o BT INSURANCE FUNDS TRUST o
SMALL CAP INDEX FUND
SEMI-ANNUAL REPORT
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JUNE 1999
<PAGE>
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BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
TABLE OF CONTENTS
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<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS ........................ 3
SMALL CAP INDEX FUND
Schedule of Investments ..................... 5
Statement of Assets and Liabilities ......... 22
Statement of Operations ..................... 23
Statements of Changes in Net Assets ......... 24
Financial Highlights ........................ 25
Notes to Financial Statements ............... 26
</TABLE>
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<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>
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2
<PAGE>
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BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
LETTER TO SHAREHOLDERS
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MARKET ACTIVITY
AS THE GLOBAL ECONOMY STARTED TO IMPROVE, THE DOMESTIC STOCK MARKET, INCLUDING
SMALL CAPS, CONTINUED A VOLATILE, BUT RECORD-BREAKING RUN. The S&P 500 Index*
advanced during the first six months of 1999, closing above the 1,300 mark late
in the first quarter. The Dow Jones Industrial Average rose to new highs,
passing the 10,000 milestone and then the 11,000 level within the first half of
the year. And, for the first time in seven quarters, the Russell 2000 Index,
representing small cap stocks, dramatically outperformed the S&P 500 Index in
the second quarter of 1999.
SMALL CAP STOCKS STARTED 1999 UNDERPERFORMING LARGE CAPS, AS SMALL CAP
TECHNOLOGY STOCKS LAGGED THEIR LATE 1998 PERFORMANCE. Investors took this
opportunity to find value in value stocks. This shift in sentiment, along with
higher oil prices, led particularly to stronger performance in energy related
stocks. Small cap valuations relative to large cap stocks continued to be lower
and thus more attractive.
AS THE SECOND QUARTER BEGAN, THERE WAS SHARPLY RENEWED STRENGTH IN FORMERLY
OUT-OF-FAVOR SMALL CAP SECTORS, INCLUDING CYCLICALS AND VALUE-ORIENTED STOCKS.
In fact, the Russell 2000 Index outperformed the S&P 500 Index by more than 2
to 1 for the second quarter, with a return of 15.55% versus 7.06%. Spurred on
by positive corporate earnings surprises and a similar rotation into cyclicals
amongst their larger cap brethren, small cap value stocks outperformed small
cap growth stocks for the quarter.
STILL, FOR THE SIX MONTHS, GROWTH STOCKS OUTPERFORMED VALUE STOCKS WITHIN THE
SMALL CAPITALIZATION SECTOR. Top performing sectors for the semi-annual period
included integrated oils, utilities, and technology. The weakest performing
sectors included financial services, health care, and consumer staples. The
annual Frank Russell Company rebalancing of the Russell 2000 Index contributed
to a 60.60% turnover rate for the twelve months ended June 30, 1999. This
turnover was slightly higher compared to the previous year.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
AVERAGE
ANNUAL
TOTAL
PERIODS ENDED JUNE 30, 1999 CUMULATIVE TOTAL RETURNS RETURNS
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Past 6 Past Since Past Since
months 1 year inception 1 year inception
- ------------------------------------------------------------------------------------------
BT Small Cap Index
Fund*
(inception 8/25/97) 7.85% 1.17% 10.88% 1.17% 5.73%
- ------------------------------------------------------------------------------------------
Russell 2000 Index** 9.28% 1.50% 11.87% 1.50% 6.31%
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</TABLE>
MANAGER OUTLOOK
A fundamental reassessment of the global economic outlook was the big story for
the financial markets during the first half of 1999. The nightmare scenarios of
Armageddon, deflation and financial meltdown that prevailed late last year were
replaced by signs of improving growth -- particularly in Asia.
Within the U.S., the improvement globally has not been uniformly good news for
financial markets. Indeed, with U.S. growth showing no signs of slowing and
labor markets still extremely tight, the pick-up in the rest of the world
raises the risks of inflation pressures here at home. To guard against those
risks, the Federal Reserve Board raised the targeted fed funds rate by 0.25% to
5% at their meeting on June 30th. Although the Fed declared a bias toward a
neutral stance, we expect continued strong growth and some pick-up in inflation
to prompt a modest degree of additional Fed tightening and some further backup
in Treasury yields going forward.
This backdrop might temper the equity markets' enthusiasm a bit, but a serious
correction is, in our opinion, unlikely unless the economy really overheats,
provoking aggressive Fed tightening and imperiling the economic expansion the
U.S. has enjoyed for more than eight years. It is likely we will continue to
see high volatility within the small cap equity sector, but small cap
fundamentals and earnings growth remain strong and relative valuations
attractive.
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.
BANKERS TRUST COMPANY
June 30, 1999
- ----------
* Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
** The Russell 2000 Index is an unmanaged index that measures small
capitalization equity securities ("small cap stocks"). This index is
unmanaged, and investments cannot be made in an index. Small cap stocks
have historically experienced greater volatility than average.
3
<PAGE>
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BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
LETTER TO SHAREHOLDERS (CONCLUDED)
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Diversification of Portfolio Investments
By Sector as of June 30, 1999 (Unaudited)
[PIE CHART APPEARS HERE WITH THE FOLLOWING VALUES]
Business Equip & Services 2.36%
Metals 2.44%
Chemicals 2.59%
Energy 2.96%
Transportation 3.01%
Retail Trade 4.69%
Utilities 5.79%
Health Care 7.68%
Capital Goods 8.21%
Consumer Durable 8.65%
Forest Products 1.21%
Consumer Non-durables 26.67%
Finance & Building 23.74%
- --------------------------------------------------------------------------------
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 June 30, 1999.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED JUNE 30, 1999
SIX MONTHS SINCE 8/25/97*
7.65% 5.73%
*THE FUNDS INCEPTION DATE.
INVESTMENT RETURN AND PRINCIPAL
VALUE MAY FLUCTUATE SO THAT SHARES,
WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
[GRAPH APPEARS HERE]
PLEASE INSERT PLOT POINTS
-------------------------------------------------------
8/97 12/97 6/98 12/98 6/99
Small Cap Index Fund - $11,088
Russell 2000 Index - $11,187
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>
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BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
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<TABLE>
<CAPTION>
Shares Value
- ------------- --------------
<S> <C> <C>
COMMON STOCKS -- 95.23%
700 3DFX Interactive, Inc. (a) ......................... $10,937
7,300 7 -Eleven, Inc. (a) ................................ 16,197
200 800-JR Cigar, Inc. (a) ............................. 2,475
275 99 Cents Only Stores (a)............................ 13,733
500 A.O. Smith Corp. ................................... 14,000
400 Aames Financial Corp. .............................. 525
1,250 AAR Corp. .......................................... 28,359
1,000 Aaron Rents, Inc. .................................. 22,250
300 Abacus Direct Corp. (a) ............................ 27,450
500 ABM Industries, Inc. ............................... 15,344
400 Acceptance Insurance Cos., Inc. (a) ................ 6,025
1,400 Acclaim Entertainment, Inc. (a) .................... 8,925
900 Ackerley Group, Inc. ............................... 16,369
500 Actel Corp. (a) .................................... 7,375
700 Action Performance Cos., Inc. (a) .................. 23,100
500 Acuson Corp. (a) ................................... 8,594
1,000 ACX Technologies, Inc. (a) ......................... 16,250
1,640 Acxiom Corp. (a) ................................... 40,898
100 ADAC Laboratories (a) .............................. 725
400 Adaptive Broadband Corp. (a) ....................... 8,750
1,200 Adelphia Communications Corp. (a) .................. 76,350
200 Administaff, Inc. (a) .............................. 3,200
600 ADTRAN, Inc. (a) ................................... 21,825
200 Advance Paradigm, Inc.(a) .......................... 12,200
200 Advanced Energy Industries (a) ..................... 8,113
300 Advanced Lighting Technologies, Inc. (a) ........... 2,700
2,600 Advanced Tissue Sciences, Inc. (a) ................. 8,450
800 ADVANTA Corp. - Class A ............................ 14,450
500 Advantage Learning Systems, Inc.(a) ................ 11,063
1,500 Advantica Restaurant Group (a) ..................... 5,156
200 Advent Software, Inc. (a) .......................... 13,400
600 Advest Group, Inc. ................................. 11,963
700 ADVO, Inc. (a) ..................................... 14,525
400 Aerial Communications (a) .......................... 5,400
125 AFC Cable Systems, Inc. (a) ........................ 4,414
700 Affiliated Managers Group (a) ...................... 21,131
500 Affymetrix, Inc. (a) ............................... 24,688
400 Aftermarket Technology Corp. (a) ................... 4,550
2,500 AGL Resources, Inc. ................................ 46,094
1,800 AgriBioTech, Inc. (a) .............................. 10,913
400 Agribrands International (a) ....................... 15,825
200 AHL Services, Inc. (a) ............................. 4,988
1,400 Air Express International Corp. .................... 35,525
2,000 Airgas, Inc. (a) ................................... 24,500
400 AirNet Systems, Inc. (a) ........................... 5,400
1,300 AirTran Holdings, Inc. (a) ......................... 7,475
1,900 AK Steel Holding Corp. ............................. 42,750
2,500 Alaris Medical, Inc. (a) ........................... 8,438
1,000 Alaska Air Group, Inc. (a) ......................... 41,750
522 Albany International Corp. - Class A ............... 10,832
620 Albemarle Corp. .................................... 14,338
1,200 Alexander & Baldwin ................................ 26,700
100 Alexandria Real Estate Equities, REIT .............. 3,125
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
800 ALFA Corp. ......................................... $16,000
400 Algos Pharmaceuticals Corp. (a) .................... 8,825
1,300 Aliant Communications, Inc. ........................ 60,044
1,000 Alkermes, Inc. (a) ................................. 23,125
1,500 Allen Telecommunications, Inc. (a) ................. 16,125
308 Alliant Techsystems, Inc. (a) ...................... 26,642
1,600 Allied Products .................................... 4,025
500 ALPHARMA, Inc. - Class A ........................... 17,781
500 Alpine Group, Inc. (a) ............................. 8,031
1,000 Alterra Healthcare Corp. (a) ....................... 13,750
500 Alternative Resources Corp. (a) .................... 3,500
100 Ambassadors International, Inc. (a) ................ 1,488
200 AMC Entertainment, Inc. (a) ........................ 3,825
1,450 AMCOL International Corp. .......................... 20,844
950 AMCORE Financial, Inc. ............................. 21,909
200 AMER Co. (a) ....................................... 4,500
1,800 America West Holdings Corp. -
Class B (a) ........................................ 33,975
400 American Annuity Group, Inc. ....................... 9,700
700 American Business Products, Inc. ................... 10,675
400 American Classic Voyages Co. (a) ................... 9,600
1,500 American Eagle Outfitters (a) ...................... 68,250
700 American Freightways Corp. (a) ..................... 13,694
800 American Health Properties, Inc. ................... 16,100
500 American Heritage Life ............................. 12,250
400 American Homepatient, Inc. (a) ..................... 625
400 American Homestar Corp. (a) ........................ 2,750
600 American Italian Pasta Co. (a) ..................... 18,225
1,600 American Management Systems, Inc. (a) .............. 51,300
200 American Med Security Group, Inc. (a) .............. 1,725
600 American Mobile Satellite Corp., Inc. (a) .......... 9,825
4,000 American Tower Systems - Class A (a) ............... 96,000
2,000 AmeriCredit Corp. (a) .............................. 32,000
1,400 AmeriSource Health Corp. - Class A (a) ............. 35,700
700 Ameritrade Holding Corp. (a) ....................... 74,200
100 Ameron, Inc. ....................................... 4,413
467 AmerUs Life Holdings, Inc. - Class A ............... 12,609
900 Ames Department Stores, Inc. (a) ................... 41,063
1,000 AMETEK, Inc. ....................................... 23,000
1,200 Amkor Technology, Inc. (a) ......................... 12,300
400 Amli Residential Properties Trust .................. 8,950
800 Amphenol Corp. - Class A (a) ....................... 31,800
400 Amplicon, Inc. ..................................... 5,600
300 Amtran, Inc. (a) ................................... 7,388
700 Anacomp, Inc. (a) .................................. 11,900
700 Analysts International Corp. ....................... 10,063
1,000 Anchor Bancorp Wisconsin, Inc. ..................... 17,813
200 Anchor Gaming (a) .................................. 9,613
600 Andrx Corp. (a) .................................... 46,275
1,300 Anicom, Inc. (a) ................................... 13,650
800 Anixter International, Inc. (a) .................... 14,600
800 AnnTaylor Store Corp. (a) .......................... 36,000
300 AnswerThink Consulting Group, Inc. (a) ............. 7,575
700 ANTEC Corp. (a) .................................... 22,444
1,100 Anthracite Capital, Inc. ........................... 7,219
</TABLE>
See Notes to Financial Statements
5
<PAGE>
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BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
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<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
700 APAC Teleservices, Inc. (a) ....................... $2,275
300 Apex PC Solutions, Inc. (a) ....................... 6,150
900 Apogee Enterprises, Inc. .......................... 12,094
800 Applebee's International, Inc. .................... 24,100
360 Applied Graphics Technologies, Inc. (a) ........... 4,545
700 Applied Industrial Technology, Inc. ............... 13,300
900 Applied Micro Circuits Corp. (a) .................. 74,025
1,555 Applied Power, Inc. - Class A ..................... 42,471
1,300 Apria Healthcare Group, Inc. (a) .................. 22,100
1,000 Aptargroup, Inc. .................................. 30,000
8,000 Aqua Alliance, Inc. (a) ........................... 8,000
350 Aquarion Co. ...................................... 12,163
1,200 Arcadia Financial Ltd. (a) ........................ 9,300
400 Arch Coal, Inc. ................................... 5,550
600 Arctic Cat, Inc. .................................. 5,363
600 Area Bancshares Corp. ............................. 16,275
500 Argonaut Group, Inc. .............................. 12,000
600 ARIS Corp. (a) .................................... 4,156
800 ARM Financial Group, Inc. - Class A ............... 6,800
4,200 Armco, Inc. (a) ................................... 27,825
600 Arnold Industries, Inc. ........................... 9,263
400 Arrow International, Inc. ......................... 10,350
1,033 Artesyn Technologies, Inc. (a) .................... 22,920
1,100 Arvin Industries, Inc. ............................ 41,663
1,600 ASARCO Inc. ....................................... 30,100
1,000 Ascent Entertainment Group, Inc. (a) .............. 14,125
2,600 Aspec Technology, Inc. (a) ........................ 2,275
1,000 Aspect Development, Inc. (a) ...................... 18,500
1,600 Aspect Telecommunications (a) ..................... 15,600
800 Aspen Technologies, Inc. (a) ...................... 9,400
100 Associated Estates Realty Corp. ................... 1,181
1,100 Associated Group, Inc. - Class A (a) .............. 71,638
600 Astec Industries, Inc. (a) ........................ 24,450
500 Atlantic Coast Airlines Holding (a) ............... 9,500
450 Atlas Air, Inc. (a) ............................... 14,513
500 ATMI, Inc. (a) .................................... 14,875
1,000 Atmos Energy Corp. ................................ 25,000
300 Atwood Oceanics, Inc.. (a) ........................ 9,375
400 Authentic Fitness Corp. ........................... 7,000
900 Avado Brands, Inc. ................................ 7,538
900 Avant! Corp. (a) .................................. 11,363
600 Avatar Holdings, Inc. (a) ......................... 11,363
400 Aviall, Inc. (a) .................................. 7,525
300 Aviation Sales Co. (a) ............................ 11,850
700 Avid Technology, Inc.. (a) ........................ 11,288
400 Aviron (a) ........................................ 11,500
800 Avis Rent A Car (a) ............................... 23,300
1,300 Avista Corp. ...................................... 21,125
200 Avondale Industries, Inc. (a) ..................... 7,800
800 AXENT Technologies (a) ............................ 8,900
1,700 Axys Pharmaceuticals, Inc. (a) .................... 5,738
800 Aztar Corp. (a) ................................... 7,350
142 Baan Co. NV (a) ................................... 2,254
600 Bacou USA (a) ..................................... 10,238
1,033 Baldor Electric Co. ............................... 20,531
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
400 Baldwin & Lyons, Inc. - Class B ................... $9,475
1,200 Ball Corp. ........................................ 50,700
1,000 Ballard Medical Products .......................... 23,313
1,100 Bally Total Fitness Holding Corp. (a) ............. 31,213
1,900 BancorpSouth, Inc. ................................ 34,438
600 BankFirst Ohio Corp. .............................. 14,775
600 BancTec, Inc. (a) ................................. 10,763
700 BancWest Corp. .................................... 25,988
400 Bandag, Inc. ...................................... 13,875
250 Bank of Granite Corp. ............................. 6,156
500 Bank Plus Corp. (a) ............................... 2,688
2,200 BankAtlantic Bancorp, Inc. - Class B .............. 17,875
700 Banknorth Group, Inc. ............................. 23,100
1,400 Banta Corp. ....................................... 29,400
300 Barnes Group, Inc. ................................ 6,525
300 Barr Laboratories, Inc. (a) ....................... 11,963
650 Barra, Inc. (a) ................................... 16,413
1,300 Barrett Resources Corp. (a) ....................... 49,888
400 Bassett Furniture Industries, Inc. ................ 9,150
4,100 Battle Mountain Gold Co. .......................... 9,994
600 Bay View Capital Corp. ............................ 12,300
800 BE Aerospace, Inc. (a) ............................ 14,950
1,400 BEA Systems, Inc. (a) ............................. 39,988
700 Bedford Property Investors ........................ 12,512
900 Belco Oil & Gas (a) ............................... 6,244
800 Belden, Inc. ...................................... 19,150
500 Bell & Howell Co. (a) ............................. 18,906
400 Benchmark Stock Electroncs, Inc. (a) .............. 14,375
600 Benton Oil & Gas Co. (a) .......................... 1,200
600 Beringer Wine Estates Holdings (a) ................ 25,069
700 Berkley (W.R.) Corp. .............................. 17,500
1,200 Berkshire Realty Co., Inc. ........................ 13,875
400 Berlitz International, Inc. (a) ................... 7,350
500 Berry Petroleum Co. - Class A ..................... 6,969
5,314 Bethlehem Steel Corp. (a) ......................... 40,851
600 Big Flower Press Holdings, Inc. (a) ............... 19,125
1,200 Billing Concepts Corp. (a) ........................ 13,425
711 Bindley Western Industries, Inc. .................. 16,390
600 Biomatrix, Inc. (a) ............................... 12,975
700 Bio-Rad Laboratories, Inc. - Class A (a) .......... 18,288
1,600 Bio-Technology General Corp. (a) .................. 10,400
900 Birmingham Steel Corp. ............................ 3,712
1,000 BISYS Group, Inc. (a) ............................. 58,500
500 Black Box Corp. (a) ............................... 25,063
700 Black Hills Corp. ................................. 16,187
424 Block Drug Co., Inc. - Class A .................... 17,676
800 Blount International, Inc. - Class A .............. 21,750
600 BMC Industries, Inc. .............................. 6,188
1,300 Bob Evans Farms, Inc. ............................. 25,837
1,000 Boise Cascade Office Products Corp. (a) ........... 11,750
212 BOK Financial Corp. (a) ........................... 5,353
1,000 Borg Warner Automotive, Inc. ...................... 55,000
400 Borg-Warner Security Corp. (a) .................... 8,125
500 Boron LePore & Associates, Inc. (a) ............... 4,188
1,200 Bowne & Co., Inc. ................................. 15,600
</TABLE>
See Notes to Financial Statements
6
<PAGE>
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BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
2,100 Boyd Gaming Corp. (a) ............................ $14,700
400 Boykin Lodging Co. ............................... 6,150
700 Bradley Real Estate, Inc. ........................ 14,525
700 Brady (W.H.) Co. ................................. 22,750
1,500 Brandywine Realty Trust .......................... 29,719
1,900 BRE Properties, Inc. - Class A ................... 49,281
100 BREED Technologies, Inc. (a) ..................... 225
330 Brenton Banks, Inc. .............................. 5,115
900 Briggs & Stratton Corp. .......................... 51,975
1,700 Brightpoint, Inc. (a) ............................ 10,306
600 BroadVision, Inc. (a) ............................ 44,250
300 Brookdale Living Communities, Inc. (a) ........... 4,444
700 Brookline Bancorp, Inc. .......................... 8,094
550 Brown & Brown, Inc. .............................. 20,900
600 Brown Shoe Co., Inc. ............................. 13,050
900 Brown (Tom), Inc. (a) ............................ 14,006
500 Brush Wellman, Inc. .............................. 9,062
150 BSB Bancorp. Inc. ................................ 4,050
420 BT Financial Corp. ............................... 10,303
900 Buckeye Technologies, Inc. (a) ................... 13,669
300 Buckle, Inc. (a) ................................. 8,625
800 Budget Group, Inc. - Class A (a) ................. 9,850
1,400 Buffets, Inc. (a) ................................ 16,100
487 Building One Services Corp. (a) .................. 6,757
1,000 Burham Pacific Properties, Inc. .................. 12,313
600 Burlington Coat Factory Warehouse ................ 11,588
1,800 Burlington Industries, Inc. (a) .................. 16,312
800 Burr-Brown Corp. (a) ............................. 29,300
200 Bush Boake Allen, Inc. (a) ....................... 5,850
200 Bush Industries, Inc. - Class A .................. 3,325
300 Butler Manufacturing Co. ......................... 8,381
400 C & D Technologies, Inc. ......................... 12,250
1,700 C.H. Robinson Worldwide, Inc. .................... 62,475
1,200 C/NET, Inc. (a) .................................. 69,150
850 Cable Design Technologies (a) .................... 13,122
900 Cabot Industrial Trust ........................... 19,125
600 Cabot Oil & Gas Corp. - Class A .................. 11,175
1,200 Cadiz Land Co., Inc. (a) ......................... 11,325
200 Cal Dive International, Inc. (a) ................. 5,975
1,100 Calgon Carbon Corp. .............................. 6,531
300 California Water Services Co. .................... 7,838
1,000 Calpine Corp. (a) ................................ 54,000
800 Cambrex Corp. .................................... 21,000
1,427 Camdem Property Trust ............................ 39,599
500 Canandaigua Brands, Inc. - Class A (a) ........... 26,219
600 Capital Automotive, REIT ......................... 7,950
500 Capital City Bank Group, Inc. .................... 12,500
700 Capital Re Corp. ................................. 11,244
900 Capitol Transamerica Corp. ....................... 11,925
2,000 Capstead Mortgage Corp. .......................... 10,875
800 Caraustar Industries, Inc. ....................... 19,750
300 Carbide Graphite Group (a) ....................... 4,294
300 Carbo Ceramics, Inc. ............................. 9,131
300 CareMatrix Corp. (a) ............................. 3,731
400 Caribiner International, Inc. (a) ................ 2,475
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
600 Carmike Cinemas, Inc. - Class A (a) .............. $ 9,562
700 Carolina First Corp. ............................. 17,063
600 Carpenter Technology Corp. ....................... 17,137
700 Carter-Wallace, Inc. ............................. 12,731
1,700 Casey's General Stores, Inc. ..................... 25,500
800 Cash America International Inc. .................. 10,300
910 Castle & Cooke, Inc. (a) ......................... 16,039
300 Castle (A.M.) & Co. .............................. 5,100
600 Catalina Marketing Corp. (a) ..................... 55,200
1,500 Catalytica, Inc. (a) ............................. 21,000
300 Cathay Bancorp, Inc. ............................. 12,750
500 CB Richard Ellis Services, Inc. (a) .............. 12,438
700 CBL & Associates Properties, Inc. ................ 18,462
800 CCC Information Services Group (a) ............... 10,300
1,400 C-Cube Microsytems, Inc. (a) ..................... 44,363
500 CD Radio, Inc. (a) ............................... 15,234
400 CDI Corp. (a) .................................... 13,625
630 CDnow, Inc. (a) .................................. 11,104
400 CDW Computer Centers, Inc. (a) ................... 17,600
600 CEC Entertainment, Inc. (a) ...................... 25,350
1,200 CellNet Data Systems, Inc. (a) ................... 10,800
1,100 CellStar Corp. (a) ............................... 8,663
500 Cellular Communications of Puerto
Rico (a) ......................................... 14,250
800 Centennial Cellular Corp. - Class A (a) .......... 28,500
800 Centennial HealthCare Corp. (a) .................. 4,225
700 CenterPoint Properties Corp. ..................... 25,637
300 Centex Construction Products, Inc. ............... 10,238
900 Central Garden & Pet Co. (a) ..................... 9,225
600 Central Hudson Gas & Electric Corp. .............. 25,200
350 Central Parking Corp. ............................ 11,988
400 Century Aluminum Co. ............................. 2,475
2,200 Century Business Services, Inc. (a) .............. 31,900
1,200 Century Communication Corp. -
Class A (a) ...................................... 55,200
400 Century South Banks, Inc. ........................ 9,000
1,200 Cephalon, Inc. (a) ............................... 20,850
800 Cerner Corp. (a) ................................. 16,775
220 CFSB Bancorp, Inc. ............................... 5,417
500 CFW Communications Co. ........................... 12,125
200 Championship Auto Racing Teams,
Inc. (a) ......................................... 174
1,300 Champion Enterprises, Inc. (a) ................... 24,212
3,100 Charming Shoppes, Inc. (a) ....................... 18,891
450 Chart Industries, Inc. ........................... 3,544
900 Chase Industries, Inc. (a) ....................... 7,594
700 Chateau Communities, Inc. ........................ 20,956
300 Chattem, Inc. (a) ................................ 9,544
1,300 Checkfree Corp. (a) .............................. 35,831
1,000 Checkpoint Systems, Inc. (a) ..................... 8,938
800 Chelsea GCA Realty, Inc. ......................... 29,700
200 Chemed Corp. ..................................... 6,650
600 ChemFirst, Inc. .................................. 14,587
631 Chemical Financial Corp. ......................... 21,967
600 Chesapeake Corp. ................................. 22,463
</TABLE>
See Notes to Financial Statements
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
2,420 Chesapeake Energy Corp. ........................ $ 7,109
400 Chicago Title Corp. ............................ 14,275
1,000 Chiquita Brands International, Inc. ............ 9,000
400 ChiRex, Inc. (a) ............................... 12,850
903 Chittenden Corp. ............................... 28,219
1,700 Choice Hotels Corp., Inc. (a) .................. 33,575
500 ChoicePoint, Inc. (a) .......................... 33,562
1,800 CHS Electronics, Inc. (a) ...................... 7,875
600 Church & Dwight Co., Inc. ...................... 26,100
200 Churchill Downs, Inc. .......................... 6,900
400 CILCORP, Inc. .................................. 25,000
800 Circle International Group, Inc. ............... 17,500
2,100 Cirrus Logic, Inc. (a) ......................... 18,638
719 Cisco Systems, Inc. (a) ........................ 46,396
800 Citation Corp. (a) ............................. 12,850
750 Citizens Banking Corp. ......................... 22,547
411 City Holding Co. ............................... 11,919
1,300 Claire's Stores, Inc. .......................... 33,312
750 Clarcor, Inc. .................................. 14,391
700 Clarify, Inc. (a) .............................. 28,875
700 Cleco Corp. .................................... 21,262
400 Cleveland-Cliffs, Inc. ......................... 12,950
400 Closure Medical Corp. (a) ...................... 12,000
2,600 CMG Information Services, Inc. (a) ............. 296,563
1,000 CMP Group, Inc. ................................ 26,187
500 CNA Surety Corp. ............................... 7,656
1,040 CNB Bancshares, Inc. ........................... 59,280
1,000 Coach USA, Inc. (a) ............................ 41,938
900 Coachmen Industries, Inc. ...................... 20,925
300 Coast Federal Litigation Contingent
Payment Rights Trust (a) ....................... 319
300 Coca Cola Bottling Consolidated ................ 16,800
1,100 Cognex Corp. (a) ............................... 34,719
1,200 Coherent, Inc. (a) ............................. 22,350
300 Cohu, Inc. ..................................... 10,612
300 Coin Machine Laundry Corp. (a) ................. 3,806
600 Coldwater Creek, Inc. (a) ...................... 11,700
200 Cole National Corp. - Class A (a) .............. 1,588
2,700 Collins & Aikman Corp. (a) ..................... 20,587
800 Colonial Properties Trust ...................... 22,600
700 Columbia Laboratories, Inc. (a) ................ 5,994
500 Columbia Sportswear Co. (a) .................... 7,688
700 Columbus McKinnon Corp. ........................ 16,800
400 Com21, Inc. (a) ................................ 6,825
1,200 Comfort Systems USA, Inc. (a) .................. 21,600
1,247 Commerce Bancorp, Inc. ......................... 53,309
1,200 Commerce Group Inc. ............................ 29,250
2,587 Commercial Federal Corp. ....................... 59,986
300 Commercial Intertech Corp. ..................... 4,781
400 Commercial Metals Co. .......................... 11,400
900 Commercial Net Lease Realty .................... 11,587
1,000 CommNet Cellular, Inc. (a) ..................... 26,250
400 Commonwealth Bancorp, Inc. ..................... 7,175
900 Commonwealth Energy System ..................... 37,800
400 Commonwealth Industries, Inc. .................. 5,000
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
333 Commonwealth Telephone Enterprises,
Inc. (a) ....................................... $13,466
1,500 Commscope, Inc. (a) ............................ 46,125
600 Community Bank Systems ......................... 15,225
2,000 Community First Bankshares, Inc. ............... 47,750
220 Community Trust Bancorp, Inc. .................. 5,143
400 Complete Business Solutions, Inc. (a) .......... 7,175
2,000 CompuCom Systems, Inc. (a) ..................... 8,250
1,000 Computer Horizons Corp. (a) .................... 13,812
1,200 Computer Learning Centers, Inc. (a) ............ 3,456
500 Computer Task Group, Inc. ...................... 8,500
2,000 Comstock Resources, Inc. (a) ................... 6,625
1,100 Concentra Managed Care, Inc. (a) ............... 16,294
1,300 Concentric Network Corp. (a) ................... 51,675
600 Concord Communications, Inc. (a) ............... 27,000
500 CONMED Corp. (a) ............................... 15,313
200 Connecticut Energy Corp. ....................... 7,712
800 Conning Corp. .................................. 13,000
600 Consolidated Freightways Co. (a) ............... 7,706
400 Consolidated Graphics, Inc. (a) ................ 20,000
750 Consolidated Products, Inc. (a) ................ 13,500
900 ContiFinancial Corp. (a) ....................... 3,206
400 Cooper Companies, Inc. (a) ..................... 9,975
1,100 Coors (Adolph) Co. - Class B ................... 54,450
500 Copart, Inc. (a) ............................... 10,625
800 COR Therapeutics, Inc. (a) ..................... 11,800
500 CoreComm, Inc. (a) ............................. 24,125
1,300 Corn Products International, Inc. .............. 39,569
700 Cornerstone Realty Income Trust, Inc. .......... 7,525
3,700 Corporate Express, Inc. (a) .................... 25,900
700 Cort Business Services Corp. (a) ............... 16,756
400 Corus Bankshares, Inc. ......................... 12,725
300 Cost Plus, Inc. (a) ............................ 13,650
400 Cotellingent Group, Inc. (a) ................... 3,125
400 Coulter Pharmaceutical, Inc. (a) ............... 9,025
800 Cousins Properties, Inc. ....................... 27,050
2,200 Covance, Inc. (a) .............................. 52,663
1,900 Coventry Health Care, Inc. (a) ................. 20,781
300 Cox Radio Inc. - Class A (a) ................... 16,275
220 CPI Corp. ...................................... 7,260
1,900 Crawford & Co. - Class B ....................... 30,875
700 Credence Systems Corp. (a) ..................... 25,987
700 Credit Acceptance Corp. (a) .................... 4,200
200 Crescent Operating, Inc. (a) ................... 1,363
1,500 CRIIMI MAE, Inc. ............................... 3,375
1,200 Cross Timbers Oil Co. .......................... 17,850
1,900 CSG Systems International, Inc. (a) ............ 49,756
600 CSK Auto Corp. (a) ............................. 16,200
500 CSS Industries, Inc.(a) ........................ 14,063
400 CTS Corp. ...................................... 28,000
600 Cubic Corp. .................................... 14,775
1,800 Cullen/Frost Bankers, Inc. ..................... 49,612
500 Cuno, Inc. (a) ................................. 9,562
300 Curative Health Services, Inc. (a) ............. 1,650
200 Curtiss-Wright Corp. ........................... 7,775
</TABLE>
See Notes to Financial Statements
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
330 CVB Financial Corp. ................................ $ 8,580
300 Cylink Corp. (a) ................................... 1,125
800 Cymer, Inc. (a) .................................... 20,000
2,700 Cypress Semiconductor (a) .......................... 44,550
500 Cytyc Corp. (a) .................................... 9,750
1,700 D.R. Horton, Inc. .................................. 28,262
600 Dain Rausher Corp. ................................. 32,475
1,100 Dallas Semiconductor Corp. ......................... 55,550
1,100 Dal-Tile International, Inc. (a) ................... 12,513
600 Dan River, Inc. - Class A (a) ...................... 4,425
2,100 Data General Corp. (a) ............................. 30,581
200 Data Processing Resources (a) ...................... 4,725
200 Data Transmission Network Corp. (a) ................ 5,625
400 Datascope Corp. (a) ................................ 12,850
500 Datastream Systems, Inc. (a) ....................... 8,000
300 Dave & Buster's, Inc. (a) .......................... 8,700
300 Day Runner, Inc. (a) ............................... 3,712
200 DBT Online (a) ..................................... 6,550
800 DecisionOne Holdings Corp. (a) ..................... 1,500
300 Del Webb Corp. ..................................... 7,163
300 Delias*s, Inc. (a) ................................. 4,050
526 Delphi Financial Group, Inc. - Class A ............. 18,870
400 Delta Financial Corp. (a) .......................... 2,550
600 Deltic Timber Corp. ................................ 16,163
600 Dendrite International, Inc. (a) ................... 21,675
600 Department 56, Inc. (a) ............................ 16,125
300 Detroit Diesel Corp. (a) ........................... 7,387
1,600 Developers Diversified Realty Corp. ................ 26,600
1,300 Devon Energy Corp. ................................. 46,475
2,400 DeVRY, Inc. (a) .................................... 53,700
1,000 Dexter Corp. ....................................... 40,813
400 Diagnostic Products Corp. .......................... 11,050
300 Dialogic Corp. (a) ................................. 13,162
400 Diamond Technology Partners, Inc. (a) .............. 8,950
2,400 Digital Microwave Corp. (a) ........................ 30,600
1,000 DII Group, Inc.. (a) ............................... 37,313
400 Dime Community Bancorp, Inc. ....................... 9,300
1,400 DIMON, Inc. ........................................ 7,263
700 Dionex Corp. (a) ................................... 28,350
600 Discount Auto Parts, Inc. (a) ...................... 14,475
700 Documentum, Inc. (a) ............................... 9,144
800 Dollar Thrifty Automotive Group, Inc. (a) .......... 18,600
1,200 Donaldson Co., Inc. ................................ 29,400
400 Donna Karan International, Inc. (a) ................ 3,975
1,000 Doral Financial Corp. .............................. 17,250
1,200 Double Click, Inc. (a) ............................. 110,100
700 Dover Downs Entertainment .......................... 12,381
710 Downey Financial Corp. ............................. 15,576
500 Dress Barn, Inc. (a) ............................... 8,000
500 Dreyer's Grand Ice Cream, Inc. ..................... 7,562
1,400 DSP Communications, Inc. (a) ....................... 40,425
700 Duane Reade, Inc. (a) .............................. 21,438
550 Ducommun, Inc. (a) ................................. 6,566
1,500 Dura Pharmaceuticals, Inc. (a) ..................... 17,906
800 DVI, Inc. (a) ...................................... 13,700
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
700 Dycom Industries, Inc. (a) ......................... $39,200
1,400 Dynex Capital, Inc. ................................ 2,800
7,200 E * Trade Group, Inc. (a) .......................... 287,550
2,000 e. spire Communications, Inc. (a) .................. 21,125
400 E.W. Blanch Holdings, Inc. ......................... 27,275
51 Eagle Geophysical, Inc. (a) ........................ 38
200 Eagle USA Airfreight, Inc. (a) ..................... 8,488
1,400 Earthgrains Co. .................................... 36,137
700 Earthlink Network, Inc. (a) ........................ 43,006
1,600 EarthShell Corp. (a) ............................... 11,200
1,000 Eastern Enterprises ................................ 39,750
700 Easterns Utilities Associates ...................... 20,388
300 EastGroup Properties, Inc. ......................... 6,019
900 Eaton Vance Corp. .................................. 30,994
400 EchoStar Communications - Class A (a) .............. 61,375
500 Education Management Corp. (a) ..................... 10,375
800 EduTrek International, Inc. - Class A (a) .......... 3,800
1,333 EEX Corp. (a) ...................................... 9,248
1,800 El Paso Electric Co. (a) ........................... 16,087
400 Elcor Corp. ........................................ 17,475
300 Electric Lightwave, Inc. - Class A (a) ............. 3,900
1,000 Electro Rent Corp. (a) ............................. 10,750
300 Electro Scientific Industries, Inc. (a) ............ 12,534
600 Electroglas, Inc. (a) .............................. 12,000
2,000 Electronics For Imaging (a) ........................ 102,750
400 Emmis Communications Corp. -
Class A (a) ........................................ 19,750
400 Empire District Electric Co. ....................... 10,425
150 Encore Wire Corp. (a) .............................. 1,359
500 Energen Corp. ...................................... 9,313
500 Enesco Group, Inc. ................................. 11,563
600 Engineering Animation, Inc. (a) .................... 12,712
700 Enhance Financial Services Group, Inc. ............. 13,825
300 @ Entertainment, Inc. (a) .......................... 5,625
525 Enzo Biochem, Inc. (a) ............................. 5,184
1,097 Epicor Software Corp. (a) .......................... 8,159
1,100 Equitable Resources, Inc. .......................... 41,525
1,200 Equity Inns, Inc. .................................. 11,100
400 Essex Property Trust, Inc. ......................... 14,150
600 Esterline Technologies Corp. (a) ................... 8,625
700 Etec Systems, Inc. (a) ............................. 23,275
1,500 Ethyl Corp. ........................................ 9,000
200 E'Town Corp. ....................................... 9,150
400 Everen Capital Corp. ............................... 11,925
400 Excel Switching Corp. (a) .......................... 11,975
300 Executive Risk, Inc. ............................... 25,519
500 Exide Corp. ........................................ 7,375
900 Exodus Communication, Inc. (a) ..................... 107,944
2,000 Expeditors International of Washington,
Inc. ............................................... 54,500
1,200 Express Scripts Inc. - Class A (a) ................. 72,225
2,300 Extended Stay America, Inc. (a) .................... 27,600
520 F&M Bancorporation, Inc. ........................... 19,630
700 F&M National Corp. ................................. 23,231
645 F.N.B. Corp., Pennsylvania ......................... 17,415
</TABLE>
See Notes to Financial Statements
9
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
400 F.Y.I., Inc. (a) ................................... $12,550
300 FactSet Research Systems, Inc. (a) ................. 16,988
300 Fair Isaac & Co., Inc. ............................. 10,519
1,800 Fairfield Communities, Inc. (a) .................... 29,025
1,150 Family Golf Centers, Inc. (a) ...................... 8,841
200 Farmers Capital Bank Corp. ......................... 7,100
1,000 FBL Financial Group, Inc. - Class A ................ 19,500
2,300 Fedders Corp. ...................................... 15,381
100 Federal Agriculture Mortgage Corp. -
Class C (a) ........................................ 6,862
1,800 Federal Realty Investment Trust .................... 41,288
1,900 Federal Signal Corp. ............................... 40,256
2,011 Felcor Lodging Trust, Inc. ......................... 41,728
1,150 Ferro Corp. ........................................ 31,625
701 Fidelity National Financial, Inc. .................. 14,721
900 FileNet Corp. (a) .................................. 10,294
300 Financial Federal Corp. (a) ........................ 6,600
500 Finish Line, Inc. - Class A (a) .................... 5,625
2,000 First American Financial Corp. ..................... 35,750
1,300 First Bancorp/Puerto Rico .......................... 29,331
500 First Charter Corp. ................................ 12,375
200 First Citizens BancShares, Inc. - Class A .......... 16,150
600 First Commerce Bancshares .......................... 14,287
1,000 First Commonwealth Financial Corp. ................. 23,875
500 First Consulting Group, Inc. (a) ................... 5,313
1,300 First Federal Capital Corp. ........................ 19,175
1,396 First Financial Bancorp ............................ 31,584
550 First Financial Bankshares, Inc. ................... 17,463
405 First Financial Corp., Indiana ..................... 15,314
1,200 First Financial Holdings ........................... 22,500
1,200 First Industrial Realty Trust, Inc. ................ 32,925
100 First Liberty Financial Corp. ...................... 3,137
600 First Merchants Corp. .............................. 14,250
783 First Midwest Bancorp, Inc. ........................ 31,124
500 First Republic Bank (a) ............................ 14,469
982 First Sentinel Bancorp, Inc. ....................... 8,715
500 First Sierra Financial, Inc. (a) ................... 12,500
681 First Source Corp. ................................. 21,792
420 First Union Real Estate Investments ................ 1,890
1,000 First United Bancshares, Inc. ...................... 18,625
300 First Western Bancorp, Inc. ........................ 10,050
1,100 FirstCity Financial Corp. (a) ...................... 3,850
600 FirstFed Financial Corp. ........................... 11,550
1,600 Fisher Scientific International (a) ................ 35,700
200 Flagstar Bancorp, Inc. ............................. 5,050
900 Fleming Companies, Inc. ............................ 10,463
400 Florida East Coast Industries, Inc. ................ 17,700
900 Florida Panthers Holdings, Inc. (a) ................ 9,619
400 Florida Rock Industries, Inc. ...................... 18,200
1,200 Flowserve Corp. .................................... 22,725
1,100 Foodmaker, Inc. (a) ................................ 31,212
1,000 Footstar, Inc. (a) ................................. 37,188
400 Foremost Corp. of America .......................... 8,800
600 Forest City Enterprises, Inc. - Class A ............ 16,800
1,100 Forest Oil Corp. (a) ............................... 13,819
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
250 Fossil, Inc. (a) ................................... $12,094
1,300 Foster Wheeler Corp. ............................... 18,363
200 FPIC Insurance Group, Inc. (a) ..................... 9,700
2,400 Franchise Finance Corp. of America ................. 52,800
300 Franchise Mortgage (a) ............................. 2,625
600 Franklin Covey Co. (a) ............................. 4,425
300 Franklin Electric Co., Inc. ........................ 19,500
300 Freds, Inc. Class A ................................ 4,687
400 Friede Goldman International, Inc. (a) ............. 5,550
1,100 Friedman, Billings Ramsey Group,
Inc. (a) ........................................... 13,063
400 Friedman's, Inc. - Class A (a) ..................... 3,475
700 Fritz Cos, Inc. (a) ................................ 7,525
600 Frontier Financial Corp. (a) ....................... 14,700
1,510 Frontier Insurance Group, Inc. ..................... 23,216
600 FSI International, Inc. (a) ........................ 4,987
400 Fuller (H.B.) Co. .................................. 27,350
300 Furon Co. .......................................... 5,700
900 G&K Services, Inc. - Class A ....................... 47,137
1,300 Gables Residential Trust ........................... 31,363
300 Gadzooks, Inc. (a) ................................. 4,800
200 Galey & Lord, Inc. (a) ............................. 875
600 Gallagher (Arthur J.) & Co. ........................ 29,700
500 Garden Ridge Corp. (a) ............................. 2,375
850 Gardner Denver Machinery, Inc. (a) ................. 13,706
1,900 Gaylord Container Corp. - Class A (a) .............. 15,081
600 Gaylord Entertainment, Inc. ........................ 18,000
400 GBC Bancorp ........................................ 8,100
400 GC Cos. (a) ........................................ 14,300
400 GelTex Pharmaceuticals, Inc. (a) ................... 7,200
1,100 GenCorp., Inc. ..................................... 27,775
500 General Binding Corp. .............................. 11,750
1,150 General Cable Corp. ................................ 18,400
1,200 General Chemical Group, Inc. ....................... 3,750
900 General Cigar Holdings, Inc. (a) ................... 7,031
1,900 General Communication - Class A (a) ................ 12,914
1,200 General Growth Properties .......................... 42,600
800 General Magic, Inc. (a) ............................ 2,825
800 Genesco, Inc. (a) .................................. 11,650
100 Genesis Direct, Inc. (a) ........................... 187
1,000 Genesis Health Ventures, Inc. (a) .................. 3,000
400 Genesys Telecommunications
Laboratories, Inc. (a) ............................. 10,000
1,300 GenRad, Inc. (a) ................................... 27,056
300 Gentek, Inc. ....................................... 4,163
2,700 Gentex Corp. (a) ................................... 75,600
800 Geon Co. ........................................... 25,800
1,000 Georgia Gulf Corp. ................................. 16,875
600 Gerber Scientific, Inc. ............................ 13,237
700 Getty Images, Inc. (a) ............................. 13,213
200 Getty Realty Corp. ................................. 2,875
600 Gibraltar Steel Corp. (a) .......................... 14,850
400 Gibson Greetings, Inc. (a) ......................... 2,538
1,200 Gilead Sciences, Inc. (a) .......................... 62,700
800 Glatefelter (P.H.) Co. ............................. 11,700
</TABLE>
See Notes to Financial Statements
10
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
600 Gleason Corp. ..................................... $10,087
2,000 Glenayre Technologies, Inc. (a) ................... 7,188
1,700 Glenborough Realty Trust, Inc. .................... 29,750
700 Glimcher Realty Trust ............................. 11,375
1,000 Global Industrial Technologies, Inc. (a) .......... 12,062
600 Goody's Family Clothing, Inc. (a) ................. 6,863
400 Graco, Inc. ....................................... 11,750
1,200 Grand Primier Financial, Inc. ..................... 14,850
600 Granite Construction, Inc. ........................ 17,587
450 Gray Communications System, Inc. .................. 9,000
900 Great Atlantic & Pacific Tea Co. .................. 30,431
1,100 Great Lakes REIT, Inc. ............................ 17,875
300 Great Plains Software, Inc. (a) ................... 14,156
3,700 Grey Wolf, Inc. (a) ............................... 9,250
500 Grief Bros Corp. - Class A ........................ 12,750
1,000 Griffon Corp. (a) ................................. 7,813
400 Group 1 Automotive, Inc. (a) ...................... 8,450
1,300 Group Maintenance, Inc. (a) ....................... 16,819
600 Grubb & Ellis Co. (a) ............................. 3,000
500 GT Interactive Software Corp. (a) ................. 1,750
1,300 GTECH Holding Corp. (a) ........................... 30,631
800 Guarantee Life Cos., Inc. ......................... 20,100
1,000 Guess, Inc. (a) ................................... 13,812
600 Guilford Mills, Inc. .............................. 6,225
500 Guilford Pharmaceuticals, Inc. (a) ................ 6,375
700 Guitar Center, Inc. (a) ........................... 7,306
600 Gymboree Corp. (a) ................................ 6,300
400 Hadco Corp. (a) ................................... 15,900
800 Haemonetics Corp. (a) ............................. 16,050
1,200 HA-LO Industries (a) .............................. 11,850
1,700 Halter Marine Group, Inc. (a) ..................... 11,263
500 Hambrecht & Quist Group, Inc. (a) ................. 18,562
100 Hamilton Bancorp, Inc. (a) ........................ 2,400
500 Hancock Fabrics, Inc. ............................. 2,188
300 Hancock Holding Co. ............................... 13,462
1,000 Handleman Co. (a) ................................. 11,813
700 Hanger Orthopedic Group, Inc. (a) ................. 9,931
1,400 Hanna (M.A.) Co. .................................. 23,012
900 Hanover Compressor Co. (a) ........................ 28,913
3,400 Hanover Direct, Inc. (a) .......................... 9,562
900 Harbinger Corp. (a) ............................... 11,250
901 Harbor Florida Bancorp, Inc. ...................... 11,037
4,200 Harken Energy Corp. (a) ........................... 6,825
1,000 Harland (John H.) Co. ............................. 19,938
400 Harleysville Group, Inc. .......................... 8,200
200 Harleysville National Corp. ....................... 7,150
600 Harman International Industries, Inc. ............. 26,400
300 Harmon Industries, Inc. ........................... 5,944
1,500 Hartmarx Corp. (a) ................................ 6,281
1,000 Hawaiian Electric Industries ...................... 35,500
900 Hayes Lemmerz International, Inc. (a) ............. 26,437
1,200 HCC Insurance Holdings, Inc. ...................... 27,225
1,000 Health Care Property Investors, Inc. .............. 28,875
1,236 Healthcare Realty Trust, Inc. ..................... 25,956
500 Healthcare Financial Partners, Inc. (a) ........... 17,125
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
900 Health Care REIT, Inc. ............................ $20,925
600 HealthPlan Services Corp. ......................... 4,088
1,100 Heartland Express, Inc. (a) ....................... 18,012
2,600 Hecla Mining Co. (a) .............................. 5,363
1,900 Heilig-Meyers Co. ................................. 12,944
900 Helix Technology Corp. ............................ 21,544
1,600 Helmerich & Payne, Inc. ........................... 38,100
400 Henry (Jack) & Associates ......................... 15,700
800 Henry Schein, Inc. (a) ............................ 25,350
900 Heska Corp. (a) ................................... 2,081
866 Herbalife International, Inc. - Class A ........... 9,472
1,100 Hexcel Corp. (a) .................................. 11,137
1,000 Highlands Insurance Group, Inc. (a) ............... 10,500
1,200 HMT Technology Corp. (a) .......................... 3,000
800 HNC Software, Inc. (a) ............................ 24,650
1,200 Hollingher International .......................... 14,250
1,000 Hollywood Entertainment Corp. (a) ................. 19,563
400 Hollywood Park, Inc. (a) .......................... 6,800
300 Hologic, Inc. (a) ................................. 1,687
300 Holophane Corp. (a) ............................... 11,438
600 Home Properties of New York, Inc. ................. 16,575
1,200 HomeBase, Inc. (a) ................................ 7,575
1,800 Homestead Village, Inc. (a) ....................... 4,387
900 Hooper Holmes, Inc. ............................... 18,338
200 Horizon Offshore, Inc. (a) ........................ 1,550
1,600 Hospitality Properties Trust ...................... 43,400
700 Host Marriot Services Corp. (a) ................... 5,687
1,000 Houghton Mifflin Co. .............................. 47,063
300 Houston Exploration Co. (a) ....................... 5,681
300 HS Resources, Inc. (a) ............................ 4,425
1,200 HSB Group, Inc. ................................... 49,425
1,321 Hudson United Bancorp ............................. 40,456
700 Hughes Supply, Inc. ............................... 20,781
700 Human Genome Sciences, Inc. (a) ................... 27,650
700 Hunt (J.B.) Transport Services, Inc. .............. 11,375
600 Hunt Corp. ........................................ 4,950
2,300 Hussman International, Inc. ....................... 38,094
600 Hutchinson Technology (a) ......................... 16,650
200 Hvide Marine, Inc. - Class A (a) .................. 431
300 Hypercom Corp. (a) ................................ 2,869
1,280 Hyperion Solutions Corp. (a) ...................... 22,800
1,700 ICG Communications, Inc. (a) ...................... 36,337
1,400 ICOS Corp. (a) .................................... 57,138
1,200 Idacorp, Inc. ..................................... 37,800
700 IDEC Pharmaceuticals Corp. (a) .................... 53,944
900 IDEX Corp. ........................................ 29,588
1,400 IDEXX Laboratories Inc. (a) ....................... 32,637
700 IDT Corp. (a) ..................................... 15,575
300 IDX Systems Corp. (a) ............................. 6,769
300 IGEN International, Inc. (a) ...................... 8,737
400 IHOP Corp. (a) .................................... 9,625
1,700 Imation Corp. (a) ................................. 42,181
300 IMCO Reclycling, Inc. ............................. 5,138
700 ImClone Systems Inc. (a) .......................... 17,763
1,100 Impac Mortgage Holdings, Inc. ..................... 5,569
</TABLE>
See Notes to Financial Statements
11
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,128 Imperial Bancorp (a) ................................ $22,348
1,100 Imperial Credit Commercial Mortgage
Investment Corp. .................................... 11,894
900 Imperial Credit Industries, Inc. (a) ................ 6,384
400 IMRglobal Corp. (a) ................................. 7,700
1,536 InaCom Corp. (a) .................................... 19,392
700 INCYTE Pharmaceuticals, Inc. (a) .................... 18,506
1,100 Independence Bank Corp. ............................. 17,325
2,400 Independence Community Bank ......................... 32,400
933 Indiana Energy, Inc. ................................ 19,885
300 Industri-Matematik International Corp. (a) .......... 731
900 Information Resources, Inc. (a) ..................... 7,875
6,000 Informix Corp. (a) .................................. 51,188
1,600 Infoseek Corp. (a) .................................. 76,700
900 infoUSA, Inc. - Class B (a) ......................... 7,650
300 Ingles Markets, Inc. - Class A ...................... 4,575
500 Inhale Therapeutic Systems (a) ...................... 11,906
700 Innkeepers USA Trust ................................ 7,000
200 Innovative Clinical Solutions, Ltd. (a) ............. 294
300 Innovex, Inc. ....................................... 4,200
1,500 Inprise Corp. (a) ................................... 7,312
1,400 Input/Output, Inc.. (a) ............................. 10,587
875 Insight Entreprises, Inc. (a) ....................... 21,656
666 Insignia Financial Group, Inc. -
Class A (a) ......................................... 6,993
700 Insituform Technologies - Class A (a) ............... 15,138
700 INSpire Insurance Solutions , Inc. (a) .............. 10,150
2,600 Integrated Device Technology, Inc. (a) .............. 28,275
600 Integrated Electrical Services, Inc. (a) ............ 9,675
500 Integrated Systems, Inc. (a) ........................ 5,875
2,100 InterDigital Communications Corp. (a) ............... 9,712
1,500 Interface, Inc. ..................................... 12,938
1,400 Intergraph Corp. (a) ................................ 10,850
1,900 Interim Services Inc. (a) ........................... 39,188
600 Intermet Corp. ...................................... 9,075
625 International Bancshares Corp. ...................... 26,445
400 International Multifoods Corp. ...................... 9,025
1,250 International Network Services (a) .................. 50,469
1,600 International Rectifier Corp. (a) ................... 21,300
600 International Speedway Corp. - Class A .............. 28,500
300 International Telecomm Data Systems,
Inc. (a) ............................................ 4,800
1,000 Interpool, Inc. ..................................... 13,000
700 Inter-Tel, Inc. ..................................... 12,775
500 Interwest Bancorp, Inc. ............................. 12,500
1,100 Invacare Corp. ...................................... 29,425
759 Investment Technology Group, Inc. (a) ............... 24,573
400 Investors Financial Services Corp. .................. 16,000
500 Ionics, Inc. (a) .................................... 18,250
1,400 IRI International Corp. (a) ......................... 6,475
500 Iron Mountain, Inc. (a) ............................. 14,312
1,800 IRT Property Co. .................................... 17,775
600 Irwin Financial Corp. ............................... 11,700
1,000 Isis Pharmaceuticals, Inc. (a) ...................... 10,188
200 ISS Group, Inc. (a) ................................. 7,550
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,800 ITC Deltacom, Inc. (a) .............................. $50,400
100 ITI Technologies, Inc. (a) .......................... 2,263
1,200 ITEQ, Inc. (a) ...................................... 2,512
400 Itron, Inc. (a) ..................................... 3,425
500 ITT Educational Services, Inc. (a) .................. 13,031
3,100 IVAX Corp. (a) ...................................... 43,787
600 Ivex Packaging Corp. (a) ............................ 13,200
900 IXC Communications, Inc. (a) ........................ 35,381
1,700 Jabil Circuit, Inc. (a) ............................. 76,713
700 Jacobs Engineering Group, Inc. (a) .................. 26,600
600 JDA Software Group, Inc. (a) ........................ 5,588
1,550 JDN Realty Corp. .................................... 34,681
233 JeffBanks, Inc. ..................................... 6,626
600 Jefferies Group, Inc. ............................... 18,000
1,300 JLG Industries, Inc. ................................ 26,487
600 JLK Direct Distribution - Class A (a) ............... 5,588
400 Jo-Ann Stores, Inc. - Class A (a) ................... 6,000
100 John Nuveen Co. - Class A ........................... 4,269
2,200 John Wiley & Sons, Inc. ............................. 38,775
400 Jones Apparel Group, Inc. (a) ....................... 13,725
500 Jones Intercable, Inc. (a) .......................... 24,500
900 Jones Lang LaSalle Inc. (a) ......................... 26,831
700 Jones Pharma, Inc. .................................. 27,562
1,700 Jostens, Inc. ....................................... 35,806
600 Journal Register Co. (a) ............................ 13,500
200 JP Realty, Inc. ..................................... 4,112
400 JSB Financial, Inc. ................................. 20,350
600 Juno Lighting, Inc. ................................. 14,700
800 Just For Feet, Inc. (a) ............................. 5,150
400 Justin Industries, Inc. ............................. 5,575
400 K2, Inc. ............................................ 3,575
900 Kaiser Aluminum Corp. (a) ........................... 7,988
700 Kaman Corp. - Class A ............................... 10,981
400 Kansas City Life Insurance Co. ...................... 17,200
2,000 Kaufman & Broad Home Corp. .......................... 49,750
1,300 Kaydon Corp. ........................................ 43,713
1,500 KCS Energy, Inc. .................................... 938
2,400 Kelley Oil & Gas Corp. (a) .......................... 525
500 Kellstrom Industries, Inc. (a) ...................... 9,125
1,100 Kellwood Co. ........................................ 29,837
1,200 KEMET Corp. (a) ..................................... 27,525
200 Kenneth Cole Productions, Inc. (a) .................. 5,575
900 Kent Electronics Corp. (a) .......................... 17,831
1,400 Key Energy Group, Inc. (a) .......................... 4,988
900 Kilroy Realty Corp. ................................. 21,937
1,600 Kimball International Inc. - Class B ................ 27,000
1,036 Kirby Corp. (a) ..................................... 21,950
500 Knight Transportation, Inc. (a) ..................... 10,688
400 Knoll, Inc. (a) ..................................... 10,650
1,200 Koger Equity, Inc. .................................. 22,125
1,700 Komag, Inc. (a) ..................................... 5,631
300 Kopin Corp. (a) ..................................... 7,181
200 Kroll-O'Gara Co. (a) ................................ 4,412
300 Kronos, Inc. (a) .................................... 13,650
700 Kulicke & Soffa Industries, Inc. (a) ................ 18,768
</TABLE>
See Notes to Financial Statements
12
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
700 LabOne, Inc. ...................................... $ 7,175
700 Labor Ready, Inc. (a) ............................. 22,750
2,300 Laboratory Corp. of America Holdings (a) .......... 6,613
900 Laclede Gas Co. ................................... 20,925
1,500 Lam Research Corp. (a)............................. 70,031
700 Lance, Inc. ....................................... 10,937
500 Landamerica Financial Group ....................... 14,375
100 Landauer, Inc. .................................... 2,950
1,400 Landry's Seafood Restaurants, Inc. (a) ............ 11,200
400 Lands' End, Inc. (a) .............................. 19,400
300 Landstar System, Inc. (a) ......................... 10,828
800 LaSalle Hotel Properties .......................... 12,250
2,100 LASER Mortgage Management, Inc. ................... 7,219
600 Lason, Inc. (a) ................................... 29,775
900 Lattice Semiconductor Corp. (a) ................... 56,025
2,100 La-Z-Boy Chair, Inc. .............................. 48,300
1 LCA-Vision, Inc. (a) .............................. 9
700 LCC International, Inc. - Class A ................. 3,150
900 Learning Tree International, Inc. (a) ............. 9,844
1,700 Lee Enterprises. Inc. ............................. 51,850
1,500 Legato Systems, Inc. (a) .......................... 86,625
1,325 Level One Communications, Inc. (a) ................ 64,842
500 Libbey, Inc. ...................................... 14,500
375 Liberty Corp. ..................................... 20,438
1,100 Life USA Holding, Inc. ............................ 22,275
1,300 Ligand Pharmaceuticals, Inc. -
Class B (a) ....................................... 14,462
900 Lilly Industries, Inc. - Class A .................. 16,706
1,400 Lincoln Electric Co. .............................. 28,700
250 Lindsay Manufacturing Co. ......................... 4,391
1,300 Linens & Things, Inc. (a) ......................... 56,875
1,600 Liposome Co., Inc. (a) ............................ 30,600
500 Littelfuse, Inc. (a) .............................. 9,625
800 LNR Property Corp. ................................ 17,100
1,000 Local Financial Corp. (a) ......................... 10,000
1,800 Lodgian, Inc. ..................................... 11,812
1,300 Lo-Jack Corp. (a) ................................. 10,888
900 Lone Star Industries, Inc. ........................ 33,806
1,500 Lone Star Steakhouse & Saloon (a) ................. 14,578
700 Lone Star Technologies, Inc. (a) .................. 12,425
400 Long Beach Financial (a) .......................... 5,875
1,300 Longs Drug Stores, Inc. ........................... 44,931
1,600 Longview Fibre Co. ................................ 25,000
600 Louis Dreyfus Natural Gas Corp. (a) ............... 12,938
70 LTC Healthcare, Inc. (a) .......................... 136
700 LTC Properties, Inc. .............................. 9,100
3,200 LTV Corp. ......................................... 21,400
700 Luby's Cafeterias, Inc. ........................... 10,500
600 Lufkin Industries, Inc. ........................... 12,000
1,600 Lycos, Inc.. (a) .................................. 147,000
500 Lydall, Inc. (a) .................................. 5,750
700 M.D.C. Holdings, Inc. ............................. 15,050
200 M.S. Carriers, Inc. (a) ........................... 5,931
700 MacDermid, Inc. ................................... 32,550
300 MacroChem Corp. (a) ............................... 1,781
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,300 Macromedia, Inc. (a) .............................. $45,825
600 Madison Gas & Electric Co. ........................ 12,300
750 MAF Bancorp, Inc. ................................. 18,187
2,000 Magellan Health Services, Inc. (a) ................ 20,000
900 MagneTek, Inc. (a) ................................ 9,506
1,600 Mail Well, Inc. (a) ............................... 25,900
100 Manhattan Associates, Inc. (a) .................... 825
800 Manitowoc Co., Inc. ............................... 33,300
700 Manufactured Home Communities, Inc. ............... 18,200
600 Manugistics Group, Inc. (a) ....................... 8,700
1,100 MAPICS, Inc. (a) .................................. 11,619
1,450 Marcus Corp. ...................................... 17,853
2,000 Marine Drilling Cos., Inc. (a) .................... 27,375
1,223 Marine Post-Acute Network, (a) .................... 497
1,700 Mark IV Industries, Inc. .......................... 35,912
100 Markel Corp. (a) .................................. 18,700
500 Marshall Industries (a) ........................... 17,969
1,100 Marvel Enterprises, Inc. (a) ...................... 8,113
1,200 MascoTech, Inc. ................................... 20,325
400 MasTec, Inc. (a) .................................. 11,300
600 Mastech Corp. (a) ................................. 11,175
500 Matthews International Corp. - Class A ............ 14,812
200 Maverick Tube Corp. (a) ........................... 2,788
600 Maxim Group, Inc. (a) ............................. 2,606
300 MAXIMUS, Inc. (a) ................................. 8,625
300 MAXXAM, Inc. (a) .................................. 19,350
300 Maxxim Medical, Inc. (a) .......................... 6,994
700 McClatchy Co., Inc. - Class A ..................... 23,187
200 McGrath Rentcorp .................................. 4,000
700 McWhorter Technologies, Inc. (a) .................. 10,106
1,700 MDU Resources Group, Inc. ......................... 38,781
2,500 Medaphis Corp. (a) ................................ 14,375
800 Media General Inc. - Class A ...................... 40,800
722 Medical Assurance, Inc. (a) ....................... 20,397
500 Medical Manager Corp. (a) ......................... 22,125
1,150 Medicis Pharmaceutical Corp. -
Class A (a) ....................................... 29,181
1,800 MedImmune, Inc. (a)................................ 121,950
1,400 MedQuist, Inc. (a) ................................ 61,250
400 MemberWorks, Inc. (a) ............................. 11,600
700 Mentor Corp. ...................................... 13,038
2,700 Mentor Graphics Corp. (a) ......................... 34,594
500 Merchants New York Bancorp ........................ 16,750
1,000 Mercury Interactive Corp. (a) ..................... 35,375
1,600 Meridian Resource Corp. (a) ....................... 6,200
1,532 Meristar Hospitality Corp. ........................ 34,374
700 Merrill Corp. ..................................... 10,150
95 Merry Land Properties, Inc. (a) ................... 469
1,300 Mesa Air Group, Inc. (a) .......................... 9,770
200 Metal Management, Inc. (a) ........................ 300
1,000 Metals USA, Inc. (a) .............................. 12,750
1,200 Metamor Worldwide, Inc. (a) ....................... 28,875
1,100 Methode Electronics, Inc. - Class A ............... 25,162
1,490 Metris Cos., Inc. ................................. 60,718
400 Metro Networks, Inc (a) ........................... 21,350
</TABLE>
See Notes to Financial Statements
13
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
400 Metrocall, Inc. (a) ........................... $ 1,100
1,800 Metromedia Fiber Network, Inc. -
Class A (a) ................................... 64,688
1,700 Metromedia International Group, Inc. (a) ...... 12,750
1,200 Mettler-Toledo International, Inc. (a) ........ 29,775
550 Metzler Group, Inc. (a) ....................... 15,194
100 MGC Communications, Inc. (a) .................. 2,600
300 MGI Properties, Inc. .......................... 8,475
400 Michael Foods, Inc. ........................... 9,400
1,000 Michaels Stores, Inc. (a) ..................... 30,625
400 Micrel, Inc. (a) .............................. 29,600
1,300 Micro Warehouse, Inc. (a) ..................... 23,237
1,800 Microchip Technology, Inc. (a) ................ 85,275
300 Micromuse, Inc. (a) ........................... 14,963
1,100 Micron Electronics, Inc. (a) .................. 11,069
700 MICROS Systems, Inc. (a) ...................... 23,800
1,400 Mid Atlantic Medical Services, Inc. (a) ....... 13,825
500 Mid-America Apartment Communities, Inc......... 11,562
600 Midas, Inc. ................................... 17,025
959 Midway Games, Inc. (a) ........................ 12,407
450 Midwest Express Holdings (a) .................. 15,300
1,200 Milacron, Inc. ................................ 22,200
1,200 Millennium Pharmaceuticals, Inc. (a) .......... 43,200
1,600 Miller Industries, Inc. (a) ................... 6,300
500 Mills Corp. ................................... 10,844
1,200 MindSpring Enterprises, Inc. (a) .............. 53,175
100 Mine Safety Appliances Co. .................... 6,400
600 Minerals Technologies, Inc. ................... 33,487
400 Minimed, Inc. (a) ............................. 30,775
3,100 Minnesota Power, Inc. ......................... 61,613
600 Miravant Medical Technologies (a) ............. 4,275
600 Mississippi Chemical Corp. .................... 5,887
600 Mississippi Valley Bancshares, Inc. ........... 19,875
1,100 Mitchell Energy & Development Corp. -
Class A ....................................... 21,244
1,000 MMC Network, Inc. (a) ......................... 44,750
300 MMI Cos., Inc. ................................ 5,063
700 Modine Manufacturing Co. ...................... 22,794
300 Monaco Coach Corp. (a) ........................ 12,694
300 Moog, Inc. - Class A (a) ...................... 10,313
850 Morgan Keegan, Inc. ........................... 16,097
1,100 Morrison Knudsen Corp. (a) .................... 11,344
850 MotivePower Industries, Inc. (a) .............. 15,300
600 MRV Communications, Inc. (a) .................. 7,875
1,500 MTI Tech Corp. (a) ............................ 19,594
1,200 MTS Systems Corp. ............................. 14,625
1,100 Mueller Industries, Inc. (a) .................. 37,331
1,100 Musicland Stores Corp. (a) .................... 9,762
900 Myers Industries, Inc. ........................ 18,000
840 N B T Bancorp, Inc. ........................... 17,220
200 NACCO Industries, Inc. - Class A .............. 14,700
500 National Bancorp of Alaska, Inc. .............. 13,250
400 National City Bancorp (a) ..................... 8,350
335 National City Bancshares, Inc. ................ 10,699
900 National Computer Systems, Inc. ............... 30,375
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,400 National Data Corp. ........................... $59,850
700 National Golf Properties, Inc. ................ 17,019
700 National Health Investors, Inc. ............... 15,969
750 National Instruments Corp. (a) ................ 30,281
625 National Penn Bancshares, Inc. ................ 14,707
200 National Presto Industries, Inc. .............. 7,650
1,300 National Processing, Inc. (a) ................. 13,163
450 National R.V. Holdings, Inc. (a) .............. 10,912
1,500 National Steel Corp. - Class B ................ 12,563
1,400 Nationwide Health Properties, Inc. ............ 26,687
400 Natures Sunshine Products, Inc. ............... 4,200
1,500 Nautica Enterprises, Inc. (a) ................. 25,313
1,900 NBTY, Inc. (a) ................................ 12,350
600 NCI Building Systems, Inc. (a) ................ 12,825
250 NCO Group, Inc. (a) ........................... 9,500
500 NCS Healthcare Inc. - Class A (a) ............. 2,719
1,200 NeoMagic Corp. (a) ............................ 10,087
2,200 Network Appliance, Inc. (a) ................... 122,925
400 Network Equipment Technologies, Inc. (a)....... 3,950
300 Network Solutions, Inc. - Class A (a) ......... 23,738
200 Neurogen Corp. (a) ............................ 2,925
2,100 Nevada Power Co. .............................. 52,500
400 New England Business Service, Inc. ............ 12,350
700 New Era of Networks, Inc. ..................... 30,756
600 New Jersey Resources Corp. .................... 22,462
3,400 New Plan Reality Trust ........................ 61,200
1,400 Newfield Exploration Co. (a) .................. 39,813
2,800 Newpark Resources, Inc. (a) ................... 24,850
1,100 Newport News Shipbuilding, Inc. ............... 32,450
800 NeXstar Pharmaceuticals, Inc. (a) ............. 15,950
1,150 NFO Worldwide, Inc. (a) ....................... 16,100
400 Nichols Research Corp. (a) .................... 8,750
700 NL Industries, Inc. ........................... 7,788
500 Nordson Corp. ................................. 30,625
500 Norrel Corp. .................................. 9,406
300 Nortek, Inc. (a) .............................. 9,394
650 North Carolina Natural Gas Corp. .............. 22,141
300 North Face, Inc. (a) .......................... 2,962
400 North Pittsburgh Systems, Inc. ................ 6,800
300 Northwest Bancorp, Inc. ....................... 3,000
800 Northwest Natural Gas Co. ..................... 19,300
700 Northwestern Corp. ............................ 16,931
2,243 Nova Corp., Georgia (a) ....................... 56,075
1,400 Novacare Employee Services, Inc. (a) .......... 3,850
1,400 NovaCare, Inc. (a) ............................ 2,100
1,400 Novellus Systems, Inc. (a) .................... 95,550
300 Novoste Corp. (a) ............................. 6,300
600 NS Group, Inc. (a) ............................ 5,550
2,500 NTL, Inc. (a) ................................. 215,469
600 Nuevo Energy Co. (a) .......................... 7,950
200 NUI Corp. ..................................... 5,000
300 NVR, Inc. (a) ................................. 15,656
700 NYMAGIC, Inc. ................................. 10,937
600 Oak Industries, Inc. (a) ...................... 26,212
2,700 Oak Technology, Inc. (a) ...................... 9,788
</TABLE>
See Notes to Financial Statements
14
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,000 Oakley, Inc. (a) .................................. $ 7,125
2,100 Oakwood Homes Corp. ............................... 27,562
800 Objective Systems Integrators (a) ................. 2,200
6,000 Ocean Energy, Inc. (a) ............................ 57,750
600 Ocean Financial Corp. ............................. 10,875
1,000 Oceaneering International, Inc. (a) ............... 16,125
500 Octel Corp. (a) ................................... 6,250
500 Ocular Sciences, Inc. (a) ......................... 8,688
1,500 Ocwen Asset Investment Corp. ...................... 6,750
500 OEA, Inc. ......................................... 4,438
700 OEC Medical Systems, Inc. (a) ..................... 17,150
700 Offshore Logistics, Inc. (a) ...................... 7,787
1,527 Old National Bancorp .............................. 45,905
2,200 Olsten Corp. ...................................... 13,888
1,000 OM Group, Inc. .................................... 34,500
600 Omega Financial Corp. ............................. 20,850
600 OMEGA Healthcare Investors, Inc. .................. 15,487
600 Omega Protein Corp. (a) ........................... 3,150
800 OMI Corp. (a) ..................................... 1,650
1,000 OMNI Energy Services Corp. (a) .................... 3,500
1,200 Omnipoint Corp. (a) ............................... 34,725
100 OmniQuip International, Inc. ...................... 788
300 On Assignment, Inc. (a) ........................... 7,837
800 On Command Corp. (a) .............................. 14,100
1,075 One Valley Bancorp, Inc. .......................... 40,313
300 Oneida Ltd. ....................................... 8,437
1,000 ONEOK, Inc. ....................................... 31,750
200 OnSale, Inc. (a) .................................. 3,788
700 Open Market, Inc. (a) ............................. 9,931
400 Optical Cable Corp. (a) ........................... 4,400
400 Orange & Rockland Utilities, Inc. ................. 23,375
700 Oregon Steel Mills, Inc. .......................... 9,319
400 O'Reilly Automotive, Inc. (a) ..................... 20,150
993 Organogenesis, Inc. (a) ........................... 9,309
133 Oriental Financial Group .......................... 3,209
1,500 Orthodontic Centers of America, Inc. (a) .......... 21,187
400 Oshkosh B'Gosh, Inc. - Class A .................... 8,450
500 O'Sullivan Industries Holdings, Inc. (a) .......... 8,500
200 Otter Tail Power Co. .............................. 7,713
900 Overseas Shipholding Group, Inc. .................. 11,587
400 Owens & Minor, Inc. Holding Co. ................... 4,400
2,700 Oxford Health Plans, Inc. (a) ..................... 42,019
300 P.J. America, Inc. (a) ............................ 6,356
700 Pacific Capital Bancorp ........................... 22,050
300 Pacific Gateway Exchange, Inc. (a) ................ 8,737
600 Pacific Gulf Properties, Inc. ..................... 13,575
937 Pacific Sunwear of California, Inc. (a) ........... 22,839
1,700 PageMart Wireless, Inc. - Class A (a) ............. 12,856
2,700 PairGain Technologies, Inc. (a) ................... 31,050
750 Palm Harbor Homes, Inc. (a) ....................... 18,797
200 Pan Pacific Retail Properties ..................... 3,875
414 Panavision, Inc. (a) .............................. 2,795
800 Papa John's International, Inc. (a) ............... 35,750
800 PAREXEL International Corp. (a) ................... 10,650
300 Park Electrochemical Corp. ........................ 8,625
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
400 Park National Corp. ............................... $40,000
2,000 Parker Drilling Co. (a) ........................... 6,625
200 ParkerVision, Inc. (a) ............................ 7,000
600 Parkway Properties, Inc. .......................... 19,875
800 PathoGenesis Corp. (a) ............................ 11,350
700 Patterson Dental Co. (a) .......................... 24,325
700 Patterson Energy, Inc. (a) ........................ 6,912
1,050 Paxar Corp. (a) ................................... 9,450
600 Paxson Communications Corp. (a) ................... 8,100
500 Paymentech, Inc. (a) .............................. 12,688
1,600 PBOC Holdings, Inc. (a) ........................... 16,000
1,400 P-COM, Inc. (a) ................................... 7,328
200 PEC Israel Economic Corp. (a) ..................... 6,300
500 Pediatrix Medical Group, Inc. (a) ................. 10,625
400 Pegasus Communications Corp. (a) .................. 15,775
500 Pegasus Systems, Inc. (a) ......................... 18,719
200 Pegasystems, Inc. (a) ............................. 2,050
200 Penn Treaty Amer Corp. (a) ........................ 4,812
1,900 Penncorp Financial Group, Inc. .................... 950
400 Pennsylvania Enterprises Inc. ..................... 12,275
500 Pennsylvania Real Estate Investment
Trust ............................................. 10,469
100 Penske Motorsports (a) ............................ 4,963
1,100 Peoples Bancorp, Inc. ............................. 10,966
1,500 People's Energy Corp. ............................. 56,531
300 Perclose, Inc. (a) ................................ 14,419
600 Peregrine Systems, Inc. (a) ....................... 15,412
400 Performance Food Group, Inc. (a) .................. 10,875
2,100 Perrigo Co. (a) ................................... 16,013
1,100 Personnel Group of America, Inc. (a) .............. 11,000
700 Petco Animal Supplies, Inc. (a) ................... 11,025
3,700 PETsMART, Inc. (a) ................................ 37,925
800 PFF Bancorp, Inc. (a) ............................. 15,000
500 Pharmaceutical Product Development,
Inc. (a) .......................................... 13,687
1,500 Philadelphia Suburban Corp. ....................... 34,594
700 Phillips-Van Heusen Corp. ......................... 6,913
900 Phoenix Investment Partners, Ltd. ................. 7,762
600 Photronics, Inc. (a) .............................. 14,700
2,400 PhyCor, Inc. (a) .................................. 17,775
700 Physician Computer Network, Inc. (a) .............. 175
1,800 PictureTel Corp. (a) .............................. 14,400
1,400 Piedmont Natural Gas Co., Inc. .................... 43,575
400 Pilgrims Pride Corp. .............................. 12,000
600 Pillowtex Corp. ................................... 9,788
500 Pinnacle Systems, Inc. (a) ........................ 16,812
700 Pioneer Group, Inc. ............................... 12,075
800 Pioneer Standard Electronics, Inc. ................ 9,600
500 Pittston BAX Group ................................ 4,750
700 Plains Resources Inc. (a) ......................... 13,300
700 Plantronics, Inc. (a) ............................. 45,588
500 Playboy Enterprises, Inc. - Class B (a) ........... 13,281
1,500 Playtex Products, Inc. (a) ........................ 23,344
500 Plexus Corp. (a) .................................. 15,062
500 PMA Capital Corp - Class A ........................ 10,281
</TABLE>
See Notes to Financial Statements
15
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
2,100 PMC-Sierra, Inc. (a) ........................... $123,769
1,300 Pogo Producing Co. ............................. 24,213
1,000 Polaris Industries, Inc.. ...................... 43,500
700 Polycom, Inc. (a) .............................. 27,300
500 Polymer Group, Inc. (a) ........................ 5,875
700 Pool Energy Services Co. (a) ................... 14,219
900 Potlatch Corp. ................................. 39,544
500 Powertel, Inc. (a) ............................. 14,937
200 Powerwave Technologies, Inc. (a) ............... 6,450
1,000 Precision Castparts Corp. ...................... 42,500
800 Premier Bancshares, Inc. ....................... 14,650
2,200 Premier Parks, Inc. (a) ........................ 80,850
1,300 Premiere Technologies, Inc. (a) ................ 14,950
800 Premisys Communications, Inc. (a) .............. 5,850
1,200 Prentiss Properties Trust ...................... 28,200
800 Pre-Paid Legal Services, Inc. (a) .............. 21,750
700 Presidential Life Corp. ........................ 13,738
800 Presstek, Inc. (a) ............................. 5,775
400 Preview Travel, Inc. (a) ....................... 8,775
500 PRI Automation, Inc. (a) ....................... 18,125
52 Price Enterprises, Inc. (a) .................... 374
1,600 Pride International, Inc. (a) .................. 16,900
376 Primark Corp. (a) .............................. 10,551
700 Prime Group Realty Trust ....................... 12,031
2,200 Prime Hospitality Corp. (a) .................... 26,400
1,298 Prime Retail, Inc. ............................. 11,276
400 Primex Technologies ............................ 8,625
600 Primus Telecommunications Group (a) ............ 13,463
792 Priority Healthcare Corp. (a) .................. 27,324
3,600 Prison Realty Trust, Inc. ...................... 35,325
350 ProBusiness Services, Inc. (a) ................. 12,556
600 Profit Recovery Group International (a) ........ 28,387
500 Progress Software Corp. (a) .................... 14,125
200 Project Software & Development, Inc. (a) ....... 6,250
600 Protein Design Labs, Inc. (a) .................. 13,313
866 Provident Bankshares, Corp. .................... 20,134
300 Province Healthcare Co. (a) .................... 5,850
1,300 PS Business Parks, Inc. ........................ 31,688
1,700 PSINet, Inc. (a) ............................... 74,375
2,250 PSS World Medical, Inc. (a) .................... 25,172
1,900 Public Service Co. of New Mexico ............... 37,763
600 Public Service Co. of North Carolina, Inc....... 17,550
100 Puerto Rican Cement Co., Inc. .................. 3,319
700 Pulte Corp. .................................... 16,144
400 PXRE Corp. ..................................... 7,250
400 QAD, Inc. (a) .................................. 1,225
600 Qlogic Corp. (a) ............................... 79,200
200 QRS Corp. (a) .................................. 15,600
600 QuadraMed Corp. (a) ............................ 4,875
200 Quaker Fabric Corp. (a) ........................ 837
500 Quanex Corp. ................................... 14,250
500 Queens County Bancorp, Inc. .................... 16,188
900 Quest Diagnostic, Inc. (a) ..................... 24,637
950 Quicksilver, Inc. (a) .......................... 24,759
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,480 Radian Group, Inc. ............................. $ 72,241
600 Radiant Systems, Inc. (a) ...................... 8,550
400 Rainforest Cafe, Inc. (a) ...................... 2,025
960 Ralcorp Holdings, Inc. (a) ..................... 15,420
500 Rambus, Inc. (a) ............................... 46,094
2,100 Range Resources Corp. .......................... 12,862
3,100 Rational Software Corp. (a) .................... 102,106
1,200 Rayonier, Inc. ................................. 59,775
900 Rayovac Corp. (a) .............................. 20,419
1,300 RCN Corp. (a) .................................. 54,113
2,100 Read-Rite Corp. (a) ............................ 13,027
600 RealNetworks, Inc. (a) ......................... 41,325
900 Realty Income Corp. ............................ 21,375
1,100 Reckson Associates Realty Corp. ................ 25,850
224 Reckson Associates Realty Corp. -
Class B (a) .................................... 5,348
1,400 Red Roof Inns, Inc. (a) ........................ 25,113
700 Redwood Trust, Inc. ............................ 11,594
700 Regal-Beloit Corp. ............................. 16,537
600 Regency Realty Corp. ........................... 13,162
1,400 Regeneron Pharmaceuticals, Inc. (a) ............ 10,938
900 Regis Corp. .................................... 17,269
1,200 Reinsurance Group of America ................... 42,300
500 Reliance Steel & Aluminum Co. .................. 19,500
600 Remec, Inc. (a) ................................ 9,675
700 Remedy Corp. (a) ............................... 18,813
400 Renaissance Worldwide, Inc. (a) ................ 3,187
1,550 Renal Care Group, Inc. (a) ..................... 40,106
800 Rent-A-Center, Inc. (a) ........................ 19,200
1,100 Rental Service Corp. (a) ....................... 31,487
500 Rent-Way, Inc. (a) ............................. 12,313
650 Republic Bancorp, Inc. ......................... 9,872
300 Republic Banking Corp. of Florida .............. 5,775
300 Republic Group, Inc. ........................... 5,400
1,500 Republic Security Financial Corp. .............. 12,563
300 Res-Care, Inc. (a) ............................. 6,825
500 ResMed, Inc. (a) ............................... 16,594
515 Resource Bancshares Mortgage Group,
Inc. ........................................... 5,279
1,100 Resources America, Inc. (a) .................... 15,950
876 Respironics, Inc. (a) .......................... 13,249
700 RFS Hotel Investors, Inc. ...................... 8,794
2,000 Richfood Holdings, Inc. ........................ 35,250
800 Richmond County Financial Corp. ................ 15,400
600 Riggs National Corp. ........................... 12,338
600 Risk Capital Holdings, Inc. (a) ................ 8,100
500 Riviana Foods, Inc. ............................ 9,375
250 RLI Corp. ...................................... 9,687
400 Roadway Express, Inc. .......................... 7,750
200 Robbins & Myers, Inc. .......................... 4,462
200 Robert Mondavi Corp. - Class A (a) ............. 7,275
800 Roberts Pharmaceutical Corp. (a) ............... 19,400
1,200 Rochester Gas & Electric Corp. ................. 31,875
500 Rock-Tenn Co. - Class A ........................ 8,344
500 Rogers Corp. (a) ............................... 14,750
</TABLE>
See Notes to Financial Statements
16
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
500 ROHN Industries, Inc. ........................... $ 688
2,500 Rollins Truck Leasing Corp. ..................... 27,813
600 Rollins, Inc. ................................... 9,562
1,140 Romac International, Inc. (a) ................... 10,117
1,000 Roper Industries, Inc. .......................... 32,000
3,140 Roslyn Bancorp., Inc. ........................... 53,969
600 Rouge Industries Inc. - Class A ................. 5,850
1,200 RPC, Inc. ....................................... 10,500
500 RTI International Metals, Inc. .................. 7,344
900 Ruby Tuesday, Inc. .............................. 17,100
900 Ruddick Corp. ................................... 18,000
300 Rural / Metro Corp. (a) ......................... 2,888
300 Russ Berrie & Co., Inc. ......................... 7,425
1,300 Russell Corp. ................................... 25,350
200 RWD Technologies, Inc. (a) ...................... 2,088
1,300 Ryan's Family Steak Houses, Inc. (a) ............ 15,112
788 Ryerson Tull, Inc. - Class A (a) ................ 17,779
500 Ryland Group, Inc. .............................. 14,844
860 S&T Bancorp, Inc. ............................... 21,715
1,600 S3, Inc. (a) .................................... 14,550
300 Sabratek Corp. (a) .............................. 6,563
1,100 Safeguard Scientifics, Inc. (a) ................. 68,200
880 Safety-Kleen Corp. (a) .......................... 15,950
1,000 SAGA Systems, Inc. (a) .......................... 12,750
146 Samsonite Corp. (a) ............................. 730
600 Sanchez Computer Associates, Inc. (a) ........... 20,775
800 SanDisk Corp. (a) ............................... 36,000
400 Sandy Spring Bancorp, Inc. ...................... 11,100
500 SangStat Medical Corp. (a) ...................... 8,625
9,355 Santa Fe Snyder Corp. ........................... 71,332
300 Sapient Corp. (a) ............................... 16,988
1,000 Sauer, Inc. ..................................... 10,750
400 Sawtek, Inc. (a) ................................ 18,350
400 Sbarro, Inc. (a) ................................ 10,825
400 Schawk, Inc. .................................... 3,575
700 Schein Pharmaceutical, Inc. (a) ................. 8,444
400 Scholastic Corp. (a) ............................ 20,250
1,000 Schulman, Inc. .................................. 17,188
500 Schweitzer-Mauduit International, Inc. .......... 7,500
700 Scientific Games Holdings Corp. (a) ............. 13,650
1,100 Scios, Inc. (a) ................................. 3,575
400 SCM Microsystems, Inc. (a) ...................... 18,550
600 Scotsman Industries, Inc. ....................... 12,938
600 Scott Technologies, Inc. - Class A (a) .......... 11,550
600 Scotts Co. (The) - Class A (a) .................. 28,575
400 SCPIE Holdings, Inc. ............................ 13,050
900 SDL, Inc. (a) ................................... 45,956
400 SEACOR Smit, Inc. (a) ........................... 21,400
1,300 Security Capital Group, Inc. - Class B (a)....... 18,931
1,400 Security Dynamics Technology, Inc. (a) .......... 29,750
500 SEI Investments Co. ............................. 44,125
800 Seitel, Inc. (a) ................................ 12,950
900 Selective Insurance Group, Inc. ................. 17,156
205 SEMCO Energy, Inc. .............................. 3,165
400 Semtech Corp. (a) ............................... 20,850
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
2,200 Sensormatic Electronics Corp. (a) ............... $30,662
1,000 Sepracor, Inc. (a) .............................. 81,250
200 Sequa Corp. - Class A (a) ....................... 14,000
1,400 Sequent Computer Systems, Inc. (a) .............. 24,850
750 Serologicals Corp. (a) .......................... 6,094
500 Service Experts, Inc. (a) ....................... 10,969
1,000 SFX Entertainment Inc. - Class A (a) ............ 64,000
400 Shiloh Industries, Inc. (a) ..................... 5,800
800 ShopKo Stores, Inc. (a) ......................... 29,000
750 Shorewood Packaging Corp. (a) ................... 13,828
900 Shurgard Storage Centers, Inc. - Class A......... 24,413
2,600 SICOR Inc. (a) .................................. 11,050
750 Sierra Health Services, Inc. (a) ................ 10,828
1,000 Sierra Pacific Resources ........................ 36,375
700 SIGCORP, Inc. ................................... 19,819
500 Silgan Holdings, Inc. (a) ....................... 9,937
600 Silicon Valley Bancshares (a) ................... 14,850
1,100 Silicon Valley Group, Inc. (a) .................. 18,494
200 Siliconix, Inc.. (a) ............................ 6,850
900 Simpson Industries, Inc. ........................ 9,225
100 Simpson Manufacturing Co., Inc. (a) ............. 4,750
900 SIPEX Corp. (a) ................................. 18,450
2,500 SITEL Corp. (a) ................................. 7,344
1,478 Sky Financial Group, Inc. ....................... 40,276
200 Skyline Corp. ................................... 5,862
2,400 SkyTel Communications, Inc. (a) ................. 50,250
600 Skywest, Inc. ................................... 14,963
500 SL Green Realty Corp. ........................... 10,219
450 SLI, Inc. (a) ................................... 12,150
600 SM&A Corp. (a) .................................. 4,575
300 Smart & Final, Inc. ............................. 3,150
800 SMART Modular Technologies, Inc. (a) ............ 13,900
1,000 Smith (Charles E.) Residential Realty, Inc....... 33,937
1,600 Smithfield Foods, Inc. (a) ...................... 53,500
1,000 Smucker (J.M.) Co. - Class A .................... 22,250
800 Sola International, Inc. (a) .................... 15,550
950 Sonic Corp. (a) ................................. 30,994
1,100 SOS Staffing Services, Inc. (a) ................. 5,775
1,500 Sotheby's Holdings, Inc. - Class A .............. 57,188
600 South Jersey Industries, Inc. ................... 16,987
500 Southern Peru Copper Corp. ...................... 7,219
330 Southern Union Co. (a) .......................... 7,178
600 Southwest Bancorp of Texas (a) .................. 10,800
1,000 Southwest Gas Corp. ............................. 28,625
400 Southwest Securities Group, Inc. ................ 28,700
1,700 Southwestern Energy Co. ......................... 17,956
700 Sovran Self Storage, Inc. ....................... 18,856
400 Spartech Corp. .................................. 12,650
600 Special Metals Corp. (a)......................... 3,487
200 Specialty Equipment Cos., Inc. .................. 5,888
1,355 SpeedFam-IPEC, Inc. (a) ......................... 21,765
400 Speedway Motorsports, Inc. (a) .................. 15,725
700 Spiegel - Class A (a) ........................... 6,212
500 Sportsline USA, Inc. (a) ........................ 17,938
500 Springs Industries, Inc. - Class A .............. 21,813
</TABLE>
See Notes to Financial Statements
17
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
400 SPS Technologies, Inc. (a) ....................... $15,000
1,000 SPX Corp. (a) .................................... 83,500
900 St John Knits, Inc. .............................. 26,325
200 St. Mary Land & Exploration Co. .................. 4,112
1,200 St. Paul Bancorp, Inc. ........................... 30,600
500 Staff Leasing, Inc. (a) .......................... 6,437
500 StaffMark, Inc. (a) .............................. 5,016
500 Stage Stores, Inc. (a) ........................... 3,250
500 Standard Motor Products, Inc. .................... 12,250
500 Standard Products Co. ............................ 12,813
400 Standard Register Co. ............................ 12,300
800 Standard-Pacific Corp. ........................... 10,350
200 Standex International Corp. ...................... 5,475
600 Starrett (L.S.) Co. - Class A .................... 16,125
800 State Auto Financial Corp. ....................... 10,800
1,400 Staten Island Bancorp, Inc. ...................... 25,200
700 Station Casinos, Inc. (a) ........................ 14,262
1,100 Steel Dynamics, Inc. (a) ......................... 17,016
600 Stein Mart, Inc. (a) ............................. 5,625
200 Stephan Chemical Co. ............................. 5,075
700 Sterling Bancorp ................................. 13,300
750 Sterling Bancshares, Inc. ........................ 10,031
900 Stewart & Stevenson Services, Inc. ............... 13,725
400 Stewart Information Services Corp. ............... 8,450
1,200 Stillwater Mining Co. (a) ........................ 39,225
200 Stone & Webster, Inc. ............................ 5,325
400 Stone Energy Corp. (a) ........................... 16,950
800 Storage USA, Inc. ................................ 25,500
1,500 Stride Rite Corp. ................................ 15,469
1,100 Structural Dynamics Research Corp. (a) ........... 20,419
100 Student Loan Corp. ............................... 4,450
400 Sturm Ruger & Co., Inc. .......................... 4,275
400 Suburban Lodges of America, Inc. (a) ............. 2,575
600 SUGEN, Inc. (a) .................................. 17,700
700 Summit Properties, Inc. .......................... 13,825
900 Sun Communities, Inc. ............................ 31,950
500 Sun Healthcare Group, Inc. (a) ................... 188
1 Sunburst Hospitality Corp. (a) ................... 6
1,300 Sunglass Hut International (a) ................... 22,344
600 Sunrise Assisted Living, Inc. (a) ................ 20,925
600 Sunrise Medical, Inc. (a) ........................ 4,275
700 Sunstone Hotel Investors, Inc. ................... 5,950
850 Sunterra, Inc. (a) ............................... 11,847
400 SuperGen, Inc. (a) ............................... 6,125
200 Superior Consultant Holdings Corp. (a) ........... 4,937
600 Superior Industries International, Inc. .......... 16,388
900 Superior Services, Inc. (a) ...................... 24,019
381 Superior Telecommunications, Inc. ................ 9,525
144 Superior Trust I ................................. 6,192
1,900 Susquehanna Bancshares, Inc. ..................... 33,606
220 Swift Energy Co. (a) ............................. 2,351
1,625 Swift Transportation Co., Inc. (a) ............... 35,750
2,600 Sybase, Inc. (a) ................................. 28,600
500 Sykes Enterprises, Inc. (a) ...................... 16,687
1,550 Sylvan Learning Systems, Inc. (a) ................ 42,141
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,800 Symantec Corp. (a) ............................... $45,900
1,000 Syms Corp. (a) ................................... 4,063
800 Synetic, Inc. (a) ................................ 55,000
200 Syntel, Inc. (a) ................................. 1,800
1,300 Syntroleum Corp. (a) ............................. 11,619
400 Systemax, Inc. (a) ............................... 4,950
300 System Software Associates, Inc. (a) ............. 469
1,000 Systems & Computer Technology
Corp. (a) ........................................ 14,562
400 Talbots .......................................... 15,250
1,000 TALK.com (a) ..................................... 11,250
500 Tanger Factory Outlet Centers, Inc. .............. 13,000
1,200 Taubman Centers, Inc. ............................ 15,825
1,200 Tava Technologies Inc. (a) ....................... 9,225
300 TCBY Enterprises, Inc. ........................... 1,819
600 Techne Corp. (a) ................................. 15,225
400 Technitrol, Inc. ................................. 12,900
1,300 Technology Solutions (a) ......................... 14,056
800 Tecumseh Products Co. - Class A .................. 48,450
500 Tejon Ranch Co., ................................. 12,625
1,100 Tekelec (a) ...................................... 13,406
400 Telxon Corp. ..................................... 3,175
600 Tennant Co. ...................................... 19,200
800 Terex Corp. (a) .................................. 24,350
2,400 Terra Industries, Inc. ........................... 9,600
1,300 Tesoro Petroleum Corp. (a) ....................... 20,719
700 TETRA Technologies, Inc. (a) ..................... 6,431
1,147 Tetra Tech, Inc. (a) ............................. 18,926
900 Texas Industries, Inc. ........................... 34,875
500 Texas Regional Bancshares, Inc. -
Class A .......................................... 13,594
500 The Cheesecake Factory, Inc. (a) ................. 15,250
500 The Children's Place Retail Stores,
Inc. (a) ......................................... 20,250
1,016 The Fairchild Corp. - Class A .................... 12,950
1,400 The Macerich Co. ................................. 36,750
1,251 The Men's Wearhouse, Inc. (a) .................... 31,900
500 The Midland Co. .................................. 12,688
1,000 The Sports Authority, Inc. (a) ................... 4,437
1,000 Theragenics Corp. (a) ............................ 6,937
900 Thermedics, Inc. (a) ............................. 8,381
600 Thermo BioAnalysis Corp. (a) ..................... 10,425
1,200 Thermo Cardiosystems, Inc. (a) ................... 13,050
1,200 Thermo Ecotek Corp. (a) .......................... 9,600
1,300 Thermo Fibertek, Inc. (a) ........................ 9,263
700 Thermo Optek Corp. (a) ........................... 7,262
1,100 ThermoLase Corp. (a) ............................. 1,444
600 ThermoQuest Corp. (a) ............................ 7,988
400 Thermotrex Corp. (a) ............................. 3,050
500 Thomas Industries, Inc. .......................... 10,250
400 Thor Industries, Inc. ............................ 11,350
1,500 Thornburg Mortgage Asset Corp. ................... 15,000
100 Timberland Co., Class A (a) ...................... 6,806
1,500 Titan Exploration, Inc. (a) ...................... 7,500
300 Titan International, Inc. ........................ 3,563
</TABLE>
See Notes to Financial Statements
18
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
700 Titanium Metals Corp. ............................ $ 7,875
400 TJ International, Inc.. .......................... 12,400
500 TMP Worldwide, Inc. (a) .......................... 31,750
400 TNP Entreprise, Inc. ............................. 14,500
1,100 Toll Brothers, Inc. (a) .......................... 23,581
400 Toro Co. ......................................... 15,750
1 Total Renal Care Holdings (a) .................... 16
1,900 Tower Automotive, Inc. (a) ....................... 48,331
700 Town & Country Trust ............................. 12,512
900 Trammel Crow Co. (a) ............................. 14,794
1,800 Trans World Airlines, Inc. (a) ................... 8,888
800 Trans World Entertainment Corp. (a) .............. 9,000
200 Transaction Network Services, Inc. (a) ........... 5,850
1,300 Transaction Systems Architechure, Inc. -
Class A (a) ...................................... 50,700
600 Transkaryotic Therapies, Inc. (a) ................ 19,800
1,300 TransMontaigne Oil Co. (a) ....................... 16,331
955 Tredegar Industries, Inc. ........................ 20,771
400 Tremont Corp. .................................... 8,600
400 Trendwest Resorts, Inc. (a) ...................... 8,925
200 Trenwick Group, Inc. ............................. 4,931
200 Trex Medical Co. (a) ............................. 1,200
400 Triad Guaranty, Inc. (a) ......................... 7,175
1,100 Triangle Bancorp, Inc. ........................... 18,631
1,100 Triangle Pharmaceuticals, Inc. (a) ............... 19,800
300 Triarc Cos., Inc. (a) ............................ 6,375
400 Trico Marine Services, Inc. (a) .................. 2,625
700 Trimble Navigation Ltd. (a) ...................... 9,012
1,200 TriNet Corporate Realty Trust .................... 33,225
400 Triumph Group, Inc. (a) .......................... 10,200
400 Trust Co. of New Jersey .......................... 9,400
882 Trustco Bank Corp. ............................... 23,704
1,400 Tuboscope Vetco International Corp. (a) .......... 19,163
700 Twinlab Corp. (a) ................................ 6,016
400 URS Corp. ........................................ 11,725
1,000 U.S. Bancorp, Inc. ............................... 15,750
800 U.S. Bioscience, Inc. (a) ........................ 7,800
400 U.S. Home Corp. (a) .............................. 14,200
2,534 U.S. Oncology, Inc. (a) .......................... 30,408
500 U.S. Restaurants Properties, Inc. ................ 10,625
1,600 UGI Corp. ........................................ 32,300
1,200 UICI (a) ......................................... 33,150
700 Ultratech Stepper, Inc. (a) ...................... 10,544
715 UMB Financial Corp. .............................. 30,656
1,200 UniCapital Corp. (a) ............................. 7,575
200 UniFirst Corp. ................................... 3,675
1,000 Unisource Energy Corp. (a) ....................... 11,937
2,900 Unisource Worldwide, Inc. ........................ 34,981
1,000 United Auto Group, Inc. (a) ...................... 10,250
1,400 United Bankshares, Inc. .......................... 37,100
3,300 United Dominion Realty Trust, Inc. ............... 38,775
400 United Fire & Casualty Co. ....................... 10,400
400 United Illuminating Co. .......................... 16,975
1,500 United International Holdings, Inc. -
Class A (a) ...................................... 101,438
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
660 United National Bancorp .......................... $15,675
100 United Natural Foods, Inc. (a) ................... 2,475
400 United Payors & United Providers,
Inc. (a) ......................................... 9,275
977 United Rental, Inc. (a) .......................... 28,821
1,200 United Stationers, Inc. (a) ...................... 26,400
200 United Television, Inc. .......................... 20,975
900 United Water Resources, Inc. ..................... 20,419
1,000 Unitrode Corp. (a) ............................... 28,688
1,000 Universal Corp. .................................. 28,437
1,600 Universal Foods Corp. ............................ 33,800
300 Universal Forest Products, Inc. .................. 6,450
1,100 UNOVA, Inc. (a) .................................. 17,463
300 Urban Shopping Centers, Inc. ..................... 9,450
200 US LEC Corp. - Class A (a) ....................... 4,500
100 US Xpress Enterprises, Inc. (a) .................. 1,069
900 USFreightways Corp. .............................. 41,681
1,300 UST Corp. ........................................ 39,325
2,200 USWeb Corp. (a) .................................. 48,812
1,300 Vail Resorts, Inc. (a) ........................... 22,750
2,050 Valassis Communications, Inc. (a) ................ 75,081
900 Valhi, Inc. ...................................... 10,013
600 Valmont Industries, Inc. ......................... 10,219
500 Value City Department Stores, Inc. (a) ........... 6,125
300 Value Line, Inc. ................................. 11,700
900 Vantive Corp. (a) ................................ 10,294
550 Varlen Corp. ..................................... 22,275
400 Veeco Instruments, Inc. (a) ...................... 13,600
1,800 Vencor, Inc. (a) ................................. 270
700 Ventana Medical Systems, Inc. (a) ................ 13,388
1,700 Ventas, Inc. (a) ................................. 9,137
200 Verio Inc. (a) ................................... 13,900
200 VeriSign, Inc. (a) ............................... 17,250
900 Veritas DGC, Inc. (a) ............................ 16,481
800 Vertex Pharmaceuticals, Inc. (a) ................. 19,300
400 Vesta Insurance Group, Inc. ...................... 1,850
700 Veterinary Centers of America, Inc. (a) .......... 9,494
500 VIASOFT, Inc. (a) ................................ 1,750
500 Vical, Inc. (a) .................................. 6,062
600 Vicor Corp. ...................................... 12,713
1,200 Vintage Petroleum, Inc. .......................... 12,900
440 Virco Manufacturing Corp. ........................ 7,095
2,625 Vishay International, Inc. (a) ................... 55,125
800 Visio Corp. (a) .................................. 30,450
200 Vistana, Inc. (a) ................................ 3,150
800 Visual Networks, Inc. (a) ........................ 25,600
2,000 VISX, Inc. (a) ................................... 158,375
600 Vital Signs, Inc. ................................ 11,962
1,400 Vivus, Inc. (a) .................................. 3,675
800 Vlasic Foods International (a) ................... 5,850
3,500 VoiceStream Wireless Corp. (a) ................... 99,531
600 Volt Information Sciences, Inc. (a) .............. 13,725
500 VWR Scientific Products Corp. (a) ................ 18,344
700 Wabash National Corp. ............................ 13,563
300 Wackenhut Corp. - Class A ........................ 8,925
</TABLE>
See Notes to Financial Statements
19
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
300 Wackenhut Corrections Corp. (a) ............. $ 5,944
400 Walden Residential Properties, Inc. ......... 8,600
1,700 Wallace Computer Services, Inc. ............. 42,500
1,300 Walter Industries, Inc. (a) ................. 16,819
1,500 Washington Gas Light Co. .................... 39,000
1,600 Washington Real Estate Investment Trust...... 27,100
500 Waste Industires, Inc. (a) .................. 8,937
700 Watsco, Inc. - Class A ...................... 11,463
400 Watts Industries Inc. - Class A ............. 7,675
2,180 Wausau-Mosinee Paper Co. .................... 39,240
700 Wavo Corp. (a) .............................. 4,462
500 WD-40 Co. ................................... 12,500
1,800 Webster Financial Corp. ..................... 48,825
600 Weeks Corp. ................................. 18,300
800 Weingarten Realty, Inc. ..................... 33,400
1,000 Wellman, Inc. ............................... 15,937
1,300 Wellsford Real Properties, Inc. (a) ......... 13,975
900 Werner Enterprises, Inc. .................... 18,675
600 WesBanco, Inc. .............................. 18,000
400 Wesley Jessen VisionCare (a) ................ 12,950
220 West Coast Bancorp/Oregon ................... 3,850
200 West Marine, Inc. (a) ....................... 2,913
436 West Pharmaceutical Services, Inc. .......... 17,113
1,400 West TeleServices Corp. (a) ................. 13,125
1,600 Westamerica Bancorp. ........................ 58,400
1,400 Westcorp, Inc. .............................. 15,750
400 Westell Technologies (a) .................... 2,787
700 Western Bancorp ............................. 30,450
700 Western Gas Resources, Inc. ................. 11,200
500 Western Investment Real Estate .............. 5,813
2,500 Western Wireless Corp. - Class A (a) ........ 67,500
1,500 Westernbank Puerto Rico ..................... 19,594
1,000 Westfield America, Inc. ..................... 15,062
500 Westinghouse Air Brake Co. .................. 12,969
600 Westaff, Inc. ............................... 3,525
900 Westwood One, Inc. (a) ...................... 32,119
300 Wet Seal, Inc. - Class A (a) ................ 8,588
200 White Mountain Insurance Group Inc. ......... 28,200
800 Whitney Holding Corp. ....................... 31,800
1,200 Whittman-Hart, Inc. (a) ..................... 38,100
1,100 WHX Corp. (a) ............................... 7,219
1,600 WICOR, Inc. ................................. 44,700
300 Wild Oats Market, Inc. (a) .................. 9,103
1,100 Wind River Systems (a) ...................... 17,669
700 Windmere-Durable Holdings, Inc. (a) ......... 11,812
400 Winnebago Industries ........................ 9,000
1,600 WinStar Communications, Inc. (a) ............ 78,000
2,100 Wisconsin Central Transportation
Corp. (a) ................................... 39,638
500 Wolverine Tube, Inc. (a) .................... 12,562
</TABLE>
<TABLE>
<CAPTION>
Shares Value
- ------------- ----------------
<S> <C> <C>
1,300 Wolverine World Wide, Inc. .................. $ 18,200
300 Woodward Governor Co. ....................... 7,800
1,200 World Access, Inc. (a) ...................... 16,950
1,200 World Color Press, Inc. (a) ................. 33,000
900 WPS Resources Corp. ......................... 27,000
600 Wyman-Gordon Co. (a) ........................ 11,588
700 Wynn's International, Inc. .................. 12,906
1,000 Xircom, Inc. (a) ............................ 30,063
600 Xomed Surgical Products, Inc. (a) ........... 29,212
200 X-Rite, Inc. ................................ 1,287
400 Xtra Corp. .................................. 18,375
500 Yankee Energy System, Inc. .................. 19,844
700 Yellow Corp. (a) ............................ 12,425
300 Young Broadcasting Corp. - Class A (a) ...... 12,769
549 XL Capital Ltd. ............................. 31,018
1,200 Zale Corp. (a) .............................. 48,000
500 Zapata Corp. ................................ 4,250
700 Zebra Technologies Corp. - Class A (a) ...... 26,906
300 Zenith National Insurance Corp. ............. 7,388
200 Zila, Inc. (a) .............................. 606
400 Zoltek Cos., Inc. (a) ....................... 3,175
-----------
TOTAL COMMON STOCKS (Cost $29,898,882) 31,943,782
-----------
PREFERRED STOCKS -- 0.03%
144 Kimco Realty Corp. .......................... 3,528
30 Mediq, Inc. ................................. 154
300 Price Enterprises, Inc. ..................... 4,481
100 Prime Retail ................................ 1,600
-----------
TOTAL PREFERRED STOCKS (Cost $10,101) 9,763
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
- ------------
<S> <C> <C>
SHORT TERM INSTRUMENTS -- 4.60%
U.S. TREASURY BILLS (C) -- 4.60%
$ 44,000 4.51%, 8/12/1999 .............. 43,769
60,000 4.48%, 8/19/1999 (b) .......... 59,634
209,000 4.29%, 8/26/1999 .............. 207,606
10,000 4.45%, 9/09/1999 .............. 9,911
285,000 4.53%, 9/16/1999 .............. 282,201
315,000 4.63%, 9/30/1999 .............. 311,296
638,000 4.67%, 10/21/1999 ............. 628,749
-------
TOTAL SHORT TERM INSTRUMENTS (Cost $1,543,207) 1,543,166
---------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $31,452,190)-- 99.86% 33,496,711
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.14% 48,346
------ ----------
NET ASSETS .............................. 100.00% $33,545,057
====== ===========
</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.
See Notes to Financial Statements
20
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
SCHEDULE OF INVESTMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
At June 30, 1999, 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>
2 S & P 500 9/16/99 $674,137 $690,850 $16,713
======== ======== =======
</TABLE>
See Notes to Financial Statements
21
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments at value (cost $31,452,190).................................... $ 33,496,711
Cash ...................................................................... 21,125
Receivable for investment securities sold ................................. 1,116
Interest and dividends receivable ......................................... 31,195
Due from investment Advisor ............................................... 11,542
Variation margin for futures contracts .................................... 12,500
Deferred organizational costs and other assets ............................ 13,529
------------
Total Assets ............................................................. 33,587,718
------------
LIABILITIES:
Administration fee payable ................................................ 3,876
Trustees'/Directors fee payable ........................................... 2,569
Custody fee payable ....................................................... 2,140
Other accrued expenses .................................................... 34,076
------------
Total Liabilities ........................................................ 42,661
------------
NET ASSETS .................................................................. $ 33,545,057
============
COMPOSITION OF NET ASSETS:
Paid-in-capital (3,091,212 outstanding shares of beneficial interest) ..... $ 32,237,942
Undistributed net investment income ....................................... 340,177
Accumulated net realized loss on investments and futures contracts ........ (1,094,596)
Net unrealized appreciation of investments and futures contracts .......... 2,061,534
------------
TOTAL NET ASSETS ............................................................ $ 33,545,057
============
NET ASSET VALUE ............................................................. $ 10.85
============
</TABLE>
See Notes to Financial Statements
22
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ................................................................. $ 40,966
Dividends ................................................................ 230,470
------------
Total Investment Income ................................................. 271,436
------------
EXPENSES:
Advisory fees ............................................................ 59,748
Administration fees ...................................................... 38,373
Custodian fees ........................................................... 29,267
Fund accounting fees ..................................................... 18,213
Professional fees ........................................................ 14,026
Printing fees ............................................................ 13,060
Trustees fees ............................................................ 8,200
Transfer agent fees ...................................................... 3,619
Registation and filing fees .............................................. 3,214
Amortization of organizational costs ..................................... 2,067
Other .................................................................... 1,564
------------
Total expenses before waiver/reimbursement .............................. 191,351
Less waiver/reimbursement by Advisor .................................... (100,828)
Less waiver by Administrator ............................................ (15,000)
------------
Total expenses net of waiver/reimbursement .............................. 75,523
------------
NET INVESTMENT INCOME ..................................................... 195,913
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized loss on investments ......................................... (1,389,624)
Net realized gain on futures contracts ................................... 70,451
Net change in unrealized appreciation (depreciation) on investments ...... 2,966,487
Net change in unrealized appreciation (depreciation) on futures contracts 10,100
------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS ........................... 1,657,414
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $ 1,853,327
============
</TABLE>
See Notes to Financial Statements
23
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
----------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income ................................................... $ 195,913 $ 271,303
Net realized gain (loss) on investments and futures contracts ........... (1,319,173) 670,599
Net change in unrealized appreciation (depreciation) of investments
and futures contracts ................................................. 2,976,587 (1,298,958)
------------- ------------
Net increase (decrease) in net assets resulting from operations ......... 1,853,327 (357,056)
------------- ------------
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 ........................................ 7,885,611 27,649,770
Issued to shareholders in reinvestment of distributions ................. -- 702,208
Costs of shares repurchased ............................................. (12,937,640) (3,165,975)
------------- ------------
Net increase (decrease) in net assets from share transactions ......... (5,052,029) 25,186,003
------------- ------------
Net increase (decrease) in net assets ................................. (3,198,702) 24,126,739
------------- ------------
NET ASSETS:
Beginning of period ..................................................... 36,743,759 12,617,020
------------- ------------
End of period ........................................................... $ 33,545,057 $ 36,743,759
============= ============
Undistributed net investment income ..................................... $ 340,177 $ 144,264
============= ============
</TABLE>
See Notes to Financial Statements
24
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a share outstanding throughout each period
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
PERIOD ENDED AUGUST 25, 1997(1)
JUNE 30, 1999 YEAR ENDED THROUGH
(UNAUDITED) DECEMBER 31, 1998 DECEMBER 31, 1997
--------------- ------------------- ------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................................. $ 10.06 $ 10.51 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................................... 0.07 0.06 0.03(2)
Net realized and unrealized gain (loss) on investments
and futures contracts ............................................. 0.72 (0.30) 0.48
------- ------- -------
Net increase (decrease) in net asset value from operations .......... 0.79 (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 ....................................... $ 10.85 $ 10.06 $ 10.51
======= ======= ========
TOTAL RETURN(4)....................................................... 7.85 % (2.18)% 5.10 %
RATIOS / SUPPLEMENTAL DATA
Net assets, end of period (in 000s) .................................. $ 33,545 $36,744 $ 12,617
Ratios to average net assets:
Net investment income including reimbursement/waiver ................ 1.17%(3) 1.18% 1.08%(3)
Net investment income (loss) excluding reimbursement/waiver ......... 0.48%(3) 0.05% (1.74%)(3)
Operating expenses including reimbursement/waiver ................... 0.45%(3) 0.45% 0.45%(3)
Operating expenses excluding reimbursement/waiver ................... 1.14%(3) 1.58% 3.27%(3)
Portfolio turnover rate .............................................. 18% 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. If fees for the advisor and administrator were
not waived the total return would have been lower.
See Notes to Financial Statements
25
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
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. The Trust is an open-end management investment company
which is registered under the Investment Company Act of 1940 as amended (the
"Act"). The Trust was organized as a Massachusetts business trust on January
19, 1996.
The accompanying financial statements and financial highlights are those of the
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 under procedures established 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 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 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
substantially all of its net 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 its Series. Expenses directly attributable to a Series are charged to
that Series, while the expenses which are attributable to more than one Series
of the Trust are allocated based upon the relative net assets of each Series.
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 from investment
transactions, if any, are distributed to shareholders annually.
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Income and capital gains distributions are determined in accordance with
federal tax regulations and may differ from those determined in accordance with
generally accepted accounting principles. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
their federal tax basis treatment; temporary differences do not require such
reclassification.
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>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ ------------------
SHARES SHARES
------------------ ------------------
<S> <C> <C>
Shares sold 774,231 2,705,632
Reinvestment of dividends 0 73,376
Shares redeemed (1,336,392) (325,834)
---------- ---------
Net increase (decrease) (562,161) 2,453,174
========== =========
</TABLE>
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 WITH AFFILIATES
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 will not exceed 0.45% of average daily net assets. For the six months
ended June 30, 1999, the gross Advisory fee, waiver and reimbursed expenses
were as follows:
<TABLE>
<CAPTION>
GROSS ADVISORY ADVISORY FEES EXPENSES
FEES WAIVED REIMBURSED
- --------------- --------------- -----------
<S> <C> <C>
$ 59,748 $59,748 $41,080
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST SMALL CAP INDEX FUND
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
First Data Investor Services Group, Inc. ("Investor Services Group") serves as
Administrator and Transfer Agent of the Trust. For services rendered as the
Trust's Administrator, Investor Services Group receives the following fees,
accrued daily, and paid monthly.
<TABLE>
<CAPTION>
ADMINISTRATION FEES
- -------------------------------------------------------------
FEE % OF THE TRUST'S
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 Series
of the Trust, paid monthly.
Investor Services Group waived $15,000 of its fees for the six months ended
June 30, 1999.
The Trust 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.
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 six months ended June 30, 1999, were
$6,122,705 and $11,570,145, respectively.
The aggregate gross unrealized appreciation and depreciation for all securities
as computed on a federal income tax basis, at June 30, 1999 is as follows:
<TABLE>
<CAPTION>
APPRECIATION DEPRECIATION NET COST
- -------------- ---------------- ------------- --------------
<S> <C> <C> <C>
$5,557,559 $(3,513,038) $2,044,521 $31,452,190
</TABLE>
NOTE 4 -- OTHER INFORMATION
On November 30, 1998, BT Corporation, Deutsche Bank, A.G. ("Deutsche Bank") and
Circle Acquisition Corporation entered into an Agreement and Plan of Merger
(the "Merger Agreement"). Pursuant to the terms of the Merger Agreement, Circle
Acquisition Corporation, a wholly-owned New York subsidiary of Deutsche Bank,
merged with and into BT Corporation on June 4, 1999, with BT Corporation
continuing as the surviving entity (the "Merger"). Under the terms of the
Merger, each outstanding share of BT Corporation common stock was converted
into the right to receive $93 in cash, without interest. Since the Merger, BT
Corporation, along with its affiliates, has continued to offer the range of
financial products and services, including investment advisory services, that
it offered prior to the Merger.
As a result of the Merger, BT Corporation became a wholly-owned subsidiary of
Deutsche Bank. Deutsche Bank is a banking company with limited liability
organized under the laws of the Federal Republic of Germany. Deutsche Bank is
the parent company of a group consisting of banks, capital markets companies,
funds management companies, mortgage banks and a property finance company,
installment financing and leasing companies, insurance companies, research and
consultancy companies and other domestic and foreign companies. At March 31,
1999, the Deutsche Bank Group had total assets of US $727 billion. The Deutsche
Bank Group's capital and reserves at March 31, 1999 were US $19.6 billion.
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 (6/99)
