(GRAPHIC APPEARS HERE)
Mutual Fund
Annual Report
December 31, 1999
EAFE Equity Index Fund
(GRAPHIC APPEARS HERE)
<PAGE>
EAFE Equity Index Fund
Table of Contents
Letter to Shareholders 3
EAFE Equity Index Fund
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 12
Report of Independent Accountants 14
Tax Information 14
EAFE Equity Index Portfolio
Schedule of Portfolio Investments 15
Statement of Assets and Liabilities 25
Statement of Operations 26
Statements of Changes in Net Assets 27
Financial Highlights 28
Notes to Financial Statements 29
Report of Independent Accountants 32
Proxy Results 33
---------------
The Fund is not insured by the FDIC and is not a
deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
---------------
2
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders
We are pleased to present you with this annual report for the EAFE(R)(1) Equity
Index Fund (the "Fund"), providing a detailed review of the market, the
Portfolio, and our outlook. Included are a complete financial summary of the
Funds' operations and a listing of the Portfolio's holdings.(2)
MARKET ACTIVITY
Overall, 15 of the 20 EAFE markets posted gains for the annual period ended
December 31, 1999 in U.S. dollar terms, and twelve had double-digit returns.
Equities accounted for most of the advance of the MSCI EAFE Index(3), gaining in
eight of the twelve months; currencies lost ground in all but the third calendar
quarter, when both the yen and Euro rallied.
The major story of 1999 was the rather significant market rotations in the EAFE
markets, as Asian and Pacific Rim markets outpaced European markets. The three
biggest influences on EAFE Index performance were the stunning reversal of the
Japanese equity market, the introduction of the Euro, and the global markets'
focus on U.S. Federal Reserve Board interest rate policy.
Europe
Regionally, Europe rose 15.9% in U.S. dollar terms during the annual period. The
markets were affected by a strong U.S. dollar, slowing domestic growth rates,
increased competition resulting from the January 1, 1999 introduction of the
common Euro currency, and during the second half of the year in particular,
concerns about interest rate hikes both from the U.S. Federal Reserve Board and
the European Central Bank. Even so, the European markets rallied back from a
negative first half of 1999 to end the year with double-digit returns
competitive with those of the U.S. equity indices.
o Great expectations for the much-anticipated introduction of the Euro in
January had fueled a strong European market in 1998 and into January 1999,
only to disappoint later. Strategists expected impressive capital flows into
Europe as the unified market promoted a more stable economic environment and
greater transparency in financial reporting. However, the Euro's value versus
the U.S. dollar declined by about 14.0% during the year. Such Euro weakness
fueled prospects of export growth on the one hand but worried many as it
approached parity with the dollar, undermining confidence in the new currency.
The Euro's lack of strength, of course, also dampened European equity returns
in U.S. dollar terms.
Ten Largest Stock Holdings
(percentages are based on net assets)
Nokia AB-A Shares 2.22%
Nippon Telegraph & Telephone 1.76
BP Amoco PLC 1.72
Deutsche Telekom 1.71
Toyota Motor Corp. 1.49
British Telecom PLC 1.38
Royal Dutch Petroleum 1.31
Vodafone Airtouch PLC 1.30
Ericsson LM-B 1.22
France Telecom SA 1.16
o European markets also were impacted by investors' concerns about the
possibility of U.S. Federal Reserve Board action.
-- During the first half of the year, several European governments cut
interest rates, including Norway, the United Kingdom, Switzerland, and the
European Central Bank. This had prompted several equity markets to rally in
response. In June 1999, European markets rallied further based on lower
than expected U.S. inflation figures and the perception that the Federal
Reserve Board would not necessarily be inclined to raise U.S. interest
rates further.
-- However, following its initial June 30th tightening, investors felt further
interest rate increases by the Federal Reserve Board would contribute to a
slowdown in European economic growth amidst an already soft environment.
After the Bank of England raised rates by 0.25% in September, the markets
looked toward a possible interest rate rise by the European Central Bank
during the fourth quarter. Global inflation concerns caused further
uneasiness and market volatility, as each new piece of economic data
changed inflation sentiment.
3
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders
Portfolio Diversification
By Country as of December 31, 1999 (percentages are based on net assets)
Japan 22%
United Kingdom 17
United States 12
France 9
Germany 8
Switzerland 6
Netherlands 5
Italy 4
Finland 3
Sweden 3
Australia 2
Hong Kong 2
Spain 2
Other(1) 5
- ----------
(1) Consists of countries less than 2%.
o On the other hand, European markets responded positively to rising merger
activity, as companies sought economies of scale in an enlarged "domestic"
market.
-- Ongoing merger and acquisition activity also helped to shore up European
markets by limiting redundancy and raising long-term profit expectations
within many industries, perhaps most especially the telecommunications
industry. For example, in April, Deutsche Telecom and Telecom Italia
announced a merger in an attempt to fend off Olivetti's bid for the Italian
phone company. By the end of June, Olivetti had won the battle for Telecom
Italia in the largest leveraged buyout in European history, buoying
somewhat the European markets overall. During the fourth quarter, too,
merger and acquisition speculation in the telecommunications sector pushed
prices higher across Europe.
-- Other activity during the year included Zeneca PLC's (UK) agreement to buy
Astra (Sweden) and Ford Motor's bid to buy Volvo's car unit in January.
France's Societe Generale bought competitor Paribas in February, and other
bank stocks rose as investors felt there would be more mergers in the
fragmented European banking sector. Also in June,
INVESTMENT REVIEW
<TABLE>
<CAPTION>
Cumulative Total Returns Average Annual Total Returns
Periods ended Past 1 Past 3 Since Past 1 Past 3 Since
December 31, 1999 year years inception year years inception
- --------------------------------------------------------------------------------------------
<S><C>
EAFE(R)(1) Equity Index Fund(4)
Institutional Class Shares
(inception 1/24/96) 27.95% 56.53% 67.84% 27.95% 16.11% 14.07%
MSCI EAFE Index(3) 26.96% 55.06% 66.35% 26.96% 15.74% 13.88%
Lipper International
Equity Average(5) 40.81% 67.56% 84.64% 40.81% 18.30% 16.45%
</TABLE>
- ----------
(1) The EAFE Index is the exclusive property of Morgan Stanley. Morgan Stanley
Capital International is a service mark of Morgan Stanley and has been
licensed for use by Bankers Trust Company.
(2) Foreign investing involves special risks, including currency risk, increased
volatility of foreign securities, and differences in auditing and other
financial standards.
(3) The MSCI EAFE Index is an unmanaged capitalization-weighted index containing
approximately 1,100 equity securities of companies located outside the
United States. Investments cannot be made in an index.
(4) 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.
(5) 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 categories indicated. These figures do not reflect sales
charges.
4
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders
Repsol, the Spanish energy firm, received
shareholder approval for its bid to buy
YPF, the Argentinian oil company.
o Many European companies also continued to announce better than expected
earnings. For instance, Finland was a top performing market through much of
1999, rising on better than expected earnings from Nokia, the global
telecommunications company whose shares account for more than 70% of the
Finnish market. Austria was the top performing market in February, rising on
better than expected earnings from Bank Austria, the country's largest bank.
Ericsson of Sweden, a cellular phone provider, fueled strong Scandinavian
returns in December.
Pacific Basin
The Pacific Basin rose 57.6% in U.S. dollar terms during the annual period. The
previously struggling Asian and Pacific Rim markets rallied back from 1998's
global economic woes primarily due to falling domestic interest rates, stable
currencies, strong domestic consumption, and improving exports.
o Japan had a particularly strong showing, with its equity market rising based
largely on strong foreign buying and ongoing gains in business sentiment.
-- The bullishness arose after several companies announced restructuring
plans, with the goal of increasing profitability. Some of the companies
included Sony, Oji Paper, and Japan Airlines.
-- By May, the Japanese market reversed some of its earlier gains, as foreign
demand for stock turned negative after four consecutive months of
aggressive buying by foreign hedge funds, asset allocators and active
managers.
-- In June, Japan's equity market rallied back, spurred on by signs of
economic recovery and continued foreign buying of Japanese shares. At June
30, 1999, Japan's EAFE market weight was 24%, the highest level in recent
years.
-- The rally continued in July, spurred on by positive earnings reports from
Sony and the brokerage firms. Its equity index, the Nikkei, reached its
highest level since 1997. Positive economic data continued. The
announcement of the mega-merger between Dai Ichi Kangyo, Industrial Bank
of Japan, and Fuji Bank was a major step in the much needed restructuring
of the Japanese banking system. Industrial production showed increases
and GDP growth indicated strength.
-- In December, Japanese technology stocks rallied mid-month after fears of
U.S. interest rate hikes were abated and continued strong demand for
Japanese products was forecast. Kyocera, an electronics maker, rallied over
125% that month after announcing it is buying U.S. mobile phone giant
Qualcomm's phone making unit, giving it a strong foothold in the North
American cellular phone market.
o Hong Kong's equity market rose, as investors became more optimistic about
corporate earnings.
-- In addition, the Hong Kong government announced in March that it would be
selling its $23 billion stock portfolio over the next three years. In
April, Hong Kong was the best performing EAFE market, as foreigners
increased their equity allocation to the market when the Hong Kong central
bank cut its interest rates by 0.25% to 8.5% and the property market
strengthened.
o Encouraged by investor confidence of economic recovery in the region, other
Asian equity markets also performed well for the annual period. - Singapore,
Australia, and New Zealand were among the stronger performing markets in the
region.
MANAGER OUTLOOK
Global markets appear poised for another interesting year, especially as the
recent exponential growth of the technology industry continues to impact equity
investments worldwide. Furthermore, economic growth continues to improve
globally, a positive indicator, in our view, that corporate profits will do
likewise.
In Europe, the impact of monetary union will continue to ripple through the
various nations' economies. Mergers and acquisitions are likely to continue and
perhaps even accelerate across most sectors, providing upward price momentum. In
our opinion, in the year 2000, the Euro may recover some of the ground lost
against the dollar during the first tumultuous year since its introduction.
Appreciation of the Euro is particularly likely during the months ahead if
European investors take home some of the profits made in 1999 in the U.S. equity
market and if the U.S. economy begins to lose some of its luster.
5
<PAGE>
EAFE Equity Index Fund
Letter to Shareholders
In Japan, the forces of modernization will likely continue their battle against
the inertial forces of "Japan, Inc." Following Japan's best annual stock market
performance since 1986 this past year, global investors, still underweight this
market, may continue to provide positive price pressure in 2000, as Japan
continues to seek to control costs, improve productivity, and increase the
viability of its banks. Outside of Australia and New Zealand, the rest of
developed Asia may, in our view, increasingly look to the U.S. in 2000, both as
a market for its exports as well as an economic bellwether, especially given the
strong links between their currencies and the dollar.
Of course, as an index fund, designed to replicate as closely as possible,
before expenses, the broad diversification and total return of the MSCI EAFE
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 the EAFE Equity Index Fund and look
forward to serving your investment needs for many years ahead.
/s/ Steven Wetter
Steven Wetter
Portfolio Manager of the EAFE Equity Index Portfolio
December 31, 1999
Performance Comparison
EAFE EQUITY INDEX FUND AND MSCI EAFE INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE JANUARY 31, 1996)
(GRAPHIC APPEARS HERE)
EAFE Equity
Index Fund - $16,784 MSCI EAFE Index - $16,635
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
Total Return December 31, 1999
One Year 27.95% Since 1/24/96(1) 14.07%(2)
- ----------
(1) The Fund's inception date.
(2) Annualized.
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. The MSCI EAFE Index is unmanaged and
investments may not be made in an index. The index return does not reflect
expenses, which have been deducted from the Fund's return. Performance figures
assume the reinvestment of dividends and capital gain distributions.
6
<PAGE>
EAFE Equity Index Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of
December 31, 1999
<S><C>
Assets
Investment in EAFE Equity Index Portfolio, at Value $ 120,163,527
Receivable for Shares of Beneficial Interest Subscribed 203,158
Due from Bankers Trust 60,158
Prepaid Expenses and Other 4,656
---------------
Total Assets 120,431,499
---------------
Liabilities
Payable for Shares of Beneficial Interest Redeemed 10,350
Accrued Expenses and Other 44,888
---------------
Total Liabilities 55,238
---------------
Net Assets $ 120,376,261
===============
Composition of Net Assets
Paid-in Capital $ 93,712,911
Distributions in Excess of Net Investment Income (758,098)
Accumulated Net Realized Gain from Investment, Foreign Futures,
Foreign Currency and Forward Foreign Currency Transactions 382,674
Net Unrealized Appreciation on Investment, Foreign Currency and Forward
Foreign Currency Contracts 27,038,774
---------------
Net Assets $ 120,376,261
===============
Shares Outstanding ($0.001 par value, unlimited number of shares of beneficial
interest authorized) 8,255,918
===============
Net Asset Value, Offering and Redemption Price Per Share (net assets divided
by shares outstanding) $ 14.58
===============
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
EAFE Equity Index Fund
Statement of Operations
<TABLE>
<CAPTION>
For the year ended
December 31, 1999
<S><C>
Investment Income
Income Allocated from EAFE Equity Index Portfolio, Net $ 1,130,135
---------------
Expenses
Administration and Services Fees 105,151
Professional Fees 41,425
Registration Fees 34,548
Servicing Fees 16,357
Trustees Fees 3,931
Commitment Fees 3,305
Miscellaneous 10,778
---------------
Total Expenses 215,495
Less: Fee Waivers or Expense Reimbursements (180,142)
---------------
Net Expenses 35,353
---------------
Net Investment Income 1,094,782
---------------
Realized and Unrealized Gain (Loss) on Investment, Foreign Futures,
Foreign Currencies and Forward Foreign Currency Contracts
Net Realized Gain (Loss) from:
Investment Transactions 79,426
Foreign Futures Transactions 1,871,867
Foreign Currency Transactions (363,595)
Forward Foreign Currency Transactions (67,919)
Net Change in Unrealized Appreciation/Depreciation on Investment, Foreign
Futures, Foreign Currency, and Forward Foreign Currency Contracts 18,679,434
---------------
Net Realized and Unrealized Gain on Investment, Foreign Futures, Foreign
Currencies and Forward Foreign Currency Contracts 20,199,213
---------------
Net Increase in Net Assets from Operations $ 21,293,995
===============
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
EAFE Equity Index Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the years ended December 31,
1999 1998
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,094,782 $ 604,084
Net Realized Gain from Investment, Foreign Futures,
Foreign Currencies and Forward Foreign Currency
Transactions 1,519,779 39,644
Net Change in Unrealized Appreciation/Depreciation
on Investment, Foreign Futures, Foreign Currencies
and Forward Foreign Currency Contracts 18,679,434 6,726,636
-------------- -------------
Net Increase in Net Assets from Operations 21,293,995 7,370,364
-------------- -------------
Distributions to Shareholders
Net Investment Income (684,090) (604,084)
Distributions in Excess of Net Investment Income (217,876) (287,215)
Net Realized Gain from Investment Transactions (988,759) (39,644)
Distributions in Excess of Net Realized Gains -- (346,658)
-------------- -------------
Total Distributions (1,890,725) (1,277,601)
-------------- -------------
Capital Transactions in Shares of Beneficial Interest
Net Increase Resulting from Institutional Class Shares 58,510,864 1,460,464
Net Decrease Resulting from Advisor Class Shares(1) -- (3,811,950)
-------------- -------------
Net Increase (Decrease) from Capital Transactions in
Shares of Beneficial Interest 58,510,864 (2,351,486)
-------------- -------------
Total Increase in Net Assets 77,914,134 3,741,277
Net Assets
Beginning of Year 42,462,127 38,720,850
-------------- -------------
End of Year $ 120,376,261 $ 42,462,127
============== =============
</TABLE>
- ----------
(1) On July 10, 1998 shareholders of the Advisor Class exchanged their shares
into the Institutional Class and the Advisor Class ceased operations.
See Notes to Financial Statements.
9
<PAGE>
EAFE Equity 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 periods
indicated for the Institutional Class of EAFE Equity Index Fund.
Institutional Class Shares
<TABLE>
<CAPTION>
For the period
Jan. 24, 1996(1)
For the years ended December 31, to
1999 1998(3) 1997 Dec. 31, 1996
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $11.59 $ 9.98 $10.62 $10.00
------ ------ ------ ------
Income from Investment Operations
Net Investment Income 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 3.15 1.81 (0.02) 0.60
------ ------ ------ ------
Total from Investment Operations 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 $14.58 $11.59 $ 9.98 $10.62
====== ====== ====== ======
Total Investment Return 27.95% 19.81% 2.11% 7.22%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $120,376 $42,462 $35,509 $39,667
Ratios to Average Net Assets:
Net Investment Income 1.56% 1.50% 1.70% 1.64%(2)
Expenses After Waivers, Including
Expenses of the EAFE Equity Index
Portfolio 0.40% 0.40% 0.40% 0.40%(2)
Expenses Before Waivers, Including
Expenses of the EAFE Equity Index
Portfolio 0.71% 0.83% 0.73% 0.88%(2)
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.31% 0.43% 0.33% 0.48%(2)
</TABLE>
- ----------
(1) Commencement of operations.
(2) Annualized.
(3) Advisor Class Shares were converted to Institutional Class Shares on July
10, 1998.
See Notes to Financial Statements.
10
<PAGE>
EAFE Equity 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 periods
indicated for the Advisor Class of EAFE Equity Index Fund.
ADVISOR CLASS SHARES
<TABLE>
<CAPTION>
For the period For the period
January 1, 1998 For the June 21, 1996(1)
through year ended to
July 10, 1998(4) Dec. 31, 1997 Dec. 31, 1996
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 9.63 $10.14 $10.00
------- ------ ------
Income from Investment Operations
Net Investment Income 0.10 0.05 0.02
Net Realized and Unrealized Gain from Investment,
Foreign Futures, Foreign Currencies and Forward
Foreign Currency Transactions 1.54 0.13 0.12
------- ------ ------
Total from Investment Operations 1.64 0.18 0.14
------- ------ ------
Distributions to Shareholders
Net Investment Income -- (0.08) (0.00)(3)
Net Realized Gain from Investment Transactions -- (0.61) (0.00)(3)
------- ------ ------
Total Distributions -- (0.69) (0.00)(3)
------- ------ ------
Net Asset Value, End of Period $ 11.27 $ 9.63 $10.14
======= ====== ======
Total Investment Return 17.03% 1.89% 1.57%
Supplemental Data and Ratios:
Net assets, end of period (000s omitted) $ -- $3,212 $ 717
Ratios to Average Net Assets:
Net Investment Income 2.06%(2) 1.17% 0.67%(2)
Expenses After Waivers, Including Expenses
of the EAFE Equity Index Portfolio 0.65%(2) 0.65% 0.65%(2)
Expenses Before Waivers, Including Expenses
of the EAFE Equity Index Portfolio 1.07%(2) 0.98% 2.35%(2)
Decrease Reflected in Above Expense Ratio
Due to Fee Waivers or Expense
Reimbursements 0.42%(2) 0.33% 1.70%(2)
</TABLE>
- ----------
(1) Commencement of operations.
(2) Annualized.
(3) Less than $0.01.
(4) Advisor Class Shares were converted to Institutional Class Shares on July
10, 1998.
See Notes to Financial Statements.
11
<PAGE>
EAFE Equity Index Fund
Notes to Financial Statements
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. The EAFE Equity Index Fund (the "Fund") is one of
the funds offered to investors by the Trust.
The Fund offers one class of shares to investors: the Institutional Class. The
Institutional shares began operations and offering shares of beneficial interest
on January 24, 1996. The Fund previously offered another class of shares, the
Advisor Class, which began operations on June 21, 1996. On July 10, 1998, the
Fund's Advisor Class was closed and all Advisor Class shares were exchanged into
the Fund's Institutional Class based on a 1 to 1.0382 exchange ratio. As a
result of the exchange, 438,740 shares of the Institutional Class representing
$5,133,257 in net assets were issued at the net asset value of $11.70 per share.
The Fund invests substantially all of its assets in the EAFE Equity Index
Portfolio (the "Portfolio"). The Portfolio 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. At December 31, 1999, the Fund's proportionate interest in the
Portfolio's net assets was approximately 100%.
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
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 security 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 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 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 generally
accepted accounting principles. The Fund has deferred a post October currency
loss of $248,001 and a post October capital loss of $465,630 to the next year.
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 all of the Trust's funds are allocated
among them. Investment transactions are accounted for on the trade date basis.
Realized gains and losses are determined on the identified cost basis.
12
<PAGE>
EAFE Equity Index Fund
Notes to Financial Statements
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements. Actual results
could differ from those estimates.
Note 2--Fees and Transactions with Affiliates
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%.
Bankers Trust has contractually agreed to waive its fees through April 30, 2000
and reimburse expenses of the Institutional Class, to the extent necessary, to
limit all expenses to .05% of the average daily net assets of the Class,
excluding expenses of the Portfolio and .40% of the average daily net assets of
the Class, including expenses of the Portfolio.
For the period January 1, 1999 through April 30, 1999 and the year ended
December 31, 1998, a shareholder transaction fee of 0.25%, which amounted to
$23,772 and $25,961, respectively, was paid when investors bought, sold, or
exchanged shares of the Fund. These transaction fees were paid directly to the
Fund and were deducted automatically from the amount invested, exchanged, or
redeemed (with the exception of reinvested dividends or capital gain
distributions.)
ICC Distributors, Inc. provides distribution services to the Fund.
Note 3--Shares of Beneficial Interest
At December 31, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
Institutional Class Shares(1)
-------------------------------------------------------------
For the Year Ended For the Year Ended
December 31, 1999 December 31, 1998
-------------------------------------------------------------
Shares Amount Shares Amount
---------- -------------- ------------ -------------
Sold 4,816,704 $ 61,160,201 190,462 $ 2,131,517
Reinvested 111,552 1,572,177 109,811 1,258,105
Redeemed (335,372) (4,221,514) (632,885) (7,062,415)
Exchanged -- -- 438,740 5,133,257
---------- -------------- ----------- -------------
Net Increase 4,592,884 $ 58,510,864 106,128 $ 1,460,464
========== ============== =========== =============
Advisor Class Shares(1)
------------------------------
For the Period
January 1, 1998
through
July 10, 1998
------------------------------
Shares Amount
---------- -----------
Sold 211,779 $ 2,284,004
Reinvested -- --
Redeemed (89,978) (962,697)
Exchanged (455,480) (5,133,257)
--------- ------------
Net Decrease (333,679) $ (3,811,950)
========= ============
- ----------
(1) On July 10, 1998 shareholders of the Advisor Class exchanged their shares
into the Institutional Class and the Advisor Class ceased operations.
Note 4--Class Name Change
On April 30, 2000, the Class will change its name from EAFE Equity Index Fund
Institutional Class to EAFE Equity Index Fund-Premier Class.
13
<PAGE>
EAFE Equity Index Fund
Report of Independent Accountants
To the Board of Directors of BT Advisor Funds and
Shareholders of EAFE Equity Index Fund
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
EAFE Equity Index Fund (one of the funds comprising the BTAdvisor Funds,
hereafter referred to as the "Fund") at December 31, 1999, and the results of
its operations, the changes in its net assets and the financial highlights for
each of the fiscal periods presented, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the transfer agent, provide a reasonable basis
for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
Tax Information (Unaudited) For the Tax Year Ended December 31, 1999
We are providing this information as required by the Internal Revenue Code. The
amounts may differ from those elsewhere in this report because of differences
between tax and financial statement reporting requirements.
During the year ended December 31, 1999, the Fund received income from foreign
sources in the amount of $1,150,532. The Fund has paid foreign taxes in the
amount of $110,116. Such amounts are eligible for the foreign tax credit. You
should consult your tax advisor relating to the appropriate treatment of foreign
taxes paid.
14
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
Common Stocks - 87.4%
Australia - 2.1%
10,369 Amcor Ltd. $ 48,403
68 AMP Income Securities 4,194
13,302 AMP Ltd. (1) 146,488
2,477 AMP Reinsurance Notes1 0
5,037 Australia Gas Light Company 29,465
7,658 Boral Ltd. 11,826
2,627 Brambles Industries 72,407
20,130 Broken Hill Proprietary Co. Ltd. 263,450
15,727 Coca-Cola Amatil Ltd. 42,810
13,335 Coles Myer Ltd. 68,653
13,905 Colonial Ltd. 61,961
715 CSL Ltd. 10,246
14,416 CSR Ltd. 34,902
24,171 Foster's Brewing Group 69,116
8,002 General Property Trust 12,985
5,881 Lend Lease Corp. Ltd. 82,120
19,056 M.I.M. Holdings Ltd. 19,576
16,685 National Australia Bank 254,381
1,545 Newcrest Mining Ltd.(1) 5,257
22,360 News Corporation 216,392
22,289 Normandy Mining Ltd. 15,751
6,636 North Ltd. 15,588
3,742 Orica Ltd. 20,102
10,600 Pacific Dunlop 14,954
8,900 Pioneer International 26,730
3,974 Rio Tinto Ltd. 85,086
6,613 Santos Ltd. 17,958
7,805 Southcorp Holdings Ltd. 27,425
3,185 TABCORP Holdings Ltd. 21,495
85,951 Telstra Corp. Ltd. 465,676
1,647 Wesfarmer Ltd. 13,547
18,472 Westfield Trust - Units 36,140
22,112 Westpac Banking Corp., Ltd.(3) 152,023
13,745 WMC Ltd. 75,549
13,113 Woolworths Ltd. 44,961
------------
2,487,617
------------
Shares Description Value
- ------ ----------- -----
Austria - 0.2%
230 Austria Tabakwerke AG $ 11,065
1,340 Bank Austria AG 75,213
70 Boehler-Uddeholm AG 3,213
100 Ea-Generali AG 16,683
310 Flughafen Wien AG 10,723
380 Oesterreichische
Elektrizitaetswirtschafts AG -- A 53,132
310 OMV AG 29,984
220 RHI AG 6,304
160 VA Technologie AG 10,504
990 Weinerberger
Baustoffindustrie AG 21,423
------------
238,244
------------
Belgium - 0.8%
71 Barco NV 9,892
120 Bekaert NV 6,627
220 Colruyt NV 12,569
29 D'Ieteren SA 11,824
389 Delhaize - Le Lion, SA 29,164
22 Dolmen Computer Applications(1) 662
657 Electrabel SA 214,016
8,451 Fortis-- B 303,411
2,223 Fortis-- B - Strip VVPR1 22
50 Fortis Banque Stps VVPR(1) 10
223 Groupe Bruxelles Lambert SA 44,703
3,647 KBC Bancassurance Holding 195,563
1,185 Solvay SA-- A 97,394
1,829 UCB SA 78,920
141 Union Miniere SA 5,455
------------
1,010,232
------------
Denmark - 0.7%
200 Carlsberg - AS-- A 7,327
300 Carlsberg - AS-- B 11,314
13 D/S 1912-- B 152,337
8 D/S Svendborg-- B 132,537
668 Danisco AS 25,913
See Notes to Financial Statements.
15
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
600 Den Danske Bank $ 65,460
85 Falck AS 8,873
500 FLS Industries AS-- B 12,526
709 Iss International Service
System AS-- B 47,462
184 Navision Software AS(1) 13,259
963 Novo Nordisk AS -- B 127,114
2,483 Tele Danmark AS 183,608
900 Uni-Danmark AS-- A 63,036
112 Vestas Wind Systems AS(1) 19,762
104 William Demant Holding 9,806
------------
880,334
------------
Finland - 3.1%
1,100 Kemira Oyj 6,670
900 Kesko 11,366
12,400 Merita Oyj 72,583
200 Metra Oy-- A 3,648
200 Metra Oy-- B 3,708
1,900 Metso Oyj(1) 24,566
14,800 Nokia Oyj 2,670,130
800 Outokumpu Oy-- A 11,266
2,100 Raisio Group PLC 8,272
700 Sampo Insurance Co. Ltd.-- A 24,346
37 Sanitec Oyj 402
9,200 Sonera Group Oyj 627,501
300 Stockmann AB-- A 4,811
50 Stockmann AB-- B 717
1,100 Tietonator Oyj Abp 68,357
4,100 UPM - Kymmene Corp. 164,377
------------
3,702,720
------------
France - 8.8%
2,220 Accor SA 106,738
2,144 Alcatel Alsthom 489,957
3,764 AXA - UAP 522,136
4,837 Banque Nationale de Paris 444,089
347 Bouygues 219,461
1,361 Canal Plus 197,117
916 Cap Gemini SA 231,363
3,662 Carrefour Supermarche 672,055
800 Casino Guichard Perracho(3) 91,169
33 Coflexip 2,386
1,023 Compagnie de Saint-Gobain 191,434
Shares Description Value
- ------ ----------- -----
616 Dassault Systemes SA $ 39,947
200 Eridania Beghin-Say SA 21,409
50 Essilor International 15,435
10,620 France Telecom SA 1,397,615
148 Gecina 16,614
846 Groupe Danone 198,420
100 Imetal SA 14,834
1,016 L'Air Liquide 169,248
724 L'Oreal 577,993
1,084 Lafarge SA 125,599
867 Lagardere SCA 46,926
1,067 LVMH 475,587
1,262 Michelin-- B 49,331
465 Pechiney SA-- A 33,068
450 Pernod Ricard 25,619
1,264 Pinault-Printemps-Redoute SA 331,930
547 PSA Peugeot Citroen 123,578
25 Publicis SA 9,397
7,536 Rhone-Poulenc-- A 435,828
8,002 Sanofi-Synthelabo SA(1) 331,564
1,598 Schneider SA 124,851
250 Sidel SA 25,684
100 Simco SA 8,053
300 Societe BIC SA 13,585
9 Societe Eurafrance 5,394
1,079 Societe Generale Paris 249,823
220 Sodexho 38,743
3,130 STmicroelectronics NV 479,364
1,237 Suez Lyonnaise des Eaux-Dumez 197,260
936 Suez Lyonnaise des Eaux 150,011
1,959 Thomson CSF 64,383
1,148 Total Fina SA 153,611
972 Total Fina SA - STRIP VVPR(1) 10
6,582 Total SA-- B 874,122
1,800 Usinor Sacilor 33,647
510 Valeo SA 39,156
6,279 Vivendi 564,208
------------
10,629,752
------------
Germany - 8.3%
315 Adidas AG 23,522
2,391 Allianze AG 799,233
6,070 BASF AG 310,282
7,145 Bayer AG 336,588
See Notes to Financial Statements.
16
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
4,083 Bayerische Vereinsbank $ 277,464
500 Beiersdorf AG 33,407
550 Continental AG 10,943
9,760 Daimler-Chrysler AG 755,206
5,905 Deutsche Bank AG 496,274
4,225 Deutsche Lufthansa AG 97,822
29,055 Deutsche Telekom 2,058,915
4,958 Dresdner Bank AG 268,348
1,200 EM TV 46,427
1,300 EM.TV & Merchandising AG 83,391
500 Fresenius Medical Care 42,222
300 Gehe AG 11,577
552 Heidelberger Zement AG 43,155
100 Heidl Zement AG VVPR(1) 9
500 Hochtief AG 18,543
850 Karstadt AG 33,908
1,266 Linde AG 68,902
550 MAN AG(3) 20,562
4,800 Mannesmann AG 1,152,245
1,690 Merck KGAA 52,172
2,792 Metro AG(3) 149,436
1,686 Muenchener Rueckversicherungs-
Gesellschaft AG 425,512
1,711 Preussag AG 94,836
4,350 RWE AG 169,604
1,285 RWE AG 39,411
625 SAP AG 306,328
460 SAP AG - Vorzug 275,713
755 Shering AG 90,808
5,635 Siemens AG 713,338
5,400 Thyssen Krupp AG 163,726
4,875 VEBA AG 235,760
6,708 Viag AG 122,367
3,230 Volkswagen AG 181,134
------------
10,009,090
------------
Hong Kong - 1.9%
15,076 Bank of East Asia Ltd. 41,891
35,000 Cathay Pacific Airways 62,359
23,000 Cheung Kong Holdings Ltd. 292,177
22,500 CLP Holdings Ltd. 103,621
11,000 Hang Lung Development Co. 12,453
Shares Description Value
- ------ ----------- -----
19,400 Hang Seng Bank Ltd. $ 221,489
13,000 Hong Kong & Shanghai Hotels Ltd. 8,613
45,909 Hong Kong and China Gas Co. Ltd. 62,897
121,081 Hong Kong Telecommunications
Ltd. 349,683
7,600 Hopewell Holdings Ltd. 4,522
38,000 Hutchison Whampoa Ltd. 552,387
11,503 Hysan Development Co. Ltd. 14,576
8,000 Johnson Electric Holdings Ltd. 51,354
18,100 New World Development Co. Ltd. 40,747
12,000 Shangri-La Asia Ltd. 13,739
23,045 Sino Land Co. 13,266
24,297 Sun Hung Kai Properties Ltd. 253,174
15,000 Swire Pacific Ltd.-- A 88,570
5,000 Television Broadcasts Ltd. 34,090
23,102 Wharf Holdings Ltd. 53,642
------------
2,275,250
------------
Ireland - 0.4%
10,257 Allied Irish Banks PLC 116,376
4,768 CRH PLC 102,270
536 DCC PLC 3,976
26,648 Eircom PLC 113,515
1,341 Greencore Group PLC 4,099
1,303 Independent Newspapers PLC 8,502
3,440 Irish Permanent PLC 32,410
15,506 Jefferson Smurfit Group PLC 46,625
1,653 Kerry Group PLC 19,716
965 Ryanair Holdings PLC(1) 10,253
5,189 Waterford Wedgwood Units 5,253
------------
462,995
------------
Italy - 4.0%
23,919 Alitalia SPA 56,699
1,951 Arnoldo Mondadori Editore SPA 61,598
12,125 Assicurazioni Generali 398,615
2,886 Autogrill SPA(1) 36,158
3,823 Banca Commerciale Italiana 15,442
67,062 Banca Di Roma 85,768
50,428 Banca Intesa SPA 203,692
15,682 Bancario San Paolo di Torino 212,037
22,250 Bennetton Group SPA 50,847
621 Bulgari SPA 5,552
85,744 Enel SPA(1) 357,516
See Notes to Financial Statements.
17
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
92,777 ENI SPA $ 507,728
4,815 Fiat SPA 136,819
49,375 Istituto Nazionale delle
Assicurazioni 130,155
891 Italcementi SPA 10,717
5,851 Italgas SPA 22,050
13,632 Mediaset SPA 210,962
6,760 Mediobanca SPA 68,636
32,508 Montedison SPA 52,947
43,321 Olivetti Group(1) 124,834
9,197 Parmalat Finanziaria SPA 11,707
22,967 Pirelli SPA 62,729
7,121 Riunione Adriatica di Sicurta SPA 71,088
76,318 Telecom Italia Mobile SPA 848,314
18,947 Telecom Italia Mobile SPA 89,826
8,838 Telecom Italia New 53,593
42,894 Telecom Italia SPA 601,898
59,876 Unicredito Italiano SPA 292,867
24,686 Unione Immobiliare SPA 11,382
------------
4,792,176
------------
Japan - 22.2%
2,000 77 Bank Ltd. 20,927
1,500 Acom Co. Ltd. 146,695
1,000 Advantest Corporation 263,788
8,000 Ajinomoto Co., Inc. 83,240
1,000 Alps Electronic Co. Ltd. 15,231
3,000 Amada Co. Ltd. 16,384
29,000 Asahi Bank Ltd. 178,496
5,000 Asahi Breweries Ltd. 54,614
13,000 Asahi Chemical Industry Co. Ltd. 66,680
13,000 Asahi Glass Co. Ltd. 100,464
5,000 Bank of Fukuoka Ltd. 34,634
46,000 Bank of Tokyo - Mitsubishi Ltd. 639,969
14,000 Bank of Yokohama Ltd. 64,423
600 Benesse Corp. 144,204
9,000 Bridgestone Corp. 197,841
9,000 Canon, Inc. 356,993
3,000 Casio Computer Co. Ltd. 24,913
19 Central Japan Railway Co. 118,988
8,000 Chichibu Onoda Cement 15,241
4,000 Citizen Watch Co. Ltd. 25,402
7,000 Cosmo Oil Co. Ltd. 10,464
Shares Description Value
- ------ ----------- -----
800 Credit Saison Co. Ltd. $ 13,912
1,000 CSK Corp. 162,181
8,000 Dai Nippon Printing Co. Ltd. 127,400
4,000 Daiei, Inc.(3) 15,827
2,000 Daiichi Pharmaceutical 25,967
3,000 Daikin Industries Ltd. 40,741
9,000 Dainippon Ink & Chemicals, Inc. 26,643
10,000 Daiwa Bank Ltd. 29,310
5,000 Daiwa House Industry Co. Ltd. 37,126
14,000 Daiwa Securities Co. Ltd. 218,709
9,000 Denso Corp. 214,547
41 East Japan Railway Co. 220,712
2,000 Ebara Corp. 22,275
3,000 Eisai Co. Ltd. 57,594
2,500 Fanuc 317,767
35,000 Fuji Bank Ltd.(3) 339,553
5,000 Fuji Photo Film Co. 182,209
5,000 Fujikura Ltd. 19,833
19,000 Fujitsu Ltd. 865,028
7,000 Furukawa Electric Co. Ltd. 106,004
3,000 Gunma Bank 19,491
300 Hirose Electric Co. 67,149
32,000 Hitachi Ltd. 512,725
6,000 Hitachi Zosen Corp. 4,514
10,000 Honda Motor Co. Ltd. 371,257
1,000 House Foods Industry 15,143
1,000 Hoya Corp. 78,648
2,000 INAX 11,177
27,000 Industrial Bank of Japan 259,831
11,000 Ishikawajima-Harima Heavy
Industries Co. 12,681
4,000 Ito -Yokado Co. Ltd. 433,784
14,000 Itochu Corp. 69,620
17,000 Japan Airlines(1,3) 50,325
18,000 Japan Energy Corp. 16,355
21 Japan Tobacco 160,442
9,000 Joyo Bank 41,327
3,000 JUSCO Co. 52,201
13,000 Kajima Corp. 38,738
4,000 Kaneka Corp 51,077
10,200 Kansai Electric Power Co., Inc. 177,482
7,000 Kao Corp. 199,355
See Notes to Financial Statements.
18
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
8,000 Kawasaki Heavy Industries Ltd. $ 10,630
31,000 Kawasaki Steel Corp. 55,425
2,000 Kinden Corp. 15,339
15,000 Kinki Nippon Railway 60,085
11,000 Kirin Brewery Co. Ltd. 115,529
2,000 Kokuyo 26,574
12,000 Komatsu Ltd. 55,102
600 Konami Co. Ltd. 106,981
17,000 Kubota Corp. 64,941
11,000 Kumagai Gumi Co. Ltd.(1,3) 7,523
4,000 Kuraray Co. Ltd. 40,447
2,000 Kurita Water Industries 31,733
2,000 Kyocera Corp. 517,806
3,000 Kyowa Hakko Kogyo 17,967
11,000 Marubeni Corp. 46,104
4,000 Marui Co. Ltd. 59,636
21,000 Matsushita Electric Industrial
Co. Ltd. 580,626
5,000 Meiji Seika 28,382
2,000 Minebea Co. Ltd.(3) 34,253
24,000 Mitsubishi Chemical Corp. 84,412
17,000 Mitsubishi Corp. 131,044
23,000 Mitsubishi Electric Corp. 148,307
14,000 Mitsubishi Estate Co. Ltd. 136,368
37,000 Mitsubishi Heavy Industries Ltd. 123,267
7,000 Mitsubishi Materials Corp. 17,097
14,000 Mitsubishi Trust & Banking Corp. 123,101
17,000 Mitsui & Co. 118,753
8,000 Mitsui Fudosan Co. Ltd. 54,086
7,000 Mitsui Marine &
Fire Insurance Co. Ltd. 41,444
7,000 Mitsui Trust & Banking Co. Ltd. 15,798
8,000 Mitsukoshi Ltd. 28,137
3,000 Murata Manufacturing Co. Ltd. 703,434
2,000 Mycal Corp. 8,695
16,000 NEC Corp. 380,636
12,000 New Oji Paper Co. Ltd. 72,102
2,000 NGK Insulators Ltd. 14,831
400 Nichiei Co., Ltd.(3) 8,676
8,000 Nichirei Corp. 20,712
200 Nidec Corp. 57,643
4,000 Nikon Corp. 117,239
Shares Description Value
- ------ ----------- -----
1,400 Nintendo Co. Ltd. $ 232,250
2,000 Nippon Comsys Ltd. 41,424
10,000 Nippon Express Co. Ltd. 55,200
2,000 Nippon Meat Packers, Inc. 25,890
14,000 Nippon Oil Co. Ltd. 61,550
11,000 Nippon Paper Industries Co. 60,505
72,000 Nippon Steel Corp. 168,121
124 Nippon Telegraph & Telephone
Corp. 2,120,072
12,000 Nippon Yusen Kabushiki Kaisha 49,006
4,000 Nishimatsu Construction(3) 16,023
35,000 Nissan Motor Co. Ltd. 137,463
2,000 Nisshinbo Industries, Inc. 9,027
2,000 Nissin Food Products Co. Ltd. 46,993
1,000 Nitto Denko Corp. 49,924
20,000 Nomura Securities Co. Ltd. 360,510
6,000 NSK Ltd. 40,975
4,000 NTN Corp. 11,802
10,000 Obayashi Corp. 47,189
2,000 Olympus Optical Co. Ltd. 28,235
3,000 Omron Corp. 69,024
2,000 Onward Kashiyama Co. Ltd. 27,358
700 Oriental Land Co. Ltd. 60,046
700 Orix Corporation 157,432
23,000 Osaka Gas Co. Ltd. 55,278
1,000 Pioneer Electronic Corp. 26,379
1,800 Promise Co. Ltd. 91,446
1,200 Rohm Company Ltd. 492,404
41,000 Sakura Bank Ltd. 237,135
5,000 Sankyo Co. Ltd. 102,584
1,000 Sanrio Co. Ltd. 36,930
22,000 Sanyo Electric Co. Ltd. 89,199
4,000 Sapporo Breweries Ltd. 12,896
2,000 Secom Co. Ltd. 219,823
1,800 Sega Enterprises(3) 57,154
3,000 Sekisui Chemical Co. Ltd. 13,277
7,000 Sekisui House Ltd. 61,892
12,000 Sharp Corp. 306,580
400 Shimamura Co. Ltd. 63,309
1,000 Shimano, Inc. 17,586
5,000 Shimizu Corp.(3) 16,511
4,000 Shin-Etsu Chemical Co. Ltd. 171,951
See Notes to Financial Statements.
19
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
2,000 Shiongi & Co. Ltd. $ 24,249
4,000 Shiseido Co. Ltd. 58,229
7,000 Shizuoka Bank 71,672
12,000 Showa Denko K.K. 13,717
1,000 Skylark 23,497
700 SMC Corp. 154,628
3,000 Snow Brand Milk Products 12,076
900 Softbank Corp. 859,948
4,100 Sony Corp. 1,213,717
31,000 Sumitomo Bank Ltd.(3) 423,711
15,000 Sumitomo Chemical Co. 70,343
10,000 Sumitomo Corp. 96,820
7,000 Sumitomo Electric Industries 80,768
2,000 Sumitomo Forestry Co. 15,436
10,000 Sumitomo Marine & Fire 61,550
19,000 Sumitomo Metal Industries Ltd. 14,293
7,000 Sumitomo Metal Mining Co. 15,593
6,000 Taisei Corp.(3) 11,372
4,000 Taisho Pharmaceutical Co. 117,239
1,000 Taiyo Yuden Co. Ltd. 59,206
2,000 Takashimaya Co. Ltd. (3) 13,756
9,000 Takeda Chemical Industries 444,043
1,500 Takefuji Corp. 187,436
16,000 Teijin Ltd. 58,932
2,000 Terumo Corp. 53,344
7,000 Tobu Railway Co. Ltd. 20,517
300 Toho Co. 43,789
4,600 Tohoku Electric Power 68,311
24,000 Tokai Bank (3) 151,004
16,000 Tokio Marine & Fire Insurance Co. 186,801
1,000 Tokyo Broadcasting System 33,804
2,000 Tokyo Dome Corp. 9,575
13,600 Tokyo Electric Power Co. 364,066
2,000 Tokyo Electron Ltd. 273,558
25,000 Tokyo Gas Co. Ltd. 60,818
6,000 Tokyu Corp. 14,596
8,000 Toppan Printing Co. Ltd. 79,723
13,000 Toray Industries, Inc. 50,296
33,000 Toshiba Corp. 251,478
2,000 Tostem Corp. 35,856
5,000 Toto Ltd. 30,189
2,000 Toyo Seikan Kaisha 28,919
8,000 Toyobo Ltd. 10,395
Shares Description Value
- ------ ----------- -----
37,000 Toyota Motor Corp. $ 1,789,360
11,000 Ube Industries Ltd. 22,891
1,000 Uni-Charm Corp. 57,545
2,000 Uny Co. Ltd. 19,520
3,000 Wacoal Corp. 26,349
200 World Co. Ltd. 24,816
2,000 Yamaha Corp. 12,974
14,000 Yamaichi Securities Co. Ltd.(1) --
3,000 Yamanouchi Pharmaceutical
Co. Ltd. 104,636
5,000 Yamato Transport Co. Ltd. 193,444
2,000 Yamazaki Baking Co. Ltd. 21,670
------------
26,637,944
------------
Netherlands - 5.3%
8,130 AEGON NV(3) 781,461
3,513 Akzo Nobel 175,350
17,695 Algemene Bank Nederland NV 439,846
1,707 ASM Lithography Holding NV1 188,715
1,607 Baan 22,598
7,955 Elsevier NV 94,563
1,361 Getronics NV 108,039
1,043 Hagemeyer NV 24,034
3,777 Heineken NV 183,303
11,831 ING Groep NV 710,782
612 KLM NV 15,642
8,000 Koninklijke Ahold NV 235,661
5,873 Koninklijke KPN NV 570,403
313 Oce NV 5,264
4,182 Philips Electronics NV 565,869
25,867 Royal Dutch Petroleum Co. 1,577,629
5,839 TNT Post Group NV 166,502
6,619 Unilever NV 363,821
2,763 Wolters Kluwer NV - CVA 93,050
------------
6,322,532
------------
New Zealand - 0.1%
20,319 Brierley Investments Ltd. 4,239
22,106 Carter Holt Harvey Ltd. 28,821
7,114 Contact Energy Ltd. 12,428
2,236 Fletcher Challenge Building 3,288
4,342 Fletcher Challenge Energy 11,322
317 Fletcher Challenge Forests 127
3,832 Fletcher Challenge Paper 2,678
See Notes to Financial Statements.
20
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
7,645 Lion Nathan Ltd. $ 17,742
20,395 Telecom Corp. of New Zealand 95,724
------------
176,369
------------
Norway - 0.3%
500 Bergensen d.y. ASA-- A 9,082
7,950 Den Norske Bank ASA 32,543
700 Elkem ASA 16,113
600 Hafslund ASA-- A 3,613
780 Kvaerner ASA(3) 16,401
800 Merkantildata AS 9,655
1,600 NCL Holdings ASA(1) 6,888
3,300 Norsk Hydro ASA 137,959
400 Norske Skogindustrier ASA-- A 20,803
2,564 Orkla ASA-- A 44,024
1,200 Petroleum Geo-Services ASA(1) 21,351
850 Schibsted ASA 15,758
1,200 Tomra Systems ASA 20,306
4,150 Uni-Storebrand ASA-- A 31,497
------------
385,993
------------
Portugal - 0.4%
12,600 Banco Comercial Portugues, SA 69,586
1,181 Banco Espirito Santo e Comercial
de Lisboa, SA 33,026
2,895 BPI SGPS SA 12,274
2,000 Brisa- Auto Estradas de
Portugal SA 15,275
1,553 Cimentos de Portugal 25,683
7,193 Electricidade de Portugal, SA 124,942
866 Jeronimo Martins, SGPS, SA 22,047
12,445 Portugal Telecom SA 135,838
44 Sagem S. A. 30,430
572 Sonae Investimentos -
Sociedade Gestor a de
Participacoes Sociais, SA 30,042
------------
499,143
------------
Singapore - 1.1%
13,000 City Developments Ltd. 76,080
1,000 Creative Technology Ltd. 18,127
2,000 Cycle & Carriage Ltd. 6,182
18,513 DBS Group Holdings Ltd.(3) 303,363
8,750 DBS Land Ltd. 17,227
3,000 Fraser & Neave Ltd. 11,074
Shares Description Value
- ------ ----------- -----
6,750 Keppel Corp. Ltd. $ 17,665
17,337 Oversea - Chinese Banking
Corp., Ltd. 159,217
4,000 Parkway Holdings Ltd. 9,076
32,329 Sembcorp Industries Ltd. 44,050
16,000 Singapore Airlines Ltd. 181,512
2,000 Singapore Press Holdings Ltd. 43,337
2,296 Singapore Press Holdings
Ltd. - 100(1) 49,889
39,000 Singapore Technologies
Industrial Corp. 60,396
86,000 Singapore Telecommunications
Ltd. 177,575
12,000 United Industrial Corp. Ltd. 6,771
9,448 United Overseas Bank Ltd. 83,364
------------
1,264,905
------------
Spain - 2.4%
490 Acerinox SA 19,449
5,615 Argentaria SA 131,299
2,826 Autopistas Concesionaria
Espanola SA 27,334
21,388 Banco Bilbao Vizcaya SA(3) 303,122
41,047 Banco Santander Central
Hispano SA 462,430
786 Corporacion Financiera Alba SA 26,754
860 Corporacion Mapfre 14,067
12,405 Endesa SA 245,065
1,320 Fomento de Construcciones y
Contrates SA 26,725
4,543 Gas Natural SDG- E 104,137
1,451 General de Aguas de Barcelona 21,146
485 Grupo Dragados SA 4,258
11,463 Iberdrola SA 158,094
13,807 Repsol SA 318,568
2,409 Sol Melia SA 27,164
4,935 Tabacalera SA-- A(3) 70,238
35,814 Telefonica SA 890,231
2,023 Union Electrica Fenosa SA 35,160
643 Vallehermoso SA 4,498
------------
2,889,739
------------
Sweden - 3.0%
1,118 ABB Ltd.(1) 135,709
500 Assidoman AB 8,106
See Notes to Financial Statements.
21
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
6,372 AstraZeneca Group PLC $ 268,514
2,071 Atlas Copco AB-- A 60,969
342 Atlas Copco AB-- B 9,688
700 Drott AB-- B 7,948
4,700 Electrolux AB-- B 117,733
22,900 Ericsson Lm-- B 1,466,260
6,650 ForeningsSparbanken AB 97,302
3,100 Gambro AB-- A 27,759
10,100 Hennes & Mauritz AB-- B 336,941
1,500 Netcom Systems AB-- B 104,998
300 Om Gruppen AB 6,497
2,200 Sandvik AB-- A 68,629
300 Sandvik AB-- B 9,517
4,300 Securitas AB-- B 77,514
6,100 Skandia Forsakrings AB 183,506
9,060 Skandinaviska Enskilda
Banken-- A 91,204
1,800 Skanska AB-- B 66,791
400 SKF AB-- B 9,692
2,866 Svenska Cellulosa AB-- B 84,541
8,200 Svenska Handelsbanken
AB-- A 102,704
600 Svenskt Stal AB-- A 9,271
1,900 Swedish Match AB 6,605
400 Trelleborg AB-- B 3,582
1,500 Volvo AB-- A 37,750
3,800 Volvo AB-- B 97,858
1,100 Wm-Data AB-- B 67,728
------------
3,565,316
------------
Switzerland - 5.6%
2,615 ABB Ltd.(1) 318,149
210 Adecco SA 162,676
80 Alusuisse-Lonza Holding AG 58,673
3,350 Credit Suisse Group 662,369
81 Holderbank Financiere
Glarus AG-- B 110,312
60 Holderbank Financiere
Glarus AG - Reg 21,178
85 Lonza AG 51,401
483 Nestle SA 880,167
861 Novartis AG - Bearer 1,257,561
20 Roche Holding AG - Bearer 324,851
83 Roche Holding AG - Genusscheine 979,989
Shares Description Value
- ------ ----------- -----
100 Sairgroup $ 20,022
10 Schindler Holding AG 15,930
180 Schweizerische Ruckversicherungs-
Gesellschaft 367,819
15 SGS Societe Generale de
Surveillance Holding SA 19,023
100 Societe Suisse pour la
Microelectronique et l'Hogeric AG 23,177
25 Societe Suisse pour la
Microelectronique
et l'Hogeric AG - Bearer 28,643
35 Sulzer AG 22,630
930 Swisscom AG 374,154
2,563 UBS AG 688,491
600 Zurich Allied AG 340,344
------------
6,727,559
------------
United Kingdom - 16.7%
16,068 Abbey National PLC 256,378
18,142 Allied Zurich PLC 214,618
7,785 Amvescap PLC 92,848
2,788 Anglian Water PLC 25,523
3,286 Arjo Wiggins Appleton PLC 10,725
1,829 ARM Holdings PLC(1) 122,039
16,265 Barclays PLC 468,187
9,567 Bass PLC New 118,496
4,466 BBA Group PLC 36,745
1,414 Berkeley Group PLC 16,294
40,094 BG Group PLC 256,378
2,853 BICC Group PLC 4,161
11,724 Blue Circle Industries PLC 66,938
5,280 BOC Group PLC 113,180
10,406 Boots Co. PLC 101,299
206,380 BP Amoco PLC 2,073,902
28,503 British Aerospace PLC 188,117
12,063 British Airport Author 83,309
14,428 British Airways PLC 93,712
26,085 British American Tobacco 145,568
7,023 British Land Co. PLC 46,153
19,585 British Sky Broadcasting Group
PLC 314,705
68,693 British Telecommunications PLC 1,660,688
3,148 Bunzl PLC 17,301
1,732 Burmah Castrol PLC 32,800
See Notes to Financial Statements.
22
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
- ------ ----------- -----
18,315 Cadbury Schweppes PLC $ 107,299
7,226 Canary Wharf Group PLC(1) 44,663
2,073 Caradon PLC 5,212
6,913 Carlton Communications PLC 67,797
48,359 Centrica PLC 139,513
15,095 CGU PLC 238,542
8,798 Compass Group PLC 119,464
37,363 Corus Group PLC 97,252
38,646 Diageo PLC New 309,872
5,364 Dixons Group PLC 128,726
5,509 Electrocomponents PLC 60,820
8,414 EMI Group PLC 81,840
3,338 FKI PLC 13,127
7,579 GKN PLC 122,762
38,552 Glaxo Wellcome PLC 1,089,835
21,490 Granada Group PLC 216,125
9,000 Great Universal Stores PLC 49,826
21,764 Halifax PLC 240,453
9,214 Hanson PLC 76,033
9,042 Hays PLC 143,107
89,784 HSBC Holdings PLC (75p) 1,243,015
6,422 3i Group PLC 114,992
6,527 Imperial Chemical Industries
PLC 69,008
1,637 Johnson Matthey PLC 17,215
16,420 Kingfisher PLC 180,618
13,586 Ladbroke Group PLC 42,753
7,620 Land Securities PLC 84,187
53,653 Legal & General Group PLC 145,922
57,024 Lloyds TSB Group PLC 710,430
4,483 Logica PLC 114,882
29,286 Marconi PLC 516,371
24,267 Marks & Spencer PLC 115,378
4,322 MEPC PLC 30,893
6,689 Misys PLC 101,662
15,613 National Grid Group PLC 118,143
12,834 National Power PLC 73,637
5,001 Nycomed Amersham PLC 32,039
7,209 Pearson PLC 233,304
7,014 Peninsular & Orient Steam
Navigation Co. 116,210
6,103 Pilkington PLC 8,213
785 Provident Financial PLC 8,603
Shares Description Value
- ------ ----------- -----
19,275 Prudential Corp. PLC $ 377,446
248 Psion PLC 10,344
6,776 Railtrack Group PLC 110,847
5,073 Rank Group PLC 16,148
8,800 Reed International PLC 65,454
30,588 Rentokil Initial PLC 111,169
16,590 Reuters Group PLC 228,076
3,294 Rexam PLC 13,272
11,926 Rio Tinto PLC 286,010
2,331 RMC Group PLC 31,370
198 Royal & Sun Alliance Insurance
Group PLC 1,476
8,248 Royal Bank of Scotland Group
PLC 145,429
15,280 Sage Group PLC (The) 186,178
16,310 Sainsbury (J.) PLC 91,478
4,122 Schroders PLC 78,924
16,888 Scottish Power PLC 127,382
5,259 SEMA Group PLC 93,913
43,308 Siebe PLC 233,828
59,976 Smithkline Beecham PLC 760,740
4,572 Smiths Industries PLC 66,871
7,452 Stagecoach Holdings PLC 17,595
3,272 Tate & Lyle PLC 21,410
7,915 Taylor Woodrow PLC 17,094
77,773 Tesco PLC 236,592
5,176 Thames Water PLC 63,692
5,446 TI Group PLC 40,376
33,249 Unilever PLC 231,766
3,122 United Utilities PLC 32,279
317,798 Vodafone Group 1,563,475
7,189 Williams Holding PLC 32,790
7,484 Wolseley PLC 57,294
9,314 WPP Group PLC 146,361
12,764 Zeneca Group PLC 528,282
------------
20,015,168
------------
Total Common Stocks
(Cost $77,984,262) 104,973,078
------------
See Notes to Financial Statements.
23
<PAGE>
EAFE Equity Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares /
Par (000) Description Value
- ------ ----------- -----
Preferred Stock - 0.2%
Australia - 0.2%
24,917 News Corp. Ltd.- Preferred $ 212,769
------------
Germany - 0.0%
400 Volkswagen AG - Preferred 12,749
500 Dyckerhoff AG - Preferred 15,235
------------
27,984
------------
Italy - 0.0%
1,035 Fiat SPA - Preferred 14,886
------------
Total Preferred Stock
(Cost $205,177) 255,639
------------
Short Term Instruments - 11.9%
United States - 11.9%
13,491,362 Institutional Cash Management
Fund 13,491,362
$ 850,000 U.S. Treasury Bill, 4.86%,
04/06/00(2) 838,217
------------
14,329,579
------------
Total Short Term Instruments
(Cost $14,329,745) 14,329,579
------------
Foreign Bonds - 0.0%
United Kingdom
5,753 BG Transco Holdings PLC,
7.055%, 12/14/09(4) 9,334
5,753 BG Transco Holdings PLC,
4.188%, 12/14/22(4) 9,305
5,753 BG Transco Holdings PLC,
7.000%, 12/16/24 9,019
------------
Total Foreign Bonds
(Cost $27,997) 27,658
------------
Total Investments
(Cost $92,547,181) 99.5% $119,585,954
----- ------------
Other Assets in Excess
of Liabilities 0.5 577,590
----- ------------
Net Assets 100.0% $120,163,544
===== ============
- ----------
(1) Non-income producing security.
(2) Held as collateral for Foreign Futures Contracts.
(3) Securities on loan.
(4) Variable rate security. Interest rate disclosed is as of December 31, 1999.
Industry Diversification (Unaudited)
(percentage based on net assets as of 12/31/99)
Telecommunications 13.99%
Cash 11.92
Banks 11.19
Electrical 7.04
Pharmaceuticals 4.72
Utility 4.63
Insurance 4.36
Auto Related 3.04
Oil 2.94
Retail 2.93
Computer 2.51
Financial Services 2.48
Foods 2.44
Consumer Goods 2.41
Energy-Foreign 2.28
Other* 20.64
------
Total Investments 99.52
Other Assets Less Liabilities 0.48
------
100.00%
======
- ----------
* No one industry represents more than 2% of Portfolio holdings.
See Notes to Financial Statements.
24
<PAGE>
EAFE Equity Index Portfolio
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of
December 31, 1999
<S><C>
Assets
Investments, at Value (Cost of $92,547,181) $119,585,954
Cash(1) 922,788
Receivable for Shares of Beneficial Interest Subscribed 4,978
Receivable for Securities Sold 40,702
Receivable for Collateral Under Security Loan Agreements 1,699,960
Interest Receivable 71,427
Receivable for Foreign Taxes Withheld 67,592
Dividends Receivable 69,088
Variation Margin Receivable 1,425
Unrealized Appreciation on Forward Foreign Currency Contracts 61,400
Due from Bankers Trust 8,139
Prepaid Expenses and Other 1,919
------------
Total Assets 122,535,372
------------
Liabilities
Payable for Securities Purchased 501,218
Payable for Collateral Under Security Loan Agreements 1,699,960
Accrued Expenses and Other 49,656
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts 120,994
------------
Total Liabilities 2,371,828
------------
Net Assets $120,163,544
============
Composition of Net Assets
Paid-in Capital $ 92,236,835
Net Unrealized Appreciation on Investments, Foreign Futures, Foreign Currencies
and Forward Foreign Currency Contracts 27,926,709
------------
Net Assets $120,163,544
============
</TABLE>
- ----------
(1) Includes foreign cash of $907,270 with a cost of $906,306.
See Notes to Financial Statements.
25
<PAGE>
EAFE Equity Index Portfolio
Statement of Operations
<TABLE>
<CAPTION>
For the year ended
December 31, 1999
<S><C>
Investment Income
Dividends (net of foreign withholding tax of $109,340) $ 1,326,921
Interest 46,520
Securities Lending Income 1,872
-------------
Total Investment Income 1,375,313
-------------
Expenses
Advisory Fees 165,995
Administration and Services Fees 70,051
Professional Fees 39,924
Trustees Fees 4,576
Printing and Shareholder Reports 4,113
Deferred Organization Expenses 1,796
-------------
Total Expenses 286,455
Less: Fee Waivers or Expense Reimbursements (41,277)
-------------
Net Expenses 245,178
-------------
Net Investment Income 1,130,135
-------------
Realized and Unrealized Gain (Loss) on Investments, Foreign Futures, Foreign
Currencies and Forward Foreign Currency Contracts
Net Realized Gain (Loss) from:
Investment Transactions 79,426
Foreign Futures Transactions 1,871,867
Foreign Currency Transactions (363,595)
Forward Foreign Currency Transactions (67,919)
Net Change in Unrealized Appreciation/Depreciation on Investments, Foreign
Futures, ForeignCurrencies and Forward ForeignCurrency Contracts 18,679,410
-------------
Net Realized and Unrealized Gain on Investments, Foreign Futures, Foreign
Currencies and Forward Foreign Currency Contracts 20,199,189
-------------
Net Increase in Net Assets from Operations $ 21,329,324
=============
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
EAFE Equity Index Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the years ended December 31,
1999 1998
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 1,130,135 $ 629,285
Net Realized Gain from Investments, Foreign Futures,
Foreign Currency and Forward Foreign Currency
Transactions 1,519,779 39,644
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Futures, Foreign Currencies
and Forward Foreign Currency Contracts 18,679,410 6,726,638
------------------ ----------------
Net Increase in Net Assets from Operations 21,329,324 7,395,567
------------------ ----------------
Capital Transactions
Proceeds from Capital Invested 62,410,436 7,492,584
Value of Capital Withdrawn (5,781,396) (9,414,873)
------------------ ----------------
Net Increase (Decrease) in Net Assets from
Capital Transactions 56,629,040 (1,922,289)
------------------ ----------------
Total Increase in Net Assets 77,958,364 5,473,278
------------------ ----------------
Net Assets
Beginning of Year 42,205,180 36,731,902
------------------ ----------------
End of Year $ 120,163,544 $ 42,205,180
================== ================
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
EAFE Equity Index Portfolio
Financial Highlights
Contained below are selected supplemental data and ratios to average net assets
for periods indicated for the EAFE Equity Index Portfolio.
<TABLE>
<CAPTION>
For the period
Jan. 24, 1996(1)
For the years ended December 31, to
1999 1998 1997 Dec. 31, 1996
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $120,164 $42,205 $36,732 $40,392
Ratios to Average Net Assets:
Net Investment Income 1.61% 1.60% 1.74% 1.69%(2)
Expenses After Waivers 0.35% 0.35% 0.35% 0.35%(2)
Expenses Before Waivers 0.40% 0.41% 0.41% 0.46%(2)
Decrease Reflected in the Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.05% 0.06% 0.06% 0.11%(2)
Portfolio Turnover Rate 4% 12% 44% 4%
</TABLE>
- ----------
(1) Commencement of operations.
(2) Annualized.
See Notes to Financial Statements.
28
<PAGE>
EAFE Equity Index Portfolio
Notes to Financial Statements
Note 1--Organization and Significant
Accounting Policies
A. Organization
The EAFE Equity 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 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. 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 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. Security Transactions and Interest Income
Security 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 discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security 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.
I. Security Loans
The Portfolio receives compensation in the form of fees or it retains a portion
of interest on the investment of any
29
<PAGE>
EAFE Equity Index Portfolio
Notes to Financial Statements
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 generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements. Actual results
could differ from those estimates.
Note 2--Fees and Transactions with Affiliates
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 and shareholder services to the Portfolio in return for a fee computed
daily and paid monthly at an annual rate of .10% of the 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 average daily net assets.
Bankers Trust has contractually agreed through April 30, 2000 to waive its fees
and reimburse expenses of the Portfolio, to the extent necessary, to limit all
expenses to .35% of the average daily net assets of the Portfolio.
The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust Company. The Cash Management Fund is offered as a cash management option
to the Portfolio and other accounts managed by Bankers Trust. Distributions from
the Cash Management Fund to the Portfolio as of December 31, 1999 amounted to
$370,137 and are included in dividend income.
At December 31, 1999, the Portfolio was a participant with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, which
expires April 29, 2000. A commitment fee of .10% per annum on the average daily
amount of the available commitment is payable on a quarterly basis and
apportioned equally among all participants. No amounts were drawn down or
outstanding for this fund under the credit facility for the year ended December
31, 1999.
Note 3--Purchases and Sales of Investment Securities
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the year ended December 31, 1999 were
$49,090,837, and $2,721,124, respectively. For federal income tax purposes, the
tax basis of investments held at December 31, 1999 was $93,404,968. The
aggregate gross unrealized appreciation was $30,377,435, and the aggregate gross
unrealized depreciation for all investments was $4,196,449 as of December 31,
1999.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at December 31, 1999
is as follows:
Unrealized
Appreciation
(Depreciation)
Type of Future Expiration Contracts Position (US$)
- -------------- ---------- --------- --------- --------------
CAC40 Index
Futures March 2000 28 Long $113,905
Hang Seng Index
Futures January 2000 5 Long 19,207
Nikkei 225 Index
Futures March 2000 3 Long 5,807
Nikkei 300 Index
Futures March 2000 51 Long 86,483
Topix Index Futures March 2000 28 Long 202,002
IBEX plus Index
Futures January 2000 3 Long 10,347
FTSE 100 Index
Futures March 2000 24 Long 73,710
Aust All Ords
Index Futures March 2000 5 Long 1,055
MIB30 plus Index
Futures March 2000 2 Long 23,489
DAX Index Futures March 2000 15 Long 274,020
---- --------
164 $810,025
==== ========
At December 31, 1999, the Portfolio segregated securities with a value of
approximately $838,000 to cover margin requirements on open futures contracts.
30
<PAGE>
EAFE Equity Index Portfolio
Notes to Financial Statements
Note 5--Open Forward Foreign Currency Contracts
At December 31, 1999, the EAFE Equity Index Portfolio had the following open
forward foreign currency contracts outstanding:
<TABLE>
<CAPTION>
Net Unrealized
Settlement Contract Appreciation
Contracts to Deliver In Exchange For Date Value (US$) (Depreciation) (US$)
- ----------------------------------------------------------------------------------------------------------------------------------
<S><C>
Purchases
- ----------------------------------------------------------------------------------------------------------------------------------
Swiss Franc 288,000 U.S. Dollars 180,327 1/4/00 179,918 (409)
Euro 321,000 U.S. Dollars 322,509 1/4/00 321,739 (770)
Euro 382,549 U.S. Dollars 388,000 1/20/00 383,429 (4,571)
Euro 1,732,000 U.S. Dollars 1,811,360 1/20/00 1,744,470 (66,890)
Euro 163,583 U.S. Dollars 168,000 1/20/00 164,761 (3,239)
Euro 1,645,150 U.S. Dollars 1,677,000 1/20/00 1,656,995 (20,005)
Euro 384,024 U.S. Dollars 387,000 1/20/00 386,789 (211)
British Pound 98,204 U.S. Dollars 159,000 1/20/00 158,275 (725)
British Pound 1,850,000 U.S. Dollars 3,006,990 1/20/00 2,993,485 (13,505)
British Pound 45,165 U.S. Dollars 73,000 1/20/00 73,081 81
British Pound 528,247 U.S. Dollars 858,000 1/20/00 854,757 (3,243)
British Pound 99,825 U.S. Dollars 161,000 1/20/00 161,527 527
Japanese Yen 22,591,830 U.S. Dollars 222,000 1/20/00 220,720 (1,280)
Japanese Yen 234,800,000 U.S. Dollars 2,245,236 1/20/00 2,295,435 50,200
Japanese Yen 10,669,770 U.S. Dollars 103,000 1/20/00 104,309 1,309
Japanese Yen 13,415,972 U.S. Dollars 131,000 1/20/00 131,156 156
Japanese Yen 119,562,125 U.S. Dollars 1,175,000 1/20/00 1,168,854 (6,146)
Japanese Yen 22,755,265 U.S. Dollars 221,000 1/20/00 222,458 1,458
- ----------------------------------------------------------------------------------------------------------------------------------
Total Purchases (67,263)
- ----------------------------------------------------------------------------------------------------------------------------------
Sales
- ----------------------------------------------------------------------------------------------------------------------------------
Euro 210,674 U.S. Dollars 216,000 1/20/00 212,191 3,809
British Pound 1,608,146 U.S. Dollars 2,606,000 1/20/00 2,602,140 3,860
- ----------------------------------------------------------------------------------------------------------------------------------
Total Sales 7,669
- ----------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Depreciation $ (59,594)
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Note 6--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% to the current market value of the loaned
securities for both domestic and international securities, respectively.
At December 31,1999
Market Value % of
of Loaned Market Value Portfolio
Securities of Collateral on Loan
------------ ------------- ------------
$1,612,392 $1,669,960 1.35%
Note 7--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.
31
<PAGE>
EAFE Equity Index Portfolio
Report of Independent Accountants
To the Trustees and Holders of Beneficial Interest of the
EAFE Equity Index Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of EAFE Equity Index Portfolio
(hereafter referred to as the "Portfolio") at December 31, 1999, and the results
of its operations, the changes in its net assets and the financial highlights
for each of the fiscal periods presented, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Portfolio's management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1999 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
32
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EAFE Equity Index Fund
Proxy Results (unaudited)
For the year ended December 31, 1999, the Bankers Trust Advisor Funds
shareholders voted on the following proposals at the annual meeting of
shareholders on October 8, 1999, or as adjourned. The description of each
proposal and number of shares voted are as follows:
1. To elect the Bankers Trust Advisor Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- ------------
Mr. Charles P. Biggar 2,926,809 --
Mr. S. Leland Dill 2,926,809 --
Mr. Richard T. Hale 2,926,809 --
Mr. Bruce E. Langton 2,926,809 --
Mr. Philip Saunders, Jr. 2,926,809 --
Mr. Harry Van Benschoten 2,926,809 --
Dr. Martin J. Gruber 2,926,809 --
Dr. Richard J. Herring 2,926,809 --
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
2,924,157 -- 2,652
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
2,921,934 -- 4,875
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
2,923,574 -- 3,235
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
2,926,809 -- --
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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.
EAFE Equity Index Fund CUSIP #05576L874
BT Advisor Funds 514ANN (12/99)
Distributed by:
ICC Distributors, Inc.
