<PAGE>
- BT ADVISOR FUNDS -
EAFE EQUITY INDEX FUND
SEMI-ANNUAL REPORT
-------------------------------------------------------------
J U N E - 1 9 9 6
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
TABLE OF CONTENTS
- ----------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................... 3
EAFE EQUITY INDEX FUND
Statement of Assets and Liabilities................................... 5
Statement of Operations............................................... 5
Statement of Changes in Net Assets.................................... 6
Financial Highlights.................................................. 6
Notes to Financial Statements......................................... 7
EAFE EQUITY INDEX PORTFOLIO
Schedule of Portfolio Investments..................................... 9
Statement of Assets and Liabilities................................... 16
Statement of Operations............................................... 16
Statement of Changes in Net Assets.................................... 17
Financial Highlights.................................................. 17
Notes to Financial Statements......................................... 18
</TABLE>
2
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
LETTER TO SHAREHOLDERS
- ----------------------------------------------------------------------
We are pleased to present you with this first semi-annual report for the BT
Advisor EAFE Equity Index Fund, providing a detailed review of the market, the
portfolio, and our outlook. Included is a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.
The EAFE Equity Index Fund (the "Fund") has not been in operation for a full
six months, but from EAFE Equity Index Fund's Institutional Class Shares
inception January 24, 1996, through June 30, 1996, it was up 5.70% and EAFE
Equity Index Fund's Advisor Class Shares inception June 21, 1996 through June
30, 1996, it is up 0.30%. For the quarter ended June 30, 1996, the Fund returned
1.83%, closely tracking the 1.58% return of the MSCI EAFE Index. OBJECTIVE
Seeks to replicate
as closely as
possible the total
return of the
Morgan Stanley
Capital International
Europe Australia
Far East (EAFE)
Index.
MARKET ACTIVITY
Overall, 19 of the 20 EAFE markets posted gains for the six month period
ended June 30, 1996, and the MSCI EAFE Index was up 4.5%. Market leadership
shifted early in the period from the Pacific Basin countries to Europe, as the
Bundesbank eased its monetary policy in January. Though now on hold based on the
excessive rise of the closely followed money supply measure, M3, year-to-date,
Germany's discount rate, at 2.5%, is the lowest it has been since 1987.
EUROPE
Regionally, Europe rose 6.4% during the semi-annual period. Seven
nations had double-digit returns, including Ireland, Sweden, Spain, Italy, the
Netherlands, France, and Norway. The United Kingdom lagged these countries, as
the market was spooked by Mad Cow Disease and renewed IRA terrorist bombings,
but it still had a positive return of 2.7%. In May, the British government
privatized the railroad infrastructure company, Railtrack, and the company was
included in the MSCI EAFE Index in early June.
INVESTMENT
INSTRUMENTS
Invest primarily in
equity securities of
business enterprises
organized and
domiciled outside of
the United States.
Statistical methods
will be employed to
replicate the Index
by buying most of
the relevant Index
securities.
- -------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY COUNTRY AS OF JUNE 30, 1996 (UNAUDITED)
(PERCENTAGES ARE BASED ON MARKET VALUE)
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Japan 38.26%
United Kingdom 15.34%
Germany 6.48%
France 6.31%
Switzerland 5.55%
United States 3.75%
Netherlands 3.99%
Hong Kong 3.13%
Italy 2.63%
Australia 2.58%
Malaysia 2.38%
Sweden 2.11%
Other * 7.49%
</TABLE>
* No one country represents more than 3.00% of Portfolio Holdings
One of the primary reasons for the positive climate for European equities
this period was widespread interest rate cuts. By March, Spain, France and
Norway had followed Germany's lead in reducing interest rates. In April, the
Bundesbank surprised many again with another rate cut, leading the way once more
for rate cuts in Spain, Holland, Denmark, Sweden, Austria and Belgium that same
month. In May, Spain and Sweden cut again, and in June, England, France, Spain
and Sweden each reduced short-term rates. These all helped stock markets
advance. The Bundesbank held Germany's rates steady for the last two months of
the period, pending review of future economic data.
Switzerland's blue chips also performed particularly well, following the
announcement of the merger between pharmaceutical giants Sandoz and Ciba Geigy.
This also led to a rally in pharmaceutical stocks around the world.
PACIFIC BASIN
The Pacific Basin overall was up 2.6% during the semi-annual period. Despite
tensions in the region between China and Taiwan, two of the Index's best
performing markets were in the Pacific Rim -- specifically, Malaysia and Hong
Kong. Both of these smaller markets were driven up by significant foreign
investment flows into the region. Singapore was the only EAFE market to have a
loss, falling 3.2%.
Japan's market broke out of a slump and rallied in the last two weeks in
March, sparked by evidence that an economic recovery had begun and that progress
on a housing loan bailout plan had been made. The market continued to rise in
April, fell in May with talk of a possible interest rate increase, and rose
again in June when the Bank of Japan allayed fears by stating that no monetary
policy changes were imminent. Combined with a continuing decline in the trade
surplus, the yen weakened in June and the Nikkei 225 rose to a new 1996 high.
3
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
- --------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS
- --------------------------------------------
Bank of Tokyo-Mitsubishi
..................................................
Toyota Motor Corp.
..................................................
Royal Dutch Petroleum Company
..................................................
Fuji Bank Ltd.
..................................................
Industrial Bank of Japan
..................................................
Sumitono Bank
..................................................
Roche Holding AG-Genusschine
..................................................
British Petroleum Co. PLC
..................................................
Glaxo Wellcome PLC
..................................................
Matsushita Electric Industrial Co.
LOOKING AHEAD
Going forward, we expect further interest rate cuts in Europe, as many of
these nations are behind the U.S. in the business cycle. This would be positive
for European equities. Similarly, Japan, which has been in a deep recession, has
been showing some signs of recovery. In light of the strong gains in the U.S.
market over the last eighteen months and the prospects for growth in foreign
economies, we would expect international markets to outperform in the next
twelve months.
Of course, as an index fund, designed to replicate as closely as possible
the broad diversification and total return of the MSCI EAFE Index with net
dividends, we neither evaluate short-term fluctuations in the Fund's performance
nor manage according to a given outlook for the equity markets or the economies
in general. Still, we will continue monitoring economic conditions and how they
affect the financial markets. The MSCI EAFE Index is a capitalization-weighted
index containing approximately 1,100 equity securities of companies located
outside the United States.
* * *
We value your support of the EAFE Equity Index Fund and look forward to
continuing to serve your investment needs in the years ahead.
[SIG]
Rick Vella
PORTFOLIO MANAGER OF THE
EAFE EQUITY INDEX PORTFOLIO
June 30, 1996
PERFORMANCE COMPARISON
- ----------------------------------------------------------------------
The following graph illustrates the Fund's return versus the MSCI EAFE Index
since January 31, 1996, assuming a $10,000 initial investment:
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE EAFE
EQUITY INDEX FUND AND
THE MSCI EAFE INDEX
TOTAL RETURN
FOR THE PERIOD ENDED JUNE 30, 1996
Since
1/24/96*
5.70%
* The Fund's inception date.
Investment return and principal value may
fluctuate so that shares, when redeemed,
may be worth more or less than their
original cost.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EAFE EQUITY INDEX
FUND MSCI EAFE INDEX
<S> <C> <C>
1/31/96 $ 10,000 $ 10,000
3/31/96 $ 10,217 $ 10,247
6/30/96 $ 10,404 $ 10,409
Past performance is not indicative of future
performance
</TABLE>
- --------------------------------------------------------------------------------
4
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in EAFE Equity Index Portfolio, at Value......................... $27,145,127
Deferred Organizational Expense............................................. 17,171
Prepaid Expenses and Other.................................................. 2,464
Due from Bankers Trust...................................................... 31,271
-----------
Total Assets.................................................................... 27,196,033
-----------
LIABILITIES
Accrued Expenses and Other.................................................. 47,112
-----------
Total Liabilities............................................................... 47,112
-----------
NET ASSETS ($0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial
Interest Authorized).......................................................... $27,148,921
-----------
-----------
COMPOSITION OF NET ASSETS
Paid in Capital............................................................. $25,917,748
Undistributed Net Investment Income......................................... 260,131
Accumulated Net Realized Loss from Investments and Foreign Currency
Transactions............................................................... (73,281)
Net Unrealized Appreciation on Investments, Foreign Currencies and Forward
Currency Contracts......................................................... 1,044,323
-----------
NET ASSETS...................................................................... $27,148,921
-----------
-----------
NET ASSET VALUE PER SHARE
Institutional Class Shares:
Net Asset Value, redemption price, and offering price per share (based on
net assets of $27,100,594 and 2,564,759 shares of beneficial interest
outstanding)............................................................... $ 10.57
-----------
-----------
Advisor Class Shares:
Net Asset Value, redemption price, and offering price per share (based on
net assets of $48,327 and 4,819 shares of beneficial interest
outstanding)............................................................... $ 10.03
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Income, Net................................................................. $ 265,295
-----------
EXPENSES
Administration and Services (Note 2)........................................ 15,485
Shareholders Reports........................................................ 14,500
Registration................................................................ 9,097
Professional................................................................ 8,040
Trustees.................................................................... 2,625
Miscellaneous............................................................... 2,173
-----------
Total Expenses.............................................................. 51,920
Less: Expenses Absorbed by Bankers Trust.................................... (46,756)
-----------
Net Expenses.................................................................... 5,164
-----------
NET INVESTMENT INCOME........................................................... 260,131
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS
Net Realized Gain (Loss) from:
Investments................................................................. 866
Foreign Currency Transactions............................................... (74,147)
Net Change in Unrealized Appreciation of:
Investments................................................................. 1,040,373
Foreign Currencies and Forward Currency Contracts........................... 3,950
-----------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY TRANSACTIONS... 971,042
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS...................................... $ 1,231,173
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 7-8
5
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
JANUARY 24,
1996
(COMMENCEMENT
OF OPERATIONS)
TO
JUNE 30, 1996
---------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net Investment Income........................................................................ $ 260,131
Net Realized Loss from Investments and Foreign Currency Transactions......................... (73,281)
Net Unrealized Appreciation on Investments, Foreign Currencies and Forward Currency
Contracts................................................................................... 1,044,323
---------------
Net Increase in Net Assets from Operations....................................................... 1,231,173
---------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase in net assets resulting from Institutional Class Share of beneficial interest
transactions................................................................................ 25,869,543
Net Increase in net assets resulting from Advisor Class Share of beneficial interest
transactions................................................................................ 48,205
---------------
Net Increase from Transactions in Shares of Beneficial Interest.................................. 25,917,748
---------------
TOTAL INCREASE IN NET ASSETS..................................................................... 27,148,921
NET ASSETS
Beginning of Period.............................................................................. --
---------------
End of Period+................................................................................... $ 27,148,921
---------------
---------------
</TABLE>
- ----------------
+ Includes undistributed net investment income for the period ended June 30,
1996 of $260,131.
FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the period
presented.
<TABLE>
<CAPTION>
INSTITUTIONAL ADVISOR
CLASS SHARES CLASS SHARES
FOR THE PERIOD FOR THE PERIOD
JANUARY 24, 1996 JUNE 21, 1996
(COMMENCEMENT OF (COMMENCEMENT OF
OPERATIONS) TO OPERATIONS) TO
JUNE 30, 1996 JUNE 30, 1996
---------------- -----------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSETS VALUE, BEGINNING OF PERIOD........................................ $ 10.00 $ 10.00
-------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................................................... 0.10 0.00
Net Realized and Unrealized Gain on Investments and Foreign Currency
Transactions............................................................ 0.47 0.03
-------- -------
Total from Investment Operations............................................. 0.57 0.03
-------- -------
NET ASSETS VALUE, END OF PERIOD.............................................. $ 10.57 $ 10.03
-------- -------
-------- -------
TOTAL INVESTMENT RETURN...................................................... 5.70% 0.30%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)................................ $ 27,101 $ 48
Ratios to Average Net Assets
Net Investment Income.................................................. 2.49%* 1.51%*
Expenses, including Expenses of the Portfolio.......................... 0.40%* 0.65%*
Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses
by Bankers Trust...................................................... 0.63%* 3.57%*
</TABLE>
- ------------------
* Annualized
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 7-8
6
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1. -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Advisor Funds ("the Trust") is registered under the Investment Company Act of
1940 ("the Act"), as amended, as an open-end management investment company. The
Trust was organized on July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The EAFE Equity Index Fund (the "Fund") offers
two classes of shares to investors, Institutional Class and Advisor Class shares
(the "Shares"). Both classes of shares have identical rights to earnings, assets
and voting privileges, except that each class has its own expenses directly
attributable to a particular class and exclusive voting rights with respect to
matters affecting a single class. The following shares commenced operations and
began offering shares of beneficial interest as follows:
<TABLE>
<CAPTION>
COMMENCEMENT OF
OPERATIONS &
BENEFICIAL SHARE
CLASS OFFERING
- ----------------------------------------------
<S> <C>
Institutional Class Shares.... January 24, 1996
Advisor Class Shares.......... June 21, 1996
</TABLE>
Subsequent to the commencement of operations, the Fund began investing
substantially all of its investable assets in the EAFE Equity Index Portfolio
("Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objectives by
investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At June 30, 1996, EAFE Equity Index Fund's
investment was approximately 100% of the Portfolio.
The financial statements of the Portfolio, including the Schedules of Portfolio
Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. 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 and
allocated to each class of shares based on the relative proportion of net assets
representative by such class.
C. ORGANIZATIONAL EXPENSES
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.
D. DIVIDENDS
It is the Fund's policy to declare and distribute dividends annually to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, will be made annually.
E. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required.
F. OTHER
The Trust accounts separately for the assets, liabilities, and operations of the
Fund and each of the classes. Expenses directly attributable to each class are
charged to that class, while expenses which are attributable to all of the
Trust's funds are allocated among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2. -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement ("Agreement")
with Bankers Trust Company ("Bankers Trust"). Under such Agreement, Bankers
Trust provides administrative, custody, transfer agency and shareholder services
to the Fund in return for a fee computed daily and paid monthly at an annual
rate of each class's average daily net assets. The following table provides
annual rates and aggregated fees for each class of shares for the period ended
June 30, 1996:
<TABLE>
<CAPTION>
AGGREGATED
CLASS ANNUAL RATE FEES
- --------------------------------- ----------- -----------
<S> <C> <C>
Institutional Class Shares....... 0.15 of 1% $ 15,481
Advisor Class Shares............. 0.30 of 1% 4
</TABLE>
The Trust has entered into a Distribution Agreement with Signature Broker-Dealer
Services, Inc. ("Signature"). Under the Distribution Agreement with the Trust,
Signature serves as the Trust's principal underwriter.
The Fund's two classes of shares impose a shareholder transaction fee paid when
investors buy, sell, exchange, or hold shares of the Fund. Institutional Class
Shares deducts a transaction fee of 0.50% from redemptions and exchanges out of
the Fund. Advisor Class Shares deducts a transaction fee of 0.25% from
purchases, redemptions and exchanges into and out of the Fund. These transaction
fees are paid directly to the Fund and are deducted automatically from the
amount invested, exchanged or redeemed (with the exception of reinvested
dividends or capital gain distributions).
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses as follows: Institutional
Class Shares to 0.05 of 1% of the average daily net assets of the class,
excluding expenses of the Portfolio and 0.40 of 1% of the average daily net
assets of the class, including expenses of the Portfolio. Advisor Class Shares
to 0.30 of 1% of the average daily net assets of the class, excluding expenses
of the Portfolio and 0.65 of 1% of the average daily net assets of the class,
including expenses of the Portfolio. For the period ended June 30, 1996,
Institutional Class and Advisor Class expenses have been reduced by $46,709 and
$47, respectively.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposed expense limitation of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
7
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received compensation
for services as trustees of the Fund. Similarly, none of the Fund's officers
received compensation from the Fund.
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At June 30, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE PERIOD ENDED JUNE 30, 1996*
---------------------------------------------
INSTITUTIONAL ADVISOR
CLASS SHARES CLASS SHARES
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ---------- ----------- ---------
<S> <C> <C> <C> <C>
Sold.................. 2,564,759 $25,869,543 4,819 $ 48,205
Reinvested............ -- -- -- --
Redeemed.............. -- -- -- --
--------- ---------- ----- ---------
Increase.............. 2,564,759 $25,869,543 4,819 $ 48,205
--------- ---------- ----- ---------
--------- ---------- ----- ---------
</TABLE>
- ----------------
* Commencement of Operations for the Institutional Class and Advisor Class are
January 24, 1996 and June 21, 1996, respectively.
8
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
COMMON STOCK 95.63%
AUSTRALIA - 2.49%
3,400 Amcor Ltd. (Packaging &
Container)...................... $ 23,149
8,569 Boral Ltd. (Buildings
Materials)...................... 22,257
1,700 Brambles Industries Ltd.
(Transportation)................ 23,657
9,200 Broken Hill Proprietary Company
Ltd. (Metals - Diversified)..... 127,230
3,023 Coca-Cola Amatil Ltd.
(Beverages)..................... 33,621
6,687 Coles Myer Ltd. (Retail)......... 24,317
2,000 CRA Ltd. (Mining)................ 30,791
6,700 CSR Ltd. (Building Materials).... 23,678
10,100 Foster's Brewing Group Ltd.
(Brewery)....................... 17,410
2,100 Gio Australia Holdings Ltd.
(Insurance)..................... 5,174
2,000 ICI Australia Ltd. (Chemicals)... 17,537
1,639 Lend Lease Corporation Ltd.
(Financial Services)............ 25,156
7,100 M.I.M. Holdings Ltd. (Mining).... 9,165
6,500 National Australia Bank
(Finance)....................... 60,115
1,500 Newcrest Mining Ltd. (Mining).... 6,021
10,320 News Corporation (Services)...... 58,566
8,100 Pacific Dunlop Ltd. (Holdings
Cos. - Diversified)............. 18,234
5,400 Pioneer International Ltd.
(Building Materials)............ 15,726
2,800 Plutonic Resources Ltd.
(Mining)........................ 14,325
4,100 Santos Ltd. (Oil/Gas -
Exploration).................... 14,199
1,700 TABCORP Holdings Ltd. (Leisure
Time)........................... 7,694
3,800 Westfield Trust Units (Real
Estate)......................... 6,849
11,100 Westpac Banking Corporation Ltd.
(Banks)......................... 49,188
5,900 WMC Ltd. (Metals -
Diversified).................... 42,260
----------
676,319
----------
AUSTRIA - 0.42%
20 Bank Austria AG (Banks) (a)...... 1,578
230 Bank Austria AG (Banks).......... 18,464
110 Creditanstalt - Bankverein
(Banks)......................... 7,280
60 EA - Generali AG (Insurance)..... 17,783
100 Flughafen Wien AG
(Transportation)................ 6,866
260 Oesterreichisch
Elektrizitatswirtschafts AG - A
(Verbundgesellschaft)
(Utility)....................... 19,841
200 OMV AG (Oil/Gas Domestic)........ 20,256
140 VA Technologies AG (Engineering &
Construction)................... 17,146
30 Wienerberger Baustoffindustrie AG
(Building Materials)............ 6,057
----------
115,271
----------
BELGIUM - 1.09%
300 Electrabel SA (Utilities -
Electric)....................... 64,060
200 Fortis AG (Insurance)............ 26,237
100 Generale de Banque SA (Banks).... 34,711
150 Groupe Bruxelles Lambert SA
(Financial Services)............ 18,768
50 Kredietbank Belgium (Banks)...... 14,954
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
150 Petrofina SA (Oil/Gas -
International).................. $ 47,016
100 Royale Belge (Insurance)......... 19,598
50 Solvay SA - A (Terme)
(Chemicals)..................... 30,681
100 Tractebel (Utilities -
Electric)....................... 40,935
----------
296,960
----------
DENMARK - 0.75%
1 Dampskibsselskabet Svendborg AS
(Transportation)................ 32,648
200 Carlsberg AS (Brewery)........... 11,764
304 Danisco AS (Food-Processing) .... 15,134
300 Den Danske Bank (Bank)........... 20,101
1 D/S 1912 - B (Transportation).... 22,675
100 FLS Industries AS - B
(Engineering & Construction).... 10,059
200 Novo Nordisk AS
(Biopharmaceuticals)............ 28,301
115 Sophus Berendsen AS - B
(Commercial Services)........... 15,374
598 Tele Danmark - B (Utilities)..... 29,935
400 Unidanmark AS - A (Banks)........ 18,549
----------
204,540
----------
FINLAND - 0.48%
200 Cultor OY 1 (Food Processing).... 9,772
500 Kesko (Retail)................... 7,372
7,000 Merita Ltd. - A (Banks)(a)....... 14,614
600 Nokia AB - A (Telecom
Equipment)...................... 22,083
900 Nokia AB - K (Telecom
Equipment)...................... 32,873
700 Outokumpu OY - A (Metals -
Diversified).................... 11,752
100 Stockmann AB - A (Retail)........ 5,488
1,300 UPM-Kymmene Corporation (Forest
Products)(a).................... 26,889
----------
130,843
----------
FRANCE - 6.16%
100 Accor SA (Lodging)............... 13,985
850 Alcatel Alsthom (Telecom
Equipment)...................... 74,131
1,020 AXA (Insurance).................. 55,792
1,350 Banque Nationale de Paris
(Banks)......................... 47,384
100 BIC (Manufacturing).............. 14,199
150 Canal Plus (Broadcast, Radio &
TV)............................. 36,682
150 Carrefour Supermarche (Retail)... 84,028
150 Compagnie Bancaire SA (Financial
Services)....................... 16,899
550 Compagnie De Saint Gobain
(Building Materials)............ 73,607
809 Compagnie Financiere de Paribas -
A (Financial Services).......... 47,770
1,250 Compagnie Francaise de Petroleum
Total - B....................... 92,700
700 Compagnie Generale des Eaux
(Diversified)................... 78,181
1,350 Elf Aquitaine (Energy)........... 99,277
200 Eridania Beghin-Say SA
(Agriculture)................... 31,311
458 Groupe Danone (Food
Processing)..................... 69,301
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
9
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
500 Havas (Advertising).............. $ 40,887
600 LaFarge (Building Materials)..... 36,303
400 L'Air Liquide (Chemicals)........ 70,625
200 LeGrand (Electrical Equipment)... 35,740
350 L'Oreal (Household Products)..... 116,184
450 LVMH (Moet-Hennessy Louis
Vuitton) (Wine and Spirits)..... 106,725
500 Lyonnaise des Eaux-Dumez
(Diversified)................... 47,744
1,050 Michelin - B (Tire & Rubber)..... 51,314
150 Pinault-Printemps SA (Retail).... 52,474
100 Promodes (Retail)................ 28,825
300 PSA Peugeot Citroen (Auto &
Trucks)......................... 40,149
1,400 Rhone - Poulenc - A
(Chemicals)..................... 36,793
550 Sanofi SA (Pharmaceuticals)...... 41,216
550 Schneider SA (Electronics)....... 28,844
564 Societe Generale Paris (Banks)... 62,006
2,000 Union des Assurances de Paris
(UAP) (Insurance - Multiline)... 40,596
----------
1,671,672
----------
GERMANY - 6.48%
115 Allianz AG Holdings
(Insurance)..................... 199,070
330 BASF AG (Chemicals).............. 94,304
3,150 Bayer AG (Chemicals)............. 111,229
1,615 Bayerische Hypotheken-und
Wechsel-Bank AG (Banks)......... 39,181
1,835 Bayerische Vereinsbank AG
(Banks)......................... 51,475
290 Daimler Benz AG (Auto &
Trucks)(a)...................... 155,173
2,400 Deutsche Bank AG (Banks)......... 113,520
250 Deutsche Lufthansa AG
(Transportation)................ 35,311
1,415 Dresdner Bank AG (Banks)......... 35,556
50 Hochtief AG (Engineering &
Construction)................... 22,435
60 Karstadt AG (Retail)............. 24,261
45 Linde AG (Machine -
Diversified).................... 29,267
210 Mannesmann AG (Machine -
Diversified).................... 72,566
1,180 Merck KGAA (Pharmaceuticals)..... 44,186
45 Muenchener Rueckversicherungs-
Gesellschaft (Insurance)........ 92,826
450 RWE AG Preferred (Oil/Gas)....... 13,835
1,900 RWE AG (Oil/Gas -
International).................. 74,018
165 SAP AG - Vorzug (Systeme,
Anwendungen, Produkte in der
Datenverarbeitung) (Software)... 24,465
385 SAP AG (Systeme, Anwendungen,
Produkte in der
Datenverarbeitung) (Software)... 57,034
430 Schering AG (Pharmaceuticals).... 31,271
2,800 Siemens AG (Electrical
Equipment)...................... 149,547
175 Thyssen AG (Steel)............... 31,972
2,610 VEBA AG (Oil/Gas -
International).................. 138,662
173 Viag AG (Metals - Diversified)... 68,986
135 Volkswagen (Consumer Goods)...... 50,153
----------
1,760,303
----------
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
HONG KONG - 3.13%
7,920 Bank of East Asia, Ltd.
(Banks)......................... $ 28,955
15,000 Cathay Pacific Airways
(Transportation)................ 27,516
12,000 Cheung Kong, Ltd. (Finance)...... 86,425
9,500 China Light & Power Company Ltd.
(Utilities - Electric).......... 43,077
12,000 Hang Lung Development Company
(Real Estate)................... 22,556
9,500 Hang Seng Bank (Banks)........... 95,727
14,400 Hong Kong and China Gas Company
Ltd. (Utilities - Gas).......... 22,974
57,600 Hong Kong Telecommunications
(Telecommunications)............ 103,431
12,000 Hong Kong & Shanghai Hotels Ltd.
(Lodging)....................... 20,463
19,000 Hutchison Whampoa
(Diversified)................... 119,535
4,000 Hysan Development Company Ltd.
(Real Estate)................... 12,247
9,077 New World Development (Real
Estate)......................... 42,097
12,000 Sun Hung Kai Properties Ltd.
(Real Estate)................... 121,305
6,500 Swire Pacific Ltd. - A
(Conglomerate).................. 55,631
2,000 Television Broadcasts Ltd.
(Broadcast, Radio & TV)......... 7,506
11,000 Wharf Holdings (Diversified)..... 39,363
----------
848,808
----------
IRELAND - 0.26%
2,679 Allied Irish Banks PLC (Banks)... 13,909
2,197 CRH PLC (Building Materials)..... 21,690
1,645 Irish Life PLC (Insurance)....... 6,491
6,686 Jefferson Smurfit Group
(Packaging & Container)......... 17,944
938 Kerry Group PLC (Food)........... 9,635
----------
69,669
----------
ITALY - 2.64%
3,948 Assicurazioni Generali
(Insurance)..................... 91,038
10,156 Banca Commerciale Italiana
(Banks)......................... 20,405
1,200 Benetton Group SPA (Textiles).... 15,499
4,281 Edison SPA (Utilities -
Electric)....................... 25,831
23,433 Ente Nazionale Idrocarburi SPA
(Oil/ Gas - Domestic)........... 116,859
4,383 Fiat SPA - Priveleged (Auto and
Trucks)......................... 7,691
19,061 Fiat SPA (Auto and Trucks)....... 63,847
4,448 Istituto Bancario San Paolo di
Torino (Banks).................. 28,725
3,678 Istituto Mobiliare Italiano SPA
(Financial Services)............ 30,710
21,406 Istituto Nazionale delle
Assicurazioni (Insurance)....... 31,906
2,698 Italgas SPA (Utilities).......... 10,076
3,011 Mediobanca SPA (Financial
Services)....................... 19,121
34,278 Montedison SPA (Chemicals)(a).... 19,923
10,478 Credito Italiano (Finance)....... 12,276
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
10
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
19,672 Olivetti Group (Computers)(a).... $ 10,612
10,894 Pirelli SPA (Tire & Rubber)...... 18,228
2,530 Riunione Adriatica di Sicurta SPA
(Insurance)..................... 26,150
30,184 Telecom Italia Mobile SPA
(Telecommunications)............ 67,437
36,974 Telecom Italia SPA
(Telecommunications)............ 79,471
11,255 Telecom Italia RNC
(Telecommunications)............ 19,419
----------
715,224
----------
JAPAN - 38.26%
4,000 Ajinomoto Co. Inc. (Food
Processing)..................... 47,773
3,000 Amada Co. Ltd. (Machinery)....... 32,274
11,000 Asahi Bank Ltd. (Banks).......... 127,365
2,000 Asahi Breweries Ltd. (Brewery)... 23,340
8,000 Asahi Chemical Industry Company
Ltd. (Textiles)................. 57,036
6,000 Asahi Glass Co. Ltd. (Building
Materials)...................... 71,660
28,200 Bank of Tokyo-Mitsubishi
(Banks)......................... 653,690
3,000 Bank of Yokohama Ltd. (Banks).... 27,214
4,000 Bridgestone Corp. (Tire &
Rubber)......................... 76,218
4,000 Canon (Capital Equipment)........ 83,147
3,000 Casio Computer Co. Ltd.
(Electronics)................... 28,719
6,000 Chiba Bank Ltd. (Banks).......... 52,842
7,000 Cosmo Oil Company Ltd. (Oil/Gas -
Domestic)....................... 43,269
700 Credit Saison Co. Ltd.
(Retail)........................ 16,912
4,000 Dai Nippon Printing Co. Ltd.
(Publishing/ Printing).......... 77,312
4,000 Daiei Inc. (Retail).............. 48,138
9,000 Dainippon Ink & Chemicals Inc.
(Chemicals)..................... 46,114
3,000 Daiwa House Industry
(Industrial).................... 46,497
7,000 Daiwa Securities Co. Ltd.
(Financial - Securities
Brokers)........................ 89,985
23 East Japan Railway
(Transportation)................ 120,572
3,000 Ebara Corporation (Machinery -
Diversified).................... 47,864
2,100 Eisai Co. Ltd.
(Pharmaceuticals)............... 39,632
1,400 Fanuc (Electronics).............. 55,650
15,000 Fuji Bank Ltd. (Banks)........... 322,742
3,000 Fuji Photo Film (Chemicals)...... 94,635
10,000 Fujitsu Ltd. (Computers)......... 91,170
4,000 Furukawa Electric Co. (Metals)... 23,887
18,000 Hitachi Ltd. (Capital
Equipment)...................... 167,388
5,000 Honda Motor Co. (Auto &
Trucks)......................... 129,462
12,000 Industrial Bank of Japan
(Banks)......................... 297,579
8,000 Itochu Corporation (Distribution/
Wholesale)...................... 55,869
2,000 Ito-Yokado Co. Ltd. (Retail)..... 120,527
10,000 Japan Air Lines (Transportation -
Air)(a)......................... 80,868
8,000 Japan Energy Corp. (Oil/Gas -
Domestic)....................... 29,685
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
2,000 JUSCO Co. (Retail)............... $ 65,460
6,000 Kajima Corp. (Engineering &
Construction)................... 61,813
3,500 Kansai Electric Power (Utilities
- Electric)..................... 80,093
4,000 Kao Corp. (Household Products)... 53,973
6,000 Kawasaki Heavy Industries
(Engineering & Construction).... 30,360
18,000 Kawasaki Steel (Steel)........... 64,822
2,000 Kinden Corporation (Engineering &
Construction)................... 31,727
9,000 Kinki Nippon Railway
(Transportation)................ 64,740
6,000 Kirin Brewery Co. Ltd.
(Brewery)....................... 73,301
6,000 Komatsu Ltd. (Machinery)......... 59,078
9,000 Kubota Corp. (Machinery)......... 59,324
2,000 Kurita Water Industries (Capital
Equipment)...................... 48,685
1,000 Kyocera Corp. (Capital
Equipment)...................... 70,657
11,000 Marubeni Corp.
(Distribution/Wholesale)........ 60,172
3,000 Marui Co. Ltd. (Retail).......... 66,463
12,000 Matsushita Electric Industrial
Co. (Electronics)............... 223,185
5,000 Meiji Seika (Pharmaceuticals).... 30,952
12,000 Mitsubishi Chemicals
(Chemicals)..................... 55,359
7,000 Mitsubishi Corp.
(Distribution/Wholesale)........ 91,900
12,000 Mitsubishi Electric Corp.
(Capital Equipment)............. 83,585
7,000 Mitsubishi Estate Co. Ltd. (Real
Estate)......................... 96,367
19,000 Mitsubishi Heavy Industry Ltd.
(Aerospace)..................... 165,082
6,000 Mitsubishi Materials Corp.
(Metals)........................ 32,602
6,000 Mitsubishi Trust & Banking
(Banks)......................... 101,199
5,000 Mitsui Fudosan (Real Estate)..... 67,466
3,000 Mitsui Marine & Fire Insurance
(Insurance)..................... 23,823
7,000 Mitsui Trust & Banking (Banks)... 81,688
4,000 Mitsui & Co.
(Distribution/Wholesale)........ 36,213
4,000 Mitsukoshi Ltd. (Retail)......... 42,668
2,000 Murata Manufacting Co. Ltd.
(Electrical Equipment).......... 75,671
8,000 NEC Corp. (Electronics).......... 86,794
5,000 New OJI Paper Co, Ltd. (Forest
Products)....................... 43,123
6,000 Nippon Express Co. Ltd. (Trucking
& Leasing)...................... 58,531
2,000 Nippon Meat Packers (Food -
Processing)..................... 28,445
8,000 Nippon Oil Co. Ltd. (Oil/Gas -
Domestic)....................... 54,192
6,000 Nippon Paper Industries Co.
(Forest Products)............... 37,471
40,000 Nippon Steel Company (Steel)..... 137,120
7,000 Nippon Yusen Kabushiki Kaish
(Transportation - Marine)....... 40,461
5,000 Nippondenso Co. Ltd. (Electrical
Equipment)...................... 108,492
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
11
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
4,000 Nishimatsu Construction
(Engineering & Construction).... $ 43,762
9,000 Nissan Motor Co. Ltd. (Auto &
Trucks)......................... 79,838
1,000 Nissin Food Products (Food -
Processing)..................... 25,619
16,000 NKK Corporation (Steel)(a)....... 48,430
10,000 Nomura Securities (Financial -
Securities Brokers)............. 195,104
6,000 NSK Ltd. (Machinery)............. 45,348
4,000 NTN Corp. (Metals)............... 28,263
5,000 Obayashi Corp. (Capital
Equipment)...................... 45,175
7,000 Odakyu Electric Railway
(Transportation - Rail)......... 47,099
2,000 Olympus Optical Co. Ltd. (Medical
Supplies)....................... 20,057
2,000 Onward Kashiyama Co. Ltd.
(Textiles)...................... 32,639
15,000 Osaka Gas Co. (Utilities -
Gas)............................ 54,839
1,000 Rohm Company (Electronics)....... 66,007
19,000 Sakura Bank Ltd. (Banks)......... 211,332
3,000 Sankyo Co. Ltd.
(Pharmaceuticals)............... 77,677
11,000 Sanyo Electric Co. Ltd.
(Electronics)................... 67,092
1,000 Secom (Electronics).............. 66,007
800 Sega Enterprises (Toys).......... 37,343
4,000 Sekisui Chemical Co.
(Chemicals)(a).................. 48,867
4,000 Sekisui House Ltd. (Manufactured
Housing)........................ 45,585
200 Seven-Eleven Japan (Retail)...... 12,746
6,000 Sharp Corp. (Electronics)........ 105,028
5,000 Shimizu Corp. (Engineering &
Construction)................... 55,158
2,100 Shin-Etsu Chemical Co.
(Chemicals)..................... 40,206
3,000 Shiseido Co. Ltd. (Household
Products)....................... 38,291
5,000 Shizuoka Bank (Banks)............ 64,275
12,000 Showa Denko K.K.
(Chemicals)(a).................. 36,979
1,600 Sony Corporation (Electronics)... 105,174
15,000 Sumitomo Bank (Banks)............ 289,921
10,000 Sumitomo Chemical Co.
(Chemicals)..................... 47,682
6,000 Sumitomo Corp.
(Distribution/Wholesale)........ 53,280
4,000 Sumitomo Electric Industries
(Electrical Equipment).......... 57,255
5,000 Sumitomo Marine & Fire
(Insurance)..................... 43,534
18,000 Sumitomo Metal Industries
(Steel)......................... 55,140
4,000 Sumitomo Metal Mining Co.
(Metals)........................ 34,608
7,000 Taisei Corp. (Engineering &
Construction)................... 49,651
2,000 Taisho Pharmaceutical
(Pharmaceuticals)............... 43,215
2,000 Takashimaya Co. (Retail)......... 30,998
5,000 Takeda Chemical Industries
(Pharmaceuticals)............... 88,435
7,000 Teijin Ltd. (Textiles)........... 37,972
7,000 Tobu Railway Co. Ltd.
(Transportation - Rail)......... 45,886
100 Toho Co. (Entertainment)......... 17,687
2,700 Tohoku Electric Power (Utilities
- Electric)..................... 60,309
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
12,000 Tokai Bank (Banks)............... $ 155,354
9,000 Tokio Marine & Fire Insurance
(Insurance)..................... 119,798
1,000 Tokyo Broadcasting System
(Broadcast, Radio & TV)......... 17,687
2,000 Tokyo Dome Corp.
(Entertainment)................. 40,297
7,100 Tokyo Electric Power (Utilities -
Electric)....................... 179,952
1,000 Tokyo Electron Ltd.
(Electronics)................... 29,083
14,000 Tokyo Gas Co. Ltd. (Utilities -
Gas)............................ 51,055
7,000 Tokyu Corp. (Transportation -
Rail)........................... 53,289
4,000 Toppan Printing Co. Ltd.
(Publishing/ Printing).......... 58,349
8,000 Toray Industries Inc.
(Chemicals)..................... 55,140
2,000 Tostem Corporation (Building
Materials)...................... 58,896
3,000 Toto Ltd. (Industrial
Materials)...................... 45,129
2,000 Toyo Seikan Kaisha (Packaging &
Container)...................... 69,654
8,000 Toyobo Ltd. (Textiles)........... 29,977
2,000 Toyoda Automatic Loom Works
(Machinery)..................... 39,933
19,000 Toyota Motor Corp. (Consumer
Goods).......................... 474,632
11,000 UBE Industries Ltd.
(Chemicals)..................... 41,820
6,000 Yamaichi Securities (Financial -
Securities Brokers)............. 41,136
2,000 Yamato Transport Co. Ltd.
(Trucking & Leasing)............ 23,522
2,000 Yamazaki Baking Co. Ltd. (Food -
Processing)..................... 37,015
2,000 Yamonouchi Pharmaceutical
(Pharmaceuticals)............... 43,397
----------
10,384,720
----------
MALAYSIA - 2.38%
2,000 AMMB Holdings Berhad (Banks)..... 28,053
2,000 Edaran Otomobil Nasional
(Consumer Goods)................ 19,156
13,000 Golden Hope Plantations BHD
(Agriculture)................... 20,214
3,000 Hume Industries BHD (Building
Materials)...................... 14,668
3,000 Jaya Tiasa Holdings BHD
(Materials)..................... 17,553
8,000 Kuala Lumpur Kepong BHD
(Agriculture)................... 20,198
3,000 Land & General Holdings BHD
(Holding Cos.).................. 7,394
8,000 Magnum Corporation BHD
(Entertainment)................. 13,529
6,400 Malayan Banking BHD (Banks)...... 61,556
6,000 Malaysia International Shipping
(Transportation - Shipping)..... 18,635
5,000 Malaysian Airline System BHD
(Transportation - Air).......... 15,930
6,000 Malaysian Resources Corporation
BHD (Real Estate)............... 14,668
2,000 Nestle (Malaysia) BHD (Food -
Processing)..................... 16,110
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
12
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
4,000 Perusahaan Otomobil Nasional BHD
(Auto and Trucks)............... $ 21,801
10,000 Public Bank BHD - Foreign Market
(Banks)......................... 27,652
7,000 Resorts World BHD
(Entertainment)................. 40,115
3,000 Rothmans of Pall Mall BHD
(Tobacco)....................... 31,559
15,000 Sime Darby BHD (Holding Cos. -
Diversified).................... 41,478
11,000 Telekom Malaysia BHD
(Telecommunications)............ 97,864
16,000 Tenaga Nasional BHD (Utilities -
Electric)....................... 67,327
4,000 United Engineers BHD (Engineering
& Construction)(a).............. 27,732
4,500 YTL Corporation BHD (Engineering
& Construction)................. 23,444
----------
646,636
----------
NETHERLANDS - 3.99%
1,690 ABN Amro Holding NV (Banks)...... 90,688
427 Akzo Nobel (Chemicals)........... 51,155
3,509 Elsevier NV
(Publishing/Printing)........... 53,241
287 Heineken NV (Brewery)............ 64,125
3,793 Internationale Nederlanden Groep
NV (Banks)...................... 113,101
400 Koninklijke Ahold NV (Retail).... 21,676
1,461 Philips Electronics NV
(Electronics)................... 47,502
2,599 Royal Dutch Petroleum Company
(Oil/ Gas - International)...... 401,345
2,458 Royal PTT Nederland NV
(Commercial Services)........... 93,021
833 Unilever NV - CVA (Food -
Processing)..................... 120,534
234 Wolters Kluwer - CVA (Publishing/
Printing)....................... 26,580
----------
1,082,968
----------
NEW ZEALAND - 0.37%
13,480 Brierley Investments Ltd.
(Investment Co.)................ 12,745
11,844 Carter Holt Harvey Ltd. (Forest
Products)....................... 27,021
1,916 Fletcher Challenge Building
(Building Materials)............ 3,741
1,916 Fletcher Challenge Energy
(Oil/Gas)....................... 4,227
3,832 Fletcher Challenge Paper (Forest
Products)....................... 7,403
2,190 Lion Nathan Ltd. (Brewery)....... 5,716
9,139 Telecom Corporation of New
Zealand Ltd.
(Telecommunications)............ 38,318
----------
99,171
----------
NORWAY - 0.45%
400 Bergesen d.y. AS - A
(Transportation - Marine)....... 8,312
600 Hafslund ASA - A Shares
(Utilities)..................... 4,341
250 Kvaerner AS (Engineering)........ 10,563
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
1,100 Norsk Hydro AS (Oil/Gas -
Exploration).................... $ 53,844
600 Nycomed ASA - A Shares (Medical
Supplies)(a).................... 8,635
400 Orkla AS - A - Aksjer
(Manufacturing)................. 21,057
350 Transocean AS (OIl/Gas)(a)....... 9,078
1,600 UNI Storebrand AS
(Insurance)(a).................. 7,191
----------
123,021
----------
SINGAPORE - 1.47%
5,000 City Developments Ltd. (Real
Estate)......................... 38,965
1,000 Cycle & Carriage Ltd. (Retail)... 10,698
4,000 DBS Land Ltd. (Real Estate)...... 13,716
3,000 Development Bank of Singapore
Ltd. (Banks).................... 37,407
2,000 Fraser & Neave Ltd.
(Beverages)..................... 20,687
3,000 Keppel Corporation Ltd.
(Transportation)................ 25,080
4,000 Oversea-Chinese Banking
Corporation Ltd. (Banks)........ 46,759
5,000 Singapore Airlines Ltd.
(Transportation)................ 52,781
2,000 Singapore Press Holdings Ltd. -
Foreign (Publishing/Printing)... 39,249
4,000 Singapore Technologies Industrial
Corporations (Holding Cos.)..... 10,599
28,000 Singapore Telecommunications,
Ltd. (Utilities)................ 74,587
3,000 United Overseas Bank Ltd.
(Banks)......................... 28,693
----------
399,221
----------
SPAIN - 1.81%
1,997 Autopistas Concesionaria Espanola
SA (Engineering &
Construction)................... 23,207
1,111 Banco Bilbao Vizcaya (BBV)
(Banks)......................... 44,972
307 Banco Central Hispanoamericano
(BCH) (Banks)................... 6,249
858 Banco Santander SA (Banks)....... 40,017
776 Corporacion Bancaria de Espana SA
(Banks)......................... 33,833
225 Corporacion Mapfre (Insurance)... 11,477
1,196 Empresa Nacional de Electridad SA
(Utilities)..................... 74,531
225 Gas Natural SDG (Utilities)...... 47,206
5,299 Iberdrola SA (Utilities)......... 54,348
1,546 Repsol SA (Oil/Gas).............. 53,718
297 Tabacalera SA (Tobacco).......... 14,941
4,704 Telefonica de Espana
(Telecommunications)............ 86,585
----------
491,084
----------
SWEDEN - 2.11%
300 ABB AB - A (Machinery)........... 31,783
800 AGA AB - A (Chemicals)........... 14,226
900 Astra AB - B (Pharmaceuticals)... 39,197
2,300 Astra AB - A (Pharmaceuticals)... 101,557
600 Atlas Copco AB - A (Machinery)... 11,167
600 Autoliv AB (Auto Parts).......... 18,265
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
13
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
500 Electrolux AB - B (Furniture).... $ 25,129
300 Hennes & Mauritz AB - B
(Retail)........................ 27,804
160 Nackebro Fastighets AB (Real
Estate)(a)...................... 1,977
2,400 Skandinaviska Enskilda Banken
(Banks)......................... 19,169
800 Skanska AB (Engineering)......... 28,271
1,100 Stora Kopparbergs Bergslags
Aktiebolag (Forest Products).... 14,505
1,700 Svenska Cellulosa AB (Forest
Products)....................... 34,970
1,600 Svenska Handelsbanken - A
(Banks)......................... 33,395
1,900 Swedish Match AB (Tobacco)(a).... 5,898
5,000 Telefonakiebolaget LM Ericsson -
B (Telecom)..................... 107,750
600 Volvo AB - A (Auto & Trucks)..... 13,699
1,900 Volvo AB - B (Auto & Trucks)..... 43,236
----------
571,998
----------
SWITZERLAND - 5.55%
40 ABB AG - Bearer (Machinery)...... 49,469
25 Alusuisse-Lonza Holding AG
(Holding Cos.).................. 20,632
30 Ciba-Geigy AG - B
(Pharmaceuticals)............... 36,382
125 Ciba-Geigy AG -
(Pharmaceuticals)............... 152,293
900 CS Holding AG - (Banks).......... 85,564
25 Holderbank Financiere Glaris AG -
B (Building Materials).......... 19,973
190 Nestle SA - (Food)............... 216,913
8 Roche Holding AG - Bearer
(Pharmaceuticals)............... 99,385
34 Roche Holding AG - Genusschine
(Pharmaceuticals)............... 259,271
170 Sandoz AG (Pharmaceuticals)...... 194,352
100 Schweizerische Bankgesellschaft -
(Banks)......................... 21,171
110 Schweizerische Bankgesellschaft -
B (Banks)....................... 107,654
70 Schweizerische
Rueckversicherungs-Gesellschaft
(Insurance)..................... 71,862
300 Schweizerischer Bankverein
(Banks)......................... 59,199
5 SGS Societe Generale de
Surveillance Holding SA
(Commercial Services)........... 11,964
100 Societe Suisse pour la
Microelectronique et
l'Horlogerie (Jewelry)(a)....... 15,619
25 Sulzer AG (Manufacturing)........ 16,058
250 Zurich Versicherungsgesellschaft
(Insurance)..................... 68,107
----------
1,505,868
----------
UNITED KINGDOM - 15.34%
8,280 Abbey National PLC (Banks)....... 69,602
3,279 Associated British Foods PLC
(Food - Processing)............. 19,717
8,896 Barclays PLC (Banks)............. 106,849
5,359 Bass PLC (Brewery)............... 67,364
2,182 BBA Group PLC (Auto Parts -
Original Equipment)............. 10,442
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
9,029 Blue Circle Industries PLC
(Building Materials)............ $ 50,505
4,186 BOC Group PLC (Chemicals)........ 60,099
7,229 Boots Company PLC (Retail)....... 65,036
2,031 British Aerospace PLC
(Aerospace)..................... 30,832
5,328 British Airways PLC
(Transportation - Air).......... 45,864
24,986 British Gas PLC (Utilities -
Gas)............................ 69,882
2,593 British Land Company PLC (Real
Estate)......................... 17,043
28,112 British Petroleum Company PLC
(Oil/ Gas - International)...... 246,576
10,993 British Sky Broadcasting Group
PLC (Broadcast)................. 75,156
12,844 British Steel PLC (Steel)........ 32,829
29,543 British Telecommunications PLC
(Telecommunications)............ 158,827
21,206 BTR PLC (Holding Cos. -
Diversified).................... 83,528
15,392 B.A.T. Industries PLC
(Tobacco)....................... 119,820
7,276 Cable & Wireless PLC
(Telecommunications)............ 48,161
6,461 Cadbury Schweppes PLC
(Beverages)..................... 51,099
2,304 Caradon PLC (Holding Cos.)(a).... 7,733
5,308 Commercial Union PLC
(Insurance)..................... 47,836
3,913 General Accident PLC
(Insurance)..................... 39,702
13,692 General Electric Company PLC
(Electronics)................... 73,823
1,796 GKN PLC (Auto Parts)............. 27,571
17,449 Glaxo Wellcome PLC
(Pharmaceuticals)............... 234,928
3,924 Granada Group PLC (Leisure
Time)........................... 52,557
12,744 Grand Metropolitan PLC (Wine &
Spirits)........................ 84,553
6,758 Great Universal Stores PLC
(Retail)........................ 68,674
12,238 Guiness PLC (Wine & Spirits)..... 88,992
28,381 Hanson PLC (Holding Cos.)........ 79,598
2,518 HSBC Holdings PLC (75P)
(Banks)......................... 39,438
10,004 HSBC Holdings PLC (Banks)........ 153,266
3,257 Imperial Chemical Industries PLC
(Chemicals)..................... 39,878
12,128 J. Sainsbury PLC (Retail)........ 71,421
3,926 Land Securities PLC (Real
Estate)......................... 38,004
25,640 Lloyds TSB Group PLC (Banks)..... 125,494
5,988 Lucas Industries PLC (Auto
Parts).......................... 21,074
13,941 Marks & Spencer PLC (Retail)..... 101,917
690 Mercury Asset Management Group
PLC (Financial Services)........ 10,346
13,648 National Grid Group PLC
(Utilities)..................... 36,157
7,873 National Power PLC (Utilities)... 63,612
3,351 Pearson PLC (Publishing)......... 34,573
5,038 Peninsular and Oriental Steam
Navigaion Company
(Transportation)................ 38,044
5,737 Pilkington PLC (Building
Materials)...................... 16,135
12,263 Prudential Corporation PLC
(Insurance)..................... 77,360
7,755 Rank Organisation PLC
(Entertainment)................. 60,008
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
14
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
1,665 Reed International PLC
(Publishing/ Printing).......... $ 27,863
9,846 Reuters Holdings PLC (Publishing/
Printing)....................... 119,177
4,236 Rexam PLC (Packaging &
Container)...................... 22,313
1,863 RMC Group PLC (Building
Materials)...................... 29,324
11,697 Rolls-Royce PLC (Aerospace)...... 40,711
5,461 RTZ Corporation PLC (Mining)..... 80,865
10,533 Safeway PLC (Retail)............. 56,791
1,000 Schroders PLC (Banks)............ 21,054
3,567 Scottish Power PLC (Utilities)... 16,849
2,056 Scottish & Newcastle PLC
(Brewery)....................... 21,052
11,472 Smithkline Beecham PLC
(Pharmaceuticals)............... 122,731
1,074 Smiths Industries PLC
(Aerospace)..................... 11,748
3,866 Tesco PLC (Retail)............... 17,661
1,978 Thames Water PLC (Utilities)..... 17,426
2,152 THORN EMI PLC (Entertainment).... 59,987
4,659 Unilever PLC (Food).............. 92,661
3,908 United Utilities PLC
(Utilities)..................... 32,912
19,560 Vodafone Group PLC
(Telecommuncations)............. 72,790
4,342 Wolseley PLC (Building
Materials)...................... 30,697
4,897 Zeneca Group PLC
(Pharmaceuticals)............... 108,275
----------
4,164,812
----------
TOTAL COMMON STOCK (Cost $24,959,393)......... 25,959,108
----------
<CAPTION>
SHARES SECURITY VALUE
- ----------- --------------------------------- ----------
<C> <S> <C>
OTHER SECURITIES - 0.17%
FRANCE - 0.15%
150 Carrefour Supermarche Rights
(Retail)........................ $ 41,431
----------
GERMANY - 0.00%
290 Daimler Benz AG Rights (Auto &
Trucks)......................... 40
----------
HONG KONG - 0.00%
1,200 Hong Kong and China Gas Company
Ltd. Rights (Utilities)......... 314
----------
SINGAPORE - 0.01%
400 Overseas-Chinese Banking
Corporation Rights (Banks)...... 3,202
----------
TOTAL OTHER SECURITIES (Cost $0)............. 44,987
----------
PREFERRED STOCK CONVERTIBLE 0.09%
AUSTRALIA - 0.09%
5,032 News Corporation Voting Preferred
Shares (Consumer Services)...... 24,556
----------
TOTAL PREFERRED STOCK CONVERTIBLE (Cost
$24,375)...................................... 24,556
----------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C>
SHORT TERM INSTRUMENTS 3.75%
U.S. TREASURY BILLS 3.75%
$ 125,000 5.0%, 9/12/96 (U.S. GOVERNMENT &
AGENCY)......................... 123,730
905,000 5.06%, 9/19/96 (U.S. GOVERNMENT &
AGENCY)......................... 894,744
----------
TOTAL SHORT TERM INSTRUMENTS (Cost
$1,018,508)................................. 1,018,474
----------
TOTAL INVESTMENTS (Cost $26,002,276)
99.64%...................................... 27,047,125
Other Assets less Liabilities 0.36%......... 98,013
----------
NET ASSETS - 100.00%........................ $27,145,138
----------
----------
</TABLE>
- ------------------
(a) Non-Income Producing Security
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
15
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $26,002,276)............................................... $27,047,125
Cash (includes foreign cash of $45,187)............................................... 49,064
Dividend and Interest Receivable...................................................... 52,144
Receivable for Foreign Taxes Withheld................................................. 26,141
Deferred Organizational Expenses...................................................... 8,212
Variation Margin Receivable........................................................... 3,360
Prepaid Expenses and Other............................................................ 955
-----------
Total Assets.............................................................................. 27,187,001
-----------
LIABILITIES
Due to Bankers Trust.................................................................. 16,677
Net Unrealized Depreciation on Forward Currency Contracts............................. 3,024
Accrued Expenses and Other............................................................ 22,162
-----------
Total Liabilities......................................................................... 41,863
-----------
NET ASSETS................................................................................ $27,145,138
-----------
-----------
COMPOSITION OF NET ASSETS
Paid-in-Capital....................................................................... $26,100,815
Net Unrealized Appreciation on Investments, Foreign Currencies and Forward Currency
Contracts............................................................................ 1,044,323
-----------
NET ASSETS, JUNE 30, 1996................................................................. $27,145,138
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS FOR THE PERIOD JANUARY 24, 1996 (COMMENCEMENT OF
OPERATIONS) THROUGH JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding taxes of $35,330)............................... $ 262,728
Interest.............................................................................. 38,694
-----------
Total Investment Income................................................................... 301,422
-----------
EXPENSES
Advisory.............................................................................. 25,805
Administration and Services........................................................... 10,322
Professional.......................................................................... 13,350
Trustees.............................................................................. 2,704
Transfer Tax.......................................................................... 1,699
Amortization of Organizational Expense................................................ 788
Miscellaneous......................................................................... 909
-----------
Total Expenses........................................................................ 55,577
Less: Expenses Absorbed by Bankers Trust.............................................. (19,450)
-----------
Net Expenses.............................................................................. 36,127
-----------
NET INVESTMENT INCOME..................................................................... 265,295
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions............................................................. 866
Foreign Currency Transactions....................................................... (74,147)
Net Change in Unrealized Appreciation (Depreciation) of:
Investments......................................................................... 1,044,849
Foreign Currencies and Forward Currency Contracts................................... (526)
-----------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY CONTRACTS................ 971,042
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS................................................ $ 1,236,337
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
16
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 24,
1996
(COMMENCEMENT
OF OPERATIONS)
THROUGH
JUNE 30, 1996
(UNAUDITED)
---------------
<S> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net Investment Income........................................................................ $ 265,295
Net Realized (Loss) from Investments and Foreign Currency Transactions....................... (73,281)
Net Unrealized Appreciation on Investments, Foreign Currencies and Forward Currency
Contracts.................................................................................. 1,044,323
---------------
Net Increase in Net Assets from Operations....................................................... 1,236,337
---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............................................................... 25,917,758
Value of Capital Withdrawn................................................................... (8,957)
---------------
Net Increase in Net Assets fom Capital Transactions.............................................. 25,908,801
---------------
TOTAL INCREASE IN NET ASSETS..................................................................... 27,145,138
NET ASSETS
Beginning of Period.............................................................................. --
---------------
End of Period.................................................................................... $ 27,145,138
---------------
---------------
</TABLE>
FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
Contained below are selected data for ratios to average net assets, portfolio
turnover and average commission rate per share for the period indicated.
<TABLE>
<S> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)......................................... $ 27,145
Ratios to Average Net Assets
Net Investment Income......................................................... 2.54%*
Expenses...................................................................... 0.35%*
Decrease Reflected in Above Expense Ratio Due to Absorption of Expenses by
Bankers Trust................................................................ 0.19%*
Portfolio Turnover Rate........................................................... 2.95%
Average Commission Per Share...................................................... $ 0.025#
</TABLE>
- ------------------
* Annualized
# For the year beginning on or after September 1, 1995, the Portfolio is
required to disclose its average commission rate per share for purchases or
sales of equity securities.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES 18-19
17
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
EAFE Equity 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 as an unincorporated trust under
the laws of New York and commenced operations on January 24, 1996. 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 listed or traded on the National Stock Exchange or
other domestic or foreign exchanges are valued on its closing price on that
exchange prior to the time when assets are valued. In cases where securities are
traded on more than one exchange, the securities will be valued on the exchange
designated as the primary market. All other portfolio securities for which
over-the-counter market quotations are readily available including circumstances
under which it is determined by the Investment Manager that sale or bid prices
are not reflective of a security's market value, portfolio securities are valued
at their fair value as determined in good faith under procedures established by
and under the general supervision of the Trustees. Short-term obligations with
remaining maturities of 60 days or less are valued at amortized cost. Other
short-term debt securities are valued on a mark-to-market basis until such time
as they reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.
C. SECURITY TRANSACTIONS AND INTEREST INCOME
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld (if any), are recorded on the ex-dividend date or
upon receipt of ex-dividend notification in the case of certain foreign
securities. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintain the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller.
E. FOREIGN CURRENCY TRANSACTIONS
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividends and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions. The Portfolio does not isolate the portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain and loss
from securities.
F. FORWARD FOREIGN CURRENCY CONTRACTS
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Porfolio's investment generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
G. FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either in cash or securities an amount equal to
a certain percentage of the contract amount. Subsequent payments are made or
received by the portfolio each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statemnet
purposes as unrealized gains or losses by the portfolio. The Portfolio's
investment in the financial futures contracts is designed to closely replicate
the benchmark index used by the Portfolio. Should the Portfolio's prices move
unexpectedly, the Portfolio may not achieve the anticipated benefits of the
financial futures contracts and may realize a loss.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
H. OPTION CONTRACTS
Upon the purchase of a put option or a call option by the Portfolio, the premium
paid is recorded as an investment, the value of which is marked-to-market daily
to reflect the current market value. When a purchased option expires, the
Portfolio will realize a loss in the amount of the cost of the option. When the
Portfolio enters into a closing sale transaction, the Portfolio will realize a
gain or loss depending on whether the sale proceeds from the closing sale
transaction are greater or less than the cost of the option. When the Portfolio
exercises a put option, it realizes a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by the
premium originally paid. When the Portfolio exercises a call option, the cost of
the security which the Portfolio purchases upon exercise will be increased by
the premium originally paid.
I. ORGANIZATIONAL EXPENSES
Costs incurred by the Portfolio in connections with its organization and initial
registration are being amortized evenly over a five year period.
J. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
18
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
K. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement
("Agreement") with Bankers Trust Company ("Bankers Trust"). Under such
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.10 of 1% of the Portfolio's average daily
net assets. For the period ended June 30, 1996, this fee aggregated $10,322.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.25 of 1% of the
Portfolio's average daily net assets. For the period ended June 30, 1996, this
fee aggregated $25,805.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.35 of 1% of the
average daily net assets of the Portfolio. For the period ended June 30, 1996,
expenses of the Portfolio have been reduced $19,450.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Advisor Funds. None of the trustees so affiliated received compensation
for services as trustees of the Portfolio. Similarly, none of the Portfolio's
officers received compensation from the Portfolio.
NOTE 3 -- PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the period ended June 30, 1996 were $25,651,778
and $668,010 respectively. Cost of investments for Federal income tax purposes,
at June 30, 1996 was approximately the cost of investments used for financial
statement purposes. The aggregate gross unrealized appreciation was $1,583,369
and the aggregate gross unrealized depreciation for all investments was $538,520
as of June 30, 1996.
NOTE 4 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS TO IN EXCHANGES SETTLEMENT VALUE DEPRECIATION
DELIVER FOR DATE (US$) (US$)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------
SALES
- ---------------------------------------------------------------
JPY 10,000,000 USD $ 91,650 7/24/96 $ 91,170 $ 480
- ---------------------------------------------------------------
PURCHASES
- ---------------------------------------------------------------
JPY 43,528,000 USD $401,180 7/24/96 396,846 (4,334)
ECU 364,960 USD $453,691 454,521 830
--------- -------------
$ 851,367 (3,504)
--------- -------------
---------
$ (3,024)
-------------
-------------
</TABLE>
19
<PAGE>
BT ADVISOR FUNDS
EAFE EQUITY INDEX FUND
For shareholder account information
and current price and yield
quotations, shareholders may call
their relationship manager or
servicing agent. Prospectuses
containing more extensive information
regarding the EAFE Equity Index Fund
may be obtained by calling or writing
to Investors Fiduciary Trust Company
or Signature Broker-Dealer Services,
Inc., the primary Servicing Agent and
Distributor, respectively, of BT
Advisor Funds:
BT ADVISOR FUNDS
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, MO 64105
(800) 730-1313
BT ADVISOR FUNDS
Signature Broker-Dealer Services, Inc.
6 St. James Avenue
Boston, MA 02116
(800) 545-1074
You may write to the EAFE Equity Index
Fund
at the following address:
BT ADVISOR FUNDS
6 St. James Avenue
Boston, MA 02116
