<PAGE>
[LOGO]
THE STRONG
INDEX 500 FUND
- ------------------------------------
SEMI-ANNUAL REPORT - AUGUST 31, 1999
[PHOTO OF STRONG FUNDS HEADQUARTERS IN BACKGROUND]
<PAGE>
LETTER FROM THE CHAIRMAN
Dear Strong Investor,
A few months back, I sent a letter to some of our shareholders describing a
recent business trip to Indianapolis. I said that everywhere I went--every
highway traveled, every side street ventured down, bulldozers, cranes and
backhoes were hard at work.
Indianapolis, like most American cities we visit these days, is in the midst of
a spectacular building boom. A sea of yellow construction equipment is washing
over the nation's landscape.
It is the latest chapter in the unbelievable economic expansion that has blessed
this country--almost without pause--since 1982. The signs of prosperity are
everywhere:
- Highways jammed with people on their way to do business.
- "Help Wanted" signs in more store windows than most of us have ever seen at
one time.
- Consumer confidence is at an all-time high. Shopping carts are stuffed with
personal computers, printers, software and all sorts of related high-tech
equipment transforming the lives of Americans.
- Restaurants are packed almost every night of the week with people who have
money to spend.
As we make our way through the last quarter of the last year of the 20th
Century, we are fortunate to be living in one of the greatest booms in recorded
history. We should be grateful for the opportunity to live in these incredibly
prosperous times. We also ought to remember that nothing lasts forever.
The nation's economic engine is running near full capacity. After eight years of
continuous growth, the American economy is beginning to overheat. It's that
strain on the system that has Mr. Greenspan's Federal Reserve, which is
responsible for managing the economy and keeping inflation at reasonable levels,
obviously concerned.
Though the current batch of inflation indicators don't seem too threatening, the
Fed is wise to keep a sharp eye on the system. The economy can only grow so fast
and still remain healthy. If it gains too much speed--like a car heading down a
steep slope--it runs the risk of careening out of control. It's the Fed's job to
provide just the right mix of acceleration and braking.
The Federal Reserve has an awesome responsibility. While they want the economy
to move ahead, they can't let their hopes override common sense. The Fed has
become increasingly worried about excessive valuations in the stock market and
the possibility that, left unchecked, a financial bubble could occur.
Here at Strong, we are bullish on America's prospects for the 21st Century. Long
term, we believe interest rates are headed down. But, in the short term,
expectations of what the stock market and the U.S. economy can continue to
deliver seem inflated. For that reason, this could be a good time to complement
your portfolio's stock holdings with more conservative money market and
short-term bond funds.
/s/ Dick
<PAGE>
THE STRONG
INDEX 500 FUND
-----------
SEMI-ANNUAL REPORT - AUGUST 31, 1999
TABLE OF CONTENTS
INVESTMENT REVIEW
The Strong Index 500 Fund ........................................2
FINANCIAL INFORMATION--STRONG INDEX 500 FUND
Statement of Assets and Liabilities ..............................4
Statement of Operations ..........................................5
Statements of Changes in Net Assets ..............................6
Notes to Financial Statements ....................................7
Financial Highlights .............................................8
FINANCIAL INFORMATION--
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
Portfolio of Investments .........................................9
Statement of Assets and Liabilities .............................15
Statement of Operations .........................................16
Statements of Changes in Net Assets .............................17
Notes to Financial Statements ...................................18
<PAGE>
THE STRONG INDEX 500 FUND
-------------------------
MARKET
PERSPECTIVES
For the first six months of fiscal year 1999, the Strong Index 500 Fund returned
7.13%, while the S&P 500 Index returned 7.32%. The Fund's slightly lower return
is partially a result of the administrative and management fees that are
deducted from the total return, and because a small percentage of the Fund's
assets are invested in low-risk, low-return money market securities used to
process transactions.
While the entire Strong Index 500 Fund returned 7.13% for the first half of the
fiscal year, the 15 largest companies in the S&P 500 Index returned 14.9% during
this period. Leading the charge were Microsoft, Intel, and IBM, which returned
22%, 40%, and 47%, respectively. In March, one-third of the S&P 500's return
came from America Online and Microsoft alone.
"Value" stocks are those of companies with higher current earnings. "Growth"
stocks are those of companies that show greater long-term growth potential.
Value and growth stocks were in and out of favor alternately throughout the
first six months of the fiscal year, but their returns for this period were
actually rather close: value stocks returned 7.8% and growth stocks returned
6.9%.
In June, the Federal Reserve Board increased the short-term interest rate 0.25%
and moved to a neutral view on future increases. The stock market responded well
to the news. Large-cap stocks outpaced small-caps, and mid-caps lagged both
groups, but each asset class
- -------------------------------------------------------------------------------
...for the first half of the fiscal year, the 15 largest companies in the S&P
500 Index returned 14.9%...
- -------------------------------------------------------------------------------
[SIDENOTE]
FUND
HIGHLIGHTS
- - For the six months ended August 31, 1999, the Strong Index 500 Fund return
was 7.13%, versus the S&P 500 Stock Index-Registered Trademark- return of
7.32% for the same period.(1)
- - The one-, three-, and six-month performance returns for the Fund ended
August 31, 1999, were -0.48%, 1.71%, 7.13% respectively.(2)
- - Since inception, the average annual return for the fund was 25.35%.
- -------------------------------------------------------------------------------
[SIDENOTE]
AVERAGE ANNUAL
TOTAL RETURN(2)
as of 8-31-99
1-year 39.17%
Since Inception 25.35%
(on 5-1-97)
- -------------------------------------------------------------------------------
[SIDENOTE]
LARGEST
FIVE
STOCK HOLDINGS
as of 8-31-99
SECURITY % OF NET ASSETS
- ----------------------------------------
Microsoft Corporation 4.33%
General Electric Company 3.44%
Intel Corporation 2.51%
IBM 2.06%
Cisco Systems 1.96%
Please see the Schedule of Investments in Securities for a complete listing of
the Fund's portfolio.
- -------------------------------------------------------------------------------
(1) "Standard & Poor's-Registered Trademark-", "S&P-Registered Trademark-",
"S&P 500-Registered Trademark-", "Standard & Poor's 500", and "500" are
trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use
by Strong Equity Funds, Inc. The Strong Index 500 Fund is not sponsored,
endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes
no representation regarding the advisability of investing in the Product.
(2) Average annual total return and total return measure change in the value of
an investment in the Fund, assuming reinvestment of all dividends and
capital gains. Average annual total return reflects annualized change while
total return reflects aggregate change, and is not annualized.
2
<PAGE>
performed well in June.
Contradicting statements he had made in June, Federal Reserve Board Chairman
Alan Greenspan reported in July that the Fed had changed its view on interest
rates again. The chairman warned of the potential rise in inflation that could
result from a slowdown in productivity improvements and a tightening of the
labor market. He also reminded investors that, in accordance with a now
well-established policy, any signs that indicate the potential for inflation
will compel the Fed to act "promptly and forcefully" to prevent it.
Investors analyzed economic news carefully in August. As a result, there was
significantly less activity than in previous months among stocks in the S&P 500
Index. Prompted by the tightening of the job market and strong domestic demand,
the Fed raised short-term interest rates by another 0.25%. The effect on the
stock market was minimal, however, as investors had been anticipating another
rate increase.
GROWTH OF AN ASSUMED $10,000 INVESTMENT
from 5-1-97 to 8-31-99
[GRAPH]
S&P 500
The Strong Stock Index+ Lipper S&P 500 Index
Index 500 FUND Index-Registered Trademark-(3) Objective Fund Index(3)
4/97 $10,000 $10,000 $10,000
6/97 $11,110 $11,122 $11,117
9/97 $11,930 $11,955 $11,945
12/97 $12,262 $12,298 $12,282
3/98 $13,948 $14,013 $13,982
6/98 $14,392 $14,476 $14,433
9/98 $12,957 $13,036 $12,997
12/98 $15,709 $15,812 $15,762
3/99 $16,451 $16,600 $16,528
6/99 $17,590 $17,770 $17,677
8/99 $16,948 $17,130 $17,032
This graph, provided in accordance with SEC regulations, compares a $10,000
investment in the Fund, made at its inception, with a similar investment in
the Standard & Poor's 500 Stock Index-Registered Trademark- ("S&P 500") and
the Lipper S&P 500 Index Objective Funds Index. Results include the
reinvestment of all dividends and capital gains distributions. Performance
is historical and does not represent future results. Investment returns and
principal value vary, and you may have a gain or loss when you sell shares.
+ The S&P 500 Index-Registered Trademark- figure tracks the Strong Index 500
Fund and the Lipper S&P 500 Index figure so closely that its results are not
discernible on the graph.
- -------------------------------------------------------------------------------
[SIDENOTE]
YOUR FUND'S
APPROACH
The Strong Index 500 Fund is designed to provide investors with broad exposure
to the large-capitalization sector of the U.S. market by replicating, as closely
as practical (before fees and expenses), the market capitalization-weighted
total return of the Standard & Poor's 500 Stock Index-Registered Trademark-
(S&P 500).(3) The Fund represents more than 70% of the overall U.S. stock market
capitalization. This allows investors wide diversification, and serves as a
complement to actively managed funds.
- -------------------------------------------------------------------------------
[SIDENOTE]
MARKET
HIGHLIGHTS
- - At the beginning of fiscal year 1999, the Dow Jones Industrial Average broke
the 10,000-point barrier on March 16 and closed above 10,000 points for the
first time in history on March 29. Outstanding performance was concentrated
among the largest stocks in the S&P 500 Index.
- - Concern that the Federal Reserve Board would raise interest rates and choke
off a major source of buoyancy for the equity market slowed trading activity
briefly, but the S&P 500 Index was up again in the beginning of the second
quarter.
- -------------------------------------------------------------------------------
(3) The S&P 500 Stock Index-Registered Trademark- is an unmanaged index
generally representative of the U.S. stock market. The Lipper S&P 500 Index
Objective Funds Index is an equally-weighted performance index of the
largest qualifying funds in this Lipper category. Source of the S&P index
data is Standard & Poor's Micropal. Source of the Lipper index data is
Lipper Inc.
Strong Capital Management, Inc. has voluntarily waived portions of its fees
or has reimbursed expenses to the Fund, which has reduced operating expenses
for shareholders. Without this reduction, the Fund's return would have been
lower.
3
<PAGE>
STRONG INDEX 500 FUND
<TABLE>
<CAPTION>
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STATEMENT OF ASSETS AND LIABILITIES
August 31, 1999 (Unaudited)
<S> <C>
ASSETS:
Investment in S&P 500 Index Master Portfolio, at Value (Note 1) $167,625,295
Receivable for Fund Shares Sold 154,883
Due from SCMI 113,613
Other Assets 32,563
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Total Assets 167,926,354
LIABILITIES:
Payable for Fund Shares Redeemed 157,464
Due to SCMI 33,590
Accrued Operating Expenses and Other Liabilities 69,610
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Total Liabilities 260,664
------------
NET ASSETS $167,665,690
============
NET ASSETS CONSIST OF:
Capital Stock (par value and paid-in capital) $141,199,637
Undistributed Net Investment Income 1,091,667
Undistributed Net Realized Gain 5,996,097
Net Unrealized Appreciation 19,378,289
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Net Assets $167,665,690
============
Capital Shares Outstanding (Unlimited Number Authorized) 10,060,500
NET ASSET VALUE PER SHARE $16.67
======
</TABLE>
See Notes to Financial Statements.
4
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STRONG INDEX 500 FUND
<TABLE>
<CAPTION>
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STATEMENT OF OPERATIONS
For the Six Months Ended August 31, 1999 (Unaudited)
<S> <C>
NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO:
Dividend Income $ 1,019,365
Interest Income 222,631
Expenses (40,923)
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Net Investment Income Allocated from Master Portfolio 1,201,073
EXPENSES:
Shareholder Servicing Costs (Note 3) 209,923
Transfer Agency Fees 218,640
Reports to Shareholders 52,633
Other 52,654
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Total Expenses Before Waivers 533,850
Voluntary Expense Waivers by SCMI (207,955)
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Expenses, Net 325,895
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NET INVESTMENT INCOME 875,178
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM MASTER PORTFOLIO:
Net Realized Gain on:
Investments 4,044,180
Futures Contracts 710,092
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Net Realized Gain 4,754,272
Change in Unrealized Appreciation/Depreciation on:
Investments 4,674,283
Futures Contracts (182,186)
-----------
Net Change in Unrealized Appreciation/Depreciation 4,492,097
-----------
NET GAIN ON INVESTMENTS 9,246,369
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $10,121,547
===========
See Notes to Financial Statements.
5
</TABLE>
<PAGE>
STRONG INDEX 500 FUND
<TABLE>
<CAPTION>
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended Year Ended
Aug. 31, 1999 Feb. 28, 1999
---------------- --------------
(Unaudited)
<S> <C> <C>
OPERATIONS:
Net Investment Income $ 875,178 $ 900,410
Net Realized Gain 4,754,272 1,173,696
Net Change in Unrealized Appreciation/Depreciation 4,492,097 11,546,437
-------------- --------------
Net Increase in Net Assets Resulting from Operations 10,121,547 13,620,543
DISTRIBUTIONS:
From Net Investment Income -- (734,711)
From Net Realized Gains -- (7,666)
-------------- --------------
Total Distributions -- (742,377)
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST:
Proceeds from Shares Sold 42,959,449 120,131,919
Proceeds from Reinvestment of Distributions -- 722,710
Payment for Shares Redeemed (24,537,938) (26,706,110)
-------------- --------------
Net Increase in Net Assets from Beneficial Interest Transactions 18,421,511 94,148,519
-------------- --------------
TOTAL INCREASE IN NET ASSETS 28,543,058 107,026,685
NET ASSETS:
Beginning of Period 139,122,632 32,095,947
-------------- --------------
End of Period $167,665,690 $139,122,632
============== ==============
TRANSACTIONS IN SHARES OF THE FUND:
Sold 2,586,035 8,336,831
Issued in Reinvestment of Distributions -- 47,136
Redeemed (1,466,679) (1,880,932)
---------- ----------
Net Increase in Shares of the Fund 1,119,356 6,503,035
========== ==========
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
STRONG INDEX 500 FUND
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
August 31, 1999 (Unaudited)
1. ORGANIZATION
The Strong Index 500 Fund (the "Fund") is a diversified series of Strong
Equity Funds, Inc., an open-end management investment company registered
under the Investment Company Act of 1940, as amended. The Fund invests all
of its assets in the S&P 500 Index Master Portfolio (the "Master
Portfolio") of Master Investment Portfolio ("MIP"), an open-end management
investment company registered under the Investment Company Act of 1940,
rather than in a portfolio of securities. The Master Portfolio has
substantially the same investment objective as the Fund. Barclays Global
Fund Advisors serves as Investment Advisor for the Master Portfolio. The
financial statements of the Master Portfolio, including the schedule of
investments in securities, are contained elsewhere in this report and
should be read in conjunction with the Fund's financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements.
(A) SECURITY VALUATION -- The value of the Fund's investment in the
Master Portfolio reflects the Fund's interest of 3.86% in the net
assets of the Master Portfolio at August 31, 1999. Valuation of
securities by the Master Portfolio is discussed in Note 1 of the
Master Portfolio's Notes to Financial Statements, which are included
elsewhere in this report.
(B) FEDERAL INCOME AND EXCISE TAXES AND DISTRIBUTIONS TO SHAREHOLDERS --
The Fund intends to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its
shareholders in a manner which results in no tax cost to the Fund.
Therefore, no federal income or excise tax provision is required.
The character of distributions made during the year from net
investment income or net realized gains for financial statement
purposes may differ from the characterization for federal income tax
purposes due to differences in the recognition of income and expense
items for financial statement and tax purposes. Where appropriate,
reclassifications between net asset accounts are made for such
differences that are permanent in nature.
The Fund generally pays dividends from net investment income and
distributes any net capital gains that it realizes annually.
(C) ACCOUNTING FOR INVESTMENTS -- The Fund earns income daily, net of
Master Portfolio expenses, based on its investment in the Master
Portfolio. All of the net investment income and realized and
unrealized gain or loss of the Master Portfolio is allocated pro
rata, based on respective ownership interests, among the Fund and the
other investors in the Master Portfolio at the time of such
determination. Dividend income and other distributions from portfolio
securities are recorded on the ex-dividend date. Interest income is
accrued daily.
(D) EXPENSES -- The Fund bears all costs of its operations other than
expenses specifically assumed by Strong Capital Management, Inc.
("SCMI"), the Fund's shareholder servicing agent, transfer agent and
dividend-disbursing agent. Expenses incurred by the Master Portfolio
are allocated pro rata to the Fund.
(E) USE OF ESTIMATES -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts in these financial statements. Actual results could differ
from those estimates.
3. RELATED PARTY TRANSACTIONS
SCMI provides shareholder recordkeeping and related services to the Fund.
For these services, the Fund pays SCMI a fee at an annual rate of .25% of
the Fund's average daily net assets. Certain fees have been waived or
absorbed by SCMI for the six months ended August 31, 1999. Waived or
absorbed fees continue at the discretion of SCMI. In addition, SCMI is
compensated for certain other services related to costs incurred for
reports to shareholders. The amount receivable from SCMI at August 31,
1999, shareholder servicing and other expenses paid to SCMI and
unaffiliated directors' fees for the six months then ended were $24,346,
$1,152, and $750, respectively.
7
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STRONG INDEX 500 FUND
<TABLE>
<CAPTION>
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FINANCIAL HIGHLIGHTS
Period Ended
----------------------------------
Aug. 31, Feb. 28, Feb. 28,
Selected Per-Share Data(a) 1999(b) 1999 1998(c)
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period $15.56 $13.16 $10.00
Income From Investment Operations
Net Investment Income 0.08 0.13 0.11
Net Realized and Unrealized Gains on Investments 1.03 2.39 3.15
- ----------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 1.11 2.52 3.26
Less Distributions
From Net Investment Income -- (0.12) (0.09)
From Net Realized Gains -- (0.00)(d) (0.01)
- ----------------------------------------------------------------------------------------------------------------------------
Total Distributions -- (0.12) (0.10)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $16.67 $15.56 $13.16
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Ratios and Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Total Return +7.1% +19.2% +32.7%
Net Assets, End of Period (In Thousands) $167,666 $139,123 $32,096
Ratio of Expenses to Average Net Assets 0.45%* 0.45% 0.44%*
Ratio of Expenses to Average Net Assets Without Waivers and Absorptions 0.71%* 0.73% 1.53%*
Ratio of Net Investment Income to Average Net Assets 1.07%* 1.18% 1.43%*
Portfolio Turnover Rate(e) 4% 11% 6%
</TABLE>
* Calculated on an annualized basis.
(a) Information presented relates to a share of capital stock of the Fund
outstanding for the entire period.
(b) For the six months ended August 31, 1999 (unaudited).
(c) For the period from May 1, 1997 (inception) to February 28, 1998.
(d) Amount calculated is less than $0.01.
(e) This rate represents the portfolio turnover rate of the S&P 500 Index
Master Portfolio.
See Notes to Financial Statements.
8
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Portfolio of Investments August 31, 1999 (Unaudited)
Security Name Shares Value
- -------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS-95.87%
ADVERTISING-0.12%
Omnicom Group 68,759 $ 5,182,710
------------
TOTAL ADVERTISING
- VALUE $ 5,182,710
- COST $ 3,464,154
AEROSPACE & DEFENSE-1.47%
Allied Signal Inc 212,485 $ 13,014,706
Boeing Co 374,457 16,967,583
Briggs & Stratton Corp 9,122 555,302
General Dynamics Corp 71,266 4,489,758
Lockheed Martin Corp 151,773 5,615,601
Northrop Grumman Corp 26,579 1,926,977
Rockwell International Corp 73,375 4,338,297
Textron Inc 58,104 4,691,898
United Technologies Corp 185,408 12,260,104
------------
TOTAL AEROSPACE & DEFENSE
- VALUE $ 63,860,226
- COST $ 47,536,525
AIRLINES-0.35%
AMR Corp+ 59,167 $ 3,468,665
Delta Air Lines Inc 54,057 2,746,771
FDX Corp+ 114,517 4,859,815
Southwest Airlines Co 194,017 3,237,659
USAirways Group Inc+ 28,645 882,624
------------
TOTAL AIRLINES
- VALUE $ 15,195,534
- COST $ 13,249,747
APPAREL-0.19%
Liz Claiborne Inc 24,521 $ 901,147
Nike Inc Class B 108,262 5,007,117
Reebok International Ltd+ 22,146 261,600
Russell Corp 13,707 229,592
VF Corp 46,340 1,668,240
------------
TOTAL APPAREL
- VALUE $ 8,067,696
- COST $ 8,047,996
AUTO PARTS & EQUIPMENT-0.71%
Cooper Tire & Rubber Co 29,617 $ 562,723
Dana Corp 64,030 2,789,307
Delphi Automotive Systems Corp 216,361 4,056,769
Deluxe Corp 30,344 1,033,593
Eaton Corp 27,696 2,714,208
Genuine Parts Co 69,138 1,996,360
Goodyear Tire & Rubber Co 60,125 3,374,516
Illinois Tool Works Inc 96,386 7,512,084
ITT Industries Inc 34,073 1,152,093
Navistar International Corp+ 25,666 1,248,009
PACCAR Inc 30,273 1,668,799
The Pep Boys--Manny Moe & Jack 20,775 302,536
TRW Inc 46,477 2,532,996
------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 30,943,993
- COST $ 21,969,352
AUTOMOBILES-0.94%
Ford Motor Co 465,310 $ 24,254,284
General Motors Corp Class A 249,229 16,480,268
------------
TOTAL AUTOMOBILES
- VALUE $ 40,734,552
- COST $ 32,553,058
BANK & FINANCE-10.85%
American Express Corp 173,157 $ 23,809,087
Amsouth Bancorp 65,402 1,430,669
Associates First Capital Corp 279,960 9,606,128
Bank of America Corp 670,365 40,557,083
Bank of New York Inc 292,766 10,466,384
Bank One Corp 453,801 18,208,765
BankBoston Corp 114,237 5,304,881
BB&T Corp 120,484 4,036,214
Bear Stearns Co Inc 44,952 1,871,127
Capital One Financial Corp 76,100 2,872,775
Chase Manhattan 324,785 27,180,445
Citigroup Inc 1,298,214 57,689,385
Comerica Inc 60,198 3,134,058
Countrywide Credit Industries Inc 43,374 1,393,390
Equifax Inc 55,846 1,703,303
Federal Home Loan Mortgage Corp 267,231 13,762,396
Federal National Mortgage Assoc 393,853 24,468,118
Fifth Third Bancorp 103,358 6,847,468
First Union Corp 372,082 15,441,403
Firstar Corp 254,506 6,823,942
Fleet Financial Group Inc 219,376 8,733,907
Franklin Resources Inc 97,131 3,490,645
Golden West Financial 21,678 1,968,633
Household International Inc 184,416 6,961,704
Huntington Bancshares Inc 89,157 2,669,138
Keycorp 172,399 4,999,571
Lehman Brothers Holdings 45,325 2,436,219
MBNA Corp 308,345 7,612,267
Mellon Bank Corp 200,463 6,690,453
Mercantile Bancorp 60,892 3,360,477
Merrill Lynch & Co Inc 141,507 10,559,960
MGIC Investment Corp 42,161 1,831,368
Morgan (J P) & Co Inc 68,179 8,807,875
Morgan Stanley Dean Witter 219,287 18,817,566
National City Corp 241,944 6,683,703
Northern Trust Corp 43,013 3,648,040
Paine Webber Group Inc 55,154 2,164,794
PNC Bank Corp 116,945 6,117,685
Regions Financial Corp 85,833 3,030,978
Republic New York Corp 40,554 2,813,434
Ryder System Inc 27,690 610,911
Schwab (Charles) Corp 313,908 12,399,366
SLM Holding Corp 62,784 2,774,268
State Street Boston Corp 62,052 3,715,364
Summit Bancorp 66,056 2,204,619
SunTrust Banks Inc 123,742 7,958,157
Synovus Financial Corp 103,581 1,955,091
U.S. Bancorp 279,559 8,631,384
Union Planters Corp 53,845 2,271,586
Wachovia Corp 78,040 6,116,385
Washington Mutual Inc 228,802 7,264,464
Wells Fargo & Co 635,204 25,289,059
------------
TOTAL BANK & FINANCE
- VALUE $471,196,092
- COST $368,598,868
9
</TABLE>
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Portfolio of Investments (continued) August 31, 1999 (Unaudited)
Security Name Shares Value
- -------------------------------------------------------------------------------------
<S> <C> <C>
BASIC INDUSTRIES-1.37%
Alcoa Inc 142,129 $ 9,176,204
ASARCO Inc 15,737 328,510
Avery-Dennison Corp 43,853 2,406,433
Baker Hughes Inc 126,058 4,285,972
Bemis Co 20,358 772,332
Boise Cascade Corp 22,043 801,814
Champion International Corp 36,981 2,033,955
Cyprus Amax Minerals 35,572 602,501
Dover Corp 82,213 3,180,615
Fort James Corp 85,088 2,744,088
Georgia-Pacific Corp 66,229 2,740,225
Homestake Mining Co 92,085 782,722
Ikon Office Solutions Inc 53,983 600,561
Inco Ltd 70,437 1,443,958
Louisiana-Pacific Corp 41,771 772,763
Mead Corp 39,296 1,466,232
Minnesota Mining & Manufacturing Co 154,761 14,624,914
NACCO Industries Inc Class A 3,027 235,728
Newmont Mining Corp 64,155 1,311,168
Potlatch Corp 11,371 439,205
Sealed Air Corp+ 32,207 1,892,161
Westvaco Corp 38,863 1,017,725
Weyerhauser Co 77,245 4,345,031
Willamette Industries Inc 42,972 1,702,766
------------
TOTAL BASIC INDUSTRIES
- VALUE $ 59,707,583
- COST $ 49,359,697
BEVERAGES-2.40%
Anheuser-Busch Inc 182,844 $ 14,078,988
Coca-Cola Co 948,081 56,707,095
Coca-Cola Enterprises Co 163,218 4,641,512
Coors (Adolph) Co Class B 14,382 820,673
Diageo PLC ADR (UK) 17 704
Pepsico Inc 567,584 19,368,804
Seagrams Co Ltd 164,617 8,734,990
------------
TOTAL BEVERAGES
- VALUE $104,352,766
- COST $ 86,249,234
BROADCASTING-0.94%
Clear Channel Communications Inc+ 127,745 $ 8,950,134
Kingworld Productions+ 27,521 1,049,238
MediaOne Group Inc+ 232,765 15,304,299
Tribune Co 45,611 4,256,076
Viacom Inc Class B+ 265,469 11,166,290
------------
TOTAL BROADCASTING
- VALUE $ 40,726,037
- COST $ 24,527,058
BUILDING MATERIALS & SERVICES-0.47%
Cooper Industries Inc 36,420 $ 1,889,288
Corning Inc 93,893 6,243,884
Danaher Corp 51,856 3,046,540
Owens Corning Fiberglass Corp 20,986 590,231
Owens Illinois Inc+ 60,369 1,494,133
PPG Industries Inc 66,894 4,017,821
Snap-On Inc 23,453 793,005
Stanley Works 34,452 908,672
Vulcan Materials Co 32,120 1,369,115
------------
TOTAL BUILDING MATERIALS & SERVICES
- VALUE $ 20,352,689
- COST $ 17,600,534
BUSINESS SERVICES-0.38%
Cendant Corp+ 276,369 $ 4,957,369
Dun & Bradstreet Corp 63,376 1,659,659
Ecolab Inc 50,020 1,878,876
Paychex Inc 94,861 2,792,471
Waste Management Inc 234,418 5,113,243
------------
TOTAL BUSINESS SERVICES
- VALUE $ 16,401,618
- COST $ 23,325,867
CHEMICALS-1.57%
Air Products & Chemicals Inc 88,409 $ 3,005,906
Clorox Co 90,512 4,095,668
Dow Chemical Co 84,458 9,596,540
Du Pont (E I) De Nemours 375,155 23,775,452
Eastman Chemical Co 30,282 1,406,220
FMC Corp+ 12,392 721,834
Goodrich (B F) Co 34,653 1,279,995
Grace (W R) Co+ 27,178 519,779
Great Lakes Chemical Corp 22,691 934,586
Hercules Inc 38,616 1,257,434
International Flavor & Fragrances 40,998 1,670,668
Monsanto Co 242,852 9,972,110
Praxair Inc 60,801 2,857,647
Rohm & Haas Co 81,296 3,038,438
Sigma-Aldrich Corp 39,041 1,259,072
Union Carbide Corp 51,317 2,918,654
------------
TOTAL CHEMICALS
- VALUE $ 68,310,003
- COST $ 58,101,063
COMPUTER SOFTWARE-7.66%
3Com Corp+ 139,468 $ 3,460,550
Adobe Systems Inc 23,548 2,345,970
America Online Inc+ 417,436 38,117,125
Autodesk Inc 20,332 467,636
Automatic Data Processing 237,977 9,355,471
BMC Software Inc+ 90,534 4,871,861
Ceridian Corp+ 55,853 1,563,884
Computer Associates International Inc 206,276 11,654,594
Computer Sciences Corp+ 61,171 4,232,269
Compuware Corp+ 141,575 4,273,795
Electronic Data Systems Corp 189,288 10,623,789
First Data Corp 166,183 7,312,052
IMS Health Inc 122,063 3,371,990
Microsoft Corp+ 1,959,084 181,337,713
Novell Inc+ 129,664 3,071,416
Oracle Systems Corp+ 553,231 20,192,932
Parametric Technology Corp+ 104,783 1,466,962
Peoplesoft Inc+ 90,560 1,279,160
Sun Microsystems Inc+ 297,468 23,648,706
------------
TOTAL COMPUTER SOFTWARE
- VALUE $332,647,875
- COST $195,303,039
COMPUTER SYSTEMS-7.32%
Apple Computer Inc+ 60,296 $ 3,934,314
Cabletron Systems Inc+ 62,807 1,055,943
Cisco Systems Inc+ 1,227,206 83,219,907
Compaq Computer Corp 653,442 15,151,686
Data General Corp+ 19,257 355,051
Dell Computer Corp+ 974,506 47,568,074
EMC Corp+ 389,059 23,343,540
Gateway Inc+ 60,319 5,847,173
Harris Corp 31,034 814,642
Hewlett-Packard Co 390,024 41,098,779
International Business Machine Corp 697,229 86,848,587
Seagate Technology Inc+ 85,966 2,852,997
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
Portfolio of Investments (continued) August 31, 1999 (Unaudited)
Security Name Shares Value
- -------------------------------------------------------------------------------------
<S> <C> <C>
Shared Medical System Corp 10,340 $ 580,979
Silicon Graphics Inc+ 73,128 836,402
Unisys Corp+ 103,275 4,440,825
------------
TOTAL COMPUTER SYSTEMS
- VALUE $317,948,899
- COST $146,570,322
CONTAINER & PACKAGING-0.29%
Ball Corp 11,780 $ 529,364
Crown Cork & Seal Co 47,391 1,258,823
International Paper Co 157,917 7,431,969
Temple-Inland Inc 21,587 1,338,394
Tenneco Inc 65,875 1,325,734
Tupperware Corp 22,621 510,386
------------
TOTAL CONTAINER & PACKAGING
- VALUE $ 12,394,670
- COST $ 13,330,694
ELECTRICAL EQUIPMENT-3.90%
General Electric Co 1,256,906 $141,166,255
Grainger (W W) Inc 36,123 1,573,608
Masco Corp 129,783 3,674,481
Motorola Inc 231,748 21,378,753
National Service Industries Inc 15,998 511,936
Thomas & Betts Corp 21,793 980,685
------------
TOTAL ELECTRICAL EQUIPMENT
- VALUE $169,285,718
- COST $101,065,305
ELECTRONICS-5.27%
Advanced Micro Devices+ 55,827 $ 1,154,921
Applied Materials Inc+ 143,428 10,192,352
CBS Corp+ 273,701 12,863,947
EG&G Inc 17,648 561,427
Emerson Electric Co 167,372 10,481,672
General Instrument Corp+ 65,466 3,220,109
Honeywell Inc 48,534 5,508,609
Intel Corp 1,274,695 104,763,995
Johnson Controls Inc 32,858 2,246,666
KLA Instruments Corp+ 33,808 2,123,565
Lexmark International Group Class A+ 43,375 3,415,781
LSI Logic Corp+ 55,154 3,129,989
Micron Technology Inc+ 95,676 7,133,813
National Semiconductor+ 64,661 1,822,632
Pitney Bowes Inc 103,383 6,099,597
Raytheon Co Class B 129,293 8,808,086
Solectron Corp+ 97,952 7,664,744
Tektronix Inc 18,410 612,133
Texas Instruments Inc 301,213 24,718,292
Xerox Corp 254,226 12,139,291
------------
TOTAL ELECTRONICS
- VALUE $228,661,621
- COST $120,465,061
ENERGY & RELATED-6.71%
Amerada Hess Corp 34,891 $ 2,165,423
Anadarko Petroleum Corp 46,745 1,589,330
Apache Corp 41,497 1,888,113
Ashland Inc 28,437 1,096,602
Atlantic Richfield Corp 123,780 10,884,904
Burlington Resources Inc 68,378 2,859,055
Chevron Corp 251,821 23,230,487
Coastal Corp 82,200 3,560,288
Columbia Gas System Inc 32,522 1,920,831
Conoco Inc Class B 243,868 6,553,947
Consolidated Natural Gas Co 36,921 2,351,406
Eastern Enterprises 8,432 378,913
Enron Corp 271,940 11,387,487
Exxon Corp 932,704 73,567,028
Halliburton Co 169,538 7,862,325
Helmerich & Payne Inc 19,470 536,642
Kerr-McGee Corp 32,874 1,840,944
Mobil Corp 300,646 30,778,634
NICOR Inc 18,445 713,591
Occidental Petroleum Corp 134,284 2,912,284
ONEOK Inc 12,234 380,019
Peoples Energy Corp 13,909 506,809
Phillips Petroleum Co 97,217 4,958,067
Rowan Co Inc+ 32,475 604,847
Royal Dutch Petroleum Corp 823,814 50,973,491
Schlumberger Ltd 210,312 14,038,326
Sonat Offshore Drilling Co 42,557 1,537,372
Sunoco Inc 35,137 1,144,149
Texaco Inc 206,300 13,100,050
Union Pacific Resources Group 97,483 1,748,601
Unocal Corp 93,353 3,909,157
USX--Marathon Group 118,917 3,701,292
Williams Co Inc 166,340 6,861,525
------------
TOTAL ENERGY & RELATED
- VALUE $291,541,939
- COST $204,943,461
ENGINEERING & CONSTRUCTION-0.09%
Armstrong World Industries Inc 15,543 $ 754,807
Centex Corp 23,215 652,922
Fleetwood Enterprises Inc 13,708 279,301
Fluor Corp 29,408 1,216,770
Foster Wheeler Corp 15,952 206,379
Kaufman & Broad Home Corp 17,979 367,446
Pulte Corp 17,087 395,137
------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 3,872,762
- COST $ 4,511,394
ENTERTAINMENT & LEISURE-1.33%
Brunswick Corp 35,682 $ 912,121
Disney (Walt) Co 791,454 21,962,848
Harrah's Entertainment Inc+ 48,115 1,082,587
Hasbro Inc 75,482 1,844,591
Mattel Inc 159,572 3,400,878
Mirage Resorts Inc+ 73,225 956,502
Polaroid Corp 17,470 473,874
Time Warner Inc 458,370 27,187,071
------------
TOTAL ENTERTAINMENT & LEISURE
- VALUE $ 57,820,472
- COST $ 48,565,248
ENVIRONMENTAL CONTROL-0.01%
Allied Waste Industries Inc+ 50,915 $ 649,166
------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 649,166
- COST $ 910,968
FOOD & RELATED 3.24%
Albertson's Inc 161,736 $ 7,753,220
Archer-Daniels-Midland Co 238,053 3,094,692
Bestfoods 107,572 5,284,475
Brown-Forman Corp Class B 26,460 1,554,525
Campbell Soup Co 167,791 7,414,265
ConAgra Inc 187,991 4,605,779
Darden Restaurants Inc 51,880 810,625
General Mills Inc 58,793 4,923,914
Great Atlantic & Pacific Tea Co 14,838 521,185
Heinz (H J) Co 138,292 6,456,508
Hershey Foods Corp 53,845 2,884,073
Kellogg Co 155,909 5,544,514
11
</TABLE>
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Portfolio of Investments (continued) August 31, 1999 (Unaudited)
Security Name Shares Value
- -------------------------------------------------------------------------------------
<S> <C> <C>
Kroger Co+ 317,760 $ 7,348,200
McDonald's Corp 521,848 21,591,461
Nabisco Group Holdings Corp 125,413 2,226,081
Pioneer Hi Bred International Inc 92,295 3,611,042
Quaker Oats Co 51,978 3,472,780
Ralston-Purina Group 124,496 3,423,640
Safeway Inc+ 190,959 8,891,528
Sara Lee Corp 347,557 7,711,421
Super Value Inc 46,279 1,041,277
Sysco Corp 127,462 4,158,448
Tricon Global Restaurants+ 59,212 2,405,488
Unilever NV 219,729 15,133,835
UST Inc 68,036 2,155,891
Wendy's International Inc 47,843 1,339,604
Winn-Dixie Stores Inc 57,358 1,950,172
Wrigley (W M) Jr Co 44,737 3,503,466
------------
TOTAL FOOD & RELATED
- VALUE $140,812,109
- COST $121,146,498
FURNITURE & APPLIANCES-0.20%
Maytag Corp 34,101 $ 2,135,575
Newell Rubbermaid Inc 108,510 4,448,910
Whirlpool Corp 29,131 2,059,198
------------
TOTAL FURNITURE & APPLIANCES
- VALUE $ 8,643,683
- COST $ 6,783,340
HEALTHCARE-0.40%
Cardinal Health Inc 104,862 $ 6,684,953
HCR Manor Care Inc+ 42,886 838,957
Healthsouth Corp+ 160,259 1,312,121
McKesson HBOC Inc 105,816 3,293,523
St Jude Medical Inc+ 32,653 1,183,671
United Healthcare Corp 66,713 4,056,984
------------
TOTAL HEALTHCARE
- VALUE $ 17,370,209
- COST $ 22,445,162
HOSPITAL & MEDICAL SUPPLIES-2.48%
Bard (C R) Inc 19,978 $ 931,474
Bausch & Lomb Inc 21,821 1,441,550
Baxter International Inc 112,181 7,523,138
Becton Dickinson & Co 96,061 2,701,716
Biomet Inc 43,468 1,553,981
Boston Scientific Corp+ 152,221 5,166,000
Columbia/HCA Healthcare Corp 218,746 5,386,620
Guidant Corp 116,221 6,820,720
Johnson & Johnson 516,857 52,848,628
Mallinckrodt Group Inc 27,624 885,695
Medtronic Inc 224,528 17,569,316
PE Corp-Celera Genomics Group+ 1 14
PE Corp-PE Biosystems Group 38,586 2,655,199
Tenet Healthcare Corp+ 119,943 2,091,506
------------
TOTAL HOSPITAL & MEDICAL SUPPLIES
- VALUE $107,575,557
- COST $ 71,203,180
HOUSEHOLD PRODUCTS-2.28%
Alberto-Culver Co Class B 21,777 $ 553,952
Avon Products Inc 100,873 4,425,803
Colgate-Palmolive Co 224,734 12,023,269
Gillette Co 426,333 19,877,776
Kimberly-Clark Corp 204,651 11,652,316
Procter & Gamble Co 510,391 50,656,307
------------
TOTAL HOUSEHOLD PRODUCTS
- VALUE $ 99,189,423
- COST $ 67,996,257
INSURANCE-3.28%
Aetna Inc 54,289 $ 4,220,970
AFLAC Corp 102,592 4,610,228
Allstate Corp 310,289 10,181,358
American General Corp 96,513 6,852,423
American International Group Inc 594,915 55,141,184
Aon Corp 98,712 3,294,496
Chubb Corp 63,769 3,646,790
CIGNA Corp 78,247 7,027,559
Cincinnati Financial Corp 63,724 2,525,064
Conseco Inc 123,646 2,967,504
Hartford Financial Services Group 87,372 3,969,965
Humana Inc+ 64,704 586,380
Jefferson-Pilot Corp 40,814 2,724,335
Lincoln National Corp 77,137 3,615,797
Loews Corp 42,103 3,305,085
Marsh & McLennan Companies Inc 101,285 7,374,814
MBIA Inc 38,539 1,999,211
Progressive Corp Ohio 28,125 2,868,750
Providian Financial Corp 54,779 4,252,220
SAFECO Corp 52,652 1,875,728
St Paul Co 87,313 2,799,473
Torchmark Corp 51,586 1,470,201
Unumprovident Corp 91,680 3,306,210
Wellpoint Health Networks+ 25,355 1,847,746
------------
TOTAL INSURANCE
- VALUE $142,463,491
- COST $113,506,068
LODGING-0.10%
Hilton Hotels Corp 100,112 $ 1,226,372
Marriott International 96,163 3,293,583
------------
TOTAL LODGING
- VALUE $ 4,519,955
- COST $ 3,933,445
MACHINERY-0.55%
Black & Decker Corp 33,627 $ 1,769,621
Case Corp 28,728 1,418,445
Caterpillar Inc 136,878 7,750,717
Cummins Engine Co Inc 15,900 942,075
Deere & Co 89,327 3,472,587
Ingersoll-Rand Co 63,926 4,067,292
McDermott International Inc 23,106 521,329
Milacron Inc 14,859 267,462
Pall Corp 48,399 961,930
Parker Hannifin Corp 41,881 1,832,294
Thermo Electron Corp+ 61,303 973,185
------------
TOTAL MACHINERY
- VALUE $ 23,976,937
- COST $ 20,007,879
MANUFACTURING-0.74%
Tyco International Ltd 319,239 $ 32,342,901
------------
TOTAL MANUFACTURING
- VALUE $ 32,342,901
- COST $ 18,191,587
METAL FABRICATORS-0.41%
Alcan Aluminum Ltd 87,215 $ 2,867,193
Allegheny Teledyne Inc 74,541 1,392,985
Barrick Gold Corp 147,998 2,867,461
Bethlehem Steel Corp+ 50,451 387,842
Crane Co 26,543 638,691
Engelhard Corp 48,653 970,019
Freeport McMoRan Inc 63,424 1,018,748
Nucor Corp 33,744 1,571,205
Phelps Dodge Corp 22,501 1,258,650
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Portfolio of Investments (continued) August 31, 1999 (Unaudited)
Security Name Shares Value
- -------------------------------------------------------------------------------------
<S> <C> <C>
Placer Dome Inc 120,056 $ 1,245,581
Reynolds Metals Co 24,983 1,581,736
Timken Co 24,501 430,299
USX--U.S. Steel Group 34,183 922,941
Worthington Industries Inc 36,040 540,600
------------
TOTAL METAL FABRICATORS
- VALUE $ 17,693,951
- COST $ 19,735,825
PHARMACEUTICALS-7.72%
Abbott Laboratories 584,310 $ 25,344,446
Allergan Inc 25,530 2,549,809
ALZA Corp+ 37,839 1,906,140
American Home Products Corp 503,263 20,885,414
Amgen Inc+ 196,816 16,372,631
Bristol-Myers Squibb Co 762,998 53,695,984
Lilly (Eli) & Co 422,994 31,565,927
Merck & Co Inc 906,918 60,933,553
Millipore Corp 17,225 650,244
Pfizer Inc 1,491,826 56,316,431
Pharmacia and Upjohn Inc 194,916 10,184,361
Schering-Plough Corp 565,744 29,736,919
SouthTrust Corp 63,289 2,234,893
Warner Lambert Co 326,913 21,657,986
Watson Pharmaceutical Inc+ 35,421 1,270,728
------------
TOTAL PHARMACEUTICALS
- VALUE $335,305,466
- COST $219,833,681
PUBLISHING-0.82%
American Greetings Corp Class A 26,270 $ 727,351
Comcast Corp Class A 284,668 9,287,294
Donnelley (R R) & Sons Co 50,585 1,587,104
Dow Jones & Co Inc 35,006 1,759,051
Gannett Co Inc 107,440 7,299,205
Interpublic Group Co Inc 107,953 4,277,638
Knight-Ridder Inc 30,498 1,644,986
McGraw-Hill Inc 76,195 3,938,329
Meredith Corp 20,197 700,583
New York Times Co Class A 68,064 2,658,750
Times Mirror Co Class A 27,821 1,606,663
------------
TOTAL PUBLISHING
- VALUE $ 35,486,954
- COST $ 24,459,043
RETAIL & RELATED-5.37%
AutoZone Inc+ 57,916 $ 1,379,115
Best Buy Co Inc+ 78,658 5,525,724
Circuit City Stores Inc 77,413 3,328,759
Consolidated Stores Corp+ 42,302 682,120
Costco Wholesale Corp+ 84,538 6,319,215
CVS Corp 150,314 6,266,215
Dayton-Hudson Corp 170,194 9,871,252
Dillards Inc Class A 41,422 973,417
Dollar General Corp 85,424 2,221,024
Eastman Kodak Co 123,771 9,089,433
Federated Department Stores Inc+ 80,067 3,683,082
Gap Inc 330,368 12,925,648
Harcourt General Inc 27,581 1,208,393
Home Depot Inc 569,324 34,799,930
Jostens Inc 13,796 277,645
K Mart Corp+ 190,959 2,398,922
Kohls Corp+ 62,454 4,449,848
Limited Inc 82,098 3,109,462
Longs Drug Stores Corp 15,054 473,260
Lowe's Co Inc 142,840 6,463,510
May Department Stores Co 128,623 5,024,336
Nordstrom Inc 54,895 1,554,215
Office Depot Inc+ 142,549 1,487,855
Penney (J C) Co Inc 101,249 3,670,276
Rite Aid Corp 100,031 1,850,574
Sears Roebuck & Co 146,604 5,497,650
Sherwin Williams Co 65,777 1,603,314
Staples Inc+ 178,979 3,892,793
Tandy Corp 74,595 3,524,614
TJX Companies Inc 123,913 3,577,988
Toys R Us Inc+ 96,145 1,328,003
Walgreen Co 385,178 8,931,315
WalMart Stores Inc 1,709,610 75,757,093
------------
TOTAL RETAIL & RELATED
- VALUE $233,146,000
- COST $164,590,235
SERVICES-0.20%
Block (H R) Inc 37,527 $ 2,087,439
CMS Energy Corp 43,993 1,740,473
Public Service Enterprise Group 84,643 3,470,363
Service Corp International 101,954 1,408,240
------------
TOTAL SERVICES
- VALUE $ 8,706,515
- COST $ 8,595,891
TELECOMMUNICATIONS-10.19%
ADC Telecommunications+ 43,031 $ 1,594,836
Alltel Corp 114,284 7,728,456
Ameritech Corp 422,254 26,654,784
Andrew Corp+ 32,217 563,798
AT & T Corp 1,222,528 55,013,760
Bell Atlantic Corp 596,395 36,529,194
BellSouth Corp 727,759 32,931,095
CenturyTel Inc 52,469 2,062,688
Frontier Corp 66,463 2,787,292
GTE Corp 373,425 25,626,291
Lucent Technologies Inc 1,167,863 74,816,224
MCI WorldCom Inc+ 714,889 54,152,842
Network Appliance Inc+ 26,625 1,748,930
NEXTEL Communications Class A+ 113,882 6,583,803
Nortel Networks Corp 509,968 20,940,553
Qualcom Inc+ 57,099 10,973,714
SBC Communication Inc 754,582 36,219,936
Scientific-Atlanta Inc 28,973 1,484,866
Sprint Corp 332,510 14,755,131
Sprint Corp (PCS Group)+ 169,096 10,103,486
Tellabs Inc+ 150,623 8,971,482
U.S. West Inc 193,600 10,115,600
------------
TOTAL TELECOMMUNICATIONS
- VALUE $442,358,761
- COST $286,309,612
TEXTILES-0.01%
Fruit of the Loom Inc Class A+ 28,406 $ 198,842
Springs Industries Inc Class A 7,142 268,271
------------
TOTAL TEXTILES
- VALUE $ 467,113
- COST $ 949,040
TOBACCO-0.85%
Fortune Brands Inc 64,488 $ 2,418,300
Philip Morris Co Inc 927,070 34,707,183
------------
TOTAL TOBACCO
- VALUE $ 37,125,483
- COST $ 33,941,721
13
</TABLE>
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Portfolio of Investments (continued) August 31, 1999 (Unaudited)
Security Name Shares Value
- -------------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION-0.71%
Burlington Northern Santa Fe 180,814 $ 5,243,606
Carnival Corp Class A 235,779 10,536,374
CSX Corp 83,707 3,656,950
Kansas City Southern Industries 41,791 1,935,446
Laidlaw Inc Class B 128,729 804,556
Norfolk Southern Corp 146,320 3,831,755
Union Pacific Corp 95,400 4,644,788
------------
TOTAL TRANSPORTATION
- VALUE $ 30,653,475
- COST $ 31,520,874
UTILITIES-1.98%
AES Corp+ 73,105 $ 4,436,560
Ameren Corp 52,966 2,121,950
American Electric Power Inc 74,389 2,701,251
Carolina Power & Light Co 59,226 2,154,346
Central & South West Corp 82,182 1,859,368
Cinergy Corp 61,411 1,865,359
Consolidated Edison Inc 87,500 3,850,000
Constellation Energy Group 57,860 1,714,103
Dominion Resources Inc 74,016 3,423,240
DTE Energy Co 56,010 2,208,894
Duke Power Co 140,156 8,058,970
Edison International 133,784 3,394,769
Entergy Corp 95,192 2,837,912
FirstEnergy Corp 90,491 2,584,649
Florida Progress Corp 37,858 1,774,594
FPL Group Inc 69,406 3,747,924
GPU Inc 48,607 1,658,714
New Century Energies Inc 44,293 1,600,085
Niagra Mohawk Holdings Inc+ 72,680 1,099,285
Northern States Power Co 58,795 1,385,357
Pacificorp 114,826 2,346,756
PECO Energy Co 73,998 3,006,169
PG & E Corp 147,712 4,477,520
PP & L Resources Inc 59,377 1,662,556
Reliant Energy Inc 112,934 3,126,860
Sempra Energy 92,729 2,069,016
Southern Co 268,240 7,259,245
Texas Utilities Co 108,051 4,369,312
Unicom Corp 83,768 3,235,531
--------------
TOTAL UTILITIES
- VALUE $ 86,030,295
- COST $ 77,067,104
TOTAL COMMON STOCKS
- VALUE $4,163,722,899
- COST $2,902,465,087
</TABLE>
<TABLE>
<CAPTION>
Interest Maturity Principal/
Security Name Rate Date Shares Value
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS-6.84%
CASH EQUIVALENTS-2.81%
Dreyfus Institutional Money Market
Fund++ $ 197,584 $ 197,584
Janus Institutional Money Market
Fund++ 26,500,000 26,500,000
Merrimac Institutional Money Market
Fund++ 95,300,000 95,300,000
--------------
$ 121,997,584
U.S. TREASURY BILLS-0.42%
U.S. Treasury Bills 4.39* 9/23/99 18,300,000 $ 18,249,565
--------------
REPURCHASE AGREEMENTS-3.61%
Morgan Stanley Triparty Repurchase Agreement dated 8/31/99 due 9/1/99 with a
maturity value of $156,721,455 and an effective yield of 5.14%
collateralized by a U.S. Treasury Bill with a rate of 5.28%,
a maturity of 9/15/99 and a market value of $159,834,332.
156,699,082 $ 156,699,082
--------------
TOTAL SHORT TERM INSTRUMENTS
- VALUE $ 296,946,231
- COST $ 296,946,012
TOTAL INVESTMENTS IN SECURITIES
(Cost $3,199,411,099) ** (Notes 1 and 3) 102.71% $4,460,669,130
Other Assets and Liabilities, Net (2.71)% (117,663,470)
------- --------------
TOTAL NET ASSETS 100.00% $4,343,005,660
====== ==============
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending
transactions. See Note 4.
* Yield to Maturity.
** Cost for federal income tax purposes is $3,199,411,099 and net unrealized
appreciation consists of:
Gross Unrealized Appreciation $1,130,785,037
Gross Unrealized Depreciation (69,527,006)
--------------
NET UNREALIZED APPRECIATION $1,261,258,031
==============
The accompanying notes are an integral part of these financial statements.
</TABLE>
14
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
August 31, 1999 (Unaudited)
<S> <C>
ASSETS
Investments:
In securities, at market value (see cost below) (Note 1) $4,460,669,130
Receivables:
Dividends and interest 5,554,928
--------------
Total Assets 4,466,224,058
LIABILITIES
Payables:
Variation margin on futures contracts 827,686
Collateral for securities loaned (Note 4) 121,997,584
Due to Custodian 10
Due to BGI (Note 2) 393,118
--------------
Total Liabilities 123,218,398
--------------
TOTAL NET ASSETS $4,343,005,660
==============
INVESTMENTS AT COST $3,199,411,099
==============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
15
</TABLE>
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Six Months Ended August 31, 1999 (Unaudited)
<S> <C>
INVESTMENT INCOME
Dividends+ $ 26,703,325
Interest++ 5,842,224
------------
Total Investment Income 32,545,549
EXPENSES (NOTE 2)
Advisory fees 1,072,974
------------
Total Expenses 1,072,974
------------
NET INVESTMENT INCOME (LOSS) 31,472,575
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments 106,419,073
Net realized gain (loss) on sale of futures contracts 18,907,189
Net change in unrealized appreciation (depreciation) of investments 118,913,157
Net change in unrealized appreciation (depreciation) of futures contracts (5,072,375)
------------
Net Gain (Loss) on Investments 239,167,044
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $270,639,619
============
+ NET OF FOREIGN WITHHOLDING TAX OF: $ 91,292
++ INTEREST INCOME INCLUDES SECURITIES LENDING INCOME OF: $ 91,346
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
16
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the
Six Months Ended For the
August 31, 1999 Year Ended
(Unaudited) February 28, 1999
----------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income (loss) $ 31,472,575 $ 43,674,276
Net realized gain (loss) on sales of investments 106,419,073 143,991,139
Net realized gain (loss) on sales of future contracts 18,907,189 37,982,701
Net change in unrealized appreciation (depreciation) of investments 118,913,157 265,023,900
Net change in unrealized appreciation (depreciation) of future contracts (5,072,375) (14,225,550)
---------------- --------------
Net increase (decrease) in net assets resulting from operations 270,639,619 476,446,466
Net increase (decrease) in net assets resulting from beneficial
interest transactions 385,273,263 856,583,098
---------------- --------------
Increase (decrease) in Net Assets 655,912,882 1,333,029,564
NET ASSETS:
Beginning net assets 3,687,092,778 2,354,063,214
---------------- --------------
Ending Net Assets $ 4,343,005,660 $3,687,092,778
================ ==============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
17
</TABLE>
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
- -------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS
August 31, 1999 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
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 20, 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 currently issues,
the following separate portfolios (the "Master Portfolios"), the Asset
Allocation, Bond Index, LifePath 2000, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040, Money Market, S&P 500 Index, Extended Index, U.S. Equity
Index and U.S. Treasury Allocation Master Portfolios. These financial
statements present the operations of only one of the Master Portfolios, the
S&P 500 Index Master Portfolio.
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.
SECURITY VALUATION
The equity securities of each Master Portfolio 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 are generally traded in the over-the-counter market and are valued
at a price deemed best to reflect fair value as quoted by dealers who make
markets in those securities or by an independent pricing source. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. 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 under
provisions of the Internal Revenue Code of 1986, as amended (the "Code").
FEDERAL INCOME TAXES
The Master Portfolio intends to qualify as a partnership for federal
income tax purposes. The 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 the
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 the Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing
in the 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 Master Portfolio.
FUTURES CONTRACTS
The S&P 500 Index Master Portfolio 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 S&P
500 Index Master Portfolio is required to pledge to the broker an amount of
cash, U.S. Government securities or other high-quality debt securities equal
to the minimum "initial margin" requirements of the exchange. Pursuant to the
contract, the Master Portfolio agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in the value of the contract.
Such receipts or payments are known as "variation margin" and are recorded by
the Master Portfolio as unrealized gains or losses. When the contract is
closed, the Master Portfolio records a 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 Portfolio is 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 futures contract amount. Risks of entering into futures
contracts include the possibility that there may be an illiquid market and
that a
18
<PAGE>
change in the value of the contracts may not correlate with changes in the
value of the underlying securities. As of August 31, 1999, the S&P 500 Index
Master Portfolio had the following open long futures contracts outstanding.
S&P 500 Index Master Portfolio
<TABLE>
<CAPTION>
EXPIRATION NOTIONAL NET UNREALIZED
NUMBER OF CONTRACTS TYPE DATE CONTRACT VALUE DEPRECIATION
<S> <C> <C> <C> <C>
534 S&P 500 Index 09/17/99 $176,193,300 $(8,048,950)
</TABLE>
The S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury
Bills for initial margin requirements with a par value of $9,828,900.
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 the Master Portfolio's Portfolio of Investments. The adviser to the Master
Portfolio may pool the Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. The 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 advisor'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
August 31, 1999, by the Master Portfolio are collateralized by U.S.
Government Securities.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with the Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and
policy direction in connection with the management of the Master Portfolio's
assets. BGFA is entitled to receive 0.05% of the average daily net assets of
the S&P 500 Index Master Portfolio as compensation for advisory services.
BFGA is an indirect subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to the
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 Barclays
Global Investors, N.A. ("BGI") for its services as SubAdministrator of the
Master Portfolio.
Stephens Inc. ("Stephens"), is the co-administrator, sponsor and
placement agent for the Master Portfolio.
Certain officers and directors of MIP are also officers of Stephens. As of
August 31, 1999, these officers of Stephens collectively owned less than 1%
of the Master Portfolios' outstanding beneficial interests.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities,
for each Master Portfolio for the six months ended August 31, 1999, were as
follows:
AGGREGATE PURCHASES S&P 500 INDEX
AND SALES OF: MASTER PORTFOLIO
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $0
Sales proceeds 0
OTHER SECURITIES:
Purchases at cost $651,820,860
Sales proceeds 174,985,256
19
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (Continued)
August 31, 1999 (Unaudited)
4. PORTFOLIO SECURITIES LOANED
As of August 31, 1999, the S&P 500 Index Master Portfolio had loaned
securities which were collateralized by cash. The Master Portfolio receives
transaction fees for providing services in connection with the securities
lending program. The risk to the Portfolio of securities lending are that the
borrower may not provide additional collateral when required or return the
securities when due. The value of the securities on loan and the value of the
related collateral were as follows:
SECURITIES COLLATERAL
S&P 500 Index Master Portfolio $121,832,694 $121,997,584
5. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding short-term securities, for the S&P
500 Index Master Portfolio are as follows:
FOR THE
FOR THE SIX PERIOD FROM
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE MAY 26, 1994
AUGUST 31, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT
1999 FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, OF OPERATIONS) TO
(UNAUDITED) 1999 1998 1997 1996 FEBRUARY 28, 1995
<S> <C> <C> <C> <C> <C> <C>
S&P 500 Index Master Portfolio 4% 11% 6% 4% 2% 5%
</TABLE>
20
<PAGE>
DIRECTORS
Richard S. Strong
Willie D. Davis
Stanley Kritzik
Marvin E. Nevins
William F. Vogt
OFFICERS
Richard S. Strong, CHAIRMAN OF THE BOARD
Mary F. Hoppa, VICE PRESIDENT
John S. Weitzer, VICE PRESIDENT
Stephen J. Shenkenberg, VICE PRESIDENT AND SECRETARY
John W. Widmer, TREASURER
INVESTMENT ADVISOR
Barclays Global Fund Advisors
45 Fremont Street, San Francisco, California 94105
CUSTODIAN
Investors Bank & Trust Company
89 South Street, Boston, Massachusetts 02111
AUDITOR
KPMG Peat Marwick LLP
Three Embarcadero Center, San Francisco, California 94111
LEGAL COUNSEL
Godfrey & Kahn, S.C.
780 North Water Street, Milwaukee, Wisconsin 53202
<PAGE>
For a prospectus containing more complete
information, including management fees and expenses, please
call 1-800-368-1030. Please read it carefully before investing
or sending money. This report does not constitute an offer
for the sale of securities. Strong Funds are
offered for sale by prospectus only.
[GRAPHIC]
To order a free prospectus kit,
CALL 1-800-368-1030
To learn more about our funds,
discuss an existing account,
or conduct a transaction,
CALL 1-800-368-3863
---------------
If you are a
Financial Professional,
CALL 1-800-368-1683
[GRAPHIC]
Strong On-line
www.strongfunds.com
[LOGO]
STRONG FUNDS
P.O. BOX 2936 - MILWAUKEE, WISCONSIN 53201
STRONG INVESTMENTS, INC. 12902I99
SINDEX
