UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07885
Name of Fund: Master Enhanced S&P 500 Series of Quantitative Master Series Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, Master Enhanced S&P 500 Series of Quantitative Master Series
Trust, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address:
P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/04
Date of reporting period: 01/01/04 - 12/31/04
Item 1 - Report to Stockholders
Enhanced S&P 500 Series
Annual Report, December 31, 2004
Market and Economic Environment
Despite some suspense along the way, 2004 proved to be a positive year for U.S.
equity markets. The benchmark Standard & Poor's (S&P) 500 Index returned +10.88%
for the 12 months ended December 31, 2004. The first and second quarters of 2004
brought about slight gains, with the S&P 500 Index returning +1.69% and +1.72%,
respectively. The Index slid in the third quarter, returning -1.87%, but
experienced a strong bounce back in the fourth quarter, returning +9.23%.
Economic news was mixed for much of the first three quarters of 2004 before
turning generally positive in the fourth quarter. The first quarter was impacted
positively by good productivity and gross domestic product (GDP) numbers, but
set back by the railroad bombing in Madrid, Spain, which caused market
volatility to increase substantially. Renewed fears of terrorist attacks cast
the long shadow of geopolitical unrest on equity markets around the world
heading into the second quarter. The aura of uncertainty was exacerbated by such
factors as persistent violence in Iraq, record-high oil prices and mixed, though
slowly improving, U.S. economic data. As the second quarter drew to a close, the
drumbeat of presidential election drama gradually swelled in the United States.
In the third quarter, the course of economic news began to slowly point toward a
strengthening economy. But despite better-than-expected corporate earnings and
Federal Reserve (Fed) Chairman Alan Greenspan's congressional testimony that his
1
outlook on economic growth remained constructive, a number of challenges
hampered the U.S. equity market in the third quarter. Election buildup, a
shifting Fed policy and higher oil prices fanned the flames of fear that the
U.S. economy would slow.
The fourth quarter, however, proved to be the break-out that investors were
looking for in the U.S. equity markets. Negative October news segued into
positive November and December news. As a result of moderating oil prices,
unwinding of the election uncertainty, reasonably good economic and earnings
news, and the beginning of the seasonally strong year-end period, the market
experienced a positive post-election bounce. As expected, the Fed continued to
raise the federal funds rate throughout the year, more than doubling it from 1%
to 2.25% by December 31, 2004.
Small-capitalization and mid-capitalization stocks generally outperformed their
large-capitalization counterparts, with the S&P SmallCap 600 Index returning
+22.65%, the S&P MidCap 400 Index returning +16.48% and the S&P 500 Index of
large-cap stocks returning +10.88%.
Portfolio Matters
For the 12-month period ended December 31, 2004, the Enhanced S&P 500 Series
returned +11.51 (net return, master level), outperforming the +10.88% return of
the benchmark S&P 500 Index. Performance benefited primarily from our stock
selection strategies, while stock substitution strategies added to performance
as well.
2
Stock Selection
The goal of our stock selection process is to use quantitative screens to
determine if a stock might outperform or underperform the market. Each security
is analyzed using quantitative screens designed to capture various factors and
to provide signals that inform our investment decisions. These signals might
include, but are not limited to, earnings quality, valuations, earnings
surprise, equity issuance, short interest and price momentum.
The stock selection process was slightly negative in the first quarter. Positive
contributions came from the value and small cap signals, while the low price
signal negatively impacted performance.
Stock selection was positive for the remaining three quarters. In the second
quarter, earnings estimate revisions and value signals both contributed to
performance, while momentum was a slight detractor. Initial public offerings
(IPOs), secondary equity offerings, and short interest also were additive stock
selection strategies. In the third quarter, the value signal contributed most to
performance, and price momentum also was positive. The largest detractors during
the third quarter were the earnings surprise and equity issuance signals. The
short interest signal also had a slightly negative impact.
Again, the value signal contributed most to performance in the fourth quarter,
while the earnings surprise, earnings quality, price momentum and low price
signals also were positive. The largest negative contribution in the fourth
3
quarter came from the equity issuance signal, while the short interest signal
also was negative.
Stock Substitution
We apply stock substitution opportunistically as a value-added trading strategy.
The goal is to try to take advantage of temporary strength in a security that
might occur due to a corporate acquisition, corporate restructuring or index
composition change. We also might employ convertible bond substitution when
opportunities exist, taking a position in a convertible security as a cheaper
alternative to a company's stock.
The stock substitution process was slightly positive for the first quarter.
Index changes were approximately flat, with trades related to the Morgan Stanley
Capital International (MSCI) index rebalance and U.S. Bancorp's spin-off of
Piper Jaffery being among the more notable contributions. Merger arbitrage
activity increased significantly and several new deals were initiated, including
the Fleet Bank Boston/Bank of America merger and JPMorgan's acquisition of
BancOne. Additionally, the merger of Concord and First Data Corp. closed in
February.
Stock substitution was positive for the second quarter. Of particular note was
the rebalancing of the MSCI indexes. Due to the overlap between the MSCI North
America Index and the S&P 500 Index, our successful management of these index
changes contributed to the portfolio's return. Merger-and-acquisition (M&A)
activity increased, and the portfolio benefited from the AT&T Wireless/Cingular
and the CIMA/Cephalon mergers.
4
Stock substitution was down slightly in the third quarter. A positive
contribution from our structural index change strategies was negated by
underperformance in mergers and convertibles. Several of our merger deals
widened out considerably due to changes in deal terms.
Finally, our stock substitution process was positive for the fourth quarter.
Contributions to performance came from our structural index change strategies,
highlighted by the Freescale spin-off from Motorola and the Limited and
Progressive Dutch auctions. We also saw many M&A deals close in the fourth
quarter, with cash deals adding the most to performance. Finally, several new
large transactions were announced, such as Sprint/Nextel and Johnson &
Johnson/Guidant.
Year-End Strategy
In October, we introduced an earnings quality signal in the portfolio. We also
removed the price momentum signal at the completion of the tax-loss selling by
mutual funds. In December, we removed the earnings surprise signal and
established turn-of-the-year positions via reverse momentum, low price and small
cap signals.
5
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004
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Industry* Shares Held Common Stocks Value
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Aerospace & Defense - 1.7% 25,300 Boeing Co. $ 1,309,781
26,400 Honeywell International, Inc. 934,824
14,000 Lockheed Martin Corp. 777,700
10,400 Northrop Grumman Corp. 565,344
15,000 Raytheon Co. 582,450
4,500 Rockwell Collins, Inc. 177,480
13,600 United Technologies Corp. 1,405,560
-------------
5,753,139
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Air Freight & Logistics - 0.9% 8,500 FedEx Corp. 837,165
400 Ryder System, Inc. 19,108
25,500 United Parcel Service, Inc. 2,179,230
-------------
3,035,503
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Airlines - 0.1% 3,500 + Delta Air Lines, Inc. 26,180
17,700 Southwest Airlines Co. 288,156
-------------
314,336
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Auto Components - 0.4% 2,100 Cooper Tire & Rubber Co. 45,255
27,300 Dana Corp. 473,109
7,600 Delphi Corp. 68,552
23,900 + The Goodyear Tire & Rubber Co. 350,374
5,400 Johnson Controls, Inc. 342,576
3,600 Visteon Corp. 35,172
-------------
1,315,038
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Automobiles - 0.5% 96,600 Ford Motor Co. 1,414,224
7,500 Harley-Davidson, Inc. 455,625
-------------
1,869,849
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Beverages - 1.7% 18,300 Anheuser-Busch Cos., Inc. 928,359
2,700 Brown-Forman Corp. Class B 131,436
68,100 The Coca-Cola Co. 2,835,003
15,800 Coca-Cola Enterprises, Inc. 329,430
4,100 Pepsi Bottling Group, Inc. 110,864
31,510 PepsiCo, Inc. 1,644,822
-------------
5,979,914
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Biotechnology - 1.1% 35,780 + Amgen, Inc. 2,295,287
2,800 Applera Corp. - Applied Biosystems Group 58,548
8,610 + Biogen Idec, Inc. 573,512
3,600 + Chiron Corp. 119,988
3,284 + Genzyme Corp. 190,702
13,768 + Gilead Sciences, Inc. 481,742
8,900 + Medimmune, Inc. 241,279
-------------
3,961,058
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Building Products - 0.4% 6,000 + American Standard Cos., Inc. 247,920
30,000 Masco Corp. 1,095,900
-------------
1,343,820
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Capital Markets - 2.5% 19,200 The Bank of New York Co., Inc. 641,664
83,600 The Charles Schwab Corp. 999,856
40,400 + E*Trade Financial Corp. 603,980
200 Federated Investors, Inc. Class B 6,080
7,100 Franklin Resources, Inc. 494,515
8,900 Goldman Sachs Group, Inc. 925,956
10,700 Janus Capital Group, Inc. 179,867
9,949 Lehman Brothers Holdings, Inc. 870,339
35,800 Mellon Financial Corp. 1,113,738
1,400 Merrill Lynch & Co., Inc. (b) 83,678
34,600 Morgan Stanley 1,920,992
9,500 Northern Trust Corp. 461,510
3,800 T. Rowe Price Group, Inc. 236,360
3 UBS AG Registered 252
-------------
8,538,787
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Chemicals - 1.3% 5,500 Air Products & Chemicals, Inc. 318,835
26,594 The Dow Chemical Co. 1,316,669
26,400 EI Du Pont de Nemours & Co. 1,294,920
600 Eastman Chemical Co. 34,638
4,700 Ecolab, Inc. 165,111
3,200 + Hercules, Inc. 47,520
700 International Flavors & Fragrances, Inc. 29,988
8,400 Monsanto Co. 466,620
3,500 PPG Industries, Inc. 238,560
7,200 Praxair, Inc. 317,880
4,400 Rohm & Haas Co. 194,612
3,400 Sigma-Aldrich Corp. 205,564
-------------
4,630,917
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6
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004 (continued)
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Industry* Shares Held Common Stocks Value
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Commercial Banks - 5.1% 8,500 AmSouth Bancorp $ 220,150
13,525 BB&T Corp. 568,726
115,722 Bank of America Corp. 5,437,777
6,300 Comerica, Inc. 384,426
1,618 Compass Bancshares, Inc. 78,748
14,334 Fifth Third Bancorp 677,711
1,400 First Horizon National Corp. 60,354
5,048 Huntington Bancshares, Inc. 125,089
10,600 Keycorp 359,340
5,100 Marshall & Ilsley Corp. 225,420
38,900 National City Corp. 1,460,695
10,366 North Fork Bancorporation, Inc. 299,059
5,695 PNC Financial Services Group, Inc. 327,121
10,595 Regions Financial Corp. 377,076
5,833 Riggs National Corp. 124,010
8,700 Synovus Financial Corp. 248,646
47,754 US Bancorp 1,495,655
1,183 Unizan Financial Corp. 31,172
44,888 Wachovia Corp. 2,361,109
46,055 Wells Fargo & Co. 2,862,318
1,200 Zions Bancorporation 81,636
-------------
17,806,238
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Commercial Services & Supplies - 1.3% 57,400 + Allied Waste Industries, Inc. 532,672
1,800 Avery Dennison Corp. 107,946
54,400 Cendant Corp. 1,271,872
4,000 Cintas Corp. 175,440
3,800 Equifax, Inc. 106,780
18,200 H&R Block, Inc. 891,800
9,900 + Ionics, Inc. 429,066
4,500 Pitney Bowes, Inc. 208,260
7,391 RR Donnelley & Sons Co. 260,828
2,600 Robert Half International, Inc. 76,518
13,800 Waste Management, Inc. 413,172
-------------
4,474,354
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Communications Equipment - 2.3% 22,700 + ADC Telecommunications, Inc. 60,836
4,500 + Andrew Corp. 61,335
16,000 + Ciena Corp. 53,440
166,300 + Cisco Systems, Inc. 3,209,590
3,400 + Comverse Technology, Inc. 83,130
76,700 + Corning, Inc. 902,759
181,800 + JDS Uniphase Corp. 576,306
237,900 + Lucent Technologies, Inc. 894,504
30,103 Motorola, Inc. 517,772
30,200 + Qualcomm, Inc. 1,280,480
4,400 Scientific-Atlanta, Inc. 145,244
11,705 + Tellabs, Inc. 100,546
-------------
7,885,942
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Computers & Peripherals - 4.1% 10,500 + Apple Computer, Inc. 676,200
71,700 + Dell, Inc. 3,021,438
99,908 + EMC Corp. 1,485,632
10,500 + Gateway, Inc. 63,105
88,410 Hewlett-Packard Co. 1,853,958
45,500 International Business Machines Corp. 4,485,390
2,900 + Lexmark International, Inc. Class A 246,500
1,700 + NCR Corp. 117,691
1,100 + QLogic Corp. 40,403
24,700 State Street Corp. 1,213,264
178,300 + Sun Microsystems, Inc. 959,254
-------------
14,162,835
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Construction Materials - 0.0% 1,200 Vulcan Materials Co. 65,532
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Consumer Finance - 1.2% 35,400 American Express Co. 1,995,498
39,000 MBNA Corp. 1,099,410
35,400 + Providian Financial Corp. 583,038
10,900 SLM Corp. 581,951
-------------
4,259,897
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Containers & Packaging - 0.1% 4,900 Ball Corp. 215,502
900 + Pactiv Corp. 22,761
2,700 + Sealed Air Corp. 143,829
-------------
382,092
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Distributors - 0.1% 3,800 Genuine Parts Co. 167,428
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7
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004 (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Industry* Shares Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 3.4% 5,400 CIT Group, Inc. $ 247,428
146,213 Citigroup, Inc. 7,044,542
100,363 JPMorgan Chase & Co. 3,915,161
1,282 Onyx Acceptance Corp. 35,845
2,300 Principal Financial Group 94,162
4,900 SPDR Trust Series 1 (c) 592,263
-------------
11,929,401
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Diversified Telecommunication 19,100 AT&T Corp. 364,046
Services - 3.0% 19,600 Alltel Corp. 1,151,696
54,200 BellSouth Corp. 1,506,218
14,800 CenturyTel, Inc. 524,956
5,200 Citizens Communications Co. 71,708
51,200 + Qwest Communications International 227,328
93,400 SBC Communications, Inc. 2,406,918
39,900 Sprint Corp. 991,515
78,000 Verizon Communications, Inc. 3,159,780
-------------
10,404,165
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Electric Utilities - 1.9% 5,500 Ameren Corp. 275,770
8,700 American Electric Power Co., Inc. 298,758
8,600 Centerpoint Energy, Inc. 97,180
3,000 Cinergy Corp. 124,890
7,300 Consolidated Edison, Inc. 319,375
4,900 DTE Energy Co. 211,337
6,600 Edison International 211,398
6,400 Entergy Corp. 432,576
20,724 Exelon Corp. 913,307
12,200 FPL Group, Inc. 911,950
9,664 FirstEnergy Corp. 381,825
13,300 + PG&E Corp. 442,624
3,700 PPL Corp. 197,136
600 Pinnacle West Capital Corp. 26,646
7,000 Progress Energy, Inc. 316,680
21,100 The Southern Co. 707,272
5,600 TECO Energy, Inc. 85,904
5,700 TXU Corp. 367,992
2,908 Unisource Energy Corp. 70,112
6,500 Xcel Energy, Inc. 118,300
-------------
6,511,032
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Electrical Equipment - 0.3% 2,800 American Power Conversion Corp. 59,920
1,900 Cooper Industries Ltd. Class A 128,991
11,300 Emerson Electric Co. 792,130
2,300 + Power-One, Inc. 20,516
3,700 Rockwell Automation, Inc. 183,335
-------------
1,184,892
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Electronic Equipment & Instruments 13,600 + Agilent Technologies, Inc. 327,760
- - 0.4% 54,300 + Sanmina-SCI Corp. 459,921
18,600 + Solectron Corp. 99,138
34,600 Symbol Technologies, Inc. 598,580
800 Tektronix, Inc. 24,168
-------------
1,509,567
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Energy Equipment & Services - 0.7% 6,900 BJ Services Co. 321,126
7,500 Baker Hughes, Inc. 320,025
28,800 Halliburton Co. 1,130,112
2,500 + Nabors Industries Ltd. 128,225
2,000 + Noble Corp. 99,480
11,000 + Transocean, Inc. 466,290
-------------
2,465,258
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Food & Staples Retailing - 3.0% 12,700 CVS Corp. 572,389
14,600 Costco Wholesale Corp. 706,786
16,900 + The Kroger Co. 296,426
41,000 + Safeway, Inc. 809,340
3,800 Supervalu, Inc. 131,176
38,100 Sysco Corp. 1,454,277
119,200 Wal-Mart Stores, Inc. 6,296,144
4,100 Walgreen Co. 157,317
-------------
10,423,855
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Food Products - 1.5% 21,700 Archer-Daniels-Midland Co. 484,127
14,600 Campbell Soup Co. 436,394
11,600 ConAgra Foods, Inc. 341,620
8,800 General Mills, Inc. 437,448
8
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004 (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Industry* Shares Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Food Products (concluded) 12,100 HJ Heinz Co. $ 471,779
8,500 Hershey Foods Corp. 472,090
13,500 Kellogg Co. 602,910
3,900 McCormick & Co., Inc. 150,540
52,600 Sara Lee Corp. 1,269,764
7,600 WM Wrigley Jr Co. 525,844
-------------
5,192,516
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Gas Utilities - 0.1% 4,500 KeySpan Corp. 177,525
3,615 NiSource, Inc. 82,350
1,200 Nicor, Inc. 44,328
1,100 Peoples Energy Corp. 48,345
-------------
352,548
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Health Care Equipment & Supplies 500 Bausch & Lomb, Inc. 32,230
- - 2.6% 15,200 Baxter International, Inc. 525,008
8,500 Becton Dickinson & Co. 482,800
7,100 Biomet, Inc. 308,069
22,400 + Boston Scientific Corp. 796,320
4,100 CR Bard, Inc. 262,318
35,979 + Endocardial Solutions, Inc. 420,954
9,000 Guidant Corp. 648,900
4,400 + Hospira, Inc. 147,400
32,400 Medtronic, Inc. 1,609,308
12,000 + Millipore Corp. 597,720
23,700 PerkinElmer, Inc. 533,013
11,957 + Sola International, Inc. 329,296
23,300 + St. Jude Medical, Inc. 976,969
12,800 Stryker Corp. 617,600
2,300 + Thermo Electron Corp. 69,437
2,100 + Waters Corp. 98,259
6,900 + Zimmer Holdings, Inc. 552,828
-------------
9,008,429
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Health Care Providers & Services 4,700 Aetna, Inc. New Shares 586,325
- - 2.5% 10,100 AmerisourceBergen Corp. 592,668
19,955 Cardinal Health, Inc. 1,160,383
24,809 + Caremark Rx, Inc. 978,219
4,700 Cigna Corp. 383,379
9,600 HCA, Inc. 383,616
3,800 Health Management Associates, Inc. Class A 86,336
14,400 + Humana, Inc. 427,536
6,593 IMS Health, Inc. 153,024
600 + Laboratory Corp. of America Holdings 29,892
600 Manor Care, Inc. 21,258
18,000 McKesson Corp. 566,280
6,214 + Medco Health Solutions, Inc. 258,502
3,500 Quest Diagnostics 334,425
59,208 Select Medical Corp. 1,042,061
13,100 + Tenet Healthcare Corp. 143,838
7,956 UnitedHealth Group, Inc. 700,367
8,400 + WellPoint, Inc. 966,000
-------------
8,814,109
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Hotels, Restaurants & Leisure - 1.8% 12,700 + Argosy Gaming Co. 593,090
11,595 + Caesars Entertainment, Inc. 233,523
19,427 Carnival Corp. 1,119,578
1,700 Darden Restaurants, Inc. 47,158
700 Harrah's Entertainment, Inc. 46,823
9,100 Hilton Hotels Corp. 206,934
8,200 International Game Technology 281,916
12,600 Mandalay Resort Group 887,418
7,700 Marriott International, Inc. Class A 484,946
25,400 McDonald's Corp. 814,324
10,000 + Starbucks Corp. 623,600
4,400 Starwood Hotels & Resorts Worldwide, Inc. 256,960
3,200 Wendy's International, Inc. 125,632
7,200 Yum! Brands, Inc. 339,696
-------------
6,061,598
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Household Durables - 0.3% 3,100 Black & Decker Corp. 273,823
3,500 Centex Corp. 208,530
3,600 Leggett & Platt, Inc. 102,348
2,200 Maytag Corp. 46,420
9
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004 (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Industry* Shares Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Household Durables (concluded) 4,200 Newell Rubbermaid, Inc. $ 101,598
2,700 Pulte Homes, Inc. 172,260
1,600 Snap-On, Inc. 54,976
500 The Stanley Works 24,495
1,900 Whirlpool Corp. 131,499
-------------
1,115,949
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Household Products - 1.6% 2,800 Clorox Co. 165,004
13,300 Colgate-Palmolive Co. 680,428
13,900 Kimberly-Clark Corp. 914,759
71,400 Procter & Gamble Co. 3,932,712
-------------
5,692,903
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IT Services - 1.2% 14,900 Automatic Data Processing, Inc. 660,815
6 + Cognizant Technology Solutions Corp. 254
14,700 + Computer Sciences Corp. 828,639
4,000 + Convergys Corp. 59,960
12,000 Electronic Data Systems Corp. 277,200
25,255 First Data Corp. 1,074,348
6,450 + Fiserv, Inc. 259,225
12,988 + Meta Group, Inc. 127,282
8,600 Paychex, Inc. 293,088
1,300 Sabre Holdings Corp. Class A 28,808
10,300 + Sungard Data Systems, Inc. 291,799
9,400 + Unisys Corp. 95,692
-------------
3,997,110
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Industrial Conglomerates - 3.9% 8,200 3M Co. 672,974
297,800 General Electric Co. 10,869,700
5,000 Textron, Inc. 369,000
48,642 Tyco International Ltd. 1,738,465
-------------
13,650,139
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Insurance - 4.2% 17,800 ACE Ltd. 760,950
15,100 Aflac, Inc. 601,584
21,100 The Allstate Corp. 1,091,292
73,375 American International Group, Inc. 4,818,536
4,200 Chubb Corp. 322,980
2,745 Cincinnati Financial Corp. 121,494
19,200 Hartford Financial Services Group, Inc. 1,330,752
3,100 Jefferson-Pilot Corp. 161,076
15,500 Lincoln National Corp. 723,540
5,400 MBIA, Inc. 341,712
42 Manulife Financial Corp. 1,940
13,200 Marsh & McLennan Cos., Inc. 434,280
19,000 Metlife, Inc. 769,690
14,400 Prudential Financial, Inc. 791,424
38,829 The St. Paul Travelers Cos., Inc. 1,439,391
3,100 Torchmark Corp. 177,134
25,300 UnumProvident Corp. 453,882
3,900 XL Capital Ltd. Class A 302,835
-------------
14,644,492
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Internet & Catalog Retail - 0.4% 12,700 + eBay, Inc. 1,476,756
- ----------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.5% 4,326 + TippingPoint Technologies, Inc. 202,024
40,132 + Yahoo!, Inc. 1,512,174
-------------
1,714,198
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Leisure Equipment & Products - 0.2% 1,200 Brunswick Corp. 59,400
10,100 Eastman Kodak Co. 325,725
5,000 Hasbro, Inc. 96,900
11,700 Mattel, Inc. 228,033
-------------
710,058
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery - 1.2% 5,900 Caterpillar, Inc. 575,309
500 Cummins, Inc. 41,895
10,000 Danaher Corp. 574,100
5,900 Deere & Co. 438,960
5,300 Dover Corp. 222,282
9,900 Eaton Corp. 716,364
7,600 Illinois Tool Works, Inc. 704,368
3,700 Ingersoll-Rand Co. Class A 297,110
600 + Navistar International Corp. 26,388
5,700 Paccar, Inc. 458,736
800 Pall Corp. 23,160
-------------
4,078,672
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Media - 3.9% 16,200 Clear Channel Communications, Inc. 542,538
59,957 + Comcast Corp. Class A 1,995,369
10
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004 (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Industry* Shares Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Media (concluded) 44,200 + Interpublic Group of Cos., Inc. $ 592,280
800 Knight-Ridder, Inc. 53,552
15,100 Meredith Corp. 818,420
35,367 Metro-Goldwyn-Mayer, Inc. 420,160
4,100 New York Times Co. Class A 167,280
94,700 News Corp. Class A 1,767,102
5,300 Omnicom Group 446,896
122,025 + Time Warner, Inc. 2,372,166
9,800 Tribune Co. 412,972
22,500 + Univision Communications, Inc. Class A 658,575
262 Viacom, Inc. Class A 9,715
42,335 Viacom, Inc. Class B 1,540,571
56,100 Walt Disney Co. 1,559,580
1 Washington Post Class B 983
-------------
13,358,159
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Metals & Mining - 0.5% 24,500 Alcoa, Inc. 769,790
2,700 Allegheny Technologies, Inc. 58,509
6,400 Freeport-McMoRan Copper & Gold, Inc. Class B 244,672
10,500 Newmont Mining Corp. 466,305
4,500 Nucor Corp. 235,530
-------------
1,774,806
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Multi-Utilities & Unregulated Power 52,200 + The AES Corp. 713,574
- - 0.8% 5,400 + CMS Energy Corp. 56,430
200 + Calpine Corp. 788
16,700 Constellation Energy Group, Inc. 729,957
8,000 Dominion Resources, Inc. 541,920
10,600 + Dynegy, Inc. Class A 48,972
1 National Grid Transco Plc (d) 48
6,700 Public Service Enterprise Group, Inc. 346,859
8,000 Sempra Energy 293,440
-------------
2,731,988
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Multiline Retail - 1.1% 3,100 + Big Lots, Inc. 37,603
2,300 Dillard's, Inc. Class A 61,801
7,500 Dollar General Corp. 155,775
2,400 Family Dollar Stores, Inc. 74,952
14,600 Federated Department Stores 843,734
6,700 JC Penney Co, Inc. Holding Co. 277,380
8,600 + Kohl's Corp. 422,862
24,300 The May Department Stores Co. 714,420
2,600 Nordstrom, Inc. 121,498
6,000 Sears Roebuck & Co. 306,180
17,300 Target Corp. 898,389
-------------
3,914,594
- ----------------------------------------------------------------------------------------------------------------------------------
Office Electronics - 0.2% 44,100 + Xerox Corp. 750,141
- ----------------------------------------------------------------------------------------------------------------------------------
Oil & Gas - 6.3% 1,600 Amerada Hess Corp. 131,808
900 Anadarko Petroleum Corp. 58,329
23,600 Apache Corp. 1,193,452
500 Ashland, Inc. 29,190
13,000 Burlington Resources, Inc. 565,500
59,624 ChevronTexaco Corp. 3,130,856
6,851 ConocoPhillips 594,872
31,790 Devon Energy Corp. 1,237,267
2,200 EOG Resources, Inc. 156,992
181,700 Exxon Mobil Corp. 9,313,942
10,426 Kaneb Services LLC 450,299
2,300 Kinder Morgan, Inc. 168,199
29,500 Marathon Oil Corp. 1,109,495
23,600 Occidental Petroleum Corp. 1,377,296
11,400 Stelmar Shipping Ltd. 543,894
2,900 Sunoco, Inc. 236,959
5,600 Unocal Corp. 242,144
17,600 Valero Energy Corp. 799,040
8,500 XTO Energy, Inc. 300,730
-------------
21,640,264
- ----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.8% 14,200 Georgia-Pacific Corp. 532,216
11,700 International Paper Co. 491,400
3,100 Louisiana-Pacific Corp. 82,894
8,379 MeadWestvaco Corp. 283,964
17,700 Weyerhaeuser Co. 1,189,794
-------------
2,580,268
- ----------------------------------------------------------------------------------------------------------------------------------
11
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004 (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Industry* Shares Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Personal Products - 0.6% 11,400 Avon Products, Inc. $ 441,180
14,022 + The DEL Laboratories, Inc. 487,265
28,000 The Gillette Co. 1,253,840
-------------
2,182,285
- ----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 6.2% 41,900 Abbott Laboratories 1,954,635
40,900 Bristol-Myers Squibb Co. 1,047,858
30,600 Eli Lilly & Co. 1,736,550
9,300 + Forest Laboratories, Inc. 417,198
83,586 Johnson & Johnson 5,301,024
6,900 + King Pharmaceuticals, Inc. 85,560
76,602 Merck & Co., Inc. 2,461,988
6,100 Mylan Laboratories 107,848
215,340 Pfizer, Inc. 5,790,493
44,500 Schering-Plough Corp. 929,160
3,100 + Watson Pharmaceuticals, Inc. 101,711
32,300 Wyeth 1,375,657
-------------
21,309,682
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate - 1.0% 300 Apartment Investment & Management Co. Class A 11,562
7,700 Archstone-Smith Trust 294,910
14,400 Equity Office Properties Trust 419,328
6,900 Equity Residential 249,642
24,523 LNR Property Corp. 1,542,742
2,900 Plum Creek Timber Co., Inc. 111,476
5,000 Prologis 216,650
4,900 Simon Property Group, Inc. 316,883
-------------
3,163,193
- ----------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 0.6% 18,900 Burlington Northern Santa Fe Corp. 894,159
3,800 CSX Corp. 152,304
8,700 Norfolk Southern Corp. 314,853
12,100 Union Pacific Corp. 813,725
-------------
2,175,041
- ----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 8,500 + Advanced Micro Devices, Inc. 187,170
Equipment - 3.0% 34,000 + Altera Corp. 703,800
11,100 Analog Devices, Inc. 409,812
51,000 + Applied Materials, Inc. 872,100
8,600 + Applied Micro Circuits Corp. 36,206
7,600 + Broadcom Corp. Class A 245,328
22,212 + Dupont Photomasks, Inc. 586,619
3,700 + Freescale Semiconductor, Inc. Class A 65,934
7,600 + Freescale Semiconductor, Inc. Class B 139,536
178,100 Intel Corp. 4,165,759
15,900 + Kla-Tencor Corp. 740,622
10,700 + LSI Logic Corp. 58,636
10,300 Linear Technology Corp. 399,228
10,397 Maxim Integrated Products, Inc. 440,729
21,100 + Micron Technology, Inc. 260,585
7,100 National Semiconductor Corp. 127,445
2,000 + Novellus Systems, Inc. 55,780
5,000 + PMC - Sierra, Inc. 56,250
5,500 + Teradyne, Inc. 93,885
15,800 Texas Instruments, Inc. 388,996
8,100 Xilinx, Inc. 240,165
-------------
10,274,585
- ----------------------------------------------------------------------------------------------------------------------------------
Software - 4.1% 5,800 Adobe Systems, Inc. 363,892
6,400 Autodesk, Inc. 242,880
22,900 + BMC Software, Inc. 425,940
2,700 + Citrix Systems, Inc. 66,231
18,300 Computer Associates International, Inc. 568,398
10,800 + Compuware Corp. 69,876
7,600 + Electronic Arts, Inc. 468,768
4,900 + Intuit, Inc. 215,649
1,200 + Mercury Interactive Corp. 54,660
306,200 Microsoft Corp. 8,178,602
5,337 + Nassda Corp. 36,825
10,500 + Novell, Inc. 70,875
148,300 + Oracle Corp. 2,034,676
7,500 + Parametric Technology Corp. 44,175
14,200 + Siebel Systems, Inc. 149,100
5,278 + Symantec Corp. 135,961
32,593 + Veritas Software Corp. 930,530
-------------
14,057,038
- ----------------------------------------------------------------------------------------------------------------------------------
12
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2004 (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
Industry* Shares Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail - 2.5% 7,500 + Autonation, Inc. $ 144,075
1,500 + Autozone, Inc. 136,965
9,800 + Bed Bath & Beyond, Inc. 390,334
8,300 Best Buy Co., Inc. 493,186
2,000 Circuit City Stores, Inc. 31,280
27,700 The Gap, Inc. 585,024
61,800 Home Depot, Inc. 2,641,332
20,700 Lowe's Cos., Inc. 1,192,113
8,874 Limited Brands, Inc. 204,279
17,200 + Office Depot, Inc. 298,592
18,500 OfficeMax, Inc. 580,530
6,000 RadioShack Corp. 197,280
5,400 The Sherwin-Williams Co. 241,002
11,700 Staples, Inc. 394,407
37,200 TJX Cos., Inc. 934,836
4,100 Tiffany & Co. 131,077
3,400 + Toys "R" Us, Inc. 69,598
-------------
8,665,910
- ----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 4,100 + Coach, Inc. 231,240
- - 0.2% 3,500 Jones Apparel Group, Inc. 127,995
3,100 Liz Claiborne, Inc. 130,851
1,600 Reebok International Ltd. 70,400
6,200 VF Corp. 343,356
-------------
903,842
- ----------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 1.5% 30,600 Countrywide Financial Corp. 1,132,506
14,400 Fannie Mae 1,025,424
20,720 Freddie Mac 1,527,064
1,500 MGIC Investment Corp. 103,365
7,683 Sovereign Bancorp, Inc. 173,252
26,791 Washington Mutual, Inc. 1,132,723
-------------
5,094,334
- ----------------------------------------------------------------------------------------------------------------------------------
Tobacco - 1.1% 59,300 Altria Group, Inc. 3,623,230
6,400 UST, Inc. 307,904
-------------
3,931,134
- ----------------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors 2,600 WW Grainger, Inc. 173,212
- - 0.1%
- ----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 31,327 + Nextel Communications, Inc. Class A 939,810
- - 0.3%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Common Stocks 326,504,612
(Cost - $265,102,160) - 94.3%
- ----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ----------------------------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.3% 7,716 Amerada Hess Corp. 570,598
7,063 Valero Energy Corp. 318,718
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Preferred Stocks
(Cost - $776,458) - 0.3% 889,316
- ----------------------------------------------------------------------------------------------------------------------------------
Warrants (a)
- ----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 1,040 Lucent Technologies, Inc. 1,643
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Warrants
(Cost - $1,726) - 0.0% 1,643
- ----------------------------------------------------------------------------------------------------------------------------------
Face Amount Fixed Income Securities
- ----------------------------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% $ 375,000 Genzyme Corp., 1.25% due 12/01/2023 (Convertible) 397,500
- ----------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 194,000 Tyco International Group SA, 3.125% due 1/15/2023
(Convertible) 325,920
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Fixed Income Securities
(Cost - $669,703) - 0.2% 723,420
- ----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ----------------------------------------------------------------------------------------------------------------------------------
16,708,604 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (b) 16,708,604
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Short-Term Securities
(Cost - $16,708,604) - 4.8% 16,708,604
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $283,258,651**) - 99.6% 344,827,595
Other Assets Less Liabilities - 0.4% 1,446,856
-------------
Net Assets - 100.0% $ 346,274,451
=============
13
Master Enhanced S&P Series
Schedule of Investments as of December 31, 2004 (concluded)
+ Non-income producing security.
* For Series compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine industry sub-classifications for reporting ease. These industry
classifications are unaudited.
** The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 290,377,984
=============
Gross unrealized appreciation $ 57,997,732
Gross unrealized depreciation (3,548,121)
-------------
Net unrealized appreciation $ 54,449,611
=============
(a) Warrants entitle the Series to purchase a predetermined number of shares
of common stock and are non-income producing. The purchase price and
number of shares are subject to adjustment under certain conditions until
the expiration date.
(b) Investments in companies considered to be an affiliate of the Series (such
companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) were as follows:
Interest/
Affiliate Net Activity Dividend Income
-----------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. (1,200) $ 1,552
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 7,845,113 $ 249,262
Merrill Lynch Liquidity Series, LLC Money
Market Series $(1,273,948) $ 1,524
Merrill Lynch Premier Institutional Fund (424,652) $ 199
-----------------------------------------------------------------------------------------------
(c) Represents ownership in S&P 500 SPDR Trust, a registered unit investment
trust. The investment objective of the S&P 500 SPDR Trust is to provide
investment results that generally correspond to the price performance and
dividend yield of the component stock.
(d) Depositary Receipts.
Financial futures contracts purchased as of December 31, 2004 were as
follows:
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
--------------------------------------------------------------------------
88 S&P 500 Index March 2005 $ 26,179,453 $ 521,947
--------------------------------------------------------------------------
See Notes to Financial Statements.
14
Master Enhanced S&P 500 Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2004
======================================================================================================================
Assets: Investments in unaffiliated securities, at value
(identified cost-$266,469,151) ............................. $ 328,035,313
Investments in affiliated securities, at value (identified
cost $16,789,500) .......................................... 16,792,282
Cash on deposit for financial futures contracts ............ 1,408,000
Cash ....................................................... 107,786
Receivables:
Securities sold ...................................... $ 585,478
Dividends ............................................ 420,745
Interest (including $31,260 from affiliates) ......... 34,460
Securities lending ................................... 190 1,040,873
-------------
Prepaid expenses and other assets .......................... 3,409
-------------
Total assets ............................................... 347,387,663
-------------
======================================================================================================================
Liabilities: Payables:
Securities purchased ................................. 556,492
Withdrawals .......................................... 504,987
Variation margin ..................................... 22,000
Investment adviser ................................... 3,606
Other Affiliates ..................................... 2,061 1,089,146
-------------
Accrued expenses ........................................... 24,066
-------------
Total liabilities .......................................... 1,113,212
-------------
======================================================================================================================
Net Assets: Net assets ................................................. $ 346,274,451
=============
======================================================================================================================
Net Assets Investors' capital ......................................... $ 284,183,560
Consist of: Unrealized appreciation-net ................................ 62,090,891
-------------
Net assets ................................................. $ 346,274,451
=============
======================================================================================================================
See Notes to Financial Statements.
15
Master Enhanced S&P 500 Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2004
======================================================================================================================
Investment Dividends (including $1,552 from affiliates)
Income: (net of $110 foreign withholding tax) ...................... $ 7,212,033
Interest (including $249,262 from affiliates) .............. 251,590
Securities lending-net ..................................... 1,723
-------------
Total income ............................................... 7,465,346
-------------
======================================================================================================================
Expenses: Professional fees .......................................... $ 71,327
Custodian fees ............................................. 50,382
Accounting services ........................................ 48,510
Investment advisory fees ................................... 36,231
Printing and shareholder reports ........................... 3,960
Trustees' fees and expenses ................................ 3,354
Pricing fees ............................................... 175
Other ...................................................... 13,006
-------------
Total expenses ............................................. 226,945
-------------
Investment income-net ...................................... 7,238,401
-------------
======================================================================================================================
Realized & Realized gain (loss) on:
Unrealized Gain Investments (including ($13,221) from affiliates)-net ... 17,247,514
(Loss)-Net Foreign currency-net .................................... (165)
Future contracts-net .................................... 2,147,633
Options written ......................................... 306,556 19,701,538
-------------
Change in unrealized appreciation/depreciation on:
Investments-net ......................................... 16,868,276
Future contracts-net .................................... 119,399 16,987,675
------------- -------------
Total realized and unrealized gain-net ..................... 36,689,213
-------------
Net Increase in Net Assets Resulting from Operations ....... $ 43,927,614
=============
======================================================================================================================
See Notes to Financial Statements.
16
Master Enhanced S&P 500 Series
STATEMENTS OF CHANGES IN NET ASSETS
For the
Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2004 2003
======================================================================================================================
Operations: Investment income-net ...................................... $ 7,238,401 $ 3,378,190
Realized gain-net .......................................... 19,701,538 547,156
Change in unrealized appreciation/depreciation-net ......... 16,987,675 47,047,366
------------- -------------
Net increase in net assets resulting from operations ....... 43,927,614 50,972,712
------------- -------------
======================================================================================================================
Capital Proceeds from contributions ................................ 171,647,163 73,722,376
Transactions: Fair value of withdrawals .................................. (138,774,854) (14,812,247)
------------- -------------
Net increase in net assets derived from capital transactions 32,872,309 58,910,129
------------- -------------
======================================================================================================================
Net Assets: Total increase in net assets ............................... 76,799,923 109,882,841
Beginning of year .......................................... 269,474,528 159,591,687
------------- -------------
End of year ................................................ $ 346,274,451 $ 269,474,528
============= =============
======================================================================================================================
See Notes to Financial Statements.
17
Master Enhanced S&P 500 Series
FINANCIAL HIGHLIGHTS
For
the Period
September 1,
The following ratios have For the Year Ended December 31, 2000+ to
been derived from information provided ----------------------------------------------- December 31,
in the financial statements. 2004 2003 2002 2001 2000
=============================================================================================================================
Total Investment 11.51% 27.63% (21.61%) (11.67%) --
Return**: ======== ======== ======== ======== ========
=============================================================================================================================
Ratios to Expenses, net of reimbursement ......... .06% .09% .08% .08% .08%*
Average Net ======== ======== ======== ======== ========
Assets: Expenses ............................... .06% .09% .18% .20% .44%*
======== ======== ======== ======== ========
Investment income-net .................. 1.99% 1.70% 1.59% 1.36% 1.42%*
======== ======== ======== ======== ========
=============================================================================================================================
Supplemental Net assets, end of period (in thousands) $346,274 $269,475 $159,592 $ 74,073 $ 41,184
Data: ======== ======== ======== ======== ========
Portfolio turnover ..................... 119.58% 78.62% 101.85% 136.32% 49.36%
======== ======== ======== ======== ========
=============================================================================================================================
* Annualized.
** Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
+ Commencement of operations.
See Notes to Financial Statements.
18
Master Enhanced S&P 500 Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Enhanced S&P 500 Series (the "Series") is part of Quantitative Master
Series Trust (the "Trust"). The Trust is registered under the Investment Company
Act of 1940, as amended, and is organized as a Delaware statutory trust. The
Declaration of Trust permits the Trustees to issue nontransferable interest in
the Series, subject to certain limitations. The Series' financial statements are
prepared in conformity with U.S. generally accepted accounting principles, which
may require the use of management accruals and estimates. Actual results may
differ from these estimates. The following is a summary of significant
accounting policies followed by the Series.
(a) Valuation of investments - Equity securities that are held by the Series
that are traded on stock exchanges or the Nasdaq National Market are valued at
the last sale price or official close price on the exchange, as of the close of
business on the day the securities are being valued or, lacking any sales, at
the last available bid price for long positions, and at the last available ask
price for short positions. In cases where equity securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Trustees of the Trust.
Long positions traded in the over-the-counter ("OTC") market, Nasdaq Small Cap
or Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Trustees of the Trust. Short positions traded in the OTC market are valued at
the last available ask price. Portfolio securities that are traded both in the
OTC market and on a stock exchange are valued according to the broadest and most
representative market.
Options written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the OTC market, the last ask price.
Options purchased are valued at their last sale price in the case of
exchange-traded options or, in the case of options traded in the OTC market, the
last bid price. Swap agreements are valued daily based upon quotations from
market makers. Financial futures contracts and options thereon, which are traded
on exchanges, are valued at their last sale price as of the close of such
exchanges. Obligations with remaining maturities of 60 days or less are valued
at amortized cost unless the Investment Adviser believes that this method no
longer produces fair valuations.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Trustees of the Trust, including valuations furnished by the
pricing services retained by the Series, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Fund under the general supervision of the Trust's Board
of Trustees. Such valuations and procedures will be reviewed periodically by the
Board of Trustees of the Trust.
Generally, trading in foreign securities, as well as U.S. government securities
and money market instruments, is substantially completed each day at various
times prior to the close of business on the New York Stock Exchange ("NYSE").
The values of such securities used in computing the net assets of the Series are
determined as of such times. Foreign currency exchange rates also are generally
determined prior to the close of business on the NYSE. Occasionally, events
affecting the values of such securities and such exchange rates may occur
between the times at which they are determined and the close of business on the
NYSE that may not be reflected in the computation of the Series' net assets. If
events (for example, a company announcement, market volatility or a natural
disaster) occur during such periods that are expected to materially affect the
value of such securities, those securities may be valued at their fair value as
determined in good faith by the Trust's Board of Trustees or by the Investment
Adviser using a pricing service and/or procedures approved by the Trust's Board
of Trustees.
19
NOTES TO FINANCIAL STATEMENTS (continued)
(b) Derivative financial instruments - The Series may engage in various
portfolio investment strategies to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract or if the counterparty does not perform
under the contract.
o Financial futures contracts - The Series may purchase or sell financial
futures contracts and options on such futures contracts as a proxy for a
direct investment in securities underlying the Series' index. Futures
contracts are contracts for delayed delivery of securities at a specific
future date and at a specific price or yield. Upon entering into a
contract, the Series deposits and maintains as collateral such initial
margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Series agrees to receive from or pay to the
broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Series as unrealized gains or losses. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value
at the time it was closed.
o Swaps - The Series may enter into swap agreements, which are
over-the-counter contracts in which the Series and a counterparty agree to
make periodic net payments on a specified notional amount. The net
payments can be made for a set period of time or may be triggered by a
predetermined credit event. The net periodic payments may be based on a
fixed or variable interest rate; the change in market value of a specified
security, basket of securities, or index; or the return generated by a
security.
o Options - The Series may purchase and write covered call and put options.
When the Series writes an option, an amount equal to the premium received
by the Series is reflected as an asset and an equivalent liability. The
amount of the liability is subsequently marked-to-market to reflect the
current market value of the option written. When a security is purchased
or sold through an exercise of an option, the related premium paid (or
received) is added to (or deducted from) the basis of the security
acquired or deducted from (or added to) the proceeds of the security sold.
When an option expires (or the Series enters into a closing transaction),
the Series realizes a gain or loss on the option to the extent of the
premiums received or paid (or a gain or loss to the extent the cost of the
closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
o Forward foreign exchange contracts - The Series may enter into forward
foreign exchange contracts as a hedge against either specific transactions
or portfolio positions. The contract is marked-to-market daily and the
change in market value is recorded by the Series as an unrealized gain or
loss. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value at the time it was opened
and the value at the time it was closed.
o Foreign currency options and futures - The Series may also purchase or
sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long
hedge against possible variations in foreign exchange rates. Such
transactions may be effected with respect to hedges on non-U.S.
dollar-denominated securities owned by the Series, sold by the Series but
not yet delivered, or committed or anticipated to be purchased by the
Series.
(c) Foreign currency transactions - Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets and liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
20
NOTES TO FINANCIAL STATEMENTS (continued)
(d) Income taxes - The Series is classified as a partnership for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. It is
intended that the Series' assets will be managed so an investor in the Series
can satisfy the requirements of subchapter M of the Internal Revenue Code.
(e) Security transactions and investment income - Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Series has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Securities lending - The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Series could experience
delays and costs in gaining access to the collateral. The Series also could
suffer a loss where the value of the collateral falls below the market value of
the borrowed securities, in the event of borrower default or in the event of
losses on investments made with cash collateral.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML
& Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the Series' average daily net assets.
The Trust has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated, a subsidiary of ML & Co., or its affiliates.
Pursuant to that order, the Trust also has retained Merrill Lynch Investment
Managers, LLC ("MLIM, LLC"), an affiliate of FAM, as the securities lending
agent for a fee based on a share of the returns on investment of cash
collateral. MLIM may, on behalf of the Trust and the Series, invest cash
collateral received by the Series for such loans, among other things, in a
private investment company managed by MLIM, LLC or in registered money market
funds advised by FAM or its affiliates. For the year ended December 31, 2004,
MLIM, LLC received $733 in securities lending agent fees from the Series.
For the year ended December 31, 2004, the Series reimbursed FAM $7,506 for
certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or directors of
FAM, PSI and/or ML & Co.
21
NOTES TO FINANCIAL STATEMENTS (concluded)
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2004 were $442,462,025 and $408,236,738, respectively.
Transactions in call options written for the year ended December 31, 2004 were
as follows:
================================================================================
Number of Premiums
Call Options Written Contracts Received
================================================================================
Outstanding call options written,
beginning of year ........................ -- --
Options written ............................ 5,886 $ 231,571
Options expired ............................ (1,130) (48,799)
Options exercised .......................... (200) (8,250)
Options closed ............................. (4,556) (174,522)
---------------------------
Outstanding call options written,
end of year .............................. -- $ --
===========================
- --------------------------------------------------------------------------------
Transactions in put options written for the year ended December 31, 2004 were as
follows:
================================================================================
Number of Premiums
Put Options Written Contracts Received
================================================================================
Outstanding put options written,
beginning of year ........................ -- --
Options written ............................ 12,664 $ 418,298
Options expired ............................ (7,253) (215,265)
Options exercised .......................... (647) (17,508)
Options closed ............................. (4,764) (185,525)
---------------------------
Outstanding put options written,
end of year .............................. -- $ --
===========================
- --------------------------------------------------------------------------------
5. Short-Term Borrowings:
The Trust, on behalf of the Series, along with certain other funds managed by
FAM and its affiliates, is a party to a $500,000,000 credit agreement with a
group of lenders. The Series may borrow under the credit agreement to fund
shareholder redemptions and for other lawful purposes other than for leverage.
The Series may borrow up to the maximum amount allowable under the Series'
current prospectus and statement of additional information, subject to various
other legal, regulatory or contractual limits. The Series pays a commitment fee
of .07% per annum based on the Series' pro rata share of the unused portion of
the credit agreement. Amounts borrowed under the credit agreement bear interest
at a rate equal to, at each Series' election, the federal funds rate plus .50%
or a base rate as defined in the credit agreement. The Series did not borrow
under the credit agreement during the year ended December 31, 2004. On November
26, 2004, the credit agreement was renewed for one year under substantially the
same terms.
22
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Investors and Board of Trustees of
Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Enhanced S&P 500 Series, one of the
portfolios constituting the Quantitative Master Series Trust (the "Trust"), as
of December 31, 2004, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the respective
periods then ended. These financial statements and financial highlights are the
responsibility of the Trust'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 the standards of the Public Company
Accounting Oversight Board (United States). 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 consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the Trust's
internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting
amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. Our procedures included
confirmation of securities owned as of December 31, 2004, by correspondence with
the custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. 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 Master
Enhanced S&P 500 Series of the Quantitative Master Series Trust as of December
31, 2004, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended, and its
financial highlights for each of the respective periods then ended, in
conformity with U.S. generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 25, 2005
23
Officers and Trustees
Number of
Portfolios
in Fund Other Public
Position(s) Length Complex Directorships
Held with of Time Principal Occupation(s) During Past Overseen by Held by
Name Address & Age Trust Served 5 Years Trustee Trustee
====================================================================================================================================
Interested Trustee
====================================================================================================================================
Terry K. P.O. Box 9011 President 2000 to President and Chairman of the 124 Funds None
Glenn* Princeton, NJ and Trustee present Merrill Lynch Investment Managers, 163 Portfolios
08543-9011 L.P. ("MLIM")/Fund Asset
Age: 64 Management, L.P. ("FAM")-advised
funds since 1999; Chairman
(Americas Region) of MLIM from
2000 to 2002; Executive Vice
President of MLIM and FAM (which
terms as used herein include their
corporate predecessors) from 1983
to 2002; President of FAM
Distributors, Inc. ("FAMD") from
1986 to 2002 and Director thereof
from 1991 to 2002; Executive Vice
President and Director of
Princeton Services, Inc.
("Princeton Services") from 1993
to 2002; President of Princeton
Administrators, L.P. from 1989 to
2002; Director of Financial Data
Services, Inc. since 1985.
* Mr. Glenn is a trustee or member of an advisory board of certain other investment companies for which MLIM or FAM acts
as investment adviser. Mr. Glenn is an "interested person" as described in the Investment Company Act, of the Trust
based on his present and former positions with MLIM, FAM, FAMD, Princeton Services and Princeton Administrators, L.P.
The Trustee's term is unlimited. Trustees serve until their resignation, removal or death, or until December 31 of the
year in which they turn 72. As Trust President, Mr. Glenn serves at the pleasure of the Board of Trustees.
====================================================================================================================================
Independent Trustees*
====================================================================================================================================
Donald W. P.O. Box 9095 Trustee 2002 to General Partner of The Burton 23 Funds ITC Delta-
Burton Princeton, NJ present Partnership, Limited partnership 42 Portfolios Com, Inc.,
08543-9095 (an Investment Partnership) since Knology,
Age: 60 1979; Managing General Partner of Inc.,
The South Atlantic Venture Funds, Symbion,
since 1983; Member of the Inc.
Investment Advisory Committee of
the Florida State Board of
Administration since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
M. Colyer P.O. Box 9095 Trustee 2000 to James R. Williston Professor of 24 Funds Cambridge
Crum Princeton, NJ present Investment Management Emeritus, 43 Portfolios Bancorp
08543-9095 Harvard Business School since
Age: 72 1996; James R. Williston Professor
of Investment Management, Harvard
Business School from 1971 to 1996.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurie P.O. Box 9095 Trustee 2000 to Professor of Finance and 23 Funds None
Simon Princeton, NJ present Economics, Graduate School of 42 Portfolios
Hodrick 08543-9095 Business, Columbia University
Age: 42 since 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O Box 9095 Trustee 2003 to Consultant with Putnam Investments 23 Funds None
Walsh Princeton, NJ present from 1993 to 2003 and employed in 42 Portfolios
08543-9095 various capacities therewith from
Age: 63 1973 to 1992; Director, The
National Audubon Society since
1998; Director, The American
Museum of Fly Fishing since 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
24
Officers and Trustees (concluded)
Number of Other
Portfolios in Public
Position(s) Length Fund Complex Directorships
Held with of Time Principal Occupation(s) Overseen by Held by
Name Address & Age Trust Served During Past 5 Years Trustee Trustee
====================================================================================================================================
Independent Trustees* (concluded)
====================================================================================================================================
Fred G. P.O. Box 9095 Trustee 2000 to Managing Director of FGW 23 Funds Watson
Weiss Princeton, NJ present Associates since 1997; 42 Portfolios Pharmaceuticals,
08543-9095 Vice President, Inc.
Age: 63 Planning, Investment and
Development of Warner
Lambert Co. from 1979 to
1997; Director of
Michael J. Fox
Foundation for
Parkinson's Research
since 2000; Director of
BTG International, Plc
(a global technology
commercialization
company) since 2001.
* The Trustee's term is unlimited. Trustees serve until their resignation, removal or death, or until December 31 of the
year in which they turn 72.
====================================================================================================================================
Trust Officers
====================================================================================================================================
Donald C. P.O. Box 9011 Vice 1997 to First Vice President of FAM and MLIM since 1997 and
Burke Princeton, NJ President present Treasurer thereof since 1999; Senior Vice President and
08543-9011 and and Treasurer of Princeton Services since 1999 and Director
Age: 44 Treasurer 1999 to since 2004; Vice President of FAMD since 1999; Vice
present President of MLIM and FAM from 1990 to 1997; Director of
Taxation of MLIM from 1990 to 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. P.O. Box 9011 Senior 1999 to President of MLIM/FAM-advised funds since 2005; President of
Doll, Jr. Princeton, NJ Vice present MLIM and FAM since 2001; Co-Head (Americas Region) thereof
08543-9011 President from 2000 to 2001 and Senior Vice President from 1999 to
Age: 50 2001; President and Director of Princeton Services, Inc.
since 2001; President of Princeton Administrators, L.P.
since 2001; Chief Investment Officer of Oppenheimer Funds,
Inc. from 1991 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Richard J. P.O. Box 9011 Vice 1999 to Managing Director and Head of Global Index and Enhanced
Vella Princeton, NJ President present Index products for Merrill Lynch Quantitative Advisors since
08543-9011 1999; Managing Director and Head of the Global Index and
Age: 48 Enhanced Index business at Bankers Trust from 1984 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey P.O Box 9011 Chief 2004 to Chief Compliance officer of the MLIM/FAM-advised funds and
Hiller Princeton, NJ Compliance present First Vice President and Chief Compliance Officer of MLIM
08543-9011 Officer since 2004; Global Director of Compliance at Morgan Stanley
Age: 53 Investment Management from 2002 to 2004; Managing Director
and Global Director of Compliance at Citigroup Asset
Management from 2000 to 2002; Chief Compliance Officer at
Soros Fund Management in 2000; Chief Compliance Officer at
Prudential Financial from 1995 to 2000.
- ------------------------------------------------------------------------------------------------------------------------------------
Alice A. P.O. Box 9011 Secretary 2004 to Secretary of MLIM, FAM, FAMD and Princeton Services since
Pellegrino Princeton, NJ present 2004; Director (Legal Advisory) of MLIM since 2002; Vice
08543-9011 President of MLIM from 1999 to 2002; Attorney associated
Age: 44 with MLIM since 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
* Officers of the Trust serve at the pleasure of the Board of Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Trust's Officers and Trustees is available in the Trust's Statement of Additional
Information, which can be obtained without charge by calling 1-800-MER-FUND.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
JPMorgan Chase Bank
4 Chase Metro Tech Center, 18th floor
Brooklyn, NY 11245
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
Effective January 1, 2005, Terry K. Glenn, President and Trustee and M. Coyler
Crum, Trustee of Quantitative Master Series Trust retired. The Trust's Board of
Trustees wishes Mr. Glenn and Professor Crum well in their retirements.
Effective January 1, 2005, Robert C. Doll, Jr. became Executive Vice President
and Chief Investment Officer of the Trust.
25
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the
end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Donald W.
Burton, (2) M. Colyer Crum, (3) Laurie Simon Hodrick, (4) John F.
O'Brien (as of November 22, 2004), (5) David H. Walsh and (6) Fred G.
Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick and M. Colyer Crum qualify as financial experts pursuant to
Item 3(c)(4) of Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in financial
analysts' training programs. Ms. Hodrick has also worked with several
prominent corporations in connection with the analysis of financial
forecasts and projections and analysis of the financial statements of
those companies, serving on the Financial Advisory Council of one of
these major corporations. She has also served as the Treasurer and
Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a
number of articles in leading economic and financial journals and is
the associate editor of two leading finance journals.
M. Colyer Crum also possesses a thorough understanding of generally
accepted accounting principals, financial statements, and internal
controls and procedures for financial reporting through a combination
of education and experience. Professor Crum was a professor of
investment management at the Harvard Business School for 25 years. The
courses taught by Professor Crum place a heavy emphasis on the analysis
of underlying company financial statements with respect to stock
selection and the analysis of credit risk in making loans. Professor
Crum has also served on a number of boards of directors and has served
on the audit committees, and in some cases chaired the audit committee,
for several major corporations and financial institutions. For two such
organizations, Professor Crum has performed extensive investment
analysis of financial statements in connection with investment
management decisions. From these experiences, he has gained significant
experience with the establishment of reserves and accounting policies,
differences between U.S. GAAP and Canadian GAAP and executive
compensation issues.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - Fiscal Year Ending December 31, 2004 - $31,300
Fiscal Year Ending December 31, 2003 - $30,900
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2004 - $8,000
Fiscal Year Ending December 31, 2003 - $8,500
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $0
(e)(1) The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to the
registrant's affiliated service providers that relate directly to the
operations and the financial reporting of the registrant. Certain of
these non-audit services that the Committee believes are a) consistent
with the SEC's auditor independence rules and b) routine and recurring
services that will not impair the independence of the independent
accountants may be approved by the Committee without consideration on a
specific case-by-case basis ("general pre-approval"). However, such
services will only be deemed pre-approved provided that any individual
project does not exceed $5,000 attributable to the registrant or
$50,000 for all of the registrants the Committee oversees. Any proposed
services exceeding the pre-approved cost levels will require specific
pre-approval by the Committee, as will any other services not subject
to general pre-approval (e.g., unanticipated but permissible services).
The Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board meeting.
(e)(2) 0%
(f) Not Applicable
(g) Fiscal Year Ending December 31, 2004 - $11,926,355
Fiscal Year Ending December 31, 2003 - $18,621,495
(h) The registrant's audit committee has considered and determined that
the provision of non-audit services that were rendered to the
registrant's investment adviser and any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant
to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible
with maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $945,000, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies - Not
Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to
the filing date of this report.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the second fiscal half-year of the
period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
Master Enhanced S&P 500 Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
-----------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Master Enhanced S&P 500 Series of Quantitative Master Series Trust
Date: February 24, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by
the following persons on behalf of the registrant and in the capacities
and on the dates indicated.
By: /s/ Robert C. Doll, Jr.
-----------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Master Enhanced S&P 500 Series of Quantitative Master Series Trust
Date: February 24, 2005
By: /s/ Donald C. Burke
-----------------------------------
Donald C. Burke,
Chief Financial Officer of
Master Enhanced S&P 500 Series of Quantitative Master Series Trust
Date: February 24, 2005