<PAGE>
[LOGO]
- ------------------------------------------ [LOGO]
2222 Martin Street, Suite 230, Irvine, California 92715-1454 - (800) 374-2633
February 6, 1996
Dear Fellow Shareholders:
U.S. stock markets had a record setting year, with the Dow Jones passing two
1000 point milestones: 4000 and 5000. This marks the first time that this has
occurred in one year. The returns for 1995 were the best since 1958 for the S&P
500, which was up 6.02% for the quarter, and 37.58% for the year. The S&P MidCap
400 was up 1.41% for the quarter, and 30.94% for the year. The NASDAQ 100 Index
was down 1.41% for the quarter, but up 43.20% for the year. All of the above are
with dividends reinvested in the indices.
The U.S. Dollar rallied from lows reached earlier in the year versus the
German Mark and the Japanese Yen. The dollar traded in a range from 1.55 to 1.35
versus the mark, ending the year in the middle of the range at 1.44. The dollar
rallied 30% off post World War II lows versus the yen, ending the year above
100, which is where the year began.
Interest rates fell dramatically across the Treasury yield curve during
1995. Slowing economic growth and low inflation contributed to a 2% drop in
yields. The short end of the curve fell the furthest, with the yield falling
from 7.72% to 5.16%, a 257 basis point (bp) drop in the yield of two year notes.
Yields on five year Treasury notes were down 245 bps, ten year notes were down
225 bps, and the thirty year bond was down 194 bps to yield 5.95% at year-end.
As a result of the large drop in interest rates, 1995 was the best year for
the bond market since 1985. Despite the two-to-thirty-year yield spread widening
from last year's 17 bps, the yield curve is still relatively flat by historical
standards. At year end, there was a 79 bp difference in yields between the two
year note and the thirty year bond.
Federal Reserve Board (the "Fed") lowered short-term rates by 1/4% on July
7. As we stated in our Semi-Annual Report, '...this Fed action is likely to be
only the first step in a series.' On December 19, the Fed again lowered
short-term rates by 1/4%, with the Federal Funds rate ending the year at 5 1/2%.
Inflation, as measured by the consumer price index (CPI) rose 2.5% in 1995, the
smallest increase in nine years, and the fourth year in a row that CPI was under
3%. We expect further cuts in short-term interest rates if the threat of
inflation remains low, and the Fed's focus remains on increasing the pace of
economic growth.
Falling interest rates led to strong corporate bond issuance during all of
1995. 132 billion dollars in new bonds were issued in 1995. This was a 47%
increase over 1994 when $90 billion in corporate
1
<PAGE>
bonds were issued, and interest rates were over two percent higher. The largest
dollar amount, $40 billion, was issued in the industrial sector, which was a
100% increase over 1994. Due to the large increase in issuance, the yield spread
of high grade industrial bonds to active US government bonds widened during the
year. Spreads on high grade utility bonds also widened during the year. Low
grade industrial and utility bonds saw spreads tighten during the year. Both low
and high grade financial bonds saw spreads widen the most during the year, with
widening of 10 to 40 bps seen.
Thirty year mortgage backed securities traded in a range from 60 to 130 bps
over thirty year Treasuries. The widest spread was early last year when yields
on thirty year Treasuries were close to 8%. Spreads have widened recently, as
the Treasury market has rallied below 6% making refinancing and new mortgage
sales more attractive. Mortgage backed securities spreads are currently at 100
bps over Treasuries, wider than in the third quarter.
Interest rates will continue to be a key to 1996 stock and bond market
returns. A continued trend toward lower yields may influence investors out of
the bond and money markets and into the domestic and international stock
markets. The inflation rate and federal budget accord will be key to the bond
market as well as to the direction of rates. Slow economic growth is keeping
labor and raw material supplies in line, thus preventing a resurgence in
inflation, and this should allow the Fed to continue to lower short-term
interest rates.
Analytic now has a Family of Funds heading in the Wall Street Journal and
other leading financial newspapers. Three of our mutual funds can be found under
our Analytic heading: the Short-Term Government Portfolio, the Master Fixed
Income Portfolio, and the Optioned Equity Fund. Quotes can be obtained on these
funds, the respective symbols being: ANSGX, ANMFX, ANALX. We are proud of the
growth in assets in our Series of Mutual Funds, and the availability of daily
prices in newspapers will make it easier for our valued shareholders to follow
their investments.
SHORT-TERM GOVERNMENT PORTFOLIO
For the quarter ending December 31, 1995, your Portfolio's net asset value
increased 2.34%, while the Merrill Lynch 1 to 3 Year Treasury Index increased
2.52%. For the year ending December 31, 1995, your Portfolio's net asset value
increased 10.54%, while the Merrill Lynch 1 to 3 Year Treasury Index increased
11.00%. At year end, the Portfolio's share price was $9.89 after paying its 30th
consecutive monthly dividend (since public inception) from net investment
income. The dividend paid on December 31 was $0.05 per share, and the SEC 30 day
yield was 5.25%.
We made minor adjustments to the fixed income positions of your Portfolio
during the last six months. Currently your allocation is 86% US Treasury and US
Government agency securities, 5% adjustable rate mortgage backed securities, 7%
corporate bonds, and 2% foreign government bonds.
2
<PAGE>
MASTER FIXED INCOME PORTFOLIO
For the quarter ending December 31, 1995, your Portfolio's net asset value
increased 3.83%, while the Lehman Brothers Government Corporate Bond Index
increased 4.66%, the Lehman Brothers Aggregate Bond Index increased 4.26%, and
the S&P 500 Index increased 6.02% all with income reinvested. For the year
ending December 31, 1995, your Portfolio's net asset value increased 16.43%,
while the Lehman Brothers Government Corporate Bond Index increased 19.24%, the
Lehman Brothers Aggregate Bond Index increased 18.48%, and the S&P 500 Index
increased 37.58% all with income reinvested. At year end, the Portfolio's share
price was $10.41 after paying its 30th consecutive monthly dividend (since
public inception) from net investment income. The dividend paid on December 31
was $0.05 per share, and the SEC 30 day yield was 4.91%.
We continue to maintain the long term focus and asset allocation of your
Portfolio. This long term focus removes the emotional short term management that
can result in being 'whipsawed' by volatile movements in the market. Currently
your allocation is 75% fixed income, and 25% lower risk equity-related
positions. We made only minor adjustments to the fixed income and equity sectors
of your Portfolio during the last six months. This long term focus and
allocation plus a favorable market environment has resulted in strong
performance since inception.
ENHANCED EQUITY PORTFOLIO
For the quarter ending December 31, 1995, your Portfolio's net asset value
increased 4.32% per share, while the S&P 500 Index increased 6.02%, both with
dividends reinvested. At year end, the Portfolio's share price was $12.94 after
paying its ninth consecutive quarterly dividend of $0.16 per share. For the 12
months ending December 31, 1995, your portfolio's net asset value increased
35.36% per share while the S&P 500 Index increased 37.58%. Currently, the
allocation is about 96% in common stocks, 2% in certain purchased options (both
put and call options) and less than 2% in cash.
The Board of Trustees announced the continuation of voluntary expense caps
on all Portfolios. For the year ending December 31, 1996, the adviser has agreed
to reimburse expenses that exceed 0.60%, 0.80% and 1.00% of the average daily
net assets for the Short Term Government, Master Fixed Income, and Enhanced
Equity Portfolios, respectively.
WE APPRECIATE AND THANK YOU FOR INVESTING WITH US.
<TABLE>
<S> <C> <C>
[LOGO] [LOGO] [LOGO]
Alan L. Lewis Charles L. Dobson John A. Flom
President Executive Vice President Portfolio Manager
</TABLE>
3
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ANALYTIC SERIES FUND
AVERAGE ANNUAL COMPOUND TOTAL RETURN
(GROWTH RATE), FROM INCEPTION 7/1/93 -- 12/31/95, PERCENT
<TABLE>
<CAPTION>
Inception 1 year
----------- -----------
<S> <C> <C>
Short Term Government Portfolio 4.91 10.54
Master Fixed Income Portfolio 7.35 16.43
Enhanced Equity Portfolio 14.71 35.36
</TABLE>
Please refer to the following page for Universe Comparisons
4
<PAGE>
THE ANALYTIC SERIES FUNDS
UNIVERSE COMPARISONS*
ANNUALIZED RETURN ENDING DECEMBER 31, 1995
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PERCENTILES GROWTH GROWTH & INCOME CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
1 Yr. Since Inception 1 Yr. Since Inception 1 Yr. Since Inception
95th 45.1525 20.8312 37.9007 17.5319 20.1780 7.0978
75th 35.5515 15.9117 35.5675 15.6452 18.1723 6.6600
median 31.1103 13.6716 32.1442 14.0056 16.8124 5.9191
25th 26.2761 11.5263 29.0421 12.2471 14.6734 5.3386
5th 19.6100 7.9731 21.9537 8.4515 13.3224 4.6747
Enhanced
Equity 35.3620 14.7100 35.3620 14.7100
Master Fixed
Income 16.4190 7.3500
Short Term
Government
<CAPTION>
PERCENTILES GOVERNMENT BONDS
<S> <C> <C>
1 Yr. Since Inception
95th 13.4448 5.3764
75th 12.1639 4.9327
median 10.6814 4.6133
25th 9.5876 3.9731
5th 7.8585 2.5900
Enhanced
Equity
Master Fixed
Income
Short Term 10.5270 4.9200
Government
</TABLE>
*SOURCE: MORNINGSTAR ONDISC.
DISTRIBUTIONS SHOW 95TH, 75TH, MEDIAN, 25TH AND 5TH PERCENTILES.
N=NUMBER OF FUNDS IN INVESTMENT OBJECTIVE FOR THAT TIME PERIOD.
INCEPTION DATE: JULY 1, 1993
5
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ENHANCED EQUITY S & P 500 CPI
<S> <C> <C> <C>
10 10 10
Sep-93 10.16275 10.25892 10.03302
Dec-93 10.44942 10.49523 10.11449
Mar-94 10.11979 10.09662 10.19358
Jun-94 10.21271 10.13891 10.24259
Sep-94 10.53609 10.63373 10.33298
Dec-94 10.41030 10.63228 10.38887
Mar-95 11.34203 11.66738 10.46594
Jun-95 12.48116 12.78184 10.56251
Sep-95 13.50810 13.78750 10.60250
Dec-95 14.09160 14.60910 10.64410
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MASTER FIXED INCOME PORTFOLIO LEHMAN BROS. GOVERNMENT/CORPORATE BOND INDEX
<S> <C> <C>
Start 10
Sep-93 10.34291 10.33151
Dec-93 10.36347 10.30177
Mar-94 10.07758 9.977755
Jun-94 10.05317 9.854411
Sep-94 10.22936 9.903681
Dec-94 10.2556 9.940155
Mar-95 10.69158 10.4355
Jun-95 11.26963 11.11207
Sep-95 11.4998 11.3248
Dec-95 11.9394 11.8525
<CAPTION>
LEHMAN BROS. AGGREGATE BOND INDEX
<S> <C>
Start 10
Sep-93 10.26063
Dec-93 10.26619
Mar-94 9.971216
Jun-94 9.868699
Sep-94 9.929029
Dec-94 9.966567
Mar-95 10.46928
Jun-95 11.10718
Sep-95 11.3256
Dec-95 11.808
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SHORT TERM GOVERNMENT PORTFOLIO MERRILL LYNCH 1 TO 3 YEAR TREASURY INDEX
<S> <C> <C>
10
Sep-93 10.14351 10.14356
Dec-93 10.20028 10.20452
Mar-94 10.10191 10.15308
Jun-94 10.08968 10.1621
Sep-94 10.20486 10.26171
Dec-94 10.20065 10.26258
Mar-95 10.54287 10.60685
Jun-95 10.85659 10.94732
Sep-95 11.1745 11.1105
Dec-95 11.2745 11.3901
</TABLE>
6
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ----------- ---------- -------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--59.78%
$ 1,750,000 Treasury Note 5.500% 9/30/97 $ 1,759,298
2,500,000 Treasury Note 5.625% 11/30/00 2,523,438
3,000,000 Treasury Note 6.125% 5/31/97 3,036,564
1,500,000 Treasury Note 6.375% 7/15/99 1,550,625
2,000,000 Treasury Note 6.875% 10/31/96 2,025,312
2,500,000 Treasury Note 7.250% 2/15/98 2,599,610
3,000,000 Treasury Note 8.125% 2/15/98 3,172,500
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $16,581,149) 16,667,347
-------------
U.S. MORTGAGE BACKED SECURITIES--4.89%
+ 921,323 Government National Mortgage Association 7.000% 4/20/22 944,068
+ 408,283 Government National Mortgage Association 7.000% 6/20/23 418,362
-------------
TOTAL U.S. MORTGAGE BACKED SECURITIES
(Cost $1,352,499) 1,362,430
-------------
U.S. AGENCY OBLIGATIONS--23.12%
800,000 Federal Farm Credit Bank 5.080% 1/15/96 800,125
500,000 Federal Home Loan Mortgage Corporation 4.350% 4/29/96 498,495
500,000 Federal Home Loan Mortgage Corporation 6.450% 10/20/99 500,843
500,000 Federal Home Loan Mortgage Corporation 7.125% 7/21/99 525,313
1,000,000 Federal National Mortgage Association 6.750% 4/22/97 1,017,344
500,000 Federal National Mortgage Association 8.200% 3/10/98 529,062
500,000 Federal National Mortgage Association 9.350% 2/12/96 502,109
500,000 Private Export Funding Corporation 8.950% 10/31/97 531,129
500,000 Student Loan Marketing Assocation 7.000% 3/3/98 516,875
1,000,000 Tennessee Valley Authority 8.250% 11/15/96 1,023,906
-------------
TOTAL U.S. AGENCY OBLIGATIONS
(Cost $6,553,357) 6,445,201
-------------
CORPORATE OBLIGATIONS--7.25%
500,000 Associates Corporate Note 6.000% 6/15/00 502,813
500,000 DuPont Note 8.650% 12/1/97 526,719
500,000 EUROFIMA U.S. Dollar Note 4.875% 1/20/98 493,595
500,000 Wal Mart Stores, Inc. Note 5.500% 3/1/98 499,376
-------------
TOTAL CORPORATE OBLIGATIONS
(Cost $2,043,566) 2,022,503
-------------
</TABLE>
7
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ----------- ---------- -------------
FOREIGN GOVERNMENT BONDS--2.24%
<C> <S> <C> <C> <C>
DM 500,000 Deutschland Republic Bond 6.375% 2/20/96 $ 348,792
CD 375,000 Government of Canada Bond 6.500% 8/1/96 276,032
-------------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost $591,676) 624,824
-------------
TOTAL INVESTMENTS--97.28%
(Cost $27,122,247) 27,122,305
-------------
OTHER ASSETS AND LIABILITIES--2.72%
Cash Equivalents 282,036
Other Assets and Liabilities (net) 475,729
-------------
NET ASSETS--100.00% $ 27,880,070
-------------
-------------
</TABLE>
+ Adjustable Rate
8
<PAGE>
SHORT TERM GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $27,122,247)............................. $ 27,122,305
Accrued interest receivable.................................................................... 470,464
Cash equivalents............................................................................... 282,036
Other assets................................................................................... 5,265
--------------
Total assets................................................................................. 27,880,070
--------------
LESS LIABILITIES:
Total liabilities............................................................................ 0
--------------
Net assets..................................................................................... $ 27,880,070
--------------
--------------
REPRESENTED BY:
Paid-in capital................................................................................ $ 28,229,268
Realized net loss on investments............................................................... (349,256)
Net unrealized appreciation of investments..................................................... 58
--------------
$ 27,880,070
--------------
--------------
Net asset value, purchase and redemption price per outstanding capital share (2,794,994 capital
shares outstanding)........................................................................... $ 9.98
--------------
--------------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1995 December 31, 1994
------------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................................. $ 1,523,439 $ 1,230,867
Net realized loss on investments and options....................... (257,536) (57,661)
Change in unrealized appreciation (depreciation) on investments.... 1,360,958 (1,174,276)
------------------- -------------------
Increase (decrease) in net assets from operations................ 2,626,861 (1,070)
------------------- -------------------
DISTRIBUTION TO SHAREHOLDERS:
From net investment income......................................... (1,523,442) (1,227,443)
------------------- -------------------
Decrease in net assets from distributions........................ (1,523,442) (1,227,443)
------------------- -------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 228,201 and 94,768 capital shares........... 2,264,736 923,304
Proceeds from 154,571 and 126,061 capital shares issued in
reinvestment of distributions..................................... 1,523,106 1,227,258
Redemption of 151,085 and 259,905 capital shares................... (1,492,184) (2,538,457)
------------------- -------------------
Increase (decrease) in net assets from fund share transactions..... 2,295,658 (387,895)
------------------- -------------------
Net increase (decrease) in net assets.............................. 3,399,077 (1,616,408)
Net assets, beginning of period.................................. 24,480,993 26,097,401
------------------- -------------------
Net assets, end of period........................................ $ 27,880,070 $ 24,480,993
------------------- -------------------
------------------- -------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
SHORT TERM GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest..................................................... $ 1,655,743
-----------
Total investment income.................................... 1,655,743
-----------
EXPENSES:
FEES PAID TO ANALYTIC INVESTMENT MANAGEMENT (THE ADVISER):
Investment advisory and management fees.................... 79,300
Transfer agent and accounting fees......................... 56,300
Registration expenses........................................ 7,331
Directors' fees and expenses................................. 15,272
Custodian fees............................................... 7,852
Legal fees................................................... 6,158
Auditing..................................................... 27,673
Organizational Expenses...................................... 2,746
Shareholder services, reports and notices.................... 9,610
Insurance and other expenses................................. 4,662
-----------
216,904
Reimbursed expenses by the adviser........................... (84,600)
-----------
Net Expenses............................................... 132,304
-----------
Net investment income........................................ 1,523,439
-----------
REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND
OPTIONS:
Realized gains (losses):
Proceeds from sales of investments........................... $ 12,383,777
Cost of investments sold..................................... 12,641,313
-------------
Realized net loss on investments............................. (257,536)
Unrealized gains (losses):
Change in unrealized appreciation on investments............. 1,360,958
-----------
Net realized and unrealized loss on investments and
options................................................... 1,103,422
-----------
Net increase in net assets from operations............... $ 2,626,861
-----------
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
FIXED INCOME SECURITIES
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ---------- ----------- ---------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--23.18%
$ 350,000 Treasury Note 5.250% 7/31/98 $ 350,110
1,000,000 Treasury Note 5.625% 11/30/00 1,009,375
500,000 Treasury Note 5.875% 6/30/00 510,234
250,000 Treasury Note 6.250% 2/15/03 261,016
150,000 Treasury Note 6.375% 1/15/99 154,641
250,000 Treasury Note 6.375% 8/15/02 262,266
1,500,000 Treasury Note 6.500% 5/15/05 1,597,266
300,000 Treasury Note 7.500% 11/15/16 351,750
200,000 Treasury Note 8.000% 11/15/21 312,695
200,000 Treasury Note 8.000% 5/15/01 223,719
250,000 Treasury Note 8.500% 11/15/00 282,891
125,000 Treasury Note 8.875% 5/15/00 141,914
275,000 Treasury Note 9.125% 5/15/99 306,926
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $5,647,625) 5,764,803
---------------
U.S. MORTGAGE BACKED SECURITIES--17.99%
1,225,000 Federal Home Loan Mortgage Corporation 7.000% 12/13/25 1,235,719
54,229 Federal Home Loan Mortgage Corporation 8.500% 6/1/96 54,507
46,681 Federal Home Loan Mortgage Corporation 8.500% 6/1/96 46,927
119,828 Federal Home Loan Mortgage Gold 8.000% 5/1/22 124,172
1,225,000 Federal National Mortgage Association 7.000% 12/13/25 1,234,571
148,028 Federal National Mortgage Association 8.500% 6/1/08 159,734
105,977 Federal National Mortgage Association 8.500% 8/1/17 116,980
617,960 Government National Mortgage Association 6.500% 11/1/23 612,934
+ 149,626 Government National Mortgage Association 7.000% 7/20/23 153,320
125,182 Government National Mortgage Association 7.500% 9/15/22 128,741
150,902 Government National Mortgage Association 7.500% 7/15/23 155,194
90,846 Government National Mortgage Association 8.000% 12/15/22 94,645
71,743 Government National Mortgage Association 8.500% 9/15/21 75,328
40,149 Government National Mortgage Association 9.500% 2/15/21 43,089
52,823 Government National Mortgage Association 9.500% 11/15/02 55,843
13,403 Government National Mortgage Association 10.000% 6/15/20 14,754
53,924 Government National Mortgage Association 10.000% 10/15/20 59,350
45,669 Government National Mortgage Association 10.000% 10/15/20 50,253
52,011 Government National Mortgage Association 10.000% 11/15/20 57,245
---------------
TOTAL U.S. MORTGAGE BACKED SECURITIES
(Cost $4,420,372) 4,473,306
---------------
</TABLE>
11
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ---------- ----------- ---------------
U.S. AGENCY OBLIGATIONS--20.40%
<C> <S> <C> <C> <C>
$ 500,000 Federal Home Loan Bank Medium Term Note 5.880% 8/20/03 $ 503,203
200,000 Federal Farm Credit Bank 8.050% 5/21/07 205,938
1,000,000 Federal Farm Credit Bank Note 6.380% 5/1/96 1,002,656
100,000 Federal Home Loan Bank 6.320% 12/4/97 101,687
175,000 Federal Home Loan Mortgage Corporation 6.450% 10/20/99 175,295
525,000 Federal National Mortgage Association 6.360% 8/16/00 541,180
200,000 Federal National Mortgage Association 7.550% 4/22/02 219,750
400,000 Federal National Mortgage Association 7.650% 3/10/05 448,625
300,000 Federal National Mortgage Association 7.900% 4/10/02 308,531
200,000 Private Export Funding Corporation 6.900% 1/31/03 212,698
250,000 Private Export Funding Corporation 9.450% 12/31/99 284,753
500,000 Student Loan Marketing Association 6.050% 9/14/00 508,907
300,000 Tennessee Valley Authority 6.000% 1/15/97 301,172
250,000 Tennessee Valley Authority 6.375% 6/15/05 258,867
---------------
TOTAL U.S. AGENCY OBLIGATIONS
(Cost $4,976,759) 5,073,262
---------------
CORPORATE OBLIGATIONS--13.56%
95,000 African Development Bank 6.750% 10/1/04 99,909
125,000 Amoco Canada Corporation Bond 6.750% 2/15/05 131,758
161,000 Atlantic Richfield Corporation 10.250% 7/2/00 173,959
100,000 Australia Commonwealth 8.375% 3/15/17 121,347
170,000 Carolina Power & Light 9.000% 4/1/22 181,340
100,000 Dupont Note 6.000% 12/1/01 99,906
100,000 Dupont Note 8.500% 2/15/03 111,721
220,000 Ford Capital BV 9.500% 8/9/00 249,082
280,000 General Electric Capital 8.500% 7/24/08 332,399
200,000 KFW International Finance 7.625% 2/15/04 221,000
105,000 Kingdom of Sweden 11.125% 6/1/15 159,129
250,000 Kingdom of Sweden 12.750% 10/15/97 280,367
250,000 Liberty Mutual Corporation 8.500% 7/8/96 253,281
100,000 Limited 8.875% 8/15/99 109,604
250,000 McGraw Hill, Inc. 9.430% 9/1/00 286,485
250,000 Norddeutsche Landesbank Corporate 6.875% 3/10/03 265,092
250,000 Premark Corporation Note 10.500% 9/15/00 294,411
---------------
TOTAL CORPORATE OBLIGATIONS
(Cost 3,314,266) 3,370,790
---------------
</TABLE>
12
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ---------- ----------- ---------------
ZERO COUPON BONDS--1.78%
<C> <S> <C> <C> <C>
$ 250,000 New England Life 2/1/99 $ 208,164
50,000 Kingdom of Sweden 4/1/04 30,554
1,000,000 Resolution Funding Corp. 1/15/21 204,567
---------------
TOTAL ZERO COUPON BONDS
(Cost $391,989) 443,285
---------------
TOTAL FIXED INCOME SECURITIES--76.91%
(Cost $18,751,011) $ 19,125,446
---------------
---------------
</TABLE>
+ Adjustable Rate
13
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COMMON STOCKS AND OPTIONS
Investments
-----------------------
Outstanding Options (* Indicates Put)
----------------------------------------------------
Market Value
-----------------
(CONTINUED)
<S> <C> <C> <C> <C> <C> <C> <C>
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
AUTO RELATED--0.00%
Cooper Tire & Rubber Co. 1,000 Feb 96 25 781
-------
781
-------
BANKS/SAVINGS & LOANS--0.33%
Mellon Bank 1,500 $ 80,625 1,500 Mar 96 45* 469
----------- -------
80,625 469
----------- -------
BREWERY/SPIRITS & TOBACCO--0.29%
RJR Nabisco Holdings Corporation 2,000 61,750 2,000 Mar 96 30* 2,500
2,000 Jan 96 30 2,500
U S T, Inc. 1,500 May 96 30 6,469
----------- -------
61,750 11,469
----------- -------
BROAD-BASED INDEXES--0.28%
Institutional Index 4,000 Jan 96 640 20,250
Major Market Index--Reduced Value 3,500 Dec 96 40 49,875
-------
70,125
-------
BROADCAST RADIO & TELEVISION--0.00%
Comcast Corporation 1,500 Jan 96 20 94
-------
94
-------
CHEMICALS--0.35%
Morton International 5,000 Aug 96 35 19,063
Union Carbide Corporation 2,000 Apr 96 37.5* 4,500
Witco Corporation 2,500 73,125 2,500 Jan 96 30 1,719
----------- ------- --------
73,125 19,063 6,219
----------- ------- --------
COMPUTER SERVICES/SOFTWARE--0.01%
C U C International, Inc.** 2,000 Feb 96 35 3,250
-------
3,250
-------
</TABLE>
14
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COMMON STOCKS AND OPTIONS
Investments
-----------------------
Outstanding Options (* Indicates Put)
----------------------------------------------------
Market Value
-----------------
(CONTINUED)
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
COMPUTERS--0.75%
<S> <C> <C> <C> <C> <C> <C> <C>
Silicon Graphic, Inc.** 1,500 $ 41,250 1,500 May 96 30 5,250
Storage Technology** 5,000 119,375 5,000 Mar 96 30* 31,250
----------- ------- --------
160,625 31,250 5,250
----------- ------- --------
ELECTRIC/GAS/WATER UTILITIES--0.01%
Southern California Edison Corporation 2,500 Apr 96 17.5 1,484
-------
1,484
-------
ELECTRONICS--1.53%
Loral Corporation 1,500 Apr 96 30* 563
Motorola, Inc. 4,000 228,000 4,000 Apr 96 55 25,500
Texas Instruments, Inc. 4,000 207,000 4,000 Apr 96 50 27,500
----------- --------
435,000 53,563
----------- --------
ENVIRONMENTAL CONTROL--0.02%
WMX Techonolgies, Inc. 2,000 Feb 96 30 1,750
1,500 Jan 97 35 1,500
Wheelabrator Technology, Inc.** 2,500 Apr 96 17.5 1,328
-------
4,578
-------
FINANCIAL SERVICES & BROKERS--0.23%
Advanta Corporation Class B 3,000 Jan 96 40 281
Block (H.& R.), Inc. 1,500 60,750 1,500 Jan 96 40 2,719
----------- ------- --------
60,750 281 2,719
----------- ------- --------
FOOD PROCESSING & WHOLESALE--1.02%
Heinz (H.J.) Co. 2,100 69,563 2,100 Jan 96 23.375 20,475
I B P, Inc. 2,000 101,000 2,000 Feb 96 45 14,500
Coca-Cola Co. 2,500 185,625 2,500 Jan 97 50 66,563
----------- --------
356,188 101,538
----------- --------
FOREST PRODUCTS & PAPER--0.68%
International Paper Co. 5,000 189,375 5,000 Apr 96 35 20,000
----------- --------
189,375 20,000
----------- --------
</TABLE>
15
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COMMON STOCKS AND OPTIONS
Investments
-----------------------
Outstanding Options (* Indicates Put)
----------------------------------------------------
Market Value
-----------------
(CONTINUED)
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
INSURANCE--0.23%
<S> <C> <C> <C> <C> <C> <C> <C>
American General Corporation 1,500 $ 52,312 1,500 Apr 96 30 8,062
Foundation Health Corporation** 1,000 Feb 96 30 13,000
----------- ------- --------
52,312 13,000 8,062
----------- ------- --------
MEDICAL SUPPLIES & SERVICES--0.38%
Surgical Care Affiliates, Inc. 2,000 Apr 96 25 18,000
United States Surgical Corporation 3,000 64,125 3,000 Apr 96 25* 12,000
----------- -------
64,125 30,000
----------- -------
OIL/GAS DOMESTIC--0.35%
Phillips Petroleum 2,000 68,250 2,000 Feb 96 32.5* 687
Unocal Corporation 2,500 Jan 96 30 312
Williams Companies 1,000 Feb 96 35 9,125
2,000 Feb 96 40 8,500
----------- -------
68,250 18,624
----------- -------
OIL/GAS INTERNATIONAL--1.06%
Amoco Corporation 2,500 179,688 2,500 Jan 97 55 44,375
Anadarko Petroleum Corporation 2,500 Feb 96 50 10,938
Exxon Corporation 2,000 160,250 2,000 Jan 97 60 41,750
----------- ------- --------
339,938 10,938 86,125
----------- ------- --------
PHARMACEUTICALS & BIOTECHNOLOGY--1.09%
Genentech 1,500 79,500 1,500 Jan 96 50* 140
Molecular Biosystems, Inc.** 6 41
Pharmacia and Upjohn Co. 9,135 353,981 6,300 Jan 96 30 163,012
----------- ------- --------
433,522 140 163,012
----------- ------- --------
RETAIL GENERAL/DEPARTMENT--0.75%
Nordstrom, Inc. 1,500 60,750 1,500 Jan 96 40 2,250
Sears Roebuck & Co. 3,000 117,000 3,000 Jan 96 30* 94
2,000 Apr 96 35 10,375
----------- ------- --------
177,750 10,469 2,250
----------- ------- --------
</TABLE>
16
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COMMON STOCKS AND OPTIONS
Investments
-----------------------
Outstanding Options (* Indicates Put)
----------------------------------------------------
Market Value
-----------------
(CONTINUED)
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
SPECIALTY RETAIL/WHOLESALE--0.42%
<S> <C> <C> <C> <C> <C> <C> <C>
Toys "R" Us, Inc.** 2,000 $ 43,500 2,000 Jan 96 22.5 1,250
Woolworth F W** 5,000 65,000 2,500 Jan 96 12.5 1,875
2,500 Jan 96 15 312
----------- --------
108,500 3,437
----------- --------
TELECOMMUNICATION UTILITIES--0.04%
Pacific Telesis Group 5,000 Feb 96 32.5 9,063
-------
9,063
-------
TELECOMMUNICATION & EQUIPMENT--0.00%
Airtouch Communications** 2,000 Jan 96 25* 250
--------
250
--------
TOTAL COMMON STOCKS--10.70%
(Cost $2,594,671) $ 2,661,835
-----------
PURCHASED PUT AND CALL OPTIONS OUTSTANDING--0.95%
(Cost $200,991)
235,078
-----------
TOTAL INVESTMENTS--88.56%
(Cost $21,546,673) $22,022,359
TOTAL LIABILITY FOR PUT AND CALL OPTIONS OUTSTANDING--(1.82%)
(452,425)
OTHER ASSETS AND LIABILITIES--13.26%
Cash Equivalents 3,376,539
Other Assets and Liabilities (net) (78,728)
-----------
NET ASSETS--100.00% $24,867,745
-----------
-----------
</TABLE>
** Non-income producing security
17
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $21,546,673)............................................ $ 22,022,359
Cash equivalents.............................................................................................. 3,376,539
Accrued interest receivable................................................................................... 313,373
Dividends receivable.......................................................................................... 4,075
Receivable for investments sold............................................................................... 122,127
Other assets.................................................................................................. 6,247
--------------
Total assets................................................................................................ 25,844,720
--------------
LESS LIABILITIES:
Options outstanding at market value (premiums received $410,168).............................................. 452,425
Payable for investments purchased............................................................................. 438,640
Payable for capital shares redeemed........................................................................... 85,910
--------------
Total liabilities........................................................................................... 976,975
--------------
Net assets.................................................................................................... $ 24,867,745
--------------
--------------
REPRESENTED BY:
Paid-in capital............................................................................................... $ 24,466,474
Undistributed investment income............................................................................... 557
Realized net loss on investments.............................................................................. (32,715)
Net unrealized appreciation of investments.................................................................... 433,429
--------------
$ 24,867,745
--------------
--------------
Net asset value, purchase and redemption price per outstanding capital share (2,387,766 capital shares
outstanding)................................................................................................ $ 10.41
--------------
--------------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1995 December 31, 1994
------------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................................. $ 487,209 $ 425,541
Net realized gain (loss) on investments and options................ 26,252 (61,666)
Increase (decrease) in unrealized appreciation on investments and
options........................................................... 778,853 (522,992)
------------------- -------------------
Increase (decrease) in net assets from operations................ 1,292,314 (159,117)
------------------- -------------------
DISTRIBUTION TO SHAREHOLDERS:
From net investment income......................................... (488,984) (424,511)
From net realized gains............................................ 0 (3,542)
------------------- -------------------
Decrease in net assets from distributions........................ (488,984) (428,053)
------------------- -------------------
FUND SHARE TRANSACTIONS:
Proceeds from of sales 1,901,469 and 176,690 capital shares........ 19,536,159 1,770,765
Proceeds from 39,530 and 41,175 capital shares issued in
reinvestment of distributions.................................... 396,939 400,820
Redemption of 201,131 and 355,762 capital shares................... (2,023,698) (3,495,584)
------------------- -------------------
Increase (decrease) in net assets from fund share transactions..... 17,909,400 (1,323,999)
------------------- -------------------
Net increase (decrease) in net assets.............................. 18,712,730 (1,911,169)
Net assets, beginning of period.................................. 6,155,015 8,066,184
------------------- -------------------
Net assets, end of period........................................ $ 24,867,745 $ 6,155,015
------------------- -------------------
------------------- -------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends............................................................. $ 31,278
Interest.............................................................. 511,296
------------
Total investment income............................................. 542,574
------------
EXPENSES:
FEES PAID TO ANALYTIC INVESTMENT MANAGEMENT (THE ADVISER):
Investment advisory and management fees............................. 36,600
Transfer agent and accounting fees.................................. 17,900
Registration fees..................................................... 3,685
Directors' fees and expenses.......................................... 3,856
Custodian fees........................................................ 4,676
Organizational expenses............................................... 3,259
Legal fees............................................................ 1,534
Auditing fees......................................................... 9,049
Shareholder services, reports and notices............................. 2,170
Insurance and other expenses.......................................... 1,115
------------
Total expenses...................................................... 83,844
Expenses paid indirectly.............................................. (979)
Reimbursed expenses by the adviser.................................... (27,500)
------------
Net expenses........................................................ 55,365
------------
Net investment income................................................. 487,209
------------
REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND OPTIONS:
Realized gains:
Proceeds from sales of investments.................................... $ 5,756,907
Cost of investments sold.............................................. 5,756,789
------------
Realized net gain on investments...................................... 118
------------
Premiums received on options closed................................... 36,018
Cost of closing purchase transactions................................. 21,205
------------
Realized net gain on options closed................................... 14,813
Premiums received on options expired.................................. 11,321
------------
Realized net gain on options.......................................... 26,134
------------
Total realized net gain............................................. 26,252
Unrealized gains (losses):
Change in unrealized appreciation of investments...................... 793,786
Change in unrealized depreciation of options outstanding.............. (14,933)
------------
Net change in unrealized appreciation............................... 778,853
------------
Net realized and unrealized gain on investments and options......... 805,105
------------
Net increase in net assets from operations........................ $ 1,292,314
------------
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
AEROSPACE & DEFENSE--1.87%
Boeing Co. 200 $ 15,675
McDonnell Douglas Corporation 300 27,600
-------------
43,275
-------------
AIR TRANSPORTATION--0.32%
A.M.R. Corporation** 100 7,425
-------------
7,425
-------------
AUTO RELATED--0.55%
Genuine Parts Co. 200 8,200
Goodyear Tire & Rubber Co. 100 4,538
-------------
12,738
-------------
AUTOS & TRUCKS--1.42%
Chrysler Corporation 100 5,538
Ford Motor Co. 400 11,600
General Motors Corporation 300 15,863
-------------
33,001
-------------
BANKS/SAVINGS & LOANS--4.99%
Banc One Corporation 247 9,324
Bankamerica Corporation 400 25,900
Barnett's Bank, Inc. 100 5,900
Citicorp 400 26,900
Chemical Banking Corporation 200 11,750
J.P. Morgan & Co. 100 8,025
Nationsbank Corporation 400 27,850
-------------
115,649
-------------
BREWERY/SPIRITS & TOBACCO--0.97%
American Brands, Inc. 100 4,463
RJR Nabisco Holdings Corporation 360 11,115
Seagram Co., Ltd. 200 6,925
-------------
22,503
-------------
</TABLE>
20
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
BROAD-BASED INDEXES--13.20%
<S> <C> <C> <C> <C> <C> <C> <C>
NASDAQ 100 Index $ 700 Mar 96 630 7,613
S & P 100 Index-OEX 1,000 Feb 96 560* 3,375
1,500 Jan 96 570 27,750
S & P 500 Index-SPX 1,600 Mar 96 620* 21,200
S & P 500 Depository Receipt 4,000 245,938
------------- ---------
245,938 59,938
------------- ---------
BROADCAST RADIO & TELEVISION--0.98%
Capital Citites/ABC, Inc. 100 12,338
US West Media Group** 200 3,800
Viacom, Inc. Class A** 16 740
Viacom, Inc. Class B** 121 5,732
-------------
22,610
-------------
BUILDING/PACKAGE MATERIALS--0.27%
Masco Corporation 200 6,275
-------------
6,275
-------------
CHEMICALS--3.42%
Du Pont (E.I.) De Nemours 500 34,938
Dow Chemical 100 7,038
Monsanto Co. 100 12,250
P.P.G. Industries, Inc. 300 13,725
Union Carbide Corporation 300 11,250
-------------
79,201
-------------
COMPUTER SERVICES/SOFTWARE--2.11%
Microsoft Corporation** 300 26,325
Oracle Corporation** 400 16,950
Sybase, Inc.** 200 7,200 200 Jan 97 35 1,613
------------- -----------
50,475 1,613
-------------
</TABLE>
21
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
COMPUTERS--2.29%
<S> <C> <C> <C> <C> <C> <C> <C>
Apple Computer, Inc. 100 $ 3,188
Compaq Computer Corporation** 200 9,600
Digital Equipment Corporation** 200 12,825
International Business Machines
Corporation 300 27,525
-------------
53,138
-------------
COSMETICS & PERSONAL CARE--0.78%
Avon Products, Inc. 100 7,537
Gillette Co. 200 10,425
-------------
17,962
-------------
ELECTRIC/GAS/WATER UTILITIES--3.31%
Consolidated Edison of New York 200 6,400
Dominion Resources, Inc. 200 8,250
Duke Power Co. 200 9,475
Entergy Corporation 400 11,700
Pacific Gas & Electric 500 14,187
Southern California Edison Corporation 400 7,100
Southern Co. 800 19,700
-------------
76,812
-------------
ELECTRICAL EQUIPMENT--0.33%
A.M.P., Inc., Pennsylvania 200 7,675
-------------
7,675
-------------
ELECTRONICS--6.41%
General Electric Co. 800 57,600
General Motors--Class E 300 15,600
Hewlett-Packard Co. 300 25,125
Intel Corporation 400 22,700
Motorola, Inc. 400 22,800
Polaroid Corporation 100 4,737
-------------
148,562
-------------
</TABLE>
22
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
ENTERTAINMENT/ADVERTISING--1.15%
<S> <C> <C> <C> <C> <C> <C> <C>
Disney (Walt) Co. 200 $ 11,800
Harrah's Entertainment** 300 7,275
Time Warner, Inc. 200 7,575
-------------
26,650
-------------
ENVIRONMENTAL CONTROL--0.25%
Browning-Ferris Industries 200 5,900
-------------
5,900
-------------
FINANCIAL SERVICES & BROKERS--1.99%
American Express Co. 300 12,413
Edwards (A.G.), Inc. 250 5,969
Federal National Mortgage Association 100 12,412
Merrill Lynch & Co. 300 15,300
-------------
46,094
-------------
FOOD PROCESSING & WHOLESALE--7.36%
Archer Daniels Midland 630 11,340
Coca-Cola Co. 700 51,975
General Mills, Inc. 200 11,550
Kellogg Co. 200 15,450
Pepsico, Inc. 400 22,350
Philip Morris Companies, Inc. 500 45,250
Sara Lee Corporation 400 12,750
-------------
170,665
-------------
FOREST PRODUCTS & PAPER--1.41%
International Paper Co. 200 7,575
Kimberly Clark Corporation 200 16,550
Weyerhaeuser Co. 200 8,650
-------------
32,775
-------------
</TABLE>
23
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
HOME CONSTRUCTION/TOOLS/FURNISHINGS--0.51%
<S> <C> <C> <C> <C> <C> <C> <C>
Fluor Corporation 100 $ 6,600
Whirlpool Corporation 100 5,325
-------------
11,925
-------------
HOUSEHOLD PRODUCTS/WARES--1.85%
Colgate-Palmolive Co. 100 7,025
Procter & Gamble Co. 400 33,200
Rubbermaid, Inc. 100 2,550
-------------
42,775
-------------
INSURANCE--2.51%
Aetna Life & Casualty Company 100 6,925
Allstate Corporation 185 7,608
American General Corporation 200 6,975
America International Group 300 27,750
Reliastar Financial Corporation 200 8,875
-------------
58,133
-------------
IRON & STEEL--0.25%
Nucor Corporation 100 5,712
-------------
5,712
-------------
MACHINE CONSTRUCTIONS/DIVERSIFIED--0.51%
Caterpillar, Inc. 200 11,750
-------------
11,750
-------------
MEDICAL SUPPLIES & SERVICES--0.80%
Baxter International, Inc. 200 8,375
Columbia HCA/Healthcare Corporation 200 10,150
-------------
18,525
-------------
Metals & Mining--0.72%
Aluminum Company of America 200 10,575
Phelps Dodge Corporation 100 6,225
-------------
16,800
-------------
</TABLE>
24
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
MISCELLANEOUS MANUFACTURING--1.56%
<S> <C> <C> <C> <C> <C> <C> <C>
Allied Signal Corporation 200 $ 9,500
Eastman Kodak Co. 200 13,400
Minnesota Mining & Manufacturing 200 13,250
-------------
36,150
-------------
OFFICE/BUSINESS EQUIPMENT--0.24%
Harris Corporation 100 5,462
-------------
5,462
-------------
OIL/GAS DOMESTIC--1.62%
Atlantic Richfield Co. 100 11,075
Occidental Petroleum 400 8,550
Pennzoil Co. 100 4,225
Tenneco, Inc. 100 4,962
Unocal Corporation 300 8,737
-------------
37,549
-------------
OIL/GAS INTERNATIONAL--7.38%
Amoco Corporation 300 21,563
Chevron Corporation 400 21,000
Exxon Corporation 600 48,075
Mobil Corporation 200 22,400
Royal Dutch Petroleum 300 42,338
Texaco, Inc. 200 15,700
-------------
171,076
-------------
OIL EQUIPMENT/EXPLORATION & SERVICES--0.43%
Dresser Industries, Inc. 200 4,875
Halliburton Co. 100 5,062
-------------
9,937
-------------
</TABLE>
25
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
PHARMACEUTICALS & BIOTECHNOLOGY--8.46%
<S> <C> <C> <C> <C> <C> <C> <C>
Abbott Laboratories 400 $ 16,700
American Home Products Corporation 100 9,700
Bristol Myers Squibb Co. 200 17,175
Johnson & Johnson 400 34,250
Merck & Co. 700 46,025
Pfizer, Inc. 400 25,200
Pharmacia and
Upjohn Co. 145 5,619
Schering-Plough 400 21,900
Warner-Lambert 200 19,425
-------------
195,994
-------------
PUBLISHING--0.54%
Dun & Bradstreet Corporation 100 6,475
Gannett, Inc. 100 6,137
-------------
12,612
-------------
RAILROAD/TRUCKING/MISCELLANEOUS--0.97%
Norfolk Southern Corporation 200 15,875
Union Pacific Corporation 100 6,600
-------------
22,475
-------------
RESTAURANTS & LODGING--1.03%
Darden Restaurants, Inc. 200 2,375
McDonald's Corporation 400 18,050
Promus Hotel Corporation** 150 3,337
-------------
23,762
-------------
</TABLE>
26
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
RETAIL GENERAL/DEPARTMENT--2.91%
<S> <C> <C> <C> <C> <C> <C> <C>
Gap, Inc. 200 $ 8,400
Penney (J.C.) Co. 200 9,525
K Mart Corporation 300 2,175
May Department Stores Co. 300 12,675
Sears Roebuck & Co. 200 7,800
Wal-Mart Stores, Inc. 1,200 26,850
-------------
67,425
-------------
RETAIL GROCERY/DRUG STORES--0.28%
Albertsons, Inc. 200 6,575
-------------
6,575
-------------
SPECIALTY RETAIL/WHOLESALE--1.34%
Home Depot Inc. 95 4,548
Lowe's Companies 200 6,700
Mattel, Inc. 500 15,375
Toys "R" Us, Inc.** 200 4,350
-------------
30,973
-------------
TELECOMMUNICATION UTILITIES--7.79%
Ameritech Corporation 200 $ 11,800
Bell Atlantic Corporation 400 26,750
Bellsouth Corporation 400 17,400
G.T.E. Corporation 300 13,200
M.C. I. Communications 300 7,837
Nynex Corporation 400 21,600
S.B.C. Communications, Inc. 400 23,000
American Telephone & Telegraph 800 51,800
U.S. West, Inc. 200 7,150
-------------
180,537
-------------
</TABLE>
27
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1995
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
--------------------------------------------------------------
Investments Market Value
-------------------------- ----------------------
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
----------- ------------- ----------- ----------- ------------ --------- -----------
TELECOMMUNICATIONS & EQUIPMENT--0.56%
<S> <C> <C> <C> <C> <C> <C> <C>
Airtouch Communications** 200 $ 5,650
D.S.C. Communications** 200 7,375
-------------
13,025
-------------
TOTAL COMMON STOCK--95.12%
(Cost $1,784,497) $ 2,204,495
-------------
TOTAL OPTIONS PURCHASED--2.58%
(Cost $59,938) 59,938
-------------
TOTAL INVESTMENTS--97.71%
(Cost $1,835,685) 2,264,433
-------------
TOTAL OPTIONS SOLD--(0.07%)
(Premiums $1,292) (1,613)
-------------
OTHER ASSETS AND LIABILITIES--2.36%
Cash Equivalents 42,632
Other Assets and Liabilities (net) 12,149
-------------
NET ASSETS--100.00%
$ 2,317,601
-------------
-------------
</TABLE>
- ------------------------
** Non-income producing security
28
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $1,835,685).............................................. $ 2,264,433
Cash equivalents............................................................................................... 42,632
Dividends receivable........................................................................................... 3,414
Interest receivable............................................................................................ 152
Other assets................................................................................................... 8,750
-------------
Total assets................................................................................................. 2,319,381
-------------
LESS LIABILITIES:
Options outstanding at market value (premiums received $1,292)................................................. 1,613
Payable for capital shares redeemed............................................................................ 167
-------------
Total liabilities............................................................................................ 1,780
-------------
Net assets..................................................................................................... $ 2,317,601
-------------
-------------
REPRESENTED BY:
Paid-in capital................................................................................................ $ 1,889,174
Net unrealized appreciation of investments..................................................................... 428,427
-------------
$ 2,317,601
-------------
-------------
Net asset value, purchase and redemption price per outstanding capital share (179,121 capital shares
outstanding).................................................................................................. $ 12.94
-------------
-------------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended December Year Ended December
31, 1995 31, 1994
------------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................................. $ 37,243 $ 38,246
Net realized gain (loss) on investments and options................ 25,830 (6,665)
Change in unrealized appreciation (depreciation) on investments and
options........................................................... 475,306 (35,796)
------------------- -------------------
Increase (decrease) in net assets from operations................ 538,379 (4,215)
------------------- -------------------
DISTRIBUTION TO SHAREHOLDERS:
From net investment income......................................... (37,803) (37,990)
From net realized gains............................................ (19,165) 0
------------------- -------------------
Decrease in net assets from distributions........................ (56,968) (37,990)
------------------- -------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 79,259 and 68,332 capital shares............ 918,435 685,379
Proceeds from 4,599 and 3,782 capital shares issued in reinvestment
of distributions.................................................. 56,617 37,254
Redemption of 58,462 and 7,267 capital shares...................... (650,359) (71,487)
------------------- -------------------
Increase in net assets from fund share transactions................ 324,693 651,146
------------------- -------------------
Net increase in net assets......................................... 806,104 608,941
Net assets, beginning of period.................................. 1,511,497 902,556
------------------- -------------------
Net assets, end of period........................................ $ 2,317,601 $ 1,511,497
------------------- -------------------
------------------- -------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
29
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends................................................................. $ 44,580
Interest.................................................................. 2,185
----------
Total investment income................................................. 46,765
----------
EXPENSES:
FEES PAID TO ANALYTIC INVESTMENT MANAGEMENT (THE ADVISER):
Investment advisory and management fees................................. 11,000
Transfer agent and accounting fees...................................... 4,600
Registration expenses..................................................... 2,915
Organizational expenses................................................... 4,565
Custodian fees............................................................ 1,419
Directors' fees and expenses.............................................. 993
Auditing fees............................................................. 3,300
Legal fees................................................................ 400
Shareholder services, reports and notices................................. 583
Insurance and other expenses.............................................. 287
----------
Total expenses.......................................................... 30,062
Expenses paid indirectly.................................................. (5,240)
Reimbursed expenses by the Adviser........................................ (15,300)
----------
Net expenses............................................................ 9,522
----------
Net investment income................................................. 37,243
----------
REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND OPTIONS:
Realized gains:
Proceeds from sales of investments........................................ $ 370,439
Cost of investments sold.................................................. 346,699
----------
Realized net gain on investments.......................................... 23,740
----------
Premiums received on options closed....................................... 6,920
Cost of closing purchase transactions..................................... 4,830
----------
Realized net gain on options closed..................................... 2,090
----------
Total realized net gain................................................... 25,830
Unrealized gains (losses):
Change in unrealized appreciation of investments.......................... 477,172
Change in unrealized depreciation of options outstanding.................. (1,866)
----------
Net change in unrealized appreciation..................................... 475,306
----------
Net realized and unrealized gain on investments and options............... 501,136
----------
Net increase in net assets from operations.............................. $ 538,379
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
30
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Analytic Series Fund (the "Fund") was organized on November 18, 1992, under
the laws of the state of Delaware, and is registered under the Investment
Company Act of 1940, as amended, as a no load, open-end diversified investment
company or "mutual fund" consisting of three separate portfolios. These
portfolios are: the Short Term Government Portfolio, the Master Fixed Income
Portfolio and the Enhanced Equity Portfolio. Operations commenced on November
30, 1992.
INVESTMENT VALUATION--Investments and outstanding options (collectively referred
to as investments) are stated at market value. Investments traded on securities
exchanges are valued at the last sale price on the day of valuation or, in the
absence of a sale that day, at the mean between the last current bid and asked
prices. Bonds and fixed income investments will be valued on the basis of prices
provided by a pricing service when such prices are believed to reflect fair
market value.
INVESTMENT INCOME AND INVESTMENT TRANSACTIONS--Dividend income is recorded on
the ex-dividend date and interest income is accrued as earned. Investment
transactions are accounted for on the trade date (the date the order to buy or
sell is executed). Realized gains and losses from investment transactions are
reported on an identified cost basis for both financial statement and Federal
income tax purposes.
OPTION ACCOUNTING PRINCIPLES--When a call or put option is written in a
Portfolio, an amount equal to the premium received by the Portfolio is included
in the Portfolio's statement of assets and liabilities as an asset and an
equivalent liability. The amount of the liability will be subsequently
marked-to-market to reflect the current market value of the option written. The
current market value of a traded option is the last sale price or, in the
absence of a sale, the mean between the last current bid and asked prices.
When a call expires on its stipulated expiration date, or if the Portfolio
enters into a closing purchase transaction, the Fund will realize a gain (or
loss if the cost of the closing purchase transaction exceeds the premium
received when the call option was written) without regard to any unrealized gain
or loss on the underlying security, and the liability related to such option
will be extinguished. When a call option is exercised, the Fund will realize a
gain or loss from the sale of the underlying security and the proceeds of the
sale are increased by the premium originally received.
When a Portfolio writes a put option, cash equal to the exercise price is placed
in an interest-bearing escrow account to secure the outstanding put option. When
a put option expires, or if the Portfolio enters into a closing purchase
transaction, the Portfolio will realize a gain or loss on the option
transaction, the cash is released from escrow, and the liability related to such
option is extinguished. When a put option is exercised, the Portfolio uses the
cash in escrow to purchase the security, the cost of the security is reduced by
the premium originally received, and no gain or loss is recognized.
31
<PAGE>
THE SHARE PRICE OF EACH PORTFOLIO--The share price or "net asset value" per
share of each Portfolio is computed once daily at 4:30 P.M. Eastern Time, after
the close of trading of the New York Stock Exchange and various option exchanges
on each day the exchanges are open for trading. The share price for each
Portfolio is calculated by dividing the total value of the Portfolio's assets,
less the sum of liabilities and the value of outstanding options, by the
outstanding shares of the Portfolio.
FEDERAL INCOME TAXES--It is the Fund's intention to comply with the provisions
of the Internal Revenue Code enabling each Portfolio to qualify as a regulated
investment company and, in the manner provided therein, to distribute all of its
taxable income to its shareholders. Accordingly, no provision for income taxes
has been made.
The Short Term Government and the Master Fixed Income Portfolios have unused
capital loss carryfowards of $349,256 and $32,715, respectively, at December 31,
1995. These realized losses are intended to be used to offset future net capital
gains.
The cost of investments (including options) for federal income tax purposes is
the same as for the cost for financial statement purposes at December 31, 1995.
Net unrealized appreciation/(depreciation) of investments and options held at
December 31, 1995, since date of acquisition, was:
<TABLE>
<CAPTION>
Aggregate Aggregate
Gross Gross Net Unrealized
Unrealized Gain Unrealized Loss Gain
---------------- --------------- --------------
<S> <C> <C> <C>
Short Term Government Portfolio............. $ 400,416 $ (400,358) $ 58
Master Fixed Income Portfolio............... 674,095 (240,666) 433,429
Enhanced Equity Portfolio................... 469,001 (40,574) 428,427
</TABLE>
ORGANIZATION EXPENSES--Organization expenses will be amortized over a period
from November 30, 1992 not exceeding five years. In the event that Analytic
Investment Management, Inc.(the "Adviser") or any subsequent holder redeems any
of its original shares prior to the end of the five-year period, the proceeds of
the redemption payable in respect of such shares shall be reduced by the pro
rata share (based on the proportionate share of the original shares redeemed to
the total number of original shares outstanding at the time of redemption) of
the unamortized organization expenses as of the date of such redemption. In the
event that the Fund is liquidated prior to the end of the five-year period, the
Adviser (or any subsequent holder) shall bear the unamortized organization
expenses.
2. INVESTMENT MANAGEMENT AGREEMENT AND "AFFILIATED PERSONS"
The Adviser is a wholly-owned subsidiary of United Asset Management Corporation.
32
<PAGE>
As compensation for furnishing investment advisory, management and other
services, and costs and expenses assumed, pursuant to the Investment Management
Agreement each Portfolio of the Fund pays the Adviser an annual fee based on the
average daily net assets of that Portfolio. These annual fee schedules are:
<TABLE>
<S> <C>
Short Term Government Portfolio............................................................ 0.30%
Master Fixed Income Portfolio.............................................................. 0.45%
Enhanced Equity Portfolio.................................................................. 0.60%
</TABLE>
The Adviser also acts as the Fund's transfer agent, dividend disbursing agent
and shareholder relations servicing agent for which each Portfolio pays a fee
based on the number of accounts and the average daily net assets of each
Portfolio. Each Portfolio also pays the Adviser a fee based on its average daily
net assets to perform various accounting services including the calculation of
its daily share price and maintaining its general accounting records. The
Adviser voluntarily agreed to reimburse expenses that exceed 0.45%, 0.60% and
0.70% of average daily net assets for the Short Term Government, Master Fixed
Income and Enhanced Equity Portfolios, respectively, for the years ended
December 31, 1993 and 1994. For the year ended December 31, 1995, the Adviser
voluntarily agreed to reimburse expenses that exceeded 0.50%, 0.70% and 0.80% of
average daily net assets for the Short Term Government, Master Fixed Income and
Enhanced Equity Portfolios, respectively.
At December 31, 1995, seven officers and one trustee of the Fund are also
officers and director of the Adviser.
3. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the year ended December 31, 1995, the cost basis of purchases and proceeds
of sales (including $86,037 premiums for call options exercised in the Master
Fixed Income Portfolio) aggregated:
<TABLE>
<CAPTION>
Cost of Proceeds of
Purchases Sales
------------- -------------
<S> <C> <C>
Short Term Government Portfolio..................................... $ 14,410,482 $ 12,383,777
Master Fixed Income Portfolio....................................... 21,019,335 5,756,789
Enhanced Equity Portfolio........................................... 686,527 370,439
</TABLE>
Transactions in option contracts written in the Master Fixed Income Portfolio
were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premiums
------------- ----------
<S> <C> <C>
Outstanding at beginning of period....................................... 355 $ 117,175
Options written.......................................................... 687 429,948
Options terminated in closing purchase transactions...................... (160) (36,018)
Options expired.......................................................... (259) (89,616)
Options exercised........................................................ (116) (11,321)
----- ----------
Outstanding at December 31, 1995......................................... 507 $ 410,168
----- ----------
----- ----------
</TABLE>
33
<PAGE>
Transactions in option contracts written in the Enhanced Equity Portfolio were
as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premiums
--------------- -----------
<S> <C> <C>
Outstanding at beginning of period....................................... 20 $ 6,920
Options written.......................................................... 2 1,292
Options terminated in closing purchase transactions...................... (20) (6,920)
--- -----------
Outstanding at December 31, 1995......................................... 2 $ 1,292
--- -----------
--- -----------
</TABLE>
At December 31, 1995 , portfolio securities valued at $2,062,313 and $7,200 were
held in escrow by the custodian in connection with covered call options written
in the Master Fixed Income Portfolio and the Enhanced Equity Portfolio,
respectively. There were no option contracts written in the Short Term
Government Portfolio.
4. AFFILIATED SHAREHOLDERS
At December 31, 1995, excluding ownership by the Advisers retirement plan,
certain officers and trustees owned 5% of the Enhanced Equity Portfolio and 6%
of the Short Term Government Portfolio.
5. REIMBURSED EXPENSES
The Fund has entered into an agreement whereby certain operating expenses of the
Fund are reimbursed by a broker, based upon a percentage of commissions earned
by the broker for execution of portfolio transactions. For the year ended
December 31, 1995, such expenses amounted to $5,240 and $979 in the Enhanced
Equity and Master Fixed Income Portfolios, respectively. Gross commission rates
for this broker are consistent with those of other brokers utilized by the Fund.
34
<PAGE>
SHORT TERM GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
One Month
Year Ended Year Ended Year Ended Ended
December 31, December 31, December 31, December 31,
1995 1994 1993 1992
-------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period........................... $ 9.55 $ 10.03 $ 10.03 $ 10.00
-------------- -------------- -------------- ---------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income........... 0.56 0.48 0.53 0.05
Net gains or losses on
securities
(both realized and
unrealized).................... 0.43 (0.48) 0.00 0.03
-------------- -------------- -------------- ---------------
Total from investment
operations................... 0.99 0.00 0.53 0.08
LESS DISTRIBUTIONS
Dividends (from net investment
income)........................ 0.56 0.48 0.53 0.05
Distributions (from capital
gains)......................... 0.00 0.00 0.00 0.00
-------------- -------------- -------------- ---------------
Total distributions........... 0.56 0.48 0.53 0.05
-------------- -------------- -------------- ---------------
Net asset value, end of period.... $ 9.98 $ 9.55 $ 10.03 $ 10.03
-------------- -------------- -------------- ---------------
-------------- -------------- -------------- ---------------
TOTAL RETURN...................... 10.65% 0.00% 5.37% 9.38%+
-------------- -------------- -------------- ---------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000)... $ 27,880 $ 24,481 $ 26,097 $ 7,619
Ratio of expenses to average net
assets**......................... 0.50% 0.45% 0.45% 0.45%+
Ratio of net investment income to
average net assets**............. 5.76% 5.37% 4.91% 5.45%+
Portfolio turnover rate........... 10.15% 3.21% 85.69% 0.00%
</TABLE>
**Net of expense reimbursements of .32%, .40%, .30% and .32% of average net
assets, respectively.
+ Annualized
35
<PAGE>
MASTER FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
One Month
Year Ended Year Ended Year Ended Ended
December 31, December 31, December 31, December 31,
1995 1994 1993 1992
-------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period........................... $ 9.50 $ 10.26 $ 10.06 $ 10.00
-------------- --------------- --------------- ---------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income........... 0.61 0.64 0.67 0.04
Net gains or losses on
securities
(both realized and
unrealized).................... 0.91 (0.75) 0.41 0.06
-------------- --------------- --------------- ---------------
Total from investment
operations................... 1.52 (0.11) 1.08 0.10
LESS DISTRIBUTIONS
Dividends (from net investment
income)........................ 0.61 0.64 0.67 0.04
Distributions (from capital
gains)......................... 0.00 0.01 0.21 0.00
-------------- --------------- --------------- ---------------
Total distributions........... 0.61 0.65 0.88 0.04
-------------- --------------- --------------- ---------------
Net asset value, end of period.... $ 10.41 $ 9.50 $ 10.26 $ 10.06
-------------- --------------- --------------- ---------------
-------------- --------------- --------------- ---------------
TOTAL RETURN...................... 16.43% (1.04)% 10.94% 13.09%+
-------------- --------------- --------------- ---------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000)... $ 24,868 $ 6,155 $ 8,066 $ 9,219
Ratio of expenses to average net
assets (1)....................... 0.69% 0.60% 0.60% 0.60%+
Ratio of net investment income to
average net assets............... 5.99% 7.16% 6.39% 5.63%+
Portfolio turnover rate........... 31.82% 44.30% 105.39% 0.00%
Average commission rate (2)....... 0.0277
</TABLE>
(1) Net of expense reimbursements of .34%, .57%, .44% and .45% of average net
assets, respectively.
(2) The formula for calculating the average commission rate is total commissions
paid divided by the total shares purchased and sold. Each option contract is
100 shares.
+ Annualized
36
<PAGE>
ENHANCED EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
One Month
Year Ended Year Ended Year Ended Ended
December 31, December 31, December 31, December 31,
1995 1994 1993 1992
--------------- --------------- --------------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period........................... $ 9.83 $ 10.15 $ 10.02 $ 10.00
--------------- --------------- --------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income........... 0.23 0.28 0.40 0.01
Net gains or losses on
securities
(both realized and
unrealized).................... 3.22 (0.32) 0.62 0.02
--------------- --------------- --------------- --------------
Total from investment
operations................... 3.45 (0.04) 1.02 0.03
LESS DISTRIBUTIONS
Dividends (from net investment
income)........................ 0.23 0.28 0.40 0.01
Distributions (from capital
gains)......................... 0.11 0.00 0.37 0.00
Return of capital............... 0.00 0.00 0.12 0.00
--------------- --------------- --------------- --------------
Total distributions........... 0.34 0.28 0.89 0.01
--------------- --------------- --------------- --------------
Net asset value, end of period.... $ 12.94 $ 9.83 $ 10.15 $ 10.02
--------------- --------------- --------------- --------------
--------------- --------------- --------------- --------------
TOTAL RETURN...................... 35.36% (0.37)% 10.07% 4.08%+
--------------- --------------- --------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000)... $ 2,318 $ 1,511 $ 903 $ 12,823
Ratio of expenses to average net
assets (1)....................... 0.50% 0.24% 0.57% 0.70%+
Ratio of net investment income to
average net assets............... 2.02% 3.24% 2.16% 1.66%+
Portfolio turnover rate........... 10.15% 24.75% 76.34% 25.20%
Average commission rate (2)....... 0.0431
</TABLE>
(1) Net of expense reimbursements of .83%, 1.11%, .47% and .50% of average net
assets, respectively.
(2) The formula for calculating the average commission rate is total commissions
paid divided by the total shares purchased and sold. Each option contract is
100 shares.
+ Annualized
37
<PAGE>
INDEPENDENT AUDITORS' REPORT
TO THE BOARD OF DIRECTORS AND SHAREHOLDERS OF THE ANALYTIC SERIES FUND:
We have audited the accompanying statement of assets and liabilities,
including the schedule of portfolio investments and options, of The Analytic
Series Fund (comprised of The Short Term Government, The Master Fixed Income and
The Enhanced Equity Portfolios) as of December 31,1995, and the related
statement of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the three years in the period then ended and for the one
month ended December 31, 1992. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned and
outstanding options at December 31, 1995 by correspondence with the custodian
and brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective portfolios constituting The Analytic Series Fund as of
December 31, 1995, the results of their operations for the year then ended, the
changes in their net assets for each of the two years in the period then ended,
and the financial highlights for each of the three years in the period then
ended and for the one month ended December 31, 1992, in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Costa Mesa, California
February 2, 1996
38
<PAGE>
<TABLE>
<S> <C>
OFFICERS AND DIRECTORS
CHAIRMAN OF THE Dr. Sheen T.
BOARD OF DIRECTORS........ Kassouf
PRESIDENT................. Alan L. Lewis
EXECUTIVE VICE PRESIDENT
AND SECRETARY............. Charles L. Dobson
TREASURER................. Alan R. Adelman
Deborah D.
SENIOR VICE PRESIDENT..... Boedicker
VICE PRESIDENT AND
PRINCIPAL
ACCOUNTING OFFICER........ Ricardo R. Porras
VICE PRESIDENT............ Deborah Sheflin
TRUSTEE................... Michael D. Butler
TRUSTEE................... Michael Koehn
Dr. Robert E.
TRUSTEE................... Villagrana
Robertson
TRUSTEE................... Whittemore
</TABLE>
INVESTMENT ADVISER
Analytic Investment Management, Inc.
2222 Martin Street, Suite 230
Irvine, California 92715-1454
TRANSFER AGENT, DIVIDEND DISBURSEMENT AGENT,
AND SHAREHOLDER RELATIONS SERVICING AGENT
Analytic Investment Management, Inc.
2222 Martin Street, Suite 230
Irvine, California 92715-1454
CUSTODIAN
Bank of California, N.A.
Mutual Fund Services, 11th Floor
475 Sansome Street
San Francisco, California 94111
INDEPENDENT ACCOUNTANTS
Deloitte & Touche LLP
695 Town Center Drive, Suite 1200
Costa Mesa, California 92626
COUNSEL
Paul, Hastings, Janofsky & Walker
555 South Flower Street, 22nd Floor
Los Angeles, California 90071
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