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 International 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 International 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
Master Enhanced International Series
Annual Report, December 31, 2004
Market and Economic Environment
Despite some suspense along the way, 2004 was a largely positive year for
international market indexes. The Morgan Stanley Capital International Europe,
Australasia, Far East (MSCI EAFE) Index returned +20.25% and the MSCI World
Index returned +14.72% for the 12 months ended December 31, 2004.
For the first quarter of the year, the MSCI EAFE Index returned +4.34% and the
MSCI World Index returned +2.62% as the enthusiasm of 2003 carried over into the
new year. However, signs of trouble for European markets emerged in February and
lingered well into the third quarter. The MSCI EAFE and the MSCI World indexes
posted respective returns of +0.22% and +0.87% in the second quarter as the
uncertainty surrounding global terrorism heightened following the Madrid
railroad bombing in March. The third quarter proved to be a slightly negative
period, with the MSCI EAFE Index posting a return of -0.28% and the MSCI World
Index returning -1.00%. The ongoing war in Iraq and the risks associated with
the geopolitical situation added to investors' trepidation, especially as oil
prices continued to climb.
Conditions improved markedly in the fourth quarter. Oil prices began to moderate
and international market indexes broke out of their slumps with a vengeance. The
MSCI EAFE Index returned +15.32% and the MSCI World Index returned +11.95% for
1
the fourth quarter. For the year, almost all European and Pacific MSCI country
indexes posted double-digit gains. Austria returned the most at +71.52% and
Finland posted the only single-digit return at +6.14%. Japan, which has the
second-highest country weighting in the MSCI EAFE Index and the largest country
weighting out of the Far East portion of the Index, returned +15.86% for 2004.
The U.S. dollar is set for the longest annual losing streak since 1987, as it is
being hindered by record current account and fiscal deficits, waning appetite
among foreign investors for U.S. assets, and comments from Federal Reserve and
Treasury officials suggesting they favor a weaker dollar. The dollar stands at a
near-record low against the euro, down more than 15% from its high for the year.
At year-end, the dollar traded at a record high against the yen, but both
currencies were sliding in concert against the euro.
Portfolio Matters
The past year was a positive one for the Master Enhanced International Series,
which returned +20.79% (net return, master level) for the 12-month period ended
December 31, 2004, outperforming the +20.25% return of the MSCI EAFE Index. Our
stock selection strategies aided performance the most, with stock substitution
strategies contributing positively as well.
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
2
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 positive in the first three quarters of the
year. Especially beneficial in the first quarter were the turn-of-the-year
trades. Important positive contributions also came from the low price and small
cap signals. Japan value was positive as well. In the second quarter, earnings
estimate revisions and value signals both contributed to performance, while
momentum detracted modestly. In the third quarter, the value signal contributed
most to performance, although the price momentum, Japan value and equity
issuance signals also were positive. The only negative contribution to
performance in the third quarter came from the earnings surprise signal.
Stock selection proved to be ineffective in the fourth quarter. The largest
contribution to performance came from the value signal, while earnings quality,
low price and small cap signals also were positive. Price momentum, Japan value
and equity issuance signals were negative. Risk control positions also detracted
from performance.
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
3
opportunities exist, taking a position in a convertible security as a cheaper
alternative to a company's stock.
The stock substitution process was generally positive in all four quarters of
the year. Of particular note in the first and second quarters was the quarterly
rebalancing of the MSCI indexes. Also in the second quarter, merger activity
picked up and our positioning with respect to the Sammy acquisition of Sega
proved particularly beneficial.
Stock substitution was slightly positive in the third and fourth quarters. The
third quarter was led by mergers, as several deals closed, including
Sanofi-Aventis in France and Sega Sammy Holdings Inc. in Japan. In the fourth
quarter, positive contributions came from structural index changes, highlighted
by European relative value trades and corporate actions. In addition, several of
our Japanese convertible bond positions were positive.
Year-End Strategy
In October, we introduced to the portfolio an earnings quality signal in the
United Kingdom. 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.
4
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Africa - 0.4%
- ------------------------------------------------------------------------------------------------------------------------------------
South Africa - 0.4% Beverages - 0.2% 138,753 SABMiller Plc $ 2,301,628
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.2% 87,713 Anglo American Plc 2,074,692
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Africa 4,376,320
- ------------------------------------------------------------------------------------------------------------------------------------
North America - 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Bermuda - 0.0% Oil & Gas - 0.0% 1,338 Ship Finance International Ltd. 27,446
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Bermuda 27,446
- ------------------------------------------------------------------------------------------------------------------------------------
United States - 0.0% Media - 0.0% 103 News Corp. Class B 1,978
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United States 1,978
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in North America 29,424
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia - 28.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Australia - 5.1% Airlines - 0.0% 120,000 Qantas Airways Ltd. 348,992
-------------------------------------------------------------------------------------------------------------
Beverages - 0.3% 102,813 Coca-Cola Amatil Ltd. 655,238
364,657 Foster's Group Ltd. (g) 1,655,098
47,369 Lion Nathan Ltd. 319,340
169,679 Southcorp Ltd. (b) 570,619
---------------
3,200,295
-------------------------------------------------------------------------------------------------------------
Biotechnology - 0.2% 80,388 CSL Ltd. 1,843,222
-------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 19,168 Macquarie Bank Ltd. 698,699
5,912 Perpetual Trustees Australia Ltd. 291,505
---------------
990,204
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 4,742 Orica Ltd. 75,720
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.3% 221,392 Australia & New Zealand Banking Group
Ltd. 3,573,378
151,702 Commonwealth Bank of Australia 3,817,306
212,260 National Australia Bank Ltd. (g) 4,795,377
560 National Australia Bank Ltd. (a)(g) 62,765
203,134 Westpac Banking Corp. 3,103,524
---------------
15,352,350
-------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 64,331 Brambles Industries Ltd. (g) 350,482
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 21,771 Leighton Holdings Ltd. 210,427
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 350,445 CSR Ltd. (g) 730,739
56,839 Rinker Group Ltd. 474,522
---------------
1,205,261
-------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.1% 124,235 Amcor Ltd. 715,800
-------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 78,061 Pacific Brands Ltd. 195,203
-------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 80,849 Suncorp-Metway Ltd. 1,101,501
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 171,381 Telstra Corp. Ltd. 659,637
- 0.1%
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.2% 184,542 Coles Myer Ltd. 1,426,372
109,050 Woolworths Ltd. 1,283,119
---------------
2,709,491
-------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 87,081 Futuris Corp. Ltd. 147,448
-------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 91,580 Australian Gas Light Co., Ltd. 983,517
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 23,464 Ansell Ltd. 164,253
- 0.0% 7,457 Cochlear Ltd. 147,600
---------------
311,853
-------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 119,739 Mayne Group Ltd. 399,858
- 0.0% 36,240 Sonic Healthcare Ltd. 346,016
---------------
745,874
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 42,078 Aristocrat Leisure Ltd. (g) 328,200
48,985 TABCORP Holdings Ltd. 663,925
---------------
992,125
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 31,853 Wesfarmers Ltd. 993,789
-------------------------------------------------------------------------------------------------------------
Insurance - 0.3% 188,599 AMP Ltd. 1,073,338
349,843 Insurance Australia Group Ltd. 1,763,375
96,284 QBE Insurance Group Ltd. (g) 1,158,572
---------------
3,995,285
-------------------------------------------------------------------------------------------------------------
Media - 0.2% 466,923 John Fairfax Holdings Ltd. 1,665,395
21,618 Publishing & Broadcasting Ltd. 296,561
---------------
1,961,956
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.1% 98,145 Alumina Ltd. 456,999
641,205 BHP Billiton Ltd. 7,710,506
101,908 BlueScope Steel Ltd. 659,057
32,692 Iluka Resources Ltd. 161,195
44,677 Newcrest Mining Ltd. 611,139
59,684 OneSteel Ltd. 120,241
27,819 Rio Tinto Ltd. 853,102
362,786 WMC Resources Ltd. 2,053,281
---------------
12,625,520
-------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 89,908 Harvey Norman Holdings Ltd. 222,008
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.2% 78,713 Santos Ltd. (g) 523,242
85,567 Woodside Petroleum Ltd. 1,348,227
---------------
1,871,469
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 406,545 PaperlinX Ltd. (g) 1,504,220
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.3% 188,721 CFS Gandel Retail Trust 236,701
55,275 Commonwealth Property Office Fund 54,163
114,739 DB RREEF Trust 118,726
120,741 General Property Trust 353,987
216,225 Investa Property Group 383,067
2,402 Lend Lease Corp., Ltd. 24,949
228,780 Macquarie Goodman Industrial Trust 425,037
77,352 Stockland 363,211
159,588 Westfield Group (b)(g) 2,055,410
---------------
4,015,251
- ------------------------------------------------------------------------------------------------------------------------------------
5
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Australia (concluded) Road & Rail - 0.0% 31,134 Toll Holdings Ltd. $ 312,152
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 411,991 Macquarie Infrastructure Group 1,098,063
20,547 Patrick Corp. Ltd. 105,983
90,387 Transurban Group 474,724
---------------
1,678,770
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia 61,319,822
- ------------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 1.6% Airlines - 0.0% 154,000 Cathay Pacific Airways Ltd. 291,250
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 713,643 BOC Hong Kong Holdings Ltd. 1,363,439
68,954 Hang Seng Bank Ltd. 958,101
---------------
2,321,540
-------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 1,000 Li & Fung Ltd. 1,685
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 168,500 CLP Holdings Ltd. 969,026
135,000 Cheung Kong Infrastructure Holdings Ltd. 389,922
87,000 Hong Kong Electric Holdings Ltd. 397,352
---------------
1,756,300
-------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 229,500 Johnson Electric Holdings Ltd. 222,924
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 458,500 Kingboard Chemical Holdings Ltd. 970,361
- 0.1%
-------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 257,792 Hong Kong & China Gas 532,320
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 78,391 Shangri-La Asia Ltd. (g) 112,453
-------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 118,041 Techtronic Industries Co. 257,413
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 283,643 Hutchison Whampoa Ltd. 2,654,808
84,000 Swire Pacific Ltd. Class B 124,821
---------------
2,779,629
-------------------------------------------------------------------------------------------------------------
Marine - 0.0% 21,069 Orient Overseas International Ltd. 79,828
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.7% 245,600 Cheung Kong Holdings Ltd. 2,448,827
183,000 Henderson Land Development Co., Ltd. 951,175
355,838 New World Development Ltd. 398,290
124,355 Sino Land Co. 122,392
219,600 Sun Hung Kai Properties Ltd. 2,196,650
174,000 Swire Pacific Ltd. Class A 1,455,093
70,000 Wharf Holdings Ltd. 244,960
---------------
7,817,387
-------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 7,740 MTR Corp. 12,398
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 17,000 ASM Pacific Technology (g) 61,240
Equipment - 0.0%
-------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 192,000 Esprit Holdings Ltd. 1,160,987
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 105,000 Hopewell Holdings 269,501
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 178,000 Hutchison Telecommunications
- 0.0% International Ltd. (b) 160,305
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 18,807,521
- ------------------------------------------------------------------------------------------------------------------------------------
Japan - 20.4% Air Freight & Logistics - 0.2% 159,000 Yamato Transport Co., Ltd. (g) 2,358,544
-------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 70,000 All Nippon Airways Co., Ltd. 243,876
203,000 Japan Airlines Corp. 588,377
---------------
832,253
-------------------------------------------------------------------------------------------------------------
Auto Components - 0.4% 86,400 Aisin Seiki Co., Ltd. 2,188,036
61,200 Denso Corp. 1,639,446
14,000 NOK Corp. (g) 438,567
17,000 Sanden Corp. (g) 105,182
7,000 Toyoda Gosei Co., Ltd. (g) 142,432
31,300 Toyota Industries Corp. 781,965
---------------
5,295,628
-------------------------------------------------------------------------------------------------------------
Automobiles - 2.1% 105,500 Honda Motor Co., Ltd. 5,467,015
333,700 Nissan Motor Co., Ltd. 3,627,811
386,100 Toyota Motor Corp. 15,712,277
18,000 Yamaha Motor Co., Ltd. (g) 270,167
---------------
25,077,270
-------------------------------------------------------------------------------------------------------------
Beverages - 0.2% 88,000 Asahi Breweries Ltd. 1,089,802
6,700 Coca-Cola West Japan Co., Ltd. 171,963
97,000 Kirin Brewery Co., Ltd. 955,138
46,000 Sapporo Holdings Ltd. (g) 217,722
22,000 Takara Holdings, Inc. (g) 143,203
---------------
2,577,828
-------------------------------------------------------------------------------------------------------------
Building Products - 0.3% 127,000 Asahi Glass Co., Ltd. (g) 1,400,507
28,000 Central Glass Co., Ltd. 198,380
17,000 Daikin Industries Ltd. 491,071
41,000 JS Group Corp. (g) 744,618
23,000 Sanwa Shutter Corp. 128,838
63,000 Toto Ltd. 601,288
---------------
3,564,702
-------------------------------------------------------------------------------------------------------------
Capital Markets - 0.5% 128,000 Daiwa Securities Group, Inc. 924,368
3,500 Jafco Co., Ltd. 237,728
129,000 Nikko Cordial Corp. 683,585
221,000 Nomura Holdings, Inc. 3,222,153
---------------
5,067,834
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.8% 126,000 Asahi Kasei Corp. 630,799
97,000 Dainippon Ink and Chemicals, Inc. 223,402
56,000 Denki Kagaku Kogyo Kabushiki Kaisha 186,357
45,000 Ishihara Sangyo Kaisha Ltd. 103,201
7,000 JSR Corp. 153,362
52,000 Kuraray Co., Ltd. 466,361
644,000 Mitsubishi Chemical Corp. 1,960,847
47,000 Mitsubishi Gas Chemical Co., Inc. 221,538
65,000 Mitsubishi Rayon Co., Ltd. 236,606
78,000 Mitsui Chemicals, Inc. 424,749
21,000 Nissan Chemical Industries Ltd. 165,385
15,670 Nitto Denko Corp. 859,426
23,200 Shin-Etsu Chemical Co., Ltd. 950,912
210,000 Showa Denko KK (g) 541,036
163,000 Sumitomo Chemical Co., Ltd. (g) 798,536
6
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Japan (continued) Chemicals (concluded) 106,000 Teijin Ltd. (g) $ 460,330
208,000 Toray Industries, Inc. 974,334
57,000 Tosoh Corp. 256,436
50,000 Ube Industries Ltd. 84,415
23,000 Zeon Corp. 193,032
---------------
9,891,064
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.2% 31,000 The Bank of Fukuoka Ltd. (g) 204,206
387,000 The Bank of Yokohama Ltd. (b)(g) 2,439,758
60,000 The Chiba Bank Ltd. (g) 401,093
52,000 The Gunma Bank Ltd. 301,942
113,000 Hokuhoku Financial Group, Inc. 308,773
111,000 The Joyo Bank Ltd. 541,622
590 Mitsubishi Tokyo Financial Group, Inc. 5,988,094
70,000 Mitsui Trust Holdings, Inc. (g) 699,522
999 Mizuho Financial Group, Inc. 5,030,585
1,145,000 Resona Holdings, Inc. (g) 2,324,192
246,100 Shinsei Bank Ltd. (g) 1,676,372
82,000 The Shizuoka Bank Ltd. (g) 777,027
317,000 The Sumitomo Trust & Banking Co., Ltd. 2,292,349
493 UFJ Holdings, Inc. 2,987,733
---------------
25,973,268
-------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.2% 8,800 Benesse Corp. 308,305
61,000 Dai Nippon Printing Co., Ltd. 978,667
22,500 Secom Co., Ltd. 900,263
55,000 Toppan Printing Co., Ltd. 610,276
---------------
2,797,511
-------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 9,000 Uniden Corp. 177,418
-------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.7% 426,000 Fujitsu Ltd. 2,772,929
261,000 NEC Corp. (g) 1,622,494
18,500 Seiko Epson Corp. 823,265
719,000 Toshiba Corp. (g) 3,087,343
---------------
8,306,031
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.2% 14,000 COMSYS Holdings Corp. 129,657
26,000 JGC Corp. 237,748
176,000 Kajima Corp. (g) 757,451
74,000 Obayashi Corp. 466,517
24,000 Okumura Corp. 151,771
28,000 Shimizu Corp. 140,451
74,000 Taisei Corp. 288,143
---------------
2,171,738
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 59,000 Sumitomo Osaka Cement Co., Ltd. 144,520
183,000 Taiheiyo Cement Corp. (g) 455,402
---------------
599,922
-------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.4% 23,700 Acom Co., Ltd. 1,773,973
48 Aiful Corp. 5,279
26,200 Credit Saison Co., Ltd. 953,704
7,700 Hitachi Capital Corp. (g) 158,929
12,000 Promise Co., Ltd. 857,227
12,610 Takefuji Corp. (g) 852,809
---------------
4,601,921
-------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.2% 39,000 Toyo Seikan Kaisha Ltd. 719,332
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 664 Nippon Telegraph & Telephone Corp. 2,980,775
Services - 0.3%
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 1.0% 73,200 Chubu Electric Power Co., Inc. (g) 1,757,314
19,300 Electric Power Development Co. 540,558
25,300 Hokkaido Electric Power Co., Inc. 497,507
97,900 The Kansai Electric Power Co., Inc. 1,987,235
130,100 Kyushu Electric Power Co., Inc. (g) 2,628,155
70,800 Tohoku Electric Power Co., Inc. 1,271,318
149,600 The Tokyo Electric Power Co., Inc. 3,671,748
---------------
12,353,835
-------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 86,000 Fuji Electric Holdings Co., Ltd. 231,639
43,000 Fujikura Ltd. (g) 198,068
5,000 Furukawa Electric Co., Ltd. (g) 27,715
2,601 Matsushita Electric Works Ltd. 22,667
512,000 Mitsubishi Electric Corp. 2,508,285
96,000 Sumitomo Electric Industries Ltd. 1,044,598
3,000 Ushio, Inc. 56,065
---------------
4,089,037
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 3,000 Alps Electric Co., Ltd. 44,706
- 0.6% 33,000 Citizen Watch Co., Ltd. 317,215
23,000 Dainippon Screen Manufacturing Co., Ltd. 141,183
397,000 Hitachi Ltd. 2,750,756
1,100 Hoya Corp. 124,202
4,300 Mabuchi Motor Co., Ltd. (g) 310,110
27,100 Murata Manufacturing Co., Ltd. 1,515,400
15,000 Oki Electric Industry Co., Ltd. 64,555
35,000 Omron Corp. 835,122
11,700 TDK Corp. 866,624
14,000 Taiyo Yuden Co., Ltd. 162,857
36,000 Yokogawa Electric Corp. (g) 481,312
---------------
7,614,042
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.2% 61,000 Aeon Co., Ltd. 1,017,956
6,300 Circle K Sunkus Co., Ltd. (g) 162,003
1,200 Lawson, Inc. 44,267
45,000 Seven-Eleven Japan Co., Ltd. (g) 1,418,464
21,000 UNY Co., Ltd. 239,982
---------------
2,882,672
- ------------------------------------------------------------------------------------------------------------------------------------
7
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Japan (continued) Food Products - 0.4% 210,000 Ajinomoto Co., Inc. $ 2,500,244
800 Ariake Japan Co., Ltd. 19,284
8,000 Kikkoman Corp. 76,276
32,000 Meiji Dairies Corp. (g) 189,870
33,000 Nichirei Corp. 131,395
11,400 Nissin Food Products Co., Ltd. 285,918
5,500 Snow Brand Milk Products Co.,
Ltd. (b)(g) 16,907
16,000 Yakult Honsha Co., Ltd. (g) 284,805
171,000 Yamazaki Baking Co., Ltd. 1,592,017
---------------
5,096,716
-------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.2% 566,000 Osaka Gas Co., Ltd. 1,767,542
215,000 Tokyo Gas Co., Ltd. 881,234
---------------
2,648,776
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 30,000 Olympus Corp. 639,699
- 0.1% 23,700 Terumo Corp. 638,353
---------------
1,278,052
-------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 2,900 Alfresa Holdings Corp. (g) 106,412
- 0.0% 12,800 MEDICEO Holdings Co., Ltd. 144,027
2,800 Nichii Gakkan Co. (g) 90,719
---------------
341,158
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 10,500 Oriental Land Co., Ltd. (g) 729,579
4,900 Saizeriya Co., Ltd. (g) 83,874
---------------
813,453
-------------------------------------------------------------------------------------------------------------
Household Durables - 1.2% 26,000 Casio Computer Co., Ltd. (g) 401,152
13,400 Daito Trust Construction Co., Ltd. (g) 636,850
49,000 Daiwa House Industry Co., Ltd. 557,090
20,000 Makita Corp. 349,761
283,000 Matsushita Electric Industrial Co., Ltd. 4,490,661
20,400 Pioneer Corp. 398,165
284,000 Sanyo Electric Co., Ltd. (g) 981,126
58,000 Sekisui Chemical Co., Ltd. 423,948
66,000 Sekisui House Ltd. 769,045
36,000 Sharp Corp. (g) 587,762
126,100 Sony Corp. (g) 4,873,192
3,000 Sony Corp. (a) 116,880
---------------
14,585,632
-------------------------------------------------------------------------------------------------------------
Household Products - 0.1% 62,000 Kao Corp. 1,585,244
5,800 Uni-Charm Corp. (g) 277,915
---------------
1,863,159
-------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 27,878 CSK Corp. 1,262,359
3,800 Itochu Techno-Science Corp. (g) 152,045
4,700 TIS, Inc. 205,943
---------------
1,620,347
-------------------------------------------------------------------------------------------------------------
Insurance - 0.7% 177 Millea Holdings, Inc. 2,625,549
178,000 Mitsui Sumitomo Insurance Co., Ltd. 1,546,013
134,000 Sompo Japan Insurance, Inc. 1,365,239
51,950 T&D Holdings, Inc. 2,484,190
---------------
8,020,991
-------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.1% 212 Yahoo! Japan Corp. (b) 1,017,898
-------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.4% 63,000 Fuji Photo Film Co., Ltd. 2,299,405
7,800 Sankyo Co., Ltd. 394,301
26,088 Sega Sammy Holdings, Inc. 1,433,351
100 Shimano, Inc. 2,854
37,800 Yamaha Corp. 576,942
---------------
4,706,853
-------------------------------------------------------------------------------------------------------------
Machinery - 0.7% 14,000 Amano Corp. 139,085
33,000 Hino Motors Ltd. (g) 245,077
13,000 Hitachi Construction Machinery Co., Ltd. 178,755
148,000 Ishikawajima-Harima Heavy Industries
Co., Ltd. (g) 203,650
162,000 Kawasaki Heavy Industries Ltd. 265,600
167,000 Komatsu Ltd. 1,168,527
430,000 Kubota Corp. 2,131,746
823,000 Mitsubishi Heavy Industries Ltd. 2,337,201
88,000 Mitsui Engineering & Shipbuilding Co.,
Ltd. 150,288
62,000 NSK Ltd. 311,603
82,100 Nippon Sharyo Ltd. 203,507
5,100 SMC Corp. 583,810
74,000 Sumitomo Heavy Industries Ltd. (b)(g) 275,144
12,600 THK Co., Ltd. 249,615
8,000 Takuma Co., Ltd. (g) 63,004
---------------
8,506,612
-------------------------------------------------------------------------------------------------------------
Marine - 0.3% 68,000 Kawasaki Kisen Kaisha Ltd. (g) 437,318
323,000 Mitsui OSK Lines Ltd. 1,938,567
124,000 Nippon Yusen Kabushiki Kaisha 667,981
---------------
3,043,866
-------------------------------------------------------------------------------------------------------------
Media - 0.0% 18,000 Toho Co., Ltd. 284,395
5,000 Tokyo Broadcasting System, Inc. 81,536
---------------
365,931
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.5% 29,900 JFE Holdings, Inc. 853,494
313,000 Kobe Steel Ltd. (g) 479,565
120,000 Mitsubishi Materials Corp. 251,781
59,000 Nippon Light Metal Co., Ltd. (g) 149,127
650,000 Nippon Steel Corp. 1,592,173
95,000 Nisshin Steel Co., Ltd. 218,796
1,169,000 Sumitomo Metal Industries Ltd. 1,585,742
200,000 Sumitomo Metal Mining Co., Ltd. 1,428,711
---------------
6,559,389
- ------------------------------------------------------------------------------------------------------------------------------------
8
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Japan (concluded) Multiline Retail - 0.1% 28,000 Daimaru, Inc. (g) $ 229,257
22,000 Marui Co., Ltd. 294,564
98,888 Mitsukoshi Ltd. (g) 480,592
3,200 Ryohin Keikaku Co., Ltd. 160,828
---------------
1,165,241
-------------------------------------------------------------------------------------------------------------
Office Electronics - 0.7% 106,400 Canon, Inc. 5,742,090
44,000 Konica Minolta Holdings, Inc. 583,976
79,000 Ricoh Co., Ltd. 1,524,183
---------------
7,850,249
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.2% 251,500 Nippon Mining Holdings, Inc. 1,183,010
124,000 Nippon Oil Corp. 795,042
---------------
1,978,052
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 124 Nippon Paper Group, Inc. (g) 556,651
106,000 OJI Paper Co., Ltd. 608,256
---------------
1,164,907
-------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 6,200 Kanebo Ltd. (b) 90,153
18,000 Shiseido Co., Ltd. (g) 260,681
---------------
350,834
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.1% 23,000 Chugai Pharmaceutical Co., Ltd. 380,228
37,300 Daiichi Pharmaceutical Co., Ltd. 806,280
25,000 Eisai Co., Ltd. 822,192
60,870 Fujisawa Pharmaceutical Co., Ltd. 1,666,247
49,000 Kyowa Hakko Kogyo Co., Ltd. 368,205
66,900 Sankyo Co., Ltd. 1,511,403
42,000 Shionogi & Co., Ltd. 580,794
26,000 Taisho Pharmaceutical Co., Ltd. 565,824
116,000 Takeda Pharmaceutical Co., Ltd. 5,841,319
20,000 Yamanouchi Pharmaceutical Co., Ltd. 778,765
---------------
13,321,257
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.3% 13,956 Leopalace21 Corp. (g) 245,698
67,000 Mitsubishi Estate Co., Ltd. 784,620
68,000 Mitsui Fudosan Co., Ltd. 826,193
132,000 Sumitomo Realty & Development Co., Ltd. 1,721,011
46,000 Tokyu Land Corp. 192,134
---------------
3,769,656
-------------------------------------------------------------------------------------------------------------
Road & Rail - 0.5% 140 Central Japan Railway Co. (g) 1,143,554
1,000 Keihin Electric Express Railway Co.,
Ltd. 6,158
73,000 Keio Electric Railway Co., Ltd. 428,155
280,000 Kintetsu Corp. (g) 967,308
112,000 Nippon Express Co., Ltd. 551,966
95,000 Odakyu Electric Railway Co., Ltd. (g) 550,698
3,000 Seino Transportation Co., Ltd. 28,106
118,000 Tobu Railway Co., Ltd. 449,107
96,000 Tokyu Corp. 519,020
322 West Japan Railway Co. 1,300,947
---------------
5,945,019
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 24,100 NEC Electronics Corp. (g) 1,175,954
Equipment - 0.3% 14,000 Nikon Corp. (g) 172,968
38,500 Tokyo Electron Ltd. 2,370,791
---------------
3,719,713
-------------------------------------------------------------------------------------------------------------
Software - 0.1% 4,000 Fuji Soft ABC, Inc. 132,331
100 Konami Corp. 2,318
200 Namco Ltd. 2,625
11,500 Nintendo Co., Ltd. 1,444,374
1,100 Oracle Corp. (g) 57,002
7,500 Trend Micro, Inc. (b)(g) 404,753
---------------
2,043,403
-------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 3,800 Fast Retailing Co., Ltd. 289,255
6,500 Shimachu Co., Ltd. 160,803
1,000 Shimamura Co., Ltd. (g) 72,997
16,300 Yamada Denki Co., Ltd. (g) 698,321
---------------
1,221,376
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 14,000 Gunze Ltd. 65,034
- 0.0% 12,000 Tokyo Style Co., Ltd. 140,880
74,000 Toyobo Co., Ltd. 178,374
---------------
384,288
-------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 116 Japan Tobacco, Inc. 1,324,485
-------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors 114,000 Itochu Corp. 527,335
- 0.5% 175,000 Marubeni Corp. 485,020
104,200 Mitsubishi Corp. 1,346,353
69,200 Mitsui & Co., Ltd. 620,619
307,000 Sumitomo Corp. 2,648,463
---------------
5,627,790
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 2,492 NTT DoCoMo, Inc. 4,596,350
- 0.4%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan 244,864,078
- ------------------------------------------------------------------------------------------------------------------------------------
New Zealand - 0.3% Construction Materials - 0.1% 58,256 Fletcher Building Ltd. 278,558
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 438,324 Telecom Corp. of New Zealand Ltd. (g) 1,947,099
Services - 0.2%
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 51,437 Contact Energy Ltd. (g) 237,779
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 80,276 Fisher & Paykel Healthcare Corp. 187,866
- 0.0%
-------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 39,972 Fisher & Paykel Appliances Holdings Ltd. 124,149
-------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 64,143 Tower Ltd. (b) 99,147
-------------------------------------------------------------------------------------------------------------
Media - 0.0% 9,510 Independent Newspapers Ltd. 39,497
14,125 Sky Network Television Ltd. (b) 62,745
---------------
102,242
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 83,574 Carter Holt Harvey Ltd. 124,957
601 Tenon Ltd. 955
---------------
125,912
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 42,358 Auckland International Airport Ltd. 244,150
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand 3,346,902
- ------------------------------------------------------------------------------------------------------------------------------------
Singapore - 0.7% Aerospace & Defense - 0.1% 983,000 Singapore Technologies Engineering Ltd. 1,403,081
- ------------------------------------------------------------------------------------------------------------------------------------
9
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Singapore (concluded) Airlines - 0.1% 200,468 Singapore Airlines Ltd. $ 1,399,985
-------------------------------------------------------------------------------------------------------------
Beverages - 0.0% 24,126 Fraser and Neave Ltd. 240,905
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 199,652 DBS Group Holdings Ltd. 1,969,124
96,899 Oversea-Chinese Banking Corp. 801,358
111,615 United Overseas Bank Ltd. 943,572
---------------
3,714,054
-------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 32,600 Datacraft Asia Limited 35,208
-------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 7,109 Creative Technology Ltd. 106,260
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 642 Singapore Telecommunications Ltd. 932
Services - 0.0%
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 31,000 Venture Corp. Ltd. 301,948
- 0.0%
-------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 81,000 Parkway Holdings Ltd. 74,430
- 0.0%
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 8,000 Overseas Union Enterprise Ltd. 38,226
-------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 62,000 SembCorp Marine Ltd. 51,654
-------------------------------------------------------------------------------------------------------------
Marine - 0.0% 107,000 Neptune Orient Lines Ltd. 196,643
-------------------------------------------------------------------------------------------------------------
Media - 0.1% 365,250 Singapore Press Holdings Ltd. 1,029,251
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 57,000 Allgreen Properties Ltd. 37,711
138,000 CapitaLand Ltd. 180,066
27,000 City Developments Ltd. 117,434
43,000 Keppel Land Ltd. 59,269
55,801 United Overseas Land Ltd. 69,050
95,666 Wing Tai Holdings Ltd. 58,605
---------------
522,135
-------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 58,000 SMRT Corp. Ltd. 31,267
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 3,500 Chartered Semiconductor Manufacturing
Equipment - 0.0% Ltd. (a)(b)(g) 21,140
79,000 Chartered Semiconductor Manufacturing
Ltd. (b)(g) 47,427
19,000 STATS ChipPAC Ltd. (b)(g) 11,756
---------------
80,323
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 35,000 SembCorp Logistics Ltd. 37,093
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore 9,263,395
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Pacific
Basin/Asia 337,601,718
- ------------------------------------------------------------------------------------------------------------------------------------
Western Europe - 68.4%
- ------------------------------------------------------------------------------------------------------------------------------------
Austria - 0.4% Building Products - 0.1% 9,674 Wienerberger AG 462,201
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 5,785 Bank Austria Creditanstalt AG 522,907
5,117 Bayerische Hypo-und Vereinsbank AG (b) 116,710
24,182 Erste Bank der Oesterreichischen
Sparkassen AG 1,291,766
---------------
1,931,383
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 3,219 RHI AG 97,572
-------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 870 Mayr-Melnhof Karton AG 148,173
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 22,340 Telekom Austria AG 423,601
Services - 0.0%
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 424 Verbund - Oesterreichische
Elektrizitaetswirtschafts AG 94,459
-------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 1,524 VA Technologie 121,183
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 5,085 Boehler-Uddeholm AG 642,658
7,792 Voestalpine AG (g) 605,291
---------------
1,247,949
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 38,887 IMMOFINANZ Immobilien Anlagen AG (b) 372,114
-------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 0.0% 913 Hypo Real Estate Holding AG (b) 37,751
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 1,737 Flughafen Wien AG 131,509
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria 5,067,895
- ------------------------------------------------------------------------------------------------------------------------------------
Belgium - 1.3% Beverages - 0.0% 14,143 InBev NV 548,649
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 6,897 Solvay SA 759,354
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 64,085 Dexia 1,473,859
8,217 KBC Bancassurance Holding 631,046
---------------
2,104,905
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 30,640 Suez SA (b) 416
-------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 479 D'ieteren SA (g) 88,873
-------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.5% 171,430 Fortis 4,741,879
12,542 Groupe Bruxelles Lambert SA 1,021,158
---------------
5,763,037
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 28,136 Belgacom SA (b) 1,216,154
Services - 0.1%
-------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 2,780 Bekaert SA 221,999
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 12,506 Barco NV 1,156,767
- 0.1%
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 2,938 Colruyt SA 477,620
10,444 Delhaize Group 794,266
---------------
1,271,886
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 2,949 Omega Pharma SA 141,297
- 0.0%
-------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 370 AGFA-Gevaert NV 12,553
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 7,985 Umicore 751,612
138 Umicore (b) 19
---------------
751,631
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 29,647 UCB SA 1,507,133
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 4,225 Mobistar SA (b) 395,968
- 0.0%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium 15,940,622
- ------------------------------------------------------------------------------------------------------------------------------------
Denmark - 0.7% Beverages - 0.1% 30,509 Carlsberg A/S 1,544,251
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 32,822 Danske Bank A/S 1,006,092
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 49,043 FLS Industries A/S Class B 923,048
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 33,301 TDC A/S 1,410,221
Services - 0.1%
-------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 4,027 NKT Holding A/S 117,369
3,815 Vestas Wind Systems A/S 47,404
---------------
164,773
-------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 8,244 Danisco A/S 503,147
3,292 East Asiatic Co., Ltd. A/S 172,945
---------------
676,092
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 4,949 GN Store Nord 53,356
- 0.0%
-------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 1,901 Bang & Olufsen A/S Class B 142,074
-------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 4,241 Topdanmark A/S (b) 334,007
-------------------------------------------------------------------------------------------------------------
Marine - 0.1% 146 AP Moller - Maersk A/S 1,205,873
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 56,107 H Lundbeck A/S 1,250,798
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark 8,710,585
- ------------------------------------------------------------------------------------------------------------------------------------
Finland - 1.4% Auto Components - 0.0% 1,535 Nokian Renkaat Oyj 233,265
-------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.8% 597,971 Nokia Oyj 9,444,642
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 20,546 Elisa Corp. 331,216
Services - 0.0% 45,877 TeliaSonera AB 273,129
---------------
604,345
- ------------------------------------------------------------------------------------------------------------------------------------
10
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Finland (concluded) Electric Utilities - 0.1% 47,928 Fortum Oyj $ 887,290
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 9,693 Kesko Oyj Class B 236,495
-------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 11,686 Tietoenator Oyj 371,690
-------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 8,985 Pohjola Group Plc Class D 103,687
60,144 Sampo Oyj 830,587
---------------
934,274
-------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 11,895 Amer Group 207,762
-------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 6,420 Kone Oyj Class B 498,189
15,213 Metso Oyj 241,109
8,751 Wartsila Oyj 186,510
---------------
925,808
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 33,383 Outokumpu Oyj 596,692
12,086 Rautaruukki Oyj 143,580
---------------
740,272
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.2% 92,863 Stora Enso Oyj Class R 1,422,545
58,004 UPM-Kymmene Oyj 1,289,854
---------------
2,712,399
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland 17,298,242
- ------------------------------------------------------------------------------------------------------------------------------------
France - 9.2% Aerospace & Defense - 0.2% 64,432 European Aeronautic Defense and Space
Co. (g) 1,873,319
3,655 Thales SA 175,472
15,064 Zodiac SA (g) 701,294
---------------
2,750,085
-------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 50,499 Air France-KLM 962,343
-------------------------------------------------------------------------------------------------------------
Auto Components - 0.2% 26,538 Compagnie Generale des Etablissements
Michelin 1,702,227
9,795 Valeo SA 410,067
---------------
2,112,294
-------------------------------------------------------------------------------------------------------------
Automobiles - 0.4% 42,541 Peugeot SA 2,700,373
19,922 Renault SA 1,666,711
---------------
4,367,084
-------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 3,970 Pernod-Ricard 608,154
-------------------------------------------------------------------------------------------------------------
Building Products - 0.2% 37,883 Cie de Saint-Gobain 2,282,146
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.3% 109,459 BNP Paribas 7,930,087
101,837 Credit Agricole SA (g) 3,072,966
47,655 Societe Generale 4,822,502
---------------
15,825,555
-------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 2,491 Adecco SA Registered Shares 125,109
6,239 Societe BIC SA 313,773
---------------
438,882
-------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.2% 109,777 Alcatel SA (b) 1,708,504
24,821 Alcatel SA (a)(b) 387,952
12,005 SAGEM SA (b)(g) 255,863
---------------
2,352,319
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 30,405 Suez SA 805,069
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.3% 5,736 Imerys SA 481,444
27,468 Lafarge SA 2,650,847
---------------
3,132,291
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 138,774 France Telecom SA 4,594,991
Services - 0.4%
-------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% 33,320 Alstom 25,363
22,672 Schneider Electric SA 1,577,826
---------------
1,603,189
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 84,177 Carrefour SA 4,009,191
4,249 Casino Guichard Perrachon SA 339,597
---------------
4,348,788
-------------------------------------------------------------------------------------------------------------
Food Products - 0.3% 36,504 Groupe Danone 3,371,547
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 9,467 Cie Generale d'Optique Essilor
- 0.1% International SA 741,841
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 19,217 Accor SA 841,348
-------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 3,086 Atos Origin (b) 209,606
16,032 Cap Gemini SA 513,408
---------------
723,014
-------------------------------------------------------------------------------------------------------------
Insurance - 0.6% 203,886 AXA 5,038,259
32,060 AXA (a) 793,485
22,769 CNP Assurances 1,630,999
---------------
7,462,743
-------------------------------------------------------------------------------------------------------------
Media - 0.5% 15,742 Lagardere S.C.A. 1,136,197
7,758 Publicis Groupe 251,500
15,459 Societe Television Francaise 1 503,253
74,053 Vivendi Universal SA (b) 2,364,422
50,000 Vivendi Universal SA (a)(b) 1,603,500
---------------
5,858,872
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 55,896 Arcelor 1,289,323
-------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power 119,153 Suez SA 3,177,629
- 0.3% 23,992 Veolia Environnement 868,434
---------------
4,046,063
-------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.2% 22,430 Pinault-Printemps-Redoute 2,245,439
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 1.1% 58,548 Total SA 12,788,723
-------------------------------------------------------------------------------------------------------------
Personal Products - 0.3% 45,775 L'Oreal SA 3,474,968
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.9% 131,529 Sanofi-Aventis 10,346,193
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.2% 7,968 Gecina SA 789,544
3,830 Klepierre 339,166
9,339 Unibail (g) 1,469,969
---------------
2,598,679
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 95,025 STMicroelectronics NV 1,853,485
Equipment - 0.2%
-------------------------------------------------------------------------------------------------------------
Software - 0.0% 8,815 Business Objects SA (b) 222,622
3,864 Dassault Systemes SA 194,854
---------------
417,476
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 28,656 LVMH Moet Hennessy Louis Vuitton SA 2,194,870
- 0.2%
-------------------------------------------------------------------------------------------------------------
Tobacco - 0.0% 8,884 Altadis SA 405,377
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 9,528 Autoroutes du Sud de la France 479,184
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 21,062 Bouygues 973,370
- 0.1%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in France 108,295,705
- ------------------------------------------------------------------------------------------------------------------------------------
Germany - 6.8% Air Freight & Logistics - 0.1% 55,806 Deutsche Post AG 1,281,937
-------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 59,128 Deutsche Lufthansa AG 847,901
-------------------------------------------------------------------------------------------------------------
Automobiles - 0.7% 114,796 DaimlerChrysler AG 5,501,844
48,578 Volkswagen AG (g) 2,202,088
---------------
7,703,932
- ------------------------------------------------------------------------------------------------------------------------------------
11
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Germany (concluded) Biotechnology - 0.0% 21,419 Qiagen NV (b)(g) $ 234,366
-------------------------------------------------------------------------------------------------------------
Capital Markets - 0.5% 63,056 Deutsche Bank AG Registered Shares 5,598,502
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.7% 64,509 BASF AG 4,647,243
97,931 Bayer AG 3,319,830
6,605 Linde AG 413,520
---------------
8,380,593
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 76,969 Bayerische Hypo-und Vereinsbank AG (b) 1,747,155
68,156 Commerzbank AG 1,404,438
48,388 Depfa Bank Plc 812,276
---------------
3,963,869
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 1,861 HeidelbergCement AG 112,060
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 406,466 Deutsche Telekom AG (b) 9,198,938
Services - 0.8%
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.7% 85,646 E.ON AG 7,806,743
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 61,831 Epcos AG 924,481
- 0.1%
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 27,702 Metro AG 1,524,608
-------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 8,956 Suedzucker AG 186,254
-------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 9,454 Celesio AG 768,965
- 0.1% 4,873 Fresenius Medical Care AG 392,185
---------------
1,161,150
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 34,504 TUI AG (g) 816,990
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.7% 104,592 Siemens AG (g) 8,868,355
-------------------------------------------------------------------------------------------------------------
Insurance - 0.6% 8,400 Allianz AG (b) 1,304,472
14,187 Allianz AG Registered Shares 1,882,087
32,899 Muenchener Rueckversicherungs AG
Registered Shares 4,044,739
---------------
7,231,298
-------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 3,778 MAN AG 145,533
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.2% 88,930 ThyssenKrupp AG (g) 1,958,225
-------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power 33,374 RWE AG (g) 1,846,298
- 0.2%
-------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 4,798 KarstadtQuelle AG (g) 49,500
-------------------------------------------------------------------------------------------------------------
Personal Products - 0.1% 14,487 Beiersdorf AG (g) 1,685,588
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.3% 28,280 Altana AG 1,787,825
17,514 Schering AG 1,309,563
---------------
3,097,388
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 4,850 Infineon Technologies AG 52,607
Equipment - 0.0%
-------------------------------------------------------------------------------------------------------------
Software - 0.2% 12,133 SAP AG 2,167,019
10,000 SAP AG (a) 442,100
---------------
2,609,119
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 6,981 Adidas-Salomon AG 1,126,810
- 0.1%
-------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 0.1% 27,500 Hypo Real Estate Holding AG (b) 1,140,071
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany 79,553,116
- ------------------------------------------------------------------------------------------------------------------------------------
Greece - 0.6% Beverages - 0.1% 24,061 Coca Cola Hellenic Bottling Co. SA 588,688
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 28,164 Alpha Bank AE 982,314
25,787 EFG Eurobank Ergasias SA 885,388
9,118 Emporiki Bank of Greece SA 289,515
36,498 National Bank of Greece SA 1,204,528
1 Piraeus Bank SA 17
---------------
3,361,762
-------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 11,897 Intracom SA 64,361
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 10,642 Titan Cement Co. SA 315,340
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 35,535 Hellenic Telecommunications
Services - 0.1% Organization SA 638,538
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 35,935 OPAP SA 993,500
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 16,252 Viohalco, Hellenic Copper and Aluminum
Industry SA 148,007
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.0% 48,260 Hellenic Petroleum SA 524,779
-------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 1 Hellenic Duty Free Shops SA 18
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 2,801 Folli - Follie SA Registered Shares 82,237
- 0.0%
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 14,600 Cosmote Mobile Telecommunications SA 292,119
- 0.0%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Greece 7,009,349
- ------------------------------------------------------------------------------------------------------------------------------------
Ireland - 0.9% Airlines - 0.1% 66,046 Ryanair Holdings Plc (b) 471,308
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 95,898 Allied Irish Banks Plc 2,000,862
162,059 Bank of Ireland 2,691,961
---------------
4,692,823
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 55,136 CRH Plc 1,476,388
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 80,281 Eircom Group Plc 188,781
Services - 0.0%
-------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 174,430 Greencore Group Plc 716,024
25,251 Kerry Group Plc 605,791
---------------
1,321,815
-------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 44,598 Waterford Wedgwood Plc 3,758
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 13,839 DCC Plc 309,435
-------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 19,404 Irish Life & Permanent Plc 363,973
-------------------------------------------------------------------------------------------------------------
Media - 0.0% 70,228 Independent News & Media Plc 221,461
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 54,798 Elan Corp. Plc (b) 1,459,890
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland 10,509,632
- ------------------------------------------------------------------------------------------------------------------------------------
Italy - 4.0% Aerospace & Defense - 0.0% 470,012 Finmeccanica SpA 425,611
-------------------------------------------------------------------------------------------------------------
Automobiles - 0.0% 12,285 Fiat SpA (g) 98,520
-------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 41,625 Mediobanca SpA (g) 673,853
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.0% 45,000 Banca Antonveneta SpA 1,186,625
492,283 Banca Intesa SpA 2,114,468
76,200 Banca Monte dei Paschi di Siena SpA (g) 271,884
653,949 Banca Nazionale del Lavoro SpA (g) 1,950,203
54,425 Banca Popolare di Milano SCRL (g) 482,405
30,490 Banche Popolari Unite Scrl 619,705
46,252 Banco Popolare di Verona e Novara Scrl 940,506
271,753 Capitalia SpA 1,245,181
161,762 Sanpaolo IMI SpA 2,330,674
4,159 UniCredito Italiano SpA 23,913
---------------
11,165,564
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 36,928 Italcementi SpA 594,653
-------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 20,918 FinecoGroup SpA 161,555
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 2,311,925 elecom Italia SpA (g) 8,374,115
Services - 0.7%
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.6% 459,264 Enel SpA (g) 4,513,984
603,004 Terna SpA 1,729,426
---------------
6,243,410
-------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 204,697 Snam Rete Gas SpA 1,190,843
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 1,205,011 Pirelli & C SpA 1,624,808
- ------------------------------------------------------------------------------------------------------------------------------------
12
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Italy (concluded) Insurance - 0.2% 91,406 Alleanza Assicurazioni SpA $ 1,275,982
554 Assicurazioni Generali SpA 18,803
56,732 Riunione Adriatica di Sicurta SpA 1,283,160
---------------
2,577,945
-------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.0% 115,544 Telecom Italia Media SpA (b)(g) 52,283
8,999 Tiscali SpA (b)(g) 33,442
---------------
85,725
-------------------------------------------------------------------------------------------------------------
Media - 0.1% 46,294 Mediaset SpA 587,091
-------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power 546,614 Edison SpA (b)(g) 1,165,743
- 0.1%
-------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 18,782 Rinascente SpA (b) 12,765
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.6% 345,828 ENI SpA 8,658,627
-------------------------------------------------------------------------------------------------------------
Retail - 0.0% 18,782 Rozzano 0
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 18,800 Bulgari SpA 232,285
- 0.0%
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 14,297 Autostrade SpA 382,834
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 538,567 TIM SpA 4,026,259
- 0.3%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy 48,282,206
- ------------------------------------------------------------------------------------------------------------------------------------
Luxembourg - 0.1% Personal Products - 0.1% 27,345 Oriflame Cosmetics SA (b) 633,691
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Luxembourg 633,691
- ------------------------------------------------------------------------------------------------------------------------------------
Netherlands - 4.9% Air Freight & Logistics - 0.1% 39,412 TPG NV 1,070,344
-------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 20,488 Heineken NV 683,119
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 26,261 Akzo Nobel NV 1,120,117
9,760 DSM NV 631,740
---------------
1,751,857
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 223,933 ABN AMRO Holding NV 5,932,383
-------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 6,374 Randstad Holdings NV 250,819
10,575 Vedior NV 172,345
---------------
423,164
-------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.7% 4,614 Euronext NV 140,922
9,371 ING Groep NV (a) 283,473
258,939 ING Groep NV CVA 7,834,691
---------------
8,259,086
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 340,224 Royal KPN NV (b) 3,232,521
Services - 0.3%
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 2,923 Koninklijke Ahold NV (a)(b) 22,712
202,229 Koninklijke Ahold NV (b) 1,566,814
---------------
1,589,526
-------------------------------------------------------------------------------------------------------------
Food Products - 0.5% 28,503 Royal Numico NV 1,027,844
71,235 Unilever NV 4,776,434
---------------
5,804,278
-------------------------------------------------------------------------------------------------------------
Household Durables - 0.5% 229,472 Koninklijke Philips Electronics NV 6,085,359
-------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 67,475 Getronics NV (b) 154,082
-------------------------------------------------------------------------------------------------------------
Insurance - 0.2% 187,775 Aegon NV 2,559,988
-------------------------------------------------------------------------------------------------------------
Media - 0.3% 64,946 Reed Elsevier NV 885,427
18,179 VNU NV 536,944
39,119 Wolters Kluwer NV 785,358
---------------
2,207,729
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 1.3% 282,633 Royal Dutch Petroleum Co. 16,268,106
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 3,616 Rodamco Europe NV 287,039
3,363 Wereldhave NV 365,693
---------------
652,732
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 64,085 ASML Holding NV (b) 1,028,740
Equipment - 0.1% 16,292 ASML Holding NV Registered Shares
(a)(b)(g) 259,206
---------------
1,287,946
-------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors 69,608 Hagemeyer NV (g) 160,845
- 0.0%
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 58,123,065
- ------------------------------------------------------------------------------------------------------------------------------------
Norway - 0.6% Airlines - 0.0% 2,550 SAS AB (b) 23,893
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 60,391 Yara International ASA (b)(g) 795,189
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.0% 38,357 DNB NOR ASA 378,399
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 102,910 Telenor ASA 934,518
Services - 0.1%
-------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.1% 80,187 Smedvig ASA Class A (g) 1,347,119
-------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 27,275 Orkla ASA 896,160
-------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 33,716 Storebrand ASA 325,656
-------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 187,635 Tomra Systems ASA (g) 1,031,634
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.1% 70,757 Statoil ASA 1,109,840
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 3,184 Norske Skogindustrier ASA 68,867
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway 6,911,275
- ------------------------------------------------------------------------------------------------------------------------------------
Portugal - 0.5% Commercial Banks - 0.1% 244,485 Banco Comercial Portugues SA Registered
Shares 628,078
14,917 Banco Espirito Santo SA Registered
Shares 269,670
---------------
897,748
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 28,639 Cimpor Cimentos de Portugal SA 161,549
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 146,265 Portugal Telecom SGPS SA Registered
Services - 0.2% Shares 1,809,177
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.2% 791,158 Energias de Portugal SA (g) 2,398,100
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 95,662 Sonae SGPS SA (g) 139,131
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Portugal 5,405,705
- ------------------------------------------------------------------------------------------------------------------------------------
Spain - 3.7% Biotechnology - 0.0% 677 Puleva Biotech SA (b) 2,420
20,062 Zeltia SA (g) 140,437
---------------
142,857
- ------------------------------------------------------------------------------------------------------------------------------------
13
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Spain (concluded) Commercial Banks - 1.5% 356,618 Banco Bilbao Vizcaya Argentaria SA $ 6,325,764
50,000 Banco Bilbao Vizcaya Argentaria SA (a) 887,000
15,804 Banco Popular Espanol SA 1,041,857
774,224 Banco Santander Central Hispano SA 9,608,081
---------------
17,862,702
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 20,811 ACS Actividades de Construccion y
Servicios, SA 475,227
15,695 Acciona SA 1,388,806
8,535 Fomento de Construcciones y Contratas SA 411,030
8,451 Grupo Ferrovial SA 451,670
14,242 Sacyr Vallehermoso SA 235,205
---------------
2,961,938
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 59,921 Telefonica SA (a)(b) 3,385,536
Services - 0.9% 382,628 Telefonica SA (b) 7,208,406
---------------
10,593,942
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.5% 107,553 Endesa Sa (g) 2,527,649
84,185 Iberdrola SA (g) 2,139,812
43,626 Union Fenosa SA (g) 1,147,428
---------------
5,814,889
-------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 10,639 Gas Natural SDG SA 329,134
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 11,019 NH Hoteles SA 146,181
-------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 13,837 Amadeus Global Travel Distribution SA A 142,376
19,379 Indra Sistemas SA 331,105
---------------
473,481
-------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 5,938 Corp Mapfre SA 87,492
-------------------------------------------------------------------------------------------------------------
Media - 0.1% 8,858 Antena 3 de Television SA (b) 639,938
1 Promotora de Informaciones SA 21
5,343 Sogecable SA (b) 237,192
---------------
877,151
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 52,185 Acerinox SA (g) 837,712
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.3% 137,263 Repsol YPF SA (g) 3,574,771
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 8,212 Reno de Medici SpA (b) 8,483
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 5,370 Metrovacesa SA 249,632
-------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 25,132 Inditex SA 741,286
-------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 24,796 Altadis SA 1,135,823
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 19,364 Abertis Infraestructuras SA 426,392
25,700 Cintra Concesiones de Infraestructuras
de Transporte SA (b) 282,256
---------------
708,648
-------------------------------------------------------------------------------------------------------------
Water Utilities - 0.0% 7,711 Sociedad General de Aguas de Barcelona
SA Class A (g) 161,200
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain 46,707,322
- ------------------------------------------------------------------------------------------------------------------------------------
Sweden - 2.4% Airlines - 0.0% 8,494 SAS AB (b)(g) 77,443
-------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 93,970 Trelleborg AB Class B 1,597,889
-------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 65,360 Assa Abloy AB Class B 1,116,315
-------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 86,000 D Carnegie AB 1,112,950
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 290,878 Nordea Bank AB 2,932,679
-------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 45,612 Securitas AB 782,461
-------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.5% 1,938,532 Telefonaktiebolaget LM Ericsson (g) 6,184,260
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 52,411 Skanska AB Class B 628,973
-------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 8,344 OMX AB 106,726
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 20,520 Tele2 AB Class B (g) 805,929
Services - 0.2% 201,676 TeliaSonera AB (g) 1,207,859
---------------
2,013,788
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 26,484 Getinge AB Class B 329,785
- 0.0%
-------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 10,861 Capio AB (b) 129,115
- 0.2% 133,091 Gambro AB (g) 1,877,783
---------------
2,006,898
-------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 54,331 Electrolux AB Class B 1,242,711
-------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 418,245 WM-data AB Class B 906,300
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 48,411 ABB Ltd. (b) 271,726
-------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 57,764 Skandia Forsakrings AB 287,716
-------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 467 Scania AB Class B 18,482
5,736 Volvo AB Class A 218,809
30,058 Volvo AB Class B 1,191,844
---------------
1,429,135
-------------------------------------------------------------------------------------------------------------
Media - 0.0% 27,971 Eniro AB (g) 286,217
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 4,374 Hoganas AB (g) 117,489
2,448 Sapa AB 69,255
8,998 Ssab Svenskt Stal AB Class A 216,643
30,131 Ssab Svenskt Stal AB Class B 709,589
---------------
1,112,976
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 0.0% 23,944 Lundin Petroleum AB (b) 137,278
-------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 92,438 Billerud AB 1,648,344
-------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.2% 59,591 Hennes & Mauritz AB Class B 2,075,920
-------------------------------------------------------------------------------------------------------------
Tobacco - 0.0% 2,693 Swedish Match AB 31,204
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden 28,319,694
- ------------------------------------------------------------------------------------------------------------------------------------
Switzerland - 6.7% Capital Markets - 1.6% 160,568 Credit Suisse Group (b) 6,749,759
66,924 UBS AG Registered Shares 5,611,823
74,272 UBS AG Registered Shares (g) 6,226,964
---------------
18,588,546
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.7% 29,633 Ciba Specialty Chemicals AG Registered
Shares 2,254,203
91,058 Clariant AG 1,469,452
32,610 Lonza Group AG Registered Shares 1,835,406
19,069 Syngenta AG 2,025,798
---------------
7,584,859
-------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.2% 36,611 Adecco SA Registered Shares 1,843,268
-------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.1% 11,024 Logitech International SA Registered
Shares (b) 673,791
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 29,875 Holcim Ltd. 1,799,699
-------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 15,173 ABB Ltd. (b) 84,732
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 1 Kudelski SA (b) 37
- 0.0%
-------------------------------------------------------------------------------------------------------------
Food Products - 0.9% 43,504 Nestle SA Registered Shares 11,381,972
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 12,616 Phonak Holding AG Registered Shares 416,058
- 0.0% 298 Straumann Holding AG Registered Shares 61,849
---------------
477,907
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 429 Kuoni Reisen Holding AG Registered
Shares 188,638
-------------------------------------------------------------------------------------------------------------
Insurance - 0.7% 64,172 Swiss Reinsurance Registered Shares 4,576,861
21,729 Zurich Financial Services AG 3,623,092
---------------
8,199,953
- ------------------------------------------------------------------------------------------------------------------------------------
14
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Switzerland Pharmaceuticals - 1.9% 316,438 Novartis AG Registered Shares $ 15,945,737
(concluded) 59,904 Roche Holding AG 6,895,993
---------------
22,841,730
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 10,001 Micronas Semiconductor Holding AG
Equipment - 0.2% Registered Shares (b) 490,331
10,551 Unaxis Holding AG 1,048,512
---------------
1,538,843
-------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 1,443 Valora Holding AG 355,325
-------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 84,952 Compagnie Financiere Richemont AG 2,827,749
- 0.3% 24,716 Swatch Group AG Registered Shares 734,677
---------------
3,562,426
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland 79,121,726
- ------------------------------------------------------------------------------------------------------------------------------------
United Kingdom Aerospace & Defense - 0.3% 415,637 BAE Systems Plc 1,839,349
- - 24.2% 1 Meggitt Plc 5
205,339 Rolls-Royce Group Plc 973,750
6,529,780 Rolls-Royce Group Plc Class B 12,787
---------------
2,825,891
-------------------------------------------------------------------------------------------------------------
Air Freight & Logistics - 0.2% 129,870 Exel Plc 1,802,711
-------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 70,098 British Airways Plc (b) 316,266
-------------------------------------------------------------------------------------------------------------
Auto Components - 0.0% 103,485 GKN Plc 469,881
-------------------------------------------------------------------------------------------------------------
Beverages - 0.6% 407,389 Diageo Plc 5,811,351
95,776 Scottish & Newcastle Plc 801,259
---------------
6,612,610
-------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 75,760 Novar Plc 273,813
135,504 Pilkington Plc 286,170
---------------
559,983
-------------------------------------------------------------------------------------------------------------
Capital Markets - 0.2% 116,328 3i Group Plc 1,487,433
88,615 Amvescap Plc 545,699
23,774 Close Brothers Group Plc 335,253
72,268 ICAP Plc 377,046
20,974 Schroders Plc 302,413
---------------
3,047,844
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 67,718 BOC Group Plc 1,291,668
132,897 Imperial Chemical Industries Plc 614,910
---------------
1,906,578
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 5.4% 852,722 Barclays Plc 9,593,655
514,200 HBOS Plc 8,371,570
1,466,327 HSBC Holdings Plc 24,745,641
792,253 Lloyds TSB Group Plc 7,194,556
413,590 Royal Bank of Scotland Group Plc 13,911,794
---------------
63,817,216
-------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.4% 31,747 Aggreko Plc 102,398
99,200 Brambles Industries Plc 495,657
33,856 Bunzl Plc 282,426
28,358 Capita Group Plc 199,131
33,030 De La Rue Plc 220,048
548,484 Group 4 Securicor Plc (b) 1,474,249
652,751 Hays Plc 1,557,123
1 Intertek Group Plc 14
676,697 Rentokil Initial Plc 1,919,556
---------------
6,250,602
-------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 26,226 Marconi Corp. Plc (b) 283,226
-------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 37,529 Amec Plc 214,535
57,858 Balfour Beatty Plc 350,185
---------------
564,720
-------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 145,327 Hanson Plc 1,247,888
36,604 RMC Group Plc 596,644
---------------
1,844,532
-------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.0% 36,272 Provident Financial Plc 467,972
-------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 33,969 Grafton Group Plc 367,070
1 Inchcape Plc 38
---------------
367,108
-------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 1,471,422 BT Group Plc 5,734,721
Services - 0.6% 309,964 Cable & Wireless Plc 709,657
---------------
6,444,378
-------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.3% 107,006 Scottish & Southern Energy Plc 1,792,473
210,840 Scottish Power Plc 1,632,324
11,600 Scottish Power Plc (a) 361,456
---------------
3,786,253
-------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 146,144 Kidde Plc 467,169
-------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 5,717 Electrocomponents Plc 31,254
- 0.0% 1 Premier Farnell Plc 3
---------------
31,257
-------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.6% 88,087 Boots Group Plc 1,108,571
486,568 J Sainsbury Plc 2,526,910
548,554 Tesco Plc 3,388,574
---------------
7,024,055
-------------------------------------------------------------------------------------------------------------
Food Products - 0.5% 280,757 Cadbury Schweppes Plc 2,614,275
413,281 Unilever Plc 4,058,542
---------------
6,672,817
-------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.2% 413,604 Centrica Plc 1,876,012
-------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 25,106 SSL International Plc 151,833
- 0.1% 107,135 Smith & Nephew Plc 1,096,321
---------------
1,248,154
-------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 89,598 Alliance Unichem Plc 1,297,886
- 0.1%
-------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.8% 20,799 Carnival Plc 1,269,040
605,409 Compass Group Plc 2,862,227
16,879 Enterprise Inns Plc 257,628
296,681 Hilton Group Plc 1,620,507
60,640 Intercontinental Hotels Group Plc 753,840
71,371 Mitchells & Butlers Plc 465,886
1 Punch Taverns Plc 13
18,619 Rank Group Plc 94,371
128,736 Whitbread Plc 2,092,213
58,516 William Hill Plc 633,626
---------------
10,049,351
-------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 40,721 Barratt Developments Plc 464,782
15,702 Bellway Plc 245,692
15
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
United Kingdom Household Durables (concluded) 43,904 Persimmon Plc $ 582,453
(concluded) 85,238 Taylor Woodrow Plc 445,124
51,420 Wimpey George Plc 399,328
---------------
2,137,379
-------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 99,443 LogicaCMG Plc 368,000
-------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 1 Cookson Group Plc (b) 1
44,393 Smiths Group Plc 700,592
102,100 Tomkins Plc 498,386
---------------
1,198,979
-------------------------------------------------------------------------------------------------------------
Insurance - 1.0% 284,313 Aviva Plc 3,427,957
751,102 Friends Provident Plc 2,220,745
643,796 Legal & General Group Plc 1,359,628
458,066 Prudential Plc 3,983,871
381,840 Royal & Sun Alliance Insurance Group 568,149
---------------
11,560,350
-------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.2% 107,211 GUS Plc 1,931,758
-------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.0% 1,734 Iona Technologies Plc (a)(b) 8,757
-------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 472,128 FKI Plc 1,056,002
61,674 IMI Plc 466,232
---------------
1,522,234
-------------------------------------------------------------------------------------------------------------
Media - 1.0% 139,393 Aegis Group Plc 289,031
125,441 British Sky Broadcasting Plc 1,353,489
38,902 Daily Mail & General Trust 554,185
105,866 EMI Group Plc 538,619
24,691 Emap Plc 386,582
638,893 ITV Plc 1,291,009
117,084 Pearson Plc 1,412,804
176,820 Reed Elsevier Plc 1,631,187
315,630 Reuters Group Plc 2,287,569
19,413 Trinity Mirror Plc 237,044
47,288 United Business Media Plc 435,784
144,180 WPP Group Plc 1,586,129
83,100 Yell Group Plc 701,993
---------------
12,705,425
-------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.4% 52,166 BHP Billiton Plc 611,438
515,340 Corus Group Plc (b) 499,648
135,973 Rio Tinto Plc Registered Shares 4,001,970
---------------
5,113,056
-------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power 560,511 International Power Plc (b) 1,662,615
- 0.2% 55,703 United Utilities Plc 673,749
47,610 United Utilities Plc Class A 409,044
---------------
2,745,408
-------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.3% 423,806 Marks & Spencer Group Plc 2,790,874
32,761 Next Plc 1,037,815
---------------
3,828,689
-------------------------------------------------------------------------------------------------------------
Oil & Gas - 3.6% 534,625 BG Group Plc 3,633,553
2,692,203 BP Plc 27,975,535
1,274,146 Shell Transport & Trading Co. Plc 10,861,284
---------------
42,470,372
-------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 2.3% 231,162 AstraZeneca Plc 8,383,539
797,983 GlaxoSmithKline Plc 18,721,638
---------------
27,105,177
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.6% 96,552 British Land Co. Plc 1,660,918
40,023 Hammerson Plc 667,357
120,721 Land Securities Group Plc 3,244,814
62,356 Slough Estates Plc 658,446
---------------
6,231,535
-------------------------------------------------------------------------------------------------------------
Road & Rail - 0.1% 29,150 Arriva Plc 302,212
1 National Express Group Plc 16
541,665 Stagecoach Group Plc 1,182,936
---------------
1,485,164
-------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 576,121 ARM Holdings Plc 1,222,236
Equipment - 0.1%
-------------------------------------------------------------------------------------------------------------
Software - 0.1% 292,407 Misys Plc 1,174,714
52,568 Sage Group Plc 204,122
---------------
1,378,836
-------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.4% 586,217 Dixons Group Plc 1,710,728
54,153 HMV Group Plc 270,318
10,896 Kesa Electricals Plc 59,097
241,162 Kingfisher Plc 1,434,165
76,075 MFI Furniture Plc 181,110
778,002 Signet Group Plc 1,643,056
---------------
5,298,474
-------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 136,897 British American Tobacco Plc 2,358,888
-------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors 79,273 Wolseley Plc 1,481,632
- 0.1%
-------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.3% 46,421 Associated British Ports Holdings Plc 423,338
281,467 BAA Plc 3,155,872
77,472 BBA Group Plc 425,021
105,251 The Peninsular and Oriental Steam
Navigation Co. 601,163
---------------
4,605,394
-------------------------------------------------------------------------------------------------------------
Water Utilities - 0.2% 55,690 Kelda Group Plc 676,265
69,975 Severn Trent Plc 1,299,117
---------------
1,975,382
-------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 8,776,349 odafone Group Plc 23,800,240
- 2.0% 12,315 Vodafone Group Plc (a)(g) 337,185
---------------
24,137,425
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United
Kingdom 292,905,022
-------------------------------------------------------------------------------------------------------------
Total Common Stocks in Western Europe 818,794,852
-------------------------------------------------------------------------------------------------------------
Total Investments in Common Stocks
(Cost - $871,229,149) - 96.9% 1,160,802,314
-------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia - 0.2%
- ------------------------------------------------------------------------------------------------------------------------------------
Australia - 0.2% Commercial Banks - 0.2% 50,000 National Australia Bank Ltd.
(Convertible) 1,897,000
-------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in Australia 1,897,000
- ------------------------------------------------------------------------------------------------------------------------------------
New Zealand - 0.0% Paper & Forest Products - 0.0% 4,785 Tenon Ltd. (Convertible) (b) 7,535
-------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in New Zealand 7,535
- ------------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in the Pacific
Basin/Asia 1,904,535
- ------------------------------------------------------------------------------------------------------------------------------------
16
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (continued) (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Shares
Country Industry+ Held Preferred Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Western Europe - 0.3%
- ------------------------------------------------------------------------------------------------------------------------------------
Germany - 0.3% Automobiles - 0.1% 25,512 Volkswagen AG $ 846,470
-------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 4,440 Henkel KGaA 386,244
-------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 4,458 Fresenius Medical Care AG 258,439
- 0.0%
-------------------------------------------------------------------------------------------------------------
Media - 0.0% 14,013 ProSieben SAT.1 Media AG 257,137
-------------------------------------------------------------------------------------------------------------
Multi-Utilities & Unregulated Power 38,125 RWE AG 1,772,810
- 0.2%
-------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in Western Europe 3,521,100
-------------------------------------------------------------------------------------------------------------
Total Investments in Preferred Stocks
(Cost - $4,261,141) - 0.5% 5,425,635
-------------------------------------------------------------------------------------------------------------
Warrants (c)
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia - 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 0.0% Electronic Equipment & Instruments 5,600 Kingboard Chemicals Hldg 2,972
- 0.0%
-------------------------------------------------------------------------------------------------------------
Total Warrants in Hong Kong 2,972
- ------------------------------------------------------------------------------------------------------------------------------------
Singapore - 0.0% Real Estate - 0.0% 7,100 City Developments Limited 19,833
-------------------------------------------------------------------------------------------------------------
Total Warrants in Singapore 19,833
- ------------------------------------------------------------------------------------------------------------------------------------
Total Warrants in the Pacific Basin/Asia 22,805
- ------------------------------------------------------------------------------------------------------------------------------------
Western Europe - 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
France - 0.0% Food & Staples Retailing - 0.0% 383 Casino Guichard-Perrach SA 57
-------------------------------------------------------------------------------------------------------------
Total Warrants in Western Europe 57
-------------------------------------------------------------------------------------------------------------
Total Investments in Warrants
(Cost - $15,571) - 0.0% 22,862
-------------------------------------------------------------------------------------------------------------
Rights (d)
- ------------------------------------------------------------------------------------------------------------------------------------
Western Europe - 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Ireland - 0.0% Household Durables - 0.0% 106,764 Waterford Wedgewood 1,154
-------------------------------------------------------------------------------------------------------------
Total Investments in Rights
(Cost - $2,719) - 0.0% 1,154
-------------------------------------------------------------------------------------------------------------
Currency Face
Denomination Amount Fixed Income Securities Value
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia - 0.9%
- ------------------------------------------------------------------------------------------------------------------------------------
Japan - 0.9% Chemicals - 0.1% JPY 34,000,000 Shin-Etsu Chemical Co. Ltd. Series 6,
0.40% due 9/30/2005 720,589
-------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 25,000,000 The Bank of Fukuoka Ltd. Series 2, 1.10% due
9/28/2007 349,686
231,000,000 SMFG Finance Ltd., 2.25% due 7/11/2005
Regulation S (b) 5,184,932
---------------
5,534,618
-------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 55,000,000 Tokyo Gas Co. Ltd. Series 5, 1.20%
due 3/31/2009 679,356
-------------------------------------------------------------------------------------------------------------
Office Electronics - 0.0% 5,000,000 Canon, Inc. Series 3, 1.30% due 12/19/2008 178,688
-------------------------------------------------------------------------------------------------------------
Real Estate - 0.1% 90,000,000 Mitsubishi Estate Co. Ltd., .936%
due 9/30/2006 (f) 982,796
-------------------------------------------------------------------------------------------------------------
Trading Companies & 75,000,000 Mitsubishi Corp., 0% due 6/17/2011 (f) 888,250
Distributors - 0.1% 70,000,000 Mitsui & Co. Ltd. Series 6, 1.05%
due 9/30/2009 827,312
---------------
1,715,562
-------------------------------------------------------------------------------------------------------------
Transportation 39,000,000 Yamato Transport Yamtra Series 7, 1.20%
Infrastructure - 0.0% due 9/30/2009 504,036
-------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in the Pacific
Basin/Asia 10,315,645
- ------------------------------------------------------------------------------------------------------------------------------------
Western Europe - 0.3%
- ------------------------------------------------------------------------------------------------------------------------------------
France - 0.2% Communications Equipment EUR 1,310,580 Alcatel SA, 4.75% due 1/01/2011 2,129,319
- 0.2%
-------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in France 2,129,319
- ------------------------------------------------------------------------------------------------------------------------------------
Netherlands - 0.0% Semiconductors & 250,000 Infineon Technologies Holding BV, 5%
Semiconductor Equipment due 6/05/2010 382,844
- 0.0%
-------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in the
Netherlands 382,844
- ------------------------------------------------------------------------------------------------------------------------------------
Switzerland - 0.1% Commercial Services & CHF 1,450,000 ABB International Finance Ltd., 3.50%
Supplies - 0.1% due 9/10/2010 1,391,214
-------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 7,500 Georg Fischer AG, 1.50% due 1/31/2005 6,592
-------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in Switzerland 1,397,806
-------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in Western Europe 3,909,969
-------------------------------------------------------------------------------------------------------------
Total Invesments in Fixed Income Securities
(Cost - $10,030,191) - 1.2% 14,225,614
-------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
-------------------------------------------------------------------------------------------------------------
US$ 3,856,779 Merrill Lynch Liquidity Series, LLC Cash Sweep
Series I (e) 3,856,779
-------------------------------------------------------------------------------------------------------------
Total Investments in Short-Term Securities
(Cost - $3,856,779) - 0.3% 3,856,779
-------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $889,395,550*) - 98.9% 1,184,334,358
Other Assets Less Liabilities - 1.1% 13,354,053
---------------
Net Assets - 100.0% $ 1,197,688,411
===============
- ------------------------------------------------------------------------------------------------------------------------------------
(a) Depositary Receipts.
(b) Non-income producing security.
(c) 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. adjustment under certain conditions until the
expiration date.
(d) The rights may be exercised until 1/07/2005.
(e) 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:
-------------------------------------------------------------------------------------------
Affiliate Net Activity Interest Income
-------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $(1,818,551) $ 87,635
-------------------------------------------------------------------------------------------
(f) Represents a zero coupon bond; the interest rate shown reflects the
effective yield at the time purchase by the Series.
(g) Security, or a portion of security, is on loan.
+ 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 such industry sub-classifications for reporting ease. combine such
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 $ 918,838,016
=============
Gross unrealized appreciation $ 272,442,808
Gross unrealized depreciation (6,946,466)
-------------
Net unrealized appreciation $ 265,496,342
=============
17
Master Enhanced International Series
Schedule of Investments as of December 31, 2004 (concluded) (in U.S. dollars)
Financial futures contracts purchased as of December 31, 2004 were as
follows:
---------------------------------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation/
Contracts Issue Exchange Date Value Depreciation
---------------------------------------------------------------------------------------------------------
49 CAC40 10 Euro Future Matif (Par) January 2005 $ 2,544,668 $ (3,089)
24 DJ Euro Stoxx 50 Eurex March 2005 $ 953,877 7,819
14 DAX Index 25 Euro Future DTB March 2005 $ 2,019,356 12,994
16 FTSE 100 Index Future LIFFE March 2005 $ 1,446,406 27,311
6 Hang Seng Index Future Hong Kong January 2005 $ 548,798 123
8 IBEX 35 Plus Index Future Spanish Op January 2005 $ 966,085 17,631
15 OMX Stock Index Future OMX January 2005 $ 166,035 1,816
11 SPI 200 Index Future Sidney March 2005 $ 2,283,767 22,615
85 TOPIX Index Future Tokyo March 2005 $ 9,034,824 483,816
---------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation-Net $ 571,036
===========
Forward foreign exchange contracts as of December 31, 2004 were as
follows:
--------------------------------------------------------------------------
Unrealized
Foreign Currency Settlement Appreciation/
Purchased Date Depreciation
--------------------------------------------------------------------------
A$ 360,000 January 2005 $ 915
EUR 1,175,000 January 2005 20,649
GBP 970,000 January 2005 (3,037)
SEK 3,275,000 January 2005 7,368
--------------------------------------------------------------------------
Total Unrealized Appreciation on Forward Foreign
Exchange Contracts-Net (US$ Commitment - $4,207,691) $ 25,895
========
--------------------------------------------------------------------------
See Notes to Financial Statements.
Percent of
Geographic Allocation as of December 31, 2004 (unaudited) Total Investments
-----------------------------------------------------------------------------
United Kingdom .................................... 24.6%
Japan ............................................. 21.6
France ............................................ 9.3
Germany ........................................... 7.0
Switzerland ....................................... 6.8
Australia ......................................... 5.4
Netherlands ....................................... 4.9
Italy ............................................. 4.1
Spain ............................................. 3.9
Sweden ............................................ 2.4
Hong Kong ......................................... 1.6
Finland ........................................... 1.5
Belgium ........................................... 1.3
Ireland ........................................... 0.9
Singapore ......................................... 0.8
Denmark ........................................... 0.7
Greece ............................................ 0.6
Norway ............................................ 0.6
Portugal .......................................... 0.5
Austria ........................................... 0.4
South Africa ...................................... 0.4
New Zealand ....................................... 0.3
United States ..................................... 0.3
Luxembourg ........................................ 0.1
18
Master Enhanced International Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2004
=========================================================================================================================
Assets: Investments in unaffiliated securities, at value (including
securities loaned of $88,636,737) (identified
cost - $885,538,771) ....................................... $ 1,180,477,579
Investments in affiliated securities, at value (identified
cost - $3,856,779) ......................................... 3,856,779
Cash held as collateral for securities loaned, at value .... 93,019,484
Unrealized appreciation on forward foreign exchange
contracts .................................................. 28,932
Foreign cash (cost - $7,388,333) ........................... 7,415,411
Receivables:
Dividends ............................................ $ 2,812,228
Variation margin ..................................... 2,456,090
Securities sold ...................................... 541,540
Forward foreign exchange contracts ................... 73,898
Interest (including $6,989 from affiliates) .......... 66,182
Contributions ........................................ 31,892 5,981,830
---------------
Prepaid expenses and other assets .......................... 103,917
---------------
Total assets ............................................... 1,290,883,932
---------------
=========================================================================================================================
Liabilities: Collateral on securities loaned, at value .................. 93,019,484
Unrealized depreciation on forward foreign exchange
contracts .................................................. 3,037
Payables:
Forward foreign exchange contracts ................... 16,175
Investment adviser ................................... 11,241
Securities purchased ................................. 8,081
Other affiliates ..................................... 5,538
Withdrawals .......................................... 1,870 42,905
---------------
Accrued expenses and other liabilities ..................... 130,095
---------------
Total liabilities .......................................... 93,195,521
---------------
=========================================================================================================================
Net Assets: Net assets ................................................. $ 1,197,688,411
===============
=========================================================================================================================
Net Assets Investors' capital ......................................... $ 901,798,929
Consist of: Unrealized appreciation-net ................................ 295,889,482
---------------
Net Assets ................................................. $ 1,197,688,411
===============
=========================================================================================================================
See Notes to Financial Statements.
19
Master Enhanced International Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2004
=========================================================================================================================
Investment Dividends (net of $2,780,488 foreign withholding tax) ...... $ 26,097,951
Income: Securities lending ......................................... 625,388
Interest (including $87,635 from affiliates and net of
$1,177 foreign withholding tax) ............................ 147,516
---------------
Total income ............................................... 26,870,855
---------------
=========================================================================================================================
Expenses: Custodian fees ............................................. $ 331,189
Accounting services ........................................ 156,736
Investment advisory fees ................................... 109,176
Professional fees .......................................... 79,573
Pricing fees ............................................... 59,498
Trustees' fees and expenses ................................ 10,758
Printing and shareholder reports ........................... 6,625
Other ...................................................... 34,984
---------------
Total expenses ............................................. 788,539
---------------
Investment income-net ...................................... 26,082,316
---------------
=========================================================================================================================
Realized & Realized gain on:
Unrealized Investments-net ......................................... 92,477,386
Gain (Loss)-Net: Futures contracts-net ................................... 1,761,924
Foreign currency transactions-net ....................... 1,785,048 96,024,358
---------------
Change in unrealized appreciation/depreciation on:
Investments-net ......................................... 88,664,561
Futures contracts-net ................................... (183,984)
Foreign currency transactions-net ....................... (945,451) 87,535,126
--------------- ---------------
Total realized and unrealized gain-net ..................... 183,559,484
---------------
Net Increase in Net Assets Resulting from Operations ....... $ 209,641,800
===============
=========================================================================================================================
See Notes to Financial Statements.
20
Master Enhanced International Series
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended December 31,
-----------------------------------
Increase (Decrease) in Net Assets: 2004 2003
=========================================================================================================================
Operations: Investment income-net ...................................... $ 26,082,316 $ 24,691,930
Realized gain-net .......................................... 96,024,358 32,291,221
Change in unrealized appreciation/depreciation-net ......... 87,535,126 269,904,769
--------------- ---------------
Net increase in net assets resulting from operations ....... 209,641,800 326,887,920
--------------- ---------------
=========================================================================================================================
Capital Proceeds from contributions ................................ 28,662,540 14,034,902
Transactions: Fair value of withdrawals .................................. (106,437,789) (191,796,283)
--------------- ---------------
Net decrease in net assets derived from capital transactions (77,775,249) (177,761,381)
--------------- ---------------
=========================================================================================================================
Net Assets: Total increase in net assets ............................... 131,866,551 149,126,539
Beginning of year .......................................... 1,065,821,860 916,695,321
--------------- ---------------
End of year ................................................ $ 1,197,688,411 $ 1,065,821,860
=============== ===============
=========================================================================================================================
See Notes to Financial Statements.
21
Master Enhanced International Series
FINANCIAL HIGHLIGHTS
=================================================================================================================================
The following ratios have For the Year Ended December 31,
been derived from information provided --------------------------------------------------------------------
in the financial statements. 2004 2003 2002 2001 2000
=================================================================================================================================
Total Investment Total investment return .............. 20.79% 38.45% (15.27%) (21.10%) --
Return:* ========== ========== ========== ========== ==========
=================================================================================================================================
Ratios to Expenses, net of reimbursement and
Average Net excluding swap payment ............... .07% .09% .06% .06% .07%
Assets: ========== ========== ========== ========== ==========
Expenses, net of reimbursement ....... .07% .09% .10% .06% .09%
========== ========== ========== ========== ==========
Expenses ............................. .07% .09% .14% .08% .11%
========== ========== ========== ========== ==========
Investment income-net ................ 2.38% 2.55% 2.25% 1.80% 1.78%
========== ========== ========== ========== ==========
=================================================================================================================================
Supplemental Net assets, end of year (in thousands) $1,197,688 $1,065,822 $ 916,695 $ 420,499 $ 585,870
Data: ========== ========== ========== ========== ==========
Portfolio turnover ................... 91.22% 91.04% 101.13% 83.89% 71.77%
========== ========== ========== ========== ==========
=================================================================================================================================
* Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See Notes to Financial Statements.
22
Master Enhanced International Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Enhanced International 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 interests
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 Trust, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Trust 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)
23
Master Enhanced International Series
NOTES TO FINANCIAL STATEMENTS (continued)
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.
(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. 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.
24
Master Enhanced International Series
NOTES TO FINANCIAL STATEMENTS (continued)
(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 or 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.
(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 date the securities are purchased or sold (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.
For the year ended December 31, 2004, the Series reimbursed FAM $22,350 for
certain accounting services.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI and/or ML & Co.
25
Master Enhanced International Series
NOTES TO FINANCIAL STATEMENTS (concluded)
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2004 were $966,275,178 and $1,005,484,867, respectively.
4. Commitments:
At December 31, 2004, the Series had entered into foreign exchange contracts, in
addition to the contracts listed on the Schedule of Investments, under which it
agreed to purchase and sell foreign currency with approximate values of $293,000
and $195,000, respectively.
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 Fund's 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.
26
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 International 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 International 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
27
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 director, 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 1996;
Age: 72 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.
28
Officers and Trustees (continued)
Number of
Portfolios in
Position(s) Length Fund Complex Other Public
Held with of Time Principal Occupation(s) Overseen by Directorships
Name Address & Age Trust Served During Past 5 Years Trustee Held by Trustee
====================================================================================================================================
Independent Trustees* (concluded)
====================================================================================================================================
David H. P.O. Box 9095 Trustee 2003 to Consultant with Putnam 23 Funds None
Walsh Princeton, NJ present Investments from 1993 42 Portfolios
08543-9095 to 2003 and employed in
Age: 63 various capacities
therewith from1973 to
1992; Director, The
National Audubon
Society since 1998;
Director The American
Museum of Fly Fishing
since 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. P.O. Box 9095 Trustee 2000 to Managing Director of 23 Funds Watson
Weiss Princeton, NJ present FGW Associates since 42 Portfolios Pharmaceuticals,
08543-9095 1997; 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.
Position(s) Length
Held with of Time
Address & Age Trust Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
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
Doll, Jr. Princeton, NJ Vice present of MLIM and FAM since 2001; Co-Head (Americas Region)
08543-9011 President thereof from 2000 to 2001 and Senior Vice President from
Age: 50 1999 to 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
08543-9011 since 1999; Managing Director and Head of the Global Index
Age: 48 and 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.
- ------------------------------------------------------------------------------------------------------------------------------------
29
Officers and Trustees (concluded)
====================================================================================================================================
Trust Officers (concluded)
====================================================================================================================================
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 MetroTech 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. Colyer
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 Executive Officer of the Trust.
- --------------------------------------------------------------------------------
30
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 - $42,800
Fiscal Year Ending December 31, 2003 - $42,200
(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 International Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
-----------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Master Enhanced International 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 International Series of Quantitative Master Series
Trust
Date: February 24, 2005
By: /s/ Donald C. Burke
-----------------------------------
Donald C. Burke,
Chief Financial Officer of
Master Enhanced International Series of Quantitative Master Series
Trust
Date: February 24, 2005