<PAGE> 1
STAGECOACH
FUNDS(R)
- -----------------------
LIFEPATH(TM)
- -----------------------
FUNDS
- -----------------------
SEMI-
- -----------------------
ANNUAL
- -----------------------
REPORT
- -----------------------
LifePath 2000 Fund(TM)
LifePath 2010 Fund(TM)
LifePath 2020 Fund(TM)
LifePath 2030 Fund(TM)
LifePath 2040 Fund(TM)
Retail Class
August 31, 1996
------------------
NOT FDIC INSURED
------------------
<PAGE> 2
- --------------------------------
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders......................................... ii
Investment Adviser Discussion.................................. 1
STAGECOACH TRUST
Statement of Assets and Liabilities........................... 8
Statement of Operations....................................... 10
Statements of Changes in Net Assets........................... 12
Financial Highlights.......................................... 16
Notes to the Financial Statements............................. 21
MASTER INVESTMENT PORTFOLIO
PORTFOLIOS OF INVESTMENTS
LifePath Master Portfolios................................... 26
MASTER INVESTMENT PORTFOLIO
Statement of Assets and Liabilities.......................... 92
Statement of Operations....................................... 94
Statements of Changes in Net Assets........................... 96
Notes to the Financial Statements............................. 100
</TABLE>
STAGECOACH FUNDS:
-------------------------------------------------------------------
<TABLE>
<S> <C>
- are NOT FDIC insured
- are NOT obligations of Wells Fargo Bank
or Barclays Global Investors, N.A.
("BGI") LOGO
- are NOT guaranteed by the Bank or BGI
- involve investment risk, including
possible loss of principal
</TABLE>
---------------------------
i
<PAGE> 3
LETTER TO SHAREHOLDERS
- -----------------------------------------
TO OUR SHAREHOLDERS:
The six-month period ended August 31, 1996, produced mixed results throughout
the securities markets. Among the key benchmarks for the six-month period are:
- - the U.S. stock market, as represented by the S&P 500 Index, which returned
2.85% (the return year-to-date through August 31, 1996 was 7.50%.);
- - the U.S. government bond market which, according to Lipper Analytical
Services' tracking of general U.S. government bond funds, fell 1.98%;
- - and cash which, according to Lipper's tracking of General Money Market Mutual
Funds, returned 2.31% for the period.
The LifePath Funds, which allocate assets across a variety of equity and
fixed-income indices as well as cash, had returns which were below the level
investors had enjoyed for most of the previous year. See the Performance at a
Glance chart for complete return information.
To understand why returns are more modest now we should briefly review why
returns were so outstanding in 1995. The principal driver of the outstanding
returns was that both equities and fixed-income securities had outstanding
years. Throughout most of 1995, the fixed-income market enjoyed several
reductions in the federal funds target rate which helped drive up the value of
bond portfolios. The equities market enjoyed a series of strong earnings reports
which drove up stock prices.
In 1996, contrary to initial expectations, the Federal Reserve Board did not
continue its series of interest rate reductions. Concerns arose that the economy
was growing too quickly and might cause the Fed to raise rates instead. That
possibility cut short the bond rally and the continued uncertainty caused bond
prices to fall. On the equity side, concern that future earnings growth would
not support current stock prices made for a volatile year with frequent slumps
and rallies. The stock markets, however, are still up for the year -- just not
as strongly as they were in 1995.
As the fiscal half-year ended, there were signs that the equities market was
beginning to rally and that the bond market had recovered from its previous
doldrums.
When reviewing performance information, there is a real danger in making too
much of a short period's experience. The six months covered by this report are
- ---------------------------
ii
<PAGE> 4
LETTER TO SHAREHOLDERS
only a small portion of a long-term investment. Investors should not overreact
to news good or bad. What investors should do, however, is continually assess
financial goals and review such investments to see if they are the best route to
achieving those goals. We feel strongly that the best advice is always to make
your investment decisions with your ultimate goals in mind and not in reaction
to short-term events.
The asset allocation strategy employed by the LifePath Funds helps each fund to
address current economic conditions while keeping firmly focused on a long-term
objective. We are pleased to be part of your investment planning and we look
forward to serving your needs for years to come.
- -- Stagecoach Funds,
October 22, 1996
The LifePath Funds invest in the LifePath Master Portfolios which in turn invest
in the individual securities. "Standard & Poors", "S&P" and "500" are registered
trademarks of McGraw Hill, Inc. The S&P 500 Index is an unmanaged index of 500
widely held common stocks representing, among other, industrial, financial,
utility and transportation companies listed or traded on national exchanges or
over-the-counter markets.
---------------------------
iii
<PAGE> 5
(THIS PAGE INTENTIONALLY LEFT BLANK)
<PAGE> 6
INVESTMENT ADVISER DISCUSSION
- ---------------------------
INVESTMENT
ADVISER
DISCUSSION
HOW HAVE THE FUNDS PERFORMED OVER THE PREVIOUS SIX MONTHS?
The returns for the first half of the Funds' fiscal year, March 1 through August
31, 1996, are as follows:
LifePath 2000 0.34%
LifePath 2010 0.88%
LifePath 2020 0.96%
LifePath 2030 1.11%
LifePath 2040 2.01%
Please see the "Performance at a Glance" table for more complete performance
information.
HOW DOES THAT COMPARE TO THE SAME PERIOD LAST YEAR?
The returns this year have been more modest. In 1995, declining interest rates
and growing corporate earnings sent both bond and stock prices higher. The
positive effects were felt in nearly all the asset classes available to the
Funds, resulting in strong returns for the year. It is relatively rare to see
both stocks and bonds perform so well at the same time. So far in 1996, we have
not been as fortunate. The stock market, while up for the year, has been
volatile, and the fixed-income markets have had a poor year.
WHAT HAS HAPPENED DURING THE FIRST EIGHT MONTHS OF 1996 AND HOW HAS IT AFFECTED
THE FUNDS' PERFORMANCES?
On the equity side, investors generally have been divided about whether or not
earnings would continue to grow enough to justify stock prices. The expectation
that dividends for an issue will increase is one of the primary reasons
investors might be willing to pay higher prices for a stock. Conflicting
forecasts made investors cautious. Technology stocks were particularly volatile,
with several mini-slumps and rallies throughout the period. July, for example,
contained a notable slump that wiped out many previous gains. On the whole,
equities have done reasonably well, and the immediate outlook is reasonably
promising. The equities market, as measured by the S&P 500, has continued to
climb, albeit at a slower pace than in 1995 and not without some setbacks. By
August 31, 1996, the S&P 500 had gone up about 7.50% for the year. Most of that
gain occurred before the Funds' fiscal year opened in March and was reflected in
the gains reported in the February 1996 Annual Report. For the period covered by
this Report, March 1 to August 31, 1996, the gain was only 2.85%.
Bonds slumped badly, however, when contrary to initial expecta-
---------------------------
1
<PAGE> 7
INVESTMENT ADVISER DISCUSSION
tions the Federal Reserve did not lower rates. Declining interest rates
typically increase the resale value of existing, higher-paying bonds. According
to the Lehman Brothers' tracking of Treasury securities, long-term government
bonds were down over 7.00% for the year as of August 31, 1996. For the period of
this Report, long-term government bond indices were down as much as 1.98%, with
short-intermediate indices showing flat to small increases of less than 1.00%,
according to Lipper Analytical Services, Inc. As the reporting period closed,
the bond market had begun to show some signs of recovery.
The effect of the equity and bond markets on the Funds' performances has been to
some extent determined by the Funds' time horizons. None of the Funds posted
particularly strong returns for the period, but the longer-dated Funds have had
a greater stock allocation and therefore benefited from the returns in the
equities markets. The shorter-dated Funds typically have lower stock allocations
in order to reduce risk and help preserve capital and depend more on fixed-
income returns. As we have seen, fixed-income returns were poor. It is important
to remember, however, that stocks are not always going to out-perform bonds year
in and year out. Nor is performance the sole aim of the asset allocation models
the LifePath Funds employ. Instead, each model tries to maximize returns within
the risk tolerance allowed. The task is to capture returns within the expected
risk levels presented by the available asset classes.
THE FED DID NOT ACTUALLY CHANGE INTEREST RATES DURING THE FIRST HALF OF THE
FUNDS' FISCAL YEAR. SO WHY DID THE UNCERTAINTY AFFECT THE MARKET AND, BY
EXTENSION, THE FUNDS?
There are two aspects regarding possible Fed action on interest rates to
consider. The first is quite direct. If an investor owns a bond paying 7.00%,
and new bonds are paying only 6.00% after a Fed reduction in rates, the resale
value of the higher-paying bond goes up because it is worth more through
maturity. That's pretty clear. The other aspect is what Fed action indicates
about the direction of the economy. The concern throughout the summer of 1996
was that the economy was growing too fast and would ignite higher inflation.
Inflation erodes profits and is always a concern. But if the Fed did raise rates
to slow the economy and head off inflation, fixed-income portfolios would lose
value. The Fed did not act, but the conflicting signals and interpretations of
what the Fed was likely to do were enough to make the markets nervous. Investors
were very hesitant about acting with such uncertainty, causing demand for
fixed-income securities to be low. Uncertainty, low de-
- ---------------------------
2
<PAGE> 8
INVESTMENT ADVISER DISCUSSION
mand and inflation fears all helped to depress the fixed-income market during
the period.
YOU SAID THAT ALLOCATIONS ARE BASED ON EXPECTED RETURNS WITHIN THE CONTEXT OF
EXPECTED RISKS. PLEASE ELABORATE ON HOW THESE EXPECTATIONS ARE DEVELOPED.
Let's discuss expected returns first. We examine a number of items in developing
a forecast and believe the most important is the earnings estimates and growth
projections developed by thousands of Wall Street analysts. These analysts
typically concentrate on single sectors or, in some instances, on a single
company. We combine these separate reports into what we believe to be a
consensus of the market as a whole and then compare this with the current price
levels in the market. The key here is to compare earnings to prices to determine
how much value one is receiving from an investment. To know that earnings are
rising without knowing what prices are doing does not give us a picture of the
potential value received from an investment. If, on the other hand, we know that
earnings are rising and prices are stable, then we know that value is
increasing. Conversely, if prices are rising and earnings are stable, then value
is decreasing. That is, in fact, what we have seen much of this year. Stocks
have risen in price but earnings expectations have not risen in tandem.
Therefore stocks are providing less value.
Over the long term, risk relationships are actually fairly stable although there
can be year to year fluctuations in the degree of risk presented by an asset
class. Stocks are expected to be riskier than bonds which are in turn riskier
than cash. The key in an asset allocation strategy is to identify the relative
risks and act accordingly. For example, if it is determined that stocks are
presenting less risk than usual and have good expected returns, allocations
would probably be altered to favor stocks. There are a number of complicated
statistics to measure risk, but a thumb-nail method of measuring risk for a
given period is to measure the spread between the best and worst returns for an
asset class for the period. In 1995, the best single month for the S&P 500 Index
showed a 4.20% return while the worst was -0.40%. That spread of 4.60% is
actually fairly low, indicating that 1995 was a "low risk" year. Stock
allocations were higher as a result. This year, the best one-month return for
the S&P 500 was in January which saw a 3.40% total return, while the worst was
July which had a 4.40% drop. This range of 7.80% is nearly 60% greater than last
year's variance. This indicates that stocks have presented greater risks for
investors this year.
---------------------------
3
<PAGE> 9
INVESTMENT ADVISER DISCUSSION
WHAT IS YOUR CURRENT OUTLOOK ON BOTH THE EQUITY AND THE FIXED-INCOME MARKETS?
As we said in the previous discussion, stock prices have risen more rapidly than
earnings expectations. This suggests to us that stocks are currently overvalued.
Bonds, on the other hand, have fallen all year making them relatively cheap. So
we are shifting some assets from stocks into bonds. What this means in relation
to risk and reward is that the expected profit from stocks has decreased while
the expected return on bonds has increased, making the lower risk inherent in
bonds a more attractive investment for a portion of the Funds' assets right now.
THE STOCK MARKET WAS VERY VOLATILE OVER THE LAST SIX MONTHS, WITH TECH STOCKS
PARTICULARLY UNPREDICTABLE. HOW HAS THE MULTI-INDEX APPROACH HELPED SMOOTH OUT
THE VOLATILITY?
There's an old saying about not putting all your eggs in one basket. Sometimes
the oldest advice is still good advice! Diversification reduces risk and makes
it unlikely that any one sector or industry can have a large impact on
performance. For instance, Funds which invested heavily in the technology sector
suffered a large downturn in July when that sector was particularly hard-hit
after several disappointing earnings reports were released. Our use of indices
along with our risk and reward analysis and asset allocation models have allowed
us to pursue diversification in a disciplined manner and avoid much of the
roller-coaster ride some funds have endured.
THE ANNUAL REPORTS ARE OPPORTUNITIES TO SPEAK DIRECTLY TO THE SHAREHOLDERS. WHAT
IS THE KEY ASPECT YOU WOULD LIKE LIFEPATH FUND SHAREHOLDERS TO KEEP IN MIND
ABOUT THEIR INVESTMENT?
We believe that the most important aspect of each LifePath Fund is built right
into its name: the time horizon. The time horizon determines the degree of risk
each Fund will tolerate and the amount of volatility a shareholder should
expect. Typically, the longer-dated Funds accept greater risk for potentially
greater reward by concentrating more heavily in equities than the shorter Funds.
The shorter Funds place an increasing emphasis on capital preservation and
avoiding volatility by investing in fixed-income securities and even money
market instruments.
THE LIFEPATH 2000 FUND IS APPROACHING ITS TIME HORIZON. WHAT CHANGES CAN WE
EXPECT TO SEE OVER THE NEXT FEW YEARS IN THIS FUND?
Each LifePath Fund is managed to become more conservative as the time horizon
reflected in its name approaches. The reasoning behind this is the assumption
that the closer an investor gets to the date he or she intends to begin draw-
- ---------------------------
4
<PAGE> 10
INVESTMENT ADVISER DISCUSSION
ing on the investment, the less risk the investor is usually willing to accept.
There is no dramatic change when a Fund reaches its horizon date, however, but a
gradual movement over time. The LifePath 2000 Fund is actually fairly close to
how it will be positioned in the year 2000 although it still will act on
changing market opportunities, particularly in the short-to-intermediate range
of the fixed-income market. The stock portion of the portfolio can be expected
to decrease over the next three years as the Fund increasingly emphasizes short-
term instruments to help preserve capital.
---------------------------
5
<PAGE> 11
INVESTMENT ADVISER DISCUSSION
- ----------------------------------------------
PERFORMANCE AT A GLANCE
<TABLE>
<CAPTION>
PERFORMANCE AS OF 08/31/96
--------------------------------------------------------------------------------------
03/01/96- YEAR TO AVERAGE ANNUAL
TOTAL RETURNS 08/31/96 DATE 1996 1 YEAR SINCE INCEPTION*
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LifePath 2000 0.34% 0.72% 5.00% 6.02%
--------------------------------------------------------------------------------------
LifePath 2010 0.88% 2.41% 8.52% 9.14%
--------------------------------------------------------------------------------------
LifePath 2020 0.96% 3.11% 10.16% 10.81%
--------------------------------------------------------------------------------------
LifePath 2030 1.11% 3.54% 11.73% 12.11%
--------------------------------------------------------------------------------------
LifePath 2040 2.01% 5.46% 14.02% 13.88%
--------------------------------------------------------------------------------------
</TABLE>
*March 1, 1994
<TABLE>
<CAPTION>
ASSET CLASS MIX AS OF 08/31/96
-----------------------------------------------------------------------------------------------------
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
STOCKS 2000 2010 2020 2030 2040
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Large Capitalization -- Value 2.63% 13.47% 19.68% 23.31% 25.91%
-----------------------------------------------------------------------------------------------------
Large Capitalization -- Growth 3.27 14.13 20.27 24.30 33.58
-----------------------------------------------------------------------------------------------------
Medium Capitalization -- Value 3.76 3.30 3.84 4.62 4.65
-----------------------------------------------------------------------------------------------------
Medium Capitalization -- Growth 3.65 3.23 3.80 4.61 4.57
-----------------------------------------------------------------------------------------------------
Small Capitalization -- Value 0.11 0.05 0.16 0.15 0.09
-----------------------------------------------------------------------------------------------------
Small Capitalization -- Growth 0.22 0.14 0.31 0.32 0.26
-----------------------------------------------------------------------------------------------------
Micro Capitalization 0.14 0.20 0.30 0.38 0.40
-----------------------------------------------------------------------------------------------------
Japan 1.89 2.53 3.85 4.48 5.19
-----------------------------------------------------------------------------------------------------
International (except Japan) 5.33 8.44 11.21 14.15 14.95
-----------------------------------------------------------------------------------------------------
BONDS
-----------------------------------------------------------------------------------------------------
Long-Term Government 2.16 5.80 13.70 19.33 9.67
-----------------------------------------------------------------------------------------------------
Long-Term Corporate 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------------------
Intermediate-Term Government 76.48 47.85 22.50 3.63 0.00
-----------------------------------------------------------------------------------------------------
Intermediate-Term Corporate 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------------------
Mortgage-backed 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------------------
Foreign 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------------------
MONEY MARKETS
-----------------------------------------------------------------------------------------------------
U.S. Treasury Bills 0.74 0.86 0.38 0.72 0.73
-----------------------------------------------------------------------------------------------------
TOTAL 100.00 100.00 100.00 99.37 99.62
-----------------------------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of a Fund will fluctuate with market conditions so
that shares of a Fund, when redeemed, may have a greater or lesser net asset
value than when originally purchased.
Average annual total returns for the indicated periods represent the average
annual increase in the value of an investment over the periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
Any differences between the percentages above and the percentages in the
Portfolios of Investments are due to unsettled trades and allocations to large
cap stocks through S&P 500 futures contracts.
The Funds are feeder funds of the Master Investment Portfolio which in turn
invests in individual securities. References to the Fund are understood to be
references to the Fund or Master Portfolio as appropriate.
- ---------------------------
6
<PAGE> 12
(THIS PAGE INTENTIONALLY LEFT BLANK)
---------------------------
7
<PAGE> 13
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) - AUGUST 31, 1996
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Fund Fund
- ---------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at
market value (Note 1) $ 86,885,428 $ 70,769,359
Receivables:
Dividends and Interest 693,100 458,678
Fund shares sold 20,000 92,500
Prepaid Expenses 7,111 10,596
TOTAL ASSETS 87,605,639 71,331,133
LIABILITIES
Payables:
Due to sponsor and distributor 25,819 21,361
Due to WFB (Note 2) 21,188 0
Capital Shares Redeemed 10,000 20,000
TOTAL LIABILITIES 57,007 41,361
TOTAL NET ASSETS $ 87,548,632 $ 71,289,772
NET ASSETS CONSIST OF:
Paid-in capital - Retail class $ 84,558,882 $ 65,000,179
Paid-in capital - Institutional class (608,704) (3,010,575)
Undistributed net investment income 595,573 379,629
Undistributed net realized gain on
investment 822,428 7,967,494
Net unrealized appreciation of
investments 2,180,453 953,045
TOTAL NET ASSETS $ 87,548,632 $ 71,289,772
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
Net assets - Retail class $ 87,536,971 $ 71,245,667
Shares outstanding Retail class 8,388,040 6,281,201
Net asset value and offering price per
share - Retail class $ 10.44 $ 11.34
Net Assets - Institutional class $ 11,661 $ 44,105
Shares outstanding - Institutional class 1,217 4,336
Net asset value and offering price per
share - Institutional class $ 9.58 $ 10.17
</TABLE>
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
- ---------------------------
8
<PAGE> 14
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
- ------------------------------------------------------------------------------
<S> <C> <C>
$ 127,221,724 $ 84,214,707 $ 154,828,195
667,231 372,710 533,089
194,000 66,100 214,932
14,031 0 0
128,096,986 84,653,517 155,576,216
37,862 24,934 34,911
23,201 10,494 36,338
0 0 9,943
61,063 35,428 81,192
$ 128,035,923 $ 84,618,089 $ 155,495,024
$ 111,984,751 $ 71,666,047 $ 132,144,350
(4,516,997) (3,252,849) (4,543,890)
525,459 278,768 362,121
3,334,446 1,924,941 6,680,125
16,708,264 14,001,182 20,852,318
$ 128,035,923 $ 84,618,089 $ 155,495,024
$ 127,974,777 $ 84,400,004 $ 155,477,524
10,733,449 6,846,041 11,994,300
$ 11.92 $ 12.33 $ 12.96
$ 61,146 $ 218,085 $ 17,500
5,414 17,974 1,399
$ 11.29 $ 12.13 $ 12.51
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
9
<PAGE> 15
STATEMENT OF OPERATIONS (UNAUDITED) - FOR THE SIX MONTHS ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Fund Fund
- ----------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME ALLOCATED FROM MASTER
PORTFOLIO
Dividends $ 240,046 $ 439,928
Interest 2,257,839 1,187,117
Expenses (267,049) (208,204)
NET INVESTMENT INCOME ALLOCATED FROM
MASTER PORTFOLIO 2,230,836 1,418,841
EXPENSES (NOTE 2)
Administration fees 48,966 38,408
Shareholder servicing fees 97,934 76,816
Transfer agency fees 48,966 38,408
Distribution fees - Retail Class 119,294 89,618
TOTAL EXPENSES 315,160 243,250
NET INVESTMENT INCOME 1,915,676 1,175,591
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
ALLOCATED FROM MASTER PORTFOLIO
Net realized gain on sale of investments 859,898 985,652
Net change in unrealized appreciation of
investments (2,540,463) (1,366,793)
NET GAIN (LOSS) ON INVESTMENTS (1,680,565) (381,141)
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 235,111 $ 794,450
</TABLE>
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
- ---------------------------
10
<PAGE> 16
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
- ------------------------------------------------------------------------------
<S> <C> <C>
$ 1,067,057 $ 855,701 $ 1,663,263
1,367,330 547,875 353,667
(366,174) (244,903) (433,066)
2,068,213 1,158,673 1,583,864
67,428 44,971 79,237
134,856 89,942 158,474
67,428 44,971 79,237
160,922 107,570 192,142
430,634 287,454 509,090
1,637,579 871,219 1,074,774
3,449,818 1,921,383 6,680,725
(3,595,184) (1,597,861) (4,487,158)
(145,366) 323,522 2,193,567
$ 1,492,213 $ 1,194,741 $ 3,268,341
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
11
<PAGE> 17
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Fund
-----------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 1,915,676 $ 3,419,395
Net realized gain (loss) on sale of
investments 859,898 1,439,626
Net change in unrealized appreciation of
investments (2,540,463) 4,675,607
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS 235,111 9,534,628
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Retail class (1,846,316) (2,759,078)
Institutional class (152,793) (453,332)
From net realized gain on sales of
investments
Retail class (315,972) (1,047,308)
Institutional class (54,725) (173,730)
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold - Retail class 19,650,724 70,169,401
Reinvestment of dividends - Retail class 2,071,724 3,617,931
Cost of shares redeemed - Retail class (32,350,488) (32,730,053)
NET INCREASE IN NET ASSETS RESULTING FROM
CAPITAL SHARE TRANSACTIONS - RETAIL CLASS (10,628,040) 41,057,279
Proceeds from shares sold - Institutional
class 1,267,991 13,750,541
Reinvestment of dividends - Institutional
class 207,518 627,061
Cost of shares redeemed - Institutional
class (18,495,705) (5,320,639)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - INSTITUTIONAL CLASS (17,020,196) 9,056,963
INCREASE (DECREASE) IN NET ASSETS (29,782,931) 55,215,422
NET ASSETS:
Beginning net assets 117,331,563 62,116,141
ENDING NET ASSETS $ 87,548,632 $ 117,331,563
SHARES ISSUED AND REDEEMED:
Shares sold - Retail class 1,871,205 6,695,893
Shares issued in reinvestment of
dividends - Retail class 198,013 347,286
Shares redeemed - Retail class (3,087,651) (3,139,915)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - RETAIL CLASS (1,018,433) 3,903,264
Shares sold - Institutional class 119,465 1,310,755
Shares issued in reinvestment of dividends -
Institutional class 19,890 59,945
Shares redeemed - Institutional class (1,755,819) (507,478)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - INSTITUTIONAL CLASS (1,616,464) 863,222
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---------------------------
12
<PAGE> 18
<TABLE>
<CAPTION>
LifePath 2010 Fund LifePath 2020 Fund
- ------------------------------------- -------------------------------------
(Unaudited) (Unaudited)
For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended
August 31, 1996 February 29, 1996 August 31, 1996 February 29, 1996
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 1,175,591 $ 2,283,688 $ 1,637,579 $ 3,016,694
985,652 1,104,963 3,449,818 2,879,775
(1,366,793) 8,769,343 (3,595,184) 17,940,046
794,450 12,157,994 1,492,213 23,836,515
(1,019,395) (1,441,405) (1,464,283) (2,215,468)
(241,992) (690,971) (224,272) (641,133)
(91,671) (722,105) (377,105) (1,971,461)
(46,558) (360,652) (124,600) (553,722)
16,774,453 37,481,337 25,030,910 64,078,009
1,093,495 2,136,750 1,815,134 4,137,056
(13,329,932) (15,292,452) (20,754,506) (26,156,416)
4,538,016 24,325,635 6,091,538 42,058,649
2,529,219 25,592,865 1,482,153 27,673,486
288,550 1,051,620 348,872 1,194,854
(37,096,857) (8,068,526) (42,246,314) (8,977,511)
(34,279,088) 18,575,959 (40,415,289) 19,890,829
(30,346,238) 51,844,455 (35,021,798) 80,404,209
101,636,010 49,791,556 163,057,721 82,653,512
$ 71,289,772 $ 101,636,011 $ 128,035,923 $ 163,057,721
1,472,964 3,419,301 2,087,462 5,680,695
96,190 195,828 151,934 362,399
(1,171,323) (1,410,750) (1,729,994) (2,313,057)
397,831 2,204,379 509,402 3,730,037
221,309 2,346,284 123,952 2,446,685
25,632 95,504 29,607 104,547
(3,246,268) (737,665) (3,533,378) (800,489)
(2,999,327) 1,704,123 (3,379,819) 1,750,743
</TABLE>
- -------------------------------------------------------------------------------
---------------------------
13
<PAGE> 19
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2030 Fund
-----------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 871,219 $ 1,572,222
Net realized gain (loss) on sale of
investments 1,921,383 2,562,661
Net change in unrealized appreciation of
investments (1,597,861) 13,548,933
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS 1,194,741 17,683,816
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Retail class (777,668) (1,155,658)
Institutional class (112,560) (341,075)
From net realized gain on sales of
investments
Retail class (222,496) (1,623,091)
Institutional class (68,652) (461,729)
CAPITAL SHARES TRANSACTIONS:
Proceeds from shares sold - Retail class 15,600,170 41,344,184
Reinvestment of dividends - Retail class 992,311 2,763,089
Cost of shares redeemed - Retail class (15,175,878) (13,327,263)
NET INCREASE IN NET ASSETS RESULTING FROM
CAPITAL SHARE TRANSACTIONS - RETAIL CLASS 1,416,603 30,780,010
Proceeds from shares sold - Institutional
class 1,939,792 17,149,303
Reinvestment of dividends - Institutional
class 181,212 802,805
Cost of shares redeemed - Institutional
class (27,391,110) (5,211,092)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - INSTITUTIONAL CLASS (25,270,106) 12,741,016
INCREASE (DECREASE) IN NET ASSETS (23,840,138) 57,623,289
NET ASSETS:
Beginning net assets 108,458,227 50,834,938
ENDING NET ASSETS $ 84,618,089 $ 108,458,227
SHARES ISSUED AND REDEEMED:
Shares sold - Retail class 1,257,833 3,605,187
Shares issued in reinvestment of
dividends - Retail class 80,363 235,448
Shares redeemed - Retail class (1,220,056) (1,157,351)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - RETAIL CLASS 118,140 2,683,284
Shares sold - Institutional class 156,936 1,489,943
Shares issued in reinvestment of dividends -
Institutional class 14,911 68,155
Shares redeemed - Institutional class (2,211,742) (450,828)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - INSTITUTIONAL CLASS (2,039,895) 1,107,270
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---------------------------
14
<PAGE> 20
<TABLE>
<CAPTION>
LifePath 2040 Fund
- -------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- -------------------------------------
<S> <C>
$ 1,074,774 $ 1,584,491
6,680,725 4,689,987
(4,487,158) 22,210,329
3,268,341 28,484,807
(918,630) (1,207,755)
(98,848) (284,559)
(646,879) (3,228,065)
(149,742) (704,661)
36,278,290 94,087,204
1,559,085 4,438,069
(26,420,263) (31,629,443)
11,417,112 66,895,830
1,916,852 27,615,270
248,589 989,218
(35,665,509) (9,148,939)
(33,500,068) 19,455,549
(20,628,714) 109,411,146
176,123,738 66,712,592
$ 155,495,024 $ 176,123,738
2,792,688 7,936,980
121,226 363,610
(2,033,977) (2,657,939)
879,937 5,642,651
148,569 2,317,045
19,668 80,888
(2,763,324) (763,114)
(2,595,087) 1,634,819
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
15
<PAGE> 21
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2000 Fund
-----------------------------------------------------------------------
(Unaudited)
Six Months Ended Year Ended Year Ended
August 31, 1996 Feb. 29, 1996 Feb. 28, 1995
---------------------- ----------------------- ----------------------
Institutional Retail Institutional Retail Institutional Retail
Class Class Class Class Class Class
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $10.67 $ 10.64 $ 9.94 $ 9.92 $10.00 $ 10.00
------ ------- ------ -------- ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 1.16 0.21 0.42 0.40 0.35 0.34
Net realized and
unrealized
gain/(loss) on
investments (1.10) (0.18) 0.86 0.86 (0.12) (0.14)
------ ------- ------ -------- ------ -------
TOTAL FROM INVESTMENT
OPERATIONS 0.06 0.03 1.28 1.26 0.23 0.20
LESS DISTRIBUTIONS:
Dividends from net
investment income (1.12) (0.20) (0.42) (0.41) (0.28) (0.27)
Distributions from net
realized capital
gains (0.03) (0.03) (0.13) (0.13) (0.01) (0.01)
------ ------- ------ -------- ------ -------
TOTAL FROM
DISTRIBUTIONS (1.15) (0.23) (0.55) (0.54) (0.29) (0.28)
------ ------- ------- -------- ------ -------
NET ASSET VALUE, END OF
PERIOD $ 9.58 $ 10.44 $ 10.67 $ 10.64 $ 9.94 $ 9.92
====== ======= ======== ======== ======= =======
TOTAL RETURN (NOT
ANNUALIZED) 0.46% 0.34% 13.19% 12.98% 2.38% 2.10%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $ 12 $87,537 $17,262 $100,070 $7,499 $54,617
Number of shares
outstanding,
end of period (000) 1 8,388 1,618 9,406 754 5,503
RATIOS TO AVERAGE NET
ASSETS
(ANNUALIZED):(1)
Ratio of expenses to
average net assets 0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
Ratio of net
investment income to
average net assets 3.98% 3.91% 4.23% 4.00% 4.89% 4.62%
Portfolio Turnover(2) -- -- -- -- -- --
Average commission
rate paid(2) -- -- -- -- -- --
</TABLE>
- ------------------------------------------------------------------------------
(1) These ratios include expenses charged to the Master Portfolio.
(2) The Funds invest all of their assets in the corresponding Master Portfolio,
hence no securities-related activity.
- ---------------------------
16
<PAGE> 22
<TABLE>
<CAPTION>
LifePath 2010 Fund
----------------------------------------------------------------------
(Unaudited)
Six Months Ended Year Ended Year Ended
August 31, 1996 Feb. 29, 1996 Feb. 28, 1995
---------------------- ---------------------- ----------------------
Institutional Retail Institutional Retail Institutional Retail
Class Class Class Class Class Class
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$11.47 $ 11.42 $ 10.02 $ 9.99 $ 10.00 $ 10.00
------ ------- ------- ------- ------- -------
1.40 0.17 0.34 0.32 0.33 0.34
(1.29) (0.07) 1.60 1.58 0.01 (0.02)
------ ------- ------- ------- ------- -------
0.11 0.10 1.94 1.90 0.34 0.32
(1.39) (0.16) (0.35) (0.33) (0.27) (0.28)
(0.02) (0.02) (0.14) (0.14) (0.05) (0.05)
------ ------- ------- ------- ------- -------
(1.41) (0.18) (0.49) (0.47) (0.32) (0.33)
------ ------- ------- ------- ------- -------
$10.17 $ 11.34 $ 11.47 $ 11.42 $ 10.02 $ 9.99
====== ======= ======= ======= ======= =======
1.07% 0.88% 19.69% 19.40% 3.53% 3.31%
$ 44 $71,246 $34,458 $67,178 $13,028 $36,764
4 6,281 3,004 5,883 1,300 3,679
0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
3.08% 3.06% 3.27% 3.06% 4.61% 4.40%
-- -- -- -- -- --
-- -- -- -- -- --
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
17
<PAGE> 23
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2020 Fund
------------------------------------------------------------------------
(Unaudited)
Six Months Ended Year Ended Year Ended
August 31, 1996 Feb. 29, 1996 Feb. 28, 1995
----------------------- ----------------------- ----------------------
Institutional Retail Institutional Retail Institutional Retail
Class Class Class Class Class Class
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.98 $ 11.98 $ 10.17 $ 10.17 $ 10.00 $ 10.00
------ -------- ------- -------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.81 0.15 0.29 0.27 0.30 0.28
Net realized and
unrealized
gain/(loss) on
investments (0.66) (0.03) 2.03 2.03 0.12 0.12
------ -------- ------- -------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS 0.15 0.12 2.32 2.30 0.42 0.40
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.81) (0.14) (0.30) (0.28) (0.25) (0.23)
Distributions from
net realized
capital gains (0.03) (0.04) (0.21) (0.21) 0.00 0.00
------ -------- ------- -------- ------- -------
TOTAL FROM
DISTRIBUTIONS (0.84) (0.18) (0.51) (0.49) (0.25) (0.23)
------ -------- ------- -------- ------- -------
NET ASSET VALUE, END
OF PERIOD $11.29 $ 11.92 $ 11.98 $ 11.98 $ 10.17 $ 10.17
====== ======== ======= ======== ======= =======
TOTAL RETURN (NOT
ANNUALIZED) 1.14% 0.96% 23.18% 22.94% 4.39% 4.12%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $61 $127,975 $40,570 $122,488 $16,618 $66,036
Number of shares
outstanding,
end of period (000) 5 10,733 3,385 10,224 1,634 6,494
RATIOS TO AVERAGE NET
ASSETS
(ANNUALIZED):(1)
Ratio of expenses to
average net assets 0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
Ratio of net
investment income
to average net
assets 2.44% 2.42% 2.68% 2.45% 3.88% 3.64%
Portfolio Turnover(2) -- -- -- -- -- --
Average commission
rate paid(2) -- -- -- -- -- --
</TABLE>
- ------------------------------------------------------------------------------
(1) These ratios include expenses charged to the Master Portfolio.
(2) The Funds invest all of their assets in the corresponding Master Portfolio,
hence no securities-related activity.
- ---------------------------
18
<PAGE> 24
<TABLE>
<CAPTION>
LifePath 2030 Fund
----------------------------------------------------------------------
(Unaudited)
Six Months Ended Year Ended Year Ended
August 31, 1996 Feb. 29, 1996 Feb. 28, 1995
---------------------- ---------------------- ----------------------
Institutional Retail Institutional Retail Institutional Retail
Class Class Class Class Class Class
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$12.37 $ 12.34 $ 10.18 $ 10.17 $10.00 $ 10.00
------ ------- ------- ------- ------ -------
0.36 0.12 0.23 0.21 0.29 0.26
(0.21) 0.01 2.47 2.45 0.14 0.13
------ ------- ------- ------- ------ -------
0.15 0.13 2.70 2.66 0.43 0.39
(0.36) (0.11) (0.24) (0.22) (0.25) (0.22)
(0.03) (0.03) (0.27) (0.27) 0.00 0.00
------ ------- ------- ------- ------ -------
(0.39) (0.14) (0.51) (0.49) (0.25) (0.22)
------ ------- ------- ------- ------ -------
$12.13 $ 12.33 $ 12.37 $ 12.34 $10.18 $ 10.17
====== ======= ======= ======= ====== =======
1.19% 1.11% 26.88% 26.53% 4.42% 4.03%
$ 218 $84,400 $25,447 $83,012 $9,682 $41,153
18 6,846 2,058 6,728 951 4,045
0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
1.97% 1.93% 2.15% 1.92% 3.59% 3.35%
-- -- -- -- -- --
-- -- -- -- -- --
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
19
<PAGE> 25
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2040 Fund
------------------------------------------------------------------------
(Unaudited)
Six Months Ended Year Ended Year Ended
August 31, 1996 Feb. 29, 1996 Feb. 28, 1995
----------------------- ----------------------- ----------------------
Institutional Retail Institutional Retail Institutional Retail
Class Class Class Class Class Class
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $12.86 $ 12.84 $ 10.37 $ 10.37 $10.00 $ 10.00
------ -------- ------- -------- ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.54 0.09 0.17 0.15 0.20 0.18
Net realized and
unrealized
gain/(loss) on
investments (0.30) 0.17 2.84 2.82 0.34 0.34
------ -------- ------- -------- ------ -------
TOTAL FROM INVESTMENT
OPERATIONS 0.24 0.26 3.01 2.97 0.54 0.52
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.53) (0.08) (0.18) (0.16) (0.17) (0.15)
Distributions from
net realized
capital gains (0.06) (0.06) (0.34) (0.34) 0.00 0.00
------ -------- ------- -------- ------ -------
TOTAL FROM
DISTRIBUTIONS (0.59) (0.14) (0.52) (0.50) (0.17) (0.15)
------ -------- ------- -------- ------ -------
NET ASSET VALUE, END
OF PERIOD $12.51 $ 12.96 $ 12.86 $ 12.84 $10.37 $ 10.37
====== ======== ======= ======== ====== =======
TOTAL RETURN (NOT
ANNUALIZED) 2.14% 2.01% 29.32% 28.91% 5.55% 5.26%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $ 18 $155,478 $33,386 $142,738 $9,976 $56,737
Number of shares
outstanding,
end of period (000) 1 11,994 2,596 11,114 962 5,472
RATIOS TO AVERAGE NET
ASSETS
(ANNUALIZED):(1)
Ratio of expenses to
average net assets 0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
Ratio of net
investment income
to average net
assets 1.41% 1.35% 1.53% 1.29% 2.61% 2.35%
Portfolio Turnover(2) -- -- -- -- -- --
Average commission
rate paid(2) -- -- -- -- -- --
</TABLE>
- ------------------------------------------------------------------------------
(1) These ratios include expenses charged to the Master Portfolio.
(2) The Funds invest all of their assets in the corresponding Master Portfolio,
hence no securities-related activity.
- ---------------------------
20
<PAGE> 26
NOTES TO THE FINANCIAL STATEMENTS
- ----------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING
POLICIES
ORGANIZATION
Stagecoach Trust (the "Trust") is registered under the Investment Company Act of
1940, as amended, (the "1940 Act") as an open-end management investment company.
The Trust was organized as a Massachusetts business trust pursuant to an
Agreement and Declaration of Trust dated May 14, 1993. The Trust currently is
authorized to issue ten separate funds, of which the following commenced
operations on March 1, 1994: the LifePath 2000, LifePath 2010, LifePath 2020,
LifePath 2030 and LifePath 2040 Funds (each, a "Fund," collectively, the
"Funds"). The following significant accounting policies are consistently
followed by the Trust in the preparation of its financial statements, and such
policies are in conformity with generally accepted accounting principles for
investment companies.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
Each Fund is authorized to issue two classes of shares, an Institutional Class
and a Retail Class. The two classes of shares differ principally in their
respective distribution fees. Shareholders of each class bear certain expenses
that pertain to that particular class. All shareholders bear the common expenses
of the Fund and earn income from the portfolio, pro rata based on the average
daily net assets of each class. Dividends are declared separately for each
class. Gains are allocated to each class pro rata based upon net assets of each
class on the date of distribution. Neither class has preferential dividend
rights; differences in per share dividend rates are generally due to differences
in separate class expenses, including distribution fees and from the weightings
of pro rata income and gain allocations.
INVESTMENT POLICY AND SECURITY VALUATION
Each Fund invests all of its assets in a separate series (each, a "Master
Portfolio") of Master Investment Portfolio ("MIP"). Each Master Portfolio has
the same investment objective as the Fund bearing the corresponding name. The
value of each Fund's invest-
---------------------------
21
<PAGE> 27
NOTES TO THE FINANCIAL STATEMENTS
ment in its corresponding Master Portfolio reflects that Fund's interest in the
net assets of that Master Portfolio (78.48%, 61.41%, 68.26%, 74.30%, and 80.78%)
for the LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath
2040 Funds, respectively, at August 31, 1996. The Master Portfolios invest in a
wide range of U.S. and foreign equity, debt securities and money market
instruments. Each Master Portfolio follows an asset allocation strategy among
three broad investment classes: equity and debt securities of issuers located
throughout the world and cash in the form of money market instruments. The
equity securities of the Master Portfolios are valued at their last sale price
on the primary securities exchange or national securities market on which such
securities are traded. Securities not listed on an exchange or national
securities market, or securities in which there were no transactions, are valued
at their most recent bid prices. Debt securities maturing in 60 days or less are
valued at amortized cost, which approximates market value. Debt securities,
other than those maturing in 60 days or less, are valued at the latest quoted
bid price. Any securities, restricted securities or other assets for which
recent market quotations are not readily available are valued at fair value as
determined in good faith in accordance with policies approved by MIP's Board of
Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Securities transactions are accounted for by each Master Portfolio on the date
the securities are purchased or sold (trade date). Revenue is recognized by each
Master Portfolio as follows: Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized as required by the Internal Revenue
Code of 1986 (the "Code").
All net investment income and realized and unrealized capital gains and losses
of each Master Portfolio are allocated pro rata among its respective Funds.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Each Fund declares and pays dividends from net investment income quarterly. Each
Fund makes distributions from net realized securities gains, if any, once a
year.
FEDERAL INCOME TAXES
Each Fund is treated as a separate entity for federal income tax purposes. It is
the policy of each Fund to continue to qualify as a regulated investment company
by complying with the provisions applicable to investment companies,
- ---------------------------
22
<PAGE> 28
NOTES TO THE FINANCIAL STATEMENTS
as set forth in the Code, and to make distributions of investment company
taxable income and net capital gain (after reduction for capital loss
carryforwards) sufficient to relieve it from all, or substantially all, federal
income taxes. Accordingly, no provision for federal income taxes was required.
The LifePath 2020 Fund has a capital loss carryforward of $179,977 which will
expire in the year 2002. The LifePath 2030 Fund has a capital loss carryforward
of $311,585 which will expire in the year 2002, and the LifePath 2040 Fund has a
capital loss carryforward of $32,220 which will expire in the year 2002. No
capital gain distributions shall be made in any of the Funds until the
respective capital loss carryforward has been fully utilized or expires.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the Funds' administrator, sponsor and distributor,
has incurred all expenses in connection with the Funds' organization and initial
registration.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has entered into an agreement on behalf of the Funds with Wells Fargo
Bank ("WFB") to provide transfer and dividend disbursing agency services. For
providing the transfer and dividend disbursing agency services, the Trust has
agreed to pay a monthly fee at the annual rate of 0.10% of each Fund's average
daily net assets.
On behalf of the Funds, the Trust may enter into servicing agreements with
certain financial institutions, securities dealers and other industry
professionals (collectively, "Shareholder Servicing Agents") for the provision
of certain services to Fund shareholders. For the services provided pursuant to
a Shareholder Servicing Agreement, the Trust may pay each Shareholder Servicing
Agent a monthly fee at the annual rate of up to 0.20% of the average daily value
of each Fund's shares beneficially owned by customers of the Shareholder
Servicing Agent. The Trust has entered into a Shareholder Servicing Agreement
with WFB.
The Trust has entered into an agreement with Stephens on behalf of the Retail
Class of shares for distribution services and has adopted a Plan of Distribution
pursuant to Rule 12b-1 under the 1940 Act, whereby Stephens may be compensated
for services rendered and reimbursed for expenses incurred. For providing these
services, Stephens is entitled to receive monthly payments at an annual rate of
0.25% of the average daily net assets of the Retail Class of shares.
The Trust has also entered into an administration agreement on behalf of the
Funds with Stephens whereby Stephens has agreed to
---------------------------
23
<PAGE> 29
NOTES TO THE FINANCIAL STATEMENTS
provide administrative services to the Funds. For providing administrative
services, the Trust pays Stephens a monthly fee at the annual rate of 0.10% of
each Fund's average daily net assets.
Under the Administration Agreement, Stephens has agreed to assume the operating
expenses of each LifePath Fund and a pro rata share of the operating expenses of
each LifePath Master Portfolio, except for extraordinary expenses and those fees
and expenses payable pursuant to the various service contracts described above
which will be borne by the Trust and those expenses specifically assumed by WFB
under its contracts with the Funds.
Certain officers and directors of the Trust are also officers of Stephens. At
August 31, 1996, these officers of Stephens collectively owned less than 1% of
the Funds' outstanding shares.
3. CAPITAL SHARE TRANSACTIONS
As of August 31, 1996, the Trust has authorized an unlimited number of shares of
beneficial interest. Transactions in capital shares for each Fund are disclosed
in detail in the Statements of Changes in Net Assets.
4. TRANSFER OF LIFEPATH INSTITUTIONAL SHARE CLASS
At a meeting held in October 1995, the Board of Directors of MasterWorks Funds
Inc. (formerly Stagecoach Inc.) approved the establishment of five LifePath
Funds (the "New LifePath Funds"). The New LifePath Funds were created to
supersede the five LifePath Institutional class shares of Stagecoach Trust, and
are feeder funds in a master-feeder structure that invest in corresponding
master series of Master Investment Portfolio. Net assets attributable to each
LifePath Institutional class of shares were transferred to the corresponding New
LifePath Funds on March 26, 1996 as follows:
LifePath 2000 $17,280,877
LifePath 2010 $34,620,440
LifePath 2020 $37,028,509
LifePath 2030 $25,785,162
LifePath 2040 $33,520,758
- ---------------------------
24
<PAGE> 30
(THIS PAGE INTENTIONALLY LEFT BLANK)
---------------------------
25
<PAGE> 31
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS
PERCENT OF NET ASSETS 22.52% 47.24%
LARGE CAP GROWTH STOCKS
PERCENT OF NET ASSETS 3.55% 14.51%
AT & T Corp 2,745 $ 144,113 12,451 $ 653,678
Abbott Laboratories 1,261 56,773 6,046 272,694
Airtouch Communications+ 938 25,795 3,801 104,528
Albertson's Inc 344 14,577 2,000 84,750
Alco Standard Corp 88 3,839 1,030 44,934
Allergan Inc 62 2,410 507 19,710
ALZA Corp+ 118 3,230 587 16,069
American Home Products Corp 988 58,539 4,938 292,577
American International Group Inc 809 76,855 3,673 348,935
Ameritech Corp 883 45,585 4,300 221,988
Amgen Inc+ 516 30,057 2,096 122,092
Andrew Corp+ 4 178 415 18,468
Anheuser-Busch Inc 366 27,725 1,944 147,258
Armco Inc+ 207 906 975 4,266
Autodesk Inc 84 1,932 330 7,590
Automatic Data Processing 346 14,402 2,274 94,655
Avery Dennison Corp 48 2,454 395 20,194
Avon Products Inc 154 7,373 1,090 52,184
Bally Entertainment Corp+ 107 2,916 404 11,009
Barrick Gold Corp 507 13,689 2,870 77,490
Bay Networks Inc+ 343 9,433 1,480 40,700
Becton Dickinson & Co 354 14,470 896 36,624
Block (H & R) Inc 161 4,025 752 18,800
Boston Scientific Corp+ 343 15,735 1,376 63,124
Bristol-Myers Squibb Co 871 76,430 3,882 340,646
CPC International Inc 187 12,880 1,076 74,110
CUC International Inc+ 210 7,219 1,955 67,203
Cabletron Systems Inc+ 50 3,050 510 31,110
Campbell Soup Co 440 28,655 1,945 126,668
Ceridian Corp+ 27 1,151 524 22,336
Cisco Systems Inc+ 1,598 84,295 4,958 261,535
Clorox Co 45 4,213 366 34,267
Coca-Cola Co 4,132 206,600 19,282 964,100
Colgate-Palmolive Co 183 14,869 1,121 91,081
Comcast Corp Class A 393 6,337 1,799 29,009
Computer Associates International
Inc+ 778 40,845 2,830 148,575
Computer Sciences Corp+ 38 2,660 459 32,130
ConAgra Inc 334 14,070 1,940 81,723
CoreStates Financial Corp 554 22,922 1,664 68,848
Corning Inc 361 13,447 1,825 67,981
Crown Cork & Seal Co+ 230 10,753 975 45,581
</TABLE>
- ---------------------------
26
<PAGE> 32
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
65.12% 78.32% 89.81%
20.27% 24.86% 34.24%
26,207 $ 1,375,868 19,638 $ 1,030,995 44,308 $ 2,326,170
12,809 577,889 9,652 435,235 22,379 1,009,725
8,112 223,080 6,122 168,355 13,729 377,548
4,108 174,077 3,166 134,159 6,982 295,862
2,148 93,707 1,584 69,102 3,948 172,232
1,101 42,801 790 30,711 2,003 77,867
1,405 38,462 1,107 30,304 2,557 69,998
10,330 612,053 7,746 458,951 17,644 1,045,407
7,738 735,110 5,828 553,660 13,242 1,257,990
9,073 468,394 6,776 349,811 15,602 805,453
4,288 249,776 3,294 191,876 7,328 426,856
1,003 44,634 763 33,954 1,828 81,346
4,096 310,272 3,061 231,871 7,150 541,613
1,938 8,479 1,305 5,709 3,424 14,980
768 17,664 653 15,019 1,505 34,615
4,746 197,552 3,570 148,601 8,014 333,583
855 43,712 715 36,554 1,715 87,679
2,228 106,666 1,680 80,430 4,266 204,235
842 22,945 664 18,094 892 24,307
5,776 155,952 4,421 119,367 10,935 295,245
3,025 83,188 2,291 63,003 5,777 158,868
2,086 85,265 1,518 62,048 2,464 100,716
1,791 44,775 1,330 33,250 3,283 82,075
2,863 131,340 2,191 100,512 5,406 248,000
8,228 722,007 6,169 541,330 13,820 1,212,705
2,371 163,303 1,839 126,661 4,012 276,327
3,232 111,100 2,375 81,641 5,170 177,719
1,190 72,590 877 53,497 2,125 129,625
4,042 263,235 3,025 197,003 6,867 447,213
1,088 46,376 835 35,592 2,080 88,660
10,480 552,820 7,890 416,198 17,710 934,203
798 74,713 635 59,452 1,578 147,740
40,704 2,035,200 30,590 1,529,500 68,794 3,439,700
2,393 194,431 1,832 148,850 3,998 324,838
3,924 63,275 3,050 49,181 7,568 122,034
5,884 308,910 4,466 234,465 9,983 524,108
970 67,900 671 46,970 1,778 124,460
4,012 169,006 3,013 126,923 6,741 283,965
3,581 148,164 2,765 114,402 4,347 179,857
3,719 138,533 2,910 108,398 4,484 167,029
2,112 98,736 1,616 75,548 2,479 115,893
</TABLE>
---------------------------
27
<PAGE> 33
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Dayton-Hudson Corp 525 $ 18,113 1,635 $ 56,408
Deluxe Corp 220 8,415 639 24,442
Disney (Walt) Co 1,244 70,908 5,279 300,903
Dover Corp 100 4,388 892 39,137
DuPont (E I) de Nemours 896 73,584 4,348 357,080
Dun & Bradstreet Corp 223 12,850 1,360 78,370
EMC Corp+ 458 8,817 1,720 33,110
Eastman Kodak Co 629 45,603 2,681 194,373
Ecolab Inc 60 1,823 506 15,370
Emerson Electric Co 368 30,820 1,726 144,553
Engelhard Corp 214 4,360 1,065 21,699
First Bank System Inc 266 17,091 1,090 70,033
First Data Corp 422 32,916 1,712 133,536
Fluor Corp 119 7,616 637 40,768
Foster Wheeler Corp -- -- 260 11,213
Freeport-McMoRan Copper & Gold Inc
Class A 38 1,069 28 788
Freeport McMoRan Copper & Gold Inc
Class B 372 10,928 1,487 43,681
GTE Corp 1,726 67,961 7,543 297,006
Gannett Co Inc 183 12,261 1,120 75,040
Gap Inc 358 12,530 2,238 78,330
General Electric Co 2,722 226,266 12,891 1,071,564
General Instrument Corp+ 200 5,475 900 24,638
General Mills Inc 203 11,165 1,215 66,825
Gillette Co 824 52,530 3,440 219,300
Grace (W R) & Co 139 9,122 783 51,384
Green Tree Financial Inc 200 6,950 1,100 38,225
HFS Inc 1,400 83,825 1,200 71,850
Halliburton Co 275 14,472 868 45,679
Harcourt General Inc 186 8,905 580 27,768
Harland (John H) Co 53 1,332 276 6,935
Harrah's Entertainment Inc+ 154 2,926 822 15,618
Heinz (H J) Co 474 14,931 2,819 88,799
Hercules Inc 188 9,353 853 42,437
Hershey Foods Corp 229 19,952 623 54,279
Hewlett Packard Co 1,772 77,525 7,900 345,625
Hilton Hotels Corp 134 14,321 356 38,048
Home Depot Inc 935 49,672 3,677 195,341
Homestake Mining Co 166 2,739 980 16,170
Illinois Tool Works Inc 174 12,028 965 66,706
Intel Corp 1,416 113,015 6,402 510,960
International Flavors & Fragrances 171 7,353 863 37,109
Interpublic Group Cos Inc 82 3,711 576 26,064
</TABLE>
- ---------------------------
28
<PAGE> 34
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
3,502 $ 120,819 2,595 $ 89,528 4,281 $ 147,695
1,427 54,583 1,060 40,545 1,588 60,741
11,104 632,928 8,273 471,561 19,173 1,092,861
1,918 84,152 1,426 62,566 3,604 158,126
9,185 754,318 6,838 561,571 15,466 1,270,145
2,754 158,699 2,121 122,223 5,191 299,131
3,797 73,092 2,607 50,185 7,080 136,290
5,590 405,275 4,207 305,008 9,709 703,903
1,132 34,385 859 26,092 2,022 61,418
3,679 308,116 2,772 232,155 6,219 520,841
2,312 47,107 1,897 38,651 4,510 91,891
2,289 147,068 1,784 114,622 3,920 251,860
3,603 281,034 2,691 209,898 6,179 481,962
1,326 84,864 1,063 68,032 2,588 165,632
729 31,438 573 24,711 1,241 53,518
52 1,463 38 1,069 236 6,638
3,218 94,529 2,492 73,203 6,352 186,590
15,867 624,763 11,961 470,964 27,301 1,074,977
2,312 154,904 1,728 115,776 3,841 257,347
4,676 163,660 3,642 127,470 7,964 278,740
27,137 2,255,763 20,376 1,693,755 45,772 3,804,798
2,100 57,488 1,400 38,325 3,900 106,763
2,611 143,605 1,947 107,085 4,951 272,305
7,222 460,403 5,404 344,505 12,376 788,970
1,572 103,163 1,239 81,309 3,038 199,369
2,300 79,925 1,700 59,075 4,300 149,425
2,000 119,750 1,400 83,825 2,800 167,650
1,925 101,303 1,468 77,254 2,263 119,090
1,208 57,833 892 42,705 1,427 68,318
614 15,427 405 10,176 604 15,176
1,748 33,212 1,390 26,410 3,210 60,990
5,978 188,307 4,493 141,530 10,205 321,458
1,810 90,048 1,338 66,566 3,493 173,777
1,275 111,084 990 86,254 1,523 132,691
16,628 727,475 12,524 547,925 28,632 1,252,650
825 88,172 563 60,171 905 96,722
7,745 411,453 5,813 308,816 13,557 720,216
2,576 42,504 1,866 30,789 4,615 76,148
1,971 136,245 1,464 101,199 3,588 248,021
13,370 1,067,093 10,026 800,200 22,658 1,808,392
1,865 80,195 1,363 58,609 3,437 147,791
1,277 57,784 980 44,345 2,406 108,872
</TABLE>
---------------------------
29
<PAGE> 35
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Johnson & Johnson 2,226 $ 109,631 10,272 $ 505,896
Kellogg Co 369 24,908 1,627 109,823
Kimberly-Clark Corp 531 41,617 2,222 174,149
Kroger Co+ 165 6,992 908 38,477
Lilly (Eli) & Co 876 50,151 4,230 242,168
MBNA Corp 277 8,414 1,711 51,972
MGIC Investment Corp 400 25,350 500 31,688
Marsh & McLennan Companies Inc 80 7,440 599 55,707
Marriott International 123 6,750 1,013 55,588
Mattel Inc 308 8,124 2,103 55,467
McDonald's Corp 1,190 55,186 5,384 249,683
McGraw-Hill Inc 72 2,952 716 29,356
Medtronic Inc 400 20,800 1,784 92,768
Merck & Co Inc 1,972 129,413 9,503 623,634
Meredith Corp 50 2,150 198 8,514
Microsoft Corp+ 959 117,478 4,642 568,645
Micron Electronics Inc+ -- -- 100 1,588
Millipore Corp 50 1,913 294 11,246
Minnesota Mining & Manufacturing Co 767 52,731 3,260 224,125
Monsanto Co 915 29,394 4,500 144,563
Newell Co 202 6,287 1,215 37,817
Newmont Mining Corp 124 6,557 718 37,964
Nike Inc Class B 260 28,080 1,100 118,800
Northern Telecom Ltd 440 21,945 1,997 99,600
Oracle Systems Corp+ 1,293 45,578 5,028 177,237
Oryx Energy Co+ 245 4,288 765 13,388
Owens Corning Fiberglass Corp 26 946 423 15,387
PPG Industries Inc 348 17,183 1,481 73,124
Pacific Telesis Group 664 21,497 3,264 105,672
Pall Corp 78 1,833 894 21,009
Pep Boys-Manny Moe & Jack 57 1,910 503 16,851
Pepsico Inc 2,598 74,693 12,126 348,623
Perkin-Elmer Corp 27 1,401 324 16,808
Pfizer Inc 1,070 75,970 4,932 350,172
Philip Morris Co Inc 1,376 123,496 6,440 577,990
Pioneer Hi Bred International Inc 132 7,277 674 37,154
Placer Dome Inc 292 7,008 1,799 43,176
Praxair Inc 161 6,621 1,177 48,404
Procter & Gamble Co 1,123 99,807 5,347 475,215
Quaker Oats Co 136 4,471 974 32,020
Ralston-Purina Group 151 9,438 818 51,125
Raychem Corp 125 8,578 322 22,097
Rubbermaid Inc 206 5,459 1,219 32,304
SBC Communication Inc 1,002 46,718 4,756 221,749
</TABLE>
- ---------------------------
30
<PAGE> 36
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
21,770 $ 1,072,173 16,362 $ 805,829 37,324 $ 1,838,207
3,479 234,833 2,624 177,120 6,016 406,080
4,581 359,036 3,461 271,256 7,850 615,244
2,053 86,996 1,596 67,631 3,904 165,432
8,950 512,388 6,790 388,728 15,502 887,490
3,655 111,021 2,804 85,172 7,006 212,807
700 44,363 600 38,025 800 50,700
1,225 113,925 857 79,701 2,345 218,085
2,041 112,000 1,542 84,617 3,795 208,251
4,550 120,006 3,360 88,620 8,698 229,410
11,418 529,510 8,594 398,547 19,655 911,501
1,656 67,896 1,306 53,546 3,144 128,904
3,838 199,576 2,832 147,264 6,408 333,216
19,988 1,311,713 15,010 985,031 33,790 2,217,469
460 19,780 344 14,792 868 37,324
9,693 1,187,393 7,304 894,740 16,409 2,010,103
-- -- -- -- 300 4,763
784 29,988 572 21,879 1,420 54,315
6,826 469,288 5,112 351,450 11,771 809,256
9,620 309,043 7,250 232,906 16,240 521,710
2,687 83,633 2,039 63,464 4,956 154,256
1,594 84,283 1,246 65,882 2,913 154,025
2,344 253,152 1,750 189,000 2,784 300,672
4,204 209,675 3,150 157,106 4,964 247,580
10,703 377,281 8,011 282,388 18,506 652,337
1,880 32,900 1,379 24,133 3,339 58,433
910 33,101 631 22,953 1,575 57,291
3,128 154,445 2,344 115,735 3,750 185,156
6,935 224,521 5,231 169,354 8,385 271,464
1,917 45,050 1,375 32,313 3,580 84,130
1,077 36,080 798 26,733 1,181 39,564
25,510 733,413 19,242 553,208 43,254 1,243,553
686 35,586 534 27,701 1,376 71,380
10,416 739,536 7,782 552,522 17,766 1,261,386
13,539 1,215,125 10,208 916,168 22,851 2,050,877
1,334 73,537 1,016 56,007 2,640 145,530
3,946 94,704 2,947 70,728 7,466 179,184
2,520 103,635 1,948 80,112 4,728 194,439
11,214 996,644 8,427 748,950 18,880 1,677,960
2,288 75,218 1,755 57,696 4,247 139,620
1,744 109,000 1,290 80,625 3,292 205,750
710 48,724 522 35,822 1,369 93,948
2,570 68,105 1,886 49,979 4,916 130,274
9,959 464,338 7,505 349,921 16,832 784,792
</TABLE>
---------------------------
31
<PAGE> 37
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
St Jude Medical Inc+ 48 $ 1,722 578 $ 20,736
Sara Lee Corp 913 28,760 3,752 118,188
Schering-Plough Corp 676 37,772 2,896 161,814
Schlumberger Ltd 427 36,028 1,909 161,072
Seagate Technology Inc+ 1,318 63,264 1,100 52,800
Sears Roebuck & Co 591 26,004 3,068 134,992
Shared Medical System Corp 40 2,185 138 7,538
Shoney's Inc+ 97 885 170 1,551
Southwest Airlines Co 175 4,003 1,139 26,055
Sprint Corp 677 27,503 3,357 136,378
Stanley Works 258 7,095 652 17,930
Sun Microsystems Inc+ 278 15,116 1,466 79,714
Sysco Corp 248 7,967 1,409 45,264
TJX Companies Inc 178 5,696 650 20,800
Tele-Communication Inc Class A+ 1,062 15,797 5,027 74,777
Tellabs Inc+ 100 6,338 700 44,363
3Com Corp+ 1,700 79,475 1,300 60,775
Time Warner Inc 763 25,465 3,035 101,293
Tribune Co 68 4,888 438 31,481
Trinova Corp 50 1,569 223 6,997
Tyco International Inc 366 15,464 1,150 48,588
UST Inc 234 7,020 1,643 49,290
USAir Group Inc+ 129 2,306 451 8,062
Wal Mart Stores Inc 3,702 98,103 17,778 471,117
Walgreen Co 380 12,540 1,912 63,096
Warner Lambert Co 518 30,821 2,098 124,831
Wells Fargo & Co 152 37,810 759 188,801
Westinghouse Electric Corp 594 9,727 3,318 54,332
Whitman Corp 60 1,343 801 17,922
Winn-Dixie Stores Inc 160 5,500 1,200 41,250
WorldCom Inc+ 616 12,936 2,960 62,160
Wrigley (Wm) Jr Co 179 9,688 895 48,442
Xerox Corp 571 31,334 2,453 134,608
------------ ------------
TOTAL LARGE CAP GROWTH STOCKS
- VALUE $ 4,317,587 $ 19,204,144
- COST $ 3,627,929 $ 16,309,053
LARGE CAP VALUE STOCKS
PERCENT OF NET ASSETS 3.24% 14.19%
AMR Corp+ 183 $ 15,006 678 $ 55,596
Advanced Micro Devices+ 344 4,386 1,083 13,808
Aetna Inc 318 21,028 1,239 81,929
Ahmanson (H F) & Co 180 4,545 898 22,675
Air Products & Chemicals Inc 175 9,581 868 47,523
</TABLE>
- ---------------------------
32
<PAGE> 38
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,225 $ 43,947 910 $ 32,646 2,200 $ 78,925
7,887 248,441 5,933 186,890 13,305 419,108
5,962 333,127 4,530 253,114 10,206 570,260
3,972 335,138 2,997 252,872 6,657 561,684
2,137 102,576 1,542 74,016 2,479 118,992
6,430 282,920 4,771 209,924 10,842 477,048
362 19,774 258 14,093 694 37,910
751 6,853 396 3,614 1,304 11,899
2,471 56,524 1,873 42,845 4,564 104,402
6,474 263,006 5,386 218,806 10,662 433,144
1,468 40,370 1,072 29,480 1,760 48,400
2,944 160,080 2,218 120,604 5,078 276,116
2,974 95,540 2,353 75,590 5,766 185,233
1,205 38,560 872 27,904 1,440 46,080
10,691 159,029 8,227 122,377 12,757 189,760
1,500 95,063 1,100 69,713 2,800 177,450
2,700 126,225 2,000 93,500 5,200 243,100
6,446 215,135 4,854 162,002 10,812 360,851
994 71,444 729 52,397 1,872 134,550
544 17,068 429 13,460 890 27,924
2,526 106,724 1,896 80,106 2,982 125,990
3,331 99,930 2,586 77,580 5,844 175,320
1,151 20,574 820 14,658 1,987 35,518
37,346 989,669 28,134 745,551 63,192 1,674,588
4,002 132,066 3,058 100,914 7,472 246,576
4,392 261,324 3,298 196,231 7,440 442,680
1,574 391,533 1,205 299,744 2,645 657,944
6,778 110,990 5,152 84,364 12,825 210,009
1,767 39,537 1,378 30,833 3,261 72,965
2,542 87,381 1,966 67,581 4,798 164,931
6,316 132,636 2,686 56,406 11,820 248,220
1,952 105,652 1,427 77,236 3,637 196,853
5,245 287,819 3,981 218,457 6,310 346,261
------------ ----------- ------------
$ 40,418,658 $30,384,702 $ 68,252,903
$ 33,826,070 $24,600,517 $ 58,193,689
20.17% 23.81% 25.30%
1,355 $ 111,110 1,088 $ 89,216 1,788 $ 146,616
2,395 30,536 1,706 21,752 2,533 32,296
2,599 171,859 1,902 125,770 4,147 274,220
1,932 48,783 1,481 37,395 2,432 61,408
1,900 104,025 1,367 74,843 2,264 123,954
</TABLE>
---------------------------
33
<PAGE> 39
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Alberto-Culver Co Class B 48 $ 1,986 222 $ 9,185
Alcan Aluminium Ltd 368 11,546 1,829 57,385
Alexander & Alexander Services 1 16 323 5,087
Allegheny Teledyne Inc+ 1,006 20,372 1,460 29,565
Allied Signal Inc 499 30,813 2,226 137,456
Allstate Corp 704 31,416 3,480 155,295
Alltel Corp 371 10,481 1,550 43,788
Aluminum Co of America 260 16,153 1,348 83,745
Amerada Hess Corp 138 7,021 782 39,784
Amdahl Corp+ 327 3,250 1,045 10,385
American Brands Inc 303 12,309 1,441 58,541
American Electric Power Inc 348 14,442 1,462 60,673
American Express Corp 841 36,794 3,814 166,863
American General Corp 350 12,775 1,685 61,503
American Greetings Corp Class A 180 4,635 601 15,476
American Stores Co 275 11,309 1,141 46,924
AMP Inc 230 8,798 1,760 67,320
Amoco Corp 844 58,236 3,939 271,791
Aon Corp 190 9,595 860 43,430
Apple Computer Inc 180 4,365 998 24,202
Applied Materials Inc+ 200 4,850 1,440 34,920
Archer-Daniels-Midland Co 904 16,047 4,356 77,327
Armstrong World Industries Inc 90 5,569 313 19,367
ASARCO Inc 123 3,183 321 8,306
Ashland Inc 156 5,792 502 18,637
Atlantic Richfield Corp 305 35,609 1,320 154,110
Baker Hughes Inc 271 8,198 1,088 32,912
Ball Corp 52 1,229 275 6,497
Baltimore Gas & Electric Co 281 7,306 1,172 30,472
Banc One Corp 750 28,781 3,578 137,306
Bank of Boston Corp 300 15,825 1,193 62,931
Bank of New York Inc 678 18,899 3,120 86,970
BankAmerica Corp 621 48,128 2,898 224,595
Bankers Trust N Y Corp 90 6,998 585 45,484
Bard (C R) Inc 41 1,271 462 14,322
Barnett Banks Inc 145 9,516 715 46,922
Battle Mountain Gold Co 378 3,213 790 6,715
Bausch & Lomb Inc 54 1,789 500 16,563
Baxter International Inc 409 18,252 2,144 95,676
Bell Atlantic Corp 689 38,756 3,438 193,388
BellSouth Corp 1,688 61,190 7,878 285,578
Bemis Co Inc 40 1,195 461 13,772
Beneficial Corp 142 8,005 463 26,102
Bethlehem Steel Corp+ 362 3,711 956 9,799
</TABLE>
- ---------------------------
34
<PAGE> 40
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
510 $ 21,101 334 $ 13,819 581 $ 24,039
3,877 121,641 2,775 87,066 4,701 147,494
881 13,876 551 8,678 872 13,734
2,980 60,345 2,145 43,436 3,167 64,132
4,821 297,697 3,490 215,508 6,059 374,143
7,560 337,365 5,486 244,813 9,433 420,948
3,238 91,474 2,323 65,625 3,938 111,249
2,954 183,517 2,121 131,767 3,755 233,279
1,545 78,602 1,133 57,641 1,883 95,798
2,218 22,041 1,545 15,353 2,348 23,333
3,021 122,728 2,176 88,400 3,885 157,828
3,129 129,854 2,332 96,778 3,911 162,307
8,189 358,269 5,989 262,019 10,625 464,844
3,567 130,196 2,533 92,455 4,301 156,987
1,347 34,685 979 25,209 1,575 40,556
2,555 105,074 1,813 74,560 3,053 125,555
3,706 141,755 2,648 101,286 4,659 178,207
8,483 585,327 6,092 420,348 11,014 759,966
1,860 93,930 1,325 66,913 2,350 118,675
2,063 50,028 1,511 36,642 2,736 66,348
3,082 74,739 2,232 54,126 3,830 92,878
9,300 165,072 6,675 118,479 11,353 201,509
634 39,229 477 29,514 698 43,189
784 20,286 520 13,455 958 24,788
1,102 40,912 772 28,661 1,371 50,898
2,722 317,794 1,962 229,064 3,601 420,417
2,392 72,358 1,782 53,906 2,982 90,206
547 12,923 337 7,962 597 14,104
2,493 64,818 1,877 48,802 2,979 77,454
7,676 294,567 5,517 211,715 9,502 364,639
2,674 141,054 1,896 100,014 3,777 199,237
6,606 184,142 4,776 133,131 8,320 231,920
6,234 483,135 4,502 348,905 8,115 628,913
1,395 108,461 1,002 77,906 1,636 127,199
1,013 31,403 690 21,390 1,788 55,428
1,615 105,984 1,174 77,044 1,965 128,953
1,345 11,433 1,295 11,008 2,845 24,183
965 31,966 670 22,194 1,259 41,704
4,651 207,551 3,393 151,413 5,737 256,014
7,415 417,094 5,418 304,763 9,362 526,613
16,882 611,973 12,278 445,078 21,672 785,610
887 26,499 682 20,375 1,634 48,816
895 50,456 630 35,516 1,058 59,645
1,926 19,742 1,438 14,740 2,283 23,401
</TABLE>
---------------------------
35
<PAGE> 41
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Beverly Enterprises 220 $ 2,255 891 $ 9,133
Biomet Inc+ 77 1,203 944 14,750
Black & Decker Corp 122 4,819 742 29,309
Boatmen's Bancshares Inc 257 13,685 1,251 66,616
Boeing Co 546 49,413 2,726 246,703
Boise Cascade Corp 67 2,261 414 13,973
Briggs & Stratton Corp 50 2,175 249 10,832
Brown-Forman Corp Class B 71 2,574 542 19,648
Browning-Ferris Industries Inc 388 9,894 1,674 42,687
Brunswick Corp 142 3,000 762 16,097
Burlington Northern Santa Fe 239 19,120 1,250 100,000
Burlington Resources Inc 227 9,676 1,044 44,501
CIGNA Corp 176 20,438 647 75,133
CSX Corp 318 16,099 1,654 83,734
Caliber System Inc 93 1,616 316 5,491
Carolina Power & Light Co 306 10,672 1,221 42,582
Case Corp -- -- 600 27,300
Caterpillar Inc 307 21,145 1,541 106,136
Centex Corp 55 1,767 228 7,325
Central & South West Corp 381 10,049 1,644 43,361
Champion International Corp 138 5,934 782 33,626
Charming Shoppes Inc+ 305 2,040 874 5,845
Chase Manhattan Bank 711 52,881 3,419 254,288
Chevron Corp 1,042 61,348 5,127 301,852
Chrysler Corp+ 1,290 37,571 5,948 173,236
Chubb Corp 258 11,449 1,346 59,729
Cincinnati Milacron Inc 59 1,165 282 5,570
Cinergy Corp 270 8,100 1,262 37,860
Circuit City Stores Inc 143 4,505 812 25,578
Citicorp 777 64,685 3,880 323,010
Coastal Corp 158 6,261 827 32,770
Columbia Gas System Inc+ 139 7,819 460 25,875
Columbia HCA Healthcare Corp 775 43,691 3,550 200,131
Comerica Inc 189 9,214 910 44,363
Community Psychiatric Centers+ 101 808 373 2,984
Compaq Computer Corp+ 342 19,366 2,124 120,272
Conrail Inc 90 6,131 585 39,853
Consolidated Edison Co 385 10,058 1,872 48,906
Consolidated Freightways 162 3,726 361 8,303
Consolidated Natural Gas Co 138 7,504 782 42,521
Cooper Industries Inc 178 7,209 895 36,248
Cooper Tire & Rubber Co 121 2,360 641 12,500
Coors (Adolph) Co Class B 67 1,340 265 5,300
Crane Co 52 2,080 275 11,000
</TABLE>
- ---------------------------
36
<PAGE> 42
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,850 $ 18,963 1,245 $ 12,761 2,040 $ 20,910
2,065 32,266 1,434 22,406 3,661 57,203
1,457 57,552 1,043 41,199 1,792 70,784
2,714 144,521 1,927 102,613 3,271 174,181
5,907 534,584 4,252 384,806 7,712 697,936
845 28,519 588 19,845 1,009 34,054
472 20,532 357 15,530 527 22,925
1,166 42,268 835 30,269 1,589 57,601
3,633 92,642 2,639 67,295 4,455 113,603
1,776 37,518 1,248 26,364 2,032 42,926
2,547 203,760 1,862 148,960 3,223 257,840
2,179 92,880 1,610 68,626 2,652 113,042
1,342 155,840 967 112,293 1,457 169,194
3,568 180,630 2,654 134,359 4,448 225,180
740 12,858 487 8,462 718 12,475
2,547 88,827 1,863 64,972 3,155 110,031
1,200 54,600 900 40,950 1,400 63,700
3,345 230,387 2,389 164,542 4,164 286,796
552 17,733 343 11,019 558 17,926
3,553 93,710 2,547 67,177 4,365 115,127
1,647 70,821 1,133 48,719 2,112 90,816
1,992 13,322 1,294 8,654 2,104 14,071
7,434 552,904 5,381 400,212 9,664 718,760
11,140 655,868 7,984 470,058 13,927 819,952
12,722 370,528 9,216 268,416 15,922 463,728
3,000 133,125 2,118 93,986 3,650 161,969
605 11,949 463 9,144 1,127 22,258
2,717 81,510 1,925 57,750 3,215 96,450
1,701 53,582 1,165 36,698 1,965 61,898
8,239 685,897 6,021 501,248 10,752 895,104
1,790 70,929 1,303 51,631 2,173 86,105
972 54,675 687 38,644 1,024 57,600
7,643 430,874 5,465 308,089 9,484 534,661
2,013 98,134 1,423 69,371 2,440 118,950
806 6,448 512 4,096 724 5,792
4,551 257,700 3,333 188,731 5,729 324,405
1,297 88,358 997 67,921 1,641 111,793
3,969 103,690 2,941 76,834 4,828 126,132
810 18,630 573 13,179 838 19,274
1,541 83,792 1,133 61,607 1,911 103,911
1,831 74,156 1,324 53,622 2,276 92,178
1,454 28,353 1,021 19,910 1,595 31,103
741 14,820 455 9,100 760 15,200
548 21,920 339 13,560 600 24,000
</TABLE>
---------------------------
37
<PAGE> 43
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ -------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Cummins Engine Co Inc 23 $ 865 320 $ 12,040
Cyprus Amax Minerals 236 5,015 781 16,596
DSC Communications Corp+ 171 5,087 963 28,649
DTE Energy Co 282 8,037 1,123 32,006
Dana Corp 148 4,440 816 24,480
Darden Restaurants Inc+ 203 1,624 1,315 10,520
Data General Corp+ 62 698 361 4,061
Dean Witter Discover & Co 324 16,200 1,364 68,200
Deere & Co 478 19,001 2,063 82,004
Delta Air Lines Inc 138 9,781 560 39,690
Digital Equipment Corp+ 267 10,313 1,184 45,732
Dillard Department Stores Inc Class A 173 5,882 866 29,444
Dominion Resources Inc 320 11,960 1,360 50,830
Donnelley (R R) & Sons Co 303 9,885 1,191 38,856
Dow Chemical Co 382 30,465 2,016 160,776
Dow Jones & Co Inc 150 5,869 818 32,004
Dresser Industries Inc 357 10,353 1,421 41,209
Duke Power Co 309 14,446 1,647 76,997
EG & G Inc 123 2,306 369 6,919
Eastern Enterprises 37 1,355 185 6,776
Eastman Chemical Co 120 6,705 638 35,648
Eaton Corp 83 4,596 577 31,951
Echlin Inc 153 4,667 500 15,250
Echo Bay Mines Ltd 371 3,687 1,065 10,583
Edison International 710 12,336 3,582 62,237
Enron Corp 336 13,482 1,994 80,009
Enserch Corp 142 2,858 538 10,827
Entergy Corp 379 9,617 1,764 44,762
Exxon Corp 2,026 164,866 9,798 797,312
FMC Corp+ -- -- 261 16,704
FPL Group Inc 283 12,523 1,445 63,941
Federal Express Corp+ 48 3,594 494 36,988
Federal Home Loan Mortgage Corp 341 30,136 1,405 124,167
Federal National Mortgage Assoc 1,816 56,296 8,648 268,088
Federated Department Stores Inc+ 400 13,850 1,600 55,400
Fifth Third Bancorp 194 10,282 845 44,785
First Chicago NBD Corp 534 22,762 2,473 105,412
First Union Corp 513 32,768 2,254 143,974
Fleet Financial Group Inc 405 16,909 2,133 89,053
Fleetwood Enterprises Inc 30 833 252 6,993
Fleming Co Inc 165 2,640 313 5,008
Ford Motor Co 1,930 64,655 9,322 312,287
Fruit of the Loom Inc Class A+ 114 3,164 650 18,038
GPU Inc 187 5,891 984 30,996
</TABLE>
- ---------------------------
38
<PAGE> 44
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
657 $ 24,720 518 $ 19,490 853 $ 32,094
1,668 35,445 1,129 23,991 1,806 38,378
1,960 58,310 1,457 43,346 2,433 72,382
2,469 70,367 1,834 52,269 2,980 84,930
1,712 51,360 1,278 38,340 2,149 64,470
2,711 21,688 2,047 16,376 3,051 24,408
695 7,819 462 5,198 711 7,999
2,835 141,750 2,025 101,250 3,486 174,300
4,488 178,398 3,259 129,545 5,409 215,008
966 68,465 672 47,628 1,675 118,716
2,558 98,803 1,872 72,306 3,196 123,446
1,898 64,532 1,365 46,410 2,283 77,622
3,021 112,910 2,219 82,935 3,770 140,904
2,658 86,717 1,923 62,738 3,187 103,976
4,269 340,453 3,062 244,195 5,501 438,705
1,644 64,322 1,189 46,520 1,989 77,820
3,074 89,146 2,216 64,264 3,753 108,837
3,462 161,849 2,490 116,408 4,256 198,968
885 16,594 615 11,531 964 18,075
325 11,903 279 10,218 382 13,991
1,327 74,146 964 53,864 1,786 99,793
1,284 71,102 987 54,655 1,614 89,375
1,065 32,483 774 23,607 1,156 35,258
2,362 23,472 1,618 16,079 2,422 24,069
7,604 132,120 5,494 95,458 9,504 165,132
4,242 170,210 3,142 126,073 5,350 214,669
1,271 25,579 899 18,092 1,413 28,437
3,901 98,988 2,792 70,847 4,850 123,069
21,094 1,716,524 15,326 1,247,153 26,475 2,154,403
630 40,320 473 30,272 1,293 82,752
3,079 136,246 2,309 102,173 3,871 171,292
957 71,655 651 48,744 1,241 92,920
3,044 269,014 2,193 193,806 3,724 329,109
18,540 574,740 13,412 415,772 24,276 752,556
3,500 121,188 2,600 90,025 4,100 141,963
1,776 94,128 1,229 65,137 2,152 114,056
5,419 230,985 3,927 167,388 6,689 285,119
4,854 310,049 3,551 226,820 5,921 378,204
4,438 185,287 3,236 135,103 5,540 231,295
616 17,094 464 12,876 1,083 30,053
708 11,328 482 7,712 699 11,184
19,943 668,091 14,497 485,650 26,059 872,977
1,354 37,574 944 26,196 1,580 43,845
2,057 64,796 1,468 46,242 2,544 80,136
</TABLE>
---------------------------
39
<PAGE> 45
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
General Dynamics Corp 61 $ 3,912 507 $ 32,511
General Motors Corp 1,280 63,680 6,036 300,291
General Re Corp 97 14,053 642 93,010
General Signal Corp 133 5,337 355 14,244
Genuine Parts Co 218 9,347 1,008 43,218
Georgia-Pacific Corp 133 9,892 676 50,278
Giant Food Inc Class A 154 5,178 501 16,846
Giddings & Lewis Inc 60 780 283 3,679
Golden West Financial 62 3,441 508 28,194
Goodrich (B F) Co 90 3,375 436 16,350
Goodyear Tire & Rubber Co 290 13,231 1,181 53,883
Grainger (W W) Inc 39 2,633 360 24,300
Great Atlantic & Pacific Tea Co 67 1,792 315 8,426
Great Lakes Chemical Corp 75 4,313 544 31,280
Great Western Financial Corp 257 6,361 1,050 25,988
Harnischfeger Industries Inc 108 4,077 419 15,817
Harris Corp 95 5,843 317 19,496
Hasbro Inc 129 4,741 724 26,607
Helmerich & Payne Inc 43 1,699 242 9,559
Honeywell Inc 229 13,311 1,046 60,799
Household International Inc 141 11,174 785 62,211
Houston Industries Inc 458 9,962 2,092 45,501
Humana Inc+ 300 5,625 1,300 24,375
ITT Hartford Group Inc+ 181 9,548 896 47,264
ITT Industries Inc 181 4,140 896 20,496
ITT Corp+ 181 9,638 896 47,712
Inco Ltd 179 5,773 897 28,928
Ingersoll-Rand Co 160 6,840 853 36,466
Inland Steel Industries Inc 97 1,673 346 5,969
Intergraph Corp+ 104 949 402 3,668
International Business Machines
Corp 869 99,392 4,284 489,983
International Paper Co 509 20,360 2,345 93,800
James River Corp 118 3,068 689 17,914
Jefferson-Pilot Corp 104 5,343 537 27,588
Johnson Controls Inc 96 6,768 319 22,490
Jostens Inc 5 93 301 5,606
K Mart Corp 784 7,840 3,812 38,120
Kaufman & Broad Home Corp 57 698 330 4,043
Kerr-McGee Corp 41 2,352 362 20,770
KeyCorp 423 16,973 1,834 73,589
King World Productions+ 100 3,525 312 10,998
Knight-Ridder Inc 190 6,413 732 24,705
LSI Logic Corp+ 272 5,950 1,060 23,188
Laidlaw Inc Class B 481 4,630 2,492 23,986
</TABLE>
- ---------------------------
40
<PAGE> 46
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,107 $ 70,986 809 $ 51,877 1,339 $ 85,863
12,887 641,128 9,268 461,083 16,092 800,577
1,332 192,974 1,020 147,773 1,764 255,560
863 34,628 593 23,794 901 36,153
2,103 90,166 1,488 63,798 2,620 112,333
1,507 112,083 1,123 83,523 1,893 140,792
996 33,491 740 24,883 1,185 39,846
673 8,749 464 6,032 627 8,151
1,008 55,944 691 38,351 1,195 66,323
928 34,800 662 24,825 1,040 39,000
2,632 120,085 1,872 85,410 3,161 144,221
866 58,455 676 45,630 1,547 104,423
641 17,147 505 13,509 778 20,812
1,112 63,940 839 48,243 1,423 81,823
2,314 57,272 1,741 43,090 2,803 69,374
794 29,974 537 20,272 1,460 55,115
644 39,606 509 31,304 714 43,911
1,526 56,081 1,064 39,102 1,826 67,106
467 18,447 315 12,443 508 20,066
2,179 126,654 1,515 88,059 2,669 155,136
1,680 133,140 1,162 92,089 2,124 168,327
4,460 97,005 3,282 71,384 5,522 120,104
2,800 52,500 2,000 37,500 5,100 95,625
2,034 107,294 1,430 75,433 2,434 128,394
2,034 46,528 1,430 32,711 2,534 57,965
2,034 108,311 1,430 76,148 2,434 129,611
2,030 65,468 1,433 46,214 2,430 78,368
1,887 80,669 1,330 56,858 2,175 92,981
906 15,629 642 11,075 982 16,940
922 8,413 611 5,575 937 8,550
9,279 1,061,286 6,643 759,793 11,638 1,331,096
5,030 201,200 3,694 147,760 6,252 250,080
1,447 37,622 1,013 26,338 1,823 47,398
1,232 63,294 858 44,080 1,504 77,268
746 52,593 516 36,378 821 57,881
685 12,758 457 8,512 1,184 22,052
8,199 81,990 5,881 58,810 9,712 97,120
644 7,889 443 5,427 764 9,359
868 49,802 579 33,220 1,081 62,022
3,990 160,099 2,895 116,162 4,930 197,816
608 21,432 476 16,779 698 24,605
1,650 55,688 1,174 39,623 2,006 67,703
2,242 49,044 1,612 35,263 4,120 90,125
5,361 51,600 3,702 35,632 5,980 57,558
</TABLE>
---------------------------
41
<PAGE> 47
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Limited Inc 416 $ 7,696 2,110 $ 39,035
Lincoln National Corp 140 6,195 860 38,055
Liz Claiborne Inc 88 3,058 583 20,259
Lockheed Martin Corp 302 25,406 1,608 135,273
Loews Corp 200 14,950 900 67,275
Longs Drug Stores Corp 37 1,480 185 7,400
Louisiana Land & Exploration Co 83 4,721 281 15,982
Louisiana-Pacific Corp 268 5,829 862 18,749
Lowe's Co Inc 200 7,225 1,413 51,045
Luby's Cafeterias Inc 45 1,063 219 5,174
MCI Communications 1,115 28,014 5,492 137,987
Mallinckrodt Group Inc 84 3,402 580 23,490
Manor Care Inc 159 5,466 505 17,359
Masco Corp 299 8,708 1,315 38,299
May Co Department Stores Co 435 19,793 1,945 88,498
Maytag Corp 162 3,260 806 16,221
McDermott International Inc 144 2,988 465 9,649
McDonnell Douglas Corp 364 18,246 1,798 90,125
Mead Corp 54 3,092 400 22,900
Mellon Bank Corp 263 14,564 1,043 57,756
Melville Corp 160 6,760 853 36,039
Mercantile Stores Co Inc 90 4,748 263 13,873
Merrill Lynch & Co Inc 308 18,865 1,366 83,668
Micron Technology Inc 276 6,279 1,658 37,720
Mobil Corp 698 78,700 3,123 352,118
Moore Corp Ltd 150 2,625 819 14,333
Morgan (J P) & Co Inc 289 25,324 1,501 131,525
Morgan Stanley Group 248 11,842 1,240 59,210
Morton International Inc 282 10,469 1,171 43,473
Motorola Inc 951 50,760 4,666 249,048
NACCO Industries Inc Class A 16 776 40 1,940
Nalco Chemical Co 71 2,281 540 17,348
National City Corp 373 14,034 1,740 65,468
National Semiconductor+ 210 3,859 1,103 20,268
National Service Industries Inc 37 1,406 359 13,642
NationsBank 492 41,882 2,328 198,171
Navistar International Corp+ 181 1,765 577 5,626
New York Times Co Class A 162 5,063 729 22,781
Niagara Mohawk Power Corp 475 3,919 1,191 9,826
NICOR Inc 142 4,455 364 11,421
NorAm Energy Corp 364 5,324 1,058 15,473
Nordstrom Inc 119 4,641 637 24,843
Norfolk Southern Corp 242 20,177 1,008 84,042
Northern States Power Co 167 7,619 538 24,546
</TABLE>
- ---------------------------
42
<PAGE> 48
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4,562 $ 84,397 3,336 $ 61,716 5,784 $ 107,004
1,798 79,562 1,261 55,799 2,243 99,253
1,313 45,627 909 31,588 1,631 56,677
3,331 280,220 2,454 206,443 4,084 343,567
2,000 149,500 1,500 112,125 2,400 179,400
349 13,960 284 11,360 375 15,000
600 34,125 372 21,158 614 34,921
1,933 42,043 1,357 29,515 2,109 45,871
2,782 100,500 2,141 77,344 3,669 132,543
480 11,340 269 6,355 421 9,946
11,709 294,189 8,479 213,035 14,328 359,991
1,257 50,909 895 36,248 1,693 68,567
1,105 37,984 807 27,741 1,217 41,834
2,681 78,084 1,994 58,075 3,307 96,316
4,244 193,102 3,119 141,915 5,226 237,783
1,817 36,567 1,335 26,867 2,267 45,623
1,002 20,792 739 15,334 1,091 22,638
3,760 188,470 2,746 137,643 4,668 233,984
865 49,521 669 38,300 1,259 72,078
2,352 130,242 1,651 91,424 2,763 153,001
1,812 76,557 1,330 56,193 2,274 96,077
632 33,338 477 25,162 796 41,989
2,949 180,626 2,133 130,646 3,595 220,194
3,548 80,717 2,514 57,194 4,434 100,874
6,677 752,832 4,888 551,122 8,657 976,077
1,645 28,788 1,236 21,630 2,256 39,480
3,212 281,452 2,318 203,115 3,994 349,974
2,582 123,291 1,882 89,866 3,290 157,098
2,506 93,035 1,829 67,902 3,000 111,375
10,056 536,739 7,335 391,506 12,452 664,626
154 7,469 151 7,324 165 8,003
1,179 37,875 834 26,792 2,187 70,257
3,513 132,177 2,761 103,883 4,632 174,279
2,289 42,060 1,720 31,605 2,780 51,083
785 29,830 574 21,812 1,115 42,370
5,122 436,010 3,645 310,281 6,671 567,869
1,434 13,982 955 9,311 1,552 15,132
1,695 52,969 1,214 37,938 1,932 60,375
2,451 20,221 1,867 15,403 2,802 23,117
919 28,834 597 18,731 993 31,155
2,384 34,866 1,630 23,839 2,380 34,808
1,426 55,614 962 37,518 1,785 69,615
2,141 178,506 1,571 130,982 2,673 222,861
1,151 52,514 829 37,823 1,468 66,978
</TABLE>
---------------------------
43
<PAGE> 49
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Northrop Grumman Corp 136 $ 9,758 458 $ 32,862
Norwest Corp 608 22,876 2,936 110,467
Novell Inc+ 520 5,428 2,892 30,185
Nucor Corp 127 5,937 721 33,707
NYNEX Corp 752 32,430 3,453 148,911
Occidental Petroleum Corp 586 13,625 2,569 59,729
Ohio Edison Co 293 6,153 1,183 24,843
ONEOK Inc 47 1,287 220 6,023
Outboard Marine Corp 35 586 184 3,082
PECO Energy Co 363 8,531 1,725 40,538
PNC Bank Corp 606 18,938 2,692 84,125
PP & L Resources Inc 300 6,750 1,300 29,250
PACCAR Inc 93 4,208 315 14,254
Pacific Enterprises 98 2,928 692 20,674
Pacific Gas & Electric Co 673 15,227 3,298 74,617
PacifiCorp 494 9,942 2,327 46,831
Panenergy Corp 224 7,420 1,177 38,988
Parker Hannifin Corp 102 3,978 587 22,893
Penney (J C) Co Inc 388 20,516 1,774 93,800
Pennzoil Co 130 6,939 353 18,841
Peoples Energy Corp 61 2,074 284 9,656
Pharmacia and Upjohn Inc+ 765 32,130 4,047 169,974
Phelps Dodge Corp 74 4,477 545 32,973
Phillips Petroleum Co 458 18,549 2,038 82,539
Pitney Bowes Inc 202 9,747 1,215 58,624
Polaroid Corp 32 1,356 354 15,001
Potlatch Corp 76 2,860 224 8,428
Price/Costco Inc+ 356 7,076 1,512 30,051
Providian Corp 151 6,248 719 29,749
Public Services Enterprise Group 429 11,637 1,964 53,274
Pulte Corp 48 1,194 222 5,522
Raytheon Co 424 21,836 1,900 97,850
Reebok International Ltd 95 3,420 538 19,368
Republic New York Corp 100 6,613 400 26,450
Reynolds Metals Co 156 8,346 503 26,911
Rite Aid Corp 104 3,315 648 20,655
Rockwell International Corp 361 18,772 1,723 89,596
Rohm & Haas Co 69 4,313 539 33,688
Rowan Co Inc+ 172 2,645 692 10,640
Russell Corp 73 2,336 320 10,240
Ryan's Family Steak House+ 119 997 516 4,322
Ryder System Inc 186 5,278 581 16,486
SAFECO Corp 220 7,288 1,012 33,523
Safety-Kleen Corp 126 2,174 498 8,591
</TABLE>
- ---------------------------
44
<PAGE> 50
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
868 $ 62,279 669 $ 48,001 1,058 $ 75,912
6,148 231,319 4,509 169,651 7,816 294,077
6,208 64,796 4,486 46,823 7,787 81,277
1,496 69,938 1,055 49,321 1,826 85,366
7,410 319,556 5,362 231,236 9,632 415,380
5,465 127,061 3,931 91,396 6,562 152,567
2,641 55,461 1,878 39,438 3,273 68,733
506 13,852 305 8,349 520 14,235
424 7,102 224 3,752 348 5,829
3,742 87,937 2,709 63,662 4,578 107,583
5,814 181,688 4,177 130,531 7,100 221,875
2,700 60,750 2,000 45,000 3,400 76,500
642 29,051 507 22,942 712 32,218
1,406 42,004 1,023 30,562 1,874 55,986
7,110 160,864 5,084 115,026 8,778 198,602
4,948 99,579 3,682 74,100 6,157 123,910
2,592 85,860 1,825 60,453 3,261 108,021
1,313 51,207 952 37,128 1,634 63,726
3,797 200,766 2,745 145,142 4,642 245,446
837 44,675 584 31,171 984 52,521
584 19,856 477 16,218 736 25,024
8,666 363,972 6,295 264,390 10,829 454,818
1,114 67,397 838 50,699 1,416 85,668
4,490 181,845 3,248 131,544 5,492 222,426
2,578 124,389 1,843 88,925 3,228 155,751
813 34,451 543 23,010 997 42,248
546 20,543 331 12,454 568 21,371
3,369 66,959 2,391 47,521 4,118 81,845
1,618 66,945 1,184 48,988 1,987 82,212
4,205 114,061 3,004 81,484 5,054 137,090
498 12,388 321 7,985 533 13,258
4,042 208,163 2,902 149,453 5,032 259,148
1,230 44,280 919 33,084 1,564 56,304
900 59,513 700 46,288 1,200 79,350
1,102 58,957 786 42,051 1,319 70,567
1,471 46,888 1,039 33,118 1,798 57,311
3,711 192,972 2,631 136,812 4,554 236,808
1,173 73,313 832 52,000 1,370 85,625
1,458 22,417 1,145 17,604 1,696 26,076
656 20,992 516 16,512 902 28,864
1,012 8,476 679 5,687 1,039 8,702
1,389 39,413 997 28,290 1,573 44,634
2,116 70,093 1,578 52,271 2,680 88,775
943 16,267 710 12,248 1,226 21,149
</TABLE>
---------------------------
45
<PAGE> 51
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
St Paul Co Inc 123 $ 6,365 643 $ 33,275
Salomon Inc 169 7,605 836 37,620
Santa Fe Energy Resources Inc+ 283 3,325 728 8,554
Santa Fe Pacific Gold Corp 228 2,964 1,056 13,728
Scientific-Atlanta Inc 82 1,107 677 9,140
Seagram Co Ltd 628 20,803 3,005 99,541
Service Corp International 224 12,628 919 51,809
Sherwin Williams Co 127 5,556 646 28,263
Sigma-Aldrich Corp 62 3,271 362 19,096
Silicon Graphics Inc+ 227 5,278 1,270 29,528
Snap-On Inc 24 1,095 322 14,691
Sonat Inc 128 5,648 723 31,902
Southern Co 1,136 25,702 5,322 120,410
Springs Industries Inc Class A 31 1,399 180 8,123
Stone Container Corp+ 233 3,233 826 11,461
Stride Rite Corp 113 961 410 3,485
Sun Co Inc 162 3,827 555 13,112
SunTrust Banks Inc 380 14,583 1,812 69,536
Super Value Inc 176 4,950 547 15,384
TRW Inc 63 5,828 534 49,395
Tandem Computers Inc+ 175 1,838 993 10,427
Tandy Corp 61 2,692 507 22,371
Tektronix Inc 78 3,023 276 10,695
Temple-Inland Inc 47 2,321 394 19,454
Tenet Healthcare Corp+ 416 8,736 1,716 36,036
Tenneco Inc 321 15,970 1,364 67,859
Texaco Inc 454 40,293 2,138 189,748
Texas Instruments Inc 272 12,716 1,458 68,162
Texas Utilities Co 370 15,170 1,757 72,037
Textron Inc 130 11,099 674 57,543
Thomas & Betts Corp 66 2,426 364 13,377
Times Mirror Co Class A 148 6,420 840 36,435
Timken Co 79 3,002 277 10,526
Torchmark Corp 78 3,315 548 23,290
Toys R Us Inc+ 509 15,016 2,161 63,750
Transamerica Corp 74 5,041 545 37,128
Travelers Inc 825 35,784 3,756 162,917
Tupperware Corp+ 61 2,669 506 22,138
USX -- Marathon Group 502 10,479 2,259 47,157
UNUM Corp 83 5,271 577 36,640
USF & G Corp 224 3,612 920 14,835
USX -- US Steel Group 182 5,005 678 18,645
Unicom Corp 349 8,027 1,687 38,801
Union Camp Corp 72 3,492 543 26,336
</TABLE>
- ---------------------------
46
<PAGE> 52
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,443 $ 74,675 1,046 $ 54,131 1,796 $ 92,943
1,807 81,315 1,333 59,985 2,258 101,610
1,555 18,271 1,175 13,806 1,790 21,033
2,189 28,457 1,688 21,944 2,726 35,438
1,268 17,118 955 12,893 1,553 20,966
6,355 210,509 4,605 152,541 7,918 262,284
1,970 111,059 1,452 81,857 2,531 142,685
1,467 64,181 1,085 47,469 1,719 75,206
867 45,734 596 31,439 1,571 82,870
2,761 64,193 2,051 47,686 3,446 80,120
710 32,394 522 23,816 868 39,603
1,474 65,040 1,062 46,861 1,820 80,308
11,450 259,056 8,264 186,973 13,903 314,555
312 14,079 221 9,973 355 16,019
1,833 25,433 1,268 17,594 2,046 28,388
956 8,126 632 5,372 821 6,979
1,325 31,303 919 21,711 1,591 37,587
3,902 149,739 2,756 105,762 4,744 182,051
1,212 34,088 843 23,709 1,307 36,759
1,141 105,543 818 75,665 1,348 124,690
2,021 21,221 1,473 15,467 2,445 25,673
1,033 45,581 706 31,152 1,343 59,260
523 20,266 433 16,779 1,076 41,695
952 47,005 650 32,094 1,234 60,929
3,660 76,860 2,603 54,663 4,394 92,274
2,978 148,156 2,126 105,769 3,632 180,692
4,482 397,778 3,242 287,728 5,759 511,111
3,270 152,873 2,354 110,050 4,014 187,655
3,789 155,349 2,781 114,021 4,712 193,192
1,406 120,037 1,010 86,229 1,827 155,980
690 25,358 450 16,538 818 30,062
1,771 76,817 1,321 57,298 2,365 102,582
575 21,850 435 16,530 580 22,040
1,220 51,850 851 36,168 1,460 62,050
4,693 138,444 3,367 99,327 5,670 167,265
1,114 75,891 840 57,225 1,493 101,711
8,089 350,860 5,831 252,920 10,413 451,664
1,033 45,194 796 34,825 1,250 54,688
4,889 102,058 3,529 73,668 6,116 127,672
1,254 79,629 888 56,388 1,588 100,838
2,131 34,362 1,453 23,430 2,207 35,588
1,479 40,673 1,085 29,838 1,784 49,060
3,621 83,283 2,657 61,111 4,452 102,396
1,187 57,570 841 40,789 1,594 77,309
</TABLE>
---------------------------
47
<PAGE> 53
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Union Carbide Corp 190 $ 8,218 1,079 $ 46,667
Union Electric Co 154 5,756 822 30,722
Union Pacific Corp 309 22,518 1,647 120,025
Unisys Corp+ 523 3,073 1,514 8,895
United Healthcare Corp 339 13,094 1,453 56,122
U.S. Bancorp 310 11,858 1,259 48,157
United States Surgical 149 5,439 496 18,104
U.S. West Inc 744 21,948 3,791 111,835
U.S. West Media Group+ 844 15,298 3,791 68,712
United Technologies Corp 223 25,143 939 105,872
Unocal Corp 423 14,488 2,009 68,808
U.S. Life Corp 60 1,755 307 8,980
VF Corp 63 3,701 509 29,904
Varity Corp+ 27 1,357 325 16,331
Viacom Inc Class B+ 572 18,018 2,951 92,957
WMX Technologies Inc 822 25,996 3,961 125,267
Wachovia Corp 325 14,869 1,365 62,449
Wendy's International Inc 255 5,164 974 19,724
Western Atlas Inc+ 132 8,019 456 27,702
Westvaco Corp 152 4,351 857 24,532
Weyerhaeuser Co 310 13,834 1,623 72,426
Whirlpool Corp 80 3,920 601 29,449
Willamette Industries Inc 107 6,607 470 29,023
Williams Co Inc 157 7,830 823 41,047
Woolworth Corp+ 231 4,909 1,049 22,291
Worthington Industries Inc 233 4,718 777 15,734
Yellow Corp+ 49 655 223 2,983
------------ ------------
TOTAL LARGE CAP VALUE STOCKS
- VALUE $ 3,930,646 $ 18,752,621
- COST $ 3,458,194 $ 17,536,179
MEDIUM CAP GROWTH STOCKS
PERCENT OF NET ASSETS 3.79% 2.96%
ADC Telecommunication+ 786 $ 44,606 680 $ 38,590
APAC Teleservices Inc+ 100 4,425 200 8,850
AVX Corp 300 5,625 200 3,750
Adaptec Inc+ 700 34,913 600 29,925
Adobe Systems Inc 819 28,563 810 28,249
Adtran Inc+ 100 6,300 100 6,300
Airgas Inc+ 400 9,000 400 9,000
Altera Corp+ 560 24,640 460 20,240
America Online Inc 600 18,150 500 15,125
American Oncology Resources Inc+ -- -- 200 2,025
American Power Conversion+ 1,000 13,750 780 10,725
</TABLE>
- ---------------------------
48
<PAGE> 54
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,229 $ 96,404 1,670 $ 72,228 2,961 $ 128,063
1,751 65,444 1,296 48,438 2,205 82,412
3,532 257,395 2,491 181,532 4,266 310,885
3,233 18,994 2,177 12,790 3,485 20,474
3,055 117,999 2,223 85,863 3,930 151,796
2,741 104,843 1,962 75,047 3,347 128,023
1,063 38,800 757 27,631 1,319 48,144
8,105 239,098 5,842 172,339 9,892 291,814
8,005 145,091 5,842 105,886 9,992 181,105
2,069 233,280 1,493 168,336 2,431 274,095
4,165 142,651 3,095 106,004 5,157 176,627
637 18,632 396 11,583 683 19,978
1,036 60,865 813 47,764 1,449 85,129
712 35,778 535 26,884 873 43,868
6,260 197,190 4,600 144,900 7,757 244,346
8,403 265,745 6,058 191,584 10,196 322,449
2,862 130,937 2,128 97,356 3,540 161,955
2,251 45,583 1,543 31,246 2,608 52,812
889 54,007 623 37,847 996 60,507
1,714 49,063 1,293 37,012 2,049 58,653
3,332 148,691 2,416 107,814 4,260 190,103
1,273 62,377 885 43,365 1,644 80,556
943 58,230 718 44,337 1,085 66,999
1,777 88,628 1,320 65,835 2,059 102,693
2,293 48,726 1,689 35,891 2,796 59,415
1,639 33,190 1,174 23,774 1,749 35,417
585 7,824 299 3,999 437 5,845
------------ ----------- ------------
$ 40,204,992 $29,096,910 $ 50,453,500
$ 36,290,038 $26,257,265 $ 46,549,630
4.07% 4.33% 4.60%
1,448 $ 82,174 908 $ 51,529 1,760 $ 99,880
400 17,700 -- -- 400 17,700
1,300 24,375 300 5,625 600 11,250
1,200 59,850 900 44,888 1,400 69,825
1,506 52,522 951 33,166 1,715 59,811
200 12,600 100 6,300 300 18,900
600 13,500 600 13,500 1,200 27,000
1,018 44,792 648 28,512 1,140 50,160
1,200 36,300 800 24,200 1,400 42,350
-- -- 200 2,025 400 4,050
1,494 20,543 1,009 13,874 2,060 28,325
</TABLE>
---------------------------
49
<PAGE> 55
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Amphenol Corp Class A+ 200 $ 3,925 200 $ 3,925
Anadarko Petroleum Corp 739 38,982 600 31,650
Analog Devices Inc+ 1,501 36,212 1,345 32,448
Apria Healthcare Group Inc+ 500 12,625 500 12,625
Arrow International Inc+ -- -- 100 2,675
Ascend Communication Inc 1,200 62,850 1,000 52,375
Atmel Corp+ 962 24,892 960 24,840
AutoZone Inc+ 1,800 49,050 1,500 40,875
BMC Software Inc+ 656 48,872 540 40,230
Bed Bath & Beyond Inc 400 9,050 500 11,313
Belo (A H) Corp 456 18,297 340 13,643
Betz Labs Inc 396 19,454 340 16,703
Biogen Inc+ 459 32,015 380 26,505
Boise Cascade Office Products Corp+ -- -- 100 2,100
Boston Chicken Inc+ 600 20,850 500 17,375
Broderbund Software Inc+ 200 6,025 200 6,025
C-Cube Microsystems Inc+ 100 3,825 100 3,825
Cadence Design System Inc+ 982 29,092 1,012 29,981
Calenergy Inc 500 15,125 400 12,100
Callaway Golf Co 596 19,668 580 19,140
Cardinal Health Inc 641 47,033 540 39,623
Cascade Communications Corp+ 600 40,875 400 27,250
Centocor Inc+ 946 32,046 740 25,068
Charter One Financial Inc 600 22,838 500 19,031
Chiron Corp+ 896 17,584 1,092 21,431
Cintas Corp+ 510 27,668 300 16,275
Circus Circus Entertainment Inc+ 1,229 41,786 1,130 38,420
Clear Channel Communications Inc+ 200 16,475 200 16,475
Coleman Co Inc+ -- -- 200 3,375
Coltec Industries+ 600 9,000 400 6,000
Compuserve Corp+ -- -- 200 2,425
Consolidated Stores Corp+ 700 26,600 600 22,800
Corporate Express Inc+ 700 26,250 600 22,500
Corrections Corp of America+ 800 25,800 800 25,800
Credit Acceptance Corp+ 200 4,450 200 4,450
Cytec Industries Inc+ 500 17,375 300 10,425
DST Systems Inc 200 6,150 300 9,225
Danaher Corp 600 24,900 380 15,770
Dell Computer Corp+ 810 54,371 560 37,590
Dentsply International Inc 200 8,100 200 8,100
Dial Corp 136 1,564 680 7,820
Diamond Offshore Drilling Inc 300 15,300 300 15,300
Diebold Inc 510 26,201 490 25,174
Dollar General Corp 752 24,252 568 18,318
</TABLE>
- ---------------------------
50
<PAGE> 56
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
300 $ 5,888 200 $ 3,925 500 $ 9,813
1,301 68,628 846 44,627 1,415 74,641
2,579 62,218 1,696 40,916 2,997 72,303
800 20,200 600 15,150 1,300 32,825
-- -- -- -- 200 5,350
2,000 104,750 1,500 78,563 2,400 125,700
1,866 48,283 1,288 33,327 2,026 52,423
3,000 81,750 2,200 59,950 3,600 98,100
1,066 79,417 776 57,812 1,240 92,380
800 18,100 600 13,575 1,200 27,150
714 28,649 544 21,828 840 33,705
727 35,714 407 19,994 705 34,633
791 55,172 561 39,130 945 65,914
800 16,800 -- -- 200 4,200
700 24,325 500 17,375 1,100 38,225
200 6,025 200 6,025 500 15,063
300 11,475 -- -- 300 11,475
1,675 49,622 1,345 39,846 2,165 64,138
900 27,225 600 18,150 1,000 30,250
1,158 38,214 756 24,948 1,416 46,728
709 52,023 554 40,650 1,119 82,107
1,000 68,125 600 40,875 1,100 74,938
1,381 46,781 866 29,336 1,820 61,653
1,000 38,063 700 26,644 1,200 45,675
2,424 47,571 1,300 25,513 2,052 40,271
820 44,485 515 27,939 690 37,433
2,122 72,148 1,562 53,108 2,495 84,830
300 24,713 200 16,475 500 41,188
-- -- -- -- 200 3,375
700 10,500 500 7,500 1,200 18,000
400 4,850 -- -- 400 4,850
1,100 41,800 800 30,400 1,400 53,200
1,300 48,750 900 33,750 1,400 52,500
1,400 45,150 1,000 32,250 1,700 54,825
-- -- 200 4,450 500 11,125
900 31,275 600 20,850 900 31,275
400 12,300 300 9,225 500 15,375
962 39,923 622 25,813 680 28,220
1,374 92,230 834 55,982 1,370 91,961
300 12,150 200 8,100 400 16,200
1,641 18,872 1,228 14,122 2,908 33,442
700 35,700 200 10,200 600 30,600
1,006 51,683 661 33,959 1,037 53,276
1,193 38,474 772 24,897 1,325 42,731
</TABLE>
---------------------------
51
<PAGE> 57
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Duracell International Inc 800 $ 36,100 700 $ 31,588
Eckerd (Jack) Corp Del+ 800 19,600 700 17,150
Electronic Arts Inc+ 500 15,438 500 15,438
Electronics for Imaging Inc+ 300 18,975 300 18,975
Enron Oil & Gas Co 1,000 25,875 700 18,113
Equifax Inc 2,210 56,355 1,900 48,450
Excel Communications Inc+ 400 10,200 300 7,650
Fastenal Co 300 14,025 300 14,025
Federal Signal Corp 498 11,267 490 11,086
First Usa Paymentech Inc -- -- 100 3,775
First USA Inc 800 42,400 700 37,100
FORE Systems Inc+ 400 14,200 400 14,200
Franklin Resources Inc+ 896 53,312 600 35,700
Freeport-McMoRan Inc+ 354 12,169 363 12,478
Fritz Companies Inc+ 200 2,975 200 2,975
Gartner Group Inc Class A 600 18,750 500 15,625
Gateway 2000 Inc+ 200 8,913 100 4,456
General Nutrition Co Inc+ 1,100 16,225 1,000 14,750
Genzyme Corp -- General Division+ 526 12,558 420 10,028
Georgia Gulf Corp 437 13,766 360 11,340
Glenayre Technologies Inc 650 23,888 550 20,213
Global DirectMail Corp+ 200 9,050 200 9,050
Global Marine Inc+ 2,100 30,188 1,800 25,875
Grand Casinos Inc 400 7,250 400 7,250
GTECH Holdings Corp+ 400 11,100 400 11,100
Guidant Corp+ 200 10,150 200 10,150
HBO & Co 1,000 54,625 800 43,700
Harley-Davidson Inc 1,018 41,738 850 34,850
Healthsouth Corp+ 1,894 61,318 1,600 51,800
HealthCare Compare Corp+ 484 20,691 390 16,673
Health Management Associates Inc
Class A 1,050 23,888 1,050 23,888
Healthsource Inc+ 600 9,000 600 9,000
ICN Pharmaceuticals Inc 500 10,500 504 10,584
Idexx Laboratories Inc+ 400 15,500 400 15,500
Illinois Central Corp 711 21,508 490 14,823
Imation Corp+ 576 13,608 316 7,466
Infinity Broadcasting Corp Class A+ 1,050 28,744 850 23,269
Informix Corp+ 1,790 40,275 1,620 36,450
Input/Output Inc+ 500 17,688 500 17,688
Intuit Inc+ 400 14,600 400 14,600
Iomega Corp+ 1,200 18,600 1,200 18,600
IVAX Corp 1,230 19,834 1,240 19,995
Jefferson Smurfit Corp+ 700 8,488 800 9,700
Jones Apparel Group Inc+ 200 11,075 200 11,075
</TABLE>
- ---------------------------
52
<PAGE> 58
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,700 $ 76,713 1,100 $ 49,638 1,600 $ 72,200
1,400 34,300 800 19,600 1,600 39,200
1,000 30,875 600 18,525 1,000 30,875
500 31,625 400 25,300 600 37,950
2,200 56,925 1,600 41,400 1,500 38,813
3,642 92,871 2,672 68,136 4,240 108,120
-- -- -- -- 700 17,850
400 18,700 400 18,700 800 37,400
807 18,258 802 18,145 1,080 24,435
-- -- -- -- 200 7,550
1,300 68,900 900 47,700 1,500 79,500
600 21,300 400 14,200 800 28,400
1,363 81,099 913 54,324 1,465 87,168
684 23,513 359 12,341 678 23,306
300 4,463 -- -- 400 5,950
1,000 31,250 600 18,750 1,200 37,500
1,000 44,563 100 4,456 400 17,825
2,100 30,975 1,400 20,650 2,200 32,450
734 17,524 544 12,988 700 16,713
745 23,468 465 14,648 640 20,160
1,175 43,181 800 29,400 1,225 45,019
300 13,575 -- -- 300 13,575
3,615 51,966 2,200 31,625 4,000 57,500
700 12,688 500 9,063 900 16,313
500 13,875 400 11,100 1,000 27,750
1,000 50,750 200 10,150 400 20,300
1,800 98,325 1,200 65,550 2,000 109,250
1,759 72,119 1,244 51,004 1,990 81,590
3,121 101,042 2,061 66,725 3,630 117,521
816 34,884 496 21,204 865 36,979
1,650 37,538 1,200 27,300 2,225 50,619
1,300 19,500 800 12,000 1,400 21,000
708 14,868 607 12,747 1,340 28,140
800 31,000 600 23,250 1,000 38,750
1,135 34,334 715 21,629 1,102 33,336
702 16,585 531 12,545 1,317 31,114
1,750 47,906 1,200 32,850 2,025 55,434
3,118 70,155 2,138 48,105 3,580 80,550
1,000 35,375 700 24,763 1,100 38,913
800 29,200 500 18,250 800 29,200
2,200 34,100 1,600 24,800 2,700 41,850
2,323 37,458 1,663 26,816 2,495 40,232
1,400 16,975 900 10,913 1,800 21,825
300 16,613 200 11,075 500 27,688
</TABLE>
---------------------------
53
<PAGE> 59
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
K-III Communications Corp+ -- $ -- 200 $ 2,200
Kohls Corp+ 786 29,868 420 15,960
Komag Inc+ 600 12,750 500 10,625
LCI International Inc+ 300 10,613 300 10,613
La Quinta Inns Inc 800 15,300 750 14,344
Laboratory Corp of America
Holdings+ 660 2,640 418 1,672
Lancaster Colony Corp 338 12,295 260 9,458
Estee Lauder Co Class A 200 8,600 200 8,600
Lear Corp+ 600 23,025 300 11,513
Lexmark International Group Inc
Class A+ -- -- 200 3,575
LIN Television Corp+ 200 7,150 200 7,150
Linear Technology Corp 986 33,524 820 27,880
Loctite Corp 385 16,892 300 13,163
Lone Star Steakhouse & Saloon+ 300 9,938 300 9,938
Lyondell Petrochemical 876 19,929 580 13,195
MEMC Electronic Materials Inc+ 300 10,575 300 10,575
MFS Communications Inc+ 900 38,138 677 28,688
Macromedia Inc+ 400 9,050 400 9,050
Manpower Inc 900 32,063 700 24,938
Marvel Entertainment Group Inc -- -- 200 1,725
Maxim Integrated Products Inc 700 21,481 700 21,481
McAfee Associates Inc+ 300 17,888 300 17,888
McCormick & Co Inc+ 888 18,204 800 16,400
McLeod Inc Class A+ -- -- -- --
Medaphis Corp+ 800 10,100 600 7,575
Mentor Graphics Corp+ 600 8,213 700 9,581
Mercury Financial Corp 1,800 20,925 1,700 19,763
Microchip Technology Inc+ 400 14,675 400 14,675
Micro Warehouse Inc+ 300 8,063 300 8,063
Mid Atlantic Medical Services+ 400 5,400 500 6,750
MobileMedia Corp+ 300 2,044 200 1,363
Money Store Inc 400 9,600 400 9,600
Mylan Laboratories 1,603 26,249 1,370 22,434
Nellcor Inc+ 800 20,600 600 15,450
Netscape Communications Corp+ 200 7,075 200 7,075
Newmont Gold Co 600 32,325 100 5,388
Nine West Group Inc+ 200 10,300 200 10,300
Noble Affiliates Inc 538 21,587 330 13,241
Nordson Corp 214 10,941 160 8,180
Northwest Airlines Corp Class A+ 900 33,975 800 30,200
Novellus Systems Inc+ 200 7,550 200 7,550
Oakley Inc+ 300 12,300 300 12,300
Objective Systems Integrators Inc+ -- -- 100 2,088
Office Depot Inc+ 1,538 24,416 1,450 23,019
</TABLE>
- ---------------------------
54
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,800 $ 19,800 -- $ -- 400 $ 4,400
1,304 49,552 808 30,704 758 28,804
1,100 23,375 600 12,750 1,100 23,375
600 21,225 -- -- 700 24,763
1,500 28,688 900 17,213 1,500 28,688
1,043 4,172 684 2,736 1,337 5,348
470 17,096 340 12,368 628 22,844
800 34,400 200 8,600 400 17,200
500 19,188 400 15,350 1,100 42,213
1,000 17,875 300 5,363 500 8,938
300 10,725 200 7,150 400 14,300
1,700 57,800 1,110 37,740 1,950 66,300
542 23,780 397 17,418 565 24,789
700 23,188 500 16,563 700 23,188
1,317 29,962 892 20,293 945 21,499
400 14,100 400 14,100 700 24,675
1,800 76,275 600 25,425 2,155 91,318
700 15,838 500 11,313 900 20,363
1,400 49,875 900 32,063 1,800 64,125
1,400 12,075 200 1,725 600 5,175
1,400 42,963 900 27,619 1,500 46,031
600 35,775 450 26,831 700 41,738
1,355 27,778 1,205 24,703 1,755 35,978
-- -- -- -- 800 23,100
1,100 13,888 800 10,100 1,500 18,938
852 11,662 600 8,213 1,600 21,900
2,600 30,225 2,400 27,900 3,800 44,175
400 14,675 500 18,344 1,000 36,688
600 16,125 400 10,750 700 18,813
700 9,450 500 6,750 1,300 17,550
400 2,725 300 2,044 700 4,769
700 16,800 -- -- 800 19,200
2,765 45,277 1,927 31,555 2,952 48,339
1,300 33,475 350 9,013 1,600 41,200
1,000 35,375 800 28,300 300 10,613
1,300 70,038 1,000 53,875 300 16,163
300 15,450 200 10,300 500 25,750
873 35,029 558 22,390 820 32,903
293 14,980 208 10,634 385 19,683
1,500 56,625 1,100 41,525 2,100 79,275
400 15,100 200 7,550 500 18,875
600 24,600 400 16,400 600 24,600
-- -- -- -- 200 4,175
2,442 38,767 1,967 31,226 2,980 47,308
</TABLE>
---------------------------
55
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Olsten Corp 691 $ 19,262 525 $ 14,634
Omnicare Inc 600 14,700 600 14,700
Omnicom Group 988 44,831 820 37,208
Omnipoint Corp 200 5,450 200 5,450
OrNda HealthCorp+ 700 18,025 600 15,450
Outback Steakhouse Inc+ 400 11,300 400 11,300
Owens-Illinois Inc+ 700 10,763 700 10,763
Oxford Health Plans Inc+ 800 36,600 700 32,025
Parametric Technology Corp+ 1,720 77,884 1,460 66,111
Paychex Inc 757 40,500 585 31,298
Peoplesoft Inc+ 400 30,700 300 23,025
PetSmart Inc+ 1,200 33,000 1,200 33,000
Phycor Inc+ 600 19,650 600 19,650
Picturetel Corp+ 400 13,150 400 13,150
Pixar Inc+ -- -- 100 1,250
Planet Hollywood International Inc
Class A+ -- -- 100 2,438
Pogo Producing Co+ 300 10,238 300 10,238
Presstek Inc+ 100 6,350 100 6,350
Price (T Rowe) Associates 600 17,400 600 17,400
Promus Hotel Corp+ 677 20,395 561 16,900
Protective Life Corp 300 10,575 300 10,575
Quintiles Transnational Corp+ 200 15,125 100 7,563
Readers Digest Association Class A 1,100 44,413 900 36,338
Republic Industries Inc+ 1,500 39,188 800 20,900
Reynolds & Reynolds Co Class A 573 28,722 460 23,058
Rhone-Poulenc Rorer Inc 900 63,338 500 35,188
Robert Half International Inc+ 600 19,800 600 19,800
Rouse Co 400 10,350 300 7,763
SPS Transaction Services Inc+ -- -- 100 1,450
Safeway Inc+ 1,400 50,750 800 29,000
Scherer (R P) Corp+ 300 14,438 300 14,438
Scholastic Inc+ 200 13,550 200 13,550
Schwab (Charles) Corp 1,878 46,950 1,270 31,750
Sealed Air Corp+ 400 15,150 400 15,150
Shiva Corp+ 300 15,150 300 15,150
Simon Debartolo Group Inc 300 7,463 300 7,463
Solectron Corp+ 500 18,688 500 18,688
Sonat Offshore Drilling Co 200 10,925 200 10,925
Sonoco Products 1,288 38,157 1,077 31,906
Southern National Corp 1,400 43,750 1,200 37,500
Southland Corp+ 1,800 5,625 1,400 4,375
Staples Inc+ 1,396 27,571 1,297 25,616
Starbucks Corp+ 1,000 32,750 800 26,200
Sterling Commerce Inc+ 200 6,200 200 6,200
</TABLE>
- ---------------------------
56
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,117 $ 31,136 688 $ 19,178 1,516 $ 42,259
800 19,600 800 19,600 1,200 29,400
1,720 78,045 1,210 54,904 1,958 88,844
400 10,900 -- -- 400 10,900
1,200 30,900 900 23,175 1,300 33,475
500 14,125 400 11,300 900 25,425
1,400 21,525 1,100 16,913 2,000 30,750
1,400 64,050 1,000 45,750 1,600 73,200
2,942 133,218 1,842 83,408 3,370 152,598
1,203 64,361 760 40,660 1,275 68,213
700 53,725 400 30,700 700 53,725
2,200 60,500 1,600 44,000 2,800 77,000
1,050 34,388 750 24,563 1,250 40,938
700 23,013 500 16,438 800 26,300
-- -- -- -- 200 2,500
-- -- -- -- 300 7,313
600 20,475 400 13,650 700 23,888
200 12,700 200 12,700 300 19,050
1,000 29,000 800 23,200 1,400 40,600
1,174 35,367 745 22,443 1,155 34,794
600 21,150 -- -- 700 24,675
300 22,688 -- -- 300 22,688
1,800 72,675 1,200 48,450 2,100 84,788
1,600 41,800 1,200 31,350 2,900 75,763
1,056 52,932 676 33,885 1,150 57,644
1,900 133,713 1,400 98,525 1,200 84,450
1,000 33,000 600 19,800 1,200 39,600
500 12,938 400 10,350 900 23,288
-- -- -- -- 200 2,900
2,800 101,500 2,000 72,500 1,900 68,875
400 19,250 300 14,438 700 33,688
200 13,550 200 13,550 400 27,100
2,786 69,650 1,896 47,400 2,814 70,350
606 22,952 636 24,089 900 34,088
600 30,300 400 20,200 600 30,300
500 12,438 300 7,463 900 22,388
1,000 37,375 700 26,163 1,200 44,850
400 21,850 300 16,388 400 21,850
2,100 62,213 1,422 42,127 2,455 72,729
2,300 71,875 1,500 46,875 2,680 83,750
2,600 8,125 1,800 5,625 4,200 13,125
2,163 42,719 1,740 34,365 2,857 56,426
1,700 55,675 1,200 39,300 2,000 65,500
300 9,300 -- -- 300 9,300
</TABLE>
---------------------------
57
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Sterling Software Inc+ 300 $ 20,363 300 $ 20,363
Stryker Corp+ 1,048 25,611 820 20,039
Student Loan Marketing Assoc 900 66,263 700 51,538
Sundstrand Corp 726 27,134 660 24,668
Sunglass Hut International Inc+ 600 9,450 500 7,875
Sybase Inc+ 700 11,277 700 11,277
Sybron International Corp+ 500 13,750 500 13,750
Synopsys Inc+ 400 15,200 400 15,200
TCF Financial Corp 400 14,950 400 14,950
Tambrands Inc 497 21,123 410 17,425
Teleport Communications Group Inc
Class A+ 300 6,938 -- --
Teradyne Inc+ 776 12,028 820 12,710
Thermo Electron Corp 1,533 60,745 1,426 56,505
Thermo Instrument Systems Inc+ 200 7,750 225 8,719
Thermo Cardiosystems Inc+ 150 5,119 150 5,119
ThermoLase Corp+ -- -- -- --
360 Communications Co+ 1,525 36,409 1,419 33,879
Tootsie Roll Industries 206 7,287 206 7,287
Total System Services Inc 300 6,788 300 6,788
TransTexas Gas Corp+ -- -- -- --
Turner Broadcasting System Inc
Class A 800 19,900 800 19,900
Turner Broadcasting System Inc
Class B 1,400 34,650 1,200 29,700
UCAR International Inc+ 400 15,600 400 15,600
U.S.A. Waste Services Inc+ 800 22,000 800 22,000
USG Corp+ 400 11,400 400 11,400
U.S. Robotics Corp+ 900 47,250 800 42,000
Union Pacific Resources Group Inc 2,200 59,950 400 10,900
Union Texas Petroleum Holdings Inc 600 12,450 600 12,450
ValuJet Inc+ 300 3,750 200 2,500
Valspar Corp 200 9,450 200 9,450
Value Health Inc+ 435 6,906 545 8,652
Varian Associates Inc 377 17,201 390 17,794
Vastar Resources Inc 600 20,925 200 6,975
Vencor Inc+ 700 21,963 700 21,963
VeriFone Inc+ 358 17,095 300 14,325
Viad Corp 136 1,938 680 9,690
Viking Office Products Inc+ 1,100 28,463 900 23,288
Vivra Inc+ 400 12,050 400 12,050
Vornado Realty Trust 300 12,488 200 8,325
Warnaco Group Inc Class A 600 14,850 500 12,375
Watson Pharmaceuticals Inc 300 8,700 300 8,700
Weatherford Enterra Inc+ 600 17,250 500 14,375
Western Wireless Corp Class A+ -- -- 100 1,750
Wisconsin Central Transport+ 600 21,150 600 21,150
</TABLE>
- ---------------------------
58
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
600 $ 40,725 400 $ 27,150 800 $ 54,300
1,668 40,762 1,088 26,588 1,600 39,100
1,400 103,075 1,200 88,350 1,500 110,438
1,390 51,951 930 34,759 1,490 55,689
1,000 15,750 700 11,025 1,300 20,475
1,400 22,553 900 14,498 1,600 25,775
800 22,000 600 16,500 1,200 33,000
900 34,200 600 22,800 900 34,200
800 29,900 500 18,688 1,000 37,375
954 40,545 609 25,883 985 41,863
-- -- -- -- 600 13,875
1,790 27,745 1,100 17,050 1,850 28,675
2,952 116,973 2,016 79,884 3,563 141,184
1,300 50,375 250 9,688 537 20,809
300 10,238 300 10,238 450 15,356
-- -- -- -- 300 6,900
2,624 62,648 1,528 36,481 3,154 75,302
309 10,931 206 7,287 521 18,430
1,800 40,725 400 9,050 800 18,100
-- -- -- -- 300 3,300
1,600 39,800 1,000 24,875 1,700 42,288
2,300 56,925 1,500 37,125 2,700 66,825
800 31,200 300 11,700 800 31,200
800 22,000 -- -- 1,600 44,000
500 14,250 400 11,400 900 25,650
1,600 84,000 1,000 52,500 1,800 94,500
3,400 92,650 2,400 65,400 1,100 29,975
800 16,600 900 18,675 1,600 33,200
400 5,000 200 2,500 700 8,750
300 14,175 300 14,175 500 23,625
1,019 16,177 847 13,446 1,119 17,764
735 33,534 490 22,356 765 34,903
1,300 45,338 900 31,388 500 17,438
1,500 47,063 780 24,473 1,574 49,384
363 17,333 268 12,797 600 28,650
1,641 23,384 1,228 17,499 2,908 41,439
2,000 51,750 1,400 36,225 2,100 54,338
800 24,100 500 15,063 1,000 30,125
300 12,488 400 16,650 600 24,975
1,000 24,750 700 17,325 1,300 32,175
600 17,400 400 11,600 600 17,400
1,057 30,389 700 20,125 1,300 37,375
-- -- -- -- 300 5,250
1,200 42,300 900 31,725 1,300 45,825
</TABLE>
---------------------------
59
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Xilinx Inc+ 847 $ 29,645 800 $ 28,000
Xylan Corp+ 100 4,225 -- --
York International Corp 602 27,165 520 23,465
------------ ------------
TOTAL MEDIUM CAP GROWTH STOCKS
- VALUE $ 4,595,494 $ 3,914,959
- COST $ 4,020,762 $ 3,615,764
MEDIUM CAP VALUE STOCKS
PERCENT OF NET ASSETS 3.98% 3.14%
AFLAC Inc 1,896 $ 65,175 1,670 $ 57,406
AGCO Corp 300 7,088 300 7,088
Arco Chemical Co 600 28,800 100 4,800
AT & T Capital Corp 100 4,463 100 4,463
Advanta Corp Class B 300 13,350 300 13,350
Albemarle Corp 713 11,497 460 7,418
Alexander & Baldwin Inc 504 12,852 490 12,495
Alleghany Corp+ 102 20,604 100 20,200
Allmerica Financial Corp 200 6,175 100 3,088
Allmerica Property & Casualty Co
Inc 800 22,600 700 19,775
Alumax Inc+ 489 16,137 380 12,540
AMBAC Inc 500 27,188 400 21,750
American Financial Group Inc 504 15,687 390 12,139
American National Insurance Co 100 6,925 100 6,925
American Re Corp 600 37,875 500 31,563
American Standard Co Inc+ 500 17,063 400 13,650
American States Financial Corp -- -- 100 2,300
American Water Works Co Inc 600 12,825 600 12,825
AmSouth Bancorp 600 23,625 600 23,625
Anixter International Inc+ 500 7,688 400 6,150
Apache Corp 962 28,259 920 27,025
Arrow Electronics Inc+ 493 22,493 496 22,630
Associates First Capital Corp 900 35,550 700 27,650
Avnet Inc 530 24,778 450 21,038
Bancorp Hawaii Inc 574 21,740 460 17,423
Bankers Life Holding Corp 300 7,350 200 4,900
Barnes & Noble+ 200 6,575 200 6,575
Bear Stearns & Co Inc 1,428 33,380 1,285 30,037
Beckman Instruments Inc 294 10,841 350 12,906
Bergen Brunswig Corp Class A 420 11,708 416 11,596
Bowater Inc 395 14,220 410 14,760
Brinker International Inc+ 1,056 15,840 890 13,350
CNA Financial Corp+ 400 40,200 100 10,050
Cabot Corp 1,010 27,775 840 23,100
Capital One Financial Corp -- -- 400 12,050
</TABLE>
- ---------------------------
60
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,459 $ 51,065 974 $ 34,090 1,820 $ 63,700
-- -- -- -- 200 8,450
959 43,275 614 27,707 1,085 48,961
------------ ----------- ------------
$ 8,106,220 $ 5,290,222 $ 9,164,797
$ 7,085,470 $ 4,548,198 $ 8,354,345
4.16% 4.64% 4.78%
3,217 $ 110,584 2,337 $ 80,334 3,827 $ 131,553.0
500 11,813 -- -- 700 16,538
1,300 62,400 900 43,200 300 14,400
700 31,238 -- -- 200 8,925
500 22,250 400 17,800 700 31,150
1,112 17,931 732 11,804 986 15,899
814 20,757 809 20,630 1,380 35,190
102 20,604 102 20,604 102 20,604
700 21,613 200 6,175 300 9,263
1,400 39,550 900 25,425 1,700 48,025
773 25,509 493 16,269 770 25,410
900 48,938 500 27,188 900 48,938
813 25,305 508 15,812 980 30,503
200 13,850 100 6,925 300 20,775
1,100 69,438 700 44,188 1,200 75,750
600 20,475 500 17,063 1,000 34,125
-- -- -- -- 300 6,900
800 17,100 600 12,825 1,400 29,925
1,200 47,250 900 35,438 1,300 51,188
500 7,688 700 10,763 1,200 18,450
1,549 45,502 1,084 31,843 2,035 59,778
999 45,579 610 27,831 1,075 49,047
-- -- -- -- 1,700 67,150
1,014 47,405 659 30,808 1,015 47,451
757 28,671 677 25,641 1,135 42,988
400 9,800 300 7,350 600 14,700
300 9,863 200 6,575 400 13,150
2,580 60,308 1,780 41,608 2,927 68,419
450 16,594 505 18,622 680 25,075
629 17,533 620 17,283 1,100 30,663
652 23,472 607 21,852 875 31,500
1,871 28,065 1,171 17,565 1,930 28,950
800 80,400 600 60,300 300 30,150
1,772 48,730 1,232 33,880 1,890 51,975
900 27,113 600 18,075 200 6,025
</TABLE>
---------------------------
61
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Caremark International Inc+ 1,000 $ 24,875 900 $ 22,388
Central Fidelity Banks Inc 825 19,388 645 15,158
Chris-Craft Industries Inc+ 313 12,677 254 10,287
Cincinnati Financial Corp 730 39,603 646 35,046
Cirrus Logic Corp+ 634 9,827 680 10,540
Clayton Homes Inc 1,021 20,548 687 13,826
Coca-Cola Enterprises 1,412 57,010 910 36,741
Comdisco Inc 616 16,016 445 11,570
Commerce Bancshares Inc 515 18,798 415 15,148
Compass Bankshares Inc 400 13,450 400 13,450
Compuware Corp+ 400 17,200 400 17,200
Comsat Corp 510 11,539 500 11,313
Conseco Inc 600 25,200 500 21,000
Consolidated Papers Inc 486 25,029 280 14,420
ContiFinancial Corp+ -- -- 100 2,875
Countrywide Credit Industries Inc 1,400 33,775 1,200 28,950
Cox Communications Inc Class A+ 613 12,107 574 11,337
Cracker Barrel Old Country Store
Inc 649 15,170 710 16,596
Crestar Financial Corp 602 34,991 520 30,225
Cypress Semiconductor+ 800 9,300 940 10,928
Dauphin Deposit Corp 360 10,170 370 10,453
Dean Foods Co 424 10,971 440 11,385
Diamond Shamrock R&M Inc 304 8,322 250 6,844
Dime Bancorp Inc+ 1,200 15,750 1,200 15,750
Dole Food Inc 646 26,728 410 16,964
Donaldson Lufkin & Jenrette Inc -- -- 100 3,163
Ensco International Inc+ 700 20,475 500 14,625
Edwards A G & Sons Inc 655 18,340 620 17,360
Electronic Data Systems Corp 3,088 168,296 1,930 105,185
Enserch Exploration Inc+ -- -- -- --
Equitable Co Inc 900 22,163 900 22,163
Equitable of Iowa Co 300 11,025 300 11,025
Equity Residential Properties Trust 400 14,150 400 14,150
Ethyl Corp 1,031 9,279 1,010 9,090
Everest Reinsurance Holdings Inc 300 7,313 200 4,875
FHP International Corp+ 424 15,370 440 15,950
Fina Inc Class A -- -- -- --
Finova Group Inc 300 16,500 300 16,500
First American Corp -- Tennessee 400 18,650 400 18,650
First America Bank Corp 847 40,021 710 33,548
First Brands Corp 486 11,057 480 10,920
First Colony Corp 400 14,050 400 14,050
First Commerce Corp 400 14,300 400 14,300
First Empire State Corp 100 25,450 100 25,450
</TABLE>
- ---------------------------
62
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,000 $ 49,750 1,200 $ 29,850 2,200 $ 54,725
1,050 24,675 945 22,208 1,507 35,415
478 19,359 325 13,163 220 8,910
1,245 67,541 840 45,570 1,495 81,104
1,496 23,188 1,066 16,523 1,510 23,405
1,556 31,315 1,056 21,252 1,526 30,711
2,188 88,341 1,448 58,463 1,955 78,933
1,041 27,066 636 16,536 842 21,892
825 30,113 620 22,630 945 34,493
500 16,813 400 13,450 900 30,263
600 25,800 400 17,200 900 38,700
819 18,530 814 18,417 1,190 26,924
900 37,800 600 25,200 1,000 42,000
770 39,655 490 25,235 770 39,655
-- -- -- -- 200 5,750
2,300 55,488 1,500 36,188 2,700 65,138
3,494 69,007 2,327 45,958 1,549 30,593
1,411 32,982 971 22,697 1,625 37,984
985 57,253 715 41,559 1,085 63,066
1,364 15,857 1,424 16,554 2,470 28,714
492 13,899 362 10,227 945 26,696
707 18,294 637 16,482 1,205 31,179
435 11,908 330 9,034 515 14,098
2,400 31,500 1,600 21,000 2,400 31,500
1,008 41,706 668 27,639 925 38,272
900 28,463 200 6,325 300 9,488
1,100 32,175 600 17,550 1,400 40,950
1,017 28,476 877 24,556 1,625 45,500
6,391 348,310 4,276 233,042 6,100 332,450
-- -- -- -- 500 4,563
2,700 66,488 1,300 32,013 1,800 44,325
400 14,700 400 14,700 800 29,400
400 14,150 400 14,150 800 28,300
2,029 18,261 1,308 11,772 2,630 23,670
400 9,750 300 7,313 600 14,625
703 25,484 636 23,055 1,009 36,576
400 20,150 -- -- 100 5,038
600 33,000 400 22,000 700 38,500
700 32,638 500 23,313 900 41,963
1,409 66,575 1,069 50,510 1,725 81,506
694 15,789 704 16,016 1,060 24,115
500 17,563 400 14,050 1,000 35,125
800 28,600 500 17,875 800 28,600
100 25,450 100 25,450 100 25,450
</TABLE>
---------------------------
63
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
First Hawaiian Inc 200 $ 5,900 200 $ 5,900
First Security Corp 974 26,542 880 23,980
First Tennessee National Corp 908 30,986 740 25,253
First Virginia Banks Inc 359 14,899 380 15,770
Firstar Corp 800 37,800 700 33,075
Fiserv Inc+ 617 20,901 530 17,954
Firstmerit Corp 300 9,000 300 9,000
FlightSafety International Inc 356 15,753 270 11,948
Food Lion Inc Class B 2,500 20,156 2,100 16,931
Food Lion Inc Class A 3,300 28,463 2,900 25,013
Forest Labs Inc Class A+ 582 23,935 570 23,441
Fort Howard Corp+ 700 16,538 600 14,175
Foundation Health Corp+ 609 18,270 482 14,460
Franchise Finance Corp -- -- 100 2,375
GATX Corp 223 10,314 270 12,488
Gaylord Entertainment Co Class A 315 7,718 315 7,718
General Motors Corp Class H 1,300 72,638 1,100 61,463
Greenpoint Financial Corp 600 21,375 500 17,813
Hanna (M A) Co 580 12,615 450 9,788
Hannaford Brothers Co 436 14,606 360 12,060
Harsco Corp 369 22,463 310 18,871
Hartford Steam Boiler Inspection 230 10,264 280 12,495
Hawaiian Electric Industries Inc 392 13,671 340 11,858
Health Care Property Investors Inc 300 10,163 300 10,163
Health Care & Retirement Corp+ 650 16,088 600 14,850
Health & Retire Property Trust 600 10,575 600 10,575
Hibernia Corp Class A 1,600 17,600 1,400 15,400
Hillenbrand Industries Inc 300 9,713 300 9,713
Horizon/CMS Healthcare Corp+ 600 7,500 400 5,000
Hormel Foods Corp 400 8,500 400 8,500
Host Marriott Corp+ 1,800 24,750 1,800 24,750
Hubbell Inc Class B 732 26,444 566 20,447
Huntington Bancshares Inc 2,115 47,852 1,815 41,064
IBP Inc 1,332 31,136 1,120 26,180
IMC Fertilizer Group 818 35,174 800 34,400
Integrated Device Technology Inc+ 700 6,388 800 7,300
International Game Technology 1,797 36,614 1,500 30,563
International Rectifier Corp+ 500 9,563 500 9,563
International Specialty Products
Inc -- -- 200 2,200
John Nuveen & Co Inc Class A -- -- 100 2,550
KLA Instruments Corp+ 300 5,925 400 7,900
Kansas City Southern Industries 481 19,481 270 10,935
Kelly Services Inc Class A 406 11,571 420 11,970
Kennametal Inc 300 9,300 300 9,300
</TABLE>
- ---------------------------
64
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
300 $ 8,850 200 $ 5,900 600 $ 17,700
1,775 48,369 1,102 30,030 1,850 50,413
1,570 53,576 1,100 37,538 1,680 57,330
791 32,827 461 19,132 945 39,218
1,100 51,975 900 42,525 1,800 85,050
699 23,679 629 21,307 1,095 37,093
500 15,000 500 15,000 700 21,000
487 21,550 357 15,797 645 28,541
4,300 34,669 3,000 24,188 4,400 35,475
5,600 48,300 4,200 36,225 6,500 56,063
1,066 43,839 686 28,212 1,260 51,818
600 14,175 400 9,450 1,300 30,713
965 28,950 626 18,780 986 29,580
-- -- -- -- 300 7,125
302 13,968 317 14,661 610 28,213
420 10,290 315 7,718 750 18,375
2,100 117,338 1,500 83,813 2,500 139,688
1,100 39,188 800 28,500 1,200 42,750
967 21,032 600 13,050 1,162 25,274
745 24,958 465 15,578 940 31,490
574 34,942 379 23,072 660 40,178
309 13,789 324 14,459 620 27,668
423 14,752 403 14,055 880 30,690
400 13,550 500 16,938 700 23,713
750 18,563 600 14,850 1,350 33,413
800 14,100 1,000 17,625 1,700 29,963
2,900 31,900 1,700 18,700 3,000 33,000
1,000 32,375 500 16,188 700 22,663
900 11,250 -- -- 1,000 12,500
600 12,750 600 12,750 900 19,125
3,400 46,750 2,100 28,875 4,000 55,000
1,008 36,414 934 33,741 1,502 54,260
3,487 78,893 2,579 58,350 4,029 91,156
2,152 50,303 1,542 36,044 2,500 58,438
1,530 65,790 770 33,110 1,700 73,100
1,700 15,513 800 7,300 2,100 19,163
3,072 62,592 1,917 39,059 3,445 70,192
1,000 19,125 700 13,388 1,100 21,038
1,300 14,300 -- -- 500 5,500
-- -- -- -- 300 7,650
600 11,850 600 11,850 900 17,775
765 30,983 485 19,643 660 26,730
689 19,637 419 11,942 885 25,223
411 12,741 300 9,300 600 18,600
</TABLE>
---------------------------
65
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Kimco Realty Corp 300 $ 8,700 250 $ 7,250
LTV Corp 1,400 16,450 1,200 14,100
Lafarge Corp 300 5,700 200 3,800
Lam Research Corp+ 300 7,088 300 7,088
Leggett & Platt Inc 1,058 30,153 800 22,800
Lehman Brothers Holdings 1,400 29,575 1,200 25,350
Leucadia National Corp 400 9,100 400 9,100
Litton Industries Inc+ 501 23,359 290 13,521
Longview Fibre Co 554 8,518 540 8,303
Loral Space & Communications+ 2,442 34,188 1,382 19,348
Lubrizol Corp 829 23,523 760 21,565
Lucent Technologies Inc 1,500 55,313 1,300 47,938
MBIA Inc 500 40,750 500 40,750
MGM Grand Inc+ 200 7,550 100 3,775
MAPCO Inc 337 18,156 260 14,008
Mark IV Industries Inc 521 11,202 507 10,901
Marshall & Ilsley Corp 1,358 37,345 1,140 31,350
Martin Mareitta Inc -- -- 100 2,200
McKesson Corp 500 21,313 400 17,050
Media General Inc Class A 280 8,715 220 6,848
Meditrust Corp 600 20,550 600 20,550
Mercantile Bancorporation 836 40,860 770 37,634
Mercantile Bankshares 503 13,392 490 13,046
Mercury General Corp 100 4,500 100 4,500
Mirage Resorts Inc+ 1,990 46,268 1,560 36,270
Molex Inc 1,063 34,946 718 23,604
Molex Inc Class A 600 17,850 575 17,106
Murphy Oil Corp 593 25,944 480 21,000
NGC Corp -- -- -- --
Nabisco Holdings Corp Class A 200 6,725 200 6,725
Nabors Industries Inc+ 900 13,388 900 13,388
New Plan Realty Trust 800 17,200 700 15,050
Northern Trust Corp 767 50,334 660 43,313
Officemax Inc+ 1,600 22,400 1,350 18,900
Ogden Corp 101 1,982 425 8,341
Ohio Casualty Corp 300 9,563 300 9,563
Old Kent Financial Corp 630 25,436 540 21,803
Old Republic International Corp 1,050 23,363 850 18,913
Olin Corp 335 26,549 280 22,190
PHH Corp 356 10,280 500 14,438
PMI Group Inc 300 14,663 300 14,663
PacifiCare Health Systems Inc Class A+ 289 22,036 240 18,300
PacifiCare Health Systems Inc Class B+ 200 16,100 200 16,100
Paging Network Inc+ 500 8,813 600 10,575
</TABLE>
- ---------------------------
66
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
450 $ 13,050 300 $ 8,700 700 $ 20,300
1,900 22,325 1,700 19,975 2,600 30,550
500 9,500 300 5,700 600 11,400
500 11,813 500 11,813 800 18,900
1,474 42,009 1,184 33,744 2,130 60,705
2,400 50,700 1,600 33,800 2,600 54,925
400 9,100 400 9,100 900 20,475
808 37,673 503 23,452 679 31,658
890 13,684 575 8,841 1,330 20,449
2,912 40,768 2,274 31,836 4,666 65,324
1,517 43,045 942 26,729 1,600 45,400
2,500 92,188 1,800 66,375 3,000 110,625
900 73,350 600 48,900 1,000 81,500
700 26,425 200 7,550 400 15,100
468 25,214 338 18,210 600 32,325
829 17,824 526 11,309 1,213 26,080
2,203 60,583 1,583 43,533 2,620 72,050
-- -- -- -- 300 6,600
800 34,100 600 25,575 1,000 42,625
410 12,761 290 9,026 570 17,741
1,100 37,675 700 23,975 1,200 41,100
1,469 71,797 1,064 52,003 1,740 85,043
813 21,646 708 18,851 1,280 34,080
200 9,000 100 4,500 300 13,500
2,978 69,239 2,208 51,336 3,570 83,003
1,638 53,849 1,100 36,163 822 27,023
925 27,519 825 24,544 1,225 36,444
1,077 47,119 597 26,119 1,070 46,813
1,600 24,200 -- -- 200 3,025
800 26,900 100 3,363 300 10,088
1,285 19,114 1,229 18,281 1,900 28,263
1,400 30,100 900 19,350 1,700 36,550
1,328 87,150 888 58,275 1,465 96,141
2,700 37,800 1,950 27,300 3,150 44,100
884 17,349 606 11,893 1,044 20,489
700 22,313 400 12,750 900 28,688
866 34,965 756 30,524 1,186 47,885
1,800 40,050 1,050 23,363 2,100 46,725
539 42,716 429 33,998 630 49,928
514 14,842 394 11,377 950 27,431
300 14,663 300 14,663 500 24,438
420 32,025 300 22,875 180 13,725
400 32,200 300 24,150 500 40,250
1,500 26,438 800 14,100 1,500 26,438
</TABLE>
---------------------------
67
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Painewebber Group Inc 1,200 $ 24,750 1,200 $ 24,750
Paul Revere Corp -- -- 100 2,838
Payless Shoe Source+ 517 18,160 511 17,949
Perrigo Co+ 812 7,410 550 5,019
Pittston Services Group 523 14,775 520 14,690
Policy Management Systems Corp+ 248 8,742 170 5,993
Premark International Inc 761 13,888 506 9,235
Progressive Corp Ohio 782 42,521 520 28,275
Provident Companies Inc+ 497 18,389 290 10,730
Qualcomm Inc+ 500 21,688 500 21,688
Quantum Corp+ 500 7,688 500 7,688
Questar Corp 427 15,479 440 15,950
Quorom Health Group Inc+ 300 7,575 200 5,050
RJR Nabisco Holdings Corp 2,970 78,334 2,543 67,072
RPM Inc 778 12,448 887 14,192
Rayonier Inc 356 14,107 350 13,869
Read-Rite Corp+ 400 5,300 500 6,625
Readers Digest Association Class B 200 7,425 200 7,425
Reading & Bates Corp+ 700 17,150 600 14,700
Regions Financial 835 38,201 750 34,313
Reliastar Financial Corp 500 22,063 400 17,650
Revco DS Inc+ 600 15,450 500 12,875
SCI Systems Inc+ 300 13,388 300 13,388
St Joe Paper Corp 100 6,150 100 6,150
Saks Holdings Inc+ 200 6,825 -- --
Schuller Corp -- -- 200 1,975
Schulman (A) Inc 403 8,765 420 9,135
Scripps (E W) Co 600 26,700 300 13,350
Security Capital Pacific Trust 600 12,525 600 12,525
Sensormatic Electronics 1,035 19,018 870 15,986
Shaw Industries Inc 1,560 23,400 1,130 16,950
Signet Banking Corp 800 19,300 700 16,888
Southern Pacific Rail Corp+ 761 21,689 649 18,497
SouthTrust Corp 1,171 34,545 1,080 31,860
Spelling Entertainment Group Inc+ -- -- -- --
Standard Fed Bancorp 400 16,750 400 16,750
Star Banc Corp 400 31,500 300 23,625
State Street Boston Corp 1,119 60,566 950 51,419
Stewart & Stevenson Services 364 7,235 280 5,565
Stewart Enterprises Inc Class A 450 15,300 450 15,300
Storage Technology Corp+ 659 24,960 635 24,051
Summit Bancorp 1,203 46,616 1,070 41,463
Sunamerica Inc 300 20,438 300 20,438
Sunbeam-Oster Co Inc 500 10,875 500 10,875
</TABLE>
- ---------------------------
68
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,400 $ 49,500 1,700 $ 35,063 2,500 $ 51,563
-- -- -- -- 200 5,675
743 26,098 515 18,089 1,104 38,778
1,252 11,425 842 7,683 1,680 15,330
657 18,560 743 20,990 1,104 31,188
303 10,681 258 9,095 440 15,510
1,133 20,677 796 14,527 1,550 28,288
1,197 65,087 797 43,337 1,050 57,094
806 29,822 501 18,537 680 25,160
1,000 43,375 600 26,025 1,200 52,050
790 12,146 785 12,069 1,400 21,525
710 25,738 440 15,950 830 30,088
400 10,100 300 7,575 700 17,675
5,005 132,007 3,551 93,658 5,818 153,450
1,198 19,168 986 15,776 1,768 28,288
462 18,307 526 20,843 719 28,490
600 7,950 500 6,625 1,300 17,225
300 11,138 300 11,138 600 22,275
1,200 29,400 800 19,600 1,300 31,850
1,419 64,919 964 44,103 1,640 75,030
800 35,300 600 26,475 900 39,713
700 18,025 500 12,875 1,200 30,900
500 22,313 400 17,850 600 26,775
200 12,300 100 6,150 300 18,450
-- -- -- -- 400 13,650
1,800 17,775 300 2,963 700 6,913
686 14,921 616 13,398 1,185 25,774
900 40,050 300 13,350 600 26,700
800 16,700 900 18,788 1,500 31,313
1,723 31,660 1,048 19,257 2,085 38,312
2,415 36,225 1,605 24,075 2,500 37,500
1,300 31,363 1,000 24,125 1,400 33,775
2,162 61,617 711 20,264 1,361 38,789
2,137 63,042 1,387 40,917 2,435 71,833
-- -- -- -- 400 2,800
600 25,125 500 20,938 800 33,500
700 55,125 500 39,375 800 63,000
1,885 102,026 1,350 73,069 2,190 118,534
495 9,838 365 7,254 845 16,794
750 25,500 600 20,400 800 27,200
1,284 48,632 767 29,050 1,425 53,972
2,039 79,011 1,514 58,668 2,479 96,061
750 51,094 450 30,656 600 40,875
800 17,400 600 13,050 1,300 28,275
</TABLE>
---------------------------
69
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Sungard Data Systems Inc+ 600 $ 25,650 400 $ 17,100
Symbol Technologies Inc+ 260 11,570 210 9,345
Synovus Financial Corp 1,550 37,006 1,350 32,231
TIG Holdings Inc 500 14,375 500 14,375
Talbots Inc 200 6,850 100 3,425
Tecumseh Products Co Class A 241 12,653 190 9,975
Tele-Communications International
Inc Class A+ 300 4,988 200 3,325
Tele-Communications Inc Liberty
Media Group Class A+ 2,190 57,761 1,906 50,271
Terra Industries Inc 500 6,625 400 5,300
Tidewater Inc 565 21,682 450 17,269
Tosco Corp 457 21,936 280 13,440
Transatlantic Holdings Inc 251 17,413 200 13,875
Travelers/Aetna Property & Casualty
Corp Class A 400 11,000 400 11,000
TriMas Corp 200 4,650 200 4,650
Trinity Industries Inc 522 16,900 440 14,245
Tyson Foods Inc Class A 1,594 38,655 1,060 25,705
UAL Corp+ 600 28,800 600 28,800
Ultramar Corp 600 16,500 500 13,750
Unifi Inc 768 21,024 700 19,163
Union Planters Corp 600 19,725 500 16,438
UnionBanCal Corp 100 4,825 100 4,825
United Asset Management Corp 800 18,500 600 13,875
U.S. Industries Inc 595 15,321 605 15,579
Unitrin Inc 300 15,000 300 15,000
Universal Corp 381 9,620 400 10,100
Universal Foods Corp 279 7,986 320 9,160
Valero Energy Corp 480 10,140 470 9,929
Vishay Intertechnology Inc 420 8,453 520 10,465
Vons Co Inc+ 480 21,240 270 11,948
Vulcan Materials Co 400 23,150 400 23,150
Wallace Computer Services Inc 490 13,291 600 16,275
Washington Federal Inc 440 9,735 540 11,948
Washington Mutual Inc 900 32,625 800 29,000
Washington Post Co Class B 127 41,053 100 32,325
Weingarten Realty Investors 200 7,900 200 7,900
Weis Markets Inc 200 6,825 100 3,413
Wesco Financial Corp -- -- -- --
Western Digital Corp+ 500 17,563 500 17,563
Western National Corp 400 7,550 300 5,663
Wheelabrator Technologies Inc+ 1,200 17,850 1,000 14,875
Wilmingtion Trust Corp 392 12,838 410 13,428
</TABLE>
- ---------------------------
70
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
900 $ 38,475 600 $ 25,650 1,100 $ 47,025
390 17,355 270 12,015 450 20,025
2,550 60,881 1,650 39,394 2,950 70,431
900 25,875 700 20,125 1,100 31,625
-- -- 200 6,850 400 13,700
345 18,113 249 13,073 431 22,628
1,500 24,938 200 3,325 600 9,975
3,722 98,168 2,756 72,690 4,314 113,782
700 9,275 500 6,625 1,100 14,575
925 35,497 585 22,449 1,065 40,869
489 23,472 359 17,232 945 45,360
355 24,628 260 18,038 340 23,588
900 24,750 600 16,500 900 24,750
-- -- 200 4,650 500 11,625
705 22,824 635 20,558 1,005 32,537
2,474 59,995 1,649 39,988 2,030 49,228
1,200 57,600 800 38,400 1,500 72,000
1,100 30,250 600 16,500 1,100 30,250
1,182 32,357 982 26,882 1,640 44,895
1,000 32,875 600 19,725 1,100 36,163
500 24,125 100 4,825 200 9,650
1,400 32,375 800 18,500 1,400 32,375
950 24,463 760 19,570 1,535 39,526
600 30,000 400 20,000 700 35,000
639 16,135 594 14,999 1,065 26,891
409 11,708 489 13,998 770 22,041
764 16,140 684 14,450 1,060 22,393
840 16,905 630 12,679 1,071 21,554
764 33,807 484 21,417 760 33,630
800 46,300 500 28,938 900 52,088
1,100 29,838 510 13,834 1,200 32,550
660 14,603 550 12,169 1,320 29,205
1,600 58,000 800 29,000 1,900 68,875
180 58,185 133 42,992 125 40,406
400 15,800 400 15,800 700 27,650
600 20,475 200 6,825 300 10,238
100 17,400 -- -- -- --
900 31,613 800 28,100 1,100 38,638
600 11,325 400 7,550 1,000 18,875
2,800 41,650 1,400 20,825 2,100 31,238
649 21,255 504 16,506 875 28,656
</TABLE>
---------------------------
71
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Witco Corp 716 $ 21,659 680 $ 20,570
Zions Bancorp 200 17,250 200 17,250
Zurich Reinsurance Centre Holdings
Inc+ 200 5,975 100 2,988
------------ ------------
TOTAL MEDIUM CAP VALUE STOCKS
- VALUE $ 4,822,393 $ 4,145,884
- COST $ 4,282,635 $ 3,756,865
MEDIUM CAP UTILITY STOCKS
PERCENT OF NET ASSETS 0.68% 0.50%
AGL Resources Inc 538 $ 10,895 440 $ 8,910
AES Corp 784 27,832 640 22,720
Allegheny Power System Inc 1,284 38,039 1,010 29,921
Atlantic Energy Inc 569 10,100 460 8,165
Brooklyn Union Gas Co 510 13,834 400 10,850
CMS Energy Corp 921 27,515 740 22,108
Century Telephone Enterprise 567 19,207 460 15,583
Delmarva Power & Light Co 640 13,120 510 10,455
El Paso Natural Gas Co 398 16,567 320 13,320
Florida Progress Corp 1,015 35,144 800 27,700
Frontier Corp 783 23,099 630 18,585
Idaho Power Co 402 13,216 320 10,520
Illinova Corp 813 21,240 650 16,981
IPALCO Enterprises Inc 607 16,389 480 12,960
Kansas City Power & Light Co 667 18,343 530 14,575
LG&E Energy Corp 728 16,562 560 12,740
MCN Corp 616 16,478 500 13,375
Midamerican Energy Co 451 7,160 367 5,826
Minnesota Power & Light Co 349 9,379 270 7,256
Montana Power Co 563 12,175 460 9,948
NIPSCO Industries Inc 702 25,974 560 20,720
National Fuel Gas Co 400 14,800 320 11,840
Nevada Power Co 444 9,158 360 7,425
New England Electric System 695 22,674 560 18,270
New York State Electric & Gas 772 16,598 610 13,115
NEXTEL Communications Class A 1,068 17,489 880 14,410
Northeast Utilities 1,340 17,085 1,070 13,643
Oklahoma Gas & Electric Co 429 17,375 340 13,770
Pinnacle West Capital Corp 941 27,054 750 21,563
Portland General Corp 540 19,575 430 15,588
Potomac Electric Power Co 1,282 31,569 1,010 24,871
Public Service Company of Colorado 661 23,548 530 18,881
Puget Sound Power & Light Co 683 15,624 540 12,353
Ranger Oil Ltd -- -- -- --
SCANA Corp 1,026 27,959 820 22,345
</TABLE>
- ---------------------------
72
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,352 $ 40,898 822 $ 24,866 1,395 $ 42,199
300 25,875 200 17,250 400 34,500
-- -- 100 2,988 300 8,963
------------ ----------- ------------
$ 8,286,709 $ 5,667,345 $ 9,526,457
$ 7,415,608 $ 5,016,653 $ 8,674,624
0.59% 0.70% 0.39%
798 $ 16,160 558 $ 11,300 520 $ 10,530
1,148 40,754 798 28,329 750 26,625
1,809 53,592 1,319 39,075 1,230 36,439
830 14,733 590 10,473 550 9,763
719 19,503 514 13,942 490 13,291
1,314 39,256 954 28,501 885 26,439
828 28,049 588 19,919 565 19,139
903 18,512 648 13,284 615 12,608
556 23,144 411 17,108 385 16,026
1,434 49,652 1,039 35,975 980 33,933
1,122 33,099 797 23,512 750 22,125
585 19,232 415 13,643 385 12,657
1,153 30,122 843 22,023 780 20,378
882 23,814 627 16,929 577 15,579
955 26,263 690 18,975 645 17,738
992 22,568 732 16,653 690 15,698
930 24,878 670 17,923 600 16,050
680 10,795 489 7,763 -- --
480 12,900 350 9,406 335 9,003
824 17,819 584 12,629 540 11,678
1,015 37,555 740 27,380 675 24,975
582 21,534 412 15,244 385 14,245
652 13,448 472 9,735 450 9,281
1,008 32,886 718 23,425 690 22,511
1,087 23,371 787 16,921 740 15,910
1,588 26,004 1,101 18,029 1,025 16,784
1,916 24,429 1,386 17,672 1,290 16,448
612 24,786 442 17,901 415 16,808
1,334 38,353 974 28,003 905 26,019
775 28,094 560 20,300 520 18,850
1,806 44,473 1,316 32,407 1,230 30,289
949 33,808 684 24,368 635 22,622
971 22,212 706 16,150 655 14,983
1,508 10,368 1,103 7,583 -- --
1,446 39,404 1,036 28,231 980 26,705
</TABLE>
---------------------------
73
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Southern New England Telecom Corp 687 $ 26,192 550 $ 20,969
Southwestern Public Service Co 433 14,181 350 11,463
TECO Energy Inc 1,265 30,202 990 23,636
Telephone & Data Systems Inc 566 24,126 450 19,181
Utilicorp United Inc 491 14,178 380 10,973
Vanguard Cellular Systems Class A+ 411 7,860 330 6,311
WPL Holdings Inc 341 10,401 260 7,930
Washington Gas Light Co 464 10,150 360 7,875
Wisconsin Energy Corp 1,148 31,570 920 25,300
------------ ------------
TOTAL MEDIUM CAP UTILITY STOCKS
- VALUE $ 821,636 $ 654,930
- COST $ 720,962 $ 591,385
SMALL CAP GROWTH STOCKS
PERCENT OF NET ASSETS 0.11% 0.05%
Alliance Semiconductor Corp -- $ -- -- $ --
Boyd Gaming Corp+ -- -- 200 2,325
Collins & Aikman Corp+ -- -- -- --
Crompton & Knowles Corp 550 8,250 340 5,100
Department 56 Inc+ 200 4,775 200 4,775
Earthgrains Co 14 473 73 2,464
Flowers Industries Inc 606 10,908 480 8,640
GenCorp Inc -- -- -- --
Geon Co -- -- -- --
Getchell Gold Corp+ 24 1,050 59 2,581
Home Shopping Network Inc+ 1,025 11,019 810 8,708
HON Industries Inc 353 12,443 270 9,518
Jacobs Engineering Group+ -- -- -- --
Kaydon Corp -- -- -- --
Lands End Inc+ -- -- -- --
Lawter International Inc -- -- -- --
Lincoln Telecommunications -- -- -- --
MAXXAM Inc+ -- -- -- --
National Education Corp+ 52 943 118 2,139
OEA Inc+ -- -- -- --
Octel Communications+ -- -- -- --
Precision Castparts Corp -- -- -- --
Primadonna Resorts Inc+ -- -- -- --
Rollins Inc 388 8,100 210 4,384
Sbarro Inc -- -- -- --
Smith International Inc+ 414 14,387 -- --
Sotheby's Holdings Inc 611 9,471 -- --
Structural Dynamics Research+ 303 7,651 -- --
Superior Industries International
Inc 322 7,567 260 6,110
</TABLE>
- ---------------------------
74
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
975 $ 37,172 710 $ 27,069 680 $ 25,925
617 20,207 462 15,131 415 13,591
1,789 42,712 1,284 30,656 1,220 29,128
827 35,251 587 25,021 565 24,083
675 19,491 494 14,264 472 13,629
595 11,379 427 8,166 390 7,459
473 14,427 343 10,462 325 9,913
624 13,650 454 9,931 440 9,625
1,645 45,238 1,175 32,313 1,105 30,388
------------ ----------- ------------
$ 1,185,097 $ 853,724 $ 785,870
$ 1,038,100 $ 753,164 $ 684,396
0.16% 0.16% 0.09%
-- $ 0 -- $ 0 250 $ 1,563
-- -- 300 3,488 700 8,138
-- -- -- -- 400 2,650
885 13,275 570 8,550 1,430 21,450
300 7,163 200 4,775 600 14,325
167 5,636 134 4,523 306 10,328
879 15,822 624 11,232 577 10,386
485 6,729 -- -- -- --
-- -- -- -- 300 6,675
222 9,713 158 6,913 246 10,763
1,444 15,523 1,049 11,277 680 7,310
484 17,061 354 12,479 535 18,859
373 8,719 -- -- -- --
250 11,219 -- -- -- --
547 11,487 -- -- -- --
677 8,039 -- -- -- --
490 7,595 -- -- -- --
128 5,232 -- -- -- --
270 4,894 212 3,843 -- --
308 11,897 223 8,613 -- --
730 21,261 540 15,728 -- --
300 14,663 213 10,410 -- --
-- -- -- -- 400 8,100
645 13,464 400 8,350 675 14,091
319 7,895 219 5,420 -- --
597 20,746 427 14,838 -- --
848 13,144 623 9,657 -- --
434 10,959 319 8,055 -- --
454 10,669 331 7,779 510 11,985
</TABLE>
---------------------------
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Symantec Corp+ 378 $ 3,686 500 $ 4,875
TCA Cable TV Inc 266 6,916 -- --
Tencor Instruments+ 300 5,175 200 3,450
Tiffany & Co 326 11,369 -- --
Valhi Inc -- -- -- --
Wausau Paper Mills Co 392 7,007 316 5,649
Williams-Sonoma Inc+ -- -- -- --
------------ ------------
TOTAL SMALL CAP GROWTH STOCKS
- VALUE $ 131,190 $ 70,718
- COST $ 114,397 $ 75,429
SMALL CAP VALUE STOCKS
PERCENT OF NET ASSETS 0.23% 0.15%
AnnTaylor Stores Inc+ 247 $ 3,582 195 $ 2,828
Argonaut Group Inc -- -- 100 2,925
Bandag Inc -- -- 100 4,713
Bandag Inc Class A 100 4,575 100 4,575
Bassett Furniture Industries 25 597 50 1,194
Best Buy Co Inc+ -- -- 100 2,200
Bob Evans Farms Inc 468 6,845 360 5,265
Borders Group Inc+ -- -- -- --
Breed Technologies Inc -- -- -- --
Brown Group Inc 31 589 180 3,420
Burlington Industries Inc+ 729 9,842 477 6,440
Castle & Cooke Inc+ 215 3,279 136 2,074
Chesapeake Corp 256 6,272 200 4,900
Exabyte Corp+ -- -- -- --
Family Dollar Stores Inc 620 10,540 480 8,160
Federal Mogul Corp 396 6,831 300 5,175
Federal Realty Investment Trust -- -- -- --
Ferro Corp 305 7,968 250 6,531
Fingerhut Co 505 6,754 400 5,350
First Mississippi Corp 35 941 84 2,258
Fuller H B Co -- -- -- --
Fund American Enterprises Inc+ -- -- -- --
Glatfelter (P H) Co 486 8,870 280 5,110
Goulds Pumps Inc -- -- -- --
Granite Construction Inc -- -- -- --
Heilig-Meyers Co 524 9,301 410 7,278
Highland Insurance Group+ 37 703 76 1,444
Houghton Mifflin Co 152 7,220 120 5,700
Hunt (JB) Transport Services -- -- -- --
IES Industries Inc -- -- -- --
Indiana Energy Inc -- -- -- --
</TABLE>
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Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
636 $ 6,201 761 $ 7,420 1,500 $ 14,625
371 9,646 276 7,176 -- --
400 6,900 300 5,175 700 12,075
480 16,740 360 12,555 -- --
-- -- -- -- 300 1,913
572 10,225 407 7,275 371 6,632
-- -- -- -- 200 5,175
------------ ----------- ------------
$ 322,517 $ 195,531 $ 187,043
$ 270,726 $ 169,527 $ 230,878
0.33% 0.34% 0.28%
351 $ 5,090 253 $ 3,669 237 $ 3,437
-- -- 200 5,850 300 8,775
200 9,425 100 4,713 300 14,138
200 9,150 200 9,150 400 18,300
200 4,775 120 2,865 206 4,918
-- -- 300 6,600 600 13,200
752 10,998 472 6,903 1,250 18,281
-- -- -- -- 400 12,950
-- -- -- -- 100 2,663
338 6,422 221 4,199 253 4,807
1,136 15,336 749 10,112 1,902 25,677
336 5,124 222 3,386 341 5,200
361 8,845 266 6,517 650 15,925
340 5,015 -- -- -- --
857 14,569 627 10,659 495 8,415
553 9,539 398 6,866 380 6,555
-- -- -- -- 400 9,400
436 11,391 331 8,647 815 21,292
714 9,550 509 6,808 180 2,408
314 8,439 224 6,020 348 9,353
225 7,959 -- -- -- --
-- -- -- -- 100 9,213
769 14,034 489 8,924 770 14,053
315 7,009 -- -- -- --
270 5,130 -- -- -- --
834 14,804 544 9,656 1,300 23,075
172 3,268 136 2,584 216 4,104
230 10,925 155 7,363 445 21,138
596 10,803 -- -- -- --
-- -- -- -- 300 9,975
352 8,932 -- -- -- --
</TABLE>
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<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Information Resources Inc+ -- $ -- -- $ --
Intelligent Electronics -- -- -- --
International Dairy Queen Class A -- -- -- --
International Multifoods Corp -- -- -- --
John Alden Financial Corp -- -- -- --
Keystone International Inc 383 7,708 300 6,038
Lance Inc -- -- -- --
Lawson Products Inc -- -- -- --
Lee Enterprises Inc 498 10,209 -- --
Lukens Inc -- -- -- --
MacFrugals Bargains Closeouts+ -- -- -- --
Mascotech Inc -- -- 300 4,350
Measurex Corp -- -- -- --
Meyer (Fred) Inc+ -- -- -- --
Michaels Stores Inc -- -- -- --
Miller (Herman) Inc 269 10,092 210 7,878
Mobile Telecommunication
Technologies Corp+ -- -- 400 5,550
Modine Manufacturing Co 309 7,957 250 6,438
Morrison Health Care Inc 128 1,568 66 809
NCH Corp -- -- -- --
National Presto Industries Inc+ -- -- -- --
New World Communications Group Inc+ -- -- 200 4,613
Novacare Corp+ -- -- -- --
Old National Bancorp 315 11,576 210 7,718
Oregon Steel Mills Inc -- -- -- --
Overseas Shipholding Group 393 7,369 310 5,813
Parker & Parsley Petroleum 376 9,306 297 7,351
Parker Drilling Co+ -- -- -- --
Pentair Corp -- -- -- --
Phillips Van Heusen Corp -- -- -- --
Physician Corp of America+ 400 5,300 300 3,975
Pittston Burlington Group 61 1,167 160 3,060
Public Service Company of New
Mexico+ -- -- -- --
Quaker State Corp -- -- -- --
Roadway Express Inc+ 46 730 158 2,508
Rohr Industries Inc+ -- -- -- --
Ruby Tuesday Inc 192 3,984 100 2,075
Ruddick Corp -- -- -- --
Savannah Foods & Industries -- -- -- --
Schweitzer-Mauduit International
Inc+ 20 640 92 2,944
Seagull Energy Corp+ 391 7,038 310 5,580
Sequent Computer Systems+ 340 3,825 -- --
Service Merchandise Co+ 771 3,566 -- --
</TABLE>
- ---------------------------
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<CAPTION>
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- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
403 $ 5,088 -- $ -- -- $ --
540 3,915 -- -- -- --
369 7,749 -- -- -- --
274 4,555 -- -- -- --
-- -- -- -- 300 6,000
641 12,900 396 7,970 965 19,421
478 8,126 -- -- -- --
197 4,236 -- -- -- --
708 14,514 510 10,455 -- --
230 4,629 -- -- -- --
438 9,253 -- -- -- --
-- -- 400 5,800 800 11,600
286 7,865 -- -- -- --
-- -- -- -- 200 5,950
-- -- -- -- 200 2,800
374 14,031 279 10,467 260 9,754
-- -- -- -- -- --
465 11,974 335 8,626 500 12,875
214 2,622 132 1,617 258 3,161
124 6,898 89 4,951 -- --
116 4,234 81 2,957 -- --
-- -- 400 9,225 700 16,144
975 8,775 710 6,390 -- --
420 15,435 315 11,576 735 27,011
299 4,522 199 3,010 -- --
550 10,313 405 7,594 375 7,031
534 13,217 386 9,554 462 11,435
844 5,908 619 4,333 -- --
576 15,696 406 11,064 -- --
410 4,356 290 3,081 -- --
600 7,950 500 6,625 1,100 14,575
328 6,273 221 4,227 402 7,688
650 12,675 470 9,165 -- --
419 6,652 299 4,747 -- --
270 4,286 243 3,858 359 5,699
287 5,991 207 4,321 -- --
321 6,661 199 4,129 387 8,030
714 9,193 524 6,747 -- --
410 5,074 290 3,589 -- --
214 6,848 176 5,632 351 11,232
548 9,864 403 7,254 375 6,750
471 5,299 341 3,836 -- --
1,516 7,012 1,111 5,138 -- --
</TABLE>
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<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Skyline Corp 20 $ 508 44 $ 1,117
Smucker (J M) Co Class A 305 5,033 -- --
Southdown Inc+ 175 4,069 -- --
Standard Register Co 301 8,240 -- --
Stanhome Inc 220 5,610 170 4,335
Stratus Computer Inc+ 261 4,894 210 3,938
Teleflex Inc 175 8,050 -- --
Thiokol Inc 216 9,693 -- --
VLSI Technology Inc+ 500 7,000 400 5,600
Varco International Inc+ 292 4,709 -- --
Waban Inc+ 365 7,756 -- --
Watts Industries Inc Class A+ 308 5,737 -- --
Wellman Inc 363 7,487 280 5,775
Xtra Corp 200 8,675 200 8,675
Zenith Electronic Corp+ 44 649 89 1,313
Zurn Industries Inc 22 454 46 949
------------ ------------
TOTAL SMALL CAP VALUE STOCKS
- VALUE $ 275,308 $ 195,942
- COST $ 295,471 $ 215,332
MICRO CAP STOCKS
PERCENT OF NET ASSETS 0.01% 0.01%
Bally Total Fitness Holding Corp+ 26 $ 111 76 $ 323
Crown Vantage Inc+ 21 215 48 492
Dave & Buster's Inc+ -- -- -- --
Edison Brothers Stores Inc -- -- -- --
Ennis Business Forms Inc -- -- -- --
Genzyme Corp -- Tissue Repair+ 35 284 -- --
Gibson Greeting Inc+ -- -- -- --
Golden Books Family Entertainment
Inc+ 234 2,633 -- --
Hancock Fabrics -- -- -- --
Handleman Co 59 347 132 776
Hartmarx Corp+ 81 395 230 1,121
Host Marriot Services Corp+ 240 1,680 240 1,680
International Technology+ -- -- -- --
MagneTek Inc+ -- -- -- --
Michael Foods Inc -- -- -- --
Mid-American Waste Systems Inc+ -- -- -- --
Morrison Fresh Cooking Inc 96 540 50 281
Morrison Knudsen Corp+ 55 34 229 143
NPC International Inc -- -- -- --
Oshkosh B'Gosh Inc Class A 26 442 49 833
Rollins Environmental Services+ 131 409 353 1,103
SPX Corp 22 613 46 1,282
</TABLE>
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- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
222 $ 5,633 78 $ 1,979 133 $ 3,375
436 7,194 331 5,462 -- --
253 5,882 178 4,139 -- --
432 11,826 312 8,541 -- --
299 7,625 214 5,457 210 5,355
366 6,863 271 5,081 750 14,063
254 11,684 194 8,924 -- --
295 13,238 210 9,424 -- --
600 8,400 400 5,600 1,200 16,800
524 8,450 374 6,031 -- --
497 10,561 367 7,799 -- --
464 8,642 334 6,221 -- --
495 10,209 365 7,528 845 17,428
300 13,013 200 8,675 500 21,688
279 4,115 230 3,393 367 5,413
224 4,620 180 3,713 241 4,971
------------ ----------- ------------
$ 649,076 $ 417,396 $ 563,501
$ 669,698 $ 436,681 $ 608,742
0.03% 0.02% 0.01%
185 $ 786 116 $ 493 223 $ 948
104 1,066 81 830 132 1,353
69 1,518 -- -- -- --
347 564 -- -- -- --
247 2,655 -- -- -- --
49 398 36 293 33 268
244 3,172 -- -- -- --
313 3,521 233 2,621 -- --
342 2,950 -- -- -- --
467 2,744 307 1,804 521 3,061
389 1,896 354 1,726 618 3,013
380 2,660 320 2,240 680 4,760
551 1,515 -- -- -- --
367 3,808 -- -- -- --
229 2,490 -- -- -- --
372 140 -- -- -- --
160 900 99 557 193 1,086
367 229 343 214 563 352
374 3,132 284 2,379 -- --
228 3,876 85 1,445 222 3,774
769 2,403 623 1,947 822 2,569
226 6,300 83 2,314 248 6,913
</TABLE>
---------------------------
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LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Sequa Corp Class A+ 110 $ 4,813 -- $ --
Sizzler International Inc 254 635 -- --
Strattec Security Corp+ 10 138 28 385
Topps Inc+ 512 2,432 -- --
Transport Holding Inc Class A+ 4 196 10 490
XOMA Corp+ 188 1,116 -- --
------------ ------------
TOTAL MICRO CAP STOCKS - VALUE $ 17,033 $ 8,909
- COST $ 17,918 $ 11,674
INTERNATIONAL STOCKS (EXCEPT JAPAN)
PERCENT OF NET ASSETS 5.36% 9.07%
Alcatel Alsthom Compagnie Generale
d'Electricite ADR (France)+ 11,450 $ 177,475 21,300 $ 330,150
Allied Irish Banks PLC ADR
(Ireland) 1,400 48,475 2,500 86,563
BAT Industries PLC ADR (UK) 9,700 128,525 17,800 235,850
Banco Bilbao Vizcaya ADR (Spain) 950 39,544 1,600 66,600
Banco Central Hispanoamericano SA
ADR (Spain) 1,100 11,413 2,000 20,750
Banco Santander SA ADR (Spain) 700 35,700 1,400 71,400
Barclays PLC ADR (UK) 1,650 94,875 3,100 178,250
Benetton Group SpA ADR (Italy)+ 5,350 119,038 9,800 218,050
British Airways PLC ADR (UK) 1,600 131,600 2,800 230,300
British Petroleum Co PLC ADR (UK) 1,224 144,147 2,250 264,952
British Gas PLC ADR (UK) 3,600 117,000 6,700 217,750
British Steel PLC ADR (UK) 850 24,756 1,500 43,688
British Telecommunications PLC ADR
(UK) 3,700 216,913 6,700 392,788
Broken Hill Proprietory Co Ltd ADR
(Australia 3,680 100,740 7,460 204,218
Coles Myer Ltd ADR (Australia) 2,424 68,175 4,332 121,838
Courtaulds PLC ADR (UK) 19,700 132,975 36,100 243,675
Daimler-Benz Aktiengesellschaft ADR
(Germany) 17,350 945,575 32,000 1,744,000
ELF Aquitaine ADR (France)+ 9,550 348,575 17,700 646,050
Fiat SpA ADR (Italy) 7,700 120,313 14,300 223,438
Glaxo Holdings Plc ADR (UK) 7,400 210,900 13,600 387,600
Grand Metropolitan PLC ADR (UK) 7,547 218,863 13,948 404,492
Hanson Finance PLC 8,550 107,944 15,900 200,738
Hong Kong Telecommunications Ltd
ADR (Hong Kong) 21,916 369,825 40,708 686,949
Imperial Chemical Industries PLC
ADR (UK) 2,100 106,313 3,900 197,438
KLM Royal Dutch Airlines ADR
(Netherlands)+ 507 14,133 1,110 30,941
Montedison Spa ADR+ 2,646 16,868 6,292 40,112
National Australia Bank Ltd ADS
(Australia) 2,050 100,963 3,700 182,225
News Corporation Ltd ADR
(Australia) 1,450 30,813 2,700 57,375
Novo-Nordisk A/S ADR (Denmark) 4,150 159,775 7,600 292,600
</TABLE>
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<CAPTION>
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Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
137 $ 5,994 102 $ 4,463 -- $ --
434 1,085 319 798 -- --
72 990 49 674 -- --
722 3,430 527 2,503 -- --
22 1,078 17 833 27 1,323
193 1,146 193 1,146 -- --
------------ ----------- ------------
$ 62,446 $ 29,280 $ 29,420
$ 75,752 $ 34,461 $ 35,809
11.78% 14.77% 15.27%
41,500 $ 643,250 31,900 $ 494,450 53,750 $ 833,125
4,950 171,394 3,800 131,575 6,400 221,600
34,750 460,438 26,750 354,438 45,000 596,250
3,200 133,200 2,400 99,900 4,100 170,663
3,950 40,981 3,000 31,125 5,100 52,913
2,700 137,700 2,050 104,550 3,450 175,950
6,975 401,063 5,650 324,875 9,750 560,625
19,125 425,531 14,700 327,075 24,700 549,575
5,525 454,431 4,300 353,675 7,150 588,088
4,393 517,276 3,394 399,622 5,608 660,340
13,100 425,750 10,050 326,625 16,950 550,875
3,050 88,831 2,300 66,988 3,950 115,044
13,100 767,988 10,050 589,181 16,950 993,694
16,090 440,464 12,320 337,260 20,580 563,378
8,475 238,359 6,532 183,713 11,040 310,500
70,900 478,575 54,400 367,200 91,700 618,975
62,500 3,406,250 48,000 2,616,000 80,900 4,409,050
34,450 1,257,425 26,500 967,250 44,650 1,629,725
27,900 435,938 21,450 335,156 36,200 565,625
26,600 758,100 20,400 581,400 34,450 981,825
27,710 803,590 20,942 607,318 35,288 1,023,352
30,975 391,059 23,750 299,844 40,150 506,894
79,972 1,349,533 61,289 1,034,255 103,363 1,744,247
7,575 383,484 5,750 291,094 9,800 496,125
2,229 62,133 1,774 49,450 2,939 81,925
9,157 58,376 7,067 45,052 16,192 103,224
7,125 350,906 5,450 268,413 9,250 455,563
5,200 110,500 3,950 83,938 6,750 143,438
14,875 572,688 11,400 438,900 19,150 737,275
</TABLE>
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<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Philips Electronics NV
(Netherlands) 2,000 $ 67,750 3,500 $ 118,563
Premier Farnell Plc ADR+ 626 12,677 1,084 21,951
RTZ PLC ADR (UK) 2,800 170,100 5,100 309,825
Repsol SA ADR (Spain) 1,850 60,356 3,400 110,925
Rhone-Poulenc SA ADR (France) 4,484 118,272 8,268 218,081
Royal Dutch Petroleum Co ADR
(Netherlands) 1,889 282,169 3,617 540,289
Smithkline Beecham Plc ADR (UK) 2,150 125,238 3,800 221,350
Telecommunications of New Zealand
Corp ADR (New Zealand) 850 65,025 1,600 122,400
Telefonica de Espana ADR (Spain) 2,450 135,669 4,500 249,188
Total Compagnie Francaise des
Petroles SA ADR (France)+ 4,025 149,439 7,451 276,604
Unilever NV (Netherlands) 5,605 804,318 10,283 1,475,611
Vodafone Group Plc ADR (UK) 1,850 70,069 3,500 132,563
WMC Limited ADR 1,750 49,219 3,100 87,188
Westpac Banking Corp ADR
(Australia) 1,750 41,563 3,400 80,750
------------ ------------
TOTAL INTERNATIONAL STOCKS
(EXCEPT JAPAN) - VALUE $ 6,494,075 $ 11,986,068
- COST $ 6,224,254 $ 11,565,370
JAPANESE STOCKS
PERCENT OF NET ASSETS 1.57% 2.66%
CSK Corp ADR 2,250 $ 68,906 4,100 $ 125,563
Canon Inc ADR 700 64,838 1,250 115,781
Fuji Photo Film Co Ltd ADR 1,800 54,000 3,400 102,000
Hitachi Ltd ADR 600 55,050 1,000 91,750
Honda Motor Co Ltd ADR 1,400 64,575 2,600 119,925
Ito Yokado Co Ltd ADR 750 157,875 1,300 273,650
Japan Air Lines Co ADR 11,700 171,113 21,600 315,900
Kirin Brewery Co ADR 1,900 195,700 3,550 365,650
Kubota Corp ADR 100 13,250 100 13,250
Kyocera Corp ADR 250 34,000 600 81,600
Makita Corp ADR 2,950 42,038 5,350 76,238
Matsushita Electric Industrial Co
Ltd ADR 250 42,531 550 93,569
Mitsui & Co Ltd ADR 1,250 210,000 2,300 386,400
NEC Corp ADR 1,250 67,188 2,300 123,625
Nippon Telephone & Telegraph ADR 2,436 88,305 4,611 167,149
Nissan Motor Co Ltd ADR 3,100 46,113 5,700 84,788
Pioneer Electronics Corp 2,450 51,144 4,450 92,894
SONY Corp ADR 800 50,600 1,550 98,038
</TABLE>
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Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
6,875 $ 232,891 5,250 $ 177,844 8,950 $ 303,181
2,106 42,647 1,626 32,927 2,737 55,424
9,925 602,944 7,550 458,663 12,850 780,638
6,625 216,141 5,150 168,019 8,650 282,206
16,134 425,538 12,427 327,752 20,953 552,637
7,038 1,051,301 5,400 806,625 9,003 1,344,823
7,400 431,050 5,700 332,025 9,600 559,200
3,175 242,888 2,500 191,250 4,100 313,650
8,700 481,763 6,700 371,013 11,250 622,969
14,570 540,922 11,247 417,554 18,914 702,167
20,021 2,873,014 15,415 2,212,053 25,932 3,721,242
6,800 257,550 5,200 196,950 8,800 333,300
6,075 170,859 4,650 130,781 7,900 222,188
6,600 156,750 5,100 121,125 8,600 204,250
------------ ----------- ------------
$ 23,491,471 $18,054,903 $ 30,437,738
$ 22,637,750 $17,481,122 $ 29,569,110
3.56% 4.69% 4.85%
8,300 $ 254,188 6,725 $ 205,953 11,400 $ 349,125
2,575 238,509 2,100 194,513 3,550 328,819
6,900 207,000 5,450 163,500 9,300 279,000
2,125 194,969 1,725 158,269 2,900 266,075
5,325 245,616 4,275 197,184 7,200 332,100
2,725 573,613 2,150 452,575 3,650 768,325
43,975 643,134 35,350 516,994 59,900 876,038
7,100 731,300 5,700 587,100 9,650 993,950
100 13,250 100 13,250 100 13,250
1,150 156,400 975 132,600 1,600 217,600
10,225 145,706 8,875 126,469 15,050 214,463
1,050 178,631 800 136,100 1,300 221,163
4,600 772,800 3,725 625,800 6,250 1,050,000
4,725 253,969 3,850 206,938 6,500 349,375
9,343 338,684 7,506 272,093 12,774 463,058
11,650 173,294 9,450 140,569 15,950 237,256
9,175 191,528 7,375 153,953 12,650 264,069
3,100 196,075 2,450 154,963 4,200 265,650
</TABLE>
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<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Tokio Marine & Fire Insurance Co
ADR 5,700 $ 329,175 10,600 $ 612,150
Toyota Motor Corp ADR 2,000 96,250 3,700 178,063
------------ ------------
TOTAL JAPANESE STOCKS - VALUE $ 1,902,651 $ 3,517,983
- COST $ 1,911,566 $ 3,617,674
TOTAL COMMON STOCKS - VALUE $ 27,308,013 $ 62,452,158
- COST $ 24,674,088 $ 57,294,725
</TABLE>
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<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
21,400 $ 1,235,850 17,250 $ 996,188 29,200 $ 1,686,300
7,525 362,141 6,050 291,156 10,250 493,281
------------ ----------- ------------
$ 7,106,657 $ 5,726,167 $ 9,668,897
$ 7,229,600 $ 5,806,274 $ 9,830,484
$129,833,843 $95,716,180 $179,070,126
$116,538,812 $85,103,862 $162,731,707
</TABLE>
---------------------------
87
<PAGE> 93
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Principal Value Principal Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM GOVERNMENT
BONDS
PERCENT OF NET ASSETS 3.40% 6.80%
U.S. Treasury Bonds,
6.25% -- 11.75%,
05/15/21 - 11/15/24 $ 3,550,000 $ 4,126,214 $ 7,950,000 $ 8,994,242
LONG-TERM GOVERNMENT BONDS
- VALUE $ 4,126,214 $ 8,994,242
- COST $ 4,358,719 $ 9,298,911
INTERMEDIATE-TERM
GOVERNMENT BONDS
PERCENT OF NET ASSETS 73.26% 45.32%
U.S. Treasury Notes,
4.75% -- 9.13%,
09/30/97 - 7/15/06 $88,150,000 $ 88,834,542 $59,450,000 $ 59,908,073
INTERMEDIATE-TERM GOVERNMENT
BONDS - VALUE $ 88,834,542 $ 59,908,073
- COST $ 90,121,403 $ 60,521,139
</TABLE>
- ---------------------------
88
<PAGE> 94
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- -------------------------- ------------------------- --------------------------
Principal Value Principal Value Principal Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
13.18% 18.05% 9.47%
$24,250,000 $ 26,285,315 $20,080,000 $22,058,297 $17,050,000 $ 18,884,409
$ 26,285,315 $22,058,297 $ 18,884,409
$ 27,054,141 $22,761,676 $ 19,370,090
20.77% 3.04% 0.00%
$41,280,000 $ 41,407,633 $ 3,700,000 $ 3,718,419 $ -- $ --
$ 41,407,633 $ 3,718,419 $ --
$ 41,966,066 $ 3,785,210 $ --
</TABLE>
---------------------------
89
<PAGE> 95
LIFEPATH MASTER PORTFOLIOS - AUGUST 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
-------------------------- --------------------------
Principal Value Principal Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MONEY MARKET SECURITIES
PERCENT OF NET ASSETS 0.62% 0.54%
U.S. Treasury Bills,
5.06% - 5.22%++,
09/19/96 - 11/21/96 $ 754,000 $ 747,206 $ 725,000 $ 717,866
MONEY MARKET SECURITIES - VALUE $ 747,206 $ 717,866
- COST $ 747,038 $ 717,717
------------ ------------
TOTAL INVESTMENT IN SECURITIES
(NOTES 1 AND 3) - VALUE $121,015,975 $132,072,339
- COST** $119,901,248 $127,832,492
------------ ------------
TOTAL INVESTMENT IN SECURITIES 99.80% $121,015,975 99.90% $132,072,340
Other Assets and Liabilities, Net 0.20 242,156 0.10 126,799
----------- ------------ ----------- ------------
TOTAL NET ASSETS 100.00% $121,258,131 100.00% $132,199,139
=========== ============ =========== ============
</TABLE>
- ------------------------------------------------------------------------------
+ Non-income earning securities.
++ Yield to Maturity.
* These U.S. Treasury Bills are held in segregated accounts in connection with
the Fund's holdings of S&P 500 futures contracts. See Note 1.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C> <C> <C> <C>
Gross Unrealized Appreciation $ 3,823,338 $ 7,608,557
Gross Unrealized Depreciation (2,708,611) (3,368,710)
----------- ------------
GROSS UNREALIZED APPRECIATION $ 1,114,727 $ 4,239,847
=========== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---------------------------
90
<PAGE> 96
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- --------------------------- ----------------------- ---------------------------
Principal Value Principal Value Principal Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MONEY MARKET SECURITIES
0.41% 0.64% 0.94%
$ 814,000 $ 807,710 $790,000 $ 782,520 $ 1,889,000 $ 1,874,614*
$ 807,710 $ 782,520 $ 1,874,614
$ 807,474 $ 782,344 $ 1,874,290
------------ ------------ ------------
$198,334,501 $122,275,416 $199,829,149
$186,366,493 $112,433,092 $183,976,087
------------ ------------ ------------
99.48% $198,334,501 100.05% $122,275,416 100.22% $199,829,149
0.52 1,035,317 (0.05) (64,834) (0.22) (8,866)
- ------------ ------------ -------- ------------ ------------ ------------
100.00% $199,369,818 100.00% $122,210,582 100.00% $199,838,015
============ ============ ======== ============ ============ ============
</TABLE>
- ------------------------------------------------------------------------------
+ Non-income earning securities.
++ Yield to Maturity.
* These U.S. Treasury Bills are held in segregated accounts in connection with
the Fund's holdings of S&P 500 futures contracts. See Note 1.
** Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C> <C> <C> <C> <C>
$ 18,033,837 $14,081,914 $ 22,875,280
(6,065,829) (4,239,590) (7,022,218)
------------ ----------- ------------
$ 11,968,008 $ 9,842,324 $ 15,853,062
============ =========== ============
</TABLE>
---------------------------
91
<PAGE> 97
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) - AUGUST 31, 1996
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Master Master
Portfolio Portfolio
- ----------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In securities, at market value (see cost
below) (Note 1) $ 121,015,975 $ 132,072,340
Cash $ 60,051 $ 6,419
RECEIVABLES:
Dividends and interest 1,307,175 1,079,725
Beneficial interests sold 20,000 92,500
TOTAL ASSETS 122,403,201 133,250,984
LIABILITIES
PAYABLES:
Variation margin on futures contracts 0 0
Allocation to beneficial interest
holders 962,107 849,296
Beneficial interests redeemed 10,000 20,000
Due to adviser 172,963 182,549
TOTAL LIABILITIES 1,145,070 1,051,845
TOTAL NET ASSETS 121,258,131 132,199,139
INVESTMENTS AT COST $ 119,901,248 $ 127,832,492
</TABLE>
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
- ---------------------------
92
<PAGE> 98
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Master Master Master
Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C>
$198,334,501 $122,275,416 $199,829,149
$ 149,276 $ 10,982 $ 20,204
1,002,621 563,302 749,301
194,000 66,100 214,932
199,680,398 122,915,800 200,813,586
0 0 5,800
1,033,085 535,371 684,114
0 0 9,944
277,495 169,847 275,713
1,310,580 705,218 975,571
198,369,818 122,210,582 199,838,015
$186,366,493 $112,433,092 $183,976,087
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
93
<PAGE> 99
STATEMENT OF OPERATIONS (UNAUDITED) - FOR THE SIX MONTHS ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Fund Fund
Master Portfolio Master Portfolio
- ----------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 305,857 $ 716,350
Interest 2,876,848 1,933,026
TOTAL INVESTMENT INCOME 3,182,705 2,649,376
EXPENSES (NOTE 2)
Advisory fees 340,262 339,027
TOTAL EXPENSES 340,262 339,027
NET INVESTMENT INCOME 2,842,443 2,310,349
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on sale of investments 908,710 1,031,263
Net realized gain (loss) on sale of futures
contracts 0 0
Net change in unrealized appreciation of
investments (3,612,584) (5,122,900)
Net change in unrealized depreciation of
futures contracts 0 0
NET GAIN ON INVESTMENTS (2,703,874) (4,091,637)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 138,569 $ (1,781,288)
- ----------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---------------------------
94
<PAGE> 100
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
Master Portfolio Master Portfolio Master Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C>
$ 1,563,148 $ 1,151,650 $ 2,058,948
2,003,022 737,359 437,804
3,566,170 1,889,009 2,496,752
536,414 329,604 536,093
536,414 329,604 536,093
3,029,756 1,559,405 1,960,659
3,740,251 2,057,440 6,947,040
0 0 (35,875)
(8,389,709) (5,815,993) (9,665,289)
0 0 (6,800)
(4,649,458) (3,758,553) (2,760,924)
$ (1,619,702) $ (2,199,148) $ (800,265)
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
95
<PAGE> 101
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Master Portfolio
-----------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Net investment income $ 2,842,443 $ 3,939,926
Net realized gain (loss) on sale of
investments 908,710 1,412,647
Net realized gain (loss) on sale of futures
contracts 0 27,030
Net change in unrealized appreciation
(depreciation) of investments (3,612,584) 4,707,324
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 138,569 10,086,927
NET INCREASE IN NET ASSETS RESULTING FROM
BENEFICIAL INTERESTS TRANSACTIONS 4,441,736 44,956,678
INCREASE IN NET ASSETS 4,580,305 55,043,605
NET ASSETS:
Beginning net assets 116,677,826 61,634,221
ENDING NET ASSETS $121,258,130 $116,677,826
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---------------------------
96
<PAGE> 102
<TABLE>
<CAPTION>
LifePath 2010 Master Portfolio LifePath 2020 Master Portfolio
- ------------------------------------- -------------------------------------
(Unaudited) (Unaudited)
For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended
August 31, 1996 February 29, 1996 August 31, 1996 February 29, 1996
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 2,310,349 $ 2,698,472 $ 3,029,756 $ 3,734,343
1,031,263 1,041,589 3,740,251 2,814,112
0 67,639 0 65,955
(5,122,900) 8,805,216 (8,389,709) 18,004,995
0 0 0 0
(1,781,288) 12,612,916 (1,619,702) 24,619,405
32,759,227 39,123,950 37,431,527 55,695,812
30,977,939 51,736,866 35,811,825 80,315,217
101,221,200 49,484,334 162,557,993 82,242,776
$132,199,139 $101,221,200 $198,369,818 $162,557,993
- -------------------------------------------------------------------------------
</TABLE>
---------------------------
97
<PAGE> 103
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2030 Master Portfolio
-----------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- ---------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Net investment income $ 1,559,405 $ 2,046,527
Net realized gain (loss) on sale of
investments 2,057,440 2,515,159
Net realized gain (loss) on sale of futures
contracts 0 47,954
Net change in unrealized appreciation
(depreciation) of investments (5,815,993) 13,600,387
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (2,199,148) 18,210,027
NET INCREASE IN NET ASSETS RESULTING FROM
BENEFICIAL INTERESTS TRANSACTIONS 16,171,391 39,393,839
INCREASE IN NET ASSETS 13,972,243 57,603,866
NET ASSETS:
Beginning net assets 108,238,339 50,634,473
ENDING NET ASSETS $122,210,582 $108,238,339
- ---------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---------------------------
98
<PAGE> 104
<TABLE>
<CAPTION>
LifePath 2040 Master Portfolio
- -------------------------------------
(Unaudited)
For the Six For the
Months Ended Year Ended
August 31, 1996 February 29, 1996
- -------------------------------------
<S> <C>
$ 1,960,659 $ 2,303,138
6,947,040 4,521,411
(35,875) 169,434
(9,665,289) 22,384,421
(6,800) (40,125)
(800,265) 29,338,279
24,617,374 80,123,105
23,817,109 109,461,384
176,020,906 66,559,522
$ 199,838,015 $ 176,020,906
</TABLE>
- ------------------------------------------------------------------------------
---------------------------
99
<PAGE> 105
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Master Investment Portfolio ("MIP") is registered under the Investment Company
Act of 1940, as amended, as an open-end management investment company. MIP was
organized as a Delaware business trust pursuant to an Agreement and Declaration
of Trust dated May 14, 1993 and had no operations prior to March 1, 1994. MIP is
currently authorized to issue fourteen separate portfolios (the "Master
Portfolios"), of which the following have commenced operations: the Asset
Allocation, Bond Index, LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040, S&P 500 Index and U.S. Treasury Allocation Master
Portfolios. The following significant accounting policies are consistently
followed by MIP in the preparation of its financial statements, and such
policies are in conformity with generally accepted accounting principles for
investment companies. The financial statements for the Asset Allocation, Bond
Index, S&P 500 Index and U.S. Treasury Allocation Master Portfolios are
presented separately.
INVESTMENT POLICY AND
SECURITY VALUATION
Each Master Portfolio covered by this report follows an asset allocation
strategy among three broad investment classes: equity and debt securities of
issuers located throughout the world and cash in the form of money market
instruments. The equity securities of the Master Portfolios are valued at the
last sale price on the primary securities exchange or national securities market
on which such securities are traded. Securities not listed on an exchange or
national securities market, or securities in which there were no transactions,
are valued at the most recent bid prices. Debt securities maturing in 60 days or
less are valued at amortized cost, which approximates market value. Debt
securities, other than those maturing in 60 days or less, are valued at the
latest quoted bid price. Any securities, restricted securities or other assets
for which recent market quotations are not readily available, are valued at fair
value as determined in good faith in accordance with policies approved by MIP's
Board of Trustees.
SECURITY TRANSACTIONS AND
INCOME RECOGNITION
Securities transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on
- ---------------------------
100
<PAGE> 106
NOTES TO THE FINANCIAL STATEMENTS
the basis of identified cost of securities delivered. Bond discounts and
premiums are amortized as required by the Internal Revenue Code of 1986 (the
"Code").
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify as a partnership for federal income tax
purposes. Each Master Portfolio therefore believes that it will not be subject
to any federal income tax on its income and net capital gains (if any). However,
each investor in a Master Portfolio will be taxed on its allocable share of the
partnership's income and capital gains. The determination of such share will be
made in accordance with the applicable sections of the Code.
It is intended that each Master Portfolio's assets, income and allocations will
be managed in such a way that a regulated investment company investing in a
Master Portfolio will be able to satisfy the requirements of Subchapter M of the
Code, assuming that the investment company invested all of its assets in the
corresponding Master Portfolio.
FUTURES CONTRACTS
The Master Portfolios may purchase futures contracts to gain exposure to market
changes, as this may be more efficient or cost effective than actually buying
the securities. A futures contract is an agreement between two parties to buy
and sell a security at a set price on a future date and is exchange traded. Upon
entering into a futures contract, the Master Portfolio is required to pledge to
the broker an amount of cash, U.S. Government securities or other high-quality
debt securities equal to the minimum "initial margin" requirements of the
exchange. Pursuant to the contract, the Master Portfolio agrees to receive from
or pay to the broker an amount of cash equal to the daily fluctuation in the
value of the contract. Such receipts or payments are known as "variation margin"
and are recorded by the Master Portfolio as unrealized gains or losses. When the
contract is closed, the Master Portfolio records a realized gain or loss equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed. Pursuant to regulations and/or
published positions of the Securities and Exchange Commission, the Master
Portfolios are required to segregate cash, U.S. Government obligations or high
quality, liquid debt instruments in connection with futures transactions in an
amount generally equal to the entire contract amount. Risks of entering into
futures contracts include the possibility that there may be an illiquid market
and
---------------------------
101
<PAGE> 107
NOTES TO THE FINANCIAL STATEMENTS
that a change in the value of the contracts may not correlate with changes in
the value of the underlying securities. As of August 31, 1996, the following
Master Portfolio had futures contracts outstanding:
<TABLE>
<CAPTION>
Number Notional Net
of Expiration Contract Unrealized
Master Portfolio Contracts Type Date Value Depreciation
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LifePath 2040 2 S&P 500 Index September 1996 $651,350 $(6,800)
</TABLE>
The LifePath 2040 Master Portfolio has pledged U.S. Treasury bills with a par
value of $60,000 for initial margin requirements.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the administrator, sponsor and distributor for the
Master Portfolios, has paid all expenses in connection with the Master
Portfolios' organization and initial registration.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays
Global Fund Advisors ("BGFA") provides investment guidance and policy direction
in connection with the management of each Master Portfolio's assets. BGFA is
entitled to receive as compensation for its advisory services to each Master
Portfolio a monthly fee at the annual rate of 0.55% of the average daily net
assets of such Master Portfolio. BGFA is an indirect subsidiary of Barclays Bank
PLC.
Barclays Global Investors, N.A. ("BGI") currently acts as custodian to each
Master Portfolio. BGI will not be entitled to receive compensation for its
custodial services so long as BGFA is entitled to receive fees for providing
investment advisory services to the Master Portfolio.
Pursuant to an Administration Agreement, Stephens has agreed to assume all
operating expenses of each LifePath Master Portfolio, except for advisory fees,
interest, brokerage fees and commissions, if any, costs of independent pricing
services, and any extraordinary expenses. Stephens is not entitled to
compensation for providing administrative services to a Master Portfolio so long
as Stephens receives fees for providing similar services to a fund of another
registered investment company that invests all of its assets in the Master
Portfolio.
Certain officers and directors of MIP are also officers of Stephens. As of
August 31, 1996, these officers of Stephens collectively
- ---------------------------
102
<PAGE> 108
NOTES TO THE FINANCIAL STATEMENTS
owned less than 1% of the Master Portfolios' outstanding shares of beneficial
interest.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for each
Master Portfolio for the period ended August 31, 1996, are as follows:
<TABLE>
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
AGGREGATE 2000 2010 2020 2030 2040
PURCHASES MASTER MASTER MASTER MASTER MASTER
AND SALES OF: PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
U.S. Government
Obligations:
----------------------------------------------------------------------------------------------
Purchases at cost $82,511,594 $73,104,986 $70,606,159 $23,141,405 $ 22,181,578
Sales proceeds 57,920,442 40,508,838 37,214,413 7,834,120 2,816,406
Other Securities:
----------------------------------------------------------------------------------------------
Purchases at cost 9,425,687 34,291,574 54,631,001 33,914,453 66,920,156
Sales proceeds 8,136,583 22,595,972 38,843,835 28,712,372 59,356,342
</TABLE>
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rate, excluding short-term securities, for the Master
Portfolios for each of the following periods are as follows:
<TABLE>
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
2000 2010 2020 2030 2040
PORTFOLIO MASTER MASTER MASTER MASTER MASTER
TURNOVER PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
For the Six Months Ended
August 31, 1996 (Unaudited) 56% 53% 40% 31% 33%
For the Year Ended February 29,
1996 84% 39% 49% 39% 29%
For the Year Ended February 28,
1995 17% 24% 28% 40% 5%
</TABLE>
Average commission rates paid for the Master Portfolios are as follows:
<TABLE>
<CAPTION>
(UNAUDITED)
FOR THE SIX
MONTHS ENDED
AUGUST 31, 1996
--------------------------------------------------------------------------------
<S> <C>
LifePath 2000 Master Portfolio $0.05
LifePath 2010 Master Portfolio 0.05
LifePath 2020 Master Portfolio 0.06
LifePath 2030 Master Portfolio 0.04
LifePath 2040 Master Portfolio 0.04
</TABLE>
---------------------------
103
<PAGE> 109
NOTES
-----------
<PAGE> 110
Wells Fargo provides shareholder services, and/or certain other services for the
Stagecoach Funds. The Funds are sponsored and distributed by STEPHENS INC.,
Member NYSE/SIPC. Wells Fargo is not affiliated with Stephens Inc.
The report and the financial statements contained herein are submitted for the
general information of the shareholders of the Stagecoach Funds. If this report
is used for promotional purposes, distribution of the report must be accompanied
or preceded by a current prospectus. For an additional prospectus containing
more complete information, including charges and expenses, call 1-800-222-8222.
Read the prospectus carefully before you invest or send money.
LP 0508 (10/96)
<TABLE>
<S> <C>
STAGECOACH FUNDS(R)
P.O. Box 7066 BULK RATE
San Francisco, CA 94120-7066 U.S. POSTAGE
PAID
PERMIT NO. 1808
DALLAS TX
</TABLE>
DATED MATERIAL
PLEASE EXPEDITE
LOGO
