(bullet) BT INSURANCE FUNDS TRUST (bullet)
----------------------------
EQUITY 500 INDEX FUND
SMALL CAP INDEX FUND
EAFE EQUITY INDEX FUND
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ANNUAL REPORT
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DECEMBER (bullet) 1997
<PAGE>
BT Insurance Funds Trust
Table of Contents
Letter to Shareholders 3
BT Insurance Funds Trust
Schedules of Portfolio Investments 9
Statements of Assets and Liabilities 39
Statements of Operations 40
Statements of Changes in Net Assets 41
Financial Highlights 42
Notes to Financial Statements 43
Report of Independent Auditors 45
2
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders
We are pleased to present you with this first annual report for the BT Equity
500 Index Fund, BT Small Cap Index Fund and BT EAFE(R) Equity Index Fund,
providing a detailed review of the markets, the portfolios and our outlooks.
Included are a complete financial summary of each Fund's operations and a
listing of each Portfolio's holdings. Please note that while this report reviews
the calendar year, the following are the Funds' inception dates: Equity 500
Index, October 1, 1997; the Small Cap Index, August 25, 1997; and EAFE Equity
Index, August 22, 1997. Thus each Fund has not been in operation for a full
year.
BT EQUITY 500 INDEX FUND
The BT Equity 500 Index Fund (the "Fund") returned 1.70% for the one month ended
December 31, 1997, tightly tracking the 1.72% return of the S&P 500 Index.*
Since its inception on October 1, 1997, the Fund is up 1.90% cumulatively, as of
December 31, 1997.**
MARKET ACTIVITY
- -------------------------------------------------------------------------------
Objective
Seeks to match the performance of the stock market, as represented by the S&P
500 Index, before expenses.
- -------------------------------------------------------------------------------
Large capitalization equities had quite a year. Having broken the 7,000 barrier
in February 1997, it took only five months for the Dow Jones Industrial Average
to reach the 8,000 milestone in the middle of July. The S&P 500 Index also
reached record high levels. However, as anticipated, short-term volatility
plagued the bull market for equities virtually throughout.
- -------------------------------------------------------------------------------
Investment Instruments
Primarily equity securities, consisting of common stock of current S&P 500
companies.
- -------------------------------------------------------------------------------
For example, the S&P 500 Index started the year with its strongest January
performance since 1989. The large capitalization sector then eased off by March,
primarily as a result of the Federal Reserve Board's hike of the Fed Funds rate
that month. As technology stocks picked up mid-year, the large cap sector as a
whole recovered in September and finished the third quarter better than
anticipated. Then, on October 27th, the Dow Jones experienced its largest single
one-day point loss ever, and the S&P 500 dropped dramatically as well. Though
weakened currencies and economies in Southeast Asia and market volatility in the
Far East had led to the plummet here, there was little evidence of any
meaningful impact of the ongoing turmoil abroad impacting domestic activity.
Thus the very next day, the Dow Jones experienced its largest one-day gain ever,
and the S&P 500 regained more than two-thirds of the previous day's drop. The
remainder of the fourth quarter of the year was marked by continued strength in
financial stocks and renewed strength in utilities. A favorable
economy--supported by slowed growth, low unemployment, low inflation, higher
corporate earnings, and a Federal Reserve Board on hold through the remainder of
1997--served as the backdrop to this short-term volatility yet strong overall
performance.
For the annual period, large capitalization stocks outperformed small cap
stocks, though small cap stocks outperformed for the six months from March
through September 1997, due to a resurgence in technology stocks. In contrast to
both 1996 and the first half of 1997, value stocks outperformed growth stocks
within the large cap sector for the 12-month period. Value also outperformed
growth within the small cap sector. Overall, leading groups for the year
included financial services, health care and consumer staples. The weakest
performing sectors were energy, technology and basic materials, the first two of
which still produced double-digit returns. There were 29 changes to the S&P 500
Index this year, which is a lower turnover than last year.
Ten Largest Stock Holdings
---------------------------------------------------------
General Electric Co. Royal Dutch Petroleum Co.
Coca Cola Co. Intel Corp.
Microsoft Corp. Philip Morris Companies, Inc.
Exxon Corp. Procter & Gamble Co.
Merck & Company, Inc. IBM Corp.
MANAGER OUTLOOK
Overall, real economic growth is anticipated to cool from its earlier rapid
pace, coming in at around 2% for all of 1998, and the environment is expected to
be positive for the equities market. Given the previous three solidly upward
years, however, gains in the stock market for 1998 appear to be limited.
Volatility will likely continue to be high.
The current high valuations and ongoing concerns about fallout from the Far East
suggest that any equity gains will be comparatively lower. Questions about
earnings, particularly for the large multinational companies, persist, and the
labor market remains tight, placing upward pressure on wages. On the other hand,
productivity improvement has been sufficient to offset any higher costs, thereby
allowing profits to expand while keeping a lid on inflation. Several underlying
fundamentals impacting on the consumer--including rising incomes and high levels
of confidence--are also expected to keep the economy on a relatively strong
upward course for the near term. Finally, low interest rates and hefty flows of
retirement funds into the equity market should provide some support to stock
prices. Any correction that may occur is anticipated to be brief and mild,
followed by renewed strength in the equity market.
3
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
Diversification of Portfolio Investments
By Sector as of December 31, 1997
(percentages are based on market value)
[Plot points for pie chart appear below]
Foods 3%
Office Equipment and Computers 3%
Beverages 3%
Computer Software 3%
Insurance 4%
Electronics 4%
Telecom-
munications 4%
Retail 4%
Electrical Equipment 5%
Financial Services 5%
U.S. Treasury Bills 6%
Hospital Supplies and Health Care 3%
Chemicals and Toxic Waste 3%
Other* 19%
Oil Related 8%
Banks 8%
Utilities 8%
Drugs 7%
*Consists of industries less than 3%
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Equity 500 Index
Fund and the S&P 500 Index since October 1, 1997.
- --------------------------------------------------------------------------------
Total Return
Ended December 31, 1997
Since 10/1/97*
1.90%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. Past performance
is not indicative of future performance. The S&P 500 Index is unmanaged, and
investments may not be made in an index.
- --------------------------------------------------------------------------------
[Plot points for graph appear below]
BT Equity 500 Index Fund - $10,190
S&P 500 Index - $10,189
BT Equity 500 S & P 500
Index Fund Index
------------- ---------
10/97 $10,000 $10,000
12/97 10,190 10,189
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index.
4
<PAGE>
Letter to Shareholders (continued)
- -------------------------------------------------------------------------------
Objective
Seeks to replicate as closely as possible (before deduction of expenses of the
Fund and Portfolio) the total return of the Russell 2000 Index.
- -------------------------------------------------------------------------------
BT SMALL CAP INDEX FUND
The BT Small Cap Index Fund (the "Fund") returned 1.55% for the one month ended
December 31, 1997, tracking the 1.75% return of the Russell 2000 Index.* The
Fund returned (3.31)% for the three months ended December 31, 1997, again
tracking the (3.35)% return of the Russell 2000 Index for the quarter. Since its
inception on August 25, 1997, the Fund is up 5.10% cumulatively, as of December
31, 1997.** The Russell 2000 Index is an unmanaged index that measures small
capitalization equities.###
- --------------------------------------------------------------------------------
Investment Instruments
Primarily equity securities, consisting of common stock of current Russell 2000
companies.
- --------------------------------------------------------------------------------
MARKET ACTIVITY
Small capitalization equities had a tumultuous 1997. The Russell 2000 Index
started the year with the strongest January performance it had seen since 1994.
However, primarily due to ongoing weakness in technology stocks, volatility
dominated for the rest of the first quarter, and small cap stocks lagged the
large capitalization sector. The Federal Reserve Board's hike of the Fed Funds
rate late in March also contributed to this weak period. Then, with the Federal
Reserve Board on hold, the economic scenario favorable, and a resurgence of
technology stocks in the second quarter, small cap stocks picked up speed. This
strength continued through the third quarter, during which the Russell 2000
Index beat the S&P 500 Index two to one. In fact, the Russell 2000 Index broke
records virtually every day in the month of September. Then in the fourth
quarter, small caps were the hardest hit of the equity sectors by the volatility
in the Asian markets. Still, for the year, the sector's performance was stronger
than that of 1996. The NASDAQ, on which over 50% of Russell 2000 stocks are
traded, was up 21.64% for the year, and the Russell 2000 Index itself returned
22.36%.
Within the small capitalization sector, value stocks outperformed growth stocks
two-to-one for the 12-month period, much as they had in 1996. Leading small cap
groups for the year included consumer staples, financial services and utilities.
Weaker performing sectors included consumer discretionary, health care and
technology, the first two of which still produced double-digit returns. There
were over 500 additions and deletions to the Russell 2000 Index, representing a
47.40% turnover rate for the year. This turnover is slightly lower than in 1996.
MANAGER OUTLOOK
Ten Largest Stock Holdings
---------------------------------------------------------------
Associated Banc-Corp Mack-Cali Realty Corp.
U.S. Office Products Co. Brooks Fiber Properties, Inc.
Allied Waste Industries, Inc. Arterial Vascular Engineering
Jacor Communications, Inc. Citrix Systems, Inc.
Keystone Financial, Inc. Sovereign Bancorp, Inc.
Overall, real economic growth is anticipated to cool from its earlier rapid
pace, coming in at around 2% for all of 1998, and the environment is expected to
be positive for the equities market. Low interest rates and hefty flows of
retirement funds into the equity market should provide some support to stock
prices. So too, productivity improvement has been sufficient to offset any
upward pressure on wages, thereby allowing profits to expand while keeping a lid
on inflation. Several underlying fundamentals impacting on the
consumer--including low unemployment, rising incomes, and high levels of
confidence--are also expected to keep the economy on a relatively strong upward
course for the near term. However, given the upward move that has already taken
place, the current high valuations, technology stocks' cyclical nature and
continued turmoil in the Asian markets, we expect volatility to continue to be
high in 1998 and gains in the small cap stock market to be comparatively less
strong than in the year just past. Still, any equity market correction that may
occur is anticipated to be brief and mild, followed by renewed strength.
Diversification of Portfolio Investments
By Sector as of December 31, 1997
(percentages are based on market value)
[Plot points for pie chart appear below]
Electronics 3%
Retail 4%
U.S. Treasury Bills 4%
Computer Software 4%
Insurance 4%
Telecommuni-
cations 5%
Utilities 5%
Real Estate 8%
Financial Services 8%
Other* 31%
Banks 3%
Oil Related 3%
Computer Services 2%
Manufacturing 2%
Machinery 2%
Medical Supplies 2%
Building and Construction 2%
Auto Related 2%
Retail Food 2%
Chemicals and Toxic Waste 2%
Commercial Services 2%
*Consists of industries less than 2%
The fund is not insured by the FDICand is not a deposit, obligation of, or
guaranteed by Bankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
5
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT Small Cap Index
Fund, and the Russell 2000 Index since August 25, 1997.
- -------------------------------------------------------------------------------
Annualized Total Return for the
Period Ended December 31, 1997
Since 8/25/97*
5.10%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
[Plot points for graph appear below]
BT Small Cap Index Fund - $10,510
Russell 2000 Index - $10,505
BT Small Cap Russell 2000
Index Funds Index
------------ ------------
8/97 $10,000 $10,000
9/97 10,837 10,869
12/97 10,510 10,505
Past performance is not indicative of future performance. The Russell 2000 Index
is unmanaged and investments may not be made in an index.
- -------------------------------------------------------------------------------
Objective
Seeks to replicate as closely as possible the total return of the Morgan Stanley
Capital International Europe Australia Far East (EAFE) Index.
- -------------------------------------------------------------------------------
BT EAFE EQUITY INDEX FUND
The BT EAFE Equity Index Fund (the "Fund") returned 0.76% for the one month
ended December 31, 1997, tracking the 0.87% return of the MSCI EAFE Index.* The
Fund returned (8.07)% for the three months ended December 31, 1997, again
tracking the (7.83)% return of the MSCI EAFE Index for the quarter. Since its
inception on August 22, 1997, the Fund has returned (6.60)% cumulatively, as of
December 31, 1997.** The MSCI EAFE Index is an unmanaged capitalization-weighted
index containing approximately 1,100 equity securities of companies located
outside the United States.##
MARKET ACTIVITY
Overall, 15 of the 20 EAFE markets posted gains for the twelve months ended
December 31, 1997 and 12 had double-digit returns, but most of the advance of
the MSCI EAFE Index took place during the second quarter. This may also have
been the year that confirmed that the world markets are not, contrary to what
many have thought, highly correlated. A real divergence in the stock market
performance of Europe and Pacific has become clear, as Europe has almost kept
pace with the U.S., but the Pacific has been disappointing.
- -------------------------------------------------------------------------------
Investment Instruments
Primarily equity securities of business enterprises organized and domiciled
outside of the United States. Statistical methods will be employed to replicate
the Index by buying most of the relevant Index securities.
- -------------------------------------------------------------------------------
In the first quarter, the MSCI EAFE Index had a negative return, with the fall
of currencies outweighing the rise in equities. The Pacific Basin also fell more
than Europe advanced. In the second quarter, the MSCI EAFE Index gained in each
month, as equities, currencies, the Pacific Basin and Europe all had positive
returns. The performance of the EAFE markets were mixed in the third quarter, as
European markets continued to register strong gains following Wall Street's
rebound, Asian markets fell, and currencies also fell as the dollar
strengthened. Concerns over the Asian financial turmoil either directly or
indirectly impacted each market, and so October proved to be difficult for all
of the EAFE countries. European markets rebounded in the remaining months of
1997; the Pacific Basin markets did not. For the twelve month period, equities
added to performance for the year, while currencies detracted. Switzerland was
the best performing EAFE market, and Malaysia was the worst.
* This index is unmanaged, and investments cannot be made in an index
** Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. The Fund is not a
deposit, obligation of, or guaranteed by Bankers Trust Company. The Fund is
subject to investment risks, including possible loss of principal amount
invested.
# The EAFE Index is the exclusive property of Morgan Stanley. Morgan Stanley
Capital International is a service mark of Morgan Stanley and has been
licensed for use by Bankers Trust Company.
## Foreign investing involves special risks, including currency risk, increased
volatility of foreign securities, and differences in auditing and other
financial standards.
### Small cap stocks have historically experienced greater volatility than
average.
6
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
Europe
Regionally, Europe rose 23.8% during the annual period, benefiting largely from
the development of the European Common Market, relatively stable currencies
anchored to the Deutschemark, strong corporate earnings, and widespread
corporate downsizing programs. In the first half of the year, almost all of the
European countries reached new stock market highs including the United Kingdom,
Belgium, Denmark, Finland, France, Germany, Holland, Ireland, Italy, Norway,
Spain, Switzerland and Sweden. The one real interruption to these gains was in
October, when European markets fell amid concern that Asia's currency woes would
lead to lower Asian economic growth and consequently a slowdown in European
exports. They were also negatively impacted by the German central bank's
decision to raise its interest rates, its first increase in five years, and by
other European central banks following suit. By the end of the year, the
region's markets had resumed their upward movement.
Several nations benefited from stock or sector specific developments as well.
For example, Switzerland did particularly well due to increased earnings
optimism for financial stocks. Finland rose mainly due to gains by Nokia, the
global telecommunications company. Denmark was the best performer in December,
as one of its largest companies, Novo Nordisk, rose dramatically on news of FDA
approval of its diabetes drug and as its banks rose sharply amid merger
speculation incited by the announced merger of Switzerland's UBS and SBC banks.
Italy and Spain's markets benefited from interest rate cuts by their respective
central banks, and the United Kingdom advanced on positive economic news, a
weaker British pound, and reports that the U.K. may join the single European
currency sooner than expected.
Ten Largest Stock Holdings
---------------------------------------------------------------
Royal Dutch Petroleum Co. British Petroleum Co. PLC
Toyota Motor Corp. Roche Holding AG-Genusschine
Novartis AG Nippon Telegraph & Telephone
Bank of Tokyo-Mitsubishi Ltd. Lloyds TSB Group PLC.
Glaxo Wellcome PLC. HSBC Holdings PLC
Pacific Basin
The Pacific Basin overall fell 25.5% during the annual period, although this
region, like the other EAFE markets, had a strong second quarter. In the first
quarter, Hong Kong fell in response to the decline in the U.S. market, and Japan
fared even worse, primarily due to investors' concerns about the economy, lack
of market support by government officials, and the appreciation of the dollar
versus the yen. During the second quarter, Australia and New Zealand each set
record stock market levels. So, too, did Hong Kong, as investors were optimistic
about China's role in overseeing the nation. "Red chip" stocks, i.e. Chinese
companies with Hong Kong listings, soared. Like Hong Kong, Japan had a much more
positive second quarter, as the yen rebounded through May and June. Bank shares
also performed well as investors expected interest rates to remain low.
In the third quarter, the Pacific Basin was dragged down by Malaysia and Japan.
Concerns about its currency sent Malaysian equities lower, and attempts by the
government to protect the market from speculators by imposing trade restrictions
backfired and eroded investor confidence, accelerating the fall in equity
prices. Japanese stock prices were driven down by lower corporate earnings and a
report by the government that its GDP had plunged 2.9% in the second quarter.
The fourth quarter was dominated by the well-publicized Asian financial turmoil,
sparked by the Thai currency crisis earlier in the year but most dramatically
seen in the Hong Kong equity market's plunge in October. Fears of currency
devaluation engulfed the Hong Kong dollar. The central bank reiterated its
commitment to maintaining the currency's peg to the U.S. dollar and raised
interest rates to ward off speculative selling. However, this led to the stock
market decline, as analysts lowered their earnings estimates to account for an
economic slowdown. Currency fears spread to other Asian markets, causing equity
declines throughout virtually all the region.
MANAGER OUTLOOK
Our long-term outlook for Europe remains positive, as we believe there is still
room for economic growth with low inflation. This should, in turn, allow
corporate earnings to rise. The development of the European Common Market
continues slowly, but surely. As for the Pacific Basin, we expect that their
problems will be ongoing for the near to mid term, and so we are still cautious
on this region. Japan has been mired in a recession for five years, complicated
by both real estate and banking crises compounded with an unstable currency.
Investors were disappointed by the fiscal stimulus package announced by the
Japanese government in December, and concern over the economy's weakness, as
evidenced by an increased number of bankruptcies, led to a decline in the yen at
the end of 1997. Hong Kong is still being watched closely and remains, we
believe, highly volatile.
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Of course, it is important to note that as index funds, we neither evaluate
short-term fluctuations in the Funds' performance nor manage according to a
given outlook for the equity markets or the economy in general. Still, we will
continue monitoring economic conditions and how they affect the financial
markets. The Equity 500 Index is designed to replicate the broad diversification
and returns before expenses of the S&P 500 Index, the Small Cap Index is
designed to replicate the broad diversification and returns before expenses of
the Russell 2000 Index and the EAFE Equity Index is designed to replicate as
closely as possible, before expenses, the broad diversification and total return
of the MSCI EAFE Index with net dividends.
7
<PAGE>
BT Insurance Funds Trust
Letter to Shareholders (continued)
Diversification of Portfolio Investments
By Sector as of December 31, 1997
(percentages are based on market value)
[Plot points for pie chart appear below]
Italy 4%
Netherlands 5%
Switzerland 8%
France 8%
Germany 10%
United Kingdom 21%
Hong Kong 3%
Australia 3%
Other* 13%
Japan 25%
*Consists of countries less than 3%
We appreciate your support of the BT Equity 500 Index Fund, the BT Small Cap
Index Fund and the BT EAFE Equity Index Fund. We look forward to serving your
investment needs for many years to come.
/s/ Frank Salerno
-------------------
Frank Salerno
Portfolio Manager of the Equity 500 Index
and the Small Cap Index Fund
December 31, 1997
/s/ Richard J. Vella
----------------------
Richard J. Vella
Portfolio Manager of the EAFE
Equity Index Fund
December 31, 1997
Performance Comparison
Comparison of Change in Value of a $10,000 Investment in the BT EAFE Equity
Index Fund, with the MSCI EAFE Index since August 22, 1997.
- -------------------------------------------------------------------------------
Total Return
Ended December 31, 1997
Since 8/22/97*
(6.60%)
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
- -------------------------------------------------------------------------------
[Plot points for graph appear below]
BT EAFE Equity Index Fund - $9,340
MSCI EAFE Index - $9,415
BT EAFE MSCI EAFE
Equity Index Fund Index
------------------ ---------
8/97 $10,000 $10,000
9/97 10,160 10,216
12/97 9,340 9,415
Past performance is not indicative of future performance. The MSCI EAFE Index is
unmanaged and investments may not be made in an index. The Fund is not insured
by the FDIC and is not a deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks, including possible loss of
principal amount invested.
8
<PAGE>
Equity 500 Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
COMMON STOCKS - 98.14%
Advertising - 0.07%
200 Omnicom Group, Inc. $ 8,475
---------
Aerospace - 1.64%
1,500 Boeing Co. 73,406
100 General Dynamics Corp. 8,644
300 Lockheed Martin Corp. 29,550
100 Northrop Grumman Corp. 11,500
1 Raytheon Co., Class A 38
400 Raytheon Co., Class B 20,200
400 Rockwell International 20,900
400 United Technologies Corp. 29,125
---------
193,363
---------
Airlines - 0.43%
100 AMR Corp. * 12,850
200 Delta Air Lines, Inc. 23,800
300 Southwest Airlines Co. 7,388
100 U.S. Airways Group, Inc. * 6,250
---------
50,288
---------
Apparel, Textiles - 0.37%
300 Corning, Inc. 11,138
200 Liz Claiborne, Inc. 8,362
300 NIKE, Inc., Class B 11,775
100 Reebok International, Ltd. * 2,881
200 V.F. Corp. 9,200
---------
43,356
---------
Auto Related - 2.16%
200 AutoZone, Inc. * 5,800
1,100 Chrysler Corp. 38,706
100 Cummins Engine, Inc. 5,906
100 Dana Corp. 4,750
200 Eaton Corp. 17,850
200 Echlin, Inc. 7,238
1,700 Ford Motor Co. 82,769
1,100 General Motors Corp. 66,688
300 Genuine Parts Co. 10,181
100 PACCAR, Inc. 5,250
200 Parker-Hannifin Corp. 9,175
---------
254,313
---------
Banks - 7.87%
200 Ahmanson (H F) & Co. 13,388
800 Banc One Corp. 43,450
600 Bank of New York Co., Inc. 34,688
1,000 BankAmerica Corp. 73,000
200 BankBoston Corp. 18,788
300 Barnett Banks, Inc. 21,563
300 BB&T Corp. 19,219
600 Chase Manhattan Corp. 65,700
700 CitiCorp. 88,506
100 Comerica, Inc. 9,025
300 Corestate Financial Corp. 24,019
Shares Description Value
------ ----------- -----
300 Fifth Third Bancorp $ 24,525
500 First Chicago NBD Corp. 41,750
900 First Union Corp. 46,125
300 Huntington Bancshares 10,800
400 KeyCorp 28,325
400 Mellon Bank Corp. 24,250
300 Morgan (J.P.) & Co. 33,862
400 National City Corp. 26,300
1,100 NationsBank Corp. 66,894
1,200 Norwest Corp. 46,350
100 Republic New York Corp. 11,418
300 Sun Trust Banks, Inc. 21,412
300 U.S. Bancorp 33,581
400 Wachovia Corp. 32,450
500 Washington Mutual, Inc. 31,906
100 Wells Fargo & Co. 33,944
---------
925,238
---------
Beverages - 3.30%
800 ANHEUSER- BUSCH COMPANIES, INC. 35,200
3,800 Coca-Cola Co. 253,175
2,200 PepsiCo, Inc. 80,162
600 Seagram Co., Ltd. ADR 19,387
---------
387,924
---------
Building and Construction - 0.77%
100 Centex Corp. 6,292
1,100 Home Depot, Inc. 64,419
300 Masco Corp. 15,263
100 Stanley Works 4,719
---------
90,693
---------
Building, Forest Products - 0.44%
200 Champion International Corp. 9,062
200 Georgia-Pacific 12,150
200 Georgia-Pacific (Timber Group) 4,537
200 Johnson Controls, Inc. 9,550
100 Louisiana Pacific Corp. 1,900
300 Weyerhauser Co. 14,719
---------
51,918
---------
Chemicals and Toxic Waste - 2.73%
200 Air Products & Chemicals, Inc. 16,450
500 Amgen, Inc. * 27,062
400 Dow Chemical Co. 40,600
1,700 Du Pont (E.I.) deNemours & Co. 102,106
100 Eastman Chemical Co. 5,956
200 Grace (W.R.) & Co. 16,088
100 GREAT LAKES CHEMICAL CORP. 4,488
200 Hercules, Inc. 10,013
200 Mallinckrodt, Inc. 7,600
900 Monsanto Co. 37,800
200 Morton International, Inc. 6,875
200 PPG Industries, Inc. 11,425
100 Raychem Corp. 4,306
100 Rohm & Haas Co. 9,575
See Notes to Financial Statements on Page 43
9
<PAGE>
Equity 500 Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
200 Sigma Aldrich Corp. $ 7,950
300 Union Carbide Corp. 12,881
---------
321,175
---------
Computer Services - 1.08%
500 3Com Corp. * 17,469
100 Adobe Systems, Inc. 4,125
500 Automatic Data Processing, Inc. 30,687
400 Cabletron Systems, Inc. * 6,000
500 Dell Computer Corp. * 42,000
800 EMC Corp. * 21,950
400 Silicon Graphics, Inc. * 4,975
---------
127,206
---------
Computer Software - 3.44%
1,500 Cisco Systems, Inc. * 83,625
850 Computer Associates International, Inc. 44,944
1,800 Microsoft Corp. * 232,650
1,600 Oracle Corp. * 35,700
400 Seagate Technology, Inc. * 7,700
---------
404,619
---------
Containers - 0.31%
200 Avery Dennison Corp. 8,950
300 Crown Cork & Seal Co., Inc. 15,037
200 Owens-Illinois, Inc. * 7,588
100 Temple-Inland, Inc. 5,231
---------
36,806
---------
Cosmetics and Toiletries - 0.88%
300 Avon Products, Inc. 18,412
800 Gillette Co. 80,350
100 International Flavors & Fragrances, Inc. 5,150
---------
103,912
---------
Diversified Operations - 1.03%
200 Allegheny Teledyne, Inc. 5,175
100 Ceridian Corp. * 4,581
200 Loews Corp. 21,225
600 Minnesota Mining & Manufacturing Co. 49,238
200 Pall Corp. 4,137
300 Praxair, Inc. 13,500
100 SUPERVALU, Inc. 4,188
300 Textron, Inc. 18,750
---------
120,794
---------
Drugs - 6.98%
1,000 American Home Products Corp. 76,500
1,500 Bristol-Myers Squibb Co. 141,937
1,700 Lilly (Eli) & Co. 118,362
1,800 MERCK & CO., INC. 191,250
1,900 Pfizer, Inc. 141,669
900 Pharmacia & Upjohn, Inc. 32,963
1,100 Schering-Plough Corp. 68,337
400 Warner Lambert Co. 49,600
---------
820,618
---------
Shares Description Value
------ ----------- -----
Electrical Equipment - 4.79%
1,100 CBS Corp. 32,381
5,000 General Electric Co. 366,875
100 General Signal Corp. 4,219
1,600 Hewlett-Packard Co. 100,000
200 ITT Corp. * 16,575
100 ITT Industries, Inc. 3,138
900 Tyco International, Ltd. 40,556
---------
563,744
---------
Electronics - 3.89%
200 Advanced Micro Devices, Inc. * 3,588
900 Allied Signal, Inc. 35,043
400 AMP, Inc. 16,800
500 Applied Materials, Inc. * 15,063
700 Emerson Electric Co. 39,506
100 Harris Corp. 4,588
2,500 Intel Corp. 175,625
200 KLA-Tencor Corp. 7,725
200 LSI Logic Corp. * 3,950
300 Micron Technology, Inc. * 7,800
900 Motorola, Inc. 51,356
200 National Semiconductor Corp. * 5,188
400 Northern Telecom, Ltd. ADR 35,600
100 Perkin-Elmer Corp. 7,106
600 Texas Instruments, Inc. 27,000
200 Thermo Electron Corp. * 8,900
100 Thomas & Betts Corp. 4,726
100 Western Atlas, Inc. * 7,400
---------
456,964
---------
Financial Services - 5.15%
700 American Express Co. 62,475
100 Beneficial Corp. 8,313
400 Charles Schwab Corp. 16,775
100 Cincinnati Financial Corp. 14,075
100 Countrywide Credit Industries 4,288
200 Equifax, Inc. 7,088
1,600 Fannie Mae 91,300
700 First Data Corp. 20,475
400 Fleet Financial Group, Inc. 29,975
1,100 Freddie Mac 46,131
300 Green Tree Financial Corp. 7,856
200 Hartford Financial Services Group, Inc. 18,713
200 Household International, Inc. 25,513
750 MBNA, Corp. 20,484
500 Merrill Lynch & Co., Inc. 36,469
900 Morgan Stanley, Dean Witter,
Discover & Co. 53,213
500 PNC Bank Corp. 28,531
200 State Street Corp. 11,638
300 Synovus Financial Corp. 9,825
1,719 Travelers Group, Inc. 92,611
---------
605,748
---------
See Notes to Financial Statements on Page 43
10
<PAGE>
Equity 500 Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
Food Services / Lodging - 0.58%
1,100 McDonalds Corp. $ 52,525
300 Tricon Global Restaurants, Inc. * 8,719
300 Wendy's International, Inc. 7,219
---------
68,463
---------
Foods - 3.06%
800 Archer-Daniels-Midland Co. 17,350
700 Campbell Soup Co. 40,687
700 ConAgra, Inc. 22,969
200 CPC International, Inc. 21,550
300 General Mills, Inc. 21,487
600 Heinz (H. J.) Co. 30,487
200 Hershey Foods Corp. 12,387
600 Kellogg Co. 29,775
80 PIONEER HI-BRED INTERNATIONAL, INC. 8,580
200 Quaker Oats Co. 10,550
200 Ralston-Purina Group 18,587
700 Sara Lee Corp. 39,419
300 Sysco Corp. 13,669
900 Unilever N.V. ADR 56,194
300 Whitman Corp. 7,819
100 Wrigley, (Wm) Jr., Co. 7,956
---------
359,466
---------
Health Care - 0.90%
1,200 Abbot Laboratories 78,675
900 Columbia/HCA Healthcare Corp. 26,663
---------
105,338
---------
Hospital Supplies and Health Care - 2.96%
500 Baxter International, Inc. 25,219
200 Becton, Dickinson & Co. 10,000
200 Biomet, Inc. 5,125
300 Boston Scientific Corp. * 13,762
200 Cardinal Health, Inc. 15,025
300 Guidant Corp. 18,675
400 HBO & Co. 19,200
600 HEALTHSOUTH Corp. * 16,650
200 Humana, Inc. * 4,150
2,100 Johnson & Johnson Co. 138,338
800 Medtronic, Inc. 41,850
200 St. Jude Medical, Inc. * 6,100
500 Tenet Healthcare Corp. * 16,563
300 United Healthcare Corp. 14,906
100 U.S. Surgical Corp. 2,931
---------
348,494
---------
Hotel / Motel - 0.22%
400 HILTON HOTELS CORP. 11,900
200 Marriot International, Inc. 13,850
---------
25,750
---------
Shares Description Value
------ ----------- -----
Household Furnishings - 0.18%
200 Maytag Corp. $ 7,463
200 Newell Co. 8,500
100 Whirlpool Corp. 5,500
---------
21,463
---------
Household Products - 1.96%
200 Clorox Co. 15,813
500 Colgate-Palmolive Co. 36,750
2,100 Procter & Gamble Co. 167,606
200 Rubbermaid, Inc. 5,000
200 Tupperware Corp. 5,575
---------
230,744
---------
Insurance - 3.61%
200 Aetna, Inc. 14,112
700 Allstate Corp. 63,613
400 American General Corp. 21,625
1,000 American International Group, Inc. 108,750
200 Aon Corp. 11,725
300 Chubb Corp. 22,688
100 CIGNA Corp. 17,306
300 Conseco, Inc. 13,631
100 General Re Corp. 21,200
100 Jefferson-Pilot Corp. 7,788
100 Lincoln National Corp. 7,813
300 MARSH & MCLENNAN COMPANIES, INC. 22,369
100 MBIA, Inc. 6,681
200 MGIC Investment 13,300
100 Progressive Corp. 11,987
200 Providian Financial Corp. 9,038
300 SAFECO Corp. 14,625
100 St. Paul Companies, Inc. 8,206
200 SunAmerica, Inc. 8,550
200 Torchmark Corp. 8,412
200 UNUM Corp. 10,875
---------
424,294
---------
Leisure Related - 1.17%
100 American Greetings Corp., Class A 3,913
100 Brunswick Corp. 3,031
1,000 Disney (Walt) Co. 99,062
300 Hasbro, Inc. 9,450
400 Mattel, Inc. 14,900
300 Mirage Resorts, Inc. * 6,825
---------
137,181
---------
Machinery - 1.32%
100 Black & Decker Corp. 3,906
200 Case Corp. 12,088
600 Caterpillar, Inc. 29,138
200 Cooper Industries, Inc. 9,800
400 Deere & Co. 23,325
400 Dover Corp. 14,450
300 Dresser Industries, Inc. 12,581
See Notes to Financial Statements on Page 43
11
<PAGE>
Equity 500 Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
100 HARNISCHFEGER INDUSTRIES, INC. $ 3,531
400 Illinois Tool Works, Inc. 24,050
300 Ingersoll-Rand Co. 12,150
200 TRW, Inc. 10,675
---------
155,694
---------
Metals - 0.84%
300 Alcan Aluminum Ltd. ADR 8,287
200 Aluminum Company of America 14,075
100 ASARCO, Inc. 2,244
700 Barrick Gold Corp. 13,038
300 Bethlehem Steel Corp. * 2,588
100 Cyprus Amax Minerals Co. 1,538
100 Engelhard Corp. 1,738
100 Freeport-McMoRan Copper &
Gold, Inc., Class B 1,575
300 Homestake Mining Co. 2,662
300 Inco Ltd. ADR 5,100
300 Newmont Mining Corp. 8,812
100 Nucor Corp. 4,831
100 Phelps Dodge Corp. 6,225
400 Placer Dome, Inc. ADR 5,075
200 Reynolds Metals Co. 12,000
200 USX-U.S. Steel Group, Inc. 6,250
200 Worthington Industries, Inc. 3,300
---------
99,338
---------
Miscellaneous - 0.52%
1,280 Cendant Corp. 44,000
300 Cognizant Corp. 13,369
200 Nextlevel Systems, Inc. * 3,575
---------
60,944
---------
Office Equipment and Computers - 3.25%
200 APPLE COMPUTER, INC. * 2,625
100 Autodesk, Inc. 3,700
1,200 Compaq Computer Corp. 67,725
200 Computer Sciences Corp. * 16,513
200 Digital Equipment Corp. * 7,400
200 Honeywell, Inc. 13,700
200 Ikon Office Solutions, Inc. 5,625
1,500 International Business Machines Corp. 156,844
700 Novell, Inc. * 5,250
300 Parametric Technology Corp. 14,213
200 Pitney Bowes, Inc. 17,988
600 Sun Microsystems, Inc. * 23,925
200 Unisys Corp. * 2,775
600 Xerox Corp. 44,288
---------
382,571
---------
Oil Related - 8.38%
200 Amerada Hess Corp. 10,975
700 Amoco Corp. 59,587
100 Anadarko Petroleum Co. 6,069
200 Apache Corp. 7,012
Shares Description Value
------ ----------- -----
100 Ashland, Inc. $ 5,369
500 Atlantic Richfield Co. 40,062
200 Baker Hughes, Inc. 8,725
200 Burlington Resources, Inc. 8,962
1,000 Chevron Corp. 77,000
3,800 Exxon Corp. 232,512
200 Fluor Corp. 7,475
400 Halliburton Co. 20,775
100 Helmerich & Payne, Inc. 6,787
100 McDermott International, Inc. 3,663
1,200 Mobil Corp. 86,625
500 Occidental Petroleum Corp. 14,656
100 Oryx Energy Co. * 2,550
100 Pennzoil Co. 6,681
400 Phillips Petroleum Co. 19,450
100 Rowan Companies, Inc. * 3,050
3,200 Royal Dutch Petroleum Co. ADR 173,400
700 Schlumberger, Ltd. 56,350
200 Sun Co., Inc. 8,413
300 Tenneco, Inc. 11,850
900 Texaco, Inc. 48,937
500 Union Pacific Resources Group, Inc. 12,125
400 Unocal Corp. 15,525
400 USX-Marathon Group 13,500
600 Williams Companies, Inc. 17,025
---------
985,110
---------
Paper - 0.81%
300 Fort James Corp. 11,475
500 International Paper Co. 21,563
900 Kimberly-Clark Corp. 44,381
200 Mead Corp. 5,600
100 Union Camp Corp. 5,368
100 Westvaco Corp. 3,143
100 Willamette Industries, Inc. 3,219
---------
94,749
---------
Photography and Optical - 0.30%
100 Polaroid Corp 4,869
500 Eastman Kodak Co. 30,406
---------
35,275
---------
Printing and Publishing - 1.31%
300 Donnelley (R.R.) & Sons Co. 11,175
100 Dow Jones & Co., Inc. 5,369
200 Dun & Bradstreet Corp. 6,187
400 Gannett Co., Inc. 24,725
200 Knight-Ridder, Inc. 10,400
200 McGraw-Hill Companies, Inc. 14,800
200 New York Times Co., Class A 13,225
800 Time Warner, Inc. 49,600
100 Times Mirror Co., Class A 6,150
200 Tribune Co. 12,450
---------
154,081
---------
See Notes to Financial Statements on Page 43
12
<PAGE>
Equity 500 Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
Professional Services - 0.46%
200 Block (H&R), Inc. $ 8,962
100 Ecolab, Inc. 5,544
200 Interpublic Group of Companies, Inc. 9,963
500 Service Corporation International 18,469
100 Transamerica Corp. 10,650
---------
53,588
---------
Railroads - 0.74%
300 Burlington Northern Santa Fe Corp. 27,881
300 CSX Corp. 16,200
600 Norfolk Southern Corp. 18,488
400 Union Pacific Corp. 24,975
---------
87,544
---------
Retail - 4.15%
400 Albertsons, Inc. 18,950
500 American Stores Co. 10,281
100 Circuit City Stores, Inc. 3,556
400 Costco Companies, Inc. * 17,850
300 CVS Corp. 19,218
400 Dayton Hudson Corp. 27,000
100 Dillard Department Stores, Inc., Class A 3,525
300 Federated Department Stores, Inc. * 12,919
600 Gap, Inc. 21,263
800 Kmart Corp. * 9,250
400 Kroger Co. * 14,775
400 Limited, Inc. 10,200
300 Lowe's Companies, Inc. 14,306
400 May Department Stores Co. 21,075
200 Nordstrom, Inc. 12,075
300 Penney (J.C.) Co., Inc. 18,094
100 Pep Boys-Manny, Moe & Jack 2,387
200 Rite Aid Corp. 11,737
600 Sears, Roebuck & Co. 27,150
300 Sherwin-Williams Co. 8,325
200 Tandy Corp. 7,712
300 TJX Companies Inc. 10,312
500 Toys 'R' Us, Inc. * 15,719
700 Walgreen Co. 21,963
3,400 Wal-Mart Stores, Inc. 134,087
200 Winn-Dixie Stores, Inc. 8,737
300 Woolworth Corp. * 6,112
---------
488,578
---------
Telecommunications - 4.02%
800 Airtouch Communications, Inc. * 33,250
200 ALLTEL Corp. 8,212
900 Ameritech Corp. 72,450
100 Andrew Corp. * 2,400
300 Bay Networks, Inc. * 7,669
200 Clear Channel Communications, Inc. * 15,888
500 Comcast Corp., Class A 15,781
200 DSC Communications Corp. * 4,800
300 Frontier Corp. 7,219
Shares Description Value
------ ----------- -----
1,500 GTE Corp. $ 78,375
100 King World Productions, Inc. 5,775
1,000 Lucent Technologies, Inc. 79,875
1,000 MCI Communications Corp. 42,812
700 Tele-Communications, Inc., Class A * 19,556
300 Tellabs, Inc. * 15,863
500 Viacom, Inc., Class B * 20,719
1,400 WorldCom, Inc. * 42,350
---------
472,994
---------
Tire and Rubber - 0.22%
100 Cooper Tire & Rubber Co. 2,439
100 Goodrich (B.F.) Co. 4,144
300 Goodyear Tire & Rubber Co. 19,088
---------
25,671
---------
Tobacco - 1.65%
300 Fortune Brands, Inc. 11,119
3,700 Philip Morris Companies, Inc. 167,656
400 UST, Inc. 14,775
---------
193,550
---------
Trucking, Shipping - 0.15%
100 Caliber Systems, Inc. 4,869
200 Federal Express Corp. * 12,214
---------
17,083
---------
Utilities - 7.72%
300 American Electric Power Co. 15,487
2,400 AT&T Corp. 147,000
200 Baltimore Gas & Electric Co. 6,812
1,100 Bell Atlantic Corp. 100,100
1,500 BellSouth Corp. 84,469
200 Carolina Power & Light Co. 8,487
400 Central & South West Corp. 10,825
200 CINergy Corp. 7,675
100 Coastal Corp. 6,194
100 Columbia Gas System, Inc. 7,856
400 Consolidated Edison Company
of New York, Inc. 16,400
200 Consolidated Natural Gas Co. 12,100
200 Dominion Resources, Inc. 8,513
300 DTE Energy Co. 10,406
500 Duke Energy Corp. 27,687
500 Edison International 13,593
400 Enron Corp. 16,625
500 Entergy Corp. 14,968
400 FirstEnergy Corp. * 11,600
300 FPL Group, Inc. 17,756
100 GPU, Inc. 4,213
500 Houston Industries, Inc. 13,344
100 Northern States Power Co. 5,825
100 Pacific Enterprises 3,762
400 PacifiCorp 10,925
400 PECO Energy Co. 9,700
See Notes to Financial Statements on Page 43
13
<PAGE>
Equity 500 Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
800 PG&E Corp. $ 24,350
100 PP&L Resources, Inc. 2,394
500 Public Service Enterprise Group, Inc. 15,844
1,400 SBC Communications, Inc. 102,550
100 Sonat, Inc. 4,575
1,200 Southern Co. 31,050
600 Sprint Corp. 35,175
400 Texas Utilities Co. 16,625
400 Unicom Corp. 12,300
200 Union Electric Co. 8,650
800 U.S. WEST, INC. - COMMUNICATIONS GROUP 36,100
900 U.S. West, Inc. - Media Group 25,987
----------
907,922
----------
Waste Management - 0.33%
300 Browning Ferris Industries, Inc. 11,100
400 Laidlaw, Inc. ADR 5,450
200 Safety Kleen Corp. 5,488
600 Waste Management, Inc. 16,500
----------
38,538
----------
Total Common Stocks (Cost $11,339,094) 11,541,577
----------
Par Value
- ---------
U.S. GOVERNMENT OBLIGATIONS - 6.06%
U.S. Treasury Bill - 6.06%
$335,000 U.S. Treasury Bill 03/12/98 331,650
360,000 U.S. Treasury Bill 03/19/98 356,051
25,000 U.S. Treasury Bill 04/30/98 24,571
------------
Total U.S. Government Obligations 712,272
(Cost $712,272) ------------
Total Investments - 104.20% (Cost $12,051,366) $ 12,253,849
Net Other Assets and Liabilities - (4.20)% (493,726)
------------
Net Assets - 100.00% $ 11,760,123
------------
------------
* Non-income producing security
ADR American Depositary Receipt
See Notes to Financial Statements on Page 43
14
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
COMMON STOCKS - 95.61%
Advertising - 0.47%
200 Catalina Marketing Corp.* $ 9,288
300 HA-LO Industries* 7,800
200 Lamar Advertising Co.* 7,950
300 May & Speh, Inc.* 4,050
200 Outdoor Systems, Inc.* 7,675
200 TMP Worldwide, Inc.* 4,600
300 True North Communications 7,425
200 Universal Outdoor Holdings, Inc.* 10,400
------------
59,188
------------
Aerospace - 0.53%
300 AAR Corp. 11,625
100 Aviation Sales Co.* 3,763
300 Banner Aerospace, Inc.* 3,319
200 BE Aerospace, Inc.* 5,350
100 Ducommun, Inc.* 3,494
300 Fairchild Corp., Class A* 7,463
400 Kaman Corp., Class A 6,550
300 OEA, Inc. 8,681
400 Orbital Sciences Corp.* 11,900
200 Remec, Inc. 4,500
------------
66,645
------------
Agriculture - 0.28%
500 DEKALB Genetics Corp., Class B 19,625
533 Delta & Pine Land Co. 16,267
------------
35,892
------------
Apparel, Textiles - 0.97%
400 Authentic Fitness Corp. 7,375
100 Brylane, Inc.* 4,925
1,100 Charming Shoppes, Inc. 5,156
400 Footstar, Inc. 10,750
200 Galey & Lord, Inc.* 3,575
200 Genesco, Inc. 2,550
300 Guess, Inc.* 2,063
200 Interface, Inc. 5,800
300 Kellwood Co. 9,000
300 Lands' End, Inc. 10,518
400 Nautica Enterprises, Inc.* 9,300
200 North Face, Inc.* 4,400
200 Oshkosh B'Gosh, Inc., Class A 6,600
400 Phillips-Van Heusen Corp. 5,700
100 Quicksilver, Inc.* 2,863
300 Spiegel, Class A 1,481
700 Stride Rite Corp. 8,400
100 Springs Industries, Inc., Class A 5,200
200 St John Knits, Inc. 8,000
100 Timberland Co., Class A* 5,806
700 Tultex Corp. 2,844
0 Warnaco Group, Class A+ 13
------------
122,319
------------
Shares Description Value
------ ----------- -----
Auto Related - 1.70%
300 Arvin Industries, Inc. $ 9,994
300 Breed Technologies, Inc. 5,475
200 Budget Group, Inc., Class A* 6,913
900 Collins & Aikman Corp.* 7,763
200 Detroit Diesel Corp.* 4,750
200 Excel Industries 3,613
300 Exide Corp. 7,763
500 Federal-Mogul Corp. 20,250
400 Intermet Corp. 7,000
500 Kaydon Corp. 16,313
100 Masco Tech, Inc. 1,838
500 Miller Industries, Inc.* 5,375
300 Modine Manufacturing Co. 10,238
300 Myers Industries, Inc. 5,119
300 Polaris Industries, Inc. 9,169
400 Simpson Industries, Inc. 4,700
200 Smith (A.O.) Corp. 8,450
200 SPX Corp. 13,800
200 Standard Motor Products 4,513
300 Standard Products Co. 7,688
300 Stewart & Stevenson Services, Inc. 7,650
400 Superior Industries International, Inc. 10,725
300 Titan International, Inc. 6,019
300 Tower Automotive, Inc.* 12,619
100 United Auto Group, Inc.* 1,813
200 Wabash National Corp. 5,688
200 Walbro Corp. 2,688
200 Wynn's International, Inc. 6,375
------------
214,301
------------
Banks - 2.91%
400 Bank United Corp., Class A 19,574
150 BSB Bancorp. Inc. 5,363
100 Capital Bancorp/Miami 5,781
100 CFX Corp. 3,050
375 Chittenden Corp. 13,125
100 Citizens Bancshares/Ohio 7,325
400 Commonwealth Bancorp, Inc. 7,950
200 Community Trust Bancorp, Inc. 6,225
200 CVB Financial Corp. 7,425
400 Dime Community Bancorp, Inc. 9,500
200 F&M Bancorp Inc. 8,050
100 First Commerce Bancshares 3,250
400 First Commonwealth Financial Corp. 15,225
330 First Financial Bancorp 15,922
200 First Financial Bankshares, Inc. 8,575
200 First Republic Bank* 6,388
100 First Savings Bank SLA/NJ 5,450
100 First Source Corp. 3,186
700 Fulton Financial Corp. 22,750
100 GBC Bancorp 6,375
100 Hamilton Bancorp, Inc. 2,912
100 Harbor Florida Bancorp, Inc. 6,625
300 Heritage Financial Services, Inc. 8,700
See Notes to Financial Statements on Page 43
15
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
300 Homeside, Inc.* $ 8,269
200 Interwest Bancorp, Inc. 7,550
200 Merchants New York Bancorp 8,400
300 Old National Bancorp 14,513
100 Oriental Financial Group 2,956
100 Park National Corp. 8,812
200 Peoples First Corp. 7,775
400 Peoples Heritage Financial Group 18,400
400 PFF Bancorp, Inc. 7,950
300 Riggs National Corp. 8,062
100 S&T Bancorp, Inc. 4,324
200 Southwest Bancorp of Texas 6,225
300 Sterling Bancshares, Inc. 6,075
400 Susquehanna Bancshares, Inc. 15,300
0 TCF Financial Corp.+ 1
200 Texas Regional Bancshares, Inc.,
Class A 6,100
200 Triangle Bancorp, Inc. 7,075
300 Trust Company of New Jersey 7,500
200 Webster Financial Corp. 13,300
400 Western Bank Puerto Rico 9,500
------------
366,813
------------
Beverages - 0.13%
500 Coors (Adolph) Co., Class B 16,625
------------
Biopharmacueticals - 0.52%
300 AmeriSource Health Corp., Class A* 17,625
500 Amylin Pharmaceuticals, Inc. 2,719
200 Aphton Corp.* 2,025
300 INCYTE Pharmaceuticals, Inc.* 13,500
600 Liposome Company, Inc.* 2,775
600 NABI, Inc.* 2,043
400 NeXstar Pharmaceuticals, Inc.* 4,550
200 Protein Design Labs, Inc.* 8,000
300 Roberts Pharmaceutical Corp.* 2,869
300 Vertex Pharmaceuticals, Inc.* 9,900
------------
66,006
------------
Brewery - 0.09%
200 Canandaigua Brands, Inc., Class A* 11,075
------------
Broadcasting - 1.02%
400 ADVO, Inc.* 7,800
125 AFC Cable Systems, Inc. 3,719
100 BET Holdings, Inc., Class A* 5,463
200 Cox Radio Inc., Class A* 8,050
300 Heftel Broadcasting Corp., Class A* 14,025
600 Jacor Communications, Inc.* 31,875
300 Paxson Communications Corp.* 2,213
200 Saga Communications, Inc., Class A* 4,250
100 SFX Broadcasting, Inc., Class A 8,025
500 Spelling Entertainment 3,500
300 TCA Cable Tv, Inc. 13,800
Shares Description Value
------ ----------- -----
500 United International Holdings, Inc.,
Class A* $ 5,750
200 United Video Satellite Group, Inc.,
Class A* 5,750
300 Westwood One, Inc. 11,138
100 Young Broadcasting Corp., Class A* 3,875
------------
129,233
------------
Building and Construction - 1.79%
200 CalMat Co. 5,575
300 Carlisle Companies, Inc. 12,825
400 Dal-Tile International, Inc. 4,900
300 Elcor Corp. 7,200
200 Florida Rock Industries, Inc. 4,550
200 Hughes Supply, Inc. 6,988
600 Kaufman & Broad Home Corp. 13,463
300 Kennametal, Inc. 15,544
500 Lennar Corp. 10,781
200 Lone Star Industries, Inc. 10,625
200 Medusa Corp. 8,363
100 NCI Building Systems, Inc. 3,550
200 NVR, Inc.* 4,375
700 Oakwood Homes Corp. 23,231
300 Palm Harbor Homes, Inc. 8,475
100 Puerto Rican Cement Co., Inc. 5,019
300 Ryland Group, Inc. 7,088
100 Simpson Manufacturing Co., Inc.* 3,331
200 Skyline Corp. 5,500
300 Southdown, Inc. 17,700
300 Standard-Pacific Corp. 4,725
300 Texas Industries, Inc. 13,500
100 TJ International, Inc. 2,475
200 Toll Brothers, Inc.* 5,350
300 Triangle Pacific Corp.* 10,163
200 U.S. Home Corp.* 7,850
100 Webb (Del E.) Corp. 2,600
------------
225,746
------------
Chemical - Specialty - 0.27%
200 Albemarle Corp. 4,775
300 Church & Dwight Co., Inc. 8,419
450 Ferro Corp. 10,941
200 Fuller (H.B.) Co. 9,900
------------
34,035
------------
Chemicals and Toxic Waste - 1.67%
200 Cambrex Corp. 9,200
200 Chemed Corp. 8,288
300 ChemFirst, Inc.* 8,475
400 Dexter Corp. 17,275
200 General Chemical Group, Inc. 5,350
200 Geon Co. 4,675
500 Georgia Gulf Corp. 15,313
100 Hach Co. 1,263
See Notes to Financial Statements on Page 43
16
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
100 Hach Co., Class A $ 938
600 Hanna (M.A.) Co. 15,150
600 Lawter International, Inc. 6,525
200 LeaRonal, Inc. 4,700
400 Lilly Industries, Inc., Class A 8,250
100 MacDermid, Inc. 8,488
300 Mississippi Chemical Corp. 5,475
200 Mycogen Corp.* 3,750
100 NCH Corp. 6,550
200 NL Industries, Inc. 2,725
300 OM Group, Inc. 10,988
500 Schulman, Inc. 12,563
300 Scotts Company (The), Class A* 9,075
300 Spartech Corp. 4,538
200 Stephan Chemical Co. 5,925
300 Synetic, Inc.* 10,950
800 Terra Industries, Inc. 10,450
200 WD-40 Co. 5,800
400 Wellman, Inc. 7,800
------------
210,479
------------
Client Server Computing - 0.26%
400 Clarify, Inc.* 4,650
800 PLATINUM Technology, Inc.* 22,600
500 Xircom, Inc.* 5,031
------------
32,281
------------
Coal, Gas and Solar - 0.10%
600 AGL Resources, Inc. 12,263
------------
Commercial Services - 1.54%
300 ABM Industries, Inc. 9,224
300 Access Health, Inc.* 8,813
600 Anixter International, Inc.* 9,900
200 Borg-Warner Security Corp.* 3,525
100 Caribiner International, Inc.* 4,450
200 CDI Corp.* 9,150
150 Central Parking Corp. 6,796
300 COREStaff, Inc.* 7,950
200 Data Transmission Network Corp.* 5,600
200 Electro Rent Corp.* 7,150
600 Employee Solutions, Inc.* 2,588
100 Fine Host Corp. 1,012
400 Franklin Covey Co. 8,800
300 Hilb, Rogal & Hamilton Co. 5,793
600 Interim Services 15,524
400 Metromedia International Group, Inc. 3,800
400 MoneyGram Payment Systems, Inc.* 4,300
150 NCO Group, Inc.* 3,862
150 NFO Worldwide, Inc.* 3,141
300 Nova Corp., Georgia* 7,500
300 PhyMatrix Corp.* 4,724
400 Primark Corp. 16,274
200 Quintel Entertainment, Inc.* 1,087
200 Romac International, Inc.* 4,888
Shares Description Value
------ ----------- -----
400 SABRE Group Holdings, Inc.* $ 11,550
800 Sotheby's Holdings, Inc., Class A 14,800
200 StaffMark, Inc. * 6,325
300 Ugly Duckling Corp.* 2,550
400 Valhi, Inc. 3,775
------------
194,851
------------
Computer - 1.03%
300 Computer Task Group, Inc. 10,669
400 Data General Corp.* 6,974
200 Deltek Systems, Inc. 3,163
100 Dialogic Corp.* 4,374
300 Exar Corp. 4,950
200 FactSet Research Systems, Inc.* 6,150
300 Filenet Corp. 9,038
600 HMT Technology Corp.* 7,800
100 MICROS Systems, Inc.* 4,500
700 Oak Technology, Inc.* 4,550
200 Objective Systems Integrator* 1,675
700 Physicians Computer Network, Inc. 2,800
400 PMC-Sierra, Inc.* 12,400
200 PRI Automation, Inc.* 5,775
200 SanDisk Corp.* 4,063
500 Sequent Computer Systems, Inc.* 10,000
300 Stratus Computer, Inc.* 11,344
200 Telxon Corp. 4,775
400 Trident Microsystems, Inc.* 3,624
500 Wang Laboratories, Inc.* 11,063
------------
129,687
------------
Computer Services - 2.30%
400 Acxiom Corp.* 7,700
400 Affiliated Computer Services,
Class A* 10,525
500 American Management Systems, Inc.* 9,750
300 Analysts International Corp. 10,350
100 Applied Graphics Technologies, Inc.* 5,325
400 Applied Magnetics Corp.* 4,450
150 Barra, Inc. 3,619
200 Black Box Corp.* 7,075
400 Borland International, Inc.* 2,925
100 BRC Holdings, Inc.* 3,825
300 CCC Information Services Group* 5,925
100 CFM Technologies, Inc. 1,538
100 Ciber, Inc.* 5,800
100 Claremont Technology Group* 1,850
400 Cognex Corp.* 10,900
300 Computer Horizons Corp.* 13,650
100 Computer Management Sciences* 1,913
1,100 Computervision Corp.* 4,194
100 Devon Group, Inc.* 4,600
500 Diamond Multimedia Systems, Inc.* 4,438
200 Electro Scientific Industries, Inc.* 7,600
300 Envoy Corp.* 8,736
400 E Trade Group, Inc.* 9,200
See Notes to Financial Statements on Page 43
17
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
200 Fair Isaac & Co., Inc. $ 6,663
300 Henry (Jack) & Associates 8,175
200 Hutchinson Technology* 4,375
100 IMNET Systems, Inc.* 1,625
200 In Focus Systems, Inc.* 6,075
200 InaCom Corp.* 5,613
300 International Network Services* 6,937
100 LHS Group, Inc. 5,975
900 Mentor Graphics Corp. 8,719
200 Micro Linear Corp. 1,574
200 Micro Touch Systems, Inc. 3,150
400 Mylex Corp.* 3,600
200 National Computer Systems, Inc. 7,050
400 National Tech Team, Inc.* 3,600
400 Object Design, Inc. 3,350
100 Quick Response Services, Inc.* 3,700
100 RadiSys Corp.* 3,725
400 Safeguard Scientifics, Inc. 12,550
700 Scios, Inc. 7,000
400 Technology Solutions* 10,550
300 Transition Systems, Inc.* 6,637
400 USCS International, Inc.* 6,800
700 Vanstar Corp.* 7,918
500 Xylan Corp.* 7,562
100 Zitel Corp.* 950
------------
289,761
------------
Computer Software - 4.15%
800 Acclaim Entertainment, Inc.* 2,900
300 Activision, Inc. 5,363
100 Advent Sofware, Inc. 2,863
200 American Homepatient, Inc. 4,700
200 Arbor Software Corp.* 8,100
300 Aspen Technologies, Inc.* 10,275
300 Avant! Corp.* 5,025
300 Avid Technology, Inc.* 8,025
300 Aware, Inc.* 3,075
142 Baan Company 4,692
200 BancTec, Inc.* 5,363
200 Bell & Howell Co.* 4,838
300 BISYS Group, Inc.* 9,975
300 Boole & Babbage, Inc. 8,963
400 Broderbund Software, Inc.* 10,250
100 CDW Computer Centers, Inc.* 5,213
600 Cellular Technical Services, Inc. 1,913
600 Checkfree Corp.* 16,200
500 CHS Electronics, Inc.* 8,563
400 Citrix Systems, Inc.* 30,400
100 Data Dimensions, Inc. 1,725
100 Documentum, Inc.* 4,213
200 Edify Corp.* 3,750
400 Exabyte Corp.* 2,575
100 Forrester Research, Inc. 2,275
300 Forte Software, Inc. 2,288
400 Gerber Scientific, Inc. 7,950
400 GT Interactive Software Corp.* 2,550
Shares Description Value
------ ----------- -----
200 Harbinger Corp.* $ 5,625
300 HNC Software, Inc.* 12,900
200 Hyperion Software Corp.* 7,150
400 Industri-Matematik International Corp.* 11,800
200 Information Management
Resources, Inc.* 7,500
500 Information Resources, Inc. 6,688
200 Integrated Systems, Inc. 2,750
200 INTERSOLV, Inc. 4,050
100 Intevac, Inc. 975
600 Learning Company, Inc.* 9,638
200 Learning Tree International, Inc.* 5,774
200 Legato Systems, Inc.* 8,800
200 Lycos, Inc. 8,275
500 Macromedia, Inc.* 4,156
200 Manugistics Group, Inc. 8,925
300 Mercury Interactive Corp.* 8,025
200 Midway Games, Inc.* 3,638
150 National Instruments Corp.* 4,350
400 Network Appliance, Inc.* 14,200
400 Open Market, Inc.* 3,850
300 Phoenix Technologies Ltd.* 3,637
200 Policy Management Systems Corp.* 13,913
200 Project Software & Development, Inc. 4,700
1,000 Rational Software Corp.* 11,374
300 Remedy Corp.* 6,300
500 Santa Cruz Operation, Inc.* 2,063
100 SEI Investments Co. 4,200
400 Shiva Corp.* 3,425
300 Siebel Systems, Inc.* 12,544
200 Splash Technologies Holdings 4,500
200 SPS Transaction Services, Inc. 8,725
100 SPSS, Inc.* 1,924
500 Structural Dynamics Research Corp.* 11,250
200 Sykes Enterprises, Inc.* 3,900
700 Symantec Corp.* 15,356
400 System Software Associates, Inc. 3,500
200 Systems & Computer Technology Corp.* 9,925
400 SystemSoft Corp.* 2,550
350 VERITAS Software Corp.* 17,850
200 VIASOFT, Inc.* 8,450
200 VideoServer, Inc.* 3,174
300 Visio Corp.* 11,512
200 Wind River Systems* 7,937
300 Wonderware Corp.* 4,237
350 Yahoo, Inc.* 24,238
------------
524,275
------------
Consumer Goods - 0.17%
200 Bush Industries, Inc., Class A 5,200
100 Fossil, Inc. 2,500
300 Galoob Toys, Inc.* 3,056
67 Herbalife International, Inc., Class A 1,400
132 Herbalife International, Inc., Class B 2,838
300 Renters Choice, Inc.* 6,150
------------
21,144
------------
See Notes to Financial Statements on Page 43
18
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
Consumer Services - 0.58%
200 Billing Information Concepts $ 9,600
300 CoreComm, Inc. 3,038
500 Crawford & Co. Class B 10,218
300 DeVry, Inc.* 9,562
200 G&K Services, Inc., Class A* 8,400
150 Pinkerton's, Inc.* 3,525
300 Pre Paid Legal Services, Inc.* 10,255
100 Rollins, Inc. 2,031
300 Sylvan Learning Systems, Inc.* 11,700
200 U.S. Rentals, Inc.* 4,700
------------
73,029
------------
Containers - 0.83%
200 ACX Technologies, Inc.* 4,888
200 Aptargroup, Inc. 11,100
500 Ball Corp. 17,656
300 Chesapeake Corp. 10,294
600 First Brands Corp. 16,163
600 Gaylord Container Corp., Class A* 3,450
300 Grief Bros Corp., Class A 10,050
100 Liqui-Box Corp. 4,025
800 Longview Fibre Co. 12,150
300 Shorewood Packaging Corp. 8,025
200 Silgan Holdings, Inc.* 6,500
------------
104,301
------------
Cosmetics and Toiletries - 0.11%
300 Natures Sunshine Products, Inc. 7,800
600 Playtex Products, Inc.* 6,150
------------
13,950
------------
Diversified - 0.29%
300 Hexcel Corp. 7,481
500 Imation Corp.* 8,000
400 Justin Industries, Inc. 5,450
100 NACCO Industries, Inc., Class A 10,719
100 Volt Information Sciences, Inc. 5,388
------------
37,038
------------
Drugs - 0.48%
400 Cephalon, Inc.* 4,550
400 COR Therapeutics, Inc.* 9,000
400 Gilead Sciences, Inc.* 15,300
500 Isis Pharmaceuticals, Inc. 6,156
300 Jones Medical Industries, Inc. 11,475
200 Medicis Pharmaceutical Corp.,
Class A* 10,225
600 SEQUUS Pharmaceuticals, Inc.* 4,463
------------
61,169
------------
Drugs / Retail - 0.20%
100 Express Scripts Inc., Class A 6,000
500 Rexall Sundown, Inc.* 15,094
600 Zila, Inc.* 3,563
------------
24,657
------------
Shares Description Value
------ ----------- -----
Electrical Equipment - 1.46%
200 Adtron, Inc.* $ 5,500
600 AMETEK, Inc. 16,200
533 Baldor Electric Co. 11,567
300 Belden, Inc. 10,575
400 Berg Electronics Corp.* 9,100
200 Calpine Corp.* 2,975
700 Cirrus Logic, Inc.* 7,438
100 Encore Wire Corp.* 3,069
300 ESS Technology, Inc. 2,278
100 Fluke Corp. 2,606
500 KEMET Corp.* 9,687
300 Littlefuse, Inc. 7,462
400 MagneTek, Inc.* 7,800
200 Marquette Medical Systems, Class A* 5,325
500 Methode Electronics, Inc., Class A 8,124
300 MRV Communications, Inc.* 7,163
500 Ramtron International Corp. 2,781
300 Sanmina Corp.* 20,325
400 Silicon Valley Group, Inc.* 9,050
300 SMART Modular Technologies, Inc.* 6,900
300 Tracor, Inc. * 9,113
200 TriQuint Semiconductor* 4,050
400 Vicor Corp.* 10,850
200 Woodhead Industries, Inc. 3,750
------------
183,688
------------
Electronics - 3.14%
300 Actel Corp.* 3,788
200 Altron, Inc.* 2,650
300 American Residential Services, Inc.* 4,688
700 Ampex Corp., Class A* 1,750
300 Amphenol Corp., Class A* 16,706
200 ANADIGICS, Inc.* 6,025
300 BMC Industries, Inc. 4,838
300 Burr-Brown Corp.* 9,638
300 Cable Design Technologies* 11,663
500 C-Cube Microsytems, Inc. 8,156
500 Checkpoint Systems, Inc. 8,750
100 Cohu, Inc. 3,063
333 Computer Products, Inc.* 7,534
900 CopyTele, Inc.* 3,150
300 Credence Systems Corp.* 8,887
200 CTS Corp. 6,388
100 Cubic Corp. 3,274
400 DII Group, Inc.* 10,900
200 Dionex Corp.* 10,050
200 Dynatech Corp.* 9,374
300 Electroglas, Inc.* 4,630
100 Eltron International, Inc.* 3,024
300 Etec Systems, Inc.* 13,950
200 FSI International, Inc. 2,350
300 GenRad, Inc. 9,056
600 Gentex Corp.* 16,124
100 Hadco Corp.* 4,524
See Notes to Financial Statements on Page 43
19
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
200 Integrated Circuit Systems, Inc. $ 5,700
1,000 Integrated Device Technology, Inc.* 9,437
200 Integrated Process Equipment Corp.* 3,150
600 International Rectifier Corp. 7,088
300 Kent Electronics Corp.* 7,538
200 Kuhlman Corp. 7,825
200 Lo-Jack Corp.* 2,950
300 Marshall Industries 9,000
100 MTS Systems Corp. 3,750
200 Nichols Research Corp. 5,000
300 Nimbus CD International, Inc.* 3,225
300 Oak Industries, Inc. 8,906
200 Park Electrochemical Corp. 5,675
200 Photronics, Inc.* 4,850
500 Pioneer Standard Electronics, Inc. 7,625
200 Plexus Corp. 2,975
200 Rambus, Inc. 9,150
500 Read-Rite Corp.* 7,875
300 Robotic Vision Systems, Inc.* 3,450
1,000 S3, Inc.* 5,000
200 SDL, Inc.* 2,900
100 Service Experts, Inc.* 2,863
200 Sheldahl, Inc. 2,800
100 Siliconix, Inc. 4,300
200 Stanford Telecommunications, Inc.* 3,388
200 Technitrol, Inc. 6,000
100 Tech-Sym Corp. 2,544
300 Thermedics, Inc.* 4,913
400 Trimble Navigation Ltd.* 8,725
100 Triumph Group, Inc.* 3,325
300 Ultratech Stepper, Inc.* 5,963
400 Uniphase Corp.* 16,550
200 Unitrode Corp. 4,300
100 Veeco Instruments, Inc. 2,200
100 Watkins-Johnson Co. 2,594
300 Zilog, Inc.* 5,719
100 Zygo Corp.* 1,875
------------
396,058
------------
Engineering - 0.05%
300 Granite Construction, Inc. 6,900
------------
Entertainment - 0.19%
400 Florida Panthers Holdings, Inc. 6,900
100 GC Companies* 4,738
600 Grand Casinos, Inc.* 8,175
600 Malibu Enterainment Worldwide* 1,913
100 Rio Hotel & Casino, Inc.* 2,100
100 Trump Hotels & Casino Resorts, Inc.* 669
------------
24,495
------------
Environmental Control - 1.06%
1,300 Allied Waste Industries, Inc.* 30,305
700 Calgon Carbon Corp. 7,656
Shares Description Value
------ ----------- -----
300 Culligan Water Technologies, Inc.* $ 15,150
400 Dames & Moore, Inc. 5,300
300 Donaldson Co., Inc. 13,519
200 IMCO Reclycling, Inc. 3,213
200 Ionics, Inc.* 7,825
900 Safety-Kleen Corp. 24,694
400 Superior Services, Inc.* 11,550
200 Watsco, Inc., Class A 4,938
300 Zurn Industries, Inc. 9,431
------------
133,581
------------
Financial Services - 8.29%
400 Aames Financial Corp. 5,175
200 ALBANK Financial Corp. 10,287
250 AMCORE Financial, Inc. 6,281
500 AmeriCredit Corp.* 13,843
500 AMRESCO, Inc.* 15,125
100 Anchor Bancorp Wisconsin, Inc. 3,637
600 Arcadia Financial Ltd.* 4,462
629 Associated Banc-Corp. 34,673
215 Astoria Financial Corp. 11,986
200 BancorpSouth, Inc. 9,450
200 Bank of Granite Corp. 6,150
300 BankAtlantic Bancorp, Inc., Class B 5,025
200 Banknorth Group, Inc. 12,850
300 Bay View Capital Corp. 10,874
103 BOK Financial Corp. 3,997
200 BT Financial Corp. 10,200
100 Capital Factors Holdings, Inc. 1,900
105 Chemical Financial Corp. 4,699
300 CitFed Bancorp, Inc. 11,700
150 Citizens Banking Corp. 5,174
300 Cityscape Financial Corp.* 150
200 CNB Bancshares, Inc. 9,636
200 Coast Savings Financial, Inc.* 13,713
300 Colonial BancGroup, Inc. 10,331
200 Commerce Bancorp, Inc. 10,200
400 Commercial Federal Corp. 14,225
200 Community First Bankshares, Inc. 10,650
500 Credit Acceptance Corp.* 3,875
300 Cullen/Frost Bankers, Inc. 18,206
300 Cuno, Inc. 4,575
100 Delta Financial Corp.* 1,338
300 Doral Financial Corp. 7,613
200 Downey Financial Corp. 5,688
300 Eaton Vance Corp. 11,325
100 Everen Capital Corp. 4,750
400 F & M National Corp. 13,725
110 Fidelity National Financial, Inc. 3,424
200 Financial Federal Corp.* 4,725
100 First Citizens BancShares, Inc., Class A 10,403
400 First Colorado Bancorp, Inc. 9,500
100 First Financial Corp., Indiana 6,050
300 First Midwest Bancorp, Inc. 13,125
See Notes to Financial Statements on Page 43
20
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
200 First United Bancshares, Inc. $ 8,400
100 Firstbank of Illinois Co. 3,681
100 FirstBank Puerto Rico 3,406
100 FirstFed Financial Corp. 4,400
300 FIRSTPLUS Financial Group, Inc. 11,512
300 Fort Wayne National Corp. 13,800
300 F.N.B. Corp. 11,288
300 Great Financial Corp. 15,300
200 Hambrecht & Quist Group, Inc.* 7,350
100 Hancock Holding Co. 6,050
400 HFNC Financial Corp. 5,800
206 HUBCO, Inc. 8,060
300 IBS Financial Corp. 5,306
200 IMC Mortgage Co.* 2,375
300 Imperial Bancorp 14,794
400 Imperial Credit Industries, Inc. 8,200
200 Interra Financial, Inc. 13,800
100 Investment Technology Group, Inc.* 2,800
100 Investors Financial Services Corp. 4,600
100 Irwin Financial Corp. 4,188
200 Jefferies Group, Inc. 8,188
100 John Nuveen Co., Class A 3,500
800 Keystone Financial, Inc. 32,200
233 Legg Mason, Inc. 13,033
400 Long Beach Financial* 4,650
400 Long Island Bancorp, Inc. 19,850
300 MAF Bancorp, Inc. 10,612
500 Magna Group, Inc. 22,875
200 McDonald & Company Investments 5,675
450 Morgan Keegan, Inc. 11,391
300 Morrison Knudsen Corp. 2,925
210 National City Bancshares, Inc. 9,396
200 National Penn Bancshares, Inc. 6,600
300 New York Bancorp, Inc. 11,905
300 Ocwen Asset Investment Corp. 6,150
300 Ocwen Financial Corp.* 7,631
200 ONBANCorp, Inc. 14,100
475 One Valley Bancorp, Inc. 18,405
800 Phoenix Duff & Phelps Corp. 6,400
300 Pioneer Group, Inc. 8,436
200 Piper Jaffray Companies, Inc. 7,288
200 Provident Bankshares, Corp. 12,775
300 Queens County Bancorp, Inc. 12,150
300 Quick & Reilly Group, Inc. 12,900
300 Raymond James Financial, Inc. 11,906
440 Republic Bancorp, Inc. 9,405
315 Resource Bancshares Mortgage
Group, Inc. 5,138
500 Roslyn Bancorp., Inc. 11,625
7 Security Capital Industries 37
200 Silicon Valley Bancshares* 11,250
200 Southern Pacific Funding Corp.* 2,624
1,400 Sovereign Bancorp, Inc. 29,050
600 St. Paul Bancorp, Inc. 15,750
Shares Description Value
------ ----------- -----
100 TR Financial Corp. $ 3,324
200 Trans Financial, Inc. 7,774
200 Triad Guaranty, Inc.* 5,800
215 Trustco Bank Corp. 5,858
400 Trustmark Corp. 18,500
315 UMB Financial Corp. 17,166
300 United Bankshares, Inc. 14,324
300 United Companies Financial Corp. 4,650
200 UST Corp. 5,550
300 U.S. Trust Corp. 18,787
100 Vermont Financial Services Corp. 2,775
300 WesBanco, Inc. 9,000
200 Westamerica Bancorporation 20,450
300 Whitney Holding Corp. 17,100
------------
1,046,703
------------
Food Services / Lodging - 0.67%
500 Bristol Hotel Co.* 14,531
700 Franchise Finance Corp. of America 18,900
500 Luby's Cafeterias, Inc. 8,781
150 Marcus Corp. 2,766
300 Morrison Health Care, Inc. 6,000
100 Ruby Tuesday, Inc. 2,575
400 Ryan's Family Steak Houses, Inc.* 3,425
200 Sanderson Farms, Inc. 2,900
100 Sbarro, Inc. 2,631
400 Shoney's, Inc. 1,275
200 Showbiz Pizza Time, Inc.* 4,600
500 Smithfield Foods, Inc.* 16,500
------------
84,884
------------
Foods - 1.15%
200 CellStar Corp. 3,975
400 Dreyer's Grand Ice Cream, Inc. 9,650
300 Earthgrains Co. 14,100
400 Hudson Foods, Inc., Class A 8,225
445 Imperial Holly Corp. 4,839
200 International Multifoods Corp. 5,663
100 Lance, Inc. 2,631
200 Michael Foods, Inc. 4,875
200 Performance Food Group, Inc. 4,750
200 Pilgrims Pride Corp. 3,113
600 Ralcorp Holdings, Inc. 10,163
700 Richfood Holdings, Inc. 19,775
200 Riviana Foods, Inc. 4,175
400 Smucker (J.M.) Co., Class A 9,450
270 Suiza Foods Corp.* 16,082
100 United Natural Foods, Inc.* 2,600
500 Universal Foods Corp. 21,125
------------
145,191
------------
Forest Products and Paper - 0.12%
200 Buckeye Technologies, Inc.* 9,250
200 Deltic Timber Corp. 5,475
------------
14,725
------------
See Notes to Financial Statements on Page 43
21
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
Gaming - 0.13%
800 Aztar Corp.* $ 5,000
200 Dover Downs Entertainment 4,588
200 Sodak Gaming, Inc.* 1,275
500 Station Casinos, Inc.* 5,094
------------
15,957
------------
Health Care - 1.27%
600 Apria Healthcare Group, Inc.* 8,062
100 CareMatrix Corp.* 2,875
500 Concentra Managed Care, Inc.* 16,874
300 FPA Medical Management, Inc.* 5,588
200 Henry Schein, Inc. 7,000
100 IDX Systems Corp.* 3,700
300 Inhale Therapeutic Systems 7,800
400 Mariner Health Group, Inc.* 6,500
400 MEDIQ, Inc. 4,450
150 MedQuist, Inc. 5,213
500 Mid Atlantic Medical Services, Inc.* 6,375
300 NCS Healthcare Inc. Class A* 7,913
500 Paracelsus Heatlhcare Corp.* 1,688
1,023 Paragon Health Network, Inc.* 20,019
200 Pediatrix Medical Group, Inc.* 8,550
300 Renal Care Group, Inc.* 9,600
300 Renal Treatment Centers, Inc.* 10,838
300 Right CHOICE Managed Care, Inc.* 2,888
500 Sun Healthcare Group, Inc. 9,688
100 Sunquest Information Systems 975
500 Trigon Healthcare, Inc.* 13,063
------------
159,659
------------
Health Care-Diversified - 0.15%
400 American Oncology Resources, Inc.* 6,400
300 Cerner Corp.* 6,338
200 HCIA, Inc.* 2,375
200 HealthPlan Services Corp. 4,200
------------
19,313
------------
Holding Company - 0.15%
300 Triarc Cos., Inc. 8,175
500 Walter Industries, Inc.* 10,313
------------
18,488
------------
Hospital Supplies and Health Care - 0.22%
400 Haemonetics Corp.* 5,600
300 Healthdyne Technologies, Inc. 6,113
100 Rural / Metro Corp.* 3,338
100 Sunrise Assisted Living, Inc. 4,313
300 Thermo Cardiosystems, Inc.* 8,025
------------
27,389
------------
Hotel / Motel - 0.55%
300 American General Hospitality Corp. 8,025
800 Boyd Gaming Corp.* 5,300
Shares Description Value
------ ----------- -----
200 CapStar Hotel Co.* $ 6,863
600 Choice Hotels Corp., Inc. 9,600
200 Homestead Village, Inc.* 3,013
300 Interstate Hotels Co.* 10,519
600 Prime Hospitality Corp.* 12,225
600 Red Roof Inns, Inc.* 9,188
100 Wyndham Hotel Corp.* 4,038
------------
68,771
------------
Household Furnishings - 0.79%
200 Action Performance Cos., Inc.* 7,575
200 Bassett Furniture Industries, Inc. 6,000
200 CORT Business Services Corp.* 7,963
300 Department 56, Inc.* 8,625
700 Fedders Corp. 4,375
700 Furniture Brands International, Inc. 14,350
800 Heilig-Meyers Co. 9,600
400 Juno Lighting, Inc. 7,000
600 Kimball International Inc., Class B 11,063
300 La-Z-Boy Chair, Inc. 12,938
200 National Presto Industries, Inc. 7,913
500 Zenith Electronics Corp. 2,719
------------
100,121
------------
Household Products - 0.22%
200 Libbey, Inc. 7,575
300 Toro Co. 12,788
300 Windmere-Durable Holdings, Inc. 6,769
------------
27,132
------------
Housing Revenue - 0.10%
600 Champion Enterprises, Inc.* 12,338
------------
Human Resources - 0.18%
300 Alternative Resources Corp.* 6,919
300 Kelly Services, Inc., Class A 9,000
200 Personnel Group of America, Inc.* 6,600
------------
22,519
------------
INSURANCE - 4.17%
300 Acceptance Insurance Cos., Inc.* 7,256
400 Alfa Corp. 6,900
300 Allied Group, Inc. 8,588
300 Amerin Corp.* 8,400
67 AmerUs Life Holdings, Inc., Class A 2,479
300 Argonaut Group, Inc. 10,162
300 Baldwin & Lyons, Inc., Class B 7,238
300 Berkley (W.R.) Corp. 13,162
100 Capital Re Corp. 6,206
200 Capitol Transamerica Corp. 4,263
100 CapMac Holdings, Inc. 3,475
300 CMAC Investment Corp. 18,113
300 CNA Surety Corp.* 3,656
200 Commerce Group Inc. 6,525
See Notes to Financial Statements on Page 43
22
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
200 CompDent Corp.* $ 4,056
400 Coventry Corp.* 6,100
300 Delphi Financial Group, Inc., Class A 13,500
100 Enhance Financial Services Group, Inc. 5,950
200 Executive Risk, Inc. 13,963
200 E.W. Blanch Holdings, Inc. 6,888
300 FBL Financial Group, Inc., Class A 12,038
400 Financial Security Assurance
Holdings, Ltd. 19,300
200 First American Financial Corp. 14,775
200 Foremost Corp. of America 13,950
400 Fremont General Corp. 21,900
300 Frontier Insurance Group, Inc. 6,863
300 Gallagher (Arthur J.) & Co. 10,331
200 Guarantee Life Companies, Inc. 5,700
300 Hartford Life, Inc., Class A 13,594
500 HCC Insurance Holdings, Inc. 10,624
300 Highlands Insurance Group, Inc.* 8,513
300 HSB Group, Inc. 16,555
400 John Alden Financial Corp. 9,600
100 JSB Financial, Inc. 5,005
300 Liberty Corp. 14,024
200 Life Re Corp. 13,038
400 Life USA Holding, Inc. 6,750
100 Markel Corp.* 15,612
400 Medical Assurance, Inc.* 11,250
200 MMI Companies, Inc. 5,025
200 NAC Re Corp. 9,763
400 Orion Capital Corp. 18,575
300 Penncorp Financial Group, Inc. 10,706
100 Poe & Brown, Inc. 4,636
400 Presidential Life Corp. 8,100
200 PXRE Corp. 6,638
500 Reinsurance Group of America 21,281
400 Risk Capital Holdings, Inc.* 8,900
100 RLI Corp. 4,981
100 SCPIE Holdings, Inc. 2,894
300 Selective Insurance Group, Inc. 8,100
100 State Auto Financial Corp. 3,224
100 Trenwick Group, Inc. 3,763
100 United Fire & Casualty Co. 4,424
200 Vesta Insurance Group, Inc. 11,875
300 Zenith National Insurance Corp. 7,724
------------
526,911
------------
Leisure Related - 0.65%
200 AMC Entertainment, Inc.* 4,450
100 Anchor Gaming* 5,575
200 Carmike Cinemas Inc., Class A* 5,738
100 Coachmen Industries, Inc. 2,156
700 Handleman Co. 4,856
100 Huffy Corp. 1,350
600 Jostens, Inc. 13,838
300 K2, Inc. 6,825
200 Premier Parks, Inc.* 8,100
Shares Description Value
------ ----------- -----
250 Signature Resorts, Inc.* $ 5,469
300 Toy Biz, Inc.* 2,325
400 Vail Resorts, Inc.* 10,375
100 Vistana, Inc. 2,300
200 West Marine, Inc.* 4,475
400 Winnebago Industries 3,550
------------
81,382
------------
Machinery - 2.05%
200 Ag-Chem Equipment Co, Inc. 2,775
200 Alamo Group, Inc. 4,338
300 Albany International Corp., Class A 6,900
300 Applied Industrial Technology, Inc. 8,025
200 Applied Power, Inc., Class A 13,800
300 Aviall, Inc. * 4,481
400 Blount International, Inc., Class A 10,674
300 Cascade Corp. 5,100
200 Chart Industries, Inc. 4,563
500 Cincinnati Milacron, Inc. 12,969
300 Commercial Intertech Corp. 6,225
700 Flowserve Corp. 19,556
150 Gardner Denver Machinery, Inc.* 3,797
200 Gleason Corp. 5,388
200 Global Industrial Technologies, Inc.* 3,388
200 Helix Technology Corp. 3,900
100 Hirsch International Corp., Class A 2,200
300 IDEX Corp. 10,463
200 Indus International, Inc. 1,450
300 Jacobs Engineering Group. Inc. 7,613
700 JLG Industries, Inc. 9,888
300 Kulicke & Soffa Industries, Inc. 5,588
300 Lincoln Electric Co. 10,800
100 Lindsay Manufacturing Co. 4,338
200 Manitowoc Co., Inc. 6,500
100 Maverick Tube Corp. 2,531
300 Nordson Corp. 13,763
300 OmniQuip International, Inc. 5,981
300 Osmonics, Inc.* 4,744
200 Regal-Beloit Corp. 5,913
200 Robbins & Myers, Inc. 7,925
400 Roper Industries, Inc. 11,300
200 Tennant Co. 7,275
200 TurboChef, Inc. 1,450
400 Watts Industries Inc., Class A 11,325
300 Zebra Technologies Corp., Class A* 8,925
100 Zoltek Cos., Inc.* 2,788
------------
258,639
------------
Manufacturing - 2.17%
200 Advanced Lighting Technologies, Inc. 3,800
200 Aftermarket Technology Corp.* 3,625
200 Alltrista Corp.* 5,675
300 American Homestar Corp.* 4,950
200 Asyst Technologies, Inc.* 4,350
200 Bacou USA* 3,500
See Notes to Financial Statements on Page 43
23
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
300 Brady (W.H.) Co. $ 9,300
200 Carbide Graphite* 6,750
100 Carbo Ceramics, Inc. 3,200
300 Clarcor, Inc. 8,888
400 Cross (A.T.) Co., Class A 4,050
300 Daniel Industries 5,775
200 Essex International, Inc.* 5,950
300 Fisher Scientific International 14,325
400 Fleetwood Enterprises 16,975
200 Furon Co. 4,175
400 GenCorp., Inc. 10,000
200 Graco, Inc. 7,463
600 Griffon Corp.* 8,775
200 Harman International Industries, Inc. 8,488
200 Holophane Corp.* 4,950
300 Lydall, Inc.* 5,850
200 Matthews International Corp., Class A 8,800
300 MotivePower Industries, Inc. 6,975
200 Nortek, Inc. 5,313
550 Paxar Corp.* 8,147
100 Penske Motorsports 2,488
200 Plantronics, Inc.* 8,000
500 Polymer Group, Inc.* 4,750
100 Rental Service Corp.* 2,456
300 Republic Group, Inc. 4,913
200 RMI Titanium Co.* 4,000
500 Royal Appliance Manufacturing Co.* 3,313
200 Samsonite Corp. 6,325
100 Sequa Corp., Class A* 6,506
100 Standex International Corp. 3,525
100 Superior Telecommunications, Inc.* 3,456
200 Supertex, Inc.* 2,175
200 Synthetic Industries, Inc.* 4,950
200 ThermoLase Corp.* 2,100
200 Thor Industries, Inc. 6,863
100 Tredegar Industries, Inc. 6,587
200 Twinlab Corp.* 4,950
300 Waters Corp.* 11,288
200 Westinghouse Air Brake Co. 5,125
------------
273,819
------------
Marketing - 0.21%
700 ACNielson Corp.* 17,063
200 CKS Group, Inc.* 2,824
700 SITEL Corp.* 6,388
------------
26,275
------------
Medical Biotechnology - 1.38%
600 Advanced Tissue Sciences, Inc.* 7,425
400 Affymetrix, Inc.* 12,450
500 Agouron Pharmaceuticals, Inc.* 14,688
200 Alkermes, Inc.* 3,975
400 Alliance Pharmaceutical Corp.* 2,900
100 Biomatrix, Inc.* 3,000
200 Bio-Rad Laboratories, Inc., Class A* 5,225
Shares Description Value
------ ----------- -----
500 Bio-Technology General Corp.* $ 5,375
400 CardioThoraic Systems, Inc.* 2,200
500 Creative BioMolecules Inc.* 3,688
900 Cytogen Corp.* 1,463
200 Cytyc Corp.* 4,975
1,300 Gensia Sicor, Inc.* 7,556
200 Heartport, Inc.* 4,075
300 Human Genome Sciences, Inc.* 11,925
200 Hvide Marine, Inc., Class A* 5,150
400 IDEXX Laboratories, Inc.* 6,375
200 I-STAT Corp. 3,163
200 Martek Biosciences Corp.* 1,650
300 Medimmune, Inc.* 12,863
500 Millennium Pharmaceuticals, Inc.* 9,500
200 Myriad Genetics, Inc.* 4,850
300 NeoPath, Inc.* 3,900
300 Neurex Corp.* 4,163
375 Organogenesis, Inc.* 9,891
300 Regeneron Pharmaceuticals, Inc.* 2,569
200 SangStat Medical Corp.* 8,100
300 Transkaryotic Therapies, Inc.* 10,538
------------
173,632
------------
Medical - Hospital Management Services - 1.27%
200 Atria Communities, Inc.* 3,425
100 Closure Medical Corp. 2,588
500 Health Care Property Investors, Inc. 18,906
1,400 Imatron, Inc.* 3,238
532 Integrated Health Services, Inc. 16,592
1 LCA-Vision, Inc.* 1
400 Magellan Health Services, Inc.* 8,600
400 Maxicare Health Plans, Inc.* 4,350
1,200 Medaphis Corp.* 7,800
200 Medical Manager Corp.* 3,600
300 Medical Resources, Inc. 2,813
300 National Surgery Centers, Inc.* 7,875
700 NovaCare, Inc.* 9,144
400 Orthodontic Centers of America, Inc.* 6,650
200 PHP Healthcare Corp.* 3,013
400 Physician Reliance Network* 4,175
500 Physician Sales & Services, Inc.* 10,750
300 Prime Medical Services, Inc.* 4,144
500 Quest Dianostic, Inc.* 8,438
300 Sierra Health Services, Inc.* 10,088
600 Total Renal Care Holdings* 16,500
300 Vitalink Pharmacy Services, Inc.* 7,238
------------
159,928
------------
Medical Supplies - 1.89%
300 Acuson Corp.* 4,969
300 ADAC Laboratories* 5,925
200 Arrow International, Inc. 7,400
400 Arterial Vascular Engineering* 26,000
200 ATL Ultrasound, Inc.* 9,200
400 Ballard Medical Products 9,700
See Notes to Financial Statements on Page 43
24
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
400 CNS, Inc.* $ 2,675
200 Coherent, Inc.* 7,024
300 CONMED Corp.* 7,875
200 Cooper Companies, Inc.* 8,175
100 Datascope Corp.* 2,588
400 Enzo Biochem, Inc.* 5,850
300 Graham Field Health Corp.* 5,006
200 Gulf South Medical Supply, Inc.* 7,450
200 Hologic, Inc.* 4,138
400 Invacare Corp. 8,700
200 LabOne, Inc. 3,513
200 Life Technologies, Inc. 6,650
200 Lunar Corp.* 4,100
300 Mentor Corp. 10,950
800 Neuromedical Systems, Inc.* 2,250
200 Patterson Dental Co.* 9,050
300 Physio-Control International Corp.* 4,762
300 Respironics, Inc.* 6,712
200 Safeskin Corp.* 11,350
200 Serologicals Corp.* 5,200
200 SpaceLabs Medical, Inc.* 3,800
100 Spine-Tech, Inc.* 5,144
200 STAAR Surgical Co.* 3,438
500 Summit Technology, Inc.* 2,266
400 Sunrise Medical, Inc.* 6,175
400 Techne Corp.* 7,000
200 Theragenics Corp.* 7,200
200 ThermoTrex Corp.* 4,425
200 Trex Medical Co.* 2,788
600 Vivus, Inc.* 6,375
100 West Co., Inc. 2,975
------------
238,798
------------
Metals - 0.90%
200 Amcast Industrial Corp. 4,588
200 Barnes Group, Inc. 4,550
300 Brush Wellman, Inc. 7,350
400 Commonwealth Industries, Inc. 5,800
300 Handy & Harman 10,350
200 Mueller Industries, Inc.* 11,800
800 Ogden Corp. 22,550
300 Quanex Corp. 8,438
200 Special Metals 3,600
300 Titanium Metals Corp.* 8,663
400 Valmont Industries, Inc. 7,800
200 Wolverine Tube, Inc.* 6,200
300 Wyman-Gordon Co.* 5,888
200 Zero Corp. 5,925
------------
113,502
------------
Metals and Mining - 0.63%
900 Amax Gold, Inc.* 2,081
250 AMCOL International Corp. 3,969
400 Century Aluminum Company 5,400
Shares Description Value
------ ----------- -----
200 Cleveland-Cliffs, Inc. $ 9,163
80 Freeport McMoran, Inc. 940
400 Getchell Gold Corp.* 9,600
400 Kaiser Aluminum Corp.* 3,525
100 MAXXAM, Inc.* 4,363
400 Minerals Technologies, Inc. 18,174
300 Oregon Metallurgical Corp.* 10,013
300 Stillwater Mining Co.* 5,025
200 Trimas Corp. 6,875
------------
79,128
------------
Miscellaneous - 1.12%
100 ADE Corp.* 1,750
480 Allied Capital Corp. 10,680
100 Andrx Corp. 3,425
300 Central Garden & Pet Co.* 7,875
300 Cygnus, Inc.* 5,962
400 Cymer, Inc.* 6,000
400 D.R. Horton, Inc. 6,950
400 Fonix Corp.* 1,250
600 Global Industries Ltd.* 10,200
300 HS Resources, Inc.* 4,144
400 IMC Global, Inc. 1,550
800 Marine Drilling Co., Inc.* 16,600
700 Meridian Resource Corp.* 6,694
200 Micrel, Inc.* 5,600
300 Norrel Corp. 5,962
500 Pride International, Inc.* 12,625
200 Rofin-Sinar Technologies, Inc.* 2,425
100 SIPEX Corp.* 3,025
300 Sola International, Inc.* 9,750
300 Sunburst Hospitality Corp.* 2,964
300 Titan Exploration, Inc.* 2,850
300 Trico Marine Services, Inc.* 8,813
100 Valence Technology, Inc.* 506
100 Woodward Governor Co. 3,238
------------
140,838
------------
Natural Gas - 0.04%
210 Southern Union Co.* 5,014
------------
Office Equipment and Computers - 0.50%
300 American Business Products, Inc. 6,488
100 Encad, Inc.* 2,750
300 Hunt Corp. 7,106
700 Intergraph Corp.* 7,000
200 Knoll, Inc.* 6,425
200 New England Business Service, Inc. 6,750
200 Scotsman Industries, Inc. 4,888
300 Standard Register Co. 10,425
100 Thomas Industries, Inc. 1,975
200 United Stationers, Inc.* 9,625
------------
63,432
------------
See Notes to Financial Statements on Page 43
25
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
Office Equipment-Service - 0.04%
500 American Pad & Paper Co.* $ 4,813
------------
Oil Related - 2.61%
400 Arch Coal, Inc. 10,950
100 Atwood Oceanics, Inc.* 4,738
400 Barrett Resources Corp.* 12,100
500 Benton Oil & Gas Co.* 6,469
100 Berry Petroleum Co., Class A 1,744
300 Brown (Tom), Inc.* 5,775
400 Cabot Oil & Gas Corp., Class A 7,774
800 Chesapeake Energy Corp. 6,050
400 Comstock Resources, Inc.* 4,775
400 Cross Timbers Oil Co. 9,975
300 Devon Energy Corp. 11,550
100 Forcenergy, Inc.* 2,619
500 Forest Oil Corp.* 8,250
200 Getty Realty Corp. 4,425
1,000 Grey Wolf, Inc.* 5,375
1,300 Harken Energy Corp.* 9,100
300 KCS Energy, Inc. 6,225
1,600 Kelley Oil & Gas Corp.* 3,500
200 Key Energy Group, Inc.* 4,338
200 Lone Star Technologies, Inc.* 5,675
200 Louis Dreyfus Natural Gas Corp.* 3,738
500 National Oilwell, Inc.* 17,094
600 Newfield Exploration Co.* 13,988
800 Newpark Resources, Inc.* 14,000
200 Nuevo Energy Co.* 8,150
500 Oceaneering International, Inc.* 9,875
800 Parker Drilling Co.* 9,750
200 Pool Energy Services Co.* 4,450
600 Quaker State Corp. 8,550
200 Rutherford-Moran Oil Group* 3,575
200 SEACOR Smit, Inc.* 12,050
300 Snyder Oil Corp. 5,475
100 Stone Energy Corp.* 3,350
200 St. Mary Land & Exploration Co. 7,000
220 Swift Energy Co.* 4,634
200 Tejas Gas Corp. * 12,250
500 Tesoro Petroleum Corp.* 7,750
300 TransMontaigne Oil Co.* 4,500
500 Tuboscope Vetco International Corp.* 12,031
600 Varco International, Inc.* 12,863
500 Vintage Petroleum, Inc. 9,500
400 Western Gas Resources, Inc. 8,850
300 Zeigler Coal Holding Co. 4,894
------------
329,724
------------
OIL SUPPLIES AND CONSTRUCTION - 0.42%
200 Belco Oil & Gas* 3,763
200 Cliffs Drilling Co.* 9,975
600 Input/Output, Inc.* 17,812
300 Lomak Petroleum, Inc. 4,875
200 Ocean Energy, Inc.* 9,863
Shares Description Value
------ ----------- -----
200 Seitel, Inc.* $ 3,425
400 Unit Corp.* 3,850
------------
53,563
------------
Paper - 0.46%
400 Caraustar Industries, Inc. 13,700
400 Glatfelter (P.H.) Co. 7,450
200 Media General Inc., Class A 8,363
300 Paragon Trade Brands, Inc.* 3,863
300 Pope & Talbot, Inc. 4,519
400 Rock-Tenn Co., Class A 8,200
580 Wausau-Mosinee Paper Co. 11,709
------------
57,804
------------
Pharmaceuticals - 1.48%
200 Applied Analytical Industries, Inc.* 3,300
200 ArQule, Inc.* 4,588
300 Arris Pharmaceutical Corp.* 2,513
100 Bindley Western Industries, Inc. 3,088
103 Block Drug Co., Inc., Class A 4,455
200 Carter-Wallace, Inc. 3,375
400 Columbia Laboratories, Inc.* 6,350
800 Covance, Inc.* 15,900
200 Curative Health Services, Inc.* 6,074
200 Geltex Pharmaceuticals, Inc.* 5,300
200 Guilford Pharmaceuticals, Inc.* 4,024
500 ICN Pharmaceuticals, Inc. 24,405
600 ICOS Corp.* 10,988
300 IDEC Pharmaceuticals Corp.* 10,313
300 Interneuron Pharmaceuticals, Inc.* 2,850
300 Ligand Pharmaceuticals, Inc., Class B 3,863
100 Miravant Medical Technologies* 4,000
200 NBTY, Inc.* 6,675
200 Owens & Minor, Inc. Holding Co. 2,900
300 PAREXEL International Corp.* 11,100
200 PathoGenesis Corp.* 7,425
1,000 Perrigo Co. 13,375
300 Pharmaceutical Product
Development, Inc.* 4,613
400 Sepracor, Inc.* 16,025
100 Sonus Pharmaceuticals, Inc. 3,312
200 Triangle Pharmaceuticals, Inc.* 2,925
400 U.S. Bioscience, Inc.* 3,625
------------
187,361
------------
Photography and Optical - 0.16%
200 CPI Corp. 4,525
300 Innovex, Inc. 6,881
400 Oakley, Inc.* 3,625
300 X-Rite, Inc. 5,475
------------
20,506
------------
Printing and Publishing - 1.02%
300 American Media, Inc., Class A* 2,325
500 Banta Corp. 13,500
See Notes to Financial Statements on Page 43
26
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
300 Big Flower Press Holdings, Inc.* $ 7,238
200 Bowne & Co., Inc. 7,975
100 Consolidated Graphics, Inc.* 4,663
400 Golden Books Family Entertainment,
Inc.* 4,125
300 Harland (John H.) Co. 6,281
300 Houghton Mifflin Co. 11,513
600 Journal Register Co.* 12,600
200 Mail Well, Inc.* 8,100
300 McClatchy Newspapers, Inc., Class A 8,156
100 Pulitzer Publishing Co. 6,281
200 Scholastic Corp.* 7,500
200 Steck-Vaughn Publishing Corp.* 2,950
300 Thomas Nelson, Inc. 3,469
200 Wiley (John) & Sons, Inc., Class A 10,850
400 World Color Press, Inc.* 10,625
------------
128,151
------------
Professional Services - 0.90%
400 ABR Information Services, Inc.* 9,550
400 Century Business Services, Inc. 6,900
200 Education Management Corp.* 6,200
600 EG&G, Inc. 12,487
100 Metzler Group, Inc.* 4,012
200 Nu Skin Asia Pacific, Inc., Class A* 3,650
300 On Assignment, Inc.* 7,950
500 Physicians Resources Group, Inc.* 2,188
500 PMT Services, Inc.* 6,937
200 Profit Recovery Group International* 3,550
100 Scientific Games Holdings Corp.* 2,025
300 Source Services Corp.* 6,488
100 Sturm Ruger & Co., Inc. 1,844
375 TETRA Technologies, Inc.* 7,500
200 UniFirst Corp. 5,613
300 Veritas DGC, Inc.* 11,850
100 Vincam Group, Inc.* 2,663
300 Wackenhut Corp., Class A 6,956
200 Wackenhut Corrections Corp.* 5,375
------------
113,738
------------
Real Estate - 7.92%
400 American Health Properties, Inc. 11,025
300 Apartment Investment &
Management Co., Class A 11,025
400 Arden Realty Group, Inc. 12,300
200 Associated Estates Realty Corp. 5,925
500 Avalon Properties, Inc. 15,468
100 Avatar Holdings, Inc.* 2,843
400 Bay Apartment Communities, Inc. 15,600
300 Bedford Property Investors 6,563
100 Bradley Real Estate, Inc. 2,086
300 BRE Properties, Inc., Class A 8,437
500 Burnham Pacific Properties, Inc. 7,655
600 Camden Property Trust 18,600
Shares Description Value
------ ----------- -----
600 Capstead Mortgage Corp. $ 11,962
400 Capstone Capital Corp. 10,250
100 Castle & Cooke, Inc. * 1,693
200 CB Commercial Real Estate Services* 6,437
400 CBL & Associates Properties, Inc. 9,874
400 CenterPoint Properties Corp. 14,050
200 Chateau Communities, Inc. 6,274
300 Chelsea GCA Realty, Inc. 11,456
400 Colonial Properties Trust 12,050
500 Commercial Net Lease Realty 8,937
600 Cornerstone Properties, Inc. 11,512
500 Cornerstone Realty Income Trust, Inc. 6,031
200 Cousins Properties, Inc. 5,862
300 CRIIMI MAE, Inc. 4,500
400 Developers Diversified Realty Corp. 15,300
400 Dynex Capital, Inc. 5,324
100 EastGroup Properties, Inc. 2,161
400 Equity Inns, Inc. 5,900
100 Essex Property Trust, Inc. 3,500
400 Excel Realty Trust, Inc. 12,600
300 Fairfield Communities, Inc.* 13,238
600 Federal Realty Investment Trust 15,450
300 Felcor Suite Hotels, Inc. 10,650
500 First Industrial Realty Trust, Inc. 18,061
200 First Union Real Estate 3,250
100 Forest City Enterprises, Inc., Class A 5,812
400 Gables Residential Trust 11,050
500 General Growth Properties 18,061
400 Glenborough Realty Trust, Inc. 11,850
500 Glimcher Realty Trust 11,281
200 Great Lakes REIT, Inc. 3,886
400 Grubb & Ellis Co.* 5,475
400 Health Care REIT, Inc. 11,250
300 Healthcare Realty Trust, Inc. 8,681
700 Highwoods Properties, Inc. 26,031
300 Home Properties of New York, Inc. 8,155
500 Horizon Group, Inc. 5,468
200 Hospitality Properties Trust 6,575
700 INMC Mortgage Holdings, Inc. 16,406
600 Innkeepers USA Trust 9,300
400 Insignia Financial Group, Inc., Class A* 9,200
700 IRT Property Co. 8,269
400 Irvine Apartment Communities, Inc. 12,724
300 JDN Realty Corp. 9,713
100 JP Realty, Inc. 2,594
300 Kilroy Realty Corp. 8,625
200 Koger Equity, Inc. 4,388
600 Liberty Property Trust 17,137
300 LNR Property Corp. 7,086
500 LTC Properties, Inc. 10,374
500 Macerich Co. 14,250
800 Mack-Cali Realty Corp. 32,800
400 Manufactured Home Communities, Inc. 10,800
600 Meridian Industrial Trust, Inc. 15,300
400 Merry Land & Investment Company, Inc. 9,150
See Notes to Financial Statements on Page 43
27
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
300 MGI Properties, Inc. $ 7,200
550 Mid-Am, Inc. 14,162
200 Mills Corp. 4,900
200 National Golf Properties, Inc. 6,561
300 National Health Investors, Inc. 12,561
800 Nationwide Health Properties, Inc. 20,400
300 Oasis Residential, Inc. 6,694
400 OMEGA Healthcare Investors, Inc. 15,450
300 Pacific Gulf Properties, Inc. 7,125
100 Penn Treaty Amer Corp. 3,175
484 Post Properties, Inc. 19,662
200 Prentiss Properties Trust 5,587
300 Price Enterprises, Inc. 5,475
200 Price REIT, Inc. 8,186
100 Prime Retail, Inc. 1,419
100 Pulte Corp. 4,181
400 Realty Income Corp. 10,175
500 Reckson Association Realty Corp. 12,687
100 Redwood Trust, Inc. 2,037
100 RFS Hotel Investors, Inc. 1,994
400 Saul Centers, Inc. 7,275
300 Security Capital Atlantic, Inc. 6,336
500 Shurgard Storage Centers, Inc., Class A 14,500
300 Smith (Charles E.) Residential Realty,
Inc. 10,650
200 Sovran Self Storage, Inc. 6,486
300 Storage Trust Realty 7,894
300 Storage USA, Inc. 11,981
400 Summit Properties, Inc. 8,450
100 Sun Communities, Inc. 3,594
300 Sunstone Hotel Investors, Inc. 5,174
600 Taubman Centers, Inc. 7,650
400 Thornburg Mortgage Asset Corp. 6,600
400 Town & Country Trust 7,074
200 TriNet Corporate Realty Trust 7,736
300 Urban Shopping Centers, Inc. 10,462
600 Washington Real Estate Investment Trust 10,050
300 Weeks Corp. 9,600
500 Western Investment Real Estate 6,875
500 Winston Hotels, Inc. 6,593
------------
1,000,151
------------
Retail - 3.99%
200 Abercrombie & Fitch Co., Class A* 6,250
300 Alberto-Culver Co., Class B 9,619
400 Ames Department Stores, Inc.* 7,000
400 AnnTaylor Store Corp.* 5,350
750 Arbor Drugs, Inc. 13,875
500 Best Buy Company, Inc.* 18,438
500 BJ's Wholesale Club, Inc.* 15,656
700 Buffets, Inc.* 6,563
200 Burlington Coat Factory Warehouse* 3,288
200 Carson Pirie Scott & Co.* 10,025
200 Casey's General Stores, Inc. 5,075
700 Claire's Stores, Inc. 13,606
300 Cole National Corp., Class A* 8,981
Shares Description Value
------ ----------- -----
400 Compucom Systems, Inc. $ 3,300
200 Copart, Inc.* 3,575
300 Dress Barn, Inc.* 8,513
400 Eagle Hardware & Garden, Inc.* 7,750
300 Ethan Allen Interiors, Inc. 11,569
100 Fabri-Centers of America, Class A* 2,231
700 Fingerhut Companies, Inc. 14,963
300 Finish Line, Inc., Class A 3,938
600 Fleming Companies, Inc. 8,063
100 Gadzooks, Inc.* 2,100
220 Genovese Drugs Stores, Class A 3,768
300 Gibson Greetings, Inc.* 6,563
300 Global DirectMail Products, Inc.* 5,194
200 Guitar Center, Inc.* 4,600
400 Gymboree Corp.* 10,950
400 Hancock Fabrics, Inc. 5,800
400 Hollywood Entertainment Corp.* 4,250
700 Homebase, Inc. 5,513
500 Just For Feet, Inc.* 6,563
200 Kenneth Cole Productions, Inc.,
Class A* 3,213
200 Layne Christensen Co. 2,600
200 Linens & Things, Inc.* 8,724
500 Longs Drug Stores, Inc. 16,063
400 Mac Frugal Bargains Close-Outs, Inc.* 16,450
300 Michaels Stores, Inc.* 8,775
400 Micro Warehouse, Inc.* 5,574
250 Pacific Sunwear of California, Inc.* 7,391
200 Paul Harris Stores, Inc. * 2,012
300 Petco Animal Supplies, Inc. 7,200
900 Pier 1 Imports, Inc. 20,363
700 Proffitt's, Inc.* 19,906
200 Quality Food Centers, Inc. 13,400
300 Regency Realty Corp. 8,306
200 Regis Corp. 5,024
400 Rockshox, Inc.* 3,700
1,600 Service Merchandise Co., Inc.* 3,400
100 ShopKo Stores, Inc. 2,175
300 Smart & Final, Inc. 5,400
300 Stage Stores, Inc.* 11,213
300 Stanhome, Inc. 7,706
200 Stein Mart, Inc.* 5,350
800 Sunglass Hut International* 5,050
200 Talbots 3,625
300 The Men's Wearhouse, Inc.* 10,425
300 The Sports Authority, Inc.* 4,425
1,669 U.S. Office Products Co.* 32,754
400 Value City Department Stores, Inc.* 3,550
200 Williams-Sonoma, Inc.* 8,375
400 Zale Corp. * 9,200
------------
504,278
------------
RETAIL-FOOD - 1.52%
500 Apple South, Inc. 6,563
500 Applebee's International, Inc. 9,031
See Notes to Financial Statements on Page 43
28
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
700 Bob Evans Farms, Inc. $ 15,488
1,000 Brinker International, Inc.* 16,000
200 Cheesecake Factory (The) * 6,100
500 CKE Restaurants, Inc. 21,063
500 Consolidated Products, Inc.* 8,188
100 Delias's, Inc. 2,225
200 Dominick's Supermarkets, Inc.* 7,300
300 Einstein/Noah Bagel Corp.* 1,669
400 Foodmaker, Inc.* 6,025
400 Great Atlantic & Pacific Tea Co. 11,875
600 Host Marriot Services Corp.* 8,925
100 IHOP Corp.* 3,250
300 International Dairy Queen Inc.,
Class A* 8,034
300 Landry's Seafood Restaurants, Inc.* 7,200
500 Lone Star Steakhouse & Saloon* 8,750
200 MicroAge, Inc.* 3,013
300 Papa John's International, Inc.* 10,463
200 Rainforest Cafe, Inc.* 6,600
500 Ruddick Corp. 8,719
300 Whole Foods Market, Inc.* 15,338
------------
191,819
------------
Steel - 0.75%
300 ACME Metals, Inc.* 2,963
500 AK Steel Holding Corp. 8,844
1,700 Armco, Inc.* 8,394
600 Birmingham Steel Corp. 9,450
300 Carpenter Technology Corp. 14,419
200 Chase Industries, Inc.* 5,100
200 Citation Corp.* 3,250
300 Commercial Metals Co. 9,469
200 Gibraltar Steel Corp.* 3,950
100 Lukens, Inc. 2,856
300 National Steel Corp., Class B* 3,469
300 Oregon Steel Mills, Inc. 6,394
700 ROHN Industries, Inc. 3,609
200 Rouge Industries Inc., Class A 2,425
200 Shiloh Industries, Inc.* 3,800
400 Steel Dynamics, Inc.* 6,400
------------
94,792
------------
Telecommunications - 4.57%
300 ACC Corp.* 15,150
200 Aerial Communications* 1,425
400 Aliant Communications, Inc. 12,550
100 Alliant Techsystems, Inc.* 5,575
400 Allen Telecommunications, Inc.* 7,375
300 Alpine Group, Inc.* 5,625
200 American Radio Systems Corp.* 10,663
200 AMTI, Inc. 4,850
400 ANTEC Corp. * 6,250
300 APAC Teleservices, Inc.* 4,050
100 Aspect Development, Inc.* 5,200
700 Aspect Telecommunications* 14,613
Shares Description Value
------ ----------- -----
300 Boston Technology Inc.* $ 7,538
500 Brooks Fiber Properties, Inc.* 27,500
300 California Microwave, Inc.* 5,813
200 Cellular Communications
International, Inc.* 9,350
300 Centennial Cellular Corp., Class A* 6,150
200 CIDCO, Inc.* 3,900
200 Coherent Communications Systems Corp. 5,575
200 CommNet Cellular, Inc.* 7,113
133 Commonwealth Telephone
Enterprises, Inc.* 3,441
800 Communication Satellite Corp. 19,400
300 Comverse Technology, Inc.* 11,700
300 CSG Systems International, Inc.* 12,000
100 Davox Corp.* 3,263
100 Digital Lightwave, Inc.* 1,313
600 Digital Microwave Corp.* 8,700
600 DSP Communications, Inc.* 7,200
300 General Cable Corp. 10,856
400 General DataComm Industries, Inc.* 1,875
200 Geotek Communications Inc.* 3,125
700 Glenayre Technologies, Inc.* 6,913
600 HighwayMaster Communications, Inc.* 3,413
800 InterDigital Communications Corp.* 2,450
200 Intermedia Communications, Inc.* 12,150
200 Inter-Tel, Inc. 3,875
200 Itron, Inc. 3,600
300 IXC Communications, Inc.* 9,413
0 LCI International* 9
250 Level One Communications, Inc.* 7,063
100 MasTec, Inc.* 2,287
100 Mastech Corp.* 3,174
500 McLeodUSA, Inc., Class A* 16,000
300 Metromail Corp.* 5,363
600 Mobile Telecommunication
Technologies Corp.* 13,200
200 Natural Microsystems Corp.* 9,300
400 Network Equipment Technologies, Inc.* 5,850
300 North Pittsburgh Systems, Inc. 5,494
400 NTL, Inc.* 11,150
400 Omnipoint Corp.* 9,300
200 Optical Cable Corp.* 1,638
100 Pacific Gateway Exchange, Inc.* 5,381
600 PageMart Wireless, Inc., Class A* 4,724
1,300 Paging Network, Inc.* 13,974
400 P-COM, Inc.* 6,900
600 Picturetel Corp.* 3,900
100 Powertel, Inc.* 1,675
200 Precision Response Corp.* 2,038
300 Premiere Technologies, Inc.* 8,287
400 Premisys Communications, Inc.* 10,450
100 PriCellular Corp., Class A* 1,044
300 Primus Telecommunications Group* 4,837
See Notes to Financial Statements on Page 43
29
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
200 Proxim, Inc. * $ 2,263
200 RCN Corp.* 6,850
200 Registry, Inc..* 9,175
200 Sabratek Corp. 5,750
100 Sawtek, Inc.* 2,638
400 Scopus Technology, Inc.* 4,800
200 SmarTalk TeleServices, Inc.* 4,550
200 Snyder Communications, Inc.* 7,300
200 Spectrian Corp.* 3,850
300 SymmetriCom, Inc.* 3,488
800 TCI Satellite Entertainment, Inc.,
Class A* 5,500
200 Tekelec* 6,100
700 TeleSpectrum Worldwide, Inc.* 2,537
500 Tel-Save Holdings, Inc.* 9,937
200 Transaction Network Services, Inc.* 3,450
700 U.S. Satellite Broadcasting Co.* 5,556
300 Vanguard Cellular Systems, Inc.,
Class A* 3,824
200 Westell Technologies* 2,550
900 Western Wireless Corp., Class A* 15,637
200 Whittman-Hart, Inc.* 6,850
400 WinStar Communications, Inc.* 9,974
300 Wireless Telecom Group, Inc. 1,855
300 World Access, Inc. * 7,163
100 Yurie Systems, Inc.* 2,019
------------
577,606
------------
Television - 0.44%
500 Ascent Entertainment Group, Inc.* 5,188
200 Cablevision Systems Corp., Class A* 19,150
100 CNET, Inc.* 2,950
200 EchoStar Communications, Class A* 3,350
100 Emmis Broadcasting Corp., Class A* 4,563
300 Hollywood Park, Inc.* 6,600
200 Panavision, Inc.* 5,163
1,100 Topps Co., Inc.* 2,441
300 WMS Industries, Inc.* 6,338
------------
55,743
------------
Textiles - 0.31%
500 Apogee Enterprises, Inc. 5,938
900 Burlington Industries, Inc.* 12,431
400 Guilford Mills, Inc. 10,950
450 Mohawk Industries, Inc.* 9,872
------------
39,191
------------
Tobacco - 0.27%
100 Consolidated Cigar Holdings, Inc.* 2,756
600 DIMON, Inc. 15,750
200 General Cigar Holdings, Inc.* 4,325
300 Schweitzer-Mauduit International, Inc. 11,175
------------
34,006
------------
Shares Description Value
------ ----------- -----
Transportation - 1.47%
500 Air Express International Corp. $ 15,250
300 Airborne Freight Corp. 18,638
200 AirNet Systems, Inc. 4,300
700 AirTran Holdings, Inc.* 2,800
300 Alaska Air Group, Inc.* 11,625
700 America West Holdings Corp., Class B* 13,038
400 ASA Holdings, Inc. 11,375
100 Atlas Air, Inc.* 2,400
200 Avondale Industries, Inc.* 5,938
200 Circle International Group, Inc. 4,588
200 Coach USA, Inc.* 6,700
400 Consolidated Freightways Co.* 5,450
200 Covenant Transport, Inc., Class A* 3,050
300 Expeditors International
of Washington, Inc. 11,550
400 Fritz Cos, Inc.* 5,575
500 Kirby Corp.* 9,656
100 Midwest Express Holdings* 3,881
400 Offshore Logistics, Inc.* 8,550
800 OMI Corp.* 7,350
300 Overseas Shipholding Group, Inc. 6,544
300 Pittston Burlington Group 7,875
400 RPC, Inc. 4,725
200 Swift Transportation Co., Inc.* 6,475
800 Trans World Airlines, Inc.* 8,100
------------
185,433
------------
Trucking, Shipping - 0.86%
100 Eagle USA Airfreight, Inc.* 2,850
200 AMERCO* 5,125
400 American Freightways Corp.* 3,950
200 Arnold Industries, Inc. 3,450
300 Heartland Express, Inc.* 8,063
500 Hunt (J.B.) Transport Services, Inc. 9,375
200 Landstar System, Inc.* 5,275
500 Newport News Shipbuilding, Inc. 12,719
300 Roadway Express, Inc. 6,638
600 Rollins Truck Leasing Corp. 10,725
300 USFreightways Corp. 9,750
400 Werner Enterprises, Inc. 8,200
200 Xtra Corp. 11,725
400 Yellow Corp.* 10,050
------------
107,895
------------
Utilities - 4.87%
500 Atlantic Energy, Inc. 10,593
300 Atmos Energy Corp. 9,074
100 Bay State Gas Co. 3,712
200 Black Hills Corp. 7,050
500 CellNet Data Systems, Inc.* 3,874
300 Central Hudson Gas & Electric Corp. 13,162
200 Central Louisiana Electric Co., Inc. 6,475
500 Central Maine Power Co. 7,625
300 CFW Communications Co. 6,713
See Notes to Financial Statements on Page 43
30
<PAGE>
Small Cap Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
300 CILCORP, Inc. $ 14,663
400 Commonwealth Energy System 13,300
700 Delmarva Power & Light Co. 16,144
300 Eastern Enterprises 13,500
400 Easterns Utilities Associates 10,500
800 El Paso Electric Co.* 5,850
400 Empire District Electric Co. 7,850
200 Energen Corp. 7,950
400 Equitable Resources, Inc. 14,150
200 FEI Co. 2,488
500 Hawaiian Electric Industries 20,438
200 Hugoton Energy Corp. 1,838
500 IES Industries, Inc. 18,406
400 Indiana Energy, Inc. 13,175
400 Laclede Gas Co. 11,225
400 Madison Gas & Electric Co. 9,200
300 MDU Resources Group, Inc. 9,488
500 Minnesota Power & Light Co. 21,781
800 Nevada Power Co. 21,250
400 New Jersey Resources Corp. 16,025
100 North Carolina Natural Gas Corp. 3,475
500 Northwest Natural Gas Co. 15,500
400 Northwestern Public Service Co. 9,200
200 NUI Corp. 5,737
300 ONEOK, Inc. 12,113
100 Orange & Rockland Utilities, Inc. 4,655
100 Petterson Energy, Inc. 3,869
300 Philadelphia Suburban Corp. 8,831
300 Piedmont Natural Gas Co., Inc. 10,781
700 Public Service Company of New Mexico 16,581
100 Public Service Company
of North Carolina, Inc. 2,312
500 Rochester Gas & Electric Corp. 17,000
300 Sierra Pacific Resources 11,250
500 SIGCORP, Inc. 14,687
300 Southern California Water Co. 7,538
500 Southwest Gas Corp. 9,344
500 Southwestern Energy Co. 6,438
400 Tuscon Electric Power Co.* 7,250
500 UGI Corp. 14,656
300 United Illuminating Co. 13,781
600 United Water Resources, Inc. 11,738
600 Washington Gas Light Co. 18,563
900 Washington Water Power 21,881
400 WICOR, Inc. 18,575
500 WPL Holdings, Inc. 16,563
200 WPS Resources Corp. 6,763
300 Yankee Energy System, Inc. 8,006
------------
614,586
------------
Shares Description Value
------ ----------- -----
WHOLESALE DISTRIBUTOR - 0.29%
300 Barnett, Inc.* $ 6,600
600 Brightpoint, Inc.* 8,325
510 JP Foodservice, Inc.* 18,838
100 Reliance Steel & Aluminum Co. 2,975
------------
36,738
------------
Total Common Stocks (Cost $11,679,986) 12,063,871
------------
U.S. GOVERNMENT OBLIGATIONS - 4.09%
U.S. Treasury Bill - 4.09%
66,000 U.S. Treasury Bill 01/08/98 65,935
63,000 U.S. Treasury Bill 03/12/98 62,369
377,000 U.S.Treasury Bill 03/19/98 372,843
15,000 U.S. Treasury Bill 04/30/98 14,742
------------
Total U.S. Government Obligations 515,889
(Cost $515,889) ------------
Total Investments - 99.70% (Cost $12,195,875) $ 12,579,760
------------
Net Other Assets and Liabilities - 0.30% 37,260
------------
Net Assets - 100.00% $ 12,617,020
------------
------------
- ----------
* Non-income producing security
+ The Fund owns less than one share
ADR American Depositary Receipt
At December 31, 1997, the Fund's open futures contracts were as follows:
Number of
Contracts Contract Expiration Opening Current
Purchased (Sold) Type Date Position Market Value
- ---------------- -------- ---------- -------- ------------
1 S&P 03/20/98 $244,756 $244,775
500
See Notes to Financial Statements on Page 43
31
<PAGE>
EAFE Equity Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
COMMON STOCK - 97.16%
Australia - 2.43%
2,200 Amcor Ltd. (Packaging & Container) $ 9,678
4,200 Boral Ltd. (Buildings Materials) 10,621
700 Brambles Industries Ltd. (Transportation) 13,892
5,200 Broken Hill Proprietary Co. Ltd. (Metals) 48,295
2,400 Coca Cola Amatil Ltd. (Beverages) 17,935
3,600 Coles Myer Ltd. (Retail) 17,292
3,600 CSR Ltd. (Buildings Materials) 12,201
5,600 Foster's Brewing Group Ltd. (Brewery) 10,657
1,100 ICI Australia Ltd. (Chemicals) 7,707
800 Lend Lease Corp. Ltd.
(Financial Services) 15,642
3,600 National Australia Bank
(Financial Services) 50,281
4,900 News Corporation Ltd. (Services) 27,050
4,100 Pacific Dunlop Ltd. (Holding Companies) 8,685
1,100 Rio Tinto Ltd. (Metals & Mining) 12,835
20,400 Telstra Corp. Ltd. (Telecom Services) 43,079
5,000 Westpac Banking Corp. Ltd. (Banks) 31,987
3,500 WMC Ltd. (Metals & Mining) 12,204
------------
350,041
------------
Austria - 0.27%
260 Bank Austria AG (Banks) 13,173
110 OMV AG (Oil/Gas) 15,240
70 VA Technologie AG (Oil/Gas) 10,629
------------
39,042
------------
Belgium - 1.34%
50 Barco NV (Diversified Operations) 9,176
150 Electrabel SA (Utilities) 34,695
100 Fortis AG (Insurance) 20,862
50 Generale De Banque SA (Banks) 21,761
50 Kredietbank NV (Banks) 20,985
50 PetroFina SA (Oil/Gas) 18,454
50 Royale Belge (Insurance) 14,237
500 Solvay SA (Chemicals) 31,443
250 Tractobel (Utilities) 21,794
------------
193,407
------------
Denmark - 1.02%
189 Danisco AS (Food Processing) 10,482
200 Den Danske Bank (Banks) 26,650
1 D/S 1912-B (Transportation) 46,119
253 Novo-Nordisk AS-B
(Biopharmaceuticals) 36,186
448 Tele Danmark AS-B (Utilities) 27,787
------------
147,224
------------
Finland - 0.70%
3,400 Merita Ltd.-A (Banks) 18,594
600 Nokia AB-A (Telecommunications
Equipment) 41,951
Shares Description Value
------ ----------- -----
200 Nokia AB-K (Telecommunications
Equipment) $ 14,314
600 Outokumpu Oy-A (Metals & Mining) 7,102
900 UPM-Kymmene Corp.
(Forest Products) 18,168
------------
100,129
------------
France - 7.92%
100 Accor SA (Hotel/Motel) 18,588
200 L' Air Liquide (Industrial Gases) 31,296
400 Alcatel Alsthom (Telecommunications
Equipment) 50,831
800 AXA-UAP (Insurance) 61,887
500 Banque Nationale de Paris (Banks) 26,570
100 Beghin-SAY (Services) 15,631
150 BIC (Office Supplies) 10,946
100 Canal Plus (Broadcasting) 18,588
100 Carrefour Supermarche SA (Retail) 52,159
300 Cie Financiale (Financial Services) 26,062
350 Cin Generale Des Eaux (Manufacturing) 48,837
100 Compagnie Bancaire SA
(Financial Services) 16,196
200 Compagnie de Saint Gobain
(Building Materials) 28,405
200 Danone (Food Processing) 35,714
50 Essilor International (Optical) 14,950
2,100 France Telecom SA
(Telecommunications) 76,151
200 Havas SA (Advertising) 14,385
250 Lafarge SA (Building Materials) 16,400
100 Legrand SA (Electronics) 19,917
250 L'OREAL (Household Products) 97,799
200 LVMH (Moet-Hennessy Lois Vuiton)
(Wine and Spirits) 33,189
300 Lyonnaise des Eaux SA (Diversified) 33,189
350 Michelin-B (Tire & Rubber) 17,616
150 Peugeot SA (Autos & Truck) 18,912
50 Pinault-Printemps-Redoute SA (Retail) 26,669
50 Promodes (Retail) 20,739
800 Rhone-Poulenc-A (Chemicals) 35,827
250 Sanofi SA (Pharmaceuticals) 27,824
350 Schneider SA (Electronics) 19,000
250 Societe Generale (Banks) 34,053
900 Societe Nationale Elf Aquitaine
(Electric & Gas) 104,651
600 Total SA-B (Oil/Gas) 65,282
600 Usinor Sacilor (Steel) 8,661
200 Valeo SA (Auto Related) 13,561
------------
1,140,485
------------
Germany - 9.31%
100 Adidas AG (Consumer Goods) 13,152
550 Allianz AG (Insurance) 142,468
1,500 BASF AG (Chemicals) 53,155
See Notes to Financial Statements on Page 43
32
<PAGE>
EAFE Equity Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
1,750 Bayer AG (Chemicals) $ 65,370
650 Bayerische Hypotheken-und
Wechsel-Bank A.G. (Banks) 31,723
696 Bayerische Vereinsbank AG (Banks) 45,564
1,250 Daimler-Benz AG (Auto & Trucks) 87,688
250 Degussa AG (Metals & Mining) 12,507
1,650 Deutsche Bank AG (Banks) 116,481
5,300 Deutsche Telekom
(Telecommunications) 99,725
1,200 Dresdner Bank AG (Banks) 55,364
50 Karstadt AG (Retail) 17,068
50 Linde AG (Machinery) 30,517
950 Lufthansa AG (Airlines) 18,218
50 MAN AG (Diversified) 14,480
100 Mannesmann AG (Machinery) 50,528
400 Merck KGAA (Pharmaceuticals) 13,452
550 Metro AG (Retail) 19,719
200 Muenchener Rueckversicherungs-
Gesellschaft AG (Insurance) 75,375
50 Preussag AG (Steel) 15,258
800 RWE AG PN (Oil/Gas) 42,913
550 RWE AG (Oil/Gas) 23,235
150 SAP AG (Software) 45,567
150 Schering AG (Pharmaceuticals) 14,466
1,350 Siemens AG (Electrical Equipment) 79,919
100 Thyssen AG (Steel) 21,401
1,200 VEBA AG (Oil/Gas) 81,712
50 Viag AG (Metals & Mining) 26,932
50 Volkswagen AG (Consumer Goods) 28,127
------------
1,342,084
------------
Hong Kong - 2.73%
4,200 Bank of East Asia Ltd. (Banks) 9,837
12,000 Cathay Pacific Airways
(Transportation) 9,756
6,000 Cheung Kong Holdings Ltd.
(Real Estate) 39,295
7,000 China Light & Power Co. Ltd. (Utilities) 38,844
5,100 Hang Seng Bank Ltd. (Banks) 49,197
30,800 Hong Kong Telecommunications Ltd.
(Telecommunications) 63,397
9,000 Hong Kong and China Gas Co. Ltd.
(Utilities) 17,422
10,000 Hutchinson Whampoa Ltd. (Diversified) 62,718
6,000 New World Development Co. Ltd.
(Real Estate) 20,751
6,000 Sun Hung Kai Properties Ltd.
(Real Estate) 41,812
4,500 Swire Pacific Ltd.-A (Conglomerate) 24,681
7,000 Wharf Holdings Ltd. (Diversified) 15,357
------------
393,067
------------
Shares Description Value
------ ----------- -----
Ireland - 0.32%
2,365 Allied Irish Banks Plc. (Banks) $ 22,890
1,183 CRH Plc. (Building Materials) 13,841
3,447 Jefferson Smurfit Group Plc.
(Packaging & Container) 9,714
------------
46,445
------------
Italy - 3.93%
2,372 Assicurazioni Generali (Insurance) 58,261
6,273 Banca Commerciale Italiana (Banks) 21,808
5,994 Banco Ambrosiano Veneto SPA
(Commercial Banks) 22,939
7,471 Credito Italiano SPA (Financial Services) 23,038
2,603 Edison SPA (Utilities) 15,745
20,181 ENI SPA (Oil/Gas) 114,424
10,423 Fiat SPA PN (Auto and Trucks) 30,314
2,656 Instituto Bancario San Paolo di Torino
(Banks) 25,374
2,003 Instituto Mobiliare Italiano SPA
(Financial Services) 23,778
12,997 Instituto Nazionale delle Assicurazioni
(Insurance) 26,339
3,977 Mediaset SPA (Broadcasting) 19,537
20,059 Montedison SPA (Chemicals) 18,018
6,909 Parmalat Finanziaria SPA
(Financial Services) 9,881
5,376 Pirelli SPA (Tire & Rubber) 14,374
17,532 Telecom Italia Mobile SPA
(Telecommunications) 80,921
9,730 Telecom Italia SPA
(Telecommunications) 62,153
------------
566,904
------------
Japan - 25.07%
1,000 Acom Company Ltd.
(Financial Services) 55,151
2,000 Ajinomoto Co., Inc. (Food Processing) 19,456
1,000 Alps Electric Co. (Electric) 9,422
6,000 Asahi Bank Ltd. (Banks) 24,358
1,000 Asahi Breweries Ltd. (Brewery) 14,554
4,000 Asahi Chemical Industry Co. Ltd.
(Textiles) 13,543
3,000 Asahi Glass Co. Ltd. (Building
Materials) 14,247
12,000 Bank of Tokyo-Mitsubishi Ltd. (Banks) 165,454
3,000 Bank of Yokohama Ltd. (Banks) 7,905
2,000 Bridgestone Corp. (Tire & Rubber) 43,355
2,000 Canon, Inc. (Capital Equipment) 46,572
2,000 Chiba Bank Ltd. (Banks) 6,205
500 Credit Saison Co. Ltd. (Retail) 12,332
2,000 Dai Nippon Printing Co. Ltd.
(Publishing/Printing) 37,534
See Notes to Financial Statements on Page 43
33
<PAGE>
EAFE Equity Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
1,000 Daichi Pharmaceutical
(Pharmaceuticals) $ 11,260
2,000 Daiei, Inc. (Retail) 8,273
3,000 Dainippon Ink & Chemicals, Inc.
(Chemicals) 7,583
2,000 Daiwa House Industry Co. Ltd. (Industrial) 10,571
4,000 Daiwa Securities Co. Ltd.
(Financial Services) 13,788
2,000 Denso Corp. (Electrical Equipment) 36,002
10 East Japan Railway Co.
(Transportation) 45,117
1,000 Ebara Corp. (Machinery) 10,571
1,000 Eisai Co. Ltd. (Pharmaceuticals) 15,243
600 Fanuc (Electronics) 22,704
7,000 Fuji Bank Ltd. (Banks) 28,311
1,000 Fuji Photo Film Co. (Chemicals) 38,300
5,000 Fujitsu Ltd. (Computers) 53,619
2,000 Furukawa Electric Co. Ltd.
(Metals & Mining) 8,564
2,000 Gunma Bank (Banks) 13,022
3,000 Hankyu Corp. (Railroads) 14,041
8,000 Hitachi Ltd. (Capital Equipment) 56,990
3,000 Hitachi Zosen Corp. (Steel) 4,803
3,000 Honda Motor Co. Ltd. (Autos & Trucks) 110,073
1,000 House Foods Industry (Foods) 13,022
6,000 Industrial Bank of Japan (Banks) 42,742
4,000 Itochu Corp. (Distribution/Wholesale) 6,281
1,000 Ito-Yokado Co. Ltd. (Retail) 50,938
5,000 Japan Airlines (Transportation) 13,596
3,000 Joyo Bank (Banks) 10,571
1,000 JUSCO Co. (Retail) 14,094
3,000 Kajima Corp. (Engineering & Construction) 7,560
2,500 Kansai Electric Power Co., Inc. (Utilities) 42,321
2,000 Kao Corp. (Household Products) 28,801
4,000 Kawasaki Heavy Industries Ltd.
(Engineering & Construction) 6,189
9,000 Kawasaki Steel Corp. (Steel) 12,271
1,000 Kinden Corp. (Engineering &
Construction) 10,647
4,000 Kinki Nippon Railway (Transportation) 21,356
3,000 Kirin Brewery Co. Ltd. (Brewery) 21,831
1,000 Kokuyo (Office Equipment &
Computers) 17,235
3,000 Komatsu Ltd. (Machinery) 15,052
4,000 Kubota Corp. (Machinery) 10,540
1,000 Kurita Water Industries (Capital
Equipment) 10,188
1,000 Kyocera Corp. (Capital Equipment) 45,347
2,000 Kyowa Hakko Kogyo (Chemicals) 8,656
1,000 Marui Co. Ltd. (Retail) 15,550
5,000 Matsushita Electric Industrial Co. Ltd.
(Electronics) 73,152
1,000 Minabea Co. Ltd. (Electronics) 10,724
6,000 Mitsubishi Chemical Corp.
(Chemicals) 8,594
Shares Description Value
------ ----------- -----
4,000 Mitsubishi Corp. (Distribution/
Wholesale) $ 31,559
6,000 Mitsubishi Electric Corp. (Capital
Equipment) 15,350
3,000 Mitsubishi Estate Co. Ltd.
(Financial Services) 32,631
9,000 Mitsubishi Heavy Industries Ltd.
(Aerospace) 37,503
4,000 Mitsubishi Materials Corp.
(Metals & Mining) 6,434
3,000 Mitsubishi Trust & Banking Corp.
(Banks) 30,103
2,000 Mitsui Fudosan Co. Ltd. (Real Estate) 19,303
2,000 Mitsui Marine & Fire Insurance Co. Ltd.
(Insurance) 10,203
3,000 Mitsui Trust & Banking Co. Ltd. (Banks) 5,814
4,000 Mitsui & Co. (Distribution/Wholesale) 23,654
2,000 Mitsukoshi Ltd. (Retail) 5,316
1,000 Murata Manufacturing Co. Ltd.
(Electrical Equipment) 25,124
1,000 Mycal Corp. (Foods) 8,349
4,000 NEC Corp. (Electronics) 42,589
1,000 Nikon Corp. (Manufacturing) 9,881
1,000 Nippon Comsys Corp.
(Telecommunications) 12,332
3,000 Nippon Express Co. Ltd.
(Trucking & Leasing) 14,937
1,000 Nippon Meat Packers, Inc. (Food
Processing) 13,635
4,000 Nippon Oil Co. Ltd. (Oil/Gas) 10,326
3,000 Nippon Paper Industries Co.
(Forest Products) 11,766
18,000 Nippon Steel Corp. (Steel) 26,610
31 Nippon Telegraph & Telephone Corp.
(Telecommunications) 265,952
4,000 Nippon Yusen Kabushiki Kaisha
(Transportation) 10,969
6,000 Nissan Motor Co. Ltd. (Autos & Trucks) 24,818
1,000 Nissin Food Products Co. Ltd.
(Food Processing) 18,154
1,000 Nitto Denko Corp. (Electrical Equipment) 17,235
10,000 NKK Corp. (Steel) 7,966
5,000 Nomura Securities Co. Ltd.
(Financial Services) 66,641
1,000 NGK Insulators (Construction) 8,885
2,000 Obayashi Corp. (Capital Equipment) 6,802
2,000 Odakyu Electric Railway
(Transportation) 8,640
3,000 Oji Paper Co. Ltd. (Forest Products) 11,926
1,000 Omron Corp. (Electronics) 15,626
1,000 Onward Kashiyama Co. Ltd. (Textiles) 11,566
7,000 Osaka Gas Co. Ltd. (Utilities) 15,979
1,000 Pioneer Electronic Corp.
(Telecommunications) 15,396
See Notes to Financial Statements on Page 43
34
<PAGE>
EAFE Equity Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
9,000 Sakura Bank Ltd. (Banks) $ 25,714
1,000 Sankyo Co. Ltd. (Pharmaceuticals) 22,597
5,000 Sanyo Electric Co. Ltd. (Electronics) 12,218
2,000 Sekisui Chemical Co. Ltd. (Chemicals) 10,157
2,000 Sekisui House Ltd. (Manufactured
Housing) 12,853
3,000 Sharp Corp. (Electronics) 20,636
1,000 Shimano, Inc. (Bicycles) 18,384
2,000 Shimizu Corp. (Engineering &
Construction) 4,627
1,000 Shin-Etsu Chemical Co. Ltd.
(Chemicals) 19,073
1,000 Shiseido Co. Ltd. (Household Products) 13,635
2,000 Shizuoka Bank (Banks) 21,448
1,000 Sony Corp. (Electronics) 88,855
8,000 Sumitomo Bank Ltd. (Banks) 91,306
5,000 Sumitomo Chemical Co. (Chemicals) 11,490
3,000 Sumitomo Corp. (Distribution/Wholesale) 16,775
2,000 Sumitomo Electric Industries
(Electrical Equipment) 27,269
2,000 Sumitomo Marine & Fire Insurance Co.
(Insurance) 10,571
9,000 Sumitomo Metal Industries (Steel) 11,513
2,000 Sumitomo Metal Mining Co.
(Metals & Mining) 6,588
3,000 Taisei Corp. (Engineering &
Construction) 4,918
1,000 Taisho Pharmaceutical Co.
(Pharmaceuticals) 25,507
1,000 Takashimaya Co. Ltd. (Retail) 6,051
2,000 Takeda Chemical Industries
(Pharmaceuticals) 56,990
3,000 Teijin Ltd. (Textiles) 6,273
3,000 Tobu Railway Co. Ltd. (Transportation) 9,376
110 Toho Co. (Entertainment) 11,712
1,400 Tohoku Electric Power (Utilities) 21,233
5,000 Tokai Bank (Banks) 23,286
4,000 Tokio Marine & Fire Insurance Co.
(Insurance) 45,347
1,000 Tokyo Dome Corp. (Entertainment) 6,649
3,400 Tokyo Electric Power Co. (Utilities) 61,984
1,000 Tokyo Electron Ltd. (Electronics) 32,018
6,000 Tokyo Gas Co. Ltd. (Utilities) 13,604
3,000 Tokyu Corp. (Transportation) 11,582
2,000 Toppan Printing Co. Ltd.
(Publishing/Printing) 26,044
4,000 Toray Industries, Inc. (Chemicals) 17,924
1,000 Tostem Corp. (Building Materials) 10,724
1,000 Toto Ltd. (Industrial) 6,388
1,000 Toyo Seikan Kaisha (Packaging &
Container) 14,247
1,000 Toyoda Automatic Loom Works
(Machinery) 18,384
9,000 Toyota Motor Corp. (Consumer Goods) 257,832
1,000 Uny Co. Ltd. (Retail) 13,711
Shares Description Value
------ ----------- -----
1,000 Wacoal Corp. (Textiles) $ 9,958
1,000 Yamaha Corp. (Diversified) 11,337
1,000 Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals) 21,448
1,000 Yamato Transport Co. Ltd.
(Trucking & Leasing) 13,405
1,000 Yamazaki Baking Co. Ltd.
(Food Processing) 9,728
3,000 Yasuda Trust & Banking (Banks) 2,987
------------
3,612,511
------------
Malaysia - 0.96%
4,200 Malayan Banking BHD (Banks) 12,202
8,000 Malaysia International Shipping BHD
(Transportation) 11,724
7,000 Resorts World BHD (Entertainment) 11,788
8,000 RHB Capital BHD (Banks) 3,867
2,000 Rothmans of Pall Mall BHD (Tobacco) 15,555
10,000 Sime Darby BHD (Holding Companies) 9,616
11,000 Telekom Malaysia BHD
(Telecommunications) 32,523
11,000 Tenaga Nasional BHD (Utilities) 23,473
4,000 United Engineers Ltd. (Engineering &
Construction) 3,332
10,500 YTL Corp. BHD (Engineering &
Construction) 14,173
------------
138,253
------------
Netherlands - 5.42%
3,367 ABN Amro Holdings NV (Banks) 65,590
1,249 Ahold (Food Stores) 32,585
185 Akzo Nobel (Chemicals) 31,896
1,616 Elsevier NV (Publishing/Printing) 26,140
122 Heineken NV (Brewery) 21,239
2,449 ING Groep NV (Financial Services) 103,144
1,140 Koninklijke Ahold NV (Retail) 47,563
856 Philips Electronics NV (Electronics) 51,334
5,186 Royal Dutch Petroleum Company
(Oil/Gas) 284,658
1,548 Unilever NV-CVA (Food Processing) 95,428
164 Wolters Kluwer NV-CVA
(Publishing/Printing) 21,182
------------
780,759
------------
New Zealand - 0.31%
12,304 Brierley Investments Ltd.
(Investment Companies) 8,788
6,498 Carter Holt Harvey Ltd.
(Forest Products) 10,036
5,427 Telecom Corp. of New Zealand Ltd.
(Telecommunications) 26,312
------------
45,136
------------
See Notes to Financial Statements on Page 43
35
<PAGE>
EAFE Equity Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
Norway - 0.31%
650 Norsk Hydro ASA (Paper) $ 31,729
150 Orkla ASA-A (Manufacturing) 12,956
------------
44,685
------------
Portugal - 0.56%
500 Banco Espirito Santo e Comercial
de Lisboa SA (Banks) 14,879
500 Cimpor-Cimentos de Portugal SA
(Building Products) 13,105
1,300 Electricidade de Portugal SA (Electric) 24,616
600 Portugal Telecom SPA
(Telecommunications) 27,840
------------
80,440
------------
Singapore - 0.87%
3,000 City Developments Ltd. (Real Estate) 13,883
5,000 DBS Land Ltd. (Real Estate) 7,654
2,000 Development Bank of Singapore Ltd.
(Banks) 17,087
3,000 Oversea-Chinese Banking Corp. Ltd.
(Banks) 17,443
3,000 Singapore Airlines Ltd. (Transportation) 19,579
1,000 Singapore Press Holdings Ltd.
(Publishing/Printing) 12,519
20,000 Singapore Telecommunications Ltd.
(Utilities) 37,259
------------
125,424
------------
Spain - 2.41%
364 Argentaria CMN (Banks) 22,148
879 Autopistas Concesionana Espanola
SA (Engineering & Construction) 11,799
1,743 Banco Bilbao Vizcaya SA (Banks) 56,403
792 Banco Central Hispanoamericano
(Banks) 19,287
1,039 Banco Santander SA (Banks) 34,713
2,680 Empresa Nacional de Electridad SA
(Utilities) 47,584
361 Gas Natural SDG SA (Utilities) 18,719
2,480 Iberdrola SA (Utilities) 32,639
812 Repsol SA (Oil/Gas) 34,644
2,403 Telefonica de Espana
(Telecommunications) 68,612
------------
346,548
------------
Sweden - 2.36%
1,900 ABB AB-A (Machinery) 22,494
3,500 Astra AB-A (Pharmaceuticals) 60,612
200 Electrolux AB-Ser. B (Furniture) 13,879
2,400 Ericsson Telecommunications-B
(Telecommunications) 90,228
600 Hennes & Mauritz AB-B (Retail) 26,449
400 Skandia Forsakrings AB (Insurance) 18,867
Shares Description Value
------ ----------- -----
1,700 Skandinaviska Enskilda Banken-A
(Banks) $ 21,518
400 Skanska AB-B (Engineering) 16,398
900 Stora Kopparberg-Bergslags-
Aktiebolag-A (Forest Products) 11,335
600 Svenska Cellulosa AB-B (Forest
Products) 13,489
600 Svenska Handelsbanken-A (Banks) 20,743
900 Volvo AB-B (Autos & Trucks) 24,144
------------
340,156
------------
Switzerland - 7.72%
20 ABB AG-Bearer (Machinery) 25,109
50 Adecco SA (Commercial Services) 14,487
700 Credit Suisse Group (Banks) 108,234
100 Nestle SA (Foods) 149,762
150 Novartis AG (Medical) 243,218
15 Novartis AG-Bearer (Medical) 24,373
4 Roche Holdings AG-Bearer
(Pharmaceuticals) 61,574
17 Roche Holdings AG-Genuscheine
(Pharmaceuticals) 168,703
10 Sairgroup * (Airlines) 13,683
35 Schweizerische Ruckversicherungs-
Gesellschaft (Insurance) 65,419
200 Schweizercher Bankverein (Banks) 62,122
70 Schweizerische Bankgeselschaft *
(Banks) 101,146
50 UBS (Banks) 14,402
125 Zurich Versicherungsgesellschaft
(Insurance) 59,521
------------
1,111,753
------------
United Kingdom - 21.20%
3,842 Abbey National Plc. (Banks) 68,841
2,899 Associated British Foods Plc.
(Food Processing) 25,234
3,940 Barclays Plc. (Banks) 104,698
2,574 Bass Plc. (Brewery) 39,569
10,643 BG Plc. (Oil/Gas) 47,894
12,062 BG Plc.-B (Oil/Gas) 6,042
2,651 Blue Circle Industries Plc.(Building
Materials) 14,868
1,378 BOC Group Plc. (Chemicals) 22,654
2,647 Boots Co. Plc. (Retail) 38,104
1,294 British Aerospace Plc. (Aerospace) 36,872
2,849 British Airways Plc. (Transportation) 26,203
1,767 British Land Co. Plc. (Real Estate) 19,763
14,145 British Petroleum Co. Plc. (Oil/Gas) 185,848
4,987 British Sky Broadcasting Group Plc.
(Broadcasting) 37,348
6,485 British Steel Plc. (Steel) 13,899
16,317 British Telecommunications Plc.
(Telecommunications) 128,229
11,547 BTR Plc. (Holding Companies) 34,894
See Notes to Financial Statements on Page 43
36
<PAGE>
EAFE Equity Index Fund
Schedule of Portfolio Investments December 31, 1997
Shares Description Value
------ ----------- -----
847 Burmah Castrol Plc. (Oil/Gas) $ 14,704
8,216 B.A.T. Industries Plc. (Tobacco) 74,754
5,582 Cable & Wireless Plc.
(Telecommunications) 49,047
2,268 Cadbury Schweppes Plc. (Beverages) 22,852
2,125 Carlton Communications Plc.
(Holding Companies) 16,403
14,759 Centrica Plc. * (Oil/Gas) 21,694
1,776 Commercial Union Plc. (Insurance) 24,764
11,016 Diageo Plc. (Food and Kindred
Products) 101,225
1,392 EMI Group Plc. (Entertainment) 11,614
7,639 General Electric Co. Plc. (Electronics) 49,494
1,159 GKN Plc. (Auto Related) 23,736
8,865 Glaxo Wellcome Plc. (Pharmaceuticals) 209,656
2,511 Granada Group Plc. (Leisure Time) 38,353
3,004 Great Universal Stores Plc. (Retail) 37,841
2,797 Hanson Plc. (Holding Companies) 12,518
2,289 HSBC Holdings Plc. (75P) (Banks) 58,646
4,503 HSBC Holdings Plc. (Banks) 111,376
2,105 Imperial Chemical Industries Plc.
(Chemicals) 32,877
890 Kingfisher Plc. (Retail) 12,395
4,290 Ladbroke Group Plc. (Leisure Time) 18,601
1,646 Land Securities Plc. (Real Estate) 26,222
3,836 Legal & General Group Plc.
(Insurance) 33,516
13,432 Lloyds TSB Group Plc. (Banks) 173,612
5,270 LucasVarity Plc. (Auto Related) 18,609
7,475 Marks & Spencer Plc. (Retail) 73,537
708 Mercury Asset Management Group Plc.
(Financial Services) 19,744
5,503 National Grid Group Plc. (Utilities) 26,119
3,609 National Power Plc. (Utilities) 35,563
1,044 Peninsular and Orient Steam
Navigation Co. (Transportation) 11,874
5,262 Prudential Corp. Plc. (Insurance) 63,433
1,677 Railtrack Group Plc. (Transportation) 26,633
3,400 Reed International Plc.
(Publishing/Printing) 34,062
4,649 Reuters Holdings Plc.
(Publishing/Printing) 50,775
2,863 Rio Tinto Plc. (Metals & Mining) 35,218
969 RMC Group Plc. (Building Materials) 13,527
3,910 Rolls-Royce Plc. (Aerospace) 15,091
4,414 Royal & Sun Alliance Insurance
Group Plc. (Insurance) 44,438
3,582 Safeway Plc. (Retail) 20,178
Shares Description Value
------ ----------- -----
5,278 Sainsbury (J.) Plc. (Retail) $ 44,122
1,000 Schroders Plc. (Banks) 30,794
1,273 Scottish & Newcastle Plc. (Brewery) 15,586
13,462 SmithKline Beachman Plc.
(Pharmaceuticals) 137,741
6,142 Tesco Plc. (Retail) 49,932
1,360 Thames Water Plc. (Utilities) 20,248
8,672 Unilever Plc. (Foods) 74,203
1,795 United Utilities Plc. (Utilities) 22,995
6,828 Vodafone Group Plc.
(Telecommunications) 49,734
2,166 Wolseley Plc. (Building Materials) 17,182
2,196 Zeneca Group Plc. (Pharmaceuticals) 77,073
------------
3,055,271
------------
Total Common Stocks (Cost $15,019,567) 13,999,764
------------
PREFERRED STOCK - 0.54%
AUSTRALIA- 0.16%
4,800 The News Corp. Ltd. Voting
Preferred Shares (Services) 23,757
------------
Germany- 0.38%
100 SAP AG-Vorzug Non Voting Preferred
(Software) 32,713
50 Volkswagen AG Non Voting Preferred
(Auto & Trucks) 21,456
------------
54,169
------------
Total Preferred Stocks (Cost $68,426) 77,926
------------
U.S. GOVERNMENT OBLIGATIONS - 1.81%
325,000 U.S. Treasury Bill 04/30/98 260,473
------------
Total U.S. Government Obligations (Cost $260,473) 260,473
------------
------------
Total Investments - 99.51% (Cost $15,348,466) 14,338,163
------------
Net Other Assets and Liabilities - 0.49% 70,898
------------
Net Assets - 100.00% $14,409,061
------------
------------
* Non-income producing security
ADR American Depositary Receipt
See Notes to Financial Statements on Page 43
37
<PAGE>
EAFE Equity Index Fund
Schedule of Portfolio Investments December 31, 1997
Industry Concentration of Common and Preferred Stocks as Percentage of Net
Assets:
Banks 15.50% $2,233,927
Telecommunications 9.01 1,298,727
Oil/Gas 6.89 992,649
Pharmaceuticals 6.66 960,332
Industrial 5.50 792,467
Food 4.44 640,166
Retail 4.37 630,032
Utilities 4.00 576,007
Electronics 3.18 458,267
Financial Services 3.16 455,977
Chemicals 2.92 420,724
Auto Related 2.59 373,311
Consumer Goods 2.08 299,111
Transportation 1.99 286,416
Medical 1.86 267,591
Publishing/Printing 1.45 208,256
Real Estate 1.31 188,683
Electrical Equipment 1.29 185,549
Machinery 1.27 183,195
Capital Equipment 1.26 181,249
Metals and Mining 1.23 176,679
Electric and Gas 1.18 169,985
Building Materials 1.15 165,121
Diversified 1.02 146,257
Household Products 0.97 140,235
Brewery 0.86 123,436
Steel 0.85 122,382
Tobacco 0.63 90,309
Aerospace 0.62 89,466
Engineering and Construction 0.61 88,528
Manufacturing 0.59 84,527
Holding Companies 0.57 82,116
Services 0.56 80,925
Software 0.54% $ 78,280
Distribution/Wholesale 0.54 78,269
Forest Products 0.53 76,720
Broadcasting 0.52 75,473
Tire and Rubber 0.52 75,345
Leisure Time 0.40 56,954
Computers 0.37 53,619
Entertainment 0.29 41,763
Textiles 0.29 41,340
Beverages 0.28 40,787
Packaging and Container 0.23 33,639
Airlines 0.22 31,901
Paper 0.22 31,729
Trucking and Leasing 0.20 28,342
Office Equipment and Supplies 0.20 28,181
Conglomerate 0.17 24,681
Hotel/Motel 0.13 18,588
Bicycles 0.13 18,384
Advertising 0.10 14,385
Railroads 0.10 14,041
Furniture 0.10 13,879
Investment Companies 0.06 8,788
----- -----------
Total 97.70% $14,077,690
----- -----------
----- -----------
At December 31, 1997, the Fund's open futures contracts were as follows:
Number of
Contracts Contract Expiration Opening Current
Purchased Type Date Position Market Value
- --------- -------- ---------- -------- ------------
1 Australian 03/31/98 $ 41,973 $42,950
1 EuroTop 03/24/98 228,933 232,850
100
5 Nikkei 03/18/98 93,849 90,885
300 ---------------------
$364,755 $366,685
=====================
Forward Foreign Currency Contracts Sold:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts to Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value For U.S. $ (Depreciation)
- ---------- ------------ ---------- ------------ ----------- --------------
<S><C>
19,000 British Pound 01/16/98 $ 31,213 $ 31,309 ($96)
113,000 European Currency Unit 01/16/98 124,084 126,159 ($2,075)
8,157,000 Japanese Yen 01/16/98 62,629 62,836 ($207)
-------- -------- -------
$217,926 $220,304 ($2,378)
-------- -------- -------
-------- -------- -------
</TABLE>
See Notes to Financial Statements on Page 43
38
<PAGE>
BT Insurance Funds Trust
Statements of Assets and Liabilities December 31, 1997
<TABLE>
<CAPTION>
Equity 500 Small Cap EAFE Equity
Index Index Index
<S><C> ------------ ------------ ------------
Assets:
Investments (Note D):
Investments at cost $12,051,366 $12,195,875 $15,348,466
Net unrealized appreciation (depreciation) 202,483 383,885 (1,010,303)
----------- ----------- -----------
Total investments at value 12,253,849 12,579,760 14,338,163
Cash at value (Cost $45,417, $337,644 and $18,429,
respectively) (Note A-4) 45,417 337,644 18,369
Receivables:
Investment securities sold 3,097 58,696 --
Shares sold 25,537 9,998 --
Interest and dividends 15,570 12,114 47,349
Dividend withholding tax 31 -- 3,068
Investment Advisor 60,477 96,373 84,793
Deferred organizational costs 15,437 15,099 15,090
Variation margin on futures contracts -- 19 --
------------ ----------- -----------
Total Assets 12,419,415 13,109,703 14,506,832
------------ ----------- -----------
Liabilities:
Payables:
Investment securities purchased 593,972 399,107 --
Shares repurchased 29 15 224
Variation margin on futures contracts -- -- 623
Net unrealized depreciation on forward foreign
currency contracts (Note A-3) -- -- 2,377
Accrued expenses and other payables 65,291 93,561 94,547
----------- ----------- -----------
Total Liabilities 659,292 492,683 97,771
----------- ----------- -----------
- -----------
Net Assets $11,760,123 $12,617,020 $14,409,061
=========== =========== ===========
Composition of Net Assets:
Shares at par value $ 1,154 $ 1,200 $ 1,541
Paid-in-capital in excess of par value 11,506,432 12,101,620 15,390,273
Undistributed net investment income 39,940 41,878 55,357
Accumulated net realized gain (loss) on
investments sold, foreign currency
transactions and futures contracts 10,114 88,417 (19,600)
Net unrealized appreciation (depreciation)
of investments, assets and liabilities in foreign
currency and futures contracts 202,483 383,905 (1,018,510)
----------- ----------- -----------
Total Net Assets $11,760,123 $12,617,020 $14,409,061
=========== =========== ===========
Shares of beneficial interest outstanding 1,154,183 1,200,199 1,541,913
Net Asset Value $ 10.19 $ 10.51 $ 9.34
============ =========== ===========
</TABLE>
See Notes to Financial Statements on Page 43
39
<PAGE>
BT Insurance Funds Trust
Statements of Operations For the period ended December 31, 1997
<TABLE>
<CAPTIONS>
Equity 500 Small Cap EAFE Equity
Index (a) Index (a) Index (a)
---------- --------- -----------
<S><C>
Investment Income:
Interest $ 6,064 $ 4,049 $ 17,832
Dividends 41,799 52,275 60,466
Less foreign taxes withheld (2) -- (8,331)
Miscellaneous -- 3,039 --
------- --------- ---------
Total Investment Income 47,861 59,363 69,967
------- --------- ---------
Expenses:
Investment advisory fee (Note E) 5,294 13,629 23,060
Administration fee (Note E) 17,758 25,263 25,701
Fund accounting fees 2,568 13,037 10,787
Custodian fees 10,881 28,129 26,959
Audit fees 22,000 25,000 27,000
Trustees fees 4,597 9,457 12,757
Amortization of organizational costs 800 1,138 1,147
Transfer agent fees 2,008 2,869 2,891
Legal fees 883 1,756 2,361
Printing fees 6,779 7,033 8,326
Miscellaneous 124 176 176
-------- --------- ---------
Total expenses before reimbursement 73,692 127,487 141,165
Less reimbursement by Advisor (65,771) (110,002) (107,853)
-------- --------- ---------
Total expenses net of reimbursement 7,921 17,485 33,312
-------- --------- ---------
Net Investment Income 39,940 41,878 36,655
-------- --------- ---------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on investments sold (7,239) 81,129 4,840
Net realized gain (loss) on futures contracts 17,353 7,288 (24,440)
Net realized gain on foreign currency transactions -- -- 18,702
Net change in unrealized appreciation
(depreciation) on investments and other assets 202,483 383,885 (1,012,021)
Net change in unrealized appreciation
(depreciation) on futures contracts -- 20 (4,053)
Net change in unrealized appreciation
(depreciation) on foreign currency transactions -- -- (2,436)
-------- --------- ---------
Net Realized and Unrealized Gain (Loss)
on Investments 212,597 472,322 (1,019,408)
-------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations $252,537 $ 514,200 $ (982,753)
======== ========= ===========
</TABLE>
____________
(a) Equity 500 Index, Small Cap Index and EAFE Equity Index commenced operations
on 10/1/97, 8/25/97 and 8/22/97, respectively.
See Notes to Financial Statements on Page 43
40
<PAGE>
BT Insurance Funds Trust
Statements of Changes in Net Assets
For the period ended December 31, 1997
<TABLE>
<CAPTIONS>
Equity 500 Small Cap EAFE Equity
Index (a) Index (a) Index (a)
---------- ---------- -----------
<S><C>
Increase (Decrease) in Net Assets
Resulting from Operations:
Net investment income $ 39,940 $ 41,878 $ 36,655
Net realized gain (loss) on investments sold, futures
contracts and foreign currency transactions 10,114 88,417 (898)
Net change in unrealized appreciation (depreciation)
of investments, assets and liabilities
in foreign currency and futures contracts 202,483 383,905 (1,018,510)
----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations 252,537 514,200 (982,753)
----------- ------------ ------------
Share transactions:
Net proceeds from sale of shares 13,196,045 12,189,027 15,424,726
Costs of shares repurchased (1,688,459) (86,207) (32,912)
----------- ----------- -----------
Net increase in net assets from share
transactions 11,507,586 12,102,820 15,391,814
----------- ----------- -----------
Net increase in net assets 11,760,123 12,617,020 14,409,061
----------- ----------- -----------
NET ASSETS at beginning of period $ 0 $ 0 $ 0
NET ASSETS at end of period $11,760,123 $12,617,020 $14,409,061
=========== =========== ===========
Undistributed net investment income $ 39,940 $ 41,878 $ 55,357
=========== =========== ===========
OTHER INFORMATION:
Share transactions:
Sold 1,320,455 1,208,494 1,545,473
Repurchased (166,272) (8,295) (3,560)
=========== =========== ==========
Net increase in shares outstanding 1,154,183 1,200,199 1,541,913
=========== =========== ==========
</TABLE>
____________
(a) Equity 500 Index, Small Cap Index and EAFE Equity Index commenced
operations on 10/1/97, 8/25/97 and 8/22/97, respectively.
See Notes to Financial Statements on Page 43
41
<PAGE>
BT Insurance Funds Trust
Financial Highlights For the period ended December 31, 1997
For a Share Outstanding throughout the period
<TABLE>
<CAPTIONS>
Equity 500 Small Cap EAFE Equity
Index Index Index
Fund (a) Fund (a) Fund (a)
<S><C> ---------- --------- -----------
Net asset value, beginning of period $ 10.00 $ 10.00 $ 10.00
Income from Investment Operations:
Net investment income (b) 0.03 0.03 0.02
Net Realized And Unrealized Gain (Loss)
on investments and futures contracts 0.16 0.48 (0.68)
------- ------- -------
Net increase (decrease) in net asset value
from operations 0.19 0.51 (0.66)
------- ------- -------
Net asset value, end of period $ 10.19 $ 10.51 $ 9.34
======= ======= =======
Total Return (c) 1.90% 5.10% (6.60%)
Ratios / Supplemental Data
Net assets, end of period (in 000s) $11,760 $12,617 $14,409
Ratios to average net assets:
Net investment income including reimbursement (d) 1.51% 1.08% 0.72%
Operating expenses including reimbursement (d) 0.30% 0.45% 0.65%
Operating expenses excluding reimbursement (d) 2.78% 3.27% 2.75%
Portfolio turnover rate 7% 8% 0% (e)
Average commission rate paid $0.0203 $0.0208 $0.0196
</TABLE>
____________
(a) Equity 500 Index, Small Cap Index and EAFE Equity Index commenced
operations on 10/1/97, 8/25/97 and 8/22/97, respectively.
(b) Based on average shares outstanding
(c) Total investment return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and
redemption on the last day of the period. Total return calculated for a
period of less than one year is not annualized.
(d) Annualized
(e) Less than 1%
See Notes to Financial Statements on Page 43
42
<PAGE>
BT Insurance Funds Trust
Notes to Financial Statements December 31, 1997
Note (A) Significant Accounting Policies
The BT Insurance Funds Trust (the "Trust"), is currently comprised of seven
series: Equity 500 Index Fund, Small Cap Index Fund, EAFE Equity Index Fund,
International Equity Fund, Small Cap Fund, U.S. Bond Index Fund, and the Managed
Assets Fund, (each, a "Fund", collectively, the "Funds"). The Trust is an
open-end management investment company which is registered under the Investment
Company Act of 1940 as amended (the "Act"). The Trust was organized as a
Massachusetts business trust on January 19, 1996.
The accompanying financial statements and financial highlights are those of the
Equity 500 Index Fund, the Small Cap Index Fund and the EAFE Equity Index Fund
which commenced operations on October 1, 1997, August 25, 1997 and August 22,
1997, respectively.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results could differ from those estimates. The following is a summary of the
significant accounting policies consistently followed by each Fund in the
preparation of its financial statements. These policies are in conformity with
generally accepted accounting principles.
1. Portfolio Valuation: Investments in securities which are traded on a
recognized stock exchange or for which price quotations are available, will
normally be valued on the basis of market valuations furnished by a pricing
service which has been approved by the Board of Trustees. Short-term obligations
that mature in 60 days or less are valued at amortized cost, which constitutes
fair value. All other securities are appraised at their fair value as determined
in good faith by and under the general supervision of the Board of Trustees.
2. Security Transactions and Investment Income: Security transactions are
accounted for on a trade date basis. Net realized gains or losses on sales of
securities are determined by the identified cost method. Interest income is
recorded on the accrual basis. Dividend income is recorded on the ex-dividend
date.
3. Forward Foreign Currency Exchange Contracts: The EAFE Equity Index Fund may
enter into forward foreign currency exchange contracts. A forward foreign
currency exchange contract is an obligation to purchase or sell a specific
currency at a specified price at a future date. These contracts are used in an
attempt to protect against fluctuations in foreign currency exchange rates that
would adversely affect the portfolio position or an anticipated investment
position. Forward foreign currency exchange contracts are valued at the daily
forward exchange rate of the underlying currency. Purchases and sales of forward
foreign currency exchange contracts having the same settlement date and broker
are offset and presented on a net basis in the Statement of Assets and
Liabilities. Gains or losses on the purchase or sale of forward foreign currency
exchange contracts having the same settlement date and broker are recognized on
the date of offset, otherwise gains or losses are recognized on the settlement
date.
4. Foreign Currency Translation: Assets and liabilities denominated in foreign
currencies and commitments under forward exchange currency contracts are
translated into U.S. dollars at the mean of the quoted bid and asked prices of
such currencies against the U.S. dollar. Purchases and sales of portfolio
securities are translated into U.S. dollars at the rates of exchange prevailing
when such securities were acquired or sold. Income and expenses are translated
into U.S. dollars at rates of exchange prevailing when earned or accrued.
Net foreign exchange gains of $18,702 on the EAFE Equity Index Fund represent
foreign exchange gains and losses from sales and maturities of securities,
holding of foreign currencies, exchange gains or losses realized between the
trade and settlement dates on security transactions, and the difference between
the amounts of interest and dividends recorded on the Funds' books and the U.S.
dollar equivalent of the amounts actually received or paid.
Net currency gains and losses from valuing foreign currency denominated assets
and liabilities at year end exchange rates are reflected as a component of net
unrealized appreciation (depreciation) of investments, assets and liabilities in
foreign currency and futures contracts.
5. Federal Income Taxes: The Funds intend to elect to be treated as "regulated
investment companies" under Sub-chapter M of the Internal Revenue Code and to
distribute substantially all of their respective net taxable income.
Accordingly, no provisions for federal income taxes have been made in the
accompanying financial statements. The Funds intend to utilize provisions of the
federal income tax laws which allow them to carry a realized capital loss
forward for eight years following the year of the loss and offset such losses
against any future realized capital gains. At December 31, 1997, the capital
loss carryforward amounted to $19,581 for the EAFE Equity Index Fund and will
expire December 31, 2005.
6. Expenses: The Trust accounts separately for the assets, liabilities and
operations of each Fund. Expenses directly attributable to a Fund are charged to
the Fund, while the expenses which are attributable to more than one Fund of the
Trust are allocated based upon the relative net assets of each Fund.
7. Organization Costs: The Funds will reimburse Bankers Trust (the "Advisor")
for certain costs incurred in connection with the Funds' organization. The costs
are being amortized on a straight-line basis over five years.
Note (B) Dividends from Net Investment Income and Distributions of Capital
Gains: With respect to the Equity 500 Index, Small Cap Index and EAFE Equity
Index Funds, dividends from net investment income and net realized gains from
investment transactions, if any, are distributed to shareowners annually.
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Income and capital gains distributions are determined in accordance with
federal tax regulations and may differ from those determined in accordance with
generally accepted accounting principles. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
their federal tax
43
<PAGE>
BT Insurance Funds Trust
Notes to Financial Statements (continued)
basis treatment; temporary differences do not require such reclassification.
During the current fiscal year, permanent differences on the EAFE Equity Index
Fund, primarily due to currency transactions, resulted in a net increase in
undistributed net investment income and a corresponding decrease in accumulated
net realized gain (loss) on investments sold, foreign currency transactions and
futures contracts. This reclassification had no effect on net assets.
Distributions from net realized gains for book purposes may involve short-term
capital gains, which are included as ordinary income for tax purposes.
Note (C) Shares of Beneficial Interest: Each Fund is authorized to issue an
unlimited number of shares of beneficial interest with a par value of $0.001 per
share.
Note (D) Investment Transactions: Aggregate purchases and proceeds from sales of
investment securities (other than short-term investments) for the period ended
December 31, 1997 were:
AGGREGATE PROCEEDS FROM
Purchases Sales
------------ -------
Equity 500 Index Fund $11,865,694 $519,716
Small Cap Index Fund 12,336,440 737,931
EAFE Equity Index Fund 15,103,673 55,967
The aggregate gross unrealized appreciation and depreciation, net unrealized
appreciation (depreciation) and cost of securities as computed on a federal
income tax basis, at December 31, 1997 for each Fund is as follows:
Appreciation (Depreciation) Net Cost
------------ -------------- ---------- -----------
Equity 500 Index Fund $ 652,227 $ (468,395) $ 183,832 $12,070,017
Small Cap Index Fund 1,199,477 (816,745) 382,732 12,197,028
EAFE Equity Index Fund 876,825 (1,937,578) (1,060,753) 15,398,916
Note (E) Advisory, Administration and Distribution Services Agreements: Under
the Advisory Agreement with the Advisor, the Funds will pay advisory fees at the
following annual percentage rates of the average daily net assets of each Fund:
0.20% for the Equity 500 Index Fund, 0.35% for the Small Cap Index Fund, and
0.45% for the EAFE Equity Index Fund. These fees are accrued daily and paid
monthly. The Advisor has voluntarily undertaken to waive the fees and to
reimburse the Funds for certain expenses so that the Equity 500 Index Fund,
Small Cap Index Fund and EAFE Equity Index Fund total operating expenses will
not exceed 0.30%, 0.45% and 0.65%, respectively. Such expense reimbursements may
be terminated at the discretion of the Advisor. For the year ended December 31,
1997, the Advisor waived and/or reimbursed expenses of $65,771 for the Equity
500 Index Fund, $110,002 for the Small Cap Index Fund and $107,853 for the EAFE
Equity Index Fund.
First Data Investor Services Group, Inc. ("Investor Services Group") serves
as administrator of the Funds. For services provided as the Funds'
Administrator, Investor Services Group receives the following fees, accrued
daily and paid monthly.
Administration Fees
-----------------------------------------------------
Fee (% of each
Funds' aggregate
daily net assets) Average Daily Net Assets
----------------- ------------------------
0.02% less than $2 billion
0.01% $2 billion but less than $5 billion
0.0075% over $5 billion
Investor Services Group also receives a $70,000 flat fee per year, per Fund,
paid monthly.
The Funds do not compensate its officers or affiliated trustees. Each
independent trustee is paid $1,250 per Board of Trustees meeting attended and a
quarterly retainer of $2,500.
44
<PAGE>
BT Insurance Funds Trust
Report of Ernst & Young LLP, Independent Auditors
To the Shareholders and Board of Trustees
BT Insurance Funds Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of portfolio investments, of the BT Insurance Funds Trust
(comprising, respectively, the Equity 500 Index, Small Cap Index, and EAFE
Equity Index Funds) as of December 31, 1997, and the related statements of
operations and changes in net assets and the financial highlights for each of
the periods indicated therein. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements.
Our procedures included confirmation of securities owned as of December 31,
1997, by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds constituting the BT Insurance Funds Trust at December
31, 1997, and the results of their operations, the changes in their net assets
and the financial highlights for each of the indicated periods, in conformity
with generally accepted accounting principles.
New York, New York
January 30, 1998
45
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<PAGE>
BT INSURANCE FUNDS TRUST
EQUITY 500 INDEX FUND
SMALL CAP INDEX FUND
EAFE EQUITY INDEX FUND
Investment Advisor
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Administrator and Transfer Agent
First Data Investor Services Group, Inc.
1 Exchange Place
53 State Street
Boston, MA 02109
Distributor, Inc.
First Data Distributor, Inc.
4400 Computer Dr.
Westborough, MA 01581
Custodian
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Auditors
Ernst & Young LLP
787 7th Ave.
New York, NY 10019
Counsel
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
____________________
For information on how to invest, shareholder account
information and current price and yield information, please
contact your relationship manager or the BT Mutual Fund
Service Center at (800) 730-1313. This report must be
preceded or accompanied by a current prospectus for the
Fund.
___________________
Equity 500 Index Fund Cusip #05576E607
Small Cap Index Fund Cusip #05576E409
EAFE Equity Index Fund Cusip #00576E508
INS200 (2/98)
