<PAGE> 1
EQUITY 500 INDEX PORTFOLIO 10
-------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=================================================================================================
June 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------
Investments, at Value (Cost $633,467,762) $735,482,804
- -------------------------------------------------------------------------------------------------
Cash 2,615
- -------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 1,545,133
- -------------------------------------------------------------------------------------------------
Prepaid Expenses 858
- -------------------------------------------------------------------------------------------------
Total Assets 737,031,410
- -------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------
Due to Bankers Trust 52,977
- -------------------------------------------------------------------------------------------------
Variation Margin Payable 62,925
- -------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 15,671
- -------------------------------------------------------------------------------------------------
Total Liabilities 131,573
- -------------------------------------------------------------------------------------------------
NET ASSETS $736,899,837
=================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------
Paid-in Capital $634,855,670
- -------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 102,015,042
- -------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 29,125
- -------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $736,899,837
=================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 2
EQUITY 500 INDEX PORTFOLIO 11
-------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
============================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding tax of $71,619) $ 8,014,569
- ------------------------------------------------------------------------------------------------------------
Interest 616,125
- ------------------------------------------------------------------------------------------------------------
Total Investment Income $ 8,630,694
- ------------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------------
Advisory Fee 308,524
- ------------------------------------------------------------------------------------------------------------
Administration and Services Fee 154,262
- ------------------------------------------------------------------------------------------------------------
Professional Fees 14,154
- ------------------------------------------------------------------------------------------------------------
Trustees Fees 732
- ------------------------------------------------------------------------------------------------------------
Insurance 1,318
- ------------------------------------------------------------------------------------------------------------
Miscellaneous 654
- ------------------------------------------------------------------------------------------------------------
Total Expenses 479,644
- ------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (171,120) 308,524
- ------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 8,322,170
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 223,341
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 3,056,679
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 103,011,691
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 51,357
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 106,343,068
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $114,665,238
============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 3
EQUITY 500 INDEX PORTFOLIO 12
-------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
============================================================================================================
For the six For the
months ended year ended
June 30, 1995 December
(unaudited) 31, 1994
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ------------------------------------------------------------------------------------------------------------
Net Investment Income $ 8,322,170 $ 12,177,697
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and
Futures Transactions 3,280,020 (483,667)
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 103,063,048 (4,936,075)
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 114,665,238 6,757,955
- ------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 145,848,521 529,295,851
- ------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (83,385,450) (128,087,609)
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 62,463,071 401,208,242
- ------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 177,128,309 407,966,197
============================================================================================================
NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Beginning of Period 559,771,528 151,805,331
- ------------------------------------------------------------------------------------------------------------
End of Period $736,899,837 $559,771,528
============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 4
EQUITY 500 INDEX PORTFOLIO 13
-------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
For the six For the year ended
months ended December 31, December 31, 1992
June 30, 1995 ----------------------- (Commencement
(unaudited) 1994 1993 of Operations)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 2.70%* 2.84% 2.67% --
Ratio of Expenses to Average Net Assets 0.10%* 0.10% 0.10% --
Decrease Reflected in Above Ratio
of Expenses to Average Net Assets
Due to Absorption of Expenses
by Bankers Trust 0.06%* 0.06% 0.10% --
Portfolio Turnover Rate 3% 21% 31% --
Net Assets, End of Period
(000's omitted) $736,900 $559,772 $151,805 $9,435
</TABLE>
*Annualized
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 5
EQUITY 500 INDEX PORTFOLIO 14
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
COMMON STOCKS - 96.38%
==========================================================================
AEROSPACE - 1.96%
- --------------------------------------------------------------------------
61,442 Boeing $ 3,847,805
- --------------------------------------------------------------------------
10,222 General Dynamics 453,601
- --------------------------------------------------------------------------
36,410 Lockheed Martin 2,298,381
- --------------------------------------------------------------------------
14,836 Loral 767,763
- --------------------------------------------------------------------------
19,588 McDonnell Douglas 1,503,379
- --------------------------------------------------------------------------
7,979 Northrop Grumman 415,906
- --------------------------------------------------------------------------
22,207 Raytheon 1,723,819
- --------------------------------------------------------------------------
36,724 Rockwell International 1,680,123
- --------------------------------------------------------------------------
22,706 United Technologies 1,773,906
- --------------------------------------------------------------------------
14,464,683
==========================================================================
AIRLINES - 0.33%
- --------------------------------------------------------------------------
14,402 AMR (a) 1,074,749
- --------------------------------------------------------------------------
9,949 Delta Air Lines 733,739
- --------------------------------------------------------------------------
22,000 Southwest Airlines 525,250
- --------------------------------------------------------------------------
9,015 USAir Group (a) 104,799
- --------------------------------------------------------------------------
2,438,537
==========================================================================
APPAREL, TEXTILES - 0.67%
- --------------------------------------------------------------------------
1,493 Brown Group 33,966
- --------------------------------------------------------------------------
18,003 Charming Shoppes 94,516
- --------------------------------------------------------------------------
42,614 Corning 1,395,608
- --------------------------------------------------------------------------
9,100 Fruit of the Loom (a) 192,237
- --------------------------------------------------------------------------
16,203 Liz Claiborne 344,314
- --------------------------------------------------------------------------
19,119 Melville 654,826
- --------------------------------------------------------------------------
8,912 Nike, Cl. B 748,608
- --------------------------------------------------------------------------
15,629 Reebok International Ltd. 531,386
- --------------------------------------------------------------------------
4,611 Russell 132,566
- --------------------------------------------------------------------------
1,704 Springs Industries, Cl. A 63,474
- --------------------------------------------------------------------------
6,749 Stride Rite 70,021
- --------------------------------------------------------------------------
12,715 V.F. 683,431
- --------------------------------------------------------------------------
4,944,953
==========================================================================
AUTO RELATED - 2.56%
- --------------------------------------------------------------------------
69,897 Chrysler 3,346,319
- --------------------------------------------------------------------------
6,834 Cummins Engine 298,133
- --------------------------------------------------------------------------
15,774 Dana 451,531
- --------------------------------------------------------------------------
12,482 Eaton 725,516
- --------------------------------------------------------------------------
9,144 Echlin 317,754
- --------------------------------------------------------------------------
194,864 Ford Motor 5,797,204
- --------------------------------------------------------------------------
133,684 General Motors 6,266,437
- --------------------------------------------------------------------------
20,284 Genuine Parts 768,256
- --------------------------------------------------------------------------
6,090 PACCAR 284,708
- --------------------------------------------------------------------------
11,143 Parker-Hannifin 403,934
- --------------------------------------------------------------------------
1,212 SPX 13,787
- --------------------------------------------------------------------------
3,648 Timken 168,264
- --------------------------------------------------------------------------
18,841,843
==========================================================================
BANKS - 5.45%
- --------------------------------------------------------------------------
18,434 Ahmanson (H.F.) & Company 405,548
- --------------------------------------------------------------------------
73,359 Banc One 2,365,828
- --------------------------------------------------------------------------
21,067 Bank of Boston 790,012
- --------------------------------------------------------------------------
36,100 Bank of New York 1,457,537
- --------------------------------------------------------------------------
68,136 BankAmerica 3,585,657
- --------------------------------------------------------------------------
18,297 Barnett Banks 937,721
- --------------------------------------------------------------------------
20,554 Boatmen's Bancshares 724,528
- --------------------------------------------------------------------------
33,494 Chase Manhattan 1,574,218
- --------------------------------------------------------------------------
47,355 Chemical Banking 2,237,524
- --------------------------------------------------------------------------
72,066 Citicorp 4,170,820
- --------------------------------------------------------------------------
21,164 Corestates Financial 738,094
- --------------------------------------------------------------------------
16,988 First Chicago 1,017,156
- --------------------------------------------------------------------------
13,354 First Fidelity Bancorp 787,886
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 6
EQUITY 500 INDEX PORTFOLIO 15
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
14,672 First Interstate Bancorp $ 1,177,428
- --------------------------------------------------------------------------
30,923 First Union 1,399,266
- --------------------------------------------------------------------------
10,317 Golden West Financial 486,189
- --------------------------------------------------------------------------
25,684 Great Western Financial 529,733
- --------------------------------------------------------------------------
45,200 KeyCorp 1,418,150
- --------------------------------------------------------------------------
28,262 Mellon Bank 1,176,406
- --------------------------------------------------------------------------
34,560 Morgan (J.P.) 2,423,520
- --------------------------------------------------------------------------
22,600 National City 663,875
- --------------------------------------------------------------------------
51,126 NationsBank 2,741,632
- --------------------------------------------------------------------------
25,271 NBD Bancorp 808,672
- --------------------------------------------------------------------------
53,808 Norwest 1,546,980
- --------------------------------------------------------------------------
20,505 Shawmut National 653,597
- --------------------------------------------------------------------------
19,980 Sun Trust Banks 1,163,835
- --------------------------------------------------------------------------
19,188 U.S. Bancorp 461,711
- --------------------------------------------------------------------------
29,400 Wachovia 1,051,050
- --------------------------------------------------------------------------
9,322 Wells Fargo 1,680,291
- --------------------------------------------------------------------------
40,174,864
==========================================================================
BEVERAGES - 3.55%
- --------------------------------------------------------------------------
46,640 Anheuser-Busch 2,652,650
- --------------------------------------------------------------------------
8,219 Brown Forman, Cl. B 274,309
- --------------------------------------------------------------------------
225,311 Coca-Cola 14,363,576
- --------------------------------------------------------------------------
5,968 Coors (Adolph), Cl. B 97,726
- --------------------------------------------------------------------------
140,747 Pepsico 6,421,582
- --------------------------------------------------------------------------
68,137 Seagram, ADR 2,359,244
- --------------------------------------------------------------------------
26,169,087
==========================================================================
BUILDING & CONSTRUCTION - 0.74%
- --------------------------------------------------------------------------
7,783 Armstrong World Industries 390,123
- --------------------------------------------------------------------------
5,990 Centex 169,217
- --------------------------------------------------------------------------
3,311 Crane 120,024
- --------------------------------------------------------------------------
6,906 Fleetwood Enterprises 136,394
- --------------------------------------------------------------------------
81,951 Home Depot 3,329,259
- --------------------------------------------------------------------------
25,811 Masco 696,897
- --------------------------------------------------------------------------
3,022 Morrison Knudsen 20,399
- --------------------------------------------------------------------------
8,150 Owens-Corning (a) 300,531
- --------------------------------------------------------------------------
2,036 Skyline 36,903
- --------------------------------------------------------------------------
6,165 Stanley Works 233,499
- --------------------------------------------------------------------------
5,433,246
==========================================================================
BUILDING, FOREST PRODUCTS - 0.77%
- --------------------------------------------------------------------------
7,403 Boise Cascade 299,821
- --------------------------------------------------------------------------
18,028 Champion International 939,709
- --------------------------------------------------------------------------
16,901 Georgia-Pacific 1,466,162
- --------------------------------------------------------------------------
8,577 Johnson Controls 484,600
- --------------------------------------------------------------------------
2,045 Kaufman & Broad Home 29,653
- --------------------------------------------------------------------------
18,058 Louisiana Pacific 474,023
- --------------------------------------------------------------------------
4,901 Potlatch 204,617
- --------------------------------------------------------------------------
37,994 Weyerhaeuser 1,790,467
- --------------------------------------------------------------------------
5,689,052
==========================================================================
CHEMICALS - 3.39%
- --------------------------------------------------------------------------
21,704 Air Products & Chemical 1,209,998
- --------------------------------------------------------------------------
25,320 Amgen (a) 2,036,678
- --------------------------------------------------------------------------
49,776 Dow Chemical 3,577,650
- --------------------------------------------------------------------------
98,796 Du Pont (E.I.) de Nemours 6,792,225
- --------------------------------------------------------------------------
13,781 Eastman Chemical 819,970
- --------------------------------------------------------------------------
1,660 First Mississippi 56,647
- --------------------------------------------------------------------------
5,750 FMC (a) 386,688
- --------------------------------------------------------------------------
17,849 Grace (W.R.) 1,095,482
- --------------------------------------------------------------------------
11,596 Great Lakes Chemical 698,659
- --------------------------------------------------------------------------
19,814 Hercules 965,932
- --------------------------------------------------------------------------
15,702 Mallinckrodt Group 557,421
- --------------------------------------------------------------------------
20,944 Monsanto 1,887,578
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 7
EQUITY 500 INDEX PORTFOLIO 16
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
24,906 Morton International $ 728,500
- --------------------------------------------------------------------------
11,725 Nalco Chemical 426,497
- --------------------------------------------------------------------------
37,042 PPG Industries 1,592,806
- --------------------------------------------------------------------------
7,638 Raychem 293,108
- --------------------------------------------------------------------------
11,459 Rohm & Haas 628,813
- --------------------------------------------------------------------------
6,700 Sigma Aldrich 329,137
- --------------------------------------------------------------------------
26,917 Union Carbide 898,355
- --------------------------------------------------------------------------
24,982,144
==========================================================================
COMPUTER HARDWARE - 0.15%
- --------------------------------------------------------------------------
23,042 Apple Computer 1,070,013
==========================================================================
COMPUTER SERVICES - 0.59%
- --------------------------------------------------------------------------
26,656 Automatic Data Processing 1,675,996
- --------------------------------------------------------------------------
14,000 Cabletron Systems (a) 745,500
- --------------------------------------------------------------------------
17,200 CUC International (a) 722,400
- --------------------------------------------------------------------------
29,700 Silicon Graphics (a) 1,184,287
- --------------------------------------------------------------------------
4,328,183
==========================================================================
COMPUTER SOFTWARE - 2.29%
- --------------------------------------------------------------------------
48,900 Cisco Systems (a) 2,472,506
- --------------------------------------------------------------------------
29,345 Computer Associates International 1,988,124
- --------------------------------------------------------------------------
104,300 Microsoft (a) 9,426,113
- --------------------------------------------------------------------------
78,036 Oracle Systems (a) 3,014,140
- --------------------------------------------------------------------------
16,900,883
==========================================================================
CONTAINERS - 0.31%
- --------------------------------------------------------------------------
10,515 Avery Dennison 420,600
- --------------------------------------------------------------------------
2,754 Ball 96,046
- --------------------------------------------------------------------------
17,350 Crown Cork & Seal (a) 869,669
- --------------------------------------------------------------------------
19,949 Stone Container (a) 423,916
- --------------------------------------------------------------------------
10,022 Temple-Inland (a) 477,298
- --------------------------------------------------------------------------
2,287,529
==========================================================================
COSMETICS - 0.73%
- --------------------------------------------------------------------------
1,599 Alberto-Culver, Cl. B 48,370
- --------------------------------------------------------------------------
11,714 Avon Products 784,838
- --------------------------------------------------------------------------
80,108 Gillette 3,574,819
- --------------------------------------------------------------------------
19,687 International Flavors & Fragrance 979,428
- --------------------------------------------------------------------------
5,387,455
==========================================================================
DIVERSIFIED - 1.00%
- --------------------------------------------------------------------------
6,902 Ceridian (a) 254,511
- --------------------------------------------------------------------------
9,700 Loews (a) 1,173,700
- --------------------------------------------------------------------------
75,478 Minnesota Mining & Manufacturing 4,321,115
- --------------------------------------------------------------------------
1,181 NACCO Industries, Cl. A 70,712
- --------------------------------------------------------------------------
17,864 Pall 397,474
- --------------------------------------------------------------------------
22,215 Praxair 555,375
- --------------------------------------------------------------------------
12,620 Supervalu 367,558
- --------------------------------------------------------------------------
8,857 Teledyne 216,997
- --------------------------------------------------------------------------
7,357,442
==========================================================================
DRUGS - 5.00%
- --------------------------------------------------------------------------
55,483 American Home Products 4,292,997
- --------------------------------------------------------------------------
90,689 Bristol Myers-Squibb 6,178,188
- --------------------------------------------------------------------------
52,685 Lily (Eli) 4,135,772
- --------------------------------------------------------------------------
220,197 Merck & Co. 10,789,653
- --------------------------------------------------------------------------
56,302 Pfizer 5,200,897
- --------------------------------------------------------------------------
68,758 Schering-Plough 3,033,947
- --------------------------------------------------------------------------
28,460 Upjohn 1,077,923
- --------------------------------------------------------------------------
24,643 Warner-Lambert 2,128,539
- --------------------------------------------------------------------------
36,837,916
==========================================================================
ELECTRICAL EQUIPMENT - 3.84%
- --------------------------------------------------------------------------
301,222 General Electric 16,981,390
- --------------------------------------------------------------------------
7,372 General Signal 293,037
- --------------------------------------------------------------------------
8,465 Grainger (W.W.) 497,319
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 8
EQUITY 500 INDEX PORTFOLIO 17
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
91,170 Hewlett-Packard $ 6,792,165
- --------------------------------------------------------------------------
19,223 ITT 2,258,703
- --------------------------------------------------------------------------
11,316 Tyco International 611,064
- --------------------------------------------------------------------------
58,410 Westinghouse Electric 854,246
- --------------------------------------------------------------------------
28,287,924
==========================================================================
ELECTRONICS - 4.73%
- --------------------------------------------------------------------------
20,141 Advanced Micro Devices 732,629
- --------------------------------------------------------------------------
52,006 Allied Signal 2,314,267
- --------------------------------------------------------------------------
38,618 AMP 1,631,610
- --------------------------------------------------------------------------
15,800 Applied Materials (a) 1,368,675
- --------------------------------------------------------------------------
21,590 DSC Communications (a) 1,003,935
- --------------------------------------------------------------------------
42,300 Emerson Electric 3,024,450
- --------------------------------------------------------------------------
7,371 Harris 380,528
- --------------------------------------------------------------------------
147,614 Intel 9,345,811
- --------------------------------------------------------------------------
37,700 Micron Technology 2,068,787
- --------------------------------------------------------------------------
105,242 Motorola 7,064,369
- --------------------------------------------------------------------------
1,625 M/A-Com (a) 19,094
- --------------------------------------------------------------------------
24,526 National Semiconductor (a) 680,596
- --------------------------------------------------------------------------
41,401 Northern Telecom 1,511,136
- --------------------------------------------------------------------------
6,125 Perkin-Elmer 217,438
- --------------------------------------------------------------------------
10,638 Scientific-Atlanta 234,036
- --------------------------------------------------------------------------
3,738 Tektronix 184,097
- --------------------------------------------------------------------------
16,964 Texas Instruments 2,271,056
- --------------------------------------------------------------------------
3,500 Thomas & Betts 239,313
- --------------------------------------------------------------------------
6,027 Trinova 210,945
- --------------------------------------------------------------------------
7,959 Western Atlas (a) 353,181
- --------------------------------------------------------------------------
34,855,953
==========================================================================
ENVIRONMENTAL CONTROL - 0.59%
- --------------------------------------------------------------------------
37,335 Browning-Ferris Industries 1,348,727
- --------------------------------------------------------------------------
39,000 Laidlaw, Cl. B 375,375
- --------------------------------------------------------------------------
7,326 Safety-Kleen 118,132
- --------------------------------------------------------------------------
88,358 WMX Technologies 2,507,158
- --------------------------------------------------------------------------
1,272 Zurn Industries 25,440
- --------------------------------------------------------------------------
4,374,832
==========================================================================
FINANCIAL SERVICES - 3.07%
- --------------------------------------------------------------------------
89,766 American Express 3,153,031
- --------------------------------------------------------------------------
9,152 Beneficial 402,688
- --------------------------------------------------------------------------
31,874 Dean Witter, Discover 1,498,078
- --------------------------------------------------------------------------
32,956 Federal Home Loan Mortgage 2,265,725
- --------------------------------------------------------------------------
48,941 Federal National Mortgage 4,618,807
- --------------------------------------------------------------------------
37,100 First Data 2,110,062
- --------------------------------------------------------------------------
27,691 Fleet Financial Group 1,028,028
- --------------------------------------------------------------------------
15,258 Household International 755,271
- --------------------------------------------------------------------------
22,630 MBNA 763,763
- --------------------------------------------------------------------------
33,738 Merrill Lynch 1,771,245
- --------------------------------------------------------------------------
39,733 PNC Bank Corp 1,047,958
- --------------------------------------------------------------------------
17,433 Salomon 699,499
- --------------------------------------------------------------------------
58,173 Travelers 2,545,069
- --------------------------------------------------------------------------
22,659,224
==========================================================================
FOOD, SERVICE, LODGING - 0.78%
- --------------------------------------------------------------------------
10,803 Bruno's 125,585
- --------------------------------------------------------------------------
26,119 Darden Restaurants (a) 284,044
- --------------------------------------------------------------------------
4,051 Luby's Cafeterias 81,526
- --------------------------------------------------------------------------
124,514 McDonald's 4,871,610
- --------------------------------------------------------------------------
6,282 Ryan's Family Steak House (a) 49,471
- --------------------------------------------------------------------------
4,809 Shoney's (a) 56,506
- --------------------------------------------------------------------------
14,262 Wendy's International 254,933
- --------------------------------------------------------------------------
5,723,675
==========================================================================
FOODS - 3.37%
- --------------------------------------------------------------------------
92,586 Archer-Daniels-Midland 1,724,414
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 9
EQUITY 500 INDEX PORTFOLIO 18
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
42,369 Campbell Soup $ 2,076,081
- --------------------------------------------------------------------------
44,516 ConAgra 1,552,495
- --------------------------------------------------------------------------
24,530 CPC International 1,514,727
- --------------------------------------------------------------------------
27,219 General Mills 1,398,376
- --------------------------------------------------------------------------
44,650 Heinz, (H.J.) 1,981,344
- --------------------------------------------------------------------------
12,797 Hershey Foods 707,034
- --------------------------------------------------------------------------
39,907 Kellogg 2,848,362
- --------------------------------------------------------------------------
14,300 Pioneer Hi-Bred International 600,600
- --------------------------------------------------------------------------
10,296 Premark Internatinal 534,105
- --------------------------------------------------------------------------
24,684 Quaker Oats 811,487
- --------------------------------------------------------------------------
17,205 Ralston-Purina Group 877,455
- --------------------------------------------------------------------------
86,787 Sara Lee 2,473,430
- --------------------------------------------------------------------------
30,310 Sysco 894,145
- --------------------------------------------------------------------------
27,717 Unilever N.V., ADR 3,606,675
- --------------------------------------------------------------------------
17,327 Whitman 335,711
- --------------------------------------------------------------------------
18,892 Wrigley (Wm) Jr. 876,116
- --------------------------------------------------------------------------
24,812,557
==========================================================================
HEALTHCARE - 1.28%
- --------------------------------------------------------------------------
142,922 Abbott Laboratories 5,788,341
- --------------------------------------------------------------------------
83,643 Columbia/HCA Healthcare 3,617,560
- --------------------------------------------------------------------------
9,405,901
==========================================================================
HOSPITAL SUPPLIES & SERVICES - 2.23%
- --------------------------------------------------------------------------
9,001 Allergan 244,152
- --------------------------------------------------------------------------
13,234 Alza, Cl. A (a) 309,345
- --------------------------------------------------------------------------
9,477 Bard (C.R.) 284,310
- --------------------------------------------------------------------------
9,823 Bausch & Lomb 407,654
- --------------------------------------------------------------------------
50,263 Baxter International 1,828,317
- --------------------------------------------------------------------------
13,066 Becton, Dickinson 761,094
- --------------------------------------------------------------------------
9,682 Beverly Enterprises (a) 119,815
- --------------------------------------------------------------------------
15,050 Biomet (a) 233,275
- --------------------------------------------------------------------------
6,417 Community Psychiatric Centers 72,191
- --------------------------------------------------------------------------
115,148 Johnson & Johnson 7,786,884
- --------------------------------------------------------------------------
8,560 Manor Care 249,310
- --------------------------------------------------------------------------
20,626 Medtronic 1,590,780
- --------------------------------------------------------------------------
2,674 Shared Medical Systems 107,294
- --------------------------------------------------------------------------
9,613 St. Jude Medical (a) 481,852
- --------------------------------------------------------------------------
27,310 Tenet Healthcare (a) 392,581
- --------------------------------------------------------------------------
32,300 United Healthcare 1,336,413
- --------------------------------------------------------------------------
9,248 U.S. Surgical 193,052
- --------------------------------------------------------------------------
16,398,319
==========================================================================
HOTEL, MOTEL - 0.29%
- --------------------------------------------------------------------------
8,812 Hilton Hotels 619,043
- --------------------------------------------------------------------------
21,090 Marriott International 756,604
- --------------------------------------------------------------------------
19,815 Promus (a) 772,785
- --------------------------------------------------------------------------
2,148,432
==========================================================================
HOUSEHOLD FURNISHINGS - 0.24%
- --------------------------------------------------------------------------
1,433 Bassett Furniture 40,124
- --------------------------------------------------------------------------
16,512 Maytag 264,192
- --------------------------------------------------------------------------
26,858 Newell 658,021
- --------------------------------------------------------------------------
14,339 Whirlpool 788,645
- --------------------------------------------------------------------------
2,490 Zenith Electronics (a) 18,364
- --------------------------------------------------------------------------
1,769,346
==========================================================================
HOUSEHOLD PRODUCTS - 0.10%
- --------------------------------------------------------------------------
27,302 Rubbermaid 757,631
==========================================================================
INSURANCE - 2.73%
- --------------------------------------------------------------------------
21,113 Aetna Life & Casualty 1,327,480
- --------------------------------------------------------------------------
7,509 Alexander & Alexander Services 179,277
- --------------------------------------------------------------------------
38,854 American General 1,311,322
- --------------------------------------------------------------------------
56,478 American International Group 6,438,492
- --------------------------------------------------------------------------
16,236 Chubb 1,300,909
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 10
EQUITY 500 INDEX PORTFOLIO 19
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
12,033 CIGNA $ 934,062
- --------------------------------------------------------------------------
14,578 General Re 1,951,630
- --------------------------------------------------------------------------
9,985 Jefferson-Pilot 546,679
- --------------------------------------------------------------------------
15,610 Lincoln National 682,937
- --------------------------------------------------------------------------
13,062 Marsh & McLennan 1,059,655
- --------------------------------------------------------------------------
17,698 Providian 641,552
- --------------------------------------------------------------------------
10,401 SAFECO 597,407
- --------------------------------------------------------------------------
15,530 St. Paul 764,853
- --------------------------------------------------------------------------
11,434 Torchmark 431,634
- --------------------------------------------------------------------------
12,700 UNUM 595,313
- --------------------------------------------------------------------------
12,817 USF & G 208,276
- --------------------------------------------------------------------------
30,500 U.S. HealthCare 934,063
- --------------------------------------------------------------------------
4,787 USLife 192,677
- --------------------------------------------------------------------------
20,098,218
==========================================================================
LEISURE RELATED - 1.11%
- --------------------------------------------------------------------------
14,314 American Greetings 420,474
- --------------------------------------------------------------------------
4,093 Bally Entertainment (a) 50,139
- --------------------------------------------------------------------------
19,742 Brunswick 335,614
- --------------------------------------------------------------------------
93,273 Disney (Walt) 5,188,311
- --------------------------------------------------------------------------
2,239 Handleman 21,550
- --------------------------------------------------------------------------
11,939 Harcourt General 507,408
- --------------------------------------------------------------------------
16,925 Hasbro 537,369
- --------------------------------------------------------------------------
5,222 Jostens 110,967
- --------------------------------------------------------------------------
35,652 Mattel 926,952
- --------------------------------------------------------------------------
3,618 Outboard Marine 71,003
- --------------------------------------------------------------------------
8,169,787
==========================================================================
MACHINERY - 1.59%
- --------------------------------------------------------------------------
11,371 Black & Decker 351,080
- --------------------------------------------------------------------------
4,182 Briggs & Stratton 144,279
- --------------------------------------------------------------------------
37,982 Caterpillar 2,440,343
- --------------------------------------------------------------------------
3,647 Cincinnati Milacron 98,469
- --------------------------------------------------------------------------
20,548 Cooper Industries 811,646
- --------------------------------------------------------------------------
16,841 Deere 1,442,011
- --------------------------------------------------------------------------
10,602 Dover 771,295
- --------------------------------------------------------------------------
29,082 Dresser Industries 647,075
- --------------------------------------------------------------------------
18,030 Echo Bay Mines Ltd. 162,270
- --------------------------------------------------------------------------
3,747 Giddings & Lewis 66,978
- --------------------------------------------------------------------------
4,722 Harnischfeger Industries 163,499
- --------------------------------------------------------------------------
19,796 Illinois Tool Works 1,088,780
- --------------------------------------------------------------------------
19,631 Ingersoll-Rand 750,886
- --------------------------------------------------------------------------
3,496 Millipore 235,980
- --------------------------------------------------------------------------
11,958 Navistar International (a) 180,865
- --------------------------------------------------------------------------
6,896 Snap-On 267,220
- --------------------------------------------------------------------------
16,003 Textron 930,174
- --------------------------------------------------------------------------
11,186 TRW 893,482
- --------------------------------------------------------------------------
6,862 Varity (a) 301,928
- --------------------------------------------------------------------------
11,748,260
==========================================================================
MEDICAL SUPPLIES - 0.10%
- --------------------------------------------------------------------------
22,700 Boston Scientific (a) 723,563
==========================================================================
METALS - 1.68%
- --------------------------------------------------------------------------
36,736 Alcan Aluminium 1,111,264
- --------------------------------------------------------------------------
33,000 Aluminum Company of America 1,654,125
- --------------------------------------------------------------------------
15,835 Armco (a) 106,886
- --------------------------------------------------------------------------
7,249 ASARCO 221,094
- --------------------------------------------------------------------------
65,100 Barrick Gold 1,643,775
- --------------------------------------------------------------------------
17,749 Bethlehem Steel (a) 288,421
- --------------------------------------------------------------------------
14,894 Cyprus Amax Minerals 424,479
- --------------------------------------------------------------------------
14,939 Engelhard 640,510
- --------------------------------------------------------------------------
22,543 Homestake Mining 371,959
- --------------------------------------------------------------------------
18,766 Inco Ltd. 530,139
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 11
EQUITY 500 INDEX PORTFOLIO 20
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
5,803 Inland Steel Industries $ 176,992
- --------------------------------------------------------------------------
15,934 Newmont Mining 667,236
- --------------------------------------------------------------------------
16,894 Nucor 903,829
- --------------------------------------------------------------------------
5,831 Ogden 127,553
- --------------------------------------------------------------------------
13,508 Phelps Dodge 796,972
- --------------------------------------------------------------------------
44,804 Placer Dome 1,170,505
- --------------------------------------------------------------------------
11,649 Reynolds Metals 602,836
- --------------------------------------------------------------------------
19,308 Santa Fe Pacific Gold 234,110
- --------------------------------------------------------------------------
12,377 USX-U.S. Steel Group 425,459
- --------------------------------------------------------------------------
12,379 Worthington Industries 252,996
- --------------------------------------------------------------------------
12,351,140
==========================================================================
OFFICE EQUIPMENT - 3.18%
- --------------------------------------------------------------------------
9,031 Alco Standard 721,351
- --------------------------------------------------------------------------
17,857 Amdahl (a) 198,659
- --------------------------------------------------------------------------
10,114 Autodesk 434,902
- --------------------------------------------------------------------------
47,913 Compaq Computer (a) 2,174,052
- --------------------------------------------------------------------------
8,386 Computer Sciences (a) 476,954
- --------------------------------------------------------------------------
4,468 Cray Research (a) 108,908
- --------------------------------------------------------------------------
6,045 Data General (a) 58,183
- --------------------------------------------------------------------------
27,532 Digital Equipment (a) 1,121,929
- --------------------------------------------------------------------------
23,019 Honeywell 992,694
- --------------------------------------------------------------------------
7,946 Intergraph (a) 88,399
- --------------------------------------------------------------------------
103,441 International Business Machines 9,930,336
- --------------------------------------------------------------------------
10,331 Lotus Development (a) 658,601
- --------------------------------------------------------------------------
13,079 Moore 289,373
- --------------------------------------------------------------------------
68,392 Novell (a) 1,363,566
- --------------------------------------------------------------------------
25,998 Pitney Bowes 997,673
- --------------------------------------------------------------------------
18,364 Sun Microsystems (a) 890,654
- --------------------------------------------------------------------------
19,460 Tandem Computers (a) 313,793
- --------------------------------------------------------------------------
27,199 Unisys (a) 295,789
- --------------------------------------------------------------------------
19,545 Xerox 2,291,651
- --------------------------------------------------------------------------
23,407,467
==========================================================================
OIL RELATED - 9.41%
- --------------------------------------------------------------------------
16,593 Amerada Hess 810,983
- --------------------------------------------------------------------------
88,802 Amoco 5,916,433
- --------------------------------------------------------------------------
11,087 Ashland 389,431
- --------------------------------------------------------------------------
29,025 Atlantic Richfield 3,185,494
- --------------------------------------------------------------------------
23,644 Baker Hughes 484,702
- --------------------------------------------------------------------------
21,100 Burlington Resources 778,062
- --------------------------------------------------------------------------
116,766 Chevron 5,444,215
- --------------------------------------------------------------------------
18,366 Coastal 557,867
- --------------------------------------------------------------------------
228,657 Exxon 16,148,901
- --------------------------------------------------------------------------
15,781 Fluor 820,612
- --------------------------------------------------------------------------
4,738 Foster Wheeler 167,014
- --------------------------------------------------------------------------
19,290 Halliburton 689,617
- --------------------------------------------------------------------------
2,808 Helmerich & Payne 82,836
- --------------------------------------------------------------------------
9,032 Kerr-McGee 484,341
- --------------------------------------------------------------------------
4,362 Louisiana Land & Exploration 173,935
- --------------------------------------------------------------------------
9,187 McDermott International 221,636
- --------------------------------------------------------------------------
70,671 Mobil 6,784,416
- --------------------------------------------------------------------------
16,728 Noram Energy 108,732
- --------------------------------------------------------------------------
59,314 Occidental Petroleum 1,356,808
- --------------------------------------------------------------------------
16,579 Oryx Energy (a) 227,961
- --------------------------------------------------------------------------
7,354 Pennzoil 346,557
- --------------------------------------------------------------------------
48,506 Phillips Petroleum 1,618,888
- --------------------------------------------------------------------------
16,500 Rowan (a) 134,063
- --------------------------------------------------------------------------
95,401 Royal Dutch Petroleum 11,626,997
- --------------------------------------------------------------------------
8,269 Santa Fe Energy Resources (a) 78,556
- --------------------------------------------------------------------------
43,881 Schlumberger 2,726,107
- --------------------------------------------------------------------------
17,833 Sun 488,178
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 12
EQUITY 500 INDEX PORTFOLIO 21
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
30,934 Tenneco $ 1,422,964
- --------------------------------------------------------------------------
46,961 Texaco 3,081,816
- --------------------------------------------------------------------------
44,337 Unocal 1,224,810
- --------------------------------------------------------------------------
51,664 USX-Marathon Group 1,020,364
- --------------------------------------------------------------------------
20,312 Williams 708,381
- --------------------------------------------------------------------------
69,311,677
==========================================================================
PAPER - 1.01%
- --------------------------------------------------------------------------
5,731 Bemis 149,006
- --------------------------------------------------------------------------
6,233 Federal Paper Board 220,492
- --------------------------------------------------------------------------
23,314 International Paper 1,999,175
- --------------------------------------------------------------------------
12,535 James River 346,279
- --------------------------------------------------------------------------
26,371 Kimberly-Clark 1,578,964
- --------------------------------------------------------------------------
9,951 Mead 590,841
- --------------------------------------------------------------------------
28,398 Scott Paper 1,405,701
- --------------------------------------------------------------------------
11,903 Union Camp 688,886
- --------------------------------------------------------------------------
9,807 Westvaco 433,960
- --------------------------------------------------------------------------
7,413,304
==========================================================================
PHOTOGRAPHY & OPTICAL - 0.55%
- --------------------------------------------------------------------------
61,326 Eastman Kodak 3,717,889
- --------------------------------------------------------------------------
8,482 Polaroid 345,641
- --------------------------------------------------------------------------
4,063,530
==========================================================================
PRINTING & PUBLISHING - 1.47%
- --------------------------------------------------------------------------
13,291 Deluxe 440,264
- --------------------------------------------------------------------------
16,572 Dow Jones 611,093
- --------------------------------------------------------------------------
31,279 Dun & Bradstreet 1,642,148
- --------------------------------------------------------------------------
24,196 Gannett 1,312,633
- --------------------------------------------------------------------------
3,804 Harland (John H.) 87,017
- --------------------------------------------------------------------------
9,463 Knight-Ridder 538,208
- --------------------------------------------------------------------------
9,315 McGraw-Hill 706,776
- --------------------------------------------------------------------------
4,736 Meredith 120,176
- --------------------------------------------------------------------------
15,884 New York Times, Cl. A 373,274
- --------------------------------------------------------------------------
26,452 RR Donnelley & Sons 952,272
- --------------------------------------------------------------------------
68,715 Time Warner 2,825,904
- --------------------------------------------------------------------------
21,629 Times Mirror, Cl. A 516,392
- --------------------------------------------------------------------------
11,798 Tribune 724,102
- --------------------------------------------------------------------------
10,850,259
==========================================================================
PROFESSIONAL SERVICES - 0.46%
- --------------------------------------------------------------------------
13,036 Dial 322,641
- --------------------------------------------------------------------------
7,300 Ecolab 178,850
- --------------------------------------------------------------------------
8,825 EG&G 147,819
- --------------------------------------------------------------------------
20,335 H & R Block 836,277
- --------------------------------------------------------------------------
13,907 Interpublic Group 521,512
- --------------------------------------------------------------------------
7,526 National Service Industries 217,313
- --------------------------------------------------------------------------
13,696 Service Corp International 433,136
- --------------------------------------------------------------------------
13,043 Transamerica 759,755
- --------------------------------------------------------------------------
3,417,303
==========================================================================
RAILROADS - 1.03%
- --------------------------------------------------------------------------
17,023 Burlington Northern 1,078,833
- --------------------------------------------------------------------------
15,772 Conrail 877,317
- --------------------------------------------------------------------------
19,516 CSX 1,466,139
- --------------------------------------------------------------------------
22,651 Norfolk Southern 1,526,111
- --------------------------------------------------------------------------
22,843 Santa Fe Pacific (a) 582,497
- --------------------------------------------------------------------------
37,747 Union Pacific 2,090,240
- --------------------------------------------------------------------------
7,621,137
==========================================================================
REAL ESTATE - 0.01%
- --------------------------------------------------------------------------
2,566 Pulte 71,848
==========================================================================
RETAIL - 4.87%
- --------------------------------------------------------------------------
47,302 Albertson's 1,407,234
- --------------------------------------------------------------------------
29,318 American Stores 824,569
- --------------------------------------------------------------------------
19,346 Circuit City Stores 611,817
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 13
EQUITY 500 INDEX PORTFOLIO 22
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
13,636 Dayton Hudson $ 978,383
- --------------------------------------------------------------------------
18,097 Dillard Department Stores, Cl. A 531,599
- --------------------------------------------------------------------------
6,279 Fleming 166,393
- --------------------------------------------------------------------------
23,807 Gap 830,269
- --------------------------------------------------------------------------
8,193 Giant Food 232,476
- --------------------------------------------------------------------------
5,125 Great Atlantic & Pacific 135,172
- --------------------------------------------------------------------------
42,550 J.C. Penney 2,042,400
- --------------------------------------------------------------------------
85,703 Kmart 1,253,406
- --------------------------------------------------------------------------
15,760 Kroger (a) 423,550
- --------------------------------------------------------------------------
59,012 Limited 1,298,264
- --------------------------------------------------------------------------
1,813 Longs Drug Stores 67,988
- --------------------------------------------------------------------------
30,694 Lowe's 916,983
- --------------------------------------------------------------------------
45,598 May Department Stores 1,898,017
- --------------------------------------------------------------------------
5,530 Mercantile Stores 257,145
- --------------------------------------------------------------------------
16,229 Nordstrom 671,475
- --------------------------------------------------------------------------
8,012 Pep-Boys Manny Moe & Jack 214,321
- --------------------------------------------------------------------------
35,599 Price/Costco (a) 578,486
- --------------------------------------------------------------------------
17,701 Rite Aid 453,588
- --------------------------------------------------------------------------
73,009 Sears, Roebuck 4,371,414
- --------------------------------------------------------------------------
14,637 Sherwin-Williams 521,443
- --------------------------------------------------------------------------
10,583 Tandy 548,993
- --------------------------------------------------------------------------
12,554 TJX 166,341
- --------------------------------------------------------------------------
51,618 Toys 'R' Us (a) 1,509,827
- --------------------------------------------------------------------------
19,367 Walgreen 970,771
- --------------------------------------------------------------------------
408,948 Wal-Mart Stores 10,939,359
- --------------------------------------------------------------------------
12,240 Winn-Dixie Stores 706,860
- --------------------------------------------------------------------------
22,822 Woolworth 345,183
- --------------------------------------------------------------------------
35,873,726
==========================================================================
SOAPS & TOILETRIES - 1.54%
- --------------------------------------------------------------------------
9,452 Clorox 616,743
- --------------------------------------------------------------------------
26,551 Colgate-Palmolive 1,941,542
- --------------------------------------------------------------------------
122,470 Procter & Gamble 8,802,531
- --------------------------------------------------------------------------
11,360,816
==========================================================================
TELECOMMUNICATIONS - 6.39%
- --------------------------------------------------------------------------
89,835 Airtouch Communications (a) 2,560,297
- --------------------------------------------------------------------------
28,600 Alltel 725,725
- --------------------------------------------------------------------------
99,352 Ameritech 4,371,488
- --------------------------------------------------------------------------
3,623 Andrew (a) 209,681
- --------------------------------------------------------------------------
281,106 AT&T 14,933,756
- --------------------------------------------------------------------------
88,916 BellSouth 5,646,166
- --------------------------------------------------------------------------
27,880 Capital Cities/ABC 3,011,040
- --------------------------------------------------------------------------
10,035 CBS 672,345
- --------------------------------------------------------------------------
37,662 Comcast, Cl. A 699,101
- --------------------------------------------------------------------------
173,636 GTE 5,925,329
- --------------------------------------------------------------------------
4,806 King World Productions (a) 194,643
- --------------------------------------------------------------------------
123,720 MCI Communications 2,721,840
- --------------------------------------------------------------------------
104,016 Tele-Communications, Cl. A (a) 2,437,875
- --------------------------------------------------------------------------
64,749 Viacom, Cl. B (a) 3,002,735
- --------------------------------------------------------------------------
47,112,021
==========================================================================
TIRE & RUBBER - 0.23%
- --------------------------------------------------------------------------
3,826 B.F. Goodrich 205,169
- --------------------------------------------------------------------------
14,151 Cooper Tire & Rubber 344,931
- --------------------------------------------------------------------------
28,436 Goodyear Tire & Rubber 1,172,985
- --------------------------------------------------------------------------
1,723,085
==========================================================================
TOBACCO - 1.84%
- --------------------------------------------------------------------------
34,274 American Brands 1,362,392
- --------------------------------------------------------------------------
150,366 Philip Morris 11,183,471
- --------------------------------------------------------------------------
33,607 UST 999,808
- --------------------------------------------------------------------------
13,545,671
==========================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 14
EQUITY 500 INDEX PORTFOLIO 23
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
<S> <C> <C>
==========================================================================
TRANSPORTATION-AIR - 0.02%
- --------------------------------------------------------------------------
7,338 Pittston Services Group $ 176,112
==========================================================================
TRUCKING, SHIPPING - 0.21%
- --------------------------------------------------------------------------
8,092 Consolidated Freightways 179,035
- --------------------------------------------------------------------------
9,275 Federal Express (a) 563,456
- --------------------------------------------------------------------------
6,682 Roadway Services 315,725
- --------------------------------------------------------------------------
15,817 Ryder System 377,631
- --------------------------------------------------------------------------
5,640 Yellow 102,225
- --------------------------------------------------------------------------
1,538,072
==========================================================================
UTILITIES - 6.94%
- --------------------------------------------------------------------------
30,210 American Electric Power 1,061,126
- --------------------------------------------------------------------------
21,225 Baltimore Gas & Electric 530,625
- --------------------------------------------------------------------------
78,439 Bell Atlantic 4,392,584
- --------------------------------------------------------------------------
25,028 Carolina Power & Light 757,097
- --------------------------------------------------------------------------
33,230 Central & South West 872,287
- --------------------------------------------------------------------------
23,522 CINergy 617,452
- --------------------------------------------------------------------------
4,235 Columbia Gas System (a) 134,461
- --------------------------------------------------------------------------
38,636 Consolidated Edison 1,139,762
- --------------------------------------------------------------------------
15,405 Consolidated Natural Gas 581,539
- --------------------------------------------------------------------------
26,876 Detroit Edison 792,842
- --------------------------------------------------------------------------
27,606 Dominion Resources 1,007,619
- --------------------------------------------------------------------------
33,787 Duke Power 1,402,161
- --------------------------------------------------------------------------
4,142 Eastern Enterprises 123,742
- --------------------------------------------------------------------------
49,066 Enron 1,723,443
- --------------------------------------------------------------------------
10,024 ENSERCH 171,661
- --------------------------------------------------------------------------
43,107 Entergy 1,039,956
- --------------------------------------------------------------------------
34,694 FPL Group 1,340,056
- --------------------------------------------------------------------------
17,300 General Public Utilities 514,675
- --------------------------------------------------------------------------
21,378 Houston Industries 900,548
- --------------------------------------------------------------------------
23,842 Niagara Mohawk Power 351,670
- --------------------------------------------------------------------------
8,469 NICOR 227,604
- --------------------------------------------------------------------------
9,344 Northern States Power 430,992
- --------------------------------------------------------------------------
77,000 NYNEX 3,099,250
- --------------------------------------------------------------------------
24,284 Ohio Edison 549,426
- --------------------------------------------------------------------------
4,391 ONEOK 93,858
- --------------------------------------------------------------------------
10,768 Pacific Enterprises 263,816
- --------------------------------------------------------------------------
78,205 Pacific Gas & Electric 2,267,945
- --------------------------------------------------------------------------
77,735 Pacific Telesis Group 2,079,411
- --------------------------------------------------------------------------
46,189 PacifiCorp 866,044
- --------------------------------------------------------------------------
34,558 Panhandle Eastern 842,351
- --------------------------------------------------------------------------
41,784 PECO Energy 1,154,283
- --------------------------------------------------------------------------
5,755 People's Energy 148,911
- --------------------------------------------------------------------------
39,894 Public Service Enterprise Group 1,107,059
- --------------------------------------------------------------------------
108,962 SBC Communications (a) 5,189,315
- --------------------------------------------------------------------------
80,470 SCEcorp 1,378,049
- --------------------------------------------------------------------------
18,210 Sonat 555,405
- --------------------------------------------------------------------------
120,858 Southern 2,704,198
- --------------------------------------------------------------------------
64,682 Sprint 2,174,932
- --------------------------------------------------------------------------
42,065 Texas Utilities 1,445,984
- --------------------------------------------------------------------------
38,425 Unicom 1,023,066
- --------------------------------------------------------------------------
15,420 Union Electric 574,395
- --------------------------------------------------------------------------
84,528 U S West 3,518,478
- --------------------------------------------------------------------------
51,150,078
==========================================================================
<CAPTION>
<S> <C>
==========================================================================
TOTAL COMMON STOCKS
(Cost $608,221,837) $710,228,698
==========================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- --------------------------------------------------------------------------
DIVERSIFIED - 0.00%
- --------------------------------------------------------------------------
84 Teledyne (Cost $1,260) $ 1,228
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 15
EQUITY 500 INDEX PORTFOLIO 24
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==========================================================================
<S> <C>
BONDS - 0.01%
- --------------------------------------------------------------------------
$ 33,000 Viacom International, 8.00% 7/7/06
(Cost $28,549) $ 32,175
- --------------------------------------------------------------------------
U.S. TREASURY BILLS - 3.42%
==========================================================================
$ 8,081,000 5.60%, 7/13/95 $ 8,066,010
- --------------------------------------------------------------------------
4,872,000 5.69%, 7/27/95 4,852,867
- --------------------------------------------------------------------------
1,015,000 5.50%, 8/3/95 (b) 1,010,047
- --------------------------------------------------------------------------
25,000 5.625%, 8/24/95 24,804
- --------------------------------------------------------------------------
11,379,000 5.775%, 9/7/95 11,266,975
- --------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS
(Cost $25,216,116) $ 25,220,703
==========================================================================
TOTAL INVESTMENTS
(Cost $633,467,762) 99.81% $735,482,804
- --------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.19% 1,417,033
- --------------------------------------------------------------------------
NET ASSETS 100.00% $736,899,837
==========================================================================
</TABLE>
(a) Non-income producing security
(b) Held as collateral for futures contracts
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS DESCRIPTION APPRECIATION
==========================================================================
<S> <C> <C>
FUTURES CONTRACTS
- --------------------------------------------------------------------------
107 S&P 500, September 1995
Long Futures
(Market Value $ 29,272,525) $ 29,125
==========================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 16
EQUITY 500 INDEX PORTFOLIO 27
-------------------------------------------------
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 commenced operations
on December 31, 1992. The Declaration of Trust permits the Board of Trustees
(the "Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less, are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income is recorded on the ex-dividend
date. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 17
EQUITY 500 INDEX PORTFOLIO 28
-------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the six months ended June 30, 1995, this fee aggregated
$154,262.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.10 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1995,
this fee aggregated $308,524.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.10 of 1% of the
average daily net assets of the Portfolio. For the six months ended June 30,
1995, expenses of the Portfolio have been reduced $171,120.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
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, 1995 were
$87,248,709 and $16,409,134, respectively. The aggregate gross unrealized
appreciation for all investments was $110,211,628, and the aggregate gross
unrealized depreciation for all investments was $8,167,461.
The Portfolio may enter into financial futures contracts as an investment
technique designed to hedge against anticipated future change in general market
prices which otherwise might either adversely affect the value of securities
held by the Portfolio or adversely affect the prices of securities which are
intended to be purchased at a later date for the Portfolio. Investments in
financial futures require initial margin deposits which consist of cash or cash
equivalents equal to approximately 5% to 10% of the contract amount. During the
period the financial futures are open, changes in the value of the contracts
are recognized by a "mark to market" on a daily basis to reflect the market
value of the contracts at the close of each day's trading. Accordingly,
variation margin payments are made or received to reflect daily unrealized
gains or losses. When the contracts are closed, the Portfolio recognizes a
realized gain or loss.
