<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
COMMON STOCK - 96.75%
AEROSPACE - 2.04%
100,442 Boeing Co.................... $ 8,751,009
16,222 General Dynamics............. 1,005,764
58,410 Lockheed Martin.............. 4,906,440
65,376 McDonnell Douglas............ 3,170,736
13,979 Northrop Grumman............. 952,319
71,014 Raytheon Co.................. 3,666,098
64,524 Rockwell International....... 3,693,999
36,006 United Technologies.......... 4,140,690
-------------
30,287,055
-------------
AIRLINES - 0.36%
27,302 AMR Corp. (a)................ 2,484,482
16,349 Delta Air Lines.............. 1,356,967
46,200 Southwest Airlines........... 1,345,575
9,015 USAir Group (a).............. 162,270
-------------
5,349,294
-------------
APPAREL, TEXTILES - 0.70%
1,493 Brown Group.................. 25,941
18,003 Charming Shoppes (a)......... 127,146
69,714 Corning...................... 2,675,275
10,300 Fruit of the Loom Cl. A
(a)......................... 262,650
24,403 Liz Claiborne................ 844,954
33,419 Melville Corp................ 1,353,469
27,424 Nike, Cl. B.................. 2,817,816
24,529 Reebok International......... 824,788
4,611 Russell Corp................. 127,379
8,204 Spring Industries, Cl. A..... 414,302
6,749 Stride Rite.................. 55,679
14,515 V.F. Corp.................... 865,457
-------------
10,394,856
-------------
AUTO RELATED - 2.34%
108,851 Chrysler Corp................ 6,748,762
13,734 Cummins Engine............... 554,510
23,374 Dana Corp.................... 724,594
23,082 Eaton Corp................... 1,353,182
9,844 Echlin Inc................... 372,841
319,164 Ford Motor................... 10,332,934
218,384 General Motors............... 11,437,862
27,584 Genuine Parts................ 1,261,968
12,690 PACCAR Inc................... 621,810
21,943 Parker-Hannifin.............. 929,835
11,448 Timken, Co................... 443,610
-------------
34,781,908
-------------
BANKS - 6.35%
38,434 Ahmanson (H.F.) & Company.... 1,037,718
134,734 Banc One Corp................ 4,580,956
36,167 Bank of Boston............... 1,790,266
59,600 Bank of New York............. 3,054,500
107,136 BankAmerica Corp............. 8,115,552
24,197 Barnett Banks Inc............ 1,476,017
45,554 Boatmen's Bancshares......... 1,827,854
127,352 Chase Manhattan Corp......... 8,994,235
141,266 Citicorp..................... 11,672,103
30,700 Comerica Inc................. 1,369,987
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
68,364 Corestates Financial......... $ 2,632,014
30,800 Fifth Third Bancorp.......... 1,663,200
95,236 First Chicago NBD............ 3,726,109
84,750 First Union Corp............. 5,159,156
10,817 Golden West Financial........ 605,752
31,984 Great Western Financial...... 763,618
58,200 KeyCorp...................... 2,255,250
42,762 Mellon Bank Corp............. 2,437,434
56,060 Morgan (J.P.)................ 4,744,078
57,600 National City Corp........... 2,023,200
88,026 NationsBank Corp............. 7,273,148
110,408 Norwest...................... 3,850,479
12,900 Republic New York Corp....... 803,025
57,160 Suntrust Banks............... 2,114,920
48,688 U.S. Bancorp................. 1,758,854
42,800 Wachovia Corp................ 1,872,500
28,670 Wells Fargo.................. 6,848,546
-------------
94,450,471
-------------
BEVERAGES - 4.07%
74,240 Anheuser-Busch Cos........... 5,568,000
8,219 Brown Forman, Cl. B.......... 328,760
715,522 Coca-Cola Co................. 34,971,138
6,168 Coors (Adolph), Cl. B........ 110,253
451,694 PepsiCo Inc.................. 15,978,675
109,137 Seagram, Co. Ltd............. 3,669,732
-------------
60,626,558
-------------
BUILDING & CONSTRUCTION -
0.74%
8,483 Armstrong World Industries... 488,833
7,090 Centex Corp.................. 220,676
3,311 Crane Co..................... 135,751
6,906 Fleetwood Enterprises........ 214,086
139,051 Home Depot................... 7,508,754
50,611 Masco Corp................... 1,530,983
8,650 Owens Corning (a)............ 371,950
20,330 Stanley Works................ 604,817
-------------
11,075,850
-------------
BUILDING-FOREST PRODUCTS -
0.52%
16,703 Boise Cascade................ 611,747
30,628 Champion International....... 1,278,719
28,201 Georgia-Pacific.............. 2,002,271
8,977 Johnson Controls............. 623,901
2,045 Kaufman & Broad Home......... 29,652
19,858 Louisiana Pacific............ 439,358
4,901 Potlatch Corp................ 191,752
59,694 Weyerhaeuser Co.............. 2,536,995
-------------
7,714,395
-------------
CHEMICALS & TOXIC WASTE -
3.07%
33,404 Air Products & Chemical...... 1,929,081
78,240 Amgen Inc. (a)............... 4,224,960
73,076 Dow Chemical................. 5,553,776
161,796 Du Pont (E.I.) de Nemours.... 12,802,108
24,981 Eastman Chemical............. 1,520,718
6,050 FMC Corp. (a)................ 394,762
29,849 Grace W.R.................... 2,115,548
16,796 Great Lakes Chemical......... 1,045,551
33,514 Hercules Inc................. 1,851,648
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
9
<PAGE>
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
16,502 Mallinckrodt Group........... $ 641,515
170,220 Monsanto Co.................. 5,532,150
45,706 Morton International......... 1,702,549
12,325 Nalco Chemical............... 388,238
57,042 PPG Industries............... 2,780,798
14,859 Rohm & Haas.................. 932,402
12,800 Sigma-Aldrich................ 684,800
41,317 Union Carbide................ 1,642,351
-------------
45,742,955
-------------
COMMERCIAL SERVICES - 0.14%
58,200 CUC International Inc. (a)... 2,066,100
-------------
COMPUTERS - 0.06%
40,042 Apple Computer............... 840,882
6,045 Data General Corp. (a)....... 78,585
-------------
919,467
-------------
COMPUTER SERVICES - 0.65%
50,700 3Com Corp (a)................ 2,319,525
86,512 Automatic Data Processing.... 3,341,526
22,700 Cabletron Systems (a)........ 1,557,787
70,800 EMC Corp. (a)................ 1,318,650
49,900 Silicon Graphics Inc. (a).... 1,197,600
-------------
9,735,088
-------------
COMPUTER SOFTWARE - 2.85%
164,900 Cisco Systems (a)............ 9,337,462
71,167 Computer Associates
International............... 5,070,649
170,700 Microsoft Corp. (a).......... 20,505,338
191,004 Oracle Corp. (a)............. 7,532,720
-------------
42,446,169
-------------
CONTAINERS - 0.22%
11,015 Avery Dennison Corp.......... 604,448
3,054 Ball Corp.................... 87,802
38,250 Crown Cork & Seal............ 1,721,250
21,649 Stone Container.............. 297,674
11,022 Temple-Inland................ 515,279
-------------
3,226,453
-------------
COSMETICS & TOILETRIES -
0.73%
1,599 Alberto-Culver, Cl. B........ 74,154
35,228 Avon Products................ 1,589,663
129,408 Gillette Co.................. 8,071,824
24,987 International Flavors &
Fragrance................... 1,190,006
-------------
10,925,647
-------------
DIVERSIFIED - 1.36%
16,702 Ceridian Corp. (a)........... 843,451
41,700 First Bank System............ 2,418,600
35,400 Loews Corp................... 2,792,175
121,478 Minnesota Mining &
Manufacturing............... 8,381,982
4,781 NACCO Industries, Cl. A...... 264,748
26,964 Pall Corp.................... 650,506
45,615 Praxair Inc.................. 1,927,234
13,420 Supervalu Inc................ 422,730
15,257 Teledyne Inc................. 551,159
25,603 Textron, Inc................. 2,045,040
-------------
20,297,625
-------------
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
DRUGS - 5.48%
183,066 American Home Products....... $ 11,006,843
145,189 Bristol Myers Squibb......... 13,067,010
159,370 Lilly (Eli).................. 10,359,050
352,597 Merck & Co................... 22,786,581
183,804 Pfizer Inc................... 13,119,010
107,558 Schering-Plough.............. 6,749,265
79,986 Warner-Lambert............... 4,399,230
-------------
81,486,989
-------------
ELECTRICAL EQUIPMENT - 4.57%
476,222 General Electric Co.......... 41,193,203
40,900 General Instrument Corp.
(a)......................... 1,180,987
8,272 General Signal............... 313,302
10,765 Grainger (W.W.).............. 834,287
146,870 Hewlett-Packard.............. 14,631,924
35,723 ITT Corp (NEW) (a)........... 2,366,649
36,223 ITT Hartford Group........... 1,928,875
36,423 ITT Industries............... 915,128
8,438 Raychem Corp................. 606,481
39,432 Tyco International........... 1,606,854
126,810 Westinghouse Electric........ 2,377,688
-------------
67,955,378
-------------
ELECTRONICS - 3.81%
38,041 Advanced Micro Devices (a)... 518,309
83,306 AlliedSignal Inc............. 4,758,855
64,473 AMP Inc...................... 2,586,979
55,600 Applied Materials (a)........ 1,695,800
38,190 DSC Communications Corp.
(a)......................... 1,150,474
65,700 Emerson Electric............. 5,937,638
7,771 Harris Corp.................. 474,031
236,314 Intel Corp................... 17,354,309
41,700 LSI Logic Corp. (a).......... 1,084,200
64,000 Micron Technology............ 1,656,000
171,142 Motorola, Inc................ 10,760,553
40,126 National Semiconductor Corp.
(a)......................... 621,953
70,701 Northern Telecom Ltd......... 3,844,367
14,025 Perkin-Elmer................. 676,706
11,938 Scientific-Atlanta........... 185,039
3,738 Tektronix Inc................ 167,276
56,728 Texas Instruments............ 2,829,309
7,000 Thomas & Betts............... 262,500
6,027 Trinova Corp................. 201,151
-------------
56,765,449
-------------
ENVIRONMENTAL CONTROL - 0.48%
65,335 Browning-Ferris Industries... 1,894,715
41,100 Laidlaw Inc. Cl. B........... 416,137
7,326 Safety-Kleen................. 128,205
145,358 WMX Technologies............. 4,760,475
-------------
7,199,532
-------------
FINANCIAL SERVICES - 3.69%
141,066 American Express............. 6,295,070
9,652 Beneficial Corp.............. 541,718
49,974 Dean Witter, Discover &
Co.......................... 2,861,011
52,756 Federal Home Loan Mortgage... 4,510,638
316,364 Federal National Mortgage.... 10,598,194
65,500 First Data................... 5,215,438
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
10
<PAGE>
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
79,744 Fleet Financial Group........ $ 3,468,864
40,300 Green Tree Financial......... 1,259,375
29,358 Household International...... 2,231,208
54,045 MBNA Corp.................... 1,540,283
51,138 Merrill Lynch................ 3,330,362
46,000 Morgan Stanley Group Inc..... 2,259,750
101,333 PNC Banc Corp................ 3,014,657
33,233 Salomon Inc.................. 1,462,252
138,809 Travelers Group.............. 6,333,161
-------------
54,921,981
-------------
FOOD SERVICE, LODGING - 0.72%
29,419 Darden Restaurants........... 316,254
6,851 Luby's Cafeterias............ 160,998
202,914 McDonald's Corp.............. 9,486,229
21,182 Ryan's Family Steak House
Inc. (a).................... 195,934
4,809 Shoney's Inc. (a)............ 52,298
29,262 Wendy's International........ 545,005
-------------
10,756,718
-------------
FOODS - 3.02%
138,955 Archer-Daniels-Midland....... 2,657,514
68,069 Campbell Soup................ 4,798,864
72,616 ConAgra Inc.................. 3,294,951
43,630 CPC International............ 3,141,360
48,019 General Mills................ 2,617,035
109,775 Heinz, (H.J.)................ 3,334,416
16,897 Hershey Foods................ 1,239,817
62,907 Kellogg...................... 4,607,938
22,700 Pioneer Hi-Bred
International............... 1,200,262
34,384 Quaker Oats.................. 1,173,354
32,305 Ralston Purina Goup.......... 2,071,558
142,487 Sara Lee Corp................ 4,613,017
47,310 Sysco Corp................... 1,620,368
46,717 Unilever N.V., ADR........... 6,779,805
18,127 Whitman Corp................. 437,314
27,392 Wrigley (WM) Jr.............. 1,383,296
-------------
44,970,869
-------------
FOREST PRODUCTS & PAPER -
0.07%
17,500 Willamette Industries........ 1,041,250
-------------
HEALTHCARE - 1.13%
227,622 Abbott Laboratories.......... 9,901,557
130,515 Columbia/HCA Healthcare...... 6,966,238
-------------
16,867,795
-------------
HOSPITAL SUPPLIES &
HEALTHCARE - 2.71%
9,501 Allergan, Inc................ 372,914
24,434 Alza, Corp. (a).............. 668,881
9,477 Bard (C.R.).................. 322,218
11,023 Bausch & Lomb................ 468,477
81,263 Baxter International......... 3,839,677
17,366 Becton, Dickinson............ 1,393,621
22,582 Beverly Enterprises (a)...... 270,984
41,450 Biomet Inc. (a).............. 595,844
54,100 Boston Scientific Corp.
(a)......................... 2,434,500
6,417 Community Psychiatric Centers
(a)......................... 60,961
41,600 Humana Inc. (a).............. 743,600
383,296 Johnson & Johnson............ 18,973,152
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
9,160 Manor Care................... $ 360,675
69,452 Medtronic Inc................ 3,889,312
8,574 Shared Medical Systems....... 550,880
27,019 St. Jude Medical Inc. (a).... 905,137
63,410 Tenet Healthcare Corp. (a)... 1,355,389
54,800 United Healthcare............ 2,767,400
10,248 U.S. Surgical................ 317,688
-------------
40,291,310
-------------
HOTEL/MOTEL - 0.24%
15,212 Hilton Hotels................ 1,711,350
33,490 Marriott International....... 1,800,088
-------------
3,511,438
-------------
HOUSEHOLD FURNISHINGS - 0.20%
17,512 Maytag Corp.................. 365,563
44,758 Newell Co.................... 1,370,714
23,939 Whirlpool Corp............... 1,187,973
-------------
2,924,250
-------------
HOUSEHOLD PRODUCTS - 0.12%
35,502 Rubbermaid, Inc.............. 967,430
20,796 Tupperware Corp. (a)......... 878,631
-------------
1,846,061
-------------
INSURANCE - 3.14%
34,913 Aetna Life & Casualty........ 2,496,279
7,509 Alexander & Alexander
Services.................... 148,303
130,250 Allstate Corp................ 5,942,656
52,154 American General............. 1,897,102
136,567 American International
Group....................... 13,468,920
26,600 Aon Corp..................... 1,349,950
53,172 Chubb Corp................... 2,651,953
23,133 Cigna Corp................... 2,726,802
24,078 General Re Corp.............. 3,665,876
21,277 Jefferson-Pilot.............. 1,098,425
27,610 Lincoln National Corp........ 1,276,963
18,762 Marsh & McLennan............. 1,810,533
19,298 Providian Corp............... 827,402
39,602 SAFECO Corp.................. 1,400,921
20,630 St. Paul Cos................. 1,103,705
12,134 Torchmark Corp............... 530,863
16,600 UNUM Corp.................... 1,033,350
13,917 USF & G Corp................. 227,891
13,030 USLife Corp.................. 428,361
46,600 U.S. HealthCare.............. 2,563,000
-------------
46,649,255
-------------
LEISURE RELATED - 1.28%
24,914 American Greetings Cl. A..... 682,021
20,093 Bally Entertainment Corp.
(a)......................... 552,557
21,442 Brunswick Corp............... 428,840
195,857 Disney (Walt) Co............. 12,314,509
13,239 Harcourt General............. 661,950
33,115 Harrah's Entertainment Inc.
(a)......................... 935,499
25,525 Hasbro Inc................... 912,519
1,239 Jostens Inc.................. 24,470
84,165 Mattel Inc................... 2,409,223
3,618 Outboard Marine.............. 65,576
-------------
18,987,164
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
11
<PAGE>
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
MACHINERY - 1.40%
16,271 Black & Decker Corp.......... $ 628,467
11,182 Briggs & Stratton............ 459,860
23,600 Case Corporation............. 1,132,800
57,582 Caterpillar Inc.............. 3,901,180
3,647 Cincinnati Milacron.......... 87,528
34,048 Cooper Industries............ 1,412,992
78,523 Deere & Co................... 3,140,920
29,404 Dover Corp................... 1,356,259
57,082 Dresser Industries........... 1,683,919
20,230 Echo Bay Mines............... 217,473
16,847 Giddings & Lewis............. 273,764
5,522 Harnischfeger Industries..... 183,607
31,896 Illinois Tool Works.......... 2,156,967
33,131 Ingersoll-Rand............... 1,449,481
6,992 Millipore Corp............... 292,790
11,958 Navistar International (a)... 118,085
7,196 Snap-On Inc.................. 340,911
19,086 TRW Inc...................... 1,715,354
7,262 Varity Corp. (a)............. 349,484
-------------
20,901,841
-------------
METALS - 1.44%
58,736 Alcan Aluminium Ltd.......... 1,791,448
52,600 Aluminium Company of
America..................... 3,017,925
72,835 Armco Inc. (a)............... 364,175
8,049 Asarco Inc................... 222,354
106,900 Barrick Gold................. 2,899,662
19,749 Bethlehem Steel Corp. (a).... 234,519
20,994 Cyprus Amax MInerals......... 474,989
33,108 Engelhard Corp............... 761,484
34,600 Freeport-McMoRan Copper &
Gold Cl. B.................. 1,102,875
47,643 Homestake Mining............. 815,886
37,166 Inco Ltd..................... 1,198,604
6,103 Inland Steel Industries...... 119,771
31,134 Newmont Mining............... 1,537,241
27,894 Nucor Corp................... 1,412,134
5,831 Ogden Corp................... 105,687
21,108 Phelps Dodge................. 1,316,612
73,804 Placer Dome Inc.............. 1,762,071
20,549 Reynolds Metals.............. 1,071,117
21,408 Santa Fe Pacific Gold........ 302,388
23,977 USX-U.S. Steel Group......... 680,347
13,179 Worthington Industries....... 275,112
-------------
21,466,401
-------------
OFFICE EQUIPMENT &
COMPUTERS - 2.71%
37,862 Alco Standard................ 1,713,255
37,057 Amdahl Corp (a).............. 398,363
16,114 Autodesk Inc................. 481,406
79,513 Compaq Computer Corp. (a).... 3,916,015
17,786 Computer Sciences Corp.
(a)......................... 1,329,503
1,115 Cray Research (a)............ 26,899
46,832 Digital Equipment (a)........ 2,107,440
38,919 Honeywell, Inc............... 2,121,085
9,046 Intergraph Corp. (a)......... 109,683
156,641 International Business
Machines.................... 15,507,459
13,879 Moore Corp. Ltd.............. 261,966
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
114,592 Novell Inc. (a).............. $ 1,589,964
38,098 Pitney Bowes................. 1,819,179
54,628 Sun Microsystems Inc. (a).... 3,216,224
21,460 Tandem Computers Inc. (a).... 265,568
64,999 Unisys Corp. (a)............. 463,118
94,035 Xerox Corp................... 5,030,873
-------------
40,358,000
-------------
OIL EQUIPMENT &
SERVICES - 0.55%
45,244 Baker Hughes Inc............. 1,487,397
71,181 Schlumberger Ltd............. 5,996,999
11,659 Western Atlas Inc. (a)....... 679,137
-------------
8,163,533
-------------
OIL SERVICE - DOMESTIC -
0.38%
26,081 Fluor Corp................... 1,705,045
4,738 Foster Wheeler............... 212,618
35,690 Halliburton Co............... 1,980,795
88,764 USX-Marathon Group........... 1,786,376
-------------
5,684,834
-------------
OIL-DOMESTIC - 1.11%
188,766 Chevron Corp................. 11,137,194
16,728 Noram Energy................. 181,917
52,334 Tenneco Inc.................. 2,675,576
75,037 Unocal Corp.................. 2,532,499
-------------
16,527,186
-------------
OIL-INTERNATIONAL - 4.96%
356,157 Exxon Corp................... 30,941,139
113,771 Mobil Corp................... 12,756,573
153,901 Royal Dutch Petroleum........ 23,662,279
77,161 Texaco Inc................... 6,471,879
-------------
73,831,870
-------------
PAPER - 0.86%
5,731 Bemis Co..................... 200,585
88,844 International Paper.......... 3,276,123
25,435 James River Corp............. 670,848
82,165 Kimberly-Clark............... 6,347,246
15,351 Mead Corp.................... 796,333
17,703 Union Camp................... 863,021
23,560 Westvaco Corp................ 703,855
-------------
12,858,011
-------------
PETROLEUM RELATED - 1.91%
28,193 Amerada Hess................. 1,511,850
143,702 Amoco Corp................... 10,400,432
11,687 Ashland Inc.................. 463,097
47,125 Atlantic Richfield........... 5,584,312
39,800 Burlington Resources......... 1,711,400
2,808 Helmerich & Payne............ 102,843
12,632 Kerr-McGee................... 768,973
8,062 Louisiana Land &
Exploration................. 464,573
9,187 McDermott International...... 191,779
96,814 Occidental Petroleum......... 2,396,146
16,579 Oryx Energy Co. (a).......... 269,409
7,654 Pennzoil Co.................. 353,998
78,306 Phillips Petroleum........... 3,279,064
16,500 Rowan Cos. (a)............... 243,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
12
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
8,269 Santa Fe Energy Resources
(a)......................... $ 98,194
18,745 Sun Co....................... 569,379
-------------
28,408,824
-------------
PHARMACEUTICALS - 0.44%
148,732 Pharmacia & Upjohn........... 6,599,983
-------------
PHOTOGRAPHY & OPTICAL - 0.55%
100,626 Eastman Kodak................ 7,823,672
9,282 Polaroid Corp................ 423,491
-------------
8,247,163
-------------
PRINTING & PUBLISHING - 1.29%
23,291 Deluxe Corp.................. 826,830
39,952 Donnelley (RR) & Sons........ 1,393,326
23,472 Dow Jones & Co............... 979,956
50,779 Dun & Bradstreet............. 3,173,687
42,196 Gannett Co................... 2,985,367
3,804 Harland (John H.)............ 93,673
13,863 Knight-Ridder Inc............ 1,005,068
26,230 McGraw-Hill Companies........ 1,200,023
4,736 Meredith Corp................ 197,728
17,684 New York Times, Cl. A........ 576,941
115,515 Time Warner Inc.............. 4,533,964
28,829 Times Mirror, Cl. A.......... 1,254,062
12,898 Tribune Co................... 936,717
-------------
19,157,342
-------------
PROFESSIONAL SERVICES - 0.46%
32,535 Block (H&R).................. 1,061,454
27,536 Dial Corp.................... 788,218
7,800 Ecolab Inc................... 257,400
8,825 EG&G Inc..................... 188,634
19,107 Interpublic Group Cos........ 895,641
7,526 National Service
Industries.................. 294,455
35,896 Service Corp International... 2,064,020
16,543 Transamerica Corp............ 1,339,983
-------------
6,889,805
-------------
RAILROADS - 1.03%
45,162 Burlington Northern Santa
Fe.......................... 3,652,477
25,472 Conrail Inc.................. 1,690,704
61,232 CSX Corp..................... 2,954,444
32,851 Norfolk Southern............. 2,784,122
60,747 Union Pacific................ 4,244,697
-------------
15,326,444
-------------
REAL ESTATE - 0.02%
11,666 Pulte Corp................... 312,066
-------------
RETAIL - 4.34%
71,602 Albertson's, Inc............. 2,962,533
40,118 American Stores.............. 1,654,867
31,946 Circuit City Stores.......... 1,154,049
21,936 Dayton Hudson................ 2,262,150
34,897 Dillard Department Stores,
Cl. A....................... 1,273,740
63,300 Federated Department Stores
(a)......................... 2,160,112
6,279 Fleming Cos.................. 90,261
86,614 Gap Inc...................... 2,782,475
19,193 Giant Food Cl. A............. 688,549
5,125 Great Atlantic & Pacific..... 168,484
149,103 Kmart........................ 1,845,150
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
39,160 Kroger Co. (a)............... $ 1,546,820
83,647 Limited Inc.................. 1,798,410
6,113 Longs Drug Stores............ 272,793
49,894 Lowe's Cos................... 1,802,421
74,298 May Department Stores........ 3,250,537
5,830 Mercantile Stores............ 341,784
26,029 Nordstrom, Inc............... 1,158,290
66,850 Penney (J.C.)................ 3,509,625
8,612 Pep-Boys-Manny Moe & Jack.... 292,808
62,799 Price/Costco Inc. (a)........ 1,358,028
28,301 Rite Aid..................... 841,955
114,709 Sears, Roebuck............... 5,577,725
20,837 Sherwin-Williams............. 968,921
18,683 Tandy Corp................... 885,107
12,554 TJX Companies................ 423,698
83,018 Toys 'R' Us Inc. (a)......... 2,366,013
65,934 Walgreen Co.................. 2,208,789
660,148 Wal-Mart Stores.............. 16,751,256
38,380 Winn-Dixie Stores............ 1,357,693
36,522 Woolworth Corp. (a).......... 821,745
-------------
64,576,788
-------------
SOAPS & TOILETRIES - 1.53%
12,852 Clorox Co.................... 1,139,009
43,551 Colgate-Palmolive............ 3,690,947
197,370 Procter & Gamble Co.......... 17,886,656
-------------
22,716,612
-------------
TELECOMMUNICATIONS - 3.72%
1 360 Communications Co. (a)... 24
142,035 Airtouch Communications
(a)......................... 4,012,489
46,800 Alltel Corp.................. 1,439,100
161,152 Ameritech Corp............... 9,568,400
19,484 Andrew Corp. (a)............. 1,047,265
59,000 Bay Networks Inc. (a)........ 1,519,250
63,162 Comcast, Cl. A............... 1,168,497
281,736 GTE Corp..................... 12,607,686
10,106 King World Productions Inc.
(a)......................... 367,606
202,420 MCI Communications Corp...... 5,187,012
127,700 NYNEX Corp................... 6,065,750
174,516 Tele-Communications, Cl. A
(a)......................... 3,163,102
27,600 Tellabs, Inc. (a)............ 1,845,750
105,749 Viacom Inc., Cl. B (a)....... 4,110,992
58,100 WorldCom Inc. (a)............ 3,217,288
-------------
55,320,211
-------------
TIRE & RUBBER - 0.20%
14,951 Cooper Tire & Rubber......... 332,660
7,852 Goodrich (B.F.).............. 293,468
47,136 Goodyear Tire & Rubber....... 2,274,312
-------------
2,900,440
-------------
TOBACCO - 1.93%
45,674 American Brands.............. 2,072,458
238,266 Philip Morris Inc............ 24,779,664
55,607 UST Corp..................... 1,904,540
-------------
28,756,662
-------------
TRUCKING, SHIPPING - 0.17%
7,382 Caliber System Inc........... 250,988
22,392 Consolidated Freightways..... 473,031
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
13
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
12,275 Federal Express Corp. (a).... $ 1,006,550
25,217 Ryder System................. 709,228
6,040 Yellow Corp. (a)............. 80,030
-------------
2,519,827
-------------
UTILITIES - 0.06%
4,142 Eastern Enterprises.......... 137,721
31,900 P P & L Resources............ 753,638
-------------
891,359
-------------
UTILITY-ELECTRIC - 3.12%
56,010 American Electric Power
Co.......................... 2,387,426
30,625 Baltimore Gas & Electric
Co.......................... 868,984
39,428 Carolina Power & Light Co.... 1,498,264
62,430 Central & South West......... 1,810,470
33,122 CINergy Corp................. 1,059,904
72,236 Consolidated Edison.......... 2,112,903
49,106 Dominion Resources........... 1,964,240
43,176 DTE Energy Co................ 1,333,059
61,387 Duke Power Co................ 3,146,084
131,870 Edison International......... 2,324,209
70,507 Entergy Corp................. 2,000,636
56,094 FPL Group Inc................ 2,580,324
23,900 General Public Utilities..... 842,475
81,256 Houston Industries........... 2,000,929
43,142 Niagara Mohawk Power......... 334,351
13,644 Northern States Power........ 673,673
33,084 Ohio Edison Co............... 723,713
125,105 Pacific Gas & Electric....... 2,908,691
72,089 PacifiCorp................... 1,603,980
67,284 PECO Energy.................. 1,749,384
73,294 Public Service Enterprise.... 2,006,423
197,858 Southern Co.................. 4,872,253
68,065 Texas Utilities Co........... 2,909,779
65,525 Unicom Corp.................. 1,826,509
21,220 Union Electric Co............ 854,105
-------------
46,392,768
-------------
UTILITY-NATURAL GAS - 0.73%
24,866 Coastal Corp................. 1,038,155
9,135 Columbia Gas System.......... 476,162
21,505 Consolidated Natural Gas..... 1,123,636
75,266 Enron Corp................... 3,076,498
<CAPTION>
SHARES SECURITY VALUE
- --------- ----------------------------- -------------
<C> <S> <C>
11,424 ENSERCH Corp................. $ 248,472
8,469 NICOR Inc.................... 240,308
13,591 ONEOK Inc.................... 339,775
12,268 Pacific Enterprises.......... 363,440
36,958 PanEnergy Corp............... 1,214,994
5,755 People's Energy.............. 192,793
28,010 Sonat Inc.................... 1,260,450
26,112 Williams Cos................. 1,292,544
-------------
10,867,227
-------------
UTILITY-TELEPHONE - 4.98%
461,006 AT&T Corp.................... 28,582,372
127,339 Bell Atlantic Corp........... 8,117,861
287,332 BellSouth Corp............... 12,175,694
124,835 Pacific Telesis Group........ 4,213,181
176,862 SBC Communications Inc....... 8,710,454
127,582 Sprint Corp.................. 5,358,444
139,728 U S West Communications
Group....................... 4,453,830
138,128 U S West Media Group (a)..... 2,520,836
-------------
74,132,672
-------------
TOTAL COMMON STOCKS (Cost
$1,127,122,749)......................... $1,440,023,199
--------------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------
<C> <S> <C>
U.S. TREASURY BILLS - 3.09%
$1,631,000 4.880%(b), 7/25/96........... $ 1,625,683
95,000 4.790%(b), 8/08/96........... 94,513
115,000 5.020%(b), 8/08/96........... 114,405
1,590,000 5.000%(b), 9/12/96........... 1,573,847
8,366,000 5.030%(b), 10/17/96.......... 8,237,247
6,338,000 5.325%(b), 10/17/96.......... 6,240,458
28,552,000 5.080%(b), 10/31/96.......... 28,056,595
-------------
TOTAL U.S. TREASURY BILLS (Cost
$45,947,869)............................ $ 45,942,748
-------------
TOTAL INVESTMENTS (Cost $1,173,070,618)
99.84%.................................. $1,485,965,947
Other Assets Less Liabilities 0.16%..... 2,320,072
-------------
NET ASSETS - 100.00%.................... $1,488,286,019
-------------
-------------
</TABLE>
- ------------------
(a) Non-Income Producing Securities
(b) Discount Rate
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
14
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $1,173,070,618).................. $1,485,965,947
Cash......................................................... 45,049
Dividend and Interest Receivable............................. 2,137,082
Variation Margin Receivable.................................. 247,825
Prepaid Expenses and Other................................... 4,647
--------------
Total Assets..................................................... 1,488,400,550
--------------
LIABILITIES
Due to Bankers Trust......................................... 95,832
Accrued Expenses and Other................................... 18,699
--------------
Total Liabilities................................................ 114,531
--------------
NET ASSETS....................................................... $1,488,286,019
--------------
--------------
COMPOSITION OF NET ASSETS
Paid in Capital.............................................. $1,175,265,089
Net Unrealized Appreciation on Securities and Future
Contracts................................................... 313,020,930
--------------
NET ASSETS, JUNE 30, 1996........................................ $1,488,286,019
--------------
--------------
</TABLE>
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividend (net of foreign witholding taxes of $106,583)....... $13,948,267
Interest..................................................... 880,565
-----------
Total Investment Income.......................................... 14,828,832
-----------
EXPENSES
Advisory..................................................... 641,951
Administration and Services.................................. 320,976
Professional................................................. 15,728
Trustees..................................................... 1,368
Miscellaneous................................................ 5,181
-----------
Total Expenses............................................... 985,204
Less: Expenses Absorbed by Bankers Trust..................... (343,252)
-----------
Net Expenses..................................................... 641,952
-----------
NET INVESTMENT INCOME............................................ 14,186,880
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES
Net Realized Gains from Securities Transactions.............. 3,373,683
Net Realized Gains from Futures Transactions................. 1,605,342
Net Unrealized Appreciation on Securities and Futures
Contracts................................................... 101,188,528
-----------
Net Gains on Investments..................................... 106,167,553
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS....................... $120,354,433
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
15
<PAGE>
- --------------------------------------------------------------------------------
EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, 1996 DECEMBER
(UNAUDITED) 31, 1995
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net Investment Income.................... $ 14,186,880 $ 19,425,500
Net Realized Gain from Securities and
Future Transactions.................... 4,979,025 4,687,899
Net Unrealized Appreciation on Securities
and Futures Contracts.................. 101,188,528 212,725,683
-------------- --------------
Net Increase in Net Assets from Operations... 120,354,433 236,839,082
-------------- --------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested........... 376,195,627 474,637,337
Value of Capital Withdrawn............... (89,000,067) (190,511,921)
-------------- --------------
Net Increase in Net Assets from Capital
Transactions................................ 287,195,560 284,125,416
-------------- --------------
TOTAL INCREASE IN NET ASSETS................. 407,549,993 520,964,498
NET ASSETS
Beginning of Period.......................... 1,080,736,026 559,771,528
-------------- --------------
End of Period................................ $1,488,286,019 $1,080,736,026
-------------- --------------
-------------- --------------
</TABLE>
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
MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31, 1992
1996 --------------------------------- (COMMENCEMENT
(UNAUDITED) 1995 1994 1993 OF OPERATIONS)
------------ ----------- --------- --------- -----------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted)............................... $1,488,286 $ 1,080,736 $ 559,772 $ 151,805 $ 9,435
Ratios to Average Net Assets
Net Investment Income.................. 2.20%* 2.52% 2.84% 2.67% --
Expenses, including Expenses of the
Portfolio............................ 0.10%* 0.10% 0.10% 0.10% --
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust..................... 0.05%* 0.05% 0.06% 0.10% --
Portfolio Turnover Rate...................... 1% 6% 21% 31%
Average Commission Rate (in cents per
share)..................................... $ 0.02#
</TABLE>
- ----------------
* Annualized
# For the year beginning on or after September 1, 1995, the Portfolio is
required to disclose its average commission rate per share for purchases or
sales of equity securities.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 17
16
<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 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 INTEREST INCOME
Security transactions are accounted for on a trade date basis. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the accrual
basis and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the portfolio. The Portfolio's
investment in the financial futures contracts is designed to closely replicate
the benchmark index used by the Portfolio. Should the Portfolio's prices move
unexpectedly, the Portfolio may not achieve the anticipated benefits of the
financial futures contracts and may realize a loss.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
E. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the six months ended June 30, 1996, this fee aggregated
$320,976.
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, 1996,
this fee aggregated $641,951.
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,
1996, expenses of the Portfolio have been reduced by $343,252.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Institutional Funds. None of the trustees so affiliated received
compensation for services as trustees of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 -- PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the period ended June 30, 1996 were
$284,601,548 and $12,933,107, respectively. For Federal income tax purposes, the
tax basis of investments held at June 30, 1996 was $1,179,487,646. The aggregate
gross unrealized appreciation was $318,575,690 and the aggregate gross
unrealized depreciation for all investments was $12,097,389 as of June 30, 1996.
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 1996 is
as follows:
<TABLE>
<CAPTION>
UNREALIZED
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION APPRECIATION
- ----------------------- -------------- ------------- --------- -----------
<S> <C> <C> <C> <C>
S&P 500 Futures Index September 1996 139 Long $ 125,601
</TABLE>
At June 30, 1996, the Portfolio has segregated sufficient securities to cover
margin requirements on open futures contracts.
17
