<PAGE>
[PHOTO OF WOMAN WITH 3 KIDS]
[LOGO]
ANNUAL REPORT
THE STRONG
INDEX 500
FUND
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ANNUAL REPORT - DECEMBER 31, 1999
<PAGE>
LETTER FROM THE CHAIRMAN
Dear Strong Investor,
As an apprentice investment analyst in the 1960s, I observed and experienced
powerful economic and stock market growth. The explosive stock market was very
profitable for investors, and I always planned for the time when I'd be able to
position our investors to take advantage of that kind of growth again. The
dramatic market move of the late 1990s reminded me of those days in the 1960s
and provided an excellent opportunity.
In our strategic planning effort, what Strong saw coming in the 1990s was a
powerful wave of innovation and technological change that was going to affect
the way we all lived our daily lives. We knew the successful companies of the
future would be those that moved quickly to embrace this new way of thinking. It
was Strong's responsibility to ensure that our shareholders benefited from this
change and capitalized on the opportunity.
How did Strong position our investors to take advantage of the coming growth?
First, we expanded our fund lineup to offer quality choices in every asset
class. We then put technology to work in a number of ways--all intended to
provide our customers and portfolio managers with state-of-the-art tools for
better decision making, and to enhance the customer experience in every
interaction with Strong. And as we made these improvements, we always stayed
true to our commitment to developing a one-on-one relationship with each of our
investors.
When it comes right down to it, it's our job to make you money. And many of you
benefited in 1999, the most exceptional performance year in Strong's history.
Many major financial publications have also recently recognized Strong.
What can you expect from Strong in the future? We'll continue working to improve
our investment management expertise to try to deliver market-beating results
year after year. And we'll continue to innovate and develop practical technology
solutions aimed at helping you make better investment decisions. And you can be
assured that we will continue to work to deliver the "across-the-kitchen-table"
customer experience you've come to expect from STRONG.
/s/ Dick
<PAGE>
THE STRONG
INDEX 500 FUND
--------------
ANNUAL REPORT - DECEMBER 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
Statements of Operations .............................................5
Statements of Changes in Net Assets ..................................6
Notes to Financial Statements ........................................7
FINANCIAL HIGHLIGHTS ......................................................8
INDEPENDENT AUDITORS' REPORT ..............................................9
FINANCIAL INFORMATION--MASTER INVESTMENT PORTFOLIO--
S&P 500 INDEX MASTER PORTFOLIO
Portfolio of Investments ............................................10
Statement of Assets & Liabilities ...................................17
Statements of Operations ............................................18
Statements of Changes in Net Assets .................................19
Notes to the Financial Statements ...................................20
INDEPENDENT AUDITORS' REPORT .............................................23
<PAGE>
THE STRONG INDEX 500 FUND
-------------------------
MARKET
PERSPECTIVES
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The year witnessed continued economic growth. Signs of a healthy economy that
prevailed early in the year turned intermittently to indications of an
overheated one throughout the year. As a result, the Federal Reserve Board
increased short-term interest rates three times in 1999--in June, August, and
November--effectively reversing the three interest rate cuts implemented in
1998.
The S&P 500 Index's rise of 21.04% for the 1999 calendar year marked its fifth
consecutive year of returns exceeding 20%, unprecedented in the history of the
index. The technology stock sector of the index returned 75.13% for the year.
For example, Qualcomm Inc., a manufacturer of communications technologies and
products, returned 94.50% for the month of December and 2,617.9% for the year.
Nortel Networks, a leading global supplier of data and telephone network
solutions and services, also contributed to the index's strong performance,
gaining 304.0% for the year. Although value and growth stocks were alternately
in and out of favor during the year, growth strongly outperformed value for the
year, gaining 28.25% compared to 12.72% for value stocks.
As we entered 1999, U.S. equity markets rallied to end the first quarter with
healthy gains overall. A healthy U.S. economy and an appetite for technology
stocks drove the market, with an emphasis on rising earnings that left value
stocks largely ignored in favor of growth stocks.
During the months of April and May, concern surfaced about an overheated
economy. Although unemployment figures remained benign, consumer and wholesale
prices had
- --------------------------------------------------------------------------------
THE S&P 500 INDEX'S RISE OF 21.04% FOR THE 1999 CALENDAR YEAR MARKED ITS FIFTH
CONSECUTIVE YEAR OF RETURNS EXCEEDING 20%.
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[SIDENOTE]
FUND
HIGHLIGHTS
- - For the 10 months ended December 31, 1999, the Strong Index 500 Fund posted a
return of 19.52% versus a return of 19.91% for the S&P 500 Stock
Index-Registered Trademark-.(1)
- - The Fund's average annual return since inception through December 31, 1999,
was 26.96% versus 27.54% for the S&P 500 Stock Index.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL
TOTAL RETURNS(2)
AS OF 12-31-99
1-year 20.37%
Since Inception 26.96%
(on 5-1-97)
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[SIDENOTE]
FIVE LARGEST
STOCK HOLDINGS
AS OF 12-31-99
SECURITY % OF NET ASSETS
- --------------------------------------------------------------------------------
Microsoft Corporation 4.7%
General Electric Company 4.0%
Cisco Systems, Inc. 2.7%
Wal-Mart Stores, Inc. 2.4%
Exxon Mobil Corporation 2.2%
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.
<PAGE>
begun to heat up. A recovery in European countries compounded worries of
potential inflation and corresponding Federal Reserve intervention. Markets
reflected this apprehension, as investors shunned growth stocks for value:
within the S&P 500, value stocks returned 10.80% versus growth stocks' return of
3.83% for the quarter ending June 30. The S&P 500 Index returned 7.05% overall,
closing the quarter at a new high.
After reaching new highs on July 16, U.S. equities tumbled through the end of
the third quarter and into the second week of October, giving back some
of the gains they had accumulated for the year. Tightening labor markets and
strong domestic demand figures released in August contributed to the decline.
For the quarter ended September 30, the S&P 500 Index lost 6.24%.
However, the tide soon changed and markets rebounded sharply during the second
half of October. The S&P 500 Index returned 6.33% for October, one of its best
monthly returns in a decade. The surge in equities continued through year-end,
and the S&P 500 Index gained 14.88% for the fourth quarter.
GROWTH OF AN ASSUMED $10,000 INVESTMENT
FROM 5-1-97 TO 12-31-99
[GRAPH]
<TABLE>
<CAPTION>
Lipper S&P
THE STRONG S&P 500 500 Index
INDEX 500 Stock Objective Funds
FUND Index-Registered Trademark-(3) Index(3)
---------- ------------------------------ ----------------
<S> <C> <C> <C>
04/97 $10,000.00 $10,000.00 $10,000.00
06/97 $11,110.20 $11,121.60 $11,117.50
12/97 $12,262.20 $12,298.00 $12,281.70
06/98 $14,392.30 $14,476.10 $14,433.50
12/98 $15,708.70 $15,812.30 $15,762.30
06/99 $17,589.70 $17,770.40 $17,676.80
12/99 $18,908.00 $19,140.00 $19,011.50
</TABLE>
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.
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[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 PROVIDES INVESTORS WITH WIDE DIVERSIFICATION AND SERVES AS A
COMPLEMENT TO ACTIVELY MANAGED FUNDS.
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[SIDENOTE]
MARKET
HIGHLIGHTS
- - After reaching new highs on July 16, U.S. equities tumbled through the end
of the third quarter and into the second week of October, giving back some
of the gains they had accumulated for the year.
- - The S&P 500 Index Returned 6.33% for October, One of Its Best Monthly
Returns in a Decade.
- - The S&P 500 Index's rise of 21.04% for the 1999 calendar year marked its
fifth consecutive year of returns exceeding 20%, unprecedented in the
history of the index.
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(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
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STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investment in S&P 500 Index Master Portfolio, at Value (Note 1) $185,680,142
Receivable for Fund Shares Sold 433,727
Due from SCMI 87,336
Other Assets 11,108
------------
Total Assets 186,212,313
LIABILITIES:
Payable for Fund Shares Redeemed 255,891
Due to SCMI 25,232
Accrued Operating Expenses and Other Liabilities 72,030
------------
Total Liabilities 353,153
------------
NET ASSETS $185,859,160
============
NET ASSETS CONSIST OF:
Capital Stock (par value and paid-in capital) $144,982,802
Undistributed Net Investment Income 209,461
Undistributed Net Realized Gain 726,814
Net Unrealized Appreciation on Investments 39,940,083
------------
Net Assets $185,859,160
============
Capital Shares Outstanding (Unlimited Number Authorized) 10,287,801
NET ASSET VALUE PER SHARE $18.07
======
</TABLE>
4
See Notes to Financial Statements.
<PAGE>
STRONG INDEX 500 FUND
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STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
Period Ended Year Ended
Dec. 31, 1999 Feb. 28, 1999
------------- -------------
(Note 1)
<S> <C> <C>
NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO:
Dividend Income $ 1,701,485 $ 1,014,624
Interest Income 375,540 226,984
Expenses (69,891) (37,485)
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Net Investment Income Allocated from Master Portfolio 2,007,134 1,204,123
EXPENSES:
Shareholder Servicing Fees (Note 3) 348,348 189,339
Transfer Agency Fees 372,133 180,571
Reports to Shareholders 87,437 52,283
Federal and State Registration Fees 36,181 47,548
Other 51,634 49,189
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Total Expenses Before Waivers 895,733 518,930
Voluntary Expense Waivers by SCMI (339,046) (215,217)
------------- -------------
Expenses, Net 556,687 303,713
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NET INVESTMENT INCOME 1,450,447 900,410
REALIZED AND UNREALIZED GAIN ALLOCATED FROM MASTER PORTFOLIO:
Net Realized Gain on Investments 3,311,136 1,173,696
Net Change in Unrealized Appreciation/Depreciation on Investments 25,053,893 11,546,437
------------- -------------
NET GAIN ALLOCATED FROM MASTER PORTFOLIO 28,365,029 12,720,133
------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 29,815,476 $ 13,620,543
============= =============
</TABLE>
5
See Notes to Financial Statements.
<PAGE>
STRONG INDEX 500 FUND
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period Ended Year Ended Period Ended
Dec. 31, 1999 Feb. 28, 1999 Feb. 28, 1998
------------- ------------- -------------
(Note 1) (Note 1)
<S> <C> <C> <C>
OPERATIONS:
Net Investment Income $ 1,450,447 $ 900,410 $ 164,843
Net Realized Gain 3,311,136 1,173,696 88,899
Net Change in Unrealized Appreciation/Depreciation 25,053,893 11,546,437 3,339,753
------------ ------------ -----------
Net Increase in Net Assets Resulting from Operations 29,815,476 13,620,543 3,593,495
DISTRIBUTIONS:
From Net Investment Income (1,457,567) (734,711) (114,053)
From Net Realized Gains (3,812,545) (7,666) (13,104)
------------ ------------ -----------
Total Distributions (5,270,112) (742,377) (127,157)
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST:
Proceeds from Shares Sold 62,095,473 120,131,919 32,320,505
Proceeds from Reinvestment of Distributions 5,160,761 722,710 123,613
Payment for Shares Redeemed (45,065,070) (26,706,110) (3,814,509)
------------ ------------ -----------
Net Increase in Net Assets from Beneficial Interest Transactions 22,191,164 94,148,519 28,629,609
------------ ------------ -----------
TOTAL INCREASE IN NET ASSETS 46,736,528 107,026,685 32,095,947
NET ASSETS:
Beginning of Year 139,122,632 32,095,947 --
------------ ------------ -----------
End of Year $185,859,160 $139,122,632 $32,095,947
============ ============ ===========
TRANSACTIONS IN SHARES OF THE FUND:
Sold 3,712,450 8,336,831 2,745,317
Issued in Reinvestment of Distributions 286,868 47,136 10,372
Redeemed (2,652,661) (1,880,932) (317,580)
--------- --------- ---------
Net Increase in Shares of the Fund 1,346,657 6,503,035 2,438,109
========= ========= =========
</TABLE>
6
See Notes to Financial Statements.
<PAGE>
STRONG INDEX 500 FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
December 31, 1999
1. ORGANIZATION
The Strong Index 500 Fund (the "Fund") commenced operations on May 1, 1997
and is a diversified series of the 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.
During 1999, the Board of Directors of the Strong Index 500 Fund
approved changing the Fund's fiscal year-end from February 28th to
December 31st.
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 3.85% in the net assets of
the Master Portfolio at December 31, 1999. Valuation of securities
held 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.
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 ten month period ended December 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 payable to SCMI at December 31, 1999,
shareholder servicing and other expenses paid to SCMI, and unaffiliated
directors' fees for the ten months then ended were $20,754, $350,039, and
$1,500 respectively.
4. INCOME TAX INFORMATION (UNAUDITED)
During the year ended December 31, 1999, the Fund paid a capital gain
distribution of $3,684,858 (unaudited) (taxable as long-term capital gains
at 20%) to shareholders.
For corporate shareholders in the Fund, the percentage of dividend income
distributed for the year ended December 31, 1999 which is designated as
qualifying for the dividends-received deduction is 54.79%.
7
<PAGE>
STRONG INDEX 500 FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Period Ended
----------------------------------
Dec. 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 0.15 0.13 0.11
Net Realized and Unrealized Gains on Investments 2.89 2.39 3.15
- --------------------------------------------------------------------------------------------------
Total from Investment Operations 3.04 2.52 3.26
Less Distributions:
From Net Investment Income (0.15) (0.12) (0.09)
From Net Realized Gains (0.38) (0.00)(d) (0.01)
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Total Distributions (0.53) (0.12) (0.10)
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Net Asset Value, End of Period $18.07 $15.56 $13.16
==================================================================================================
RATIOS AND SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------
Total Return +19.5% +19.2% +32.7%
Net Assets, End of Period (In Thousands) $185,859 $139,123 $32,096
Ratio of Expenses to Average Net Assets Without
Waivers and Absorptions 0.69%* 0.73% 1.53%*
Ratio of Expenses to Average Net Assets 0.45%* 0.45% 0.44%*
Ratio of Net Investment Income to Average Net Assets 1.04%* 1.18% 1.43%*
Portfolio Turnover Rate (e) 7% 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) In 1999, the Fund changed its fiscal year-end from February to December
(Note 1).
(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.
8
See Notes to Financial Statements.
<PAGE>
STRONG INDEX 500 FUND
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
To the Shareholders and Board of Directors of
Strong Equity Funds, Inc.:
We have audited the accompanying statement of assets and liabilities of the
Strong Index 500 Fund (one series of Strong Equity Funds, Inc.) as of December
31, 1999, the related statements of operations for the ten-month period then
ended and the year ended February 28, 1999 and the statements of changes in net
assets and financial highlights for the ten-month period then ended, the year
ended February 28, 1999, and the period from May 1, 1997 (inception) to February
28, 1998. 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. 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 the
Strong Index 500 Fund as of December 31, 1999, the results of its operations,
changes in its net assets and its financial highlights for the periods indicated
above, in conformity with generally accepted accounting principles.
/s/ KPMG LLP
San Francisco, California
February 11, 2000
9
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments December 31,1999
<TABLE>
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS-96.26%
ADVERTISING 0.27%
Interpublic Group Co Inc 107,383 $ 6,194,657
Omnicom Group 67,509 6,750,900
--------------
TOTAL ADVERTISING
- VALUE $ 12,945,557
- COST $ 6,043,792
AEROSPACE / DEFENSE-1.18%
Boeing Co 356,357 $ 14,811,088
General Dynamics Corp 71,266 3,759,281
Goodrich (B F) Co 34,653 952,957
Honeywell International Inc 299,106 17,254,677
Lockheed Martin Corp 151,413 3,312,159
Northrop Grumman Corp 26,579 1,436,927
Raytheon Co Class B 129,063 3,428,236
United Technologies Corp 182,808 11,882,520
--------------
TOTAL AEROSPACE / DEFENSE
- VALUE $ 56,837,845
- COST $ 50,908,685
AIRLINES-0.22%
AMR Corp+ 57,567 $ 3,856,989
Delta Air Lines Inc 53,167 2,648,381
Southwest Airlines Co 193,037 3,124,786
USAirways Group Inc+ 28,465 912,659
--------------
TOTAL AIRLINES
- VALUE $ 10,542,815
- COST $ 9,589,571
APPAREL-0.17%
Liz Claiborne Inc 24,271 $ 913,196
Nike Inc Class B 107,232 5,314,686
Reebok International Ltd+ 22,146 181,320
Russell Corp 13,707 229,592
VF Corp 46,290 1,388,700
--------------
TOTAL APPAREL
- VALUE $ 8,027,494
- COST $ 8,026,371
AUTO MANUFACTURERS-0.93%
Ford Motor Co 458,260 $ 24,488,269
General Motors Corp Class A 243,639 17,709,510
Navistar International Corp+ 25,666 1,215,927
PACCAR Inc 30,273 1,341,472
--------------
TOTAL AUTO MANUFACTURERS
- VALUE $ 44,755,178
- COST $ 31,543,211
AUTO PARTS & EQUIPMENT-0.20%
Cooper Tire & Rubber Co 29,617 $ 460,915
Dana Corp 64,030 1,916,898
Delphi Automotive Systems Corp 216,361 3,407,686
Goodyear Tire & Rubber Co 60,125 1,694,773
TRW Inc 46,477 2,413,899
--------------
TOTAL AUTO PARTS & EQUIPMENT
- VALUE $ 9,894,171
- COST $ 11,608,581
BANKS-4.96%
Amsouth Bancorp 133,902 $ 2,585,982
BankAmerica Corp 647,205 32,481,601
Bank of New York Co Inc 279,156 11,166,240
Bank One Corp 437,601 14,030,582
BB&T Corp 120,484 3,298,250
Chase Manhattan Corp 313,185 24,330,560
Comerica Inc 59,938 2,798,355
Fifth Third Bancorp 109,658 8,046,156
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
First Union Corp 362,892 $ 11,907,394
Firstar Corp 374,181 7,904,574
FleetBoston Financial Corp 349,568 12,169,336
Golden West Financial 63,654 2,132,409
Huntington Bancshares Inc 88,677 2,117,163
KeyCorp 171,409 3,792,424
Mellon Financial Corp 195,583 6,662,046
Morgan (J P) & Co Inc 66,489 8,419,170
National City Corp 235,464 5,577,554
Northern Trust Corp 85,146 4,512,738
Old Kent Financial Corp 34,400 1,216,900
PNC Bank Corp 114,295 5,086,127
Regions Financial Corp 85,833 2,156,554
Republic New York Corp 40,184 2,893,248
SouthTrust Corp 63,289 2,393,115
State Street Boston Corp 61,542 4,496,412
Summit Bancorp 66,056 2,022,965
SunTrust Banks Inc 122,242 8,411,778
Synovus Financial Corp 103,581 2,058,672
U.S. Bancorp 278,309 6,627,233
Union Planters Corp 53,845 2,123,512
Wachovia Corp 77,040 5,238,720
Washington Mutual Inc 220,472 5,732,272
Wells Fargo & Co 623,474 25,211,730
--------------
TOTAL BANKS
- VALUE $ 239,601,772
- COST $ 226,819,971
BEVERAGES-1.91%
Anheuser-Busch Inc 177,324 $ 12,567,839
Brown-Forman Corp Class B 26,460 1,514,835
Coca-Cola Co 934,391 54,428,276
Coca-Cola Enterprises Co 162,898 3,278,322
Coors (Adolph) Co Class B 14,382 755,055
Diageo PLC ADR (UK) 17 544
Pepsico Inc 553,554 19,512,779
--------------
TOTAL BEVERAGES
- VALUE $ 92,057,650
- COST $ 80,351,664
BIOTECHNOLOGY-0.66%
Amgen Inc+ 386,562 $ 23,217,880
Monsanto Co 240,552 8,569,739
--------------
TOTAL BIOTECHNOLOGY
- VALUE $ 31,787,619
- COST $ 15,323,757
BUILDING MATERIALS-0.13%
Armstrong World Industries Inc 15,543 $ 518,748
Masco Corp 156,883 3,980,906
Owens Corning Fiberglas Corp 20,986 405,292
Vulcan Materials Co 32,120 1,282,793
--------------
TOTAL BUILDING MATERIALS
- VALUE $ 6,187,739
- COST $ 6,873,934
CHEMICALS-1.20%
Air Products & Chemicals Inc 87,959 $ 2,952,124
Ashland Inc 28,437 936,644
Dow Chemical Co 83,558 11,165,438
Du Pont (E I) de Nemours 394,057 25,958,505
Eastman Chemical Co 30,282 1,444,073
Engelhard Corp 48,653 918,325
Grace (W R) Co+ 27,178 377,095
Great Lakes Chemical Corp 22,691 866,513
Hercules Inc 38,616 1,076,421
Praxair Inc 60,801 3,059,050
Rohm & Haas Co 81,296 3,307,731
10
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments (continued) December 31,1999
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Sherwin Williams Co 65,777 $ 1,381,317
Sigma-Aldrich Corp 39,041 1,173,670
Union Carbide Corp 51,017 3,405,385
--------------
TOTAL CHEMICALS
- VALUE $ 58,022,291
- COST $ 47,443,341
COMMERCIAL SERVICES-0.49%
Block (H R) Inc 37,527 $ 1,641,806
Cendant Corp+ 274,479 7,290,848
Deluxe Corp 30,074 825,155
Donnelley (R R) & Sons Co 49,915 1,238,516
Dun & Bradstreet Corp 62,396 1,840,682
Ecolab Inc 50,020 1,957,033
Equifax Inc 55,846 1,315,871
McKesson HBOC Inc 105,816 2,387,474
Paychex Inc 94,001 3,760,040
Quintiles Transnational Corp+ 25,800 482,137
Service Corp International 101,954 707,306
--------------
TOTAL COMMERCIAL SERVICES
- VALUE $ 23,446,868
- COST $ 28,439,975
COMPUTERS-9.58%
3Com Corp+ 133,118 $ 6,256,546
Adaptec Inc+ 31,300 1,561,087
Apple Computer Inc+ 60,296 6,199,183
Cabletron Systems Inc+ 62,807 1,632,982
Ceridian Corp+ 55,853 1,204,330
Cisco Systems Inc+ 1,229,986 131,762,250
Compaq Computer Corp 644,412 17,439,400
Computer Sciences Corp+ 61,031 5,775,058
Dell Computer Corp+ 961,746 49,049,046
Electronic Data Systems Corp 179,898 12,041,922
EMC Corp+ 383,629 41,911,468
Gateway Inc+ 119,048 8,578,897
Hewlett-Packard Co 383,434 43,687,511
International Business Machine Corp 681,649 73,618,092
Lexmark International Group Class A+ 44,975 4,070,237
Network Appliance Inc+ 53,250 4,423,078
Seagate Technology Inc+ 79,776 3,714,570
Silicon Graphics Inc+ 73,128 717,569
Sun Microsystems Inc+ 585,786 45,361,803
Unisys Corp+ 108,675 3,470,808
--------------
TOTAL COMPUTERS
- VALUE $ 462,475,837
- COST $ 176,115,888
COSMETICS / PERSONAL CARE-2.16%
Alberto-Culver Co Class B 21,777 $ 562,119
Avon Products Inc 96,143 3,172,719
Colgate-Palmolive Co 221,134 14,373,710
Gillette Co 408,333 16,818,215
International Flavor & Fragrances Inc 40,998 1,547,674
Kimberly-Clark Corp 202,091 13,186,438
Procter & Gamble Co 497,231 54,477,871
--------------
TOTAL COSMETICS / PERSONAL CARE
- VALUE $ 104,138,746
- COST $ 68,964,678
DISTRIBUTION / WHOLESALE-0.19%
Costco Wholesale Corp+ 83,938 $ 7,659,342
Genuine Parts Co 69,138 1,715,489
--------------
TOTAL DISTRIBUTION / WHOLESALE
- VALUE $ 9,374,831
- COST $ 5,792,322
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
DIVERSIFIED FINANCIAL SERVICES-4.91%
American Express Corp 169,847 $ 28,237,064
Associates First Capital Corp 276,610 7,589,487
Bear Stearns Co Inc 47,199 2,017,757
Capital One Financial Corp 75,490 3,637,674
Citigroup Inc 1,275,154 70,850,744
Countrywide Credit Industries Inc 43,374 1,095,193
Federal Home Loan Mortgage Corporation 263,711 12,410,899
Federal National Mortgage Association 388,233 24,240,298
Franklin Resources Inc 96,631 3,098,231
Household International Inc 181,216 6,750,296
Lehman Brothers Holdings 45,325 3,838,461
MBNA Corp 304,775 8,305,119
Merrill Lynch & Co Inc 140,237 11,709,789
Morgan Stanley Dean Witter 211,367 30,172,639
Paine Webber Group Inc 55,154 2,140,665
Price (T Rowe) & Associates 35,000 1,292,812
Providian Financial Corp 54,109 4,927,301
Schwab (Charles) Corp 310,318 11,908,453
SLM Holding Corp 61,684 2,606,149
--------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
- VALUE $ 236,829,031
- COST $ 143,235,527
ELECTRIC-1.56%
AES Corp+ 73,105 $ 5,464,599
Ameren Corp 52,966 1,734,636
American Electric Power Inc 74,389 2,389,747
Carolina Power & Light Co 59,226 1,802,691
Central & South West Corp 82,182 1,643,640
Cinergy Corp 61,411 1,481,540
CMS Energy Corp 43,993 1,372,032
Consolidated Edison Inc 84,720 2,922,840
Constellation Energy Group 57,860 1,677,940
Dominion Resources Inc 73,506 2,885,110
DTE Energy Co 56,010 1,757,314
Duke Energy Co 138,806 6,957,651
Edison International 132,874 3,479,638
Entergy Corp 94,882 2,443,211
FirstEnergy Corp 90,161 2,045,528
Florida Progress Corp 37,858 1,601,867
FPL Group Inc 68,706 2,941,476
GPU Inc 48,607 1,455,172
New Century Energies Inc 44,293 1,345,400
Niagra Mohawk Holdings Inc+ 72,680 1,012,978
Northern States Power Co 58,795 1,146,502
PECO Energy Co 71,748 2,493,243
PG&E Corp 147,012 3,013,746
Pinnacle West Capital Corp 23,500 718,219
PP & L Resources Inc 59,377 1,358,249
Public Service Enterprise Group 84,063 2,926,443
Reliant Energy Inc 112,934 2,583,365
Southern Co 260,050 6,111,175
Texas Utilities Co 105,661 3,757,569
Unicom Corp 83,448 2,795,508
--------------
TOTAL ELECTRIC
- VALUE $ 75,319,029
- COST $ 77,602,095
ELECTRICAL COMPONENTS & EQUIPMENT-0.25%
Emerson Electric Co 165,032 $ 9,468,711
Molex Inc 50,600 2,868,387
--------------
TOTAL ELECTRICAL COMPONENTS & EQUIPMENT
- VALUE $ 12,337,098
- COST $ 10,607,048
</TABLE>
11
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments (continued) December 31,1999
<TABLE>
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS-0.66%
Analog Devices Inc+ 59,990 $ 5,579,070
Johnson Controls Inc 32,858 1,868,799
Millipore Corp 17,225 665,316
Parker Hannifin Corp 41,831 2,146,453
PE Corp-PE Biosystems Group 38,586 4,642,378
PerkinElmer Inc 17,648 735,701
Solectron Corp+ 106,352 10,116,734
Tektronix Inc 18,410 715,689
Teradyne Inc+ 56,740 3,744,840
Thermo Electron Corp+ 61,303 919,545
Thomas & Betts Corp 21,793 694,652
--------------
TOTAL ELECTRONICS
- VALUE $ 31,829,177
- COST $ 20,085,745
ENGINEERING & CONSTRUCTION-0.03%
Fluor Corp 29,408 $ 1,349,107
Foster Wheeler Corp 15,952 141,574
--------------
TOTAL ENGINEERING & CONSTRUCTION
- VALUE $ 1,490,681
- COST $ 1,940,013
ENTERTAINMENT-0.05%
Harrah's Entertainment Inc+ 48,115 $ 1,272,040
Mirage Resorts Inc+ 73,225 1,121,258
--------------
TOTAL ENTERTAINMENT
- VALUE $ 2,393,298
- COST $ 2,764,549
ENVIRONMENTAL CONTROL-0.09%
Allied Waste Industries Inc+ 50,915 $ 448,688
Waste Management Inc 234,418 4,029,059
--------------
TOTAL ENVIRONMENTAL CONTROL
- VALUE $ 4,477,747
- COST $ 12,258,279
FOOD-1.92%
Albertson's Inc 160,326 $ 5,170,514
Archer-Daniels-Midland Co 236,583 2,883,355
Bestfoods 106,212 5,582,768
Campbell Soup Co 165,111 6,387,732
ConAgra Inc 186,381 4,205,221
General Mills Inc 116,686 4,171,524
Great Atlantic & Pacific Tea Co 14,838 413,609
Heinz (H J) Co 136,452 5,432,495
Hershey Foods Corp 53,535 2,542,913
Kellogg Co 154,449 4,758,960
Kroger Co+ 316,160 5,967,520
Nabisco Group Holdings Corp 125,413 1,332,513
Quaker Oats Co 51,208 3,360,525
Ralston-Purina Group 123,746 3,449,420
Safeway Inc+ 190,959 6,790,979
Sara Lee Corp 343,377 7,575,755
Super Value Inc 46,279 925,580
Sysco Corp 126,212 4,993,262
Unilever NV 216,889 11,806,895
Winn-Dixie Stores Inc 57,358 1,373,007
Wrigley (W M) Jr Co 44,437 3,685,494
--------------
TOTAL FOOD
- VALUE $ 92,810,041
- COST $ 95,478,258
FOREST PRODUCTS & PAPER-0.65%
Boise Cascade Corp 22,043 $ 892,742
Champion International Corp 36,981 2,290,511
Fort James Corp 85,028 2,327,642
Georgia-Pacific Corp 65,839 3,341,329
International Paper Co 157,147 8,868,984
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Louisiana-Pacific Corp 41,771 $ 595,237
Mead Corp 39,296 1,706,920
Potlatch Corp 11,371 507,431
Temple-Inland Inc 21,587 1,423,393
Westvaco Corp 38,863 1,267,905
Weyerhauser Co 83,345 5,985,213
Willamette Industries Inc 42,972 1,995,512
--------------
TOTAL FOREST PRODUCTS & PAPER
- VALUE $ 31,202,819
- COST $ 24,681,546
GAS-0.07%
Eastern Enterprises 8,432 $ 484,313
NICOR Inc 18,445 599,463
ONEOK Inc 12,234 307,379
Peoples Energy Corp 13,909 465,952
Sempra Energy 92,729 1,611,166
--------------
TOTAL GAS
- VALUE $ 3,468,273
- COST $ 3,873,551
HAND / MACHINE TOOLS-0.11%
Black & Decker Corp 33,627 $ 1,757,011
Grainger (W W) Inc 36,123 1,727,131
Milacron Inc 14,859 228,457
Snap-On Inc 23,453 622,970
Stanley Works 34,452 1,037,867
--------------
TOTAL HAND / MACHINE TOOLS
- VALUE $ 5,373,436
- COST $ 4,908,947
HEALTH CARE-2.24%
Allergan Inc 50,800 $ 2,527,300
Bard (C R) Inc 19,978 1,058,834
Bausch & Lomb Inc 21,821 1,493,375
Baxter International Inc 110,721 6,954,663
Becton Dickinson & Co 96,061 2,569,632
Biomet Inc 43,468 1,738,720
Boston Scientific Corp+ 152,221 3,329,834
Columbia/HCA Healthcare Corp 214,786 6,295,915
Guidant Corp+ 115,111 5,410,217
Healthsouth Corp+ 160,259 861,392
Humana Inc+ 64,704 529,764
Johnson & Johnson 520,147 48,438,689
Mallinckrodt Group Inc 27,624 878,789
Manor Care Inc+ 42,886 686,176
Medtronics Inc 444,856 16,209,441
St Jude Medical Inc+ 32,653 1,002,039
Tenet Healthcare Corp+ 119,123 2,799,391
United Healthcare Corp 66,303 3,522,347
Wellpoint Health Networks+ 25,355 1,671,845
--------------
TOTAL HEALTH CARE
- VALUE $ 107,978,363
- COST $ 84,180,983
HOLDING COMPANIES-DIVERSIFIED-0.15%
Seagrams Co Ltd 164,437 $ 7,389,388
--------------
TOTAL HOLDING COMPANIES-DIVERSIFIED
- VALUE $ 7,389,388
- COST $ 6,502,451
12
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments (continued) December 31,1999
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
HOME BUILDERS-0.03%
Centex Corp 23,215 $ 573,120
Fleetwood Enterprises Inc 13,708 282,728
Kaufman & Broad Home Corp 17,979 434,867
Pulte Corp 17,087 384,458
--------------
TOTAL HOME BUILDERS
- VALUE $ 1,675,173
- COST $ 1,648,851
HOME FURNISHINGS-0.10%
Leggett & Platt Inc 56,700 $ 1,215,506
Maytag Corp 33,811 1,622,928
Whirlpool Corp 29,131 1,895,336
--------------
TOTAL HOME FURNISHINGS
- VALUE $ 4,733,770
- COST $ 4,062,818
HOUSEHOLD PRODUCTS / WARES-0.30%
American Greetings Corp Class A 26,270 $ 620,629
Avery-Dennison Corp 43,633 3,179,755
Clorox Co 90,052 4,536,370
Fortune Brands Inc 64,148 2,120,893
Jostens Inc 13,796 335,415
Newell Rubbermaid Inc 107,840 3,127,360
Tupperware Corp 22,621 383,143
--------------
TOTAL HOUSEHOLD PRODUCTS / WARES
- VALUE $ 14,303,565
- COST $ 12,785,042
INSURANCE-2.91%
Aetna Inc 54,289 $ 3,030,005
AFLAC Corp 101,382 4,783,963
Allstate Corp 303,349 7,280,376
American General Corp 94,773 7,190,901
American International Group Inc 585,625 63,320,703
Aon Corp 98,022 3,920,860
Chubb Corp 63,769 3,590,992
CIGNA Corp 70,827 5,706,000
Cincinnati Financial Corp 63,644 1,984,897
Conseco Inc 123,646 2,210,172
Hartford Financial Services Group 86,412 4,093,769
Jefferson-Pilot Corp 40,464 2,761,668
Lincoln National Corp 76,197 3,047,880
Loews Corp 41,313 2,507,183
Marsh & McLennan Companies Inc 100,335 9,600,805
MBIA Inc 38,539 2,035,341
MGIC Investment Corp 41,931 2,523,722
Progressive Corp Ohio 28,125 2,056,641
SAFECO Corp 51,422 1,279,122
St Paul Cos 86,993 2,930,577
Torchmark Corp 51,586 1,499,218
UNUMProvident Corp 91,610 2,937,246
--------------
TOTAL INSURANCE
- VALUE $ 140,292,041
- COST $ 108,341,003
IRON / STEEL-0.09%
Allegheny Technologies Inc 37,270 $ 836,246
Bethlehem Steel Corp+ 50,451 422,527
Nucor Corp 33,724 1,848,497
USX - U.S. Steel Group 34,183 1,128,039
--------------
TOTAL IRON / STEEL
- VALUE $ 4,235,309
- COST $ 4,772,269
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
LEISURE TIME-0.25%
Brunswick Corp 35,682 $ 793,925
Carnival Corp Class A 232,789 11,130,224
--------------
TOTAL LEISURE TIME
- VALUE $ 11,924,149
- COST $ 11,133,423
LODGING-0.08%
Hilton Hotels Corp 100,112 $ 963,578
Marriott International 95,283 3,007,370
--------------
TOTAL LODGING
- VALUE $ 3,970,948
- COST $ 3,919,019
MACHINERY-0.46%
Briggs & Stratton Corp 9,122 $ 489,167
Caterpillar Inc 135,328 6,368,874
Cummins Engine Co Inc 15,900 768,169
Deere & Co 89,327 3,874,559
Dover Corp 79,663 3,614,709
Ingersoll-Rand Co 63,286 3,484,685
McDermott International Inc 23,106 209,398
NACCO Industries Inc Class A 3,027 168,188
Rockwell International Corp 73,145 3,501,817
--------------
TOTAL MACHINERY
- VALUE $ 22,479,566
- COST $ 18,440,998
MANUFACTURERS-5.74%
Cooper Industries Inc 36,420 $ 1,472,734
Corning Inc 92,903 11,978,681
Crane Co 26,543 527,542
Danaher Corp 51,856 2,502,052
Eastman Kodak Co 120,341 7,972,591
Eaton Corp 27,696 2,011,422
FMC Corp+ 12,392 710,217
General Electric Co 1,239,186 191,764,034
Illinois Tool Works Inc 107,786 7,282,292
ITT Industries Inc 34,073 1,139,316
Minnesota Mining & Manufacturing Co 152,721 14,947,568
National Service Industries Inc 15,998 471,941
Pall Corp 48,399 1,043,603
Polaroid Corp 17,470 328,654
PPG Industries Inc 66,344 4,150,647
Textron Inc 57,334 4,396,801
Tyco International Ltd 633,078 24,610,907
--------------
TOTAL MANUFACTURERS
- VALUE $ 277,311,002
- COST $ 143,990,320
MEDIA-3.40%
CBS Corp+ 288,983 $ 18,476,851
Clear Channel Communications Inc+ 127,745 11,401,241
Comcast Corp Class A 284,258 14,372,795
Disney (Walt) Co 781,324 22,853,727
Dow Jones & Co Inc 34,936 2,375,648
Gannett Co Inc 106,280 8,668,463
Knight-Ridder Inc 30,498 1,814,631
McGraw-Hill Inc 75,095 4,627,729
MediaOne Group Inc+ 229,855 17,655,737
Meredith Corp 20,197 841,962
New York Times Co Class A 66,704 3,276,834
Time Warner Inc 487,770 35,332,839
Times Mirror Co Class A 23,181 1,553,127
13
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments (continued) December 31,1999
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Tribune Co 90,382 $ 4,976,659
Viacom Inc Class B+ 264,159 15,965,110
--------------
TOTAL MEDIA
- VALUE $ 164,193,353
- COST $ 91,189,951
METAL FABRICATE / HARDWARE-0.02%
Timken Co 24,501 $ 500,739
Worthington Industries Inc 36,040 596,913
--------------
TOTAL METAL FABRICATE / HARDWARE
- VALUE $ 1,097,652
- COST $ 1,172,632
METALS-DIVERSIFIED-0.47%
Alcan Aluminum Ltd 86,465 $ 3,561,277
Alcoa Inc 139,199 11,553,517
Freeport McMoRan Inc+ 63,424 1,339,832
Inco Ltd+ 70,437 1,655,270
Phelps Dodge Corp 22,901 1,537,230
Placer Dome Inc 120,056 1,290,602
Reynolds Metals Co 24,353 1,866,049
--------------
TOTAL METALS-DIVERSIFIED
- VALUE $ 22,803,777
- COST $ 15,205,426
MINING-0.10%
Barrick Gold Corp 147,998 $ 2,617,715
Homestake Mining Co 92,085 719,414
Newmont Mining Corp 64,155 1,571,798
--------------
TOTAL MINING
- VALUE $ 4,908,927
- COST $ 6,518,262
OFFICE / BUSINESS EQUIPMENT-0.22%
Pitney Bowes Inc 102,053 $ 4,930,436
Xerox Corp 252,366 5,725,554
--------------
TOTAL OFFICE / BUSINESS EQUIPMENT
- VALUE $ 10,655,990
- COST $ 13,290,457
OIL & GAS PRODUCERS-4.87%
Amerada Hess Corp 34,891 $ 1,980,064
Anadarko Petroleum Corp 46,745 1,595,173
Apache Corp 41,497 1,532,795
Atlantic Richfield Corp 122,330 10,581,545
Burlington Resources Inc 70,978 2,346,710
Chevron Corp 248,501 21,526,399
Coastal Corp 81,860 2,900,914
Conoco Inc Class B 238,785 5,939,776
Exxon Mobil Corp 1,305,075 105,140,105
Helmerich & Payne Inc 19,470 424,689
Kerr-McGee Corp 32,874 2,038,188
Occidental Petroleum Corp 133,734 2,891,998
Phillips Petroleum Co 96,587 4,539,589
Rowan Co Inc+ 32,475 704,302
Royal Dutch Petroleum Corp 811,574 49,049,504
Sunoco Inc 35,137 825,720
Texaco Inc 206,300 11,204,669
Tosco Corp 43,600 1,185,375
Transocean Sedco Forex Inc 40,219 1,354,873
Union Pacific Resources Group 97,483 1,242,908
Unocal Corp 92,813 3,115,036
USX - Marathon Group 118,377 2,922,432
--------------
TOTAL OIL & GAS PRODUCERS
- VALUE $ 235,042,764
- COST $ 170,481,951
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
OIL & GAS SERVICES-0.44%
Baker Hughes Inc 126,058 $ 2,655,097
Halliburton Co 167,918 6,758,700
Schlumberger Ltd 207,742 11,685,488
--------------
TOTAL OIL & GAS SERVICES
- VALUE $ 21,099,285
- COST $ 18,232,858
PACKAGING & CONTAINERS-0.13%
Ball Corp 11,780 $ 463,838
Bemis Co 20,358 709,985
Crown Cork & Seal Co 47,391 1,060,374
Owens Illinois Inc+ 60,369 1,512,998
Pactiv Corp+ 65,875 699,922
Sealed Air Corp+ 32,207 1,668,725
--------------
TOTAL PACKAGING & CONTAINERS
- VALUE $ 6,115,842
- COST $ 9,121,867
PHARMACEUTICALS-5.99%
Abbott Laboratories 576,420 $ 20,931,251
ALZA Corp+ 37,839 1,310,175
American Home Products Corp 494,953 19,519,709
Bristol-Myers Squibb Co 750,938 48,200,833
Cardinal Health Inc 103,852 4,971,915
Lilly (Eli) & Co 413,744 27,513,976
Merck & Co Inc 884,208 59,297,199
Pfizer Inc 1,465,296 47,530,539
Pharmacia & Upjohn Inc 192,356 8,656,020
Schering-Plough Corp 556,114 23,461,059
Warner Lambert Co 323,703 26,523,415
Watson Pharmaceutical Inc+ 35,421 1,268,515
--------------
TOTAL PHARMACEUTICALS
- VALUE $ 289,184,606
- COST $ 213,451,375
PIPELINES-0.51%
Columbia Energy Group 32,122 $ 2,031,717
Consolidated Natural Gas Co 36,891 2,395,609
El Paso Energy Corp 77,357 3,002,419
Enron Corp 271,020 12,026,513
Williams Co Inc 165,460 5,056,871
--------------
TOTAL PIPELINES
- VALUE $ 24,513,129
- COST $ 17,444,082
RETAIL-6.40%
AutoZone Inc+ 57,606 $ 1,861,381
Bed Bath & Beyond Inc+ 41,600 1,445,600
Best Buy Co Inc+ 77,898 3,909,506
Circuit City Stores Inc 77,063 3,472,651
Consolidated Stores Corp+ 42,302 687,408
CVS Corp 149,244 5,960,432
Darden Restaurants Inc 51,880 940,325
Dayton-Hudson Corp 167,774 12,320,903
Dillards Inc Class A 41,422 836,207
Dollar General Corp 85,424 1,943,396
Federated Department Stores Inc+ 79,767 4,033,219
Gap Inc 325,148 14,956,808
Harcourt General Inc 27,581 1,110,135
Home Depot Inc 862,041 59,103,686
IKON Office Solutions Inc 53,983 367,759
Kmart Corp 190,809 1,920,016
Kohls Corp+ 62,134 4,485,298
Limited Inc 81,938 3,548,940
Longs Drug Stores Corp 15,054 388,581
Lowe's Co Inc 142,840 8,534,690
May Department Stores Co 127,673 4,117,454
14
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments (continued) December 31,1999
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
McDonald's Corp 513,168 $ 20,687,085
Nordstrom Inc 54,615 1,430,230
Office Depot Inc+ 138,149 1,511,005
Penney (J C) Co Inc 101,249 2,018,652
Pep Boys (The) - Manny Moe & Jack 20,775 189,572
Rite Aid Corp 100,031 1,119,097
Sears Roebuck & Co 145,124 4,417,212
Staples Inc+ 177,729 3,687,877
Tandy Corp 73,625 3,621,430
TJX Companies Inc 122,203 2,497,524
Toys R Us Inc+ 96,075 1,375,073
Tricon Global Restaurants+ 59,032 2,280,111
Wal-Mart Stores Inc 1,681,610 116,241,291
Walgreen Co 380,778 11,137,757
Wendy's International Inc 47,843 986,762
--------------
TOTAL RETAIL
- VALUE $ 309,145,073
- COST $ 172,421,820
SEMICONDUCTORS-3.62%
Advanced Micro Devices Inc+ 55,827 $ 1,615,494
Applied Materials Inc+ 142,318 18,029,912
Intel Corp 1,255,365 103,332,232
KLA Instruments Corp+ 33,748 3,758,684
LSI Logic Corp+ 55,154 3,722,895
Micron Technology Inc+ 95,676 7,438,779
National Semiconductor+ 64,381 2,756,312
Texas Instruments Inc 298,263 28,894,228
Xilinx Inc+ 111,400 5,065,224
--------------
TOTAL SEMICONDUCTORS
- VALUE $ 174,613,760
- COST $ 75,366,825
SOFTWARE-9.57%
Adobe Systems Inc 46,726 $ 3,142,324
America Online Inc+ 838,542 63,257,512
Autodesk Inc 20,332 686,205
Automatic Data Processing 234,757 12,647,533
BMC Software Inc+ 90,534 7,237,062
Citrix Systems Inc+ 30,070 3,698,610
Computer Associates International Inc 203,896 14,259,977
Compuware Corp+ 136,195 5,073,264
First Data Corp 161,323 7,955,240
IMS Health Inc 119,883 3,259,319
Microsoft Corp+ 1,943,474 226,900,590
Novell Inc+ 128,514 5,132,528
Oracle Corp+ 538,861 60,386,111
Parametric Technology Corp+ 103,203 2,792,931
PeopleSoft Inc+ 90,560 1,930,060
Shared Medical System Corp 10,340 526,694
Yahoo! Inc+ 99,540 43,069,714
--------------
TOTAL SOFTWARE
- VALUE $ 461,955,674
- COST $ 206,608,210
TELECOMMUNICATION EQUIPMENT-4.97%
ADC Telecommunications+ 49,901 $ 3,620,941
Andrew Corp+ 32,217 610,109
Comverse Technology Inc+ 23,500 3,401,625
General Instrument Corp+ 65,466 5,564,610
Lucent Technologies Inc 1,176,833 88,041,819
Motorola Inc 229,918 33,855,426
Nortel Networks Corp 502,367 50,739,067
QUALCOMM Inc+ 245,196 43,185,146
<CAPTION>
Security Name Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Scientific-Atlanta Inc 28,973 $ 1,611,623
Tellabs Inc+ 148,663 9,542,306
--------------
TOTAL TELECOMMUNICATION EQUIPMENT
- VALUE $ 240,172,672
- COST $ 85,508,910
TELECOMMUNICATIONS-0.93%
Global Crossing Ltd+ 283,449 $ 14,172,450
NEXTEL Communications Class A+ 133,682 13,785,956
Sprint Corp (PCS Group)+ 164,107 16,820,957
--------------
TOTAL TELECOMMUNICATIONS
- VALUE $ 44,779,363
- COST $ 15,127,390
TELEPHONE-6.71%
Alltel Corp 114,284 $ 9,449,858
AT&T Corp 1,208,638 61,338,379
Bell Atlantic Corp 587,785 36,185,514
BellSouth Corp 713,419 33,396,927
CenturyTel Inc 52,469 2,485,719
GTE Corp 368,665 26,013,924
MCI WorldCom Inc+ 1,063,259 56,419,154
SBC Communications Inc 1,290,288 62,901,540
Sprint Corp 328,630 22,120,907
U.S. West Inc 191,430 13,782,960
--------------
TOTAL TELEPHONE
- VALUE $ 324,094,882
- COST $ 209,737,582
TEXTILES-0.01%
Springs Industries Inc Class A 7,142$ 285,234
--------------
TOTAL TEXTILES
- VALUE $ 285,234
- COST $ 288,318
TOBACCO-0.47%
Philip Morris Co Inc 899,120 $ 20,848,345
UST Inc 67,406 1,697,789
--------------
TOTAL TOBACCO
- VALUE $ 22,546,134
- COST $ 33,540,360
TOYS / GAMES / HOBBIES-0.07%
Hasbro Inc 75,412 $ 1,437,541
Mattel Inc 159,572 2,094,383
--------------
TOTAL TOYS / GAMES / HOBBIES
- VALUE $ 3,531,924
- COST $ 5,755,424
TRANSPORTATION-0.45%
Burlington Northern Santa Fe Corp 177,184 $ 4,296,712
CSX Corp 83,427 2,617,522
FDX Corp+ 113,457 4,644,646
Kansas City Southern Industries Inc 41,791 3,118,653
Norfolk Southern Corp 145,750 2,987,875
Union Pacific Corp 94,580 4,126,053
--------------
TOTAL TRANSPORTATION
- VALUE $ 21,791,461
- COST $ 23,262,453
TRUCKING & LEASING-0.01%
Ryder System Inc 26,060 $ 636,841
--------------
TOTAL TRUCKING & LEASING
- VALUE $ 636,841
- COST $ 724,416
--------------
TOTAL COMMON STOCKS
- VALUE $4,647,088,660
- COST $2,955,509,045
</TABLE>
15
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
Portfolio of Investments (continued) December 31, 1999
<TABLE>
<CAPTION>
Interest Maturity
Principal Security Name Rate Date Value
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS-4.67%
CASH EQUIVALENTS-1.02%
$ 44,072,532 Goldman Sachs Financial
Square Prime Obligation
Fund++ 5.40% 01/03/00 $ 44,072,532
5,100,000 Investors Bank & Trust
Depository Receipt++ 5.53% 01/03/00 5,100,000
--------------
$ 49,172,532
REPURCHASE AGREEMENTS-3.33%
160,459,092 Morgan Stanley Tri-party Repurchase
Agreement dated 12/31/99, due 1/03/00
with a maturity value of $160,491,184
and an effective yield of 2.40%,
collateralized by a U.S. Treasury Notes
with a rate of 6.25%, a maturity of
04/30/01 and market value
of $163,671,231. 2.40% 01/03/00 $ 160,459,092
--------------
U.S. TREASURY BILLS-0.32%
15,750,000 U.S. Treasury Bills 5.04%*+++ 03/23/00 $ 15,572,534
--------------
TOTAL SHORT TERM INSTRUMENTS
- VALUE $ 225,204,158
- COST $ 225,192,218
TOTAL INVESTMENTS IN SECURITIES
(Cost $3,180,701,263) ** (Notes 1 and 3) 100.93% $4,872,292,818
Other Assets and Liabilities, Net (0.93)% (44,767,792)
-------- --------------
TOTAL NET ASSETS 100.00% $4,827,525,026
======== ==============
</TABLE>
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending
transactions. See Note 4.
+++ These U.S. Treasury Bills are held in segregated accounts in connection
with the Master Portfolios' holdings of S&P 500 futures contracts. See
Note 1.
* Yield to Maturity.
** Cost for federal income tax purposes is $3,183,525,561 and net unrealized
appreciation consists of:
Gross Unrealized Appreciation $1,830,907,457
Gross Unrealized Depreciation $ (142,140,200)
--------------
NET UNREALIZED APPRECIATION $1,688,767,257
==============
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
ASSETS
Investments:
In securities, at market value (see cost below) (Note 1) $4,872,292,818
Receivables:
Dividends and interest 4,418,560
Receivable for daily variation margin on open financial futures contracts 413,112
--------------
Total Assets 4,877,124,490
--------------
LIABILITIES
Payables:
Collateral for securities loaned (Note 4) 49,172,532
Due to Bank 4,859
Due to BGI (Note 2) 422,073
--------------
Total Liabilities 49,599,464
--------------
TOTAL NET ASSETS $4,827,525,026
==============
INVESTMENTS AT COST $3,180,701,263
==============
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
17
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
For the For the
Period Ended Year Ended
December 31, 1999* February 28, 1999
------------------ -----------------
<S> <C> <C>
NET INVESTMENT INCOME
Dividends+ $ 44,329,664 $ 36,647,898
Interest++ 9,795,587 8,379,792
------------- -------------
Total Investment Income 54,125,251 45,027,690
------------- -------------
EXPENSES (NOTE 2)
Advisory Fees 1,821,793 1,353,414
------------- -------------
Total Expenses 1,821,793 1,353,414
------------- -------------
NET INVESTMENT INCOME 52,303,458 43,674,276
------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on sale of investments 147,202,745 143,991,139
Net realized gain on sale of futures contracts 23,076,772 37,982,701
Net change in unrealized appreciation of investments 549,246,681 265,023,900
Net change in unrealized appreciation (depreciation) of future contracts 12,849,150 (14,225,550)
------------- -------------
Net Gain (Loss) on Investments 732,375,348 432,772,190
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 784,678,806 $ 476,446,466
============= =============
+ NET OF FOREIGN WITHHOLDING TAX OF: $ 28,773 $ 5,288
++ INTEREST INCOME INCLUDES SECURITIES LENDING INCOME OF: $ 272,312 $ 78,935
* FOR THE TEN MONTHS ENDED DECEMBER 31, 1999. THE MASTER PORTFOLIO CHANGED
ITS FISCAL YEAR-END FROM FEBRUARY 28 TO DECEMBER 31.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
18
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the For the
Period Ended Year Ended Year Ended
December 31, 1999* February 28, 1999 February 28, 1998
------------------ ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 52,303,458 $ 43,674,276 $ 35,530,147
Net realized gain 170,279,517 181,973,840 71,368,439
Net change in unrealized appreciation 562,095,831 250,798,350 463,085,650
---------------- ---------------- ----------------
Net increase in net assets resulting from operations 784,678,806 476,446,466 569,984,236
Net increase in net assets resulting from beneficial
interest transactions 355,753,442 856,583,098 299,742,532
---------------- ---------------- ----------------
Increase in Net Assets 1,140,432,248 1,333,029,564 869,726,768
NET ASSETS:
Beginning net assets 3,687,092,778 2,354,063,214 1,484,336,446
---------------- ---------------- ----------------
Ending net assets $ 4,827,525,026 $ 3,687,092,778 $ 2,354,063,214
================ ================ ================
</TABLE>
* FOR THE TEN MONTHS ENDED DECEMBER 31, 1999. THE MASTER PORTFOLIO CHANGED
ITS FISCAL YEAR-END FROM FEBRUARY 28 TO DECEMBER 31.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
19
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS
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 March 1, 1994. MIP currently issues, the following
separate portfolios (the "Master Portfolios"), the Asset Allocation, Bond Index,
LifePath Income (formerly LifePath 2000), LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040, Money Market, S&P 500 Index, International Index, Extended
Index and U.S. Equity Index 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.
The Board of Trustees approved a change in fiscal year-end from February 28
to December 31 for the S&P 500 Index Master Portfolio on February 10, 1999.
Accordingly, the financial statements are presented for the ten-month period
ended December 31, 1999.
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 long 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
20
<PAGE>
- --------------------------------------------------------------------------------
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 change
in the value of the contracts may not correlate with changes in the value of the
underlying securities. As of December 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 APPRECIATION
<S> <C> <C> <C> <C>
484 S & P 500 Index 3/17/00 $179,588,200 $9,872,575
</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 $15,750,000.
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 advisor 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 December 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. BGFA 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 Sub-Administrator 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
December 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 ten months ended December 31, 1999, were as
follows:
<TABLE>
<CAPTION>
AGGREGATE PURCHASES S&P 500 INDEX
AND SALES OF: MASTER PORTFOLIO
PERIOD ENDED YEAR ENDED
DEC. 31, 1999 FEB. 28, 1999
<S> <C> <C>
Purchases at cost $751,345,661 $1,187,951,471
Sales proceeds 269,734,128 275,613,257
</TABLE>
21
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (continued)
4. PORTFOLIO SECURITIES LOANED
As of December 31, 1999, the S&P 500 Index Master Portfolio had loaned
securities which were collateralized by cash and money market mutual funds. 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:
<TABLE>
<CAPTION>
VALUE OF VALUE OF
SECURITIES COLLATERAL
<S> <C> <C>
S&P 500 Index Master Portfolio $47,645,223 $49,172,532
</TABLE>
5. FINANCIAL HIGHLIGHTS
The ratios of expenses and net investment income to average net assets and
portfolio turnover rates, excluding short-term securities, for the S&P 500 Index
Master Portfolio are as follows:
<TABLE>
<CAPTION>
FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, FEBRUARY 28, FEBRUARY 28,
1999* 1999 1998
<S> <C> <C> <C>
S&P 500 Index Master Portfolio
Ratio of expenses to average
net assets+ 0.05% 0.05% 0.05%
Ratio of net investment income
to average net assets+ 1.44% 1.61% 1.89%
Portfolio turnover 7% 11% 6%
</TABLE>
* For the ten months ended December 31, 1999. The Master Portfolios' changed
their fiscal year-ends from February 28 to December 31.
+ Annualized for period of less than one year.
22
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
To the Interestholders and Board of Trustees of
Master Investment Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of S&P 500 Index Master Portfolio (a portfolio of
Master Investment Portfolio) as of December 31, 1999, and the related statements
of operations for the ten-month period then ended and the year ended February
28, 1999 and the statements of changes in net assets for the ten-month period
then ended and for each of the years in the two-year period ended February 28,
1999. These financial statements are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements 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 are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1999 by correspondence with
the custodian and brokers. 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 referred to above present fairly, in
all material respects, the financial position of the S&P 500 Index Master
Portfolio as of December 31, 1999, the results of its operations and the changes
in its net assets for the periods indicated above in conformity with generally
accepted accounting principles.
/s/ KPMG LLP
San Francisco, California
February 11, 2000
23
<PAGE>
DIRECTORS
Richard S. Strong
Marvin E. Nevins
William F. Vogt
Willie D. Davis
Stanley Kritzik
Neal Malicky
OFFICERS
Richard S. Strong, CHAIRMAN OF THE BOARD
Thomas M. Zoeller, VICE PRESIDENT
Dennis A. Wallestad, VICE PRESIDENT
Stephen J. Shenkenberg, VICE PRESIDENT AND SECRETARY
John S. Weitzer, VICE PRESIDENT
John W. Widmer, TREASURER
Rhonda K. Haight, ASSISTANT 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 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. To
reduce the volume of mail you receive, only one copy of financial reports,
prospectuses, and other regulatory materials is mailed to your household. You
can call us at 1-800-368-1030, or write to us at the address listed below, to
request (1) additional copies free of charge, or (2) that we discontinue our
practice of householding regulatory materials.
Strong Investments, Inc. RT0959-0200
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
Visit our web site at
www.eStrong.com
[LOGO] STRONG FUNDS-Registered Trademark-
P.O. Box 2936
Milwaukee, Wisconsin 53201
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