<PAGE>
ANALYTIC SERIES FUND Member of
================
100% NO LOAD/TM/
MUTUAL FUND
COUNCIL
================
February 2, 1998
Dear Fellow Shareholders,
The U.S. stock markets continued to climb during the fourth quarter of 1997.
Large capitalization ("Blue Chip") indices, such as the S&P 500 Index,
continued their strong showing in the U.S. equity markets. Despite its setback
of -3.34% in October, the S&P 500 Index returned 2.87% for the quarter and
returned 33.36% for the year ended December 31, 1997. The performance of small
capitalization stocks tailed off, with the S&P Small Cap 600 Index down -3.10%
for the quarter, bringing the return for the year ended December 31, 1997 down
to 25.58%. All of the above returns are with dividends reinvested.
U.S. fixed income markets also continued their rise during the fourth
quarter of 1997. Steady economic growth fueled the bond market and all parts
of the yield curve benefited. Shorter-term (1-3 years) Treasury issues were up
1.68% for the quarter and 6.66% at year end while intermediate-term (5-10
years) Treasury issues increased 3.51% for the quarter and 10.00% at year end.
Longer-term issues gained the most, with 15+ year Treasury issues up 6.69% for
the quarter and 15.38% at year end.
ENHANCED EQUITY PORTFOLIO
As of December 31, 1997, your Portfolio's net asset value increased 29.86%
for the year, after a decline of -0.57% in the fourth quarter, while the S&P
500 Index increased 33.36% and 2.87% for the same periods, both with dividends
reinvested. At quarter end, your Portfolio's share price was $13.72 after
paying its 18th consecutive quarterly dividend from net investment income of
$0.05 per share and a capital gain of $1.81. With the addition of the fourth
quarter, your Portfolio has now increased 44.66% versus the S&P 500's 44.37%
since September 30, 1996, since the inception of the new stock selection
model.
The Fund's success is evident in its Morningstar performance and risk-
adjusted performance (Sharpe ratio) --rankings--the Fund ranks in the top
quintile and top quartile, respectively, of all (1,651) domestic equity mutual
funds for the most recent three-year period ended December 31, 1997.
MASTER FIXED INCOME PORTFOLIO
As of December 31, 1997, your Portfolio was up 2.17% for the quarter and
10.04% at year end. The Lehman Brothers Government/Corporate Bond Index (LBGC)
was up 3.21% for the quarter and 9.75% at year end. At quarter end, the
Portfolio's share price was $8.84 after paying its 18th consecutive quarterly
dividend from net investment income. The total quarterly dividend paid through
December 31 was $0.149 per share with a long-term capital gain of $1.84, and
the SEC 30-day yield was 6.36%.
Morningstar ranks the Master Fixed Income Portfolio among the top 5% of the
over 250 funds in its category on both a three-year absolute performance basis
and a risk-adjusted performance basis (Sharpe ratio).
SHORT-TERM GOVERNMENT PORTFOLIO
As of December 31, 1997, your Portfolio's total return was 1.22% for the
quarter and 5.49% at year end. The Merrill Lynch 1 to 3 Year Treasury Index
increased 1.68% and 6.66%, respectively, for the same periods. At quarter end,
the Portfolio's share price was $9.81 after paying its 18th consecutive
quarterly dividend from net investment income. The fourth quarter dividend
paid through December 31 was $0.140 per share, and the SEC 30-day yield was
5.47%.
1
<PAGE>
Morningstar ranks the Short-Term Government Portfolio among the top 10% of
the nearly 400 funds in its category on a risk-adjusted performance basis
(Sharpe ratio).
These Portfolios 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
Portfolios' 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.
Your Investment Management Team:
/s/ Harindra de Silva /s/ Greg McMurran
Harindra de Silva, Ph.D., CFA Greg McMurran
President/Portfolio Manager Chief Investment Officer
/s/ Bob Bannon /s/ Dennis Bein
Bob Bannon Dennis Bein, CFA
Portfolio Manager Portfolio Manager
/s/ Scott Barker
Scott Barker
Portfolio Manager
ANALYTIC SERIES FUNDTOTAL RETURN*(1)FROM INCEPTION 7/1/93--12/31/97, PERCENT
<TABLE>
<CAPTION>
1 QUARTER 1 YEAR 3 YEAR INCEPTION
--------- ------ ------ ---------
<S> <C> <C> <C> <C>
Short-Term Government Portfolio............... 1.22 5.49 7.08 5.12
Master Fixed Income Portfolio................. 2.17 10.04 10.63 7.56
Enhanced Equity Portfolio..................... -0.57 29.86 29.29 19.73
</TABLE>
*Periods greater than six months are annualized.
(1) The investment returns quoted in this letter represent past returns and
should not be construed as a guarantee of the Fund's future performance.
Returns are 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.
2
<PAGE>
Analytic Series Fund
Total Return
Growth of $10,000 Investment
7/1/93-12/31/97
- --------------------------------------------------------------------------------
Enhanced Equity Portfolio
Average Annual Return
19.73%
[LINE GRAPH APPEARS HERE]
Enhanced Equity Portfolio S&P 500 CPI
10 10 10
Sep-93 10.16238 10.25575 10.04848
Dec-93 10.44961 10.49308 10.09695
Mar-94 10.44691 10.09279 10.19391
Jun-94 10.21288 10.134 10.24931
Sep-94 10.53671 10.63296 10.34627
Dec-94 10.41076 10.63025 10.36704
Mar-95 11.34275 11.66518 10.48477
Jun-95 12.48129 12.77207 10.56095
Sep-95 13.50804 13.78748 10.60942
Dec-95 14.09203 14.60911 10.6302
Mar-96 14.86526 15.4032 10.78255
Jun-96 15.43365 16.0986 10.85181
Sep-96 15.55413 16.59113 10.92798
Dec-96 17.32669 17.97997 10.98339
Mar-97 17.58465 18.44925 11.08034
Jun-97 20.21168 21.67049 11.09073
Sep-97 22.63102 23.29577 11.153
Dec-97 22.50202 23.96436 11.18416
Past performance is not predictive of future performance.
Master Fixed Income Portfolio
Average Annual Return
7.56%
Master Fixed Income Portfolio Lehman Bros. Govt./Corp. Bond Index
10 10
Sep-93 10.342 10.33151
Dec-93 10.36278 10.30177
Mar-94 10.07714 9.977755
Jun-94 10.05318 9.854411
Sep-94 10.22936 9.903681
Dec-94 10.25547 9.940155
Mar-95 10.69214 10.4355
Jun-95 11.26984 11.11207
Sep-95 11.49993 11.32476
Dec-95 11.94068 11.85254
Mar-96 11.97511 11.57514
Jun-96 12.03088 11.62951
Sep-96 12.24249 11.83526
Dec-96 12.62005 12.19695
Mar-97 12.55836 12.09161
Jun-97 13.02045 12.53083
Sep-97 13.59074 12.97066
Dec-97 13.88566 13.38702
Past performance in not predictive of future performance.
3
<PAGE>
Analytic Series Fund
Total Return
Growth of $10,000 Investment
7/1/93-12/31/97
- --------------------------------------------------------------------------------
Short Term Government Portfolio
Average Annual Return
5.12%
Short-Term Government Portfolio Merrill Lynch 1-3 year Treasury Index
10 10
Sep-93 10.14322 10.14349
Dec-93 10.19954 10.20339
Mar-94 10.10081 10.15248
Jun-94 10.08955 10.16089
Sep-94 10.20413 10.261
Dec-94 10.19921 10.26136
Mar-95 10.54177 10.60601
Jun-95 10.85596 10.94602
Sep-95 11.01651 11.11047
Dec-95 11.27403 11.3901
Mar-96 11.28659 11.42814
Jun-96 11.38627 11.54348
Sep-96 11.5605 11.73418
Dec-96 11.86934 11.95725
Mar-97 11.92549 12.03636
Jun-97 12.12477 12.30167
Sep-97 12.36969 12.57283
Dec-97 12.5206 12.84996
The S&P 500 is an unmanaged index composed of 400 industrial, 40 financial, 40
utilities and 20 transportation stocks.
Please note that one cannot invest directly 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.
The Merrill Lynch 1-3 year Treasury Index includes only U.S. Treasury Notes and
Bonds with Maturities one year or greater and less than three years.
The Lehman Brothers Government/Corporate Index is an unmanaged index composed of
a combination of the Government and Corporate Bond Indices. The Government Index
includes public obligations of the U.S. Treasury, issues of Government agencies,
and corporate debt backed by the U.S. Government. The Corporate Bond Index
includes fixed rate nonconvertible corporate debt. Also included are Yankee
Bonds and nonconvertible debt issued or guaranteed by foreign or international
governments or agencies. All issues are investment grade (BBB) or higher, with
maturities of at least one year outstanding par value of at least $100 million
for U.S. Government issues and $25 million for others. Any security downgraded
during the month is held in the index until month-end then removed. All returns
are market value weighted inclusive of accrued income.
CPI-Consumer Price Index is an index of prices used to measure the change in the
cost of basic goods and services in comparison with a fixed base period.
FEDERAL INCOME TAX INFORMATION (UNAUDITED):
For the year ended December 31, 1997 $33,583 and $59,055 has been
designated as a 28% long-term capital gain dividend for the purpose of
the dividend paid deduction on its federal income tax return in The
Master Fixed Income Portfolio and the Enhanced Equity Portfolio,
respectively. The Enhanced Equity Portfolio has also designated $77,992
as a 20% long-term capital gain dividend for the purpose of the dividend
paid deduction on its Federal income tax return.
For the year ended December 31, 1997, the percentage of dividends paid
that qualify for the 70% dividend received deduction for corporate
shareholders is 11.21% for the Enhanced Equity Portfolio.
4
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL MATURITY MARKET
AMOUNT COUPON DATE VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--20.98% OF NET ASSETS
$325,000 Associates Corp. N.A. ................ 6.63% 5/15/01 $ 328,968
275,000 Shell Canada Ltd...................... 8.88% 1/14/01 295,831
----------
TOTAL CORPORATE OBLIGATIONS
(Cost $627,073)....................... 624,799
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--40.88%
Federal National Mortgage
300,000 Association........................... 7.32% 5/03/06 309,437
Federal National Mortgage
350,000 Association........................... 6.83% 10/10/07 352,547
300,000 Federal Home Loan Mortgage Corp. ..... 6.51% 12/10/01 299,517
250,000 Federal Home Loan Mortgage Corp. ..... 7.05% 11/07/06 255,722
----------
TOTAL ASSET--BACKED SECURITIES
(Cost $1,218,767)..................... 1,217,223
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--33.73%
150,000 Treasury Note......................... 6.00% 8/15/00 151,078
300,000 Treasury Note......................... 5.63% 11/30/00 299,438
275,000 Treasury Note......................... 5.50% 12/31/00 273,539
275,000 Treasury Note......................... 6.38% 3/31/01 280,156
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,005,768)..................... 1,004,211
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $2,851,608)............................... 2,846,233
- -------------------------------------------------------------------------------
CASH EQUIVALENTS--7.95%
236,726 Vista Cash Managed Money Market Fund
5.21%
(Cost $236,726)....................... 236,726
----------
TOTAL INVESTMENTS AND CASH EQUIVALENTS
(Cost $3,088,334)--103.54%...................... 3,082,959
EXCESS OTHER LIABILITIES OVER ASSETS (NET)--
(3.54%)......................................... (105,415)
- -------------------------------------------------------------------------------
NET ASSETS--100%................................. $2,977,544
================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
5
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1997
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments at market value (identified cost $2,851,608).......... $2,846,233
Cash equivalents.................................................. 236,726
Receivable for shares sold........................................ 187,974
Interest receivable............................................... 36,465
Receivable from investment adviser................................ 5,083
- -------------------------------------------------------------------------------
Total assets..................................................... 3,312,481
- -------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased................................. 307,828
Payable for administrative fees................................... 3,869
Other liabilities................................................. 23,240
- -------------------------------------------------------------------------------
Total liabilities................................................ 334,937
- -------------------------------------------------------------------------------
NET ASSETS......................................................... $2,977,544
================================================================================
REPRESENTED BY:
Paid in capital................................................... $3,780,319
Undistributed net investment income............................... 373
Net realized loss on investment................................... (797,773)
Net unrealized depreciation on investments........................ (5,375)
- -------------------------------------------------------------------------------
$2,977,544
================================================================================
Net asset value, purchase and redemption price per outstanding
capital share
(303,637 capital shares outstanding)............................. $ 9.81
================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
6
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
Year Ended December 31, 1997
<TABLE>
- ---------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Interest.............................................................. $ 57,059
- ---------------------------------------------------------------------------------
Total investment income.............................................. 57,059
- ---------------------------------------------------------------------------------
EXPENSES:
Administrative fees................................................... 21,124
Registration fees..................................................... 15,778
Shareholder services, reports and notices............................. 14,809
Audit fees............................................................ 9,979
Investment advisory and management fees............................... 2.791
Organizational expenses............................................... 2,518
Custodian fees........................................................ 691
Trustees' fees and expenses........................................... 226
Other fees............................................................ 3,924
- ---------------------------------------------------------------------------------
Total expenses....................................................... 71,840
Reimbursed expenses by the adviser.................................... (66,253)
- ---------------------------------------------------------------------------------
Net expenses.......................................................... 5,587
- ---------------------------------------------------------------------------------
Net investment income................................................. 51,472
- ---------------------------------------------------------------------------------
NET REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized loss on investments...................................... (3,860)
Net change in unrealized appreciation/depreciation on investments..... 2,655
- ---------------------------------------------------------------------------------
Net realized and unrealized loss on investments....................... (1,205)
- ---------------------------------------------------------------------------------
Net increase in net assets from operations............................ $ 50,267
=================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
7
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1997 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income............................... $ 51,472 $ 1,521,025
Net realized loss on investments.................... (3,860) (444,657)
Change in unrealized appreciation/depreciation on
investments........................................ 2,655 (8,088)
- --------------------------------------------------------------------------------
Increase in net assets from operations............. 50,267 1,068,280
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.......................... (51,472) (1,521,025)
In excess of net investment income.................. (184) --
Return of capital................................... -- (12,345)
- --------------------------------------------------------------------------------
Decrease in net assets from distributions.......... (51,656) (1,533,370)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 385,159 and 115,424 capital
shares for the years ended December 31, 1997 and
1996, respectively................................. 3,777,511 1,165,744
Proceeds from 5,298 and 149,181 capital shares
issued upon reinvestment of distributions for the
years ended December 31, 1997 and 1996,
respectively....................................... 50,743 1,465,395
Cost of 189,278 and 2,957,142 capital shares
redeemed for the years ended December 31, 1997 and
1996, respectively................................. (1,856,900) (29,038,540)
- --------------------------------------------------------------------------------
Increase (decrease) in net assets from fund share
transactions...................................... 1,971,354 (26,407,401)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets............... 1,969,965 (26,872,491)
Net assets, beginning of year...................... 1,007,579 27,880,070
- --------------------------------------------------------------------------------
Net assets, end of year (including undistributed
net investment income of $373 and $0,
respectively)..................................... $ 2,977,544 $ 1,007,579
================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
8
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31
-----------------------------------------
1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR.. $ 9.83 $ 9.98 $ 9.55 $ 10.03 $ 10.03
- --------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.............. 0.55 0.62 0.56 0.48 0.53
Net realized and unrealized gains
(losses) on investments........... (0.02) (0.10) 0.43 (0.48) 0.00
- --------------------------------------------------------------------------------
Total from investment operations.. 0.53 0.52 0.99 0.00 0.53
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
From net investment income(1)...... 0.55 0.66 0.56 0.48 0.53
Return of capital.................. 0.00 0.01 0.00 0.00 0.00
- --------------------------------------------------------------------------------
Total distributions............... 0.55 0.67 0.56 0.48 0.53
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR........ $ 9.81 $ 9.83 $ 9.98 $ 9.55 $ 10.03
================================================================================
TOTAL RETURN........................ 5.54% 5.28% 10.65% 0.00% 5.37%
- --------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
Net assets, end of period ($000).... $2,978 $1,008 $27,880 $24,481 $26,097
Ratio of expenses to average net
assets:
Before expense reimbursement....... 7.80% 0.76% 0.82% 0.85% 0.75%
After expense reimbursement........ 0.60% 0.56% 0.50% 0.45% 0.45%
Ratio of net investment income to
average net assets................. 5.53% 5.99% 5.76% 5.37% 4.91%
Portfolio turnover rate............. 33.50% 31.48% 10.15% 3.21% 85.69%
- --------------------------------------------------------------------------------
</TABLE>
(1) For the year ended December 31, 1997, the distributions in excess of net
investment income amounted to $0.002.
See accompanying Notes to Financial Statements.
9
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL MATURITY MARKET
AMOUNT COUPON DATE VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--14.61% OF NET ASSETS
$250,000 Treasury Note.......................... 6.25% 2/15/03 $ 255,703
350,000 Treasury Note.......................... 6.50% 5/15/05 364,875
200,000 Treasury Note.......................... 8.00% 5/15/01 213,813
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $842,922)........................ 834,391
- -------------------------------------------------------------------------------
U.S. MORTGAGE BACKED SECURITIES--12.21%
Federal National Mortgage Association
496,070 Pool #251115........................... 7.50% 8/01/27 507,387
Government National Mortgage
106,048 Association Pool #344313............... 7.50% 7/15/23 108,996
Government National Mortgage
78,921 Association Pool #326210............... 7.50% 9/15/23 81,165
----------
TOTAL U.S. MORTGAGE BACKED SECURITIES
(Cost $688,129)........................ 697,548
- -------------------------------------------------------------------------------
U.S. AGENCY OBLIGATIONS--25.13%
500,000 Federal Home Loan Bank................. 5.88% 8/20/03 497,750
Federal Home Loan Mortgage
200,000 Corporation............................ 7.05% 11/20/12 198,599
350,000 Federal National Mortgage Association.. 6.20% 11/12/03 345,263
394,000 Tennessee Valley Authority............. 6.13% 7/15/03 393,677
----------
TOTAL U.S. AGENCY OBLIGATIONS
(Cost $1,433,172)...................... 1,435,289
- -------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--23.85%
150,000 Associates Corp. N.A. ................. 6.38% 8/15/98 150,351
250,000 First Chicago NBD Corp. ............... 6.13% 2/15/06 243,171
300,000 Gillette Co. .......................... 5.75% 10/15/05 292,863
200,000 KFW International Finance.............. 7.63% 2/15/04 214,605
200,000 Nippon Telegraph & Telephone........... 6.00% 2/19/98 200,266
250,000 Philip Morris Companies, Inc. ......... 7.63% 5/15/02 261,141
----------
TOTAL CORPORATE OBLIGATIONS
(Cost $1,342,796)...................... 1,362,397
- -------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES--75.80%
(Cost $4,307,019)...................... $4,329,625
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
10
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
December 31, 1997
<TABLE>
<CAPTION>
OUTSTANDING OPTIONS
(*INDICATES PUT)
-----------------------------------------------
MARKET VALUE
-----------------
SHARES EXPIRATION EXERCISE PURCHASED WRITTEN
OPTIONED DATE PRICE OPTIONS OPTIONS
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMON STOCK
- -------------------------------------------------------------------------------
BANKS / SAVINGS & LOANS--
(0.05%)
BankAmerica Corp. ........... 800 Apr'98 $ 70.00* $ $ 3,150
- -------------------------------------------------------------------------------
BREWERY / SPIRITS & TOBACCO--
(0.02%)
Anheuser-Busch Companies,
Inc. ....................... 1,400 Mar'98 40.00* 1,050
- -------------------------------------------------------------------------------
ELECTRIC / GAS / WATER
UTILITIES--(0.00%)
Unicom Corp. ................ 800 Feb'98 22.50* 100
- -------------------------------------------------------------------------------
ELECTRONICS--(0.20)%
Applied Materials, Inc. ..... 1,800 Apr'98 32.50* 5,850
Lam Research Corp. .......... 800 Mar'98 35.00 1,250
Maxim Integrated Products,
Inc. ....................... 1,400 Feb'98 75.00 2,275
Morgan Stanley High Tech
Index....................... 200 Mar'98 42.00* 3,437
Texas Instruments, Inc. ..... 1,200 Apr'98 95.00* 6,900
Vitesse Semiconductor
Corp. ...................... 600 Apr'98 50.00 1,425
------ -------
4,950 16,187
- -------------------------------------------------------------------------------
FINANCIAL SERVICES & BROKERS--
0.16%
Concord EFS, Inc. ........... 900 Jun'98 30.00 1,181
Morgan Stanley............... 1,100 Apr'98 55.00 7,769
------
8,950
- -------------------------------------------------------------------------------
FOREST PRODUCTS & PAPER--
(0.09%)
International Paper Co. ..... 1,300 Apr'98 45.00* 4,956
- -------------------------------------------------------------------------------
MEDICAL SUPPLIES & SERVICES--
(0.03%)
Tenet Healthcare Corp. ...... 2,000 May'98 30.00* 3,500
United Healthcare Corp. ..... 1,000 Jan'98 50.00 1,812
------ -------
1,812 3,500
- -------------------------------------------------------------------------------
OIL AND GAS--(0.06%)
Amex Natural Gas Index....... 300 Jan'98 360.00* 3,375
- -------------------------------------------------------------------------------
OIL EQUIPMENT / EXPLORATION &
SERVICES--(0.17%)
Smith International, Inc. ... 800 Apr'98 70.00* 9,700
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
December 31, 1997
<TABLE>
<CAPTION>
OUTSTANDING OPTIONS
(*INDICATES PUT)
----------------------------------------------
MARKET VALUE
-----------------
SHARES EXPIRATION EXERCISE PURCHASED WRITTEN
OPTIONED DATE PRICE OPTIONS OPTIONS
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMON STOCK--(CONTINUED)
- -------------------------------------------------------------------------------------
PHARMACEUTICAL & BIOTECHNOLOGY--0.08%
Centocor, Inc. ..................... 700 Apr'98 $45.00 $ 1,050 $
Gilead Sciences, Inc. .............. 700 May'98 40.00 3,369
-------
4,419
- -------------------------------------------------------------------------------------
PRINT & PUBLISHING--(0.04%)
Merrill Corp. ...................... 900 Apr'98 65.00* 2,138
- -------------------------------------------------------------------------------------
RESTAURANTS & LODGING--(0.09%)
Hilton Hotels Corp. ................ 2,000 Apr'98 30.00* 5,125
- -------------------------------------------------------------------------------------
RAILROAD / TRUCKING / MISCELLANEOUS--
(0.03%)
Illinois Central Corp. ............. 800 Mar'98 35.00* 1,650
- -------------------------------------------------------------------------------------
SPECIALTY RETAIL / WHOLESALE--(0.07%)
Bed Bath & Beyond, Inc. ............ 700 Feb'98 35.00 3,500
Reebok International Ltd. .......... 800 Apr'98 40.00* 9,100
Williams-Sonoma, Inc. .............. 600 Feb'98 45.00 1,538
------- -------
5,038 9,100
- -------------------------------------------------------------------------------------
TELECOMMUNICATIONS & EQUIPMENT--
(0.16%)
Lucent Technologies, Inc............ 800 Apr'98 80.00* 4,800
Western Wireless Corp............... 1,700 May'98 17.50* 4,250
-------
9,050
------- -------
TOTALS.............................. $25,169 $69,081
=====================================================================================
</TABLE>
<TABLE>
<S> <C>
TOTAL FIXED INCOME SECURITIES--75.80%
(Cost $4,307,019).................................................. $4,329,625
TOTAL PURCHASED OPTIONS--0.44%
(Cost $32,346)..................................................... 25,169
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS--76.24%
(Cost $4,339,365).................................................. 4,354,794
TOTAL WRITTEN OPTIONS--(1.21%)
(Premiums Received $70,262)........................................ (69,081)
CASH EQUIVALENTS--24.38%
Vista Cash Managed Money Market Fund 5.21% (Cost $1,392,538)....... 1,392,538
EXCESS OTHER ASSETS OVER LIABILITIES (NET)--0.59%................... 33,309
- --------------------------------------------------------------------------------
NET ASSETS--100%.................................................... $5,711,560
================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
December 31, 1997
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
1. Federal National Mortgage
Association Pool #25115
7.50%, 8/1/27........... 8.9%
2.Federal Home Loan Bank
5.88%, 8/20/03........... 8.7
3.Tennessee Valley Authority
6.13%, 7/15/03........... 6.9
4.U.S. Treasury Note 6.50%,
5/15/05.................. 6.4
5.Federal National Mortgage
Association 6.20%,
11/12/03................. 6.0
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
6.Gillette Co. 5.75%,
10/15/05.................... 5.1%
7.Phillip Morris Companies,
Inc. 7.63%, 5/15/02...... 4.6
8.U.S. Treasury Note 6.25%,
2/15/03.................. 4.5
9.First Chicago NBD Corp.
6.13%, 2/15/06........... 4.3
10.KFW International Finance
7.63%, 5/15/04........... 3.8
</TABLE>
- --------------------------------------------------------------------------------
*Excludes cash equivalents
See accompanying Notes to Financial Statements.
13
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1997
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments at market value (identified cost $4,339,365).......... $4,354,794
Cash equivalents.................................................. 1,392,538
Interest receivable............................................... 73,605
Receivable from investment adviser................................ 9,785
Receivable for shares sold........................................ 8,000
- -------------------------------------------------------------------------------
Total assets..................................................... 5,838,722
- -------------------------------------------------------------------------------
LIABILITIES:
Written options outstanding at market value (premiums received
$70,262)......................................................... 69,081
Distributions payable............................................. 22,606
Payable for administrative fees................................... 6,850
Other liabilities................................................. 28,625
- -------------------------------------------------------------------------------
Total liabilities................................................ 127,162
- -------------------------------------------------------------------------------
NET ASSETS......................................................... $5,711,560
===============================================================================
REPRESENTED BY:
Paid in capital................................................... $5,741,144
Undistributed net investment income............................... 1,406
Distributions in excess of net realized gains..................... (47,600)
Net unrealized appreciation of investments........................ 16,610
- -------------------------------------------------------------------------------
$5,711,560
===============================================================================
Net asset value, purchase and redemption price per outstanding
capital share
(645,955 capital shares outstanding)............................. $ 8.84
================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
Year Ended December 31, 1997
<TABLE>
- ------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest............................................ $1,521,759
Dividend............................................ 5,630
- ------------------------------------------------------------------
Total investment income.............................. 1,527,389
- ------------------------------------------------------------------
EXPENSES:
Investment advisory and management fees............. 106,124
Administrative fees................................. 55,769
Registration fees................................... 21,879
Custodian fees...................................... 18,533
Shareholder services, reports, and notices.......... 15,276
Legal fees.......................................... 10,919
Trustees' fees and expenses......................... 10,815
Audit fees.......................................... 8,845
Amortization of organization cost................... 2,988
Miscellaneous fees.................................. 4,480
- ------------------------------------------------------------------
Total expenses..................................... 255,628
- ------------------------------------------------------------------
Reimbursed expenses by the adviser.................. (40,662)
Expense reductions.................................. (800)
- ------------------------------------------------------------------
Net expenses........................................ 214,166
- ------------------------------------------------------------------
Net investment income............................... 1,313,223
- ------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON:
Investments........................................ 591,179
Written options.................................... 412,526
Futures............................................ (67,687)
- ------------------------------------------------------------------
TOTAL NET REALIZED GAIN.............................. 936,018
- ------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION:
Investments......................................... (214,180)
Written options..................................... 148,413
- ------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION / DEPRECIATION......................... (65,767)
- ------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN..................... 870,251
- ------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS........... $2,183,474
==================================================================
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1997 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income............................... $ 1,313,223 $ 1,517,339
Net realized gain on investments.................... 936,018 388,620
Change in unrealized appreciation/depreciation on
investments........................................ (65,767) (351,052)
- --------------------------------------------------------------------------------
Increase in net assets from operations............. 2,183,474 1,554,907
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.......................... (1,311,868) (1,517,896)
From net realized gains............................. (936,018) (355,905)
In excess of net realized gains..................... (46,569) (1,929)
- --------------------------------------------------------------------------------
Decrease in net assets from distributions.......... (2,294,455) (1,875,730)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 726,794 and 1,071,233 capital
shares for the years ended December 31, 1997 and
1996, respectively................................. 7,587,121 10,955,161
Proceeds from 129,365 and 22,483 capital shares
issued upon reinvestment of distributions for the
years ended December 31, 1997 and 1996,
respectively....................................... 1,166,897 231,188
Cost of 3,026,174 and 665,512 capital shares
redeemed for the years ended December 31, 1997 and
1996, respectively................................. (31,857,016) (6,807,732)
- --------------------------------------------------------------------------------
Increase (decrease) in net assets from fund share
transactions...................................... (23,102,998) 4,378,617
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets............... (23,213,979) 4,057,794
Net assets, beginning of year...................... 28,925,539 24,867,745
- --------------------------------------------------------------------------------
Net assets end of year (including undistributed net
investment income of $1,406 and $0,
respectively)..................................... $ 5,711,560 $28,925,539
================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
16
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31
------------------------------------------
1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
YEAR.............................. $ 10.27 $ 10.41 $ 9.50 $10.26 $10.06
- -------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income............. 0.59 0.58 0.61 0.64 0.67
Net realized and unrealized gains
(losses) on investments.......... 0.41 (0.01) 0.91 (0.75) 0.41
- -------------------------------------------------------------------------------
Total from investment opera-
tions........................... 1.00 0.57 1.52 (0.11) 1.08
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
From net investment income........ 0.59 0.58 0.61 0.64 0.67
From net realized gains........... 1.75 0.12 0.00 0.01 0.21
In excess of net realized gains... 0.09 0.01 0.00 0.00 0.00
- -------------------------------------------------------------------------------
Total distributions.............. 2.43 0.71 0.61 0.65 0.88
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR....... $ 8.84 $ 10.27 $ 10.41 $ 9.50 $10.26
================================================================================
TOTAL RETURN....................... 10.04% 5.69% 16.43% (1.04)% 10.94%
================================================================================
RATIOS / SUPPLEMENTAL DATA
Net assets, end of period ($000)... $ 5,712 $28,926 $24,868 $6,155 $8,066
Ratio of expenses to average net
assets:
Before expense reimbursement...... 1.09% 0.97% 1.03% 1.17% 1.04%
After expense reimbursement....... 0.90% 0.72% 0.69% 0.60% 0.60%
Ratio of net investment income to
average net assets................ 5.60% 5.66% 5.99% 7.16% 6.39%
Portfolio turnover rate............ 39.98% 21.95% 31.82% 44.30% 105.39%
Average commission rate(1)......... $0.0375 $0.0418 $0.0277 -- --
- -------------------------------------------------------------------------------
</TABLE>
(1) For fiscal years beginning on or after September 1, 1995, a portfolio is
required to disclose the average commission rate per share it paid for
portfolio trades on which commissions were charged. 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.
See accompanying Notes to Financial Statements.
17
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1997
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS
- -------------------------------------------------------------------------------
AEROSPACE & DEFENSE--3.56% OF NET ASSETS
Boeing Co. .............................................. 1,558 $ 76,245
Lockheed Martin Corp. ................................... 1,533 151,000
Northrop Grumman Corp. .................................. 230 26,450
Raytheon Co., Class A.................................... 147 7,249
----------
260,944
- -------------------------------------------------------------------------------
AUTO & TRUCK--6.79%
Johnson Controls, Inc. .................................. 3,240 154,710
Chrysler Corp. .......................................... 3,378 118,863
General Motors Corp. .................................... 2,316 140,407
Navistar International Corp.**........................... 3,379 83,841
----------
497,821
- -------------------------------------------------------------------------------
BANKS / SAVINGS & LOANS--15.16%
Banc One Corp. .......................................... 2,775 150,717
Bankers Trust New York Corp. ............................ 967 108,727
Barnett Banks, Inc. ..................................... 1,400 100,625
Chase Manhattan Corp. ................................... 1,643 179,908
Citicorp................................................. 1,127 142,495
First Chicago NBD Corp. ................................. 436 36,406
First Union Corp. (N.C.)................................. 3,000 153,750
NationsBank Corp. ....................................... 3,085 187,607
Washington Mutual, Inc. ................................. 803 51,241
----------
1,111,476
- -------------------------------------------------------------------------------
BEVERAGES, FOOD & TOBACCO--5.72%
Coca-Cola Co. ........................................... 2,387 159,034
Conagra, Inc. ........................................... 594 19,491
Philip Morris Companies, Inc. ........................... 5,312 240,700
----------
419,225
- -------------------------------------------------------------------------------
COMMERCIAL SERVICES--0.59%
Federal Express Corp.**.................................. 300 18,319
Interpublic Group of Companies, Inc. .................... 500 24,906
----------
43,225
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
18
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
December 31, 1997
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
COMPUTERS--5.30%
International Business Machines Corp. ................... 2,283 $ 238,716
Unisys Corp.**........................................... 10,812 150,017
----------
388,733
- -------------------------------------------------------------------------------
COSMETICS--1.24%
Alberto-Culver Co. Class B............................... 350 11,222
Proctor & Gamble Co. .................................... 1,000 79,812
----------
91,034
- -------------------------------------------------------------------------------
ELECTRIC / GAS / WATER UTILITIES--2.22%
People's Energy Corp. ................................... 4,022 158,366
Southern Co. ............................................ 151 3,907
----------
162,273
- -------------------------------------------------------------------------------
ELECTRONICS--2.04%
General Electric Co. .................................... 236 17,317
Intel Corp. ............................................. 549 38,567
Tektronix, Inc. ......................................... 2,354 93,424
----------
149,308
- -------------------------------------------------------------------------------
ENTERTAINMENT & LEISURE--1.19%
The Walt Disney Co. ..................................... 883 87,472
- -------------------------------------------------------------------------------
FINANCIAL SERVICES & BROKERS--0.68%
Green Tree Financial Corp. .............................. 1,906 49,913
- -------------------------------------------------------------------------------
FOOD PROCESSING & WHOLESALE--2.88%
Fleming Companies, Inc. ................................. 4,973 66,825
Great Atlantic & Pacific Tea Company, Inc. .............. 836 24,819
Pepsico, Inc. ........................................... 1,493 54,401
SuperValu, Inc. ......................................... 1,551 64,948
----------
210,993
- -------------------------------------------------------------------------------
HEALTH CARE--1.41%
Guidant Corp. ........................................... 548 34,113
Humana, Inc.**........................................... 3,332 69,139
----------
103,252
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
19
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
December 31, 1997
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
INSURANCE--2.73%
Loews Corp. ............................................. 1,452 $ 154,094
Travelers Group, Inc. ................................... 849 45,740
----------
199,834
- -------------------------------------------------------------------------------
MACHINERY--3.83%
Caterpillar, Inc. ....................................... 1,448 70,319
NACCO Industries, Inc., Class A.......................... 1,965 210,623
----------
280,942
- -------------------------------------------------------------------------------
METALS & MINING--2.12%
Armco, Inc. ............................................. 27,538 135,969
Freeport-McMoRan Copper & Gold, Inc., Class B............ 1,230 19,373
----------
155,342
- -------------------------------------------------------------------------------
MISCELLANEOUS MANUFACTURING--5.02%
Eastman Kodak Co. ....................................... 1,100 66,894
Eaton Corp. ............................................. 1,393 124,325
Tyco International Ltd. ................................. 3,914 176,375
----------
367,594
- -------------------------------------------------------------------------------
OFFICE EQUIPMENT--3.02%
Harris Corp. ............................................ 3,265 149,782
Pitney Bowes, Inc. ...................................... 794 71,410
----------
221,192
- -------------------------------------------------------------------------------
OIL / GAS DOMESTIC--1.36%
Atlantic Richfield Co. .................................. 1,113 89,179
Union Pacific Resources Group, Inc. ..................... 444 10,767
----------
99,946
- -------------------------------------------------------------------------------
OIL / GAS INTERNATIONAL--7.59%
Amoco Corp. ............................................. 1,161 98,830
Ashland, Inc. ........................................... 3,161 169,706
Chevron Corp. ........................................... 274 21,098
</TABLE>
See accompanying Notes to Financial Statements.
20
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
December 31, 1997
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
OIL / GAS INTERNATIONAL--(CONTINUED)
Royal Dutch Petroleum Co. (NY Shares).................... 259 $ 14,035
Sun Co., Inc ............................................ 2,399 100,908
Texaco, Inc. ............................................ 2,791 151,761
----------
556,338
- -------------------------------------------------------------------------------
PAPER & PACKAGING--1.44%
Stone Container Corp.**.................................. 10,132 105,753
- -------------------------------------------------------------------------------
PHARMACEUTICALS & BIOTECHNOLOGY--9.66%
Abbott Laboratories...................................... 2,267 148,630
American Home Products Corp. ............................ 224 17,136
Bristol Myers Squibb Co. ................................ 718 67,941
Johnson & Johnson........................................ 1,410 92,884
Merck & Co. ............................................. 1,833 194,756
Warner-Lambert Co. ...................................... 1,506 186,744
----------
708,091
- -------------------------------------------------------------------------------
RESTAURANTS & LODGING--2.13%
Darden Restaurants, Inc ................................. 12,491 156,138
- -------------------------------------------------------------------------------
RETAIL--2.13%
Sears Roebuck & Co. ..................................... 3,456 156,384
- -------------------------------------------------------------------------------
TELECOMMUNICATION UTILITIES--7.82%
G T E Corp. ............................................. 2,837 148,233
SBC Communications, Inc. ................................ 2,923 214,110
U.S. WEST Communications, Inc. .......................... 3,272 147,649
WorldCom, Inc.**......................................... 2,100 63,525
----------
573,517
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS & EQUIPMENT--0.30%
Northern Telecom, Ltd. .................................. 244 21,716
- -------------------------------------------------------------------------------
TRANSPORTATION--0.05%
Ryder System, Inc. ...................................... 121 3,963
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $6,692,347)..................... 7,182,419
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS--97.98%
(Cost $6,692,347)........................................ $7,182,419
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
21
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
December 31, 1997
<TABLE>
<CAPTION>
OUTSTANDING OPTIONS
-----------------------------------------
MARKET VALUE
------------
SHARES EXPIRATION EXERCISE WRITTEN
OPTIONED DATE PRICE OPTIONS
-------- ---------- -------- ------------
<S> <C> <C> <C> <C>
WRITTEN OPTIONS--(0.35%)
S&P 500 Index (Premiums Received
$20,234)............................ 500 Jan'98 $410.00 26,000
----------
CASH EQUIVALENTS--2.38%
Vista Cash Managed Money Market Fund
5.21% (Cost $174,782).............. 174,782
EXCESS LIABILITIES OVER OTHER ASSETS
(NET)--(0.01%)...................... (359)
----------
NET ASSETS--(100%)................... $7,330,842
==========
</TABLE>
**Non-income producing security
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
1. Philip Morris Companies,
Inc......................... 3.3%
2. International Business
Machines Corp. ............ 3.3
3. SBC Communications,
Inc. ....................... 2.9
4. NACCO Industries, Inc.,
Class A..................... 2.9
5. Merck & Co. ............. 2.7
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
6. NationsBank Corp. ...... 2.6%
7. Warner-Lamber Co. ...... 2.5
8. Chase Manhattan Corp. .. 2.5
9. Tyco International
Ltd. ...................... 2.4
10. Ashland, Inc. .......... 2.3
</TABLE>
- --------------------------------------------------------------------------------
*Excludes cash equivalents
See accompanying Notes to Financial Statements.
22
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1997
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments at market value (identified cost $6,692,347).......... $7,182,419
Cash equivalent................................................... 174,782
Cash held by brokers.............................................. 30,095
Dividends receivable.............................................. 12,677
Receivable for shares sold........................................ 12,500
Receivable from investment advisor................................ 1,875
- -------------------------------------------------------------------------------
Total assets..................................................... 7,414,348
- -------------------------------------------------------------------------------
LIABILITIES:
Written options outstanding at market value (premiums received
$20,234)......................................................... 26,000
Distributions payable............................................. 24,410
Payable for administrative fees................................... 5,063
Payable for variation margin on futures........................... 150
Other Liabilities................................................. 27,883
- -------------------------------------------------------------------------------
Total liabilities................................................ 83,506
- -------------------------------------------------------------------------------
NET ASSETS......................................................... $7,330,842
===============================================================================
REPRESENTED BY:
Paid in capital................................................... $6,845,580
Distributions in excess of net investment income.................. (656)
Distributions in excess of net realized gain...................... (12,314)
Net unrealized appreciation on investments........................ 498,232
- -------------------------------------------------------------------------------
$7,330,842
===============================================================================
Net asset value, purchase and redemption price per outstanding
capital share
(534,370 capital shares outstanding)............................. $ 13.72
===============================================================================
</TABLE>
See accompanying Notes to Financial Statements.
23
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
Year Ended December 31, 1997
<TABLE>
- ------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Dividend............................................ $ 92,284
Interest............................................ 17,285
- ------------------------------------------------------------------
Total investment income............................ 109,569
- ------------------------------------------------------------------
EXPENSES:
Investment advisory and management fees............. 30,331
Administrative fees................................. 24,891
Registration fees................................... 16,410
Shareholders services, reports, and notices......... 16,263
Audit fees.......................................... 6,733
Custodian fees...................................... 4,491
Amortization of organization cost................... 4,185
Legal fees.......................................... 3,539
Trustees' fees and expenses......................... 1,053
Miscellaneous fees.................................. 3,028
- ------------------------------------------------------------------
Total expenses..................................... 110,924
- ------------------------------------------------------------------
Reimbursed expenses by the adviser.................. (60,408)
- ------------------------------------------------------------------
Net expenses........................................ 50,516
- ------------------------------------------------------------------
Net investment income............................... 59,053
- ------------------------------------------------------------------
NET REALIZED GAIN ON:
Investments........................................ 719,023
Written options.................................... 43,964
Futures............................................ 80,114
- ------------------------------------------------------------------
Total net realized gain............................. 843,101
- ------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION:
Investments........................................ 259,609
Written options.................................... (5,766)
Futures............................................ 13,926
- ------------------------------------------------------------------
TOTAL NET CHANGE IN UNREALIZED
APPRECIATION / DEPRECIATION......................... 267,769
- ------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS.................... 1,110,870
- ------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS........... $1,169,923
==================================================================
</TABLE>
See accompanying Notes to Financial Statements.
24
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1997 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income............................... $ 59,053 $ 44,694
Net realized gain on investments.................... 843,101 784,299
Change in unrealized appreciation/depreciation on
investments........................................ 267,769 (197,964)
- --------------------------------------------------------------------------------
Increase in net assets from operations............. 1,169,923 631,029
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.......................... (59,053) (44,694)
In excess of net investment income.................. (4,391) --
From net realized gains............................. (843,101) (784,299)
In excess of net realized gains..................... (10,895) (1,613)
- --------------------------------------------------------------------------------
Decrease in net assets from distributions.......... (917,440) (830,606)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 410,633 and 72,792 capital
shares for the years ended December 31, 1997 and
1996, respectively................................. 5,881,889 1,003,474
Proceeds from 64,869 and 68,061 capital shares is-
sued upon reinvestment of distributions for the
years ended December 31, 1997 and 1996, respective-
ly................................................. 892,423 826,051
Cost of 232,295 and 28,811 capital shares redeemed
for the years ended December 31, 1997 and 1996,
respectively....................................... (3,214,594) (428,908)
- --------------------------------------------------------------------------------
Increase in net assets from fund share transac-
tions............................................. 3,559,718 1,400,617
- --------------------------------------------------------------------------------
Net increase in net assets.......................... 3,812,201 1,201,040
Net assets, beginning of year...................... 3,518,641 2,317,601
- --------------------------------------------------------------------------------
Net assets end of year (including distributions in
excess of net investment income of $656 and $0,
respectively)..................................... $ 7,330,842 $ 3,518,641
================================================================================
</TABLE>
See accompanying Notes to Financial Statements.
25
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31
------------------------------------------
1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
YEAR.............................. $ 12.09 $ 12.94 $ 9.83 $10.15 $10.02
- -------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income............. 0.15 0.21 0.23 0.28 0.40
Net realized and unrealized gains
(losses) on investments and op-
tions............................ 3.45 2.74 3.22 (0.32) 0.62
- -------------------------------------------------------------------------------
Total from investment opera-
tions........................... 3.60 2.95 3.45 (0.04) 1.02
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
From net investment income........ 0.15 0.21 0.23 0.28 0.40
In excess of net investment in-
come............................. 0.01 -- -- -- --
From net realized gains........... 1.79 3.58 0.11 -- 0.37
In excess of net realized gains... 0.02 0.01 -- -- --
Return of capital................. -- -- -- -- 0.12
- -------------------------------------------------------------------------------
Total distributions.............. 1.97 3.80 0.34 0.28 0.89
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR....... $ 13.72 $ 12.09 $ 12.94 $ 9.83 $10.15
===============================================================================
TOTAL RETURN....................... 29.86% 22.95% 35.36% (0.37)% 10.07%
===============================================================================
RATIOS / SUPPLEMENTAL DATA
Net assets, end of period ($000)... $ 7,331 $ 3,519 $ 2,318 $1,511 $ 903
Ratio of expenses to average net
assets
Before expense reimbursement...... 2.24% 1.51% 1.33% 1.35% 1.35%
After expense reimbursement....... 1.00% 0.91% 0.50% 0.24% 0.57%
Ratio of net investment income to
average net assets................ 1.17% 1.53% 2.02% 3.24% 2.16%
Portfolio turnover rate............ 189.39% 179.47% 10.15% 24.75% 76.34%
Average commission rate(1)......... $0.0288 $0.0658 $0.0431 -- --
- -------------------------------------------------------------------------------
</TABLE>
(1) For fiscal years beginning on or after September 1, 1995, a portfolio is
required to disclose the average commission rate per share it paid for
portfolio trades on which commissions were charged. 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.
See accompanying Notes to Financial Statements.
26
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Analytic Series Fund (the "Fund") was organized on November 18, 1992,
under the laws of the state of Delaware, and is registered under the
Investment Company Act of 1940, as amended, as a no load, open-end investment
company or "mutual fund" consisting of three separate diversified 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 as stated in the prospectus
is 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 normally 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 on common stock or stock indices.
ESTIMATES--The preparation of the financial statements in conformity with
generally accepted accounting principles 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.
Fixed income securities that have remaining maturities of sixty days or less
at the time of purchase are valued at amortized cost, if it approximates
market value. Investments 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
an investment'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.
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
27
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
order to buy or sell is executed). Realized gains or losses from investment
transactions are reported on an identified cost basis for financial
statements.
EXPENSE REDUCTIONS--The Master Fixed Income Portfolio has directed certain
portfolio trades to brokers who paid a portion of the Portfolio's expenses.
This amount is shown as an expense reduction on the statement of operations.
WRITTEN 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.
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
or excise taxes has been made.
At December 31, 1997 the Short-Term Government Portfolio has unused capital
loss carryforwards of $797,773. These realized losses are intended to be used
to offset future net capital gains, to the extent provided by regulations
through the following expiration dates:
<TABLE>
<CAPTION>
DECEMBER 31,
----------------------------------------
1999 2001 2003 2004 2005
------- ------- -------- -------- ------
<S> <C> <C> <C> <C>
$34,059 $57,661 $257,536 $444,657 $3,860
</TABLE>
The cost and net unrealized appreciation/(depreciation) of investments held at
December 31, 1997 as computed for U.S. Federal income tax purposes was:
<TABLE>
<CAPTION>
AGGREGATE GROSS AGGREGATE GROSS NET
UNREALIZED UNREALIZED UNREALIZED
COST GAIN LOSS GAIN/(LOSS)
---------- --------------- --------------- -----------
<S> <C> <C> <C> <C>
Short-Term Government
Portfolio.............. $2,851,608 $ 3,922 $ (9,297) $ (5,375)
Master Fixed Income
Portfolio.............. 4,339,365 38,343 (22,914) 15,429
Enhanced Equity Portfo-
lio.................... 6,695,079 681,740 (194,400) 487,340
</TABLE>
28
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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.
ORGANIZATION EXPENSES--Organization expenses were amortized over a period from
November 30, 1992 through November 30, 1997.
CASH AND CASH EQUIVALENTS--Cash and cash equivalents at December 31, 1997,
consist of cash on deposit and money market funds valued at cost, which
approximates market value. Cash held by brokers consists of cash held in
margin accounts to cover futures activity. The Master Fixed Income Portfolio
cash equivalents balance includes $865,650 to secure the written put options.
2. ADVISORY SERVICES
The Adviser is a wholly-owned subsidiary of United Asset Management
Corporation. 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's, 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 voluntarily agreed to reimburse expenses that exceeded the
following percentages of average daily net assets for the respective periods:
<TABLE>
<CAPTION>
DECEMBER 31,
----------------------------
1997 1996 1995 1994 1993
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Short-Term Government Portfolio................ .60% .60% .50% .45% .45%
Master Fixed Income Portfolio.................. .90% .80% .70% .60% .60%
Enhanced Equity Portfolio...................... 1.00% 1.00% .80% .70% .70%
</TABLE>
At December 31, 1997, five officers and one trustee of the Fund also became
officers and director of the Adviser.
29
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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 Administration 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., The Analytic Series Fund and the
Analytic Optioned Equity Fund 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 0.04% of average daily net assets of the Portfolio. Also effective May
15, 1997, the Administrator has entered into a Mutual Funds Services 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 December 31, 1997, UAM Fund Services, Inc. earned the
following amounts from the Portfolio's as Administrator and paid the following
portion to CGFSC for their services.
<TABLE>
<CAPTION>
PORTION PAID
ADMINISTRATION FEES TO CGFSC
------------------- ------------
<S> <C> <C>
Short-Term Government Portfolio............. $20,330 $20,058
Master Fixed Income Portfolio............... 33,461 28,464
Enhanced Equity Portfolio................... 22,140 20,551
</TABLE>
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 Fund as Administrator:
<TABLE>
<S> <C>
Short-Term Government Portfolio..................................... $ 794
Master Fixed Income Portfolio....................................... 22,308
Enhanced Equity Portfolio........................................... 2,751
</TABLE>
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the year ended December 31, 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..................... $ 2,649,891 $ 301,375
Master Fixed Income Portfolio....................... 6,503,901 25,141,708
Enhanced Equity Portfolio........................... 11,836,266 9,074,650
</TABLE>
30
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
5. FUTURES AND WRITTEN OPTIONS CONTRACTS
The Fund trades financial instruments with off-balance-sheet risk in the
normal course of its investing activities in order to manage exposure to
market risks such as interest rates. These financial instruments include
written options and futures contracts. The notional or contractual amounts of
these instruments represent the investment the Fund has in particular classes
of financial instruments and does not necessarily represent the amounts
potentially subject to risk. The measurement of the risks associated with
these instruments is meaningful only when all related and offsetting
transactions are considered.
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....................................... 3,632 1,014,583
Options terminated in closing purchase transactions... (2,747) (832,943)
Options exercised..................................... (417) (170,544)
Options expired....................................... (1,041) (298,471)
------ ----------
Outstanding at end of year............................ 176 $ 70,262
====== ==========
</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......................................... 160 72,362
Options terminated in closing purchase transactions..... (58) (18,922)
Options expired......................................... (5) --
Options exercised....................................... (92) (33,206)
--- --------
Outstanding at end of year.............................. 5 $ 20,234
=== ========
</TABLE>
At December 31, 1997, the following Portfolio had future contracts open;
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE EXPIRATION UNREALIZED
PORTFOLIO CONTRACTS FACE VALUE DATE APPRECIATION
--------- --------- ---------- ---------- ------------
<S> <C> <C> <C> <C>
Purchases:
ENHANCED EQUITY PORTFOLIO
S&P 500....................... 3 $734,325 March 1998 $13,926
=======
</TABLE>
6. OTHER
At December 31, 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 Portfolio....................... 2 81%
Master Fixed Income Portfolio......................... 2 41
Enhanced Equity Portfolio............................. 2 50
</TABLE>
31
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Board of Trustees and Shareholders of The Analytic Series Fund:
We have audited the accompanying statements of assets and liabilities,
including the schedules 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, 1997 and the related statements 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 five years in the period then ended. 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, 1997 by correspondence with
custodians and brokers; where replies were not received from brokers, we
performed other auditing procedures. 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, 1997, and the results of their operations, the changes in their
net assets and the financial highlights for the respective stated periods in
conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 6, 1998
32
<PAGE>
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. Calvello
SENIOR VICE PRESIDENT Marie Nastasi Arlt
INVESTMENT ADVISER
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.
Chase Global Funds Services Company P.O. Box 2798 Boston, MA 02208
CUSTODIAN
The Chase Manhattan Bank
1211 Avenue of the Americas
New York, NY 10036
COUNSEL
Paul, Hastings, Janofsky & Walker LLP
555 South Flower Street Los Angeles, CA 90071
INDEPENDENT ACCOUNTANTS
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
THE ANALYTIC SERIES FUND
The Analytic Funds
c/o Chase Global Funds Services Company
P.O. Box 2798
Boston, MA 02208
Phone: (800) 374-2633
This report has been prepared for shareholders and may be distributed to others
only if preceded or accompanied by a current prospectus.
ANALYTICFUNDS
THE ANALYTIC
SERIES FUND
Enhanced Equity
Master Fixed Income
Short-Term Government
ANNUAL REPORT
December 31, 1997
Member of
================
100% NO-LOAD/TM/
MUTUAL FUND
COUNCIL
================
