Table of Contents
USAA Family of Funds 1
Message from the President 2
Investment Review 4
Financial Information:
USAA S&P 500 Index Fund
Statement of Assets and Liabilities 6
Statement of Operations 7
Statement of Changes in Net Assets 8
Financial Highlights 9
Notes to Financial Statements 10
Equity 500 Index Portfolio
Schedule of Portfolio Investments 13
Statement of Assets and Liabilities 21
Statement of Operations 22
Statements of Changes in Net Assets 23
Financial Highlights 24
Notes to Financial Statements 25
Important Information:
Through our ongoing efforts to reduce expenses and respond to shareholder
requests, your annual and semiannual report mailings are now "streamlined."
One copy of each report will be sent to each address, instead of our
previous practice of sending one report to every registered owner. For many
shareholders and their families, this eliminates duplicate copies, saving
paper and postage costs to the Funds.
If you are the primary shareholder on at least one account, prefer not to
participate in streamlining, and would like to continue receiving one report
per registered account owner, you may request this in writing to:
USAA Investment Management Company
Attn: Report Mail
9800 Fredericksburg Road
San Antonio, TX 78284-8916
or phone a Mutual Fund Representative at 1-800-531-8448 during business hours.
This report is for the information of the shareholders and others who have
received a copy of the currently effective prospectus of the USAA S&P 500
Index Fund, managed by USAA Investment Management Company (IMCO). It may be
used as sales literature only when preceded or accompanied by a current
prospectus which gives further details about the funds.
USAA with the eagle is registered in the U.S. Patent & Trademark Office.
(copyright)1996, USAA.
All rights reserved.
USAA Family of Funds Performance Summary
If you own only one or two USAA funds, you may not be aware of the performance
of our other funds. This summary is a snapshot of the performance of all 33
funds by investment objective as of June 30, 1996.
Average Annual Total Return*
Investment Inception Since
Objective Date 1 yr 5 yrs 10 yrs Inception
Capital Appreciation
Aggressive Growth 10/19/81 54.74 19.89 11.69 -
Emerging Markets(1) 11/7/94 13.17 - - 7.33
Gold(1) 8/15/84 7.30 7.62 6.05 -
Growth 4/5/71 22.12 15.53 11.13 -
Growth & Income 6/1/93 23.95 - - 14.68
International(1) 7/11/88 19.63 14.36 - 10.57
S&P 500 Index(4) 5/1/96 - - - 4.58
World Growth(1) 10/1/92 20.11 - - 13.87
Asset Allocation
Balanced Strategy 9/1/95 - - - 6.48
Cornerstone Strategy(1) 8/15/84 17.19 12.44 11.56 -
Growth and Tax Strategy(2)** 1/11/89 15.43 10.31 - 9.77
Growth Strategy(1) 9/1/95 - - - 23.85
Income Strategy 9/1/95 - - - 4.68
Income - Taxable
GNMA 2/1/91 4.23 7.63 - 7.36
Income 3/4/74 6.13 8.92 9.42 -
Income Stock 5/4/87 19.22 13.77 - 12.26
Short-Term Bond 6/1/93 5.51 - - 5.05
Income - Tax Exempt
Long-Term(2)** 3/19/82 6.74 7.36 7.74 -
Intermediate-Term(2)** 3/19/82 6.19 7.25 7.29 -
Short-Term(2)** 3/19/82 5.19 5.18 5.55 -
California Bond(2)** 8/1/89 8.36 7.59 - 7.39
Florida Tax-Free Income(2)** 10/1/93 6.48 - - 2.37
New York Bond(2)** 10/15/90 6.19 7.40 - 8.22
Texas Tax-Free Income(2)** 8/1/94 8.20 - - 8.65
Virginia Bond(2)** 10/15/90 6.55 7.65 - 8.00
Money Market
Money Market(3) 2/2/81 5.43 4.41 5.88 -
Tax Exempt Money Market(2),(3)** 2/6/84 3.53 3.16 4.26 -
Treasury Money Market Trust(3) 2/1/91 5.27 4.17 - 4.24
California Money Market(2),(3)** 8/1/89 3.45 3.04 - 3.67
Florida Tax-Free Money Market(2),(3)** 10/1/93 3.39 - - 2.96
New York Money Market(2),(3)** 10/15/90 3.44 2.87 - 3.06
Texas Tax-Free Money Market(2),(3)** 8/1/94 3.35 - - 3.34
Virginia Money Market(2),(3)** 10/15/90 3.29 2.98 - 3.20
Non-deposit investment products offered by USAA Investment Management Company
are not insured by the FDIC, are not deposits or other obligations of, or
guaranteed by, USAA Federal Savings Bank, and are subject to investment risks,
including possible loss of the principal amount invested.
For more complete information about the mutual funds managed and distributed
by USAA IMCO, including charges and expenses, please call 1-800-531-8181 for a
prospectus. Read it carefully before you invest.
1 Foreign investing is subject to additional risks, which are discussed in the
funds' prospectuses.
2 Some income may be subject to state or local taxes or the federal
alternative minimum tax.
3 An investment in a money market fund is neither insured nor guaranteed by
the U.S. government and there is no assurance that any of the funds will be
able to maintain a stable net asset value of $1 per share.
4 S&P 500 (registered trademark) is a trademark of The McGraw-Hill Companies,
Inc., and has been licensed for use. The product is not sponsored, sold or
promoted by Standard & Poor's, and Standard & Poor's makes no representation
regarding the advisability of investing in the product.
* Total return equals income yield plus share price change and assumes
reinvestment of all dividends and capital gain distributions. No adjustment
has been made for taxes payable by shareholders on their reinvested dividends
and capital gain distributions. The performance data quoted represent past
performance and are not an indication of future results. Investment return and
principal value of an investment will fluctuate, and an investor's shares,
when redeemed, may be worth more or less than their original cost.
** IRAs are not available for tax-exempt funds. The Growth and Tax Strategy
Fund is not available as an investment for your IRA because the majority of
its income is tax exempt. California, Florida, New York, Texas, and Virginia
funds available to residents only.
Message from the President
[A photo of Michael J.C. Roth, President appears here]
Dear Investor:
When we introduced the USAA S&P 500 Index Fund* on May 1, 1996, we did so in
response to shareholders who had been asking for an index fund. I must say
that I am truly pleased with your response to our newest fund. As of June 30,
1996, the total assets in the Fund exceeded 62 million dollars. Index investing
is enjoying increasing popularity, and this Fund is our first foray into the
Index arena.
This Fund is a long-term investment vehicle with an expense ratio of 0.18%.
This is one of the lowest expense ratios of an S&P 500 Index Fund in the
industry, according to Lipper Analytical Services, an independent organization
that monitors the performance of mutual funds.
The semiannual reporting period for this Fund ended on June 30, 1996, so this
report contains only two months' worth of financial information. The fiscal
year end is December 31, 1996, and you will receive the annual report with that
financial information sometime in late February.
It is a pleasure to furnish this report to you. We value your business and
look forward to reporting to you and serving your investment needs in the
years ahead.
Sincerely,
Michael J.C. Roth, CFA
President
* S&P 500 (registered trademark) is a trademark of The McGraw-Hill Companies,
Inc., and has been licensed for use. The product is not sponsored, sold or
promoted by Standard & Poor's, and Standard & Poor's makes no representation
regarding the advisability of investing in the product.
Investment Review
USAA S&P 500 Index Fund*
Objective: Seeks to provide investment results that, before expenses,
correspond to the total return of common stocks represented by the
S&P 500 Index.
Investment Instruments: Primarily equity securities, consisting of common
stock of current S&P 500 companies.
6/30/96
Net Assets $62.2 Million
Net Asset Value Per Share $10.44
Average Annual Total Return as of 6/30/96
May 1, 1996 to June 30, 1996 4.58%**
**Total returns for periods of less than one year are not annualized.
This two-month return is cumulative, and it includes the account
maintenance fee.
Market Activity
Stocks have continued their strong upward momentum during the first half of
1996, though certainly not to the record-setting degree of 1995. At the same
time, high volatility dominated equities' progress as mixed economic signals
continued to bombard the financial markets, and investors' views changed
rapidly in response.
For example, three times during the last six months, payroll employment
figures were released that were higher than anticipated. While these figures
indicated a growing economy, they also renewed fears of inflation. Twice the
stock market reacted to the strong employment numbers by falling; once it went
up.
As another example, the Federal Reserve Board cut interest rates in January by
1/4 of 1%, again as we had anticipated. However, at that point, general market
expectations were that the Federal Reserve Board would have to cut interest
rates even further to prevent a recession. Instead, as evidence unfolded of an
economy no longer slowing, rates began to go up across the yield curve,
without a change in monetary policy. The question of whether the Federal
Reserve Board would follow that by officially raising rates hung in the air.
All of this uncertainty regarding the underlying strength of the economy
and possible action by the Federal Reserve Board contributed to stock market
volatility.
* S&P 500 (registered trademark) is a trademark of the McGraw-Hill Companies,
Inc., and has been licensed for use. The product is not sponsored, sold or
promoted by Standard & Poor's, and Standard & Poor's makes no representation
regarding the advisability of investing in the product.
In this environment, small capitalization stocks staged something of a
comeback from 1995, slightly outperforming large cap stocks for the first
six months of 1996. In addition to the normal cyclical nature of the market,
small cap stock performance was driven by the technology, energy, and health
care sectors and by a record number of Initial Public Offerings.
Overall, growth stocks did better than value stocks in both large
capitalization and small capitalization equities. Leading groups included
shoes, hotels/motels, data processing software and soft drinks. Trucking,
defense electronics, steel, and machine tools were the losers over the past
six months.
Looking Ahead
Expanding employment, strong industrial production, and weaker consumer
confidence suggest slower to modest growth in the economy - likely sustaining
a rate of 2.0%-2.5% - for the remainder of the year. Inflationary pressures
are expected to be moderate to low, as no increase in the Federal Funds rate
at the Federal Reserve Board's meeting in June suggests that the anticipated
increase may very well come in August. With the possibility of a tightened
monetary policy still just that - a possibility, we believe volatility in the
equity markets will continue.
We also believe that corporate earnings are strong enough that even if the
Federal Reserve Board does increase rates, stock market performance will
remain good and the generally positive economic background should help support
continued improvement in equity prices.
Of course, as an index fund, designed to replicate the broad diversification
and returns of the S&P 500 Index(1), 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.
Ten Largest Stock Holdings
(% of Net Assets)
General Electric Co. 2.8
Coca-Cola Co. 2.3
Exxon Corp. 2.1
AT&T Corp. 1.9
Philip Morris Inc. 1.7
Royal Dutch Petroleum 1.6
Merck & Co. 1.5
Microsoft Corp. 1.4
Johnson & Johnson 1.3
Procter & Gamble Co. 1.2
(1) The S&P 500 is an unmanaged index representing the average performance of a
group of 500 widely held, publicly traded stocks. It is not possible to
invest directly in the S&P 500 Index.
USAA S&P 500 Index Fund
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets
Investment in Equity 500 Index Portfolio, at Value $ 61,401,708
Receivable for Capital Shares Sold 767,589
-----------------
Total Assets 62,169,297
-----------------
Liabilities
Payable for Capital Shares Redeemed 500
Accounts Payable and Accrued Expenses 5,475
-----------------
Total Liabilities 5,975
-----------------
Net Assets Applicable to Capital Shares Outstanding $ 62,163,322
=================
Represented By:
Paid-in Capital $ 60,783,199
Accumulated Undistributed Net Investment Income 40,971
Accumulated Net Realized Gains from Securities
and Futures Transactions 23,141
Net Unrealized Appreciation of Securities
and Futures Contracts 1,316,011
-----------------
Net Assets Applicable to Capital Shares Outstanding $ 62,163,322
=================
Capital Shares Outstanding 5,954,478
=================
Net Asset Value, Redemption Price,
and Offering Price Per Share $ 10.44
=================
See Notes to Financial Statements on Page 10
USAA S&P 500 Index Fund
Statement of Operations
For the two months ended June 30, 1996*
(Unaudited)
Investment Income
Income Allocated from Equity 500 Index Portfolio, net $ 161,224
--------------
Expenses
Administrative Fees 1,373
Postage 850
Shareholder Reporting Fees 717
Directors' Fees 675
Registration Fees 30,973
Audit Fees 2,000
Legal Fees 1,125
Other 1,417
--------------
Total Expenses 39,130
Expenses Reimbursed (33,655)
--------------
Net Expenses after Reimbursement 5,475
--------------
Net Investment Income 155,749
--------------
Realized and Unrealized Gains
on Securities and Futures
Net Realized Gains from Securities Transactions 4,173
Net Realized Gains from Futures Transactions 18,968
Net Unrealized Appreciation of Securities and
Futures Contracts 1,316,011
---------------
Net Gains on Securities and Futures 1,339,152
---------------
Net Increase in Net Assets from Operations $ 1,494,901
===============
*Fund commenced operations May 1, 1996.
See Notes to Financial Statements on Page 10
USAA S&P 500 Index Fund
Statement of Changes in Net Assets
For the two months ended June 30, 1996*
(Unaudited)
From Operations
Net Investment Income $ 155,749
Net Realized Gains from Securities
and Futures Transactions 23,141
Change in Net Unrealized Appreciation
of Securities and Futures Contracts 1,316,011
-------------
Increase in Net Assets Resulting from Operations 1,494,901
-------------
Distributions to Shareholders
Net Investment Income (114,778)
From Capital Share Transactions
Proceeds from Shares Sold 61,393,364
Shares Issued for Dividends Reinvested 105,244
Cost of Shares Redeemed (715,409)
--------------
Increase in Net Assets from Capital Share Transactions 60,783,199
--------------
Net Increase in Net Assets 62,163,322
Net Assets
Beginning of Period -
--------------
End of Period $ 62,163,322
==============
Undistributed Net Investment Income
Included in Net Assets
Beginning of Period $ -
==============
End of Period $ 40,971
==============
Change in Shares Outstanding
Shares Sold 6,012,957
Shares Issued for Dividends Reinvested 10,178
Shares Redeemed (68,657)
--------------
Increase in Shares Outstanding 5,954,478
==============
Authorized Shares of $.01 par value 50,000,000
==============
* Fund commenced operations May 1, 1996.
See Notes to Financial Statements on Page 10
USAA S&P 500 Index Fund
Financial Highlights
June 30, 1996
(Unaudited)
Contained below are selected ratios and supplemental data for the period
indicated for the USAA S&P 500 Index Fund.
Two Month
Period Ended
June 30, 1996*
Per Share Operating Performance
Net Asset Value at Beginning of Period $ 10.00
--------------
Income from Investment Operations:
Net Investment Income 0.03
Net Realized and Unrealized Gain on
Securities and Futures 0.43
--------------
Total from Investment Operations 0.46
Distributions from Net Investment Income (0.02)
--------------
Net Asset Value at End of Period $ 10.44
==============
Total Return** 4.60%
Supplemental Data and Ratios
Net Assets at End of Period (000) $ 62,163
Ratio to Average Net Assets:
Net Investment Income 2.23%(a)
Expenses, including Expenses of the Equity 500 Index Portfolio 0.18%(a)
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust and the Manager 0.53%(a)
(a) Annualized. The ratio is not necessarily indicative of 12 months of
operations.
* Fund commenced operations May 1, 1996.
** Assumes reinvestment of all dividend income and capital gain
distributions during the period; does not reflect $10 annual account
maintenance fee.
See Notes to Financial Statements on Page 10
USAA S&P 500 Index Fund
Notes to Financial Statements
June 30, 1996
(Unaudited)
(1) Summary of Significant Accounting Policies
USAA MUTUAL FUND, INC. (the Company), registered under the Investment Company
Act of 1940 (the Act), as amended, is a diversified, open-end management
investment company incorporated under the laws of Maryland consisting of eight
separate funds. The information presented in this semiannual report pertains
only to the USAA S&P 500 Index Fund (the Fund), which commenced operations on
May 1, 1996. The Fund's investment objective is to provide investment results
that, before expenses, correspond to the total return of common stocks
represented by the S&P 500 Index. The Fund seeks to achieve its investment
objective by investing substantially all of its assets in the Equity 500 Index
Portfolio (the Portfolio), an open-end management investment company advised by
Bankers Trust Company which has the same investment objective as the Fund. The
value of the Fund's investment in the Portfolio reflects its proportionate
interest in the net assets of the Portfolio. At June 30, 1996, the Fund's
investment was approximately 4% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
A. Valuation of Investments - The Fund records its investment in the Portfolio
at value. Valuation of the securities held by the Portfolio is discussed in
the notes to the Portfolio's financial statements included elsewhere in this
report.
B. Investment Income and Expenses - The Fund records daily its pro rata share
of the Portfolio's income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
C. Federal Taxes - The Fund's policy is to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its income to its shareholders. Therefore, no
federal income or excise tax provision is required. The Fund may periodically
make reclassifications among certain of its capital accounts as a result of
timing and characterization of certain income and capital gains distributions
determined annually in accordance with federal tax regulations which may
differ from generally accepted accounting principles.
D. Use of Estimates - The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that may affect the reported amounts in the
financial statements.
(2) Lines of Credit
The Fund participates with other USAA funds in two joint short-term revolving
loan agreements totaling $850 million through January 14, 1997, one with USAA
Capital Corporation, an affiliate of the Manager ($750 million uncommitted),
and one with an unaffiliated bank ($100 million committed). The purpose of the
agreements is to meet temporary or emergency cash needs, including redemption
requests that might otherwise require the untimely disposition of investments.
Subject to availability under these agreements, the Fund may borrow up to a
maximum of 25% of its total assets at the lending institution's borrowing rate
plus a markup. The Fund had no borrowings under either of these agreements
during the two months ended June 30, 1996.
(3) Distributions
Distributions to shareholders are recorded on the ex-dividend date.
Distributions of net investment income are made quarterly. Distributions of the
Fund's pro rata share of the Portfolio's realized gains from security
transactions not offset by capital losses are made in the succeeding fiscal
year or as otherwise required to avoid the payment of federal taxes.
(4) Transactions with Manager
A. Administrative Fees - The administration and operation of the Fund are
carried out by USAA Investment Management Company (the Manager). The Fund's
administrative fees are computed at .02% of its annual average net assets.
The Manager has voluntarily agreed to limit the annual expenses of the Fund to
.18% of its annual average net assets, which includes expenses of the Portfolio
that presently are limited by Bankers Trust to .10% of the Portfolio's annual
average net assets.
B. Transfer Agent's Fees - USAA Transfer Agency Company, d/b/a USAA
Shareholder Account Services, an affiliate of the Manager, provides transfer
agent services to the Fund. The Fund does not pay for these services. The
Transfer Agent assesses shareholders an annual account maintenance fee of $10
to cover costs of maintaining shareholder accounts.
C. Underwriting Agreement - The Company has an agreement with the Manager
for exclusive underwriting and distribution of the Fund's shares on a
continuing best efforts basis. This agreement provides that the Manager will
receive no fee or other remuneration for such services.
D. Management Agreement - The Manager serves as investment adviser to the
Fund. Under the Management Agreement, the Manager is responsible for
monitoring the services provided to the Portfolio by Bankers Trust. While the
Fund maintains its investment in the Portfolio, this agreement provides that
the Manager will receive no fee for this service.
(5) Transactions with Affiliates
USAA Investment Management Company is indirectly wholly owned by United
Services Automobile Association (the Association), a large, diversified
financial services institution. At June 30, 1996, the Association and its
affiliates owned 2,504,835 shares (42.58%) of the Fund.
Equity 500 Index Portfolio
Schedule of Portfolio Investments
June 30, 1996
(Unaudited)
Shares Security Value
Common Stock (96.75%)
Aerospace - 2.04%
100,442 Boeing Co. $ 8,751,009
16,222 General Dynamics 1,005,764
58,410 Lockheed Martin 4,906,440
65,376 McDonnell Douglas 3,170,736
13,979 Northrop Grumman 952,319
71,014 Raytheon Co. 3,666,098
64,524 Rockwell International 3,693,999
36,006 United Technologies 4,140,690
------------
30,287,055
------------
Airlines - 0.36%
27,302 AMR Corp.(a) 2,484,482
16,349 Delta Air Lines 1,356,967
46,200 Southwest Airlines 1,345,575
9,015 USAir Group(a) 162,270
------------
5,349,294
------------
Apparel, Textiles - 0.70%
1,493 Brown Group 25,941
18,003 Charming Shoppes(a) 127,146
69,714 Corning 2,675,275
10,300 Fruit of the Loom Cl.A(a) 262,650
24,403 Liz Claiborne 844,954
33,419 Melville Corp. 1,353,469
27,424 Nike, Cl. B 2,817,816
24,529 Reebok International 824,788
4,611 Russell Corp. 127,379
8,204 Spring Industries, Cl. A 414,302
6,749 Stride Rite 55,679
14,515 V.F. Corp. 865,457
------------
10,394,856
------------
Auto Related - 2.34%
108,851 Chrysler Corp. 6,748,762
13,734 Cummins Engine 554,510
23,374 Dana Corp. 724,594
23,082 Eaton Corp. 1,353,182
9,844 Echlin Inc. 372,841
319,164 Ford Motor 10,332,934
218,384 General Motors 11,437,862
27,584 Genuine Parts 1,261,968
12,690 PACCAR Inc. 621,810
21,943 Parker-Hannifin 929,835
11,448 Timken, Co. 443,610
------------
34,781,908
------------
Banks - 6.35%
38,434 Ahmanson (H.F.)
& Company 1,037,718
134,734 Banc One Corp. 4,580,956
36,167 Bank of Boston 1,790,266
59,600 Bank of New York 3,054,500
107,136 BankAmerica Corp. 8,115,552
24,197 Barnett Banks Inc. 1,476,017
45,554 Boatmen's Bancshares 1,827,854
127,352 Chase Manhattan Corp 8,994,235
141,266 Citicorp 11,672,103
30,700 Comerica Inc. 1,369,987
68,364 Corestates Financial 2,632,014
30,800 Fifth Third Bancorp 1,663,200
95,236 First Chicago NBD 3,726,109
84,750 First Union Corp. 5,159,156
10,817 Golden West Financial 605,752
31,984 Great Western Financial 763,618
58,200 KeyCorp 2,255,250
42,762 Mellon Bank Corp. 2,437,434
56,060 Morgan (J.P.) 4,744,078
57,600 National City Corp. 2,023,200
88,026 NationsBank Corp. 7,273,148
110,408 Norwest 3,850,479
12,900 Republic New York Corp. 803,025
57,160 Suntrust Banks 2,114,920
48,688 U.S. Bancorp 1,758,854
42,800 Wachovia Corp. 1,872,500
28,670 Wells Fargo 6,848,546
------------
94,450,471
------------
Beverages - 4.07%
74,240 Anheuser-Busch Cos 5,568,000
8,219 Brown Forman, Cl. B 328,760
715,522 Coca-Cola Co. 34,971,138
6,168 Coors (Adolph), Cl. B 110,253
451,694 PepsiCo Inc. 15,978,675
109,137 Seagram, Co. Ltd. 3,669,732
------------
60,626,558
------------
Building & Construction - 0.74%
8,483 Armstrong World Industries 488,833
7,090 Centex Corp. 220,676
3,311 Crane Co. 135,751
6,906 Fleetwood Enterprises 214,086
139,051 Home Depot 7,508,754
50,611 Masco Corp. 1,530,983
8,650 Owens Corning(a) 371,950
20,330 Stanley Works 604,817
------------
11,075,850
------------
Building-Forest Products - 0.52%
16,703 Boise Cascade 611,747
30,628 Champion International 1,278,719
28,201 Georgia-Pacific 2,002,271
8,977 Johnson Controls 623,901
2,045 Kaufman & Broad Home 29,652
19,858 Louisiana Pacific 439,358
4,901 Potlatch Corp. 191,752
59,694 Weyerhaeuser Co. 2,536,995
------------
7,714,395
------------
Chemicals & Toxic Waste - 3.07%
33,404 Air Products & Chemical 1,929,081
78,240 Amgen Inc.(a) 4,224,960
73,076 Dow Chemical 5,553,776
161,796 Du Pont (E.I.) de Nemours 12,802,108
24,981 Eastman Chemical 1,520,718
6,050 FMC Corp.(a) 394,762
29,849 Grace W.R. 2,115,548
16,796 Great Lakes Chemical 1,045,551
33,514 Hercules Inc. 1,851,648
16,502 Mallinckrodt Group 641,515
170,220 Monsanto Co. 5,532,150
45,706 Morton International 1,702,549
12,325 Nalco Chemical 388,238
57,042 PPG Industries 2,780,798
14,859 Rohm & Haas 932,402
12,800 Sigma-Aldrich 684,800
41,317 Union Carbide 1,642,351
------------
45,742,955
------------
Commercial Services - 0.14%
58,200 CUC International Inc.(a) 2,066,100
------------
Computers - 0.06%
40,042 Apple Computer 840,882
6,045 Data General Corp.(a) 78,585
------------
919,467
------------
Computer Services - 0.65%
50,700 3Com Corp(a) 2,319,525
86,512 Automatic Data Processing 3,341,526
22,700 Cabletron Systems(a) 1,557,787
70,800 EMC Corp.(a) 1,318,650
49,900 Silicon Graphics Inc.(a) 1,197,600
------------
9,735,088
------------
Computer Software - 2.85%
164,900 Cisco Systems(a) 9,337,462
71,167 Computer Associates
International 5,070,649
170,700 Microsoft Corp.(a) 20,505,338
191,004 Oracle Corp.(a) 7,532,720
------------
42,446,169
------------
Containers - 0.22%
11,015 Avery Dennison Corp. 604,448
3,054 Ball Corp. 87,802
38,250 Crown Cork & Seal 1,721,250
21,649 Stone Container 297,674
11,022 Temple-Inland 515,279
------------
3,226,453
------------
Cosmetics & Toiletries - 0.73%
1,599 Alberto-Culver, Cl. B 74,154
35,228 Avon Products 1,589,663
129,408 Gillette Co. 8,071,824
24,987 International Flavors
& Fragrance 1,190,006
------------
10,925,647
------------
Diversified - 1.36%
16,702 Ceridian Corp.(a) 843,451
41,700 First Bank System 2,418,600
35,400 Loews Corp. 2,792,175
121,478 Minnesota Mining
& Manufacturing 8,381,982
4,781 NACCO Industries, Cl. A 264,748
26,964 Pall Corp. 650,506
45,615 Praxair Inc. 1,927,234
13,420 Supervalu Inc. 422,730
15,257 Teledyne Inc. 551,159
25,603 Textron, Inc. 2,045,040
------------
20,297,625
------------
Drugs - 5.48%
183,066 American Home Products 11,006,843
145,189 Bristol Myers Squibb 13,067,010
159,370 Lilly (Eli) 10,359,050
352,597 Merck & Co. 22,786,581
183,804 Pfizer Inc. 13,119,010
107,558 Schering-Plough 6,749,265
79,986 Warner-Lambert 4,399,230
------------
81,486,989
------------
Electrical Equipment - 4.57%
476,222 General Electric Co. 41,193,203
40,900 General Instrument Corp.(a) 1,180,987
8,272 General Signal 313,302
10,765 Grainger (W.W.) 834,287
146,870 Hewlett-Packard 14,631,924
35,723 ITT Corp (NEW) (a) 2,366,649
36,223 ITT Hartford Group 1,928,875
36,423 ITT Industries 915,128
8,438 Raychem Corp. 606,481
39,432 Tyco International 1,606,854
126,810 Westinghouse Electric 2,377,688
------------
67,955,378
------------
Electronics - 3.81%
38,041 Advanced Micro Devices (a) 518,309
83,306 AlliedSignal Inc. 4,758,855
64,473 AMP Inc. 2,586,979
55,600 Applied Materials (a) 1,695,800
38,190 DSC Communications Corp. (a) 1,150,474
65,700 Emerson Electric 5,937,638
7,771 Harris Corp. 474,031
236,314 Intel Corp. 17,354,309
41,700 LSI Logic Corp. (a) 1,084,200
64,000 Micron Technology 1,656,000
171,142 Motorola, Inc. 10,760,553
40,126 National Semi-
conductor Corp. (a) 621,953
70,701 Northern Telecom Ltd. 3,844,367
14,025 Perkin-Elmer 676,706
11,938 Scientific-Atlanta 185,039
3,738 Tektronix Inc. 167,276
56,728 Texas Instruments 2,829,309
7,000 Thomas & Betts 262,500
6,027 Trinova Corp. 201,151
------------
56,765,449
------------
Environmental Control - 0.48%
65,335 Browning-Ferris Industries 1,894,715
41,100 Laidlaw Inc. Cl. B 416,137
7,326 Safety-Kleen 128,205
145,358 WMX Technologies 4,760,475
------------
7,199,532
------------
Financial Services - 3.69%
141,066 American Express 6,295,070
9,652 Beneficial Corp. 541,718
49,974 Dean Witter, Discover & Co. 2,861,011
52,756 Federal Home Loan Mortgage 4,510,638
316,364 Federal National Mortgage 10,598,194
65,500 First Data 5,215,438
79,744 Fleet Financial Group 3,468,864
40,300 Green Tree Financial 1,259,375
29,358 Household International 2,231,208
54,045 MBNA Corp. 1,540,283
51,138 Merrill Lynch 3,330,362
46,000 Morgan Stanley Group Inc 2,259,750
101,333 PNC Banc Corp 3,014,657
33,233 Salomon Inc. 1,462,252
138,809 Travelers Group 6,333,161
------------
54,921,981
------------
Food Service, Lodging - 0.72%
29,419 Darden Restaurants 316,254
6,851 Luby's Cafeterias 160,998
202,914 McDonald's Corp. 9,486,229
21,182 Ryan's Family Steak House
Inc. (a) 195,934
4,809 Shoney's Inc. (a) 52,298
29,262 Wendy's International 545,005
------------
10,756,718
------------
Foods - 3.02%
138,955 Archer-Daniels-Midland 2,657,514
68,069 Campbell Soup 4,798,864
72,616 ConAgra Inc. 3,294,951
43,630 CPC International 3,141,360
48,019 General Mills 2,617,035
109,775 Heinz, (H.J.) 3,334,416
16,897 Hershey Foods 1,239,817
62,907 Kellogg 4,607,938
22,700 Pioneer Hi-Bred International 1,200,262
34,384 Quaker Oats 1,173,354
32,305 Ralston Purina Goup 2,071,558
142,487 Sara Lee Corp. 4,613,017
47,310 Sysco Corp. 1,620,368
46,717 Unilever N.V., ADR 6,779,805
18,127 Whitman Corp. 437,314
27,392 Wrigley (WM) Jr. 1,383,296
------------
44,970,869
------------
Forest Products & Paper - 0.07%
17,500 Willamette Industries 1,041,250
------------
Healthcare - 1.13%
227,622 Abbott Laboratories 9,901,557
130,515 Columbia/HCA Healthcare 6,966,238
------------
16,867,795
------------
Hospital Supplies & Healthcare - 2.71%
9,501 Allergan, Inc. 372,914
24,434 Alza, Corp. (a) 668,881
9,477 Bard (C.R.) 322,218
11,023 Bausch & Lomb 468,477
81,263 Baxter International 3,839,677
17,366 Becton, Dickinson 1,393,621
22,582 Beverly Enterprises (a) 270,984
41,450 Biomet Inc. (a) 595,844
54,100 Boston Scientific Corp. (a) 2,434,500
6,417 Community Psychiatric
Centers (a) 60,961
41,600 Humana Inc. (a) 743,600
383,296 Johnson & Johnson 18,973,152
9,160 Manor Care 360,675
69,452 Medtronic Inc. 3,889,312
8,574 Shared Medical Systems 550,880
27,019 St. Jude Medical Inc. (a) 905,137
63,410 Tenet Healthcare Corp. (a) 1,355,389
54,800 United Healthcare 2,767,400
10,248 U.S. Surgical 317,688
------------
40,291,310
------------
Hotel/Motel - 0.24%
15,212 Hilton Hotels 1,711,350
33,490 Marriott International 1,800,088
------------
3,511,438
------------
Household Furnishings - 0.20%
17,512 Maytag Corp. 365,563
44,758 Newell Co. 1,370,714
23,939 Whirlpool Corp. 1,187,973
------------
2,924,250
------------
Household Products - 0.12%
35,502 Rubbermaid, Inc. 967,430
20,796 Tupperware Corp. (a) 878,631
------------
1,846,061
------------
Insurance - 3.14%
34,913 Aetna Life & Casualty 2,496,279
7,509 Alexander & Alexander
Services 148,303
130,250 Allstate Corp. 5,942,656
52,154 American General 1,897,102
136,567 American International Group 13,468,920
26,600 Aon Corp. 1,349,950
53,172 Chubb Corp. 2,651,953
23,133 Cigna Corp. 2,726,802
24,078 General Re Corp. 3,665,876
21,277 Jefferson-Pilot 1,098,425
27,610 Lincoln National Corp. 1,276,963
18,762 Marsh & McLennan 1,810,533
19,298 Providian Corp. 827,402
39,602 SAFECO Corp. 1,400,921
20,630 St. Paul Cos. 1,103,705
12,134 Torchmark Corp. 530,863
16,600 UNUM Corp. 1,033,350
13,917 USF & G Corp. 227,891
13,030 USLife Corp. 428,361
46,600 U.S. HealthCare 2,563,000
------------
46,649,255
------------
Leisure Related - 1.28%
24,914 American Greetings Cl. A 682,021
20,093 Bally Entertainment
Corp. (a) 552,557
21,442 Brunswick Corp. 428,840
195,857 Disney (Walt) Co. 12,314,509
13,239 Harcourt General 661,950
33,115 Harrah's Entertainment Inc. (a) 935,499
25,525 Hasbro Inc. 912,519
1,239 Jostens Inc. 24,470
84,165 Mattel Inc. 2,409,223
3,618 Outboard Marine 65,576
------------
18,987,164
------------
Machinery - 1.40%
16,271 Black & Decker Corp. 628,467
11,182 Briggs & Stratton 459,860
23,600 Case Corporation 1,132,800
57,582 Caterpillar Inc. 3,901,180
3,647 Cincinnati Milacron 87,528
34,048 Cooper Industries 1,412,992
78,523 Deere & Co. 3,140,920
29,404 Dover Corp. 1,356,259
57,082 Dresser Industries 1,683,919
20,230 Echo Bay Mines 217,473
16,847 Giddings & Lewis 273,764
5,522 Harnischfeger Industries 183,607
31,896 Illinois Tool Works 2,156,967
33,131 Ingersoll-Rand 1,449,481
6,992 Millipore Corp. 292,790
11,958 Navistar International (a) 118,085
7,196 Snap-On Inc. 340,911
19,086 TRW Inc. 1,715,354
7,262 Varity Corp. (a) 349,484
------------
20,901,841
------------
Metals - 1.44%
58,736 Alcan Aluminium Ltd. 1,791,448
52,600 Aluminium Company
of America 3,017,925
72,835 Armco Inc. (a) 364,175
8,049 Asarco Inc. 222,354
106,900 Barrick Gold 2,899,662
19,749 Bethlehem Steel Corp. (a) 234,519
20,994 Cyprus Amax MInerals 474,989
33,108 Engelhard Corp. 761,484
34,600 Freeport-McMoRan
Copper & Gold Cl. B 1,102,875
47,643 Homestake Mining 815,886
37,166 Inco Ltd. 1,198,604
6,103 Inland Steel Industries 119,771
31,134 Newmont Mining 1,537,241
27,894 Nucor Corp. 1,412,134
5,831 Ogden Corp. 105,687
21,108 Phelps Dodge 1,316,612
73,804 Placer Dome Inc. 1,762,071
20,549 Reynolds Metals 1,071,117
21,408 Santa Fe Pacific Gold 302,388
23,977 USX-U.S. Steel Group 680,347
13,179 Worthington Industries 275,112
------------
21,466,401
------------
Office Equipment & Computers - 2.71%
37,862 Alco Standard 1,713,255
37,057 Amdahl Corp (a) 398,363
16,114 Autodesk Inc. 481,406
79,513 Compaq Computer Corp. (a) 3,916,015
17,786 Computer Sciences Corp. (a) 1,329,503
1,115 Cray Research (a) 26,899
46,832 Digital Equipment (a) 2,107,440
38,919 Honeywell, Inc. 2,121,085
9,046 Intergraph Corp. (a) 109,683
156,641 International Business
Machines 15,507,459
13,879 Moore Corp. Ltd. 261,966
114,592 Novell Inc. (a) 1,589,964
38,098 Pitney Bowes 1,819,179
54,628 Sun Microsystems Inc. (a) 3,216,224
21,460 Tandem Computers Inc. (a) 265,568
64,999 Unisys Corp. (a) 463,118
94,035 Xerox Corp. 5,030,873
------------
40,358,000
------------
Oil Equipment & Services - 0.55%
45,244 Baker Hughes Inc. 1,487,397
71,181 Schlumberger Ltd. 5,996,999
11,659 Western Atlas Inc. (a) 679,137
------------
8,163,533
------------
Oil Service - Domestic - 0.38%
26,081 Fluor Corp. 1,705,045
4,738 Foster Wheeler 212,618
35,690 Halliburton Co. 1,980,795
88,764 USX-Marathon Group 1,786,376
------------
5,684,834
------------
Oil-Domestic - 1.11%
188,766 Chevron Corp. 11,137,194
16,728 Noram Energy 181,917
52,334 Tenneco Inc. 2,675,576
75,037 Unocal Corp. 2,532,499
------------
16,527,186
------------
Oil-International - 4.96%
356,157 Exxon Corp. 30,941,139
113,771 Mobil Corp. 12,756,573
153,901 Royal Dutch Petroleum 23,662,279
77,161 Texaco Inc. 6,471,879
------------
73,831,870
------------
Paper - 0.86%
5,731 Bemis Co. 200,585
88,844 International Paper 3,276,123
25,435 James River Corp. 670,848
82,165 Kimberly-Clark 6,347,246
15,351 Mead Corp. 796,333
17,703 Union Camp 863,021
23,560 Westvaco Corp. 703,855
------------
12,858,011
------------
Petroleum Related - 1.91%
28,193 Amerada Hess 1,511,850
143,702 Amoco Corp. 10,400,432
11,687 Ashland Inc. 463,097
47,125 Atlantic Richfield 5,584,312
39,800 Burlington Resources 1,711,400
2,808 Helmerich & Payne 102,843
12,632 Kerr-McGee 768,973
8,062 Louisiana Land & Exploration 464,573
9,187 McDermott International 191,779
96,814 Occidental Petroleum 2,396,146
16,579 Oryx Energy Co. (a) 269,409
7,654 Pennzoil Co. 353,998
78,306 Phillips Petroleum 3,279,064
16,500 Rowan Cos. (a) 243,375
8,269 Santa Fe Energy Resources (a) 98,194
18,745 Sun Co. 569,379
------------
28,408,824
------------
Pharmaceuticals - 0.44%
148,732 Pharmacia & Upjohn 6,599,983
------------
Photography & Optical - 0.55%
100,626 Eastman Kodak 7,823,672
9,282 Polaroid Corp. 423,491
------------
8,247,163
------------
Printing & Publishing - 1.29%
23,291 Deluxe Corp. 826,830
39,952 Donnelley (RR) & Sons 1,393,326
23,472 Dow Jones & Co. 979,956
50,779 Dun & Bradstreet 3,173,687
42,196 Gannett Co. 2,985,367
3,804 Harland (John H.) 93,673
13,863 Knight-Ridder Inc. 1,005,068
26,230 McGraw-Hill Companies 1,200,023
4,736 Meredith Corp. 197,728
17,684 New York Times, Cl. A 576,941
115,515 Time Warner Inc. 4,533,964
28,829 Times Mirror, Cl. A 1,254,062
12,898 Tribune Co. 936,717
------------
19,157,342
------------
Professional Services - 0.46%
32,535 Block (H&R) 1,061,454
27,536 Dial Corp. 788,218
7,800 Ecolab Inc. 257,400
8,825 EG&G Inc. 188,634
19,107 Interpublic Group Cos. 895,641
7,526 National Service Industries 294,455
35,896 Service Corp International 2,064,020
16,543 Transamerica Corp. 1,339,983
------------
6,889,805
------------
Railroads - 1.03%
45,162 Burlington Northern
Santa Fe 3,652,477
25,472 Conrail Inc. 1,690,704
61,232 CSX Corp. 2,954,444
32,851 Norfolk Southern 2,784,122
60,747 Union Pacific 4,244,697
------------
15,326,444
------------
Real Estate - 0.02%
11,666 Pulte Corp. 312,066
------------
Retail - 4.34%
71,602 Albertson's, Inc. 2,962,533
40,118 American Stores 1,654,867
31,946 Circuit City Stores 1,154,049
21,936 Dayton Hudson 2,262,150
34,897 Dillard Department Stores,
Cl. A 1,273,740
63,300 Federated Department
Stores (a) 2,160,112
6,279 Fleming Cos. 90,261
86,614 Gap Inc. 2,782,475
19,193 Giant Food Cl. A 688,549
5,125 Great Atlantic & Pacific 168,484
149,103 Kmart 1,845,150
39,160 Kroger Co. (a) 1,546,820
83,647 Limited Inc. 1,798,410
6,113 Longs Drug Stores 272,793
49,894 Lowe's Cos. 1,802,421
74,298 May Department Stores 3,250,537
5,830 Mercantile Stores 341,784
26,029 Nordstrom, Inc. 1,158,290
66,850 Penney (J.C.) 3,509,625
8,612 Pep-Boys-Manny
Moe & Jack 292,808
62,799 Price/Costco Inc. (a) 1,358,028
28,301 Rite Aid 841,955
114,709 Sears, Roebuck 5,577,725
20,837 Sherwin-Williams 968,921
18,683 Tandy Corp. 885,107
12,554 TJX Companies 423,698
83,018 Toys 'R' Us Inc. (a) 2,366,013
65,934 Walgreen Co. 2,208,789
660,148 Wal-Mart Stores 16,751,256
38,380 Winn-Dixie Stores 1,357,693
36,522 Woolworth Corp. (a) 821,745
------------
64,576,788
------------
Soaps & Toiletries - 1.53%
12,852 Clorox Co. 1,139,009
43,551 Colgate-Palmolive 3,690,947
197,370 Procter & Gamble Co. 17,886,656
------------
22,716,612
------------
Telecommunications - 3.72%
1 360 Communications Co. (a) 24
142,035 Airtouch Communications (a) 4,012,489
46,800 Alltel Corp. 1,439,100
161,152 Ameritech Corp. 9,568,400
19,484 Andrew Corp. (a) 1,047,265
59,000 Bay Networks Inc. (a) 1,519,250
63,162 Comcast, Cl. A 1,168,497
281,736 GTE Corp. 12,607,686
10,106 King World Productions
Inc. (a) 367,606
202,420 MCI Communications Corp. 5,187,012
127,700 NYNEX Corp. 6,065,750
174,516 Tele-Communications, Cl.
A (a) 3,163,102
27,600 Tellabs, Inc. (a) 1,845,750
105,749 Viacom Inc., Cl. B (a) 4,110,992
58,100 WorldCom Inc. (a) 3,217,288
------------
55,320,211
------------
Tire & Rubber - 0.20%
14,951 Cooper Tire & Rubber 332,660
7,852 Goodrich (B.F.) 293,468
47,136 Goodyear Tire & Rubber 2,274,312
------------
2,900,440
------------
Tobacco - 1.93%
45,674 American Brands 2,072,458
238,266 Philip Morris Inc. 24,779,664
55,607 UST Corp. 1,904,540
------------
28,756,662
------------
Trucking, Shipping - 0.17%
7,382 Caliber System Inc. 250,988
22,392 Consolidated Freightways 473,031
12,275 Federal Express Corp. (a) 1,006,550
25,217 Ryder System 709,228
6,040 Yellow Corp. (a) 80,030
------------
2,519,827
------------
Utilities - 0.06%
4,142 Eastern Enterprises 137,721
31,900 P P & L Resources 753,638
------------
891,359
------------
Utility-Electric - 3.12%
56,010 American Electric Power Co. 2,387,426
30,625 Baltimore Gas & Electric Co. 868,984
39,428 Carolina Power & Light Co. 1,498,264
62,430 Central & South West 1,810,470
33,122 CINergy Corp. 1,059,904
72,236 Consolidated Edison 2,112,903
49,106 Dominion Resources 1,964,240
43,176 DTE Energy Co. 1,333,059
61,387 Duke Power Co. 3,146,084
131,870 Edison International 2,324,209
70,507 Entergy Corp. 2,000,636
56,094 FPL Group Inc. 2,580,324
23,900 General Public Utilities 842,475
81,256 Houston Industries 2,000,929
43,142 Niagara Mohawk Power 334,351
13,644 Northern States Power 673,673
33,084 Ohio Edison Co. 723,713
125,105 Pacific Gas & Electric 2,908,691
72,089 PacifiCorp 1,603,980
67,284 PECO Energy 1,749,384
73,294 Public Service Enterprise 2,006,423
197,858 Southern Co. 4,872,253
68,065 Texas Utilities Co. 2,909,779
65,525 Unicom Corp. 1,826,509
21,220 Union Electric Co. 854,105
------------
46,392,768
------------
Utility-Natural Gas - 0.73%
24,866 Coastal Corp. 1,038,155
9,135 Columbia Gas System 476,162
21,505 Consolidated Natural Gas 1,123,636
75,266 Enron Corp. 3,076,498
11,424 ENSERCH Corp. 248,472
8,469 NICOR Inc. 240,308
13,591 ONEOK Inc. 339,775
12,268 Pacific Enterprises 363,440
36,958 PanEnergy Corp. 1,214,994
5,755 People's Energy 192,793
28,010 Sonat Inc. 1,260,450
26,112 Williams Cos. 1,292,544
------------
10,867,227
------------
Utility-Telephone - 4.98%
461,006 AT&T Corp. 28,582,372
127,339 Bell Atlantic Corp. 8,117,861
287,332 BellSouth Corp. 12,175,694
124,835 Pacific Telesis Group 4,213,181
176,862 SBC Communications Inc. 8,710,454
127,582 Sprint Corp. 5,358,444
139,728 U S West Communications Group 4,453,830
138,128 U S West Media Group (a) 2,520,836
------------
74,132,672
------------
Total Common Stocks
(Cost $1,127,122,749) 1,440,023,199
---------------
U.S. Treasury Bills - 3.09%
$ 1,631,000 4.880%, 7/25/96 $ 1,625,683
95,000 4.790%, 8/08/96 94,513
115,000 5.020%, 8/08/96 114,405
1,590,000 5.000%, 9/12/96 1,573,847
8,366,000 5.030%, 10/17/96 8,237,247
6,338,000 5.325%, 10/17/96 6,240,458
28,552,000 5.080%, 10/31/96 28,056,595
---------------
Total U.S. Treasury Bills
(Cost $45,947,869) 45,942,748
---------------
Total Investments
(Cost $1,173,070,618) 99.84% 1,485,965,947
Other Assets Less Liabilities 0.16% 2,320,072
---------------
Net Assets - 100.00% $1,488,286,019
===============
- --------------------------------------
(a) Non-Income Producing Securities
See Notes to Financial Statements on Page 25
Equity 500 Index Portfolio
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets
Investments, at Value (Cost $1,173,070,618) $1,485,965,947
Cash 45,049
Dividends and Interest Receivable 2,137,082
Variation Margin Receivable 247,825
Prepaid Expenses and Other 4,647
---------------
Total Assets 1,488,400,550
---------------
Liabilities
Due to Bankers Trust 95,832
Accrued Expenses and Other 18,699
---------------
Total Liabilities 114,531
---------------
Net Assets $1,488,286,019
===============
Composition of Net Assets
Paid-in Capital $1,175,265,089
Net Unrealized Appreciation of Securities and
Future Contracts 313,020,930
---------------
Net Assets, June 30, 1996 $1,488,286,019
===============
See Notes to Financial Statements on Page 25
Equity 500 Index Portfolio
Statement of Operations
For the six months ended June 30, 1996
(Unaudited)
Investment Income
Dividends (net of foreign witholding taxes of $106,583) $ 13,948,267
Interest 880,565
-------------
Total Investment Income 14,828,832
-------------
Expenses
Advisory 641,951
Administration and Services 320,976
Professional 15,728
Trustees 1,368
Miscellaneous 5,181
-------------
Total Expenses 985,204
Less: Expenses Absorbed by Bankers Trust (343,252)
-------------
Net Expenses 641,952
-------------
Net Investment Income 14,186,880
-------------
Realized and Unrealized Gains
on Securities and Futures
Net Realized Gains from Securities Transactions 3,373,683
Net Realized Gains from Futures Transactions 1,605,342
Net Unrealized Appreciation of Securities
and Futures Contracts 101,188,528
-------------
Net Gains on Securities and Futures 106,167,553
-------------
Net Increase in Net Assets from Operations $120,354,433
=============
See Notes to Financial Statements on Page 25
Equity 500 Index Portfolio
Statement of Changes in Net Assets
<TABLE>
June 30, 1996
(Unaudited)
<CAPTION>
For the six For the
months ended year ended
June 30, 1996 December 31, 1995
--------------- ------------------
<S> <C> <C>
Increase in Net Assets
from Operations
Net Investment Income $ 14,186,880 $ 19,425,500
Net Realized Gains from Securities
and Futures Transactions 4,979,025 4,687,899
Net Unrealized Appreciation on
Securities and Futures Contracts 101,188,528 212,725,683
---------------- ----------------
Net Increase in Net Assets from Operations 120,354,433 236,839,082
---------------- ----------------
Capital Transactions
Proceeds from Capital Invested 376,195,627 474,637,337
Value of Capital Withdrawn (89,000,067) (190,511,921)
---------------- ----------------
Net Increase in Net Assets
from Capital Transactions 287,195,560 284,125,416
---------------- ----------------
Total Increase in Net Assets 407,549,993 520,964,498
Net Assets
Beginning of Period 1,080,736,026 559,771,528
----------------- ----------------
End of Period $ 1,488,286,019 $ 1,080,736,026
================= =================
</TABLE>
See Notes to Financial Statements on Page 25
Equity 500 Index Portfolio
Financial Highlights
June 30, 1996
(Unaudited)
<TABLE>
Contained below are selected ratios and supplemental data for
each of the periods indicated for the Equity 500 Index Portfolio.
Supplemental Data and Ratios:
<CAPTION>
For the six December 31, 1992
months ended For the year ended December 31, (Commencement
June 30, 1996 1995 1994 1993 of Operations)
-------------- ------ ------ ------ -----------------
<S> <C> <C> <C> <C> <C>
Net Assets,
End of Period (000) $1,488,286 $1,080,736 $ 559,772 $151,805 $9,435
Ratios to Average Net Assets:
Net Investment Income 2.20%* 2.52% 2.84% 2.67% 0.00%
Expenses, including
Expenses of
the Portfolio 0.10%* 0.10% 0.10% 0.10% 0.00%
Decrease Reflected
in Above Expense
Ratio Due to
Absorption of
Expenses by
Bankers Trust 0.05%* 0.05% 0.06% 0.10% 0.00%
Portfolio Turnover Rate 1% 6% 21% 31%
Average Commission
Rate (in cents
per share) $0.02 **
- -------------
* Annualized
** For the year beginning on or after September 1, 1995, the Portfolio is
required to disclose its average commission rate per share for purchases and
sales of equity securities.
See Notes to Financial Statements on Page 25
</TABLE>
Equity 500 Index Portfolio
Notes to Financial Statements
June 30, 1996
(Unaudited)
(1) Organization and Significant
Accounting Policies
A. Organization
The Equity 500 Index Portfolio (the Portfolio) is registered under the
Investment Company Act of 1940 (the Act), as amended, as an open-end
management investment company. The Portfolio was organized on December 11,
1991 as an unincorporated trust under the laws of New York, and commenced
operations on December 31, 1992. The Declaration of Trust permits the Board of
Trustees (the Trustees) to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the Service) approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued
at the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean
of the bid and asked prices. Short-term obligations with remaining maturities
of 60 days or less, are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Security Transactions and Interest 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.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. Futures Contracts
The Portfolio 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 Portfolio is required to deposit either in cash or securities an
amount equal to a certain percentage of the contract amount. Subsequent
payments are made or received by the portfolio 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 Portfolio. The Portfolio's investment in the financial futures contracts
is designed to closely replicate the benchmark index used by the Portfolio.
Should the Portfolio's prices move unexpectedly, the Portfolio may not achieve
the anticipated benefits of the financial futures contracts and may realize a
loss.
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
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that may affect the reported amounts in the financial statements.
(2) Fees and Transactions with Affiliates
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company (Bankers Trust). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the six months ended June 30, 1996, this fee aggregated
$320,976.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.10 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1996,
this fee aggregated $641,951.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
the Portfolio, to the extent necessary, to limit all expenses to 0.10 of 1% of
the average daily net assets of the Portfolio. For the six months ended June
30, 1996, expenses of the Portfolio have been reduced by $343,252.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the Bankers Trust Funds. None of the trustees so affiliated received
compensation for services as trustees of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
(3) Purchase and Sale of Investment Securities
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1996 were
$284,601,548 and $12,933,107, respectively. For Federal income tax purposes,
the tax basis of investments held at June 30, 1996 was $1,179,487,646. The
aggregate gross unrealized appreciation was $318,575,690 and the aggregate
gross unrealized depreciation for all investments was $12,097,388 as of
June 30, 1996.
(4) Futures Contracts
A summary of obligations under these financial instruments at June 30, 1996
is as follows:
Unrealized
Type of Future Expiration Contracts Position Appreciation
- --------------- ----------- ---------- --------- ------------
S&P 500 Futures Index September 1996 139 Long $125,601
At June 30, 1996, the Portfolio has segregated sufficient securities to cover
margin requirements on open futures contracts.
Directors
M. Staser Holcomb, Chairman of the Board
Michael J.C. Roth, President and Vice Chairman of the Board
John W. Saunders, Jr., Vice President
George E. Brown
Howard L. Freeman, Jr.
Richard A. Zucker
Barbara B. Dreeben
Investment Adviser, Underwriter and Distributor
USAA Investment Management Company
9800 Fredericksburg Rd.
San Antonio, Texas 78288
Transfer Agent
USAA Shareholder Account Services
9800 Fredericksburg Rd.
San Antonio, Texas 78288
Custodian
Bankers Trust Company
Four Albany Street
New York, New York 10006
Legal Counsel
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
Independent Accountants
Coopers & Lybrand LLP
1100 Main Street, Suite 900
Kansas City, Missouri 64105
Telephone Assistance
Call toll free - Central Time
Monday-Friday 8:00 a.m. to 8:00 p.m.
Saturdays 8:30 a.m. to 5:00 p.m.
For Additional Information on Mutual Funds
1-800-531-8181, (in San Antonio) 456-7211
For account servicing, exchanges or redemptions
1-800-531-8448, (in San Antonio) 456-7202
Recorded Mutual Fund Price Quotes
24-Hour Service (from any phone)
1-800-531-8066, (in San Antonio) 498-8066
Mutual Fund Touchline(registered trademark)
----
(from Touchtone phones only)
For account balance, last transaction or fund prices:
1-800-531-8777, (in San Antonio) 498-8777
