<PAGE>
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The Strong
INDEX 500
Fund
Semi-Annual Report . June 30, 2000
<PAGE>
Letter from the Chairman
Dear Strong Investor,
The United States' economic miracle continues to set records for longevity.
Today, we enjoy a near-perfect economy. How in the world did we get here?
In the days of our grandparents and great-grandparents, the railroad helped
drive the Industrial Revolution. Nearly every aspect of the Industrial
Revolution directly impacted and improved people's lives. Today, the
technological revolution is similarly impacting our lives. We feel its presence
every time we dial a cell phone, pull out a PalmPilot, boot up a computer, and
punch "play" on the CD player in the dashboard of our computer-programmed cars.
Technology is our constant companion.
Aside from those tangible ways in which we employ technology each and every day,
ongoing technological developments affect us in another, less obvious way. The
technology revolution is enhancing worker productivity, enabling the economy to
grow faster than ever before without the drag of inflation. This allows real
wages to rise faster than in previous periods of expansion, raising nearly
everyone's standard of living.
The phenomenal economic growth and wealth creation that we have experienced has
powered the financial markets to ever-higher levels in recent years. As long as
this favorable economic environment prevails--and assuming that there isn't a
negative policy change or an economic "accident" to derail it-- our economy
should continue to expand. Hopefully, the financial markets will continue to
reflect that.
Despite the good times, we should never forget that the financial markets are in
control and that they are a discounting mechanism, continually peering into the
future. In fact, many experienced investors believe that certain sectors of the
financial markets are currently priced to perfection and any little hiccup could
cause a significant correction.
The U.S. Federal Reserve Board has increased interest rates six times during the
last 18 months in an attempt to slow the economy. Many central banks around the
world have been making a concerted effort to slow their economies. If one or
more of these economies should slow, it may be reflected in the tone of our
economy and financial markets as well. If that happens, 2000 could be the first
time in many years that investors earn a negative return on their stock
investments. It will be a new--and unpleasant--experience for investors who know
only the unbridled bull markets of the 1990s.
Financial markets are cyclical. A market correction, though painful, is as
natural as breathing. Financial volatility can significantly derail an
investment program, especially if that program is not carefully planned. At
Strong, we pride ourselves on helping our investors invest wisely and with
purpose. We advise you to establish a clear set of goals, a plan to reach them,
and a program of constant monitoring to make certain you are heading in the
right direction.
/s/ Dick
<PAGE>
The Strong
Index 500 Fund
SEMI-ANNUAL REPORT . JUNE 30, 2000
Table of Contents
<TABLE>
<S> <C>
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
Schedule of Investments.......................................................................... 9
Statement of Assets & Liabilities................................................................ 14
Statement of Operations.......................................................................... 15
Statement of Changes in Net Assets............................................................... 16
Notes to the Financial Statements................................................................ 17
</TABLE>
<PAGE>
THE STRONG INDEX 500 FUND
Find Highlights
. The Strong Index 500 Fund returned-0.72% for the six months ended June 30,
2000, while the S&P 500 Stock Index(R) returned -0.42%./1/, /2/, /3/
AVERAGE ANNUAL
TOTAL RETURNS/2/
As of 6-30-00
1-year 6.72%
3-year 19.10%
Since Inception 21.99%
(on 5-1-97)
Equity funds are volatile investments and should only be considered for long-
term goals.
-------------------------------------------
FIVE LARGEST
STOCK HOLDINGS
As of 6-30-00
Security % of Net Assets
-------------------------------------------
General Electric Company 4.1%
Intel Corporation 3.5%
Cisco Systems,Inc. 3.4%
Microsoft Corporation 3.3%
Pfizer,Inc. 2.3%
Please see the Schedule of Investments in Securities for a complete listing of
the Fund's portfolio.
Market Perspectives
________________________________________________________________________________
The goal of the Strong Index 500 Fund is to match the performance of the S&P 500
Index(R) as closely as possible by holding all of the stocks in the S&P 500
Index(R) in proportions that match their index weights. For the period ended
June 30, 2000, the Fund returned -0.72%, compared to the Index's return of
-0.42%.
After five years of annual returns above 20%, the S&P 500 Index(R) lost some
ground during this period. The Index endured one of the most volatile
environments in history, created by inflation worries and three interest-rate
increases by the Federal Reserve Board, to finish the half virtually flat,
declining 0.42%.
Equity markets began the year on a negative note as high gross domestic product
(GDP) figures sparked interest-rate fears.Large-cap stocks were hit particularly
hard.For example,the S&P 500 Index(R) lost 5.02% for the month of January.The
Fed raised rates twice during the first quarter,on February 2 and again on March
21.In response to interest-rate concerns and uncertainty about the growth of the
economy,investors began to shun high-flying new economy stocks and returned to
more value-oriented old economy stocks.After falling in January and February,
the Index rebounded 9.78% in March,returning 2.29% for the first quarter.
The trend toward market volatility continued into the second quarter.On April
3,a court ruled against Microsoft,a holding of the Fund,
--------------------------------------------------------------------------------
The [S&P 500 Stock] Index endured one of the most volatile environments in
history,created by inflation worries and three interest-rate increases by the
Federal Reserve Board...
--------------------------------------------------------------------------------
________________________________________________________________________________
/1/ "Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500(R),"
and "500" are trademarks of The McGraw-Hill Companies, Inc. and have been
licensed for use by the Strong Index 500 Fund, a series of 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 Fund.
/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>
in an antitrust lawsuit, causing the stock to plunge 14.47% for the day and
triggering a sell-off among technology stocks. The sell-off continued with the
release of higher-than-expected economic figures in mid-April. A widely
anticipated 0.50% interest-rate increase on May 16, combined with suggestions of
further hikes, sent prices lower. Finally, in June, relief came in the form of
lower-than-expected numbers for both the consumer price index and the producer
price index. The Fed left rates unchanged, and the S&P 500(R) recovered 2.46%
for the month, finishing the quarter down 2.66%.
Growth stocks were alternately in and out of favor during the first half of the
year, at times losing ground to value stocks. However, growth outpaced value for
the first half, returning 2.58% compared to value stocks' -4.07% return.
The Fund will continue to attempt to track the S&P 500 Index(R) as closely as
possible by investing in the same companies that make up the Index.
GROWTH OF AN ASSUMED $10,000 INVESTMENT
From 5-1-97 to 6-30-00
[GRAPH]
<TABLE>
<CAPTION>
The Strong Index 500 Fund S&P 500 Stock Index/3/ Lipper S&P 500 Funds Index/3/
<S> <C> <C> <C>
Apr 97 $10,000 $10,000 $10,000
Jun 97 $11,110 $11,121 $11,117
Dec 97 $12,263 $12,297 $12,281
Jun 98 $14,392 $14,476 $14,433
Dec 98 $15,708 $15,812 $15,762
Jun 99 $17,589 $17,770 $17,676
Dec 99 $18,908 $19,139 $19,011
Jun 00 $18,771 $19,058 $18,897
</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(R) ("S&P 500") and the Lipper S&P 500
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(R) figure tracks the Strong Index 500 Fund and the Lipper
S&P 500 Funds Index figure so closely that its results are not discernible
on the graph.
Your Fund's
approach
The Strong Index 500 Fund seeks to replicate as closely as practicable, before
fees and expenses, the capitalization-weighted total return of the S&P 500
Index. The Fund invests in all of the securities that make up the S&P 500 Index
in proportions that match the weightings of that index.
--------------------------------------------------------------------------------
Market
highlights
. After a five-year run of annual returns exceeding 20%, the S&P 500 Stock
Index(R) stumbled during the first half of 2000 as market volatility
increased.
. Interest-rate and economic-data concerns and a high-profile antitrust lawsuit
drove market movements during this period.
. Growth stocks were alternately in and out of favor during the first half of
the year, at times losing ground to value stocks.
--------------------------------------------------------------------------------
/3/ The S&P 500 Stock Index(R) is an unmanaged index generally representative of
the U.S. stock market. The Lipper S&P 500 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 returns would have been
lower.
3
<PAGE>
STRONG INDEX 500 FUND
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investment in S&P 500 Index Master Portfolio, at Value (Note 1) $187,177,704
Receivable for Fund Shares Sold 226,066
Due from SCMI 62,744
Other Assets 30,693
------------
Total Assets 187,497,207
Liabilities:
Payable for Fund Shares Redeemed 212,100
Due to SCMI 54,997
Accrued Operating Expenses and Other Liabilities 56,531
------------
Total Liabilities 323,628
------------
Net Assets $187,173,579
============
Net Assets Consist of:
Capital Stock (par value and paid-in capital) $147,510,772
Undistributed Net Investment Income 970,192
Undistributed Net Realized Gain 31,503,947
Net Unrealized Appreciation on Investments 7,188,668
------------
Net Assets $187,173,579
============
Capital Shares Outstanding (Unlimited Number Authorized) 10,433,209
Net Asset Value Per Share $ 17.94
============
</TABLE>
4 See Notes to Financial Statements.
<PAGE>
STRONG INDEX 500 FUND
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Net Investment Income Allocated from Master Portfolio:
Dividend Income $ 1,001,106
Interest Income 163,187
Expenses (45,031)
------------
Net Investment Income Allocated from Master Portfolio 1,119,262
Expenses:
Shareholder Servicing Fees (Note 3) 222,576
Transfer Agency Fees 266,817
Reports to Shareholders 47,932
Other 47,287
------------
Total Expenses before Waivers and Absorptions 584,612
Voluntary Expense Waivers and Absorptions by SCMI (226,082)
------------
Expenses, Net 358,530
------------
Net Investment Income 760,732
Realized and Unrealized Gain (Loss) Allocated from Master Portfolio:
Net Realized Gain on Investments 30,777,133
Net Change in Unrealized Appreciation/Depreciation on Investments (32,751,416)
------------
Net Loss Allocated from Master Portfolio (1,974,283)
------------
Net Decrease in Net Assets Resulting from Operations ($ 1,213,551)
============
</TABLE>
See Notes to Financial Statements. 5
<PAGE>
STRONG INDEX 500 FUND
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Period Ended Year Ended
June 30, 2000 Dec. 31, 1999 Feb. 28, 1999
---------------- -------------- -------------
(Unaudited) (Note 1)
<S> <C> <C> <C>
Operations:
Net Investment Income $ 760,732 $ 1,450,447 $ 900,410
Net Realized Gain 30,777,133 3,311,136 1,173,696
Net Change in Unrealized Appreciation/Depreciation (32,751,416) 25,053,893 11,546,437
------------- ------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations (1,213,551) 29,815,476 13,620,543
Distributions:
From Net Investment Income -- (1,457,567) (734,711)
From Net Realized Gains -- (3,812,545) (7,666)
------------- ------------- -------------
Total Distributions -- (5,270,112) (742,377)
Transactions in Shares of Beneficial Interest:
Proceeds from Shares Sold 42,802,880 62,095,473 120,131,919
Proceeds from Reinvestment of Distributions -- 5,160,761 722,710
Payment for Shares Redeemed (40,274,910) (45,065,070) (26,706,110)
------------- ------------- -------------
Net Increase in Net Assets from Beneficial Interest Transactions 2,527,970 22,191,164 94,148,519
------------- ------------- -------------
Total Increase in Net Assets 1,314,419 46,736,528 107,026,685
Net Assets:
Beginning of Period 185,859,160 139,122,632 32,095,947
------------- ------------- -------------
End of Period $ 187,173,579 $ 185,859,160 $ 139,122,632
============= ============= =============
Transactions in Shares of the Fund:
Sold 2,445,403 3,712,450 8,336,831
Issued in Reinvestment of Distributions -- 286,868 47,136
Redeemed (2,299,995) (2,652,661) (1,880,932)
------------- ------------- -------------
Net Increase in Shares of the Fund 145,408 1,346,657 6,503,035
============= ============= =============
</TABLE>
6 See Notes to Financial Statements.
<PAGE>
STRONG INDEX 500 FUND
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
June 30, 2000 (Unaudited)
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 4.90% in the net assets of
the Master Portfolio at June 30, 2000. 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 0.25% of
the Fund's average daily net assets. Certain fees have been waived or
absorbed by SCMI for the six months ended June 30, 2000. Waived or absorbed
fees continue at the discretion of SCMI. SCMI also allocates to the Fund
certain charges or credits resulting from transfer agency banking
activities based on the Fund's level of subscription and redemption
activity. Charges allocated to the Fund by SCMI are included in Other
Expenses in the Fund's Statement of Operations. Credits allocated by SCMI
serve to reduce the shareholder servicing expenses incurred by the Fund and
are reported as Fees Paid Indirectly by SCMI in the Fund's Statement of
Operations. In addition, SCMI is compensated for certain other services
related to costs incurred for reports to shareholders. The amount payable
to SCMI at June 30, 2000, shareholder servicing and other expenses paid to
SCMI, and unaffiliated directors' fees for the six months then ended were
$49,555, $223,686, and $3,335, respectively.
7
<PAGE>
STRONG INDEX 500 FUND
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Period Ended
--------------------------------------------------
June 30, Dec. 31, Feb. 28, Feb. 28,
Selected Per-Share Data/(a)/ 2000/(b)/ 1999/(c)/ 1999 1998/(d)/
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 18.07 $ 15.56 $ 13.16 $ 10.00
Income From Investment Operations:
Net Investment Income 0.07 0.15 0.13 0.11
Net Realized and Unrealized Gains (Losses) on Investments (0.20) 2.89 2.39 3.15
---------------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations (0.13) 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)/(e)/ (0.01)
---------------------------------------------------------------------------------------------------------------------------------
Total Distributions -- (0.53) (0.12) (0.10)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.94 $ 18.07 $ 15.56 $ 13.16
=================================================================================================================================
Ratios and Supplemental Data
---------------------------------------------------------------------------------------------------------------------------------
Total Return -0.7% +19.5% +19.2% +32.7%
Net Assets, End of Period (In Thousands) $187,174 $185,859 $139,123 $32,096
Ratio of Expenses to Average Net Assets Without Waivers and Absorptions 0.70%* 0.69%* 0.73% 1.53%*
Ratio of Expenses to Average Net Assets 0.45%* 0.45%* 0.45% 0.44%*
Ratio of Net Investment Income to Average Net Assets 0.85%* 1.04%* 1.18% 1.43%*
Portfolio Turnover Rate/(f)/ 4% 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) For the six months ended June 30,2000 (unaudited).
(c) In 1999, the Fund changed its fiscal year-end from February to December
(Note 1).
(d) For the period from May 1,1997 (inception) to February 28,1998.
(e) Amount calculated is less than $0.01.
(f) This rate represents the portfolio turnover rate of the S&P 500 Index Master
Portfolio.
8 See Notes to Financial Statements.
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 5 0 0 INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
Schedule of Investments June 30, 2000 (Unaudited)
Security Name Shares Value
--------------------------------------------------------------------------------
Common Stocks 96.53%
Advertising 0.25%
Interpublic Group of Companies Inc. 88,983 $ 3,826,269
Omnicom Group Inc. 52,409 4,667,677
Young & Rubicam Inc. 21,250 1,215,234
------------
9,709,180
Aerospace/Defense 0.99%
Boeing Co. 267,657 11,191,408
General Dynamics Corp. 59,166 3,091,423
Goodrich (B.F.) Co. 31,653 1,078,180
Honeywell International Inc. 235,506 7,933,608
Lockheed Martin Corp. 118,063 2,929,438
Northrop Grumman Corp. 20,579 1,363,359
Raytheon Co."B" 100,313 1,931,025
United Technologies Corp. 138,858 8,175,265
------------
37,693,706
Airlines 0.17%
AMR Corp.+ 44,117 1,166,343
Delta Air Lines Inc. 36,167 1,828,694
Southwest Airlines Co. 146,387 2,772,204
US Airways Group Inc.+ 19,665 766,935
------------
6,534,176
Apparel 0.13%
Liz Claiborne Inc. 16,121 568,265
Nike Inc."B" 80,682 3,212,152
Reebok International Ltd.+ 16,696 266,093
Russell Corp. 9,607 192,140
VF Corp. 33,740 803,434
------------
5,042,084
Auto Manufacturers 0.68%
Ford Motor Co. 355,660 15,293,380
General Motors Corp."A" 157,839 9,164,527
Navistar International Corp.+ 18,266 567,388
PACCAR Inc. 22,623 897,850
------------
25,923,145
Auto Parts & Equipment 0.18%
Cooper Tire & Rubber Co. 21,817 242,714
Dana Corp. 44,980 953,014
Delphi Automotive Systems Corp. 166,161 2,419,720
Goodyear Tire & Rubber Co. 46,125 922,500
TRW Inc. 36,427 1,580,021
Visteon Corp.+ 46,568 564,634
------------
6,682,603
Banks 4.37%
Amsouth Bancorp 115,902 1,825,457
Bank of America Corp. 488,955 21,025,065
Bank of New York Co.Inc. 217,656 10,121,004
Bank One Corp. 338,401 8,988,777
BB&T Corp. 102,884 2,456,356
Charter One Financial Inc. 61,800 1,421,400
Chase Manhattan Corp. 364,952 16,810,602
Comerica Inc. 46,138 2,070,443
Fifth Third Bancorp 91,408 5,781,556
First Union Corp. 289,342 7,179,298
Firstar Corp. 286,181 6,027,687
FleetBoston Financial Corp. 265,918 9,041,212
Golden West Financial Corp. 46,604 1,902,026
Huntington Bancshares Inc. 65,477 1,035,355
KeyCorp 128,259 2,260,565
Mellon Financial Corp. 144,933 5,280,996
Morgan (J.P.) & Co.Inc. 47,939 5,279,282
National City Corp. 178,864 3,051,867
Northern Trust Corp. 65,596 4,267,840
Old Kent Financial Corp. 40,530 1,084,177
PNC Bank Corp. 85,645 4,014,609
Regions Financial Corp. 65,133 1,294,518
SouthTrust Corp. 49,639 1,123,082
State Street Corp. 47,492 5,037,120
Summit Bancorp 51,906 1,278,185
SunTrust Banks Inc. 89,242 4,077,244
Synovus Financial Corp. 83,331 1,468,709
U.S.Bancorp 221,809 4,269,823
Union Planters Corp. 39,895 1,114,567
Wachovia Corp. 59,690 3,238,182
Washington Mutual Inc. 161,622 4,666,835
Wells Fargo & Company 475,374 18,420,742
------------
166,914,581
Beverages 1.95%
Anheuser-Busch Companies Inc. 133,274 9,953,902
Brown-Forman Corp."B" 20,210 1,086,287
Coca-Cola Co. 730,291 41,946,089
Coca-Cola Enterprises 124,098 2,024,349
Coors (Adolph) Company "B" 10,832 655,336
PepsiCo Inc. 425,204 18,895,003
------------
74,560,966
Biotechnology 0.63%
Amgen Inc.+ 302,912 21,279,568
Biogen Inc.+ 43,850 2,828,325
------------
24,107,893
Building Materials 0.11%
Armstrong Holdings Inc. 11,893 182,112
Masco Corp. 132,383 2,391,168
Owens Corning 16,386 151,570
Vulcan Materials Co. 29,770 1,270,807
------------
3,995,657
Chemicals 0.86%
Air Products & Chemicals Inc. 67,659 2,084,743
Ashland Inc. 20,837 730,597
Dow Chemical Co. 199,424 6,020,112
Du Pont (E.I.) de Nemours 309,057 13,521,244
Eastman Chemical Co. 22,582 1,078,290
Engelhard Corp. 37,703 643,307
Grace (W.R.) & Company+ 19,928 241,627
Great Lakes Chemical Corp. 16,041 505,291
Hercules Inc. 31,616 444,600
Praxair Inc. 46,501 1,740,881
Rohm & Haas Co."A" 64,196 2,214,762
Sherwin-Williams Co. 48,277 1,022,869
Sigma-Aldrich Corp. 25,191 736,837
Union Carbide Corp. 39,767 1,968,466
------------
32,953,626
Commercial Services 0.48%
Block (H & R) Inc. 28,977 938,130
Cendant Corp.+ 212,779 2,978,906
Convergys Corp.+ 45,200 2,344,750
Deluxe Corp. 21,374 503,625
Donnelley (R.R.) & Sons Co. 35,965 811,460
Dun & Bradstreet Corp. 47,696 1,365,298
Ecolab Inc. 38,220 1,492,969
Equifax Inc. 41,646 1,093,207
McKesson HBOC Inc. 83,116 1,740,241
Paychex Inc. 109,551 4,601,142
Quintiles Transnational Corp.+ 34,000 480,250
------------
18,349,978
Computers 11.17%
Adaptec Inc.+ 30,700 698,425
Apple Computer Inc.+ 95,992 5,027,581
Cabletron Systems+ 53,807 1,358,627
Ceridian Corp.+ 42,803 1,029,947
Cisco Systems Inc.+ 2,052,472 130,460,252
Compaq Computer Corp. 500,962 12,805,841
Computer Sciences Corp.+ 49,381 3,688,143
Dell Computer Corp.+ 759,796 37,467,440
9
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
Schedule of Investments (continued) June 30, 2000 (Unaudited)
Security Name Shares Value
--------------------------------------------------------------------------------
Electronic Data Systems Corp. 137,448 $ 5,669,730
EMC Corporation+ 640,258 49,259,850
Gateway Inc.+ 94,998 5,391,136
Hewlett-Packard Co. 295,134 36,854,858
International Business Machines Corp. 523,099 57,312,034
Lexmark International Group Inc."A"+ 38,175 2,567,269
NCR Corp.+ 28,050 1,092,197
Network Appliance Inc.+ 89,850 7,232,925
Sapient Corp.+ 17,300 1,850,019
Seagate Technology Inc.+ 67,076 3,689,180
Sun Microsystems Inc.+ 468,086 42,566,571
3Com Corp.+ 103,468 5,962,344
Unisys Corp.+ 91,975 1,339,386
Veritas Software Corp.+ 115,309 13,031,716
-------------
426,355,471
Cosmetics/Personal Care 1.49%
Alberto-Culver Co."B" 16,427 502,050
Avon Products Inc. 70,093 3,119,138
Colgate-Palmolive Co. 170,134 10,186,773
Gillette Co. 307,983 10,760,156
International Flavors & Fragrances Inc 30,348 916,130
Kimberly-Clark Corp. 163,941 9,406,115
Procter & Gamble Co. 385,931 22,094,550
-------------
56,984,912
Distribution/Wholesale 0.16%
Costco Wholesale Corp.+ 131,776 4,348,608
Genuine Parts Co. 52,188 1,043,760
Grainger (W.W.) Inc. 27,673 852,674
-------------
6,245,042
Diversified Financial Services 5.12%
American Express Co. 394,141 20,544,600
Associates First Capital Corp. 214,910 4,795,179
Bear Stearns Companies Inc. 32,599 1,356,933
Capital One Financial Corp. 57,740 2,576,648
Citigroup Inc. 995,704 59,991,166
Countrywide Credit Industries Inc. 33,474 1,014,681
Federal Home Loan Mortgage Corporation 205,111 8,306,995
Federal National Mortgage Association 297,183 15,509,238
Franklin Resources Inc. 71,881 2,183,385
Household International Inc. 139,616 5,802,790
Lehman Brothers Holdings Inc. 35,675 3,373,517
MBNA Corp. 236,525 6,415,741
Merrill Lynch & Co.Inc. 114,437 13,160,255
Morgan Stanley Dean Witter & Co. 333,984 27,804,168
Paine Webber Group Inc. 43,004 1,956,682
Price (T.Rowe) Associates 35,650 1,515,125
Providian Financial Corp. 42,059 3,785,310
Schwab (Charles) Corp. 401,777 13,509,752
SLM Holding Corp. 46,234 1,730,885
-------------
195,333,050
Electric 1.58%
AES Corp.+ 125,810 5,740,081
Ameren Corp. 40,466 1,365,727
American Electric Power Inc. 94,948 2,812,835
Cinergy Corp. 46,911 1,193,299
CMS Energy Corp. 32,343 715,589
Consolidated Edison Inc. 62,520 1,852,155
Constellation Energy Group Inc. 44,110 1,436,332
CP&L Energy Inc. 47,126 1,505,087
Dominion Resources Inc. 70,218 3,010,597
DTE Energy Co. 42,110 1,286,987
Duke Energy Corp. 108,456 6,114,207
Edison International 98,024 2,009,492
Entergy Corp. 67,882 1,845,542
FirstEnergy Corp. 68,161 1,593,263
Florida Progress Corp. 29,108 1,364,438
FPL Group Inc. 52,606 2,603,997
GPU Inc. 35,807 969,027
New Century Energies Inc. 34,343 1,030,290
Niagara Mohawk Holdings Inc.+ 50,880 709,140
Northern States Power Co. 46,395 936,599
PECO Energy Co. 50,048 2,017,560
PG&E Corp. 113,712 2,800,158
Pinnacle West Capital Corp. 25,000 846,875
PP&L Resources Inc. 42,577 934,033
Public Service Enterprise Group Inc. 63,813 2,209,525
Reliant Energy Inc. 87,234 2,578,855
Southern Co. 191,400 4,462,013
TXU Corporation 77,811 2,295,424
Unicom Corp. 52,448 2,029,082
------------
60,268,209
Electrical Components & Equipment 0.33%
American Power Conversion Corp.+ 57,200 2,334,475
Emerson Electric Co. 125,932 7,603,145
Molex Inc. 57,850 2,784,031
------------
12,721,651
Electronics 1.44%
Agilent Technologies Inc.+ 133,393 9,837,734
Analog Devices Inc.+ 104,380 7,932,880
Johnson Controls Inc. 25,308 1,298,617
Linear Technology Corp. 91,800 5,869,462
Maxim Integrated Products Inc.+ 83,400 5,665,987
Millipore Corp. 13,625 1,026,984
Parker Hannifin Corp. 33,031 1,131,312
PE Corp.(Biosystems Group) 61,422 4,046,174
PerkinElmer Inc. 14,448 955,374
Sanmina Corp.+ 43,750 3,740,625
Solectron Corp.+ 175,954 7,368,074
Tektronix Inc. 14,210 1,051,540
Teradyne Inc.+ 51,090 3,755,115
Thermo Electron Corp.+ 46,003 968,938
Thomas & Betts Corp. 17,143 327,860
------------
54,976,676
Engineering & Construction 0.02%
Fluor Corp. 22,558 713,407
------------
713,407
Entertainment 0.02%
Harrah's Entertainment Inc.+ 36,015 754,064
------------
754,064
Environmental Control 0.11%
Allied Waste Industries Inc.+ 55,715 557,150
Waste Management Inc. 183,268 3,482,092
------------
4,039,242
Food 1.86%
Albertson's Inc. 124,976 4,155,452
Archer-Daniels-Midland Co. 177,683 1,743,514
Bestfoods 80,962 5,606,618
Campbell Soup Co. 124,661 3,630,752
ConAgra Inc. 145,231 2,768,466
General Mills Inc. 86,036 3,290,877
Great Atlantic & Pacific Tea Co. 11,288 187,663
Heinz (H.J.) Co. 103,902 4,545,713
Hershey Foods Corp. 40,435 1,968,679
Kellogg Co. 119,649 3,559,558
Kroger Co.+ 246,360 5,435,318
Nabisco Group Holdings Corp."A" 96,363 2,499,415
Quaker Oats Co. 38,658 2,904,182
Ralston Purina Co. 90,546 1,805,261
Safeway Inc.+ 146,509 6,611,219
Sara Lee Corp. 256,527 4,954,178
Super Value Inc. 38,779 739,225
Sysco Corp. 98,312 4,141,393
Unilever NV 168,689 7,253,627
Winn-Dixie Stores Inc. 42,658 610,543
Wrigley William Jr.Co. 33,637 2,697,267
------------
71,108,920
10
<PAGE>
________________________________________________________________________________
Schedule of Investments (continued) June 30, 2000 (Unaudited)
Security Name Shares Value
--------------------------------------------------------------------------------
Forest Products & Paper 0.37%
Boise Cascade Corp. 16,843 $ 435,813
Fort James Corp. 60,728 1,404,335
Georgia-Pacific Corp. 50,289 1,320,086
International Paper Co. 142,526 4,249,056
Louisiana-Pacific Corp. 30,771 334,635
Mead Corp. 30,346 766,236
Potlatch Corp. 8,471 280,602
Temple-Inland Inc. 15,437 648,354
Westvaco Corp. 29,713 737,254
Weyerhaeuser Co. 68,695 2,953,885
Willamette Industries Inc. 32,672 890,312
-------------
14,020,568
Gas 0.07%
Eastern Enterprises 8,032 506,016
NICOR Inc. 13,745 448,431
ONEOK Inc. 8,584 222,648
Peoples Energy Corp. 10,459 338,610
Sempra Energy 60,279 1,024,743
-------------
2,540,448
Hand/Machine Tools 0.05%
Black & Decker Corp. 25,127 987,805
Snap-On Inc. 17,253 459,361
Stanley Works (The) 25,902 615,172
-------------
2,062,338
Health Care 2.54%
Allergan Inc. 38,250 2,849,625
Bard (C.R.) Inc. 14,878 716,004
Bausch & Lomb Inc. 15,621 1,208,675
Baxter International Inc. 85,621 6,020,227
Becton Dickinson & Co. 74,461 2,136,100
Biomet Inc. 34,868 1,340,239
Boston Scientific Corp.+ 120,321 2,639,542
Guidant Corp.+ 90,411 4,475,344
HCA - The Healthcare Company 164,536 4,997,781
Healthsouth Corp.+ 113,709 817,283
Humana Inc.+ 49,704 242,307
Johnson & Johnson 410,347 41,804,101
Mallinckrodt Group Inc. 19,824 861,105
Manor Care Inc.+ 30,186 211,302
Medtronic Inc. 353,156 17,591,583
St.Jude Medical Inc.+ 24,753 1,135,544
Tenet Healthcare Corp. 92,273 2,491,371
UnitedHealth Group Inc. 47,903 4,107,682
Wellpoint Health Networks Inc.+ 18,355 1,329,590
-------------
96,975,405
Holding Companies-Diversified 0.20%
Seagram Co.Ltd. 128,787 7,469,646
-------------
7,469,646
Home Builders 0.03%
Centex Corp. 17,515 411,602
Kaufman & Broad Home Corp. 14,179 280,921
Pulte Corp. 12,137 262,463
-------------
954,986
Home Furnishings 0.07%
Leggett & Platt Inc. 58,000 957,000
Maytag Corp. 23,111 852,218
Whirlpool Corp. 21,581 1,006,214
-------------
2,815,432
Household Products/Wares 0.24%
American Greetings Corp."A" 19,020 361,380
Avery Dennison Corp. 33,083 2,220,696
Clorox Co. 69,302 3,105,596
Fortune Brands Inc. 46,748 1,078,126
Newell Rubbermaid Inc. 78,590 2,023,693
Tupperware Corp. 17,021 374,462
-------------
9,163,953
Insurance 2.84%
Aetna Inc. 41,589 2,669,494
AFLAC Inc. 78,282 3,596,079
Allstate Corp. 219,699 4,888,303
American General Corp. 73,323 4,472,703
American International Group 454,825 53,441,938
AON Corp. 75,472 2,344,334
Chubb Corp. 51,669 3,177,643
CIGNA Corp. 48,077 4,495,199
Cincinnati Financial Corp. 47,444 1,491,521
Conseco Inc. 95,946 935,473
Hartford Financial Services Group Inc. 63,362 3,544,312
Jefferson-Pilot Corp. 30,464 1,719,312
Lincoln National Corp. 56,547 2,042,760
Loews Corp. 29,113 1,746,780
Marsh & McLennan Companies Inc. 79,585 8,311,659
MBIA Inc. 29,039 1,399,317
MGIC Investment Corp. 31,231 1,421,010
Progressive Corporation 21,575 1,596,550
SAFECO Corp. 37,622 747,737
St.Paul Companies Inc. 62,543 2,134,280
Torchmark Corp. 37,786 932,842
UNUMProvident Corp. 70,960 1,423,635
-------------
108,532,881
Iron/Steel 0.05%
Allegheny Technologies Inc. 24,570 442,260
Bethlehem Steel Corp.+ 39,001 138,941
Nucor Corp. 25,074 832,143
USX-U.S.Steel Group Inc. 26,033 483,238
-------------
1,896,582
Leisure Time 0.22%
Brunswick Corp. 25,932 429,499
Carnival Corp."A" 178,339 3,477,610
Harley-Davidson Inc. 89,600 3,449,600
Sabre Holdings Corp. 38,105 1,085,993
-------------
8,442,702
Lodging 0.09%
Hilton Hotels Corp. 108,662 1,018,706
Marriott International Inc. 70,733 2,550,809
-------------
3,569,515
Machinery 0.34%
Briggs & Stratton Corp. 6,622 226,803
Caterpillar Inc. 102,878 3,484,992
Cummins Engine Company Inc. 12,200 332,450
Deere & Co. 69,077 2,555,849
Dover Corp. 59,863 2,428,193
Ingersoll-Rand Co. 47,786 1,923,387
McDermott International Inc. 17,706 156,034
Rockwell International Corp. 55,445 1,746,517
-------------
12,854,225
Manufacturers 6.08%
Cooper Industries Inc. 27,520 896,120
Corning Inc. 81,353 21,955,141
Crane Co. 17,843 433,808
Danaher Corp. 41,806 2,066,784
Eastman Kodak Co. 91,441 5,440,740
Eaton Corp. 21,496 1,440,232
FMC Corp.+ 8,992 521,536
General Electric Co. 2,919,108 154,712,724
Illinois Tool Works Inc. 88,936 5,069,352
ITT Industries Inc. 25,973 788,930
Minnesota Mining & Manufacturing Co. 116,771 9,633,608
National Service Industries Inc. 11,998 233,961
Pall Corp. 36,449 674,307
Polaroid Corp. 13,220 238,786
PPG Industries Inc. 51,394 2,277,397
Textron Inc. 42,584 2,312,844
Tyco International Ltd. 498,078 23,596,445
-------------
232,292,715
11
<PAGE>
MASTER INVESTMENT PORTFOLIO - S&P 500 INDEX MASTER PORTFOLIO
-------------------------------------------------------------------------------
Schedule of Investments (continued) June 30, 2000 (Unaudited)
Security Name Shares Value
-------------------------------------------------------------------------------
Media 3.14%
Clear Channel Communications Inc.+ 100,045 $ 7,503,375
Comcast Corp."A"+ 264,908 10,728,774
Disney (Walt) Co. 613,024 23,792,994
Dow Jones & Co.Inc. 26,136 1,914,462
Gannett Co.Inc. 78,630 4,703,057
Harcourt General Inc. 21,181 1,151,717
Knight Ridder Inc. 22,948 1,220,547
McGraw-Hill Companies Inc. 57,345 3,096,630
Meredith Corp. 14,947 504,461
New York Times Co."A" 50,154 1,981,083
Time Warner Inc. 388,170 29,500,920
Tribune Co. 91,032 3,186,120
Viacom Inc."B"+ 449,923 30,679,125
-------------
119,963,265
Metal Fabricate/Hardware 0.02%
Timken Co. 17,951 334,337
Worthington Industries Inc. 25,390 266,595
-------------
600,932
Metals-Diversified 0.30%
Alcan Aluminium Ltd. 64,565 2,001,515
Alcoa Inc. 254,914 7,392,506
Freeport-McMoRan Copper & Gold Inc.+ 47,174 436,360
Inco Ltd.+ 53,637 824,669
Phelps Dodge Corp. 23,201 862,787
-------------
11,517,837
Mining 0.12%
Barrick Gold Corp. 116,748 2,123,354
Homestake Mining Company 76,835 528,241
Newmont Mining Corp. 49,505 1,070,546
Placer Dome Inc. 96,556 923,317
-------------
4,645,458
Office/Business Equipment 0.19%
Pitney Bowes Inc. 76,003 3,040,120
Xerox Corp. 196,566 4,078,745
-------------
7,118,865
Oil & Gas Producers 4.74%
Amerada Hess Corp. 26,691 1,648,169
Anadarko Petroleum Corp. 37,795 1,863,766
Apache Corp. 33,597 1,975,924
Burlington Resources Inc. 63,478 2,428,034
Chevron Corp. 192,401 16,318,010
Coastal Corp. 63,110 3,841,821
Conoco Inc. 184,185 4,524,044
Exxon Mobil Corp. 1,027,075 80,625,388
Kerr-McGee Corp. 27,824 1,639,877
Occidental Petroleum Corp. 108,734 2,290,210
Phillips Petroleum Co. 74,887 3,795,835
Rowan Companies Inc.+ 27,675 840,628
Royal Dutch Petroleum Co. 632,674 38,948,993
Sunoco Inc. 26,137 769,408
Texaco Inc. 162,900 8,674,425
Tosco Corp. 42,650 1,207,528
Transocean Sedco Forex Inc. 62,068 3,316,759
Union Pacific Resources Group 74,333 1,635,326
Unocal Corp. 71,663 2,373,837
USX-Marathon Group Inc. 91,977 2,305,174
-------------
181,023,156
Oil & Gas Services 0.57%
Baker Hughes Inc. 97,458 3,118,656
Halliburton Co. 131,018 6,182,412
Schlumberger Ltd. 167,942 12,532,672
-------------
21,833,740
Packaging & Containers 0.09%
Ball Corp. 8,780 282,606
Bemis Co. 15,708 528,182
Crown Cork & Seal Co.Inc. 37,841 567,615
Owens-Illinois Inc.+ 43,219 505,122
Pactiv Corp.+ 49,825 392,372
Sealed Air Corp.+ 24,657 1,291,410
-------------
3,567,307
Pharmaceuticals 8.02%
Abbott Laboratories 457,120 20,370,410
ALZA Corp.+ 30,289 1,790,837
American Home Products Corp. 384,853 22,610,114
Bristol-Myers Squibb Co. 581,988 33,900,801
Cardinal Health Inc. 81,252 6,012,648
Lilly (Eli) and Company 333,194 33,277,751
MedImmune Inc.+ 61,600 4,558,400
Merck & Co.Inc. 678,408 51,983,013
Pfizer Inc. 1,857,192 89,145,204
Pharmacia & Upjohn Inc. 374,555 19,359,812
Schering-Plough Corp. 431,964 21,814,182
Watson Pharmaceutical Inc.+ 28,471 1,530,316
-------------
306,353,488
Pipelines 0.64%
Columbia Energy Group 23,772 1,560,038
EL Paso Energy Corp. 68,257 3,476,841
Enron Corp. 215,970 13,930,065
Williams Companies Inc. 130,360 5,434,383
-------------
24,401,327
Retail 5.29%
AutoZone Inc.+ 39,456 868,023
Bed Bath & Beyond Inc.+ 41,400 1,500,750
Best Buy Co.Inc.+ 60,298 3,813,849
Circuit City Stores Inc. 59,963 1,990,022
Consolidated Stores Corp.+ 32,652 391,824
CVS Corp. 115,144 4,605,760
Darden Restaurants Inc. 36,480 592,800
Dillards Inc."A" 27,622 338,370
Dollar General Corp. 97,130 1,894,035
Federated Department Stores Inc.+ 63,117 2,130,199
Gap Inc. 251,098 7,846,813
Home Depot Inc. 682,641 34,089,385
Kmart Corp.+ 141,959 967,096
Kohls Corp.+ 96,218 5,352,126
Limited Inc. 126,776 2,741,531
Longs Drug Stores Inc. 11,654 253,475
Lowe's Companies Inc. 112,790 4,631,439
May Department Stores Co. 98,073 2,353,752
McDonald's Corp. 394,268 12,986,202
Nordstrom Inc. 39,715 958,124
Office Depot Inc.+ 93,299 583,119
Penney (J.C.) Company Inc. 76,999 1,419,669
RadioShack Corp. 55,075 2,609,178
Rite Aid Corp. 76,381 501,250
Sears,Roebuck and Co. 104,024 3,393,783
Staples Inc.+ 142,879 2,196,765
Starbucks Corp.+ 54,200 2,069,763
Target Corporation 134,574 7,805,292
Tiffany & Co. 21,400 1,444,500
TJX Companies Inc. 88,503 1,659,431
Toys R Us Inc.+ 63,825 929,452
Tricon Global Restaurants Inc.+ 43,482 1,228,367
Walgreen Co. 297,328 9,570,245
Wal-Mart Stores Inc. 1,315,010 75,777,451
Wendy's International Inc. 33,543 597,485
-------------
202,091,325
Semiconductors 6.15%
Advanced Micro Devices Inc.+ 45,227 3,493,786
Altera Corp.+ 58,700 5,983,731
Applied Materials Inc.+ 238,236 21,590,138
Conexant Systems Inc.+ 64,150 3,119,294
Intel Corp. 988,115 132,098,624
12
<PAGE>
-------------------------------------------------------------------------------
Schedule of Investments (continued) June 30, 2000 (Unaudited)
Security Name Shares Value
-------------------------------------------------------------------------------
KLA-Tencor Corp.+ 54,896 $ 3,214,847
LSI Logic Corp.+ 90,558 4,901,452
Micron Technology Inc.+ 163,751 14,420,343
National Semiconductor Corp.+ 52,131 2,958,434
Novellus Systems Inc.+ 38,500 2,177,656
Texas Instruments Inc. 482,776 33,160,677
Xilinx Inc.+ 94,800 7,826,925
--------------
234,945,907
Software 7.90%
Adobe Systems Inc. 35,326 4,592,380
America Online Inc.+ 677,842 35,756,166
Autodesk Inc. 17,182 596,001
Automatic Data Processing 185,107 9,914,794
BMC Software Inc.+ 72,084 2,629,942
Citrix Systems Inc.+ 54,640 1,034,745
Computer Associates International Inc. 173,596 8,885,945
Compuware Corp.+ 106,345 1,103,329
First Data Corp. 121,623 6,035,541
IMS Health Inc. 87,683 1,578,294
Mercury Interactive Corp.+ 23,500 2,273,625
Microsoft Corp.+ 1,552,674 124,213,920
Novell Inc.+ 97,214 899,230
Oracle Corp.+ 837,472 70,399,990
Parametric Technology Corp.+ 81,453 895,983
PeopleSoft Inc.+ 81,410 1,363,618
Siebel Systems Inc.+ 58,850 9,625,653
Yahoo! Inc.+ 160,330 19,860,879
--------------
301,660,035
Telecommunication Equipment 4.54%
ADC Telecommunications Inc.+ 99,502 8,345,723
Andrew Corp.+ 23,767 797,680
Comverse Technology Inc.+ 45,050 4,189,650
Lucent Technologies Inc. 960,833 56,929,355
Motorola Inc. 634,980 18,454,106
Nortel Networks Corp. 873,984 59,649,408
QUALCOMM Inc.+ 218,596 13,115,760
Scientific-Atlanta Inc. 46,946 3,497,477
Tellabs Inc.+ 120,813 8,268,140
--------------
173,247,299
Telecommunications 0.96%
Global Crossing Ltd.+ 260,199 6,846,486
Nextel Communications Inc."A"+ 223,764 13,691,560
Sprint Corp. (PCS Group)+ 270,013 16,065,774
--------------
36,603,820
Telephone 5.62%
ALLTEL Corp. 93,034 5,762,293
AT&T Corp. 1,107,175 35,014,417
Bell Atlantic Corp. 456,085 23,174,819
BellSouth Corp. 555,119 23,661,947
CenturyTel Inc. 41,419 1,190,796
GTE Corp. 284,015 17,679,934
SBC Communications Inc. 1,003,688 43,409,506
Sprint Corp.(FON Group) 258,680 13,192,680
US West Communications Inc. 149,780 12,843,635
WorldCom Inc.+ 844,758 38,753,273
--------------
214,683,300
Textiles 0.00%
Springs Industries Inc."A" 5,242 168,727
--------------
168,727
Tobacco 0.49%
Philip Morris Companies Inc. 674,720 17,922,250
UST Inc. 47,906 703,619
--------------
18,625,869
Toys/Games/Hobbies 0.06%
Hasbro Inc. 50,812 765,356
Mattel Inc. 125,622 1,656,640
--------------
2,421,996
Transportation 0.39%
Burlington Northern Santa Fe Corp. 126,334 2,897,786
CSX Corp. 64,427 1,365,047
FedEx Corp.+ 85,557 3,251,166
Kansas City Southern Industries Inc. 32,841 2,912,586
Norfolk Southern Corp. 113,050 1,681,619
Union Pacific Corp. 73,080 2,717,663
--------------
14,825,867
Trucking & Leasing 0.01%
Ryder System Inc. 17,510 331,596
--------------
331,596
-------------------------------------------------------------------------
Total Common Stocks (Cost: $2,696,343,153) 3,686,190,751
-------------------------------------------------------------------------
Security Principal Value
---------------------------------------------------------------------------
Short Term Instruments 2.71%
Federal Home Loan Mortgage Corporation
Discount Note, 6.42%, 07/05/00++ 18,395,703 18,395,703
Goldman Sachs Financial Square Prime
Obligation Fund 6.57%, 07/03/00++ 56,944,870 56,944,870
Short Term Investment Company
Liquid Assets Portfolio 6.67%, 07/03/00++ 20,300,000 20,300,000
U.S.Treasury Bills
5.47%, 09/21/00+++ * 8,150,000 8,047,310
---------------------------------------------------------------------------
Total Short Term Instruments (Cost: $103,688,397) 103,687,883
---------------------------------------------------------------------------
Security Principal Value
---------------------------------------------------------------------------
Repurchase Agreements 3.09%
Morgan Stanley Tri Party Repurchase
Agreement, dated 06/30/00, due 07/03/00,
with a maturity value of $118,102,909
and an effective yield of 6.30% 118,040,937 118,040,937
---------------------------------------------------------------------------
Total Repurchase Agreements (Cost: $118,040,937) 118,040,937
---------------------------------------------------------------------------
---------------------------------------------------------------------------
Total Investments in Securities
(Cost $2,918,072,487) 102.33% 3,907,919,571
Other Assets,Less Liabilities (2.33%) (89,114,415)
---------------------------------------------------------------------------
Net Assets 100.00% $3,818,805,156
===========================================================================
+ 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 Portfolio's holdings of S&P 500 Index futures contracts.
See Note 1.
* Yield to Maturity.
The accompanying notes are an integral part of these financial statements. 13
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
-------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
ASSETS
Investments at market value (Cost: $2,918,072,487) (Note 1) $3,907,919,571
Receivables:
Investment securities sold 7,197,840
Dividends and interest 3,288,834
Due from broker - variation margin 1,029,524
Prepaid expenses 236
--------------
Total Assets 3,919,436,005
--------------
LIABILITIES
Payables:
Investment securities purchased 4,249,206
Collateral for securities loaned (Note 4) 95,640,573
Due to Bank 2,314
Due to BGI (Note 2) 738,756
--------------
Total Liabilities 100,630,849
--------------
NET ASSETS $3,818,805,156
==============
The accompanying notes are an integral part of these financial statements.
14 See Notes to Financial Statements.
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
NET INVESTMENT INCOME
Dividends (net of foreign withholding tax of $122,278) $ 24,183,203
Interest (includes securities lending income of $90,107) 3,984,961
-------------
Total Investment Income 28,168,164
-------------
EXPENSES (NOTE 2)
Advisory fees 1,091,905
-------------
Total Expenses 1,091,905
-------------
NET INVESTMENT INCOME 27,076,259
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on sale of investments 650,038,851
Net realized gain on sale of futures contracts 2,644,903
Net change in unrealized appreciation (depreciation) of investments (701,744,471)
Net change in unrealized appreciation (depreciation) of futures contracts (12,365,227)
-------------
Net loss on investments (61,425,944)
-------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ($ 34,349,685)
=============
</TABLE>
The accompanying notes are an integral part of these financial statements.
See Notes to Financial Statements. 15
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended
June 30, 2000 Period Ended Year Ended
(Unaudited) December 31, 1999* February 28, 1999
---------------- ----------------- -----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 27,076,259 $ 52,303,458 $ 43,674,276
Net realized gain 652,683,754 170,279,517 181,973,840
Net change in unrealized appreciation (depreciation) (714,109,698) 562,095,831 250,798,350
--------------- -------------- --------------
Net increase (decrease) in net assets resulting from operations (34,349,685) 784,678,806 476,446,466
Interestholder transactions:
Contributions 1,043,786,832 355,753,442 2,288,411,987
Withdrawals (2,018,157,017) -- (1,431,828,889)
--------------- -------------- --------------
Net increase (decrease) in net assets resulting from interest
holder transactions (974,370,185) 355,753,442 856,583,098
--------------- -------------- --------------
Increase (decrease) in net assets (1,008,719,870) 1,140,432,248 1,333,029,564
NET ASSETS:
Beginning of period 4,827,525,026 3,687,092,778 2,354,063,214
--------------- -------------- --------------
End of period $ 3,818,805,156 $4,827,525,026 $3,687,092,778
=============== ============== ==============
</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.
16 See Notes to Financial Statements.
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS
June 30, 2000 (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 March 1, 1994. MIP currently
issues the following separate portfolios: Asset Allocation, Bond Index,
Extended Index, International Index, LifePath Income, LifePath 2010,
LifePath 2020, LifePath 2030, LifePath 2040, Money Market, S&P 500 Index
and U.S. Equity Index Master Portfolios.
These financial statements relate to the S&P 500 Index Master Portfolio
(the "Master Portfolio").
The following is a summary of significant accounting policies which are
consistently followed by the MIP in the preparation of its financial
statements,and which 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 the Master Portfolio
are valued at the last reported sales 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. Original issue discount and discount on
securities purchased are accreted as interest income using a constant
yield to maturity method. Premiums on securities purchased are
amortized as a reduction in interest income using a constant yield to
maturity method.
Federal Income Taxes -- MIP believes that the Master Portfolio has and
will continue to be operated in a manner so as to qualify it as a
partnership for federal income tax purposes. Provided that the Master
Portfolio so qualifies, it will not be subject to any federal income
tax on its income and gain (if any). However, each investor in the
Master Portfolio will be taxable on its distributive share of the
Master Portfolio's taxable income in determining its federal income
tax liability. As a partnership for federal income tax purposes, the
Master Portfolio will be deemed to have "passed through" to
interestholders any interest, dividends, gains or losses for such
purposes. The determination of such share will be made in accordance
with the Internal Revenue Code of 1986, as amended (the "Code"),and
regulations promulgated thereunder.
It is intended that the Master Portfolio's assets, income and
distributions will be managed in such a way that an entity electing
and qualifying as a "regulated investment company" under the Code can
continue to so qualify by investing substantially all of its assets
through the Master Portfolio,provided that the regulated investment
company meets other requirements for such qualification not within the
control of the Master Portfolio (e.g., distributing at least 90% of
the regulated investment company's "investment company taxable
income"annually).
Futures Contracts -- The 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 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 securities or high quality, liquid debt instruments in
connection with long 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.
17
<PAGE>
S&P 500 INDEX MASTER PORTFOLIO
--------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (continued)
June 30, 2000 (Unaudited)
As of June 30, 2000 the Master Portfolio had the following open long
futures contracts outstanding:
<TABLE>
<CAPTION>
Expiration Notional Net Unrealized
Number of Contracts Type Date Contract Value Depreciation
------------------- ------------- ---------- -------------- --------------
<S> <C> <C> <C> <C>
346 S&P 500 Index 09/15/00 $126,990,650 ($2,492,652)
</TABLE>
The Master Portfolio has pledged to brokers U.S. Treasury Bills for
initial margin requirements with a par value of $8,150,000.
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 Schedule 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 the repurchase price.
The repurchase agreement entered into on June 30,2000 by the Master
Portfolio is fully collateralized by U.S. Government obligations with
rates from 4.875% to 5.75%, maturity dates of 11/15/00 to 3/31/01 and
an aggregate market value of $120,411,574.
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 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 sponsor and placement agent for the
Master Portfolio.
The MIP has entered into administration services arrangements with BGI and
Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Master Portfolio, such as managing and
coordinating third-party service relationships. BGI and Stephens are not
entitled to compensation for providing administration services to the
Master Portfolio. BGI and Stephens may delegate certain of their
administration duties to sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of
June 30,2000,these officers of Stephens collectively owned less than 1% of
the Master Portfolio's outstanding beneficial interests.
3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
the Master Portfolio for the six months ended June 30, 2000, were as
follows:
U.S.GOVERNMENT OBLIGATIONS:
Purchases at cost $ --
Sales proceeds --
OTHER SECURITIES:
Purchases at cost $ 166,532,696
Sales proceeds 1,076,048,259
At June 30,2000 the Master Portfolio's aggregate unrealized appreciation and
depreciation based on cost for federal income tax purposes were as follows:
Tax Unrealized Unrealized Net Unrealized
Cost Appreciation Depreciation Appreciation
-------------- -------------- -------------- --------------
$2,918,072,487 $1,241,324,604 ($251,477,520) $989,847,084
18
<PAGE>
--------------------------------------------------------------------------------
4. Portfolio Securities Loaned
As of June 30,2000,the Master Portfolio had loaned securities which were
collateralized by U.S. Government agency obligations 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
Master 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 at June 30, 2000 was $92,268,933
and the value of the related collateral was $95,640,573.
5. Financial Highlights
The ratios of expenses to average net assets, net investment income to
average net assets and portfolio turnover rates, excluding short-term
securities, for the Master Portfolio were as follows:
<TABLE>
<CAPTION>
For the Six For the For the
Months Ended Period Ended Year Ended
June 30, 2000 December 31, February 28,
(Unaudited) 1999* 1999
------------- ------------ ------------
<S> <C> <C> <C>
Ratio of expenses to average net assets+ 0.05% 0.05% 0.05%
Ratio of net investment income to average net assets+ 1.24% 1.44% 1.61%
Portfolio turnover rate 4% 7% 11%
</TABLE>
*For the ten months ended December 31, 1999. The Master Portfolio changed its
fiscal year-end from February 28 to December 31.
+Annualized for the period of less than one year.
19
<PAGE>
NOTES
--------------------------------------------------------------------------------
20
<PAGE>
Directors
Richard S. Strong
Willie D. Davis
Stanley Kritzik
Neal Malicky
Marvin E. Nevins
William F. Vogt
Officers
Richard S. Strong, Chairman of the Board
Stephen J. Shenkenberg, Vice President and Secretary
Elizabeth N. Cohernour, Vice President
Cathleen A. Ebacher, Vice President
Dennis A. Wallestad, Vice President
Thomas M. Zoeller, 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 at1-800-368-1030, 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.
RT5620-0800
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
STRONG INVESTMENTS
[LOGO HERE] P.O.Box 2936
Milwaukee,Wisconsin 53201
