<PAGE> 1
SEMI-
ANNUAL
REPORT
JUNE 30, 1997
[AMERICAN AADVANTAGE LOGO]
AMERICAN AADVANTAGE FUNDS (R)
S&P 500 INDEX FUND
-AMR CLASS-
P.O. Box 619003
Dallas/Fort Worth Airport, Texas
75261-9003
(800) 967-9009
Managed By
AMR Investment Services, Inc.
<PAGE> 2
Dear Fellow Shareholder:
We are pleased to report to you on the performance of the American
AAdvantage S&P 500 Index Fund (the "Fund") and to provide you with a copy of
the Semi-Annual Report for the six months ended June 30, 1997. The Fund
returned 20.50% for the six months ended June 30, 1997, tightly tracking both
the 20.62% return of the S&P 500 Index and the 20.27% return of the Lipper S&P
500 Average.*
The following reports of market activity and manager outlook are
according to Frank Salerno, portfolio manager of the BT Equity 500 Index
Portfolio.
MARKET ACTIVITY
The Dow Jones Industrial average broke the 7,000 barrier for the first
time and the S&P 500 Index reached its highest levels as well during the first
six months of 1997. However, the bull market for equities was also plagued by
short-term volatility. For example, the large capitalization sector started
the year with the strongest January performance it had seen since 1989. The
S&P 500 was up 6.21% for the month, but then its pace slowed considerably in
February and the market narrowed, with large cap stocks such as Philip Morris,
Proctor & Gamble, J.P. Morgan, and Merck leading the way. By March, the equity
indices were back down to levels considered unprecedented peaks in November
1996, and returns were weak. In fact, the S&P 500 Index was down 4.16% in
March. Contributing to this sharp correction was the Federal Reserve Board's
hike of the fed funds rate-the first increase in over two years-by 0.25% to
5.50% late in the month. Still, economic expansion had continued through the
first quarter, with favorable producer prices and retail sales figures.
Employment numbers looked positive, reflecting strength in the labor force, and
inflation pressures remained benign.
In the second quarter, economic growth slowed, and the inflation
picture, while already good, brightened even further, as consumer prices are
estimated to have advanced at a mere 1.5% annual rate between March and June.
Despite the absence of pricing power, corporate profits continued to post
impressive gains. With this favorable economic scenario as a backdrop, the
Federal Reserve Board chose not to boost interest rates again when it met on
May 20th, surprising many industry analysts and investors who had anticipated
that they would. The equity markets responded positively. The Dow Jones was
back up above the 7,000 mark in April, and the S&P 500 rebounded to finish up
with a rather impressive 17% return for the second quarter. In all, the S&P
500 finished the six month period with a first half performance that was among
the strongest in the past fifty years.
During this semi-annual period, large capitalization stocks
outperformed small cap stocks, though small cap stocks outperformed in May 1997
for the first time since December 1996, primarily due to a rebound in the
technology sector. Within the large cap sector, growth outperformed value. The
opposite was true within the small cap sector, where value stocks outperformed
growth stocks. Overall, leading groups for the first half of 1997 included
health care, consumer staples, and financials. The weakest performing sectors
were communication services, utilities, and basic materials.
Ten Largest Stock Holdings
General Electric Co.
Coca-Cola Co.
Exxon Corp.
Microsoft Corp.
Merck & Company, Inc.
Royal Dutch Petroleum Co.
Intel Corp.
Philip Morris Companies, Inc.
Procter & Gamble Co.
IBM Corp.
<PAGE> 3
MANAGER OUTLOOK
As the second half of the year unfolds, the economy is expected to
once again display strength. Employment remains robust, consumer incomes are
expanding in excess of the well-contained inflation rate, and consumer
confidence is running at peak levels. On balance, real GDP is estimated to
rise in the 2.5-3.0% range-enough, in our opinion, to generate a bit more
inflation and allow corporate earnings to continue to expand at double-digit
rates.
We believe that as the economy shows a bit more steam, no huge jump in
consumer prices is likely. However, should inflation drift notably higher,
this, in turn, may push interest rates upward and lead the Federal Reserve
Board to officially hike rates again either at their August 19th or September
30th meeting. While such a hike would, as usual, temporarily depress the
equities markets, we expect favorable fundamentals to result in an ongoing
positive trend for stocks over the longer term. Thus, we believe there is
still great opportunity for capital appreciation through equities.
As always, we appreciate your ongoing support of the American
AAdvantage S&P 500 Index Fund, and we look forward to continuing to serve your
investment needs for many years to come.
Sincerely,
/s/ William F. Quinn
---------------------------
William F. Quinn
President
American AAdvantage Funds
* 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.
<PAGE> 4
===============================================================================
American AAdvantage S&P 500 Index Fund
STATEMENT OF ASSETS AND LIABILITIES June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in the BT Equity 500 Index Portfolio, at Value ............. $2,737,617
Receivable for Shares of Beneficial Interest Subscribed ............... 94,711
Receivable for Expense Reimbursement (Note 2).......................... 9,407
Deferred Organization Costs ........................................... 19,107
----------
Total Assets .............................................................. 2,860,842
----------
LIABILITIES
Accrued Organization Costs ............................................ 20,589
Administrative Service Fees Payable (Note 2) .......................... 290
Other Liabilities ..................................................... 8,330
----------
Total Liabilities ......................................................... 29,209
----------
NET ASSETS ................................................................ $2,831,633
==========
SHARES OUTSTANDING (no par value) ......................................... 235,374
==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .................. $ 12.03
==========
COMPOSITION OF NET ASSETS
Paid-in Capital ....................................................... $2,559,740
Undistributed Net Investment Income ................................... 8,524
Accumulated Net Realized Gain from Investments and Futures
Transactions....................................................... 42,648
Net Unrealized Appreciation on Investments and Futures Contracts ...... 220,721
----------
NET ASSETS ................................................................ $2,831,633
==========
</TABLE>
===============================================================================
STATEMENT OF OPERATIONS For the six months ended June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from the BT Equity 500 Index Portfolio, net ............. $ 10,993
--------
EXPENSES
Administrative Service Fees .............................................. 290
Registration Fees ........................................................ 354
Professional Fees ........................................................ 2,171
Trustees Fees ............................................................ 41
Other Expenses ........................................................... 7,246
--------
Total Expenses ........................................................... 10,102
Less: Expenses Absorbed by AMR Investment Services, Inc. ................ (9,407)
--------
Net Expenses ........................................................ 695
--------
NET INVESTMENT INCOME ........................................................ 10,298
--------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ........................... 40,414
Net Realized Gain from Futures Transactions .............................. 2,234
Net Change in Unrealized Appreciation on Investments and Futures
Contracts............................................................. 220,721
--------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS ........ 263,369
--------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................................... $273,667
========
</TABLE>
See Notes to Financial Statements
<PAGE> 5
===============================================================================
American AAdvantage S&P 500 Index Fund
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED
JUNE 30, 1997+
----------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................................. $ 10,298
Net Realized Gain from Investments and Futures Transactions ....... 42,648
Net Change in Unrealized Appreciation on Investments and Futures
Contracts ..................................................... 220,721
-----------
Net Increase in Net Assets from Operations ............................ 273,667
-----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................................. (1,774)
Net Realized Gain from Investments and Futures Transactions ....... --
-----------
Total Distributions ................................................... (1,774)
-----------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ..................................... 2,571,508
Dividend Reinvestments ............................................ 1,774
Cost of Shares Redeemed ........................................... (14,542)
-----------
Net Increase from Capital Transactions in Shares of Beneficial Interest 2,558,740
-----------
TOTAL INCREASE IN NET ASSETS .......................................... 2,830,633
NET ASSETS
Beginning of Period ................................................... 1,000
-----------
End of Period (including undistributed net investment income of $8,524) $ 2,831,633
===========
</TABLE>
- -----------------------------
* Unaudited
See Notes to Financial Statements
<PAGE> 6
===============================================================================
American AAdvantage S&P 500 Index Fund
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the
American AAdvantage S&P 500 Index Fund.
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED
JUNE 30, 1997+
-------------------
<S> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ....................................... $ 10.00
---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .................................................. 0.06
Net Realized and Unrealized Gain on Investments and Futures
Transactions...................................................... 1.99
---------
Total from Investment Operations ........................................... 2.05
---------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .................................................. (0.02)
Net Realized Gain from Investments and Futures Transactions ............ --
---------
Total Distributions .................................................... (0.02)
---------
NET ASSET VALUE, END OF PERIOD ............................................. $ 12.03
=========
TOTAL INVESTMENT RETURN .................................................... 20.50%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ............................... $ 2,832
Ratios to Average Net Assets:
Net Investment Income ........................................... 1.77% *
Expenses, including expenses of the BT Equity 500 Index
Portfolio.................................................... 0.22% *
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by AMR Investment Services, Inc. .. 1.62% *
</TABLE>
- ---------------
+ Unaudited
** Annualized
See Notes to Financial Statements
<PAGE> 7
===============================================================================
American AAdvantage S&P 500 Index Fund
NOTES TO FINANCIAL STATEMENTS (unaudited)
- -------------------------------------------------------------------------------
NOTE 1-ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
American AAdvantage Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940 (the
"Act"), as amended, as a no load, open-end management investment company. The
American AAdvantage S&P 500 Index Fund (the "Fund") is one of the nine funds
offered under the Trust and commenced active operations on December 31, 1996.
The Fund invests all of its investable assets in the BT Equity 500 Index
Portfolio (the "Portfolio"). The Portfolio is an open-end management investment
company registered under the Act. The value of such investment in the Portfolio
reflects the Fund's proportionate interest in the net assets of the Portfolio.
At June 30, 1997, the Fund's investment was 0.11% of the Portfolio.
These financial statements relate to the Fund. The financial statements of the
Portfolio are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary of
AMR Corporation, the parent company of American Airlines, Inc. ("American"),
and was organized in 1986 to provide business management, advisory,
administrative and asset management consulting services to the Trust and other
investors.
B. Valuation of Investments
Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. Investment Income
The Fund records its share of net investment income and realized and unrealized
gain (loss) in the Portfolio each day. All net investment income and realized
and unrealized gain (loss) of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. Dividends
Dividends from net investment income of the Fund normally will be declared and
paid quarterly. Distributions of net realized capital gains, if any, will be
paid annually.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
E. Federal Income and Excise Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment company and to distribute substantially
all net investment income as well as any net realized capital gains on the sale
of investments. Therefore, no federal income or excise tax provision is
required.
F. Deferred Organization Expenses
Expenses incurred by the Fund in connection with its organization are being
amortized on a straight-line basis over a five-year period.
G. Expenses
Expenses directly attributable to the Fund are charged to the Fund's
operations. Expenses incurred by the Trust with respect to any two of more of
the Funds are allocated in proportion to the net assets of each Fund, except
where allocations of direct expenses to each Fund can otherwise be made fairly.
Each share of each Fund bears equally those expenses that are allocated to the
Fund as a whole.
H. Valuation of Shares
The price per share is calculated on each day on which shares are offered for
sale and orders accepted or upon receipt of a redemption request. Net asset
value per share is computed by dividing the value of the Fund's total assets
(which includes the value of the Fund's investment in the Portfolio), less
liabilities, by the number of Fund shares outstanding.
NOTE 2-FEES AND TRANSACTIONS WITH AFFILIATES
A. Management Agreement
The Manager and the Trust entered into an Administrative Service Agreement
which obligates the Manager to provide or oversee administrative and management
services to the Fund. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager receives an annualized fee
of .05% of the Fund's average daily net assets.
B. Other
Certain officers or trustees of the Trust are also officers of the Manager or
American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an
amount equal to the Trustee's income tax on the value of this free airline
travel.
For the six months ended June 30, 1997, the cost of air transportation was not
material to any of the Funds. At June 30, 1997, the Employee Retirement Plan of
The Sabre Group, subsidiary of AMR Corporation, owned 100% of the Fund.
<PAGE> 8
===============================================================================
American AAdvantage S&P 500 Index Fund
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- -------------------------------------------------------------------------------
C. Reimbursement of Expenses
For the six months ended June 30, 1997, the Manager reimbursed expenses
totaling $9,407 to the Fund.
NOTE 3-SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
For the six months
ended
June 30, 1997
-------------
Shares Amount
---------- ------------
<S> <C> <C>
Sold ........................ 236,380 $ 2,571,508
Reinvested .................. 173 1,774
Redeemed .................... (1,279) (14,542)
======== ===========
Net increase ................ 235,274 $ 2,558,740
======== ===========
</TABLE>
<PAGE> 9
===============================================================================
Equity 500 Index Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMMON STOCK - 98.92%
AEROSPACE - 1.86%
262,188 Boeing Co........................................ $ 13,912,351
26,222 General Dynamics Corp............................ 1,966,650
70,145 Lockheed Martin Corp............................. 7,264,392
75,976 McDonnell Douglas Corp........................... 5,204,356
21,079 Northrop Grumman Corp............................ 1,851,000
89,614 Raytheon Co...................................... 4,570,314
73,524 Rockwell International Corp...................... 4,337,916
86,112 United Technologies Corp......................... 7,147,296
-------------
46,254,275
-------------
AIRLINES - 0.30%
32,602 AMR Corp. (a).................................... 3,015,685
28,949 Delta Air Lines, Inc............................. 2,373,818
47,100 Southwest Airlines Co............................ 1,218,713
22,215 U.S. Airways Group Inc. (a)...................... 777,525
-------------
7,385,741
-------------
APPAREL, TEXTILES - 0.59%
17,703 Charming Shoppes, Inc. (a)....................... 92,388
83,414 Corning Inc...................................... 4,639,904
27,000 Fruit of the Loom, Inc. Cl. A (a)................ 837,000
26,503 Liz Claiborne, Inc............................... 1,235,702
71,648 Nike, Inc. Cl. B................................. 4,182,452
19,929 Reebok International Ltd. (a).................... 931,681
7,711 Russell Corp..................................... 228,438
8,004 Springs Industries, Inc. Cl. A................... 422,211
6,549 Stride Rite Corp................................. 84,318
23,515 V.F. Corp........................................ 2,001,714
-------------
14,655,808
-------------
AUTO RELATED - 2.10%
61,800 AutoZone, Inc. (a)............................... 1,456,162
257,402 Chrysler Corp.................................... 8,446,003
13,034 Cummins Engine Co., Inc.......................... 919,712
31,274 Dana Corp........................................ 1,188,412
28,982 Eaton Corp....................................... 2,530,491
22,344 Echlin, Inc...................................... 804,384
407,064 Ford Motor Co.................................... 15,366,666
270,784 General Motors Corp.............................. 15,079,284
65,426 Genuine Parts Co................................. 2,216,306
32,580 PACCAR Inc....................................... 1,512,934
31,043 Parker Hannifin Corp............................. 1,883,922
26,496 Timken Co........................................ 942,264
-------------
52,346,540
-------------
BANKS - 7.06%
42,834 Ahmanson (H.F.) & Co............................. 1,841,862
200,634 Banc One Corp.................................... 9,718,209
147,100 Bank of New York Company, Inc.................... 6,398,850
261,572 BankAmerica Corp................................. 16,887,742
55,867 BankBoston Corp.................................. 4,025,916
75,894 Barnett Banks, Inc............................... 3,984,435
154,852 Chase Manhattan Corp............................. 15,030,322
166,966 Citicorp......................................... 20,129,838
42,700 Comerica, Inc.................................... 2,903,600
83,564 CoreStates Financial Corp........................ 4,491,565
39,600 Fifth Third Bancorp.............................. 3,249,675
117,736 First Chicago NBD Corp........................... 7,123,028
101,750 First Union Corp................................. 9,411,875
16,517 Golden West Financial Corp....................... 1,156,190
49,984 Great Western Financial Corp..................... 2,686,640
86,800 KeyCorp.......................................... 4,849,950
100,524 Mellon Bank Corp................................. 4,536,145
65,360 Morgan (J.P.) & Company., Inc.................... 6,821,950
84,600 National City Corp............................... 4,441,500
261,404 NationsBank Corp................................. 16,860,558
135,308 Norwest Corp..................................... 7,611,075
19,000 Republic New York Corp........................... 2,042,500
74,060 SunTrust Banks, Inc.............................. 4,077,929
53,588 U.S. Bancorp..................................... 3,436,331
56,100 Wachovia Corp.................................... 3,271,331
32,970 Wells Fargo & Co................................. 8,885,415
-------------
175,874,431
-------------
BEVERAGES - 3.87%
185,080 Anheuser-Busch Companies., Inc................... 7,761,793
10,319 Brown-Forman, Inc. Cl. B......................... 503,696
906,422 Coca-Cola Co..................................... 61,183,485
12,068 Coors (Adolph), Inc. Cl. B....................... 321,311
560,494 PepsiCo, Inc..................................... 21,053,556
138,537 Seagram Ltd...................................... 5,576,114
-------------
96,399,954
-------------
BUILDING AND CONSTRUCTION - 0.76%
14,083 Armstrong World Industries, Inc.................. 1,033,340
7,290 Centex Corp...................................... 296,156
10,366 Crane Co......................................... 433,428
9,306 Fleetwood Enterprises, Inc....................... 277,435
176,751 Home Depot, Inc.................................. 12,184,772
63,711 Masco Corp....................................... 2,659,934
13,650 Owens Corning.................................... 588,656
35,230 Stanley Works.................................... 1,409,200
-------------
18,882,921
-------------
BUILDING, FOREST PRODUCTS - 0.46%
20,303 Boise Cascade Corp............................... 716,950
34,728 Champion International Corp...................... 1,918,722
33,201 Georgia-Pacific Corp............................. 2,834,535
24,554 Johnson Controls, Inc............................ 1,008,249
2,245 Kaufman & Broad Home Corp........................ 39,428
37,458 Louisiana-Pacific Corp........................... 791,300
4,801 Potlatch Corp.................................... 217,245
73,794 Weyerhaeuser Co.................................. 3,837,288
-------------
11,363,717
-------------
CHEMICALS AND TOXIC WASTE - 2.95%
40,304 Air Products & Chemical, Inc..................... 3,274,700
99,340 Amgen, Inc. (a).................................. 5,774,137
85,176 Dow Chemical Co.................................. 7,420,959
410,292 Du Pont (E.I.) de Nemours & Co................... 25,797,109
33,081 Eastman Chemical Co.............................. 2,100,643
9,950 FMC Corp. (a).................................... 790,403
26,349 Grace (W.R.) & Co................................ 1,452,489
24,296 Great Lakes Chemical Corp........................ 1,272,503
36,514 Hercules, Inc.................................... 1,748,108
29,702 Mallinckrodt, Inc................................ 1,128,676
215,020 Monsanto Co...................................... 9,259,299
50,906 Morton International, Inc........................ 1,536,725
17,825 Nalco Chemical Co................................ 688,491
65,842 PPG Industries, Inc.............................. 3,827,066
18,238 Raychem Corp..................................... 1,356,451
25,359 Rohm & Haas Co................................... 2,283,895
43,500 Sigma-Aldrich Corp............................... 1,525,219
50,317 Union Carbide Corp............................... 2,368,044
-------------
73,604,917
-------------
</TABLE>
See Notes to Financial Statements
<PAGE> 10
===============================================================================
Equity 500 Index Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMPUTER SERVICES - 1.24%
121,200 3Com Corp. (a)................................... $ 5,454,000
28,800 Adobe Systems, Inc............................... 1,009,800
106,512 Automatic Data Processing, Inc................... 5,006,064
56,600 Cabletron Systems, Inc. (a)...................... 1,602,487
148,850 CUC International, Inc. (a)...................... 3,842,191
61,100 Dell Computer Corp. (a).......................... 7,175,431
90,900 EMC Corp. (a).................................... 3,545,100
51,100 Parametric Technology Co. (a).................... 2,174,944
65,315 Silicon Graphics, Inc. (a)....................... 979,725
-------------
30,789,742
-------------
COMPUTER SOFTWARE - 3.77%
243,200 Cisco Systems, Inc. (a).......................... 16,324,800
130,850 Computer Associates International, Inc........... 7,286,709
435,500 Microsoft Corp. (a).............................. 55,036,312
241,404 Oracle Corp. (a)................................. 12,160,727
93,300 Seagate Technology, Inc. (a)..................... 3,282,994
-------------
94,091,542
-------------
CONTAINERS - 0.25%
38,730 Avery Dennison Corp.............................. 1,554,041
3,054 Ball Corp........................................ 91,811
51,850 Crown Cork & Seal Company, Inc................... 2,770,734
43,649 Stone Container Corp. (a)........................ 624,726
23,522 Temple-Inland, Inc............................... 1,270,188
-------------
6,311,500
-------------
COSMETICS AND TOILETRIES - 1.01%
3,098 Alberto-Culver Co. Cl. B......................... 86,744
53,128 Avon Products, Inc............................... 3,748,844
202,808 Gillette Co...................................... 19,216,058
43,587 International Flavors & Fragrances, Inc.......... 2,201,143
-------------
25,252,789
-------------
DIVERSIFIED - 1.44%
54,869 Allegheny Teledyne, Inc.......................... 1,481,463
27,602 Ceridian Corp. (a)............................... 1,166,184
48,500 First Bank System, Inc........................... 4,140,688
42,200 Loews Corp....................................... 4,225,275
151,278 Minnesota Mining & Manufacturing Co.............. 15,430,356
3,927 NACCO Industries, Inc. Cl. A..................... 221,630
52,564 Pall Corp........................................ 1,222,113
56,315 Praxair, Inc..................................... 3,153,640
24,020 SUPERVALU, Inc................................... 828,690
59,606 Textron, Inc..................................... 3,956,348
-------------
35,826,387
-------------
DRUGS - 6.74%
233,966 American Home Products Corp...................... 17,898,399
363,478 Bristol-Myers Squibb Co.......................... 29,441,718
203,070 Lilly (Eli) & Co................................. 22,198,089
438,697 Merck & Company, Inc............................. 45,405,139
234,604 Pfizer, Inc...................................... 28,035,178
267,616 Schering-Plough Corp............................. 12,812,116
98,586 Warner-Lambert Co................................ 12,249,311
-------------
168,039,950
-------------
ELECTRICAL EQUIPMENT - 4.61%
1,187,244 General Electric Co.............................. 77,616,077
49,000 General Instrument Corp. (a)..................... 1,225,000
21,272 General Signal Corp.............................. 927,991
16,465 Grainger (W.W.), Inc............................. 1,287,357
370,740 Hewlett-Packard Co............................... 20,761,440
41,823 ITT Corp. (a).................................... 2,553,817
40,923 ITT Industries, Inc.............................. 1,053,767
61,132 Tyco International Ltd........................... 4,252,495
226,310 Westinghouse Electric Corp....................... 5,233,419
-------------
114,911,363
-------------
ELECTRONICS - 4.65%
53,641 Advanced Micro Devices, Inc. (a)................. 1,931,076
6,027 Aeroquip-Vickers, Inc............................ 284,776
102,406 AlliedSignal, Inc................................ 8,602,104
87,473 AMP, Inc......................................... 3,651,998
68,400 Applied Materials, Inc. (a)...................... 4,843,575
158,900 Emerson Electric Co.............................. 8,749,431
14,471 Harris Corp...................................... 1,215,564
298,014 Intel Corp....................................... 42,262,110
52,500 LSI Logic Corp. (a).............................. 1,680,000
79,600 Micron Technology, Inc. (a)...................... 3,179,025
215,842 Motorola, Inc.................................... 16,403,992
54,426 National Semiconductor Corp. (a)................. 1,666,796
97,401 Northern Telecom Ltd............................. 8,863,491
17,325 Perkin-Elmer Corp................................ 1,378,420
18,638 Scientific-Atlanta, Inc.......................... 407,706
8,438 Tektronix, Inc................................... 506,280
69,528 Texas Instruments, Inc........................... 5,844,698
58,600 Thermo Electron Corp. (a)........................ 1,992,400
18,900 Thomas & Betts Corp.............................. 993,431
19,559 Western Atlas, Inc. (a).......................... 1,432,697
-------------
115,889,570
-------------
ENVIRONMENTAL CONTROL - 0.38%
80,535 Browning-Ferris Industries, Inc.................. 2,677,789
82,500 Laidlaw, Inc. Cl. B.............................. 1,139,531
7,526 Safety-Kleen Corp................................ 127,001
170,358 Waste Management, Inc............................ 5,472,751
-------------
9,417,072
-------------
FINANCIAL SERVICES - 4.45%
172,566 American Express Co.............................. 12,856,167
19,552 Beneficial Corp.................................. 1,389,414
60,300 Charles Schwab Corp.............................. 2,453,456
32,100 Countrywide Credit Industries.................... 1,001,119
52,000 Equifax.......................................... 1,933,750
387,964 Federal National Mortgage Assn................... 16,924,929
251,524 Federal Home Loan Mortgage Corp.................. 8,646,137
163,000 First Data Corp.................................. 7,161,813
94,844 Fleet Financial Group, Inc....................... 5,998,883
54,900 Green Tree Financial Corp........................ 1,955,813
42,823 Hartford Financial Services Group................ 3,543,603
35,358 Household International, Inc..................... 4,152,355
121,417 MBNA Corp........................................ 4,446,898
120,076 Merrill Lynch & Co., Inc......................... 7,159,532
209,393 Morgan Stanley, Dean Witter, Discovery & Co...... 9,016,986
121,233 PNC Bank Corp.................................... 5,046,324
43,633 Salomon, Inc..................................... 2,427,086
233,012 Travelers Group, Inc............................. 14,694,319
-------------
110,808,584
-------------
FOOD SERVICES/LODGING - 0.56%
48,919 Darden Restaurants, Inc.......................... 443,328
251,514 McDonald's Corp.................................. 12,151,270
50,462 Wendy's International, Inc....................... 1,308,858
-------------
13,903,456
-------------
</TABLE>
See Notes to Financial Statements
<PAGE> 11
===============================================================================
Equity 500 Index Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
FOODS - 3.04%
202,902 Archer-Daniels-Midland Co........................ $ 4,768,197
168,054 Campbell Soup Co................................. 8,402,700
87,616 ConAgra, Inc..................................... 5,618,376
53,330 CPC International, Inc........................... 4,923,026
56,719 General Mills, Inc............................... 3,693,825
133,575 Heinz (H.J.) Co.................................. 6,161,147
44,394 Hershey Foods Corp............................... 2,455,543
74,207 Kellogg Co....................................... 6,353,974
26,400 Pioneer Hi-Bred International, Inc............... 2,112,000
49,584 Quaker Oats Co................................... 2,225,082
35,105 Ralston-Purina Group............................. 2,885,192
174,587 Sara Lee Corp.................................... 7,267,184
72,110 Sysco Corp....................................... 2,632,015
59,817 Unilever N.V. ADR................................ 13,040,106
28,327 Whitman Corp..................................... 717,027
37,292 Wrigley (WM) Jr. Co.............................. 2,498,564
-------------
75,753,958
-------------
FOREST PRODUCTS AND PAPER - 0.05%
16,800 Willamette Industries, Inc....................... 1,176,000
HEALTHCARE - 1.12%
281,122 Abbott Laboratories.............................. 18,764,894
235,022 Columbia/HCA Healthcare Corp..................... 9,239,302
-------------
28,004,196
-------------
HOSPITAL SUPPLIES AND HEALTHCARE - 2.99%
24,601 Allergan, Inc.................................... 782,619
32,734 Alza Corp. (a)................................... 949,286
25,777 Bard (C.R.), Inc................................. 936,027
23,723 Bausch & Lomb, Inc............................... 1,117,946
97,063 Baxter International Inc......................... 5,071,542
44,332 Becton, Dickinson & Co........................... 2,244,307
21,282 Beverly Enterprises (a).......................... 345,833
49,750 Biomet, Inc...................................... 926,594
73,700 Boston Scientific Corp. (a)...................... 4,527,944
39,400 Cardinal Health, Inc............................. 2,255,650
26,900 Guidant Corp..................................... 2,286,500
119,100 HEALTHSOUTH Corp. (a)............................ 2,970,056
56,600 Humana, Inc. (a)................................. 1,308,875
484,096 Johnson & Johnson................................ 31,163,680
19,160 Manor Care, Inc.................................. 625,095
87,052 Medtronic, Inc................................... 7,051,212
10,574 Shared Medical Systems Corp...................... 570,996
32,119 St. Jude Medical, Inc. (a)....................... 1,252,641
116,010 Tenet Healthcare Corp. (a)....................... 3,429,546
71,100 United Healthcare Corp........................... 3,697,200
25,048 U.S. Surgical Corp............................... 933,038
-------------
74,446,587
-------------
HOTEL/MOTEL - 0.34%
58,200 HFS, Inc. (a).................................... 3,375,600
87,841 Hilton Hotels Corp............................... 2,333,277
45,990 Marriott International, Inc...................... 2,822,636
-------------
8,531,513
-------------
HOUSEHOLD FURNISHINGS - 0.18%
26,912 Maytag Corp...................................... 703,076
57,858 Newell Co........................................ 2,292,623
28,739 Whirlpool Corp................................... 1,568,072
-------------
4,563,771
-------------
HOUSHOLD PRODUCTS - 1.88%
18,752 Clorox Co........................................ 2,475,264
106,702 Colgate-Palmolive Co............................. 6,962,305
246,170 Procter & Gamble Co.............................. 34,771,513
54,502 Rubbermaid, Inc.................................. 1,621,435
26,596 Tupperware Corp.................................. 970,754
-------------
46,801,271
-------------
INSURANCE - 3.63%
55,759 Aetna, Inc....................................... 5,708,328
158,150 Allstate Corp.................................... 11,544,950
91,751 American General Corp............................ 4,381,110
170,567 American International Group, Inc................ 25,478,446
56,350 Aon Corp......................................... 2,916,112
61,872 Chubb Corp....................................... 4,137,690
27,033 CIGNA Corp....................................... 4,798,357
72,100 Conseco, Inc..................................... 2,667,700
31,278 General Re Corp.................................. 5,692,596
20,577 Jefferson-Pilot Corp............................. 1,437,818
34,410 Lincoln National Corp............................ 2,215,144
60,124 Marsh & McLennan Companies., Inc................. 4,291,350
18,200 MBIA, Inc........................................ 2,053,187
45,800 MGIC Investment Corp............................. 2,195,538
39,898 Providian Financial.............................. 1,281,723
49,502 Safeco Corp...................................... 2,311,125
33,030 St. Paul Companies, Inc.......................... 2,518,538
28,434 Torchmark Corp................................... 2,025,923
50,700 UNUM Corp........................................ 2,129,400
31,717 USF&G Corp....................................... 761,208
-------------
90,546,243
-------------
LEISURE RELATED - 1.15%
25,714 American Greetings Corp.......................... 954,632
26,742 Brunswick Corp................................... 835,688
247,357 Disney (Walt) Co................................. 19,850,399
19,839 Harcourt General, Inc............................ 944,832
38,615 Harrah's Entertainment, Inc. (a)................. 704,724
52,387 Hasbro, Inc...................................... 1,486,481
6,139 Jostens, Inc..................................... 164,218
112,465 Mattel, Inc...................................... 3,809,752
-------------
28,750,726
-------------
MACHINERY - 1.48%
35,771 Black & Decker Corp.............................. 1,330,234
13,082 Briggs & Stratton Corp........................... 654,100
29,500 Case Corp........................................ 2,031,812
69,282 Caterpillar Inc.................................. 7,439,155
8,147 Cincinnati Milacron, Inc......................... 211,313
42,948 Cooper Industries, Inc........................... 2,136,663
93,123 Deere & Co....................................... 5,110,125
40,904 Dover Corp....................................... 2,515,596
68,382 Dresser Industries, Inc.......................... 2,547,230
31,430 Echo Bay Mines Ltd. (a).......................... 180,723
15,647 Giddings & Lewis, Inc............................ 326,631
20,722 Harnischfeger Industries, Inc.................... 859,963
94,192 Illinois Tool Works, Inc......................... 4,703,713
44,331 Ingersoll-Rand Co................................ 2,737,439
20,392 Millipore Corp................................... 897,248
11,758 Navistar International Corp. (a)................. 202,826
15,494 Snap-On, Inc..................................... 610,076
41,872 TRW Inc.......................................... 2,378,853
-------------
36,873,700
-------------
</TABLE>
See Notes to Financial Statements
<PAGE> 12
===============================================================================
Equity 500 Index Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
METALS - 1.21%
79,836 Alcan Aluminum Ltd............................... $ 2,769,311
68,400 Aluminum Company of America...................... 5,155,650
68,935 Armco, Inc. (a).................................. 267,123
17,349 Asarco, Inc...................................... 531,313
149,400 Barrick Gold Corp................................ 3,286,800
48,600 Battle Mountain Gold Co.......................... 276,413
44,249 Bethlehem Steel Corp. (a)........................ 461,849
31,994 Cyprus Amax Minerals Co.......................... 783,853
43,808 Engelhard Corp................................... 917,230
33,500 Freeport-McMoRan Copper & Gold, Inc. Cl. B....... 1,042,688
69,743 Homestake Mining Co.............................. 911,018
62,966 Inco Ltd......................................... 1,892,915
18,203 Inland Steel Industries, Inc..................... 475,553
57,710 Newmont Mining Corp.............................. 2,250,690
35,494 Nucor Corp....................................... 2,005,411
25,108 Phelps Dodge Corp................................ 2,138,888
98,104 Placer Dome, Inc................................. 1,606,453
25,549 Reynolds Metals Co............................... 1,820,366
33,077 USX-U.S. Steel Group, Inc........................ 1,159,762
22,279 Worthington Industries, Inc...................... 407,984
-------------
30,161,270
-------------
MISCELLANEOUS - 0.10%
1 ACNielsen Corp. (a).............................. 20
60,879 Cognizant Corp................................... 2,465,599
-------------
2,465,619
-------------
OFFICE EQUIPMENT AND COMPUTERS - 2.99%
35,857 Amdahl Corp. (a)................................. 313,749
50,442 Apple Computer, Inc. (a)......................... 718,798
20,214 Autodesk, Inc.................................... 774,449
99,613 Compaq Computer Corp. (a)........................ 9,886,590
27,186 Computer Sciences Corp. (a)...................... 1,960,790
20,545 Data General Corp. (a)........................... 534,170
61,432 Digital Equipment Corp. (a)...................... 2,176,996
46,219 Honeywell, Inc................................... 3,506,867
55,462 Ikon Office Solutions, Inc....................... 1,383,084
9,046 Intergraph Corp. (a)............................. 76,891
363,182 IBM Corp......................................... 32,754,477
24,179 Moore Corp. Ltd.................................. 476,024
130,292 Novell, Inc. (a)................................. 903,901
52,798 Pitney Bowes, Inc................................ 3,669,461
134,056 Sun Microsystems, Inc. (a)....................... 4,989,397
31,960 Tandem Computers, Inc. (a)....................... 647,190
61,699 Unisys Corp. (a)................................. 470,455
117,635 Xerox Corp....................................... 9,278,460
-------------
74,521,749
-------------
OIL RELATED - 9.00%
34,793 Amerada Hess Corp................................ 1,933,186
181,102 Amoco Corp....................................... 15,744,555
20,687 Ashland Inc...................................... 959,360
117,050 Atlantic Richfield Co............................ 8,252,025
52,644 Baker Hughes, Inc................................ 2,036,665
45,800 Burlington Resources, Inc........................ 2,020,925
237,466 Chevron Corp..................................... 17,557,642
902,514 Exxon Corp....................................... 55,504,611
31,181 Fluor Corp....................................... 1,720,801
18,138 Foster Wheeler Corp.............................. 734,589
47,490 Halliburton Co................................... 3,763,582
10,708 Helmerich & Payne, Inc........................... 617,048
17,432 Kerr-McGee Corp.................................. 1,104,753
10,762 Louisiana Land & Exploration Co.................. 614,779
26,387 McDermott International, Inc..................... 770,171
286,742 Mobil Corp....................................... 20,036,097
52,228 NorAm Energy Corp................................ 796,477
119,014 Occidental Petroleum Corp........................ 2,982,788
27,779 Oryx Energy Co. (a).............................. 586,831
18,454 Pennzoil Co...................................... 1,416,344
95,806 Phillips Petroleum Co............................ 4,191,513
32,700 Rowan Companies, Inc. (a)........................ 921,731
782,404 Royal Dutch Petroleum Co......................... 42,543,218
20,969 Santa Fe Energy Resources, Inc. (a).............. 307,982
89,181 Schlumberger Ltd................................. 11,147,625
26,545 Sun Co, Inc...................................... 822,895
64,634 Tenneco, Inc..................................... 2,920,649
99,661 Texaco, Inc...................................... 10,838,134
91,148 Union Pacific Resources Group Inc................ 2,267,307
90,737 Unocal Corp...................................... 3,521,730
104,564 USX-Marathon Group............................... 3,019,286
61,918 Williams Companies, Inc.......................... 2,708,913
-------------
224,364,212
-------------
PAPER - 0.84%
12,631 Bemis Company, Inc............................... 546,291
110,744 International Paper Co........................... 5,378,005
36,835 James River Corp................................. 1,362,895
203,430 Kimberly-Clark Corp.............................. 10,120,643
23,051 Mead Corp........................................ 1,434,925
27,303 Union Camp Corp.................................. 1,365,150
27,360 Westvaco Corp.................................... 860,130
-------------
21,068,039
-------------
PHARMACEUTICALS - 0.27%
191,632 Pharmacia & Upjohn, Inc.......................... 6,659,212
PHOTOGRAPHY AND OPTICAL - 0.41%
119,526 Eastman Kodak Co................................. 9,173,621
17,582 Polaroid Corp.................................... 975,801
-------------
10,149,422
-------------
PRINTING AND PUBLISHING - 1.20%
32,991 Deluxe Corp...................................... 1,125,818
56,252 Donnelley (R.R.) & Sons Co....................... 2,060,230
26,972 Dow Jones & Co, Inc.............................. 1,083,937
62,179 Dun & Bradstreet Corp............................ 1,632,199
50,496 Gannett Co., Inc................................. 4,986,480
3,604 Harland (John H.) Co............................. 82,216
36,626 Knight-Ridder, Inc............................... 1,796,963
40,030 McGraw-Hill Companies, Inc....................... 2,354,264
9,072 Meredith Corp.................................... 263,088
33,184 New York Times Co. Cl. A......................... 1,642,608
185,015 Time Warner, Inc................................. 8,926,974
26,929 Times Mirror Co. Cl. A........................... 1,487,827
51,096 Tribune Co....................................... 2,455,802
-------------
29,898,406
-------------
PROFESSIONAL SERVICES - 0.41%
36,835 Block (H&R), Inc................................. 1,187,929
16,700 Ecolab, Inc...................................... 797,425
8,925 EG&G, Inc........................................ 200,813
26,307 Interpublic Group of Companies, Inc.............. 1,612,948
22,226 National Service Industries...................... 1,082,128
92,892 Service Corporation International................ 3,053,825
24,543 Transamerica Corp................................ 2,296,304
-------------
10,231,372
-------------
</TABLE>
See Notes to Financial Statements
<PAGE> 13
===============================================================================
Equity 500 Index Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
RAILROADS - 0.83%
58,262 Burlington Northern Santa Fe Corp................ $ 5,236,297
83,632 CSX Corp......................................... 4,641,576
43,851 Norfolk Southern Corp............................ 4,417,988
89,747 Union Pacific Corp............................... 6,327,164
-------------
20,623,025
-------------
REAL ESTATE - 0.02%
11,166 Pulte Corp....................................... 385,925
RETAIL - 4.07%
94,302 Albertson's, Inc................................. 3,442,023
57,818 American Stores Co............................... 2,854,764
36,146 Circuit City Stores, Inc......................... 1,285,442
82,799 Costco Companies, Inc. (a)....................... 2,722,017
60,519 CVS Corp......................................... 3,101,599
79,108 Dayton Hudson Corp............................... 4,207,557
41,997 Dillard's Department Stores, Inc. Cl. A.......... 1,454,146
77,200 Federated Department Stores, Inc. (a)............ 2,682,700
6,779 Fleming Companies, Inc........................... 122,022
97,914 Gap, Inc......................................... 3,806,407
18,693 Giant Food, Inc.................................. 609,859
8,825 Great Atlantic & Pacific Tea Co., Inc............ 239,930
183,303 Kmart Corp. (a).................................. 2,245,462
92,320 Kroger Co. (a)................................... 2,677,280
101,247 Limited, Inc..................................... 2,050,252
11,926 Longs Drug Stores, Inc........................... 312,312
63,994 Lowe's Companies, Inc............................ 2,375,777
84,498 May Department Stores Co......................... 3,992,530
8,830 Mercantile Stores Company, Inc................... 555,738
32,029 Nordstrom, Inc................................... 1,571,423
90,050 Penney (J.C.) Company, Inc....................... 4,699,484
17,012 Pep Boys-Manny, Moe & Jack....................... 579,471
45,401 Rite Aid Corp.................................... 2,264,375
139,609 Sears, Roebuck & Co.............................. 7,503,984
64,574 Sherwin-Williams Co.............................. 1,993,722
24,383 Tandy Corp....................................... 1,365,448
64,908 TJX Companies, Inc............................... 1,711,948
105,118 Toys 'R' Us, Inc. (a)............................ 3,679,130
90,934 Walgreen Co...................................... 4,876,336
823,448 Wal-Mart Stores, Inc............................. 27,842,836
47,080 Winn-Dixie Stores, Inc........................... 1,753,730
39,522 Woolworth Corp. (a).............................. 948,528
-------------
101,528,232
-------------
TELECOMMUNICATIONS - 4.00%
1 360 Communications Co. (a)....................... 17
190,335 Airtouch Communications, Inc. (a)................ 5,210,421
59,900 Alltel Corp...................................... 2,002,906
198,952 Ameritech Corp................................... 13,516,301
34,576 Andrew Corp. (a)................................. 972,450
76,200 Bay Networks, Inc. (a)........................... 2,024,062
103,062 Comcast Corp. Cl. A.............................. 2,202,950
40,890 DSC Communications Corp. (a)..................... 909,802
61,800 Frontier Corp.................................... 1,232,138
347,036 GTE Corp......................................... 15,226,205
9,706 King World Productions, Inc...................... 339,710
232,541 Lucent Technologies, Inc......................... 16,757,486
248,020 MCI Communications Corp.......................... 9,494,516
159,300 NYNEX Corp....................................... 9,179,663
217,416 Tele-Communications, Inc. Cl. A (a).............. 3,234,063
65,600 Tellabs, Inc. (a)................................ 3,665,400
109,349 Viacom, Inc. Cl. B (a)........................... 3,280,470
324,500 WorldCom, Inc. (a)............................... 10,384,000
-------------
99,632,560
-------------
TIRE AND RUBBER - 0.21%
20,651 Cooper Tire & Rubber Co.......................... 454,322
23,352 Goodrich (B.F.) Co............................... 1,011,434
60,536 Goodyear Tire & Rubber Co........................ 3,832,686
-------------
5,298,442
-------------
TOBACCO - 1.74%
68,874 Fortune Brands, Inc.............................. 2,569,861
880,398 Philip Morris Companies, Inc..................... 39,067,661
66,707 UST, Inc......................................... 1,851,119
-------------
43,488,641
-------------
TRUCKING, SHIPPING - 0.17%
13,982 Caliber System, Inc.............................. 520,829
42,350 Federal Express Corp. (a)........................ 2,445,713
36,017 Ryder System, Inc................................ 1,188,561
-------------
4,155,103
-------------
UTILITIES - 6.54%
59,310 American Electric Power Co....................... 2,491,020
598,506 AT&T Corp........................................ 20,985,117
44,425 Baltimore Gas & Electric Co...................... 1,185,592
159,139 Bell Atlantic Corp............................... 12,074,672
362,232 BellSouth Corp................................... 16,798,509
45,928 Carolina Power & Light Co........................ 1,647,667
93,330 Central & South West Corp........................ 1,983,262
51,122 CINergy Corp..................................... 1,779,685
37,766 Coastal Corp..................................... 2,008,679
22,435 Columbia Gas System, Inc......................... 1,463,884
93,036 Consolidated Edison Company of New York, Inc..... 2,738,747
40,005 Consolidated Natural Gas Co...................... 2,152,769
69,206 Dominion Resources, Inc.......................... 2,534,670
45,076 DTE Energy Co.................................... 1,245,224
130,795 Duke Power Co.................................... 6,269,985
4,142 Eastern Enterprises.............................. 143,676
149,070 Edison International............................. 3,708,116
99,666 Enron Corp....................................... 4,067,619
17,124 ENSERCH Corp..................................... 381,009
100,207 Entergy Corp..................................... 2,743,167
63,294 FPL Group, Inc................................... 2,915,480
52,400 GPU, Inc......................................... 1,879,850
104,356 Houston Industries, Inc.......................... 2,237,132
42,042 Niagara Mohawk Power Corp. (a)................... 359,985
11,069 NICOR, Inc....................................... 397,100
17,544 Northern States Power Co......................... 907,902
63,984 Ohio Edison Co................................... 1,395,651
12,891 ONEOK, Inc....................................... 414,929
23,768 Pacific Enterprises.............................. 799,199
92,789 PacifiCorp....................................... 2,041,358
99,584 Peco Energy Co................................... 2,091,264
5,955 People's Energy Corp............................. 222,940
167,905 PG&E Corp........................................ 4,071,696
45,100 PP&L Resources, Inc.............................. 899,181
97,894 Public Service Enterprise Group, Inc............. 2,447,350
331,514 SBC Communications, Inc.......................... 20,512,429
35,010 Sonat, Inc....................................... 1,794,262
240,658 Southern Co...................................... 5,264,394
132,182 Sprint Corp...................................... 6,956,078
83,665 Texas Utilities Co............................... 2,881,213
</TABLE>
See Notes to Financial Statements
<PAGE> 14
===============================================================================
Equity 500 Index Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
89,125 Unicom Corp...................................... $ 1,983,031
29,320 Union Electric Co................................ 1,104,998
175,228 U.S. West, Inc. - Communications Group........... 6,603,905
223,428 U.S. West, Inc. - Media Group (a)................ 4,524,417
163,108,813
--------------
TOTAL COMMON STOCK (Cost $1,643,024,982) $2,465,198,267
--------------
SHORT TERM INSTRUMENTS - 1.05%
MUTUAL FUNDS - 0.83%
20,797,078 BT Institutional Cash Management Fund,
5.47%, 7/01/97................................ $ 20,797,078
--------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
U.S. TREASURY BILLS - 0.22%
395,000 5.18%, 7/03/97 (b)............................... $ 394,889
5,005,000 5.19%, 9/04/97 (b)............................... 4,959,274
--------------
5,354,163
--------------
TOTAL SHORT TERM INSTRUMENTS (Cost $26,152,152)........................ $ 26,151,241
--------------
TOTAL INVESTMENTS (Cost $1,669,177,134)....................... 99.97% $2,491,349,508
Other Assets Less Liabilities................................. 0.03% 858,533
-------- --------------
NET ASSETS.................................................... 100.00% $2,492,208,041
======== ==============
</TABLE>
- ----------------
(a) Non-income producing security.
(b) Held as collateral for futures contracts.
See Notes to Financial Statements
<PAGE> 15
================================================================================
Equity 500 Index Portfolio
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost of $1,669,177,134)......................... $2,491,349,508
Dividends and Interest Expense Receivable.............................. 3,126,038
Prepaid Expenses....................................................... 3,492
--------------
Total Assets .............................................................. 2,494,479,038
--------------
LIABILITIES
Due to Bankers Trust................................................... 163,648
Due to Custodian....................................................... 1,393
Payable for Securities Purchased....................................... 1,893,566
Variation Margin Payable............................................... 199,395
Accrued Expenses and Other............................................. 12,995
--------------
Total Liabilities ......................................................... 2,270,997
--------------
NET ASSETS ................................................................ $2,492,208,041
==============
COMPOSITION OF NET ASSETS
Paid-in Capital ....................................................... $1,670,361,742
Net Unrealized Appreciation of Investments............................. 822,172,374
Net Unrealized Appreciation on Investments and Futures Contracts ...... (326,075)
--------------
NET ASSETS ................................................................ $2,492,208,041
==============
</TABLE>
================================================================================
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $132,101)...................... $ 20,059,204
Interest.................................................................... 1,268,743
-------------
TOTAL INVESTMENT INCOME......................................................... 21,327,947
-------------
EXPENSES
Advisory Fees............................................................... 1,095,075
Administration and Service Fees ............................................ 547,538
Professional Fees .......................................................... 13,649
Trustees Fees .............................................................. 1,050
Miscellaneous............................................................... 2,494
-------------
Total Expenses ............................................................. 1,659,806
Less: Expenses Absorbed by Bankers Trust................................... (783,746)
-------------
Net Expenses .......................................................... 876,060
-------------
NET INVESTMENT INCOME .......................................................... 20,451,887
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ............................. 47,419,332
Net Realized Gain from Futures Transactions ................................ 3,030,532
Net Change in Unrealized Appreciation on Investments........................ 342,809,986
Net Change in Unrealized Depreciation on Futures Contracts.................. (208,875)
-------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS........... 393,050,975
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... $ 413,502,862
=============
</TABLE>
See Notes to Financial Statements
<PAGE> 16
================================================================================
Equity 500 Index Portfolio
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997+ DECEMBER 31, 1996
--------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .................................................... $ 20,451,887 $ 33,117,570
Net Realized Gain from Investments and Futures Transactions .............. 50,449,864 21,413,687
Net Change in Unrealized Appreciation on Investments and Futures Contracts 342,601,111 267,538,386
--------------- ---------------
Net Increase in Net Assets from Operations ................................... 413,502,862 322,069,643
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............................................ 660,209,657 854,711,041
Value of Capital Withdrawn................................................ (506,728,044) (332,293,144)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions.......................... 153,481,613 522,417,897
--------------- ---------------
TOTAL INCREASE IN NET ASSETS ................................................. 566,984,475 844,487,540
NET ASSETS
Beginning of Period .......................................................... 1,925,233,566 1,080,736,026
--------------- ---------------
End of Period ................................................................ $ 2,492,208,041 $ 1,925,233,566
=============== ===============
</TABLE>
================================================================================
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION> FOR THE YEAR ENDED
FOR THE DECEMBER 31,
SIX MONTHS ENDED ----------------------------
JUNE 30, 1997+ 1996 1997
-------------- ---- ----
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ..................................... $2,492,208 $1,925,244 $1,081,736
Ratios to Average Net Assets:
Net Investment Income .................................................... 1.87% * 2.20% 2.52%
Expenses.................................................................. 0.08% * 0.10% 0.10%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust............................ 0.07% * 0.05% 0.05%
Portfolio Turnover Rate....................................................... 6% 15% 6%
Average Commission Per Share**................................................ $ 0.025 $ 0.023
<CAPTION>
FOR THE YEAR ENDED
DECEMBER 31,
----------------------------
1994 1993
---- ----
<S> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ..................................... $ 559,772 $ 151,805
Ratios to Average Net Assets:
Net Investment Income .................................................... 2.84% 2.67%
Expenses.................................................................. 0.10% 0.10%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust............................ 0.06% 0.10%
Portfolio Turnover Rate....................................................... 21% 31%
Average Commission Per Share**................................................
</TABLE>
- ---------------
+ Unaudited
* Annualized
** For fiscal years beginning on or after September 1, 1995, a portfolio is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements
<PAGE> 17
===============================================================================
EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (unaudited)
- -------------------------------------------------------------------------------
NOTE 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 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
values. 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 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. Future 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.
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 affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Agreement with
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,
1997, this fee aggregated $547,538.
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, 1997,
this fee aggregated $1,095,075.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.08 of 1% of the
average daily net assets of the Portfolio. For the six months ended June 30,
1997, expenses of the Portfolio have been reduced by $738,746.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood Services, Inc. None of the trustees so affiliated
received compensation for services as trustees of the Portfolio. Similiary,
none of the Portfolio's officers received compensation from the Portfolio.
For the six months ended June 30, 1997, the Equity 500 Index Portfolio paid
brokerage commissions of $169,740.
NOTE 3 - PURCHASES AND SALES 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, 1997, were
$394,246,882 and $126,706,581, respectively. For federal income tax purposes,
the tax basis of investments held at June 30, 1997 was $1,680,085,503. The
aggregate gross unrealized appreciation was $828,647,371, and the aggregate
gross unrealized depreciation for all investments was $17,383,366 as of June
30, 1997.
NOTE 4 - FUTURE CONTRACTS
A summary of obligations under these financial instruments at June 30, 1997 is
as follows:
<TABLE>
<CAPTION>
MARKET UNREALIZED
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION VALUE DEPRECIATION
- --------------------- ---------- --------- -------- ----------- ------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index Futures Sept, 1997 52 Long $23,146,500 (326,075)
</TABLE>
At June 30, 1997, the Portfolio has segregated approximately $5,400,000 to
cover margin requirements on open futures contracts.
