<PAGE>
THE ANALYTIC SERIES FUND
- -------------------------------- MEMBER OF 100% NO-LOAD-TM- MUTUAL FUND
COUNCIL
July 26, 1996
Dear Fellow Shareholders,
U.S. stock markets overcame another volatile quarter and rising interest
rates to further extend the advance from 1995. The Dow Jones was up 1.8% for the
quarter and 11.7% year to date. The S&P 500 was up 4.5% for the quarter and
10.1% year to date. The S&P MidCap 400 was up 2.9% for the quarter and 9.2% year
to date. The NASDAQ 100 Index was up 11.1% for the quarter and 17.5% year to
date. All of the above are with dividends reinvested.
The best performing industries for the quarter were manufactured housing,
tobacco, oil and soft drinks, all up over 12%. Year to date the best performing
industries were oil, apparel stores and hotels. The worst performing industries
were truckers, HMO's, and machines, all down over 25%. These three industries
were also the worst performing year to date.
The U.S. Treasury yield curve steepened during the quarter as bond prices
fell due to fears of rising inflation. Treasury yields rose 37 basis points
(bps) in the three through ten year maturities, and yields rose 20 bps in the
six month and thirty year maturities. (There are one hundred basis points in one
percent.) The yield spread between two to thirty year Treasury issues has
narrowed, and was at 75 bps. at the end of June. There has been a smaller spread
change in the short end of the curve, with the spread being 150 bps between the
six month bill and the thirty year bond. Currently, there is a 75 bps spread in
the six month to two year area, and this continues to be the steepest part of
the yield curve. The Fed has not changed short-term rates since lowering them
1/4% in January. The Federal Funds rate ended the quarter at 5 1/4%.
Corporate bond issuance continued to grow, although the pace of issuance has
decreased. Forty billion dollars in new bonds were issued in the second quarter,
versus $47 billion in the second quarter of 1995. The first quarter saw a 68%
increase in issuance over the first quarter of 1995 as corporations issued bonds
into a low interest rate environment. In the second quarter corporations begin
to delay issuance of new bonds as interest rates rose. Financials, Industrials
and Yankees each accounted for over 25% of all corporate issuance. Yankee bonds
are bonds issued in the United States in U.S. dollars by foreign countries and
companies. We hold Yankee bonds due to the higher yield they offer versus
similarly ranked domestic bonds. There is no currency risk associated with
holding Yankee bonds.
Overall, corporate yield spreads tightened during the quarter. Among the
reasons for the tightening was the strength of the economy which translated into
increased corporate profits and
1
<PAGE>
lower risk of corporate defaults. The decrease in corporate bond issuance also
contributed to spread tightening. There has also been an increase in the flow of
funds into corporate bonds as investors view the now available higher yields
attractive.
Thirty year mortgage backed securities with 8% coupons traded in a range
from 96 to 110 bps over thirty year Treasuries. The widest spread was at the
beginning of the quarter. Spreads have tightened every time the yield on thirty
year Treasuries has risen above 7%, making refinancing and new mortgage sales
less attractive. Mortgage backed securities spreads closed the quarter by
widening to 106 bps over Treasuries, as thirty year Treasury yields fell below
7%.
SHORT-TERM GOVERNMENT PORTFOLIO
For the quarter ending June 30, 1996, your Portfolio's net asset value
increased 0.88% and 0.96% year to date. The Merrill Lynch 1 to 3 Year Treasury
Index increased 1.00% for the quarter and 1.35% year to date. At quarter end,
the Portfolio's share price was $9.78 after paying its 36th consecutive monthly
dividend (since public inception) from net investment income. The dividend paid
on June 28 was $0.05 per share, and the SEC 30 day yield was 5.65%.
Currently your allocation is 86% US Treasury and US Government agency
securities, 4% adjustable rate mortgage backed securities, 7% corporate bonds,
2% foreign government bonds, and 1% in cash.
In July, the Short-Term Government Portfolio was upgraded to an "A" Rating
from Lipper Analytical Services, Inc. This A rating means that the return of the
Short-Term Government Portfolio is in the top 20% of all mutual funds in our
category over the most recent one year period.
MASTER FIXED INCOME PORTFOLIO
For the quarter ending June 30, 1996, your Portfolio was up 0.47% and 0.76%
year to date. The Lehman Brothers Government Corporate Bond Index (LBGC) was up
0.47% for the second quarter, and down -3.73% year to date. The Lehman Brothers
Government Aggregate Bond Index (Bond Aggregate) was up 0.57% for the second
quarter, and down -2.43% year to date. Your Portfolio currently has an
allocation of 73% to the traditional fixed income sector, which consists of high
quality U.S. Treasury and Agency securities, corporate bonds and mortgage backed
securities. At quarter end, the Portfolio's share price was $10.19 after paying
its 36th consecutive monthly dividend (since public inception) from net
investment income. The dividend paid on June 28 was $0.05, and the SEC 30-day
yield was 5.76%
Your Portfolio is diversified across the major fixed income categories.
During the second quarter, U.S. Treasuries (65% of the LBGC) returned 0.46%. The
U.S. Government Agency (non-Treasury issues) sector of the index returned 0.61%.
The U.S. Government mortgage backed securities component of the aggregate index
returned 0.80%, and outperformed the other major fixed income categories. The
corporate sector of the index returned 0.45% for the quarter.
2
<PAGE>
The covered call and cash secured put sector of your Portfolio consists of
deeply hedged large and mid capitalization stocks. Due to concerns about the
high valuations in the stock market, in the second quarter we decreased the
allocation of the covered call and cash secured put sector from 30% to 23%. This
sector is positioned to defend against a possible pull back in the equity
market, and over full market cycles is expected to outperform the Bond
Aggregate.
The Portfolio maintains an investment discipline that focuses on long term
investment results and not short term market speculation. We view as attractive
the higher yields available in the fixed income market, and increased the
allocation in this sector from 68% to 73%. The cash held for investments in your
Portfolio increased during the quarter from 2% to 4%.
Over the three year period ending June 30, 1996, the Master Fixed Income
Portfolio was rated by Lipper Analytical Services, Inc. as the number one mutual
fund in its category. The Master Fixed Income Portfolio has an "A" Rating from
Lipper Analytical Services, Inc. as of June 30. This A rating means that the
return of the Master Fixed Income Portfolio is in the top 20% of all mutual
funds in our category over the most recent one year period. The long term focus
and allocation, plus a favorable market environment, has resulted in strong
performance for the quarter, year and since inception.
ENHANCED EQUITY PORTFOLIO
For the quarter ending June 30, 1996, your Portfolio's net asset value
increased 3.8% per share, while the S&P 500 Index increased 4.5%, both with
dividends reinvested. At quarter end, the Portfolio's share price was $14.09
after paying its twelfth consecutive quarterly dividend from net investment
income of 0.03 per share. For the six months ending June 30, 1996, your
portfolio's net asset value increased 9.5% per share while the S&P 500 Index
increased 10.1%.
Your Fund maintains a stock portfolio similar to the S&P 500 Index. It does
not contain all of the stocks in the S&P 500 Index nor do its individual stocks
have the exact weighting as their representation in the index. Therefore, there
will always be some deviation, plus or minus, from the return of the index.
The Fund uses the sale and purchase of options to enhance returns and
control risk. On average, the Fund's risk level is equal to the risk of the S&P
500. At times it will be slightly higher or lower.
This Fund is suited for the investor with a risk level similar to the S&P
500 Index. There are three other Analytic Funds with lower levels of risk
allowing investors to adjust their portfolio with ease.
From inception on July 1, 1993, your Portfolio has appreciated 54.34%. This
is an average annual rate of 15.56%. As of 6/30/96 the allocation is
approximately 95% in common stock, 2% in certain purchased call options and 3%
in cash. The Fund has also sold call options on approximately 45% of the
portfolio.
3
<PAGE>
Should you have any questions regarding your Fund's investment strategy or
results, please do not hesitate to call us at 1-800-374-2633.
WE APPRECIATE AND THANK YOU FOR INVESTING WITH US.
<TABLE>
<S> <C> <C>
/s/ ALAN L. LEWIS /s/ JOHN A. FLOM /s/ CHARLES L. DOBSON
Alan L. Lewis John A. Flom Charles L. Dobson
President Portfolio Manager Executive Vice President
</TABLE>
ANALYTIC SERIES FUND
AVERAGE ANNUAL COMPOUND TOTAL RETURN
(GROWTH RATE), FROM INCEPTION 7/1/93 -- 6/30/96, PERCENT
<TABLE>
<CAPTION>
Inception 1 year
----------- -----------
<S> <C> <C>
Short-Term Government Portfolio 4.42 4.88
Master Fixed Income Portfolio 6.36 6.75
Enhanced Equity Portfolio 15.56 23.65
</TABLE>
It is with sorrow that we share the news of the passing of long time Board of
Trustees member Dr. Robert E. Villagrana on May 15, 1996. Bob was trained as a
scientist and placed "thinking and gaining knowledge" above all else. His
participation on the Board will be greatly missed.
4
<PAGE>
THE ANALYTIC SERIES FUNDS
UNIVERSE COMPARISONS*
ANNUALIZED RETURN ENDING JUNE 30, 1996
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH FUNDS GROWTH & INCOME FUNDS
<S> <C> <C> <C> <C> <C>
1 Year Since Inception 1 Year Since Inception
95th 37.01% 21.47% 28.64% 17.95%
75th 26.79% 16.99% 25.42% 16.43%
median 22.50% 14.92% 23.11% 14.76%
25th 18.41% 12.94% 20.44% 13.20%
5th 11.99% 9.60% 16.09% 10.14%
EE: 23.65% 15.56% EE: 23.65% 15.56%
Corporate High Quality Government High Quality
Intermediate Maturity Funds Short Maturity Funds
1 Year Since Inception 1 Year Since Inception
95th 6.63% 6.03% 5.84% 5.55%
75th 4.63% 4.71% 4.74% 4.23%
median 4.07% 4.34% 4.27% 3.97%
25th 3.33% 3.87% 3.70% 3.46%
5th 2.57% 3.25% 2.83% 2.70%
MFI: 6.68% 6.33% STG: 4.89% 4.42%
</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 PORTFOLIO S & P 500 CPI
<S> <C> <C> <C>
9-93 10.1627 10.2558 10.0485
12-93 10.4494 10.4931 10.0970
3-94 10.1198 10.0928 10.1939
6-94 10.2127 10.1340 10.2493
9-94 10.5361 10.6330 10.3463
12-94 10.4103 10.6303 10.3670
3-95 11.3420 11.6652 10.4848
6-95 12.4812 12.7721 10.5609
9-95 13.5081 13.7875 10.6025
12-95 14.0916 14.6091 10.6441
3-96 14.8651 15.3927 10.7048
6-96 15.4328 16.0828 10.8230
Past performance is not predictive of future performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MASTER FIXED LEHMAN BROS. GOVERNMENT
<S> <C> <C>
Income Portfolio Corporate Bond Index
10 10
9-93 10.3429 10.3315
12-93 10.3635 10.3018
3-94 10.0776 9.9778
6-94 10.0532 9.8544
9-94 10.2294 9.9037
12-94 10.2556 9.9402
3-95 10.6916 10.4355
6-95 11.2696 11.1121
9-95 11.4998 11.3248
12-95 11.9394 11.8525
3-96 11.9743 11.5751
6-96 12.0300 11.6295
Past performance is not predictive of future performance.
<CAPTION>
LEHMAN BROS. AGGREGATE
<S> <C>
Bond Index
10
9-93 10.2606
12-93 10.2662
3-94 9.9712
6-94 9.8687
9-94 9.9290
12-94 9.9668
3-95 10.4693
6-95 11.1072
9-95 11.3256
12-95 11.8080
3-96 11.5974
6-96 11.6636
Past performance is not predictive of future performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SHORT TERM MERRILL LYNCH 1 TO 3 YEAR
<S> <C> <C>
Government Portfolio Treasury Index
10 10
9-93 10.1435 10.1435
12-93 10.2003 10.2034
3-94 10.1019 10.1525
6-94 10.0897 10.1609
9-94 10.2049 10.2610
12-94 10.2007 10.2614
3-95 10.5429 10.6060
6-95 10.8566 10.9460
9-95 11.0169 11.1105
12-95 11.2745 11.3901
3-96 11.2866 11.4284
6-96 11.3860 11.5452
Past performance is not predictive of future performance.
</TABLE>
6
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- -------------- ----------- ---------- -------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--59.36%
$ 2,250,000 Treasury Note 5.500% 9/30/97 $ 2,239,102
2,500,000 Treasury Note 5.625% 11/30/00 2,421,094
3,000,000 Treasury Note 6.125% 5/31/97 3,007,500
1,500,000 Treasury Note 6.375% 7/15/99 1,502,578
2,000,000 Treasury Note 6.875% 10/31/96 2,008,750
2,500,000 Treasury Note 7.250% 2/15/98 2,543,750
3,000,000 Treasury Note 8.125% 2/15/98 3,093,750
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $17,087,215) 16,816,524
-------------
U.S. MORTGAGE BACKED SECURITIES--4.27%
+ 833,069 Government National Mortgage Association 7.000% 4/20/22 843,741
+ 361,702 Government National Mortgage Association 7.000% 6/20/23 366,335
-------------
TOTAL U.S. MORTGAGE BACKED SECURITIES
(Cost $1,215,410) 1,210,076
-------------
U.S. AGENCY OBLIGATIONS--24.88%
500,000 Federal Home Loan Mortgage Corporation 7.125% 7/21/99 509,844
500,000 Federal National Mortgage Association 5.950% 9/28/98 496,299
1,000,000 Federal National Mortgage Association 6.050% 1/12/98 998,906
1,500,000 Federal National Mortgage Association 6.400% 5/2/01 1,486,877
1,000,000 Federal National Mortgage Association 6.750% 4/22/97 1,007,499
500,000 Federal National Mortgage Association 8.200% 3/10/98 516,331
500,000 Private Export Funding Corporation 8.950% 10/31/97 518,320
500,000 Student Loan Marketing Assocation 7.000% 3/3/98 506,790
1,000,000 Tennessee Valley Authority 8.250% 11/15/96 1,009,219
-------------
TOTAL U.S. AGENCY OBLIGATIONS
(Cost $7,163,863) 7,050,085
-------------
CORPORATE OBLIGATIONS--7.01%
500,000 Associates Corporate Note 6.000% 6/15/00 486,094
500,000 DuPont Note 8.650% 12/1/97 515,832
500,000 EUROFIMA U.S. Dollar Note 4.875% 1/20/98 489,688
500,000 Wal Mart Stores, Inc. Note 5.500% 3/1/98 493,438
-------------
TOTAL CORPORATE OBLIGATIONS
(Cost $2,048,749) 1,985,052
-------------
</TABLE>
7
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- -------------- ----------- ---------- -------------
<C> <S> <C> <C> <C>
FOREIGN GOVERNMENT BONDS--2.15%
CD 375,000 Government of Canada Bond 6.500% 8/1/96 $ 275,437
NZD 500,000 New Zealand Government Bond 8.000% 7/15/98 334,600
-------------
Total Foreign Government Bonds
(Cost $638,973) 610,037
-------------
TOTAL INVESTMENTS--97.67%
(Cost $28,154,210) 27,671,774
-------------
OTHER ASSETS AND LIABILITIES--2.33%
Cash Equivalents 211,762
Other Assets and Liabilities (net) 447,482
-------------
NET ASSETS--100.00% $ 28,331,018
-------------
-------------
</TABLE>
+ Adjustable Rate
8
<PAGE>
SHORT TERM GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $28,154,210).............................. $ 27,671,774
Accrued interest receivable..................................................................... 463,055
Cash equivalents................................................................................ 211,762
Other assets.................................................................................... 5,265
-------------
Total assets.................................................................................. 28,351,856
-------------
LESS LIABILITIES:
Payable for capital shares redeemed............................................................. 5,007
Accrued expenses................................................................................ 15,831
-------------
Total liabilities............................................................................. 20,838
-------------
Net assets...................................................................................... $ 28,331,018
-------------
-------------
REPRESENTED BY:
Paid-in capital................................................................................. $ 29,211,210
Realized net loss on investments................................................................ (397,757)
Net unrealized depreciation of investments...................................................... (482,435)
-------------
$ 28,331,018
-------------
-------------
Net asset value, purchase and redemption price per outstanding capital share (2,896,972 capital
shares outstanding)............................................................................ $ 9.78
-------------
-------------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
----------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income................................................. $ 835,229 $ 1,523,439
Net realized loss on investments...................................... (48,501) (257,536)
Change in unrealized appreciation (depreciation) on investments....... (482,493) 1,360,958
----------------- -------------------
Increase (decrease) in net assets from operations................... 304,235 2,626,861
----------------- -------------------
DISTRIBUTION TO SHAREHOLDERS:
From net investment income............................................ (840,966) (1,523,442)
----------------- -------------------
Decrease in net assets from distributions........................... (840,966) (1,523,442)
----------------- -------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 56,754 and 228,201 capital shares.............. 545,415 2,264,736
Proceeds from 85,455 and 154,571 capital shares issued in reinvestment
of distributions..................................................... 840,966 1,523,106
Redemption of 40,231 and 151,085 capital shares....................... (398,702) (1,492,184)
----------------- -------------------
Increase in net assets from fund share transactions................... 987,679 2,295,658
----------------- -------------------
Net increase in net assets............................................ 450,948 3,399,077
Net assets, beginning of period..................................... 27,880,070 24,480,993
----------------- -------------------
Net assets, end of period........................................... $ 28,331,018 $ 27,880,070
----------------- -------------------
----------------- -------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
SHORT TERM GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest....................................................... $ 913,438
----------
Total investment income...................................... 913,438
----------
EXPENSES:
FEES PAID TO ANALYTIC/TSA GLOBAL ASSET MANAGEMENT (THE
ADVISER):
Investment advisory and management fees...................... 41,800
Transfer agent and accounting fees........................... 29,700
Registration expenses.......................................... 7,670
Auditing....................................................... 6,415
Shareholder services, reports and notices...................... 4,677
Directors' fees and expenses................................... 4,543
Legal fees..................................................... 4,204
Custodian fees................................................. 4,169
Insurance and other expenses................................... 3,458
Organizational expenses........................................ 1,373
----------
108,009
Reimbursed expenses by the adviser............................. (29,800)
----------
Net Expenses................................................. 78,209
----------
Net investment income.......................................... $ 835,229
----------
REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Realized gains (losses):
Proceeds from sales of investments............................. $ 3,777,099
Cost of investments sold....................................... 3,825,600
-----------
Realized net loss on investments............................... (48,501)
Unrealized gains (losses):
Change in unrealized depreciation on investments............... (482,493)
-----------
Net realized and unrealized loss on investments.............. (530,994)
----------
Net increase in net assets from operations................. $ 304,235
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
FIXED INCOME SECURITIES
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ---------- ----------- ---------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--20.08%
$ 350,000 Treasury Note 5.250% 7/31/98 $ 343,875
1,000,000 Treasury Note 5.625% 11/30/00 968,438
500,000 Treasury Note 5.875% 6/30/00 490,391
250,000 Treasury Note 6.250% 2/15/03 245,625
150,000 Treasury Note 6.375% 1/15/99 150,445
250,000 Treasury Note 6.375% 8/15/02 248,008
1,500,000 Treasury Note 6.500% 5/15/05 1,478,906
300,000 Treasury Note 7.500% 11/15/16 314,813
250,000 Treasury Note 8.000% 11/15/21 277,969
200,000 Treasury Note 8.000% 5/15/01 212,656
250,000 Treasury Note 8.500% 11/15/00 269,336
125,000 Treasury Note 8.875% 5/15/00 135,391
275,000 Treasury Note 9.125% 5/15/99 294,980
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $5,648,243) 5,430,833
---------------
U.S. MORTGAGE BACKED SECURITIES--16.85%
$ 1,177,283 Federal Home Loan Mortgage Corporation 7.000% 12/13/25 1,134,239
610,058 Federal Home Loan Mortgage Corporation 7.500% 4/1/26 602,623
109,692 Federal Home Loan Mortgage Gold 8.000% 5/1/22 110,652
1,204,185 Federal National Mortgage Association 7.000% 1/1/26 1,159,027
129,771 Federal National Mortgage Association 8.500% 6/1/08 134,209
103,750 Federal National Mortgage Association 8.500% 8/1/17 108,472
587,640 Government National Mortgage Association 6.500% 11/1/23 547,051
+ 131,880 Government National Mortgage Association 7.000% 7/20/23 133,569
111,110 Government National Mortgage Association 7.500% 9/15/22 109,511
137,089 Government National Mortgage Association 7.500% 7/15/23 135,121
90,392 Government National Mortgage Association 8.000% 12/15/22 91,179
59,394 Government National Mortgage Association 8.500% 9/15/21 61,061
39,941 Government National Mortgage Association 9.500% 2/15/21 42,653
34,177 Government National Mortgage Association 9.500% 11/15/02 36,569
13,339 Government National Mortgage Association 10.000% 6/15/20 14,536
40,068 Government National Mortgage Association 10.000% 9/15/20 43,659
39,193 Government National Mortgage Association 10.000% 10/15/20 42,697
45,702 Government National Mortgage Association 10.000% 11/15/20 49,800
---------------
TOTAL U.S. MORTGAGE BACKED SECURITIES
(Cost $4,690,395) 4,556,628
---------------
</TABLE>
11
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ---------- ----------- ---------------
<C> <S> <C> <C> <C>
U.S. AGENCY OBLIGATIONS--24.84%
$ 200,000 Federal Farm Credit Bank 8.050% 5/21/07 $ 199,594
500,000 Federal Home Loan Bank 5.880% 8/20/03 472,273
100,000 Federal Home Loan Bank 6.320% 12/4/97 100,250
500,000 Federal Home Loan Bank 6.830% 6/7/01 498,451
665,000 Federal Home Loan Mortgage Corporation 7.750% 11/7/01 696,275
525,000 Federal National Mortgage Association 6.360% 8/16/00 519,600
1,000,000 Federal National Mortgage Association 6.625% 4/18/01 999,783
1,000,000 Federal National Mortgage Association 7.000% 5/10/01 1,002,656
200,000 Federal National Mortgage Association 7.550% 4/22/02 207,687
400,000 Federal National Mortgage Association 7.650% 3/10/05 416,625
300,000 Federal National Mortgage Association 7.900% 4/10/02 301,781
200,000 Private Export Funding Corporation 6.900% 1/31/03 200,852
250,000 Private Export Funding Corporation 9.450% 12/31/99 271,172
500,000 Student Loan Marketing Association 6.050% 9/14/00 489,532
300,000 Tennessee Valley Authority 6.000% 1/15/97 300,640
250,000 Tennessee Valley Authority 6.375% 6/15/05 240,195
---------------
TOTAL U.S. AGENCY OBLIGATIONS
(Cost $6,980,728) 6,917,366
---------------
</TABLE>
12
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- ------------- ---------- ----------- ---------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--18.24%
$ 95,000 African Development Bank 6.750% 10/1/04 $ 93,078
125,000 Amoco Canada Corporation 6.750% 2/15/05 122,305
161,000 Atlantic Richfield Corporation 10.250% 7/2/00 168,396
100,000 Australia Commonwealth 8.375% 3/15/17 109,249
650,000 Bank Nederlandse Gemeenten 7.500% 12/20/96 654,063
650,000 Ciba Geigy Corporate 7.000% 4/18/97 653,657
100,000 Du Pont (E.I.) de Nemours 6.000% 12/1/01 96,094
100,000 Du Pont (E.I.) de Nemours 8.500% 2/15/03 106,492
220,000 Ford Capital BV 9.500% 8/9/00 238,219
280,000 General Electric Capital 8.500% 7/24/08 309,660
200,000 KFW International Finance 7.625% 2/15/04 207,726
105,000 Kingdom of Sweden 11.125% 6/1/15 144,281
250,000 Kingdom of Sweden 12.750% 10/15/97 269,849
250,000 Liberty Mutual Corporation 8.500% 7/8/96 250,057
100,000 Limited, Inc. 8.875% 8/15/99 104,481
250,000 McGraw-Hill, Inc. 9.430% 9/1/00 273,670
250,000 Norddeutsche Landesbank Corporate 6.875% 3/10/03 246,641
250,000 Premark Corporation 10.500% 9/15/00 281,547
600,000 Republic of Austria Corporate 7.250% 1/16/97 603,563
---------------
TOTAL CORPORATE OBLIGATIONS
(Cost $5,050,745) 4,933,028
---------------
ZERO COUPON BONDS--0.73%
50,000 Kingdom of Sweden 4/1/04 29,059
1,000,000 Resolution Funding Corp. 1/15/21 169,321
---------------
TOTAL ZERO COUPON BONDS
(Cost $193,746) 198,380
---------------
TOTAL FIXED INCOME SECURITIES--80.74%
(Cost $22,563,857) $ 22,036,235
---------------
---------------
</TABLE>
+ Adjustable Rate
13
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
----------------------------------------------------
Investments Market Value
----------------------- -----------------
Number Market Shares Expiration Exercise Options Options
COMMON STOCKS AND OPTIONS of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
AEROSPACE & DEFENSE--.24%
Boeing Co. 1,000 $ 87,125 1,000 Aug 70 $ 17,750
McDonnell Douglas Corporation 4,000 Aug 45* 3,500
----------- --------
87,125 21,250
----------- --------
AIR TRANSPORATION -- 0.00%
Southwest Airline 1,000 Dec 35 $ 1,125
-------
1,125
-------
AUTO RELATED--0.00%
Eaton Corporation 1,000 Oct 65 469
-------
469
-------
AUTOS & TRUCKS--.01%
Chrysler Corporation 2,500 Jul 65 2,812
-------
2,812
-------
BANKS/SAVINGS & LOANS--1.18%
Bankamerica Corporation 3,000 227,250 3,000 Jul 60 46,125
Barnett Banks, Inc. 2,400 146,400 2,400 Jul 60 4,800
----------- --------
373,650 50,925
----------- --------
BROAD-BASED INDEXES--.26%
Major Market Index--Reduced Value 3,500 Dec 40 69,562
-------
69,562
-------
BROADCAST RADIO & TELEVISION--.01%
Tele Communications, Inc. 5,000 Oct 22.50 1,875
-------
1,875
-------
CHEMICALS--.03%
Engelhard Corporation 1,000 Oct 25 687
Monsanto Co. 10,000 Oct 29* 6,562
Morton International 5,000 Aug 35 15,312
------- --------
15,999 6,562
------- --------
</TABLE>
14
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
----------------------------------------------------
Investments Market Value
----------------------- -----------------
COMMON STOCKS AND OPTIONS Number Market Shares Expiration Exercise Options Options
(CONTINUED) of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
COMPUTER SERVICES/SOFTWARE--.02%
Cisco Systems, Inc. 2,500 Oct 50* $ 6,250
--------
6,250
--------
COMPUTERS--(.03%)
H B O & Co. 2,500 Nov 57.50* 7,969
--------
7,969
--------
ELECTRIC/GAS/WATER UTILITIES--.50%
Consolidated Edison of New York 2,000 Aug 30 $ 625
Pacific Gas & Electric 5,000 $ 116,250 5,000 Sep 25* 9,844
Texas Utilities Co. 3,000 Oct 40 9,375
----------- -------
116250 19,844
----------- -------
ELECTRICAL EQUIPMENT--.03%
General Instrument Corporation 5,000 Sep 30 8,750
-------
8,750
-------
ELECTRONICS--(.08%)
Atmel Corporation** 5,000 Nov 27.50* 16,250
General Signal Corporation 1,000 Nov 40 1,062
KLA Instruments Corporation** 5,000 Sep 20* 6,562
------- --------
1,062 22,812
------- --------
ENVIRONMENTAL CONTROL--.01%
WMX Technologies, Inc. 1,500 Jan 35 1,969
-------
1,969
-------
FINANCIALS SERVICES & BROKERS--.16%
Block (H.R.), Inc. 1,500 48,937 1,500 Jul 40 94
Sunamerica, Inc. 2,500 Sep 55* 5,625
----------- --------
48,937 5,719
----------- --------
</TABLE>
15
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
----------------------------------------------------
Investments Market Value
----------------------- -----------------
COMMON STOCKS AND OPTIONS Number Market Shares Expiration Exercise Options Options
(CONTINUED) of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
FOOD PROCESSING & WHOLESALE--.47%
Coca-Cola Co. 5,000 $ 244,375 5,000 Jan 25 $122,500
General Mills, Inc. 2,500 Aug 55 $ 3,594
Quaker Oats Co. 1,000 Oct 35 1,250
----------- ------- --------
244,375 4,844 122,500
----------- ------- --------
HOME-CONSTRUCTION/TOOLS/FURNISHING--.01%
MAYTAG CO. 5,000 OCT 22.50 3,125
-------
3,125
-------
INSURANCE--(.03%)
Conseco, Inc. 3,500 Nov 37.50* 7,219
Humana, Inc. 1,000 Nov 27.50 125
------- --------
125 7,219
-------
MACHINE CONSTRUCTION/DIVERSIFIED--.02%
Caterpillar, Inc. 2,500 Aug 75 1,406
Ingersoll Rand Co. 3,000 Sep 45 4,687
-------
6,093
-------
MEDICAL SUPPLIES & SERVICES--.56%
Boston Scientific Corporation** 1,300 58,500 1,300 Aug 40 5,687
Health Management Associates, Inc.** 7,500 Aug 20* 7,500
Oxford Health Plans, Inc.** 3,500 Aug 42.50* 14,219
United States Surgical Corporation 3,000 93,000 3,000 Oct 40* 27,375
----------- ------- --------
151,500 27,375 27,406
----------- -------
METALS & MINING--.91%
Phelps Dodge Corporation 4,000 249,500 4,000 Jul 70 500
----------- --------
249,500 500
----------- --------
OIL/GAS DOMESTIC--.03%
Occidental Petroleum 10,000 Aug 25 8,125
-------
8,125
-------
</TABLE>
16
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
----------------------------------------------------
Investments Market Value
----------------------- -----------------
COMMON STOCKS AND OPTIONS Number Market Shares Expiration Exercise Options Options
(CONTINUED) of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
OIL/GAS INTERNATIONAL--.94%
Amoco Corporation 2,500 $ 180,938 2,500 Jan 55 $ 44,063
Exxon Corporation 2,000 173,750 2,000 Jan 60 54,500
----------- --------
354,688 98,563
----------- --------
OIL EQUIPMENT/EXPLORATION & SERVICES--.09%
Halliburton Co. 5,000 Oct 55 $22,813
Weatherford Enterra, Inc.** 1,000 Dec 40 625
-------
23,438
PHARMACEUTICALS & BIOTECHNOLOGY--.03%
Centocor, Inc.** 2,500 Jan 35 8,438
Johnson & Johnson 4,000 Jul 42.50* 250
------- --------
8,438 250
-------
RAILROAD/TRUCKING/MISCELLANEOUS--.70%
Consolidated Rail Corporation 3,000 199,125 3,000 Jul 65 7,875
----------- --------
199,125 7,875
----------- --------
RESTAURANTS & LODGING--(.03%)
HFS, Inc.** 2,500 Jan 60* 8,438
--------
8,438
--------
RETAIL--GENERAL/DEPARTMENT--.18%
Federated Department Stores** 4,000 Aug 30 18,500
Limited, Inc. 7,500 Aug 17.50 30,469
-------
48,969
-------
RETAIL--GROCERY/DRUG STORES--.01%
Whole Foods Market, Inc.** 2,500 Nov 30 2,813
-------
2,813
-------
TELECOMMUNICATION UTILITIES--.12%
Worldcom, Inc.** 3,000 Sep 45 32,625
-------
32,625
-------
</TABLE>
17
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
----------------------------------------------------
Investments Market Value
----------------------- -----------------
COMMON STOCKS AND OPTIONS Number Market Shares Expiration Exercise Options Options
(CONTINUED) of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
TELECOMMUNICATIONS & EQUIPMENT--(.02%)
MFS Communication Co., Inc.** 4,000 Aug 35* $ 6,000
--------
6,000
--------
TOTAL COMMONS STOCKS--6.70%
(Cost $1,757,826) $ 1,825,150
-----------
TOTAL OPTIONS PURCHASED--1.06%
(Cost $228,248) 289,437
-----------
TOTAL INVESTMENTS--88.64%
(Cost $24,549,931) 24,150,822
-----------
TOTAL OPTIONS SOLD (1.47%)
(Premiums $353,552) (400,238)
-----------
OTHER ASSETS AND LIABILITIES--12.83%
Cash Equivalents 3,257,947
Other Assets and Liabilities (net) 237,780
-----------
NET ASSETS--100% $27,246,311
-----------
-----------
</TABLE>
** Non-income producing security
18
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost
$24,549,931)....................................................... $ 24,150,822
Cash equivalents.................................................... 3,257,947
Accrued interest receivable......................................... 403,426
Other assets........................................................ 6,247
Dividends receivable................................................ 4,982
Prepaid expenses.................................................... 3,228
--------------
Total assets...................................................... 27,826,652
--------------
LESS LIABILITIES:
Options outstanding at market value (premiums received $353,553).... 400,238
Payable for capital shares redeemed................................. 165,585
Payable for investments purchased................................... 14,518
--------------
Total liabilities................................................. 580,341
--------------
Net assets.......................................................... $ 27,246,311
--------------
--------------
REPRESENTED BY:
Paid-in capital..................................................... $ 27,365,304
Undistributed investment income..................................... 3,248
Realized net loss on investments.................................... 323,555
Net unrealized appreciation of investments.......................... (445,796)
--------------
$ 27,246,311
--------------
--------------
Net asset value, purchase and redemption price per outstanding
capital share (2,672,596 capital shares outstanding).............. $ 10.19
--------------
--------------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
----------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income................................................. $ 747,148 $ 487,209
Net realized gain (loss) on investments and options................... 356,270 26,252
Increase (decrease) in unrealized appreciation on investments and
options.............................................................. (879,225) 778,853
----------------- -------------------
Increase in net assets from operations.............................. 224,193 1,292,314
----------------- -------------------
DISTRIBUTION TO SHAREHOLDERS:
From net investment income............................................ (744,457) (488,984)
From net realized gains............................................... 0 0
----------------- -------------------
Decrease in net assets from distributions........................... (744,457) (488,984)
----------------- -------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales 1,901,469 and 176,690 capital shares.............. 7,509,072 19,536,159
Proceeds from 39,530 and 41,175 capital shares issued in reinvestment
of distributions.................................................... 134,926 396,939
Redemption of 201,131 and 355,762 capital shares...................... (4,745,168) (2,023,698)
----------------- -------------------
Increase (decrease) in net assets from fund share transactions........ 2,898,830 17,909,400
----------------- -------------------
Net increase (decrease) in net assets................................. 2,378,566 18,712,730
Net assets, beginning of period..................................... 24,867,745 6,155,015
----------------- -------------------
Net assets, end of period........................................... $ 27,246,311 $ 24,867,745
----------------- -------------------
----------------- -------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends............................................................... $ 32,794
Interest................................................................ 784,792
----------
Total investment income............................................... 817,586
----------
EXPENSES:
Fees paid to Analytic/TSA Global Asset Management (the Adviser):
Investment advisory and management fees............................... 57,700
Transfer agent and accounting fees.................................... 27,500
Registration fees....................................................... 18,642
Custodian fees.......................................................... 9,189
Auditing fees........................................................... 6,822
Legal fees.............................................................. 6,739
Directors' fees and expenses............................................ 4,091
Shareholder services, reports and notices............................... 3,211
Organizational expenses................................................. 1,630
Insurance and other expenses............................................ 1,250
----------
Total expenses........................................................ 136,774
Expenses paid indirectly................................................ (8,193)
Reimbursed expenses by the adviser...................................... (33,400)
----------
Net expenses.......................................................... 95,181
----------
Net investment income................................................... $ 722,405
----------
REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND OPTIONS:
Realized gains:
Proceeds from sales of investments...................................... $ 5,051,642
Cost of investments sold................................................ 4,908,900
------------
Realized net gain on investments........................................ 142,742
----------
Premiums received on options closed..................................... 147,757
Cost of closing purchase transactions................................... 11,120
------------
Realized net gain on options closed..................................... 136,637
Premiums received on options expired.................................... 76,891
----------
Realized net gain on options............................................ 213,528
----------
Total realized net gain............................................... 356,270
Unrealized gains (losses):
Change in unrealized depreciation of investments........................ (874,796)
Change in unrealized depreciation of options outstanding................ (4,429)
------------
Net change in unrealized depreciation................................. (879,225)
----------
Net realized and unrealized loss on investments and options........... (522,955)
----------
Net increase in net assets from operations.......................... $ 199,450
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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--1.60%
Boeing Co. 200 $ 17,425
McDonnell Douglas Corporation 600 29,100
----------
46,525
----------
AIR TRANSPORTATION--.31%
A.M.R. Corporation** 100 9,100
----------
9,100
----------
AUTO RELATED--.48%
Genuine Parts 200 9,150
Goodyear Tire & Rubber Co. 100 4,825
----------
13,975
----------
AUTO & TRUCKS--2.10%
Chrysler Corporation 200 6,200
Ford Motor Co. 400 12,950
General Motors Corporation 800 41,901
----------
61,051
----------
BANKS/SAVINGS & LOANS--5.32%
Banc One Corporation 491 16,694
Bankamerica Corporation 400 30,300
Barnett Banks, Inc. 100 6,100
Chase Manhattan Corporation 200 14,125
Citicorp 400 33,050
J.P. Morgan & Co. 100 8,462
Nationsbank Corporation 400 33,050
Norwest Corp. 200 6,975
P.N.C. Bank Corporation 200 5,950
----------
154,706
----------
</TABLE>
21
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
BREWERY/SPIRITS & TOBACCO--.79%
American Brands, Inc. 100 $ 4,537
RJR Nabisco Holdings Corporation 360 11,160
Schweitzer-Mauduit Int'l., Inc. 20 562
Seagram Co., Ltd. 200 6,725
----------
22,984
----------
BROAD-BASED INDEXES--9.98%
PHLX National Over-the-Counter
Index-XOC 1,000 Sep 500 $16,875
S & P 100 Index-OEX 1,000 Oct 650 23,000
S & P 500 Depository Receipt 4,000 268,438
S & P 500 Index-SPX 1,000 Dec 700 $ 15,500
1,000 Dec 725 7,375
S & P Midcap 400 Index--MID 1,000 Sep 240 5,000
---------- ------- --------
268,438 44,875 22,875
---------- ------- --------
BROADCAST RADIO & TELEVISION--.57%
US West Media Group** 200 3,650
Viacom, Inc.-Class A** 216 8,235
Viacom, Inc., Class B** 121 4,704
----------
16,589
----------
BUILDING PACKAGE MATERIALS--.31%
Masco Corporation 300 9,075
----------
9,075
----------
CHEMICALS--3.09%
Dow Chemical Co. 100 7,600
Du Pont (E. I.) De Nemours Co. 500 39,562
Monsanto Co. 500 16,250
P.P.G. Industries, Inc. 300 14,625
Union Carbide Corporation 300 11,925
----------
89,962
----------
</TABLE>
22
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
COMPUTER SERVICES/SOFTWARE--4.09%
Cisco Systems, Inc.** 400 $ 22,650
Electronic Data Systems Corporation 300 16,125
First Data Corporation 200 15,925
Microsoft Corporation ** 300 36,037
Oracle Systems** 600 23,662
Sybase, Inc.** 200 4,725 200 Jan 35 $ 200
---------- --------
119,124 200
---------- --------
COMPUTERS--2.08%
Apple Computer, Inc.** 100 2,100
Compaq Computer Corporation** 200 9,850
Digital Equipment Corporation** 200 9,000
International Business Machines
Corporation 400 39,600
----------
60,550
----------
COSMETICS & PERSONAL CARE--.74%
Avon Products, Inc. 200 9,025
Gillette Co. 200 12,475
----------
21,500
----------
ELECTRIC/GAS/WATER UTILITIES--2.83%
American Electric Power 200 8,525
Consolidated Edison of New York 200 5,850
Dominion Resources, Inc. 200 8,000
Duke Power Co. 200 10,250
Edison International 400 7,050
Entergy Corporation 400 11,350
Pacific Gas & Electric 500 11,625
Southern Co. 800 19,700
----------
82,350
----------
</TABLE>
23
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
ELECTRICAL EQUIPMENT--.90%
A.M.P., Inc., Pennsylvania 200 $ 8,025
Emerson Electric Co. 200 18,075
----------
26,100
----------
ELECTRONICS--5.90%
General Electric Co. 900 77,850
Hewlett-Packard Co. 600 29,887
Intel Corporation 400 29,375
Motorola, Inc. 400 25,150
Polaroid Corporation 100 4,563
Texas Instruments, Inc. 100 4,988
----------
171,813
----------
ENTERTAINMENT/ADVERTISING--1.21%
Disney (Walt) Co. 300 18,862
Harrah's Entertainment, Inc.** 300 8,475
Time Warner, Inc. 200 7,850
----------
35,187
----------
ENVIRONMENTAL CONTROL--.20%
Browning-Ferris Industries, Inc. 200 5,800
----------
5,800
----------
FINANCIAL SERVICES & BROKERS--3.03%
American Express Co. 300 13,387
Dean Witter Discover and, Co. 200 11,450
Edwards (A.G.), Inc. 250 6,781
Federal National Mortgage Association 400 13,400
Merrill Lynch & Co. 300 19,537
Morgan Stanley Group, Inc. 200 9,825
Travelers, Inc. 300 13,687
----------
88,067
----------
</TABLE>
24
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
FOOD PROCESSING & WHOLESALE--7.52%
Archer Daniels Midland Co. 630 $ 12,049
Coca-Cola Co. 1,800 87,975
General Mills, Inc. 200 10,900
Kellogg Co. 200 14,650
Pepsico, Inc. 800 28,300
Philip Morris Companies, Inc. 500 52,000
Sara Lee Corporation 400 12,950
----------
218,824
----------
FOREST PRODUCTS & PAPER--1.08%
International Paper Co. 200 7,375
Kimberly Clark Corporation 200 15,450
Weyerhaeuser Co. 200 8,500
----------
31,325
----------
HOME--CONSTRUCTION/TOOLS/FURNISHING--.40%
Fluor Corporation 100 6,537
Whirlpool Corporation 100 4,962
----------
11,499
----------
HOUSEHOLD PRODUCTS/WARES--1.63%
Colgate-Palmolive Co. 100 8,475
Procter & Gamble Co. 400 36,250
Rubbermaid, Inc. 100 2,725
----------
47,450
----------
INSURANCE--2.90%
Aetna Life & Casualty Co. 100 7,150
Allstate, Corporation 185 8,441
American General Corporation 200 7,275
American International Group 300 29,587
General Re Corporation 100 15,225
Highlands Insurance Corporation 10 187
Loews Corporation 100 7,887
Reliastar Financial Corporation 200 8,625
----------
84,377
----------
</TABLE>
25
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
IRON & STEEL--.44%
Corning, Inc. 200 $ 7,675
Nucor Corporation 100 5,062
----------
12,737
----------
MACHINE CONSTRUCTION/DIVERSIFIED--.93%
Caterpillar, Inc. 400 27,100
----------
27,100
----------
MEDICAL SUPPLIES & SERVICES--1.41%
Baxter International, Inc. 200 9,450
Columbia HCA/Healthcare Corporation 400 21,350
United Healthcare Corporation 200 10,100
----------
40,900
----------
METALS & MINING--1.00%
Alcan Aluminum 200 6,100
Aluminum Co. of America 200 11,475
Barrick Gold Corporation 200 5,425
Phelps Dodge Corporation 100 6,237
----------
29,237
----------
MISCELLANEOUS MANUFACTURING--1.63%
Allied Signal Corporation 200 11,425
Eastman Kodak Co. 200 15,550
Illinois Tool Works 100 6,762
Minnesota Mining & Manufacturing 200 13,800
----------
47,537
----------
OFFICE/BUSINESS EQUIPMENT--.76%
Harris Corporation 100 6,100
Xerox Corporation 300 16,050
----------
22,150
----------
</TABLE>
26
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
OIL/GAS DOMESTIC--1.71%
Atlantic Richfield Co. 100 $ 11,850
Enron Corporation 200 8,176
Occidental Petroleum 400 9,900
Pennzoil Co. 100 4,625
Tenneco, Inc. 100 5,113
Unocal Corporation 300 10,125
----------
49,789
----------
OIL/GAS INTERNATIONAL--6.28%
Amoco Corporation 300 21,712
Chevron Corporation 400 23,600
Exxon Corporation 600 52,125
Mobil Corporation 200 22,425
Royal Dutch Petroleum 300 46,125
Texaco, Inc. 200 16,776
----------
182,763
----------
OIL EQUIPMENT/EXPLORATION & SERVICES--.39%
Dresser Industries, Inc. 200 5,900
Halliburton Co. 100 5,550
----------
11,450
----------
PHARMACEUTICALS & BIOTECHNOLOGY--8.74%
Abbott Laboratories 400 17,400
American Home Products Corporation 400 24,050
Bristol Myers Squibb Co. 400 36,000
Johnson & Johnson 1,000 49,500
Merck & Co. 700 45,238
Pfizer, Inc. 400 28,550
Pharmacia and Upjohn Co. 145 6,434
Schering-Plough 400 25,100
Warner-Lambert Co. 400 22,000
----------
254,272
----------
</TABLE>
27
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
PUBLISHING--.89%
Donnelley R R & Sons 100 $ 3,488
Dun & Bradstreet 100 6,250
Gannett, Inc. 100 7,075
McGraw-Hill, Inc. 200 9,150
----------
25,963
----------
RAILROAD/TRUCKING/MISCELLANEOUS--1.06%
Norfolk Southern 200 16,950
Union Pacific Corporation 200 13,976
----------
30,926
----------
RESTAURANTS & LODGING--.87%
Darden Restaurants, Inc. 200 2,150
McDonald's Corp. 400 18,700
Promus Hotel Corporation** 150 4,444
----------
25,294
----------
RETAIL--GENERAL/DEPARTMENT--2.81%
Gap, Inc. 400 12,850
K Mart Corporaiton** 300 3,713
May Dept Stores Co. 300 13,125
Payless Shoesource, Inc.** 48 1,524
Penney (J.C.) Co. 200 10,500
Sears Roebuck & Co. 200 9,725
Wal-Mart Stores, Inc. 1,200 30,450
----------
81,887
----------
RETAIL--GROCERY/DRUG STORES--.28%
Albertsons, Inc. 200 8,275
----------
8,275
----------
SPECIALTY RETAIL/WHOLESALE--1.61%
Home Depot, Inc. 295 15,930
Lowe's Companies, Inc. 200 7,225
Mattel, Inc. 625 17,891
Toys "R" Us, Inc.** 200 5,700
----------
46,746
----------
</TABLE>
28
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1996
- --------------------------------------------------------------------------------
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
--------- ---------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
TELECOMMUNICATION UTILITIES--7.38%
American Telephone & Telegraph 1,000 $ 62,000
Ameritech 300 17,813
Bell Atlantic Corporation 400 25,500
Bellsouth Corporation 700 29,663
G.T.E. Corporation 600 26,850
M.C.I. Communications 300 7,688
Nynex Corporation 400 19,000
SBC Communications, Inc. 400 19,700
U.S. West, Inc. 200 6,375
----------
214,589
----------
TELECOMMUNICATIONS & EQUIPMENT--.40%
Airtouch Communications** 200 5,650
D. S. C. Communications** 200 6,025
----------
11,675
----------
TOTAL COMMONS STOCKS--96.91%
(Cost $2,166,357) $2,819,661
----------
TOTAL OPTIONS PURCHASED--1.54%
(Cost $59,620) 44,875
----------
TOTAL INVESTMENTS--98.44%
(Cost $2,225,977) 2,864,536
----------
TOTAL OPTIONS SOLD--( .79%)
(Premiums $30,836) (23,075)
----------
OTHER ASSETS AND LIABILITIES--2.34%
Cash Equivalents 147,170
Other Assets and Liabilities (net) (78,893)
----------
NET ASSETS--100.00%
$2,909,738
----------
----------
</TABLE>
** Non-income producing security
29
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $2,225,977)... $ 2,864,536
Cash equivalents.................................................... 147,170
Dividends receivable................................................ 5,105
Interest receivable................................................. 474
Other assets........................................................ 8,750
-------------
Total assets...................................................... 3,026,035
-------------
LESS LIABILITIES:
Options outstanding at market value (premiums received $30,836)..... 23,075
Payable for capital shares redeemed................................. 83,908
Accrued expenses.................................................... 9,314
-------------
Total liabilities................................................. 116,297
-------------
Net assets.......................................................... $ 2,909,738
-------------
-------------
REPRESENTED BY:
Paid-in capital..................................................... $ 2,258,480
Realized net gain on investments.................................... 4,938
Net unrealized appreciation of investments.......................... 646,320
-------------
$ 2,909,738
-------------
-------------
Net asset value, purchase and redemption price per outstanding
capital share (206,441 capital shares outstanding)................. $ 14.09
-------------
-------------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
June 30, 1996 December 31, 1995
-------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................... $ 19,310 $ 37,243
Net realized gain (loss) on investments and options...................... 4,938 25,830
Change in unrealized appreciation (depreciation) on investments and
options................................................................. 217,893 475,306
-------------- -------------------
Increase (decrease) in net assets from operations...................... 242,141 538,379
-------------- -------------------
DISTRIBUTION TO SHAREHOLDERS:
From net investment income............................................... (15,766) (37,803)
From net realized gains.................................................. 0 (19,165)
-------------- -------------------
Decrease in net assets from distributions.............................. (15,766) (56,968)
-------------- -------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 79,259 and 68,332 capital shares.................. 488,180 918,435
Proceeds from 4,599 and 3,782 capital shares issued in reinvestment of
distributions........................................................... 15,684 56,617
Redemption of 58,462 and 7,267 capital shares............................ (138,102) (650,359)
-------------- -------------------
Increase in net assets from fund share transactions...................... 365,762 324,693
-------------- -------------------
Net increase in net assets............................................... 592,137 806,104
Net assets, beginning of period........................................ 2,317,601 1,511,497
-------------- -------------------
Net assets, end of period.............................................. $ 2,909,738 $ 2,317,601
-------------- -------------------
-------------- -------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
30
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 30,116
Interest............................................................ 2,156
----------
Total investment income........................................... 32,272
----------
EXPENSES:
FEES PAID TO ANALYTIC/TSA GLOBAL ASSET MANAGEMENT (THE ADVISER):
Investment advisory and management fees........................... 8,000
Transfer agent and accounting fees................................ 3,200
Registration expenses............................................... 3,195
Auditing fees....................................................... 2,653
Organizational expenses............................................. 2,283
Legal fees.......................................................... 2,181
Shareholder services, reports and notices........................... 2,032
Custodian fees...................................................... 1,026
Insurance and other expenses........................................ 681
Directors' fees and expenses........................................ 406
----------
Total expenses.................................................... 25,657
Expenses paid indirectly............................................ (1,495)
Reimbursed expenses by the adviser.................................. (11,200)
----------
Net expenses...................................................... 12,962
Net investment income........................................... $ 19,310
----------
REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND OPTIONS:
Realized gains:
Proceeds from sales of investments.................................. $ 109,841
Cost of investments sold............................................ 104,903
----------
Total realized net gain........................................... 4,938
----------
Unrealized gains (losses):
Change in unrealized appreciation of investments.................... 209,811
Change in unrealized appreciation of options outstanding............ 8,082
Net change in unrealized appreciation............................... 217,893
----------
Net realized and unrealized gain on investments and options......... 222,831
----------
Net increase in net assets from operations........................ $ 242,141
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
31
<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.
32
<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/(Loss)
---------------- --------------- --------------
<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.
33
<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. For the year ending December 31, 1996,
the Adviser has voluntarily agreed to reimburse expenses that 0.60%, 0.80%,
1.00% 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 six-months ended June 30, 1996, the cost basis of purchases and proceeds
of sales (including $140,285 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................... $ 4,857,563 $ 3,777,099
Master Fixed Income Portfolio..................... 7,912,158 55,051,642
Enhanced Equity Portfolio......................... 495,195 109,841
</TABLE>
34
<PAGE>
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................ 507 $ 410,168
Options written................................... 1,193 317,318
Options terminated in closing purchase
transactions..................................... (253) (147,758)
Options expired................................... (323) (149,285)
Options exercised................................. (327) (76,890)
------ ----------
Outstanding at June 30, 1996...................... 797 $ 353,553
------ ----------
------ ----------
</TABLE>
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................ 2 $ 1,292
Options written................................... 20 29,544
Options terminated in closing purchase
transactions..................................... 0 0
--
-----------
Outstanding at June 30, 1996...................... 22 $ 30,836
--
--
-----------
-----------
</TABLE>
At June 30, 1996, portfolio securities valued at $1,615,900 and $1,345,985 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 June 30, 1996, excluding ownership by the Adviser's retirement plan, certain
officers and trustees owned less than 5% of each Portfolio of the Fund.
5. REIMBURSED EXPENSES
The Fund has entered into an agreement whereby certain operating exenses 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 $8,193 and $1,495 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.
35
<PAGE>
SHORT TERM GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
One Month
Six Months Year Ended Year Ended Year Ended Ended
Ended December 31, December 31, December 31, December 31,
June 30, 1996 1995 1994 1993 1992
--------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period....................... $ 9.98 $ 9.55 $ 10.03 $ 10.03 $ 10.00
--------------- -------------- -------------- -------------- ---------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income........ 0.30 0.56 0.48 0.53 0.05
Net gains or losses on
securities (both realized
and unrealized)............. (0.20) 0.43 (0.48) 0.00 0.03
--------------- -------------- -------------- -------------- ---------------
Total from investment
operations................ 0.10 0.99 0.00 0.53 0.08
LESS DISTRIBUTIONS
Dividends (from net
investment income).......... 0.30 0.56 0.48 0.53 0.05
Distributions (from capital
gains)...................... 0.00 0.00 0.00 0.00 0.00
--------------- -------------- -------------- -------------- ---------------
Total distributions........ 0.30 0.56 0.48 0.53 0.05
--------------- -------------- -------------- -------------- ---------------
Net asset value, end of
period....................... $ 9.78 $ 9.98 $ 9.55 $ 10.03 $ 10.03
--------------- -------------- -------------- -------------- ---------------
--------------- -------------- -------------- -------------- ---------------
TOTAL RETURN................... 1.00% 10.65% 0.00% 5.37% 9.38%+
--------------- -------------- -------------- -------------- ---------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000)........................ $ 28,331 $ 27,880 $ 24,481 $ 26,097 $ $7,619
Ratio of expenses to average
net assets (1)............... 0.56%+ 0.50% 0.45% 0.45% 0.45%+
Ratio of net investment income
to average net assets........ 5.99%+ 5.76% 5.37% 4.91% 5.45%+
Portfolio turnover rate........ 17.37% 10.15% 3.21% 85.69% 0.00%
</TABLE>
(1) Net of expense reimbursements of .21%, .32%, .40%, .30% and .32% of average
net assets, respectively.
+ Annualized
36
<PAGE>
MASTER FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
One Month
Six Months Year Ended Year Ended Year Ended Ended
Ended December 31, December 31, December 31, December 31,
June 30, 1996 1995 1994 1993 1992
--------------- -------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period....................... $ 10.41 $ 9.50 $ 10.26 $ 10.06 $ 10.00
--------------- -------------- --------------- --------------- ---------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income........ 0.30 0.61 0.64 0.67 0.04
Net gains or losses on
securities (both realized
and unrealized)............. (0.22) 0.91 (0.75) 0.41 0.06
--------------- -------------- --------------- --------------- ---------------
Total from investment
operations................ 0.08 1.52 (0.11) 1.08 0.10
LESS DISTRIBUTIONS
Dividends (from net
investment income).......... 0.30 0.61 0.64 0.67 0.04
Distributions (from capital
gains)...................... 0.00 0.00 0.01 0.21 0.00
--------------- -------------- --------------- --------------- ---------------
Total distributions........ 0.30 0.61 0.65 0.88 0.04
--------------- -------------- --------------- --------------- ---------------
Net asset value, end of
period....................... $ 10.19 $ 10.41 $ 9.50 $ 10.26 $ 10.06
--------------- -------------- --------------- --------------- ---------------
--------------- -------------- --------------- --------------- ---------------
TOTAL RETURN................... 0.76% 16.43% (1.04)% 10.94% 13.09%+
--------------- -------------- --------------- --------------- ---------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000)........................ $ 27,436 $ 24,868 $ 6,155 $ 8,066 $ 9,219
Ratio of expenses to average
net assets (1)............... 0.74%+ 0.69% 0.60% 0.60% 0.60%+
Ratio of net investment income
to average net assets........ 5.81%+ 5.99% 7.16% 6.39% 5.63%+
Portfolio turnover rate........ 14.63% 31.82% 44.30% 105.39% 0.00%
Average commission rate (2).... $ 0.0471 $ 0.0277
</TABLE>
(1) Net of expense reimbursements of .26%, .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
37
<PAGE>
ENHANCED EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
One Month
Six Months Year Ended Year Ended Year Ended Ended
Ended December 31, December 31, December 31, December 31,
June 30, 1996 1995 1994 1993 1992
--------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period....................... $ 12.94 $ 9.83 $ 10.15 $ 10.02 $ 10.00
--------------- -------------- --------------- --------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income........ 0.07 0.23 0.28 0.40 0.01
Net gains or losses on
securities (both realized
and unrealized)............. 1.15 3.22 (0.32) 0.62 0.02
--------------- -------------- --------------- --------------- --------------
Total from investment
operations................ 1.22 3.45 (0.04) 1.02 0.03
LESS DISTRIBUTIONS
Dividends (from net
investment income).......... 0.07 0.23 0.28 0.40 0.01
Distributions (from capital
gains)...................... 0.00 0.11 0.00 0.37 0.00
Return of capital............ 0.00 0.00 0.00 0.12 0.00
--------------- -------------- --------------- --------------- --------------
Total distributions........ 0.07 0.34 0.28 0.89 0.01
--------------- -------------- --------------- --------------- --------------
Net asset value, end of
period....................... $ 14.09 $ 12.94 $ 9.83 $ 10.15 $ 10.02
--------------- -------------- --------------- --------------- --------------
--------------- -------------- --------------- --------------- --------------
TOTAL RETURN................... 9.52% 35.36% (0.37)% 10.07% 4.08%+
--------------- -------------- --------------- --------------- --------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000)........................ $ 2,910 $ 2,318 $ 1,511 $ 903 $ 12,823
Ratio of expenses to average
net assets (1)............... 0.97%+ 0.50% 0.24% 0.57% 0.70%+
Ratio of net investment income
to average net assets........ 1.45%+ 2.02% 3.24% 2.16% 1.66%+
Portfolio turnover rate........ 0.50% 10.15% 24.75% 76.34% 25.20%
Average commission rate (2).... $ 0.0471 $ 0.0431
</TABLE>
(1) Net of expense reimbursements of .84%, .83%, 1.11%, .47% and .50% of average
net assets, respectively.
(2) The formula for calculating the average commission rate is total commission
paid divided by the total shares purchased and sold. Each option contract is
100 shares.
+ Annualized
38
<PAGE>
OFFICERS AND DIRECTORS
CHAIRMAN OF THE
BOARD OF TRUSTEES..................................... Michael F. Koehn
TRUSTEE............................................... Michael D. Butler
TRUSTEE............................................... Robertson Whittemore
PRESIDENT............................................. Alan L. Lewis
EXECUTIVE VICE PRESIDENT
AND SECRETARY......................................... Charles L. Dobson
TREASURER............................................. Alan R. Adelman
SENIOR VICE PRESIDENT................................. Deborah D. Boedicker
VICE PRESIDENT AND PRINCIPAL
ACCOUNTING OFFICER.................................... Ricardo R. Porras
VICE PRESIDENT........................................ Deborah C. Sheflin
INVESTMENT ADVISER
Analytic-TSA Global Asset Management, Inc.
2222 Martin Street, Suite 230
Irvine, CA 92612-1454
TRANSFER AGENT, DIVIDEND DISBURSEMENT AGENT,
AND SHAREHOLDER RELATIONS SERVICING AGENT
Analytic-TSA Global Asset Management, Inc.
2222 Martin Street, Suite 230
Irvine, California 92612-1454
CUSTODIAN
The Union Bank of California, N.A.
Mutual Fund Services
475 Sansome Street, 11th Floor
San Francisco, California 94111
COUNSEL
Paul, Hastings, Janofsky & Walker
555 South Flower Street
Los Angeles, California 90071
INDEPENDENT ACCOUNTANTS
Deloitte & Touche, LLP
1000 Wilshire Blvd., Suite 1500
Los Angeles, California 90017
THE ANALYTIC SERIES FUND
2222 Martin Street, Suite 230
Irvine, California 92612-1454
Phone: (800)374-2633
FAX: (714) 833-8049
- ---------------------------------------------------------
SEMI-ANNUAL REPORT
AND EIGHTEEN YEAR REVIEW
JUNE 30, 1996
- -----------------------------------
THE ANALYTIC SERIES FUND
- ----------------------------
ANALYTIC - TSA
GLOBAL ASSET
MANAGEMENT, INC.
