<PAGE> 1
SEMI-ANNUAL
REPORT
JUNE 30, 1998
[AMERICAN AADVANTAGE MILEAGE FUNDS LOGO]
S & P 500 INDEX MILEAGE FUND
P.O. BOX 419643
KANSAS CITY, MISSOURI
64141-6644
(800) 388-3344
MANAGED BY
AMR INVESTMENT SERVICES, INC.
<PAGE> 2
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American AAdvantage S&P 500 Index Mileage Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
Dear Fellow Shareholder:
We are pleased to report to you on the performance of the American AAdvantage
S&P 500 Index Mileage Fund (the "Fund"), and to provide you with a copy of the
semi-annual report for the period March 2, 1998 through June 30, 1998. The
Fund's total return for the period was 8.83%, outperforming the 8.59% return of
the S&P 500 Index and the 8.39% return of the Lipper S&P 500 Average for the
same period.*
MARKET ACTIVITY
As the U.S. economic expansion embarked on its seventh straight year, most of
the major equity market indices posted positive gains for the first half of
1998.
Stocks climbed through the first quarter despite concerns of an imminent market
correction. The S&P 500 Index crossed the 1,000 mark for the first time in
February 1998, and the Dow Jones Industrial Average neared a new milestone
towards the end of March. Despite negative news for technology stocks, stronger
than anticipated earnings expectations for Microsoft helped to carry this sector
to a solid finish for the quarter.
Volatility increased in the second quarter, though the equity indices continued
to reach record highs. Having broken the 8,000 barrier in July 1997, the Dow
Jones Industrial Average hit the 9,000 milestone in early April 1998. The S&P
500 Index continued to climb. Towards the end of April, fears of a tightening by
the Federal Reserve Board sparked a huge drop in the market. But a lower than
expected Employment Cost Index helped stocks rebound on April 30. Equities were
then down again in May, primarily due to volatility in the technology sector.
Stocks rebounded quickly again, as the General Motors strike helped calm
expectations of a Fed tightening at the end of June. Finally, having spent the
greater portion of the second quarter above the 9,000 mark, the Dow Jones lost
steam and finished off the semi-annual period below that point based largely on
warnings about corporate profits. The Federal Reserve Board remained on hold
throughout.
<TABLE>
<CAPTION>
TEN LARGEST STOCK HOLDINGS
<S> <C>
General Electric Co. Pfizer, Inc.
Microsoft Corp. Wal-Mart Stores, Inc.
Coca Cola Co. Intel Corp.
Exxon Corp. Procter & Gamble Co.
Merck & Company, Inc. Royal Dutch Petroleum Co.
</TABLE>
Overall, large capitalization stocks significantly outperformed small cap stocks
and mid cap stocks for the semi-annual period. In contrast to the previous
period, growth stocks outperformed value stocks within the large cap sector
throughout these six months. Technology, consumer cyclical, and health care were
the leading groups for the period. The weakest performing sectors included basic
materials, utilities, and transportation, all of which still produced positive
returns.
MANAGER OUTLOOK
With the Federal Reserve Board on hold, stable interest rates should provide
some support for U.S. equities. However there are a few long-term factors that
may impact the market.
* Stocks face the prospect of more moderate earnings growth, as the economy
inevitably slows from its first quarter GDP growth rate of more than 5% and
as rising labor costs squeeze corporate profit margins.
* Financial turmoil in Asia and questions about Japan getting its economy
back on track will continue to dominate financial markets around the globe.
* Once the perception of the Asian crisis shifts to a more positive note, the
U.S. stock market could face tougher sledding, as investors begin to weigh
the likelihood of a shift to tighter monetary policy by the Federal Reserve
Board.
Still, for the near term, solid growth, low inflation, and accommodative
interest rates should continue to form an almost ideal backdrop for the U.S.
equity markets.
Of course, it is important to reiterate that as an index fund, designed to
replicate the broad diversification and returns of the S&P 500 Index, we neither
evaluate short-term fluctuations in the Fund's performance nor manage according
to a given outlook for the equity markets or the economy in general. Still, we
will continue monitoring economic conditions and how they affect the financial
markets, as we seek to closely track the performance of the stock market.
As always, we appreciate your ongoing support of the American AAdvantage S&P 500
Index Mileage Fund, and we look forward to continuing to serve your investment
needs for many years to come.
Sincerely,
/s/ WILLIAM F. QUINN
- -------------------------------------
William F. Quinn
President
American AAdvantage Mileage Funds
* 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.
<PAGE> 3
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American AAdvantage S&P 500 Index Mileage Fund
STATEMENT OF ASSETS AND LIABILITIES June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investment in the BT Equity 500 Index Portfolio, at Value ................ $ 516,791
Receivable for Expense Reimbursement (Note2) ............................. 14,510
Deferred Organization Costs .............................................. 187
------------
Total Assets ................................................................. 531,488
------------
LIABILITIES
Accrued organization costs ............................................... 1,502
Administrative service fees payable (Note 2) ............................. 157
Other liabilities ........................................................ 13,529
------------
Total Liabilities ............................................................ 15,188
------------
NET Assets ................................................................... $ 516,300
============
COMPOSITION OF NET ASSETS
Paid-in Capital .......................................................... $ 500,610
Undistributed Net Investment Income ...................................... 1,017
Accumulated Net Realized Gain from Investments and Futures Transactions .. 1,877
Net Unrealized Appreciation on Investments and Futures Contracts ......... 12,796
------------
NET Assets ................................................................... $ 516,300
============
SHARES OUTSTANDING (no par value) ............................................ 47,554
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER Share ..................... $ 10.86
============
</TABLE>
================================================================================
STATEMENT OF OPERATIONS For the period March 2, to June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income Allocated from the BT Equity 500 Index Portfolio, net ............. 1,587
EXPENSES
Administrative Service Fees .............................................. 157
Transfer Agency Fees ..................................................... 82
Registration Fees ........................................................ 31
Professional Fees ........................................................ 2,630
Other Expenses ........................................................... 12,102
------------
Total Expenses ........................................................... 15,002
Less: Expenses Absorbed by AMR Investment Services, Inc. ................ (14,510)
------------
Net Expenses ........................................................ 492
------------
NET INVESTMENT Income ........................................................ 1,095
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ........................... 2,240
Net Realized Gain from Futures Transactions .............................. (363)
Net Change in Unrealized Appreciation on Investments and Futures Contracts 12,796
------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS ........ 14,673
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................................... $ 15,768
============
</TABLE>
See Notes to Financial Statements
2
<PAGE> 4
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American AAdvantage S&P 500 Index Mileage Fund
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARCH 2, TO
JUNE 30, 1998+
-------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
<S> <C>
Net Investment Income ........................................................... $ 1,095
Net Realized Gain from Investments and Futures Transactions ..................... 1,877
Net Change in Unrealized Appreciation on Investments and Futures Contracts ...... 12,796
------------
Net Increase in Net Assets from Operations .......................................... 15,768
------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ........................................................... (78)
------------
Total Distributions ................................................................. (78)
------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ................................................... 533,102
Dividend Reinvestments .......................................................... 78
Cost of Shares Redeemed ......................................................... (32,570)
------------
Net Increase from Capital Transactions in Shares of Beneficial Interest ............. 500,610
------------
TOTAL INCREASE IN NET Assets ........................................................ 516,300
NET ASSETS
Beginning of Period ................................................................. --
End of Period (including undistributed net investment income of $1,017) ............. $ 516,300
============
</TABLE>
- ------------
+Unaudited
See Notes to Financial Statements
3
<PAGE> 5
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American AAdvantage S&P 500 Index Mileage Fund
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the
American AAdvantage S&P 500 Index Mileage Fund.
<TABLE>
<CAPTION>
MARCH 2, TO
JUNE 30, 1998+
-------------
<S> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD .......................................................... $ 10.00
------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ..................................................................... 0.06
Net Realized and Unrealized Gain on Investments and Futures Transactions .................. 0.80
------------
Total from Investment Operations .............................................................. 0.86
------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ..................................................................... --
Net Realized Gain from Investments and Futures Transactions ............................... --
------------
Total Distributions ....................................................................... --
------------
NET ASSET VALUE, END OF PERIOD ................................................................ $ 10.86
============
TOTAL INVESTMENT RETURN ....................................................................... 8.83%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .................................................. $ 516
Ratios to Average Net Assets:
Net Investment Income .............................................................. 1.05% *
Expenses, including expenses of the BT Equity 500 Index Portfolio .................. 0.57% *
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust and AMR Investment Services, Inc. ....... 13.92% *
</TABLE>
- --------------
+ Unaudited
* Annualized
See Notes to Financial Statements
4
<PAGE> 6
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American AAdvantage S&P 500 Index Mileage Fund
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
NOTE 1-ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
American AAdvantage Mileage Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940 (the
"Act"), as amended, as a no load, open-end management investment company. The
American AAdvantage S&P 500 Index Mileage Fund (the "Fund") is one of the nine
funds offered under the Trust and commenced active operations on March 1, 1998.
The Fund invests all of its investable assets in the BT Investment Equity 500
Index Fund (the "Portfolio"). The Portfolio is an open-end management investment
company registered under the Act. The value of such investment in the Portfolio
reflects the Fund's proportionate interest in the net assets of the Portfolio.
At June 30, 1998, the Fund's investment was 0.08% of the Portfolio.
These financial statements relate to the Fund. The financial statements of the
Portfolio are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
AMR Investment Services, Inc. (the "Manager") is a wholly-owned subsidiary of
AMR Corporation, the parent company of American Airlines, Inc. ("American"), and
was organized in 1986 to provide business management, advisory, administrative
and asset management consulting services to the Trust and other investors.
B. Valuation of Investments
Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. Investment Income
The Fund records its share of net investment income and realized and unrealized
gains and losses from the security transactions of the Portfolio each day. All
net investment income and realized and unrealized gain (loss) of the Portfolio
are allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. Dividends
Dividends from net investment income of the Fund normally will be declared and
paid quarterly. Distributions of net realized capital gains earned by the Fund,
if any, will be paid annually.
Dividends are determined in accordance with income tax principles which may
treat certain transactions differently than generally accepted accounting
principles.
E. Federal Income and Excise Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies, and to distribute
substantially all net investment income as well as any net realized capital
gains on the sale of investments. Therefore, no federal income or excise tax
provision is required.
F. Deferred Organization Expenses
Expenses incurred by the Fund in connection with its organization are being
amortized on a straight-line basis over a five-year period.
G. Expenses
Expenses directly attributable to the Fund are charged to the Fund's operations.
Expenses incurred by the Trust with respect to any two of more of the Funds are
allocated in proportion to the net assets of each Fund, except where allocations
of direct expenses to each Fund can otherwise be made fairly. Each share of each
Fund bears equally those expenses that are allocated to the Fund as a whole.
H. Valuation of Shares
The price per share is calculated on each day on which shares are offered for
sale and orders accepted or upon receipt of a redemption request. Net asset
value per share is computed by dividing the value of the Fund's total assets
(which includes the value of the Fund's investment in the Portfolio), less
liabilities, by the number of Fund shares outstanding.
NOTE 2-FEES AND TRANSACTIONS WITH AFFILIATES
A. Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement
which obligates the Manager to provide or oversee administrative and management
services to the Fund. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager receives an annualized fee of
.05% of the Fund's average daily net assets.
B. Other
Certain officers or trustees of the Trust are also officers of the Manager or
American. The Trust makes no direct payments to its officers. Unaffiliated
trustees and their spouses are provided unlimited air transportation on
American. However, the Trust compensates each Trustee with payments in an amount
equal to the Trustee's income tax on the value of this free airline travel.
For the six months ended June 30, 1998, the cost of air transportation was not
material to any of the Funds.
5
<PAGE> 7
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American AAdvantage S&P 500 Index Mileage Fund
NOTES TO FINANCIAL STATEMENTS (unaudited)(continued)
- --------------------------------------------------------------------------------
C. Reimbursement of Expenses
For the six months ended June 30, 1998, the Manager reimbursed expenses totaling
$14,510 to the Fund.
NOTE 3-SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
For the six months
ended
June 30, 1998
-------------
Shares Amount
------------ ------------
<S> <C> <C>
Sold ............................................. 50,551 $ 533,102
Reinvested ....................................... 7 78
Redeemed ......................................... (3,004) (32,570)
============ ============
Net increase ..................................... 47,554 $ 500,610
============ ============
</TABLE>
6
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7
<PAGE> 9
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8
<PAGE> 10
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMMON STOCKS - 97.74%
ADVERTISING - 0.09%
75,000 Omnicom Group, Inc. ..................... $ 3,740,625
-------------
AEROSPACE - 1.44%
450,246 Boeing Co. .............................. 20,064,087
55,444 General Dynamics Corp. .................. 2,578,146
87,245 Lockheed Martin Corp. ................... 9,237,064
29,779 Northrop Grumman Corp. .................. 3,070,959
158,414 Raytheon Co. - Class B .................. 9,366,228
89,124 Rockwell International Corp. ............ 4,283,522
106,312 United Technologies Corp. ............... 9,833,860
-------------
58,433,866
-------------
AIRLINES - 0.43%
80,104 AMR Corp. * .............................. 6,668,658
35,049 Delta Air Lines, Inc. .................... 4,530,083
97,800 Southwest Airlines Co. ................... 2,897,325
41,915 U.S. Air, Inc. * ......................... 3,321,764
-------------
17,417,830
-------------
APPAREL, TEXTILES - 0.35%
101,814 Corning Inc. ............................. 3,538,036
30,200 Fruit of the Loom, Inc. - Class A * ...... 1,002,262
28,903 Liz Claiborne, Inc. ...................... 1,510,182
84,948 Nike, Inc.- Class B ...................... 4,135,906
21,129 Reebok International Ltd. * .............. 585,009
15,811 Russell Corp. ............................ 477,295
5,504 Springs Industries, Inc. - Class A ....... 253,872
53,330 V.F. Corp. ............................... 2,746,495
-------------
14,249,057
-------------
AUTO RELATED - 2.03%
66,900 AutoZone, Inc. * ......................... 2,136,619
292,302 Chrysler Corp. ........................... 16,478,525
18,634 Cummins Engine Co., Inc. ................. 954,992
53,774 Dana Corp. ............................... 2,876,909
31,282 Eaton Corp. .............................. 2,432,176
29,244 Echlin, Inc. ............................. 1,434,784
503,864 Ford Motor Co. ........................... 29,727,976
292,984 General Motors Corp. ..................... 19,574,993
73,726 Genuine Parts Co. ........................ 2,548,155
1 Meritor Automotive, Inc. ................. 24
34,180 PACCAR Inc. .............................. 1,785,905
46,414 Parker Hannifin Corp. .................... 1,769,534
24,196 Timken Co. ............................... 745,539
-------------
82,466,131
-------------
BANKS - 8.12%
48,834 Ahmanson (H.F.) & Co. .................... 3,467,214
319,507 Banc One Corp. ........................... 17,832,484
172,100 Bank of New York Company, Inc. ........... 10,444,319
308,672 BankAmerica Corp. ........................ 26,680,836
137,134 BankBoston Corp. ......................... 7,628,079
55,600 BB&T Corp. ............................... 3,759,950
373,604 Chase Manhattan Corp. .................... 28,207,102
198,966 Citicorp ................................. 29,695,676
73,300 Comerica, Inc. ........................... 4,856,125
110,825 Fifth Third Bancorp ...................... 6,981,975
133,136 First Chicago NBD Corp. .................. 11,799,177
438,453 First Union Corp. ........................ 25,539,887
18,917 Golden West Financial Corp. .............. 2,011,114
73,700 Huntington Bancshares, Inc. .............. 2,468,950
208,000 KeyCorp .................................. 7,410,000
118,924 Mellon Bank Corp. ........................ 8,280,084
58,900 Mercantile Bancorp, Inc. ................. 2,967,087
82,560 Morgan (J.P.) & Company, Inc. ............ 9,669,840
150,200 National City Corp. ...................... 10,664,200
432,103 NationsBank Corp. ........................ 33,055,880
53,800 Northern Trust Corp. ..................... 4,102,250
349,016 Norwest Corp. ............................ 13,044,473
47,400 Republic New York Corp. .................. 2,983,237
86,600 Summit Bancorp ........................... 4,113,500
97,460 SunTrust Banks, Inc. ..................... 7,924,716
325,897 U.S. Bancorp ............................. 14,013,571
91,500 Wachovia Corp. ........................... 7,731,750
175,577 Washington Mutual, Inc. .................. 7,626,626
38,770 Wells Fargo & Co. ........................ 14,306,130
-------------
329,266,232
-------------
BEVERAGES - 3.45%
216,180 Anheuser-Busch Companies, Inc. ........... 10,200,994
17,719 Brown-Forman, Inc. - Class B ............. 1,138,446
1,094,322 Coca-Cola Co. ............................ 93,564,531
15,768 Coors (Adolph) Co. - Class B ............. 536,112
672,194 PepsiCo, Inc. ............................ 27,685,990
162,537 Seagram Ltd. ............................. 6,653,858
-------------
139,779,931
-------------
BUILDING AND CONSTRUCTION - 0.93%
17,483 Armstrong World Industries, Inc. ......... 1,177,917
28,080 Centex Corp. ............................. 1,060,020
19,966 Crane Co. ................................ 969,599
8,506 Fleetwood Enterprises, Inc. .............. 340,240
327,726 Home Depot, Inc. ......................... 27,221,741
74,411 Masco Corp. .............................. 4,501,866
22,350 Owens Corning ............................ 912,159
38,530 Stanley Works ............................ 1,601,403
-------------
37,784,945
-------------
BUILDING, FOREST PRODUCTS - 0.33%
24,003 Boise Cascade Corp. ...................... 786,097
46,128 Champion International Corp. ............. 2,268,921
41,801 Georgia-Pacific Corp. .................... 2,463,646
34,654 Johnson Controls, Inc. ................... 1,981,776
17,145 Kaufman & Broad Home Corp. ............... 544,354
46,658 Louisiana-Pacific Corp. .................. 851,509
13,101 Potlatch Corp. ........................... 550,242
87,294 Weyerhaeuser Co. ......................... 4,031,892
-------------
13,478,437
-------------
</TABLE>
See Notes to Financial Statements on Page 17
9
<PAGE> 11
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
CHEMICALS AND TOXIC WASTE - 2.44%
102,708 Air Products & Chemical, Inc. ............... $ 4,108,320
118,040 Amgen, Inc. * ............................... 7,716,865
104,676 Dow Chemical Co. ............................ 10,120,861
499,692 Du Pont (E.I.) de Nemours & Co. ............. 37,289,516
32,581 Eastman Chemical Co. ........................ 2,028,167
17,350 FMC Corp. * ................................. 1,183,053
34,949 Grace (W. R.) & Co. * ....................... 596,317
25,796 Great Lakes Chemical Corp. .................. 1,017,330
42,014 Hercules, Inc. .............................. 1,727,826
32,702 Mallinckrodt, Inc. .......................... 970,841
272,620 Monsanto Co. ................................ 15,232,643
64,306 Morton International, Inc. .................. 1,607,650
16,325 Nalco Chemical Co. .......................... 766,603
79,342 PPG Industries, Inc. ........................ 5,519,227
42,576 Raychem Corp. ............................... 1,258,653
26,059 Rohm & Haas Co. ............................. 2,708,507
44,200 Sigma-Aldrich Corp. ......................... 1,552,525
67,152 Union Carbide Corp. ......................... 3,584,238
-------------
98,989,142
-------------
COMPUTER SERVICES - 1.60%
154,100 3Com Corp. * ................................ 4,728,944
33,100 Adobe Systems, Inc. ......................... 1,404,681
128,512 Automatic Data Processing, Inc. ............. 9,365,312
68,400 Cabletron Systems, Inc. * ................... 919,125
363,234 Cendant Corp. * ............................. 7,582,510
283,400 Dell Computer Corp. * ....................... 26,303,063
226,000 EMC Corp. * ................................. 10,127,625
128,400 Parametric Technology Co.* .................. 3,482,850
83,515 Silicon Graphics, Inc. * .................... 1,012,619
-------------
64,926,729
-------------
COMPUTER SOFTWARE - 4.63%
463,950 Cisco Systems, Inc. * ....................... 42,712,397
240,675 Computer Associates International, Inc. ..... 13,372,505
1,090,000 Microsoft Corp. * ........................... 118,128,750
442,256 Oracle Corp. * .............................. 10,862,913
106,500 Seagate Technology, Inc. * .................. 2,536,031
-------------
187,612,596
-------------
CONTAINERS - 0.29%
44,230 Avery Dennison Corp. ........................ 2,377,363
7,854 Ball Corp. .................................. 315,632
58,950 Crown Cork & Seal Company, Inc. ............. 2,800,125
65,200 Owens-Illinois, Inc. * ...................... 2,917,700
36,505 Sealed Air Corp. * .......................... 1,341,559
39,849 Stone Container Corp. ....................... 622,641
24,922 Temple-Inland, Inc. ......................... 1,342,672
-------------
11,717,692
-------------
COSMETICS AND TOILETRIES - 0.87%
8,898 Alberto-Culver Co. - Class B ................ 258,042
63,728 Avon Products, Inc. ......................... 4,938,920
491,916 Gillette Co. ................................ 27,885,488
53,887 International Flavors & Fragrances, Inc. .... 2,340,717
-------------
35,423,167
-------------
DIVERSIFIED - 0.85%
76,169 Allegheny Teledyne Inc. ..................... 1,742,366
31,702 Ceridian Corp. * ............................ 1,862,493
49,400 Loews Corp. ................................. 4,303,975
181,578 Minnesota Mining & Manufacturing Co. ........ 14,923,442
3,527 NACCO Industries, Inc. - Class A ............ 455,865
54,464 Pall Corp. .................................. 1,116,512
72,815 Praxair, Inc. ............................... 3,408,652
31,220 SUPERVALU, Inc. ............................. 1,385,387
59,706 Textron, Inc. ............................... 5,140,424
-------------
34,339,116
-------------
DRUGS - 7.44%
579,232 American Home Products Corp. ................ 29,975,256
446,378 Bristol-Myers Squibb Co. .................... 51,305,571
496,640 Lilly (Eli) & Co. ........................... 32,809,280
527,197 Merck & Company, Inc. ....................... 70,512,599
576,608 Pfizer, Inc. ................................ 62,670,082
321,216 Schering-Plough Corp. ....................... 29,431,416
359,158 Warner-Lambert Co. .......................... 24,916,586
-------------
301,620,790
-------------
ELECTRICAL EQUIPMENT - 4.45%
1,440,444 General Electric Co. ........................ 131,080,404
23,072 General Signal Corp. ........................ 830,592
40,530 Grainger (W.W.), Inc. ....................... 2,018,901
466,940 Hewlett-Packard Co. ......................... 27,958,032
51,223 ITT Industries, Inc. ........................ 1,914,460
264,264 Tyco International Ltd. ..................... 16,648,632
-------------
180,451,021
-------------
ELECTRONICS - 3.47.%
55,041 Advanced Micro Devices, Inc.* ............... 939,137
12,327 Aeroquip-Vickers, Inc. ...................... 719,589
248,212 AlliedSignal, Inc. .......................... 11,014,407
104,173 AMP, Inc. ................................... 3,580,947
162,600 Applied Materials, Inc. * ................... 4,796,700
193,800 Emerson Electric Co. ........................ 11,700,675
34,942 Harris Corp. ................................ 1,561,471
748,928 Intel Corp. ................................. 55,514,288
35,400 KLA Instruments Corp. * ..................... 980,138
57,500 LSI Logic Corp. * ........................... 1,326,094
93,500 Micron Technology, Inc. * ................... 2,319,969
261,742 Motorola, Inc. .............................. 13,757,814
75,626 National Semiconductor Corp. * .............. 997,317
225,402 Northern Telecom Ltd. ....................... 12,791,564
22,625 Perkin-Elmer Corp. .......................... 1,406,992
35,638 Scientific-Atlanta, Inc. .................... 904,314
22,307 Tektronix, Inc. ............................. 789,110
173,656 Texas Instruments, Inc. ..................... 10,126,316
64,400 Thermo Electron Corp. * ..................... 2,201,675
21,100 Thomas & Betts Corp. ........................ 1,039,175
25,859 Western Atlas, Inc. * ....................... 2,194,782
-------------
140,662,474
-------------
</TABLE>
See Notes to Financial Statements on Page 17
10
<PAGE> 12
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
ENVIRONMENTAL CONTROL - 0.28%
80,635 Browning-Ferris Industries, Inc. ............. $ 2,802,066
115,600 Laidlaw, Inc. - Class B ...................... 1,408,875
200,358 Waste Management, Inc. ....................... 7,012,530
-------------
11,223,471
-------------
FINANCIAL SERVICES - 5.85%
200,966 American Express Co. ......................... 22,910,124
158,061 Associates First Capital Corp. - Class A ..... 12,150,939
48,400 Bear Stearns Companies, Inc. ................. 2,752,750
26,352 Beneficial Corp. ............................. 4,036,797
27,800 Capital One Financial Corp. .................. 3,452,413
116,900 Charles Schwab Corp. ......................... 3,799,250
73,200 Cincinnati Financial Corp. ................... 2,809,050
50,500 Countrywide Credit Industries ................ 2,562,875
66,700 Equifax ...................................... 2,422,044
462,864 Fannie Mae ................................... 28,118,987
196,100 First Data Corp. ............................. 6,532,581
131,844 Fleet Financial Group, Inc. .................. 11,008,974
110,700 Franklin Resources, Inc. ..................... 5,977,800
298,824 Freddie Mac .................................. 14,063,405
60,600 Green Tree Financial Corp. ................... 2,594,438
53,723 Hartford Financial Services Group ............ 6,144,568
150,274 Household International, Inc. ................ 7,476,132
52,200 Lehman Brothers Holdings Inc. ................ 4,048,762
220,225 MBNA Corp. ................................... 7,267,425
151,476 Merrill Lynch & Co., Inc. .................... 13,973,661
260,393 Morgan Stanley, Dean Witter,
Discover & Co. ............................... 23,793,410
138,433 PNC Banc Corp. ............................... 7,449,426
71,800 SLM Holding Corp. ............................ 3,518,200
67,800 State Street Corp. ........................... 4,712,100
103,650 Synovus Financial Corp. ...................... 2,461,688
509,821 Travelers Group, Inc. ........................ 30,907,898
-------------
236,945,697
-------------
FOOD SERVICES/LODGING - 0.63%
62,419 Darden Restaurants, Inc. ..................... 990,902
308,214 McDonald's Corp. ............................. 21,266,765
67,099 Tricon Global Restaurants, Inc. * ............ 2,126,200
56,562 Wendy's International, Inc. .................. 1,329,207
-------------
25,713,074
-------------
FOODS - 2.67%
269,417 Archer-Daniels-Midland Co. ................. 5,219,954
126,760 Bestfoods .................................. 7,360,003
198,854 Campbell Soup Co. .......................... 10,564,119
210,932 ConAgra, Inc. .............................. 6,683,908
76,319 General Mills, Inc. ........................ 5,218,312
160,075 Heinz (H.J.) Co. ........................... 8,984,209
49,594 Hershey Foods Corp. ........................ 3,421,986
169,714 Kellogg Co. ................................ 6,374,882
99,420 Pioneer Hi-Bred International, Inc. ........ 4,113,503
63,484 Quaker Oats Co. ............................ 3,487,652
47,805 Ralston-Purina Group ....................... 5,584,222
206,687 Sara Lee Corp. ............................. 11,561,554
148,020 Sysco Corp. ................................ 3,793,012
277,768 Unilever N.V. .............................. 21,926,312
40,592 Wrigley (WM) Jr. Co. ....................... 3,978,016
-------------
108,271,644
-------------
FOREST PRODUCTS AND PAPER - 0.03%
42,900 Willamette Industries, Inc. ................ 1,372,800
-------------
HEALTHCARE - 0.89%
686,344 Abbott Laboratories ........................ 28,054,311
272,822 Columbia/HCA Healthcare Corp. .............. 7,945,941
-------------
36,000,252
-------------
HOSPITAL SUPPLIES AND HEALTHCARE - 2.97%
27,501 Allergan, Inc. ............................. 1,275,359
40,234 Alza Corp. * ............................... 1,740,121
25,277 Bard (C.R.), Inc. .......................... 962,106
24,323 Bausch & Lomb, Inc. ........................ 1,219,190
124,863 Baxter International Inc. .................. 6,719,190
53,932 Becton, Dickinson & Co. .................... 4,186,472
52,050 Biomet, Inc. ............................... 1,720,903
86,400 Boston Scientific Corp. * .................. 6,188,400
52,800 Cardinal Health, Inc. ...................... 4,950,000
68,200 Guidant Corp. .............................. 4,863,513
199,500 HBO & Co. .................................. 7,032,375
171,900 HEALTHSOUTH Corp. * ........................ 4,587,581
81,900 Humana, Inc. * ............................. 2,554,256
603,296 Johnson & Johnson .......................... 44,493,080
23,660 Manor Care, Inc. ........................... 909,431
214,304 Medtronic, Inc. ............................ 13,661,880
10,774 Shared Medical Systems Corp. ............... 791,216
36,688 St. Jude Medical, Inc. * ................... 1,350,577
134,510 Tenet Healthcare Corp. * ................... 4,203,437
86,400 United Healthcare Corp. .................... 5,486,400
27,848 U.S. Surgical Corp. ........................ 1,270,565
-------------
120,166,052
-------------
HOTEL/MOTEL - 0.16%
112,041 Hilton Hotels Corp. ........................ 3,193,169
104,980 Marriott International, Inc. ............... 3,398,727
-------------
6,591,896
-------------
HOUSEHOLD FURNISHINGS - 0.20%
44,612 Maytag Corp. ............................... 2,202,717
69,858 Newell Co. ................................. 3,479,802
32,739 Whirlpool Corp. ............................ 2,250,806
-------------
7,933,325
-------------
HOUSEHOLD PRODUCTS - 1.82%
50,604 Clorox Co. ................................. 4,826,357
129,602 Colgate-Palmolive Co. ...................... 11,404,976
593,640 Procter & Gamble Co. ....................... 54,058,342
76,702 Rubbermaid, Inc. ........................... 2,545,548
26,796 Tupperware Corp. ........................... 753,637
-------------
73,588,860
-------------
</TABLE>
See Notes to Financial Statements on Page 17
11
<PAGE> 13
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
INSURANCE - 3.74%
63,759 Aetna, Inc. ...................................... $ 4,853,654
192,150 Allstate Corp. ................................... 17,593,734
111,037 American General Corp. ........................... 7,904,446
306,900 American International Group, Inc. ............... 44,807,400
73,950 Aon Corp. ........................................ 5,194,988
73,672 Chubb Corp. ...................................... 5,921,387
96,799 CIGNA Corp. ...................................... 6,679,131
82,000 Conseco, Inc. .................................... 3,833,500
33,778 General Re Corp. ................................. 8,562,723
46,865 Jefferson-Pilot Corp. ............................ 2,715,241
43,910 Lincoln National Corp. ........................... 4,012,276
112,986 Marsh & McLennan Companies, Inc. ................. 6,828,591
39,200 MBIA, Inc. ....................................... 2,935,100
56,700 MGIC Investment Corp. ............................ 3,235,444
31,900 Progressive Corp. ................................ 4,497,900
44,098 Providian Financial .............................. 3,464,449
73,002 SAFECO Corp. ..................................... 3,317,028
103,928 St. Paul Companies, Inc. ......................... 4,371,472
78,400 SunAmerica, Inc. ................................. 4,503,100
62,168 Torchmark Corp. .................................. 2,844,186
60,500 UNUM Corp. ....................................... 3,357,750
-------------
151,433,500
-------------
LEISURE RELATED - 1.40%
37,414 American Greetings Corp. - Class A ............... 1,905,776
46,542 Brunswick Corp. .................................. 1,151,915
321,810 CBS Corp. ........................................ 10,217,467
299,557 Disney (Walt) Co. ................................ 31,472,207
22,339 Harcourt General, Inc. ........................... 1,329,171
46,015 Harrah's Entertainment, Inc. * ................... 1,069,849
58,087 Hasbro, Inc. ..................................... 2,283,545
7,539 Jostens, Inc. .................................... 181,877
128,565 Mattel, Inc. ..................................... 5,439,907
79,100 Mirage Resorts, Inc. * ........................... 1,685,819
-------------
56,737,533
-------------
MACHINERY - 1.13%
41,671 Black & Decker Corp. ............................. 2,541,931
11,982 Briggs & Stratton Corp. .......................... 448,576
32,900 Case Corp. ....................................... 1,587,425
168,064 Caterpillar Inc. ................................. 8,886,384
13,447 Cincinnati Milacron, Inc. ........................ 326,930
52,948 Cooper Industries, Inc. .......................... 2,908,831
116,623 Deere & Co. ...................................... 6,166,441
97,708 Dover Corp. ...................................... 3,346,499
77,182 Dresser Industries, Inc. ......................... 3,400,832
19,322 Harnischfeger Industries, Inc. ................... 547,054
109,692 Illinois Tool Works, Inc. ........................ 7,315,085
72,796 Ingersoll-Rand Co. ............................... 3,207,574
19,292 Millipore Corp. .................................. 525,707
22,558 Navistar International Corp. * ................... 651,362
30,594 Snap-On, Inc. .................................... 1,109,033
53,672 TRW Inc. ......................................... 2,931,833
-------------
45,901,497
-------------
MARKETING - 0.00%
1 ACNielsen Corp. * ................................ $ 25
-------------
METALS - 0.66%
82,336 Alcan Aluminium Ltd. ............................. 2,274,532
71,700 Aluminum Company of America ...................... 4,727,719
59,635 Armco, Inc. * .................................... 380,173
20,049 Asarco, Inc. ..................................... 446,090
165,500 Barrick Gold Corp. ............................... 3,175,531
58,100 Battle Mountain Gold Co. ......................... 344,969
56,249 Bethlehem Steel Corp. * .......................... 699,597
43,894 Cyprus Amax Minerals Co. ......................... 581,596
62,308 Engelhard Corp. .................................. 1,261,737
58,700 Freeport-McMoRan Copper &
Gold, Inc. - Class B ............................. 891,506
92,443 Homestake Mining Co. ............................. 959,096
73,766 Inco Ltd. ........................................ 1,005,062
68,610 Newmont Mining Corp. ............................. 1,620,911
36,494 Nucor Corp. ...................................... 1,678,724
25,908 Phelps Dodge Corp. ............................... 1,481,614
104,304 Placer Dome, Inc. ................................ 1,225,572
34,149 Reynolds Metals Co. .............................. 1,910,210
46,677 USX-U.S. Steel Group, Inc. ....................... 1,540,341
30,679 Worthington Industries, Inc. ..................... 462,102
-------------
26,667,082
-------------
MISCELLANEOUS - 0.12%
77,979 Cognizant Corp. .................................. 4,912,677
-------------
OFFICE EQUIPMENT AND COMPUTERS - 2.94%
58,542 Apple Computer, Inc. * ........................... 1,679,424
26,914 Autodesk, Inc. ................................... 1,039,553
724,384 Compaq Computer Corp. ............................ 20,554,396
71,572 Computer Sciences Corp. .......................... 4,580,608
21,045 Data General Corp. * ............................. 314,360
68,600 Gateway 2000, Inc. * ............................. 3,472,875
60,719 Honeywell, Inc. .................................. 5,073,831
60,462 Ikon Office Solutions, Inc. ...................... 880,478
414,782 International Business Machines Corp. ............ 47,622,158
24,579 Moore Corp. Ltd. ................................. 325,672
172,792 Novell, Inc. * ................................... 2,203,098
120,196 Pitney Bowes, Inc. ............................... 5,784,433
170,256 Sun Microsystems, Inc. * ......................... 7,395,495
110,399 Unisys Corp. * ................................... 3,118,772
149,735 Xerox Corp. ...................................... 15,216,819
-------------
119,261,972
-------------
OIL RELATED - 7.28%
43,393 Amerada Hess Corp. ............................... 2,356,782
420,104 Amoco Corp. ...................................... 17,486,829
26,500 Anadarko Petroleum ............................... 1,780,469
43,600 Apache Corp. ..................................... 1,373,400
24,587 Ashland Inc. ..................................... 1,269,304
140,450 Atlantic Richfield Co. ........................... 10,972,656
70,944 Baker Hughes, Inc. ............................... 2,452,002
79,839 Burlington Resources, Inc. ....................... 3,438,067
</TABLE>
See Notes to Financial Statements on Page 17
12
<PAGE> 14
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
286,366 Chevron Corp. ............................... $ 23,786,276
1,078,714 Exxon Corp. ................................. 76,925,792
34,381 Fluor Corp. ................................. 1,753,431
25,538 Foster Wheeler Corp. ........................ 547,471
124,280 Halliburton Co. ............................. 5,538,228
27,416 Helmerich & Payne, Inc. ..................... 610,006
20,832 Kerr-McGee Corp. ............................ 1,205,652
25,387 McDermott International, Inc. ............... 874,265
345,742 Mobil Corp. ................................. 26,492,481
160,214 Occidental Petroleum Corp. .................. 4,325,778
47,397 Oryx Energy Co. * ........................... 1,048,260
20,954 Pennzoil Co. ................................ 1,060,796
114,406 Phillips Petroleum Co. ...................... 5,512,939
38,300 Rowan Companies, Inc. * ..................... 744,455
961,504 Royal Dutch Petroleum Co. ................... 52,702,438
218,862 Schlumberger Ltd. ........................... 14,951,010
35,145 Sun Co, Inc. ................................ 1,364,065
79,034 Tenneco, Inc. ............................... 3,008,232
249,322 Texaco, Inc. ................................ 14,881,407
117,848 Union Pacific Resources Group Inc. .......... 2,069,706
109,337 Unocal Corp. ................................ 3,908,798
126,764 USX-Marathon Group .......................... 4,349,590
188,636 Williams Companies, Inc. .................... 6,366,465
-------------
295,157,050
-------------
PAPER - 0.66%
15,631 Bemis Company, Inc. ......................... 638,917
95,035 Fort James Corp. ............................ 4,229,058
134,944 International Paper Co. ..................... 5,802,592
256,430 Kimberly-Clark Corp. ........................ 11,763,726
50,702 Mead Corp. .................................. 1,609,789
32,103 Union Camp Corp. ............................ 1,593,111
39,160 Westvaco Corp. .............................. 1,106,270
-------------
26,743,463
-------------
PHARMACEUTICALS - 0.27%
233,532 Pharmacia & Upjohn, Inc. .................... 10,771,664
-------------
PHOTOGRAPHY AND OPTICAL - 0.27%
141,726 Eastman Kodak Co. ........................... 10,354,856
19,982 Polaroid Corp. .............................. 710,610
-------------
11,065,466
-------------
PRINTING AND PUBLISHING - 1.32%
42,691 Deluxe Corp. ................................ 1,528,871
62,252 Donnelley (R.R.) & Sons Co. ................. 2,848,029
31,072 Dow Jones & Co, Inc. ........................ 1,732,264
75,379 Dun & Bradstreet Corp. ...................... 2,723,066
124,492 Gannett Co., Inc. ........................... 8,846,713
40,926 Knight-Ridder, Inc. ......................... 2,253,488
50,130 McGraw-Hill Companies, Inc. ................. 4,088,728
18,472 Meredith Corp. .............................. 867,030
39,684 New York Times Co. - Class A ................ 3,144,957
233,215 Time Warner, Inc. ........................... 19,925,307
27,929 Times Mirror Co. - Class A .................. 1,756,036
52,496 Tribune Co. ................................. 3,612,381
-------------
53,326,870
-------------
PROFESSIONAL SERVICES - 0.41%
45,835 Block (H&R), Inc. ........................... $ 1,930,799
45,600 Ecolab, Inc. ................................ 1,413,600
30,425 EG&G, Inc. .................................. 912,750
53,660 Interpublic Group of Companies, Inc. ........ 3,256,491
20,326 National Service Industries ................. 1,034,085
112,692 Service Corporation International ........... 4,831,670
27,643 Transamerica Corp. .......................... 3,182,400
-------------
16,561,795
-------------
RAILROADS - 0.52%
70,462 Burlington Northern Santa Fe Corp. .......... 6,918,488
95,932 CSX Corp. ................................... 4,364,906
166,653 Norfolk Southern Corp. ...................... 4,968,343
108,347 Union Pacific Corp. ......................... 4,780,811
-------------
21,032,548
-------------
REAL ESTATE - 0.01%
20,332 Pulte Corp. ................................. 607,419
-------------
RETAIL - 4.75%
74 Abercrombie & Fitch Company * ............... 3,256
108,602 Albertson's, Inc. ........................... 5,626,941
120,336 American Stores Co. ......................... 2,910,627
43,546 Circuit City Stores, Inc. ................... 2,041,219
49,500 Consolidated Stores Corp. * ................. 1,794,375
100,899 Costco Companies, Inc. * .................... 6,362,943
168,338 CVS Corp. ................................... 6,554,661
192,416 Dayton Hudson Corp. ......................... 9,332,176
46,897 Dillard Department Stores, Inc. - Class A ... 1,943,294
92,500 Federated Department Stores, Inc. * ......... 4,977,656
179,071 Gap, Inc. ................................... 11,035,250
17,093 Giant Food, Inc. - Class A .................. 736,067
16,825 Great Atlantic & Pacific Tea Co., Inc. ...... 556,277
216,203 Kmart Corp. * ............................... 4,161,908
114,220 Kroger Co. * ................................ 4,897,183
97,960 Limited, Inc. ............................... 3,244,911
17,726 Longs Drug Stores, Inc. ..................... 511,838
162,588 Lowe's Companies, Inc. ...................... 6,594,976
101,098 May Department Stores Co. ................... 6,621,919
19,230 Mercantile Stores Company, Inc. ............. 1,517,968
34,929 Nordstrom, Inc. ............................. 2,698,265
114,750 Penney (J.C.) Co., Inc. ..................... 8,297,859
26,112 Pep Boys-Manny, Moe & Jack .................. 494,496
113,602 Rite Aid Corp. .............................. 4,267,175
171,609 Sears, Roebuck & Co. ........................ 10,478,875
76,274 Sherwin-Williams Co. ........................ 2,526,576
48,066 Tandy Corp. ................................. 2,550,502
143,216 TJX Companies, Inc. ......................... 3,455,086
126,318 Toys 'R' Us, Inc. * ......................... 2,976,368
59,622 Venator Group, Inc. ......................... 1,140,271
213,068 Walgreen Co. ................................ 8,802,372
986,348 Wal-Mart Stores, Inc. ....................... 59,920,641
65,180 Winn-Dixie Stores, Inc. ..................... 3,336,401
-------------
192,370,332
-------------
</TABLE>
See Notes to Financial Statements on Page 17
13
<PAGE> 15
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
TELECOMMUNICATIONS - 5.06%
1 360 Communications Co. * ..................... $ 32
250,735 Airtouch Communications, Inc. * .............. 14,652,327
110,900 Alltel Corp. ................................. 5,156,850
498,004 Ameritech Corp. .............................. 22,347,930
40,376 Andrew Corp. * ............................... 729,292
79,800 Ascend Communications, Inc. * ................ 3,955,087
91,700 Bay Networks, Inc. * ......................... 2,957,325
56,400 Clear Channel Communications, Inc. * ......... 6,154,650
152,462 Comcast Corp. - Class A ...................... 6,189,004
53,490 DSC Communications Corp. * ................... 1,604,700
75,200 Frontier Corp. ............................... 2,368,800
66,400 General Instrument Corp. * ................... 1,805,250
421,936 GTE Corp. .................................... 23,470,190
32,212 King World Productions, Inc. ................. 821,406
585,882 Lucent Technologies, Inc. .................... 48,738,059
310,220 MCI Communications Corp. ..................... 18,031,537
119,200 Nextel Communications, Inc. .................. 2,965,100
207,360 Tele-Communications, Inc. - Class A * ........ 7,970,400
82,100 Tellabs, Inc. * .............................. 5,880,412
125,549 Viacom, Inc. - Class B * ..................... 7,313,229
449,300 WorldCom, Inc. * ............................. 21,762,969
-------------
204,874,549
-------------
TIRE AND RUBBER - 0.17%
35,151 Cooper Tire & Rubber Co. ..................... 724,989
31,952 Goodrich (B.F.) Co. .......................... 1,585,618
68,836 Goodyear Tire & Rubber Co. ................... 4,435,620
-------------
6,746,227
-------------
TOBACCO - 1.18%
68,074 Fortune Brands, Inc. ........................ 2,616,594
1,084,998 Philip Morris Companies, Inc................. 42,721,796
85,807 UST, Inc. ................................... 2,316,789
-------------
47,655,179
-------------
TRUCKING, SHIPPING - 0.14%
71,655 FDX Corp. * ................................. 4,496,351
33,317 Ryder System, Inc. .......................... 1,051,568
-------------
5,547,919
-------------
UTILITIES - 7.00%
60,120 Ameren Corp. ................................. 2,389,770
83,310 American Electric Power Co. .................. 3,780,191
711,606 AT&T Corp. ................................... 40,650,493
59,425 Baltimore Gas & Electric Co. ................. 1,845,889
680,036 Bell Atlantic Corp. .......................... 31,026,643
446,132 BellSouth Corp. .............................. 29,946,611
53,028 Carolina Power & Light Co. ................... 2,300,090
106,930 Central & South West Corp. ................... 2,873,744
61,522 CINergy Corp. ................................ 2,153,270
46,566 Coastal Corp. ................................ 3,250,889
37,102 Columbia Gas System, Inc. .................... 2,063,799
103,136 Consolidated Edison Company of
New York, Inc. ............................. 4,750,702
44,005 Consolidated Natural Gas Co. ................. 2,590,794
86,056 Dominion Resources, Inc. ..................... 3,525,120
72,176 DTE Energy Co. ............................... 2,914,106
157,795 Duke Energy Co. .............................. 9,349,354
9,142 Eastern Enterprises .......................... 391,963
159,270 Edison International ......................... 4,708,419
136,666 Enron Corp. .................................. 7,388,506
121,707 Entergy Corp. ................................ 3,499,076
92,884 FirstEnergy Corp. * .......................... 2,856,182
79,994 FPL Group, Inc. .............................. 5,039,622
56,500 GPU, Inc. .................................... 2,136,406
125,392 Houston Industries, Inc. ..................... 3,871,478
266,828 MediaOne Group, Inc. * ....................... 11,723,755
53,142 Niagara Mohawk Power Corp. * ................. 793,809
21,069 NICOR, Inc. .................................. 845,394
44,988 Northern States Power Co. .................... 1,287,782
13,791 ONEOK, Inc. .................................. 549,916
130,889 PacifiCorp ................................... 2,961,364
102,784 PECO Energy Co. .............................. 3,000,007
16,855 People's Energy Corp. ........................ 651,024
186,305 PG&E Corp. ................................... 5,880,252
73,300 PP&L Resources, Inc. ......................... 1,662,994
112,094 Public Service Enterprise Group, Inc. ........ 3,860,237
805,128 SBC Communications, Inc. ..................... 32,205,120
92,364 Sempra Energy * .............................. 2,487,224
47,210 Sonat, Inc. .................................. 1,823,486
304,458 Southern Co. ................................. 8,429,681
158,682 Sprint Corp. ................................. 11,187,081
121,927 Texas Utilities Co. .......................... 5,075,211
94,925 Unicom Corp. ................................. 3,328,307
224,855 U.S. West, Inc. - Communications Group ....... 10,568,185
--------------
283,623,946
--------------
TOTAL COMMON STOCKS (Cost $2,475,377,707)...................... 3,961,165,565
--------------
SHORT TERM INSTRUMENTS - 2.87%
MUTUAL FUND - 2.80%
113,526,530 BT Institutional Cash Management
Fund 113,526,530
--------------
Principal
Amount
---------
U.S. TREASURY BILL - 0.07%
$ 2,870,000 5.005%, 10/01/98 **........................... 2,833,694
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL SHORT TERM INSTRUMENTS (Cost $116,360,531)............... 116,360,224
--------------
TOTAL INVESTMENTS (Cost $2,591,738,238)..................100.61% 4,077,525,789
LIABILITIES IN EXCESS OF OTHER ASSETS.................... -0.61% (24,794,022)
------ --------------
NET ASSETS...............................................100.00% $4,052,731,767
======= ==============
</TABLE>
- ----------
* Non-income producing security.
** Held as collateral for futures contracts.
See Notes to Financial Statements on Page 17
14
<PAGE> 16
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
STATEMENT OF OPERATIONS For the six months ended June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
INVESTMENT INCOME
<S> <C>
Dividends (net of foreign withholding tax of $156,829) ...................$ 26,845,061
Interest ................................................................. 123,941
-------------
TOTAL INVESTMENT INCOME .................................................. 26,969,002
-------------
EXPENSES
Advisory Fees ....................................................... 1,524,644
Administration and Services Fees .................................... 846,656
Professional Fees ................................................... 11,756
Trustees Fees ....................................................... 3,499
Miscellaneous ....................................................... 447
-------------
Total Expenses ...................................................... 2,387,002
Less: Expenses Absorbed by Bankers Trust ........................... (1,032,352)
-------------
Net Expenses ..................................................... 1,354,650
-------------
NET INVESTMENT INCOME .................................................... 25,614,352
-------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ...................... 21,556,558
Net Realized Gain from Futures Transactions ......................... 2,045,391
Net Change in Unrealized Appreciation/Depreciation on Investments ... 478,378,615
Net Change in Unrealized Appreciation on Futures Contracts .......... 294,781
-------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS .... 502,275,345
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...............................$ 527,889,697
=============
</TABLE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 (1) DECEMBER 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .......................................................... $ 25,614,352 $ 42,706,376
Net Realized Gain from Investments and Futures Transactions .................... 23,601,949 95,286,448
Net Change in Unrealized Appreciation on Investments and Futures Contracts ..... 478,673,396 528,775,836
--------------- ---------------
Net Increase in Net Assets from Operations .......................................... 527,889,697 666,768,660
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ................................................. 1,386,506,855 1,462,422,481
Value of Capital Withdrawn ..................................................... (664,751,256) (1,251,328,236)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions ................................ 721,755,599 211,094,245
--------------- ---------------
TOTAL INCREASE IN NET ASSETS ........................................................ 1,249,645,296 877,862,905
NET ASSETS
Beginning of Period ................................................................. 2,803,086,471 1,925,223,566
--------------- ---------------
End of Period ....................................................................... $ 4,052,731,767 $ 2,803,086,471
=============== ===============
</TABLE>
- ----------
(1) Unaudited
See Notes to Financial Statements on Page 17
15
<PAGE> 17
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
FOR THE SIX MONTH FOR THE YEAR ENDED DECEMBER 31,
PERIOD ENDED ----------------------------------------------------------------------
JUNE 30, 1998 (1) 1997 1996 1995 1994 1993
----------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s
omitted) ............................ $ 4,052,732 $ 2,803,086 $ 1,925,224 $ 1,080,736 $ 559,772 $ 151,805
Ratios to Average Net Assets:
Net Investment Income ................ 1.55% (2) 1.76% 2.20% 2.52% 2.84% 2.67%
Expenses ............................. 0.08% (2) 0.08% 0.10% 0.10% 0.10% 0.10%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust .................... 0.06% (2) 0.07% 0.05% 0.05% 0.06% 0.10%
Portfolio Turnover Rate ............... 2% 19% 15% 6% 21% 31%
</TABLE>
- ----------
(1) Unaudited
(2) Annualized
See Notes to Financial Statements on Page 17
16
<PAGE> 18
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Equity 500 Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11, 1991
as an unincorporated trust under the laws of New York and commenced operations
on December 31, 1992. The Declaration of Trust permits the Board of Trustees
(the "Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on national
exchanges or traded in the NASDAQ National Market System are valued at the last
sales prices reported at the close of business each day. Over-the-counter
securities not included in the NASDAQ National Market System and listed
securities for which no sale was reported are valued at the mean of the bid and
asked prices. Short-term obligations with remaining maturities of 60 days or
less are valued at amortized cost that, with accrued interest, approximates
value. Securities for which quotations are not available are stated at fair
value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the accrual
basis and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. Futures Contracts
The Portfolio may enter into financial futures contracts that are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the Portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
E. Federal Income Taxes
It is in the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of .05% of the Portfolio's average daily net
assets. At June 30, 1998, amounts owed under the Administration and Services
Agreement amounted to $78,558, net of waived expenses of $80,412.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of .075% of the Portfolio's
average daily net assets. For the period January 1, 1998 to April 30, 1998 the
Advisory fee was .10%. At June 30, 1998, amounts owed under the Advisory
Agreement amounted to $173,136, net of waived expenses of $144,804.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to .08% of the average
daily net assets of the Portfolio. For the six-month period ended June 30, 1998,
expenses of the Portfolio have been reduced by $1,032,352.
The Portfolio may invest in the BT Institutional Cash Management Fund (the
"Fund"), an open-end management investment company managed by Bankers Trust
Company (the "Company"). The Fund is offered as a cash management option to the
Portfolio and other accounts managed by the Company. Distributions from the Fund
to the Portfolio as of June 30, 1998 amounted to $2,082,691 and are included in
dividend income.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility ("the revolver") and a discretionary demand line of credit
facility ("collectively the credit facilities") in the amounts of $50,000,000
and $100,000,000, respectively. A commitment fee of .07% per annum on the
average daily amount of the available commitment is payable on a quarterly basis
and apportioned equally amongst all participants. Amounts borrowed under the
credit facilities will bear interest at a rate per annum equal to the Federal
Funds Rate plus .45%. No amounts were drawn down or outstanding under the credit
facilities as of and for the period ended June 30, 1998.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Effective August 11, 1998, ICC
Distributors, Inc. will replace Edgewood as distributor of the Trust.
Certain officers of the Portfolio are also directors, officers and employees of
Edgewood Services, Inc., the distributor of the BT Institutional Funds. None of
the officers so affiliated received compensation for services as officers of the
Portfolio.
Effective August 11, 1998, ICC Distributors, Inc. will replace Edgewood as
distributor of the Trust.
For the six-month period ended June 30, 1998, the Portfolio paid brokerage
commissions of $226,179.
17
<PAGE> 19
- --------------------------------------------------------------------------------
Equity 500 Index Portfolio
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six-month period ended June 30, 1998, were
$754,650,857 and $58,371,306, respectively. For federal income tax purposes, the
tax basis of investments held at June 30, 1998 was $2,602,421,738. The aggregate
gross unrealized appreciation was $1,514,149,698, and the aggregate gross
unrealized depreciation was $28,362,147 for all investments as of June 30, 1998.
Payable for securities purchased at June 30, 1998 amounted to $66,583,078.
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 1998 is
as follows:
<TABLE>
<CAPTION>
MARKET UNREALIZED
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION VALUE APPRECIATION
- -------------- ---------- --------- -------- ----- ------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index Futures Sept. 1998 348 Long $99,441,000 $906,869
</TABLE>
At June 30, 1998, the Portfolio segregated $2,833,694 to cover margin
requirements on open futures contracts.
NOTE 5--NET ASSETS
<TABLE>
<S> <C>
Paid in capital .....................................$2,516,821,046
Undistributed net investment income ................. 25,614,352
Accumulated realized gain on investments ............ 21,556,558
Accumulated realized gain on futures transactions ... 2,952,260
Unrealized appreciation on investments .............. 1,485,787,551
--------------
Total Net Assets ....................................$4,052,731,767
==============
</TABLE>
18
