(GRAPHIC APPEARS HERE)
Mutual Fund
Annual Report
December 31, 1999
Small Cap Index Fund
(GRAPHIC APPEARS HERE)
<PAGE>
Small Cap Index Fund
Table of Contents
Letter to Shareholders 3
Small Cap Index Fund
Statement of Assets and Liabilities 6
Statement of Operations 7
Statements of Changes in Net Assets 8
Financial Highlights 9
Notes to Financial Statements 11
Report of Independent Accountants 13
Tax Information 13
Small Cap Index Portfolio
Schedule of Portfolio Investments 14
Statement of Assets and Liabilities 31
Statement of Operations 32
Statements of Changes in Net Assets 33
Financial Highlights 34
Notes to Financial Statements 35
Report of Independent Accountants 37
Proxy Results 38
---------------
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>
Small Cap Index Fund
Letter to Shareholders
We are pleased to present you with this annual report for the Small Cap Index
Fund (the "Fund"), providing a review of the markets, the Portfolio, and our
outlook as well as a complete financial summary of the Fund's operations and a
listing of the Portfolio's holdings.
MARKET ACTIVITY
For the first time in five years, the small cap equity market outperformed both
its large cap and mid cap brethren for the twelve months ended December 31,
1999, as investors sought the lower valuations of small cap growth stocks.
However, within the small cap sector, stocks exhibited their widest divergence
ever between growth and value. Notably, at year end, growth stocks represented
6% more of the Russell 2000 Index than at the end of 1998. The technology sector
comprised 24% of the Index, 12% higher than this sector's weighting at the end
of 1998. Led by technology and Internet-related stocks, small growth stocks, as
represented by the Russell 2000 Growth Index, outperformed small value stocks by
more than 40% for the year.
Still, volatility within the U.S. equity market in general and the small cap
market in particular, remained high.
o Small cap stocks started 1999 underperforming large caps, as small cap
technology stocks lagged their late 1998 performance. Investors took this
opportunity to find value in value stocks.
o While large cap stocks continued their bull run, Russell 2000 Index returns
dramatically outperformed the S&P 500 Index1 in the second quarter of 1999 for
the first time in seven quarters.
-- In April especially there was renewed strength in formerly out-of-favor
small cap sectors, including cyclicals and value-oriented stocks.
-- This led the Russell 2000 Index to outperform the S&P 500 Index by more
than 2 to 1 for the second quarter.
-- Small value stocks outperformed small growth stocks for the quarter.
-- The annual Frank Russell Company rebalancing of the Russell 2000 Index
contributed to a 61% turnover rate, which was slightly higher than the
previous year's turnover.
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>
Small Cap Index Fund(2)
Institutional Class Shares
(inception 7/10/96) 21.70% 45.80% 59.61% 21.70% 13.39% 14.41%
Russell 2000 Index(3) 21.26% 44.59% 58.93% 21.26% 13.08% 14.52%
Lipper Small Cap Core Average(4) 28.27% 48.95% 66.73% 28.27% 13.59% 15.70%
</TABLE>
- ----------
(1) The S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index.
(2) 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.
(3) The Russell 2000 Index is an unmanaged index that measures small
capitalization equities. This index is unmanaged, and investments cannot
be made in an index. Small cap stocks have historically experienced greater
volatility than average.
(4) 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. During the year ended December 31, 1999, Lipper changed the way
it classifies mutual funds. As a result of this reclassification, the
Small Cap Index Fund is now part of the Lipper Small Cap Core Index.
Previously, the Fund was part of the Lipper Small Cap Index.
3
<PAGE>
Small Cap Index Fund
Letter to Shareholders
Ten Largest Stock Holdings
(percentages are based on market value)
Broadvision, Inc. 0.93%
Microstrategy, Inc. 0.81
Optical Coating Laboratory, Inc. 0.69
Verticalnet, Inc. 0.55
Millennium Pharmaceuticals 0.46
Gemstar International Group Ltd. 0.46
Mercury Interactive Corp. 0.43
Interdigital Communications Corp. 0.42
Lam Research Corp. 0.42
Idec Pharmaceuticals Corp. 0.38
o Broad market third quarter equity index returns were negative across small,
mid, and large capitalization asset classes.
o By the end of the fourth quarter, the Russell 2000 Index leapt ahead of the
S&P 500 Index, as small growth stocks led the small cap index to positive
double-digit returns for the quarter.
Technology was the annual period's top performing sector, joined by more
value-oriented sectors, including utilities and producer durables. The weakest
performing sectors included auto and transportation, financial services, and
consumer staples. The year's better performing stocks in the Russell 2000 Index
included Clarify Inc., Promix Inc., and Idec Pharmaceuticals Corp.
MANAGER OUTLOOK
Looking ahead for the near term, we believe the U.S. economy still has
substantial momentum, and the financial fundamentals for both households and
businesses remain strong. We anticipate GDP growth of about 4% through the first
half of the year 2000. While inflation has remained benign primarily because
growth in labor compensation has failed to outstrip productivity growth despite
drum-tight labor markets, inflation risks remain tilted to the upside, as labor
markets continue to tighten and as overseas growth continues to gather steam.
Thus, the Federal Reserve Board could, in our view, continue to nudge interest
rates higher through mid-2000, as it seeks to slow real economic growth to a
more sustainable pace.
Since the economy's ability to grow quickly and generate strong profits without
inflation has been the driving force behind the bull market of recent years,
what our outlook means is that economic fundamentals may be comparatively less
supportive of equities in the next year or so. However, even with a gradual
slowdown in economic growth, a modest pickup in inflation, and pressure on
profit margins from rising labor costs and higher interest rates, we do not see
a sharp correction in equities, because we expect a reasonably "soft landing"
for the economy. We also believe the economy will likely retain many of its
structural improvements, such as faster productivity growth and less volatile
economic cycles. The major risk to the equity markets, in our view, is if the
economy really overheats, provoking aggressive Fed tightening and imperiling the
economic expansion the U.S. has enjoyed for nearly nine years. It is likely we
PORTFOLIO DIVERSIFICATION
By Sector as of December 31, 1999 (percentages are based on market value)
Technology 29%
Financial 13
Consumer Cyclicals 11
Healthcare 9
Commercial Services 8
Consumer Services 6
Basic Materials 5
Industrials 5
Consumer Noncyclicals 3
Telecommunications 3
Energy 3
Utilities 3
Transportation 2
4
<PAGE>
Small Cap Index Fund
Letter to Shareholders
will continue to see high volatility within the small cap equity sector, but
small cap fundamentals and earnings growth remain strong and relative valuations
attractive.
Of course, it is also important to reiterate that as an index fund, designed to
replicate the broad diversification and returns of the Russell 2000 Index, we
neither evaluate short-term fluctuations in the Fund's performance nor manage
according to a given outlook for the equity markets or the economy in general.
Still, we will continue monitoring economic conditions and how they affect the
financial markets, as we seek to closely track the performance of the small cap
stock market.
As always, we appreciate your ongoing support of the Small Cap Index Fund and
look forward to continuing to serve your investment needs for many years ahead.
/s/ James Creighton
James Creighton
Portfolio Manager of the Small Cap Index Portfolio
December 31, 1999
Performance Comparison
SMALL CAP INDEX FUND INSTITUTIONAL CLASS AND
THE RUSSELL 2000 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE JULY 31, 1996)
Small Cap Index Fund
Institutional Class-$15,961 Russell 2000 Index-$15,893
July-96 10,000 10,000
Dec-96 11,523 11,566
June-97 12,750 12,746
Dec-97 13,465 13,451
June-98 14,034 14,113
Dec-98 13,115 13,108
June-99 14,199 14,324
Dec-99 15,961 15,893
Annualized Total Return for the Year Ended December 31, 1999
Institutional
One Year 21.70%, Since 7/10/96(1) 14.41%
- ----------
(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. The Russell 2000 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.
5
<PAGE>
Small Cap Index Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of
December 31, 1999
<S><C>
Assets
Investment in Small Cap Index Portfolio, at Value $ 143,334,940
Receivable for Shares of Beneficial Interest Subscribed 50,742
Due from Bankers Trust 14,450
Prepaid Expenses 9,551
----------------
Total Assets 143,409,683
----------------
Liabilities
Accrued Expenses 21,242
----------------
Total Liabilities 21,242
----------------
Net Assets $ 143,388,441
================
Composition of Net Assets
Paid-in Capital $ 123,461,007
Accumulated Net Realized Loss from Investment and Futures Transactions (4,185,073)
Net Unrealized Appreciation on Investment and Futures Contracts 24,112,507
----------------
Net Assets $ 143,388,441
================
Shares Outstanding ($0.001 par value per share, unlimited number of shares
of beneficial interest authorized) 12,322,431
================
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) $ 11.64
================
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
Small Cap Index Fund
Statement of Operations
<TABLE>
<CAPTION>
For the year ended
December 31, 1999
<S><C>
Investment Income
Income Allocated from Small Cap Index Portfolio, net $ 2,016,339
----------------
Expenses
Administration and Services Fees 276,004
Registration Fees 27,398
Professional Fees 24,155
Trustees Fees 16,660
Printing and Shareholder Report Fees 9,782
Miscellaneous 8,229
----------------
Total Expenses 362,228
Less: Fee Waivers or Expense Reimbursements (150,417)
----------------
Net Expenses 211,811
----------------
Net Investment Income 1,804,528
================
Realized and Unrealized Gain (Loss) on Investment and Futures Contracts
Net Realized Loss from Investment Transactions (5,036,264)
Net Realized Gain from Futures Transactions 213,679
Net Change in Unrealized Appreciation/Depreciation on Investment and Futures Contracts 24,662,191
----------------
Net Realized and Unrealized Gain on Investment and Futures Contracts 19,839,606
----------------
Net Increase in Net Assets from Operations $ 21,644,134
================
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
Small Cap Index Fund
Statement 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 $ 1,804,528 $ 944,063
Net Realized Gain (Loss) from Investment and Futures Transactions (4,822,585) 4,370,904
Net Change in Unrealized Appreciation/Depreciation on Investment
and Futures Contracts 24,662,191 (8,975,850)
-------------- -------------
Net Increase(Decrease) in Net Assets from Operations 21,644,134 (3,660,883)
-------------- -------------
Distributions to Shareholders
Net Investment Income (1,762,816) (946,125)
Net Realized Gain from Investment and Futures Transactions -- (9,811,005)
-------------- -------------
Total Distributions (1,762,816) (10,757,130)
-------------- -------------
Capital Transactions in Shares of Beneficial Interest
Net Increase Resulting from Institutional Class Shares 8,031,647 91,620,392
Net Decrease Resulting from Advisor Class Shares(1) -- (1,372,520)
-------------- -------------
Net Increase from Capital Transactions in Shares of Beneficial Interest 8,031,647 90,247,872
-------------- -------------
Total Increase in Net Assets 27,912,965 75,829,859
Net Assets
Beginning of Year 115,475,476 39,645,617
-------------- -------------
End of Year $ 143,388,441 $ 115,475,476
============== =============
</TABLE>
- ----------
(1) On July 14, 1998, the Fund's Advisor Class was closed and all Advisor Class
Shares were exchanged into Institutional Class Shares based on a 1 to 1.0481
exchange ratio.
See Notes to Financial Statements.
8
<PAGE>
Small Cap 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 Small Cap Index Fund.
<TABLE>
<CAPTION>
Institutional Class Shares For the period
July 10, 1996(1)
For the years ended Dec. 31, to Dec. 31,
1999 1998 1997 1996
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 9.68 $ 11.13 $ 10.90 $ 10.00
------- ------- ------- -------
Income from Investment Operations
Net Investment Income 0.15 0.06 0.23 0.04
Net Realized and Unrealized Gain
on Investment and Futures
Transactions 1.96 (0.41) 2.21 0.90
------- ------- ------- -------
Total from Investment Operations 2.11 (0.35) 2.44 0.94
Distributions to Shareholders
Net Investment Income (0.15) (0.08) (0.21) (0.04)
Net Realized Gain from Investment and Futures
Transactions -- (1.02) (2.00) (0.00)(2)
------- ------- ------- -------
Total Distributions (0.15) (1.10) (2.21) (0.04)
------- ------- ------- -------
Net Asset Value, End of Period $ 11.64 $ 9.68 $ 11.13 $ 10.90
======= ======= ======= =======
Total Investment Return 21.70% (2.60)% 23.00% 9.47%
Supplemental Data and Ratios:
Net Assets, End of Period
(000s omitted) $143,388 $115,475 $38,312 $61,558
Ratios to Average Net Assets:
Net Investment Income 1.31% 1.32% 1.35% 1.71%(3)
Expenses After Waivers, Including Expenses of
the Small Cap Index Portfolio 0.25% 0.25% 0.25% 0.25%(3)
Expenses Before Waivers, Including Expenses of
the Small Cap Index Portfolio 0.48% 0.57% 0.57% 0.87%(3)
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or
Expense Reimbursements 0.23% 0.32% 0.32% 0.62%(3)
</TABLE>
- ----------
(1) The Fund's inception date.
(2) Less than $0.01.
(3) Annualized.
See Notes to Financial Statements.
9
<PAGE>
Small Cap 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 Small Cap Index Fund.
<TABLE>
<CAPTION>
Advisor Shares For the period For the year For the period
Jan. 1,1998 to ended Aug. 8, 1996(1) to
July 14, Dec. 31, Dec. 31,
1998(2) 1997 1996
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 11.69 $ 11.04 $ 10.00
------- ------- -------
Income from Investment Operations
Net Investment Income 0.06 0.08 0.02
Net Realized and Unrealized Gain
(Loss) on Investment and Futures Transactions 0.45 2.63 1.06
------- ------- -------
Total from Investment Operations 0.51 2.71 1.08
Distributions to Shareholders
Net Investment Income -- (0.06) (0.04)
Net Realized Gain from Investment and Futures
Transactions -- (2.00) (0.00)(3)
------- ------- -------
Total Distributions -- (2.06) (0.04)
------- ------- -------
Net Asset Value, End of Period $ 12.20 $ 11.69 $ 11.04
======= ======= =======
Total Investment Return -- 25.11% 10.87%
Supplemental Data and Ratios:
Net Assets, End of Period
(000s omitted) -- $1,334 $77
Ratios to Average Net Assets:
Net Investment Income 1.01%(4) 1.13% 1.61%(4)
Expenses After Waivers, Including Expenses of
the Small Cap Index Portfolio 0.45%(4) 0.45% 0.45%(4)
Expenses Before Waivers, Including Expenses of
the Small Cap Index Portfolio 0.81%(4) 0.98% 23.14%(4)
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or
Expense Reimbursements 0.36%(4) 0.53% 22.69%(4)
</TABLE>
- ----------
(1) The Fund's inception date.
(2) Class closed effective July 14, 1998. See Note 1 to Financial Statements.
(3) Less than $0.01.
(4) Annualized.
See Notes to Financial Statements.
10
<PAGE>
Small Cap 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 Small Cap 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 July 10, 1996. Effective on July 14, 1998, the Advisor Class was closed and
all Advisor Class shareholders were exchanged into the Institutional Class based
on a 1 to 1.0481 exchange ratio. As a result of the exchange, 101,877 shares of
the Institutional Class representing $1,185,874 in net assets were issued at the
net asset value of $11.64 per share. The Fund invests substantially all of its
assets in the Small Cap Index Portfolio (the "Portfolio"). The Portfolio is an
open-end management investment company registered under the Act. At December 31,
1999, the Fund's proportionate interest in the Portfolio's net assets was 95%.
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 the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
D. Distributions
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income, if any. 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,
are made annually to the extent they exceed capital loss carryforwards.
E. 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
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 differences in the characterization and allocation of
certain income and capital gains distributions determined annually in accordance
with federal tax regulations which may differ from generally accepted accounting
principles.
F. 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 all the
funds in the Trust. Investment transactions are accounted for on a trade date
basis.
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.
11
<PAGE>
Small Cap Index Fund
Notes to Financial Statements
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 0.20% of average daily net
assets.
Bankers Trust has contractually agreed to waive its fees through April 30,
2000 and reimburse expenses of the fund, to the extent necessary, to limit
all expenses to 0.15% of the average daily net assets of the Fund, excluding
expenses of the Portfolio and 0.25% of the average daily net assets of the Fund,
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
$100,353 and $507,244, 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:
<TABLE>
<CAPTION>
Institutional Class Shares(1)
-----------------------------
For the Year Ended For the Year Ended
December 31, 1999 December 31, 1998
--------------------- -------------------
Shares Amount Shares Amount
----------- ------------ ---------- ------------
<S><C>
Sold 20,413,169 $204,927,300 13,664,319 $147,948,904
Reinvested 157,810 1,762,743 1,159,626 10,727,052
Redeemed (20,181,688) (198,658,396) (6,435,515) (68,241,415)
Exchanged -- -- 101,877 1,185,874
----------- ------------ ---------- ------------
Net Increase 389,291 $ 8,031,647 8,490,307 $ 91,620,415
=========== ============ ========== ============
</TABLE>
Advisor Class Shares(1)
--------------------------
For the Year Ended
December 31, 1998
--------------------------
Shares Amount
---------- ------------
Sold 35,264 $ 415,491
Reinvested -- --
Redeemed (52,185) (602,137)
Exchanged (97,203) (1,185,874)
----------- ------------
Net Decrease (114,124) $ (1,372,520)
=========== ============
- -------------------------------------------------------------------------------
(1) On July 14, 1998 shareholders of the Advisor Class exchanged their shares
into the Institutional Class and the Advisor Class ceased operations.
Note 4--Capital Loss Carryforwards
At December 31, 1999, capital loss carryforwards availabe as a reduction against
future net realized capital gains consisted of $4,017,717, which will expire in
2007.
Note 5--Class Name Change
On April 30, 2000, the Class will change its name from Small Cap Index Fund
Institutional Class to Small Cap Index Fund -- Premier Class.
12
<PAGE>
Small Cap Index Fund
Report of Independent Auditors
To the Trustees of BT Advisor Funds and Shareholders of
the Small Cap 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
the Small Cap Index Fund (one of the Funds comprising BT Advisor 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 reporting requirements.
Of the ordinary distributions made during the year ended December 31, 1999, 100%
qualifies for the dividends received deduction available to corporate
shareholders.
Of the ordinary distributions made during the year ended December 31, 1999,
0.48% have been derived from investments in U.S. Government and Agency
Obligations. All or a portion of the distributions from this income may be
exempt from taxation at the state level. Consult your tax advisor for state
specific information.
13
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
Common Stock - 96.9%
1,900 24/7 Media, Inc.(1) $ 106,875
4,900 3DFX Interactive, Inc.(1) 48,081
18,300 7-Eleven, Inc.(1) 32,597
2,300 99 Cents Only Stores(1) 87,975
3,550 AAR Corp. 63,678
3,800 Aaron Rents, Inc.-- Class B 67,450
1,200 Aavid Thermal Technologies, Inc.(1) 29,475
1,700 Abgenix, Inc.(1) 225,250
2,100 ABM Industries, Inc. 42,787
1,500 Acceptance Insurance Cos., Inc.(1) 8,719
5,100 Acclaim Entertainment, Inc.(1) 26,137
1,200 Accredo Health, Inc.(1) 36,900
1,885 ACE Limited 31,456
2,800 Ackerley Group, Inc. 50,750
3,500 ACT Networks, Inc.(1) 32,594
3,900 Actel Corp.(1) 93,600
3,200 Action Performance Cos., Inc.(1) 36,800
5,100 Activision, Inc.(1) 78,094
4,200 Actuate Corp.(1) 180,075
4,400 ACTV, Inc.(1) 201,025
2,600 Acuson Corp.(1) 32,662
1,800 ACX Technologies, Inc.(1) 19,237
2,500 Adaptive Broadband Corp.(1) 184,531
2,900 Adelphia Business Solutions, Inc.(1) 139,200
600 Adforce, Inc.(1) 42,825
800 Administaff, Inc.(1) 24,200
3,600 Adtran, Inc.(1) 185,175
3,700 Advance Paradigm, Inc.(1) 79,781
2,800 Advanced Communications Group(1) 38,150
2,600 Advanced Digital Information Corp.(1) 126,425
2,000 Advanced Energy Industries(1) 98,500
10,200 Advanced Fibre Communications(1) 455,812
2,300 Advanced Radio Telecom Corp.(1) 55,200
4,000 Advanta Corp.-- Class A 73,000
900 Advantage Learning Systems, Inc.(1) 10,069
4,800 Advantica Restaurant Group(1) 8,400
2,250 Advent Software, Inc.(1) 144,984
2,300 Advest Group, Inc. 42,262
2,300 ADVO, Inc.(1) 54,625
1,900 Aerial Communications, Inc.(1) 115,662
4,600 Aeroflex, Inc.(1) 47,725
3,900 Affiliated Managers Group(1) 157,706
2,200 Affymetrix, Inc.(1) 373,312
2,700 Aftermarket Technology Corp.(1) 32,231
7,600 AGCO Corp. 102,125
11,100 AGL Resources, Inc. 188,700
6,100 Agribiotech, Inc.(1) 14,487
1,300 Agribrands International, Inc.(1) 59,800
2,200 AHL Services, Inc.(1) 45,925
4,100 Air Express International Corp. 132,481
6,200 Airborne Freight Corp. 136,400
8,000 Airgas, Inc.(1) 76,000
7,400 AirTran Holdings, Inc.(1) 33,531
1,000 Alabama National Bancorporation 18,875
Shares Description Value
------ ----------- -----
5,300 Alaris Medical, Inc.(1) $ 9,937
4,100 Alaska Air Group, Inc.(1) 144,012
2,399 Albany International Corp. 37,184
800 Albany Molecular Research(1) 24,400
3,120 Albemarle Corp. 59,865
8,300 Alexander & Baldwin, Inc. 189,344
600 Alexander's, Inc.(1) 47,400
2,900 Alexandria Real Estate Equity, Inc. 92,256
7,300 Alfa Corp. 119,081
2,800 Algos Pharmaceuticals(1) 30,800
3,000 Alkermes, Inc.(1) 147,375
800 Allaire Corp.(1) 116,000
600 Alleghany Corp.(1) 111,300
3,500 Allen Telecommunications, Inc.(1) 40,469
4,700 Alliance Semiconductor Corp.(1) 78,431
2,047 Alliant Techsystems, Inc.(1) 127,554
11,900 Allied Capital Corp. 217,919
1,800 Alltrista Corp.(1) 39,825
2,200 Alpha Industries, Inc.(1) 126,087
3,500 Alpharma, Inc. 107,625
2,000 Alpine Group, Inc.(1) 25,750
2,800 Alterra Healthcare Corp.(1) 23,275
1,200 AMC Entertainment, Inc.(1) 10,350
3,150 AMCOL International Corp. 50,794
6,050 AMCORE Financial, Inc. 145,200
1,375 Amdocs Limited(1) 47,448
1,100 AMERCO(1) 27,500
4,800 America West Holdings Corp.(1) 99,600
1,000 American Annuity Group, Inc. 18,000
2,200 American Business Products, Inc. 25,712
900 American-- Classic Voyages Co.(1) 31,500
2,700 American Freightways Corp.(1) 43,706
2,300 American Italian Pasta Co.(1) 70,725
7,100 American Management Systems, Inc.(1) 222,762
3,200 American Mobile Satellite Corp.(1) 67,400
3,500 American Superconductor Corp.(1) 98,000
3,100 American Xtal Technology, Inc.(1) 54,056
12,200 AmeriCredit Corp.(1) 225,700
4,600 Ameripath, Inc.(1) 37,662
6,200 AmeriSource Health Corp. --
Class A(1) 94,162
1,941 AmerUs Life Holdings, Inc.--
Class A 44,643
5,100 Ames Department Stores, Inc.(1) 146,944
4,100 AMETEK, Inc. 78,156
15,300 AMF Bowling, Inc.(1) 47,812
11,000 Amkor Technology, Inc.(1) 310,750
1,800 Amli Residential Properties Trust 36,337
9,600 Ampex Corp.-- Class A(1) 52,200
2,100 Amphenol Corp.-- Class A(1) 139,781
12,700 Amresco, Inc. 17,859
1,400 Anacomp, Inc. 25,462
2,700 Anadigics, Inc.(1) 127,406
800 Analogic Corp. 26,400
2,750 Analysts International Corp. 34,375
See Notes to Financial Statements.
14
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
2,400 Anchor Bancorp Wisconsin, Inc. $ 36,300
1,600 Anchor Gaming(1) 69,500
4,000 Ancor Communications, Inc.(1) 271,500
14,400 Andrew Corp.(1) 272,700
2,400 Anicom, Inc.(1) 10,200
2,700 Anixter International, Inc.(1) 55,687
2,600 Ann Taylor Stores(1) 89,537
4,200 Answerthink Consulting Group(1) 143,850
3,150 ANTEC Corp.(1) 114,975
2,300 Apex, Inc.(1) 74,175
3,700 Apogee Enterprises, Inc. 18,731
5,300 Applebee's International, Inc. 156,350
2,040 Applied Graphics Technologies, Inc.(1) 17,595
2,850 Applied Industrial Technologies, Inc. 47,381
5,960 Applied Power, Inc. 219,030
1,900 Appliedtheory Corp.(1) 52,725
6,600 Apria Healthcare Group, Inc.(1) 118,387
4,000 Aptargroup, Inc. 100,500
1,400 Aquarion Co. 51,800
5,200 Arcadia Financial, Limited(1) 23,075
5,000 Arch Chemicals, Inc. 104,687
2,300 Arch Coal, Inc. 26,019
2,500 Arctic Cat, Inc. 25,000
2,800 Ardent Software, Inc.(1) 109,200
1,300 Area Bancshares Corp. 31,850
2,300 Argonaut Group, Inc. 45,712
4,200 Argosy Gaming Corp.(1) 65,362
2,300 Arguss Holdings, Inc.(1) 29,900
2,400 Arnold Industries, Inc. 33,750
1,500 Arrow International, Inc. 43,500
6,261 Artesyn Technologies, Inc.(1) 131,481
5,200 Arvin Industries, Inc. 147,550
6,200 Ascent Entertainment(1) 78,662
3,000 Ashton Technology Group(1) 19,312
6,700 Aspect Communications, Inc.(1) 262,137
3,100 Aspect Development, Inc.(1) 212,350
4,600 Aspen Technologies, Inc.(1) 121,612
2,300 Associated Estates Realty Corp. 17,969
2,800 Astec Industries, Inc.(1) 52,675
1,900 Asyst Technologies, Inc.(1) 124,569
1,500 Atlantic Coast Airlines, Inc.(1) 35,625
1,750 Atlas Air, Inc.(1) 48,016
3,800 ATMI, Inc.(1) 125,637
4,000 Atmos Energy Corp. 81,750
1,400 Atwood Oceanics, Inc.(1) 54,075
4,600 Auspex Systems, Inc. 47,150
2,200 Autobytel.com, Inc.(1) 33,412
2,400 Autoweb.com, Inc.(1) 26,100
6,800 Avado Brands, Inc. 28,687
4,200 Avant! Corp.(1) 63,000
2,400 Aviall, Inc.(1) 19,650
1,400 Aviation Sales Co.(1) 23,100
2,800 Avid Technology, Inc.(1) 36,575
2,300 Aviron(1) 36,369
4,700 Avis Rent A Car, Inc.(1) 120,144
Shares Description Value
------ ----------- -----
4,700 Avista Corp. $ 72,556
2,300 AVT Corp.(1) 108,100
2,400 Aware, Inc.(1) 87,300
4,240 AXENT Technologies(1) 89,040
6,500 Aztar Corp.(1) 70,687
1,280 Baan Co., N.V. 18,080
600 Bacou USA(1) 9,037
5,400 Baldor Electric Co. 97,875
3,300 Baldwin & Lyons, Inc.-- Class B 73,012
4,500 Bally Total Fitness Holding Corp.(1) 120,094
900 Bancfirst Ohio Corp. 20,700
6,400 BancorpSouth, Inc. 104,400
9,600 Bancwest Corp. 187,200
1,600 Bandag, Inc. 40,000
1,475 Bank of Granite Corp. 31,712
1 BankAtlantic Bancorp, Inc.-- Class A 5
4,900 BankAtlantic Bancorp, Inc.-- Class B 25,112
2,890 Banknorth Group, Inc. 77,307
6,000 Banks United Corp.-- Class A 163,500
3,500 Banta Corp. 78,969
4,600 Banyan System, Inc.(1) 92,000
1,900 Barnes Group, Inc. 30,994
4,500 Barnesandnoble.com, Inc.(1) 63,844
1,250 Barr Labs, Inc.(1) 39,219
2,500 Barra, Inc.(1) 79,375
5,600 Barrett Resources Corp.(1) 164,850
3,600 Basin Exploration, Inc.(1) 63,450
1,600 Bassett Furniture Industries, Inc. 25,600
25,300 Battle Mountain Gold Co.-- Class A 52,181
6,037 Bay View Capital Corp. 85,664
6,000 BE Aerospace, Inc.(1) 50,625
1,200 Bebe Stores, Inc.(1) 32,400
2,800 Bedford Property Investors, Inc. 47,775
4,000 Belco Oil & Gas Corp.(1) 22,000
4,800 Belden, Inc. 100,800
1,900 Bell and Howell Co.(1) 60,444
2,100 Benchmark Electronics, Inc.(1) 48,169
2,700 Beringer Wine Estates-- Class B(1) 107,662
1,900 Berlitz International, Inc.(1) 32,656
2,400 Berry Petroleum Corp.-- Class A 36,300
1,800 Best Software, Inc. 53,100
24,758 Bethlehem Steel(1) 207,348
12,000 Beverly Enterprises, Inc.(1) 52,500
3,600 Beyond.com Corp.(1) 28,125
4,800 Billing Information Concepts Corp.(1) 31,200
3,166 Bindley Western Industries, Inc. 47,688
2,100 Bindview Development Corp.(1) 104,344
1,900 Biomatrix, Inc.(1) 36,575
2,100 Bio-Rad Laboratories, Inc.-- Class A(1) 49,087
9,300 Biotechnology General Corp.(1) 141,825
3,300 Black Box Corp.(1) 221,100
2,750 Black Hills Corp. 61,016
2,700 Blanch (E.W.) Holdings, Inc. 165,375
2,781 Block Drug Co., Inc.-- Class A 86,211
5,300 Blount International, Inc.(1) 84,469
See Notes to Financial Statements.
15
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
3,500 BMC Industries, Inc. $ 17,062
7,800 Bob Evans Farms, Inc. 120,412
3,600 Boca Resorts, Inc.-- Class A(1) 35,100
4,300 Boise Cascade Office Products Corp.(1) 64,500
1,481 BOK Financial Corp.(1) 29,921
10,200 Borders Group, Inc.(1) 163,837
1,500 Bottomline Technologies, Inc.(1) 54,000
4,700 Bowne & Co., Inc. 63,450
4,600 Boyd Gaming Corp.(1) 26,737
8,800 Boyds Collection Limited(1) 61,050
2,200 Boykin Lodging Co. 24,062
3,100 Bradley Real Estate, Inc. 54,056
2,700 Brady (W. H.) Co.-- Class A 91,631
4,500 Brandywine Realty Trust 73,687
5,600 BRE Properties, Inc.-- Class A 127,050
1,782 Brenton Banks, Inc. 18,043
1,500 Bright Horizons Family Solutions, Inc.(1) 28,125
7,900 Brightpoint, Inc.(1) 103,687
1,500 Brio Technology, Inc.(1) 63,000
2,700 Britesmile, Inc.(1) 21,937
8,200 Broadvision, Inc.(1) 1,394,512
1,800 Brookline Bancorp, Inc. 17,550
2,300 Brooks Automation, Inc.(1) 74,894
2,800 Brooktrout Technology, Inc.(1) 51,975
1,400 Brown & Brown, Inc. 53,637
4,000 Brown Shoe Company, Inc. 56,500
3,500 Brown (Tom), Inc.(1) 46,812
2,100 Brush Wellman, Inc. 35,306
1,100 BSB Bancorp, Inc. 21,175
4,200 BT Financial Corp. 92,400
3,100 Buckeye Technologies, Inc.(1) 46,112
1,700 Buckle, Inc.(1) 25,181
4,300 Budget Group, Inc.(1) 38,969
5,487 Buffets, Inc.(1) 54,870
2,826 Building One Services Corp.(1) 26,670
2,320 Burlington Coat Factory
Warehouse Corp. 32,190
6,700 Burlington Industries, Inc.(1) 26,800
4,100 Burnham Pacific Properties, Inc. 38,437
1,400 Burns International Service(1) 15,137
6,787 Burr-Brown Corp.(1) 245,198
800 Bush Boake Allen, Inc.(1) 19,650
1,300 Bush Industries, Inc.-- Class A 22,344
700 Butler Manufacturing Co. 15,619
1,600 C&D Technologies, Inc. 68,000
1,700 C-COR.Net Corp.(1) 130,262
5,600 C-Cube Microsystems, Inc.(1) 348,600
7,100 C.H. Robinson Worldwide, Inc. 282,225
5,050 Cable Design Technologies(1) 116,150
4,500 Cabot Industrial Trust 82,687
2,900 Cabot Oil & Gas Corp.-- Class A 46,581
1,100 CACI International, Inc.-- Class A(1) 24,887
7,500 Cadiz, Inc.(1) 71,250
2,100 CAIS Internet, Inc. 74,550
1,600 Cal Dive International, Inc.(1) 53,000
Shares Description Value
------ ----------- -----
4,300 Calgon Carbon Corp. $ 25,531
1,500 California Water Service Group 45,469
9,700 Callaway Golf Co. 171,569
3,000 Cambrex Corp. 103,312
6,800 Cambridge Technology Partners, Inc.(1) 178,500
5,358 Camden Property Trust 146,675
2,000 Canandaigua Brands, Inc.-- Class A(1) 102,000
2,800 Capital Automotive REIT 34,125
800 Capital City Bank Group, Inc. 17,200
11,600 Capitol Federal Financial 113,100
5,600 Caprock Communications Corp.(1) 181,650
8,100 Capstead Mortgage Corp. 33,919
3,100 Caraustar Industries, Inc. 74,400
400 Carbo Ceramics, Inc. 8,750
26,700 Caremark Rx, Inc.(1) 135,169
1,300 CareMatrix Corp.(1) 3,250
2,100 Carey International, Inc.(1) 51,187
1,100 Carmike Cinemas, Inc.--Class A(1) 8,594
2,800 Carolina First Co. 51,100
2,400 Carpenter Technology Corp. 65,850
1,200 Carriage Services-- Class A 7,125
1,200 Carrier Access Corp.(1) 80,775
2,700 Carter-Wallace, Inc. 48,431
2,300 Casella Waste Systems, Inc.(1) 43,412
11,500 Casey's General Stores, Inc. 120,031
5,169 Cash America International, Inc. 50,398
1,500 Castle (A. M.) & Co. 17,812
3,900 Castle and Cooke, Inc.(1) 49,481
9,900 Catalytica, Inc. (1) 134,269
1,700 Catapult Communications Corp.(1) 16,894
1,300 Cathay Bancorp, Inc. 53,300
1,900 Cato Corp.-- Class A 23,987
2,600 CB Richard Ellis Services(1) 32,175
2,900 CBL & Associates Properties, Inc. 59,812
6,900 CBRL Group, Inc. 66,952
4,500 CCC Information Services Group(1) 77,062
1,400 CDI Corp.(1) 33,775
2,807 Cdnow, Inc.(1) 27,719
3,450 CEC Entertainment, Inc.(1) 97,894
2,600 Celgene Corp.(1) 182,000
2,500 Cell Pathways, Inc.(1) 23,125
10,600 Cellnet Data Systems, Inc.(1) 11,925
6,700 CellStar Corp.(1) 66,162
2,600 CenterPoint Properties Corp. 93,275
3,400 Center Trust, Inc. 32,937
1,100 Centex Construction Products 42,900
5,500 Central Garden & Pet Co.(1) 57,062
3,700 Central Parking Corp. 70,762
8,400 Century Business Services, Inc.(1) 70,875
1,300 Century South Banks, Inc. 29,087
4,400 Cephalon, Inc.(1) 152,075
3,300 Cerner Corp.(1) 64,969
1,700 CFW Communications Co. 59,075
2,100 CH Energy Group 69,300
5,260 Champion Enterprises, Inc.(1) 45,039
See Notes to Financial Statements.
16
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
1,300 Championship Auto Racing(1) $ 29,900
900 Charles River Associates(1) 30,150
12,600 Charming Shoppes, Inc.(1) 83,475
2,050 Chart Industries, Inc. 8,200
2,700 Charter Municipal Mortgage
Acceptance 31,725
1 Charter One Financial, Inc. 6
3,300 Chateau Communities, Inc. 85,594
1,200 Chattem, Inc.(1) 22,800
3,600 Checkpoint Systems, Inc. 36,675
2,250 Cheesecake Factory(1) 78,750
2,000 Chelsea GCA Realty, Inc. 59,500
1,100 Chemed Corp. 31,487
2,500 ChemFirst, Inc. 54,687
1,846 Chemical Financial Corp. 58,841
2,800 Chesapeake Corp. 85,400
9,680 Chesapeake Energy Corp. 22,990
3,000 Chicago Title Corp. 138,750
800 Chico's FAS, Inc.(1) 30,100
2,100 Children's Place Retail Stores, Inc.(1) 34,519
5,300 Chiquita Brands International 25,175
3,700 Chirex, Inc.(1) 54,112
6,019 Chittenden Corp. 178,313
8,300 Choice Hotels International, Inc.(1) 142,137
3,800 Choicepoint, Inc.(1) 157,225
6,150 CHS Electronics, Inc.(1) 6,919
7,500 Church & Dwight Co., Inc. 200,156
2,300 Churchill Downs, Inc. 51,894
5,900 Ciber, Inc.(1) 162,250
3,300 Circle International Group, Inc. 73,425
7,700 Cirrus Logic, Inc.(1) 102,506
4,000 Citadel Communications Corp.(1) 259,500
4,002 Citizens Banking Corp. 89,545
1,500 City Holding Co. 21,000
18,955 CK Witco Corp. 253,523
5,700 CKE Restaurants, Inc. 33,487
3,100 Clarcor, Inc. 55,800
3,000 Clarify, Inc.(1) 378,000
5,000 CLECO Corp. 160,312
1,400 Cleveland-Cliffs, Inc. 43,575
4,800 CMI Corp.-- Class A 33,900
4,200 CMP Group, Inc. 115,762
2,200 CNA Surety Corp. 28,600
2,200 Coachmen Industries, Inc. 33,275
900 Coca-Cola Bottling Co. Consolidated 42,637
6,200 Cognex Corp.(1) 241,800
800 Cognizant Tech Solutions Corp.(1) 87,450
4,600 Coherent, Inc.(1) 123,050
3,900 Cohu, Inc. 120,900
2,600 Coinstar, Inc.(1) 36,400
400 Coldwater Creek, Inc.(1) 8,200
700 Cole (Kenneth) Productions,
Inc.-- Class A(1) 32,025
8,000 Collins & Aikman Corp. 46,000
3,300 Colonial Properties Trust 76,519
Shares Description Value
------ ----------- -----
2,900 Columbia Laboratories, Inc.(1) $ 21,750
1,100 Columbia Sportswear Co.(1) 23,650
1,500 Columbus McKinnon Corp. 15,187
2,600 COM21, Inc.(1) 58,337
3,500 Comfort Systems USA, Inc. 25,812
5,552 Commerce Bancorp, Inc. 224,509
3,300 Commerce Group, Inc. 86,212
3,300 Commercial Intertech Corp. 42,075
1,600 Commercial Metals Co. 54,300
4,000 Commercial Net Lease Realty 39,750
3,900 Commnet Cellular, Inc.(1) 125,287
1,700 Commonwealth Bancorp, Inc. 28,262
2,100 Commonwealth Telephone
Enterprises, Inc.(1) 111,037
7,700 Commscope, Inc.(1) 310,406
6,000 Community First Bankshares, Inc. 94,500
1,485 Community Trust Bancorp, Inc. 29,700
2,600 Complete Business Solutions, Inc.(1) 65,325
10,900 Compucom Systems, Inc.(1) 44,962
11,700 CompUSA, Inc.(1) 59,962
5,650 Computer Horizons Corp.(1) 91,459
2,800 Computer Network Technology Corp.(1) 64,225
2,100 Computer Task Group, Inc. 31,106
5,300 Concentric Network Corp.(1) 163,306
1,700 Concord Communications, Inc.(1) 75,437
2,000 Concur Technologies, Inc.(1) 58,000
7,400 Concurrent Computer Corp.(1) 138,287
2,400 CONMED Corp.(1) 62,100
1,400 Conn Energy Corp. 54,425
3,800 Conning Corp. 31,350
2,700 Consolidated Freightways Corp.(1) 21,431
2,600 Consolidated Graphics, Inc.(1) 38,837
5,087 Consolidated Products, Inc.(1) 51,511
4,100 Contifinancial Corp. 961
1,700 Cooper Companies, Inc. 51,212
3,800 Copart, Inc.(1) 165,300
2,800 COR Therapeutics, Inc.(1) 75,250
2,250 Corecomm Limited(1) 133,594
4,800 Corn Products International, Inc. 157,200
2,600 Cornell Corrections, Inc.(1) 21,775
4,900 Cornerstone Realty Income Trust, Inc. 47,775
700 Corporate Executive Board Co.(1) 39,112
1,800 CORT Business Services Corp.(1) 31,387
1,200 Corus Bankshares, Inc. 28,800
3,800 Cost Plus, Inc.(1) 135,375
1,500 Costar Group, Inc.(1) 53,812
4,500 Cotelligent Group, Inc.(1) 24,187
3,000 Coulter Pharmaceutical, Inc.(1) 68,062
4,600 Cousins Properties, Inc. 156,112
7,500 Covance, Inc.(1) 81,094
7,600 Coventry Health Care, Inc.(1) 51,300
1,000 CPI Corp. 22,562
6,650 Crawford & Co.-- Class B 90,606
2,300 Creative Computers, Inc.(1) 16,819
2,900 Credence Systems Corp.(1) 250,850
See Notes to Financial Statements.
17
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
4,800 Credit Acceptance Corp.(1) $ 17,700
2,000 Creditrust Corp.(1) 15,375
3,500 Cree, Inc.(1) 298,812
2,400 Crestline Capital Corp.(1) 49,500
6,275 Cross Timbers Oil Co. 56,867
3,100 Crown American Realty Trust 17,050
2,400 CSK Auto Corp.(1) 42,000
900 CSS Industries, Inc.(1) 19,237
1,000 CT Communications, Inc. 56,000
2,000 CTC Communications Group, Inc. 78,031
4,596 CTS Corp. 346,423
650 Cubic Corp. 14,219
3,000 Cumulus Media, Inc.-- Class A(1) 152,250
2,100 Cuno, Inc. 43,477
3,000 CVB Financial Corp. 69,375
3,500 Cybercash(1) 32,375
3,000 Cyberian Outpost, Inc.(1) 29,812
2,200 Cyberonics, Inc.(1) 35,062
2,000 Cybex Computer Products Corp.(1) 81,000
4,200 Cygnus, Inc.(1) 76,650
4,600 Cymer, Inc.(1) 211,600
15,000 Cypress Semiconductor Corp.(1) 485,625
5,500 Cytec Industries, Inc.(1) 127,187
2,300 Cytyc Corp.(1) 140,444
10,000 D.R. Horton, Inc. 138,125
1,600 Dain Rauscher Corp. 74,400
3,600 Daisytek International Corp.(1) 83,925
8,800 Dal-Tile International, Inc.(1) 89,100
5,100 Dallas Semiconductor Corp. 328,631
2,500 Dan River, Inc.-- Class A(1) 12,812
3,900 Data Broadcasting Corp.(1) 32,175
1,300 Data Transmission Network Corp.(1) 22,425
2,700 Datascope Corp. 108,000
3,400 Datastream Systems, Inc.(1) 83,512
1,700 Dave & Buster's, Inc.(1) 13,919
1,200 DBT Online, Inc.(1) 29,250
400 Deb Shops, Inc. 7,400
6,200 Del Monte Foods Co.(1) 76,337
2,800 Delco Remy Intl, Inc.(1) 23,100
1,900 Delia's, Inc.(1) 13,775
1,958 Delphi Financial Group, Inc. --
Class A(1) 58,752
6,800 Delta & Pine Land Co. 118,150
2,800 Deltic Timber Corp. 61,250
3,900 Dendrite International, Inc.(1) 132,112
3,700 Department 56, Inc.(1) 83,712
1,100 Detroit Diesel Corp. 21,106
7,800 Developers Diversified Realty Corp. 100,425
1 Devon Energy Corp. 8
4,500 Dexter Corp. 178,875
1,500 Diagnostic Products Corp. 36,750
1,800 Diamond Technology Partners,
Inc.-- Class A(1) 154,687
8,400 Digital Microwave Corp.(1) 196,875
1,900 Digital River, Inc.(1) 63,294
Shares Description Value
------ ----------- -----
4,100 DII Group, Inc.(1) $ 290,972
1,700 Dime Community Bancorp, Inc. 31,450
5,600 DIMON, Inc. 18,200
2,800 Dionex Corp.(1) 115,325
1,100 Direct Focus, Inc. 30,525
1,100 Discount Auto Parts, Inc.(1) 19,869
2,300 Documentum, Inc.(1) 137,712
3,100 Dollar Thrifty Automotive Group, Inc.(1) 74,206
5,100 Donaldson Co., Inc. 122,719
4,000 Donna Karan Intl., Inc.(1) 26,250
4,100 Doral Financial Corp. 50,481
2,574 Downey Financial Corp. 51,963
3,800 Dress Barn, Inc.(1) 63,175
1,800 Dreyer's Grand Ice Cream, Inc. 30,600
1,500 DSP Group, Inc. 139,500
3,700 Duane Reade, Inc.(1) 101,981
600 Duff & Phelps Credit Rating Co. 53,362
1,100 Dupont Photomasks, Inc.(1) 53,075
3,500 Dura Automotive Systems, Inc.(1) 61,031
5,600 Dura Pharmaceutical, Inc.(1) 78,050
4,200 Duramed Pharmaceuticals, Inc.(1) 29,925
1,400 DVI, Inc. 21,262
3,300 Dycom Industries, Inc.(1) 145,406
6,400 E. Spire Communications, Inc.(1) 37,200
3,800 E4L, Inc. 9,500
3,150 Eagle USA Airfreight, Inc.(1) 135,844
5,500 Earthgrains Co. 88,687
3,500 Earthshell Corp.(1) 14,437
1,300 Earthweb, Inc.(1) 65,406
6,100 East West Bancorp, Inc. 69,769
4,800 Eastern Enterprises 275,700
4,600 Eastern Utilities Associates 139,437
2,200 Eastgroup Properties 40,700
3,900 Eaton Vance Corp. 148,200
3,500 Echelon Corp.(1) 68,469
2,300 Eclipse Surgical Technologies, Inc.(1) 16,962
4,700 Eclipsys Corp.(1) 120,437
4,800 Education Management Corp.(1) 67,200
5,633 EEX Corp. 16,547
2,400 EFAX.com(1) 17,325
2,400 Egghead.com, Inc.(1) 38,850
13,500 El Paso Electric Co.(1) 132,469
4,075 Elcor Corp. 122,759
2,500 Electric Lightwave, Inc.-- Class A(1) 46,875
2,000 Electro Rent Corp.(1) 23,250
2,500 Electro Scientific Industries, Inc.(1) 182,500
3,000 Electroglas, Inc.(1) 76,125
1,900 Elizabethtown Corp. 118,275
2,100 EMCORE Corp.(1) 71,400
2,700 Emmis Broadcasting Corp. --
Class A(1) 336,530
2,200 Empire District Electric Co. 49,775
4,600 Emulex Corp.(1) 517,500
3,300 Energen Corp. 59,606
2,100 Enesco Group, Inc. 23,231
See Notes to Financial Statements.
18
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
1,500 Engineering Animation, Inc.(1) $ 13,125
3,400 Enhance Financial Services Group, Inc. 55,250
1,900 Entercom Communications Corp.(1) 125,400
1,800 Entertainment Properties Trust 23,737
1,600 Entremed, Inc.(1) 41,000
2,100 Entrust Technologies, Inc.(1) 125,869
2,779 Enzo Biochem, Inc.(1) 125,229
6,000 Enzon, Inc.(1) 260,250
4,500 Epicor Software Corp.(1) 22,781
6,400 Equitable Resources, Inc. 213,600
6,800 Equity Inns, Inc. 45,900
2,400 Eshare Technologies, Inc.(1) 40,950
3,900 ESS Technology, Inc.(1) 86,531
2,100 Essex Property Trust, Inc. 71,400
2,800 Esterline Technologies Corp.(1) 32,375
2,700 Etec Systems, Inc.(1) 121,162
5,200 Ethan Allen Interiors, Inc.(1) 166,725
7,900 Ethyl Corp. 31,106
1,900 Exar Corp.(1) 111,862
2,800 Excalibur Technologies Corp.(1) 57,750
1,800 Exchange Applications, Inc.(1) 100,575
2,400 Exide Corp. 19,950
9,200 Extended Stay America, Inc.(1) 70,150
1,275 F & M Bancorp./Maryland 25,819
2,990 F & M National Corp. 82,412
2,307 F.N.B. Corp. 51,331
1,500 F.Y.I., Inc.(1) 51,000
1,600 Factory 2-U Stores, Inc.(1) 45,400
1,200 Factset Research Systems, Inc. 95,550
1,300 Fair Issac & Co., Inc. 68,900
1,767 Fairchild Corp.-- Class A(1) 16,018
5,700 Fairfield Communities, Inc.(1) 61,275
2,650 Family Golf Centers, Inc.(1) 3,727
100 Farmer Brothers Co. 15,900
1,300 Farmers Capital Bank Corp. 39,162
900 Fatbrain.com, Inc.(1) 22,556
3,600 FBL Financial Group, Inc.-- Class A 72,000
8,700 Fedders USA, Inc. 47,850
2,100 Federal Agricultural Mortgage
Corp.-- Class C(1) 42,394
5,100 Federal Realty Investment Trust 95,944
8,700 Federal Signal Corp. 139,744
4,500 Ferro Corp. 99,000
1,100 Fidelity Holdings, Inc.(1) 20,831
3,240 Fidelity National Financial, Inc. 46,575
5,700 FileNet Corp.(1) 145,350
1,250 Financial Federal Corp.(1) 28,516
6,300 Finet.com(1) 8,269
6,300 Finish Line, Inc.-- Class A(1) 34,256
7,100 First American Financial Corp. 88,306
5,100 First Bancorp/Puerto Rico 105,825
2,900 First Busey Corp. 65,612
700 First Charter Corp. 10,412
700 First Citizens Bancshares-- Class A 48,825
1,600 First Commerce Bancshares, Inc. 31,500
Shares Description Value
------ ----------- -----
7,666 First Commonwealth Financial Corp. $ 91,992
2,000 First Consulting Group(1) 31,000
2,100 First Federal Capital Corp. 30,712
4,568 First Financial Bancorp 97,647
1,210 First Financial Bankshares, Inc. 37,207
820 First Financial Corp.-- Indiana 34,030
2,400 First Financial Holdings, Inc. 38,400
7,300 First Health Group Corp.(1) 196,187
2,710 First Indiana Corp. 58,942
7,500 First Industrial Realty Trust, Inc. 205,781
1,215 First Merchants Corp. 31,894
7,089 First Midwest Bancorp, Inc. 187,858
2,100 First Republic Bank(1) 49,350
9,600 First Sentinel Bancorp, Inc. 75,000
3,000 First Sierra Financial, Inc.(1) 51,375
1,510 First Source Corp. 37,750
3,800 First United Bancshares, Inc. 50,825
1,530 First Washington Bancorp 22,567
2,600 FirstFed Financial Corp. DE 36,562
5,300 Fisher Scientific International 191,462
1,000 Flagstar Bancorp, Inc. 17,250
3,000 Flashnet Communications, Inc.(1) 18,562
6,500 Fleetwood Enterprises, Inc. 134,062
4,900 Fleming Companies, Inc. 50,225
4,000 Florida East Coast Railway Co. 167,000
2,400 Florida Rock Industries 82,650
4,781 Flowserve Corp. 81,277
1,500 Flycast Communications Corp.(1) 194,906
2,600 Footstar, Inc.(1) 79,300
2,400 Foremost Corp. of America 68,100
3,500 Forest City Enterprises-- Class A 98,000
3,400 Forest Oil Corp.(1) 44,837
1,000 Forward Air Corp.(1) 43,375
3,300 Fossil, Inc.(1) 76,312
5,200 Foster Wheeler Corp. 46,150
2,600 FPIC Insurance Group, Inc.(1) 43,387
2,600 Franklin Covey Co.(1) 19,500
1,100 Franklin Electric Co., Inc. 77,206
2,566 Friede Goldman International, Inc.(1) 17,802
2,900 Friedman, Billings, Ramsey Group,
Inc.-- Class A(1) 22,837
2,500 Fritz Companies, Inc.(1) 26,250
4,300 Frontier Airlines, Inc.(1) 48,912
1,900 Frontier Financial Corp. 38,000
10,578 Frontier Insurance Group, Inc. 36,362
5,300 FSI International, Inc.(1) 60,950
2,700 Fuller (H.B.) Co. 151,031
8,700 Furniture Brands International, Inc.(1) 191,400
3,900 G & K Services, Inc.-- Class A 126,262
3,300 Gables Residential Trust 79,200
2,300 Gallagher (Arthur J.) & Co. 148,925
1,650 Gardner Denver Machinery, Inc. 27,534
7,200 Gaylord Container Corp.(1) 49,050
2,300 Gaylord Entertainment Co. 68,856
1,330 GBC Bancorp 25,686
See Notes to Financial Statements.
19
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
800 GC Companies, Inc.(1) $ 20,700
1,700 Geltex Pharmaceutical, Inc.(1) 21,781
9,600 Gemstar International Group Ltd.(1) 684,000
4,300 GenCorp, Inc. 42,462
700 General Binding Corp. 8,225
4,100 General Cable Corp. 31,006
900 General Cigar Holdings, Inc.-- Class A(1) 7,481
1,778 General Cigar Holdings, Inc.-- Class B(1) 12,001
5,000 General Communication-- Class A(1) 21,875
1 General Electric Co. 31
3,900 General Semiconductor, Inc.(1) 55,331
2,900 Genesco, Inc.(1) 37,700
1,200 Genesys Telecom Labs, Inc.(1) 64,800
1,600 Genlyte Group, Inc.(1) 34,200
3,400 GenRad, Inc.(1) 54,825
4,000 Gentek, Inc. 41,750
4,300 Geon Co. 139,750
5,700 Georgia Gulf Corp. 173,494
2,500 Gerber Scientific, Inc. 54,844
3,800 Getty Images, Inc.(1) 185,725
1,100 Getty Realty Corp. 12,306
800 Gibraltar Steel Corp. 18,700
6,200 Gilead Sciences, Inc.(1) 335,575
3,300 Glatfelter (P.H.) Co. 48,056
12,200 Glenayre Technologies, Inc.(1) 138,012
7,500 Glenborough Realty Trust, Inc. 100,312
2,300 Gliatech, Inc.(1) 38,237
3,000 Glimcher Realty Trust 38,625
5,300 Global Industrial Technologies, Inc.(1) 68,237
13,000 Global Industries, Limited(1) 112,125
1,800 Globix Corp.(1) 108,000
3,000 Go2net, Inc.(1) 261,000
1,000 Golf Trust Of America, Inc. 16,937
2,400 Goodys Family Clothing, Inc.(1) 12,900
1,900 Graco, Inc. 68,162
3,300 Grand Union, Co.(1) 33,412
2,750 Granite Construction, Inc. 50,703
2,200 Great Atlantic & Pacific Tea Co. 61,325
2,200 Great Lakes REIT, Inc. 31,625
2,000 Great Plains Software, Inc.(1) 149,500
2,500 Greater Bay Bancorp 107,187
1,700 Greif Brothers Corp.-- Class A(1) 50,575
21,100 Grey Wolf, Inc.(1) 60,662
4,100 Griffon Corp.(1) 32,031
2,000 Group 1 Automotive, Inc.(1) 27,875
3,700 Group Maintenance America Corp.(1) 39,544
12,100 GT Interactive Software Corp. 20,041
4,800 GTECH Holdings Corporation(1) 105,600
2,400 Guess, Inc.(1) 52,200
2,050 Guilford Mills, Inc. 14,862
2,500 Guilford Pharmaceuticals, Inc.(1) 42,500
2,500 Guitar Center, Inc.(1) 25,156
6,100 Gymboree Corp.(1) 34,312
5,187 HA-LO Industries, Inc.(1) 38,902
2,500 Hadco Corp.(1) 127,500
Shares Description Value
------ ----------- -----
3,400 Haemonetics Corp.(1) $ 80,962
1,800 Hain Food Group, Inc.(1) 40,275
1,100 Hamilton Bancorp, Inc.(1) 19,525
1,220 Hancock Holding Co. 47,275
6,400 Handleman Co.(1) 85,600
4,100 Hanger Orthopedic Group, Inc.(1) 41,000
10,100 Hanna (M. A.) Co. 110,469
3,600 Hanover Compressor Co.(1) 135,900
21,800 Hanover Direct, Inc.(1) 79,025
4,850 Harbinger Corp.(1) 154,291
1,709 Harbor Florida Bancshares 22,110
18,000 Harken Energy Corp.(1) 13,500
4,000 Harland (John H.) 73,250
1,500 Harleysville Group, Inc. 21,375
1,050 Harleysville National Corp. 34,125
3,100 Harman International Industries, Inc. 173,987
3,000 Harmon Industries, Inc. 36,375
3,700 Harmonic Lightwaves, Inc.(1) 351,269
5,200 Harnischfeger Industries, Inc. 2,112
1,100 Harris Financial, Inc. 8,250
5,200 Harsco Corp. 165,100
4,200 Haverty Furniture Co., Inc. 53,025
6,400 Hawaiian Electric Industries 184,800
3,800 Hayes Lemmerz International, Inc.(1) 66,262
5,100 HCC Insurance Holdings, Inc. 67,256
6,462 Health Care Property Investors, Inc. 154,280
7,000 Health Care REIT, Inc. 105,875
8,277 Healthcare Realty Trust, Inc. 129,328
2,250 Heartland Express, Inc.(1) 35,437
1,400 Heidrick & Struggles International(1) 59,150
7,600 Heilig-Meyers Co. 20,900
4,000 Helix Technology Corp. 179,250
9,000 Helmerich and Payne, Inc. 196,312
5,500 Hemispherx Biopharma, Inc.(1) 54,656
2,700 Henry (Jack) & Associates, Inc. 144,956
3,000 Henry Schein, Inc.(1) 39,937
1,700 Herbalife International, Inc. --
Class A 24,437
2,000 Hexcel Corp.(1) 11,125
1,300 Hi/Fn, Inc.(1) 50,375
700 Hilb Rogal Hamilton Co. 19,775
3,700 HNC Software, Inc. 391,275
4,100 Hollywood Entertainment Corp.(1) 59,450
4,800 Hollywood Park, Inc.(1) 107,700
2,100 Home Properties of New York, Inc. 57,619
4,300 Homebase, Inc.(1) 13,169
3,700 Hooper Holmes, Inc. 95,275
7,600 Horace Mann Educators Corp. 149,150
9,900 Hospitality Properties Trust 188,719
1,100 Houston Exploration Co.1 21,794
2,300 HS Resources, Inc.1 39,675
3,650 HSB Group, Inc. 123,416
700 Hub Group, Inc.1 14,000
8,401 Hudson United Bancorp 214,751
2,950 Hughes Supply, Inc. 63,609
See Notes to Financial Statements.
20
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
3,500 Human Genome Sciences, Inc.(1) $ 534,187
2,700 Hunt (J.B.) Transport Services, Inc. 37,378
1 Huntington Bancshares, Inc. 24
6,400 Hussmann International 96,400
3,200 Hutchinson Technology, Inc.(1) 68,000
1,600 Hypercom Corp.(1) 16,000
4,025 Hyperion Software Corp.(1) 175,087
6,100 ICG Communications, Inc.(1) 114,375
7,000 Idacorp, Inc. 187,687
5,800 IDEC Pharmaceuticals Corp.(1) 569,850
2,900 Identix, Inc.(1) 26,281
3,750 IDEX Corp. 113,906
7,000 IDEXX Laboratories, Inc.(1) 112,875
1,600 IDG Books Worldwide, Inc.-- Class A(1) 18,500
3,000 IDT Corp.(1) 56,625
1,800 IDX Systems Corp.(1) 56,250
1,300 IGEN International, Inc.(1) 38,675
4,200 IHOP Corp.(1) 70,087
5,600 Imation Corp.(1) 187,950
1 IMC Global, Inc. --
3,400 Imclone Systems(1) 134,725
1,900 IMCO Recycling, Inc. 23,987
2,000 Impath, Inc.(1) 50,875
6,605 Imperial Bancorp(1) 159,346
3,300 Imperial Credit Commercial, Inc.(1) 37,537
3,300 Imperial Credit Industries, Inc.(1) 20,625
2,025 IMR Global Corp.(1) 25,439
2,900 In Focus Systems, Inc. 67,244
9,172 Inacom Corp.(1) 67,070
3,100 Incyte Pharmaceuticals, Inc.(1) 186,000
14,600 Independence Community Bank 182,500
1,600 Independent Bank Corp. MA 20,000
3,766 Indiana Energy, Inc. 66,846
14,300 Indymac Mortgage Holdings, Inc. 182,325
700 Inet Technologies(1) 48,912
4,400 Infocure Corp.(1) 137,225
1,100 Informatica Corp.(1) 117,012
3,600 Information Resources, Inc.(1) 33,300
26,700 Informix Corp.(1) 303,712
6,700 Infousa, Inc.(1) 93,381
1,300 Ingles Markets, Inc. 14,462
2,600 Inhale Therapeutic Systems(1) 110,662
10,200 Innkeepers USA Trust 83,512
1,900 Innovex, Inc. 17,812
5,800 Input/Output, Inc.(1) 29,362
2,575 Insight Enterprises, Inc.(1) 104,609
2,500 Insignia Financial Group, Inc.(1) 21,719
2,600 Insituform Technology(1) 73,450
5,100 Inspire Insurance Solutions(1) 23,428
11,700 Integrated Device Technology, Inc.(1) 339,300
3,400 Integrated Electrical Services, Inc.(1) 34,212
6,500 Integrated Health Services, Inc. 812
3,100 Integrated Systems, Inc.(1) 104,044
2,700 Inter-Tel, Inc. 67,500
8,500 Interdigital Communications Corp. 637,500
Shares Description Value
------ ----------- -----
5,300 Interface, Inc. $ 30,475
5,500 Intergraph Corp.(1) 25,781
9,770 Interim Services(1) 241,807
6,300 Intermedia Communications of
Florida, Inc.(1) 244,519
2,900 Intermet Corp. 33,712
2,475 International Bancshares Corp. 109,519
3,800 International Fibercom, Inc.(1) 29,925
2,400 International Home Foods, Inc.(1) 41,700
2,200 International Multifoods Corp. 29,150
6,800 International Rectifier Corp.(1) 176,800
1,700 Interpool, Inc. 12,644
3,700 Intertan, Inc.(1) 96,662
3,700 Intervoice, Inc.(1) 86,025
1,100 Intervu, Inc. 115,500
2,000 Interwest Bancorp 38,500
1,800 Intraware, Inc.(1) 142,200
869 Intuit, Inc.(1) 52,131
3,000 Invacare Corp. 60,187
3,100 Investors Financial Services Corp. 142,600
1,300 Invitrogen Corp.(1) 78,000
36,700 Iomega Corp.(1) 123,862
2,100 Ionics, Inc.(1) 59,062
1,200 IPC Communications(1) 85,200
2,200 IRI International Corp.(1) 8,800
4,250 Iron Mountain, Inc.(1) 167,078
4,200 IRT Property Co. 32,812
1,500 Irwin Financial Corp. 26,719
5,600 Isis Pharmaceutical, Inc.(1) 35,000
3,200 ISS Group(1) 227,600
1,400 IT Group, Inc.(1) 12,862
7,900 ITC Deltacom, Inc.(1) 218,237
1,100 ITI Technologies, Inc.(1) 33,000
1,850 ITT Educational Services, Inc.(1) 28,559
1,700 ITURF, Inc.-- Class A(1) 21,144
2,400 Ivex Packaging Corp.(1) 24,000
1,400 Ivillage, Inc.(1) 28,350
6,100 Jack In The Box, Inc.(1) 126,194
2,800 Jacobs Engineering Group, Inc.(1) 91,000
2,700 Jakks Pacific, Inc.(1) 50,456
4,150 JDA Software Group, Inc.(1) 67,956
4,200 JDN Realty Corp. 67,725
2,700 Jefferies Group, Inc. 59,400
5,600 JLG Capital Industries, Inc. 89,250
600 JLK Direct Distribution, Inc. --
Class A(1) 6,187
2,200 Jo-Ann Stores, Inc.(1) 24,750
500 John Nuveen & Co., Inc.-- Class A 18,031
4,900 Jones Lang Lasalle, Inc.(1) 58,187
6,100 Jones Pharmaceuticals, Inc. 264,969
5,700 Jostens, Inc. 138,581
5,600 Journal Register Co.(1) 86,450
1,400 JP Realty, Inc. 21,875
1,100 JSB Financial, Inc. 57,062
800 Juno Online Services, Inc.(1) 28,750
See Notes to Financial Statements.
21
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
3,150 Just For Feet, Inc.(1) $ 3,937
2,100 Justin Industries , Inc. 31,237
2,400 K-Swiss, Inc. 44,587
1,800 K-V Pharmaceutical Co.-- Class B(1) 38,587
3,800 Kaiser Aluminum Corp.(1) 29,212
3,000 Kaman Corporation-- Class A 38,625
1,000 Kansas City Life Insurance Co. 33,750
9,000 Kaufman & Broad Home Corp. 217,687
4,900 Kaydon Corp. 131,381
4,000 Kellstrom Industries, Inc.(1) 36,500
2,900 Kellwood Co. 56,369
2,300 Kelly Services, Inc.-- Class A 57,787
6,500 Kemet Corp.(1) 292,906
5,300 Kennametal, Inc. 178,212
3,600 Kent Electronics Corp.(1) 81,900
10,600 Key Energy Group, Inc.(1) 54,987
2,100 Keystone Automotive Industries, Inc.(1) 12,337
3,500 Kilroy Realty Corp. 77,000
4,000 Kimball International, Inc.-- Class B 66,000
3,150 King Pharmaceuticals, Inc. 176,597
4,562 Kirby Corp.(1) 93,521
750 Knight Transportation, Inc.(1) 12,844
6,000 Koger Equity, Inc. 101,250
14,700 Komag, Inc.(1) 45,937
4,400 Kopin Corp.(1) 184,800
2,800 Korn/Ferry International(1) 101,850
3,100 Kroll-O'Gara Co.(1) 51,150
2,450 Kronos, Inc.(1) 147,000
3,600 Kulicke & Soffa Industries, Inc.(1) 153,225
6,700 La-Z-Boy Chair, Inc. 112,644
5,550 Labor Ready, Inc.(1) 67,294
8,600 Laboratory Corporation of
America Holdings(1) 31,712
2,300 Laclede Gas Co. 49,737
5,700 Lam Research Corp.(1) 635,906
3,000 Lance, Inc. 30,000
1,800 Landamerica Financial Group, Inc. 33,075
2,200 Landauer, Inc. 48,125
3,300 Landry's Seafood Restaurants, Inc.(1) 28,669
2,500 Lands' End, Inc.(1) 86,875
2,200 Landstar Systems, Inc.(1) 94,187
3,800 Laser Vision Centers, Inc.(1) 40,137
3,800 LaserSight Corporation 38,000
2,400 Lason Holdings, Inc.(1) 26,400
400 Latitude Communications(1) 10,450
6,300 Lattice Semiconductor Corp.(1) 296,888
2,100 Launch Media, Inc. 39,769
2,401 LCA Vision, Inc.(1) 11,255
2,500 Leap Wireless International(1) 196,250
9,300 Learn2.com, Inc.(1) 30,516
2,400 Learning Tree International, Inc.(1) 67,200
5,700 Lee Enterprises, Inc. 182,044
1 Legg Mason, Inc. 36
9,300 Lennar Corp. 151,125
5,300 Leucadia National Corp. 122,563
Shares Description Value
------ ----------- -----
2,300 Lexington Corp. Properties $ 21,131
2,100 Libbey, Inc. 60,375
2,031 Liberty Corp. 85,683
1,300 Liberty Financial Companies, Inc. 29,819
3,000 Lifepoint Hospitals, Inc.(1) 35,438
5,500 Ligand Pharmaceutical-- Class B(1) 70,813
4,700 Lilly Industries, Inc.-- Class A 63,156
4,800 Lincoln Electric Holdings 99,000
1,725 Lindsay Manufacturing Co. 31,481
6,800 Liposome Company, Inc.(1) 82,981
800 Lithia Motors, Inc.-- Class A(1) 14,300
2,400 Littlefuse, Inc.(1) 58,238
3,200 LNR Property Corp. 63,600
4,800 Local Financial Corp.(1) 49,800
3,100 Lodgian, Inc.(1) 15,500
4,500 Lone Star Steakhouse & Saloon(1) 40,148
2,900 Lone Star Technologies, Inc.(1) 80,838
6,600 Longview Fibre Co. 94,050
2,500 Louis Dreyfus Natural Gas Corp.(1) 45,313
50 LTC Healthcare, Inc. 100
3,500 LTC Properties, Inc. 29,531
22,800 LTV Corp. 94,050
5,000 LTX Corp.(1) 111,875
2,900 Luby's Cafeterias, Inc. 32,988
3,100 Lydall, Inc.(1) 20,538
1,200 M.S. Carriers, Inc.(1) 28,650
2,000 MacDermid, Inc. 82,125
6,700 Macerich, Co. 139,444
1,900 Macrovision Corp.(1) 140,600
2,100 Madison Gas & Electric Co. 42,263
3,125 MAF Bancorp, Inc. 65,430
6,300 Magellan Health Services, Inc.(1) 39,769
3,400 Magnetek, Inc.(1) 26,138
4,900 Mail-Well Corp.(1) 66,150
500 Maker Communications(1) 21,375
3,337 Manitowoc Co., Inc. 113,458
3,000 Mannatech, Inc.(1) 15,563
3,400 Manufactured Home Communities,
Inc. 82,663
3,900 Manugistics Group, Inc.(1) 126,019
4,700 Mapics, Inc.(1) 59,338
700 Mapquest.com, Inc.(1) 15,794
3,200 Marcus Corp. 43,000
8,800 Marine Drilling Co., Inc.(1) 197,450
6,300 Mark IV Industries, Inc. 111,431
600 Markel Corp.(1) 93,000
2,100 Marketing Services Group, Inc.(1) 35,175
1,100 Marvel Enterprises, Inc.(1) 6,050
4,700 MascoTech, Inc. 59,631
3,750 MasTec, Inc.(1) 166,875
4,500 Mastech Corp.(1) 111,375
3,200 Mathews International Corp. --
Class A 88,000
3,300 Maverick Tub Corp.(1) 81,469
1,400 MAXIMUS, Inc. (1) 47,513
See Notes to Financial Statements.
22
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
6,400 Maxtor Corp.(1) $ 46,400
1,200 Maxwell Technologies, Inc. 12,000
500 MAXXAM, Inc.(1) 21,438
7 May Department Stores Co. 226
2,900 McGrath Rentcorp. 50,750
2,800 McMoran Exploration Co.(1) 59,150
2,800 MDC Holdings, Inc. 43,925
6,950 MDU Resources Group 139,000
1,700 Mechanical Technology, Inc.(1) 39,525
1,400 Medallion Financial Corp. 25,113
2,500 Medco Research, Inc.(1) 75,156
400 Media Metrix, Inc.(1) 14,300
2,898 Medical Assurance, Inc.(1) 61,401
3,750 Medicis Pharmaceutical Corp. --
Class A(1) 159,609
2,500 Mediconsult.com, Inc. 15,625
4,700 MedQuist, Inc.(1) 121,319
2,500 MemberWorks, Inc.(1) 82,969
4,300 MEMC Electronic Materials 52,675
4,650 Men's Wearhouse, Inc.(1) 136,594
4,100 Mentor Corp. 105,831
12,300 Mentor Graphics Corp. 162,206
2,000 Merchants New York Bancorp 34,250
3,600 Mercury Computer Systems, Inc.(1) 126,000
6,000 Mercury Interactive Corp.(1) 647,625
4,776 Meridian Resource Corp.(1) 14,627
17,300 Merisel, Inc.(1) 22,706
9,612 Meristar Hospitality Corp. 153,792
3,400 Mesa Air Group, Inc. (1) 16,150
1,500 Mesaba Holdings, Inc.(1) 17,156
3,100 Messagemedia, Inc.(1) 43,594
2,000 Mestek, Inc.(1) 40,500
3,800 Metals USA, Inc.(1) 32,300
5,250 Metamor Worldwide, Inc.(1) 152,906
6,200 Methode Electronics, Inc. --
Class A 199,175
1,400 Metricom, Inc.(1) 110,075
5,720 Metris Companies, Inc. 204,133
2,100 Metro Information Services, Inc.(1) 50,400
7,000 Metromedia International Group,
Inc.(1) 33,250
6,600 Mettler-- Toledo International,
Inc.(1) 252,038
2,300 MGC Communications, Inc. 116,725
1,800 MGI Properties, Inc. 9,450
2,200 Miami Computer Supply Co.(1) 81,675
1,800 Michael Foods, Inc. 44,325
4,900 Michaels Stores, Inc.(1) 139,650
800 Michigan Financial Corp. 22,050
4,900 Micrel, Inc.(1) 278,994
4,500 Micro Warehouse, Inc.(1) 83,250
1,500 Micromuse, Inc.(1) 255,000
4,400 Micron Electronics, Inc.(1) 48,950
3,000 MICROS Systems, Inc.(1) 222,000
5,800 Microstrategy, Inc.(1) 1,218,000
Shares Description Value
------ ----------- -----
6,300 Mid Atlantic Medical Services, Inc.(1) $ 52,369
2,400 Mid-America Apartment
Communities, Inc. 54,300
1,182 MidAmerica Bancorp 33,700
700 Mid-State Bancshares 22,313
2,400 Midas, Inc. 52,500
5,476 Midway Games, Inc.(1) 131,082
2,400 Midwest Banc Holdings 33,000
1,850 Midwest Express Holdings(1) 58,969
1,200 Mikasa, Inc. 12,075
7,600 Milacron, Inc. 116,850
5,700 Millennium Pharmaceuticals(1) 695,400
8,650 Miller Industries, Inc.(1) 24,869
5,100 Mills Corp. 91,163
500 Mine Safety Appliances Co. 32,000
3,700 Minerals Technologies, Inc. 148,231
2,100 Mips Technologies, Inc.-- Class A(1) 109,200
3,468 Mississippi Chemical Corp. 21,458
800 Mississippi Valley Bancshares 21,600
2,600 Mitchell Energy & Development
Corp.-- Class A 57,363
4,200 MMC Networks, Inc.(1) 144,375
2,300 MMI Companies, Inc. 19,838
400 Modem Media Poppe Tyson, Inc.(1) 28,150
2,800 Modine Manufacturing Co. 70,000
1,000 Molecular Devices Corp.(1) 52,000
2,250 Monaco Coach Corp.(1) 57,516
900 Moog, Inc.-- Class A(1) 24,300
6,050 Morgan Keegan, Inc. 101,716
4,100 Morrison Knudsen, Corp.(1) 32,031
1,100 Movado Group 23,994
2,100 Mpath Interactive, Inc.(1) 55,913
3,000 MRV Communications, Inc. 188,625
4,400 MTI Technology Corp. 162,250
5,200 MTS Systems Corp. 40,300
6,500 Mueller Industries, Inc.(1) 235,625
1,700 Multex.com, Inc.(1) 63,963
3,800 Musicland Stores Corp.(1) 32,063
1,966 Myers Industries, Inc. 30,965
1,424 NACCO Industries, Inc.-- Class A 79,121
3,800 National Bankcorp of Alaska, Inc. 106,638
2,368 National City Bancshares, Inc. 59,496
5,700 National Computer Systems, Inc. 214,463
1,600 National Discount Brokers Group,
Inc.(1) 42,200
1,700 National Golf Properities, Inc. 33,575
3,000 National Health Investors, Inc. 44,625
4,800 National Instruments Corp.(1) 183,600
3,885 National Penn Bancshares, Inc. 97,611
1,800 National Presto Industries, Inc. 63,900
1,150 National RV Holdings, Inc.(1) 22,138
2,700 National Steel Corp. 20,081
200 National Western Life Insurance
Co.-- Class A(1) 13,725
6,200 National-Oilwell, Inc. 97,263
See Notes to Financial Statements.
23
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
5,800 Nationwide Health Properties, Inc. $ 79,750
1,900 Natures Sunshine Products, Inc. 15,200
4,000 Nautica Enterprises, Inc.(1) 45,250
3,200 Navarre Corp.(1) 18,400
5,300 Navigant Consulting Co.(1) 57,638
1,694 NBT Bancorp 26,257
7,000 NBTY, Inc.(1) 80,938
600 NCH Corp. 26,738
4,100 NCI Building Systems, Inc.(1) 75,850
2,100 NCO Group, Inc.(1) 63,263
1,900 NCS HealthCare, Inc.(1) 4,572
5,300 Neomagic Corp. (1) 57,969
1,600 Neon Systems(1) 62,800
1,600 Net Perceptions, Inc.(1) 67,200
3,900 Net.Bank, Inc.(1) 72,150
1,700 Netobjects, Inc.(1) 28,050
1,100 Netopia, Inc.(1) 59,744
2,800 Network Equipment Technologies,
Inc.(1) 33,075
2,100 Network Event Theater, Inc. 62,475
1,900 Network Peripherals, Inc. (1) 89,775
1,500 Neurogen Corp.(1) 24,750
1,300 New Century Financial Corp. 20,475
2,900 New England Business Services, Inc. 70,869
2,300 New Jersey Resources Corp. 89,844
7,000 Newfield Exploration Co.(1) 187,250
14,900 Newpark Resources, Inc.(1) 91,263
4,200 Newport News Shipbuilding, Inc. 115,500
800 Nextcard, Inc.(1) 23,100
2,900 Nextera Enterprises, Inc-- Class A 37,338
4,100 NFO Worldwide, Inc.(1) 91,738
3,000 NL Industries, Inc. 45,188
1,800 Nordson Corp. 86,850
700 Nortek, Inc.(1) 19,600
2,000 North Pittsburgh Systems 29,500
1,000 Northeast Optic Network, Inc.(1) 62,563
6,400 Northwest Bancorp, Inc. 44,400
5,300 Northwest Natural Gas Co. 116,269
3,500 Northwestern Corp. 77,000
3,200 Novoste Corp.(1) 52,800
3,500 NPC International, Inc.(1) 27,563
2,300 Nuevo Energy Co.(1) 43,125
1,800 NUI Corp. 47,475
2,500 Nvidia Corp.(1) 117,344
1,300 NVR, Inc.(1) 62,075
1,300 O'Charleys, Inc.(1) 17,063
5,300 O'Reilly Automotive, Inc. 113,950
2,000 O'Sullivan Senior Preferred --
2,600 Oak Industries, Inc.(1) 275,925
4,000 Oakley, Inc.(1) 22,250
13,500 Oakwood Homes 43,031
2,600 Oceaneering International, Inc.(1) 38,838
1,600 Oceanfirst Financial Corp. 27,700
1,500 Octel Corp.(1) 15,563
3,200 Ocular Sciences, Inc.(1) 60,400
Shares Description Value
------ ----------- -----
2,800 OEA, Inc. $ 13,650
20,000 Officemax(1) 110,000
2,800 Offshore Logistics, Inc.(1) 26,250
8,900 Ogden Corp. 106,244
12,100 Ohio Casualty Corp. 194,356
7,900 Olin Corp. 156,519
12,500 Olsten Corp. 141,406
3,050 OM Group, Inc. 105,034
2,800 Omega Financial Corp. 81,200
5,900 OMEGA Healthcare Investors, Inc. 74,856
1,700 Omega Research, Inc.(1) 10,200
3,000 OMI Corp.(1) 6,188
4,400 Omnipoint Corp.(1) 530,750
1,400 On Assignment, Inc.(1) 41,825
4,287 One Valley Bancorp, Inc. 131,289
1,850 Oneida Limited 40,238
3,500 Onemain.com(1) 52,500
6,500 ONEOK, Inc. 163,313
3,100 Onhealth Network Co.(1) 27,706
1,400 Onyx Software Corp.(1) 51,800
3,800 Open Market, Inc.(1) 171,475
1,300 Optical Cable Corp. (1) 26,000
3,500 Optical Coating Laboratory, Inc. 1,036,000
4,800 Orbital Sciences Corp.(1) 89,100
3,200 Oregon Steel Mills, Inc. 25,400
4,072 Organogenesis, Inc.(1) 35,376
3,300 Oriental Financial Group 72,806
5,200 Orthodontic Centers of America, Inc.(1) 62,075
960 Oshkosh B Gosh, Inc.-- Class A 20,220
2,550 Oshkosh Truck Corp.-- Class B 74,747
3,500 Osteotech, Inc.(1) 46,813
1,500 Otter Tail Power Co. 56,250
3,400 Overseas Shipholding Group, Inc. 50,363
4,100 Owens & Minor, Inc. Holding Co. 36,644
7,700 P-Com, Inc.(1) 68,097
2,100 P.F. Changs China Bistro, Inc.(1) 52,238
3,100 Pacific Capital Bancorp 95,325
2,900 Pacific Gateway Exchange, Inc.(1) 49,481
2,300 Pacific Gulf Properties, Inc. 46,575
3,525 Pacific Sunwear of California(1) 113,461
9,500 Paging Network, Inc .(1) 7,719
8,900 Pairgain Technologies(1) 126,269
2,494 Palm Harbor Homes, Inc.(1) 44,892
1,400 Pan Pacific Retail Properties, Inc. 22,838
4,150 Papa John's International, Inc.(1) 108,159
3,100 Parexel International Corp.(1) 36,619
1,200 Park Electrochemical Corp. 31,875
1,680 Park National Corp. 161,280
8,400 Parker Drilling Co.(1) 26,775
1,300 Parkway Properties, Inc. 37,456
1,100 Party City Corp.(1) 990
2,100 PathoGenesis Corp.(1) 45,019
4,450 Patterson Dental Co.(1) 189,681
6,700 Patterson Energy, Inc.(1) 87,100
8,606 Paxar Corp.(1) 72,613
See Notes to Financial Statements.
24
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
3,900 Paxson Communications Corp.(1) $ 46,556
1,200 PC Connection, Inc. 41,400
700 Pcorder.com, Inc.(1) 35,700
3,500 PE Corp.- Celera Genomics Group(1) 521,500
2,000 Pediatrix Medical Group, Inc.(1) 14,000
2,000 Pegasus Communications Corp. --
Class A 144A(1) 195,500
2,300 Pegasus Systems, Inc.(1) 138,719
2,700 Pegasystems, Inc.(1) 30,375
2,500 Penn Treaty American Corp.(1) 39,375
1,500 Pennsylvania Real Estate
Investment Trust 21,844
11,400 Pennzoil-Quaker State Co. 116,138
2,200 Penton Media, Inc. 52,800
1,900 Peoples Holdings Co. 54,863
4,042 Peoplesoft, Inc.(1) 86,156
7,800 Pep Boys (Manny Moe & Jack) 71,175
6,733 Per-Se Technologies, Inc.(1) 56,602
3,600 Peregrine Systems, Inc.(1) 297,450
1,500 Performance Food Group Co.(1) 36,563
7,900 Perkin Elmer, Inc. 329,331
7,900 Perrigo Co.(1) 63,200
3,400 Personnel Group of America, Inc.(1) 34,425
3,400 Pervasive Software, Inc.(1) 57,588
4,700 Petco Animal Supplies, Inc.(1) 69,913
15,000 PETsMART, Inc.(1) 86,250
1,700 PFF Bancorp, Inc.(1) 32,938
4,066 Pharmaceutical Product
Development, Inc.(1) 48,284
2,100 Pharmacyclics, Inc. 86,625
1 Phelps Dodge Corp. 67
4,533 Philadelphia Suburban Co. 93,776
3,000 Phillips-Van Heusen Corp. 24,938
5,500 Phoenix Investment Partners 44,688
4,900 Phoenix Technologies, Limited(1) 77,481
3,900 Photronics, Inc.(1) 111,638
10,100 Phycor, Inc.(1) 18,938
3,900 Physicians Computer Network, Inc.(1) 390
2,200 Pico Holdings(1) 27,088
8,800 Picturetel Corp.(1) 37,950
3,900 Piedmont Natural Gas Co., Inc. 117,975
12,300 Pier 1 Imports, Inc. 78,413
1,900 Pierce Leahy Corp.(1) 82,175
1,400 Pilgrims Pride Corp.(1) 11,638
4,700 Pillowtex Corp. 29,081
5,000 Pinnacle Holdings(1) 211,875
3,300 Pinnacle Systems, Inc.(1) 134,269
3,300 Pioneer Group, Inc. 51,975
12,900 Pioneer Natural Resouces Co. 115,294
5,200 Pioneer-Standard Electronics, Inc. 75,075
1,200 Pitt-Des Moines, Inc. 29,550
2,400 Pittston Bax Group 25,500
7,300 Pittston Brinks Group 160,600
3,900 Pittway Corp.-- Class A 174,769
2,000 Plains Resources, Inc.(1) 25,000
Shares Description Value
------ ----------- -----
2,200 Plantronics, Inc.(1) $ 157,438
2,500 Playboy Enterprises, Inc.-- Class B(1) 60,781
3,700 Playtex Products, Inc.(1) 56,888
3,200 Plexus Corp.(1) 140,800
1,200 PLX Technology, Inc.(1) 22,725
2,000 PMA Capital Corp. 39,750
5,200 Pogo Producing Co. 106,600
3,200 Polaris Industries, Inc. 116,000
7,800 Polaroid Corp. 146,738
6,700 Policy Management Systems(1) 171,269
2,900 Polycom, Inc.(1) 184,694
2,700 Polymer Group, Inc. 49,275
5,000 Potlatch Corp. 223,125
3,000 Power Integrations(1) 143,813
2,500 Power-One, Inc.(1) 114,531
3,700 Powertel, Inc.(1) 371,388
1,900 Powerwave Technologies, Inc.(1) 110,913
2,500 Pre-Paid Legal Services, Inc. (1) 60,000
4,900 Precision Castparts Corp. 128,625
3,300 Premier Bancshares 44,963
8,400 Premiere Technologies, Inc.(1) 58,800
4,900 Prentiss Properties Trust 102,900
3,000 Presidential Life Corp. 55,125
5,500 Presstek, Inc.(1) 76,313
1,900 Preview Travel, Inc.(1) 99,038
2,500 PRI Automation, Inc.(1) 167,813
7,310 Price Communications Corp.(1) 203,309
7,800 Pride International, Inc.(1) 114,075
1,878 Primark Corp.(1) 52,232
6,600 Prime Hospitality, Inc.(1) 58,163
5,494 Prime Retail, Inc. 30,904
1,200 Primex Technologies, Inc. 24,900
3,400 Primus Telecommunications
Group, Inc.(1) 130,050
560 Priority Healthcare Corp.-- Class B(1) 16,205
1,900 Prism Financial Corp.(1) 10,688
3,000 Private Business, Inc.(1) 14,438
1,700 Probusiness Service, Inc.(1) 61,200
11,600 Procurenet, Inc.3 --
2,200 Professionals Group, Inc.(1) 51,563
4,200 Profit Recovery Group
International, Inc.(1) 111,563
3,050 Progress Software Corp.(1) 173,088
2,400 Project Software & Development,
Inc.(1) 133,200
4,600 Protection One, Inc. 8,913
3,400 Protein Design Labs, Inc.(1) 238,000
1,900 Provident American Corp.(1) 66,856
3,308 Provident Bankshares Corp. 57,270
2,500 Province Healthcare Co.(1) 47,500
1,300 Proxicom, Inc.(1) 161,606
1,700 Proxim, Inc.(1) 187,000
3,600 Proxymed, Inc.(1) 35,100
5,000 PS Business Parks, Inc. 113,750
731 PsiNet, Inc.(1) 45,139
See Notes to Financial Statements.
25
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
12,325 PSS World Medical, Inc.(1) $ 116,317
8,300 Public Service Company of New
Mexico 134,875
3,800 Public Service Company of North
Carolina, Inc. 122,788
3,900 Publicard, Inc.(1) 25,594
100 Pulitzer, Inc. 4,031
6,300 Pulte Corp. 141,750
1,523 PXRE Group Limited 19,799
2,000 QRS Corp.(1) 208,625
5,200 QuadraMed Corp.(1) 45,338
1,800 Quanex Corp. 45,900
5,100 Quanta Services, Inc.(1) 144,075
2,172 Queens County Bancorp, Inc. 58,916
5,600 Quest Diagnostics, Inc.(1) 171,150
2,700 Quicksilver, Inc.(1) 41,850
9,300 Quorum Health Group, Inc.(1) 86,606
4,300 R.H. Donnelley Corp. 81,163
1,000 R.L.I. Corp. 34,000
1,500 Racing Champions Corp.(1) 6,656
6,053 Radian Group 289,031
2,100 Radiant Systems, Inc.(1) 84,394
1,400 Radio One, Inc.(1) 128,800
1,750 Radisys Corp.(1) 89,250
3,670 Ralcorp Holdings, Inc.(1) 73,171
4,600 Rare Medium Group, Inc.(1) 156,975
5,200 Raymond James Financial, Inc. 97,175
5,200 Rayonier, Inc. 251,225
3,500 Rayovac Corp.(1) 66,063
775 Razorfish, Inc.(1) 73,722
5,800 Read-Rite Corp.(1) 27,550
3,400 Realty Income Corp. 70,125
8,100 Reckson Association Realty Corp. 166,050
2,700 Redwood Trust, Inc. 33,750
5,900 Reebok International Limited.(1) 48,306
2,600 Regal-Beloit Corp. 53,625
7,600 Regency Realty Corp. 152,000
4,500 Regeneron Pharmaceuticals, Inc.(1) 57,375
5,500 Regis Corp.(1) 103,813
1,100 Reliance Bancorp 37,950
14,700 Reliance Group Holdings 98,306
2,100 Reliance Steel & Aluminum Co. 49,219
4,300 Remec, Inc.(1) 109,650
3,200 Remedy Corp.(1) 151,600
2,780 Renaissance Worldwide, Inc.(1) 20,503
7,650 Renal Care Group, Inc.(1) 178,819
2,200 Rent-A-Center, Inc.(1) 43,588
2,100 Rent-Way, Inc.(1) 39,244
5,764 Republic Bancorp, Inc. 69,979
3,200 Republic Bancorp, Inc.-- Class A 27,400
700 Republic Bankshares, Inc. 8,750
6,300 Republic Security Financial 45,084
4,750 Res-Care, Inc.(1) 60,563
1,900 Resmed, Inc.(1) 79,325
2,800 Resource America, Inc. 22,050
Shares Description Value
------ ----------- -----
1,803 Resource Bancshares Mortgage
Group, Inc. $ 8,170
3,651 Respironics, Inc.(1) 29,094
3,500 Restoration Hardware, Inc.(1) 23,844
4,300 Rexall Sundown, Inc.(1) 44,344
3,200 RFS Hotel Investors, Inc. 33,400
4,700 RGS Energy Group, Inc. 96,644
3,200 Richmond County Financial Corp. 57,800
2,400 Riggs National Corp. 31,650
1,100 Risk Capital Holdings, Inc.(1) 13,888
2,700 Rivianna Foods, Inc. 47,925
1,600 Roadway Express, Inc. 34,600
2,400 Robbins & Myers, Inc. 54,300
2,100 Robert Mondavi Corp.-- Class A 72,975
1,600 Rock-Tenn Co. 23,600
1,000 Rogers Corp.(1) 38,250
2,300 Rollins, Inc. 34,500
5,950 Rollins Truck Leasing Corp. 71,028
7,283 Romac International, Inc.(1) 97,865
5,500 Roper Industries, Inc. 207,969
4,900 RSA Security, Inc.(1) 379,750
1,900 RTI International Metals(1) 14,250
4,100 Ruby Tuesday, Inc. 74,569
3,900 Ruddick Corp. 60,450
1,400 Russ Berrie & Co., Inc. 36,750
3,600 Russell Corp. 60,300
600 RWD Technologies, Inc.(1) 6,225
4,700 Ryan's Family Steak House, Inc.(1) 39,950
1,761 Ryerson Tull, Inc. 34,229
2,200 Ryland Group, Inc. 50,738
3,620 S & T Bancorp 83,939
4,661 S1 Corp.(1) 364,141
10,500 S3, Inc.(1) 121,406
1,300 Sabratek Corp.(1) 351
1,600 Safescience, Inc.(1) 18,600
7,100 Safeskin Corp.(1) 86,088
1,375 Saga Communications, Inc. --
Class A(1) 27,844
3,900 Saga Systems, Inc.(1) 77,756
2,000 Sagent Technology, Inc.(1) 59,875
1,000 Saleslogix Corp.(1) 41,063
1,900 Salton/Maxim Housewares, Inc.(1) 63,531
2,200 Sanchez Computer Associates(1) 90,613
2,500 Sanderson Farms, Inc. 21,406
2,900 Sandisk Corp.(1) 279,125
1,300 Sandy Spring Bancorp 35,100
1,900 SangStat Medical Corp.(1) 56,525
3,800 Santa Cruz Operation, Inc.(1) 115,425
3,300 Sauer, Inc. 29,906
3,300 Sawtek, Inc.(1) 219,656
1,400 Schein Pharmaceutical, Inc.(1) 16,975
2,700 Scholastic Corp.(1) 167,906
5,100 Schulman (A.), Inc. 83,194
1,900 Schweitzer-Manduit International,
Inc. 25,531
See Notes to Financial Statements.
26
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
1,300 Scientific Games Holdings Corp.(1) $ 21,531
2,000 SCM Microsystems, Inc.(1) 127,875
1,900 Scott Technologies, Inc.(1) 35,863
2,400 Scotts Company (The)-- Class A(1) 96,600
2,200 SCPIE Holdings, Inc. 70,675
200 Seaboard Corp. 38,850
3,400 Seacoast Financial Services Corp. 34,638
1,500 SEACOR SMIT, Inc.(1) 77,625
5,100 Security Capital Group, Inc. --
Class B(1) 63,750
6,800 Seitel, Inc.(1) 45,900
3,600 Selective Insurance Group, Inc. 61,875
1,839 Semco Energy, Inc. 21,723
4,100 Semtech Corp.(1) 213,713
12,100 Sensormatic Electronics 210,994
1,000 Sequa Corp.-- Class A(1) 53,938
4,925 Serologicals Corp.(1) 29,550
5,600 Service Experts, Inc.(1) 32,550
5,943 Shire Pharmaceuticals Group ADR(1) 173,473
2,400 Shoe Carnival, Inc.(1) 24,150
4,900 Shop At Home, Inc.(1) 48,694
3,700 ShopKo Stores, Inc.(1) 85,100
1,375 Shoreline Financial Corp. 25,438
2,700 Shorewood Packaging Corp.(1) 51,131
3,700 Shurgard Storage Centers, Inc. 85,794
10,100 Sicor, Inc.(1) 78,275
300 Siebert Financial Corp. 4,425
3,400 Sierra Health Services, Inc.(1) 22,738
14,229 Sierra Pacific Resources 246,340
3,050 SIGCORP, Inc. 69,388
1,600 Silgan Holdings, Inc.(1) 21,400
3,500 Silicon Valley Bancshares(1) 173,250
6,200 Silicon Valley Group, Inc.(2) 110,050
500 Siliconix, Inc.(1) 65,750
400 Silknet Software, Inc.(1) 66,300
900 Simmons First National Corp. --
Class A 22,500
2,400 Simpson Industries, Inc. 27,000
600 Simpson Manufacturing Co., Inc.(1) 26,250
2,200 Sinclair Broadcasting Group, Inc. A(1) 26,847
3,700 Sipex Corp.(1) 90,881
1,800 Sirius Satellite Radio, Inc.(1) 80,100
5,000 Sitel Corp.(1) 35,000
14,112 Sky Financial Group, Inc. 282,998
1,600 Skyline Corp. 37,600
4,600 Skywest, Inc. 128,800
5,400 Sl Green Realty Corp. 117,450
3,400 SLI, Inc.(1) 46,113
3,500 Smart & Final Food, Inc. 25,375
2,700 Smith (A.O.) Corp. 59,063
2,500 Smith (Charles E.) Residential
Realty, Inc. 88,438
8,200 Smithfield Foods(1) 196,800
4,800 Smucker (J.M.) Co.-- Class A 93,600
2,000 Softnet Systems, Inc.(1) 50,250
Shares Description Value
------ ----------- -----
3,200 Sola International, Inc.(1) $ 44,400
3,950 Sonic Corp.(1) 112,575
2,800 Source Information Management Co.(1) 46,900
2,900 Source Media, Inc.(1) 53,650
1,000 South Jersey Industries, Inc. 28,438
3,200 Southern Peru Copper Corp. 49,400
7,419 Southern Union Co.(1) 141,888
3,500 Southwest Bancorp of Texas(1) 69,344
6,300 Southwest Gas Corp. 144,900
2,270 Southwest Securities Group, Inc. 62,141
3,300 Southwestern Energy Co. 21,656
1,600 Sovran Self Storage, Inc. 30,300
1,900 Spartech Corp. 61,275
1,500 Specialty Equipment Co., Inc.(1) 35,906
5,490 SpeedFam-International, Inc.(1) 71,027
4,400 Spiegel, Inc.-- Class A Non-Voting(1) 30,938
2,400 Sportsline USA(1) 120,300
2,400 Springs Industries, Inc.-- Class A 95,850
1,600 SPS Technologies, Inc.(1) 51,100
2,500 Spyglass, Inc.(1) 94,805
3,500 SS&C Technologies, Inc.(1) 22,750
1,400 St. Mary Land & Exploration Co. 34,650
2,800 Staff Leasing, Inc.(1) 26,600
3,800 StaffMark, Inc.(1) 28,738
3,500 Stancorp Financial Group 88,156
1,100 Standard Motor Products, Inc. --
Class A 17,738
3,300 Standard-Pacific Corp. 36,300
1,600 Standard Register Co. 31,000
2,200 Standex International Corp. 46,063
6,800 Star Telecommunications, Inc.(1) 53,763
900 Starrett (L.S.) Co.-- Class A 20,194
900 Startek, Inc.(1) 32,625
2,100 State Auto Financial Corp. 19,163
5,200 Staten Island Bancorp, Inc. 93,600
2,900 Station Casinos, Inc.(1) 65,069
8,500 Steel Dynamics, Inc.(1) 135,469
3,700 Stein Mart, Inc.(1) 21,044
1,200 Steinway Musical Instruments, Inc.(1) 24,300
900 Stepan Co. 21,038
1,700 Stericycle, Inc.(1) 31,981
8,600 STERIS Corp.(1) 88,688
3,000 Sterling Bancshares, Inc. 33,563
3,600 Stewart & Stevenson Services, Inc. 42,638
1,500 Stewart Information Services Corp. 19,969
5,550 Stillwater Mining Co.(1) 176,906
2,800 Stone & Webster, Inc. 47,075
3,300 Stone Energy Corp.(1) 117,563
1,600 Stoneridge, Inc.(1) 24,700
6,100 Storage USA, Inc. 184,525
1,000 Strawbridge & Clothier3 --
900 Strayer Education, Inc. 17,775
5,900 Stride Rite Corp. 38,350
7,200 Structural Dynamics Research Corp.(1) 91,800
500 Student Loan Corp. 24,938
See Notes to Financial Statements.
27
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
2,500 Sturm Ruger & Co., Inc. $ 22,188
5,700 Suiza Foods Corp.(1) 225,863
2,800 Summit Properties, Inc. 50,050
7,000 Summit Technology, Inc.(1) 81,813
2,200 Sun Communities, Inc. 70,813
11,100 Sunbeam Oster Corp. 46,481
1 Sunburst Hospitality Corp.(1) 6
5,400 Sunglass Hut International, Inc.(1) 60,750
3,800 Sunrise Assisted Living, Inc.(1) 52,250
3,000 Sunrise Medical, Inc.(1) 18,563
6,200 Sunrise Technologies International(1) 73,238
3,800 Sunterra Corp.(1) 43,700
3,200 Supergen, Inc.(1) 94,000
1,900 Superior Consultant Holdings Corp.(1) 27,075
2,500 Superior Industries International, Inc. 67,031
4,700 Superior National Insurance Group, Inc.(1) 35,544
1,300 Superior Telecom, Inc. 20,069
4,725 Susquehanna Bancshares, Inc. 75,009
1,930 Swift Energy Corp.(1) 22,195
4,750 Swift Transportation Co., Inc.(1) 83,719
13,500 Sybase, Inc.(1) 229,500
2,800 Sykes Enterprises, Inc.(1) 122,850
2,200 Syncor International Corp.(1) 64,075
2,100 Syntel, Inc.(1) 33,994
2,900 Syntroleum Corp.(1) 23,563
4,500 Systemax, Inc.(1) 38,250
6,000 Systems & Computer Technology Corp.(1) 97,500
2,100 T-HQ, Inc.(1) 48,694
2,400 Talbots, Inc. 107,100
5,800 Talk.com, Inc.(1) 102,950
370 Talk.com-Rights --
400 Tanger Factory Outlet Center, Inc. 8,300
4,300 Taubman Centers, Inc. 46,225
2 TCF Financial Corp. 50
3,700 Techne Corp.(1) 203,731
1,500 Technitrol, Inc. 66,750
5,825 Technology Solutions Co.(1) 190,769
1,200 Tejon Ranch Co. 28,500
3,500 Tekelec, Inc.(1) 78,750
5,900 Tektronix, Inc. 229,363
5,500 Telebanc Financial Corp.(1) 143,000
2,400 Telescan, Inc.(1) 59,250
4,100 Teletech Holdings, Inc.(1) 138,183
2,300 Tennant Co. 75,325
2,000 Terayon Communication Systems(1) 125,625
4,600 Terex Corp.(1) 127,650
4,300 Terra Industries, Inc. 6,988
7,100 Tesoro Petroleum Corp.(1) 82,094
7,051 Tetra Tech, Inc.(1) 108,409
4,000 Texas Industries, Inc. 170,250
1,800 Texas Regional Bancshares, Inc. 52,200
6,200 The MONY Group, Inc. 180,963
4,900 Theragenics Corp.(1) 44,406
4,800 Thermedics, Inc.(1) 26,100
1,400 Thermo Bioanalytics Corp.(1) 25,725
Shares Description Value
------ ----------- -----
2,200 Thermo Cardiosystems, Inc.(1) $ 14,438
1,800 Thermo Ecotek Corp.(1) 9,563
1,300 Thermo Fibertek, Inc. (1) 9,263
2,900 Thermo Optek Corp. (1) 32,988
2,800 Thermoquest Corp.(1) 28,875
700 Thestreet.com, Inc.(1) 13,431
4,100 Thomas Industries, Inc. 83,794
1,700 Thor Industries, Inc. 51,744
2,800 Thornburg Mortgage Asset Corp. 23,100
2,000 Timberland Co.-- Class A(1) 105,750
9,800 Timken Co. 200,288
5,700 Titan Corp.(1) 268,613
4,700 Titan International, Inc. 30,550
2,200 Titanium Metals Corp. 9,900
2,600 TJ International, Inc. 109,200
1,600 TNP Enterprises, Inc. 66,000
4,900 Toll Brothers, Inc.(1) 91,263
8,300 Topps, Inc.(1) 86,113
1,400 Toro Co. 52,238
10,900 Total Renal Care Holdings(1) 72,894
6,000 Tower Automotive, Inc.(1) 92,625
2,100 Town and Country Trust 37,669
6,400 Track Data Corp.(1) 65,200
2,000 Tractor Supply Co.(1) 32,000
3,700 Trammell Crow Co.(1) 43,013
7,400 Trans World Airlines(1) 20,813
4,050 Trans World Entertainment Corp.(1) 42,525
4,200 Transactions Systems Architects,
Inc.-- Class A(1) 117,600
3,200 Transkaryotic Therapies, Inc.(1) 123,200
3,500 Transmontaigne Oil Co.(1) 24,500
3,500 Transwitch Corp.(1) 253,969
2,530 Tredegar Industries, Inc. 52,339
800 Trendwest Resorts, Inc.(1) 18,000
1,400 Trenwick Group, Inc. 23,713
4,400 Trex Medical Corp.(1) 12,375
1,700 Triad Guaranty, Inc.(1) 38,675
6,800 Triad Hospitals, Inc 102,850
4,050 Triangle Bancorp, Inc. 78,469
3,600 Triangle Pharmaceuticals, Inc.(1) 46,125
2,200 Triarc Cos., Inc.(1) 40,425
4,500 Trimble Navigation Limited(1) 97,313
7,300 Trinity Industries, Inc. 207,594
2,000 Triquint Semiconductor, Inc.(1) 222,500
1,500 Triumph Group, Inc.(1) 36,281
1,500 Tropical Sportswear International Corp.(1) 24,188
7,100 True North Communications, Inc. 317,281
4,200 Trust Company of New Jersey 96,075
6,860 Trustco Bank Corp. 90,895
2,300 TSI International Software, Ltd. 130,238
3,700 Tuboscope, Inc.(1) 58,738
2,100 Tuesday Morning Corp.(1) 38,719
7,700 Tupperware Corp. 130,419
2,100 Tut Systems, Inc.(1) 112,613
See Notes to Financial Statements.
28
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
1,400 Tweeter Home Entertainment
Group, Inc.(1) $ 49,700
3,100 Twinlab Corp.(1) 24,606
3,400 Tyler Corp. 18,700
5,000 U.S. Franchise Systems, Inc.(1) 22,500
1,600 U.S. Home Corp.(1) 40,900
4,700 U.S. Office Products Co. 14,688
5,000 U.S. Plastic Lumber Co.(1) 38,438
1,700 U.S. Restaurant Properties, Inc. 24,331
3,300 U.S.B. Holding Co. 49,706
200 Ubid, Inc.(1) 5,300
7,800 UCAR International, Inc.(1) 138,938
7,400 UGI Corp. 151,238
4,800 UICI, Inc.(1) 50,700
4,500 Ultratech Stepper, Inc.(1) 72,563
2,289 UMB Financial Corp. 86,414
6,800 Unicapital Corp.(1) 25,075
7,200 Unifi, Inc. 88,650
1,500 Unifirst Corp. 18,938
5,400 Unisource Energy Corp. 60,413
9,800 United Asset Management Co. 181,913
4,400 United Auto Group, Inc.(1) 39,325
5,500 United Bankshares, Inc. 131,313
7,700 United Community Financial Corp. 76,519
13,300 United Dominion Realty Trust 131,338
1,000 United Fire Casualty Co. 22,625
1,800 United Illuminating Co. 92,475
1,950 United National Bancorp New Jersey 43,266
3,800 United Natural Foods, Inc.(1) 45,600
3,000 United Payors and United
Providers, Inc.(1) 49,688
3,500 United Retail Group, Inc.(1) 28,875
6,100 United Stationers, Inc.(1) 174,231
500 United Television, Inc. 69,938
3,500 United Water Resources, Inc. 119,656
6,100 Universal Corp. 139,156
8,500 Universal Foods Corp. 173,188
1,900 Universal Forest Products, Inc. 28,025
5,400 UNOVA, Inc.(1) 70,200
1,300 Urban Outfitters, Inc.(1) 37,863
1,300 Urban Shopping Centers, Inc. 35,263
1,600 URS Corp.(1) 34,700
4,500 US Bancorp, Inc. 52,875
1,300 US Lec Corp.-- Class A 41,925
7,820 US Oncology, Inc. 38,611
19,400 USEC, Inc. 135,800
4,700 USFreightways Corp. 225,013
1,800 Usinternetworking, Inc.(1) 125,775
7,861 UST Corp. 249,587
2,100 UTI Energy Corp. 48,431
2,900 Vail Resorts, Inc.(1) 52,019
4,600 Valence Technology, Inc.(1) 87,400
9,000 Valero Energy Corp. 178,875
2,900 Valley Media, Inc.(1) 20,300
2,300 Valmont Industries, Inc. 36,944
Shares Description Value
------ ----------- -----
1,500 Value City Department Stores, Inc.(1) $ 22,688
800 Value Line, Inc. 28,800
6,200 Valuevision International, Inc.--
Class A(1) 355,338
7,300 Varco International, Inc.(1) 74,369
5,600 Varian, Inc.(1) 126,000
3,900 Varian Medical Systems, Inc. 116,269
3,800 Varian Semiconductor Equipment
Associates, Inc.(1) 129,200
1,200 Veeco Instruments, Inc.(1) 56,175
1,700 Ventana Medical Systems, Inc.(1) 42,288
7,300 Ventas, Inc. 30,569
2,900 Veritas DGC, Inc.(1) 40,600
4,100 Verity, Inc.(1) 174,506
3,200 Vertex Pharmaceuticals, Inc.(1) 112,000
5,000 Verticalnet, Inc.(1) 820,000
2,600 Veterinary Centers of America, Inc.(1) 33,475
2,056 Viatel, Inc.(1) 110,253
2,100 Vical, Inc.(1) 62,869
3,700 Vicor Corp.(1) 149,850
5,900 Vintage Petroleum, Inc. 71,169
3,400 Visio Corp.(1) 161,500
3,100 Visual Networks(1) 245,675
800 Vital Signs, Inc.(1) 18,300
3,600 Vlasic Foods International(1) 20,475
1,050 Volt Information Sciences, Inc.(1) 25,069
2,250 W.R. Berkley Corp. 46,969
11,700 W.R. Grace & Co.(1) 162,338
2,700 Wabash National Corp. 40,500
1,700 Wackenhut Corp.-- Class A 25,394
3,100 Wackenhut Corrections Corp.(1) 36,231
3,100 Walden Residential Properties, Inc. 67,038
7,300 Wallace Computer Services, Inc. 121,363
5,500 Walter Industries, Inc. 59,469
10,400 Washington Federal, Inc. 205,400
8,500 Washington Gas Light Corp. 233,750
4,600 Washington Real Estate
Investment Trust 69,000
3,500 Waste Connections, Inc.(1) 50,531
800 Waste Industries Inc.(1) 9,050
2,150 Watsco, Inc. 24,859
2,100 Watts Industries, Inc.-- Class A 30,975
6,670 Wausau Paper Mills Co. 77,956
6,190 Wave Systems Corp.(1) 73,893
2,800 Wavo Corp.(1) 10,850
1,700 WD-40 Co. 37,613
1,900 Webb (Del E.) Corp. 47,381
7,200 Weblink Wireless, Inc.(1) 111,600
8,100 Webster Financial Corp. 190,856
1,000 WebTrends Corp.(1) 81,000
3,400 Weingarten Realty Investment 132,388
4,000 Wellman, Inc. 74,500
3,862 Werner Enterprises, Inc. 54,309
2,600 WesBanco, Inc. 67,600
7,300 Wesco International, Inc.(1) 64,788
See Notes to Financial Statements.
29
<PAGE>
Small Cap Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
3,500 Wesley Jessen VisionCare, Inc.(1) $ 132,563
1,970 West Coast Bancorp 26,595
1,000 West Marine, Inc.(1) 8,250
1,608 West Pharmaceutical Services, Inc. 49,748
2,400 West Teleservices Corp.(1) 58,650
1,300 Westcorp 18,850
4,000 Westell Technologies, Inc. 43,000
7,500 W Holding Co., Inc. 77,813
11,600 Western Digital Corp.(1) 48,575
2,000 Western Gas Resources, Inc. 26,375
3,700 Westfield America, Inc. 45,556
5,410 Westinghouse Air Brake Co. 96,028
5,950 Westwood One, Inc.(1) 452,200
2,600 Wet Seal, Inc.-- Class A(1) 31,850
1,700 WFS Financial, Inc.(1) 35,913
1,050 White Mountains Insurance
Group 126,525
3,000 Whitney Holdings Corp. 111,188
4,000 Whole Foods Market, Inc.(1) 185,500
4,700 Wicor, Inc. 137,181
2,600 Wild Oats Markets, Inc.(1) 57,688
4,700 Wind River Systems(1) 172,725
2,900 Windmere Corp. 49,300
10,200 Wisconsin Central Transportation(1) 137,063
2,900 WMS Industries, Inc.(1) 38,063
1,700 Wolverine Tube, Inc.(1) 24,013
5,300 Wolverine World Wide, Inc. 57,969
1,200 Woodward Governor Co. 33,000
5,800 World Access, Inc.(1) 111,650
1,700 Worldgate Communications, Inc.(1) 80,856
13,600 Worthington Industries, Inc. 225,250
3,400 WPS Resources Corp. 85,425
17,300 Wyndham International, Inc.(1) 50,819
1,925 Wynn's International, Inc. 27,191
2,200 Xceed, Inc.(1) 91,300
2,800 Xircom, Inc.(1) 210,000
2,500 Xtra Corp. 106,563
1,400 Yankee Energy System, Inc. 61,513
Shares
Principal
Amount Description Value
------ ----------- -----
3,200 Yellow Corp.(1) $ 53,800
2,000 Young Broadcasting Corp.-- Class A(1) 102,000
1,700 Zapata Corp. 7,863
4,200 Zebra Technologies Corp.-- Class A(1) 245,700
1,300 Zenith National Insurance Corp. 26,813
2,900 Ziff-Davis, Inc.-- ZD(1) 45,856
1,800 Ziff-Davis, Inc.-- ZDNet(1) 37,800
2,300 Zixit Corp.(1) 91,138
2,000 Zomax, Inc.(1) 90,500
------------
Total Common Stock
(Cost $121,568,336) $145,594,542
------------
Short Term Instruments - 2.8%
Mutual Fund - 2.6%
3,890,073 Institutional Cash Management
Fund 3,890,073
------------
U.S. Treasury Bills - 0.2%
$ 230,000 5.02%, 3/2/00(2) 228,081
100,000 5.18%, 3/2/00(2) 99,166
------------
327,247
------------
Total Short Term Instruments
(Cost $4,217,337) 4,217,320
------------
Total Investments
(Cost $125,785,673) 99.7% $149,811,862
Other Assets in
Excess of Liabilities 0.3 457,277
----- ------------
Net Assets 100.0% $150,269,139
===== ============
- ----------
(1) Non-income producing security.
(2) Held as collateral for futures contracts.
(3) Security is currently fair valued. At December 31, 1999, the total value of
fair valued securities of the Small Cap Index Portfolio was $0.00
representing 0% of total investments.
See Notes to Financial Statements.
30
<PAGE>
Small Cap Index Portfolio
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of
December 31, 1999
-----------------
<S><C>
Assets
Investments, at Value (Cost of $125,785,673) $149,811,862
Cash 251,641
Dividends Receivable(1) 173,412
Variation Margin Receivable 76,800
Receivable for Shares of Beneficial Interest Subscribed 2,780
Receivable for Securities Sold 9,992
-------------
Total Assets 150,326,487
-------------
Liabilities
Due to Bankers Trust 34,503
Accrued Expenses and Other 22,845
-------------
Total Liabilities 57,348
-------------
Net Assets $150,269,139
=============
Composition of Net Assets
Paid-in Capital $125,914,425
Net Unrealized Appreciation on Investments and Futures Contracts 24,354,714
-------------
Net Assets $150,269,139
=============
</TABLE>
- ----------
(1) Includes $20,563 from the Portfolio's investment in the Institutional Cash
Management Fund.
See Notes to Financial Statements.
31
<PAGE>
Small Cap Index Portfolio
Statement of Operations
<TABLE>
<CAPTION>
For the Year ended
December 31, 1999
------------------
<S><C>
Investment Income
Dividends (net of foreign withholding taxes of $121) $ 2,566,966
Interest 12,071
-----------
Total Investment Income 2,579,037
-----------
Expenses
Advisory Fees 241,326
Administration and Services Fees 82,294
Professional Fees 37,436
Trustees Fees 313
Miscellaneous 1,624
-----------
Total Expenses 362,993
Less: Fee Waivers or Expense Reimbursements (198,045)
-----------
Net Expenses 164,948
-----------
Net Investment Income 2,414,089
-----------
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
Net Realized Loss from Investment Transactions (4,678,933)
Net Realized Gain from Futures Transactions 261,756
Net Change in Unrealized Appreciation/Depreciation on
Investments and Futures Contracts 27,017,377
-----------
Net Realized and Unrealized Gain on Investments and Futures Contracts 22,600,200
-----------
Net Increase in Net Assets from Operations $25,014,289
===========
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Small Cap 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 $ 2,414,089 $ 1,468,191
Net Realized Gain (Loss) from Investment and
Futures Transactions (4,417,177) 7,604,735
Net Change in Unrealized Appreciation/Depreciation on Investments
and Futures Contracts 27,017,377 (13,590,280)
-------------- --------------
Net Increase (Decrease) in Net Assets from Operations 25,014,289 (4,517,354)
Capital Transactions
Proceeds from Capital Invested 206,378,886 159,794,939
Value of Capital Withdrawn (225,389,059) (80,420,161)
-------------- --------------
Net Increase (Decrease) in Net Assets from Capital Transactions (19,010,173) 79,374,778
-------------- --------------
Total Increase in Net Assets 6,004,116 74,857,424
Net Assets
Beginning of Year 144,265,023 69,407,599
-------------- --------------
End of Year $ 150,269,139 $ 144,265,023
============== ==============
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Small Cap Index Portfolio
Financial Highlights
Contained below are selected supplemental data and ratios to average net assets
for periods indicated for the Small Cap Index Portfolio.
<TABLE>
<CAPTION>
For the period
July 1, 1996(1)
For the years ended Dec. 31, to Dec. 31,
1999 1998 1997 1996
---- ---- ---- ----
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $150,269 $144,265 $69,408 $ 82,084
Ratios to Average Net Assets:
Net Investment Income 1.47% 1.45% 1.51% 1.70%(2)
Expenses After Waivers 0.10% 0.10% 0.10% 0.20%(2)
Expenses Before Waivers 0.22% 0.25% 0.23% 0.32%(2)
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.12% 0.15% 0.13% 0.12%(2)
Portfolio Turnover Rate 171% 86% 88% 16%
</TABLE>
- ----------
1 The Fund's inception date.
2 Annualized.
See Notes to Financial Statements.
34
<PAGE>
Small Cap Index Portfolio
Notes to Financial Statements
Note 1--Organization and Significant
Accounting Policies.
A. Organization
The Small Cap 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
July 1, 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 Stock
Exchanges or other domestic or foreign exchanges are valued based on the closing
price of the security traded on that exchange prior to the time when the
Portfolio assets are valued each day. 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. 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, dependent on the daily fluctuations in
the value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in financial futures contracts is designed to closely replicate the
benchmark index used by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
E. Federal Income Taxes
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements. 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 0.05% 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 0.15% of the Portfolio's 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 .10% of the average daily net assets of the Portfolio.
35
<PAGE>
Small Cap Index Portfolio
Notes to Financial Statements
The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust. 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
$214,778 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
$252,545,918 and $270,638,541, respectively. For federal income tax purposes,
the tax basis of investments held at December 31, 1999 was $132,397,687. The
aggregate gross unrealized appreciation was $31,465,142, and the aggregate gross
unrealized depreciation was $14,050,967 for all investments as of December 31,
1999.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at December 31, 1999
is as follows:
Market Unrealized
Type of Future Expiration Contracts Position Value Appreciation
- --------------- ---------- --------- -------- ------- ------------
Russell 2000
Index Futures March 2000 16 Long $4,079,600 $328,525
At December 31, 1999, the Portfolio segregated securities with a value of
approximately $437,297 to cover margin requirements on open future's contracts.
36
<PAGE>
Small Cap Index Portfolio
Report of Independent Accountants
To the Trustees and Holders of Beneficial Interest of
Small Cap 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 the Small Cap 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
37
<PAGE>
Small Cap 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 4,948,368 --
Mr. S. Leland Dill 4,948,368 --
Mr. Richard T. Hale 4,948,368 --
Mr. Bruce E. Langton 4,948,368 --
Mr. Philip Saunders, Jr. 4,948,368 --
Mr. Harry Van Benschoten 4,948,368 --
Dr. Martin J. Gruber 4,948,368 --
Dr. Richard J. Herring 4,948,368 --
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
4,948,368 -- --
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
4,948,368 -- --
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
4,948,368 -- --
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
4,948,368 -- --
38
<PAGE>
This page intentionally left blank.
<PAGE>
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.
Small Cap Index Fund CUSIP #05576L882
BT Advisor Funds 513ANN (12/99)
Distributed by:
ICC Distributors, Inc.
