(GRAPHIC APPEARS HERE)
Mutual Fund
Annual Report
December 31, 1999
BT Investment Equity 500 Index Fund
(GRAPHIC APPEARS HERE)
<PAGE>
BT Investment Equity 500 Index Fund
Table of Contents
Letter to Shareholders 3
BT Investment Equity 500 Index Fund
Statement of Assets and Liabilities 6
Statement of Operations 7
Statements of Changes in Net Assets 8
Financial Highlights 9
Notes to Financial Statements 10
Report of Independent Accountants 12
Tax Information 12
Equity 500 Index Portfolio
Schedule of Portfolio Investments 13
Statement of Assets and Liabilities 19
Statement of Operations 20
Statements of Changes in Net Assets 21
Financial Highlights 22
Notes to Financial Statements 23
Report of Independent Accountants 25
Proxy Results 26
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The Fund is not insured by the FDIC and is not a
deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
---------------
2
<PAGE>
BT Investment Equity 500 Index Fund
Letter to Shareholders
We are pleased to present you with this annual report for the BT Investment
Equity 500 Index Fund (the "Fund"), providing a review of the markets, the
Portfolio, and our outlook as well as a complete financial summary of the Fund's
operations and a listing of the Portfolio's holdings.
MARKET ACTIVITY
The S&P 500 Index appreciated in excess of 20% for a record 5th consecutive year
in 1999. Never before in recorded history have U.S. stocks achieved this total
return level more than twice in a row. A combination of strong domestic
economic growth and impressive corporate earnings gains-with minimal
inflation-positively influenced the market and also combined to drive equity
valuations to historically high levels despite a rising interest rate
environment. The S&P 500 Index was bolstered primarily by a technology
sector-driven rally in the fourth quarter of 1999.
Still, volatility within the U.S. equity market remained high.
o The S&P 500 Index advanced forward as 1999 began, closing above the 1,300 mark
late in the first quarter, although sell-offs in large cap technology stocks
had raised concerns early in the quarter.
o April saw not only shifts into small and mid cap stocks, but also, large cap
growth stocks underperformed their value counterparts for the first time in
nearly 11/2 years. Stronger performance in energy-related stocks, positive
earnings surprises, and a rotation into cyclicals led to these stronger
returns in value sectors long out of favor.
o By June, technology stocks had pushed large cap growth stocks back into the
lead.
o Broad market third quarter equity index returns were negative across small,
mid, and large capitalization asset classes, primarily due to weaker
performance in technology and energy stocks.
o Although large cap stock performance soared at the end of the fourth quarter,
the Russell 2000 Index, which measures small cap equities, outperformed the
S&P 500 Index on an annual basis for the first time in five years, as
investors sought the lower valuations of small cap growth stocks.
As has been the case for the past several years, large-capitalization
growth-oriented stocks outperformed their value counterparts for the twelve
months, led in 1999 by the technology sector. Other stronger performing sectors
for the year included capital goods and basic materials. Weaker performing
sectors
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
Periods ended Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
December 31, 1999 year years years inception year years years inception
<S><C>
BT Investment Equity
500 Index Fund
(inception 12/31/92)(2) 20.59% 106.26% 247.45% 284.93% 20.59% 27.29% 28.29% 21.24%
S&P 500 Index(3) 21.04% 107.56% 251.12% 291.61% 21.04% 27.56% 28.56% 21.53%
Lipper S&P 500
Index Average(4) 20.22% 104.54% 243.03% 280.44% 20.22% 26.94% 27.96% 21.03%
</TABLE>
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(1) Morningstar proprietary ratings reflect historical risk-adjusted performance
as of December 31, 1999. They are subject to change every month. Past
performance is no guarantee of future results. Ratings are calculated from
the Fund's 3-, 5-, and 10-year (if applicable) average annual total return
in excess of 90-day Treasury-bill returns with appropriate fee adjustments,
and a risk factor that reflects fund performance below 90-day T-bill
returns. The Fund received four stars for the three year period and five
stars for the five year period and was rated among 3,469 and 2,180 domestic
equity funds, respectively. The top 10% of funds in a rating universe
receive 5 stars and the next 22.5% receive 4 stars.
(2) Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
(3) The S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index.
(4) Lipper figures represent the average of the total returns, reported by all
of the mutual funds designated by Lipper, Inc. as falling into the
respective categories indicated. These figures do not reflect sales charges.
3
<PAGE>
BT Investment Equity 500 Index Fund
Letter to Shareholders
included health care, utilities, and transportation. Top stocks in the S&P 500
Index in 1999 included Qualcomm Inc., Sprint Corp (PCS), and Nextel
Communications Inc.-A. Weaker performers included McKesson HBOC, Rite Aid Corp.,
and Service Corp. International. Interestingly, more stocks in the S&P 500 Index
actually declined in value in 1999 rather than appreciated, rendering
performance in the U.S. stock market very narrow indeed. There were 41 changes
to the Index for the twelve month period, due primarily to mergers and
acquisitions. Comparatively, this represents fewer additions and deletions to
the Index than a year ago.
TEN LARGEST STOCK HOLDINGS
(percentages are based on market value)
Microsoft Corp. 4.77%
General Electric Co. 4.03
Cisco Systems, Inc. 2.76
Wal-Mart Stores, Inc. 2.42
Exxon Mobil Corp. 2.19
Intel Corp. 2.16
Lucent Technologies, Inc. 1.87
International Business Machines Corp. 1.53
Citigroup 1.47
America Online, Inc. 1.34
INVESTMENT REVIEW
The Fund earned a five-star rating from Morningstar based on its overall
performance as of December 31, 1999 out of 3,469 domestic equity funds.(1)
MANAGER OUTLOOK
Looking ahead for the near term, we believe the U.S. economy still has
substantial momentum, and the financial fundamentals for both households and
businesses remain strong. We anticipate GDP growth of about 4% through the
first half of the year 2000. While inflation has remained benign primarily
because growth in labor compensation has failed to outstrip productivity growth
despite drum-tight labor markets, inflation risks remain tilted to the upside,
as labor markets continue to tighten and as overseas growth continues to gather
steam. Thus, the Federal Reserve Board could, in our view, continue to nudge
interest rates higher through mid-2000, as it seeks to slow real economic growth
to a more sustainable pace.
Since the economy's ability to grow quickly and generate strong profits without
inflation has been the driving force behind the bull market of recent years,
what our outlook means is that economic fundamentals may be comparatively less
supportive of equities in the next year or so. However, even with a gradual
slowdown in economic growth, a modest pickup in inflation, and pressure on
profit margins from rising labor costs and higher interest rates, we do not see
a sharp correction in equities, because we expect a reasonably "soft landing"
for the economy. We also believe the economy will likely retain many of its
structural improvements, such as faster productivity growth and less volatile
economic cycles. The major risk to the equity markets, in our view, is if the
economy really overheats, provoking aggressive Fed tightening and imperiling the
economic expansion the
PORTFOLIO DIVERSIFICATION
By Sectors as of December 31, 1999 (percentages are based on market value)
Technology 28%
Financial 16
Healthcare 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
4
<PAGE>
BT Investment Equity 500 Index Fund
Letter to Shareholders
U.S. has enjoyed for nearly nine years.
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 Investment Equity 500
Index Fund, and we look forward to continuing to serve your investment needs for
many years to come.
/s/ James Creighton
James Creighton
Portfolio Manager of the Equity 500 Index Portfolio
December 31, 1999
Performance Comparison
BT INVESTMENT EQUITY 500 INDEX FUND AND THE S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE DECEMBER 31, 1992)
(GRAPHIC APPEARS HERE)
BT INVESTMENT EQUITY
500 INDEX FUND - $38,493 S&P 500 INDEX - $39,161
12/92 10,000 10,000
6/93 10,465 10,487
12/93 10,953 11,008
6/94 10,581 10,635
12/94 11,079 11,153
6/95 13,307 13,408
12/95 15,194 15,344
6/96 16,702 16,894
12/96 18,662 18,867
6/97 22,483 22,757
12/97 24,825 25,162
6/98 29,187 29,619
12/98 31,920 32,353
6/99 35,784 36,363
12/99 38,493 39,161
Total Return
One year 20.59%, Five years 28.29%(2), Since December 31, 1992(1) 21.24%(2).
- ----------
(1) The Fund's inception date.
(2) Annualized.
Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost. The S&P 500 Index is unmanaged and
investments may not be made in an index. Performance figures assume the
reinvestment of dividends and capital gain distributions.
5
<PAGE>
BT Investment Equity 500 Index Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of
December 31, 1999
<S><C>
Assets
Investment in Equity 500 Index Portfolio, at Value $ 1,037,967,936
Receivable for Shares of Beneficial Interest Subscribed 621,126
Prepaid Expenses and Other 12,798
---------------
Total Assets 1,038,601,860
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Liabilities
Due to Bankers Trust 40,493
Payable for Shares ofBeneficial Interest Redeemed 2,161,601
Accrued Expenses 45,905
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Total Liabilities 2,247,999
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Net Assets $ 1,036,353,861
===============
Composition of Net Assets
Paid-in Capital $ 437,915,816
Undistributed Net Investment Income 237,938
Accumulated Net Realized Gain from Investment and Futures Transactions 1,724,053
Net Unrealized Appreciation on Investment and Futures Contracts 596,476,054
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Net Assets $ 1,036,353,861
===============
Shares Outstanding ($0.001 par value per share, unlimited number of shares
of beneficial interest authorized) 5,648,183
===============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) $ 183.48
===============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
BT Investment Equity 500 Index Fund
Statement of Operations
<TABLE>
<CAPTION>
For the year ended
December 31, 1999
<S><C>
Investment Income
Income allocated from Equity 500 Index Portfolio, net $ 12,654,736
---------------
Expenses
Administration and Services Fees 2,795,831
Registration Fees 50,033
Printing and Shareholder Reports 31,174
Professional Fees 22,007
Trustees Fees 8,926
Miscellaneous 10,225
---------------
Total Expenses 2,918,196
Less: Fee Waivers or Expense Reimbursements (1,333,892)
---------------
Net Expenses 1,584,304
---------------
Net Investment Income 11,070,432
---------------
Realized and Unrealized Gain (Loss) on Investment and Futures Contracts
Net Realized Loss from Investment Transactions (6,544,449)
Net Realized Gain from Futures Transactions 2,416,939
Net Change in Unrealized Appreciation/Depreciation on Investment and
Futures Contracts 174,628,459
---------------
Net Realized and Unrealized Gain on Investment and Futures Contracts 170,500,949
---------------
Net Increase in Net Assets from Operations $ 181,571,381
===============
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
BT Investment Equity 500 Index Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the years ended December 31,
1999 1998
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 11,070,432 $ 10,048,597
Net Realized Gain (Loss) from Investment and
Futures Transactions (4,127,510) 6,862,712
Net Change in Unrealized Appreciation/Depreciation
on Investment and Futures Contracts 174,628,459 170,190,120
-------------- -------------
Net Increase in Net Assets from Operations 181,571,381 187,101,429
-------------- -------------
Distributions to Shareholders
Net Investment Income (10,850,387) (10,030,704)
Net Realized Gain from Investment and Futures
Transactions - (13,665,872)
In Excess of Net Realized Gain (13,032,052) -
-------------- -------------
Total Distributions (23,882,439) (23,696,576)
-------------- -------------
Capital Transactions in Shares of Beneficial Interest
Proceeds from Sales of Shares 493,420,031 378,868,580
Dividend Reinvestments 22,345,470 22,166,448
Cost of Shares Redeemed (497,684,759) (341,257,026)
-------------- -------------
Net Increase from Capital Transactions in Shares of
Beneficial Interest 18,080,742 59,778,002
-------------- -------------
Total Increase in Net Assets 175,769,684 223,182,855
Net Assets
Beginning of Year 860,584,177 637,401,322
-------------- -------------
End of Year (including undistributed net investment
income of $237,938 and $197,534 for the years
ended December 31, 1999 and 1998, respectively) $1,036,353,861 $ 860,584,177
============== =============
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
BT Investment Equity 500 Index Fund
Financial Highlights
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years indicated for the BT Investment Equity 500 Index Fund
<TABLE>
<CAPTION>
For the years ended December 31,
1999 1998 1997 1996 1995
<S><C>
Per Share Operating Performance(1)
Net Asset Value, Beginning of Year $155.96 $124.95 $ 99.06 $ 82.92 $ 62.16
------- ------- ------- -------- --------
Income from Investment Operations
Net Investment Income 1.98 1.84 1.81 1.80 1.74
Net Realized and Unrealized Gain on
Investment and Futures Transactions 29.81 33.55 30.59 16.98 21.18
------- ------- ------- -------- --------
Total from Investment Operations 31.79 35.39 32.40 18.78 22.92
------- ------- ------- -------- --------
Distributions to Shareholders
Net Investment Income (1.94) (1.84) (1.78) (1.80) (1.74)
Net Realized Gain from Investment
and Futures Transactions - (2.54) (4.73) (0.84) (0.42)
In Excess of Net Realized Gain (2.33) - - - -
------- ------- ------- -------- --------
Total Distributions (4.27) (4.38) (6.51) (2.64) (2.16)
------- ------- ------- -------- --------
Net Asset Value, End of Year $183.48 $155.96 $124.95 $ 99.06 $ 82.92
======= ======= ======= ======== ========
Total Investment Return 20.59% 28.57% 33.02% 22.83% 37.15%
Supplemental Data and Ratios:
Net Assets, End of Year
(000s omitted) $1,036,354 $860,584 $637,401 $451,762 $277,140
Ratios to Average Net Assets:
Net Investment Income 1.18% 1.33% 1.59% 2.05% 2.38%
Expenses After Waivers, Including
Expenses of the Equity 500
Index Portfolio 0.25% 0.25%(2) 0.25% 0.25% 0.25%
Expenses Before Waivers, Including
Expenses of the Equity 500
Index Portfolio 0.39% 0.43% 0.46% 0.47% 0.48%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or
Expense Reimbursements 0.14% 0.18% 0.21% 0.22% 0.23%
</TABLE>
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(1) Per share amounts for the years ended December 31, 1995 through December 31,
1997 have been restated to reflect a 1:6 reverse stock split effective
September 4, 1997.
(2) 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%.
See Notes to Financial Statements.
9
<PAGE>
BT Investment Equity 500 Index Fund
Notes to Financial Statements
Note 1-Organization and Significant
Accounting Policies
A. Organization
BT Pyramid Mutual 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 February 28, 1992, as a business trust under
the laws of the Commonwealth of Massachusetts. The BT Investment Equity 500
Index Fund (the "Fund") is one of the funds offered to investors by the Trust.
The Fund began operations and offering shares of beneficial interest on December
31, 1992. The Fund seeks to achieve its investment objective by investing all of
its investable assets in the Equity 500 Index Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the Act.
The value of the Fund's investment in the Portfolio reflects its proportionate
interest in the net assets of the Portfolio. At December 31, 1999, the Fund's
investment was 13% of the Portfolio.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. Valuation
Valuation of securities by the Portfolio is discussed in note 1B of the
Portfolio's Notes to Financial Statements, which are included elsewhere in this
report.
C. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
D. Distributions
It is the Fund's policy to declare and distribute dividends 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 are made
annually to the extent they exceed capital loss carryforwards.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code 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 differences in the
characterization and allocation of certain income and capital gains
distributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles.
F. Other
The Trust accounts separately for the assets, liabilities and operations of each
of its funds. Expenses directly attributable to a fund are charged to that fund,
while expenses that are attributable to the Trust are allocated among the funds
in the Trust. Investment transactions are accounted for on a trade date basis.
Realized gains and losses are determined on the basis of identified cost.
G. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2-Fees and Transactions with
Affiliates
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of Deutsche
Bank AG. Under this agreement, Bankers Trust provides administrative, custody,
transfer agency and shareholder services to the Fund in return for a fee
computed daily and paid monthly at an annual rate of .30% of the Fund's average
daily net assets.
Bankers Trust has contractually agreed to waive its fees through April 30, 2000
and reimburse expenses of the Fund to the extent necessary to limit all expenses
to .17% of the average daily net assets of the Fund, excluding expenses of the
Portfolio and .25% of the average daily net assets of the Fund, including
expenses of the Portfolio.
ICC Distributors, Inc. provides distribution services to the Fund.
10
<PAGE>
BT Investment Equity 500 Index Fund
Notes to Financial Statements
Note 3-Shares of Beneficial Interest
At December 31, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
For the Year Ended For the Year Ended
December 31, 1999 December 31, 1998
--------------------------- ----------------------------
Shares Amount Shares Amount
------- ------- ------- -------
Sold 2,934,317 $ 493,420,031 2,726,106 $ 379,168,795
Reinvested 130,781 22,345,470 150,631 22,166,448
Redeemed (2,934,794) (497,684,759) (2,459,984) (341,557,241)
---------- ------------- ----------- -------------
Net Increase 130,304 $ 18,080,742 416,753 $ 59,778,002
========== ============= =========== =============
Note 4-Fund Name Change
On April 30, 2000, the Fund will change its name from BT Investment Equity 500
Index Fund to Equity 500 Index Fund.
11
<PAGE>
BT Investment Equity 500 Index Fund
Report of Independent Accountants
To the Trustees of BT Pyramid Mutual Funds and
Shareholders of BT Investment Equity 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
BT Investment Equity 500 Index Fund (one of the funds comprising the BT Pyramid
Mutual Funds, hereafter referred to as the "Fund") at December 31, 1999, and the
results of its operations, the changes in its net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
accounting principles generally accepted in the United States. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1999 by correspondence with the transfer agent, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
Tax Information (Unaudited) For the Tax Year Ended December 31, 1999
We are providing this information as required by the Internal Revenue Code. The
amounts may differ from those elsewhere in this report because of differences
between tax and financial reporting requirements.
The Fund's distributions to shareholders included $9,061,765 from long-term
capital gains, all of which is taxable at the 20% capital gains rate.
Of the ordinary distributions made during the fiscal year ended December 31,
1999, 73.53% qualifies for the dividends received deduction available to
corporate shareholders.
Of the ordinary distributions made during the fiscal year ended December
31,1999, 0.50% has been derived from investments in U.S. Government and Agency
Obligations. All or a portion of the distributions from this income may be
exempt from taxation at the state level. Consult your tax advisor for state
specific information.
12
<PAGE>
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
COMMON STOCK - 97.4%
223,300 3Com Corp.(1) $ 10,495,100
994,844 Abbott Laboratories 36,125,273
66,100 Adaptec, Inc.(1) 3,296,737
85,700 ADC Telecommunications,
Inc.(1) 6,218,606
76,200 Adobe Systems, Inc. 5,124,450
22,868 Adolph Coors Co. - Class B 1,200,570
113,241 Advanced Micro Devices, Inc. 3,276,911
134,700 AES Corp.(1) 10,068,825
90,059 Aetna, Inc. 5,026,418
166,300 Aflac, Inc. 7,847,281
144,608 Air Products and Chemicals,
Inc. 4,853,406
17,998 Alberto-Culver Co. - Class B 464,573
286,623 Albertson's, Inc. 9,243,592
136,636 Alcan Aluminium Ltd. 5,627,695
237,100 Alcoa, Inc. 19,679,300
63,297 Allegheny Technologies 1,420,226
88,402 Allergan, Inc. 4,397,999
110,600 Allied Waste Industries, Inc.(1) 974,662
555,598 Allstate Corp. 13,334,352
203,100 Alltel Corp. 16,793,831
62,634 ALZA Corp.(1) 2,168,702
61,093 Amerada Hess Corp. 3,467,028
82,720 Ameren Corp. 2,709,080
1,450,000 America Online, Inc.(1) 109,384,375
129,910 American Electric Power Co. 4,173,359
295,616 American Express Co. 49,146,160
158,537 American General Corp. 12,028,995
56,014 American Greetings Corp. -
Class A 1,323,331
839,092 American Home Products
Corp. 33,091,691
994,881 American International Group,
Inc. 107,571,508
661,560 Amgen, Inc.(1) 39,734,947
97,004 AMR Corp.(1) 6,499,268
228,550 Amsouth Bancorporation 4,413,872
92,300 Anadarko Petroleum Corp. 3,149,737
119,600 Analog Devices, Inc.(1) 11,122,800
50,276 Andrew Corp.(1) 952,102
302,180 Anheuser Busch Cos., Inc. 21,417,007
154,375 AON Corp. 6,175,000
73,700 Apache Corp. 2,722,294
110,342 Apple Computer, Inc.(1) 11,344,537
237,200 Applied Materials, Inc.(1) 30,050,275
393,659 Archer-Daniels-Midland Co. 4,797,719
26,183 Armstrong World Industries, Inc. 873,858
32,287 Ashland, Inc. 1,063,453
474,522 Associates First Capital Corp. -
Class A 13,019,697
Shares Description Value
------ ----------- -----
2,053,306 AT&T Corp. $ 104,205,279
204,550 Atlantic Richfield Co. 17,693,575
43,114 Autodesk, Inc. 1,455,097
412,824 Automatic Data Processing,
Inc. 22,240,893
94,500 Autozone, Inc.(1) 3,053,531
72,830 Avery Dennison Corp. 5,307,486
167,556 Avon Products, Inc. 5,529,348
237,813 Baker Hughes, Inc. 5,008,936
18,354 Ball Corp. 722,689
1,113,739 Bank of America Corp. 55,895,776
481,200 Bank of New York Co., Inc. 19,248,000
736,948 Bank One Corp. 23,628,395
269,400 Barrick Gold Corp. 4,765,012
40,823 Bausch & Lomb, Inc. 2,793,824
184,263 Baxter International, Inc. 11,574,020
173,000 BB&T Corp. 4,735,875
86,199 Bear Stearns Companies, Inc. 3,685,007
161,464 Becton, Dickinson & Co. 4,319,162
104,500 Bed, Bath & Beyond, Inc.(1) 3,631,375
997,780 Bell Atlantic Corp. 61,425,831
1,208,664 BellSouth Corp. 56,580,583
24,831 Bemis Co., Inc. 865,981
132,400 Best Buy, Inc.(1) 6,644,825
182,660 Bestfoods 9,601,066
87,049 Bethlehem Steel Corp.(1) 729,035
70,550 Biomet, Inc. 2,822,000
56,271 Black & Decker Corp. 2,940,160
149,000 BMC Software, Inc.(1) 11,910,687
607,246 Boeing Co. 25,238,662
37,503 Boise Cascade Corp. 1,518,871
245,100 Boston Scientific Corp.(1) 5,361,562
15,282 Briggs & Stratton Corp. 819,497
1,294,056 Bristol-Myers Squibb Co. 83,062,219
29,319 Brown-Forman Corp. - Class B 1,678,513
57,542 Brunswick Corp. 1,280,309
310,336 Burlington Northern Santa
Fe Corp. 7,525,648
123,439 Burlington Resources, Inc. 4,081,202
53,677 C.R. Bard, Inc. 2,844,881
116,000 Cabletron Systems, Inc.(1) 3,016,000
268,154 Campbell Soup Co. 10,374,208
123,300 Capital One Financial Corp. 5,941,519
166,197 Cardinal Health, Inc. 7,956,681
396,400 Carnival Corp. - Class A 18,952,875
75,928 Carolina Power & Light Co. 2,311,058
230,064 Caterpillar, Inc. 10,827,387
491,503 CBS Corp.(1) 31,425,473
475,610 Cendant Corp.(1) 12,633,391
37,280 Centex Corp. 920,350
133,630 Central & South West Corp. 2,672,600
See Notes to Financial Statements.
13
<PAGE>
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
92,900 Centurytel, Inc. $ 4,401,137
86,104 Ceridian Corp.(1) 1,856,617
65,728 Champion International Corp. 4,071,028
519,500 Charles Schwab Corp. 19,935,812
541,264 Chase Manhattan Corp. 42,049,447
412,666 Chevron Corp. 35,747,192
111,172 Chubb Corp. 6,260,373
120,299 CIGNA Corp. 9,691,588
94,500 Cincinnati Financial Corp. 2,947,219
106,322 Cinergy Corp. 2,565,018
136,692 Circuit City Stores, Inc. 6,159,683
2,105,950 Cisco Systems, Inc.(1) 225,599,894
2,166,624 Citigroup 120,383,046
57,700 Citrix Systems, Inc(1) 7,097,100
202,500 Clear Channel
Communications, Inc.(1) 18,073,125
152,008 Clorox Co. 7,657,403
72,600 CMS Energy 2,264,212
146,132 Coastal Corp. 5,178,553
1,590,442 Coca-Cola Co. 92,643,246
258,400 Coca-Cola Enterprises, Inc. 5,200,300
367,004 Colgate-Palmolive Co. 23,855,260
65,002 Columbia Energy Group 4,111,376
359,922 Columbia/HCA Healthcare Corp. 10,550,214
486,424 Comcast Corp. - Special
Class A 24,442,806
98,660 Comerica, Inc. 4,606,189
1,105,184 Compaq Computer Corp. 29,909,042
349,875 Computer Associates
International, Inc. 24,469,383
100,372 Computer Sciences Corp.(1) 9,497,700
233,000 Compuware Corp.(1) 8,679,250
45,800 Comverse Technology(1) 6,629,550
301,932 ConAgra, Inc. 6,812,341
433,351 Conoco, Inc. - Class B 10,779,606
222,768 Conseco, Inc. 3,981,978
146,436 Consolidated Edison, Inc. 5,052,042
60,005 Consolidated Natural Gas Co. 3,896,575
69,000 Consolidated Stores Corp.(1) 1,121,250
86,825 Constellation Energy Group,
Inc. 2,517,925
59,848 Cooper Industries, Inc. 2,420,103
52,751 Cooper Tire & Rubber Co. 820,937
159,814 Corning, Inc. 20,606,018
143,499 Costco Wholesale Corporation(1) 13,094,284
73,200 Countrywide Credit Industries,
Inc. 1,848,300
42,349 Crane Co. 841,686
105,850 Crown Cork & Seal Co., Inc. 2,368,394
151,732 CSX Corp. 4,760,591
19,834 Cummins Engine Co., Inc. 958,230
Shares Description Value
------ ----------- -----
243,088 CVS Corp. $ 9,708,327
104,847 Dana Corp. 3,138,857
92,600 Danaher Corp. 4,467,950
86,319 Darden Restaurants, Inc. 1,564,532
287,516 Dayton Hudson Corp. 21,114,456
150,523 Deere & Co. 6,528,935
1,632,700 Dell Computer Corp.(1) 83,267,700
357,037 Delphi Automotive Systems 5,623,333
88,798 Delta Air Lines, Inc. 4,423,250
50,391 Deluxe Corp. 1,382,603
63,597 Dillard Department Stores, Inc. -
Class A 1,283,864
148,006 Dollar General Corp. 3,367,136
131,406 Dominion Resources, Inc. 5,157,685
130,808 Dover Corp. 5,935,413
140,876 Dow Chemical Co. 18,824,555
47,072 Dow Jones & Co., Inc. 3,200,896
102,576 DTE Energy Co. 3,218,322
242,195 Duke Power Co. 12,140,024
103,579 Dun & Bradstreet Corp. 3,055,580
671,710 Du Pont (E.I.) de Nemours & Co. 44,248,896
15,342 Eastern Enterprises 881,206
61,381 Eastman Chemical Co. 2,927,106
204,126 Eastman Kodak Co. 13,523,347
51,182 Eaton Corp. 3,717,093
72,200 Ecolab, Inc. 2,824,825
223,070 Edison International, Inc. 5,841,646
304,600 Electronic Data Systems Corp. 20,389,162
705,640 Eli Lilly & Co. 46,925,060
182,310 El Paso Energy Corp. 7,075,907
659,025 EMC Corp.(1) 71,998,481
288,300 Emerson Electric Co. 16,541,212
82,408 Engelhard Corp. 1,555,451
454,632 Enron Corp. 20,174,295
154,907 Entergy Corp. 3,988,855
88,800 Equifax, Inc. 2,092,350
2,219,195 Exxon Mobil Corp. 178,783,897
662,814 Fannie Mae 41,384,449
193,210 FDX Corp.(1) 7,909,534
138,000 Federated Department Stores,
Inc.(1) 6,977,625
209,567 Fifth Third Bancorp 15,376,979
666,181 Firstar Corp. 14,073,074
277,600 First Data Corp. 13,689,150
148,984 FirstEnergy Corp. 3,380,074
611,585 First Union Corp. 20,067,633
595,303 Fleet Boston Financial Corp. 20,723,986
21,906 Fleetwood Enterprises, Inc. 451,811
61,300 Florida Progress Corp. 2,593,756
47,881 Fluor Corp. 2,196,541
20,350 FMC Corp.(1) 1,166,309
See Notes to Financial Statements.
14
<PAGE>
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
791,244 Ford Motor Co. $ 42,282,101
141,885 Fort James Corp. 3,884,102
109,074 Fortune Brands, Inc. 3,606,259
30,038 Foster Wheeler Corp. 266,587
128,794 FPL Group, Inc. 5,513,993
168,320 Franklin Resources, Inc. 5,396,760
449,814 Freddie Mac 21,169,371
77,900 Freeport-McMoRan Copper &
Gold, Inc. - Class B(1) 1,645,637
176,592 Gannett Company, Inc. 14,403,285
558,134 Gap, Inc. 25,674,164
197,200 Gateway, Inc.(1) 14,210,725
125,844 General Dynamics Corp. 6,638,271
2,126,144 General Electric Co. 329,020,784
111,800 General Instrument Corp.(1) 9,503,000
198,338 General Mills, Inc. 7,090,583
410,234 General Motors Corp. 29,818,884
112,626 Genuine Parts Co. 2,794,533
110,302 Georgia-Pacific Corp. 5,597,826
702,016 Gillette Co. 28,914,284
491,079 Global Crossing Ltd.(1) 24,553,950
109,551 Golden West Financial Corp. 3,669,958
46,652 Goodrich (B.F.) Co. 1,282,930
98,536 Goodyear Tire & Rubber Co. 2,777,483
63,000 GPU, Inc. 1,886,062
24,025 Great Atlantic & Pacific Tea
Co., Inc. 669,697
36,996 Great Lakes Chemical Corp. 1,412,785
635,636 GTE Corp. 44,852,065
197,500 Guidant Corp.(1) 9,282,500
68,135 H & R Block, Inc. 2,980,906
253,725 H.J. Heinz Co. 10,101,427
278,362 Halliburton Company 11,204,071
55,639 Harcourt General, Inc. 2,239,470
71,215 Harrah's Entertainment, Inc.(1) 1,882,747
143,246 Hartford Financial Services
Group, Inc. 6,786,279
138,970 Hasbro, Inc. 2,649,116
322,800 HEALTHSOUTH Corp.(1) 1,735,050
68,914 Hercules, Inc. 1,920,978
80,094 Hershey Foods Corp. 3,804,465
654,740 Hewlett-Packard Co. 74,599,439
162,841 Hilton Hotels Corp. 1,567,345
1,479,378 Home Depot, Inc. 101,429,854
146,043 Homestake Mining Co. 1,140,961
513,285 Honeywell International, Inc. 29,610,128
308,485 Household International, Inc. 11,491,066
102,700 Humana, Inc.(1) 840,856
145,277 Huntington Bancshares, Inc. 3,468,488
17,588 Huttig Building Prods.(1) 86,844
79,362 Ikon Office Solutions, Inc. 540,654
Shares Description Value
------ ----------- -----
192,892 Illinois Tool Works, Inc. $ 13,032,266
197,858 IMS Health, Inc. 5,379,264
108,366 Inco, Ltd. 2,546,601
104,846 Ingersoll-Rand Co. 5,773,083
2,146,856 Intel Corp. 176,713,085
1,158,364 International Business
Machines Corp. 125,103,312
63,787 International Flavors &
Fragrances, Inc. 2,407,959
287,874 International Paper Co. 16,246,889
163,020 Interpublic Group of
Companies, Inc. 9,404,216
58,123 ITT Industries 1,943,488
165,750 J.C. Penney Co., Inc. 3,304,641
66,465 Jefferson-Pilot Corp. 4,536,236
900,196 Johnson & Johnson 83,830,753
46,054 Johnson Controls, Inc. 2,619,321
7,639 Jostens, Inc. 185,723
68,800 Kansas City Southern Inds. 5,134,200
28,445 Kaufman & Broad Home Corp. 688,013
261,314 Kellogg Co. 8,051,738
60,531 Kerr-McGee Corp. 3,752,922
287,400 KeyCorp. 6,358,725
349,806 Kimberly Clark Corp. 22,824,842
60,300 KLA/Tencor Corp.(1) 6,715,913
308,503 Kmart Corp.(1) 3,104,311
57,526 Knight-Ridder, Inc. 3,422,797
108,100 Kohls Corp.(1) 7,803,469
570,940 Kroger Co.(1) 10,776,493
125,100 Leggett & Platt, Inc. 2,681,831
77,900 Lehman Brothers, Inc. 6,597,156
84,300 Lexmark International Group,
Inc. - Class A(1) 7,629,150
130,741 Limited, Inc. 5,662,720
136,920 Lincoln National Corp. 5,476,800
56,103 Liz Claiborne, Inc. 2,110,875
246,010 Lockheed Martin Corp. 5,381,469
61,900 Loews Corp. 3,756,556
24,326 Longs Drug Stores, Inc. 627,915
73,258 Louisiana-Pacific Corp. 1,043,927
247,888 Lowe's Companies, Inc. 14,811,308
95,600 LSI Logic Corp.(1) 6,453,000
2,041,521 Lucent Technologies, Inc. 152,731,290
48,602 Mallinckrodt Group, Inc. 1,546,151
67,400 Manor Care(1) 1,078,400
152,180 Marriott International 4,803,181
171,386 Marsh and McLennan 16,399,498
283,322 Masco Corp. 7,189,296
261,265 Mattel, Inc. 3,429,103
211,647 May Department Stores Co. 6,825,616
57,512 Maytag Corp. 2,760,576
See Notes to Financial Statements.
15
<PAGE>
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
62,300 MBIA, Inc. $ 3,290,219
518,837 MBNA Corp. 14,138,308
43,087 McDermott International, Inc. 390,476
876,228 McDonald's Corp. 35,322,941
126,860 McGraw-Hill, Inc. 7,817,748
1,843,369 MCI WorldCom, Inc.(1) 97,813,794
182,073 McKesson HBOC, Inc. 4,108,022
64,402 Mead Corp. 2,797,462
396,028 MediaOne Group(1) 30,419,901
768,008 Medtronic, Inc. 27,984,292
366,548 Mellon Financial Corp. 12,485,541
1,501,994 Merck & Co., Inc. 100,727,473
39,872 Meredith Corp. 1,662,164
230,076 Merrill Lynch & Co., Inc. 19,211,346
73,600 MGIC Investment Corp. 4,429,800
169,300 Micron Technology, Inc.(1) 13,163,075
3,339,000 Microsoft Corp.(1) 389,828,250
19,047 Milacron, Inc. 292,848
27,892 Millipore Corp. 1,077,329
254,378 Minnesota Mining &
Manufacturing Co. 24,897,247
154,900 Mirage Resorts, Inc.(1) 2,371,906
96,000 Molex, Inc. 5,442,000
411,920 Monsanto Co. 14,674,650
360,433 Morgan Stanley Dean Witter
Discover & Co. 51,451,811
112,060 Morgan, (J.P.) & Co., Inc. 14,189,598
400,342 Motorola, Inc. 58,950,360
206,300 Nabisco Group Holdings 2,191,938
3,727 NACCO Industries, Inc. -
Class A 207,081
411,800 National City Corp. 9,754,513
110,226 National Semiconductor Corp. 4,719,051
31,126 National Service Industries, Inc. 918,217
41,758 Navistar International Corp.(1) 1,978,285
95,900 Network Appliance, Inc.(1) 7,965,694
69,400 New Century Energies, Inc. 2,108,025
113,268 New York Times Co. - Class A 5,564,291
178,996 Newell Rubbermaid, Inc. 5,190,884
116,210 Newmont Mining Corp. 2,847,145
230,200 Nextel Communications, Inc. -
Class A(1) 23,739,375
147,042 Niagara Mohawk Power Corp.(1) 2,049,398
35,069 NICOR, Inc. 1,139,743
182,048 Nike, Inc. 9,022,754
92,458 Nordstrom, Inc. 2,421,244
238,553 Norfolk Southern Corp. 4,890,337
858,224 Nortel Networks Corporation 86,680,624
75,388 Northern States Power Co. 1,470,066
143,800 Northern Trust Corp. 7,621,400
51,479 Northrop Grumman Corp. 2,783,083
Shares Description Value
------ ----------- -----
217,092 Novell, Inc.(1) $8,670,112
55,794 Nucor Corp. 3,058,209
250,714 Occidental Petroleum Corp. 5,421,690
213,000 Office Depot, Inc.(1) 2,329,688
78,000 Old Kent Financial Corp. 2,759,250
114,000 Omnicom Group, Inc. 11,400,000
17,391 Oneok, Inc. 436,949
914,784 Oracle Corp.(1) 102,512,982
33,950 Owens Corning 655,659
95,300 Owens-Illinois, Inc.(1) 2,388,456
81,907 P P & L Resources 1,873,623
62,580 Paccar, Inc. 2,773,076
115,634 Pactiv Corp.(1) 1,228,611
108,000 Paine Webber Group, Inc. 4,191,750
78,364 Pall Corp. 1,689,724
182,800 Parametric Technology Corp.(1) 4,947,025
71,914 Parker-Hannifin Corp. 3,690,087
172,150 Paychex, Inc. 6,886,000
69,050 PE Corp. - PE Biosystems
Group 8,307,578
120,184 PECO Energy 4,176,394
22,155 People's Energy Corp. 742,193
164,700 Peoplesoft, Inc.(1) 3,510,169
32,912 Pep Boys (Manny Moe & Jack) 300,322
941,994 PepsiCo, Inc. 33,205,289
30,425 Perkin Elmer, Inc. 1,268,342
2,520,184 Pfizer, Inc. 81,748,469
251,605 PG&E Corp. 5,157,903
337,132 Pharmacia & Upjohn, Inc. 15,170,940
48,965 Phelps Dodge Corp. 3,286,776
1,531,098 Philip Morris Companies 35,502,335
158,406 Phillips Petroleum Co. 7,445,082
55,500 Pinnacle West Capital Corp. 1,696,219
185,196 Pitney Bowes, Inc. 8,947,282
191,404 Placer Dome, Inc. 2,057,593
192,033 PNC Bank Corp. 8,545,469
38,682 Polaroid Corp. 727,705
18,101 Potlatch 807,757
109,842 PPG Industries, Inc. 6,871,990
121,315 Praxair, Inc. 6,103,661
845,640 Procter & Gamble Co. 92,650,433
45,450 Progressive Corporation of Ohio 3,323,531
92,097 Providian Financial Corp. 8,386,583
140,094 Public Service Enterprise Group 4,877,022
29,132 Pulte Corp. 655,470
85,984 Quaker Oats Co. 5,642,700
426,400 Qualcomm, Inc.(1) 75,099,700
70,300 Quintiles Transnational Corp.(1) 1,313,731
84,152 R.R. Donnelley & Sons Co. 2,088,022
203,215 Ralston Purina Group 5,664,618
212,314 Raytheon Co. - Class B 5,639,591
See Notes to Financial Statements.
16
<PAGE>
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
34,329 Reebok International Ltd.(1) $ 281,069
133,170 Regions Financial Corp. 3,345,896
165,792 Reliant Energy 3,792,492
67,800 Republic New York Corp. 4,881,600
48,149 Reynolds Metals Co. 3,689,417
179,402 Rite Aid Corp. 2,007,060
132,424 Rockwell International Corp. 6,339,799
155,291 Rohm & Haas Co. 6,318,403
50,500 Rowan Companies, Inc.(1) 1,095,219
1,380,704 Royal Dutch Petroleum Co. 83,446,298
22,611 Russell Corp. 378,734
45,017 Ryder Systems, Inc. 1,100,103
84,102 Safeco 2,092,037
329,200 Safeway, Inc.(1) 11,707,175
571,054 Sara Lee Corp. 12,598,879
2,192,069 SBC Communications, Inc. 106,863,364
944,032 Schering-Plough Corp. 39,826,350
355,362 Schlumberger Ltd. 19,989,113
47,338 Scientific-Atlanta, Inc. 2,633,176
134,800 Seagate Technology, Inc.(1) 6,276,625
280,337 Seagram Co. Ltd. 12,597,644
52,405 Sealed Air Corp.(1) 2,715,234
240,709 Sears, Roebuck & Co. 7,326,580
129,514 Sempra Energy 2,250,306
185,692 Service Corp. International 1,288,238
16,674 Shared Medical Systems Corp. 849,332
112,874 Sherwin-Williams Co. 2,370,354
64,100 Sigma Aldrich Corp. 1,927,006
116,515 Silicon Graphics, Inc.(1) 1,143,303
103,300 SLM Holding Corp. 4,364,425
40,194 Snap-On Tools Corp. 1,067,653
180,500 Solectron Corp.(1) 17,170,063
473,558 Southern Co. 11,128,613
115,600 Southtrust Corp 4,371,125
316,500 Southwest Airlines Co. 5,123,344
6,904 Springs Industries, Inc. -
Class A 275,729
561,564 Sprint Corp. 37,800,277
278,891 Sprint PCS(1) 28,586,328
49,488 St. Jude Medical, Inc.(1) 1,518,663
147,828 St. Paul Companies, Inc. 4,979,956
54,330 Stanley Works 1,636,691
307,200 Staples, Inc.(1) 6,374,400
100,400 State Street Corp. 7,335,475
116,400 Summit Bancorp 3,564,750
1,004,224 Sun Microsystems, Inc.(1) 77,764,596
61,345 Sunoco, Inc. 1,441,608
200,860 Suntrust Banks, Inc. 13,821,679
97,040 SuperValu, Inc. 1,940,800
143,650 Synovus Financial Corp. 2,855,044
219,020 Sysco Corp. 8,664,979
Shares Description Value
------ ----------- -----
72,200 T. Rowe Price Associates, Inc. $ 2,666,888
131,732 Tandy Corp. 6,479,568
29,507 Tektronix, Inc. 1,147,085
18,084 Teledyne Technologies(1) 170,668
252,050 Tellabs, Inc.(1) 16,178,459
35,922 Temple Inland, Inc. 2,368,607
189,110 Tenet Healthcare Corp.(1) 4,444,085
105,000 Teradyne, Inc.(1) 6,930,000
353,522 Texaco, Inc. 19,200,664
515,412 Texas Instruments, Inc. 49,930,538
178,027 Texas Utilities Co. 6,331,085
98,306 Textron, Inc. 7,538,841
141,100 Thermo Electron Corp.(1) 2,116,500
38,500 Thomas & Betts Corp. 1,227,188
844,130 Time Warner, Inc. 61,146,667
39,429 Times Mirror Co. - Class A 2,641,743
34,596 Timken Co. 707,056
211,016 TJX Companies, Inc. 4,312,640
85,168 Torchmark Corp. 2,475,195
130,800 Tosco Corp. 3,556,125
164,418 Toys 'R' Us, Inc.(1) 2,353,233
134,198 Transocean Sedco Forex, Inc. 4,520,797
149,592 Tribune Co. 8,236,910
99,799 Tricon Global Restaurants, Inc. 3,854,736
75,072 TRW, Inc. 3,899,052
36,096 Tupperware Corp. 611,376
1,087,838 Tyco International Ltd. 42,289,702
466,037 U.S. Bancorp 11,097,506
324,855 U.S. West, Inc. 23,389,560
139,725 Unicom Corp. 4,680,788
373,346 Unilever NV 20,324,023
83,252 Union Carbide Corp. 5,557,071
155,247 Union Pacific Corp. 6,772,650
191,348 Union Pacific Resources
Group, Inc. 2,439,687
81,300 Union Planters Corp. 3,206,269
207,699 Unisys Corp.(1) 6,633,387
112,700 United Healthcare Corp. 5,987,188
306,624 United Technologies Corp. 19,930,560
152,937 Unocal Corp. 5,132,948
149,034 Unumprovident Corp. 4,778,403
47,615 US Airways Group, Inc.(1) 1,526,656
120,607 UST, Inc. 3,037,789
57,177 USX - U.S. Steel Group 1,886,841
200,564 USX Marathon Group 4,951,424
75,230 V.F. Corp. 2,256,900
440,798 Viacom, Inc. - Class B(1) 26,640,729
63,600 Vulcan Materials Co. 2,540,025
46,049 W.R. Grace & Co.(1) 638,930
60,130 W.W. Grainger, Inc. 2,874,966
128,210 Wachovia Corp. 8,718,280
See Notes to Financial Statements.
17
<PAGE>
Equity 500 Index Portfolio
Schedule of Portfolio Investments December 31, 1999
Shares Description Value
------ ----------- -----
2,859,596 Wal-Mart Stores, Inc. $ 197,669,574
667,636 Walgreen Co. 19,528,353
1,334,471 Walt Disney Co. 39,033,277
555,658 Warner-Lambert Co. 45,529,227
379,272 Washington Mutual, Inc. 9,861,072
422,351 Waste Management, Inc. 7,259,158
6,329 Water Pik Technologies(1) 60,521
67,400 Watson Pharmaceuticals(1) 2,413,763
46,100 Wellpoint Health Networks(1) 3,039,719
1,062,736 Wells Fargo Company 42,974,387
82,762 Wendy's International, Inc. 1,706,966
61,360 Westvaco Corp. 2,001,870
143,494 Weyerhaeuser Co. 10,304,663
48,139 Whirlpool Corp. 3,132,044
63,600 Willamette Industries, Inc. 2,953,425
281,236 Williams Companies, Inc. 8,595,275
75,180 Winn Dixie Stores, Inc. 1,799,621
72,692 Wm. Wrigley, Jr. Co. 6,028,893
55,279 Worthington Industries, Inc. 915,558
426,870 Xerox Corp. 9,684,613
202,000 Xilinx, Inc.(1) 9,184,688
169,700 Yahoo!, Inc.(1) 73,427,071
--------------
Total Common Stock
(Cost $4,809,122,710) 7,953,572,107
--------------
Shares/
Principal
Amount Description Value
------ ----------- -----
SHORT TERM INSTRUMENTS - 2.5%
Mutual Fund - 2.3%
188,890,907 Institutional Cash
Management Fund $ 188,890,907
--------------
U.S. Treasury Bill - 0.2%
$ 12,020,000 5.02%, 3/2/002 11,919,729
--------------
Total Short Term Instruments
(Cost $200,811,727) 200,810,636
--------------
Total Investments
(Cost $5,009,934,437) 99.9% $8,154,382,743
Other Assets in Excess of
Liabilities 0.1 10,714,139
----- --------------
Net Assets 100.0% $8,165,096,882
===== ==============
- ----------
(1) Non-income producing security.
(2) Held as collateral for futures contracts.
See Notes to Financial Statements.
18
<PAGE>
Equity 500 Index Portfolio
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of
December 31, 1999
<S><C>
Assets
Investments 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 Receivable 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
Accrued Expenses 13,683
-----------------
Total Liabilities 2,700,667
-----------------
Net Assets $ 8,165,096,882
=================
Composition of Net Assets
Paid-in Capital $ 5,016,704,839
Net Unrealized Appreciation on Investments and Futures Contracts 3,148,392,043
-----------------
Net Assets $ 8,165,096,882
=================
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
Equity 500 Index Portfolio
Statement of Operations
<TABLE>
<CAPTION>
For the year ended
December 31, 1999
<S><C>
Investment Income
Dividends (net of foreign withholding tax of $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
--------------
Total Expenses 5,519,359
--------------
Net Investment Income 92,907,589
--------------
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
Net Realized Loss from Investment Transactions (44,432,856)
Net Realized Gain from Futures Transactions 17,684,084
Net Change in Unrealized Appreciation/Depreciation on Investments and
Futures 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>
See Notes to Financial Statements.
20
<PAGE>
Equity 500 Index Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the years ended December 31,
1999 1998
<S><C>
Increase in Net Assets from:
Operations
Net Investment Income $ 92,907,589 $ 58,364,731
Net Realized Gain (Loss) from Investment and
Futures Transactions (26,748,772) 35,274,688
Net Change in Unrealized Appreciation/Depreciation
on Investment 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
Beginning of Year 5,200,504,410 2,803,086,471
--------------- ---------------
End of Year $ 8,165,096,882 $ 5,200,504,410
=============== ===============
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
Equity 500 Index Portfolio
Financial Highlights
Contained below are selected supplemental data and ratios to average net assets
for the years indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
For the years ended December 31,
1999 1998 1997 1996 1995
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $8,165,097 $5,200,504 $2,803,086 $1,925,224 $1,080,736
Ratios toAverage Net Assets:
Net Investment Income 1.35% 1.50% 1.76% 2.20% 2.52%
Expenses After Waivers 0.08% 0.08%(1) 0.08% 0.10% 0.10%
Expenses Before Waivers 0.08% 0.10% 0.15% 0.15% 0.15%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or
Expense Reimbursements 0.00%(2) 0.02% 0.07% 0.05% 0.05%
Portfolio Turnover Rate 13% 4% 19% 15% 6%
</TABLE>
- ----------
(1) 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%.
(2) Less than 0.01%.
See Notes to Financial Statements.
22
<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 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
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.
23
<PAGE>
Equity 500 Index Portfolio
Notes to Financial Statements
The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust 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.
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 500 Index
Futures March 2000 547 Long $203,331,050 $3,943,738
592 Long $204,491,600 $5,603,496
At December 31, 1999, the Portfolio segregated securities with a value of
approximately $11,919,729 to cover margin requirements on open futures
contracts.
24
<PAGE>
Equity 500 Index Portfolio
Report of Independent Accountants
To the Trustees and Holders of Beneficial Interest of
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
25
<PAGE>
BT Investment Equity 500 Index Fund
Proxy Results (unaudited)
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 Shares Voted
Voted Withheld
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
26
<PAGE>
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<PAGE>
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at:
Deutsche Asset Management Service Center
P.O. Box 219210
Kansas City, MO 64121-9210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
BT Investment Equity 500 Index Fund CUSIP #055847107
BT Pyramid Mutual Funds 462ANN (12/99)
Distributed by:
ICC Distributors, Inc.
