Deutsche Asset Management
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Mutual Fund
Semi-Annual Report
June 30, 2000
Premier Class
EAFE(R) Equity Index
Formerly BT Advisor EAFE(R) Equity Index Fund
A Member of the
Deutsche Bank Group
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EAFE(R) Equity Index -- Premier Class
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS ............................ 3
EAFE(R) EQUITY INDEX -- PREMIER CLASS
Statement of Assets and Liabilities ............ 8
Statement of Operations ........................ 9
Statements of Changes in Net Assets ............ 10
Financial Highlights ........................... 11
Notes to Financial Statements .................. 12
EAFE(R) EQUITY INDEX PORTFOLIO
Schedule of Portfolio Investments ............... 14
Statement of Assets and Liabilities ............. 22
Statement of Operations ......................... 23
Statements of Changes in Net Assets ............. 24
Financial Highlights ............................ 25
Notes to Financial Statements ................... 26
-------------------
The Fund is not insured by the FDIC and is not a
deposit, obligation of or guaranteed by Deutsche
Bank. The Fund is subject to investment risks,
including possible loss of principal amount
invested.
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EAFE(R) Equity Index -- Premier Class
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for EAFE(R)1 Equity
Index -- Premier Class (the "Fund"), providing a detailed review of the market,
the Portfolio, and our outlook. Included are a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.2
With the acquisition of Bankers Trust by Deutsche Bank, the name of your Fund
has changed to EAFE(R) Equity Index -- Premier Class. However, the Fund's
investment objectives, policies and strategies, as well as its portfolio
manager, remain the same.
MARKET ACTIVITY
Overall, global equity markets were weak. Just six of the twenty EAFE(R) markets
posted gains for the semi-annual period ended June 30, 2000, in U.S. dollar
terms, and none had double-digit returns. Equities gained in only three of the
six months and currencies lost ground in all but March and June, leading to a
decline in the MSCI EAFE(R) Index.
The major influence on EAFE(R) Index performance was the global markets' focus
on the U.S. Federal Reserve Board's, the European Central Bank's, and the Bank
of England's tightening policy for interest rates. Other factors included mixed
signals about the health of the Japanese economy and higher oil prices that
remain a major source of inflation concern for central bankers. Global equity
markets were also buffeted by NASDAQ Composite volatility. In sharp contrast to
last year, technology proved to be one of the worst performing sectors in the
EAFE(R) Index, as investors moved back into more traditional areas of the
market, such as pharmaceuticals and financial services.
The EAFE(R) markets recovered a bit in June, as the possibility of a "soft
landing" in the U.S. decreased the chances of further Federal Reserve Board rate
hikes, which investors had feared could induce a global economic slowdown.
Compared to 1999, the first half of 2000 saw market rotations in the EAFE(R)
markets, as European markets outpaced Asian and Pacific Rim markets.
EUROPE
Regionally, Europe declined 3.74% in U.S. dollar terms during the semi-annual
period.
TEN LARGEST STOCK HOLDINGS
(percentages are based on market value of total investments in the Portfolio)
Nokia AB-A Shares ........................... 2.53%
Vodafone Airtouch PLC ....................... 2.47
BP Amoco PLC ................................ 2.19
Ericsson LM Tel ............................. 1.57
Nippon Telegraph & Telephone ................ 1.48
Toyota Motor Corp. .......................... 1.48
France Telecom SA ........................... 1.46
Deutsche Telekom AG ......................... 1.40
Royal Dutch Petroleum ....................... 1.36
Novartis AG ................................. 1.18
THE EUROPEAN CENTRAL BANK RAISED INTEREST RATES FOUR TIMES IN THE FIRST SIX
MONTHS OF 2000 IN RESPONSE TO GLOBAL INFLATION WORRIES.
o As in the U.S., these interest rate hikes were meant to prevent the global
economy from overheating and to quell inflationary pressures.
o Since the European Central Bank started raising rates in November 1999, the
euro's weakness more than offset the 1.75% of rate increases.
o Thus, monetary conditions within Europe remained fairly stimulative, and
European economic growth remained strong.
o France continued to be one of the strongest economies with unemployment
falling at a 2.8% annual rate.
SEVERAL EUROPEAN MARKETS WERE NEGATIVELY IMPACTED BY VARIOUS MACRO-ECONOMIC
CONCERNS, WHILE STRENGTH IN COMPANY EARNINGS BOOSTED OTHER MARKETS TO POSITIVE
RETURNS.
o In the first quarter, Sweden and Finland were the strongest performing equity
markets, producing double-digit gains driven by the continued strength of
Ericsson and Nokia, two of the world's largest cellular phone providers. Both
companies climbed after reporting stronger than expected earnings, new
wireless Internet technologies, and continued optimism for future growth.
o Banks, insurers, and financial service companies rallied in Switzerland as
expectations for earnings in 2000 improved. Credit Suisse was up 25% in March
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EAFE(R) Equity Index -- Premier Class
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LETTER TO SHAREHOLDERS
PORTFOLIO DIVERSIFICATION
By Country as of June 30, 2000
(percentages are based on market value of total investments in the Portfolio)
Japan ..................................... 27%
United Kingdom ............................ 19
France .................................... 11
Germany ................................... 9
Switzerland ............................... 6
Netherlands ............................... 5
Italy ..................................... 4
Sweden .................................... 3
Finland ................................... 3
Australia ................................. 3
Spain ..................................... 3
Hong Kong ................................. 2
Other 1 ................................... 5
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1 Consists of countries less than 2%.
alone after Standard & Poor's Corp. raised the company from "negative" to
"stable." Swiss Reinsurance also led the Swiss market higher.
o Novo Nordisk, a large pharmaceutical producer and developer, boosted Denmark
to the top position in May. The company posted strong gains after reporting
better than expected earnings, which led, in turn, to upgrades by several
analysts.
o Belgium, in contrast, was one of the worst performing markets in the first
quarter, as concerns over the prospect of rising interest rates drove down
prices of financial service giants Fortis and KBC Bank.
o Heavyweight Dutch insurance companies Aegon and ING also felt the pressure of
European Central Bank interest rate fears, leading the Dutch market lower.
o Although there was strong performance from some of the "Old Economy" stocks in
the U.K., economic activity in this nation continued to slow. Consumer
confidence trended down as did retail sales. Inflation came in below forecasts
although there remained pricing pressure within the service sector and labor
markets.
EUROPEAN MARKETS RESPONDED WELL TO MERGER AND ACQUISITION ACTIVITY THAT
CONTINUED IN HIGH GEAR THROUGHOUT THE PERIOD, AS COMPANIES SOUGHT ECONOMIES OF
SCALE IN AN ENLARGED "DOMESTIC" MARKET.
o During the first quarter, Vodafone Airtouch of the U.K. completed its merger
with Mannesmann of Germany.
o Prospects for further consolidation across telecommunications and
Internet-related companies also helped fuel market strength across Europe,
especially in Italy, Spain, and Portugal.
o Tele Denmark, the primary telephone provider in Denmark, was up sharply in the
first quarter on expectations of further mergers and consolidation within the
European telecommunications providers.
o During the second quarter, corporate merger activity continued to be a
significant factor, as companies juggled for position within the "New Economy"
or were forced to seek economies of scale in the "Old Economy."
PACIFIC BASIN
The Pacific Basin declined 6.42% in U.S. dollar terms during the semi-annual
period.
SINGAPORE WAS ONE OF THE WORST PERFORMING EQUITY MARKETS DURING THE FIRST
QUARTER AND ONE OF THE STRONGEST PERFORMING EQUITY MARKETS DURING THE SECOND
QUARTER.
o A government repeal in February of a large corporate tax rebate put in place
during the 1998 recession caused Singapore's equity market to topple over 9%
that month.
o Equities also fell after investors questioned earnings expectations needed to
justify current price levels after their strong performance in 1999.
o During the second quarter, Singapore Press, the largest publisher in the
country, posted strong gains as investors anticipated the sale of the
company's Internet division.
o Investors also embraced Singapore Airline's goal of globalization through
further joint ventures and acquisitions by pushing the stock up over 17% in
April.
o In June, financial stocks such as DBS Group and United Overseas Bank rallied
sharply, after fears of higher global interest rates subsided.
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LETTER TO SHAREHOLDERS
IN CONTRAST TO 1999'S IMPRESSIVE SHOWING, THE JAPANESE EQUITY MARKET WAS DOWN IN
THE FIRST HALF OF 2000.
o Stocks such as Fujitsu, Sony, and Sharp traded in wide price ranges, causing
significant market volatility. This was primarily driven by fears of a
potential slowdown in export demand if U.S. interest rates were raised.
o Some Japanese bank stocks fell after the Mayor of Tokyo announced a potential
flat tax of 3% on all revenues.
o The equity market also remained cautious about the potential for the abolition
of the Bank of Japan's long-standing zero interest rate policy.
o Investors in Japan continued to be disappointed by economic data showing
little sign of a potential recovery and fueling fears of a deeper recession.
o In late June, Japanese equities rallied after the U.S. Federal Reserve Board
left interest rates unchanged, as foreign demand had been one of the few
bright points in the Japanese economy recently and could decline sharply if
U.S. rates were to increase.
o Also in June, several new Japanese domestic equity funds were started for
local investors, reflecting a willingness to own domestic equities once again.
HONG KONG'S EQUITY MARKET DECLINED FOR THE SEMI-ANNUAL PERIOD, ALTHOUGH IN JUNE
IT BEGAN TO BENEFIT FROM THE PERCEIVED REFLATION THAT IS OCCURRING IN CHINA AND
THE GROWING PERCEPTION THAT U.S. INTEREST RATES HAVE PEAKED.
o Expectations of further U.S. Federal Reserve Board interest rate hikes led to
a sell-off in Hong Kong, as banks and property companies would be particularly
hard hit by higher global interest rates.
o Software and technology stocks also remained volatile and fell sharply from
their highs, as investors questioned their high valuations in a rising
interest rate environment.
AUSTRALIA PERFORMED WELL, PARTLY ON THE BACK OF A RECOVERY IN ITS CURRENCY.
o The market was also boosted by Rupert Murdoch's News Corporation. The global
media giant posted strong gains after reporting continued global expansion of
its satellite television business.
o Australia was among the top five performing EAFE(R) markets in three of the
first six months of 2000, and the top performing equity market in the month of
June.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS
Periods ended Past 6 Past 1 Past 3 Since Past 1 Past 3 Since
June 30, 2000 months year years inception year years inception
<S> <C> <C> <C> <C> <C> <C> <C>
EAFE(R) Equity Index 1 --
Premier Class
(inception 1/24/96) (4.46)% 17.38% 33.69% 60.35% 17.38% 10.16% 11.24%
--------------------------------------------------------------------------------------------------------------
MSCI EAFE(R) Index 2 (4.06)% 17.16% 33.77% 56.44% 17.16% 10.18% 10.62%
Lipper International
Equity Average 3 (4.56)% 24.46% 41.12% 75.31% 24.46% 11.77% 13.10%
--------------------------------------------------------------------------------------------------------------
<FN>
--------------------------------------------------------------------------------
1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. Performance figures assume
the reinvestment of dividend and capital gain distributions. During the period
the Fund waived certain fees and expenses. Had these fees and expenses not
been waived, the Fund's return would have been lower. There is no guarantee
that the Fund will be able to mirror the MSCI EAFE(R) Index closely enough to
track its performance. The Fund concentrates its investments in securities of
foreign issuers. A variety of factors such as changes in the
economic/political conditions and currency fluctuations in the international
markets may affect the value of your investment in the Fund.
2 The EAFE(R) Index is the exclusive property of Morgan Stanley Capital
International, a service of Morgan Stanley, and has been licensed for use by
the Fund's investment advisor. The MSCI EAFE(R) Index is an unmanaged
capitalization weighted index containing approximately 1,100 equity securities
of companies located outside the United States. Index returns do not reflect
expenses, which have been deducted from the Fund's return.
3 Lipper figures represent the average of the total returns, reported by all of
the mutual funds designated by Lipper Inc. as falling into the respective
category indicated. These figures do not reflect sales charges.
</FN>
</TABLE>
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EAFE(R) Equity Index -- Premier Class
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LETTER TO SHAREHOLDERS
MANAGER OUTLOOK
Interest rates remain a prime concern globally and until a clear trend is set,
we expect volatility in the EAFE(R) markets to continue. The markets' near-term
focus will be on the U.S. Federal Reserve Board meeting on August 22nd.
In Europe, inflationary concerns center around the weak euro, accelerating
economic growth, and buoyant money supply. Yet pricing pressures have been
remarkably dormant, and there seems to be ample spare capacity in both the goods
and labor markets. After raising rates by 0.50% in early June, we expect the
European Central Bank to pause for the summer. However, in our view, more
tightening is required over the next twelve months as is a stronger euro in a
supportive role. Key positives for Europe include strong economic growth,
falling unemployment, tax cuts, and further prospects for corporate
consolidation across the continent.
In Japan, economic prospects are mixed, despite the country moving slowly along
a recovery track. Industrial production is strong and inventories have fallen to
their lowest level in nine years. However, the consumer remains subdued because
real income has been weak and job insecurity is widespread. A risk for the
economy would be a premature move by the Bank of Japan to begin raising interest
rates after a long period of zero interest rates. The positives for Japan
include an improved profit outlook, although current forecasts remain cautious,
and a slow but steady pace of corporate restructurings. The rest of developed
Asia, in our view, will continue to look to the U.S., both as a market for its
exports and as an economic bellwether, especially given the strong links between
their currencies and the dollar.
Of course, as an index fund, seeking to replicate as closely as possible, before
expenses, the broad diversification and total return of the MSCI EAFE(R) Index
with net dividends, we neither evaluate short-term fluctuations in the Fund's
performance nor manage according to a given outlook for the equity markets or
the economies in general. Still, we will continue monitoring economic conditions
and how they affect the financial markets.
We appreciate your ongoing support of EAFE(R) Equity Index -- Premier Class and
look forward to serving your investment needs for many years ahead.
/S/ SIGNATURE STEVEN WETTER
Steven Wetter
Director of Global Indexing
EAFE(R) EQUITY INDEX PORTFOLIO
June 30, 2000
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PERFORMANCE COMPARISON
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
EAFE(R) Equity Index -- Premier Class MSCI EAFE(R) Index
Jan-96 10,000 10,000
Jun-96 10,404 10,409
Dec-96 10,553 10,561
Jun-97 11,805 11,745
Dec-97 10,949 10,920
Jun-98 12,715 12,659
Dec-98 13,117 13,100
Jun-99 13,660 13,619
Dec-99 16,784 16,635
Jun-00 16,035 15,644
Average Annual Total Return for the Periods Ended June 30, 2000
One Year 17.38%, Since 1/24/96 1 11.24%
--------------------------------------------------------------------------------
1 The Fund's inception date.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance figures assume the reinvestment of
dividend and capital gain distributions. During the period the Fund waived
certain fees and expenses.
The MSCI EAFE(R) Index is an unmanaged capitalization weighted index containing
approximately 1,100 equity securities of companies located outside the United
States.
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EAFE(R) Equity Index -- Premier Class
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STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investment in EAFE(R) Equity Index Portfolio, at Value ... $ 209,212,166
Receivable for Shares of Beneficial Interest Subscribed .. 318,731
Prepaid Expenses and Other ............................... 10,953
-------------
Total Assets ................................................ 209,541,850
-------------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed ....... 147,813
Due to Bankers Trust ..................................... 1,930
Accrued Expenses and Other ............................... 40,538
-------------
Total Liabilities ........................................... 190,281
-------------
NET ASSETS .................................................. $ 209,351,569
=============
COMPOSITION OF NET ASSETS
Paid-in Capital .......................................... $ 189,055,887
Undistributed Net Investment Income ...................... 1,012,605
Accumulated Net Realized Loss from Investment,
Foreign Futures, Foreign Currency and Forward
Foreign Currency Transactions .......................... (113,211)
Net Unrealized Appreciation on Investments,
Foreign Currency and Forward Foreign Currency
Contracts .............................................. 19,396,288
-------------
NET ASSETS .................................................. $ 209,351,569
=============
SHARES OUTSTANDING ($0.001 par value, unlimited number
of shares of beneficial interest authorized) ............. 15,033,967
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE (net assets divided
by shares outstanding) $ 13.93
=============
See Notes to Financial Statements.
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STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Income Allocated from EAFE(R) Equity Index Portfolio, Net ... $ 1,820,324
-----------
EXPENSES
Administration and Services Fees ............................ 129,322
Registration Fees ........................................... 33,076
Professional Fees ........................................... 13,204
Printing and Shareholder Reports ............................ 9,214
Trustees Fees ............................................... 3,623
Miscellaneous ............................................... 2,574
-----------
Total Expenses ................................................. 191,013
Less: Fee Waivers or Expense Reimbursements .................... (141,391)
-----------
Net Expenses ................................................... 49,622
-----------
NET INVESTMENT INCOME .......................................... 1,770,702
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT,
FOREIGN FUTURES, FOREIGN
CURRENCIES AND FORWARD FOREIGN CURRENCY
CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions ................................... (82,477)
Foreign Futures Transactions .............................. 391,786
Foreign Currency Transactions ............................. (258,964)
Forward Foreign Currency Transactions ..................... (546,231)
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Futures, Foreign Currencies,
and Forward Foreign Currency Contracts .................... (8,530,436)
-----------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS,
FOREIGN FUTURES, FOREIGN CURRENCIES AND FORWARD
FOREIGN CURRENCY CONTRACTS .................................. (9,026,322)
-----------
NET DECREASE IN NET ASSETS FROM OPERATIONS ..................... $(7,255,620)
-----------
-----------
See Notes to Financial Statements.
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EAFE(R) Equity Index -- Premier Class
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ................................. $ 1,770,702 $ 1,094,782
Net Realized Gain (Loss) from Investment, Foreign
Futures, Foreign Currency and Forward Foreign
Currency Transactions ............................... (495,886) 1,519,779
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Futures, Foreign Currencies
and Forward Foreign Currency Contracts .............. (8,530,436) 18,679,434
------------- -------------
Net Increase (Decrease) in Net Assets from Operations .... (7,255,620) 21,293,995
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................. -- (684,090)
Distributions in Excess of Net Investment Income ...... -- (217,876)
Net Realized Gain from Investment Transactions ........ -- (988,759)
------------- -------------
Total Distributions ...................................... -- (1,890,725)
------------- -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sale of Shares .......................... 110,701,139 61,190,560
Dividend Reinvestments ................................ -- 1,572,177
Cost of Shares Redeemed ............................... (14,470,211) (4,251,873)
------------- -------------
Net Increase from Capital Transactions in
Shares of Beneficial Interest ......................... 96,230,928 58,510,864
------------- -------------
TOTAL INCREASE IN NET ASSETS ............................. 88,975,308 77,914,134
NET ASSETS
Beginning of Period ................................... 120,376,261 42,462,127
------------- -------------
End of Period (including undistributed/(distribution in
excess of) net investment income of $1,012,605
and $(758,098), respectively) ....................... $ 209,351,569 $ 120,376,261
============= =============
<FN>
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1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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EAFE(R) Equity Index -- Premier Class
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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 periods
indicated for EAFE(R) Equity Index -- Premier Class.
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE PERIOD
ENDED FOR THE YEARS JAN. 24, 1996 3
JUNE 30, ENDED DECEMBER 31, TO
2000 1 1999 1998 2 1997 DEC. 31, 1996
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD .......... $14.58 $11.59 $ 9.98 $10.62 $10.00
------ ------ ------ ------ ------
INCOME FROMINVESTMENT OPERATIONS
Net Investment Income ...................... 0.16 0.08 0.16 0.23 0.12
Net Realized and Unrealized Gain (Loss)
from Investment, Foreign Futures,
Foreign Currencies and Forward
Foreign Currency Transactions ............ (0.81) 3.15 1.81 (0.02) 0.60
------ ------ ------ ------ ------
Total from Investment Operations .............. (0.65) 3.23 1.97 0.21 0.72
------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ...................... -- (0.08) (0.16) (0.24) (0.08)
In Excess of Net Investment Income ......... -- (0.03) (0.09) -- --
Net Realized Gain from Investment
Transactions ............................. -- (0.13) (0.01) (0.61) (0.02)
In Excess of Net Realized Gains ............ -- -- (0.10) -- --
------ ------ ------ ------ ------
Total Distributions ........................... -- (0.24) (0.36) (0.85) (0.10)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ................ $13.93 $14.58 $11.59 $ 9.98 $10.62
====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN ....................... (4.46)% 27.95% 19.81% 2.11% 7.22%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ... $209,352 $120,376 $42,462 $35,509 $39,667
Ratios to Average Net Assets:
Net Investment Income .................... 2.04%4 1.56% 1.50% 1.70% 1.64%4
Expenses After Waivers, Including
Expenses of the EAFE(R) Equity Index
Portfolio ............................. 0.40%4 0.40% 0.40% 0.40% 0.40%4
Expenses Before Waivers, Including
Expenses of the EAFE(R) Equity Index
Portfolio ............................. 0.73%4 0.71% 0.83% 0.73% 0.88%4
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Advisor Class Shares were converted to Institutional Class Shares on July 10,
1998.
3 Commencement of operations.
4 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
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EAFE(R) Equity Index -- Premier Class
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Advisor Funds (the "Trust") is registered under the Investment Company Act of
1940 (the "Act"), as amended, as an open-end management investment company. The
Trust was organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. EAFE(R) Equity Index (the "Fund") is one of the
funds offered to investors by the Trust.
The Fund offers one class of shares to investors: the Premier Class. The Premier
Class Shares began operations and offering shares of beneficial interest on
January 24, 1996.
The Fund invests substantially all of its assets in the EAFE(R) Equity Index
Portfolio (the "Portfolio"). The Portfolio, a series of BT Investment
Portfolios, is an open-end management investment company registered under the
Act. The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio which was
approximately 100% at June 30, 2000.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. VALUATION OF SECURITIES
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from securities transactions of the Portfolio are allocated pro rata
among the investors in the Portfolio at the time of such determination.
D. ORGANIZATION EXPENSES
Costs incurred by the fund in connection with its organization and initial
registration are being amortized evenly over a five-year period.
E. DISTRIBUTIONS
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income. Dividends and distributions payable to
shareholders are recorded by the Fund on the ex-dividend date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
are also made at least annually to the extent they are not offset by any capital
loss carryforwards.
F. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required. The Fund may periodically make reclassifications among
certain of its capital accounts as a result of the differences in the
characterization and allocation of certain income and capital gain distributions
determined annually in accordance with federal tax regulations, which may differ
from accounting principles generally accepted in the United States.
G. OTHER
The Trust accounts separately for the assets, liabilities and operations of each
of its funds. Expenses directly attributable to a fund are charged to that fund,
while expenses which are attributable to the Trust are allocated among the funds
in the Trust.
H. ESTIMATES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
Actual results could differ from those estimates.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of Deutsche
Bank AG. Under this agreement, Bankers Trust provides administrative, custody,
transfer agency and shareholder services to the Fund in return for a fee
computed daily and paid monthly at an annual rate of .15% of the Fund's average
daily net assets.
The investment adviser and administrator have agreed, for a 16-month period from
the Fund's fiscal year end of December 31, 1999, to waive their fees and
reimburse expenses so that total expenses will not exceed .40%
ICC Distributors, Inc. provides distribution services to the Fund.
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At June 30, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
PREMIER CLASS SHARES 1
--------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
------------------------------ -----------------------------
SHARES AMOUNT SHARES AMOUNT
------------ -------------- ------------ --------------
Sold 7,811,499 $110,701,139 4,816,704 $61,160,201
Reinvested -- -- 111,552 1,572,177
Redeemed (1,033,451) (14,470,211) (335,372) (4,221,514)
---------- ------------ --------- -----------
Net Increase 6,778,048 $ 96,230,928 4,592,884 $58,510,864
========== ============ ========= ===========
--------------------------------------------------------------------------------
1 On April 30, 2000, the Institutional Class was renamed the Premier Class.
NOTE 4 -- CLASS NAME CHANGE
On April 30, 2000, the Class changed its name from EAFE(R) Equity Index Fund
Institutional Class to EAFE(R) Equity Index -- Premier Class.
--------------------------------------------------------------------------------
13
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
COMMON STOCKS -- 91.3%
AUSTRALIA -- 2.2%
16,200 Amcor Ltd. .................... $ 56,814
22,648 AMP Ltd.1 ..................... 231,171
2,477 AMP Reinsurance Notes 1........ --
6,868 Australia Gas Light Co. ....... 41,031
3,829 Boral Ltd.1 ................... 4,828
4,942 Brambles Industries ........... 152,328
34,872 Broken Hill Proprietary Co. Ltd. 413,522
26,695 Coca-Cola Amatil Ltd. ......... 52,092
26,089 Coles Myer Ltd. ............... 100,471
24,372 Commonwealth Bank of Australia 405,202
13,600 Computershare Ltd. ............ 70,143
3,593 CSL Ltd. ...................... 71,267
24,665 CSR Ltd. ...................... 68,715
38,821 Foster's Brewing Group ........ 109,552
39,382 General Property Trust ........ 63,607
10,891 Lend Lease Corp. Ltd. ......... 139,337
19,304 M.I.M. Holdings Ltd. .......... 10,431
8,600 Mirvac Group .................. 17,505
29,176 National Australia Bank 3 ..... 488,713
1,545 Newcrest Mining Ltd.1 ......... 4,174
39,443 News Corp. .................... 544,694
34,388 Normandy Mining Ltd. .......... 18,583
6,636 North Ltd. .................... 15,738
3,742 Orica Ltd. .................... 17,026
10,600 Pacific Dunlop ................ 9,483
5,400 Paperlinx Ltd.1 ............... 10,278
9,164 QBE Insurance Group Ltd. ...... 44,964
6,840 Rio Tinto Ltd. ................ 113,428
14,272 Santos Ltd.3 .................. 43,617
16,588 Southcorp Holdings Ltd. ....... 48,006
5,248 Suncorp-Metway Ltd. ........... 27,168
9,570 TABCORP Holdings Ltd. ......... 55,162
151,996 Telstra Corp. Ltd. ............ 618,753
7,082 Wesfarmer Ltd. ................ 56,554
32,455 Westfield Trust -- Units ...... 63,156
37,599 Westpac Banking Corp., Ltd. ... 272,031
25,599 WMC Ltd. ...................... 114,861
26,037 Woolworths Ltd. ............... 96,378
-----------
4,670,783
-----------
AUSTRIA -- 0.2%
680 Austria Tabakwerke AG ......... 25,291
2,600 Bank Austria AG ............... 127,159
70 Boehler-Uddeholm AG ........... 2,459
220 Ea-Generali AG ................ 35,535
310 Flughafen Wien AG ............. 11,081
110 Mayr-Melnhof Karton AG ........ 5,225
730 Oesterreichische
Elektrizitaetswirtschafts
AG -- A ..................... 75,225
680 OMV AG ........................ 59,317
SHARES SECURITY VALUE
220 RHI AG ........................ $ 5,386
430 VA Technologie AG ............. 22,745
1,890 Weinerberger Baustoffindustrie
AG .......................... 43,101
-----------
412,524
-----------
BELGIUM -- 0.8%
71 Barco NV ...................... 7,997
120 Bekaert NV .................... 6,223
220 Colruyt NV .................... 9,359
29 D'Ieteren SA .................. 7,367
891 Delhaize - Le Lion, SA ........ 53,510
22 Dolmen Computer Applications 1. 432
1,264 Electrabel SA ................. 313,698
16,235 Fortis -- B .................. 474,351
2,223 Fortis -- B - STRIP VVPR 1 .... 21
50 Fortis Banque STRIP VVPR 1 .... 1
622 Groupe Bruxelles Lambert SA ... 155,917
7,094 KBC Bancassurance Holding ..... 313,491
2,208 Solvay SA -- A ................ 149,218
2,757 UCB SA ........................ 101,696
141 Union Miniere SA .............. 5,135
-----------
1,598,416
-----------
DENMARK -- 0.8%
600 Carlsberg - AS -- A ........... 17,733
300 Carlsberg - AS -- B ........... 9,136
25 D/S 1912 -- B ................. 266,636
15 D/S Svendborg -- B ............ 222,625
1,144 Danisco AS .................... 38,368
1,400 Den Danske Bank 3 ............. 169,105
172 Falck AS ...................... 27,716
500 FLS Industries AS -- B ........ 7,710
1,340 ISS AS 1 ...................... 102,452
425 Navision Software AS 1 ........ 17,749
100 NKT Holdings AS ............... 16,705
1,817 Novo Nordisk AS -- B .......... 310,532
4,703 Tele Danmark AS ............... 317,878
2,550 Vestas Wind Systems AS ........ 94,042
1,165 William Demant Holding ........ 34,581
-----------
1,652,968
-----------
FINLAND -- 3.1%
1,100 Kemira Oyj .................... 5,378
900 Kesko ......................... 9,188
200 Metra Oy -- A ................. 3,834
200 Metra Oy -- B ................. 3,461
5,800 Metso Oyj 1 ................... 70,054
103,200 Nokia AB -- A Shares .......... 5,287,615
5,500 Outokumpu Oyj ................. 52,722
2,100 Raisio Group PLC .............. 4,167
2,300 Sampo Insurance Co. Ltd. -- A . 93,702
117 Sanitec Oyj ................... 1,178
See Notes to Financial Statements.
--------------------------------------------------------------------------------
14
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
15,700 Sonera Group Oyj .............. $ 718,630
300 Stockmann AB -- A ............. 4,745
50 Stockmann AB -- B ............. 764
1,900 Tietonator Oyj Abp ............ 63,655
7,000 UPM -- Kymmene Corp. .......... 174,463
-----------
6,493,556
-----------
FRANCE -- 11.0%
4,194 Accor SA ...................... 172,592
22,295 Alcatel ....................... 1,468,239
8,410 AXA -- UAP .................... 1,330,186
9,783 Banque Nationale de Paris ..... 945,290
703 Bouygues ...................... 471,722
2,736 Canal Plus .................... 461,595
1,728 Cap Gemini SA 3 ............... 305,614
14,966 Carrefour Supermarche ......... 1,027,191
1,825 Casino Guichard Perracho 3 .... 169,694
33 Coflexip ...................... 4,017
2,024 Compagnie de Saint-Gobain ..... 274,730
2,129 Dassault Systemes SA .......... 199,390
200 Eridania Beghin-Say SA ........ 19,670
115 Essilor International ......... 33,093
21,724 France Telecom SA 3 ........... 3,048,690
535 Gecina ........................ 57,490
3,406 Groupe Danone ................. 453,829
100 Imetal SA ..................... 11,656
2,103 L'Air Liquide ................. 275,400
1,462 L'Oreal ....................... 1,271,122
2,260 Lafarge SA .................... 176,346
2,838 Lagardere SCA ................. 217,638
2,122 LVMH .......................... 878,539
2,476 Michelin -- B ................. 79,772
1,266 Pechiney SA -- A .............. 53,033
731 Pernod Ricard ................. 39,942
2,630 Pinault-Printemps-Redoute SA 3 586,657
1,069 PSA Peugeot Citroen ........... 215,399
146 Publicis SA ................... 57,521
16,857 Rhone-Poulenc -- A 3 .......... 1,235,351
15,849 Sanofi-Synthelabo SA 1 ........ 758,115
3,220 Schneider SA .................. 225,326
671 Sidel SA ...................... 54,641
100 Simco SA ...................... 7,333
300 Societe BIC SA ................ 14,753
34 Societe Eurafrance ............ 16,345
9,012 Societe Generale -- A ......... 544,245
548 Sodexho ....................... 99,808
18,615 STmicroelectronics NV ......... 1,177,713
936 Suez Lyonnaise des Eaux ....... 164,285
3,380 Suez Lyonnaise des Eaux-Dumez . 594,546
66 Technip ....................... 8,016
3,911 Thomson CSF ................... 154,685
972 Total Fina SA -- STRIP VVPR 1 . 9
15,821 Total SA -- B ................. 2,435,633
106 Unibail ....................... 14,734
SHARES SECURITY VALUE
3,641 Usinor Sacilor ................ $ 44,605
1,281 Valeo SA ...................... 68,765
12,636 Vivendi ....................... 1,119,822
-----------
23,044,787
-----------
GERMANY -- 6.8%
465 Adidas AG 3 ................... 25,764
4,191 Allianze AG 3 ................. 1,526,630
10,520 BASF AG 3 ..................... 428,081
12,695 Bayer AG ...................... 496,507
7,283 Bayerische Vereinsbank 3 ...... 475,434
1,150 Beiersdorf AG ................. 97,009
1,250 Continental AG ................ 20,969
17,110 Daimler-Chrysler AG 3 ......... 901,260
10,605 Deutsche Bank AG .............. 878,328
7,175 Deutsche Lufthansa AG ......... 168,508
51,355 Deutsche Telekom AG -- Reg .... 2,934,009
8,558 Dresdner Bank AG .............. 356,036
3,500 EM TV ......................... 81,528
2,250 EM.TV & Merchandising AG 3 .... 133,076
1,250 Fresenius Medical Care ........ 100,652
750 Gehe AG ....................... 24,085
952 Heidelberger Zement AG ........ 58,952
100 Heidl Zement AG VVPR 1 ........ 1
500 Hochtief AG ................... 15,122
800 Kamps AG ...................... 25,690
1,500 Karstadt AG 3 ................. 40,117
2,266 Linde AG ...................... 90,579
1,500 MAN AG ........................ 46,084
3,240 Merck KGAA .................... 98,765
4,992 Metro AG 3 .................... 176,098
3,036 Muenchener Rueckversicherungs-
Gesellschaft AG ............. 967,667
2,511 Preussag AG 3 ................. 81,357
8,450 RWE AG ........................ 285,123
1,285 RWE AG ........................ 35,044
3,225 SAP AG 3 ...................... 483,812
2,280 SAP AG -- Vorzug .............. 422,910
3,765 Shering AG 3 .................. 209,327
10,135 Siemens AG .................... 1,530,160
9,350 Thyssen Krupp AG .............. 150,575
13,368 VEBA AG 3 ..................... 658,671
5,630 Volkswagen AG 3 ............... 215,874
-----------
14,239,804
-----------
HONG KONG -- 1.7%
7,000 Asm Pacific Technology Ltd. ... 26,222
24,006 Bank of East Asia Ltd. ........ 56,050
70,000 Cathay Pacific Airways ........ 129,762
37,500 CLP Holdings Ltd. ............. 174,630
17,000 Esprit Holdings Ltd. .......... 17,665
11,000 Hang Lung Development Co. ..... 8,537
34,800 Hang Seng Bank Ltd. ........... 330,364
22,000 Henderson Land Development --
144a ........................ 96,805
See Notes to Financial Statements.
--------------------------------------------------------------------------------
15
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
13,000 Hong Kong & Shanghai Hotels Ltd. $ 7,546
97,799 Hong Kong and China Gas
Co. Ltd. .................... 109,780
218,681 Hong Kong Telecommunications
Ltd. ........................ 481,124
7,600 Hopewell Holdings Ltd. ........ 3,169
76,100 Hutchison Whampoa Ltd. ........ 956,737
11,910 Hysan Development Co. Ltd. .... 12,529
17,000 Johnson Electric Holdings Ltd. 160,840
21,000 Li & Fung Ltd. ................ 105,067
47,902 New World Development Co. Ltd. 53,463
97,000 Pacific Century Cyberworks 1 .. 191,635
32,000 Shangri-La Asia Ltd. .......... 37,768
35,657 Sino Land Co. ................. 12,579
18,000 South China Morning Post 1 .... 13,970
45,297 Sun Hung Kai Properties Ltd. .. 325,416
30,000 Swire Pacific Ltd. -- A ....... 175,496
9,000 Television Broadcasts Ltd. .... 60,038
50,102 Wharf Holdings Ltd. ........... 89,663
-----------
3,636,855
-----------
IRELAND -- 0.4%
20,785 Allied Irish Banks PLC ........ 186,690
9,341 CRH PLC ....................... 169,234
536 DCC PLC ....................... 4,763
51,425 Eircom PLC .................... 138,027
1,374 Greencore Group PLC ........... 3,688
7,650 Independent Newspapers PLC .... 27,866
8,358 Irish Permanent PLC ........... 70,745
30,835 Jefferson Smurfit Group PLC ... 53,205
4,207 Kerry Group PLC ............... 55,209
6,197 Ryanair Holdings PLC 1 ........ 45,147
5,282 Waterford Wedgwood Units ...... 5,772
-----------
760,346
-----------
ITALY -- 3.7%
45,587 Alitalia SPA .................. 94,390
1,951 Arnoldo Mondadori Editore SPA . 44,698
23,792 Assicurazioni Generali 3 ...... 818,762
2,886 Autogrill SPA 1,3 ............. 30,902
111,294 Banca Di Roma ................. 137,197
96,194 Banca Intesa SPA .............. 432,467
27,639 Bancario San Paolo di Torino 3 492,532
34,911 Bennetton Group SPA ........... 73,289
1,142 Bulgari SPA ................... 15,326
138,434 Enel SPA 1,3 .................. 615,734
150,708 ENI SPA ....................... 874,026
7,929 Fiat SPA ...................... 206,586
927 Italcementi SPA ............... 8,749
5,851 Italgas SPA ................... 25,968
22,962 Mediaset SPA 3 ................ 352,178
6,760 Mediobanca SPA ................ 69,985
96,074 Olivetti Group 1 .............. 350,884
9,197 Parmalat Finanziaria SPA ...... 13,030
37,407 Pirelli SPA ................... 98,789
15,804 Riunione Adriatica di
Sicurta SPA ................. 174,220
SHARES SECURITY VALUE
121,750 Telecom Italia Mobile SPA 3 ...$ 1,248,778
26,982 Telecom Italia Mobile SPA ..... 136,307
10,532 Telecom Italia New 3 .......... 70,166
66,120 Telecom Italia SPA 3 .......... 912,699
99,194 Unicredito Italiano SPA ....... 476,382
-----------
7,774,044
-----------
JAPAN -- 22.9%
5,000 77 Bank Ltd. .................. 40,075
2,800 Acom Co. Ltd. 3 ............... 236,065
1,900 Advantest Corp. ............... 424,710
13,000 Ajinomoto Co., Inc. ........... 167,105
1,000 Alps Electronic Co. Ltd. ...... 18,620
6,000 Amada Co. Ltd. ................ 51,039
54,000 Asahi Bank Ltd. ............... 227,634
8,000 Asahi Breweries Ltd. .......... 95,953
29,000 Asahi Chemical Industry
Co. Ltd. .................... 205,574
23,000 Asahi Glass Co. Ltd. .......... 257,605
1,000 Asatsu-Dk Inc. ................ 41,115
9,000 Bank of Fukuoka Ltd. .......... 61,417
86,000 Bank of Tokyo -- Mitsubishi
Ltd. ........................ 1,041,252
20,000 Bank of Yokohama Ltd. ......... 89,791
2,200 Benesse Corp. ................. 152,833
16,000 Bridgestone Corp. ............. 339,504
16,000 Canon, Inc. ................... 798,476
7,000 Casio Computer Co. Ltd. ....... 78,732
43 Central Japan Railway Co. ..... 243,853
8,000 Chichibu Onoda Cement ......... 16,786
5,000 Chugai Pharmaceutical Co.
Ltd.3 ....................... 94,753
2,100 Chuo Mitsui Trust & Banking
Co.3 ........................ 9,170
7,000 Citizen Watch Co. Ltd. ........ 67,750
7,000 Cosmo Oil Co. Ltd. ............ 12,902
800 Credit Saison Co. Ltd. ........ 18,601
1,500 CSK Corp. ..................... 46,502
15,000 Dai Nippon Printing Co. Ltd. .. 264,977
17,000 Daiei, Inc.3 .................. 63,950
5,000 Daiichi Pharmaceutical ........ 127,125
6,000 Daikin Industries Ltd. ........ 139,790
15,000 Dainippon Ink &
Chemicals, Inc. ............. 70,746
4,000 Daito Trust Contruction
Co. Ltd. .................... 66,162
42,000 Daiwa Bank Ltd. ............... 109,167
12,000 Daiwa House Industry Co. Ltd. . 87,787
25,000 Daiwa Securities Co. Ltd. ..... 330,808
17,000 Denso Corp. ................... 414,550
76 East Japan Railway Co. ........ 442,489
6,000 Ebara Corp. ................... 81,492
6,000 Eisai Co. Ltd. ................ 192,814
4,500 Fanuc ......................... 458,925
64,000 Fuji Bank Ltd. ................ 487,555
900 Fuji Machine Mfg. Co. Ltd. .... 47,381
10,000 Fuji Photo Film Co. ........... 410,202
5,000 Fujikura Ltd. ................. 33,317
36,000 Fujitsu Ltd. .................. 1,248,753
13,000 Furukawa Electric Co. Ltd. .... 272,161
See Notes to Financial Statements.
--------------------------------------------------------------------------------
16
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
7,000 Gunma Bank .................... $ 36,190
800 Hirose Electric Co. ........... 124,838
62,000 Hitachi Ltd. .................. 896,585
6,000 Hitachi Zosen Corp. ........... 5,444
18,000 Honda Motor Co. Ltd. .......... 614,169
3,000 House Foods Industry .......... 46,502
2,000 Hoya Corp. .................... 179,582
2,000 INAX .......................... 12,344
50,000 Industrial Bank of Japan ...... 379,957
4,000 Isetan Co. Ltd. ............... 49,149
36,000 Ishikawajima-Harima Heavy
Industries Co. .............. 65,330
8,000 Ito -Yokado Co. Ltd. .......... 482,413
22,000 Itochu Corp. .................. 111,246
38,000 Japan Airlines ................ 144,743
18,000 Japan Energy Corp. ............ 19,395
38 Japan Tobacco ................. 334,381
12,000 Joyo Bank ..................... 46,275
7,000 JUSCO Co. ..................... 132,985
200 Kadokawa Shoten Publishing Co. 20,227
23,000 Kajima Corp. .................. 73,477
8,000 Kaneka Corp ................... 88,392
18,800 Kansai Electric Power Co., Inc. 337,258
12,000 Kao Corp. ..................... 367,481
38,000 Kawasaki Heavy Industries Ltd. 58,184
68,000 Kawasaki Steel Corp. .......... 97,692
6,000 Kinden Corp. .................. 37,769
33,000 Kinki Nippon Railway 3 ........ 134,119
20,000 Kirin Brewery Co. Ltd. ........ 250,469
2,000 Kokuyo ........................ 32,873
21,000 Komatsu Ltd. .................. 148,070
2,200 Konami Co. Ltd. ............... 139,317
30,000 Kubota Corp. .................. 109,167
11,000 Kumagai Gumi Co. Ltd.3 ........ 6,654
8,000 Kuraray Co. Ltd. .............. 91,946
3,000 Kurita Water Industries ....... 66,209
3,600 Kyocera Corp. ................. 612,127
7,000 Kyowa Hakko Kogyo 3 ........... 68,610
23,000 Marubeni Corp. ................ 79,347
8,000 Marui Co. Ltd. ................ 153,495
38,000 Matsushita Electric Industrial
Co. Ltd. .................... 987,699
8,000 Meiji Seika ................... 53,081
9,000 Minebea Co. Ltd.3 ............. 113,136
42,000 Mitsubishi Chemical Corp. ..... 172,682
30,000 Mitsubishi Corp. .............. 271,924
41,000 Mitsubishi Electric Corp. ..... 444,871
25,000 Mitsubishi Estate Co. Ltd. .... 294,892
66,000 Mitsubishi Heavy Industries
Ltd. ........................ 293,191
24,000 Mitsubishi Materials Corp. .... 98,449
25,000 Mitsubishi Trust & Banking
Corp. ....................... 194,468
31,000 Mitsui & Co. .................. 237,331
16,000 Mitsui Fudosan Co. Ltd. ....... 173,911
SHARES SECURITY VALUE
11,000 Mitsui Marine & Fire Insurance
Co. Ltd. .................... $ 53,024
7,000 Mitsui Mining & Smelting
Co. Ltd.3 ................... 53,260
8,000 Mitsukoshi Ltd.3 .............. 35,538
4,000 Murata Manufacturing Co. Ltd. . 575,417
2,000 Mycal Corp.3 .................. 6,862
1,000 Namco Ltd. .................... 36,105
30,000 NEC Corp. ..................... 944,221
21,000 New Oji Paper Co. Ltd. ........ 144,894
8,000 NGK Insulators Ltd. ........... 99,356
400 Nichiei Co., Ltd .............. 6,578
8,000 Nichirei Corp. ................ 34,177
1,400 Nidec Corp.3 .................. 121,737
7,000 Nikon Corp. ................... 260,015
2,700 Nintendo Co. Ltd. ............. 472,621
3,000 Nippon Comsys Ltd. ............ 63,941
21,000 Nippon Express Co. Ltd. ....... 129,214
6,000 Nippon Meat Packers, Inc. ..... 87,900
31,000 Nippon Oil Co. Ltd. ........... 142,399
20,000 Nippon Paper Industries Co. ... 136,860
9,000 Nippon Sheet Glass Co. Ltd. ... 125,386
130,000 Nippon Steel Corp. ............ 274,004
232 Nippon Telegraph & Telephone
Corp. ....................... 3,091,827
26,000 Nippon Yusen Kabushiki Kaisha . 125,329
4,000 Nishimatsu Construction ....... 15,803
76,000 Nissan Motor Co. Ltd. ......... 448,954
6,000 Nisshin Flour Milling Co. Ltd. 60,113
2,000 Nisshinbo Industries, Inc. .... 10,586
3,000 Nissin Food Products Co. Ltd. . 76,558
3,000 Nitto Denko Corp.3 ............ 115,972
36,000 Nomura Securities Co. Ltd. .... 882,974
9,000 NSK Ltd. ...................... 79,110
4,000 NTN Corp. ..................... 17,126
10,000 Obayashi Corp.3 ............... 44,328
4,000 Olympus Optical Co. Ltd. ...... 71,870
4,000 Omron Corp. ................... 108,883
4,000 Onward Kashiyama Co. Ltd. ..... 54,442
2,000 Oriental Land Co. Ltd. ........ 204,723
1,500 Orix Corp. .................... 221,878
40,000 Osaka Gas Co. Ltd. ............ 115,310
3,000 Pioneer Electronic Corp. ...... 117,106
2,800 Promise Co. Ltd. .............. 221,774
2,200 Rohm Co. Ltd. ................. 644,603
76,000 Sakura Bank Ltd. .............. 526,533
9,000 Sankyo Co. Ltd. ............... 203,731
1,000 Sanrio Co. Ltd. ............... 26,701
37,000 Sanyo Electric Co. Ltd. ....... 333,625
4,000 Sapporo Breweries Ltd. ........ 16,370
4,000 Secom Co. Ltd. ................ 293,002
1,800 Sega Enterprises3 ............. 27,731
10,000 Sekisui Chemical Co. Ltd. ..... 38,563
15,000 Sekisui House Ltd. ............ 139,081
See Notes to Financial Statements.
--------------------------------------------------------------------------------
17
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
21,000 Sharp Corp. ................... $ 372,159
800 Shimamura Co. Ltd. ............ 93,685
2,000 Shimano, Inc. ................. 48,203
18,000 Shimizu Corp.3 ................ 51,549
8,000 Shin-Etsu Chemical Co. Ltd. ... 406,800
7,000 Shiongi & Co. Ltd. ............ 133,316
7,000 Shiseido Co. Ltd. ............. 108,505
16,000 Shizuoka Bank ................. 136,104
12,000 Showa Denko K.K. .............. 17,694
4,000 Showa Shell Sekiyu K.K. ....... 19,811
2,000 Skylark ....................... 79,205
1,300 SMC Corp.3 .................... 245,129
3,000 Snow Brand Milk Products ...... 16,162
6,000 Softbank Corp.3 ............... 816,624
16,200 Sony Corp. .................... 1,515,857
58,000 Sumitomo Bank Ltd.3 ........... 712,655
33,000 Sumitomo Chemical Co. ......... 198,995
21,000 Sumitomo Corp. ................ 236,792
15,000 Sumitomo Electric Industries .. 257,747
2,000 Sumitomo Forestry Co. ......... 13,478
17,000 Sumitomo Heavy Industries Ltd. 57,041
15,000 Sumitomo Marine & Fire ........ 87,475
19,000 Sumitomo Metal Industries Ltd. 13,109
7,000 Sumitomo Metal Mining Co. ..... 33,081
11,000 Sumitomo Osaka Cement Co. Ltd. 65,292
6,000 Taisei Corp. .................. 9,641
7,000 Taisho Pharmaceutical Co. ..... 251,414
2,000 Taiyo Yuden Co. Ltd.3 ......... 125,518
5,000 Takara Shuzo Co. Ltd. ......... 124,998
8,000 Takashimaya Co. Ltd.3 ......... 74,706
16,000 Takeda Chemical Industries .... 1,052,537
2,800 Takefuji Corp. ................ 339,012
20,000 Teijin Ltd. ................... 97,730
3,000 Terumo Corp. .................. 101,794
7,000 Tobu Railway Co. Ltd. ......... 20,047
400 Toho Co.3 ..................... 68,279
10,300 Tohoku Electric Power ......... 139,214
43,000 Tokai Bank 3 .................. 212,558
30,000 Tokio Marine & Fire Insurance
Co. ......................... 347,065
4,000 Tokyo Broadcasting System ..... 173,154
2,000 Tokyo Dome Corp. .............. 9,093
25,200 Tokyo Electric Power Co. ...... 615,700
3,000 Tokyo Electron Ltd. ........... 411,714
54,000 Tokyo Gas Co. Ltd. ............ 152,096
23,000 Tokyu Corp. ................... 113,911
14,000 Toppan Printing Co. Ltd. ...... 148,467
30,000 Toray Industries, Inc. ........ 121,926
60,000 Toshiba Corp. ................. 678,818
14,000 Tosoh Corp. ................... 70,793
4,000 Tostem Corp. .................. 65,406
10,000 Toto Ltd. ..................... 76,937
1,000 Toyo Information Systems Co.
Ltd.3 ....................... 55,670
3,000 Toyo Seikan Kaisha ............ 56,143
8,000 Toyobo Ltd. ................... 15,803
SHARES SECURITY VALUE
68,000 Toyota Motor Corp. ............$ 3,104,304
500 Trans Cosmos Ltd. ............. 75,235
11,000 Ube Industries Ltd. ........... 34,517
1,000 Uni-Charm Corp. ............... 60,680
2,000 Uny Co. Ltd. .................. 27,693
3,000 Wacoal Corp. .................. 30,623
1,200 World Co. Ltd.3 ............... 52,173
2,000 Yamaha Corp. .................. 21,909
14,000 Yamaichi Securities Co. Ltd.1
7,000 Yamanouchi Pharmaceutical
Co. Ltd. .................... 383,076
9,000 Yamato Transport Co. Ltd.3 .... 224,146
6,000 Yamazaki Baking Co. Ltd. ...... 58,978
-----------
47,856,075
-----------
NETHERLANDS -- 5.4%
29,262 Aegon NV ...................... 1,045,432
6,810 Akzo Nobel .................... 290,496
32,214 Algemene Bank Nederland NV .... 792,380
8,028 ASM Lithography Holding NV 1 .. 346,454
1,607 Baan .......................... 4,390
431 Buhrmann NV ................... 12,374
14,084 Elsevier NV ................... 171,325
6,144 Getronics NV .................. 95,117
2,627 Hagemeyer NV .................. 72,726
7,197 Heineken NV ................... 439,809
21,283 ING Groep NV .................. 1,444,437
612 KLM NV ........................ 16,544
15,170 Koninklijke Ahold NV .......... 448,324
20,792 Koninklijke KPN NV ............ 933,767
320 Oce NV ........................ 5,261
29,316 Philips Electronics NV ........ 1,388,239
45,757 Royal Dutch Petroleum Co. ..... 2,855,426
11,536 TNT Post Group NV ............. 312,397
11,355 Unilever NV ................... 523,014
4,493 Wolters Kluwer NV -- CVA ...... 120,164
-----------
11,318,076
-----------
NEW ZEALAND -- 0.1%
20,319 Brierley Investments Ltd. ..... 3,157
37,282 Carter Holt Harvey Ltd.3 ...... 32,469
14,734 Contact Energy Ltd. ........... 19,768
2,343 Fletcher Challenge Building ... 2,493
8,252 Fletcher Challenge Energy ..... 26,998
317 Fletcher Challenge Forests .... 115
3,832 Fletcher Challenge Paper ...... 4,402
12,683 Lion Nathan Ltd. .............. 28,360
34,134 Telecom Corp. of New Zealand .. 119,712
-----------
237,474
-----------
NORWAY -- 0.4%
1,200 Bergensen d.y. ASA -- A ....... 24,709
15,700 Christiania Bank Og Kreditkasse 84,677
16,450 Den Norske Bank ASA ........... 68,514
700 Elkem ASA ..................... 13,185
600 Hafslund ASA -- A ............. 2,773
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18
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EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
780 Kvaerner ASA Rts @ 83 .........$ 438
780 Kvaerner ASA 3 ................ 8,213
2,800 Merkantildata AS .............. 14,446
6,300 Norsk Hydro ASA ............... 265,342
400 Norske Skogindustrier ASA -- A 11,465
5,514 Orkla ASA -- A ................ 105,152
2,200 Petroleum Geo-Services ASA 1 .. 37,707
2,000 Schibsted ASA ................. 37,204
2,100 Tomra Systems ASA ............. 55,894
8,350 Uni-Storebrand ASA -- A ....... 60,568
-----------
790,287
-----------
PORTUGAL -- 0.6%
24,768 Banco Comercial Portugues SA .. 129,396
3,305 Banco Espirito Santo e
Comercial de Lisboa SA ...... 81,421
6,127 BPI SGPS SA ................... 21,731
3,249 Brisa- Auto Estradas de
Portugal SA ................. 28,092
2,235 Cimentos de Portugal .......... 42,849
13,704 Electricidade de Portugal SA .. 249,856
1,925 Jeronimo Martins, SGPS SA ..... 31,850
23,532 Portugal Telecom SA ........... 265,276
238 Sagem SA ...................... 280,161
9,595 Sonae Investimentos Rts ....... 7,726
38,380 Sonae SGPS SA ................. 67,695
-----------
1,206,053
-----------
SINGAPORE -- 1.0%
26,000 Chartered Semiconductor
Manufacturing Ltd.1 ......... 227,071
25,000 City Developments Ltd. ........ 96,878
2,000 Creative Technology Ltd.3 ..... 48,237
2,000 Cycle & Carriage Ltd. ......... 4,696
32,513 DBS Group Holdings Ltd.3 ...... 417,465
8,750 DBS Land Ltd. ................. 11,336
3,000 Fraser & Neave Ltd. ........... 10,671
6,750 Keppel Corp. Ltd. ............. 14,601
30,337 Oversea - Chinese Banking
Corp., Ltd. ................. 208,800
4,000 Parkway Holdings Ltd.3 ........ 10,226
32,329 Sembcorp Industries Ltd. ...... 35,153
31,000 Singapore Airlines Ltd. ....... 306,597
8,000 Singapore Press Holdings Ltd. . 124,929
2,296 Singapore Press Holdings
Ltd. -- 1001 ................ 35,589
75,000 Singapore Technologies
Industrial Corp. ............ 110,181
155,000 Singapore Telecommunications
Ltd. ........................ 226,810
12,000 United Industrial Corp. Ltd. .. 5,657
19,448 United Overseas Bank Ltd. ..... 127,105
3,000 Venture Manufacturing Ltd. .... 30,538
-----------
2,052,540
-----------
SHARES SECURITY VALUE
SPAIN -- 2.2%
1,657 Acerinox SA ................... $ 48,128
7,257 Autopistas Concesion Bonus 1 .. 3,130
7,257 Autopistas Concesionaria
Espanola SA ................. 63,374
54,337 Banco Bilbao Vizcaya SA 3 ..... 815,159
73,294 Banco Santander Central
Hispano SA .................. 776,360
860 Corporacion Mapfre ............ 10,940
2,005 Corpporcion Financiera
Alba SA ..................... 53,046
20,342 Endesa SA ..................... 395,647
3,258 Fomento de Construcciones y
Contrates SA 3 .............. 61,837
6,788 Gas Natural SDG - E ........... 122,330
3,548 General de Aguas de Barcelona . 47,615
485 Grupo Dragados SA ............. 3,492
18,233 Iberdrola SA .................. 235,952
496 Metrovacesa S.A. .............. 8,368
22,911 Repsol SA ..................... 457,913
2,409 Sol Melia SA .................. 27,018
8,364 Tabacalera SA -- A ............ 129,004
60,199 Telefonica SA 3 ............... 1,298,387
1,789 Telepizza SA 1,3 .............. 10,118
5,532 Union Electrica Fenosa SA ..... 100,490
643 Vallehermoso SA ............... 3,852
-----------
4,672,160
-----------
SWEDEN -- 3.4%
1,118 ABB Ltd.1 ..................... 130,274
500 Assidoman AB .................. 7,154
6,372 AstraZeneca Group PLC ......... 297,868
3,871 Atlas Copco AB -- A ........... 75,030
942 Atlas Copco AB -- B ........... 17,721
700 Drott AB -- B ................. 7,582
8,900 Electrolux AB -- B ............ 138,512
165,200 Ericsson LM-B ................. 3,286,775
12,850 ForeningsSparbanken AB ........ 188,998
3,100 Gambro AB -- A ................ 25,448
18,000 Hennes & Mauritz AB -- B ...... 377,620
2,400 Netcom Systems AB -- B ........ 178,138
63,915 Nordic Baltic Holding AB ...... 484,606
1,600 Om Gruppen AB ................. 71,875
4,500 Sandvik AB .................... 94,918
8,400 Securitas AB -- B ............. 179,096
22,400 Skandia Forsakrings AB ........ 595,071
16,960 Skandinaviska Enskilda
Banken -- A ................. 202,072
3,000 Skanska AB -- B ............... 106,890
800 SKF AB -- B ................... 13,454
5,766 Svenska Cellulosa AB -- B ..... 110,117
14,400 Svenska Handelsbanken AB -- A . 210,154
600 Svenskt Stal AB -- A .......... 5,986
1,900 Swedish Match AB .............. 5,892
400 Trelleborg AB -- B ............ 2,805
See Notes to Financial Statements.
--------------------------------------------------------------------------------
19
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EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
1,710 Volvo AB -- A ................. $ 36,069
6,480 Volvo AB -- B ................. 141,484
9,500 WM-Data AB -- B Shares ........ 52,533
-----------
7,044,142
-----------
SWITZERLAND -- 5.7%
5,515 ABB Ltd.1 ..................... 662,214
420 Adecco SA ..................... 357,993
180 Alusuisse-Lonza Holding AG .... 117,671
5,910 Credit Suisse Group ........... 1,179,409
182 Givaudan Reg 1 ................ 55,572
131 Holderbank Financiere Glarus
AG -- B ..................... 161,125
60 Holderbank Financiere Glarus
AG -- Reg ................... 19,667
125 Lonza AG 3 .................... 65,342
853 Nestle SA ..................... 1,712,751
1,551 Novartis AG -- Bearer ......... 2,464,713
36 Roche Holding AG -- Bearer .... 382,014
146 Roche Holding AG --
Genusscheine ................ 1,425,822
100 Sairgroup ..................... 16,728
10 Schindler Holding AG .......... 15,375
320 Schweizerische Ruckversicherungs-
Gesellschaft 3 .............. 654,340
15 SGS Societe Generale de
Surveillance
Holding SA .................. 26,014
370 Societe Suisse pour la
Microelectronique et
l'Hogeric AG ................ 96,820
25 Societe Suisse pour la
Microelectronique et l'Hogeric
AG -- Bearer ................ 31,887
85 Sulzer AG ..................... 56,717
1,630 Swisscom AG ................... 566,367
9,146 UBS AG-Registered ............. 1,344,285
1,050 Zurich Allied AG .............. 520,459
-----------
11,933,285
-----------
UNITED KINGDOM -- 18.9%
13,278 3i Group PLC .................. 272,577
31,070 Abbey National PLC ............ 371,591
34,784 Allied Zurich PLC ............. 410,481
15,424 Amvescap PLC .................. 245,296
2,788 Anglian Water PLC ............. 25,536
10,828 Arjo Wiggins Appleton PLC ..... 43,973
21,470 ARM Holdings PLC 1 ............ 228,987
31,975 Barclays PLC .................. 793,874
3,096 Barratt Developments PLC ...... 12,257
19,956 Bass PLC ...................... 223,262
6,473 BBA Group PLC ................. 42,383
5,039 Berkeley Group PLC ............ 47,678
76,789 BG Group PLC .................. 495,229
2,908 BICC Group PLC ................ 3,412
20,024 Blue Circle Industries PLC .... 129,745
11,260 BOC Group PLC ................. 161,686
21,261 Boots Co. PLC ................. 162,223
SHARES SECURITY VALUE
477,030 BP Amoco PLC ..................$ 4,578,594
64,880 British Aerospace PLC ......... 404,428
25,023 British Airport Author ........ 199,072
26,094 British Airways PLC ........... 150,213
49,741 British American Tobacco ...... 332,839
11,056 British Land Co. PLC .......... 72,432
37,394 British Sky Broadcasting
Group PLC ................... 731,411
136,584 British Telecommunications
PLC ......................... 1,765,854
12,299 Bunzl PLC ..................... 65,913
4,396 Burmah Castrol PLC ............ 110,941
39,323 Cadbury Schweppes PLC ......... 258,514
18,305 Canary Wharf Group PLC 1 ...... 102,119
5,231 Capita Group PLC .............. 128,766
2,073 Caradon PLC ................... 4,739
14,664 Carlton Communications PLC .... 188,588
6,641 Celltech Group PLC 1 .......... 128,387
88,374 Centrica PLC .................. 292,999
29,206 CGU PLC ....................... 486,807
15,664 Compass Group PLC ............. 206,665
76,596 Corus Group PLC ............... 111,610
74,458 Diageo PLC .................... 666,750
39,940 Dixons Group PLC .............. 161,745
11,105 Electrocomponents PLC ......... 112,135
18,384 EMI Group PLC ................. 170,607
14,212 FKI PLC ....................... 49,755
16,304 GKN PLC ....................... 207,704
76,124 Glaxo Wellcome PLC ............ 2,218,449
40,386 Granada Group PLC ............. 397,412
23,964 Great Universal Stores PLC .... 149,742
49,222 Halifax PLC ................... 469,831
18,580 Hanson PLC .................... 132,346
39,337 Hays PLC ...................... 217,812
178,230 HSBC Holdings PLC ............. 2,039,857
15,092 Imperial Chemical Industries
PLC ......................... 119,265
6,151 Johnson Matthey PLC ........... 86,136
30,717 Kingfisher PLC ................ 279,015
35,691 Ladbroke Group PLC ............ 124,815
13,099 Land Securities PLC ........... 156,067
102,415 Legal & General Group PLC ..... 243,422
114,449 Lloyds TSB Group PLC .......... 1,084,635
9,051 Logica PLC .................... 216,771
57,148 Marconi PLC ................... 742,743
64,555 Marks & Spencer PLC ........... 226,733
10,765 MEPC PLC ...................... 88,901
13,378 Misys PLC ..................... 110,885
33,012 National Grid Group PLC ....... 259,380
14,409 National Power PLC ............ 91,618
15,635 Nycomed Amersham PLC .......... 155,511
13,487 Pearson PLC ................... 423,673
11,136 Peninsular & Orient Steam
Navigation Co. .............. 94,915
6,227 Pilkington PLC ................ 8,814
785 Provident Financial PLC ....... 8,188
40,455 Prudential Corp. PLC .......... 592,850
See Notes to Financial Statements.
--------------------------------------------------------------------------------
20
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EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
9,575 Psion PLC .................... $ 92,627
8,442 Railtrack Group PLC .......... 130,807
5,073 Rank Group PLC ............... 11,635
21,692 Reed International PLC ....... 189,156
68,505 Rentokil Initial PLC ......... 155,824
30,360 Reuters Group PLC ............ 519,371
4,648 Rexam PLC .................... 18,242
22,891 Rio Tinto PLC ................ 374,964
7,031 RMC Group PLC ................ 90,689
52,979 Royal Bank of Scotland
Group PLC .................. 883,858
28,313 Sage Group PLC (The) ......... 228,674
36,324 Sainsbury (J.) PLC ........... 164,423
39,177 Scottish Power PLC ........... 331,247
10,567 SEMA Group PLC ............... 148,616
5,109 Shroders PLC ................. 90,726
80,107 Siebe PLC .................... 300,456
4,442 Slough Estates PLC ........... 24,646
15,083 Smith & Nephew PLC ........... 54,802
117,878 Smithkline Beecham PLC ....... 1,548,994
4,572 Smiths Industries PLC ........ 59,214
22,321 Stagecoach Holdings PLC ...... 25,006
5,531 Tate & Lyle PLC .............. 27,674
7,915 Taylor Woodrow PLC ........... 18,154
136,078 Tesco PLC .................... 422,832
9,220 Thames Water PLC ............. 119,621
8,170 TI Group PLC ................. 44,094
63,764 Unilever PLC ................. 384,440
6,557 United Utilities PLC ......... 65,615
1,272,321 Vodafone Group ............... 5,162,127
9,370 Williams Holding PLC ......... 54,259
7,484 Wolseley PLC ................. 41,185
17,117 WPP Group PLC ................ 248,639
31,080 Zeneca Group PLC ............. 1,452,024
-----------
39,584,204
-----------
TOTAL COMMON STOCKS
(Cost $171,305,528) ................... 190,978,379
-----------
PREFERRED STOCK -- 0.3%
AUSTRALIA -- 0.3%
42,375 News Corp. Ltd. -- Preferred .. 513,054
GERMANY -- 0.0%
500 Dyckerhoff AG -- Preferred .... 12,701
1,100 Volkswagen AG -- Preferred .... 25,887
ITALY -- 0.0%
1,035 Fiat SPA -- Preferred ......... 16,916
-----------
TOTAL PREFERRED STOCK
(Cost $437,395) ........................ 568,558
-----------
SHARES/
PRINCIPAL
AMOUNT SECURITY VALUE
SHORT TERM INSTRUMENTS -- 1.2%
UNITED STATES -- 1.2%
1,309,302 Cash Management Institutional,
6.479%, 7/3/00 ..............$ 1,308,896
$1,050,000 U.S. Treasury Bill,
5.35%, 7/13/002 ............. 1,048,533
250,000 U.S. Treasury Bill,
5.50%, 7/13/002 ............. 249,651
-----------
2,607,080
-----------
TOTAL SHORT TERM INSTRUMENTS
(Cost $2,606,863) ...................... 2,607,080
-----------
TOTAL INVESTMENTS
(Cost $174,349,786) ........... 92.8% $194,154,017
OTHER ASSETS IN EXCESS
OF LIABILITIES ................. 7.2 15,058,164
----- ------------
NET ASSETS ....................... 100.0% $209,212,181
===== ============
--------------------------------------------------------------------------------
1 Non-income producing security.
2 Held as collateral for Foreign Futures Contracts.
3 Securities on loan.
INDUSTRY DIVERSIFICATION (Unaudited)
(percentage based on net assets as of 6/30/00)
Telecommunications ......................... 17.04%
Banks ...................................... 11.26
Pharmaceuticals ............................ 7.19
Oil ........................................ 5.56
Insurance .................................. 4.94
Food and Beverage .......................... 4.19
Electrical ................................. 4.08
Utility .................................... 4.02
Auto Related ............................... 3.42
Financial Services ......................... 3.40
Computer ................................... 3.30
Consumer Goods ............................. 2.87
Media ...................................... 2.79
Other* ..................................... 18.74
------
Total Investments .......................... 92.80
Other Assets Less Liabilities .............. 7.20
------
100.00%
======
--------------------------------------------------------------------------------
* No one industry represents more than 2% of Portfolio holdings.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
21
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investments, at Value (Cost of $174,349,786) ................ $194,154,017
Cash 1 ...................................................... 14,416,098
Receivable for Shares of Beneficial Interest Subscribed ..... 117,791
Receivable for Securities Sold .............................. 27,966
Receivable for Collateral Under Security Loan Agreements .... 16,395,152
Interest Receivable ......................................... 72,654
Receivable for Foreign Taxes Withheld ....................... 167,973
Dividends Receivable ........................................ 231,983
Variation Margin Receivable Domestic ........................ 1,025
Variation Margin Receivable Foreign ......................... 55,520
Unrealized Appreciation on Forward Foreign
Currency Contracts ....................................... 31,003
Security Lending Income Receivable .......................... 9,585
Prepaid Expenses and Other .................................. 3,870
Due from Bankers Trust ...................................... 30,387
------------
Total Assets ................................................... 225,715,024
------------
LIABILITIES
Payable for Collateral Under Security Loan Agreements ....... 16,395,152
Accrued Expenses and Other .................................. 26,469
Unrealized Depreciation on Forward Foreign Currency
Exchange Contracts ....................................... 81,222
------------
Total Liabilities .............................................. 16,502,843
------------
NET ASSETS ..................................................... $209,212,181
============
COMPOSITION OF NET ASSETS
Paid-in Capital ............................................. $189,815,909
Net Unrealized Appreciation on Investments, Foreign
Futures, Foreign Currencies
and Forward Foreign Currency Contracts .................... 19,396,272
------------
NET ASSETS ..................................................... $209,212,181
============
--------------------------------------------------------------------------------
1 Includes foreign cash of $14,400,581 with a cost of $14,321,646.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
22
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EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $187,580) ..... $ 2,040,149
Interest ................................................... 61,982
Securities Lending Income .................................. 26,522
-----------
Total Investment Income ....................................... 2,128,653
-----------
EXPENSES
Advisory Fees .............................................. 215,545
Administration and Services Fees ........................... 156,218
Professional Fees .......................................... 73,766
Trustees Fees .............................................. 3,610
Registration Fees .......................................... 2,659
Miscellaneous .............................................. 596
-----------
Total Expenses ................................................ 452,394
Less: Fee Waivers or Expense Reimbursements ................... (144,065)
-----------
Net Expenses .................................................. 308,329
-----------
NET INVESTMENT INCOME ......................................... 1,820,324
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN FUTURES, FOREIGN CURRENCIES AND FORWARD
FOREIGN CURRENCY CONTRACTS
Net Realized Gain (Loss) from:
Investment Transactions .................................. (82,477)
Foreign Futures Transactions ............................. 391,785
Foreign Currency Transactions ............................ (258,963)
Forward Foreign Currency Transactions .................... (546,231)
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Futures, Foreign Currencies
and Forward Foreign Currency Contracts ................... (8,530,436)
-----------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS,
FOREIGN FUTURES, FOREIGN CURRENCIES AND FORWARD
FOREIGN CURRENCY CONTRACTS ............................... (9,026,322)
-----------
NET DECREASE IN NET ASSETS FROM OPERATIONS .................... $(7,205,998)
===========
See Notes to Financial Statements.
--------------------------------------------------------------------------------
23
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .............................. $ 1,820,324 $ 1,130,135
Net Realized Gain (Loss) from Investment, Foreign
Futures, Foreign Currency and Forward Foreign
Currency Transactions ............................ (495,886) 1,519,779
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Futures, Foreign Currencies
and Forward Foreign Currency Contracts ........... (8,530,436) 18,679,410
------------- -------------
Net Increase (Decrease) in Net Assets from Operations . (7,205,998) 21,329,324
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ..................... 110,606,730 62,410,436
Value of Capital Withdrawn ......................... (14,352,095) (5,781,396)
------------- -------------
Net Increase in Net Assets from Capital Transactions .. 96,254,635 56,629,040
------------- -------------
TOTAL INCREASE IN NET ASSETS .......................... 89,048,637 77,958,364
------------- -------------
NET ASSETS
Beginning of Period ................................ 120,163,544 42,205,180
------------- -------------
End of Period ...................................... $ 209,212,181 $ 120,163,544
============= =============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
24
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for periods indicated for the EAFE(R)Equity Index Portfolio.
<TABLE>
<CAPTION>
FOR THE SIX FOR THE PERIOD
MONTHS ENDED FOR THE YEARS JAN. 24, 19962
JUNE 30, ENDED DECEMBER 31, TO
2000 1 1999 1998 1997 DEC. 31, 1996
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ....................... $209,212 $120,164 $42,205 $36,732 $40,392
Ratios to Average Net Assets:
Net Investment Income ................ 2.10%3 1.61% 1.60% 1.74% 1.69%3
Expenses After Waivers ............... 0.35%3 0.35% 0.35% 0.35% 0.35%3
Expenses Before Waivers .............. 0.52%3 0.40% 0.41% 0.41% 0.46%3
Portfolio Turnover Rate ................ 1% 4% 12% 44% 4%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Commencement of operations.
3 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
25
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The EAFE(R) Equity Index Portfolio (the "Portfolio"), a series of BTInvestment
Portfolios, 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 January 24, 1996, as an unincorporated trust under the laws of New
York, and began operations on January 24, 1996. The Declaration of Trust permits
the Board of Trustees (the "Trustees") to issue shares of beneficial interest in
the Portfolio.
B. VALUATION OF SECURITIES
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on National
Exchanges or foreign exchanges are valued based on the closing price of the
security on that exchange prior to the time when the Portfolio's assets are
valued. Short-term obligations with remaining maturities of 60 days or less are
valued at amortized cost. All other securities and other assets are valued at
their fair value as determined in good faith under procedures established by and
under the general supervision of the Trustees.
C. SECURITIES TRANSACTIONS AND INTEREST INCOME
Securities transactions are accounted for on a trade date basis. Dividend
income, less foreign taxes withheld, if any, is recorded on the ex-dividend date
or upon receipt of ex-dividend notification in the case of certain foreign
securities. Interest income is recorded on the accrual basis and includes
amortization of premium and accretion of discount on investments. Expenses are
recorded as incurred. 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 securities and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. FOREIGN CURRENCY TRANSACTIONS
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
to U.S. dollars at prevailing exchange rates. Purchases and sales of investment
securities, dividend and interest income, and certain expenses are translated at
the rates of exchange prevailing on the respective dates of such transactions.
E. FORWARD FOREIGN CURRENCY CONTRACTS
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Net Assets may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.
F. 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. Variation margin payments are made
or received by the Portfolio each day, depending 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 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.
G. ORGANIZATION EXPENSES
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized evenly over a five-year period.
H. FEDERAL INCOME TAXES
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore no federal income tax is required.
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26
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
I. LENDING OF PORTFOLIO SECURITIES
The Portfolio has the ability to lend its securities to brokers, dealers and
other financial organizations. Loans of portfolio securities are collateralized
by cash and/or government securities that are maintained at all times in an
amount equal to 102% and 105% of the current market value of the loaned
securities for both domestic and international securities, respectively.
AT JUNE 30, 2000
MARKET VALUE % OF
OF LOANED MARKET VALUE PORTFOLIO
SECURITIES OF COLLATERAL ON LOAN
------------- ------------- -----------
$15,707,711 $16,395,152 5.43%
The Portfolio receives compensation in the form of fees or it retains a portion
of interest on the investment of any cash received as collateral. The Portfolio
also continues to receive interest or dividends on the securities loaned. The
loans are secured by collateral at least equal, at all times, to the fair value
of the securities loaned plus accrued interest. Gain or loss in the fair value
of the securities loaned that may occur during the term of the loan will be for
the account of the Portfolio.
J. OTHER
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
Actual results could differ from those estimates.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of
Deutsche Bank AG. Under this 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 .10% of the
Portfolio's average daily net assets.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust a fee computed daily and paid
monthly at an annual rate of .25% of the Portfolio's average daily net assets.
The Portfolio may invest in Cash Management Institutional ("Cash Management"),
an open-end management investment company managed by Bankers Trust. Cash
Management is offered as a cash management option to the Portfolio and other
accounts managed by Bankers Trust. Distributions from Cash Management to the
Portfolio for the six months ended June 30, 2000 amounted to $513,902 and are
included in dividend income.
At June 30, 2000, the Portfolio was a participant with other affiliated entities
in a revolving credit facility in the amount of $200,000,000, which expires
April 27, 2001. A commitment fee on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned among all
participants based on net assets. No amounts were drawn down or outstanding for
this fund under the credit facility for the six months ended June 30, 2000.
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, 2000 were
$95,057,149, and $1,448,952, respectively.
For federal income tax purposes, the tax basis of investments held at June 30,
2000 was $174,349,786. The aggregate gross unrealized appreciation was
$28,616,147, and the aggregate gross unrealized depreciation for all investments
was $8,811,916 as of June 30, 2000.
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27
<PAGE>
EAFE(R) Equity Index Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 2000 is
as follows:
UNREALIZED
APPRECIATION
(DEPRECIATION)
TYPE OF FUTURES EXPIRATION CONTRACTS POSITION (U.S.$)
------------------------ -------------- --------- -------- --------------
CAC40 Index Futures September 2000 8 Long $ (11,450)
Hang Seng Index Futures July 2000 7 Long 2,231
Nikkei 225 Index Futures September 2000 1 Long 2,200
Nikkei 300 IndexFutures September 2000 62 Long 29,597
Topix Index Futures September 2000 42 Long 17,944
IBEX plus Index Futures July 2000 9 Long (29,915)
FTSE 100 Index Futures September 2000 9 Long (28,406)
Aust All Ords Index Futures September 2000 13 Long 6,165
MIB30 plus Index Futures September 2000 6 Long (14,893)
DAX Index Futures September 2000 22 Long (223,898)
--- ---------
Total 179 $(250,425)
=== =========
At June 30, 2000, the Portfolio segregated securities with a value of
approximately $551,642 to cover margin requirements on open futures contracts.
NOTE 5 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
At June 30, 2000, the Portfolio had the following open forward foreign currency
contracts outstanding:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT APPRECIATION
SETTLEMENT VALUE (DEPRECIATION)
CONTRACTS TO DELIVER IN EXCHANGE FOR DATE (U.S.$) (U.S.$)
----------------------------------------------------------------------------------------------------
Purchases
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Euro 5,900,000 U.S. Dollars $5,653,675 9/29/00 $5,650,961 $ (2,714)
British Pound 400,000 U.S. Dollars 609,000 9/29/00 607,840 (1,160)
Japanese Yen 757,600,000 U.S. Dollars 7,337,530 9/29/00 7,260,182 (77,348)
----------------------------------------------------------------------------------------------------
Total Purchases (81,222)
----------------------------------------------------------------------------------------------------
Sales
----------------------------------------------------------------------------------------------------
Euro 5,900,000 U.S. Dollars $5,622,700 7/3/00 $5,655,675 (32,975)
British Pound 400,000 U.S. Dollars 608,000 7/3/00 605,560 2,440
Japanese Yen 757,600,000 U.S. Dollars 7,222,116 7/3/00 7,160,578 61,538
----------------------------------------------------------------------------------------------------
Total Sales 31,003
----------------------------------------------------------------------------------------------------
Net Unrealized Depreciation $(50,219)
----------------------------------------------------------------------------------------------------
</TABLE>
NOTE 6 -- RISKS OF INVESTING IN FOREIGN SECURITIES
The Portfolio invests in foreign securities. Investing in foreign companies and
foreign governments involves special risks and considerations not typically
associated with investing in securities of U.S. companies and the U.S.
government. These risks include devaluation of currencies and future adverse
political and economic developments. Moreover, securities of many foreign
companies and foreign governments and their markets may be less liquid and their
prices more volatile than those of securities of comparable U.S. companies and
the U.S. government. This is particularly true with respect to emerging markets
in developing countries.
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28
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For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at:
DEUTSCHE ASSET MANAGEMENT SERVICE CENTER
P.O. BOX 219210
KANSAS CITY, MO 64121-9210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
Deutsche Asset Management is the marketing name for the asset management
activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust
Company, DB Alex. Brown LLC, Deutsche Asset Management,Inc. and Deutsche Asset
Management Investment Services Limited.
EAFE(R) Equity Index -- Premier Class CUSIP #05576L874
1714SA (06/00)
Distributed by:
ICC Distributors, Inc.
