<PAGE>
STAGECOACH
Funds
- ---------------
LIFEPATH(TM)
- ---------------
FUNDS
- ---------------
ANNUAL
- ---------------
REPORT
- --------------- [ARTWORK APPEARS HERE]
LifePath 2000 Fund(TM)
LifePath 2010 Fund(TM)
LifePath 2020 Fund(TM)
LifePath 2030 Fund(TM)
LifePath 2040 Fund(TM)
Retail Class
February 28, 1997 NOT FDIC INSURED
<PAGE>
- --------------------
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders...................................................... 1
Investment Advisor Discussion............................................... 3
STAGECOACH TRUST
Statement of Assets and Liabilities........................................ 12
Statement of Operations.................................................... 14
Statements of Changes in Net Assets........................................ 16
Financial Highlights....................................................... 20
Notes to the Financial Statements.......................................... 25
Independent Auditors' Report............................................... 30
MASTER INVESTMENT PORTFOLIO
PORTFOLIOS OF INVESTMENTS
LifePath Master Portfolios................................................. 32
MASTER INVESTMENT PORTFOLIO
Statement of Assets and Liabilities........................................ 98
Statement of Operations.................................................... 100
Statements of Changes in Net Assets........................................ 102
Notes to the Financial Statements.......................................... 106
Independent Auditors' Report............................................... 112
</TABLE>
STAGECOACH FUNDS:
---------------------------------------------------
. are NOT FDIC insured
. are NOT obligations of Wells
Fargo Bank or Barclays Global
Investors, N.A. ("BGI")
. are NOT guaranteed by the Bank
or BGI
. involve investment risk,
including possible loss of
principal
i
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
<PAGE>
LETTER TO SHAREHOLDERS
TO OUR SHAREHOLDERS:
- --------------------
We are pleased to present you with the 1997 LifePath Funds Annual Report.
Each year in the Annual Report we focus on the most recent twelve months per-
formance and the economic factors which helped shape that performance. While
this is a valuable and necessary exercise, focusing on a single period tends to
artificially smooth over the ups and downs that are a natural part of invest-
ing. By looking at only the returns for a single year, an investor can get an
illusion of slow, steady progress that belies the true complexity of successful
investing.
The year ended February 28, 1997 was a typical example. Market and investor ex-
pectations changed frequently. Despite the predictions of some analysts, the
period began with the end of the bond rally which peaked in January 1996. The
stock market, which appeared to be over-valued after 1995's sustained rally,
continued to climb despite setbacks in April, May and July in particular. By
the end of the period, the stock market, as measured by the S&P 500 Index,
showed a total return of 22.73% and the bond market, as measured by the Lehman
Brothers Long-Term U.S. Treasury Bond Index, returned 2.13%.
In such conditions, the usual uncertainties of investing are magnified. A dis-
ciplined, value-oriented, multi-level strategy can help investors capture value
and achieve long-range goals. The LifePath Funds are built on such a strategy.
First, each Fund is designed with a long-term, strategic asset allocation
strategy. For example, shareholders in the LifePath 2000 Fund are assumed to
require greater price stability than those in the longer-horizon Funds. There-
fore, the target asset allocation for the LifePath 2000 Fund is tipped towards
less volatile investments. As a Fund's time-horizon approaches, the strategic
asset allocation is adjusted accordingly by gradually switching to a more sta-
ble, lower-risk profile.
But the economy does not offer a stagnant set of risk and reward relationships.
As this year has shown, risk and reward ratios can change frequently. That is
where tactical asset allocation plays an important role. Tactical asset alloca-
tion attempts to recognize the short-term value in the markets and to react ac-
cordingly to capture value. Tactical asset allocation can only succeed with re-
liable information. The Funds' investment advisors examine a wide-range of
quantitative and consensus-based
1
<PAGE>
LETTER TO SHAREHOLDERS
- --------------------
information to determine which asset classes are under or over-valued, which
are offering greater-than-usual rewards or greater-than-average risks.
The management discussion and performance figures which follow highlight the
Funds' efforts last year to capture value for our investors. We hope you find
it enlightening and we thank you for your continued investment.
- --Stagecoach Funds April 1997
Each LifePath Fund invests in a corresponding LifePath Master Portfolio which
in turn invests in the individual securities. The S&P 500 Index is an unmanaged
index of 500 widely held common stocks representing, among others, industrial,
financial, utility and transportation companies listed or traded on national
exchanges or over-the-counter markets. The Lehman Brothers Long-Term U.S. Trea-
sury Bond Index is an unmanaged index composed of U.S. Treasury bonds with 10-
year or longer maturities.
2
<PAGE>
INVESTMENT ADVISOR DISCUSSION
- --------------------
- ---------------------
Investment Advisor Discussion
HOW HAVE THE FUNDS PERFORMED OVER THE PREVIOUS YEAR?
The returns for the Funds' fiscal year, March 1, 1996 through February 28,
1997, for Class A shares (formerly the Retail Class of shares) were as follows:
<TABLE>
<S> <C>
LifePath 2000 6.74%
LifePath 2010 11.60%
LifePath 2020 14.65%
LifePath 2030 17.01%
LifePath 2040 20.17%
</TABLE>
Please see the "Performance at a Glance" table for more complete performance
information.
HOW DOES THAT COMPARE TO LAST YEAR?
Returns for the previous period, from March 1, 1995 through February 29, 1996
were as follows:
<TABLE>
<S> <C>
LifePath 2000 12.98%
LifePath 2010 19.40%
LifePath 2020 22.94%
LifePath 2030 26.53%
LifePath 2040 28.91%
</TABLE>
As you can see, the returns this year are lower than the previous year, but
they are still quite good. With the exception of the LifePath 2000 Fund, each
Fund exceeded its since-inception average annual return.
The returns reflect what has happened in the economy. February 1995 through
February 1996 was a period with tremendous returns in the equity markets and
very strong returns in the fixed-income arena. For the year ended February 28,
1997, the equity market continued its strong performance, finishing not too far
behind the previous year's record pace. The fixed-income market suffered, how-
ever. There was a fairly direct correlation reflected in the Funds' returns.
For example, the LifePath 2000 Fund is the Fund most heavily invested in the
fixed-income market. The Fund returned 12.98% the previous year and 6.74% this
year. The LifePath 2040 Fund, the one most heavily invested in stocks, returned
20.17% this year after bringing in 28.91% last year.
THE BOND MARKET RALLY OF 1995 DID NOT CONTINUE IN 1996. WHY? HOW DID THIS
CHANGE AFFECT THE FUNDS' ALLOCATIONS?
The rally in 1995 was the result of several consecutive cuts in the federal
funds target rate by the Federal Reserve Board. The target rate is considered
the most sensitive indicator of interest rates throughout the economy. When in-
terest rates decrease, the resale value of higher-paying, existing bonds in-
3
<PAGE>
INVESTMENT ADVISOR DISCUSSION
- --------------------
crease. Each decrease in the rate
furthered the rally. Unfortunately, the last of the rate cuts came in January
1996. By February, when new unemployment figures showed a decrease in new fil-
ings, suggesting that wage pressures were beginning to force prices higher, in-
vestors began to fear that inflation was beginning to accelerate. Inflation
typically brings interest rate increases. In March 1996, the beginning of the
LifePath Funds' fiscal year, the market braced for bad news and bonds dropped
off severely.
Fixed-income yields went on a tumultuous ride. According to Lehman Brothers
figures, long-term yields began 1996 at 5.95%, reached 7.19% in July, closed
1996 at 6.64%, then finished February at 6.91%. That is a 1.25% (or 125 basis
points) fluctuation despite the fact that short-term yields, such as money mar-
kets, were very stable. The effect of change on the long-term end of the yield
curve combined with stability on the short end was interesting. The year began
with a relatively flat yield curve--meaning that long-term yields were not very
much higher than short-term yields, with a spread of less than one hundred ba-
sis points. As the long-term yields increased, the curve took a more tradi-
tional shape, with a relatively steep difference between short-term and inter-
mediate, while still being relatively flat from intermediate to long.
What this meant for the Funds was that the intermediate range became the more
attractive place to invest and the allocations changed accordingly. Keep in
mind that long-term bonds are inherently riskier than shorter or intermediate-
term because they are subject to greater price fluctuations if interest rates
change. Therefore, in order to justify making a larger investment in long-term
bonds, the expected returns have to be high enough to justify the additional
risk. This was not the case.
DID THE STOCK MARKET'S CONTINUED STRENGTH THROUGHOUT 1996 SURPRISE ANALYSTS?
There was certainly some difference of opinion about the market's strength. The
debate intensified in March 1996 when the Dow Jones Industrial Average declined
well over one hundred points. Many assumed it to be the end of the bull run be-
gun in 1995, but that did not prove to be the case. During the Funds' fiscal
year, the stock market, as measured by the S&P 500 Index showed a 22.73% gain--
very healthy, marking it as one of the strongest periods in recent history.
During 1995 and 1996, the S&P 500 Index, it should be noted, showed the strong-
est back-to-back returns since 1975-76, and have capped a
4
<PAGE>
INVESTMENT ADVISOR DISCUSSION
- --------------------
fifteen year period during which stocks have returned on average approximately
16% per year.
Still, our analysts did show stocks to be overvalued at the beginning of 1996
on two fronts. First, we believed that stocks were overvalued in relation to
stock earnings, and second, they were overvalued in relation to the risks and
rewards offered by bonds. As the equity rally continued, however, the consensus
of analysts showed increased earnings expectations which, in part, justified
the continued rally.
WHAT WAS THE EFFECT OF THESE DEVELOPMENTS ON THE FUNDS' ALLOCATIONS?
Overall, allocations have remained fairly steady. The reasons for the most pro-
nounced shift--the movement towards the intermediate government bond class--
have already been discussed. From February 1996 to February 1997, the interme-
diate government bond allocation went from 57.62% to 72.58% in the LifePath
2000 Fund, to use the most extreme example. The LifePath 2030 Fund, which pre-
viously had no investment in this class, had 3.51% invested at the end of Feb-
ruary 1997. As for equity classes, there was a slight backing away from Large
Cap Growth to Large Cap Value, although the Growth category is still larger in
the longer-horizon Funds. There was also a slight increase in the Small and Mi-
cro Cap classes. The Asset Class Mix presented in the Performance at A Glance
section has a complete breakdown of investments in the Funds' portfolios.
WHAT ROLE DO THE VARIOUS CAP SIZES PLAY IN THE EQUITY ASSET CLASSES? WHAT IS
"CAP SIZE" REFERRING TO?
"Cap" is short for capitalization. In this context it refers to the value of
all of a company's shares of stock--essentially, the current stock price multi-
plied by the number of outstanding shares. It is an accepted method of deter-
mining a company's size. It is useful because different sized companies can be
expected to behave in certain ways. Large Cap companies tend to be less risky
investments than, say, a micro cap, or very small, company. Coca-Cola, to use
an example of a large cap company, can be expected to be more stable than a
start-up software company with less than a million dollars in sales. The allo-
cation of the Funds' portfolios among investments with different cap sizes
helps the Funds capture a more representative sample of the economy and to em-
phasize different areas as values dictate.
EACH CAP SIZE WITHIN THE EQUITY ALLOCATION IS DIVIDED INTO "GROWTH" AND
"VALUE". WHAT IS THE DIFFERENCE AND WHY ARE BOTH TYPES REPRESENTED?
"Growth" companies are usually in the part of their business cycle where their
primary goal is capital
5
<PAGE>
INVESTMENT ADVISOR DISCUSSION
- --------------------
appreciation. These companies usually reinvest most of their earnings for ex-
pansion, research or development. Growth stocks are generally considered riski-
er, but with a greater potential reward than "Value" stocks. Value stocks tend
to be from companies in a more mature phase of their business cycle, pay sub-
stantial dividends, and have lower price-to-earnings ratios. "Price-to-earn-
ings" measures a stock's previous or projected dividends against its price to
help determine the potential yield on an investment. Value stocks also tend to
trade closer to their book values. Value stocks are often attractive to "bar-
gain hunters" who hope to find stocks selling for less than their worth based
on dividend yields, earnings expectations, intrinsic financial strength and
other factors. Value stocks are considered less risky than growth, but have
generally lower expected returns than growth stocks.
Typically, growth and value stocks move somewhat in opposition to each other,
with growth stocks performing better when value stocks are slower. A good mix
between growth and value stocks allows the Funds to capture a more representa-
tive sample of the business cycle and develop a more accurate representation of
the equity market. For the most part, neither type is favored within the Funds,
except for LifePath 2040 Fund which is tilted slightly toward growth.
DID THE INTERNATIONAL EQUITY ALLOCATIONS CHANGE THIS YEAR? HOW WAS THEIR
PERFORMANCE?
International and Japanese allocations remained fairly steady. Most are within
a few basis points of their positions last year. The LifePath 2000 Fund showed
the biggest change, which was an increase in the International (non-Japanese)
class from 3.89% to 5.78%. This slight increase was meant to off-set the lower
expected returns for fixed-income securities.
Returns for the international equity allocations were mixed. Japan's economy
was disappointing, with the Tokyo exchange down 7.99% for the year (according
to the Nikkei 225 Index). The rest of the International sector did well, but
underperformed the U.S. equity markets. Like the U.S. markets, most world equi-
ty-markets are at or near all-time highs. Our analysis of the present global
environment indicates that investors should expect lower nominal returns than
those which they have come to expect in recent years.
HOW HAS THE INTRODUCTION OF NEW SALES LOADS AFFECTED CURRENT LIFEPATH
SHAREHOLDERS?
The new loads do not affect existing shareholders in any LifePath Fund they
owned on or before February 28, 1997. What this means is that existing share-
holders can continue to make addi-
6
<PAGE>
INVESTMENT ADVISOR DISCUSSION
- --------------------
tional investments into their LifePath Fund at Net Asset Value without paying a
front-end or back-end sales charge for as long as they continuously own the
Fund. Investments into new Funds after that date would be subject to a sales
charge.
Should a shareholder choose to invest in a new Fund, they would have the choice
of front-end sales charges on Class A shares, or contingent deferred sales
charges (CDSC) on Class B shares. The current prospectus has complete details.
7
<PAGE>
INVESTMENT ADVISOR DISCUSSION
- --------------------
- -----------------------------------
PERFORMANCE AT A GLANCE
<TABLE>
<CAPTION>
PERFORMANCE
AS OF 2/28/97 AVERAGE ANNUAL TOTAL RETURNS
- ----------------------------------------------
CLASS A 03/01/96- SINCE 03/01/94
SHARES 02/28/97 3 YEAR INCEPTION
- ----------------------------------------------
<S> <C> <C> <C>
LifePath 2000 6.74% 7.18% 7.18%
- ----------------------------------------------
LifePath 2010 11.60% 11.24% 11.24%
- ----------------------------------------------
LifePath 2020 14.65% 13.64% 13.64%
- ----------------------------------------------
LifePath 2030 17.01% 15.49% 15.49%
- ----------------------------------------------
LifePath 2040 20.17% 17.70% 17.70%
- ----------------------------------------------
</TABLE>
ASSET CLASS MIX AS OF 2/28/97
<TABLE>
- ----------------------------------------------------------------------------
<CAPTION>
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
STOCKS 2000 2010 2020 2030 2040
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Large Capitalization--
Value 3.10% 13.73% 19.63% 23.46% 26.24%
- ----------------------------------------------------------------------------
Large Capitalization--
Growth 3.28 13.98 19.95 24.38 32.56
- ----------------------------------------------------------------------------
Medium Capitalization--
Value 3.67 3.38 4.01 4.67 5.40
- ----------------------------------------------------------------------------
Medium Capitalization--
Growth 2.70 2.66 3.13 3.75 4.31
- ----------------------------------------------------------------------------
Small Capitalization--
Value 0.13 0.09 0.15 0.16 0.16
- ----------------------------------------------------------------------------
Small Capitalization--
Growth 0.44 0.30 0.49 0.53 0.50
- ----------------------------------------------------------------------------
Micro Capitalization 0.24 0.34 0.49 0.61 0.62
- ----------------------------------------------------------------------------
Utilities 0.61 0.41 0.45 0.53 0.30
- ----------------------------------------------------------------------------
Japan 1.29 2.96 3.86 4.67 5.18
- ----------------------------------------------------------------------------
International (except
Japan) 5.78 8.20 11.21 13.45 14.20
- ----------------------------------------------------------------------------
BONDS
- ----------------------------------------------------------------------------
Long-Term Government 2.48 5.33 11.53 19.23 9.65
- ----------------------------------------------------------------------------
Long-Term Corporate 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------
Intermediate-Term
Government 72.58 45.77 23.37 3.51 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 MARKET
- ----------------------------------------------------------------------------
U.S. Treasury Bills 3.70 2.85 1.73 1.05 0.88
- ----------------------------------------------------------------------------
TOTAL 100.00 100.00 100.00 100.00 100.00
- ----------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future results. The investment return and
net asset value of shares of the Fund will fluctuate with market conditions so
that shares of the 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 rein-
vestment of dividends and capital gain distributions at net asset value.
Any differences between the percentages above and the percentages in the Port-
folios 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 in-
vests in individual securities. References to the Fund are understood to be
references to the Fund or Master Portfolio as appropriate.
8
<PAGE>
INVESTMENT ADVISOR DISCUSSION
GROWTH OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[STAGECOACH - LIFEPATH 2000 CLASS A SHARES LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
StageCoach
LifePath S & P 500 Lehman Brothers
2000 Class A Composite Index Aggregate Index
------------ --------------- ---------------
<S> <C> <C> <C>
Mar 1, 94 10,000 10,000 10,000
Mar-94 9,862 9,564 9,753
Apr-94 9,811 9,687 9,675
May-94 9,821 9,846 9,674
Jun-94 9,753 9,604 9,653
Jul-94 9,914 9,920 9,845
Aug-94 9,995 10,326 9,857
Sep-94 9,859 10,074 9,712
Oct-94 9,889 10,300 9,703
Nov-94 9,768 9,925 9,682
Dec-94 9,808 10,072 9,748
Jan-95 9,973 10,333 9,941
Feb-95 10,210 10,736 10,178
Mar-95 10,306 11,052 10,240
Apr-95 10,452 11,377 10,384
May-95 10,743 11,831 10,785
Jun-95 10,844 12,106 10,864
Jul-95 10,950 12,507 10,840
Aug-95 11,023 12,538 10,971
Sep-95 11,146 13,067 11,078
Oct-95 11,178 13,020 11,222
Nov-95 11,359 13,591 11,390
Dec-95 11,492 13,853 11,550
Jan-96 11,600 14,324 11,626
Feb-96 11,535 14,457 11,424
Mar-96 11,510 14,596 11,344
Apr-96 11,521 14,811 11,280
May-96 11,532 15,191 11,257
Jun-96 11,607 15,249 11,408
Jul-96 11,507 14,575 11,439
Aug-96 11,574 14,883 11,420
Sep-96 11,815 15,719 11,618
Oct-96 11,994 16,153 11,876
Nov-96 12,286 17,372 12,079
Dec-96 12,186 17,028 11,967
Jan-97 12,301 18,091 12,004
Feb-97 12,312 18,234 12,004
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
[STAGECOACH - LIFEPATH 2010 CLASS A SHARES LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
StageCoach
LifePath S & P 500 Lehman Brothers
2000 Class A Composite Index Aggregate Index
------------ --------------- ---------------
<S> <C> <C> <C>
Mar 1, 94 10,000 10,000 10,000
Mar-94 9,841 9,564 9,753
Apr-94 9,791 9,687 9,675
May-94 9,831 9,846 9,674
Jun-94 9,750 9,604 9,653
Jul-94 9,931 9,920 9,845
Aug-94 10,042 10,326 9,857
Sep-94 9,888 10,074 9,712
Oct-94 9,969 10,300 9,703
Nov-94 9,756 9,925 9,682
Dec-94 9,834 10,072 9,748
Jan-95 10,020 10,333 9,941
Feb-95 10,331 10,736 10,178
Mar-95 10,491 11,052 10,240
Apr-95 10,689 11,377 10,384
May-95 11,065 11,831 10,785
Jun-95 11,214 12,106 10,864
Jul-95 11,425 12,507 10,840
Aug-95 11,467 12,538 10,971
Sep-95 11,688 13,067 11,078
Oct-95 11,688 13,020 11,222
Nov-95 11,974 13,591 11,390
Dec-95 12,151 13,853 11,550
Jan-96 12,367 14,324 11,626
Feb-96 12,335 14,457 11,424
Mar-96 12,349 14,596 11,334
Apr-96 12,436 14,811 11,280
May-96 12,524 15,191 11,257
Jun-96 12,586 15,249 11,408
Jul-96 12,334 14,575 11,439
Aug-96 12,444 14,883 11,420
Sep-96 12,837 15,719 11,618
Oct-96 13,069 16,153 11,876
Nov-96 13,600 17,372 12,079
Dec-96 13,428 17,028 11,967
Jan-97 13,721 18,091 12,004
Feb-97 13,776 18,234 12,034
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
[STAGECOACH - LIFEPATH 2020 CLASS A SHARES LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
StageCoach
LifePath S & P 500 Lehman Brothers
2000 Class A Composite Index Aggregate Index
------------ --------------- ---------------
<S> <C> <C> <C>
Mar 1, 94 10,000 10,000 10,000
Mar-94 9,812 9,564 9,753
Apr-94 9,802 9,687 9,675
May-94 9,862 9,846 9,674
Jun-94 9,744 9,604 9,653
Jul-94 9,935 9,920 9,845
Aug-94 10,097 10,326 9,857
Sep-94 9,903 10,074 9,712
Oct-94 10,015 10,300 9,703
Nov-94 9,761 9,925 9,682
Dec-94 9,859 10,072 9,748
Jan-95 10,075 10,333 9,941
Feb-95 10,412 10,736 10,178
Mar-95 10,612 11,052 10,240
Apr-95 10,849 11,377 10,384
May-95 11,241 11,831 10,785
Jun-95 11,431 12,106 10,864
Jul-95 11,701 12,507 10,840
Aug-95 11,733 12,538 10,971
Sep-95 12,008 13,067 11,078
Oct-95 11,966 13,020 11,222
Nov-95 12,321 13,591 11,390
Dec-95 12,534 13,853 11,550
Jan-96 12,812 14,324 11,626
Feb-96 12,801 14,457 11,424
Mar-96 12,844 14,596 11,344
Apr-96 12,963 14,811 11,280
May-96 13,103 15,191 11,257
Jun-96 13,163 15,249 11,408
Jul-96 12,773 14,575 11,439
Aug-96 12,924 14,883 11,420
Sep-96 13,437 15,719 11,618
Oct-96 13,688 16,153 11,876
Nov-96 14,419 17,372 12,079
Dec-96 14,191 17,028 11,967
Jan-97 14,609 18,091 12,004
Feb-97 14,677 18,234 12,034
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
- --------------------------------------------------------------------------------
Investment Advisor Discussion
- --------------------------------------------------------------------------------
STAGECOACH - LIFEPATH 2030 Class A Shares
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Stagecoach - LifePath Lehman Brothers Aggregate S & P 500 Composite
2030 Class A Bond Index Index
<S> <C> <C> <C>
Mar 1, 94 10,000 10,000 10,000
Mar-94 9,702 9,753 9,564
Apr-94 9,702 9,675 9,687
May-94 9,772 9,674 9,846
Jun-94 9,595 9,653 9,604
Jul-94 9,827 9,845 9,920
Aug-94 10,079 9,857 10,326
Sep-94 9,851 9,712 10,074
Oct-94 9,993 9,703 10,300
Nov-94 9,708 9,682 9,925
Dec-94 9,830 9,748 10,072
Jan-95 10,055 9,941 10,333
Feb-95 10,403 10,178 10,736
Mar-95 10,632 10,240 11,052
Apr-95 10,899 10,384 11,377
May-95 11,362 10,785 11,831
Jun-95 11,581 10,864 12,106
Jul-95 11,881 10,840 12,507
Aug-95 11,912 10,971 12,538
Sep-95 12,245 11,078 13,067
Oct-95 12,182 11,222 13,020
Nov-95 12,598 11,390 13,591
Dec-95 12,853 11,550 13,853
Jan-96 13,163 11,626 14,324
Feb-96 13,163 11,424 14,457
Mar-96 13,221 11,344 14,596
Apr-96 13,392 11,280 14,811
May-96 13,564 11,257 15,191
Jun-96 13,611 11,408 15,249
Jul-96 13,136 11,439 14,575
Aug-96 13,309 11,420 14,883
Sep-96 13,913 11,618 15,719
Oct-96 14,195 11,876 16,153
Nov-96 15,096 12,079 17,372
Dec-96 14,823 11,967 17,028
Jan-97 15,324 12,004 18,091
Feb-97 15,402 12,034 18,234
</TABLE>
STAGECOACH - LIFEPATH 2040 Class A Shares
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Stagecoach - LifePath Lehman Brothers Aggregate S & P 500 Composite
2040 Class A Bond Index Index
<S> <C> <C> <C>
Mar 1, 94 10,000 10,000 10,000
Mar-94 9,638 9,753 9,564
Apr-94 9,718 9,675 9,687
May-94 9,828 9,674 9,846
Jun-94 9,609 9,653 9,604
Jul-94 9,870 9,845 9,920
Aug-94 10,202 9,857 10,326
Sep-94 9,964 9,712 10,074
Oct-94 10,116 9,703 10,300
Nov-94 9,793 9,682 9,925
Dec-94 9,927 9,748 10,072
Jan-95 10,150 9,941 10,333
Feb-95 10,526 10,178 10,736
Mar-95 10,796 10,240 11,052
Apr-95 11,061 10,384 11,377
May-95 11,500 10,785 11,831
Jun-95 11,761 10,864 12,106
Jul-95 12,139 10,840 12,507
Aug-95 12,139 10,971 12,538
Sep-95 12,514 11,078 13,067
Oct-95 12,411 11,222 13,020
Nov-95 12,863 11,390 13,591
Dec-95 13,125 11,550 13,853
Jan-96 13,495 11,626 14,324
Feb-96 13,568 11,424 14,457
Mar-96 13,655 11,344 14,596
Apr-96 13,900 11,280 14,811
May-96 14,145 11,257 15,191
Jun-96 14,193 11,408 15,249
Jul-96 13,627 11,439 14,575
Aug-96 13,841 11,420 14,883
Sep-96 14,540 11,618 15,719
Oct-96 14,808 11,876 16,153
Nov-96 15,826 12,079 17,372
Dec-96 15,541 11,967 17,028
Jan-97 16,193 12,004 18,091
Feb-97 16,305 12,034 18,234
</TABLE>
The accompanying charts compare the performance of the various Stagecoach
LifePath Funds' Class A shares (formerly the Retail Class of shares) since in-
ception with the S&P 500 Composite Index and the Lehman Brothers Aggregate Bond
Index. The chart assumes a hypothetical $10,000 initial investment in the Fund
and reflects all operating expenses. Past performance is not predictive of fu-
ture results. The S&P 500 Composite Index is an unmanaged index of 500 widely
held common stocks representing, among others, industrial, financial, utility
and transportation companies listed or traded on national exchanges or over-
the-counter markets. The Lehman Brothers Aggregate Bond Index is an unmanaged
index composed of bonds with 10-year or longer maturities. Please note that the
Fund is a professionally managed mutual fund. The indexes presented here are
not managed, do not incur expenses and are not available directly for invest-
ment. Had these indexes incurred operating expenses, their performances would
have been lower.
- --------------------
10
<PAGE>
- --------------------
(THIS PAGE INTENTIONALLY LEFT BLANK)
11
<PAGE>
STATEMENT OF ASSETS & LIABILITIES FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Fund Fund
- --------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $ 84,826,949 $ 82,407,446
RECEIVABLES:
Fund shares sold 401,165 909,580
TOTAL ASSETS 85,228,114 83,317,026
LIABILITIES
PAYABLES:
Due to sponsor and distributor 74,443 67,604
Due to WFB (Note 2) 47,487 23,702
Capital shares redeemed 145,077 206,451
TOTAL LIABILITIES 267,007 297,757
TOTAL NET ASSETS $ 84,961,107 $ 83,019,269
NET ASSETS CONSIST OF:
Paid-in capital $ 79,345,674 $ 70,720,524
Undistributed net investment income 558,575 507,952
Undistributed net realized gains on investments 1,295,655 1,751,771
Net unrealized appreciation of investments 3,761,203 10,039,022
TOTAL NET ASSETS $ 84,961,107 $ 83,019,269
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER
SHARE
Net Assets - Retail class $ 84,948,686 $ 82,970,657
Shares outstanding - Retail class 7,934,090 6,801,286
Net asset value and offering price per share - Retail
class $ 10.71 $ 12.20
Net Assets - Institutional class $ 12,422 $ 48,612
Shares outstanding - Institutional class 1,269 4,443
Net asset value and offering price per share -
Institutional class $ 9.79 $ 10.94
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
- ---------------------------------------------------------------------------
<S> <C> <C>
$ 146,243,012 $100,672,759 $ 188,629,384
624,760 673,460 1,326,211
146,867,772 101,346,219 189,955,595
107,429 74,409 126,703
62,640 47,768 118,954
402,960 104,585 130,013
573,029 226,762 375,670
$ 146,294,743 $101,119,457 $ 189,579,925
$ 117,438,148 $ 77,761,749 $ 146,066,846
504,941 239,292 278,583
4,116,111 2,429,299 6,273,556
24,235,543 20,689,117 36,960,940
$ 146,294,743 $101,119,457 $ 189,579,925
$ 146,225,793 $101,078,492 $ 189,559,520
11,263,827 7,306,805 13,073,372
$ 12.98 $ 13.83 $ 14.50
$ 68,950 $ 40,966 $ 20,405
5,615 2,990 1,464
$ 12.28 $ 13.70 $ 13.94
- ---------------------------------------------------------------------------
</TABLE>
13
<PAGE>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Fund Fund
- ----------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME ALLOCATED FROM MASTER
PORTFOLIO
Dividends $ 394,274 $ 817,715
Interest 4,344,855 2,533,708
Expenses (506,433) (420,477)
NET INVESTMENT INCOME ALLOCATED FROM MASTER
PORTFOLIO 4,232,696 2,930,946
EXPENSES (NOTE 2)
Administration fee 92,243 81,180
Shareholder servicing fees 184,488 150,749
Transfer agency fees 92,243 75,374
Distribution costs - Retail Class 226,871 185,565
TOTAL EXPENSES 595,845 492,868
NET INVESTMENT INCOME 3,636,851 2,438,078
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS ALLOCATED FROM MASTER PORTFOLIO
Net realized gain (loss) on sale of investments 2,732,074 2,784,852
Net change in unrealized appreciation
(depreciation) of investments (959,715) 704,734
NET GAIN (LOSS) ON INVESTMENTS 1,772,359 3,489,586
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 5,409,210 $ 5,927,664
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
- -----------------------------------------------------------------------
<S> <C> <C>
$ 1,874,322 $ 1,534,532 $ 3,087,936
2,898,781 1,203,319 890,450
(738,763) (497,662) (898,217)
4,034,340 2,240,189 3,080,169
135,162 89,938 164,384
270,324 179,876 328,770
135,162 89,938 164,385
328,345 222,802 402,732
868,993 582,554 1,060,271
3,165,347 1,657,635 2,019,898
8,285,130 4,461,859 13,884,725
3,932,094 5,090,075 11,621,464
12,217,224 9,551,934 25,506,189
$ 15,382,571 $ 11,209,569 $ 27,526,087
- ------------------------------------------------------------------------
</TABLE>
15
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 3,636,851 $ 3,419,395
Net realized gain (loss) on sale of
investments 2,732,074 1,439,626
Net change in unrealized appreciation
(depreciation) of investments (959,715) 4,675,607
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 5,409,210 9,534,628
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Retail class (3,756,712) (2,759,078)
Institutional class (570) (453,332)
From net realized gain from sale of
investments
Retail class (1,721,568) (1,047,308)
Institutional class (48,077) (173,730)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Retail
class 37,948,187 70,169,401
Reinvestment of dividends - Retail
class 5,135,618 3,617,931
Cost of shares redeemed - Retail class (58,589,767) (32,730,053)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - RETAIL CLASS (15,505,962) 41,057,279
Proceeds from shares sold -
Institutional class 1,267,997 13,750,541
Reinvestment of dividends -
Institutional class 208,022 627,061
Cost of shares redeemed - Institutional
class (18,222,796) (5,320,639)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - INSTITUTIONAL CLASS (16,746,777) 9,056,963
INCREASE (DECREASE) IN NET ASSETS (32,370,456) 55,215,422
NET ASSETS:
Beginning net assets 117,331,563 62,116,141
ENDING NET ASSETS $ 84,961,107 $ 117,331,563
SHARES ISSUED AND REDEEMED:
Shares sold - Retail class 3,580,908 6,695,893
Shares issued in reinvestment of
dividends - Retail class 486,593 347,286
Shares redeemed - Retail class (5,539,884) (3,139,915)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING -RETAIL CLASS (1,472,383) 3,903,264
Shares sold - Institutional class 119,465 1,310,755
Shares issued in reinvestment of
dividends -
Institutional class 19,942 59,945
Shares redeemed - Institutional class (1,755,819) (507,478)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING -INSTITUTIONAL CLASS (1,616,412) 863,222
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2010 Fund LifePath 2020 Fund
- ------------------------------------ ------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
$ 2,438,078 $ 2,283,688 $ 3,165,347 $ 3,016,694
2,784,852 1,104,963 8,285,130 2,879,775
704,734 8,769,343 3,932,094 17,940,046
5,927,664 12,157,994 15,382,571 23,836,515
(2,393,878) (1,441,405) (3,234,978) (2,215,468)
(1,673) (690,971) (1,862) (641,133)
(999,794) (722,105) (4,457,911) (1,971,461)
(138,908) (360,652) (97,440) (553,722)
34,070,450 37,481,337 52,706,149 64,078,009
3,206,892 2,136,750 3,353,041 4,137,056
(26,504,856) (15,292,452) (43,292,145) (26,156,416)
10,772,486 24,325,635 12,767,045 42,058,649
2,529,219 25,592,865 1,484,241 27,673,486
289,983 1,051,620 349,700 1,194,854
(34,601,841) (8,068,526) (38,954,344) (8,977,511)
(31,782,639) 18,575,959 (37,120,403) 19,890,829
(18,616,742) 51,844,455 (16,762,978) 80,404,209
101,636,011 49,791,556 163,057,721 82,653,512
$ 83,019,269 $ 101,636,011 $ 146,294,743 $ 163,057,721
2,915,095 3,419,301 4,270,394 5,680,695
275,092 195,828 275,620 362,399
(2,272,271) (1,410,750) (3,506,234) (2,313,057)
917,916 2,204,379 1,039,780 3,730,037
221,309 2,346,284 124,129 2,446,685
25,767 95,504 29,678 104,547
(3,246,296) (737,665) (3,533,425) (800,489)
(2,999,220) 1,704,123 (3,379,618) 1,750,743
- ---------------------------------------------------------------------------
</TABLE>
17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------
<TABLE>
<CAPTION>
LifePath 2030 Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 1,657,635 $ 1,572,222
Net realized gain (loss) on sale of
investments 4,461,859 2,562,661
Net change in unrealized appreciation
(depreciation) of investments 5,090,075 13,548,933
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 11,209,569 17,683,816
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Retail class (1,710,475) (1,155,658)
Institutional class (5,645) (341,075)
From net realized gain from sale of
investments
Retail class (2,265,932) (1,623,091)
Institutional class (61,335) (461,729)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Retail
class 30,971,697 41,344,184
Reinvestment of dividends - Retail
class 3,826,842 2,763,089
Cost of shares redeemed - Retail class (27,148,781) (13,327,263)
NET INCREASE (DECREASE) IN NET SHARES
OUTSTANDING -RETAIL CLASS 7,649,758 30,780,010
Proceeds from shares sold -
Institutional class 1,939,792 17,149,303
Reinvestment of dividends -
Institutional class 188,977 802,805
Cost of shares redeemed - Institutional
class (24,283,479) (5,211,092)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - INSTITUTIONAL CLASS (22,154,710) 12,741,016
INCREASE (DECREASE) IN NET ASSETS (7,338,770) 57,623,289
NET ASSETS:
Beginning net assets 108,458,227 50,834,938
ENDING NET ASSETS $ 101,119,457 $ 108,458,227
SHARES ISSUED AND REDEEMED:
Shares sold - Retail class 2,403,224 3,605,187
Shares issued in reinvestment of
dividends - Retail class 296,195 235,448
Shares redeemed - Retail class (2,120,516) (1,157,351)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING -RETAIL CLASS 578,903 2,683,284
Shares sold - Institutional class 156,936 1,489,943
Shares issued in reinvestment of
dividends -
Institutional class 15,512 68,155
Shares redeemed - Institutional class (2,227,326) (450,828)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - INSTITUTIONAL CLASS (2,054,878) 1,107,270
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2040 Fund
- --------------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- --------------------------------------------------
<S> <C>
$ 2,019,898 $ 1,584,491
13,884,725 4,689,987
11,621,464 22,210,329
27,526,087 28,484,807
(2,045,803) (1,207,755)
(338) (284,559)
(7,609,699) (3,228,065)
(797,501) (704,661)
76,803,382 94,087,204
2,589,866 4,438,069
(52,840,894) (31,629,443)
26,552,354 66,895,830
1,917,732 27,615,270
248,730 989,218
(32,335,375) (9,148,939)
(30,168,913) 19,455,549
13,456,187 109,411,146
176,123,738 66,712,592
$ 189,579,925 $ 176,123,738
5,678,582 7,936,980
196,508 363,610
(3,916,082) (2,657,939)
1,959,008 5,642,651
148,636 2,317,045
19,679 80,888
(2,763,338) (763,114)
(2,595,023) 1,634,819
- ---------------------------------------------------
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2000 Fund
-----------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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
<CAPTION>
------------- ------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 1.29 0.42 0.42 0.40 0.35 0.34
Net realized and
unrealized gain (loss)
on investments (0.60) 0.28 0.86 0.86 (0.12) (0.14)
<CAPTION>
------------- ------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
TOTAL FROM INVESTMENT
OPERATIONS 0.69 0.70 1.28 1.26 0.23 0.20
LESS DISTRIBUTIONS:
From net investment
income (1.36) (0.42) (0.42) (0.41) (0.28) (0.27)
From net realized
capital gains (0.21) (0.21) (0.13) (0.13) (0.01) (0.01)
<CAPTION>
------------- ------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
TOTAL FROM DISTRIBUTIONS (1.57) (0.63) (0.55) (0.54) (0.29) (0.28)
<CAPTION>
------------- ------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, END OF
PERIOD $ 9.79 $ 10.71 $ 10.67 $ 10.64 $ 9.94 $ 9.92
<CAPTION>
============= ======= ============= ======== ============= =======
<S> <C> <C> <C> <C> <C> <C>
TOTAL RETURN (NOT
ANNUALIZED) 7.23% 6.74% 13.19% 12.98% 2.38% 2.10%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $ 12 $84,949 $17,262 $100,070 $7,499 $54,617
Number of shares
outstanding, end of
period (000) 1 7,934 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 4.17% 3.93% 4.23% 4.00% 4.89% 4.62%
- --------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio.
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2010 Fund
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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
<CAPTION>
- ------------- ------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
1.57 0.34 0.34 0.32 0.33 0.34
(0.36) 0.95 1.60 1.58 0.01 (0.02)
<CAPTION>
- ------------- ------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
1.21 1.29 1.94 1.90 0.34 0.32
(1.57) (0.34) (0.35) (0.33) (0.27) (0.28)
(0.17) (0.17) (0.14) (0.14) (0.05) (0.05)
<CAPTION>
- ------------- ------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
(1.74) (0.51) (0.49) (0.47) (0.32) (0.33)
<CAPTION>
- ------------- ------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
$10.94 $ 12.20 $ 11.47 $ 11.42 $ 10.02 $ 9.99
<CAPTION>
============= ======= ============= ======= ============= =======
<S> <C> <C> <C> <C> <C>
11.89% 11.60% 19.69% 19.40% 3.53% 3.31%
$ 49 $82,971 $34,458 $67,178 $13,028 $36,764
4 6,801 3,004 5,883 1,300 3,679
0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
3.41% 3.16% 3.27% 3.06% 4.61% 4.40%
- --------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2020 Fund
------------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.96 0.27 0.29 0.27 0.30 0.28
Net realized and
unrealized gain on
investments 0.72 1.43 2.03 2.03 0.12 0.12
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
TOTAL FROM INVESTMENT
OPERATIONS 1.68 1.70 2.32 2.30 0.42 0.40
LESS DISTRIBUTIONS:
From net investment
income (0.96) (0.28) (0.30) (0.28) (0.25) (0.23)
From net realized
capital gains (0.42) (0.42) (0.21) (0.21) 0.00 0.00
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
TOTAL FROM DISTRIBUTIONS (1.38) (0.70) (0.51) (0.49) (0.25) (0.23)
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, END OF
PERIOD $12.28 $ 12.98 $ 11.98 $ 11.98 $ 10.17 $ 10.17
<CAPTION>
============= ======== ============= ======== ============= =======
<S> <C> <C> <C> <C> <C> <C>
TOTAL RETURN (NOT
ANNUALIZED) 15.14% 14.65% 23.18% 22.94% 4.39% 4.12%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000) $ 69 $146,226 $40,570 $122,488 $16,618 $66,036
Number of shares
outstanding, end of
period (000) 6 11,264 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 2.57% 2.33% 2.68% 2.45% 3.88% 3.64%
- ----------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio.
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2030 Fund
- -----------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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
<CAPTION>
- ------------- -------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
0.49 0.22 0.23 0.21 0.29 0.26
1.66 1.83 2.47 2.45 0.14 0.13
<CAPTION>
- ------------- -------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
2.15 2.05 2.70 2.66 0.43 0.39
(0.49) (0.23) (0.24) (0.22) (0.25) (0.22)
(0.33) (0.33) (0.27) (0.27) 0.00 0.00
<CAPTION>
- ------------- -------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
(0.82) (0.56) (0.51) (0.49) (0.25) (0.22)
<CAPTION>
- ------------- -------- ------------- ------- ------------- -------
<S> <C> <C> <C> <C> <C>
$13.70 $ 13.83 $ 12.37 $ 12.34 $10.18 $ 10.17
<CAPTION>
============= ======== ============= ======= ============= =======
<S> <C> <C> <C> <C> <C>
18.13% 17.01% 26.88% 26.53% 4.42% 4.03%
$ 41 $101,078 $25,447 $83,012 $9,682 $41,153
3 7,307 2,058 6,728 951 4,045
0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
2.06% 1.81% 2.15% 1.92% 3.59% 3.35%
- ------------------------------------------------------------------------
</TABLE>
23
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2040 Fund
------------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.63 0.16 0.17 0.15 0.20 0.18
Net realized and
unrealized gain on
investments 1.78 2.35 2.84 2.82 0.34 0.34
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
TOTAL FROM INVESTMENT
OPERATIONS 2.41 2.51 3.01 2.97 0.54 0.52
LESS DISTRIBUTIONS:
From net investment
income (0.64) (0.16) (0.18) (0.16) (0.17) (0.15)
From net realized
capital gains (0.69) (0.69) (0.34) (0.34) 0 0
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
TOTAL FROM DISTRIBUTIONS (1.33) (0.85) (0.52) (0.50) (0.17) (0.15)
<CAPTION>
------------- -------- ------------- -------- ------------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, END OF
PERIOD $13.94 $ 14.50 $ 12.86 $ 12.84 $10.37 $ 10.37
<CAPTION>
============= ======== ============= ======== ============= =======
<S> <C> <C> <C> <C> <C> <C>
TOTAL RETURN (NOT
ANNUALIZED) 19.89% 20.17% 29.32% 28.91% 5.55% 5.26%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000) $ 20 $189,560 $33,386 $142,738 $9,976 $56,737
Number of shares
outstanding, end of
period (000) 1 13,073 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 1.47% 1.22% 1.53% 1.29% 2.61% 2.35%
- ---------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio.
The accompanying notes are an integral part of these Financial Statements.
24
<PAGE>
NOTES TO 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 com-
pany. The Trust was organized as a Massachusetts business trust pursuant to an
Agreement and Declaration of Trust dated October 18, 1993. The Trust currently
is authorized to issue ten separate funds, of which the following commenced op-
erations on March 1, 1994: 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 fol-
lowed 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. Ac-
tual 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 re-
spective distribution fees. Shareholders of each class bear certain expenses
that pertain to that particular class. All shareholders bear the common ex-
penses 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 differ-
ences 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 Port-
folio") 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-
25
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------
ment in its corresponding Master Portfolio reflects that Fund's interest in the
net assets of that Master Portfolio (64.62%, 48.61%, 58.16%, 63.39%, and
73.09%) for the LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030 and
LifePath 2040 Funds, respectively, at February 28, 1997. 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 investing classes: equity and debt securities of issuers lo-
cated throughout the world and cash in the form of money market instruments.
The equity securities of the Master Portfolios are valued at the last reported
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 was no last reported
sales price, are valued at the most recent bid prices. Debt securities maturing
in 60 days or less are valued at amortized cost, which approximates market val-
ue. 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 market quotations are not readily available are valued at fair
value as determined in good faith in accordance with policies approved by the
Master Portfolios' Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security 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-divi-
dend 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 de-
livered. 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 as
required by the Code.
The performance of each Fund is directly affected by the performance of its
corresponding Master Portfolio. The financial statements of each Master Portfo-
lio, including the Portfolio of Investments, are included elsewhere in this re-
port and should be read in conjunction with the corresponding Fund's financial
statements.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Each Fund declares and pays dividends to shareholders from net investment in-
come quarterly. Distri-
26
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------
butions to shareholders from any net realized capital gains are declared and
distributed annually, generally in December.
Due to the timing of dividend distributions and the differences in accounting
for income and realized gains (losses) for financial statement and federal in-
come tax purposes, the fiscal year in which amounts are distributed may differ
from the year in which the income and realized gains (losses) were recorded by
the Fund.
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, as
set forth in the Code, and to make distributions of investment company taxable
income and net capital gains (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. At December
31, 1996, the Funds had no remaining capital loss carryforward balances.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the Funds' co-administrator, sponsor and distribu-
tor, 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 cer-
tain financial institutions, securities dealers and other industry profession-
als (collectively, "Shareholder Servicing Agents") for the provision of certain
services to Fund shareholders. For the services provided pursuant to a Share-
holder Servicing Agreement, the Trust may pay each Shareholder Servicing Agent
a fee of up to 0.20% of the average daily net asset 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 Barclays Global Invest-
ors, N.A. ("BGI").
The Trust has entered into an agreement with Stephens on behalf of each Retail
Class of shares for distribution services and has adopted a Plan of Distribu-
tion pursuant to Rule 12b-1 under the 1940 Act, whereby Stephens may be compen-
sated for services ren-
27
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------
dered and reimbursed for expenses incurred. For providing these services, Ste-
phens is entitled to receive 0.25% of the average daily net assets of the Re-
tail Class of shares on an annual basis.
Prior to October 21, 1996, BGI served as custodian to each of the LifePath
2000, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master
Portfolios. BGI was not entitled to receive compensation for its custodial
services so long as Barclays Global Fund Advisors was entitled to receive fees
for providing investment advisory services to the Master Portfolios.
Effective October 21, 1996, new custody agreements were adopted pursuant to
which Investors Bank & Trust Company ("IBT") has replaced BGI as custodian to
each Fund and its corresponding Master Portfolio. IBT will not be entitled to
receive fees for its custodial services so long as it is entitled to receive a
separate fee from WFB for its services as Sub-Administrator of the Funds.
Prior to October 21, 1996, pursuant to an Administration Agreement, the Trust
had also entered into an administration agreement on behalf of the Funds with
Stephens whereby Stephens had agreed to provide administrative services to the
Funds. For providing administrative services, the Trust paid Stephens a fee of
0.10% of each Fund's average daily net assets. Under the agreement, Stephens
had 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.
Effective October 21, 1996, new administrative services arrangements were
adopted which superceded the then current arrangement with Stephens as the sole
administrator of the Funds. The new administrative services arrangements do not
increase the level of fees payable by each Fund. Under the new arrangement, WFB
and Stephens, as co-administrators, have agreed jointly to provide general ad-
ministrative services to the Funds, such as managing and coordinating third-
party service relationships. Under the new arrangement, WFB and Stephens are
entitled to receive for these services a combined fee (expressed as a percent-
age of average daily net assets) from each Fund of 0.10%. This fee is an "all-
in" or "semi-unified" fee and WFB and Stephens, in consideration thereof, have
agreed to bear all of the Funds' ordinary operating expenses, excluding, gener-
ally, advisory fees and costs related to
28
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------
securities transactions. WFB and Stephens may delegate certain of their admin-
istrative duties to sub-administrators.
Certain officers and directors of the Trust are also officers of Stephens. At
February 28, 1997, these officers of Stephens collectively owned less than 1%
of the Funds' outstanding shares.
3. CAPITAL SHARE TRANSACTIONS
As of February 28, 1997, the Trust has authorized an unlimited number of shares
of beneficial interest. Transactions in capital shares for each Fund are dis-
closed in detail in the Statements of Changes in Net Assets.
4. PORTFOLIO SECURITIES LOANED
As of February 28, 1997, certain Master Portfolios had loaned securities which
were collateralized by cash, money market mutual funds, and repurchase agree-
ments. Each Master Portfolio receives transaction fees for providing services
in connection with the securities lending program. The value of the securities
on loan and the value of the related collateral are disclosed in the corre-
sponding Master Investment Portfolio financial statements.
5. 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 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 redeemed and distributed in kind to shareholders. These
net assets were then contributed to the corresponding New LifePath Funds on
March 26, 1996 as follows:
<TABLE>
<S> <C>
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
</TABLE>
29
<PAGE>
INDEPENDENT AUDITORS' REPORT
- --------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
STAGECOACH TRUST:
We have audited the accompanying statements of assets and liabilities of Stage-
coach Trust (comprising, respectively, LifePath 2000 Fund, LifePath 2010 Fund,
LifePath 2020 Fund, LifePath 2030 Fund, and LifePath 2040 Fund) as of February
28, 1997, and the related statements of operations for the year then ended, the
statements of changes in net assets for each of the years in the two year pe-
riod then ended and the financial highlights for each of the years in the three
year period then ended. These financial statements and financial highlights are
the responsibility of the Company's management. Our responsibility is to ex-
press an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 28, 1997, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned funds of Stagecoach Trust as of February 28, 1997, the
results of their operations, the changes in their net assets and their finan-
cial highlights for the periods indicated herein in conformity with generally
accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 11, 1997
30
<PAGE>
- --------------------
(THIS PAGE INTENTIONALLY LEFT BLANK)
31
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS
PERCENT OF NET ASSETS 21.07% 45.96%
LARGE CAP GROWTH STOCKS
PERCENT OF NET ASSETS 3.25% 13.93%
3Com Corp* 1,650 $ 54,630 1,300 $ 43,042
Abbott Laboratories 1,011 56,869 5,896 331,650
Albertson's Inc 294 10,364 1,900 66,975
Allegheny Teledyne Inc 256 6,528 1,410 35,955
Allied Signal Inc 349 25,215 2,126 153,604
ALZA Corp* 118 3,348 637 18,075
American Home Products Corp 838 53,632 4,888 312,832
American International Group
Inc 609 73,689 3,523 426,283
Amgen Inc* 366 22,372 1,996 122,006
Andrew Corp* 104 5,720 465 25,575
Anheuser-Busch Inc 632 28,124 3,838 170,791
Armco Inc* 107 441 875 3,609
Automatic Data Processing 396 16,880 2,274 96,929
AutoZone Inc* 250 6,188 1,200 29,700
Avery Dennison Corp 96 3,876 790 31,896
Avon Products Inc 154 8,971 990 57,668
Battle Mountain Gold Co 328 2,419 1,790 13,201
Bay Networks Inc* 293 5,567 1,430 27,170
Boston Scientific Corp* 193 12,786 1,326 87,848
Bristol-Myers Squibb Co 671 87,566 3,832 500,076
Cabletron Systems Inc* 250 7,500 1,220 36,600
Campbell Soup Co 290 26,136 1,795 161,774
Ceridian Corp* 27 1,056 574 22,458
Chase Manhattan Bank 611 61,176 3,319 332,315
Cisco Systems Inc* 848 47,170 5,008 278,570
Clorox Co 45 5,378 416 49,712
Coca-Cola Co 3,332 203,252 18,982 1,157,903
Cognizant Corp 173 6,033 1,310 45,686
Colgate-Palmolive Co 233 24,116 1,121 116,024
Comcast Corp Class A 440 7,865 2,896 51,766
Compaq Computer Corp* 392 31,066 2,024 160,402
Computer Associates
International Inc 528 22,968 2,880 125,280
Computer Sciences Corp* 138 9,315 609 41,108
ConAgra Inc 284 15,052 1,840 97,520
CoreStates Financial Corp 304 15,998 1,714 90,199
Corning Inc 311 11,701 1,775 66,784
CPC International Inc 237 19,938 1,076 90,519
Crown Cork & Seal Co 180 9,990 975 54,113
CUC International Inc* 615 14,683 3,033 72,401
Dayton-Hudson Corp 275 11,550 1,685 70,770
Dell Computer Corp* 270 19,204 1,370 97,441
Disney (Walt) Co 894 66,380 5,179 384,541
</TABLE>
32
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
62.53% 76.02% 88.25%
19.86% 24.38% 32.01%
2,833 $ 93,799 2,123 $ 70,291 4,533 $ 150,084
12,530 704,813 9,742 547,988 20,980 1,180,125
4,029 142,022 3,108 109,557 6,736 237,444
2,815 71,783 2,165 55,208 4,040 103,020
4,589 331,555 3,591 259,450 6,530 471,793
1,376 39,044 1,022 28,999 2,365 67,107
10,264 656,896 7,982 510,848 17,062 1,091,968
7,530 911,130 5,842 706,882 12,620 1,527,020
4,285 261,921 3,318 202,813 7,057 431,359
1,008 55,440 797 43,835 1,691 93,005
8,036 357,602 6,206 276,167 13,321 592,785
1,771 7,305 1,205 4,971 3,167 13,064
4,704 200,508 3,665 156,221 7,784 331,793
2,376 58,806 2,031 50,267 3,515 86,996
1,654 66,780 1,320 53,295 2,803 113,171
2,128 123,956 1,643 95,705 3,576 208,302
3,697 27,265 2,857 21,070 5,222 38,512
3,039 57,741 2,392 45,448 4,974 94,506
2,891 191,529 2,208 146,280 4,723 312,899
8,069 1,053,005 6,250 815,625 13,432 1,752,876
2,541 76,230 1,989 59,670 4,117 123,510
3,786 341,213 2,977 268,302 6,260 564,183
1,086 42,490 863 33,765 1,924 75,277
7,069 707,784 5,522 552,890 11,715 1,172,964
10,493 583,673 8,115 451,397 17,401 967,931
821 98,110 679 81,141 1,367 163,357
40,129 2,447,869 31,197 1,903,017 66,878 4,079,558
2,700 94,163 2,143 74,737 4,525 157,809
2,370 245,295 1,876 194,166 3,976 411,516
6,373 113,918 4,086 73,037 8,714 155,763
4,343 344,183 3,447 273,175 6,595 522,654
5,835 253,823 4,585 199,448 9,790 425,865
1,252 84,510 896 60,480 2,015 136,013
3,850 204,050 3,059 162,127 6,514 345,242
3,547 186,661 2,830 148,929 5,964 313,856
3,765 141,658 2,871 108,021 6,091 229,174
2,350 197,694 1,790 150,584 3,896 327,751
2,022 112,221 1,584 87,912 3,403 188,867
6,351 151,630 4,905 117,095 10,597 253,003
3,475 145,950 2,673 112,266 5,718 240,156
2,877 204,627 2,279 162,094 4,755 338,199
10,972 814,671 8,469 628,823 18,199 1,351,276
</TABLE>
33
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Dover Corp 150 $ 7,444 892 $ 44,266
DuPont (E I) de Nemours 796 85,371 4,348 466,323
Eastman Kodak Co 479 42,930 2,531 226,841
Ecolab Inc 60 2,273 456 17,271
EMC Corp* 308 11,088 1,770 63,720
Emerson Electric Co 318 31,482 1,676 165,924
Enron Corp 386 15,392 1,994 79,511
Federal National Mortgage
Assoc 1,516 60,640 8,348 333,920
First Bank System Inc 216 16,956 990 77,715
First Data Corp 644 23,587 3,474 127,235
Fluor Corp 119 7,214 687 41,649
Foster Wheeler Corp -- -- 310 12,090
Freeport McMoran Copper &
Gold Inc Class B 38 1,240 28 914
Freeport McMoran Copper &
Gold Inc Class A 322 10,948 1,537 52,258
Frontier Corp 183 4,049 580 12,833
Gannett Co Inc 233 18,582 1,120 89,320
Gap Inc 408 13,464 2,238 73,854
General Electric Co 2,222 228,588 12,591 1,295,299
General Instrument Corp* 150 3,563 1,000 23,750
General Mills Inc 203 13,246 1,215 79,279
Gillette Co 697 55,166 4,163 329,413
Green Tree Financial Inc 150 5,625 1,100 41,250
GTE Corp 1,326 61,991 7,343 343,285
Guidant Corp 50 3,350 200 13,400
Halliburton Co 125 8,078 968 62,557
Harcourt General Inc 86 4,053 530 24,976
Harland (John H) Co 53 1,603 226 6,837
Harnischfeger Industries Inc 108 4,739 369 16,190
Healthsouth Corp* 244 9,821 1,200 48,300
Heinz (H J) Co 474 19,730 2,869 119,422
Hercules Inc 188 8,742 803 37,340
Hershey Foods Corp 208 9,490 1,246 56,849
Hewlett-Packard Co 1,372 76,832 7,750 434,000
HFS Inc* 200 13,700 1,000 68,500
Hilton Hotels Corp 393 9,874 1,828 45,929
Home Depot Inc 635 34,608 3,727 203,122
Honeywell Inc 179 12,731 946 67,284
Ikon Office Solutions Inc 188 7,755 1,030 42,488
Illinois Tool Works Inc 174 14,681 965 81,422
Intel Corp 1,066 151,239 6,302 894,096
International Flavors &
Fragrances 171 7,930 863 40,022
Interpublic Group Cos Inc 82 4,110 626 31,378
Johnson & Johnson 1,776 102,342 10,222 589,043
Jostens Inc 105 2,258 251 5,397
Kellogg Co 319 21,852 1,577 108,025
</TABLE>
34
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,845 $ 91,558 1,409 $ 69,922 3,056 $ 151,654
9,035 969,004 7,052 756,327 15,047 1,613,791
5,384 482,541 4,253 381,175 9,074 813,257
1,035 39,201 793 30,035 1,871 70,864
3,745 134,820 2,869 103,284 6,180 222,480
3,637 360,063 2,836 280,764 6,031 597,069
4,060 161,893 3,270 130,391 5,782 230,557
17,586 703,440 13,860 554,400 29,118 1,164,720
2,184 171,444 1,739 136,512 3,811 299,164
7,226 264,652 5,615 205,649 11,987 439,024
1,303 78,994 1,074 65,111 2,209 133,921
666 25,974 529 20,631 1,148 44,772
52 1,697 38 1,240 236 7,700
3,124 106,216 2,485 84,490 5,229 177,786
2,671 59,096 736 16,284 4,394 97,217
2,296 183,106 1,780 141,955 3,738 298,106
4,548 150,084 3,547 117,051 7,737 255,321
26,541 2,730,405 20,659 2,125,295 44,286 4,555,922
2,194 52,108 1,754 41,658 3,608 85,690
2,569 167,627 1,982 129,326 4,303 280,771
8,920 705,779 6,461 511,258 14,806 1,171,509
2,194 82,275 1,754 65,775 3,608 135,300
15,508 724,999 12,151 568,059 25,996 1,215,313
1,188 79,596 185 12,395 1,943 130,181
2,034 131,447 1,540 99,523 3,296 213,004
1,104 52,026 916 43,167 1,968 92,742
470 14,218 374 11,314 836 25,289
817 35,846 588 25,799 1,351 59,275
2,578 103,765 2,087 84,002 3,930 158,183
5,921 246,462 4,610 191,891 9,903 412,212
1,654 76,911 1,328 61,752 2,861 133,037
2,514 114,701 1,920 87,600 4,113 187,656
16,387 917,672 12,763 714,728 27,412 1,535,072
2,102 143,987 1,570 107,545 3,330 228,105
3,969 99,721 3,062 76,933 6,024 151,353
7,719 420,686 6,013 327,709 12,819 698,636
2,083 148,153 1,583 112,591 2,839 201,924
2,055 84,769 1,647 67,939 3,467 143,014
1,984 167,400 1,536 129,600 3,319 280,041
13,226 1,876,439 10,272 1,457,340 22,071 3,131,323
1,796 83,290 1,351 62,653 2,902 134,580
1,350 67,669 997 49,975 2,226 111,578
21,452 1,236,172 16,676 960,955 35,730 2,058,941
626 13,459 514 11,051 1,095 23,543
3,363 230,366 2,607 178,580 5,658 387,573
</TABLE>
35
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Kimberly-Clark Corp 381 $ 40,386 2,122 $ 224,932
Kroger Co* 165 8,745 1,008 53,424
Lilly (Eli) & Co 776 67,803 4,230 369,596
Lowe's Co Inc 250 9,125 1,363 49,750
Lucent Technologies Inc 842 45,363 4,885 263,179
Marriott International 173 9,169 1,013 53,689
Marsh & McLennan Companies
Inc 80 9,360 549 64,233
Mattel Inc 358 8,905 2,103 52,312
MBNA Corp 415 13,280 2,617 83,728
McDonald's Corp 940 40,655 5,284 228,533
McGraw-Hill Inc 172 8,923 766 39,736
Medtronic Inc 350 22,663 1,834 118,752
Merck & Co Inc 1,622 149,224 9,253 851,276
Meredith Corp 50 2,450 198 9,702
Microsoft Corp* 1,568 152,880 9,134 890,565
Millipore Corp 50 2,156 344 14,835
Minnesota Mining &
Manufacturing Co 567 52,164 3,160 290,720
Monsanto Co 815 29,646 4,550 165,506
Nalco Chemical Co 71 2,609 490 18,008
Newell Co 152 5,643 1,215 45,107
Newmont Mining Corp 124 5,890 768 36,480
Nike Inc Class B 370 26,594 2,200 158,125
Northern Telecom Ltd 390 28,031 1,997 143,534
Oracle Systems Corp* 843 33,088 5,028 197,349
Oryx Energy Co* 195 3,900 765 15,300
Owens Corning Fiberglass
Corp 26 1,102 373 15,806
Pacific Telesis Group 564 22,983 3,364 137,083
Pall Corp 78 1,697 894 19,445
Pepsico Inc 2,098 68,972 11,926 392,067
Perkin-Elmer Corp 27 1,917 274 19,454
Pfizer Inc 870 79,714 4,982 456,476
Philip Morris Co Inc 1,126 152,151 6,240 843,180
Pioneer Hi Bred
International Inc 132 8,993 624 42,510
Pitney Bowes Inc 152 9,443 1,115 69,269
Placer Dome Inc 242 5,203 1,849 39,754
PPG Industries Inc 198 11,088 1,431 80,136
Praxair Inc 211 10,260 1,177 57,232
Procter & Gamble Co 873 104,869 5,147 618,283
Quaker Oats Co 136 4,879 1,074 38,530
Ralston-Purina Group 151 12,401 818 67,178
Raychem Corp 25 2,128 372 31,667
Reebok International Ltd 95 4,441 488 22,814
Rowan Co Inc* 122 2,425 742 14,747
Santa Fe Energy Resources
Inc* 83 1,069 778 10,017
Sara Lee Corp 613 23,754 3,702 1143,453
</TABLE>
36
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4,553 $ 482,618 3,565 $ 377,890 7,539 $ 799,134
2,059 109,127 1,566 82,998 3,334 176,702
8,912 778,686 6,823 596,160 14,711 1,285,374
2,817 102,821 2,161 78,877 3,857 140,781
10,260 552,758 7,814 420,979 17,082 920,293
2,048 108,544 1,608 85,224 3,418 181,154
1,120 131,040 884 103,428 1,892 221,364
4,342 108,007 3,379 84,053 7,306 181,737
5,423 173,520 4,160 133,120 8,889 284,448
11,259 486,952 8,765 379,086 18,738 810,419
1,605 83,259 1,206 62,561 2,631 136,483
3,874 250,842 2,984 193,214 6,390 413,753
19,458 1,790,136 15,243 1,402,356 32,646 3,003,432
420 20,580 318 15,582 803 39,347
19,273 1,879,118 14,964 1,458,990 32,024 3,122,340
717 30,921 528 22,770 1,314 56,666
6,696 616,032 5,274 485,208 11,259 1,035,828
9,524 346,436 7,340 266,993 15,763 573,379
1,078 39,617 862 31,679 2,023 74,345
2,547 94,557 1,975 73,322 4,215 156,482
1,640 77,900 1,243 59,043 2,695 128,013
4,651 334,291 3,601 258,822 7,649 549,772
4,208 302,450 3,278 235,606 6,905 496,297
10,605 416,246 8,227 322,910 17,582 690,094
1,718 34,360 1,273 25,460 3,089 61,780
832 35,256 675 28,603 1,457 61,740
6,887 280,645 5,384 219,398 11,457 466,873
1,844 40,107 1,454 31,625 3,312 72,036
25,053 823,617 19,612 644,745 42,049 1,382,361
718 50,978 585 41,535 1,273 90,383
10,435 956,107 8,016 734,466 17,268 1,582,181
13,106 1,770,948 10,256 1,385,842 21,972 2,968,967
1,311 89,312 1,030 70,169 2,257 153,758
2,356 146,367 1,886 117,168 3,356 208,492
3,881 83,442 2,998 64,457 6,352 136,568
2,950 165,200 2,349 131,544 4,949 277,144
2,486 120,882 1,983 96,423 4,189 203,690
10,981 1,319,093 8,611 1,034,396 18,391 2,209,219
2,183 78,315 1,713 61,454 3,651 130,980
1,685 138,381 1,283 105,366 2,860 234,878
740 62,993 574 48,862 1,266 107,768
850 39,738 848 39,644 1,447 67,647
1,424 28,302 1,057 21,008 1,754 34,861
1,513 19,480 1,177 15,154 2,118 27,269
7,757 300,584 6,032 233,740 13,048 505,610
</TABLE>
37
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
SBC Communication Inc 802 $ 46,115 4,606 $ 264,845
Schering-Plough Corp 476 36,474 2,846 218,075
Schlumberger Ltd 377 37,936 1,759 176,999
Shared Medical System Corp 40 2,185 238 13,001
Sherwin Williams Co 127 7,128 696 39,063
Sigma-Aldrich Corp 124 3,798 824 25,235
Sun Microsystems Inc* 506 15,623 2,882 88,982
Sysco Corp 198 6,881 1,359 47,225
Tellabs Inc* 250 9,969 1,350 53,831
Thermo Electron Corp* 233 7,951 1,126 38,425
Time Warner Inc 763 31,283 4,385 179,785
Times Mirror Co Class A 148 7,622 790 40,685
TJX Companies Inc 78 3,257 600 25,050
Tribune Co 136 5,338 976 38,308
Trinova Corp 50 1,856 223 8,279
Tupperware Corp 61 2,730 456 20,406
Tyco International Inc 216 12,744 1,150 67,850
Union Pacific Resources
Group 2,521 61,449 2,374 57,866
United Technologies Corp 296 22,274 1,828 137,557
Unocal Corp 373 14,407 1,909 73,735
US Airways Group Inc* 129 2,548 501 9,895
UST Inc 184 5,681 1,493 46,096
Wal Mart Stores Inc 3,052 80,497 17,528 462,301
Walgreen Co 330 14,108 1,912 81,738
Warner Lambert Co 368 30,912 2,098 176,232
Wells Fargo & Co 152 46,246 709 215,713
Westinghouse Electric Corp 890 15,344 4,693 80,946
Winn-Dixie Stores Inc 160 5,100 1,200 38,250
WorldCom Inc 1,206 32,110 4,861 129,424
Wrigley (Wm) Jr Co 179 10,718 895 53,588
------------ ------------
TOTAL LARGE CAP GROWTH
STOCKS
-VALUE $ 4,261,494 $ 23,620,125
-COST $ 3,502,216 $ 16,929,035
LARGE CAP VALUE STOCKS
PERCENT OF NET ASSETS 3.08% 13.74%
Advanced Micro Devices* 194 $ 6,960 1,083 $ 38,853
Aetna Inc 168 13,923 1,189 98,538
Ahmanson (H F) & Co 130 5,346 898 36,930
Air Products & Chemicals Inc 125 9,266 868 64,341
Airtouch Communications* 788 21,473 4,101 111,752
Alberto-Culver Co Class B 96 2,736 444 12,654
Alcan Aluminum Ltd 318 11,408 1,829 65,615
Allergan Inc 62 2,108 557 18,938
Allstate Corp 604 38,279 3,680 233,220
Alltel Corp 221 7,818 1,600 56,600
</TABLE>
38
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
9,743 $ 560,223 7,668 $ 440,910 16,311 $ 937,883
5,998 459,597 4,644 355,847 9,904 758,894
3,996 402,098 3,044 306,303 6,528 656,880
422 23,052 331 18,081 642 35,069
1,341 75,264 1,094 61,401 1,960 110,005
1,585 48,541 1,285 39,353 2,907 89,027
5,930 183,089 4,650 143,569 9,765 301,494
2,901 100,810 2,265 78,709 4,779 166,070
2,925 116,634 2,216 88,363 4,718 188,130
2,424 82,719 2,046 69,820 3,481 118,789
9,205 377,405 7,136 292,576 15,275 626,275
1,619 83,379 1,312 67,568 2,373 122,210
1,284 53,607 897 37,450 1,887 78,782
2,000 78,500 1,531 60,092 3,278 128,662
406 15,073 396 14,702 823 30,554
1,036 46,361 827 37,008 1,341 60,010
2,492 147,028 1,935 114,165 4,054 239,186
4,825 117,609 5,488 133,770 7,735 188,551
3,874 291,519 3,126 235,232 5,793 435,923
4,081 157,629 3,134 121,051 5,696 220,008
1,052 20,777 757 14,951 1,838 36,301
2,953 91,174 2,388 73,730 4,944 152,646
36,969 975,057 28,745 758,149 61,511 1,622,353
3,932 168,093 3,100 132,525 6,542 279,671
4,380 367,920 3,414 286,776 7,253 609,252
1,530 465,503 1,205 366,621 2,539 772,491
10,118 174,544 7,113 122,699 14,486 249,879
2,415 76,978 1,907 60,786 3,976 126,735
14,072 374,667 7,401 197,052 23,244 618,858
1,876 112,326 1,410 84,424 3,087 184,834
------------ ------------ ------------
$ 49,944,795 $ 38,711,243 $ 82,608,187
$ 35,473,917 $ 26,291,547 $ 59,537,170
19.30% 23.22% 25.84%
2,351 $ 84,342 1,737 $ 62,315 3,222 $ 115,589
2,625 217,547 1,916 158,789 3,562 295,201
1,843 75,793 1,350 55,519 2,452 100,839
1,904 141,134 1,428 105,851 2,580 191,243
8,550 232,988 6,528 177,888 11,843 322,722
920 26,220 808 23,028 1,222 34,827
3,868 138,765 2,903 104,145 5,316 190,712
1,084 36,856 811 27,574 1,538 52,292
7,662 485,579 5,748 364,280 10,511 666,135
3,202 113,271 2,491 88,119 4,452 157,490
</TABLE>
39
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Aluminum Co of America 210 $ 14,963 1,398 $ 99,608
Amdahl Corp* 177 1,748 945 9,332
Amerada Hess Corp 138 7,366 782 41,739
American Brands Inc 253 13,314 1,391 73,201
American Electric Power Inc 298 12,442 1,512 63,126
American Express Corp 641 41,905 3,914 255,878
American General Corp 300 13,013 1,635 70,918
American Greetings Corp
Class A 130 4,030 651 20,181
American Stores Co 225 10,069 1,241 55,535
Ameritech Corp 733 46,729 4,550 290,063
Amoco Corp 694 58,643 4,039 341,296
AMP Inc 280 10,885 1,760 68,420
AMR Corp* 133 10,457 728 57,239
Aon Corp 140 8,873 860 54,503
Apple Computer Inc* 130 2,113 998 16,218
Applied Materials Inc* 250 12,656 1,490 75,431
Archer-Daniels-Midland Co 754 13,949 4,506 83,361
Armstrong World Industries
Inc 90 6,199 363 25,002
ASARCO Inc 123 3,844 371 11,594
Ashland Inc 106 4,439 552 23,115
AT & T Corp 2,345 93,507 13,301 530,377
Atlantic Richfield Corp 255 31,875 1,370 171,250
Autodesk Inc 84 2,846 380 12,873
Baker Hughes Inc 221 7,846 1,188 42,174
Ball Corp 52 1,313 275 6,944
Baltimore Gas & Electric Co 231 6,353 1,172 32,230
Banc One Corp 650 28,681 3,528 155,673
Bank of Boston Corp 250 18,844 1,293 97,460
Bank of New York Inc 578 22,398 3,220 124,775
BankAmerica Corp 521 59,264 2,998 341,023
Bankers Trust NY Corp 90 8,168 635 57,626
Bard (C R) Inc 141 3,860 512 14,016
Barnett Banks Inc 240 11,100 1,580 73,075
Barrick Gold Corp 407 11,498 2,970 83,903
Bausch & Lomb Inc 54 2,018 450 16,819
Baxter International Inc 359 16,514 2,194 100,924
Becton Dickinson & Co 154 7,585 996 49,053
Bell Atlantic Corp 589 40,715 3,588 248,021
BellSouth Corp 1,338 62,719 8,128 381,000
Bemis Co Inc 140 5,793 411 17,005
Beneficial Corp 42 2,903 413 28,549
Bethlehem Steel Corp* 62 512 856 7,062
Beverly Enterprises* 170 2,444 791 11,371
Biomet Inc 127 1,937 944 14,396
Black & Decker Corp 122 3,858 692 21,885
</TABLE>
40
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,945 $ 209,831 2,307 $ 164,374 4,118 $ 293,408
2,001 19,760 1,500 14,813 2,835 27,996
1,574 84,012 1,224 65,331 2,238 119,453
2,916 153,455 2,266 119,248 4,045 212,868
3,194 133,350 2,399 100,158 4,428 184,869
8,139 532,087 6,215 406,306 11,122 727,101
3,499 151,769 2,682 116,332 4,788 207,680
1,315 40,765 992 30,752 1,783 55,273
2,495 111,651 1,935 86,591 3,399 152,105
9,427 600,971 7,115 453,581 12,916 823,395
8,495 717,828 6,483 547,814 11,661 985,355
3,714 144,382 2,878 111,882 5,189 201,722
1,593 125,250 1,174 92,306 2,163 170,066
1,868 118,385 1,390 88,091 2,568 162,747
2,142 34,808 1,560 25,350 2,914 47,353
3,061 154,963 2,317 117,298 4,186 211,916
9,321 172,439 7,113 131,591 12,761 236,079
672 46,284 535 36,848 996 68,600
707 22,094 565 17,656 960 30,000
1,084 45,393 795 33,291 1,510 63,231
27,719 1,105,177 21,107 841,642 38,113 1,519,756
2,736 342,000 2,062 257,750 3,790 473,750
793 26,863 595 20,156 1,092 36,992
2,438 86,549 1,907 67,699 3,445 122,298
493 12,448 398 10,050 725 18,306
2,530 69,575 1,893 52,058 3,501 96,278
7,296 321,936 5,585 246,438 10,024 442,309
2,603 196,201 2,011 151,579 3,589 270,521
6,721 260,439 5,109 197,974 9,264 358,980
6,195 704,681 4,660 530,075 8,410 956,638
1,449 131,497 1,105 100,279 1,937 175,783
1,014 27,758 720 19,710 1,346 36,847
3,385 156,556 2,514 116,273 4,634 214,323
6,162 174,077 4,695 132,634 8,418 237,809
961 35,917 702 26,237 1,309 48,924
4,667 214,682 3,558 163,668 6,446 296,516
2,172 106,971 1,666 82,051 2,950 145,288
7,531 520,580 5,686 393,045 10,347 715,236
17,004 797,063 12,969 607,922 23,361 1,095,047
890 36,824 722 29,873 1,197 49,526
898 62,074 665 45,968 1,219 84,263
1,828 15,081 1,402 11,567 2,597 21,425
1,669 23,992 1,226 17,624 2,290 32,919
1,963 29,936 1,490 22,723 2,667 40,672
1,505 47,596 1,133 35,831 2,088 66,033
</TABLE>
41
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Block (H & R) Inc 111 $ 3,261 852 $ 25,028
Boeing Co 461 46,923 2,906 295,686
Boise Cascade Corp 67 2,203 364 11,967
Briggs & Stratton Corp 50 2,181 249 10,863
Brown-Forman Corp Class B 71 3,177 592 26,492
Browning-Ferris Industries
Inc 338 10,605 1,774 55,659
Brunswick Corp 92 2,634 762 21,812
Burlington Northern Santa Fe 189 15,734 1,300 108,225
Burlington Resources Inc 177 7,766 1,044 45,806
Caliber System Inc 93 2,116 266 6,052
Carolina Power & Light Co 156 5,792 1,271 47,186
Case Corp 100 5,188 650 33,719
Caterpillar Inc 257 20,142 1,591 124,695
Centex Corp 55 2,221 228 9,206
Central & South West Corp 331 8,068 1,744 42,510
Champion International Corp 138 6,089 732 32,300
Charming Shoppes Inc* 255 1,132 874 3,878
Chevron Corp 892 57,534 5,377 346,817
Chrysler Corp 990 33,536 5,948 201,489
Chubb Corp 208 12,194 1,396 81,841
CIGNA Corp 76 11,619 597 91,266
Cincinnati Milacron Inc 59 1,269 332 7,138
Cinergy Corp 220 7,590 1,312 45,264
Circuit City Stores Inc 143 4,469 812 25,375
Citicorp 677 79,040 3,880 452,990
Coastal Corp 108 4,914 827 37,629
Columbia Gas System Inc 139 8,166 410 24,088
Columbia HCA Healthcare Corp 912 38,304 5,475 229,950
Comerica Inc 139 8,357 910 54,714
Conrail Inc 60 6,270 348 36,366
Conseco Inc 1,250 49,063 1,466 57,560
Consolidated Edison Co 335 10,343 1,972 60,886
Consolidated Natural Gas Co 138 7,038 782 39,882
Cooper Industries Inc 128 5,664 895 39,604
Cooper Tire & Rubber Co 121 2,405 691 13,734
Coors (Adolph) Co Class B 67 1,432 315 6,733
Costco Co Inc* -- -- 200 5,125
Crane Co 78 2,545 362 11,810
CSX Corp 268 12,362 1,754 80,903
Cummins Engine Co Inc 23 1,164 370 18,731
CVS Corp 110 5,088 853 39,451
Cyprus Amax Minerals 136 3,179 731 17,087
Dana Corp 148 4,588 816 25,296
Darden Restaurants Inc 153 1,109 1,215 8,809
Data General Corp* 62 1,201 311 6,026
</TABLE>
42
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,816 $ 53,345 1,404 $ 41,243 2,418 $ 71,029
6,132 623,978 4,639 472,049 8,434 858,166
862 28,338 627 20,613 1,185 38,957
516 22,511 425 18,541 663 28,923
1,142 51,105 952 42,602 1,616 72,316
3,658 114,770 2,779 87,191 5,036 158,005
1,702 48,720 1,329 38,043 2,282 65,322
2,578 214,619 1,980 164,835 3,631 302,281
2,156 94,595 1,659 72,789 2,949 129,387
668 15,197 544 12,376 914 20,794
2,578 95,708 1,981 73,545 3,559 132,128
1,273 66,037 912 47,310 1,715 88,966
3,298 258,481 2,451 192,097 4,485 351,512
498 20,107 413 16,675 680 27,455
3,576 87,165 2,695 65,691 4,925 120,047
1,676 73,954 1,215 53,612 2,264 99,899
1,617 7,175 1,180 5,236 2,388 10,597
11,172 720,594 8,490 547,605 15,382 992,139
12,519 424,081 9,530 322,829 17,173 581,735
2,987 175,113 2,304 135,072 4,114 241,183
1,311 200,419 973 148,747 1,766 269,977
636 13,674 513 11,030 1,011 21,737
2,732 94,254 2,037 70,277 3,703 127,754
1,725 53,906 1,244 38,875 2,312 72,250
8,084 943,807 6,136 716,378 11,066 1,291,956
1,805 82,128 1,370 62,335 2,519 114,615
977 57,399 717 42,124 1,278 75,083
11,464 481,505 8,784 368,928 15,829 664,818
1,906 114,598 1,479 88,925 2,569 154,461
842 87,989 608 63,536 1,280 133,760
2,566 100,720 1,902 74,654 3,548 139,242
4,051 125,075 3,054 94,292 5,540 171,048
1,671 85,221 1,215 61,965 2,264 115,464
1,842 81,509 1,389 61,463 2,522 111,599
1,402 27,865 1,022 20,312 1,901 37,782
678 14,492 506 10,816 861 18,404
100 2,563 100 2,563 100 2,563
742 24,208 601 19,591 1,077 35,137
3,690 170,201 2,793 128,827 5,109 235,653
683 34,577 472 23,895 955 48,347
1,825 84,406 1,404 64,935 2,500 115,625
1,605 37,517 1,220 28,518 2,190 51,191
1,735 53,785 1,356 42,036 2,387 73,997
2,626 19,039 1,957 14,188 3,646 26,434
627 12,148 512 9,920 907 17,573
</TABLE>
43
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Dean Witter Discover & Co 398 $ 15,273 2,628 $ 100,850
Deere & Co 328 13,981 2,163 92,198
Delta Air Lines Inc 138 11,109 610 49,105
Deluxe Corp 170 5,376 689 21,790
Digital Equipment Corp* 217 7,107 1,234 40,414
Dillard Department Stores
Inc Class A 123 3,705 966 29,101
Dominion Resources Inc 270 10,868 1,510 60,778
Donnelley (R R) & Sons Co 253 7,811 1,191 36,772
Dow Chemical Co 332 26,892 2,016 163,296
Dow Jones & Co Inc 100 4,013 818 32,822
Dresser Industries Inc 207 6,288 1,471 44,682
DSC Communications Corp * 121 2,541 963 20,223
DTE Energy Co 232 7,018 1,223 36,996
Duke Power Co 259 11,461 1,697 75,092
Dun & Bradstreet Corp 173 4,239 1,410 34,545
Eastern Enterprises 37 1,244 185 6,221
Eastman Chemical Co 120 6,615 588 32,414
Eaton Corp 83 5,955 627 44,987
Echlin Inc 103 3,566 550 19,044
Echo Bay Mines Ltd 121 938 1,165 9,029
Edison International 610 13,115 3,532 75,938
EG & G Inc 123 2,675 419 9,113
Engelhard Corp 164 3,629 1,165 25,776
Enserch Corp 92 1,932 588 12,348
Entergy Corp 329 8,677 1,864 49,163
Exxon Corp 1,726 172,384 10,248 1,023,390
Federal Express Corp* 146 7,519 888 45,732
Federal Home Loan Mortgage
Corp 1,164 34,629 5,920 176,120
Federated Department Stores
Inc* 250 8,688 1,750 60,813
Fifth Third Bancorp 144 12,006 845 70,452
First Chicago NBD Corp 434 25,389 2,623 153,446
First Union Corp 363 31,853 2,304 202,176
Fleet Financial Group Inc 355 21,655 2,183 133,163
Fleetwood Enterprises Inc 30 780 302 7,852
Fleming Co Inc 65 1,138 263 4,603
FMC Corp* 100 6,875 311 21,381
Ford Motor Co 1,630 53,586 9,722 319,611
FPL Group Inc 233 10,602 1,495 68,023
Fruit of the Loom Inc Class
A* 114 4,660 600 24,525
General Dynamics Corp 61 4,102 557 37,458
General Motors Corp Class A 1,080 62,505 6,186 358,015
General Re Corp 97 16,454 692 117,381
General Signal Corp 133 5,802 405 17,668
Genuine Parts Co 168 7,854 1,008 47,124
Georgia-Pacific Corp 133 10,374 726 56,628
</TABLE>
44
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
5,476 $ 210,142 4,157 $ 159,525 7,554 $ 289,885
4,429 188,786 3,344 142,538 6,041 257,498
1,323 106,502 977 78,649 1,783 143,532
1,387 43,864 1,066 33,712 1,984 62,744
2,678 87,705 1,980 64,845 3,596 117,769
1,993 60,039 1,527 46,001 2,687 80,946
3,106 125,017 2,305 92,776 4,232 170,338
2,588 79,905 1,935 59,743 3,519 108,649
4,132 334,692 3,165 256,365 5,685 460,485
1,673 67,129 1,275 51,159 2,264 90,843
3,054 92,765 2,294 69,680 4,117 125,054
2,049 43,029 1,519 31,899 2,732 57,372
2,508 75,867 1,854 56,084 3,443 104,151
3,404 150,627 2,643 116,953 4,737 209,612
2,965 72,643 2,216 54,292 3,961 97,045
393 13,215 254 8,541 433 14,560
1,287 70,946 970 53,471 1,782 98,233
1,349 96,791 991 71,104 1,818 130,442
1,051 36,391 797 27,596 1,417 49,064
2,311 17,910 1,748 13,547 3,202 24,816
7,421 159,552 5,664 121,776 10,206 219,429
798 17,357 561 12,202 1,145 24,904
2,466 54,560 1,829 40,467 3,350 74,119
1,147 24,087 920 19,320 1,637 34,377
3,990 105,236 3,019 79,626 5,391 142,188
21,274 2,124,741 16,212 1,619,174 29,237 2,920,045
1,907 98,211 1,460 75,190 2,686 138,329
12,207 363,158 9,290 276,378 16,880 502,180
3,528 122,598 2,744 95,354 4,866 169,094
1,783 148,658 1,403 116,975 2,480 206,770
5,450 318,825 4,144 242,424 7,479 437,522
4,860 426,465 3,710 325,553 6,711 588,890
4,465 272,365 3,414 208,254 6,179 376,919
656 17,056 423 10,998 972 25,272
639 11,183 439 7,683 907 15,873
668 45,925 531 36,506 901 61,944
20,336 668,546 15,456 508,116 27,867 916,128
3,148 143,234 2,387 108,609 4,312 196,196
1,322 54,037 1,052 43,001 1,797 73,452
1,099 73,908 829 55,750 1,481 99,597
12,938 748,787 9,842 569,606 17,784 1,029,249
1,382 234,422 1,121 190,150 1,962 332,804
879 38,346 632 27,571 1,167 50,910
2,088 97,614 1,539 71,948 2,820 131,835
1,540 120,120 1,215 94,770 2,158 168,324
</TABLE>
45
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Giant Food Inc Class A 54 $ 1,762 451 $ 14,714
Giddings & Lewis Inc 60 829 283 3,909
Golden West Financial 62 4,201 458 31,030
Goodrich (B F) Co 90 3,656 486 19,744
Goodyear Tire & Rubber Co 240 12,660 1,231 64,935
GPU Inc 137 4,795 984 34,440
Grace (W R) & Co 139 7,367 683 36,199
Grainger (W W) Inc 39 3,091 410 32,493
Great Atlantic & Pacific Tea
Co 67 1,993 265 7,884
Great Lakes Chemical Corp 75 3,478 494 22,909
Great Western Financial Corp 207 9,082 1,150 50,456
Harrah's Entertainment Inc* 104 1,924 822 15,207
Harris Corp 95 7,006 367 27,066
Hasbro Inc 129 5,515 674 28,814
Helmerich & Payne Inc 43 1,817 242 10,225
Homestake Mining Co 116 1,914 1,180 19,470
Household International Inc 141 13,659 785 76,047
Houston Industries Inc 308 7,161 1,992 46,314
Humana Inc* 250 4,906 1,350 26,494
Inco Ltd 229 8,044 1,347 47,313
Ingersoll-Rand Co 110 5,225 853 40,518
Inland Steel Industries Inc 97 1,916 396 7,821
Intergraph Corp* 54 446 352 2,904
International Business
Machines Corp 719 103,356 4,234 608,638
International Paper Co 409 17,076 2,495 104,166
ITT Corp* 131 7,402 996 56,274
ITT Hartford Group Inc 131 9,825 996 74,700
ITT Industries Inc 131 3,406 996 25,896
James River Corp 118 3,865 689 22,565
Jefferson-Pilot Corp 104 6,136 587 34,633
Johnson Controls Inc 96 8,088 369 31,088
K Mart Corp* 684 8,550 4,012 50,150
Kaufman & Broad Home Corp 57 805 280 3,955
Kerr-McGee Corp 41 2,568 412 25,802
KeyCorp 373 19,956 1,834 98,119
King World Productions* 100 3,713 262 9,727
Knight-Ridder Inc 140 5,565 732 29,097
Laidlaw Inc Class B 381 5,286 2,542 35,270
Limited Inc 366 6,954 2,210 41,990
Lincoln National Corp 140 8,138 860 49,988
Liz Claiborne Inc 88 3,564 633 25,637
Lockheed Martin Corp 252 22,302 1,558 137,883
Loews Corp 150 15,319 900 91,913
Longs Drug Stores Corp 74 1,878 320 8,120
Louisiana Land & Exploration
Co 83 3,963 231 11,030
</TABLE>
46
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
989 $ 32,266 766 $ 24,991 1,443 $ 47,078
607 8,384 423 5,843 763 10,539
1,009 68,360 721 48,848 1,352 91,598
927 37,659 695 28,234 1,313 53,341
2,655 140,051 1,980 104,445 3,665 193,329
2,046 71,610 1,621 56,735 2,852 99,820
1,418 75,154 1,129 59,837 2,008 106,424
872 69,106 716 56,743 1,209 95,813
669 19,903 460 13,685 878 26,121
1,103 51,152 865 40,114 1,456 67,522
2,368 103,896 1,778 78,010 3,285 144,129
1,767 32,690 1,367 25,290 2,452 45,362
671 49,486 464 34,220 910 67,113
1,477 63,142 1,161 49,633 2,018 86,270
421 17,787 287 12,126 546 23,069
2,424 39,996 1,901 31,367 3,444 56,826
1,706 165,269 1,242 120,319 2,286 221,456
4,114 95,651 3,083 71,680 5,525 128,456
2,807 55,087 2,105 41,311 3,790 74,379
2,834 99,544 2,227 78,223 3,996 140,360
1,893 89,918 1,395 66,263 2,590 123,025
817 16,136 585 11,554 1,161 22,930
832 6,864 557 4,595 1,041 8,588
8,842 1,271,038 6,703 963,556 12,231 1,758,206
5,099 212,883 3,932 164,161 7,077 295,465
2,025 114,413 1,486 83,959 2,733 154,415
2,025 151,875 1,486 111,450 2,743 205,725
2,025 52,650 1,586 41,236 2,733 71,058
1,496 48,994 1,106 36,222 2,005 65,664
1,202 70,918 973 57,407 1,629 96,111
673 56,700 562 47,349 1,016 85,598
8,329 104,113 6,190 77,375 11,359 141,988
671 9,478 495 6,992 886 12,515
783 49,035 619 38,765 1,150 72,019
3,880 207,580 2,912 155,792 5,262 281,517
639 23,723 534 19,825 916 34,007
1,579 62,765 1,261 50,125 2,169 86,218
5,407 75,022 4,022 55,805 7,371 102,273
4,577 86,963 3,506 66,614 6,419 121,961
1,812 105,323 1,332 77,423 2,482 144,266
1,185 47,993 920 37,260 1,643 66,542
3,276 289,926 2,510 222,135 4,493 397,631
1,995 203,739 1,459 149,000 2,713 277,065
630 15,986 518 13,144 953 24,182
541 25,833 430 20,533 830 39,633
</TABLE>
47
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Louisiana-Pacific Corp 118 $ 2,508 862 $ 18,318
LSI Logic Corp* 122 4,209 1,060 36,570
Mallinckrodt Group Inc 84 3,570 630 26,775
Manor Care Inc 59 1,571 455 12,114
Masco Corp 249 8,746 1,265 44,433
May Co Department Stores Co 385 17,951 2,045 95,348
Maytag Corp 112 2,464 806 17,732
MBIA Inc 450 43,931 450 43,931
McDermott International Inc 44 979 415 9,234
McDonnell Douglas Corp 214 13,589 1,798 114,173
MCI Communications 965 34,499 5,592 199,914
Mead Corp 54 3,146 450 26,213
Mellon Bank Corp 213 17,120 1,043 83,831
Mercantile Stores Co Inc 90 4,320 313 15,024
Merrill Lynch & Co Inc 258 24,768 1,316 126,336
MGIC Investment Corp 100 7,863 450 35,381
Micron Technology Inc 326 12,225 1,758 65,925
Mobil Corp 498 61,130 3,273 401,761
Moore Corp Ltd 100 2,213 819 18,120
Morgan Stanley Group 198 12,499 1,290 81,431
Morgan (JP) & Co Inc 239 25,125 1,551 163,049
Morton International Inc 232 9,570 1,171 48,304
Motorola Inc 801 44,756 4,866 271,888
NACCO Industries Inc Class A 16 868 40 2,170
National City Corp 323 16,312 1,840 92,920
National Semiconductor* 160 4,180 1,103 28,816
National Service Industries
Inc 37 1,406 409 15,542
NationsBank 1,118 66,940 6,318 378,290
Navistar International Corp* 131 1,261 627 6,035
New York Times Co Class A 112 4,984 829 36,891
Niagara Mohawk Power Corp* 125 1,281 1,091 11,183
NICOR Inc 42 1,407 414 13,869
NorAm Energy Corp 114 1,710 1,058 15,870
Nordstrom Inc 119 4,373 687 25,247
Norfolk Southern Corp 192 17,496 1,008 91,854
Northern States Power Co 67 3,191 588 28,004
Northrop Grumman Corp 136 9,877 508 36,894
Norwest Corp 508 25,273 3,036 151,041
Novell Inc* 420 4,253 2,792 28,269
Nucor Corp 127 6,112 671 32,292
NYNEX Corp 652 33,578 3,603 185,555
Occidental Petroleum Corp 486 12,393 2,719 69,335
Ohio Edison Co 243 5,468 1,283 28,868
ONEOK Inc 47 1,340 220 6,270
PACCAR Inc 93 6,103 365 23,953
</TABLE>
48
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,844 $ 39,185 1,428 $ 30,345 2,531 $ 53,784
2,213 76,349 1,652 56,994 2,990 103,155
1,224 52,020 1,007 42,798 1,699 72,208
1,097 29,208 827 22,019 1,472 39,192
2,799 98,315 2,100 73,763 3,796 133,335
4,300 200,488 3,317 154,655 5,977 278,678
1,739 38,258 1,308 28,776 2,404 52,888
812 79,272 547 53,401 987 96,356
904 20,114 674 14,997 1,248 27,768
3,673 233,236 2,785 176,848 5,027 319,215
11,685 417,739 8,941 319,641 16,101 575,611
871 50,736 701 40,833 1,220 71,065
2,222 178,593 1,696 136,316 3,049 245,063
670 32,160 435 20,880 904 43,392
2,851 273,696 2,127 204,192 3,875 372,000
1,002 78,782 729 57,318 1,346 105,829
3,572 133,950 2,756 103,350 4,928 184,800
6,775 831,631 5,112 627,498 9,256 1,136,050
1,665 36,838 1,318 29,161 2,394 52,967
2,610 164,756 1,998 126,124 3,601 227,313
3,178 334,087 2,387 250,933 4,423 464,968
2,451 101,104 1,858 76,643 3,351 138,229
10,194 569,590 7,716 431,132 13,948 779,345
139 7,541 138 7,487 148 8,029
3,820 192,910 2,890 145,945 5,175 261,338
2,346 61,289 1,850 48,331 3,264 85,272
798 30,324 614 23,332 1,101 41,838
13,316 797,296 10,104 604,977 18,364 1,099,522
1,294 12,455 962 9,259 1,693 16,295
1,619 72,046 1,298 57,761 2,282 101,549
2,392 24,518 1,793 18,378 3,432 35,178
829 27,772 635 21,273 1,181 39,564
2,241 33,615 1,759 26,385 3,123 46,845
1,377 50,605 1,059 38,918 1,871 68,759
2,112 192,456 1,614 147,076 2,958 269,548
1,229 58,531 947 45,101 1,587 75,581
964 70,011 801 58,173 1,408 102,256
6,388 317,803 4,857 241,636 8,670 431,333
5,781 58,533 4,454 45,097 8,075 81,759
1,540 74,113 1,144 55,055 2,108 101,448
7,527 387,641 5,726 294,889 10,310 530,965
5,591 142,571 4,239 108,095 7,724 196,962
2,573 57,893 1,994 44,865 3,576 80,460
457 13,025 369 10,517 646 18,411
669 43,903 462 30,319 908 59,588
</TABLE>
49
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Pacific Enterprises 148 $ 4,514 742 $ 22,631
PacifiCorp 394 8,126 2,377 49,026
Panenergy Corp 174 7,417 1,277 54,432
Parker Hannifin Corp 102 4,463 637 27,869
PECO Energy Co 313 7,043 1,825 41,063
Penney (JC) Co Inc 545 26,859 2,081 102,507
Pennzoil Co 30 1,721 403 23,122
Peoples Energy Corp 61 2,066 234 7,927
Pep Boys-Manny Moe & Jack 57 1,860 553 18,042
PG & E Corp 573 13,179 3,348 77,004
Pharmacia and Upjohn Inc 715 26,366 4,197 154,764
Phelps Dodge Corp 74 5,291 495 35,393
Phillips Petroleum Co 408 16,881 2,188 90,529
PNC Bank Corp 506 21,442 2,792 118,311
Polaroid Corp 32 1,352 404 17,069
Potlatch Corp 76 3,287 224 9,688
PP & L Resources Inc 250 5,719 1,350 30,881
Price/Costco Inc* 306 7,841 1,562 40,026
Providian Corp 151 8,437 719 40,174
Public Services Enterprise
Group 379 10,659 1,964 55,238
Pulte Corp 48 1,638 222 7,576
Raytheon Co 374 17,625 1,900 89,538
Republic New York Corp 100 9,288 450 41,794
Reynolds Metals Co 156 9,789 553 34,701
Rite Aid Corp 104 4,381 998 42,041
Rockwell International Corp 311 20,137 1,823 118,039
Rohm & Haas Co 69 6,348 489 44,988
Rubbermaid Inc 156 3,725 1,219 29,104
Russell Corp 73 2,747 270 10,159
Ryder System Inc 136 4,284 631 19,877
SAFECO Corp 170 7,098 1,012 42,251
Safety-Kleen Corp 76 1,368 448 8,064
Salomon Inc 119 6,619 936 52,065
Santa Fe Pacific Gold Corp 178 3,338 1,056 19,800
Scientific-Atlanta Inc 82 1,374 627 10,502
Seagate Technology Inc* 386 18,239 2,100 99,225
Seagram Co Ltd 528 20,592 3,105 121,095
Sears Roebuck & Co 491 26,637 3,218 174,577
Service Corp International 298 8,642 1,938 56,202
Silicon Graphics Inc* 177 4,270 1,420 34,258
Snap-On Inc 136 5,287 533 20,720
Sonat Inc 128 5,888 673 30,958
Southern Co 986 21,446 5,572 121,191
Southwest Airlines Co 125 2,938 1,139 26,767
Springs Industries Inc Class
A 31 1,368 180 7,943
</TABLE>
50
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,459 $ 44,500 1,124 $ 34,282 1,951 $ 59,506
5,025 103,641 3,821 78,808 6,902 142,354
2,619 111,635 1,937 82,565 3,585 152,811
1,285 56,219 959 41,956 1,746 76,388
3,847 86,558 2,934 66,015 5,206 117,135
4,359 214,692 3,227 158,907 5,878 289,478
755 43,318 624 35,802 1,062 60,932
617 20,901 435 14,736 850 28,794
1,072 34,974 827 26,981 1,598 52,135
7,066 162,518 5,381 123,763 9,703 223,169
8,660 319,338 6,576 242,490 11,933 440,029
1,095 78,293 855 61,133 1,550 110,825
4,521 187,056 3,425 141,709 6,216 257,187
5,806 246,029 4,463 189,120 8,038 340,610
733 30,969 586 24,759 1,084 45,799
493 21,322 393 16,997 689 29,799
2,816 64,416 2,105 48,152 3,800 86,925
3,520 90,200 2,653 67,983 4,844 124,128
1,650 92,194 1,270 70,961 2,252 125,831
4,064 114,300 3,103 87,272 5,653 158,991
359 12,251 293 9,999 578 19,724
4,017 189,301 3,110 146,559 5,534 260,790
902 83,773 729 67,706 1,256 116,651
1,084 68,021 808 50,702 1,463 91,803
2,117 89,179 1,638 69,001 2,883 121,446
3,719 240,805 2,863 185,379 5,094 329,837
1,058 97,336 850 78,200 1,509 138,828
2,609 62,290 1,910 45,601 3,535 84,398
692 26,037 470 17,684 909 34,201
1,443 45,455 1,100 34,650 1,960 61,740
2,189 91,391 1,621 67,677 2,974 124,165
941 16,938 738 13,284 1,380 24,840
1,820 101,238 1,406 78,209 2,595 144,347
2,255 42,281 1,630 30,563 3,095 58,031
1,334 22,345 962 16,114 1,853 31,038
4,315 203,884 3,311 156,445 5,926 280,004
6,384 248,976 4,845 188,955 8,762 341,718
6,752 366,296 5,105 276,946 9,253 501,975
4,015 116,435 3,121 90,509 5,571 161,559
2,952 71,217 2,243 54,112 4,100 98,913
1,061 41,246 805 31,294 1,448 56,291
1,520 69,920 1,159 53,314 2,002 92,092
11,552 251,256 8,745 190,204 15,889 345,586
2,520 59,220 1,899 44,627 3,398 79,853
372 16,415 293 12,929 498 21,974
</TABLE>
51
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Sprint Corp 577 $ 26,254 3,507 $ 159,569
St Jude Medical Inc* 48 1,896 728 28,756
St Paul Co Inc 123 8,303 693 46,778
Stanley Works 208 7,956 702 26,852
Stone Container Corp 83 1,079 776 10,088
Stride Rite Corp 63 756 360 4,320
Sun Co Inc 112 3,024 605 16,335
SunTrust Banks Inc 330 16,954 1,812 93,092
Super Value Inc 76 2,356 597 18,507
Tandem Computers Inc* 125 1,563 893 11,163
Tandy Corp 61 3,073 457 23,021
Tektronix Inc 78 3,803 226 11,018
Tele-Communications Inc Class A* 912 10,830 5,477 65,039
Temple-Inland Inc 47 2,591 444 24,476
Tenet Healthcare Corp* 1,211 32,848 2,661 72,180
Tenneco Inc 271 10,671 1,414 55,676
Texaco Inc 404 39,946 2,188 216,339
Texas Instruments Inc 222 17,122 1,608 124,017
Texas Utilities Co 320 12,920 1,857 74,976
Textron Inc 130 12,821 724 71,405
Thomas & Betts Corp 66 2,945 414 18,475
Timken Co 79 4,138 227 11,889
Torchmark Corp 78 4,592 598 35,207
Toys R Us Inc* 359 9,334 2,211 57,486
Transamerica Corp 74 6,484 495 43,374
Travelers Inc 883 47,351 5,307 284,588
TRW Inc 126 6,599 1,068 55,937
Unicom Corp 299 6,653 1,787 39,761
Union Camp Corp 72 3,474 593 28,612
Union Carbide Corp 140 6,615 1,079 50,983
Union Electric Co 104 3,991 822 31,544
Union Pacific Corp 457 27,534 2,059 124,055
Unisys Corp* 273 1,843 1,364 9,207
United Healthcare Corp 289 14,414 1,503 74,962
United States Surgical 149 6,351 546 23,273
UNUM Corp 83 6,381 627 48,201
USF & G Corp 174 3,915 920 20,700
USX -- Marathon Group 402 10,703 2,309 61,477
USX -- US Steel Group 132 4,142 728 22,841
U.S. Bancorp 160 7,900 1,209 59,694
U.S. Life Corp 60 2,858 257 12,240
U.S. West Inc 644 23,184 3,891 140,076
U.S. West Media Group* 894 16,427 5,091 93,547
VF Corp 63 4,379 559 38,851
Viacom Inc Class B* 472 16,638 2,951 104,023
</TABLE>
52
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
7,333 $ 333,652 5,566 $ 253,253 10,158 $ 462,189
1,386 54,747 1,012 39,974 1,895 74,853
1,392 93,960 1,045 70,538 1,991 134,393
1,515 57,949 1,168 44,676 2,138 81,779
1,654 21,502 1,247 16,211 2,295 29,835
862 10,344 576 6,912 1,096 13,152
1,295 34,965 929 25,083 1,697 45,819
3,801 195,276 2,886 148,268 5,275 271,003
1,193 36,983 860 28,660 1,552 48,112
2,014 25,175 1,634 20,425 2,743 34,288
1,022 51,483 735 37,026 1,385 69,769
562 27,398 395 19,256 796 38,805
11,367 134,983 8,646 102,671 15,678 186,176
949 52,314 684 37,706 1,287 70,946
5,193 140,860 3,952 107,198 6,930 187,976
2,877 113,282 2,220 87,413 3,998 157,421
4,514 446,322 3,420 338,153 6,196 612,630
3,231 249,191 2,519 194,278 4,430 341,664
3,889 157,018 2,909 117,451 5,336 215,441
1,459 143,894 1,112 109,671 1,919 189,261
923 41,189 701 31,282 1,214 54,175
519 27,183 397 20,793 710 37,186
1,191 70,120 967 56,932 1,690 99,499
4,705 122,330 3,534 91,884 6,465 168,090
1,095 95,949 857 75,095 1,519 133,102
10,991 589,392 8,307 445,463 15,093 809,362
2,159 113,078 1,674 87,676 2,978 155,973
3,737 83,148 2,796 62,211 5,092 113,297
1,161 56,018 958 46,224 1,620 78,165
2,201 103,997 1,713 80,939 3,026 142,979
1,770 67,924 1,373 52,689 2,438 93,558
4,204 253,291 3,229 194,547 5,793 349,028
2,827 19,082 2,167 14,627 4,135 27,911
3,127 155,959 2,400 119,700 4,375 218,203
1,049 44,714 781 33,290 1,453 61,934
1,222 93,941 1,001 76,952 1,694 130,226
2,023 45,518 1,507 33,908 2,698 60,705
4,972 132,380 3,782 100,696 6,806 181,210
1,425 44,709 1,080 33,885 1,970 61,809
2,563 126,548 1,971 97,318 3,562 175,874
575 27,384 452 21,527 792 37,719
8,154 293,544 6,264 225,504 11,272 405,792
10,689 196,410 8,078 148,433 14,682 269,782
1,125 78,188 832 57,824 1,480 102,860
6,028 212,487 4,567 160,987 8,358 294,620
</TABLE>
53
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Wachovia Corp 275 $ 16,741 1,315 $ 80,051
Wendy's International
Inc 205 4,254 1,074 22,286
Western Atlas Inc* 132 8,036 406 24,715
Westvaco Corp 102 3,009 857 25,282
Weyerhaeuser Co 260 12,025 1,673 77,376
Whirlpool Corp 80 4,040 651 32,876
Whitman Corp 60 1,410 801 18,824
Willamette Industries
Inc 107 6,848 420 26,880
Williams Co Inc 186 8,116 1,335 58,384
WMX Technologies Inc 722 22,833 3,961 125,267
Woolworth Corp* 181 3,778 1,049 21,898
Worthington Industries
Inc 133 2,776 727 15,176
Xerox Corp 471 29,438 2,703 168,938
------------ ------------
TOTAL LARGE CAP VALUE
STOCKS
- VALUE $ 4,039,287 $ 23,278,805
- COST $ 3,310,087 $ 19,511,193
MEDIUM CAP GROWTH STOCKS
PERCENT OF NET ASSETS 2.66% 2.64%
360 Communications Co* 1,525 $ 32,978 1,519 $ 32,848
Accustaff Inc* -- -- 800 16,600
Adaptec Inc* 1,200 45,675 1,400 53,288
ADC Telecommunication* 1,372 37,044 1,760 47,520
Adtran Inc* 100 3,563 200 7,125
Advanced Fibre
Communication* -- -- 100 3,250
Airgas Inc* 400 7,700 700 13,475
Altera Corp* 920 41,745 1,120 50,820
America Online Inc* 600 22,500 1,100 41,250
American Power
Conversion* 1,000 20,875 980 20,458
Analog Devices Inc* 1,601 37,231 2,027 47,120
APAC Teleservices Inc* 100 2,975 200 5,950
Apollo Group Inc* -- -- 200 5,400
Apria Healthcare Group
Inc* 500 8,938 600 10,725
Ascend Communication
Inc* 1,000 52,250 1,200 62,700
Atmel Corp* 962 35,955 960 35,880
Bed Bath & Beyond Inc* 400 10,400 500 13,000
Betzdearborn Inc 396 25,691 340 22,058
Biogen Inc* 718 35,362 960 47,280
BMC Software Inc* 1,112 47,608 1,280 54,800
Boise Cascade Office
Products Corp* -- -- 100 2,213
Cadence Design System
Inc* 982 36,211 1,012 37,318
Callaway Golf Co 596 18,998 680 21,675
Cambridge Technology
Partners Inc* -- -- 400 9,600
Cardinal Health Inc 812 49,907 1,210 74,415
Cascade Communications
Corp* 500 15,438 1,000 30,875
</TABLE>
54
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,862 $ 174,224 2,122 $ 129,177 3,915 $ 238,326
2,221 46,086 1,689 35,047 3,010 62,458
892 54,301 659 40,117 1,253 76,276
1,737 51,242 1,370 40,415 2,408 71,036
3,377 156,186 2,576 119,140 4,672 216,080
1,239 62,570 998 50,399 1,755 88,628
1,784 41,924 1,356 31,866 2,398 56,353
941 60,224 755 48,320 1,343 85,952
2,641 115,522 2,042 89,338 3,680 160,978
8,322 263,183 6,360 201,135 11,465 362,581
2,259 47,157 1,731 36,135 3,158 65,923
1,579 32,962 1,161 24,236 2,139 44,652
5,583 348,938 4,194 262,125 7,678 479,875
------------ ------------ ------------
$ 48,519,897 $ 36,880,305 $ 66,687,042
$ 39,500,646 $ 29,954,063 $ 56,322,858
3.11% 3.74% 4.16%
2,624 $ 56,744 1,928 $ 41,693 3,654 $ 79,018
1,600 33,200 1,000 20,750 1,900 39,425
2,400 91,350 1,800 68,513 3,300 125,606
2,896 78,192 2,216 59,832 3,920 105,840
200 7,125 200 7,125 400 14,250
-- -- -- -- 200 6,500
600 11,550 900 17,325 1,400 26,950
2,036 92,384 1,496 67,881 2,480 112,530
1,200 45,000 1,400 52,500 2,700 101,250
1,494 31,187 1,309 27,325 2,360 49,265
3,439 79,949 2,561 59,551 4,729 109,957
400 11,900 400 11,900 600 17,850
-- -- 200 5,400 400 10,800
800 14,300 600 10,725 1,300 23,238
2,000 104,500 1,500 78,375 2,800 146,300
1,866 69,742 1,288 48,139 2,226 83,197
800 20,800 600 15,600 1,200 31,200
727 47,164 407 26,404 805 52,224
1,582 77,914 1,122 55,259 2,190 107,858
2,132 91,276 1,552 66,445 2,780 119,019
800 17,700 -- -- 200 4,425
1,675 61,766 1,345 49,597 2,465 90,897
1,158 36,911 956 30,473 1,616 51,510
-- -- 500 12,000 800 19,200
1,664 102,305 1,531 94,157 2,679 164,728
1,000 30,875 1,300 40,138 2,400 74,100
</TABLE>
55
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
C-Cube Microsystems Inc* 100 $ 2,913 300 $ 8,738
CDW Computer Centers Inc* -- -- -- --
Centocor Inc* 746 28,255 840 31,815
Chesapeake Energy Corp* -- -- 400 8,300
Chiron Corp* 896 18,592 1,092 22,659
Cintas Corp 310 16,740 400 21,600
Citrix Systems Inc* -- -- 300 3,788
Clear Channel Communications
Inc* 400 19,150 600 28,725
Coltec Industries* 600 10,950 700 12,775
Comair Holdings Inc -- -- 500 10,313
CompUSA Inc* -- -- 1,100 22,000
Compuware Corp* 400 24,900 500 31,125
Concord EFS Inc* -- -- 800 18,950
Consolidated Stores Corp* 875 30,734 875 30,734
ContiFinancial Corp* -- -- 100 3,750
Corporate Express Inc* 1,050 19,688 1,050 19,688
Corrections Corp of America* 800 22,800 900 25,650
Covance Inc* 90 1,715 1,181 22,444
Credit Acceptance Corp* 200 4,250 200 4,250
Cytec Industries Inc* 500 19,813 400 15,850
Dal Tile International Inc* -- -- -- --
Danaher Corp 400 17,300 380 16,435
Diamond Offshore Drilling
Inc* 300 17,700 300 17,700
Diebold Inc 765 32,130 735 30,870
Dole Food Inc 446 17,060 610 23,333
Dollar General Corp 690 19,579 835 23,693
DSP Communications Inc* -- -- 500 5,844
Dura Pharmaceuticals Inc* -- -- 500 16,813
Electronic Arts Inc* 500 15,625 500 15,625
Electronic Data Systems Corp 2,888 130,321 4,430 199,904
Electronics for Imaging Inc* 600 23,100 600 23,100
Equifax Inc 1,710 50,873 2,000 59,500
Estee Lauder Co Class A 200 9,300 200 9,300
Excel Communications Inc* 400 7,400 400 7,400
Fastenal Co 300 10,875 300 10,875
Federal Signal Corp 498 12,512 590 14,824
First USA Inc 1,200 58,350 1,400 68,075
First USA Paymentech Inc* -- -- 100 2,988
FORE Systems Inc* 400 13,400 500 16,750
Franklin Resources Inc 894 52,299 1,050 61,425
Freeport-McMoran Inc 354 9,647 363 9,892
Gartner Group Inc Class A* 600 15,900 600 15,900
Gateway 2000 Inc* 200 11,750 200 11,750
General Nutrition Co Inc* 1,100 19,800 1,100 19,800
Georgia Gulf Corp 437 11,799 360 9,720
</TABLE>
56
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
300 $ 8,738 400 $ 11,650 600 $ 17,475
-- -- -- -- 100 5,256
1,381 52,305 1,166 44,162 2,020 76,508
1,000 20,750 500 10,375 800 16,600
2,424 50,298 1,300 26,975 2,252 46,729
820 44,280 515 27,810 890 48,060
-- -- 400 5,050 600 7,575
600 28,725 800 38,300 1,400 67,025
700 12,775 900 16,425 1,400 25,550
-- -- 600 12,375 1,000 20,625
-- -- 1,400 28,000 2,400 48,000
600 37,350 600 37,350 1,100 68,475
-- -- 900 21,319 1,800 42,638
1,375 48,297 1,000 35,125 1,950 68,494
-- -- -- -- 200 7,500
1,950 36,563 1,350 25,313 2,700 50,625
1,400 39,900 1,200 34,200 2,100 59,850
1,030 19,565 1,678 31,873 3,446 65,474
-- -- 200 4,250 500 10,625
900 35,663 600 23,775 900 35,663
-- -- -- -- 200 3,550
962 41,607 622 26,902 780 33,735
1,100 64,900 400 23,600 600 35,400
1,509 63,378 992 41,643 1,856 77,931
1,008 38,556 668 25,551 1,425 54,506
1,491 42,314 965 27,382 1,906 54,090
-- -- 600 7,013 1,000 11,688
700 23,538 700 23,538 1,200 40,350
1,000 31,250 600 18,750 1,200 37,500
8,191 369,619 5,676 256,130 10,300 464,788
1,000 38,500 800 30,800 1,400 53,900
3,642 108,350 2,672 79,492 4,440 132,090
800 37,200 300 13,950 400 18,600
1,800 33,300 500 9,250 700 12,950
400 14,500 400 14,500 800 29,000
807 20,276 802 20,150 1,280 32,160
2,600 126,425 1,800 87,525 3,300 160,463
-- -- 200 5,975 400 11,950
600 20,100 500 16,750 1,000 33,500
2,044 119,574 1,370 80,116 2,348 137,329
684 18,639 359 9,783 678 18,476
1,000 26,500 800 21,200 1,400 37,100
1,300 76,375 300 17,625 900 52,875
2,100 37,800 1,400 25,200 2,500 45,000
745 20,115 465 12,555 640 17,280
</TABLE>
57
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Getchell Gold Corp* 24 $ 1,236 359 $ 18,489
Glenayre Technologies Inc* 650 8,613 650 8,613
Global DirectMail Corp* 200 6,700 200 6,700
Global Marine Inc* 1,500 27,938 1,900 35,388
GTECH Holdings Corp* 400 12,550 400 12,550
Gulfstream Aerospace Corp* -- -- 400 8,700
Harley-Davidson Inc 818 30,573 950 35,506
HBO & Co 900 51,863 1,100 63,388
Health Management Associates
Inc Class A* 1,050 27,825 1,250 33,125
HealthCare Compare Corp* 484 20,661 490 20,917
Idexx Laboratories Inc* 400 14,900 500 18,625
Illinois Central Corp 411 14,128 690 23,719
IMC Global Inc 818 28,528 900 31,388
Informix Corp* 1,390 24,151 1,720 29,885
Input/Output Inc* 500 10,688 500 10,688
International Game
Technology Inc 1,397 24,448 1,600 28,000
Interneuron Pharmaceuticals
Corp* -- -- 400 10,950
Interstate Bakeries Corp -- -- 300 14,025
Intuit Inc* 400 9,050 400 9,050
Iomega Corp* 1,200 18,600 1,300 20,150
Jefferson Smurfit Corp* 700 9,538 800 10,900
Jones Apparel Group Inc* 400 14,850 400 14,850
K-III Communications Corp* -- -- 200 2,550
Kohls Corp* 286 13,156 720 33,120
La Quinta Inns Inc 800 15,800 750 14,813
Lancaster Colony Corp 338 15,464 260 11,895
LCI International Inc* 300 5,700 300 5,700
Lear Corp* 600 23,400 600 23,400
LIN Television Corp* 200 8,300 200 8,300
Linear Technology Corp 786 35,468 920 41,515
Lone Star Steakhouse &
Saloon* 300 7,950 400 10,600
Lyondell Petrochemical 476 11,246 580 13,703
Manpower Inc 900 33,975 1,000 37,750
Maxim Integrated Products
Inc* 700 34,738 800 39,700
McAfee Associates Inc* 450 20,644 450 20,644
McLeod Inc Class A* -- -- 200 3,575
Mercury Financial Corp 1,800 5,625 1,800 5,625
Microchip Technology Inc* 600 22,425 600 22,425
Micron Electronics Inc* -- -- 200 3,875
Money Store Inc 400 10,350 400 10,350
NCR Corp* 172 5,662 1,359 44,861
Neiman Marcus Group Inc* -- -- 200 5,375
Nellcor Inc* 800 13,900 700 12,163
Netscape Communications
Corp* 200 5,825 700 20,388
Newmont Gold Co 100 4,875 200 9,750
</TABLE>
58
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
222 $ 11,433 458 $ 23,587 746 $ 38,419
1,175 15,569 800 10,600 1,425 18,881
300 10,050 200 6,700 400 13,400
3,615 67,329 2,500 46,563 4,000 74,500
500 15,688 400 12,550 1,000 31,375
-- -- 500 10,875 800 17,400
1,759 65,743 1,244 46,495 2,290 85,589
1,800 103,725 1,400 80,675 2,500 144,063
1,650 43,725 1,600 42,400 2,825 74,863
816 34,833 496 21,173 965 41,193
800 29,800 600 22,350 1,000 37,250
1,135 39,016 1,015 34,891 1,702 58,506
1,530 53,359 1,270 44,291 2,200 76,725
3,118 54,175 2,138 37,148 4,080 70,890
1,000 21,375 700 14,963 1,100 23,513
3,072 53,760 1,917 33,548 3,845 67,288
-- -- 600 16,425 900 24,638
600 28,050 300 14,025 500 23,375
800 18,100 500 11,313 1,000 22,625
2,200 34,100 1,600 24,800 3,100 48,050
1,400 19,075 900 12,263 1,800 24,525
600 22,275 600 22,275 1,000 37,125
1,800 22,950 -- -- 400 5,100
1,004 46,184 808 37,168 1,458 67,068
1,500 29,625 900 17,775 1,800 35,550
470 21,503 340 15,555 628 28,731
600 11,400 500 9,500 900 17,100
500 19,500 800 31,200 1,300 50,700
300 12,450 200 8,300 400 16,600
1,700 76,713 1,110 50,089 2,150 97,019
700 18,550 500 13,250 900 23,850
1,317 31,114 892 21,074 1,145 27,051
1,400 52,850 1,300 49,075 2,300 86,825
1,400 69,475 1,000 49,625 1,800 89,325
900 41,288 675 30,966 1,050 48,169
-- -- 200 3,575 800 14,300
2,600 8,125 2,400 7,500 4,400 13,750
600 22,425 750 28,031 1,500 56,063
1,600 31,000 300 5,813 300 5,813
700 18,113 500 12,938 800 20,700
1,782 58,796 1,665 54,941 2,494 82,308
-- -- 400 10,750 400 10,750
1,300 22,588 950 16,506 1,600 27,800
1,500 43,688 800 23,300 1,500 43,688
1,900 92,625 1,000 48,750 2,300 112,125
</TABLE>
59
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Nine West Group Inc* 200 $ 9,400 400 $ 18,800
Noble Affiliates Inc 338 13,182 630 24,570
Nordson Corp 214 11,984 160 8,960
Northwest Airlines Corp
Class A* 600 21,225 900 31,838
Oakley Inc* 600 5,325 600 5,325
Octel Communications* -- -- 600 10,950
Olsten Corp 691 12,352 825 14,747
Omnicare Inc 600 15,900 900 23,850
Omnicom Group 788 39,105 920 45,655
Omnipoint Corp* 200 3,425 300 5,138
Outback Steakhouse Inc* 400 9,550 400 9,550
Oxford Health Plans Inc* 700 39,025 800 44,600
Pairgain Technologies Inc* -- -- 600 17,738
Parametric Technology Corp* 1,320 74,415 1,660 93,583
Paychex Inc 657 28,580 685 29,798
Peoplesoft Inc* 800 31,900 900 35,888
PetSmart Inc* 1,200 23,400 1,300 25,350
Phycor Inc* 600 18,225 600 18,225
PictureTel Corp* 400 6,300 400 6,300
Planet Hollywood
International Inc Class A* -- -- 100 1,700
Pogo Producing Co 300 10,313 400 13,750
Presstek Inc* 100 4,950 200 9,900
Price (T Rowe) & Associates 600 26,475 600 26,475
Promus Hotel Corp* 677 23,949 561 19,845
Quintiles Transnational
Corp* 200 13,075 200 13,075
Readers Digest Association
Class A 1,000 37,375 1,000 37,375
Republic Industries Inc* 1,500 53,250 1,400 49,700
Reynolds & Reynolds Co Class
A 1,146 32,088 1,120 31,360
Rhone-Poulenc Rorer Inc 500 35,500 600 42,600
Richfood Holdings Inc -- -- 500 10,563
Robert Half International
Inc* 600 24,975 600 24,975
Rouse Co 400 11,700 600 17,550
Sabre Group Holding Inc* -- -- 300 8,475
Safeway Inc* 900 43,313 900 43,313
Saks Holdings Inc* 200 6,700 200 6,700
Scherer (R P) Corp* 300 17,325 300 17,325
Scholastic Inc* 200 6,600 200 6,600
Schwab (Charles) Corp 1,278 47,925 1,470 55,125
Sealed Air Corp* 400 16,450 500 20,563
Security Dynamics Technology
Inc* -- -- 300 8,250
Shiva Corp* 300 4,988 300 4,988
Simon Debartolo Group Inc 300 9,038 900 27,113
Smith International Inc* 414 16,819 500 20,313
Solectron Corp* 500 26,438 600 31,725
Sonoco Products 988 25,935 1,177 30,896
</TABLE>
60
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
300 $ 14,100 400 $ 18,800 800 $ 37,600
873 34,047 858 33,462 1,520 59,280
293 16,408 208 11,648 385 21,560
1,500 53,063 1,100 38,913 2,100 74,288
1,200 10,650 800 7,100 1,200 10,650
730 13,323 540 9,855 1,300 23,725
1,117 19,966 988 17,661 1,516 27,099
800 21,200 1,200 31,800 2,100 55,650
1,720 85,355 1,410 69,971 2,458 121,978
400 6,850 400 6,850 600 10,275
500 11,938 600 14,325 900 21,488
1,400 78,050 1,000 55,750 1,900 105,925
1,100 32,519 700 20,694 1,200 35,475
2,942 165,855 2,142 120,755 3,770 212,534
1,203 52,331 960 41,760 1,675 72,863
1,400 55,825 1,200 47,850 2,200 87,725
2,200 42,900 1,600 31,200 3,100 60,450
1,050 31,894 750 22,781 1,450 44,044
700 11,025 500 7,875 800 12,600
1,600 27,200 200 3,400 300 5,100
600 20,625 400 13,750 700 24,063
200 9,900 200 9,900 300 14,850
1,000 44,125 800 35,300 1,400 61,775
1,174 41,530 745 26,354 1,355 47,933
300 19,613 400 26,150 700 45,763
1,800 67,275 1,500 56,063 2,600 97,175
1,600 56,800 2,500 88,750 4,600 163,300
2,112 59,136 1,352 37,856 2,600 72,800
2,300 163,300 1,400 99,400 3,000 213,000
-- -- 600 12,675 1,100 23,238
1,000 41,625 700 29,138 1,400 58,275
500 14,625 900 26,325 1,600 46,800
2,200 62,150 300 8,475 600 16,950
3,600 173,250 2,000 96,250 4,600 221,375
1,200 40,200 300 10,050 400 13,400
400 23,100 300 17,325 700 40,425
200 6,600 200 6,600 400 13,200
2,786 104,475 1,896 71,100 3,414 128,025
606 24,922 636 26,156 1,100 45,238
-- -- 400 11,000 800 22,000
600 9,975 400 6,650 600 9,975
1,600 48,200 1,100 33,138 2,000 60,250
597 24,253 627 25,472 1,000 40,625
1,000 52,875 700 37,013 1,400 74,025
2,100 55,125 1,422 37,328 2,755 72,319
</TABLE>
61
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Staples Inc* 1,396 $ 30,189 1,397 $ 30,210
Starbucks Corp* 1,000 33,625 1,000 33,625
Sterling Commerce Inc* 677 19,633 837 24,273
Sterling Software Inc* 300 8,588 400 11,450
Stryker Corp 748 21,692 920 26,680
Student Loan Marketing Assoc 600 63,525 800 84,700
Sunamerica Inc 600 27,525 600 27,525
Sundstrand Corp 726 31,672 760 33,155
Sybron International Corp* 500 14,875 600 17,850
Synopsys Inc* 400 14,275 500 17,844
Tambrands Inc 497 21,371 510 21,930
Tech Data Corp* -- -- 500 12,000
Teletech Holdings Inc* -- -- 100 2,444
Thermo Cardiosystems Inc* 150 4,200 250 7,000
Thermo Instrument Systems
Inc* 200 6,800 225 7,650
ThermoLase Corp* -- -- 100 1,313
Tiffany & Co 326 11,329 400 13,900
Total System Services Inc 300 9,225 300 9,225
Transocean Offshore Inc 200 11,175 200 11,175
UAL Corp* 600 34,050 700 39,725
UCAR International Inc* 400 17,200 400 17,200
Union Texas Petroleum
Holdings Corp 600 11,100 700 12,950
Unisource Worldwide Inc 94 2,021 865 18,598
United Meridian Corp* -- -- 400 12,050
USG Corp* 400 14,100 400 14,100
U.S. Robotics Corp* 800 44,650 900 50,231
U.S.A. Waste Services Inc* 800 28,800 1,300 46,800
Valspar Corp 200 11,450 200 11,450
Vastar Resources Inc 200 5,800 200 5,800
VeriFone Inc* 358 12,441 300 10,425
Viking Office Products Inc* 800 18,900 1,000 23,625
Vornado Realty Trust 300 17,363 300 17,363
Watson Pharmaceuticals Inc* 300 13,088 400 17,450
Western Wireless Corp Class
A* -- -- 100 1,413
Wisconsin Central Transport* 600 21,525 600 21,525
Xilinx Inc* 847 38,221 900 40,613
Xylan Corp* 100 1,775 100 1,775
------------ ------------
TOTAL MEDIUM CAP GROWTH
STOCKS
- VALUE $ 3,498,264 $ 4,478,157
- COST $ 2,814,674 $ 3,895,414
MEDIUM CAP VALUE STOCKS
PERCENT OF NET ASSETS 3.65% 3.38%
Adobe Systems Inc 819 $ 29,894 810 $ 29,565
Advanta Corp Class B 300 12,038 300 12,038
AFLAC Corp 1,496 60,401 1,870 75,501
</TABLE>
62
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,163 $ 46,775 1,740 $ 37,628 3,257 $ 70,433
1,700 57,163 1,200 40,350 2,200 73,975
1,254 36,366 996 28,884 1,774 51,446
600 17,175 500 14,313 800 22,900
1,668 48,372 1,088 31,552 2,300 66,700
1,400 148,225 1,200 127,050 1,800 190,575
1,500 68,813 900 41,288 1,400 64,225
1,390 60,639 930 40,571 1,690 73,726
800 23,800 800 23,800 1,400 41,650
900 32,119 600 21,413 1,000 35,688
954 41,022 609 26,187 1,085 46,655
-- -- 700 16,800 1,100 26,400
-- -- -- -- 300 7,331
300 8,400 300 8,400 450 12,600
1,600 54,400 250 8,500 537 18,258
-- -- -- -- 300 3,938
480 16,680 360 12,510 800 27,800
2,200 67,650 400 12,300 800 24,600
400 22,350 700 39,113 1,200 67,050
1,200 68,100 1,000 56,750 1,700 96,475
800 34,400 600 25,800 900 38,700
800 14,800 900 16,650 1,600 29,600
1,174 25,241 892 19,178 2,574 55,341
-- -- 500 15,063 900 27,113
500 17,625 600 21,150 900 31,725
1,600 89,300 1,200 66,975 2,200 122,788
2,400 86,400 1,900 68,400 3,500 126,000
300 17,175 300 17,175 500 28,625
1,600 46,400 900 26,100 500 14,500
363 12,614 468 16,263 700 24,325
2,000 47,250 1,400 33,075 2,200 51,975
300 17,363 400 23,150 600 34,725
600 26,175 500 21,813 900 39,263
-- -- -- -- 300 4,238
1,200 43,050 900 32,288 1,400 50,225
1,459 65,837 1,174 52,977 2,120 95,665
-- -- 100 1,775 200 3,550
------------ ------------ ------------
$ 7,823,858 $ 5,938,314 $ 10,724,544
$ 6,281,993 $ 4,845,622 $ 9,300,337
4.02% 4.69% 5.20%
1,506 $ 54,969 1,051 $ 38,362 1,915 $ 69,898
500 20,063 400 16,050 700 28,088
3,217 129,886 2,337 94,356 4,227 170,665
</TABLE>
63
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
AGCO Corp 300 $ 8,513 300 $ 8,513
Albemarle Corp 713 13,993 460 9,028
Alexander & Baldwin Inc 504 13,482 590 15,783
Alleghany Corp* 2 427 100 21,338
Allmerica Financial Corp 200 7,475 100 3,738
Allmerica Property &
Casualty Co Inc 300 9,413 800 25,100
Alumax Inc* 489 19,132 480 18,780
AMBAC Inc 300 20,025 500 33,375
American Financial Group Inc 304 11,400 390 14,625
American National Insurance
Co 100 8,250 100 8,250
American Standard Co Inc* 500 22,500 500 22,500
American States Financial
Corp -- -- 100 3,275
American Water Works Co Inc 600 14,025 700 16,363
Amphenol Corp Class A* 200 5,100 200 5,100
AmSouth Bancorp 600 30,750 700 35,875
Anadarko Petroleum Corp 539 30,319 700 39,375
Apache Corp 962 31,145 1,020 33,023
Arco Chemical Co 100 4,725 100 4,725
Arrow Electronics Inc* 493 27,670 496 27,838
Associates First Capital
Corp 700 33,775 800 38,600
Avnet Inc 530 33,125 550 34,375
AVX Corp 300 6,638 200 4,425
Bancorp Hawaii Inc 574 25,256 560 24,640
Barnes & Noble* 200 6,600 200 6,600
Bear Stearns & Co Inc 1,499 44,982 1,454 43,628
Beckman Instruments Inc 294 12,201 350 14,525
Belo (A H) Corp 456 17,214 440 16,610
Bergen Brunswig Corp Class A 420 13,493 516 16,577
Borders Group Inc* -- -- 400 16,850
Boston Chicken Inc 600 19,650 500 16,375
Bowater Inc 395 16,738 410 17,374
Brinker International Inc* 1,056 12,540 990 11,756
Cabot Corp 1,010 23,735 940 22,090
Calenergy Inc* 500 16,688 500 16,688
California Federal Bancorp
Inc* -- -- -- --
Capital One Financial Corp -- -- 400 15,900
Central Fidelity Banks Inc 825 24,028 745 21,698
Charter One Financial Inc 630 30,004 625 29,766
Cincinnati Financial Corp 630 43,549 746 51,567
Circus Circus Entertainment
Inc* 929 29,031 1,130 35,313
Cirrus Logic Inc* 634 8,599 780 10,579
Clayton Homes Inc 1,026 14,624 984 14,018
CNA Financial Corp* 100 11,125 100 11,125
Coca-Cola Enterprises 712 43,966 910 56,193
Coleman Co Inc* -- -- 200 2,550
</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>
500 $ 14,188 400 $ 11,350 700 $ 19,863
1,112 21,823 732 14,366 986 19,350
814 21,775 809 21,641 1,380 36,915
102 21,764 102 21,764 102 21,764
700 26,163 200 7,475 300 11,213
1,400 43,925 900 28,238 1,700 53,338
773 30,244 693 27,114 1,070 41,864
900 60,075 600 40,050 900 60,075
813 30,488 508 19,050 980 36,750
200 16,500 200 16,500 300 24,750
1,300 58,500 800 36,000 1,200 54,000
-- -- -- -- 300 9,825
800 18,700 1,000 23,375 1,700 39,738
300 7,650 200 5,100 500 12,750
1,200 61,500 900 46,125 1,600 82,000
1,301 73,181 846 47,588 1,515 85,219
1,549 50,149 1,284 41,570 2,535 82,071
1,600 75,600 900 42,525 2,000 94,500
999 56,069 710 39,849 1,175 65,947
1,600 77,200 1,100 53,075 1,900 91,675
1,014 63,375 659 41,188 1,215 75,938
1,300 28,763 300 6,638 600 13,275
757 33,308 677 29,788 1,335 58,740
300 9,900 200 6,600 400 13,200
2,709 81,270 1,869 56,070 3,283 98,501
450 18,675 505 20,958 780 32,370
714 26,954 544 20,536 1,040 39,260
629 20,207 620 19,918 1,100 35,338
-- -- 500 21,063 900 37,913
700 22,925 700 22,925 1,300 42,575
652 27,629 607 25,722 1,175 49,791
1,871 22,218 1,171 13,906 2,130 25,294
1,772 41,642 1,232 28,952 2,090 49,115
900 30,038 900 30,038 1,600 53,400
-- -- -- -- 120 2,250
900 35,775 600 23,850 200 7,950
1,050 30,581 945 27,523 1,807 52,629
1,050 50,006 735 35,004 1,460 69,533
1,245 86,061 940 64,978 1,695 117,167
2,122 66,313 1,562 48,813 2,795 87,344
1,496 20,290 1,066 14,458 1,510 20,479
1,945 27,716 1,320 18,810 2,408 34,307
1,000 111,250 600 66,750 1,300 144,625
2,188 135,109 1,448 89,414 2,155 133,071
-- -- -- -- 200 2,550
</TABLE>
65
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Comdisco Inc 416 $ 12,948 445 $ 13,851
Commerce Bancshares Inc 540 25,650 540 25,650
Compass Bancshares Inc 400 17,850 400 17,850
Compuserve Corp* -- -- 200 2,025
Comsat Corp 510 13,388 600 15,750
Consolidated Papers Inc 386 19,541 380 19,238
Cooper Cameron Corp* -- -- 300 19,650
Countrywide Credit
Industries Inc 1,100 32,038 1,300 37,863
Cox Communications Inc Class
A* 613 12,337 874 17,589
Cracker Barrel Old Country
Store Inc 649 17,685 710 19,348
Crestar Financial Corp 1,004 36,897 1,440 52,920
Cypress Semiconductor* 800 10,600 1,040 13,780
Dean Foods Co 424 13,833 540 17,618
Dentsply International Inc 200 10,450 200 10,450
Depuy Inc* -- -- 200 4,300
Dial Corp 136 2,040 1,080 16,200
Dime Bancorp Inc* 1,200 21,000 1,200 21,000
Donaldson Lufkin & Jenrette
Inc -- -- 100 4,300
DST Systems Inc* 200 6,575 300 9,863
Edwards A G & Sons Inc 655 23,253 720 25,560
Enron Oil & Gas Co 700 14,175 800 16,200
Ensco International Inc* 700 30,363 700 30,363
Enserch Exploration Inc* -- -- 300 2,888
Equitable Co Inc 900 28,238 900 28,238
Equitable of Iowa Co 300 15,938 300 15,938
Equity Residential
Properties Trust 400 18,100 400 18,100
Ethyl Corp 1,031 9,408 1,010 9,216
Everest Reinsurance Holdings
Inc 300 9,450 200 6,300
Fina Inc Class A -- -- 100 6,238
Finova Group Inc 300 22,913 400 30,550
First American Corp --
Tennessee 400 25,650 400 25,650
First Brands Corp 486 12,089 480 11,940
First Commerce Corp 400 16,600 400 16,600
First Empire State Corp 100 32,350 100 32,350
First Hawaiian Inc 200 6,650 300 9,975
First of America Bank Corp 647 40,518 810 50,726
First Security Corp 774 26,993 980 34,178
First Tennessee National
Corp 708 33,099 840 39,270
First Virginia Banks Inc 359 18,937 380 20,045
Firstar Corp 1,600 49,000 1,600 49,000
Firstmerit Corp 300 12,075 400 16,100
Fiserv Inc* 617 20,207 530 17,358
Food Lion Inc Class A 3,300 26,194 3,100 24,606
Food Lion Inc Class B 2,500 20,781 2,300 19,119
Forest Labs Inc Class A* 582 22,189 570 21,731
</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>
1,041 $ 32,401 636 $ 19,796 1,042 $ 32,432
866 41,135 651 30,923 1,097 52,108
500 22,313 500 22,313 900 40,163
400 4,050 -- -- 400 4,050
819 21,499 814 21,368 1,390 36,488
770 38,981 490 24,806 770 38,981
400 26,200 400 26,200 600 39,300
2,300 66,988 1,700 49,513 2,900 84,463
4,594 92,454 2,327 46,831 5,749 115,699
1,411 38,450 971 26,460 1,625 44,281
1,970 72,398 1,830 67,253 3,370 123,848
1,364 18,073 1,424 18,868 2,470 32,728
707 23,066 637 20,782 1,205 39,313
300 15,675 300 15,675 500 26,125
1,700 36,550 -- -- 400 8,600
1,641 24,615 1,228 18,420 2,908 43,620
2,400 42,000 1,600 28,000 2,900 50,750
900 38,700 200 8,600 300 12,900
400 13,150 300 9,863 500 16,438
1,017 36,104 877 31,134 1,625 57,688
2,200 44,550 1,600 32,400 1,800 36,450
1,100 47,713 900 39,038 1,600 69,400
-- -- -- -- 500 4,813
3,100 97,263 1,300 40,788 2,100 65,888
400 21,250 400 21,250 800 42,500
400 18,100 700 31,675 1,200 54,300
2,029 18,515 1,308 11,936 2,630 23,999
400 12,600 300 9,450 600 18,900
400 24,950 -- -- 100 6,238
600 45,825 400 30,550 800 61,100
700 44,888 500 32,063 900 57,713
694 17,263 704 17,512 1,060 26,368
800 33,200 500 20,750 900 37,350
100 32,325 100 32,350 200 64,650
300 9,975 400 13,300 600 19,950
1,409 88,239 1,069 66,946 1,925 120,553
1,775 61,903 1,302 45,407 2,250 78,469
1,570 73,398 1,100 51,425 2,080 97,240
791 41,725 461 24,318 945 49,849
2,200 67,375 2,200 67,375 4,000 122,500
500 20,125 500 20,125 900 36,225
699 22,892 629 20,600 1,295 42,411
5,600 44,450 4,200 33,338 7,300 57,944
4,300 35,744 3,000 24,938 5,000 41,563
1,066 40,641 686 26,154 1,260 48,038
</TABLE>
67
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Fort Howard Corp* 400 $ 11,900 600 $ 17,850
Foundation Health Corp* 609 22,990 482 18,196
Franchise Finance Corp -- -- 100 2,588
GATX Corp 223 10,927 270 13,230
Gaylord Entertainment Co
Class A 315 6,379 315 6,379
General Motors Corp Class H 1,000 59,000 1,300 76,700
Genzyme Corp -- General
Division* 326 8,395 420 10,815
Greenpoint Financial Corp 600 36,000 600 36,000
Hanna (M A) Co 580 12,035 550 11,413
Hannaford Brothers Co 436 15,533 360 12,825
Harsco Corp 538 19,368 620 22,320
Hartford Steam Boiler
Inspection 230 10,523 280 12,810
Hawaiian Electric Industries
Inc 392 13,769 340 11,943
Health Care Property
Investors Inc 300 10,238 400 13,650
Health Care & Retirement
Corp* 650 17,631 600 16,275
Health & Retire Property
Trust 600 11,850 700 13,825
Healthsource Inc* 600 12,525 700 14,613
Hibernia Corp Class A 1,600 22,200 1,500 20,813
Hillenbrand Industries Inc 300 11,288 700 26,338
Hormel Foods Corp 400 10,500 500 13,125
Host Marriott Corp* 1,800 32,400 1,900 34,200
Hubbell Inc Class B 532 22,544 666 28,222
Huntington Bancshares Inc 1,615 46,028 1,915 54,578
IBP Inc 1,032 23,994 1,220 28,365
Imation Corp* 576 15,336 516 13,739
International Rectifier
Corp* 500 6,750 500 6,750
International Specialty
Products Inc* -- -- 200 2,675
IVAX Corp 1,230 15,068 1,240 15,190
John Nuveen & Co Inc Class A -- -- 100 3,038
Kansas City Southern
Industries 281 14,753 470 24,675
Kelly Services Inc Class A 406 11,165 420 11,550
Kimco Realty Corp 300 10,088 350 11,769
KLA Instruments Corp* 300 12,506 400 16,675
Komag Inc* 600 18,000 600 18,000
Lafarge Corp 300 6,975 400 9,300
Leggett & Platt Inc 858 30,781 1,000 35,875
Lehman Brothers Holdings 1,100 36,988 1,300 43,713
Leucadia National Corp 400 10,650 400 10,650
Lexmark International Group
Class A* -- -- 200 5,575
Liberty Media Group Class A* 2,385 50,085 3,159 66,339
Litton Industries Inc* 301 12,943 390 16,770
Loral Space &
Communications* 1,842 29,702 2,282 36,797
LTB Corp 1,400 17,500 1,300 16,250
Lubrizol Corp 829 28,704 760 26,315
MAPCO Inc 674 21,400 520 16,510
</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>
600 $ 17,850 800 $ 23,800 1,300 $ 38,675
965 36,429 626 23,632 1,186 44,772
-- -- -- -- 300 7,763
302 14,798 317 15,533 610 29,890
420 8,505 515 10,429 750 15,188
2,100 123,900 1,700 100,300 3,000 177,000
734 18,901 544 14,008 700 18,025
1,100 66,000 800 48,000 1,300 78,000
967 20,065 600 12,450 1,162 24,112
745 26,541 465 16,566 940 33,488
1,148 41,328 758 27,288 1,520 54,720
309 14,137 324 14,823 620 28,365
423 14,858 403 14,155 880 30,910
400 13,650 500 17,063 700 23,888
750 20,344 600 16,275 1,350 36,619
800 15,800 1,000 19,750 1,700 33,575
1,300 27,138 800 16,700 1,400 29,225
2,900 40,238 2,200 30,525 3,900 54,113
1,000 37,625 800 30,100 1,400 52,675
600 15,750 600 15,750 1,100 28,875
3,400 61,200 2,500 45,000 4,700 84,600
1,008 42,714 934 39,578 1,502 63,647
3,487 99,380 2,579 73,502 4,529 129,077
2,152 50,034 1,542 35,852 2,700 62,775
702 18,691 531 14,138 1,317 35,065
1,000 13,500 700 9,450 1,100 14,850
1,300 17,388 -- -- 500 6,688
2,323 28,457 1,663 20,372 2,895 35,464
-- -- -- -- 300 9,113
765 40,163 485 25,463 960 50,400
689 18,948 419 11,523 885 24,338
450 15,131 300 10,088 700 23,538
600 25,013 600 25,013 1,100 45,856
1,100 33,000 600 18,000 1,200 36,000
500 11,625 300 6,975 600 13,950
1,474 52,880 1,184 42,476 2,330 83,589
2,400 80,700 1,600 53,800 3,100 104,238
400 10,650 600 15,975 1,100 29,288
1,000 27,875 300 8,363 800 22,300
5,583 117,243 4,134 86,814 6,471 135,891
808 34,744 503 21,629 879 37,797
2,912 46,956 2,974 47,956 5,366 86,527
1,900 23,750 1,700 21,250 3,200 40,000
1,517 52,526 942 32,617 1,800 62,325
936 29,718 676 21,463 1,400 44,450
</TABLE>
69
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Mark IV Industries Inc 521 $ 12,113 507 $ 11,788
Marshall & Ilsley Corp 958 37,841 1,240 48,980
Martin Marietta Inc -- -- 100 2,638
McCormick & Co Inc 888 20,979 900 21,263
McKesson Corp 400 26,500 500 33,125
Medaphis Corp* 800 7,950 900 8,944
Meditrust Corp 600 23,100 600 23,100
Medpartners Inc* 1,210 26,620 1,989 43,758
MEMC Electronic Materials
Inc* 300 7,350 300 7,350
Mercantile Bancorporation 636 36,809 870 50,351
Mercantile Bankshares 503 18,674 590 21,904
Mercury General Corp 100 6,138 100 6,138
MGM Grand Inc* 200 7,025 300 10,538
Micro Warehouse Inc* 300 4,313 300 4,313
Millennium Chemicals Inc* 611 11,676 1,136 21,717
Mirage Resorts Inc* 1,690 42,039 1,760 43,780
Molex Inc 363 12,977 718 25,669
Molex Inc Class A 600 19,950 675 22,444
Murphy Oil Corp 493 22,863 580 26,898
Mylan Laboratories 1,603 26,850 1,570 26,298
Nabisco Holdings Corp Class
A 200 8,225 200 8,225
Nabors Industries Inc* 900 13,838 900 13,838
Natural Gas Clearinghouse
Inc -- -- 100 1,975
New Plan Realty Trust 800 18,600 700 16,275
Noble Drilling Corp* -- -- 1,400 24,850
Northern Trust Corp 1,134 48,195 1,520 64,600
Office Depot Inc* 1,538 29,222 1,550 29,450
Officemax Inc* 1,600 19,200 1,550 18,600
Ogden Corp 101 2,058 625 12,734
Ohio Casualty Corp 300 11,888 400 15,850
Old Kent Financial Corp 430 21,554 540 27,068
Old Republic International
Corp 1,050 28,481 950 25,769
Olin Corp 470 18,800 560 22,400
Owens Illinois Inc* 700 16,888 1,300 31,363
PacifiCare Health Systems
Inc Class A* 91 7,280 243 19,442
PacifiCare Health Systems
Inc Class B* 274 22,970 295 24,710
Paging Network Inc* 500 7,531 600 9,038
PaineWebber Group Inc 800 26,100 1,200 39,150
Paul Revere Corp -- -- 100 4,163
Payless ShoeSource Inc* 517 22,231 511 21,973
PHH Corp 356 17,044 500 23,938
Pittston Brink's Group 523 13,467 520 13,390
PMI Group Inc 300 16,425 300 16,425
Premark International Inc 761 17,979 706 16,679
</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>
829 $ 19,274 526 $ 12,230 1,213 $ 28,202
2,203 87,019 1,583 62,529 2,820 111,390
-- -- -- -- 300 7,913
1,355 32,012 1,205 28,468 2,055 48,549
800 53,000 600 39,750 1,000 66,250
1,100 10,931 1,200 11,925 2,000 19,875
1,100 42,350 800 30,800 1,400 53,900
2,420 53,240 2,452 53,944 4,462 98,164
400 9,800 400 9,800 700 17,150
1,469 85,018 1,064 61,579 1,940 112,278
813 30,183 708 26,285 1,280 47,520
200 12,275 100 6,138 300 18,413
700 24,588 400 14,050 400 14,050
600 8,625 400 5,750 700 10,063
2,212 42,311 1,746 33,398 2,946 56,348
2,978 74,078 2,208 54,924 4,070 101,241
538 19,234 1,100 39,325 822 29,387
925 30,756 825 27,431 1,425 47,381
1,077 49,946 697 32,323 1,170 54,259
2,765 46,314 1,927 32,277 3,352 56,146
800 32,900 100 4,113 300 12,338
1,285 19,757 1,229 18,896 2,600 39,975
1,600 31,600 -- -- 3,200 63,200
1,400 32,550 900 20,925 1,700 39,525
2,100 37,275 1,800 31,950 3,000 53,250
2,656 112,880 1,876 79,730 3,330 141,525
2,442 46,398 1,967 37,373 3,980 75,620
2,700 32,400 1,950 23,400 3,150 37,800
884 18,012 606 12,347 1,344 27,384
700 27,738 400 15,850 900 35,663
866 43,408 756 37,895 1,286 64,461
1,800 48,825 1,250 33,906 2,100 56,963
1,078 43,120 858 34,320 1,260 50,400
1,400 33,775 1,700 41,013 3,100 74,788
424 33,915 304 24,285 186 14,897
551 46,162 412 34,500 695 58,222
1,500 22,594 800 12,050 1,500 22,594
2,400 78,300 1,700 55,463 2,500 81,563
-- -- -- -- 200 8,325
743 31,949 615 26,445 1,104 47,472
514 24,608 594 28,438 950 45,481
657 16,918 743 19,132 1,104 28,428
300 16,425 400 21,900 700 38,325
1,133 26,767 796 18,806 1,550 36,619
</TABLE>
71
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Progressive Corp Ohio 482 $ 31,872 620 $ 40,998
Protective Life Corp 300 12,900 300 12,900
Provident Companies Inc 297 16,187 290 15,805
Public Storage Inc -- -- 700 18,813
Qualcom Inc* 500 27,844 700 38,981
Questar Corp 427 15,479 440 15,950
Quorum Health Group Inc* 300 9,413 300 9,413
Rayonier Inc 356 13,528 350 13,300
Reading & Bates Corp* 700 16,975 800 19,400
Regions Financial Corp 635 37,386 750 44,156
Reliastar Financial Corp 300 18,600 400 24,800
Revco DS Inc* 600 24,525 600 24,525
RJR Nabisco Holdings Corp 2,270 83,139 2,743 100,462
RPM Inc 778 13,712 887 15,633
Schuller Corp -- -- 400 4,750
SCI Systems Inc* 300 16,050 300 16,050
Scripps (E W) Co 300 10,800 300 10,800
Security Capital Pacific
Trust 600 14,100 700 16,450
Sensormatic Electronics 1,035 17,854 870 15,008
Services (B J) Co* -- -- 400 15,900
Shaw Industries Inc 1,260 16,380 1,330 17,290
Signet Banking Corp 800 25,400 700 22,225
Southern National Corp 1,200 46,650 1,300 50,538
Southland Corp* 1,800 6,188 1,400 4,813
SouthTrust Corp 1,171 46,401 1,180 46,758
St Joe Paper Corp 100 7,763 100 7,763
Standard Fed Bancorp 400 23,050 400 23,050
Star Banc Corp 900 35,325 1,200 47,100
State Street Boston Corp 919 73,865 1,050 84,394
Steel Dynamics Inc* -- -- -- --
Stewart Enterprises Inc
Class A 450 15,891 450 15,891
Storage Technology Corp* 659 27,513 635 26,511
Summit Bancorp 1,003 47,893 1,170 55,868
Sunbeam Oster Co Inc 500 13,688 600 16,425
Sungard Data Systems Inc* 400 20,300 500 25,375
Sybase Inc* 700 11,463 700 11,463
Symbol Technologies Inc* 260 13,065 210 10,553
Synovus Financial Corp 1,150 40,106 1,450 50,569
Talbots Inc 200 6,425 200 6,425
TCF Financial Corp 400 18,150 400 18,150
Tele-Communications
International Inc Class A* 300 4,050 200 2,700
Teleport Communications
Group Inc Class A* 300 9,000 300 9,000
Teradyne Inc* 776 21,146 920 25,070
Terra Industries Inc 500 6,813 400 5,450
The Vons Co Inc* 280 19,075 370 25,206
</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>
1,197 $ 79,152 797 $ 52,702 1,350 $ 89,269
600 25,800 500 21,500 700 30,100
806 43,927 501 27,305 680 37,060
1,400 37,625 900 24,188 1,800 48,375
1,000 55,688 800 44,550 1,600 89,100
710 25,738 640 23,200 1,030 37,338
400 12,550 300 9,413 700 21,963
462 17,556 526 19,988 819 31,122
1,200 29,100 1,100 26,675 1,900 46,075
1,419 83,544 964 56,756 1,940 114,218
800 49,600 600 37,200 1,000 62,000
700 28,613 700 28,613 1,400 57,225
5,005 183,308 3,551 130,055 6,518 238,722
1,198 21,115 986 17,378 2,068 36,449
1,800 21,375 300 3,563 700 8,313
500 26,750 400 21,400 600 32,100
900 32,400 300 10,800 600 21,600
800 18,800 900 21,150 1,500 35,250
1,723 29,722 1,048 18,078 2,085 35,966
600 23,850 600 23,850 1,000 39,750
2,415 31,395 1,605 20,865 3,100 40,300
1,300 41,275 1,000 31,750 1,600 50,800
2,300 89,413 1,900 73,863 3,380 131,398
2,600 8,938 1,800 6,188 4,200 14,438
2,137 84,679 1,587 62,885 2,835 112,337
200 15,525 100 7,763 300 23,288
600 34,575 500 28,813 900 51,863
2,100 82,425 1,500 58,875 2,700 105,975
1,885 151,507 1,350 108,506 2,490 200,134
-- -- -- -- 300 6,000
750 26,484 600 21,188 900 31,781
1,284 53,607 967 40,372 1,725 72,019
2,039 97,362 1,514 72,294 2,779 132,697
800 21,900 600 16,425 1,300 35,588
900 45,675 600 30,450 1,100 55,825
1,400 22,925 900 14,738 1,600 26,200
390 19,598 270 13,568 550 27,638
2,550 88,931 1,850 64,519 3,450 120,319
-- -- 200 6,425 400 12,850
800 36,300 500 22,688 1,000 45,375
1,500 20,250 200 2,700 600 8,100
2,600 78,000 400 12,000 3,300 99,000
1,790 48,778 1,300 35,425 2,150 58,588
700 9,538 500 6,813 1,100 14,988
764 52,048 484 32,973 860 58,588
</TABLE>
73
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Tidewater Inc 565 $ 24,295 750 $ 32,250
TIG Holdings Inc 500 17,875 500 17,875
Tosco Corp 1,371 38,217 1,440 40,140
Transatlantic Holdings Inc 151 12,741 200 16,875
Travelers/Aetna Property &
Casualty Corp Class A 100 3,688 500 18,438
Trinity Industries Inc 522 16,835 540 17,415
Tyson Food Inc Class A 591 11,968 1,590 32,198
Ultramar Diamond Shamrock
Corp 910 27,757 955 29,128
Unifi Inc 768 24,480 800 25,500
Union Planters Corp 600 26,850 800 35,800
UnionBanCal Corp 100 6,025 100 6,025
United Asset Management Corp 800 21,600 700 18,900
Unitrin Inc 300 16,200 400 21,600
Universal Corp 381 12,002 500 15,750
U.S. Filter Corp* -- -- 600 21,000
U.S. Industries Inc* 595 21,792 705 25,821
Valero Energy Corp 480 15,120 570 17,955
Varian Associates Inc 377 21,772 390 22,523
Vencor Inc* 700 24,238 800 27,700
Viad Corp 136 2,176 1,080 17,280
Vishay Intertechnology Inc* 420 9,608 520 11,895
Vivra Inc* 400 11,900 500 14,875
Vulcan Materials Co 400 25,900 400 25,900
Wallace Computer Services
Inc 90 3,049 600 20,325
Warnaco Group Inc Class A 600 19,125 600 19,125
Washington Federal Inc 484 12,342 594 15,147
Washington Mutual Inc 700 37,013 900 47,588
Washington Post Co Class B 27 9,356 100 34,650
Weatherford Enterra Inc* 600 18,000 600 18,000
Weingarten Realty
Investments 200 8,575 300 12,863
Weis Markets Inc 200 6,000 100 3,000
Wesco Financial Corp -- -- -- --
Western Digital Corp* 500 29,500 600 35,400
Western National Corp 400 9,200 400 9,200
Wheelabrator Technologies
Inc 700 9,975 1,000 14,250
Wilmington Trust Corp 392 17,738 510 23,078
Witco Corp 716 22,017 680 20,910
York International Corp 402 17,738 520 22,945
Zions Bancorp 200 24,900 200 24,900
------------ ------------
TOTAL MEDIUM CAP VALUE
STOCKS
- VALUE $ 4,786,925 $ 5,736,048
- COST $ 3,733,060 $ 4,602,668
</TABLE>
74
<PAGE>
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
925 $ 39,775 985 $ 42,355 1,765 $ 75,895
900 32,175 700 25,025 1,100 39,325
1,467 40,893 1,677 46,746 3,135 87,388
355 29,953 260 21,938 340 28,688
900 33,188 600 22,125 900 33,188
705 22,736 635 20,479 1,205 38,861
3,711 75,148 2,473 50,078 3,045 61,661
1,544 47,083 1,237 37,716 2,225 67,872
1,182 37,676 982 31,301 1,640 52,275
1,000 44,750 1,000 44,750 1,900 85,025
500 30,125 100 6,025 300 18,075
1,400 37,800 800 21,600 1,600 43,200
600 32,400 400 21,600 800 43,200
639 20,129 594 18,711 1,065 33,548
-- -- 900 31,500 1,600 56,000
950 34,794 760 27,835 1,535 56,219
764 24,066 684 21,546 1,060 33,390
735 42,446 490 28,298 865 49,954
1,500 51,938 980 33,933 1,574 54,500
1,641 26,256 1,228 19,648 2,908 46,528
840 19,215 630 14,411 1,271 29,074
800 23,800 500 14,875 1,000 29,750
800 51,800 500 32,375 1,000 64,750
1,100 37,263 710 24,051 1,200 40,650
1,000 31,875 700 22,313 1,300 41,438
726 18,513 805 20,528 1,452 37,026
1,600 84,600 1,200 63,450 2,100 111,038
80 27,720 133 46,085 125 43,313
1,057 31,710 700 21,000 1,300 39,000
400 17,150 400 17,150 700 30,013
600 18,000 200 6,000 300 9,000
100 20,800 -- -- -- --
900 53,100 800 47,200 1,300 76,700
600 13,800 400 9,200 1,000 23,000
2,800 39,900 1,400 19,950 2,100 29,925
649 29,367 504 22,806 1,075 48,644
1,352 41,574 822 25,277 1,595 49,046
959 42,316 714 31,505 1,185 52,288
300 37,350 200 24,900 400 49,800
------------ ------------ ------------
$ 10,096,026 $ 7,442,760 $ 13,425,531
$ 7,960,919 $ 5,821,361 $ 10,912,422
</TABLE>
75
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
MEDIUM CAP UTILITY STOCKS
PERCENT OF NET ASSETS 0.63% 0.39%
AES Corp* 784 $ 51,254 640 $ 41,840
AGL Resources Inc 538 10,491 440 8,580
Allegheny Power Systems Inc 1,284 39,323 1,010 30,931
Atlantic Energy Inc 569 9,744 460 7,878
Brooklyn Union Gas Co 510 14,535 400 11,400
Century Telephone Enterprise 567 17,364 460 14,088
CMS Energy Corp 921 30,163 740 24,235
Delmarva Power & Light Co 640 12,400 510 9,881
El Paso Natural Gas Co 427 22,898 456 24,453
Florida Progress Corp 1,015 31,973 800 25,200
Idaho Power Co 402 12,412 320 9,880
Illinova Corp 813 20,325 650 16,250
IPALCO Enterprises Inc 607 19,196 480 15,180
Kansas City Power & Light Co 667 19,010 530 15,105
LG & E Energy Corp 728 18,018 560 13,860
MCN Corp 616 18,634 500 15,125
Midamerican Energy Co 451 7,442 367 6,056
Montana Power Co 563 12,316 460 10,063
National Fuel Gas Co 400 17,200 320 13,760
Nevada Power Co 444 9,047 360 7,335
New England Electric System 695 24,238 560 19,530
New York State Electric &
Gas Corp 772 17,949 610 14,183
NEXTEL Communications Class
A* 1,068 15,219 880 12,540
NIPSCO Industries Inc 702 27,992 560 22,330
Northeast Utilities 1,340 13,903 1,070 11,101
Oklahoma Gas & Electric Co 429 18,072 340 14,323
Pinnacle West Capital Corp 941 29,406 750 23,438
Portland General Corp 540 21,128 430 16,824
Potomac Electric Power Co 1,282 32,531 1,010 25,629
Public Service Company of
Colorado 661 25,779 530 20,670
Puget Sound Power & Light Co 683 17,331 540 13,703
SCANA Corp 1,026 26,804 820 21,423
Southern New England
Telecommunications Co 687 24,904 550 19,938
Southwestern Public Services
Co 433 15,642 350 12,644
TECO Energy Inc 1,265 30,834 990 24,131
Telephone & Data System Inc 566 22,640 450 18,000
Utilicorp United Inc 491 13,196 380 10,213
Washington Gas & Light 464 10,266 360 7,965
Wisconsin Energy Corp 1,148 29,418 920 23,575
Wisconsin Power & Light
Holdings Co 341 9,463 260 7,215
------------ ------------
TOTAL MEDIUM CAP UTILITY
STOCKS
- VALUE $ 820,460 $ 660,475
- COST $ 683,111 $ 564,676
</TABLE>
76
<PAGE>
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
0.47% 0.54% 0.31%
1,148 $ 75,051 798 $ 52,169 750 $ 49,031
798 15,561 558 10,881 520 10,140
1,809 55,401 1,319 40,394 1,230 37,669
830 14,214 590 10,104 550 9,419
719 20,492 514 14,649 490 13,965
828 25,358 588 18,008 565 17,303
1,314 43,034 954 31,244 885 28,984
903 17,496 648 12,555 615 11,916
842 45,152 627 33,623 778 41,720
1,434 45,171 1,039 32,729 980 30,870
585 18,062 415 12,813 385 11,887
1,153 28,825 843 21,075 780 19,500
882 27,893 627 19,829 577 18,248
955 27,218 690 19,665 645 18,383
992 24,552 732 18,117 690 17,078
930 28,133 670 20,268 600 18,150
680 11,220 489 8,069 -- --
824 18,025 584 12,775 540 11,813
582 25,026 412 17,716 385 16,555
652 13,285 472 9,617 450 9,169
1,008 35,154 718 25,040 690 24,064
1,087 25,273 787 18,298 740 17,205
1,588 22,629 1,101 15,689 1,025 14,606
1,015 40,473 740 29,508 675 26,916
1,916 19,879 1,386 14,380 1,290 13,384
612 25,781 442 18,619 415 17,482
1,334 41,688 974 30,438 905 28,281
775 30,322 560 21,910 520 20,345
1,806 45,827 1,316 33,394 1,230 31,211
949 37,011 684 26,676 635 24,765
971 24,639 706 17,915 655 16,621
1,446 37,777 1,036 27,066 980 25,603
975 35,344 710 25,738 680 24,650
617 22,289 462 16,690 415 14,992
1,789 43,607 1,284 31,298 1,220 29,738
827 33,080 587 23,480 565 22,600
675 18,141 494 13,276 472 12,685
624 13,806 454 10,045 440 9,735
1,645 42,153 1,175 30,109 1,105 28,316
473 13,126 343 9,518 325 9,019
------------ ------------ ------------
$ 1,187,168 $ 855,387 $ 804,018
$ 986,199 $ 716,437 $ 664,117
</TABLE>
77
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
SMALL CAP GROWTH STOCKS
PERCENT OF NET ASSETS 0.13% 0.09%
Allegiance Corp 81 $ 2,136 428 $ 11,289
Arrow International Inc -- -- 100 3,525
Arterial Vascular
Engineering Co* -- -- 100 1,575
Boyd Gaming Corp* -- -- 200 1,150
Breed Technologies Inc -- -- -- --
Broderbund Software Inc* 200 5,875 200 5,875
Collins & Aikman Corp* -- -- -- --
Crompton & Knowles Corp 550 10,450 340 6,460
Department 56 Inc* 200 3,600 200 3,600
Flowers Industries Inc 606 14,014 480 11,100
Fritz Companies Inc* 200 2,013 200 2,013
GenCorp Inc -- -- -- --
Geon Co -- -- -- --
HON Industries Inc 353 13,502 270 10,328
ICN Pharmaceuticals Inc 500 12,625 504 12,726
Kaydon Corp -- -- -- --
Lands' End Inc* -- -- -- --
Lawter International Inc -- -- -- --
Macromedia Inc* 400 3,925 400 3,925
Marvel Entertainment Group
Inc* -- -- 200 525
Mid Atlantic Medical
Services* 400 5,900 500 7,375
Miller (Herman) Inc 269 17,687 210 13,808
National Education Corp* 52 670 118 1,519
Nielson (A C) Corp* 73 1,077 453 6,682
Objective Systems Integrator
Corp* -- -- 100 1,238
OEA Inc -- -- -- --
Pixar Inc* -- -- 100 1,963
Precision Castparts Corp -- -- -- --
Primadonna Resorts Inc* -- -- -- --
Quest Diagnostics Inc* 46 776 240 4,050
Rollins Inc 388 7,324 210 3,964
Sbarro Inc -- -- -- --
Schweitzer-Mauduit
International Inc 20 683 92 3,140
Shoney's Inc* 97 800 370 3,053
Sotheby's Holdings Inc 611 10,387 -- --
Structural Dynamics
Research* 303 6,022 -- --
Sunglass Hut International
Inc* 600 4,350 500 3,625
Superior Industries
International Inc 322 7,728 260 6,240
Symantec Corp* 378 5,906 500 7,813
TCA Cable TV Inc 266 8,512 -- --
Tootsie Roll Industries 206 8,704 206 8,704
TransTexas Gas Corp* -- -- -- --
Valhi Inc -- -- -- --
</TABLE>
78
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
0.15% 0.16% 0.16%
930 $ 24,529 698 $ 18,410 1,207 $ 31,835
-- -- -- -- 200 7,050
-- -- -- -- -- --
-- -- 300 1,725 700 4,025
-- -- -- -- 100 2,188
200 5,875 200 5,875 500 14,688
-- -- -- -- 400 3,150
885 16,815 570 10,830 1,430 27,170
300 5,400 200 3,600 600 10,800
879 20,327 624 14,430 577 13,343
300 3,019 -- -- 400 4,025
485 9,154 -- -- -- --
-- -- -- -- 300 6,450
484 18,513 354 13,541 535 20,464
708 17,877 607 15,327 1,340 33,835
250 10,813 -- -- -- --
547 15,179 -- -- -- --
677 7,870 -- -- -- --
700 6,869 500 4,906 900 8,831
1,400 3,675 200 525 600 1,575
700 10,325 500 7,375 1,300 19,175
374 24,591 279 18,344 260 17,095
270 3,476 212 2,730 -- --
918 13,541 707 10,428 1,530 22,568
-- -- -- -- 200 2,475
308 14,284 223 10,342 -- --
-- -- -- -- 200 3,925
300 14,700 213 10,437 -- --
-- -- -- -- 400 7,450
515 8,691 389 6,564 823 13,888
645 12,174 400 7,550 675 12,741
319 8,294 219 5,694 -- --
214 7,303 176 6,006 351 11,978
751 6,196 596 4,917 1,304 10,758
848 14,416 623 10,591 -- --
434 8,626 319 6,340 -- --
1,000 7,250 700 5,075 1,300 9,425
454 10,896 331 7,944 510 12,240
636 9,938 761 11,891 1,500 23,438
371 11,872 276 8,832 -- --
309 13,055 206 8,704 521 22,012
-- -- -- -- 300 4,523
-- -- -- -- 300 2,400
</TABLE>
79
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
ValuJet Inc* 300 $ 2,194 200 $ 1,463
Vanguard Cellular Systems
Class A* 411 5,805 330 4,661
Wausau Paper Mills Co 392 7,791 316 6,281
Williams-Sonoma Inc* -- -- -- --
------------ ------------
TOTAL SMALL CAP GROWTH
STOCKS
- VALUE $ 170,456 $ 159,670
- COST $ 191,847 $ 194,421
SMALL CAP VALUE STOCKS
PERCENT OF NET ASSETS 0.43% 0.31%
Aliant Communications Inc -- $ -- -- $ --
Alliance Semiconductor Corp* -- -- -- --
American Oncology Resources* -- -- 200 1,825
Anixter International Inc* 500 6,750 500 6,750
Ann Taylor Stores Inc* 247 4,940 195 3,900
Argonaut Group Inc -- -- 100 2,875
Bandag Inc -- -- 100 4,875
Bandag Inc Class A 100 4,763 100 4,763
Bassett Furniture Industries 25 619 50 1,238
Best Buy Co Inc* -- -- 100 925
Bob Evans Farms Inc 468 6,377 360 4,905
Brown Group Inc 31 504 180 2,925
Burlington Industries Inc* 729 9,386 477 6,141
Castle & Cooke Inc* 215 3,440 136 2,176
ChemFirst Inc* 35 796 84 1,911
Chesapeake Corp 256 7,584 200 5,925
Choice Hotels Inc* 59 907 505 7,764
Chris-Craft Industries Inc* 113 4,647 254 10,446
Consolidated Freightways
Corp 62 1,535 361 8,935
Dauphin Deposit Corp 360 15,255 370 15,679
Deltic Timber Corp 141 3,488 166 4,101
Earthgrains Co 14 767 73 3,997
Exabyte Corp* -- -- -- --
Family Dollar Stores Inc 620 14,648 480 11,340
Federal Mogul Corp 396 9,752 300 7,388
Federal Realty Investment
Trust -- -- -- --
Ferro Corp 305 9,608 250 7,875
Fingerhut Co 505 7,386 400 5,850
Footstar Inc* 46 1,162 245 6,186
Fuller (H B) Co -- -- -- --
Glatfelter (P H) Co 486 8,323 280 4,795
Goulds Pumps Inc -- -- -- --
Grand Casinos Inc* 400 4,400 400 4,400
Granite Construction Inc -- -- -- --
Heilig Meyers Co 524 7,402 410 5,791
</TABLE>
80
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
400 2,925 200 1,463 700 5,119
595 8,404 427 6,031 390 5,509
572 11,369 407 8,089 371 7,374
-- -- -- -- 200 5,038
------------ ------------ ------------
$ 388,241 $ 254,516 $ 408,560
$ 401,024 $ 259,355 $ 494,433
0.49% 0.53% 0.51%
490 $ 8,208 -- $ -- -- $ --
-- -- -- -- 250 2,219
-- -- 200 1,825 400 3,650
500 6,750 700 9,450 1,200 16,200
351 7,020 253 5,060 237 4,740
-- -- 200 5,750 300 8,625
200 9,750 100 4,875 300 14,625
200 9,525 200 9,525 400 19,050
200 4,950 120 2,970 206 5,099
-- -- 300 2,775 600 5,550
752 10,246 472 6,431 1,250 17,031
338 5,493 221 3,591 253 4,111
1,136 14,626 749 9,643 1,902 24,488
336 5,376 222 3,552 341 5,456
314 7,144 224 5,096 347 7,902
361 10,695 266 7,880 650 19,256
1,105 16,989 807 12,408 1,217 18,711
478 19,658 325 13,366 220 9,048
810 20,048 573 14,182 1,138 28,166
492 20,849 362 15,340 945 40,044
308 7,616 199 4,929 334 8,271
167 9,143 134 7,337 306 16,754
340 3,719 -- -- -- --
857 20,247 627 14,813 495 11,694
553 13,618 398 9,801 380 9,358
-- -- -- -- 400 10,750
436 13,734 331 10,427 815 25,673
714 10,442 509 7,444 180 2,633
521 13,155 382 9,646 654 16,514
225 10,969 -- -- -- --
769 13,169 489 8,374 770 13,186
315 7,422 -- -- -- --
700 7,700 500 5,500 900 9,900
270 4,843 -- -- -- --
834 11,780 544 7,684 1,300 18,363
</TABLE>
81
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Horizon/CMS Healthcare Corp* 600 $ 9,825 400 $ 6,550
Houghton Mifflin Co 152 8,379 120 6,615
Hunt (J B) Transport
Services -- -- -- --
IES Industries -- -- -- --
Indiana Energy Inc -- -- -- --
Information Resources Inc* -- -- -- --
Integrated Device Technology
Inc* 700 7,700 800 8,800
Intelligent Electronics* -- -- -- --
International Dairy Queen
Class A* -- -- -- --
International Multifoods
Corp -- -- -- --
Jacobs Engineering Group* -- -- -- --
John Alden Financial Corp -- -- -- --
Kennametal Inc 300 12,300 300 12,300
Keystone International Inc 383 7,229 300 5,663
Laboratory Corp of America
Holdings* 660 2,475 418 1,568
Lam Research Corp* 300 11,438 400 15,250
Lance Inc -- -- -- --
Lawson Products Inc -- -- -- --
Lee Enterprises Inc 498 11,703 -- --
Longview Fibre Co 554 8,518 540 8,303
Luby's Cafeteria Inc 45 917 219 4,462
Lukens Inc -- -- -- --
MacFrugals Bargains Close-
Outs* -- -- -- --
Mascotech Inc -- -- 300 5,700
MAXXAM Inc* -- -- -- --
Measurex Corp -- -- -- --
Media General Inc Class A 280 8,400 220 6,600
Mentor Graphics Corp* 600 5,738 700 6,694
Meyer (Fred) Inc* -- -- -- --
Michaels Stores Inc* -- -- -- --
Minnesota Power & Light Co 349 9,772 270 7,560
Mississippi Chemical Corp 11 270 28 687
Mobile Telecommunications
Technologies Corp* -- -- 400 3,100
MobileMedia Corp* 300 384 200 256
Modine Manufacturing Co 309 8,498 250 6,875
National Presto Industries
Inc -- -- -- --
NCH Corp -- -- -- --
Newport News Shipbuilding 64 995 293 4,538
Novacare Inc* -- -- -- --
Novellus System Inc* 200 16,350 200 16,350
Old National Bancorp 330 12,210 221 8,159
Oregon Steel Mills Inc -- -- -- --
Outboard Marine Corp 35 508 184 2,668
Overseas Shipholding Group 393 6,828 310 5,386
</TABLE>
82
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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 $ 14,738 700 $ 11,463 1,000 $ 16,375
230 12,679 155 8,544 445 24,531
596 8,270 -- -- -- --
-- -- -- -- 300 9,113
352 9,152 -- -- -- --
403 5,995 -- -- -- --
1,700 18,700 800 8,800 2,100 23,100
540 1,890 -- -- -- --
369 7,934 -- -- -- --
274 5,788 -- -- -- --
373 9,605 -- -- -- --
-- -- -- -- 300 5,700
411 16,851 300 12,300 600 24,600
641 12,099 396 7,475 965 18,214
1,043 3,911 684 2,565 1,337 5,014
500 19,063 500 19,063 800 30,500
478 8,843 -- -- -- --
197 4,334 -- -- -- --
708 16,638 510 11,985 -- --
890 13,684 575 8,841 1,330 20,449
480 9,780 369 7,518 621 12,653
230 4,284 -- -- -- --
438 11,881 -- -- -- --
-- -- 400 7,600 800 15,200
128 6,160 -- -- -- --
286 9,974 -- -- -- --
410 12,300 290 8,700 570 17,100
852 8,147 1,000 9,563 1,600 15,300
-- -- -- -- 200 7,925
-- -- -- -- 200 2,950
480 13,440 350 9,800 335 9,380
106 2,597 74 1,813 116 2,842
-- -- -- -- -- --
400 512 300 384 700 897
465 12,788 335 9,213 500 13,750
116 4,365 81 3,048 -- --
124 7,378 89 5,296 -- --
616 9,542 465 7,211 846 13,119
975 12,188 710 8,875 -- --
400 32,700 200 16,350 500 40,875
441 16,317 331 12,238 772 28,555
299 5,083 199 3,383 -- --
424 6,148 224 3,248 348 5,046
550 9,556 405 7,037 375 6,516
</TABLE>
83
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- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Parker Drilling Co* -- $ -- -- $ --
Parker & Parsley Petroleum 376 11,092 297 8,762
Pentair Co -- -- -- --
Perrigo Co* 812 9,846 550 6,669
Phillips Van Heusen Corp -- -- -- --
Physician Corp of America* 400 1,750 300 1,313
Pittston Burlington Group 61 1,167 160 3,060
Policy Management Systems
Corp* 248 10,664 170 7,310
Public Service Company of
New Mexico -- -- -- --
Quaker State Corp -- -- -- --
Quantum Corp* 500 19,875 600 23,850
Readers Digest Association
Class B 200 6,775 300 10,163
Read-Rite Corp* 400 12,275 500 15,344
Roadway Express Inc 46 897 158 3,081
Rohr Industries Inc* -- -- -- --
Ruby Tuesday Inc* 192 3,312 100 1,725
Ruddick Corp -- -- -- --
Ryans Family Steak House* 119 878 516 3,806
Savannah Foods & Industries -- -- -- --
Schulman (A) Inc 403 7,808 420 8,138
Seagull Energy Corp* 391 7,185 310 5,696
Sequa Corp Class A* 110 4,318 -- --
Sequent Computer Systems* 340 5,844 -- --
Service Merchandise Co* 771 2,795 -- --
Skyline Corp 20 483 44 1,062
Smucker (J M) Co Class A 305 5,071 -- --
Southdown Inc 175 6,256 -- --
Spelling Entertainment Group
Inc* -- -- -- --
SPS Transaction Services
Inc* -- -- 100 1,688
SPX Corp 22 1,009 46 2,110
Standard Register Co 301 9,820 -- --
Stanhome Inc 220 5,583 170 4,314
Stewart & Stevenson Services 364 9,510 380 9,928
Stratus Computer Inc* 261 8,841 210 7,114
TCI Satellite Entertainment
Class A* 107 856 543 4,344
Tecumseh Products Co Class A 241 13,797 190 10,878
Teleflex Inc 175 9,188 -- --
Tencor Instruments* 300 12,019 200 8,013
The Fund American Companies -- -- -- --
Thiokol Inc 216 12,042 -- --
Transitional Hospitals Corp* 101 909 373 3,357
TriMas Corp 200 4,875 200 4,875
Universal Foods Corp 279 9,626 320 11,040
Value Health Inc* 435 10,440 545 13,080
Varco International Inc* 292 6,570 -- --
</TABLE>
84
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- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
844 $ 7,069 619 $ 5,184 -- $ --
534 15,753 386 11,387 462 13,629
576 18,072 406 12,738 -- --
1,252 15,181 842 10,209 1,680 20,370
410 5,228 290 3,698 -- --
600 2,625 500 2,188 1,100 4,813
328 6,273 221 4,227 402 7,688
303 13,029 258 11,094 440 18,920
650 11,944 470 8,636 -- --
419 6,128 299 4,373 -- --
790 31,403 785 31,204 1,400 55,650
300 10,163 300 10,163 600 20,325
600 18,413 500 15,344 1,300 39,894
270 5,265 243 4,739 359 7,001
287 5,202 207 3,752 -- --
321 5,537 199 3,433 387 6,676
714 11,424 524 8,384 -- --
1,012 7,464 679 5,008 1,039 7,663
410 5,996 290 4,241 -- --
686 13,291 616 11,935 1,185 22,959
548 10,070 403 7,405 375 6,891
137 5,377 102 4,004 -- --
471 8,095 341 5,861 -- --
1,516 5,496 1,111 4,027 -- --
222 5,356 78 1,882 133 3,209
436 7,249 331 5,503 -- --
253 9,045 178 6,364 -- --
-- -- -- -- 400 2,500
-- -- -- -- 200 3,375
226 10,368 83 3,808 248 11,377
432 14,094 312 10,179 -- --
299 7,587 214 5,430 210 5,329
495 12,932 365 9,536 845 22,076
366 12,398 271 9,180 750 25,406
1,150 9,200 883 7,064 1,866 14,928
345 19,751 249 14,255 431 24,675
254 13,335 194 10,185 -- --
400 16,025 300 12,019 700 28,044
-- -- -- -- 100 10,650
295 16,446 210 11,708 -- --
806 7,254 512 4,608 724 6,516
-- -- 200 4,875 500 12,188
409 14,111 489 16,871 770 26,565
1,019 24,456 847 20,328 1,119 26,856
524 11,790 374 8,415 -- --
</TABLE>
85
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
VLSI Technology Inc* 500 $ 9,344 400 $ 7,475
Waban Inc* 365 10,448 -- --
Watts Industries Inc Class A 308 7,970 -- --
Wellman Inc 363 6,353 280 4,900
Xtra Corp 200 8,100 200 8,100
Yellow Corp* 49 766 223 3,484
Zenith Electronics Corp* 44 424 89 857
Zurich Reinsurance Centre
Holdings Inc 200 7,675 100 3,838
Zurn Industries Inc 22 564 46 1,179
------------ ------------
TOTAL SMALL CAP VALUE STOCKS
- VALUE $ 569,896 $ 510,318
- COST $ 576,031 $ 533,236
MICRO CAP STOCKS
PERCENT OF NET ASSETS 0.02% 0.01%
Bally Total Fitness Holding
Corp* 26 $ 197 76 $ 575
Consolidated Freightways
Inc* 31 264 181 1,534
Crown Vantage Inc* 21 150 48 342
Dave & Buster's Inc* -- -- -- --
Echelon International Corp* 68 1,167 53 914
Edison Brothers Stores Inc* -- -- -- --
Ennis Business Forms Inc -- -- -- --
Genzyme Corp--Tissue Repair* 35 411 -- --
Gibson Greetings Inc* -- -- -- --
Golden Books Family
Entertainment Inc* 234 2,194 -- --
Hancock Fabrics Inc -- -- -- --
Handleman Co* 59 516 132 1,155
Hartmarx Corp* 81 456 230 1,294
Highlands Insurance Group* 37 833 76 1,710
Homestead Village Property
Inc* 75 1,310 88 1,529
Host Marriott Services Corp* 240 2,190 240 2,190
HSN Inc* 461 11,877 365 9,386
International Technology
Corp* -- -- -- --
MagneTek Inc* -- -- -- --
Michael Foods Inc -- -- -- --
Mid American Waste Systems
Inc* -- -- -- --
Morrison Fresh Cooking Inc 96 456 50 238
Morrison Health Care Inc 128 1,728 66 891
NPC International Inc* -- -- -- --
OshKosh B'Gosh Class A 26 403 49 760
Primex Technologies Inc 47 870 56 1,036
Rollins Environmental
Services* 131 360 353 971
Sizzler International Inc* 254 635 -- --
Strattec Security Corp* 10 180 28 504
</TABLE>
86
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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 $ 11,213 400 $ 7,475 1,200 $ 22,425
497 14,227 367 10,505 -- --
464 12,006 334 8,642 -- --
495 8,663 365 6,388 845 14,788
300 12,150 200 8,100 500 20,250
585 9,141 299 4,672 437 6,828
279 2,685 230 2,214 367 3,532
-- -- 100 3,838 300 11,513
224 5,740 180 4,613 241 6,176
------------ ------------ ------------
$ 1,241,918 $ 843,878 $ 1,308,456
$ 1,233,688 $ 866,301 $ 1,415,088
0.04% 0.03% 0.02%
185 $ 1,399 116 $ 877 223 $ 1,686
405 3,443 286 2,431 569 4,837
104 741 81 577 132 941
69 1,596 -- -- -- --
96 1,648 69 1,195 65 1,121
347 564 -- -- -- --
247 2,748 -- -- -- --
49 576 36 423 33 388
244 5,033 -- -- -- --
313 2,934 233 2,184 -- --
342 4,318 -- -- -- --
467 4,086 307 2,686 521 4,559
389 2,188 354 1,991 618 3,476
172 3,870 136 3,060 216 4,860
101 1,747 113 1,966 189 3,276
380 3,468 320 2,920 680 6,205
650 16,732 472 12,155 306 7,880
137 1,182 -- -- -- --
367 6,101 -- -- -- --
229 2,548 -- -- -- --
372 163 -- -- -- --
160 760 99 470 193 917
214 2,889 132 1,782 258 3,483
374 3,927 284 2,982 -- --
228 3,534 85 1,318 222 3,441
108 1,994 86 1,587 126 2,331
769 2,115 623 1,713 822 2,261
434 1,085 319 798 -- --
72 1,296 49 882 -- --
</TABLE>
87
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Topp Inc* 512 $ 2,176 -- $ --
Xoma Corp* 188 1,293 -- --
------------ ------------
TOTAL MICRO CAP STOCKS -
VALUE $ 29,666 $ 25,029
- COST $ 31,943 $ 24,305
INTERNATIONAL STOCKS (EXCEPT JAPAN)
PERCENT OF NET ASSETS 5.92% 8.47%
Alcatel Alsthom Compagnie
Generale d'Electricite ADR
(France) 11,636 $ 238,529 21,673 $ 444,298
Allied Irish Banks PLC ADR
(Ireland) 1,400 60,900 2,500 108,750
Banco Bilbao Vizcaya ADR
(Spain) 950 55,575 1,600 93,600
Banco Central
Hispanoamericano SA ADR
(Spain) 1,100 14,438 2,000 26,250
Banco Santander SA ADR
(Spain) 700 47,163 1,400 94,325
Barclays PLC ADR (UK) 1,650 119,625 3,100 224,750
BAT Industries PLC ADR (UK) 9,700 170,963 17,800 313,725
Benetton SpA ADR (Italy) 5,350 122,381 9,800 224,175
British Airways PLC ADR (UK) 1,600 164,000 2,800 287,000
British Gas PLC ADR (UK) 3,600 100,350 6,700 186,763
British Petroleum Co PLC ADR
(UK) 1,234 163,351 2,269 300,359
British Steel PLC ADR (UK) 850 21,144 1,500 37,313
British Telecommunications
PLC ADR (UK) 3,700 258,075 6,700 467,325
Broken Hill Propriety Co Ltd
ADR
(Australia) 3,680 97,980 7,460 198,623
Coles Myer Ltd ADR
(Australia) 2,424 86,658 4,332 154,869
Courtaulds PLC ADR (UK) 19,700 132,975 36,100 243,675
Daimler-Benz
Aktiengesellschaft ADR
(Germany) 17,350 1,257,875 32,000 2,320,000
ELF Aquitaine ADR (France)* 9,550 458,400 17,700 849,600
Energy Group PLC ADR (UK)* 1,069 36,337 1,988 67,575
Fiat SpA ADR (Italy) 7,700 119,350 14,300 221,650
Glaxo Holdings PLC ADR (UK) 7,400 250,675 13,600 460,700
Grand Metropolitan PLC ADR
(UK) 7,624 228,720 14,104 423,120
Hanson Finance PLC ADR (UK) 1,069 23,780 1,988 44,222
Hong Kong Telecommunications
Ltd ADR (Hong Kong)* 22,485 390,677 41,767 725,702
Imperial Chemical Industries
PLC ADR (UK) 2,100 104,738 3,900 194,513
Imperial Tobacco Group PLC
ADR (UK)* 2,137 29,600 3,975 55,059
KLM Royal Dutch Airlines ADR
(Netherlands)* 507 15,590 1,110 34,133
Lucasvarity PLC ADR (UK)* 37 1,212 448 14,672
Montedison SpA ADR (Italy)* 2,646 19,184 6,292 45,617
National Australia Bank Ltd
ADR
(Australia) 2,050 128,638 3,700 232,175
News Corporation Ltd ADR Pfd
(Australia) -- -- 290 5,184
News Corporation Ltd ADR
(Australia) 1,450 30,813 2,700 57,375
</TABLE>
88
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
722 $ 3,069 527 $ 2,240 -- $ 0
193 1,327 193 1,327 -- --
------------ ------------ ------------
$ 89,081 $ 47,564 $ 51,662
$ 92,941 $ 48,254 $ 48,965
11.19% 13.98% 14.77%
42,298 $ 867,110 32,813 $ 672,675 56,501 $ 1,158,269
4,950 215,325 3,900 169,650 6,700 291,450
3,200 187,200 2,500 146,250 4,300 251,550
3,950 51,844 3,100 40,688 5,200 68,250
2,700 181,913 2,150 144,856 3,650 245,919
6,975 505,688 5,650 409,625 9,750 706,875
34,750 612,469 27,550 485,569 47,400 835,425
19,125 437,484 15,100 345,413 26,000 594,750
5,525 566,313 4,400 451,000 7,550 773,875
13,100 365,163 10,350 288,506 17,450 486,419
4,432 586,686 3,423 453,120 5,857 775,320
3,050 75,869 2,400 59,700 4,050 100,744
13,100 913,725 10,350 721,913 17,850 1,245,038
16,090 428,396 12,320 328,020 21,880 582,555
8,475 302,981 6,732 240,669 11,640 416,130
70,900 478,575 56,000 378,000 96,600 652,050
62,500 4,531,250 49,500 3,588,750 85,100 6,169,750
34,450 1,653,600 27,300 1,310,400 46,950 2,253,600
3,872 131,644 3,056 103,913 5,156 175,313
27,900 432,450 22,050 341,775 38,100 590,550
26,600 901,075 21,100 714,763 36,250 1,227,969
28,050 841,500 21,799 653,970 37,230 1,116,895
3,872 86,149 3,056 68,002 5,156 114,727
82,053 1,425,671 63,191 1,097,812 106,456 1,849,673
7,575 377,803 5,950 296,756 10,300 513,713
7,743 107,251 6,112 84,660 10,312 142,836
2,229 68,542 1,774 54,551 3,039 93,449
982 32,161 738 24,170 1,204 39,431
9,157 66,388 9,767 70,811 16,962 122,975
7,125 447,094 5,650 354,538 9,750 611,813
-- -- 580 10,368 1,015 18,143
5,200 110,500 4,150 88,188 6,950 147,688
</TABLE>
89
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LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Novo-Nordisk A/S ADR
(Denmark) 4,150 $ 199,719 7,600 $ 365,750
Philips Electronics NV ADR
(Netherlands) 2,000 90,000 3,500 157,500
Premier Farnell PLC ADR (UK) 626 10,173 1,084 17,615
Ranger Oil Ltd ADR
(Australia) -- -- -- --
Repsol SA ADR (France) 1,850 70,300 3,400 129,200
Rhone-Poulenc Rorer Class SA
ADR (France)* 4,484 156,380 8,268 288,347
Royal Dutch Petroleum Co ADR
(Netherlands) 1,889 326,674 3,617 625,741
RTZ PLC ADR (UK) 2,800 172,550 5,100 314,288
SmithKline Beecham PLC ADR
(UK) 2,150 159,638 3,800 282,150
Telecommunications of New
Zealand Corp ADR (New
Zealand)* 850 61,413 1,600 115,600
Telefonica De Espana SA ADR
(Spain) 2,450 168,744 4,500 309,938
Total Compagnie Francaise
des Petroles SA ADR
(France)* 4,025 159,497 7,450 295,218
Unilever NV ADR
(Netherlands) 5,605 1,067,753 10,283 1,958,912
Vodafone Group PLC ADR (UK) 1,850 87,875 3,500 166,250
Westpac Banking Corp ADR
(Australia) 1,750 49,656 3,400 96,475
WMC Limited ADR (Australia) 1,750 44,844 3,100 79,438
------------ ------------
TOTAL INTERNATIONAL STOCKS
(EXCEPT JAPAN) - VALUE $ 7,774,912 $ 14,359,519
- COST $ 6,180,749 $ 11,503,000
JAPANESE STOCKS
PERCENT OF NET ASSETS 1.30% 3.00%
Canon Inc ADR 700 $ 73,150 2,050 $ 214,225
CSK Corp ADR 2,250 51,750 6,700 154,100
Fuji Photo Film Co Ltd ADR 1,800 60,300 5,500 184,250
Hitachi Ltd ADR 600 52,650 1,700 149,175
Honda Motor Co Ltd ADR 1,400 87,500 4,200 262,500
Ito Yokado Co Ltd ADR 750 135,000 2,100 378,000
Japan Air Lines Co ADR 11,700 96,525 35,100 289,575
Kirin Brewery Co ADR 1,900 161,025 5,650 478,838
Kubota Corp ADR 100 9,000 100 9,000
Kyocera Corp ADR 250 29,188 900 105,075
Makita Corp ADR 2,950 40,931 8,750 121,406
Matsushita Electric
Industries Co ADR 250 38,469 850 130,794
Mitsui & Co Ltd ADR 1,250 183,750 3,700 543,900
NEC Corp ADR 1,250 72,188 3,800 219,450
Nippon Telegraph & Telegraph
ADR 2,436 88,914 7,511 274,152
Nissan Motor Co Ltd ADR 3,100 36,425 9,300 109,275
Pioneer Electronics Corp ADR 2,450 47,775 7,350 143,325
SONY Corp ADR 800 57,600 2,450 176,400
</TABLE>
90
<PAGE>
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<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
14,875 $ 715,859 11,700 $ 563,063 20,250 $ 974,531
6,875 309,375 5,450 245,250 9,450 425,250
2,106 34,223 1,626 26,423 2,837 46,101
1,508 13,572 1,103 9,927 -- --
6,625 251,750 5,250 199,500 9,150 347,700
16,134 562,673 12,526 436,844 21,553 751,661
7,038 1,217,574 5,500 951,500 9,503 1,644,019
9,925 611,628 7,850 483,756 13,450 828,856
7,400 549,450 5,900 438,075 10,100 749,925
3,175 229,394 2,500 180,625 4,400 317,900
8,700 599,213 6,900 475,238 11,850 816,169
14,570 577,342 11,347 449,630 19,413 769,251
20,021 3,814,001 15,915 3,031,808 27,332 5,206,746
6,800 323,000 5,400 256,500 9,200 437,000
6,600 187,275 5,200 147,550 9,000 255,375
6,075 155,672 4,850 124,281 8,300 212,688
------------ ------------ ------------
$ 28,141,820 $ 22,219,051 $ 38,156,316
$ 22,521,342 $ 17,889,377 $ 31,111,058
3.90% 4.75% 5.27%
3,975 $ 415,388 3,100 $ 323,950 5,550 $ 579,975
12,900 296,700 9,925 228,275 17,800 409,400
10,500 351,750 8,150 273,025 14,600 489,100
3,325 291,769 2,525 221,569 4,600 403,650
8,225 514,063 6,275 392,188 11,300 706,250
4,125 742,500 3,150 567,000 5,750 1,035,000
67,875 559,969 52,050 429,413 93,600 772,200
11,000 932,250 8,400 711,900 15,150 1,283,963
100 9,000 100 9,000 100 9,000
1,850 215,988 1,375 160,531 2,500 291,875
16,425 227,897 13,075 181,416 23,550 326,756
1,550 238,506 1,200 184,650 2,200 338,525
7,000 1,029,000 5,425 797,475 9,750 1,433,250
7,325 423,019 5,650 326,288 10,100 583,275
14,443 527,170 11,106 405,369 19,974 729,051
18,050 212,088 13,250 155,688 24,950 293,163
14,175 276,413 10,875 212,063 19,550 381,225
4,700 338,400 3,650 262,800 6,600 475,200
</TABLE>
91
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<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 $ 277,163 17,100 $ 831,488
Toyota Motor Corp ADR 2,000 103,000 6,000 309,000
------------ ------------
TOTAL JAPANESE STOCKS -
VALUE $ 1,702,303 $ 5,083,928
- COST $ 1,911,566 $ 5,635,859
WARRANTS
PERCENT OF NET ASSETS 0.00% 0.00%
Homestead Village Property
Corp
expires 10/29/1997* 1 $ 5 -- $ --
Morrison Knudsen Corp
expires 03/11/2003* 4 19 17 81
------------ ------------
TOTAL WARRANTS - VALUE $ 24 $ 81
- COST $ 22 $ 74
TOTAL COMMON STOCKS - VALUE $ 27,653,687 $ 77,912,154
- COST $ 22,935,306 $ 63,393,881
</TABLE>
92
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
33,000 $ 1,604,625 25,350 $ 1,232,644 45,700 $ 2,222,163
11,625 598,688 8,950 460,925 16,150 831,725
------------ ------------ ------------
$ 9,805,183 $ 7,536,169 $ 13,594,746
$ 10,874,769 $ 8,344,944 $ 15,093,264
0.00% 0.00% 0.00%
-- $ 4 1 $ 7 -- $ 4
27 128 25 119 42 200
------------ ------------ ------------
$ 132 $ 126 $ 204
$ 118 $ 114 $ 184
$157,238,119 $120,729,313 $227,769,266
$125,327,556 $ 95,037,375 $184,899,896
</TABLE>
93
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Pricipal Value Principal Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM GOVERNMENT
BONDS
PERCENT OF NET ASSETS 2.46% 5.39%
U.S. Treasury Bonds,
6.00% -- 12.00%, 11/15/09 -
11/15/26 $ 2,850,000 $ 3,237,450 $ 8,350,000 $ 9,134,869
TOTAL LONG-TERM GOVERNMENT
BONDS - VALUE $ 3,237,450 $ 9,134,869
- COST $ 3,318,775 $ 9,117,885
INTERMEDIATE-TERM GOVERNMENT
BONDS
PERCENT OF NET ASSETS 71.96% 45.41%
U.S. Treasury Notes,
4.75% -- 13.75%, 02/28/98 -
02/15/07 $91,300,000 $ 94,462,612 $74,250,000 $ 76,960,954
TOTAL INTERMEDIATE-TERM
GOVERNMENT BONDS - VALUE $ 94,462,612 $ 76,960,954
- COST $ 94,646,437 $ 76,985,146
</TABLE>
94
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Principal Value Principal Value Principal Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
11.65% 18.95% 9.75%
$26,400,000 $ 29,301,529 $ 26,440,000 $ 30,096,290 $22,300,000 $ 25,160,467
$ 29,301,529 $ 30,096,290 $ 25,160,467
$ 29,281,444 $ 30,048,623 $ 24,971,189
23.41% 3.54% 0.00%
$57,220,000 $ 58,834,536 $ 5,550,000 $ 5,614,934 $ -- $ --
$ 58,834,536 $ 5,614,934 $ --
$ 59,033,765 $ 5,659,676 $ --
</TABLE>
95
<PAGE>
LIFEPATH MASTER PORTFOLIOS FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------- ------------------------
Principal/ Principal/
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. TREASURY BILLS
PERCENT OF NET ASSETS 3.47% 2.70%
U.S. Treasury Bills,
4.83% -- 5.16%+,
03/06/97 - 05/29/97 $ 4,596,000 $ 4,554,168 $ 4,610,000 $ 4,578,237
TOTAL U.S. TREASURY
BILLS
-VALUE $ 4,554,168 $ 4,578,237
-COST $ 4,553,188 $ 4,576,648
CASH EQUIVALENTS
PERCENT OF NET ASSETS 3.03% 6.14%
American AAdvantage
Money Market Fund# -- $ -- 4,500,000 $ 4,500,000
Dreyfus Cash Management
Fund# 2,978,114 2,978,114 3,534,768 3,534,768
Janus Institutional
Money Market Fund# 1,000,000 1,000,000 2,372,202 2,372,202
------------- ------------
TOTAL CASH EQUIVALENTS
-VALUE $ 3,978,114 $ 10,406,970
-COST $ 3,978,114 $ 10,406,970
REPURCHASE AGREEMENTS
PERCENT OF NET ASSETS 11.43% 7.67%
Goldman Sachs Repurchase
Agreements#, dated
2/28/97, due 3/3/97,
with a maturity value
of $89,000,000 and an
effective yield of
4.85%, collateralized
by Federal National
Mortgage Association
obligations with rates
ranging from 6.08% to
7.44%, with maturity
dates ranging from
11/01/24 to 12/01/33
and with an aggregate
market value of
$90,780,000. $15,000,000 $ 15,000,000 $13,000,000 $ 13,000,000
------------- ------------
TOTAL INVESTMENT IN
SECURITIES
(NOTES 1 AND 3) -VALUE $ 148,886,031 191,993,185
-COST++ $ 144,431,820 177,480,530
------------- ------------
TOTAL INVESTMENT IN
SECURITIES 113.42% $ 148,886,031 113.28% $191,993,185
Other Assets and
Liabilities, Net (13.42) (17,613,033) (13.28) (22,482,265)
----------- ------------- ----------- ------------
TOTAL NET ASSETS 100.00% $ 131,272,998 100.00% $169,510,920
=========== ============= =========== ============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income earning securities.
# Represents collateral received from securities lending transaction (see Note
4 of the notes to financial statements).
** 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.
+ Yield to maturity.
++ Cost for federal income tax purposes is the same as for financial statement
purposes and net unrealized appreciation consists of:
<TABLE>
<S> <C> <C>
Gross Unrealized Appreciation $6,127,818 $16,816,291
Gross Unrealized Depreciation (1,673,607) (2,303,636)
---------- -----------
NET UNREALIZED APPRECIATION $4,454,211 $14,512,655
========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
96
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------- ------------------------
Principal/ Principal/ Principal/
Shares Value Shares Value Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2.03% 1.14% 1.77%
$ 5,140,000 $ 5,103,579 $ 1,832,000 $ 1,816,983 $ 4,598,000 $ 4,557,339**
$ 5,103,579 $ 1,816,983 $ 4,557,339
$ 5,102,624 $ 1,816,612 $ 4,556,339
3.87% 4.74% 5.21%
5,000,000 $ 5,000,000 6,000,000 $ 6,000,000 -- $ --
2,220,694 2,220,694 929,743 929,743 939,449 939,449
2,500,000 2,500,000 600,000 600,000 12,500,000 12,500,000
------------ ------------ ------------
$ 9,720,694 $ 7,529,743 $ 13,439,449
$ 9,720,694 $ 7,529,743 $ 13,439,449
10.74% 9.45% 7.36%
$27,000,000 $ 27,000,000 $ 15,000,000 $ 15,000,000 $19,000,000 $ 19,000,000
------------ ------------ ------------
$287,198,457 $180,787,263 $289,926,521
$255,466,083 $155,092,029 $246,866,873
------------ ------------ ------------
114.22% $287,198,457 113.85% $180,787,263 112.33% $289,926,521
(14.22) (35,755,824) (13.85) (21,982,430) (12.33) (31,841,793)
- ----------- ------------ ------------ ------------ ----------- ------------
100.00% $251,442,633 100.00% $158,804,833 100.00% $258,084,728
=========== ============ ============ ============ =========== ============
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
$35,923,519 $28,819,628 $48,572,629
(4,191,145) (3,124,394) (5,512,981)
----------- ----------- -----------
$31,732,374 $25,695,234 $43,059,648
=========== =========== ===========
</TABLE>
97
<PAGE>
STATEMENT OF ASSETS & LIABILITIES FEBRUARY 28, 1997
- --------------------
<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) $ 148,886,031 $ 191,993,185
Cash 21 0
RECEIVABLES:
Investments sold 40,704 75,745
Dividends and interest 1,560,839 1,147,149
TOTAL ASSETS 150,487,595 193,216,079
LIABILITIES
Payables:
Collateral for securities loaned (Note 4) 18,978,114 23,406,970
Due to BGI (Note 2) 236,483 298,189
Variation margin on Futures contracts (Note 1) 0 0
TOTAL LIABILITIES 19,214,597 23,705,159
TOTAL NET ASSETS $ 131,272,998 $ 169,510,920
INVESTMENTS AT COST $ 144,431,820 $ 177,480,530
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
98
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Master Master Master
Portfolio Portfolio Portfolio
- --------------------------------------------------------------
<S> <C> <C>
$ 287,198,457 $ 180,787,263 $ 289,926,521
774 776 671
148,118 117,025 197,303
1,244,750 701,780 837,294
288,592,099 181,606,844 290,961,789
36,720,694 22,529,743 32,439,449
428,772 272,268 435,512
0 0 2,100
37,149,466 22,802,011 32,877,061
$ 251,442,633 $ 158,804,833 $ 258,084,728
$ 255,466,083 $ 155,092,029 $ 246,866,873
- --------------------------------------------------------------
</TABLE>
99
<PAGE>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED FEBRUARY 28, 1997
- --------------------
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Master Portfolio Master Portfolio
- -------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 532,807 $ 1,373,301
Interest+ 5,925,997 4,566,510
TOTAL INVESTMENT INCOME 6,458,804 5,939,811
EXPENSES (NOTE 2)
Advisory fees 689,347 757,505
TOTAL EXPENSES 689,347 757,505
NET INVESTMENT INCOME 5,769,457 5,182,306
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 2,894,777 3,439,818
Net realized gain (loss) on sale of future
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments (273,099) 5,149,907
Net change in unrealized appreciation
(depreciation) of financial futures
contracts 0 0
NET GAIN (LOSS) ON INVESTMENTS 2,621,678 8,589,725
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $8,391,135 $13,772,031
- -------------------------------------------------------------------------------
+ Interest income includes security lending
income of: $ 4,735 $ 6,467
</TABLE>
The accompanying notes are an integral part of these financial statements.
100
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Master Portfolio Master Portfolio Master Portfolio
- ---------------------------------------------------------------------------------
<S> <C> <C>
$ 2,898,947 $ 2,192,763 $ 3,958,762
4,521,846 1,732,644 1,149,012
7,420,793 3,925,407 5,107,774
1,149,160 714,647 1,154,330
1,149,160 714,647 1,154,330
6,271,633 3,210,760 3,953,444
9,487,619 5,108,662 14,697,190
0 0 35,620
11,374,656 10,036,726 17,501,172
0 0 92,625
20,862,275 15,145,388 32,326,607
$27,133,908 $18,356,148 $36,280,051
- ---------------------------------------------------------------------------------
$ 11,570 $ 8,197 $ 13,791
</TABLE>
101
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------
<TABLE>
<CAPTION>
LifePath 2000 Master Portfolio
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Net investment income $ 5,769,457 $ 3,939,926
Net realized gain (loss) on sale of
investments 2,894,777 1,412,647
Net realized gain (loss) on sale of
futures contracts 0 27,030
Net change in unrealized appreciation
(depreciation) of investments (273,099) 4,707,324
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 8,391,135 10,086,927
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 6,204,037 44,956,678
INCREASE (DECREASE) IN NET ASSETS 14,595,172 55,043,605
NET ASSETS:
Beginning net assets 116,677,826 61,634,221
ENDING NET ASSETS $ 131,272,998 $ 116,677,826
- ---------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
102
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2010 Master Portfolio LifePath 2020 Master Portfolio
- ------------------------------------- --------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 5,182,306 $ 2,698,472 $ 6,271,633 $ 3,734,343
3,439,818 1,041,589 9,487,619 2,814,112
0 67,639 0 65,955
5,149,907 8,805,216 11,374,656 18,004,995
13,772,031 12,612,916 27,133,908 24,619,405
54,517,689 39,123,950 61,750,732 55,695,812
68,289,720 51,736,866 88,884,640 80,315,217
101,221,200 49,484,334 162,557,993 82,242,776
$ 169,510,920 $ 101,221,200 $ 251,442,633 $ 162,557,993
- ------------------------------------------------------------------------------
</TABLE>
103
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------
<TABLE>
<CAPTION>
LifePath 2030 Master Portfolio
-----------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ----------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Net investment income $ 3,210,760 $ 2,046,527
Net realized gain (loss) on investments 5,108,662 2,515,159
Net realized gain (loss) on sale of
futures contracts 0 47,954
Net change in unrealized appreciation
(depreciation) of investments 10,036,726 13,600,387
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 18,356,148 18,210,027
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 32,210,346 39,393,839
NET INCREASE (DECREASE) IN NET ASSETS 50,566,494 57,603,866
NET ASSETS:
Beginning net assets 108,238,339 50,634,473
ENDING NET ASSETS $ 158,804,833 $ 108,238,339
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
104
<PAGE>
- --------------------
<TABLE>
<CAPTION>
LifePath 2040 Master Portfolio
- -----------------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- -----------------------------------------------------
<S> <C>
$ 3,953,444 $ 2,303,138
14,697,190 4,521,411
35,620 169,434
17,501,172 (40,125)
92,625 22,384,421
36,280,051 29,338,279
45,783,771 80,123,105
82,063,822 109,461,384
176,020,906 66,559,522
$ 258,084,728 $ 176,020,906
- -----------------------------------------------------
</TABLE>
105
<PAGE>
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 (the "1940 Act"), as an open-end management investment
company. MIP was organized on October 21, 1993 as a Delaware business trust
pursuant to an Agreement and Declaration of Trust dated May 14, 1993 and had no
operations prior to May 26, 1994. MIP is currently authorized to issue fourteen
separate portfolios (the "Master Portfolios"), of which the following have com-
menced operations: the Asset Allocation, Bond Index, LifePath 2000, LifePath
2010, LifePath 2020, LifePath 2030, LifePath 2040, S&P 500 Index and U.S. Trea-
sury Allocation Master Portfolios. The financial statements for the Asset Allo-
cation, Bond Index, S&P 500 Index and U.S. Treasury Allocation Master Portfo-
lios are presented separately.
These Master Portfolios invest in a range of securities, generally including
money market instruments, equities and U.S. government securities. The follow-
ing 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 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 revenue and expenses during the reporting period. Ac-
tual results could differ from those estimates.
INVESTMENT POLICY AND SECURITY VALUATION
Each Master Portfolio covered by this report follows an asset allocation strat-
egy 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 reported
sale price on the primary securities exchange or national securities market on
which such securities are traded. Securities not listed on an exchange or na-
tional securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities maturing
in 60 days or less are valued at amortized cost, which approximates market val-
ue. Debt securities, other than those maturing in 60 days or less, are val-
106
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS
- --------------------
ued at the latest quoted bid price. Any securities, restricted securities or
other assets for which 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
Security transactions are accounted for on the date the securities are pur-
chased 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 the basis of identified cost of securities de-
livered. Bond discounts and premiums are amortized as required by the Internal
Revenue Code of 1986 (the "Code").
FEDERAL INCOME TAXES
Each Master Portfolio of MIP 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 realized 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 for purposes
of determining its federal income tax liability. 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 LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030, and LifePath
2040 Master Portfolios may purchase futures contracts to gain exposure to mar-
ket changes, as this may be more efficient or cost effective than actually buy-
ing 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 LifePath 2000, LifePath 2010,
LifePath 2020, LifePath 2030, and LifePath 2040 Master Portfolios are 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 Portfolios agree to re-
ceive from or pay to the broker an amount of cash equal to the daily fluctua-
tion in the value of the contract. Such receipts or payments are known as
"variation margin" and are re-
107
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS
- --------------------
corded by the Master Portfolios as unrealized gains or losses. When the con-
tract is closed, the Master Portfolios record a gain or loss equal to the dif-
ference 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 po-
sitions of the Securities and Exchange Commission, the Master Portfolios are
required to segregate cash, U.S. Government obligations or high quality, liq-
uid debt instruments in connection with futures transactions in an amount gen-
erally equal to the entire contract amount. Risks of entering into futures
contracts include the possibility that there may be an illiquid market and
that a change in the value of the contracts may not correlate with changes in
the value of the underlying securities. As of February 28, 1997, the following
Master Portfolio had open futures contracts outstanding:
<TABLE>
<CAPTION>
Notional Net
Number of Expiration Contract Unrealized
Master Portfolio Contracts Type Date Value Appreciation
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LifePath 2040 2 S&P 500 Index March, 1997 $790,400 $52,500
</TABLE>
The LifePath 2040 Master Portfolio has pledged to brokers U.S. Treasury bills
with a par value of $29,952 for initial margin requirements.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell such
securities at a specified price and time ("repurchase agreements") are treated
as collateralized financing transactions and are recorded at their contracted
resale amounts. These repurchase agreements, if any, are detailed in each Mas-
ter Portfolio's Portfolio of Investments. The adviser to the Master Portfolios
may pool each Master Portfolio's cash and invest in repurchase agreements en-
tered into by the other Master Portfolios. Each Master Portfolio's prospectus
requires that the cash investments be fully collateralized based on values
that are marked to market daily. The collateral is generally held by an agent
bank under a tri-party agreement. It is the adviser's responsibility to value
collateral daily and to obtain additional collateral as necessary to maintain
the value at equal to or greater than 102% of market value. The repurchase
agreements entered into on February 28, 1997 by the Master Portfolios are col-
lateralized by U.S. Government Securities.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the co-administrator, sponsor and distributor for
the Master Portfolios,
108
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS
- --------------------
has paid all expenses in connection with the Master Portfolios' organization
and initial registration.
2. AGREEMENTS AND OTHER TRANSACTION 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 0.55% of the average daily net assets of the
LifePath Master Portfolios as compensation for its advisory services to such
Master Portfolios. BGFA is an indirect subsidiary of Barclays Bank PLC.
Prior to October 21, 1996, Barclays Global Investors, N.A. ("BGI") served as
custodian to each of the LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, and LifePath 2040 Master Portfolios. BGI was not entitled to receive com-
pensation for its custodial services so long as BGFA was entitled to receive
fees for providing investment advisory services to the Master Portfolios.
Effective October 21, 1996, a new custody agreement was adopted pursuant to
which Investors Bank & Trust Company ("IBT") replaced BGI as custodian to each
Master Portfolio. IBT will not be entitled to receive fees for its custodial
services so long as it is entitled to receive a separate fee from BGI for its
services as Sub-Administrator of the Stagecoach Trust Funds.
Certain officers and directors of MIP are also officers of Stephens. As of Feb-
ruary 28, 1997, these officers of Stephens collectively owned less than 1% of
the Master Portfolios' outstanding shares of beneficial interests.
109
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS
- --------------------
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the year ended February 28, 1997 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 $143,805,287 $117,676,864 $122,107,643 $38,149,610 $ 40,373,298
Sales proceeds 114,891,342 68,912,344 70,168,690 16,559,886 16,040,414
Other Securities:
- ----------------------------------------------------------------------------------
Purchases at cost 12,340,570 45,189,919 75,547,736 50,588,878 106,431,656
Sales proceeds 14,644,207 29,422,445 55,684,993 38,027,275 83,819,734
</TABLE>
4. PORTFOLIO SECURITIES LOANED
As of February 28, 1997, certain Master Portfolios had loaned securities which
were collateralized by cash, money market mutual funds, and repurchase agree-
ments. Each Master Portfolio receives transaction fees for providing services
in connection with the securities lending program. The value of the securities
on loan and the value of the related collateral were as follows:
<TABLE>
<CAPTION>
Securities Collateral
- -------------------------------------------------------
<S> <C> <C>
LifePath 2000 Master Portfolio $18,423,174 $18,978,114
LifePath 2010 Master Portfolio $22,681,569 $23,406,970
LifePath 2020 Master Portfolio $35,546,661 $36,720,694
LifePath 2030 Master Portfolio $21,842,237 $22,529,743
LifePath 2040 Master Portfolio $31,275,995 $32,439,449
</TABLE>
110
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS
- --------------------
5. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
LifePath LifePath LifePath LifePath LifePath
2000 2010 2020 2030 2040
Master Master Master Master Master
Portfolio Turnover Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
For the Year Ended February
28, 1997 108% 73% 61% 42% 48%
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>
The average commission rates paid by the Master Portfolios are as follows:
<TABLE>
<CAPTION>
For the
Year Ended
February 28, 1997
- -------------------------------------------------
<S> <C>
LifePath 2000 Master Portfolio $0.0401
LifePath 2010 Master Portfolio 0.0404
LifePath 2020 Master Portfolio 0.0451
LifePath 2030 Master Portfolio 0.0364
LifePath 2040 Master Portfolio 0.0351
</TABLE>
111
<PAGE>
INDEPENDENT AUDITORS' REPORT
- --------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
MASTER INVESTMENT PORTFOLIO:
We have audited the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments, of Master Investment Portfolio (comprising,
respectively, LifePath 2000 Master Portfolio, LifePath 2010 Master Portfolio,
LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, and LifePath
2040 Master Portfolio) as of February 28, 1997, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the years in the two year period then ended and the financial high-
lights set forth in Note 5 for each of the years in the two year period then
ended. These financial statements and financial highlights are the responsibil-
ity of the Company's management. Our responsibility is to express an opinion on
these financial statements and financial highlights based on our audits. All
periods indicated in Note 5 ending prior to March 1, 1995, were audited by
other auditors whose report dated April 20, 1995, expressed an unqualified
opinion on this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 28, 1997, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned master portfolios of Master Investment Portfolio as of
February 28, 1997, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated herein, except
as noted above, in conformity with generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 11, 1997
112
<PAGE>
NOTES
-----
<PAGE>
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 accompa-
nied or preceded by a current prospectus. For an additional prospectus contain-
ing more complete information, including charges and expenses, call 1-800-222-
8222. Read the prospectus carefully before you invest or send money.
SCF 043 (4/97) Bulk Rate U.S. Postage PAID Hudson, MA
Permit No. 19
STAGECOACH FUNDS(R)
P.O. Box 7066
San Francisco, CA 94120-7066
DATED MATERIAL
PLEASE EXPEDITE
[LOGO OF RECYCLED PAPER APPEARS HERE]
<PAGE>
(LOGO)
STAGECOACH LIFEPATH(R) FUNDS
INSTITUTIONAL CLASS
---------------------------------
ANNUAL REPORT
---------------------------------
LIFEPATH 2000(R)
LIFEPATH 2010(R)
LIFEPATH 2020(R)
LIFEPATH 2030(R)
LIFEPATH 2040(R)
FEBRUARY 28, 1997
ADVISED BY BARCLAYS GLOBAL FUND ADVISORS
SPONSORED AND DISTRIBUTED BY STEPHENS INC.,
MEMBER NYSE/SIPC
NOT FDIC INSURED
LIFEPATH(TM) FUNDS ANNUAL REPORT
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
Letter to Shareholders...................................................... 1
Investment Adviser Discussion............................................... 2
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
Independent Auditors' Report................................................ 26
MASTER INVESTMENT PORTFOLIO
PORTFOLIOS OF INVESTMENTS
LifePath Master Portfolios.................................................. 28
MASTER INVESTMENT PORTFOLIO
Statement of Assets and Liabilities......................................... 104
Statement of Operations..................................................... 106
Statements of Changes in Net Assets......................................... 108
Notes to the Financial Statements........................................... 112
Independent Auditors' Report................................................ 118
</TABLE>
STAGECOACH FUNDS:
---------------------------------------------------
. are NOT FDIC insured
. are NOT obligations of Wells
Fargo Bank or Barclays Global
Investors, N.A. ("BGI")
. are NOT guaranteed by the Bank
or BGI
. involve investment risk,
including possible loss of
principal
---------------
i
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
<PAGE>
TO OUR SHAREHOLDERS:
It has been another banner year ending February 28, 1997 for the domestic
equity markets. The recent rally in the equity markets was possibly one of the
longest sustained rallies in history and it remains to be seen whether the
markets can continue to rally during the current year. The domestic markets as
a whole had some rough spots, with the bond markets starting the year slowly,
but by the year-end most markets had posted gains.
. The U.S. stock market again led the way, posting remarkable returns. As
measured by the Standard and Poor's 500 Index, the U.S. Stock Market
returned 26.16%.
. The U.S. money market, as measured by 91-day U.S. Treasury bills,
returned 5.38%.
. The U.S. bond market, as measured by the Lehman Brothers Aggregate Bond
Index, returned 4.83%.
. Foreign stock markets, as measured by the Morgan Stanley Capital
International Europe/Australasia/Far East Index (MSCI/EAFE), returned
3.25%.
As we close the book on another year of fluctuating returns, investors should
remember the long term investment objectives. While one sector may look more
appealing than others due to the past year's performance, past performance is
no indication of future returns. Stick with your long-term objectives if they
continue to be appropriate. If your needs have changed then reallocate as is
necessary. Remember, successful investors stay focused on their personal
financial goals and do not change their investment plan solely on the basis of
short-term market swings.
The Stagecoach LifePath Funds are conceived and managed to be a straight-
forward and cost-effective way to manage your long-term investment goals. We
hope we have been able to fulfill your expectations and that we will continue
to do so in the future. We appreciate your trust and look forward to helping
you manage your investment goals.
Shareholders should note that the Stagecoach Trust Institutional Class shares
are closed to further subscriptions and do not allow reinvestment of dividends.
The LifePath Funds of MasterWorks Funds Inc., another open-end investment
company, invest in the same underlying Master Portfolios as the Stagecoach
Trust LifePath Funds. Information regarding additional investment options may
be obtained by calling 1-800-643-9691.
STAGECOACH FUNDS APRIL 1997
1
<PAGE>
INVESTMENT ADVISER DISCUSSION
HOW HAVE THE FUNDS PERFORMED FOR THE YEAR ENDED FEBRUARY 28, 1997 IN TERMS OF
THEIR OVERALL STRATEGY OF RETURN GROWTH VERSUS PRICE STABILITY?
According to the risk/return objective associated with the LifePath Funds, the
potential returns are related to the risk an investor is willing to accept and
stability in price they require. Thus, with the equity markets continuing to
soar in 1996 the Fund that is most heavily weighted in equity securities had
the greatest return (i.e. LifePath 2040 Fund). The Funds generally have been
performing in the manner they have been designed, which is to seek to offer
greater stability in price and lower risk for shorter-term horizons while
offering higher potential returns at a higher potential risk for longer-term
horizons. Over the past year the Funds have consistently outperformed their
internally calculated benchmarks.
<TABLE>
Average Annual
PERFORMANCE AS OF 2/28/97 Total Return
- --------------------------------------------------------------------------------
Life of Fund
One Year (3/1/94-2/28/97)
-------- ----------------
<S> <C> <C>
LifePath 2000 7.23% 7.51%
LifePath 2010 11.89% 11.52%
LifePath 2020 15.14% 13.98%
LifePath 2030 18.13% 16.11%
LifePath 2040 19.89% 17.86%
</TABLE>
Average annual total return for the indicated periods represents the average
annual increase in value of an investment over the indicated periods assuming
reinvestment of dividends and capital gain distributions at net asset value.
The Funds currently do not allow reinvestment of dividends and capital gain
distributions and the total return on Fund shares assuming no reinvestment of
dividends and capital gain distributions may be less than the amount shown
above. Past performance is not predictive of future results. The investment re-
turn and principal value of shares of the Fund will fluctuate with market con-
ditions so that shares of the Fund, when redeemed, may be worth more or less
than their original cost.
ARE THERE ANY PLANS OF ENHANCING OR CHANGING ANY OF THE ASSET MIXES OVER THE
COMING YEAR?
As each LifePath Fund approaches its target date the assets in its portfolio
will gradually switch to a more price stable lower risk profile. Thus, each
Fund tends to invest a greater percentage of its portfolio in bonds and money
market securities as it approaches its respective target date.
2
<PAGE>
INVESTMENT ADVISER DISCUSSION
THE LIFEPATH FUNDS EMPLOY BOTH TACTICAL AND STRATEGIC ASSET ALLOCATION
TECHNIQUES. CAN YOU EXPLAIN THOSE TERMS? WHICH IS THE DOMINANT APPROACH?
LifePath Funds have two general techniques that they employ when investing
assets in their portfolios. The Strategic portion refers to the investment
approach of taking into account the different target dates for each of the
Funds. The strategy in general, moves away from the more risky classes (i.e.
domestic and international equity) and more into bonds and money market
instruments for a more stable price as the target date approaches. This portion
makes up approximately 75% of the overall investment strategy. The other
portion is the Tactical side which incorporates a 100/0/0 Tactical Asset
Allocation model (stocks/bonds/cash) with a Tactical Bond Allocation model
(bonds/notes/bills). The Tactical Bond portion in turn makes up approximately
25% of the bond portion of the 100/0/0 Tactical Asset Allocation model. These
models take into account the different market indicators and financial data and
allocates the different classes accordingly.
THE EQUITY SECURITIES IN THE FUNDS' PORTFOLIOS CONSIST OF VALUE AND GROWTH
SECURITIES. WHAT DOES THIS MEAN? IS ONE CATEGORY FAVORED OVER THE OTHER BASED
ON THE BUSINESS CYCLE?
Companies considered to be "growth" stocks are usually in the growth part of
their business cycle where their primary goal is capital appreciation. These
companies usually reinvest most of their earnings for expansion, research or
development. In turn, "value" stocks tend to be associated with companies in a
more mature phase of their business cycle, paying substantial dividends, and
having lower PE ratios. They also tend to trade more at their book values.
These are considered less risky, but also have a lower expected return as
opposed to growth stocks which are inclined to have higher expectations for
return but at a higher risk. In regards to the LifePath Funds, they have a
relatively neutral stance on growth and value stocks, except for LifePath 2040
which is tilted slightly toward growth. Thus, there is no active consideration
of favoring one over the other.
CAN YOU ILLUSTRATE HOW TACTICAL ASSET ALLOCATION WAS EMPLOYED IN THE MODELS
LAST YEAR?
Beginning the year, the Tactical Asset Allocation portion of the Funds' model
was allocated heavily in stocks (100/0/0; stocks/bonds/cash). As
the year progressed, however, the Funds' optimal model of risk versus return
indicated that the spread of expected return between classes
3
<PAGE>
was lessening. If expected returns spread between stocks and bonds is closer it
makes investing in bonds more attractive as they generally are associated with
less risk. The Funds therefore, increased their weight in bonds and changed the
allocation to 70/30/0 and are currently invested at 60/40/0. As for the
Tactical bonds portion, the allocation progressed from 0/100/0
(bonds/notes/bills) to its current position of 0/80/20. This was because of
expectations that the Federal Reserve would be raising interest rates. The
longer-term bonds are subject to more interest rate risk thus making it more
advantageous for shorter-term notes and bills.
4
<PAGE>
INVESTMENT ADVISER DISCUSSION
ASSET CLASS MIX
AS OF 2/28/97
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
LIFEPATH LIFEPATH LIFEPATH LIFEPATH LIFEPATH
STOCKS 2000 2010 2020 2030 2040
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Large Capitalization--
Value 3.10% 13.73% 19.63% 23.46% 26.24%
- ----------------------------------------------------------------------------
Large Capitalization--
Growth 3.28 13.98 19.95 24.38 32.56
- ----------------------------------------------------------------------------
Medium Capitalization--
Value 3.67 3.38 4.01 4.67 5.40
- ----------------------------------------------------------------------------
Medium Capitalization--
Growth 2.70 2.66 3.13 3.75 4.31
- ----------------------------------------------------------------------------
Small Capitalization--
Value 0.13 0.09 0.15 0.16 0.16
- ----------------------------------------------------------------------------
Small Capitalization--
Growth 0.44 0.30 0.49 0.53 0.50
- ----------------------------------------------------------------------------
Micro Capitalization 0.24 0.34 0.49 0.61 0.62
- ----------------------------------------------------------------------------
Utilities 0.61 0.41 0.45 0.53 0.30
- ----------------------------------------------------------------------------
Japan 1.29 2.96 3.86 4.67 5.18
- ----------------------------------------------------------------------------
International (except
Japan) 5.78 8.20 11.21 13.45 14.20
- ----------------------------------------------------------------------------
BONDS
- ----------------------------------------------------------------------------
Long-Term Government 2.48 5.33 11.53 19.23 9.65
- ----------------------------------------------------------------------------
Long-Term Corporate 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------
Intermediate-Term
Government 72.58 45.77 23.37 3.51 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 MARKET
- ----------------------------------------------------------------------------
U.S. Treasury Bills 3.70 2.85 1.73 1.05 0.88
- ----------------------------------------------------------------------------
TOTAL 100.00 100.00 100.00 100.00 100.00
- ----------------------------------------------------------------------------
</TABLE>
Any differences between the percentages above and the percentages in the Port-
folios of Investments are due to unsettled trades and allocations to large cap
stocks through S&P 500 futures contracts.
5
<PAGE>
GROWTH OF A $10,000 INVESTMENT
The SEC requires mutual funds to provide a line graph comparing fund
performance with an appropriate broad-based index. These charts show the
performance of the Stagecoach LifePath Funds--Institutional Class since
inception compared with the S&P 500 Index and the Lipper Balanced Fund Index.
The charts each assume a hypothetical $10,000 initial investment in each fund,
reinvestment of dividends and capital gain distributions at net asset value,
and reflect all Fund expenses. The Funds currently do not allow reinvestment of
dividends and capital gain distributions and the total return on Fund shares
assuming no reinvestment of dividends and capital gain distributions may be
less than the amount shown below. Past performance is not predictive of future
results. The S&P 500 Index is an unmanaged index of stocks comprised of 500
industrial, financial, utility and transportation companies, "Standard &
Poor's(R)", "Standard & Poor's 500", and "500" are trademarks of McGraw-Hill,
Inc. The Lipper Balanced Fund Index is a net asset value weighted index of the
30 largest balanced funds tracked by Lipper Analytical Services; performance is
net of all fees and expenses except for sales charges. Investors should note
that each Fund is a professionally managed mutual fund while the S&P 500 Index
and the Lipper Balanced Fund Index are unmanaged indices, do not incur expenses
and are not available directly for investment. If operating expenses such as
the Funds' had been applied to the indices, the indices' comparative
performance would have been lower.
[LINE GRAPH APPEARS HERE]
LifePath 2000 Institutional
<TABLE>
<CAPTION>
Lipper Balanced S&P 500 Index LifePath 2000
<S> <C> <C> <C>
10,000 10,000 10,000
Mar-94 9,637 9,564 9,855
Jun-94 9,561 9,606 9,763
Sept-94 9,854 10,095 9,879
Dec-94 9,745 10,093 9,826
Mar-95 10,349 11,067 10,339
Jun-95 11,049 12,022 10,873
Sept-95 11,586 12,817 11,147
Dec-95 12,033 13,419 11,463
Mar-96 12,257 13,956 11,490
Jun-96 12,460 14,405 11,590
Sept-96 12,722 14,714 11,761
Dec-96 13,279 15,548 12,040
Feb-97 13,623 16,256 12,138
</TABLE>
[LINE GRAPH APPEARS HERE]
LifePath 2010 Institutional
<TABLE>
<CAPTION>
Lipper Balanced S&P 500 Index LifePath 2010
<S> <C> <C> <C>
10,000 10,000 10,000
Mar-94 9,637 9,564 9,838
Jun-94 9,561 9,606 9,759
Sept-94 9,854 10,095 9,902
Dec-94 9,745 10,093 9,849
Mar-95 10,349 11,067 10,533
Jun-95 11,049 12,022 11,234
Sept-95 11,586 12,817 11,661
Dec-95 12,033 13,419 12,062
Mar-96 12,257 13,956 12,237
Jun-96 12,460 14,405 12,404
Sept-96 12,722 14,714 12,589
Dec-96 13,279 15,548 12,993
Feb-97 13,623 16,256 13,227
</TABLE>
6
<PAGE>
INVESTMENT ADVISER DISCUSSION
[LINE GRAPH APPEARS HERE]
LifePath 2020 Institutional
<TABLE>
<CAPTION>
Lipper Balanced S&P 500 Index LifePath 2020
<S> <C> <C> <C>
10,000 10,000 10,000
Mar-94 9,637 9,564 9,810
Jun-94 9,561 9,606 9,750
Sep-94 9,854 10,095 9,918
Dec-94 9,745 10,093 9,876
Mar-95 10,349 11,067 10,647
Jun-95 11,049 12,022 11,433
Sep-95 11,586 12,817 11,943
Dec-95 12,033 13,419 12,385
Mar-96 12,257 13,956 12,637
Jun-96 12,460 14,405 12,892
Sep-96 12,722 14,714 13,092
Dec-96 13,279 15,548 13,625
Feb-97 13,623 16,256 13,934
</TABLE>
[LINE GRAPH APPEARS HERE]
LifePath 2030 Institutional
<TABLE>
<CAPTION>
Lipper Balanced S&P 500 Index LifePath 2030
<S> <C> <C> <C>
10,000 10,000 10,000
Mar-94 9,637 9,564 9,711
Jun-94 9,561 9,606 9,607
Sep-94 9,854 10,095 9,885
Dec-94 9,745 10,093 9,864
Mar-95 10,349 11,067 10,701
Jun-95 11,049 12,022 11,595
Sep-95 11,586 12,817 12,165
Dec-95 12,033 13,419 12,675
Mar-96 12,257 13,956 12,965
Jun-96 12,460 14,405 13,262
Sep-96 12,722 14,714 13,486
Dec-96 13,279 15,548 14,122
Feb-97 13,623 16,256 14,561
</TABLE>
[LINE GRAPH APPEARS HERE]
LifePath 2040 Institutional
<TABLE>
<CAPTION>
Lipper Balanced S&P 500 Index LifePath 2040
<S> <C> <C> <C>
10,000 10,000 10,000
Mar-94 9,637 9,564 9,652
Jun-94 9,561 9,606 9,620
Sep-94 9,854 10,095 9,990
Dec-94 9,745 10,093 9,968
Mar-95 10,349 11,067 10,846
Jun-95 11,049 12,022 11,742
Sep-95 11,586 12,817 12,390
Dec-95 12,033 13,419 12,891
Mar-96 12,257 13,956 13,305
Jun-96 12,460 14,405 13,657
Sep-96 12,722 14,714 13,904
Dec-96 13,279 15,548 14,537
Feb-97 13,623 16,256 14,989
</TABLE>
These Funds are organized as "feeder" funds in a "master-feeder" structure.
Instead of investing directly in the individual portfolio securities, the
"feeder" fund, which is offered to the public, holds interests in the net
assets of the Master Portfolio that, in turn, invests in individual securities.
References to the Fund are to the feeder fund or the Master Portfolio, as the
context requires. The Master Portfolio is advised by BGFA.
7
<PAGE>
STATEMENT OF ASSETS & LIABILITIES
FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Fund Fund
- --------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
INVESTMENTS:
In corresponding Master Portfolio, at market value
(Note 1) $ 84,826,949 $ 82,407,446
RECEIVABLES:
Fund shares sold 401,165 909,580
TOTAL ASSETS 85,228,114 83,317,026
LIABILITIES
PAYABLES:
Due to sponsor and distributor 74,443 67,604
Due to WFB (Note 2) 47,487 23,702
Capital shares redeemed 145,077 206,451
TOTAL LIABILITIES 267,007 297,757
TOTAL NET ASSETS $ 84,961,107 $ 83,019,269
NET ASSETS CONSIST OF:
Paid-in capital $ 79,345,674 $ 70,720,524
Undistributed net investment income 558,575 507,952
Undistributed net realized gains on investments 1,295,655 1,751,771
Net unrealized appreciation of investments 3,761,203 10,039,022
TOTAL NET ASSETS $ 84,961,107 $ 83,019,269
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER
SHARE
Net Assets - Retail class $ 84,948,686 $ 82,970,657
Shares outstanding - Retail class 7,934,090 6,801,286
Net asset value and offering price per share - Retail
class $ 10.71 $ 12.20
Net Assets - Institutional class $ 12,422 $ 48,612
Shares outstanding - Institutional class 1,269 4,443
Net asset value and offering price per share -
Institutional class $ 9.79 $ 10.94
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
STATEMENT OF ASSETS & LIABILITIES--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
- --------------------------------------------------------
<S> <C> <C>
$ 146,243,012 $100,672,759 $ 188,629,384
624,760 673,460 1,326,211
146,867,772 101,346,219 189,955,595
107,429 74,409 126,703
62,640 47,768 118,954
402,960 104,585 130,013
573,029 226,762 375,670
$ 146,294,743 $101,119,457 $ 189,579,925
$ 117,438,148 $ 77,761,749 $ 146,066,846
504,941 239,292 278,583
4,116,111 2,429,299 6,273,556
24,235,543 20,689,117 36,960,940
$ 146,294,743 $101,119,457 $ 189,579,925
$ 146,225,793 $101,078,492 $ 189,559,520
11,263,827 7,306,805 13,073,372
$ 12.98 $ 13.83 $ 14.50
$ 68,950 $ 40,966 $ 20,405
5,615 2,990 1,464
$ 12.28 $ 13.70 $ 13.94
- -------------------------------------------------------------------------------------------
</TABLE>
9
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Fund Fund
- ----------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME ALLOCATED FROM MASTER
PORTFOLIO
Dividends $ 394,274 $ 817,715
Interest 4,344,855 2,533,708
Expenses (506,433) (420,477)
NET INVESTMENT INCOME ALLOCATED FROM MASTER
PORTFOLIO 4,232,696 2,930,946
EXPENSES (NOTE 2)
Administration fee 92,243 81,180
Shareholder servicing fees 184,488 150,749
Transfer agency fees 92,243 75,374
Distribution costs - Retail Class 226,871 185,565
TOTAL EXPENSES 595,845 492,868
NET INVESTMENT INCOME 3,636,851 2,438,078
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS ALLOCATED FROM MASTER PORTFOLIO
Net realized gain (loss) on sale of investments 2,732,074 2,784,852
Net change in unrealized appreciation
(depreciation) of investments (959,715) 704,734
NET GAIN (LOSS) ON INVESTMENTS 1,772,359 3,489,586
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 5,409,210 $ 5,927,664
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
- -------------------------------------------------------------
<S> <C> <C>
$ 1,874,322 $ 1,534,532 $ 3,087,936
2,898,781 1,203,319 890,450
(738,763) (497,662) (898,217)
4,034,340 2,240,189 3,080,169
135,162 89,938 164,384
270,324 179,876 328,770
135,162 89,938 164,385
328,345 222,802 402,732
868,993 582,554 1,060,271
3,165,347 1,657,635 2,019,898
8,285,130 4,461,859 13,884,725
3,932,094 5,090,075 11,621,464
12,217,224 9,551,934 25,506,189
$ 15,382,571 $ 11,209,569 $ 27,526,087
- --------------------------------------------------------------------------------
</TABLE>
11
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 3,636,851 $ 3,419,395
Net realized gain (loss) on sale of
investments 2,732,074 1,439,626
Net change in unrealized appreciation
(depreciation) of investments (959,715) 4,675,607
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 5,409,210 9,534,628
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Retail class (3,756,712) (2,759,078)
Institutional class (570) (453,332)
From net realized gain from sale of
investments
Retail class (1,721,568) (1,047,308)
Institutional class (48,077) (173,730)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Retail
class 37,948,187 70,169,401
Reinvestment of dividends - Retail
class 5,135,618 3,617,931
Cost of shares redeemed - Retail class (58,589,767) (32,730,053)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - RETAIL CLASS (15,505,962) 41,057,279
Proceeds from shares sold -
Institutional class 1,267,997 13,750,541
Reinvestment of dividends -
Institutional class 208,022 627,061
Cost of shares redeemed - Institutional
class (18,222,796) (5,320,639)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - INSTITUTIONAL CLASS (16,746,777) 9,056,963
INCREASE (DECREASE) IN NET ASSETS (32,370,456) 55,215,422
NET ASSETS:
Beginning net assets 117,331,563 62,116,141
ENDING NET ASSETS $ 84,961,107 $ 117,331,563
SHARES ISSUED AND REDEEMED:
Shares sold - Retail class 3,580,908 6,695,893
Shares issued in reinvestment of
dividends - Retail class 486,593 347,286
Shares redeemed - Retail class (5,539,884) (3,139,915)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING -RETAIL CLASS (1,472,383) 3,903,264
Shares sold - Institutional class 119,465 1,310,755
Shares issued in reinvestment of
dividends -
Institutional class 19,942 59,945
Shares redeemed - Institutional class (1,755,819) (507,478)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING -INSTITUTIONAL CLASS (1,616,412) 863,222
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2010 Fund LifePath 2020 Fund
- ------------------------------------ ------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- --------------------------------------------------------------------------
<S> <C> <C> <C>
$ 2,438,078 $ 2,283,688 $ 3,165,347 $ 3,016,694
2,784,852 1,104,963 8,285,130 2,879,775
704,734 8,769,343 3,932,094 17,940,046
5,927,664 12,157,994 15,382,571 23,836,515
(2,393,878) (1,441,405) (3,234,978) (2,215,468)
(1,673) (690,971) (1,862) (641,133)
(999,794) (722,105) (4,457,911) (1,971,461)
(138,908) (360,652) (97,440) (553,722)
34,070,450 37,481,337 52,706,149 64,078,009
3,206,892 2,136,750 3,353,041 4,137,056
(26,504,856) (15,292,452) (43,292,145) (26,156,416)
10,772,486 24,325,635 12,767,045 42,058,649
2,529,219 25,592,865 1,484,241 27,673,486
289,983 1,051,620 349,700 1,194,854
(34,601,841) (8,068,526) (38,954,344) (8,977,511)
(31,782,639) 18,575,959 (37,120,403) 19,890,829
(18,616,742) 51,844,455 (16,762,978) 80,404,209
101,636,011 49,791,556 163,057,721 82,653,512
$ 83,019,269 $ 101,636,011 $ 146,294,743 $ 163,057,721
2,915,095 3,419,301 4,270,394 5,680,695
275,092 195,828 275,620 362,399
(2,272,271) (1,410,750) (3,506,234) (2,313,057)
917,916 2,204,379 1,039,780 3,730,037
221,309 2,346,284 124,129 2,446,685
25,767 95,504 29,678 104,547
(3,246,296) (737,665) (3,533,425) (800,489)
(2,999,220) 1,704,123 (3,379,618) 1,750,743
- --------------------------------------------------------------------------------
</TABLE>
13
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2030 Fund
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 1,657,635 $ 1,572,222
Net realized gain (loss) on sale of
investments 4,461,859 2,562,661
Net change in unrealized appreciation
(depreciation) of investments 5,090,075 13,548,933
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 11,209,569 17,683,816
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Retail class (1,710,475) (1,155,658)
Institutional class (5,645) (341,075)
From net realized gain from sale of
investments
Retail class (2,265,932) (1,623,091)
Institutional class (61,335) (461,729)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Retail
class 30,971,697 41,344,184
Reinvestment of dividends - Retail
class 3,826,842 2,763,089
Cost of shares redeemed - Retail class (27,148,781) (13,327,263)
NET INCREASE (DECREASE) IN NET SHARES
OUTSTANDING -RETAIL CLASS 7,649,758 30,780,010
Proceeds from shares sold -
Institutional class 1,939,792 17,149,303
Reinvestment of dividends -
Institutional class 188,977 802,805
Cost of shares redeemed - Institutional
class (24,283,479) (5,211,092)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS - INSTITUTIONAL CLASS (22,154,710) 12,741,016
INCREASE (DECREASE) IN NET ASSETS (7,338,770) 57,623,289
NET ASSETS:
Beginning net assets 108,458,227 50,834,938
ENDING NET ASSETS $ 101,119,457 $ 108,458,227
SHARES ISSUED AND REDEEMED:
Shares sold - Retail class 2,403,224 3,605,187
Shares issued in reinvestment of
dividends - Retail class 296,195 235,448
Shares redeemed - Retail class (2,120,516) (1,157,351)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING -RETAIL CLASS 578,903 2,683,284
Shares sold - Institutional class 156,936 1,489,943
Shares issued in reinvestment of
dividends -
Institutional class 15,512 68,155
Shares redeemed - Institutional class (2,227,326) (450,828)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - INSTITUTIONAL CLASS (2,054,878) 1,107,270
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2040 Fund
- ----------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ----------------------------------------
<S> <C>
$ 2,019,898 $ 1,584,491
13,884,725 4,689,987
11,621,464 22,210,329
27,526,087 28,484,807
(2,045,803) (1,207,755)
(338) (284,559)
(7,609,699) (3,228,065)
(797,501) (704,661)
76,803,382 94,087,204
2,589,866 4,438,069
(52,840,894) (31,629,443)
26,552,354 66,895,830
1,917,732 27,615,270
248,730 989,218
(32,335,375) (9,148,939)
(30,168,913) 19,455,549
13,456,187 109,411,146
176,123,738 66,712,592
$ 189,579,925 $ 176,123,738
5,678,582 7,936,980
196,508 363,610
(3,916,082) (2,657,939)
1,959,008 5,642,651
148,636 2,317,045
19,679 80,888
(2,763,338) (763,114)
(2,595,023) 1,634,819
- --------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2000 Fund
-----------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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 1.29 0.42 0.42 0.40 0.35 0.34
Net realized and
unrealized gain (loss)
on investments (0.60) 0.28 0.86 0.86 (0.12) (0.14)
TOTAL FROM INVESTMENT
OPERATIONS 0.69 0.70 1.28 1.26 0.23 0.20
LESS DISTRIBUTIONS:
From net investment
income (1.36) (0.42) (0.42) (0.41) (0.28) (0.27)
From net realized
capital gains (0.21) (0.21) (0.13) (0.13) (0.01) (0.01)
TOTAL FROM DISTRIBUTIONS (1.57) (0.63) (0.55) (0.54) (0.29) (0.28)
NET ASSET VALUE, END OF
PERIOD $ 9.79 $ 10.71 $ 10.67 $ 10.64 $ 9.94 $ 9.92
TOTAL RETURN (NOT
ANNUALIZED) 7.23% 6.74% 13.19% 12.98% 2.38% 2.10%
RATIOS/SUPPLEMENTAL
DATA:
Net assets, end of
period (000) $ 12 $84,949 $17,262 $100,070 $7,499 $54,617
Number of shares
outstanding, end of
period (000) 1 7,934 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 4.17% 3.93% 4.23% 4.00% 4.89% 4.62%
- --------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio.
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LifePath 2010 Fund
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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
1.57 0.34 0.34 0.32 0.33 0.34
(0.36) 0.95 1.60 1.58 0.01 (0.02)
1.21 1.29 1.94 1.90 0.34 0.32
(1.57) (0.34) (0.35) (0.33) (0.27) (0.28)
(0.17) (0.17) (0.14) (0.14) (0.05) (0.05)
(1.74) (0.51) (0.49) (0.47) (0.32) (0.33)
$10.94 $ 12.20 $ 11.47 $ 11.42 $ 10.02 $ 9.99
11.89% 11.60% 19.69% 19.40% 3.53% 3.31%
$ 49 $82,971 $34,458 $67,178 $13,028 $36,764
4 6,801 3,004 5,883 1,300 3,679
0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
3.41% 3.16% 3.27% 3.06% 4.61% 4.40%
- --------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2020 Fund
------------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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 0.96 0.27 0.29 0.27 0.30 0.28
Net realized and
unrealized gain on
investments 0.72 1.43 2.03 2.03 0.12 0.12
TOTAL FROM INVESTMENT
OPERATIONS 1.68 1.70 2.32 2.30 0.42 0.40
LESS DISTRIBUTIONS:
From net investment
income (0.96) (0.28) (0.30) (0.28) (0.25) (0.23)
From net realized
capital gains (0.42) (0.42) (0.21) (0.21) 0.00 0.00
TOTAL FROM DISTRIBUTIONS (1.38) (0.70) (0.51) (0.49) (0.25) (0.23)
NET ASSET VALUE, END OF
PERIOD $12.28 $ 12.98 $ 11.98 $ 11.98 $ 10.17 $ 10.17
TOTAL RETURN (NOT
ANNUALIZED) 15.14% 14.65% 23.18% 22.94% 4.39% 4.12%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000) $ 69 $146,226 $40,570 $122,488 $16,618 $66,036
Number of shares
outstanding, end of
period (000) 6 11,264 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 2.57% 2.33% 2.68% 2.45% 3.88% 3.64%
- ----------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio.
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LifePath 2030 Fund
- -----------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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
0.49 0.22 0.23 0.21 0.29 0.26
1.66 1.83 2.47 2.45 0.14 0.13
2.15 2.05 2.70 2.66 0.43 0.39
(0.49) (0.23) (0.24) (0.22) (0.25) (0.22)
(0.33) (0.33) (0.27) (0.27) 0.00 0.00
(0.82) (0.56) (0.51) (0.49) (0.25) (0.22)
$13.70 $ 13.83 $ 12.37 $ 12.34 $10.18 $ 10.17
18.13% 17.01% 26.88% 26.53% 4.42% 4.03%
$ 41 $101,078 $25,447 $83,012 $9,682 $41,153
3 7,307 2,058 6,728 951 4,045
0.95% 1.20% 0.95% 1.20% 0.95% 1.20%
2.06% 1.81% 2.15% 1.92% 3.59% 3.35%
- --------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
LifePath 2040 Fund
------------------------------------------------------------------------
Year Ended Year Ended Year Ended
Feb. 28, 1997 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 0.63 0.16 0.17 0.15 0.20 0.18
Net realized and
unrealized gain on
investments 1.78 2.35 2.84 2.82 0.34 0.34
TOTAL FROM INVESTMENT
OPERATIONS 2.41 2.51 3.01 2.97 0.54 0.52
LESS DISTRIBUTIONS:
From net investment
income (0.64) (0.16) (0.18) (0.16) (0.17) (0.15)
From net realized
capital gains (0.69) (0.69) (0.34) (0.34) 0 0
TOTAL FROM DISTRIBUTIONS (1.33) (0.85) (0.52) (0.50) (0.17) (0.15)
NET ASSET VALUE, END OF
PERIOD $13.94 $ 14.50 $ 12.86 $ 12.84 $10.37 $ 10.37
TOTAL RETURN (NOT
ANNUALIZED) 19.89% 20.17% 29.32% 28.91% 5.55% 5.26%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000) $ 20 $189,560 $33,386 $142,738 $9,976 $56,737
Number of shares
outstanding, end of
period (000) 1 13,073 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 1.47% 1.22% 1.53% 1.29% 2.61% 2.35%
- ---------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio.
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
STAGECOACH TRUST
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: 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 investment in its corresponding Master Portfolio reflects
that Fund's interest in the net
21
<PAGE>
STAGECOACH TRUST
NOTES TO THE FINANCIAL STATEMENTS
assets of that Master Portfolio (64.62%, 48.61%, 58.16%, 63.39%, and 73.09%)
for the LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath
2040 Funds, respectively, at February 28, 1997. 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 investing 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 reported 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 was no last reported sales
price, 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 market quotations are not readily available are valued at fair
value as determined in good faith in accordance with policies approved by the
Master Portfolios' Board of Trustees.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security 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 as required by the Code.
The performance of each Fund is directly affected by the performance of its
corresponding Master Portfolio. The financial statements of each Master
Portfolio, including the Portfolio of Investments, are included elsewhere in
this report and should be read in conjunction with the corresponding Fund's
financial statements.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Each Fund declares and pays dividends to shareholders from net investment
income quarterly. Distributions to shareholders from any net realized capital
gains are declared and distributed annually, generally in December.
22
<PAGE>
STAGECOACH TRUST
NOTES TO THE FINANCIAL STATEMENTS
Due to the timing of dividend distributions and the differences in accounting
for income and realized gains (losses) for financial statement and federal
income tax purposes, the fiscal year in which amounts are distributed may
differ from the year in which the income and realized gains (losses) were
recorded by the Fund.
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, as
set forth in the Code, and to make distributions of investment company taxable
income and net capital gains (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. At December
31, 1996, the Funds had no remaining capital loss carryforward balances.
ORGANIZATION EXPENSES
Stephens, the Funds' co-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 fee 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 Inc. ("Stephens") on
behalf of the Retail Class of shares for distribution services and has adopted
a Plan of Distribution pursuant to Rule 12b-1
23
<PAGE>
STAGECOACH TRUST
NOTES TO THE FINANCIAL STATEMENTS
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 0.25% of the average daily net assets of the Retail Class
of shares on an annual basis.
Prior to October 21, 1996, Barclays Global Investors, N.A. ("BGI") served as
custodian to each of the LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, and LifePath 2040 Master Portfolios. BGI was not entitled to receive
compensation for its custodial services so long as Barclays Global Fund
Advisors was entitled to receive fees for providing investment advisory
services to the Master Portfolios.
Effective October 21, 1996, new custody agreements were adopted pursuant to
which Investors Bank and Trust ("IBT") has replaced BGI as custodian to each
Fund and its corresponding Master Portfolio. IBT will not be entitled to
receive fees for its custodial services so long as it is entitled to receive a
separate fee from WFB for its services as Sub-Administrator of the Funds.
The Trust has also entered into an administration agreement on behalf of the
Funds with Stephens whereby Stephens has agreed to provide administrative
services to the Funds. For providing administrative services, the Trust pays
Stephens a fee of 0.10% of each Fund's average daily net assets. Under the
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
February 28, 1997, these officers of Stephens collectively owned less than 1%
of the Funds' outstanding shares.
3. CAPITAL SHARE TRANSACTIONS
As of February 28, 1997, 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.
24
<PAGE>
STAGECOACH TRUST
NOTES TO THE FINANCIAL STATEMENTS
4. PORTFOLIO SECURITIES LOANED
As of February 28, 1997, certain Master Portfolios had loaned securities
which were collateralized by cash, money market mutual funds, and repurchase
agreements. Each Master Portfolio receives transaction fees for providing
services in connection with the securities lending program. The value of the
securities on loan and the value of the related collateral are disclosed in the
corresponding Master Investment Portfolio financial statements.
5. 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 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 redeemed and distributed in kind to
shareholders. These net assets were then contributed to the corresponding New
LifePath Funds on March 26, 1996 as follows:
<TABLE>
<S> <C>
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
</TABLE>
25
<PAGE>
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
STAGECOACH TRUST:
We have audited the accompanying statements of assets and liabilities of
Stagecoach Trust (comprising, respectively, LifePath 2000 Fund, LifePath 2010
Fund, LifePath 2020 Fund, LifePath 2030 Fund, and LifePath 2040 Fund) as of
February 28, 1997, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the years in the two
year period then ended and the financial highlights for each of the years in
the three year period then ended. These financial statements and financial
highlights are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 28, 1997, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned funds of Stagecoach Trust as of February 28, 1997, the
results of their operations, the changes in their net assets and their finan-
cial highlights for the periods indicated herein in conformity with generally
accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 11, 1997
26
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
27
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS
PERCENT OF NET ASSETS 21.07% 45.96%
ADVERTISING
PERCENT OF NET ASSETS 0.03% 0.03%
Omnicom Group 788 $ 39,105 920 $ 45,655
------------ ------------
TOTAL ADVERTISING
- VALUE $ 39,105 $ 45,655
- COST $ 24,920 $ 33,344
AEROSPACE & DEFENSE
PERCENT OF NET ASSETS 0.24% 0.80%
Allied Signal Inc 349 $ 25,215 2,126 $ 153,604
Boeing Co 461 46,923 2,906 295,684
Briggs & Stratton Corp 50 2,181 249 10,863
Coltec Industries 600 10,950 700 12,775
GenCorp Inc 0 -- 0 --
General Dynamics Corp 61 4,102 557 37,458
General Motors Corp Class H 1,000 59,000 1,300 76,700
Gulfstream Aerospace Corp 0 -- 400 8,700
Lockheed Martin Corp 252 22,302 1,558 137,883
McDonnell Douglas Corp 214 13,589 1,798 114,173
Newport News Shipbuilding 64 995 293 4,538
Northrop Grumman Corp 136 9,877 508 36,894
Primex Technologies Inc 47 870 56 1,036
Raytheon Co 374 17,625 1,900 89,538
Rockwell International Corp 311 20,137 1,823 118,039
Rohr Industries Inc+ 0 -- 0 --
Sequa Corp Class A+ 110 4,318 0 --
Stewart & Stevenson Services 364 9,510 380 9,928
Sundstrand Corp 726 31,672 760 33,155
Textron Inc 130 12,821 724 71,405
United Technologies Corp 296 22,274 1,828 137,557
------------ ------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 314,361 $ 1,349,930
- COST $ 254,710 $ 1,069,389
AIRLINES
PERCENT OF NET ASSETS 0.28% 0.49%
AMR Corp+ 133 $ 10,457 728 $ 57,239
British Airways PLC ADR (UK) 1,600 164,000 2,800 286,999
Comair Holdings Inc 0 -- 500 10,313
Delta Air Lines Inc 138 11,109 610 49,105
Japan Air Lines Co ADR 11,700 96,525 35,100 289,574
KLM Royal Dutch Airlines ADR
(Netherlands) 507 15,590 1,110 34,133
Northwest Airlines Corp
Class A 600 21,225 900 31,838
Southwest Airlines Co 125 2,938 1,139 26,767
</TABLE>
28
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
62.53% 76.02% 88.25%
0.03% 0.04% 0.15%
1,720 $ 85,355 1,410 $ 69,971 2,458 $ 121,978
------------ ------------ ------------
$ 85,355 $ 69,971 $ 121,978
$ 55,352 $ 47,872 $ 92,621
1.10% 1.34% 1.48%
4,589 $ 331,555 3,591 $ 259,450 6,530 $ 471,792
6,132 623,978 4,639 472,048 8,434 858,166
516 22,511 425 18,541 663 28,923
700 12,775 900 16,425 1,400 25,550
485 9,154 0 -- 0 --
1,099 73,908 829 55,750 1,481 99,597
2,100 123,900 1,700 100,300 3,000 177,000
0 -- 500 10,875 800 17,400
3,276 289,926 2,510 222,135 4,493 397,630
3,673 233,235 2,785 176,847 5,027 319,215
616 9,542 465 7,211 846 13,119
964 70,011 801 58,173 1,408 102,256
108 1,994 86 1,587 126 2,331
4,017 189,301 3,110 146,559 5,534 260,790
3,719 240,805 2,863 185,379 5,094 329,837
287 5,202 207 3,752 0 --
137 5,377 102 4,004 0 --
495 12,932 365 9,536 845 22,076
1,390 60,639 930 40,571 1,690 73,726
1,459 143,894 1,112 109,671 1,919 189,261
3,874 291,518 3,126 235,232 5,793 435,923
------------ ------------ ------------
$ 2,752,157 $ 2,134,046 $ 3,824,592
$ 2,039,767 $ 1,595,283 $ 3,002,665
0.65% 0.80% 0.88%
1,593 $ 125,250 1,174 $ 92,306 2,163 $ 170,066
5,525 566,313 4,400 450,999 7,550 773,875
0 -- 600 12,375 1,000 20,625
1,323 106,501 977 78,649 1,783 143,531
67,875 559,969 52,050 429,412 93,600 772,200
2,229 68,542 1,774 54,551 3,039 93,449
1,500 53,063 1,100 38,913 2,100 74,288
2,520 59,220 1,899 44,627 3,398 79,853
</TABLE>
29
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
UAL Corp 600 $ 34,050 700 $ 39,725
USAirways Group Inc+ 129 2,548 501 9,895
ValuJet Inc+ 300 2,194 200 1,463
------------ ------------
TOTAL AIRLINES
- VALUE $ 360,636 $ 837,051
- COST $ 379,057 $ 932,322
APPAREL
PERCENT OF NET ASSETS 0.06% 0.22%
CVS Corp 110 $ 5,088 853 $ 39,451
Fruit of the Loom Inc Class
A 114 4,660 600 24,525
Hartmarx Corp+ 81 456 230 1,294
Lands' End Inc+ 0 -- 0 --
Liz Claiborne Inc 88 3,564 633 25,637
Nike Inc Class B 370 26,594 2,200 158,125
Nine West Group Inc 200 9,400 400 18,800
OshKosh B'Gosh Class A 26 403 49 760
Phillips Van Heusen Corp 0 -- 0 --
Reebok International Ltd 95 4,441 488 22,814
Russell Corp 73 2,747 270 10,159
Stride Rite Corp 63 756 360 4,320
VF Corp 63 4,379 559 38,851
Warnaco Group Inc Class A 600 19,125 600 19,125
------------ ------------
TOTAL APPAREL
- VALUE $ 81,613 $ 363,861
- COST $ 55,426 $ 235,484
AUTO PARTS & EQUIPMENT
PERCENT OF NET ASSETS 0.09% 0.30%
Bandag Inc 0 $ -- 100 $ 4,875
Bandag Inc Class A 100 4,763 100 4,763
Breed Technologies Inc 0 -- 0 --
Cooper Tire & Rubber Co 121 2,405 691 13,734
Dana Corp 148 4,588 816 25,296
Deluxe Corp 170 5,376 689 21,790
Eaton Corp 83 5,955 627 44,987
Echlin Inc 103 3,566 550 19,044
Genuine Parts Co 168 7,854 1,008 47,124
Goodyear Tire & Rubber Co 240 12,660 1,231 64,935
Illinois Tool Works Inc 174 14,681 965 81,422
ITT Industries Inc 131 3,406 996 25,896
Lear Corp 600 23,400 600 23,400
Mascotech Inc 0 -- 300 5,700
Modine Manufacturing Co 309 8,498 250 6,875
Navistar International Corp+ 131 1,261 627 6,035
</TABLE>
30
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,200 $ 68,100 1,000 $ 56,750 1,700 $ 96,475
1,052 20,777 757 14,951 1,838 36,301
400 2,925 200 1,463 700 5,119
------------ ------------ ------------
$ 1,630,660 $ 1,274,996 $ 2,265,782
$ 1,767,690 $ 1,385,638 $ 2,512,235
0.30% 0.36% 0.43%
1,825 $ 84,406 1,404 $ 64,935 2,500 115,625
1,322 54,037 1,052 43,000 1,797 $ 73,452
389 2,188 354 1,991 618 3,476
547 15,179 0 -- 0 --
1,185 47,993 920 37,260 1,643 66,542
4,651 334,291 3,601 258,822 7,649 549,772
300 14,100 400 18,800 800 37,600
228 3,534 85 1,318 222 3,441
410 5,227 290 3,698 0 --
850 39,738 848 39,644 1,447 67,647
692 26,037 470 17,684 909 34,201
862 10,344 576 6,912 1,096 13,152
1,125 78,188 832 57,824 1,480 102,860
1,000 31,875 700 22,313 1,300 41,438
------------ ------------ ------------
$ 747,137 $ 574,201 $ 1,109,206
$ 464,074 $ 356,481 $ 717,375
0.39% 0.48% 0.56%
200 $ 9,750 100 $ 4,875 300 $ 14,625
200 9,525 200 9,525 400 19,050
0 -- 0 -- 100 2,188
1,402 27,865 1,022 20,312 1,901 37,782
1,735 53,785 1,356 42,036 2,387 73,997
1,387 43,864 1,066 33,712 1,984 62,744
1,349 96,791 991 71,104 1,818 130,442
1,051 36,391 797 27,596 1,417 49,064
2,088 97,614 1,539 71,948 2,820 131,835
2,655 140,051 1,980 104,445 3,665 193,329
1,984 167,400 1,586 41,236 3,319 280,041
2,025 52,650 1,536 129,600 2,733 71,058
500 19,500 800 31,200 1,300 50,700
0 -- 400 7,600 800 15,200
465 12,788 335 9,213 500 13,750
1,294 12,455 962 9,259 1,693 16,295
</TABLE>
31
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
PACCAR Inc 93 $ 6,103 365 $ 23,953
Pep Boys-Manny Moe & Jack 57 1,860 553 18,042
Strattec Security Corp 10 180 28 504
Superior Industries
International Inc 322 7,728 260 6,240
TRW Inc 126 6,599 1,068 55,937
------------ ------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 120,883 $ 500,552
- COST $ 107,397 $ 441,451
AUTOMOBILES
PERCENT OF NET ASSETS 1.36% 2.44%
Chrysler Corp 990 $ 33,536 5,948 $ 201,489
Daimler-Benz
Aktiengesellschaft ADR
(Germany) 17,350 1,257,875 32,000 2,319,999
Fiat SpA ADR (UK) 7,700 119,350 14,300 221,650
Ford Motor Co 1,630 53,586 9,722 319,610
General Motors Corp Class A 1,080 62,505 6,186 358,014
Harley-Davidson Inc 818 30,573 950 35,506
Honda Motor Co Ltd ADR 1,400 87,500 4,200 262,500
Nissan Motor Co Ltd ADR 3,100 36,425 9,300 109,275
Toyota Motor Corp ADR 2,000 103,000 6,000 308,999
------------ ------------
TOTAL AUTOMOBILES
- VALUE $ 1,784,350 $ 4,137,042
- COST $ 1,372,713 $ 3,363,583
BANK & FINANCE
PERCENT OF NET ASSETS 2.51% 4.95%
Advanta Corp Class B 300 $ 12,038 300 $ 12,038
Ahmanson (H F) & Co 130 5,346 898 36,930
Allied Irish Banks PLC ADR
(Ireland) 1,400 60,900 2,500 108,750
American Express Corp 641 41,905 3,914 255,878
American Financial Group Inc 304 11,400 390 14,625
Amsouth Bancorp 600 30,750 700 35,875
Associates First Capital
Corp 700 33,775 800 38,600
Banc One Corp 650 28,681 3,528 155,673
Banco Bilbao Vizcaya ADR
(Spain) 950 55,575 1,600 93,600
Banco Central
Hispanoamericano SA ADR
(Spain) 1,100 14,438 2,000 26,250
Banco Santander SA ADR
(Spain) 700 47,163 1,400 94,325
Bancorp Hawaii Inc 574 25,256 560 24,640
Bank of Boston Corp 250 18,844 1,293 97,460
Bank of New York Inc 578 22,398 3,220 124,775
BankAmerica Corp 521 59,264 2,998 341,021
Bankers Trust Corp 90 8,168 635 57,626
Barclays PLC ADR (UK) 1,650 119,625 3,100 224,750
</TABLE>
32
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
669 $ 43,903 462 $ 30,319 908 $ 59,588
1,072 34,974 827 26,981 1,598 52,135
72 1,296 49 882 0 --
454 10,896 331 7,944 510 12,240
2,159 113,078 1,674 87,676 2,978 155,973
------------ ------------ ------------
$ 984,576 $ 767,463 $ 1,442,036
$ 858,583 $ 660,581 $ 1,253,952
3.26% 4.02% 4.34%
12,519 $ 424,081 9,530 $ 322,829 17,173 $ 581,735
62,500 4,531,249 49,500 3,588,749 85,100 6,169,749
27,900 432,450 22,050 341,775 38,100 590,550
20,336 668,546 15,456 508,115 27,867 916,128
12,938 748,786 9,842 569,605 17,784 1,029,249
1,759 65,743 1,244 46,494 2,290 85,589
8,225 514,063 6,275 392,187 11,300 706,250
18,050 212,087 13,250 155,688 24,950 293,162
11,625 598,688 8,950 460,924 16,150 831,725
------------ ------------ ------------
$ 8,195,693 $ 6,386,366 $ 11,204,137
$ 6,561,015 $ 5,079,172 $ 9,063,680
6.82% 8.21% 9.31%
500 $ 20,063 400 $ 16,050 700 $ 28,088
1,843 75,793 1,350 55,519 2,452 100,839
4,950 215,325 3,900 169,650 6,700 291,450
8,139 532,087 6,215 406,305 11,122 727,101
813 30,488 508 19,050 980 36,750
1,200 61,500 900 46,125 1,600 82,000
1,600 77,200 1,100 53,075 1,900 91,675
7,296 321,936 5,585 246,438 10,024 442,309
3,200 187,200 2,500 146,250 4,300 251,550
3,950 51,844 3,100 40,688 5,200 68,250
2,700 181,913 2,150 144,856 3,650 245,919
757 33,308 677 29,788 1,335 58,740
2,603 196,201 2,011 151,579 3,589 270,521
6,721 260,439 5,109 197,974 9,264 358,980
6,195 704,681 4,660 530,074 8,410 956,638
1,449 131,497 1,105 100,279 1,937 175,783
6,975 505,688 5,650 409,624 9,750 706,875
</TABLE>
33
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Barnett Banks Inc 240 $ 11,100 1,580 $ 73,075
Bear Stearns Co Inc 1,499 44,982 1,454 43,628
Beneficial Corp 42 2,903 413 28,549
California Federal Bancorp
Inc 0 -- 0 --
Capital One Financial Corp 0 -- 400 15,900
Central Fidelity Banks Inc 825 24,028 745 21,698
Charter One Financial Inc 630 30,004 625 29,766
Chase Manhattan Bank 611 61,176 3,319 332,314
Citicorp 677 79,040 3,880 452,989
Comdisco Inc 416 12,948 445 13,851
Comerica Inc 139 8,357 910 54,714
Commerce Bancshares Inc 540 25,650 540 25,650
Compass Bancshares Inc 400 17,850 400 17,850
ContiFinancial Corp 0 -- 100 3,750
CoreStates Financial Corp 304 15,998 1,714 90,199
Countrywide Credit
Industries Inc 1,100 32,038 1,300 37,863
Credit Acceptance Corp+ 200 4,250 200 4,250
Crestar Financial Corp 1,004 36,897 1,440 52,920
Dauphin Deposit Corp 360 15,255 370 15,679
Dean Witter Discover & Co 398 15,273 2,628 100,850
Dime Bancorp Inc+ 1,200 21,000 1,200 21,000
Donaldson Lufkin & Jenrette
In 0 -- 100 4,300
Edwards A G & Sons Inc 655 23,253 720 25,560
Equifax Inc 1,710 50,873 2,000 59,500
Federal Home Loan Mortgage
Corp 1,164 34,629 5,920 176,120
Federal National Mortgage
Assoc 1,516 60,640 8,348 333,919
Fifth Third Bancorp 144 12,006 845 70,452
Finova Group Inc 300 22,913 400 30,550
First American Corp 400 25,650 400 25,650
First Bank System Inc 216 16,956 990 77,715
First Chicago NBD Corp 434 25,389 2,623 153,446
First Commerce Corp 400 16,600 400 16,600
First Empire State Corp 100 32,350 100 32,350
First Hawaiian Inc 200 6,650 300 9,975
First of America Bank Corp 647 40,518 810 50,726
First Security Corp 774 26,993 980 34,178
First Tennessee National
Corp 708 33,099 840 39,270
First Union Corp 363 31,853 2,304 202,176
First USA Inc 1,200 58,350 1,400 68,075
First Usa Paymentech Inc 0 -- 100 2,988
First Virginia Banks Inc 359 18,937 380 20,045
Firstar Corp 1,600 49,000 1,600 49,000
Firstmerit Corp 300 12,075 400 16,100
Fleet Financial Group Inc 355 21,655 2,183 133,163
</TABLE>
34
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
3,385 $ 156,556 2,514 $ 116,273 4,634 $ 214,323
2,709 81,270 1,869 56,070 3,283 98,501
898 62,074 665 45,968 1,219 84,263
0 -- 0 -- 120 2,250
900 35,775 600 23,850 200 7,950
1,050 30,581 945 27,523 1,807 52,629
1,050 50,006 735 35,004 1,460 69,533
7,069 707,784 5,522 552,889 11,715 1,172,963
8,084 943,806 6,136 716,377 11,066 1,291,954
1,041 32,401 636 19,796 1,042 32,432
1,906 114,598 1,479 88,925 2,569 154,461
866 41,135 651 30,923 1,097 52,108
500 22,313 500 22,313 900 40,162
0 -- 0 -- 200 7,500
3,547 186,661 2,830 148,929 5,964 313,855
2,300 66,988 1,700 49,513 2,900 84,463
0 -- 200 4,250 500 10,625
1,970 72,398 1,830 67,253 3,370 123,848
492 20,849 362 15,340 945 40,044
5,476 210,141 4,157 159,525 7,554 289,885
2,400 42,000 1,600 28,000 2,900 50,750
900 38,700 200 8,600 300 12,900
1,017 36,103 877 31,134 1,625 57,688
3,642 108,350 2,672 79,492 4,440 132,090
12,207 363,158 9,290 276,378 16,880 502,180
17,586 703,440 13,860 554,399 29,118 1,164,719
1,783 148,658 1,403 116,975 2,480 206,770
600 45,825 400 30,550 800 61,100
700 44,888 500 32,063 900 57,712
2,184 171,444 1,069 66,946 3,811 299,164
5,450 318,825 1,739 136,511 7,479 437,521
800 33,200 4,144 242,424 900 37,350
100 32,325 500 20,750 200 64,650
300 9,975 100 32,350 600 19,950
1,409 88,239 400 13,300 1,925 120,553
1,775 61,903 1,302 45,407 2,250 78,469
1,570 73,398 200 5,975 2,080 97,240
4,860 426,465 1,100 51,425 6,711 588,890
2,600 126,425 3,710 325,553 3,300 160,462
0 -- 1,800 87,525 400 11,950
791 41,725 461 24,318 945 49,849
2,200 67,375 2,200 67,375 4,000 122,500
500 20,125 500 20,125 900 36,225
4,465 272,365 3,414 208,254 6,179 376,919
</TABLE>
35
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Franklin Resources Inc 894 $ 52,299 1,050 $ 61,425
GATX Corp 223 10,927 270 13,230
Golden West Financial 62 4,201 458 31,030
Great Western Financial Corp 207 9,082 1,150 50,456
Green Tree Financial Inc 150 5,625 1,100 41,250
Greenpoint Financial Corp 600 36,000 600 36,000
GTECH Holdings Corp 400 12,550 400 12,550
Hibernia Corp Class A 1,600 22,200 1,500 20,813
Household International Inc 141 13,659 785 76,047
Huntington Bancshares Inc 1,615 46,028 1,915 54,578
John Nuveen & Co Inc Class A 0 -- 100 3,038
Keycorp 373 19,955 1,834 98,119
Lehman Brothers Holdings 1,100 36,988 1,300 43,713
MBNA Corp 415 13,280 2,617 83,728
Medaphis Corp+ 800 7,950 900 8,944
Mellon Bank Corp 213 17,120 1,043 83,831
Mercantile Bancorp 636 36,809 870 50,351
Mercantile Bankshares 503 18,674 590 21,904
Mercury Financial Corp 1,800 5,625 1,800 5,625
Merrill Lynch & Co Inc 258 24,768 1,316 126,336
MGIC Investment Corp 100 7,863 450 35,381
Money Store Inc 400 10,350 400 10,350
Morgan (J P) & Co Inc 239 25,125 1,551 163,049
Morgan Stanley Group 198 12,499 1,290 81,431
National Australia Bank Ltd
ADR (Australia) 2,050 128,638 3,700 232,175
National City Corp 323 16,312 1,840 92,920
NationsBank Corp 1,118 66,940 6,318 378,289
Northern Trust Corp 1,134 48,195 1,520 64,600
Norwest Corp 508 25,273 3,036 151,041
Old Kent Financial Corp 430 21,554 540 27,068
Old National Bancorp 330 12,210 221 8,159
Paine Webber Group Inc 800 26,100 1,200 39,150
PHH Corp 356 17,044 500 23,938
PNC Bank Corp 506 21,442 2,792 118,311
Price (T Rowe) & Associates 600 26,475 600 26,475
Regions Financial Corp 635 37,386 750 44,156
Republic New York Corp 100 9,288 450 41,794
Ryder System Inc 136 4,284 631 19,877
Sabre Group Holding Inc 0 -- 300 8,475
Salomon Inc 119 6,619 936 52,065
Schwab (Charles) Corp 1,278 47,925 1,470 55,125
Signet Banking Corp 800 25,400 700 22,225
Southern National Corp 1,200 46,650 1,300 50,538
</TABLE>
36
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,044 $ 119,574 1,370 $ 80,116 2,348 $ 137,329
302 14,798 317 15,533 610 29,890
1,009 68,360 721 48,848 1,352 91,598
2,368 103,896 1,778 78,010 3,285 144,129
2,194 82,275 1,754 65,775 3,608 135,300
1,100 66,000 800 48,000 1,300 78,000
500 15,688 400 12,550 1,000 31,375
2,900 40,237 2,200 30,525 3,900 54,113
1,706 165,269 1,242 120,319 2,286 221,456
3,487 99,380 2,579 73,502 4,529 129,077
0 -- 0 -- 300 9,112
3,880 207,580 2,912 155,792 5,262 281,517
2,400 80,700 1,600 53,800 3,100 104,237
5,423 173,520 4,160 133,120 8,889 284,448
1,100 10,931 729 57,318 2,000 19,875
2,222 178,593 1,200 11,925 3,049 245,063
1,469 85,018 1,696 136,316 1,940 112,277
813 30,183 1,064 61,579 1,280 47,520
2,600 8,125 708 26,285 4,400 13,750
2,851 273,696 2,400 7,500 3,875 372,000
1,002 78,782 2,127 204,192 1,346 105,829
700 18,113 500 12,938 800 20,700
3,178 334,087 2,387 250,933 4,423 464,968
2,610 164,756 1,998 126,124 3,601 227,313
7,125 447,094 5,650 354,538 9,750 611,813
3,820 192,910 2,890 145,945 5,175 261,338
13,316 797,295 10,104 604,976 18,364 1,099,521
2,656 112,880 1,876 79,730 3,330 141,525
6,388 317,803 4,857 241,636 8,670 431,333
866 43,408 756 37,895 1,286 64,461
441 16,317 331 12,238 772 28,555
2,400 78,300 594 28,438 2,500 81,562
514 24,608 4,463 189,120 950 45,481
5,806 246,029 1,700 55,463 8,038 340,610
1,000 44,125 800 35,300 1,400 61,775
1,419 83,544 964 56,756 1,940 114,218
902 83,773 729 67,706 1,256 116,651
1,443 45,455 1,100 34,650 1,960 61,740
2,200 62,150 300 8,475 600 16,950
1,820 101,238 1,406 78,209 2,595 144,347
2,786 104,475 1,896 71,100 3,414 128,025
1,300 41,275 1,000 31,750 1,600 50,800
2,300 89,413 1,900 73,863 3,380 131,398
</TABLE>
37
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Standard Fed Bancorp 400 $ 23,050 400 $ 23,050
Star Banc Corp 900 35,325 1,200 47,100
State Street Boston Corp 919 73,865 1,050 84,394
Student Loan Marketing Assoc 600 63,525 800 84,700
Summit Bancorp 1,003 47,893 1,170 55,868
SunTrust Banks Inc 330 16,954 1,812 93,091
Synovus Financial Corp 1,150 40,106 1,450 50,569
TCF Financial Corp 400 18,150 400 18,150
The Fund American Companies 0 -- 0 --
U.S. Bancorp 160 7,900 1,209 59,694
Union Planters Corp 600 26,850 800 35,800
UnionBanCal Corp 100 6,025 100 6,025
United Asset Management Corp 800 21,600 700 18,900
Wachovia Corp 275 16,741 1,315 80,051
Washington Federal Inc 484 12,342 594 15,147
Washington Mutual Inc 700 37,013 900 47,588
Wells Fargo & Co 152 46,246 709 215,713
Wesco Financial Corp 0 -- 0 --
Westpac Banking Corp ADR
(Australia) 1,750 49,656 3,400 96,475
Wilmington Trust Corp 392 17,738 510 23,078
Zions Bancorp 200 24,900 200 24,900
------------ ------------
TOTAL BANK & FINANCE
- VALUE $ 3,297,855 $ 8,561,022
- COST $ 2,218,881 $ 5,751,694
BASIC INDUSTRIES
PERCENT OF NET ASSETS 0.54% 1.13%
ASARCO Inc 123 $ 3,844 371 $ 11,594
Avery-Dennison Corp 96 3,876 790 31,896
Baker Hughes Inc 221 7,846 1,188 42,174
Bemis Co 140 5,793 411 17,005
Boise Cascade Corp 67 2,203 364 11,967
Boise Cascade Office
Products 0 -- 100 2,213
Bowater Inc 395 16,738 410 17,374
Broken Hill Proprietary Co
Ltd ADR (Australia) 3,680 97,980 7,460 198,622
Champion International Corp 138 6,089 732 32,300
Chesapeake Corp 256 7,584 200 5,925
Consolidated Papers Inc 386 19,541 380 19,238
Crown Vantage Inc 21 150 48 342
Cyprus Amax Minerals 136 3,179 731 17,087
Deltic Timber Corp 141 3,488 166 4,101
Dover Corp 150 7,444 892 44,266
Echo Bay Mines Ltd 121 938 1,165 9,029
Fort Howard Corp 400 11,900 600 17,850
</TABLE>
38
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
600 $ 34,575 500 $ 28,813 900 $ 51,863
2,100 82,425 1,500 58,875 2,700 105,975
1,885 151,507 1,350 108,506 2,490 200,134
1,400 148,225 1,200 127,050 1,800 190,575
2,039 97,362 1,514 72,294 2,779 132,697
3,801 195,276 2,886 148,268 5,275 271,003
2,550 88,931 1,850 64,519 3,450 120,319
800 36,300 500 22,688 1,000 45,375
0 -- 0 -- 100 10,650
2,563 126,548 1,000 44,750 3,562 175,874
1,000 44,750 100 6,025 1,900 85,025
500 30,125 800 21,600 300 18,075
1,400 37,800 1,971 97,318 1,600 43,200
2,862 174,224 2,122 129,177 3,915 238,326
726 18,513 805 20,528 1,452 37,026
1,600 84,600 1,200 63,450 2,100 111,038
1,530 465,503 1,205 366,621 2,539 772,491
100 20,800 0 -- 0 --
6,600 187,275 5,200 147,550 9,000 255,375
649 29,367 504 22,806 1,075 48,644
300 37,350 200 24,900 400 49,800
------------ ------------ ------------
$ 17,140,519 $ 13,044,400 $ 24,041,262
$ 11,040,064 $ 8,382,864 $ 16,503,980
1.58% 1.93% 2.25%
707 $ 22,094 565 $ 17,656 960 $ 30,000
1,654 66,780 1,320 53,295 2,803 113,171
2,438 86,549 1,907 67,699 3,445 122,298
890 36,824 722 29,873 1,197 49,526
862 28,338 627 20,613 1,185 38,957
800 17,700 0 -- 200 4,425
652 27,629 607 25,722 1,175 49,791
16,090 428,396 12,320 328,020 21,880 582,555
1,676 73,953 1,215 53,612 2,264 99,899
361 10,695 266 7,880 650 19,256
770 38,981 490 24,806 770 38,981
104 741 81 577 132 941
1,605 37,517 1,220 28,517 2,190 51,191
308 7,616 199 4,929 334 8,271
1,845 91,558 1,409 69,922 3,056 151,654
2,311 17,910 1,748 13,547 3,202 24,816
600 17,850 800 23,800 1,300 38,675
</TABLE>
39
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
Georgia-Pacific Corp 133 $ 10,374 726 $ 56,628
Glatfelter (P H) Co 486 8,323 280 4,795
Harnischfeger Industries Inc 108 4,739 369 16,190
Homestake Mining Co 116 1,914 1,180 19,470
Ikon Office Solutions Inc 188 7,755 1,030 42,488
Inco Ltd 229 8,044 1,347 47,313
James River Corp 118 3,865 689 22,565
Longview Fibre Co 554 8,518 540 8,303
Louisiana-Pacific Corp 118 2,508 862 18,318
LTB Corp 1,400 17,500 1,300 16,250
Mark IV Industries Inc 521 12,113 507 11,788
Mead Corp 54 3,146 450 26,213
Minnesota Mining &
Manufacturing Co 567 52,164 3,160 290,719
NACCO Industries Inc Class A 16 868 40 2,170
Newmont Gold Co 100 4,875 200 9,750
Newmont Mining Corp 124 5,890 768 36,480
Potlatch Corp 76 3,287 224 9,688
Rayonier Inc 356 13,528 350 13,300
RTZ PLC ADR (UK) 2,800 172,550 5,100 314,287
Sealed Air Corp+ 400 16,450 500 20,563
Smith International Inc+ 414 16,819 500 20,313
St Joe Paper Corp 100 7,763 100 7,763
Steel Dynamics Inc 0 -- 0 --
Stone Container Corp 83 1,079 776 10,088
Trinova Corp 50 1,856 223 8,279
Tyco International Inc 216 12,744 1,150 67,850
U.S. Industries Inc 595 21,792 705 25,821
Union Camp Corp 72 3,474 593 28,612
Unisource Worldwide Inc 94 2,021 865 18,597
Varco International Inc+ 292 6,570 0 --
Varian Associates Inc 377 21,772 390 22,523
Watts Industries Inc Class A 308 7,970 0 --
Wausau Paper Mills Co 392 7,791 316 6,281
Westinghouse Electric Corp 890 15,344 4,693 80,946
Westvaco Corp 102 3,009 857 25,282
Weyerhauser Co 260 12,025 1,673 77,376
Whitman Corp 60 1,410 801 18,823
Willamette Industries Inc 107 6,848 420 26,880
------------ ------------
TOTAL BASIC INDUSTRIES
- VALUE $ 707,291 $ 1,915,695
- COST $ 612,911 $ 1,694,066
</TABLE>
40
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1,540 $ 120,120 1,215 $ 94,770 2,158 $ 168,324
769 13,169 489 8,374 770 13,186
817 35,846 588 25,799 1,351 59,275
2,424 39,996 1,901 31,367 3,444 56,826
2,055 84,769 1,647 67,939 3,467 143,014
2,834 99,544 2,227 78,223 3,996 140,359
1,496 48,994 1,106 36,222 2,005 65,664
890 13,684 575 8,841 1,330 20,449
1,844 39,185 1,428 30,345 2,531 53,784
1,900 23,750 1,700 21,250 3,200 40,000
829 19,274 526 12,230 1,213 28,202
871 50,736 701 40,833 1,220 71,065
6,696 616,032 5,274 485,207 11,259 1,035,828
139 7,541 138 7,487 148 8,029
1,900 92,625 1,000 48,750 2,300 112,125
1,640 77,900 1,243 59,043 2,695 128,013
493 21,322 393 16,997 689 29,799
462 17,556 526 19,988 819 31,122
9,925 611,628 7,850 483,755 13,450 828,856
606 24,922 636 26,156 1,100 45,238
597 24,253 627 25,472 1,000 40,625
200 15,525 100 7,763 300 23,287
0 -- 0 -- 300 6,000
1,654 21,502 1,247 16,211 2,295 29,835
406 15,073 396 14,702 823 30,554
2,492 147,028 1,935 114,165 4,054 239,186
950 34,794 760 27,835 1,535 56,219
1,161 56,018 958 46,224 1,620 78,165
1,174 25,241 892 19,178 2,574 55,341
524 11,790 374 8,415 0 --
735 42,446 490 28,298 865 49,954
464 12,006 334 8,642 0 --
572 11,369 407 8,089 371 7,374
10,118 174,544 7,113 122,699 14,486 249,879
1,737 51,241 1,370 40,415 2,408 71,036
3,377 156,186 2,576 119,140 4,672 216,080
1,784 41,924 1,356 31,866 2,398 56,353
941 60,224 755 48,320 1,343 85,952
------------ ----------- ------------ ------------
$ 3,970,888 $ 3,061,478 $ 5,799,405
$ 3,473,850 $ 2,640,393 $ 5,127,251
</TABLE>
41
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
BEVERAGES
PERCENT OF NET ASSETS 0.43% 1.45%
Anheuser-Busch Inc 632 $ 28,124 3,838 $ 170,791
Coca-Cola Co 3,332 203,144 18,982 1,157,861
Coca-Cola Enterprises Co 712 43,966 910 56,193
Coors (Adolph) Co Class B 67 1,432 315 6,733
Energy Group PLC ADR 1,069 36,337 1,988 67,575
Kirin Brewery Co ADR 1,900 161,025 5,650 478,837
Pepsico Inc 2,098 68,972 11,926 392,066
Seagrams Co Ltd 528 20,592 3,105 121,095
------------ ------------
TOTAL BEVERAGES
- VALUE $ 563,592 $ 2,451,151
- COST $ 526,319 $ 1,986,431
BIOTECHNOLOGY
PERCENT OF NET ASSETS 0.05% 0.05%
Biogen Inc 718 $ 35,362 960 $ 47,280
Chiron Corp 896 18,592 1,092 22,659
Genzyme Corp--General
Division 326 8,395 420 10,815
Genzyme Corp--Tissue Repair 35 411 0 --
Quest Diagnostics Inc 46 776 240 4,050
------------ ------------
TOTAL BIOTECHNOLOGY
- VALUE $ 63,536 $ 84,804
- COST $ 39,913 $ 63,537
BROADCASTING
PERCENT OF NET ASSETS 0.07% 0.16%
Clear Channel Communications
Inc 400 $ 19,150 600 $ 28,725
HSN Inc 461 11,877 365 9,386
Kingworld Productions+ 100 3,713 262 9,727
LIN Television Corp 200 8,300 200 8,300
TCA Cable TV Inc 266 8,512 0 --
TCI Satellite Entertainment
Class A 107 856 543 4,344
Tele-Communications Inc
Class A 912 10,830 5,477 65,039
Tele-Communications
International Inc Class A 300 4,050 200 2,700
Tribune Co 136 5,338 976 38,308
Viacom Inc Class B 472 16,638 2,951 104,023
------------ ------------
TOTAL BROADCASTING
- VALUE $ 89,264 $ 270,552
- COST $ 85,262 $ 301,781
</TABLE>
42
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2.03% 2.47% 3.10%
8,036 $ 357,602 6,206 $ 276,167 13,321 $ 592,785
40,129 2,447,829 31,197 1,902,994 66,878 4,079,551
2,188 135,109 1,448 89,414 2,155 133,071
678 14,492 506 10,816 861 18,404
3,872 131,644 3,056 103,913 5,156 175,313
11,000 932,249 8,400 711,899 15,150 1,283,961
25,053 823,616 19,612 644,744 42,049 1,382,360
6,384 248,976 4,845 188,955 8,762 341,718
------------ ------------ ------------
$ 5,091,517 $ 3,928,902 $ 8,007,163
$ 4,039,928 $ 2,998,858 $ 6,214,502
0.06% 0.06% 0.07%
1,582 $ 77,914 1,122 $ 55,258 2,190 $ 107,857
2,424 50,298 1,300 26,975 2,252 46,729
734 18,901 544 14,008 700 18,025
49 576 36 423 33 388
515 8,691 389 6,564 823 13,888
------------ ------------ ------------
$ 156,380 $ 103,228 $ 186,887
$ 115,824 $ 66,758 $ 140,467
0.22% 0.26% 0.29%
600 $ 28,725 800 $ 38,300 1,400 $ 67,025
650 16,732 472 12,155 306 7,880
639 23,723 534 19,825 916 34,007
300 12,450 200 8,300 400 16,600
371 11,872 276 8,832 0 --
1,150 9,200 883 7,064 1,866 14,928
11,367 134,983 8,646 102,671 15,678 186,176
1,500 20,250 200 2,700 600 8,100
2,000 78,500 1,531 60,092 3,278 128,662
6,028 212,487 4,567 160,987 8,358 294,619
------------ ------------ ------------
$ 548,922 $ 420,926 $ 757,997
$ 623,214 $ 471,117 $ 834,385
</TABLE>
43
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (CONTINUED)
BUILDING MATERIALS &
SERVICES
PERCENT OF NET ASSETS 0.22% 0.32%
AMBAC Inc 300 $ 20,025 500 $ 33,375
American Standard Co Inc 500 22,500 500 22,500
Cooper Industries Inc 128 5,664 895 39,604
Corning Inc 311 11,701 1,775 66,784
Cytec Industries Inc 500 19,813 400 15,850
Dal Tile International Inc 0 -- 0 --
Danaher Corp 400 17,300 380 16,435
Diebold Inc 765 32,130 735 30,870
Fastenal Co 300 10,875 300 10,875
Hanson Finance PLC 1,069 23,780 1,988 44,222
Kennametal Inc 300 12,300 300 12,300
Keystone International Inc 383 7,229 300 5,663
Lafarge Corp 300 6,975 400 9,300
Lawson Products Inc 0 -- 0 --
Martin Marietta Inc 0 -- 100 2,638
Owens Corning Fiberglass
Corp 26 1,102 373 15,806
Owens Illinois Inc 700 16,888 1,300 31,363
PPG Industries Inc 198 11,088 1,431 80,136
Snap-On Inc 136 5,287 533 20,720
Southdown Inc 175 6,256 0 --
Stanley Works 208 7,956 702 26,852
USG Corp 400 14,100 400 14,100
Valspar Corp 200 11,450 200 11,450
Vulcan Materials Co 400 25,900 400 25,900
------------ ------------
TOTAL BUILDING MATERIALS &
SERVICES
- VALUE $ 290,319 $ 536,743
- COST $ 244,729 $ 473,572
BUSINESS SERVICES
PERCENT OF NET ASSETS 0.11% 0.14%
Accustaff Inc 0 $ -- 800 $ 16,600
APAC Teleservices Inc 100 2,975 200 5,950
Apollo Group Inc 0 -- 200 5,400
Concord EFS Inc 0 -- 800 18,950
Ecolab Inc 60 2,273 456 17,271
Intl Technology Corp 0 -- 0 --
Kelly Services Inc Class A 406 11,165 420 11,550
Manpower Inc 900 33,975 1,000 37,750
National Education Corp+ 52 670 118 1,519
Nielson (A C) Corp 73 1,077 453 6,682
</TABLE>
44
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
0.42% 0.50% 0.58%
900 $ 60,075 600 $ 40,050 900 $ 60,075
1,300 58,500 800 36,000 1,200 54,000
1,842 81,509 1,389 61,463 2,522 111,599
3,765 141,658 2,871 108,021 6,091 229,174
900 35,663 600 23,775 900 35,663
0 -- 0 -- 200 3,550
962 41,607 622 26,902 780 33,735
1,509 63,378 992 41,643 1,856 77,931
400 14,500 400 14,500 800 29,000
3,872 86,149 3,056 68,002 5,156 114,727
411 16,851 300 12,300 600 24,600
641 12,099 396 7,475 965 18,214
500 11,625 300 6,975 600 13,950
197 4,334 0 -- 0 --
0 -- 0 -- 300 7,913
832 35,256 675 28,603 1,457 61,740
1,400 33,775 1,700 41,013 3,100 74,787
2,950 165,200 2,349 131,544 4,949 277,144
1,061 41,246 805 31,294 1,448 56,291
253 9,045 178 6,364 0 --
1,515 57,949 1,168 44,676 2,138 81,778
500 17,625 600 21,150 900 31,725
300 17,175 300 17,175 500 28,625
800 51,800 500 32,375 1,000 64,750
------------ ------------ ------------
$ 1,057,019 $ 801,300 $ 1,490,971
$ 924,477 $ 703,239 $ 1,322,896
0.13% 0.19% 0.23%
1,600 $ 33,200 1,000 $ 20,750 1,900 $ 39,425
400 11,900 400 11,900 600 17,850
0 -- 200 5,400 400 10,800
0 -- 900 21,319 1,800 42,638
1,035 39,201 793 30,035 1,871 70,864
137 1,182 0 -- 0 --
689 18,948 419 11,523 885 24,338
1,400 52,850 1,300 49,075 2,300 86,825
270 3,476 212 2,730 0 --
918 13,541 707 10,428 1,530 22,567
</TABLE>
45
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Ogden Corp 101 $ 2,058 625 $ 12,734
Olsten Corp 691 12,352 825 14,747
Paychex Inc 657 28,580 685 29,798
Quintiles Transnational
Corp+ 200 13,075 200 13,075
Robert Half International
Inc 600 24,975 600 24,975
Rollins Inc 388 7,324 210 3,964
Security Dynamics Technology
I 0 -- 300 8,250
Teletech Holdings Inc 0 -- 100 2,444
------------ ------------
TOTAL BUSINESS SERVICES
- VALUE $ 140,499 $ 231,659
- COST $ 121,529 $ 218,313
CHEMICALS
PERCENT OF NET ASSETS 0.75% 1.46%
Air Products & Chemicals Inc 125 $ 9,266 868 $ 64,340
Airgas Inc 400 7,700 700 13,475
Albemarle Corp 713 13,993 460 9,028
Arco Chemical Co 100 4,725 100 4,725
Betz Labs Inc 396 25,691 340 22,058
Cabot Corp 1,010 23,735 940 22,090
ChemFirst Inc 35 796 84 1,911
Clorox Co 45 5,378 416 49,712
Courtaulds PLC ADR (UK) 19,700 132,975 36,100 243,675
Crompton & Knowles Corp 550 10,450 340 6,460
Dow Chemical Co 332 26,892 2,016 163,296
Du Pont (E I) De Nemours 796 85,371 4,348 466,322
Eastman Chemical Co 120 6,615 588 32,413
Ethyl Corp 1,031 9,408 1,010 9,216
Ferro Corp 305 9,608 250 7,875
FMC Corp+ 100 6,875 311 21,381
Forest Labs Inc Class A+ 582 22,189 570 21,731
Freeport McMoRan Inc 354 9,647 363 9,892
Fuller (H B) Co 0 -- 0 --
Geon Co 0 -- 0 --
Georgia Gulf Corp 437 11,799 360 9,720
Goodrich (B F) Co 90 3,656 486 19,744
Grace (W R) Co 139 7,367 683 36,199
Great Lakes Chemical Corp 75 3,478 494 22,909
Hanna (M A) Co 580 12,035 550 11,413
Hercules Inc 188 8,742 803 37,340
IMC Global Inc 818 28,528 900 31,388
Imperial Chemical Industries
PLC ADR (UK) 2,100 104,738 3,900 194,513
International Flavor &
Fragrances 171 7,930 863 40,022
Lawter International Inc 0 -- 0 --
</TABLE>
46
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
884 $ 18,012 606 $ 12,347 1,344 $ 27,384
1,117 19,966 988 17,661 1,516 27,098
1,203 52,331 960 41,760 1,675 72,863
300 19,613 400 26,150 700 45,763
1,000 41,625 700 29,138 1,400 58,275
645 12,174 400 7,550 675 12,741
0 -- 400 11,000 800 22,000
0 -- 0 -- 300 7,331
------------ ------------ ------------
$ 338,019 $ 308,766 $ 588,762
$ 289,452 $ 285,414 $ 574,743
2.03% 2.47% 2.87%
1,904 $ 141,134 1,428 $ 105,851 2,580 $ 191,243
600 11,550 900 17,325 1,400 26,950
1,112 21,823 732 14,366 986 19,350
1,600 75,600 900 42,525 2,000 94,500
727 47,164 407 26,404 805 52,224
1,772 41,642 1,232 28,952 2,090 49,115
314 7,144 224 5,096 347 7,902
821 98,110 679 81,141 1,367 163,356
70,900 478,575 56,000 377,999 96,600 652,050
885 16,815 570 10,830 1,430 27,170
4,132 334,692 3,165 256,365 5,685 460,485
9,035 969,003 7,052 756,326 15,047 1,613,790
1,287 70,946 970 53,471 1,782 98,233
2,029 18,515 1,308 11,936 2,630 23,999
436 13,734 331 10,427 815 25,672
668 45,925 531 36,506 901 61,944
1,066 40,641 686 26,154 1,260 48,038
684 18,639 359 9,783 678 18,476
225 10,969 0 -- 0 --
0 -- 0 -- 300 6,450
745 20,115 465 12,555 640 17,280
927 37,659 695 28,234 1,313 53,341
1,418 75,154 1,129 59,837 2,008 106,424
1,103 51,152 865 40,114 1,456 67,522
967 20,065 600 12,450 1,162 24,112
1,654 76,911 1,328 61,752 2,861 133,036
1,530 53,359 1,270 44,291 2,200 76,725
7,575 377,803 5,950 296,756 10,300 513,713
1,796 83,290 1,351 62,653 2,902 134,580
677 7,870 0 -- 0 --
</TABLE>
47
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Lubrizol Corp 829 $ 28,704 760 $ 26,315
Lyondell Petrochemical 476 11,246 580 13,703
Millennium Chemicals Inc 611 11,676 1,136 21,717
Mississippi Chemical Corp 11 270 28 687
Monsanto Co 815 29,646 4,550 165,506
Montedison Spa ADR+ 2,646 19,183 6,292 45,617
Morton International Inc 232 9,570 1,171 48,304
Nalco Chemical Co 71 2,609 490 18,008
OEA Inc 0 -- 0 --
Olin Corp 470 18,800 560 22,400
Praxair Inc 211 10,260 1,177 57,232
Premark International Inc 761 17,979 706 16,679
Rhone Poulenc Rorer Class A 4,484 156,380 8,268 288,346
Rohm & Haas Co 69 6,348 489 44,988
RPM Inc 778 13,712 887 15,633
Rubbermaid Inc 156 3,725 1,219 29,104
Schulman (A) Inc 403 7,808 420 8,138
Sigma-Aldrich Corp 124 3,798 824 25,235
Terra Industries Inc 500 6,813 400 5,450
Thiokol Inc 216 12,042 0 --
Union Carbide Corp 140 6,615 1,079 50,983
Valhi Inc 0 -- 0 --
Wellman Inc 363 6,353 280 4,900
------------ ------------
TOTAL CHEMICALS
- VALUE $ 983,124 $ 2,481,793
- COST $ 889,037 $ 2,184,791
COMPUTER SOFTWARE
PERCENT OF NET ASSETS 0.96% 1.80%
3Com Corp+ 1,650 $ 54,630 1,300 $ 43,042
Adobe Systems Inc 819 29,894 810 29,565
Altera Corp 920 41,745 1,120 50,820
America Online Inc+ 600 22,500 1,100 41,250
Anixter International Inc+ 500 6,750 500 6,750
Autodesk Inc 84 2,846 380 12,872
Automatic Data Processing 396 16,880 2,274 96,929
Bay Networks Inc+ 293 5,567 1,430 27,170
BMC Software Inc 1,112 47,608 1,280 54,800
Broderbund Software Inc+ 200 5,875 200 5,875
Cadence Design Systems Inc 982 36,211 1,012 37,318
Cambridge Technology
Partners 0 -- 400 9,600
Citrix Systems Inc 0 -- 300 3,788
Compuserve Corp 0 -- 200 2,025
Computer Associates
International Inc 528 22,968 2,880 125,280
</TABLE>
48
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1,517 $ 52,526 942 $ 32,617 1,800 $ 62,325
1,317 31,114 892 21,074 1,145 27,051
2,212 42,311 1,746 33,398 2,946 56,348
106 2,597 74 1,813 116 2,842
9,524 346,435 7,340 266,993 15,763 573,379
9,157 66,388 9,767 70,811 16,962 122,975
2,451 101,104 1,858 76,643 3,351 138,229
1,078 39,617 862 31,679 2,023 74,345
308 14,284 223 10,342 0 --
1,078 43,120 858 34,320 1,260 50,400
2,486 120,882 1,983 96,423 4,189 203,690
1,133 26,767 796 18,806 1,550 36,619
16,134 562,673 12,526 436,843 21,553 751,661
1,058 97,336 850 78,200 1,509 138,828
1,198 21,115 986 17,378 2,068 36,449
2,609 62,290 1,910 45,601 3,535 84,398
686 13,291 616 11,935 1,185 22,959
1,585 48,541 1,285 39,353 2,907 89,027
700 9,538 500 6,813 1,100 14,988
295 16,446 210 11,708 0 --
2,201 103,997 1,713 80,939 3,026 142,979
0 -- 0 -- 300 2,400
495 8,663 365 6,388 845 14,788
------------ ------------ ------------
$ 5,097,034 $ 3,920,176 $ 7,414,360
$ 4,413,759 $ 3,346,018 $ 6,460,564
2.37% 2.87% 3.52%
2,833 $ 93,799 2,123 $ 70,291 4,533 $ 150,084
1,506 54,969 1,051 38,362 1,915 69,897
2,036 92,384 1,496 67,881 2,480 112,530
1,200 45,000 1,400 52,500 2,700 101,250
500 6,750 700 9,450 1,200 16,200
793 26,863 595 20,156 1,092 36,992
4,704 200,508 3,665 156,221 7,784 331,793
3,039 57,741 2,392 45,448 4,974 94,506
2,132 91,276 1,552 66,445 2,780 119,019
200 5,875 200 5,875 500 14,688
1,675 61,766 1,345 49,597 2,465 90,897
0 -- 500 12,000 800 19,200
0 -- 400 5,050 600 7,575
400 4,050 0 -- 400 4,050
5,835 253,823 4,585 199,448 9,790 425,865
</TABLE>
49
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Computer Sciences Corp+ 138 $ 9,315 609 $ 41,108
Compuware Corp 400 24,900 500 31,125
CSK Corp ADR 2,250 51,750 6,700 154,100
DST Systems Inc 200 6,575 300 9,863
Electronic Arts Inc+ 500 15,625 500 15,625
Electronic Data Systems Corp 2,888 130,321 4,430 199,904
First Data Corp 644 23,587 3,474 127,235
Fiserv Inc+ 617 20,207 530 17,358
Gartner Group Inc Class A 600 15,900 600 15,900
HBO & Co 900 51,863 1,100 63,388
Information Resources Inc+ 0 -- 0 --
Informix Corp+ 1,390 24,151 1,720 29,885
Intuit Inc+ 400 9,050 400 9,050
McAfee Associates Inc 450 20,644 450 20,644
Mentor Graphics Corp+ 600 5,738 700 6,694
Microsoft Corp 1,568 152,880 9,134 890,564
MobileMedia Corp 300 384 200 256
NEC Corp ADR 1,250 72,188 3,800 219,450
Netscape Communications
Corp+ 200 5,825 700 20,388
Novell Inc+ 420 4,253 2,792 28,269
Objective Systems Integrator
C 0 -- 100 1,238
Oracle Systems Corp 843 33,088 5,028 197,349
Parametric Technology Corp 1,320 74,415 1,660 93,583
Peoplesoft Inc 800 31,900 900 35,888
Reynolds & Reynolds Co Class
A 1,146 32,088 1,120 31,360
Shiva Corp 300 4,988 300 4,988
SPS Transaction Services
Inc+ 0 -- 100 1,688
Sterling Commerce Inc 677 19,633 837 24,273
Sterling Software Inc 300 8,588 400 11,450
Storage Technology Corp+ 659 27,513 635 26,511
Stratus Computer Inc 261 8,841 210 7,114
Structural Dynamics
Research+ 303 6,022 0 --
Sun Microsystems Inc 506 15,623 2,882 88,982
Sungard Data Systems Inc+ 400 20,300 500 25,375
Symantec Corp+ 378 5,906 500 7,813
Synopsys Inc+ 400 14,275 500 17,844
Total System Services Inc 300 9,225 300 9,225
VeriFone Inc 358 12,441 300 10,425
------------ ------------
TOTAL COMPUTER SOFTWARE
- VALUE $ 1,263,476 $ 3,042,996
- COST $ 1,065,450 $ 2,459,775
</TABLE>
50
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1,252 $ 84,510 896 $ 60,480 2,015 $ 136,013
600 37,350 600 37,350 1,100 68,475
12,900 296,700 9,925 228,275 17,800 409,400
400 13,150 300 9,863 500 16,438
1,000 31,250 600 18,750 1,200 37,500
8,191 369,619 5,676 256,129 10,300 464,787
7,226 264,652 5,615 205,649 11,987 439,024
699 22,892 629 20,600 1,295 42,411
1,000 26,500 800 21,200 1,400 37,100
1,800 103,725 1,400 80,675 2,500 144,063
403 5,995 0 -- 0 --
3,118 54,175 2,138 37,148 4,080 70,890
800 18,100 500 11,313 1,000 22,625
900 41,288 675 30,966 1,050 48,169
852 8,147 1,000 9,563 1,600 15,300
19,273 1,879,117 14,964 1,458,989 32,024 3,122,339
400 512 300 384 700 897
7,325 423,019 5,650 326,288 10,100 583,275
1,500 43,688 800 23,300 1,500 43,688
5,781 58,533 4,454 45,097 8,075 81,759
0 -- 0 -- 200 2,475
10,605 416,246 8,227 322,910 17,582 690,093
2,942 165,855 2,142 120,755 3,770 212,534
1,400 55,825 1,200 47,850 2,200 87,725
2,112 59,136 1,352 37,856 2,600 72,800
600 9,975 400 6,650 600 9,975
0 -- 0 -- 200 3,375
1,254 36,366 996 28,884 1,774 51,446
600 17,175 500 14,313 800 22,900
1,284 53,607 967 40,372 1,725 72,019
366 12,398 271 9,180 750 25,406
434 8,626 319 6,340 0 --
5,930 183,089 4,650 143,569 9,765 301,494
900 45,675 600 30,450 1,100 55,825
636 9,938 761 11,891 1,500 23,438
900 32,119 600 21,413 1,000 35,688
2,200 67,650 400 12,300 800 24,600
363 12,614 468 16,263 700 24,325
------------ ------------ ------------
$ 5,964,020 $ 4,551,739 $ 9,094,817
$ 4,611,698 $ 3,445,637 $ 7,204,409
</TABLE>
51
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMPUTER SYSTEMS
PERCENT OF NET ASSETS 0.43% 1.36%
Adaptec Inc 1,200 $ 45,675 1,400 $ 53,288
Amdahl Corp+ 177 1,748 945 9,332
Apple Computer Inc+ 130 2,113 998 16,217
Cabletron Systems Inc 250 7,500 1,220 36,600
Ceridian Corp+ 27 1,056 574 22,458
Cisco Systems Inc+ 848 47,170 5,008 278,570
Cognizant Corp 173 6,033 1,310 45,686
Compaq Computer Corp+ 392 31,066 2,024 160,402
Data General Corp+ 62 1,201 311 6,026
Dell Computer Corp 270 19,204 1,370 97,441
Digital Equipment Corp+ 217 7,107 1,234 40,414
EMC Corp+ 308 11,088 1,770 63,720
Exabyte Corp 0 -- 0 --
Gateway 2000 Inc 200 11,750 200 11,750
Harris Corp 95 7,006 367 27,066
Hewlett-Packard Co 1,372 76,832 7,750 433,999
Intergraph Corp+ 54 446 352 2,904
International Business
Machine Corp 719 103,356 4,234 608,637
Iomega Corp 1,200 18,600 1,300 20,150
Komag Inc+ 600 18,000 600 18,000
NCR Corp 172 5,662 1,359 44,861
Quantum Corp+ 500 19,875 600 23,850
Seagate Technology Inc 386 18,239 2,100 99,225
Sequent Computer Systems+ 340 5,844 0 --
Shared Medical System Corp 40 2,185 238 13,001
Silicon Graphics Inc+ 177 4,270 1,420 34,258
Sybase Inc+ 700 11,463 700 11,463
Tandem Computers Inc+ 125 1,563 893 11,163
U.S. Robotics Corp 800 44,650 900 50,231
Unisys Corp+ 273 1,843 1,364 9,207
Wallace Computer Services
Inc 90 3,049 600 20,325
Western Digital Corp 500 29,500 600 35,400
Xylan Corp 100 1,775 100 1,775
------------ ------------
TOTAL COMPUTER SYSTEMS
- VALUE $ 566,869 $ 2,307,419
- COST $ 485,711 $ 1,750,863
CONTAINER & PACKAGING
PERCENT OF NET ASSETS 0.07% 0.19%
Ball Corp 52 $ 1,313 275 $ 6,944
Crown Cork & Seal Co 180 9,990 975 54,113
First Brands Corp 486 12,089 480 11,940
</TABLE>
52
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1.89% 2.29% 2.76%
2,400 $ 91,350 1,800 $ 68,513 3,300 $ 125,606
2,001 19,760 1,500 14,812 2,835 27,996
2,142 34,807 1,560 25,350 2,914 47,353
2,541 76,230 1,989 59,670 4,117 123,510
1,086 42,490 863 33,765 1,924 75,277
10,493 583,673 8,115 451,396 17,401 967,931
2,700 94,162 2,143 74,737 4,525 157,809
4,343 344,183 3,447 273,175 6,595 522,654
627 12,148 512 9,920 907 17,573
2,877 204,627 2,279 162,094 4,755 338,199
2,678 87,705 1,980 64,845 3,596 117,769
3,745 134,820 2,869 103,284 6,180 222,480
340 3,719 0 -- 0 --
1,300 76,375 300 17,625 900 52,875
671 49,486 464 34,220 910 67,113
16,387 917,671 12,763 714,727 27,412 1,535,071
832 6,864 557 4,595 1,041 8,588
8,842 1,271,036 6,703 963,555 12,231 1,758,205
2,200 34,100 1,600 24,800 3,100 48,050
1,100 33,000 600 18,000 1,200 36,000
1,782 58,796 1,665 54,941 2,494 82,308
790 31,403 785 31,204 1,400 55,650
4,315 203,884 3,311 156,445 5,926 280,004
471 8,095 341 5,861 0 --
422 23,052 331 18,081 642 35,069
2,952 71,217 2,243 54,112 4,100 98,912
1,400 22,925 900 14,738 1,600 26,200
2,014 25,175 1,634 20,425 2,743 34,288
1,600 89,300 1,200 66,975 2,200 122,788
2,827 19,082 2,167 14,627 4,135 27,911
1,100 37,263 710 24,051 1,200 40,650
900 53,100 800 47,200 1,300 76,700
0 -- 100 1,775 200 3,550
------------ ------------ ------------
$ 4,761,498 $ 3,629,518 $ 7,134,089
$ 3,519,188 $ 2,607,347 $ 5,453,394
0.25% 0.31% 0.35%
493 $ 12,448 398 $ 10,050 725 $ 18,306
2,022 112,221 1,584 87,912 3,403 188,867
694 17,263 704 17,512 1,060 26,367
</TABLE>
53
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
International Paper Co 409 $ 17,076 2,495 $ 104,166
Jefferson Smurfit Corp 700 9,538 800 10,900
Sonoco Products 988 25,935 1,177 30,896
Temple-Inland Inc 47 2,591 444 24,476
Tenneco Inc 271 10,671 1,414 55,676
Tupperware Corp 61 2,730 456 20,406
------------ ------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 91,933 $ 319,517
- COST $ 83,153 $ 306,982
ELECTRICAL EQUIPMENT
PERCENT OF NET ASSETS 0.38% 1.19%
Alliance Semiconductor Corp+ 0 -- 0 --
Arrow Electronics Inc+ 493 $ 27,670 496 $ 27,838
Avnet Inc 530 33,125 550 34,375
FORE Systems Inc 400 13,400 500 16,750
General Electric Co 2,222 228,588 12,591 1,295,298
Grainger (W W) Inc 39 3,091 410 32,493
Handleman Co 59 516 132 1,155
Hitachi Ltd ADR 600 52,650 1,700 149,175
Hubbell Inc Class B 532 22,544 666 28,222
Masco Corp 249 8,746 1,265 44,433
Maxim Integrated Products
Inc+ 700 34,737 800 39,700
Motorola Inc 801 44,756 4,866 271,888
National Service Industries
Inc 37 1,406 409 15,542
Raychem Corp 25 2,128 372 31,667
Symbol Technologies Inc 260 13,065 210 10,553
Thomas & Betts Corp 66 2,945 414 18,475
TriMas Corp 200 4,875 200 4,875
------------ ------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $ 494,242 $ 2,022,439
- COST $ 426,117 $ 1,585,023
ELECTRONICS
PERCENT OF NET ASSETS 0.96% 2.14%
Advanced Micro Devices+ 194 $ 6,960 1,083 $ 38,853
American Power Conversion+ 1,000 20,875 980 20,458
AMP Inc 280 10,885 1,760 68,420
Analog Devices Inc 1,601 37,231 2,027 47,120
Applied Materials Inc+ 250 12,656 1,490 75,431
Atmel Corp+ 962 35,955 960 35,880
Beckman Instruments Inc 294 12,201 350 14,525
C-Cube Microsystems Inc+ 100 2,913 300 8,738
Canon Inc ADR 700 73,150 2,050 214,225
</TABLE>
54
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
5,099 $ 212,883 3,932 $ 164,161 7,077 $ 295,465
1,400 19,075 900 12,263 1,800 24,525
2,100 55,125 1,422 37,328 2,755 72,319
949 52,314 684 37,705 1,287 70,946
2,877 113,282 2,220 87,413 3,998 157,421
1,036 46,361 827 37,008 1,341 60,010
------------ ------------ ------------
$ 640,972 $ 491,352 $ 914,226
$ 592,699 $ 455,210 $ 872,834
1.66% 2.03% 2.54%
0 -- 0 -- 250 $ 2,219
999 $ 56,069 710 $ 39,849 1,175 65,947
1,014 63,375 659 41,188 1,215 75,938
600 20,100 500 16,750 1,000 33,500
26,541 2,730,404 20,659 2,125,294 44,286 4,555,921
872 69,106 716 56,743 1,209 95,813
467 4,086 307 2,686 521 4,559
3,325 291,769 2,525 221,569 4,600 403,650
1,008 42,714 934 39,578 1,502 63,647
2,799 98,315 2,100 73,763 3,796 133,334
1,400 69,475 1,000 49,625 1,800 89,325
10,194 569,590 7,716 431,130 13,948 779,344
798 30,324 614 23,332 1,101 41,838
740 62,993 574 48,862 1,266 107,768
390 19,598 270 13,568 550 27,638
923 41,189 701 31,282 1,214 54,175
0 -- 200 4,875 500 12,188
------------ ------------ ------------
$ 4,169,107 $ 3,220,094 $ 6,546,804
$ 3,230,658 $ 2,423,711 $ 5,048,507
2.87% 3.48% 4.10%
2,351 $ 84,342 1,737 $ 62,315 3,222 $ 115,589
1,494 31,187 1,309 27,325 2,360 49,265
3,714 144,382 2,878 111,882 5,189 201,722
3,439 79,949 2,561 59,551 4,729 109,957
3,061 154,963 2,317 117,298 4,186 211,916
1,866 69,742 1,288 48,139 2,226 83,197
450 18,675 505 20,958 780 32,370
300 8,738 400 11,650 600 17,475
3,975 415,388 3,100 323,950 5,550 579,975
</TABLE>
55
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Cirrus Logic Inc+ 634 $ 8,599 780 $ 10,579
Cypress Semiconductor Corp+ 800 10,600 1,040 13,780
EG&G Inc 123 2,675 419 9,113
Electronics for Imaging Inc 600 23,100 600 23,100
Emerson Electric Co 318 31,482 1,676 165,924
Fuji Photo Film Co Ltd ADR 1,800 60,300 5,500 184,250
General Signal Corp 133 5,802 405 17,668
Honeywell Inc 179 12,731 946 67,284
Imation Corp 576 15,336 516 13,739
Input/Output Inc+ 500 10,688 500 10,688
Integrated Device Technology
Inc+ 700 7,700 800 8,800
Intel Corp 1,066 151,239 6,302 894,095
International Rectifier
Corp+ 500 6,750 500 6,750
International Specialty
Produc+ 0 -- 200 2,675
Johnson Controls Inc 96 8,088 369 31,088
KLA Instruments Corp+ 300 12,506 400 16,675
Kyocera Corp ADR 250 29,188 900 105,075
Lam Research Corp+ 300 11,438 400 15,250
Lexmark International Group
Cl 0 -- 200 5,575
Linear Technology Corp 786 35,468 920 41,515
Litton Industries Inc+ 301 12,943 390 16,770
LSI Logic Corp+ 122 4,209 1,060 36,570
Macromedia Inc+ 400 3,925 400 3,925
Matsushita Electric
Industries Co 250 38,469 850 130,794
MEMC Electronic Materials
Inc 300 7,350 300 7,350
Microchip Technology Inc 600 22,425 600 22,425
Micron Electronics Inc+ 0 -- 200 3,875
Micron Technology Inc 326 12,225 1,758 65,925
Molex Inc 363 12,977 718 25,669
Molex Inc Class A 600 19,950 675 22,444
National Semiconductor+ 160 4,180 1,103 28,816
Novellus System Inc+ 200 16,350 200 16,350
Perkin-Elmer Corp 27 1,917 274 19,454
Philips Electronics NV
(Netherlands) 2,000 90,000 3,500 157,500
Pioneer Electronics Corp 2,450 47,775 7,350 143,325
Pitney Bowes Inc 152 9,443 1,115 69,269
Pixar Inc 0 -- 100 1,963
Policy Management Systems
Corp+ 248 10,664 170 7,310
Premier Farnell PLC ADR 626 10,173 1,084 17,615
Read-Rite Corp 400 12,275 500 15,344
SCI Systems Inc+ 300 16,050 300 16,050
Sensormatic Electronics 1,035 17,854 870 15,008
Solectron Corp+ 500 26,438 600 31,725
SONY Corp ADR 800 57,600 2,450 176,400
</TABLE>
56
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1,496 $ 20,290 1,066 $ 14,458 1,510 $ 20,479
1,364 18,073 1,424 18,868 2,470 32,728
798 17,357 561 12,202 1,145 24,904
1,000 38,500 800 30,800 1,400 53,900
3,637 360,063 2,836 280,764 6,031 597,069
10,500 351,750 8,150 273,025 14,600 489,100
879 38,346 632 27,571 1,167 50,910
2,083 148,153 1,583 112,591 2,839 201,924
702 18,691 531 14,138 1,317 35,065
1,000 21,375 700 14,963 1,100 23,513
1,700 18,700 800 8,800 2,100 23,100
13,226 1,876,438 10,272 1,457,339 22,071 3,131,322
1,000 13,500 700 9,450 1,100 14,850
1,300 17,388 0 -- 500 6,688
673 56,700 562 47,349 1,016 85,598
600 25,013 600 25,013 1,100 45,856
1,850 215,988 1,652 56,994 2,990 103,155
500 19,063 500 19,063 800 30,500
1,000 27,875 300 8,363 800 22,300
1,700 76,713 1,110 50,089 2,150 97,019
808 34,744 503 21,629 879 37,797
2,213 76,349 1,375 160,531 2,500 291,875
700 6,869 500 4,906 900 8,831
1,550 238,506 1,200 184,650 2,200 338,525
400 9,800 400 9,800 700 17,150
600 22,425 750 28,031 1,500 56,063
1,600 31,000 300 5,813 300 5,813
3,572 133,950 2,756 103,350 4,928 184,800
538 19,234 1,100 39,325 822 29,387
925 30,756 825 27,431 1,425 47,381
2,346 61,289 1,850 48,331 3,264 85,272
400 32,700 200 16,350 500 40,875
718 50,978 585 41,535 1,273 90,383
6,875 309,375 5,450 245,250 9,450 425,250
14,175 276,413 10,875 212,062 19,550 381,225
2,356 146,366 1,886 117,168 3,356 208,491
0 -- 0 -- 200 3,925
303 13,029 258 11,094 440 18,920
2,106 34,223 1,626 26,423 2,837 46,101
600 18,413 500 15,344 1,300 39,894
500 26,750 400 21,400 600 32,100
1,723 29,722 1,048 18,078 2,085 35,966
1,000 52,875 700 37,013 1,400 74,025
4,700 338,400 3,650 262,800 6,600 475,200
</TABLE>
57
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Tektronix Inc 78 $ 3,803 226 $ 11,018
Tencor Instruments+ 300 12,019 200 8,013
Teradyne Inc+ 776 21,146 920 25,070
Texas Instruments Inc 222 17,122 1,608 124,017
Thermo Instrument Systems
Inc+ 200 6,800 225 7,650
Vishay Intertechnology Inc 420 9,608 520 11,895
VLSI Technology Inc 500 9,344 400 7,475
Xerox Corp 471 29,438 2,703 168,938
Xilinx Inc+ 847 38,221 900 40,613
Zenith Electronics Corp+ 44 424 89 857
------------ ------------
TOTAL ELECTRONICS
- VALUE $ 1,259,633 $ 3,624,695
- COST $ 1,060,933 $ 2,752,884
ENERGY & RELATED
PERCENT OF NET ASSETS 1.96% 4.07%
AES Corp+ 784 $ 51,254 640 $ 41,840
AGL Resources Inc 538 10,491 440 8,580
Amerada Hess Corp 138 7,366 782 41,739
Amoco Corp 694 58,643 4,039 341,295
Anadarko Petroleum Corp 539 30,319 700 39,375
Apache Corp 962 31,145 1,020 33,023
Ashland Inc 106 4,439 552 23,115
Atlantic Richfield Corp 255 31,875 1,370 171,250
British Gas PLC ADR (UK) 3,600 100,350 6,700 186,762
British Petroleum Co PLC ADR
(UK) 1,234 163,351 2,269 300,358
Brooklyn Union Gas Co 510 14,535 400 11,400
Burlington Resources Inc 177 7,766 1,044 45,806
Chesapeake Energy Corp 0 -- 400 8,300
Chevron Corp 892 57,534 5,377 346,816
Coastal Corp 108 4,914 827 37,629
Columbia Gas System Inc 139 8,166 410 24,088
Consolidated Natural Gas Co 138 7,038 782 39,882
Cooper Cameron Corp 0 -- 300 19,650
Diamond Offshore Drilling
Inc 300 17,700 300 17,700
Dresser Industries Inc 207 6,288 1,471 44,682
Eastern Enterprises 37 1,244 185 6,221
El Paso Natural Gas Co 427 22,898 456 24,453
ELF Aquitaine ADR (France) 9,550 458,400 17,700 849,599
Enron Corp 386 15,392 1,994 79,511
Enron Oil & Gas Co 700 14,175 800 16,200
Ensco International Inc+ 700 30,363 700 30,363
Enserch Corp+ 92 1,932 588 12,348
Enserch Exploration Inc 0 -- 300 2,888
</TABLE>
58
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
562 $ 27,398 395 $ 19,256 796 $ 38,805
400 16,025 300 12,019 700 28,044
1,790 48,778 1,300 35,425 2,150 58,587
3,231 249,191 2,519 194,278 4,430 341,664
1,600 54,400 250 8,500 537 18,258
840 19,215 630 14,411 1,271 29,074
600 11,213 400 7,475 1,200 22,425
5,583 348,938 4,194 262,125 7,678 479,875
1,459 65,837 1,174 52,977 2,120 95,665
279 2,685 230 2,214 367 3,532
------------ ------------ ------------
$ 7,225,188 $ 5,531,902 $ 10,582,624
$ 5,439,996 $ 4,088,253 $ 8,046,702
5.52% 6.73% 7.32%
1,148 $ 75,051 798 $ 52,169 750 $ 49,031
798 15,561 558 10,881 520 10,140
1,574 84,012 1,224 65,331 2,238 119,453
8,495 717,828 6,483 547,812 11,661 985,354
1,301 73,181 846 47,588 1,515 85,219
1,549 50,149 1,284 41,570 2,535 82,071
1,084 45,393 795 33,291 1,510 63,231
2,736 342,000 2,062 257,750 3,790 473,750
13,100 365,163 10,350 288,506 17,450 486,419
4,432 586,686 3,423 453,119 5,857 775,320
719 20,492 514 14,649 490 13,965
2,156 94,595 1,659 72,789 2,949 129,387
1,000 20,750 500 10,375 800 16,600
11,172 720,594 8,490 547,604 15,382 992,139
1,805 82,128 1,370 62,335 2,519 114,614
977 57,399 717 42,124 1,278 75,083
1,671 85,221 1,215 61,965 2,264 115,464
400 26,200 400 26,200 600 39,300
1,100 64,900 400 23,600 600 35,400
3,054 92,765 2,294 69,680 4,117 125,054
393 13,215 254 8,541 433 14,560
842 45,152 627 33,623 778 41,720
34,450 1,653,599 27,300 1,310,399 46,950 2,253,599
4,060 161,893 3,270 130,391 5,782 230,557
2,200 44,550 1,600 32,400 1,800 36,450
1,100 47,713 900 39,038 1,600 69,400
1,147 24,087 920 19,320 1,637 34,377
0 -- 0 -- 500 4,813
</TABLE>
59
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Exxon Corp 1,726 $ 172,384 10,248 $ 1,023,518
Fina Inc Class A 0 -- 100 6,238
Global Marine Inc+ 1,500 27,938 1,900 35,388
Halliburton Co 125 8,078 968 62,557
Helmerich & Payne Inc 43 1,817 242 10,225
Indiana Energy Inc 0 -- 0 --
Kerr-McGee Corp 41 2,568 412 25,802
Louisiana Land & Exploration
Co 83 3,963 231 11,030
MAPCO Inc 674 21,400 520 16,510
MCN Corp 616 18,634 500 15,125
Mobil Corp 498 61,130 3,273 401,760
Murphy Oil Corp 493 22,863 580 26,898
Nabors Industries Inc+ 900 13,838 900 13,838
National Fuel Gas Co 400 17,200 320 13,760
Natural Gas Clearinghouse
Inc 0 -- 100 1,975
NICOR Inc 42 1,407 414 13,869
Noble Affiliates Inc 338 13,182 630 24,570
Noble Drilling Corp 0 -- 1,400 24,850
NorAm Energy Corp 114 1,710 1,058 15,870
Occidental Petroleum Corp 486 12,393 2,719 69,334
ONEOK Inc 47 1,340 220 6,270
Oryx Energy Co+ 195 3,900 765 15,300
Pacific Enterprises Co 148 4,514 742 22,631
Panenergy Corp 174 7,417 1,277 54,432
Parker & Parsley Petroleum 376 11,092 297 8,762
Parker Drilling Co+ 0 -- 0 --
Pennzoil Co 30 1,721 403 23,122
Peoples Energy Corp 61 2,066 234 7,927
Phillips Petroleum Co 408 16,881 2,188 90,529
Pogo Producing Co 300 10,313 400 13,750
Quaker State Corp 0 -- 0 --
Questar Corp 427 15,479 440 15,950
Ranger Oil Ltd 0 -- 0 --
Reading & Bates Corp+ 700 16,975 800 19,400
Repsol Sa 1,850 70,300 3,400 129,200
Rowan Co Inc+ 122 2,425 742 14,747
Royal Dutch Petroleum Co 1,889 326,797 3,617 625,740
Santa Fe Energy Resources
Inc+ 83 1,069 778 10,017
Schlumberger Ltd 377 37,936 1,759 176,999
Seagull Energy Corp+ 391 7,185 310 5,696
Services (B J) Co 0 -- 400 15,900
Sonat Offshore Drilling Co 128 5,888 673 30,958
Sun Co Inc 112 3,024 605 16,335
Texaco Inc 404 39,945 2,188 216,338
</TABLE>
60
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
21,274 $ 2,124,740 16,212 $ 1,619,173 29,237 $ 2,920,044
400 24,950 0 -- 100 6,238
3,615 67,329 2,500 46,563 4,000 74,500
2,034 131,447 1,540 99,523 3,296 213,004
421 17,787 287 12,126 546 23,069
352 9,152 0 -- 0 --
783 49,035 619 38,765 1,150 72,019
541 25,833 430 20,532 830 39,633
936 29,718 676 21,463 1,400 44,450
930 28,133 670 20,268 600 18,150
6,775 831,630 5,112 627,497 9,256 1,136,173
1,077 49,946 697 32,323 1,170 54,259
1,285 19,757 1,229 18,896 2,600 39,975
582 25,026 412 17,716 385 16,555
1,600 31,600 0 -- 3,200 63,200
829 27,772 635 21,272 1,181 39,564
873 34,047 858 33,462 1,520 59,280
2,100 37,275 1,800 31,950 3,000 53,250
2,241 33,615 1,759 26,385 3,123 46,845
5,591 142,571 4,239 108,094 7,724 196,962
457 13,025 369 10,516 646 18,411
1,718 34,360 1,273 25,460 3,089 61,780
1,459 44,499 1,124 34,282 1,951 59,505
2,619 111,635 1,937 82,565 3,585 152,811
534 15,753 386 11,387 462 13,629
844 7,068 619 5,184 0 --
755 43,318 624 35,802 1,062 60,932
617 20,901 435 14,736 850 28,794
4,521 187,056 3,425 141,709 6,216 257,187
600 20,625 400 13,750 700 24,063
419 6,128 299 4,373 0 --
710 25,737 640 23,200 1,030 37,338
1,508 13,572 1,103 9,927 0 --
1,200 29,100 1,100 26,675 1,900 46,075
6,625 251,750 5,250 199,500 9,150 347,700
1,424 28,302 1,057 21,008 1,754 34,861
7,038 1,217,573 5,500 951,499 9,503 1,644,018
1,513 19,480 1,177 15,154 2,118 27,269
3,996 402,097 3,044 306,302 6,528 656,880
548 10,070 403 7,405 375 6,891
600 23,850 600 23,850 1,000 39,750
1,520 69,920 1,159 53,314 2,002 92,092
1,295 34,965 929 25,083 1,697 45,819
4,514 446,322 3,420 338,153 6,196 612,629
</TABLE>
61
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Tosco Corp 1,371 $ 38,217 1,440 $ 40,140
Total Compagnie Francaise des
Petroles SA ADR (France) 4,025 159,497 7,450 295,217
Transocean Offshore Inc 200 11,175 200 11,175
TransTexas Gas Corp 0 -- 0 --
Ultramar Diamond Shamrock Corp 910 27,757 955 29,128
Union Pacific Resources Group 2,521 61,449 2,374 57,866
Union Texas Petroleum Holdings
Corp 600 11,100 700 12,950
United Meridian Corp 0 -- 400 12,050
Unocal Corp 373 14,407 1,909 73,735
USX-Marathon Group 402 10,703 2,309 61,477
Utilicorp United Inc 491 13,196 380 10,213
Valero Energy Corp 480 15,120 570 17,955
Vastar Resources Inc 200 5,800 200 5,800
Washington Gas & Light 464 10,266 360 7,965
Weatherford Enterra Inc+ 600 18,000 600 18,000
Western Atlas Inc 132 8,036 406 24,715
Williams Co Inc 186 8,116 1,335 58,384
Witco Corp 716 22,017 680 20,910
------------ ------------
TOTAL ENERGY & RELATED
- VALUE $ 2,579,206 $ 6,895,673
- COST $ 2,065,670 $ 5,676,801
ENGINEERING & CONSTRUCTION
PERCENT OF NET ASSETS 0.03% 0.08%
Armstrong World Industries Inc 90 $ 6,199 363 $ 25,002
Centex Corp 55 2,221 228 9,206
Clayton Homes Inc 1,026 14,624 984 14,018
Fleetwood Enterprises Inc 30 780 302 7,852
Fluor Corp 119 7,214 687 41,649
Foster Wheeler Corp 0 -- 310 12,090
Granite Construction Inc 0 -- 0 --
Kaufman & Broad Home Corp 57 805 280 3,955
Pulte Corp 48 1,638 222 7,576
Rouse Co 400 11,700 600 17,550
------------ ------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 45,181 $ 138,898
- COST $ 34,449 $ 128,119
ENTERTAINMENT & LEISURE
PERCENT OF NET ASSETS 0.22% 0.57%
Bally Total Fitness Holding Corp 26 $ 197 76 $ 575
Boyd Gaming Corp 0 -- 200 1,150
Brunswick Corp 92 2,634 762 21,812
</TABLE>
62
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1,467 $ 40,893 1,677 $ 46,746 3,135 $ 87,388
14,570 577,342 11,347 449,629 19,413 769,251
400 22,350 700 39,113 1,200 67,050
0 -- 0 -- 300 4,523
1,544 47,083 1,237 37,716 2,225 67,872
4,825 117,609 5,488 133,770 7,735 188,551
800 14,800 900 16,650 1,600 29,600
0 -- 500 15,063 900 27,113
4,081 157,629 3,134 121,051 5,696 220,008
4,972 132,380 3,782 100,696 6,806 181,210
675 18,141 494 13,276 472 12,685
764 24,066 684 21,546 1,060 33,390
1,600 46,400 900 26,100 500 14,500
624 13,806 454 10,045 440 9,735
1,057 31,710 700 21,000 1,300 39,000
892 54,301 659 40,117 1,253 76,276
2,641 115,522 2,042 89,338 3,680 160,978
1,352 41,574 822 25,277 1,595 49,046
------------ ------------ ------------
$ 13,884,352 $ 10,687,025 $ 18,896,250
$ 11,217,446 $ 8,648,609 $ 15,747,423
0.10% 0.13% 0.16%
672 $ 46,284 535 $ 36,848 996 $ 68,599
498 20,107 413 16,675 680 27,455
1,945 27,716 1,320 18,810 2,408 34,307
656 17,056 423 10,998 972 25,272
1,303 78,994 1,074 65,111 2,209 133,921
666 25,974 529 20,631 1,148 44,772
270 4,843 0 -- 0 --
671 9,478 495 6,992 886 12,515
359 12,251 293 9,999 578 19,724
500 14,625 900 26,325 1,600 46,800
------------ ------------ ------------
$ 257,328 $ 212,389 $ 413,365
$ 233,707 $ 191,893 $ 388,939
0.78% 0.85% 1.19%
185 $ 1,399 116 $ 877 223 $ 1,686
0 -- 300 1,725 700 4,025
1,702 48,720 1,329 38,043 2,282 65,322
</TABLE>
63
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Callaway Golf Co 596 $ 18,998 680 $ 21,675
Circus Circus Entertainment
Inc+ 929 29,031 1,130 35,313
Coleman Co Inc 0 -- 200 2,550
Disney (Walt) Co 894 66,380 5,179 384,540
Gaylord Entertainment Co
Class A 315 6,379 315 6,379
Grand Casinos Inc+ 400 4,400 400 4,400
Harrah's Entertainment Inc+ 104 1,924 822 15,207
Hasbro Inc 129 5,515 674 28,814
International Game
Technology Inc 1,397 24,448 1,600 28,000
Mattel Inc 358 8,905 2,103 52,312
MGM Grand Inc 200 7,025 300 10,538
Mirage Resorts Inc 1,690 42,039 1,760 43,780
Polaroid Corp 32 1,352 404 17,069
Spelling Entertainment Group
I+ 0 -- 0 --
Stanhome Inc 220 5,583 170 4,314
Tiffany & Co 326 11,329 400 13,900
Time Warner Inc 763 31,283 4,385 179,785
Topp Inc+ 512 2,176 0 --
U.S. West Media Group 894 16,427 5,091 93,547
------------ ------------
TOTAL ENTERTAINMENT &
LEISURE
- VALUE $ 286,025 $ 965,660
- COST $ 258,722 $ 869,098
ENVIRONMENTAL CONTROL
PERCENT OF NET ASSETS 0.10% 0.18%
Browning-Ferris Industries
Inc 338 $ 10,605 1,774 $ 55,659
Mid American Waste Systems
Inc+ 0 -- 0 --
Republic Industries Inc 1,500 53,250 1,400 49,700
Rollins Environmental
Services+ 131 360 353 971
Safety-Kleen Corp 76 1,368 448 8,064
U.S.A. Waste Services Inc 800 28,800 1,300 46,800
Wheelabrator Technologies
Inc 700 9,975 1,000 14,250
WMX Technologies Inc 722 22,833 3,961 125,267
------------ ------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 127,191 $ 300,711
- COST $ 104,876 $ 269,072
FOOD & RELATED
PERCENT OF NET ASSETS 1.63% 2.87%
Albertson's Inc 294 $ 10,364 1,900 $ 66,975
American Brands Inc 253 13,314 1,391 73,201
American Stores Co 225 10,069 1,241 55,535
Archer-Daniels-Midland Co 754 13,949 4,506 83,361
Bob Evans Farms Inc 468 6,377 360 4,905
</TABLE>
64
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1,158 $ 36,911 956 $ 30,473 1,616 $ 51,510
2,122 66,313 1,562 48,812 2,795 87,344
0 -- 0 -- 200 2,550
10,972 814,670 8,469 628,822 18,199 1,351,275
420 8,505 515 10,429 750 15,187
700 7,700 500 5,500 900 9,900
1,767 32,689 1,367 25,290 2,452 45,362
1,477 63,142 1,161 49,633 2,018 86,270
3,072 53,760 1,917 33,548 3,845 67,287
4,342 108,007 3,379 84,053 7,306 181,737
700 24,588 400 14,050 400 14,050
2,978 74,078 2,208 54,924 4,070 101,241
733 30,969 586 24,759 1,084 45,799
0 -- 0 -- 400 2,500
299 7,587 214 5,430 210 5,329
480 16,680 360 12,510 800 27,800
9,205 377,405 7,136 292,576 15,275 626,275
722 3,069 527 2,240 0 --
10,689 196,410 8,078 148,433 14,682 269,782
------------ ------------ ------------
$ 1,972,602 $ 1,512,127 $ 3,062,231
$ 1,768,618 $ 1,321,401 $ 2,791,062
0.23% 0.30% 0.34%
3,658 $ 114,770 2,779 $ 87,191 5,036 $ 158,004
372 163 0 -- 0 --
1,600 56,800 2,500 88,750 4,600 163,300
769 2,115 623 1,713 822 2,261
941 16,938 738 13,284 1,380 24,840
2,400 86,400 1,900 68,400 3,500 126,000
2,800 39,900 1,400 19,950 2,100 29,925
8,322 263,183 6,360 201,135 11,465 362,581
------------ ------------ ------------
$ 580,269 $ 480,423 $ 866,911
$ 528,608 $ 440,994 $ 786,754
3.92% 4.78% 5.51%
4,029 $ 142,022 3,108 $ 109,557 6,736 $ 237,444
2,916 153,454 2,266 119,248 4,045 212,868
2,495 111,651 1,935 86,591 3,399 152,105
9,321 172,439 7,113 131,591 12,761 236,079
752 10,246 472 6,431 1,250 17,031
</TABLE>
65
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Boston Chicken Inc+ 600 $ 19,650 500 $ 16,375
Brinker International Inc+ 1,056 12,540 990 11,756
Brown-Forman Corp Class B 71 3,177 592 26,492
Campbell Soup Co 290 26,136 1,795 161,774
ConAgra Inc 284 15,052 1,840 97,520
CPC International Inc 237 19,938 1,076 90,519
Cracker Barrel Old Country
Store Inc 649 17,685 710 19,348
Darden Restaurants Inc 153 1,109 1,215 8,809
Dave & Buster's Inc 0 -- 0 --
Dean Foods Co 424 13,833 540 17,617
Dole Food Inc 446 17,060 610 23,333
Earthgrains Co 14 767 73 3,997
Fleming Co Inc 65 1,138 263 4,603
Flowers Industries Inc 606 14,014 480 11,100
Food Lion Inc Class A 3,300 26,194 3,100 24,606
Food Lion Inc Class B 2,500 20,781 2,300 19,119
General Mills Inc 203 13,246 1,215 79,279
General Nutrition Co Inc+ 1,100 19,800 1,100 19,800
Giant Food Inc Class A 54 1,762 451 14,714
Grand Metropolitan PLC ADR
(UK) 7,624 228,720 14,104 423,119
Great Atlantic & Pacific Tea
Co 67 1,993 265 7,884
Hannaford Brothers Co 436 15,533 360 12,825
Harcourt General Inc 86 4,053 530 24,976
Heinz (H J) Co 474 19,730 2,869 119,422
Hershey Foods Corp 208 9,490 1,246 56,849
Hormel Foods Corp 400 10,500 500 13,125
Host Marriott Services Corp 240 2,190 240 2,190
IBP Inc 1,032 23,994 1,220 28,365
International Dairy Queen
Clas 0 -- 0 --
International Multifoods
Corp 0 -- 0 --
Interstate Bakeries Corp 0 -- 300 14,025
Kellogg Co 319 21,852 1,577 108,025
Kroger Co+ 165 8,745 1,008 53,424
Lancaster Colony Corp 338 15,464 260 11,895
Lance Inc 0 -- 0 --
Lone Star Steakhouse &
Saloon+ 300 7,950 400 10,600
Luby's Cafeteria Inc 45 917 219 4,462
McCormick & Co Inc 888 20,979 900 21,263
McDonald's Corp 940 40,655 5,284 228,533
Michael Foods Inc 0 -- 0 --
Morrison Fresh Cooking Inc 96 456 50 238
Nabisco Holdings Corp Class
A 200 8,225 200 8,225
NPC International Inc+ 0 -- 0 --
Outback Steakhouse Inc+ 400 9,550 400 9,550
</TABLE>
66
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
700 $ 22,925 700 $ 22,925 1,300 $ 42,575
1,871 22,218 1,171 13,906 2,130 25,294
1,142 51,105 952 42,602 1,616 72,316
3,786 341,213 2,977 268,302 6,260 564,183
3,850 204,050 3,059 162,127 6,514 345,242
2,350 197,694 1,790 150,584 3,896 327,751
1,411 38,450 971 26,460 1,625 44,281
2,626 19,039 1,957 14,188 3,646 26,433
69 1,596 0 -- 0 --
707 23,066 637 20,782 1,205 39,313
1,008 38,556 668 25,551 1,425 54,506
167 9,143 134 7,337 306 16,753
639 11,183 439 7,683 907 15,873
879 20,327 624 14,430 577 13,343
5,600 44,450 4,200 33,338 7,300 57,944
4,300 35,744 3,000 24,938 5,000 41,562
2,569 167,627 1,982 129,325 4,303 280,771
2,100 37,800 1,400 25,200 2,500 45,000
989 32,266 766 24,991 1,443 47,078
28,050 841,499 21,799 653,969 37,230 1,116,894
669 19,903 460 13,685 878 26,121
745 26,541 465 16,566 940 33,487
1,104 52,026 916 43,167 1,968 92,742
5,921 246,462 4,610 191,891 9,903 412,212
2,514 114,701 1,920 87,600 4,113 187,656
600 15,750 600 15,750 1,100 28,875
380 3,468 320 2,920 680 6,205
2,152 50,034 1,542 35,852 2,700 62,775
369 7,934 0 -- 0 --
274 5,788 0 -- 0 --
600 28,050 300 14,025 500 23,375
3,363 230,366 2,607 178,580 5,658 387,573
2,059 109,127 1,566 82,998 3,334 176,702
470 21,503 340 15,555 628 28,731
478 8,843 0 -- 0 --
700 18,550 500 13,250 900 23,850
480 9,780 369 7,518 621 12,653
1,355 32,012 1,205 28,468 2,055 48,549
11,259 486,952 8,765 379,085 18,738 810,419
229 2,548 0 -- 0 --
160 760 99 470 193 917
800 32,900 100 4,113 300 12,338
374 3,927 284 2,982 0 --
500 11,938 600 14,325 900 21,488
</TABLE>
67
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Pioneer Hi Bred
International Inc 132 $ 8,993 624 $ 42,510
Planet Hollywood
International 0 -- 100 1,700
Quaker Oats Co 136 4,879 1,074 38,530
Ralston-Purina Group 151 12,401 818 67,178
Richfood Holdings Inc 0 -- 500 10,563
RJR Nabisco Holdings Corp 2,270 83,139 2,743 100,462
Ruby Tuesday Inc 192 3,312 100 1,725
Ryans Family Steak House+ 119 878 516 3,806
Safeway Inc+ 900 43,313 900 43,313
Sara Lee Corp 613 23,754 3,702 143,452
Savannah Foods & Industries 0 -- 0 --
Sbarro Inc 0 -- 0 --
Shoney's Inc+ 97 800 370 3,053
Sizzler International Inc+ 254 635 0 --
Smucker (J M) Co Class A 305 5,071 0 --
Southland Corp+ 1,800 6,188 1,400 4,813
Starbucks Corp+ 1,000 83,625 1,000 33,625
Super Value Inc 76 2,356 597 18,507
Sysco Corp 198 6,880 1,359 47,225
The Vons Co Inc+ 280 19,075 370 25,206
Tootsie Roll Industries 206 8,704 206 8,704
Tyson Food Inc Class A 591 11,968 1,590 32,198
Unilever NV (Netherlands) 5,605 1,067,752 10,283 1,958,911
Universal Corp 381 12,002 500 15,750
Universal Foods Corp 279 9,626 320 11,040
UST Inc 184 5,681 1,493 46,096
Weis Markets Inc 200 6,000 100 3,000
Wendy's International Inc 205 4,254 1,074 22,286
Winn-Dixie Stores Inc 160 5,100 1,200 38,250
Wrigley (W M) Jr Co 179 10,718 895 53,588
------------ ------------
TOTAL FOOD & RELATED
- VALUE $ 2,146,055 $ 4,869,224
- COST $ 1,681,917 $ 3,872,860
FURNITURE & APPLIANCES
PERCENT OF NET ASSETS 0.06% 0.08%
Bassett Furniture Industries 25 $ 619 50 $ 1,238
HON Industries Inc 353 13,502 270 10,328
Leggett & Platt Inc 858 30,781 1,000 35,875
Maytag Corp 112 2,464 806 17,732
Miller (Herman) Inc 269 17,687 210 13,808
National Presto Industries
Inc 0 -- 0 --
Schuller Corp 0 -- 400 4,750
Skyline Corp 20 483 44 1,062
</TABLE>
68
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1,311 $ 89,312 1,030 $ 70,169 2,257 $ 153,758
1,600 27,200 200 3,400 300 5,100
2,183 78,315 1,713 61,454 3,651 130,980
1,685 138,381 1,283 105,366 2,860 234,877
0 -- 600 12,675 1,100 23,238
5,005 183,308 3,551 130,055 6,518 238,722
321 5,537 199 3,433 387 6,676
1,012 7,463 679 5,008 1,039 7,663
3,600 173,250 2,000 96,250 4,600 221,375
7,757 300,584 6,032 233,740 13,048 505,610
410 5,996 290 4,241 0 --
319 8,294 219 5,694 0 --
751 6,196 596 4,917 1,304 10,758
434 1,085 319 798 0 --
436 7,248 331 5,503 0 --
2,600 8,938 1,800 6,188 4,200 14,438
1,700 57,163 1,200 40,350 2,200 73,975
1,193 36,983 860 26,660 1,552 48,112
2,901 100,810 2,265 78,709 4,779 166,070
764 52,048 484 32,973 860 58,587
309 13,055 206 8,704 521 22,012
3,711 75,148 2,473 50,078 3,045 61,661
20,021 3,814,000 15,915 3,031,807 27,332 5,206,745
639 20,129 594 18,711 1,065 33,547
409 14,111 489 16,871 770 26,565
2,953 91,174 2,388 73,730 4,944 152,646
600 18,000 200 6,000 300 9,000
2,221 46,086 1,689 35,047 3,010 62,457
2,415 76,978 1,907 60,786 3,976 126,735
1,876 112,326 1,410 84,424 3,087 184,834
------------ ----------- ------------ ----------- ------------
$ 9,858,744 $ 7,584,597 $ 14,215,448
$ 7,795,632 $ 5,891,976 $ 11,464,218
0.10% 0.11% 0.12%
200 $ 4,950 120 $ 2,970 206 $ 5,099
484 18,513 354 13,541 535 20,464
1,474 52,880 1,184 42,476 2,330 83,589
1,739 38,258 1,308 28,776 2,404 52,888
374 24,591 279 18,344 260 17,095
116 4,365 81 3,048 0 --
1,800 21,375 300 3,563 700 8,313
222 5,356 78 1,882 133 3,209
</TABLE>
69
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Sunbeam Oster Co Inc 500 $ 13,688 600 $ 16,425
Whirlpool Corp 80 4,040 651 32,876
------------ ------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 83,264 $ 134,094
- COST $ 51,386 $ 105,152
HEALTHCARE
PERCENT OF NET ASSETS 0.18% 0.25%
Apria Healthcare Group Inc 500 $ 8,938 600 $ 10,725
Cardinal Health Inc 812 49,907 1,210 74,415
HealthCare Compare Corp+ 484 20,661 490 20,917
Healthsource Inc+ 600 12,525 700 14,613
Healthsouth Corp 244 9,821 1,200 48,300
Idexx Laboratories Inc+ 400 14,900 500 18,625
Mid Atlantic Medical
Services+ 400 5,900 500 7,375
Morrison Health Care Inc 128 1,728 66 891
Novacare Inc+ 0 -- 0 --
Oakley Inc 600 5,325 600 5,325
Oxford Health Plans Inc 700 39,025 800 44,600
PacifiCare Health Systems
Inc Class A+ 91 7,280 243 19,442
PacifiCare Health Systems
Inc Class B 274 22,970 295 24,710
Physician Corp of America+ 400 1,750 300 1,313
St Jude Medical Inc+ 48 1,896 728 28,756
Transitional Hospitals Corp+ 101 909 373 3,357
United Healthcare Corp 289 14,414 1,503 74,962
Value Health Inc+ 435 10,440 545 13,080
Vivra Inc+ 400 11,900 500 14,875
------------ ------------
TOTAL HEALTHCARE
- VALUE $ 240,289 $ 426,281
- COST $ 233,191 $ 414,935
HOSPITAL & MEDICAL SUPPLIES
PERCENT OF NET ASSETS 0.38% 0.99%
Allegiance Corp 81 $ 2,136 428 $ 11,289
American Oncology Resources 0 -- 200 1,825
Arrow International Inc 0 -- 100 3,525
Arterial Vascular
Engineering 0 -- 100 1,575
Bard (C R) Inc 141 3,860 512 14,016
Bausch & Lomb Inc 54 2,018 450 16,819
Baxter International Inc 359 16,514 2,194 100,924
Becton Dickinson & Co 154 7,584 996 49,053
Beverly Enterprises+ 170 2,444 791 11,371
Biomet Inc 127 1,937 944 14,396
Boston Scientific Corp 193 12,786 1,326 87,847
</TABLE>
70
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
800 $ 21,900 600 $ 16,425 1,300 $ 35,587
1,239 62,569 998 50,399 1,755 88,627
------------ ----------- ------------ ----------- ------------
$ 254,757 $ 181,424 $ 314,871
$ 203,470 $ 143,117 $ 257,578
0.31% 0.37% 0.40%
800 $ 14,300 600 $ 10,725 1,300 $ 23,238
1,664 102,305 1,531 94,157 2,679 164,728
816 34,833 496 21,173 965 41,193
1,300 27,138 800 16,700 1,400 29,225
2,578 103,765 2,087 84,002 3,930 158,183
800 29,800 600 22,350 1,000 37,250
700 10,325 500 7,375 1,300 19,175
214 2,889 132 1,782 258 3,483
975 12,188 710 8,875 0 --
1,200 10,650 800 7,100 1,200 10,650
1,400 78,050 1,000 55,750 1,900 105,925
424 33,915 304 24,285 186 14,897
551 46,162 412 34,500 695 58,222
600 2,625 500 2,188 1,100 4,813
1,386 54,747 1,012 39,974 1,895 74,852
806 7,254 512 4,608 724 6,516
3,127 155,959 2,400 119,700 4,375 218,203
1,019 24,456 847 20,328 1,119 26,856
800 23,800 500 14,875 1,000 29,750
------------ ------------ ------------
$ 775,161 $ 590,447 $ 1,027,159
$ 730,874 $ 530,822 $ 985,500
1.36% 1.62% 2.02%
930 $ 24,529 698 $ 18,410 1,207 $ 31,835
0 -- 200 1,825 400 3,650
0 -- 0 -- 200 7,050
0 -- 0 -- 0 --
1,014 27,758 720 19,710 1,346 36,847
961 35,917 702 26,237 1,309 48,924
4,667 214,682 3,558 163,668 6,446 296,516
2,172 106,971 1,666 82,051 2,950 145,288
1,669 23,992 1,226 17,624 2,290 32,919
1,963 29,936 1,490 22,722 2,667 40,672
2,891 191,529 2,208 146,280 4,723 312,899
</TABLE>
71
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Columbia/HCA Healthcare Corp 912 $ 38,304 5,475 $ 229,950
Dentsply International Inc 200 10,450 200 10,450
Depuy Inc 0 -- 200 4,300
FHP International Corp+ 0 -- 0 --
Foundation Health Corp+ 609 22,990 482 18,196
Guidant Corp 50 3,350 200 13,400
Health Care & Retirement
Corp 650 17,631 600 16,275
Health Management Associates
Inc Class A 1,050 27,825 1,250 33,125
Hillenbrand Industries Inc 300 11,288 700 26,338
Horizon/CMS Healthcare Corp 600 9,825 400 6,550
Johnson & Johnson 1,776 102,342 10,222 589,042
Mallinckrodt Group Inc 84 3,570 630 26,775
Manor Care Inc 59 1,571 455 12,114
Medpartners Inc 1,210 26,620 1,989 43,758
Medtronic Inc 350 22,663 1,834 118,752
Nellcor Inc 800 13,900 700 12,163
Phycor Inc 600 18,225 600 18,225
Quorum Health Group Inc 300 9,413 300 9,413
Stryker Corp 748 21,692 920 26,680
Sybron International Corp+ 500 14,875 600 17,850
Tenet Healthcare Corp+ 1,211 32,848 2,661 72,180
Thermo Cardiosystems Inc 150 4,200 250 7,000
United States Surgical 149 6,351 546 23,273
Vencor Inc+ 700 24,238 800 27,700
------------ ------------
TOTAL HOSPITAL & MEDICAL
SUPPLIES
- VALUE $ 493,450 $ 1,676,149
- COST $ 427,301 $ 1,329,310
HOUSEHOLD PRODUCTS
PERCENT OF NET ASSETS 0.20% 0.82%
Alberto-Culver Co Class B 96 $ 2,736 444 $ 12,654
Avon Products Inc 154 8,971 990 57,668
Colgate-Palmolive Co 233 24,115 1,121 116,023
Estee Lauder Co Class A 200 9,300 200 9,300
Gillette Co 697 55,166 4,163 329,412
Kimberly-Clark Corp 381 40,386 2,122 224,932
NCH Corp 0 -- 0 --
Procter & Gamble Co 873 104,869 5,147 618,282
Tambrands Inc 497 21,371 510 21,930
------------ ------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 266,914 $ 1,390,201
- COST $ 209,419 $ 954,040
</TABLE>
72
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
11,464 $ 481,505 8,784 $ 368,928 15,829 $ 664,818
300 15,675 300 15,675 500 26,125
1,700 36,550 0 -- 400 8,600
0 -- 0 -- 0 --
965 36,429 626 23,632 1,186 44,772
1,188 79,596 185 12,395 1,943 130,181
750 20,344 600 16,275 1,350 36,619
1,650 43,725 1,600 42,400 2,825 74,863
1,000 37,625 800 30,100 1,400 52,675
900 14,738 700 11,463 1,000 16,375
21,452 1,236,171 16,676 960,953 35,730 2,058,940
1,224 52,020 1,007 42,798 1,699 72,208
1,097 29,208 827 22,019 1,472 39,192
2,420 53,240 2,452 53,944 4,462 98,164
3,874 250,841 2,984 193,214 6,390 413,752
1,300 22,588 950 16,506 1,600 27,800
1,050 31,894 750 22,781 1,450 44,044
400 12,550 300 9,413 700 21,963
1,668 48,372 1,088 31,552 2,300 66,700
800 23,800 800 23,800 1,400 41,650
5,193 140,860 3,952 107,198 6,930 187,976
300 8,400 300 8,400 450 12,600
1,049 44,714 781 33,290 1,453 61,934
1,500 51,938 980 33,933 1,574 54,500
------------ ------------ ------------
$ 3,428,097 $ 2,579,196 $ 5,213,051
$ 2,629,158 $ 1,908,341 $ 4,073,977
1.19% 1.44% 1.90%
920 $ 26,220 808 $ 23,028 1,222 $ 34,827
2,128 123,956 1,643 95,705 3,576 208,302
2,370 245,295 1,876 194,166 3,976 411,516
800 37,200 300 13,950 400 18,600
8,920 705,779 6,461 511,257 14,806 1,171,508
4,553 482,618 3,565 377,890 7,539 799,134
124 7,378 89 5,296 0 --
10,981 1,319,092 8,611 1,034,395 18,391 2,209,218
954 41,022 609 26,187 1,085 46,655
------------ ------------ ------------
$ 2,988,560 $ 2,281,874 $ 4,899,760
$ 2,044,865 $ 1,492,982 $ 3,361,561
</TABLE>
73
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE
PERCENT OF NET ASSETS 0.88% 2.11%
Aetna Inc 168 $ 13,923 1,189 $ 98,538
AFLAC Corp 1,496 60,401 1,870 75,501
Alleghany Corp 2 427 100 21,338
Allmerica Financial Corp 200 7,475 100 3,738
Allmerica Property &
Casualty Co Inc 300 9,413 800 25,100
Allstate Corp 604 38,279 3,680 233,220
American General Corp 300 13,013 1,635 70,918
American International Group
Inc 609 73,689 3,523 426,282
American National Insurance
Co 100 8,250 100 8,250
American States Financial
Corp 0 -- 100 3,275
Aon Corp 140 8,873 860 54,503
Argonaut Group Inc 0 -- 100 2,875
Chubb Corp 208 12,194 1,396 81,841
CIGNA Corp 76 11,619 597 91,266
Cincinnati Financial Corp 630 43,549 746 51,567
CNA Financial Corp+ 100 11,125 100 11,125
Conseco Inc 1,250 49,063 1,466 57,560
Equitable Co Inc 900 28,238 900 28,238
Equitable of Iowa Co 300 15,938 300 15,938
Everest Reinsurance Holdings
Inc 300 9,450 200 6,300
General Re Corp 97 16,454 692 117,381
Hartford Steam Boiler
Inspection 230 10,523 280 12,810
Highlands Insurance Group 37 833 76 1,710
Humana Inc+ 250 4,906 1,350 26,494
ITT Hartford Group Inc 131 9,825 996 74,700
Jefferson-Pilot Corp 104 6,136 587 34,633
John Alden Financial Corp 0 -- 0 --
Leucadia National Corp 400 10,650 400 10,650
Lincoln National Corp 140 8,137 860 49,988
Loews Corp 150 15,319 900 91,912
Marsh & McLennan Companies
Inc 80 9,360 549 64,233
MBIA Inc 450 43,931 450 43,931
Mercury General Corp 100 6,138 100 6,138
Ohio Casualty Corp 300 11,888 400 15,850
Old Republic International
Corp 1,050 28,481 950 25,769
Paul Revere Corp 0 -- 100 4,163
PMI Group Inc 300 16,425 300 16,425
Progressive Corp Ohio 482 31,872 620 40,998
Protective Life Corp 300 12,900 300 12,900
Provident Companies Inc 297 16,187 290 15,805
Providian Corp 151 8,437 719 40,174
Reliastar Financial Corp 300 18,600 400 24,800
</TABLE>
74
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------
2.91% 3.46% 3.96%
2,625 $ 217,547 1,916 $ 158,788 3,562 $ 295,201
3,217 129,886 2,337 94,356 4,227 170,665
102 21,764 102 21,764 102 21,764
700 26,163 200 7,475 300 11,213
1,400 43,925 900 28,238 1,700 53,337
7,662 485,579 5,748 364,279 10,511 666,135
3,499 151,769 2,682 116,332 4,788 207,679
7,530 911,129 5,842 706,881 12,620 1,527,019
200 16,500 200 16,500 300 24,750
0 -- 0 -- 300 9,825
1,868 118,385 1,390 88,091 2,568 162,747
0 -- 200 5,750 300 8,625
2,987 175,113 2,304 135,072 4,114 241,183
1,311 200,419 973 148,747 1,766 269,977
1,245 86,061 940 64,978 1,695 117,167
1,000 111,250 600 66,750 1,300 144,625
2,566 100,720 1,902 74,654 3,548 139,242
3,100 97,263 1,300 40,788 2,100 65,888
400 21,250 400 21,250 800 42,500
400 12,600 300 9,450 600 18,900
1,382 234,422 1,121 190,150 1,962 332,804
309 14,137 324 14,823 620 28,365
172 3,870 136 3,060 216 4,860
2,807 55,087 2,105 41,311 3,790 74,379
2,025 151,875 1,486 111,450 2,743 205,725
1,202 70,918 973 57,407 1,629 96,111
0 -- 0 -- 300 5,700
400 10,650 600 15,975 1,100 29,288
1,812 105,323 1,332 77,422 2,482 144,266
1,995 203,739 1,459 149,000 2,713 277,065
1,120 131,040 884 103,428 1,892 221,364
812 79,272 547 53,401 987 96,356
200 12,275 100 6,138 300 18,413
700 27,738 400 15,850 900 35,663
1,800 48,825 1,250 33,906 2,100 56,962
0 -- 0 -- 200 8,325
300 16,425 400 21,900 700 38,325
1,197 79,152 797 52,702 1,350 89,269
600 25,800 500 21,500 700 30,100
806 43,927 501 27,305 680 37,060
1,650 92,194 1,270 70,961 2,252 125,830
800 49,600 600 37,200 1,000 62,000
</TABLE>
75
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SAFECO Corp 170 $ 7,098 1,012 $ 42,251
St Paul Co 123 8,303 693 46,778
Sunamerica Inc 600 27,525 600 27,525
TIG Holdings Inc 500 17,875 500 17,875
Tokio Marine & Fire
Insurance Co ADR 5,700 277,163 17,100 831,487
Torchmark Corp 78 4,592 598 35,207
Transamerica Corp 74 6,484 495 43,374
Transatlantic Holdings Inc 151 12,741 200 16,875
Travelers Inc 883 47,351 5,307 284,587
Travelers/Aetna Property &
Casualty Corp Class A 100 3,688 500 18,438
U.S. Life Corp 60 2,858 257 12,240
Unitrin Inc 300 16,200 400 21,600
UNUM Corp 83 6,381 627 48,201
USF & G Corp 174 3,915 920 20,700
Western National Corp 400 9,200 400 9,200
Zurich Reinsurance Centre
Holdings Inc 200 7,675 100 3,838
------------ ------------
TOTAL INSURANCE
- VALUE $ 1,160,970 $ 3,579,013
- COST $ 985,708 $ 2,986,964
LODGING
PERCENT OF NET ASSETS 0.08% 0.14%
Choice Hotels Inc 59 $ 907 505 $ 7,764
HFS Inc+ 200 13,700 1,000 68,500
Hilton Hotels Corp 393 9,874 1,828 45,929
Homestead Village Property
Inc 75 1,310 88 1,529
Host Marriott Corp+ 1,800 32,400 1,900 34,200
La Quinta Inns Inc 800 15,800 750 14,813
Marriott International 173 9,169 1,013 53,689
Primadonna Resorts Inc 0 -- 0 --
Promus Hotel Corp 677 23,949 561 19,845
------------ ------------
TOTAL LODGING
- VALUE $ 107,109 $ 246,269
- COST $ 83,517 $ 186,355
MACHINERY
PERCENT OF NET ASSETS 0.18% 0.40%
AGCO Corp 300 $ 8,513 300 $ 8,513
AVX Corp 300 6,638 200 4,425
Black & Decker Corp 122 3,858 692 21,885
Case Corp 100 5,188 650 33,719
Caterpillar Inc 257 20,142 1,591 124,695
Cincinnati Milacron Inc 59 1,269 332 7,138
</TABLE>
76
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
2,189 $ 91,391 1,621 $ 67,677 2,974 $ 124,164
1,392 93,960 1,045 70,537 1,991 134,393
1,500 68,813 900 41,288 1,400 64,225
900 32,175 700 25,025 1,100 39,325
33,000 1,604,624 25,350 1,232,643 45,700 2,222,161
1,191 70,120 967 56,932 1,690 99,499
1,095 95,949 857 75,095 1,519 133,102
355 29,953 260 21,938 340 28,688
10,991 589,392 8,307 445,462 15,093 809,362
900 33,188 600 22,125 900 33,188
575 27,384 452 21,527 792 37,719
600 32,400 400 21,600 800 43,200
1,222 93,941 1,001 76,952 1,694 130,226
2,023 45,518 1,507 33,908 2,698 60,705
600 13,800 400 9,200 1,000 23,000
0 -- 100 3,838 300 11,512
------------ ------------ ------------
$ 7,306,200 $ 5,500,779 $ 10,211,141
$ 6,003,379 $ 4,478,005 $ 8,548,751
0.20% 0.23% 0.29%
1,105 $ 16,989 807 $ 12,408 1,217 $ 18,711
2,102 143,987 1,570 107,545 3,330 228,105
3,969 99,721 3,062 76,933 6,024 151,353
101 1,747 113 1,966 189 3,276
3,400 61,200 2,500 45,000 4,700 84,600
1,500 29,625 900 17,775 1,800 35,550
2,048 108,544 1,608 85,224 3,418 181,154
0 -- 0 -- 400 7,450
1,174 41,530 745 26,354 1,355 47,933
------------ ------------ ------------
$ 503,343 $ 373,205 $ 758,132
$ 363,335 $ 262,575 $ 569,559
0.57% 0.66% 0.72%
500 $ 14,188 400 $ 11,350 700 $ 19,863
1,300 28,763 300 6,638 600 13,275
1,505 47,596 1,133 35,831 2,088 66,033
1,273 66,037 912 47,310 1,715 88,966
3,298 258,481 2,451 192,097 4,485 351,512
636 13,674 513 11,030 1,011 21,736
</TABLE>
77
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Cummins Engine Co Inc 23 $ 1,164 370 $ 18,731
Deere & Co 328 13,981 2,163 92,198
Federal Mogul Corp 396 9,752 300 7,388
Giddings & Lewis Inc 60 829 283 3,909
Goulds Pumps Inc 0 -- 0 --
Harsco Corp 538 19,368 620 22,320
Ingersoll-Rand Co 110 5,225 853 40,518
Jacobs Engineering Group+ 0 -- 0 --
Kubota Corp ADR 100 9,000 100 9,000
MagneTek Inc 0 -- 0 --
Makita Corp ADR 2,950 40,931 8,750 121,406
McDermott International Inc 44 979 415 9,234
Measurex Corp 0 -- 0 --
Nordson Corp 214 11,984 160 8,960
Pall Corp 78 1,697 894 19,445
Parker Hannifin Corp 102 4,463 637 27,869
Pentair Co 0 -- 0 --
Presstek Inc+ 100 4,950 200 9,900
SPX Corp 22 1,009 46 2,110
Tecumseh Products Co Class A 241 13,797 190 10,878
Teleflex Inc 175 9,188 0 --
Thermo Electron Corp 233 7,951 1,126 38,425
UCAR International Inc 400 17,200 400 17,200
York International Corp 402 17,738 520 22,945
Zurn Industries Inc 22 564 46 1,179
------------ ------------
TOTAL MACHINERY
- VALUE $ 237,378 $ 683,990
- COST $ 245,176 $ 663,236
METAL FABRICATORS
PERCENT OF NET ASSETS 0.29% 0.79%
Alcan Aluminum Ltd 318 $ 11,408 1,829 $ 65,615
Allegheny Teledyne Inc 256 6,528 1,410 35,955
Alumax Inc 489 19,132 480 18,780
Aluminum Co of America 210 14,963 1,398 99,607
Amphenol Corp Class A 200 5,100 200 5,100
Armco Inc+ 107 441 875 3,609
Barrick Gold Corp 407 11,498 2,970 83,903
Battle Mountain Gold Co 328 2,419 1,790 13,201
Bethlehem Steel Corp+ 62 512 856 7,062
British Steel PLC ADR (UK) 850 21,144 1,500 37,312
Crane Co 78 2,545 362 11,810
Engelhard Corp 164 3,629 1,165 25,776
</TABLE>
78
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
683 $ 34,577 472 $ 23,895 955 $ 48,347
4,429 188,786 3,344 142,538 6,041 257,498
553 13,618 398 9,801 380 9,358
607 8,384 423 5,843 763 10,539
315 7,422 0 -- 0 --
1,148 41,328 758 27,288 1,520 54,720
1,893 89,918 1,395 66,263 2,590 123,025
373 9,605 0 -- 0 --
100 9,000 100 9,000 100 9,000
367 6,101 0 -- 0 --
16,425 227,897 13,075 181,416 23,550 326,756
904 20,114 674 14,997 1,248 27,768
286 9,974 0 -- 0 --
293 16,408 208 11,648 385 21,560
1,844 40,107 1,454 31,625 3,312 72,036
1,285 56,219 959 41,956 1,746 76,388
576 18,072 406 12,738 0 --
200 9,900 200 9,900 300 14,850
226 10,368 83 3,808 248 11,377
345 19,751 249 14,255 431 24,675
254 13,335 194 10,185 0 --
2,424 82,719 2,046 69,820 3,481 118,789
800 34,400 600 25,800 900 38,700
959 42,316 714 31,505 1,185 52,288
224 5,740 180 4,613 241 6,176
------------ ------------ ------------
$ 1,444,798 $ 1,053,150 $ 1,865,235
$ 1,336,880 $ 989,657 $ 1,750,310
0.95% 1.29% 1.43%
3,868 $ 138,764 2,903 $ 104,145 5,316 $ 190,712
2,815 71,783 2,165 55,207 4,040 103,020
773 30,244 693 27,114 1,070 41,864
2,945 209,831 2,307 164,374 4,118 293,407
300 7,650 200 5,100 500 12,750
1,771 7,305 1,205 4,971 3,167 13,064
6,162 174,077 4,695 132,634 8,418 237,809
3,697 27,265 2,857 21,070 5,222 38,512
1,828 15,081 1,402 11,566 2,597 21,425
3,050 75,869 2,400 59,700 4,050 100,744
742 24,208 601 19,591 1,077 35,137
2,466 54,560 1,829 40,467 3,350 74,119
</TABLE>
79
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Freeport McMoRan Copper &
Gold Inc Class B 38 $ 1,240 28 $ 914
Freeport McMoRan Inc 322 10,948 1,537 52,258
Getchell Gold Corp 24 1,236 359 18,488
Inland Steel Industries Inc 97 1,916 396 7,821
Kaydon Corp 0 -- 0 --
Laboratory Corp of America
Holdings 660 2,475 418 1,568
Lukens Inc 0 -- 0 --
Mitsui & Co Ltd ADR 1,250 183,750 3,700 543,899
Nucor Corp 127 6,112 671 32,292
Oregon Steel Mills Inc 0 -- 0 --
Phelps Dodge Corp 74 5,291 495 35,392
Placer Dome Inc 242 5,203 1,849 39,754
Precision Castparts Corp 0 -- 0 --
Reynolds Metals Co 156 9,789 553 34,701
Santa Fe Pacific Gold Corp 178 3,338 1,056 19,800
Timken Co 79 4,138 227 11,889
USX--U.S. Steel Group 132 4,142 728 22,841
WMC Ltd ADR 1,750 44,844 3,100 79,438
Worthington Industries Inc 133 2,776 727 15,176
------------ ------------
TOTAL METAL FABRICATORS
- VALUE $ 386,517 $ 1,323,961
- COST $ 393,179 $ 1,344,946
OFFICE EQUIPMENT & SUPPLIES
PERCENT OF NET ASSETS 0.01% 0.00%
Standard Register Co 301 $ 9,820 0 $ --
------------ ------------
TOTAL OFFICE EQUIPMENT &
SUPPLIES
- VALUE $ 9,820 $ --
- COST $ 6,560 $ --
PHARMACEUTICALS
PERCENT OF NET ASSETS 1.17% 2.98%
Abbott Laboratories 1,011 $ 56,869 5,896 $ 331,649
Allergan Inc 62 2,108 557 18,938
ALZA Corp+ 118 3,348 637 18,075
American Home Products Corp 838 53,632 4,888 312,831
Amgen Inc+ 366 22,372 1,996 122,006
Bergen Brunswig Corp Class A 420 13,493 516 16,577
Bristol-Myers Squibb Co 671 87,566 3,832 500,075
Centocor Inc+ 746 28,255 840 31,815
Covance Inc 90 1,715 1,181 22,444
Dura Pharmaceuticals Inc 0 -- 500 16,813
Glaxo Holdings PLC ADR (UK) 7,400 250,675 13,600 460,699
</TABLE>
80
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
52 $ 1,696 38 $ 1,240 236 $ 7,700
3,124 106,216 2,485 84,490 5,229 177,786
222 11,433 458 23,587 746 38,419
817 16,136 585 11,554 1,161 22,930
250 10,813 0 -- 0 --
1,043 3,911 684 2,565 1,337 5,014
230 4,284 0 -- 0 --
7,000 1,028,999 5,425 797,474 9,750 1,433,249
1,540 74,113 1,144 55,055 2,108 101,448
299 5,083 199 3,383 0 --
1,095 78,293 855 61,133 1,550 110,825
3,881 83,441 2,998 64,457 6,352 136,568
300 14,700 213 10,437 0 --
1,084 68,021 808 50,702 1,463 91,803
2,255 42,281 1,630 30,563 3,095 58,031
519 27,183 397 20,793 710 37,186
1,425 44,709 1,080 33,885 1,970 61,809
6,075 155,672 4,850 124,281 8,300 212,687
1,579 32,962 1,161 24,236 2,139 44,652
------------ ------------ ------------
$ 2,646,583 $ 2,045,774 $ 3,702,670
$ 2,669,158 $ 2,045,467 $ 3,766,689
0.01% 0.01% 0.00%
432 $ 14,094 312 $ 10,179 0 $ --
------------ ------------ ------------
$ 14,094 $ 10,179 --
$ 9,334 $ 6,837 --
4.10% 5.07% 6.32%
12,530 $ 704,813 9,742 $ 547,987 20,980 $ 1,180,124
1,084 36,856 811 27,574 1,538 52,292
1,376 39,044 1,022 28,999 2,365 67,107
10,264 656,896 7,982 510,847 17,062 1,091,968
4,285 261,921 3,318 202,813 7,057 431,359
629 20,207 620 19,918 1,100 35,337
8,069 1,053,004 6,250 815,624 13,432 1,752,875
1,381 52,305 1,166 44,162 2,020 76,508
1,030 19,565 1,678 31,873 3,446 65,474
700 23,538 700 23,538 1,200 40,350
26,600 901,074 21,100 714,761 36,250 1,227,968
</TABLE>
81
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ICN Pharmaceuticals Inc 500 $ 12,625 504 $ 12,726
Interneuron Pharmaceuticals
Co 0 -- 400 10,950
IVAX Corp 1,230 15,068 1,240 15,190
Lilly (Eli) & Co 776 67,803 4,230 369,595
Marshall & Ilsley Corp 958 37,841 1,240 48,980
McKesson Corp 400 26,500 500 33,125
Merck & Co Inc 1,622 149,224 9,253 851,275
Millipore Corp 50 2,156 344 14,835
Mylan Laboratories 1,603 26,850 1,570 26,298
Novo Nordisk A/S ADR
(Denmark) 4,150 199,719 7,600 365,749
Omnicare Inc 600 15,900 900 23,850
Perrigo Co+ 812 9,846 550 6,669
Pfizer Inc 870 79,714 4,982 456,475
Pharmacia and Upjohn Inc 715 26,366 4,197 154,764
Rhone-Poulenc Rorer Inc 500 35,500 600 42,600
Scherer (R P) Corp 300 17,325 300 17,325
Schering-Plough Corp 476 36,474 2,846 218,075
Schweitzer-Mauduit
International Inc 20 683 92 3,140
SmithKline Beecham PLC ADR
(UK) 2,150 159,637 3,800 282,149
SouthTrust Corp 1,171 46,401 1,180 46,758
ThermoLase Corp+ 0 -- 100 1,313
Warner Lambert Co 368 30,912 2,098 176,232
Watson Pharmaceutical Inc 300 13,088 400 17,450
Xoma Corp 188 1,293 0 --
------------ ------------
TOTAL PHARMACEUTICALS
- VALUE $ 1,530,958 $ 5,047,445
- COST $ 1,159,867 $ 3,527,393
PUBLISHING
PERCENT OF NET ASSETS 0.22% 0.42%
American Greetings Corp
Class A 130 $ 4,030 651 $ 20,181
Barnes & Noble 200 6,600 200 6,600
Belo (A H) Corp 456 17,214 440 16,610
Chris-Craft Industries Inc 113 4,647 254 10,446
Comcast Corp Class A 440 7,865 2,896 51,766
Donnelley (R R) & Sons Co 253 7,811 1,191 36,772
Dow Jones & Co Inc 100 4,013 818 32,822
E.W. Scripps Company 300 10,800 300 10,800
Ennis Business Forms Inc 0 -- 0 --
Gannett Co Inc 233 18,582 1,120 89,320
Gibson Greetings Inc+ 0 -- 0 --
Golden Books Family
Entertainment Inc 234 2,194 0 --
Harland (John H) Co 53 1,603 226 6,837
Houghton Mifflin Co 152 8,379 120 6,615
</TABLE>
82
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
708 $ 17,877 607 $ 15,327 1,340 $ 33,835
0 -- 600 16,425 900 24,638
2,323 28,457 1,663 20,372 2,895 35,464
8,912 778,685 6,823 596,159 14,711 1,285,373
2,203 87,019 1,583 62,529 2,820 111,390
800 53,000 600 39,750 1,000 66,250
19,458 1,790,135 15,243 1,402,355 32,646 3,003,431
717 30,921 528 22,770 1,314 56,666
2,765 46,314 1,927 32,277 3,352 56,146
14,875 715,859 11,700 563,062 20,250 974,531
800 21,200 1,200 31,800 2,100 55,650
1,252 15,180 842 10,209 1,680 20,370
10,435 956,106 8,016 734,465 17,268 1,582,180
8,660 319,338 6,576 242,490 11,933 440,029
2,300 163,300 1,400 99,400 3,000 213,000
400 23,100 300 17,325 700 40,425
5,998 459,597 4,644 355,847 9,904 758,894
214 7,303 176 6,006 351 11,978
7,400 549,450 5,900 438,074 10,100 749,925
2,137 84,679 1,587 62,885 2,835 112,337
0 -- 0 -- 300 3,938
4,380 367,920 3,414 286,776 7,253 609,252
600 26,175 500 21,813 900 39,263
193 1,327 193 1,327 0 --
------------ ------------ ------------
$ 10,312,165 $ 8,047,539 $ 16,306,327
$ 7,085,699 $ 5,330,817 $ 11,283,845
0.56% 0.69% 0.77%
1,315 $ 40,765 992 $ 30,752 1,783 $ 55,273
300 9,900 200 6,600 400 13,200
714 26,954 544 20,536 1,040 39,260
478 19,658 325 13,366 220 9,048
6,373 113,918 4,086 73,037 8,714 155,763
2,588 79,904 1,935 59,743 3,519 108,649
1,673 67,129 1,275 51,159 2,264 90,843
900 32,400 300 10,800 600 21,600
247 2,748 0 -- 0 --
2,296 183,106 1,780 141,955 3,738 298,106
244 5,033 0 -- 0 --
313 2,934 233 2,184 0 --
470 14,218 374 11,313 836 25,289
230 12,679 155 8,544 445 24,531
</TABLE>
83
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Interpublic Group Co Inc 82 $ 4,110 626 $ 31,378
Knight-Ridder Inc 140 5,565 732 29,097
Lee Enterprises Inc 498 11,703 0 --
Liberty Media Group Class A 2,385 50,085 3,159 66,339
Marvel Entertainment Group
Inc+ 0 -- 200 525
McGraw-Hill Inc 172 8,923 766 39,736
Media General Inc Class A 280 8,400 220 6,600
Meredith Corp 50 2,450 198 9,702
Moore Corp Ltd 100 2,213 819 18,120
New York Times Co Class A 112 4,984 829 36,891
News Corporation Ltd 1,450 30,812 2,700 57,375
News Corporation Ltd 0 -- 290 5,184
Readers Digest Association
Class A 1,000 37,375 1,000 37,375
Readers Digest Association
Class B 200 6,775 300 10,163
Scholastic Inc 200 6,600 200 6,600
Times Mirror Co Class A 148 7,622 790 40,685
Washington Post Co Class B 27 9,356 100 34,650
------------ ------------
TOTAL PUBLISHING
- VALUE $ 290,711 $ 719,189
- COST $ 267,130 $ 639,839
REAL ESTATE
PERCENT OF NET ASSETS 0.11% 0.12%
Castle & Cooke Inc 215 $ 3,440 136 $ 2,176
Echelon International Corp 68 1,167 53 914
Equity Residential
Properties Trust 400 18,100 400 18,100
Federal Realty Investment
Trust 0 -- 0 --
Franchise Finance Corp 0 -- 100 2,588
Health & Retire Property
Trust 600 11,850 700 13,825
Health Care Property
Investors Inc 300 10,238 400 13,650
Kimco Realty Corp 300 10,088 350 11,769
MAXXAM Inc+ 0 -- 0 --
Meditrust Corp 600 23,100 600 23,100
New Plan Realty Trust 800 18,600 700 16,275
Public Storage Inc 0 -- 700 18,813
Security Capital Pacific
Trust 600 14,100 700 16,450
Simon Debartolo Group Inc 300 9,038 900 27,113
Vornado Realty Trust 300 17,363 300 17,363
Weingarten Realty
Investments 200 8,575 300 12,863
------------ ------------
TOTAL REAL ESTATE
- VALUE $ 145,659 $ 194,999
-COST $ 118,817 $ 165,240
</TABLE>
84
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
1,350 $ 67,669 997 $ 49,975 2,226 $ 111,578
1,579 62,765 1,261 50,125 2,169 86,218
708 16,638 510 11,985 0 --
5,583 117,243 4,134 86,814 6,471 135,891
1,400 3,675 200 525 600 1,575
1,605 83,259 1,206 62,561 2,631 136,483
410 12,300 290 8,700 570 17,100
420 20,580 318 15,582 803 39,347
1,665 36,838 1,318 29,161 2,394 52,967
1,619 72,045 1,298 57,761 2,282 101,549
0 -- 580 10,368 1,015 18,143
5,200 110,500 4,150 88,187 6,950 147,688
1,800 67,275 1,500 56,063 2,600 97,175
300 10,163 300 10,163 600 20,325
200 6,600 200 6,600 400 13,200
1,619 83,379 1,312 67,568 2,373 122,210
80 27,720 133 46,085 125 43,313
------------ ------------ ------------
$ 1,409,995 $ 1,088,212 $ 1,986,324
$ 1,232,980 $ 940,426 $ 1,745,609
0.06% 0.06% 0.18%
336 $ 5,376 222 $ 3,552 341 $ 5,456
96 1,648 69 1,195 65 1,121
400 18,100 700 31,675 1,200 54,300
0 -- 0 -- 400 10,750
0 -- 0 -- 300 7,763
800 15,800 1,000 19,750 1,700 33,575
400 13,650 500 17,063 700 23,887
450 15,131 300 10,088 700 23,537
128 6,160 0 -- 0 --
1,100 42,350 800 30,800 1,400 53,900
1,400 32,550 900 20,925 1,700 39,525
1,400 37,625 900 24,188 1,800 48,375
800 18,800 900 21,150 1,500 35,250
1,600 48,200 1,100 33,138 2,000 60,250
300 17,363 400 23,150 600 34,725
400 17,150 400 17,150 700 30,013
------------ ------------ ------------
$ 289,903 $ 253,824 $ 462,427
$ 255,459 $ 216,013 $ 381,541
</TABLE>
85
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
RETAIL & RELATED
PERCENT OF NET ASSETS 0.82% 1.97%
AnnTaylor Stores Inc 247 $ 4,940 195 $ 3,900
AutoZone Inc+ 250 6,188 1,200 29,700
Bed Bath & Beyond Inc 400 10,400 500 13,000
Benetton Spa ADR (Italy) 5,350 122,381 9,800 224,175
Best Buy Co Inc+ 0 -- 100 925
Borders Group Inc 0 -- 400 16,850
CDW Computer Centers Inc 0 -- 0 --
Charming Shoppes Inc+ 255 1,132 874 3,878
Circuit City Stores Inc 143 4,469 812 25,375
Coles Myer Ltd ADR
(Australia) 2,424 86,658 4,332 154,869
CompUSA Inc 0 -- 1,100 22,000
Consolidated Stores Corp 875 30,734 875 30,734
Corporate Express Inc 1,050 19,688 1,050 19,688
Costco Co Inc 0 -- 200 5,125
Dayton-Hudson Corp 275 11,550 1,685 70,770
Department 56 Inc 200 3,600 200 3,600
Dillard Department Inc Class
A 123 3,705 966 29,101
Dollar General Corp 690 19,579 835 23,693
Eastman Kodak Co 479 42,930 2,531 226,841
Edison Brothers Stores Inc+ 0 -- 0 --
Family Dollar Stores Inc 620 14,648 480 11,340
Federated Department Stores
Inc 250 8,688 1,750 60,813
Fingerhut Co 505 7,386 400 5,850
Footstar Inc 46 1,162 245 6,186
Gap Inc 408 13,464 2,238 73,854
Global DirectMail Corp 200 6,700 200 6,700
Hancock Fabrics Inc 0 -- 0 --
Heilig Meyers Co 524 7,401 410 5,791
Home Depot Inc 635 34,608 3,727 203,121
Intelligent Electronics+ 0 -- 0 --
Ito Yokado Co Ltd ADR 750 135,000 2,100 377,999
Jones Apparel Group Inc 400 14,850 400 14,850
Jostens Inc 105 2,258 251 5,397
K Mart Corp+ 684 8,550 4,012 50,150
Kohls Corp 286 13,156 720 33,120
Limited Inc 366 6,954 2,210 41,990
Longs Drug Stores Corp 74 $ 1,878 320 8,120
Lowe's Co Inc 250 9,125 1,363 49,750
Lucasvarity PLC 37 1,212 448 14,672
Macfrugals Bargains Close-
outs+ 0 -- 0 --
May Department Stores Co 385 17,951 2,045 95,348
Mercantile Stores Co Inc 90 4,320 313 15,024
</TABLE>
86
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------
2.64% 3.26% 3.95%
351 $ 7,020 253 $ 5,060 237 $ 4,740
2,376 58,806 2,031 50,267 3,515 86,996
800 20,800 600 15,600 1,200 31,200
19,125 437,484 15,100 345,413 26,000 594,750
0 -- 300 2,775 600 5,550
0 -- 500 21,063 900 37,913
0 -- 0 -- 100 5,256
1,617 7,175 1,180 5,236 2,388 10,597
1,725 53,906 1,244 38,875 2,312 72,250
8,475 302,981 6,732 240,669 11,640 416,130
0 -- 1,400 28,000 2,400 48,000
1,375 48,297 1,000 35,125 1,950 68,494
1,950 36,563 1,350 25,313 2,700 50,625
100 2,563 100 2,563 100 2,563
3,475 145,950 2,673 112,266 5,718 240,156
300 5,400 200 3,600 600 10,800
1,993 60,039 1,527 46,001 2,687 80,946
1,491 42,314 965 27,382 1,906 54,090
5,384 482,541 4,253 381,174 9,074 813,257
347 564 0 -- 0 --
857 20,247 627 14,813 495 11,694
3,528 122,598 2,744 95,354 4,866 169,094
714 10,442 509 7,444 180 2,633
521 13,155 382 9,646 654 16,513
4,548 150,084 3,547 117,051 7,737 255,321
300 10,050 200 6,700 400 13,400
342 4,318 0 -- 0 --
834 11,780 544 7,684 1,300 18,362
7,719 420,685 6,013 327,709 12,819 698,635
540 1,890 0 -- 0 --
4,125 742,500 3,150 566,999 5,750 1,035,000
600 22,275 600 22,275 1,000 37,125
626 13,459 514 11,051 1,095 23,542
8,329 104,113 6,190 77,375 11,359 141,988
1,004 46,184 808 37,168 1,458 67,068
4,577 86,963 3,506 66,614 6,419 121,961
630 15,986 518 13,144 953 24,182
2,817 102,821 2,161 78,876 3,857 140,780
982 32,160 738 24,169 1,204 39,431
438 11,881 0 -- 0 --
4,300 200,488 3,317 154,655 5,977 278,678
670 32,160 435 20,880 904 43,392
</TABLE>
87
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Meyer (Fred) Inc+ 0 $ -- 0 $ --
Michaels Stores Inc 0 -- 0 --
Micro Warehouse Inc+ 300 4,313 300 4,313
Neiman Marcus Group Inc+ 0 -- 200 5,375
Newell Co 152 5,643 1,215 45,107
Nordstrom Inc 119 4,373 687 25,247
Office Depot Inc+ 1,538 29,222 1,550 29,450
Officemax Inc 1,600 19,200 1,550 18,600
Payless ShoeSource Inc 517 22,231 511 21,973
Penney (J C) Co Inc 545 26,859 2,081 102,507
PetSmart Inc 1,200 23,400 1,300 25,350
Price/Costco Inc 306 7,841 1,562 40,026
Revco DS Inc+ 600 24,525 600 24,525
Rite Aid Corp 104 4,381 998 42,041
Ruddick Corp 0 -- 0 --
Saks Holdings Inc 200 6,700 200 6,700
Sears Roebuck & Co 491 26,637 3,218 174,576
Service Merchandise Co+ 771 2,795 0 --
Sherwin Williams Co 127 7,128 696 39,063
Staples Inc 1,396 30,189 1,397 30,210
Sunglass Hut International
Inc+ 600 4,350 500 3,625
Talbots Inc 200 6,425 200 6,425
Tandy Corp 61 3,073 457 23,021
Tech Data Corp+ 0 -- 500 12,000
TJX Companies Inc 78 3,257 600 25,050
Toys R Us Inc+ 359 9,334 2,211 57,486
Viking Office Products Inc 800 18,900 1,000 23,625
Waban Inc 365 10,448 0 --
Walgreen Co 330 14,108 1,912 81,738
WalMart Stores Inc 3,052 80,497 17,528 462,300
Williams-Sonoma Inc+ 0 -- 0 --
Woolworth (F W) Co+ 181 3,778 1,049 21,898
------------ ------------
TOTAL RETAIL & RELATED
- VALUE $ 1,076,872 $ 3,336,530
- COST $ 1,001,027 $ 3,042,268
SERVICES
PERCENT OF NET ASSETS 0.09% 0.18%
Block (H R) Inc 111 $ 3,261 852 $ 25,028
CMS Energy Corp 921 30,163 740 24,235
Corrections Corp of America 800 22,800 900 25,650
CUC International Inc 615 14,683 3,033 72,401
Dun & Bradstreet Corp 173 4,239 1,410 34,545
Public Service Enterprise
Group 379 10,659 1,964 55,238
</TABLE>
88
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
0 $ -- 0 $ -- 200 $ 7,925
0 -- 0 -- 200 2,950
600 8,625 400 5,750 700 10,062
0 -- 400 10,750 400 10,750
2,547 94,557 1,975 73,322 4,215 156,482
1,377 50,605 1,059 38,918 1,871 68,759
2,442 46,398 1,967 37,373 3,980 75,620
2,700 32,400 1,950 23,400 3,150 37,800
743 31,949 615 26,445 1,104 47,472
4,359 214,692 3,227 158,907 5,878 289,478
2,200 42,900 1,600 31,200 3,100 60,450
3,520 90,200 2,653 67,983 4,844 124,128
700 28,613 700 28,613 1,400 57,225
2,117 89,179 1,638 69,001 2,883 121,446
714 11,424 524 8,384 0 --
1,200 40,200 300 10,050 400 13,400
6,752 366,296 5,105 276,946 9,253 501,975
1,516 5,496 1,111 4,027 0 --
1,341 75,264 1,094 61,401 1,960 110,005
2,163 46,775 1,740 37,628 3,257 70,433
1,000 7,250 700 5,075 1,300 9,425
0 -- 200 6,425 400 12,850
1,022 51,483 735 37,026 1,385 69,769
0 -- 700 16,800 1,100 26,400
1,284 53,607 897 37,450 1,887 78,782
4,705 122,330 3,534 91,884 6,465 168,090
2,000 47,250 1,400 33,075 2,200 51,975
497 14,227 367 10,505 0 --
3,932 168,093 3,100 132,525 6,542 279,670
36,969 975,056 28,745 758,148 61,511 1,622,352
0 -- 0 -- 200 5,038
2,259 47,157 1,731 36,135 3,158 65,923
------------ ------------ ------------
$ 6,650,668 $ 5,181,135 $ 9,929,746
$ 5,987,479 $ 4,597,043 $ 8,993,832
0.15% 0.31% 0.33%
1,816 $ 53,345 1,404 $ 41,243 2,418 $ 71,029
1,314 43,034 954 31,243 885 28,984
1,400 39,900 1,200 34,200 2,100 59,850
6,351 151,630 4,905 117,095 10,597 253,003
2,965 72,643 2,216 54,292 3,961 97,045
4,064 114,300 3,103 87,272 5,653 158,991
</TABLE>
89
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Service Corp International 298 $ 8,642 1,938 $ 56,202
Sotheby's Holdings Inc 611 10,387 0 --
Stewart Enterprises Inc
Class A 450 15,891 450 15,891
------------ ------------
TOTAL SERVICES
- VALUE $ 120,725 $ 309,190
- COST $ 115,721 $ 288,004
TELECOMMUNICATIONS
PERCENT OF NET ASSETS 1.77% 3.99%
360 Communications Co 1,525 $ 32,978 1,519 $ 32,848
ADC Telecommunications 1,372 37,044 1,760 47,520
Adtran Inc+ 100 3,563 200 7,125
Advanced Fibre Communication 0 -- 100 3,250
Airtouch Communications 788 21,473 4,101 111,752
Alcatel Alsthom Compagnie
Generale d'electricite ADR
(France) 11,636 238,529 21,673 444,297
Aliant Communications Inc 0 -- 0 --
Alltel Corp 221 7,818 1,600 56,600
Ameritech Corp 733 46,729 4,550 290,062
Andrew Corp 104 5,720 465 25,575
Ascend Communications Inc+ 1,000 52,250 1,200 62,700
AT & T Corp 2,345 93,507 13,301 530,376
Bell Atlantic Corp 589 40,715 3,588 248,021
BellSouth Corp 1,338 62,719 8,128 380,999
British Telecommunications
PLC ADR (UK) 3,700 258,075 6,700 467,324
Cascade Communications Corp 500 15,438 1,000 30,875
Century Telephone Enterprise 567 17,364 460 14,088
Comsat Corp 510 13,388 600 15,750
Cox Communications Inc Class
A 613 12,337 874 17,589
DSC Communications Corp+ 121 2,541 963 20,223
DSP Communications Inc 0 -- 500 5,844
Excel Communication Inc 400 7,400 400 7,400
Federal Signal Corp 498 12,512 590 14,824
Frontier Corp 183 4,049 580 12,833
General Instrument Corp+ 150 3,563 1,000 23,750
Glenayre Technologies Inc+ 650 8,613 650 8,613
GTE Corp 1,326 61,990 7,343 343,284
Hong Kong Telecommunications
Ltd ADR (Hong Kong) 22,485 390,677 41,767 725,701
ITT Corp 131 7,402 996 56,274
K-III Communications Corp 0 -- 200 2,550
LCI International Inc+ 300 5,700 300 5,700
Loral Space & Communications 1,842 29,702 2,282 36,797
Lucent Technologies Inc 842 45,363 4,885 263,179
</TABLE>
90
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
4,015 $ 116,435 3,121 $ 90,509 5,571 $ 161,559
848 14,416 623 10,591 0 --
750 26,484 600 21,188 900 31,781
------------ ------------ ------------
$ 632,187 $ 487,633 $ 862,242
$ 566,141 $ 445,589 $ 825,612
5.51% 6.60% 7.63%
2,624 $ 56,744 1,928 $ 41,693 3,654 $ 79,018
2,896 78,192 2,216 59,832 3,920 105,840
200 7,125 200 7,125 400 14,250
0 -- 0 -- 200 6,500
8,550 232,987 6,528 177,888 11,843 322,722
42,298 867,109 32,813 672,674 56,501 1,158,268
490 8,207 0 -- 0 --
3,202 113,271 2,491 88,119 4,452 157,490
9,427 600,971 7,115 453,580 12,916 823,395
1,008 55,440 797 43,835 1,691 93,005
2,000 104,500 1,500 78,375 2,800 146,300
27,719 1,105,294 21,107 841,641 38,113 1,519,755
7,531 520,580 5,686 393,044 10,347 715,236
17,004 797,061 12,969 607,921 23,361 1,095,047
13,100 913,724 10,350 721,911 17,850 1,245,036
1,000 30,875 1,300 40,138 2,400 74,100
828 25,358 588 18,008 565 17,303
819 21,499 814 21,368 1,390 36,488
4,594 92,454 2,327 46,831 5,749 115,699
2,049 43,029 1,519 31,899 2,732 57,372
0 -- 600 7,013 1,000 11,688
1,800 33,300 500 9,250 700 12,950
807 20,276 802 20,150 1,280 32,160
2,671 59,096 736 16,284 4,394 97,217
2,194 52,108 1,754 41,658 3,608 85,690
1,175 0,569 800 10,600 1,425 18,881
15,508 724,999 12,151 568,058 25,996 1,215,312
82,053 1,425,670 63,191 1,097,943 106,456 1,849,672
2,025 114,412 1,486 83,959 2,733 154,415
1,800 22,950 0 -- 400 5,100
600 11,400 500 9,500 900 17,100
2,912 46,956 2,974 47,956 5,366 86,527
10,260 552,757 7,814 420,978 17,082 920,293
</TABLE>
91
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MCI Communications Corp 965 $ 34,499 5,592 $ 199,914
McLeod Inc Class A 0 -- 200 3,575
Mobile Telecommunications
Tech 0 -- 400 3,100
NEXTEL Communications Class
A 1,068 15,219 880 12,540
Nippon Telegraph & Telegraph
ADR 2,436 88,914 7,511 274,152
Northern Telecom Ltd 390 28,031 1,997 143,534
NYNEX Corp 652 33,578 3,603 185,554
Octel Communications 0 -- 600 10,950
Omnipoint Corp 200 3,425 300 5,138
Pacific Telesis Group 564 22,983 3,364 137,083
Paging Network Inc 500 7,531 600 9,038
Pairgain Technologies Inc 0 -- 600 17,738
Picturetel Corp+ 400 6,300 400 6,300
Qualcom Inc+ 500 27,844 700 38,981
SBC Communication Inc 802 46,115 4,606 264,845
Scientific-Atlanta Inc 82 1,374 627 10,502
Southern New England
Telecommunications Co 687 24,904 550 19,938
Sprint Corp 577 26,253 3,507 159,568
Telecommunications of New
Zealand Corp ADR (New
Zealand) 850 61,412 1,600 115,600
Telefonica de Espana SA
(Spain) 2,450 168,744 4,500 309,937
Telephone & Data System Inc 566 22,640 450 18,000
Teleport Communications
Group Inc
Class A 300 9,000 300 9,000
Tellabs Inc 250 9,969 1,350 53,831
U.S. West Inc 644 23,184 3,891 140,076
Vanguard Cellular Systems
Class A+ 411 5,805 330 4,661
Vodafone Group PLC ADR (UK) 1,850 87,875 3,500 166,250
Western Wireless Corp Class
A 0 -- 100 1,413
WorldCom Inc 1,206 32,110 4,861 129,424
------------ ------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 2,326,868 $ 6,764,365
- COST $ 2,144,552 $ 6,023,017
TEXTILES
PERCENT OF NET ASSETS 0.05% 0.05%
Brown Group Inc 31 $ 504 180 $ 2,925
Burlington Industries Inc 729 9,386 477 6,141
Cintas Corp 310 16,740 400 21,600
Collins & Aikman Corp 0 -- 0 --
Shaw Industries Inc 1,260 16,380 1,330 17,290
</TABLE>
92
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
11,685 $ 417,739 8,941 $ 319,641 16,101 $ 575,611
0 -- 200 3,575 800 14,300
0 -- 0 -- 0 --
1,588 22,629 1,101 15,689 1,025 14,606
14,443 527,170 11,106 405,368 19,974 729,051
4,208 302,450 3,278 235,606 6,905 496,297
7,527 387,641 5,726 294,889 10,310 530,965
730 13,323 540 9,855 1,300 23,725
400 6,850 400 6,850 600 10,275
6,887 280,645 5,384 219,398 11,457 466,873
1,500 22,594 800 12,050 1,500 22,594
1,100 32,519 700 20,694 1,200 35,475
700 11,025 500 7,875 800 12,600
1,000 55,688 800 44,550 1,600 89,100
9,743 560,223 7,668 440,909 16,311 937,883
1,334 22,345 962 16,114 1,853 31,038
975 35,344 710 25,738 680 24,650
7,333 333,652 5,566 253,253 10,158 462,189
3,175 229,394 2,500 180,625 4,400 317,900
8,700 599,213 6,900 475,237 11,850 816,169
827 33,080 587 23,480 565 22,600
2,600 78,000 400 12,000 3,300 99,000
2,925 116,634 2,216 88,363 4,718 188,130
8,154 293,544 6,264 225,504 11,272 405,792
595 8,404 427 6,031 390 5,509
6,800 323,000 5,400 256,500 9,200 437,000
0 -- 0 -- 300 4,238
14,072 374,667 7,401 197,052 23,244 618,858
------------ ------------ ------------
$ 13,841,686 $ 10,476,077 $ 19,682,257
$ 12,190,810 $ 9,184,710 $ 17,789,530
0.06% 0.07% 0.08%
338 $ 5,493 221 $ 3,591 253 $ 4,111
1,136 14,626 749 9,643 1,902 24,488
820 44,280 515 27,810 890 48,060
0 -- 0 -- 400 3,150
2,415 31,395 1,605 20,865 3,100 40,300
</TABLE>
93
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Springs Industries Inc Class
A 31 $ 1,368 180 $ 7,943
Unifi Inc 768 24,480 800 25,500
------------ ------------
TOTAL TEXTILES
- VALUE $ 68,858 $ 81,399
- COST $ 60,570 $ 73,851
TOBACCO
PERCENT OF NET ASSETS 0.27% 0.71%
BAT Industries PLC ADR (UK) 9,700 $ 170,963 17,800 $ 313,724
Imperial Tobacco Group ADR 2,137 29,600 3,975 55,059
Philip Morris Co Inc 1,126 152,151 6,240 843,179
------------ ------------
TOTAL TOBACCO
- VALUE $ 352,714 $ 1,211,962
- COST $ 298,831 $ 860,627
TRANSPORTATION
PERCENT OF NET ASSETS 0.18% 0.44%
Alexander & Baldwin Inc 504 $ 13,482 590 $ 15,783
Burlington Northern Santa Fe 189 15,734 1,300 108,225
Caliber Systems Inc 93 2,116 266 6,052
Conrail Inc 60 6,270 348 36,366
Consolidated Freightways
Corp 31 264 181 1,534
Consolidated Freightways Inc 62 1,535 361 8,935
CSX Corp 268 12,362 1,754 80,903
Dial Corp 136 2,040 1,080 16,200
Federal Express Corp 146 7,519 888 45,732
Fritz Companies Inc+ 200 2,013 200 2,013
Hunt (J B) Transport
Services 0 -- 0 --
Illinois Central Corp 411 14,128 690 23,719
Kansas City Southern
Industries 281 14,753 470 24,675
Laidlaw Inc Class B 381 5,286 2,542 35,270
Norfolk Southern Corp 192 17,496 1,008 91,854
Outboard Marine Corp 35 508 184 2,668
Overseas Shipholding Group 393 6,828 310 5,386
Pittston Brink's Group 523 13,467 520 13,390
Pittston Burlington Group 61 1,167 160 3,060
Roadway Express Inc 46 897 158 3,081
Tidewater Inc 565 24,295 750 32,250
Trinity Industries Inc 522 16,835 540 17,415
Union Pacific Corp 457 27,534 2,059 124,055
Viad Corp 136 2,176 1,080 17,280
Wisconsin Central Transport 600 21,525 600 21,525
</TABLE>
94
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
372 $ 16,415 293 $ 12,929 498 $ 21,974
1,182 37,676 982 31,301 1,640 52,275
------------ ------------ ----------- ------------
$ 149,885 $ 106,139 $ 194,358
$ 133,367 $ 94,621 $ 179,094
0.99% 1.23% 1.53%
34,750 $ 612,469 27,550 $ 485,568 47,000 $ 835,425
7,743 107,251 6,112 84,660 10,312 142,836
13,106 1,770,947 10,256 1,385,841 21,972 2,968,966
------------ ------------ ----------- ------------
$ 2,490,667 $ 1,956,069 $ 3,947,227
$ 1,759,524 $ 1,348,683 $ 2,781,408
0.58% 0.71% 0.80%
814 $ 21,775 809 $ 21,641 1,380 $ 36,915
2,578 214,619 1,980 164,835 3,631 302,281
668 15,197 544 12,376 914 20,794
842 87,989 608 63,536 1,280 133,760
405 3,443 286 2,431 569 4,836
810 20,047 573 14,182 1,138 28,165
3,690 170,201 2,793 128,827 5,109 235,653
1,641 24,615 1,228 18,420 2,908 43,620
1,907 98,211 1,460 75,190 2,686 138,329
300 3,019 0 -- 400 4,025
596 8,269 0 -- 0 --
1,135 39,016 1,015 34,891 1,702 58,506
765 40,163 485 25,463 960 50,400
5,407 75,022 4,022 55,805 7,371 102,273
2,112 192,456 1,614 147,076 2,958 269,548
424 6,148 224 3,248 348 5,046
550 9,556 405 7,037 375 6,516
657 16,918 743 19,132 1,104 28,428
328 6,273 221 4,227 402 7,688
270 5,265 243 4,739 359 7,001
925 39,775 985 42,355 1,765 75,895
705 22,736 635 20,479 1,205 38,861
4,204 253,291 3,229 194,547 5,793 349,028
1,641 26,256 1,228 19,648 2,908 46,528
1,200 43,050 900 32,288 1,400 50,225
</TABLE>
95
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Xtra Corp 200 $ 8,100 200 $ 8,100
Yellow Corp+ 49 766 223 3,484
------------ ------------
TOTAL TRANSPORTATION
- VALUE $ 239,096 $ 748,955
- COST $ 208,733 $ 646,403
UTILITIES
PERCENT OF NET ASSETS 0.62% 1.05%
Allegheny Power Systems Inc 1,284 $ 39,323 1,010 $ 30,931
American Electric Power Inc 298 12,442 1,512 63,126
American Water Works Co Inc 600 14,025 700 16,363
Atlantic Energy Inc 569 9,744 460 7,878
Baltimore Gas & Electric Co 231 6,353 1,172 32,230
Calenergy Inc+ 500 16,688 500 16,688
Carolina Power & Light Co 156 5,792 1,271 47,186
Central & South West Corp 331 8,068 1,744 42,510
Cinergy Corp 220 7,590 1,312 45,264
Consolidated Edison Co 335 10,343 1,972 60,886
Delmarva Power & Light Co 640 12,400 510 9,881
Dominion Resources Inc 270 10,868 1,510 60,778
DTE Energy Co 232 7,018 1,223 36,996
Duke Power Co 259 11,461 1,697 75,092
Edison International 610 13,115 3,532 75,938
Entergy Corp 329 8,677 1,864 49,163
Florida Progress Corp 1,015 31,973 800 25,200
FPL Group Inc 233 10,602 1,495 68,023
GPU Inc 137 4,795 984 34,440
Hawaiian Electric Industries
Inc 392 13,769 340 11,943
Houston Industries Inc 308 7,161 1,992 46,314
Idaho Power Co 402 12,412 320 9,880
Ies Industries 0 -- 0 --
Illinova Corp 813 20,325 650 16,250
IPALCO Enterprises Inc 607 19,196 480 15,180
Kansas City Power & Light Co 667 19,010 530 15,105
LG & E Energy Corp 728 18,018 560 13,860
Midamerican Energy Co 451 7,442 367 6,056
Minnesota Power & Light Co 349 9,772 270 7,560
Montana Power Co 563 12,316 460 10,063
Nevada Power Co 444 9,047 360 7,335
New England Electric System 695 24,238 560 19,530
New York State Electric &
Gas Corp 772 17,949 610 14,183
Niagara Mohawk Power Corp+ 125 1,281 1,091 11,183
NIPSCO Industries Inc 702 27,992 560 22,330
Northeast Utilities 1,340 13,903 1,070 11,101
</TABLE>
96
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------
300 $ 12,150 200 $ 8,100 500 $ 20,250
585 9,141 299 4,672 437 6,828
------------ ------------ ------------
$ 1,464,601 $ 1,125,145 $ 2,071,399
$ 1,192,256 $ 925,861 $ 1,783,628
1.40% 1.70% 1.69%
1,809 $ 55,401 1,319 $ 40,394 1,230 $ 37,669
3,194 133,350 2,399 100,158 4,428 184,869
800 18,700 1,000 23,375 1,700 39,738
830 14,214 590 10,104 550 9,419
2,530 69,575 1,893 52,058 3,501 96,278
900 30,038 900 30,038 1,600 53,400
2,578 95,708 1,981 73,545 3,559 132,128
3,576 87,165 2,695 65,691 4,925 120,047
2,732 94,254 2,037 70,276 3,703 127,754
4,051 125,075 3,054 94,292 5,540 171,048
903 17,496 648 12,555 615 11,916
3,106 125,017 2,305 92,776 4,232 170,338
2,508 75,867 1,854 56,084 3,443 104,151
3,404 150,627 2,643 116,953 4,737 209,612
7,421 159,552 5,664 121,776 10,206 219,429
3,990 105,236 3,019 79,626 5,391 142,188
1,434 45,171 1,039 32,729 980 30,870
3,148 143,234 2,387 108,609 4,312 196,196
2,046 71,610 1,621 56,735 2,852 99,820
423 14,858 403 14,155 880 30,910
4,114 95,650 3,083 71,680 5,525 128,456
585 18,062 415 12,813 385 11,887
0 -- 0 -- 300 9,113
1,153 28,825 843 21,075 780 19,500
882 27,893 627 19,829 577 18,248
955 27,218 690 19,665 645 18,383
992 24,552 732 18,117 690 17,078
680 11,220 489 8,069 0 --
480 13,440 350 9,800 335 9,380
824 18,025 584 12,775 540 11,813
652 13,285 472 9,617 450 9,169
1,008 35,154 718 25,040 690 24,064
1,087 25,273 787 18,298 740 17,205
2,392 24,518 1,793 18,378 3,432 35,178
1,015 40,473 740 29,508 675 26,916
1,916 19,879 1,386 14,380 1,290 13,384
</TABLE>
97
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Shares Value Shares Value
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Northern States Power Co 67 $ 3,191 588 $ 28,004
OGE Energy Corp 429 18,072 340 14,323
Ohio Edison Co 243 5,468 1,283 28,868
Pacificorp 394 8,126 2,377 49,026
PECO Energy Co 313 7,043 1,825 41,063
PG & E Corp 573 13,179 3,348 77,004
Pinnacle West Capital Corp 941 29,406 750 23,438
Portland General Corp 540 21,128 430 16,824
Potomac Electric Power Co 1,282 32,531 1,010 25,629
PP & L Resources Inc 250 5,719 1,350 30,881
Public Service Company Of
Colorado 661 25,779 530 20,670
Public Service Company Of
New 0 -- 0 --
Puget Sound Power & Light
Co 683 17,331 540 13,703
SCANA Corp 1,026 26,804 820 21,423
Southern Co 986 21,446 5,572 121,191
Southwestern Public
Services Co 433 15,642 350 12,644
TECO Energy Inc 1,265 30,834 990 24,131
Texas Utilities Co 320 12,920 1,857 74,976
U.S. Filter Corp 0 -- 600 21,000
Unicom Corp 299 6,653 1,787 39,761
Union Electric Co 104 3,991 822 31,544
Wisconsin Energy Corp 1,148 29,418 920 23,575
Wisconsin Power & Light
Holdings Co 341 9,463 260 7,215
------------ ------------
TOTAL UTILITIES
- VALUE $ 819,252 $ 1,783,339
- COST $ 724,797 $ 1,720,992
WARRANTS
PERCENT OF NET ASSETS 0.00% 0.00%
Homestead Village Property
Corp expires 10/29/1997* 1 $ 5 -- $ --
Morrison Knudsen Corp
expires 03/11/2003* 4 19 17 81
------------ ------------
TOTAL WARRANTS
- VALUE $ 24 $ 81
- COST $ 22 $ 74
TOTAL COMMON STOCKS
- VALUE $ 27,653,687 $ 77,912,154
- COST $ 22,935,306 $ 63,393,881
</TABLE>
98
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------
1,229 $ 58,531 947 $ 45,101 1,587 $ 75,581
612 25,781 442 18,619 415 17,482
2,573 57,893 1,994 44,865 3,576 80,460
5,025 103,641 3,821 78,808 6,902 142,354
3,847 86,557 2,934 66,015 5,206 117,135
7,066 162,518 5,381 123,763 9,703 223,169
1,334 41,688 974 30,438 905 28,281
775 30,322 560 21,910 520 20,345
1,806 45,827 1,316 33,394 1,230 31,211
2,816 64,416 2,105 48,152 3,800 86,925
949 37,011 684 26,676 635 24,765
650 11,944 470 8,636 0 --
971 24,639 706 17,915 655 16,621
1,446 37,777 1,036 27,066 980 25,603
11,552 251,256 8,745 190,204 15,889 345,586
617 22,289 462 16,690 415 14,992
1,789 43,607 1,284 31,298 1,220 29,738
3,889 157,018 2,909 117,451 5,336 215,441
0 -- 900 31,500 1,600 56,000
3,737 83,148 2,796 62,211 5,092 113,297
1,770 67,924 1,373 52,689 2,438 93,558
1,645 42,153 1,175 30,109 1,105 28,316
473 13,126 343 9,518 325 9,019
------------ ------------ ------------
$ 3,524,681 $ 2,694,001 $ 4,353,433
$ 3,327,971 $ 2,560,976 $ 4,196,130
0.00% 0.00% 0.00%
-- $ 4 1 $ 7 -- $ 4
27 128 25 119 42 200
------------ ------------ ------------
$ 132 $ 126 $ 204
$ 118 $ 114 $ 184
$157,238,119 $120,729,313 $227,769,266
$125,327,556 $ 95,037,375 $184,899,896
</TABLE>
99
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------ ------------------------
Principal Value Principal Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------
U.S. TREASURY SECURITIES
PERCENT OF NET ASSETS 74.42% 50.80%
U.S. TREASURY BONDS
PERCENT OF NET ASSETS 2.46% 5.39%
U.S. Treasury Bonds, 6.00%-
12.00%, 11/15/09-11/15/26 $ 2,850,000 $ 3,237,450 $ 8,350,000 $ 9,134,869
------------ ------------
TOTAL U.S. TREASURY BONDS
- VALUE $ 3,237,450 $ 9,134,869
- COST $ 3,318,775 $ 9,117,885
U.S. TREASURY NOTES
PERCENT OF NET ASSETS 71.96% 45.41%
U.S. Treasury Notes, 4.75%-
13.75%, 02/28/98-02/15/07 $91,300,000 $ 94,462,612 $74,250,000 $ 76,960,954
------------ ------------
TOTAL U.S. TREASURY NOTES
- VALUE $ 94,462,612 $ 76,960,954
- COST $ 94,646,437 $ 76,985,146
TOTAL U.S. TREASURY
SECURITIES
- VALUE $ 97,700,062 $ 86,095,823
- COST $ 97,965,212 $ 86,103,031
</TABLE>
100
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
- ------------------------- ------------------------ ------------------------
Principal Value Principal Value Principal Value
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------
35.06% 22.49% 9.75%
11.65% 18.95% 9.75%
$26,400,000 $ 29,301,529 $26,440,000 $ 30,096,290 $22,300,000 $ 25,160,467
------------ ------------ ------------
$ 29,301,529 $ 30,096,290 $ 25,160,467
$ 29,281,444 $ 30,048,623 $ 24,971,189
23.41% 3.54% --
$57,220,000 $ 58,834,536 $ 5,550,000 $ 5,614,934 $ -- $ --
------------ ------------
$ 58,834,536 $ 5,614,934 $ --
$ 59,033,765 $ 5,659,676 $ --
$ 88,136,065 $ 35,711,224 $ 25,160,467
$ 88,315,209 $ 35,708,299 $ 24,971,189
</TABLE>
101
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
PORTFOLIOS OF INVESTMENTS
<TABLE>
<CAPTION>
LifePath 2000 LifePath 2010
------------------------------ ------------------------------
Principal/Shares Value Principal/Shares Value
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS
PERCENT OF NET ASSETS 17.93% 16.51%
U.S. TREASURY BILLS
PERCENT OF NET ASSETS 3.47% 2.70%
U.S. Treasury Bills,
4.83%-5.16%++,
03/06/97-05/29/97* $ 4,596,000 $ 4,554,168 $ 4,610,000 $ 4,578,237
------------ ------------
TOTAL U.S. TREASURY
BILLS
- VALUE $ 4,554,168 $ 4,578,237
- COST $ 4,553,188 $ 4,576,648
CASH EQUIVALENTS
PERCENT OF NET ASSETS 3.03% 6.14%
American AAdvantage
Money
Market Fund# $ -- $ -- $ 4,500,000 $ 4,500,000
Dreyfus Cash Management
Fund# 2,978,445 2,978,114 3,558,273 3,534,768
Janus Institutional
Money Market Fund# 1,000,000 1,000,000 2,372,202 $ 2,372,202
------------ ------------
TOTAL CASH EQUIVALENTS
- VALUE $ 3,978,114 $ 10,406,970
- COST $ 3,978,114 $ 10,406,970
REPURCHASE AGREEMENTS
PERCENT OF NET ASSETS 11.43% 7.67%
Goldman Sachs Repurchase
Agreements#,
dated 02/28/97, due
03/03/97, with a
maturity value of
$89,000,000 and an
effective yield of
4.85%, collateralized
by Federal National
Mortgage Association
obligations with rates
ranging from 6.08% to
7.44%, with maturity
dates ranging from
11/01/24 to 12/01/33
and with an aggregate
market value of
$90,780,000. $15,000,000 $ 15,000,000 $13,000,000 $ 13,000,000
TOTAL SHORT-TERM
INSTRUMENTS
- VALUE $ 23,532,282 $ 27,985,207
- COST $ 23,531,302 $ 27,983,618
------------ ------------
TOTAL INVESTMENT IN
SECURITIES
(NOTES 1 AND 3) - VALUE $148,886,031 $191,993,185
-COST** $144,431,820 $177,480,530
------------ ------------
TOTAL INVESTMENT IN
SECURITIES 113.42% $148,886,031 113.26% $191,993,185
Other Assets and
Liabilities, Net (13.42)% (17,613,033) (13.26)% (22,482,265)
---------- ------------ ---------- ------------
TOTAL NET ASSETS 100.00% $131,272,998 100.00% $169,510,920
========== ============ ========== ============
- ------------------------------------------------------------------------------------------
+ Non-income earning securities.
++ Yield to maturity.
# Represents collateral received from securities lending transactions. See Note
4.
* 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:
Gross Unrealized
Appreciation $ 6,127,818 $ 16,816,292
Gross Unrealized
Depreciation (1,673,607) (2,303,637)
------------ ------------
GROSS UNREALIZED
APPRECIATION $ 4,454,211 $ 14,512,655
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
102
<PAGE>
MASTER INVESTMENT PORTFOLIO--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath 2020 LifePath 2030 LifePath 2040
-------------------------------- ------------------------------ ------------------------------
Principal/Shares Value Principal/Shares Value Principal/Shares Value
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------
16.63% 15.33% 14.33%
2.03% 1.14% 1.76%
$ 5,140,000 $ 5,103,579 $ 1,832,000 $ 1,816,983 $ 4,598,000 $ 4,557,339
------------ ------------ ------------
$ 5,103,579 $ 1,816,983 $ 4,557,339
$ 5,102,624 $ 1,816,612 $ 4,556,339
3.86% 4.74% 5.21%
$ 5,000,000 $ 5,000,000 $ 6,000,000 $ 6,000,000 $ -- $ --
2,220,464 2,220,694 943,723 929,743 907,697 939,449
2,500,000 2,500,000 600,000 600,000 12,500,000 12,500,000
------------ ------------ ------------
$ 9,720,694 $ 7,529,743 $ 13,439,449
$ 9,720,694 $ 7,529,743 $ 13,439,449
10.74% 9.45% 7.36%
$27,000,000 $ 27,000,000 $15,000,000 $ 15,000,000 $19,000,000 $ 19,000,000
$ 41,824,273 $ 24,346,726 $ 36,996,788
$ 41,823,318 $ 24,346,355 $ 36,995,788
------------ ------------ ------------
$287,198,457 $180,787,263 $289,926,521
$255,466,083 $155,092,029 $246,866,873
------------ ------------ ------------
114.22% $287,198,457 113.85% $180,787,263 112.33% $289,926,521
(14.22)% (35,755,824) (13.85)% $(21,982,430) (12.33)% (31,841,793)
---------- ------------ ---------- ------------ ---------- ------------
100.00% $251,442,633 100.00% 158,804,833 100.00% $258,084,728
========== ============ ========== ============ ========== ============
$ 35,923,521 $ 28,819,630 $ 48,572,631
(4,191,147) (3,124,396) (5,512,983)
------------ ------------ ------------
$ 31,732,374 $ 25,695,234 $ 43,059,648
============ ============ ============
</TABLE>
103
<PAGE>
STATEMENT OF ASSETS & LIABILITIES--FEBRUARY 28, 1997
<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) $ 148,886,031 $ 191,993,185
Cash 21 0
RECEIVABLES:
Investments sold 40,704 75,745
Dividends and interest 1,560,839 1,147,149
TOTAL ASSETS 150,487,595 193,216,079
LIABILITIES
Payables:
Collateral for securities loaned (Note 4) 18,978,114 23,406,970
Due to BGI (Note 2) 236,483 298,189
Variation margin on futures contracts (Note 1) 0 0
TOTAL LIABILITIES 19,214,597 23,705,159
TOTAL NET ASSETS $ 131,272,998 $ 169,510,920
INVESTMENTS AT COST $ 144,431,820 $ 177,480,530
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
104
<PAGE>
STATEMENT OF ASSETS & LIABILITIES--FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Master Master Master
Portfolio Portfolio Portfolio
- ---------------------------------------------------------------
<S> <C> <C>
$ 287,198,457 $ 180,787,263 $ 289,926,521
774 776 671
148,118 117,025 197,303
1,244,750 701,780 837,294
288,592,099 181,606,844 290,961,789
36,720,694 22,529,743 32,439,449
428,772 272,268 435,512
0 0 2,100
37,149,466 22,802,011 32,877,061
$ 251,442,633 $ 158,804,833 $ 258,084,728
$ 255,466,083 $ 155,092,029 $ 246,866,873
- --------------------------------------------------------------------------------
</TABLE>
105
<PAGE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath LifePath
2000 2010
Master Portfolio Master Portfolio
- -------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends $ 532,807 $ 1,373,301
Interest+ 5,925,997 4,566,510
TOTAL INVESTMENT INCOME 6,458,804 5,939,811
EXPENSES (NOTE 2)
Advisory fees 689,347 757,505
TOTAL EXPENSES 689,347 757,505
NET INVESTMENT INCOME 5,769,457 5,182,306
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 2,894,777 3,439,818
Net realized gain (loss) on sale of future
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments (273,099) 5,149,907
Net change in unrealized appreciation
(depreciation) of financial futures
contracts 0 0
NET GAIN (LOSS) ON INVESTMENTS 2,621,678 8,589,725
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 8,391,135 $ 13,772,031
- -------------------------------------------------------------------------------
+ Interest income includes security lending
income of: $ 4,735 $ 6,467
</TABLE>
The accompanying notes are an integral part of these financial statements.
106
<PAGE>
STATEMENT OF OPERATIONS--FOR THE YEAR ENDED FEBRUARY 28, 1997
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Master Portfolio Master Portfolio Master Portfolio
- ---------------------------------------------------------------
<S> <C> <C>
$ 2,898,947 $ 2,192,763 $ 3,958,762
4,521,846 1,732,644 1,149,012
7,420,793 3,925,407 5,107,774
1,149,160 714,647 1,154,330
1,149,160 714,647 1,154,330
6,271,633 3,210,760 3,953,444
9,487,619 5,108,662 14,697,190
0 0 35,620
11,374,656 10,036,726 17,501,172
0 0 92,625
20,862,275 15,145,388 32,326,607
$ 27,133,908 $ 18,356,148 $ 36,280,051
- --------------------------------------------------------------------------------
$ 11,570 $ 8,197 $ 13,791
</TABLE>
107
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2000 Master Portfolio
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ---------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Net investment income $ 5,769,457 $ 3,939,926
Net realized gain (loss) on sale of
investments 2,894,777 1,412,647
Net realized gain (loss) on sale of
futures contracts 0 27,030
Net change in unrealized appreciation
(depreciation) of investments (273,099) 4,707,324
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 8,391,135 10,086,927
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 6,204,037 44,956,678
INCREASE (DECREASE) IN NET ASSETS 14,595,172 55,043,605
NET ASSETS:
Beginning net assets 116,677,826 61,634,221
ENDING NET ASSETS $ 131,272,998 $ 116,677,826
- ---------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
108
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2010 Master Portfolio LifePath 2020 Master Portfolio
- ------------------------------------- -------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, 1997 February 29, 1996 February 28, 1997 February 29, 1996
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
$ 5,182,306 $ 2,698,472 $ 6,271,633 $ 3,734,343
3,439,818 1,041,589 9,487,619 2,814,112
0 67,639 0 65,955
5,149,907 8,805,216 11,374,656 18,004,995
13,772,031 12,612,916 27,133,908 24,619,405
54,517,689 39,123,950 61,750,732 55,695,812
68,289,720 51,736,866 88,884,640 80,315,217
101,221,200 49,484,334 162,557,993 82,242,776
$ 169,510,920 $ 101,221,200 $ 251,442,633 $ 162,557,993
- --------------------------------------------------------------------------------
</TABLE>
109
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2030 Master Portfolio
-----------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- ----------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Net investment income $ 3,210,760 $ 2,046,527
Net realized gain (loss) on investments 5,108,662 2,515,159
Net realized gain (loss) on sale of
futures contracts 0 47,954
Net change in unrealized appreciation
(depreciation) of investments 10,036,726 13,600,387
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 18,356,148 18,210,027
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM BENEFICIAL INTERESTS
TRANSACTIONS 32,210,346 39,393,839
NET INCREASE (DECREASE) IN NET ASSETS 50,566,494 57,603,866
NET ASSETS:
Beginning net assets 108,238,339 50,634,473
ENDING NET ASSETS $158,804,833 $108,238,339
- ----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
110
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LifePath 2040 Master Portfolio
- -----------------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1997 February 29, 1996
- -----------------------------------------------------
<S> <C>
$ 3,953,444 $ 2,303,138
14,697,190 4,521,411
35,620 169,434
17,501,172 (40,125)
92,625 22,384,421
36,280,051 29,338,279
45,783,771 80,123,105
82,063,822 109,461,384
176,020,906 66,559,522
$258,084,728 $176,020,906
- ------------------------------------------------------------------------------
</TABLE>
111
<PAGE>
MASTER INVESTMENT PORTFOLIO
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 (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 21, 1993 as a Delaware
business trust pursuant to an Agreement and Declaration of Trust dated May 14,
1993 and had no operations prior to May 26, 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 financial statements for
the Asset Allocation, Bond Index, S&P 500 Index and U.S. Treasury Allocation
Master Portfolios are presented separately.
These Master Portfolios invest in a range of securities, generally including
money market instruments, equities and U.S. government securities. 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 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 revenue and expenses during the reporting period.
Actual results could differ from those estimates.
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 reported 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 was no
last reported sales price, 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.
112
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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 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
Security 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 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 of MIP 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 realized 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 for purposes
of determining its federal income tax liability. 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 LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030, and LifePath
2040 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 LifePath 2000, LifePath
2010, LifePath 2020, LifePath 2030, and LifePath 2040 Master Portfolios are
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 Portfolios
agree
113
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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 Portfolios as unrealized
gains or losses. When the contract is closed, the Master Portfolios record a
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 that a change in the value of the contracts
may not correlate with changes in the value of the underlying securities. As of
February 28, 1997, the following Master Portfolio had open futures contracts
outstanding:
<TABLE>
<CAPTION>
Notional Net
Number of Expiration Contract Unrealized
Master Portfolio Contracts Type Date Value Appreciation
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LifePath 2040 2 S&P 500 Index March, 1997 $790,400 $52,500
</TABLE>
The LifePath 2040 Master Portfolio has pledged to brokers U.S. Treasury bills
with a par value of $29,952 for initial margin requirements.
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Portfolio of Investments. The adviser to the Master
Portfolios may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the adviser's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements entered into on February 28, 1997 by the Master
Portfolios are collateralized by U.S. Government Securities.
114
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
ORGANIZATION EXPENSES
Stephens, the co-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 TRANSACTION 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 0.55% of the average daily net assets of the
LifePath Master Portfolios as compensation for its advisory services to such
Master Portfolios. BGFA is an indirect subsidiary of Barclays Bank PLC.
Prior to October 21, 1996, Barclays Global Investors, N.A. ("BGI") served as
custodian to each of the LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, and LifePath 2040, Master Portfolios. BGI was not entitled to receive
compensation for its custodial services so long as BGFA was entitled to receive
fees for providing investment advisory services to the Master Portfolios.
Effective October 21, 1996, a new custody agreement was adopted pursuant to
which Investors Bank & Trust Company ("IBT") replaced BGI as custodian to each
Master Portfolio. IBT will not be entitled to receive fees for its custodial
services so long as it is entitled to receive a separate fee from BGI for its
services as Sub-Administrator of the Stagecoach Trust Funds.
Certain officers and directors of MIP are also officers of Stephens. As of
February 28, 1997, these officers of Stephens collectively owned less than 1%
of the Master Portfolios' outstanding shares of beneficial interests.
115
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the year ended February 28, 1997 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 $143,805,287 $117,676,864 $122,107,643 $38,149,610 $ 40,373,298
Sales proceeds 114,891,342 68,912,344 70,168,690 16,559,886 16,040,414
Other Securities:
- ----------------------------------------------------------------------------------
Purchases at cost 12,340,570 45,189,919 75,547,736 50,588,878 106,431,656
Sales proceeds 14,644,207 29,422,445 55,684,993 38,027,275 83,819,734
</TABLE>
4. PORTFOLIO SECURITIES LOANED
As of February 28, 1997, certain Master Portfolios had loaned securities
which were collateralized by cash, money market mutual funds and repurchase
agreements. Each Master Portfolio receives transaction fees for providing
services in connection with the securities lending program. The value of the
securities on loan and the value of the related collateral were as follows:
<TABLE>
<CAPTION>
Securities Collateral
- -------------------------------------------------------
<S> <C> <C>
LifePath 2000 Master Portfolio $18,423,174 $18,978,114
LifePath 2010 Master Portfolio $22,681,569 $23,406,970
LifePath 2020 Master Portfolio $35,546,661 $36,720,694
LifePath 2030 Master Portfolio $21,842,237 $22,529,743
LifePath 2040 Master Portfolio $31,275,995 $32,439,449
</TABLE>
116
<PAGE>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
5. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the Master
Portfolios are as follows:
<TABLE>
<CAPTION>
LifePath LifePath LifePath LifePath LifePath
2000 2010 2020 2030 2040
Master Master Master Master Master
Portfolio Turnover Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
For the Year Ended February
28, 1997 108% 73% 61% 42% 48%
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>
The average commission rates paid by the Master Portfolios are as follows:
<TABLE>
<CAPTION>
For the
Year Ended
February 28, 1997
- -------------------------------------------------
<S> <C>
LifePath 2000 Master Portfolio $0.0401
LifePath 2010 Master Portfolio 0.0404
LifePath 2020 Master Portfolio 0.0451
LifePath 2030 Master Portfolio 0.0364
LifePath 2040 Master Portfolio 0.0351
</TABLE>
117
<PAGE>
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
MASTER INVESTMENT PORTFOLIO:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Master Investment Portfolio
(comprising, respectively, LifePath 2000 Master Portfolio, LifePath 2010 Master
Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, and
LifePath 2040 Master Portfolio) as of February 28, 1997, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the years in the two year period then ended and the
financial highlights set forth in Note 5 for each of the years in the two year
period then ended. These financial statements and financial highlights are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. All periods indicated in Note 5 ending prior to March 1, 1995, were
audited by other auditors whose report dated April 20, 1995, expressed an
unqualified opinion on this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification of securities owned as of
February 28, 1997, by examination and other appropriate audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned master portfolios of Master Investment Portfolio as of
February 28, 1997, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated herein, except
as noted above, in conformity with generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
San Francisco, California
April 11, 1997
118
<PAGE>
NOTES
-----
<PAGE>
Barclays Global Fund Advisors ("BGFA") provides investment advisory services
for the Funds. Wells Fargo Bank provides shareholder services and certain other
services for the Funds. The Funds are sponsored and distributed by Stephens
Inc., Member NYSE/SIPC. BGFA 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 accompa-
nied or preceded by a current prospectus. For an additional prospectus contain-
ing more complete information, including charges and expenses, call 1-800-776-
0179. Read the prospectus carefully before you invest or send money.
MAC 0101-030
STAGECOACH INSTITUTIONAL FUNDS
c/o Wells Fargo Bank, N.A.
Transfer Agent
525 Market Street
San Francisco, CA 94105
DATED MATERIAL
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