o BT INSURANCE FUNDS TRUST o
SMALL CAP INDEX FUND
ANNUAL REPORT
- --------------------------------------------------------------------------------
DECEMBER o 1998
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Table of Contents
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS ........................ 3
SMALL CAP INDEX FUND
Statement of Net Assets ..................... 5
Statement of Operations ..................... 22
Statements of Changes in Net Assets ......... 23
Financial Highlights ........................ 24
Notes to Financial Statements ............... 25
Report of Independent Auditors .............. 27
</TABLE>
----------------
<TABLE>
<S> <C>
The Fund is not insured by the FDIC or any other government agency 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.
</TABLE>
----------------
2
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Letter to Shareholders
- --------------------------------------------------------------------------------
MARKET ACTIVITY
Despite volatility throughout the year in Asia, Latin America, Russia and here
at home, the U.S. equity market indices continue to push on. Still, this was a
difficult year for small cap stocks overall. Double-digit returns in the first
and fourth quarters were neither enough to offset a weaker second quarter and
the significant market decline in August nor to pull the Russell 2000 Index
into positive territory for the year.
SMALL CAP STOCKS RALLIED ROBUSTLY IN THE FIRST QUARTER.
o Fears of the impact of the Asian crisis temporarily subsided.
o Earnings growth continued to be strong.
o Relative valuations approached record lows.
o Stable to rising overall levels for all equity markets helped settle
investors' concerns.
o Strong economic conditions, little sign of inflation, and interest rate fears
at bay supported a climbing Russell 2000 Index.
VOLATILITY PLAGUED THE SMALL CAP MARKET THROUGHOUT, BUT ESPECIALLY IN THE
SECOND AND THIRD QUARTERS.
o Renewed concerns over the impact of Asia's financial troubles turned investor
sentiment toward larger companies as did a focus on slower growth in U.S.
corporate earnings and in the economy.
o Fears of a tightening by the Federal Reserve Board sparked a huge drop in the
market towards the end of April. Stronger than anticipated economic numbers
supported a quick rebound, and a similar roller coaster ride was replayed from
May through June.
o Lower corporate profits, expectation of slower growth in the second half, and
the General Motors strike contributed to a July sell off.
o In August, Russia defaulted on its domestic debt; weak commodity prices
dampened the economic outlook for Latin America; and ongoing economic
instability in Asia impacted markets worldwide. All major domestic equity
indices posted negative returns for the quarter, as stocks, particularly small
caps, tumbled. In fact, the August Russell 2000 Index return was one of the
five worst in the Index's ninteen year history.
o The market had recovered more than half of August's losses towards the end of
September, when it fell again having anticipated a 0.50% cut in interest rates
by the Federal Reserve Board, which turned out to be a 0.25% cut instead.
Still, small cap stocks outperformed large caps for the month due to strength
in energy-related stocks.
FOURTH QUARTER RETURNS MARKED AN EXPLOSIVE FINISH TO A VOLATILE YEAR. The
technology sector, led by internet-related stocks, posted staggering returns
for the quarter. Two more interest rate cuts of 0.25% each by the Federal
Reserve Board in the fourth quarter also buoyed the equity markets.
FOR THE YEAR, GROWTH STOCKS OUTPERFORMED VALUE STOCKS WITHIN THE SMALL
CAPITALIZATION SECTOR. Top performing sectors for the year included technology,
utilities, and consumer discretionary. The weakest performing sectors included
financial services, materials and processing, and integrated oils.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
AVERAGE
CUMULATIVE ANNUAL
TOTAL TOTAL
PERIODS ENDED DECEMBER 31, 1998 RETURNS RETURNS
- --------------------------------- ----------------------- ----------
Past 1 Since Since
year inception inception
----------- ----------- ----------
<S> <C> <C> <C>
Small Cap Index Fund1
(inception 8/25/97) -2.18% 2.81% 2.07%
- --------------------------------- ------ ---- ----
Russell 2000 Index2 -2.55% 2.37% 1.77%
</TABLE>
MANAGER OUTLOOK
Economic and financial market performance have run on virtually parallel tracks
in 1998, and that pattern seems likely to persist into 1999. Given that we see
strong, positive economic signs in the months ahead, this bodes well for the
U.S. equity markets overall. More specifically, we anticipate:
o GDP growth of around 2.5% in 1999
o Low inflation
o Consumer fundamentals remaining extremely favorable, and
o Low interest rates, with Federal Reserve Board policy likely on hold in the
face of solid economic growth, healthy financial markets, and the recent
softening of the dollar.
Certain equity sectors may be impacted, however, by a problematic profit story,
given that rising labor costs are squeezing margins. The industrial sector, in
particular, may be additionally affected by adverse developments abroad.
While it is likely we will continue to see high volatility and more financial
liquidity squeezes within the small cap equity sector, small cap fundamentals
and earnings growth remain strong and relative valuations attractive. It is
important to remember that historically, small cap stocks have outperformed
their larger cap brethren over the long term.
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.
/s/ Frank Salerno
Frank Salerno
Portfolio Manager of the Small Cap Index Fund
December 31, 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.
2 The Russell 2000 Index is an unmanaged index that measures small
capitalization equity securities ("small cap stocks"). This index is
unmanaged, and investments cannot be made in an index. "Investments in small
companies generally carry greater risk than is customarily associated with
larger companies for various reasons such as narrower markets, limited
financial resources and less liquid stock."
3
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Letter to Shareholders (continued)
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Sector as of December 31, 1998 (Unaudited)
[Pie Chart appears here with the following values]
Capital Goods 6.56%
Consumer Durables 7.85%
Health Care 8%
Finance & Building 24.33%
Consumer Non-Durables 29.52%
Utilities 6.49%
Retail Trade 4.54%
Transportation 2.92%
Metals 2.38%
Business Equipment & Services 2.18%
Chemicals 2.16%
Energy 2.02%
Forest Products 1.05%
- --------------------------------------------------------------------------------
Performance Comparison
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in the Small Cap Index
Fund, and the Russell 2000 Index from August 25, 1997, through
December 31, 1998.
Average Annual Total Returns
for the Periods Ended
December 31, 1998
<TABLE>
<S> <C>
One Year Since 8/25/97*
-2.18% 2.07%
</TABLE>
* 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.
[Performance Graph appears here with the following plot points]
<TABLE>
<CAPTION>
12/97 6/98 12/98
<S> <C> <C> <C>
Small Cap Index Fund 10,000.00 10,960.00 10,281.00
Russell 2000 Index 10,000.00 11,022.00 10,237.00
</TABLE>
Past performance is not indicative of future performance. The Russell 2000 Index
is unmanaged and investments may not be made in an index.
4
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
COMMON STOCKS -- 97.46%
700 @Entertainment, Inc. (a) ........................... $ 4,725
600 3DFX Interactive, Inc. (a) ......................... 7,575
500 800-JR Cigar, Inc. (a) ............................. 11,625
375 99 Cents Only Stores (a) ........................... 18,422
600 A.O. Smith Corporation ............................. 14,737
2,300 Aames Financial Corp. .............................. 7,331
1,350 AAR Corp. .......................................... 31,894
700 Aaron Rents, Inc. .................................. 10,587
500 Abacus Direct Corp. (a) ............................ 22,750
800 ABM Industries, Inc. ............................... 27,700
1,200 ABR Information Services, Inc. (a) ................. 23,550
500 Acceptance Insurance Cos., Inc. (a) ................ 10,125
1,400 Acclaim Entertainment, Inc. (a) .................... 17,150
1,100 Ackerley Group, Inc. ............................... 20,075
500 Actel Corp. (a) .................................... 10,000
600 Action Performance Cos., Inc. (a) .................. 21,225
500 Acuson Corp. (a) ................................... 7,437
1,000 ACX Technologies, Inc. (a) ......................... 13,250
2,440 Acxiom Corp. (a) ................................... 75,640
900 ADAC Laboratories (a) .............................. 17,972
600 Adelphia Communications Corp. (a) .................. 27,450
300 Administaff, Inc. (a) .............................. 7,500
800 ADTRAN, Inc. (a) ................................... 14,650
500 Advanced Energy Industries (a) ..................... 12,500
1,000 Advanced Lighting Technologies, Inc. (a) ........... 9,750
3,300 Advanced Tissue Sciences, Inc. (a) ................. 8,559
900 ADVANTA Corp. - Class A ............................ 11,925
1,500 Advantica Restaurant Group (a) ..................... 9,281
300 Advent Software, Inc. (a) .......................... 14,137
500 Advest Group, Inc. ................................. 9,250
1,300 ADVO, Inc. (a) ..................................... 34,287
900 Aerial Communications (a) .......................... 5,287
125 AFC Cable Systems, Inc. (a) ........................ 4,202
900 Affiliated Managers Group (a) ...................... 26,887
700 Affymetrix, Inc. (a) ............................... 17,062
400 Aftermarket Technology Corp. (a) ................... 3,150
1,800 AGL Resources, Inc. ................................ 41,512
1,200 Agouron Pharmaceuticals, Inc. (a) .................. 70,500
1,300 AgriBioTech, Inc. (a) .............................. 16,819
400 Agribrands International (a) ....................... 12,000
300 AHL Services, Inc. (a) ............................. 9,375
1,600 Air Express International Corp. .................... 34,800
3,100 Airgas, Inc. (a) ................................... 27,706
700 AirNet Systems, Inc. (a) ........................... 10,062
1,200 AirTran Holdings, Inc. (a) ......................... 3,150
2,300 AK Steel Holding Corp. ............................. 54,050
2,600 Alaris Medical, Inc. (a) ........................... 15,275
1,300 Alaska Air Group, Inc. (a) ......................... 57,525
822 Albany International Corp. - Class A ............... 15,569
720 Albemarle Corp. .................................... 17,100
1,500 Alexander & Baldwin ................................ 34,875
100 Alexandria Real Estate Equities, REIT .............. 3,094
1,400 Alfa Corp. ......................................... 33,950
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
400 Algos Pharmaceuticals Corp. (a) .................... $10,400
1,300 Aliant Communications, Inc. ........................ 53,137
800 Alkermes, Inc. (a) ................................. 17,750
600 Allen Telecommunications, Inc. (a) ................. 4,012
308 Alliant Techsystems, Inc. (a) ...................... 25,391
200 Allied Products .................................... 1,262
800 ALPHARMA, Inc. - Class A ........................... 28,250
1,000 Alpine Group, Inc. (a) ............................. 15,000
500 Alternative Living Services, Inc. (a) .............. 17,125
1,000 Alternative Resources Corp. (a) .................... 10,625
800 Alydaar Software Corp. (a) ......................... 6,600
500 Ambassadors International, Inc. (a) ................ 7,375
200 AMC Entertainment, Inc. (a) ........................ 4,212
1,550 AMCOL International Corp. .......................... 15,306
1,450 AMCORE Financial, Inc. ............................. 33,191
200 AMER Co. (a) ....................................... 5,587
1,900 America West Holdings Corp.- Class B (a) ........... 32,300
400 American Annuity Group, Inc. ....................... 9,200
700 American Business Products, Inc. ................... 16,450
700 American Classic Voyages Co. (a) ................... 12,337
500 American Eagle Outfitters (a) ...................... 33,312
1,100 American Freightways Corp. (a) ..................... 12,684
1,200 American Health Properties, Inc. ................... 24,750
400 American Heritage Life ............................. 9,775
1,400 American Homepatient, Inc. (a) ..................... 2,537
600 American Homestar Corp. (a) ........................ 9,000
800 American Italian Pasta Co. (a) ..................... 21,100
1,500 American Management Systems, Inc. (a) .............. 60,000
400 American Med Security Group, Inc. (a) .............. 5,725
900 American Media, Inc. - Class A (a) ................. 5,006
1,700 American Mobile Satellite Corp., Inc. (a) .......... 8,925
1,500 American Oncology Resources, Inc. (a) .............. 21,844
3,800 American Tower Systems - Class A (a) ............... 112,337
3,100 AmeriCredit Corp. (a) .............................. 42,819
1,300 Amerin Corp. (a) ................................... 30,712
800 AmeriSource Health Corp. - Class A (a) ............. 52,000
400 Ameritrade Holding Corp. (a) ....................... 12,600
100 Ameron, Inc. ....................................... 3,700
967 AmerUs Life Holdings, Inc. - Class A ............... 21,637
800 Ames Department Stores, Inc. (a) ................... 21,600
1,000 AMETEK, Inc. ....................................... 22,312
1,600 Amkor Technology. Inc. (a) ......................... 17,300
900 Amli Residential Properties Trust .................. 20,025
700 Amphenol Corp. - Class A (a) ....................... 21,131
600 Amplicon, Inc. ..................................... 9,037
300 Amtran, Inc. (a) ................................... 8,137
800 Anacomp, Inc. (a) .................................. 14,900
900 Analysts International Corp. ....................... 17,325
1,000 Anchor Bancorp Wisconsin, Inc. ..................... 24,000
300 Anchor Gaming (a) .................................. 16,912
400 Andrx Corp. (a) .................................... 20,500
1,200 Anixter International, Inc. (a) .................... 24,375
800 AnnTaylor Store Corp. (a) .......................... 31,550
400 AnswerThink Consulting Group, Inc. (a) ............. 10,750
1,000 ANTEC Corp. (a) .................................... 20,125
</TABLE>
See Notes to Financial Statements
5
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,400 APAC Teleservices, Inc. (a) ....................... $ 5,294
200 Apex PC Solutions, Inc. (a) ....................... 5,775
1,600 Apogee Enterprises, Inc. .......................... 18,000
1,100 Applebee's International, Inc. .................... 22,687
360 Applied Graphics Technologies, Inc. (a) ........... 5,940
1,200 Applied Industrial Technology, Inc. ............... 16,650
1,100 Applied Micro Circuits Corp. (a) .................. 37,366
1,655 Applied Power, Inc. - Class A ..................... 62,476
1,200 Apria Healthcare Group, Inc. (a) .................. 10,725
1,000 Aptargroup, Inc. .................................. 28,062
7,700 Aqua Alliance, Inc. (a) ........................... 15,881
500 Aquarion Co. ...................................... 20,500
1,000 Aquila Gas Pipeline Corp. ......................... 8,562
1,600 Arcadia Financial Ltd. (a) ........................ 5,800
400 Arch Coal, Inc. ................................... 6,850
1,300 Arctic Cat, Inc. .................................. 13,244
600 Area Bancshares Corp. ............................. 15,750
900 Argonaut Group, Inc. .............................. 22,050
1,100 ARM Financial Group, Inc. - Class A ............... 24,406
3,800 Armco, Inc. (a) ................................... 16,625
700 Arnold Industries, Inc. ........................... 11,287
400 Arrow International, Inc. ......................... 12,550
1,433 Artesyn Technologies, Inc. (a) .................... 20,062
800 Arvin Industries, Inc. ............................ 33,350
700 ASA Holdings, Inc. ................................ 21,350
1,300 ASARCO Inc. ....................................... 19,581
1,200 Ascent Entertainment Group, Inc. (a) .............. 8,850
2,800 Aspec Technology, Inc. (a) ........................ 3,675
800 Aspect Development, Inc. (a) ...................... 35,450
2,400 Aspect Telecommunications (a) ..................... 41,400
900 Aspen Technologies, Inc. (a) ...................... 13,050
100 Associated Estates Realty Corp. ................... 1,181
1,400 Associated Group, Inc. - Class A (a) .............. 60,200
200 Astec Industries, Inc. (a) ........................ 11,125
600 Atlantic Coast Airlines Holding (a) ............... 15,000
500 Atlas Air, Inc. (a) ............................... 24,469
300 ATMI, Inc. (a) .................................... 7,575
1,000 Atmos Energy Corp. ................................ 32,250
400 Atwood Oceanics, Inc.. (a) ........................ 6,800
400 Authentic Fitness Corp. ........................... 7,300
1,300 Avado Brands, Inc. ................................ 10,806
1,200 Avant! Corp. (a) .................................. 19,200
300 Avatar Holdings, Inc. (a) ......................... 4,800
400 Aviall, Inc. (a) .................................. 4,700
300 Aviation Sales Co. (a) ............................ 12,187
1,100 Avid Technology, Inc.. (a) ........................ 25,712
500 Aviron (a) ........................................ 12,937
1,400 Avis Rent A Car (a) ............................... 33,862
200 Avondale Industries, Inc. (a) ..................... 5,800
1,000 AXENT Technologies (a) ............................ 30,562
2,200 Axys Pharmaceuticals, Inc. (a) .................... 12,925
800 Aztar Corp. (a) ................................... 4,050
900 BA Merchant Services, Inc. (a) .................... 18,112
142 Baan Company NV (a) ............................... 1,492
600 Bacou USA (a) ..................................... 12,900
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,433 Baldor Electric Co. ............................... $29,017
400 Baldwin & Lyons, Inc. - Class B ................... 9,900
1,100 Ball Corp. ........................................ 50,325
1,200 Ballard Medical Products .......................... 29,175
1,000 Bally Total Fitness Holding Corp. (a) ............. 24,875
1,300 BancorpSouth, Inc. ................................ 23,481
1,400 BancTec, Inc. (a) ................................. 17,587
700 BancWest Corp. .................................... 33,600
600 Bandag, Inc. ...................................... 23,962
250 Bank of Granite Corp. ............................. 6,906
2,100 Bank Plus Corp. (a) ............................... 9,187
2,200 BankAtlantic Bancorp, Inc. - Class B .............. 15,675
900 Banknorth Group, Inc. ............................. 33,862
720 Banner Aerospace, Inc. (a) ........................ 6,795
1,500 Banta Corp. ....................................... 41,062
300 Barnes Group, Inc. ................................ 8,812
900 Barnett, Inc. (a) ................................. 12,375
500 Barr Laboratories, Inc. (a) ....................... 24,000
250 Barra, Inc. (a) ................................... 5,906
1,300 Barrett Resources Corp. (a) ....................... 31,200
700 Bassett Furniture Industries, Inc. ................ 16,887
8,200 Battle Mountain Gold Co. .......................... 33,825
700 Bay State Gas Co. ................................. 27,869
1,300 Bay View Capital Corp. ............................ 28,194
1,500 BE Aerospace, Inc. (a) ............................ 31,500
1,900 BEA Systems, Inc. (a) ............................. 23,275
1,000 Bedford Property Investors ........................ 16,875
900 Belco Oil & Gas (a) ............................... 5,006
1,300 Belden, Inc. ...................................... 27,544
800 Bell & Howell Co. (a) ............................. 30,250
400 Benchmark Stock Electroncs, Inc. (a) .............. 14,650
600 Benton Oil & Gas Co. (a) .......................... 1,800
800 Beringer Wine Estates Holdings (a) ................ 35,750
700 Berkley (W.R.) Corp. .............................. 23,844
1,900 Berkshire Realty Co., Inc. ........................ 18,050
400 Berlitz International, Inc. (a) ................... 11,600
300 Berry Petroleum Co. - Class A ..................... 4,256
4,614 Bethlehem Steel Corp. (a) ......................... 38,642
700 Big Flower Press Holdings, Inc. (a) ............... 15,444
1,500 Billing Concepts Corp. (a) ........................ 16,500
733 Bindley Western Industries, Inc. .................. 36,100
300 Biomatrix, Inc. (a) ............................... 17,475
700 Bio-Rad Laboratories, Inc. - Class A (a) .......... 14,700
2,900 Bio-Technology General Corp. (a) .................. 20,119
1,300 Birmingham Steel Corp. ............................ 5,444
1,000 BISYS Group, Inc. (a) ............................. 51,625
700 Black Box Corp. (a) ............................... 26,512
1,100 Black Hills Corp. ................................. 29,012
724 Block Drug Co., Inc. - Class A .................... 31,407
1,400 Blount International, Inc. - Class A .............. 34,912
600 BMC Industries, Inc. .............................. 3,750
1,500 Bob Evans Farms, Inc. ............................. 39,094
700 Boise Cascade Office Products Corp. (a) ........... 9,450
106 BOK Financial Corp. (a) ........................... 4,995
1,350 Boole & Babbage, Inc. (a) ......................... 39,741
</TABLE>
See Notes to Financial Statements
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,100 Borg Warner Automotive, Inc. .................... $61,325
600 Borg-Warner Security Corp. (a) .................. 11,250
500 Boron LePore & Associates, Inc. (a) ............. 17,250
1,400 Bowne & Co., Inc. ............................... 25,025
1,900 Boyd Gaming Corp. (a) ........................... 6,294
400 Boykin Lodging Company .......................... 4,950
1,200 Bradley Real Estate, Inc. ....................... 24,600
1,200 Brady (W.H.) Co. ................................ 32,325
1,500 Brandywine Realty Trust ......................... 26,812
200 BRC Holdings, Inc. (a) .......................... 3,750
1,300 BRE Properties, Inc. - Class A .................. 32,175
1,200 BREED Technologies, Inc. (a) .................... 9,825
300 Brenton Banks, Inc. ............................. 5,025
800 Briggs & Stratton Corp. ......................... 39,900
2,200 Brightpoint, Inc. (a) ........................... 30,250
1,000 BroadVision, Inc. (a) ........................... 32,000
500 Brookdale Living Communities, Inc. (a) .......... 9,750
700 Brookline Bancorp, Inc. ......................... 8,050
1,000 Brown (Tom), Inc. (a) ........................... 10,031
800 Brown Group, Inc. ............................... 14,050
800 Brush Wellman, Inc. ............................. 13,950
300 Brylane, Inc. (a) ............................... 6,975
150 BSB Bancorp. Inc. ............................... 4,931
420 BT Financial Corp. .............................. 11,497
1,200 Buckeye Technologies, Inc. (a) .................. 17,925
300 Buckle, Inc. (a) ................................ 7,200
1,100 Budget Group, Inc. - Class A (a) ................ 17,462
1,800 Buffets, Inc. (a) ............................... 21,487
1,500 Building One Services Corp. (a) ................. 31,312
1,700 Burham Pacific Properties, Inc. ................. 20,506
900 Burlington Coat Factory Warehouse ............... 14,681
3,100 Burlington Industries, Inc. (a) ................. 34,100
1,000 Burr-Brown Corp. (a) ............................ 23,437
400 Bush Boake Allen, Inc. (a) ...................... 14,100
200 Bush Industries, Inc. - Class A ................. 2,487
300 Butler Manufacturing Co. ........................ 6,712
400 C & D Technologies, Inc. ........................ 11,000
2,100 C.H. Robinson Worldwide, Inc. ................... 54,469
300 C/NET, Inc. (a) ................................. 16,444
1,250 Cable Design Technologies (a) ................... 23,125
900 Cabot Industrial Trust .......................... 18,394
600 Cabot Oil & Gas Corp. - Class A ................. 9,000
1,200 Cadiz Land Company, Inc. (a) .................... 9,150
400 Cal Dive International, Inc. (a) ................ 8,300
1,500 Calgon Carbon Corp. ............................. 11,250
500 California Microwave, Inc. (a) .................. 4,687
300 California Water Services Co. ................... 9,394
1,100 CalMat Co. ...................................... 33,962
900 Calpine Corp. (a) ............................... 22,725
1,200 Cambrex Corp. ................................... 28,800
1,327 Camdem Property Trust ........................... 34,502
500 Canandaigua Brands, Inc. - Class A (a) .......... 28,906
900 Capital Automotive REIT ......................... 13,387
500 Capital City Bank Group, Inc. ................... 13,812
1,100 Capital Re Corp. ................................ 22,069
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
900 Capitol Transamerica Corp. ...................... $16,819
3,100 Capstead Mortgage Corp. ......................... 12,787
1,100 Caraustar Industries, Inc. ...................... 31,419
400 Carbide Graphite Group (a) ...................... 5,900
400 Carbo Ceramics, Inc. ............................ 7,000
600 CareMatrix Corp. (a) ............................ 18,375
800 Caribiner International, Inc. (a) ............... 7,300
500 Carmike Cinemas, Inc. - Class A (a) ............. 10,094
1,100 Carolina First Corp. ............................ 27,844
700 Carpenter Technology Corp. ...................... 23,756
1,100 Carter-Wallace, Inc. ............................ 21,587
2,200 Casey's General Stores, Inc. .................... 28,669
1,000 Cash America International Inc. ................. 15,187
410 Castle & Cooke, Inc. (a) ........................ 6,047
300 Castle (A.M.) & Co. ............................. 4,500
600 Catalina Marketing Corp. (a) .................... 41,025
1,900 Catalytica, Inc. (a) ............................ 34,200
300 Cathay Bancorp, Inc. ............................ 12,300
500 CB Richard Ellis Services, Inc. (a) ............. 9,062
1,500 CBL & Associates Properties, Inc. ............... 38,719
1,000 CCA Prison Realty Trust ......................... 20,500
1,400 CCC Information Services Group (a) .............. 24,150
1,500 C-Cube Microsytems, Inc. (a) .................... 40,687
500 CD Radio, Inc. (a) .............................. 17,125
600 CDI Corp. (a) ................................... 12,112
800 CDnow, Inc. (a) ................................. 14,400
200 CDW Computer Centers, Inc. (a) .................. 19,187
800 CEC Entertainment, Inc. (a) ..................... 22,200
1,300 CellNet Data Systems, Inc. (a) .................. 6,500
900 CellStar Corp. (a) .............................. 6,131
500 Cellular Communications International,
Inc. (a) ........................................ 34,000
500 Cellular Communications of Puerto Rico (a) ...... 9,250
800 Centennial Cellular Corp. - Class A (a) ......... 32,800
900 Centennial HealthCare Corp. (a) ................. 13,950
800 CenterPoint Properties Corp. .................... 27,050
500 Centex Construction Products, Inc. .............. 20,312
1,200 Central Garden & Pet Co. (a) .................... 17,250
800 Central Hudson Gas & Electric Corp. ............. 35,800
450 Central Parking Corp. ........................... 14,597
900 Century Aluminum Company ........................ 8,494
1,900 Century Business Services, Inc. (a) ............. 27,312
1,200 Century Communication Corp. - Class A (a)........ 38,062
400 Century South Banks, Inc. ....................... 11,150
1,200 Cephalon, Inc. (a) .............................. 10,800
1,300 Cerner Corp. (a) ................................ 34,775
800 CFSB Bancorp, Inc. .............................. 19,500
700 CFW Communications Co. .......................... 16,362
1,800 Champion Enterprises, Inc. (a) .................. 49,275
4,900 Charming Shoppes, Inc. (a) ...................... 21,131
450 Chart Industries, Inc. .......................... 3,431
1,100 Chase Industries, Inc. (a) ...................... 11,481
1,100 Chateau Communities, Inc. ....................... 32,244
500 Chattem, Inc. (a) ............................... 23,937
1,700 Checkfree Corp. (a) ............................. 39,737
</TABLE>
See Notes to Financial Statements
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,200 Checkpoint Systems, Inc. (a) ................... $14,850
700 Chelsea GCA Realty, Inc. ....................... 24,937
600 Chemed Corp. ................................... 20,100
900 ChemFirst, Inc. ................................ 17,775
631 Chemical Financial Corp. ....................... 21,454
900 Chesapeake Corp. ............................... 33,187
2,420 Chesapeake Energy Corp. ........................ 2,117
500 Chicago Title Corp. ............................ 23,469
1,000 Chiquita Brands International, Inc. ............ 9,562
700 ChiRex, Inc. (a) ............................... 14,962
875 Chittenden Corp. ............................... 28,000
1,600 Choice Hotels Corp., Inc. (a) .................. 21,900
700 ChoicePoint, Inc. (a) .......................... 45,150
1,200 CHS Electronics, Inc. (a) ...................... 20,325
900 Church & Dwight Co., Inc. ...................... 32,344
200 Churchill Downs, Inc. .......................... 6,575
600 CILCORP, Inc. .................................. 36,712
600 Circle International Group, Inc. ............... 12,300
2,800 Cirrus Logic, Inc.. (a) ........................ 27,475
200 Citation Corp. (a) ............................. 2,525
1,050 Citizens Banking Corp. ......................... 35,437
1,700 Claire's Stores, Inc. .......................... 34,850
1,050 Clarcor, Inc. .................................. 21,000
700 Clarify, Inc. (a) .............................. 17,106
1,300 Cleco Corporation .............................. 44,606
500 Cleveland-Cliffs, Inc. ......................... 20,156
200 Closure Medical Corp. (a) ...................... 5,962
1,100 CMAC Investment Corp. .......................... 50,531
700 CMG Information Services, Inc. (a) ............. 74,550
1,600 CMP Group, Inc. ................................ 30,200
900 CNA Surety Corp. ............................... 14,175
1,440 CNB Bancshares, Inc. ........................... 67,140
1,200 Coach USA, Inc. (a) ............................ 41,625
800 Coachmen Industries, Inc. ...................... 21,000
300 Coast Federal Litigation Contingent Payment
Rights Trust (a) ............................... 1,987
100 Coca Cola Bottling Consolidated ................ 5,750
1,500 Cognex Corp. (a) ............................... 30,000
600 Coherent, Inc. (a) ............................. 7,462
300 Cohu, Inc. ..................................... 6,600
1,000 Coin Machine Laundry Corp. (a) ................. 13,000
400 Coldwater Creek, Inc. (a) ...................... 5,500
500 Cole National Corp. - Class A (a) .............. 8,562
2,700 Collins & Aikman Corp. (a) ..................... 13,837
1,600 Colonial Properties Trust ...................... 42,600
700 Columbia Laboratories, Inc. (a) ................ 2,144
800 Columbus McKinnon Corp. ........................ 14,400
400 Com21, Inc. (a) ................................ 8,400
1,400 Comfort Systems USA, Inc. (a) .................. 25,025
712 Commerce Bancorp, Inc. ......................... 37,380
800 Commerce Group Inc. ............................ 28,350
2,587 Commercial Federal Corp. ....................... 59,986
300 Commercial Intertech Corp. ..................... 3,862
700 Commercial Metals Co. .......................... 19,425
1,700 Commercial Net Lease Realty .................... 22,525
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,000 CommNet Cellular, Inc. (a) ..................... $12,250
900 Commonwealth Bancorp, Inc. ..................... 14,006
1,000 Commonwealth Energy System ..................... 40,500
1,200 Commonwealth Industries, Inc. .................. 11,250
433 Commonwealth Telephone Enterprises,
Inc. (a) ....................................... 14,506
1,700 Commscope, Inc. (a) ............................ 28,581
200 Community Bank Systems ......................... 5,862
1,800 Community First Bankshares, Inc. ............... 37,912
200 Community Trust Bancorp, Inc. .................. 4,700
500 Complete Business Solutions, Inc. (a) .......... 16,937
500 CompuCom Systems, Inc. (a) ..................... 1,750
1,300 Computer Horizons Corp. (a) .................... 34,612
600 Computer Learning Centers, Inc. (a) ............ 4,012
400 Computer Management Sciences (a) ............... 6,950
800 Computer Task Group, Inc. ...................... 21,700
2,500 Comstock Resources, Inc. (a) ................... 7,656
1,100 Concentra Managed Care, Inc. (a) ............... 11,756
700 Concentric Network Corp. (a) ................... 23,275
700 Concord Communications, Inc. (a) ............... 39,725
400 CONMED Corp. (a) ............................... 13,200
100 Connecticut Energy Corp. ....................... 3,050
800 Conning Corp. .................................. 16,600
200 Consolidated Cigar Holdings, Inc. (a) .......... 3,537
600 Consolidated Freightways Co. (a) ............... 9,525
500 Consolidated Graphics, Inc. (a) ................ 33,781
750 Consolidated Products, Inc. (a) ................ 15,469
1,000 ContiFinancial Corp. (a) ....................... 7,125
400 Cooper Companies, Inc. (a) ..................... 8,275
1,500 Coors (Adolph) Co. - Class B ................... 84,656
200 Copart, Inc. (a) ............................... 6,475
1,400 COR Therapeutics, Inc. (a) ..................... 18,550
500 CoreComm, Inc. (a) ............................. 7,875
1,800 Corn Products International, Inc. .............. 54,675
700 Cornerstone Realty Income Trust, Inc. .......... 7,350
3,700 Corporate Express, Inc. (a) .................... 19,194
600 Cort Business Services Corp. (a) ............... 14,550
400 Corus Bankshares, Inc. ......................... 12,900
500 Cotellingent Group, Inc. (a) ................... 10,656
500 Coulter Pharmaceutical, Inc. (a) ............... 15,000
1,300 Cousins Properties, Inc. ....................... 41,925
2,800 Covance, Inc. (a) .............................. 81,550
2,600 Coventry Health Care, Inc. (a) ................. 22,912
400 Cox Radio Inc. - Class A (a) ................... 16,900
120 CPI Corp. ...................................... 3,180
2,000 Crawford & Co. - Class B ....................... 30,875
900 Credence Systems Corp. (a) ..................... 16,650
1,000 Credit Acceptance Corp. (a) .................... 7,312
1,400 Crescent Operating, Inc. (a) ................... 6,650
2,100 CRIIMI MAE, Inc. ............................... 7,350
1,800 Cross Timbers Oil Co. .......................... 13,612
1,000 CSG Systems International, Inc. (a) ............ 79,000
600 CSK Auto Corp. (a) ............................. 16,012
500 CTS Corp. ...................................... 21,750
100 Cubic Corp. .................................... 1,875
</TABLE>
See Notes to Financial Statements
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,200 Cullen/Frost Bankers, Inc. ......................... $65,850
1,000 Culp, Inc. ......................................... 7,875
700 Cuno, Inc. (a) ..................................... 11,375
600 Curative Health Services, Inc. (a) ................. 20,100
200 Curtiss-Wright Corp. ............................... 7,625
330 CVB Financial Corp. ................................ 7,425
1,600 Cylink Corp. (a) ................................... 5,800
1,100 Cymer, Inc. (a) .................................... 16,087
3,600 Cypress Semiconductor (a) .......................... 29,925
600 Cytyc Corp. (a) .................................... 15,450
1,200 D.R. Horton, Inc. .................................. 27,600
500 Dain Rausher Corp. ................................. 14,750
1,000 Dallas Semiconductor Corp .......................... 40,750
1,400 Dal-Tile International, Inc. (a) ................... 14,525
1,000 Dames & Moore, Inc. ................................ 12,875
600 Dan River, Inc. - Class A (a) ...................... 7,050
300 Daniel Industries .................................. 3,637
2,100 Data General Corp. (a) ............................. 34,519
300 Data Processing Resources (a) ...................... 8,775
200 Data Transmission Network Corp. (a) ................ 5,775
600 Datascope Corp. (a) ................................ 13,800
600 Datastream Systems, Inc. (a) ....................... 6,900
500 Dataworks Corporation (a) .......................... 5,219
600 Day Runner, Inc. (a) ............................... 8,700
400 DBT Online (a) ..................................... 9,975
900 DecisionOne Holdings Corp. (a) ..................... 4,275
300 Del Webb Corp. ..................................... 8,269
500 Delias*s, Inc. (a) ................................. 6,250
516 Delphi Financial Group, Inc. - Class A ............. 27,057
1,000 Delta Financial Corp. (a) .......................... 5,875
200 Deltek Systems, Inc. (a) ........................... 3,375
600 Deltic Timber Corp. ................................ 12,225
800 Dendrite International, Inc. (a) ................... 19,975
900 Department 56, Inc. (a) ............................ 33,806
300 Detroit Diesel Corp. (a) ........................... 6,206
1,600 Developers Diversified Realty Corp. ................ 28,400
800 Devon Energy Corp. ................................. 24,550
2,300 DeVRY, Inc. (a) .................................... 70,437
1,000 Dexter Corp. ....................................... 31,437
700 Diagnostic Products Corp. .......................... 21,788
200 Dialogic Corp. (a) ................................. 3,931
2,000 Diamond Multimedia Systems, Inc. (a) ............... 12,750
500 Diamond Technology Partners, Inc. (a) .............. 9,562
1,900 Digital Microwave Corp. (a) ........................ 13,002
1,000 DII Group, Inc.. (a) ............................... 23,312
400 Dime Community Bancorp, Inc. ....................... 8,250
2,100 DIMON, Inc. ........................................ 15,094
1,100 Dionex Corp. (a) ................................... 40,287
700 Discount Auto Parts, Inc. (a) ...................... 15,356
500 Documentum, Inc. (a) ............................... 26,719
1,300 Dollar Thrifty Automotive Group, Inc. (a) .......... 16,737
1,900 Donaldson Co., Inc. ................................ 39,425
600 Donna Karan International, Inc. (a)................. 4,537
1,400 Doral Financial Corp. .............................. 30,975
400 Double Click, Inc. (a) ............................. 18,225
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
400 Dover Downs Entertainment .......................... $ 4,825
910 Downey Financial Corp. ............................. 22,977
1,200 Dress Barn, Inc. (a) ............................... 18,225
500 Dreyer's Grand Ice Cream, Inc. ..................... 7,562
1,700 DSP Communications, Inc. (a) ....................... 26,031
500 DT Industries, Inc. ................................ 7,875
600 Duane Reade, Inc. (a) .............................. 23,100
750 Ducommun, Inc. (a) ................................. 10,359
1,600 Dura Pharmaceuticals, Inc. (a) ..................... 24,300
500 DVI, Inc. (a) ...................................... 9,062
600 Dycom Industries, Inc. (a) ......................... 34,275
1,900 Dynex Capital, Inc. ................................ 8,787
1,600 E Trade Group, Inc. (a) ............................ 74,850
2,100 e. spire Communications, Inc. (a) .................. 13,387
600 E.W. Blanch Holdings, Inc. ......................... 28,462
1,200 Eagle Hardware & Garden, Inc. (a) .................. 39,000
100 Eagle USA Airfreight, Inc. (a) ..................... 2,450
1,900 Earthgrains Co. .................................... 58,781
600 Earthlink Network, Inc. (a) ........................ 34,200
1,600 EarthShell Corp. (a) ............................... 19,100
1,300 Eastern Enterprises ................................ 56,875
1,100 Easterns Utilities Associates ...................... 31,075
300 EastGroup Properties, Inc. ......................... 5,531
1,100 Easton Environmental Services, Inc. (a) ............ 32,587
1,400 Eaton Vance Corp. .................................. 29,225
400 EchoStar Communications - Class A (a) .............. 19,350
400 Education Management Corp. (a) ..................... 9,450
800 EduTrek International, Inc. - Class A (a) .......... 4,600
2,033 EEX Corp. (a) ...................................... 14,231
2,800 El Paso Electric Co. (a) ........................... 24,500
800 Elcor Corp. ........................................ 25,850
500 Elder-Beerman Stores Corp. (a) ..................... 5,781
1,000 Electric Lightwave, Inc. - Class A (a) ............. 8,187
1,200 Electro Rent Corp. (a) ............................. 19,350
300 Electro Scientific Industries, Inc. (a) ............ 13,594
800 Electroglas, Inc. (a) .............................. 9,400
2,300 Electronics For Imaging (a) ........................ 92,431
500 Emmis Broadcasting Corp. - Class A (a) ............. 21,687
400 Empire District Electric Co. ....................... 9,900
250 Encore Wire Corp. (a) .............................. 2,312
500 Energen Corp. ...................................... 9,750
900 Enesco Group, Inc. ................................. 20,925
200 Engineering Animation, Inc. (a) .................... 10,800
700 Enhance Financial Services Group, Inc. ............. 21,000
900 Envoy Corp. (a) .................................... 52,425
525 Enzo Biochem, Inc. (a) ............................. 5,414
1,900 Equitable Resources, Inc. .......................... 55,337
900 Equity Corporation International (a) ............... 23,906
2,000 Equity Inns, Inc. .................................. 19,250
226 Essex International, Inc. (a) ...................... 7,825
400 Essex Property Trust, Inc. ......................... 11,900
700 Esterline Technologies Corp. (a) ................... 15,225
900 Etec Systems, Inc. (a) ............................. 36,000
1,500 Ethyl Corp. ........................................ 8,719
200 E'Town Corp. ....................................... 9,475
</TABLE>
See Notes to Financial Statements
9
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
600 Everen Capital Corp. .................................. $13,650
200 Excel Industries ...................................... 3,500
1,100 Excite, Inc. (a) ...................................... 46,269
400 Executive Risk, Inc. .................................. 21,975
500 Exide Corp. ........................................... 8,125
500 Exodus Communication, Inc. (a) ........................ 32,125
800 Expeditors International of Washington, Inc. .......... 33,600
1,500 Express Scripts Inc. - Class A (a) .................... 100,687
3,100 Extended Stay America, Inc. (a) ....................... 32,550
220 F&M Bancorporation, Inc. .............................. 6,655
1,100 F&M National Corp. .................................... 32,931
815 F.N.B. Corp., Pennsylvania ............................ 23,024
700 F.Y.I., Inc. (a) ...................................... 22,400
200 FactSet Research Systems, Inc. (a) .................... 12,350
400 Fair Isaac & Co., Inc. ................................ 18,475
1,900 Fairfield Communities, Inc. (a) ....................... 21,019
850 Family Golf Centers, Inc. (a) ......................... 16,787
200 Farmers Capital Bank Corp. ............................ 7,500
1,500 FBL Financial Group, Inc. - Class A ................... 36,375
2,600 Fedders Corp. ......................................... 15,112
100 Federal Agriculture Mortgage Corp. -
Class C (a) ........................................... 3,712
2,100 Federal Realty Investment Trust ....................... 49,612
2,300 Federal Signal Corp. .................................. 62,962
2,111 Felcor Lodging Trust, Inc. ............................ 48,685
1,850 Ferro Corp. ........................................... 48,100
1,201 Fidelity National Financial, Inc. ..................... 36,631
1,200 FileNet Corp. (a) ..................................... 13,762
600 Financial Federal Corp. (a) ........................... 14,850
1,800 Fingerhut Companies, Inc. ............................. 27,787
600 Finish Line, Inc. - Class A (a) ....................... 4,800
700 Finlay Enterprises, Inc. (a) .......................... 7,087
2,000 First American Financial Corp. ........................ 64,250
1,100 First Bancorp/Puerto Rico ............................. 33,206
1,800 First Brands Corp. .................................... 70,987
600 First Charter Corp. ................................... 10,350
400 First Citizens BancShares, Inc. - Class A ............. 36,000
600 First Commerce Bancshares ............................. 16,800
1,000 First Commonwealth Financial Corp. .................... 24,500
500 First Consulting Group, Inc. (a) ...................... 10,250
1,496 First Financial Bancorp ............................... 43,291
550 First Financial Bankshares, Inc. ...................... 19,250
505 First Financial Corp., Indiana ........................ 24,934
1,300 First Financial Holdings .............................. 24,700
2,100 First Industrial Realty Trust, Inc. ................... 56,306
600 First Merchants Corp. ................................. 15,675
1,183 First Midwest Bancorp, Inc. ........................... 45,027
500 First Republic Bank (a) ............................... 12,531
1,282 First Sentinel Bancorp, Inc. .......................... 10,416
400 First Sierra Financial, Inc. (a) ...................... 4,900
710 First Source Corp. .................................... 23,785
300 First Union Real Estate Investments ................... 1,762
1,000 First United Bancshares, Inc. ......................... 17,750
800 First Western Bancorp, Inc. ........................... 25,400
700 FirstCity Financial Corp. (a) ......................... 9,056
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,200 FirstFed Financial Corp. .............................. $21,450
1,800 Fisher Scientific International (a) ................... 35,887
200 Flagstar Bancorp, Inc. ................................ 5,225
900 Fleming Companies, Inc. ............................... 9,337
500 Florida East Coast Industries, Inc. ................... 17,594
900 Florida Panthers Holdings, Inc. (a) ................... 8,381
600 Florida Rock Industries, Inc. ......................... 18,600
1,700 Flowserve Corp. ....................................... 28,156
1,800 Foodmaker, Inc. (a) ................................... 39,600
1,300 Footstar, Inc. (a) .................................... 32,500
2,100 Forcenergy, Inc. (a) .................................. 5,512
400 Foremost Corp. of America ............................. 8,400
600 Forest City Enterprises, Inc. - Class A ............... 15,750
1,700 Forest Oil Corp. (a)................................... 14,450
200 Forrester Research, Inc. (a) .......................... 8,750
650 Fossil, Inc. (a) ...................................... 18,687
1,800 Foster Wheeler Corp. .................................. 23,737
200 FPIC Insurance Group, Inc. (a) ........................ 9,562
1,500 Franchise Finance Corp. of America .................... 36,000
1,000 Franchise Mortgage (a) ................................ 7,750
600 Franklin Covey Co. (a) ................................ 10,050
300 Franklin Electric Co., Inc. ........................... 20,250
800 Freds, Inc. Class A ................................... 12,000
1,100 French Fragrances, Inc. (a) ........................... 7,975
900 Friede Goldman International, Inc. (a) ................ 10,237
1,000 Friedman, Billings Ramsey Group, Inc. (a) ............. 6,500
400 Friedman's, Inc. - Class A (a) ........................ 4,100
1,500 Fritz Cos, Inc. (a) ................................... 16,219
300 Frontier Financial Corp. (a) .......................... 13,725
1,510 Frontier Insurance Group, Inc. ........................ 19,441
500 FSI International, Inc. (a) ........................... 5,187
900 Fuisz Technologies Ltd. (a) ........................... 11,587
600 Fuller (H.B.) Co. ..................................... 28,875
300 Fund American Enterprise Holdings ..................... 42,019
300 Furon Co. ............................................. 5,119
1,000 G&K Services, Inc. - Class A .......................... 53,250
1,600 Gables Residential Trust .............................. 37,100
900 Gadzooks, Inc. (a) .................................... 6,975
300 Galey & Lord, Inc. (a) ................................ 2,587
900 Gallagher (Arthur J.) & Co. ........................... 39,712
1,000 Garden Ridge Corp. (a) ................................ 9,062
950 Gardner Denver Machinery, Inc. (a) .................... 14,012
1,900 Gaylord Container Corp. - Class A (a) ................. 11,637
1,000 Gaylord Entertainment, Inc. ........................... 30,125
900 GBC Bancorp ........................................... 23,175
100 GC Companies (a) ...................................... 4,162
400 GelTex Pharmaceuticals, Inc. (a) ...................... 9,050
1,600 GenCorp., Inc. ........................................ 39,900
200 General Binding Corp. ................................. 7,450
1,850 General Cable Corp. ................................... 37,925
400 General Chemical Group, Inc. .......................... 5,550
800 General Cigar Holdings, Inc. (a) ...................... 6,950
1,900 General Communication - Class A (a) ................... 7,719
1,100 General Growth Properties ............................. 41,662
1,500 General Magic, Inc. (a) ............................... 7,547
</TABLE>
See Notes to Financial Statements
10
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
2,100 Genesco, Inc. (a) ................................. $ 11,944
1,200 Genesis Direct, Inc. (a) .......................... 9,375
1,500 Genesis Health Ventures, Inc. (a) ................. 13,125
400 Genesys Telecommunications Laboratories,
Inc. (a) .......................................... 8,900
420 Genovese Drugs Stores - Class A ................... 11,970
900 GenRad, Inc. (a) .................................. 14,175
3,200 Gensia Sicor, Inc. (a) ............................ 14,500
3,100 Gentex Corp. (a) .................................. 62,000
1,000 Geon Co. .......................................... 23,000
1,400 Georgia Gulf Corp. ................................ 22,487
800 GeoTel Communications Inc. (a) .................... 29,800
900 Gerber Scientific, Inc. ........................... 21,431
1,500 Getchell Gold Corp. (a) ........................... 40,875
800 Getty Images, Inc. (a) ............................ 13,750
200 Getty Realty Corp. ................................ 2,925
600 Gibraltar Steel Corp. (a) ......................... 13,650
700 Gibson Greetings, Inc. (a) ........................ 8,312
1,400 Gilead Sciences, Inc. (a) ......................... 57,487
1,200 Glatefelter (P.H.) Co. ............................ 14,850
200 Gleason Corp. ..................................... 3,625
2,600 Glenayre Technologies, Inc. (a) ................... 11,537
1,100 Glenborough Realty Trust, Inc. .................... 22,413
1,900 Glimcher Realty Trust ............................. 29,806
400 Global DirectMail Products, Inc. (a) .............. 9,350
1,000 Global Industrial Technologies, Inc. (a) .......... 10,687
600 Goody's Family Clothing, Inc. (a) ................. 6,019
800 Graco, Inc. ....................................... 23,600
2,100 Grand Casinos, Inc. (a) ........................... 16,931
900 Granite Construction, Inc. ........................ 30,206
450 Gray Communications System, Inc. .................. 8,241
1,100 Great Atlantic & Pacific Tea Co. .................. 32,587
1,100 Great Lakes REIT, Inc. ............................ 17,256
400 Great Plains Software, Inc. (a) ................... 19,300
500 Greenbrier Companies, Inc. ........................ 7,062
3,000 Grey Wolf, Inc. (a) ............................... 2,437
2,300 Greyhound Lines, Inc. (a) ......................... 13,656
700 Grief Bros Corp. - Class A ........................ 20,431
1,800 Griffon Corp. (a) ................................. 19,125
1,300 Group Maintenance, Inc. (a) ....................... 15,762
600 Grubb & Ellis Co. (a) ............................. 4,837
500 GT Interactive Software Corp. (a) ................. 2,500
1,800 GTech Holding Corp. (a) ........................... 46,125
400 Guarantee Life Companies, Inc. .................... 7,400
1,300 Guess, Inc. (a) ................................... 6,256
1,100 Guilford Mills, Inc. .............................. 18,356
600 Guilford Pharmaceuticals, Inc. (a) ................ 8,550
500 Guitar Center, Inc. (a) ........................... 12,312
400 GulfMark Offshore, Inc. (a) ....................... 6,300
500 Gymboree Corp. (a) ................................ 3,187
100 H.T.E., Inc. (a) .................................. 500
500 Hadco Corp. (a) ................................... 17,500
1,000 Haemonetics Corp. (a) ............................. 22,750
1,200 HA-LO Industries (a) .............................. 45,150
1,100 Halter Marine Group, Inc. (a) ..................... 5,362
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
500 Hambrecht & Quist Group, Inc. (a) ................. $ 11,344
100 Hamilton Bancorp, Inc. (a) ........................ 2,669
500 Hancock Fabrics, Inc. ............................. 4,187
500 Hancock Holding Co. ............................... 22,750
1,300 Handleman Co. (a) ................................. 18,281
700 Hanger Orthopedic Group, Inc. (a) ................. 15,750
2,500 Hanna (M.A.) Co. .................................. 30,781
1,400 Hanover Compressor Co. (a) ........................ 35,962
3,100 Hanover Direct, Inc. (a) .......................... 10,656
900 Harbinger Corp. (a) ............................... 7,200
1,001 Harbor Florida Bancorp, Inc. ...................... 11,199
5,600 Harken Energy Corp. (a) ........................... 10,850
1,700 Harland (John H.) Co. ............................. 26,456
800 Harleysville Group, Inc. .......................... 20,650
200 Harleysville National Corp. ....................... 7,800
1,000 Harman International Industries, Inc. ............. 38,125
1,900 Hartmarx Corp. (a) ................................ 10,687
1,200 Hawaiian Electric Industries ...................... 48,300
1,000 Hayes Lemmerz International, Inc. (a) ............. 30,187
2,100 HCC Insurance Holdings, Inc. ...................... 36,094
1,100 Headlands Mortgage Co. (a) ........................ 23,031
1,500 Health Care Property Investors, Inc. .............. 46,125
1,600 Health Care REIT, Inc. ............................ 41,400
600 Healthcare Financial Partners, Inc. (a) ........... 21,900
2,236 Healthcare Realty Trust, Inc. ..................... 49,891
900 HealthPlan Services Corp. ......................... 10,237
1,100 Heartland Express, Inc. (a) ....................... 19,250
2,400 Hecla Mining Co. (a) .............................. 8,700
3,400 Heilig-Meyers Co. ................................. 22,737
400 Helix Technology Corp. ............................ 5,200
2,100 Helmerich & Payne, Inc. ........................... 40,687
600 Henry (Jack) & Associates ......................... 29,850
1,100 Henry Schein, Inc. (a) ............................ 49,225
966 Herbalife International, Inc. - Class A ........... 13,766
600 Hexcel Corp. (a) .................................. 5,025
1,000 Highlands Insurance Group, Inc. (a) ............... 13,062
1,400 HMT Technology Corp. (a) .......................... 17,937
800 HNC Software, Inc. (a) ............................ 32,350
2,000 Hollingher International .......................... 27,875
1,100 Hollywood Entertainment Corp. (a) ................. 29,975
400 Hollywood Park, Inc. (a) .......................... 3,325
300 Hologic, Inc. (a) ................................. 3,637
300 Holophane Corp. (a) ............................... 7,706
700 Home Properties of New York, Inc. ................. 18,025
1,600 HomeBase, Inc. (a) ................................ 10,200
1,000 Homestead Village, Inc. (a) ....................... 4,500
300 Hooper Holmes, Inc. ............................... 8,700
100 Horizon Bancorp, Inc. ............................. 3,287
1,400 Horizon Offshore, Inc. (a) ........................ 7,700
1,700 Hospitality Properties Trust ...................... 41,012
700 Host Marriot Services Corp. (a) ................... 7,262
900 Houghton Mifflin Co. .............................. 42,525
500 Houston Exploration Co. (a) ....................... 9,937
300 HS Resources, Inc. (a) ............................ 2,231
900 HSB Group, Inc. ................................... 36,956
</TABLE>
See Notes to Financial Statements
11
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,321 HUBCO, Inc. ........................................... $39,795
1,200 Hughes Supply, Inc. ................................... 35,100
1,000 Human Genome Sciences, Inc. (a) ....................... 35,562
1,000 Hunt (J.B.) Transport Services, Inc. .................. 23,000
600 Hunt Corp. ............................................ 6,375
2,300 Hussman International, Inc. ........................... 44,562
900 Hutchinson Technology (a) ............................. 32,062
1,000 Hvide Marine, Inc. - Class A (a) ...................... 5,000
800 Hypercom Corp. (a) .................................... 7,900
1,080 Hyperion Solutions Corp. (a) .......................... 19,440
1,700 ICG Communications, Inc. (a) .......................... 36,550
1,400 ICOS Corp. (a) ........................................ 41,650
1,700 Idacorp, Inc. ......................................... 61,519
700 IDEC Pharmaceuticals Corp. (a) ........................ 32,900
1,000 IDEX Corp. ............................................ 24,500
1,500 IDEXX Laboratories Inc. (a) ........................... 40,359
700 IDT Corp. (a) ......................................... 10,762
400 IDX Systems Corp. (a) ................................. 17,600
300 IGEN International, Inc. (a) .......................... 9,187
200 IHOP Corp. (a) ........................................ 7,987
2,100 Imation Corp. (a) ..................................... 36,750
1,300 IMC Mortgage Co. (a) .................................. 366
300 IMCO Recycling, Inc. .................................. 4,631
800 Immune Response Corp. (a) ............................. 8,700
1,200 Impac Mortgage Holdings, Inc. ......................... 5,475
1,600 Imperial Bancorp (a) .................................. 26,600
1,400 Imperial Credit Commercial Mortgage
Investment Corp. ...................................... 13,125
1,300 Imperial Credit Industries, Inc. (a) .................. 10,887
600 IMRglobal Corp. (a) ................................... 17,662
600 InaCom Corp. (a) ...................................... 8,925
1,100 INCYTE Pharmaceuticals, Inc. (a) ...................... 41,112
1,100 Independence Bank Corp. ............................... 19,112
3,500 Independence Community Bank ........................... 55,781
1,333 Indiana Energy, Inc. .................................. 32,825
1,700 Indus International, Inc. (a) ......................... 11,900
600 Industri-Matematik International Corp. (a) ............ 3,000
1,400 Information Resources, Inc. (a) ....................... 14,262
6,100 Informix Corp. (a) .................................... 60,237
1,000 Infoseek Corp. (a) .................................... 49,375
1,300 infoUSA, Inc. - Class B (a) ........................... 6,825
300 Ingles Markets, Inc. - Class A ........................ 3,281
500 Inhale Therapeutic Systems (a) ........................ 16,500
1,644 Inland Steel Industries, Inc. ......................... 27,742
700 Innkeepers USA Trust .................................. 8,269
300 Innovex, Inc. ......................................... 4,116
2,400 Inprise Corp. (a) ..................................... 13,200
2,400 Input/Output, Inc.. (a) ............................... 17,550
850 Insight Entreprises, Inc. (a) ......................... 43,244
666 Insignia Financial Group, Inc. - Class A (a) .......... 8,075
1,000 Insituform Technologies - Class A (a) ................. 14,500
200 INSpire Insurance Solutions , Inc. (a) ................ 3,675
3,300 Integrated Device Technology, Inc. (a) ................ 20,212
500 Integrated Electrical Services, Inc. (a) .............. 11,125
500 Integrated Process Equipment Corp. (a) ................ 5,375
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
500 Integrated Systems, Inc. (a) .......................... $ 7,469
500 Intelligroup, Inc. (a) ................................ 8,937
2,600 InterDigital Communications Corp. (a) ................. 11,862
2,400 Interface, Inc. ....................................... 22,275
1,700 Intergraph Corp. (a) .................................. 9,775
1,100 Intermet Corp. ........................................ 14,369
500 International Bancshares Corp. ........................ 25,312
400 International Multifoods Corp. ........................ 10,325
900 International Network Services (a) .................... 59,850
2,600 International Rectifier Corp. (a) ..................... 25,350
1,000 International Speedway Corp. - Class A ................ 40,500
300 International Telecomm Data Systems,
Inc. (a) .............................................. 4,425
1,100 Interpool, Inc. ....................................... 18,425
800 Inter-Tel, Inc. ....................................... 18,700
1,100 Interwest Bancorp, Inc. ............................... 24,337
1,300 Invacare Corp. ........................................ 31,200
200 Investment Technology Group, Inc. (a) ................. 12,412
300 Investors Financial Services Corp. .................... 17,887
900 Ionics, Inc. (a) ...................................... 26,944
2,300 IRI International Corp. (a) ........................... 9,200
900 Iron Mountain, Inc. (a) ............................... 32,456
1,800 IRT Property Co. ...................................... 18,000
1,000 Irvine Apartment Communities, Inc. .................... 31,875
600 Irwin Financial Corp. ................................. 16,312
1,400 Isis Pharmaceuticals, Inc. (a) ........................ 18,112
1,900 ITC Deltacom, Inc. (a) ................................ 28,975
1,700 ITEQ, Inc. (a) ........................................ 3,612
1,600 Iterim Services (a) ................................... 37,400
1,000 Itron, Inc. (a) ....................................... 7,187
800 ITT Educational Services, Inc. (a) .................... 27,200
3,500 IVAX Corp. (a) ........................................ 43,531
800 Ivex Packaging Corp. (a) .............................. 18,600
1,300 IXC Communications, Inc. (a) .......................... 43,712
900 Jabil Circuit, Inc. (a) ............................... 67,163
1,100 Jacobs Engineering Group. Inc. (a) .................... 44,825
600 JDA Software Group, Inc. (a) .......................... 5,813
1,450 JDN Realty Corp. ...................................... 31,266
333 JeffBanks, Inc. ....................................... 6,577
600 Jefferies Group, Inc. ................................. 29,775
1,600 JLG Industries, Inc. .................................. 25,000
600 JLK Direct Distribution - Class A (a) ................. 6,113
400 Jo-Ann Stores, Inc. - Class A (a) ..................... 6,450
100 John Nuveen Co. - Class A ............................. 3,713
1,200 John Wiley & Sons, Inc. ............................... 57,975
700 Jones Intercable, Inc. (a) ............................ 24,938
1,000 Jones Pharma, Inc. .................................... 36,500
1,700 Jostens, Inc. ......................................... 44,519
600 Journal Register Co. (a) .............................. 9,000
200 JP Realty, Inc. ....................................... 3,925
400 JSB Financial, Inc. ................................... 21,750
900 Juno Lighting, Inc. ................................... 21,038
1,400 Just For Feet, Inc. (a) ............................... 24,325
400 Justin Industries, Inc. ............................... 5,250
800 K & G Men's Center, Inc. (a) .......................... 7,100
</TABLE>
See Notes to Financial Statements
12
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,100 K2, Inc. ............................................ $11,344
1,400 Kaiser Aluminum Corp. (a) ........................... 6,825
1,000 Kaman Corp. - Class A ............................... 16,063
200 Kansas City Life Insurance Co. ...................... 16,350
1,400 Kaufman & Broad Home Corp. .......................... 40,250
1,600 Kaydon Corp. ........................................ 64,100
2,500 KCS Energy, Inc. .................................... 7,656
2,700 Kelley Oil & Gas Corp. (a) .......................... 1,603
600 Kellstrom Industries, Inc. (a) ...................... 17,250
800 Kellwood Co. ........................................ 20,000
1,600 KEMET Corp. (a) ..................................... 18,000
300 Kenneth Cole Productions, Inc. (a) .................. 5,625
1,500 Kent Electronics Corp. (a) .......................... 19,125
2,000 Key Energy Group, Inc. (a) .......................... 9,375
1,600 Kilroy Realty Corp. ................................. 36,800
1,800 Kimball International Inc. - Class B ................ 34,200
1,036 Kirby Corp. (a) ..................................... 20,655
500 Knight Transportation, Inc. (a) ..................... 13,344
600 Knoll, Inc. (a) ..................................... 17,775
1,200 Koger Equity, Inc. .................................. 20,625
2,000 Komag, Inc. (a) ..................................... 20,750
300 Kopin Corp. (a) ..................................... 6,300
200 Kroll-O'Gara Company (a) ............................ 7,888
200 Kronos, Inc. (a) .................................... 8,863
800 Kuhlman Corp. ....................................... 30,300
900 Kulicke & Soffa Industries, Inc. (a) ................ 15,975
600 LabOne, Inc. ........................................ 7,800
900 Labor Ready, Inc. (a) ............................... 17,719
2,300 Laboratory Corporation of America
Holdings (a) ........................................ 3,163
900 Laclede Gas Co. ..................................... 24,075
1,400 Lam Research Corp. (a) .............................. 24,938
700 Lance, Inc. ......................................... 13,956
600 Landamerica Financial Group ......................... 33,488
100 Landauer, Inc. ...................................... 3,238
1,000 Landry's Seafood Restaurants, Inc. (a) .............. 7,500
600 Lands' End, Inc. (a) ................................ 16,163
600 Landstar System, Inc. (a) ........................... 24,450
800 LaSalle Hotel Properties ............................ 8,300
700 LaSalle Partner, Inc. (a) ........................... 20,606
1,000 LASER Mortgage Management, Inc. ..................... 5,438
500 Lason, Inc. (a) ..................................... 29,094
1,000 Lattice Semiconductor Corp. (a) ..................... 45,906
1,600 Lawter International, Inc. .......................... 18,600
2,500 La-Z-Boy Chair, Inc. ................................ 44,531
1 LCA-Vision, Inc. (a) ................................ 1
1,700 LCC International, Inc. - Class A ................... 6,375
200 Learning Tree International, Inc. (a) ............... 1,813
600 LeaRonal, Inc. ...................................... 20,325
1,500 Lee Enterprises. Inc. ............................... 46,500
1,500 Legato Systems, Inc. (a) ............................ 98,906
1,625 Level One Communications, Inc. (a) .................. 57,688
900 Libbey, Inc. ........................................ 26,044
575 Liberty Corp. ....................................... 28,247
200 Life Technologies, Inc. ............................. 7,775
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,000 Life USA Holding, Inc. .............................. $12,875
900 Lifecore Biomedical, Inc. (a) ....................... 9,225
1,400 Ligand Pharmaceuticals, Inc. - Class B (a) .......... 16,275
900 Lilly Industries, Inc. - Class A .................... 17,663
1,700 Lincoln Electric Co. ................................ 37,825
250 Lindsay Manufacturing Co. ........................... 3,703
1,500 Linens & Things, Inc. (a) ........................... 59,438
1,300 Liposome Company, Inc. (a) .......................... 20,069
500 Littelfuse, Inc. (a) ................................ 9,625
1,100 LNR Property Corp. .................................. 21,931
1,000 Local Financial Corp. (a) ........................... 9,000
400 Lo-Jack Corp. (a) ................................... 4,750
1,000 Lone Star Industries, Inc. .......................... 36,813
2,100 Lone Star Steakhouse & Saloon (a) ................... 19,294
800 Lone Star Technologies, Inc. (a) .................... 8,100
400 Long Beach Financial (a) ............................ 3,000
1,400 Longs Drug Stores, Inc. ............................. 52,500
2,900 Longview Fibre Co. .................................. 33,531
900 Louis Dreyfus Natural Gas Corp. (a) ................. 12,825
70 LTC Healthcare, Inc. (a) ............................ 184
700 LTC Properties, Inc. ................................ 11,638
4,600 LTV Corp. ........................................... 26,738
1,100 Luby's Cafeterias, Inc. ............................. 16,981
1,700 Lycos, Inc.. (a) .................................... 94,456
500 Lydall, Inc. (a) .................................... 5,938
800 M.D.C. Holdings, Inc. ............................... 17,100
200 M.S. Carriers, Inc. (a) ............................. 6,588
500 MacDermid, Inc. ..................................... 19,563
1,400 Macromedia, Inc. (a) ................................ 47,163
600 Madison Gas & Electric Co. .......................... 13,650
1,050 MAF Bancorp, Inc. ................................... 27,825
2,000 Magellan Health Services, Inc. (a) .................. 16,750
1,100 MagneTek, Inc. (a) .................................. 12,719
1,500 Mail Well, Inc. (a) ................................. 17,156
700 MainStreet Financial Corp. .......................... 32,506
400 Manhattan Associates, Inc. (a) ...................... 10,900
800 Manitowoc Co., Inc. ................................. 35,500
1,100 Manufactured Home Communities, Inc. ................. 27,569
800 Manugistics Group, Inc. (a) ......................... 10,000
700 MAPICS, Inc. (a) .................................... 11,550
1,450 Marcus Corp. ........................................ 23,563
2,400 Marine Drilling Companies, Inc. (a) ................. 18,450
2,923 Marine Post-Acute Network, (a) ...................... 13,336
1,800 Mark IV Industries, Inc. ............................ 23,400
200 Markel Corp. (a) .................................... 36,200
700 Marshall Industries (a) ............................. 17,150
1,200 Marvel Enterprises, Inc. (a) ........................ 7,425
500 Mas Tec, Inc. (a) ................................... 10,500
1,500 Masco Tech, Inc. .................................... 25,688
900 Mastech Corp. (a) ................................... 25,763
700 Matthews International Corp. - Class A .............. 22,050
200 Maverick Tube Corp. (a) ............................. 1,113
1,000 Maxim Group, Inc. (a) ............................... 24,000
400 MAXIMUS, Inc. (a) ................................... 14,800
200 MAXXAM, Inc. (a) .................................... 11,475
</TABLE>
See Notes to Financial Statements
13
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
300 Maxxim Medical, Inc. (a) ............................ $ 8,925
1,100 McClatchy Company, Inc. - Class A ................... 38,913
700 McGrath Rentcorp .................................... 15,400
700 McWhorter Technologies, Inc. (a) .................... 16,013
1,700 MDU Resources Group, Inc. ........................... 44,731
700 Meadowcraft, Inc. (a) ............................... 7,831
3,100 Medaphis Corp. (a) .................................. 10,172
1,200 Media General Inc. - Class A ........................ 63,600
1,122 Medical Assurance, Inc. (a) ......................... 37,096
200 Medical Manager Corp. (a) ........................... 6,275
800 Medicis Pharmaceutical Corp. - Class A (a) .......... 47,700
1,000 MedImmune, Inc. (a) ................................. 99,438
1,000 MedQuist, Inc. (a) .................................. 39,500
600 MemberWorks, Inc. (a) ............................... 17,700
1,100 Mentor Corp. ........................................ 25,781
2,700 Mentor Graphics Corp. (a) ........................... 22,950
500 Merchants New York Bancorp .......................... 18,094
700 Mercury Interactive Corp. (a) ....................... 44,275
1,400 Meridian Industrial Trust, Inc. ..................... 32,900
1,600 Meridian Resource Corp. (a) ......................... 5,100
1,832 Meristar Hospitality Corp. .......................... 34,007
700 Merrill Corp. ....................................... 13,519
95 Merry Land Properties, Inc. (a) ..................... 344
1,300 Mesa Air Group, Inc. (a) ............................ 10,156
2,700 Metal Management, Inc. (a) .......................... 9,450
1,000 Metals USA, Inc. (a) ................................ 9,750
1,400 Metamor Worldwide, Inc. (a) ......................... 35,000
1,600 Methode Electronics, Inc. - Class A ................. 25,000
745 Metris Companies, Inc. .............................. 37,483
400 Metro Networks, Inc (a) ............................. 17,050
2,200 Metrocall, Inc. (a) ................................. 9,625
1,200 Metromedia Fiber Network, Inc. -
Class A (a) ......................................... 40,200
1,400 Metromedia International Group, Inc. (a) ............ 7,613
1,900 Mettler-Toledo International, Inc. (a) .............. 53,319
550 Metzler Group, Inc. (a) ............................. 26,778
400 MGC Communications, Inc. (a) ........................ 2,800
300 MGI Properties, Inc. ................................ 8,381
600 Michael Foods, Inc. ................................. 18,000
800 Michaels Stores, Inc. (a) ........................... 14,475
500 Micrel, Inc. (a) .................................... 27,500
1,300 Micro Warehouse, Inc. (a) ........................... 43,956
800 MicroAge, Inc. (a) .................................. 12,300
2,300 Microchip Technology, Inc. (a) ...................... 85,100
200 Micromuse, Inc. (a) ................................. 3,900
1,500 Micron Electronics, Inc. (a) ........................ 25,969
600 MICROS Systems, Inc. (a) ............................ 19,725
1,700 Mid Atlantic Medical Services, Inc. (a) ............. 16,681
500 Mid-America Apartment Communities, Inc. ............. 11,344
500 Midas, Inc. ......................................... 15,563
1,659 Midway Games, Inc. (a) .............................. 18,249
650 Midwest Express Holdings (a) ........................ 17,103
2,000 Milacron, Inc. ...................................... 38,500
1,200 Millennium Pharmaceuticals, Inc. (a) ................ 31,050
1,600 Miller Industries, Inc. (a) ......................... 7,200
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
600 Mills Corp. ......................................... $11,925
700 MindSpring Enterprises, Inc. (a) .................... 42,744
100 Mine Safety Appliances Co. .......................... 7,100
600 Minerals Technologies, Inc. ......................... 24,563
400 Minimed, Inc. (a) ................................... 41,900
1,500 Minnesota Power, Inc. ............................... 66,000
100 Miravant Medical Technologies (a) ................... 1,288
600 Mississippi Chemical Corp. .......................... 8,400
1,100 Mitchell Energy & Development Corp. -
Class A ............................................. 12,581
1,100 MMC Network, Inc. (a) ............................... 14,575
300 MMI Companies, Inc. ................................. 5,025
400 Mobius Management Systems, Inc. (a) ................. 5,950
1,000 Modine Manufacturing Co. ............................ 36,250
300 Moog, Inc. - Class A (a) ............................ 11,738
1,250 Morgan Keegan, Inc. ................................. 23,438
1,600 Morrison Knudsen Corp. (a) .......................... 15,600
700 MotivePower Industries, Inc. (a) .................... 22,531
600 MRV Communications, Inc. (a) ........................ 3,713
1,000 MTI Tech Corp. (a) .................................. 4,500
900 MTS Systems Corp. ................................... 12,150
1,700 Mueller Industries, Inc. (a) ........................ 34,531
1,800 Musicland Stores Corp. (a) .......................... 26,888
900 Myers Industries, Inc. .............................. 25,763
840 N B T Bancorp, Inc. ................................. 19,635
1,000 N2K, Inc. (a) ....................................... 13,063
400 NAC Re Corp. ........................................ 18,775
300 NACCO Industries, Inc. - Class A .................... 27,600
800 National Bancorp of Alaska, Inc. .................... 27,000
400 National City Bancorporation (a) .................... 10,500
535 National City Bancshares, Inc. ...................... 19,962
1,200 National Computer Systems, Inc. ..................... 44,400
1,400 National Data Corp. ................................. 68,163
700 National Golf Properties, Inc. ...................... 20,256
1,100 National Health Investors, Inc. ..................... 27,156
550 National Instruments Corp. (a) ...................... 18,769
625 National Penn Bancshares, Inc. ...................... 17,031
400 National Presto Industries, Inc. .................... 17,050
1,300 National Processing, Inc. (a) ....................... 7,150
450 National R.V. Holdings, Inc. (a) .................... 11,588
900 National Steel Corp. - Class B ...................... 6,413
1,600 Nationwide Health Properties, Inc. .................. 34,500
1,200 Natural MicroSystems Corp. (a) ...................... 8,738
600 Natures Sunshine Products, Inc. ..................... 9,150
1,700 Nautica Enterprises, Inc. (a) ....................... 25,500
2,200 NBTY, Inc. (a) ...................................... 15,675
100 NCH Corp. ........................................... 5,950
700 NCI Building Systems, Inc. (a) ...................... 19,688
250 NCO Group, Inc. (a) ................................. 11,250
800 NCS Healthcare Inc. - Class A (a) ................... 19,000
600 NeoMagic Corp. (a) .................................. 13,275
2,400 Network Appliance, Inc. (a) ......................... 108,000
400 Network Equipment Technologies, Inc. (a) ............ 4,125
200 Network Solutions, Inc. - Class A (a) ............... 26,175
200 Neurogen Corp. (a) .................................. 3,500
</TABLE>
See Notes to Financial Statements
14
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
2,700 Nevada Power Co. ................................... $70,200
600 New England Business Service, Inc. ................. 23,475
700 New Era of Networks, Inc. .......................... 30,800
1,000 New Jersey Resources Corp. ......................... 39,500
3,100 New Plan Reality Trust ............................. 68,781
1,600 Newfield Exploration Co. (a) ....................... 33,400
2,800 Newpark Resources, Inc. (a) ........................ 19,075
1,500 Newport News Shipbuilding, Inc. .................... 50,156
800 NeXstar Pharmaceuticals, Inc. (a) .................. 7,400
1,350 NFO Worldwide, Inc. (a) ............................ 15,525
500 Nichols Research Corp. (a) ......................... 10,438
1,000 Nine West Group, Inc. (a) .......................... 15,563
900 NL Industries, Inc. ................................ 12,769
600 Nordson Corp. ...................................... 30,825
700 Norrel Corp. ....................................... 10,325
500 Nortek, Inc. (a) ................................... 13,813
650 North Carolina Natural Gas Corp. ................... 21,572
800 North Face, Inc. (a) ............................... 10,400
400 North Pittsburgh Systems, Inc. ..................... 5,350
300 Northwest Bancorp, Inc. ............................ 2,925
1,100 Northwest Natural Gas Co. .......................... 28,463
800 Northwestern Public Service Co. .................... 21,150
2,743 Nova Corp., Georgia (a) ............................ 95,148
1,200 Novacare Employee Services, Inc. (a) ............... 6,450
2,400 NovaCare, Inc. (a) ................................. 6,000
1,500 Novellus Systems, Inc. (a) ......................... 74,250
2,000 NS Group, Inc. (a) ................................. 8,875
1,700 NTL, Inc. (a) ...................................... 95,944
700 Nuevo Energy Co. (a) ............................... 8,050
200 NUI Corp. .......................................... 5,363
300 NVR, Inc. (a) ...................................... 14,306
700 NYMAGIC, Inc. ...................................... 14,525
800 Oak Industries, Inc. (a) ........................... 28,000
1,900 Oak Technology, Inc. (a) ........................... 6,650
1,400 Oakley, Inc. (a) ................................... 13,300
1,500 Oakwood Homes Corp. ................................ 22,781
900 Objective Systems Integrators (a) .................. 4,163
900 Ocean Financial Corp. .............................. 14,963
900 Oceaneering International, Inc. (a) ................ 12,600
2,000 Ocwen Asset Investment Corp. ....................... 9,625
700 OEA, Inc. .......................................... 8,269
800 OEC Medical Systems, Inc. (a) ...................... 25,150
900 Offshore Logistics, Inc. (a) ....................... 10,688
1,415 Old National Bancorp ............................... 78,886
3,100 Olsten Corp. ....................................... 22,863
700 OM Group, Inc. ..................................... 25,550
600 Omega Financial Corp. .............................. 18,150
1,100 OMEGA Healthcare Investors, Inc. ................... 33,206
900 Omega Protein Corp. (a) ............................ 9,113
800 OMI Corp. (a) ...................................... 2,600
600 OMNI Energy Services Corp. (a) ..................... 2,550
1,200 Omnipoint Corp. (a) ................................ 11,175
800 OmniQuip International, Inc. ....................... 12,000
500 On Assignment, Inc. (a) (c) ........................ 17,250
400 On Command Corp. (a) ............................... 3,625
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,075 One Valley Bancorp, Inc. ........................... $35,139
300 Oneida Ltd. ........................................ 4,444
1,500 ONEOK, Inc. ........................................ 54,188
300 OnSale, Inc. (a) ................................... 12,019
700 Open Market, Inc. (a) .............................. 8,181
300 Optical Cable Corp. (a) ............................ 3,638
500 Orange & Rockland Utilities, Inc. .................. 28,500
900 Oregon Steel Mills, Inc. ........................... 10,688
600 O'Reilly Automotive, Inc. (a) ...................... 28,350
893 Organogenesis, Inc. (a) ............................ 10,046
133 Oriental Financial Group ........................... 4,165
1,900 Orthodontic Centers of America, Inc. (a) ........... 36,931
600 Oshkosh B'Gosh, Inc. - Class A ..................... 12,113
1,100 O'Sullivan Industries Holdings, Inc. (a) ........... 11,550
200 Otter Tail Power Co. ............................... 7,975
1,400 Overseas Shipholding Group, Inc. ................... 22,488
400 Owens & Minor, Inc. Holding Co. .................... 6,300
3,600 Oxford Health Plans, Inc. (a) ...................... 53,550
400 P.J. America, Inc. (a) ............................. 7,250
300 Pacific Gateway Exchange, Inc. (a) ................. 14,419
1,100 Pacific Gulf Properties, Inc. ...................... 22,069
825 Pacific Sunwear of California, Inc. (a) ............ 13,509
1,700 PageMart Wireless, Inc. - Class A (a) .............. 9,456
3,500 PairGain Technologies, Inc. (a) .................... 26,906
750 Palm Harbor Homes, Inc. (a) ........................ 18,891
200 Pan Pacific Retail Properties ...................... 3,988
414 Panavision, Inc. (a) ............................... 5,123
700 Papa John's International, Inc. (a) ................ 30,888
1,100 PAREXEL International Corp. (a) .................... 27,500
300 Park Electrochemical Corp. ......................... 8,588
400 Park National Corp. ................................ 41,200
2,400 Parker Drilling Co. (a) ............................ 7,650
500 ParkerVision, Inc. (a) ............................. 11,750
700 Parkway Properties, Inc. ........................... 21,875
700 PathoGenesis Corp. (a) ............................. 40,600
900 Patterson Dental Co. (a) ........................... 39,150
700 Patterson Energy, Inc. (a) ......................... 2,844
1,050 Paxar Corp. (a) .................................... 9,384
1,200 Paxson Communications Corp. (a) .................... 11,025
1,000 Paymentech, Inc. (a) ............................... 18,500
3,000 P-COM, Inc. (a) .................................... 11,953
200 PEC Israel Economic Corp. (a) ...................... 5,750
500 Pediatrix Medical Group, Inc. (a) .................. 29,969
600 Pegasus Communications Corp. (a) ................... 15,038
500 Pegasus Systems, Inc. (a) .......................... 18,000
300 Pegasystems, Inc. (a) .............................. 1,247
200 Penn Treaty Amer Corp. (a) ......................... 5,388
2,400 Penncorp Financial Group, Inc. ..................... 2,400
400 Pennsylvania Enterprises Inc. ...................... 10,200
500 Pennsylvania Real Estate Investment Trust .......... 9,719
100 Penske Motorsports (a) ............................. 2,663
1,700 Peoples Bancorp, Inc. .............................. 18,488
1,200 People's Energy Corp. .............................. 47,850
400 Perclose, Inc. (a) ................................. 13,250
400 Peregrine Systems, Inc. (a) ........................ 18,550
</TABLE>
See Notes to Financial Statements
15
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
400 Performance Food Group, Inc. (a) .................. $11,250
3,100 Perrigo Co. (a) ................................... 27,319
1,300 Personnel Group of America, Inc. (a) .............. 22,750
1,400 Petco Animal Supplies, Inc. (a) ................... 14,088
800 Petersen Companies, Inc. (a) ...................... 27,100
4,600 PETsMART, Inc. (a) ................................ 50,600
500 PFF Bancorp, Inc. (a) ............................. 8,000
700 Pharmaceutical Product Development,
Inc. (a) .......................................... 21,044
3,000 PharMerica, Inc. (a) .............................. 18,000
1,300 Philadelphia Suburban Corp. ....................... 38,431
400 Phillips-Van Heusen Corp. ......................... 2,875
900 Phoenix Investment Partners, Ltd. ................. 7,594
1,000 Photronics, Inc. (a) .............................. 23,969
2,700 PhyCor, Inc. (a) .................................. 18,394
800 PhyMatrix Corp. (a) ............................... 1,750
700 Physician Computer Network, Inc. (a) .............. 263
1,100 Physician Reliance Network (a) .................... 14,438
1,500 PictureTel Corp. (a) .............................. 9,938
1,500 Piedmont Natural Gas Co., Inc. .................... 54,188
400 Pilgrims Pride Corp. .............................. 7,975
150 Pinkerton's, Inc. (a) ............................. 3,197
900 Pioneer Group, Inc. ............................... 17,775
1,700 Pioneer Standard Electronics, Inc. ................ 15,938
500 Pittston BAX Group ................................ 5,563
700 Plains Resources Inc. (a) ......................... 9,844
2,300 Planet Hollywood International, Inc. (a) .......... 5,319
600 Plantronics, Inc. (a) ............................. 51,600
900 Platinum Software Corp. (a) ....................... 11,531
400 Playboy Enterprises, Inc. - Class B (a) ........... 8,375
1,300 Playtex Products, Inc. (a) ........................ 20,881
400 Plexus Corp. (a) .................................. 13,550
1,100 PMA Capital Corp - Class A ........................ 21,519
1,200 PMC-Sierra, Inc. (a) .............................. 75,750
550 Poe & Brown, Inc. ................................. 19,216
1,600 Pogo Producing Co. ................................ 20,800
1,000 Polaris Industries, Inc.. ......................... 39,188
400 Polycom, Inc. (a) ................................. 8,900
500 Polymer Group, Inc. (a) ........................... 4,969
800 Pool Energy Services Co. (a) ...................... 8,650
900 Potlatch Corp. .................................... 33,188
700 Powertel, Inc. (a) ................................ 9,494
300 Powerwave Technologies, Inc. (a) .................. 5,588
1,300 Precision Castparts Corp. ......................... 57,525
800 Premier Bancshares, Inc. .......................... 20,950
2,600 Premier Parks, Inc. (a) ........................... 78,650
900 Premiere Technologies, Inc. (a) ................... 6,638
900 Premisys Communications, Inc. (a) ................. 8,269
2,100 Prentiss Properties Trust ......................... 46,856
800 Pre-Paid Legal Services, Inc. (a) ................. 26,400
1,000 Presidential Life Corp. ........................... 19,875
700 Presstek, Inc. (a) ................................ 4,769
400 Preview Travel, Inc. (a) .......................... 7,375
600 PRI Automation, Inc. (a) .......................... 15,600
252 Price Enterprises, Inc. ........................... 1,339
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
2,100 Pride International, Inc. (a) ..................... $14,831
900 Primadonna Resorts, Inc. (a) ...................... 7,931
376 Primark Corp. (a) ................................. 10,199
400 Prime Group Realty Trust .......................... 6,050
1,700 Prime Hospitality Corp. (a) ....................... 17,956
3,198 Prime Retail, Inc. ................................ 31,380
200 Primex Technologies ............................... 8,500
600 Primus Telecommunications Group (a) ............... 9,900
700 Priority Healthcare Corp. (a) ..................... 36,313
350 ProBusiness Services, Inc. (a) .................... 15,925
400 Profit Recovery Group International (a) ........... 14,975
800 Progress Software Corp. (a) ....................... 27,000
200 Project Software & Development, Inc. (a) .......... 6,700
700 Protein Design Labs, Inc. (a) ..................... 16,275
1,225 Provident Bankshares, Corp. ....................... 30,472
400 Province Healthcare Co. (a) ....................... 14,350
500 PS Business Parks, Inc. ........................... 11,938
1,800 PSINet, Inc. (a) .................................. 37,575
3,050 PSS World Medical, Inc. (a) ....................... 70,150
2,300 Public Service Company of New Mexico .............. 47,006
1,000 Public Service Company of North Carolina,
Inc. .............................................. 26,000
100 Puerto Rican Cement Co., Inc. ..................... 3,494
700 Pulte Corp. ....................................... 19,469
900 PXRE Corp. ........................................ 22,556
1,600 QAD, Inc. (a) ..................................... 5,700
400 Qlogic Corp. (a) .................................. 52,350
300 QRS Corp. (a) ..................................... 14,400
500 QuadraMed Corp. (a) ............................... 10,250
1,200 Quaker Fabric Corp. (a) ........................... 7,500
700 Quanex Corp. ...................................... 15,750
900 Queens County Bancorp, Inc. ....................... 26,775
1,400 Quest Diagnostic, Inc. (a) ........................ 24,938
800 Quicksilver, Inc. (a) ............................. 24,000
700 Radiant Systems, Inc. (a) ......................... 5,163
1,500 Rainforest Cafe, Inc. (a) ......................... 9,094
1,660 Ralcorp Holdings, Inc. (a) ........................ 30,295
600 Rambus, Inc. (a) .................................. 57,750
500 Range Resources Corp. ............................. 1,719
3,400 Rational Software Corp. (a) ....................... 90,100
1,400 Rayonier, Inc. .................................... 64,313
1,400 Rayovac Corp. (a) ................................. 37,363
1,700 RCN Corp. (a) ..................................... 30,069
2,100 Read-Rite Corp. (a) ............................... 31,041
400 RealNetworks, Inc. (a) ............................ 14,350
1,700 Realty Income Corp. ............................... 42,288
1,100 Reckson Association Realty Corp. .................. 24,406
400 Recoton Corp. (a) ................................. 7,175
1,500 Red Roof Inns, Inc. (a) ........................... 25,313
700 Redwood Trust, Inc. ............................... 9,800
1,100 Regal-Beloit Corp. ................................ 25,300
600 Regency Realty Corp. .............................. 13,350
1,400 Regeneron Pharmaceuticals, Inc. (a) ............... 10,325
800 Regis Corp. ....................................... 32,000
1,200 Reinsurance Group of America ...................... 84,000
</TABLE>
See Notes to Financial Statements
16
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
400 Reliance Steel & Aluminum Co. ................... $11,050
500 Remec, Inc. (a) ................................. 9,000
1,200 Remedy Corp. (a) ................................ 16,725
600 Renaissance Worldwide, Inc. (a) ................. 3,675
1,750 Renal Care Group, Inc. (a) ...................... 50,422
1,000 Rental Service Corp. (a) ........................ 15,688
700 Renters Choice, Inc. (a) ........................ 22,225
400 Rent-Way, Inc. (a) .............................. 9,725
1,050 Republic Bancorp, Inc. .......................... 14,306
900 Republic Banking Corporation of Florida ......... 9,563
300 Republic Group, Inc. ............................ 6,019
3,000 Republic Security Financial Corporation ......... 36,375
300 Res-Care, Inc. (a) .............................. 7,406
700 ResMed, Inc. (a) ................................ 31,763
815 Resource Bancshares Mortgage Group, Inc.......... 13,498
700 Resources America, Inc. (a) ..................... 6,344
1,076 Respironics, Inc. (a) ........................... 21,554
1,600 RFS Hotel Investors, Inc. ....................... 19,600
1,500 Richfood Holdings, Inc. ......................... 31,125
1,400 Richmond County Financial Corp. ................. 22,488
900 Riggs National Corp. ............................ 18,338
800 Rio Hotel & Casino, Inc. (a) .................... 12,700
600 Risk Capital Holdings, Inc. (a) ................. 13,050
500 Riviana Foods, Inc. ............................. 12,344
250 RLI Corp. ....................................... 8,313
400 Roadway Express, Inc. ........................... 5,775
200 Robbins & Myers, Inc. ........................... 4,413
200 Robert Mondavi Corp. - Class A (a) .............. 8,175
1,100 Roberts Pharmaceutical Corp. (a) ................ 23,925
1,100 Rochester Gas & Electric Corp. .................. 34,375
500 Rock-Tenn Co. - Class A ......................... 8,469
600 Rogers Corp. (a) ................................ 17,925
600 ROHN Industries, Inc. ........................... 2,063
2,500 Rollins Truck Leasing Corp. ..................... 36,875
1,300 Rollins, Inc. ................................... 22,750
1,640 Romac International, Inc. (a) ................... 36,490
1,400 Roper Industries, Inc. .......................... 28,525
1,500 Roslyn Bancorp., Inc. ........................... 32,250
600 Rouge Industries Inc. - Class A ................. 5,250
1,200 RPC, Inc. ....................................... 8,850
1,000 RTI International Metals, Inc. .................. 14,000
1,600 Ruby Tuesday, Inc. .............................. 34,000
1,600 Ruddick Corp. ................................... 36,800
200 Rural / Metro Corp. (a) ......................... 2,188
300 Russ Berrie & Co., Inc. ......................... 7,050
1,100 Russell Corp. ................................... 22,344
700 Rutherford-Moran Oil Group (a) .................. 1,969
400 RWD Technologies, Inc. (a) ...................... 8,650
2,000 Ryan's Family Steak Houses, Inc. (a) ............ 24,750
400 Ryerson Tull, Inc. - Class A (a) ................ 3,900
700 Ryland Group, Inc. .............................. 20,213
1,660 S&T Bancorp, Inc. ............................... 45,754
2,000 S3, Inc. (a) .................................... 14,719
300 Sabratek Corp. (a) .............................. 4,913
900 Safeguard Scientifics, Inc. (a) ................. 24,694
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
1,480 Safety-Kleen Corp. (a) .......................... $20,905
146 Samsonite Corp. (a) ............................. 812
300 Sanchez Computer Associates, Inc. (a) ........... 8,775
1,200 SanDisk Corp. (a) ............................... 16,950
400 Sandy Spring Bancorp, Inc. ...................... 12,050
900 SangStat Medical Corp. (a) ...................... 19,125
700 Santa Barbara Bancorp ........................... 18,025
4,900 Santa Fe Energy Resources, Inc. (a) ............. 36,138
400 Sapient Corporation (a) ......................... 22,400
1,000 Sauer, Inc. ..................................... 7,563
300 Sawtek, Inc. (a) ................................ 5,250
900 Sbarro, Inc. (a) ................................ 23,569
1,100 SCB Computer Technology, Inc. (a) ............... 10,863
700 Schein Pharmaceutical, Inc. (a) ................. 10,194
600 Scholastic Corp. (a) ............................ 32,175
1,700 Schulman, Inc. .................................. 38,569
700 Schweitzer-Mauduit International, Inc. .......... 10,806
200 Scientific Games Holdings Corp. (a) ............. 3,775
1,500 Scios, Inc. (a) ................................. 15,563
500 SCM Microsystems, Inc. (a) ...................... 35,531
600 Scotsman Industries, Inc. ....................... 12,338
900 Scott Technologies, Inc. - Class A (a) .......... 14,878
900 Scotts Company (The) - Class A (a) .............. 34,594
700 SCPIE Holdings, Inc. ............................ 21,219
500 SDL, Inc. (a) ................................... 19,813
600 SEACOR Smit, Inc. (a) ........................... 29,663
2,100 Seagull Energy Corp. (a) ........................ 13,256
1,300 Security Capital Group, Inc. - Class B (a) ...... 17,631
1,600 Security Dynamics Technology, Inc. (a) .......... 36,800
500 SEI Investments Co. ............................. 49,688
900 Seitel, Inc. (a) ................................ 11,194
1,400 Selective Insurance Group, Inc. ................. 28,175
205 SEMCO Energy, Inc. .............................. 3,344
600 Semtech Corp. (a) ............................... 21,525
3,600 Sensormatic Electronics Corp. (a) ............... 24,975
1,100 Sepracor, Inc. (a) .............................. 96,319
300 Sequa Corp. - Class A (a) ....................... 17,963
2,000 Sequent Computer Systems, Inc. (a) .............. 24,125
1,600 SEQUUS Pharmaceuticals, Inc. (a) ................ 32,400
1,150 Serologicals Corp. (a) .......................... 34,500
800 Service Experts, Inc. (a) ....................... 23,400
1,100 SFX Entertainment Inc. - Class A (a) ............ 60,363
600 Shaw Group, Inc. (a) ............................ 4,800
500 Shiloh Industries, Inc. (a) ..................... 6,563
600 Shiva Corp. (a) ................................. 3,394
1,100 ShopKo Stores, Inc. (a) ......................... 36,575
950 Shorewood Packaging Corp. (a) ................... 19,475
1,500 Shurgard Storage Centers, Inc. - Class A ........ 38,719
1,150 Sierra Health Services, Inc. (a) ................ 24,222
1,700 Sierra Pacific Resources ........................ 64,600
600 SIGCORP, Inc. ................................... 21,413
125 Signal Corporation .............................. 4,281
500 Silgan Holdings, Inc. (a) ....................... 13,898
1,200 Silicon Valley Bancshares (a) ................... 20,438
1,500 Silicon Valley Group, Inc. (a) .................. 19,125
</TABLE>
See Notes to Financial Statements
17
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
200 Siliconix, Inc.. (a) ................................. $4,150
500 Silverleaf Resorts, Inc. (a) ......................... 4,656
1,100 Simpson Industries, Inc. ............................. 10,656
400 Simpson Manufacturing Co., Inc. (a) .................. 14,975
600 SIPEX Corp. (a) ...................................... 21,075
500 SIS Bancorp, Inc. .................................... 22,625
2,500 SITEL Corp. (a) ...................................... 6,094
2,078 Sky Financial Group, Inc. ............................ 54,937
200 Skyline Corp. ........................................ 6,500
2,600 SkyTel Communications, Inc. (a) ...................... 57,525
700 Skywest, Inc. ........................................ 22,881
400 SL Green Realty Corp. ................................ 8,650
550 SLI, Inc. (a) ........................................ 15,263
500 SM&A Corp. (a) ....................................... 9,500
300 Smart & Final, Inc. .................................. 2,888
1,200 SMART Modular Technologies, Inc. (a) ................. 33,300
300 SmarTalk TeleServices, Inc. (a) ...................... 797
1,200 Smith (Charles E.) Residential Realty, Inc. .......... 38,550
1,600 Smithfield Foods, Inc. (a) ........................... 54,200
1,200 Smucker (J.M.) Co. - Class A ......................... 29,700
1,400 Snyder Oil Corp. ..................................... 18,638
1,300 Software AG Systems, Inc. (a) ........................ 23,563
1,200 Sola International, Inc. (a) ......................... 20,700
950 Sonic Corp. (a) ...................................... 23,631
1,900 Sotheby's Holdings, Inc. - Class A ................... 60,800
600 South Jersey Industries, Inc. ........................ 15,713
500 Southern Peru Copper Corp. ........................... 4,719
330 Southern Union Co. (a) ............................... 8,044
7,300 Southland Corp. (a) .................................. 13,916
1,000 Southwest Bancorp of Texas (a) ....................... 17,875
1,500 Southwest Gas Corp. .................................. 40,313
500 Southwestern Energy Co. .............................. 3,750
700 Sovran Self Storage, Inc. ............................ 17,588
500 Spartech Corp. ....................................... 11,000
600 Special Metals Corp. (a) ............................. 5,363
600 Speedfam International, Inc. (a) ..................... 10,275
400 Speedway Motorsports, Inc. (a) ....................... 11,400
1,400 Spelling Entertainment (a) ........................... 10,500
700 Spiegel - Class A (a) ................................ 4,025
400 Splash Technologies Holdings, Inc. (a) ............... 2,975
500 Sportsline USA, Inc. (a) ............................. 7,781
600 Springs Industries, Inc. - Class A ................... 24,863
500 SPS Technologies, Inc. (a) ........................... 27,813
1,200 SPX Corp. (a) ........................................ 80,400
1,000 St John Knits, Inc. .................................. 26,000
200 St. Mary Land & Exploration Co. ...................... 3,700
1,200 St. Paul Bancorp, Inc. ............................... 32,663
600 Staff Leasing, Inc. (a) .............................. 6,975
500 StaffMark, Inc. (a) .................................. 11,188
1,300 Stage Stores, Inc. (a) ............................... 12,188
500 Standard Motor Products, Inc. ........................ 12,125
1,100 Standard Products Co. ................................ 22,413
700 Standard Register Co. ................................ 21,656
1,200 Standard-Pacific Corp. ............................... 16,950
200 Standex International Corp. .......................... 5,250
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
200 Starrett (L.S.) Co. - Class A ........................ $6,863
800 State Auto Financial Corp. ........................... 9,900
1,700 Staten Island Bancorp, Inc. .......................... 33,894
1,500 Station Casinos, Inc. (a) ............................ 12,281
1,500 Steel Dynamics, Inc. (a) ............................. 17,625
600 Stein Mart, Inc. (a) ................................. 4,181
200 Stephan Chemical Co. ................................. 5,325
200 Sterling Bancorp ..................................... 4,563
1,050 Sterling Bancshares, Inc. ............................ 15,619
1,400 Stewart & Stevenson Services, Inc. ................... 13,650
300 Stewart Information Services Corp. ................... 17,400
1,000 Stillwater Mining Co. (a) ............................ 41,000
400 Stone & Webster, Inc. ................................ 13,250
600 Stone Energy Corp. (a) ............................... 17,250
500 Storage Trust Realty ................................. 11,688
800 Storage USA, Inc. .................................... 25,850
2,500 Stride Rite Corp. .................................... 21,875
1,500 Structural Dynamics Research Corp. (a) ............... 29,813
100 Student Loan Corp. ................................... 4,488
400 Sturm Ruger & Co., Inc. .............................. 4,775
1,000 Suburban Lodges of America, Inc. (a) ................. 8,188
700 Summit Properties, Inc. .............................. 12,075
1,100 Sun Communities, Inc. ................................ 38,294
2,700 Sun Healthcare Group, Inc. (a) ....................... 17,719
1 Sunburst Hospitality Corp. (a) ....................... 4
1,300 Sunglass Hut International (a) ....................... 9,100
600 Sunrise Assisted Living, Inc. (a) .................... 31,125
900 Sunrise Medical, Inc. (a) ............................ 11,194
700 Sunstone Hotel Investors, Inc. ....................... 6,606
850 Sunterra, Inc. (a) ................................... 12,750
900 SuperGen, Inc. (a) ................................... 8,325
300 Superior Consultant Holdings Corp. (a) ............... 13,050
1,800 Superior Energy Services, Inc. (a) ................... 5,119
1,000 Superior Industries International, Inc. .............. 27,813
1,000 Superior Services, Inc. (a) .......................... 20,063
225 Superior Telecommunications, Inc. .................... 10,631
1,400 Susquehanna Bancshares, Inc. ......................... 28,656
220 Swift Energy Co. (a) ................................. 1,623
1,150 Swift Transportation Co., Inc. (a) ................... 32,236
3,400 Sybase, Inc. (a) ..................................... 25,181
500 Sykes Enterprises, Inc. (a) .......................... 15,250
1,350 Sylvan Learning Systems, Inc. (a) .................... 41,175
2,400 Symantec Corp. (a) ................................... 52,200
1,000 Syms Corp. (a) ....................................... 9,000
700 Synetic, Inc. (a) .................................... 30,800
500 Syntel, Inc. (a) ..................................... 5,656
1,700 Syntroleum Corp. (a) ................................. 10,519
1,400 System Software Associates, Inc. (a) ................. 9,844
1,400 Systems & Computer Technology Corp. (a) .............. 19,250
500 Talbots .............................................. 15,688
2,400 Taubman Centers, Inc. ................................ 33,000
900 Tava Technologies Inc. (a) ........................... 6,863
400 TCBY Enterprises, Inc. ............................... 2,800
1,400 TCI Satellite Entertainment, Inc. -
Class A (a) .......................................... 2,013
</TABLE>
See Notes to Financial Statements
18
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
900 Techne Corp. (a) .................................... $19,013
700 Technitrol, Inc. .................................... 22,313
1,800 Technology Solutions (a) ............................ 19,294
1,000 Tecumseh Products Co. - Class A ..................... 46,625
200 Tejon Ranch Co., .................................... 3,975
1,600 Tekelec (a) ......................................... 26,500
800 Telegroup, Inc. (a) ................................. 1,050
1,700 Tel-Save Holdings, Inc. (a) ......................... 28,475
900 Telxon Corp. ........................................ 12,488
400 Tennant Co. ......................................... 16,050
700 Terex Corp. (a) ..................................... 19,994
2,100 Terra Industries, Inc. .............................. 12,994
1,400 Tesoro Petroleum Corp. (a) .......................... 16,975
1,218 TETRA Technologies, Inc. (a) ........................ 32,962
1,200 Texas Industries, Inc. .............................. 32,325
600 Texas Regional Bancshares, Inc. - Class A ........... 15,038
1,000 The Cheesecake Factory, Inc. (a) .................... 29,656
348 The Fairchild Corp. - Class A ....................... 5,481
700 The Macerich Company ................................ 17,938
1,050 The Men's Wearhouse, Inc. (a) ....................... 33,338
1,200 The Sports Authority, Inc. (a) ...................... 6,300
1,000 Theragenics Corp. (a) ............................... 16,813
900 Thermedics, Inc. (a) ................................ 9,731
600 Thermo BioAnalysis Corp. (a) ........................ 7,950
700 Thermo Cardiosystems, Inc. (a) ...................... 7,306
600 Thermo Ecotek Corp. (a) ............................. 6,338
1,100 Thermo Fibertek, Inc. (a) ........................... 7,838
700 Thermo Optek Corp. (a) .............................. 6,081
1,100 ThermoLase Corp. (a) ................................ 5,019
600 ThermoQuest Corp. (a) ............................... 7,763
200 Thermotrex Corp. (a) ................................ 1,713
800 Thomas Industries, Inc. ............................. 15,700
400 Thor Industries, Inc. ............................... 10,200
500 Thornburg Mortgage Asset Corp. ...................... 3,813
2,200 TIG Holdings, Inc. .................................. 34,238
100 Timberland Co., Class A (a) ......................... 4,556
1,500 Titan Exploration, Inc. (a) ......................... 9,844
300 Titan International, Inc. ........................... 2,850
500 Titanium Metals Corp. ............................... 4,250
800 TJ International, Inc.. ............................. 20,550
300 TMP Worldwide, Inc. (a) ............................. 12,600
600 TNP Entreprise, Inc. ................................ 22,763
1,000 Toll Brothers, Inc. (a) ............................. 22,563
600 Toro Co. ............................................ 17,100
1 Total Renal Care Holdings (a) ....................... 30
2,100 Tower Automotive, Inc. (a) .......................... 52,369
400 Tower Realty Trust, Inc. ............................ 8,050
700 Town & Country Trust ................................ 11,244
800 TR Financial Corp. .................................. 31,500
1,000 Trammel Crow Co. (a) ................................ 28,000
2,300 Trans World Airlines, Inc. (a) ...................... 11,069
600 Trans World Entertainment Corp. (a) ................. 11,438
200 Transaction Network Services, Inc. (a) .............. 4,013
1,300 Transaction Systems Architechure, Inc. -
Class A (a) ......................................... 65,000
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
400 Transition Systems, Inc. (a) ........................ $ 6,000
700 Transkaryotic Therapies, Inc. (a) ................... 17,763
1,300 TransMontaigne Oil Co. (a) .......................... 19,663
855 Tredegar Industries, Inc. ........................... 19,238
200 Tremont Corp. ....................................... 6,650
600 Trendwest Resorts, Inc. (a) ......................... 7,500
200 Trenwick Group, Inc. ................................ 6,525
200 Trex Medical Co. (a) ................................ 1,700
700 Triad Guaranty, Inc. (a) ............................ 15,444
1,100 Triangle Bancorp, Inc. .............................. 17,394
500 Triangle Pharmaceuticals, Inc. (a) .................. 6,813
400 Triarc Cos., Inc. (a) ............................... 6,400
1,200 Trico Marine Services, Inc. (a) ..................... 5,850
1,000 Trimble Navigation Ltd. (a) ......................... 7,250
1,300 TriNet Corporate Realty Trust ....................... 34,775
1,000 TriStar Aerospace Co. (a) ........................... 7,000
500 Triumph Group, Inc. (a) ............................. 16,000
400 Trust Company of New Jersey ......................... 9,800
1,282 Trustco Bank Corp. .................................. 38,460
1,900 Tuboscope Vetco International Corp. (a) ............. 15,438
1,300 Twinlab Corp. (a) ................................... 17,063
1,000 U.S. Bancorp, Inc. .................................. 19,875
1,400 U.S. Bioscience, Inc. (a) ........................... 10,063
300 U.S. Home Corp. (a) ................................. 9,975
500 U.S. Restaurants Properties, Inc. ................... 12,156
1,100 U.S. Satellite Broadcasting Co. (a) ................. 15,125
600 U.S.A. Floral Products, Inc. (a) .................... 6,900
1,700 UGI Corp. ........................................... 40,375
1,700 UICI (a) ............................................ 41,650
800 Ultratech Stepper, Inc. (a) ......................... 12,800
715 UMB Financial Corp. ................................. 32,801
1,200 UniCapital Corp. (a) ................................ 8,850
200 UniFirst Corp. ...................................... 4,563
1,700 Unisource Energy Corp. (a) .......................... 22,950
3,300 Unisource Worldwide, Inc. ........................... 23,925
400 United Auto Group, Inc. (a) ......................... 3,675
1,800 United Bankshares, Inc. ............................. 47,700
1,200 United Companies Financial Corp. .................... 4,050
5,600 United Dominion Realty Trust, Inc. .................. 57,750
400 United Fire & Casualty Co. .......................... 13,450
400 United Illuminating Co. ............................. 20,600
1,500 United International Holdings, Inc. -
Class A (a) ......................................... 28,875
660 United National Bancorp ............................. 15,345
100 United Natural Foods, Inc. (a) ...................... 2,413
400 United Payors & United Providers, Inc. (a) .......... 11,400
1,277 United Rental, Inc. (a) ............................. 42,301
1,300 United Stationers, Inc. (a) ......................... 33,800
200 United Television, Inc. ............................. 23,000
1,200 United Water Resources, Inc. ........................ 28,725
1,100 Unitrode Corp. (a) .................................. 19,250
1,200 Universal Corp. ..................................... 42,150
2,300 Universal Foods Corp. ............................... 63,106
1,500 UNOVA, Inc. (a) ..................................... 27,188
300 Urban Shopping Centers, Inc. ........................ 9,825
</TABLE>
See Notes to Financial Statements
19
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
600 US LEC Corp. - Class A (a) ........................... $8,888
100 US Xpress Enterprises, Inc. (a) ...................... 1,500
1,300 USFreightways Corp. .................................. 37,863
1,400 UST Corp. ............................................ 32,988
2,200 USWeb Corp. (a) ...................................... 58,025
1,300 Vail Resorts, Inc. (a) ............................... 28,600
1,700 Valassis Communications, Inc. (a) .................... 87,763
900 Valhi, Inc. .......................................... 10,238
900 Valmont Industries, Inc. ............................. 12,488
500 Value City Department Stores, Inc. (a) ............... 6,969
300 Value Line, Inc. ..................................... 11,813
1,400 Vanguard Cellular Systems, Inc. -
Class A (a) .......................................... 36,138
2,400 Vanstar Corp. (a) .................................... 22,200
900 Vantive Corp. (a) .................................... 7,200
750 Varlen Corp. ......................................... 17,297
300 Veeco Instruments, Inc. (a) .......................... 15,938
2,200 Vencor, Inc. (a) ..................................... 9,900
500 Ventana Medical Systems, Inc. (a) .................... 10,813
2,800 Ventas, Inc. (a) ..................................... 34,125
300 VeriSign, Inc. (a) ................................... 17,738
1,300 Veritas DGC, Inc. (a) ................................ 16,900
1,000 Vermont Financial Services Corp. ..................... 33,250
1,100 Vertex Pharmaceuticals, Inc. (a) ..................... 32,725
500 Vesta Insurance Group, Inc. .......................... 3,000
800 Veterinary Centers of America, Inc. (a) .............. 15,950
1,300 VIASOFT, Inc. (a) .................................... 9,100
700 Vical, Inc. (a) ...................................... 9,931
1,200 Vicor Mtg. Corp. ..................................... 10,800
200 Vincam Group, Inc. (a) ............................... 3,513
1,300 Vintage Petroleum, Inc. .............................. 11,213
440 Virco Manufacturing Corp. ............................ 8,085
2,700 Vishay International, Inc. (a) ....................... 39,150
1,200 Visio Corp. (a) ...................................... 43,875
300 Vistana, Inc. (a) .................................... 4,200
900 Visual Networks, Inc. (a) ............................ 33,750
500 VISX, Inc. (a) ....................................... 43,719
400 Vital Signs, Inc. .................................... 7,000
700 Vivus, Inc. (a) ...................................... 1,816
1,400 Vlasic Foods International (a) ....................... 33,338
2,100 VLSI Technologies, Inc. (a) .......................... 22,969
300 Volt Information Sciences, Inc. (a) .................. 6,769
700 VWR Scientific Products Corp. (a) .................... 12,163
1,200 Wabash National Corp. ................................ 24,375
500 Wackenhut Corp. - Class A ............................ 12,719
300 Wackenhut Corrections Corp. (a) ...................... 8,588
400 Walden Residential Properties, Inc. .................. 8,175
2,100 Wallace Computer Services, Inc. ...................... 55,388
1,900 Walter Industries, Inc. (a) .......................... 29,094
2,100 Wang Laboratories, Inc. (a) .......................... 58,275
1,400 Washington Gas Light Co. ............................. 37,975
1,800 Washington Real Estate Investment Trust .............. 33,525
2,700 Washington Water Power ............................... 51,975
600 Waste Industires, Inc. (a) ........................... 10,350
900 Watsco, Inc. - Class A ............................... 15,075
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ---------------
<S> <C> <C>
400 Watts Industries Inc. - Class A ...................... $6,650
1,880 Wausau-Mosinee Paper Co. ............................. 33,253
1,100 WavePhore, Inc. (a) .................................. 8,834
500 WD(40 Co.) ........................................... 14,313
1,100 Webster Financial Corp. .............................. 30,181
1,300 Weeks Corp. .......................................... 36,644
1,000 Weider Nutrition International, Inc. ................. 6,375
800 Weingarten Realty, Inc. .............................. 35,700
1,300 Wellman, Inc. ........................................ 13,244
1,300 Wellsford Real Properties, Inc. (a) .................. 13,406
1,400 Werner Enterprises, Inc. ............................. 24,763
1,000 WesBanco, Inc. ....................................... 29,500
500 Wesley Jessen VisionCare (a) ......................... 13,875
536 West Co., Inc. ....................................... 19,129
220 West Coast Bancorp/Oregon ............................ 4,620
200 West Marine, Inc. (a) ................................ 1,975
500 West TeleServices Corp (a) ........................... 4,875
1,900 Westamerica Bancorporation ........................... 69,825
1,700 Westcorp, Inc. ....................................... 11,794
1,000 Westell Technologies (a) ............................. 4,875
700 Western Bancorp ...................................... 20,475
900 Western Gas Resources, Inc. .......................... 5,175
500 Western Investment Real Estate ....................... 5,906
2,900 Western Wireless Corp. - Class A (a) ................. 63,800
1,500 Westernbank Puerto Rico .............................. 23,813
2,000 Westfield America, Inc. .............................. 34,500
500 Westinghouse Air Brake Co. ........................... 12,219
1,100 Westwood One, Inc. (a) ............................... 33,550
600 Wet Seal, Inc. - Class A (a) ......................... 18,113
900 Whitney Holding Corp. ................................ 33,750
1,100 Whittman-Hart, Inc. (a) .............................. 30,388
2,000 WICOR, Inc. .......................................... 43,625
200 Wild Oats Market, Inc. (a) ........................... 6,300
300 Wilmar Industries, Inc. (a) .......................... 6,094
2,000 Wilshire Financial Services Group, Inc. (a) .......... 1,250
1,000 Wind River Systems (a) ............................... 47,000
1,700 Windmere-Durable Holdings, Inc. (a) .................. 13,175
400 Winnebago Industries ................................. 6,050
1,700 WinStar Communications, Inc. (a) ..................... 66,300
1,700 Wisconsin Central Transportation Corp. (a) ........... 29,219
600 Wolverine Tube, Inc. (a) ............................. 12,600
2,200 Wolverine World Wide, Inc. ........................... 29,150
400 Woodward Governor Co. ................................ 8,850
900 World Access, Inc. (a) ............................... 19,238
1,700 World Color Press, Inc. (a) .......................... 51,744
1,000 WPS Resources Corp. .................................. 35,250
800 Wyman-Gordon Co. (a) ................................. 8,200
800 Wynn's International, Inc. ........................... 17,700
900 Xircom, Inc. (a) ..................................... 30,600
300 Xomed Surgical Products, Inc. (a) .................... 9,600
300 X-Rite, Inc. ......................................... 2,325
900 Xtra Corp. ........................................... 37,238
1,600 Xylan Corp. (a) ...................................... 28,100
500 Yankee Energy System, Inc. ........................... 14,563
1,000 Yellow Corp. (a) ..................................... 19,125
</TABLE>
See Notes to Financial Statements
20
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- -------- -------------
<S> <C> <C>
300 Young Broadcasting Corp. -- Class A (a) ........ $ 12,563
1,300 Zale Corp. (a) ................................. 41,925
600 Zapata Corp. ................................... 7,350
800 Zebra Technologies Corp. -- Class A (a) ........ 23,000
300 Zenith National Insurance Corp. ................ 6,938
900 Zila, Inc. (a) ................................. 8,888
300 Zoltek Cos., Inc. (a) .......................... 2,756
400 Zonagen, Inc. (a) .............................. 7,650
-----------
TOTAL COMMON STOCKS (Cost $36,734,733) 35,812,360
-----------
PREFERRED STOCKS -- 0.03%
144 Kimco Realty Corp. ............................. 3,726
30 Mediq, Inc. .................................... 120
300 Price Enterprises, Inc. ........................ 4,144
100 Prime Retail ................................... 1,663
-----------
TOTAL PREFERRED STOCKS (Cost $10,101) 9,653
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
(000) Value
- ------------ -------------
<S> <C> <C>
SHORT TERM INSTRUMENTS -- 7.25%
U.S. TREASURY BILLS (C) -- 7.25%
$ 375,000 U.S. Treasury Bill, 4.40%, 01/21/1999 ..... $ 374,084
100,000 U.S. Treasury Bill, 4.42%, 02/04/1999 (b) 99,583
158,000 U.S. Treasury Bill, 4.27%, 02/11/1999 ..... 157,231
1,610,000 U.S. Treasury Bill, 4.37%, 03/11/1999 ..... 1,597,184
190,000 U.S. Treasury Bill, 4.35%, 03/18/1999 ..... 188,318
250,000 U.S. Treasury Bill, 4.43%, 04/01/1999 ..... 247,365
----------
TOTAL SHORT TERM INSTRUMENTS (Cost $2,662,910) $2,663,765
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $39,407,744)-- 104.74% $ 38,485,778
LIABILITIES IN EXCESS OF OTHER ASSETS -- ( 4.74)% (1,742,019)
------ ------------
NET ASSETS .............................. 100.00% $ 36,743,759
====== ============
</TABLE>
- ----------
(a) Non-income producing security.
(b) Pledged as collateral for open futures contracts.
(c) Average yield at time of purchase.
REIT Real Estate Investment Trust.
At December 31, 1998, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS CONTRACT EXPIRATION OPENING CURRENT UNREALIZED
PURCHASED TYPE DATE POSITION MARKET VALUE APPRECIATION
- ----------- ----------- ------------ ---------- -------------- -------------
<S> <C> <C> <C> <C> <C>
3 S & P 500 03/19/99 $926,243 $933,156 $6,913
======== ======== ======
</TABLE>
See Notes to Financial Statements
21
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statement of Operations FOR THE YEAR ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ............................................................... $ 46,826
Dividends .............................................................. 327,677
------------
Total Investment Income ............................................... 374,503
------------
EXPENSES:
Advisory fees .......................................................... 80,592
Administration fees .................................................... 74,620
Fund accounting fees ................................................... 43,132
Custodian fees ......................................................... 86,590
Professional fees ...................................................... 34,094
Trustees fees .......................................................... 17,690
Amortization of organizational costs ................................... 4,168
Transfer agent fees .................................................... 7,216
Other .................................................................. 16,511
------------
Total expenses before waiver/reimbursement ............................ 364,613
Less waiver/reimbursement by Advisor .................................. (214,720)
Less waiver by custodian .............................................. (24,696)
Less waiver by Administrator/Transfer Agent ........................... (21,997)
------------
Total expenses net of waiver/reimbursement ............................ 103,200
------------
NET INVESTMENT INCOME ................................................... 271,303
------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Net realized gain on investments ....................................... 615,952
Net realized gain on futures contracts ................................. 54,647
Change in unrealized appreciation/depreciation on investments .......... (1,305,851)
Change in unrealized appreciation/depreciation on futures contracts .... 6,893
------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS ......................... (628,359)
------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS .................... $ (357,056)
============
</TABLE>
See Notes to Financial Statements
22
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
AUGUST 25, 19971
YEAR ENDED THROUGH
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income .................................................................. $ 271,303 $ 41,878
Net realized gain on investments and futures contracts ................................. 670,599 88,417
Net change in unrealized appreciation/depreciation of investments and futures contracts (1,298,958) 383,905
------------ -----------
Net increase (decrease) in net assets resulting from operations ........................ (357,056) 514,200
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................................. (167,192) --
Net realized gain on investments ....................................................... (535,016) --
------------ -----------
Total distributions .................................................................... (702,208) --
------------ -----------
SHARE TRANSACTIONS:
Net proceeds from sale of shares ....................................................... 27,649,770 12,189,027
Issued to shareholders in reinvestment of distributions ................................ 702,208 --
Costs of shares redeemed ............................................................... (3,165,975) (86,207)
------------ -----------
Net increase in net assets from share transactions .................................... 25,186,003 12,102,820
------------ -----------
Net increase in net assets ............................................................ 24,126,739 12,617,020
------------ -----------
NET ASSETS:
Beginning of Period .................................................................... 12,617,020 --
------------ -----------
End of Period .......................................................................... $ 36,743,759 $12,617,020
============ ===========
Undistributed net investment income ..................................................... $ 144,264 $ 41,878
============ ===========
</TABLE>
- ----------
1 Commencement of operations.
See Notes to Financial Statements
23
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding throughout each period:
<TABLE>
<CAPTION>
FOR THE PERIOD
AUGUST 25, 19971
YEAR ENDED THROUGH
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------- ------------------
<S> <C> <C>
Net asset value, beginning of period .......................................... $ 10.51 $ 10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ........................................................ 0.06 0.032
Net realized and unrealized gain (loss) on investments and futures contracts . ( 0.30) 0.48
------- -------
Net increase (decrease) in net asset value from operations ................... ( 0.24) 0.51
------- -------
LESS DISTRIBUTIONS:
Distributions from net investment income ..................................... ( 0.05) --
Distributions from net realized gain on investments .......................... ( 0.16) --
------- -------
Total distributions ......................................................... ( 0.21) --
------- -------
NET ASSET VALUE, END OF PERIOD ................................................ $ 10.06 $ 10.51
======= =======
TOTAL RETURN4 ................................................................. ( 2.18)% 5.10 %
RATIOS / SUPPLEMENTAL DATA
Net assets, end of period (in 000s) ........................................... $36,744 $ 12,617
Ratios to average net assets:
Net investment income including reimbursement/waiver ......................... 1.18% 1.08%3
Operating expenses including reimbursement/waiver ............................ 0.45% 0.45%3
Operating expenses excluding reimbursement/waiver ............................ 1.58% 3.27%3
Portfolio turnover rate ....................................................... 30% 8%
</TABLE>
- ----------
1 Commencement of operations.
2 Based on average shares method.
3 Annualized
4 Total investment return is calculated assuming an initial investment made at
the net asset 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.
See Notes to Financial Statements
24
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Notes to Financial Statements DECEMBER 31, 1998
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The 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 Trust was organized as a
Massachusetts business trust on January 19, 1996. As of December 31, 1998, only
Equity 500 Index Fund, Small Cap Index Fund, and EAFE Equity Index Fund had
commenced operations.
The accompanying financial statements and financial highlights are those of the
Small Cap Index Fund (the "Fund") which commenced operations on August 25,
1997.
B. SECURITY VALUATION
The portfolio's investments, which are traded on a recognized stock exchange or
for which price quotations are available, are valued each business day on the
basis of market valuations furnished by an independent pricing service approved
by the Board of Trustees. Securities traded on national stock exchanges or
other domestic exchanges are valued based on the closing price of the security
traded on that exchange prior to the time when the Fund's 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 and under the general supervision of the Board
of Trustees.
C. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis. Dividend income
is recorded on the ex-dividend date. 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 Fund 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
Fund is required to deposit with brokers either in cash or securities an amount
equal to a certain percentage of the contract amount. Variation margin payments
are made or received by the Fund 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 Fund. The Fund's
investments in financial futures contracts are designed to enable the Fund to
closely replicate the benchmark index used by the Fund. Risks arise from
possible illiquidity of the futures market and from movements in security
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. FEDERAL INCOME TAXES
The Fund intends to continue to elect to be treated as a "regulated investment
company" under Sub-chapter M of the Internal Revenue Code and to distribute all
of its taxable income to shareholders. Accordingly, no provision for federal
income taxes has been made in the accompanying financial statements.
F. EXPENSES
The Trust accounts separately for the assets, liabilities and operations of
each of the Funds. Expenses directly attributable to a Fund are charged to that
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.
G. ORGANIZATION COSTS
Costs incurred in connection with the Fund's organization are being amortized
on a straight-line basis over five years commencing on August 25, 1997. 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.
H. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
Dividends from net investment income and net realized gains on 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.
I. SHARES OF BENEFICIAL INTEREST
The 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 were as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
YEAR ENDED AUGUST 25, 1997(A)
DECEMBER 31, 1998 TO DECEMBER 31, 1997
---------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Shares sold 2,705,632 $27,649,770 1,208,494 $12,189,027
Reinvestment of
dividends 73,376 702,208 0 0
Shares redeemed (325,834) (3,165,975) (8,295) (86,207)
--------- ----------- --------- -----------
Net increase 2,453,174 $25,186,003 1,200,199 $12,102,820
========= =========== ========= ===========
</TABLE>
- ---------------------
(a) Commencement of operations.
J. 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
Under the Advisory Agreement with Bankers Trust Company (the "Advisor"), the
Fund will pay an advisory fee at an annual percentage rate of 0.35% of the
average daily net assets of the Fund. These fees are accrued daily and paid
monthly. The Advisor has voluntarily undertaken to waive its fee and to
reimburse the Fund for certain expenses so that the Fund's total operating
expenses
25
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Notes to Financial Statements DECEMBER 31, 1998
- --------------------------------------------------------------------------------
will not exceed 0.45% of average daily net assets. For the year ended December
31, 1998, the gross advisory fee, waiver and reimbursed expenses were as
follows:
<TABLE>
<CAPTION>
GROSS ADVISORY ADVISORY FEE EXPENSES
FEE WAIVED REIMBURSED
- --------------- -------------- -----------
<S> <C> <C>
$ 80,592 $80,592 $134,128
</TABLE>
The amount outstanding payable to the Fund by the Advisor as of December 31,
1998 was $19,087.
First Data Investor Services Group, Inc. ("Investor Services Group") serves as
Administrator and Transfer Agent of the Funds. For services rendered as the
Funds' Administrator, Investor Services Group receives the following fees,
accrued daily, and paid monthly.
<TABLE>
<CAPTION>
ADMINISTRATION FEES
- --------------------------------------------------------------
FEE % OF THE FUNDS' AG GATE
DAILY NET ASSETS AVERAGE DAILY NET ASSETS
- ---------------------- -------------------------------------
<S> <C>
0.02 % up to $2 billion
0.01 % over $2 billion and up to $5 billion
0.0075% over $5 billion
</TABLE>
Investor Services Group also receives a $70,000 flat fee per year, per Fund,
paid monthly.
Investor Services Group waived $21,997 of its fees for the year ended December
31, 1998.
Bankers Trust Company is the custodian for the Fund. Bankers Trust Company has
waived $24,696 of its fees for the year ended December 31, 1998.
The Fund does not compensate its 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 December 31, 1998, the amount payable to
trustees was $2,041.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from the sale of investments,
other than short-term obligations, for the year ended December 31, 1998, were
$31,143,841 and $6,704,006, respectively.
The aggregate gross unrealized appreciation and depreciation for all securities
as computed on a federal income tax basis at December 31, 1998 is as follows:
<TABLE>
<CAPTION>
APPRECIATION DEPRECIATION NET COST
- -------------- ---------------- -------------- -----------
<S> <C> <C> <C>
$4,178,791 $(5,126,228) $(947,437) 39,433,215
</TABLE>
At December 31, 1998, the amount payable for investment securities purchased
was $1,904,272.
NOTE 4 -- NET ASSETS
<TABLE>
<S> <C>
NET ASSETS:
Paid-in capital (3,653,373 outstanding shares of
beneficial interest) $37,289,971
Undistributed net investment income 144,264
Accumulated net realized gain on investments
and futures contracts 224,577
Net unrealized depreciation on investments and
futures contracts (915,053)
-----------
TOTAL NET ASSETS -- 100% $36,743,759
===========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE (Net Assets/Shares
Outstanding) $ 10.06
===========
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
Report of Independent Auditors
- --------------------------------------------------------------------------------
To the Trustees of the BT Insurance Funds Trust and
Shareholders of the Small Cap Index Fund
We have audited the accompanying statement of net assets of the Small Cap Index
Fund (the "Fund") as of December 31, 1998, and the related statement of
operations for the year then ended and the statements of changes in net assets
and financial highlights for the year then ended and for the period August 25,
1997 (commencement of operations) to December 31, 1997. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1998, by correspondence with the Fund's
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Small Cap Index Fund at December 31, 1998, and the results of its operations
for the year then ended and the changes in its net assets and its financial
highlights for the year then ended and for the period August 25, 1997
(commencement of operations) to December 31, 1997, in conformity with generally
accepted accounting principles.
Ernst & Young LLP
Philadelphia, Pennsylvania
January 29, 1999
27
<PAGE>
BT INSURANCE FUNDS TRUST
SMALL CAP INDEX FUND
INVESTMENT ADVISOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
ADMINISTRATOR AND TRANSFER AGENT
FIRST DATA INVESTOR SERVICES GROUP, INC.
3200 Horizon Drive
King of Prussia, PA 19406
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
2001 Market Street
Philadelphia, PA 19103
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
insurance company representative. This report must be preceded or
accompanied by a current prospectus for the Fund.
-------------------
Small Cap Index Fund Cusip #05576E409
INSSMCAP200 (12/98)
