BT INSURANCE FUNDS TRUST
EQUITY 500 INDEX FUND
ANNUAL REPORT
- --------------------------------------------------------------------------------
DECEMBER 1998
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Table of Contents
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS ........................ 3
EQUITY 500 INDEX FUND
Statement of Net Assets ..................... 5
Statement of Operations ..................... 10
Statements of Changes in Net Assets ......... 11
Financial Highlights ........................ 12
Notes to Financial Statements ............... 13
Report of Independent Auditors .............. 15
</TABLE>
------------------
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.
------------------
2
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 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 continued to push on, with the S&P 500
Index gain of 28.58% outperforming the well-publicized Dow Jones Industrial
Average of 18.17% for the twelve months ending December 31, 1998. This fourth
consecutive year of double-digit gains in the major U.S. stock indices was
helped by an exuberant, low inflation economy, an easing monetary policy, and a
safe-haven status amongst a sea of global turmoil.
EQUITY INDICES FOR LARGE CAPITALIZATION STOCKS CLIMBED THROUGH THE FIRST HALF
OF THE YEAR EVEN AS VOLATILITY INCREASED. The S&P 500 Index crossed the 1,000
mark for the first time in February 1998. The Index continued to reach higher
through most of April, when, towards the end of the month, fears of a
tightening by the Federal Reserve Board sparked a huge drop in the market.
Stronger than anticipated economic numbers supported a quick rebound, and a
similar roller coaster ride was replayed from May through June.
ALL MAJOR U.S. EQUITY INDICES POSTED NEGATIVE RETURNS FOR THE THIRD QUARTER, AS
STOCKS TUMBLED ON BOTH DOMESTIC AND INTERNATIONAL NEWS. Lower corporate
profits, expectations of slower growth in the second half, and the General
Motors strike contributed to a July sell off. 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. In fact, the August S&P 500 Index return was one of the ten worst
since the Index's inception. September began with tremendous gains. The market
had recovered more than half of August's losses towards the end of September,
when it tumbled 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.
FOURTH QUARTER RETURNS, THE STRONGEST IN SOME TWENTY YEARS FOR MOST MAJOR U.S.
LARGE CAP EQUITY INDICES, MARKED AN EXPLOSIVE FINISH TO A VOLATILE YEAR. The
technology sector, led by internet-related stocks, posted staggering returns
for the quarter. Such growth is evidenced by the addition of America Online
Inc. and Compuware Corp. to the S&P 500 Index, replacing Venator Group Inc. and
SunAmerica Inc., the latter of which was acquired by index component American
International Group Inc. Two more interest rate cuts of 0.25% each by the
Federal Reserve Board in the fourth quarter also buoyed the equity markets.
OVERALL, LARGE CAPITALIZATION STOCKS SIGNIFICANTLY OUTPERFORMED SMALL AND MID
CAP STOCKS FOR THE ANNUAL PERIOD, AND WITHIN THE LARGE CAP SECTOR, GROWTH
STOCKS OUTPERFORMED VALUE STOCKS. Top performing sectors for the year included
technology, communication services, and health care. The weakest performing
sectors included energy, transportation, and basic materials. There were 48
changes to the S&P 500 Index during the year, over 75% of which were due to
mergers and acquisitions. These additions and deletions represent a 7.81%
turnover for the year, which was higher than in 1997.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998 Past 1 Year Since Inception
- --------------------------------- ------------- ----------------
<S> <C> <C>
Equity 500 Index Fund1
(inception 10/1/97) 28.71% 31.16%
- --------------------------------- ----- -----
S&P 500 Index2 28.58% 31.16%
</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. 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.
Of course, it is important to note that as an index fund, designed to replicate
the broad diversification and returns of the S&P 500 Index, we neither evaluate
short-term fluctuations in the Fund's performance nor manage according to a
given outlook for the equity markets or the economy in general. Still, we will
continue monitoring economic conditions and how they affect the financial
markets, as we seek to closely track the performance of the stock market.
/s/ Frank Salerno
Frank Salerno
Portfolio Manager of the Equity 500 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 S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index.
3
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Letter to Shareholders (continued)
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Sector as of December 31, 1998 (Unaudited)
[PIE CHART APPEARS BELOW WITH THE FOLLOWING INFORMATION:]
Consumer Non-Durables 22.77%
Finance & Building 17.09%
Health Care 11.89%
Utilities 11.32%
Business Equipment & Services 7.94%
Retail Trade 6.81%
Consumer Durables 6.20%
Capital Goods 6.19%
Energy 5.36%
Chemicals 2.18%
Transportation 0.94%
Forest Products 0.90%
Metals 0.41%
PERFORMANCE COMPARISON
Comparison of Change in
Value of a $10,000 Investment
in the Equity 500 Index Fund
and the S&P 500 Index from
October 1, 1997, through
December 31, 1998.
Average Annual
Total Returns
for the Periods Ended
December 31, 1998
One Year Since 10/1/97*
28.71% 24.25%
*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.
[LINE CHART APPEARS BELOW WITH THE FOLLOWING PLOT POINTS:]
10/97 6/98 12/98
----- ---- -----
Equity 500 Index Fund $ 10,000.00 $ 12,030.00 $ 13,116.00
S&P 500 Index $ 10,000.00 $ 11,993.00 $ 13,102.00
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged and investments may not be made in an index.
4
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ------------------------------------------------- ----------------
<S> <C> <C>
COMMON STOCKS -- 97.64%
1,600 3Com Corp. (a) .................................. $71,700
7,100 Abbott Laboratories ............................. 347,900
1 Abercrombie & Fitch Co. - Class A (a) ........... 71
400 Adobe Systems, Inc. ............................. 18,700
200 Adolph Coors Co. - Class B ...................... 11,288
500 Advanced Micro Devices, Inc. (a) ................ 14,469
300 Aeroquip-Vickers, Inc. .......................... 8,981
900 AES Corp. (a) ................................... 42,638
800 Aetna, Inc. ..................................... 62,900
1,100 Air Products & Chemicals, Inc. .................. 44,000
2,900 AirTouch Communications, Inc. (a) ............... 209,163
1,400 Albertsons, Inc. ................................ 89,163
800 Alcan Aluminum Ltd. ADR ......................... 21,650
900 Allegheny Teledyne, Inc. ........................ 18,394
500 Allergan Inc. ................................... 32,375
2,900 AlliedSignal, Inc. .............................. 128,506
3,700 Allstate Corp. .................................. 142,913
1,500 ALLTEL Corp. .................................... 89,719
1,000 Aluminum Company of America ..................... 74,563
600 ALZA Corp. (a) .................................. 31,350
500 Amerada Hess Corp. .............................. 24,875
500 Ameran Corp. .................................... 21,344
2,200 America Online, Inc. (a) ........................ 352,000
700 American Electric Power Co. ..................... 32,944
2,100 American Express Co. ............................ 214,725
1,100 American General Corp. .......................... 85,800
100 American Greetings Corp. - Class A .............. 4,106
6,300 American Home Products Corp. .................... 354,769
4,950 American International Group, Inc. .............. 478,294
1,600 American Stores Co. ............................. 59,100
5,600 Ameritech Corp. ................................. 354,900
1,300 Amgen, Inc. (a) ................................. 135,931
200 Amoco Corp. ..................................... 12,075
1,198 AMP, Inc. ....................................... 62,371
800 AMR Corp. (a) ................................... 47,500
400 Anadarko Petroleum Co. .......................... 12,350
600 Andrew Corp. (a) ................................ 9,900
2,400 Anheuser-Busch Companies, Inc. .................. 157,500
800 Aon Corp. ....................................... 44,300
200 Apache Corp. .................................... 5,063
700 Apple Computer, Inc. (a) ........................ 28,656
1,700 Applied Materials, Inc. (a) ..................... 72,569
2,395 Archer-Daniels-Midland Co. ...................... 41,164
100 Armstrong World Industries, Inc. ................ 6,031
200 ASARCO, Inc. .................................... 3,013
1,000 Ascend Communications, Inc. (a) ................. 65,750
300 Ashland, Inc. ................................... 14,513
3,394 Associates First Cap Corp. ...................... 143,821
8,400 AT&T Corp. ...................................... 632,100
1,700 Atlantic Richfield Co. .......................... 110,925
400 Autodesk, Inc. .................................. 17,075
1,600 Automatic Data Processing, Inc. ................. 128,300
600 AutoZone, Inc. (a) .............................. 19,763
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ------------------------------------------------- ----------------
<S> <C> <C>
700 Avery Dennison Corp. ............................ $31,544
1,500 Avon Products, Inc. ............................. 66,375
1,640 Baker Hughes, Inc. .............................. 29,008
300 Baltimore Gas & Electric Co. .................... 9,225
5,500 Banc One Corp. .................................. 280,844
4,000 Bank of New York Co., Inc. ...................... 161,000
8,271 BankAmerica Corp. ............................... 497,294
1,700 BankBoston Corp. ................................ 66,194
2,300 Barrick Gold Corp. .............................. 44,850
400 Bausch & Lomb ................................... 24,000
1,300 Baxter International, Inc. ...................... 83,606
1,200 BB&T Corp. ...................................... 48,375
700 Bear Stearns Companies, Inc. .................... 26,163
1,400 Becton, Dickinson & Co. ......................... 59,763
7,400 Bell Atlantic Corp. ............................. 392,200
9,300 BellSouth Corp. ................................. 463,838
100 Bemis Company, Inc. ............................. 3,794
1,400 Bestfoods ....................................... 74,550
700 Bethlehem Steel Corp. (a) ....................... 5,863
700 Biomet, Inc. .................................... 28,175
500 Black & Decker Corp. ............................ 28,031
400 Block (H&R), Inc. ............................... 18,000
4,600 Boeing Co. ...................................... 150,075
2,000 Boston Scientific Corp. (a) ..................... 53,625
1,200 BMC Software, Inc. (a) .......................... 53,475
4,700 Bristol-Myers Squibb Co. ........................ 628,919
1,000 Browning Ferris Industries, Inc. ................ 28,438
400 Brunswick Corp. ................................. 9,900
2,300 Burlington Northern Santa Fe Corp. .............. 77,625
1,100 Burlington Resources, Inc. ...................... 39,394
400 Cabletron Systems, Inc. (a) ..................... 3,350
2,400 Campbell Soup Co. ............................... 132,000
300 Capital One Financial Corp. ..................... 34,500
1,100 Cardinal Health, Inc. ........................... 83,463
3,000 Carnival Corp. .................................. 144,000
500 Carolina Power & Light Co. ...................... 23,531
500 Case Corp. ...................................... 10,906
1,900 Caterpillar, Inc. ............................... 87,400
3,700 CBS Corp. (a) ................................... 121,175
4,480 Cendant Corp. (a) ............................... 85,400
300 Centex Corp. .................................... 13,519
1,200 Central & South West Corp. ...................... 32,925
200 Ceridian Corp. (a) .............................. 13,963
600 Champion International Corp. .................... 24,300
4,000 Chase Manhattan Corp. ........................... 272,250
3,100 Chevron Corp. ................................... 257,106
1,000 Chubb Corp. ..................................... 64,875
1,100 CIGNA Corp. ..................................... 85,044
600 Cincinnati Financial Corp. ...................... 21,975
500 CINergy Corp. ................................... 17,188
500 Circuit City Stores, Inc. ....................... 24,969
7,700 Cisco Systems, Inc. (a) ......................... 714,656
10,919 Citigroup, Inc. ................................. 540,491
1,400 Clear Channel Communications, Inc. (a) .......... 76,300
600 Clorox Co. ...................................... 70,088
</TABLE>
See Notes to Financial Statements
5
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- -------------------------------------------------- ----------------
<S> <C> <C>
800 Coastal Corp. .................................... $ 27,950
12,000 Coca-Cola Co. .................................... 802,500
2,200 Coca-Cola Enterprises, Inc. ...................... 78,650
1,300 Colgate-Palmolive Co. ............................ 120,738
550 Columbia Energy Group ............................ 31,763
3,100 Columbia/HCA Healthcare Corp. .................... 76,725
1,800 Comcast Corp. - Class A .......................... 105,638
700 Comerica, Inc. ................................... 47,731
8,483 Compaq Computer Corp. ............................ 355,756
2,650 Computer Associates International, Inc. .......... 112,956
800 Computer Sciences Corp. .......................... 51,550
900 Compuware Corp. (a) .............................. 70,313
2,200 ConAgra, Inc. .................................... 69,300
1,767 Conseco, Inc. .................................... 53,992
Consolidated Edison Company of
1,100
New York, Inc. ................................... 58,163
500 Consolidated Natural Gas Co. ..................... 27,000
600 Consolidated Stores Corp. (a) .................... 12,113
700 Cooper Industries, Inc. .......................... 33,381
100 Cooper Tire & Rubber Co. ......................... 2,044
1,300 Corning, Inc. .................................... 58,500
1,200 Costco Companies, Inc. (a) ....................... 86,625
700 Countrywide Credit Industries .................... 35,131
800 Crown Cork & Seal Co., Inc. ...................... 24,650
1,300 CSX Corp. ........................................ 53,950
300 Cummins Engine, Inc. ............................. 10,650
1,700 CVS Corp. ........................................ 93,500
200 Cyprus Amax Minerals Co. ......................... 2,000
986 Dana Corp. ....................................... 40,297
800 Danaher Corp. .................................... 43,200
300 Darden Restaurants Inc. .......................... 5,400
2,300 Dayton Hudson Corp. .............................. 124,775
1,400 Deere & Co. ...................................... 46,375
6,100 Dell Computer Corp. (a) .......................... 446,444
700 Delta Air Lines, Inc. ............................ 36,400
300 Deluxe Corp. ..................................... 10,969
Dillard Department Stores, Inc. -
400
Class A .......................................... 11,350
9,700 Disney (Walt) Co. ................................ 291,000
1,175 Dollar General Corp. ............................. 27,759
1,300 Dominion Resources, Inc. ......................... 60,775
600 Donnelley (R.R.) & Sons Co. ...................... 26,288
1,000 Dover Corp. ...................................... 36,625
1,200 Dow Chemical Co. ................................. 109,125
300 Dow Jones & Co., Inc. ............................ 14,438
700 DTE Energy Co. ................................... 30,013
5,400 Du Pont (E.I.) de Nemours & Co. .................. 304,088
2,000 Duke Energy Corp. ................................ 128,125
600 Dun & Bradstreet Corp. ........................... 18,938
100 Eastern Enterprises .............................. 4,375
200 Eastman Chemical Co. ............................. 8,950
1,500 Eastman Kodak Co. ................................ 108,000
400 Eaton Corp. ...................................... 28,275
400 Ecolab, Inc. ..................................... 14,475
1,400 Edison International ............................. 39,025
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- -------------------------------------------------- ----------------
<S> <C> <C>
2,600 Electronic Data Systems Corp. .................... $ 130,650
2,600 EMC Corp. (a) .................................... 221,000
2,300 Emerson Electric Co. ............................. 139,150
300 Engelhard Corp. .................................. 5,850
1,800 Enron Corp. ...................................... 102,713
1,400 Entergy Corp. .................................... 43,575
500 Equifax, Inc. .................................... 17,094
11,700 Exxon Corp. ...................................... 855,563
4,800 Fannie Mae ....................................... 355,200
780 FDX Corporation (a) .............................. 69,420
900 Federated Department Stores, Inc. (a) ............ 39,206
1,500 Fifth Third Bancorp .............................. 106,969
1,900 First Data Corp. ................................. 60,206
4,648 First Union Corp. ................................ 282,657
700 Firstar Corp. .................................... 65,275
1,300 FirstEnergy Corp. ................................ 42,331
3,100 Fleet Financial Group, Inc. ...................... 138,531
400 Fluor Corp. ...................................... 17,025
5,700 Ford Motor Co. ................................... 334,519
1,000 Fort James Corp. ................................. 40,000
800 Fortune Brands, Inc. ............................. 25,300
1,100 FPL Group, Inc. .................................. 67,788
1,300 Franklin Resources Inc. .......................... 41,600
900 Fred Meyer, Inc. (a) ............................. 54,225
3,400 Freddie Mac ...................................... 219,088
Freeport-McMoRan Copper & Gold, Inc. -
200
Class B .......................................... 2,088
700 Frontier Corp. ................................... 23,800
300 Fruit of the Loom Inc. - Class A (a) ............. 4,144
1,600 Gannet Co., Inc. ................................. 105,900
2,650 Gap, Inc. ........................................ 149,063
700 Gateway 2000 (a) ................................. 35,831
700 General Dynamics Corp. ........................... 41,038
15,800 General Electric Co. ............................. 1,612,588
800 General Instrument Corp. (a) ..................... 27,050
900 General Mills, Inc. .............................. 69,975
3,200 General Motors Corp. ............................. 229,200
500 Genuine Parts Co. ................................ 16,719
500 Georgia-Pacific (Georgia Pacific Group) .......... 29,281
5,700 Gillette Co. ..................................... 275,381
200 Golden West Financial Group ...................... 18,338
600 Goodrich (B.F.) Co. .............................. 21,525
900 Goodyear Tire & Rubber Co. ....................... 45,394
800 GPU, Inc. ........................................ 35,350
300 Grace (W.R.) & Co. (a) ........................... 4,706
300 Grainger (W.W.) Inc. ............................. 12,488
200 Great Lakes Chemical Corp. ....................... 8,000
4,600 GTE Corp. ........................................ 310,213
800 Guidant Corp. .................................... 88,200
2,100 Halliburton Co. .................................. 62,213
500 Harris Corp. ..................................... 18,313
1,300 Hartford Financial Services Group, Inc. .......... 71,338
400 Hasbro, Inc. ..................................... 14,450
2,500 HBO & Co. ........................................ 71,719
400 HCR Manor Care, Inc. (a) ......................... 11,750
</TABLE>
See Notes to Financial Statements
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ----------------
<S> <C> <C>
2,400 HEALTHSOUTH Corp. (a) ............................. $ 37,050
2,000 Heinz (H. J.) Co. ................................. 113,250
100 Helmerich & Payne, Inc. ........................... 1,938
200 Hercules, Inc. .................................... 5,475
400 Hershey Foods Corp. ............................... 24,875
5,200 Hewlett-Packard Co. ............................... 355,225
1,100 Hilton Hotels Corp. ............................... 21,038
7,500 Home Depot, Inc. .................................. 458,906
1,000 Homestake Mining Co. .............................. 9,188
700 Honeywell, Inc. ................................... 52,719
2,507 Household International, Inc. ..................... 99,326
1,000 Houston Industries, Inc. .......................... 32,125
800 Humana, Inc. (a) .................................. 14,250
740 Huntington Bancshares, Inc. ....................... 22,246
800 Ikon Office Solutions, Inc. ....................... 6,850
1,400 Illinois Tool Works, Inc. ......................... 81,200
900 IMS Health, Inc. .................................. 67,894
600 Inco Ltd. ADR ..................................... 6,338
1,000 Ingersoll-Rand Co. ................................ 46,938
8,000 Intel Corp. ....................................... 948,500
4,400 International Business Machines Corp. ............. 812,900
400 International Flavors & Fragrances, Inc. .......... 17,675
1,700 International Paper Co. ........................... 76,181
700 Interpublic Group of Companies, Inc. .............. 55,825
300 ITT Industries, Inc. .............................. 11,925
400 Jefferson-Pilot Corp. ............................. 30,000
6,700 Johnson & Johnson Co. ............................. 561,963
400 Johnson Controls, Inc. ............................ 23,600
100 Kaufman and Broad Home Corp. ...................... 2,875
2,100 Kellogg Co. ....................................... 71,663
300 Kerr-McGee Corp. .................................. 11,475
2,200 KeyCorp ........................................... 70,400
2,900 Kimberly-Clark Corp. .............................. 158,050
400 KLA-Tencor Corp. (a) .............................. 17,350
2,100 Kmart Corp. (a) ................................... 32,156
400 Knight-Ridder, Inc. ............................... 20,450
900 Kohl's Corp. (a) .................................. 55,294
1,400 Kroger Co. (a) .................................... 84,700
800 Laidlaw, Inc. ADR ................................. 8,050
700 Lehman Brothers Holdings Inc. ..................... 30,844
5,300 Lilly (Eli) & Co. ................................. 471,038
1,375 Limited, Inc. ..................................... 40,047
600 Lincoln National Corp. ............................ 49,088
400 Liz Claiborne, Inc. ............................... 12,625
900 Lockheed Martin Corp. ............................. 76,275
400 Loews Corp. ....................................... 39,300
800 Louisiana-Pacific Corp. ........................... 14,650
1,700 Lowe's Companies, Inc. ............................ 87,019
300 LSI Logic Corp. (a) ............................... 4,838
6,400 Lucent Technologies, Inc. ......................... 704,000
400 Mallinckrodt, Inc. ................................ 12,325
1,200 Marriot International, Inc. - Class A ............. 34,800
1,350 Marsh & McLennan Companies, Inc. .................. 78,891
1,900 Masco Corp. ....................................... 54,625
1,800 Mattel, Inc. ...................................... 41,063
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ----------------
<S> <C> <C>
1,100 May Department Stores Co. ......................... $ 66,413
600 Maytag Corp. ...................................... 37,350
500 MBIA, Inc. ........................................ 32,781
3,925 MBNA Corp.......................................... 97,880
200 McDermott International, Inc. ..................... 4,938
3,300 McDonald's Corp. .................................. 252,863
600 McGraw-Hill Companies, Inc. ....................... 61,125
8,812 MCI Worldcom, Inc. (a) ............................ 632,261
300 Mead Corp. ........................................ 8,794
3,100 MediaOne Group, Inc. (a) .......................... 145,700
2,400 Medtronic, Inc. ................................... 178,200
1,500 Mellon Bank Corp. ................................. 103,125
1,000 Mercantile Bancorp, Inc. .......................... 46,125
5,700 Merck & Co., Inc. ................................. 841,819
1,600 Merrill Lynch & Co., Inc. ......................... 106,800
600 MGIC Investment ................................... 23,888
1,100 Micron Technology, Inc. (a) ....................... 55,619
12,100 Microsoft Corp. (a) ............................... 1,678,060
2,100 Minnesota Mining & Manufacturing Co. .............. 153,300
1,400 Mirage Resorts, Inc. (a) .......................... 20,913
4,000 Mobil Corp. ....................................... 348,500
3,100 Monsanto Co. ...................................... 147,250
900 Morgan (J.P.) & Company, Inc. ..................... 94,556
Morgan Stanley, Dean Witter,
2,700
Discover & Co. .................................... 191,700
500 Morton International, Inc. ........................ 12,250
2,800 Motorola, Inc. .................................... 170,975
1,800 National City Corp. ............................... 129,600
600 National Semiconductor Corp. (a) .................. 8,100
300 Navistar International Corp. (a) .................. 8,550
400 New Century Energies, Inc. ........................ 19,500
1,000 New York Times Co. - Class A ...................... 34,688
1,000 Newell Co. ........................................ 41,250
1,000 Newmont Mining Corp. .............................. 18,063
1,600 Nextel Communication Inc. - Class A (a) ........... 37,800
500 Niagara Mohawk Power Corp. (a) .................... 8,063
1,100 Nike, Inc. - Class B .............................. 44,619
900 Nordstrom, Inc. ................................... 31,219
1,500 Norfolk Southern Corp. ............................ 47,531
300 Northern States Power Co. ......................... 8,325
3,220 Northern Telecom, Ltd. ADR ........................ 161,403
700 Northern Trust Corp ............................... 61,119
300 Northrop Grumman Corp. ............................ 21,938
2,100 Novell, Inc. (a) .................................. 38,063
300 Nucor Corp. ....................................... 12,975
1,800 Occidental Petroleum Corp. ........................ 30,375
700 Omnicom Group, Inc. ............................... 40,600
4,800 Oracle Corp. (a) .................................. 207,000
100 Oryx Energy Co. (a) ............................... 1,344
200 Owens Corning ..................................... 7,088
500 Owens-Illinois, Inc. (a) .......................... 15,313
300 PACCAR, Inc. ...................................... 12,338
2,100 PacifiCorp ........................................ 44,231
300 Pall Corp. ........................................ 7,594
1,700 Parametric Technology Corp. (a) ................... 27,838
</TABLE>
See Notes to Financial Statements
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- -------------------------------------------------- ----------------
<S> <C> <C>
600 Parker-Hannifin Corp. ............................ $19,650
900 Paychex, Inc. .................................... 46,294
1,000 PECO Energy Co. .................................. 41,625
1,500 Penney (J.C.) Co., Inc. .......................... 70,313
1,300 PeopleSoft, Inc. (a) ............................. 24,619
100 Pep Boys-Manny, Moe & Jack ....................... 1,569
6,900 PepsiCo, Inc. .................................... 282,469
300 Perkin-Elmer Corp. ............................... 29,269
6,200 Pfizer, Inc. ..................................... 777,713
2,300 PG&E Corp. ....................................... 72,450
2,600 Pharmacia & Upjohn, Inc. ......................... 147,225
400 Phelps Dodge Corp. ............................... 20,350
11,600 Philip Morris Companies, Inc. .................... 620,600
1,000 Phillips Petroleum Co. ........................... 42,625
740 Pioneer Hi-Bred International, Inc. .............. 19,980
1,500 Pitney Bowes, Inc. ............................... 99,094
1,100 Placer Dome, Inc. ADR ............................ 12,650
1,600 PNC Bank Corp. ................................... 86,600
200 Polaroid Corp. ................................... 3,738
760 PP&L Resources, Inc. ............................. 21,185
900 PPG Industries, Inc. ............................. 52,425
1,000 Praxair, Inc. .................................... 35,250
6,400 Procter & Gamble Co. ............................. 584,400
300 Progressive Corp. ................................ 50,813
500 Provident Companies, Inc. ........................ 20,750
750 Providian Financial Corp. ........................ 56,250
1,200 Public Service Enterprise Group, Inc. ............ 48,000
200 Pulte Corp. ...................................... 5,563
700 Quaker Oats Co. .................................. 41,650
1,300 Ralston-Purina Group ............................. 42,088
300 Raychem Corp. .................................... 9,694
1,800 Raytheon Co. - Class B ........................... 95,850
200 Reebok International, Ltd. (a) ................... 2,975
1,200 Regions Financial Corp. .......................... 48,375
500 Republic New York Corp. .......................... 22,781
400 Reynolds Metals Co. .............................. 21,075
1,500 Rite Aid Corp. ................................... 74,344
1,900 RJR Nabisco Holdings Corp. ....................... 56,406
1,000 Rockwell International Corp. ..................... 48,563
900 Rohm & Haas Co. .................................. 27,113
500 Rowan Companies, Inc. (a) ........................ 5,000
10,500 Royal Dutch Petroleum Co. ADR .................... 502,688
1,000 Rubbermaid, Inc. ................................. 31,438
900 SAFECO Corp. ..................................... 38,644
2,200 Safeway, Inc. (a) ................................ 134,063
4,400 Sara Lee Corp. ................................... 124,025
9,300 SBC Communications, Inc. ......................... 498,713
7,300 Schering-Plough Corp. ............................ 403,325
2,700 Schlumberger, Ltd. ............................... 124,538
2,100 Schwab (Charles) Corp. ........................... 117,994
500 Scientific Atlanta, Inc. ......................... 11,406
1,100 Seagate Technology, Inc. (a) ..................... 33,275
2,200 Seagram Co., Ltd. ADR ............................ 83,600
553 Sealed Air Corp. (a) ............................. 28,238
1,700 Sears, Roebuck & Co. ............................. 72,250
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- -------------------------------------------------- ----------------
<S> <C> <C>
1,000 Sempra Energy .................................... $25,375
1,200 Service Corporation International ................ 45,675
1,000 Sherwin-Williams Co. ............................. 29,375
500 Sigma-Aldrich Corp. .............................. 14,688
1,200 Silicon Graphics, Inc. (a) ....................... 15,450
700 SLM Holding Corp. ................................ 33,600
200 Snap-on, Inc. .................................... 6,963
600 Solectron Corp. (a) .............................. 55,763
500 Sonat, Inc. ...................................... 13,531
3,900 Southern Co. ..................................... 113,344
1,600 Southwest Airlines Co. ........................... 35,900
1,800 Sprint Corp. ..................................... 151,425
2,300 Sprint PCS (a) ................................... 53,188
186 St. Jude Medical, Inc. (a) ....................... 5,150
1,212 St. Paul Companies, Inc. ......................... 42,102
300 Stanley Works .................................... 8,325
1,700 Staples, Inc. (a) ................................ 74,269
800 State Street Corp. ............................... 55,650
1,100 Summit Bancorp ................................... 48,056
500 Sunoco, Inc. ..................................... 18,031
1,800 Sun Microsystems, Inc. (a) ....................... 154,125
900 SunAmerica, Inc. ................................. 73,013
1,700 SunTrust Banks, Inc. ............................. 130,050
600 SUPERVALU, Inc. .................................. 16,800
850 Synovus Financial Corp. .......................... 20,719
1,400 Sysco Corp. ...................................... 38,413
700 Tandy Corp. ...................................... 28,831
300 Tektronix, Inc. .................................. 9,019
2,200 Tele-Communications, Inc. - Class A (a) .......... 121,688
1,000 Tellabs, Inc. (a) ................................ 68,563
200 Temple-Inland, Inc. .............................. 11,863
1,400 Tenet Healthcare Corp. (a) ....................... 36,750
1,100 Tenneco, Inc. .................................... 37,469
2,900 Texaco, Inc. ..................................... 153,338
1,800 Texas Instruments, Inc. .......................... 154,013
1,600 Texas Utilities Co. .............................. 74,700
600 Textron, Inc. .................................... 45,563
800 Thermo Electron Corp. (a) ........................ 13,550
5,300 Time Warner, Inc. ................................ 328,931
400 Times Mirror Co. - Class A ....................... 22,400
500 Timken Co. ....................................... 9,438
1,800 TJX Companies, Inc. .............................. 52,200
500 Torchmark Corp. .................................. 17,656
1,200 Toys 'R' Us, Inc. (a) ............................ 20,250
300 Transamerica Corp. ............................... 34,650
700 Tribune Co. ...................................... 46,200
800 Tricon Global Restaurants, Inc. (a) .............. 40,100
600 TRW, Inc. ........................................ 33,713
100 Tupperware Corp. ................................. 1,644
3,228 Tyco International, Ltd. ......................... 243,512
400 U.S. Airways Group, Inc. (a) ..................... 20,800
3,600 U.S. Bancorp ..................................... 127,800
900 Unicom Corp. ..................................... 34,706
3,100 Unilever N.V. ADR ................................ 257,106
500 Union Camp Corp. ................................. 33,750
</TABLE>
See Notes to Financial Statements
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Net Assets DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------- ---------------------------------------------- -------------
<S> <C> <C>
800 Union Carbide Corp. .......................... $ 34,000
1,300 Union Pacific Corp. .......................... 58,581
1,200 Union Pacific Resources Group, Inc. .......... 10,875
600 Union Planters Corp. ......................... 27,188
1,100 Unisys Corp. (a) ............................. 37,881
900 United Healthcare Corp. ...................... 38,756
1,000 United Technologies Corp. .................... 108,750
1,000 Unocal Corp. ................................. 29,188
800 UNUM Corp. ................................... 46,700
2,638 US West, Inc. ................................ 170,481
1,200 UST, Inc. .................................... 41,850
1,300 USX-Marathon Group ........................... 39,163
600 USX-U.S. Steel Group, Inc. ................... 13,800
500 V.F. Corp. ................................... 23,438
1,400 Viacom, Inc. - Class B (a) ................... 103,600
1,000 Wachovia Corp. ............................... 87,438
2,300 Walgreen Co. ................................. 134,694
10,700 Wal-Mart Stores, Inc. ........................ 871,381
4,100 Warner Lambert Co. ........................... 308,269
3,122 Washington Mutual, Inc. ...................... 119,221
2,697 Waste Management, Inc. ....................... 125,748
7,700 Wells Fargo & Co. ............................ 307,519
1,000 Wendy's International, Inc. .................. 21,813
200 Westvaco Corp. ............................... 5,363
1,000 Weyerhauser Co. .............................. 50,813
300 Whirlpool Corp. .............................. 16,613
300 Willamette Industries, Inc. .................. 10,050
2,400 Williams Companies, Inc. ..................... 74,850
600 Winn-Dixie Stores, Inc. ...................... 26,925
300 Worthington Industries, Inc. ................. 3,750
400 Wrigley, (WM.) Jr., Co. ...................... 35,825
1,700 Xerox Corp. .................................. 200,600
-----------
TOTAL COMMON STOCKS (Cost $42,762,066) 48,520,119
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- ------------ -------------------------------- ------------
<S> <C> <C>
SHORT TERM INSTRUMENTS -- 8.98%
U.S. TREASURY BILLS (C) -- 8.98%
$ 23,000 3.77%, 01/07/1999 .............. $ 22,986
366,000 4.39%, 01/21/1999 .............. 365,106
170,000 4.45%, 02/04/1999 (b) .......... 169,295
320,000 4.30%, 02/11/1999 .............. 318,434
730,000 4.36%, 03/11/1999 .............. 724,189
590,000 4.34%, 03/18/1999 .............. 584,779
2,300,000 4.44%, 04/01/1999 .............. 2,275,758
----------
TOTAL SHORT TERM INSTRUMENTS (Cost 4,460,547
----------
$4,458,787)
</TABLE>
<TABLE>
<CAPTION>
TOTAL INVESTMENTS (Cost
$47,220,853)--106.62% $52,980,666
<S> <C> <C>
LIABILITIES IN EXCESS OF OTHER (3,289,316)
----------
ASSETS -- (6.62)%
NET ASSETS ......... 100.00% $ 49,691,350
====== ============
----------
</TABLE>
(a) Non-income producing security.
(b) Pledged as collateral for open futures contracts.
(c) Average yield at time of purchase.
ADR American Depositary Receipt.
At December 31, 1998, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
NUMBER OF NET
CONTRACTS CONTRACT EXPIRATION OPENING CURRENT UNREALIZED
PURCHASED TYPE DATE POSITION MARKET VALUE GAIN
- ----------- ---------- ------------ ------------- -------------- -----------
<S> <C> <C> <C> <C> <C>
4 S&P 500 03/19/99 $1,235,024 $1,245,500 $10,476
========== ========== =======
</TABLE>
See Notes to Financial Statements
9
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Operations FOR THE YEAR ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ................................................................ $ 332,586
Dividends ............................................................... 63,914
----------
Total Investment Income ............................................... 396,500
----------
EXPENSES:
Advisory fees ........................................................... 47,571
Administration fees ..................................................... 74,756
Fund accounting fees .................................................... 11,606
Custodian fees .......................................................... 69,806
Professional fees ....................................................... 32,237
Trustees fees ........................................................... 17,767
Amortization of organizational costs .................................... 4,150
Transfer agent fees ..................................................... 7,294
Printing fees ........................................................... 8,390
Other ................................................................... 8,291
----------
Total expenses before waiver/reimbursement ............................ 281,868
Less waiver/reimbursement by Advisor .................................. (182,787)
Less waiver by Custodian .............................................. (7,128)
Less waiver by Administrator/Transfer Agent ........................... (21,131)
----------
Total expenses net of waiver/reimbursement ............................ 70,822
----------
NET INVESTMENT INCOME .................................................... 325,678
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments ........................................ 841,853
Net realized gain on futures contracts .................................. 301,536
Change in unrealized appreciation/depreciation on investments ........... 5,557,330
Change in unrealized appreciation/depreciation on futures contracts ..... 10,476
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS .......................... 6,711,195
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ..................... $7,036,873
==========
</TABLE>
See Notes to Financial Statements
10
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31, 1998
-------------------
<S> <C>
INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income .................................................................. $ 325,678
Net realized gain on investments and futures contracts ................................. 1,143,389
Net change in unrealized appreciation/depreciation of investments and futures contracts 5,567,806
--------------
Net increase in net assets resulting from operations ................................... 7,036,873
--------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................................. (167,871)
Net realized gain on investments ....................................................... (1,074,374)
--------------
Total distributions .................................................................... (1,242,245)
--------------
SHARE TRANSACTIONS:
Net proceeds from sale of shares ....................................................... 44,489,580
Issued to shareholders in reinvestment of distributions ................................ 1,242,246
Costs of shares redeemed ............................................................... (13,595,227)
--------------
Net increase in net assets from share transactions ................................... 32,136,599
--------------
Net increase in net assets ........................................................... 37,931,227
--------------
NET ASSETS:
Beginning of period .................................................................... 11,760,123
--------------
End of period .......................................................................... $ 49,691,350
==============
Undistributed net investment income ..................................................... $ 197,747
==============
<CAPTION>
FOR THE PERIOD
OCTOBER 1, 19971 TO
DECEMBER 31, 1997
--------------------
<S> <C>
INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income .................................................................. $ 39,940
Net realized gain on investments and futures contracts ................................. 10,114
Net change in unrealized appreciation/depreciation of investments and futures contracts 202,483
------------
Net increase in net assets resulting from operations ................................... 252,537
------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................................. --
Net realized gain on investments ....................................................... --
------------
Total distributions .................................................................... --
------------
SHARE TRANSACTIONS:
Net proceeds from sale of shares ....................................................... 13,196,045
Issued to shareholders in reinvestment of distributions ................................ --
Costs of shares redeemed ............................................................... (1,688,459)
------------
Net increase in net assets from share transactions ................................... 11,507,586
------------
Net increase in net assets ........................................................... 11,760,123
------------
NET ASSETS:
Beginning of period .................................................................... --
------------
End of period .......................................................................... $ 11,760,123
============
Undistributed net investment income ..................................................... $ 39,940
============
</TABLE>
- ----------
1 Commencement of operations.
See Notes to Financial Statements
11
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding throughout each period
<TABLE>
<CAPTION>
FOR THE PERIOD
YEAR ENDED OCTOBER 1, 19971 TO
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------- --------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .................................. $ 10.19 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................................ 0.07 0.032
Net realized and unrealized gain on investments and futures contracts 2.84 0.16
------- -------
Net increase in net asset value from operations ...................... 2.91 0.19
------- -------
LESS DISTRIBUTIONS:
Distributions from net investment income ............................. ( 0.05) --
Distributions from net realized gain on investments .................. ( 0.32) --
------- -------
Total distributions ................................................ ( 0.37) --
------- -------
NET ASSET VALUE, END OF PERIOD ........................................ $ 12.73 $ 10.19
======= =======
TOTAL RETURN (3) ...................................................... 28.71% 1.90 %
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) ................................... $49,691 $ 11,760
Ratios to average net assets:
Net investment income including reimbursement/waiver ................. 1.37% 1.51%4
Operating expenses including reimbursement/waiver .................... 0.30% 0.30%4
Operating expenses excluding reimbursement/waiver .................... 1.19% 2.78%4
Portfolio turnover rate ............................................... 36% 7%
</TABLE>
- ----------
1 Commencement of Operations.
2 Based on average shares method.
3 Total investment return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and
redemption on the last day of the period. Total return calculated for a
period of less than one year is not annualized.
4 Annualized.
See Notes to Financial Statements
12
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 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
Equity 500 Index Fund (the "Fund") which commenced operations on October 1,
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 Sup-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 October 1, 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 OCTOBER 1, 1997(A) TO
DECEMBER 31, 1998 DECEMBER 31, 1997
-------------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
--------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C>
Shares sold 3,833,114 $ 44,489,580 1,320,455 $13,196,045
Reinvestment of
Dividends 101,743 1,242,246 0 0
Shares redeemed (1,185,423) (13,595,227) (166,272) (1,688,459)
---------- ------------- --------- -----------
Net increase 2,749,434 $ 32,136,599 1,154,183 $11,507,586
========== ============= ========= ===========
</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 0.20% 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
13
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Notes to Financial Statements DECEMBER 31, 1998
- --------------------------------------------------------------------------------
will not exceed 0.30% 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>
$ 47,571 $47,571 $135,216
</TABLE>
The amount outstanding payable to the Fund by the Advisor as of December 31,
1998 was $24,012.
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'
AGGREGATE 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 $21,131 of its fees for the year ended December
31, 1998.
Bankers Trust Company is the custodian for the Fund. Bankers Trust Company has
waived $7,128 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 $2,659.
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
$38,744,979 and $8,163,965, 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>
$6,920,654 $(1,369,311) $5,551,343 $47,429,323
</TABLE>
At December 31, 1998, the amount payable for investment securities purchased
was $3,724,164.
NOTE 4 -- NET ASSETS
<TABLE>
<S> <C>
NET ASSETS:
Paid-in capital (3,903,617 outstanding shares of
beneficial interest) $43,644,185
Undistributed net investment income 197,747
Accumulated net realized gain on investments and
futures contracts 79,129
Net unrealized appreciation on investments and
futures contracts 5,770,289
-----------
TOTAL NET ASSETS -- 100% $49,691,350
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE
(Net Assets/Shares Outstanding) $ 12.73
===========
</TABLE>
14
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Report of Independent Auditors
- --------------------------------------------------------------------------------
To the Trustees of BT Insurance Funds Trust and
Shareholders of Equity 500 Index Fund
We have audited the accompanying statement of net assets of the Equity 500
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 October 1,
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
Equity 500 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 October 1, 1997
(commencement of operations) to December 31, 1997, in conformity with generally
accepted accounting principles.
Ernst & Young LLP
Philadelphia, Pennsylvania
January 29, 1999
15
<PAGE>
BT INSURANCE FUNDS TRUST
EQUITY 500 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
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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.
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Equity 500 Index Fund Cusip #05576E607
INSEQ500200 (12/98)
