<PAGE>
- BT ADVISOR FUNDS -
--------------------------------------------------
EAFE EQUITY INDEX FUND
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SEMI-ANNUAL REPORT
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JUNE-1997
<PAGE>
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EAFE Equity Index Fund
Table of Contents
- --------------------------------------------------------------------------------
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
2
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EAFE Equity Index Fund
Letter to Shareholders
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The EAFE-Registered Trademark-* Equity Index Fund's (the "Fund")
Institutional Class Shares returned 11.86% and the Fund's Advisor Class
Shares returned 11.54% for the six months ended June 30, 1997. Both classes
outperformed the 11.21% return of the MSCI EAFE Index,** but underperformed
the 12.53% return of the Lipper International Equity Average.*** Since the
Institutional Class Shares' inception on January 24, 1996, it is up 19.94%
cumulatively, as of June 30, 1997. This is a 13.54% average annualized total
return. And since the Advisor Class Shares' inception on June 21, 1996, it is
up 13.29% cumulatively, as of June 30, 1997. This is a 12.92% average
annualized total return.*+ For the year ended June 30, 1997, the
Institutional and Advisor Class Shares returned 13.47% and 12.95%,
respectively. The MSCI EAFE Index is an unmanaged capitalization-weighted
index containing approximately 1,100 equity securities of companies located
outside the United States.++
MARKET ACTIVITY
Overall, 18 of the 20 EAFE markets posted gains for the six month period
ended June 30, 1997, but most of the advance of the MSCI EAFE Index took
place during the second quarter. In the first quarter, the MSCI EAFE Index
had a negative return, with the fall of currencies outweighing the rise in
equities. The Pacific Basin also fell more than Europe advanced. In the
second quarter, the MSCI EAFE Index gained in each month, as equities,
currencies, the Pacific Basin and Europe all had positive returns.
Switzerland was the best performing EAFE market for the semi-annual period.
-------------------------------------------------------
OBJECTIVE
Seeks to replicate as closely as possible the total
return of the Morgan Stanley Capital International
Europe Australia Far East (EAFE) Index.
-------------------------------------------------------
EUROPE
Regionally, Europe rose 14.26% during the semi-annual period, and almost all
of the European countries reached new stock market records, including the
United Kingdom, Belgium, Denmark, Finland, France, Germany, Holland, Ireland,
Italy, Norway, Spain, Switzerland and Sweden. Germany, for example, performed
well as a result of good corporate earnings news, record low bond yields, a
stronger U.S. dollar, and improving bank earnings. Switzerland rallied due to
declining interest rates and increased earnings optimism for financial
stocks. Investors in France drove stocks higher on positive earnings
expectations and on a perception that the new Socialist government's policies
will increase economic growth. More specifically, investors took comfort
from the new government's stated commitment to the European Monetary Union.
Interest rate cuts in France and Italy helped each of those markets.
--------------------------------------------------------
INVESTMENT INSTRUMENTS
Primarily equity securities of business enterprises
organized and domiciled outside of the United States.
Statistical methods will be employed to replicate the
Index by buying most of the relevant Index securities.
--------------------------------------------------------
In the United Kingdom, the Labor Party won national elections, ousting the
Conservatives and raising short-term interest rates. Investors viewed this
move as a commitment to keep inflation low. Finland advanced mostly on the
performance of Nokia, the global telecommunications company, which won an
order from China and saw its shares rise as a result. Spain rallied on a
lower-than-expected March inflation report and the subsequent cut in the key
lending rate by the Bank of Spain. Good bank and utility earnings reports
added to the bullish environment. Most other European markets rose as bond
markets rallied across the continent.
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TEN LARGEST STOCK HOLDINGS
- --------------------------------------------------------------------------------
Royal Dutch Petroleum Co. British Petroleum Co. PLC
Toyota Motor Corp. Roche Holding AG-Genusschine
Novartis AG Nippon Telegraph & Telephone
Bank of Tokyo-Mitsubishi Ltd. Lloyds TSB Group PLC.
Glaxo Wellcome PLC. HSBC Holdings PLC. ($HK10)
- --------------------------------------------------------------------------------
PACIFIC BASIN
The Pacific Basin overall was up 7.18% during the semi-annual period,
primarily based on stronger performance in the second quarter. In the first
quarter, Hong Kong was one of the worst performers. The market fell in
response to the decline in the U.S. market, as fear of rising interest rates
continued. Hong Kong and U.S. short-term interest rates are closely related
due to the linkage of the two currencies. Rumors about the death of China's
Premier Deng also initially dragged down the Hong Kong market in February,
but when official news of his passing appeared, the market rallied back
somewhat. Japan fared even worse, primarily due to investors' concerns about
the economy, lack of market support by government officials, and the
appreciation of the dollar versus the yen.
During the second quarter, Australia and New Zealand each set record stock
market levels. So, too, did Hong Kong, as investors were optimistic about
China's role in overseeing the nation. "Red chip" stocks, i.e. Chinese
companies with Hong Kong listings, soared. There was also optimism for
stronger earnings for real estate-related stocks and improved business
forecasts for Hong Kong Shanghai Banking Corporation and HK Telecom, two of
the nation's largest companies.
Like Hong Kong, Japan had a much more positive second quarter, as the yen
rebounded through May and June. Bank shares also performed well as investors
expected interest rates to remain low, thus easing the banks' continuing
write-offs of bad loans. Malaysia, on the other hand, did not have a strong
second quarter, as its stocks fell to
- ----------------
* The EAFE Index is the exclusive property of Morgan Stanley. Morgan Stanley
Capital International is a service mark of Morgan Stanley and has been
licensed for use by Bankers Trust Company.
** This index is unmanaged, and investments cannot be made in an index.
*** Lipper figures represent the average of the total returns reported by all
of the mutual funds designated by Lipper Analytical Services, Inc. as
falling into the respective categories indicated. These figures do not
reflect sales charges.
+ Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. Total return is
calculated from Fund inception date through the end of the period. The MSCI
EAFE Index is calculated from January 31, 1996 and June 30, 1996 for the
Institutional and Advisor Classes, respectively, through June 30, 1997.
++ Foreign investing involves special risks, including currency risk,
increased volatility of foreign securities, and differences in auditing and
other financial standards.
3
<PAGE>
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EAFE EQUITY INDEX FUND
LETTER TO SHAREHOLDERS
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DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY SECTOR AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Netherlands 5%
Switzerland 6%
France 7%
Germany 9%
United Kingdom 18%
Hong Kong 4%
Italy 3%
Other 17%
Japan 31%
nine-month lows in April. Investors were concerned about the economic effects
of its central bank's curbs on bank lending. There also was concern that
Malaysia could experience a real estate crisis similar to Thailand's.
MANAGER OUTLOOK
Our long-term outlook for Europe continues to be positive, and while we
remain cautious about Japan, there are signs that it is coming out of its
banking crisis and that the yen/dollar relationship is stabilizing. Hong Kong
is being watched closely by many now that the takeover by China has become
official, but most believe it will continue to perform well. What happens in
the world equity markets will also depend to some degree in the near future
on the direction of interest rates in the U.S. Should the Federal Reserve
Board remain on hold, many of the nations' markets should continue to produce
strong returns.
Of course, as an index fund, designed to replicate as closely as possible,
before expenses, 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.
We appreciate your ongoing support of the EAFE Equity Index Fund and look
forward to serving your investment needs for many years ahead.
/s/ Richard J. Vella
Richard J. Vella
Portfolio Manager of the
EAFE Equity Index Portfolio
June 30, 1997
PERFORMANCE COMPARISON
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COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE EAFE EQUITY
INDEX FUND - INSTITUTIONAL CLASS AND ADVISOR CLASS, WITH THE MSCI EAFE INDEX
SINCE JANUARY 31, 1996 AND JUNE 30, 1996, RESPECTIVELY.
- --------------------------------------------------------------------------------
TOTAL RETURN
ENDED JUNE 30, 1997
INSTITUTIONAL ADVISOR
Since 1/24/96* Since 6/21/96*
19.94% 13.29%
One Year One Year
13.47% 12.95%
* 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.
- --------------------------------------------------------------------------------
[CHART]
EAFE Equity Index Fund MSCI EAFE Index -
- Institutional Class - $11,745
$11,805
---------------------- -----------------
1/96 10000 10000
3/96 10217 10247
6/96 10404 10409
9/96 10384 10396
12/96 10553 10561
3/97 10374 10395
6/97 11805 11745
EAFE Equity Index Fund MSCI EAFE Index -
- Advisor Class - $11,284
$11,295
---------------------- -----------------
6/96 10000 10000
9/96 9970 9987
12/96 10126 10146
3/97 9947 9987
6/97 11295 11284
Past performance is not indicative of future performance. The MSCI EAFE Index
is unmanaged and investments may not be made in an index. The Fund is not
insured by the FDIC and is not a deposit, obligation of or guaranteed by
Bankers Trust Company. The Fund is subject to investment risks, including
possible loss of principal amount invested.
4
<PAGE>
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EAFE EQUITY INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investment in EAFE Equity Index Portfolio, at Value. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $38,472,331
Receivable for Shares of Beneficial Interest Subscribed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,300
Due from Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72,568
Deferred Organizational Expense. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,434
Prepaid Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,209
-----------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,566,842
-----------
LIABILITIES
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,785
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $38,536,057
-----------
-----------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $30,060,472
Undistributed Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 695,909
Undistributed Net Realized Gain from Investments, Futures and Forward Foreign Currency Transactions. . . . . . . 1,087,138
Net Unrealized Appreciation on Investments, Futures, Foreign Currencies and Forward Foreign Currency Contracts . 6,692,538
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $38,536,057
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding)
Institutional Class Shares+. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11.88
-----------
-----------
Advisor Class++. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11.31
-----------
-----------
</TABLE>
- ----------------
+ Net asset value, redemption price and offering price per share (based on
net assets of $36,676,435 and $3,086,939 shares of beneficial interest
outstanding).
++ Net asset value, redemption price and offering price per share (based on
net assets of $1,859,622 and $164,424 shares of beneficial interest
outstanding).
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income Allocated from EAFE Equity Index Portfolio, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 575,111
-----------
EXPENSES
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,574
Shareholder Reports. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,963
Registration Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,768
Professional Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,456
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,723
Amortization of Organizational Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 877
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,580
-----------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,941
Less: Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (65,239)
-----------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,702
-----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 560,409
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES, FOREIGN CURRENCIES AND FORWARD FOREIGN CURRENCY CONTRACTS
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,246,770
Net Realized Loss from Futures, Foreign Currencies and Forward Foreign Currency Transactions . . . . . . . . . . (28,690)
Net Change in Unrealized Appreciation on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,106,652
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES, FOREIGN CURRENCIES AND
FORWARD FOREIGN CURRENCY CONTRACTS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,324,732
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,885,141
-----------
-----------
</TABLE>
See Notes to Financial Statements on Pages 7 and 8
5
<PAGE>
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EAFE EQUITY INDEX FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 1997+ DECEMBER 31, 1996
------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 560,409 $ 448,207
Net Realized Gain (Loss) from Investments, Futures, Foreign Currencies and
Futures Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,218,080 (71,253)
Net Change in Unrealized Appreciation on Investments, Futures, Foreign Currencies
and Forward Foreign Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . . 5,106,652 1,585,886
------------ ------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . 6,885,141 1,962,840
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (312,707)
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . . . . . . -- (59,689)
------------ ------------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (372,396)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase (Decrease) Resulting from Institutional Class Shares (Note 3) . . . . . . (9,700,482) 38,089,199
Net Increase Resulting from Advisor Class Shares (Note 3). . . . . . . . . . . . . . . 966,852 704,893
------------ ------------
Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest . . . (8,733,630) 38,794,092
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . (1,848,489) 40,384,536
------------ ------------
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,384,546 10
------------ ------------
End of Period (includes undistributed net investment income of $695,909 and $0 for the
period ended June 30, 1997 and December 31, 1996, respectively) . . . . . . . . . . . . $ 38,536,057 $ 40,384,546
------------ ------------
------------ ------------
</TABLE>
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 periods
indicated for the EAFE Equity Index Fund.
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS SHARES ADVISOR CLASS SHARES
--------------------------------- -----------------------------------
FOR THE PERIOD FOR THE PERIOD
JANUARY 24, 1996 JUNE 21, 1996
FOR THE SIX (COMMENCEMENT FOR THE SIX (COMMENCEMENT
MONTHS ENDED OF OPERATIONS) TO MONTHS ENDED OF OPERATIONS) TO
JUNE 30, 1997+ DECEMBER 31, 1996 JUNE 30, 1997+ DECEMBER 31, 1996
-------------- ----------------- -------------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 10.62 $ 10.00 $ 10.14 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . 0.19 0.12 0.06 0.02
Net Realized and Unrealized Gain on Investments
and Foreign Currency Transactions . . . . . . . . . . . 1.07 0.60 1.11 0.12
------- ------- ------- -------
Total from Investment Operations . . . . . . . . . . . . . 1.26 0.72 1.17 0.14
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . -- (0.08) -- (0.00)++
Net Realized Gain from Investment Transactions . . . . . -- (0.02) -- (0.00)++
------- ------- ------- -------
TOTAL DISTRIBUTIONS. . . . . . . . . . . . . . . . . . . . -- (0.10) -- (0.00)++
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 11.88 $ 10.62 $ 11.31 $ 10.14
------- ------- ------- -------
------- ------- ------- -------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . 11.86% 7.22% 11.54% 1.57%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . . . . $36,676 $39,667 $ 1,860 $717
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . . 2.12%* 1.64%* 2.06%* 0.67%*
Expenses, including expenses of the
EAFE Equity Index Portfolio . . . . . . . . . . . . . 0.40%* 0.40%* 0.65%* 0.65%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . . . . 0.28%* 0.48%* 1.03%* 1.70%*
</TABLE>
-----------------
+ Unaudited
++ Less than $0.01
* Annualized
See Notes to Financial Statements on Pages 7 and 8
6
<PAGE>
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EAFE EQUITY INDEX FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Advisor Funds Trust (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") is offered to investors by its respective Trust.
The EAFE Equity Index 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 Fund commenced operations and began offering
shares of beneficial interest on January 24, 1996.
The Institutional and Advisor shares commenced operations and began offering
shares of beneficial interest on January 24, 1996 and June 21, 1996,
respectively.
The portfolio is an open-end management investment company registered under
the Act. The Fund seeks to achieve its investment objective by investing all
of its investable assets in the Portfolio. At June 30, 1997, the Fund's
proportionate interest in net assets was 99.99%.
The financial statements of the Portfolio, including the Schedule 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.
Net investment income is allocated daily to each class of shares based upon
the relative proportion of net assets.
C. ORGANIZATIONAL EXPENSES
Costs incurred by the Fund in connection with its organization and initial
registration is being amortized evenly over a five year period.
D. DIVIDENDS
It is the Fund's policy to declare and distribute dividends annually for EAFE
Equity Index to shareholders from net investment income and net realized
short-term and long-term capital gains, if any. Dividends payable to
shareholders are recorded by the Fund on the ex-dividend date.
E. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal
Revenue Code and distribute substantially all of its income to shareholders.
Therefore, no federal income tax provision is required. The Fund may
periodically make reclassifications among certain of its capital accounts as
a result of the timing and characterization of certain income and capital
gain distributions determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles.
F. OTHER
The Trust accounts separately for the assets, liabilities and operations of
the Fund and Classes. Expenses directly attributable to each Class are
charged to that Class, while expenses which are attributable to the Trust are
allocated among the Funds.
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 with
Bankers Trust Company ("Bankers Trust"). Under this Administration and
Services 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 0.15 of 1% and 0.30 of 1% of
average daily net assets for the Institutional Class and Advisor Class,
respectively. For the six months ended June 30, 1997, this fee aggregated
$38,808 and $1,766 for the Institutional Class and Advisor Class,
respectively.
Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of
the Act, Edgewood may seek reimbursement at an annual rate not exceeding 0.20
of 1% of the Fund's average daily net assets, for expenses incurred in
connection with any activities primarily intended to result in the sale of
the Fund's shares. For the six months ended June 30, 1997, there were no
reimbursable expenses incurred under this agreement.
The EAFE Equity Index Fund's two Classes of shares impose a shareholder
transaction fee paid when investors buy, sell or exchange shares of the Fund.
Institutional Class Shares deduct a transaction fee of 0.25% from purchases,
redemptions and exchanges into and out of the Fund. Advisor Class Shares
deduct a transaction fee of 0.50% from redemptions and exchanges 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
each Class of Shares, to the extent necessary, to limit all expenses as
follows: EAFE Equity Index Fund Institutional Class of 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; EAFE Equity Index Advisor Class of
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 six months ended June
30, 1997, expenses have been reduced by $59,488 and $5,751 for the
Institutional Class and Advisor Class, respectively.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood. 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 Funds.
7
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 3--SHARES OF BENEFICIAL INTEREST
At June 30, 1997, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS SHARES ADVISOR CLASS SHARES
------------------------------------------------------- ----------------------------------------------
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE SIX MONTHS FOR THE PERIOD ENDED
ENDED JUNE 30, 1997+ DECEMBER 31, 1996* ENDED JUNE 30, 1997+ DECEMBER 31, 1996*
------------------------------------------------------- -----------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- ------- ---------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 1,429,282 $14,634,217 3,700,377 $37,717,871 107,002 $1,099,421 73,338 $731,005
Reinvested -- -- 35,310 371,328 -- -- 94 936
Redeemed (2,078,030) (24,334,699) -- -- (13,304) (132,569) (2,706) (27,048)
---------- ----------- --------- ----------- ------- ---------- ------ --------
Increase (Decrease) (648,748) $(9,700,482) 3,735,687 $38,089,199 93,698 $ 966,852 70,726 $704,893
---------- ----------- --------- ----------- ------- ---------- ------ --------
---------- ----------- --------- ----------- ------- ---------- ------ --------
</TABLE>
- ----------------
+ Unaudited
* Commencement of operations for the EAFE Equity Index Institutional Class
and Advisor Class was January 24, 1996 and June 21, 1996, respectively.
8
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
COMMON STOCK - 97.64%
AUSTRALIA - 2.67%
4,000 Amcor Ltd. (Packaging & Container). . . . . . . . . $ 26,372
6,370 Boral Ltd. (Buildings Materials). . . . . . . . . . 19,901
1,300 Brambles Industries Ltd. (Transportation) . . . . . 25,509
11,753 Broken Hill Proprietary Co. Ltd. (Metals &
Mining) . . . . . . . . . . . . . . . . . . . . . . 171,555
3,295 Coca-Cola Amatil Ltd. (Beverages) . . . . . . . . . 42,460
6,653 Coles Myer Ltd. (Retail). . . . . . . . . . . . . . 34,343
1,900 CRA Ltd. (Metals & Mining). . . . . . . . . . . . . 32,142
7,900 CSR Ltd. (Building Materials) . . . . . . . . . . . 30,363
18,300 Foster's Brewing Group Ltd. (Brewery) . . . . . . . 33,727
9,700 General Property Trust (Real Estate). . . . . . . . 19,258
2,235 Gio Australia Holdings Ltd. (Insurance) . . . . . . 6,865
3,400 ICI Australia Ltd. (Chemicals). . . . . . . . . . . 33,242
1,439 Lend Lease Corp. Ltd. (Financial Services). . . . . 30,187
17,739 M.I.M. Holdings Ltd. (Metals & Mining). . . . . . . 26,049
8,877 National Australia Bank (Financial Services). . . . 126,163
1,545 Newcrest Mining Ltd. (Metals & Mining) (a). . . . . 4,235
11,852 News Corporation Ltd. (MultiMedia). . . . . . . . . 56,385
19,686 Normandy Mining Ltd. (Metals & Mining). . . . . . . 21,976
6,100 North Ltd. (Metals & Mining). . . . . . . . . . . . 23,079
10,600 Pacific Dunlop Ltd. (Holding Companies) . . . . . . 31,131
8,900 Pioneer International Ltd. (Building Materials) . . 34,139
2,800 Plutonic Resources Ltd. (Metals & Mining) . . . . . 8,685
6,613 Santos Ltd. (Oil/Gas) . . . . . . . . . . . . . . . 27,596
4,401 Southcorp Holdings Ltd. (Holding Co.) . . . . . . . 16,354
1,700 TABCORP Holdings Ltd. (Leisure Time). . . . . . . . 9,170
15,047 Westfield Trust (Real Estate) . . . . . . . . . . . 30,663
10,600 Westpac Banking Corp. Ltd. (Banks). . . . . . . . . 63,294
6,619 WMC Ltd. (Metals & Mining). . . . . . . . . . . . . 41,407
---------
1,026,250
---------
AUSTRIA - 0.36%
410 Bank Austria AG (Banks) . . . . . . . . . . . . . . 22,739
70 Boehler-Uddeholm AG (Steel) . . . . . . . . . . . . 5,429
270 Creditanstalt-Bankverein (Banks). . . . . . . . . . 15,767
60 EA-Generali AG (Insurance). . . . . . . . . . . . . 15,782
100 Flughafen Wien AG (Transportation). . . . . . . . . 4,225
260 Oesterreichisch Elektrizitaetswirtschafts
AG-A (Utilities) . . . . . . . . . . . . . . . . . 18,316
160 OMV AG (Oil/Gas). . . . . . . . . . . . . . . . . . 20,500
90 VA Technologie AG (Oil/Gas) . . . . . . . . . . . . 16,474
90 Wienerberger Baustoffindustrie AG
(Building Materials) . . . . . . . . . . . . . . . 18,490
---------
137,722
---------
BELGIUM - 1.08%
150 Cimenteries CBR Cementbedrijvin
(Building Materials) . . . . . . . . . . . . . . . 13,769
450 Delhaize-Le Lion, SA (Foods). . . . . . . . . . . . 23,658
300 Electrabel SA (Utilities) . . . . . . . . . . . . . 64,339
237 Fortis AG (Insurance) . . . . . . . . . . . . . . . 48,982
37 Fortis AG-Strip VVPR (Insurance). . . . . . . . . . 8
110 Generale de Banque SA (Banks) . . . . . . . . . . . 42,378
10 Generale de Banque SA-Strip VVPR
(Banks) (a). . . . . . . . . . . . . . . . . . . . 5
150 Groupe Bruxelles Lambert SA (Financial
Services) . . . . . . . . . . . . . . . . . . . . . 25,160
100 Kredietbank NV (Banks). . . . . . . . . . . . . . . 40,334
150 PetroFina SA (Oil/Gas). . . . . . . . . . . . . . . 56,850
100 Royale Belge (Insurance). . . . . . . . . . . . . . 29,068
50 Solvay SA (Chemicals) . . . . . . . . . . . . . . . 29,486
100 Tractebel (Utilities) . . . . . . . . . . . . . . . $ 41,725
---------
415,762
---------
DENMARK - 0.86%
200 Carlsberg AS (Brewery). . . . . . . . . . . . . . . 11,009
300 Carlsberg AS-B (Brewery). . . . . . . . . . . . . . 16,559
1 D/S Svendborg AS-B
(Transportation) . . . . . . . . . . . . . . . . . 51,729
464 Danisco AS (Food Processing). . . . . . . . . . . . 28,411
300 Den Danske Bank (Banks) . . . . . . . . . . . . . . 29,228
1 D/S 1912-B (Transportation) . . . . . . . . . . . . 35,818
500 FLS Industries AS-B (Building & Construction) . . . 16,967
445 Novo Nordisk AS-B (Pharmaceuticals) . . . . . . . . 48,589
48 Sophus Berendsen AS (Diversified) . . . . . . . . . 6,913
164 Sophus Berendsen AS-B (Commercial
Services). . . . . . . . . . . . . . . . . . . . . 23,744
777 Tele Danmark AS-B (Utilities) . . . . . . . . . . . 40,428
400 Unidanmark AS-A (Banks) . . . . . . . . . . . . . . 22,502
---------
331,897
---------
FINLAND - 0.69%
200 Cultor Oy (Food Processing) . . . . . . . . . . . . 10,589
1,100 Kemira Oy (Chemicals) . . . . . . . . . . . . . . . 10,377
900 Kesko (Retail). . . . . . . . . . . . . . . . . . . 12,683
4,900 Merita Ltd.-A (Banks) . . . . . . . . . . . . . . . 16,320
200 Metra Oy-A (Diversified). . . . . . . . . . . . . . 6,161
200 Metra Oy-B (Diversified). . . . . . . . . . . . . . 6,026
1,200 Nokia AB-A (Telecommunications Equipment) . . . . . 89,615
600 Nokia AB-K (Telecommunications Equipment) . . . . . 44,704
800 Outokumpu Oy-A (Metals & Mining). . . . . . . . . . 15,864
0+ Rauma Oy (Machinery). . . . . . . . . . . . . . . . 4
100 Sampo Insurance Co. Ltd.-A (Insurance). . . . . . . 9,722
100 Stockmann AB-A (Retail) . . . . . . . . . . . . . . 6,007
1,600 UPM-Kymmene Corp. (Forest Products) . . . . . . . . 36,965
---------
265,037
---------
FRANCE - 6.56%
202 Accor SA (Hotel/Motel). . . . . . . . . . . . . . . 30,278
963 Alcatel Alsthom (Telecommunications
Equipment) . . . . . . . . . . . . . . . . . . . . 120,724
870 AXA-UAP (Insurance) . . . . . . . . . . . . . . . . 54,162
1,222 Banque Nationale de Paris (Banks) . . . . . . . . . 50,412
200 Bouygues (Property & Development) . . . . . . . . . 16,471
152 Canal Plus (Broadcasting) . . . . . . . . . . . . . 29,618
225 Carrefour Supermarche SA (Retail) . . . . . . . . . 163,567
200 Compagnie Bancaire SA (Financial Services). . . . . 25,549
563 Compagnie de Saint Gobain (Building
Materials) . . . . . . . . . . . . . . . . . . . . 82,182
22,000 Compagnie de Suez SA (Financial
Services) (a). . . . . . . . . . . . . . . . . . . 54,148
709 Compagnie Financiere de Paribas-A
(Financial Services) . . . . . . . . . . . . . . . 49,030
750 Compagnie Generale des Eaux (Diversified) . . . . . 96,193
1,600 Elf Aquitaine SA (Energy) . . . . . . . . . . . . . 172,781
200 Eridania Beghin-Say SA (Agriculture). . . . . . . . 29,978
50 Essilor International (Optical) . . . . . . . . . . 13,499
600 Etablissements Economiques du Casino
Guichard-Perrachon (Foods) . . . . . . . . . . . . 29,729
408 Groupe Danone (Food Processing) . . . . . . . . . . 67,479
449 Havas SA (Advertising). . . . . . . . . . . . . . . 32,388
100 Imetal SA (Building & Construction) . . . . . . . . 13,269
567 Lafarge SA (Building Materials) . . . . . . . . . . 35,299
850 Lagardere SCA (Diversified) . . . . . . . . . . . . 24,714
440 L'Air Liquide (Chemicals) . . . . . . . . . . . . . 69,923
See Notes to Financial Statements on Pages 18 and 19
9
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
200 Legrand SA (Electronics). . . . . . . . . . . . . . $ 35,258
385 L'OREAL (Household Products). . . . . . . . . . . . 162,368
500 LVMH (Moet-Hennessy Louis Vuitton) (Wine
and Spirits) . . . . . . . . . . . . . . . . . . . 134,560
360 Lyonnaise des Eaux SA (Diversified) . . . . . . . . 36,300
810 Michelin-B (Tires & Rubber) . . . . . . . . . . . . 48,688
50 Pathe SA (Television) . . . . . . . . . . . . . . . 9,930
450 Pernod Ricard (Beverages) . . . . . . . . . . . . . 23,224
150 Pinault-Printemps-Redoute SA (Retail) . . . . . . . 72,151
150 Promodes (Retail) . . . . . . . . . . . . . . . . . 58,482
300 PSA Peugeot Citroen (Autos & Trucks). . . . . . . . 29,024
1,931 Rhone-Poulenc-A (Chemicals) . . . . . . . . . . . . 78,937
708 Sanofi SA (Pharmaceuticals) . . . . . . . . . . . . 69,461
908 Schneider SA (Electronics). . . . . . . . . . . . . 48,377
250 Sidel SA (Machinery). . . . . . . . . . . . . . . . 19,375
100 Simco SA (Real Estate). . . . . . . . . . . . . . . 7,937
150 Societe BIC SA (Manufacturing). . . . . . . . . . . 24,553
200 Societe Francaise d'Investissements
Immobiliers et de Gestion (Real Estate). . . . . . 12,775
591 Societe Generale (Banks). . . . . . . . . . . . . . 66,036
50 Sodexho Alliance SA (Foods) . . . . . . . . . . . . 25,626
950 Thomson CSF (Electronics) . . . . . . . . . . . . . 24,498
1,428 Total SA-B (Oil/Gas). . . . . . . . . . . . . . . . 144,478
2,656 Union des Assurances de Paris (UAP)
(Insurance). . . . . . . . . . . . . . . . . . . . 66,999
1,800 Usinor Sacilor (Steel). . . . . . . . . . . . . . . 32,499
500 Valeo SA (Auto Related) . . . . . . . . . . . . . . 31,085
---------
2,524,014
---------
GERMANY - 8.37%
365 Adidas AG (Consumer Goods). . . . . . . . . . . . . 40,425
1,355 Allianz AG (Insurance). . . . . . . . . . . . . . . 283,814
35 AMB Aachener & Muenchener Beteiligungs
AG (Insurance) . . . . . . . . . . . . . . . . . . 30,931
3,970 BASF AG (Chemicals) . . . . . . . . . . . . . . . . 146,830
4,295 Bayer AG (Chemicals). . . . . . . . . . . . . . . . 165,185
1,885 Bayerische Hypotheken-und Wechsel-Bank
A.G. (Banks) . . . . . . . . . . . . . . . . . . . 56,412
1,570 Bayerische Vereinsbank AG (Banks) . . . . . . . . . 64,238
400 Beiersdorf AG (Cosmetics & Toiletries). . . . . . . 20,659
550 Continental AG (Tires & Rubber) . . . . . . . . . . 13,666
3,195 Daimler-Benz AG (Autos & Trucks). . . . . . . . . . 259,436
760 Degussa AG (Metals & Mining). . . . . . . . . . . . 40,211
2,965 Deutsche Bank AG (Banks). . . . . . . . . . . . . . 173,381
2,875 Deutsche Lufthansa AG (Airlines). . . . . . . . . . 55,187
13,015 Deutsche Telekom (Telecommunications) . . . . . . . 313,686
2,770 Dresdner Bank AG (Banks). . . . . . . . . . . . . . 95,852
375 Heidelberger Zement AG (Building &
Construction). . . . . . . . . . . . . . . . . . . 35,507
500 Hochtief AG (Engineering & Construction). . . . . . 22,380
60 Karstadt AG (Retail). . . . . . . . . . . . . . . . 21,382
65 Linde AG (Machinery). . . . . . . . . . . . . . . . 49,796
55 MAN AG (Diversified). . . . . . . . . . . . . . . . 16,949
215 Mannesmann AG (Machinery) . . . . . . . . . . . . . 95,865
1,140 Merck KGAA (Pharmaceuticals). . . . . . . . . . . . 50,340
553 Metro AG (Retail) . . . . . . . . . . . . . . . . . 60,644
45 Muenchener Rueckversicherungs-
Gesellschaft AG (Insurance). . . . . . . . . . . . 126,277
120 Preussag AG (Steel) . . . . . . . . . . . . . . . . 35,154
1,635 RWE AG PN (Oil/Gas) . . . . . . . . . . . . . . . . 56,952
2,000 RWE AG (Oil/Gas). . . . . . . . . . . . . . . . . . 86,078
375 SAP AG (Software) . . . . . . . . . . . . . . . . . 75,318
310 SAP AG-Vorzug (Software). . . . . . . . . . . . . . 64,398
Shares Description Value
- ------ ----------- -----
505 Schering AG (Pharmaceuticals) . . . . . . . . . . . $ 54,004
3,335 Siemens AG (Electrical Equipment) . . . . . . . . . 198,175
190 Thyssen AG (Steel). . . . . . . . . . . . . . . . . 45,031
2,925 VEBA AG (Oil/Gas) . . . . . . . . . . . . . . . . . 164,496
120 Viag AG (Metals & Mining) (a) . . . . . . . . . . . 54,608
38 Viag AG-New 96 (Diversified). . . . . . . . . . . . 17,238
170 Volkswagen AG (Consumer Goods). . . . . . . . . . . 130,432
---------
3,220,937
HONG KONG - 3.74%
10,744 Bank of East Asia Ltd. (Banks). . . . . . . . . . . 44,794
22,000 Cathay Pacific Airways (Transportation) . . . . . . 45,577
14,000 Cheung Kong Holdings Ltd. (Real Estate) . . . . . . 138,242
14,500 China Light & Power Co. Ltd. (Utilities). . . . . . 82,164
17,000 Hang Lung Development Co. (Real Estate) . . . . . . 31,159
11,400 Hang Seng Bank Ltd. (Banks) . . . . . . . . . . . . 162,599
26,680 Hong Kong and China Gas Co. Ltd. (Utilities). . . . 53,379
69,200 Hong Kong Telecommunications Ltd.
(Telecommunications) . . . . . . . . . . . . . . . 165,245
13,000 Hong Kong & Shanghai Hotels Ltd.
(Hotel/Motel). . . . . . . . . . . . . . . . . . . 20,723
38,000 Hopewell Holdings Ltd. (Property &
Development) . . . . . . . . . . . . . . . . . . . 24,034
23,000 Hutchison Whampoa Ltd. (Diversified). . . . . . . . 198,908
11,000 Hysan Development Co. Ltd. (Real Estate). . . . . . 32,444
11,077 New World Development Co. Ltd. (Real
Estate). . . . . . . . . . . . . . . . . . . . . . 66,056
12,000 Shangri-La Asia Ltd. (Hotel\Motel). . . . . . . . . 14,405
21,000 Sino Land Co. (Real Estate) . . . . . . . . . . . . 22,769
14,000 Sun Hung Kai Properties Ltd. (Real Estate). . . . . 168,510
9,500 Swire Pacific Ltd.-A (Conglomerate) . . . . . . . . 85,530
5,000 Television Broadcasts Ltd. (Broadcasting) . . . . . 22,459
14,000 Wharf Holdings Ltd. (Diversified) . . . . . . . . . 60,718
---------
1,439,715
---------
IRELAND - 0.31%
4,047 Allied Irish Banks Plc. (Banks) . . . . . . . . . . 30,971
2,257 CRH Plc. (Building Materials) . . . . . . . . . . . 23,564
1,305 Greencore Group Plc. (Foods). . . . . . . . . . . . 6,399
1,239 Independent Newspapers Plc. (Publishing/
Printing). . . . . . . . . . . . . . . . . . . . . 7,290
2,984 Irish Life Plc. (Insurance) . . . . . . . . . . . . 15,307
7,342 Jefferson Smurfit Group Plc. (Packaging &
Container) . . . . . . . . . . . . . . . . . . . . 21,267
1,586 Kerry Group Plc. (Foods). . . . . . . . . . . . . . 15,314
---------
120,112
---------
ITALY - 3.00%
5,229 Assicurazioni Generali (Insurance) (a). . . . . . . 94,961
13,700 Banca Commerciale Italiana (Banks). . . . . . . . . 28,342
2,226 Benetton Group SPA (Textiles) . . . . . . . . . . . 35,513
13,313 Credito Italiano SPA (Financial Services) . . . . . 24,333
4,810 Edison SPA (Utilities). . . . . . . . . . . . . . . 23,902
47,431 ENI SPA (Oil/Gas) . . . . . . . . . . . . . . . . . 268,306
9,413 Fiat SPA PN (Auto and Trucks) . . . . . . . . . . . 17,371
19,804 Fiat SPA (Auto and Trucks). . . . . . . . . . . . . 71,232
6,520 Istituto Bancario San Paolo di Torino (Banks) . . . 47,477
3,558 Istituto Mobiliare Italiano SPA (Financial
Services). . . . . . . . . . . . . . . . . . . . . 31,994
24,686 Istituto Nazionale delle Assicurazioni
(Insurance). . . . . . . . . . . . . . . . . . . . 37,577
5,851 Italgas SPA (Utilities) . . . . . . . . . . . . . . 18,913
9,613 Mediaset SPA (Television) . . . . . . . . . . . . . 40,763
See Notes to Financial Statements on Pages 18 and 19
10
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
4,729 Mediobanca SPA (Financial Services) (a) . . . . . . $ 28,683
47,392 Montedison SPA (Chemicals). . . . . . . . . . . . . 31,251
19,672 Olivetti Group (Computers) (a). . . . . . . . . . . 5,567
9,197 Parmalat Finanziaria SPA (Financial Services) . . . 13,000
13,436 Pirelli SPA (Tires & Rubber). . . . . . . . . . . . 33,244
3,362 Riunione Adriatica di Sicurta SPA (Insurance) . . . 26,576
39,366 Telecom Italia Mobile SPA
(Telecommunications) . . . . . . . . . . . . . . . 127,248
15,203 Telecom Italia SPA (Telecommunications) . . . . . . 30,066
39,366 Telecom Italia SPA (Telecommunications) . . . . . . 117,762
---------
1,154,081
---------
JAPAN - 31.86%
1,000 Acom Company, Ltd. (Financial Services) . . . . . . 48,239
500 Advantest Corp. (Analytical Instruments &
Optical) . . . . . . . . . . . . . . . . . . . . . 38,451
4,000 Ajinomoto Co., Inc. (Food Processing) . . . . . . . 42,996
3,000 Amada Co., Ltd. (Machinery) . . . . . . . . . . . . 26,479
14,000 Asahi Bank Ltd. (Banks) . . . . . . . . . . . . . . 119,287
3,000 Asahi Breweries Ltd. (Brewery). . . . . . . . . . . 44,831
8,000 Asahi Chemical Industry Co. Ltd. (Textiles) . . . . 47,890
7,000 Asahi Glass Co. Ltd. (Building Materials) . . . . . 69,737
28,000 Bank of Tokyo-Mitsubishi Ltd. (Banks) . . . . . . . 562,789
14,000 Bank of Yokohama Ltd. (Banks) . . . . . . . . . . . 78,913
5,000 Bridgestone Corp. (Tires & Rubber). . . . . . . . . 116,228
5,000 Canon, Inc. (Capital Equipment) . . . . . . . . . . 136,328
3,000 Casio Computer Co. Ltd. (Electronics) . . . . . . . 26,138
5,000 Chiba Bank Ltd. (Banks) . . . . . . . . . . . . . . 29,800
8,000 Chichibu Onoda Cement Corp. (Building &
Construction). . . . . . . . . . . . . . . . . . . 31,390
4,000 Citizen Watch Co. Ltd. (Jewelry). . . . . . . . . . 30,901
7,000 Cosmo Oil Co. Ltd. (Oil/Gas). . . . . . . . . . . . 33,523
800 Credit Saison Co. Ltd. (Retail) . . . . . . . . . . 19,575
4,000 Dai Nippon Printing Co. Ltd. (Publishing/
Printing). . . . . . . . . . . . . . . . . . . . . 90,536
4,000 Daiei Inc. (Retail) . . . . . . . . . . . . . . . . 25,693
2,000 Daiichi Pharmaceutical (Pharmaceuticals). . . . . . 35,305
5,000 Daikin Industries Ltd. (Building Materials) . . . . 45,443
9,000 Dainippon Ink & Chemicals, Inc. (Chemicals) . . . . 38,853
3,000 Daiwa House Industry Co. Ltd. (Industrial). . . . . 36,704
8,000 Daiwa Securities Co. Ltd. (Financial Services). . . 63,200
5,000 Denso Corp. (Electrical Equipment). . . . . . . . . 119,724
24 East Japan Railway Co. (Transportation) . . . . . . 123,324
2,000 Ebara Corp. (Machinery) . . . . . . . . . . . . . . 30,062
2,000 Eisai Co. Ltd. (Pharmaceuticals). . . . . . . . . . 37,927
1,400 Fanuc (Electronics) . . . . . . . . . . . . . . . . 53,832
17,000 Fuji Bank Ltd. (Banks). . . . . . . . . . . . . . . 255,527
3,000 Fuji Photo Film Co. (Chemicals) . . . . . . . . . . 120,860
5,000 Fujikura Ltd. (Electrical Equipment). . . . . . . . 46,753
1,000 Fujita Kanko, Inc. (Hotel/Motel). . . . . . . . . . 12,584
11,000 Fujitsu Ltd. (Computers). . . . . . . . . . . . . . 152,845
9,000 Furukawa Electric Co. Ltd. (Metals & Mining). . . . 57,336
3,000 Gunma Bank (Banks). . . . . . . . . . . . . . . . . 27,003
5,000 Hankyu Corp. (Railroads). . . . . . . . . . . . . . 27,659
20,000 Hitachi Ltd. (Capital Equipment). . . . . . . . . . 223,718
6,000 Hitachi Zosen Corp. (Steel) . . . . . . . . . . . . 23,910
6,000 Honda Motor Co. Ltd. (Autos & Trucks) . . . . . . . 180,897
1,000 House Foods Industry (Foods). . . . . . . . . . . . 17,740
1,000 Hoya Corp. (Glass Products) . . . . . . . . . . . . 44,569
2,000 INAX (Building & Construction). . . . . . . . . . . 14,996
15,000 Industrial Bank of Japan (Banks). . . . . . . . . . 233,330
8,000 Itochu Corp. (Distribution/Wholesale) . . . . . . . 43,136
2,000 Ito-Yokado Co. Ltd. (Retail). . . . . . . . . . . . 116,228
Shares Description Value
- ------ ----------- -----
10,000 Japan Airlines (Transportation) (a) . . . . . . . . $ 45,530
18,000 Japan Energy Corp. (Oil/Gas). . . . . . . . . . . . 47,190
4,000 Joyo Bank (Banks) . . . . . . . . . . . . . . . . . 22,127
2,000 JUSCO Co. (Retail). . . . . . . . . . . . . . . . . 67,640
6,000 Kajima Corp. (Engineering & Construction) . . . . . 35,183
2,000 Kandenko Co., Ltd. (Engineering &
Construction). . . . . . . . . . . . . . . . . . . 18,876
5,800 Kansai Electric Power Co., Inc. (Utilities) . . . . 112,016
3,000 Kao Corp. (Household Products). . . . . . . . . . . 41,685
8,000 Kawasaki Heavy Industries Ltd. (Engineering
& Construction). . . . . . . . . . . . . . . . . . 37,263
19,000 Kawasaki Steel Corp. (Steel). . . . . . . . . . . . 61,933
4,000 Kinden Corp. (Engineering & Construction) . . . . . 56,629
10,000 Kinki Nippon Railway (Transportation) . . . . . . . 61,173
6,000 Kirin Brewery Co. Ltd. (Brewery). . . . . . . . . . 62,396
2,000 Kokuyo (Office Equipment & Computers) . . . . . . . 54,182
6,000 Komatsu Ltd. (Machinery). . . . . . . . . . . . . . 48,763
8,000 Kubota Corp. (Machinery). . . . . . . . . . . . . . 39,220
11,000 Kumagai Gumi Co., Ltd. (Engineering &
Construction). . . . . . . . . . . . . . . . . . . 18,361
4,000 Kuraray Co. Ltd. (Textiles) . . . . . . . . . . . . 39,850
2,000 Kurita Water Industries (Capital Equipment) . . . . 53,308
1,000 Kyocera Corp. (Capital Equipment) . . . . . . . . . 79,525
3,000 Kyowa Hakko Kogyo (Chemicals) . . . . . . . . . . . 22,494
11,000 Marubeni Corp. (Distribution/Wholesale) . . . . . . 49,987
2,000 Marui Co. Ltd. (Retail) . . . . . . . . . . . . . . 37,228
12,000 Matsushita Electric Industrial Co. Ltd.
(Electronics). . . . . . . . . . . . . . . . . . . 242,244
5,000 Meiji Seika (Pharmaceuticals) . . . . . . . . . . . 27,528
5,000 Minebea Co. Ltd. (Electronics). . . . . . . . . . . 53,308
13,000 Mitsubishi Chemical Corp. (Chemicals) . . . . . . . 42,489
9,000 Mitsubishi Corp. (Distribution/Wholesale) . . . . . 112,471
13,000 Mitsubishi Electric Corp. (Capital Equipment) . . . 72,822
8,000 Mitsubishi Estate Co. Ltd. (Financial Services) . . 116,053
20,000 Mitsubishi Heavy Industries Ltd. (Aerospace). . . . 153,631
7,000 Mitsubishi Materials Corp. (Metals & Mining). . . . 28,017
8,000 Mitsubishi Trust & Banking Corp. (Banks). . . . . . 126,540
5,000 Mitsui Fudosan Co. Ltd. (Real Estate) . . . . . . . 69,038
7,000 Mitsui Marine & Fire Insurance Co. Ltd.
(Insurance). . . . . . . . . . . . . . . . . . . . 50,651
6,000 Mitsui O.S.K. Lines Ltd. (Transportation) (a) . . . 12,374
10,000 Mitsui Toatsu Chemicals Inc. (Chemicals). . . . . . 27,528
7,000 Mitsui Trust & Banking Co. Ltd. (Banks) . . . . . . 52,914
9,000 Mitsui & Co. (Distribution/Wholesale) . . . . . . . 86,516
8,000 Mitsukoshi Ltd. (Retail). . . . . . . . . . . . . . 56,978
1,000 Murata Manufacturing Co., Ltd. (Electrical
Equipment) . . . . . . . . . . . . . . . . . . . . 39,850
2,000 Mycal Corp. (Foods) . . . . . . . . . . . . . . . . 28,839
9,000 NEC Corp. (Electronics) . . . . . . . . . . . . . . 125,841
8,000 Nichirei Corp. (Foods). . . . . . . . . . . . . . . 39,920
5,000 Nikon Corp. (Manufacturing) . . . . . . . . . . . . 84,331
6,000 Nippon Express Co. Ltd. (Trucking & Leasing). . . . 47,977
2,000 Nippon Meat Packers, Inc. (Food Processing) . . . . 25,867
7,000 Nippon Oil Co. Ltd. (Oil/Gas) . . . . . . . . . . . 38,355
6,000 Nippon Paper Industries Co. (Forest Products) . . . 34,764
41,000 Nippon Steel Corp. (Steel). . . . . . . . . . . . . 131,137
350 Nippon Telegraph & Telephone
(Telecommunications) . . . . . . . . . . . . . . . 333,392
12,000 Nippon Yusen Kabushiki Kaisha
(Transportation) . . . . . . . . . . . . . . . . . 46,666
4,000 Nishimatsu Construction (Engineering &
Construction). . . . . . . . . . . . . . . . . . . 27,965
15,000 Nissan Motor Co. Ltd. (Autos & Trucks). . . . . . . 116,534
See Notes to Financial Statements on Pages 18 and 19
11
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
2,000 Nisshinbo Industries, Inc. (Textiles) . . . . . . . $ 18,177
2,000 Nissin Food Products Co. Ltd. (Food
Processing). . . . . . . . . . . . . . . . . . . . 52,084
21,000 NKK Corp. (Steel) . . . . . . . . . . . . . . . . . 45,146
12,000 Nomura Securities Co. Ltd. (Financial
Services). . . . . . . . . . . . . . . . . . . . . 165,691
6,000 NSK Ltd. (Machinery). . . . . . . . . . . . . . . . 38,644
4,000 NTN Corp. (Metals & Mining) . . . . . . . . . . . . 22,407
10,000 Obayashi Corp. (Capital Equipment). . . . . . . . . 67,028
7,000 Odakyu Electric Railway (Transportation). . . . . . 41,597
12,000 Oji Paper Co. Ltd. (Forest Products). . . . . . . . 74,351
2,000 Olympus Optical Co. Ltd. (Medical Supplies) . . . . 18,002
1,000 Omron Corp. (Electronics) . . . . . . . . . . . . . 21,236
2,000 Onward Kashiyama Co. Ltd. (Textiles). . . . . . . . 33,208
15,000 Osaka Gas Co. Ltd. (Utilities). . . . . . . . . . . 43,127
1,000 Pioneer Electronic Corp.
(Telecommunications) . . . . . . . . . . . . . . . 24,294
1,000 Rohm Co. (Electronics). . . . . . . . . . . . . . . 103,120
20,000 Sakura Bank Ltd. (Banks). . . . . . . . . . . . . . 153,456
3,000 Sankyo Co. Ltd. (Pharmaceuticals) . . . . . . . . . 100,935
11,000 Sanyo Electric Co. Ltd. (Electronics) . . . . . . . 49,410
4,000 Sapporo Breweries Ltd. (Brewery). . . . . . . . . . 33,278
1,000 Secom (Electronics) . . . . . . . . . . . . . . . . 73,495
1,800 Sega Enterprises (Toys) . . . . . . . . . . . . . . 59,775
3,000 Sekisui Chemical Co. Ltd. (Chemicals) . . . . . . . 30,412
4,000 Sekisui House Ltd. (Manufactured Housing) . . . . . 40,549
7,000 Sharp Corp. (Electronics) . . . . . . . . . . . . . 96,653
5,000 Shimizu Corp. (Engineering & Construction). . . . . 30,018
2,000 Shin-Etsu Chemical Co. Ltd. (Chemicals) . . . . . . 53,133
4,000 Shiseido Co. Ltd. (Household Products). . . . . . . 66,067
5,000 Shizuoka Bank (Banks) . . . . . . . . . . . . . . . 57,240
12,000 Showa Denko K.K. (Chemicals). . . . . . . . . . . . 31,460
3,000 Snow Brand Milk Products (Foods). . . . . . . . . . 15,468
2,300 Sony Corp. (Electronics). . . . . . . . . . . . . . 200,795
19,000 Sumitomo Bank Ltd. (Banks). . . . . . . . . . . . . 312,156
10,000 Sumitomo Chemical Co. (Chemicals) . . . . . . . . . 45,355
6,000 Sumitomo Corp. (Distribution/Wholesale) . . . . . . 57,153
4,000 Sumitomo Electric Industries (Electrical
Equipment) . . . . . . . . . . . . . . . . . . . . 67,115
2,000 Sumitomo Forestry Co. Ltd. (Forest Products). . . . 22,022
10,000 Sumitomo Marine & Fire (Insurance). . . . . . . . . 82,146
19,000 Sumitomo Metal Industries (Steel) . . . . . . . . . 54,129
7,000 Sumitomo Metal Mining Co. (Metals & Mining) . . . . 49,550
6,000 Taisei Corp. (Engineering & Construction) . . . . . 27,842
2,000 Taisho Pharmaceutical Co. (Pharmaceuticals) . . . . 54,007
2,000 Takashimaya Co. Ltd. (Retail) . . . . . . . . . . . 27,266
5,000 Takeda Chemical Industries (Pharmaceuticals). . . . 140,697
16,000 Teijin Ltd. (Textiles). . . . . . . . . . . . . . . 75,505
7,000 Tobu Railway Co. Ltd. (Transportation). . . . . . . 32,360
300 Toho Co. (Entertainment). . . . . . . . . . . . . . 49,550
3,000 Tohoku Electric Power (Utilities) . . . . . . . . . 53,482
12,000 Tokai Bank (Banks). . . . . . . . . . . . . . . . . 123,744
9,000 Tokio Marine & Fire Insurance Co. (Insurance) . . . 117,976
1,000 Tokyo Broadcasting System (Broadcasting). . . . . . 20,537
2,000 Tokyo Dome Corp. (Entertainment). . . . . . . . . . 26,916
8,000 Tokyo Electric Power Co. (Utilities). . . . . . . . 168,487
900 Tokyo Electron Ltd. (Electronics) . . . . . . . . . 43,101
14,000 Tokyo Gas Co. Ltd. (Utilities). . . . . . . . . . . 38,906
6,000 Tokyu Corp. (Transportation). . . . . . . . . . . . 37,280
4,000 Toppan Printing Co. Ltd. (Publishing/Printing). . . 62,921
8,000 Toray Industries, Inc. (Chemicals). . . . . . . . . 57,118
1,000 Tostem Corp. (Building Materials) . . . . . . . . . 27,703
5,000 Toto Ltd. (Industrial). . . . . . . . . . . . . . . 61,610
Shares Description Value
- ------ ----------- -----
1,000 Toyo Seikan Kaisha (Packaging & Container). . . . . $ 22,197
8,000 Toyobo Ltd. (Textiles). . . . . . . . . . . . . . . 21,183
2,000 Toyoda Automatic Loom Works (Machinery) . . . . . . 45,443
22,000 Toyota Motor Corp. (Consumer Goods) . . . . . . . . 649,830
11,000 Ube Industries Ltd. (Chemicals) . . . . . . . . . . 32,011
2,000 Uny Co. Ltd. (Retail) . . . . . . . . . . . . . . . 39,150
3,000 Wacoal Corp. (Textiles) . . . . . . . . . . . . . . 37,228
2,000 Yamaha Corp. (Diversified). . . . . . . . . . . . . 36,703
14,000 Yamaichi Securities Co. Ltd. (Financial
Services). . . . . . . . . . . . . . . . . . . . . 41,719
2,000 Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals). . . . . . . . . . . . . . . . . 53,832
5,000 Yamato Transport Co. Ltd. (Trucking &
Leasing) . . . . . . . . . . . . . . . . . . . . . 62,483
2,000 Yamazaki Baking Co. Ltd. (Food Processing). . . . . 35,305
4,000 Yasuda Trust & Banking (Banks). . . . . . . . . . . 15,310
----------
12,257,572
----------
MALAYSIA - 2.04%
2,000 AMMB Holdings BHD (Banks) (a) . . . . . . . . . . . 12,441
3,000 Commerce Asset Holdings BHD (Banks) . . . . . . . . 7,904
5,000 DCB Holdings BHD (Banks). . . . . . . . . . . . . . 15,848
1,000 Edaran Otomobil Nasional BHD (Consumer
Goods) . . . . . . . . . . . . . . . . . . . . . . 8,518
3,750 Ekran BHD (Holding Companies) . . . . . . . . . . . 7,340
13,000 Golden Hope Plantations BHD (Agriculture) . . . . . 22,353
8,000 Hong Leong Properties BHD (Real Estate) . . . . . . 9,097
3,000 Hume Industries (Malaysia) BHD (Building
Materials) . . . . . . . . . . . . . . . . . . . . 13,788
23,000 IOI Corp. BHD (Diversified) (a) . . . . . . . . . . 26,244
3,000 Jaya Tiasa Holdings BHD (Materials) . . . . . . . . 15,095
4,000 Kuala Lumpur Kepong BHD (Agriculture) . . . . . . . 9,905
3,000 Land & General BHD (Holding Companies). . . . . . . 3,447
23,000 Magnum Corp. BHD (Entertainment). . . . . . . . . . 34,628
6,800 Malayan Banking BHD (Banks) . . . . . . . . . . . . 71,395
6,000 Malaysia International Shipping BHD
(Transportation) . . . . . . . . . . . . . . . . . 15,571
10,000 Malaysian Airline System BHD
(Transportation) . . . . . . . . . . . . . . . . . 24,960
6,000 Malaysian Resources Corp. BHD (Real
Estate). . . . . . . . . . . . . . . . . . . . . . 16,521
7,000 MBF Capital BHD (Financial Services). . . . . . . . 12,868
13,000 Multi-Purpose Holdings BHD (Diversified). . . . . . 18,233
3,000 Nestle (Malaysia) BHD (Food Processing) . . . . . . 22,464
2,000 Oriental Holdings BHD (Autos & Trucks). . . . . . . 15,055
3,000 Perusahaan Otomobil Nasional BHD (Autos
& Trucks). . . . . . . . . . . . . . . . . . . . . 14,025
13,333 Public Bank BHD (Banks) . . . . . . . . . . . . . . 20,813
4,000 Rashid Hussain BHD (Financial Services) (a) . . . . 25,357
6,000 Resorts World BHD (Entertainment) . . . . . . . . . 18,067
2,000 Rothmans of Pall Mall (Malaysia) BHD
(Tobacco). . . . . . . . . . . . . . . . . . . . . 19,651
14,000 Sime Darby BHD (Holding Companies). . . . . . . . . 46,593
10,000 Technology Resources Industries BHD
(Telecommunications) (a) . . . . . . . . . . . . . 17,195
17,500 Telekom Malaysia BHD (Telecommunications) . . . . . 81,815
18,000 Tenaga Nasional BHD (Utilities) . . . . . . . . . . 87,718
6,000 Time Engineering BHD (Diversified). . . . . . . . . 9,081
3,000 UMW Holdings BHD (Autos & Trucks) . . . . . . . . . 14,144
5,000 United Engineers Ltd. (Engineering &
Construction). . . . . . . . . . . . . . . . . . . 36,053
3,500 YTL Corp. BHD (Engineering & Construction). . . . . 10,816
---------
785,003
---------
See Notes to Financial Statements on Pages 18 and 19
12
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
NETHERLANDS - 4.94%
8,144 ABN Amro Holding NV (Banks) . . . . . . . . . . . . $ 152,131
507 Akzo Nobel (Chemicals). . . . . . . . . . . . . . . 69,608
3,948 Elsevier NV (Publishing/Printing) . . . . . . . . . 66,092
361 Heineken NV (Brewery) . . . . . . . . . . . . . . . 61,724
4,890 ING Groep NV (Financial Services) . . . . . . . . . 225,869
760 KLM Royal Dutch Air Lines NV (Transportation) . . . 23,468
1,001 Koninklijke Ahold NV (Retail) . . . . . . . . . . . 84,605
76 Oce-Van Der Grinten NV (Office Equipment
& Computers) . . . . . . . . . . . . . . . . . . . 9,821
2,097 Philips Electronics NV (Electronics). . . . . . . . 150,481
12,716 Royal Dutch Petroleum Co. (Oil/Gas) . . . . . . . . 662,636
3,055 Royal PTT Nederland NV (Commercial
Services). . . . . . . . . . . . . . . . . . . . . 120,061
1,004 Unilever NV-CVA (Food Processing) . . . . . . . . . 211,735
494 Wolters Kluwer NV-CVA (Publishing/Printing) . . . . 60,259
---------
1,898,490
---------
NEW ZEALAND - 0.36%
20,319 Brierley Investments Ltd. (Investment
Companies). . . . . . . . . . . . . . . . . . . . . 19,832
10,803 Carter Holt Harvey Ltd. (Forest Products) . . . . . 27,898
1,952 Fletcher Challenge Building (Building
Materials). . . . . . . . . . . . . . . . . . . . . 5,861
1,916 Fletcher Challenge Energy (Oil/Gas) . . . . . . . . 5,779
308 Fletcher Challenge Forests (Forestry) . . . . . . . 0
3,832 Fletcher Challenge Paper (Forest Products). . . . . 9,272
5,349 Lion Nathan Ltd. (Brewery). . . . . . . . . . . . . 13,524
10,818 Telecom Corp. of New Zealand Ltd.
(Telecommunications) . . . . . . . . . . . . . . . 54,993
---------
137,159
---------
NORWAY - 0.52%
900 Aker RGI ASA-A (Oil Equipment & Services) . . . . . 17,703
180 Aker RGI ASA-B (Oil Equipment & Services) . . . . . 3,172
500 Bergesen d.y. ASA-A (Transportation). . . . . . . . 11,850
3,250 Christiania Bank Og Kreditkasse (Financial
Services) . . . . . . . . . . . . . . . . . . . . . 11,054
600 Hafslund ASA-A (Utilities). . . . . . . . . . . . . 3,606
200 Kvaerner ASA (Engineering). . . . . . . . . . . . . 12,116
1,350 Norsk Hydro ASA (Energy). . . . . . . . . . . . . . 73,578
400 Norske Skogindustrier ASA-A (Paper) . . . . . . . . 13,878
600 Nycomed ASA-A (Medical Supplies). . . . . . . . . . 8,851
250 Orkla ASA-A (Manufacturing) . . . . . . . . . . . . 18,441
350 Petroleum Geo-Services ASA (Oil/Gas) (a). . . . . . 16,877
1,650 Storebrand ASA (Insurance) (a). . . . . . . . . . . 9,849
---------
200,975
---------
SINGAPORE - 1.08%
5,000 City Developments Ltd. (Real Estate). . . . . . . . 48,958
2,000 Cycle & Carriage Ltd. (Retail). . . . . . . . . . . 20,702
7,000 DBS Land Ltd. (Real Estate) . . . . . . . . . . . . 22,129
2,000 Development Bank of Singapore Ltd. (Banks). . . . . 25,178
3,000 Fraser & Neave Ltd. (Beverages) . . . . . . . . . . 21,402
4,750 Keppel Corp. Ltd. (Transportation). . . . . . . . . 21,095
3,702 Oversea-Chinese Banking Corp. Ltd. (Banks). . . . . 38,315
4,000 Parkway Holdings Ltd. (Diversified) . . . . . . . . 17,904
5,000 Singapore Airlines Ltd. (Transportation). . . . . . 44,762
1,000 Singapore Press Holdings Ltd. (Publishing/
Printing). . . . . . . . . . . . . . . . . . . . . 20,143
7,000 Singapore Technologies Industrial Corp.
(Holding Companies). . . . . . . . . . . . . . . . 18,017
36,000 Singapore Telecommunications, Ltd.
(Utilities) (a). . . . . . . . . . . . . . . . . . 66,471
Shares Description Value
- ------ ----------- -----
12,000 United Industrial Corp. Ltd. (Diversified). . . . . $ 9,064
4,000 United Overseas Bank Ltd. (Banks) . . . . . . . . . 41,125
---------
415,265
SPAIN - 2.37%
98 Acerinox SA (Steel) . . . . . . . . . . . . . . . . 18,398
2,442 Autopistas Concesionaria Espanola SA
(Engineering & Construction) . . . . . . . . . . . 33,209
1,333 Banco Bilbao Vizcaya SA (Banks) . . . . . . . . . . 108,493
1,066 Banco Central Hispanoamericano SA (Banks) . . . . . 39,068
2,841 Banco Santander SA (Banks). . . . . . . . . . . . . 87,701
988 Corporacion Bancaria de Espana SA (Banks) . . . . . 55,423
430 Corporacion Mapfre (Insurance). . . . . . . . . . . 22,922
1,542 Empresa Nacional de Electridad SA (Utilities) . . . 129,697
268 Gas Natural SDG SA (Utilities). . . . . . . . . . . 58,659
5,399 Iberdrola SA (Utilities). . . . . . . . . . . . . . 68,281
1,779 Repsol SA (Oil/Gas) . . . . . . . . . . . . . . . . 75,360
470 Sociedade General de Aguas de Barcelona
SA (Diversified) . . . . . . . . . . . . . . . . . 19,270
297 Tabacalera SA (Tobacco) . . . . . . . . . . . . . . 15,974
5,571 Telefonica de Espana (Telecommunications) . . . . . 161,368
2,023 Union Electrica Fenosa SA (Utilities) . . . . . . . 18,432
---------
912,255
---------
SWEDEN - 2.45%
4,000 ABB AB-A (Machinery). . . . . . . . . . . . . . . . 56,127
1,000 ABB AB-B (Machinery). . . . . . . . . . . . . . . . 13,967
800 AGA AB-A (Chemicals). . . . . . . . . . . . . . . . 10,863
7,967 Astra AB-A (Pharmaceuticals). . . . . . . . . . . . 148,360
2,967 Astra AB-B (Pharmaceuticals). . . . . . . . . . . . 52,753
1,400 Atlas Copco AB-A (Machinery). . . . . . . . . . . . 36,573
700 Electrolux AB-Ser. B (Furniture). . . . . . . . . . 50,515
400 Granges AB (Metal) (a). . . . . . . . . . . . . . . 5,380
1,200 Hennes & Mauritz AB-B (Retail). . . . . . . . . . . 42,988
300 Securitas AB-B (Commercial Services). . . . . . . . 8,458
800 Skandia Forsakrings AB (Insurance). . . . . . . . . 29,486
3,500 Skandinaviska Enskilda Banken-A (Banks) . . . . . . 37,796
700 Skanska AB-B (Engineering). . . . . . . . . . . . . 30,961
1,500 Stora Kopparbergs Bergslags Aktiebolag-A
(Forest Products). . . . . . . . . . . . . . . . . 24,249
1,700 Svenska Cellulosa AB-B (Forest Products). . . . . . 36,166
1,900 Svenska Handelsbanken-A (Banks) . . . . . . . . . . 60,816
1,900 Swedish Match AB (Tobacco). . . . . . . . . . . . . 6,389
5,700 Telefonaktiebolaget LM Ericsson-B
(Telecommunications) . . . . . . . . . . . . . . . 224,465
600 Volvo AB-A (Autos & Trucks) . . . . . . . . . . . . 16,140
1,900 Volvo AB-B (Autos & Trucks) . . . . . . . . . . . . 50,863
---------
943,315
---------
SWITZERLAND - 6.31%
45 ABB AG-Bearer (Machinery) . . . . . . . . . . . . . 68,215
100 Adecco SA (Commercial Services) . . . . . . . . . . 38,411
25 Alusuisse-Lonza Holding AG (Holding
Companies). . . . . . . . . . . . . . . . . . . . . 25,928
1,100 Credit Suisse Group (Banks) . . . . . . . . . . . . 141,471
40 Holderbank Financiere Glarus AG-B
(Building Materials) . . . . . . . . . . . . . . . 37,835
230 Nestle SA (Foods) . . . . . . . . . . . . . . . . . 303,848
398 Novartis AG (Medical) . . . . . . . . . . . . . . . 637,171
15 Novartis AG-Bearer (Medical). . . . . . . . . . . . 23,993
9 Roche Holding AG-Bearer (Pharmaceuticals) . . . . . 123,774
42 Roche Holding AG-Genusschine
(Pharmaceuticals). . . . . . . . . . . . . . . . . 380,417
See Notes to Financial Statements on Pages 18 and 19
13
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
20 Sairgroup (Transportation) (a). . . . . . . . . . . $ 22,443
10 Schindler Holding AG (Machinery). . . . . . . . . . 12,861
90 Schweizerische Rueckversicherungs-
Gesellschaft (Insurance) . . . . . . . . . . . . . 127,478
450 Schweizerischer Bankverein (Banks). . . . . . . . . 120,533
15 SGS Societe Generale de Surveillance
Holding SA (Commercial Services) . . . . . . . . . 32,101
100 Societe Suisse pour la Microelectronique et
l'Horlogerie AG (Jewelry). . . . . . . . . . . . . 13,564
25 Societe Suisse pour la Microelectronique et
l'Horlogerie AG-Bearer (Jewelry) . . . . . . . . . 14,301
25 Sulzer AG (Manufacturing) . . . . . . . . . . . . . 21,435
150 UBS (Banks) . . . . . . . . . . . . . . . . . . . . 34,365
120 UBS-Bearer (Banks). . . . . . . . . . . . . . . . . 137,458
275 Zurich Versicherungsgesellschaft (Insurance). . . . 109,593
---------
2,427,195
---------
UNITED KINGDOM - 18.07%
8,344 Abbey National Plc. (Banks) . . . . . . . . . . . . 113,873
2,891 Anglian Water Plc. (Utilities). . . . . . . . . . . 31,347
3,286 Arjo Wiggins Appleton Plc. (Paper). . . . . . . . . 9,625
6,034 Associated British Foods Plc. (Food
Processing). . . . . . . . . . . . . . . . . . . . 52,070
8,970 Barclays Plc. (Banks) . . . . . . . . . . . . . . . 177,951
5,245 Bass Plc. (Brewery) . . . . . . . . . . . . . . . . 63,985
6,199 BBA Group Plc. (Auto Related) . . . . . . . . . . . 36,625
26,120 BG Plc. (Oil/Gas) . . . . . . . . . . . . . . . . . 96,072
2,793 BICC Group Plc. (Wire & Cable). . . . . . . . . . . 8,204
4,385 Blue Circle Industries Plc. (Building Materials). . 31,235
2,869 BOC Group Plc. (Chemicals). . . . . . . . . . . . . 49,897
5,359 Boots Co. Plc. (Retail) . . . . . . . . . . . . . . 62,745
5,493 BPB Plc. (Paper). . . . . . . . . . . . . . . . . . 29,666
2,553 British Aerospace Plc. (Aerospace). . . . . . . . . 56,787
5,945 British Airways Plc. (Transportation) . . . . . . . 67,726
3,600 British Land Co. Plc. (Real Estate) . . . . . . . . 33,912
33,703 British Petroleum Co. Plc. (Oil/Gas). . . . . . . . 418,726
10,170 British Sky Broadcasting Group Plc.
(Broadcasting) . . . . . . . . . . . . . . . . . . 74,474
14,109 British Steel Plc. (Steel). . . . . . . . . . . . . 34,988
37,305 British Telecommunications Plc.
(Telecommunications) . . . . . . . . . . . . . . . 276,907
24,223 BTR Plc. (Holding Companies). . . . . . . . . . . . 82,846
2,079 Burmah Castrol Plc. (Oil/Gas) . . . . . . . . . . . 35,206
18,774 B.A.T. Industries Plc. (Tobacco). . . . . . . . . . 167,945
13,181 Cable & Wireless Plc. (Telecommunications). . . . . 121,203
5,936 Cadbury Schweppes Plc. (Beverages). . . . . . . . . 52,904
2,073 Caradon Plc. (Holding Companies). . . . . . . . . . 6,952
3,997 Carlton Communications Plc. (Broadcasting). . . . . 33,760
44,671 Centrica Plc. (Oil/Gas) (a) . . . . . . . . . . . . 54,458
2,063 Chubb Security Plc. (Electronics) (a) . . . . . . . 15,399
4,795 Commercial Union Plc. (Insurance) . . . . . . . . . 50,396
2,789 Electrocomponents Plc. (Electronics). . . . . . . . 20,818
2,556 EMI Group Plc. (Entertainment). . . . . . . . . . . 45,836
3,338 FKI Plc. (Manufacturing). . . . . . . . . . . . . . 9,444
16,392 General Electric Co. Plc. (Electronics) . . . . . . 97,940
2,092 GKN Plc. (Auto Related) . . . . . . . . . . . . . . 36,018
21,023 Glaxo Wellcome Plc. (Pharmaceuticals) . . . . . . . 433,858
6,030 Granada Group Plc. (Leisure Time) . . . . . . . . . 79,282
12,475 Grand Metropolitan Plc. (Wine & Spirits). . . . . . 120,732
Shares Description Value
- ------ ----------- -----
5,964 Great Universal Stores Plc. (Retail). . . . . . . . $ 60,349
8,493 Guardian Royal Exchange Plc. (Insurance). . . . . . 38,164
11,450 Guiness Plc. (Wine & Spirits) . . . . . . . . . . . 112,051
6,318 Hanson Plc. (Holding Companies) . . . . . . . . . . 31,387
5,557 HSBC Holdings Plc. (75P) (Banks). . . . . . . . . . 170,959
10,623 HSBC Holdings Plc. ($HK10) (Banks). . . . . . . . . 314,701
4,537 Imperial Chemical Industries Plc. (Chemicals) . . . 63,088
5,162 Kingfisher Plc. (Retail). . . . . . . . . . . . . . 58,591
8,398 Ladbroke Group Plc. (Leisure Time). . . . . . . . . 32,845
4,062 Land Securities Plc. (Real Estate). . . . . . . . . 57,294
7,401 Legal & General Group Plc. (Insurance). . . . . . . 49,947
31,788 Lloyds TSB Group Plc. (Banks) . . . . . . . . . . . 325,893
8,505 LucasVarity Plc. (Auto Related) . . . . . . . . . . 29,442
16,725 Marks & Spencer Plc. (Retail) . . . . . . . . . . . 138,620
5,232 MEPC Plc. (Property & Development). . . . . . . . . 42,929
1,811 Mercury Asset Management Group Plc.
(Financial Services) . . . . . . . . . . . . . . . 37,103
10,113 National Grid Group Plc. (Utilities). . . . . . . . 36,944
8,431 National Power Plc. (Utilities) . . . . . . . . . . 73,246
3,386 Pearson Plc. (Publishing/Printing). . . . . . . . . 39,194
4,634 Peninsular and Oriental Steam Navigation
Company (Transportation) . . . . . . . . . . . . . 46,274
5,737 Pilkington Plc. (Building Materials). . . . . . . . 13,081
11,407 Prudential Corp. Plc. (Insurance) . . . . . . . . . 110,396
2,986 Railtrack Group Plc. (Transportation) . . . . . . . 31,085
4,961 Rank Group Plc. (Entertainment) . . . . . . . . . . 31,416
5,705 Redland Plc. (Building & Construction). . . . . . . 32,330
6,776 Reed International Plc. (Publishing/Printing) . . . 65,634
10,013 Reuters Holdings Plc. (Publishing/Printing) . . . . 105,487
4,236 Rexam Plc. (Packaging & Container). . . . . . . . . 17,872
1,863 RMC Group Plc. (Building Materials) . . . . . . . . 30,246
8,753 Rolls-Royce Plc. (Aerospace). . . . . . . . . . . . 33,433
2,748 Royal Bank of Scotland Group Plc. (Banks) . . . . . 25,589
9,151 Royal & Sun Alliance Insurance Group Plc.
(Insurance). . . . . . . . . . . . . . . . . . . . 67,469
6,352 RTZ Corp. Plc. (Metals & Mining). . . . . . . . . . 110,632
6,678 Safeway Plc. (Retail) . . . . . . . . . . . . . . . 38,622
13,189 Sainsbury (J.) Plc. (Retail). . . . . . . . . . . . 80,009
2,000 Schroders Plc. (Banks). . . . . . . . . . . . . . . 54,622
6,848 Scottish Power Plc. (Utilities) . . . . . . . . . . 44,563
3,645 Scottish & Newcastle Plc. (Brewery) . . . . . . . . 39,219
16,309 SmithKline Beecham Plc. (Pharmaceuticals) . . . . . 300,067
2,841 Smiths Industries Plc. (Aerospace). . . . . . . . . 36,384
3,272 Tate & Lyle Plc. (Foods). . . . . . . . . . . . . . 24,315
7,494 Taylor Woodrow Plc. (Property &
Development) . . . . . . . . . . . . . . . . . . . 22,076
15,099 Tesco Plc. (Retail) . . . . . . . . . . . . . . . . 92,853
3,475 Thames Water Plc. (Utilities) . . . . . . . . . . . 40,108
2,756 Thorn Plc. (Entertainment). . . . . . . . . . . . . 7,890
4,356 TI Group Plc. (Property & Development). . . . . . . 37,953
4,833 Unilever Plc. (Foods) . . . . . . . . . . . . . . . 138,470
3,122 United Utilities Plc. (Utilities) . . . . . . . . . 34,319
18,135 Vodafone Group Plc. (Telecommuncations) . . . . . . 88,283
6,414 Williams Holdings Plc. (Diversified). . . . . . . . 34,480
3,569 Wolseley Plc. (Building Materials). . . . . . . . . 27,829
5,615 Zeneca Group Plc. (Pharmaceuticals) . . . . . . . . 185,593
---------
6,953,158
---------
Total Common Stock (Cost $30,872,350). . . . . . . . . . . . . . 37,565,914
----------
See Notes to Financial Statements on Pages 18 and 19
14
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Description Value
- ------ ----------- -----
PREFERRED STOCK CONVERTIBLE - 0.09%
AUSTRALIA - 0.09%
8,793 News Corporation Ltd. Voting Preferred
Shares (MultiMedia). . . . . . . . . . . . . . . . $ 34,388
---------
Total Preferred Stock Convertible (Cost $34,582) . . . . . . . . 34,388
---------
RIGHTS & WARRANTS - 0.01%
AUSTRIA - 0.00%
600 Bank Austria AG Rights (Banks). . . . . . . . . . . 0
20 Bank Austria AG Rights New 97 (Banks) . . . . . . . 0
---------
0
BELGIUM - 0.00%
100 Generale de Banque SA Warrants (Banks). . . . . . . 1,074
---------
HONG KONG - 0.00%
1,200 Hong Kong & China Gas Co. Ltd. Warrants
(Utilities). . . . . . . . . . . . . . . . . . . . 1,286
1,000 Hong Kong & Shanghai Hotel Warrants
(Hotel/Motel). . . . . . . . . . . . . . . . . . . 232
------
1,518
------
MALAYSIA - 0.00%
1,000 Commerce Asset Holdings Warrants (Banks). . . . . . 175
1,600 Commerce Asset Holdings Rights (Banks). . . . . . . 95
938 Ekran BHD Warrants (Holding Companies). . . . . . . 74
571 Rashid Hussain Warrants (Financial Services). . . . 0
------
344
------
Total Rights & Warrants (Cost $0). . . . . . . . . . . . . . . . 2,936
------
Shares/ Description Value
Principal Amount ----------- -----
- ----------------
SHORT TERM INVESTMENTS - 0.89%
U.S.A. - 0.89%
135,000 U.S. Treasury Bill 5.03%, 8/28/97 (b) . . . . . . . $ 133,889
210,107 BT Institutional Cash Management Fund (b) . . . . . 210,107
---------
5.47%, 7/1/97
TOTAL SHORT TERM INVESTMENTS (Cost $344,042) . . . . . . . . . . 343,996
--------
TOTAL INVESTMENTS (Cost $31,250,974) . . . . . . 98.63% 37,947,234
Other Assets in Excess of Liabilities. . . . . . 1.37% 525,109
------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . 100.00% $38,472,343
------- -----------
------- -----------
(a) Non-income producing security.
(b) Held as collateral for futures contracts.
+ Less than one share.
Industry diversification (as a percentage of total investments):
INDUSTRY % OF MARKET VALUE
Autos and Trucks 2.07%
Banks 14.85
Chemicals 3.32
Consumer goods 2.19
Electronics 3.91
Financial services 3.04
Insurance 4.52
Oil/gas 6.13
Other 35.99*
Pharmaceuticals 6.06
Real estate 2.07
Retail 3.95
Telecommunications 5.63
Transportation 2.44
Utilities 3.83
-------
100.00%
-------
-------
- --------------------
+ No one industry represents more than 2% of the portfolio holdings.
See Notes to Financial Statements on Pages 18 and 19
15
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments, at Value (Cost of $31,250,974). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $37,947,234
Cash (includes foreign cash of $199,702 with a cost of $200,722) . . . . . . . . . . . . . . . . . . . . . . . 345,436
Receivable for Securities Sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,607
Dividends and Interest Receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118,014
Receivable for Foreign Taxes Withheld. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,732
Variation Margin Receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 971
Deferred Organizational Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,484
-----------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,510,478
-----------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,840
Net Unrealized Depreciation on Forward Foreign Currency Contracts. . . . . . . . . . . . . . . . . . . . . . . 10,150
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,145
-----------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,135
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $38,472,343
-----------
-----------
COMPOSITION OF NET ASSETS
Paid-in capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $31,779,796
Net Unrealized Appreciation on Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,696,260
Net Unrealized Depreciation on Futures, Foreign Currencies and Forward Foreign Currency Contracts. . . . . . . (3,713)
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $38,472,343
-----------
-----------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $87,129). . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 643,442
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,252
-----------
TOTAL INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667,694
-----------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,136
Administration and Services Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,454
Professional Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,333
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,064
Amortization of Organizational Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 891
Transfer Tax and Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494
-----------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,372
Less: Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13,782)
-----------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92,590
-----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 575,104
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES, FOREIGN CURRENCIES AND
FORWARD FOREIGN CURRENCY CONTRACTS
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,246,770
Net Realized Loss from Futures, Foreign Currencies and Forward Foreign Currency Transactions . . . . . . . . . (28,690)
Net Change in Unrealized Appreciation on Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,099,922
Net Change in Unrealized Appreciation on Futures, Foreign Currencies and Forward Foreign Currency Contracts. . 6,738
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES, FOREIGN CURRENCIES AND
FORWARD FOREIGN CURRENCY CONTRACTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,324,740
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,899,844
-----------
-----------
</TABLE>
See Notes to Financial Statements on Pages 18 and 19
16
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 1997 DECEMBER 31, 1996
--------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 575,104 $ 462,359
Net Realized Gain (Loss) from Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts . . . . . . . . . . . . . . . . . . . . . . . . . 1,218,080 (71,255)
Net Unrealized Appreciation on Investments, Futures, Foreign Currencies and
Forward Foreign Currency Contracts . . . . . . . . . . . . . . . . . . . . . . . . . 5,106,660 1,585,887
----------- -----------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . 6,899,844 1,976,991
----------- -----------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,731,770 38,819,050
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24,551,110) (404,212)
----------- -----------
Net Increase (Decrease) in Net Assets from Capital Transactions. . . . . . . . . . . . . (8,819,340) 38,414,838
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . (1,919,496) 40,391,829
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,391,839 10
----------- -----------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,472,343 $40,391,839
----------- -----------
----------- -----------
</TABLE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the EAFE Equity Index Portfolio.
<TABLE>
<CAPTION>
FOR THE PERIOD JANUARY 24, 1996
FOR THE SIX MONTHS (COMMENCEMENT OF OPERATIONS)
ENDED JUNE 30, 1997+ TO DECEMBER 31, 1996
------------------- -------------------------------
<S> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . $38,472 $40,392
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 2.17%* 1.69%*
Expenses . . . . . . . . . . . . . . . . . . . . 0.35%* 0.35%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . 0.05%* 0.11%*
Portfolio Turnover Rate. . . . . . . . . . . . . . 31% 4%
Average Commission Per Share** . . . . . . . . . . $ 0.018 $ 0.017
</TABLE>
- ----------------
+ Unaudited
* Annualized
** For fiscal years beginning on or after September 1, 1995, a portfolio is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Pages 18 and 19
17
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The 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 on January 24,
1996, 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 National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of
the security traded on that exchange prior to the time when the Portfolio
assets are valued. 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, is 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 and foreign currency transactions of the Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. 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, dividend and interest income, and certain expenses
are translated at the rates of exchange prevailing on the respective dates of
such transactions.
E. 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 Portfolio's investments. 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.
F. OPTION CONTRACTS
The Portfolio may enter into option contracts. Upon the purchase of a put
option or a call option by a Portfolio, the premium paid is recorded as an
investment, the value of which is valued at mark-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. The Portfolio's investment in the financial futures
contracts are designed to closely replicate the benchmark idea used by the
Portfolio.
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 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.
H. ORGANIZATIONAL EXPENSES
Costs incurred by the Portfolio in connection with its organization and
initial registration are being amortized evenly over a five year period.
I. 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.
J. 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 with
Bankers Trust Company ("Bankers Trust"). Under this Administration and
Services Agreement, Bankers Trust provides administrative, custody 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 average daily net assets.
For the six months ended June 30, 1997, this fee aggregated $26,454.
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
average daily net assets. For the six months ended June 30, 1997, this fee
aggregated $66,136.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
the Portfolio, to the extent necessary, to limit all expens-
18
<PAGE>
- --------------------------------------------------------------------------------
EAFE EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
es to 0.35 of 1% of the average daily net assets of the Portfolio. For the
six months ended June 30, 1997, expenses of the Portfolio have been reduced
by $13,782.
Certain trustees and officers of the Portfolio are also directors, officers
and employees of Edgewood Services, Inc. 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.
For the six months ended June 30, 1997, the Portfolio paid brokerage
commissions of $23,916.
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1997, were
$15,476,335 and $24,336,042, respectively. For federal income tax purposes,
the tax basis of investments held at June 30, 1997 was $31,253,465. The
aggregate gross unrealized appreciation was $7,536,701, and the aggregate
gross unrealized depreciation for all investments was $842,932 as of June 30,
1997.
NOTE 4--FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 1997
is as follows:
UNREALIZED
APPRECIATION
TYPE OF FUTURE EXPIRATION CONTRACTS POSITION (DEPRECIATION)
- ------------------------ ---------- --------- -------- ------------
Eurotop 100 Futures September 1997 1 Long ($950)
Nikkei 300 Index Futures September 1997 20 Long 10,151
Heng Seng Index Futures July 1997 1 Long 213
At June 30, 1997, the Portfolio has segregated approximately $345,000 to
cover margin requirements on open futures contracts.
- --------------------------------------------------------------------------------
NOTE 5--OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of June 30, 1997, the EAFE Equity Portfolio had the following open forward
foreign currency contracts outstanding:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
CONTRACTS TO DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) (DEPRECIATION) (US$)
- -----------------------------------------------------------------------------------------------------------------------
Sales
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ATS 217,913 USD $ 18,000 7/7/97 $ 17,773 $ 227
AUD 67,837 USD 51,000 6/30/97 50,824 176
BEF 714,554 USD 202,000 6/30/97 199,595 2,405
ECU 290,000 USD 327,290 7/14/97 326,801 489
FRF 293,315 USD 35,000 6/30/97 34,630 370
GBP 12,618 USD 21,000 6/30/97 21,000 0
GBP 50,000 USD 82,752 7/14/97 83,175 (424)
IEP 15,908 USD 24,000 6/30/97 24,000 0
ITL 10,117,800 USD 6,000 6/30/97 5,946 54
JPY 22,915,400 USD 200,000 7/14/97 200,257 (257)
MYR 85,612 USD 34,000 6/30/97 33,919 81
NZD 35,144 USD 24,000 6/30/97 23,821 179
SGD 65,794 USD 46,000 6/30/97 46,016 (16)
- -----------------------------------------------------------------------------------------------------------------------
Total Sales $ 3,284
- -----------------------------------------------------------------------------------------------------------------------
Purchases
- -----------------------------------------------------------------------------------------------------------------------
USD 420,000 EDU $ 369,442 7/14/97 $416,324 $ (3,676)
USD 327,290 JPY 37,874,000 7/14/97 330,980 3,690
USD 267,857 JPY 30,000 7/14/97 262,169 (5,688)
ECU 82,752 JPY 9,169,700 7/14/97 80,134 (2,618)
USD 165,000 JPY 18,292,560 7/14/97 159,858 (5,142)
- -----------------------------------------------------------------------------------------------------------------------
Total Purchases $(13,434)
- -----------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $(10,150)
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
BT ADVISOR FUNDS
EAFE EQUITY INDEX FUND
INVESTMENT ADVISER OF THE PORTFOLIO AND ADMINISTRATOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P.
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
-----------------------------------------------------
For information on how to invest, shareholder account
information and current price and yield information,
please contact your relationship manager or the BT
Mutual Fund Service Center at (800) 730-1313. This
report must be preceded or accompanied by a current
prospectus for the Fund.
-----------------------------------------------------
EAFE Equity Index Fund - Institutional Class Cusip #05576L874
EAFE Equity Index Fund - Advisor Class Cusip #05576L841
STA51400(8/97)
