SCUDDER
INVESTMENTS(SM)
[LOGO]
- --------------------------------------------------------------------------------
EQUITY/DOMESTIC
- --------------------------------------------------------------------------------
Scudder S&P 500 Index Fund
Fund #301
Annual Report
December 31, 1999
For investors seeking investment results that, before expenses, correspond to
the total return of common stocks publicly traded in the United States, as
represented by the Standard & Poor's 500 Composite Stock Price Index.
A no-load fund with no commissions to buy, sell, or exchange shares.
<PAGE>
Contents
- --------------------------------------------------------------------------------
4 Letter from the Fund's President
6 Performance Update
8 Portfolio Summary
10 Portfolio Management Discussion
Scudder S&P 500 Index Fund
12 Financial Statements
15 Financial Highlights
16 Notes to Financial Statements
19 Report of Independent Accountants
20 Tax Information
21 Officers and Trustees
Equity 500 Index Portfolio
22 Statement of Net Assets
36 Financial Statements
38 Financial Highlights
39 Notes to Financial Statements
42 Report of Independent Accountants
43 Proxy Results
44 Investment Products and Services
46 Scudder Solutions
2 | Scudder S&P 500 Index Fund
<PAGE>
Scudder S&P 500 Index Fund
- --------------------------------------------------------------------------------
ticker symbol SCPIX fund number 301
- --------------------------------------------------------------------------------
Date of : o For its most recent fiscal year ended December 31,
Inception 1999, Scudder S&P 500 Index Fund posted a 20.37% total
8/29/97 return, in keeping with the 21.04% return of the S&P
500 Index over the same period.* of
Total Net
Assets as o Equity markets experienced significant volatility as
12/31/99: market participants wrestled with strong economic data,
$328 million lofty stock price valuations, and the Federal Reserve's
change to a tightening stance.
o Our near-term outlook for S&P 500 stocks is guarded,
given pressure on corporate profits due to labor
shortages and the expectation of further tightening by
the Fed.
* "Standard & Poor's," "S&P," "S&P 500," "Standard & Poor's" and "500" are
trademarks of The McGraw-Hill Companies, Inc. and have been licensed for
use by Scudder Kemper Investments. The Product is not sponsored, endorsed,
sold or promoted by Standard & Poor's and Standard & Poor's makes no
representation regarding the advisability of investing in the Product.
Scudder S&P 500 Index Fund | 3
<PAGE>
Letter from the Fund's President
- --------------------------------------------------------------------------------
Dear Shareholders,
We are pleased to present the annual report for Scudder S&P 500 Index Fund for
its most recent fiscal year ended December 31, 1999.
During a period of stunning expansion for the U.S. economy, its ability to grow
quickly and generate strong profits without significant inflation has driven the
stock market to unprecedented heights. The S&P 500's fifth consecutive year of
returns of 20% or more in 1999 raises the obvious question -- how long can this
trend continue? There is some cause for concern: Economic fundamentals seem less
supportive of equities over the coming year as pressure on profit margins from
higher labor costs and increases in interest rates is expected to grow. On the
positive side, productivity growth remains robust. If the U.S. economy can reach
a "soft landing" in 2000 with a gradual slowdown and only a modest pickup in
inflation, equity markets could avoid a sharp correction. Much depends on the
Federal Reserve's course of action over the coming months.
For the 12-month period ended December 31, 1999, Scudder S&P 500 Index Fund
posted a 20.37% total return. For additional details concerning the Index, the
equity markets, and your manager's outlook for the coming months, please turn to
the portfolio management discussion that begins on page 10.
It should be noted that Daniel Pierce retired in June of this year as President
of Scudder S&P 500 Index Fund, at which time I assumed that role and its
responsibilities. We are fortunate that
4 | Scudder S&P 500 Index Fund
<PAGE>
Dan's longstanding affiliation with Scudder is ongoing, and that we will
continue to benefit from his counsel going forward. I am pleased to join the
fund's team in this capacity, and look forward to serving your interests.
If you have any questions regarding Scudder S&P 500 Index Fund or any other
Scudder fund, please call Investor Relations at 1-800-SCUDDER (1-800-728-3337),
or visit Scudder's Web site at www.scudder.com.
Sincerely,
/s/Lynn S. Birdsong
Lynn S. Birdsong
President,
Scudder S&P 500 Index Fund
Scudder S&P 500 Index Fund | 5
<PAGE>
Performance Update
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment
- --------------------------------------------------------------------------------
THE ORIGINAL DOCUMENT CONTAINS A BAR CHART HERE
Scudder S&P 500 Index Fund S&P 500 Index*
8/97** 10000 8/97** 10000
12/97 10834 12/97 10851
6/98 12715 6/98 12773
12/98 13899 12/98 13953
6/99 15563 6/99 15681
12/99 16730 12/99 16889
Yearly periods ended December 31
- --------------------------------------------------------------------------------
Fund Index Comparison
- --------------------------------------------------------------------------------
Total Return
Growth of Average
Period ended 12/31/1999 $10,000 Cumulative Annual
- --------------------------------------------------------------------------------
Scudder S&P 500 Index Fund
- --------------------------------------------------------------------------------
1 year $ 12,037 20.37% 20.37%
- --------------------------------------------------------------------------------
Life of Fund** $ 16,730 67.30% 24.60%
- --------------------------------------------------------------------------------
S&P 500 Index*
- --------------------------------------------------------------------------------
1 year $ 12,104 21.04% 21.04%
- --------------------------------------------------------------------------------
Life of Fund** $ 16,889 68.89% 25.17%
- --------------------------------------------------------------------------------
* The Standard & Poor's 500 Index is a capitalization-weighted index of 500
stocks. The index is designed to measure performance of the broad domestic
economy through changes in the aggregate market value of 500 stocks
representing all major industries. Index returns assume reinvestment of
dividends and, unlike Fund returns, do not reflect any fees or expenses.
** The Fund commenced operations on August 29, 1997. Index comparisons begin
August 31, 1997.
6 | Scudder S&P 500 Index Fund
<PAGE>
- --------------------------------------------------------------------------------
Returns and Per Share Information
- --------------------------------------------------------------------------------
THE ORIGINAL DOCUMENT CONTAINS A BAR CHART HERE
Yearly periods ended December 31
Scudder S&P 500
Index Fund S&P 500 Index*
1997** 8.34 8.51
1998 28.29 28.58
1999 20.37 21.04
1997** 1998 1999
- --------------------------------------------------------------------------------
Fund Total
Return (%) 8.34 28.29 20.37
- --------------------------------------------------------------------------------
Index Total
Return (%) 8.51 28.58 21.04
- --------------------------------------------------------------------------------
Net Asset
Value ($) 12.94 16.44 19.60
- --------------------------------------------------------------------------------
Income
Dividends ($) .06 .15 .17
- --------------------------------------------------------------------------------
Capital Gains
Distributions($) -- -- --
- --------------------------------------------------------------------------------
* The Standard & Poor's 500 Index is a capitalization-weighted index of 500
stocks. The index is designed to measure performance of the broad domestic
economy through changes in the aggregate market value of 500 stocks
representing all major industries. Index returns assume reinvestment of
dividends and, unlike Fund returns, do not reflect any fees or expenses.
** The Fund commenced operations on August 29, 1997. Index comparisons begin
August 31, 1997.
Performance is historical, assumes reinvestment of all dividends and
capital gains and is not indicative of future results. Total return and
principal value will fluctuate, so an investor's shares, when redeemed, may
be worth more or less than when purchased. If the Adviser had not
maintained the Fund's expenses, the total returns would have been lower for
the one year and life of Fund period.
Scudder S&P 500 Index Fund | 7
<PAGE>
Portfolio Summary
- --------------------------------------------------------------------------------
December 31, 1999
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
Asset Allocation
- --------------------------------------------------------------------------------
A GRAPH IN THE FORM OF A PIE CHART APPEARS HERE, ILLUSTRATING THE EXACT DATA
POINTS IN THE TABLE BELOW.
Common Stocks 97%
Cash Equivalents 3%
- ------------------------------------
100%
- ------------------------------------
The Portfolio is essentially fully invested in common stocks that make up the
S&P 500 Index.
- --------------------------------------------------------------------------------
Sector Diversification
- --------------------------------------------------------------------------------
A GRAPH IN THE FORM OF A PIE CHART APPEARS HERE, ILLUSTRATING THE EXACT DATA
POINTS IN THE TABLE BELOW.
Technology 28%
Financial 16%
Health Care 9%
Consumer Cyclicals 8%
Consumer Noncyclicals 7%
Telecommunications 7%
Consumer Services 5%
Energy 5%
Commercial Services 5%
Basic Materials 4%
Industrials 3%
Utilities 2%
Transportation 1%
- --------------------------------
100%
- --------------------------------
Technology overtook financials as the largest weighting in the S&P 500 Index
over the period.
8 | Scudder S&P 500 Index Fund
<PAGE>
- --------------------------------------------------------------------------------
Ten Largest Equity Holdings
- --------------------------------------------------------------------------------
(25% of Portfolio)
1. Microsoft Corp.
Developer and manufacturer of software
2. General Electric Co.
Producer of electrical equipment
3. Cisco Systems, Inc.
Supplier of data networking products
4. Wal-Mart Stores, Inc.
Operator of discount stores
5. Exxon Mobil Corp.
Exploration and production of petroleum
6. Intel Corp.
Manufacturer and distributor of microprocessors
7. Lucent Technologies, Inc.
Designer and manufacturer of communication systems
software and products
8. International Business Machines Corp.
Manufacturer and servicer of business and computing
machines
9. Citigroup
Diversified financial services company
10. America Online, Inc.
Provider of online computer services
The Portfolio's top holdings reflect the mainly large-capitalization composition
of the S&P 500 Index.
For more complete details about the Fund's investment portfolio, see page 22. A
quarterly Fund Summary and Portfolio Holdings are available upon request.
Scudder S&P 500 Index Fund | 9
<PAGE>
Portfolio Management Discussion
- --------------------------------------------------------------------------------
December 31, 1999
Dear Shareholders,
Scudder S&P 500 Index Fund seeks to match the performance, before expenses, of
common stocks publicly traded in the U.S., as represented by the S&P 500 Index.
For its most recent annual period ended December 31, 1999, Scudder S&P 500 Index
Fund provided a 20.37% total return, closely tracking the 21.04% return of the
S&P 500 Index over the same period.
Market Review
Broad market equity index returns closed the year on a positive note across
small, mid-sized and large capitalization asset classes. The Russell 2000 Index
outperformed the S&P 500 Index on an annual basis for the first time in five
years. Top-performing stocks in the S&P 500 Index during 1999 included Qualcomm
(0.92% of market value), Sprint (PCS) (0.36%) and Nextel Communications -- Class
A (0.29%). Negative performers included McKesson HBOC (0.05% of market value),
Rite Aid (0.03%), and Service Corporation International (0.02%). Large growth
stocks outperformed large value stocks over the period. In addition, there were
41 additions and deletions to the Index for the 12-month period. Changes to the
Index at year end included Yahoo!, which replaced Laidlaw; Teradyne replaced
Case Corporation, which was acquired by New Holland NV; and T. Rowe Price
Associates replaced Data General, which was acquired by EMC Corporation. Strong
performing sectors for the year included technology (up 75.13%), capital goods
(up 28.91%) and basic materials (up 26.37%). Weaker performing sectors included
health care (down 8.24%), utilities (down 8.88%) and transportation (down
9.68%).
In 1999, the S&P 500 marked its fifth consecutive year of returns exceeding 20%.
Growth stocks continued their predominance, posting returns more than double
those of value stocks. The breadth of the S&P 500 Index's advance continued to
narrow during the period, as seven stocks contributed 50% of the Index's return
for 1999 and the
10 | Scudder S&P 500 Index Fund
<PAGE>
top 100 stocks made up 90% of its return. Equity markets experienced significant
volatility as market participants wrestled with strong economic data, lofty
stock price valuations, and the Federal Reserve's change to a tightening mode
during the second half of the year. Lastly, the pace of mergers and acquisitions
continued at an all-time high, resulting in 41 changes to the S&P 500 Index
during 1999.
Manager Outlook
We expect GDP growth to slow gradually over the next 12 months and beyond,
accompanied by a mild pickup in inflation, somewhat slower growth in corporate
profits, and a continuation of recent increases in interest rates. We also
anticipate some downward pressure on the U.S. dollar (mainly versus the Euro) as
growth and investment opportunities improve abroad (especially in Euroland),
making foreigners somewhat less willing to finance the United States' current
account deficit. In this context, we think that U.S. equity markets are likely
to be less ebullient than in recent years, though we do not anticipate a sharp
correction. That's largely because the macroeconomic backdrop we envision for
the U.S., though clearly not as spectacular as the boom we've experienced over
the past few years, is still upbeat by historical standards.
As managers of an index fund, designed to replicate the broad diversification
and returns of the S&P 500 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 to monitor economic
conditions as well as how they affect the financial markets, as we seek to
closely track the performance of the stock market.
Sincerely,
/s/J.A. Creighton
James Creighton
Portfolio Manager
Scudder S&P 500 Index Fund | 11
<PAGE>
Financial Statements
- --------------------------------------------------------------------------------
Scudder S&P 500 Index Fund
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities as of December 31, 1999
- --------------------------------------------------------------------------------
Assets
- --------------------------------------------------------------------------------
Investment in Equity 500 Index Portfolio, at value ......... $ 329,212,590
Receivable for Fund shares sold ............................ 450,043
Deferred organization expenses ............................. 15,245
Other assets ............................................... 700
-------------
Total assets ............................................... 329,678,578
Liabilities
- --------------------------------------------------------------------------------
Payable for Fund shares redeemed ........................... 810,392
Other accrued expenses and payables ........................ 500,090
-------------
Total liabilities .......................................... 1,310,482
- --------------------------------------------------------------------------------
Net assets, at value $ 328,368,096
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
Net assets consist of:
Undistributed net investment income ........................ 66,118
Unrealized appreciation on:
Investments and futures transactions ..................... 60,517,574
Accumulated net realized loss from:
Investments and future transactions ........................ (4,874,168)
Paid-in capital ............................................ 272,658,572
- --------------------------------------------------------------------------------
Net assets, at value $ 328,368,096
- --------------------------------------------------------------------------------
Net Asset Value
- --------------------------------------------------------------------------------
Net Asset Value, offering and redemption price per share
($328,368,096 / 16,751,366 outstanding shares of beneficial
interest, $.01 par value, unlimited ---------------
number of shares authorized) ............................. $ 19.60
---------------
The accompanying notes are an integral part of the financial statements.
12 | Scudder S&P 500 Index Fund
<PAGE>
Scudder S&P 500 Index Fund
- --------------------------------------------------------------------------------
Statement of Operations year ended December 31, 1999
- --------------------------------------------------------------------------------
Investment Income
- --------------------------------------------------------------------------------
Income allocated from Equity 500 Index Portfolio, net ........... $ 3,413,030
-----------
Expenses:
Administration fee .............................................. 251,451
Services to shareholders ........................................ 901,547
Custodian and accounting fees ................................... 32,242
Auditing ........................................................ 16,094
Trustees' fees and expenses ..................................... 29,408
Registration fees ............................................... 66,962
Reports to shareholders ......................................... 63,119
Legal ........................................................... 74,296
Amortization of organization expense ............................ 5,654
Other ........................................................... 3,635
-----------
Total expenses before expense reductions ........................ 1,444,408
Expense reductions .............................................. (657,347)
-----------
Total expenses after expense reductions ......................... 787,061
- --------------------------------------------------------------------------------
Net investment income 2,625,969
- --------------------------------------------------------------------------------
Realized and unrealized gain (loss) on investment transactions
- --------------------------------------------------------------------------------
Net realized gain (loss) from:
Investments ..................................................... (1,312,666)
Futures contracts ............................................... 631,697
-----------
(680,969)
-----------
Net unrealized appreciation (depreciation) during the period on:
Investments and future transactions ............................ 45,696,637
- --------------------------------------------------------------------------------
Net gain (loss) on investment transactions 45,015,668
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from operations $ 47,641,637
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
Scudder S&P 500 Index Fund | 13
<PAGE>
Scudder S&P 500 Index Fund
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Years Ended December 31,
Increase (Decrease) in Net Assets 1999 1998
- --------------------------------------------------------------------------------
Operations:
Net investment income (loss) ................... $ 2,625,969 $ 657,974
Net realized gain (loss) on investment
transactions ................................. (680,969) 541,865
Net unrealized appreciation (depreciation) on
investment transactions during the period .... 45,696,637 14,556,069
------------- -------------
Net increase (decrease) in net assets resulting
from operations ............................. 47,641,637 15,755,908
------------- -------------
Distributions to shareholders from:
Net investment income .......................... (2,581,948) (631,197)
------------- -------------
Fund share transactions:
Proceeds from shares sold ...................... 274,881,345 139,576,614
Reinvestment of distributions .................. 2,515,698 610,116
Cost of shares redeemed ........................ (122,369,588) (43,942,765)
------------- -------------
Net increase (decrease) in net assets from Fund
share transactions ........................... 155,027,455 96,243,965
------------- -------------
Increase (decrease) in net assets .............. 200,087,144 111,368,676
Net assets at beginning of period .............. 128,280,952 16,912,276
Net assets at end of period (including
undistributed net investment income of $66,118 ------------- -------------
and $28,517, respectively) ................... $ 328,368,096 $ 128,280,952
------------- -------------
Other Information
- --------------------------------------------------------------------------------
Shares outstanding at beginning of period ...... 7,804,119 1,307,405
------------- -------------
Shares sold .................................... 15,703,484 9,484,616
Shares issued to shareholders in reinvestment of
distributions ................................ 140,202 40,297
Shares redeemed ................................ (6,896,439) (3,028,199)
------------- -------------
Net increase (decrease) in Fund shares ......... 8,947,247 6,496,714
------------- -------------
Shares outstanding at end of period ............ 16,751,366 7,804,119
------------- -------------
The accompanying notes are an integral part of the financial statements.
14 | Scudder S&P 500 Index Fund
<PAGE>
Financial Highlights
- --------------------------------------------------------------------------------
Scudder S&P 500 Index Fund
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
- --------------------------------------------------------------------------------
Years Ended December 31, 1999 1998 1997(b)
- --------------------------------------------------------------------------------
Net asset value, beginning of period $16.44 $12.94 $12.00
---------------------------
- --------------------------------------------------------------------------------
Income (loss) from investment operations:
- --------------------------------------------------------------------------------
Net investment income (loss) (a) .19 .17 .05
- --------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investment transactions 3.14 3.48 .95
--------------------------
- --------------------------------------------------------------------------------
Total from investment operations 3.33 3.65 1.00
- --------------------------------------------------------------------------------
Less distributions from:
- --------------------------------------------------------------------------------
Net investment income (.17) (.15) (.06)
- --------------------------------------------------------------------------------
Net asset value, end of period $19.60 $16.44 $12.94
--------------------------
- --------------------------------------------------------------------------------
Total Return (%) (c) 20.37 28.29 8.34**
- --------------------------------------------------------------------------------
Ratios to Average Net Assets and Supplemental Data
- --------------------------------------------------------------------------------
Net assets, end of period ($ millions) 328 128 17
- --------------------------------------------------------------------------------
Ratio of expenses before expense reductions (%) (c) (d) .58 1.01(e) 4.42*
- --------------------------------------------------------------------------------
Ratio of expenses after expense reductions (%) (c) (d) .40 .40 .40*
- --------------------------------------------------------------------------------
Ratio of net investment income (loss) (%) 1.05 1.18 1.35*
- --------------------------------------------------------------------------------
(a) Based on monthly average shares outstanding during the period.
(b) For the period August 29, 1997 (commencement of operations) to December 31,
1997.
(c) Total return would have been lower had certain expenses not been reduced.
(d) Includes expenses of the Equity 500 Index Portfolio.
(e) Effective May 6, 1998, Bankers Trust contractually agreed to receive fees
from the portfolio only to the extent of the lesser of 0.005% or the amount
that brings the total annual operating expenses as a percentage of the
portfolio's average daily net assets up to 0.08%.
* Annualized
** Not annualized
Scudder S&P 500 Index Fund | 15
<PAGE>
Notes to Financial Statements
- --------------------------------------------------------------------------------
December 31, 1999
Scudder S&P 500 Index Fund
A. Significant Accounting Policies
Scudder S&P 500 Index Fund (the "Fund") is a diversified series of the
Investment Trust which is registered under the Investment Company Act of 1940,
as amended (the "1940 Act"), as an open-end management investment company
organized as a Massachusetts business trust. The Fund seeks to achieve its
investment objective by investing substantially all of its assets in the Equity
500 Index Portfolio (the "Portfolio"), an open-end management investment company
advised by Bankers Trust Company ("Bankers Trust") which has the same investment
objective as the Fund. At December 31, 1999, the Fund's investment in the
Portfolio was approximately 4.0% of the Portfolio's total assets.
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management estimates.
The policies described below are followed consistently by the Fund in the
preparation of its financial statements. The financial statements of the
Portfolio, including the Schedule of Investments, are contained elsewhere in
this report and should be read in conjunction with the Fund's financial
statements.
Security Valuation. The Fund records its investments in the Portfolio at value,
which reflects its proportionate interest in the net assets of the Portfolio.
Valuation of the securities held by the Portfolio is discussed in the notes to
the Portfolio's financial statements included elsewhere in the report.
Federal Income Taxes. The Fund's policy is to comply with the requirements of
the Internal Revenue Code, as amended, which are applicable to regulated
investment companies and to distribute all of its taxable income to its
shareholders. Accordingly, the Fund paid no federal income taxes and no federal
income tax provision was required.
At December 31, 1999, the Fund had a net tax basis capital loss carryforward of
approximately $4,700,000, which may be applied against any realized net taxable
capital gains of each succeeding year until fully utilized or until December 31,
2007, the expiration date.
In addition, from November 1, 1999 through December 31, 1999 the Fund incurred
approximately $33,000 of net realized capital losses. As permitted by tax
regulations, the Fund intends to elect to defer these losses and treat them as
arising in the fiscal year ended December 31, 2000.
16 | Scudder S&P 500 Index Fund
<PAGE>
Distribution of Income and Gains. Distributions of net investment income, if
any, are made quarterly. Net realized gains from investment transactions, in
excess of available capital loss carryforwards, would be taxable to the Fund if
not distributed, and, therefore, will be distributed to shareholders at least
annually.
The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles. As a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting the net asset value of the
Fund.
Investment Transactions and Investment Income. The Fund records daily its pro
rata share of the Portfolio's income, expenses and realized and unrealized gains
and losses. In addition, the Fund accrues its own expenses.
Organization Costs. Costs incurred by the Fund in connection with its
organization have been deferred and are being amortized on a straight-line basis
over a five-year period.
B. Related Parties
Under the Management Agreement (the "Agreement") with Scudder Kemper
Investments, Inc. ("Scudder Kemper" or the "Manager"), the Manager monitors the
Fund's investments in the Portfolio. Scudder Kemper currently receives no fee
for providing these monitoring services. In the event the Board of Trustees
determines it is in the best interest of the Fund's shareholders to withdraw its
investment in the Portfolio, Scudder Kemper would become responsible for
directly managing the assets of the Fund. In such event, the Fund would pay the
Manager an annual fee of 0.15% of the Fund's average daily net assets, accrued
daily and paid monthly.
The Fund also has an Administrative Services Agreement with the Manager, under
which the Manager provides shareholder and administrative services to the Fund.
Scudder Kemper receives a fee of 0.10% of the Fund's average daily net assets,
accrued daily and paid monthly. The Manager has contractually agreed to maintain
expenses of the Fund through April 30, 2000 to the extent necessary to limit the
expenses of the Fund to 0.40% of its annual average daily net assets (including
the Fund's pro rata share of the expenses of the
Scudder S&P 500 Index Fund | 17
<PAGE>
Portfolio). Under the terms of a Third Party Feeder Agreement between the Fund,
the Manager and Bankers Trust, Bankers Trust has contractually agreed through
April 30, 2000 to waive expenses of the Portfolio to the extent necessary to
limit the expenses of the Portfolio to 0.08% of its annual average net assets.
Scudder Service Corporation ("SSC"), a subsidiary of the Manager, is the
transfer, dividend paying and shareholder service agent for the Fund. For the
year ended December 31, 1999, SSC did not impose a portion of its fee, which
amounted to $371,277. The amount imposed aggregated $403,682, of which $136,097
is unpaid at December 31, 1999.
Scudder Trust Company ("STC"), a subsidiary of the Manager, provides
recordkeeping and other services in connection with certain retirement and
employee benefits plans invested in the Fund. For the year ended December 31,
1999, STC did not impose a portion of its fee, which amounted to $47,859 The
amount imposed aggregated $12,302, of which $7,676 is unpaid at December 31,
1999.
The Fund pays each Trustee not affiliated with the Manager an annual retainer.
For the year ended December 31, 1999, Trustees' fees aggregated $29,408.
C. Line of Credit
The Fund and several Scudder Funds (the "Participants") share in a $1 billion
revolving credit facility for temporary or emergency purposes, including the
meeting of redemption requests that otherwise might require the untimely
disposition of securities. The Participants are charged an annual commitment fee
which is allocated pro rata among each of the Participants. Interest is
calculated based on the market rates at the time of the borrowing. The Fund may
borrow up to a maximum of 33 percent of its net assets under the agreement.
18 | Scudder S&P 500 Index Fund
<PAGE>
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees of Investment Trust and the Shareholders of Scudder S&P 500
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
Scudder S&P 500 Index Fund (one of the funds comprising the Investment Trust,
hereafter referred to as the "Fund") at December 31, 1999, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods indicated therein, 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
Scudder S&P 500 Index Fund | 19
<PAGE>
Tax Information (Unaudited)
- --------------------------------------------------------------------------------
December 31, 1999
For corporate shareholders, 100% of the income dividends paid during the Fund's
fiscal year ended December 31, 1999 qualified for the dividends received
deduction.
Please consult a tax adviser if you have any questions about federal and state
income tax laws, or on how to prepare your tax returns. If you have specific
questions about your account, please call 1-800-SCUDDER.
20 | Scudder S&P 500 Index Fund
<PAGE>
Officers and Trustees
Lynn S. Birdsong* Bruce F. Beaty*
o President and Trustee o Vice President
Henry P. Becton, Jr. Jennifer P. Carter*
o Trustee; President and General o Vice President
Manager, WGBH Educational
Foundation James M. Eysenbach*
o Vice President
Dawn-Marie Driscoll
o Trustee; President, Driscoll William F. Gadsden*
Associates; Executive Fellow, o Vice President
Center for Business Ethics,
Bentley College Valerie F. Malter*
o Vice President
Peter B. Freeman
o Trustee, Corporate Director Ann M. McCreary*
o Vice President
George M. Lovejoy, Jr.
o Trustee; President and Director, Kathleen T. Millard*
Fifty Associates o Vice President
Wesley W. Marple, Jr. Robert D. Tymoczko*
o Trustee; Professor of Business o Vice President
Administration, Northeastern
University John Millette*
o Vice President and Secretary
Kathryn L. Quirk*
o Trustee, Vice President and John R. Hebble*
Assistant Secretary o Treasurer
Jean C. Tempel Caroline Pearson*
o Trustee; Venture Partner, o Assistant Secretary
Internet Capital Group
*Scudder Kemper Investments, Inc.
Scudder S&P 500 Index Fund | 21
<PAGE>
Statement of Net Assets as of December 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount ($) Value ($)
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
Short-Term Instruments 2.5%
- --------------------------------------------------------------------------------
Mutual Fund 2.3%
BT Institutional Cash Management Fund .................188,890,907 188,890,907
-------------
U.S. Treasury Bills 0.2%
5.02%, 3/2/2000 (a) ................................... 12,020,000 11,919,729
-------------
- --------------------------------------------------------------------------------
Total Short-Term Instruments (Cost $200,811,727) 200,810,636
- --------------------------------------------------------------------------------
Shares
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Common Stocks 97.4%
- --------------------------------------------------------------------------------
3Com Corp.* ........................................... 223,300 10,495,100
Abbott Laboratories ................................... 994,844 36,125,273
Adaptec, Inc.* ........................................ 66,100 3,296,737
ADC Telecommunications, Inc.* ......................... 85,700 6,218,606
Adobe Systems, Inc. ................................... 76,200 5,124,450
Adolph Coors Co.-- Class B ............................ 22,868 1,200,570
Advanced Micro Devices, Inc.* ......................... 113,241 3,276,911
AES Corp.* ............................................ 134,700 10,068,825
Aetna, Inc. ........................................... 90,059 5,026,418
Aflac, Inc. ........................................... 166,300 7,847,281
Air Products and Chemicals, Inc........................ 144,608 4,853,406
Alberto-Culver Co.-- Class B .......................... 17,998 464,573
Albertson's, Inc. ..................................... 286,623 9,243,592
Alcan Aluminium Ltd. .................................. 136,636 5,627,695
Alcoa, Inc. ........................................... 237,100 19,679,300
Allegheny Technologies ................................ 63,297 1,420,226
Allergan, Inc. ........................................ 88,402 4,397,999
Allied Waste Industries, Inc.* ........................ 110,600 974,662
Allstate Corp. ........................................ 555,598 13,334,352
Alltel Corp. .......................................... 203,100 16,793,831
ALZA Corp.* ........................................... 62,634 2,168,702
Amerada Hess Corp. .................................... 61,093 3,467,028
The accompanying notes are an integral part of the financial statements.
22 | Equity 500 Index Portfolio
<PAGE>
Shares Value ($)
- ------------------------------------------------------------------------
Ameren Corp. ........................... 82,720 2,709,080
America Online, Inc.* .................. 1,450,000 109,384,375
American Electric Power Co. ............ 129,910 4,173,359
American Express Co. ................... 295,616 49,146,160
American General Corp. ................. 158,537 12,028,995
American Greetings Corp.-- Class A ..... 56,014 1,323,331
American Home Products Corp. ........... 839,092 33,091,691
American International Group, Inc. ..... 994,881 107,571,508
Amgen, Inc.* ........................... 661,560 39,734,947
AMR Corp.* ............................. 97,004 6,499,268
Amsouth Bancorporation ................. 228,550 4,413,872
Anadarko Petroleum Corp. ............... 92,300 3,149,737
Analog Devices, Inc.* .................. 119,600 11,122,800
Andrew Corp.* .......................... 50,276 952,102
Anheuser Busch Companies, Inc. ......... 302,180 21,417,007
AON Corp. .............................. 154,375 6,175,000
Apache Corp. ........................... 73,700 2,722,294
Apple Computer, Inc.* .................. 110,342 11,344,537
Applied Materials, Inc.* ............... 237,200 30,050,275
Archer-Daniels-Midland Co. ............. 393,659 4,797,719
Armstrong World Industries, Inc. ....... 26,183 873,858
Ashland, Inc. .......................... 32,287 1,063,453
Associates First Capital Corp.-- Class A 474,522 13,019,697
AT&T Corp. ............................. 2,053,306 104,205,279
Atlantic Richfield Co. ................. 204,550 17,693,575
Autodesk, Inc. ......................... 43,114 1,455,097
Automatic Data Processing, Inc. ........ 412,824 22,240,893
Autozone, Inc.* ........................ 94,500 3,053,531
Avery Dennison Corp. ................... 72,830 5,307,486
Avon Products, Inc. .................... 167,556 5,529,348
Baker Hughes, Inc. ..................... 237,813 5,008,936
Ball Corp. ............................. 18,354 722,689
Bank of America Corp. .................. 1,113,739 55,895,776
Bank of New York Co., Inc. ............. 481,200 19,248,000
Bank One Corp. ......................... 736,948 23,628,395
Barrick Gold Corp. ..................... 269,400 4,765,012
Bausch & Lomb, Inc. .................... 40,823 2,793,824
Baxter International, Inc. ............. 184,263 11,574,020
BB&T Corp. ............................. 173,000 4,735,875
Bear Stearns Companies, Inc. ........... 86,199 3,685,007
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 23
<PAGE>
Shares Value ($)
- ------------------------------------------------------------------
Becton, Dickinson & Co. .......... 161,464 4,319,162
Bed, Bath & Beyond, Inc.* ........ 104,500 3,631,375
Bell Atlantic Corp. .............. 997,780 61,425,831
BellSouth Corp. .................. 1,208,664 56,580,583
Bemis Co., Inc. .................. 24,831 865,981
Best Buy, Inc.* .................. 132,400 6,644,825
Bestfoods ........................ 182,660 9,601,066
Bethlehem Steel Corp.* ........... 87,049 729,035
Biomet, Inc. ..................... 70,550 2,822,000
Black & Decker Corp. ............. 56,271 2,940,160
BMC Software, Inc.* .............. 149,000 11,910,687
Boeing Co. ....................... 607,246 25,238,662
Boise Cascade Corp. .............. 37,503 1,518,871
Boston Scientific Corp.* ......... 245,100 5,361,562
Briggs & Stratton Corp. .......... 15,282 819,497
Bristol-Myers Squibb Co. ......... 1,294,056 83,062,219
Brown-Forman Corp.-- Class B ..... 29,319 1,678,513
Brunswick Corp. .................. 57,542 1,280,309
Burlington Northern Santa Fe Corp. 310,336 7,525,648
Burlington Resources, Inc. ....... 123,439 4,081,202
C.R. Bard, Inc. .................. 53,677 2,844,881
Cabletron Systems, Inc.* ......... 116,000 3,016,000
Campbell Soup Co. ................ 268,154 10,374,208
Capital One Financial Corp. ...... 123,300 5,941,519
Cardinal Health, Inc. ............ 166,197 7,956,681
Carnival Corp.-- Class A ......... 396,400 18,952,875
Carolina Power & Light Co. ....... 75,928 2,311,058
Caterpillar, Inc. ................ 230,064 10,827,387
CBS Corp.* ....................... 491,503 31,425,473
Cendant Corp.* ................... 475,610 12,633,391
Centex Corp. ..................... 37,280 920,350
Central & South West Corp. ....... 133,630 2,672,600
Centurytel, Inc. ................. 92,900 4,401,137
Ceridian Corp.* .................. 86,104 1,856,617
Champion International Corp. ..... 65,728 4,071,028
Charles Schwab Corp. ............. 519,500 19,935,812
Chase Manhattan Corp. ............ 541,264 42,049,447
Chevron Corp. .................... 412,666 35,747,192
Chubb Corp. ...................... 111,172 6,260,373
CIGNA Corp. ...................... 120,299 9,691,588
The accompanying notes are an integral part of the financial statements.
24 | Equity 500 Index Portfolio
<PAGE>
Shares Value ($)
- -----------------------------------------------------------------------
Cincinnati Financial Corp. ............ 94,500 2,947,219
Cinergy Corp. ......................... 106,322 2,565,018
Circuit City Stores, Inc. ............. 136,692 6,159,683
Cisco Systems, Inc.* .................. 2,105,950 225,599,894
Citigroup ............................. 2,166,624 120,383,046
Citrix Systems, Inc* .................. 57,700 7,097,100
Clear Channel Communications, Inc.* ... 202,500 18,073,125
Clorox Co. ............................ 152,008 7,657,403
CMS Energy ............................ 72,600 2,264,212
Coastal Corp. ......................... 146,132 5,178,553
Coca-Cola Co. ......................... 1,590,442 92,643,246
Coca-Cola Enterprises, Inc. ........... 258,400 5,200,300
Colgate-Palmolive Co. ................. 367,004 23,855,260
Columbia Energy Group ................. 65,002 4,111,376
Columbia/HCA Healthcare Corp. ......... 359,922 10,550,214
Comcast Corp.-- Special Class A ....... 486,424 24,442,806
Comerica, Inc. ........................ 98,660 4,606,189
Compaq Computer Corp. ................. 1,105,184 29,909,042
Computer Associates International, Inc. 349,875 24,469,383
Computer Sciences Corp.* .............. 100,372 9,497,700
Compuware Corp.* ...................... 233,000 8,679,250
Comverse Technology* .................. 45,800 6,629,550
ConAgra, Inc. ......................... 301,932 6,812,341
Conoco, Inc.-- Class B ................ 433,351 10,779,606
Conseco, Inc. ......................... 222,768 3,981,978
Consolidated Edison, Inc. ............. 146,436 5,052,042
Consolidated Natural Gas Co. .......... 60,005 3,896,575
Consolidated Stores Corp.* ............ 69,000 1,121,250
Constellation Energy Group, Inc. ...... 86,825 2,517,925
Cooper Industries, Inc. ............... 59,848 2,420,103
Cooper Tire & Rubber Co. .............. 52,751 820,937
Corning, Inc. ......................... 159,814 20,606,018
Costco Wholesale Corporation* ......... 143,499 13,094,284
Countrywide Credit Industries, Inc. ... 73,200 1,848,300
Crane Co. ............................. 42,349 841,686
Crown Cork & Seal Co., Inc. ........... 105,850 2,368,394
CSX Corp. ............................. 151,732 4,760,591
Cummins Engine Co., Inc. .............. 19,834 958,230
CVS Corp. ............................. 243,088 9,708,327
Dana Corp. ............................ 104,847 3,138,857
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 25
<PAGE>
Shares Value ($)
- -------------------------------------------------------------------------
Danaher Corp. ........................... 92,600 4,467,950
Darden Restaurants, Inc. ................ 86,319 1,564,532
Dayton Hudson Corp. ..................... 287,516 21,114,456
Deere & Co. ............................. 150,523 6,528,935
Dell Computer Corp.* .................... 1,632,700 83,267,700
Delphi Automotive Systems ............... 357,037 5,623,333
Delta Air Lines, Inc. ................... 88,798 4,423,250
Deluxe Corp. ............................ 50,391 1,382,603
Dillard Department Stores, Inc.-- Class A 63,597 1,283,864
Dollar General Corp. .................... 148,006 3,367,136
Dominion Resources, Inc. ................ 131,406 5,157,685
Dover Corp. ............................. 130,808 5,935,413
Dow Chemical Co. ........................ 140,876 18,824,555
Dow Jones & Co., Inc. ................... 47,072 3,200,896
DTE Energy Co. .......................... 102,576 3,218,322
Duke Power Co. .......................... 242,195 12,140,024
Dun & Bradstreet Corp. .................. 103,579 3,055,580
Du Pont (E.I.) de Nemours & Co. ......... 671,710 44,248,896
Eastern Enterprises ..................... 15,342 881,206
Eastman Chemical Co. .................... 61,381 2,927,106
Eastman Kodak Co. ....................... 204,126 13,523,347
Eaton Corp. ............................. 51,182 3,717,093
Ecolab, Inc. ............................ 72,200 2,824,825
Edison International, Inc. .............. 223,070 5,841,646
Electronic Data Systems Corp. ........... 304,600 20,389,162
Eli Lilly & Co. ......................... 705,640 46,925,060
El Paso Energy Corp. .................... 182,310 7,075,907
EMC Corp.* .............................. 659,025 71,998,481
Emerson Electric Co. .................... 288,300 16,541,212
Engelhard Corp. ......................... 82,408 1,555,451
Enron Corp. ............................. 454,632 20,174,295
Entergy Corp. ........................... 154,907 3,988,855
Equifax, Inc. ........................... 88,800 2,092,350
Exxon Mobil Corp. ....................... 2,219,195 178,783,897
Fannie Mae .............................. 662,814 41,384,449
FDX Corp.* .............................. 193,210 7,909,534
Federated Department Stores, Inc.* ...... 138,000 6,977,625
Fifth Third Bancorp ..................... 209,567 15,376,979
Firstar Corp. ........................... 666,181 14,073,074
First Data Corp. ........................ 277,600 13,689,150
The accompanying notes are an integral part of the financial statements.
26 | Equity 500 Index Portfolio
<PAGE>
Shares Value ($)
- ----------------------------------------------------------------------------
FirstEnergy Corp. ............................. 148,984 3,380,074
First Union Corp. ............................. 611,585 20,067,633
Fleet Boston Financial Corp. .................. 595,303 20,723,986
Fleetwood Enterprises, Inc. ................... 21,906 451,811
Florida Progress Corp. ........................ 61,300 2,593,756
Fluor Corp. ................................... 47,881 2,196,541
FMC Corp.* .................................... 20,350 1,166,309
Ford Motor Co. ................................ 791,244 42,282,101
Fort James Corp. .............................. 141,885 3,884,102
Fortune Brands, Inc. .......................... 109,074 3,606,259
Foster Wheeler Corp. .......................... 30,038 266,587
FPL Group, Inc. ............................... 128,794 5,513,993
Franklin Resources, Inc. ...................... 168,320 5,396,760
Freddie Mac ................................... 449,814 21,169,371
Freeport-McMoRan Copper & Gold, Inc.-- Class B* 77,900 1,645,637
Gannett Company, Inc. ......................... 176,592 14,403,285
Gap, Inc. ..................................... 558,134 25,674,164
Gateway, Inc.* ................................ 197,200 14,210,725
General Dynamics Corp. ........................ 125,844 6,638,271
General Electric Co. .......................... 2,126,144 329,020,784
General Instrument Corp.* ..................... 111,800 9,503,000
General Mills, Inc. ........................... 198,338 7,090,583
General Motors Corp. .......................... 410,234 29,818,884
Genuine Parts Co. ............................. 112,626 2,794,533
Georgia-Pacific Corp. ......................... 110,302 5,597,826
Gillette Co. .................................. 702,016 28,914,284
Global Crossing Ltd.* ......................... 491,079 24,553,950
Golden West Financial Corp. ................... 109,551 3,669,958
Goodrich (B.F.) Co. ........................... 46,652 1,282,930
Goodyear Tire & Rubber Co. .................... 98,536 2,777,483
GPU, Inc. ..................................... 63,000 1,886,062
Great Atlantic & Pacific Tea Co., Inc. ........ 24,025 669,697
Great Lakes Chemical Corp. .................... 36,996 1,412,785
GTE Corp. ..................................... 635,636 44,852,065
Guidant Corp.* ................................ 197,500 9,282,500
H & R Block, Inc. ............................. 68,135 2,980,906
H.J. Heinz Co. ................................ 253,725 10,101,427
Halliburton Company ........................... 278,362 11,204,071
Harcourt General, Inc. ........................ 55,639 2,239,470
Harrah's Entertainment, Inc.* ................. 71,215 1,882,747
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 27
<PAGE>
Shares Value ($)
- -------------------------------------------------------------------------
Hartford Financial Services Group, Inc. 143,246 6,786,279
Hasbro, Inc. ........................... 138,970 2,649,116
HEALTHSOUTH Corp.* ..................... 322,800 1,735,050
Hercules, Inc. ......................... 68,914 1,920,978
Hershey Foods Corp. .................... 80,094 3,804,465
Hewlett-Packard Co. .................... 654,740 74,599,439
Hilton Hotels Corp. .................... 162,841 1,567,345
Home Depot, Inc. ....................... 1,479,378 101,429,854
Homestake Mining Co. ................... 146,043 1,140,961
Honeywell International, Inc. .......... 513,285 29,610,128
Household International, Inc. .......... 308,485 11,491,066
Humana, Inc.* .......................... 102,700 840,856
Huntington Bancshares, Inc. ............ 145,277 3,468,488
Huttig Building Products, Inc.* ........ 17,588 86,844
Ikon Office Solutions, Inc. ............ 79,362 540,654
Illinois Tool Works, Inc. .............. 192,892 13,032,266
IMS Health, Inc. ....................... 197,858 5,379,264
Inco, Ltd.* ............................ 108,366 2,546,601
Ingersoll-Rand Co. ..................... 104,846 5,773,083
Intel Corp. ............................ 2,146,856 176,713,085
International Business Machines Corp. .. 1,158,364 125,103,312
International Flavors & Fragrances, Inc. 63,787 2,407,959
International Paper Co. ................ 287,874 16,246,889
Interpublic Group of Companies, Inc. ... 163,020 9,404,216
ITT Industries ......................... 58,123 1,943,488
J.C. Penney Co., Inc. .................. 165,750 3,304,641
Jefferson-Pilot Corp. .................. 66,465 4,536,236
Johnson & Johnson ...................... 900,196 83,830,753
Johnson Controls, Inc. ................. 46,054 2,619,321
Jostens, Inc. .......................... 7,639 185,723
Kansas City Southern Inds .............. 68,800 5,134,200
Kaufman & Broad Home Corp. ............. 28,445 688,013
Kellogg Co. ............................ 261,314 8,051,738
Kerr-McGee Corp. ....................... 60,531 3,752,922
KeyCorp ................................ 287,400 6,358,725
Kimberly Clark Corp. ................... 349,806 22,824,842
KLA/Tencor Corp.* ...................... 60,300 6,715,913
Kmart Corp.* ........................... 308,503 3,104,311
Knight-Ridder, Inc. .................... 57,526 3,422,797
Kohls Corp.* ........................... 108,100 7,803,469
The accompanying notes are an integral part of the financial statements.
28 | Equity 500 Index Portfolio
<PAGE>
Shares Value ($)
- ----------------------------------------------------------------------------
Kroger Co.* ................................ 570,940 10,776,493
Leggett & Platt, Inc. ...................... 125,100 2,681,831
Lehman Brothers, Inc. ...................... 77,900 6,597,156
Lexmark International Group, Inc.-- Class A* 84,300 7,629,150
Limited, Inc. .............................. 130,741 5,662,720
Lincoln National Corp. ..................... 136,920 5,476,800
Liz Claiborne, Inc. ........................ 56,103 2,110,875
Lockheed Martin Corp. ...................... 246,010 5,381,469
Loews Corp. ................................ 61,900 3,756,556
Longs Drug Stores, Inc. .................... 24,326 627,915
Louisiana-Pacific Corp. .................... 73,258 1,043,927
Lowe's Companies, Inc. ..................... 247,888 14,811,308
LSI Logic Corp.* ........................... 95,600 6,453,000
Lucent Technologies, Inc. .................. 2,041,521 152,731,290
Mallinckrodt Group, Inc. ................... 48,602 1,546,151
Manor Care* ................................ 67,400 1,078,400
Marriott International ..................... 152,180 4,803,181
Marsh and McLennan Companies, Inc. ......... 171,386 16,399,498
Masco Corp. ................................ 283,322 7,189,296
Mattel, Inc. ............................... 261,265 3,429,103
May Department Stores Co. .................. 211,647 6,825,616
Maytag Corp. ............................... 57,512 2,760,576
MBIA, Inc. ................................. 62,300 3,290,219
MBNA Corp. ................................. 518,837 14,138,308
McDermott International, Inc. .............. 43,087 390,476
McDonald's Corp. ........................... 876,228 35,322,941
McGraw-Hill, Inc. .......................... 126,860 7,817,748
MCI WorldCom, Inc.* ........................ 1,843,369 97,813,794
McKesson HBOC, Inc. ........................ 182,073 4,108,022
Mead Corp. ................................. 64,402 2,797,462
MediaOne Group* ............................ 396,028 30,419,901
Medtronic, Inc. ............................ 768,008 27,984,292
Mellon Financial Corp. ..................... 366,548 12,485,541
Merck & Co., Inc. .......................... 1,501,994 100,727,473
Meredith Corp. ............................. 39,872 1,662,164
Merrill Lynch & Co., Inc. .................. 230,076 19,211,346
MGIC Investment Corp. ...................... 73,600 4,429,800
Micron Technology, Inc.* ................... 169,300 13,163,075
Microsoft Corp.* ........................... 3,339,000 389,828,250
Milacron, Inc. ............................. 19,047 292,848
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 29
<PAGE>
Shares Value ($)
- ------------------------------------------------------------------------
Millipore Corp. ......................... 27,892 1,077,329
Minnesota Mining & Manufacturing Co. .... 254,378 24,897,247
Mirage Resorts, Inc.* ................... 154,900 2,371,906
Molex, Inc. ............................. 96,000 5,442,000
Monsanto Co. ............................ 411,920 14,674,650
Morgan Stanley Dean Witter Discover & Co. 360,433 51,451,811
Morgan, (J.P.) & Co., Inc. .............. 112,060 14,189,598
Motorola, Inc. .......................... 400,342 58,950,360
Nabisco Group Holdings .................. 206,300 2,191,938
NACCO Industries, Inc.-- Class A ........ 3,727 207,081
National City Corp. ..................... 411,800 9,754,513
National Semiconductor Corp.* ........... 110,226 4,719,051
National Service Industries, Inc. ....... 31,126 918,217
Navistar International Corp.* ........... 41,758 1,978,285
Network Appliance, Inc.* ................ 95,900 7,965,694
New Century Energies, Inc. .............. 69,400 2,108,025
New York Times Co.-- Class A ............ 113,268 5,564,291
Newell Rubbermaid, Inc. ................. 178,996 5,190,884
Newmont Mining Corp. .................... 116,210 2,847,145
Nextel Communications, Inc.-- Class A* .. 230,200 23,739,375
Niagara Mohawk Holdings Inc.* ........... 147,042 2,049,398
NICOR, Inc. ............................. 35,069 1,139,743
Nike, Inc. .............................. 182,048 9,022,754
Nordstrom, Inc. ......................... 92,458 2,421,244
Norfolk Southern Corp. .................. 238,553 4,890,337
Nortel Networks Corporation ............. 858,224 86,680,624
Northern States Power Co. ............... 75,388 1,470,066
Northern Trust Corp. .................... 143,800 7,621,400
Northrop Grumman Corp. .................. 51,479 2,783,083
Novell, Inc.* ........................... 217,092 8,670,112
Nucor Corp. ............................. 55,794 3,058,209
Occidental Petroleum Corp. .............. 250,714 5,421,690
Office Depot, Inc.* ..................... 213,000 2,329,688
Old Kent Financial Corp. ................ 78,000 2,759,250
Omnicom Group, Inc. ..................... 114,000 11,400,000
Oneok, Inc. ............................. 17,391 436,949
Oracle Corp.* ........................... 914,784 102,512,982
Owens Corning ........................... 33,950 655,659
Owens-Illinois, Inc.* ................... 95,300 2,388,456
P P & L Resources ....................... 81,907 1,873,623
The accompanying notes are an integral part of the financial statements.
30 | Equity 500 Index Portfolio
<PAGE>
Shares Value ($)
- -------------------------------------------------------------------
Paccar, Inc. .................... 62,580 2,773,076
Pactiv Corp.* ................... 115,634 1,228,611
Paine Webber Group, Inc. ........ 108,000 4,191,750
Pall Corp. ...................... 78,364 1,689,724
Parametric Technology Corp.* .... 182,800 4,947,025
Parker-Hannifin Corp. ........... 71,914 3,690,087
Paychex, Inc. ................... 172,150 6,886,000
PE Corp.-- PE Biosystems Group .. 69,050 8,307,578
PECO Energy ..................... 120,184 4,176,394
People's Energy Corp. ........... 22,155 742,193
Peoplesoft, Inc.* ............... 164,700 3,510,169
Pep Boys (Manny Moe & Jack) ..... 32,912 300,322
PepsiCo, Inc. ................... 941,994 33,205,289
Perkin Elmer, Inc. .............. 30,425 1,268,342
Pfizer, Inc. .................... 2,520,184 81,748,469
PG&E Corp. ...................... 251,605 5,157,903
Pharmacia & Upjohn, Inc. ........ 337,132 15,170,940
Phelps Dodge Corp. .............. 48,965 3,286,776
Philip Morris Companies ......... 1,531,098 35,502,335
Phillips Petroleum Co. .......... 158,406 7,445,082
Pinnacle West Capital Corporation 55,500 1,696,219
Pitney Bowes, Inc. .............. 185,196 8,947,282
Placer Dome, Inc. ............... 191,404 2,057,593
PNC Bank Corp. .................. 192,033 8,545,469
Polaroid Corp. .................. 38,682 727,705
Potlatch ........................ 18,101 807,757
PPG Industries, Inc. ............ 109,842 6,871,990
Praxair, Inc. ................... 121,315 6,103,661
Procter & Gamble Co. ............ 845,640 92,650,433
Progressive Corporation of Ohio . 45,450 3,323,531
Providian Financial Corp. ....... 92,097 8,386,583
Public Service Enterprise Group . 140,094 4,877,022
Pulte Corp. ..................... 29,132 655,470
Quaker Oats Co. ................. 85,984 5,642,700
Qualcomm, Inc.* ................. 426,400 75,099,700
Quintiles Transnational Corp.* .. 70,300 1,313,731
R.R. Donnelley & Sons Co. ....... 84,152 2,088,022
Ralston Purina Group ............ 203,215 5,664,618
Raytheon Co.-- Class B .......... 212,314 5,639,591
Reebok International Ltd.* ...... 34,329 281,069
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 31
<PAGE>
Shares Value ($)
- ---------------------------------------------------------------------
Regions Financial Corp. .......... 133,170 3,345,896
Reliant Energy ................... 165,792 3,792,492
epublic New York Corp. ........... 67,800 4,881,600
Reynolds Metals Co. .............. 48,149 3,689,417
Rite Aid Corp. ................... 179,402 2,007,060
Rockwell International Corp. ..... 132,424 6,339,799
Rohm & Haas Co. .................. 155,291 6,318,403
Rowan Companies, Inc.* ........... 50,500 1,095,219
Royal Dutch Petroleum Co. ........ 1,380,704 83,446,298
Russell Corp. .................... 22,611 378,734
Ryder Systems, Inc. .............. 45,017 1,100,103
Safeco ........................... 84,102 2,092,037
Safeway, Inc.* ................... 329,200 11,707,175
Sara Lee Corp. ................... 571,054 12,598,879
SBC Communications, Inc. ......... 2,192,069 106,863,364
Schering-Plough Corp. ............ 944,032 39,826,350
Schlumberger Ltd. ................ 355,362 19,989,113
Scientific-Atlanta, Inc. ......... 47,338 2,633,176
Seagate Technology, Inc.* ........ 134,800 6,276,625
Seagram Co. Ltd. ................. 280,337 12,597,644
Sealed Air Corp.* ................ 52,405 2,715,234
Sears, Roebuck & Co. ............. 240,709 7,326,580
Sempra Energy .................... 129,514 2,250,306
Service Corp. International ...... 185,692 1,288,238
Shared Medical Systems Corp. ..... 16,674 849,332
Sherwin-Williams Co. ............. 112,874 2,370,354
Sigma Aldrich Corp. .............. 64,100 1,927,006
Silicon Graphics, Inc.* .......... 116,515 1,143,303
SLM Holding Corp. ................ 103,300 4,364,425
Snap-On Tools Corp. .............. 40,194 1,067,653
Solectron Corp.* ................. 180,500 17,170,063
Southern Co. ..................... 473,558 11,128,613
Southtrust Corp .................. 115,600 4,371,125
Southwest Airlines Co. ........... 316,500 5,123,344
Springs Industries, Inc.-- Class A 6,904 275,729
Sprint Corp. ..................... 561,564 37,800,277
Sprint PCS* ...................... 278,891 28,586,328
St. Jude Medical, Inc.* .......... 49,488 1,518,663
St. Paul Companies, Inc. ......... 147,828 4,979,956
Stanley Works .................... 54,330 1,636,691
The accompanying notes are an integral part of the financial statements.
32 | Equity 500 Index Portfolio
<PAGE>
Shares Value ($)
- -----------------------------------------------------------------
Staples, Inc.* ................. 307,200 6,374,400
State Street Corp. ............. 100,400 7,335,475
Summit Bancorp ................. 116,400 3,564,750
Sun Microsystems, Inc.* ........ 1,004,224 77,764,596
Sunoco, Inc. ................... 61,345 1,441,608
Suntrust Banks, Inc. ........... 200,860 13,821,679
SuperValu, Inc. ................ 97,040 1,940,800
Synovus Financial Corp. ........ 143,650 2,855,044
Sysco Corp. .................... 219,020 8,664,979
T. Rowe Price Associates, Inc. . 72,200 2,666,888
Tandy Corp. .................... 131,732 6,479,568
Tektronix, Inc. ................ 29,507 1,147,085
Teledyne Technologies* ......... 18,084 170,668
Tellabs, Inc.* ................. 252,050 16,178,459
Temple Inland, Inc. ............ 35,922 2,368,607
Tenet Healthcare Corp.* ........ 189,110 4,444,085
Teradyne, Inc.* ................ 105,000 6,930,000
Texaco, Inc. ................... 353,522 19,200,664
Texas Instruments, Inc. ........ 515,412 49,930,538
Texas Utilities Co. ............ 178,027 6,331,085
Textron, Inc. .................. 98,306 7,538,841
Thermo Electron Corp.* ......... 141,100 2,116,500
Thomas & Betts Corp. ........... 38,500 1,227,188
Time Warner, Inc. .............. 844,130 61,146,667
Times Mirror Co.-- Class A ..... 39,429 2,641,743
Timken Co. ..................... 34,596 707,056
TJX Companies, Inc. ............ 211,016 4,312,640
Torchmark Corp. ................ 85,168 2,475,195
Tosco Corp. .................... 130,800 3,556,125
Toys `R' Us, Inc.* ............. 164,418 2,353,233
Transocean Sedco Forex, Inc. ... 134,198 4,520,797
Tribune Co. .................... 149,592 8,236,910
Tricon Global Restaurants, Inc.* 99,799 3,854,736
TRW, Inc. ...................... 75,072 3,899,052
Tupperware Corp. ............... 36,096 611,376
Tyco International Ltd. ........ 1,087,838 42,289,702
U.S. Bancorp ................... 466,037 11,097,506
U.S. West, Inc. ................ 324,855 23,389,560
Unicom Corp. ................... 139,725 4,680,788
Unilever NV .................... 373,346 20,324,023
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 33
<PAGE>
Shares Value ($)
- ---------------------------------------------------------------------
Union Carbide Corp. ............... 83,252 5,557,071
Union Pacific Corp. ............... 155,247 6,772,650
Union Pacific Resources Group, Inc. 191,348 2,439,687
Union Planters Corp. .............. 81,300 3,206,269
Unisys Corp.* ..................... 207,699 6,633,387
United Healthcare Corp. ........... 112,700 5,987,188
United Technologies Corp. ......... 306,624 19,930,560
Unocal Corp. ...................... 152,937 5,132,948
Unumprovident Corp. ............... 149,034 4,778,403
US Airways Group, Inc.* ........... 47,615 1,526,656
UST, Inc. ......................... 120,607 3,037,789
USX-- U.S. Steel Group ............ 57,177 1,886,841
USX Marathon Group ................ 200,564 4,951,424
V.F. Corp. ........................ 75,230 2,256,900
Viacom, Inc.-- Class B* ........... 440,798 26,640,729
Vulcan Materials Co. .............. 63,600 2,540,025
W.R. Grace & Co.* ................. 46,049 638,930
W.W. Grainger, Inc. ............... 60,130 2,874,966
Wachovia Corp. .................... 128,210 8,718,280
Wal-Mart Stores, Inc. ............. 2,859,596 197,669,574
Walgreen Co. ...................... 667,636 19,528,353
Walt Disney Co. ................... 1,334,471 39,033,277
Warner-Lambert Co. ................ 555,658 45,529,227
Washington Mutual, Inc. ........... 379,272 9,861,072
Waste Management, Inc. ............ 422,351 7,259,158
Water Pik Technologies* ........... 6,329 60,521
Watson Pharmaceuticals* ........... 67,400 2,413,763
Wellpoint Health Networks* ........ 46,100 3,039,719
Wells Fargo Company ............... 1,062,736 42,974,387
Wendy's International, Inc. ....... 82,762 1,706,966
Westvaco Corp. .................... 61,360 2,001,870
Weyerhaeuser Co. .................. 143,494 10,304,663
Whirlpool Corp. ................... 48,139 3,132,044
Willamette Industries, Inc. ....... 63,600 2,953,425
Williams Companies, Inc. .......... 281,236 8,595,275
Winn Dixie Stores, Inc. ........... 75,180 1,799,621
Wm. Wrigley, Jr. Co. .............. 72,692 6,028,893
Worthington Industries, Inc. ...... 55,279 915,558
Xerox Corp. ....................... 426,870 9,684,613
Xilinx, Inc.* ..................... 202,000 9,184,688
The accompanying notes are an integral part of the financial statements.
34 | Equity 500 Index Portfolio
<PAGE>
Shares Value ($)
- --------------------------------------------------------------------------------
Yahoo!, Inc.* ............................... 169,700 73,427,071
- --------------------------------------------------------------------------------
Total Common Stocks (Cost $4,809,122,710) 7,953,572,107
- --------------------------------------------------------------------------------
% of
Net Assets
- --------------------------------------------------------------------------------
Total Portfolio (Cost $5,009,934,437) ....... 99.9% 8,154,382,743
Other Assets and Liabilities, Net ........... 0.1% 10,714,139
- --------------------------------------------------------------------------------
Net Assets 100.0% 8,165,096,882
- --------------------------------------------------------------------------------
* Non-income producing security.
(a) Held as collateral for futures contracts.
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 35
<PAGE>
Financial Statements
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities as of December 31, 1999
- --------------------------------------------------------------------------------
Assets
- --------------------------------------------------------------------------------
Investments in securities, at value (Cost of $5,009,934,437) .. $8,154,382,743
Receivable for shares of beneficial interest subscribed ....... 4,508,155
Receivable for securities sold ................................ 657,504
Variation margin receveiable .................................. 461,689
Dividend receivable ........................................... 7,787,458
--------------
Total assets .................................................. 8,167,797,549
Liabilities
- --------------------------------------------------------------------------------
Payable for securities purchased .............................. 2,154,113
Due to Bankers Trust .......................................... 532,871
Other accrued expenses and payables ........................... 13,683
--------------
Total liabilities ............................................. 2,700,667
- --------------------------------------------------------------------------------
Net assets, at value $8,165,096,882
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
Net assets consist of:
Net unrealized appreciation on:
Investments and futures transactions ........................ 3,148,392,043
Paid-in capital ............................................... 5,016,704,839
- --------------------------------------------------------------------------------
Net assets, at value $8,165,096,882
- --------------------------------------------------------------------------------
36 | Equity 500 Index Portfolio
<PAGE>
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
Statement of Operations for the year ended December 31, 1999
- --------------------------------------------------------------------------------
Investment Income
- --------------------------------------------------------------------------------
Dividends (net of foreign witholding tax of $1,063,834) ........ $97,913,346
Interest ....................................................... 513,602
-----------
Total investment income ........................................ 98,426,948
-----------
Expenses:
Advisory fees .................................................. 5,134,906
Administration and services fees ............................... 344,960
Professional fees .............................................. 34,598
Trustees' fees ................................................. 3,252
Miscellaneous .................................................. 1,643
-----------
5,519,359
-----------
- --------------------------------------------------------------------------------
Net investment income 92,907,589
- --------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments and
Futures Contracts
- --------------------------------------------------------------------------------
Net realized gain (loss) from investment transactions .......... (44,432,856)
Net realized gain from futures transactions .................... 17,684,084
Net change in unrealized appreciation on investments and
future contracts ............................................. 1,245,281,501
Net realized and unrealized gain on investments and futures ---------------
contracts .................................................... 1,218,532,729
- --------------------------------------------------------------------------------
Net increase in net assets from operations $1,311,440,318
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------
Years Ended December 31,
Increase (Decrease) in Net Assets 1999 1998
- ------------------------------------------------------------------------------------
Operations:
<S> <C> <C>
Net investment income ....................... $ 92,907,589 $ 58,364,731
Net realized gain (loss) from investments and
futures transactions ...................... (26,748,772) 35,274,688
Net change in unrealized appreciation on
investments and futures contracts ......... 1,245,281,501 895,089,518
--------------- ---------------
Net increase in net assets from operations .. 1,311,440,318 988,728,937
--------------- ---------------
Capital Transactions:
Proceeds from capital invested .............. 4,399,103,297 2,853,940,069
Value of capital withdrawn .................. (2,745,951,143) (1,445,251,067)
--------------- ---------------
Net increase in net assets from capital
transactions .............................. 1,653,152,154 1,408,689,002
--------------- ---------------
Total increase in net assets ................ 2,964,592,472 2,397,417,939
Net assets at beginning of period ........... 5,200,504,410 2,803,086,471
--------------- ---------------
Net assets at end of year ................... $ 8,165,096,882 $ 5,200,504,410
--------------- ---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Equity 500 Index Portfolio | 37
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
- --------------------------------------------------------------------------------------------
Equity 500 Index Portfolio
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Equity 500 Index Portfolio.
- --------------------------------------------------------------------------------------------
Years Ended December 31, 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------
Supplemental Data and Ratios
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net assets, end of period
(000s omitted) $8,165,097 $5,200,504 $2,803,086 $1,925,224 $1,080,736
- --------------------------------------------------------------------------------------------
Ratio to average daily net assets:
- --------------------------------------------------------------------------------------------
Net investment income (%) 1.35 1.50 1.76 2.20 2.52
- --------------------------------------------------------------------------------------------
Expenses before waivers (%) 0.08 0.10 0.15 0.15 0.15
- --------------------------------------------------------------------------------------------
Expenses after waivers (%) 0.08 0.08(a) 0.08 0.10 0.10
- --------------------------------------------------------------------------------------------
Decrease reflected in above
expense ratios due to fee
waivers or expense
reimbursements (%) 0.00(b) 0.02 0.07 0.05 0.05
- --------------------------------------------------------------------------------------------
Portfolio turnover rate (%) 13 4 19 15 6
- --------------------------------------------------------------------------------------------
</TABLE>
(a) Effective May 6, 1998, Bankers Trust contractually agreed to receive fees
from the portfolio only to the extent of the lesser of 0.005% or the amount
that brings the total annual operating expenses as a percentage of the
portfolio's average daily net assets up to 0.08%.
(b) Less than 0.01%.
38 | Equity 500 Index Portfolio
<PAGE>
Notes to Financial Statements
- --------------------------------------------------------------------------------
December 31, 1999
Equity 500 Index Portfolio
Note 1 -- Organization and Significant Accounting Policies
A. Organization
The Equity 500 Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11, 1991
as an unincorporated trust under the laws of New York and began operations on
December 31, 1992. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on national
exchanges or traded in the NASDAQ National Market System are valued at the last
sales prices reported at the close of business each day. Over-the-counter
securities not included in the NASDAQ National Market System and listed
securities for which no sale was reported are valued at the mean of the bid and
asked prices. Short-term obligations with remaining maturities of 60 days or
less are valued at amortized cost that, with accrued interest, approximates
value. Securities for which quotations are not available are stated at fair
value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the accrual
basis and includes amortization of premium and accretion of discount on
investments. Realized gains and losses from securities transactions are recorded
on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. Futures Contracts
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Equity 500 Index Portfolio | 39
<PAGE>
Portfolio is required to deposit either cash or securities in 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.
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. The agreement provides for the Portfolio to pay Bankers Trust
a fee, accrued daily and paid monthly, computed as a percentage of the average
daily net assets of the Portfolio which on an annual basis is equal to the
lesser of (1) 0.005%, or (2) the amount that brings the total annual operating
expenses as a percentage of the Portfolio's average daily net assets up to
0.08%.
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 .075% of the Portfolio's average daily net assets.
The Portfolio may invest in the BT Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust Company. The Cash Management Fund is offered as a cash management option
to the Portfolio and other accounts managed by Bankers Trust. Distributions from
the Cash Management Fund to the Portfolio for the year ended December 31, 1999
amounted to $7,493,519 and are included in dividend income.
40 | Equity 500 Index Portfolio
<PAGE>
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
$2,458,853,481 and $886,448,613, respectively. For federal income tax purposes,
the tax basis of investments held at December 31, 1999 was $5,091,039,735. The
aggregate gross unrealized appreciation was $3,275,257,510, and the aggregate
gross unrealized depreciation was $211,914,502 for all investments as of
December 31, 1999.
Note 4 -- Futures Contracts
A summary of obligations under these financial instruments at December 31, 1999
is as follows:
Market Unrealized
Type of Future Expiration Contracts Position Value ($) Appreciation($)
- --------------------------------------------------------------------------------
S&P Index Futures March 2000 547 Long 203,331,050 3,943,738
At December 31, 1999, the Portfolio segregated securities with a value of
approximately $11,919,729 to cover margin requirements on open futures
contracts.
Equity 500 Index Portfolio | 41
<PAGE>
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the Equity 500 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 Equity 500 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
42 | Equity 500 Index Portfolio
<PAGE>
Proxy Results (Unaudited)
- --------------------------------------------------------------------------------
December 31, 1999
For the year ended December 31, 1999, the Bankers Trust Pyramid 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 Pyramid Funds Board of Trustees.
Shares Voted
Shares Withheld
Voted For Authority
---------------- ---------------
Mr. Charles P. Biggar 2,740,598 6,940
Mr. S. Leland Dill 2,740,562 6,976
Mr. Richard T. Hale 2,740,598 6,940
Mr. Bruce E. Langton 2,740,598 6,940
Mr. Philip Saunders, Jr. 2,740,370 7,168
Mr. Harry Van Benschoten 2,740,588 6,950
Dr. Martin J. Gruber 2,740,592 6,946
Dr. Richard J. Herring 2,740,598 6,940
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
---------------- --------------- ---------------
2,735,745 7,809 3,984
3. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
---------------- --------------- ---------------
2,742,482 1,748 3,308
Equity 500 Index Portfolio | 43
<PAGE>
Investment Products and Services
- --------------------------------------------------------------------------------
1-800-SCUDDER www.scudder.com
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
The Scudder Family of Funds+++
- --------------------------------------------------------------------------------
<S> <C>
Money Market U.S. Growth and Income
Scudder U.S. Treasury Money Fund Scudder Balanced Fund
Scudder Cash Investment Trust Scudder Dividend & Growth Fund
Scudder Money Market Series -- Scudder Growth and Income Fund
Prime Reserve Shares* Scudder Select 500 Fund
Premium Shares* Scudder S&P 500 Index Fund
Managed Shares* Scudder Real Estate Investment Fund
Scudder Government Money Market
Series -- Managed Shares* U.S. Growth
Value
Tax Free Money Market+ Scudder Large Company Value Fund
Scudder Tax Free Money Fund Scudder Value Fund***
Scudder Tax Free Money Market Scudder Small Company Value Fund
Series -- Managed Shares* Scudder Micro Cap Fund
Scudder California Tax Free Money Fund** Growth
Scudder New York Tax Free Money Fund** Scudder Classic Growth Fund***
Scudder Large Company Growth Fund
Tax Free+ Scudder Select 1000 Growth Fund
Scudder Limited Term Tax Free Fund Scudder Development Fund
Scudder Medium Term Tax Free Fund Scudder 21st Century Growth Fund
Scudder Managed Municipal Bonds
Scudder High Yield Tax Free Fund Global Equity
Scudder California Tax Free Fund** Worldwide
Scudder Massachusetts Limited Term Scudder Global Fund
Tax Free Fund** Scudder International Value Fund
Scudder Massachusetts Tax Free Fund** Scudder International Growth and
Scudder New York Tax Free Fund** Income Fund
Scudder Ohio Tax Free Fund** Scudder International Fund++
Scudder International Growth Fund
U.S. Income Scudder Global Discovery Fund***
Scudder Short Term Bond Fund Scudder Emerging Markets Growth Fund
Scudder GNMA Fund Scudder Gold Fund
Scudder Income Fund Regional
Scudder Corporate Bond Fund Scudder Greater Europe Growth Fund
Scudder High Yield Bond Fund Scudder Pacific Opportunities Fund
Scudder Latin America Fund
Global Income The Japan Fund, Inc.
Scudder Global Bond Fund
Scudder International Bond Fund Industry Sector Funds
Scudder Emerging Markets Income Fund Choice Series
Scudder Financial Services Fund
Asset Allocation Scudder Heath Care Fund
Scudder Pathway Conservative Portfolio Scudder Technology Fund
Scudder Pathway Balanced Portfolio
Scudder Pathway Growth Portfolio Preferred Series
Scudder Tax Managed Growth Fund
Scudder Tax Managed Small Company Fund
</TABLE>
44 | Equity 500 Index Portfolio
<PAGE>
- --------------------------------------------------------------------------------
1-800-SCUDDER www.scudder.com
- --------------------------------------------------------------------------------
Retirement Programs and Education Accounts
- --------------------------------------------------------------------------------
Retirement Programs Education Accounts
Traditional IRA Education IRA
Roth IRA UGMA/UTMA
SEP-IRA
Keogh Plan
401(k), 403(b) Plans
Variable Annuities
Scudder Horizon Plan**+++ +++
Scudder Horizon Advantage**+++ +++ +++
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
Closed-End Funds#
- -----------------------------------------------------------------------------------------
<S> <C>
The Argentina Fund, Inc. Montgomery Street Income Securities, Inc.
The Brazil Fund, Inc. Scudder Global High Income Fund, Inc.
The Korea Fund, Inc. Scudder New Asia Fund, Inc.
</TABLE>
For complete information on any of the above Scudder funds, including management
fees and expenses, call or write for a free prospectus. Read it carefully before
you invest or send money.
+++ Funds within categories are listed in order from expected least
risk to most risk. Certain Scudder funds or classes thereof may
not be available for purchase or exchange.
+ A portion of the income from the tax-free funds may be subject to
federal, state, and local taxes.
* A class of shares of the fund.
** Not available in all states.
*** Only the Scudder Shares of the fund are part of the Scudder Family
of Funds.
++ Only the International Shares of the fund are part of the Scudder
Family of Funds.
+++ +++ A no-load variable annuity contract provided by Charter National
Life Insurance Company and its affiliate, offered by Scudder's
insurance agencies, 1-800-225-2470.
+++ +++ +++ A no-load variable annuity contract issued by Glenbrook Life and
Annuity Company and underwritten by Allstate Financial Services,
Inc., sold by Scudder's insurance agencies, 1-800-225-2470.
# These funds, advised by Scudder Kemper Investments, Inc., are
traded on the New York Stock Exchange and, in some cases, on
various other stock exchanges.
Equity 500 Index Portfolio | 45
<PAGE>
Scudder Solutions
- --------------------------------------------------------------------------------
1-800-SCUDDER www.scudder.com
Convenient Automatic Investment Plan
ways to invest,
quickly and A convenient investment program in which money is
reliably electronically debited from your bank account monthly to
regularly purchase fund shares and "dollar cost average" --
buy more shares when the fund's price is lower and fewer
when it's higher, which can reduce your average purchase
price over time.*
Automatic Dividend Transfer
The most timely, reliable, and convenient way to purchase
shares -- use distributions from one Scudder fund to
purchase shares in another, automatically (accounts with
identical registrations or the same social security or tax
identification number).
QuickBuy
Lets you purchase Scudder fund shares electronically,
avoiding potential mailing delays; money for each of your
transactions is electronically debited from a previously
designated bank account.
Payroll Deduction and Direct Deposit
Have all or part of your paycheck -- even government checks
-- invested in up to four Scudder funds at one time.
* Dollar cost averaging involves continuous investment in
securities regardless of price fluctuations and does not
assure a profit or protect against loss in declining
markets. Investors should consider their ability to
continue such a plan through periods of low price
levels.
Around-the- Scudder Automated Information Line: SAIL(TM) --
clock electronic 1-800-343-2890
account
service and Personalized account information, the ability to exchange
information, or redeem shares, and information on other Scudder funds
including some and services via touchtone telephone.
transactions
Scudder's Web Site -- www.scudder.com
Personal Investment Organizer: Offering account information
and transactions, interactive worksheets, prospectuses and
applications for all Scudder funds, plus your current asset
allocation, whenever your need them. Scudder's site also
provides news about Scudder funds, retirement planning
information, and more.
46 | Equity 500 Index Portfolio
<PAGE>
- --------------------------------------------------------------------------------
1-800-SCUDDER www.scudder.com
Retirees and Automatic Withdrawal Plan
those who depend
on investment You designate the bank account, determine the schedule (as
proceeds for frequently as once a month) and amount of the redemptions,
living expenses and Scudder does the rest.
can enjoy these
convenient, Distributions Direct
timely, and
reliable Automatically deposits your fund distributions into the
automated bank account you designate within three business days after
withdrawal each distribution is paid.
programs
QuickSell
Provides speedy access to your money by electronically
crediting your redemption proceeds to the bank account you
previously designated.
For more Call a Scudder representative at
information about 1-800-SCUDDER
these services
Or visit our Web site at
www.scudder.com
Please address The Scudder Funds
all written PO Box 2291
correspondence Boston, Massachusetts
to 02107-2291
Equity 500 Index Portfolio | 47
<PAGE>
About the Fund's Adviser
Scudder Kemper Investments, Inc. is one of the largest and most experienced
investment management organizations worldwide, managing more than $290 billion
in assets globally for mutual fund investors, retirement and pension plans,
institutional and corporate clients, insurance companies, and private family and
individual accounts.
Scudder Kemper Investments has a rich heritage of innovation, integrity, and
client-focused service. In 1997, Scudder, Stevens & Clark, Inc., founded over 80
years ago as one of the nation's first investment counsel organizations, joined
the Zurich Financial Services Group. As a result, Zurich's subsidiary, Zurich
Kemper Investments, Inc., with 50 years of mutual fund and investment management
experience, was combined with Scudder. Headquartered in New York, Scudder Kemper
Investments offers a full range of investment counsel and asset management
capabilities, based on a combination of proprietary research and disciplined,
long-term investment strategies. With its global investment resources and
perspective, the firm seeks opportunities in markets throughout the world to
meet the needs of investors.
Scudder Kemper Investments, Inc., the global asset management firm, is a member
of the Zurich Financial Services Group. The Zurich Financial Services Group is
an internationally recognized leader in financial services, including
property/casualty and life insurance, reinsurance, and asset management.
This information must be preceded or accompanied by a current prospectus.
Portfolio changes should not be considered recommendations for action by
individual investors.
SCUDDER INVESTMENTS (SM)
[SCUDDER LOGO]
PO Box 2291
Boston, MA 02107-2291
1-800-SCUDDER
www.scudder.com
A member of the [LOGO] Zurich Financial
Services Group
