<PAGE>
MEMBER OF
100% NO-LOAD-TRADEMARK-
ANALYTIC SERIES FUND MUTUAL FUND COUNCIL
- -------------------------
August 6, 1997
Dear Fellow Shareholders,
U.S. stock markets surged upward during the second quarter of 1997. Large
capitalization ("Blue Chip") indices, such as the S&P 500, continued their
strong showing in the US equity markets. The S&P 500 strung together three
months over 4% for a quarterly return of 17.4% and 20.4% year-to-date for the
period ending June 30, 1997. The performance of small capitalization stocks was
also impressive, with the S&P SmallCap 600 up 18.1% for the quarter and 11.6%
for first six months ending June 30, 1997. All of the above returns are with
dividends reinvested.
The upward market movement was broadly based with 86 out of 90 S&P index
industry groups showing a positive return for the quarter. The best performing
sector was trucking which was up a striking 40.6%, although machine companies
also performed well, up 39.2%. The worst performing sectors during the quarter
were shoes and gold, down 4.9% and 7.0%, respectively.
U.S. fixed income markets also posted strong gains during the second quarter
of 1997. Mild economic growth data quelled fears of suspected interest rate
hikes by the Federal Open Market Committee. As a result, all parts of the yield
curve benefited. Shorter-term (1-3 years) Treasury issues were up 2.2% for the
quarter and 2.9% for the first six months ending June 30, 1997 while
intermediate-term (5-10 years) Treasury issues increased 3.9% for the quarter
and 2.5% for the first six months of the same period. Longer term issues gained
the most, with 15+ year Treasury bonds up 5.6% for the quarter and 2.1% for the
first six months.
ENHANCED EQUITY PORTFOLIO
As of June 30, 1997, your Portfolio's net asset value increased 14.9% per
share for the quarter and 16.7% for the first six months, while the S&P 500
Index increased 17.4% and 20.4% for the same periods, both with dividends
reinvested. At quarter end, your Portfolio's share price was $14.04 after paying
its 16th consecutive quarterly dividend (since public inception) from net
investment income of $0.04 per share. With the addition of the second quarter,
your portfolio has now increased 30.0% versus the S&P 500's 30.7% over the last
nine months, since the inception of the new stock selection model.
The strong nine month performance and solid historical performance resulted
in the Enhanced Equity Portfolio receiving a 5-Star rating (highest rating
available) from Morningstar, Inc. for the 4 year period since its inception in
July 1, 1993.(i) The rating was given to the portfolio within it's equity
universe of 2,000 mutual funds and was awarded due to its strong performance and
below average risk.
MASTER FIXED INCOME PORTFOLIO
As of June 30, 1997, your portfolio was up 3.7% for the quarter and 3.2% for
six months. The Lehman Bothers Government/Corporate Bond Index (LBGC) was up
3.6% for the quarter and 2.7% for six months of the same period. At quarter end,
the Portfolio's share price was $10.31 after paying its 48th consecutive monthly
dividend (since public inception) from net investment income. The total
quarterly dividend paid through June 30 was $0.141 per share, and the SEC 30-day
and seven-day yield were 5.46% and 5.85% respectively.
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO
As of June 30, 1997, your Portfolio's total return was 1.7% for the quarter
and 2.2% for six months. The Merrill Lynch 1 to 3 Year Treasury Index increased
2.2% and 2.9%, respectively for the same periods. At quarter end, the
Portfolio's share price was $9.77 after paying its 48th consecutive monthly
dividend (since public inception) from net investment income. The total
quarterly dividend paid through June 30 was $0.1368 per share, and the SEC
30-day and seven-day yield was 5.54% and 5.71% respectively.
These Funds are suited for investors with differing risk tolerance levels,
allowing investors to easily adjust their portfolio within the Analytic Family
of Funds. 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 YOUR BUSINESS AND THANK YOU FOR INVESTING WITH US.
/s/ Harindra de Silva, /s/ Dennis M. Bein, CFA /s/ Scott T. Barker
Ph.D., CFA
Harindra de Silva, Ph.D. Dennis M. Bein, CFA Scott T. Barker
CFA Portfolio Manager Portfolio Manager
President
ANALYTIC SERIES FUND
TOTAL RETURN*
FROM INCEPTION 7/1/93--6/30/97, PERCENT
<TABLE>
<CAPTION>
2ND QUARTER 6 MONTH 1 YEAR INCEPTION
------------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Short-Term Government Portfolio.... 1.72% 2.20% 6.54% 4.93%
Master Fixed Income Portfolio...... 3.70 3.19 8.24 6.82
Enhanced Equity Portfolio.......... 14.94 16.65 30.96 19.23
</TABLE>
* Periods greater than six months are annualized.
(i)Morningstar proprietary ratings reflect historical risk-adjusted performance
as of June 30, 1997. The ratings are subject to change every month. Past
performance is no guarantee of future results. Morningstar ratings are
calculated from the funds' three, five and ten year average returns in excess of
90-day T-bill returns. The one-year rating is calculated using the same
methodology, but is not a component of the overall rating. The top ten percent
of the funds in an investment category receive five stars, the next 22.5%
receive four stars, the next 35 receive three stars. The Enhanced Equity
Portfolio received a 5 star rating for the 4 year period among 1,997 Domestic
Equity funds. The Master Fixed Income Portfolio received a 4 star rating for the
3 year period among 1,248 Fixed Income funds. The Short-Term Government
Portfolio received a 4 star rating for the 3 year period among 1,248 Fixed
Income funds.
2
<PAGE>
ANALYTIC SERIES FUND
TOTAL RETURN
GROWTH OF $10,000 INVESTMENT
7/1/93--6/30/97
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
THOUSANDS
<S> <C> <C> <C>
Enhanced Equity Portfolio S & P 500 CPI
$10,000 $10,000 $10,000
Sep-93 $10,162 $10,256 $10,049
12/93 $10,450 $10,493 $10,097
3/94 $10,120 $10,093 $10,194
6/94 $10,213 $10,134 $10,249
9/94 $10,537 $10,633 $10,346
12/94 $10,411 $10,630 $10,367
3/95 $11,343 $11,665 $10,485
6/95 $12,481 $12,772 $10,561
9/95 $13,508 $13,788 $10,609
12/95 $14,092 $14,609 $10,630
3/96 $14,865 $15,403 $10,783
6/96 $15,434 $16,099 $10,852
9/96 $15,554 $16,591 $10,928
12/96 $17,327 $17,980 $10,983
3/97 $17,585 $18,449 $11,080
6/97 $20,212 $21,671 $11,091
Average Annual Return 19.23%
Past performance is not predictive of future
performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
THOUSANDS
<S> <C> <C>
Master Fixed Lehman Bros. Govt./
Income Portfolio Corp. Bond Index
$10,000 $10,000
9/93 $10,342 $10,332
12/93 $10,363 $10,302
3/94 $10,077 $9,978
6/94 $10,053 $9,854
9/94 $10,229 $9,904
12/94 $10,256 $9,940
3/95 $10,692 $10,436
6/95 $11,270 $11,112
9/95 $11,500 $11,323
12/95 $11,941 $11,853
3/96 $11,975 $11,575
6/96 $12,031 $11,630
9/96 $12,243 $11,835
12/96 $12,620 $12,197
3/97 $12,558 $12,092
6/97 $13,020 $12,531
Average Annual Return 6.82%
Past performance is not predictive of future
performance.
</TABLE>
3
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
THOUSANDS
<S> <C> <C>
Short-Term Merrill Lynch
1-3 Yr. Treasury
Government Portfolio Index
$10,000 $10,000
9/93 $10,143 $10,144
12/93 $10,200 $10,203
3/94 $10,101 $10,153
6/94 $10,090 $10,161
9/94 $10,204 $10,261
12/94 $10,199 $10,262
3/95 $10,542 $10,606
6/95 $10,856 $10,946
9/95 $11,017 $11,111
12/95 $11,274 $11,390
3/96 $11,287 $11,428
6/96 $11,386 $11,544
9/96 $11,561 $11,734
12/96 $11,869 $11,957
3/97 $11,926 $12,036
6/97 $12,125 $12,302
Average Annual Return 4.93%
Past performance is not predictive of future
performance.
</TABLE>
The S&P 500 Index is an unmanaged index composed of 400 industrial, 40
financial, 40 utilities and 20 transportation stocks.
Please note that one cannot invest in an unmanaged index.
The investment returns quoted represent past returns, net of all fees and
expenses. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
4
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- --------- ------ -------- ----------
<C> <S> <C> <C> <C>
ASSET-BACKED SECURITIES--28.33% OF NET ASSETS
$300,000 Federal Home Loan Mortgage Corp. (Cost $296,342) 6.51% 12/10/01 $ 297,098
----------
U.S. TREASURY OBLIGATIONS--56.85%
300,000 Treasury Note 5.63% 11/30/00 293,906
200,000 Treasury Note 7.25% 2/15/98 201,813
100,000 Treasury Note 6.25% 3/31/99 100,344
----------
TOTAL U.S. TREASURY OBLIGATIONS 596,063
(Cost $605,721)
----------
CASH EQUIVALENTS--13.16%
138,023 SEI Daily Income Prime Obligation Fund 5.44% (Cost 138,023
$138,024)
----------
TOTAL INVESTMENTS (COST $1,040,087)--98.34% 1,031,184
EXCESS OTHER ASSETS OVER LIABILITIES (NET)--1.66% 17,398
----------
NET ASSETS--100% $1,048,582
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
5
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $902,063)..................................... $ 893,161
Cash equivalents.................................................................................... 138,023
Receivable from investment advisor.................................................................. 13,759
Accrued interest receivable......................................................................... 11,579
Unamortized organization expense.................................................................... 1,156
---------
Total assets...................................................................................... 1,057,678
---------
LESS LIABILITIES:
Accrued expenses.................................................................................... 8,907
Trustees' fees payable.............................................................................. 189
---------
Total liabilities................................................................................... 9,096
---------
NET ASSETS............................................................................................ $1,048,582
---------
---------
REPRESENTED BY:
Paid in capital..................................................................................... $1,852,053
Undistributed net investment income................................................................. (158)
Net realized loss on investment and foreign currency transactions................................... (794,411)
Net unrealized appreciation/depreciation of investment and foreign currency transactions............ (8,902)
---------
$1,048,582
---------
---------
Net asset value, purchase and redemption price per outstanding capital share (107,306 capital shares
outstanding)...................................................................................... $ 9.77
---------
---------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, 1997 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1996
------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income......................................................... $ 22,207 $ 1,521,025
Net realized loss on investments.............................................. (498) (444,657)
Change in unrealized appreciation on investments.............................. (872) (8,088)
------------- -----------------
Increase in net assets from operations...................................... 20,837 1,068,280
------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.................................................... (22,365) (1,521,025)
Return of capital............................................................. -- (12,345)
------------- -----------------
Decrease in net assets from distributions................................... (22,365) (1,533,370)
------------- -----------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 111,027 and 115,424 capital shares for six months ended
June 30, 1997 and year ended December 31, 1996, respectively................ 1,083,951 1,165,744
Proceeds from 2,249 and 149,181 capital shares issued upon reinvestment of
distributions for six months ended June 30, 1997 and year ended December 31,
1996, respectively.......................................................... 21,995 1,465,395
Cost of 108,428 and 2,957,142 capital shares redeemed for six months ended
June 30, 1997 and year ended December 31, 1996, respectively................ (1,063,415) (29,038,540)
------------- -----------------
Increase (decrease) in net assets from fund share transactions.............. 42,531 (26,407,401)
------------- -----------------
Net increase (decrease) in net assets......................................... 41,003 (26,872,491)
Net assets, beginning of period............................................. 1,007,579 27,880,070
------------- -----------------
Net assets, end of period................................................... $ 1,048,582 $ 1,007,579
------------- -----------------
------------- -----------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
6
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.................................................. $ 24,604
----------
Total investment income................................. 24,604
----------
EXPENSES:
Registration fees......................................... 9,073
Administrative fees....................................... 5,235
Organizational expenses................................... 1,362
Investment advisory and management fees................... 1,199
Audit and tax fees........................................ 539
Shareholder services, reports and notices................. 338
Trusteees' fees and expenses.............................. 201
Custodian fees............................................ 120
Legal fees................................................ 82
----------
Total expenses.......................................... 18,149
Reimbursed expenses by the adviser........................ (15,752)
----------
Net expenses.............................................. 2,397
----------
Net investment income..................................... 22,207
----------
NET REALIZED & UNREALIZED LOSSES ON INVESTMENTS
Net realized loss on investments.......................... (498)
Net change in unrealized appreciation/depreciation on
investments............................................. (872)
----------
Net realized and unrealized loss on investments......... (1,370)
----------
Net increase in net assets from operations............ $ 20,837
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
7
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
FIXED INCOME SECURITIES
Principal Maturity Market
Amount Coupon Date Value
- ---------- -------- -------- -----------
U.S. TREASURY OBLIGATIONS--17.64% OF NET ASSETS
<C> <S> <C> <C> <C>
$ 300,000 Treasury Bond 7.50% 11/15/16 $ 320,625
250,000 Treasury Bond 8.00 11/15/21 282,734
350,000 Treasury Note 5.25 7/31/98 347,812
1,000,000 Treasury Note 5.63 11/30/00 979,688
500,000 Treasury Note 5.88 6/30/00 495,312
250,000 Treasury Note 6.25 2/15/03 248,047
150,000 Treasury Note 6.38 1/15/99 150,891
250,000 Treasury Note 6.38 8/15/02 249,844
1,500,000 Treasury Note 6.50 5/15/05 1,497,657
200,000 Treasury Note 8.00 5/15/01 211,313
250,000 Treasury Note 8.50 11/15/00 266,563
125,000 Treasury Note 8.88 5/15/00 133,711
275,000 Treasury Note 9.13 5/15/99 289,609
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $5,649,395) 5,473,806
-----------
U.S. MORTGAGE BACKED SECURITIES--13.60%
Federal Home Loan Mortgage Corporation Gold Pool
1,095,839 #D66053 7.00% 12/1/25 1,078,065
Federal Home Loan Mortgage Corporation Gold Pool
582,083 #C80397 7.50 4/1/26 584,720
Federal Home Loan Mortgage Corporation Gold Pool
98,189 #C00120 8.00 5/1/22 101,219
Federal Home Loan Mortgage Corporation Gold Pool
100,046 #A00771 8.50 8/1/17 105,364
1,134,617 Federal National Mortgage Association Pool #250440 7.00 1/1/26 1,114,398
101,145 Federal National Mortgage Association Pool #55554 8.50 6/1/08 106,334
557,976 Government National Mortgage Association Pool #345414 6.50 11/15/23 537,945
111,127 Government National Mortgage Association Pool #8228 7.13 7/20/23 114,535
108,871 Government National Mortgage Association Pool #344313 7.50 7/15/23 109,761
100,308 Government National Mortgage Association Pool #326210 7.50 9/15/23 101,235
60,464 Government National Mortgage Association Pool #341445 8.00 12/15/22 62,207
49,649 Government National Mortgage Association Pool #311857 8.50 9/15/21 52,099
33,943 Government National Mortgage Association Pool #302242 9.50 2/15/21 36,668
28,468 Government National Mortgage Association Pool #297479 10.00 9/15/20 31,092
33,133 Government National Mortgage Association Pool #299059 10.00 10/15/20 36,187
13,201 Government National Mortgage Association Pool #290783 10.00 6/15/20 14,417
32,076 Government National Mortgage Association Pool #298778 10.00 11/15/20 35,032
-----------
TOTAL U.S. MORTGAGE BACKED SECURITIES
(Cost $4,258,103) 4,221,278
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
8
<PAGE>
<TABLE>
<CAPTION>
FIXED INCOME SECURITIES (CONTINUED)
Principal Maturity Market
Amount Coupon Date Value
- ---------- -------- -------- -----------
U.S. AGENCY OBLIGATIONS--19.51%
<C> <S> <C> <C> <C>
$ 500,000 Federal Home Loan Bank 5.88% 8/20/03 $ 481,160
500,000 Federal Home Loan Bank 6.83 6/7/01 503,120
665,000 Federal Home Loan Mortgage Corporation 7.75 11/7/01 695,496
500,000 Federal National Mortgage Association 5.88 2/2/06 470,659
525,000 Federal National Mortgage Association 6.36 8/16/00 524,980
1,000,000 Federal National Mortgage Association 6.63 4/18/01 1,005,432
1,000,000 Federal National Mortgage Association 7.00 5/10/01 1,005,581
200,000 Federal National Mortgage Association 7.55 4/22/02 208,179
400,000 Federal National Mortgage Association 7.65 3/10/05 421,552
500,000 Student Loan Marketing Association 6.05 9/14/00 495,028
250,000 Tennessee Valley Authority 6.38 6/15/05 244,592
-----------
TOTAL U.S. AGENCY OBLIGATIONS
(Cost $6,058,454) 6,055,779
-----------
CORPORATE OBLIGATIONS/OTHER--19.66%
95,000 African Development Bank 6.75% 10/1/04 94,131
125,000 Amoco Canada Corp. 6.75 2/15/05 124,606
161,000 Atlantic Richfield Corp. 10.25 7/2/00 163,907
100,000 Australia Commonwealth 8.38 3/15/17 108,913
100,000 Du Pont (e.i.) De Nemours 6.00 12/1/01 97,644
100,000 Du Pont (e.i.) De Nemours 8.50 2/15/03 105,876
220,000 Ford Capital BV 9.50 8/9/00 235,310
280,000 General Electric Capital 8.50 7/24/08 313,150
500,000 General Motors Acceptance Corp. 6.88 7/15/01 501,838
1,000,000 Gillette Co. 5.75 10/15/05 933,975
500,000 Glaxo Wellcome Plc 6.13 1/25/06 475,625
200,000 KFW International Finance 7.63 2/15/04 209,085
105,000 Kingdom Of Sweden 11.13 6/1/15 145,833
250,000 Kingdom Of Sweden 12.75 10/15/97 254,629
100,000 Limited, Inc. 8.88 8/15/99 103,729
250,000 McGraw-Hill, Inc. 9.43 9/1/00 268,591
250,000 Norddeutsche Landesbank Corp. 6.88 3/10/03 248,777
250,000 Premark Corporation 10.50 9/15/00 276,605
200,000 Private Export Funding 6.90 1/31/03 203,051
250,000 Private Export Funding 9.45 12/31/99 268,053
800,000 SmithKline Beecham 7.38 11/10/97 803,714
160,000 Standard Credit Card Master Trust 8.88 7/7/98 164,638
-----------
TOTAL CORPORATE OBLIGATIONS/OTHER
(Cost $6,249,500) 6,101,680
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
FIXED INCOME SECURITIES (CONCLUDED)
Principal Maturity Market
Amount Date Value
- ---------- -------- -----------
ZERO COUPON BONDS--0.71%
<C> <S> <C> <C> <C>
$ 50,000 Kingdom Of Sweden 4/1/04 $ 31,835
1,000,000 Resolution Funding Corp. Strip Principal 1/15/21 190,054
-----------
TOTAL ZERO COUPON BONDS
(Cost $201,433) 221,889
-----------
TOTAL FIXED INCOME SECURITIES--71.12%
(Cost $22,416,885) 22,074,432
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
<TABLE>
<CAPTION>
Outstanding Options
(*Indicates Put)
-----------------------------------------------------
COMMON STOCKS 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--(0.04%)
AAR Corp. $ 10,000 Oct '97 $30.00* $ $ 11,250
--------
AIR TRANSPORT--0.07%
Comair Inc. 6,000 Sep '97 25.00 20,250
--------
BANKS/SAVINGS & LOANS--(0.02%)
Crestar Financial Corp. 4,500 Dec '97 35.00* 5,906
--------
BUILDING/PACKAGE MATERIALS--(0.06%)
Fastenal Co. 3,000 Nov '97 50.00* 17,438
--------
CHEMICALS--(0.02%)
Cytec Industries, Inc. 4,500 Aug '97 35.00* 2,813
Engelhard Corp. 3,000 Jul '97 22.50 281
Great Lakes Chemical Corp. 3,500 Sep '97 45.00* 2,078
Hercules, Inc. 3,500 Sep '97 40.00* 656
-------- --------
281 5,547
-------- --------
COMPUTER SERVICES/SOFTWARE--0.65%
Cadence Design Systems 2,500 Aug '97 30.00* 3,594
Cisco Systems Inc** 5,000 335,625 5,000 Oct '97 45.00 118,750
Comverse Technology Inc. 3,500 Jan '98 45.00* 19,469
MicroAge, Inc. 8,000 Aug '97 15.00* 5,250
Parametric Technology Corp. 2,500 Aug '97 65.00 156
Synopsys Inc. 5,000 Aug '97 30.00 9,688
----------- -------- --------
335,625 9,844 147,063
----------- -------- --------
COMPUTERS--(0.03%)
Cabletron System Inc 5,000 Jul '97 30.00* 10,625
--------
COSMETICS & PERSONAL CARE--(0.01%)
NBTY, Inc. 7,500 Sep '97 27.00* 2,344
Rexall Sundown, Inc. 6,000 Aug '97 25.00* 937
--------
3,281
--------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Investments Outstanding Options
----------------------- (*Indicates Put)
-----------------------------------------------------
Market Value
------------------
COMMON STOCKS (CONTINUED)
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- -------- --------
ELECTRONICS--0.59%
<S> <C> <C> <C> <C> <C> <C> <C>
Advanced Micro Devices, Inc. $ 7,000 Jul '97 $42.50* $ $ 54,250
Applied Magnetics 13,500 Oct '97 22.50* 48,938
Atmel Corp. 3,500 Aug '97 25.00 13,562
Electroglas, Inc. 8,500 Oct '97 17.50 69,594
Hewlett Packard Co. 5,000 280,000 5,000 Jan '98 35.00 106,250
Kulicke & Soffa Industries, Inc. 4,500 Oct '97 35.00 15,750
Linear Technology Corp. 3,000 Aug '97 50.00 13,313
----------- -------- --------
280,000 112,219 209,438
----------- -------- --------
FINANCIAL SERVICES & BROKERS--0.00%
Student Loan Marketing 3,000 Jul '97 100.00* 375
--------
FOREST PRODUCTS & PAPER--0.02%
James River Corp. 7,500 Sep '97 40.00 7,500
--------
INSURANCE--(0.07%)
Allstate Corp. 3,500 Oct '97 80.00 5,687
Conseco, Inc. 8,000 Jan '98 37.50* 28,500
-------- --------
5,687 28,500
-------- --------
MEDICAL SUPPLIES & SERVICES--0.13%
Acuson Corp. 6,500 Oct '97 22.50* 13,000
Organogenesis, Inc. 7,500 Jul '97 25.00* 8,906
Sofamor Danek Group, Inc. 6,500 Sep '97 45.00 21,531
Spacelabs Medical, Inc. 5,000 Jul '97 20.00* 625
United Healthcare Ltd. 6,000 Sep '97 50.00 31,125
VISX, Inc. 6,000 Sep '97 25.00 11,250
-------- --------
63,906 22,531
-------- --------
MISCELLANEOUS MANUFACTURING--(0.01%)
Timken Co. 5,000 Sep '98 32.50* 3,125
--------
OIL AND GAS--0.48%
El Paso Natural Gas Co. 2,500 Jan '98 60.00 3,125
Nicor, Inc. 4,000 143,500 4,000 Jul '97 35.00* 750
----------- --------
143,500 3,875
----------- --------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
<TABLE>
<CAPTION>
Investments Outstanding Options
----------------------- (*Indicates Put)
-----------------------------------------------------
Market Value
------------------
COMMON STOCKS (CONTINUED)
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- -------- --------
OIL EQUIPMENT/EXPLORATION & SERVICES--0.24%
<S> <C> <C> <C> <C> <C> <C> <C>
Baker Hughes, Inc. $ 8,500 Oct '97 $35.00* $ $ 11,156
Ensco International, Inc. 3,000 Sep '97 50.00* 8,813
Pogo Producing 3,000 116,063 3,000 Jul '97 40.00 2,625
Seitel, Inc. 8,500 Nov '97 35.00* 18,594
----------- --------
116,063 41,188
----------- --------
PHARMACEUTICAL & BIOTECHNOLOGY--(0.39%)
Centocor, Inc 3,500 Jul '97 40.00 438
Enzo Biochem, Inc. 20,000 Oct '97 15.00* 30,000
Liposome Co., Inc. 7,500 Nov '97 20.00* 83,438
North American Vaccine, Inc. 6,000 Sep '97 17.50* 8,625
-------- --------
438 122,063
-------- --------
RESTAURANTS & LODGING--(0.16%)
Boston Chicken, Inc. 7,500 Oct '97 20.00* 48,281
--------
RETAIL--GENERAL/DEPARTMENT--0.00%
Neiman Marcus Group, Inc. 6,500 Jul '97 22.50* 609
--------
SPECIALTY RETAIL/WHOLESALE--0.02%
Ann Taylor Stores Corp. 7,500 Sep '97 20.00 13,125
Nautica Enterprises, Inc. 6,500 Jul '97 22.50* 2,437
Russell Corp. 4,000 Oct '97 25.00* 3,000
-------- --------
13,125 5,437
-------- --------
TELECOMMUNICATION UTILITIES--0.06%
American Telephone & Telegraph Corp. 8,500 Oct '97 35.00 19,125
--------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
MASTER FIXED INCOME PORTFOLIO JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Investments Outstanding Options
----------------------- (*Indicates Put)
-----------------------------------------------------
Market Value
------------------
COMMON STOCKS (CONTINUED)
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- -------- --------
TELECOMMUNICATIONS & EQUIPMENT--0.02%
<S> <C> <C> <C> <C> <C> <C> <C>
Digital Microwave Corp. $ 4,500 Sep '97 $35.00 $ 6,469 $
----------- -------- -------- --------
TOTALS $ 875,188 $262,719 $682,657
----------- -------- --------
----------- -------- --------
TOTAL FIXED INCOME SECURITIES--71.12%
(Cost $22,416,885) $22,074,432
TOTAL COMMON STOCKS--2.82%
(Cost $765,785) $ 875,188
TOTAL OPTIONS PURCHASED--0.85%
(Cost $249,621) 262,719
-----------
TOTAL INVESTMENTS--74.79%
(Cost $23,432,291) 23,212,339
TOTAL OPTIONS SOLD--(2.20%)
(Premiums ($589,880)) (682,657)
CASH EQUIVALENTS--27.03%
SEI Daily Income Prime Obligation Fund 5.44%
(Cost $8,391,069) 8,391,069
EXCESS OTHER ASSETS OVER LIABILITIES (NET)--0.38% 117,199
-----------
NET ASSETS--100% $31,037,950
-----------
-----------
</TABLE>
**NON-INCOME PRODUCING SECURITY
________________________________________________________________________________
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
Percent of
Net Assets
----------
<S> <C>
1. U.S. Treasury Note 6.50%, 5/15/05 4.8%
2. Federal National Mortgage Association
Pool # 250440 7.00%, 1/1/26 3.6
3. Federal Home Loan Mortgage
Corporation Gold Pool # D66053
7.00%, 12/1/25 3.5
4. Federal National Mortgage Association
7.00%, 5/10/01 3.2
5. Federal National Mortgage Association
6.63%, 4/18/01 3.2
<CAPTION>
Percent of
Net Assets
----------
<S> <C>
6. U.S. Treasury Note 5.63%, 11/30/00 3.2%
7. Gillette Co. 5.75%, 10/15/05 3.0
8. SmithKline Beecham 7.38%, 11/10/97 2.6
9. Federal Home Loan Mortgage
Corporation Gold Pool # C80397
7.50%, 4/1/26 1.9
10. Government National Mortgage
Association Pool #345414
6.50%, 11/15/23 1.7
</TABLE>
*EXCLUDES CASH EQUIVALENTS
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $23,432,291)................................. $23,212,339
Cash equivalents................................................................................... 8,391,069
Accrued interest receivable........................................................................ 386,858
Receivable for investments sold.................................................................... 48,418
Receivable for variation margin on futures......................................................... 3,062
Dividends receivable............................................................................... 2,100
Unamortized organization expense................................................................... 2,988
-----------
Total assets..................................................................................... 32,046,834
-----------
LESS LIABILITIES:
Options outstanding at market value (premiums received $589,880)................................... 682,657
Payable for investments purchased.................................................................. 164,307
Dividends payable.................................................................................. 134,011
Accrued expenses................................................................................... 20,573
Payable to custodian bank.......................................................................... 7,336
-----------
Total liabilities................................................................................ 1,008,884
-----------
Net assets......................................................................................... $31,037,950
-----------
-----------
REPRESENTED BY:
Paid in capital.................................................................................... $30,832,446
Undistributed net investment income................................................................ 2,752
Undistributed net realized gain.................................................................... 514,418
Net unrealized depreciation of investments......................................................... (311,666)
-----------
$31,037,950
-----------
-----------
Net asset value, purchase and redemption price per outstanding capital share (3,010,824 capital
shares outstanding).............................................................................. $ 10.31
-----------
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, 1997 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1996
------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income........................................................ $ 831,817 $ 1,517,339
Net realized gain (loss) on investment and option transactions............... 516,347 388,620
Change in unrealized appreciation on investments and options outstanding..... (394,043) (351,052)
------------- -----------------
Increase in net assets from operations..................................... 954,121 1,554,907
------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................................................... (829,065) (1,517,896)
From net realized gains...................................................... -- (355,905)
In excess of net realized gains.............................................. -- (1,929)
------------- -----------------
Decrease in net assets from distributions.................................. (829,065) (1,875,730)
------------- -----------------
FUND SHARE TRANSACTIONS:
Proceeds from sales 231,078 and 1,071,233 capital shares for six months,
ended June 30, 1997 and year ended December 31, 1996, respectively......... 2,359,037 10,955,161
Proceeds from 7,381 and 22,483 capital shares issued upon reinvestment of
distributions six months ended June 30, 1997 and year ended December 31,
1996, respectively......................................................... 74,369 231,188
Cost of 43,605 and 665,512 capital shares redeemed for six months, ended June
30, 1997 and year ended December 31, 1996, respectively.................... (446,051) (6,807,732)
------------- -----------------
Increase (decrease) in net assets from fund share transactions............... 1,987,355 4,378,617
------------- -----------------
Net increase (decrease) in net assets........................................ 2,112,411 4,057,794
Net assets, beginning of period............................................ 28,925,539 24,867,745
------------- -----------------
Net assets, end of period.................................................. $ 31,037,950 $ 28,925,539
------------- -----------------
------------- -----------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest............................................................................................ $ 959,474
Dividend............................................................................................ 5,630
---------
Total investment income........................................................................... 965,104
---------
EXPENSES:
Investment advisory and management fees............................................................. 66,727
Administrative fees................................................................................. 28,508
Custodian fees...................................................................................... 10,380
Registration fees................................................................................... 9,945
Shareholder services, reports and notices........................................................... 5,967
Audit and tax fees.................................................................................. 4,310
Trustees' fees and expenses......................................................................... 3,647
Legal fees.......................................................................................... 995
Miscellaneous fees.................................................................................. 2,808
---------
Total expenses...................................................................................... 133,287
---------
Net investment income............................................................................... 831,817
---------
NET REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENT AND OPTION TRANSACTIONS
Net realized gain (loss) on:
Investments............................................................................ $ 451,539
Options................................................................................ 78,699
Futures................................................................................ (13,891)
---------
Total net realized gain............................................................................. 516,347
---------
Change in unrealized appreciation/depreciation:
Investments and options................................................................ (395,106)
Futures................................................................................ 1,063
---------
Total net change in unrealized appreciation/depreciation................................. (394,043)
---------
Net realized and unrealized loss on investment and option transactions................... 122,304
---------
Net increase in net assets from operations............................................... $ 954,121
---------
---------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
ENHANCED EQUITY PORTFOLIO JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS Shares Value
--------- ----------
<S> <C> <C>
AEROSPACE & DEFENSE--6.89% OF NET ASSETS
Boeing Co. 1,558 $ 82,671
Delta Airlines Inc. 763 62,566
Lockheed Martin Corp. 834 86,371
Northrop Grumman Corp. 1,158 101,687
----------
333,295
----------
AUTOS & TRUCKS--6.11%
Ford Motor Co. 3,314 125,104
General Motors Corp. 2,237 124,573
Navistar International Corp.** 2,654 45,781
----------
295,458
----------
BANKS/SAVINGS & LOANS--7.79%
Bankers Trust New York Corp. 853 74,211
Chase Manhattan Corp. 842 81,727
Citicorp 1,127 135,874
First Union Corp. (N.C.) 919 85,014
----------
376,826
----------
BEVERAGES, FOOD & TOBACCO--3.83%
Coca-Cola Co. 980 66,150
ConAgra, Inc. 1,715 109,975
Philip Morris Companies, Inc. 206 9,141
----------
185,266
----------
CHEMICALS--2.70%
Dow Chemical Co. 1,258 109,603
Monsanto Co. 493 21,230
----------
130,833
----------
COMPUTERS--3.71%
International Business Machines Corp. 1,076 97,042
Unisys Corp.** 10,812 82,441
----------
179,483
----------
CONSUMER DURABLES--0.26%
Snap-On Inc. 314 12,364
----------
COSMETICS--2.13%
Alberto-Culver Co. Class B 3,680 103,040
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS (CONTINUED) Shares Value
--------- ----------
<S> <C> <C>
ELECTRONICS--5.88%
Emerson Electric Co. 215 $ 11,838
General Electric Co. 1,383 90,414
Intel Corp. 554 78,564
Tektronix Inc. 1,731 103,860
----------
284,676
----------
ENTERTAINMENT & LEISURE--1.79%
King World Productions, Inc. 445 15,575
The Walt Disney Co. 883 70,861
----------
86,436
----------
FINANCIAL SERVICES & BROKERS--1.62%
Morgan Stanley, Dean Witter, Discover & Co. 1,823 78,503
----------
FOOD PROCESSING & WHOLESALE--0.99%
Pepsico, Inc. 1,095 41,131
SuperValu Stores 195 6,727
----------
47,858
----------
FOREST PRODUCTS & PAPER--0.91%
Kimberly Clark Corp. 888 44,178
----------
HEALTH CARE--4.26%
Boston Scientific Corp.** 1,721 105,734
Guidant Corp. 274 23,290
Humana Inc.** 3,332 77,052
----------
206,076
----------
HOUSEHOLD PRODUCTS/WARES--1.46%
Proctor & Gamble Co. 500 70,625
----------
INSURANCE--5.56%
American International Group, Inc. 74 11,054
CIGNA Corp. 578 102,595
Marsh & McLennan Co's., Inc. 1,130 80,653
Transamerica Corp. 798 74,663
----------
268,965
----------
IRON AND STEEL--0.75%
Inland Steel Industries, Inc. 1,389 36,288
----------
LODGING & RESTAURANTS--2.03%
Darden Restaurants, Inc. 10,835 98,192
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
ENHANCED EQUITY PORTFOLIO (CONTINUED) JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS (CONTINUED) Shares Value
--------- ----------
<S> <C> <C>
MACHINERY--5.66%
Caterpillar Inc 799 $ 85,793
Cummins Engine Co., Inc. 1,130 79,736
Grainger (W.W.), Inc. 81 6,333
NACCO Industries, Inc., Class A 1,809 102,095
----------
273,957
----------
MINING--0.79%
Freeport-McMoRan Copper & Gold, Inc., Class B 1,230 38,284
----------
OFFICE EQUIPMENT--0.74%
Harris Corp. 429 36,036
----------
OIL/GAS DOMESTIC--1.82%
Occidental Petroleum 3,063 76,766
Union Pacific Resources Group Inc. 444 11,045
----------
87,811
----------
OIL/GAS INTERNATIONAL--9.77%
Amoco Corp. 1,411 122,669
Chevron Corp. 274 20,259
Enron Corp. 1,768 72,156
Exxon Corp. 1,384 85,116
Mobil Corp. 1,354 94,611
Texaco, Inc. 716 77,865
----------
472,676
----------
PHARMACEUTICALS & BIOTECHNOLOGY--9.85%
Abbott Laboratories 532 35,511
Bristol Myers Squibb Co. 718 58,158
Johnson & Johnson 1,410 90,768
Merck & Co. 1,858 192,303
Warner-Lambert Co. 803 99,773
----------
476,513
----------
RETAIL--GENERAL/DEPARTMENT--1.58%
Sears Roebuck & Co. 1,424 76,540
----------
TELECOMMUNICATION UTILITIES--11.00%
Bell Atlantic Corp. 380 28,833
G T E Corp. 2,837 124,473
Lucent Technologies, Inc. 1,386 99,879
SBC Communications, Inc. 2,018 124,864
U. S. WEST Communications, Inc. 1,938 73,038
U. S. WEST Media Group** 3,996 80,919
----------
532,006
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS (CONTINUED) Shares Value
--------- ----------
<S> <C> <C>
UTILITIES--0.00%
Duke Energy Corp. 1 $ 48
----------
TOTAL COMMON STOCKS--99.88%
(Cost $4,447,638) 4,832,233
----------
EXCESS OTHER ASSETS OVER LIABILITIES--0.12% 5,645
----------
NET ASSETS--(100%) $4,837,878
----------
----------
</TABLE>
**NON-INCOME PRODUCING
________________________________________________________________________________
TEN LARGEST HOLDINGS
<TABLE>
<CAPTION>
Percent of Percent of
Net Assets Net Assets
---------- ----------
<S> <C> <C> <C>
1. Merck & Co. 4.0% 6. G T E Corp. 2.6%
2. Citicorp 2.8 7. Amoco Corp. 2.5
3. Ford Motor Co. 2.6 8. ConAgra, Inc. 2.3
4. SBC Communications, Inc. 2.6 9. Dow Chemical Corp. 2.3
5. General Motors Corp. 2.6 10. Boston Scientific Corp. 2.2
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $4,447,638)................................... $4,832,233
Dividends receivable................................................................................ 4,112
Receivable from investment advisor.................................................................. 2,092
Interest receivable................................................................................. 2,241
Receivable for shares sold.......................................................................... 1,000
Unamortized organization expense.................................................................... 1,921
----------
Total assets...................................................................................... 4,843,599
----------
LESS LIABILITIES:
Accrued expenses.................................................................................... 990
Payable for variation margin on futures............................................................. 3,325
Overdraft payable................................................................................... 1,383
Dividend payable.................................................................................... 23
----------
Total liabilities................................................................................. 5,721
----------
Net assets.......................................................................................... $4,837,878
----------
----------
REPRESENTED BY:
Paid in capital..................................................................................... $4,112,626
Undistributed net investment income................................................................. 2,443
Undistributed net realized gain..................................................................... 343,071
Unrealized appreciation/depreciation on:
Investments....................................................................................... 384,595
Futures........................................................................................... (4,857)
----------
$4,837,878
----------
----------
Net asset value, purchase and redemption price per outstanding capital share (344,629 capital shares
outstanding)...................................................................................... $ 14.04
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, 1997 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1996
------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income......................................................... $ 20,699 $ 44,694
Net realized gain on investment and option transactions....................... 344,684 784,299
Change in unrealized appreciation on investments and options.................. 149,275 (197,964)
------------- -----------------
Increase in net assets from operations...................................... 514,658 631,029
------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.................................................... (18,256) (44,694)
From net realized gains....................................................... -- (784,299)
In excess of net realized gains............................................... -- (1,613)
------------- -----------------
Decrease in net assets from distributions................................... (18,256) (830,606)
------------- -----------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 183,144 and 72,792 capital shares for six months ended
June 30, 1997 and year ended December 31, 1996, respectively................ 2,471,822 1,003,474
Proceeds from 1,331 and 68,061 capital shares issued upon reinvestment of
distributions for six months ended June 30, 1997 and year ended December 31,
1996, respectively.......................................................... 18,041 826,051
Cost of 131,009 and 28,811 capital shares redeemed for six months ended June
30, 1997 and year ended December 31, 1996, respectively..................... (1,667,028) (428,908)
------------- -----------------
Increase in net assets from fund share transactions......................... 822,835 1,400,617
------------- -----------------
Net increase in net assets.................................................... 1,319,237 1,201,040
Net assets, beginning of period............................................. 3,518,641 2,317,601
------------- -----------------
Net assets, end of period................................................... $ 4,837,878 $ 3,518,641
------------- -----------------
------------- -----------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
23
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividend................................................... $ 27,911
Interest................................................... 6,927
---------
Total investment income.................................. 34,838
---------
EXPENSES:
Investment advisory and management fees.................... 9,472
Administrative fees........................................ 7,326
Registration fees.......................................... 4,088
Amortization of organization cost.......................... 2,264
Custodian fees............................................. 1,263
Audit and tax fees......................................... 1,416
Printing fees.............................................. 236
Trustees' fees and expenses................................ 204
Legal fees................................................. 63
Miscellaneous fees......................................... 30
---------
Total expenses........................................... 26,362
---------
Reimbursed expenses by the adviser......................... (12,223)
---------
Net expenses............................................... 14,139
---------
Net investment income (loss)............................... 20,699
---------
NET REALIZED & UNREALIZED GAINS ON INVESTMENT AND
OPTION TRANSACTIONS:
Net realized gain on:
Investments................................... $ 301,692
Options....................................... 1,980
Futures....................................... 41,012
---------
Total net realized gain...................................... 344,684
Change in unrealized appreciation/depreciation:
Investments and options....................... 154,132
Futures....................................... (4,857)
---------
Total net change in unrealized appreciation/depreciation... 149,275
---------
Net realized and unrealized gains on investment and option
transactions................................................ 493,959
---------
Net increase in net assets from operations................. $ 514,658
---------
---------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
24
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
JUNE ONE MONTH
30, YEAR ENDED DECEMBER 31 ENDED
1997 ---------------------------------- DECEMBER 31
(UNAUDITED) 1996 1995 1994 1993 1992
------- ------- ------- ------- ------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $ 9.83 $ 9.98 $ 9.55 $ 10.03 $ 10.03 $ 10.00
------- ------- ------- ------- ------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income................. 0.27 0.62 0.56 0.48 0.53 0.05
Net realized and unrealized gains
(losses) on investments............. (0.06 ) (0.10) 0.43 (0.48) 0.00 0.03
------- ------- ------- ------- ------- -----------
Total from investment operations.... 0.21 0.52 0.99 0.00 0.53 0.08
------- ------- ------- ------- ------- -----------
LESS DISTRIBUTIONS:
From net investment income............ 0.27 0.66 0.56 0.48 0.53 0.05
Return of capital..................... 0.00 0.01 0.00 0.00 0.00 0.00
------- ------- ------- ------- ------- -----------
Total distributions................. 0.27 0.67 0.56 0.48 0.53 0.05
------- ------- ------- ------- ------- -----------
Net asset value, end of period.......... $ 9.77 $ 9.83 $ 9.98 $ 9.55 $ 10.03 $ 10.03
------- ------- ------- ------- ------- -----------
------- ------- ------- ------- ------- -----------
TOTAL RETURN............................ 2.20 % 5.28% 10.65% 0.00% 5.37% 9.38%
------- ------- ------- ------- ------- -----------
------- ------- ------- ------- ------- -----------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period ($000)........ $1,049 $ 1,008 $27,880 $24,481 $26,097 $ 7,619
Ratio of expenses to average net
assets(1).............................. 4.54 %+ 0.76% 0.82% 0.85% 0.75% 0.77%+
Ratio of net investment income to
average net assets..................... 5.56 %+ 5.99% 5.76% 5.37% 4.91% 5.45%+
Portfolio turnover rate................. 0.00 % 31.48% 10.15% 3.21% 85.69% 0.00%
</TABLE>
(1) Gross of Adviser reimbursed expenses. With expense reduction, such ratios
would have been 0.60%+, 0.56%, 0.50%, 0.45%, 0.45%, and 0.45%+ for the six
months ended June 30, 1997, for each of the years in the periods ended
December 31, 1996, and for the month ended December 31, 1992, respectively.
+ Annualized
25
<PAGE>
MASTER FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
JUNE ONE MONTH
30, YEAR ENDED DECEMBER 31 ENDED
1997 ----------------------------------- DECEMBER 31
(UNAUDITED) 1996 1995 1994 1993 1992
------- ------- ------- ------ ------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $10.27 $ 10.41 $ 9.50 $10.26 $ 10.06 $10.00
------- ------- ------- ------ ------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income................. 0.28 0.58 0.61 0.64 0.67 0.04
Net realized and unrealized gains
(losses) on investment and option
transactions........................ 0.04 (0.01) 0.91 (0.75) 0.41 0.06
------- ------- ------- ------ ------- -----------
Total from investment operations.... 0.32 0.57 1.52 (0.11) 1.08 0.10
------- ------- ------- ------ ------- -----------
LESS DISTRIBUTIONS:
From net investment income............ 0.28 0.58 0.61 0.64 0.67 0.04
From net realized gains............... 0.00 0.12 0.00 0.01 0.21 0.00
In excess of net realized gains....... 0.00 0.01 0.00 0.00 0.00 0.00
------- ------- ------- ------ ------- -----------
Total distributions................... 0.28 0.71 0.61 0.65 0.88 0.04
------- ------- ------- ------ ------- -----------
Net asset value, end of period.......... $10.31 $ 10.27 $ 10.41 $ 9.50 $ 10.26 $10.06
------- ------- ------- ------ ------- -----------
------- ------- ------- ------ ------- -----------
TOTAL RETURN............................ 3.19 % 5.69% 16.43% (1.04)% 10.94% 13.09%
------- ------- ------- ------ ------- -----------
------- ------- ------- ------ ------- -----------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period ($000)........ $31,038 $28,926 $24,868 $6,155 $ 8,066 $9,219
Ratio of expenses to average net
assets(1).............................. 0.90 %+ 0.97% 1.03% 1.17% 1.04% 1.05%+
Ratio of net investment income to
average net assets..................... 5.61 %+ 5.66% 5.99% 7.16% 6.39% 5.63%+
Portfolio turnover rate................. 10.56 % 21.95% 31.82% 44.30% 105.39% 0.00%
Average commission rate(2).............. $0.0220 $0.0418 $0.0277
</TABLE>
(1) Gross of Adviser reimbursed expenses and expenses indirectly paid through
broker arrangements. With both expense reductions, such ratios would have
been 0.72%, 0.69%, .060%, 0.60% and 0.60%+ for each of the years in the
periods ended December 31, 1996 and for the month ended December 31, 1992,
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
26
<PAGE>
ENHANCED EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
JUNE ONE MONTH
30, YEAR ENDED DECEMBER 31 ENDED
1997 ---------------------------------- DECEMBER 31
(UNAUDITED) 1996 1995 1994 1993 1992
------- ------- ------- ------- ------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $12.09 $ 12.94 $ 9.83 $ 10.15 $ 10.02 $ 10.00
------- ------- ------- ------- ------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income................. 0.07 0.21 0.23 0.28 0.40 0.01
Net realized and unrealized gains
(losses) on investments and
options............................. 1.94 2.74 3.22 (0.32) 0.62 0.02
------- ------- ------- ------- ------- -----------
Total from investment
operations...................... 2.01 2.95 3.45 (0.04) 1.02 0.03
------- ------- ------- ------- ------- -----------
LESS DISTRIBUTIONS:
From net investment income............ 0.06 0.21 0.23 0.28 0.40 0.01
From net realized gains............... 0.00 3.58 0.11 0.00 0.37 0.00
In excess of net realized gains....... 0.00 0.01 0.00 0.00 0.00 0.00
Return of capital..................... 0.00 0.00 0.00 0.00 0.12 0.00
------- ------- ------- ------- ------- -----------
Total distributions................... 0.06 3.80 0.34 0.28 0.89 0.01
------- ------- ------- ------- ------- -----------
Net asset value, end of period.......... $14.04 $ 12.09 $ 12.94 $ 9.83 $ 10.15 $ 10.02
------- ------- ------- ------- ------- -----------
------- ------- ------- ------- ------- -----------
TOTAL RETURN............................ 16.65 % 22.95% 35.36% (0.37)% 10.07% 4.08%
------- ------- ------- ------- ------- -----------
------- ------- ------- ------- ------- -----------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period ($000)........ $4,838 $ 3,519 $ 2,318 $ 1,511 $ 903 $12,823
Ratio of expenses to average net
assets(1).............................. 1.67 %+ 1.51 (1) 1.33 (1) 1.35% 1.35% 1.07%+
Ratio of net investment income to
average net assets..................... 1.31 %+ 1.53% 2.02% 3.24% 2.16% 1.66%+
Portfolio turnover rate................. 113.80 % 179.47% 10.15% 24.75% 76.34% 25.20%
Average commission rate(2).............. $0.0272 $0.0658 $0.0431
</TABLE>
(1) Gross of Adviser reimbursed expenses and expenses paid indirectly through
broker arrangements.With both expense reductions, such ratios would have
been 0.90%+, 0.91%, 0.50%, 0.24%, 0.57%, and 0.70% for the six months ended
June 30, 1997, for each of the years in the periods ended December 31, 1996,
and for the month ended December 31, 1992, 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
27
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997
(UNAUDITED)
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.
The Investment objective of each of the portfolios are as follows:
SHORT-TERM GOVERNMENT PORTFOLIO--to provide a high level of income consistent
with both low fluctuations in market value and low credit risk. At least 80%
of the total assets of the portfolio will be invested in U.S. government
securities.
MASTER FIXED INCOME PORTFOLIO--to provide above-average total returns from a
diversified bond portfolio consisting primarily of domestic government,
corporate, and mortgage-related fixed income securities.
ENHANCED EQUITY PORTFOLIO--to provide above-average total returns from a
diversified equity portfolio which consists primarily of domestic common
stocks and related investments such as options and futures.
DERIVATIVE FINANCIAL INSTRUMENTS--Each portfolio may utilize various call
option, put option, and financial futures strategies in pursuit of its
objective. These techniques will be used to hedge against changes in securities
prices, interest rates, or foreign currency exchange rates on securities held or
intended to be acquired by the portfolio to reduce the volatility of the
currency exposure associated with foreign securities, or as an efficient means
of adjusting exposure to stock or bond markets, and not for speculation. The
Portfolios will only write covered call and cash secured put options.
BASIS OF PRESENTATION--The financial statements have been prepared in conformity
with generally accepted accounting principles. The preparation of the financial
statements requires management to make estimates and assumptions that effect the
reported amount of assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from these estimates.
INVESTMENT VALUATION--Common stocks and outstanding options are recorded at
market value. Investments traded on securities exchanges are valued at the last
sale price on the day of the valuation or, in the absence of a sale that day, at
the mean between the last current bid and asked prices. Fixed income securities
are valued on the basis of prices provided by a pricing service. Short-term
investments that have remaining maturities of sixty days or less at time of
purchase are valved at amortized cost, if it approximates market value.
Securities for which quotations are not readily available, including
circumstances in which it is determined by Analytic-TSA Global Asset Management,
Inc. (the "Adviser") the bid or asked prices are not reflective of a security's
market value, are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Fund's Board
of Trustees.
28
<PAGE>
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 or 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 covered put or call 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.
When a covered written 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 covered written 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 covered 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.
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 has unused capital loss carryforwards of $793,913 at
June 30, 1997 which will expire through December 31, 2001. These realized losses
are intended to be used to offset future net capital gains.
Net unrealized appreciation/(depreciation) of investments and options held at
June 30, 1997 since date of acquisition, was:
<TABLE>
<CAPTION>
AGGREGATE GROSS AGGREGATE GROSS NET
UNREALIZED UNREALIZED UNREALIZED
GAIN LOSS GAIN/(LOSS)
--------------- --------------- -----------
<S> <C> <C> <C>
Short-Term Government Portfolio.... $ 1,285 $ (10,187) $ (8,902)
Master Fixed Income Portfolio...... 489,486 (802,215) (312,729)
Enhanced Equity Portfolio.......... 419,537 (34,942) 384,595
</TABLE>
29
<PAGE>
DISTRIBUTIONS TO SHAREHOLDERS--Distributions are recorded on the ex-dividend
date. Certain foreign currency gains (losses) are taxable as ordinary income
and, therefore increase (decrease) taxable ordinary income available for
distribution.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences, which may result in distribution reclassifications, are
primarily due to differing treatments for foreign currency transactions, passive
foreign investment companies (PFIC), market discount, capital loss carryforwards
and losses deferred due to wash sales. Certain funds also utilized earnings and
profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
Permanent book and tax differences relating to shareholder distributions will
result in reclassifications to paid in capital and may affect the per-share
allocation between net investment income and realized and unrealized gain
(loss). Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investment and foreign currency transactions may include
temporary book and tax basis differences which will reverse in a subsequent
period. Any taxable income or gain remaining at fiscal year end is distributed
in the following year.
FOREIGN CURRENCY TRANSLATION--The accounting records of the Fund are maintained
in U.S. dollars. Investment securities and other assets and liabilities
denominated in a foreign currency are translated into U.S. dollars at the
prevailing rates of exchange at period end. Income receipts and expense payments
are translated into U.S. dollars at the prevailing exchange rates on the
respective dates of the transactions. Purchases and sales of securities are
translated into U.S. dollars at the contractual currency exchange rates
established at the time of each trade.
Net realized gains and losses on foreign currency transactions represent net
gains and losses from sales and maturities of forward currency contracts,
disposition of foreign currencies, and the difference between the amount of net
investment income accrued and the U.S. dollar amount actually received. The
effects of changes in foreign currency exchange rates on investment in
securities are included with the net realized and unrealized gain or loss on
investment securities.
ORGANIZATION EXPENSES--Organization expenses will be amortized over a period
from November 30, 1992 not exceeding five years. In the event that 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 the redemption) of the unamortized organization
expenses as of the date of such a 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. ADVISORY SERVICES
The Adviser is a wholly-owned subsidiary of United Asset Management Corporation,
a holding company that purchased all of the voting common stock of the adviser
on May 9, 1985. The Adviser, subject to the control and direction of the Fund's
board of trustees, manages and supervises the investment operations of the Fund
and the composition of its portfolio, and makes recommendations to the trustees
as to investment policies.
30
<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 voluntarily agreed to reimburse expenses that exceeded the following
percentages of average daily net assets for the respective periods:
<TABLE>
<CAPTION>
JUNE DECEMBER 31,
30, -----------------------------
1997 1996 1995 1994 1993
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Short-Term Government Portfolio........................ .60% .60% .50% .45% .45%
Master Fixed Income Portfolio.......................... -- .80% .70% .60% .60%
Enhanced Equity Portfolio.............................. 1.00% 1.00% .80% .70% .70%
</TABLE>
At June 30, 1997, five officers and one trustee of the Fund are also officers
and director of the Adviser.
3. ADMINISTRATION SERVICES
Effective May 15, 1997, UAM Fund Services, Inc. (the "Administrator"), a
wholly-owned subsidiary of United Asset Management Corporation, provides and
oversees administrative, fund accounting, dividend disbursing and transfer agent
services to the Fund under a Fund Administration Agreement (the "Administration
Agreement"). Pursuant to the agreement, the Administrator is entitled to receive
annual fees, (computed daily and payable monthly, of 0.19% of the first $200
million of the combined aggregate net assets; plus 0.11% of the next $800
million of the combined aggregate net assets; plus 0.07% of the next $2 billion
of the combined aggregate net assets; plus 0.05% of the combined aggregate net
assets in excess of $3 billion). The fees are allocated among the portfolios of
other funds administered by UAM Fund Services, Inc. and the Analytic Series
Funds on the basis of their relative net assets and are subject to a graduated
minimum fee schedule per portfolio which rises from $2,000 per month, upon
inception of a portfolio, to $70,000 annually after two years. In addition, the
Administrator receives a Portfolio-specific monthly fee of 0.06% of average
daily net assets of the Portfolio. Also effective May 15, 1997 the Administrator
has entered into a Mutual Funds Service Agreement with Chase Global Funds
Services Company ("CGFSC"), a wholly owned subsidiary of the Chase Manhattan
Bank, under which CGFSC agrees to provide certain services, including but not
limited to, administration, fund accounting, dividend disbursing, and transfer
agent services. Pursuant to the Mutual Funds Services Agreement, the
Administrator pays CGFSC a monthly fee. For the period May 15, 1997 to June 30,
1997, UAM Fund Services, Inc. earned the following amounts from the Portfolio as
Administrator and paid the following portion to CGFSC for their services.
<TABLE>
<CAPTION>
PORTION PAID
ADMINSTRATION FEES TO CGFSC
-------------------
<S> <C> <C>
Short-Term Government Portfolio................................................. $ 4,441 $ 4,375
Master Fixed Income Portfolio................................................... 6,200 4,647
Enhanced Equity Portfolio....................................................... 4,575 4,200
</TABLE>
31
<PAGE>
Prior to May 15, 1997, the adviser served as the administrator fund accounting
and transfer agent to the Analytic Funds. For its services the Adviser received
annual fees, computed daily and payable monthly, based on the number of accounts
and the average daily net assets of each portfolio. For the period January 1,
1997 to May 14, 1997 the Adviser earned the following amounts from the Portfolio
as Administrator:
<TABLE>
<S> <C>
Short-Term Government...................................... $ 794
Master Fixed Income........................................ 22,308
Enhanced Equity............................................ 2,751
</TABLE>
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the six months ended June 30, 1997, the cost basis of purchases and proceeds
of sales (including $147,399 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....................................................... $ 396,056 $ --
Master Fixed Income Portfolio......................................................... 2,320,120 2,517,573
Enhanced Equity Portfolio............................................................. 4,577,215 3,605,125
</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 year......................................................... 749 $ 357,637
Options written.......................................................................... 2,915 737,012
Options terminated in closing purchase transactions...................................... (750) (185,375)
Options exercised........................................................................ (373) (156,970)
Options expired.......................................................................... (461) (162,424)
----------- -----------
Outstanding at June 30, 1997............................................................. 2,080 589,880
----------- -----------
----------- -----------
</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 year.......................................................... 0 $ 0
Options written........................................................................... 155 52,128
Options terminated in closing purchase transactions....................................... (58) (18,922)
Options exercised......................................................................... (5) 0
Options expired........................................................................... (92) (33,206)
--- ----------
Outstanding at June 30, 1997.............................................................. 0 0
--- ----------
--- ----------
</TABLE>
At June 30, 1997, portfolio securities valued at $5,467,500 were held in escrow
by the custodian in connection with covered call options written in the Master
Fixed Income Portfolio. There were no option contracts outstanding at June 30,
1997 in the Enhanced Equity Portfolio, and there were no option contracts
written in the Short-Term Government Portfolio during the six months ended June
30, 1997.
32
<PAGE>
5. FUTURES CONTRACTS
At June 30, 1997, the following Portfolios had future contracts open:
<TABLE>
<CAPTION>
UNREALIZED
AGGREGATE APPRECIATION
NUMBER OF FACE VALUE EXPIRATION (DEPRECIATION)
PORTFOLIO CONTRACTS (000) DATE (000)
- ------------------------------------------------------------ --------------- ------------ ----------- -------------
<S> <C> <C> <C> <C>
Purchases:
MASTER FIXED INCOME
U.S. Treasury 10 yr. note................................. 8 $ 863,000 Sep-97 $ 4,459
U.S. Treasury Long Bond................................... 18 1,999,125 Sep-97 21,284
ENHANCED EQUITY
S&P 500................................................... 1 445,125 Sep-97 4,857
Sales:
MASTER FIXED INCOME
U.S. Treasury 5 yr. Note.................................. 60 6,353,438 Sep-97 (24,680)
</TABLE>
6. AFFILIATED SHAREHOLDERS
At June 30, 1997, excluding ownership by the Adviser's retirement plan, certain
officers and trustees owned less than 5% of the Enhanced Equity Portfolio of the
Fund.
7. OTHER
At June 30, 1997 the percentage of total shares outstanding held by record
shareholders owning 10% or greater of the aggregate total shares outstanding for
each Portfolio was as follows:
<TABLE>
<CAPTION>
NO. OF %
PORTFOLIO SHAREHOLDERS OWNERSHIP
- ---------------------------------------------------------------------------------------- ------------------- -------------
<S> <C> <C>
Short-Term Government................................................................... 2 58
Master Fixed Income..................................................................... 1 88
Enhanced Equity......................................................................... 2 51
</TABLE>
33
<PAGE>
<TABLE>
<S> <C>
OFFICERS AND TRUSTEES
CHAIRMAN OF THE
BOARD OF TRUSTEES.... Michael F. Koehn
TRUSTEE.............. Michael D. Butler
TRUSTEE.............. Robertson Whittemore
PRESIDENT............ Harindra de Silva
EXECUTIVE VICE
PRESIDENT AND
SECRETARY............ Charles L. Dobson
TREASURER............ Gregory M. McMurran
SENIOR VICE
PRESIDENT............ Angelo A. Cavello
SENIOR VICE
PRESIDENT............ Marie Nastasi Arlt
</TABLE>
INVESTMENT ADVISOR
Analytic-TSA Global Asset Management, Inc.
700 South Flower Street, Suite 2400
Los Angeles, CA 90017
TRANSFER AGENT, DIVIDEND DISBURSEMENT AGENT,
AND SHAREHOLDER RELATIONS SERVICING AGENT
UAM Fund Services, Inc.
211 Congress Street
Boston, MA 02110
CUSTODIAN
The Union Bank of California, N.A.
Mutual Fund Services
475 Sansome Street, 11th Floor
San Francisco, CA 94111
COUNSEL
Paul, Hastings, Janofsky & Walker LLP
555 South Flower Street
Los Angeles, CA 90071
INDEPENDENT ACCOUNTANTS
Deloitte & Touche LLP
1000 Wilshire Blvd.
Los Angeles, CA 90017
THE ANALYTIC SERIES FUND
c/o Chase Global Funds Services Company
P.O. Box 2798
Boston, MA 02108
Phone: (800) 374-2633
ANALYTICFUNDS
THE ANALYTIC
SERIES FUND
- ----------------------
ENHANCED EQUITY
MASTER FIXED INCOME
SHORT-TERM GOVERNMENT
SEMI-ANNUAL REPORT
JUNE 30, 1997
MEMBER OF
100% NO-LOAD-TM-
MUTUAL FUND COUNCIL
- ----------------------------------------------------------------
