o BT INSURANCE FUNDS TRUST o
EQUITY 500 INDEX FUND
ANNUAL REPORT
------------------
DECEMBER o 1999
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Table of Contents
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS ........................ 3
EQUITY 500 INDEX FUND
Schedule of Investments ..................... 5
Statement of Assets and Liabilities ......... 10
Statement of Operations ..................... 11
Statements of Changes in Net Assets ......... 12
Financial Highlights ........................ 13
Notes to Financial Statements ............... 14
Report of Independent Auditors .............. 16
Proxy Voting Results ........................ 17
</TABLE>
------------------
The Fund is not insured by the FDIC or any other government agency
and is not a deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks, including possible
loss of principal amount invested.
------------------
2
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MARKET ACTIVITY
THE S&P 500 INDEX APPRECIATED IN EXCESS OF 20% FOR A RECORD 5TH CONSECUTIVE
YEAR IN 1999. Never before in recorded history have U.S. stocks achieved this
total return level more than twice in a row. A combination of strong domestic
economic growth and impressive corporate earnings gains -- with minimal
inflation -- positively influenced the market and also combined to drive equity
valuations to historically high levels despite a rising interest rate
environment. The S&P 500 Index was bolstered primarily by a technology
sector-driven rally in the fourth quarter of 1999.
STILL, VOLATILITY WITHIN THE U.S. EQUITY MARKET REMAINED HIGH.
o The S&P 500 Index advanced forward as 1999 began, closing above the 1,300
mark late in the first quarter, although sell-offs in large cap technology
stocks had raised concerns early in the quarter.
o April saw not only shifts into small and mid cap stocks, but also, large cap
growth stocks underperformed their value counterparts for the first time in
nearly 1 1/2 years. Stronger performance in energy-related stocks, positive
earnings surprises, and a rotation into cyclicals led to these stronger
returns in value sectors long out of favor.
o By June, technology stocks had pushed large cap growth stocks back into the
lead.
o Broad market third quarter equity index returns were negative across small,
mid, and large capitalization asset classes, primarily due to weaker
performance in technology and energy stocks.
o Although large cap stock performance soared at the end of the fourth
quarter, the Russell 2000 Index, which measures small cap equities,
outperformed the S&P 500 Index on an annual basis for the first time in five
years, as investors sought the lower valuations of small cap growth stocks.
AS HAS BEEN THE CASE FOR THE PAST SEVERAL YEARS, LARGE-CAPITALIZATION
GROWTH-ORIENTED STOCKS OUTPERFORMED THEIR VALUE COUNTERPARTS FOR THE TWELVE
MONTHS, LED IN 1999 BY THE TECHNOLOGY SECTOR. Other stronger performing sectors
for the year included capital goods and basic materials. Weaker performing
sectors included health care, utilities, and transportation. Top stocks in the
S&P 500 Index in 1999 included Qualcomm Inc., Sprint Corp (PCS), and Nextel
Communications Inc.-A. Weaker performers included Mckesson HBOC, Rite Aid
Corp., and Service Corp. International. Interestingly, more stocks in the S&P
500 Index actually declined in value in 1999 rather than appreciated, rendering
performance in the U.S. stock market very narrow indeed. There were 41 changes
to the Index for the twelve month period, due primarily to mergers and
acquisitions. Comparatively, this represents fewer additions and deletions to
the Index than a year ago.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
AVERAGE
CUMULATIVE ANNUAL
PERIODS ENDED DECEMBER 31, 1999 TOTAL RETURNS TOTAL RETURNS
- --------------------------------- ----------------------- ----------------------
Past Since Past Since
1 year inception 1 year inception
----------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
BT Equity 500 Index Fund*
(inception 10/1/97) 20.39% 57.90% 20.39% 22.53%
- --------------------------------- ----- ----- ----- -----
S&P 500 Index** 21.04% 58.56% 21.04% 22.74%
</TABLE>
MANAGER OUTLOOK
Looking ahead for the near term, we believe the U.S. economy still has
substantial momentum, and the financial fundamentals for both households and
businesses remain strong. We anticipate GDP growth of about 4% through the
first half of the year 2000. While inflation has remained benign primarily
because growth in labor compensation has failed to outstrip productivity growth
despite drum-tight labor markets, inflation risks remain tilted to the upside,
as labor markets continue to tighten and as overseas growth continues to gather
steam. Thus, the Federal Reserve Board could, in our view, continue to nudge
interest rates higher through mid-2000, as it seeks to slow real economic
growth to a more sustainable pace.
Since the economy's ability to grow quickly and generate strong profits without
inflation has been the driving force behind the bull market of recent years,
what our outlook means is that economic fundamentals may be comparatively less
supportive of equities in the next year or so. However, even with a gradual
slowdown in economic growth, a modest pickup in inflation, and pressure on
profit margins from rising labor costs and higher interest rates, we do not see
a sharp correction in equities, because we expect a reasonably "soft landing"
for the economy. We also believe the economy will likely retain many of its
structural improvements, such as faster productivity growth and less volatile
economic cycles. The major risk to the equity markets, in our view, is if the
economy really overheats, provoking aggressive Fed tightening and imperiling
the economic expansion the U.S. has enjoyed for nearly nine years.
Of course, it is important to note that as an index fund, designed to replicate
the broad diversification and returns of the S&P 500 Index, we neither evaluate
short-term fluctuations in the Fund's performance nor manage according to a
given outlook for the equity markets or the economy in general. Still, we will
continue monitoring economic conditions and how they affect the financial
markets, as we seek to closely track the performance of the stock market.
[GRAPHIC OMITTED]
James Creighton
Portfolio Manager of the Equity 500 Index Fund
December 31, 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 S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index.
3
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Letter to Shareholders (continued)
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Sector as of December 31, 1999 (Unaudited)
[PIE CHART APPEARS HERE]
Utility 1.66% Transportation 0.67%
Industrials 3.00% Technology 27.96%
Basic Materials 4.53% Financial 15.62%
Commercial Services 4.56% Health Care 9.00%
Consumer Services 5.12%
Energy 5.29%
Consumer Noncyclicals 7.23%
Telecommunication 7.43%
Consumer Cyclicals 7.93%
- --------------------------------------------------------------------------------
Performance Comparison
- --------------------------------------------------------------------------------
[BAR CHART APPEARS HERE]
Equity 500 Index Fund
10/97 12/97 6/98 12/98 6/99 12/99
--------------------------------------------------------------
$10,000 $10,190 $12,030 $13,116 $14,682 $15,790
S&P 500 Index
10/97 12/97 6/98 12/98 6/99 12/99
--------------------------------------------------------------
$10,000 $10,189 $11,993 $13,102 $14,725 $15,856
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged and investments may not be made in an index.
Comparison of Change in Value of a $10,000 Investment in the Equity 500 Index
Fund and the S&P 500 Index from October 1, 1997, through December 31, 1999.
Average Annual
Total Returns
for the Periods Ended
December 31, 1999
<TABLE>
<S> <C>
One Year Since 10/1/97*
20.39% 22.53%
</TABLE>
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
4
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ------------------------------------------------ ----------------
<S> <C> <C>
COMMON STOCKS -- 96.78%
7,800 3Com Corp. (a) ................................. $ 366,600
36,600 Abbott Laboratories ............................ 1,329,037
1 Abercrombie & Fitch Co. - Class A (a) .......... 27
2,200 Adaptec, Inc. (a) .............................. 109,725
3,800 ADC Telecommunications, Inc. (a) ............... 275,738
2,500 Adobe Systems, Inc. ............................ 168,125
700 Adolph Coors Co. - Class B ..................... 36,750
4,200 Advanced Micro Devices, Inc. (a) ............... 121,537
5,400 AES Corp. (a) .................................. 403,650
3,400 Aetna, Inc. .................................... 189,763
5,600 Aflac, Inc. .................................... 264,250
2,800 Air Products & Chemicals, Inc. ................. 93,975
3,300 Alberto-Culver Co. ............................. 85,181
9,142 Albertsons, Inc. ............................... 294,829
6,400 Alcan Aluminum Ltd. ADR ........................ 263,600
8,900 Alcoa, Inc. .................................... 738,700
1,850 Allegheny Teledyne, Inc. ....................... 41,509
2,800 Allergan, Inc. ................................. 139,300
4,400 Allied Waste Industries, Inc. (a) .............. 38,775
19,800 Allstate Corp. ................................. 475,200
7,600 ALLTEL Corp. ................................... 628,425
2,100 ALZA Corp. (a) ................................. 72,713
1,900 Amerada Hess Corp. ............................. 107,825
2,500 Ameran Corp. ................................... 81,875
50,200 America Online, Inc. (a) ....................... 3,786,962
3,600 American Electric Power Co. .................... 115,650
9,800 American Express Co. ........................... 1,629,250
6,000 American General Corp. ......................... 455,250
1,200 American Greetings Corp. - Class A ............. 28,350
29,700 American Home Products Corp. ................... 1,171,294
34,323 American International Group, Inc. ............. 3,711,174
23,900 Amgen, Inc. (a) ................................ 1,435,494
3,700 AMR Corp. (a) .................................. 247,900
8,600 AmSouth Bancorp ................................ 166,088
2,200 Anadarko Petroleum Co. ......................... 75,075
4,400 Analog Devices, Inc. (a) ....................... 409,200
1,600 Andrew Corp. (a) ............................... 30,300
11,200 Anheuser-Busch Cos., Inc. ...................... 793,800
4,700 Aon Corp. ...................................... 188,000
2,600 Apache Corp. ................................... 96,037
3,700 Apple Computer, Inc. (a) ....................... 380,406
8,300 Applied Materials, Inc. (a) .................... 1,051,506
13,239 Archer-Daniels-Midland Co. ..................... 161,350
1,100 Armstrong World Industries, Inc. ............... 36,713
1,600 Ashland, Inc. .................................. 52,700
18,494 Associates First Cap Corp. ..................... 507,429
71,239 AT&T Corp. ..................................... 3,615,379
8,200 Atlantic Richfield Co. ......................... 709,300
2,200 Autodesk, Inc. ................................. 74,250
13,100 Automatic Data Processing, Inc. ................ 705,762
2,900 AutoZone, Inc. (a) ............................. 93,706
2,400 Avery Dennison Corp. ........................... 174,900
6,800 Avon Products, Inc. ............................ 224,400
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ------------------------------------------------ ----------------
<S> <C> <C>
7,840 Baker Hughes, Inc. ............................. $ 165,130
500 Ball Corp. ..................................... 19,688
28,300 Banc One Corp. ................................. 907,369
38,471 Bank of America Corp. .......................... 1,930,763
17,800 Bank of New York Co., Inc. ..................... 712,000
1,100 Bard (C. R.), Inc. ............................. 58,300
8,900 Barrick Gold Corp. ............................. 157,419
1,200 Bausch & Lomb .................................. 82,125
7,300 Baxter International, Inc. ..................... 458,531
6,300 BB&T Corp. ..................................... 172,462
2,772 Bear Stearns Cos., Inc. ........................ 118,503
5,000 Becton, Dickinson & Co. ........................ 133,750
4,000 Bed Bath & Beyond, Inc. (a) .................... 139,000
35,700 Bell Atlantic Corp. ............................ 2,197,781
42,400 BellSouth Corp. ................................ 1,984,850
1,000 Bemis Co., Inc. ................................ 34,875
4,100 Best Buy Co., Inc. (a) ......................... 205,769
7,300 Bestfoods ...................................... 383,706
2,200 Bethlehem Steel Corp. (a) ...................... 18,425
3,500 Biomet, Inc. ................................... 140,000
2,900 Black & Decker Corp. ........................... 151,525
1,900 Block (H&R), Inc. .............................. 83,125
5,500 BMC Software, Inc. (a) ......................... 439,656
22,100 Boeing Co. ..................................... 918,531
1,100 Boise Cascade Corp. ............................ 44,550
8,200 Boston Scientific Corp. (a) .................... 179,375
2 BP Amoco Plc. .................................. 119
500 Briggs & Stratton Corp. ........................ 26,813
43,700 Bristol-Myers Squibb Co. ....................... 2,804,994
1,400 Brown-Forman Corp. ............................. 80,150
1,800 Brunswick Corp. ................................ 40,050
10,700 Burlington Northern Santa Fe Corp. ............. 259,475
3,700 Burlington Resources, Inc. ..................... 122,331
5,100 Cabletron Systems, Inc. (a) .................... 132,600
8,900 Campbell Soup Co. .............................. 344,319
3,700 Capital One Financial Corp. .................... 178,294
6,700 Cardinal Health, Inc. .......................... 320,762
14,100 Carnival Corp. ................................. 674,156
3,900 Carolina Power & Light Co. ..................... 118,706
8,200 Caterpillar, Inc. .............................. 385,912
16,120 CBS Corp. (a) .................................. 1,030,673
14,663 Cendant Corp. (a) .............................. 389,486
1,600 Centex Corp. ................................... 39,500
4,600 Central & South West Corp. ..................... 92,000
2,650 CenturyTel, Inc. ............................... 125,544
3,200 Ceridian Corp. (a) ............................. 69,000
1,900 Champion International Corp. ................... 117,681
17,700 Chase Manhattan Corp. .......................... 1,375,069
15,300 Chevron Corp. .................................. 1,325,362
4,800 Chubb Corp. .................................... 270,300
5,100 CIGNA Corp. .................................... 410,869
2,500 Cincinnati Financial Corp. ..................... 77,969
4,100 CINergy Corp. .................................. 98,913
</TABLE>
See Notes to Financial Statements
5
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ---------------------------------------------------- ----------------
<S> <C> <C>
4,000 Circuit City Stores, Inc. .......................... $ 180,250
74,600 Cisco Systems, Inc. (a) ............................ 7,991,525
75,178 Citigroup, Inc. .................................... 4,177,078
2,200 Citrix Systems, Inc. (a) ........................... 270,600
7,400 Clear Channel Communications, Inc. (a) ............. 660,450
4,900 Clorox Co. ......................................... 246,837
2,100 CMS Energy Corp. ................................... 65,494
4,400 Coastal Corp. ...................................... 155,925
57,100 Coca-Cola Co. ...................................... 3,326,075
10,200 Coca-Cola Enterprises, Inc. ........................ 205,275
12,300 Colgate-Palmolive Co. .............................. 799,500
1,950 Columbia Energy Group .............................. 123,338
13,500 Columbia/HCA Healthcare Corp. ...................... 395,719
17,400 Comcast Corp. - Class A ............................ 879,787
3,100 Comerica, Inc. ..................................... 144,731
37,183 Compaq Computer Corp. .............................. 1,006,265
11,950 Computer Associates International, Inc. ............ 835,753
3,300 Computer Sciences Corp. (a) ........................ 312,263
8,400 Compuware Corp. (a) ................................ 312,900
1,600 Comverse Technology, Inc. (a) ...................... 231,600
10,000 ConAgra, Inc. ...................................... 225,625
12,762 Conoco, Inc. - Class B ............................. 317,455
7,166 Conseco, Inc. ...................................... 128,092
4,500 Consolidated Edison Co. of
New York, Inc. ..................................... 155,250
3,000 Consolidated Natural Gas Co. ....................... 194,812
2,100 Consolidated Stores Corp. (a) ...................... 34,125
2,700 Constellation Energy Group ......................... 78,300
2,800 Cooper Industries, Inc. ............................ 113,225
1,400 Cooper Tire & Rubber Co. ........................... 21,788
6,000 Corning, Inc. ...................................... 773,625
5,400 Costco Cos., Inc. (a) .............................. 492,750
2,800 Countrywide Credit Industries ...................... 70,700
1,500 Crane Co. .......................................... 29,813
2,300 Crown Cork & Seal Co., Inc. ........................ 51,462
4,400 CSX Corp. .......................................... 138,050
900 Cummins Engine, Inc. ............................... 43,481
10,100 CVS Corp. .......................................... 403,369
3,185 Dana Corp. ......................................... 95,351
2,800 Danaher Corp. ...................................... 135,100
2,700 Darden Restaurants, Inc. ........................... 48,938
10,500 Dayton Hudson Corp. ................................ 771,094
4,900 Deere & Co. ........................................ 212,537
56,900 Dell Computer Corp. (a) ............................ 2,901,900
11,173 Delphi Automotive Systems Corp. .................... 175,975
2,900 Delta Air Lines, Inc. .............................. 144,456
1,400 Deluxe Corp. ....................................... 38,413
2,400 Dillard Department Stores, Inc. - Class A .......... 48,450
47,100 Disney (Walt) Co. .................................. 1,377,675
4,518 Dollar General Corp. ............................... 102,784
4,200 Dominion Resources, Inc. ........................... 164,850
2,400 Donnelley (R.R.) & Sons Co. ........................ 59,550
4,200 Dover Corp. ........................................ 190,575
5,400 Dow Chemical Co. ................................... 721,575
1,800 Dow Jones & Co., Inc. .............................. 122,400
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ---------------------------------------------------- ----------------
<S> <C> <C>
2,600 DTE Energy Co. ..................................... $ 81,575
24,645 Du Pont (E.I.) de Nemours & Co. .................... 1,623,489
9,800 Duke Energy Corp. .................................. 491,225
3,400 Dun & Bradstreet Corp. ............................. 100,300
1,100 Eastern Enterprises ................................ 63,181
1,700 Eastman Chemical Co. ............................... 81,069
7,400 Eastman Kodak Co. .................................. 490,250
1,600 Eaton Corp. ........................................ 116,200
2,700 Ecolab, Inc. ....................................... 105,638
6,700 Edison International ............................... 175,456
4,700 El Paso Energy Corp. ............................... 182,419
10,900 Electronic Data Systems Corp. ...................... 729,619
22,700 EMC Corp. (a) ...................................... 2,479,975
9,500 Emerson Electric Co. ............................... 545,062
2,900 Engelhard Corp. .................................... 54,738
17,300 Enron Corp. ........................................ 767,687
5,900 Entergy Corp. ...................................... 151,925
2,600 Equifax, Inc. ...................................... 61,263
78,246 Exxon Corp. ........................................ 6,303,693
23,500 Fannie Mae ......................................... 1,467,281
6,860 FDX Corp. (a) ...................................... 280,831
4,200 Federated Department Stores, Inc. (a) .............. 212,362
8,100 Fifth Third Bancorp ................................ 594,338
10,800 First Data Corp. ................................... 532,575
19,948 First Union Corp. .................................. 654,544
19,882 Firstar Corp. ...................................... 420,007
4,300 FirstEnergy Corp. .................................. 97,556
21,318 Fleet Financial Group, Inc. ........................ 742,133
200 Fleetwood Enterprises, Inc. ........................ 4,125
2,600 Florida Progress Corp. ............................. 110,012
1,700 Fluor Corp. ........................................ 77,988
800 FMC Corp. (a) ...................................... 45,850
27,600 Ford Motor Co. ..................................... 1,474,875
4,500 Fort James Corp. ................................... 123,187
3,500 Fortune Brands, Inc. ............................... 115,719
4,200 Foster Wheeler Corp. ............................... 37,275
3,400 FPL Group, Inc. .................................... 145,563
5,400 Franklin Resources, Inc. ........................... 173,137
17,100 Freddie Mac ........................................ 804,769
3,300 Freeport-McMoRan Copper & Gold, Inc. -
Class B (a) ........................................ 69,713
7,200 Gannet Co., Inc. ................................... 587,250
19,725 Gap, Inc. .......................................... 907,350
6,800 Gateway 2000 (a) ................................... 490,025
4,100 General Dynamics Corp. ............................. 216,275
73,900 General Electric Co. ............................... 11,436,025
3,500 General Instrument Corp. (a) ....................... 297,500
6,000 General Mills, Inc. ................................ 214,500
15,400 General Motors Corp. ............................... 1,119,387
3,700 Genuine Parts Co. .................................. 91,806
3,500 Georgia-Pacific (Georgia Pacific Group) ............ 177,625
25,600 Gillette Co. ....................................... 1,054,400
17,560 Global Crossing Ltd. (a) ........................... 878,000
3,300 Golden West Financial Group ........................ 110,550
2,300 Goodrich (B.F.) Co. ................................ 63,250
</TABLE>
See Notes to Financial Statements
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ----------------
<S> <C> <C>
3,300 Goodyear Tire & Rubber Co. ........................ $ 93,019
3,500 GPU, Inc. ......................................... 104,781
1,900 Grace (W.R.) & Co. (a) ............................ 26,363
2,100 Grainger (W.W.) Inc. .............................. 100,406
800 Great Atlantic & Pacific Tea Co., Inc. ............ 22,300
1,400 Great Lakes Chemical Corp. ........................ 53,462
21,900 GTE Corp. ......................................... 1,545,319
5,900 Guidant Corp. (a) ................................. 277,300
9,600 Halliburton Co. ................................... 386,400
1,300 Harcourt General, Inc. ............................ 52,325
1,500 Harrah's Entertainment, Inc. (a) .................. 39,656
6,100 Hartford Financial Services Group, Inc. ........... 288,988
3,900 Hasbro, Inc. ...................................... 74,344
9,600 HEALTHSOUTH Corp. (a) ............................. 51,600
8,700 Heinz (H. J.) Co. ................................. 346,369
2,400 Hercules, Inc. .................................... 66,900
2,900 Hershey Foods Corp. ............................... 137,750
23,600 Hewlett-Packard Co. ............................... 2,688,925
8,600 Hilton Hotels Corp. ............................... 82,775
51,900 Home Depot, Inc. .................................. 3,558,394
5,300 Homestake Mining Co. .............................. 41,406
18,775 Honeywell, Inc. ................................... 1,083,083
9,306 Household International, Inc. ..................... 346,648
4,000 Humana, Inc. (a) .................................. 32,750
4,464 Huntington Bancshares, Inc. ....................... 106,578
333 Huttig Building Products, Inc. (a) ................ 1,646
4,000 Ikon Office Solutions, Inc. ....................... 27,250
7,500 Illinois Tool Works, Inc. ......................... 506,719
6,500 IMS Health, Inc. .................................. 176,719
3,800 Inco Ltd. ADR (a) ................................. 89,300
3,400 Ingersoll-Rand Co. ................................ 187,213
75,800 Intel Corp. ....................................... 6,239,287
40,400 International Business Machines Corp. ............. 4,363,200
2,200 International Flavors & Fragrances, Inc. .......... 83,050
9,291 International Paper Co. ........................... 524,361
7,300 Interpublic Group of Cos., Inc. ................... 421,119
1,800 ITT Industries, Inc. .............................. 60,187
2,300 Jefferson-Pilot Corp. ............................. 156,975
31,900 Johnson & Johnson Co. ............................. 2,970,688
1,700 Johnson Controls, Inc. ............................ 96,687
500 Jostens, Inc. ..................................... 12,156
2,800 Kansas City Southern Industries, Inc. ............. 208,950
1,500 Kaufman and Broad Home Corp. ...................... 36,281
8,300 Kellogg Co. ....................................... 255,744
2,036 Kerr-McGee Corp. .................................. 126,232
8,900 KeyCorp ........................................... 196,913
13,000 Kimberly-Clark Corp. .............................. 848,250
2,100 KLA-Tencor Corp. (a) .............................. 233,888
14,600 Kmart Corp. (a) ................................... 146,912
2,600 Knight-Ridder, Inc. ............................... 154,700
3,900 Kohl's Corp. (a) .................................. 281,531
19,000 Kroger Co. (a) .................................... 358,625
4,000 Leggett & Platt, Inc. ............................. 85,750
2,600 Lehman Brothers Holdings, Inc. .................... 220,188
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ----------------
<S> <C> <C>
2,600 Lexmark International Group, Inc. -
Class A (a) ....................................... $ 235,300
23,900 Lilly (Eli) & Co. ................................. 1,589,350
4,488 Limited, Inc. ..................................... 194,386
4,300 Lincoln National Corp. ............................ 172,000
1,200 Liz Claiborne, Inc. ............................... 45,150
8,100 Lockheed Martin Corp. ............................. 177,188
2,400 Loews Corp. ....................................... 145,650
700 Longs Drug Stores Corp. ........................... 18,069
2,600 Louisiana-Pacific Corp. ........................... 37,050
8,000 Lowe's Cos., Inc. ................................. 478,000
3,700 LSI Logic Corp. (a) ............................... 249,750
70,760 Lucent Technologies, Inc. ......................... 5,293,732
1,500 Mallinckrodt, Inc. ................................ 47,719
2,400 Manor Care, Inc. (a) .............................. 38,400
6,200 Marriot International, Inc. - Class A ............. 195,688
6,650 Marsh & McLennan Cos., Inc. ....................... 636,322
8,800 Masco Corp. ....................................... 223,300
9,000 Mattel, Inc. ...................................... 118,125
6,750 May Department Stores Co. ......................... 217,688
1,800 Maytag Corp. ...................................... 86,400
2,400 MBIA, Inc. ........................................ 126,750
19,825 MBNA Corp.......................................... 540,231
900 McDermott International, Inc. ..................... 8,156
30,600 McDonald's Corp. .................................. 1,233,563
4,300 McGraw-Hill Cos., Inc. ............................ 264,987
65,418 MCI Worldcom, Inc. (a) ............................ 3,471,243
5,425 McKesson HBOC, Inc. ............................... 122,402
2,100 Mead Corp. ........................................ 91,219
13,900 MediaOne Group, Inc. (a) .......................... 1,067,694
27,100 Medtronic, Inc. ................................... 987,456
10,300 Mellon Bank Corp. ................................. 350,844
52,000 Merck & Co., Inc. ................................. 3,487,250
1,300 Meredith Corp. .................................... 54,194
7,600 Merrill Lynch & Co., Inc. ......................... 634,600
2,100 MGIC Investment ................................... 126,394
5,700 Micron Technology, Inc. (a) ....................... 443,175
116,500 Microsoft Corp. (a) ............................... 13,601,375
900 Milacron, Inc. .................................... 13,838
800 Millipore Corp. ................................... 30,900
8,800 Minnesota Mining & Manufacturing Co. .............. 861,300
5,900 Mirage Resorts, Inc. (a) .......................... 90,344
3,200 Molex, Inc. ....................................... 181,400
15,200 Monsanto Co. ...................................... 541,500
4,400 Morgan (J.P.) & Co., Inc. ......................... 557,150
13,100 Morgan Stanley, Dean Witter,
Discover & Co. .................................... 1,870,025
13,400 Motorola, Inc. .................................... 1,973,150
6,700 Nabisco Group Holdings Corp. ...................... 71,187
300 NACCO Industries, Inc. - Class A .................. 16,669
12,400 National City Corp. ............................... 293,725
4,600 National Semiconductor Corp. (a) .................. 196,938
1,100 National Service Industries, Inc. ................. 32,450
1,200 Navistar International Corp. (a) .................. 56,850
3,600 Network Appliance, Inc. (a) ....................... 299,025
</TABLE>
See Notes to Financial Statements
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ----------------
<S> <C> <C>
2,000 New Century Energies, Inc. ........................ $ 60,750
3,500 New York Times Co. - Class A ...................... 171,937
5,824 Newell Rubbermaid, Inc. ........................... 168,896
3,400 Newmont Mining Corp. .............................. 83,300
7,900 Nextel Communication, Inc. - Class A (a) .......... 814,688
3,100 Niagara Mohawk Power Corp. (a) .................... 43,206
1,000 Nicor, Inc. ....................................... 32,500
7,200 Nike, Inc. - Class B .............................. 356,850
3,100 Nordstrom, Inc. ................................... 81,181
7,700 Norfolk Southern Corp. ............................ 157,850
30,740 Nortel Networks Corp. ............................. 3,104,740
2,600 Northern States Power Co. ......................... 50,700
6,200 Northern Trust Corp. .............................. 328,600
1,400 Northrop Grumman Corp. ............................ 75,687
8,300 Novell, Inc. (a) .................................. 331,481
2,100 Nucor Corp. ....................................... 115,106
7,500 Occidental Petroleum Corp. ........................ 162,188
7,400 Office Depot, Inc. (a) ............................ 80,937
2,600 Old Kent Financial Corp. .......................... 91,975
4,500 Omnicom Group, Inc. ............................... 450,000
700 ONEOK, Inc. ....................................... 17,588
32,200 Oracle Corp. (a) .................................. 3,608,412
1,600 Owens Corning ..................................... 30,900
3,000 Owens-Illinois, Inc. (a) .......................... 75,188
2,600 PAACAR, Inc. ...................................... 115,212
3,700 Pactiv Corp. (a) .................................. 39,313
3,200 Paine Webber Group, Inc. .......................... 124,200
2,600 Pall Corp. ........................................ 56,062
6,700 Parametric Technology Corp. (a) ................... 181,319
2,200 Parker-Hannifin Corp. ............................. 112,888
6,400 Paychex, Inc. ..................................... 256,000
2,600 PE Corp-PE Biosystems Group ....................... 312,812
3,500 PECO Energy Co. ................................... 121,625
6,700 Penney (J.C.) Co., Inc. ........................... 133,581
800 Peoples Energy Corp. .............................. 26,800
6,900 PeopleSoft, Inc. (a) .............................. 147,056
900 Pep Boys-Manny, Moe & Jack ........................ 8,213
34,700 PepsiCo, Inc. ..................................... 1,223,175
1,000 PerkinElmer, Inc. ................................. 41,687
87,700 Pfizer, Inc. ...................................... 2,844,769
11,000 PG&E Corp. ........................................ 225,500
12,400 Pharmacia & Upjohn, Inc. .......................... 558,000
1,620 Phelps Dodge Corp. ................................ 108,743
54,800 Philip Morris Cos., Inc. .......................... 1,270,675
4,900 Phillips Petroleum Co. ............................ 230,300
1,400 Pinnacle West Capital Corp. ....................... 42,787
6,500 Pitney Bowes, Inc. ................................ 314,031
6,600 Placer Dome, Inc. ADR ............................. 70,950
6,100 PNC Bank Corp. .................................... 271,450
900 Polaroid Corp. .................................... 16,931
600 Potlatch Corp. .................................... 26,775
2,760 PP&L Resources, Inc. .............................. 63,135
3,600 PPG Industries, Inc. .............................. 225,225
3,300 Praxair, Inc. ..................................... 166,031
29,600 Procter & Gamble Co. .............................. 3,243,050
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ----------------
<S> <C> <C>
1,200 Progressive Corp. ................................. $ 87,750
3,550 Providian Financial Corp. ......................... 323,272
4,200 Public Service Enterprise Group, Inc. ............. 146,213
900 Pulte Corp. ....................................... 20,250
2,700 Quaker Oats Co. ................................... 177,187
15,200 QUALCOMM, Inc. (a) ................................ 2,677,100
2,400 Quintiles Transnational Corp. (a) ................. 44,850
6,600 Ralston-Purina Group .............................. 183,975
6,900 Raytheon Co. - Class B ............................ 183,281
1,200 Reebok International, Ltd. (a) .................... 9,825
5,200 Regions Financial Corp. ........................... 130,650
5,600 Reliant Energy, Inc. .............................. 128,100
3,000 Republic New York Corp. ........................... 216,000
1,200 Reynolds Metals Co. ............................... 91,950
7,500 Rite Aid Corp. .................................... 83,906
4,300 Rockwell International Corp. ...................... 205,863
4,542 Rohm & Haas Co. ................................... 184,803
1,400 Rowan Cos., Inc. (a) .............................. 30,362
50,000 Royal Dutch Petroleum Co. ADR ..................... 3,021,875
700 Russell Corp. ..................................... 11,725
3,700 Ryder System, Inc. ................................ 90,419
2,900 SAFECO Corp. ...................................... 72,137
12,300 Safeway, Inc. (a) ................................. 437,419
19,700 Sara Lee Corp. .................................... 434,631
75,562 SBC Communications, Inc. .......................... 3,683,648
34,600 Schering-Plough Corp. ............................. 1,459,687
12,500 Schlumberger, Ltd. ................................ 703,125
18,900 Schwab (Charles) Corp. ............................ 725,288
1,600 Scientific Atlanta, Inc. .......................... 89,000
4,600 Seagate Technology, Inc. (a) ...................... 214,187
8,700 Seagram Co., Ltd. ADR ............................. 390,956
1,853 Sealed Air Corp. (a) .............................. 96,009
8,400 Sears, Roebuck & Co. .............................. 255,675
4,300 Sempra Energy ..................................... 74,713
4,900 Service Corp. International ....................... 33,994
700 Shared Medical Systems Corp. ...................... 35,656
3,700 Sherwin-Williams Co. .............................. 77,700
3,600 Sigma-Aldrich Corp. ............................... 108,225
6,100 Silicon Graphics, Inc. (a) ........................ 59,856
3,000 SLM Holding Corp. ................................. 126,750
1,400 Snap-on, Inc. ..................................... 37,187
6,500 Solectron Corp. (a) ............................... 618,313
14,700 Southern Co. ...................................... 345,450
3,300 SouthTrust Corp. .................................. 124,781
10,350 Southwest Airlines Co. ............................ 167,541
400 Springs Industries, Inc. .......................... 15,975
19,500 Sprint Corp. ...................................... 1,312,594
10,200 Sprint PCS (a) .................................... 1,045,500
1,786 St. Jude Medical, Inc. (a) ........................ 54,808
5,212 St. Paul Cos., Inc. ............................... 175,579
1,900 Stanley Works ..................................... 57,237
11,950 Staples, Inc. (a) ................................. 247,963
3,200 State Street Corp. ................................ 233,800
3,400 Summit Bancorp .................................... 104,125
34,900 Sun Microsystems, Inc. (a) ........................ 2,702,569
</TABLE>
See Notes to Financial Statements
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------- ---------------------------------------------- --------------
<S> <C> <C>
2,400 Sunoco, Inc. ................................. $ 56,400
8,300 SunTrust Banks, Inc. ......................... 571,144
2,900 SUPERVALU, Inc. .............................. 58,000
5,250 Synovus Financial Corp. ...................... 104,344
7,200 Sysco Corp. .................................. 284,850
2,700 T. Rowe Price Associates, Inc. ............... 99,731
4,700 Tandy Corp. .................................. 231,181
900 Tektronix, Inc. .............................. 34,987
528 Teledyne Technologies, Inc. (a) .............. 4,983
9,700 Tellabs, Inc. (a) ............................ 622,619
1,200 Temple-Inland, Inc. .......................... 79,125
6,200 Tenet Healthcare Corp. (a) ................... 145,700
3,400 Teradyne, Inc. (a) ........................... 224,400
11,700 Texaco, Inc. ................................. 635,456
17,700 Texas Instruments, Inc. ...................... 1,714,688
8,100 Texas Utilities Co. .......................... 288,056
4,000 Textron, Inc. ................................ 306,750
3,000 Thermo Electron Corp. (a) .................... 45,000
2,000 Thomas & Betts Corp. ......................... 63,750
29,600 Time Warner, Inc. ............................ 2,144,150
1,300 Times Mirror Co. - Class A ................... 87,100
1,400 Timken Co. ................................... 28,612
6,700 TJX Cos., Inc. ............................... 136,931
3,000 Torchmark Corp. .............................. 87,188
2,600 Tosco Corp. .................................. 70,687
4,900 Toys 'R' Us, Inc. (a) ........................ 70,131
4,720 Transocean Sedco Forex, Inc. ................. 159,005
5,000 Tribune Co. .................................. 275,313
3,200 Tricon Global Restaurants, Inc. (a) .......... 123,600
2,500 TRW, Inc. .................................... 129,844
1,300 Tupperware Corp. ............................. 22,019
37,654 Tyco International, Ltd. ..................... 1,463,799
1,400 U.S. Airways Group, Inc. (a) ................. 44,887
19,500 U.S. Bancorp ................................. 464,344
7,100 Unicom Corp. ................................. 237,850
12,800 Unilever N.V. ADR ............................ 696,800
2,800 Union Carbide Corp. .......................... 186,900
5,600 Union Pacific Corp. .......................... 244,300
4,300 Union Pacific Resources Group, Inc. .......... 54,825
2,800 Union Planters Corp. ......................... 110,425
7,500 Unisys Corp. (a) ............................. 239,531
4,200 United Healthcare Corp. ...................... 223,125
11,600 United Technologies Corp. .................... 754,000
4,900 Unocal Corp. ................................. 164,456
5,149 UnumProvident Corp. .......................... 165,090
12,238 US West, Inc. ................................ 881,136
3,700 UST, Inc. .................................... 93,194
6,300 USX-Marathon Group ........................... 155,531
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------- ---------------------------------------------- --------------
<S> <C> <C>
1,700 USX-U.S. Steel Group, Inc. ................... $ 56,100
2,300 V.F. Corp. ................................... 69,000
16,000 Viacom, Inc. - Class B (a) ................... 967,000
2,200 Vulcan Materials Co. ......................... 87,863
4,000 Wachovia Corp. ............................... 272,000
23,500 Walgreen Co. ................................. 687,375
100,000 Wal-Mart Stores, Inc. ........................ 6,912,500
19,500 Warner Lambert Co. ........................... 1,597,781
13,122 Washington Mutual, Inc. ...................... 341,172
14,997 Waste Management, Inc. ....................... 257,761
185 Water Pik Technologies, Inc. (a) ............. 1,769
1,900 Watson Pharmaceuticals, Inc. (a) ............. 68,044
1,400 Wellpoint Health Networks, Inc.(a) ........... 92,312
38,600 Wells Fargo & Co. ............................ 1,560,888
2,500 Wendy's International, Inc. .................. 51,562
2,000 Westvaco Corp. ............................... 65,250
6,300 Weyerhauser Co. .............................. 452,419
1,500 Whirlpool Corp. .............................. 97,594
2,300 Willamette Industries, Inc. .................. 106,806
8,900 Williams Cos., Inc. .......................... 272,006
3,000 Winn-Dixie Stores, Inc. (a) .................. 71,813
1,700 Worthington Industries, Inc. ................. 28,156
2,400 Wrigley, (WM.) Jr., Co. ...................... 199,050
16,700 Xerox Corp. .................................. 378,881
7,600 Xilinx, Inc. (a) ............................. 345,562
5,900 Yahoo!, Inc. (a) ............................. 2,552,856
------------
TOTAL COMMON STOCKS (Cost $243,891,311) 279,239,905
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
- ------------------------------------------------
<S> <C> <C> <C>
SHORT-TERM INSTRUMENTS -- 4.47%
U.S. TREASURY BILLS (C) -- 4.47%
$ 362,000 4.82%, 1/6/2000 ........................... 361,764
5,023,000 5.37%, 1/13/2000 .......................... 5,014,197
778,000 5.30%, 1/20/2000 .......................... 775,882
3,008,000 4.92%, 2/24/2000 .......................... 2,986,292
3,216,000 4.81%, 3/23/2000 .......................... 3,179,755
600,000 3.96%, 4/6/2000 (b) ....................... 591,882
---------
TOTAL SHORT-TERM INSTRUMENTS (Cost $12,907,977) 12,909,772
----------
TOTAL INVESTMENTS (Cost $256,799,288) -- 101.25% 292,149,677
LIABILITIES IN EXCESS OF OTHER ASSETS -- ( 1.25)% (3,618,283)
------ -----------
NET ASSETS .................................................................... 100.00% $288,531,394
====== ============
</TABLE>
- ----------
(a) Non-income producing security.
(b) Held for collateral for futures contracts.
(c) Rates shown represent effective yield at time of purchase
ADR American Depositary Receipt.
At December 31, 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>
24 S&P 500 3/16/00 $8,753,469 $8,905,200 $151,731
========== ========== ========
</TABLE>
See Notes to Financial Statements
9
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Assets and Liabilities DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments at value (cost $256,799,288).................................... $292,149,677
Cash ....................................................................... 209,983
Receivable for investment securities sold .................................. 163,892
Receivable from Investment Advisor ......................................... 1,136
Interest and dividends receivable .......................................... 246,427
Variation margin receivable for futures contracts .......................... 21,176
Deferred organizational costs and other assets ............................. 11,423
------------
Total Assets ............................................................. 292,803,714
------------
LIABILITIES:
Payable for investment securities purchased ................................ 4,215,544
Administration fee payable ................................................. 4,693
Custody fee payable ........................................................ 20,389
Other accrued expenses ..................................................... 31,694
------------
Total Liabilities ........................................................ 4,272,320
------------
TOTAL NET ASSETS ............................................................ $288,531,394
============
COMPOSITION OF NET ASSETS:
Paid-in-capital (19,013,403 outstanding shares of beneficial interest) ..... $253,149,630
Undistributed net investment income ........................................ 6,086
Accumulated net realized loss on investments and futures contracts ......... (126,442)
Net unrealized appreciation of investments and futures contracts ........... 35,502,120
------------
TOTAL NET ASSETS ............................................................ $288,531,394
============
NET ASSET VALUE PER SHARE ................................................... $ 15.18
============
</TABLE>
See Notes to Financial Statements
10
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Operations FOR THE YEAR ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ................................................................. $ 329,853
Dividends ................................................................ 1,711,564
-----------
Total Investment Income ................................................. 2,041,417
-----------
EXPENSES:
Advisory fees ............................................................ 279,775
Administration and accounting fees ....................................... 110,724
Custodian fees ........................................................... 73,500
Professional fees ........................................................ 49,590
Trustees fees ............................................................ 36,648
Printing fees ............................................................ 24,902
Transfer agent fees ...................................................... 18,593
Amortization of organizational costs ..................................... 4,150
Other .................................................................... 1,953
-----------
Total expenses before waiver/reimbursement .............................. 599,835
Less waiver/reimbursement by Advisor .................................... (154,772)
Less waiver by Administrator ............................................ (27,500)
-----------
Total expenses net of waiver/reimbursement .............................. 417,563
-----------
NET INVESTMENT INCOME ...................................................... 1,623,854
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain on investments ......................................... 224,201
Net realized gain on futures contracts ................................... 425,694
Net change in unrealized appreciation (depreciation) of investments ...... 29,590,576
Net change in unrealized appreciation (depreciation) of futures contracts 141,255
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS ...... 30,381,726
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ....................... $32,005,580
===========
</TABLE>
See Notes to Financial Statements
11
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
------------------- ------------------
<S> <C> <C>
INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income ......................................................... $ 1,623,854 $ 325,678
Net realized gain on investments and futures contracts ........................ 649,895 1,143,389
Net change in unrealized appreciation (depreciation) of investments and futures
contracts ................................................................... 29,731,831 5,567,806
------------- -------------
Net increase in net assets resulting from operations .......................... 32,005,580 7,036,873
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................................... (1,815,478) (167,871)
Net realized gain on investments .............................................. (853,735) (1,074,374)
------------- -------------
Total distributions ........................................................... (2,669,213) (1,242,245)
------------- -------------
SHARE TRANSACTIONS:
Net proceeds from sale of shares .............................................. 244,653,804 44,489,580
Issued to shareholders in reinvestment of distributrions ...................... 2,669,213 1,242,246
Costs of shares repurchased ................................................... (37,819,340) (13,595,227)
------------- -------------
Net increase in net assets from share transactions .......................... 209,503,677 32,136,599
------------- -------------
Net increase in net assets .................................................. 238,840,044 37,931,227
------------- -------------
NET ASSETS:
Beginning of year ............................................................. 49,691,350 11,760,123
------------- -------------
End of year ................................................................... $ 288,531,394 $ 49,691,350
============= =============
Undistributed net investment income ............................................ $ 6,086 $ 197,747
============= =============
</TABLE>
See Notes to Financial Statements
12
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding throughout each period
<TABLE>
<CAPTION>
FOR THE PERIOOD
OCTOBER 1, 1997(1)
YEAR ENDED YEAR ENDED THROUGH
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1997
------------------- ------------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period ........................... $ 12.73 $ 10.19 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................................ 0.05 0.07 0.03(2)
Net realized and unrealized gain on investments and futures
contracts ................................................... 2.55 2.84 0.16
------- ------- -------
Net increase in net asset value from operations .............. 2.60 2.91 0.19
------- ------- -------
LESS DISTRIBUTIONS:
Distributions from net investment income ..................... ( 0.10) ( 0.05) 0.00
Distributions from net realized gain on investments .......... ( 0.05) ( 0.32) 0.00
-------- ------- -------
Total distributions ......................................... ( 0.15) ( 0.37) 0.00
-------- ------- -------
NET ASSET VALUE, END OF PERIOD ................................. $ 15.18 $ 12.73 $ 10.19
======== ======= =======
TOTAL RETURN (4) ............................................... 20.39% 28.71% 1.90%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) ............................ $288,531 $49,691 $ 11,760
Ratios to average net assets:
Net investment income including reimbursement/waiver ......... 1.16% 1.37% 1.51%(3)
Net investment income excluding reimbursement/waiver ......... 1.03% 0.48% (0.99%)(3)
Operating expenses including reimbursement/waiver ............ 0.30% 0.30% 0.30%(3)
Operating expenses excluding reimbursement/waiver ............ 0.43% 1.19% 2.78%(3)
Portfolio turnover rate ........................................ 2% 36% 7%
</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
13
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Notes to Financial Statements DECEMBER 31, 1999
- --------------------------------------------------------------------------------
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(R) 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
Equity 500 Index Fund, (the "Fund") which commenced operations on October 1,
1997.
B. SECURITY VALUATION
The portfolio's investments, which are traded on a recognized stock exchange or
for which price quotations are available, are valued each business day on the
basis of market valuations furnished by an independent pricing service approved
by the Board of Trustees. Securities traded on national stock exchanges or
other domestic exchanges are valued based on the closing price of the security
traded on that exchange prior to the time when the Fund's assets are valued.
Short-term obligations with remaining maturities of 60 days or less are valued
at amortized cost. Other short-term debt securities are valued on a
mark-to-market basis until such time as they reach a remaining maturity of 60
days, whereupon they will be valued at amortized cost using their value on the
61st day. All other securities and other assets are valued at their fair value
as determined in good faith 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 Sup-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 the Funds. Expenses directly attributable to a Fund are charged to that
Fund, while the expenses which are attributable to more than one Fund of the
Trust are allocated based upon the relative net assets of each Fund.
G. ORGANIZATION COSTS
Costs incurred in connection with the Fund's organization are being amortized
on a straight-line basis over five years commencing on October 1, 1997. In the
event that any of the initial shares are redeemed during such amortization
period, the redemption proceeds will be reduced for any unamortized
organization costs in the same proportion as the number of shares redeemed
bears to the number of initial shares outstanding at the time of the
redemption.
H. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
Dividends from net investment income and net realized gains 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>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
------------------- ------------------
SHARES SHARES
------------------- ------------------
<S> <C> <C>
Shares sold 17,638,824 3,833,114
Reinvestment of dividends 177,239 101,743
Shares redeemed (2,706,277) (1,185,423)
---------- ----------
Net increase 15,109,786 2,749,434
========== ==========
</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 0.20% of the
average daily net assets of the Fund. These fees are accrued daily and paid
monthly. The Advisor has voluntarily undertaken to waive its fee and to
reimburse the Fund for certain expenses so that the Fund's total operating
expenses will not exceed 0.30% of average daily net assets.
14
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Notes to Financial Statements -- continued DECEMBER 31, 1999
- --------------------------------------------------------------------------------
Effective December 1, 1999, First Data Investor Services Group, Inc. ("Investor
Services Group"), the Funds' Administrator and Transfer Agent, became a
majority-owned subsidiary of PNC Bank Corp. As a result of this transaction,
Investor Services Group is now known as PFPC Inc. For services rendered as the
Trust's Administrator, PFPC Inc. 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>
PFPC Inc. also receives a $70,000 flat fee per year, per Fund, paid monthly.
PFPC Inc. waived $27,500 of its fees for the year ended December 31, 1999.
Bankers Trust Company also serves as custodian for the Fund and receives a fee
for this service.
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.
At December 31, 1999, the Fund was a participant with other affiliated entities
in a revolving credit facility in the amount of $150,000,000, which expires
April 29, 2000. A commitment fee of .10% per annum on the average daily amount
of the available commitment is payable on a quarterly basis and apportioned
equally among all participants. No amounts were drawn down or outstanding for
this fund under the credit facility for the year ended December 31, 1999.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from the sale of investments,
other than short-term obligations, for the year ended December 31, 1999, were
$204,301,802 and $2,246,825 respectively.
The gross unrealized appreciation, gross unrealized depreciation and net
unrealized appreciation on the Fund's investments, as computed on a federal
income tax basis, at December 31, 1999 were $48,348,036, $13,214,959 and
$35,133,077, respectively. The aggregate cost of investments as computed on a
federal income tax basis at December 31, 1999 was $257,016,600.
NOTE 4 -- OTHER INFORMATION
Bankers Trust is a wholly owned subsidiary of Bankers Trust Corporation ("BT
Corp."). On June 4, 1999, BT Corp. was acquired by Deutsche Bank AG ("Deutsche
Bank"). As a result of the transaction, Bankers Trust became an indirect wholly
owned subsidiary of Deutsche Bank.
15
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Report of Independent Auditors
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
BT Insurance Funds Trust -- Equity 500 Index Fund
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of the Equity 500 Index Fund (the "Fund") as of
December 31, 1999, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the two years in
the period then ended and for the period October 1, 1997 (commencement of
operations) to December 31, 1997. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence
with the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Equity 500 Index Fund at December 31, 1999, the results of its operations for
the year then ended, the changes in its net assets for each of the two years in
the period then ended, and its financial highlights for each of the two years
in the period then ended and for the period October 1, 1997 (commencement of
operations) to December 31, 1997, in conformity with accounting principles
generally accepted in the United States.
/s/ ERNST & YOUNG LLP
Philadelphia, Pennsylvania
February 4, 2000
16
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Proxy Voting Results (unaudited)
- --------------------------------------------------------------------------------
Pursuant to notice duly given, a Special Meeting of Shareholders of BT
Insurance Funds Trust (the "Trust") was held Thursday, September 30, 1999, at
2:00 p.m. at the offices of BT Alex.Brown Incorporated, One South Street, 30th
Floor, Baltimore, Maryland 21202.
It was reported that there were present in person or represented by proxy the
holders of 10,534,373.981 shares of the Equity 500 Index Fund, out of a total
of 10,553,770.078 shares outstanding on the record date and entitled to vote.
The results of the voting on the proposals were as follows:
PROPOSAL IA: Approval of the new investment management agreement between the
Trust and Bankers Trust Company
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.159%
AGAINST 0.764%
ABSTAIN 2.893%
</TABLE>
PROPOSAL IB: Approval of the new investment management agreement between the
Trust and Morgan Grenfell, Inc.
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.047%
AGAINST 0.763%
ABSTAIN 3.006%
</TABLE>
PROPOSAL IC: Approval of the new investment sub-management agreement among the
Trust, Morgan Grenfell, Inc. and Bankers Trust Company
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.226%
AGAINST 0.792%
ABSTAIN 2.798%
</TABLE>
PROPOSAL II: Election of Six Trustees
ROBERT R. COBY
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.847%
AGAINST 0.968%
ABSTAIN 2.000%
</TABLE>
DESMOND G. FITZGERALD
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.889%
AGAINST 0.926%
ABSTAIN 2.000%
</TABLE>
JAMES S. PASMAN, JR.
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.378%
AGAINST 1.437%
ABSTAIN 2.000%
</TABLE>
EDWARD C. SCHMULTS
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.414%
AGAINST 1.402%
ABSTAIN 2.000%
</TABLE>
WILLIAM E. SMALL
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.969%
AGAINST 0.847%
ABSTAIN 2.000%
</TABLE>
WERNER WALBROEL
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.917%
AGAINST 0.898%
ABSTAIN 2.000%
</TABLE>
PROPOSAL III: Ratification of Ernst & Young LLP as Auditors of each Fund
<TABLE>
<CAPTION>
EQUITY 500 INDEX FUND % OF SHARES OUTSTANDING
- ----------------------- ------------------------
<S> <C>
FOR 96.400%
AGAINST 0.908%
ABSTAIN 2.509%
</TABLE>
17
<PAGE>
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<PAGE>
(This Page Intentionally Left Blank)
<PAGE>
BT INSURANCE FUNDS TRUST
EQUITY 500 INDEX FUND
INVESTMENT ADVISOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
ADMINISTRATOR AND TRANSFER AGENT
PFPC INC.
3200 Horizon Drive
King of Prussia, PA 19406
DISTRIBUTOR
PROVIDENT DISTRIBUTORS, INC.
Four Falls Corporate Center
West Conshohocken, PA 19428
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.
-------------------
Equity 500 Index Fund Cusip #05576E607
INSEQ500ANN (12/99)
