<PAGE>
MEMBER OF
100% NO-LOAD-TRADEMARK-
ANALYTIC SERIES FUND MUTUAL FUND COUNCIL
- -------------------------
January 31, 1997
Dear Fellow Shareholders,
U.S. stock markets dipped during December putting a damper on an otherwise
strong performing quarter. The Dow Jones was up 10.3% for the quarter and 29.0%
for the year. The S&P 500 was up 8.3% for the quarter and 23.0% for the year.
The S&P MidCap 400 was up 6.1% for the quarter and 18.8% for the year. The
NASDAQ 100 Index was up 11.4% for the quarter and 40.4% for the year. All of the
above are with dividends reinvested.
The best performing industries for the quarter were electronic
semi-conductor, tobacco, and oil and gas drilling, all up over 20%. For the
year, the best performing industries were oil and gas drilling, shoes and
electronic semi-conductor, all up over 45%. The worst performing industries
during the quarter were health care, manufactured housing, and hardware and
tools, all down over 9%. For the year the worst performing industries were
machines, broadcast/media, and trucking, all down over 18%.
U.S. fixed income investors enjoyed a good fourth quarter of 1996. Price
returns were positive across the yield curve with investors in long-term bonds
enjoying the largest gains. For the quarter, total returns ranged from 4.7% for
30 year government bonds to 1.9% for the two year Treasury note. However, for
all of 1996 bond returns were mixed. Thirty-year government bonds declined 4.4%
for the year, while at the same time two-year Treasury note advanced 4.8%.
Ten-year notes were flat returning 0.1% for 1996. For the first quarter of 1997
Analytic-TSA is looking for the yield curve to steepen. Due to increasing
industrial capacity utilization and strong U.S. equity returns, we believe that
yields will increase for longer maturity government debt.
The Analytic Series Fund has enjoyed outstanding returns over the current
period. The next sections present the performance of each portfolio followed by
a chart of universe comparisons.
SHORT-TERM GOVERNMENT PORTFOLIO
For the quarter ending December 31, 1996, your Portfolio's total return was
2.68%, and 5.28% for the year. The Merrill Lynch 1 to 3 Year Treasury Index
increased 1.91% and 5.00%, respectively. At year end, the Portfolio's share
price was $9.83 after paying its 42nd consecutive monthly dividend (since public
inception) from net investment income. The total quarterly dividend paid through
December 31 was $0.30 per share and $0.66 for the year, and the SEC 30-day yield
was 4.92%.
As we indicated in our last shareholder letter, this Portfolio redeemed the
holdings of a large shareholder in December of 1996. December 31 assets are at
$1,085,275 and expenses through March 1997 remain capped at a 0.60% annual rate.
Currently your allocation is 69% U.S. Treasury and 31% in cash. The large cash
position is in anticipation of an additional shareholder redemption/reallocation
from the Short-Term Government Portfolio to another Analytic fund in early 1997.
The status of this Portfolio will be a subject for review at the March 1997
Board of Trustees meeting.
<PAGE>
MASTER FIXED INCOME PORTFOLIO
For the quarter ending December 31, 1996, your Portfolio was up 3.09%, and
5.69% for the year. The Lehman Bothers Government/Corporate Bond Index (LBGC)
was up 3.06% for the quarter and 2.91% for the year. The Lehman Brothers
Government Aggregate Bond Index (Bond Aggregate) was up 3.00% for the quarter,
3.61% for the year. At year end, the Portfolio's share price was $10.27 after
paying its 42nd consecutive monthly dividend (since public inception) from net
investment income. The total quarterly dividend paid through December 31 was
$0.17 per share and $0.71 for the year, and the SEC 30-day yield was 6.05%.
Your Portfolio is diversified across a variety of major fixed income
categories. For the quarter, U.S. Treasuries (74% of the LBGC) returned 2.92%.
The U.S. Government Agency sector (non-Treasury issues) of the index returned
2.89%. The U.S. Government mortgage backed securities component of the index
returned 3.00%. The corporate sector of the index returned 3.57% for the
quarter, outperforming the other major fixed income categories.
Your Portfolio currently has an allocation of 77% to the traditional fixed
income sector, which consists of high quality U.S. Treasury and Agency
securities, corporate bonds and mortgage backed securities. This sector of your
Portfolio returned 5.18% for the quarter and 4.98% for the year.
The option hedged equity sector of your Portfolio consists of deeply hedged
large and mid capitalization stocks. At year end, 20% of your Portfolio was
allocated to this sector. This sector of your Portfolio returned 2.66% for the
quarter and 11.29% for the year. This sector of the Portfolio is defensively
positioned against a possible retreat in the equity market, and over full market
cycles is expected to outperform the Bond Aggregate.
Your Portfolio maintains an investment discipline that focuses on long-term
investment results and not short term market speculation. The cash held for
investments in your Portfolio was 15% at year end.
Over the one quarter, one year, and three year periods ending December 31,
1996, the Master Fixed Income Portfolio was rated by Lipper Analytical Services,
Inc. as the number one mutual fund in its category. Lipper currently rates the
Master Fixed Income Portfolio as an "A". Furthermore, Morningstar, Inc. places
the Master Fixed Income Portfolio in the top 1% of all funds in its category
over a three year period ending December 31, 1996. The long-term focus and
allocation, plus a favorable market environment, has resulted in strong
performance for the year and since inception.
ENHANCED EQUITY PORTFOLIO
The quarter ending December 31, 1996 was exciting, as this was the first
quarter using our new stock selection model. The new model is based on research
pioneered by Professor Robert A. Haugen and was featured in BUSINESS WEEK,
December 16, 1996. The model utilizes 50 factors grouped into the following
categories: profitability, valuation, recent performance, size and liquidity.
During the quarter, your Portfolio's net asset value increased 11.4% per
share, while the S&P 500 Index increased 8.3%, both with dividends reinvested.
At quarter end, your Portfolio's share price was $12.09 and its dividend was
0.10 per share, which was the 14th consecutive quarterly dividend from net
investment income. With the strong fourth quarter, your Portfolio's net asset
value matched the performance of the S&P 500 Index, both increasing 23.0% for
the calendar year 1996.
2
<PAGE>
The strong fourth quarter and solid 1996 performance resulted in the
Enhanced Equity Portfolio receiving a 5-Star rating (highest rating available)
from Morningstar, Inc. for the year ending December 31, 1996. The rating was
given to the Portfolio within its equity universe of more than 1,000 mutual
funds and was awarded due to its strong performance and below average risk. In
fact, the fourth quarter performance ranked the Enhanced Equity Portfolio in the
top 10% of all funds in this universe.
This Fund is suited for the investor with a tolerance for risk similar to
the S&P 500 Index. The three other Analytic Funds have lower levels of risk and
allow investors to adjust their portfolio with ease. 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/ Alan L. Lewis /s/ Dennis M. Bein, CFA /s/ Scott T. Barker
Alan L. Lewis Dennis M. Bein, CFA Scott T. Barker
President Portfolio Manager Portfolio Manager
ANALYTIC SERIES FUND
AVERAGE ANNUAL COMPOUND TOTAL RETURN
(GROWTH RATE), FROM INCEPTION 7/1/93--12/31/96, PERCENT
<TABLE>
<CAPTION>
4TH QUARTER 1 YEAR INCEPTION
------------- --------- -----------
<S> <C> <C> <C>
Short-Term Government Portfolio.... 2.68% 5.28% 5.02%
Master Fixed Income Portfolio...... 3.09 5.69 6.88
Enhanced Equity Portfolio.......... 11.38 22.95 17.01
</TABLE>
3
<PAGE>
GROWTH OF $10,000 INVESTMENT
7/1/93 -- 12/31/96
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ENHANCED EQUITY PORTFOLIO S&P 500 CPI
<S> <C> <C> <C>
10 10 10
9/93 10.1624 10.2558 10.0485
12/93 10.4496 10.4931 10.097
3/94 10.1202 10.0928 10.1939
6/94 10.2129 10.134 10.2493
9/94 10.5367 10.633 10.3463
12/94 10.4108 10.6303 10.367
3/95 11.3428 11.6652 10.4848
6/95 12.4813 12.7721 10.5609
9/95 13.508 13.7875 10.6094
12/95 14.092 14.6091 10.6302
3/96 14.8653 15.4032 10.7826
6/96 15.4336 16.0986 10.8518
9/96 15.5541 16.5911 10.9142
12/96 17.3267 17.98 11.2438
Past performance not predictive of future
performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MASTER FIXED INCOME
PORTFOLIO LEHMAN BROS GOVT/CORP BOND INDEX
<S> <C> <C>
10.00 10.00
9/93 10.342 10.3315
12/93 10.3628 10.3018
3/94 10.0771 9.9778
6/94 10.0532 9.8544
9/94 10.2294 9.9037
12/94 10.2555 9.9402
3/95 10.6921 10.4355
6/95 11.2698 11.1121
9/95 11.4999 11.3248
12/95 11.9407 11.8525
3/96 11.9751 11.5751
6/96 12.0309 11.6295
9/96 12.2425 11.8353
12/96 12.62 12.1969
Past performance not predictive of future
performance.
<CAPTION>
LB AGGREGATE BOND INDEX
<S> <C>
10.00
9/93 10.2606
12/93 10.2661
3/94 9.9712
6/94 9.8687
9/94 9.929
12/94 9.9665
3/95 10.4692
6/95 11.1071
9/95 11.3256
12/95 11.808
3/96 11.5973
6/96 11.6635
9/96 11.8782
12/96 12.2347
Past performance not predictive of future
performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MERRILL LYNCH 1-3 YR TSY.
SHORT TERM GOVERNMENT PORTFOLIO INDEX
<S> <C> <C>
10 10
9/93 10.1432 10.1435
12/93 10.1995 10.2034
3/94 10.1008 10.1525
6/94 10.0895 10.1609
9/94 10.2041 10.261
12/94 10.1992 10.2614
3/95 10.5418 10.606
6/95 10.856 10.946
9/95 11.0165 11.1105
12/95 11.274 11.3901
3/96 11.2866 11.4281
6/96 11.3863 11.5435
9/96 11.5605 11.7342
12/96 11.8693 11.9573
Past performance not predictive of future
performance.
</TABLE>
4
<PAGE>
The Analytic Series Funds
Universe Comparisons*
Annualized Return Ending December 31, 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 29.34% 21.03% 95th 28.25% 19.05%
75th 23.03% 17.60% 75th 22.62% 17.57%
median 19.19% 15.36% median 20.91% 16.23%
25th 15.81% 13.53% 25th 18.42% 14.38%
5th 9.23% 10.64% 5th 15.13% 11.60%
EE: 22.95% 17.01% EE: 22.95% 17.01%
Corporate High Quality Government High Quality
Intermediate Maturity Funds Short Maturity Funds
1 Year Since Inception 1 Year Since Inception
95th 5.03% 6.39% 95th 5.31% 5.15%
75th 3.70% 5.74% 75th 4.37% 4.80%
median 3.06% 5.15% median 3.75% 4.40%
25th 2.44% 4.73% 25th 3.01% 4.04%
5th 1.22% 3.91% 5th 2.20% 3.26%
MFI: 5.69% 6.87% STG: 5.28% 5.02%
</TABLE>
*Source: Morningstar.
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>
SHORT-TERM GOVERNMENT PORTFOLIO DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Principal Maturity Market
Amount Coupon Date Value
- --------- ------- -------- ----------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--69.33% OF NET ASSETS
$300,000 Treasury Note 5.625% 11/30/00 $ 294,797
200,000 Treasury Note 6.125% 5/31/97 200,531
200,000 Treasury Note 7.250% 2/15/98 203,219
----------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $706,577) 698,547
CASH EQUIVALENTS--30.57%
SEI Cash Plus Trust--Prime Obligation, 5.61% 308,046
EXCESS OTHER ASSETS OVER LIABILITIES (NET)--0.10% 986
----------
NET ASSETS--100% $1,007,579
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
6
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $706,577)..................................... $ 698,547
Cash equivalents.................................................................................... 308,046
Accrued interest receivable......................................................................... 14,518
Unamortized organization expense.................................................................... 2,518
----------
Total assets...................................................................................... 1,023,629
LESS LIABILITIES:
Accrued expenses.................................................................................... 16,050
----------
NET ASSETS............................................................................................ $1,007,579
----------
----------
REPRESENTED BY:
Paid-in capital..................................................................................... $1,809,522
Net realized loss on investment and foreign currency transactions................................... (793,913)
Net unrealized depreciation of investment and foreign currency transactions......................... (8,030)
----------
$1,007,579
----------
----------
Net asset value, purchase and redemption price per outstanding capital share
(102,458 capital shares outstanding).............................................................. $ 9.83
----------
----------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................... $ 1,521,025 $ 1,523,439
Net realized loss on investment and foreign currency transactions........ (444,657) (257,536)
Change in unrealized appreciation on investment and foreign currency
translations........................................................... (8,088) 1,360,958
----------------- -----------------
Increase in net assets from operations................................. 1,068,280 2,626,861
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............................................... (1,521,025) (1,523,442)
Return of Capital........................................................ (12,345) 0
----------------- -----------------
Decrease in net assets from distributions.............................. (1,533,370) (1,523,442)
----------------- -----------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 115,424 and 228,201 capital shares for 1996 and
1995, respectively..................................................... 1,165,744 2,264,736
Proceeds from 149,181 and 154,571 capital shares issued upon reinvestment
of distributions for 1996 and 1995, respectively....................... 1,465,395 1,523,106
Cost of 2,957,142 and 151,085 capital shares redeemed for 1996 and 1995,
respectively........................................................... (29,038,540) (1,492,184)
----------------- -----------------
(Decrease) increase in net assets from fund share transactions......... (26,407,401) 2,295,658
----------------- -----------------
Net (decrease) increase in net assets.................................... (26,872,491) 3,399,077
Net assets, beginning of year.......................................... 27,880,070 24,480,993
----------------- -----------------
Net assets, end of year................................................ $ 1,007,579 $ 27,880,070
----------------- -----------------
----------------- -----------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
7
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $1,675,376
----------
Total investment income................................. 1,675,376
----------
EXPENSES:
Fees paid to Analytic-TSA Global Asset Management (the
Adviser):
Investment advisory and management fees................. 76,404
Transfer agent and accounting fees...................... 54,386
Audit and tax fees........................................ 20,965
Shareholder services, reports and notices................. 13,153
Registration fees......................................... 9,219
Custodian fees............................................ 7,925
Directors' fees and expenses.............................. 6,457
Legal fees................................................ 3,185
Organizational expenses................................... 2,747
----------
Total expenses........................................ 194,441
Reimbursed expenses by the adviser........................ (40,090)
----------
Net expenses.............................................. 154,351
----------
Net investment income..................................... 1,521,025
----------
NET REALIZED & UNREALIZED LOSSES ON INVESTMENT AND FOREIGN CURRENCY
TRANSACTIONS
Net realized loss on investment and foreign currency
transactions:
Proceeds................................................ $31,838,277
Less cost............................................... 32,282,934
-----------
Net realized loss on investment and foreign currency
transactions........................................ (444,657)
Net unrealized loss:
Change in unrealized appreciation on investments........ (8,088)
----------
Net realized and unrealized loss on investment and
foreign currency transactions....................... (452,745)
----------
Net increase in net assets from operations.......... $1,068,280
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
8
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
FIXED INCOME SECURITIES
Principal Maturity Market
Amount Coupon Date Value
- ---------- -------- -------- -----------
U.S. TREASURY OBLIGATIONS--19.07% OF NET ASSETS
<C> <S> <C> <C> <C>
$ 300,000 Treasury Bond 7.500% 11/15/16 $ 324,891
250,000 Treasury Bond 8.000 11/15/21 286,601
350,000 Treasury Note 5.250 7/31/98 347,211
1,000,000 Treasury Note 5.625 11/30/00 982,656
500,000 Treasury Note 5.875 6/30/00 496,641
250,000 Treasury Note 6.250 2/15/03 249,726
150,000 Treasury Note 6.375 1/15/99 151,453
250,000 Treasury Note 6.375 8/15/02 251,680
1,500,000 Treasury Note 6.500 5/15/05 1,510,781
200,000 Treasury Note 8.000 5/15/01 213,781
250,000 Treasury Note 8.500 11/15/00 270,234
125,000 Treasury Note 8.875 5/15/00 135,566
275,000 Treasury Note 9.125 5/15/99 293,949
-----------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,648,570) 5,515,170
-----------
U.S. MORTGAGE BACKED SECURITIES--15.21%
1,144,585 Federal Home Loan Mortgage Corporation Pool #66053 7.000% 12/13/25 1,122,407
600,016 Federal Home Loan Mortgage Corporation Pool #80397 7.500 4/1/26 600,578
103,292 Federal Home Loan Mortgage Gold Pool #C00120 8.000 5/1/22 105,293
102,244 Federal Home Loan Mortgage Corporation Pool #A00771 8.500 8/1/17 109,058
1,170,944 Federal National Mortgage Association Pool #250440 7.000 1/1/26 1,144,964
107,850 Federal National Mortgage Association Pool #55554 8.500 6/1/08 113,314
568,592 Government National Mortgage Association Pool #345414 6.500 11/1/23 542,295
+ 121,108 Government National Mortgage Association Pool #8228 7.000 7/20/23 122,437
104,731 Government National Mortgage Association Pool #326210 7.500 9/15/22 104,764
123,201 Government National Mortgage Association Pool #344313 7.500 7/15/23 123,239
77,538 Government National Mortgage Association Pool #341445 8.000 12/15/22 79,090
59,085 Government National Mortgage Association Pool #311857 8.500 9/15/21 61,204
38,096 Government National Mortgage Association Pool #302242 9.500 2/15/21 41,191
13,273 Government National Mortgage Association Pool #290783 10.000 6/15/20 14,600
28,609 Government National Mortgage Association Pool #297479 10.000 9/15/20 31,470
36,506 Government National Mortgage Association Pool #299059 10.000 10/15/20 40,157
39,830 Government National Mortgage Association Pool #298778 10.000 11/15/20 43,811
-----------
TOTAL U.S. MORTGAGE BACKED SECURITIES (Cost $4,458,892) 4,399,872
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
FIXED INCOME SECURITIES (CONTINUED)
Principal Maturity Market
Amount Coupon Date Value
- ---------- -------- -------- -----------
U.S. AGENCY OBLIGATIONS--25.82%
<C> <S> <C> <C> <C>
$ 200,000 Federal Farm Credit Bank 8.050% 5/21/07 $ 200,397
500,000 Federal Home Loan Bank 5.880 8/20/03 483,438
100,000 Federal Home Loan Bank 6.320 12/4/97 100,547
500,000 Federal Home Loan Bank 6.830 6/7/01 503,437
665,000 Federal Home Loan Mortgage Corporation 7.750 11/7/01 701,471
500,000 Federal National Mortgage Association 5.875 2/2/06 472,470
525,000 Federal National Mortgage Association 6.360 8/16/00 527,001
1,000,000 Federal National Mortgage Association 6.625 4/18/01 1,011,015
1,000,000 Federal National Mortgage Association 7.000 5/10/01 1,011,166
200,000 Federal National Mortgage Association 7.550 4/22/02 210,175
400,000 Federal National Mortgage Association 7.650 3/10/05 425,209
300,000 Federal National Mortgage Association 7.900 4/10/02 301,613
200,000 Private Export Funding Corporation 6.900 1/31/03 204,333
250,000 Private Export Funding Corporation 9.450 12/31/99 272,390
500,000 Student Loan Marketing Association 6.050 9/14/00 498,125
300,000 Tennessee Valley Authority 6.000 6/15/97 300,065
250,000 Tennessee Valley Authority 6.375 6/15/05 245,417
-----------
TOTAL U.S. AGENCY OBLIGATIONS (Cost $7,462,426) 7,468,269
-----------
CORPORATE OBLIGATIONS--15.72%
95,000 African Development Bank 6.750% 10/1/04 96,324
125,000 Amoco Canada Corporation 6.750 2/15/05 124,919
161,000 Atlantic Richfield Corporation 10.250 7/2/00 166,647
100,000 Australia Commonwealth 8.375 3/15/17 113,147
650,000 Ciba Geigy Corporate 7.000 4/18/97 651,626
100,000 Du Pont (E.I.) de Nemours 6.000 12/1/01 97,373
100,000 Du Pont (E.I.) de Nemours 8.500 2/15/03 106,375
220,000 Ford Capital BV 9.500 8/9/00 238,975
280,000 General Electric Capital 8.500 7/24/08 317,002
500,000 General Motors Acceptance Corporation 6.875 7/15/01 504,219
200,000 KFW International Finance 7.625 2/15/04 211,013
250,000 Kingdom of Sweden 12.750 10/15/97 263,086
105,000 Kingdom of Sweden 11.125 6/1/15 146,508
100,000 Limited, Inc. 8.875 8/15/99 105,017
250,000 McGraw-Hill, Inc. 9.430 9/1/00 273,240
250,000 Norddeutsche Landesbank Corporate 6.875 3/10/03 251,641
250,000 Premark Corporation 10.500 9/15/00 280,807
600,000 Republic of Austria Corporate 7.250 1/16/97 600,344
-----------
TOTAL CORPORATE OBLIGATIONS (Cost $4,638,244) 4,548,263
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
<TABLE>
<CAPTION>
FIXED INCOME SECURITIES (CONCLUDED)
Principal Maturity Market
Amount Date Value
- ---------- -------- -----------
ZERO COUPON BONDS--0.75%
<C> <S> <C> <C> <C>
$ 50,000 Kingdom of Sweden 4/1/04 $ 30,889
1,000,000 Resolution Funding Corp. 1/15/21 186,632
-----------
TOTAL ZERO COUPON BONDS (Cost $196,945) 217,521
-----------
TOTAL FIXED INCOME SECURITIES--76.57%
(Cost $22,405,077) $22,149,095
-----------
-----------
</TABLE>
+ Adjustable Rate
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<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>
AIR TRANSPORTATION--0.06%
Comair, Inc. $ 5,000 Mar '97 $22.50* $ $ 6,875
Continental Airlines, Inc., Class B 5,000 Mar '97 25.00 22,813
-------- --------
22,813 6,875
-------- --------
BUILDING/PACKAGE MATERIALS--0.38%
Ball Corp. 5,000 130,000 5,000 May '97 22.50 20,000
----------- --------
130,000 20,000
----------- --------
CHEMICALS--(0.03%)
Monsanto Co. 7,500 Jan '97 40.00* 10,313
--------
10,313
--------
COMPUTER SERVICES/SOFTWARE--0.90%
Cisco Systems, Inc. 5,000 318,125 5,000 Apr '97 55.00 58,750
----------- --------
318,125 58,750
----------- --------
COMPUTERS--0.08%
EMC Corp. 5,000 Apr '97 30.00 25,625
H B O & Co. 2,500 Feb '97 50.00* 2,656
-------- --------
25,625 2,656
-------- --------
COSMETICS & PERSONAL CARE--0.22%
Herbalife Int'l., Inc. 5,000 Mar '97 20.00 63,750
--------
63,750
--------
ELECTRICAL EQUIPMENT--0.00%
General Instrument Corp. 4,000 Mar '97 30.00 1,000
--------
1,000
--------
ELECTRONICS--0.74%
Altera Corp. 20,000 Mar '97 70.00 20,000
Applied Materials 4,000 Jul '97 35.00 23,750
Atmel Corp. 4,000 Feb '97 32.50 13,000
Hewlett-Packard Co. 5,000 251,250 5,000 Jan '98 35.00 93,750
----------- -------- --------
251,250 56,750 93,750
----------- -------- --------
</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
--------- ----------- -------- ---------- -------- -------- --------
ENVIRONMENTAL CONTROL--0.00%
<S> <C> <C> <C> <C> <C> <C> <C>
WMX Technologies, Inc. $ 1,500 Jan '97 $35.00 $ 281 $
--------
281
--------
FINANCIAL SERVICES & BROKERS--0.55%
Schwab Charles Corp. 5,000 Jun '97 32.50 18,437
Student Loan Marketing 2,000 186,250 2,000 Jan '97 70.00 46,500
----------- -------- --------
186,250 18,437 46,500
----------- -------- --------
FOOD PROCESSING & WHOLESALE--0.89%
Coca-Cola Co. 5,000 263,125 5,000 Jan '97 50.00 15,625
General Mills, Inc. 2,000 Apr '97 60.00 9,875
----------- -------- --------
263,125 9,875 15,625
----------- -------- --------
FOREST PRODUCTS & PAPER--0.48%
James River Corp. 4,000 132,500 4,000 Mar '97 30.00* 2,250
Willamette Industries, Inc. 1,000 May '97 70.00 4,438
----------- --------
132,500 6,688
----------- --------
HOUSEHOLD PRODUCTS/WARES--0.00%
Sunbeam-Oster, Co., Inc. 5,000 Jan '97 17.50* 313
--------
313
--------
INSURANCE--0.76%
Aetna, Inc. 4,000 320,000 4,000 Jan '97 55.00 100,500
----------- --------
320,000 100,500
----------- --------
MACHINE CONSTRUCTION/DIVERSIFIED--0.01%
Caterpillar, Inc. 3,000 Feb '97 80.00 3,376
--------
3,376
--------
MEDICAL SUPPLIES & SERVICES--0.55%
Healthsouth Rehab Corp. 4,000 Jan '97 35.00 14,000
St Jude Medical, Inc. 4,000 Apr '97 35.00 33,500
United States Surgical Corp. 3,000 118,125 3,000 Jan '97 40.00 5,250
----------- -------- --------
118,125 47,500 5,250
----------- -------- --------
MISCELLANEOUS MANUFACTURING--0.03%
Eastman Kodak Co. 3,000 Jan '97 80.00 9,000
--------
9,000
--------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
MASTER FIXED INCOME PORTFOLIO DECEMBER 31, 1996
- --------------------------------------------------------------------------------
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
--------- ----------- -------- ---------- -------- -------- --------
OIL/GAS DOMESTIC--0.02%
<S> <C> <C> <C> <C> <C> <C> <C>
Enserch Corp. $ 5,000 May '97 $22.50 $ 7,187 $
--------
7,187
--------
OIL/GAS INTERNATIONAL--0.54%
Amoco Corp. 2,500 201,250 2,500 Jan '97 55.00 64,062
Exxon Corp. 400 39,200 400 Jan '97 60.00 15,275
Helmerich And Payne 2,500 Mar '97 50.00* 3,906
----------- --------
240,450 83,243
----------- --------
OIL EQUIPMENT/EXPLORATION & SERVICES--0.40%
Pogo Producing 3,000 141,750 3,000 May '97 40.00 25,875
----------- --------
141,750 25,875
----------- --------
PHARMACEUTICALS & BIOTECHNOLOGY--(0.08%)
Centocor, Inc. 2,500 Jan '97 35.00 5,312
Chiron Corp. 8,000 Jan '97 20.00* 13,000
North American Vaccine 6,000 Mar '97 22.50* 15,750
Stryker 1,000 Mar '97 22.50* 375
-------- --------
5,312 29,125
-------- --------
PUBLISHING--0.00%
Deluxe Corp. 3,000 Jan '97 40.00 375
--------
375
--------
RESTAURANTS & LODGING--(0.02%)
HFS, Inc. 2,500 Jan '97 60.00* 6,094
--------
6,094
--------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
<TABLE>
<CAPTION>
Investments Outstanding Options
----------------------- (*Indicates Put)
-----------------------------------------------------
Market Value
------------------
COMMON STOCKS (CONCLUDED)
Number Market Shares Expiration Exercise Options Options
of Shares Value Optioned Date Price Bought Sold
--------- ----------- -------- ---------- -------- -------- --------
TELECOMMUNICATION UTILITIES--0.07%
<S> <C> <C> <C> <C> <C> <C> <C>
Pacific Telesis Group $ 7,500 Apr '97 $35.00 $ 20,156 $
--------
20,156
----------- -------- --------
TOTALS $ 2,101,575 $298,125 $504,869
----------- -------- --------
----------- -------- --------
TOTAL FIXED INCOME SECURITIES--76.57%
(Cost $22,405,077) $22,149,095
TOTAL COMMONS STOCKS--7.27%
(Cost $1,732,252) 2,101,575
TOTAL OPTIONS PURCHASED--1.03%
(Cost $181,858) 298,125
-----------
TOTAL INVESTMENTS--84.87%
(Cost $24,319,186) 24,548,795
TOTAL OPTIONS SOLD (1.75%)
(Premiums $357,637) (504,869)
CASH EQUIVALENTS--15.60%
SEI Cash Plus Trust--Prime Obligation, 5.61% 4,510,906
EXCESS OTHER ASSETS OVER LIABILITIES (NET)--1.28% 370,707
-----------
NET ASSETS--100% $28,925,539
-----------
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $24,319,186)................................. $24,548,795
Cash equivalents................................................................................... 4,510,906
Accrued interest receivable........................................................................ 385,702
Unamortized organization expense................................................................... 2,988
Dividends receivable............................................................................... 760
-----------
Total assets..................................................................................... 29,449,151
-----------
LESS LIABILITIES:
Options outstanding at market value (premiums received $357,637)................................... 504,869
Accrued expenses................................................................................... 18,743
-----------
Total liabilities................................................................................ 523,612
-----------
Net assets......................................................................................... $28,925,539
-----------
-----------
REPRESENTED BY:
Paid-in capital.................................................................................... $28,845,091
Distributions in excess of net realized gains...................................................... (1,929)
Net unrealized appreciation of investments and options outstanding................................. 82,377
-----------
$28,925,539
-----------
-----------
Net asset value, purchase and redemption price per outstanding capital share
(2,815,970 capital shares outstanding)........................................................... $ 10.27
-----------
-----------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................... $ 1,517,339 $ 487,209
Net realized gain (loss) on investment and option transactions........... 388,620 26,252
Change in unrealized appreciation on investments and options
outstanding............................................................ (351,052) 778,853
----------------- -----------------
Increase in net assets from operations................................. 1,554,907 1,292,314
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............................................... (1,517,896) (488,984)
From net realized gains.................................................. (355,905) 0
In excess of net realized gains.......................................... (1,929) 0
----------------- -----------------
Decrease in net assets from distributions.............................. (1,875,730) (488,984)
----------------- -----------------
FUND SHARE TRANSACTIONS:
Proceeds from sales 1,071,233 and 1,901,469 capital shares for 1996 and
1995, respectively..................................................... 10,955,161 19,536,159
Proceeds from 22,483 and 39,530 capital shares issued upon
reinvestment of distributions for 1996 and 1995, respectively.......... 231,188 396,939
Cost of 665,512 and 201,131 capital shares redeemed for 1996 and 1995,
respectively........................................................... (6,807,732) (2,023,698)
----------------- -----------------
Increase in net assets from fund share transactions...................... 4,378,617 17,909,400
----------------- -----------------
Net increase in net assets............................................... 4,057,794 18,712,730
Net assets, beginning of year.......................................... 24,867,745 6,155,015
----------------- -----------------
Net assets, end of year................................................ $ 28,925,539 $ 24,867,745
----------------- -----------------
----------------- -----------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.............................................................................. $ 53,120
Interest............................................................................... 1,657,612
----------
Total investment income.............................................................. 1,710,732
----------
EXPENSES:
Fees paid to Analytic-TSA Global Asset Management (the Adviser):
Investment advisory and management fees.............................................. 120,578
Transfer agent and accounting fees................................................... 57,248
Audit and tax fees..................................................................... 23,315
Custodian fees......................................................................... 18,439
Registration fees...................................................................... 13,004
Shareholder services, reports and notices.............................................. 12,810
Directors' fees and expenses........................................................... 6,011
Organizational expenses................................................................ 3,259
Legal fees............................................................................. 2,938
Insurance and other expenses........................................................... 1,357
----------
Total expenses....................................................................... 258,959
Expenses paid indirectly............................................................... (15,140)
Reimbursed expenses by the Adviser..................................................... (50,426)
----------
Net expenses........................................................................... 193,393
----------
Net investment income.................................................................. 1,517,339
----------
NET REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENT AND OPTION TRANSACTIONS:
Net realized gains on investment and option transactions:
Proceeds............................................................................. $7,998,570
Less cost............................................................................ 7,919,407
----------
Net realized gains on investments.................................................. 79,163
----------
Premiums received on options closed.................................................. 235,120
Less cost of closing purchase transactions........................................... 157,642
----------
Net realized gains on options closed............................................... 77,478
Premiums received on options expired................................................. 231,979
----------
Net realized gains on options...................................................... 309,457
----------
Total net realized gains........................................................... 388,620
Net unrealized losses:
Change in unrealized appreciation of investments outstanding........................... (246,077)
Change in unrealized appreciation of options outstanding............................. (104,975)
----------
Net change in unrealized appreciation.............................................. (351,052)
----------
Net realized and unrealized gains on investments and options....................... 37,568
----------
Net increase in net assets from operations......................................... $1,554,907
----------
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
ENHANCED EQUITY PORTFOLIO DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS Shares Value
--------- ----------
<S> <C> <C>
AEROSPACE & DEFENSE--5.07% OF NET ASSETS
Boeing Co. 1,070 $ 113,821
United Technologies Corp. 976 64,416
----------
178,237
----------
AUTO RELATED--2.89%
Mascotech, Inc. Auto Parts 5,772 94,516
Modine Manufacturing, Co. 265 7,089
----------
101,605
----------
AUTOS & TRUCKS--0.87%
Ford Motor Co. 960 30,600
----------
30,600
----------
BANKS/SAVINGS & LOANS--8.50%
Chase Manhattan Corp. 1,151 102,727
First Citizens Bancshares, Class A 705 54,285
Firstar Corp. 270 14,175
Fulton Financial Corp. 2,657 57,125
Glenfed, Inc. 780 18,135
Old National Bancorp 732 28,731
Valley National Bankcorp 645 16,529
Washington Mutual Savings Bank 169 7,320
----------
299,027
----------
BUILDING/PACKAGE MATERIALS--1.19%
Servicemaster, Ltd. 854 22,311
U S G Corp.** 582 19,715
----------
42,026
----------
CHEMICALS--1.61%
Lyondell Petrochemical 1,078 23,716
Monsanto Co. 844 32,810
----------
56,526
----------
CLOSED-END FUNDS/HOLDING COMPANIES--3.22%
Kelly Services, Inc. 161 4,347
Manpower PLC 3,352 108,940
----------
113,287
----------
COMPUTER SERVICES/SOFTWARE--0.37%
Novell** 1,385 13,114
----------
13,114
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS (CONTINUED) Shares Value
--------- ----------
<S> <C> <C>
COMPUTERS--4.15%
Amdahl Corp.** 7,979 $ 96,746
Western Digital** 869 49,424
----------
146,170
----------
ELECTRIC/GAS/WATER UTILITIES--5.84%
Edison International 3,285 65,289
Public Service Con of New Mexico 4,656 91,374
Westcoast Energy, Inc. 2,911 48,759
----------
205,422
----------
ELECTRONICS--7.60%
General Electric Co. 1,052 104,016
Intel Corp. 759 99,382
National Service Industry 1,717 64,173
----------
267,571
----------
ENTERTAINMENT/ADVERTISING--0.63%
Viad, Corp. 1,353 22,324
----------
22,324
----------
FINANCIAL SERVICES & BROKERS--2.20%
Alliance Capital Management 791 21,060
Countrywide Credit 1,388 39,732
Newhall Land and Farming Co. 915 15,441
Sunamerica, Inc. 24 1,065
----------
77,298
----------
FOOD PROCESSING & WHOLESALE--7.90%
Dole Food Co. 287 9,722
Interstate Bakeries, Corp. 2,501 122,862
Pepsico, Inc. 3,459 101,176
SuperValu Stores 1,559 44,237
----------
277,997
----------
FOREST PRODUCTS & PAPER--2.71%
Kimberly Clark Corp. 444 42,291
Longview Fibre Co. 2,897 53,232
----------
95,523
----------
HOUSEHOLD PRODUCTS/WARES--1.53%
Procter & Gamble Co. 500 53,750
----------
53,750
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
ENHANCED EQUITY PORTFOLIO (CONTINUED) DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS (CONTINUED) Shares Value
--------- ----------
<S> <C> <C>
INSURANCE--7.34%
American International Group, Inc. 74 $ 8,010
Exel, Ltd. 2,305 87,302
Foremost Corp. of America 373 22,380
Gallagher Arthur 2,749 85,219
Reliance Group Holding, Inc. 6,050 55,206
----------
258,117
----------
MEDICAL SUPPLIES & SERVICES--0.80%
Universal Health Services, Inc.** 985 28,196
----------
28,196
----------
METALS & MINING--0.72%
Potash, Corp. 300 25,500
----------
25,500
----------
OIL/GAS DOMESTIC--6.37%
Imperial Oil, Ltd. 2,111 99,217
Murphy Oil 624 34,710
Occidental Petroleum 3,852 90,040
----------
223,967
----------
OIL/GAS INTERNATIONAL--1.91%
Chevron Corp. 354 23,010
Texaco, Inc. 449 44,059
----------
67,069
----------
OIL EQUIPMENT/EXPLORATION & SERVICES--2.83%
Canadian Occidental Petroleum 1,734 27,744
Noble Drilling Corp.** 2,280 45,315
Triton Energy, Corp.** 545 26,432
----------
99,491
----------
PHARMACEUTICALS & BIOTECHNOLOGY--5.58%
Bristol Myers Squibb Co. 359 39,041
Eli Lilly & Co. 810 59,130
Johnson & Johnson 1,972 98,107
----------
196,278
----------
PUBLISHING--2.29%
Lee Enterprises 3,465 80,561
----------
80,561
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
<TABLE>
<CAPTION>
Investments
----------------------
Number of Market
COMMON STOCKS (CONCLUDED) Shares Value
--------- ----------
<S> <C> <C>
RAILROAD/TRUCKING/MISCELLANEOUS--2.23%
Illinois Central Transportation 599 $ 19,168
Yellow, Corp.** 4,129 59,355
----------
78,523
----------
RETAIL--GENERAL/DEPARTMENT--3.97%
Neiman Marcus Group** 2,908 74,154
Sears Roebuck & Co. 1,424 65,682
----------
139,836
----------
RETAIL--GROCERY/DRUG STORES--2.60%
Food Lion, Inc. 9,347 91,425
----------
91,425
----------
TELECOMMUNICATION UTILITIES--4.35%
Bell Atlantic Corp. 944 61,124
Century Telephone 2,976 91,885
----------
153,009
----------
TOTAL COMMONS STOCKS--97.27%
(Cost $3,191,986) 3,422,449
CASH EQUIVALENTS--2.52%
SEI Cash Plus Trust--Prime Obligation, 5.61% 88,800
EXCESS OTHER ASSETS OVER LIABILITIES (NET )--0.21% 7,392
----------
NET ASSETS--100.00% $3,518,641
----------
----------
</TABLE>
**NON-INCOME PRODUCING SECURITY
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $3,191,986)................................... $3,422,449
Cash equivalents.................................................................................... 88,800
Dividends receivable................................................................................ 7,640
Unamortized organization expense.................................................................... 4,185
Interest receivable................................................................................. 692
----------
Total assets...................................................................................... 3,523,766
LESS LIABILITIES:
Accrued expenses.................................................................................... 5,125
----------
Net assets.......................................................................................... $3,518,641
----------
----------
REPRESENTED BY:
Paid-in capital..................................................................................... $3,289,791
Distributions in excess of net realized gains....................................................... (1,613)
Net unrealized appreciation of investments.......................................................... 230,463
----------
$3,518,641
----------
----------
Net asset value, purchase and redemption price per outstanding capital share
(291,163 capital shares outstanding).............................................................. $ 12.09
----------
----------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................................... $ 44,694 $ 37,243
Net realized gain on investment and option transactions.................. 784,299 25,830
Change in unrealized appreciation on investments and options............. (197,964) 475,306
----------------- -----------------
Increase in net assets from operations................................. 631,029 538,379
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............................................... (44,694) (37,803)
From net realized gains.................................................. (784,299) (19,165)
In excess of net realized gains.......................................... (1,613) 0
----------------- -----------------
Decrease in net assets from distributions.............................. (830,606) (56,968)
----------------- -----------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 72,792 and 79,259 capital shares for 1996 and
1995, respectively..................................................... 1,003,474 918,435
Proceeds from 68,061 and 4,599 capital shares issued upon reinvestment of
distributions for 1996 and 1995, respectively.......................... 826,051 56,617
Cost of 28,811 and 58,462 capital shares redeemed for 1996 and 1995,
respectively........................................................... (428,908) (650,359)
----------------- -----------------
Increase in net assets from fund share transactions...................... 1,400,617 324,693
----------------- -----------------
Net increase in net assets............................................... 1,201,040 806,104
Net assets, beginning of year.......................................... 2,317,601 1,511,497
----------------- -----------------
Net assets, end of year................................................ $ 3,518,641 $ 2,317,601
----------------- -----------------
----------------- -----------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
ENHANCED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends....................................... $ 66,211
Interest........................................ 4,936
---------
Total investment income....................... 71,147
---------
EXPENSES:
Fees paid to Analytic /TSA Global Asset
Management (the Adviser):
Investment advisory and management fees....... 17,494
Transfer agent and accounting fees............ 7,140
Audit and tax fees.............................. 6,928
Organizational expenses......................... 4,565
Registration fees............................... 3,852
Custodian fees.................................. 1,809
Shareholder services, reports and notices....... 1,156
Directors' fees and expenses.................... 611
Legal fees...................................... 310
Insurance and other expenses.................... 142
---------
Total expenses................................ 44,007
Expenses paid indirectly........................ (3,920)
Reimbursed expenses by the adviser.............. (13,634)
---------
Net expenses.................................... 26,453
---------
Net investment income........................... 44,694
---------
NET REALIZED & UNREALIZED GAINS (LOSSES) ON
INVESTMENT AND OPTION TRANSACTIONS:
Net realized gains (losses) on investment and
option transactions:
Proceeds...................................... $5,288,947
Less cost..................................... 4,439,155
----------
Net realized gain on investments............ 849,792
---------
Premiums received on options closed........... 41,046
Less cost of closing purchase transactions.... 106,539
----------
Net realized losses on options closed......... (65,493)
---------
Total net realized gains.................... 784,299
---------
Net unrealized gains (losses):
Change in unrealized appreciation of
investments outstanding..................... (198,285)
Change in unrealized appreciation of options
outstanding................................. 321
----------
Net change in unrealized appreciation....... (197,964)
---------
Net realized and unrealized gains on
investment and option transactions........ 586,335
---------
Net increase in net assets from
operations.............................. $ 631,029
---------
---------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
23
<PAGE>
SHORT-TERM GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ONE
MONTH
ENDED
YEAR ENDED DECEMBER 31 DECEMBER 31
---------------------------------- -----------
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................. 0.62 0.56 0.48 0.53 0.05
Net realized and unrealized gains
(losses) on investment and foreign
currency transactions............... (0.10) 0.43 (0.48) 0.00 0.03
------- ------- ------- ------- -----------
Total from investment operations.... 0.52 0.99 0.00 0.53 0.08
------- ------- ------- ------- -----------
LESS DISTRIBUTIONS:
From net investment income............ 0.66 0.56 0.48 0.53 0.05
Return of capital..................... 0.01 0.00 0.00 0.00 0.00
------- ------- ------- ------- -----------
Total distributions................. 0.67 0.56 0.48 0.53 0.05
------- ------- ------- ------- -----------
Net asset value, end of period.......... $ 9.83 $ 9.98 $ 9.55 $ 10.03 $ 10.03
------- ------- ------- ------- -----------
------- ------- ------- ------- -----------
TOTAL RETURN............................ 5.28% 10.65% 0.00% 5.37% 9.38%+
------- ------- ------- ------- -----------
------- ------- ------- ------- -----------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period ($000)........ $ 1,008 $27,880 $24,481 $26,097 $ 7,619
Ratio of expenses to average net
assets(1).............................. 0.76% 0.82% 0.85% 0.75% 0.77%+
Ratio of net investment income to
average net assets..................... 5.99% 5.76% 5.37% 4.91% 5.45%+
Portfolio turnover rate................. 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 0.56%, 0.50%, 0.45%, 0.45%, 0.45%+ for each of the years in
the periods ended December 31, 1996 and for the month ended December 31,
1992, respectively.
+ Annualized
24
<PAGE>
MASTER FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ONE MONTH
YEAR ENDED DECEMBER 31 ENDED
----------------------------------- DECEMBER 31
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................. 0.58 0.61 0.64 0.67 0.04
Net gains (losses) on investments and
options (realized and unrealized)... (0.01) 0.91 (0.75) 0.41 0.06
------- ------- ------ ------- -----------
Total from investment operations.... 0.57 1.52 (0.11) 1.08 0.10
------- ------- ------ ------- -----------
LESS DISTRIBUTIONS:
From net investment income............ 0.58 0.61 0.64 0.67 0.04
From net realized gains............... 0.12 0.00 0.01 0.21 0.00
In excess of net realized gains....... 0.01 0.00 0.00 0.00 0.00
------- ------- ------ ------- -----------
Total distributions................. 0.71 0.61 0.65 0.88 0.04
------- ------- ------ ------- -----------
Net asset value, end of period.......... $ 10.27 $ 10.41 $ 9.50 $ 10.26 $10.06
------- ------- ------ ------- -----------
------- ------- ------ ------- -----------
TOTAL RETURN............................ 5.69% 16.43% (1.04)% 10.94% 13.09%+
------- ------- ------ ------- -----------
------- ------- ------ ------- -----------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period ($000)........ $28,926 $24,868 $6,155 $ 8,066 $9,219
Ratio of expenses to average net
assets(1).............................. 0.97% 1.03% 1.17% 1.04% 1.05%+
Ratio of net investment income to
average net assets..................... 5.66% 5.99% 7.16% 6.39% 5.63%+
Portfolio turnover rate................. 21.95% 31.82% 44.30% 105.39% 0.00%
Average commission rate(2).............. $0.0418 $0.0277
</TABLE>
(1) Gross of Adviser reimbursed expenses and expenses indirectly paid through
brokerage arrangements. With both expense reductions, such ratios would have
been 0.72%, 0.69%, 0.60%, 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 commissions
paid divided by the total shares purchased and sold. Each option contract is
100 shares.
+ Annualized
25
<PAGE>
ENHANCED EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ONE MONTH
YEAR ENDED DECEMBER 31 ENDED
---------------------------------- DECEMBER 31,
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................................... 0.21 0.23 0.28 0.40 0.01
Net realized and unrealized gains (losses) on investment
and option transactions............................... 2.74 3.22 (0.32) 0.62 0.02
------- ------- ------ ------ ------------
Total from investment operations...................... 2.95 3.45 (0.04) 1.02 0.03
------- ------- ------ ------ ------------
LESS DISTRIBUTIONS:
From net investment income.............................. 0.21 0.23 0.28 0.40 0.01
From net realized gains................................. 3.58 0.11 0.00 0.37 0.00
In excess of net realized gains......................... 0.01 0.00 0.00 0.00 0.00
Return of capital....................................... 0.00 0.00 0.00 0.12 0.00
------- ------- ------ ------ ------------
Total distributions................................... 3.80 0.34 0.28 0.89 0.01
------- ------- ------ ------ ------------
Net asset value, end of period............................ $ 12.09 $ 12.94 $ 9.83 $10.15 $ 10.02
------- ------- ------ ------ ------------
------- ------- ------ ------ ------------
TOTAL RETURN.............................................. 22.95% 35.36% (0.37)% 10.07% 4.08%+
------- ------- ------ ------ ------------
------- ------- ------ ------ ------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period ($000).......................... $ 3,519 $ 2,318 $1,511 $ 903 $12,823
Ratio of expenses to average net assets(1)................ 1.51% 1.33% 1.35% 1.35% 1.07%+
Ratio of net investment income to average net assets...... 1.53% 2.02% 3.24% 2.16% 1.66%+
Portfolio turnover rate................................... 179.47% 10.15% 24.75% 76.34% 25.20%
Average commission rate(2)................................ $0.0658 $0.0431
</TABLE>
(1) Gross of Adviser reimbursed expenses and expenses indirectly paid through
brokerage arrangements. With both expense reductions, such ratios would have
been 0.91%, 0.50%, 0.24%, 0.57% and 0.70% 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>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
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 investment 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 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. Securities for
which quotations are not readily available, including circumstances in which it
is determined by Analytic-TSA Global Asset Management, Inc. (formerly Analytic
Investment Management, Inc.) (the "Adviser") the bid or ask 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.
27
<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 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 covered 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.
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 carryfowards of $793,913 at
December 31, 1996 which will expire through December 31, 2001. 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, 1996.
28
<PAGE>
Net unrealized appreciation/(depreciation) of investments and options held at
December 31, 1996, 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.... $ 0 $ (8,030) $ (8,030)
Master Fixed Income Portfolio...... 699,813 (617,436) 82,377
Enhanced Equity Portfolio.......... 275,337 (44,874) 230,463
</TABLE>
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 basis 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 rate 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 form 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 redemption) of the unamortized
29
<PAGE>
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,
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.
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 exceeded the following
percentages of average daily net assets for the respective years ending December
31.
<TABLE>
<CAPTION>
1996 1995 1994 1993
----- ----- ----- -----
<S> <C> <C> <C> <C>
Short-Term Government Portfolio........................ .60% .50% .45% .45%
Master Fixed Income Portfolio.......................... .80% .70% .60% .60%
Enhanced Equity Portfolio.............................. 1.00% .80% .70% .70%
</TABLE>
At December 31, 1996, six officers and one trustee of the Fund are also officers
and director of the Adviser.
3. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the year ended December 31, 1996, the cost basis of purchases and proceeds
of sales (including $295,752 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.................................................... $ 5,867,265 $ 31,838,277
Master Fixed Income Portfolio...................................................... 10,691,919 7,998,570
Enhanced Equity Portfolio.......................................................... 5,795,456 5,288,947
</TABLE>
30
<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 year......................................................... 507 $ 410,168
Options written.......................................................................... 2,183 710,321
Options terminated in closing purchase transactions...................................... (368) (235,122)
Options expired.......................................................................... (1,032) (231,978)
Options exercised........................................................................ (541) (295,752)
----------- -----------
Outstanding at December 31, 1996......................................................... 749 $ 357,637
----------- -----------
----------- -----------
</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............................ 2 $ 1,292
Options written............................................. 30 39,754
Options terminated in closing purchase transactions......... (32) (41,046)
--- --------
Outstanding at December 31, 1996............................ 0 $ 0
--- --------
--- --------
</TABLE>
At December 31, 1996, portfolio securities valued at $1,969,075 was 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
December 31, 1996 in the Enhanced Equity Portfolio, and there were no option
contracts written in the Short-Term Government Portfolio during the year ended
December 31, 1996.
4. AFFILIATED SHAREHOLDERS
At December 31, 1996, excluding ownership by the Adviser's retirement plan,
certain officers and trustees owned less than 5% of the Enhanced Equity and
Short-Term Government Portfolios of the Fund.
5. EXPENSES PAID INDIRECTLY
The Fund has entered into an agreement whereby certain operating expenses of the
Fund are paid indirectly by a broker, based upon a percentage of commissions
earned by the broker for execution of portfolio transactions. For the year ended
December 31, 1996, such expenses amounted to $15,140 and $3,920 in the Master
Fixed Income and Enhanced Equity Portfolios, respectively. Gross commission
rates for this broker are consistent with those of other brokers utilized by the
Fund.
31
<PAGE>
INDEPENDENT AUDITORS' REPORT
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF THE ANALYTIC SERIES FUND:
We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of the Analytic Series Fund (comprising
the Short-Term Government, Master Fixed Income and Enhanced Equity portfolios)
(the "Fund") as of December 31, 1996 and the related statement of operations for
the year then ended, the statements of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
four years in the period then ended and for the one month ended December 31,
1992. These financial statements and financial highlights are the responsibility
of the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned and
outstanding options at December 31, 1996 by correspondence with custodians. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting The Analytic Series Fund as of
December 31, 1996, the results of their operations for the year then ended, the
changes in their net assets for each of the two years in the period then ended,
and the financial highlights for each of the four years in the period then ended
and for the one month ended December 31, 1992 in conformity with generally
accepted accounting principles.
DELOITTE & TOUCHE LLP
[SIG]
LOS ANGELES, CALIFORNIA
FEBRUARY 10, 1997
32
<PAGE>
<TABLE>
<S> <C>
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............. Harindra de Silva
SENIOR VICE
PRESIDENT............. Deborah D. Boedicker
SENIOR VICE
PRESIDENT............. Marie Nastasi Arlt
VICE PRESIDENT........ Deborah C. Sheflin
</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
Analytic-TSA Global Asset Management, Inc.
700 South Flower Street, Suite 2400
Los Angeles, CA 90017
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
700 South Flower Street, Suite 2400
Los Angeles, CA 90017
Phone: (800) 374-2633
FAX: (213) 688-8856
[LOGO]
THE ANALYTIC
SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
MASTER FIXED INCOME PORTFOLIO
ENHANCED EQUITY PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 1996
MEMBER OF
100% NO-LOAD-Trademark-
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