
Diamond Offshore Drilling
Inc 400 18,125 600 27,188
Dresser Industries Inc 314 14,032 1,599 71,455
Eastern Enterprises 39 1,728 200 8,863
EEX Corp+ 137 1,173 1,213 10,386
El Paso Natural Gas Co 427 28,342 456 30,267
ELF Aquitaine ADR (France) 1,606 91,843 5,412 309,499
Enron Corp 528 24,837 2,723 127,981
Enron Oil & Gas Co 300 6,413 600 12,825
Ensco International Inc 700 20,388 1,300 37,863
Exxon Corp 4,257 271,916 20,508 1,309,949
Fina Inc Class A 0 -- 0 --
Freeport-McMoRan Sulphur
Inc+ 74 1,036 76 1,064
Global Marine Inc+ 700 16,231 1,400 32,463
Halliburton Co 461 21,437 2,121 98,626
Helmerich & Payne Inc 90 2,604 520 15,048
Indiana Energy Inc 0 -- 0 --
Kerr - McGee Corp 43 2,908 448 30,296
MAPCO Inc 374 20,126 620 33,364
MCN Corp 616 22,677 500 18,406
Mobil Corp 1,329 96,269 6,520 472,293
Murphy Oil Corp 293 14,632 380 18,976
Nabors Industries Inc+ 600 13,725 900 20,588
National Fuel Gas Co 400 18,650 320 14,920
Natural Gas Clearinghouse
Inc 0 -- 100 1,550
NICOR Inc 44 1,810 450 18,506
Noble Affiliates Inc 338 13,182 530 20,670
</TABLE>
122
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
5.22% 6.34% 6.62%
798 $ 16,209 558 $ 11,334 520 $ 10,563
1,824 108,186 1,546 91,697 2,678 158,839
9,696 824,160 8,342 709,070 14,048 1,194,080
1,161 74,885 889 57,341 2,306 148,737
1,841 62,594 1,548 52,632 2,674 90,916
1,505 83,810 1,295 72,115 2,104 117,167
6,392 496,978 5,552 431,668 9,220 716,855
9,639 797,035 8,746 723,221 16,036 1,326,018
3,518 157,431 3,054 136,667 5,082 227,419
1,000 7,063 500 3,531 1,000 7,063
13,133 1,065,415 11,261 913,549 18,989 1,540,483
2,076 132,086 1,810 115,161 3,095 196,919
1,066 81,349 990 75,549 1,624 123,932
1,925 110,688 1,741 100,108 2,713 155,997
800 42,900 800 42,900 1,800 96,525
500 17,031 400 13,625 900 30,656
1,400 63,438 1,200 54,375 2,500 113,281
3,538 158,104 2,927 130,800 5,074 226,744
426 18,877 282 12,496 686 30,398
1,934 16,560 2,344 20,071 4,867 41,674
842 55,888 627 41,617 778 51,640
12,229 699,346 11,149 637,583 20,503 1,172,515
6,385 300,095 5,496 258,312 9,135 429,345
1,200 25,650 1,200 25,650 2,400 51,300
2,900 84,463 2,400 69,900 5,200 151,450
49,166 3,140,478 42,426 2,709,961 71,242 4,550,583
100 6,325 100 6,325 200 12,650
144 2,016 75 1,050 143 2,002
3,115 72,229 2,600 60,288 5,800 134,488
4,776 222,084 4,114 191,301 10,250 476,625
920 26,623 840 24,308 1,620 46,879
352 10,516 0 -- 0 --
962 65,055 784 53,018 1,374 92,917
1,236 66,512 976 52,521 2,200 118,388
930 34,236 670 24,664 600 22,088
15,626 1,131,908 13,473 975,950 22,665 1,641,796
777 38,801 697 34,806 1,570 78,402
1,885 43,119 1,629 37,263 3,400 77,775
582 27,136 412 19,210 385 17,951
1,600 24,800 0 -- 3,200 49,600
1,009 41,495 801 32,941 1,509 62,058
873 34,047 858 33,462 1,920 74,880
</TABLE>
123
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Noble Drilling Corp+ 0 $ -- 1,200 $ 34,050
Occidental Petroleum Corp 600 15,338 2,960 75,665
ONEOK Inc 49 1,715 240 8,400
Oryx Energy Co+ 199 5,062 842 21,418
Pacific Enterprises Co 152 5,520 704 25,564
Parker Drilling Co+ 0 -- 0 --
Pennzoil Co 132 8,836 438 29,319
Peoples Energy Corp 63 2,276 360 13,005
Phillips Petroleum Co 419 20,531 2,379 116,571
Pioneer Natural Resources
L.C. 376 8,907 697 16,510
Pogo Producing Co 300 8,419 300 8,419
Pride International Inc+ 0 -- 400 9,125
Quaker State Corp 0 -- 0 --
Questar Corp 227 9,648 340 14,450
R&B Falcon Corp+ 472 12,508 1,026 27,189
Ranger Oil Ltd 0 -- 0 --
Repsol SA 837 37,247 2,800 124,600
Rowan Co Inc+ 126 3,552 804 22,663
Royal Dutch Petroleum Corp 4,056 220,292 13,468 731,481
Santa Fe Energy Resources
Inc 83 929 809 9,051
Schlumberger Ltd 875 65,953 3,980 299,993
Seagull Energy Corp+ 391 6,598 610 10,294
Services (B J) Co 0 -- 700 24,063
Sonat Offshore Drilling Co 132 5,693 736 31,740
Sun Co Inc 115 4,593 658 26,279
Texaco Inc 942 52,575 4,786 267,119
Tosco Corp 671 24,911 1,340 49,748
Total Compagnie Francaise
des Petroles SA ADR
(France) 2,228 123,245 7,175 396,884
Transocean Offshore Inc 400 17,200 800 34,400
Trans Texas Gas Corp 0 -- 0 --
Ultramar Diamond Shamrock
Corp 410 14,635 855 30,513
Union Pacific Resources
Group 332 7,429 2,058 46,048
Union Texas Petroleum
Holdings Corp 200 4,038 500 10,094
United Meridian Corp+ 0 -- 400 10,925
Unocal Corp 384 14,472 2,091 78,805
USX - Marathon Group 515 17,800 2,520 87,098
Utilicorp United Inc 491 17,676 380 13,680
Valero Energy Corp 180 6,390 470 16,685
Vastar Resources Inc 200 7,438 200 7,438
Washington Gas & Light 464 12,499 360 9,698
Weatherford Enterra Inc+ 400 13,850 500 17,313
Western Atlas Inc 134 10,176 445 33,792
</TABLE>
124
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2,700 $ 76,613 2,200 $ 62,425 4,800 $ 136,200
6,727 171,959 5,779 147,726 9,785 250,129
603 21,105 507 17,745 920 32,200
1,889 48,051 1,613 41,031 4,063 103,353
1,695 61,550 1,436 52,145 2,370 86,061
844 9,284 619 6,809 0 --
932 62,386 887 59,374 1,384 92,642
674 24,348 582 21,025 1,141 41,219
5,246 257,054 4,475 219,275 7,604 372,596
1,134 26,862 1,186 28,093 3,462 82,006
600 16,838 500 14,031 1,100 30,869
800 18,250 800 18,250 1,700 38,781
419 6,337 299 4,522 0 --
710 30,175 640 27,200 1,430 60,775
2,016 53,424 1,698 44,997 4,042 107,113
1,508 9,708 1,103 7,101 0 --
6,225 277,013 5,650 251,425 10,350 460,575
1,764 49,723 1,472 41,492 3,279 92,427
30,452 1,653,924 27,687 1,503,750 50,874 2,763,094
1,875 20,977 1,239 13,861 2,826 31,616
8,994 677,923 7,846 591,392 19,246 1,450,667
1,248 21,060 1,103 18,613 2,275 38,391
1,400 48,125 1,200 41,250 2,800 96,250
1,760 75,900 1,474 63,566 3,126 134,809
1,413 56,432 1,226 48,963 1,987 79,356
10,972 612,375 9,433 526,479 15,803 882,005
2,867 106,437 2,377 88,246 5,235 194,349
16,304 901,823 14,778 817,415 27,219 1,505,566
0 -- 1,500 64,500 3,200 137,600
1,700 73,100 0 -- 300 4,950
1,944 69,366 1,537 54,837 3,425 122,240
5,133 114,851 4,322 96,705 7,193 160,943
800 16,150 1,000 20,188 2,100 42,394
700 19,119 600 16,388 1,300 35,506
4,985 187,872 4,166 157,006 7,044 265,471
5,839 201,810 5,066 175,094 8,357 288,839
675 24,300 494 17,784 472 16,992
1,164 41,322 984 34,932 1,960 69,580
300 11,156 300 11,156 700 26,031
624 16,809 454 12,230 440 11,852
1,057 36,599 900 31,163 1,900 65,788
1,078 81,861 931 70,698 1,593 120,968
</TABLE>
125
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Williams Co Inc 588 $ 19,220 2,896 $ 94,663
Witco Corp 316 12,581 580 23,091
------------ ------------
TOTAL ENERGY & RELATED
- VALUE $ 1,953,283 $ 7,395,224
- COST $ 1,529,318 $ 5,522,631
ENGINEERING & CONSTRUCTION
PERCENT OF NET ASSETS 0.04% 0.08%
Armstrong World Industries
Inc 102 $ 8,007 394 $ 30,929
Centex Corp 57 4,165 249 18,193
Clayton Homes Inc 626 12,447 884 17,565
Fleetwood Enterprises Inc 32 1,500 328 15,375
Fluor Corp 123 5,789 749 35,250
Foster Wheeler Corp 102 2,729 341 9,122
Granite Construction Inc 0 -- 0 --
Kaufman & Broad Home Corp 59 1,527 308 7,970
Pulte Corp 50 2,275 237 10,784
Rouse Co 400 13,300 600 19,950
------------ ------------
TOTAL ENGINEERING &
CONSTRUCTION
- VALUE $ 51,739 $ 165,138
- COST $ 35,965 $ 140,215
ENTERTAINMENT & LEISURE
PERCENT OF NET ASSETS 0.31% 0.72%
AMF Bowling Inc 0 $ -- 0 $ --
Ascent Entertainment Group+ 249 2,677 293 3,150
Bally Total Fitness Holding
Corp+ 26 712 76 2,081
Boyd Gaming Corp+ 0 -- 200 1,588
Brunswick Corp 196 6,223 835 26,511
Callaway Golf Co 296 9,546 680 21,930
Circus Circus Entertainment
Inc+ 629 13,838 930 20,460
Coleman Co Inc+ 0 -- 200 4,125
Disney (Walt) Co 1,123 125,706 5,572 623,716
Galileo International Inc 0 -- 400 15,800
Gaylord Entertainment Co
Class A 105 3,570 105 3,570
Grand Casinos Inc+ 400 6,100 400 6,100
Harrah's Entertainment Inc+ 108 2,275 897 18,893
Hasbro Inc 198 7,190 1,105 40,125
International Game
Technology Inc 497 12,052 1,100 26,675
Mattel Inc 371 15,698 2,414 102,142
Metro-Goldwyn-Mayer Inc+ 0 -- 100 1,956
MGM Grand Inc+ 200 7,225 200 7,225
Mirage Resorts Inc+ 1,597 36,531 1,576 36,051
Polaroid Corp 34 1,558 437 20,020
</TABLE>
126
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
6,392 $ 208,939 5,504 $ 179,912 9,184 $ 300,202
1,352 53,827 1,022 40,688 2,195 87,388
------------ ------------ ------------
$ 17,040,358 $ 14,819,522 $ 26,789,391
$ 12,562,522 $ 11,058,036 $ 21,871,886
0.11% 0.13% 0.14%
838 $ 65,783 789 $ 61,937 1,203 $ 94,435
545 39,819 552 40,331 856 62,542
1,945 38,657 1,620 32,198 3,408 67,724
713 33,422 570 26,719 1,065 49,922
1,739 81,842 1,386 65,229 2,428 114,268
732 19,581 583 15,595 1,254 33,545
270 7,155 0 -- 0 --
734 18,992 647 16,741 1,189 30,765
393 17,882 321 14,606 633 28,802
1,300 43,225 1,100 36,575 2,400 79,800
------------ ------------ ------------
$ 366,358 $ 309,931 $ 561,803
$ 311,243 $ 254,185 $ 509,168
1.05% 1.27% 1.30%
0 $ -- 0 $ -- 500 $ 12,000
400 4,300 397 4,268 679 7,299
185 5,064 116 3,175 223 6,105
0 -- 300 2,381 700 5,556
1,962 62,293 1,660 52,705 2,840 90,170
1,458 47,021 1,256 40,506 2,616 84,366
2,122 46,684 1,562 34,364 3,295 72,490
0 -- 0 -- 200 4,125
13,466 1,507,350 11,568 1,294,893 19,461 2,178,416
800 31,600 600 23,700 1,400 55,300
140 4,760 171 5,814 250 8,500
700 10,675 500 7,625 900 13,725
2,032 42,799 1,602 33,742 2,818 59,354
2,523 91,616 2,112 76,692 3,561 129,309
2,172 52,671 2,017 48,912 4,345 105,366
5,313 224,806 4,565 193,157 11,363 480,797
0 -- 200 3,913 400 7,825
400 14,450 400 14,450 800 28,900
3,580 81,893 3,029 69,288 5,074 116,068
906 41,506 747 34,222 1,402 64,229
</TABLE>
127
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Spelling Entertainment Group 0 $ -- 0 $ --
Stanhome Inc 220 6,353 170 4,909
Tiffany & Co 126 5,922 300 14,100
Time Warner Inc 987 66,623 4,698 317,115
Topp Inc+ 512 1,408 0 --
U.S. West Media Group+ 1,020 32,831 5,340 171,881
------------ ------------
TOTAL ENTERTAINMENT
& LEISURE
- VALUE $ 364,038 $ 1,490,123
- COST $ 290,782 $ 1,020,657
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.08% 0.12%
Browning-Ferris Industries
Inc 347 $ 11,559 1,723 $ 57,397
Mid American Waste Systems
Inc+ 0 -- 0 --
Republic Industries Inc+ 1,500 35,438 3,200 75,600
Safety-Kleen Corp 78 2,091 491 13,165
U.S. Filter Corp+ 0 -- 800 27,150
U.S.A. Waste Services Inc+ 800 33,300 1,730 72,011
Wheelabrator Technologies
Inc 700 11,419 700 11,419
------------ ------------
TOTAL ENVIRONMENTAL
CONTROL
- VALUE $ 93,807 $ 256,742
- COST $ 82,856 $ 237,452
FOOD & RELATED
PERCENT OF NET ASSETS 1.04% 2.05%
Albertson's Inc 405 $ 18,959 2,180 $ 102,051
American Stores Co 461 11,611 2,387 60,123
Archer-Daniels-Midland Co 1,000 22,438 5,009 112,389
Bestfoods 243 25,606 1,182 124,553
Bob Evans Farms Inc 468 9,623 360 7,403
Boston Chicken Inc+ 600 4,163 500 3,469
Brinker International Inc+ 1,056 22,044 990 20,666
Brown-Forman Corp Class B 74 4,107 643 35,687
Campbell Soup Co 800 46,450 3,629 210,709
ConAgra Inc 888 26,640 3,727 111,810
Corn Product International
Inc+ 60 1,995 295 9,809
Cracker Barrel Old Country
Store Inc 249 10,069 610 24,667
Darden Restaurants Inc 160 2,160 1,329 17,941
Dave & Buster's Inc 0 -- 0 --
Dean Foods Co 224 12,320 440 24,200
Dole Food Inc 246 13,361 410 22,268
Earthgrains Co 28 1,213 146 6,324
Fleming Co Inc 2 36 291 5,183
</TABLE>
128
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0 $ -- 0 $ -- 400 $ 3,600
299 8,634 214 6,179 210 6,064
480 22,560 560 26,320 1,200 56,400
11,119 750,533 9,587 647,123 16,146 1,089,855
722 1,986 527 1,449 0 --
12,084 388,954 10,397 334,653 17,485 562,798
------------ ------------ ------------
$ 3,442,155 $ 2,959,531 $ 5,248,617
$ 2,322,449 $ 1,942,826 $ 3,597,026
0.16% 0.19% 0.24%
3,988 $ 132,850 3,351 $ 111,630 5,669 $ 188,849
372 163 0 -- 0 --
6,500 153,563 5,200 122,850 12,700 300,038
1,136 30,459 1,016 27,242 1,831 49,094
1,600 54,300 1,300 44,119 3,400 115,388
3,300 137,363 2,800 116,550 6,767 281,676
1,300 21,206 1,200 19,575 2,600 42,413
------------ ------------ ------------
$ 529,904 $ 441,966 $ 977,458
$ 517,459 $ 441,314 $ 942,877
2.94% 3.58% 4.31%
4,930 $ 230,786 4,238 $ 198,391 7,084 $ 331,620
5,544 139,640 4,645 116,996 7,830 197,218
11,107 249,213 9,536 213,964 16,107 361,401
2,585 272,394 2,283 240,571 5,572 587,149
752 15,463 472 9,706 1,250 25,703
700 4,856 700 4,856 1,100 7,631
1,871 39,057 1,171 24,445 2,130 44,464
1,355 75,203 1,145 63,548 1,995 110,723
8,322 483,196 7,171 416,366 17,729 1,029,390
8,572 257,160 7,453 223,590 18,371 551,130
696 23,142 545 18,121 1,318 43,824
1,411 57,057 1,071 43,309 2,325 94,017
3,179 42,917 2,566 34,641 4,753 64,166
103 2,524 0 -- 0 --
707 38,885 737 40,535 1,605 88,275
1,008 54,747 868 47,143 1,825 99,120
334 14,466 268 11,608 612 26,507
801 14,268 589 10,492 1,206 21,482
</TABLE>
129
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Flowers Industries Inc 509 $ 12,948 720 $ 18,315
Food Lion Inc Class A 1,100 11,103 1,700 17,159
Food Lion Inc Class B 1,400 13,825 1,800 17,775
General Mills Inc 210 15,107 1,232 88,627
General Nutrition Co Inc+ 400 15,900 800 31,800
Giant Food Inc Class A 156 5,665 494 17,938
Great Atlantic & Pacific Tea
Co 69 2,100 293 8,918
Hannaford Brothers Co 236 9,956 260 10,969
Harcourt General Inc 89 4,806 582 31,428
Heinz (H J) Co 690 38,856 2,938 165,446
Hershey Foods Corp 214 14,271 1,155 77,024
Hormel Foods Corp 200 7,425 500 18,563
Host Marriott Services Corp+ 240 3,210 240 3,210
IBP Inc 432 9,639 920 20,527
Imperial Holly Inc 0 -- 0 --
International Multifoods
Corp 0 -- 0 --
Interstate Bakeries Corp 0 -- 400 13,400
Kellogg Co 756 32,225 3,259 138,915
Koninklijke Ahold NV ADR
(Netherlands) 3,015 92,900 10,138 312,377
Kroger Co 341 14,407 2,101 88,767
Lancaster Colony Corp 207 9,108 290 12,760
Lance Inc 0 -- 0 --
Lone Star Steakhouse &
Saloon+ 300 6,319 400 8,425
Luby's Cafeteria Inc 45 782 219 3,805
McCormick & Co Inc 288 8,262 600 17,213
McDonald's Corp 1,269 69,478 5,690 311,527
Michael Foods Inc 0 -- 0 --
Morrison Restaurants Inc 96 270 50 141
Nabisco Holdings Corp Class
A 200 9,438 100 4,719
NPC International Inc+ 0 -- 0 --
Outback Steakhouse Inc+ 200 7,150 400 14,300
Pioneer Hi Bred
International Inc 135 14,006 479 49,696
Planet Hollywood
International+ 0 -- 200 2,013
Quaker Oats Co 142 7,650 1,173 63,195
Ralston-Purina Group 155 15,723 896 90,888
Richfood Holdings Inc 0 -- 500 14,219
RJR Nabisco Holdings Corp 1,170 40,438 2,643 91,349
Ruby Tuesday Inc 192 5,016 100 2,613
Ryans Family Steak House+ 119 985 516 4,273
Safeway Inc 998 34,805 2,054 71,633
Sara Lee Corp 833 47,065 3,853 217,694
Sbarro Inc 0 -- 0 --
Shoney's Inc+ 97 473 370 1,804
Sizzler International Inc+ 254 841 0 --
</TABLE>
130
<PAGE>
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,318 $ 33,527 1,336 $ 33,985 2,815 $ 71,607
3,100 31,290 2,900 29,272 6,900 68,137
4,300 42,463 3,400 33,575 6,400 64,600
2,930 210,777 2,597 186,822 6,222 447,595
1,600 63,600 1,500 59,625 3,200 127,200
1,186 43,067 946 34,352 1,700 61,731
732 22,280 612 18,628 1,177 35,825
745 31,430 565 23,836 1,240 52,313
1,419 76,626 1,211 65,394 2,053 110,862
6,720 378,420 5,902 332,356 14,266 803,354
2,653 176,922 2,319 154,648 5,598 373,317
1,000 37,125 800 29,700 1,700 63,113
380 5,082 320 4,280 680 9,095
2,152 48,017 1,642 36,637 3,500 78,094
134 1,173 94 823 0 --
274 7,655 0 -- 0 --
800 26,800 700 23,450 1,600 53,600
7,501 319,730 6,470 275,784 16,003 682,128
22,905 705,760 20,762 639,729 38,157 1,175,713
4,630 195,618 4,069 171,915 9,729 411,050
705 31,020 660 29,040 1,292 56,848
478 11,114 0 -- 0 --
700 14,744 500 10,531 900 18,956
480 8,340 369 6,411 621 10,790
1,355 38,872 1,005 28,831 2,155 61,822
13,681 749,035 11,787 645,338 19,844 1,086,459
229 5,811 0 -- 0 --
160 450 99 278 193 543
200 9,438 200 9,438 400 18,875
374 4,301 284 3,266 0 --
500 17,875 700 25,025 1,400 50,050
1,235 128,131 1,033 107,174 2,756 285,935
500 5,031 400 4,025 600 6,038
2,605 140,344 2,195 118,256 5,309 286,022
1,957 198,513 1,625 164,836 4,138 419,748
0 -- 600 17,063 1,000 28,438
5,305 183,354 4,851 167,663 10,618 366,985
321 8,386 199 5,199 387 10,110
1,012 8,381 679 5,623 1,039 8,604
3,976 138,663 3,378 117,808 8,452 294,764
8,737 493,640 7,573 427,874 18,602 1,051,013
319 9,411 219 6,461 0 --
751 3,661 596 2,905 1,304 6,357
434 1,438 319 1,057 0 --
</TABLE>
131
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Smucker (J M) Co Class A 305 $ 8,121 0 $ --
Southland Corp+ 1,800 3,488 1,400 2,713
Starbucks Corp+ 400 15,825 800 31,650
Super Value Inc 78 3,715 543 25,860
Sysco Corp 205 9,648 1,387 65,276
Tootsie Roll Industries 212 15,821 212 15,834
Tricon Global Restaurants+ 226 6,413 1,275 36,178
Tyson Food Inc Class A 591 11,525 890 17,355
Unilever NV (Netherlands) 3,972 255,449 13,212 849,697
Universal Corp 181 8,598 400 19,000
Universal Foods Corp 279 12,555 320 14,400
UST Inc 292 10,348 1,528 54,149
Weis Markets Inc 200 7,038 100 3,519
Wendy's International Inc 211 4,576 1,170 25,374
Winn-Dixie Stores Inc 166 8,954 1,209 65,210
Wrigley (W M) Jr Co 184 14,053 979 74,771
------------ ------------
TOTAL FOOD & RELATED
- VALUE $ 1,211,074 $ 4,263,663
- COST $ 888,160 $ 2,966,990
FURNITURE & APPLIANCES
PERCENT OF NET ASSETS 0.07% 0.10%
Bassett Furniture Industries 25 $ 775 50 $ 1,550
HON Industries Inc 153 10,060 270 17,753
Hussmann International Inc+ 32 486 439 6,660
Knoll Inc+ 0 -- 100 3,563
Leggett & Platt Inc 458 22,986 900 45,169
Maytag Corp 216 9,720 879 39,555
Miller (Herman) Inc 238 14,578 420 25,725
National Presto Industries
Inc 0 -- 0 --
Skyline Corp 20 639 44 1,405
Sunbeam Oster Co Inc 300 12,413 600 24,825
Whirlpool Corp 83 5,545 705 47,103
------------ ------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 77,202 $ 213,308
- COST $ 34,333 $ 129,645
HEALTHCARE
PERCENT OF NET ASSETS 0.11% 0.18%
Apria Healthcare Group Inc+ 500 $ 6,813 600 $ 8,175
Beverly Enterprises Inc+ 75 1,139 1,146 17,405
Cardinal Health Inc 116 9,498 889 72,787
First Health Group Corp+ 284 14,147 290 14,446
Healthsouth Corp 1,010 27,270 3,190 86,130
Idexx Laboratories Inc+ 400 6,275 500 7,844
</TABLE>
132
<PAGE>
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
436 $ 11,608 331 $ 8,813 0 $ --
2,600 5,038 1,800 3,488 4,200 8,138
1,700 67,256 1,400 55,388 3,400 134,513
1,194 56,864 1,044 49,721 1,718 81,820
3,085 145,188 2,699 127,022 6,737 317,060
318 23,751 212 15,834 537 40,046
3,075 87,253 2,587 73,406 4,267 121,076
1,411 27,515 1,473 28,724 3,545 69,128
29,720 1,911,368 26,964 1,734,122 49,692 3,195,817
639 30,353 694 32,965 1,365 64,838
409 18,405 489 22,005 770 34,650
3,453 122,366 3,035 107,553 7,026 248,984
200 7,038 200 7,038 400 14,075
2,634 57,125 2,263 49,079 3,751 81,350
2,958 159,547 2,505 135,113 4,266 230,097
2,164 165,276 1,864 142,363 4,489 342,847
------------ ------------ ------------
$ 9,578,240 $ 8,369,829 $ 17,425,950
$ 6,662,975 $ 5,861,569 $ 13,242,622
0.14% 0.17% 0.19%
200 $ 6,200 120 $ 3,720 206 $ 6,386
484 31,823 454 29,850 935 61,476
1,026 15,575 796 12,089 1,533 23,275
0 -- 200 7,125 400 14,250
1,874 94,051 1,584 79,497 3,430 172,143
1,899 85,455 1,639 73,755 2,664 119,880
848 51,940 858 52,553 1,820 111,475
116 4,517 81 3,154 0 --
222 7,090 78 2,491 133 4,248
1,300 53,788 1,100 45,513 2,300 95,162
1,460 97,546 1,298 86,723 2,149 143,580
------------ ------------ ------------
$ 447,985 $ 396,470 $ 751,875
$ 261,638 $ 240,464 $ 519,431
0.28% 0.32% 0.38%
800 $ 10,900 800 $ 10,900 1,300 $ 17,712
2,100 31,894 2,042 31,013 4,300 65,306
2,040 167,025 1,675 137,141 4,163 340,846
816 40,647 596 29,688 1,265 63,013
7,277 196,479 6,119 165,213 15,005 405,135
800 12,550 600 9,413 1,000 15,688
</TABLE>
133
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Lincare Holdings Inc+ 0 $ -- 100 $ 6,491
Mid Atlantic Medical
Services+ 400 4,700 500 5,875
Morrison Health Care Inc 128 2,560 66 1,320
Novacare Inc+ 0 -- 0 --
Oakley Inc+ 600 7,238 600 7,238
Oxford Health Plans Inc+ 500 8,594 700 12,031
PacifiCare Health Systems
Inc Class A+ 112 6,855 70 4,285
PacifiCare Health Systems
Inc Class B+ 174 10,875 195 12,188
St Jude Medical Inc 152 5,548 796 29,054
United Healthcare Corp 297 18,024 1,639 99,467
------------ ------------
TOTAL HEALTHCARE
- VALUE $ 129,536 $ 384,736
- COST $ 145,300 $ 368,304
HOSPITAL & MEDICAL SUPPLIES
PERCENT OF NET ASSETS 0.42% 0.98%
Allegiance Corp 81 $ 2,825 628 $ 21,902
American Oncology Resources+ 0 -- 200 3,050
Arrow International Inc 0 -- 100 3,913
Arterial Vascular
Engineering+ 0 -- 100 4,094
Bard (C R) Inc 143 4,987 555 19,356
Bausch & Lomb Inc 56 2,509 491 22,003
Baxter International Inc 470 26,614 2,297 130,068
Becton Dickinson & Co 159 10,116 987 62,798
Biomet Inc 132 3,935 926 27,606
Boston Scientific Corp+ 301 17,985 1,568 93,688
Columbia/HCA Healthcare Corp 1,140 30,923 5,759 156,213
Dentsply International Inc 400 12,400 400 12,400
Depuy Inc 0 -- 200 5,388
Guidant Corp 306 22,319 1,209 88,181
Health Care & Retirement
Corp+ 150 6,581 400 17,550
Health Management Associates
Inc Class A 575 15,992 1,375 38,242
Hillenbrand Industries Inc 300 16,856 500 28,094
Johnson & Johnson 2,333 176,142 10,695 807,473
Mallinckrodt Group Inc 87 3,377 684 26,548
Manor Care Inc 161 6,048 601 22,575
Medpartners Inc+ 710 8,520 1,489 17,868
Medtronic Inc 720 38,250 3,714 197,306
Phycor Inc+ 300 7,716 600 15,431
Quorum Health Group Inc 150 4,158 350 9,702
Stryker Corp 348 14,246 720 29,475
Sybron International Corp 600 16,388 900 24,581
Tenet Healthcare Corp+ 524 19,552 2,682 100,072
Thermo Cardiosystems Inc+ 150 3,750 250 6,250
</TABLE>
134
<PAGE>
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
300 $ 19,472 300 $ 19,472 600 $ 38,944
700 8,225 500 5,875 1,300 15,275
214 4,280 132 2,640 258 5,160
975 13,650 710 9,940 0 --
1,200 14,475 800 9,650 1,200 14,475
1,400 24,063 1,300 22,344 2,600 44,688
459 28,021 136 8,273 242 14,768
526 32,887 411 25,688 795 49,699
1,835 66,977 1,534 55,991 2,735 99,827
3,729 226,304 3,247 197,052 5,462 331,475
------------ ------------ ------------
$ 897,849 $ 740,293 $ 1,522,011
$ 769,806 $ 640,982 $ 1,349,970
1.39% 1.68% 2.20%
1,230 $ 42,896 1,098 $ 38,293 2,307 $ 80,457
0 -- 200 3,050 400 6,100
0 -- 0 -- 200 7,825
0 -- 0 -- 0 --
1,208 42,129 897 31,283 1,796 62,636
1,150 51,534 975 43,692 1,555 69,683
5,115 289,637 4,426 250,622 10,868 615,401
2,471 157,217 2,130 135,521 3,570 227,141
2,246 66,959 1,742 51,933 4,260 127,001
3,506 209,483 3,067 183,253 7,629 455,833
13,036 353,612 11,167 302,905 18,654 505,990
600 18,600 800 24,800 1,600 49,600
300 8,081 300 8,081 600 16,163
2,717 198,171 2,367 172,643 5,673 413,774
750 32,906 700 30,713 1,550 68,006
3,075 85,523 2,600 72,313 5,587 155,389
1,000 56,188 900 50,569 2,000 112,375
24,511 1,850,580 21,249 1,604,300 52,505 3,964,128
1,443 56,006 1,205 46,769 2,092 81,196
1,299 48,794 1,012 38,013 1,837 69,002
3,020 36,240 2,552 30,624 5,362 64,344
8,514 452,306 7,298 387,706 18,213 967,566
1,050 27,005 1,050 27,005 2,250 57,867
600 16,631 650 18,017 1,400 38,806
1,668 68,284 1,388 56,821 2,900 118,719
1,600 43,700 1,600 43,700 3,600 98,325
6,083 226,972 5,254 196,040 8,820 329,096
300 7,500 300 7,500 450 11,250
</TABLE>
135
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
United States Surgical 152 $ 4,655 699 $ 21,407
Vencor Inc+ 500 14,344 700 20,081
------------ ------------
TOTAL HOSPITAL & MEDICAL
SUPPLIES
- VALUE $ 491,188 $ 2,033,315
- COST $ 384,539 $ 1,447,346
HOUSEHOLD PRODUCTS
PERCENT OF NET ASSETS 0.37% 0.93%
Alberto-Culver Co Class B 102 $ 3,105 485 $ 14,762
Avon Products Inc 160 11,270 1,087 76,566
Colgate-Palmolive Co 479 38,889 2,358 191,440
Estee Lauder Co Class A 200 11,700 200 11,700
Gillette Co 1,021 110,140 4,471 482,309
Kimberly-Clark Corp 986 54,908 4,354 242,463
NCH Corp 0 -- 0 --
Procter & Gamble Co 2,403 204,105 10,684 907,472
------------ ------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 434,117 $ 1,926,712
- COST $ 307,975 $ 1,126,833
INSURANCE
PERCENT OF NET ASSETS 1.15% 2.56%
Aegon NV ADR (Netherlands) 22 $ 2,475 325 $ 36,563
Aetna Inc 274 23,941 1,300 113,588
AFLAC Corp 696 42,761 1,370 84,169
Alleghany Corp 2 696 2 682
Allmerica Financial Corp 124 7,626 230 14,145
Allstate Corp 722 67,327 3,601 335,793
AMBAC Inc 300 15,975 600 31,950
American Bankers Insurance
Gro 0 -- 400 22,500
American Financial Group Inc 304 12,293 390 15,771
American General Corp 694 40,311 2,416 140,402
American International Group
Inc 1,293 155,402 5,648 678,819
American National Insurance
Co 100 9,700 100 9,700
Aon Corp 267 15,970 1,510 90,317
Argonaut Group Inc 0 -- 100 3,600
Axa-UAP ADR (France) 2,275 110,053 7,408 358,362
Chubb Corp 315 25,141 1,524 121,634
CIGNA Corp 79 15,089 651 124,341
Cincinnati Financial Corp 230 31,050 546 73,710
CNA Financial Corp+ 0 -- 100 14,394
Conseco Inc 358 16,804 1,704 79,982
Equitable Co Inc 400 20,925 800 41,850
Everest Reinsurance Holdings
Inc 300 11,063 400 14,750
</TABLE>
136
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,465 $ 44,866 1,276 $ 39,078 2,342 $ 71,724
1,500 43,031 1,180 33,851 2,474 70,973
------------ ------------ ------------
$ 4,534,851 $ 3,929,095 $ 8,916,370
$ 3,112,631 $ 2,695,367 $ 6,611,260
1.35% 1.63% 2.32%
1,110 $ 33,786 882 $ 26,846 1,769 $ 53,844
2,443 172,079 2,120 149,327 5,022 353,737
5,419 439,955 4,646 377,197 11,523 935,524
400 23,400 400 23,400 800 46,800
10,224 1,102,914 8,804 949,732 21,861 2,358,255
10,013 557,599 8,677 483,201 21,241 1,182,858
124 7,556 89 5,423 0 --
24,458 2,077,401 21,227 1,802,968 52,416 4,452,084
------------ ------------ ------------
$ 4,414,690 $ 3,818,094 $ 9,383,102
$ 2,625,441 $ 2,304,576 $ 6,133,380
3.57% 4.42% 4.71%
747 $ 84,038 580 $ 65,250 898 $ 101,025
2,968 259,329 2,516 219,836 4,254 371,693
2,817 173,069 2,537 155,867 5,627 345,709
104 35,478 104 35,478 204 69,578
379 23,309 372 22,878 803 49,385
8,573 799,432 7,333 683,802 12,357 1,152,290
1,300 69,225 1,100 58,575 2,400 127,800
700 39,375 600 33,750 1,300 73,125
813 32,876 608 24,586 1,380 55,804
5,158 299,796 4,588 266,672 7,751 450,516
12,783 1,536,357 11,049 1,327,952 27,363 3,288,691
200 19,400 200 19,400 400 38,800
3,319 198,518 2,854 170,705 4,834 289,134
0 -- 200 7,200 300 10,800
16,697 807,717 15,104 730,656 27,832 1,346,373
3,368 268,809 2,935 234,250 4,867 388,447
1,432 273,512 1,272 242,952 2,160 412,560
1,045 141,075 1,040 140,400 1,595 215,325
200 28,788 200 28,788 400 57,575
3,773 177,095 3,254 152,735 5,441 255,387
1,700 88,931 1,400 73,238 3,100 162,169
900 33,188 800 29,500 1,700 62,688
</TABLE>
137
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Foundation Health Systems+ 491 $ 13,595 926 $ 25,639
General Re Corp 101 21,513 651 138,663
Hartford Financial Services
Group 236 23,187 1,081 106,208
Highlands Insurance Group+ 37 909 76 1,867
HSB Group Inc 230 14,519 280 17,675
Humana Inc+ 257 6,537 1,470 37,393
Jefferson-Pilot Corp 107 8,975 639 53,596
John Alden Financial Corp 0 -- 0 --
Leucadia National Corp 200 7,550 400 15,100
Lincoln National Corp 144 12,060 936 78,390
Loews Corp 155 15,548 983 98,607
Marsh & McLennan Co Inc 267 23,146 1,318 114,254
MBIA Inc 204 14,930 764 55,915
Mercury General Corp 200 11,350 300 17,025
Ohio Casualty Corp 100 4,675 300 14,025
Old Republic International
Corp 350 14,766 750 31,641
PMI Group Inc 100 7,275 200 14,550
Progressive Corp Ohio 85 9,849 650 75,319
Protective Life Corp 100 6,913 300 20,738
Provident Co Inc 294 10,584 632 22,752
Providian Financial Corp 156 8,847 788 44,719
Reliance Group Holdings 0 -- 700 11,900
Reliastar Financial Corp 400 19,025 900 42,806
Safeco Corp 276 14,473 1,208 63,345
St Paul Co 127 11,255 755 66,912
Sunamerica Inc 909 41,189 1,633 73,995
TIG Holdings Inc 200 5,313 500 13,281
Tokio Marine & Fire
Insurance Co ADR (Japan) 3,718 211,926 15,400 877,800
Torchmark Corp 262 12,199 1,197 55,735
Transamerica Corp 76 8,849 542 63,109
Transatlantic Holdings Inc 126 9,529 150 11,344
Travelers Inc 1,873 104,420 9,565 533,249
Travelers Property Casualty 100 4,100 100 4,100
Uici+ 0 -- 400 12,850
Unitrin Inc 100 6,913 300 20,738
UNUM Corp 272 13,991 1,256 64,606
USF & G Corp 179 4,374 1,002 24,486
Wellpoint Health Networks+ 0 -- 100 5,844
------------ ------------
TOTAL INSURANCE
- VALUE $ 1,328,886 $ 5,337,198
- COST $ 961,881 $ 3,651,478
</TABLE>
138
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
1,954 $ 54,101 1,713 $ 47,429 3,541 $ 98,041
1,613 343,569 1,329 283,077 2,274 484,362
2,315 227,449 2,043 200,725 3,450 338,962
172 4,225 136 3,340 216 5,306
309 19,506 424 26,765 820 51,763
3,272 83,232 2,822 71,785 4,615 117,394
1,417 118,851 1,168 97,966 2,013 168,840
0 -- 0 -- 300 6,731
900 33,975 700 26,425 1,600 60,400
2,079 174,116 1,770 148,238 2,951 247,146
2,282 228,913 2,012 201,829 3,313 332,335
3,110 269,598 2,689 233,103 6,617 573,611
1,767 129,322 1,510 110,513 2,805 205,291
400 22,700 500 28,375 1,100 62,425
700 32,725 500 23,375 1,100 51,425
1,500 63,281 1,250 52,734 3,100 130,781
500 36,375 400 29,100 900 65,475
1,469 170,220 1,348 156,200 2,061 238,818
600 41,475 500 34,563 1,100 76,038
1,312 47,232 1,202 43,272 2,566 92,376
1,902 107,938 1,696 96,248 2,697 153,055
1,400 23,800 1,200 20,400 2,400 40,800
1,900 90,369 1,600 76,100 3,600 171,225
2,807 147,192 2,498 130,989 4,023 210,956
1,627 144,193 1,456 129,038 2,409 213,498
3,897 176,583 3,290 149,078 5,599 253,705
900 23,906 800 21,250 1,700 45,156
26,976 1,537,632 27,469 1,565,733 44,208 2,519,856
2,806 130,654 2,418 112,588 4,044 188,299
1,299 151,252 1,044 121,561 1,787 208,074
332 25,108 290 21,931 660 49,913
22,913 1,277,400 19,704 1,098,506 33,141 1,847,611
200 8,200 200 8,200 300 12,300
800 25,700 600 19,275 1,400 44,975
600 41,475 500 34,563 1,100 76,038
2,774 142,688 2,391 122,987 3,959 203,641
2,206 53,909 1,858 45,405 3,192 78,005
300 17,531 200 11,688 500 29,219
------------ ----------- ------------ ----------- ------------
$ 11,615,712 $ 10,328,824 $ 19,078,720
$ 7,606,427 $ 6,858,868 $ 14,010,932
</TABLE>
139
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LODGING
PERCENT OF NET ASSETS 0.06% 0.12%
Choice Hotels International
Inc+ 59 $ 885 505 $ 7,575
Extended Stay America Inc+ 0 -- 600 8,400
Hilton Hotels Corp 304 9,063 2,111 62,934
Homestead Village Property
Inc 75 1,064 87 1,234
Host Marriott Corp+ 800 15,850 1,700 33,681
La Quinta Inns Inc 400 8,500 650 13,813
Marriott International 178 13,484 1,006 76,205
Primadonna Resorts Inc 0 -- 0 --
Promus Hotel Corp+ 441 21,278 818 39,469
Sunburst Hospitality Corp 20 172 168 1,470
------------ ------------
TOTAL LODGING
- VALUE $ 70,296 $ 244,781
- COST $ 48,954 $ 179,753
MACHINERY
PERCENT OF NET ASSETS 0.28% 0.44%
AGCO Corp 300 $ 8,438 600 $ 16,875
AVX Corp 300 6,769 200 4,513
Black & Decker Corp 126 6,347 861 43,373
Camco International Inc 0 -- 300 17,550
Case Corp 103 6,701 704 45,804
Caterpillar Inc 630 34,414 3,259 178,023
Cincinnati Milacron Inc 61 1,883 362 11,177
Cummins Engine Co Inc 25 1,447 298 17,247
Deere & Co 439 24,639 2,249 126,225
Federal Mogul Corp 396 19,429 300 14,719
Flowserve Corp 0 -- 400 12,675
Harsco Corp 338 14,154 520 21,775
Ingersoll-Rand Co 272 12,954 1,450 69,056
Jacobs Engineering Group+ 0 -- 0 --
Kubota Corp ADR (Japan) 1,434 83,531 1,203 70,075
MagneTek Inc+ 0 -- 0 --
Makita Corp ADR (Japan) 1,420 16,330 4,803 55,235
McDermott International Inc 146 5,749 456 17,955
Nordson Corp 214 10,406 160 7,780
Pall Corp 183 3,832 1,087 22,759
Parker Hannifin Corp 158 7,367 987 46,019
Pentair Co 0 -- 0 --
Presstek Inc 200 5,075 400 10,150
SPX Corp 22 1,643 46 3,436
Tecumseh Products Co Class A 241 12,080 190 9,524
Teleflex Inc 350 14,197 0 --
</TABLE>
140
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.17% 0.19% 0.26%
1,105 $ 16,575 807 $ 12,105 1,217 $ 18,255
1,400 19,600 1,200 16,800 2,500 35,000
4,772 142,265 3,893 116,060 9,473 282,414
100 1,419 113 1,603 188 2,667
3,400 67,363 3,100 61,419 6,600 130,763
1,500 31,875 1,100 23,375 2,400 51,000
2,355 178,391 1,978 149,834 4,951 375,038
0 -- 0 -- 400 6,000
1,685 81,301 1,289 62,194 3,245 156,571
368 3,220 269 2,354 405 3,544
------------ ----------- ------------ ----------- ------------
$ 542,009 $ 445,744 $ 1,061,252
$ 369,433 $ 317,385 $ 829,157
0.78% 0.98% 0.93%
1,300 $ 36,563 1,100 $ 30,938 2,300 $ 64,688
400 9,025 400 9,025 900 20,306
1,857 93,546 1,659 83,572 2,734 137,725
600 35,100 600 35,100 1,300 76,050
1,493 97,138 1,311 85,297 2,208 143,658
7,410 404,771 6,408 350,037 10,759 587,710
802 24,762 767 23,681 1,215 37,513
746 43,175 624 36,114 1,156 66,904
5,040 282,870 4,282 240,327 7,305 409,993
553 27,132 398 19,527 380 18,644
900 28,519 800 25,350 1,600 50,700
1,148 48,073 858 35,929 1,920 80,400
3,307 157,496 2,962 141,065 4,717 224,647
373 11,167 0 -- 0 --
10,786 628,285 10,935 636,964 16,660 970,445
367 6,514 0 -- 0 --
10,209 117,404 10,347 118,990 16,783 193,005
1,093 43,037 947 37,288 1,593 62,724
293 14,247 208 10,114 385 18,721
2,550 53,391 2,123 44,450 3,843 80,463
2,208 102,948 1,938 90,359 3,209 149,620
576 23,724 406 16,722 0 --
400 10,150 400 10,150 600 15,225
226 16,879 83 6,199 248 18,523
345 17,293 249 12,481 431 21,604
508 20,606 388 15,738 0 --
</TABLE>
141
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Thermo Electron Corp+ 239 $ 9,799 1,336 $ 54,776
UCAR International Inc+ 200 6,888 400 13,775
York International Corp 202 8,875 420 18,454
Zurn Industries Inc 22 965 46 2,018
------------ ------------
TOTAL MACHINERY
- VALUE $ 323,912 $ 910,968
- COST $ 310,131 $ 792,704
MANUFACTURING
PERCENT OF NET ASSETS 0.05% 0.11%
EVI Inc 0 $ -- 300 $ 14,719
Tyco International Ltd 1,224 62,118 4,220 214,165
West Teleservices 0 -- 0 --
------------ ------------
TOTAL MANUFACTURING
- VALUE $ 62,118 $ 228,884
- COST $ 39,512 $ 174,375
METAL FABRICATORS
PERCENT OF NET ASSETS 0.22% 0.50%
Alcan Aluminum Ltd 427 $ 13,264 1,995 $ 61,970
Allegheny Teledyne Inc 263 7,134 1,438 39,006
Alumax Inc+ 189 7,005 480 17,790
Aluminum Co of America 317 23,260 1,525 111,897
Armco Inc+ 111 590 953 5,063
Barrick Gold Corp 623 12,032 3,338 64,465
Battle Mountain Gold Co 337 2,022 1,957 11,742
Bethlehem Steel Corp+ 67 712 938 9,966
British Steel PLC ADR (UK) 678 16,738 2,172 53,621
Crane Co 80 3,920 395 19,355
Engelhard Corp 270 4,894 1,271 23,037
Freeport McMoRan Copper &
Gold Inc Class B 38 546 28 403
Freeport McMoRan Inc 231 3,479 1,682 25,335
Getchell Gold Corp+ 24 447 259 4,824
Inland Steel Industries Inc 102 2,104 432 8,910
Kaydon Corp 0 -- 0 --
Laboratory Corp of America
Holdings 660 1,279 418 810
Lukens Inc 0 -- 0 --
Mitsui & Co Ltd ADR (Japan) 660 83,408 2,015 254,646
Nucor Corp 131 6,747 734 37,801
Oregon Steel Mills Inc 0 -- 0 --
Phelps Dodge Corp 76 4,826 540 34,290
Placer Dome Inc 353 4,545 2,124 27,347
Precision Castparts Corp 0 -- 200 11,088
Reynolds Metals Co 159 9,908 606 37,761
</TABLE>
142
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
3,066 $ 125,706 2,546 $ 104,386 4,371 $ 179,211
800 27,550 600 20,663 1,400 48,213
959 42,136 814 35,765 1,685 74,035
224 9,828 180 7,898 241 10,574
------------ ------------ ------------
$ 2,559,035 $ 2,284,129 $ 3,761,301
$ 2,336,391 $ 2,140,563 $ 3,802,021
0.16% 0.20% 0.28%
600 $ 29,438 600 $ 29,438 1,300 $ 63,781
9,749 494,762 8,442 428,432 20,724 1,051,743
0 -- 0 -- 200 2,900
------------ ------------ ------------
$ 524,200 $ 457,870 $ 1,118,424
$ 409,829 $ 363,876 $ 861,600
0.73% 0.90% 0.90%
4,535 $ 140,868 3,904 $ 121,268 6,607 $ 205,230
3,498 94,883 2,898 78,608 4,998 135,571
773 28,649 793 29,391 1,770 65,601
3,427 251,456 2,938 215,576 4,971 364,747
1,943 10,322 1,647 8,750 3,846 20,432
7,557 145,945 6,282 121,321 10,574 204,210
4,566 27,396 3,560 21,360 7,316 43,896
2,310 24,544 1,752 18,615 3,489 37,071
4,862 120,031 4,465 110,230 8,166 201,598
915 44,835 862 42,214 1,398 68,502
2,901 52,581 2,322 42,086 4,126 74,784
52 747 38 546 236 3,393
3,743 56,379 3,247 48,908 7,341 110,574
222 4,135 458 8,530 646 12,032
996 20,543 751 15,489 1,488 30,690
500 18,594 0 -- 0 --
1,043 2,021 684 1,325 1,337 2,590
230 6,900 0 -- 0 --
4,622 584,105 4,684 591,941 7,495 947,181
1,781 91,721 1,460 75,190 2,537 130,656
299 6,017 199 4,005 0 --
1,195 75,883 1,038 65,913 1,712 108,712
4,869 62,688 4,118 53,019 6,778 87,267
400 22,175 413 22,896 800 44,350
1,504 93,718 1,306 81,380 2,154 134,221
</TABLE>
143
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SKF AB ADR (Sweden) 781 $ 15,815 2,531 $ 51,253
Steel Dynamics Inc+ 0 -- 300 5,700
Timken Co 102 3,290 600 19,350
USX--U.S. Steel Group 136 4,777 790 27,749
WMC Ltd ADR (Japan) 1,140 15,390 3,837 51,800
Worthington Industries Inc 137 2,346 897 15,361
------------ ------------
TOTAL METAL FABRICATORS
- VALUE $ 250,478 $ 1,032,340
- COST $ 294,925 $ 1,229,500
OFFICE EQUIPMENT & SUPPLIES
PERCENT OF NET ASSETS 0.04% 0.05%
Ricoh Co Ltd ADR (Japan) 677 $ 36,173 2,079 $ 111,084
Standard Register Co 301 10,272 0 --
------------ ------------
TOTAL OFFICE EQUIPMENT & SUPPLIES
- VALUE $ 46,445 $ 111,084
- COST $ 53,924 $ 156,965
PHARMACEUTICALS
PERCENT OF NET ASSETS 1.83% 4.00%
Abbott Laboratories 1,344 $ 100,548 6,062 $ 453,513
Allergan Inc 165 5,775 604 21,140
ALZA Corp 122 4,560 699 26,125
American Home Products Corp 1,065 99,844 5,159 483,656
Amgen Inc 377 20,028 2,089 110,978
Astra AB ADR Series B (Sweden) 4,738 93,279 15,704 309,173
Bergen Brunswig Corp Class A 225 10,125 545 24,525
Bristol-Myers Squibb Co 1,784 178,734 7,894 790,880
Centocor Inc+ 346 12,478 640 23,080
Covance Inc+ 90 1,940 581 12,497
Crescendo Pharmaceuticals Corp+ 5 59 33 392
Dura Pharmaceuticals Inc+ 0 -- 500 12,563
Forest Labs Inc Class A+ 182 11,386 370 23,148
Glaxo Holdings PLC ADR (UK) 3,700 200,956 12,392 673,040
ICN Pharmaceuticals Inc 200 11,550 404 23,331
Immunex Corp+ 0 -- 200 11,825
Interneuron Pharmaceuticals Co+ 0 -- 400 3,175
IVAX Corp+ 1,230 10,378 1,240 10,463
Lilly (Eli) & Co 1,999 131,559 8,871 583,823
Marshall & Ilsley Corp 558 32,713 1,040 60,970
McKesson Corp 400 20,850 700 36,488
Merck & Co Inc 2,173 277,193 9,536 1,216,436
Millipore Corp 52 1,966 376 14,218
Mylan Laboratories 603 12,286 1,270 25,876
</TABLE>
144
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
5,817 $ 117,794 5,246 $ 106,232 9,748 $ 197,397
600 11,400 400 7,600 1,000 19,000
1,240 39,990 1,078 34,766 1,784 57,534
1,764 61,961 1,494 52,477 2,492 87,532
8,659 116,897 7,868 106,218 14,498 195,723
1,935 33,137 1,489 25,499 2,792 47,813
------------ ------------ ------------
$ 2,368,315 $ 2,111,353 $ 3,638,307
$ 2,768,087 $ 2,457,218 $ 4,490,841
0.09% 0.12% 0.11%
4,949 $ 264,432 5,025 $ 268,492 8,133 $ 434,557
432 14,742 312 10,647 0 --
------------ ------------ ------------
$ 279,174 $ 279,139 $ 434,557
$ 371,584 $ 367,165 $ 604,542
5.79% 7.10% 9.23%
13,983 $ 1,046,103 12,072 $ 903,137 29,796 $ 2,229,113
1,289 45,115 1,098 38,430 2,008 70,280
1,713 64,023 1,436 53,670 2,386 89,177
11,809 1,107,094 10,240 960,000 25,343 2,375,906
4,915 261,109 4,171 221,584 10,248 544,425
35,550 699,891 32,160 633,150 59,334 1,168,138
1,086 48,870 875 39,375 1,950 87,750
18,157 1,819,104 15,630 1,565,931 38,771 3,884,370
1,381 49,802 1,266 45,655 2,620 94,484
1,030 22,140 878 18,866 1,546 33,239
71 843 53 629 137 1,627
1,000 25,125 800 20,100 1,700 42,713
766 47,923 686 42,918 1,460 91,341
27,901 1,515,373 25,313 1,374,812 46,634 2,532,809
708 40,887 707 40,829 1,640 94,710
400 23,650 300 17,738 700 41,388
0 -- 600 4,763 900 7,144
2,323 19,600 1,963 16,563 3,995 33,708
20,223 1,330,926 17,522 1,153,167 43,315 2,850,669
2,103 123,288 1,883 110,391 4,120 241,535
1,600 83,400 1,400 72,975 2,900 151,163
21,815 2,782,776 18,950 2,428,951 46,796 5,969,415
788 29,796 686 25,939 1,628 61,559
2,765 56,337 2,227 45,375 4,652 94,785
</TABLE>
145
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Novo Nordisk A/S ADR
(Denmark) 2,632 $ 196,249 8,661 $ 645,786
Omnicare Inc 300 11,100 800 29,600
Perrigo Co+ 812 8,729 550 5,913
Pfizer Inc 2,295 203,108 10,309 912,347
Pharmacia and Upjohn Inc 837 33,114 4,470 176,844
Pharmerica Inc+ 35 455 338 4,394
Scherer (R P) Corp+ 200 12,163 200 12,163
Schering-plough Corp 1,283 97,588 5,829 443,368
Schweitzer-Mauduit
International Inc 20 665 92 3,059
Smithkline Beecham PLC ADR
(UK) 2,355 145,716 7,695 476,128
Southtrust Corp 707 28,878 1,395 57,021
Thermolase Corp+ 0 -- 100 813
Warner Lambert Co 479 70,054 2,197 321,311
Watson Pharmaceutical Inc 300 10,763 800 28,700
Xoma Corp+ 188 934 0 --
Zeneca Group PLC ADR (UK) 558 74,179 1,977 262,817
------------ ------------
TOTAL PHARMACEUTICALS
- VALUE $ 2,131,902 $ 8,331,579
- COST $ 1,338,862 $ 4,715,385
PUBLISHING
PERCENT OF NET ASSETS 0.39% 0.73%
American Greetings Corp
Class A 133 $ 6,068 705 $ 32,166
Barnes & Noble 400 14,050 500 17,563
Belo (A H) Corp 256 14,016 340 18,615
Central Newspapers Class A 0 -- 200 14,288
Chris-craft Industries Inc 116 6,496 262 14,602
Comcast Corp Class A 455 15,925 2,744 96,040
Donnelley (R R) & Sons Co 259 10,263 1,300 51,513
Dow Jones & Co Inc 204 10,481 888 45,621
E.W. Scripps Co 100 5,306 200 10,613
Elsevier NV ADR
(Netherlands) 3,987 150,260 13,261 499,774
Ennis Business Forms Inc 0 -- 0 --
Gannett Co Inc 478 30,861 2,245 144,943
Gibson Greetings Inc+ 0 -- 0 --
Golden Books Family
Entertainment Inc+ 234 2,750 0 --
Harland (John H) Co 55 835 248 3,767
Houghton Mifflin Co 304 9,652 240 7,620
Interpublic Group Co Inc 128 6,976 1,029 56,081
Knight-Ridder Inc 144 8,100 797 44,831
Lee Enterprises Inc 498 15,438 0 --
Liberty Media Group Class A 1,279 35,093 2,908 79,775
Marvel Entertainment Group
Inc+ 0 -- 200 175
Mcgraw-Hill Inc 176 13,310 840 63,525
</TABLE>
146
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
19,506 $ 1,454,416 17,679 $ 1,318,190 32,597 $ 2,430,514
1,600 59,200 1,400 51,800 3,000 111,000
1,252 13,459 842 9,052 1,680 18,060
23,565 2,085,502 20,453 1,810,090 50,505 4,469,693
10,084 398,948 8,754 346,330 14,658 579,907
955 12,415 792 10,296 1,547 20,111
400 24,325 400 24,325 900 54,731
13,388 1,018,325 11,569 879,967 28,528 2,169,911
214 7,115 176 5,852 351 11,671
17,391 1,076,068 15,763 975,336 29,089 1,799,882
2,906 118,762 2,681 109,565 5,903 241,265
0 -- 0 -- 300 2,438
4,920 719,550 4,275 625,219 10,561 1,544,546
1,700 60,988 1,400 50,225 3,000 107,625
193 959 193 959 0 --
4,539 603,403 4,106 545,841 7,461 991,847
------------ ------------ ------------
$ 18,896,610 $ 16,597,995 $ 37,344,649
$ 10,563,466 $ 9,453,253 $ 22,825,459
1.01% 1.26% 1.41%
1,536 $ 70,080 1,192 $ 54,385 2,080 $ 94,900
1,000 35,125 800 28,100 1,800 63,225
714 39,091 644 35,259 1,340 73,365
400 28,575 300 21,431 700 50,006
492 27,479 335 18,683 227 12,647
6,525 228,375 5,437 190,295 13,600 476,000
2,928 116,022 2,433 96,408 4,205 166,623
1,930 99,154 1,604 82,406 2,715 139,483
500 26,531 400 21,225 50,059 1,886,599
29,926 1,127,836 27,163 1,023,706 0 --
247 2,624 0 -- 900 47,756
5,151 332,561 4,436 286,399 11,014 711,091
244 5,368 0 -- 0 --
313 3,678 233 2,738 0 --
620 9,416 616 9,356 1,015 15,415
460 14,605 310 9,843 890 28,258
2,325 126,713 2,058 112,161 4,760 259,420
1,724 96,975 1,481 83,306 2,403 135,169
708 21,948 510 15,810 0 --
4,181 114,702 5,489 150,591 11,838 324,805
1,400 1,225 200 175 600 525
1,965 148,603 1,737 131,361 2,890 218,556
</TABLE>
147
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Media General Inc Class A 280 $ 13,160 220 $ 10,340
Meredith Corp 102 4,380 434 18,635
Moore Corp Ltd 104 1,632 783 12,283
New York Times Co Class A 216 14,135 899 58,828
News Corporation Ltd 954 24,267 3,180 80,891
Primedia Inc+ 0 -- 200 2,763
Readers Digest Association
Class A 300 7,969 800 21,250
Readers Digest Association
Class B 200 5,500 300 8,250
Scholastic Inc+ 200 7,925 200 7,925
Times Mirror Co Class A 152 9,358 859 52,882
Washington Post Co Class B 27 13,325 100 49,350
------------ ------------
TOTAL PUBLISHING
- VALUE $ 457,531 $ 1,524,909
- COST $ 355,215 $ 1,133,672
REAL ESTATE
PERCENT OF NET ASSETS 0.12% 0.24%
AMB Property Corp REIT 0 $ -- 100 $ 2,350
Boston Properties Inc REIT 0 -- 400 13,600
CarrAmercia Realty Corp REIT 0 -- 400 11,900
Castle & Cooke Inc+ 215 3,359 136 2,125
Catellus Development Corp+ 0 -- 700 12,688
Echelon International Corp+ 68 1,476 53 1,156
Equity Office Properties
Trust REIT 0 -- 1,962 57,879
Equity Residential
Properties Trust REIT 400 19,175 800 38,350
Federal Realty Investment
Trust 0 -- 0 --
FelCor Suite Hotels Inc REIT 0 -- 300 10,763
Franchise Finance Corp REIT 0 -- 100 2,675
Health & Retirement Property
Trust REIT 600 12,000 1,000 20,000
Health Care Property
Investors Inc REIT 300 11,138 300 11,138
Kimco Realty Corp REIT 300 10,538 350 12,294
Mack-Cali Realty Corp REIT 0 -- 500 18,875
MAXXAM Inc+ 0 -- 0 --
Meditrust Corp REIT 481 14,791 721 22,171
New Plan Realty Trust REIT 400 9,975 600 14,963
Patriot American Hospitality
Inc REIT 0 -- 700 17,500
Public Storage Inc REIT 0 -- 700 21,569
Security Capital Pacific
Trust REIT 200 4,588 500 11,469
Simon Debartolo Group Inc
REIT 300 9,263 700 21,613
Spieker Properties Inc 0 -- 400 15,875
Starwood Lodging Trust REIT 364 20,597 2,166 122,539
United Dominion Realty Trust
Inc REIT 0 -- 900 12,600
Vornado Realty Trust REIT 200 8,488 500 21,219
</TABLE>
148
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MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
410 $ 19,270 290 $ 13,630 570 $ 26,790
1,126 48,348 908 38,987 1,646 70,675
1,808 28,363 1,336 20,959 2,824 44,302
1,876 122,761 1,727 113,011 2,733 178,841
7,284 185,287 6,549 166,590 12,113 308,124
300 4,144 300 4,144 400 5,525
1,800 47,813 1,300 34,531 2,800 74,375
300 8,250 300 8,250 600 16,500
200 7,925 200 7,925 400 15,850
1,774 109,212 1,639 100,901 2,521 155,199
80 39,480 133 65,636 225 111,038
------------ ------------ ------------
$ 3,297,539 $ 2,948,202 $ 5,711,062
$ 2,391,886 $ 2,153,748 $ 4,263,347
0.31% 0.37% 0.49%
0 $ -- 200 $ 4,700 400 $ 9,400
700 23,800 600 20,400 1,500 51,000
900 26,775 800 23,800 1,700 50,575
336 5,250 222 3,469 341 5,328
1,400 25,375 1,300 23,563 2,800 50,750
96 2,084 69 1,511 65 1,418
4,065 119,918 3,384 99,828 7,668 226,206
1,400 67,113 1,200 57,525 3,100 148,606
0 -- 0 -- 400 9,900
700 25,113 500 17,938 1,200 43,050
0 -- 0 -- 200 5,350
2,200 44,000 1,800 36,000 700 25,988
400 14,850 500 18,563 3,800 76,000
450 15,806 600 21,075 1,300 45,663
1,000 37,750 800 30,200 2,000 75,500
128 6,816 0 -- 0 --
1,621 49,846 1,201 36,931 3,440 105,780
1,400 34,913 1,100 27,431 2,200 54,862
1,200 30,000 1,200 30,000 3,700 92,500
1,400 43,138 1,200 36,975 2,900 89,356
800 18,350 900 20,644 2,300 52,756
1,600 49,400 1,300 40,138 2,800 86,450
700 27,781 700 27,781 1,900 75,406
4,569 258,416 3,793 214,565 7,456 421,733
1,900 26,600 1,600 22,400 3,300 46,200
1,000 42,438 800 33,950 2,300 97,606
</TABLE>
149
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Weingarten Realty Investors
REIT 200 $ 8,925 200 $ 8,925
Westfield America Inc REIT 0 -- 100 1,788
------------ ------------
TOTAL REAL ESTATE
- VALUE $ 134,313 $ 508,024
- COST $ 103,592 $ 428,490
RETAIL & RELATED
PERCENT OF NET ASSETS 0.97% 2.17%
Ann Taylor Stores Inc+ 247 $ 3,504 195 $ 2,767
Autozone Inc+ 256 7,744 1,311 39,658
Bed Bath & Beyond Inc+ 200 8,638 400 17,275
Benetton SpA ADR (Italy) 2,417 88,825 7,862 288,928
Best Buy Co Inc+ 0 -- 100 5,963
BJ's Wholesale Club Inc+ 365 12,364 0 --
Borders Group Inc 0 -- 700 23,319
CDW Computer Centers Inc+ 0 -- 100 6,850
Charming Shoppes Inc+ 59 264 951 4,250
Circuit City Stores Inc 147 5,678 884 34,145
Coles Myer Ltd ADR
(Australia) 1,124 47,138 3,832 160,704
CompUSA Inc+ 0 -- 900 31,500
Consolidated Stores Corp 418 17,190 968 39,809
Corporate Express Inc+ 650 6,581 1,050 10,631
Costco Co Inc+ 415 20,283 1,716 83,870
Dayton-Hudson Corp 284 21,957 1,744 134,833
Department 56 Inc+ 200 6,588 200 6,588
Dillards Inc Class A 228 8,123 948 33,773
Dollar General Corp 412 19,004 993 45,802
Dollar Tree Stores Inc 0 -- 200 8,675
Eastman Kodak Co 593 38,916 2,672 175,350
Family Dollar Stores Inc 280 9,975 620 22,088
Federated Department Stores
Inc+ 359 16,828 1,903 89,203
Fingerhut Co 505 12,530 400 9,925
Footstar Inc+ 46 1,380 245 7,350
Fred Myer Inc 0 -- 600 26,663
Gap Inc 778 34,767 3,255 145,458
Global Directmail Corp+ 200 4,325 200 4,325
Hancock Fabrics Inc 0 -- 0 --
Heilig Meyers Co 524 8,122 410 6,355
Home Depot Inc 1,183 75,490 5,871 374,644
Homebase Inc 365 2,555 0 --
Intelligent Electronics+ 0 -- 0 --
Ito Yokado Co Ltd ADR
(Japan) 430 93,310 1,290 279,930
Jones Apparel Group Inc+ 200 11,000 300 16,500
Jostens Inc 107 2,515 280 6,580
</TABLE>
150
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
400 $ 17,850 400 $ 17,850 900 $ 40,163
0 -- 300 5,363 400 7,150
------------ ------------ ------------
$ 1,013,382 $ 872,600 $ 1,994,696
$ 919,873 $ 805,194 $ 1,797,177
3.11% 3.83% 4.54%
351 $ 4,980 253 $ 3,589 237 $ 3,362
3,021 91,385 2,633 79,648 4,308 130,317
800 34,550 800 34,550 1,700 73,419
17,662 649,079 16,072 590,646 29,581 1,087,102
0 -- 300 17,888 600 35,775
497 16,836 367 12,432 0 --
1,200 39,975 1,200 39,975 2,600 86,613
0 -- 100 6,850 300 20,550
2,288 10,224 1,620 7,239 3,364 15,033
1,983 76,593 1,673 64,620 2,770 106,991
8,675 363,808 7,932 332,648 14,440 605,578
1,900 66,500 1,600 56,000 3,400 119,000
2,129 87,555 1,475 60,659 4,087 168,078
1,950 19,744 1,850 18,731 3,900 39,488
3,963 193,692 3,434 167,837 8,296 405,467
3,928 303,684 3,463 267,733 8,485 655,997
300 9,881 200 6,588 600 19,763
2,275 81,047 1,878 66,904 3,180 113,288
2,165 99,861 1,856 85,608 3,957 182,517
500 21,688 400 17,350 900 39,038
6,516 427,613 5,591 366,909 9,331 612,347
1,285 45,778 1,140 40,613 2,442 86,987
4,166 195,281 3,622 169,781 6,011 281,766
714 17,716 509 12,630 180 4,466
521 15,630 382 11,460 654 19,620
1,200 53,325 1,100 48,881 2,500 111,094
7,383 329,928 6,316 282,247 15,620 698,019
300 6,488 200 4,325 400 8,650
342 5,579 0 -- 0 --
834 12,927 544 8,432 1,300 20,150
13,306 849,090 11,586 739,332 28,423 1,813,743
497 3,479 367 2,569 0 --
540 3,628 0 -- 0 --
2,975 645,575 3,003 651,651 4,826 1,047,242
600 33,000 600 33,000 1,400 77,000
690 16,215 567 13,325 1,398 32,853
</TABLE>
151
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
K Mart Corp+ 804 $ 10,754 4,367 $ 58,409
Kohls Corp+ 286 22,934 620 49,716
Limited Inc 477 13,833 2,409 69,861
Longs Drug Stores Corp 76 2,408 349 11,059
Lowe's Co Inc 257 15,018 1,590 92,916
May Department Stores Co 394 23,936 2,018 122,594
Mercantile Stores Co Inc 102 6,713 340 22,376
Michaels Stores 0 -- 0 --
Micro Warehouse Inc+ 300 4,125 300 4,125
Midas Inc+ 11 187 146 2,567
Neiman Marcus Group Inc+ 0 -- 200 7,438
Newell Co 259 11,882 1,330 61,014
Nordstrom Inc 122 6,996 645 36,987
Office Depot Inc+ 538 14,795 1,350 37,068
Officemax Inc+ 500 8,344 1,250 20,859
Payless Shoesource Inc+ 217 14,593 411 27,640
Penney (J C) Co Inc 456 32,234 2,163 152,897
Petsmart Inc+ 1,200 9,150 1,300 9,913
Proffitts Inc 0 -- 500 16,938
Rite Aid Corp 218 7,058 1,978 64,038
Ross Stores Inc 0 -- 500 19,688
Ruddick Corp 0 -- 0 --
Saks Holdings Inc+ 200 5,225 200 5,225
Sears Roebuck & Co 708 37,568 3,505 185,984
Service Merchandise Co+ 771 1,783 0 --
Sherwin Williams Co 261 8,727 1,519 50,792
Staples Inc 894 18,886 1,696 35,817
Sunglass Hut International
Inc+ 600 4,275 500 3,563
Talbots Inc 200 3,563 200 3,563
Tandy Corp 226 10,057 895 39,828
Tech Data Corp+ 0 -- 400 18,600
TJX Companies Inc 163 6,296 1,318 50,908
Toys R Us Inc+ 471 12,364 2,521 66,176
Viking Office Products Inc+ 400 8,800 900 19,800
Walgreen Co 680 24,948 3,884 142,494
Walmart Stores Inc 4,048 187,473 17,993 833,301
Williams-sonoma Inc 0 -- 0 --
Woolworth (F W) Co+ 187 4,441 1,247 29,616
------------ ------------
TOTAL RETAIL & RELATED
- VALUE $ 1,124,960 $ 4,517,481
- COST $ 858,233 $ 3,074,761
</TABLE>
152
<PAGE>
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
9,817 $ 131,302 8,137 $ 108,832 13,826 $ 184,923
1,304 104,565 1,208 96,867 2,558 205,120
5,517 159,993 4,667 135,343 7,826 226,954
794 25,160 671 21,262 1,256 39,800
3,499 204,473 2,992 174,845 5,009 292,713
4,585 278,539 3,934 238,991 6,697 406,843
730 48,043 585 38,500 1,100 72,394
0 -- 0 -- 200 6,800
600 8,250 400 5,500 700 9,625
342 6,003 266 4,666 511 8,972
400 14,875 400 14,875 800 29,750
3,004 137,809 2,586 118,633 6,030 276,626
1,503 86,188 1,263 72,425 2,176 124,780
2,442 67,155 2,367 65,240 5,080 139,700
2,700 45,056 2,150 35,878 4,650 77,597
743 49,967 715 48,084 1,504 101,144
4,961 350,681 4,357 307,985 7,225 510,717
2,200 16,775 1,600 12,200 3,000 22,875
1,000 33,875 900 30,488 1,500 50,813
5,032 162,911 4,204 136,105 7,206 233,294
900 35,438 900 35,438 1,900 74,813
714 12,941 524 9,498 0 --
500 13,063 400 10,450 900 23,513
7,787 413,198 6,726 356,898 11,275 598,280
1,516 3,506 1,111 2,569 0 --
3,462 115,761 2,918 97,571 4,970 166,184
3,245 68,540 3,060 64,643 6,686 141,231
1,000 7,125 700 4,988 1,300 9,263
0 -- 200 3,563 400 7,125
2,122 94,429 1,717 76,406 2,958 131,631
700 32,550 700 32,550 1,600 74,400
2,929 113,133 2,607 100,695 6,191 239,127
5,770 151,463 4,917 129,071 8,113 212,966
2,000 44,000 1,600 35,200 3,300 72,600
8,962 328,793 7,856 288,217 19,170 703,299
41,060 1,901,591 35,580 1,647,799 87,954 4,073,370
0 -- 0 -- 200 10,300
2,678 63,602 2,311 54,886 3,809 90,464
------------ ------------ ------------
$ 10,163,087 $ 8,939,811 $ 18,371,319
$ 6,849,987 $ 6,104,225 $ 13,044,296
</TABLE>
153
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SERVICES
PERCENT OF NET ASSETS 0.10% 0.15%
Block (H R) Inc 115 $ 5,412 828 $ 38,968
Cms Energy Corp 921 40,754 740 32,745
Corrections Corp of America+ 400 15,300 700 26,775
Dun & Bradstreet Corp 180 6,030 1,435 48,073
Public Service Enterprise
Group 388 12,513 2,035 65,629
Service Corp International 409 15,491 2,218 84,007
Sotheby's Holdings Inc 611 12,411 0 --
Stewart Enterprises Inc
Class A 250 11,781 450 21,206
------------ ------------
TOTAL SERVICES
- VALUE $ 119,692 $ 317,403
- COST $ 84,660 $ 233,555
SHIPPING
PERCENT OF NET ASSETS 0.01% 0.00%
Halter Marine Group Inc 273 $ 5,358 282 $ 5,534
------------ ------------
TOTAL SHIPPING
- VALUE $ 5,358 $ 5,534
- COST $ 3,161 $ 3,332
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 2.29% 4.71%
360 Communications Co+ 1,525 $ 40,413 1,519 $ 40,254
ADC Telecommunications+ 672 17,346 1,260 32,524
Adtran Inc+ 100 2,988 200 5,975
Advanced Fibre Communication 0 -- 500 14,969
Airtouch Communications+ 910 40,893 4,068 182,806
Alcatel Alsthom Compagnie
Generale d'electricite ADR
(France) 3,965 103,833 13,120 343,580
Aliant Communications Inc 0 -- 0 --
Alltel Corp 329 15,031 1,637 74,790
Ameritech Corp 1,914 79,790 8,702 362,765
Andrew Corp 160 4,420 763 21,064
Ascend Communications Inc+ 750 28,078 1,800 67,388
Aspect Telecommunication
Corp+ 0 -- 500 13,188
AT & T Corp 2,814 171,302 13,487 821,021
Bell Atlantic Corp 1,292 115,957 6,245 560,489
Bellsouth Corp 1,680 102,480 8,252 503,372
British Telecommunications
PLC ADR (UK) 2,374 239,774 7,723 780,023
Century Telephone Enterprise 567 34,587 460 28,060
Ciena Corp+ 0 -- 500 20,969
Comsat Corp 510 17,053 600 20,063
Cox Communications Inc Class
A+ 313 12,070 674 25,991
Deutsche Telekom Ag ADR
(Germany) 4,976 99,520 16,458 329,160
</TABLE>
154
<PAGE>
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1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.22% 0.27% 0.27%
2,084 $ 98,078 1,743 $ 82,030 2,990 $ 140,717
1,314 58,144 954 42,214 885 39,161
1,400 53,550 1,300 49,725 2,900 110,925
3,141 105,224 2,643 88,541 6,506 217,951
4,644 149,769 4,016 129,516 6,664 214,914
5,112 193,617 4,446 168,392 7,309 276,828
848 17,225 623 12,655 0 --
750 35,344 800 37,700 1,700 80,113
------------ ------------ ------------
$ 710,951 $ 610,773 $ 1,080,609
$ 508,885 $ 450,321 $ 848,626
0.00% 0.01% 0.00%
369 7,242 330 6,476 630 12,297
------------ ------------ ------------
$ 7,242 $ 6,476 $ 12,297
$ 4,327 $ 3,853 $ 7,435
6.80% 8.37% 9.66%
2,624 $ 69,536 2,128 $ 56,392 3,954 $ 104,781
2,896 74,753 2,316 59,782 5,020 129,579
200 5,975 300 8,963 700 20,912
900 26,944 900 26,944 1,900 56,881
9,166 411,897 7,997 359,365 19,655 883,247
29,451 771,248 26,715 699,599 49,311 1,291,332
490 12,863 0 -- 0 --
3,705 169,272 3,140 143,459 5,339 243,926
19,938 831,165 17,296 721,027 42,504 1,771,886
1,659 45,830 1,416 39,103 3,374 93,193
3,500 131,031 3,210 120,174 7,060 264,309
0 -- 0 -- 1,100 29,013
32,351 1,969,367 27,869 1,696,525 46,849 2,851,933
14,201 1,274,540 12,294 1,103,386 30,347 2,723,643
19,813 1,208,593 17,090 1,042,490 28,649 1,747,589
17,343 1,751,643 15,812 1,587,545 29,069 2,935,969
828 50,508 588 35,868 565 34,465
1,000 41,938 900 37,744 1,900 79,681
819 27,385 814 27,218 1,290 43,134
1,294 49,900 1,127 43,460 2,449 94,440
37,015 740,300 33,544 670,880 61,801 1,236,020
</TABLE>
155
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DSC Communications Corp+ 226 $ 4,435 1,048 $ 20,567
DSP Communications Inc+ 0 -- 500 8,844
Ericsson L M Telephone ADR
(Sweden) 1,341 60,764 4,463 202,230
Excel Communications Inc+ 400 8,425 600 12,638
Federal Signal Corp 498 11,703 490 11,515
Frontier Corp 290 8,029 1,500 41,531
Glenayre Technologies Inc 650 7,516 650 7,516
GTE Corp 1,666 90,172 7,643 413,677
Hong Kong Telecommunications
Ltd ADR (Hong Kong) 12,262 257,502 40,145 843,037
LCI International Inc+ 300 9,900 300 9,900
Loral Space &
Communications+ 842 21,524 1,782 45,552
Lucent Technologies Inc 1,169 126,690 5,154 558,565
MCI Communications Corp 1,194 57,088 5,797 277,169
McLeod Inc Class A+ 0 -- 300 11,691
Mobile Telecommunications
Tech+ 0 -- 400 8,200
NEXTEL Communications Class
A+ 1,068 31,573 880 26,015
Nippon Telegraph & Telegraph
ADR (Japan) 1,824 80,256 5,739 252,516
Nokia Corp 253 25,490 944 95,108
Northern Telecom Ltd 1,002 53,419 4,174 222,526
Omnipoint Corp+ 200 5,600 300 8,400
Paging Network Inc+ 500 7,250 600 8,700
Pairgain Technologies Inc+ 0 -- 500 10,063
Picturetel Corp+ 400 2,875 400 2,875
Qualcom Inc+ 300 15,300 600 30,600
Qwest Communications
International Inc 0 -- 300 10,538
SBC Communication Inc 1,653 125,008 7,336 554,785
Scientific-Atlanta Inc 85 1,488 684 11,970
Southern New England
Telecommunications Co 687 43,367 550 34,719
Sprint Corp 695 45,870 3,523 232,518
Tele Danmark A/S ADR
(Denmark) 1,709 55,756 5,678 185,245
Tele-Communications-TCI
Ventures Group Class A 516 7,966 3,690 56,964
Telecommunications of New
Zealand Corp ADR (New
Zealand) 1,169 44,860 3,958 151,888
Telefonica De Espana SA ADR
(Spain) 578 59,823 2,025 209,588
Telephone & Data System Inc 566 24,656 450 19,603
Teleport Communications
Group Inc Class A+ 300 16,388 600 32,775
Tellabs Inc+ 257 15,516 1,481 89,415
U.S. West Inc 864 44,982 4,241 220,797
Vanguard Cellular Systems
Class A+ 411 5,343 330 4,290
Vodafone Group PLC ADR (UK) 1,108 98,058 3,582 317,007
</TABLE>
156
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
2,339 $ 45,903 1,976 $ 38,779 3,337 $ 65,489
0 -- 600 10,613 1,000 17,688
10,037 454,802 9,078 411,347 16,755 759,211
1,300 27,381 1,100 23,169 2,300 48,444
807 18,965 802 18,847 1,780 41,830
3,337 92,393 2,754 76,251 4,622 127,972
1,175 13,586 800 9,250 1,425 16,477
17,462 945,131 15,129 818,857 37,197 2,013,288
90,275 1,895,780 81,824 1,718,314 146,485 3,076,183
600 19,800 500 16,500 900 29,700
3,812 97,444 3,174 81,135 7,066 180,625
11,699 1,267,879 10,166 1,101,740 24,952 2,704,173
13,902 664,689 11,959 571,790 20,099 960,983
600 23,381 500 19,484 1,300 50,659
0 -- 0 -- 0 --
1,588 46,945 1,101 32,548 1,025 30,302
13,060 574,640 13,258 583,352 21,374 940,456
2,183 219,937 1,976 199,082 3,651 367,838
9,560 509,668 8,248 439,722 20,372 1,086,082
400 11,200 400 11,200 600 16,800
1,500 21,750 800 11,600 1,500 21,750
1,100 22,138 900 18,113 1,800 36,225
700 5,031 500 3,594 800 5,750
1,200 61,200 1,000 51,000 2,300 117,300
600 21,075 600 21,075 1,200 42,150
16,665 1,260,291 14,426 1,090,966 35,725 2,701,703
1,559 27,283 1,265 22,138 2,454 42,945
975 61,547 710 44,819 680 42,925
8,530 562,980 7,339 484,374 12,381 817,146
12,791 417,306 11,616 378,972 21,428 699,089
7,502 115,812 6,768 104,481 23,096 356,544
8,783 337,048 8,048 308,842 14,738 565,571
4,543 470,201 4,129 427,352 7,600 786,600
827 36,026 587 25,571 565 24,613
1,200 65,550 1,000 54,625 3,300 180,263
3,317 200,264 2,856 172,431 7,088 427,938
9,630 501,362 8,302 432,223 13,923 724,866
595 7,735 427 5,551 390 5,070
7,996 707,646 7,309 646,847 13,402 1,186,077
</TABLE>
157
<PAGE>
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FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Western Wireless Corp Class
A+ 0 $ -- 100 $ 1,888
Worldcom Inc+ 1,544 58,962 8,091 308,975
------------ ------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 2,659,089 $ 9,820,851
- COST $ 2,066,161 $ 7,066,297
TEXTILES
PERCENT OF NET ASSETS 0.05% 0.04%
Brown Group Inc 31 $ 461 180 $ 2,678
Burlington Industries Inc+ 729 12,074 477 7,900
Cintas Corp 420 17,850 600 25,500
Collins & Aikman Corp 0 -- 0 --
Shaw Industries Inc 1,260 14,963 1,330 15,794
Springs Industries Inc Class
A 33 1,846 195 10,908
Unifi Inc 268 9,849 600 22,050
------------ ------------
TOTAL TEXTILES
- VALUE $ 57,043 $ 84,830
- COST $ 44,958 $ 67,922
TOBACCO
PERCENT OF NET ASSETS 0.29% 0.66%
BAT Industries PLC ADR (UK) 5,303 $ 106,391 17,454 $ 350,171
Fortune Brands Inc 260 10,319 1,516 60,166
Gallaher Group PLC ADR (UK) 153 3,538 1,391 32,167
Philip Morris Co Inc 4,281 185,956 19,397 842,557
Swedish Match AB ADR
(Sweden) 814 26,252 2,602 83,915
------------ ------------
TOTAL TOBACCO
- VALUE $ 332,456 $ 1,368,976
- COST $ 282,203 $ 1,046,002
TRANSPORTATION
PERCENT OF NET ASSETS 0.21% 0.41%
Alexander & Baldwin Inc 204 $ 5,763 390 $ 11,018
Burlington Northern Santa Fe 296 29,489 1,413 140,770
Carnival Corp Class A 0 -- 1,400 82,425
CNF Transportation Inc 62 2,426 461 18,037
Consolidated Freightways
Corp+ 31 465 181 2,708
CSX Corp 377 21,088 1,913 107,008
Dial Corp 136 3,222 1,080 25,583
Fritz Companies Inc+ 200 2,775 200 2,775
Hunt (J B) Transport
Services 0 -- 0 --
Illinois Central Corp 411 15,952 590 22,899
Kansas City Southern
Industries 543 20,193 1,110 41,278
Laidlaw Inc Class B 495 7,270 2,979 43,754
Norfolk Southern Corp 692 23,831 3,300 113,644
</TABLE>
158
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0 $ -- 0 $ -- 300 $ 5,663
18,375 701,695 15,480 591,143 29,421 1,123,514
------------ ------------ ------------
$ 22,198,152 $ 19,557,621 $ 39,083,835
$ 15,779,497 $ 14,138,553 $ 29,354,989
0.05% 0.06% 0.08%
338 $ 5,028 221 $ 3,287 253 $ 3,763
1,136 18,815 749 12,405 1,902 31,502
1,140 48,450 1,030 43,775 2,380 101,150
0 -- 0 -- 400 3,150
2,415 28,678 2,305 27,372 4,700 55,813
403 22,543 319 17,844 650 36,359
1,182 43,438 982 36,089 2,240 82,320
------------ ------------ ------------
$ 166,952 $ 140,772 $ 314,057
$ 126,777 $ 108,685 $ 267,037
0.95% 1.16% 1.47%
39,508 $ 792,629 35,781 $ 717,856 66,006 $ 1,324,245
3,494 138,668 2,894 114,856 4,892 194,151
3,016 69,745 2,266 52,401 0 --
44,159 1,918,157 38,208 1,659,660 94,562 4,107,537
5,962 192,275 5,367 173,086 9,959 321,178
------------ ------------ ------------
$ 3,111,474 $ 2,717,859 $ 5,947,111
$ 2,379,617 $ 2,079,019 $ 4,812,072
0.55% 0.68% 0.72%
814 $ 22,996 809 $ 22,854 1,580 $ 44,635
3,129 311,727 2,685 267,493 4,534 451,700
2,400 141,300 2,500 147,188 5,400 317,925
810 31,691 873 34,156 1,838 71,912
405 6,075 286 4,290 569 8,535
4,343 242,937 3,783 211,612 6,277 351,120
1,641 38,871 1,828 43,301 3,908 92,571
300 4,163 0 -- 400 5,550
596 15,943 0 -- 0 --
1,135 44,052 1,015 39,395 2,202 85,465
2,295 85,345 1,955 72,702 4,280 159,163
6,633 97,422 5,452 80,076 9,312 136,770
7,546 259,865 6,643 228,768 10,857 373,888
</TABLE>
159
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Overseas Shipholding Group 393 $ 8,155 310 $ 6,433
Pittston Brink's Group 323 12,476 420 16,223
Pittston Burlington Group 61 1,346 160 3,530
Roadway Express Inc 46 1,058 158 3,634
Tidewater Inc 365 16,243 550 24,475
Trinity Industries Inc 322 16,181 440 22,110
Union Pacific Corp 468 23,868 2,239 114,189
Viad Corp 136 3,290 880 21,285
Wisconsin Central Transport+ 400 10,850 500 13,563
Xtra Corp 200 12,300 200 12,300
Yellow Corp+ 49 1,032 223 4,697
------------ ------------
TOTAL TRANSPORTATION
- VALUE $ 239,273 $ 854,338
- COST $ 190,923 $ 679,939
UTILITIES
PERCENT OF NET ASSETS 0.98% 1.18%
AES Corp 1,568 $ 68,928 1,280 $ 56,320
Allegheny Energy Inc 1,284 39,242 1,010 30,868
Ameren Corp+ 208 7,995 897 34,478
American Electric Power Inc 306 14,688 1,650 79,200
American Water Works Co Inc 300 9,000 700 21,000
Atlantic Energy Inc 569 11,575 460 9,368
Baltimore Gas & Electric Co 237 7,480 1,279 40,368
Calenergy Inc+ 200 5,363 500 13,406
Carolina Power & Light Co 263 10,980 1,383 57,740
Central & South West Corp 340 9,116 1,898 50,890
Cinergy Corp 327 11,384 1,427 49,677
Consolidated Edison Inc 445 18,913 2,044 86,870
Delmarva Power & Light Co 640 13,800 510 10,997
Dominion Resources Inc 278 11,085 1,645 65,594
DTE Energy Co 238 8,747 1,330 48,877
Duke Power Co 651 36,171 3,190 177,244
Edison International 727 20,083 3,533 97,599
Entergy Corp 440 12,733 2,136 61,810
FirstEnergy Corp 350 10,128 2,010 58,164
Florida Progress Corp 1,015 39,268 800 30,950
FPL Group Inc 341 19,799 1,628 94,526
GPU Inc 242 9,725 1,073 43,121
Hawaiian Electric Industries
Inc 192 7,776 340 13,770
Houston Industries Inc 434 11,230 2,518 65,153
Idaho Power Co 402 14,045 320 11,180
IES Industries 0 -- 0 --
Illinova Corp 813 22,561 650 18,038
</TABLE>
160
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
550 $ 11,413 405 $ 8,404 375 $ 7,781
657 25,377 743 28,698 1,604 61,955
328 7,237 221 4,876 402 8,869
270 6,210 243 5,589 359 8,257
1,225 54,513 1,085 48,283 2,265 100,792
705 35,426 735 36,934 1,605 80,651
4,905 250,155 4,258 217,158 7,135 363,885
1,641 39,692 1,528 36,958 3,308 80,012
1,200 32,550 900 24,413 1,900 51,538
300 18,450 200 12,300 500 30,750
585 12,322 299 6,298 437 9,204
------------ ------------ ------------
$ 1,795,732 $ 1,581,746 $ 2,902,928
$ 1,386,657 $ 1,252,900 $ 2,533,040
1.64% 1.90% 1.73%
2,296 $ 101,024 1,596 $ 70,224 1,500 $ 66,000
1,809 55,288 1,319 40,312 1,230 37,592
2,736 105,165 2,310 88,791 3,905 150,098
3,801 182,448 3,250 156,000 5,420 260,160
1,400 42,000 1,200 36,000 2,500 75,000
830 16,911 590 12,021 550 11,206
2,968 93,678 2,489 78,559 4,187 132,152
900 24,131 800 21,450 2,400 64,350
3,024 126,252 2,584 107,882 4,354 181,779
4,320 115,830 3,677 98,590 6,078 162,966
3,186 110,913 2,646 92,114 4,514 157,144
4,733 201,152 3,967 168,597 6,753 287,003
903 19,471 648 13,932 615 13,261
3,704 147,697 3,149 125,566 5,311 211,776
2,943 108,155 2,447 89,927 4,121 151,447
7,226 398,910 6,149 340,100 10,401 577,906
7,587 209,591 6,515 179,977 10,982 303,378
4,875 141,070 4,234 122,521 7,009 202,823
4,650 134,559 3,915 113,290 6,620 191,566
1,434 55,478 1,039 40,196 980 37,914
3,644 211,580 3,130 181,736 5,289 307,093
2,442 98,138 2,081 83,630 3,667 147,368
723 29,281 603 24,422 1,180 47,790
5,764 149,144 4,880 126,270 8,122 210,157
585 20,438 415 14,499 385 13,451
0 -- 0 -- 300 10,856
1,153 31,996 843 23,393 780 21,645
</TABLE>
161
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IPALCO Enterprises Inc 607 $ 25,911 480 $ 20,490
Kansas City Power & Light Co 667 20,093 530 15,966
Keyspan Energy Corp 510 18,137 400 14,225
LG & E Energy Corp 728 17,427 560 13,405
Midamerican Energy Co 451 9,358 367 7,615
Minnesota Power & Light Co 349 14,113 270 10,918
Montana Power Co 563 18,016 460 14,720
National Power ADR (UK) 1,028 42,534 3,200 132,400
Nevada Power Co 444 11,017 360 8,933
New Century Energies Inc 1,072 49,982 862 40,191
New England Electric System 695 29,277 560 23,590
New York State Electric &
Gas Corp 772 28,998 610 22,913
Niagara Mohawk Power Corp+ 131 1,678 1,197 15,337
NIPSCO Industries Inc 1,404 36,065 1,120 28,770
Northeast Utilities 1,340 16,750 1,070 13,375
Northern States Power Co 170 9,339 640 35,160
OGE Energy Corp 429 23,166 340 18,360
Pacificorp 507 12,263 2,593 62,718
PECO Energy Co 322 6,360 1,988 39,263
PG & E Corp 1,056 31,878 3,920 118,335
Pinnacle West Capital Corp 941 38,405 750 30,609
Potomac Electric Power Co 1,282 32,210 1,010 25,376
PP & L Resources Inc 257 5,750 1,470 32,891
Public Service Company Of
New Mexico 0 -- 0 --
Puget Sound Power & Light Co 683 18,526 540 14,648
SCANA Corp 1,026 29,498 820 23,575
Southern Co 1,215 29,995 6,070 149,853
TECO Energy Inc 1,265 33,285 990 26,049
Texas Utilities Co 451 18,237 2,164 87,507
Unicom Corp 408 13,082 1,944 62,330
Wisconsin Energy Corp 1,148 31,283 920 25,070
Wisconsin Power & Light
Holdings Co 341 10,869 260 8,288
------------ ------------
TOTAL UTILITIES
- VALUE $ 1,135,317 $ 2,470,088
- COST $ 860,011 $ 2,050,370
</TABLE>
162
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
882 $ 37,650 627 $ 26,765 577 $ 24,631
955 28,769 690 20,786 645 19,431
719 25,569 514 18,279 490 17,426
992 23,746 732 17,522 690 16,517
680 14,110 489 10,147 0 --
480 19,410 350 14,153 335 13,547
824 26,368 584 18,688 540 17,280
7,311 302,493 6,656 275,392 12,258 507,175
652 16,178 472 11,712 450 11,166
1,535 71,569 1,122 52,313 1,029 47,977
1,008 42,462 718 30,246 690 29,066
1,087 40,830 787 29,562 740 27,796
3,027 38,783 2,486 31,852 4,509 57,772
2,030 52,146 1,480 38,017 1,350 34,678
1,916 23,950 1,386 17,325 1,290 16,125
1,547 84,988 1,243 68,287 2,174 119,434
612 33,048 442 23,868 415 22,410
6,005 145,246 5,016 121,324 8,574 207,384
4,507 89,013 3,730 73,668 6,287 124,168
8,784 265,167 7,826 236,247 12,672 382,536
1,334 54,444 974 39,751 905 36,935
1,806 45,376 1,316 33,064 1,230 30,904
3,282 73,435 2,923 65,402 4,727 105,767
650 15,153 470 10,957 0 --
971 26,338 706 19,150 655 17,767
1,446 41,573 1,036 29,785 980 28,175
13,855 342,045 11,851 292,572 19,965 492,886
1,789 47,073 1,284 33,785 1,220 32,101
4,958 200,489 4,236 171,293 7,086 286,540
4,387 140,658 3,684 118,118 6,157 197,409
1,645 44,826 1,175 32,019 1,105 30,111
473 15,077 343 10,933 325 10,359
------------ ----------- ------------ ----------- ------------
$ 5,358,282 $ 4,442,981 $ 6,999,354
$ 4,368,224 $ 3,656,574 $ 5,947,913
</TABLE>
163
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------
WARRANTS
PERCENT OF NET ASSETS 0.00% 0.00%
Edison Brothers Stores
expires 09/26/2005+ 0 $ -- 0 --
Morrison Knudsen Corp
expires 03/11/2003+ 4 24 17 $ 100
Security Capital Group
Purchase Inc expires
09/18/1998 0 0 0 $ 1
------------ ------------
TOTAL WARRANTS
- VALUE $ 24 $ 101
- COST $ 18 $ 76
TOTAL COMMON STOCKS
- VALUE $ 27,452,542 $100,646,983
- COST $ 20,687,829 $ 70,973,387
</TABLE>
164
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
0.00% 0.00% 0.00%
16 $ 50 0 $ -- 0 $ --
27 159 25 147 42 247
0 0 0 0 0 0
------------ ------------ ------------
$ 209 $ 147 $ 247
$ 5,050 $ 109 $ 184
$227,616,740 $199,858,694 $402,385,045
$158,197,180 $140,521,777 $301,288,885
</TABLE>
165
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO 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 50.88% 41.70%
U.S. TREASURY BONDS
PERCENT OF NET ASSETS 3.10% 3.59%
U.S. Treasury Bonds, 6.00% -
13.875%, 11/15/02 -08/15/27 $ 2,850,000 $ 3,603,094 $ 5,900,000 $ 7,463,578
------------ ------------
TOTAL U.S. TREASURY BONDS
- VALUE $ 3,603,093 $ 7,463,578
- COST $ 3,597,911 $ 7,226,745
U.S. TREASURY NOTES
PERCENT OF NET ASSETS 47.78% 38.11%
U.S. Treasury Notes, 5.00% -
9.125%, 02/15/99 -08/15/07 $54,000,000 $ 55,521,717 $77,000,000 $ 79,360,739
------------ ------------
TOTAL U.S. TREASURY NOTES
- VALUE $ 55,521,717 $ 79,360,739
- COST $ 54,747,124 $ 78,063,513
TOTAL U.S. TREASURY
SECURITIES
- VALUE $ 59,124,810 $ 86,824,317
- COST $ 58,345,035 $ 85,290,258
</TABLE>
166
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Principal Value Principal Value Principal Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
24.45% 12.03% 0.00%
5.34% 11.49% 0.00%
$14,150,000 $ 17,412,904 $25,139,792 $ 26,831,305 $ 0 $ 0
------------ ------------ ------------
$ 17,412,904 $ 26,831,305 --
$ 16,414,576 $ 25,139,792 --
19.11% 0.54% 0.00%
$60,445,000 $ 62,343,617 $ 1,216,612 $ 1,265,844 $ 0 $ 0
------------ ------------ ------------
$ 62,343,617 $ 1,265,843 --
$ 61,322,505 $ 1,216,612 --
$ 79,756,521 $ 28,097,148 --
$ 77,737,081 $ 26,356,404 --
</TABLE>
167
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO 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 34.52% 18.58%
U.S. TREASURY BILLS
PERCENT OF NET ASSETS 24.33% 8.42%
U.S. Treasury Bills, 4.48%-
5.38%*, 03/05/98-04/30/98 $28,484,000 $ 28,266,919 $17,638,000 $ 17,533,750
------------ ------------
TOTAL U.S. TREASURY BILLS
- VALUE $ 28,266,919 $ 17,533,750
- COST $ 28,267,423 $ 17,532,180
CASH EQUIVALENTS
PERCENT OF NET ASSETS 5.89% 5.84%
Dreyfus Institutional Money
Market Fund++ 1,643,608 $ 1,643,608 2,156,344 $ 2,156,344
Janus Institutional Money
Market Fund++ 3,000,000 3,000,000 7,000,000 7,000,000
Merrimac Cash Fund-Premium
Class++ 2,200,000 2,200,000 3,000,000 3,000,000
------------ ------------
TOTAL CASH EQUIVALENTS
- VALUE $ 6,843,608 $ 12,156,344
- COST $ 6,843,608 $ 12,156,344
</TABLE>
168
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Principal/ Principal/ Principal/
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
14.76% 11.81% 10.58%
5.46% 2.71% 1.03%
$17,926,000 $ 17,806,745 $ 6,319,259 $ 6,319,984 $ 4,208,000 $ 4,180,230
------------ ------------ ------------
$ 17,806,745 $ 6,319,984 $ 4,180,230
$ 17,806,700 $ 6,319,279 $ 4,179,249
5.01% 5.25% 5.84%
2,365,516 $ 2,365,516 3,263,638 $ 3,263,638 2,849,215 $ 2,849,215
8,000,000 8,000,000 5,000,000 5,000,000 13,000,000 13,000,000
6,000,000 6,000,000 4,000,000 4,000,000 7,800,000 7,800,000
------------ ------------ ------------
$ 16,365,516 $ 12,263,638 $ 23,649,215
$ 16,365,516 $ 12,263,638 $ 23,649,215
</TABLE>
169
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Principal Value Principal Value
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS
PERCENT OF NET ASSETS 4.30% 4.32%
Goldman Sachs Repurchase
Agreements++, dated
2/27/98, due 3/2/98,
with a maturity value
of $52,024,559 and an
effective yield of
5.67%, collateralized
by Federal Home Loan
Mortgage Corporation
obligations with rates
ranging from 6.00% to
8.50%, with maturity
dates ranging from
4/1/03 to 11/1/26 and
with an aggregate
market value of
$53,040,000. $ 5,000,000 $ 5,000,000 $ 9,000,000 $ 9,000,000
------------ ------------
TOTAL SHORT-TERM
INSTRUMENTS
- VALUE $ 40,110,527 $ 38,690,094
- COST $ 40,111,031 $ 38,688,524
------------ ------------
TOTAL INVESTMENT IN
SECURITIES
(NOTES 1 AND 3) - VALUE $126,687,879 $226,161,394
- COST** $119,143,895 $194,952,169
------------ ------------
TOTAL INVESTMENT IN
SECURITIES 109.03% $126,687,879 108.62% $226,161,394
Other Assets and
Liabilities, Net (9.03)% (10,488,878) (8.62)% $(17,943,695)
----------- ------------ ----------- ------------
TOTAL NET ASSETS 100.00% $116,199,001 100.00% $208,217,699
=========== ============ =========== ============
** Cost for federal in-
come tax purposes is: $119,174,138 $194,988,660
Net Unrealized
Appreciation consists
of:
Gross Unrealized
Appreciation $ 8,505,024 $ 33,474,443
Gross Unrealized
Depreciation (991,283) (2,301,709)
------------ ------------
GROSS UNREALIZED
APPRECIATION $ 7,513,741 $ 31,172,734
============ ============
</TABLE>
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending trans-
actions. See Note 4.
* Yield to Maturity.
The accompanying notes are an integral part of these financial statements.
170
<PAGE>
MASTER INVESTMENT PORTFOLIO--LIFEPATH MASTER PORTFOLIOS--FEBRUARY 28,
1998
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ -------------------------
Principal Value Principal Value Principal Value
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------
4.29% 3.85% 3.71%
$14,000,000 $ 14,000,000 $ 9,000,000 $ 9,000,000 $15,000,000 $ 15,000,000
------------ ------------ -------------
$ 48,172,261 $ 27,583,622 $ 42,829,445
$ 48,172,216 $ 27,582,917 $ 42,828,464
------------ ------------ -------------
$355,545,522 $255,539,464 $ 445,214,490
$284,106,477 $194,461,098 $ 344,117,349
------------ ------------ -------------
108.97% $355,545,522 109.39% $255,539,464 110.00% $ 445,214,490
(8.97)% (29,274,760) (9.39)% $(21,929,091) (10.00)% (40,485,383)
- ----------- ------------ ----------- ------------ ----------- -------------
100.00% $326,270,762 100.00% $233,610,373 100.00% $ 404,729,107
=========== ============ =========== ============ =========== =============
$284,239,484 $194,522,434 $ 344,499,671
$ 75,842,886 $ 64,847,992 $ 108,275,336
(4,536,848) (3,830,962) (7,560,517)
------------ ------------ -------------
$ 71,306,038 $ 61,017,030 $ 100,714,819
============ ============ =============
</TABLE>
171
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS-91.51%
ADVERTISING-0.08%
Omnicom Group 42,337 $ 1,936,918
--------------
TOTAL ADVERTISING
- VALUE $ 1,936,918
- COST $ 1,660,895
AEROSPACE & DEFENSE-1.81%
Allied Signal Inc 147,957 $ 6,297,420
Boeing Co 262,536 14,242,578
Briggs & Stratton Corp 7,221 319,981
General Dynamics Corp 16,508 1,432,069
Lockheed Martin Corp 51,027 5,954,213
Northrop Grumman Corp 17,541 2,438,199
Rockwell International Corp 55,155 3,336,878
Textron Inc 43,126 3,231,755
United Technologies Corp 61,252 5,470,569
--------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 42,723,662
- COST $ 24,707,149
AIRLINES-0.46%
AMR Corp+ 23,982 $ 3,035,222
Delta Air Lines Inc 19,361 2,189,003
FDX Corp+ 38,273 2,437,512
Southwest Airlines Co 57,437 1,647,724
USAirways Group Inc+ 23,940 1,515,701
--------------
TOTAL AIRLINES
- VALUE $ 10,825,162
- COST $ 6,640,734
APPAREL-0.45%
CVS Corp 45,197 $ 3,347,403
Fruit of the Loom Inc Class A+ 19,372 622,326
Liz Claiborne Inc 18,288 914,400
Nike Inc Class B 76,344 3,349,593
Reebok International Ltd+ 14,464 451,096
Russell Corp 9,611 260,698
VF Corp 32,903 1,569,062
--------------
TOTAL APPAREL
- VALUE $ 10,514,578
- COST $ 7,144,238
</TABLE>
172
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
AUTO PARTS & EQUIPMENT-0.81%
Cooper Tire & Rubber Co 20,488 $ 472,505
Dana Corp 27,566 1,504,070
Deluxe Corp 21,446 730,504
Eaton Corp 20,145 1,935,179
Echlin Inc 16,440 831,248
Genuine Parts Co 46,867 1,734,079
Goodyear Tire & Rubber Co 41,056 2,837,996
Illinois Tool Works Inc 65,461 3,923,569
ITT Industries Inc 30,875 1,057,469
Navistar International Corp+ 19,735 599,451
PACCAR Inc 20,382 1,290,435
Pep Boys-Manny Moe & Jack 16,448 421,480
TRW Inc 32,352 1,773,294
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 19,111,279
- COST $ 12,238,777
AUTOMOBILES-1.59%
Chrysler Corp 175,615 $ 6,838,009
Ford Motor Co 315,212 17,829,179
General Motors Corp Class A 185,766 12,806,231
--------------
TOTAL AUTOMOBILES
- VALUE $ 37,473,419
- COST $ 24,917,951
BANK & FINANCE-11.32%
Ahmanson (H F) & Co 28,689 $ 1,791,269
American Express Corp 122,370 11,020,948
Banc One Corp 169,602 9,582,519
Bank of New York Inc 98,769 5,784,160
BankAmerica Corp 182,142 14,116,005
BankBoston Corp 38,167 3,804,773
Bankers Trust Corp 25,925 3,065,631
BB&T Corp 35,905 2,228,354
Beneficial Corp 13,897 1,639,846
Chase Manhattan Bank 110,663 13,729,128
Citicorp 120,011 15,901,458
Comerica Inc 27,559 2,778,292
CoreStates Financial Corp 52,715 4,451,123
Countrywide Credit Industries Inc 28,287 1,257,004
Equifax Inc 39,294 1,412,128
Federal Home Loan Mortgage Corp 182,554 8,625,677
</TABLE>
173
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Federal National Mortgage Assoc 278,723 $ 17,786,011
Fifth Third Bancorp 40,417 3,192,943
First Chicago NBD Corp 77,024 6,330,410
First Union Corp 164,900 8,688,169
Fleet Financial Group Inc 71,567 5,640,374
Golden West Financial 14,938 1,333,217
Green Tree Financial Inc 35,324 810,244
Household International Inc 28,100 3,649,488
Huntington Bancshares Inc 50,158 1,799,418
Keycorp 57,666 4,040,224
Lehman Brothers Holdings 27,966 1,763,606
MBNA Corp 131,438 4,707,123
Mellon Bank Corp 66,830 4,164,344
Mercantile Bancorp 34,164 1,900,373
Merrill Lynch & Co Inc 87,400 6,254,563
MGIC Investment Corp 30,000 2,210,625
Morgan (J P) & Co Inc 46,573 5,565,474
Morgan Stanley Dean Witter 155,569 10,841,222
National City Corp 55,976 3,652,434
NationsBank Corp 247,536 16,956,233
Northern Trust Corp 29,266 2,226,045
Norwest Corp 198,137 8,111,234
PNC Bank Corp 79,941 4,436,726
Republic New York Corp 14,338 1,734,898
Ryder System Inc 20,373 747,434
Schwab (Charles) Corp 69,699 2,631,137
State Street Boston Corp 42,163 2,606,200
Summit Bancorp 46,114 2,291,289
SunTrust Banks Inc 55,686 4,106,843
Synovus Financial Corp 41,911 1,472,092
U.S. Bancorp 64,392 7,409,105
Wachovia Corp 53,557 4,257,782
Washington Mutual Inc 67,525 4,532,616
Wells Fargo & Co 22,867 7,363,174
--------------
TOTAL BANK & FINANCE
- VALUE $ 266,401,385
- COST $ 145,452,785
BASIC INDUSTRIES-1.42%
ASARCO Inc 11,078 $ 245,101
Avery-Dennison Corp 26,793 1,353,047
</TABLE>
174
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Baker Hughes Inc 44,381 $ 1,816,847
Bemis Co 13,843 623,800
Boise Cascade Corp 14,753 491,459
Champion International Corp 25,239 1,288,766
Cyprus Amax Minerals 24,346 398,666
Dover Corp 58,447 2,257,515
Fort James Corp 54,624 2,478,564
Georgia-Pacific Corp 24,225 1,421,705
Harnischfeger Industries Inc 12,754 451,173
Homestake Mining Co 38,005 380,050
Ikon Office Solutions Inc 34,635 1,132,132
Inco Ltd 43,500 769,406
Louisiana-Pacific Corp 28,496 625,131
Mead Corp 27,221 930,618
Minnesota Mining & Manufacturing Co 107,344 9,157,785
NACCO Industries Inc Class A 2,128 276,773
Newmont Mining Corp 40,743 1,179,001
Potlatch Corp 7,498 324,757
Stone Container Corp+ 25,703 289,159
Union Camp Corp 18,244 1,090,079
Westvaco Corp 26,575 863,688
Weyerhauser Co 52,402 2,616,825
Willamette Industries Inc 28,899 1,067,457
--------------
TOTAL BASIC INDUSTRIES
- VALUE $ 33,529,504
- COST $ 28,122,863
BEVERAGES-2.94%
Anheuser-Busch Inc 128,676 $ 6,031,688
Coca-Cola Co 649,617 44,620,568
Coors (Adolph) Co Class B 9,512 297,250
Pepsico Inc 398,515 14,570,705
Seagrams Co Ltd 96,397 3,663,086
--------------
TOTAL BEVERAGES
- VALUE $ 69,183,297
- COST $ 40,155,182
BROADCASTING-0.56%
Clear Channel Communications Inc+ 25,730 $ 2,331,781
Kingworld Productions 19,410 518,004
Tele-Communications Inc Class A+ 133,232 3,872,055
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Tribune Co 32,265 $ 2,083,109
Viacom Inc Class B+ 92,674 4,448,352
--------------
TOTAL BROADCASTING
- VALUE $ 13,253,301
- COST $ 9,038,898
BUILDING MATERIALS & SERVICES-0.46%
Cooper Industries Inc 31,846 $ 1,787,357
Corning Inc 60,683 2,465,247
Owens Corning Fiberglass Corp 13,949 430,675
Owens Illinois Inc+ 36,870 1,414,886
PPG Industries Inc 46,621 3,021,624
Snap-On Inc 15,913 676,303
Stanley Works 23,332 1,115,561
--------------
TOTAL BUILDING MATERIALS & SERVICES
- VALUE $ 10,911,653
- COST $ 8,363,337
BUSINESS SERVICES-0.50%
Cendant Corp+ 207,751 $ 7,790,663
Ecolab Inc 33,614 968,503
Waste Management Inc 119,636 2,990,900
--------------
TOTAL BUSINESS SERVICES
- VALUE $ 11,750,066
- COST $ 9,118,841
CHEMICALS-2.27%
Air Products & Chemicals Inc 28,782 $ 2,415,889
Clorox Co 27,169 2,384,080
Dow Chemical Co 59,483 5,442,695
Du Pont (E I) De Nemours 297,243 18,224,711
Eastman Chemical Co 20,458 1,339,999
FMC Corp+ 9,677 700,373
Goodrich (B F) Co 18,792 931,379
Grace (W R) Co 19,454 1,632,920
Great Lakes Chemical Corp 15,593 758,210
Hercules Inc 25,794 1,246,173
International Flavor & Fragrances 28,466 1,309,436
Monsanto Co 155,720 7,922,255
Morton International Inc 34,697 1,147,170
Nalco Chemical Co 17,318 697,050
Praxair Inc 41,305 1,974,895
Rohm & Haas Co 16,182 1,649,553
</TABLE>
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1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Rubbermaid Inc 39,017 $ 1,131,493
Sigma-Aldrich Corp 26,117 1,031,622
Solutia Inc 40 1,093
Union Carbide Corp 32,337 1,501,649
--------------
TOTAL CHEMICALS
- VALUE $ 53,442,645
- COST $ 35,619,976
COMPUTER SOFTWARE-4.02%
3Com Corp+ 90,895 $ 3,249,496
Adobe Systems Inc 19,112 844,512
Autodesk Inc 12,462 590,387
Automatic Data Processing 76,719 4,684,654
Bay Networks Inc+ 55,499 1,880,029
Computer Associates International Inc 143,388 6,757,160
Computer Sciences Corp+ 20,361 2,131,542
First Data Corp 112,291 3,817,894
HBO & Co 55,444 3,000,907
Microsoft Corp 633,838 53,717,771
Novell Inc+ 90,911 955,984
Oracle Systems Corp 257,321 6,336,530
Parametric Technology Corp+ 33,420 2,023,999
Siebel Systems Inc+ 63 3,875
Sun Microsystems Inc+ 98,328 4,682,871
--------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 94,677,611
- COST $ 48,884,164
COMPUTER SYSTEMS-4.41%
Apple Computer Inc+ 33,211 $ 784,610
Cabletron Systems Inc+ 40,984 635,252
Ceridian Corp+ 19,887 925,988
Cisco Systems Inc 264,291 17,410,170
Cognizant Corp 43,295 2,162,044
Compaq Computer Corp 397,644 12,749,461
Data General Corp+ 12,086 249,274
Dell Computer Corp 85,701 11,987,427
Digital Equipment Corp+ 39,767 2,264,234
EMC Corp 130,191 4,979,806
Harris Corp 20,770 1,052,779
Hewlett-Packard Co 273,248 18,307,616
International Business Machine Corp 255,395 26,672,815
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Seagate Technology Inc+ 64,163 $ 1,559,963
Shared Medical System Corp 6,473 494,780
Silicon Graphics Inc+ 49,004 738,123
Unisys Corp+ 46,158 825,074
--------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 103,799,416
- COST $ 50,361,066
CONTAINER & PACKAGING-0.38%
Ball Corp 7,728 $ 252,126
Crown Cork & Seal Co 33,676 1,818,504
International Paper Co 79,322 3,698,388
Temple-Inland Inc 14,831 884,298
Tenneco Inc 44,683 1,837,588
Tupperware Corp 15,976 429,355
--------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 8,920,259
- COST $ 8,116,244
ELECTRICAL EQUIPMENT-3.49%
Aeroquip-Vickers Inc 7,398 $ 429,546
General Electric Co 859,585 66,832,734
Grainger (W W) Inc 13,299 1,287,509
Masco Corp 43,365 2,357,972
Motorola Inc 156,768 8,739,816
National Service Industries Inc 11,858 657,378
Raychem Corp 22,638 983,338
Thomas & Betts Corp 14,272 809,044
--------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 82,097,337
- COST $ 44,322,769
ELECTRONICS-3.93%
Advanced Micro Devices+ 36,698 $ 860,109
AMP Inc 57,688 2,549,089
Applied Materials Inc 95,671 3,521,889
CBS Corp 184,643 5,712,393
Commscope Inc+ 1 13
EG&G Inc 11,885 320,152
Emerson Electric Co 116,324 7,422,925
General Instrument Corp+ 38,429 641,284
General Signal Corp 13,133 533,528
Honeywell Inc 33,372 2,644,731
</TABLE>
178
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1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Intel Corp 429,675 $ 38,536,477
Johnson Controls Inc 21,802 1,211,374
KLA Instruments Corp+ 22,193 1,024,345
LSI Logic Corp+ 36,948 875,206
Micron Technology Inc+ 55,504 1,842,039
National Semiconductor+ 42,842 1,022,853
Perkin-Elmer Corp 12,600 922,163
Pitney Bowes Inc 76,078 3,566,156
Raytheon Co Class B 88,987 5,233,548
Tektronix Inc 13,312 594,026
Texas Instruments Inc 102,420 5,927,558
Xerox Corp 85,633 7,594,577
--------------
TOTAL ELECTRONICS
- VALUE $ 92,556,435
- COST $ 51,371,987
ENERGY & RELATED-7.63%
Amerada Hess Corp 24,041 $ 1,425,932
Amoco Corp 127,810 10,863,850
Anadarko Petroleum Corp 15,583 1,005,104
Apache Corp 25,075 852,550
Ashland Inc 19,675 1,095,652
Atlantic Richfield Corp 84,157 6,543,207
Burlington Resources Inc 46,294 2,071,657
Chevron Corp 172,547 13,997,875
Coastal Corp 27,791 1,768,202
Columbia Gas System Inc 14,426 1,100,884
Consolidated Natural Gas Co 25,005 1,437,788
Dresser Industries Inc 45,995 2,055,402
Eastern Enterprises 5,145 227,988
Enron Corp 83,480 3,923,560
Exxon Corp 647,734 41,374,009
Halliburton Co 68,566 3,188,319
Helmerich & Payne Inc 12,938 374,393
Kerr-McGee Corp 12,407 839,023
Mobil Corp 205,997 14,921,908
NICOR Inc 12,498 513,980
Occidental Petroleum Corp 88,595 2,264,710
ONEOK Inc 8,162 285,670
Oryx Energy Co+ 27,427 697,674
Pacific Enterprises Co 21,738 789,361
Pennzoil Co 12,445 833,037
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Peoples Energy Corp 9,090 $ 328,376
Phillips Petroleum Co 69,051 3,383,499
Rowan Co Inc+ 22,529 635,036
Royal Dutch Petroleum Corp 563,184 30,587,931
Schlumberger Ltd 130,065 9,803,649
Sonat Offshore Drilling Co 28,879 1,245,407
Sun Co Inc 18,879 753,980
Texaco Inc 143,934 8,033,316
Union Pacific Resources Group 66,581 1,489,750
Unocal Corp 64,530 2,431,974
USX--Marathon Group 75,641 2,614,342
Western Atlas Inc 14,345 1,089,323
Williams Co Inc 83,988 2,745,358
--------------
TOTAL ENERGY & RELATED
- VALUE $ 179,593,676
- COST $ 121,008,495
ENGINEERING & CONSTRUCTION-0.16%
Armstrong World Industries Inc 10,534 $ 826,919
Centex Corp 7,811 570,691
Fleetwood Enterprises Inc 9,367 439,078
Fluor Corp 21,847 1,028,174
Foster Wheeler Corp 10,443 279,350
Kaufman & Broad Home Corp 10,087 261,001
Pulte Corp 5,772 262,626
--------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 3,667,839
- COST $ 3,016,295
ENTERTAINMENT & LEISURE-1.80%
Brunswick Corp 25,876 $ 821,563
Disney (Walt) Co 177,301 19,846,631
Harrah's Entertainment Inc+ 26,552 559,252
Hasbro Inc 33,158 1,204,050
Mattel Inc 76,274 3,227,344
Mirage Resorts Inc+ 47,100 1,077,413
Polaroid Corp 11,845 542,649
Time Warner Inc 146,874 9,913,995
U.S. West Media Group+ 159,360 5,129,400
--------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 42,322,297
- COST $ 25,541,039
</TABLE>
180
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1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ENVIRONMENTAL CONTROL-0.09%
Browning-Ferris Industries Inc 51,936 $ 1,730,118
Safety-Kleen Corp 15,096 404,762
--------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 2,134,880
- COST $ 1,882,353
FOOD & RELATED-3.82%
Albertson's Inc 64,876 $ 3,037,008
American Stores Co 71,596 1,803,324
Archer-Daniels-Midland Co 146,284 3,282,247
Bestfoods 37,723 3,975,061
Brown-Forman Corp Class B 17,999 998,945
Campbell Soup Co 120,243 6,981,609
ConAgra Inc 123,966 3,718,980
Darden Restaurants Inc 40,045 540,608
General Mills Inc 41,722 3,001,376
Giant Food Inc Class A 15,508 563,134
Great Atlantic & Pacific Tea Co 10,001 304,405
Harcourt General Inc 18,454 996,516
Heinz (H J) Co 96,413 5,429,257
Hershey Foods Corp 37,525 2,502,448
Kellogg Co 107,719 4,591,522
Kroger Co 66,920 2,827,370
McDonald's Corp 180,756 9,896,391
Pioneer Hi Bred International Inc 17,240 1,788,650
Quaker Oats Co 36,235 1,952,161
Ralston-Purina Group 27,935 2,833,657
Sara Lee Corp 125,893 7,112,955
Super Value Inc 16,647 792,813
Sysco Corp 45,436 2,138,332
Tricon Global Restaurants+ 39,836 1,130,347
Unilever NV (Netherlands) 168,125 10,812,539
UST Inc 48,324 1,712,482
Wendy's International Inc 34,356 745,096
Winn-Dixie Stores Inc 39,108 2,109,388
Wrigley (W M) Jr Co 30,450 2,325,619
--------------
TOTAL FOOD & RELATED
- VALUE $ 89,904,240
- COST $ 54,996,781
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FURNITURE & APPLIANCES-0.10%
Maytag Corp 25,627 $ 1,153,215
Whirlpool Corp 19,727 1,318,010
--------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 2,471,225
- COST $ 1,582,602
HEALTHCARE-0.38%
Cardinal Health Inc 28,657 $ 2,346,292
Healthsouth Corp 102,984 2,780,568
St Jude Medical Inc 23,924 873,226
United Healthcare Corp 49,298 2,991,772
--------------
TOTAL HEALTHCARE
- VALUE $ 8,991,858
- COST $ 7,142,916
HOSPITAL & MEDICAL SUPPLIES-2.42%
Bard (C R) Inc 14,767 $ 514,999
Bausch & Lomb Inc 14,327 642,029
Baxter International Inc 73,607 4,167,996
Becton Dickinson & Co 32,100 2,042,363
Biomet Inc 29,288 873,149
Boston Scientific Corp+ 51,053 3,050,417
Columbia/HCA Healthcare Corp 170,255 4,618,156
Guidant Corp 38,821 2,831,507
Johnson & Johnson 353,200 26,666,600
Mallinckrodt Group Inc 18,984 736,817
Manor Care Inc 16,592 623,237
Medtronic Inc 123,031 6,536,022
Tenet Healthcare Corp+ 80,233 2,993,694
United States Surgical 19,892 609,193
--------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $ 56,906,179
- COST $ 33,056,681
HOUSEHOLD PRODUCTS-2.68%
Alberto-Culver Co Class B 14,662 $ 446,275
Avon Products Inc 34,698 2,444,040
Colgate-Palmolive Co 77,571 6,297,796
Gillette Co 147,079 15,866,147
</TABLE>
182
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1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Kimberly-Clark Corp 144,401 $ 8,041,331
Procter & Gamble Co 353,017 29,984,381
--------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 63,079,970
- COST $ 31,989,395
INSURANCE-4.59%
Aetna Inc 39,016 $ 3,409,023
Allstate Corp 112,685 10,507,876
American General Corp 64,587 3,754,119
American International Group Inc 184,269 22,146,831
Aon Corp 43,876 2,624,333
Chubb Corp 45,245 3,611,117
CIGNA Corp 19,441 3,713,231
Cincinnati Financial Corp 14,388 1,942,380
Conseco Inc 49,401 2,318,759
General Re Corp 20,788 4,427,844
Hartford Financial Services Group 30,996 3,045,357
Humana Inc+ 43,069 1,095,568
Jefferson-Pilot Corp 18,548 1,555,714
Lincoln National Corp 26,850 2,248,688
Loews Corp 30,132 3,022,616
Marsh & McLennan Companies Inc 44,599 3,866,176
MBIA Inc 25,738 1,883,700
Progressive Corp Ohio 19,004 2,202,089
Providian Financial Corp 24,970 1,417,048
SAFECO Corp 36,970 1,938,614
St Paul Co 21,980 1,947,978
Sunamerica Inc 51,210 2,320,453
Torchmark Corp 36,760 1,711,638
Transamerica Corp 16,467 1,917,376
Travelers Inc 301,238 16,793,995
UNUM Corp 36,917 1,898,918
USF & G Corp 29,547 722,055
--------------
TOTAL INSURANCE
- VALUE $ 108,043,496
- COST $ 61,096,280
</TABLE>
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PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
LODGING-0.19%
Hilton Hotels Corp 65,639 $ 1,956,863
Marriott International 33,437 2,532,853
--------------
TOTAL LODGING
- VALUE $ 4,489,716
- COST $ 2,610,030
MACHINERY-0.80%
Black & Decker Corp 24,925 $ 1,255,597
Case Corp 19,696 1,281,471
Caterpillar Inc 98,064 5,356,746
Cincinnati Milacron Inc 10,134 312,887
Cummins Engine Co Inc 9,921 574,178
Deere & Co 66,206 3,715,812
Ingersoll-Rand Co 43,512 2,072,259
McDermott International Inc 14,610 575,269
Pall Corp 33,139 693,848
Parker Hannifin Corp 29,088 1,356,228
Thermo Electron Corp+ 39,675 1,626,675
--------------
TOTAL MACHINERY
- VALUE $ 18,820,970
- COST $ 12,378,066
MANUFACTURING-0.30%
Tyco International Ltd 139,755 $ 7,092,566
--------------
TOTAL MANUFACTURING
- VALUE $ 7,092,566
- COST $ 5,245,389
METAL FABRICATORS-0.74%
Alcan Aluminum Ltd 59,595 $ 1,851,170
Allegheny Teledyne Inc 45,864 1,244,061
Aluminum Co of America 45,242 3,319,632
Armco Inc+ 28,242 150,036
Barrick Gold Corp 97,902 1,890,732
Battle Mountain Gold Co 59,027 354,162
Bethlehem Steel Corp+ 28,582 303,684
Crane Co 11,886 582,390
Engelhard Corp 37,602 681,536
Freeport McMoRan Inc 51,811 780,403
Inland Steel Industries Inc 12,330 254,306
Nucor Corp 23,052 1,187,178
Phelps Dodge Corp 16,366 1,039,241
</TABLE>
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1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Placer Dome Inc 62,389 $ 803,258
Reynolds Metals Co 19,385 1,207,928
Timken Co 16,384 528,384
USX--U.S. Steel Group 22,390 786,449
Worthington Industries Inc 24,983 427,834
--------------
TOTAL METAL FABRICATORS
- VALUE $ 17,392,384
- COST $ 17,690,811
PHARMACEUTICALS-7.75%
Abbott Laboratories 200,946 $ 15,033,273
Allergan Inc 16,964 593,740
ALZA Corp 22,458 839,368
American Home Products Corp 170,621 15,995,719
Amgen Inc 68,960 3,663,500
Bristol-Myers Squibb Co 261,158 26,164,767
Lilly (Eli) & Co 291,414 19,178,684
Merck & Co Inc 314,738 40,148,766
Millipore Corp 11,199 423,462
Pfizer Inc 339,698 30,063,273
Pharmacia and Upjohn Inc 133,081 5,265,017
Schering-Plough Corp 192,304 14,627,123
Warner Lambert Co 71,499 10,456,729
--------------
TOTAL PHARMACEUTICALS
- VALUE $ 182,453,421
- COST $ 79,680,841
PUBLISHING-0.90%
American Greetings Corp Class A 20,181 $ 920,758
Comcast Corp Class A 91,564 3,204,740
Donnelley (R R) & Sons Co 38,117 1,510,386
Dow Jones & Co Inc 25,306 1,300,096
Gannett Co Inc 74,407 4,803,902
Harland (John H) Co 8,028 121,925
Interpublic Group Co Inc 32,965 1,796,565
Knight-Ridder Inc 23,576 1,326,150
McGraw-Hill Inc 25,874 1,956,721
Meredith Corp 13,772 591,335
Moore Corp Ltd 25,004 392,250
</TABLE>
185
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MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
New York Times Co Class A 25,228 $ 1,650,857
Times Mirror Co Class A 24,933 1,534,938
--------------
TOTAL PUBLISHING
- VALUE $ 21,110,623
- COST $ 12,168,588
RETAIL & RELATED-4.37%
AutoZone Inc+ 39,755 $ 1,202,589
Charming Shoppes Inc+ 27,559 123,153
Circuit City Stores Inc 25,972 1,003,169
Consolidated Stores Corp 28,130 1,156,846
Costco Co Inc+ 55,768 2,725,661
Dayton-Hudson Corp 57,171 4,420,033
Dillards Inc Class A 29,182 1,039,609
Eastman Kodak Co 85,254 5,594,794
Federated Department Stores Inc+ 55,014 2,578,781
Gap Inc 105,525 4,715,649
Home Depot Inc 192,163 12,262,402
Jostens Inc 10,241 240,664
K Mart Corp+ 127,938 1,711,171
Limited Inc 71,363 2,069,527
Longs Drug Stores Corp 10,198 323,149
Lowe's Co Inc 45,663 2,668,432
May Department Stores Co 61,249 3,720,877
Mercantile Stores Co Inc 9,529 627,127
Newell Co 41,753 1,915,419
Nordstrom Inc 20,625 1,182,714
Penney (J C) Co Inc 65,544 4,633,142
Rite Aid Corp 65,328 2,114,994
Sears Roebuck & Co 102,865 5,458,274
Sherwin Williams Co 45,424 1,518,865
Tandy Corp 27,564 1,226,598
TJX Companies Inc 42,864 1,655,622
Toys R Us Inc+ 74,935 1,967,044
Walgreen Co 129,115 4,736,907
WalMart Stores Inc 591,950 27,414,684
Woolworth (F W) Co+ 35,159 835,026
--------------
TOTAL RETAIL & RELATED
- VALUE $ 102,842,922
- COST $ 63,631,937
</TABLE>
186
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1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SERVICES-0.31%
Block (H R) Inc 27,119 $ 1,276,288
Dun & Bradstreet Corp 44,697 1,497,350
Public Service Enterprise Group 60,856 1,962,606
Service Corp International 66,070 2,502,401
--------------
TOTAL SERVICES
- VALUE $ 7,238,645
- COST $ 5,233,433
TELECOMMUNICATIONS-7.49%
Airtouch Communications+ 132,391 $ 5,949,321
Alltel Corp 48,569 2,218,996
Ameritech Corp 287,544 11,986,991
Andrew Corp 23,422 647,019
AT & T Corp 426,607 25,969,701
Bell Atlantic Corp 204,039 18,312,500
BellSouth Corp 260,510 15,891,110
DSC Communications Corp+ 30,628 601,075
Frontier Corp 42,733 1,183,170
GTE Corp 251,527 13,613,899
Lucent Technologies Inc 168,549 18,266,498
MCI Communications Corp 182,971 8,748,301
Northern Telecom Ltd 137,618 7,336,760
SBC Communication Inc 240,788 18,209,593
Scientific-Atlanta Inc 20,762 363,335
Sprint Corp 112,789 7,444,074
Tellabs Inc+ 47,606 2,874,212
U.S. West Inc 126,720 6,597,360
WorldCom Inc+ 265,884 10,153,445
--------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 176,367,360
- COST $ 108,367,544
TEXTILES-0.01%
Springs Industries Inc Class A 5,196 $ 290,651
--------------
TOTAL TEXTILES
- VALUE $ 290,651
- COST $ 206,327
</TABLE>
187
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TOBACCO-1.25%
Fortune Brands Inc 45,033 $ 1,787,247
Philip Morris Co Inc 636,812 27,661,521
--------------
TOTAL TOBACCO
- VALUE $ 29,448,768
- COST $ 18,370,348
TRANSPORTATION-0.65%
Burlington Northern Santa Fe 40,980 $ 4,082,633
CSX Corp 57,240 3,201,863
Laidlaw Inc Class B 85,585 1,257,030
Norfolk Southern Corp 98,957 3,407,832
Union Pacific Corp 64,883 3,309,033
--------------
TOTAL TRANSPORTATION
- VALUE $ 15,258,391
- COST $ 11,803,273
UTILITIES-2.18%
Ameren Corp+ 35,889 $ 1,379,483
American Electric Power Inc 49,769 2,388,912
Baltimore Gas & Electric Co 38,427 1,212,852
Carolina Power & Light Co 39,392 1,644,616
Central & South West Corp 55,816 1,496,567
Cinergy Corp 41,340 1,439,149
Consolidated Edison Inc 61,693 2,621,953
Dominion Resources Inc 48,932 1,951,164
DTE Energy Co 38,058 1,398,632
Duke Power Co 94,389 5,244,489
Edison International 103,249 2,852,254
Entergy Corp 63,842 1,847,428
FirstEnergy Corp 60,461 1,749,590
FPL Group Inc 47,714 2,770,394
GPU Inc 33,330 1,339,449
Houston Industries Inc 74,799 1,935,424
Niagara Mohawk Power Corp+ 37,361 478,688
Northern States Power Co 19,497 1,071,117
Pacificorp 77,802 1,881,836
PECO Energy Co 57,994 1,145,382
PG & E Corp 115,071 3,473,706
PP & L Resources Inc 43,728 978,414
Southern Co 181,091 4,470,684
</TABLE>
188
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX MASTER PORTFOLIO--FEBRUARY 28,
1998
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SECURITY NAME SHARES VALUE
<S> <C> <C>
COMMON STOCKS (CONTINUED)
Texas Utilities Co 64,525 $ 2,609,227
Unicom Corp 56,841 1,822,465
--------------
TOTAL UTILITIES
- VALUE $ 51,203,875
- COST $ 41,994,418
TOTAL COMMON STOCKS
- VALUE $2,154,233,879
- COST $1,276,931,698
</TABLE>
189
<PAGE>
MASTER INVESTMENT PORTFOLIO--S&P 500 INDEX
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY PRINCIPAL/
SECURITY NAME RATE VALUE SHARES VALUE
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS-12.59%
CASH EQUIVALENTS-3.43%
Dreyfus Institutional Money
Market Fund++ 22,301,077 $ 22,301,077
Janus Institutional Money Market
Fund++ 42,700,000 42,700,000
Merrimac Cash Fund--Premium
Class++ 15,800,000 15,800,000
--------------
$ 80,801,077
REPURCHASE AGREEMENTS-0.81%
Goldman Sachs Repurchase
Agreements, dated 2/27/98, due
3/2/98, with a maturity value
of $19,008,974 and an effective
yield of 5.6675%,
collateralized by Federal Home
Loan Mortgage Corporation
obligations with rates ranging
from 7.00% to 8.00%, with
maturity dates ranging from
7/1/10 to 6/1/17 and with an
aggregate market value of
$19,380,000.++ $19,000,000 $ 19,000,000
--------------
U.S. TREASURY BILLS-8.35%
U.S. Treasury Bills 4.48%* 03/12/98 3,566,000 3,559,938
U.S. Treasury Bills 4.85%* 03/26/98 9,445,000 9,409,940
U.S. Treasury Bills 5.13%* 03/05/98 19,218,000 19,204,509
U.S. Treasury Bills 5.13%* 04/09/98 3,600,000 3,579,840
U.S. Treasury Bills 5.15%* 04/02/98 12,835,000 12,775,356
U.S. Treasury Bills 5.34%* 04/30/98 50,398,000 49,965,081
U.S. Treasury Bills 5.37%* 04/23/98 78,733,000 78,144,235
U.S. Treasury Bills 5.38%* 04/16/98 20,174,000 20,042,869
--------------
$ 196,681,768
TOTAL SHORT TERM INSTRUMENTS
- VALUE $ 296,482,845
- COST $ 296,464,052
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,573,395,750)** (Notes 1
and 3) 104.11% $2,450,716,724
Other Assets and Liabilites, Net (4.11)% (96,653,510)
------- --------------
TOTAL NET ASSETS 100.00% $2,354,063,214
====== ==============
- --------------------------------------------------------------------------------
</TABLE>
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending trans-
actions. See Note 4.
* Yield to Maturity.
** Cost for federal income tax purposes is $1,573,923,035 and net unrealized
appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $891,354,790
Gross Unrealized
Depreciation (14,561,101)
------------
NET UNREALIZED APPRECIATION $876,793,689
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
190
<PAGE>
MANAGED SERIES INVESTMENT TRUST--SHORT INTERMEDIATE TERM MASTER
PORTFOLIO--FEBRUARY 28, 1998
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE TERM MASTER PORTFOLIO--
FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CORPORATE BONDS & NOTES-45.72%
AEROSPACE & DEFENSE-4.73%
$ 500,000 Mcdonnell Douglas Corp 6.77% 09/11/02 $ 513,653
BANK & FINANCE-25.59%
$ 500,000 A T & T Corp 6.41% 08/13/99 $ 500,400
500,000 Associates Corp of North America 6.01% 02/07/03 494,550
250,000 BankAmerica Corp 8.38% 03/15/02 269,023
500,000 National Australia Bank 6.40% 12/10/07 500,749
500,000 Norwest Corp 6.63% 07/15/04 511,497
500,000 EW Scripps Co 6.38% 10/15/02 504,403
-----------
$ 2,780,622
RAILROADS-4.74%
$ 500,000 Norfolk Southern Corp 6.95% 05/01/02 $ 515,057
SHIPPING-5.35%
$ 500,000 CSX Corp 9.00% 08/15/06 $ 581,517
UTILITIES-5.31%
$ 500,000 Public Service Electric & Gas Co 9.13% 07/01/05 $ 576,287
-----------
TOTAL CORPORATE BONDS & NOTES $ 4,967,136
(Cost $4,885,694)
U.S. GOVERNMENT AGENCY SECURITIES-9.35%
FEDERAL NATIONAL MORTGAGE ASSOCIATION-9.35%
$ 595,990 Federal National Mortgage Assoc 7.00% 06/01/09 $ 606,616
407,284 Federal National Mortgage Assoc 6.50% 05/01/11 408,722
-----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 1,015,338
(Cost $979,117)
</TABLE>
191
<PAGE>
MANAGED SERIES INVESTMENT TRUST--SHORT-INTERMEDIATE
TERM MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-40.25%
U.S. TREASURY BONDS-8.99%
$ 750,000 U.S. Treasury Bonds 10.75% 08/15/05 $ 976,640
U.S. TREASURY NOTES-31.26%
$ 500,000 U.S. Treasury Notes 6.63% 05/15/07 $ 532,500
2,800,000 U.S. Treasury Notes 5.75% 11/15/00 2,813,124
50,000 U.S. Treasury Notes 6.38% 03/31/01 51,109
-----------
$ 3,396,733
TOTAL U.S. TREASURY SECURITIES $ 4,373,373
(Cost $4,361,112)
</TABLE>
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL
INVESTMENT IN
SECURITIES
(Cost
$10,225,923)*
(Notes 1 and
3) 95.32% $10,355,847
Other Assets
and
Liabilities,
Net 4.68% 508,889
------ -----------
TOTAL NET 100.00%
ASSETS $10,864,736
====== ===========
</TABLE>
- --------------------------------------------------------------------------------
* Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C>
Gross Unrealized Apprecia-
tion $177,101
Gross Unrealized Deprecia-
tion (47,177)
--------
NET UNREALIZED APPRECIATION $129,924
========
</TABLE>
The accompanying notes are an integral part of these financial statements.
192
<PAGE>
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1998
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
PRINCIPAL/ INTEREST MATURITY
SHARES SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES-30.96%
U.S. TREASURY BONDS-17.10%
$ 250,000 U.S. Treasury Bonds 12.38% 05/15/04 $ 336,719
850,000 U.S. Treasury Bonds 11.88% 11/15/03 1,103,671
450,000 U.S. Treasury Bonds 10.75% 02/15/03 548,438
1,400,000 U.S. Treasury Bonds 9.00% 11/15/18 1,895,687
300,000 U.S. Treasury Bonds 8.88% 08/15/17 398,813
1,150,000 U.S. Treasury Bonds 7.88% 11/15/04 1,289,438
1,250,000 U.S. Treasury Bonds 7.25% 08/15/22 1,447,656
1,050,000 U.S. Treasury Bonds 6.00% 02/15/26 1,051,640
-----------
$ 8,072,062
U.S. TREASURY NOTES-13.86%
$ 1,450,000 U.S. Treasury Notes 7.25% 08/15/04 $ 1,574,156
1,400,000 U.S. Treasury Notes 6.25% 02/15/03 1,437,625
1,550,000 U.S. Treasury Notes 5.88% 02/15/04 1,571,796
1,950,000 U.S. Treasury Notes 5.75% 08/15/03 1,960,358
-----------
$ 6,543,935
TOTAL U.S. TREASURY SECURITIES $14,615,997
(Cost $14,496,333)
SHORT TERM INSTRUMENTS-74.48%
U.S. TREASURY BILLS-68.81%
$ 38,000 U.S. Treasury Bills 5.38%* 04/16/98 $ 37,753
28,556,000 U.S. Treasury Bills 5.37%* 04/23/98 28,342,458
313,000 U.S. Treasury Bills 5.34%* 04/30/98 310,311
3,210,000 U.S. Treasury Bills 5.15%* 04/02/98 3,195,083
483,000 U.S. Treasury Bills 5.13%* 03/05/98 482,661
114,000 U.S. Treasury Bills 4.48%* 03/12/98 113,806
-----------
$32,482,072
</TABLE>
193
<PAGE>
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION
MASTER PORTFOLIO--FEBRUARY 28, 1998
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
PRINCIPAL/ INTEREST MATURITY
SHARES SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C>
CASH EQUIVALENTS-1.43%
677,189 Dreyfus Institutional Money
Market Fund+ $ 677,189
REPURCHASE AGREEMENTS-4.24%
2,000,000 Goldman Sachs Repurchase Agreement,
dated 2/27/98, due 3/2/98, with a
maturity value of $2,000,945 and an
effective yield of 5.6675%,
collateralized by a Federal Home
Loan Mortgage Corporation
obligation with a rate of 7.50%,
with a maturity date of 1/1/28 and
with a market value of $2,040,000.+ $2,000,000
-----------
TOTAL SHORT TERM INSTRUMENTS $35,159,261
(Cost $35,155,883)
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
TOTAL INVESTMENT IN SECURITIES
(cost $49,652,216) ** (Notes 1 and 3) 105.44% $49,775,258
Other Assets and Liabilities, Net (5.44)% (2,569,260)
------ --- -----------
TOTAL NET ASSETS 100.00% $47,205,998
====== === ===========
</TABLE>
- --------------------------------------------------------------------------------
+ Represents investment of collateral received from securities lending transac-
tions. See Note 4.
* Yield to Maturity.
** Cost for federal income tax purposes is $49,655,024 and net unrealized ap-
preciation consists of:
<TABLE>
<S> <C>
Gross Unrealized
Appreciation $ 266,631
Gross Unrealized
Depreciation (146,397)
---------
NET UNREALIZED
APPRECIATION $ 120,234
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
194
<PAGE>
MASTER INVESTMENT PORTFOLIO--U.S. TREASURY ALLOCATION MASTER PORTFOLIO--
FEBRUARY 28, 1998
(THIS PAGE INTENTIONALLY LEFT BLANK)
195
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1998
<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) $569,497,394 $98,758,689
Cash 891 500
RECEIVABLES:
Investment sold 0 3,033,370
Dividends and interest 1,775,050 1,244,228
TOTAL ASSETS 571,273,335 103,036,787
LIABILITIES
PAYABLES:
Variation margin on futures
contracts 0 0
Investment securities purchased 5,308 3,631,955
Collateral for securities loaned
(Note 4) 35,809,841 6,145,500
Due to BGI (Note 2) 321,448 25,201
TOTAL LIABILITIES 36,136,597 9,802,656
TOTAL NET ASSETS $535,136,738 $93,234,131
INVESTMENTS AT COST $458,491,674 $96,037,728
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
196
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 28, 1998
<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>
$215,472,327 $126,687,879 $226,161,394 $355,545,522
20,082,413 595 405 0
4,915,442 5,621,666 5,515,149 4,510,212
110,703 892,217 1,453,657 1,463,402
240,580,885 133,202,357 233,130,605 361,519,136
0 0 0 0
3,249,657 5,062,626 3,543,357 4,558,381
0 11,843,608 21,156,344 30,365,516
282,451 97,122 213,205 324,477
3,532,108 17,003,356 24,912,906 35,248,374
$237,048,777 $116,199,001 $208,217,699 $326,270,762
$169,897,599 $119,143,895 $194,952,169 $284,106,477
- -----------------------------------------------------------------------------------
</TABLE>
197
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1998
<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) $255,539,464 $445,214,490
Cash 63 4,698
RECEIVABLES:
Investments sold 7,320 12,800
Dividends and interest 574,976 551,701
TOTAL ASSETS 256,121,823 445,783,689
LIABILITIES
PAYABLES:
Variation margin on futures contracts 0 0
Investment securities purchased 1,012,287 2,000,588
Collateral for securities loaned (Note 4) 21,263,638 38,649,215
Due to BGI (Note 2) 235,525 404,779
TOTAL LIABILITIES 22,511,450 41,054,582
TOTAL NET ASSETS $233,610,373 $404,729,107
INVESTMENTS AT COST $194,461,098 $344,117,349
- ---------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
198
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES--FEBRUARY 28, 1998
<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>
$2,450,716,724 $10,355,847 $49,775,258
142,954 419,832 808
0 0 0
3,572,330 145,379 124,026
2,454,432,008 10,921,058 49,900,092
287,325 0 0
35,342 0 0
99,801,077 0 2,677,188
245,050 56,322 16,906
100,368,794 56,322 2,694,094
$2,354,063,214 $10,864,736 $47,205,998
$1,573,395,750 $10,225,923 $49,652,216
- ----------------------------------------------------------------------------------
</TABLE>
199
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Master Master
Investment Portfolio Investment Portfolio
Asset Allocation Bond Index
Master Portfolio Master Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 4,137,500 $ 0
Interest+ 14,861,341 12,573,939
TOTAL INVESTMENT INCOME 18,998,841 12,573,939
EXPENSES (NOTE 2)
Advisory fees 1,616,380 147,755
TOTAL EXPENSES 1,616,380 147,755
LESS:
Waived fees by BGI (Note 2) 0 0
NET EXPENSES 1,616,380 147,755
NET INVESTMENT INCOME (LOSS) 17,382,461 12,426,184
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on sale of
investments 43,346,192 3,123,379
Net realized gain (loss) on sale of
futures contracts 0 0
Net change in unrealized
appreciation (depreciation) of
investments 54,041,425 3,034,137
Net change in unrealized
appreciation (depreciation) of
futures contracts 0 0
NET GAIN (LOSS) ON INVESTMENTS 97,387,617 6,157,516
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $114,770,078 $18,583,700
- ------------------------------------------------------------------------------
+ Interest income includes security
lending income of: $ 43,882 $ 12,975
</TABLE>
The accompanying notes are an integral part of these financial statements.
200
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1998
<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>
$ 334,093 $ 470,531 $ 1,547,164 $ 3,350,517
754,929 5,511,578 5,932,067 5,902,764
1,089,023 5,982,109 7,479,231 9,253,281
1,354,588 656,142 1,018,984 1,572,634
1,354,588 656,142 1,018,984 1,572,634
(45,153) 0 0 0
1,309,435 656,142 1,018,984 1,572,634
(220,412) 5,325,967 6,460,247 7,680,647
9,338,412 5,800,419 9,734,287 16,445,704
0 0 0 0
35,007,529 3,089,773 16,696,571 39,706,672
0 0 0 0
44,345,941 8,890,192 26,430,858 56,152,376
$44,125,529 $14,216,159 $32,891,105 $63,833,023
- -----------------------------------------------------------------------------------
$ 0 $ 23,958 $ 48,999 $ 79,526
</TABLE>
201
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1998
<TABLE>
<CAPTION>
Master Master
Investment Investment
Portfolio Portfolio
LifePath LifePath
2030 2040
Master Portfolio Master Portfolio
- --------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 2,688,191 $ 5,125,909
Interest+ 2,426,345 1,316,791
TOTAL INVESTMENT INCOME 5,114,536 6,442,700
EXPENSES (NOTE 2)
Advisory fees 1,048,151 1,767,632
TOTAL EXPENSES 1,048,151 1,767,632
LESS:
Waived fees by BGI (Note 2) 0 0
NET EXPENSES 1,048,151 1,767,632
NET INVESTMENT INCOME (LOSS) 4,066,385 4,675,068
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 9,255,193 26,380,392
Net realized gain (loss) on sale of
futures contracts 0 14,539
Net change in unrealized appreciation
(depreciation) of investments 35,383,133 58,037,494
Net change in unrealized appreciation
(depreciation) of futures contracts 0 (52,500)
NET GAIN (LOSS) ON INVESTMENTS 44,638,326 84,379,925
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $48,704,711 $89,054,993
- --------------------------------------------------------------------------
+ Interest income includes security
lending income of: $ 61,182 $ 114,518
</TABLE>
The accompanying notes are an integral part of these financial statements.
202
<PAGE>
STATEMENT OF OPERATIONS-- FOR THE YEAR ENDED FEBRUARY 28, 1998
<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>
$ 30,149,685 $ 0 $ 0
6,319,513 782,051 2,998,572
36,469,198 782,051 2,998,572
939,051 50,170 136,672
939,051 50,170 136,672
0 0 0
939,051 50,170 136,672
35,530,147 731,881 2,861,900
52,551,777 (82,340) 497,222
18,816,662 0 0
452,651,075 250,239 384,200
10,434,575 0 0
534,454,089 167,899 881,422
$569,984,236 $899,780 $3,743,322
- -------------------------------------------------------------------------------------
$ 52,216 $ 0 $ 4,633
</TABLE>
203
<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, 1998 February 28, 1997
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 17,382,461 $ 19,019,098
Net realized gain (loss) on sale of
investments 43,346,192 38,140,198
Net realized gain on sale of futures
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments 54,041,425 (1,289,497)
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 114,770,078 55,869,799
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTEREST
TRANSACTIONS (11,593,179) (22,004,190)
INCREASE (DECREASE) IN NET ASSETS 103,176,899 33,865,609
NET ASSETS:
Beginning net assets $431,959,839 $398,094,230
ENDING NET ASSETS $535,136,738 $431,959,839
- ---------------------------------------------------------------------------
</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 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, 1998 February 28, 1997 February 28, 1998 February 28, 1997
- -------------------------------------------------------
<C> <C> <C> <S>
$ 12,426,184 $ 12,576,460 $ (220,412) $ (556,250)
3,123,379 152,739 9,338,412 15,318,008
0 0 0 0
3,034,137 (3,966,118) 35,007,529 (25,141,741)
0 0 0 0
18,583,700 8,763,081 44,125,529 (10,379,983)
(146,679,073) 60,741,955 (20,069,241) 44,671,564
(128,095,373) 69,505,036 24,056,288 34,291,581
$ 221,329,504 $151,824,468 $212,992,489 $178,700,908
$ 93,234,131 $221,329,504 $237,048,777 $212,992,489
- ----------------------------------------------------------------------------
</TABLE>
205
<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, 1998 February 28, 1997
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 5,325,967 $ 5,769,457
Net realized gain (loss) on sale of investments 5,800,419 2,894,777
Net realized gain (loss) on sale of futures contracts 0 0
Net change in unrealized appreciation (depreciation)
of investments 3,089,773 (273,099)
Net change in unrealized appreciation (depreciation)
of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 14,216,159 8,391,135
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS (29,290,156) 6,204,037
INCREASE (DECREASE) IN NET ASSETS (15,073,997) 14,595,172
NET ASSETS:
Beginning net assets $131,272,998 $116,677,826
ENDING NET ASSETS $116,199,001 $131,272,998
- -------------------------------------------------------------------------------------------
</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 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, 1998 February 28, 1997 February 28, 1998 February 28, 1997
- -------------------------------------------------------
<C> <C> <C> <S>
$ 6,460,247 $ 5,182,306 $ 7,680,647 $ 6,271,633
9,734,287 3,439,818 16,445,704 9,487,619
0 0 0 0
16,696,571 5,149,907 39,706,672 11,374,656
0 0 0 0
32,891,105 13,772,031 63,833,023 27,133,908
5,815,674 54,517,689 10,995,106 61,750,732
38,706,779 68,289,720 74,828,129 88,884,640
$169,510,920 $101,221,200 $251,442,633 $162,557,993
$208,217,699 $169,510,920 $326,270,762 $251,442,633
- -------------------------------------------------------------------------
</TABLE>
207
<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, 1998 February 28, 1997
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 4,066,385 $ 3,210,760
Net realized gain (loss) on sale of investments 9,255,193 5,108,662
Net realized gain (loss) on sale of futures contracts 0 0
Net change in unrealized appreciation (depreciation)
of investments 35,383,133 10,036,726
Net change in unrealized appreciation (depreciation)
of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 48,704,711 18,356,148
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS 26,100,829 32,210,346
INCREASE (DECREASE) IN NET ASSETS 74,805,540 50,566,494
NET ASSETS:
Beginning net assets $158,804,833 $108,238,339
ENDING NET ASSETS $233,610,373 $158,804,833
- ------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
208
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Master Investment Portfolio
LifePath 2040 Master Portfolio
- ------------------------------------
For the For the
Year Ended Year Ended
ebruary 28, 1998F February 28, 1997
- -------------------------
<S> <C>
$ 4,675,068 $ 3,953,444
26,380,392 14,697,190
14,539 35,620
58,037,494 17,501,172
(52,500) 92,625
89,054,993 36,280,051
57,589,386 45,783,771
146,644,379 82,063,822
$258,084,728 $176,020,906
$404,729,107 $258,084,728
- ------------------------------------
</TABLE>
209
<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, 1998 February 28, 1997
- --------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 35,530,147 $ 26,709,655
Net realized gain (loss) on sale of
investments 52,551,777 10,656,049
Net realized gain on sale of futures
contracts 18,816,662 12,210,399
Net change in unrealized appreciation
(depreciation) of investments 452,651,075 229,538,430
Net change in unrealized appreciation
(depreciation) of futures contracts 10,434,575 160,200
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 569,984,236 279,274,733
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTEREST
TRANSACTIONS 299,742,532 274,728,651
INCREASE (DECREASE) IN NET ASSETS 869,726,768 554,003,384
NET ASSETS:
Beginning net assets $1,484,336,446 $ 930,333,062
ENDING NET ASSETS $2,354,063,214 $1,484,336,446
- --------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
210
<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
ebruary 28, 1998F February 28, 1997 February 28, 1998 February 28, 1997
- ----------------------------------------------------
<S> <C> <C> <C>
$ 731,881 $ 861,159 $ 2,861,900 $ 3,195,952
(82,340) (86,579) 497,222 (142,718)
0 0 0 0
250,239 (214,524) 384,200 (507,610)
0 0 0 0
899,780 560,056 3,743,322 2,545,624
(3,100,757) (1,245,402) (4,069,601) (6,668,994)
(2,200,977) (685,346) (326,279) (4,123,370)
$13,065,713 $13,751,059 $47,532,277 $51,655,647
$10,864,736 $13,065,713 $47,205,998 $47,532,277
- ---------------------------------------------------------------------------
</TABLE>
211
<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 20, 1993 as a Delaware
business trust pursuant to an Agreement and Declaration of Trust dated May 14,
1993, and had no operations prior to May 26, 1994. MIP currently issues, the
following separate portfolios (the "Master Portfolios"), the Asset Allocation,
Bond Index, LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030,
LifePath 2040, S&P 500 Index and U.S. Treasury Allocation Master Portfolios.
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the
reporting period. Actual results could differ from those estimates.
SECURITY VALUATION
The equity securities of each Master Portfolio are valued at the last
reported sale price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an
exchange or national securities market, or securities in which there was no
last reported sales price, are valued at the most recent bid prices. Debt
securities are generally traded in the over-the-counter market and are valued
at a price deemed best to reflect fair value as quoted by dealers who make
markets in those securities or by an independent pricing source. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any securities, restricted securities or other
assets for which market quotations are not readily available, are valued at
fair value as determined in good faith in accordance with policies approved by
MIP's Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the
212
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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 under
provisions of the Internal Revenue Code of 1986, as amended (the "Code").
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify as a partnership for federal income
tax purposes. Each Master Portfolio therefore believes that it will not be
subject to any federal income tax on its income and net realized capital gains
(if any). However, each investor in a Master Portfolio will be taxed on its
allocable share of the partnership's income and capital gains for purposes of
determining its federal income tax liability. The determination of such share
will be made in accordance with the applicable sections of the Code.
It is intended that each Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in
a Master Portfolio will be able to satisfy the requirements of Subchapter M of
the Code, assuming that the investment company invested all of its assets in
the corresponding Master Portfolio.
FUTURES CONTRACTS
The Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040 and S&P 500 Index Master Portfolios may purchase futures
contracts to gain exposure to market changes as this may be more efficient or
cost effective than actually buying the securities. A futures contract is an
agreement between two parties to buy and sell a security at a set price on a
future date and is exchange traded. Upon entering into a futures contract, the
Asset Allocation, LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030,
LifePath 2040 and S&P 500 Index Master Portfolios are required to pledge to the
broker an amount of cash, U.S. Government securities or other high-quality debt
securities equal to the minimum "initial margin" requirements of the exchange.
Pursuant to the contract, the Master Portfolios agree to receive from or pay to
the broker an amount of cash equal to the daily fluctuation in the value of the
contract. Such receipts or payments are known as "variation margin" and are
recorded by the Master Portfolios as unrealized gains or losses. When the
contract is closed, the Master Portfolios record a gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. Pursuant to regulations and/or
213
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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, 1998, the
following Master Portfolio had open long futures contracts outstanding:
S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
Expiration Notional Net Unrealized
Number of Contracts Type Date Contract Value Depreciation
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
747 S&P 500 Index March 1998 $196,180,875 $11,248,975
</TABLE>
The S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury Bills
for initial margin requirements with a par value of $7,507,350.
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, 1998 by the Master
Portfolios are collateralized by U.S. Government Securities.
214
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.35%, 0.08%, 0.05% and 0.30% of the average daily
net assets of the Asset Allocation, Bond Index, S&P 500 Index and U.S. Treasury
Allocation Master Portfolios, respectively, as compensation for advisory
services. BGFA is entitled to receive 0.55% of the average daily net assets of
each of the LifePath Master Portfolios as compensation for its advisory
services. BGFA is an indirect subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to each Master
Portfolio. IBT will not be entitled to receive fees for its custodial services
so long as it is entitled to receive a separate fee from Barclays Global
Investors, N.A. ("BGI") for its services as Sub-Administrator of each Master
Portfolio.
Stephens Inc. ("Stephens") is the Funds' co-administrator, sponsor and
placement agent for the Master Portfolios. Certain officers and directors of
MIP are also officers of Stephens. As of February 28, 1998, these officers of
Stephens indirectly collectively owned less than 1% of the Master Portfolios'
outstanding beneficial interest.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the year ended February 28, 1998 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 $ 74,545,474 $ 90,656,433 $33,291,178
Sales Proceeds 194,046,652 181,649,210 73,454,422
OTHER SECURITIES:
Purchases at cost $192,688,691 $ 16,222,024 $ 8,626,001
Sales proceeds 67,031,035 47,310,677 15,515,149
</TABLE>
215
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
<TABLE>
<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 $59,036,500 $65,715,647 $20,937,159
Sales proceeds 60,420,339 77,806,490 31,317,960
OTHER SECURITIES:
Purchases at cost 20,691,293 54,233,382 57,725,629
Sales proceeds 21,511,480 35,040,932 19,494,251
<CAPTION>
U.S. Treasury
Aggregate Purchases LifePath 2040 S&P 500 Index Allocation
and Sales of: Master Portfolio Master Portfolio Master Portfolio
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $11,739,298 $ 0 $22,057,875
Sales proceeds 38,650,344 0 45,709,953
OTHER SECURITIES:
Purchases at cost 162,678,573 363,453,227 0
Sales proceeds 69,544,105 100,644,795 0
</TABLE>
4. PORTFOLIO SECURITIES LOANED
As of February 28, 1998, certain Master Portfolios had loaned securities
which were collateralized by cash. 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 $35,026,216 $35,809,841
Bond Index Master Portfolio $ 6,040,908 $ 6,145,500
LifePath 2000 Master Portfolio $11,562,364 $11,843,608
LifePath 2010 Master Portfolio $20,634,239 $21,156,344
LifePath 2020 Master Portfolio $29,448,469 $30,365,516
LifePath 2030 Master Portfolio $20,581,637 $21,263,638
LifePath 2040 Master Portfolio $37,418,496 $38,649,215
S&P 500 Index Master Portfolio $97,218,674 $99,801,077
U.S. Treasury Allocation Master Portfolio $ 2,623,461 $ 2,677,188
</TABLE>
216
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
5. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
For the
Period from
For the For the May 26, 1994
For the Year Ended Year Ended (commencement
Year Ended February 28, February 29, of operations) to
February 28, 1998 1997 1996 February 28, 1995
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asset Allocation Master
Portfolio 57% 43% 40% 23%
Bond Index Master
Portfolio 59% 39% 21% 37%
LifePath 2000 Master
Portfolio 39% 108% 84% 17%
LifePath 2010 Master
Portfolio 46% 73% 39% 24%
LifePath 2020 Master
Portfolio 41% 61% 49% 28%
LifePath 2030 Master
Portfolio 27% 42% 39% 40%
LifePath 2040 Master
Portfolio 34% 48% 29% 5%
S&P 500 Index Master
Portfolio 6% 4% 2% 5%
U.S. Treasury Allocation
Master Portfolio 76% 196% 325% 87%
</TABLE>
The average commission rates paid by the Master Portfolios are as follows:
<TABLE>
<CAPTION>
For the For the
Year Ended Year Ended
February 28, 1998 February 28, 1997
- ----------------------------------------------------------------------
<S> <C> <C>
Asset Allocation Master Portfolio $0.0260 $0.0335
LifePath 2000 Master Portfolio $0.0300 $0.0401
LifePath 2010 Master Portfolio $0.0304 $0.0404
LifePath 2020 Master Portfolio $0.0300 $0.0451
LifePath 2030 Master Portfolio $0.0302 $0.0364
LifePath 2040 Master Portfolio $0.0248 $0.0351
S&P 500 Index Master Portfolio $0.0319 $0.0625
</TABLE>
217
<PAGE>
To the Shareholders and Board of Trustees
Master Investment Portfolio:
We have audited the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments, of 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 Portfo-
lio, S&P 500 Index Master Portfolio, and U.S. Treasury Allocation Master Port-
folio) as of February 28, 1998, 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 years in the three-year period then ended. These financial statements
and financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and fi-
nancial 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 stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights 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 confirmation of securities owned as of Feb-
ruary 28, 1998 by correspondence with the custodian 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 fi-
nancial 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, 1998, 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 3, 1998
218
<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 26, 1993. MSIT currently offers the
following separate portfolios (the "Master Portfolios"): the Growth Stock and
Short-Intermediate Term Master Portfolios.
These Master Portfolios invest in a range of securities, generally including
money market instruments, equities and U.S. government securities. The
following significant accounting policies are consistently followed by MSIT in
the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting period.
Actual results could differ from those estimates.
SECURITY VALUATION
The equity securities of each Master Portfolio are valued at the last
reported sale price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an
exchange or national securities market, or securities in which there was no
last reported sales price, are valued at the most recent bid prices. Debt
securities are generally traded in the over-the-counter market and are valued
at a price deemed best to reflect fair value as quoted by dealers who make
markets in those securities or by an independent pricing source. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any securities, restricted securities or other
assets for which 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.
219
<PAGE>
MANAGED SERIES INVESTMENT TRUST
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 under
provisions of the Internal Revenue Code of 1986, as amended (the "Code"').
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify as a partnership for federal income
tax purposes. Each Master Portfolio therefore believes that it will not be
subject to any federal income tax on its income and net realized capital gains
(if any). However, each investor in a Master Portfolio will be taxable on its
allocable share of the partnership's income and capital gains for purposes of
determining its federal income tax liability. The determination of such share
will be made in accordance with the applicable sections of the Code.
It is intended that each Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in
a Master Portfolio will be able to satisfy the requirements of Subchapter M of
the Code, assuming that the investment company invested all of its assets in
the corresponding Master Portfolio.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Portfolio of Investments. The adviser to the Master
Portfolios may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the adviser's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements entered into on February 28, 1998 by the Master
Portfolios are collateralized by U.S. Government Securities.
220
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.60% and 0.45% of the average daily net assets of
the Growth Stock and Short-Intermediate Term Master Portfolios, respectively,
as compensation for advisory services. BGFA is an indirect subsidiary of
Barclays Bank PLC.
Wells Fargo Bank ("WFB") serves as sub-adviser to each Master Portfolio. As
sub-adviser, WFB is responsible for the day-to-day portfolio management of each
Master Portfolio. WFB is entitled to receive from BGFA an amount equal to 0.15%
and 0.10% of the average daily net assets of the Growth Stock and Short-
Intermediate Term Master Portfolios, respectively, as compensation for its sub-
advisory services.
Investors Bank & Trust Company ("IBT") serves as the custodian to each Master
Portfolio. IBT will not be entitled to receive fees for its custodial services
so long as it is entitled to receive a separate fee from Barclays Global
Investors, N.A. ("BGI") for its services as Sub-Administrator of the each
Master Portfolio.
Stephens Inc. ("Stephens") is the co-administrator, sponsor and placement
agent for the Master Portfolios. Certain fees have been waived by BGI for the
Growth Stock Master Portfolio for the year ended February 28, 1998. Waived fees
continue at the discretion of BGI.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the year ended February 28, 1998, 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 $4,310,492
Sales proceeds 0 4,626,477
OTHER SECURITIES:
Purchases at cost 273,188,365 4,045,110
Sales proceeds 315,246,723 4,798,854
</TABLE>
221
<PAGE>
MANAGED SERIES INVESTMENT TRUST
NOTES TO THE FINANCIAL STATEMENTS
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 For the (Commencement
Year Ended Year Ended Year Ended of Operations) to
February 28, February 28, February 29, February 28,
Master Portfolios 1998 1997 1996 1995
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth Stock Master
Portfolio 129% 129% 145% 93%
Short-Intermediate Term
Master Portfolio 77% 62% 105% 96%
</TABLE>
The average commission rate paid by the Growth Stock Master Portfolio was
$0.0604 for the year ended February 28, 1998, and $0.0777 for the year ended
February 28, 1997.
222
<PAGE>
To the Shareholders and Board of Trustees
Managed Series Investment Trust:
We have audited the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments, of Managed Series Investment Trust (compris-
ing respectively, Growth Stock Master Portfolio and Short-Intermediate Term
Master Portfolio) as of February 28, 1998, and the related statements of opera-
tions 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 years in the three-year period then ended. These financial
statements and financial highlights are the responsibility of the Trust's man-
agement. Our responsibility is to express an opinion on these financial state-
ments and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights 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 confirmation of securities owned as of Feb-
ruary 28, 1998 by correspondence with the custodian 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 fi-
nancial 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, 1998, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated herein in con-
formity with generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 3, 1998
223
<PAGE>
NOTES
-----
<PAGE>
MasterWorks/R/ Funds
c/o Investors Bank and Trust Co.
200 Clarendon Street
Boston, MA 02111
MWAR.3/98
