<PAGE>
Officers and Trustees
Chairman of the
Board of Trustees Michael F. Koehn
Trustee Michael D. Butler
Trustee Robertson Whittemore
President Harindra de Silva
Treasurer Gregory M. McMurran
Senior Vice President Marie Nastasi Arlt
and Secretary
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.
c/o Chase Global Funds Services Company
P.O. Box 2798
Boston, MA 02208
Custodian
The Chase Manhattan Bank
3 Chase MetroTech Center
Brooklyn, NY 11245
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
Short-Term Government
Master Fixed Income
Enhanced Equity
Semi-Annual Report
June 30, 1998
[LOGO OF NO-LOAD(TM) MUTUAL FUND COUNCIL APPEARS HERE]
<PAGE>
ANALYTIC SERIES FUND
- --------------------
[LOGO OF NO-LOAD(TM) MUTUAL
FUND COUNCIL APPEARS HERE]
July 14, 1998
Dear Fellow Shareholders,
U.S. stock markets continued to climb during the second quarter of 1998.
Large capitalization ("Blue Chip") indices, such as the S&P 500 Index,
continued their strong showing in the U.S. equity markets, returning 3.30% for
the quarter and 17.71% for the year-to-date period ending June 30, 1998. The
performance of small capitalization stocks continued to lag with the S&P Small
Cap 600 Index down -4.47% for the quarter, bringing the return for the year-
to-date period ending June 30, 1998 down to 6.11%. All of the above returns
are with dividends reinvested.
U.S. fixed income markets also rose during the second quarter of 1998, with
all parts of the yield curve benefiting. Shorter-term (1-3 years) Treasury
issues were up 1.53% for the quarter and 3.02% year-to-date while
intermediate-term (5-10 years) Treasury issues increased 2.44% for the quarter
and 4.14% year-to-date. Longer-term issues gained the most, with 15+ year
Treasury bonds up 4.81% for the quarter and 6.38% year-to-date.
ENHANCED EQUITY PORTFOLIO
As of June 30, 1998, your Portfolio's net asset value increased 6.57% for
the quarter, bringing the year-to-date return to 24.35%, while the S&P 500
Index increased 3.30% and 17.71% for the same periods, both with dividends
reinvested. At quarter end, your Portfolio's share price was $17.01 after
paying its 20th consecutive quarterly dividend from net investment income of
$0.03 per share.
The Portfolio's superior performance is evident in its Morningstar large
value category performance and risk-adjusted performance (Sharpe Ratio)
rankings for the period ending June 30, 1998.
Year-to-Date Performance Ranking: Top 1% within a universe of 463 mutual funds
1 Year Performance Ranking: Top 1% within a universe of 431 mutual funds
3 Year Performance Ranking: Top 3% within a universe of 307 mutual funds
5 Year Performance Ranking: Top 2% within a universe of 189 mutual funds
Risk-Adjusted Performance: Top 6% within a universe of 1,796 domestic
equity funds
MASTER FIXED INCOME PORTFOLIO
As of June 30, 1998, your portfolio was up 1.45% for the quarter and 3.86%
year-to-date. The Lehman Bothers Government/Corporate Bond Index (LBGC) was up
2.61% for the quarter and 4.17% year-to-date. At quarter end, the Portfolio's
share price was $8.94 after paying its 20th consecutive quarterly dividend
from net investment income. The total quarterly dividend paid through June 30
was $0.041 per share. The SEC 30-day yield was 5.34%.
Morningstar ranks the Master Fixed Income portfolio among the top 5% of the
over 260 funds in the intermediate-term bond category on both a five year
absolute performance basis and on a risk adjusted performance basis (Sharpe
ratio).
SHORT-TERM GOVERNMENT PORTFOLIO
As of June 30, 1998, your Portfolio's total return was 1.54% for the quarter
and 2.93% year-to-date. The Merrill Lynch 1 to 3 Year Treasury Index increased
1.53% and 3.02%, respectively, for the same periods. At
1
<PAGE>
quarter end, the Portfolio's share price was $9.81 after paying its 20th
consecutive quarterly dividend from net investment income. The total quarterly
dividend paid through June 30 was $0.049 per share. The SEC 30-day yield was
4.67%.
Morningstar ranks the Short-Term Government Portfolio among the top 20% of
the over 100 funds in the short government category on a five year absolute
performance basis.
As we conclude our final full quarter under the banner of Analytic Family of
Funds, we would like to take this opportunity to thank our many loyal
shareholders who have put their trust in us over the past 5 years and whose
votes supported our new affiliation with PBHG Advisor Funds. We are excited,
as we hope you are, with the prospects of a dedicated sales team providing our
funds the distribution they need to grow, and ultimately achieve expenses
synergies for our shareholders. Of course, your existing investment team
remains fully committed to the ongoing management of the funds. Should you
have any questions regarding your Portfolios or their transition into the PBHG
Advisor Series, 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
2
<PAGE>
ANALYTIC SERIES FUND
TOTAL RETURN(1)
FROM INCEPTION 7/1/93--06/30/98, PERCENT
<TABLE>
<CAPTION>
1 QUARTER 1 YEAR 3 YEAR INCEPTION
--------- ------ ------ ---------
<S> <C> <C> <C> <C>
Short-Term Government Portfolio............... 1.54 6.29 5.93 5.26
Master Fixed Income Portfolio................. 1.45 10.76 8.56 7.60
Enhanced Equity Portfolio..................... 6.57 38.43 30.84 22.75
</TABLE>
(1) Periods greater than six months are annualized. 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. Without the Adviser's
temporary fee waiver or expenses assumed by the Adviser, total returns for
the portfolio would have been lower. The S&P 500 Index is an unmanaged
index composed of 400 industrial, 40 financial, 40 utilities and 20
transportation stocks. The Lehman Brothers Government/Corporate Index is
an unmanaged index composed of the combination of the Government and
Corporate Bond Indices. The Government Index includes public organizations
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. 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.
3
<PAGE>
Analytic Series Fund
Total Return
Growth of $10,000 Investment
7/1/93 - 6/30/98
Enhanced Equity Portfolio
[LINE GRAPH APPEARS HERE]
Date 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 10.12016 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 17.98004 10.98339
Mar-97 17.58465 18.45043 11.08034
Jun-97 20.21168 21.67797 11.10111
Sep-97 22.63102 23.30852 11.16344
Dec-97 22.50202 23.97861 11.17037
Mar-98 26.25986 27.32443 11.23269
Jun-98 27.98513 28.22669 11.29508
Past performance is not predictive of future performance.
Master Fixed Income Portfolio
[LINE GRAPH APPEARS HERE]
Master Fixed Lehman Bros.
Date Income Portfolio 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 12.19696
Mar-97 12.55836 12.09162
Jun-97 13.02045 12.53084
Sep-97 13.59074 12.97013
Dec-97 13.88566 13.38659
Mar-98 14.21614 13.59019
Jun-98 14.42086 13.94508
Past performance is not predictive of future performance.
4
<PAGE>
Analytic Series Fund
Total Return
Growth of $10,000 Investment
7/1/93 - 6/30/98
Short Term Government Portfolio
[LINE GRAPH APPEARS HERE]
Short-Term Merrill Lynch
Date Government Portfolio 1-3 year Treasury Index
- ---- -------------------- -----------------------
10 10
Sep-93 10.14322 10.1435
Dec-93 10.19954 10.2034
Mar-94 10.10081 10.15247
Jun-94 10.08955 10.16081
Sep-94 10.20413 10.26099
Dec-94 10.19921 10.26141
Mar-95 10.54177 10.606
Jun-95 10.85596 10.94601
Sep-95 11.01651 11.11045
Dec-95 11.27403 11.39008
Mar-96 11.28659 11.42811
Jun-96 11.38627 11.54342
Sep-96 11.5605 11.73412
Dec-96 11.86934 11.95717
Mar-97 11.92549 12.03627
Jun-97 12.12477 12.30158
Sep-97 12.36969 12.54271
Dec-97 12.5206 12.75315
Mar-98 12.69213 12.94044
Jun-98 12.88759 13.13823
Past performance is not predictive of future performance.
The S&P 500 Index is an unmanaged index composed of 400 industrial, 40
financial, 40 utilities and 20 transportation stocks.
Please note that one cannot invest 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.
5
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MATURITY MARKET
AMOUNT COUPON DATE VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--14.48% OF NET ASSETS
$200,000 Nippon Telegraph & Telephone Corp...... 6.00% 6/30/00 $ 200,217
275,000 Shell Canada Ltd....................... 8.88% 1/14/01 293,510
----------
TOTAL CORPORATE OBLIGATIONS
(Cost $496,634)........................ 493,727
- -------------------------------------------------------------------------------
U.S. AGENCY OBLIGATIONS--47.99%
100,000 Federal Home Loan Bank................. 5.01% 11/23/98 99,747
250,000 Federal Home Loan Mortgage Corp. ...... 7.05% 11/7/06 258,897
300,000 Federal National Mortgage Association.. 6.65% 3/8/06 305,504
300,000 Federal National Mortgage Association.. 7.32% 5/3/06 310,803
300,000 Federal National Mortgage Association.. 6.87% 7/17/07 306,089
350,000 Federal National Mortgage Association.. 6.83% 10/10/07 354,750
----------
TOTAL U.S. AGENCY OBLIGATIONS
(Cost $1,634,373)...................... 1,635,790
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--32.52%
250,000 Treasury Note.......................... 6.00% 8/15/00 252,344
300,000 Treasury Note.......................... 5.63% 11/30/00 300,656
275,000 Treasury Note.......................... 5.50% 12/31/00 274,828
275,000 Treasury Note.......................... 6.38% 3/31/01 280,758
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,106,957)...................... 1,108,586
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS--94.99%
(Cost $3,237,964)................................ 3,238,103
- -------------------------------------------------------------------------------
CASH EQUIVALENTS--3.73%
127,217 Chase Vista Cash Money Market Fund
5.08%
(Cost $127,217)........................ 127,217
EXCESS OTHER ASSETS OVER LIABILITIES (NET)--
1.28%............................................. 43,746
- -------------------------------------------------------------------------------
NET ASSETS--100%.................................. $3,409,066
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
6
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments at market value (identified cost $3,237,964).......... $3,238,103
Cash equivalents.................................................. 127,217
Interest receivable............................................... 62,686
Cash held by brokers.............................................. 9,727
Receivable from investment adviser................................ 8,890
- -------------------------------------------------------------------------------
Total assets..................................................... 3,446,623
- -------------------------------------------------------------------------------
LIABILITIES:
Overdraft payable................................................. 14,980
Payable for administrative fees................................... 6,000
Payable for investment advisory fees.............................. 829
Trustees fees payable............................................. 217
Payable for daily variation on futures contracts.................. 156
Other............................................................. 15,375
- -------------------------------------------------------------------------------
Total liabilities................................................ 37,557
- -------------------------------------------------------------------------------
NET ASSETS......................................................... $3,409,066
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
REPRESENTED BY:
Paid in capital................................................... $4,212,269
Undistributed net investment income............................... 373
Distributions in excess of net realized gains..................... (804,384)
Net unrealized appreciation of investments and futures............ 808
- -------------------------------------------------------------------------------
$3,409,066
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Net asset value, purchase and redemption price per outstanding
capital share (347,475 capital shares outstanding)............... $ 9.81
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
7
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF OPERATIONS
Six Months Ended June 30, 1998 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $104,411
- --------------------------------------------------------------------------------
Total investment income............................................. 104,411
- --------------------------------------------------------------------------------
EXPENSES:
Administrative fees.................................................. 27,657
Registration fees.................................................... 9,567
Shareholder reports fees............................................. 8,528
Legal fees........................................................... 5,072
Investment advisory fees............................................. 4,919
Audit fees........................................................... 3,535
Custodian fees....................................................... 2,656
Trustees' fees and expenses.......................................... 471
Miscellaneous fees................................................... 1,162
- --------------------------------------------------------------------------------
Total expenses...................................................... 63,567
- --------------------------------------------------------------------------------
Waiver of investment advisory fees................................... (4,919)
Reimbursed expenses by the adviser................................... (48,908)
- --------------------------------------------------------------------------------
Total waivers and reimbursements.................................... (53,827)
- --------------------------------------------------------------------------------
Net expenses......................................................... 9,740
- --------------------------------------------------------------------------------
Net investment income................................................ 94,671
- --------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON:
Investments.......................................................... 853
Futures.............................................................. (7,464)
- --------------------------------------------------------------------------------
Total Net Realized Loss.............................................. (6,611)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION:
Investments.......................................................... 5,514
Futures.............................................................. 669
- --------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION.................. 6,183
- --------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS...................................... (428)
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS............................ $ 94,243
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
8
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997
- --------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income............................... $ 94,671 $ 51,472
Net realized loss on investments.................... (6,611) (3,860)
Change in unrealized appreciation/depreciation on
investments........................................ 6,183 2,655
- --------------------------------------------------------------------------------
Increase in net assets from operations............. 94,243 50,267
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.......................... (94,671) (51,472)
In excess of net investment income.................. -- (184)
- --------------------------------------------------------------------------------
Decrease in net assets from distributions.......... (94,671) (51,656)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 76,821 and 385,159 capital
shares for six months ended June 30, 1998 and year
ended December 31, 1997, respectively.............. 756,322 3,777,511
Proceeds from 9,505 and 5,298 capital shares issued
upon reinvestment of distributions for the six
months ended June 30, 1998 and year ended December
31, 1997, respectively............................. 93,337 50,743
Cost of 42,488 and 189,278 capital shares redeemed
for the six months ended June 30, 1998 and year
ended December 31, 1997, respectively.............. (417,709) (1,856,900)
- --------------------------------------------------------------------------------
Increase in net assets from fund share
transactions...................................... 431,950 1,971,354
- --------------------------------------------------------------------------------
Net increase in net assets.......................... 431,522 1,969,965
Net assets, beginning of period.................... 2,977,544 1,007,579
- --------------------------------------------------------------------------------
Net assets, end of period (including undistributed
net investment income of $373 and $373
respectively)..................................... $3,409,066 $ 2,977,544
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
9
<PAGE>
THE ANALYTIC SERIES FUND
SHORT-TERM GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31
1998 -----------------------------------------
(UNAUDITED) 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD..... $ 9.81 $ 9.83 $ 9.98 $ 9.55 $ 10.03 $ 10.03
- -------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income.. 0.28 0.55 0.62 0.56 0.48 0.53
Net realized and
unrealized gains
(losses) on
investments and
options............... 0.00 (0.02) (0.10) 0.43 (0.48) --
- -------------------------------------------------------------------------------
Total from investment
operations............ 0.28 0.53 0.52 0.99 0.00 0.53
- -------------------------------------------------------------------------------
LESS DISTRIBUTION:
From net investment
income(1).............. 0.28 0.55 0.66 0.56 0.48 0.53
Return of capital...... -- -- 0.01 -- -- --
- -------------------------------------------------------------------------------
Total distributions... 0.28 0.55 0.67 0.56 0.48 0.53
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD.................. $ 9.81 $ 9.81 $ 9.83 $ 9.98 $ 9.55 $ 10.03
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
TOTAL RETURN............ 2.93% 5.54% 5.28% 10.65% 0.00% 5.37%
- -------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL
DATA
Net assets, end of
period ($000)........... $3,409 $2,978 $1,008 $27,880 $24,481 $26,097
Ratio of expenses to
average net assets:
Before expense
reimbursement and
waivers............... 3.91%* 7.78% 0.76% 0.82% 0.85% 0.75%
After expense
reimbursement and
waivers................ 0.60%* 0.60% 0.56% 0.50% 0.45% 0.45%
Ratio of net investment
income to average net
assets................. 5.83%* 5.57% 5.99% 5.76% 5.37% 4.91%
Portfolio turnover
rate.................... 28.33% 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.
*Annualized
See accompanying Notes to Financial Statements.
10
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MATURITY MARKET
AMOUNT COUPON DATE VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--25.33% OF NET ASSETS
$575,000 Treasury Bond.......................... 7.25% 5/15/16 $ 673,828
100,000 Treasury Note.......................... 8.00% 5/15/01 106,469
400,000 Treasury Note.......................... 7.50% 2/15/05 442,875
100,000 Treasury Note.......................... 6.50% 5/15/05 105,563
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,313,094)...................... 1,328,735
- -------------------------------------------------------------------------------
U.S. AGENCY OBLIGATIONS--6.62%
Federal National Mortgage Association
350,000 (Cost $346,904)........................ 6.20% 11/12/03 347,327
- -------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--42.96%
200,000 American Home Products................. 7.90% 2/15/05 219,647
175,000 Bankers Trust New York................. 7.50% 1/15/02 182,512
250,000 First Chicago NBD Corp................. 6.13% 2/15/06 247,919
500,000 GMAC, Series E......................... 5.63% 2/25/00 497,195
300,000 Gillette Co............................ 5.75% 10/15/05 295,462
375,000 Hitachi Credit Corp.................... 5.88% 12/28/00 371,738
200,000 KFW International Finance.............. 7.63% 2/15/04 216,947
200,000 Sears, Roebuck & Co.................... 8.30% 10/26/04 222,314
----------
TOTAL CORPORATE OBLIGATIONS
(Cost $2,230,735)...................... 2,253,734
- -------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES--74.91%
(Cost $3,890,733) ..................... $3,929,796
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
<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 STOCKS
- -------------------------------------------------------------------------------
AUTO RELATED--(0.08%)
OEA, Inc....................... 3,500 Oct '98 $15.00* $ $4,156
- -------------------------------------------------------------------------------
BANKS / SAVINGS & LOANS--(0.05%)
Banc One Corp.................. 900 July '98 55.00* 900
Crestar Financial Corp......... 900 Oct '98 55.00* 1,575
IMC Mortgage Co................ 3,100 July '98 15.00 388
SouthTrust Corp................ 1,200 July '98 40.00* 225
------ ------
388 2,700
- -------------------------------------------------------------------------------
COMPUTER SERVICES / SOFTWARE--(0.01%)
Cadence Design Systems, Inc.... 1,600 Aug '98 32.50* 5,500
Ceridian Corp. ................ 900 July '98 55.00* 562
Xylan Corp. ................... 1,600 Sep '98 30.00 5,800
------ ------
5,800 6,062
- -------------------------------------------------------------------------------
ELECTRONICS--(0.15%)
Linear Technology Corp......... 700 July '98 60.00* 4,113
SCI Systems, Inc............... 1,600 Oct '98 35.00* 3,800
Tracor, Inc.................... 1,100 Oct '98 40.00 138
------ ------
138 7,913
- -------------------------------------------------------------------------------
ELECTRIC / GAS / WATER UTILITIES--(0.05%)
Northeast Utilities............ 3,400 Sep '98 15.00* 2,763
- -------------------------------------------------------------------------------
ENTERTAINMENT / ADVERTISING--(0.11%)
The Walt Disney Co............. 400 July '98 110.00* 2,450
Univision Communications,
Inc. .......................... 1,700 Aug '98 35.00* 3,294
------
5,744
- -------------------------------------------------------------------------------
FINANCIAL SERVICES & BROKERS--0.01%
FIRSTPLUS Financial Group...... 1,000 July '98 45.00 125
Schwab (Charles) Corp. ........ 1,100 Sep '98 40.00 481
------
606
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
<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 STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
FOOD PROCESSING & WHOLESALE--(0.12%)
Bestfoods...................... 900 July '98 57.50* $ $ 956
Delta & Pine Land Co. ......... 900 Aug '98 50.00* 5,344
------
6,300
- -------------------------------------------------------------------------------
FOREST PRODUCTS & PAPER--(0.04%)
Bowater, Inc................... 1,000 July '98 50.00* 3,062
Natures Sunshine Products,
Inc............................ 1,900 Sept '98 25.00 1,069
------ ------
1,069 3,062
- -------------------------------------------------------------------------------
INSURANCE--(0.07%)
Allmerica Financial Corp....... 700 Nov '98 65.00* 3,544
- -------------------------------------------------------------------------------
MEDICAL SUPPLIES & SERVICES--0.17%
American Home Products Corp.... 1,100 Oct '98 45.00* 962
Medimmune, Inc................. 900 Sept '98 55.00 9,675
------ ------
9,675 962
- -------------------------------------------------------------------------------
MISCELLANEOUS MANUFACTURING--(0.06%)
Gerber Scientific, Inc. ....... 2,300 Aug '98 60.00* 3,306
Guidant Corp................... 800 Jan '99 60.00* 2,650
Hexcel Corp.................... 2,000 Oct '98 25.00 2,625
------ ------
2,625 5,956
- -------------------------------------------------------------------------------
OIL AND GAS--(0.04%)
British Petroleum Co. ADR...... 600 Oct '98 80.00* 1,237
Burlington Resources, Inc. .... 1,100 July '98 42.50* 894
------
2,131
- -------------------------------------------------------------------------------
OIL EQUIPMENT / EXPLORATION & SERVICES--
(0.15%)
Oryx Energy Co................. 2,100 July '98 22.50* 2,100
Smith International, Inc. ..... 1,400 Oct '98 35.00* 5,863
------
7,963
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
<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 STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
RETAIL--GENERAL / DEPARTMENT--0.00%
Dominick's Supermarkets,
Inc. ...................... 1,100 Sept '98 45.00 $ 2,612 $
Family Dollar Stores....... 2,700 July '98 17.50* 844
Rite Aid Corp.............. 1,400 Oct '98 35.00* 2,100
------- ----------
2,612 2,944
- -------------------------------------------------------------------------------
TELECOMMUNICATION UTILITIES--0.00%
AT & T Corp. .............. 700 July '98 65.00 87
Teleport Communications
Group, Inc. ............... 800 July '98 60.00 100
-------
187
------- ----------
TOTALS..................... $23,100 $ 62,200
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES--74.91%
(Cost $3,890,733)................................................. $3,929,796
TOTAL PURCHASED OPTIONS--0.44%
(Cost $34,478).................................................... 23,100
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS--75.35%
(Cost $3,925,211)................................................. 3,952,896
TOTAL WRITTEN OPTIONS--(1.19%)
(Premiums Received ($64,602))..................................... (62,200)
CASH EQUIVALENTS--24.79%
Vista Cash Managed Money Market Fund 5.08% (Cost $1,300,332)...... 1,300,332
EXCESS OTHER ASSETS OVER LIABILITIES (NET)--1.05%.................. 54,999
- -------------------------------------------------------------------------------
NET ASSETS--100%................................................... $5,246,027
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
**--Non-income producing
ADR--American Depositary Receipt
See accompanying Notes to Financial Statements.
14
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS+
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
1. U.S. Treasury Bond 7.25%, 5/15/16............................ 12.8%
2. GMAC, Series E 5.63%, 2/25/00................................ 9.5
3. U.S. Treasury Note 7.50%, 2/15/05............................ 8.4
4. Hitachi Credit Corp. 5.88%, 12/28/00......................... 7.1
5. Federal National Mortgage Association 6.20%, 11/12/03........ 6.6
6. Gillette Co. 5.75%, 10/15/05................................. 5.6
7. First Chicago NBD Corp. 6.13%, 2/15/06....................... 4.7
8. Sears, Roebuck & Co. 8.30% 10/26/04.......................... 4.2
9. American Home Products 7.90%, 2/15/05........................ 4.2
10. KFW International Finance 7.63%, 2/15/04..................... 4.1
- --------------------------------------------------------------------------------
+Excludes cash equivalents
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments at market value (identified cost $3,925,211).......... $3,952,896
Cash equivalents.................................................. 1,300,332
Cash held by brokers.............................................. 19,454
Interest receivable............................................... 76,079
Receivable for shares sold........................................ 12,616
Receivable from investment adviser................................ 8,253
- -------------------------------------------------------------------------------
Total assets..................................................... 5,369,630
- -------------------------------------------------------------------------------
LIABILITIES:
Written options outstanding at market value (premiums received
$64,602)......................................................... 62,200
Overdraft payable................................................. 19,726
Payable for administrative fees................................... 6,876
Payable for shares redeemed....................................... 4,531
Payable for investment advisory fees.............................. 1,836
Distributions payable............................................. 1,312
Payable for investments purchased................................. 663
Payable for daily variation on futures contracts.................. 297
Other............................................................. 26,162
- -------------------------------------------------------------------------------
Total liabilities................................................ 123,603
- -------------------------------------------------------------------------------
NET ASSETS......................................................... $5,246,027
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
REPRESENTED BY:
Paid in capital................................................... $5,221,318
Undistributed net investment income............................... 1,406
Distributions in excess of net realized gains..................... (10,381)
Net unrealized appreciation of investments........................ 33,684
- -------------------------------------------------------------------------------
$5,246,027
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Net asset value, purchase and redemption price per outstanding
capital share (586,926 capital shares outstanding)............... $ 8.94
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
16
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
Six Months Ended June 30, 1998 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $141,911
- --------------------------------------------------------------------------------
Total investment income.............................................. 141,911
- --------------------------------------------------------------------------------
EXPENSES:
Administrative fees.................................................. 27,580
Custodian fees....................................................... 10,603
Registration fees.................................................... 10,339
Investment advisory fees............................................. 10,167
Shareholder reports fees............................................. 8,298
Legal fees........................................................... 5,981
Audit fees........................................................... 4,823
Trustees' fees and expenses.......................................... 4,122
Miscellaneous fees................................................... 728
- --------------------------------------------------------------------------------
Total expenses...................................................... 82,641
- --------------------------------------------------------------------------------
Waiver of investment advisory fees................................... (10,167)
Reimbursed expenses by the adviser................................... (52,146)
- --------------------------------------------------------------------------------
Total waivers and reimbursements.................................... (62,313)
- --------------------------------------------------------------------------------
Net expenses......................................................... 20,328
- --------------------------------------------------------------------------------
Net investment income................................................ 121,583
- --------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON:
Investments.......................................................... 14,541
Written options...................................................... 46,438
Futures.............................................................. (23,760)
- --------------------------------------------------------------------------------
TOTAL NET REALIZED GAIN............................................... 37,219
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION:
Investments.......................................................... 12,256
Written options...................................................... 1,221
Futures.............................................................. 3,597
- --------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION.................. 17,074
- --------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN...................................... 54,293
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS............................ $175,876
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
17
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997
- --------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................. $ 121,583 $ 1,313,223
Net realized gain on investments................... 37,219 936,018
Change in unrealized appreciation/depreciation on
investments....................................... 17,074 (65,767)
- --------------------------------------------------------------------------------
Increase in net assets from operations............ 175,876 2,183,474
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income......................... (121,583) (1,311,868)
From net realized gains............................ -- (936,018)
In excess of net realized gains.................... -- (46,569)
- --------------------------------------------------------------------------------
Decrease in net assets from distributions......... (121,583) (2,294,455)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 174,319 and 726,794 capital
shares for the six months ended June 30, 1998 and
year ended December 31, 1997, respectively........ 1,554,429 7,587,121
Proceeds from 13,116 and 129,365 capital shares
issued upon reinvestment of distributions for the
six months ended June 30, 1998 and year ended
December 31, 1997, respectively................... 116,618 1,166,897
Cost of 246,464 and 3,026,174 capital shares
redeemed for the six months ended June 30, 1998
and year ended December 31, 1997, respectively.... (2,190,873) (31,857,016)
- --------------------------------------------------------------------------------
Decrease in net assets from fund share
transactions..................................... (519,826) (23,102,998)
- --------------------------------------------------------------------------------
Net decrease in net assets......................... (465,533) (23,213,979)
Net assets, beginning of period................... 5,711,560 28,925,539
- --------------------------------------------------------------------------------
Net assets, end of period (including undistributed
net investment income of $1,406 and $1,406
respectively).................................... $ 5,246,027 $ 5,711,560
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
18
<PAGE>
THE ANALYTIC SERIES FUND
MASTER FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31
1998 ------------------------------------------
(UNAUDITED) 1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $ 8.84 $ 10.27 $ 10.41 $ 9.50 $10.26 $10.06
- ---------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income.. 0.24 0.59 0.58 0.61 0.64 0.67
Net realized and
unrealized gains
(losses) on
investments........... 0.10 0.41 (0.01) 0.91 (0.75) 0.41
- ---------------------------------------------------------------------------------
Total from investment
operations........... 0.34 1.00 0.57 1.52 (0.11) 1.08
- ---------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
From net investment in-
come.................. 0.24 0.59 0.58 0.61 0.64 0.67
From net realized
gains................. -- 1.75 0.12 -- 0.01 0.21
In excess of net real-
ized gains............ -- 0.09 0.01 -- -- --
- ---------------------------------------------------------------------------------
Total distributions... 0.24 2.43 0.71 0.61 0.65 0.88
- ---------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $ 8.94 $ 8.84 $ 10.27 $ 10.41 $ 9.50 $10.26
- ---------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------
TOTAL RETURN............ 3.86% 10.04% 5.69% 16.43% (1.04)% 10.94%
- ---------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL
DATA
Net assets, end of pe-
riod ($000)............ $ 5,246 $ 5,712 $28,926 $24,868 $6,155 $8,066
Ratio of expenses to av-
erage net assets:
Before expense
reimbursement and
waivers............... 3.66%* 1.09% 0.97% 1.03% 1.17% 1.04%
After expense
reimbursement and
waivers............... 0.90%* 0.90% 0.72% 0.69% 0.60% 0.60%
Ratio of net investment
income to average net
assets................. 5.38%* 5.60% 5.66% 5.99% 7.16% 6.39%
Portfolio turnover
rate................... 103.80% 39.98% 21.95% 31.82% 44.30% 105.39%
Average commission
rate(1)................ $0.0497 $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
* Annualized
See accompanying Notes to Financial Statements.
19
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS
- -------------------------------------------------------------------------------
<S> <C> <C>
AEROSPACE & DEFENSE--3.43% OF NET ASSETS
Lockheed Martin Corp..................................... 2,918 $ 308,943
Raytheon Co., Class B.................................... 5,232 309,342
----------
618,285
- -------------------------------------------------------------------------------
AUTO RELATED--4.54%
Dana Corp................................................ 3,636 194,526
Ford Motor Co. .......................................... 1,670 98,530
General Motors Corp...................................... 5,207 347,893
Navistar International Corp.*............................ 6,126 176,888
----------
817,837
- -------------------------------------------------------------------------------
BANKS / SAVINGS & LOANS--6.14%
Bankers Trust New York Corp.............................. 2,471 286,790
Chase Manhattan Corp..................................... 2,834 213,967
First Chicago NBD Corp................................... 3,092 274,029
Wells Fargo & Co......................................... 895 330,255
----------
1,105,041
- -------------------------------------------------------------------------------
CHEMICALS--2.34%
Dow Chemical Co. ........................................ 2,117 204,688
Du Pont (E.I.) De Nemours Co............................. 2,896 216,114
----------
420,802
- -------------------------------------------------------------------------------
COMPUTERS--5.34%
Dell Computer Corp.*..................................... 3,770 349,668
Gateway 2000, Inc.*...................................... 3,364 170,302
International Business Machines Corp..................... 3,082 353,852
Unisys Corp.*............................................ 3,100 87,575
----------
961,397
- -------------------------------------------------------------------------------
ELECTRONICS--4.03%
General Electric Co. .................................... 6,341 577,031
Hewlett-Packard Co....................................... 2,478 148,370
----------
725,401
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
20
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC / GAS / WATER UTILITIES--3.46%
Consolidated Edison, Inc.................................. 3,129 $ 144,130
P G & E Corp.............................................. 6,287 198,433
PECO Energy Co............................................ 9,597 280,112
----------
622,675
- --------------------------------------------------------------------------------
ENTERTAINMENT / ADVERTISING--2.30%
The Walt Disney Co........................................ 606 63,668
Time Warner, Inc.......................................... 4,097 350,037
----------
413,705
- --------------------------------------------------------------------------------
FINANCIAL SERVICES--6.24%
Associates First Capital Corp., Class A................... 537 41,282
Federal National Mortgage Association..................... 3,948 239,841
J.P. Morgan & Co.......................................... 1,722 201,689
Lehman Brothers Holdings, Inc. ........................... 3,566 276,588
Morgan Stanley Dean Witter & Co. ......................... 3,982 363,855
----------
1,123,255
- --------------------------------------------------------------------------------
FOOD PROCESSING & WHOLESALE--5.24%
Bestfoods................................................. 3,638 211,232
Coca-Cola Co.............................................. 828 70,794
PepsiCo, Inc. ............................................ 8,454 348,199
Philip Morris Companies, Inc.............................. 6,427 253,063
SUPERVALU, Inc............................................ 1,334 59,196
----------
942,484
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS / WARES--4.61%
Colgate-Palmolive Co. .................................... 3,538 311,344
Johnson & Johnson......................................... 3,445 254,069
Procter & Gamble Co. ..................................... 2,897 263,808
----------
829,221
- --------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
21
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE--4.67%
Allstate Corp............................................ 2,758 $ 252,529
American International Group, Inc........................ 1,963 286,598
Hartford Financial Services Group, Inc................... 2,639 301,836
----------
840,963
- -------------------------------------------------------------------------------
MACHINERY--4.11%
Caterpillar, Inc......................................... 4,286 226,622
McDermott International, Inc. ........................... 7,581 261,071
NACCO Industries, Inc., Class A.......................... 1,950 252,038
----------
739,731
- -------------------------------------------------------------------------------
METALS & MINING--1.72%
Aluminum Co. of America.................................. 4,290 282,872
Cyprus Amax Minerals Co. ................................ 2,018 26,738
----------
309,610
- -------------------------------------------------------------------------------
MISCELLANEOUS MANUFACTURING--1.11%
Eastman Kodak Co......................................... 926 67,656
Guidant Corp............................................. 1,854 132,213
----------
199,869
- -------------------------------------------------------------------------------
OFFICE / BUSINESS EQUIPMENT--1.83%
Xerox Corp............................................... 3,236 328,859
- -------------------------------------------------------------------------------
OIL & GAS--9.31%
Chevron Corp............................................. 877 72,846
Exxon Corp............................................... 4,820 343,726
Mobil Corp. ............................................. 4,446 340,675
Phillips Petroleum Co.................................... 5,834 281,126
Praxair, Inc. ........................................... 3,835 179,526
Royal Dutch Petroleum Co., New York Shares............... 2,545 139,498
Texaco, Inc.............................................. 5,344 318,970
----------
1,676,367
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
22
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENTS
--------------------
NUMBER OF MARKET
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
<S> <C> <C>
PAPER & PACKAGING--0.61%
Kimberly-Clark Corp...................................... 2,389 $ 109,595
- -------------------------------------------------------------------------------
PHARMACEUTICAL & BIOTECHNOLOGY--9.28%
Becton Dickinson & Co.................................... 3,675 285,272
Bristol Myers Squibb Co.................................. 2,964 340,675
Pfizer, Inc. ............................................ 3,111 338,127
Schering-Plough Corp. ................................... 3,764 344,876
Warner-Lambert Co........................................ 5,202 360,889
----------
1,669,839
- -------------------------------------------------------------------------------
RETAIL--GENERAL / DEPARTMENT--1.85%
Gap, Inc. ............................................... 5,052 311,330
Wal-Mart Stores, Inc. ................................... 350 21,262
----------
332,592
- -------------------------------------------------------------------------------
TELECOMMUNICATION UTILITIES--8.77%
A T & T.................................................. 6,136 350,519
Bell Atlantic Corp....................................... 1,940 88,512
Bellsouth Corp. ......................................... 2,297 154,186
GTE Corp. ............................................... 6,030 335,419
MediaOne Group, Inc.*.................................... 7,077 310,946
SBC Communications, Inc.................................. 990 39,600
U.S. WEST, Inc........................................... 6,387 300,189
----------
1,579,371
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS & EQUIPMENT--3.79%
Lucent Technologies, Inc................................. 4,326 359,869
Northern Telecom, Ltd.................................... 5,690 322,908
----------
682,777
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
23
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONTINUED)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENTS
---------------------
NUMBER OF MARKET
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION--2.30%
Burlington Northern Santa Fe Corp...................... 894 $ 87,780
Ryder System, Inc...................................... 1,327 41,883
US Airways Group, Inc.*................................ 3,577 283,477
-----------
413,140
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS--97.02% (Cost $16,565,094).......... 17,462,816
- -------------------------------------------------------------------------------
CASH EQUIVALENTS--28.84%
Chase Vista Cash Money Market Fund 5.08% (Cost
$5,189,628)........................................... 5,189,628 5,189,628
EXCESS LIABILITIES OVER OTHER ASSETS (NET)--(25.86%).... (4,653,987)
- -------------------------------------------------------------------------------
NET ASSETS--(100%)...................................... $17,998,457
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
* Non-income producing security
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS+
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
<S> <C>
1. General Electric Co. ........................................ 3.2%
2. Morgan Stanley Dean Witter & Co. ............................ 2.0
3. Warner-Lambert Co. .......................................... 2.0
4. Lucent Technologies, Inc. ................................... 2.0
5. International Business Machines Corp. ....................... 2.0
6. A T & T...................................................... 1.9
7. Time Warner, Inc. ........................................... 1.9
8. Dell Computer Corp. ......................................... 1.9
9. PepsiCo, Inc. ............................................... 1.9
10. General Motors Corp. ........................................ 1.9
- --------------------------------------------------------------------------------
+ Excludes cash equivalents
</TABLE>
See accompanying Notes to Financial Statements.
24
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
<TABLE>
- -------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments at market value (identified cost $16,565,094)......... $17,462,816
Cash equivalents.................................................. 5,189,628
Receivable for investments sold................................... 3,391,862
Receivable for shares sold........................................ 299,523
Dividends receivable.............................................. 17,531
Receivable from investment adviser................................ 8,404
- -------------------------------------------------------------------------------
Total assets..................................................... 26,369,764
- -------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased................................. 8,291,682
Payable for shares redeemed....................................... 33,245
Payable for investment advisory fees.............................. 6,968
Payable for administrative fees................................... 6,736
Payable for daily variation on futures contracts.................. 4,000
Distributions payable............................................. 984
Trustees fees payable............................................. 23
Overdraft payable................................................. 5,597
Other............................................................. 22,072
- -------------------------------------------------------------------------------
Total liabilities................................................ 8,371,307
- -------------------------------------------------------------------------------
NET ASSETS......................................................... $17,998,457
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
REPRESENTED BY:
Paid in capital................................................... $15,346,698
Undistributed net investment income............................... 4,633
Undistributed net realized gains.................................. 1,753,404
Net unrealized appreciation on investments........................ 893,722
- -------------------------------------------------------------------------------
$17,998,457
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Net asset value, purchase and redemption price per outstanding
capital share (1,058,237 capital shares outstanding)............. $ 17.01
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
25
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
Six Months Ended June 30, 1998 (Unaudited)
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Interest........................................................... $ 21,561
Dividend........................................................... 79,125
- --------------------------------------------------------------------------------
Total investment income........................................... 100,686
- --------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees........................................... 31,374
Administrative fees................................................ 30,834
Legal fees......................................................... 13,114
Registration fees.................................................. 8,612
Shareholder reports fees........................................... 8,119
Custodian fees..................................................... 4,166
Trustees' fees and expenses........................................ 1,687
Miscellaneous fees................................................. 4,930
- --------------------------------------------------------------------------------
Total expenses.................................................... 102,836
- --------------------------------------------------------------------------------
Waiver of investment advisory fees................................. (31,374)
Reimbursed expenses by the adviser................................. (18,831)
- --------------------------------------------------------------------------------
Total waivers and reimbursements.................................. (50,205)
- --------------------------------------------------------------------------------
Net expenses....................................................... 52,631
- --------------------------------------------------------------------------------
Net investment income.............................................. 48,055
- --------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON:
Investments........................................................ 1,571,840
Written options.................................................... (3,936)
Futures............................................................ 197,814
- --------------------------------------------------------------------------------
Total net realized gain........................................... 1,765,718
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION:
Investments........................................................ 407,650
Written options.................................................... 5,766
Futures............................................................ (17,926)
- --------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION................ 395,490
- --------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN.................................... 2,161,208
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS.......................... $2,209,263
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
26
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31,
(UNAUDITED) 1997
- --------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................. $ 48,055 $ 59,053
Net realized gain on investments................... 1,765,718 843,101
Change in unrealized appreciation/depreciation on
investments....................................... 395,490 267,769
- --------------------------------------------------------------------------------
Increase in net assets from operations............ 2,209,263 1,169,923
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income......................... (42,766) (59,053)
In excess of net investment income................. -- (4,391)
From net realized gains............................ -- (843,101)
In excess of net realized gains.................... -- (10,895)
- --------------------------------------------------------------------------------
Decrease in net assets from distributions......... (42,766) (917,440)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 623,838 and 410,633 capital
shares for the six months ended June 30, 1998 and
year ended December 31, 1997, respectively........ 10,057,747 5,881,889
Proceeds from 2,468 and 64,869 capital shares
issued upon reinvestment of distributions for the
six months ended June 30, 1998 and year ended
December 31, 1997, respectively................... 41,618 892,423
Cost of 102,439 and 232,295 capital shares redeemed
for the six months ended June 30, 1998 and year
ended December 31, 1997, respectively............. (1,598,247) (3,214,594)
- --------------------------------------------------------------------------------
Increase in net assets from fund share
transactions..................................... 8,501,118 3,559,718
- --------------------------------------------------------------------------------
Net increase in net assets......................... 10,667,615 3,812,201
Net assets, beginning of period................... 7,330,842 3,518,641
- --------------------------------------------------------------------------------
Net assets, end of period (including undistributed
(distributions in excess of) net investment
income of $4,633 and ($656) respectively)........ $17,998,457 $ 7,330,842
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE>
THE ANALYTIC SERIES FUND
ENHANCED EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31
1998 ------------------------------------------
(UNAUDITED) 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 13.72 $ 12.09 $ 12.94 $ 9.83 $10.15 $10.02
- --------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income.. 0.06 0.15 0.21 0.23 0.28 0.40
Net realized and
unrealized gains
(losses) on
investments........... 3.28 3.45 2.74 3.22 (0.32) 0.62
- --------------------------------------------------------------------------------
Total from investment
operations........... 3.34 3.60 2.95 3.45 (0.04) 1.02
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS:
From net investment
income................ 0.05 0.15 0.21 0.23 0.28 0.40
In excess of net
investment income..... -- 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... 0.05 1.97 3.80 0.34 0.28 0.89
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $ 17.01 $ 13.72 $ 12.09 $ 12.94 $ 9.83 $10.15
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOTAL RETURN............ 24.35% 29.86% 22.95% 35.36% (0.37)% 10.07%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL
DATA
Net assets, end of
period ($000).......... $17,998 $ 7,331 $ 3,519 $ 2,318 $1,511 $ 903
Ratio of expenses to
average net assets:
Before expense
reimbursement and
waivers............... 1.95%* 2.24% 1.51% 1.33% 1.35% 1.35%
After expense
reimbursement and
waivers............... 1.00%* 1.00% 0.91% 0.50% 0.24% 0.57%
Ratio of net investment
income to average net
assets................. 0.91%* 1.17% 1.53% 2.02% 3.24% 2.16%
Portfolio turnover
rate................... 197.46% 189.39% 179.47% 10.15% 24.75% 76.34%
Average commission
rate(1)................ $0.0303 $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.
* Annualized
See accompanying Notes to Financial Statements.
28
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Analytic Series Fund (the "Fund") was organized on November 18, 1992,
under the laws of the state of Delaware, and is registered under the
Investment Company Act of 1940, as amended, as a no load, open-end diversified
investment company or "mutual fund" consisting of three separate 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 are as follows:
Short-Term Government Portfolio--to provide a high level of income
consistent with both low fluctuations in market value and low credit risk.
At least 80% of the total assets of the portfolio will be invested in U.S.
Government securities.
Master Fixed Income Portfolio--to provide above-average total returns from
a diversified bond portfolio consisting primarily of domestic government,
corporate, and mortgage-related fixed income securities.
Enhanced Equity Portfolio--to provide above-average total returns from a
diversified equity portfolio which consists primarily of domestic common
stocks and related investments such as options and futures.
DERIVATIVE FINANCIAL INSTRUMENTS--Each portfolio may utilize various call
option, put option, and financial futures strategies in pursuit of its
objective. These techniques will be used to hedge against changes in
securities prices, interest rates, or foreign currency exchange rates on
securities held or intended to be acquired by the portfolio to reduce the
volatility of the currency exposure associated with foreign securities, or as
an efficient means of adjusting exposure to stock or bond markets, and not for
speculation. The Portfolios will only write covered call and cash secured put
options 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.
Short-term investments that have remaining maturities of sixty days or less at
the time of purchase are valued at amortized cost, if it approximates market
value. Securities for which quotations are not readily available, including
circumstances in which it is determined by Analytic.TSA Global Asset
Management, Inc. (the "Adviser") the bid or asked prices are not reflective of
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
29
<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 both financial
statement and Federal income tax purposes.
EXPENSE REDUCTIONS--The Portfolio has directed certain portfolio trades to
brokers who paid a portion of the Portfolio's expenses. This amount, if any 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 had 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
throughout 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>
30
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
The cost and net unrealized appreciation/(depreciation) of investments and
options held at June 30, 1998 as computed for U.S. Federal income tax purposes
was:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE NET
GROSS GROSS UNREALIZED
COST UNREALIZED GAIN UNREALIZED LOSS GAIN
----------- --------------- --------------- ----------
<S> <C> <C> <C> <C>
Short-Term Government
Portfolio.............. $ 3,365,181 $ 4,877 $ (4,738) $ 139
Master Fixed Income
Portfolio.............. 5,160,941 66,137 (36,050) 30,087
Enhanced Equity Portfo-
lio.................... 21,754,722 1,036,611 (138,889) 897,722
</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.
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.
CASH AND CASH EQUIVALENTS--Cash and cash equivalents at June 30, 1998,
consists 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.
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, 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 waive and reimburse expenses that exceeded
the following percentages of average daily net assets:
<TABLE>
<S> <C>
Short-Term Government Portfolio........................................ 0.60%
Master Fixed Income Portfolio.......................................... 0.90%
Enhanced Equity Portfolio.............................................. 1.00%
</TABLE>
At June 30, 1998, three officers of the Fund are also officers of the Adviser.
31
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
3. ADMINISTRATION SERVICES
UAM Fund Services, Inc. (the "Administrator"), a wholly-owned subsidiary of
United Asset Management Corporation, provides and oversees administrative,
fund accounting, dividend disbursing and transfer agent services to the Fund
under a Fund Administration Agreement (the "Administration Agreement").
Pursuant to the agreement, the Administrator is entitled to receive annual
fees, computed daily and payable monthly, of 0.19% of the first $200 million
of the combined aggregate net assets; plus 0.11% of the next $800 million of
the combined aggregate net assets; plus 0.07% of the next $2 billion of the
combined aggregate net assets; plus 0.05% of the combined aggregate net assets
in excess of $3 billion. The fees are allocated among the portfolios of other
funds administered by UAM Fund Services, Inc., 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. The
Administrator has entered into a Mutual Funds Service Agreement with Chase
Global Funds Services Company ("CGFSC"), a corporate affiliate 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 six months
ended June 30, 1998, UAM Fund Services, Inc. earned the following amounts from
the Portfolio as Administrator and paid the following portion to CGFSC for
their services.
<TABLE>
<CAPTION>
PORTION PAID
ADMINISTRATION FEES TO CGFSC
------------------- ------------
<S> <C> <C>
Short-Term Government Portfolio............. $27,657 $27,001
Master Fixed Income Portfolio............... 27,580 26,677
Enhanced Equity Portfolio................... 30,834 28,743
</TABLE>
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the six months ended June 30, 1998, the cost basis of purchases and
proceeds of sales (including $3,349 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..................... $ 1,135,358 $ 850,388
Master Fixed Income Portfolio....................... 3,350,368 3,417,952
Enhanced Equity Portfolio........................... 28,561,603 20,260,712
</TABLE>
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 risk 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.
32
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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....................... 176 $ 70,262
Options written........................................ 919 171,574
Options terminated in closing purchase transactions.... (512) (126,260)
Options expired........................................ (228) (47,625)
Options exercised...................................... (17) (3,349)
---- ---------
Outstanding at June 30, 1998........................... 338 64,602
==== =========
</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........................ 5 $ 20,234
Options written......................................... 5 20,234
Options terminated in closing purchase transactions..... (10) (40,468)
--- --------
Outstanding at June 30, 1998............................ 0 0
=== ========
</TABLE>
At June 30, 1998, the following Portfolio had future contracts open:
<TABLE>
<CAPTION>
NUMBER UNREALIZED
OF AGGREGATE EXPIRATION APPRECIATION
PORTFOLIO CONTRACTS FACE VALUE DATE (DEPRECIATION)
--------- --------- ---------- ---------- --------------
<S> <C> <C> <C> <C>
Purchases:
SHORT TERM GOVERNMENT
U.S. Long Bond............. 1 $ 123,594 Sept '98 $ 1,896
ENHANCED EQUITY
S&P 500.................... 2 571,500 Sept '98 (4,000)
MASTER FIXED INCOME
U.S. Long Bond............. 4 494,375 Sept '98 7,585
Sales:
SHORT TERM GOVERNMENT
U.S. 2 Year Note........... 4 833,500 Sept '98 (1,227)
MASTER FIXED INCOME
U.S. 2 Year Note........... 13 2,708,875 Sept '98 (3,988)
</TABLE>
6. OTHER
At June 30, 1998 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 76
Enhanced Equity Portfolio............................. 4 75
</TABLE>
33
<PAGE>
THE ANALYTIC SERIES FUND
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
7. SUBSEQUENT EVENT
A special meeting of the stockholders of the Analytic Series Fund was held on
May 28, 1998. A vote was taken to approve a proposed Agreement and Plan of
Reorganization between the Fund and PBHG Advisor Funds, Inc, providing for (a)
the acquisition of all the assets of the funds by the corresponding series of
the PBHG Advisor Funds in exchange for Class A shares of such respective
series of PBHG Advisor Funds, and (b) the liquidation of the Fund and its
Portfolios and the pro rata distribution of each Portfolio's holdings of PBHG
Fund shares to its shareholders. The following is the results of that vote:
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FUND FAVOR OF AGAINST ABSTAINED
---- -------- ------- ---------
<S> <C> <C> <C>
Short Term Government............................. 272,385 0 0
Master Fixed Income............................... 320,815 4,832 0
Enhanced Equity................................... 427,870 5,411 7,637
</TABLE>
Effective July 24, 1998 the reorganization plan was enacted.
Effective July 20, 1998, the Adviser will become a subsidiary of Pilgrim
Baxter & Associates, Ltd. ("Pilgrim Baxter") a wholly-owned subsidiary of
United Asset Management Corporation.
34
