o BT INSURANCE FUNDS TRUST o
EQUITY 500 INDEX FUND
SMALL CAP INDEX FUND
EAFE EQUITY INDEX FUND
SEMI-ANNUAL REPORT
------------------
JUNE o 1998
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders
Letter to Shareholders.................................3
BT Insurance Funds Trust
Statement of Net Assets.............................10
Statements of Operations............................44
Statements of Changes in Net Assets.................45
Financial Highlights................................47
Notes to Financial Statements.......................49
--------------------
The Funds are not insured by the FDIC and are not a deposit,
obligation of or guaranteed by Bankers Trust Company. The
Funds are subject to investment risks, including possible
loss of principal amount invested.
--------------------
2
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders
EQUITY 500 INDEX FUND
We are pleased to present you with this semi-annual report for the Equity 500
Index Fund (the "Fund"), providing a detailed review of the market, the
Portfolio, and our outlook. Included are a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.
MARKET ACTIVITY
As the U.S. economic expansion embarked on its seventh straight year, most of
the major equity market indices posted positive gains for the first half of
1998.
Stocks climbed through the first quarter despite concerns of an imminent market
correction. The S&P 500 Index crossed the 1000 mark for the first time in
February 1998, and the Dow Jones Industrial Average neared a new milestone
towards the end of March. Despite negative news for technology stocks, stronger
than anticipated earnings expectations for Microsoft helped to carry this sector
to a solid finish for the quarter.
--------------
Objective
Seeks to match the performance of the stock market, as represented by the S&P
500 Index, before expenses.
--------------
Volatility increased in the second quarter, though the equity indices continued
to reach record highs. Having broken the 8,000 barrier in July 1997, the Dow
Jones Industrial Average hit the 9,000 milestone in early April 1998. The S&P
500 Index continued to climb. Towards the end of April, fears of a tightening by
the Federal Reserve Board, "the Fed" sparked a huge drop in the market. But a
lower than expected employment cost index helped stocks rebound on April 30.
Equities were then down again in May, primarily due to volatility in the
technology sector. Stocks rebounded quickly again, as the General Motors strike
helped calm expectations of a Fed tightening at the end of June. Finally, having
spent the greater portion of the second quarter above the 9,000 mark, the Dow
Jones lost steam and finished off the semi-annual period below that point based
largely on warnings about corporate profits. The Federal Reserve Board remained
on hold throughout.
--------------
Investment Instruments
Primarily equity securities, consisting of common stock of current S&P 500
companies.
--------------
Ten Largest Stock Holdings
-------------------------------------------------------
General Electric Co. Pfizer, Inc.
-------------------------------------------------------
Microsoft Corp. Wal-Mart Stores
-------------------------------------------------------
Coca Cola Co. Intel Corp.
-------------------------------------------------------
Exxon Corp. Procter & Gamble Co.
-------------------------------------------------------
Merck & Company, Inc. Royal Dutch Petroleum Co.
-------------------------------------------------------
Overall, large capitalization stocks significantly outperformed small cap stocks
and mid cap stocks for the semi-annual period. In contrast to the previous
period, growth stocks outperformed value stocks within the large cap sector
throughout these six months. Technology, consumer cyclical, and health care were
the leading groups for the period. The weakest performing sectors included basic
materials, utilities, and transportation, all of which still produced positive
returns.
INVESTMENT REVIEW
- --------------------------------------------------------------------
Cumulative Returns
Periods ended June 30, 1998 Past 6 Months Since Inception
- --------------------------------------------------------------------
Equity 500 Index Fund*
(inception 10/1/97) 18.06% 20.30%
- --------------------------------------------------------------------
S&P 500 Index** 17.71% 19.93%
MANAGER OUTLOOK
With the Federal Reserve Board on hold, stable interest rates should provide
some support for U.S. equities. However there are a few long-term factors that
may impact the market.
o Stocks face the prospect of more moderate earnings growth, as the economy
inevitably slows from its first quarter GDP growth rate of more than 5% and as
rising labor costs squeeze corporate profit margins.
o Financial turmoil in Asia and questions about Japan getting its economy back
on track will continue to dominate financial markets around the globe.
o Once the perception of the Asian crisis shifts to a more positive note, the
U.S. stock market could face tougher sledding, as investors begin to weigh the
likelihood of a shift to tighter monetary policy by the Federal Reserve Board.
Still, for the near term, solid growth, low inflation, and accommodative
interest rates should continue to form an almost ideal backdrop for the U.S.
equity markets.
Of course, it is important to note that as an index fund, designed to replicate
the broad diversification and returns of the S&P 500 Index, we neither evaluate
short-term fluctuations in the Fund's performance nor manage according to a
given outlook for the equity markets or the economy in general. Still, we will
continue monitoring economic conditions and how they affect the financial
markets, as we seek to closely track the performance of the stock market.
We appreciate your support of the Equity 500 Index Fund, and we look forward to
serving your investment needs for many years to come.
- --------------
* Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
** The S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index. Total return for the Fund assumes
reinvestment of dividends and distributions.
3
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
Diversification of Portfolio Investments
By Sector as of June 30, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE - PERCENTAGES BELOW]
Other+ 22% Banks 8%
Short Term Beverages 3%
Instruments 10%
Computer
Utilities 6% Software 4%
Telecommunications 5% Drugs 7%
Retail 4% Electrical
Equipment 4%
Oil Related 7%
Foods 3%
Electronics 3%
Financial Services 5%
Hospital Supplies
and Health Care 3%
Insurance 3%
Office Equipment and
Computers 3%
+Consists of industries less than 3%
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the Equity 500 Index
Fund and the S&P 500 Index since October 1, 1997.
Total Return for the Period
Ended June 30, 1998
Six months Since 10/1/97*
18.06% 20.30%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH APPEARS HERE - PLOT POINTS BELOW]
Equity 500 Index Fund -- $12,030 S&P 500 Index -- $11,993
10/97 $10,000 $10,000
12/97 10,190 10,189
6/98 12,030 11,993
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged. Investments may not be made in an index.
4
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
SMALL CAP INDEX FUND
We are pleased to present you with this semi-annual report for the Small Cap
Index Fund, providing a detailed review of the market, the Portfolio, and our
outlook. Included are a complete financial summary of the Fund's operations and
a listing of the Portfolio's holdings.
--------------
Objective
Seeks to replicate as closely as possible (before deduction of expenses of the
Fund) the total return of the Russell 2000 Index.
--------------
MARKET ACTIVITY
As the U.S. economic expansion embarked on its seventh straight year, most of
the major equity market indices posted positive gains for the first half of
1998, although small capitalization stocks lagged their larger cap brethren.
With strong economic conditions, little sign of inflation, and interest rate
fears at bay, stocks climbed despite concerns of an imminent market correction.
The S&P 500 Index crossed the 1000 mark for the first time in February 1998, and
the Dow Jones Industrial Average hit the 9,000 milestone in early April 1998.
The Russell 2000 Index produced double-digit returns.
--------------
Investment Instruments
Primarily equity securities, consisting of common stock of current Russell 2000
companies.
--------------
Volatility, however, plagued the small cap market virtually throughout.
o Concerns over the impact of Asia's financial troubles on the small cap sector
turned investor sentiment toward larger companies in the first quarter.
o Uncertainty related to earnings growth, as a result of such high profile
companies as Intel and Compaq issuing warnings about softness in business
conditions, also impacted small cap stocks overall. (It should be noted that
these companies were not included in this Fund's portfolio as of 6/ 30/98.)
o Underperformance in energy related stocks led to a drop in the second quarter.
Other factors impacted both the large and small capitalization sectors of the
equities market. Towards the end of April, fears of a tightening by the Federal
Reserve Board sparked a huge drop in the market. But a lower than expected
employment cost index helped stocks rebound on April 30. Equities were then down
again in May, primarily due to volatility in the technology sector. Stocks
rebounded quickly again, as the General Motors strike helped calm expectations
of a Fed tightening at the end of June. The Federal Reserve Board remained on
hold throughout.
Within the small capitalization sector, growth stocks outperformed in the first
quarter, while value stocks outperformed in the second. Consumer discretionary,
auto and transportation, and utilities were the leading groups for the period.
The weakest performing sectors included consumer staples, health care, and
integrated oils. The annual rebalancing of the Russell 2000 Index contributed to
an approximately 57% turnover rate for the twelve months ended June 30, 1998.
This turnover was slightly higher compared to the previous year.
Ten Largest Stock Holdings
DEKALB Genetics Corp.-Class B ONEOK, Inc.
United Bankshares, Inc. Aspect Communications
Hawaiian Electric Industries Alexander & Baldwin
Washington Water Power WinStar Communications, Inc.
DeVry, Inc. NTL, Inc.
INVESTMENT REVIEW
Cumulative Returns
Periods ended June 30, 1998 Past 6 Months Since Inception
- --------------------------------------------------------------------
Small Cap Index Fund*
(inception 8/25/97) 4.28% 9.60%
Russell 2000 Index** 4.93% 10.22%
MANAGER OUTLOOK
As expectations regarding earnings growth tempered toward the end of the
semi-annual period, investors began to look toward a rebound in business later
in the year. As a result, negative sentiment surrounding Asia decreased, and the
small cap sector benefited. Based on this positive investor sentiment--plus
expected superior earnings growth and attractive relative valuations, we remain
optimistic about small cap growth companies. In general, the companies the Fund
Diversification of Portfolio Investments
By Sector as of June 30, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE - PERCENTAGES BELOW]
Auto Related 2%
Banks 3%
Computer Services 2%
Computer Software 5%
Electrical
Equipment 3%
Electronics 2%
Financial
Services 6%
Insurance 4%
Oil Related 2%
Other+ 39% Real Estate 7%
Retail 3%
Telecommunications 4%
Short Term
Instruments 14% Utilities 4%
+Consists of industries less than 2%
5
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the Small Cap Index
Fund, and the Russell 2000 Index since August 25, 1997.
Annualized Total Return for the
Period Ended June 30, 1998
Six months Since 8/25/97*
4.28% 9.60%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH APPEARS HERE - PLOT POINTS BELOW]
Small Cap Index Fund - $10,960 Russell 2000 Index - $11,022
8/97 $10,000 $10,000
9/97 10,837 10,869
12/97 10,510 10,505
6/98 10,960 11,022
Past performance is not indicative of future performance. The Russell 2000
Index is unmanaged. Investments may not be made in an index.
- --------------------------------------------------------------------------------
owns are experiencing strong fundamental growth in earnings and are expressing
upbeat outlooks for the remainder of the year. In addition, for the near term,
solid growth, low inflation, and accommodative interest rates should continue to
form an almost ideal backdrop for the U.S. equity markets.
With the Federal Reserve Board on hold, stable interest rates should provide
some support for U.S. equities. However there are a few long-term factors that
may impact the market.
o Stocks face the prospect of more moderate earnings growth, as the economy
inevitably slows from its first quarter GDP growth rate of more than 5% and as
rising labor costs squeeze corporate profit margins.
o Financial turmoil in Asia and questions about Japan getting its economy back
on track will continue to dominate financial markets around the globe.
o Once the perception of the Asian crisis shifts to a more positive note, the
U.S. stock market could face tougher sledding, as investors begin to weigh the
likelihood of a shift to tighter monetary policy by the Federal Reserve Board.
Of course, it is important to note that as an index fund, designed to replicate
the broad diversification and returns of the Russell 2000 Index, we neither
evaluate short-term fluctuations in the Fund's performance nor manage according
to a given outlook for the equity markets or the economy in general. Still, we
will continue monitoring economic conditions and how they affect the financial
markets, as we seek to closely track the performance of the small cap stock
market.
We appreciate your support of the Small Cap Index Fund and look forward to
serving your investment needs for many years ahead.
- --------------
* Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
** The Russell 2000 Index is an unmanaged index that measures small
capitalization equities. This index is unmanaged. Investments cannot be made
in an index. Small cap stocks have historically experienced greater
volatility than large cap stocks.
6
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
EAFE EQUITY INDEX FUND
We are pleased to present you with this semi-annual report for the EAFE Equity
Index Fund, providing a detailed review of the market, the Portfolio, and our
outlook. Included are a complete financial summary of the Fund's operations and
a listing of the Portfolio's holdings.
--------------
Objective
Seeks to replicate as closely as possible the total return of the Morgan Stanley
Capital International Europe Australia Far East (EAFE) Index.
--------------
MARKET ACTIVITY
Overall, 16 of the 21 EAFE markets posted gains for the semi-annual period ended
June 30, 1998, and 14 had double-digit returns. Most of the advance of the MSCI
EAFE Index took place in the first quarter, and, with the exception of April
1998, equities added to performance throughout, while currencies did not. Europe
rose consistently; the Pacific Basin declined.
Europe
Regionally, Europe rose 25.5% in U.S. dollar terms during the semi-annual
period, as new record highs were recorded in most European markets. Markets
responded to:
o Continued European Monetary Union enthusiasm and a favorable monetary policy
environment. -- On May 2nd, the members of EMU were announced. They are
Germany, France, Italy, Spain, Belgium, the Netherlands, Austria, Portugal,
Ireland, Finland, and Luxembourg. There is a low interest rate/low inflation
environment in much of the region.
Ten Largest Stock Holdings
-------------------------------------------------------------------------
Royal Dutch Petroleum Company Nestle SA
Glaxo Wellcome Plc. Allianz AG
Nippon Telegraph & Telephone Corp. British Petroleum Co. Plc.
Novartis AG - Registered British Telecommunications Plc.
Toyota Motor Corp. Lloyds TSB Group Plc
o The perception that the Asian currency crisis was abating. -- Especially when
the region's markets rose in January, and Malaysia, Hong Kong and Singapore
were the top performing markets in February.
o The solid performance of Portugal, which was added to the MSCI EAFE Index at
the end of November 1997. -- The Portuguese equity market benefited from the
country's sound economic fundamentals in general and from a 0.20% cut in the
benchmark lending rate in particular.
Italy was a particularly consistent performer, following the Bank of Italy's
interest rate cuts on December 23, 1997 and again in April 1998. Many stock
analysts, in their year-end wrap-ups, singled out Italy as one of the more
promising European markets of 1998.
--------------
Investment Instruments
Primarily equity securities of business enterprises organized and domiciled
outside of the United States. Statistical methods will be employed to replicate
the Index by buying most of the relevant Index securities.
--------------
Finland was the top-performing market in April, based on better than expected
earnings for Nokia, the global telecommunications firm. Nokia, which accounts
for more than half of MSCI Finland, rose 21% in April. Belgium was the top
performer in June, as Belgian electricity supplier, Electrabel, formed an
electricity trading joint venture with local Scandinavian partners. Spain gained
on merger activity in the banking sector, the news that its blue chip
telecommunications stock, Telefonica, may be split up, and interest rate cuts.
Pacific Basin
The Pacific Basin overall fell 6.5% in U.S. dollar terms during the semi-annual
period, although this region did rise in January and February 1998. Australia
reached a new, all-time record high in April, as investors anticipated an
interest rate cut there.
o The ride was a particularly bumpy one in Singapore, Malaysia, and Hong Kong.
-- Singapore started the first quarter down considerably due to investor
concerns about its exposure to Indonesian debt and the region's currency
crisis. However, it later recovered, as perceptions about currency woes turned
positive, foreign ownership limits of Singapore Press were removed, and
expectations of corporate tax cuts in the forthcoming budget grew.
o Hong Kong also started down, as high interest rates were needed to support the
Hong Kong dollar, and then it rallied on declining interbank lending rates and
on news that the government would allow tax deductions on mortgage interest
payments.
o Malaysia experienced a strong recovery on a strengthening of the ringgit,
relaxation of foreign ownership limits in the telecommunications sector, and
talk of bank mergers, which should help strengthen the banking system.
At the start of the second quarter, all three of these markets sustained large
falls, as investors were concerned about a possible U.S. interest rate rise,
which could hurt regional economic growth. These markets continued to fall in
May and June on concern about Asian economic problems, compounded by the
political turmoil in Indonesia. The weakness in the yen, combined with an
internal struggle for the economic leadership between the Prime Minister and his
finance minister, exacerbated Malaysia's slide. Singapore fell further, as the
government reported that it would run a deficit for the first time in over a
decade.
o Japanese stocks also experienced tremendous volatility. Japan initially rose
during the first quarter, as the ruling political party announced that its
fiscal stimulus package was implemented in February, a month earlier than
expected. However, Japanese stocks closed its fiscal year-end and the calendar
quarter on March 31st down. Investors were waiting for details of the
government's proposed $124 billion economic stimulus package. Once released,
stocks fell even further, as the package included no permanent
7
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
Diversification of Portfolio Investments
By Sector as of June 30, 1998
(percentages are based on market value)
[PIE CHART APPEARS HERE - PERCENTAGES BELOW]
Italy 4% Spain 3%
Netherlands 6% Sweden 3%
Switzerland 8% Other+ 12%
France 9% Japan 21%
Germany 10% United States 3%
United Kingdom 21%
+Consists of countries less than 3%
income tax cuts. The Japanese economy continued to show further signs of
weakening when its 1997 year-end GDP rates showed a decline and when
unemployment hit a postwar record high of 4.1% in April. Concerns about
Japanese companies' earnings continued. The yen weakened against the U.S.
dollar in April, falling to the lowest levels in seven years. However, based
on Japan's latest promise of tax reform and the Federal Reserve Board's
intervention to try and stop the yen's slide, its currency did strengthen, and
Japanese stocks rose moderately in June.
INVESTMENT REVIEW
Cumulative Returns
PERIODS ENDED JUNE 30, 1998 Past 6 Months Since Inception
- ------------------------------------------------------------------
EAFE Equity Index Fund(1)
(inception 8/22/97) 16.92% 9.20%
- ------------------------------------------------------------------
MSCI EAFE Index(2) 15.93% 9.15%
The MSCI EAFE Index is an unmanaged capitalization-weighted index containing
approximately 1,100 equity securities of companies located outside the United
States.(3)
MANAGERS OUTLOOK
We remain positive about the European markets, as the central banks of
Continental Europe have postponed any tightening of policy despite indications
of strong domestic demand, in large part because of Asia. Plus progress toward
European Monetary Union is proceeding slowly, but surely.
Market participants will, of course, keep a close eye on Asian developments, and
especially on Japan, whose recovery is key for the entire region. It probably
will take some hard-hitting actions by Tokyo, rather than merely announcing
plans, to convince people that the country is moving along the right track. Once
the perception of the Asian crisis shifts to a more positive note, however, both
the U.S. markets could face the likelihood of a shift to tighter monetary
policy. European markets may weaken in sympathy, though most-- especially in the
periphery countries--will likely outperform U.S. investments.
Of course, as an index fund, designed to replicate as closely as possible,
before expenses, the broad diversification and total return of the MSCI EAFE
Index with net dividends, we neither evaluate short-term fluctuations in the
Fund's performance nor manage according to a given outlook for the equity
markets or the economies in general. Still, we will continue monitoring economic
conditions and how they affect the financial markets.
We appreciate your support of the EAFE Equity Index Fund and look forward to
serving your investment needs for many years ahead.
/s/ Frank Salerno
_________________
Frank Salerno
Portfolio Manager of the Equity 500 Index
and the Small Cap Index Fund
June 30, 1998
/s/ Richard J. Vella
____________________
Richard J. Vella
Portfolio Manager of the EAFE Equity Index Fund
June 30, 1998
- --------------
(1) Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.The Fund is not insured
by the FDIC and is not a deposit, obligation of, or guaranteed by Bankers
Trust Company. The Fund is subject to investment risks, including possible
loss of principal amount invested.
(2) This index is unmanaged, and investments cannot be made in an index.
(3) Foreign investing involves special risks, including currency risk, increased
volatility of foreign securities, and differences in auditing and other
financial standards.
8
<PAGE>
BT Insurance Funds Trust
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the EAFE Equity Index
Fund, with the MSCI EAFE Index since August 22, 1997.
Total Return
Ended June 30, 1998
Six months Since 8/22/97*
16.92% 9.20%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
[GRAPH APPEARS HERE - PLOT POINTS BELOW]
EAFE Equity Index Fund - $10,920 MSCI EAFE Index - $10,915
8/97 10,000 10,000
9/97 10,160 10,216
12/97 9,340 9,415
6/98 10,920 10,915
Past performance is not indicative of future performance. The MSCI EAFE Index is
unmanaged. Investments may not be made in an index. The Fund is not insured by
the FDIC and is not a deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks, including possible loss of
principal amount invested.
9
<PAGE>
Equity 500 Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
COMMON STOCKS - 95.97%
Advertising - 0.11%
500 Omnicom Group, Inc. $ 24,937
-----------
Aerospace - 1.40%
2,400 Boeing Co. 106,950
400 General Dynamics Corp. 18,600
400 Lockheed Martin Corp. 42,350
100 Northrop Grumman Corp. 10,312
900 Raytheon Co. - Class B 53,212
600 Rockwell International Corp. 28,837
600 United Technologies Corp. 55,500
-----------
315,761
-----------
Airlines - 0.41%
400 AMR Corp. (a) 33,300
200 Delta Air Lines, Inc. 25,850
600 Southwest Airlines Co. 17,775
200 U.S. Airways Group, Inc. (a) 15,850
-----------
92,775
-----------
Apparel, Textiles - 0.37%
700 Corning, Inc. 24,325
100 Fruit of the Loom, Inc. - Class A (a) 3,325
200 Liz Claiborne, Inc. 10,450
500 NIKE, Inc. - Class B 24,344
200 Reebok International Ltd. (a) 5,537
300 V.F. Corp. 15,450
-----------
83,431
-----------
Auto Related - 2.01%
500 AutoZone, Inc. (a) 15,969
1,500 Chrysler Corp. 84,562
100 Cummins Engine, Inc. 5,125
300 Dana Corp. 16,050
200 Eaton Corp. 15,550
200 Echlin, Inc. 9,812
2,800 Ford Motor Co. 165,200
1,500 General Motors Corp. 100,219
300 Genuine Parts Co. 10,350
200 Navistar International Corp. (a) 5,775
300 PACCAR, Inc. 15,675
300 Parker-Hannifin Corp. 11,437
-----------
455,724
-----------
Banks - 7.90%
200 Ahmanson (H. F.) & Co. 14,200
1,780 Banc One Corp. 99,346
1,000 Bank of New York Co., Inc. 60,687
1,600 BankAmerica Corp. 138,300
800 BankBoston Corp. 44,500
200 BB&T Corp. 13,525
2,000 Chase Manhattan Corp. 151,000
1,000 CitiCorp 149,250
500 Comerica, Inc. 33,125
Shares Description Value
------ ----------- -----
700 Fifth Third Bancorp $ 44,100
800 First Chicago NBD Corp. 70,900
2,348 First Union Corp. 136,771
400 Huntington Bancshares, Inc. 13,400
1,200 KeyCorp 42,750
700 Mellon Bank Corp. 48,737
300 Mercantile Bancorp, Inc. 15,112
400 Morgan (J.P.) & Company, Inc. 46,850
900 National City Corp. 63,900
2,256 NationsBank Corp. 172,584
300 Northern Trust Corp 22,875
2,000 Norwest Corp. 74,750
200 Republic New York Corp. 12,587
600 Summit Bancorp 28,500
600 SunTrust Banks, Inc. 48,787
1,900 U.S. Bancorp 81,700
400 Wachovia Corp. 33,800
1,150 Washington Mutual, Inc. 49,952
200 Wells Fargo & Co. 73,800
-----------
1,785,788
-----------
Beverages - 3.36%
1,300 Anheuser-Busch Companies, Inc. 61,344
5,900 Coca-Cola Co. 504,450
3,700 PepsiCo, Inc. 152,394
1,000 Seagram Co., Ltd. ADR 40,937
-----------
759,125
-----------
Building and Construction - 0.83%
200 Centex Corp. 7,550
1,700 Home Depot, Inc. 141,206
500 Masco Corp. 30,250
100 Owens Corning 4,081
100 Stanley Works 4,156
-----------
187,243
-----------
Building, Forest Products - 0.31%
300 Champion International Corp. 14,756
300 Georgia-Pacific (Georgia Pacific
Group) 17,681
100 Johnson Controls, Inc. 5,706
200 Louisiana-Pacific Corp. 3,650
600 Weyerhauser Co. 27,712
-----------
69,505
-----------
Chemicals and Toxic Waste - 2.46%
600 Air Products & Chemicals, Inc. 24,000
700 Amgen, Inc. (a) 45,762
600 Dow Chemical Co. 58,012
2,700 Du Pont (E.I.) de Nemours & Co. 201,487
100 Eastman Chemical Co. 6,225
300 Grace (W.R.) & Co. 5,119
100 Great Lakes Chemical Corp. 3,944
200 Hercules, Inc. 8,225
200 Mallinckrodt, Inc. 5,937
1,600 Monsanto Co. 89,400
See Notes to Financial Statements on Pages 49-51
10
<PAGE>
Equity 500 Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
500 Morton International, Inc. $ 12,500
500 PPG Industries, Inc. 34,781
300 Raychem Corp. 8,869
200 Rohm & Haas Co. 20,787
300 Sigma-Aldrich Corp. 10,537
400 Union Carbide Corp. 21,350
-----------
556,935
-----------
Computer Services - 1.42%
900 3Com Corp. (a) 27,619
200 Adobe Systems, Inc. 8,487
800 Automatic Data Processing, Inc. 58,300
400 Cabletron Systems, Inc. (a) 5,375
1,500 Dell Computer Corp. (a) 139,219
1,300 EMC Corp. (a) 58,256
400 Gateway 2000 (a) 20,250
300 Silicon Graphics, Inc. (a) 3,637
-----------
321,143
-----------
Computer Software - 4.52%
2,500 Cisco Systems, Inc. (a) 230,156
1,350 Computer Associates International, Inc. 75,009
5,900 Microsoft Corp. (a) 639,412
2,500 Oracle Corp. (a) 61,406
700 Seagate Technology, Inc. (a) 16,669
-----------
1,022,652
-----------
Containers - 0.31%
200 Avery Dennison Corp. 10,750
300 Crown Cork & Seal Co., Inc. 14,250
400 Owens-Illinois, Inc. (a) 18,050
353 Sealed Air Corp. (a) 12,972
200 Stone Container Corp. (a) 3,125
200 Temple-Inland, Inc. 10,775
-----------
69,922
-----------
Cosmetics and Toiletries - 0.93%
200 Allergan Inc. 9,275
400 Avon Products, Inc. 31,000
100 Bausch & Lomb 5,012
2,600 Gillette Co. 147,388
400 International Flavors & Fragrances, Inc. 17,375
-----------
210,050
-----------
Diversified - 0.77%
300 Allegheny Teledyne, Inc. 6,844
100 Ceridian Corp. (a) 5,875
300 Loews Corp. 26,137
1,100 Minnesota Mining & Manufacturing Co. 90,406
200 Pall Corp. 4,100
300 Praxair, Inc. 14,044
100 SUPERVALU, Inc. 4,437
300 Textron, Inc. 21,506
-----------
173,349
-----------
Shares Description Value
------ ----------- -----
Drugs - 7.64%
300 ALZA Corp. (a) $ 12,975
3,200 American Home Products Corp. 165,600
2,400 Bristol-Myers Squibb Co. 275,850
2,800 Lilly (Eli) & Co. 184,975
2,900 Merck & Co., Inc. 387,875
3,100 Pfizer, Inc. 336,931
1,300 Pharmacia & Upjohn, Inc. 59,962
1,800 Schering-Plough Corp. 164,925
2,000 Warner Lambert Co. 138,750
-----------
1,727,843
-----------
Electrical Equipment - 4.58%
1,900 CBS Corp. 60,325
7,800 General Electric Co. 709,800
200 General Signal Corp. 7,200
2,600 Hewlett-Packard Co. 155,675
200 ITT Industries, Inc. 7,475
1,500 Tyco International, Ltd. 94,500
-----------
1,034,975
-----------
Electronics - 3.48%
200 Advanced Micro Devices, Inc. (a) 3,412
1,500 AlliedSignal, Inc. 66,562
600 AMP, Inc. 20,625
300 Ameran Corp. 11,925
1,000 Applied Materials, Inc. (a) 29,500
1,100 Emerson Electric Co. 66,344
300 Harris Corp. 13,406
4,100 Intel Corp. 303,912
200 KLA-Tencor Corp. (a) 5,537
300 LSI Logic Corp. (a) 6,919
500 Micron Technology, Inc. (a) 12,406
1,400 Motorola, Inc. 73,587
400 National Semiconductor Corp. (a) 5,275
1,300 Northern Telecom, Ltd. ADR 73,775
100 Perkin-Elmer Corp. 6,219
900 Texas Instruments, Inc. 52,481
500 Thermo Electron Corp. (a) 17,094
200 Western Atlas, Inc. 16,975
-----------
785,954
-----------
Financial Services - 5.63%
1,100 American Express Co. 125,400
897 Associates First Cap Corp. 68,957
100 Beneficial Corp. 15,319
100 Capital One Financial Corp. 12,419
300 Cincinnati Financial Corp. 11,512
300 Countrywide Credit Industries 15,225
300 Equifax, Inc. 10,894
2,500 Fannie Mae 151,875
1,100 First Data Corp. 36,644
800 Fleet Financial Group, Inc. 66,800
700 Franklin Resources, Inc. 37,800
1,700 Freddie Mac 80,006
See Notes to Financial Statements on Pages 49-51
11
<PAGE>
Equity 500 Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
100 Golden West Financial Group $ 10,631
400 Green Tree Financial Corp. 17,125
300 Hartford Financial Services Group, Inc. 34,312
800 Household International, Inc. 39,800
300 Lehman Brothers Holdings, Inc. 23,269
1,350 MBNA Corp. 44,550
800 Merrill Lynch & Co., Inc. 73,800
1,400 Morgan Stanley, Dean Witter,
Discover & Co. 127,925
800 PNC Bank Corp. 43,050
600 Schwab (Charles) Corp. 19,500
200 SLM Holding Corp. 9,800
300 State Street Corp. 20,850
450 Synovus Financial Corp. 10,687
2,719 Travelers Group, Inc. 164,839
-----------
1,272,989
-----------
Food Services / Lodging - 0.66%
200 Darden Restaurants, Inc. 3,175
1,800 McDonald's Corp. 124,200
300 Tricon Global Restaurants, Inc. (a) 9,506
500 Wendy's International, Inc. 11,750
-----------
148,631
-----------
Foods - 2.67%
1,600 Archer-Daniels-Midland Co. 31,000
700 Bestfoods 40,644
1,100 Campbell Soup Co. 58,437
1,000 ConAgra, Inc. 31,687
500 General Mills, Inc. 34,187
200 Giant Food Inc. - Class A 8,612
800 Heinz (H. J.) Co. 44,900
200 Hershey Foods Corp. 13,800
900 Kellogg Co. 33,806
640 Pioneer Hi-Bred International, Inc. 26,480
400 Quaker Oats Co. 21,975
300 Ralston-Purina Group 35,044
1,200 Sara Lee Corp. 67,125
700 Sysco Corp. 17,937
1,500 Unilever N.V. ADR 118,406
200 Wrigley, (WM.) Jr., Co. 19,600
-----------
603,640
-----------
Health Care - 0.83%
3,600 Abbott Laboratories 147,150
1,400 Columbia/HCA Healthcare Corp. 40,775
-----------
187,925
-----------
Hospital Supplies and Health Care - 2.79%
800 Baxter International, Inc. 43,050
300 Becton, Dickinson & Co. 23,287
300 Biomet, Inc. 9,919
500 Boston Scientific Corp. (a) 35,812
300 Cardinal Health, Inc. 28,125
400 Guidant Corp. 28,525
Shares Description Value
------ ----------- -----
1,200 HBO & Co. $ 42,300
600 HEALTHSOUTH Corp. (a) 16,012
500 Humana, Inc. (a) 15,594
3,300 Johnson & Johnson Co. 243,375
1,100 Medtronic, Inc. 70,125
186 St. Jude Medical, Inc. (a) 6,847
900 Tenet Healthcare Corp. (a) 28,125
400 United Healthcare Corp. 25,400
300 U.S. Surgical Corp. 13,687
-----------
630,183
-----------
Hotel / Motel - 0.16%
700 Hilton Hotels Corp. 19,950
500 Marriot International, Inc. - Class A 16,187
1 Starwood Hotels 42
-----------
36,179
-----------
Household Furnishings - 0.19%
300 Maytag Corp. 14,812
300 Newell Co. 14,944
200 Whirlpool Corp. 13,750
-----------
43,506
-----------
Household Products - 1.81%
300 Clorox Co. 28,612
800 Colgate-Palmolive Co. 70,400
3,200 Procter & Gamble Co. 291,400
500 Rubbermaid, Inc. 16,594
100 Tupperware Corp. 2,812
-----------
409,818
-----------
Insurance - 3.66%
400 Aetna, Inc. 30,450
900 Allstate Corp. 82,406
600 American General Corp. 42,712
1,600 American International Group, Inc. 233,600
400 Aon Corp. 28,100
500 Chubb Corp. 40,062
500 CIGNA Corp. 34,500
500 Conseco, Inc. 23,375
200 General Re Corp. 51,250
200 Jefferson-Pilot Corp. 11,588
200 Lincoln National Corp. 18,275
750 Marsh & McLennan Companies, Inc. 45,328
200 MBIA, Inc. 14,975
400 MGIC Investment 22,825
100 Progressive Corp. 14,100
300 Providian Financial Corp. 23,569
400 SAFECO Corp. 18,175
712 St. Paul Companies, Inc. 29,931
400 SunAmerica, Inc. 22,975
400 Torchmark Corp. 18,300
400 UNUM Corp. 22,200
-----------
828,696
-----------
See Notes to Financial Statements on Pages 49-51
12
<PAGE>
Equity 500 Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
Leisure Related - 1.03%
100 American Greetings Corp. - Class A $ 5,094
100 Brunswick Corp. 2,469
1,600 Disney (Walt) Co. 168,100
300 Hasbro, Inc. 11,794
800 Mattel, Inc. 33,850
600 Mirage Resorts, Inc. (a) 12,788
-----------
234,095
-----------
Machinery - 1.19%
200 Black & Decker Corp. 12,200
300 Case Corp. 14,475
1,000 Caterpillar, Inc. 52,875
400 Cooper Industries, Inc. 21,975
700 Deere & Co. 37,013
400 Dover Corp. 13,700
500 Dresser Industries, Inc. 22,031
200 Grainger (W.W.), Inc. 9,963
600 Illinois Tool Works, Inc. 40,013
500 Ingersoll-Rand Co. 22,031
400 TRW, Inc. 21,850
-----------
268,126
-----------
Metals - 0.64%
500 Alcan Aluminum Ltd. ADR 13,813
300 Aluminum Company of America 19,781
200 ASARCO, Inc. 4,450
1,100 Barrick Gold Corp. 21,106
500 Bethlehem Steel Corp. (a) 6,219
200 Cyprus Amax Minerals Co. 2,650
200 Engelhard Corp. 4,050
200 Freeport-McMoRan Copper &
Gold, Inc. - Class B 3,038
400 Homestake Mining Co. 4,150
200 Inco Ltd. ADR 2,725
500 Newmont Mining Corp. 11,813
200 Nucor Corp. 9,200
100 Phelps Dodge Corp. 5,719
400 Placer Dome, Inc. ADR 4,700
300 Reynolds Metals Co. 16,781
300 USX-U.S. Steel Group, Inc. 9,900
300 Worthington Industries, Inc. 4,519
-----------
144,614
-----------
Miscellaneous - 0.31%
2,180 Cendant Corp. (a) 45,508
400 Cognizant Corp. 25,250
-----------
70,758
-----------
Office Equipment and Computers - 2.87%
300 Apple Computer, Inc. (a) 8,606
200 Autodesk, Inc. 7,725
3,883 Compaq Computer Corp. 110,180
300 Computer Sciences Corp. 19,200
400 Honeywell, Inc. 33,425
Shares Description Value
------ ----------- -----
400 Ikon Office Solutions, Inc. $ 5,825
2,200 International Business Machines Corp. 252,588
1,100 Novell, Inc. (a) 14,025
800 Parametric Technology Corp. (a) 21,700
700 Pitney Bowes, Inc. 33,688
1,000 Sun Microsystems, Inc. (a) 43,438
600 Unisys Corp. (a) 16,950
800 Xerox Corp. 81,300
-----------
648,650
-----------
Oil Related - 7.12%
300 Amerada Hess Corp. 16,294
2,500 Amoco Corp. 104,063
100 Anadarko Petroleum Co. 6,719
100 Apache Corp. 3,150
100 Ashland, Inc. 5,163
700 Atlantic Richfield Co. 54,688
400 Baker Hughes, Inc. 13,825
400 Burlington Resources, Inc. 17,225
1,600 Chevron Corp. 132,900
5,900 Exxon Corp. 420,744
200 Fluor Corp. 10,200
700 Halliburton Co. 31,194
100 Helmerich & Payne, Inc. 2,300
100 Kerr-McGee Corp. 5,788
200 McDermott International, Inc. 6,888
1,800 Mobil Corp. 137,925
800 Occidental Petroleum Corp. 21,600
100 Oryx Energy Co. (a) 2,213
100 Pennzoil Co. 5,063
700 Phillips Petroleum Co. 33,731
100 Rowan Companies, Inc. (a) 1,944
5,100 Royal Dutch Petroleum Co. ADR 279,544
1,200 Schlumberger, Ltd. 81,975
300 Sun Co., Inc. 11,644
400 Tenneco, Inc. 15,225
1,400 Texaco, Inc. 83,563
800 Union Pacific Resources Group, Inc. 14,050
700 Unocal Corp. 25,025
700 USX-Marathon Group 24,019
1,200 Williams Companies, Inc. 40,500
-----------
1,609,162
-----------
Paper - 0.70%
600 Fort James Corp. 26,700
800 International Paper Co. 34,400
1,500 Kimberly-Clark Corp. 68,813
300 Mead Corp. 9,525
200 Union Camp Corp. 9,925
100 Westvaco Corp. 2,825
200 Willamette Industries, Inc. 6,400
-----------
158,588
-----------
See Notes to Financial Statements on Pages 49-51
13
<PAGE>
Equity 500 Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
Photography and Optical - 0.27%
800 Eastman Kodak Co. $ 58,450
100 Polaroid Corp. 3,556
-----------
62,006
-----------
Printing and Publishing - 1.34%
400 Donnelley (R.R.) & Sons Co. 18,300
100 Dow Jones & Co., Inc. 5,575
300 Dun & Bradstreet Corp. 10,838
800 Gannet Co., Inc. 56,850
300 Knight-Ridder, Inc. 16,519
300 McGraw-Hill Companies, Inc. 24,469
300 New York Times Co. - Class A 23,775
1,400 Time Warner, Inc. 119,613
100 Times Mirror Co. - Class A 6,288
300 Tribune Co. 20,644
-----------
302,871
-----------
Professional Services - 0.41%
400 Block (H&R), Inc. 16,850
300 Deluxe Corp. 10,744
200 Ecolab, Inc. 6,200
300 Interpublic Group of Companies, Inc. 18,206
700 Service Corporation International 30,013
100 Transamerica Corp. 11,500
-----------
93,513
-----------
Railroads - 0.54%
400 Burlington Northern Santa Fe Corp. 39,275
600 CSX Corp. 27,300
800 Norfolk Southern Corp. 23,850
700 Union Pacific Corp. 30,888
-----------
121,313
-----------
Retail - 4.69%
1 Abercrombie & Fitch Co. - Class A (a) 44
700 Albertsons, Inc. 36,225
800 American Stores Co. 19,350
300 Circuit City Stores, Inc. 14,063
400 Consolidated Stores Corp. (a) 14,500
600 Costco Companies, Inc. (a) 37,838
800 CVS Corp. 31,150
1,100 Dayton Hudson Corp. 53,350
300 Dillard Department Stores, Inc.
Class A 12,431
500 Federated Department Stores, Inc. (a) 26,906
1,000 Gap, Inc. 61,625
1,300 Kmart Corp. (a) 24,863
700 Kroger Co. (a) 30,013
675 Limited, Inc. 22,359
800 Lowe's Companies, Inc. 32,450
500 May Department Stores Co. 32,750
100 Mercantile Stores Co., Inc. 7,894
200 Nordstrom, Inc. 15,450
500 Penney (J.C.) Co., Inc. 36,156
Shares Description Value
------ ----------- -----
100 Pep Boys-Manny, Moe & Jack $ 1,894
700 Rite Aid Corp. 26,294
900 Sears, Roebuck & Co. 54,956
500 Sherwin-Williams Co. 16,563
300 Tandy Corp. 15,919
700 TJX Companies, Inc. 16,888
800 Toys `R' Us, Inc. (a) 18,850
1,300 Walgreen Co. 53,706
5,400 Wal-Mart Stores, Inc. 328,050
300 Winn-Dixie Stores, Inc. 15,356
200 Venator Group, Inc. 3,825
-----------
1,061,718
-----------
Telecommunications - 5.37%
1,500 AirTouch Communications, Inc. (a) 87,656
700 ALLTEL Corp. 32,550
2,800 Ameritech Corp. 125,650
200 Andrew Corp. (a) 3,613
500 Ascend Communications, Inc. (a) 24,781
500 Bay Networks, Inc. (a) 16,125
200 Clear Channel Communications, Inc. (a) 21,825
900 Comcast Corp. - Class A 36,534
400 DSC Communications Corp. (a) 12,000
400 Frontier Corp. 12,600
500 General Instrument Corp. (a) 13,594
2,300 GTE Corp. 127,938
3,200 Lucent Technologies, Inc. 266,200
1,700 MCI Communications Corp. 98,813
1,600 MediaOne Group, Inc. (a) 70,300
600 Nextel Communication, Inc.
Class A (a) 14,925
200 Scientific Atlanta, Inc. 5,075
1,200 Tele-Communications, Inc.
Class A (a) 46,125
500 Tellabs, Inc. (a) 35,813
700 Viacom, Inc. - Class B (a) 40,775
2,500 WorldCom, Inc. (a) 121,094
-----------
1,213,986
-----------
Tire and Rubber - 0.17%
100 Cooper Tire & Rubber Co. 2,063
200 Goodrich (B.F.) Co. 9,925
400 Goodyear Tire & Rubber Co. 25,775
-----------
37,763
-----------
Tobacco - 1.18%
600 Fortune Brands, Inc. 23,063
5,800 Philip Morris Companies, Inc. 228,375
600 UST, Inc. 16,200
-----------
267,638
-----------
Trucking, Shipping - 0.13%
480 FDX Corporation (a) 30,120
-----------
See Notes to Financial Statements on Pages 49-51
14
<PAGE>
Equity 500 Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
Utilities - 6.52%
500 American Electric Power Co. $ 22,688
3,900 AT&T Corp. 222,788
200 Baltimore Gas & Electric Co. 6,213
3,600 Bell Atlantic Corp. 164,250
2,400 BellSouth Corp. 161,100
200 Carolina Power & Light Co. 8,675
700 Central & South West Corp. 18,813
200 CINergy Corp. 7,000
300 Coastal Corp. 20,944
150 Columbia Energy Group 8,344
700 Consolidated Edison Company of
New York, Inc. 32,244
300 Consolidated Natural Gas Co. 17,663
600 Dominion Resources, Inc. 24,450
400 DTE Energy Co. 16,150
800 Duke Energy Corp. 47,400
700 Edison International 20,694
900 Enron Corp. 48,656
800 Entergy Corp. 23,000
500 FirstEnergy Corp. 15,375
400 FPL Group, Inc. 25,200
400 GPU, Inc. 15,125
800 Houston Industries, Inc. 24,700
200 Niagara Mohawk Power Corp. 2,988
200 Northern States Power Co. 5,725
500 PacifiCorp 11,313
700 PECO Energy Co. 20,519
1,100 PG&E Corp. 34,719
200 PP&L Resources, Inc. 4,538
700 Public Service Enterprise Group, Inc. 24,106
4,400 SBC Communications, Inc. 176,000
401 Sempra Energy (a) 11,121
200 Sonat, Inc. 7,725
1,900 Southern Co. 52,606
900 Sprint Corp. 63,450
Shares Description Value
------ ----------- -----
800 Texas Utilities Co. $ 33,300
500 Unicom Corp. 17,531
1,238 US West, Inc. 58,186
-----------
1,475,299
-----------
Waste Management - 0.28%
600 Browning Ferris Industries, Inc. 20,850
600 Laidlaw, Inc. ADR 7,314
1,000 Waste Management, Inc. 35,000
-----------
63,164
-----------
Total Common Stocks (Cost $20,100,375) 21,702,063
-----------
Principal
Amount SHORT TERM INSTRUMENTS - 11.01%
- -------- U.S. Treasury Bills (c) - 11.01%
$100,000 5.12%, 08/20/98 99,310
372,000 5.12%, 09/03/98 (b) 368,739
776,000 5.16%, 10/15/98 764,570
560,000 5.12%, 10/22/98 551,256
720,000 5.18%, 11/12/98 706,585
-----------
Total Short Term Instruments (Cost $2,490,460) 2,490,460
-----------
Total Investments (Cost $22,590,835) 106.98% $24,192,523
------ -----------
Liabilities in excess of other assets (6.98)% (1,578,536)
(Notes 2 and 4) ------ -----------
Net Assets 100.00% $22,613,987
====== ===========
- ----------
(a) Non-income producing security.
(b) Held for collateral for futures contracts.
(c) Annualized yield at time of purchase.
ADR American Depositary Receipt.
At June 30, 1998, the Fund's open futures contracts were as follows:
Number of
Contracts Contract Expiration Opening Market
Purchased Type Date Position Value
--------- -------- ---------- -------- ------
1 S&P 500 09/21/98 $279,456 $285,750
See Notes to Financial Statements on Pages 49-51
15
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
COMMON STOCKS - 95.01%
Advertising - 0.31%
400 Catalina Marketing Corp. (a) $ 20,775
200 Double Click, Inc. (a) 9,937
800 Getty Images, Inc. (a) 17,800
700 HA-LO Industries (a) 21,787
50 Lamar Advertising Co. (a) 1,794
300 May & Speh, Inc. (a) 5,962
50 Outdoor Systems, Inc. (a) 1,400
200 TMP Worldwide, Inc. (a) 6,975
-----------
86,430
-----------
Aerospace - 0.40%
600 AAR Corp. 19,216
300 Aviation Sales Co. (a) 11,887
320 Banner Aerospace, Inc. (a) 4,120
800 BE Aerospace, Inc. (a) 23,300
200 Curtiss-Wright Corp. 7,837
150 Ducommun, Inc. (a) 3,000
348 Fairchild Corp. - Class A (a) 7,025
1,000 Kaman Corp. - Class A 19,031
700 OEA, Inc. 11,200
400 Remec, Inc. (a) 4,550
-----------
111,166
-----------
Agriculture - 0.32%
400 Agribrands International (a) 12,100
1,200 Cadiz Land Company, Inc. (a) 13,875
600 DEKALB Genetics Corp. - Class B 56,775
33 Delta & Pine Land Co. 1,469
200 Tejon Ranch Co. 5,225
-----------
89,444
-----------
Apparel, Textiles - 1.47%
400 Authentic Fitness Corp. 6,325
800 Brown Group, Inc. 15,900
300 Brylane, Inc. (a) 13,800
3,600 Charming Shoppes, Inc. (a) 17,100
600 Footstar, Inc. (a) 28,800
300 Galey & Lord, Inc. (a) 4,462
1,000 Genesco, Inc. (a) 16,312
700 Guess, Inc. (a) 3,456
600 Hartmarx Corp. (a) 4,537
1,700 Interface, Inc. 34,319
800 Kellwood Co. 28,600
600 Lands' End, Inc. (a) 19,050
800 Nautica Enterprises, Inc. (a) 21,450
500 Nine West Group, Inc. (a) 13,406
400 North Face, Inc. (a) 9,600
300 Oshkosh B'Gosh, Inc. - Class A 13,350
400 Phillips-Van Heusen Corp. 5,900
500 Quicksilver, Inc. (a) 9,969
1,100 Russell Corp. 33,206
700 Spiegel - Class A (a) 5,031
Shares Description Value
------ ----------- -----
500 Springs Industries, Inc. - Class A $ 23,062
300 St John Knits, Inc. 11,587
1,100 Stride Rite Corp. 16,569
100 Timberland Co., Class A (a) 7,194
400 Wet Seal, Inc. - Class A (a) 12,800
1,500 Wolverine World Wide, Inc. 33,000
-----------
408,785
-----------
Auto Related - 2.08%
800 Arvin Industries, Inc. 29,050
900 Avis Rent A Car (a) 22,275
600 Bandag, Inc. 23,400
500 Borg Warner Automotive, Inc. 24,031
700 Breed Technologies, Inc. 10,719
700 Budget Group, Inc. - Class A (a) 22,356
1,400 Collins & Aikman Corp. (a) 10,412
300 CSK Auto Corp. (a) 7,575
300 Detroit Diesel Corp. (a) 6,469
200 Excel Industries 2,862
400 Exide Corp. 6,725
700 Hayes Lemmerz International, Inc. (a) 27,606
400 Intermet Corp. 7,250
700 International Speedway - Class A 19,906
800 Kaydon Corp. 28,250
800 Masco Tech, Inc. 19,200
1,600 Miller Industries, Inc. (a) 12,400
600 Modine Manufacturing Co. 20,775
800 Myers Industries, Inc.. 19,200
200 O'Reilly Automotive, Inc. (a) 7,200
900 Polaris Industries, Inc.. 33,862
400 Rent-Way, Inc. (a) 12,200
400 Simpson Industries, Inc. 5,475
400 Smith (A.O.) Corp. 20,675
200 SPX Corp. (a) 12,875
500 Standard Motor Products, Inc. (a) 11,125
700 Standard Products Co. 19,687
700 Stewart & Stevenson Services, Inc. 12,600
800 Superior Industries International, Inc. 22,550
300 Titan International, Inc. 5,100
500 Tower Automotive, Inc. (a) 21,437
300 United Auto Group, Inc. (a) 6,562
600 United Rental, Inc. (a) 25,200
900 Wabash National Corp. 23,175
800 Wynn's International, Inc. 15,400
-----------
575,584
-----------
Banks - 3.57%
200 Area Bancshares Corp. 6,800
100 Brenton Banks, Inc. 2,043
150 BSB Bancorp. Inc. 4,537
800 Carolina First Corp. 20,300
300 Cathay Bancorp, Inc. 13,950
400 CBT Corp. 13,000
400 Century South Banks, Inc. 15,200
775 Chittenden Corp. 27,125
See Notes to Financial Statements on Pages 49-51
16
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
300 Citizens Bancshares/Ohio $ 9,900
900 Commonwealth Bancorp, Inc. 20,644
200 Community Bank Systems 6,262
200 Community Trust Bancorp, Inc. 6,650
300 CVB Financial Corp. 7,275
400 Dime Community Bancorp, Inc. 11,100
100 Farmers Capital Bank Corp. 9,750
502 Fifth Third Bancorp 31,595
600 First Commerce Bancshares 17,587
900 First Commonwealth Financial Corp. 25,425
1,060 First Financial Bancorp 27,427
500 First Financial Bankshares, Inc. 20,500
400 First Hawaiian, Inc. 14,550
400 First Merchants Corp. 18,300
500 First Republic Bank (a) 18,062
782 First Source Bancorp, Inc. 7,576
510 First Source Corp. 18,232
1,000 Friedman, Billings Ramsey Group,
Inc. (a) 14,437
75 Fulton Financial Corp. 1,903
200 F&M Bancorporation, Inc. 8,350
500 GBC Bancorp 13,250
100 Hamilton Bancorp, Inc. (a) 3,602
701 Harbor Florida Bancorp, Inc. 8,368
200 Harleysville National Corp. 8,500
500 Heritage Financial Services, Inc. 17,187
2,200 Independence Community Bank 37,400
400 International Bancshares Corp. 26,450
200 Interwest Bancorp, Inc. 8,675
200 JeffBanks, Inc. 9,825
400 Mainstreet Financial Corp. 11,800
200 Merchants New York Bancorp 7,400
700 National Bankcorp of Alaska, Inc. 21,612
600 NBT Bancorp, Inc. 15,225
900 Ocean Financial Corp. 17,212
615 Old National Bancorp 29,366
100 Oriental Financial Group 3,687
300 Park National Corp. 30,281
500 Peoples First Corp. 17,500
500 PFF Bancorp, Inc. (a) 9,312
200 Premier Bancshares, Inc. 5,300
900 Republic Security Financial
Corporation 10,293
400 Riggs National Corp. 11,687
600 Santa Barbara Bancorp 17,250
125 Signal Corporation 3,641
400 SIS Bancorp, Inc. 15,500
1,000 Southwest Bancorp of Texas (a) 18,812
1,000 Staten Island Bancorp, Inc. 22,750
1,050 Sterling Bancshares, Inc. 16,537
400 Susquehanna Bancshares, Inc. 14,950
280 S&T Bancorp, Inc. 15,470
600 Texas Regional Bancshares, Inc.
Class A 19,650
600 Triangle Bancorp, Inc. 18,825
Shares Description Value
------ ----------- -----
300 Trust Company of New Jersey $ 8,100
200 U.S. Bancorp, Inc. 15,462
1,100 Webster Financial Corp. 36,575
200 West Coast Bancorp/Oregon 4,925
300 Western Bancorp 12,656
1,500 Western Bank Puerto Rico 25,312
-----------
988,827
-----------
Beverages - 0.24%
600 Beringer Wine Estates Holdings (a) 26,437
100 Coca Cola Bottling Consolidated 6,612
800 Coors (Adolph) Co. - Class B 27,200
200 Robert Mondavi Corp. - Class A (a) 5,675
-----------
65,924
-----------
Biopharmaceuticals - 0.50%
600 AmeriSource Health Corp.
Class A (a) 39,412
800 INCYTE Pharmaceuticals, Inc. (a) 27,300
900 Liposome Company, Inc. (a) 4,866
600 NeXstar Pharmaceuticals, Inc. (a) 5,981
700 Protein Design Labs, Inc. (a) 16,866
900 Roberts Pharmaceutical Corp. (a) 20,700
700 Vertex Pharmaceuticals, Inc. (a) 15,750
400 Zonagen, Inc. (a) 8,775
-----------
139,650
-----------
Brewery - 0.09%
500 Canandaigua Brands, Inc.
Class A (a) 24,594
-----------
Broadcasting - 0.78%
600 ADVO, Inc. (a) 16,912
125 AFC Cable Systems, Inc. (a) 4,437
300 BET Holdings, Inc. - Class A (a) 18,881
1,100 Century Communication Corp.
Class A (a) 20,625
200 Cox Radio Inc. - Class A (a) 8,650
400 On Command Corp. (a) 5,550
300 Paxson Communications Corp. (a) 3,637
75 Saga Communications, Inc.
Class A (a) 1,050
700 SFX Broadcasting, Inc. - Class A 32,112
1,300 Spelling Entertainment (a) 12,187
1,500 United International Holdings, Inc.
Class A (a) 24,000
200 United Television, Inc. 22,900
800 Westwood One, Inc. 20,175
400 Young Broadcasting Corp.
Class A (a) 26,000
-----------
217,116
-----------
Building and Construction - 1.74%
100 Ameron, Inc. 5,787
900 CalMat Co. 19,800
See Notes to Financial Statements on Pages 49-51
17
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
200 Centex Construction Products, Inc. $ 7,700
1,000 Consolidation Capital Corp. (a) 22,484
1,400 Dal-Tile International, Inc. (a) 13,737
600 Elcor Corp. 15,150
600 Florida Rock Industries, Inc. 17,700
1,100 Halter Marine Group, Inc. (a) 16,568
700 Hughes Supply, Inc. 25,637
1,000 Insituform Technologies - Class A (a) 13,843
900 Kaufman & Broad Home Corp. 28,575
300 Lone Star Industries, Inc. 23,119
400 Medusa Corp. 25,100
800 M.D.C. Holdings, Inc. 15,800
300 National R.V. Holdings, Inc. (a) 13,537
300 NCI Building Systems, Inc. (a) 17,325
200 NVR, Inc. (a) 8,212
1,100 Oakwood Homes Corp. 33,000
600 Palm Harbor Homes, Inc. (a) 25,575
100 Puerto Rican Cement Co., Inc. 4,725
400 Ryland Group, Inc. 10,500
100 Simpson Manufacturing Co., Inc. (a) 3,862
200 Skyline Corp. 6,525
500 Standard-Pacific Corp. 10,312
500 Texas Industries, Inc. 26,500
600 TJ International, Inc.. 18,075
500 Toll Brothers, Inc. (a) 14,344
400 Triangle Pacific Corp. (a) 22,000
200 U.S. Home Corp. (a) 8,250
300 Webb (Del E.) Corp. 7,781
-----------
481,523
-----------
Chemical - Specialty - 0.39%
900 Albemarle Corp. 19,856
700 Church & Dwight Co., Inc. 22,662
600 Ethyl Corp. 3,675
1,350 Ferro Corp. 34,172
500 Fuller (H.B.) Co. 27,719
-----------
108,084
-----------
Chemicals and Toxic Waste - 1.66%
900 AgriBioTech, Inc. (a) 24,918
1,400 Airgas, Inc. (a) 20,125
800 Cambrex Corp. 21,000
600 Chemed Corp. 20,737
900 ChemFirst, Inc. (a) 22,725
900 Dexter Corp. 28,631
200 General Chemical Group, Inc. 5,550
1,000 Geon Co. 22,937
700 Georgia Gulf Corp. 15,969
1,100 Hanna (M.A.) Co. 20,144
1,600 Lawter International, Inc. 17,400
200 LeaRonal, Inc. 4,775
900 Lilly Industries, Inc. - Class A 19,462
300 MacDermid, Inc. 8,475
600 Mississippi Chemical Corp. 9,862
600 Mycogen Corp. (a) 14,419
Shares Description Value
------ ----------- -----
100 NCH Corp. $ 6,406
800 NL Industries, Inc. 16,000
500 OM Group, Inc. 20,625
1,300 Schulman, Inc. 25,431
800 Scotts Company (The) - Class A (a) 29,800
500 Spartech Corp. 10,719
200 Stephan Chemical Co. 5,962
400 Synetic, Inc. (a) 22,800
700 Terra Industries, Inc. 6,300
500 WD-40 Co. 13,562
1,100 Wellman, Inc. 24,956
-----------
459,690
-----------
Client Server Computing - 0.07%
500 Clarify, Inc. (a) 6,750
900 Xircom, Inc. (a) 14,006
-----------
20,756
-----------
Coal, Gas and Solar - 0.09%
1,200 AGL Resources, Inc. 23,850
-----------
Commercial Services - 1.66%
700 ABM Industries, Inc. 19,381
500 Access Health, Inc. (a) 12,750
1,100 Anixter International, Inc. (a) 20,969
200 Berlitz International, Inc. (a) 5,400
600 Borg-Warner Security Corp. (a) 13,575
800 Caribiner International, Inc. (a) 14,000
500 CDI Corp. (a) 13,375
450 Central Parking Corp. 20,475
200 Data Processing Resources (a) 6,212
200 Data Transmission Network Corp. (a) 8,000
400 Electro Rent Corp. (a) 8,975
600 Franklin Covey Co. (a) 11,550
1,200 Hussman International, Inc. 22,500
400 Iron Mountain, Inc. (a) 17,900
900 Interim Services (a) 28,912
100 ITT Educational Services, Inc. (a) 3,225
700 Jabil Circuit, Inc. (a) 23,143
400 Lason, Inc. (a) 21,800
500 MemberWorks, Inc. (a) 16,125
1,100 Metromedia International Group, Inc. (a) 13,131
900 Mettler-Toledo International, Inc. (a) 18,056
200 National Processing, Inc. (a) 2,137
150 NCO Group, Inc. (a) 3,300
850 NFO Worldwide, Inc. (a) 15,141
400 Nova Corp., Georgia (a) 14,300
700 Paymentech, Inc. (a) 14,393
800 PhyMatrix Corp. (a) 7,050
375 Primark Corp. (a) 11,742
840 Romac International, Inc. (a) 25,515
300 Russ Berrie & Co., Inc. 7,500
800 Sotheby's Holdings, Inc. - Class A 17,900
500 StaffMark, Inc. (a) 18,312
See Notes to Financial Statements on Pages 49-51
18
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
300 Valhi, Inc. $ 3,131
-----------
459,875
-----------
Computers - 1.06%
500 American Business Information, Inc. (a) 8,000
400 ATL Products, Inc. - Class A (a) 10,425
600 Computer Task Group, Inc. 20,100
1,700 Data General Corp. (a) 25,394
200 Deltek Systems, Inc. (a) 4,900
200 Dialogic Corp. (a) 5,950
200 FactSet Research Systems, Inc. (a) 6,500
1,000 FileNet Corp. (a) 28,875
1,400 HMT Technology Corp. (a) 11,725
2,000 Komag, Inc. (a) 10,687
200 MICROS Systems, Inc. (a) 6,619
1,000 MTI Tech Corp. (a) 9,156
300 NeoMagic Corp. (a) 4,650
1,900 Oak Technology, Inc. (a) 8,669
300 Objective Systems Integrators (a) 2,212
700 Physician Computer Network, Inc. (a) 262
700 PMC-Sierra, Inc. (a) 32,812
300 PRI Automation, Inc. (a) 5,119
400 SanDisk Corp. (a) 5,525
1,600 Sequent Computer Systems, Inc. (a) 19,300
1,000 Stratus Computer, Inc. (a) 25,312
600 Telxon Corp. 19,425
900 Wang Laboratories, Inc. (a) 22,894
-----------
294,511
-----------
Computer Services - 2.60%
600 3DFX Interactive, Inc. (a) 10,275
1,000 Acxiom Corp. (a) 24,937
1,000 American Management Systems, Inc. (a) 29,937
500 Anacomp, Inc. (a) 11,812
800 Analysts International Corp. 22,700
360 Applied Graphics Technologies, Inc. (a) 16,470
250 Barra, Inc. (a) 6,125
600 Black Box Corp. (a) 19,913
200 BRC Holdings, Inc. (a) 3,837
500 CCC Information Services Group (a) 8,250
400 CMG Information Services, Inc. (a) 28,300
1,200 Cognex Corp. (a) 22,200
900 Computer Horizons Corp. (a) 33,356
600 Computer Learning Centers, Inc. (a) 14,925
200 Computer Management Sciences (a) 4,750
400 DBT Online (a) 10,800
1,500 Diamond Multimedia Systems, Inc. (a) 10,266
800 E Trade Group, Inc. (a) 18,350
300 Earthlink Network, Inc. (a) 23,025
300 Electro Scientific Industries, Inc. (a) 9,469
500 Envoy Corp. (a) 23,687
400 Fair Isaac & Co., Inc. 15,200
1,000 GTech Holding Corp. (a) 33,687
500 Henry (Jack) & Associates 17,187
700 Hutchinson Technology (a) 19,075
Shares Description Value
------ ----------- -----
200 InaCom Corp. (a) $ 6,350
400 International Network Services (a) 16,400
1,500 Mentor Graphics Corp. (a) 15,844
1,000 National Computer Systems, Inc. 24,000
800 National Data Corp. 35,000
200 QRS Corp. (a) 7,525
300 Radiant Systems, Inc. (a) 4,350
600 Safeguard Scientific, Inc. (a) 25,012
1,500 Scios, Inc. (a) 13,312
200 SCM Microsystems, Inc. (a) 12,500
500 Sportsline USA, Inc. (a) 18,281
600 Technology Solutions (a) 19,012
400 Transition Systems, Inc. (a) 4,250
800 USCS International, Inc. (a) 16,550
800 USWeb Corp. (a) 18,950
1,500 Vanstar Corp. (a) 21,844
800 Xylan Corp. (a) 23,850
-----------
721,563
-----------
Computer Software - 5.28%
900 Acclaim Entertainment, Inc. (a) 5,343
300 Advent Software, Inc. (a) 12,600
400 American Homepatient, Inc. (a) 7,650
300 Arbor Software Corp. (a) 9,431
700 Aspen Technologies, Inc. (a) 35,350
900 Avant! Corp. (a) 22,275
700 Avid Technology, Inc.. (a) 23,450
800 AXENT Technologies (a) 24,500
142 Baan Company NV (a) 5,082
900 BancTec, Inc. (a) 20,812
1,200 BEA Systems, Inc. (a) 27,525
300 Bell & Howell Co. (a) 7,744
500 BISYS Group, Inc. (a) 20,500
1,050 Boole & Babbage, Inc. (a) 25,069
600 BroadVision, Inc. (a) 14,325
500 Broderbund Software, Inc. (a) 11,406
100 CDW Computer Centers, Inc. (a) 5,000
1,100 Checkfree Corp. (a) 32,381
1,100 CHS Electronics, Inc. (a) 19,662
500 Concentric Network Corp. (a) 15,156
500 Cotellingent Group, Inc. (a) 11,687
600 Datastream Systems, Inc. (a) 11,437
500 Dataworks Corporation (a) 6,625
500 DecisionOne Holdings Corp. (a) 10,031
400 Documentum, Inc. (a) 19,200
1,700 Electronics For Imaging (a) 35,912
200 Engineering Animation, Inc. (a) 12,200
300 Excite, Inc. (a) 28,050
400 Exodus Communication, Inc. (a) 17,900
200 Forrester Research, Inc. (a) 7,950
800 Gerber Scientific, Inc. 18,200
400 Great Plains Software, Inc. (a) 13,550
500 GT Interactive Software Corp. (a) 3,766
700 Harbinger Corp. (a) 16,931
800 HNC Software, Inc. (a) 32,650
400 Hyperion Software Corp. (a) 11,400
See Notes to Financial Statements on Pages 49-51
19
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
500 Industri-Matematik International
Corp. (a) $ 5,469
400 Information Management Resources, Inc. (a) 13,525
1,100 Information Resources, Inc. (a) 20,350
3,900 Informix Corp. (a) 30,833
600 Infoseek Corp. 21,525
1,900 Inprise Corp. (a) 14,012
400 Integrated Systems, Inc. (a) 6,150
800 INTERSOLV, Inc. (a) 12,850
400 JDA Software Group, Inc. (a) 17,500
900 Learning Company, Inc. (a) 26,662
200 Learning Tree International, Inc. (a) 4,025
900 Legato Systems, Inc. (a) 35,100
400 Lycos, Inc.. (a) 30,150
1,100 Macromedia, Inc. (a) 20,556
600 Manugistics Group, Inc. (a) 14,850
700 MAPICS, Inc. (a) 13,781
500 Mercury Interactive Corp. (a) 22,312
1,159 Midway Games, Inc. (a) 18,109
550 National Instruments Corp. (a) 19,662
700 Network Appliance, Inc. (a) 27,256
700 Open Market, Inc. (a) 13,212
500 Pegasus Systems, Inc. (a) 12,812
700 Platinum Software Corp. (a) 17,062
400 Progress Software Corp. (a) 16,400
200 Project Software & Development, Inc. (a) 4,012
1,000 PSINet, Inc. (a) 13,000
500 QuadraMed Corp. (a) 13,656
2,300 Rational Software Corp. (a) 35,075
300 RealNetworks, Inc. (a) 11,193
800 Remedy Corp. (a) 13,600
400 Sapient Corporation (a) 21,100
900 Security Dynamics Technology, Inc. (a) 16,650
300 SEI Investments Co. 18,600
600 Shiva Corp. (a) 5,025
64 Siebel Systems, Inc. (a) 2,064
1,000 Software AG Systems, Inc. (a) 29,250
300 Splash Technologies Holdings, Inc. (a) 5,156
400 SPS Transaction Services, Inc. (a) 12,550
1,200 Structural Dynamics Research Corp. (a) 27,750
2,800 Sybase, Inc. (a) 19,512
300 Sykes Enterprises, Inc. (a) 6,019
1,400 Symantec Corp. (a) 36,575
1,400 System Software Associates, Inc. (a) 9,975
800 Systems & Computer Technology Corp. (a) 21,600
600 Transaction Systems Architechure, Inc.
Class A (a) 23,100
900 Vantive Corp. (a) 18,450
25 VERITAS Software Corp. (a) 1,034
400 VIASOFT, Inc. (a) 6,475
500 Visio Corp. (a) 23,875
700 Wind River Systems (a) 25,112
50 Yahoo, Inc. (a) 7,875
-----------
1,465,196
-----------
Shares Description Value
------ ----------- -----
Consumer Goods - 0.30%
200 Bush Industries, Inc. - Class A $ 4,350
600 Enesco Group, Inc. 18,450
250 Fossil, Inc. (a) 6,219
566 Herbalife International, Inc. - Class A 13,937
900 Rayovac Corp. (a) 20,418
300 Renters Choice, Inc. (a) 8,512
500 Wesley Jessen VisionCare (a) 11,562
-----------
83,448
-----------
Consumer Services - 1.00%
1,200 Billing Concepts Corp. (a) 18,600
500 CoreComm, Inc. (a) 13,125
800 Crawford & Co. - Class B 15,000
2,000 DeVRY, Inc. (a) 43,875
800 Equity Corporation International (a) 19,200
400 Group Maintenance, Inc. (a) 7,200
500 G&K Services, Inc. - Class A (a) 21,812
500 IDT Corp. (a) 15,031
600 Metamor Worldwide, Inc. (a) 21,112
400 Metro Networks, Inc (a) 17,250
150 Pinkerton's, Inc. (a) 3,112
600 Pre-Paid Legal Services, Inc. (a) 18,937
900 Rollins, Inc. 18,450
750 Sylvan Learning Systems, Inc. (a) 24,562
500 U.S. Rentals, Inc. (a) 19,719
-----------
276,985
-----------
Containers - 0.84%
700 ACX Technologies, Inc. (a) 15,225
400 Aptargroup, Inc. 24,875
700 Ball Corp. 28,131
800 Chesapeake Corp. 31,150
1,100 EarthShell Corp. (a) 10,725
900 First Brands Corp. 23,062
1,900 Gaylord Container Corp. - Class A (a) 14,606
300 Grief Bros Corp. - Class A 11,212
700 Ivex Packaging Corp. (a) 16,275
2,000 Longview Fibre Co. 28,500
950 Shorewood Packaging Corp. (a) 15,081
500 Silgan Holdings, Inc. (a) 14,000
-----------
232,842
-----------
Cosmetics and Toiletries - 0.12%
600 Natures Sunshine Products, Inc. 13,537
1,300 Playtex Products, Inc. (a) 20,719
-----------
34,256
-----------
Diversified - 0.57%
1,500 Alexander & Balwin 43,687
900 Federal Signal Corp. 21,881
600 Hexcel Corp. (a) 13,575
1,400 Imation Corp. (a) 23,187
400 Justin Industries, Inc. 6,450
200 NACCO Industries, Inc. - Class A 25,850
See Notes to Financial Statements on Pages 49-51
20
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
900 Scott Technologies, Inc. - Class A (a) $ 13,162
80 U.S. Industries, Inc. 1,980
300 Volt Information Sciences, Inc. (a) 8,137
-----------
157,909
-----------
Drugs - 0.42%
500 Aviron 15,593
600 Cephalon, Inc. (a) 4,725
900 COR Therapeutics, Inc. (a) 12,487
700 Gilead Sciences, Inc. (a) 22,444
1,100 Isis Pharmaceuticals, Inc. (a) 15,056
500 Jones Medical Industries, Inc. 16,562
400 Medicis Pharmaceutical Corp.
Class A (a) 14,600
1,200 SEQUUS Pharmaceuticals, Inc. (a) 13,650
-----------
115,117
-----------
Drugs / Retail - 0.13%
400 Express Scripts Inc. - Class A (a) 32,250
600 Zila, Inc. (a) 4,350
-----------
36,600
-----------
Electrical Equipment - 2.85%
700 Adtran, Inc. (a) 18,287
800 AMETEK, Inc. 23,450
1,600 Amkor Technology. Inc. (a) 14,950
800 Applied Micro Circuits Corp. (a) 20,700
1,233 Artesyn Technologies, Inc. (a) 19,727
0 Aztec Technology Partners, Inc. 3
633 Baldor Electric Co. 15,477
500 Belden, Inc. 15,312
400 Benchmark Stock Electroncs, Inc. (a) 8,000
700 Berg Electronics Corp. (a) 13,694
200 C & D Technologies, Inc. 11,600
900 Calpine Corp. (a) 18,169
2,300 Cirrus Logic, Inc.. (a) 25,587
1,100 Comfort Systems USA, Inc. (a) 25,712
1,400 Commscope, Inc. (a) 22,662
3,100 Cypress Semiconductor (a) 25,768
600 Dallas Semiconductor Corp 18,618
250 Encore Wire Corp. (a) 4,031
700 Esterline Technologies Corp. (a) 14,393
700 Etec Systems, Inc. 24,631
400 Fluke Corp. 13,150
200 Franklin Electric Co., Inc. 13,600
1,400 KEMET Corp. (a) 18,419
900 Lam Research Corp. (a) 17,212
500 Lattice Semiconductor Corp. (a) 14,202
500 Littelfuse, Inc. (a) 12,625
1,100 MagneTek, Inc. (a) 17,325
1,500 Mark IV Industries, Inc. 32,437
500 Marquette Medical Systems
Class A (a) 12,827
1,400 Methode Electronics, Inc. - Class A 21,700
1,300 Microchip Technology, Inc. (a) 33,962
Shares Description Value
------ ----------- -----
1,300 Micron Electronics, Inc. (a) $ 15,681
300 Moog, Inc. - Class A (a) 11,456
500 MRV Communications, Inc. (a) 10,375
1,100 Novellus Systems, Inc. (a) 39,256
300 Qlogic Corp. (a) 10,706
400 Recoton Corp. (a) 13,400
1,500 Sensormatic Electronics Corp. (a) 21,000
600 Silicon Valley Group, Inc. (a) 9,637
550 SLI, Inc. (a) 14,368
900 SMART Modular Technologies, Inc. (a) 13,162
400 Tecumseh Products Co. - Class A 21,125
900 Vicor Corp. (a) 12,487
1,400 Vishay International, Inc. (a) 25,112
1,400 VLSI Technologies, Inc. (a) 23,493
-----------
789,488
-----------
Electronics - 2.35%
300 Actel Corp. (a) 3,225
400 Amphenol Corp. - Class A (a) 15,600
600 BMC Industries, Inc. 5,250
900 Burr-Brown Corp. (a) 18,900
1,050 Cable Design Technologies (a) 21,656
1,200 C-Cube Microsytems, Inc. (a) 22,275
1,200 Checkpoint Systems, Inc. (a) 16,950
300 Cohu, Inc. 7,294
100 CopyTele, Inc. (a) 225
800 Credence Systems Corp. (a) 15,200
500 CTS Corp. 14,906
100 Cubic Corp. 2,387
1,000 DII Group, Inc.. (a) 17,062
900 Dionex Corp. (a) 23,737
800 Electroglas, Inc. (a) 10,450
500 FSI International, Inc. (a) 4,844
600 GenRad, Inc. (a) 11,850
1,500 Gentex Corp. (a) 27,187
500 Hadco Corp. (a) 11,656
2,800 Integrated Device Technology, Inc. (a) 20,037
500 Integrated Process Equipment Corp. (a) 5,625
1,900 International Rectifier Corp. (a) 16,150
1,000 Kent Electronics Corp. (a) 18,312
600 Kuhlman Corp. 23,737
400 Lo-Jack Corp. (a) 4,975
700 Marshall Industries (a) 19,075
900 MTS Systems Corp. 14,456
500 Nichols Research Corp. (a) 13,656
500 Nimbus CD International, Inc. (a) 5,687
700 Oak Industries, Inc. 24,762
300 Park Electrochemical Corp. 6,337
800 Photronics, Inc. (a) 17,650
500 Pioneer Standard Electronics, Inc. 4,812
400 Plexus Corp. (a) 7,950
500 Rambus, Inc. (a) 30,562
1,600 Read-Rite Corp. (a) 14,500
100 Rogers Corp. (a) 3,300
2,000 S3, Inc. (a) 10,125
See Notes to Financial Statements on Pages 49-51
21
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
600 SDL, Inc. (a) $ 14,325
600 Service Experts, Inc. (a) 20,700
200 Siliconix, Inc. (a) 4,900
600 Speedfam International, Inc. (a) 11,062
400 Technitrol, Inc. 15,975
400 Thermedics, Inc. (a) 4,950
1,000 Trimble Navigation Ltd. (a) 16,187
400 Triumph Group, Inc. (a) 16,800
800 Ultratech Stepper, Inc. (a) 15,800
1,100 Unitrode Corp. (a) 12,650
300 Veeco Instruments, Inc. (a) 7,462
-----------
653,173
-----------
Engineering - 0.13%
800 Foster Wheeler Corp. 17,150
600 Granite Construction, Inc. 18,375
-----------
35,525
-----------
Engineering and Construction - 0.06%
400 Stone & Webster, Inc. 15,750
-----------
Entertainment - 0.39%
200 Churchill Downs, Inc. 8,300
550 Family Golf Centers, Inc. (a) 13,922
900 Florida Panthers Holdings, Inc. (a) 17,719
400 Gaylord Entertainment, Inc. 12,900
100 GC Companies (a) 5,187
1,400 Grand Casinos, Inc. (a) 23,450
800 Rio Hotel & Casino, Inc. (a) 15,100
400 Speedway Motorsports, Inc. (a) 10,225
-----------
106,803
-----------
Environmental Control - 0.61%
6,800 Air and Water Tech. - Class A (a) 21,250
200 Thermo Ecotek Corp. (a) 3,125
1,200 Catalytica, Inc. (a) 23,550
1,400 Donaldson Co., Inc. 32,987
300 IMCO Reclycling, Inc. 5,550
1,500 Calgon Carbon Corp. 14,906
1,000 Dames & Moore, Inc. 12,875
300 Superior Services, Inc. (a) 18,037
600 Watsco, Inc. - Class A 21,112
400 Ionics, Inc. (a) 14,750
-----------
168,142
-----------
Financial Services - 6.80%
1,000 Aames Financial Corp. 13,750
900 ADVANTA Corp. - Class A 19,743
600 Affiliated Managers Group (a) 22,462
300 ALBANK Financial Corp. 21,168
1,050 AMCORE Financial, Inc. 25,200
1,000 AmeriCredit Corp. (a) 35,687
200 Ameritrade Holding Corp. (a) 5,400
500 Anchor Bancorp Wisconsin, Inc. 19,531
Shares Description Value
------ ----------- -----
1,600 Arcadia Financial Ltd. (a) $ 12,100
900 ARM Financial Group, Inc. - Class A 19,912
61 Associated Banc-Corp 2,295
15 Astoria Financial Corp. 802
1,000 BancorpSouth, Inc. 21,000
250 Bank of Granite Corp. 7,875
1,500 BankAtlantic Bancorp, Inc. - Class B 19,313
600 Banknorth Group, Inc. 22,200
500 Bay View Capital Corp. 15,875
300 Bear Stearns Cos., Inc. 17,063
103 BOK Financial Corp. 4,867
420 BT Financial Corp. 11,130
100 Capital Factors Holdings, Inc. (a) 1,762
100 Capital One Financial Corp. 12,418
505 Chemical Financial Corp. 21,557
950 Citizens Banking Corp. (a) 31,944
300 CNB Bancshares, Inc. 14,400
410 Commerce Bancorp, Inc. 23,985
800 Commercial Federal Corp. 25,300
800 Community First Bankshares, Inc. 20,950
600 Conning Corp. 11,700
500 ContiFinancial Corp. (a) 11,562
400 Corus Bankshares, Inc. 16,100
1,000 Credit Acceptance Corp. (a) 8,500
400 Cullen/Frost Bankers, Inc. 21,700
700 Cuno, Inc. (a) 15,137
400 Dain Rausher Corp. 21,900
300 Delta Financial Corp. (a) 5,512
1,200 Doral Financial Corp. 21,000
410 Downey Financial Corp. 13,402
500 Eaton Vance Corp. 23,156
600 Everen Capital Corp. 16,500
900 F &M National Corp. 26,100
610 Fidelity National Financial, Inc. 24,286
200 Financial Federal Corp. (a) 5,362
300 First Citizens BancShares, Inc.
Class A 30,019
600 First Colorado Bancorp, Inc. 16,650
305 First Financial Corp., Indiana 15,364
500 First Financial Holdings 11,875
400 First Midwest Bancorp, Inc. 17,587
400 First Sierra Financial, Inc. (a) 12,200
400 First United Bancshares, Inc. 19,550
600 First Western Bancorp, Inc. 17,662
300 Firstbank of Illinois Co. 12,600
1,100 FirstBank Puerto Rico 28,600
500 FirstFed Financial Corp. 26,000
500 Franchise Mortgage (a) 13,031
100 Fund American Enterprise Holdings 14,800
815 F.N.B. Corp. 27,201
400 Hambrecht & Quist Group, Inc. (a) 14,525
400 Hancock Holding Co. 21,200
800 Headlands Mortgage Co. (a) 15,000
400 Healthcare Financial Partners, Inc. (a) 24,525
406 HUBCO, Inc. 14,540
See Notes to Financial Statements on Pages 49-51
22
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
1,200 IMC Mortgage Co. (a) $ 12,675
1,200 Imperial Bancorp (a) 36,000
1,100 Imperial Credit Industries, Inc. 25,850
100 Investment Technology Group, Inc. (a) 2,750
300 Investors Financial Services Corp. 15,900
600 Irwin Financial Corp. 17,437
500 Jefferies Group, Inc. 20,500
100 John Nuveen Co. - Class A 3,969
33 Legg Mason, Inc. 1,900
1,000 Local Financial Corp. (a) 13,000
400 Long Beach Financial (a) 4,400
700 MAF Bancorp, Inc. 25,462
700 McDonald & Company Investments 22,969
650 Morgan Keegan, Inc. 16,819
700 Morrison Knudsen Corp. (a) 9,844
510 National City Bancshares, Inc. 20,527
500 National Penn Bancshares, Inc. 17,000
600 Ocwen Asset Investment Corp. 9,937
675 One Valley Bancorp, Inc. 24,552
900 Pheonix Investment Partners 7,818
900 Pioneer Group, Inc. 23,681
925 Provident Bankshares, Corp. 27,287
600 Queens County Bancorp, Inc. 26,175
840 Republic Bancorp, Inc. 15,855
415 Resource Bancshares Mortgage
Group, Inc. 7,729
700 Resources America, Inc. (a) 20,737
900 Roslyn Bancorp., Inc. 20,081
500 Silicon Valley Bancshares (a) 17,797
200 Southern Pacific Funding Corp. (a) 3,137
60 Soveriegn Bancorp, Inc.. 981
800 St. Paul Bancorp, Inc. 18,075
600 TR Financial Corp. 25,125
500 Trans Financial, Inc. 28,687
500 Triad Guaranty, Inc. (a) 17,000
915 Trustco Bank Corp. 24,019
315 UMB Financial Corp. 15,592
1,000 UniCapital Corp. (a) 19,125
1,400 United Bankshares, Inc. 47,710
1,000 United Companies Financial Corp. 15,625
600 UST Corp. 15,900
700 Vermont Financial Services Corp. 19,206
800 WesBanco, Inc. 21,500
1,000 Westamerica Bancorporation 32,125
500 Westcorp, Inc. 6,875
200 White River Corp. (a) 18,100
500 Whitney Holding Corp. 25,375
-----------
1,887,343
-----------
Food Service / Lodging - 0.70%
1,500 Advantica Restaurant Group (a) 14,625
600 Bristol Hotel Co. (a) 14,700
1,000 Franchise Finance Corp. of America 25,937
1,100 Luby's Cafeterias, Inc. 19,319
1,050 Marcus Corp. 18,769
Shares Description Value
------ ----------- -----
1,200 Planet Hollywood International, Inc. (a) $ 8,550
900 P.J. America, Inc. (a) 16,425
600 Ruby Tuesday, Inc. 9,300
1,800 Ryan's Family Steak Houses, Inc. (a) 18,450
300 Sbarro, Inc. 8,137
400 ShowBiz Pizza Time, Inc. (a) 16,125
800 Smithfield Foods, Inc. (a) 24,400
-----------
194,737
-----------
Foods - 1.06%
600 American Italian Pasta Co. (a) 22,350
600 CellStar Corp. (a) 7,762
600 Chiquita Brands International, Inc. 8,437
1,200 Corn Products International (a) 40,950
400 Dreyer's Grand Ice Cream, Inc. 8,050
600 Earthgrains Co. 33,525
400 International Multifoods Corp. 11,000
400 Lance, Inc. 8,950
600 Michael Foods, Inc. 17,625
400 Performance Food Group, Inc. (a) 7,950
300 Pilgrims Pride Corp.. 6,000
1,100 Ralcorp Holdings, Inc. (a) 20,762
1,100 Richfood Holdings, Inc. 22,756
500 Riviana Foods, Inc. 11,531
500 Smucker (J.M.) Co. - Class A 12,406
70 Suiza Foods Corp. (a) 4,177
100 United Natural Foods, Inc. (a) 2,850
1,200 Universal Foods Corp. 26,625
10 U.S. Food Service, Inc. (a) 351
1,000 Vlasic Foods International (a) 20,125
-----------
294,182
-----------
Forest Products and Paper - 0.20%
600 Buckeye Technologies, Inc. (a) 14,137
600 Deltic Timber Corp. 15,037
600 Rayonier, Inc. (a) 27,600
-----------
56,774
-----------
Gaming - 0.07%
800 Aztar Corp. (a) 5,450
200 Dover Downs Entertainment 6,200
500 Station Casinos, Inc. (a) 7,344
-----------
18,994
-----------
Health Care - 1.02%
300 Alternative Living Services, Inc. (a) 8,100
800 Apria Healthcare Group, Inc. (a) 5,350
400 CareMatrix Corp. (a) 10,775
1,100 Concentra Managed Care, Inc. (a) 28,600
800 Henry Schein, Inc. (a) 36,900
400 IDX Systems Corp. (a) 18,425
400 Inhale Therapeutic Systems (a) 9,900
400 Mariner Health Group, Inc. (a) 6,650
400 MedQuist, Inc. (a) 11,550
1,700 Mid Atlantic Medical Services, Inc. (a) 19,550
See Notes to Financial Statements on Pages 49-51
23
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
600 NCS Healthcare Inc. - Class A (a) $ 17,100
1,223 Paragon Health Network, Inc. (a) 19,726
300 Pediatrix Medical Group, Inc. (a) 11,156
1,600 PhyCor, Inc. (a) 26,500
900 Renal Care Group, Inc. (a) 39,656
900 Sun Healthcare Group, Inc. (a) 13,162
-----------
283,100
-----------
Health Care-Diversified - 0.56%
500 American Oncology Resources, Inc. (a) 6,110
400 Brookdale Living Communities, Inc. (a) 10,250
900 Cerner Corp. (a) 25,481
1,200 Genesis Health Ventures, Inc. (a) 30,000
700 Hanger Orthopedic Group, Inc. (a) 14,262
400 HealthPlan Services Corp. 7,000
2,100 Oxford Health Plans, Inc. (a) 32,156
300 Superior Consultant Holdings Corp. (a) 12,937
2,200 Vencor, Inc. (a) 15,950
-----------
154,146
-----------
Holding Company - 0.54%
50 Conectiv, Inc. 1,025
500 Florida East Coast Industries, Inc. 14,625
300 Frontier Financial Corp. (a) 15,993
700 People's Energy Corp. 27,037
600 Richmond County Financial Corp. 11,212
200 SLM Holding Corp. 9,800
200 Tremont Corp. (a) 11,237
400 Triarc Cos., Inc. (a) 8,775
1,400 Unisource Energy Corp. (a) 22,050
1,500 Walter Industries, Inc. (a) 28,406
-----------
150,160
-----------
Hospital Supplies and Health Care - 0.29%
1,700 Alaris Medical, Inc. (a) 11,793
1,000 Haemonetics Corp. (a) 16,000
100 Landauer, Inc. 2,987
200 Minimed, Inc. (a) 10,475
200 Rural / Metro Corp. (a) 2,600
600 Sunrise Assisted Living, Inc. (a) 20,625
700 Thermo Cardiosystems, Inc. (a) 15,925
-----------
80,405
-----------
Hotel / Motel - 0.53%
1,100 American General Hospitality Corp. 23,375
900 Boyd Gaming Corp. (a) 5,344
900 CapStar Hotel Co. (a) 25,200
1,400 Choice Hotels Corp., Inc. (a) 18,987
2,400 Extended Stay America, Inc. (a) 27,000
400 Homestead Village, Inc. (a) 4,750
1,200 Prime Hospitality Corp. (a) 20,925
1,200 Red Roof Inns, Inc. (a) 20,325
-----------
145,906
-----------
Shares Description Value
------ ----------- -----
Household Furnishings - 0.63%
600 Action Performance Cos., Inc. (a) $ 19,312
200 Bassett Furniture Industries, Inc. 5,637
600 Cort Business Services Corp. (a) 18,825
400 Department 56, Inc. (a) 14,200
700 Fedders Corp. 4,681
600 Garden Ridge Corp. (a) 11,625
2,100 Heilig-Meyers Co. 25,856
700 Juno Lighting, Inc. 16,537
800 Kimball International Inc. - Class B 14,500
400 La-Z-Boy Chair, Inc. 22,600
300 McGrath Rentcorp 6,337
400 National Presto Industries, Inc. 15,575
-----------
175,685
-----------
Household Products - 0.22%
400 Libbey, Inc. 15,325
600 Toro Co. 20,550
700 Windmere-Durable Holdings, Inc. 25,069
-----------
60,944
-----------
Housing Revenue - 0.11%
1,000 Champion Enterprises, Inc. (a) 29,250
-----------
Human Resources - 0.48%
400 Alternative Resources Corp. (a) 4,950
700 Kelly Services, Inc. - Class A 24,762
800 Labor Ready, Inc. (a) 24,150
1,200 Novacare Employee Services, Inc. (a) 11,400
2,400 Olsten Corp. 26,850
1,200 Personnel Group of America, Inc. (a) 24,000
600 Staff Leasing, Inc. (a) 17,700
-----------
133,812
-----------
Insurance - 3.84%
500 Acceptance Insurance Cos., Inc. (a) 12,281
1,000 Alfa Corp. 20,750
600 Allied Group, Inc. 28,087
400 American Annuity Group, Inc. 9,625
400 American Heritage Life 9,250
800 Amerin Corp. (a) 23,350
467 AmerUs Life Holdings, Inc. - Class A 15,119
400 Argonaut Group, Inc. 12,650
400 Baldwin & Lyons, Inc. - Class B 9,300
500 Berkley (W.R.) Corp. 20,031
300 Capital Re Corp. 21,487
200 Capitol Transamerica Corp. 4,112
300 Chicago Title Corp. (a) 13,856
500 ChoicePoint, Inc. (a) 25,625
500 CMAC Investment Corp. 30,750
900 CNA Surety Corp. (a) 10,912
600 Commerce Group Inc. 23,250
1,400 Coventry Corp. (a) 20,825
506 Delphi Financial Group, Inc. - Class A 28,494
600 Enhance Financial Services Group, Inc. 20,250
See Notes to Financial Statements on Pages 49-51
24
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
400 Executive Risk, Inc. $ 29,500
200 E.W. Blanch Holdings, Inc. 7,350
1,100 FBL Financial Group, Inc. - Class A 28,188
300 First American Financial Corp. 27,000
400 Foremost Corp. of America 9,650
1,210 Frontier Insurance Group, Inc. 27,301
700 Gallagher (Arthur J.) & Co. 31,325
200 Guarantee Life Companies, Inc. 4,375
800 HCC Insurance Holdings, Inc. 17,600
300 Highlands Insurance Group, Inc. (a) 5,550
600 HSB Group, Inc. 32,100
900 John Alden Financial Corp. 19,800
400 JSB Financial, Inc. 23,425
200 Kansas City Life Insurance Co. 18,200
500 Landamerica Financial Group 28,625
270 Liberty Corp. 13,584
300 Life Re Corp. 24,862
1,000 Life USA Holding, Inc. 12,937
100 Markel Corp. (a) 17,800
920 Medical Assurance, Inc. 25,530
300 MMI Companies, Inc. 6,937
400 NAC Re Corp. 21,350
1,000 Penncorp Financial Group, Inc. 20,500
450 Poe & Brown, Inc. 16,734
900 Presidential Life Corp. 19,237
600 PXRE Corp. 18,000
600 Reinsurance Group of America 35,475
600 Risk Capital Holdings, Inc. (a) 14,962
250 RLI Corp. 10,172
600 SCPIE Holdings, Inc. 20,325
1,200 Selective Insurance Group, Inc. 26,887
100 State Auto Financial Corp. 3,187
900 TIG Holdings, Inc. 20,700
200 Trenwick Group, Inc. 7,769
800 UICI (a) 21,800
400 United Fire & Casualty Co. 15,675
600 Vesta Insurance Group, Inc. 12,787
300 Zenith National Insurance Corp. 8,456
-----------
1,065,659
-----------
Leisure Related - 0.73%
200 AMC Entertainment, Inc. (a) 3,612
200 Anchor Gaming (a) 15,525
400 Arctic Cat, Inc. 3,950
800 Bally Total Fitness Holding Corp. (a) 28,800
200 Carmike Cinemas, Inc. - Class A (a) 5,387
700 Coachmen Industries, Inc. 18,287
1,300 Handleman Co. (a) 14,950
700 Jostens, Inc. 16,887
400 K2, Inc. 7,050
500 Premier Parks, Inc. (a) 33,312
550 Signature Resorts, Inc. (a) 9,075
500 Toy Biz, Inc. (a) 4,625
1,000 Vail Resorts, Inc. (a) 26,625
300 Vistana, Inc. (a) 5,512
Shares Description Value
------ ----------- -----
200 West Marine, Inc. (a) $ 3,600
400 Winnebago Industries 5,100
-----------
202,297
-----------
Machinery - 1.97%
803 Albany International Corp. - Class A 19,210
200 Allied Products 4,237
500 Applied Industrial Technology, Inc. 10,344
600 Applied Power, Inc. - Class A 20,625
400 Aviall, Inc. (a) 5,475
500 Blount International, Inc. - Class A 14,250
500 Briggs & Stratton Corp. 18,718
300 Chart Industries, Inc. 7,162
900 Cincinnati Milacron, Inc. 21,937
200 Coin Machine Laundry Corp. (a) 4,725
500 Columbus McKinnon Corp. 13,000
300 Commercial Intertech Corp. 5,437
500 DT Industries, Inc. 12,125
1,000 Flowserve Corp. 24,375
550 Gardner Denver Machinery, Inc. (a) 15,159
200 Gleason Corp. 5,625
1,000 Global Industrial Technologies, Inc. (a) 14,375
400 Helix Technology Corp. 6,000
1,000 IDEX Corp. 34,500
1,200 Indus International, Inc. (a) 14,400
900 Jacobs Engineering Group. Inc. (a) 28,912
1,400 JLG Industries, Inc. 28,262
900 Kulicke & Soffa Industries, Inc. (a) 15,300
400 Lincoln Electric Co. 8,850
250 Lindsay Manufacturing Co. 6,781
400 Manitowoc Co., Inc. 16,150
200 Maverick Tube Corp. (a) 2,325
500 Nordson Corp. 23,500
500 OmniQuip International, Inc. 9,250
600 Presstek, Inc. (a) 6,712
800 Regal-Beloit Corp. 22,800
200 Robbins & Myers, Inc. 5,812
700 Roper Industries, Inc. 18,287
200 SPS Technologies, Inc. 11,700
400 Tennant Co. 17,700
700 Terex Corp. (a) 19,950
100 ThermoQuest Corp. 1,493
400 Watts Industries Inc. - Class A 8,350
400 Zebra Technologies Corp.
Class A (a) 17,100
300 Zoltek Cos., Inc. (a) 6,037
-----------
546,950
-----------
Manufacturing - 1.67%
200 Advanced Energy Industries (a) 2,325
200 Advanced Lighting Technologies, Inc. (a)4,650
400 Aftermarket Technology Corp. (a) 7,500
600 American Homestar Corp. (a) 14,362
300 Bacou USA (a) 6,244
400 Brady (W.H.) Co. 11,125
400 Carbide Graphite Group (a) 11,125
See Notes to Financial Statements on Pages 49-51
25
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
200 Carbo Ceramics, Inc. $ 6,825
1,050 Clarcor, Inc. 22,050
300 Daniel Industries 5,700
600 Essex International, Inc. (a) 14,175
1,300 Fisher Scientific International 18,769
400 Fleetwood Enterprises 16,000
300 Furon Co. 5,437
800 GenCorp., Inc. 21,000
200 General Binding Corp. (a) 7,362
700 Graco, Inc. 24,412
600 Griffon Corp. (a) 7,687
600 Harman International Industries, Inc. 23,100
300 Holophane Corp. (a) 7,650
500 Lydall, Inc. (a) 7,281
700 Matthews International Corp.
Class A 17,194
600 MotivePower Industries, Inc. (a) 14,700
500 Nortek, Inc. (a) 15,375
1,050 Paxar Corp. (a) 12,075
100 Penske Motorsports (a) 2,919
400 Plantronics, Inc. (a) 20,600
500 Polymer Group, Inc. (a) 5,812
400 Rental Service Corp. (a) 13,450
300 Republic Group, Inc. 6,300
600 RMI Titanium Co. (a) 13,650
146 Samsonite Corp. (a) 1,579
100 Sequa Corp. - Class A (a) 6,675
200 Standex International Corp. 5,925
200 Starrett (L.S.) Co. - Class A 7,900
125 Superior Telecommunications, Inc. (a) 5,202
200 Synthetic Industries, Inc. (a) 2,912
200 ThermoLase Corp. (a) 1,450
400 Thor Industries, Inc. 11,075
285 Tredegar Industries, Inc. 24,189
500 Twinlab Corp. (a) 21,844
300 Westinghouse Air Brake Co. 7,912
-----------
463,517
-----------
Marketing - 0.09%
200 Abacus Direct Corp. (a) 10,387
200 CKS Group, Inc. (a) 3,600
1,600 SITEL Corp. (a) 10,600
-----------
24,587
-----------
Medical - Hospital Management Services - 0.74%
200 Atria Communities, Inc. (a) 3,450
200 Closure Medical Corp. (a) 4,975
900 Health Care Property Investors, Inc. 32,456
32 Integrated Health Services, Inc. 1,200
1 LCA-Vision, Inc. (a) 3
1,100 Magellan Health Services, Inc. (a) 27,912
1,800 Medaphis Corp. (a) 10,800
200 Medical Manager Corp. (a) 5,525
300 National Surgery Centers, Inc. (a) 8,719
1,400 NovaCare, Inc. (a) 16,450
Shares Description Value
------ ----------- -----
1,200 Orthodontic Centers of America, Inc. (a) $ 25,125
1,100 Physician Reliance Network (a) 12,581
600 Quest Diagnostic, Inc. (a) 13,125
300 Res-Care, Inc. (a) 5,531
950 Sierra Health Services, Inc. (a) 23,928
34 Total Renal Care Holdings (a) 1,173
500 Vitalink Pharmacy Services, Inc. (a) 11,031
-----------
203,984
-----------
Medical Biotechnology - 1.20%
800 Advanced Tissue Sciences, Inc. (a) 3,550
500 Affymetrix, Inc. (a) 12,031
700 Agouron Pharmaceuticals, Inc. (a) 21,219
700 Alkermes, Inc. (a) 12,512
200 Biomatrix, Inc. (a) 8,200
500 Bio-Rad Laboratories, Inc. - Class A (a) 15,312
1,000 Bio-Technology General Corp. (a) 7,094
500 Cytogen Corp. (a) 391
600 Cytyc Corp. (a) 9,787
3,200 Gensia Sicor, Inc. (a) 12,800
700 Human Genome Sciences, Inc. (a) 24,981
300 Hvide Marine, Inc. - Class A (a) 4,069
1,200 IDEXX Laboratories Inc. (a) 29,850
200 IGEN International, Inc. (a) 8,175
200 Martek Biosciences Corp. (a) 2,912
600 MedImmune, Inc. (a) 37,425
1,100 Millennium Pharmaceuticals, Inc. (a) 15,537
600 Neurex Corp. (a) 18,225
200 Neurogen Corp. (a) 3,550
693 Organogenesis, Inc. (a) 13,687
700 Regeneron Pharmaceuticals, Inc. (a) 6,452
600 SangStat Medical Corp. (a) 18,825
600 Transkaryotic Therapies, Inc. (a) 15,450
700 Vical, Inc. (a) 11,856
300 VISX, Inc. (a) 17,850
-----------
331,740
-----------
Medical Supplies - 1.62%
500 Acuson Corp. (a) 9,093
700 ADAC Laboratories (a) 15,750
200 Arrow International, Inc. 5,487
500 ATL Ultrasound, Inc. 22,812
1,100 Ballard Medical Products 19,800
400 Barr Laboratories, Inc. (a) 15,900
600 Coherent, Inc. (a) 10,294
300 CONMED Corp. (a) 6,900
300 Cooper Companies, Inc. (a) 10,931
600 Datascope Corp. (a) 15,937
600 Diagnostic Products Corp. 17,325
525 Enzo Biochem, Inc. 7,022
300 Hologic, Inc. (a) 5,456
600 Invacare Corp. 15,375
200 LabOne, Inc. 3,325
1,400 Laboratory Corporation of America
Holdings (a) 3,237
See Notes to Financial Statements on Pages 49-51
26
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
200 Life Technologies, Inc. $ 6,275
200 Maxxim Medical, Inc. (a) 5,800
800 Mentor Corp. 19,400
300 OEC Medical Systems, Inc. 6,750
800 Patterson Dental Co. (a) 29,300
1,500 PharMerica, Inc. (a) 18,093
700 Physio-Control International Corp. (a) 18,419
1,650 PSS World Medical, Inc. (a) 24,131
300 ResMed, Inc. (a) 13,668
1,076 Respironics, Inc. (a) 16,745
600 Serologicals Corp. (a) 19,350
900 Sunrise Medical, Inc. (a) 13,500
400 Techne Corp. (a) 7,625
900 Theragenics Corp. (a) 23,456
200 Thermotrex Corp. (a) 3,425
200 Trex Medical Co. (a) 3,300
500 Ventana Medical Systems, Inc. (a) 14,000
700 Vivus, Inc. (a) 4,222
600 West Co., Inc. 16,987
-----------
449,090
-----------
Metals - 0.86%
1,300 ASARCO Inc. 28,925
200 Barnes Group, Inc. 5,412
800 Brush Wellman, Inc. 16,450
300 Castle (A.M.) & Co. 6,600
400 Commonwealth Industries, Inc. 4,000
1,000 Metals USA, Inc. (a) 17,250
800 Mueller Industries, Inc. (a) 29,700
500 Precision Castparts Corp. 26,687
600 Quanex Corp. 18,187
400 Ryerson Tull, Inc. - Class A (a) 8,200
200 Special Metals Corp. (a) 2,800
400 Titanium Metals Corp. (a) 8,825
900 Valmont Industries, Inc. 17,972
600 Wolverine Tube, Inc. (a) 22,800
800 Wyman-Gordon Co. (a) 15,950
300 Zero Corp. 8,512
-----------
238,270
-----------
Metals and Mining - 0.57%
1,150 AMCOL International Corp. 13,872
5,500 Battle Mountain Gold Co. 32,656
400 Century Aluminum Company 5,900
400 Cleveland-Cliffs, Inc. 21,575
1,100 Getchell Gold Corp. (a) 16,912
2,400 Hecla Mining Co. (a) 12,750
1,400 Kaiser Aluminum Corp. (a) 13,387
200 MAXXAM, Inc. (a) 11,350
400 Minerals Technologies, Inc. 20,350
300 Stillwater Mining Co. (a) 8,137
-----------
156,889
-----------
Shares Description Value
------ ----------- -----
Miscellaneous - 0.88%
200 Andrx Corp. (a) $ 7,350
700 Central Garden & Pet Co. (a) 21,787
300 Coast Federal Litigation Contingent
Payment Rights Trust (a) 4,537
1,000 Cymer, Inc. (a) 16,125
700 D.R. Horton, Inc. 14,612
400 Houston Exploration Co. (a) 9,175
300 HS Resources, Inc. (a) 4,369
1,300 Marine Drilling Co., Inc. (a) 20,800
700 Meridian Resource Corp. (a) 4,944
300 Micrel, Inc. (a) 9,750
700 Norrel Corp. 13,956
200 PEC Israel Economic Corp. (a) 4,775
1,200 Pride International, Inc. (a) 20,325
600 SIPEX Corp. (a) 12,900
500 Sola International, Inc. (a) 16,344
1 Sunburst Hospitality Corp. (a) 8
1,500 Titan Exploration, Inc. (a) 13,312
400 Trico Marine Services, Inc. (a) 5,475
1,200 UNOVA, Inc. (a) 25,800
400 Woodward Governor Co. 12,350
600 Zapata Corp. 5,925
-----------
244,619
-----------
Natural Gas - 0.13%
1,000 Hanover Compressor Co. (a) 27,062
205 Semco Energy, Inc. 3,600
210 Southern Union Co. 6,772
-----------
37,434
-----------
Office Equipment and Computers - 0.81%
700 Aaron Rents, Inc. 14,000
700 American Business Products, Inc. 14,350
2,600 Corporate Express, Inc. (a) 32,987
300 Hunt Corp. 7,106
1,700 Intergraph Corp. (a) 14,556
600 Knoll, Inc. (a) 17,550
600 New England Business Service, Inc. 19,350
600 Scotsman Industries, Inc. 16,650
300 Standard Register Co. 10,631
700 Thomas Industries, Inc. 17,106
600 United Stationers, Inc. (a) 38,850
1,000 Wallace Computer Services, Inc. 23,750
-----------
226,886
-----------
Office Equipment-Service - 0.00%
300 American Pad & Paper Co. (a) 1,518
-----------
Oil Related - 2.59%
200 Aquila Gas Pipeline Corp. 2,462
400 Arch Coal, Inc. 9,950
400 Atwood Oceanics, Inc.. (a) 15,925
700 Barrett Resources Corp. (a) 26,250
See Notes to Financial Statements on Pages 49-51
27
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
600 Benton Oil & Gas Co. (a) $ 6,375
300 Berry Petroleum Co. - Class A 3,900
1,000 Brown (Tom), Inc. (a) 18,812
600 Cabot Oil & Gas Corp. - Class A 12,000
2,420 Chesapeake Energy Corp. 9,680
500 Comstock Resources, Inc. (a) 3,719
1,400 Cross Timbers Oil Co. 26,687
800 Devon Energy Corp. 27,950
3,100 EEX Corp. (a) 29,062
300 Forcenergy, Inc. (a) 5,344
1,100 Forest Oil Corp. (a) 15,744
200 Getty Realty Corp. 3,875
3,000 Grey Wolf, Inc. (a) 9,562
2,600 Harken Energy Corp. (a) 12,512
1,100 Helmerich & Payne, Inc. 24,681
1,000 KCS Energy, Inc. 11,437
2,700 Kelley Oil & Gas Corp. (a) 6,244
500 Key Energy Group, Inc. (a) 6,562
800 Lone Star Technologies, Inc. (a) 12,200
900 Louis Dreyfus Natural Gas Corp. (a) 17,044
600 Newfield Exploration Co. (a) 14,925
2,300 Newpark Resources, Inc. (a) 25,587
700 Nuevo Energy Co. (a) 22,487
900 Oceaneering International, Inc. (a) 15,975
2,400 Parker Drilling Co. (a) 16,950
600 Patterson Energy, Inc. (a) 5,868
700 Plains Resources Inc. (a) 12,512
1,200 Pogo Producing Co. 30,150
800 Pool Energy Services Co. (a) 11,800
1,400 Quaker State Corp. 22,925
300 Rutherford-Moran Oil Group (a) 6,037
2,300 Santa Fe Energy Resources 24,725
300 SEACOR Smit, Inc. (a) 18,394
1,400 Seagull Energy Corp. (a) 23,187
1,300 Snyder Oil Corp. 25,919
600 Stone Energy Corp. (a) 21,337
200 St. Mary Land & Exploration Co. 4,825
220 Swift Energy Co. (a) 3,506
800 Tesoro Petroleum Corp. (a) 12,700
1,000 TransMontaigne Oil Co. (a) 14,875
1,100 Tuboscope Vetco International Corp. (a) 21,725
1,400 Vintage Petroleum, Inc. 26,425
900 Western Gas Resources, Inc. 13,162
300 Zeigler Coal Holding Co. 5,137
-----------
719,110
-----------
Oil Supplies and Construction - 0.25%
500 Belco Oil & Gas (a) 4,375
600 Cliffs Drilling Co. (a) 19,687
1,400 Input/Output, Inc.. (a) 24,937
500 Lomak Petroleum, Inc. 5,219
900 Seitel, Inc. (a) 14,569
-----------
68,787
-----------
Shares Description Value
------ ----------- -----
Paper - 0.52%
900 Caraustar Industries, Inc. $ 25,987
1,200 Glatefelter (P.H.) Co. 18,975
800 Media General Inc. - Class A 39,400
600 Potlatch Corp. 25,200
500 Rock-Tenn Co. - Class A 6,281
1,280 Wausau-Mosinee Paper Co. 29,280
-----------
145,123
-----------
Pharmaceuticals - 1.62%
400 Algos Pharmaceuticals Corp. (a) 10,800
700 ALPHARMA, Inc. - Class A 15,400
600 Axys Pharmaceuticals, Inc. (a) 4,275
333 Bindley Western Industries, Inc. 10,989
203 Block Drug Co., Inc. - Class A 7,714
1,000 Carter-Wallace, Inc. 18,062
700 Columbia Laboratories, Inc. (a) 4,025
500 Coulter Pharmaceutical, Inc. (a) 15,187
1,400 Covance, Inc. (a) 32,725
300 Curative Health Services, Inc. (a) 8,550
1,100 Dura Pharmaceuticals, Inc. (a) 24,612
800 Fuisz Technologies Ltd. (a) 8,850
300 GelTex Pharmaceuticals, Inc. (a) 5,587
600 Guilford Pharmaceuticals, Inc. (a) 10,575
50 ICN Pharmaceuticals, Inc. 2,284
800 ICOS Corp. (a) 15,300
700 IDEC Pharmaceuticals Corp. (a) 16,494
800 Immune Response Corp. (a) 12,000
3,200 IVAX Corp. (a) 29,600
1,400 Ligand Pharmaceuticals, Inc.
Class B (a) 18,025
100 Miravant Medical Technologies (a) 2,209
1,800 NBTY, Inc. (a) 33,075
400 Owens & Minor, Inc. Holding Co. 4,000
800 PAREXEL International Corp. (a) 29,100
600 PathoGenesis Corp. (a) 17,400
2,400 Perrigo Co. (a) 24,150
700 Pharmaceutical Product Development, Inc. (a) 15,400
300 Schein Pharmaceutical, Inc. (a) 7,987
800 Sepracor, Inc. (a) 33,200
400 Triangle Pharmaceuticals, Inc. (a) 5,950
600 U.S. Bioscience, Inc. (a) 4,912
-----------
448,437
-----------
Photography and Optical - 0.10%
120 CPI Corp. 2,857
300 Innovex, Inc. 3,919
1,200 Oakley, Inc. (a) 16,050
300 X-Rite, Inc. 4,106
-----------
26,932
-----------
Printing and Publishing - 1.47%
900 American Media, Inc. - Class A (a) 5,962
700 Banta Corp. 21,612
600 Big Flower Press Holdings, Inc. (a) 18,000
See Notes to Financial Statements on Pages 49-51
28
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
700 Bowne & Co., Inc. $ 31,500
300 Consolidated Graphics, Inc. (a) 17,700
1,300 Harland (John H.) Co. 22,019
1,400 Hollingher International 23,800
900 Houghton Mifflin Co. 28,800
600 Journal Register Co. (a) 10,050
1,000 Lee Enterprises. Inc. 30,625
1,200 Mail Well, Inc. (a) 26,025
500 McClatchy Company, Inc. - Class A 17,312
700 Merrill Corp. 15,443
600 Petersen Companies, Inc. 15,375
200 Plenum Publishing Corp. 14,650
200 Scholastic Corp. (a) 7,975
900 Valassis Communications, Inc. (a) 34,706
100 Value Line, Inc. 3,825
500 Wiley (John) & Sons, Inc. - Class A 30,437
1 Workflow Management, Inc. (a) 5
900 World Color Press, Inc. (a) 31,500
-----------
407,321
-----------
Professional Services - 1.00%
600 ABR Information Services, Inc. (a) 14,250
300 Administaff, Inc. (a) 13,837
700 BA Merchant Services, Inc. (a) 14,131
900 Century Business Services, Inc. (a) 18,000
400 Complete Business Solutions, Inc. (a) 14,375
200 Education Management Corp. (a) 6,575
500 First Consulting Group, Inc. (a) 13,125
450 Metzler Group, Inc. (a) 16,481
400 On Assignment, Inc. (a) 13,975
900 PMT Services, Inc. (a) 22,894
200 Profit Recovery Group International (a) 5,587
600 Renaissance Worldwide, Inc. (a) 13,050
200 Scientific Games Holdings Corp. (a) 4,600
400 Sturm Ruger & Co., Inc. 6,700
875 TETRA Technologies, Inc. (a) 21,219
200 UniFirst Corp. 5,000
700 Veritas DGC, Inc. (a) 34,956
800 Veterinary Centers of America, Inc. (a) 15,050
200 Vincam Group, Inc. (a) 3,925
500 Wackenhut Corp. - Class A 11,312
300 Wackenhut Corrections Corp. (a) 7,012
-----------
276,054
-----------
Real Estate - 7.30%
1,000 American Health Properties, Inc. 25,250
900 Amli Residential Properties Trust 19,293
60 Avalon Bay Communites, Inc. 2,265
300 Avatar Holdings, Inc. (a) 8,362
1,000 Bedford Property Investors 18,250
1,900 Berkshire Realty Co., Inc. 22,206
400 Boykin Lodging Company 8,675
800 Bradley Real Estate, Inc. 16,900
1,200 Brandywine Realty Trust 26,850
1,000 BRE Properties, Inc. - Class A 26,062
Shares Description Value
------ ----------- -----
500 Burnham Pacific Properties, Inc. $ 7,094
700 Cabot Industrial Trust 15,137
927 Camden Property Trust 27,577
900 Capital Automotive REIT 12,768
2,200 Capstead Mortgage Corp. 18,425
1,100 Capstone Capital Corp. 25,300
500 Castle & Cooke, Inc. (a) 9,500
500 CB Richard Ellis Services, Inc. (a) 16,718
1,100 CBL & Associates Properties, Inc. 26,675
700 CCA Prison Realty Trust 21,437
800 CenterPoint Properties Corp. 26,450
700 Chateau Communities, Inc. 20,125
700 Chelsea GCA Realty, Inc. 28,000
800 Colonial Properties Trust 24,800
500 Commercial Net Lease Realty 8,094
500 Cornerstone Realty Income Trust, Inc. 5,719
1,000 Cousins Properties, Inc. 29,875
700 CRIIMI MAE, Inc. 9,712
600 Developers Diversified Realty Corp. 23,512
1,900 Dynex Capital, Inc. 21,137
300 EastGroup Properties, Inc. 6,019
1,600 Equity Inns, Inc. 21,100
400 Essex Property Trust, Inc. 12,400
400 Excel Legacy Corp. (a) 1,750
1,000 Excel Realty Trust, Inc. 28,937
1,500 Fairfield Communities, Inc. (a) 28,781
900 Federal Realty Investment Trust 21,656
400 Felcor Suite Hotels, Inc. 12,550
900 First Industrial Realty Trust, Inc. 28,575
300 First Union Real Estate 2,775
300 Forest City Enterprises, Inc. - Class A 17,756
900 Gables Residential Trust 24,412
800 General Growth Properties 29,850
1,100 Glenborough Realty Trust, Inc. 29,012
500 Glimcher Realty Trust 9,719
300 Great Lakes REIT, Inc. 5,231
600 Grubb & Ellis Co. (a) 8,550
900 Health Care REIT, Inc. 22,950
1,000 Healthcare Realty Trust, Inc. 27,250
700 Home Properties of New York, Inc. 18,681
25 Horizon Group, Inc. 165
700 Hospitality Properties Trust 22,487
1,200 Impac Mortgage Holdings, Inc. 18,675
1,400 Imperial Credit Commercial
Mortgage Investment Corp. 18,287
700 Innkeepers USA Trust 8,837
900 Insignia Financial Group, Inc.
Class A (a) 22,050
1,800 IRT Property Co. 19,800
400 Irvine Apartment Communities, Inc. 11,575
900 JDN Realty Corp. 28,687
200 JP Realty, Inc. 4,712
600 Kilroy Realty Corp. 15,000
300 Kimco Realty Corp. 12,300
1,000 Koger Equity, Inc. 20,187
See Notes to Financial Statements on Pages 49-51
29
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
600 LaSalle Partners, Inc. (a) $ 26,700
900 LNR Property Corp. 23,062
600 LTC Properties, Inc. 11,175
600 Macerich Co. 17,587
700 Manufactured Home Communities, Inc. 16,887
600 Meridian Industrial Trust, Inc. 13,800
800 Merry Land & Investments Company, Inc. 16,850
300 MGI Properties, Inc. 7,856
200 Mid-America Apartment Communities, Inc. 5,262
1,050 Mid-Am, Inc. 26,512
600 Mills Corp. 14,400
700 National Golf Properties, Inc. 21,000
600 National Health Investors, Inc. 19,950
1,600 Nationwide Health Properties, Inc. 38,200
1,300 New Plan Realty Trust 31,850
500 OMEGA Healthcare Investors, Inc. 17,562
300 Pacific Gulf Properties, Inc. 6,394
200 Penn Treaty Amer Corp. (a) 6,300
500 Pennsylvania Real Estate Investment
Trust 11,093
84 Post Properties, Inc. 3,234
900 Prentiss Properties Trust 21,881
300 Price Enterprises, Inc. 5,512
1,798 Prime Retail, Inc. 21,464
200 PS Business Parks, Inc. 4,700
500 Pulte Corp. 14,937
1,100 Realty Income Corp. 29,287
800 Reckson Association Realty Corp. 18,900
400 Redwood Trust, Inc. 7,025
1,100 RFS Hotel Investors, Inc. 20,900
1,000 Security Capital Atlantic, Inc. 22,312
900 Security Capital Group, Inc.
Class B (a) 23,962
1,200 Shurgard Storage Centers, Inc.
Class A 33,300
500 Smith (Charles E.) Residential Realty, Inc. 16,000
700 Sovran Self Storage, Inc. 19,775
500 Storage Trust Realty 11,687
500 Storage USA, Inc. 17,500
700 Summit Properties, Inc. 13,256
800 Sun Communities, Inc. 26,500
700 Sunstone Hotel Investors, Inc. 9,319
600 Taubman Centers, Inc. 8,550
500 Thornburg Mortgage Asset Corp. 6,094
300 Tower Realty Trust, Inc. 6,712
700 Town & Country Trust 11,594
700 Trammel Crow Co. (a) 23,406
900 TriNet Corporate Realty Trust 30,600
1,900 United Dominion Realty Trust, Inc. 26,362
300 Urban Shopping Centers, Inc. 9,450
400 Walden Residential Properties, Inc. 9,800
1,500 Washington Real Estate Investment Trust 26,062
900 Weeks Corp. 28,462
500 Weingarten Realty, Inc. 20,906
500 Western Investment Real Estate 6,844
Shares Description Value
------ ----------- -----
1,300 Westfield America, Inc. $ 23,887
-----------
2,025,504
-----------
Retail - 3.38%
300 99 Cents Only Stores 12,450
400 American Eagle Outfitters (a) 15,425
800 Ames Department Stores, Inc. (a) 21,050
700 AnnTaylor Store Corp. (a) 14,831
300 Buckle, Inc. (a) 8,850
1,600 Buffets, Inc. (a) 25,100
800 Burlington Coat Factory Warehouse 18,000
1,900 Casey's General Stores, Inc. 31,469
1,000 Cash America International Inc. 15,250
1,000 Claire's Stores, Inc. 20,500
400 Coldwater Creek, Inc. (a) 11,000
500 Cole National Corp. - Class A (a) 20,000
500 Compucom Systems, Inc. 3,250
200 Copart, Inc. (a) 4,625
400 Discount Auto Parts, Inc. (a) 10,400
400 Dress Barn, Inc. (a) 9,950
600 Duane Reade, Inc. (a) 18,000
900 Eagle Hardware & Garden, Inc. (a) 20,812
500 Elder-Beerman Stores Corp. (a) 13,343
400 Fabri-Centers of America - Class A (a) 10,950
1,100 Fingerhut Companies, Inc. 36,300
600 Finish Line, Inc. - Class A (a) 16,875
900 Fleming Companies, Inc. 15,806
400 Friedman's, Inc. - Class A (a) 6,625
100 Gadzooks, Inc. (a) 2,756
220 Genovese Drugs Stores - Class A 4,317
700 Gibson Greetings, Inc. (a) 17,500
400 Global DirectMail Products, Inc. (a) 5,050
200 Goody's Family Clothing, Inc. (a) 10,975
400 Guitar Center, Inc. (a) 12,050
500 Gymboree Corp. (a) 7,577
500 Hancock Fabrics, Inc. 6,250
1,000 Hollywood Entertainment Corp. (a) 13,562
1,600 HomeBase, Inc. (a) 12,700
800 Just For Feet, Inc. (a) 22,800
300 Kenneth Cole Productions, Inc. (a) 7,762
900 Linens & Things, Inc. (a) 27,506
700 Longs Drug Stores, Inc. 20,212
600 Michaels Stores, Inc. (a) 21,169
1,200 Micro Warehouse, Inc. (a) 18,600
1,200 Musicland Stores Corp. (a) 16,800
500 N2K, Inc. (a) 9,812
300 Oneida Ltd. 9,187
525 Pacific Sunwear of California, Inc. (a) 18,375
800 Petco Animal Supplies, Inc. (a) 15,950
2,800 PETsMART, Inc. (a) 28,000
25 Proffitt's, Inc. (a) 1,009
600 Regency Realty Corp. 15,075
700 Regis Corp. 20,694
1 School Specialty, Inc. (a) 11
900 ShopKo Stores, Inc. (a) 30,600
See Notes to Financial Statements on Pages 49-51
30
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
300 Smart & Final, Inc. $ 5,137
5,400 Southland Corp. (a) 14,850
700 Stage Stores, Inc. (a) 31,675
600 Stein Mart, Inc. (a) 8,100
1,100 Sunglass Hut International (a) 12,169
500 Talbots 13,094
450 The Men's Wearhouse, Inc. (a) 14,850
1,200 The Sports Authority, Inc. (a) 17,925
400 Trans World Entertainment Corp. (a) 17,250
51 U.S. Office Products Co. (a) 986
500 Value City Department Stores, Inc. (a) 10,500
300 Wilmar Industries, Inc. (a) 7,650
800 Zale Corp. (a) 25,450
-----------
936,796
-----------
Retail - Food - 1.10%
1,200 Apple South, Inc. 15,675
900 Applebee's International, Inc. 20,137
1,500 Bob Evans Farms, Inc. 31,781
700 Cheesecake Factory (The) (a) 15,837
60 CKE Restaurants, Inc. 2,475
600 Consolidated Products, Inc. (a) 12,675
200 Delias*s, Inc. (a) 3,125
400 Dominick's Supermarkets, Inc. (a) 17,850
1,300 Foodmaker, Inc. (a) 21,937
700 Great Atlantic & Pacific Tea Co. 23,144
700 Host Marriot Services Corp. (a) 10,194
100 IHOP Corp. (a) 4,137
300 Ingles Markets, Inc. - Class A 4,350
1,000 Landry's Seafood Restaurants, Inc. (a) 18,094
1,000 Lone Star Steakhouse & Saloon (a) 13,812
800 MicroAge, Inc. (a) 11,350
700 Papa John's International, Inc. (a) 27,606
900 Rainforest Cafe, Inc. (a) 12,487
1,200 Ruddick Corp. 21,750
750 Sonic Corp. (a) 16,781
-----------
305,197
-----------
Steel - 0.94%
1,100 AK Steel Holding Corp. 19,662
2,100 Armco, Inc. (a) 13,387
2,815 Bethlehem Steel Corp. (a) 35,012
1,300 Birmingham Steel Corp. 16,087
700 Carpenter Technology Corp. 35,175
300 Chase Industries, Inc. (a) 5,925
200 Citation Corp. (a) 4,000
700 Commercial Metals Co. 21,700
200 Gibraltar Steel Corp. (a) 4,100
1,200 Inland Steel Industries, Inc. 33,825
2,300 LTV Corp. 21,993
900 National Steel Corp. - Class B (a) 10,687
900 Oregon Steel Mills, Inc. 16,762
600 ROHN Industries, Inc. 2,812
200 Rouge Industries Inc. - Class A 2,550
300 Shiloh Industries, Inc. (a) 6,075
Shares Description Value
------ ----------- -----
800 Steel Dynamics, Inc. (a) $ 11,100
-----------
260,852
-----------
Telecommunications - 4.42%
500 Aerial Communications (a) 3,125
800 Aliant Communications, Inc. 21,950
600 Allen Telecommunications, Inc. (a) 6,975
300 Alliant Techsystems, Inc. (a) 18,975
100 ALLTELCorp. 4,650
700 Alpine Group, Inc. (a) 14,875
500 American Mobile Satellite Corp., Inc. (a) 4,875
500 American Tower Systems
Class A (a) 12,468
300 AMTI, Inc. (a) 4,500
700 ANTEC Corp. (a) 16,231
500 APAC Teleservices, Inc. (a) 2,922
200 Apex PC Solutions, Inc. (a) 5,575
300 Aspect Development, Inc. (a) 22,687
1,600 Aspect Telecommunications (a) 43,800
700 Associated Group, Inc. - Class A (a) 28,700
500 California Microwave, Inc. (a) 8,750
500 Cellular Communications
International, Inc. (a) 24,937
600 Centennial Cellular Corp. - Class A (a) 22,387
400 Coherent Communications Systems
Corp. (a) 18,725
1,000 CommNet Cellular, Inc. (a) 14,687
433 Commonwealth Telephone
Enterprises, Inc. 11,420
95 Comverse Technology, Inc. (a) 4,927
800 CSG Systems International, Inc. (a) 37,500
500 Cylink Corp. (a) 6,000
200 Digital Link Corp. (a) 1,550
1,500 Digital Microwave Corp. (a) 10,875
1,400 DSP Communications, Inc. (a) 19,250
400 Dycom Industries, Inc. (a) 13,500
1,200 e. spire Communications, Inc. (a) 27,075
850 General Cable Corp. 23,906
1,900 General Communication - Class A (a) 11,518
1,000 General Magic, Inc. (a) 12,312
400 Genesys Telecommunications
Laboratories, Inc. (a) 13,225
400 Geotek Communications Inc. (a) 16,300
1,500 Glenayre Technologies, Inc. (a) 16,125
1,100 ICG Communications, Inc. (a) 40,218
1,000 InterDigital Communications Corp. (a) 5,375
800 Inter-Tel, Inc. 12,800
800 ITC Deltacom, Inc. (a) 34,187
200 Itron, Inc. (a) 2,550
600 IXC Communications, Inc. 29,100
1,025 Level One Communications, Inc. (a) 24,087
500 Mas Tec, Inc. (a) 11,937
700 Mastech Corp. (a) 19,687
700 MMC Network, Inc. (a) 22,312
200 Natural MicroSystems Corp. (a) 3,200
See Notes to Financial Statements on Pages 49-51
31
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
400 Network Equipment Technologies, Inc. (a) $ 6,275
300 North Pittsburgh Systems, Inc. 4,781
800 NTL, Inc. (a) 42,800
1,000 Omnipoint Corp. (a) 22,937
200 Optical Cable Corp. (a) 2,000
300 Pacific Gateway Exchange, Inc. (a) 12,019
1,400 PageMart Wireless, Inc. - Class A (a) 12,687
1,700 PairGain Technologies, Inc. (a) 29,643
1,600 P-COM, Inc. (a) 14,650
1,500 PictureTel Corp. (a) 13,875
700 Powertel, Inc. (a) 12,950
200 Powerwave Technologies, Inc. (a) 3,350
600 Premiere Technologies, Inc. (a) 4,977
900 Premisys Communications, Inc. (a) 22,387
300 Primus Telecommunications Group (a) 5,681
1,000 RCN Corp. (a) 19,375
200 Sabratek Corp. (a) 4,550
100 Sawtek, Inc. (a) 1,475
1,300 SkyTel Communications, Inc. (a) 30,427
300 SmarTalk TeleServices, Inc. (a) 4,369
1,300 TCI Satellite Entertainment, Inc.
Class A (a) 7,637
400 Tekelec (a) 17,900
1 Teleport Communications Group, Inc.
Class A 39
900 Tel-Save Holdings, Inc. (a) 13,275
200 Transaction Network Services, Inc. (a) 4,212
700 U.S. Satellite Broadcasting Co. (a) 8,181
1,000 Vanguard Cellular Systems, Inc.
Class A (a) 18,875
600 Visual Networks, Inc. (a) 21,975
500 West TeleServices Corp (a) 6,062
300 Westell Technologies (a) 2,775
1,900 Western Wireless Corp. - Class A (a) 37,881
400 Whittman-Hart, Inc. (a) 19,350
100 WinStar Communications, Inc. (a) 42,937
700 World Access, Inc. (a) 21,000
-----------
1,226,037
-----------
Television - 0.38%
600 Adelphia Communications Corp. (a) 22,275
1,200 Ascent Entertainment Group, Inc. (a) 13,350
200 CNET, Inc. (a) 13,650
300 EchoStar Communications
Class A (a) 7,219
300 Emmis Broadcasting Corp.
Class A (a) 14,344
400 Hollywood Park, Inc. (a) 5,050
14 Panavision, Inc. (a) 374
400 Telemundo Group, Inc. - Class A (a) 17,025
450 USA Networks, Inc. (a) 11,316
-----------
104,603
-----------
Shares Description Value
------ ----------- -----
Textiles - 0.20%
500 Apogee Enterprises, Inc. $ 7,656
1,300 Burlington Industries, Inc. (a) 18,281
600 Dan River, Inc. - Class A (a) 11,062
900 Guilford Mills, Inc. 18,000
50 Mohawk Industries, Inc. (a) 1,584
-----------
56,583
-----------
Tobacco - 0.20%
200 Consolidated Cigar Holdings, Inc. (a) 2,450
900 DIMON, Inc. 10,125
200 General Cigar Holdings, Inc. (a) 1,975
400 Schweitzer-Mauduit International, Inc. 11,600
800 Universal Corp. 29,900
-----------
56,050
-----------
Transportation - 1.74%
700 Air Express International Corp. 18,725
300 AirNet Systems, Inc. (a) 4,837
1,200 AirTran Holdings, Inc. (a) 9,037
500 Alaska Air Group, Inc. (a) 27,250
1,000 America West Holdings Corp.
Class B (a) 28,562
600 ASA Holdings, Inc. 29,775
400 Atlas Air, Inc. (a) 13,525
200 Avondale Industries, Inc. (a) 5,519
600 Circle International Group, Inc. 16,800
500 Coach USA, Inc. (a) 22,656
500 Consolidated Freightways Co. (a) 6,969
1,000 C.H. Robinson World Wide, Inc. 24,875
600 Expeditors International of
Washington, Inc. 26,400
1,000 Fritz Cos, Inc. (a) 13,375
2,300 Greyhound Lines, Inc. (a) 13,943
536 Kirby Corp. (a) 13,534
180 Marine Transport Corp. 731
1,200 Mesa Air Group, Inc. (a) 9,750
650 Midwest Express Holdings (a) 23,522
0 Navigant International, Inc. (a) 2
900 Offshore Logistics, Inc. (a) 15,975
900 OMI Corp. (a) 7,200
1,100 Overseas Shipholding Group, Inc. 22,412
500 Pittston BAX Group 7,781
400 Preview Travel, Inc. (a) 13,750
400 RPC, Inc. 5,000
700 Skywest, Inc. 19,600
950 Swift Transportation Co., Inc. (a) 18,822
1,800 Trans World Airlines, Inc. (a) 18,675
500 Varlen Corp. 17,250
1,200 Wisconsin Central Transportation Corp. 26,250
-----------
482,502
-----------
See Notes to Financial Statements on Pages 49-51
32
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
Trucking, Shipping - 0.77%
200 AMER Co. (a) $ 5,887
400 American Freightways Corp. (a) 4,000
700 Arnold Industries, Inc. 10,325
100 Eagle USA Airfreight, Inc. (a) 3,469
400 Heartland Express, Inc. (a) 8,100
800 Hunt (J.B.) Transport Services, Inc. 28,500
200 Knight Transportation, Inc. (a) 3,825
500 Landstar System, Inc. (a) 17,469
200 M.S. Carriers, Inc. (a) 5,425
800 Newport News Shipbuilding, Inc. 21,400
300 Roadway Express, Inc. 5,662
2,000 Rollins Truck Leasing Corp. 24,750
500 USFreightways Corp. 16,422
1,200 Werner Enterprises, Inc. 22,875
300 Xtra Corp. 18,150
1,000 Yellow Corp. (a) 18,562
-----------
214,821
-----------
Utilities - 4.09%
500 Aquarion Co. 17,093
600 Atmos Energy Corp. 18,300
300 Bay State Gas Co. 11,494
600 Black Hills Corp. 13,800
300 California Water Services Co. 7,575
1,300 CellNet Data Systems, Inc. (a) 12,594
700 Central Hudson Gas & Electric Corp. 32,112
700 Central Maine Power Co. 13,650
700 CFW Communications Co. 16,275
300 CILCORP, Inc. 14,419
1,000 Cleco Corporation 29,750
400 Commonwealth Energy System 15,175
800 Eastern Enterprises 34,300
400 Easterns Utilities Associates 10,500
1,700 El Paso Electric Co. (a) 15,619
400 Empire District Electric Co. 8,350
500 Energen Corp. 10,062
900 Equitable Resources, Inc. 27,450
1,200 Hawaiian Electric Industries 47,625
800 Idaho Power Co. 27,700
900 Indiana Energy, Inc. 26,887
98 Interstate Energy Corp. 3,185
900 Laclede Gas Co. 22,050
600 Madison Gas & Electric Co. 13,725
800 MDU Resources Group, Inc. 28,550
900 Minnesota Power & Light Co. 35,775
1,000 Nevada Power Co. 25,750
800 New Jersey Resources Corp. 28,550
150 North Carolina Natural Gas Corp. 3,806
600 Northwest Natural Gas Co. 16,781
800 Northwestern Public Service Co. 20,000
200 NUI Corp. 5,087
1,100 ONEOK, Inc. 43,862
500 Orange & Rockland Utilities, Inc. 26,844
200 Otter Tail Power Co. 7,412
400 Pennsylvania Enterprises Inc. 10,775
Shares Description Value
------ ----------- -----
1,000 Philadelphia Suburban Corp. $ 21,875
1,100 Piedmont Natural Gas Co., Inc. 36,987
1,200 Public Service Company of
New Mexico 27,225
1,000 Public Service Company of
North Carolina, Inc. 21,750
900 Rochester Gas & Electric Corp. 28,744
100 Sempra Energy (a) 2,781
700 Sierra Pacific Resources 25,419
500 SIGCORP, Inc. 16,031
1,100 Southwest Gas Corp. 26,881
500 Southwestern Energy Co. 4,594
600 TNP Entreprise, Inc. 18,525
1,300 UGI Corp. 32,337
400 United Illuminating Co. 20,250
600 United Water Resources, Inc. 10,800
37 US Filter Corp. (a) 1,037
1,000 Washington Gas Light Co. 26,750
2,100 Washington Water Power 47,119
800 WICOR, Inc. 18,500
1,000 WPS Resources Corp. 32,812
500 Yankee Energy System, Inc. 12,312
-----------
1,135,611
-----------
Waste Management - 0.21%
400 American Disposal Services, Inc. (a) 18,750
700 Easton Environmental Services, Inc. (a) 23,800
4,120 Laidlaw Environmental Services,
Inc. (a) 14,935
-----------
57,485
-----------
Wholesale Distributors - 0.33%
300 Barnett, Inc. (a)(b) 6,075
1,700 Brightpoint, Inc. (a) 24,650
400 Insight Enterprise, Inc. (a) 16,000
400 Reliance Steel & Aluminum Co. 15,450
1,400 Unisource Worldwide, Inc. 15,137
600 VWR Scientific Products Corp. (a) 14,775
-----------
92,087
-----------
Total Common Stocks (Cost $25,895,726) 26,353,376
-----------
PREFERRED STOCK - 0.02%
144 Kimco Class D Depository Shares 3,906
30 MEDIQ, Inc. 417
100 Prime Retail Inc. 2,050
-----------
Total Preferred Stock (Cost $5,756) 6,373
-----------
OTHER SECURITIES - 0.00%
7 Security Capital Industries Warrants 2
-----------
Total Other Securities (Cost $0) 2
-----------
See Notes to Financial Statements on Pages 49-51
33
<PAGE>
Small Cap Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
SHORT TERM INSTRUMENTS - 15.45%
U.S. Treasury Bills (b) (c) - 15.45%
$ 60,000 U.S. Treasury Bill, 5.12%
08/20/1998 $ 59,580
3,030,000 U.S. Treasury Bill, 5.16% 10/15/1998 2,985,837
88,000 U.S. Treasury Bill, 5.17% 11/12/1998 86,362
622,000 U.S. Treasury Bill, 5.12% 09/03/1998 616,538
545,000 U.S. Treasury Bill, 5.16% 10/22/1998 536,477
-----------
Total Short Term Instruments (Cost $4,284,794) 4,284,794
-----------
Value
-----
Total Investments (Cost $30,186,276) 110.48% $30,644,545
------- -----------
Liabilities In Excess Of Other Assets (10.48%) (2,906,328)
(Notes 2 and 4) ------- -----------
Net Assets 100.00% $27,738,217
======= ===========
- ----------
(a) Non-income producing security.
(b) Held for collateral for futures
(c) Annualized yield at time of purchase.
ADR American Depositary Receipt.
At June 30, 1998, the Fund's open futures contracts were as follows:
Number of
Contracts Contract Expiration Opening Market
Purchased Type Date Position Value
--------- -------- ---------- ---------- ----------
15 Russell 2000 09/21/98 $4,243,803 $4,286,250
See Notes to Financial Statements on Pages 49-51
34
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
COMMON STOCK - 94.40%
Australia - 1.95%
2,200 Amcor Ltd. (Packaging & Container) $ 9,655
1,752 Australian Gas and Light (Oil/Gas) 10,984
4,279 Boral Ltd. (Building Materials) 8,048
1,017 Brambles Industries Ltd.
(Transportation) 20,006
7,757 Broken Hill Proprietary Co., Ltd.
(Metals and Mining) 65,727
3,662 Coca Cola Amatil Ltd. (Beverages) 24,550
5,092 Coles Myer Ltd. (Retail) 19,913
3,600 CSR Ltd. (Building Materials) 10,414
5,600 Foster's Brewing Group Ltd. (Brewery) 13,210
7,163 General Property Trust (Real Estate
Investment Trust) (a) 11,605
2,389 Gio Australia Holdings Ltd. (Insurance) 6,145
1,110 Lend Lease Corp., Ltd. (Financial
Services) 22,497
4,989 National Australia Bank Ltd. (Financial
Services) 65,964
7,003 News Corporation, Ltd. (Services) 57,295
6,186 Normandy Mining Ltd. (Metals &
Mining) 5,069
1,100 Orica Ltd. (Diversified) 6,521
4,100 Pacific Dunlop Ltd. (Holding
Companies) 6,643
3,110 Pioneer International Ltd. (Building
Materials) 7,433
1,100 Rio Tinto Ltd. (Metals & Mining) 13,110
1,859 Southcorp Holdings Ltd. (Holding
Companies) 5,412
20,400 Telstra Corp., Ltd.
(Telecommunications) (a) 52,426
4,939 Westfield Trust (Real Estate
Investment Trust) 9,504
7,274 Westpac Banking Corp., Ltd. (Banks) 44,476
5,497 WMC Ltd. (Metals & Mining) 16,584
-----------
513,191
-----------
Austria - 0.32%
260 Bank Austria AG (Banks) 21,167
40 EA-Generali AG (Insurance) 11,760
110 OMV AG (Oil/Gas) 14,748
140 Oesterreichische Elektrizitaetswirtschafts
AG-A (Utilities) 16,772
70 VA Technologie AG (Oil/Gas) 8,717
50 Wienerberger Baustoffindustrie
AG (Building Materials) 12,106
-----------
85,270
-----------
Belgium - 1.74%
50 Barco NV (Diversified) 13,982
14 Colruyt SA (Holding Companies) (a) 10,992
226 Electrabel SA (Utilities) 64,111
Shares Description Value
------ ----------- -----
188 Fortis AG (Insurance) $ 48,024
50 Generale de Banque SA (Banks) 37,140
44 Groupe Bruxelles Lambert SA
(Financial Services) 8,885
1,050 KBC Bancassurance Holding
(Holding Companies) 94,017
105 PetroFina SA (Oil/Gas) 43,127
50 Royale Belge (Insurance) 19,024
500 Solvay SA (Chemicals) 39,661
300 Tractebel (Utilities) 43,964
7 UCB SA (Pharmaceuticals) 36,336
-----------
459,263
-----------
Denmark - 0.92%
200 Carlsberg AS-A (Brewery) 14,557
100 Carlsberg AS-B (Brewery) 7,279
3 Dampskip Svendborg-B
(Transportation) 36,684
189 Danisco AS (Food Processing) 12,711
200 Den Danske Bank (Banks) 24,019
5 D/S 1912-B (Transportation) 42,943
147 ISS International Service Systems
AS-B (Services) 8,560
253 Novo Nordisk AS-B
(Biopharmaceuticals) 34,914
448 Tele Danmark AS-B (Utilities) 43,042
200 Unidanmark AS-A (Banks) 17,993
-----------
242,702
-----------
Finland - 0.95%
700 Kemira Oyj (Chemicals) 7,268
500 Kesko (Retail) 7,847
3,400 Merita Ltd.-A (Banks) 22,460
200 Metra Oyj-B (Diversified) 6,496
1,600 Nokia Oyj-A (Telecommunications
Equipment) 118,247
500 Nokia Oyj-K (Telecommunications
Equipment) 36,980
600 Outokumpu Oyj-A (Metals & Mining) 7,664
300 Sampo Insurance Company Ltd.-A
(Insurance) 14,233
1,100 UPM-Kymmene Corp. (Forest
Products) 29,306
-----------
250,501
-----------
France - 9.10%
162 Accor SA (Hotel/Motel) 45,339
629 Alcatel Alsthom (Telecommunications
Equipment) 128,074
1,249 AXA-UAP (Insurance) 140,483
875 Banque Nationale de Paris (Banks) 71,497
100 Beghin-Say (Services) 22,082
150 BIC (Office Supplies) 10,669
82 Bouygues (Property & Development) 14,893
See Notes to Financial Statements on Pages 49-51
35
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
147 Canal Plus (Broadcasting) $ 27,476
302 Cap Gemini Sogeti (Computers) 47,455
152 Carrefour Supermarche SA (Retail) 96,167
304 Compagnie de Saint Gobain
(Building Materials) 56,368
450 Compagnie Financiere de Paribas-A
(Financial Services) 48,158
294 Danone (Food Processing) 81,065
1,045 Elf Aquitaine SA (Energy) 146,923
50 Essilor International (Optical) 21,147
229 Etablissements Economiques du Casino
Guichard-Perrachon SA (Foods) 18,288
2,952 France Telecom SA
(Telecommunications) 203,613
200 Havas SA (Advertising) 16,971
457 Lafarge SA (Building Materials) 47,244
259 Lagardere SCA (Diversified) 10,783
336 L'Air Liquide (Chemicals) 55,577
100 Legrand SA (Electronics) 26,465
250 L'OREAL (Household Products) 139,066
359 LVMH (Moet-Hennessy Louis Vuitton)
(Wine and Spirits) 71,851
504 Lyonnaise des Eaux SA (Diversified) 82,948
648 Michelin-B (Tires & Rubber) 37,407
127 Pechiney SA (Metals & Mining) 5,115
222 Pernod Ricard (Beverages) 15,386
210 Peugeot SA (Autos & Trucks) 45,156
95 Pinault-Printemps-Redoute SA
(Retail) 79,511
50 Promodes (Retail) 27,706
1,494 Rhone-Poulenc-A (Chemicals) 84,267
250 Sanofi SA (Pharmaceuticals) 29,401
658 Schneider SA (Electronics) 52,471
115 Simco SA (Real Estate) 9,435
399 Societe Generale (Banks) 82,959
110 Sodexho Alliance SA (Foods) 20,797
73 Technip (Engineering & Construction) 8,923
367 Thomson CSF (Electronics) 13,962
849 Total SA-B (Oil/Gas) 110,378
600 Usinor Sacilor (Steel) 9,269
266 Valeo SA (Auto Related) 27,191
528 Vivendi (Diversified) 112,749
-----------
2,402,685
-----------
Germany - 10.28%
150 Adidas AG (Consumer Goods) 26,163
926 Allianz AG (Insurance) 308,966
150 AMB Aachener & Muenchener
Beteiligungs AG (Insurance) 17,553
2,300 BASF AG (Chemicals) 109,381
2,700 Bayer AG (Chemicals) 139,859
1,050 Bayerische Hypotheken-und Wechsel-
Bank AG (Banks) 66,619
1,140 Bayerische Vereinsbank AG (Banks) 96,733
350 Continental AG (Tires & Rubber) 11,006
Shares Description Value
------ ----------- -----
1,975 Daimler-Benz AG (Auto & Trucks) $ 194,422
250 Degussa AG (Metals & Mining) 16,014
1,900 Deutsche Bank AG (Banks) 160,801
8,000 Deutsche Telekom
(Telecommunications) 219,178
1,750 Dresdner Bank AG (Banks) 94,629
250 Heidelberger Zement AG (Building &
Construction) 23,709
250 Hochtief AG (Engineering &
Construction) 12,007
50 Karstadt AG (Retail) 24,333
50 Linde AG (Machinery) 34,385
1,150 Lufthansa AG (Airlines) 28,988
50 MAN AG (Diversified) 19,522
1,400 Mannesmann AG (Machinery) 144,030
750 Merck KGAA (Pharmaceuticals) 33,650
900 Metro AG (Retail) 54,406
300 Muenchener Rueckversicherungs-
Gesellschaft AG (Insurance) 149,077
100 Preussag AG (Steel) 35,827
1,250 RWE AG (Oil/Gas) 74,039
250 SAP AG (Software) 151,822
300 Schering AG (Pharmaceuticals) 35,356
2,150 Siemens AG (Electrical Equipment) 131,342
50 SGL Carbon AG (Chemicals) 5,829
150 Thyssen AG (Steel) 38,184
1,850 VEBA AG (Oil/Gas) 124,506
100 Viag AG (Diversified) 68,881
63 Volkswagen AG (Consumer Goods) 61,093
-----------
2,712,310
-----------
Hong Kong - 1.56%
4,331 Bank of East Asia Ltd. (Banks) 4,695
12,000 Cathay Pacific Airways
(Transportation) 8,441
9,000 Cheung Kong Holdings Ltd.
(Real Estate) 44,257
10,000 CLP Holdings Ltd.
(Holding Companies) 45,560
7,400 Hang Seng Bank Ltd. (Banks) 41,833
42,800 Hong Kong Telecommunications
Ltd. (Telecommunications) 80,374
11,900 Hong Kong and China Gas Co., Ltd.
(Utilities) 13,516
15,000 Hutchison Whampoa Ltd. (Diversified) 79,182
2,000 Johnson Electric Holdings Ltd.
(Electronics) 7,408
6,113 New World Development Co., Ltd.
(Real Estate) 11,835
2,000 Television Broadcasts Ltd.
(Broadcasting) 5,292
10,000 Shangri-La Asia (Hotel/Motel) 6,453
9,072 Sun Hung Kai Properties Ltd.
(Real Estate) 38,522
4,500 Swire Pacific Ltd.-A (Conglomerate) 16,988
See Notes to Financial Statements on Pages 49-51
36
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
7,000 Wharf Holdings Ltd. (Diversified) $ 6,911
-----------
411,267
-----------
Ireland - 0.47%
3,245 Allied Irish Banks Plc. (Banks) 46,913
1,544 CRH Plc. (Building Materials) 21,930
1,305 Independent Newpapers Plc.
(Publishing/Printing) 7,018
1,869 Irish Life Plc. (Insurance) 17,230
3,447 Jefferson Smurfit Group Plc.
(Packaging & Container) 10,255
1,068 Kerry Group Plc.-A (Foods) 14,769
933 Ryanair Holdings Plc. (Airlines) (a) 6,620
-----------
124,735
-----------
Italy - 4.07%
3,762 Assicurazioni Generali (Insurance) 122,383
7,157 Banca Commerciale Italiana (Banks) 42,819
5,994 Banco Ambrosiano Veneto SPA (Banks) 33,550
8,618 Benetton Group SPA (Textiles) 17,898
11,071 Credito Italiano SPA (Financial
Services) 57,980
2,603 Edison SPA (Utilities) 20,899
20,181 ENI SPA (Oil/Gas) 132,325
14,093 Fiat SPA (Auto and Trucks) 61,710
3,230 Instituto Bancario San Paolo di Torino
(Banks) 46,630
2,432 Instituto Mobiliare Italiano SPA
(Financial Services) 38,326
15,776 Istituto Nazionale delle Assicurazioni
(Insurance) 44,839
2,884 Italgas SPA (Utilities) 11,752
4,898 Mediaset SPA (Television) 31,275
1,887 Mediobanca SPA (Financial Services) 23,949
20,059 Montedison SPA (Chemicals) 24,894
12,589 Olivetti Group SPA (Computers) (a) 18,741
6,909 Parmalat Finanziaria SPA (Financial
Services) 14,096
8,028 Pirelli SPA (Tires & Rubber) 25,077
795 Rinascente SPA (Retail) 7,920
1,847 Riunione Adriatica di Sicurta SPA
(Insurance) 24,065
24,405 Telecom Italia Mobile SPA
(Telecommunications) 149,308
6,916 Telecom Italia Mobile RCN
(Telecommunications) 23,355
13,747 Telecom Italia SPA
(Telecommunications) 101,241
-----------
1,075,032
-----------
Japan - 20.30%
1,000 Acom Company, Ltd. (Financial
Services) 47,660
3,000 Ajinomoto Co., Inc. (Food
Processing) 26,361
Shares Description Value
------ ----------- -----
1,000 Alps Electric Co. (Electric & Gas) $ 11,933
10,000 Asahi Bank Ltd. (Banks) 44,117
2,000 Asahi Breweries Ltd. (Brewery) 25,313
7,000 Asahi Chemical Industry Co., Ltd.
(Textiles) 25,313
5,000 Asahi Glass Co., Ltd. (Building
Materials) 27,121
17,000 Bank of Tokyo-Mitsubishi Ltd. (Banks) 180,610
3,000 Bank of Yokohama Ltd. (Banks) 7,377
3,000 Bridgestone Corp. (Tires & Rubber) 71,165
3,000 Canon, Inc. (Capital Equipment) 68,345
2,000 Casio Computer Co., Ltd.
(Electronics) 18,645
2,000 Chiba Bank Ltd. (Banks) 6,943
4,000 Chichibu Onoda Cement Corp.
(Building & Construction) 7,261
1,000 Citizen Watch Co., Ltd. (Jewelry) 8,281
500 Credit Saison Co., Ltd. (Retail) 9,944
3,000 Dai Nippon Printing Co., Ltd.
(Publishing/Printing) 48,058
2,000 Daiei, Inc. (Retail) 4,701
1,000 Daiichi Pharmaceutical
(Pharmaceuticals) 13,235
3,000 Dainippon Ink & Chemicals, Inc.
(Chemicals) 9,221
2,000 Daiwa House Industry Co., Ltd.
(Industrial) 17,719
4,000 Daiwa Securities Co., Ltd.
(Financial Services) 17,271
4,000 Denso Corp. (Electrical Equipment) 66,536
15 East Japan Railway Co.
(Transportation) 70,731
2,000 Ebara Corp. (Machinery) 17,849
1,000 Eisai Co., Ltd. (Pharmaceuticals) 13,669
1,000 Fanuc (Electronics) 34,715
12,000 Fuji Bank Ltd. (Banks) 53,721
2,000 Fuji Photo Film Co. (Chemicals) 69,863
7,000 Fujitsu Ltd. (Computers) 73,913
2,000 Furukawa Electric Co., Ltd. (Metals &
Mining) 6,754
2,000 Gunma Bank (Banks) 13,582
3,000 Hankyu Corp. (Railroads) 12,345
13,000 Hitachi Ltd. (Capital Equipment) 85,087
3,000 Hitachi Zosen Corp. (Steel) 4,860
4,000 Honda Motor Co., Ltd. (Autos &
Trucks) 142,909
1,000 House Foods Corp. (Foods) 12,881
1,000 Hoya Corp. (Glass Products) 28,423
10,000 Industrial Bank of Japan (Banks) 62,920
4,000 Itochu Corp. (Distribution/Wholesale) 8,679
2,000 Ito-Yokado Co., Ltd. (Retail) 94,453
8,000 Japan Airlines (Transportation) 22,333
5,000 Japan Energy Corp. (Oil/Gas) 5,316
3,000 Joyo Bank (Banks) 11,109
2,000 JUSCO Co. (Retail) 36,812
See Notes to Financial Statements on Pages 49-51
37
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
5,000 Kajima Corp. (Engineering &
Construction) $ 13,741
1,000 Kaneka Corporation (Chemicals) 5,280
3,800 Kansai Electric Power Co., Inc. (Utilities) 66,233
3,000 Kao Corp. (Household Products) 46,431
8,000 Kawasaki Heavy Industries Ltd.
(Engineering & Construction) 16,200
14,000 Kawasaki Steel Corp. (Steel) 25,313
1,000 Kinden Corp. (Engineering &
Construction) 12,092
7,000 Kinki Nippon Railway (Transportation) 32,907
4,000 Kirin Brewery Co., Ltd. (Brewery) 37,897
1,000 Kokuyo (Office Equipment &
Computers) 16,996
5,000 Komatsu Ltd. (Machinery) 24,372
7,000 Kubota Corp. (Machinery) 16,200
2,000 Kuraray Co., Ltd. (Textiles) 17,054
1,000 Kurita Water Industries (Capital
Equipment) 11,861
1,000 Kyocera Corp. (Capital Equipment) 49,035
2,000 Kyowa Hakko Kogyo (Chemicals) 7,955
2,000 Marui Co., Ltd. (Retail) 29,941
8,000 Matsushita Electric Industrial Co., Ltd.
(Electronics) 129,023
2,000 Minabea Co., Ltd. (Electronics) 19,975
10,000 Mitsubishi Chemical Corp. (Chemicals) 18,153
7,000 Mitsubishi Corp. (Distribution/
Wholesale) 43,538
9,000 Mitsubishi Electric Corp. (Capital
Equipment) 20,764
5,000 Mitsubishi Estate Co., Ltd. (Financial
Services) 44,117
13,000 Mitsubishi Heavy Industries Ltd.
(Aerospace) 49,266
4,000 Mitsubishi Materials Corp. (Metals &
Mining) 8,187
5,000 Mitsubishi Trust & Banking Corp.
(Banks) 42,634
3,000 Mitsui Fudosan Co., Ltd. (Real Estate) 23,780
4,000 Mitsui Marine & Fire Insurance Co., Ltd.
(Insurance) 20,163
3,000 Mitsui Trust & Banking Co., Ltd. (Banks) 7,095
7,000 Mitsui & Co. (Distribution/Wholesale) 37,969
2,000 Mitsukoshi Ltd. (Retail) 5,771
1,000 Murata Manufacturing Co., Ltd.
(Electrical Equipment) 32,545
1,000 Mycal Corp. (Foods) 6,364
6,000 NEC Corp. (Electronics) 56,108
2,000 NGK Insulators (Construction) 17,430
1,000 Nikon Corp. (Manufacturing) 7,218
1,000 Nippon Comsys Corp.
(Telecommunications) 11,528
5,000 Nippon Express Co., Ltd. (Trucking &
Leasing) 26,904
Shares Description Value
------ ----------- -----
1,000 Nippon Meat Packers, Inc. (Food
Processing) $ 12,288
6,000 Nippon Oil Co., Ltd. (Oil/Gas) 19,440
5,000 Nippon Paper Industries Co. (Forest
Products) 20,901
28,000 Nippon Steel Corp. (Steel) 49,411
46 Nippon Telegraph & Telephone Corp.
(Telecommunications) 382,585
6,000 Nippon Yusen Kabushiki Kaisha
(Transportation) 20,395
6,000 Nissan Motor Co., Ltd. (Autos & Trucks) 18,963
1,000 Nissin Food Products Co., Ltd. (Food
Processing) 17,972
1,000 Nitto Denko Corp. (Electrical Equipment) 15,079
10,000 NKK Corp. (Steel) 9,619
8,000 Nomura Securities Co., Ltd. (Financial
Services) 93,440
4,000 Obayashi Corp. (Capital Equipment) 17,010
2,000 Odakyu Electric Railway
(Transportation) 6,147
3,000 Oji Paper Co., Ltd. (Forest Products) 13,105
1,000 Omron Corp. (Electronics) 15,332
1,000 Onward Kashiyama Co., Ltd. (Textiles) 12,548
7,000 Osaka Gas Co., Ltd. (Utilities) 18,023
1,000 Pioneer Electronic Corp.
(Telecommunications) 19,165
1,000 Rohm Co. (Electronics) 103,059
15,000 Sakura Bank Ltd. (Banks) 39,054
2,000 Sankyo Co., Ltd. (Pharmaceuticals) 45,708
7,000 Sanyo Electric Co., Ltd. (Electronics) 21,263
1,000 Secom (Electronics) 57,930
2,000 Sekisui Chemical Co., Ltd.
(Chemicals) 10,270
3,000 Sekisui House Ltd. (Manufactured
Housing) 23,324
3,000 Sharp Corp. (Electronics) 24,387
1,000 Shimano, Inc. (Bicycles) 25,457
5,000 Shimizu Corp. (Engineering &
Construction) 14,464
2,000 Shin-Etsu Chemical Co., Ltd.
(Chemicals) 34,715
2,000 Shiseido Co., Ltd. (Household
Products) 22,796
3,000 Shizuoka Bank (Banks) 32,328
1,500 Sony Corp. (Electronics) 129,637
12,000 Sumitomo Bank Ltd. (Banks) 117,162
8,000 Sumitomo Chemical Co. (Chemicals) 24,763
5,000 Sumitomo Corp. (Distribution/
Wholesale) 24,119
3,000 Sumitomo Electric Industries (Electrical
Equipment) 30,440
3,000 Sumitomo Marine & Fire Insurance Co.
(Insurance) 16,837
14,000 Sumitomo Metal Industries (Steel) 22,579
See Notes to Financial Statements on Pages 49-51
38
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
2,000 Sumitomo Metal Mining Co. (Metals &
Mining) $ 8,143
3,000 Taisei Corp. (Engineering &
Construction) 6,509
2,000 Taisho Pharmaceutical Co.
(Pharmaceuticals) 37,463
1,000 Takashimaya Co., Ltd. (Retail) 7,565
3,000 Takeda Chemical Industries
(Pharmaceuticals) 80,061
5,000 Teijin Ltd. (Textiles) 15,188
3,000 Tobu Railway Co., Ltd. (Transportation) 7,963
100 Toho Co. (Entertainment) 10,559
1,400 Tohoku Electric Power (Utilities) 20,706
8,000 Tokai Bank (Banks) 44,203
6,000 Tokio Marine & Fire Insurance Co.
(Insurance) 61,879
1,000 Tokyo Dome Corp. (Entertainment) 5,424
5,100 Tokyo Electric Power Co. (Utilities) 100,325
1,000 Tokyo Electron Ltd. (Electronics) 30,737
12,000 Tokyo Gas Co., Ltd. (Utilities) 26,817
5,000 Tokyu Corp. (Transportation) 15,224
3,000 Toppan Printing Co., Ltd.
(Publishing/Printing) 32,198
6,000 Toray Industries, Inc. (Chemicals) 31,243
1,000 Tostem Corp. (Building Materials) 13,004
2,000 Toto Ltd. (Industrial) 12,194
1,000 Toyo Seikan Kaisha (Packaging &
Container) 12,295
1,000 Toyoda Automatic Loom Works
(Machinery) 17,719
14,000 Toyota Motor Corp. (Consumer Goods) 363,492
1,000 Uny Co., Ltd. (Retail) 16,273
1,000 Wacoal Corp. (Textiles) 10,197
1,000 Yamaha Corp. (Diversified) 9,764
2,000 Yamanouchi Pharmaceutical Co., Ltd.
(Pharmaceuticals) 41,802
2,000 Yamato Transport Co., Ltd. (Trucking &
Leasing) 22,492
1,000 Yamazaki Baking Co., Ltd. (Food
Processing) 8,896
3,000 Yasuda Trust & Banking (Banks) 2,821
-----------
5,358,965
-----------
Malaysia - 0.42%
6,000 Golden Hope Plantations BHD
(Agriculture) 5,494
4,000 Kuala Lumpur Kepong BHD
(Agriculture) 6,457
8,400 Malayan Banking BHD (Banks) 8,460
8,000 Malaysia International Shipping BHD
(Transportation) 11,662
3,000 Oriental Holdings BHD (Autos &
Trucks) 4,988
7,000 Resorts World BHD (Entertainment) 7,691
8,000 RHB Capital BHD (Banks) 3,258
Shares Description Value
------ ----------- -----
2,000 Rothmans of Pall Mall BHD (Tobacco) $ 13,855
10,000 Sime Darby BHD (Holding Companies) 6,891
11,000 Telekom Malaysia BHD
(Telecommunications) 18,553
11,000 Tenaga Nasional BHD (Utilities) 13,252
4,000 United Engineers Ltd. (Engineering &
Construction) 1,629
10,500 YTL Corp. BHD (Engineering &
Construction) 7,893
-----------
110,083
-----------
Netherlands - 5.49%
5,375 ABN Amro Holdings NV (Banks) 125,864
2,218 Ahold (Retail) 71,255
288 Akzo Nobel (Chemicals) 64,071
2,611 Elsevier NV (Publishing/Printing) 39,435
172 Getronics NV (Computers) 8,927
1,305 Heineken NV (Brewery) 51,297
3,323 ING Groep NV (Financial Services) 217,757
1,760 Koninklijke Ahold NV (Retail) 67,781
1,383 Philips Electronics NV (Electronics) 116,347
7,753 Royal Dutch Petroleum Company
(Oil/Gas) 430,246
2,364 Unilever NV-CVA (Food Processing) 187,710
174 Wolters Kluwer NV-CVA
(Publishing/Printing) 23,900
1,760 TNT Post Group (Transportation) (a) 45,015
-----------
1,449,605
-----------
New Zealand - 0.17%
12,304 Brierley Investments Ltd. (Investment
Companies) 6,146
6,498 Carter Holt Harvey Ltd. (Forest
Products) 5,680
2,801 Lion Nathan Ltd. (Brewery) 6,238
6,707 Telecom Corp. of New Zealand Ltd.
(Telecommunications) 27,711
-----------
45,775
-----------
Norway - 0.56%
300 Bergesen d.y. ASA-A (Transportation) 5,715
1,950 Christiania Bank Og Kreditkasse
(Financial Services) 8,168
3,600 Den Norske Bank (Banks) 18,884
150 Kvaerner ASA-A (Engineering &
Construction) 5,089
400 Merkantildata ASA (Software) 5,063
850 Norsk Hydro ASA (Diversified) 37,434
200 Norske Skogsindustrier ASA `A' Free
(Paper) 6,185
600 Orkla ASA-A (Manufacturing) 14,015
600 Petroleum-Geo Services ASA
(Oil/Gas) (a) 18,712
350 Schibsted ASA (Publishing/Printing) 5,892
2,000 Storebrand ASA-A (Insurance) (a) 17,746
See Notes to Financial Statements on Pages 49-51
39
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
200 Tomra Systems ASA (Machinery) $ 6,003
-----------
148,906
-----------
Portugal - 0.63%
700 Banco Comercial Portugues, SA
(Banks) 19,889
600 Banco Espirito Santo e Comercial de
Lisboa, SA (Banks) 18,029
300 BPI-SGPS, SA (Financial Services) 9,687
300 Brisa Auto-Estradas de Portugal, SA
(Engineering & Construction) 12,839
500 Cimpor-Cimentos de Portugal, SA
(Building Materials) 17,579
1,300 Electricidade de Portugal, SA
(Electric & Gas) 30,239
300 Jeronimo Martins, SGPS, SA (Retail) 14,421
700 Portugal Telecom, SA
(Telecommunications) 37,124
100 Sonae Investimentos, SGPS, SA
(Retail) 5,465
-----------
165,272
-----------
Singapore - 0.53%
3,000 City Developments Ltd. (Real Estate) 8,404
1,000 Creative Technology (Computers) (a) 12,166
5,000 DBS Land Ltd. (Real Estate) 4,154
2,600 Development Bank of Singapore Ltd.
(Banks) 14,427
500 Oversea-Chinese Banking Corp., Ltd.
(Banks) 17,062
5,000 Singapore Airlines Ltd. (Transportation) 23,442
2,276 Singapore Press Holdings Ltd.
(Publishing/Printing) 15,264
25,000 Singapore Telecommunications Ltd.
(Utilities) 35,608
3,000 United Overseas Bank Ltd. (Banks) 9,347
-----------
139,874
-----------
Spain - 3.13%
2,136 Argentaria Bancaria de Espa (Banks) 47,917
923 Autopistas Concesionaria Espanola SA
(Engineering & Construction) 14,294
2,363 Banco Bilbao Vizcaya SA (Banks) 121,270
891 Banco Central Hispanoamericano
(Banks) 28,005
4,412 Banco de Santander SA (Banks) 112,925
1,388 Empresa Nacional de Electricidad SA
(Utilities) 30,367
2,680 Endesa SA (Utilities) 58,633
366 Fomento de Construcciones y Contratas
SA (Engineering & Construction) 18,879
574 Gas Natural SDG, SA (Utilities) 41,473
310 Generale de Aguas d'Barcelona
(Beverages) 17,284
3,712 Iberdrola SA (Utilities) 60,273
Shares Description Value
------ ----------- -----
1,178 Repsol SA (Oil/Gas) $ 64,757
998 Tabacalera SA-A (Tobacco) 20,435
3,774 Telefonica de Espana
(Telecommunications) 174,488
185 Vallehermoso SA (Real Estate) 6,768
314 Zaradoya Otis (Machinery) 9,337
-----------
827,105
-----------
Sweden - 3.11%
2,900 ABB AB-A (Machinery) 41,092
400 AGA AB-A (Chemicals) 6,270
5,100 Astra AB-A (Pharmaceuticals) 104,238
1,100 Astra AB-B (Pharmaceuticals) 21,931
900 Atlas Copco AB-A (Machinery) 24,546
1,800 Electrolux AB-Ser. B (Furniture) 30,922
7,200 Ericsson Telecommunications-B
(Telecommunications) 210,357
600 Fastighetspartner NF AB Balder Units
(Real Estate) (a) 602
1,400 ForeningsSparbanken AB (Banks) 42,132
900 Hennes & Mauritz AB-B (Retail) 57,442
70 Mandamus Fastigheter AB
(Real Estate) (a) 439
200 Netcom Systems AB
(Telecommunications) (a) 7,661
1,000 Sandvik AB-A (Machinery) 27,649
400 Securitas AB-B (Commercial
Services) 19,586
2,000 Skandia Forsakrings AB (Insurance) 28,589
2,600 Skandinaviska Enskilda Banken-A
(Banks) 44,502
600 Skanska AB-B (Engineering &
Construction) 26,934
1,400 Stora Kopparbergs Bergslags Aktiebolag-A
(Forest Products) 22,031
600 Svenska Cellulosa AB-B (Forest
Products) 15,536
800 Svenska Handelsbanken-A (Banks) 37,116
300 Volvo AB-A (Autos & Trucks) 8,727
1,400 Volvo AB-B (Autos & Trucks) 41,693
-----------
819,995
-----------
Switzerland - 7.59%
30 ABB AG-Bearer (Machinery) 44,377
50 Adecco SA (Commercial Services) 22,585
30 Alusuisse-Lonza Holdings AG (Holding
Companies) 38,117
1,010 Credit Suisse Group (Banks) 225,104
30 Holderbank Financiere Glarus AG-B
(Building Materials) 38,235
150 Nestle SA (Foods) 321,535
220 Novartis AG-Registered (Medical) 366,691
15 Novartis AG-Bearer (Medical) 25,021
7 Roche Holdings AG-Bearer
(Pharmaceuticals) 103,893
See Notes to Financial Statements on Pages 49-51
40
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
26 Roche Holdings AG-Genusschine
(Pharmaceuticals) $ 255,742
50 Sairgroup (Airlines) (a) 16,476
60 Schweizerische Rueckversicherungs-
Gesellschaft (Insurance) 151,991
10 Sulzer AG (Manufacturing) 7,905
291 UBS-Registered (Banks) 108,297
85 UBS-Bearer (Banks) 152,846
50 Union Bank of Switzerland (Banks) 18,028
165 Zurich Versicherungs-Gesellschaft
(Insurance) 105,474
-----------
2,002,317
-----------
United Kingdom - 21.11%
5,341 Abbey National Plc. (Banks) 94,976
563 Anglian Water Plc. (Utilities) 7,910
1,422 Arjo Wiggins Appleton Plc. (Paper) 4,820
3,803 Associated British Foods Plc. (Food
Processing) 35,909
5,622 Barclays Plc. (Banks) 162,208
3,108 Bass Plc. (Brewery) 58,277
1,382 BBA Group Plc. (Auto Related) 10,430
871 Berkley Group Plc. (Building &
Construction) 9,104
14,979 BG Plc. (Oil/Gas) 86,661
3,624 Blue Circle Industries Plc. (Building
Materials) 20,483
2,144 BOC Group Plc. (Chemicals) 29,229
3,560 Boots Co. Plc. (Retail) 59,025
2,675 BPB Plc. (Paper) 16,370
7,137 British Aerospace Plc. (Aerospace) 54,697
4,267 British Airport Authority (Transportation) 46,096
4,209 British Airways Plc. (Transportation) 45,575
2,369 British Land Co. Plc. (Real Estate) 24,346
21,061 British Petroleum Co. Plc. (Oil/Gas) 307,347
6,885 British Sky Broadcasting Group Plc.
(Broadcasting) 49,490
6,485 British Steel Plc. (Steel) 14,266
23,251 British Telecommunications Plc.
(Telecommunications) 287,284
13,675 BTR Plc. (Holding Companies) 39,045
2,725 Bunzl Plc. (Packaging & Container) 12,831
847 Burmah Castrol Plc. (Oil/Gas) 15,189
11,628 B.A.T. Industries Plc. (Tobacco) 116,492
8,607 Cable & Wireless Plc.
(Telecommunications) 104,622
3,948 Cadbury Schweppes Plc. (Beverages) 61,141
2,125 Carlton Communications Plc. (Holding
Companies) 18,982
14,759 Centrica Plc. (Oil/Gas) (a) 24,890
3,444 CGU Plc. (Insurance) 64,290
2,472 Compass Group Plc. (Foods) 28,500
703 Courtaulds Plc. (Chemicals) 5,229
12,640 Diageo Plc. (Foods) 149,846
865 Electrocomponents Plc. (Electronics) 6,969
Shares Description Value
------ ----------- -----
2,164 EMI Group Plc. (Entertainment) $ 18,933
10,315 General Electric Co. Plc. (Electronics) 88,957
2,968 GKN Plc. (Auto Related) 37,837
12,888 Glaxo Wellcome Plc.
(Pharmaceuticals) 387,129
3,527 Granada Group Plc. (Leisure Time) 64,897
3,004 Great Universal Stores Plc. (Retail) 39,625
2,193 Guardian Royal Exchange Plc.
(Insurance) 12,852
9,386 Halifax Plc. (Banks) 122,240
2,797 Hanson Plc. (Holding Companies) 17,034
6,242 HSBC Holdings Plc. (Banks) 151,957
2,921 HSBC Holdings Plc. (75P) (Banks) 74,182
2,904 Imperial Chemical Industries Plc.
(Chemicals) 46,646
855 Jarvis Plc. (Building & Construction) 9,886
2,749 Kingfisher Plc. (Retail) 44,294
4,290 Ladbroke Group Plc. (Leisure Time) 23,566
2,290 Land Securities Plc. (Real Estate) 35,426
2,064 Lasmo Plc. (Oil/Gas) 8,288
4,771 Legal & General Group Plc.
(Insurance) 50,943
19,586 Lloyds TSB Group Plc. (Banks) 274,213
5,270 LucasVarity Plc. (Auto Related) 20,942
10,701 Marks & Spencer Plc. (Retail) 97,467
1,490 MEPC Plc. (Property & Development) 13,148
312 Misys (Computers) 17,723
6,043 National Grid Group Plc. (Utilities) 40,764
4,907 National Power Plc. (Utilities) 46,210
698 Next Plc. (Retail) 6,002
2,364 Pearson Plc. (Publishing/Printing) 43,340
2,612 Peninsular and Oriental Steam
Navigation Company (Transportation) 37,638
587 Provident Financial Plc. (Financial
Services) (a) 9,238
7,329 Prudential Corp. Plc. (Insurance) 96,613
2,036 Railtrack Group Plc. (Transportation) 49,939
1,754 Rank Group Plc. (Entertainment) 9,635
3,400 Reed International Plc. (Publishing/
Printing) 30,769
10,938 Rentokil Initial Plc. (Diversified) 78,714
5,682 Reuters Holdings Plc. (Publishing/
Printing) 64,988
1,466 Rexam Plc. (Packaging & Container) 6,425
4,274 Rio Tinto Plc. (Metals & Mining) 48,170
969 RMC Group Plc. (Building Materials) 16,810
6,596 Rolls-Royce Plc. (Aerospace) 27,258
3,383 Royal Bank of Scotland Group Plc.
(Banks) 58,745
6,125 Royal & Sun Alliance Insurance Group
Plc. (Insurance) 63,356
4,795 Safeway Plc. (Retail) 31,424
6,135 Sainsbury (J.) Plc. (Retail) 54,700
1,500 Schroders Plc. (Banks) 38,896
3,601 Scottish Power Plc. (Utilities) 31,656
See Notes to Financial Statements on Pages 49-51
41
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Shares Description Value
------ ----------- -----
2,176 Scottish & Newcastle Plc. (Brewery) $ 30,810
2,071 Siebe Plc. (Diversified) 41,392
20,174 SmithKline Beechman Plc.
(Pharmaceuticals) 246,402
851 Smiths Industries Plc. (Aerospace) 11,794
1,063 Southern Electric Plc. (Utilities) 9,735
727 Stagecoach Holdings Plc.
(Transportation) 15,489
914 Tate & Lyle Plc. (Foods) 7,264
8,412 Tesco Plc. (Retail) 82,166
1,360 Thames Water Plc. (Utilities) 24,774
948 TI Group Plc. (Property &
Development) 7,202
12,083 Unilever Plc. (Foods) 128,716
2,352 United Utilities Plc. (Utilities) 34,225
10,479 Vodafone Group Plc.
(Telecommunications) 133,151
3,636 Williams Holding Plc. (Diversified) 23,373
2,166 Wolseley Plc. (Building Materials) 12,730
3,243 Zeneca Group Plc. (Pharmaceuticals) (c) 139,270
-----------
5,570,497
-----------
Total Common Stock (Cost $23,462,189) 24,915,350
-----------
PREFERRED STOCK - 0.80%
Australia - 0.19%
7,058 News Corp. Ltd. (Services) 50,122
-----------
Austria - 0.05%
160 Bank Austria AG (Banks) 13,002
-----------
Germany - 0.51%
550 RWE AG (Oil/Gas) 23,518
150 SAP AG-Vorzug (Software) 101,908
13 Volkswagen AG (Auto & Trucks) 9,107
-----------
134,533
-----------
Italy - 0.05%
5,404 Fiat SPA (Auto and Trucks) 13,459
-----------
Total Preferred Stock (Cost $141,359) 211,116
-----------
RIGHTS & WARRANTS - 0.00%
Australia - 0.00%
2,437 Coca-Cola Ltd. Warrants
(Beverages) (a) 0
-----------
Austria - 0.00%
420 Bank Austria AG Rights (Banks) (a) 22
-----------
Germany - 0/00%
550 Metro AG Rights (Retail) (a) 38
-----------
Shares Description Value
------ ----------- -----
Hong Kong - 0.00%
450 Hong Kong and China Gas Co. Ltd.
Warrants (Utilitites) (a) $ 0
350 Wharf Holdings Ltd. Warrants
(Diversified) (a) 0
-----------
Italy - 0.00%
22 Assicurazioni Generali Rights
(Insurance) (a) 56
-----------
Portugal 0.00%
500 Banco Espirito Santo e Comercial de
Lisboa, SA Rights (Banks) (a) 355
-----------
Spain 0.00%
52 Zaradoya Otis Rights (Machinery) (a) 253
-----------
Switzerland 0.00%
50 Adecco SA Rights (Commercial
Services) (a) 0
-----------
Total Rights And Warrants (Cost $0) 724
-----------
Principal
Amount
- ---------
SHORT TERM INSTRUMENTS (b) (c) - 3.20%
U.S.A. - 3.20%
$570,000 U.S. Treasury Bill, 5.09%, 09/17/98 563,825
20,000 U.S. Treasury Bill, 5.18%, 11/12/98 19,627
20,000 U.S. Treasury Bill, 5.21%, 09/10/98 19,804
35,000 U.S. Treasury Bill, 5.13%, 10/22/98 34,452
210,000 U.S. Treasury Bill, 5.21%, 11/05/98 206,266
-----------
Total Short Term Instruments (Cost $843,974) 843,974
-----------
Total Investments - (Cost $24,447,522) 98.40% $25,971,164
------- -----------
Other Assets Less Liabilities
(Notes 2 and 4) 1.60% 423,462
------- -----------
Net Assets 100.00% $26,394,626
======= ===========
- ----------
(a) Non-income producing security.
(b) Annualized yield at time of purchase.
(c) Held for collateral for futures.
See Notes to Financial Statements on Pages 49-51
42
<PAGE>
EAFE Equity Index Fund
Statement of Net Assets June 30, 1998 (unaudited)
Industry Diversification (as a percentage of Total Investments):
Total % of
Market Market
Industry Value Value
- -------- ------ ------
Autos and Trucks $ 637,534 2.54%
Banks 3,786,767 15.07%
Chemicals 829,644 3.30%
Consumer Goods and Services 1,012,542 4.03%
Diversified 598,652 2.38%
Electronics 953,390 3.80%
Financial Services 727,193 2.89%
Food and Beverage 1,282,084 5.10%
Insurance 1,633,283 6.50%
Oil/Gas 1,504,476 5.99%
Other 5,605,864 22.31%*
Pharmaceuticals 1,660,200 6.61%
Retail 1,154,368 4.59%
Telecommunications 2,243,724 8.93%
Transportation 616,429 2.45%
Utilities 881,040 3.51%
----------- ------
$25,127,190 100.00%
=========== ======
- ----------
* No one industry represents more that 2% of Portfolio Holding
At June 30, 1998, the Fund's open futures contracts were as follows:
Number of
Contracts Contract Expiration Opening Current
Purchased Type Date Position Market Value
- --------- -------- ---------- -------- ------------
1 Australian 10/02/98 $ 40,162 $ 41,808
1 DAX 09/18/98 322,788 325,828
1 IBEX 35 07/17/98 64,187 65,641
1 CAC 40 09/30/98 132,666 141,522
2 FTSE 100 09/18/98 193,171 196,724
1 Hang Seng 07/31/98 55,424 55,627
7 Nikkei 300 09/17/98 117,442 123,121
-------- --------
$925,840 $950,271
======== ========
Forward Foreign Currency Contracts Sold:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts to Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value For U.S. $ (Depreciation)
-------- ------------ ---------- ------------ ----------- --------------
<S><C>
693,000 Deutsche Mark 07/27/98 $384,994 $384,889 $ 105
19,959,000 Japanese Yen 07/27/98 144,949 141,760 3,189
84,000 British Pound 07/27/98 140,330 139,976 354
-------- -------- ------
$670,273 $666,625 $3,648
======== ======== ======
</TABLE>
See Notes to Financial Statements on Pages 49-51
43
<PAGE>
BT Insurance Funds Trust
Statements of Operations For the six months ended June 30, 1998 (unaudited)
<TABLE>
<CAPTION>
Equity 500 Small Cap EAFE Equity
Index Fund Index Fund Index Fund
---------- ---------- -----------
<S><C>
Investment Income:
Interest $ 24,698 $ 22,154 $ 31,231
Dividends 102,434 112,699 239,364
Less foreign taxes withheld (7) -- (28,222)
---------- --------- ----------
Total Investment Income 127,125 134,853 242,373
---------- --------- ----------
Expenses:
Advisory Fees (Note 2) 14,941 29,628 38,189
Administration Fees (Note 2) 36,493 36,693 36,697
Fund accounting Fees 5,668 21,055 17,269
Custodian Fees 26,167 29,298 34,643
Professional Fees 13,361 15,192 16,142
Trustees Fees 7,837 8,974 8,938
Amortization of organizational costs 1,956 1,966 1,966
Transfer agent Fees 4,096 4,096 4,096
Printing Fees 10,118 11,261 10,507
Miscellaneous 5,011 5,427 6,906
---------- --------- ----------
Total expenses before waiver/reimbursement 125,648 163,590 175,353
Less waiver/reimbursement by Advisor (Note 2) (96,402) (118,724) (113,444)
Less waiver by Administrator/Transfer Agent (Note 2) (6,998) (6,997) (6,997)
---------- --------- ----------
Total expenses net of reimbursement 22,248 37,869 54,912
---------- --------- ----------
Net Investment Income 104,877 96,984 187,461
---------- --------- ----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on investments sold 630,085 413,752 (96,069)
Net realized gain from futures, foreign currencies and
forward foreign currency transactions 221,449 3,844 148,766
Net change in unrealized appreciation
on investments and other assets 1,399,205 74,384 2,535,663
Net change in unrealized appreciation/depreciation
on futures, foreign currencies and forward foreign
currency contracts 6,294 42,427 (42,050)
---------- --------- ----------
Net Realized and Unrealized Gain on Investments,
Futures, Foreign Currencies and Forward Foreign
Currency Contracts 2,257,033 534,407 2,546,310
---------- --------- ----------
Net Increase in Net Assets Resulting from Operations $2,361,910 $ 631,391 $2,733,771
========== ========= ==========
</TABLE>
See Notes to Financial Statements on Pages 49-51
44
<PAGE>
BT Insurance Funds Trust
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Equity 500 Index Fund
-------------------------------
For the six For the
months ended period ended
June 30, 1998 December 31,
(unaudited) 1997 (a)
------------- ------------
<S><C>
Increase in Net Assets
Resulting from Operations:
Net investment income $ 104,877 $ 39,940
Net realized gain on investments sold, futures contracts and foreign
currency transactions 851,534 10,114
Net change in unrealized appreciation of investments, futures,
foreign currencies and forward foreign currency contracts 1,405,499 202,483
----------- -----------
Net increase in net assets resulting from operations 2,361,910 252,537
----------- -----------
Share transactions:
Net proceeds from sale of shares 16,098,402 13,196,045
Cost of shares repurchased (7,606,448) (1,688,459)
----------- -----------
Net increase in net assets from share transactions 8,491,954 11,507,586
----------- -----------
Net increase in net assets 10,853,864 11,760,123
----------- -----------
NET ASSETS at beginning of period 11,760,123 --
----------- -----------
NET ASSETS at end of period (Including undistributed net investment income of
$144,817 and $39,940 for the periods ended June 30, 1998 and
December 31, 1997, respectively) $22,613,987 $11,760,123
=========== ===========
</TABLE>
- ----------
(a) commenced operations on 10/01/97.
<TABLE>
<CAPTION>
Small Cap Index Fund
-------------------------------
For the six For the
months ended period ended
June 30, 1998 December 31,
(unaudited) 1997 (a)
------------- ------------
<S><C>
Increase in Net Assets
Resulting from Operations:
Net investment income $ 96,984 $ 41,878
Net realized gain on investments sold, futures contracts and foreign
currency transactions 417,596 88,417
Net change in unrealized appreciation of investments, futures,
foreign currencies and forward foreign currency contracts 116,811 383,905
----------- -----------
Net increase in net assets resulting from operations 631,391 514,200
----------- -----------
Share transactions:
Net proceeds from sale of shares 15,216,095 12,189,027
Cost of shares repurchased (726,289) (86,207)
----------- -----------
Net increase in net assets from share transactions 14,489,806 12,102,820
----------- -----------
Net increase in net assets 15,121,197 12,617,020
----------- -----------
NET ASSETS at beginning of period 12,617,020 --
----------- -----------
NET ASSETS at end of period (Including undistributed net investment income of
$138,862 and $41,878 for the periods ended June 30, 1998 and
December 31, 1997, respectively) $27,738,217 $12,617,020
=========== ===========
- ----------
(a) commenced operations on 08/25/97.
See Notes to Financial Statements on Pages 49-51
45
<PAGE>
BT Insurance Funds Trust
Statements of Changes in Net Assets
</TABLE>
<TABLE>
<CAPTION>
EAFE Equity Index Fund
-------------------------------
For the six For the
months ended period ended
June 30, 1998 December 31,
(unaudited) 1997 (a)
------------- ------------
<S><C>
Increase/(Decrease) in Net Assets
Resulting from Operations:
Net investment income $ 187,461 $ 36,655
Net realized gain (loss) on investments sold, futures contracts and foreign
currency transactions 52,697 (898)
Net change in unrealized appreciation (depreciation) of investments, futures,
foreign currencies and forward foreign currency contracts 2,493,613 (1,018,510)
----------- -----------
Net increase (decrease) in net assets resulting from operations 2,733,771 (982,753)
----------- -----------
Share transactions:
Net proceeds from sale of shares 9,598,030 15,424,726
Cost of shares repurchased (346,236) (32,912)
----------- -----------
Net increase in net assets from share transactions 9,251,794 15,391,814
----------- -----------
Net increase in net assets 11,985,565 14,409,061
----------- -----------
NET ASSETS at beginning of period 14,409,061 --
----------- -----------
NET ASSETS at end of period (Including undistributed net investment income of
$242,818 and $55,357 for the periods ended June 30, 1998 and
December 31, 1997, respectively) $26,394,626 $14,409,061
=========== ===========
</TABLE>
- ----------
(a) commenced operations on 08/22/97.
See Notes to Financial Statements on Pages 49-51
46
<PAGE>
BT Insurance Funds Trust
Financial Highlights
For a Share Outstanding throughout the period
<TABLE>
<CAPTION>
Equity 500 Index Fund
--------------------------------
For the six For the
months ended period ended
June 30, 1998 December 31,
(unaudited) 1997 (a)
------------- ------------
<S><C>
Net asset value, beginning of period $ 10.19 $ 10.00
Income from Investment Operations:
Net investment income 0.08(c) 0.03
Net realized and unrealized gain on investments and futures contracts 1.76 0.16
------- -------
Net increase in net asset value from operations 1.84 0.19
------- -------
Net asset value, end of period $ 12.03 $ 10.19
======= =======
Total Return (d) 18.06% 1.90%
Ratios / Supplemental Data
Net assets, end of period (in 000s) $22,614 $11,760
Ratios to average net assets:
Net investment income including reimbursement/waiver (e) 1.40% 1.51%
Operating expenses including reimbursement/waiver (e) 0.30% 0.30%
Operating expenses excluding reimbursement/waiver (e) 1.68% 2.78%
Portfolio turnover rate 46% 7%
</TABLE>
<TABLE>
<CAPTION>
Small Cap Index Fund
-------------------------------
For the six For the
months ended period ended
June 30, 1998 December 31,
(unaudited) 1997 (b)
------------- ------------
<S><C>
Net asset value, beginning of period $ 10.51 $ 10.00
Income from Investment Operations:
Net investment income 0.06(c) 0.03
Net realized and unrealized gain on investments and futures contracts 0.39 0.48
------- -------
Net increase in net asset value from operations 0.45 0.51
------- -------
Net asset value, end of period $ 10.96 $ 10.51
======= =======
Total Return (d) 4.28% 5.10%
Ratios / Supplemental Data
Net assets, end of period (in 000s) $27,738 $12,617
Ratios to average net assets:
Net investment income including reimbursement/waiver (e) 1.15% 1.08%
Operating expenses including reimbursement/waiver (e) 0.45% 0.45%
Operating expenses excluding reimbursement/waiver (e) 1.93% 3.27%
Portfolio turnover rate 29% 8%
</TABLE>
- ----------
(a) Equity 500 Index commenced operations on 10/1/97.
(b) Small Cap Index commenced operations on 8/25/97.
(c) Based on average shares method.
(d) Total investment return is calculated assuming an initial investment made
at the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and
redemption on the last day of the period. Total return calculated for a
period of less than one year is not annualized.
(e) Annualized
See Notes to Financial Statements on Pages 49-51
47
<PAGE>
BT Insurance Funds Trust
Financial Highlights
For a Share Outstanding throughout the period
<TABLE>
<CAPTION>
EAFE Equity Index Fund
-------------------------------
For the six For the
months ended period ended
June 30, 1998 December 31,
(unaudited) 1997 (a)
------------- ------------
<S><C>
Net asset value, beginning of period $ 9.34 $ 10.00
Income from Investment Operations:
Net investment income 0.11(b) 0.02
Net realized and unrealized gain (loss) on investments and futures contracts 1.47 (0.68)
------- -------
Net increase (decrease) in net asset value from operations 1.58 (0.66)
------- -------
Net asset value, end of period $ 10.92 $ 9.34
======= =======
Total Return (c) 16.92% (6.60%)
Ratios / Supplemental Data
Net assets, end of period (in 000s) $26,395 $14,409
Ratios to average net assets:
Net investment income including reimbursement/waiver (d) 2.21% 0.72%
Operating expenses including reimbursement/waiver (d) 0.65% 0.65%
Operating expenses excluding reimbursement/waiver (d) 2.07% 2.75%
Portfolio turnover rate 2% 0%(e)
</TABLE>
- ----------
(a) EAFE Equity Index commenced operations on 8/22/97.
(b) Based on average shares method.
(c) Total investment return is calculated assuming an initial investment made
at the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and
redemption on the last day of the period. Total return calculated for a
period of less than one year is not annualized.
(d) Annualized
(e) Less than 1%
See Notes to Financial Statements on Pages 49-51
48
<PAGE>
BT Insurance Funds Trust
Notes to Financial Statements June 30, 1998 (unaudited)
Note 1 -- Organization and Significant Accounting Policies
A. Organization
BT Insurance Funds Trust (the "Trust"), is currently comprised of seven series:
Equity 500 Index Fund, Small Cap Index Fund, EAFE Equity Index Fund,
International Equity Fund, Small Cap Fund, U.S. Bond Index Fund, and the Managed
Assets Fund, (each, a "Fund", collectively, the "Funds"). The Trust is an
open-end management investment company which is registered under the Investment
Company Act of 1940 as amended (the "Act"). The Trust was organized as a
Massachusetts business trust on January 19, 1996.
The accompanying financial statements and financial highlights are those
of the Equity 500 Index Fund, the Small Cap Index Fund, and the EAFE Equity
Index Fund which commenced operations on October 1, 1997, August 25, 1997 and
August 22, 1997, respectively.
B. Security Valuation
The Funds' investments listed or traded on National Stock Exchanges or other
domestic or foreign exchanges are valued based on the closing price of the
security traded on that exchange prior to the time when the Funds' assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. Other short-term debt securities are valued on a
mark-to-market basis until such time as they reach a remaining maturity of 60
days, whereupon they will be valued at amortized cost using their value on the
61st day. All other securities and other assets are valued at their fair value
as determined in good faith by or under the general supervision of the Trustees.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
D. Futures Contracts
The Funds may enter into financial futures contracts which are contracts to buy
a standard quantity of securities at a specified price on a future date. The
Funds are required to deposit either in cash or securities an amount equal to a
certain percentage of the contract amount. Subsequent payments are made or
received by the Funds each day, dependent on the daily fluctuations in the value
of the underlying security, and are recorded for financial statement purposes as
unrealized gains or losses by the Funds. The Funds' investments in financial
futures contracts are designed to closely replicate the benchmark indices used
by the Funds. Risks arise from possible illiquidity of the futures market and
from movements in security values and/or currency values.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
E. Forward Foreign Currency Exchange Contracts
The EAFE Equity Index Fund may enter into forward foreign currency exchange
contracts. A forward foreign currency exchange contract is an obligation to
purchase or sell a specific currency at a specified price at a future date.
These contracts are used in an attempt to protect against fluctuations in
foreign currency exchange rates that would adversely affect the portfolio
position or an anticipated investment position. Forward foreign currency
exchange contracts are valued at the daily forward exchange rate of the
underlying currency. Gains or losses on the purchase or sale of forward foreign
currency exchange contracts having the same settlement date and broker are
recognized on the date of offset, otherwise gains or losses are recognized on
the settlement date. The use of forward foreign exchange contracts does not
eliminate fluctuations in the underlying prices of the Funds' securities, but it
does establish a rate of exchange that can be achieved in the future. Although
forward foreign exchange contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, the Funds could
be exposed to risks if the counterparties to the contracts are unable to meet
the terms of their contracts.
F. Foreign Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under
forward exchange currency contracts are translated into U.S dollars at the mean
of the quoted bid and asked prices of such currencies against the U.S. dollar.
Purchases and sales of portfolio securities are translated into U.S. dollars at
the rates of exchange prevailing when such securities were acquired or sold.
Income and expenses are translated into U.S. dollars at rates of exchange
prevailing when earned or accrued.
Net foreign exchange gains of $25,577 on the EAFE Equity Index Fund represent
foreign exchange gains and losses from sales and maturities of securities,
holding of foreign currencies, exchange gains or losses realized between the
trade and settlement dates on security transactions, and the difference between
the amounts of interest and dividends recorded on the Funds' books and the U.S.
dollar equivalent of the amounts actually received or paid.
Net currency gains and losses from valuing foreign currency denominated assets
and liabilities at year end exchange rates are reflected as a component of net
unrealized appreciation (depreciation) of investments, futures, foreign currency
transactions and net other assets.
G. Foreign Securities
The Funds may invest in foreign securities. Investing in securities of foreign
companies and foreign governments involves special risks and considerations not
typically associated with investing in the securities of U.S. companies and the
U.S. government. These risks include re-valuation of currencies and future
adverse political and economic developments. Moreover, securities of many
foreign companies and foreign governments and their markets may be less liquid
and their prices more volatile than those of securities of comparable U.S.
companies and the U.S. government.
49
<PAGE>
BT Insurance Funds Trust
Notes to Financial Statements (continued) (unaudited)
H. Federal Income Taxes
The Funds intend to elect to be treated as "regulated investment companies"
under Sup-chapter M of the Internal Revenue Code and to distribute substantially
all of their respective net taxable income. Accordingly, no provisions for
federal income taxes have been made in the accompanying financial statements.
The Funds intend to utilize provisions of the federal income tax laws which
allow them to carry a realized capital loss forward for eight years following
the year of the loss and offset such losses against any future realized capital
gains. At December 31, 1997, the capital loss carryforward amounted to $19,581
for the EAFE Equity Index Fund and will expire December 31, 2005.
I. Expenses
The Trust accounts separately for the assets, liabilities and operations of each
Fund. Expenses directly attributable to a Fund are charged to the Fund, while
the expenses which are attributable to more than one Fund of the Trust are
allocated based upon the relative net assets of each Fund.
J. Organization Costs
The Funds will reimburse Bankers Trust Company (the "Advisor") for certain costs
incurred in connection with the Funds' organization. The costs are being
amortized on a straight-line basis over five years commencing on October 1, 1997
for the Equity 500 Index Fund, August 25, 1997 for the Small Cap Index Fund and
August 22, 1997 for the EAFE Equity Index Fund. In the event that any of the
initial shares are redeemed during such amortization period, the redemption
proceeds will be reduced for any unamortized organization costs in the same
proportion as the number of shares redeemed bears to the number of initial
shares outstanding at the time of the redemption.
K. Dividends from Net Investment Income and Distributions of Capital Gains
With respect to the Equity 500 Index, Small Cap Index and EAFE Equity Index
Funds, dividends from net investment income and net realized gains from
investment transactions, if any, are distributed to shareholders annually.
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Income and capital gains distributions are determined in accordance with
federal tax regulations and may differ from those determined in accordance with
generally accepted accounting principles. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
their federal tax basis treatment; temporary differences do not require such
reclassification.
Distributions from net realized gains for book purposes may involve short-term
capital gains, which are included as ordinary income for tax purposes.
L. Shares of Beneficial Interest
Each Fund is authorized to issue an unlimited number of shares of beneficial
interest with a par value of $0.001 per share. Transactions in shares of
beneficial interest for the six month period ended June 30, 1998 and the period
since commencement through December 31, 1997 were as follows:
Equity 500 Index Fund
- ------------------------------------------------------------------------
Six months ended Period ended
June 30, 1998* December 31, 1997
------------------------ -----------------------
Shares Amount Shares Amount
--------- ----------- --------- -----------
Shares sold 1,410,571 $16,098,402 1,320,455 $13,196,045
Shares redeemed (684,234) (7,606,448) (166,272) (1,688,459)
--------- ----------- --------- -----------
Net increase 726,337 $ 8,491,954 1,154,183 $11,507,586
========= =========== ========= ===========
Small Cap Index Fund
- ------------------------------------------------------------------------
Six months ended Period ended
June 30, 1998* December 31, 1997
------------------------ -----------------------
Shares Amount Shares Amount
--------- ----------- --------- -----------
Shares sold 1,398,518 $15,216,095 1,208,494 $12,189,027
Shares redeemed (68,788) (726,289) (8,295) (86,207)
--------- ----------- --------- -----------
Net increase 1,329,730 $14,489,806 1,200,199 $12,102,820
========= =========== ========= ===========
EAFE Equity Index Fund
- ------------------------------------------------------------------------
Six months ended Period ended
June 30, 1998* December 31, 1997
------------------------ -----------------------
Shares Amount Shares Amount
--------- ----------- --------- -----------
Shares sold 907,670 $9,598,030 1,545,473 $15,424,726
Shares redeemed (32,554) (346,236) (3,560) (32,912)
------- ---------- --------- -----------
Net increase 875,116 $9,251,794 1,541,913 $15,391,814
======= ========== ========= ===========
*unaudited
M. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2 -- Fees and Transactions with Affiliates
Under the Advisory Agreement with the Advisor, the Funds will pay advisory fees
at the following annual percentage rates of the average daily net assets of each
Fund: 0.20% for the Equity 500 Index Fund, 0.35% for the Small Cap Index Fund,
and 0.45% for the EAFE Equity Index Fund. These fees are accrued daily and paid
monthly. The Advisor has voluntarily undertaken to waive its fees and to
reimburse the Funds for certain expenses so that the Equity 500 Index Fund,
Small Cap Index Fund and the EAFE Equity Index Fund total operating expenses
will not exceed 0.30%, 0.45% and 0.65%, respectively. For the six months ended
June 30, 1998, the gross Advisory fees, waivers and reimbursed expenses were as
follows:
Expenses
Gross Advisory Advisory Fees Reimbursed
Fees Waived by Advisor
-------------- ------------- ----------
Equity 500 Index Fund $14,941 $14,941 $81,461
Small Cap Index Fund 29,628 29,628 89,096
EAFE Equity Index Fund 38,189 38,189 75,255
The amounts outstanding payable to the Funds by the Advisor as of June 30, 1998
relating to reimbursable expenses are $141,938 for the Equity 500 Index Fund,
$185,469 for the Small Cap Index Fund and $160,048 for the EAFE Equity Index
Fund.
50
<PAGE>
BT Insurance Funds Trust
Notes to Financial Statements (continued) (unaudited)
At June 30, 1998, the amounts payable to the Advisor incurred in connection with
the organization of the Funds are $17,904, $17,904, and $17,904 for the Equity
500 Index Fund, Small Cap Index Fund and EAFEEquity Index Fund, respectively.
First Data Investor Services Group, Inc. ("Investor Services Group") serves as
administrator of the Funds. Investor Services Group also serves as the Funds'
Transfer Agent and Distributor. For services rendered as the Funds'
Administrator, Investor Services Group receives the following fees, accrued
daily, and paid monthly.
Administration Fees
--------------------------------------------------------
Fee (% of each
Funds' aggregate Average Daily
daily net assets) Net Assets
----------------- -----------------------------------
0.02% less than $2 billion
0.01% $2 billion but less than $5 billion
0.0075% over $5 billion
Investor Services Group also receives a $70,000 flat fee per year, per Fund,
paid monthly.
Investor Services Group voluntarily waived $6,998, $6,997 and $6,997 of their
fees for the Equity 500 Index Fund, Small Cap Index Fund and EAFEEquity Index
Fund, respectively, for the six months ended June 30, 1998.
Bankers Trust Company is the custodian for the Funds. At June 30, 1998, the
amounts payable to the Custodian are $37,048, $57,427 and $61,601 for the Equity
500 Index Fund, Small Cap Index Fund and EAFEEquity Index Fund, respectively.
The Funds do not compensate their officers or affiliated trustees. Each
independent trustee is paid $1,250 per Board of Trustees meeting attended and a
quarterly retainer of $2,500. At June 30, 1998, the amounts payable to directors
are $1,707, $1,877 and $1,783 for the Equity 500 Index Fund, Small Cap Index
Fund and EAFEEquity Index Fund, respectively.
Note 3 -- Purchases and Sales of Investment Securities
The aggregate cost of purchases and proceeds from the sale of investments, other
than short-term investments, for the six months ended June 30, 1998, were as
follows:
Purchases Sales
----------- ----------
Equity 500 Index Fund $14,790,359 $6,659,745
Small Cap Index Fund 18,868,810 5,069,871
EAFE Equity Index Fund 8,980,463 369,479
The aggregate gross unrealized appreciation and depreciation and cost for all
securities as computed on a federal income tax basis, at June 30, 1998 is as
follows:
Appreciation Depreciation Net Cost
------------ ------------ ---------- -----------
Equity 500
Index Fund $2,001,998 $ (400,310) $1,601,688 $22,590,835
Small Cap
Index Fund 1,864,136 (1,405,867) 458,269 30,186,276
EAFE Equity
Index Fund 3,535,176 (2,011,534) 1,523,642 24,447,522
The amounts payable at June 30, 1998 for investment securities purchased are
$1,811,173, $6,991,282 and $0 for the Equity 500 Index Fund, Small Cap Index
Fund, and EAFE Equity Index Fund, respectively. The amounts receivable at June
30, 1998 for investment securities sold are $7,570, $3,772,635 and $7,483,082
for the Equity 500 Index Fund, Small Cap Index Fund, and EAFE Equity Index Fund,
respectively. At June 30, 1998, the EAFE Equity Index Fund had an amount payable
due to the Custodian of $7,247,233 in connection with a cash overdraft.
Note 4 -- Shares of Beneficial Interest
At June 30, 1998, there were an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share.
Note 5 -- Net Assets
Equity 500 Small Cap EAFE Equity
Index Fund Index Fund Index Fund
---------- ---------- ----------
Net Assets:
Portfolio shares based on
1,880,520, 2,529,929,
and 2,417,029 respectively,
outstanding shares of
beneficial interest $19,999,540 $26,592,626 $24,643,608
Undistributed net investment
income 144,817 138,862 242,818
Accumulated net realized
gain on investments sold,
foreign currency transactions
and futures contracts 861,648 506,013 33,097
Net unrealized appreciation
on investments, assets and
liabilities in foreign currency
and futures contracts 1,607,982 500,716 1,475,103
----------- ----------- -----------
Total Net Assets - 100% $22,613,987 $27,738,217 $26,394,626
=========== =========== ===========
Net Asset Value, Offering
and Redemption Price
Per Share
(Net Assets/Shares
Outstanding) $12.03 $10.96 $10.92
====== ====== ======
51
<PAGE>
BT INSURANCE FUNDS TRUST
Equity 500 Index Fund
Small Cap Index Fund
EAFE Equity Index Fund
Investment Advisor
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Administrator and Transfer Agent
FIRST DATA INVESTOR SERVICES GROUP, INC.
One Exchange Place
53 State Street
Boston, MA 02109
Distributor
FIRST DATA DISTRIBUTORS, INC.
4400 Computer Drive
Westborough, MA 01581
Custodian
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Auditors
ERNST & YOUNG LLP
787 Seventh Avenue
New York, NY 10019
Counsel
WILLKIE FARR & GALLAGHER
787 Seventh Avenue
New York, NY 10019
--------------------
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or the BT
Mutual Fund Service Center at (800) 730-1313. This report must be preceded or
accompanied by a current prospectus for the Funds.
--------------------
Equity 500 Index Fund Cusip #05576E607
Small Cap Index Fund Cusip #05576E409
EAFE Equity Index Fund Cusip #00576E508
INS100 (6/98)
