o BT INSTITUTIONAL FUNDS o
Equity 500 Index Fund
ANNUAL REPORT
---------------
DECEMBER o 1996
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Equity 500 Index Fund
Table of Contents
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Letter to Shareholders ..................................................... 3
Equity 500 Index Fund
Statement of Assets and Liabilities ................................... 5
Statement of Operations ............................................... 5
Statement of Changes in Net Assets .................................... 6
Financial Highlights .................................................. 7
Notes to Financial Statements ......................................... 8
Report of Independent Accountants ..................................... 9
Equity 500 Index Portfolio
Schedule of Portfolio Investments ..................................... 10
Statement of Assets and Liabilities ................................... 16
Statement of Operations ............................................... 16
Statement of Changes in Net Assets .................................... 17
Financial Highlights .................................................. 17
Notes to Financial Statements ......................................... 18
Report of Independent Accountants ..................................... 19
2
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Equity 500 Index Fund
Letter to Shareholders
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The BT Institutional Equity 500 Index Fund (the "Fund") returned 22.75% for the
twelve months ended December 31, 1996, tightly tracking both the 22.96% return
of the S&P 500 Index and the 22.30% return of the Lipper S&P 500 Average. Since
its inception on December 31, 1992, the Fund is up 88.09%, cumulatively, as of
December 31, 1996. This is a 17.11% average annualized total return.*
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Objective
Seeks to match the performance of the stock market, as represented by the S&P
500 Index, before expenses.
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MARKET ACTIVITY
The bull market continued to roar in 1996 for equities, even if just a little
less quietly than it did in 1995. The major difference between the two years was
the higher degree of market volatility in 1996. Certainly, moderate growth of
the economy, benign inflation, and interest rates unchanged by the Federal
Reserve Board since January 1996 contributed to the year's low volatility by
historical standards. So, too, did sustained positive numbers for employment,
wages, and consumer confidence as well as the anticipated and then actual status
quo results of the presidential and congressional elections.
Still, volatility dominated equities progress as mixed economic signals and
investors' concerns gave way to significant, though short-lived, "hiccups."
After running strong through June, the Dow Jones Industrial Average plummeted
161 points on July 15, 1996. Wall Street held its breath, and economists had a
field day predicting future chaos. But within two days, Wall Street exhaled, and
the so-called experts were forced to admit that it is harder than ever to
predict what happens next. By the middle of October, the Dow Jones broke the
6,000 barrier for the first time, and by Thanksgiving, the Dow leaped past 6,500
points. The Standard & Poor's 500 Index also moved to new record highs with
increasing frequency, completely confounding general expectations that a serious
stock market correction was at hand. Alan Greenspan's comments in early December
about a "bubble" in stock prices and "irrational exuberance" in the market led
to another wobble, but even that lasted less than a day. Small capitalization
stocks slightly outperformed large cap stocks for the first six months of 1996,
however, the July correction hit smaller cap stocks much harder than larger cap
equities. Jitters led investors to the more seasoned, well known companies, and
thus, for the twelve month period, large capitalization stocks outperformed
small cap stocks. Within the large cap sector, growth stocks outperformed value
stocks by approximately 1.50%. However, the opposite was true in small cap
equities, where value stocks outperformed growth stocks by more than 10.00%,
primarily due to the lag of the technology sector in the second half of the
year.
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Investment Instruments
Primarily equity securities, consisting of common stock of current S&P 500
companies.
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Overall, leading groups for 1996 included oil and gas drilling, shoes, and
electronic semi-conductors. Trucking and transport, broadcast/media, and
machines were the year's biggest losing sectors.
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Ten Largest Stock Holdings
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General Electric Co. Merck & Company, Inc.
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Coca Cola Co. Philip Morris Companies, Inc.
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Exxon Corp. Royal Dutch Petroleum Co.
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Intel Corp. IBM Corp.
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Microsoft Corp. Procter & Gamble Co.
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MANAGER OUTLOOK
As the current stock market continues its run in what, to date, qualifies as the
longest bull market in American economic history, the dominant question looking
ahead is probably whether the market can repeat its performance in 1997.
December numbers reported strength in industrial production, capacity
utilization, and exports. Plus, stronger employment and income triggered a boost
in end of year final sales, consumer spending, and consumer confidence. All of
these factors suggest that the economy will likely expand somewhat in the months
ahead, driving up wages and renewing inflationary pressures that, in turn, may
drive up interest rates. While these conditions would serve as a drag on
equities, we also believe that corporate profits are strong enough to overcome
the effect of any increase in interest rates. Thus, in all, we believe there is
still great opportunity for capital appreciation through equities, and we
maintain a positive outlook for stock market performance. Of course, it is
important to reiterate that as 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
monitoring economic conditions and how they affect the financial markets, as we
seek to closely track the performance of the stock market.
As always, we appreciate your ongoing support of the BT Institutional Equity 500
Index Fund and look forward to continuing to serve your investment needs for
many years to come.
/s/ Frank Salerno
-----------------
Frank Salerno
Portfolio Manager of the
Equity 500 Index Portfolio
December 31, 1996
- ----------
* Past performance is not indicative of future results. Investment return and
principal value will fluctuate so than an investor's shares, when redeemed,
may be worth more or less than their original cost.
3
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Equity 500 Index Fund
Letter to Shareholders
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[The following table was depicted as a pie graph in the printed material]
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Diversification of Portfolio Investments
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By Sector as of December 31, 1996
(percentages are based on market value)
Consumer Durables 4%
Other 5%
Retail Trade 5%
Energy 9%
Business Equipment & Service 10%
Utilities 10%
Chemicals 3%
Consumer Non-Durables 15%
Finance & Building 15%
Capital Goods 14%
Health Care 10%
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Performance Comparison
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Comparison of Change in Value of a $10,000 Investment in the Equity 500 Index
Fund and the S&P 500 Index since December 31, 1992.
Total Return
Ended December 31, 1996
One Year Since 12/31/92*
22.75% 88.09%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
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[The following table was depicted as a line graph in the printed material]
---- Equity 500 Index Fund - $18,809
- - - - S&P 500 Index - $18,867
12/92 10000 10000
3/93 10420 10437
6/93 10491 10487
9/93 10736 10758
12/93 10984 11008
3/94 10573 10590
6/94 10615 10635
9/94 11126 11155
12/94 11137 11153
3/95 12214 12239
6/95 13388 13408
9/95 14445 14473
12/95 15323 15344
3/96 16135 16168
6/96 16854 16894
9/96 17366 17416
12/96 18809 18867
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index.
4
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Equity 500 Index Fund
Statement of Assets and Liabilities December 31, 1996
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Assets
Investment in Equity 500 Index Portfolio, at Value ....... $1,299,685,050
Receivable for Shares of Beneficial Interest Subscribed .. 8,137,945
Receivable from Equity 500 Index Portfolio ............... 196,852
Prepaid Expenses and Other ............................... 30,012
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Total Assets .................................................. 1,308,049,859
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Liabilities
Due to Bankers Trust ..................................... 3,762
Payable for Shares of Beneficial Interest Redeemed ....... 89,485,031
Accrued Expenses and Other ............................... 105,688
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Total Liabilities ............................................. 89,594,481
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Net Assets .................................................... $1,218,455,378
==============
Shares Outstanding ($0.001 par value per share, unlimited
number of shares of beneficial interest authorized) ...... 73,048,954
==============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) ............... $ 16.68
==============
Composition of Net Assets
Paid-in Capital .......................................... $ 878,412,029
Undistributed Net Investment Income ...................... 3,587
Accumulated Net Realized Gain from Investments and
Futures Transactions ................................... 2,910,006
Net Unrealized Appreciation on Investments and
Futures Contracts ...................................... 337,129,756
--------------
Net Assets, December 31, 1996 ................................. $1,218,455,378
==============
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Statement of Operations For the year ended December 31, 1996
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Investment Income
Income Allocated from Equity 500 Index Portfolio, net ........... $ 23,870,988
------------
Expenses
Administration and Services Fees ........................... 541,924
Registration Fees .......................................... 101,767
Printing and Shareholder Reports ........................... 31,767
Professional Fees .......................................... 14,829
Trustees Fees .............................................. 7,277
Miscellaneous .............................................. 6,000
------------
Total Expenses ............................................. 703,564
Less: Expenses Absorbed by Bankers Trust ................... (658,635)
------------
Net Expenses .......................................... 44,929
------------
Net Investment Income ........................................... 23,826,059
------------
Realized and Unrealized Gain on Investments and Futures Contracts
Net Realized Gain from Investment Transactions ............. 10,696,906
Net Realized Gain from Futures Transactions ................ 4,385,567
Net Change in Unrealized Appreciation on Investments and
Futures Contracts ........................................ 189,718,387
------------
Net Realized and Unrealized Gain on Investments and
Futures Contracts .......................................... 204,800,860
------------
Net Increase in Net Assets from Operations ...................... $228,626,919
============
See Notes to Financial Statements on Page 8
5
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Equity 500 Index Fund
Statement of Changes in Net Assets
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<TABLE>
<CAPTION>
For the For the
year ended year ended
December 31, 1996 December 31, 1995
--------------- -------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .................................................... $ 23,826,059 $ 13,634,670
Net Realized Gain from Investments and Futures Transactions .............. 15,082,473 3,191,697
Net Change in Unrealized Appreciation on Investments and Futures Contracts 189,718,387 148,857,754
--------------- -------------
Net Increase in Net Assets from Operations .................................... 228,626,919 165,684,121
--------------- -------------
Distributions to Shareholders
Net Investment Income .................................................... (23,827,671) (13,707,456)
Net Realized Gain from Investments and Futures Transactions .............. (8,995,034) (3,288,270)
--------------- -------------
Total Distributions ........................................................... (32,822,705) (16,995,726)
--------------- -------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares ............................................ 477,475,997 412,369,528
Dividend Reinvestments ................................................... 26,683,658 15,722,534
Cost of Shares Redeemed .................................................. (282,059,871) (147,444,731)
--------------- -------------
Net Increase from Capital Transactions in Shares of Beneficial Interest ....... 222,099,784 280,647,331
--------------- -------------
Total Increase in Net Assets .................................................. 417,903,998 429,335,726
Net Assets
Beginning of Year ............................................................. 800,551,380 371,215,654
--------------- -------------
End of Year (including undistributed net investment income
of $3,587 and $5,199 for 1996 and 1995, respectively) ....................... $ 1,218,455,378 $ 800,551,380
=============== =============
</TABLE>
See Notes to Financial Statements on Page 8
6
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Equity 500 Index Fund
Financial Highlights
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Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for the Equity 500 Index Fund.
<TABLE>
<CAPTION>
For the year ended December 31, 1992
December 31, (Commencement
1996 1995 1994 1993 of Operations)
---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period .................... $ 13.97 $ 10.44 $ 10.68 $ 10.00 $ 10.00
---------- ---------- ---------- ---------- ---------
Income from Investment Operations
Net Investment Income .............................. 0.33 0.30 0.28 0.25 --
Net Realized and Unrealized Gain (Loss) on
Investments and Futures Transactions ............. 2.82 3.59 (0.13) 0.73 --
---------- ---------- ---------- ---------- ---------
Total from Investment Operations ........................ 3.15 3.89 0.15 0.98 --
---------- ---------- ---------- ---------- ---------
Distributions to Shareholders
Net Investment Income .............................. (0.33) (0.30) (0.28) (0.25) --
Net Realized Gain from Investments and Futures
Transactions ..................................... (0.11) (0.06) (0.11) (0.05) --
---------- ---------- ---------- ---------- ---------
Total Distributions ................................ (0.44) (0.36) (0.39) (0.30) --
---------- ---------- ---------- ---------- ---------
Net Asset Value, End of Period .......................... $ 16.68 $ 13.97 $ 10.44 $ 10.68 $ 10.00
========== ========== ========== ========== =========
Total Investment Return ................................. 22.75% 37.59% 1.40% 9.84% --
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ........... $1,218,455 $ 800,551 $ 371,216 $ 170,508 $ 9,335
Ratios to Average Net Assets:
Net Investment Income ......................... 2.20% 2.52% 2.84% 2.67% --
Expenses, including expenses of the
Equity 500 Index Portfolio .................. 0.10% 0.10% 0.10% 0.10% --
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.11% 0.13% 0.13% 0.25% --
</TABLE>
See Notes to Financial Statements on Page 8
7
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Equity 500 Index Fund
Notes to Financial Statements
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Note 1--Organization and Significant Accounting Policies
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as a business trust under
the laws of the Commonwealth of Massachusetts. The Equity 500 Index Fund (the
"Fund") is one of the funds offered to investors by the Trust. The Fund
commenced operations and began offering shares of beneficial interest on
December 31, 1992. The Fund invests substantially all of its assets in the
Equity 500 Index Portfolio (the "Portfolio"). The Portfolio is an open-end
management investment company registered under the Act. The Fund seeks to
achieve its investment objective by investing all of its investable assets in
the Portfolio. The value of such investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. At December 31, 1996,
the Fund's investment was 67.51% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
C. Dividends
It is the Fund's policy to declare and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by the Fund will be made
annually.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code and distribute its income to shareholders. Therefore, no federal income tax
provision is required. The Fund may periodically make reclassifications among
certain of its capital accounts as a result of timing and characterization of
certain income and capital gains distributions determined annually in accordance
with federal tax regulations which may differ from generally accepted accounting
principles.
E. Other
The Trust accounts separately for the assets, liabilities and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses which are attributable to the Trust are allocated among the Funds in
the Trust.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
Note 2--Fees and Transactions with Affiliates
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.05 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1996, this fee aggregated $541,924.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature, may seek reimbursement at an annual
rate not exceeding 0.20 of 1% of the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the year ended December 31, 1996, there
were no reimbursable expenses incurred under this agreement.
From January 1, 1996 to October 31, 1996, Bankers Trust has voluntarily
undertaken to waive and reimburse expenses of the Fund to the extent necessary
to limit all expenses to 0.00 of 1% of the average daily net assets of the Fund,
excluding expenses of the Portfolio and 0.10 of 1% of the average daily net
assets of the Fund, including expenses of the Portfolio.
As of November 1, 1996, Bankers Trust has voluntarily undertaken to waive and
reimburse expenses of the Fund to the extent necessary to limit all expenses to
0.02 of 1% of the average daily net assets of the Fund, excluding expenses of
the Portfolio and 0.10 of 1% of the average daily net assets of the Fund,
including expenses of the Portfolio. For the year ended December 31, 1996,
expenses of the Fund have been reduced by $658,635.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposed expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000 and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood. None of the trustees so affiliated received compensation
for services as trustees of the Fund. Similarly, none of the Fund's officers
received compensation from the Fund.
Note 3--Shares of Beneficial Interest
At December 31, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
For the year ended For the year ended
December 31, 1996 December 31, 1995
-------------------------- --------------------------
Shares Amount Shares Amount
---------- ------------- ---------- -------------
Sold ............... 31,364,322 $ 477,475,997 32,375,846 $ 412,369,528
Reinvested ......... 1,675,605 26,683,658 1,206,449 15,722,534
Redeemed ........... (17,316,172) (282,059,871) (11,827,395) (147,444,731)
Net Increase ....... 15,723,755 $ 222,099,784 21,754,900 $ 280,647,331
8
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Equity 500 Index Fund
Report of Independent Accountants
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To the Trustees and Shareholders of BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Equity 500 Index Fund (one of the Funds comprising BT Institutional Funds) as of
December 31, 1996, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the four years in
the period then ended and for the period December 31, 1992 (commencement of
operations). These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Equity 500 Index Fund of BT Institutional Funds as of December 31, 1996, the
results of its operations, the changes in its net assets and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
January 27, 1997
9
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Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
COMMON STOCKS - 93.88%
Aerospace - 2.00%
114,744 Boeing Co. ................................ $12,205,893
17,022 General Dynamics Corp. .................... 1,200,051
64,745 Lockheed Martin Corp. ..................... 5,924,168
69,576 McDonnell Douglas Corp. ................... 4,452,864
17,079 Northrop Grumman Corp. .................... 1,413,287
77,514 Raytheon Co. .............................. 3,730,361
71,924 Rockwell International Corp. .............. 4,378,374
79,512 United Technologies Corp. ................. 5,247,792
--------------
38,552,790
--------------
Airlines - 0.30%
28,102 AMR Corp. ................................. 2,476,489
26,649 Delta Air Lines, Inc. ..................... 1,888,748
45,100 Southwest Airlines Co. .................... 997,838
20,915 USAir Group, Inc. ......................... 488,888
--------------
5,851,963
--------------
Apparel, Textiles - 0.62%
16,503 Charming Shoppes, Inc. (a) ................ 83,546
77,614 Corning, Inc. ............................. 3,589,648
18,200 Fruit of the Loom, Inc. Cl. A (a) ......... 689,325
25,303 Liz Claiborne, Inc. ....................... 977,328
61,348 Nike, Inc. Cl. B .......................... 3,665,543
24,429 Reebok International Ltd. ................. 1,026,018
7,511 Russell Corp. ............................. 223,452
7,504 Spring Industries, Inc. Cl. A ............. 322,672
6,149 Stride Rite Corp. ......................... 61,490
20,415 V.F. Corp. ................................ 1,378,013
--------------
12,017,035
--------------
Auto Related - 2.20%
12,500 AutoZone, Inc. (a) ........................ 343,750
236,702 Chrysler Corp. ............................ 7,811,166
12,534 Cummins Engine, Inc. ...................... 576,564
26,574 Dana Corp. ................................ 866,977
27,782 Eaton Corp. ............................... 1,937,794
21,444 Echlin Inc. ............................... 678,167
375,964 Ford Motor Co. ............................ 11,983,852
246,284 General Motors Corp. ...................... 13,730,333
43,084 Genuine Parts Co. ......................... 1,917,238
13,490 PACCAR Inc. ............................... 917,320
24,643 Parker-Hannifin Corp. ..................... 954,916
12,748 Timken Co. ................................ 584,814
--------------
42,302,891
--------------
Banks - 6.85%
35,234 Ahmanson (H.F.) & Co. ..................... 1,145,105
141,134 Banc One Corp. ............................ 6,068,762
50,567 Bank of Boston Corp. ...................... 3,248,930
132,000 Bank of New York Company, Inc. ............ 4,455,000
116,436 BankAmerica Corp. ......................... 11,614,491
65,494 Barnett Banks, Inc. ....................... 2,693,441
52,454 Boatmen's Bancshares, Inc. ................ 3,383,283
139,052 Chase Manhattan Corp. ..................... $12,410,391
148,766 Citicorp Co. .............................. 15,322,898
39,000 Comerica Inc. ............................. 2,042,625
74,964 Corestates Financial Corp. ................ 3,888,757
37,100 Fifth Third Bancorp ....................... 2,330,344
106,536 First Chicago NBD Corp. ................... 5,726,310
92,250 First Union Corp. ......................... 6,826,500
13,717 Golden West Financial Corp. ............... 865,886
48,784 Great Western Financial Corp. ............. 1,414,736
75,400 KeyCorp ................................... 3,807,700
43,862 Mellon Bank Corp. ......................... 3,114,202
62,560 Morgan (J.P.) & Company, Inc. ............. 6,107,420
66,500 National City Corp. ....................... 2,984,187
94,326 NationsBank Corp. ......................... 9,220,366
124,208 Norwest Corp. ............................. 5,403,048
14,300 Republic New York Corp. ................... 1,167,238
67,160 Suntrust Banks, Inc. ...................... 3,307,630
53,188 U.S. Bancorp .............................. 2,390,136
49,100 Wachovia Corp. ............................ 2,774,150
30,170 Wells Fargo & Co. ......................... 8,138,357
--------------
131,851,893
--------------
Beverages - 3.57%
162,180 Anheuser-Busch Companies, Inc. ............ 6,487,200
7,519 Brown Forman, Inc. Cl. B .................. 343,994
806,922 Coca-Cola Co. ............................. 42,464,270
5,668 Coors (Adolph), Inc. Cl. B ................ 107,692
498,694 PepsiCo Inc. .............................. 14,586,800
124,337 Seagram Ltd. .............................. 4,818,059
--------------
68,808,015
--------------
Building & Construction - 0.65%
13,283 Armstrong World Industries, Inc. .......... 923,168
6,490 Centex Corp. .............................. 244,186
9,466 Crane Co. ................................. 274,514
8,706 Fleetwood Enterprises, Inc. ............... 239,415
151,151 Home Depot, Inc. .......................... 7,576,444
55,611 Masco Corp. ............................... 2,001,996
12,950 Owens Corning ............................. 551,994
23,130 Stanley Works ............................. 624,510
--------------
12,436,227
--------------
Building, Forest Products - 0.46%
19,603 Boise Cascade Corp. ....................... 622,395
33,528 Champion International Corp. .............. 1,450,086
29,801 Georgia-Pacific Corp. ..................... 2,145,672
10,377 Johnson Controls, Inc. .................... 859,994
1,845 Kaufman & Broad Home Corp. ................ 23,754
27,758 Louisiana Pacific Corp. ................... 586,388
4,501 Potlatch Corp. ............................ 193,543
62,594 Weyerhaeuser Co. .......................... 2,965,391
--------------
8,847,223
--------------
Chemicals & Toxic Waste - 2.94%
32,204 Air Products & Chemical Corp. ............. 2,226,101
See Notes to Financial Statements on Page 18
10
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Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
87,440 Amgen Inc. (a) ............................ $ 4,754,550
76,576 Dow Chemical Co. .......................... 6,001,644
178,996 Du Pont (E.I.) de Nemours & Co. ........... 16,892,747
27,481 Eastman Chemical Co. ...................... 1,518,325
9,350 FMC Corp. (a) ............................. 655,669
30,749 Grace (W.R.) & Co. ........................ 1,591,261
23,296 Great Lakes Chemical Corp. ................ 1,089,088
35,514 Hercules, Inc. ............................ 1,535,980
27,402 Mallinckrodt, Inc. ........................ 1,209,113
188,020 Monsanto Co. .............................. 7,309,277
48,606 Morton International, Inc. ................ 1,980,695
16,525 Nalco Chemical Co. ........................ 596,966
56,642 PPG Industries, Inc. ...................... 3,179,032
16,038 Raychem Corp. ............................. 1,285,045
22,259 Rohm & Haas Co. ........................... 1,816,891
18,600 Sigma-Aldrich Corp. ....................... 1,161,338
44,017 Union Carbide Corp. ....................... 1,799,195
--------------
56,602,917
--------------
Computer Services - 1.02%
56,100 3Com Corp. (a) ............................ 4,116,337
87,012 Automatic Data Processing, Inc. ........... 3,730,639
51,400 Cabletron Systems, Inc. (a) ............... 1,709,050
124,050 CUC International, Inc. (a) ............... 2,946,188
59,400 Dell Computer Corp. (a) ................... 3,155,625
75,200 EMC Corp. (a) ............................. 2,491,000
58,015 Silicon Graphics, Inc. (a) ................ 1,479,383
--------------
19,628,222
--------------
Computer Software - 3.26%
210,900 Cisco Systems, Inc. (a) ................... 13,418,512
115,350 Computer Associates International Inc. .... 5,738,663
382,300 Microsoft Corp. (a) ....................... 31,587,538
208,404 Oracle Corp. (a) .......................... 8,700,867
83,100 Seagate Technology (a) .................... 3,282,450
--------------
62,728,030
--------------
Containers - 0.25%
27,930 Avery Dennison Corp. ...................... 988,024
2,854 Ball Corp. ................................ 74,204
42,650 Crown Cork & Seal Company, Inc. ........... 2,319,094
26,249 Stone Container Corp. ..................... 390,454
19,322 Temple-Inland, Inc. ....................... 1,045,803
--------------
4,817,579
--------------
Cosmetics & Toiletries - 0.95%
1,399 Alberto-Culver Co. Cl. B .................. 67,152
45,028 Avon Products, Inc. ....................... 2,572,225
178,408 Gillette Co. .............................. 13,871,222
39,387 International Flavors & Fragrance, Inc. ... 1,772,415
--------------
18,283,014
--------------
Diversified - 1.36%
47,469 Allegheny Teledyne, Inc. .................. 1,091,787
20,702 Ceridian Corp. (a) ........................ 838,431
46,600 First Bank System, Inc. ................... $ 3,180,450
35,100 Loews Corp. ............................... 3,308,175
134,578 Minnesota Mining & Manufacturing Co. ...... 11,153,152
3,927 NACCO Industries, Inc. Cl. A .............. 210,094
40,064 Pall Corp. ................................ 1,021,632
51,715 Praxair, Inc. ............................. 2,385,354
22,420 Supervalu, Inc. ........................... 636,168
24,303 Textron, Inc. ............................. 2,290,558
--------------
26,115,801
--------------
Drugs - 5.43%
201,966 American Home Products Corp. .............. 11,840,257
163,289 Bristol Myers Squibb Co. .................. 17,757,679
178,370 Lilly (Eli) & Co. ......................... 13,021,010
385,297 Merck & Company, Inc. ..................... 30,534,787
205,104 Pfizer Inc. ............................... 16,997,994
118,558 Schering-Plough Corp. ..................... 7,676,630
89,786 Warner-Lambert Co. ........................ 6,733,950
--------------
104,562,307
--------------
Electrical Equipment - 4.26%
527,222 General Electric Co. ...................... 52,129,075
46,700 General Instrument Corp. (a) .............. 1,009,887
15,572 General Signal Corp. ...................... 665,703
15,665 Grainger (W.W.), Inc. ..................... 1,257,116
324,040 Hewlett-Packard Co. ....................... 16,283,010
39,023 ITT Corp. (New) (a) ....................... 1,692,623
39,123 ITT Hartford Group, Inc. .................. 2,640,802
39,023 ITT Industries, Inc. ...................... 956,064
53,532 Tyco International Ltd. ................... 2,830,505
129,910 Westinghouse Electric Corp. ............... 2,581,961
--------------
82,046,746
--------------
Electronics - 4.30%
46,741 Advanced Micro Devices, Inc. (a) .......... 1,203,581
88,306 AlliedSignal, Inc. ........................ 5,916,502
74,873 AMP Inc. .................................. 2,873,251
57,200 Applied Materials (a) ..................... 2,055,625
74,300 Emerson Electric Co. ...................... 7,188,525
14,371 Harris Corp. .............................. 986,210
263,014 Intel Corp. ............................... 34,438,396
43,800 LSI Logic Corp. (a) ....................... 1,171,650
65,700 Micron Technology, Inc. ................... 1,913,512
188,142 Motorola, Inc. ............................ 11,547,215
48,026 National Semiconductor Corp. (a) .......... 1,170,634
81,301 Northern Telecom Ltd. ..................... 5,030,499
12,825 Perkin-Elmer Corp. ........................ 755,072
17,638 Scientific-Atlanta, Inc. .................. 264,570
7,938 Tektronix, Inc. ........................... 406,823
59,328 Texas Instruments, Inc. ................... 3,782,160
20,800 Thomas & Betts Corp. ...................... 923,000
5,527 Trinova Corp. ............................. 201,045
14,359 Western Atlas, Inc. (a) ................... 1,017,694
--------------
82,845,964
--------------
See Notes to Financial Statements on Page 18
11
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Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Environmental Control - 0.41%
67,335 Browning-Ferris Industries, Inc. .......... $ 1,767,544
69,400 Laidlaw, Inc. Cl. B ....................... 798,100
6,726 Safety-Kleen .............................. 110,138
162,358 WMX Technologies, Inc. .................... 5,296,930
--------------
7,972,712
--------------
Financial Services - 3.75%
155,166 American Express Co. ...................... 8,766,879
19,352 Beneficial Corp. .......................... 1,226,433
52,974 Dean Witter, Discover & Co. ............... 3,509,527
59,256 Federal Home Loan Mortgage Corp. .......... 6,525,567
345,864 Federal National Mortgage Assn ............ 12,883,434
149,200 First Data Corp. .......................... 5,445,800
87,144 Fleet Financial Group, Inc. ............... 4,346,307
46,200 Green Tree Financial Corp. ................ 1,784,475
31,158 Household International, Inc. ............. 2,874,325
68,745 MBNA Corp. ................................ 2,852,918
50,938 Merrill Lynch & Co., Inc. ................. 4,151,447
45,700 Morgan Stanley Group, Inc. ................ 2,610,613
115,333 PNC Banc Corp. ............................ 4,339,404
38,233 Salomon, Inc. ............................. 1,801,730
201,912 Travelers Group, Inc. ..................... 9,161,757
--------------
72,280,616
--------------
Food Services, Lodging - 0.59%
46,319 Darden Restaurants, Inc. .................. 405,291
220,114 McDonald's Corp. .......................... 9,960,159
43,462 Wendy's International, Inc. ............... 890,971
--------------
11,256,421
--------------
Foods - 2.91%
178,802 Archer-Daniels-Midland Co. ................ 3,933,644
77,477 Campbell Soup Co. ......................... 6,217,529
73,516 ConAgra, Inc. ............................. 3,657,421
49,230 CPC International, Inc. ................... 3,815,325
48,619 General Mills, Inc. ....................... 3,081,229
123,675 Heinz, (H.J.) Co. ......................... 4,421,381
38,094 Hershey Foods Corp. ....................... 1,666,613
65,207 Kellogg Co. ............................... 4,279,209
23,500 Pioneer Hi-Bred International, Inc. ....... 1,645,000
47,484 Quaker Oats Co. ........................... 1,810,328
30,705 Ralston Purina Co. ........................ 2,252,979
150,387 Sara Lee Corp. ............................ 5,601,916
61,710 Sysco Corp. ............................... 2,013,289
52,717 Unilever N.V., ADR ........................ 9,238,654
21,827 Whitman Corp. ............................. 499,293
33,492 Wrigley (WM) Jr. Co. ...................... 1,883,925
--------------
56,017,735
--------------
Forest Products & Paper - 0.06%
16,000 Willamette Industries, Inc. ............... 1,118,000
Healthcare - 1.10%
245,022 Abbott Laboratories ....................... 12,434,866
212,322 Columbia/HCA Healthcare Corp. ............. $ 8,652,122
--------------
21,086,988
--------------
Hospital Supplies & Healthcare - 2.53%
23,601 Allergan, Inc. ............................ 840,786
31,534 Alza Corp. (a) ............................ 815,942
12,477 Bard (C.R.), Inc. ......................... 349,356
18,223 Bausch & Lomb, Inc. ....................... 637,805
92,463 Baxter International, Inc. ................ 3,790,983
42,332 Becton, Dickinson Co. ..................... 1,836,150
20,682 Beverly Enterprises (a) ................... 263,695
37,950 Biomet, Inc. .............................. 573,994
59,400 Boston Scientific Corp. (a) ............... 3,564,000
23,200 Guidant Corp. ............................. 1,322,400
54,200 Humana, Inc. (a) .......................... 1,036,575
424,396 Johnson & Johnson ......................... 21,113,701
18,360 Manor Care, Inc. .......................... 495,720
79,552 Medtronic, Inc. ........................... 5,409,536
10,274 Shared Medical Systems Corp. .............. 505,995
27,219 St. Jude Medical, Inc. (a) ................ 1,160,210
62,510 Tenet Healthcare Corp. (a) ................ 1,367,406
61,300 United Healthcare Corp. ................... 2,758,500
21,548 US Surgical Corp. ......................... 848,453
--------------
48,691,207
--------------
Hotel/Motel - 0.37%
43,200 HFS, Inc. (a) ............................. 2,581,200
80,341 Hilton Hotels Corp. ....................... 2,098,909
44,190 Marriott International, Inc. .............. 2,441,497
--------------
7,121,606
--------------
Household Furnishings - 0.17%
20,612 Maytag Corp. .............................. 407,087
47,858 Newell Co. ................................ 1,507,527
27,339 Whirlpool Corp. ........................... 1,274,681
--------------
3,189,295
--------------
Household Products - 1.65%
17,652 Clorox Co. ................................ 1,771,819
47,651 Colgate-Palmolive Co. ..................... 4,395,805
218,470 Procter & Gamble Co. ...................... 23,485,525
44,002 Rubbermaid, Inc. .......................... 1,001,046
22,196 Tupperware Corp. .......................... 1,190,261
--------------
31,844,456
--------------
Insurance - 3.18%
50,459 Aetna, Inc. ............................... 4,036,720
6,909 Alexander & Alexander Services, Inc. ...... 120,044
142,450 Allstate Corp. ............................ 8,244,294
68,654 American General Corp. .................... 2,806,232
148,767 American International Group, Inc. ........ 16,104,028
31,700 Aon Corp. ................................. 1,969,362
57,972 Chubb Corp. ............................... 3,115,995
25,833 Cigna Corp. ............................... 3,529,434
27,378 General Re Corp. .......................... 4,318,879
See Notes to Financial Statements on Page 18
12
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Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
19,477 Jefferson-Pilot Corp. ..................... $ 1,102,885
28,510 Lincoln National Corp. .................... 1,496,775
24,962 Marsh & McLennan Companies, Inc. .......... 2,596,048
14,000 MBIA, Inc. ................................ 1,417,500
19,300 MGIC Investment Corp. ..................... 1,466,800
31,598 Providian Corp. ........................... 1,623,347
43,302 SAFECO Corp. .............................. 1,707,723
30,130 St. Paul Companies, Inc. .................. 1,766,371
18,834 Torchmark Corp. ........................... 951,117
26,000 UNUM Corp. ................................ 1,878,500
30,017 USF&G Corp. ............................... 626,605
11,930 USLife Corp. .............................. 396,673
--------------
61,275,332
--------------
Leisure Related - 1.13%
29,114 American Greetings Corp. Cl. A ............ 826,110
24,842 Brunswick Corp. ........................... 596,208
215,457 Disney (Walt) Co. ......................... 15,001,194
18,939 Harcourt General, Inc. .................... 873,561
37,115 Harrah's Entertainment, Inc. (a) .......... 737,661
29,425 Hasbro, Inc. .............................. 1,143,897
5,839 Jostens, Inc. ............................. 123,349
90,965 Mattel, Inc. .............................. 2,524,279
--------------
21,826,259
--------------
Machinery - 1.32%
25,971 Black & Decker Corp. ...................... 782,376
10,182 Briggs & Stratton Corp. ................... 448,008
26,000 Case Corp. ................................ 1,417,000
64,082 Caterpillar, Inc. ......................... 4,822,171
7,847 Cincinnati Milacron, Inc. ................. 171,653
38,648 Cooper Industries, Inc. ................... 1,628,047
84,923 Deere & Co. ............................... 3,449,997
36,204 Dover Corp. ............................... 1,819,251
59,882 Dresser Industries, Inc. .................. 1,856,342
30,130 Echo Bay Mines Ltd. ....................... 199,611
15,447 Giddings & Lewis, Inc. .................... 198,880
15,322 Harnischfeger Industries, Inc. ............ 737,371
40,496 Illinois Tool Works ....................... 3,234,618
34,831 Ingersoll-Rand Co. ........................ 1,549,980
9,792 Millipore Corp. ........................... 405,144
10,958 Navistar International Corp. (a) .......... 99,992
14,394 Snap-On, Inc. ............................. 512,786
39,872 TRW, Inc. ................................. 1,973,664
--------------
25,306,891
--------------
Metals - 1.31%
66,036 Alcan Aluminium Ltd. ...................... 2,220,460
57,900 Aluminum Co. of America ................... 3,691,125
66,735 Armco, Inc. (a) ........................... 275,282
16,649 Asarco, Inc. .............................. 414,144
120,900 Barrick Gold Corp. ........................ 3,475,875
46,200 Battle Mountain Gold Co. .................. 317,625
42,349 Bethlehem Steel Corp. (a) ................. 381,141
23,594 Cyprus Amax Minerals Co. .................. 551,510
36,408 Engelhard Corp. ........................... $ 696,303
31,700 Freeport-McMoRan Copper & Gold, Inc. Cl. B 947,037
58,143 Homestake Mining Co. ...................... 828,538
52,766 Inco Ltd. ................................. 1,681,916
17,603 Inland Steel Industries, Inc. ............. 352,060
34,534 Newmont Mining Corp. ...................... 1,545,397
25,594 Nucor Corp. ............................... 1,305,294
21,408 Phelps Dodge Corp. ........................ 1,445,040
80,604 Placer Dome, Inc. ......................... 1,753,137
24,349 Reynolds Metals Co. ....................... 1,372,675
38,808 Santa Fe Pacific Gold Corp. ............... 596,673
31,677 USX-U.S. Steel Group ...................... 993,866
21,679 Worthington Industries, Inc. .............. 392,932
--------------
25,238,030
--------------
Miscellaneous - 0.10%
1 ACNielsen Corp. (a) ....................... 15
58,479 Cognizant Corp. ........................... 1,929,807
--------------
1,929,822
--------------
Office Equipment & Computers - 2.90%
43,662 Alco Standard Corp. ....................... 2,254,051
33,957 Amdahl Corp. (a) .......................... 411,729
42,342 Apple Computer, Inc. (a) .................. 883,889
19,514 Autodesk, Inc. ............................ 546,392
85,713 Compaq Computer Corp. (a) ................. 6,364,190
25,886 Computer Sciences Corp. (a) ............... 2,125,888
5,545 Data General Corp. (a) .................... 80,402
48,432 Digital Equipment Corp. (a) ............... 1,761,714
41,319 Honeywell, Inc. ........................... 2,716,724
8,246 Intergraph Corp. (a) ...................... 84,522
166,041 IBM Corp. ................................. 25,072,191
23,079 Moore Corp. Ltd. .......................... 470,235
109,692 Novell, Inc. (a) .......................... 1,038,646
47,498 Pitney Bowes, Inc. ........................ 2,588,641
120,556 Sun Microsystems, Inc. (a) ................ 3,096,782
30,060 Tandem Computers, Inc. (a) ................ 413,325
59,499 Unisys Corp. (a) .......................... 401,618
106,235 Xerox Corp. ............................... 5,590,617
--------------
55,901,556
--------------
Oil Related - 8.81%
31,493 Amerada Hess Corp. ........................ 1,822,657
157,902 Amoco Corp. ............................... 12,711,111
16,487 Ashland, Inc. ............................. 723,367
50,825 Atlantic Richfield Co. .................... 6,734,312
46,644 Baker Hughes, Inc. ........................ 1,609,218
41,000 Burlington Resources, Inc. ................ 2,065,375
213,766 Chevron Corp. ............................. 13,894,790
397,057 Exxon Corp. ............................... 38,911,586
28,581 Fluor Corp. ............................... 1,793,458
17,338 Foster Wheeler Corp. ...................... 643,673
40,690 Halliburton Co. ........................... 2,451,572
10,308 Helmerich & Payne, Inc. ................... 537,305
13,032 Kerr-McGee Corp. .......................... 938,304
See Notes to Financial Statements on Page 18
13
<PAGE>
================================================================================
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
10,262 Louisiana Land & Exploration Co. .......... $ 550,300
25,587 McDermott International, Inc. ............. 425,384
126,571 Mobil Corp. ............................... 15,473,305
49,728 Noram Energy Corp. ........................ 764,568
106,414 Occidental Petroleum Corp. ................ 2,487,427
26,079 Oryx Energy Co. (a) ....................... 645,455
17,754 Pennzoil Co. .............................. 1,003,101
79,606 Phillips Petroleum Co. .................... 3,522,566
31,100 Rowan Companies, Inc. (a) ................. 703,638
171,101 Royal Dutch Petroleum Co. ................. 29,215,496
20,069 Santa Fe Energy Resources, Inc. (a) ....... 278,457
77,481 Schlumberger Ltd. ......................... 7,738,415
29,345 Sun Co. ................................... 715,284
59,234 Tenneco, Inc. ............................. 2,672,934
86,461 Texaco, Inc. .............................. 8,483,986
79,848 Union Pacific Resources Group, Inc. ....... 2,335,554
85,137 Unocal Corp. .............................. 3,458,691
96,764 USX-Marathon Group ........................ 2,310,241
54,318 Williams Companies, Inc. .................. 2,036,925
--------------
169,658,455
--------------
Paper - 0.90%
11,831 Bemis Co. ................................. 436,268
99,044 International Paper Co. ................... 3,998,902
31,335 James River Corp. ......................... 1,037,972
90,365 Kimberly-Clark Corp. ...................... 8,607,266
20,351 Mead Corp. ................................ 1,182,902
26,203 Union Camp Corp. .......................... 1,251,193
25,760 Westvaco Corp. ............................ 740,600
--------------
17,255,103
--------------
Pharmaceuticals - 0.34%
166,832 Pharmacia & Upjohn, Inc. .................. 6,610,718
--------------
Photography & Optical - 0.48%
105,026 Eastman Kodak Co. ......................... 8,428,337
16,882 Polaroid Corp. ............................ 734,367
--------------
9,162,704
--------------
Printing & Publishing - 1.21%
31,791 Deluxe Corp. .............................. 1,041,155
53,852 Donnelley (RR) & Sons Co. ................. 1,689,606
36,872 Dow Jones & Co. ........................... 1,249,039
64,479 Dun & Bradstreet Corp. .................... 1,531,376
46,596 Gannett Co. ............................... 3,488,875
3,404 Harland (John H.) Co. ..................... 112,332
34,226 Knight-Ridder, Inc. ....................... 1,309,145
35,930 McGraw-Hill Companies, Inc. ............... 1,657,271
4,336 Meredith Corp. ............................ 228,724
25,784 New York Times Co. Cl. A .................. 979,792
178,715 Time Warner, Inc. ......................... 6,701,813
31,029 Times Mirror Co. Cl. A .................... 1,543,693
21,698 Tribune Co. ............................... 1,711,430
--------------
23,244,251
--------------
Professional Services - 0.38%
35,135 Block (H&R), Inc. ......................... $ 1,018,915
15,800 Ecolab, Inc. .............................. 594,475
8,025 EG&G, Inc. ................................ 161,503
23,007 Interpublic Group of Companies, Inc. ...... 1,092,833
18,726 National Service Industries, Inc. ......... 699,884
69,392 Service Corp International ................ 1,942,976
23,343 Transamerica Corp. ........................ 1,844,097
--------------
7,354,683
--------------
Railroads - 0.93%
47,062 Burlington Northern Santa Fe Corp. ........ 4,064,980
27,113 Conrail, Inc. ............................. 2,701,133
64,932 CSX Corp. ................................. 2,743,377
39,751 Norfolk Southern Corp. .................... 3,478,212
81,247 Union Pacific Corp. ....................... 4,884,976
--------------
17,872,678
--------------
Real Estate - 0.02%
10,666 Pulte Corp. ............................... 327,979
--------------
Retail - 3.74%
83,102 Albertson's, Inc. ......................... 2,960,509
50,018 American Stores Co. ....................... 2,044,486
29,846 Circuit City Stores, Inc. ................. 899,111
37,419 CVS Corp. ................................. 1,548,211
66,708 Dayton Hudson Corp. ....................... 2,618,289
37,197 Dillard Department Stores, Inc. Cl. A ..... 1,148,457
71,100 Federated Department Stores, Inc. (a) ..... 2,426,287
5,679 Fleming Companies, Inc. ................... 97,963
91,014 Gap, Inc. ................................. 2,741,797
17,593 Giant Food, Inc. Cl. A .................... 606,958
8,325 Great Atlantic & Pacific Tea Company, Inc. 265,359
164,403 Kmart Corp. (a) ........................... 1,705,681
44,260 Kroger Co. (a) ............................ 2,058,090
89,747 Limited, Inc. ............................. 1,649,101
5,613 Longs Drug Stores Corp. ................... 275,739
57,194 Lowe's Companies, Inc. .................... 2,030,387
85,098 May Department Stores Co. ................. 3,978,331
8,430 Mercantile Stores Co. ..................... 416,231
27,329 Nordstrom, Inc. ........................... 968,471
77,950 Penney (J.C.) Company, Inc. ............... 3,800,063
15,812 Pep-Boys-Manny Moe & Jack ................. 486,219
68,299 Price/Costco, Inc. (a) .................... 1,716,012
43,701 Rite Aid Corp. ............................ 1,737,115
122,009 Sears, Roebuck & Co. ...................... 5,627,665
23,337 Sherwin-Williams Co. ...................... 1,306,872
17,083 Tandy Corp. ............................... 751,652
25,954 TJX Companies, Inc. ....................... 1,229,571
88,818 Toys 'R' Us Inc. (a) ...................... 2,664,540
83,734 Walgreen Co. .............................. 3,349,360
730,548 Wal-Mart Stores, Inc. ..................... 16,711,286
41,680 Winn-Dixie Stores, Inc. ................... 1,318,130
37,522 Woolworth Corp. (a) ....................... 820,794
--------------
71,958,737
--------------
See Notes to Financial Statements on Page 18
14
<PAGE>
================================================================================
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1996
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Telecommunications - 3.90%
1 360 Communications Co. (a) ................ $ 23
167,735 Airtouch Communications (a) ............... 4,235,309
53,000 Alltel Corp. .............................. 1,662,875
173,952 Ameritech Corp. ........................... 10,545,840
20,184 Andrew Corp. (a) .......................... 1,071,013
59,900 Bay Networks, Inc. (a) .................... 1,250,412
95,562 Comcast Corp. Cl. A ....................... 1,702,198
38,890 DSC Communications Corp. (a) .............. 695,159
17,300 Frontier Corp. ............................ 391,413
310,336 GTE Corp. ................................. 14,120,288
9,306 King World Productions, Inc. (a) .......... 343,159
202,241 Lucent Technologies, Inc. ................. 9,353,646
225,420 MCI Communications Corp. .................. 7,368,416
144,400 NYNEX Corp. ............................... 6,949,250
1 TCI Satellite Entertainment, Inc. (a) ..... 6
178,416 Tele-Communications, Inc. Cl. A (a) ....... 2,330,559
58,100 Tellabs, Inc. (a) ......................... 2,186,013
93,749 Viacom, Inc. Cl. B (a) .................... 3,269,496
288,600 WorldCom, Inc. (a) ........................ 7,521,638
--------------
74,996,713
--------------
Tire & Rubber - 0.19%
19,051 Cooper Tire & Rubber Co. .................. 376,257
13,452 Goodrich (B.F.) ........................... 544,806
52,136 Goodyear Tire & Rubber Co. ................ 2,678,487
--------------
3,599,550
--------------
Tobacco - 1.78%
57,674 American Brands, Inc. ..................... 2,862,072
260,166 Philip Morris Companies, Inc. ............. 29,301,196
65,207 UST Corp. ................................. 2,111,077
--------------
34,274,345
--------------
Trucking, Shipping - 0.12%
6,782 Caliber System, Inc. ...................... 130,554
31,650 Federal Express (a) ....................... 1,408,425
30,417 Ryder Systems, Inc. ....................... 855,478
--------------
2,394,457
--------------
Utilities - 7.18%
56,110 American Electric Power Co. ............... 2,307,524
517,106 AT&T Corp. ................................ 22,494,111
42,125 Baltimore Gas & Electric Co. .............. 1,126,844
141,039 Bell Atlantic Corp. ....................... 9,132,275
314,132 BellSouth Corp. ........................... 12,683,080
40,628 Carolina Power & Light Co. ................ 1,482,922
74,830 Central & South West Corp. ................ 1,917,519
49,022 CINergy Corp. ............................. 1,636,109
29,566 Coastal Corp. ............................. 1,445,038
14,735 Columbia Gas System, Inc. ................. 937,514
73,136 Consolidated Edison of New York, Inc. ..... 2,139,228
34,005 Consolidated Natural Gas Co. .............. 1,878,776
51,606 Dominion Resources, Inc. .................. 1,986,831
42,976 DTE Energy Co. ............................ 1,391,348
59,087 Duke Power Co. ............................ $ 2,732,774
3,742 Eastern Enterprises ....................... 132,373
149,570 Edison International ...................... 2,972,704
85,966 Enron Corp. ............................... 3,707,284
15,824 ENSERCH Corp. ............................. 363,952
80,907 Entergy Corp. ............................. 2,245,169
60,194 FPL Group, Inc. ........................... 2,768,924
46,600 GPU, Inc. ................................. 1,566,925
93,156 Houston Industries, Inc. .................. 2,107,654
39,542 Niagara Mohawk Power Corp. (a) ............ 390,477
10,369 NICOR, Inc. ............................... 370,692
16,644 Northern States Power Co. ................. 763,543
61,984 Ohio Edison Co. ........................... 1,410,136
12,491 ONEOK, Inc. ............................... 374,730
38,300 PP&L Resources, Inc. ...................... 880,900
22,768 Pacific Enterprises ....................... 691,578
138,505 Pacific Gas & Electric Co. ................ 2,908,605
136,035 Pacific Telesis Group ..................... 4,999,286
82,789 PacifiCorp ................................ 1,697,174
51,358 PanEnergy Corp. ........................... 2,311,110
78,684 PECO Energy Co. ........................... 1,986,771
5,255 People's Energy ........................... 178,013
85,994 Public Service Enterprise Corp. ........... 2,343,336
191,262 SBC Communications, Inc. .................. 9,897,809
31,010 Sonat, Inc. ............................... 1,597,015
218,558 Southern Co. .............................. 4,944,875
115,482 Sprint Corp. .............................. 4,604,845
73,065 Texas Utilities Co. ....................... 2,977,399
162,128 US West, Inc. - Communications Group ...... 5,228,628
194,228 US West, Inc. - Media Group (a) ........... 3,593,218
74,825 Unicom Corp. .............................. 2,029,628
25,120 Union Electric Co. ........................ 967,120
--------------
138,303,766
--------------
Total Common Stocks (Cost $1,328,011,568) .............. $1,807,369,682
--------------
Principal
Amount
- ---------
SHORT TERM INVESTMENTS - 1.77%
U.S. Treasury Bills - 1.77%
$4,053,000 5.30%, 1/23/97 ....................... $ 4,041,510
1,545,000 4.98%, 3/6/97 (b) .................... 1,531,643
22,197,000 5.17%, 4/3/97 ........................ 21,913,655
6,734,000 5.12%, 4/24/97 ....................... 6,628,620
--------------
Total Short Term Investments (Cost $34,111,154) ....... $ 34,115,428
--------------
Total Investments (Cost $1,362,122,722) - 95.65% ....... $1,841,485,110
Other Assets Less Liabilities - 4.35% ......... 83,738,456
--------------
Net Assets - 100% ...................................... $1,925,223,566
==============
- ----------
(a) Non-income producing security.
(b) Held as collateral for futures contracts.
See Notes to Financial Statements on Page 18
15
<PAGE>
================================================================================
Equity 500 Index Portfolio
Statement of Assets and Liabilities December 31, 1996
- --------------------------------------------------------------------------------
Assets
Investments, at Value (Cost of $1,362,122,722) ........ $ 1,841,485,110
Cash .................................................. 1,855,461
Receivable for Securities Sold ........................ 90,070,988
Dividends and Interest Receivable ..................... 3,297,967
Prepaid Expenses and Other ............................ 8,847
---------------
Total Assets ............................................... 1,936,718,373
---------------
Liabilities
Due to Bankers Trust .................................. 118,244
Due to Equity 500 Index Fund .......................... 196,852
Payable for Securities Purchased ...................... 10,574,041
Variation Margin Payable .............................. 580,386
Accrued Expenses and Other ............................ 25,284
---------------
Total Liabilities .......................................... 11,494,807
---------------
Net Assets ................................................. $ 1,925,223,566
===============
Compositio of Net Assets
Paid-in capital ....................................... $ 1,445,978,378
Net Unrealized Appreciation on Investments ............ 479,362,388
Net Unrealized Depreciation on Futures Contracts ...... (117,200)
---------------
Net Assets, December 31, 1996 .............................. $ 1,925,223,566
===============
================================================================================
Statement of Operations For the year ended December 31, 1996
- --------------------------------------------------------------------------------
Investment Income
Dividends (net of foreign withholding tax of $209,718) .... $ 32,142,522
Interest .................................................. 2,415,557
-------------
Total Investment Income ........................................ 34,558,079
-------------
Expenses
Advisory Fees ............................................. 1,505,963
Administration and Services Fees .......................... 752,981
Professional Fees ......................................... 30,525
Trustees Fees ............................................. 9,865
Miscellaneous ............................................. 11,199
-------------
Total Expenses ............................................ 2,310,533
Less: Expenses Absorbed by Bankers Trust .................. (870,024)
-------------
Net Expenses ......................................... 1,440,509
-------------
Net Investment Income .......................................... 33,117,570
-------------
Realized and Unrealized Gain (Loss) on Investments and
Futures Contracts
Net Realized Gain from Investment Transactions ............ 15,161,968
Net Realized Gain from Futures Transactions ............... 6,251,719
Net Change in Unrealized Appreciation on Investments ...... 267,628,961
Net Change in Unrealized Depreciation on Futures Contracts (90,575)
-------------
Net Realized and Unrealized Gain on Investments and
Futures Contracts ............................................ 288,952,073
-------------
Net Increase in Net Assets from Operations ..................... $ 322,069,643
=============
See Notes to Financial Statements on Page 18
16
<PAGE>
================================================================================
Equity 500 Index Portfolio
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
year ended year ended
December 31, 1996 December 31, 1995
--------------- ---------------
<S> <C> <C>
Increase in Net Assets from:
Operations
Net Investment Income ................................................... $ 33,117,570 $ 19,425,500
Net Realized Gain from Investments and Futures Transactions ............. 21,413,687 4,687,899
Net Change in Unrealized Appreciation on Investment and Futures Contracts 267,538,386 212,725,683
--------------- ---------------
Net Increase in Net Assets from Operations ................................... 322,069,643 236,839,082
--------------- ---------------
Capital Transactions
Proceeds from Capital Invested .......................................... 854,711,041 474,637,337
Value of Capital Withdrawn .............................................. (332,293,144) (190,511,921)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions ......................... 522,417,897 284,125,416
--------------- ---------------
Total Increase in Net Assets ................................................. 844,487,540 520,964,498
Net Assets
Beginning of Year ............................................................ 1,080,736,026 559,771,528
--------------- ---------------
End of Year .................................................................. $ 1,925,223,566 $ 1,080,736,026
=============== ===============
</TABLE>
================================================================================
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
For the year ended December 31, 1992
December 31, (Commencement
1996 1995 1994 1993 of Operations)
-------------- -------------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ......... $ 1,925,224 $ 1,080,736 $ 559,772 $ 151,805 $ 9,435
Ratios to Average Net Assets:
Net Investment Income ....................... 2.20% 2.52% 2.84% 2.67% --
Expenses .................................... 0.10% 0.10% 0.10% 0.10% --
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.05% 0.05% 0.06% 0.10% --
Portfolio Turnover Rate .......................... 15% 6% 21% 31% --
Average Commission Per Share* .................... $ 0.023
</TABLE>
- ----------
* For fiscal years beginning on or after September 1, 1995, a portfolio is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Page 18
17
<PAGE>
================================================================================
Equity 500 Index Portfolio
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The Equity 500 Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11, 1991
as an unincorporated trust under the laws of New York, and commenced operations
on December 31, 1992. The Declaration of Trust permits the Board of Trustees
(the "Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on national
exchanges or traded in the NASDAQ National Market System are valued at the last
sales prices reported at the close of business each day. Over-the-counter
securities not included in the NASDAQ National Market System and listed
securities for which no sale was reported are valued at the mean of the bid and
asked prices. Short-term obligations with remaining maturities of 60 days or
less are valued at amortized cost which, with accrued interest, approximates
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 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
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in the financial futures contracts is designed to closely replicate
the benchmark index used by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Note 2--Fees and
Transactions with Affiliates The Portfolio has entered into an Administration
and Services Agreement with Bankers Trust Company ("Bankers Trust"). Under this
Administration and Services Agreement, Bankers Trust provides administrative,
custody, transfer agency and shareholder services to the Portfolio in return for
a fee computed daily and paid monthly at an annual rate of 0.05 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1996, this
fee aggregated $752,981.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.10 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1996, this
fee aggregated $1,505,963.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.08 of 1% of the
average daily net assets of the Portfolio. On November 1, 1996, Bankers Trust
agreed to reduce the expense ratio for the Equity 500 Index Portfolio from 0.10
of 1% to 0.08 of 1% of average daily net assets. This reduction changed the
annualized expense ratio to 0.096 of 1% of the average daily net assets for the
year ended December 31, 1996. For the year ended December 31, 1996, expenses of
the Portfolio have been reduced by $870,024.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, 1996, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's Distributor.
Certain trustees and officers of the Portfolio are also directors, officers and
employees of Edgewood Services, Inc., the distributor of the BT Institutional
Funds. None of the trustees so affiliated received compensation for services as
trustees of the Portfolio. Similarly, none of the Portfolio's officers received
compensation from the Portfolio.
For the year ended December 31, 1996, the Equity 500 Index Portfolio paid
brokerage commissions of $289,791.
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, 1996, were
$679,809,069 and $217,908,533, respectively. For federal income tax purposes,
the tax basis of investments held at December 31, 1996 was $1,370,096,954. The
aggregate gross unrealized appreciation was $487,540,984, and the aggregate
gross unrealized depreciation for all investments was $16,152,828 as of December
31, 1996.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at December 31, 1996
is as follows:
Market Unrealized
Type of Future Expiration Contracts Position Value Depreciation
- --------------------- ---------- --------- -------- ----------- ------------
S&P 500 Index Futures March 1997 85 Long $31,641,250 $(117,200)
At December 31, 1996, the Portfolio has segregated $1,531,643 to cover margin
requirements on open futures contracts.
18
<PAGE>
================================================================================
Equity 500 Index Portfolio
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the Equity 500 Index
Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of the Equity 500 Index Portfolio as of
December 31, 1996, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the four years in
the period then ended and for the period December 31, 1992 (commencement of
operations). These financial statements and financial highlights are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements.
Our procedures included confirmation of securities owned as of December 31,
1996, by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Equity 500 Index Portfolio as of December 31, 1996, the results of its
operations, the changes in its net assets and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
January 27, 1997
19
<PAGE>
BT INSTITUTIONAL FUNDS
Equity 500 Index Fund
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the BT
Institutional Funds may be obtained by calling or writing to DST Systems, Inc.
or Edgewood Services, Inc., the primary Servicing Agent and Distributor,
respectively, of BT Institutional Funds:
BT Institutional Funds
DST Systems, Inc.
210 West 10th St.
Kansas City, MO 64105
BT Institutional Funds
Edgewood Securities, Inc.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
You may write to the Equity 500 Index Fund
at the following address:
BT Institutional Funds
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
Cusip #055924500
STA481200
