Deutsche Asset Management
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Mutual Fund
Semi-Annual Report
June 30, 2000
Investment
Equity 500 Index
Formerly BT Investment Equity 500 Index Fund
A Member of the
Deutsche Bank Group
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<PAGE>
Equity 500 Index Investment
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LETTER TO SHAREHOLDERS .............................. 3
EQUITY 500 INDEX INVESTMENT
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
EQUITY 500 INDEX PORTFOLIO
Schedule of Portfolio Investments ................. 12
Statement of Assets and Liabilities ............... 18
Statement of Operations ........................... 19
Statements of Changes in Net Assets ............... 20
Financial Highlights .............................. 21
Notes to Financial Statements ..................... 22
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The Fund is not insured by the FDIC and is not a
deposit, obligation of or guaranteed by Deutsche
Bank. The Fund is subject to investment risks,
including possible loss of principal amount
invested.
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2
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Equity 500 Index Investment
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for Equity 500 Index
Investment (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.
With the acquisition of Bankers Trust by Deutsche Bank, the name of your Fund
has changed to Equity 500 Index Investment. However, the Fund's investment
objectives, policies and strategies, as well as its portfolio manager, remain
the same.
MARKET ACTIVITY
THE S&P 500 INDEX TURNED IN A VIRTUALLY FLAT PERFORMANCE FOR THE FIRST SIX
MONTHS OF 2000, WITH A SEMI-ANNUAL RETURN OF -0.42%.
o Equity markets struggled, weighed down at first by fears of economic
overheating and higher interest rates and then by concerns about profit growth
in a slowing economic environment.
o The market remained extremely narrow throughout, but, interestingly, Microsoft
alone more than accounted for the largely flat return.
o On a sector basis, only four -- energy, health care, technology, and utilities
-- bettered the Index's semi-annual return. Energy and utilities were obvious
defensive sectors favored during the prolonged Federal Reserve Board watch.
Health care was the best performing sector during the six months.
o As has been the case for the past several years, large-capitalization
growth-oriented stocks outperformed their value counterparts for the
semi-annual period.
o Large cap stocks underperformed small and mid cap stocks.
DURING THE FIRST QUARTER, THE S&P 500 INDEX GAINED 2.29%, BUT VOLATILITY WAS
HIGH.
o At the lowest point of the quarter, on February 25, the Index was down 8% from
the beginning of the year. In March, the Index rose 9.78%, registering the
highest monthly gain in nine years.
o The technology sector dominated the Index, although within the sector, the
disparity in returns was significant. Intel Corp. and Cisco Systems,Inc. were
the top positive contributors to the Index on a capitalization basis, while
Microsoft, Lucent Technologies, Yahoo! and America Online were among the top
negative contributors on a capitalization basis. One third of the stocks in
this sector had a negative return.
o Utilities and financials had strong results. Weaker performing sectors
included basic materials, consumer cyclicals and consumer staples.
o The quarter saw high turnover in the Index as 9 companies were replaced and 19
changed the number of their outstanding shares.
THE S&P 500 INDEX POSTED A -2.66% DECLINE FOR THE SECOND QUARTER OF 2000, AS
VIRTUALLY ALL MAJOR US EQUITY INDICES WERE DOWN DRAMATICALLY DUE TO BOTH THE
NASDAQ COMPOSITE CORRECTION THAT BEGAN IN MARCH AND CARRIED INTO APRIL AND THE
MORE AGGRESSIVE INTEREST RATE HIKE BY THE FEDERAL RESERVE BOARD IN MAY.
o Weakness in technology stocks led the market decline in April, and volatility
continued in May with more market swings on failed surges of investor
confidence. The market finally found its footing in June when the Federal
Reserve Board decided to hold interest rates steady on the back of signs of a
slowing economy.
o Health care was the best performing S&P sector for the quarter. Other top
performing sectors included utilities and consumer staples. Technology,
communication services, consumer cyclicals, and basic materials were the
weakest sectors.
o Best performing stocks included Nabisco Group, St. Jude Medical, and Reebok
International. Citrix Systems, Novell, and QUALCOMM were the worst stock
performers.
TEN LARGEST STOCK HOLDINGS
(percentages are based on market value of total investments in the Portfolio)
General Electric Co. .......................... 4.07%
IntelCorp. .................................... 3.50
Cisco Systems, Inc. ........................... 3.45
Microsoft Corp. ............................... 3.27
Pfizer,Inc. ................................... 2.36
Exxon Mobil Corp. ............................. 2.14
Wal-Mart Stores, Inc. ......................... 2.01
Oracle Corp. .................................. 1.87
Nortel Networks Corp. ......................... 1.58
Citigroup ..................................... 1.57
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3
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Equity 500 Index Investment
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LETTER TO SHAREHOLDERS
o The second quarter saw high turnover in the Index as 16 companies were
replaced and 20 changed the number of their outstanding shares.
INVESTMENT REVIEW
The Fund was rated four stars from Morningstar(TM) based on its overall
performance as of June 30, 2000 out of 3,642 domestic equity funds.1
MANAGER OUTLOOK
Going forward, we continue to view the most likely outcome for the U.S. economy
to be a "soft landing." That is, we still expect that a combination of higher
interest rates relative to a year ago, moderating equity markets, and higher oil
prices may bring demand more in line with the economy's supply potential by late
2000/early 2001, thus keeping inflation pressures from becoming too entrenched.
Though encouraged by recent hints of cooling demand, we remain unconvinced that
a sufficient, long-lasting economic slowdown will occur without some further
tightening by the Federal Reserve Board after a few months' pause and a longer
period of
PORTFOLIO DIVERSIFICATION
By Sectors as of June 30, 2000
(percentages are based on market value of total investments in the Portfolio)
Technology ................................... 33%
Financial .................................... 13
Healthcare ................................... 12
Consumer Staples ............................. 10
Capital Goods ................................ 8
Consumer Cyclicals ........................... 7
Communications Services ...................... 7
Energy ....................................... 5
Basic Materials .............................. 2
Utilities .................................... 2
Transportation ............................... 1
<TABLE>
<CAPTION>
CUMULATIVE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
Periods ended Past 6 Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
June 30, 2000 months year years years inception year years years inception
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Equity 500 Index
Investment 2
(inception 12/31/92) (0.62)% 6.90% 70.15% 187.47% 282.53% 6.90% 19.38% 23.51% 19.60%
--------------------------------------------------------------------------------------------------------------
S&P 500 Index 3 (0.42)% 7.24% 71.35% 190.84% 289.95% 7.24% 19.66% 23.80% 19.89%
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Lipper S&P 500
Index Average 4 (0.85)% 6.58% 68.57% 184.23% 278.13% 6.58% 19.01% 23.23% 19.40%
--------------------------------------------------------------------------------------------------------------
<FN>
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1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Morningstar(TM)
proprietary ratings reflect historical risk-adjusted performance as of June
30, 2000. They are subject to change every month. 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
overall rating is based on a weighted average of the Fund's three and five
year performance. The Fund received four stars for the three year period and
four stars for the five year period and was rated among 3,642 and 2,328
domestic equity funds, respectively. The top 10% of funds in a rating universe
receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars,
the next 22.5% receive 2 stars and the bottom 10% receive 1 star. Ratings are
for the Investment class only; other classes may vary.
2 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.
Performance figures assume the reinvestment of dividend and capital gain
distributions. During the period the Fund waived certain fees and expenses.Had
these fees and expenses not been waived, the Fund's return would have been
lower. There is no guarantee that the Fund will be able to mirror the S&P 500
Index closely enough to track its performance.
3 "S&P 500(R)" is a trademark of The McGraw-Hill Companies, Inc. and has been
licensed for use by the Fund's investment advisor. S&P 500(R) Index is an
unmanaged index used to portray the pattern of common stock movement of 500
large companies. Index returns do not reflect expenses, which have been
deducted from the Fund's return.
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 category
indicated. These figures do not reflect sales charges.
</FN>
</TABLE>
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Equity 500 Index Investment
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LETTER TO SHAREHOLDERS
consolidation in the equity markets. Moreover, while higher oil prices should
help slow demand by cutting into consumer purchasing power, they might also feed
into underlying inflation by boosting wage demands. Even if the economy slows
gracefully, the backdrop of slower profit growth and higher inflation will
likely be less favorable for equities than the fundamentals we've seen for the
last few years.
It is important to reiterate that as an index fund, which seeks to replicate as
closely as possible (before deduction of expenses) 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 Equity 500 Index Fund, and
we look forward to continuing to serve your investment needs for many years to
come.
/S/ SIGNATURE JAMES CREIGHTON
James Creighton
Chief Investment Officer -- Global Indexing
EQUITY 500 INDEX PORTFOLIO
June 30, 2000
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PERFORMANCE COMPARISON
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
EQUITY 500 INDEX INVESTMENT AND THE S&P 500 INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE DECEMBER 31, 1992)
BT Investment Equity 500 Index Fund S&P 500 Index
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
6/00 38,253 38,995
Average Annual Total Return for the Periods Ended June 30, 2000
1 Year 6.90% 5 Year 23.51% Since 12/31/92 1 19.60%
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1 The Fund's inception date.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance figures assume the reinvestment of
dividend and capital gain distributions. During the period the Fund waived
certain fees and expenses.
S&P 500 Index is an unmanaged index used to portray the pattern of common stock
movement of 500 large companies.
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5
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Equity 500 Index Investment
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STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investment in Equity 500 Index Portfolio, at Value ......... $955,684,134
Receivable for Shares of Beneficial Interest Subscribed .... 4,183,325
Prepaid Expenses and Other ................................. 24,490
------------
Total Assets .................................................. 959,891,949
------------
LIABILITIES
Due to Bankers Trust ....................................... 152,737
Payable for Shares ofBeneficial Interest Redeemed .......... 71,158,212
AccruedExpenses ............................................ 10,932
Income Dividends Payable ................................... 341,662
------------
Total Liabilities ............................................. 71,663,543
------------
NET ASSETS .................................................... $888,228,406
============
COMPOSITION OF NET ASSETS
Paid-in Capital ............................................ $297,695,174
Undistributed Net Investment Income ........................ 46,153
Accumulated Net Realized Gain from Investment and
Futures Transactions .................................. 111,860,501
Net Unrealized Appreciation on Investments and
Futures Contracts ..................................... 478,626,578
------------
NET ASSETS .................................................... $888,228,406
============
SHARES OUTSTANDING ($0.001 par value per share,
unlimited number of shares
of beneficial interest authorized) ......................... 4,904,967
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding) ................. $ 181.09
============
See Notes to Financial Statements.
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6
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Equity 500 Index Investment
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STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Income allocated from Equity 500 Index Portfolio, net .... $ 5,823,700
-------------
EXPENSES
Administration and Services Fees ......................... 1,486,073
Registration Fees ........................................ 54,577
Printing and Shareholder Reports ......................... 9,282
Professional Fees ........................................ 6,843
Trustees Fees ............................................ 2,139
Miscellaneous ............................................ 1,073
-------------
Total Expenses .............................................. 1,559,987
Less: Fee Waivers or Expense Reimbursements ................. (646,447)
-------------
Net Expenses ................................................ 913,540
-------------
NET INVESTMENT INCOME ....................................... 4,910,160
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ........... 113,604,640
Net Realized Loss from Futures Transactions .............. (1,204,740)
Net Change in Unrealized Appreciation/Depreciation on
Investments and Futures Contracts ..................... (117,849,475)
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NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND
FUTURES CONTRACTS ........................................ (5,449,575)
-------------
NET DECREASE IN NET ASSETS FROM OPERATIONS .................. $ (539,415)
=============
See Notes to Financial Statements.
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7
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Equity 500 Index Investment
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................... $ 4,910,160 $ 11,070,432
Net Realized Gain (Loss) from Investment and
Futures Transactions .............................. 112,399,900 (4,127,510)
Net Change in Unrealized Appreciation/Depreciation
on Investments and Futures Contracts .............. (117,849,475) 174,628,459
--------------- ---------------
Net Increase (Decrease) in Net Assets from Operations .. (539,415) 181,571,381
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................... (5,101,945) (10,850,387)
Net Realized Gain from Investment and Futures
Transactions ...................................... (2,263,453) --
In Excess of Net Realized Gain ...................... -- (13,032,052)
--------------- ---------------
Total Distributions .................................... (7,365,398) (23,882,439)
--------------- ---------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds fromSales of Shares ........................ 250,802,547 493,420,031
Dividend Reinvestments .............................. 22,944,819 22,345,470
Cost of Shares Redeemed ............................. (413,968,008) (497,684,759)
--------------- ---------------
Net Increase (Decrease) from Capital Transactions in
Shares of Beneficial Interest ....................... (140,220,642) 18,080,742
--------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................ (148,125,455) 175,769,684
NET ASSETS
Beginning of Period ................................. 1,036,353,861 860,584,177
--------------- ---------------
End of Period (including undistributed net investment
income of $46,153 and $237,938, respectively) ..... $ 888,228,406 $ 1,036,353,861
=============== ===============
<FN>
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1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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Equity 500 Index Investment
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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
periods indicated for Equity 500 Index Investment.
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEARS ENDED DEC. 31,
JUNE 30, 2000 1 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:2
NET ASSET VALUE, BEGINNING OF PERIOD ....... $183.48 $155.96 $124.95 $ 99.06 $82.92 $62.16
------- ------- ------- ------- ------- ------
INCOME FROMINVESTMENT OPERATIONS
Net Investment Income ................... 0.97 1.98 1.84 1.81 1.80 1.74
Net Realized and Unrealized Gain (Loss) on
Investments and Futures Contracts ..... (2.05) 29.81 33.55 30.59 16.98 21.18
------- ------- ------- ------- ------- ------
Total from Investment Operations ........... (1.08) 31.79 35.39 32.40 18.78 22.92
------- ------- ------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................... (0.92) (1.94) (1.84) (1.78) (1.80) (1.74)
Net Realized Gain from Investment
and Futures Transactions .............. (0.39) -- (2.54) (4.73) (0.84) (0.42)
In Excess of Net Realized Gain .......... -- (2.33) -- -- -- --
------- ------- ------- ------- ------- ------
Total Distributions ........................ (1.31) (4.27) (4.38) (6.51) (2.64) (2.16)
------- ------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD ............. $181.09 $183.48 $155.96 $124.95 $ 99.06 $82.92
======= ======= ======= ======= ======= ======
TOTAL INVESTMENT RETURN .................... (0.62)% 20.59% 28.57% 33.02% 22.83% 37.15%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ........................ $888,228 $1,036,354 $860,584 $637,401 $451,762 $277,140
Ratios to Average Net Assets:
Net Investment Income ................. 1.00%3 1.18% 1.33% 1.59% 2.05% 2.38%
Expenses After Waivers, Including
Expenses of the Equity 500
Index Portfolio .................... 0.25%3,4 0.25% 0.25%5 0.25% 0.25% 0.25%
Expenses Before Waivers, Including
Expenses of the Equity 500
Index Portfolio .................... 0.38%3 0.39% 0.43% 0.46% 0.47% 0.48%
<FN>
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1 Unaudited.
2 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.
3 Annualized.
4 Effective March 15, 2000, Bankers Trust contractually agreed to limit the
annual operating expenses for the portfolio to 0.05% of the portfolio's
average daily net assets.
5 Effective May 6, 1998, Bankers Trust contractually agreed to limit its fees
from the portfolio to the lesser of 0.005% or the amount that brings the total
annual operating expenses up to 0.08% of the portfolio's average daily net
assets.
</FN>
</TABLE>
See Notes to Financial Statements.
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9
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Equity 500 Index Investment
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
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. Equity 500 Index Investment (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, which was approximately 12% at June
30, 2000.
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 OF SECURITIES
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 securities 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 at
least annually to meet excise and federal tax requirements.
E. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required. The Fund may periodically make reclassifications among
certain of its capital accounts as a result of 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 accounting principles generally accepted in the United
States.
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.
G. ESTIMATES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States 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 A.G. 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 and reimburse expenses
of the Fund through April 30, 2001, 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.
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10
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Equity 500 Index Investment
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At June 30, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED
JUNE 30, 2000 1 DECEMBER 31, 1999
------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- ------------
Sold 1,407,304 $ 250,802,547 2,934,317 $ 493,420,031
Reinvested 129,746 22,944,819 130,781 22,345,470
Redeemed (2,280,266) (413,968,008) (2,934,794) (497,684,759)
---------- ------------- ---------- -------------
Net Increase
(Decrease) (743,216) $(140,220,642) 130,304 $ 18,080,742
========== ============= ========== =============
--------------------------------------------------------------------------------
1 Unaudited.
NOTE 4 -- FUND NAME CHANGE
On April 30, 2000, the Fund changed its name from BT Investment Equity 500 Index
Fund to Equity 500 Index Investment.
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11
<PAGE>
Equity 500 Index Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
COMMON STOCK -- 98.4%
196,505 3Com Corp.1 ....................................... $ 11,323,601
871,006 Abbott Laboratories ............................... 38,814,205
59,216 Adaptec, Inc.1 .................................... 1,347,164
169,919 ADC Telecommunications, Inc.1 ..................... 14,251,956
70,090 Adobe Systems, Inc. ............................... 9,111,700
20,818 Adolph Coors Co. -- Class B ....................... 1,259,489
83,341 Advanced Micro Devices, Inc.1 ..................... 6,438,092
258,282 AES Corp.1 ........................................ 11,784,116
80,969 Aetna, Inc. ....................................... 5,197,198
150,684 Aflac, Inc. ....................................... 6,922,046
256,065 Agilent Technologies1 ............................. 18,884,794
129,942 Air Products and Chemicals, Inc. .................. 4,003,838
32,025 Alberto-Culver Co. -- Class B ..................... 978,764
247,048 Albertson's, Inc. ................................. 8,214,346
123,929 Alcan Aluminium Ltd. .............................. 3,841,799
488,392 Alcoa, Inc. ....................................... 14,163,368
57,678 Allegheny Technologies ............................ 1,038,204
74,938 Allergan, Inc. .................................... 5,582,881
95,669 Allied Waste Industries, Inc.1 .................... 956,690
421,779 Allstate Corp. .................................... 9,384,583
179,979 Alltel Corp. ...................................... 11,147,449
112,800 Altera Corp.1 ..................................... 11,498,550
57,850 ALZA Corp.1 ....................................... 3,420,381
52,862 Amerada Hess Corp. ................................ 3,264,228
71,679 Ameren Corp. ...................................... 2,419,166
1,310,906 America Online, Inc.1 ............................. 69,150,291
193,318 American Electric Power Co.1 ...................... 5,727,046
757,320 American Express Co. .............................. 39,475,305
140,044 American General Corp. ............................ 8,542,684
43,077 American Greetings Corp. --
Class A ......................................... 818,463
739,011 American Home Products Corp. ...................... 43,416,896
875,888 American International Group, Inc. ................ 102,916,840
95,400 American Power Conversion Corp.1 .................. 3,893,512
578,021 Amgen, Inc.1 ...................................... 40,605,975
83,807 AMR Corp.1 ........................................ 2,215,648
219,143 Amsouth Bancorp ................................... 3,451,502
72,119 Anadarko Petroleum Corp. .......................... 3,556,368
197,222 Analog Devices, Inc.1 ............................. 14,988,872
52,910 Andrew Corp.1 ..................................... 1,775,792
255,875 Anheuser Busch Cos., Inc. ......................... 19,110,664
146,820 AON Corp. ......................................... 4,560,596
67,465 Apache Corp. ...................................... 3,967,785
183,194 Apple Computer, Inc.1 ............................. 9,594,786
463,982 Applied Materials, Inc.1 .......................... 42,048,369
340,637 Archer-Daniels-Midland Co. ........................ 3,342,501
23,346 Armstrong Holdings ................................ 357,486
40,281 Ashland, Inc. ..................................... 1,412,353
410,788 Associates First Capital Corp. --
Class A ......................................... 9,165,707
1,795,922 AT&T Corp. ........................................ 56,796,033
34,662 Autodesk, Inc. .................................... 1,202,338
SHARES SECURITY VALUE
357,270 Automatic Data Processing, Inc. .................. $19,136,274
79,388 Autozone, Inc.1 .................................. 1,746,536
63,889 Avery Dennison Corp. ............................. 4,288,549
137,543 Avon Products, Inc. .............................. 6,120,663
188,254 Baker Hughes, Inc. ............................... 6,024,128
15,877 Ball Corp. ....................................... 511,041
938,793 Bank of America Corp. ............................ 40,368,099
416,400 Bank of New York Co., Inc. ....................... 19,362,600
648,820 Bank One Corp. ................................... 17,234,281
224,106 Barrick Gold Corp. ............................... 4,075,928
34,058 Bausch & Lomb, Inc. .............................. 2,635,238
164,948 Baxter International, Inc. ....................... 11,597,906
195,415 BB&T Corp. ....................................... 4,665,533
64,384 Bear Stearns Cos., Inc. .......................... 2,679,984
142,484 Becton, Dickinson & Co. .......................... 4,087,510
80,170 Bed, Bath & Beyond, Inc.1 ........................ 2,906,162
879,005 Bell Atlantic Corp.1 ............................. 44,664,442
1,065,531 BellSouth Corp. .................................. 45,418,259
26,944 Bemis Co., Inc. .................................. 905,992
115,836 Best Buy, Inc.1 .................................. 7,326,627
159,396 Bestfoods ........................................ 11,038,173
75,283 Bethlehem Steel Corp.1 ........................... 268,196
84,812 Biogen, Inc.1 .................................... 5,470,374
63,910 Biomet, Inc. ..................................... 2,456,541
48,925 Black & Decker Corp. ............................. 1,923,364
137,387 BMC Software, Inc.1 .............................. 5,012,479
491,453 Boeing Co. ....................................... 20,548,879
32,436 Boise Cascade Corp. .............................. 839,281
237,089 Boston Scientific Corp.1 ......................... 5,201,140
13,176 Briggs & Stratton Corp. .......................... 451,278
1,123,136 Bristol-Myers Squibb Co. ......................... 65,422,672
120,000 Broadcom Corp. -- Class A 1 ...................... 26,272,500
25,298 Brown-Forman Corp. -- Class B .................... 1,359,767
50,216 Brunswick Corp. .................................. 831,702
242,597 Burlington Northern Santa Fe Corp. ............... 5,564,569
120,425 Burlington Resources, Inc. ....................... 4,606,256
74,378 C P & L Energy ................................... 2,375,447
28,986 C.R. Bard, Inc. .................................. 1,394,951
103,435 Cabletron Systems, Inc.1 ......................... 2,611,734
239,297 Campbell Soup Co. ................................ 6,969,525
107,603 Capital One Financial Corp. ...................... 4,801,784
158,539 Cardinal Health, Inc. ............................ 11,731,886
342,413 Carnival Corp. -- Class A ........................ 6,677,053
200,712 Caterpillar, Inc. ................................ 6,799,119
399,406 Cendant Corp.1 ................................... 5,591,684
34,221 Centex Corp.1 .................................... 804,193
80,169 Centurytel, Inc. ................................. 2,304,859
82,393 Ceridian Corp.1 .................................. 1,982,582
755,010 Charles Schwab Corp. ............................. 25,387,211
118,700 Charter One Financial, Inc. ...................... 2,730,100
700,086 Chase Manhattan Corp. ............................ 32,247,711
370,939 Chevron Corp. .................................... 31,460,264
96,689 Chubb Corp. ...................................... 5,946,373
See Notes to Financial Statements
--------------------------------------------------------------------------------
12
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Equity 500 Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
95,456 CIGNA Corp. ..................................... $ 8,925,136
88,268 Cincinnati Financial Corp. ...................... 2,774,925
94,369 Cinergy Corp. ................................... 2,400,511
115,320 Circuit City Stores, Inc. ....................... 3,827,182
3,955,648 Cisco Systems, Inc.1 ............................ 251,430,876
1,901,058 Citigroup ....................................... 114,538,744
122,330 Citrix Systems, Inc1 ............................ 2,316,624
191,179 Clear Channel Communications, Inc.1 ............. 14,338,425
134,271 Clorox Co. ...................................... 6,017,019
62,772 CMS Energy ...................................... 1,388,830
122,002 Coastal Corp. ................................... 7,426,872
1,398,103 Coca-Cola Co. ................................... 80,303,541
245,233 Coca-Cola Enterprises, Inc. ..................... 4,000,363
330,277 Colgate-Palmolive Co. ........................... 19,775,335
45,733 Columbia Energy Group ........................... 3,001,228
508,458 Comcast Corp. -- Special Class A 1 .............. 20,592,549
87,697 Comerica, Inc. .................................. 3,935,403
959,909 Compaq Computer Corp. ........................... 24,537,674
330,471 Computer Associates International,
Inc ........................................... 16,915,984
94,950 Computer Sciences Corp.1 ........................ 7,091,578
202,958 Compuware Corp.1 ................................ 2,105,689
86,122 Comverse Technology1 ............................ 8,009,346
288,537 ConAgra, Inc. ................................... 5,500,237
119,900 Conexant Systems1 ............................... 5,830,137
356,702 Conoco, Inc. -- Class B ......................... 8,761,493
184,500 Conseco, Inc. ................................... 1,798,875
126,736 Consolidated Edison, Inc. ....................... 3,754,554
63,351 Consolidated Stores Corp.1 ...................... 760,212
75,134 Constellation Energy Group, Inc. ................ 2,446,551
84,700 Convergys Corp.1 ................................ 4,393,812
57,832 Cooper Industries, Inc. ......................... 1,883,154
45,660 Cooper Tire & Rubber Co. ........................ 507,967
158,822 Corning, Inc. ................................... 42,862,087
251,705 Costco Wholesale Corp1 .......................... 8,306,265
63,361 Countrywide Credit Industries, Inc. ............. 1,920,630
36,617 Crane Co. ....................................... 890,251
90,446 Crown Cork & Seal Co., Inc. ..................... 1,356,690
125,521 CSX Corp. ....................................... 2,659,476
27,803 Cummins Engine Co., Inc. ........................ 757,632
222,184 CVS Corp. ....................................... 8,887,360
90,717 Dana Corp. ...................................... 1,922,066
80,080 Danaher Corp. ................................... 3,958,955
74,654 Darden Restaurants, Inc. ........................ 1,213,127
133,475 Deere & Co. ..................................... 4,938,575
1,453,350 Dell Computer Corp.1 ............................ 71,668,322
318,938 Delphi Automotive Systems ....................... 4,644,535
73,039 Delta Air Lines, Inc. ........................... 3,693,034
43,490 Deluxe Corp. .................................... 1,024,733
58,534 Dillard Department Stores, Inc. --
Class A ....................................... 717,041
187,486 Dollar General Corp. ............................ 3,655,977
134,617 Dominion Resources, Inc. ........................ 5,771,704
SHARES SECURITY VALUE
115,237 Dover Corp. ....................................... $ 4,674,301
372,807 Dow Chemical Co. .................................. 11,254,111
49,036 Dow Jones & Co., Inc. ............................. 3,591,887
80,967 DTE Energy Co. .................................... 2,474,554
592,965 Du Pont (E.I.) de Nemours & Co. ................... 25,942,219
206,885 Duke Power Co. .................................... 11,663,142
91,434 Dun & Bradstreet Corp. ............................ 2,617,298
14,652 Eastern Enterprises ............................... 923,076
50,300 Eastman Chemical Co. .............................. 2,401,825
178,212 Eastman Kodak Co. ................................. 10,603,614
43,982 Eaton Corp. ....................................... 2,946,794
73,428 Ecolab, Inc. ...................................... 2,868,281
193,084 Edison International, Inc. ........................ 3,958,222
128,540 El Paso Energy Corp. .............................. 6,547,506
284,418 Electronic Data Systems Corp. ..................... 11,732,242
628,982 Eli Lilly & Co. ................................... 62,819,577
1,229,740 EMC Corp.1 ........................................ 94,613,121
246,970 Emerson Electric Co. .............................. 14,910,814
71,421 Engelhard Corp. ................................... 1,218,621
403,847 Enron Corp. ....................................... 26,048,131
134,112 Entergy Corp. ..................................... 3,646,170
76,876 Equifax, Inc. ..................................... 2,017,995
1,985,363 Exxon Mobil Corp. ................................. 155,850,995
570,689 Fannie Mae ........................................ 29,782,832
119,255 Federated Department Stores, Inc.1 ................ 4,024,856
170,726 Fedex Corp.1 ...................................... 6,487,588
174,724 Fifth Third Bancorp ............................... 11,051,293
237,707 First Data Corp. .................................. 11,796,210
558,808 First Union Corp. ................................. 13,865,423
560,374 Firstar Corp. ..................................... 11,802,877
129,033 FirstEnergy Corp. ................................. 3,016,146
510,532 Fleet Boston Financial Corp. ...................... 17,358,088
53,100 Florida Progress Corp. ............................ 2,489,062
43,490 Fluor Corp. ....................................... 1,375,371
17,575 FMC Corp.1 ........................................ 1,019,350
683,364 Ford Motor Co. .................................... 29,384,652
122,666 Fort James Corp. .................................. 2,836,651
93,442 Fortune Brands, Inc. .............................. 2,155,006
100,924 FPL Group, Inc. ................................... 4,995,738
142,247 Franklin Resources, Inc. .......................... 4,320,753
389,746 Freddie Mac ....................................... 15,784,713
67,666 Freeport-McMoRan Copper & Gold,
Inc. -- Class B 1 ............................... 625,910
150,928 Gannett Co., Inc. ................................. 9,027,381
479,922 Gap, Inc. ......................................... 14,997,562
179,389 Gateway Inc.1 ..................................... 10,180,326
113,563 General Dynamics Corp. ............................ 5,933,667
5,589,127 General Electric Co. .............................. 296,223,731
170,376 General Mills, Inc. ............................... 6,516,882
303,042 General Motors Corp. .............................. 17,595,376
99,650 Genuine Parts Co. ................................. 1,993,000
96,799 Georgia-Pacific Corp. ............................. 2,540,974
591,285 Gillette Co. ...................................... 20,658,020
See Notes to Financial Statements
--------------------------------------------------------------------------------
13
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
510,370 Global Crossing Ltd.1 ............................. $ 13,429,111
94,009 Golden West Financial Corp. ....................... 3,836,742
56,401 Goodrich (B.F.) Co. ............................... 1,921,159
88,573 Goodyear Tire & Rubber Co. ........................ 1,771,460
68,803 GPU, Inc. ......................................... 1,861,981
20,881 Great Atlantic & Pacific Tea Co., Inc. ............ 347,147
32,530 Great Lakes Chemical Corp. ........................ 1,024,695
549,894 GTE Corp. ......................................... 34,230,901
174,252 Guidant Corp.1 .................................... 8,625,474
57,534 H & R Block, Inc. ................................. 1,862,663
205,385 H.J. Heinz Co. .................................... 8,985,594
251,861 Halliburton Co. ................................... 11,884,691
43,229 Harcourt General, Inc. ............................ 2,350,577
170,632 Harley-Davidson, Inc. ............................. 6,569,332
71,139 Harrah's Entertainment, Inc.1 ..................... 1,489,473
123,849 Hartford Financial Services Group,
Inc. ............................................ 6,927,803
109,470 Hasbro, Inc. ...................................... 1,648,892
319,016 HCA Healthcare Co ................................. 9,690,111
218,473 HEALTHSOUTH Corp.1 ................................ 1,570,275
60,147 Hercules, Inc. .................................... 845,817
76,958 Hershey Foods Corp. ............................... 3,732,463
569,391 Hewlett-Packard Co. ............................... 71,102,701
204,943 Hilton Hotels Corp. ............................... 1,921,341
1,319,456 Home Depot, Inc. .................................. 65,890,334
126,503 Homestake Mining Co. .............................. 869,708
450,710 Honeywell International, Inc. ..................... 15,183,293
267,100 Household International, Inc. ..................... 11,101,344
94,682 Humana, Inc.1 ..................................... 461,575
127,713 Huntington Bancshares, Inc. ....................... 2,019,462
2 Huttig Building Products, Inc.1 ................... 8
169,816 Illinois Tool Works, Inc. ......................... 9,679,512
175,012 IMS Health, Inc. .................................. 3,150,216
98,148 Inco, Ltd.1 ....................................... 1,509,025
92,312 Ingersoll-Rand Co. ................................ 3,715,558
1,906,165 Intel Corp. ....................................... 254,830,433
1,008,007 International Business Machines
Corp. ........................................... 110,439,767
59,815 International Flavors & Fragrances,
Inc. ............................................ 1,805,665
274,349 International Paper Co. ........................... 8,179,030
159,163 Interpublic Group of Cos., Inc. ................... 6,844,009
50,281 ITT Industries .................................... 1,527,285
148,110 J.C. Penney Co., Inc. ............................. 2,730,778
57,492 Jefferson-Pilot Corp. ............................. 3,244,705
788,360 Johnson & Johnson ................................. 80,314,175
44,502 Johnson Controls, Inc. ............................ 2,283,509
62,850 Kansas City Southern Industries ................... 5,574,009
27,739 Kaufman & Broad Home Corp. ........................ 549,579
227,265 Kellogg Co. ....................................... 6,761,134
52,314 Kerr-McGee Corp. .................................. 3,083,256
246,722 KeyCorp ........................................... 4,348,475
314,323 Kimberly Clark Corp. .............................. 18,034,282
SHARES SECURITY VALUE
104,333 KLA/Tencor Corp.1 ................................. $ 6,110,001
275,414 Kmart Corp.1 ...................................... 1,876,258
49,668 Knight-Ridder, Inc. ............................... 2,641,717
184,528 Kohls Corp.1 ...................................... 10,264,370
472,029 Kroger Co.1 ....................................... 10,414,140
110,600 Leggett & Platt, Inc. ............................. 1,824,900
68,289 Lehman Brothers, Inc. ............................. 6,457,579
72,420 Lexmark International Group, Inc. --
Class A 1 ....................................... 4,870,245
236,832 Limited, Inc. ..................................... 5,121,492
110,716 Lincoln National Corp. ............................ 3,999,616
181,700 Linear Technology Corp. ........................... 11,617,444
39,344 Liz Claiborne, Inc. ............................... 1,386,876
219,223 Lockheed Martin Corp. ............................. 5,439,471
56,632 Loews Corp. ....................................... 3,397,920
22,586 Longs Drug Stores, Inc. ........................... 491,246
63,392 Louisiana-Pacific Corp. ........................... 689,388
216,745 Lowe's Cos., Inc. ................................. 8,900,092
166,812 LSI Logic Corp.1 .................................. 9,028,700
1,851,883 Lucent Technologies, Inc. ......................... 109,724,068
41,785 Mallinckrodt Group, Inc. .......................... 1,815,036
58,220 Manor Care, Inc.1 ................................. 407,540
139,893 Marriott International ............................ 5,044,891
151,073 Marsh and McLennan Cos., Inc. ..................... 15,777,686
253,943 Masco Corp. ....................................... 4,586,845
235,579 Mattel, Inc. ...................................... 3,106,698
157,900 Maxim Integrated Products, Inc.1 .................. 10,727,331
188,608 May Department Stores Co. ......................... 4,526,592
49,756 Maytag Corp. ...................................... 1,834,753
54,006 MBIA, Inc. ........................................ 2,602,414
455,003 MBNA Corp. ........................................ 12,341,956
37,330 McDermott International, Inc. ..................... 328,971
766,043 McDonald's Corp. .................................. 25,231,541
112,459 McGraw-Hill, Inc. ................................. 6,072,786
157,720 McKesson HBOC, Inc. ............................... 3,302,263
55,820 Mead Corp. ........................................ 1,409,455
346,221 MediaOne Group1 ................................... 23,123,668
124,700 Medimmune Inc.1 ................................... 9,227,800
676,677 Medtronic, Inc. ................................... 33,706,973
278,220 Mellon Financial Corp. ............................ 10,137,641
1,302,515 Merck & Co., Inc. ................................. 99,805,212
39,700 Mercury Interactive Corp.1 ........................ 3,840,975
31,782 Meredith Corp. .................................... 1,072,643
210,086 Merrill Lynch & Co., Inc. ......................... 24,159,890
66,131 MGIC Investment Corp. ............................. 3,008,961
316,798 Micron Technology, Inc.1 .......................... 27,898,024
2,978,519 Microsoft Corp.1 .................................. 238,281,520
25,176 Millipore Corp. ................................... 1,897,641
226,013 Minnesota Mining & Manufacturing
Co. ............................................. 18,646,073
110,498 Molex, Inc. ....................................... 5,317,716
641,103 Morgan Stanley Dean Witter
Discover & Co. .................................. 53,371,825
See Notes to Financial Statements
--------------------------------------------------------------------------------
14
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
91,965 Morgan, (J.P.) & Co., Inc. ......................... $ 10,127,646
1,204,548 Motorola, Inc. ..................................... 35,007,176
180,329 Nabisco Group Holdings ............................. 4,677,283
356,312 National City Corp. ................................ 6,079,574
97,225 National Semiconductor Corp.1 ...................... 5,517,519
23,892 National Service Industries, Inc. .................. 465,894
36,217 Navistar International Corp.1 ...................... 1,124,991
54,393 NCR Corp.1 ......................................... 2,117,927
177,416 Network Appliance, Inc.1 ........................... 14,281,988
60,071 New Century Energies, Inc. ......................... 1,802,130
97,966 New York Times Co. -- Class A ...................... 3,869,657
160,245 Newell Rubbermaid, Inc. ............................ 4,126,309
97,393 Newmont Mining Corp. ............................... 2,106,124
439,360 Nextel Communications, Inc. --
Class A 1 ........................................ 26,883,340
127,105 Niagara Mohawk Power Corp.1 ........................ 1,771,526
26,461 NICOR, Inc. ........................................ 863,290
157,489 Nike, Inc. ......................................... 6,270,031
77,922 Nordstrom, Inc. .................................... 1,879,868
213,203 Norfolk Southern Corp. ............................. 3,171,395
1,689,028 Nortel Networks Corp. .............................. 115,276,161
65,419 Northern States Power Co. .......................... 1,320,646
125,907 Northern Trust Corp. ............................... 8,191,824
39,562 Northrop Grumman Corp. ............................. 2,620,983
183,949 Novell, Inc.1 ...................................... 1,701,528
65,101 Novellus Systems, Inc.1 ............................ 3,682,275
54,749 Nucor Corp. ........................................ 1,816,982
209,111 Occidental Petroleum Corp. ......................... 4,404,400
187,041 Office Depot, Inc.1 ................................ 1,169,006
77,574 Old Kent Financial Corp. ........................... 2,075,105
100,623 Omnicom Group, Inc. ................................ 8,961,736
16,020 Oneok, Inc. ........................................ 415,519
1,616,366 Oracle Corp.1 ...................................... 135,875,767
31,773 Owens Corning ...................................... 293,900
82,512 Owens-Illinois, Inc.1 .............................. 964,359
43,399 Paccar, Inc. ....................................... 1,722,398
100,032 Pactiv Corp.1 ...................................... 787,752
80,981 Paine Webber Group, Inc. ........................... 3,684,636
68,970 Pall Corp. ......................................... 1,275,945
154,897 Parametric Technology Corp.1 ....................... 1,703,867
63,370 Parker-Hannifin Corp. .............................. 2,170,423
210,381 Paychex, Inc. ...................................... 8,836,002
116,640 PE Corp. -- PE Biosystems Group .................... 7,683,660
104,041 PECO Energy ........................................ 4,194,153
19,200 People's Energy Corp. .............................. 621,600
151,094 Peoplesoft, Inc.1 .................................. 2,530,825
823,624 PepsiCo, Inc. ...................................... 36,599,792
26,313 Perkin Elmer, Inc. ................................. 1,739,947
3,579,682 Pfizer, Inc. ....................................... 171,824,736
231,869 PG&E Corp. ......................................... 5,709,774
708,252 Pharmacia Corp. .................................... 36,607,775
42,295 Phelps Dodge Corp. ................................. 1,572,845
1,309,236 Philip Morris Cos .................................. 34,776,581
SHARES SECURITY VALUE
141,138 Phillips Petroleum Co. ........................... $ 7,153,932
48,045 Pinnacle West Capital Corp. ...................... 1,627,524
150,276 Pitney Bowes, Inc. ............................... 6,011,040
165,830 Placer Dome, Inc. ................................ 1,585,749
166,431 PNC Bank Corp. ................................... 7,801,453
24,963 Polaroid Corp. ................................... 450,894
15,619 Potlatch Corp. ................................... 517,379
98,450 PPG Industries, Inc. ............................. 4,362,566
70,992 PPL Corp. ........................................ 1,557,387
90,062 Praxair, Inc. .................................... 3,371,696
745,693 Procter & Gamble Co. ............................. 42,690,924
39,448 Progressive Corporation of Ohio .................. 2,919,152
79,675 Providian Financial Corp. ........................ 7,170,750
122,784 Public Service Enterprise Group .................. 4,251,396
25,108 Pulte Corp. ...................................... 542,961
74,929 Quaker Oats Co. .................................. 5,629,041
417,788 Qualcomm, Inc.1 .................................. 25,067,280
72,068 Quintiles Transnational Corp.1 ................... 1,017,961
15,052 Qwest Communications International,
Inc.1 .......................................... 747,896
72,667 R.R. Donnelley & Sons Co. ........................ 1,639,549
109,619 Radioshack Corp. ................................. 5,193,200
171,658 Ralston Purina Group ............................. 3,422,431
192,893 Raytheon Co. -- Class B .......................... 3,713,190
29,758 Reebok International Ltd.1 ....................... 474,268
122,161 Regions Financial Corp. .......................... 2,427,950
145,196 Reliant Energy ................................... 4,292,357
153,057 Rite Aid Corp. ................................... 1,004,437
111,499 Rockwell International Corp. ..................... 3,512,219
129,983 Rohm & Haas Co. .................................. 4,484,414
47,276 Rowan Cos., Inc.1 ................................ 1,436,009
1,212,939 Royal Dutch Petroleum Co. ........................ 74,671,557
19,646 Russell Corp. .................................... 392,920
38,979 Ryder Systems, Inc. .............................. 738,165
68,960 Sabre Group Holdings, Inc. ....................... 1,965,360
72,432 Safeco Corp. ..................................... 1,439,586
281,173 Safeway, Inc.1 ................................... 12,687,932
72,900 Sanmina Corp.1 ................................... 6,232,950
32,700 Sapient Corp.1 ................................... 3,496,856
492,555 Sara Lee Corp. ................................... 9,512,468
1,931,765 SBC Communications, Inc. ......................... 83,548,836
831,316 Schering-Plough Corp. ............................ 41,981,458
314,302 Schlumberger Ltd. ................................ 23,454,787
89,116 Scientific-Atlanta, Inc. ......................... 6,639,142
122,249 Seagate Technology, Inc.1 ........................ 6,723,695
245,303 Seagram Co. Ltd. ................................. 14,227,574
47,345 Sealed Air Corp.1 ................................ 2,479,694
200,049 Sears, Roebuck & Co. ............................. 6,526,599
138,396 Sempra Energy .................................... 2,352,732
17,384 Shared Medical Systems ........................... 1,267,946
97,650 Sherwin-Williams Co. ............................. 2,068,959
115,700 Siebel Systems, Inc.1 ............................ 18,924,181
58,611 Sigma Aldrich Corp. .............................. 1,714,372
See Notes to Financial Statements
--------------------------------------------------------------------------------
15
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES SECURITY VALUE
91,748 SLM Holding Corp. ................................. $ 3,434,816
33,332 Snap-On Tools Corp. ............................... 887,465
334,986 Solectron Corp.1 .................................. 14,027,539
367,400 Southern Co. ...................................... 8,565,013
99,984 Southtrust Corp ................................... 2,262,138
285,555 Southwest Airlines Co. ............................ 5,407,698
6,077 Springs Industries, Inc. -- Class A ............... 195,603
493,014 Sprint Corp. ...................................... 25,143,714
515,393 Sprint PCS1 ....................................... 30,665,884
47,631 St. Jude Medical, Inc.1 ........................... 2,185,072
120,154 St. Paul Cos., Inc. ............................... 4,100,255
49,794 Stanley Works ..................................... 1,182,608
266,592 Staples, Inc.1 .................................... 4,098,852
100,800 Starbucks Corp.1 .................................. 3,849,300
90,452 State Street Corp. ................................ 9,593,565
100,812 Summit Bancorp .................................... 2,482,496
894,387 Sun Microsystems, Inc.1 ........................... 81,333,318
53,113 Sunoco, Inc. ...................................... 1,563,514
171,263 Suntrust Banks, Inc. .............................. 7,824,578
83,909 SuperValu, Inc. ................................... 1,599,515
156,590 Synovus Financial Corp. ........................... 2,759,899
189,462 Sysco Corp. ....................................... 7,981,087
67,887 T. Rowe Price Associates, Inc. .................... 2,885,198
248,111 Target Corp. ...................................... 14,390,438
26,199 Tektronix, Inc. ................................... 1,938,726
227,589 Tellabs, Inc.1 .................................... 15,575,622
31,050 Temple Inland, Inc. ............................... 1,304,100
176,578 Tenet Healthcare Corp. ............................ 4,767,606
96,497 Teradyne, Inc.1 ................................... 7,092,530
314,175 Texaco, Inc. ...................................... 16,729,819
926,358 Texas Instruments, Inc. ........................... 63,629,215
83,912 Textron, Inc. ..................................... 4,557,471
89,545 Thermo Electron Corp.1 ............................ 1,886,042
37,736 Thomas & Betts Corp. .............................. 721,701
34,100 Tiffany & Co. ..................................... 2,301,750
734,771 Time Warner, Inc. ................................. 55,842,596
32,700 Times Mirror Co. -- Class A ....................... 2,963,438
33,548 Timken Co. ........................................ 624,832
177,279 TJX Cos., Inc. .................................... 3,323,981
74,504 Torchmark Corp. ................................... 1,839,318
81,486 Tosco Corp. ....................................... 2,307,072
138,115 Toys `R' Us, Inc.1 ................................ 2,011,300
116,142 Transocean Sedco .................................. 6,206,338
133,460 Tribune Co. ....................................... 5,274,707
86,324 Tricon Global Restaurants, Inc.1 .................. 2,438,653
65,667 TRW, Inc. ......................................... 2,848,306
33,231 Tupperware Corp. .................................. 731,082
149,653 TXU Corp. ......................................... 4,414,764
957,517 Tyco International Ltd. ........................... 45,362,368
426,201 U.S. Bancorp ...................................... 8,204,369
295,513 U.S. West, Inc. ................................... 25,340,240
100,711 Unicom Corp. ...................................... 3,896,257
322,974 Unilever NV ....................................... 13,887,882
SHARES SECURITY VALUE
75,897 Union Carbide Corp. .......................... $ 3,756,902
139,560 Union Pacific Corp. ........................... 5,189,888
153,275 Union Pacific Resources Group, Inc. ........... 3,372,050
78,574 Union Planters Corp. .......................... 2,195,161
174,861 Unisys Corp.1 ................................. 2,546,413
268,674 United Technologies Corp. ..................... 15,818,182
96,091 Unitedhealth Group, Inc. ...................... 8,239,803
133,824 Unocal Corp. .................................. 4,432,920
135,912 Unumprovident Corp. ........................... 2,726,735
40,406 US Airways Group, Inc.1 ....................... 1,575,834
92,004 UST, Inc. ..................................... 1,351,309
49,537 USX -- U.S. Steel Group ....................... 919,531
177,930 USX Marathon Group ............................ 4,459,371
65,111 V.F. Corp. .................................... 1,550,456
223,300 Veritas Software Corp.1 ....................... 25,236,389
877,806 Viacom, Inc. -- Class B 1 ..................... 59,855,397
89,475 Visteon Corp .................................. 1,084,883
56,708 Vulcan Materials Co. .......................... 2,420,723
40,741 W.R. Grace & Co.1 ............................. 493,985
52,610 W.W. Grainger, Inc. ........................... 1,621,046
114,236 Wachovia Corp. ................................ 6,197,303
2,544,723 Wal-Mart Stores, Inc. ......................... 146,639,663
570,324 Walgreen Co. .................................. 18,357,304
1,197,872 Walt Disney Co. ............................... 46,492,407
310,224 Washington Mutual, Inc. ....................... 8,957,718
365,375 Waste Management, Inc. ........................ 6,942,125
55,191 Watson Pharmaceuticals1 ....................... 2,966,516
35,959 Wellpoint Health Networks, Inc.1 .............. 2,604,780
912,626 Wells Fargo Co. ............................... 35,364,258
71,649 Wendy's International, Inc. ................... 1,276,248
53,569 Westvaco Corp. ................................ 1,329,181
135,051 Weyerhaeuser Co. .............................. 5,807,193
41,942 Whirlpool Corp. ............................... 1,955,546
60,554 Willamette Industries, Inc. ................... 1,650,097
245,907 Williams Cos., Inc. ........................... 10,251,248
65,185 Winn Dixie Stores, Inc. ....................... 932,960
64,764 Wm. Wrigley, Jr. Co. .......................... 5,193,263
1,623,131 Worldcom, Inc.1 ............................... 74,461,135
47,942 Worthington Industries, Inc. .................. 503,391
376,376 Xerox Corp. ................................... 7,809,802
181,299 Xilinx, Inc.1 ................................. 14,968,499
305,545 Yahoo!, Inc.1 ................................. 37,849,387
41,584 Young & Rubicam ............................... 2,378,085
--------------
TOTAL COMMON STOCK
(Cost $4,923,424,736) ................................. 7,128,372,492
--------------
See Notes to Financial Statements
--------------------------------------------------------------------------------
16
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
SHARES/
PRINCIPAL
AMOUNT SECURITY VALUE
SHORT TERM INSTRUMENTS -- 2.1%
MUTUAL FUND -- 2.0%
141,630,208 Cash Management Institutional ................. $ 141,630,208
U.S. TREASURY BILL -- 0.1%
$11,550,000 5.61%, 9/7/00 2 ............................. 11,430,365
--------------
TOTAL SHORT TERM INSTRUMENTS
(Cost $153,059,511) ..................................... 153,060,573
--------------
TOTAL INVESTMENTS
(Cost $5,076,484,247) .......................... 100.5% 7,281,433,065
LIABILITIES IN EXCESS OF OTHER ASSETS ............. (0.5) (37,447,720)
----- --------------
NET ASSETS ........................................ 100.0% $7,243,985,345
===== ==============
--------------------------------------------------------------------------------
1 Non-income producing security.
2 Held as collateral for futures contracts.
See Notes to Financial Statements
--------------------------------------------------------------------------------
17
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investments at Value (Cost of $5,076,484,247) ............ $7,281,433,065
Cash ..................................................... 3,087,847
Receivable for Shares of Beneficial Interest Subscribed .. 3,163,942
Receivable for Securities Sold ........................... 11,239,840
Variation Margin Receivable .............................. 1,206,852
Dividends and Interest Receivable ........................ 6,355,111
Other Assets ............................................. 100,566
--------------
Total Assets ................................................ 7,306,587,223
--------------
LIABILITIES
Payable for Securities Purchased ......................... 3,749,598
Payable for Shares ofBeneficial Interest Redeemed ........ 58,556,607
Due to Bankers Trust ..................................... 295,673
--------------
Total Liabilities ........................................... 62,601,878
--------------
NET ASSETS .................................................. $7,243,985,345
==============
COMPOSITION OF NET ASSETS
Paid-in Capital .......................................... $5,039,932,426
Net Unrealized Appreciation on Investments and Futures
Contracts .............................................. 2,204,052,919
--------------
NET ASSETS .................................................. $7,243,985,345
==============
See Notes to Financial Statements
--------------------------------------------------------------------------------
18
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $335,264) .. $ 46,366,945
Interest ................................................ 337,405
-------------
Total Investment Income .................................... 46,704,350
-------------
EXPENSES
Advisory Fees ........................................... 2,348,749
Administration and Services Fees ........................ 98,084
Professional Fees ....................................... 17,252
Trustees Fees ........................................... 1,622
Miscellaneous ........................................... 819
-------------
Total Expenses ............................................. 2,466,526
-------------
NET INVESTMENT INCOME ...................................... 44,237,824
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FUTURES CONTRACTS
Net Realized Gain from Investment Transactions .......... 828,725,066
Net Realized Loss from Futures Transactions ............. (9,545,343)
Net Change in Unrealized Appreciation/Depreciation
on Investments and Futures Contracts .................. (944,339,124)
-------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
AND FUTURES CONTRACTS ................................... (125,159,401)
-------------
NET DECREASE IN NET ASSETS FROM OPERATIONS ................. $ (80,921,577)
=============
See Notes to Financial Statements
--------------------------------------------------------------------------------
19
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................ $ 44,237,824 $ 92,907,589
Net Realized Gain (Loss) from Investment and
Futures Transactions .......................... 819,179,723 (26,748,772)
Net Change in Unrealized Appreciation/Depreciation
on Investments and Futures Contracts .......... (944,339,124) 1,245,281,501
--------------- ---------------
Net Increase (Decrease) in Net Assets from Operations (80,921,577) 1,311,440,318
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ................... 2,113,458,132 4,399,103,297
Value of Capital Withdrawn ....................... (2,953,648,092) (2,745,951,143)
--------------- ---------------
Net Increase (Decrease) in Net Assets from Capital
Transactions ..................................... (840,189,960) 1,653,152,154
--------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ............. (921,111,537) 2,964,592,472
NET ASSETS
Beginning of Period .............................. 8,165,096,882 5,200,504,410
--------------- ---------------
End of Period .................................... $ 7,243,985,345 $ 8,165,096,882
=============== ===============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements
--------------------------------------------------------------------------------
20
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
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 SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 1 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) .................. $7,243,985 $8,165,097 $5,200,504 $2,803,086 $1,925,224 $1,080,736
Ratios toAverage Net Assets:
Net Investment Income ........... 1.18%2 1.35% 1.50% 1.76% 2.20% 2.52%
Expenses After Waivers .......... 0.065%2,3 0.08% 0.08%4 0.08% 0.10% 0.10%
Expenses Before Waivers ......... 0.065%2,3 0.08% 0.10% 0.15% 0.15% 0.15%
Portfolio Turnover Rate ......... 11% 13% 4% 19% 15% 6%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Annualized.
3 Effective March 15, 2000, Bankers Trust contractually agreed to limit the
annual operating expenses of the portfolio to 0.05% of the portfolio's average
daily net assets.
4 Effective May 6, 1998, Bankers Trust contractually agreed to limit its fees
from the portfolio to the lesser of 0.005% or the amount that brings the total
annual operating expenses up to 0.08% of the portfolio's average daily net
assets.
</FN>
</TABLE>
See Notes to Financial Statements
--------------------------------------------------------------------------------
21
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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. VALUATION OF SECURITIES
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. SECURITIES TRANSACTIONS AND INTEREST INCOME
Securities 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. Expenses are recorded as incurred. 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 securities 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, depending on the daily fluctuations in
the value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio.
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 accounting principles
generally accepted in the United States 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. Effective March 15, 2000, Bankers Trust
agreed to limit the total amount of annual operating expenses of the Portfolio
to .05% under the agreement. Under this agreement, the investment advisory fee
and the administration and services fee have been reduced to .05% and .08%,
respectively of the Portfolio's average daily net assets.
The Portfolio may invest in Cash Management Institutional ("Cash Management"),
an open-end management investment company managed by Bankers Trust. Cash
Management is offered as a cash management option to the Portfolio and other
accounts managed by Bankers Trust. Distributions from Cash Management to the
Portfolio for the six months ended June 30, 2000 amounted to $4,482,789 and are
included in dividend income.
--------------------------------------------------------------------------------
22
<PAGE>
Equity 500 Index Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
At June 30, 2000, the Portfolio was a participant with other affiliated entities
in a revolving credit facility in the amount of $200,000,000, which expires
April 27, 2001. A commitment fee on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned among all
participants based on net assets. No amounts were drawn down or outstanding for
this fund under the credit facility for the six months ended June 30, 2000.
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 six months ended June 30, 2000, were
$831,032,886 and $1,545,748,872, respectively.
For federal income tax purposes, the tax basis of investments held at June 30,
2000 was $5,076,484,247. The aggregate gross unrealized appreciation was
$2,591,087,303 and the aggregate gross unrealized depreciation was $386,138,485
for all investments as of June 30, 2000.
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 2000 is
as follows:
MARKET UNREALIZED
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION VALUE DEPRECIATION
-------------- ---------- --------- -------- ------ ------------
S&P 500 Index September
Futures 2000 165 Long $60,559,125 $(895,899)
At June 30, 2000, the Portfolio segregated securities with a value of
approximately $11,430,365 to cover margin requirements on open futures
contracts.
--------------------------------------------------------------------------------
23
<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.
Deutsche Asset Management is the marketing name for the asset management
activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust
Company, DB Alex. Brown LLC, Deutsche Asset Management,Inc. and Deutsche Asset
Management Investment Services Limited.
Equity 500 Index Investment CUSIP #055847107
1662SA (06/00)
Distributed by:
ICC Distributors, Inc.
