<PAGE> 1
[AMERICAN AADVANTAGE MILEAGE FUNDS(SM)]
[AMR LOGO]
ANNUAL REPORT
DECEMBER 31, 1999
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
- --------------------------------------------------------------------------------
Dear Fellow Shareholder:
We are pleased to present you with this annual report for the American
Aadvantage S&P 500 Index Mileage Fund, providing a review of the markets and our
outlook as well as a complete financial summary of the Fund's operations and a
listing of the Portfolio's holdings.
MARKET OVERVIEW
The S&P 500 Index appreciated in excess of 20% for a record fifth consecutive
year in 1999. Never before in recorded history have U.S. stocks achieved this
total return level more than twice in a row. A combination of strong domestic
economic growth and impressive corporate earnings gains--with minimal inflation
and large amounts of dollars being invested in technology stocks--positively
influenced the market and also combined to drive equity valuations to
historically high levels despite a rising interest rate environment.
Still, volatility within the U.S. equity market remained high.
o The S&P 500 Index advanced forward as 1999 began, closing above the 1,300 mark
late in the first quarter, although sell-offs in large cap technology stocks had
raised concerns early in the quarter.
o April saw not only shifts into small and mid cap stocks, but also, large cap
growth stocks underperformed their value counterparts for the first time in
nearly 1 1/2 years. Stronger performance in energy-related stocks, positive
earnings surprises, and a rotation into cyclicals led to these stronger returns
in value sectors long out of favor.
o By June, technology stocks had pushed large cap growth stocks back into the
lead.
o Broad market third quarter equity index returns were negative across small,
mid, and large capitalization asset classes, primarily due to weaker performance
in technology and energy stocks.
o Although large cap stock performance soared at the end of the fourth quarter,
the Russell 2000 Index, which measures small cap equities, outperformed the S&P
500 Index on an annual basis for the first time in five years, as investors
sought the lower valuations of small cap growth stocks.
As has been the case for the past several years, large-capitalization
growth-oriented stocks outperformed their value counterparts for the twelve
months, led in 1999 by the technology sector. Other stronger performing sectors
for the year included capital goods and basic materials. Weaker performing
sectors included health care, utilities, and transportation. Top stocks in the
S&P 500 Index in 1999 included Qualcomm Inc., Sprint Corp (PCS), and Nextel
Communications Inc.-A. Weaker performers included McKesson HBOC, Rite Aid Corp.,
and Service Corp. International. Interestingly, more stocks in the S&P 500 Index
actually declined in value in 1999 rather than appreciated, rendering
performance in the U.S. stock market very narrow indeed. There were 41 changes
to the Index for the twelve month period, due primarily to mergers and
acquisitions. Comparatively, this represents fewer additions and deletions to
the Index than a year ago.
TOP TEN HOLDINGS AS OF DECEMBER 31, 1999
<TABLE>
<S> <C>
Microsoft Corp. 4.77%
General Electric Co. 4.03%
Cisco Systems, Inc. 2.76%
Wal-Mart Stores, Inc. 2.42%
Exxon Mobil Corp. 2.19%
Intel Corp. 2.16%
Lucent Technologies, Inc. 1.87%
International Business Machines Corp 1.53%
Citigroup 1.47%
America Online, Inc. 1.34%
</TABLE>
1
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American AAdvantage S&P 500 Index Mileage Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
OUTLOOK
Looking ahead for the near term, we believe the U.S. economy still has
substantial momentum, and the financial fundamentals for both households and
businesses remain strong. While inflation has remained benign, primarily because
growth in labor compensation has failed to outstrip productivity growth despite
drum-tight labor markets, inflation risks remain, as labor markets continue to
tighten and as overseas growth continues to gather steam. Thus, the Federal
Reserve Board is likely to, in our view, continue to nudge interest rates higher
through mid-2000, as it seeks to slow real economic growth to a more sustainable
pace.
Since the economy's ability to grow quickly and generate strong profits without
inflation has been the driving force behind the bull market of recent years,
what our outlook means is that economic fundamentals may be comparatively less
supportive of equities in the next year or so. However, even with a gradual
slowdown in economic growth, a modest pickup in inflation, and pressure on
profit margins from rising labor costs and higher interest rates, we do not see
a sharp correction in equities. We also believe the economy will likely retain
many of its structural improvements, such as faster productivity growth and less
volatile economic cycles. The major risk to the equity markets, in our view, is
if the economy really overheats, provoking aggressive Fed tightening and
imperiling the economic expansion the U.S. has enjoyed for nearly nine 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, 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.
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
2
<PAGE> 4
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American AAdvantage S&P 500 Index Mileage Fund
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment For The
Period From 12/31/96 Through 12/31/99
[CHART]
<TABLE>
- --------------------------------------------------------------------------------
Annualized Total
Returns
------------------------
Periods Ended 12/31/99
------------------------ Value of
Since $10,000
1 Year 12/31/96 12/31/96-12/31/99
----------- ------------ ----------------------------
<S> <C> <C> <C>
Mileage Fund(1)(2) 20.31% 27.34% $20,648
S&P 500 Index 21.04% 27.56% $20,755
Lipper S&P 500 Index(3) 20.62% 27.24% $20,601
- --------------------------------------------------------------------------------
</TABLE>
(1) Past performance is not indicative of future performance. Investment return
will fluctuate up and down. When you sell your shares, they could be worth less
than what you paid for them.
(2) The Fund's performance is derived from a combination of the Fund's
performance and that of another fund (the "Companion Fund") not included in this
report. Like the Fund, the Companion Fund invests all of its investable assets
in the BT Equity 500 Index Portfolio. The performance results from inception
through March 2, 1998 are those of the Companion Fund. The Fund began offering
its shares on March 2, 1998. Thus, performance results shown from that date
through December 31, 1999 are for the Fund. Because the Companion Fund had lower
expenses, its performance was better than the Fund would have realized in the
same period.
(3) The Lipper S&P 500 Index is a composite of Funds with the same investment
objective as the Fund.
3
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American AAdvantage S&P 500 Index Mileage Fund
STATEMENT OF ASSETS AND LIABILITIES December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in the BT Equity 500 Index Portfolio, at Value ....................... $ 4,712,740
Receivable for Shares of Beneficial Interest Subscribed ......................... --
Receivable for Expense Reimbursement (Note 2) ................................... 13,816
Deferred Organization Costs ..................................................... 147
-----------
Total Assets ........................................................................ 4,726,703
-----------
LIABILITIES
Accrued Organization Costs ...................................................... 7,479
Administrative Service Fees Payable (Note 2) .................................... 4,871
Other Liabilities ............................................................... 29,679
-----------
Total Liabilities ................................................................... 42,029
-----------
NET ASSETS .......................................................................... $ 4,684,674
===========
COMPOSITION OF NET ASSETS
Paid-in Capital ................................................................. $ 4,063,440
Undistributed Net Investment Income ............................................. 342
Accumulated Net Realized Loss from Investments and Futures Transactions ......... (499,245)
Net Unrealized Appreciation on Investments and Futures Contracts ................ 1,120,137
-----------
NET ASSETS .......................................................................... $ 4,684,674
===========
SHARES OUTSTANDING (no par value) ................................................... 333,391
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ............................ $ 14.05
===========
</TABLE>
================================================================================
STATEMENT OF OPERATIONS Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from the BT Equity 500 Index Portfolio, net .................... $ 60,518
EXPENSES
Administrative Service Fees ..................................................... 13,458
Transfer Agency Fees ............................................................ 3,447
Professional Fees ............................................................... 8,633
Registration Fees ............................................................... 19,311
Amortization of Organization Costs .............................................. 4,000
Distribution Fees ............................................................... 11,047
Other Expenses .................................................................. 14,097
-----------
Total Expenses .................................................................. 73,993
Less: Expenses Absorbed by AMR Investment Services, Inc. ....................... (52,398)
-----------
Net Expenses ............................................................... 21,595
-----------
NET INVESTMENT INCOME ............................................................... 38,923
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Loss from Investment Transactions .................................. (44,819)
Net Realized Gain from Futures Transactions ..................................... 10,489
Net Change in Unrealized Appreciation on Investments and Futures Contracts ...... 725,420
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS ............... 691,090
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS .......................................... $ 730,013
===========
</TABLE>
See Notes to Financial Statements
4
<PAGE> 6
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American AAdvantage S&P 500 Index Mileage Fund
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED MARCH 2, 1998 TO
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ........................................................... $ 38,923 $ 13,971
Net Realized Gain (Loss) from Investments and Futures Transactions .............. (34,330) 3,434
Net Change in Unrealized Appreciation on Investments and Futures Contracts ...... 725,420 394,717
------------ ------------
Net Increase in Net Assets from Operations .......................................... 730,013 412,122
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ........................................................... (38,581) (14,229)
------------ ------------
Total Distributions ................................................................. (38,581) (14,229)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares ................................................... 23,891,255 10,646,746
Dividend Reinvestments .......................................................... 34,655 12,694
Cost of Shares Redeemed ......................................................... (22,483,627) (8,506,374)
------------ ------------
Net Increase from Capital Transactions in Shares of Beneficial Interest ............. 1,442,283 2,153,066
------------ ------------
TOTAL INCREASE IN NET ASSETS ........................................................ 2,133,715 2,550,959
NET ASSETS
Beginning of Period ................................................................. 2,550,959 --
------------ ------------
End of Period (including undistributed net investment income of $342 and $0
for the years ended December 31, respectively) ...................................... $ 4,684,674 $ 2,550,959
============ ============
</TABLE>
See Notes to Financial Statements
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>
YEAR ENDED MARCH 2,1998
DECEMBER 31, 1999 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 ...................................................................... 0.11 0.10
Net Realized and Unrealized Gain on Investments and Futures Transactions ................... 2.27 1.78
------------ ------------
Total from Investment Operations ............................................................... 2.38 1.88
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ...................................................................... (0.11) (0.10)
------------ ------------
Total Distributions ........................................................................ (0.11) (0.10)
------------ ------------
NET ASSET VALUE, END OF PERIOD ................................................................. $ 14.05 $ 11.78
============ ============
TOTAL INVESTMENT RETURN ........................................................................ 20.31% 18.92%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ................................................... $ 4,685 $ 2,551
Ratios to Average Net Assets:
Net Investment Income ............................................................... 0.87% 1.00%
Expenses, including expenses of the BT Equity 500 Index Portfolio, after waivers .... 0.55% 0.55%
Expenses, including expenses of the BT Equity 500 Index Portfolio, before waivers ... 1.72% 3.36%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust and AMR Investment Services, Inc. ........ 1.17% 2.81%
</TABLE>
- ---------------
See Notes to Financial Statements
6
<PAGE> 8
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American AAdvantage S&P 500 Index Mileage Fund
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 ten
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 December 31, 1999, the Fund's investment was 0.06% 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 $499,153
which expires in year 2007.
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.
7
<PAGE> 9
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American AAdvantage S&P 500 Index Mileage Fund
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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, 2000 to the extent that total annual fund operating expenses
exceed 0.55%.
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 year ended December 31, 1999, the Manager
waived distribution fees totaling $11,047.
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. One
trustee, as a retiree of American, already receives flight benefits. The Trust
compensates this trustee up to $10,000 annually to cover his personal flight
service charges for his three children, as well as the income tax charged on the
value of these benefits.
For the year ended December 31, 1999, the cost of air transportation for the
trustees was not material to any of the Funds.
D. Reimbursement of Expenses
For the year ended December 31, 1999, the Manager reimbursed expenses totaling
$41,351 to the Fund.
NOTE 3-SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
For the year ended For the period ended
December 31, 1999 December 31, 1998
---------------------------- ----------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold .................... 1,913,188 $ 23,891,255 1,055,816 $ 10,646,746
Reinvested .............. 2,697 34,655 1,177 12,694
Redeemed ................ (1,799,001) (22,483,627) (840,486) (8,506,374)
------------ ------------ ------------ ------------
Net increase ............ 116,884 $ 1,442,283 216,507 $ 2,153,066
============ ============ ============== =============
</TABLE>
NOTE 4:-SUBSEQUENT EVENT
Effective March 1, 2000, the Fund will withdraw its interest in the Portfolio
through an in-kind redemption receiving a distribution of securities from the
Portfolio with a market value equal to the fund's investment in the Portfolio at
the close of business on February 29, 2000. The Fund will immediately contribute
those securities to the State Street Equity 500 Index Portfolio. Ernst & Young
LLP has been retained as the Fund's independent accountants for the fiscal year
ending December 31, 2000.
8
<PAGE> 10
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American AAdvantage S&P 500 Index Mileage Fund
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees of American AAdvantage Funds
and Shareholders of S&P 500 Index Fund
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
S&P 500 Index Fund (one of the fund comprising American AAdvantage Funds,
hereafter referred to as the "Fund") at December 31, 1999, and the results of
its operations, the changes in its net assets and the financial highlights for
each of the fiscal periods presented, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the transfer agent, provide a reasonable basis
for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
9
<PAGE> 11
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American AAdvantage S&P 500 Index Mileage Fund
SPECIAL MEETING OF SHAREHOLDERS (unaudited)
- --------------------------------------------------------------------------------
A special meeting of shareholders of the American AAdvantage S&P 500 Index
Mileage Fund (the "Fund") was held on October 8, 1999. The shareholders
authorized the Fund to vote on the following matters at a meeting of interest
holders of the BT Equity 500 Index Portfolio (the "Portfolio").
(1) To approve the proposed new investment advisory agreement between the
Portfolio and Bankers Trust Company.
<TABLE>
<CAPTION>
% % %
For For Against Against Abstain Abstain
--- --- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
201,387 94.62% 11,449 5.38% 0 0.00%
</TABLE>
(2) To elect eight trustees to the Board of Trustees of the Portfolio.
<TABLE>
<CAPTION>
Shares % of Shares % of Voted
Nominee For Voted For Withheld Withheld
- ------- --- --------- -------- --------
<S> <C> <C> <C> <C>
Biggar 203,563 95.64% 9,273 4.36%
Dill 203,563 95.64% 9,273 4.36%
Gruber 203,563 95.64% 9,273 4.36%
Hale 203,563 95.64% 9,273 4.36%
Herring 203,563 95.64% 9,273 4.36%
Langton 203,563 95.64% 9,273 4.36%
Saunders 203,563 95.64% 9,273 4.36%
Van Benschoten 203,563 95.64% 9,273 4.36%
</TABLE>
(3) To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants for the Portfolio for the current fiscal year.
<TABLE>
<CAPTION>
% %
For % For Against Against Abstain Abstain
--- ----- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
208,402 97.92% 0 0.00% 4,434 2.08%
</TABLE>
10
<PAGE> 12
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS December 31, 1999
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
<S> <C> <C>
COMMON STOCK - 97.4%
223,300 3Com Corp.(1) ................................................... $ 10,495,100
994,844 Abbott Laboratories ............................................. 36,125,273
66,100 Adaptec, Inc.(1) ................................................ 3,296,737
85,700 ADC Telecommunications,
Inc.(1) ....................................................... 6,218,606
76,200 Adobe Systems, Inc. ............................................. 5,124,450
22,868 Adolph Coors Co.-- Class B ...................................... 1,200,570
113,241 Advanced Micro Devices, Inc. .................................... 3,276,911
134,700 AES Corp.(1) .................................................... 10,068,825
90,059 Aetna, Inc. ..................................................... 5,026,418
166,300 Aflac, Inc. ..................................................... 7,847,281
144,608 Air Products and Chemicals,
Inc ........................................................... 4,853,406
17,998 Alberto-Culver Co.-- Class B .................................... 464,573
286,623 Albertson's, Inc. ............................................... 9,243,592
136,636 Alcan Aluminium Ltd. ............................................ 5,627,695
237,100 Alcoa, Inc. ..................................................... 19,679,300
63,297 Allegheny Technologies .......................................... 1,420,226
88,402 Allergan, Inc. .................................................. 4,397,999
110,600 Allied Waste Industries, Inc.(1) ................................ 974,662
555,598 Allstate Corp. .................................................. 13,334,352
203,100 Alltel Corp. .................................................... 16,793,831
62,634 ALZA Corp.(1) ................................................... 2,168,702
61,093 Amerada Hess Corp. .............................................. 3,467,028
82,720 Ameren Corp. .................................................... 2,709,080
1,450,000 America Online, Inc.(1) ......................................... 109,384,375
129,910 American Electric Power Co. ..................................... 4,173,359
295,616 American Express Co. ............................................ 49,146,160
158,537 American General Corp. .......................................... 12,028,995
56,014 American Greetings Corp.--
Class A ....................................................... 1,323,331
839,092 American Home Products
Corp .......................................................... 33,091,691
994,881 American International Group,
Inc ........................................................... 107,571,508
661,560 Amgen, Inc.(1) .................................................. 39,734,947
97,004 AMR Corp.(1) .................................................... 6,499,268
228,550 Amsouth Bancorporation .......................................... 4,413,872
92,300 Anadarko Petroleum Corp. ........................................ 3,149,737
119,600 Analog Devices, Inc.(1) ......................................... 11,122,800
50,276 Andrew Corp.(1) ................................................. 952,102
302,180 Anheuser Busch Cos., Inc. ....................................... 21,417,007
154,375 AON Corp. ....................................................... 6,175,000
73,700 Apache Corp. .................................................... 2,722,294
110,342 Apple Computer, Inc.(1) ......................................... 11,344,537
237,200 Applied Materials, Inc.(1) ...................................... 30,050,275
393,659 Archer-Daniels-Midland Co. ...................................... 4,797,719
26,183 Armstrong World Industries, Inc. ................................ 873,858
32,287 Ashland, Inc. ................................................... 1,063,453
474,522 Associates First Capital Corp.--
Class A ....................................................... 13,019,697
2,053,306 AT&T Corp. ...................................................... 104,205,279
204,550 Atlantic Richfield Co. .......................................... 17,693,575
43,114 Autodesk, Inc. .................................................. 1,455,097
412,824 Automatic Data Processing,
Inc ........................................................... 22,240,893
94,500 Autozone, Inc.(1) ............................................... 3,053,531
72,830 Avery Dennison Corp. ............................................ 5,307,486
167,556 Avon Products, Inc. ............................................. 5,529,348
237,813 Baker Hughes, Inc. .............................................. 5,008,936
18,354 Ball Corp. ...................................................... 722,689
1,113,739 Bank of America Corp. ........................................... 55,895,776
481,200 Bank of New York Co., Inc. ...................................... 19,248,000
736,948 Bank One Corp. .................................................. 23,628,395
269,400 Barrick Gold Corp. .............................................. 4,765,012
40,823 Bausch & Lomb, Inc. ............................................. 2,793,824
184,263 Baxter International, Inc. ...................................... 11,574,020
173,000 BB&T Corp. ...................................................... 4,735,875
86,199 Bear Stearns Companies, Inc. .................................... 3,685,007
161,464 Becton, Dickinson & Co. ......................................... 4,319,162
104,500 Bed, Bath & Beyond, Inc.(1) ..................................... 3,631,375
997,780 Bell Atlantic Corp. ............................................. 61,425,831
1,208,664 BellSouth Corp. ................................................. 56,580,583
24,831 Bemis Co., Inc. ................................................. 865,981
132,400 Best Buy, Inc.(1) ............................................... 6,644,825
182,660 Bestfoods ....................................................... 9,601,066
87,049 Bethlehem Steel Corp.(1) ........................................ 729,035
70,550 Biomet, Inc. .................................................... 2,822,000
56,271 Black & Decker Corp. ............................................ 2,940,160
149,000 BMC Software, Inc.(1) ........................................... 11,910,687
607,246 Boeing Co. ...................................................... 25,238,662
37,503 Boise Cascade Corp. ............................................. 1,518,871
245,100 Boston Scientific Corp.(1) ...................................... 5,361,562
15,282 Briggs & Stratton Corp. ......................................... 819,497
1,294,056 Bristol-Myers Squibb Co. ........................................ 83,062,219
29,319 Brown-Forman Corp.-- Class B .................................... 1,678,513
57,542 Brunswick Corp. ................................................. 1,280,309
310,336 Burlington Northern Santa
Fe Corp. ...................................................... 7,525,648
123,439 Burlington Resources, Inc. ...................................... 4,081,202
53,677 C.R. Bard, Inc. ................................................. 2,844,881
116,000 Cabletron Systems, Inc.(1) ...................................... 3,016,000
268,154 Campbell Soup Co. ............................................... 10,374,208
123,300 Capital One Financial Corp. ..................................... 5,941,519
166,197 Cardinal Health, Inc. ........................................... 7,956,681
396,400 Carnival Corp.-- Class A ........................................ 18,952,875
75,928 Carolina Power & Light Co. ...................................... 2,311,058
230,064 Caterpillar, Inc. ............................................... 10,827,387
491,503 CBS Corp.(1) .................................................... 31,425,473
475,610 Cendant Corp.(1) ................................................ 12,633,391
37,280 Centex Corp. .................................................... 920,350
133,630 Central & South West Corp. ...................................... 2,672,600
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
11
<PAGE> 13
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS December 31, 1999
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
<S> <C> <C>
92,900 Centurytel, Inc. ................................................ $ 4,401,137
86,104 Ceridian Corp.(1) ............................................... 1,856,617
65,728 Champion International Corp. .................................... 4,071,028
519,500 Charles Schwab Corp. ............................................ 19,935,812
541,264 Chase Manhattan Corp. ........................................... 42,049,447
412,666 Chevron Corp. ................................................... 35,747,192
111,172 Chubb Corp. ..................................................... 6,260,373
120,299 CIGNA Corp. ..................................................... 9,691,588
94,500 Cincinnati Financial Corp. ...................................... 2,947,219
106,322 Cinergy Corp. ................................................... 2,565,018
136,692 Circuit City Stores, Inc. ....................................... 6,159,683
2,105,950 Cisco Systems, Inc.(1) .......................................... 225,599,894
2,166,624 Citigroup ....................................................... 120,383,046
57,700 Citrix Systems, Inc(1) .......................................... 7,097,100
202,500 Clear Channel
Communications, Inc.(1) ....................................... 18,073,125
152,008 Clorox Co. ...................................................... 7,657,403
72,600 CMS Energy ...................................................... 2,264,212
146,132 Coastal Corp. ................................................... 5,178,553
1,590,442 Coca-Cola Co. ................................................... 92,643,246
258,400 Coca-Cola Enterprises, Inc. ..................................... 5,200,300
367,004 Colgate-Palmolive Co. ........................................... 23,855,260
65,002 Columbia Energy Group ........................................... 4,111,376
359,922 Columbia/HCA Healthcare Corp. ................................... 10,550,214
486,424 Comcast Corp.-- Special
Class A ....................................................... 24,442,806
98,660 Comerica, Inc. .................................................. 4,606,189
1,105,184 Compaq Computer Corp. ........................................... 29,909,042
349,875 Computer Associates
International, Inc. ........................................... 24,469,383
100,372 Computer Sciences Corp.(1) ...................................... 9,497,700
233,000 Compuware Corp.(1) .............................................. 8,679,250
45,800 Comverse Technology(1) .......................................... 6,629,550
301,932 ConAgra, Inc. ................................................... 6,812,341
433,351 Conoco, Inc.-- Class B .......................................... 10,779,606
222,768 Conseco, Inc. ................................................... 3,981,978
146,436 Consolidated Edison, Inc. ....................................... 5,052,042
60,005 Consolidated Natural Gas Co. .................................... 3,896,575
69,000 Consolidated Stores Corp.(1) .................................... 1,121,250
86,825 Constellation Energy Group,
Inc ........................................................... 2,517,925
59,848 Cooper Industries, Inc. ......................................... 2,420,103
52,751 Cooper Tire & Rubber Co. ........................................ 820,937
159,814 Corning, Inc. ................................................... 20,606,018
143,499 Costco Wholesale Corporation(1) ................................. 13,094,284
73,200 Countrywide Credit Industries,
Inc ........................................................... 1,848,300
42,349 Crane Co. ....................................................... 841,686
105,850 Crown Cork & Seal Co., Inc. ..................................... 2,368,394
151,732 CSX Corp. ....................................................... 4,760,591
19,834 Cummins Engine Co., Inc. ........................................ 958,230
243,088 CVS Corp. ...................................................... $ 9,708,327
104,847 Dana Corp. ...................................................... 3,138,857
92,600 Danaher Corp. ................................................... 4,467,950
86,319 Darden Restaurants, Inc. ........................................ 1,564,532
287,516 Dayton Hudson Corp. ............................................. 21,114,456
150,523 Deere & Co. ..................................................... 6,528,935
1,632,700 Dell Computer Corp.(1) .......................................... 83,267,700
357,037 Delphi Automotive Systems ....................................... 5,623,333
88,798 Delta Air Lines, Inc. ........................................... 4,423,250
50,391 Deluxe Corp. .................................................... 1,382,603
63,597 Dillard Department Stores, Inc.--
Class A ....................................................... 1,283,864
148,006 Dollar General Corp. ............................................ 3,367,136
131,406 Dominion Resources, Inc. ........................................ 5,157,685
130,808 Dover Corp. ..................................................... 5,935,413
140,876 Dow Chemical Co. ................................................ 18,824,555
47,072 Dow Jones & Co., Inc. ........................................... 3,200,896
102,576 DTE Energy Co. .................................................. 3,218,322
242,195 Duke Power Co. .................................................. 12,140,024
103,579 Dun & Bradstreet Corp. .......................................... 3,055,580
671,710 Du Pont (E.I.) de Nemours & Co. ................................. 44,248,896
15,342 Eastern Enterprises ............................................. 881,206
61,381 Eastman Chemical Co. ............................................ 2,927,106
204,126 Eastman Kodak Co. ............................................... 13,523,347
51,182 Eaton Corp. ..................................................... 3,717,093
72,200 Ecolab, Inc. .................................................... 2,824,825
223,070 Edison International, Inc. ...................................... 5,841,646
304,600 Electronic Data Systems Corp. ................................... 20,389,162
705,640 Eli Lilly & Co. ................................................. 46,925,060
182,310 El Paso Energy Corp. ............................................ 7,075,907
659,025 EMC Corp.(1) .................................................... 71,998,481
288,300 Emerson Electric Co. ............................................ 16,541,212
82,408 Engelhard Corp. ................................................. 1,555,451
454,632 Enron Corp. ..................................................... 20,174,295
154,907 Entergy Corp. ................................................... 3,988,855
88,800 Equifax, Inc. ................................................... 2,092,350
2,219,195 Exxon Mobil Corp. ............................................... 178,783,897
662,814 Fannie Mae ...................................................... 41,384,449
193,210 FDX Corp.(1) .................................................... 7,909,534
138,000 Federated Department Stores,
Inc.(1) ....................................................... 6,977,625
209,567 Fifth Third Bancorp ............................................. 15,376,979
666,181 Firstar Corp. ................................................... 14,073,074
277,600 First Data Corp. ................................................ 13,689,150
148,984 FirstEnergy Corp. ............................................... 3,380,074
611,585 First Union Corp. ............................................... 20,067,633
595,303 Fleet Boston Financial Corp. .................................... 20,723,986
21,906 Fleetwood Enterprises, Inc. ..................................... 451,811
61,300 Florida Progress Corp. .......................................... 2,593,756
47,881 Fluor Corp. ..................................................... 2,196,541
20,350 FMC Corp.(1) .................................................... 1,166,309
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
12
<PAGE> 14
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS December 31, 1999
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
<S> <C> <C>
791,244 Ford Motor Co. .................................................. $ 42,282,101
141,885 Fort James Corp. ................................................ 3,884,102
109,074 Fortune Brands, Inc. ............................................ 3,606,259
30,038 Foster Wheeler Corp. ............................................ 266,587
128,794 FPL Group, Inc. ................................................. 5,513,993
168,320 Franklin Resources, Inc. ........................................ 5,396,760
449,814 Freddie Mac ..................................................... 21,169,371
77,900 Freeport-McMoRan Copper &
Gold, Inc.-- Class B(1) ....................................... 1,645,637
176,592 Gannett Company, Inc. ........................................... 14,403,285
558,134 Gap, Inc. ....................................................... 25,674,164
197,200 Gateway, Inc.(1) ................................................ 14,210,725
125,844 General Dynamics Corp. .......................................... 6,638,271
2,126,144 General Electric Co. ............................................ 329,020,784
111,800 General Instrument Corp.(1) ..................................... 9,503,000
198,338 General Mills, Inc. ............................................. 7,090,583
410,234 General Motors Corp. ............................................ 29,818,884
112,626 Genuine Parts Co. ............................................... 2,794,533
110,302 Georgia-Pacific Corp. ........................................... 5,597,826
702,016 Gillette Co. .................................................... 28,914,284
491,079 Global Crossing Ltd.(1) ......................................... 24,553,950
109,551 Golden West Financial Corp. ..................................... 3,669,958
46,652 Goodrich (B.F.) Co. ............................................. 1,282,930
98,536 Goodyear Tire & Rubber Co. ...................................... 2,777,483
63,000 GPU, Inc. ....................................................... 1,886,062
24,025 Great Atlantic & Pacific Tea
Co., Inc. ..................................................... 669,697
36,996 Great Lakes Chemical Corp. ...................................... 1,412,785
635,636 GTE Corp. ....................................................... 44,852,065
197,500 Guidant Corp.(1) ................................................ 9,282,500
68,135 H & R Block, Inc. ............................................... 2,980,906
253,725 H.J. Heinz Co. .................................................. 10,101,427
278,362 Halliburton Company ............................................. 11,204,071
55,639 Harcourt General, Inc. .......................................... 2,239,470
71,215 Harrah's Entertainment, Inc.(1) ................................. 1,882,747
143,246 Hartford Financial Services
Group, Inc. ................................................... 6,786,279
138,970 Hasbro, Inc. .................................................... 2,649,116
322,800 HEALTHSOUTH Corp.(1) ............................................ 1,735,050
68,914 Hercules, Inc. .................................................. 1,920,978
80,094 Hershey Foods Corp. ............................................. 3,804,465
654,740 Hewlett-Packard Co. ............................................. 74,599,439
162,841 Hilton Hotels Corp. ............................................. 1,567,345
1,479,378 Home Depot, Inc. ................................................ 101,429,854
146,043 Homestake Mining Co. ............................................ 1,140,961
513,285 Honeywell International, Inc. ................................... 29,610,128
308,485 Household International, Inc. ................................... 11,491,066
102,700 Humana, Inc.(1) ................................................. 840,856
145,277 Huntington Bancshares, Inc. ..................................... 3,468,488
17,588 Huttig Building Prods.(1) ....................................... 86,844
79,362 Ikon Office Solutions, Inc. ..................................... 540,654
192,892 Illinois Tool Works, Inc. ....................................... $ 13,032,266
197,858 IMS Health, Inc. ................................................ 5,379,264
108,366 Inco, Ltd. ...................................................... 2,546,601
104,846 Ingersoll-Rand Co. .............................................. 5,773,083
2,146,856 Intel Corp. ..................................................... 176,713,085
1,158,364 International Business
Machines Corp. ................................................ 125,103,312
63,787 International Flavors &
Fragrances, Inc. ................................................ 2,407,959
287,874 International Paper Co. ......................................... 16,246,889
163,020 Interpublic Group of
Companies, Inc. ............................................... 9,404,216
58,123 ITT Industries .................................................. 1,943,488
165,750 J.C. Penney Co., Inc. ........................................... 3,304,641
66,465 Jefferson-Pilot Corp. ........................................... 4,536,236
900,196 Johnson & Johnson ............................................... 83,830,753
46,054 Johnson Controls, Inc. .......................................... 2,619,321
7,639 Jostens, Inc. ................................................... 185,723
68,800 Kansas City Southern Inds ....................................... 5,134,200
28,445 Kaufman & Broad Home Corp. ...................................... 688,013
261,314 Kellogg Co. ..................................................... 8,051,738
60,531 Kerr-McGee Corp. ................................................ 3,752,922
287,400 KeyCorp ......................................................... 6,358,725
349,806 Kimberly Clark Corp. ............................................ 22,824,842
60,300 KLA/Tencor Corp.(1) ............................................. 6,715,913
308,503 Kmart Corp.(1) .................................................. 3,104,311
57,526 Knight-Ridder, Inc. ............................................. 3,422,797
108,100 Kohls Corp.(1) .................................................. 7,803,469
570,940 Kroger Co.(1) ................................................... 10,776,493
125,100 Leggett & Platt, Inc. ........................................... 2,681,831
77,900 Lehman Brothers, Inc. ........................................... 6,597,156
84,300 Lexmark International Group,
Inc.-- Class A(1) ............................................. 7,629,150
130,741 Limited, Inc. ................................................... 5,662,720
136,920 Lincoln National Corp. .......................................... 5,476,800
56,103 Liz Claiborne, Inc. ............................................. 2,110,875
246,010 Lockheed Martin Corp. ........................................... 5,381,469
61,900 Loews Corp. ..................................................... 3,756,556
24,326 Longs Drug Stores, Inc. ......................................... 627,915
73,258 Louisiana-Pacific Corp. ......................................... 1,043,927
247,888 Lowe's Companies, Inc. .......................................... 14,811,308
95,600 LSI Logic Corp.(1) .............................................. 6,453,000
2,041,521 Lucent Technologies, Inc. ....................................... 152,731,290
48,602 Mallinckrodt Group, Inc. ........................................ 1,546,151
67,400 Manor Care(1) ................................................... 1,078,400
152,180 Marriott International .......................................... 4,803,181
171,386 Marsh and McLennan .............................................. 16,399,498
283,322 Masco Corp. ..................................................... 7,189,296
261,265 Mattel, Inc. .................................................... 3,429,103
211,647 May Department Stores Co. ....................................... 6,825,616
57,512 Maytag Corp. .................................................... 2,760,576
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
13
<PAGE> 15
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS December 31, 1999
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
<S> <C> <C>
62,300 MBIA, Inc. ............................................ $ 3,290,219
518,837 MBNA Corp. ............................................ 14,138,308
43,087 McDermott International, Inc. ......................... 390,476
876,228 McDonald's Corp. ...................................... 35,322,941
126,860 McGraw-Hill, Inc. ..................................... 7,817,748
1,843,369 MCI WorldCom, Inc.(1) ................................. 97,813,794
182,073 McKesson HBOC, Inc. ................................... 4,108,022
64,402 Mead Corp. ............................................ 2,797,462
396,028 MediaOne Group(1) ..................................... 30,419,901
768,008 Medtronic, Inc. ....................................... 27,984,292
366,548 Mellon Financial Corp. ................................ 12,485,541
1,501,994 Merck & Co., Inc. ..................................... 100,727,473
39,872 Meredith Corp. ........................................ 1,662,164
230,076 Merrill Lynch & Co., Inc. ............................. 19,211,346
73,600 MGIC Investment Corp. ................................. 4,429,800
169,300 Micron Technology, Inc.(1) ............................ 13,163,075
3,339,000 Microsoft Corp.(1) .................................... 389,828,250
19,047 Milacron, Inc. ........................................ 292,848
27,892 Millipore Corp. ....................................... 1,077,329
254,378 Minnesota Mining &
Manufacturing Co. ................................... 24,897,247
154,900 Mirage Resorts, Inc.(1) ............................... 2,371,906
96,000 Molex, Inc. ........................................... 5,442,000
411,920 Monsanto Co. .......................................... 14,674,650
360,433 Morgan Stanley Dean Witter
Discover & Co. ...................................... 51,451,811
112,060 Morgan, (J.P.) & Co., Inc. ............................ 14,189,598
400,342 Motorola, Inc. ........................................ 58,950,360
206,300 Nabisco Group Holdings ................................ 2,191,938
3,727 NACCO Industries, Inc.--
Class A ............................................. 207,081
411,800 National City Corp. ................................... 9,754,513
110,226 National Semiconductor Corp. .......................... 4,719,051
31,126 National Service Industries, Inc. ..................... 918,217
41,758 Navistar International Corp.(1) ....................... 1,978,285
95,900 Network Appliance, Inc.(1) ............................ 7,965,694
69,400 New Century Energies, Inc. ............................ 2,108,025
113,268 New York Times Co.-- Class A .......................... 5,564,291
178,996 Newell Rubbermaid, Inc. ............................... 5,190,884
116,210 Newmont Mining Corp. .................................. 2,847,145
230,200 Nextel Communications, Inc.--
Class A(1) .......................................... 23,739,375
147,042 Niagara Mohawk Power Corp.(1) ......................... 2,049,398
35,069 NICOR, Inc. ........................................... 1,139,743
182,048 Nike, Inc. ............................................ 9,022,754
92,458 Nordstrom, Inc. ....................................... 2,421,244
238,553 Norfolk Southern Corp. ................................ 4,890,337
858,224 Nortel Networks Corporation ........................... 86,680,624
75,388 Northern States Power Co. ............................. 1,470,066
143,800 Northern Trust Corp. .................................. 7,621,400
51,479 Northrop Grumman Corp. ................................ 2,783,083
217,092 Novell, Inc.(1) ....................................... $ 8,670,112
55,794 Nucor Corp. ........................................... 3,058,209
250,714 Occidental Petroleum Corp. ............................ 5,421,690
213,000 Office Depot, Inc.(1) ................................. 2,329,688
78,000 Old Kent Financial Corp. .............................. 2,759,250
114,000 Omnicom Group, Inc. ................................... 11,400,000
17,391 Oneok, Inc. ........................................... 436,949
914,784 Oracle Corp.(1) ....................................... 102,512,982
33,950 Owens Corning ......................................... 655,659
95,300 Owens-Illinois, Inc.(1) ............................... 2,388,456
81,907 P P & L Resources ..................................... 1,873,623
62,580 Paccar, Inc. .......................................... 2,773,076
115,634 Pactiv Corp.(1) ....................................... 1,228,611
108,000 Paine Webber Group, Inc. .............................. 4,191,750
78,364 Pall Corp. ............................................ 1,689,724
182,800 Parametric Technology Corp.(1) ........................ 4,947,025
71,914 Parker-Hannifin Corp. ................................. 3,690,087
172,150 Paychex, Inc. ......................................... 6,886,000
69,050 PE Corp. -- PE Biosystems
Group ............................................... 8,307,578
120,184 PECO Energy ........................................... 4,176,394
22,155 People's Energy Corp. ................................ 742,193
164,700 Peoplesoft, Inc.(1) ................................... 3,510,169
32,912 Pep Boys (Manny Moe & Jack) ........................... 300,322
941,994 PepsiCo, Inc. ......................................... 33,205,289
30,425 Perkin Elmer, Inc. .................................... 1,268,342
2,520,184 Pfizer, Inc. .......................................... 81,748,469
251,605 PG&E Corp. ............................................ 5,157,903
337,132 Pharmacia & Upjohn, Inc. .............................. 15,170,940
48,965 Phelps Dodge Corp. .................................... 3,286,776
1,531,098 Philip Morris Companies ............................... 35,502,335
158,406 Phillips Petroleum Co. ................................ 7,445,082
55,500 Pinnacle West Capital Corp. ........................... 1,696,219
185,196 Pitney Bowes, Inc. .................................... 8,947,282
191,404 Placer Dome, Inc. ..................................... 2,057,593
192,033 PNC Bank Corp. ........................................ 8,545,469
38,682 Polaroid Corp. ........................................ 727,705
18,101 Potlatch .............................................. 807,757
109,842 PPG Industries, Inc. .................................. 6,871,990
121,315 Praxair, Inc. ......................................... 6,103,661
845,640 Procter & Gamble Co. .................................. 92,650,433
45,450 Progressive Corporation of Ohio ....................... 3,323,531
92,097 Providian Financial Corp. ............................. 8,386,583
140,094 Public Service Enterprise Group ....................... 4,877,022
29,132 Pulte Corp. ........................................... 655,470
85,984 Quaker Oats Co. ....................................... 5,642,700
426,400 Qualcomm, Inc.(1) ..................................... 75,099,700
70,300 Quintiles Transnational Corp.(1) ...................... 1,313,731
84,152 R.R. Donnelley & Sons Co. ............................. 2,088,022
203,215 Ralston Purina Group .................................. 5,664,618
212,314 Raytheon Co.-- Class B ................................ 5,639,591
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
14
<PAGE> 16
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS December 31, 1999
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
<S> <C> <C>
34,329 Reebok International Ltd.(1) .......................... $ 281,069
133,170 Regions Financial Corp. ............................... 3,345,896
165,792 Reliant Energy ........................................ 3,792,492
67,800 Republic New York Corp. ............................... 4,881,600
48,149 Reynolds Metals Co. ................................... 3,689,417
179,402 Rite Aid Corp. ........................................ 2,007,060
132,424 Rockwell International Corp. .......................... 6,339,799
155,291 Rohm & Haas Co. ....................................... 6,318,403
50,500 Rowan Companies, Inc.(1) .............................. 1,095,219
1,380,704 Royal Dutch Petroleum Co. ............................. 83,446,298
22,611 Russell Corp. ......................................... 378,734
45,017 Ryder Systems, Inc. ................................... 1,100,103
84,102 Safeco ................................................ 2,092,037
329,200 Safeway, Inc.(1) ...................................... 11,707,175
571,054 Sara Lee Corp. ........................................ 12,598,879
2,192,069 SBC Communications, Inc. .............................. 106,863,364
944,032 Schering-Plough Corp. ................................. 39,826,350
355,362 Schlumberger Ltd. ..................................... 19,989,113
47,338 Scientific-Atlanta, Inc. .............................. 2,633,176
134,800 Seagate Technology, Inc.(1) ........................... 6,276,625
280,337 Seagram Co. Ltd. ...................................... 12,597,644
52,405 Sealed Air Corp.(1) ................................... 2,715,234
240,709 Sears, Roebuck & Co. .................................. 7,326,580
129,514 Sempra Energy ......................................... 2,250,306
185,692 Service Corp. International ........................... 1,288,238
16,674 Shared Medical Systems Corp. .......................... 849,332
112,874 Sherwin-Williams Co. .................................. 2,370,354
64,100 Sigma Aldrich Corp. ................................... 1,927,006
116,515 Silicon Graphics, Inc.(1) ............................. 1,143,303
103,300 SLM Holding Corp. ..................................... 4,364,425
40,194 Snap-On Tools Corp. ................................... 1,067,653
180,500 Solectron Corp.(1) .................................... 17,170,063
473,558 Southern Co. .......................................... 11,128,613
115,600 Southtrust Corp ....................................... 4,371,125
316,500 Southwest Airlines Co. ................................ 5,123,344
6,904 Springs Industries, Inc.--
Class A ............................................. 275,729
561,564 Sprint Corp. .......................................... 37,800,277
278,891 Sprint PCS(1) ......................................... 28,586,328
49,488 St. Jude Medical, Inc.(1) ............................. 1,518,663
147,828 St. Paul Companies, Inc. .............................. 4,979,956
54,330 Stanley Works ......................................... 1,636,691
307,200 Staples, Inc.(1) ...................................... 6,374,400
100,400 State Street Corp. .................................... 7,335,475
116,400 Summit Bancorp ........................................ 3,564,750
1,004,224 Sun Microsystems, Inc.(1) ............................. 77,764,596
61,345 Sunoco, Inc. .......................................... 1,441,608
200,860 Suntrust Banks, Inc. .................................. 13,821,679
97,040 SuperValu, Inc. ....................................... 1,940,800
143,650 Synovus Financial Corp. ............................... 2,855,044
219,020 Sysco Corp. ........................................... 8,664,979
72,200 T. Rowe Price Associates, Inc. ........................ $ 2,666,888
131,732 Tandy Corp. ........................................... 6,479,568
29,507 Tektronix, Inc. ....................................... 1,147,085
18,084 Teledyne Technologies(1) .............................. 170,668
252,050 Tellabs, Inc.(1) ...................................... 16,178,459
35,922 Temple Inland, Inc. ................................... 2,368,607
189,110 Tenet Healthcare Corp.(1) ............................. 4,444,085
105,000 Teradyne, Inc.(1) ..................................... 6,930,000
353,522 Texaco, Inc. .......................................... 19,200,664
515,412 Texas Instruments, Inc. ............................... 49,930,538
178,027 Texas Utilities Co. ................................... 6,331,085
98,306 Textron, Inc. ......................................... 7,538,841
141,100 Thermo Electron Corp.(1) .............................. 2,116,500
38,500 Thomas & Betts Corp. .................................. 1,227,188
844,130 Time Warner, Inc. ..................................... 61,146,667
39,429 Times Mirror Co.-- Class A ............................ 2,641,743
34,596 Timken Co. ............................................ 707,056
211,016 TJX Companies, Inc. ................................... 4,312,640
85,168 Torchmark Corp. ....................................... 2,475,195
130,800 Tosco Corp. ........................................... 3,556,125
164,418 Toys `R' Us, Inc.(1) .................................. 2,353,233
134,198 Transocean Sedco Forex, Inc. .......................... 4,520,797
149,592 Tribune Co. ........................................... 8,236,910
99,799 Tricon Global Restaurants, Inc. ....................... 3,854,736
75,072 TRW, Inc. ............................................. 3,899,052
36,096 Tupperware Corp. ...................................... 611,376
1,087,838 Tyco International Ltd. ............................... 42,289,702
466,037 U.S. Bancorp .......................................... 11,097,506
324,855 U.S. West, Inc. ....................................... 23,389,560
139,725 Unicom Corp. .......................................... 4,680,788
373,346 Unilever NV ........................................... 20,324,023
83,252 Union Carbide Corp. ................................... 5,557,071
155,247 Union Pacific Corp. ................................... 6,772,650
191,348 Union Pacific Resources
Group, Inc. ......................................... 2,439,687
81,300 Union Planters Corp. .................................. 3,206,269
207,699 Unisys Corp.(1) ....................................... 6,633,387
112,700 United Healthcare Corp. ............................... 5,987,188
306,624 United Technologies Corp. ............................. 19,930,560
152,937 Unocal Corp. .......................................... 5,132,948
149,034 Unumprovident Corp. ................................... 4,778,403
47,615 US Airways Group, Inc.(1) ............................. 1,526,656
120,607 UST, Inc. ............................................. 3,037,789
57,177 USX-- U.S. Steel Group ................................ 1,886,841
200,564 USX Marathon Group .................................... 4,951,424
75,230 V.F. Corp. ............................................ 2,256,900
440,798 Viacom, Inc.-- Class B(1) ............................. 26,640,729
63,600 Vulcan Materials Co. .................................. 2,540,025
46,049 W.R. Grace & Co.(1) ................................... 638,930
60,130 W.W. Grainger, Inc. ................................... 2,874,966
128,210 Wachovia Corp. ........................................ 8,718,280
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
15
<PAGE> 17
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS December 31, 1999
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
<S> <C> <C>
2,859,596 Wal-Mart Stores, Inc. ................................. $ 197,669,574
667,636 Walgreen Co. .......................................... 19,528,353
1,334,471 Walt Disney Co. ....................................... 39,033,277
555,658 Warner-Lambert Co. .................................... 45,529,227
379,272 Washington Mutual, Inc. ............................... 9,861,072
422,351 Waste Management, Inc. ................................ 7,259,158
6,329 Water Pik Technologies(1) ............................. 60,521
67,400 Watson Pharmaceuticals(1) ............................. 2,413,763
46,100 Wellpoint Health Networks(1) .......................... 3,039,719
1,062,736 Wells Fargo Company ................................... 42,974,387
82,762 Wendy's International, Inc. ........................... 1,706,966
61,360 Westvaco Corp. ........................................ 2,001,870
143,494 Weyerhaeuser Co. ...................................... 10,304,663
48,139 Whirlpool Corp. ....................................... 3,132,044
63,600 Willamette Industries, Inc. ........................... 2,953,425
281,236 Williams Companies, Inc. .............................. 8,595,275
75,180 Winn Dixie Stores, Inc. ............................... 1,799,621
72,692 Wm. Wrigley, Jr. Co. .................................. 6,028,893
55,279 Worthington Industries, Inc. .......................... 915,558
426,870 Xerox Corp. ........................................... 9,684,613
202,000 Xilinx, Inc.(1) ....................................... 9,184,688
169,700 Yahoo!, Inc.(1) ....................................... 73,427,071
---------------
TOTAL COMMON STOCK
(Cost $4,809,122,710) ......................................... (7,953,572,107)
---------------
</TABLE>
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT DESCRIPTION VALUE
<S> <C> <C>
SHORT TERM INSTRUMENTS - 2.5%
MUTUAL FUND - 2.3%
188,890,907 Institutional Cash
Management Fund ................................. $ 188,890,907
---------------
U.S. TREASURY BILL - 0.2%
$12,020,000 5.02%, 3/2/00(2) 11,919,729
---------------
TOTAL SHORT TERM INSTRUMENTS
(Cost $200,811,727) ........................................... 200,810,636
---------------
TOTAL INVESTMENTS
(Cost $5,009,934,437) ......................... 99.9% $ 8,154,382,743
OTHER ASSETS IN EXCESS OF
LIABILITIES ................................... 0.1 10,714,139
--------------- ---------------
NET ASSETS ...................................... 100.0% $ 8,165,096,882
=============== ===============
</TABLE>
- --------------------
(1) Non-income producing security.
(2) Held as collateral for futures contracts.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
16
<PAGE> 18
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF
DECEMBER 31, 1999
-----------------
<S> <C>
ASSETS
Investments at Value (Cost of $5,009,934,437) ........................ $ 8,154,382,743
Receivable for Shares of Beneficial Interest Subscribed .............. 4,508,155
Receivable for Securities Sold ....................................... 657,504
Variation Margin Receivable .......................................... 461,689
Dividend Receivable .................................................. 7,787,458
----------------
Total Assets ............................................................ 8,167,797,549
----------------
LIABILITIES
Payable for Securities Purchased ..................................... 2,154,113
Due to Bankers Trust ................................................. 532,871
Accrued Expenses ..................................................... 13,683
----------------
Total Liabilities ....................................................... 2,700,667
----------------
NET ASSETS .............................................................. $ 8,165,096,882
================
COMPOSITION OF NET ASSETS
Paid-in Capital ...................................................... $ 5,016,704,839
Net Unrealized Appreciation on Investments and Futures Contracts ..... 3,148,392,043
----------------
NET ASSETS .............................................................. $ 8,165,096,882
================
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
17
<PAGE> 19
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
DECEMBER 31, 1999
------------------
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $1,063,834) ..................... $ 97,913,346
Interest ..................................................................... 513,602
---------------
Total Investment Income ........................................................ 98,426,948
---------------
EXPENSES
Advisory Fees ................................................................ 5,134,906
Administration and Services Fees ............................................. 344,960
Professional Fees ............................................................ 34,598
Trustees Fees ................................................................ 3,252
Miscellaneous ................................................................ 1,643
---------------
Total Expenses ................................................................. 5,519,359
---------------
NET INVESTMENT INCOME .......................................................... 92,907,589
---------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net Realized Loss from Investment Transactions ............................... (44,432,856)
Net Realized Gain from Futures Transactions .................................. 17,684,084
Net Change in Unrealized Appreciation/Depreciation on Investments and
Futures Contracts ......................................................... 1,245,281,501
---------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES CONTRACTS .......... 1,218,532,729
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... $ 1,311,440,318
===============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
18
<PAGE> 20
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE YEARS ENDED DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .................................... $ 92,907,589 $ 58,364,731
Net Realized Gain (Loss) from Investment and
Futures Transactions ................................... (26,748,772) 35,274,688
Net Change in Unrealized Appreciation/Depreciation
on Investment and Futures Contracts .................... 1,245,281,501 895,089,518
--------------- ---------------
Net Increase in Net Assets from Operations ................. 1,311,440,318 988,728,937
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ........................... 4,399,103,297 2,853,940,069
Value of Capital Withdrawn ............................... (2,745,951,143) (1,445,251,067)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions ....... 1,653,152,154 1,408,689,002
--------------- ---------------
TOTAL INCREASE IN NET ASSETS ............................... 2,964,592,472 2,397,417,939
NET ASSETS
Beginning of Year ........................................ 5,200,504,410 2,803,086,471
--------------- ---------------
End of Year .............................................. $ 8,165,096,882 $ 5,200,504,410
=============== ===============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
19
<PAGE> 21
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for the years indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
FOR THE YEARS ENDED DECEMBER 31,
1999 1998 1997 1996 1995
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted).. $ 8,165,097 $ 5,200,504 $ 2,803,086 $ 1,925,224 $ 1,080,736
Ratios to Average Net Assets:
Net Investment Income ................ 1.35% 1.50% 1.76% 2.20% 2.52%
Expenses After Waivers ............... 0.08% 0.08%(1) 0.08% 0.10% 0.10%
Expenses Before Waivers .............. 0.08% 0.10% 0.15% 0.15% 0.15%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or
Expense Reimbursements ............. 0.00%(2) 0.02% 0.07% 0.05% 0.05%
Portfolio Turnover Rate ................ 13% 4% 19% 15% 6%
</TABLE>
- --------------------------------------------------------------------------------
(1) Effective May 6, 1998, Bankers Trust contractually agreed to receive fees
from the portfolio only to the extent of the lesser of 0.005% or the amount that
brings the total annual operating expenses as a percentage of the portfolio's
average daily net assets up to 0.08%.
(2) Less than 0.01%.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
20
<PAGE> 22
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
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"), an indirect wholly owned subsidiary of
Deutsche Bank AG. 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%.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust a fee computed daily and paid
monthly at an annual rate of .075% of the Portfolio's aver- age daily net
assets.
- --------------------------------------------------------------------------------
21
<PAGE> 23
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust Company. The Cash Management Fund is offered as a cash management option
to the Portfolio and other accounts managed by Bankers Trust. Distributions from
the Cash Management Fund to the Portfolio for the year ended December 31, 1999
amounted to $7,493,519 and are included in dividend income.
At December 31, 1999, the Portfolio was a participant with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, 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. No amounts were drawn down or
outstanding for this fund under the credit facility for the year ended December
31, 1999.
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 year ended December 31, 1999, were
$2,458,853,481 and $886,448,613, respectively. For federal income tax purposes,
the tax basis of investments held at December 31, 1999 was $5,091,039,735. The
aggregate gross unrealized appreciation was $3,275,257,510, and the aggregate
gross unrealized depreciation was $211,914,502 for all investments as of
December 31, 1999.
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at December 31,
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 March 2000 547 Long $203,331,050 $3,943,738
</TABLE>
At December 31, 1999, the Portfolio segregated securities with a value of
approximately $11,919,729 to cover margin requirements on open futures
contracts.
- --------------------------------------------------------------------------------
22
<PAGE> 24
Equity 500 Index Portfolio
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Holders of Beneficial Interest of
Equity 500 Index Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Equity 500 Index Portfolio
(hereafter referred to as the "Portfolio") at December 31, 1999, and the results
of its operations, the changes in its net assets and the financial highlights
for each of the fiscal periods presented, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Portfolio's management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1999 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
- --------------------------------------------------------------------------------
23
<PAGE> 25
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<PAGE> 26
[AMERICAN AADVANTAGE MILEAGE FUNDS(SM)]
-Mileage Class-
P.O. Box 219643
Kansas City, Missouri 64121-9643
(800) 388-3344
www.aafunds.com
[email protected]
MANAGED BY
AMR INVESTMENT SERVICES, INC.
