<PAGE> 1
AMERICAN AADVANTAGE
MILEAGE FUNDS(R)
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1999
[PICTURE]
S&P 500 INDEX MILEAGE FUND
MANAGED BY AMR INVESTMENT SERVICES, INC.
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American AAdvantage S&P 500 Index Mileage Fund
LETTER TO SHAREHOLDERS
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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 six months ended June 30, 1999. The Fund's total
return for the period was 11.95%, compared to the returns of 12.24% for the S&P
500 Index and 12.14% for the Lipper S&P 500 Index Average for the same period.
MARKET ACTIVITY
As the global economy started to improve, the domestic stock market continued a
volatile, but record-breaking run. The S&P 500 Index advanced during the first
six months of 1999, closing above the 1,300 mark late in the first quarter. The
Dow Jones Industrial Average rose to new highs, passing the 10,000 milestone and
then the 11,000 level within the first half of the year.
Large cap growth stocks outperformed large cap value stocks during the first
quarter of 1999. Sell-offs in large cap technology stocks raised concerns early
in the quarter, but expectations of stronger earnings and profits lead to the
sector's continued strength, as it was the top performer through March.
During the second quarter, large cap value stocks outperformed their growth
brethren for the first time in nearly 1 1/2 years. Stronger performance in
value stocks can be attributed, in part, to stronger performance in
energy-related stocks, rebounding with higher oil prices. Additionally, positive
corporate earnings surprises and a rotation into cyclicals led to stronger
returns in sectors that have long been out of favor. While technology stocks
pushed large cap growth stocks back on top for the month of June, the value
sectors' strength for the second quarter was enough to give them the lead for
the semi-annual period as a whole. As investor sentiment shifted, small and mid
capitalization stocks also got a boost in the second quarter, outperforming
large cap stocks for the first time in seven quarters.
Technology was still the semi-annual period's top performing sector, joined by
more value-oriented sectors, including basic materials and energy. The weakest
performing sectors included utilities, health care, and consumer staples. There
were 19 changes to the S&P 500 Index during the first six months of 1999.
Comparatively, this represents fewer additions and deletions than a year ago,
primarily due to less merger and acquisition activity during this semi-annual
period.
TEN LARGEST STOCK HOLDINGS
<TABLE>
<S> <C>
Microsoft Corp. Lucent Technologies, Inc.
General Electric Co. Intel Corp.
International Business Exxon Corp.
Machines Corp.
Wal-Mart Stores, Inc. AT&T Corp.
Cisco Systems, Inc. Merck & Co., Inc.
</TABLE>
OUTLOOK
A fundamental reassessment of the global economic outlook was the big story for
the financial markets during the first half of 1999. The nightmare scenarios of
Armageddon, deflation and financial meltdown that prevailed late last year were
replaced by signs of improving growth -- particularly in Asia.
Within the U.S., the improvement globally has not been uniformly good news for
financial markets. Indeed, with U.S. growth showing no signs of slowing and
labor markets still extremely tight, the pick-up in the rest of the world raises
the risks of inflation pressures here at home. To guard against those risks, the
Federal Reserve Board raised the targeted Fed funds rate by 0.25% to 5.00% at
their meeting on June 30th. Although the Fed declared a bias toward a neutral
stance, the Fund's manager expects continued strong growth to prompt a modest
degree of additional Fed tightening and some further backup in Treasury yields.
This backdrop might temper the equity markets' enthusiasm a bit, but an extended
correction is, in the opinion of the Fund's manager, unlikely unless the economy
really overheats, provoking aggressive Fed tightening and imperiling the
economic expansion the U.S. has enjoyed for more than eight years.
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, the Fund's
manager does not manage according to a given outlook for the equity markets or
the economy in general.
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
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American AAdvantage S&P 500 Index Mileage Fund
STATEMENT OF ASSETS AND LIABILITIES June 30, 1999 (unaudited)
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<TABLE>
<S> <C>
ASSETS
Investment in the BT Equity 500 Index Portfolio, at Value ................ $ 3,786,590
Receivable for Shares of Beneficial Interest Subscribed .................. 25,000
Receivable for Expense Reimbursement (Note 2) ............................ 64,454
Deferred Organization Costs .............................................. 160
-----------
Total Assets ................................................................. 3,876,204
-----------
LIABILITIES
Accrued Organization Costs ............................................... 5,476
Administrative Service Fees Payable (Note 2) ............................. 9,435
Other Liabilities ........................................................ 64,550
-----------
Total Liabilities ............................................................ 79,461
-----------
NET ASSETS ................................................................... $ 3,796,743
===========
COMPOSITION OF NET ASSETS
Paid-in Capital .......................................................... $ 3,587,947
Undistributed Net Investment Income ...................................... 11,665
Accumulated Net Realized Loss from Investments and Futures Transactions... (530,599)
Net Unrealized Appreciation on Investments and Futures Contracts ......... 727,730
-----------
NET ASSETS ................................................................... $ 3,796,743
===========
SHARES OUTSTANDING (no par value) ............................................ 288,397
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ..................... $ 13.16
===========
</TABLE>
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STATEMENT OF OPERATIONS Six months ended June 30, 1999 (unaudited)
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<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from the BT Equity 500 Index Portfolio, net ................ $ 26,649
EXPENSES
Administrative Service Fees ................................................. 4,656
Transfer Agency Fees ........................................................ 1,383
Registration Fees ........................................................... 9,459
Professional Fees ........................................................... 4,607
Amortization of Organization Costs .......................................... 1,984
Distribution Fees ........................................................... 4,433
Other Expenses .............................................................. 6,986
---------
Total Expenses .............................................................. 33,508
Less: Expenses Absorbed by AMR Investment Services, Inc. ................... (25,175)
---------
Net Expenses ........................................................... 8,333
---------
NET INVESTMENT INCOME ........................................................... 18,316
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Loss from Investment Transactions .............................. (25,592)
Net Realized Gain from Futures Transactions ................................. 4,635
Net Change in Unrealized Appreciation on Investments and Futures Contracts... 336,110
---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES Contracts ........... 315,153
---------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...................................... $ 333,469
=========
</TABLE>
See Notes to Financial Statements
2
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American AAdvantage S&P 500 Index Mileage Fund
STATEMENT OF CHANGES IN NET ASSETS
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<TABLE>
<CAPTION>
SIX MONTHS MARCH 2, 1998
ENDED (COMMENCEMENT
JUNE 30,1999 OF OPERATIONS) TO
(UNAUDITED) DECEMBER 31, 1998
------------ -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ........................................................... $ 18,316 $ 13,971
Net Realized Gain (Loss) from Investments and Futures Transactions .............. (20,957) 3,434
Net Change in Unrealized Appreciation on Investments and Futures Contracts ...... 336,110 394,717
------------ ------------
Net Increase in Net Assets from Operations .......................................... 333,469 412,122
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ........................................................... (6,651) (14,229)
------------ ------------
Total Distributions ................................................................. (6,651) (14,229)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ................................................... 10,219,790 10,646,746
Dividend Reinvestments .......................................................... 5,808 12,694
Cost of Shares Redeemed ......................................................... (9,306,632) (8,506,374)
------------ ------------
Net Increase from Capital Transactions in Shares of Beneficial Interest ............. 918,966 2,153,066
------------ ------------
TOTAL INCREASE IN NET ASSETS ........................................................ 1,245,784 2,550,959
NET ASSETS
Beginning of Period ................................................................. 2,550,959 --
------------ ------------
End of Period (including undistributed net investment income of $11,665) ............ $ 3,796,743 $ 2,550,959
============ ============
</TABLE>
See Notes to Financial Statements
3
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American AAdvantage S&P 500 Index Mileage Fund
FINANCIAL HIGHLIGHTS
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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>
SIX MONTHS MARCH 2,1998
ENDED (COMMENCEMENT
JUNE 30,1999 OF OPERATIONS) TO
(UNAUDITED) DECEMBER 31, 1998
------------ ------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ...................................................... $ 11.78 $ 10.00
--------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ................................................................. 0.07 0.10
Net Realized and Unrealized Gain on Investments and Futures Transactions .............. 1.34 1.78
--------- ---------
Total from Investment Operations .......................................................... 1.41 1.88
--------- ---------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................................................. (0.03) (0.10)
--------- ---------
Total Distributions ................................................................... (0.03) (0.10)
--------- ---------
NET ASSET VALUE, END OF PERIOD ............................................................ $ 13.16 $ 11.78
========= =========
TOTAL INVESTMENT RETURN ................................................................... 11.95% 18.92%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .............................................. $ 3,797 $ 2,551
Ratios to Average Net Assets (annualized):
Net Investment Income .......................................................... 1.02% 1.00%
Expenses, including expenses of the BT Equity 500 Index Portfolio .............. 0.53% 0.55%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust and AMR Investment Services, Inc. ... 1.40% 2.81%
</TABLE>
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See Notes to Financial Statements
4
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American AAdvantage S&P 500 Index Mileage Fund
NOTES TO FINANCIAL STATEMENTS (unaudited)
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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 2, 1998.
The Fund invests all of its investable assets in the BT Investment Equity 500
Index Portfolio (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, 1999, the Fund's investment was 0.05% 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. The Fund has a capital loss carryforward of $512,699
which expires in year 2006.
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.
I. Estimates
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
A. Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement that
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
.30% of the Fund's average daily net assets. The Manager has contractually
agreed to waive distribution fees and to reimburse the Fund for other expenses
through October 31, 1999 to the extent that total annual fund operating expenses
exceed 0.55%.
5
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American AAdvantage S&P 500 Index Mileage Fund
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
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B. Distribution Plan
The Trust has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1
under the Act. Under the plan, as compensation for distribution assistance, the
Manager receives an annual fee of .25% of the average daily net assets. The fee
will be payable without regard to whether the amount of the fee is more or less
than the actual expenses incurred in a particular month by the Manager for
distribution assistance. During the six months ended June 30, 1999, the Manager
waived distribution fees totaling $4,433.
C. 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, 1999, the cost of air transportation was not
material to any of the Funds.
D. Reimbursement of Expenses
For the six months ended June 30 1999, the Manager reimbursed expenses totaling
$20,742 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 For the period ended
June 30, 1999 December 31, 1998
--------------------------------- ---------------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold ............... 838,033 $ 10,219,790 1,055,816 $ 10,646,746
Reinvested ......... 469 5,808 1,177 12,694
Redeemed ........... (766,612) (9,306,632) (840,486) (8,506,374)
------------ ------------ ------------ ------------
Net increase ....... 71,890 $ 918,966 216,507 $ 2,153,066
============ ============ ============ ============
</TABLE>
6
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Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
COMMON STOCK - 101.3% ............................
226,000 3Com Corp.(1) .................................... $ 6,031,375
970,744 Abbott Laboratories .............................. 44,168,852
39,000 Adobe Systems, Inc. .............................. 3,204,096
23,368 Adolph Coors Co. -- Class B ...................... 1,156,716
90,941 Advanced Micro Devices, Inc.(1) .................. 1,642,622
130,000 AES Corp.(1) ..................................... 7,556,250
92,059 Aetna, Inc. ...................................... 8,233,527
170,100 Aflac, Inc.(1) ................................... 8,143,537
147,908 Air Products and Chemicals, Inc. ................. 5,953,297
18,398 Alberto-Culver Co. -- Class B .................... 489,847
275,323 Albertson's, Inc. ................................ 14,196,351
139,736 Alcan Aluminium Ltd. ............................. 4,462,818
237,500 Alcoa, Inc. ...................................... 14,695,312
129,494 Allegheny Teledyne, Inc. ......................... 2,929,802
45,201 Allergan, Inc. ................................... 5,017,311
357,212 AlliedSignal, Inc.(2) ............................ 22,504,356
517,698 Allstate Corp. ................................... 18,572,416
177,900 Alltel Corp. ..................................... 12,719,850
64,034 ALZA Corp.(1) .................................... 3,257,730
62,493 Amerada Hess Corp. ............................... 3,718,333
84,620 Ameren Corp. ..................................... 3,247,292
693,400 America Online, Inc.(1) .......................... 76,620,700
132,910 American Electric Power Co. ...................... 4,992,432
290,216 American Express Co. ............................. 37,764,357
161,637 American General Corp. ........................... 12,183,389
57,314 American Greetings Corp. -- Class A .............. 1,726,584
859,192 American Home Products Corp. ..................... 49,403,540
794,405 American International Group, Inc. ............... 92,995,035
711,904 Ameritech Corp. .................................. 52,324,944
326,380 Amgen, Inc.(1) ................................... 19,868,382
98,404 AMR Corp.(1) ..................................... 6,716,073
114,450 Amsouth Banc Corp. ............................... 2,653,809
81,100 Anadarko Petroleum Corp. ......................... 2,985,494
51,376 Andrew Corp.(1) .................................. 972,933
306,480 Anheuser Busch Companies, Inc.(2) ................ 21,740,925
157,875 AON Corp. ........................................ 6,512,344
63,300 Apache Corp. ..................................... 2,468,700
89,642 Apple Computer, Inc. ............................. 4,151,545
237,200 Applied Materials, Inc.(1) ....................... 17,523,150
419,647 Archer-Daniels-Midland Co. ....................... 6,478,301
26,783 Armstrong World Industries, Inc. ................. 1,548,392
20,849 Asarco, Inc. ..................................... 392,222
32,987 Ashland, Inc. .................................... 1,323,603
457,422 Associates First Capital Corp. -- Class A ........ 20,269,512
2,040,706 AT&T Corp. ....................................... 113,896,904
209,250 Atlantic Richfield Co. ........................... 17,485,453
35,814 Autodesk, Inc. ................................... 1,058,751
403,524 Automatic Data Processing, Inc. .................. 17,755,056
87,800 Autozone, Inc.(1) ................................ 2,644,975
74,530 Avery Dennison Corp. ............................. 4,499,749
171,356 Avon Products, Inc. .............................. 9,510,258
209,713 Baker Hughes, Inc. ............................... 7,025,385
18,754 Ball Corp. ....................................... 792,356
767,348 Banc One Corp. ................................... 45,705,165
1,109,639 Bank of America Corp. ............................ 81,350,409
487,800 Bank of New York Co., Inc. ....................... 17,896,162
190,034 BankBoston Corp. ................................. 9,715,488
275,500 Barrick Gold Corp. ............................... 5,337,812
162,300 Battle Mountain Gold Co.(1) ...................... 395,606
36,123 Bausch & Lomb, Inc. .............................. 2,763,409
183,463 Baxter International, Inc. ....................... 11,122,444
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
176,900 BB&T Corp. ....................................... $ 6,490,019
71,795 Bear Stearns Companies, Inc. ..................... 3,356,416
165,164 Becton, Dickinson & Co. .......................... 4,954,920
995,280 Bell Atlantic Corp. .............................. 65,066,430
1,214,464 BellSouth Corp. .................................. 56,928,000
25,431 Bemis Co., Inc. .................................. 1,010,882
129,700 Best Buy Inc.(1) ................................. 8,754,750
186,860 Bestfoods ........................................ 9,249,570
89,049 Bethlehem Steel Corp.(1) ......................... 684,564
72,150 Biomet, Inc.(1) .................................. 2,867,962
57,571 Black & Decker Corp. ............................. 3,634,169
138,400 BMC Software, Inc.(1) ............................ 7,473,600
613,946 Boeing Co. ....................................... 27,128,739
38,403 Boise Cascade Corp. .............................. 1,646,529
250,700 Boston Scientific Corp.(1) ....................... 11,015,131
25 Bp Amoco Plc -- Sponsored ADR .................... 2,713
15,582 Briggs & Stratton Corp. .......................... 899,860
1,274,456 Bristol-Myers Squibb Co. ......................... 89,769,494
30,019 Brown-Forman Corp. -- Class B .................... 1,956,864
105,235 Browning-Ferris Industries, Inc. ................. 4,525,105
58,842 Brunswick Corp. .................................. 1,640,221
303,536 Burlington Northern Santa Fe Corp. ............... 9,409,616
120,039 Burlington Resources, Inc. ....................... 5,191,687
34,577 C.R. Bard, Inc. .................................. 1,653,213
110,600 Cabletron Systems, Inc.(1) ....................... 1,437,800
270,454 Campbell Soup Co. ................................ 12,542,304
126,100 Capital One Financial Corp. ...................... 7,022,194
169,997 Cardinal Health, Inc. ............................ 10,901,058
390,500 Carnival Corp. -- Class A ........................ 18,939,250
77,628 Carolina Power & Light Co. ....................... 3,323,449
47,400 Case Corp. ....................................... 2,281,125
237,964 Caterpillar, Inc. ................................ 14,277,840
452,810 CBS Corp.(1) ..................................... 19,668,934
503,534 Cendant Corp.(1) ................................. 10,322,447
38,180 Centex Corp. ..................................... 1,434,136
136,630 Central & South West Corp. ....................... 3,193,726
95,000 Centurytel, Inc. ................................. 3,776,250
88,104 Ceridian Corp. ................................... 2,879,899
65,028 Champion International Corp. ..................... 3,113,215
252,050 Charles Schwab Corp. ............................. 27,693,994
546,464 Chase Manhattan Corp. ............................ 47,337,444
418,566 Chevron Corp. .................................... 39,842,251
108,572 Chubb Corp. ...................................... 7,545,754
132,399 CIGNA Corp. ...................................... 11,783,511
96,700 Cincinnati Financial Corp. ....................... 3,632,294
105,122 Cinergy Corp. .................................... 3,363,904
66,846 Circuit City Stores, Inc. ........................ 6,216,678
2,059,050 Cisco Systems, Inc.(1) ........................... 132,808,725
2,163,924 Citigroup ........................................ 102,786,390
199,100 Clear Channel Communications, Inc.(1) ............ 13,725,456
75,204 Clorox Co. ....................................... 8,032,727
74,300 CMS Energy ....................................... 3,111,312
149,432 Coastal Corp. .................................... 5,977,280
1,581,442 Coca-Cola Co. .................................... 98,840,125
264,300 Coca-Cola Enterprises, Inc. ...................... 7,862,925
187,702 Colgate-Palmolive Co. ............................ 18,535,572
53,502 Columbia Energy Group ............................ 3,353,907
368,122 Columbia/HCA Healthcare Corp. .................... 8,397,783
488,824 Comcast Corp. -- Special Class A ................. 18,789,172
99,660 Comerica, Inc. ................................... 5,923,541
1,075,984 Compaq Computer Corp. ............................ 25,487,371
350,875 Computer Associates International, Inc. .......... 19,298,125
</TABLE>
See Notes to Financial Statements.
7
<PAGE> 9
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Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
101,872 Computer Sciences Corp.(1) ................................. $ 7,048,269
238,300 Compuware Corp.(1) ......................................... 7,580,919
308,832 ConAgra, Inc. .............................................. 8,222,652
203,468 Conseco, Inc. .............................................. 6,193,057
149,736 Consolidated Edison, Inc. .................................. 6,775,554
61,405 Consolidated Natural Gas Co. ............................... 3,730,354
70,600 Consolidated Stores Corp.(1) ............................... 1,906,200
88,825 Constellation Energy Group, Inc. ........................... 2,631,441
61,248 Cooper Industries, Inc. .................................... 3,184,896
53,951 Cooper Tire & Rubber Co. ................................... 1,274,592
156,514 Corning, Inc. .............................................. 10,975,544
139,899 Costco Companies, Inc.(1) .................................. 11,200,664
72,900 Countrywide Credit Industries, Inc. ........................ 3,116,475
42,449 Crane Co. .................................................. 1,334,490
81,650 Crown Cork & Seal Co., Inc. ................................ 2,327,025
155,232 CSX Corp. .................................................. 7,033,950
20,334 Cummins Engine Co., Inc. ................................... 1,161,580
248,588 CVS Corp. .................................................. 12,615,841
66,894 Cyprus Amax Minerals Co. ................................... 1,015,953
107,147 Dana Corp. ................................................. 4,935,459
94,700 Danaher Corp. .............................................. 5,504,437
88,319 Darden Restaurants, Inc. ................................... 1,926,458
23,045 Data General Corp.(1) ...................................... 335,593
282,616 Dayton Hudson Corp. ........................................ 18,370,040
153,923 Deere & Co. ................................................ 6,099,199
1,643,900 Dell Computer Corp.(1) ..................................... 60,824,300
349,125 Delphi Automotive Systems .................................. 6,480,633
90,798 Delta Air Lines, Inc. ...................................... 5,232,235
51,591 Deluxe Corp. ............................................... 2,008,825
64,997 Dillard Department Stores, Inc. -- Class A. ................ 2,283,020
151,406 Dollar General Corp. ....................................... 4,390,774
125,206 Dominion Resources, Inc. ................................... 5,422,985
144,008 Dover Corp. ................................................ 5,040,280
145,076 Dow Chemical Co. ........................................... 18,406,517
48,172 Dow Jones & Co., Inc. ...................................... 2,556,127
104,876 DTE Energy Co. ............................................. 4,195,040
726,492 Du Pont (E.I.) de Nemours & Co. ............................ 49,628,485
232,295 Duke Power Co. ............................................. 12,631,041
105,979 Dun & Bradstreet Corp. ..................................... 3,755,631
15,642 Eastern Enterprises ........................................ 621,769
62,781 Eastman Chemical Co. ....................................... 3,248,917
208,826 Eastman Kodak Co. .......................................... 14,147,961
52,382 Eaton Corp. ................................................ 4,819,144
73,800 Ecolab, Inc. ............................................... 3,219,525
226,470 Edison International, Inc. ................................. 6,058,072
31,125 EG & G, Inc. ............................................... 1,108,828
316,000 Electronic Data Systems Corp. .............................. 17,873,750
89 Elf Aquitaine-Sponsored ADR ................................ 6,547
705,140 Eli Lilly & Co. ............................................ 50,505,652
643,680 EMC CORP.(1) ............................................... 35,402,400
298,000 Emerson Electric Co. ....................................... 18,736,750
84,308 Engelhard Corp. ............................................ 1,907,468
219,066 Enron Corp. ................................................ 17,908,645
158,407 Entergy Corp. .............................................. 4,950,219
90,800 Equifax, Inc. .............................................. 3,240,425
1,559,034 Exxon Corp. ................................................ 120,240,497
672,114 Fannie Mae ................................................. 45,955,795
189,710 FDX Corp.(1) ............................................... 10,291,767
141,100 Federated Department Stores, Inc.(1) ....................... 7,469,481
170,567 Fifth Third Bancorp ........................................ 11,353,366
283,900 First Data Corp. ........................................... 13,893,356
623,085 First Union Corp. .......................................... 29,284,995
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
442,400 Firstar Corp. .............................................. $ 12,387,200
152,384 FirstEnergy Corp. .......................................... 4,723,904
394,888 Fleet Financial Group, Inc. ................................ 17,523,155
22,406 Fleetwood Enterprises, Inc. ................................ 592,359
62,700 Florida Progress Corp. ..................................... 2,590,294
47,681 Fluor Corp. ................................................ 1,931,080
20,850 FMC Corp.(1) ............................................... 1,424,316
782,644 Ford Motor Co. ............................................. 44,170,471
138,985 Fort James Corp. ........................................... 5,264,057
111,574 Fortune Brands, Inc. ....................................... 4,616,374
30,738 Foster Wheeler Corp. ....................................... 434,174
117,794 FPL Group, Inc. ............................................ 6,434,497
172,120 Franklin Resources, Inc. ................................... 6,992,375
435,714 Freddie Mac ................................................ 25,271,412
79,700 Freeport-McMoRan Copper & Gold, Inc. -- Class B(1) ......... 1,429,619
114,100 Frontier Corp. ............................................. 6,731,900
46,300 Fruit of The Loom, Inc.-- Class A(1) ....................... 451,425
180,592 Gannett Company, Inc. ...................................... 12,889,754
548,334 Gap, Inc. .................................................. 27,622,325
89,200 Gateway, Inc.(1) ........................................... 5,262,800
81,744 General Dynamics Corp. ..................................... 5,599,464
2,101,744 General Electric Co. ....................................... 237,497,072
103,100 General Instrument Corp.(1) ................................ 4,381,750
98,269 General Mills, Inc. ........................................ 7,898,371
419,634 General Motors Corp. ....................................... 27,695,844
115,226 Genuine Parts Co. .......................................... 4,032,910
112,802 Georgia-Pacific Corp. ...................................... 5,343,995
711,316 Gillette Co. ............................................... 29,163,956
37,317 Golden West Financial Corp. ................................ 3,657,066
47,752 Goodrich (B.F.) Co. ........................................ 2,029,460
100,136 Goodyear Tire & Rubber Co. ................................. 5,889,248
64,400 GPU, Inc. .................................................. 2,716,875
24,525 Great Atlantic & Pacific Tea Co., Inc. ..................... 829,252
37,796 Great Lakes Chemical Corp. ................................. 1,740,978
623,636 GTE Corp. .................................................. 47,240,427
204,400 Guidant Corp.(1) ........................................... 10,513,825
69,735 H & R Block, Inc. .......................................... 3,486,750
259,525 H.J. Heinz Co. ............................................. 13,008,691
281,962 Halliburton Co. ............................................ 12,758,780
38,839 Harcourt General, Inc. ..................................... 2,002,636
58,815 Harrah's Entertainment, Inc.(1) ............................ 1,293,930
55,742 Harris Corp. ............................................... 2,184,390
146,546 Hartford Financial Services Group, Inc. .................... 8,545,464
123,470 Hasbro, Inc. ............................................... 3,449,443
68,900 HCR Manor Care, Inc.(1) .................................... 1,666,519
252,500 Healthsouth Corp.(1) ....................................... 3,771,719
31,616 Helmerich and Payne ........................................ 752,856
70,514 Hercules, Inc. ............................................. 2,772,082
81,894 Hershey Foods Corp. ........................................ 4,862,456
650,840 Hewlett-Packard Co. ........................................ 65,409,420
166,541 Hilton Hotels Corp. ........................................ 2,362,800
953,152 Home Depot, Inc. ........................................... 61,418,732
149,343 Homestake Mining Co. ....................................... 1,222,746
83,119 Honeywell, Inc. ............................................ 9,631,414
309,585 Household International, Inc. .............................. 14,666,589
105,000 Humana, Inc.(1) ............................................ 1,358,437
135,070 Huntington Bancshares, Inc. ................................ 4,727,450
81,162 Ikon Office Solutions, Inc. ................................ 1,217,430
151,192 Illinois Tool Works, Inc. .................................. 12,397,744
220,858 IMS Health, Inc. ........................................... 6,901,812
80,266 Inco, Ltd.(1) .............................................. 1,444,788
</TABLE>
See Notes to Financial Statements.
8
<PAGE> 10
================================================================================
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
105,946 Ingersoll-Rand Co. ............................... $ 6,846,760
2,133,956 Intel Corp. ...................................... 126,970,382
1,163,764 International Business Machines Corp. ............ 150,416,497
65,287 International Flavors & Fragrances, Inc. ......... 2,897,111
265,474 International Paper Co. .......................... 13,406,437
83,360 Interpublic Group of Companies, Inc. ............. 7,221,060
59,423 ITT Industries ................................... 2,265,502
169,550 J.C. Penney Co., Inc. ............................ 8,233,772
67,965 Jefferson-Pilot Corp. ............................ 4,498,433
862,396 Johnson & Johnson ................................ 84,514,808
47,154 Johnson Controls, Inc. ........................... 3,268,362
7,839 Jostens, Inc. .................................... 165,109
70,400 Kansas City Southern Inds ........................ 4,492,400
29,045 Kaufman & Broad Home Corp. ....................... 722,494
252,314 Kellogg Co. ...................................... 8,326,362
60,831 Kerr-McGee Corp. ................................. 3,052,956
319,000 KeyCorp .......................................... 10,247,875
347,406 Kimberly Clark Corp. ............................. 19,802,142
47,512 King World Productions, Inc.(1) .................. 1,654,011
58,800 KLA/Tencor Corp.(1) .............................. 3,814,650
315,503 Kmart Corp.(1) ................................... 5,186,081
58,826 Knight-Ridder, Inc. .............................. 3,231,753
98,800 Kohls Corp.(1) ................................... 7,626,125
513,740 Kroger Co. ....................................... 14,352,611
153,900 Laidlaw, Inc. .................................... 1,135,012
75,700 Lehman Brothers, Inc. ............................ 4,712,325
133,741 Limited, Inc. .................................... 6,068,498
138,020 Lincoln National Corp. ........................... 7,220,171
44,403 Liz Claiborne, Inc. .............................. 1,620,709
251,610 Lockheed Martin Corp. ............................ 9,372,472
63,300 Loews Corp. ...................................... 5,008,612
24,926 Longs Drug Stores, Inc. .......................... 861,505
74,958 Louisiana-Pacific Corp. .......................... 1,780,252
236,688 Lowe's Companies, Inc. ........................... 13,417,251
85,000 LSI Logic Corp.(1) ............................... 3,920,625
1,924,321 Lucent Technologies, Inc. ........................ 129,771,431
38 Lyondell Chemical Co. ............................ 784
49,702 Mallinckrodt Group, Inc. ......................... 1,807,910
155,680 Marriott International ........................... 5,818,540
179,286 Marsh and McLennan ............................... 13,536,093
225,022 Masco Corp. ...................................... 6,497,510
267,265 Mattel, Inc. ..................................... 7,065,818
216,447 May Department Stores Co. ........................ 8,847,271
58,812 Maytag Corp. ..................................... 4,098,461
63,700 MBIA, Inc. ....................................... 4,124,575
514,137 MBNA Corp. ....................................... 15,745,446
37,087 McDermott International, Inc. .................... 1,047,708
867,728 McDonald's Corp. ................................. 35,848,013
137,960 McGraw-Hill, Inc. ................................ 7,441,217
1,193,213 MCI WorldCom, Inc.(1) ............................ 102,914,621
178,773 McKesson Hboc, Inc. .............................. 5,743,083
65,902 Mead Corp. ....................................... 2,751,408
389,228 MediaOne Group(1) ................................ 28,948,832
374,704 Medtronic, Inc. .................................. 29,180,074
334,848 Mellon Bank Corp. ................................ 12,180,096
101,000 Mercantile Banc Corp., Inc. ...................... 5,769,625
1,513,794 Merck & Co., Inc. ................................ 112,020,756
33,372 Meredith Corp. ................................... 1,155,505
66 Meritor Automotive ............................... 1,683
228,976 Merrill Lynch & Co., Inc. ........................ 18,303,769
75,300 MGIC Investment Corp. ............................ 3,661,462
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
152,700 Micron Technology, Inc. .......................... $ 6,155,719
3,263,800 Microsoft Corp.(1) ............................... 294,353,962
19,447 Milacron, Inc. ................................... 359,769
28,492 Millipore Corp. .................................. 1,155,707
258,178 Minnesota Mining & Manufacturing Co. ............. 22,445,350
126,100 Mirage Resorts, Inc.(1) .......................... 2,112,175
508,642 Mobil Corp. ...................................... 50,355,558
52 Momentum Business Applications(1) ................ 367
398,620 Monsanto Co. ..................................... 15,720,576
370,433 Morgan Stanley Dean Witter Discover & Co. ........ 37,969,382
112,960 Morgan, (J.P.) & Co., Inc. ....................... 15,870,880
384,842 Motorola, Inc. ................................... 36,463,780
211,000 Nabisco Group Holdings ........................... 4,127,688
3,827 NACCO Industries, Inc.-- Class A ................. 281,285
41,925 Nalco Chemical Co. ............................... 2,174,859
210,600 National City Corp. .............................. 13,794,300
106,826 National Semiconductor Corp.(1) .................. 2,704,033
31,826 National Service Industries, Inc. ................ 1,145,736
39,758 Navistar International Corp. ..................... 1,987,900
46,700 Network Appliance, Inc.(1) ....................... 2,609,363
71,000 New Century Energies, Inc. ....................... 2,755,688
123,468 New York Times Co. -- Class A .................... 4,545,166
183,096 Newell Rubbermaid Inc ............................ 8,513,964
118,810 Newmont Mining Corp. ............................. 2,361,349
184,500 Nextel Communications, Inc. -- Class A(1) ........ 9,259,594
78,242 Niagara Mohawk Power Corp. ....................... 1,256,762
35,869 NICOR, Inc. ...................................... 1,365,264
179,348 Nike, Inc. ....................................... 11,354,970
94,558 Nordstrom, Inc. .................................. 3,167,693
243,453 Norfolk Southern Corp. ........................... 7,334,022
431,662 Nortel Networks Corp. ............................ 37,473,657
77,088 Northern States Power Co. ........................ 1,864,566
73,500 Northern Trust Corp. ............................. 7,129,500
55,579 Northrop Grumman Corp. ........................... 3,685,582
222,092 Novell, Inc.(1) .................................. 5,885,438
57,094 Nucor Corp. ...................................... 2,708,397
221,814 Occidental Petroleum Corp. ....................... 4,685,821
232,300 Office Depot, Inc.(1) ............................ 5,125,119
112,500 Omnicom Group, Inc. .............................. 9,000,000
17,791 Oneok, Inc. ...................................... 564,864
935,084 Oracle Corp.(1) .................................. 34,714,994
34,750 Owens Corning .................................... 1,194,531
97,500 Owens-Illinois, Inc.(1) .......................... 3,187,031
83,307 P P & L Resources ................................ 2,561,690
63,980 Paccar, Inc. ..................................... 3,414,933
253,389 Pacificorp ....................................... 4,656,023
89,900 Paine Webber Group, Inc. ......................... 4,202,825
80,664 Pall Corp. ....................................... 1,789,733
187,000 Parametric Technology Corp.(1) ................... 2,594,625
84,414 Parker-Hannifin Corp. ............................ 3,861,941
165,150 Paychex, Inc. .................................... 5,264,156
32,225 PE Corp. -- PE Biosystems Group .................. 3,697,819
126,384 PECO Energy ...................................... 5,292,330
22,655 People's Energy Corp. ............................ 853,810
149,300 Peoplesoft, Inc.(1) .............................. 2,575,425
33,612 Pep Boys (Manny Moe & Jack) ...................... 726,860
941,994 PepsiCo, Inc. .................................... 36,443,393
832,228 Pfizer, Inc. ..................................... 91,337,023
257,305 PG&E Corp. ....................................... 8,362,413
325,732 Pharmacia & Upjohn, Inc. ......................... 18,505,649
</TABLE>
See Notes to Financial Statements.
9
<PAGE> 11
================================================================================
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
37,108 Phelps Dodge Corp. ............................... $ 2,298,377
1,558,198 Philip Morris Companies .......................... 62,620,082
162,006 Phillips Petroleum Co. ........................... 8,150,927
153,520 Pioneer Hi-Bred International, Inc. .............. 5,977,685
174,796 Pitney Bowes, Inc. ............................... 11,230,643
151,104 Placer Dome, Inc. ................................ 1,784,916
194,133 PNC Bank Corp. ................................... 11,186,914
33,582 Polaroid Corp. ................................... 927,703
18,501 Potlatch ......................................... 812,888
112,342 PPG Industries, Inc. ............................. 6,635,199
101,115 Praxair, Inc. .................................... 4,948,315
851,240 Procter & Gamble Co. ............................. 75,973,170
46,450 Progressive Corporation of Ohio .................. 6,735,250
62 Prologis Trust ................................... 1,256
85,800 Provident Cos., Inc. ............................. 3,432,000
90,797 Providian Financial Corp. ........................ 8,489,520
143,294 Public Service Enterprise Group .................. 5,857,142
29,832 Pulte Corp. ...................................... 688,001
94,184 Quaker Oats Co. .................................. 6,251,463
86,052 R.R. Donnelley & Sons Co. ........................ 3,189,302
207,815 Ralston Purina Group ............................. 6,325,369
51,976 Raychem Corp. .................................... 1,923,112
217,114 Raytheon Co. -- Class B .......................... 15,279,398
35,129 Reebok International Ltd.(1) ..................... 654,278
136,170 Regions Financial Corp. .......................... 5,234,034
169,592 Reliant Energy ................................... 4,684,979
76,600 Republic New York Corp. .......................... 5,223,163
49,249 Reynolds Metals Co. .............................. 2,905,691
183,502 Rite Aid Corp. ................................... 4,518,737
66 Rj Reynolds Tobacco Hldgs ........................ 2,079
135,424 Rockwell International Corp. ..................... 8,227,008
134,491 Rohm & Haas Co. .................................. 5,766,330
51,700 Rowan Cos., Inc.(1) .............................. 953,219
1,363,504 Royal Dutch Petroleum Co. ........................ 82,151,116
23,111 Russell Corp. .................................... 450,665
46,017 Ryder Systems, Inc. .............................. 1,196,442
93,902 Safeco ........................................... 4,143,426
326,500 Safeway, Inc.(1) ................................. 16,161,750
583,554 Sara Lee Corp. ................................... 13,239,381
1,254,428 SBC Communications, Inc. ......................... 72,756,824
942,432 Schering-Plough Corp. ............................ 49,948,896
352,562 Schlumberger Ltd. ................................ 22,453,792
48,438 Scientific-Atlanta, Inc. ......................... 1,743,768
156,400 Seagate Technology, Inc.(1) ...................... 4,007,750
286,737 Seagram Co. Ltd. ................................. 14,444,376
53,605 Sealed Air Corp.(1) .............................. 3,477,624
245,609 Sears, Roebuck & Co. ............................. 10,944,951
132,514 Sempra Energy .................................... 2,998,129
175,992 Service Corp. International ...................... 3,387,846
17,074 Shared Medical Systems Corp. ..................... 1,114,079
115,474 Sherwin-Williams Co. ............................. 3,204,404
65,600 Sigma Aldrich Corp. .............................. 2,259,100
119,215 Silicon Graphics, Inc.(1) ........................ 1,952,146
106,200 SLM Holding Corp. ................................ 4,865,288
41,094 Snap-On Tools Corp. .............................. 1,487,089
161,500 Solectron Corp.(1) ............................... 10,770,031
68,910 Sonat, Inc. ...................................... 2,282,644
447,458 Southern Co. ..................................... 11,857,637
118,200 Southtrust Corp .................................. 4,535,925
215,800 Southwest Airlines Co. ........................... 6,716,775
7,104 Springs Industries, Inc. -- Class A .............. 309,912
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
583,064 Sprint Corp. ..................................... $30,793,068
278,791 Sprint PCS(1) .................................... 15,925,936
50,588 St. Jude Medical, Inc. ........................... 1,802,198
151,228 St. Paul Cos., Inc. .............................. 4,810,941
54,830 Stanley Works .................................... 1,764,841
314,200 Staples, Inc.(1) ................................. 9,720,563
102,700 State Street Corp. ............................... 8,768,013
119,100 Summit Bancorp ................................... 4,979,869
499,912 Sun Microsystems, Inc.(1) ........................ 34,431,439
62,745 Sunoco, Inc. ..................................... 1,894,115
205,460 Suntrust Banks, Inc. ............................. 14,266,629
73,940 SuperValu, Inc. .................................. 1,899,334
146,950 Synovus Financial Corp. .......................... 2,920,631
213,420 Sysco Corp. ...................................... 6,362,584
126,932 Tandy Corp. ...................................... 6,203,802
30,207 Tektronix, Inc. .................................. 911,874
249,150 Tellabs, Inc.(1) ................................. 16,833,197
41,122 Temple Inland, Inc. .............................. 2,806,577
193,410 Tenet Healthcare Corp.(1) ........................ 3,590,173
118,234 Tenneco, Inc. .................................... 2,822,837
361,622 Texaco, Inc. ..................................... 22,601,375
248,756 Texas Instruments, Inc. .......................... 36,069,620
182,127 Texas Utilities Co. .............................. 7,512,739
97,606 Textron, Inc. .................................... 8,034,194
96,300 Thermo Electron Corp.(1) ......................... 1,932,019
39,400 Thomas & Betts Corp. ............................. 1,861,650
755,830 Time Warner, Inc. ................................ 55,553,505
46,329 Times Mirror Co.-- Class A ....................... 2,744,993
35,396 Timken Co. ....................................... 690,222
215,816 TJX Cos., Inc. ................................... 7,189,371
87,068 Torchmark Corp. .................................. 2,971,196
168,118 Toys `R' Us, Inc.(1) ............................. 3,477,941
80,786 Transamerica Corp. ............................... 6,058,950
76,096 Tribune Co. ...................................... 6,629,864
98,899 Tricon Global Restaurants, Inc.(1) ............... 5,352,908
76,772 TRW, Inc. ........................................ 4,212,864
36,896 Tupperware Corp. ................................. 940,848
516,606 Tyco International Ltd. .......................... 48,948,419
476,637 U.S. Bancorp ..................................... 16,205,658
322,755 U.S. West, Inc. .................................. 18,961,856
170,225 Unicom Corp. ..................................... 6,564,302
351,346 Unilever NV ...................................... 24,506,384
85,152 Union Carbide Corp. .............................. 4,151,160
158,747 Union Pacific Corp. .............................. 9,256,934
160,948 Union Pacific Resources Group, Inc. .............. 2,625,464
83,200 Union Planters Corp. ............................. 3,718,000
160,499 Unisys Corp.(1) .................................. 6,249,430
119,500 United Healthcare Corp. .......................... 7,483,688
310,324 United Technologies Corp. ........................ 22,246,352
154,737 Unocal Corp. ..................................... 6,131,454
89,800 UNUM Corp. ....................................... 4,916,550
48,715 US Airways Group, Inc.(1) ........................ 2,122,147
123,407 UST, Inc. ........................................ 3,609,655
62,377 USX -- U.S. Steel Group .......................... 1,684,179
193,064 USX Marathon Group ............................... 6,286,647
76,930 V.F. Corp. ....................................... 3,288,758
450,898 Viacom, Inc. -- Class B(1) ....................... 19,839,512
65,100 Vulcan Materials Co. ............................. 3,141,075
47,049 W.R. Grace & Co.(1) .............................. 864,525
61,530 W.W. Grainger, Inc. .............................. 3,311,083
125,710 Wachovia Corp. ................................... 10,756,062
</TABLE>
See Notes to Financial Statements.
10
<PAGE> 12
================================================================================
Equity 500 Index Portfolio
STATEMENT OF NET ASSETS June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
2,837,496 Wal-Mart Stores, Inc. ............................ $ 136,909,182
626,136 Walgreen Co. ..................................... 18,392,745
1,318,271 Walt Disney Co. .................................. 40,619,225
544,358 Warner-Lambert Co. ............................... 37,764,836
379,172 Washington Mutual, Inc. .......................... 13,413,210
390,151 Waste Management, Inc. ........................... 20,970,616
58,600 Watson Pharmaceuticals(1) ........................ 2,054,663
40,400 Wellpoint Health Networks(1) ..................... 3,428,950
1,054,236 Wells Fargo Co. .................................. 45,068,589
84,662 Wendy's International, Inc. ...................... 2,396,993
62,760 Westvaco Corp. ................................... 1,820,040
128,594 Weyerhaeuser Co. ................................. 8,840,838
49,839 Whirlpool Corp. .................................. 3,688,086
65,100 Willamette Industries, Inc. ...................... 2,998,669
301,036 Williams Cos., Inc. .............................. 12,812,845
76,880 Winn Dixie Stores, Inc. .......................... 2,839,755
74,392 Wm. Wrigley, Jr. Co. ............................. 6,695,280
56,579 Worthington Industries, Inc. ..................... 930,017
420,470 Xerox Corp. ...................................... 24,834,009
--------------
Total Common Stock (Cost $4,624,473,581) ..................... 7,219,251,149
--------------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
------ ----------- -----
<S> <C> <C>
SHORT TERM INSTRUMENTS - 2.3%
Mutual Funds - 2.1%
149,053,427 Institutional Cash Management
Fund(2) ......................................... $ 149,053,427
--------------
Principal
Amount
- ---------
U.S. Treasury Bills - 0.2%
$11,500,000 4.37%, 7/22/99(2) ............................... 11,471,187
1,075,000 4.12%, 7/22/99(2) ............................... 1,072,429
--------------
12,543,616
--------------
Total Short Term Instruments (Cost $161,597,043) .................. 161,597,043
--------------
Total Investments (Cost $4,786,070,624) ................... 103.6% 7,380,848,192
Liabilities in Excess of Other Assets ..................... (3.6)% (253,903,135)
----- --------------
Net Assets ................................................ 100.0% $7,126,945,057
===== ==============
</TABLE>
- ------------------
(1) Non-income producing security.
(2) Held as collateral for futures contracts.
See Notes to Financial Statements.
11
<PAGE> 13
================================================================================
Equity 500 Index Portfolio
STATEMENT OF OPERATIONS For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income
Dividends (net of foreign withholding tax of $853,040) ...................... $ 50,446,337
Interest .................................................................... 230,889
-------------
Total Investment Income ........................................................ 50,677,226
-------------
Expenses
Advisory Fees ............................................................... 2,388,171
Administration and Services Fees ............................................ 139,626
Professional Fees ........................................................... 17,157
Trustees Fees ............................................................... 1,613
Miscellaneous ............................................................... 815
-------------
Total Expenses .............................................................. 2,547,382
-------------
Net Investment Income .......................................................... 48,129,844
-------------
Realized and Unrealized Gain on Investments and Futures Contracts
Net Realized Loss from Investment Transactions .............................. (20,205,629)
Net Realized Gain from Futures Transactions ................................. 7,878,722
Net Change in Unrealized Appreciation/Depreciation on Investments ........... 692,807,362
Net Change in Unrealized Appreciation/Depreciation on Futures Contracts ..... 4,463,160
-------------
Net Realized and Unrealized Gain on Investments and Futures Contracts .......... 684,943,615
-------------
Net Increase in Net Assets from Operations ..................................... $ 733,073,459
=============
</TABLE>
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
----------------- -----------------
<S> <C> <C>
Increase in Net Assets from:
Operations
Net Investment Income ............................................................... $ 48,129,844 $ 58,364,731
Net Realized Gain (Loss) from Investment Transactions and Futures Transactions ...... (12,326,907) 35,274,688
Net Change in Unrealized Appreciation/Depreciation on Investment
and Futures Contracts ............................................................. 697,270,522 895,089,518
--------------- ---------------
Net Increase in Net Assets from Operations ............................................. 733,073,459 988,728,937
--------------- ---------------
Capital Transactions
Proceeds from Capital Invested ...................................................... 2,666,490,800 2,853,940,069
Value of Capital Withdrawn .......................................................... (1,473,123,612) (1,445,251,067)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions ................................... 1,193,367,188 1,408,689,002
--------------- ---------------
Total Increase in Net Assets ........................................................... 1,926,440,647 2,397,417,939
Net Assets
Beginning of Period ................................................................. 5,200,504,410 2,803,086,471
--------------- ---------------
End of Period ....................................................................... $ 7,126,945,057 $ 5,200,504,410
=============== ===============
</TABLE>
- -----------------
(1) Unaudited.
See Notes to Financial Statements.
12
<PAGE> 14
================================================================================
Equity 500 Index Portfolio
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
For the
six months For the year ended December 31,
ended June 30, ------------------------------------------------------------------
1999(1) 1998 1997 1996 1995 1994
--------------- ----------- ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ... $ 7,126,945 $ 5,200,504 $ 2,803,086 $ 1,925,224 $ 1,080,736 $ 559,772
Ratios to Average Net Assets:
Net Investment Income ................... 1.51%(2) 1.50% 1.76% 2.20% 2.52% 2.84%
Expenses ................................ 0.08%(2) 0.08% 0.08% 0.10% 0.10% 0.10%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust ... -- 0.02% 0.07% 0.05% 0.05% 0.06%
Portfolio Turnover Rate .................... 10% 4% 19% 15% 6% 21%
</TABLE>
- ------------------
(1) Unaudited.
(2) Annualized.
See Notes to Financial Statements.
13
<PAGE> 15
================================================================================
Equity 500 Index Portfolio
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The Equity 500 Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11, 1991
as an unincorporated trust under the laws of New York and began operations on
December 31, 1992. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. 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 accretion of discount on
investments. Realized gains and losses from securities transactions are recorded
on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. Futures Contracts
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either cash or securities in an amount equal to
a certain percentage of the contract amount. Variation margin payments are made
or received by the Portfolio each day, 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
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with 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"). The agreement provides for the
Portfolio to pay Bankers Trust a fee, accrued daily and paid monthly, computed
as a percentage of the average daily net assets of the Portfolio which on an
annual basis is equal to the lesser of (1) 0.005%, or (2) the amount that brings
the total annual operating expenses as a percentage of the Portfolio's average
daily net assets up to 0.08%. For the period January 1, 1998 to May 6, 1998, the
Administration and Services fee was 0.05% on an annual basis. For the six months
ended June 30, 1999, Administration and Services Fees amounted to $139,626.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this 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 May 6, 1998 the Advisory fee was .10%.
For the six months ended June 30, 1999, Advisory Fees amounted to $2,388,171, of
which $267,757 was payable at the end of the period.
Bankers Trust has voluntarily undertaken to waive its fees 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.
The Portfolio may invest in the 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, 1999 amounted to $3,787,178 and are included in
dividend income.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility in the amount of $100,000,000, which expires April 29, 2000. A
commitment fee of .10% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facility will bear interest at a
rate per annum equal to the Federal Funds Rate plus .50%. No amounts were drawn
down or outstanding under the credit facility as of and for the six months ended
June 30, 1999.
For the six months ended June 30, 1999, the Portfolio paid affiliated brokerage
commissions of $16,526.
14
<PAGE> 16
================================================================================
Equity 500 Index Portfolio
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust
Corporation. In November 1998 Bankers Trust Corporation ("BT Corp.") and
Deutsche Bank AG ("Deutsche Bank") entered into an Agreement and Plan of Merger
which was consummated on June 4, 1999. As a result of the transaction, BT Corp.
became a wholly-owned subsidiary of Deutsche Bank.
Note 3--Purchases and Sales of Investment Securities
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1999, were
$1,976,610,265 and $615,765,892, respectively. For federal income tax purposes,
the tax basis of investments held at June 30, 1999 was $4,804,171,277. The
aggregate gross unrealized appreciation was $2,665,663,652, and the aggregate
gross unrealized depreciation was $88,986,737 for all investments as of June 30,
1999. Payable for securities purchased at June 30, 1999 amounted to
$318,781,154.
Note 4--Futures Contracts
A summary of obligations under these financial instruments at June 30, 1999 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. 1999 592 Long $204,491,600 $5,603,496
</TABLE>
At June 30, 1999, the Portfolio segregated approximately $12,540,000 to cover
margin requirements on open futures contracts.
Note 5--Net Assets
<TABLE>
<S> <C>
Paid-in Capital ........................ $4,526,563,993
Net Unrealized Appreciation on
Investments and Futures ............. 2,600,381,064
--------------
Total Net Assets ....................... $7,126,945,057
==============
</TABLE>
15
<PAGE> 17
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<PAGE> 18
[AMERICAN AADVANTAGE MILEAGE FUNDS LOGO]
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